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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 L. Sullivan
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 844-5704
Date of fiscal year end: December 31
Date of reporting period: December 31, 2009
Table of Contents
| Item 1. | Report to Stockholders |
Table of Contents
Thrivent Series Fund, Inc.
Annual Report December 31, 2009
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Table of Contents
 | Dear Member: |
It has truly been a tale of two markets over the 12 months ended December 31, 2009. The same types of investments that were shunned in the panic environment of early 2009 were aggressively snapped up from March through December as the markets rebounded strongly from early March lows. While it is no great surprise that the stock market was due for a recovery, the speed and extent of the rally should give us pause.
In weighing future investment choices, risks and opportunities, it is worth considering and debating two prevailing (though somewhat extreme) views on where the U.S. economy and markets go from here.
What goes down, will go up
Historically, bull markets rise from the ashes of bear markets, and this past fiscal year’s terrible sell-off will likely be no different. Sharp recoveries typically follow sharp declines. Optimists point to unprecedented global stimulus, healing credit markets, rising leading economic indicators and stronger corporate profits as evidence there will be a traditional “V-shaped” recovery.
We have unprecedented global stimulus in terms of a very low federal funds rate—0.25%—and members of the Federal Reserve noted in September that economic conditions were likely to warrant exceptionally low interest rate levels for an extended time. This makes the cost of borrowing and financing very low and nurtures conditions for improved economic growth. Perhaps more important to the investment markets were the Fed’s extraordinary measures to expand its balance sheet and inject massive liquidity into the financial system, including buying large amounts of agency mortgage-backed and Treasury securities. Considering that the bulk of federal stimulus and government spending has yet to take effect, much fuel for the U.S. economic growth engine appears available.
Inflation increased modestly during the period as the recession continued to restrain wages and spending. The Consumer Price Index (CPI) increased 2.7% during the 12 months through December 2009, while the core CPI (minus the prices of energy and food) increased 1.8%. 1 As inflation remains tame, no Fed action to raise short-term interest rates appears imminent. Stronger growth proponents would point to the declining U.S. dollar and rising gold prices as evidence that the market believes future inflation to be more of a worry than a “slow or no-growth” deflationary state.
Could it be different this time?
Diverging from the more optimistic assessments of where the U.S. economy and markets may be headed is what I term the “subdued or slow-growth” view. This perspective is based primarily on concerns with the U.S. consumer and aggressive government actions. Burdened by a still fundamentally weak national housing market, higher debt levels and pervasive anxiety over joblessness, the U.S. consumer—responsible for approximately 70% of the nation’s gross domestic product (GDP)2—may no longer be able to contribute as much to the overall economic equation. If that is the case, who or what will take up the slack?
Right now the government is filling the gap, but many would call this short-term “medication” for our recovering economy. Arguably, the government cannot continue to spend and issue Treasury debt at its current pace and soon will likely have to wrestle, along with the Federal Reserve, with how to pull some of the “fuel” out of the system. Businesses may not be able to come to the rescue as continued tight lending standards, especially for small businesses, limit access to capital and therefore crimp business investment and hiring. Larger companies have seen credit conditions improve, but access to capital remains more challenging for small businesses. These smaller businesses account for a good part of our nation’s total employment. Proponents of this view may point to the fact that, despite the resumption of economic growth, the nation’s job market continues to struggle, prompting uncertainty about the pace of the recovery. Employers cut just over 4 million jobs in 2009, and the U.S. unemployment rate jumped to 10% in December.3 We expect unemployment to improve only slowly.
What’s next? Our view
The unprecedented amount of government stimulus in the economy should fuel growth in 2010, but we believe activity will remain below trend and unemployment will stay high for the foreseeable future. Under such a scenario, the Federal Reserve will likely keep short-term interest rates at record low levels at least into early 2010. The more pessimistic view I shared earlier is largely predicated on the current economic snapshot and may not materialize given the massive fiscal and monetary stimuli at work. Betting against this liquidity and a corresponding economic recovery has historically been unwise.
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Even so, these pessimistic conclusions are worthy of thought. We remain concerned about the threats to growth posed by continued problems in the housing and credit markets, rising unemployment and weak consumer and business spending. The Federal Reserve will have to walk a tightrope in knowing when and how to remove some of the monetary stimulus in the system or run the risk of runaway inflation or another economic downturn. Government policy, legislative risk, increased regulation and taxes will also weigh on the extent and trajectory of the economic recovery.
As always, we will monitor the economy and markets closely and work hard to provide ongoing value to you. Thank you for continuing to turn to us for your financial options.
Sincerely,
 |
Russell W. Swansen President |
| Thrivent Series Fund, Inc. |
| 1 | U.S. Department of Commerce, Bureau of Economic Analysis |
| 2 | Bureau of Economic Statistics |
| 3 | U.S. Department of Labor, Bureau of Labor Statistics |
3
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 | Thrivent Aggressive Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. Simenstad, CFA (far right), Portfolio Co-Managers |
|
The Portfolio seeks long-term capital growth.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Aggressive Allocation Portfolio earned a return of 30.62% as compared with returns of its market benchmarks, the S&P 500 Index and the Barclays Capital Aggregate Bond Index, of 26.47% and 5.93%, respectively. The median return in the Portfolio’s peer group, the Lipper Multi-Cap Core category, was 30.62%.
What factors affected the Portfolio’s performance?
In 2009, the returns of stocks and most fixed-income securities rebounded sharply from the sell-offs that occurred in the wake of the Lehman Brothers bankruptcy and financial markets seizure of 2008. Generally speaking, the more volatile or risky asset classes experienced the best recovery in returns. Contrarily, the most conservative or highest-quality asset classes—cash investments and U.S. Treasuries—fared worst. The Portfolio was well positioned in risk asset classes and underweighted in U.S. Treasuries, producing solid returns over the period. We held approximately 8% of assets in fixed-income categories, including short-and intermediate-term investment grade (as well as high-yield) bonds. Short- and intermediate-term corporate bond segments provided excellent returns versus their benchmarks. High-yield bond returns exceeded most equity categories and thus added to overall results.
Within the domestic equity segments, mid-cap stocks performed quite well relative to both large and small caps. Our mid-cap core and mid-cap growth segments outperformed their respective benchmarks. And our large-cap growth segment also provided relative outperformance. Large-cap core and value results were in line with their respective benchmarks. However, the Portfolio’s small-cap core and mid-cap value segments underperformed. Large-cap international (Europe, Australasia and Far East) returns outperformed domestic large caps, as the dollar declined relative to major foreign currencies, such as the yen and euro. Emerging-market stocks provided unusually high returns, benefiting the Portfolio’s exposure via the Thrivent Partner Worldwide Allocation Portfolio.
What is your outlook?
We believe the global bear market in both stocks and non-government bonds ended in 2009. Investment-grade and high-yield bonds have achieved strong returns, and yields have declined to levels that represent more typical relationships between risky and risk-free fixed income securities. It’s unlikely that such returns could be repeated
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in 2010; instead, we believe that current coupons on fixed-income securities are a reasonable indication for returns in 2010. For stocks, the liquidity-driven market advance is likely over, and earnings will need to recover to validate the strong advance from the lows in March. Price earnings ratios will likely contract in the coming year if prices are unable to move in lockstep with a sharp earnings recovery. We anticipate that 2010 stock returns will be more consistent with long-term averages.
Portfolio Facts
As of December 31, 2009
Net Assets | $497,576,599 | |
NAV | $10.66 | |
NAV - High† | 12/24/2009 -$10.77 | |
NAV - Low† | 3/9/2009 -$6.61 | |
Number of Holdings: 410 | ||
† For the year ended December 31, 2009 | ||
Average Annual Total Returns1
As of December 31, 2009
1-Year | From Inception 4/29/2005 | |
30.62% | 3.36% |
| * | The Barclays Capital 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. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded 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. “S&P 500” 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
5
Table of Contents
 | Thrivent Moderately Aggressive Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. Simenstad, CFA (far right), Portfolio Co-Managers |  |
The Portfolio seeks long-term capital growth.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Moderately Aggressive Allocation Portfolio earned a return of 29.80% as compared with returns from its market benchmarks, the S&P 500 Index and the Barclays Capital Aggregate Bond Index, of 26.47% and 5.93%, respectively. The median return for the peer group, the Lipper Mixed-Asset Target Allocation Growth, was 24.44%.
What factors affected the Portfolio’s performance?
In 2009, returns of stocks and most fixed-income securities rebounded sharply from the sell-offs that occurred in the wake of the Lehman Brothers bankruptcy and financial markets seizure of 2008. Generally speaking, the more volatile or risky asset classes experienced the best recovery in returns. Contrarily, the most conservative or highest-quality sectors of the markets—cash investments and U.S. Treasuries—fared worst. The Portfolio was well positioned in risk asset classes and underweighted in U.S. Treasuries, producing solid returns over the period. We held approximately 22% of assets in fixed-income categories, including short- and intermediate-term investment grade (and high-yield) bonds. The short- and intermediate-term bond segments provided excellent returns versus their benchmarks. High-yield bond returns exceeded most equity categories and thus added to overall results.
Within domestic equities, mid-cap stocks performed well relative to both large and small caps. Our mid-cap core and growth segments outperformed their respective benchmarks. And our large-cap growth segment also outperformed. Large-cap core and value results were in line with their respective benchmarks. However, the Portfolio’s small-cap core and mid-cap value segments underperformed. Large-cap international (Europe, Australasia and Far East) returns outperformed domestic large caps, as the dollar declined relative to major foreign currencies, such as the yen and euro. Emerging-market stocks provided unusually high returns, benefiting the Portfolio’s exposure in the Thrivent Partner Worldwide Allocation Portfolio.
What is your outlook?
We believe the global bear market in both stocks and non-government bonds ended in 2009. Investment-grade and high-yield bonds have achieved strong returns, and yields have declined to levels that represent more typical
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relationships between risky and risk-free fixed income securities. It’s unlikely that such returns could be repeated in 2010; instead, we believe that current coupons on fixed-income securities are a reasonable indication for returns in 2010. For stocks, the liquidity-driven market advance is likely over, and earnings will need to recover to validate the strong advance from the lows in March. Price-earnings ratios will likely contract in the coming year if prices are unable to move lock-step with a sharp earnings recovery. We anticipate that 2010 stock returns will be more consistent with long-term averages.
Portfolio Facts
As of December 31, 2009
Net Assets | $1,982,967,761 | |
NAV | $10.72 | |
NAV - High† | 12/28/2009 - $10.80 | |
NAV - Low† | 3/9/2009 - $6.92 | |
Number of Holdings: 424 | ||
† For the year ended December 31, 2009 | ||
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/29/2005 | |
| 29.80% | 3.63% |
| * | The Barclays Capital 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. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded 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. “S&P 500” 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
7
Table of Contents
 | Thrivent Moderate Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. |  |
The Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Moderate Allocation Portfolio earned a return of 26.89% as compared with returns from its benchmarks, the S&P 500 Index and the Barclays Capital Aggregate Bond Index, of 26.47% and 5.93%, respectively. The median return in the peer group, the Lipper Mixed-Asset Target Allocation Moderate category, was 22.70%.
What factors affected the Portfolio’s performance?
In 2009, returns of stocks and most fixed-income securities rebounded sharply from the sell-offs that occurred in the wake of the Lehman Brothers bankruptcy and financial markets seizure of 2008. Generally speaking, the more volatile or risky asset classes experienced the best recovery in returns. Contrarily, the most conservative or highest-quality sectors of the markets—cash investments and U.S. Treasuries—fared worst. The Portfolio was well positioned in risk asset classes and underweighted in U.S. Treasuries, producing solid returns over the period. We held approximately 42% of assets in fixed-income categories, including short- and intermediate-term investment grade (as well as high-yield) bonds. The short- and intermediate-bond segments provided excellent returns versus their benchmarks. High-yield bond returns exceeded most equity categories and thus added to overall results.
Within domestic equities, mid-cap stocks performed well relative to both large and small caps. Our mid-cap core and growth segments outperformed their respective benchmarks. And our large-cap growth segment also outperformed. Large-cap core and value results were in line with their respective benchmarks. However, the Portfolio’s small-cap core and mid-cap value segments underperformed. Large-cap international (Europe, Australasia and Far East) returns outperformed domestic large caps, as the dollar declined relative to major foreign currencies, such as the yen and euro. Emerging-market stocks provided unusually high returns, benefiting the Portfolio’s exposure in the Thrivent Partner Worldwide Allocation Portfolio.
What is your outlook?
We believe the global bear market in both stocks and non-government bonds ended in 2009. Investment-grade and high-yield bonds have achieved strong returns, and yields have declined to levels that represent more typical relationships between risky and risk-free fixed income securities. It’s unlikely that such returns could be repeated in 2010; instead, we believe that current coupons on
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fixed-income securities are a reasonable indication for returns in 2010. For stocks, the liquidity-driven market advance is likely over, and earnings will need to recover to validate the strong advance from the lows in March. Price-earnings ratios will likely contract in the coming year if prices are unable to move lock-step with a sharp earnings recovery. We anticipate that 2010 stock returns will be more consistent with long-term averages.
Portfolio Facts
As of December 31, 2009
Net Assets | $2,658,525,633 | |
NAV | $10.82 | |
NAV - High† | 12/28/2009 - $10.88 | |
NAV - Low† | 3/9/2009 - $7.48 | |
Number of Holdings: 428 | ||
† For the year ended December 31, 2009 | ||
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/29/2005 | |
| 26.89% | 3.99% |
| * | The Barclays Capital 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. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded 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. “S&P 500” 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
9
Table of Contents
| Thrivent Moderately Conservative Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and |  |
The Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Moderately Conservative Allocation Portfolio earned a return of 22.53% compared with returns from its benchmarks, the S&P 500 Index and the Barclays Capital Aggregate Bond Index, of 26.47% and 5.93% respectively. The median return in the peer group, the Lipper Mixed-Asset Target Allocation Conservative category, was 18.95%.
What factors affected the Portfolio’s performance?
In 2009, returns of stocks and most fixed-income securities rebounded sharply from the sell-offs that occurred in the wake of the Lehman Brothers bankruptcy and financial markets seizure of 2008. Generally speaking, the more volatile or risky asset classes experienced the best recovery in returns. Contrarily, the most conservative or highest-quality sectors of the markets—cash investments and U.S. Treasuries—fared worst. The Portfolio was well positioned in risk asset classes and underweighted in U.S. Treasuries, producing solid returns over the period. We held approximately 58% of assets in fixed-income categories, including short- and intermediate-term investment grade (as well as high-yield) bonds. Short- and intermediate-bond segments provided excellent returns versus their benchmarks. High-yield bond returns exceeded most equities and thus added to overall results.
Within domestic equities, mid-cap stocks performed well relative to both large and small caps. Our mid-cap core and growth segments outperformed their respective benchmarks. And our large-cap growth segment also outperformed. Large-cap core and value results were in line with their respective benchmarks. However, the Portfolio’s small-cap core and mid-cap value segments underperformed. Large-cap international (Europe, Australasia and Far East) returns outperformed domestic large caps, as the dollar declined relative to major foreign currencies, such as the yen and euro. Emerging-market stocks provided unusually high returns, benefiting the Portfolio’s exposure in the Thrivent Partner Worldwide Allocation Portfolio.
What is your outlook?
We believe the global bear market in both stocks and non-government bonds ended in 2009. Investment-grade and high-yield bonds have achieved strong returns, and yields have declined to levels that represent more typical relationships between risky and risk-free fixed income
10
Table of Contents
securities. It’s unlikely that such returns could be repeated in 2010; instead, we believe that current coupons on fixed-income securities are a reasonable indication for returns in 2010. For stocks, the liquidity-driven market advance is likely over, and earnings will need to recover to validate the strong advance from the lows in March. Price-earnings ratios will likely contract in the coming year if prices are unable to move lock-step with a sharp earnings recovery. We anticipate that 2010 stock returns will be more consistent with long-term averages.
Portfolio Facts
As of December 31, 2009
Net Assets | $1,075,379,751 | |
NAV | $10.91 | |
NAV - High† | 12/30/2009 - $10.95 | |
NAV - Low† | 3/9/2009 - $8.24 | |
Number of Holdings: 421 | ||
† For the year ended December 31, 2009 | ||
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/29/2005 | |
| 22.53% | 4.13% |
| * | The Barclays Capital 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. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded 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. “S&P 500” 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
11
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Technology Portfolio earned a return of 56.58% as compared with the median return of its peer group, the Lipper Science and Technology category of 57.54%. The Portfolio’s market benchmarks, the S&P North American Technology Sector Index and the NASDAQ Composite Index returned 63.19% and 45.35%, respectively.
What factors affected the Portfolio’s performance?
Apple Inc. contributed to performance as demand for the iMac, iPod touch and iPhone remained strong through year-end. We continue to believe that Apple’s iPhone represents significant upside potential for global sales. The App Store, with more than 10,000 applications, is a key differentiator for the iPhone. Lamar Advertising Co, an outdoor advertising company, was a strong performer, benefitting from early signs of a recovery in advertising spending. In addition, Lamar has been able to cut costs, which has allowed the company to perform better than expected in the recent downturn. Cognizant Technology Solutions Corporation, a technology consulting firm, also contributed to performance, reporting strong earnings and benefitting from corporations increasingly outsourcing operations, in part, to cut costs and boost profits. Iron Mountain, Inc., a company in the records management, data storage and online backup business, detracted from performance as the company’s near-term revenue growth was challenged in the economic environment of 2009. Shares of video game publishers Electronic Arts and Activision Blizzard fell during the period as video game sales in the U.S. continued to be weak. While we still believe in the long-term secular growth of the video game industry, we became concerned that these near-term trends may continue and exited our position in both companies. Smartphone manufacturer Palm, Inc. was down, as sales of the company’s Pre and Pixie devices have been disappointing.
What is your outlook?
Volatility declined from peak levels during the period. Investors appeared to become less risk averse, trading out of the more defensive stocks that they favored in late 2008 and early 2009 and placing a premium on companies with greater growth prospects. We believe that normalized levels of market volatility should create opportunities for investors who discriminate at the individual stock level. Generally, as economic stress abates, correlations tend to fall from extreme levels, providing a favorable
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environment for active investors. We believe that as stocks begin to trade more in concert with their underlying companies’ fundamentals, our research will help give us an edge in picking the winners and avoiding the losers.
Portfolio Facts
As of December 31, 2009
Net Assets | $30,948,630 | |
NAV | $5.69 | |
NAV - High† | 12/28/2009 - $5.75 | |
NAV - Low† | 3/9/2009 - $3.17 | |
Number of Holdings: 39 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 56.58% | -0.76% | -3.94% |
| * | 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 NASDAQ Composite Index is a market capitalization-weighted index of all domestic and foreign securities listed on the NASDAQ Stock Exchange. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. Effective July 1, 2009, the Adviser hired Goldman Sachs Asset Management, L.P. as subadviser to manage the Portfolio on a day-to-day basis. The Adviser believes that the NASDAQ Composite Index is a more appropriate benchmark for the Portfolio in light of the fact that the subadviser, in managing its own proprietary technology mutual fund, benchmarks against this Index. Thus, the S&P North American Technology Sector Index will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2010 and beyond (unless the Adviser changes back to this benchmark index). |
| *** | The S&P North American Technology Sector Index is a modified capitalization-weighted index of selected technology stocks. 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Subadvised by Sectoral Asset Management, Inc.
Thrivent Partner Healthcare Portfolio seeks long-term capital growth.
The Portfolio’s investments are concentrated in issuers in the health care industry; therefore, the Portfolio is more vulnerable to price changes in the securities of issuers in this industry and factors specific to this industry than a more broadly diversified fund. In addition, as a non-diversified fund, the Portfolio is susceptible to the risk that events affecting a particular issuer will significantly affect the Portfolio’s performance. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Healthcare Portfolio earned a return of 23.83% for the period. Its peer group, the Lipper Health/Biotechnology category, produced a median return of 22.72%. And its market benchmark, the MSCI World Healthcare Index, returned 19.67%.
What factors affected the Portfolio’s performance?
Despite an environment favoring cyclical stocks and looming in healthcare-reform uncertainty, the Portfolio benefited from its investments in generic drug makers and medical technology companies. The former benefited from improving margins in developed markets and strong growth in emerging economies, whereas the latter rallied on a quicker-than-anticipated economic recovery and corresponding favorable customer demand. Large-cap biotech companies were the main laggards, as several potential breakthrough products failed to gain FDA approval.
What is your outlook?
Pharmaceutical stocks with improved cost structures, solid pipelines, manageable generic exposures and a significant presence in emerging markets offer what we believe are the most attractive investment opportunities. This sector is trading above recent earnings and offers, in our opinion, an attractive dividend yield. Biotechnology has continued to lag both the health care and broader markets. However, we believe that investor interest in the biotech sector will likely increase if health care reform fears subside and pipelines continue to progress. In addition, merger-and-acquisition activity highlights low valuations and solid assets within biotechnology. Medical technology is also expected to grow and to be led by companies developing products that may offer significant innovations and improvements over current treatment practices. In addition, we believe that specialty pharma/generics companies will offer an attractive exposure to rapidly growing emerging markets.
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Portfolio Facts
As of December 31, 2009
Net Assets | $13,298,959 | |
NAV | $11.08 | |
NAV - High† | 12/28/2009 - $11.19 | |
NAV - Low† | 3/5/2009 - $7.64 | |
Number of Holdings: 34 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 23.83% | 6.36% |
| * | The MSCI World Healthcare Index is a capitalization-weighted index of selected health care stocks from around the world. 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 |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Subadvised by BlackRock Investment Management, LLC
Thrivent Partner Natural Resources Portfolio seeks long-term capital growth.
The Portfolio’s investments are concentrated in issuers in the natural resources industry; therefore, the Portfolio is more vulnerable to price changes in the securities of issuers in this industry and factors specific to this industry than a more broadly diversified fund. In addition, as a non-diversified fund, the Portfolio is susceptible to the risk that events affecting a particular issuer will significantly affect the Portfolio’s performance. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Natural Resources Portfolio earned a return of 43.72% for the one-year period ended December 31, 2009. Over the same period, the median return in the Portfolio’s peer group, the Lipper Natural Resources category, was 50.34%, and the S&P North American Natural Resources Sector Index, the Portfolio’s benchmark, realized a return of 37.54%.
What factors affected the Portfolio’s performance?
The Portfolio’s strategy generated strong absolute returns during 2009. The Portfolio benefited from its aggressive industry positioning and strong security selection. In particular, an emphasis on higher volatility segments, such as exploration and production and oil service, drove strong returns. We emphasized these areas over larger, lower-beta areas of the energy segment, such as refining companies, and integrated oil and gas producers. Most of the Portfolio’s allocations benefited returns, with the notable exception of cash and our underweighting in some financial stocks that rallied sharply from depressed levels. Within energy, oil-related companies typically outperformed natural gas producers, as oil rose sharply during the year on the heels of swift OPEC and non-OPEC production cuts.
Commodity producers generated extraordinary returns as coal producers, mining companies, and oil-and-gas exploration companies were among the top performers. As the U.S. dollar continued to weaken, precious metals prices rose, providing a lift to precious-metals-related stocks held in the Portfolio. Industrial miners, including coal producers, benefited from the reacceleration of Asian economies and inventory restocking in China. Exploration and production stocks also rallied, despite volatile natural gas prices. Rising natural gas inventory levels put significant pressure on spot (daily) natural gas prices for much of 2009. With equity markets generally acting as a forward-discounting mechanism, stock prices remained strong, despite weak near-term pricing pressure. Similarly, oil-weighted producers rallied sharply as oil prices moved higher during the year—these stocks have benefited more recently from favorable perceptions of higher long-term oil prices. Oil-service companies gained on increased expectations for future utilization. Despite producing double-digit gains, the larger-cap integrated oil stocks did not keep pace with their smaller-cap, higher-beta counterparts in exploration-and-production.
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What is your outlook?
With global economies showing signs of recovery, “risk assets” including commodities and commodity stocks have been among the primary beneficiaries. As perceptions of the economy have improved such that we believe there were signs of global growth accelerating in the third and fourth quarters, the key question now is: Can growth persist? While natural resources equities have rallied since early March, they’re not pricing in a wildly optimistic forecast of future growth. We are looking to benefit from the upside potential we see in the markets and intend to remain overweighted in exploration and production and oil service.
Portfolio Facts
As of December 31, 2009
Net Assets | $21,131,842 | |
NAV | $8.23 | |
NAV - High† | 10/19/2009 - $8.46 | |
NAV - Low† | 3/2/2009 - $4.97 | |
Number of Holdings: 97 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 43.72% | -10.95% |
| * | 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 North American Natural Resources Sector Index is an index of selected U.S. traded natural resource related stocks. 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Subadvised by Aberdeen Asset Management Investment Services Limited
Thrivent Partner Emerging Markets Portfolio seeks long-term capital growth.
Foreign investments, as compared to domestic ones, involve additional risks, including currency fluctuations, different accounting standards, and greater political, economic and market instability. These risks are magnified when the Portfolio invests in emerging markets, which may be of relatively small size and less liquid than domestic markets. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Emerging Markets Portfolio earned a return of 74.70% as compared with the median return of its peer group, the Lipper Emerging Markets category, of 72.31%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index, earned a return of 79.02%.
What factors affected the Portfolio’s performance?
Emerging markets ended sharply higher at the period’s end, far outpacing developed-market stocks. At the period’s beginning, foreign investors fled the asset class as the credit crisis deepened. But sentiment seemed to turn around in mid-March, after governments injected unprecedented amounts of liquidity to stabilize the financial system. That action, along with economic recovery in many emerging countries, prompted a nearly uninterrupted rally into year end.
As markets recovered from their March lows, the Portfolio initially lagged the benchmark as more volatile stocks led the rally. However, our overweighting in interest rate-sensitive sectors, such as consumer discretionary and financials, allowed the Portfolio to catch up as the rally broadened out. Several of our consumer holdings performed well, including Indonesian conglomerate Astra International and Brazilian retailer Lojas Renner. Many of our financial holdings also produced strong returns in 2009, including Standard Chartered, Akbank, Banorte, Bradesco, CIMB Group and ICICI Bank. Although our underweighting in cyclical companies affected performance negatively, our stock selections more than offset this, with strong performances from two Latin American holdings, Vale and Tenaris.
Conversely, our overweighting in defensive sectors—such as consumer staples and health care—proved negative. Defensive sectors held up well amid the turmoil of 2008, but did not enjoy the full extent of the rebound in 2009, even though the negative impact was mitigated partially by our underweight in telecoms and non-exposure to utilities. At the stock level, India’s Satyam Computer Services, Ltd. was the biggest detractor, as its share price fell sharply after its chairman’s stunning admission of fraud. We have since sold our holding in the company.
What is your outlook?
The rally may continue in the short term amid flush liquidity, but uncertainty is likely to persist. For now, policymakers appear intent on maintaining their extraordinary fiscal stimulus measures, but we do not think this can continue indefinitely. The risk of asset
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bubbles could worsen if U.S interest rates stay low, the U.S. dollar remains weak and the carry-trade is prolonged. How developing countries will fare may depend on their ability to improve domestic demand, amid tepid recovery in developed economies.
Portfolio Facts
As of December 31, 2009
Net Assets | $17,426,885 | |
NAV | $9.72 | |
NAV - High† | 12/2/2009 - $9.77 | |
NAV - Low† | 3/2/2009 - $4.46 | |
Number of Holdings: 53 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 74.70% | -0.87% |
| * | 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 MSCI Emerging Markets Index is a modified capitalization-weighted index of selected emerging economies from around the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Real Estate Securities Portfolio earned a return of 29.08%, compared with the median return of its peer group, the Lipper Real Estate category, of 31.53%. The Portfolio’s market benchmark, the FTSE NAREIT Equity REIT Index, earned a return of 27.99%.
What factors affected the Portfolio’s performance?
Real estate investment trust (REIT) stocks staged a significant rebound in 2009, after reaching their lowest levels in 15 years in early March. This recovery occurred primarily because REITs were able to raise more capital to reduce leverage and repay current or near-term debt maturities. In general, REITs were able to maintain reasonable occupancy levels due to their high-quality portfolios and experienced management teams.
The Portfolio’s best performing sectors were lodging, apartments and office REITs. Poorest-performing sectors were shopping center, self storage and industrial properties. These holdings contributed most positively to performance: Simon Property Group, Inc., which owns and manages regional malls, outlet centers and community shopping centers in the United States and internationally; Digital Realty Trust, Inc., which specializes in data centers and technology-related real estate in the U.S. and Europe; and AvalonBay Communities, Inc., which develops and manages upscale apartment communities in high barrier-to-entry U.S. housing markets.
What is your outlook?
We expect the U.S. economy to gradually improve in 2010. As a result, the commercial real estate sector should improve as well. Construction activity has been low, and new supply is expected to be limited over the next few years. We believe job growth is necessary in order for vacancy rates to decline, and this process may take longer than previous recoveries. Nonetheless, we anticipate economic improvement will begin to benefit commercial real estate vacancy rates in 2010, and subsequently, rental rates. We expect that most property sectors should see improvement during the course of the year. And properties with short-term leases—lodging, multi-family apartment, and self storage—are likely to lead the way.
Property sectors with longer-term leases—office buildings, shopping centers and industrial properties—are not likely to see an immediate rebound in rental rates, but should benefit from a gradual improvement in occupancy rates. The Portfolio has exposure to companies within each property sector, with the largest concentration being in large-cap REITs with strong management. We believe these types of companies have demonstrated the ability to access capital in the public and private markets, which
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remains critical in the current environment. We also maintain exposure in small- and mid-cap REITs that offer attractive relative value and long-term growth potential.
Portfolio Facts
As of December 31, 2009
Net Assets | $265,402,705 | |
NAV | $11.67 | |
NAV - High† | 12/28/2009 - $12.45 | |
NAV - Low† | 3/6/2009 - $5.52 | |
Number of Holdings: 97 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 4/30/2003 | ||
| 29.08% | 0.48% | 9.21% |
| * | The FTSE NAREIT Equity REIT Index is an unmanaged capitalization-weighted index of all equity real estate investment trusts. 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Subadvised by BlackRock Investment Management, LLC
Thrivent Partner Utilities Portfolio seeks capital appreciation and current income.
The Portfolio’s investments are concentrated in issuers in the utilities industry; therefore the Portfolio is more vulnerable to price changes in the securities of issuers in this industry and factors specific to this industry than a more broadly diversified fund. The Portfolio is also subject to the risks of investing in foreign (including emerging markets) stocks. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Utilities Portfolio earned a return of 12.00% as compared with the median return of its peer group, the Lipper Utility category, of 18.47%. The Portfolio’s market benchmarks, the S&P 500 Utilities Index and the S&P 500 Telecommunications Services Index, achieved returns of 11.91% and 8.93%, respectively.
What factors affected the Portfolio’s performance?
The biggest boost to relative performance for the year came from stock selection in the telecommunications sector, more specifically from within the diversified telecom services industry, in which the Portfolio held an average weighting of 20.66% for the year. A modest overweighting in wireless telecom services also contributed to relative outperformance. Within the utilities space, stock selection in the electric utilities industry (combined with a nearly 6% overweighting in the independent power producers) also helped provide several basis points of outperformance. The biggest detriment to relative performance for the period came from the combination of stock selection and an 8.5% underweighting to the integrated utilities industry.
What is your outlook?
Within the utilities sector, we continue to like the electric utilities for what we consider to be their consistency and reliability—they showed good resilience this year. We look forward to what we expect will be ongoing performance in the regulated space, especially as we believe interest rates will remain low for the majority of 2010. In 2009, our allocation to the integrated utilities has hurt on a relative basis, given depressed natural gas prices. Additionally, we expect to see independent power producers perform better into 2010, as their traditionally higher volatility should provide a boost as the market continues to recover.
Within the telecommunications sector, we expect capital spending to remain relatively flat—with increased spending in wireless and slightly less spending in wireline. Elsewhere, we like rural local exchange carriers (RLECs) as promising cash-flow generators and dividend payers. RLECs are potential beneficiaries of the economic stimulus plan, as broadband is likely rolled out across franchise territories. The cell phone tower companies also seem to be well-positioned given their contracts with wireless providers who will likely need more servicing and higher-quality networks as data-heavy smart phones continue to develop.
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The telecom and utility sectors have been negatively affected by the economy’s weakness. The net result, however, has been what we think are some attractive valuations on a price-to-earnings (P/E) basis, coupled with above-average dividend yields. Additionally, the earnings in these sectors typically mimic overall economic growth, which should be an important factor as we potentially move closer to a sustainable recovery.
Portfolio Facts
As of December 31, 2009
Net Assets | $6,376,286 | |
NAV | $7.76 | |
NAV - High† | 12/28/2009 - $7.85 | |
NAV - Low† | 3/9/2009 - $5.55 | |
Number of Holdings: 90 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 12.00% | -13.24% |
| * | 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 Utilities Index is a capitalization-weighted index of utilities sector securities. 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 this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
| *** | The S&P 500 Telecommunications Services Index is a capitalization-weighted index of telecommunications sector securities. 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 this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Subadvised by Turner Investment Partners, Inc.
Thrivent Partner Small Cap Growth Portfolio seeks long-term capital growth.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Small Cap Growth Portfolio earned a return of 34.75% as compared to the median return of its peer group, the Lipper Small-Cap Growth category, of 35.06%. The Portfolio’s market benchmark, the Russell 2000® Growth Index, earned a return of 34.47%.
What factors affected the Portfolio’s performance?
In 2009, the equity markets rebounded nicely following one of the strongest market corrections on record. What initially started as a low-quality rally with lower-priced and smaller market-cap stocks, broadened out as the year progressed, and the Portfolio delivered strong relative results for the year. We believe that earnings and company fundamentals have become more of a focal point, as investors focus on top-line results. This theme has traditionally favored our investment style.
For the year, the Portfolio outperformed in five of the nine economic sectors, led by producer durables, energy and consumer staples. Contributing to the Portfolio’s performance were holdings in semiconductor capital equipment stocks. We were overweighted in semiconductor holdings, including early-cycle companies that we believed would benefit on the front-end of an economic recovery. This positioning paid off as semiconductor capital equipment holdings were up considerably for the year.
Detracting from performance were the health care, financial and utilities sectors. The medical-specialties industry (within health care) was by far the largest detractor from performance. For example, Wright Medical Group, Inc. cut its earnings guidance earlier in the year as management cited concerns over a more difficult industry environment and higher compliance spending. We sold our position in this stock during the year. And Thoratec Corporation suffered some pressure during the year as investors awaited data from the Food and Drug Administration on approval of its HeartMate II ventricular device. We still maintain a position in this stock, as we feel the company’s growth rate will exceed expectations.
What is your outlook?
The stock market is expected to continue to deliver good news in 2010, driven by three catalysts. First, corporate profits should continue to surprise on the upside in 2010, and we think corporate earnings should climb at double-digit rates in both 2010 and 2011. Second, we think economic growth (here and abroad) should exceed expectations. The U.S. economy could grow 3-4%, and the global economy could expand by more than 4% in 2010. Third, investor sentiment appears neutral at best.
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We believe there’s skepticism about stocks’ ability to move further upward. Indeed, between March and November 2009, investors pulled $13 billion out of U.S. stock funds and placed $239 billion in bond funds, according to Morningstar. So we believe there’s plenty of capital on the sidelines that could help lift stocks higher, especially if investors gain confidence about sustained economic growth.
Portfolio Facts
As of December 31, 2009
Net Assets | $160,486,579 | |
NAV | $10.03 | |
NAV - High† | 12/24/2009 - $10.16 | |
NAV - Low† | 3/9/2009 - $5.68 | |
Number of Holdings: 194 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 34.75% | -0.57% | 2.26% |
| * | The Russell 2000® Growth Index is an index comprised of small capitalization companies with a greater than average growth orientation. 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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 | Thrivent Partner Small Cap Value Portfolio |
Subadvised by T. Rowe Price Advisors, Inc.
Thrivent Partner Small Cap Value Portfolio seeks long-term growth of capital.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Small Cap Value Portfolio achieved a return of 30.24% for the one-year period ended December 31, 2009. Over the same period, the median return in the Portfolio’s peer group, the Lipper Small-Cap Value category, was 29.47% and the market index, the Russell 2000® Value Index, return was 20.58%.
What factors affected the Portfolio’s performance?
The financials sector was the top contributor to results versus the market index. The Portfolio benefited from stock selection and an advantageous underweighting to the sector. Specifically helpful was our overweighting in capital markets, driven by Ares Capital Corporation and Pennantpark Investment Corp. Additionally helpful to performance were our stock selections and underweighting in commercial banks SVB Financial Group was a top contributor, having benefited from, among other things, improved credit conditions, gained market share and the issuance of several new loans.
Industrials and business services were home to a number of strong performers. Nordson Corporation, a global equipment manufacturer, was supported throughout the year by its profitable service/parts business. MPS Group, Inc., a professional staffing firm, benefited from the announcement that Adecco SA, a large Swiss-based global staffing firm, would acquire the company at a premium.
Energy stocks as a group produced the strongest absolute return for the Portfolio, led by Whiting Petroleum Corporation. The share price of this oil-and-gas exploration and production company enjoyed a healthy upswing as oil prices rebounded from the previous year’s lows.
Materials stocks did well during 2009, and the sector produced the best absolute return within the index. The Portfolio holdings in the materials group underperformed the materials sector, although having an overweight position in a strong performing sector mitigated some of the impact. Holdings in the containers and packaging, paper and forest products, and chemicals industries contributed to the underperformance.
Consumer discretionary was another sector where having an overweight position in the strong performing sector helped. Several companies that held up well through the depths of the economic downturn did not fully participate in the stock price rally. Examples include: Aarons, Inc., a home and office furnishings rental company, and Matthews International Corporation, which sells funeral memorial products.
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What is your outlook?
The post-bear market rally may continue to follow a historical pattern in 2010—bounce off the bottom, typically giving way to stocks trading in a range, followed by a period of modest gains. The caveats to this somewhat bullish scenario are focused on what Congress may decide regarding financial regulation, health care reform and higher taxes. Small-cap stocks appear reasonably well positioned as an asset class, but investors will likely need to be nimble to sort out the winners from the losers. We believe our research-based approach is well suited to such an environment.
Portfolio Facts
As of December 31, 2009
Net Assets | $226,346,373 | |
NAV | $15.58 | |
NAV - High† | 12/24/2009 - $15.90 | |
NAV - Low† | 3/9/2009 - $8.08 | |
Number of Holdings: 171 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 4/30/2003 | ||
| 30.24% | 3.68% | 11.54% |
| * | The Russell 2000® Value Index measures the performance of small cap value 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Small Cap Stock Portfolio earned a return of 20.38% compared with the return of its market benchmark, the Russell 2000® Index, of 27.17%. The Lipper Small-Cap Core category median return was 27.84%.
What factors affected the Portfolio’s performance?
During the period, the financial markets experienced extreme volatility as investors struggled to comprehend the severity of the financial crisis and the ramifications of federal government intervention in the marketplace. Early in the period, the equity markets experienced a severe market decline, but later in the period saw a historic market rally. Initially, the Portfolio was positioned defensively, focusing on high-quality companies situated in non-cyclical sectors of the market. While the market was in decline, the Portfolio performed well primarily due to appropriate sector allocation. As the market decline abated, the Portfolio was repositioned into more economically sensitive sectors and overweighted in the information technology, consumer discretionary, basic materials and energy sectors.
However, the Portfolio’s focus in high-quality stocks, along with, in our view, the speculative nature of the market rally, resulted in an inability to match market returns. The rally was almost unprecedented in its velocity of returns, as the Russell 2000® Index appreciated by more than 80% from the market bottom in March through the end of December. The best performing stocks during this period were low-quality stocks as measured by economic returns, as well as stocks with a low market cap, low dollar price, little-to-no earnings, and high debt levels. Unfortunately, even though the Portfolio was repositioned, it could not match the high-octane returns of this rally.
What is your outlook?
Our near-term outlook for equity returns remains positive due primarily to continued signs of improvement in many economic indicators, as well as the reflationary policies of the Federal Reserve. However, the balance sheet of the consumer remains concerning. While job losses seem to be slowing, we have yet to see job growth or a decline in the unemployment rate. Debt levels also remain high. Although we are still in the midst of a debt deflation cycle, we believe the government stimulus programs should at least stimulate economic growth over the next several quarters. Nonetheless, these stimulus programs have a cost, and we remain concerned about the high federal deficit and its impact on the U.S. dollar. We will look to capitalize on reflationary-related
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opportunities within the basic materials, energy, industrials and information technology sectors. We intend to continue the Portfolio’s core investment philosophy of owning high-quality stocks with improving fundamentals, solid valuations and positive economic returns. While optimistic that the worst of the economic crisis is over, we plan to remain diligent in analyzing new data as it becomes available to help ensure continued recovery.
Portfolio Facts
As of December 31, 2009
Net Assets | $258,492,738 | |
NAV | $10.13 | |
NAV - High† | 12/24/2009 - $10.35 | |
NAV - Low† | 3/9/2009 - $6.28 | |
Number of Holdings: 250 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 20.38% | -0.41% | 4.45% |
| * | The Russell 2000® Index measures the performance of small cap 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Small Cap Index Portfolio earned a return of 25.29% as compared to the median return of its peer group, the Lipper Small-Cap Core category, of 27.84%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of 25.56%.
What factors affected the Portfolio’s performance?
The Portfolio is managed to approximate the performance of the S&P SmallCap 600 Index, a prime measure of small stock performance. We seek to maintain a fully invested position with limited transactions to minimize costs. As typically occurs with an index portfolio, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses and minor differences in portfolio composition.
Small-cap stocks underperformed both mid-cap stocks and large-cap stocks for the last 12 months. Eight sectors out of 10 sported a positive return. The energy and consumer discretionary sectors led the way with the most positive returns. Stocks of financial firms and telecommunication services were the weakest performers, with both posting negative returns.
What is your outlook?
The Portfolio will remain fully invested to try to track the performance of the S&P SmallCap 600 Index. This can be an attractive way for individuals to try to take advantage of the growth potential of the broad, diversified marketplace of small-cap stocks.
Over the past year, investors seemed more open to taking risk, providing an environment that tends to favor mid- and small-capitalized companies. We believe that small-cap companies, particularly those exposed to the domestic markets and American consumers, have had a more challenging operating environment relative to mid-cap companies.
The financial markets appear to be resolving some of the uncertainty that surrounded the fixed-income markets and contributed to the previous severe credit contraction. It is possible that a new economic cycle may be starting. Typically, as a new economic cycle starts, investors begin to favor smaller-cap issues.
We still believe there is solid opportunity in the small-cap arena, but the premium return for small caps is likely to be limited in the future as the new cycle continues to mature.
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Portfolio Facts
As of December 31, 2009
Net Assets | $203,919,492 | |
NAV | $10.57 | |
NAV - High† | 6/4/2009 - $11.09 | |
NAV - Low† | 3/9/2009 - $7.16 | |
Number of Holdings: 604 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 25.29% | 1.13% | 6.04% |
| * | The S&P SmallCap 600 Index is an index that represents the average performance of a group of 600 small capitalization stocks. 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. The performance of the Index does not reflect deductions for fees, expenses and 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Mid Cap Growth Portfolio II achieved a return of 49.31% for the fiscal year ended December 31, 2009. Over the same period, the Portfolio’s benchmark index, the Russell Midcap® Growth Index, earned a return of 46.29%, and the median return in the Portfolio’s peer group, the Lipper Mid-Cap Growth category, was 42.84%.
What factors affected the Portfolio’s performance?
The biggest driver of the Portfolio’s performance over the past year was an allocation to early-cycle stocks that perform well at the onset of economic recoveries. The mid-cap segment of the market, in particular, offers more exposure to those segments of the economy with a high degree of economic sensitivity. We took advantage of weakness in the consumer discretionary and technology sectors and bought stocks that we believed would weather the economic downturn and do well coming out of the recession. We also avoided the financial sector for the most part, as we remained concerned about poorly performing loans in the residential mortgage market as well as the commercial real estate market. We remain cautious on the financial sector as we believe some institutions have yet to address additional loan losses on their books.
What is your outlook?
We have seen a rally off the March lows, with a heavy Portfolio weighting toward early-cycle stocks that will likely benefit from an economic recovery. This rally has been fueled in part by an increase of monetary liquidity as well as fiscal stimulus pumped into the system. As we go forward, the employment situation will likely be crucial to sustaining the recovery. Our belief is that without a recovery in the job situation, investors may become increasingly wary, as relatively high expectations have been built into stock valuations. With that in mind, we believe risk aversion will be an emerging theme as the year unfolds. We have been systematically moving up in market cap, and positioning the Portfolio toward later-cycle companies.
It is also our belief that this unprecedented stimulus is likely to bring about inflation at some point. Therefore, our Portfolio has a fairly significant inflation bent within the materials and energy sectors. If global growth rebounds, these stocks should do well. If the government continues to print money, these stocks should do well as inflation will likely escalate.
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Portfolio Facts
As of December 31, 2009
Net Assets | $125,842,491 | |
NAV | $8.43 | |
NAV - High† | 12/24/2009 - $8.57 | |
NAV - Low† | 3/9/2009 - $4.51 | |
Number of Holdings: 92 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 49.31% | 4.36% | 2.09% |
| * | The Russell Midcap® Growth Index measures the performance of mid cap growth 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Mid Cap Growth Portfolio achieved a return of 50.94% for the fiscal year ended December 31, 2009. Over the same period, the Portfolio’s benchmark index, the Russell Midcap® Growth Index, earned a return of 46.29% and the median return in the Portfolio’s peer group, the Lipper Mid-Cap Growth category, was 42.84%.
What factors affected the Portfolio’s performance?
The biggest driver of the Portfolio’s performance over the past year was an allocation to early-cycle stocks that perform well at the onset of economic recoveries. The mid-cap segment of the market, in particular, offers more exposure to those segments of the economy with a high degree of economic sensitivity. We took advantage of weakness in the consumer discretionary and technology sectors and bought stocks that we believed would weather the economic downturn and do well coming out of the recession. We also avoided the financial sector for the most part, as we remained concerned about poorly performing loans in the residential mortgage market as well as the commercial real estate market. We remain cautious on the financial sector as we believe some institutions have yet to address additional loan losses on their books.
What is your outlook?
We have seen a rally off the March lows, with a heavy Portfolio weighting toward early-cycle stocks that will likely benefit from an economic recovery. This rally has been fueled by an increase of monetary liquidity as well as fiscal stimulus pumped into the system. As we go forward, the employment situation will likely be crucial to sustaining the recovery. Our belief is that without a recovery in the job situation, investors may become increasingly wary, as relatively high expectations have been built into stock valuations. With that in mind, we believe risk aversion will be an emerging theme as the year unfolds. We have been systematically moving up in market cap, and positioning the Portfolio toward later-cycle companies.
It is also our belief that this unprecedented stimulus is likely to bring about inflation at some point. Therefore, our Portfolio has a fairly significant inflation bent within the materials and energy sectors. If global growth rebounds, these stocks should do well. We anticipate that these stocks will do well if inflation escalates, as we expect.
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Portfolio Facts
As of December 31, 2009
Net Assets | $365,215,499 | |
NAV | $14.42 | |
NAV - High† | 12/24/2009 - $14.64 | |
NAV - Low† | 3/9/2009 - $7.72 | |
Number of Holdings: 113 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 50.94% | 5.19% | 2.75% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The Russell Midcap® Growth Index measures the performance of mid cap growth 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Partner Mid Cap Value Portfolio earned a return of 32.33% as compared to the median return of its peer group, the Lipper Mid-Cap Value category, of 32.63%. The Portfolio’s market benchmark, the Russell Midcap® Value Index, returned 34.21% during the fiscal year.
What factors affected the Portfolio’s performance?
In the rally that was particularly pronounced in the mid-cap segment, the Thrivent Partner Mid-Cap Value Portfolio modestly underperformed the Russell Midcap® Value Index. Our stock selections within the energy and materials sectors proved helpful to performance, but some holdings within consumer discretionary and technology detracted from performance.
Stock selection was the strongest in the energy sector. Several of our holdings experienced strong gains that surpassed the mid-single digit gains of the market. Two such examples are exploration and production companies Whiting Petroleum Corp. and Newfield Exploration Co. Their shares were likely boosted by the announcement of a major acquisition in the industry, signaling potential future consolidation, in addition to improving energy prices during the latter part of the fourth quarter. Share prices of some of our retailers, including J.C. Penney Co., Inc., fell and detracted from performance. We believe this was due to market concerns over consumer sales trends. We feel that the current environment presents an opportunity to add great franchises to the Portfolio at favorable valuations, as we believe that many companies with strong balance sheets and disciplined management have lagged in the recent rally. Within the financials sector, we continue to favor insurance companies with opportunities for pricing improvement and market share gains due to decreased competition.
What is your outlook?
Looking into the U.S. equity market in 2010, we believe there are opportunities to buy quality businesses at deeply discounted valuations. We believe that many quality stocks are inexpensive relative to their lower-quality peers—a valuation gap that we expect to narrow gradually. We expect that earnings will accelerate due to economic improvement and company-level operating leverage driven by cost cutting. We anticipate that lower borrowing costs should be a further tailwind to earnings. If, as we expect, investors refocus on fundamentals, we believe that 2010 will be a fertile environment to generate return without additional risk. We continue to anticipate increased stock-level differentiation, distinguishing
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quality companies with robust business models from those likely to remain challenged. We see prospects in select companies that appear poised to benefit from an environment of lower competition, higher pricing and improved market share. We intend to maintain our focus on quality companies trading at compelling valuations and believe that this long-term discipline will likely help us navigate volatile markets.
Portfolio Facts
As of December 31, 2009
Net Assets | $183,704,037 | |
NAV | $10.82 | |
NAV - High† | 12/24/2009 - $11.08 | |
NAV - Low† | 3/9/2009 - $6.41 | |
Number of Holdings: 104 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
1-Year | From Inception 4/29/2005 | |
32.33% | 3.68% |
| * | The Russell Midcap® Value Index is an index comprised of mid-cap companies with lower than average price-to-book ratios and lower forecasted growth values. 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
The Thrivent Mid Cap Stock Portfolio earned a return of 39.10% as compared to the median return of its peer group, the Lipper Mid-Cap Core category, of 36.92%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of 40.48%.
What factors affected the Portfolio’s performance?
The Portfolio’s performance was driven by an overweighting within cyclical sectors, including industrials, information technology and energy. The industrials sector was led by Oshkosh Corporation, which benefitted from the combination of declining solvency risk and a major order from the U.S. military. Attractive valuations, significant expense reductions and low inventories provided leverage to the information technology sector as orders seemed to begin to stabilize. Our stock selections within the energy sector focused on rig-and-oil service companies, which appreciated as the markets anticipated improving fundamentals. Additionally, our underweighting of the utility sector added to performance because that sector lagged the overall market given the sector is less sensitive to a recovering economy. Two sectors, financials and consumer discretionary, were detractors to overall performance. Both sectors suffered from poor security selection. Within the financial sector, insurance stocks lagged as low valuations failed to offset a tepid pricing environment. Rising loan losses also continued to buffet regional bank holdings during the year. An ill-timed overweighting in homebuilding stocks and an underweighting of online travel agencies contributed to underperformance in the consumer discretionary sector. In general, the Portfolio’s solid performance can be attributed, for the most part, to our pro-cyclical stance and exposure to companies that benefitted from a weak dollar via strong export sales.
What is your outlook?
The Portfolio continues a pro-cyclical tilt. We believe accommodative monetary and fiscal policies and low interest rates should prove catalysts for economic growth in 2010. Our focus remains on what we think are attractive valuations, solid balance sheets and strong free cash flow. Economically sensitive stocks exhibiting these characteristics should provide downside support and simultaneous upside leverage as the recovery likely continues. We remain overweighted in information technology and materials. And within information technology, investments are concentrated in companies with what we believe are solid balance sheets and free cash flow, low cost structures, low inventory levels, and new product cycles. The Portfolio continues its overweighting
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in container and packaging companies within the materials sector. While exposure to this less-cyclical subsector was reduced, we maintain some leverage since we think fundamentals and valuations remain attractive. The Portfolio is currently underweighted in consumer discretionary stocks, due to what we think are less-attractive valuations, and because consumers continue to show a stronger commitment to saving versus spending. In summary, the Portfolio continues to position for an economic upturn with a disciplined focus on valuation, solid balance sheets and financial flexibility.
Portfolio Facts
As of December 31, 2009
Net Assets | $443,522,484 | |
NAV | $9.80 | |
NAV - High† | 12/24/2009 - $10.01 | |
NAV - Low† | 3/9/2009 - $5.65 | |
Number of Holdings: 134 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 39.10% | 2.83% | 3.56% |
| * | The Russell Midcap® Index is an index that measures the performance of the smallest 800 securities in the Russell 1000® Index, as ranked by total market capitalization. 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Mid Cap Index Portfolio earned a return of 36.69% as compared to the median return of its peer group, the Lipper Mid-Cap Core category, of 36.92%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of 37.37%.
What factors affected the Portfolio’s performance?
Because it is designed to invest in a way that reflects its benchmark index, the only changes made to the Portfolio are done to reconcile the Portfolio with any alterations in the composition of the index itself. As typically occurs with an index fund, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses and minor differences in Portfolio composition.
Mid-cap stocks outperformed both large- and small-cap stocks. Within the benchmark index, each of the 10 sectors posted positive returns. Energy and information technology posted the most positive returns, reflecting a bit of a reversal as these sectors were bottom-tier performers in the prior year. Financials underperformed the most during the last 12 months, reflecting increased levels of risk within the sector.
What is your outlook?
The Portfolio will remain fully invested in a way that seeks to track the performance of the S&P MidCap 400 Index. This can be an attractive way for individuals to try to take advantage of the investment potential of the broad, diversified marketplace for mid-cap stocks.
Over the last 12 months, investors went from being extremely risk-averse to becoming less risk-averse, providing an environment that tends to favor smaller companies. Mid-cap companies, particularly those exposed to the domestic markets and U.S. consumers, outperformed their large-cap counterparts.
The financial markets appear to be resolving some of the uncertainty and ambiguity that have surrounded the fixed-income markets and contributed to the previous severe credit contraction. It is possible that a transition may be taking place. Typically, as a new economic cycle starts, investors begin to favor mid- and small-cap issues. We believe that attractive opportunities are available in the mid-cap marketplace in the months ahead. At the same time, we are realistic in our expectations that the premium return to the mid-cap sector is likely to be reduced in the future as the economic cycle continues.
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Portfolio Facts
As of December 31, 2009
Net Assets | $86,932,328 | |
NAV | $10.37 | |
NAV - High† | 12/24/2009 - $10.55 | |
NAV - Low† | 3/9/2009 - $6.27 | |
Number of Holdings: 404 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 36.69% | 2.95% | 5.37% |
| * | The S&P MidCap 400 Index is an index that represents the average performance of a group of 400 medium capitalization stocks. 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. 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner Worldwide Allocation Portfolio earned a return of 31.67% for the one-year period ended December 31, 2009. Over the same period, the median return in the Portfolio’s peer group, the Lipper International Core category, was 29.64% while the benchmark index, the MSCI All Country World Index ex-USA, achieved a return of 42.14%.
What factors affected the Portfolio’s performance?
The Portfolio is managed by five advisory teams, each focused on managing a particular segment of the investment markets outside the U.S. Two managers focus on the large-cap Europe, Australasia, Far East (EAFE) markets, while two others focus on small/mid-cap EAFE and emerging equity markets, respectively. A fifth manager is responsible for the emerging debt market segment. The Portfolio’s large- and small-cap EAFE managers performed better in the early part of the year as markets around the globe declined and the defensive holdings in their respective accounts declined less than the overall market. The markets bottomed late in the first quarter and staged a rally in the second and third quarters. Market leadership changed dramatically with low-quality, low-priced and high-volatility stocks leading the market indexes upward. None of these managers was able to reposition to the required aggressive investment strategies in such a short time period. However, being underweighted in the lowest tier of quality and lacking strong pro-cyclical exposure, particularly among the direct beneficiaries of government intervention, proved very costly in terms of relative performance. As such, a performance shortfall was realized, particularly during the unusually strong recovery in the markets in the second and third quarters. Some of that shortfall was mitigated by strong relative returns from the emerging markets debt and equity segments of the Portfolio, but their performance was not sufficient to offset the lag in overall returns. In the fourth quarter, all the investment styles were able to achieve results much more consistent with their long-term objectives and in better relationship to their respective market benchmarks, resulting in improved total Portfolio results versus both peers and benchmarks.
What is your outlook?
It appears that the worst of the recession is over. Most leading economic indicators seem to be turning positive: home prices are stabilizing, credit markets are beginning
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to have a function again, government spending is having a stimulative effect, and consumer confidence is improving. But the outlook is far from clear. Our concerns include: the private sector and now public sector debt overhang, the still-rising unemployment rate in most developed countries, the bad assets lingering on the balance sheets of many banks, the pull of inflationary and deflationary forces, the risk of increasing protectionism, and the potential for policy missteps as monetary and fiscal stimuli are removed from the system. We believe that an important issue in sustaining the market advance will be the realization of the aggressive earnings expectations that are driving stock prices. We expect to remain in a volatile economic and market environment for the coming months. Whereas the first phase of the market recovery was characterized by solvency and survival, the next phase will likely be more focused on quality and fundamentals.
Portfolio Facts
As of December 31, 2009
Net Assets | $254,871,845 | |
NAV | $7.84 | |
NAV - High† | 12/2/2009 - $8.01 | |
NAV - Low† | 3/9/2009 - $4.73 | |
Number of Holdings: 441 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 31.67% | -12.37% |
| * | 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 MSCI All Country World Index ex-USA is an unmanaged market capitalization-weighted index that is designed to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner International Stock Portfolio earned a return of 24.79% for the one-year period ended December 31, 2009. Over the same period, the median return in the Lipper International Core category was 29.64%, while the Portfolio’s benchmark, the MSCI Europe, Australasia and Far East (EAFE) Index, achieved a return of 32.46%.
What factors affected the Portfolio’s performance?
The Portfolio is managed by two advisory teams, each focuses on managing a Portfolio segment in the developed markets as represented by the MSCI EAFE Index. The two managers utilize different but complementary investment styles and processes—one focused on a valuation approach while the other utilizes fundamental momentum strategies. The managers performed better in the early part of the year as markets around the globe declined and the defensive holdings in their respective accounts declined less than the overall market. The markets bottomed late in the first quarter and staged a rally in the second and third quarters. Market leadership changed dramatically with low-quality, low-priced and high-volatility stocks leading the market indexes upward. Neither one of the managers was able to reposition to the required aggressive investment strategies in such a short time period. However, being underweighted in the lowest tier of quality and lacking strong pro-cyclical exposure, particularly among the direct beneficiaries of government intervention, proved very costly in terms of relative performance. As such, a meaningful performance shortfall was realized, particularly during the unusually strong recovery in the markets in the second and third quarters. In the fourth quarter, both of the investment styles were able to achieve results much more consistent with their long-term objectives and in better relationship to their respective market benchmarks, resulting in improved total Portfolio results versus both peers and benchmarks in the fourth quarter.
What is your outlook?
It appears that the worst of the recession is over. Most leading economic indicators seem to be turning positive: home prices are stabilizing, credit markets have begun to function again, government spending is having a stimulative effect, and consumer confidence is improving. But the outlook is far from clear. Our concerns include: the private sector and now public sector debt overhang,
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the still-rising unemployment rate in most developed countries, the bad assets lingering on the balance sheets of many banks, the pull of inflationary and deflationary forces, the risk of increasing protectionism, and the potential for policy missteps as monetary and fiscal stimuli are removed from the system. We believe that an important issue in sustaining the market advance will be the realization of the aggressive earnings expectations that are driving stock prices. We expect to remain in a volatile economic and market environment for the coming months. Whereas the first phase of the market recovery was characterized by solvency and survival, the next phase will likely be more focused on quality and fundamentals.
Portfolio Facts
As of December 31, 2009
Net Assets | $882,943,082 | |
NAV | $9.99 | |
NAV - High† | 12/2/2009 - $10.32 | |
NAV - Low† | 3/9/2009 - $6.12 | |
Number of Holdings: 227 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 24.79% | 2.34% | -0.70% |
| * | 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 MSCI EAFE Index measures the performance of stocks in 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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 | Thrivent Partner Socially Responsible Stock Portfolio |
Subadvised by Calvert Asset Management Company, Inc. and Atlanta Capital Management, L.L.C.
Thrivent Partner Socially Responsible Stock Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in small-cap and mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. The Portfolio is also subject to the risks of investing in foreign stocks. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner Socially Responsible Stock Portfolio earned a return of 35.65% as compared to the median return of its peer group, the Lipper Large-Cap Growth category, of 37.56%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 26.47%.
What factors affected the Portfolio’s performance?
At the aggregate portfolio level, the biggest contributions to relative performance came from the energy and technology sectors. We were underweighted in the lagging energy sector, and the top-performing technology sector was our biggest overweighting. Stock selection within each added to performance as well. We also had positive net contributions in most other sectors. Only in the health care sector did our holdings and weighting detract from performance. While several holdings offset the negative impact of Gilead and Genzyme, performance was further limited as we did not have exposure to Wyeth and Schering-Plough, which were the targets in two large pharmaceutical mergers.
What is your outlook?
A sense of optimism about the future is much easier to muster in January 2010 than it was in January 2009.
While the economy is hardly robust, early signs of recovery exist, and the stock market has registered a gain above the long-term average. Unfortunately, that return did little to assuage a poor decade for equities.
We’re not ready to make a prediction about the entire next decade, but we believe further gains lie ahead in 2010. We expect the economy will continue to gradually improve as the year wears on. If the anticipated modest recovery does not occur, we expect surprises to the upside are more likely than surprises to the downside. Despite the market’s strong move off the March low, valuations appear to be reasonable. Improvements in the U.S. and global economy should drive strong earnings growth, and that will likely push the stock market higher. We believe the biggest risks to our forecasts emanate from Washington. Policy mistakes, be they fiscal or monetary, have the potential to complicate stock market advances.
The occurrence of these potential mistakes is not the basis for our outlook, however. Instead, we expect moderate gains. It’s likely that the pace of the stock market’s advance will decelerate. The early gains have been made as we stepped back from the brink. From here, we expect the market to reward predictable and steady earnings growth. That probably means growth over value,
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large-cap stocks over small-cap stocks, and a potential advantage accruing to the socially responsible companies that dominate this Portfolio. Whatever environment we confront, we intend to work diligently to identify what we believe is the best combination of growth prospects and attractive valuation in the year ahead.
Portfolio Facts
As of December 31, 2009
Net Assets | $4,130,015 | |
NAV | $8.76 | |
NAV - High† | 12/28/2009 - $8.88 | |
NAV - Low† | 3/9/2009 - $5.00 | |
Number of Holdings: 50 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 35.65% | -7.24% |
| * | 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 widely held, publicly traded 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. “S&P 500” 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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 | Thrivent Partner All Cap Growth Portfolio |
Subadvised by Calamos Advisors LLC
Thrivent Partner All Cap Growth Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in small-cap and mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner All Cap Growth Portfolio earned a return of 50.32% as compared to the median return of its peer group, the Lipper Multi-Cap Growth category, of 38.89%. The Portfolio’s market benchmark, the Russell 3000® Growth Index, earned a return of 37.01%.
What factors affected the Portfolio’s performance?
The Portfolio turned in solid absolute and relative performance during 2009. It benefited as the broad market favored some traditional growth sectors—such as information technology and consumer discretionary—and as companies with the highest expected long-term growth rates performed well within the index. Quality growth stocks and some cyclical businesses rebounded strongly from oversold conditions. While the market has rallied strongly and the Portfolio turned in a strong year, we are still finding quality growth businesses that we believe are priced attractively relative to cash flows.
During the year, the biggest driver of relative performance came from the information technology sector, with stock selection and an overweighted position both adding value. This was one of the best performing sectors within the Russell 3000® Growth Index and led in the broader market as measured by the S&P 500 Index.
Strong selection within consumer discretionary also added to relative returns. We remain cautious to this area due to our concerns that consumers are still interested in correcting their personal balance sheets and may cut back on their spending. However, we believe we have found some attractive opportunities within the Internet retail industry.
In energy, we believe valuations are reasonable within the sector and any further dollar devaluation should help support energy prices. We have found success within industries such as drilling, exploration and production, as well as equipment and services. Our exposure here may also act as a potential hedge against inflation.
What is your outlook?
Heading into 2010, the Portfolio’s largest sector overweighting is in information technology and energy. We like the information technology sector in part because we believe it holds better long-term growth potential due to offering productivity enhancers and providing consistent improvements in corporate and consumer devices. Additionally, many of the technology companies seem to possess cleaner balance sheets with lower debt levels and may be less dependent on accessing the capital markets to fund their growth. Within the energy sector, the overweighting stems from our belief that as the economy
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recovers, albeit slowly, many energy names will see continued growth. Valuations and earnings of certain companies in this sector still appear attractive. Our most significant underweighting relative to the benchmark index is to consumer staples because we did not see attractive growth potential or valuations. Some consumer staples names now look more attractive relative to the rest of the market following the current rally.
The economic landscape still appears volatile and less predictable than in the recent past, but should provide opportunities for companies with better balance sheets and strong management to take advantage of their competitive positioning.
Portfolio Facts
As of December 31, 2009
Net Assets | $8,096,440 | |
NAV | $8.03 | |
NAV - High† | 12/28/2009 - $8.14 | |
NAV - Low† | 3/9/2009 - $4.42 | |
Number of Holdings: 91 | ||
† For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 50.32% | -12.29% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The Russell 3000® Growth Index is an index that measures the performance of the broad growth segment of U.S. equities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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 | Thrivent Partner All Cap Value Portfolio |
Subadvised by OppenheimerFunds, Inc.
Thrivent Partner All Cap Value Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in small- and mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. The Portfolio is also subject to the risks of investing in foreign (including emerging market) stocks. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner All Cap Value Portfolio earned a return of 41.20% during the 12-month reporting period ended December 31, 2009. The Portfolio’s market benchmark, the Russell 3000® Value Index, earned a return of 19.76%. The median return in the Portfolio’s peer group, the Lipper Multi-Cap Value category, was 26.24%.
What factors affected the Portfolio’s performance?
The Portfolio outperformed as a result of stock selection in the industrials, materials, energy, information technology, financials and health care sectors. Overweighted positions in the information technology and materials sectors also benefited the Portfolio’s performance. The Portfolio underperformed within the consumer staples sector, primarily as a result of weaker stock selection.
In terms of individual stock contributors within the industrials sector, Tyco International Ltd., Navistar International Corp., AirCastle Ltd. and Genesis Lease Ltd. produced strong relative results for the Portfolio. Within machinery, Navistar rebounded strongly, and within the industrial conglomerates subsector, Tyco did the same.
The materials sector was the second largest relative contributor to Portfolio performance with the top contributor to performance being chemicals supplier Lubrizol Corp. Within the energy sector, underweighting in Exxon Mobil Corp., which underperformed during the reporting period, helped relative performance. In the information technology sector, Research in Motion Ltd. was the top contributor to performance for the Portfolio. Information technology holding Qualcomm, Inc., which we maintained a position in at period end, also performed well for the Portfolio during the reporting period.
The Portfolio underperformed the index in consumer staples, as overweighted positions in The Kroger Co., Molson Coors Brewing Co. and Campbell Soup Co. detracted from results during the period. We exited our position in Campbell Soup by period end. A few other individual detractors to Portfolio performance included financials firms GAM Holding AG and Bank of America Corp., utilities company American Electric Power Co., Inc. and biotech firm Orexigen Therapeutics, Inc. We exited our positions in GAM, American Electric Power and Orexigen but continued to hold Bank of America at period end.
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What is your outlook?
We believe that 2010 will continue some of the positive economic trends we saw emerging in the last half of 2009, as the U.S. economy returned to positive GDP growth in the third and fourth quarters of 2009. We believe as the U.S. economy moves further along into economic recovery, the Portfolio’s emphasis on higher-quality stocks and underlying fundamentals should make it well-positioned in the current market environment. We expect higher-quality stocks to take over market leadership from the lower-quality and nondividend-paying stocks, which had a strong run in the second and third quarters of 2009 following the March 2009 market lows.
Portfolio Facts
As of December 31, 2009
Net Assets | $5,523,460 | |
NAV | $7.65 | |
NAV - High† | 12/24/2009 - $7.85 | |
NAV - Low† | 3/9/2009 - $4.37 | |
Number of Holdings: 51 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 41.20% | -13.31% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The Russell 3000® Value Index is an index that measures the performance of the broad value segment of U.S. equities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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 | Thrivent Partner All Cap Portfolio |
Subadvised by Pyramis Global Advisors, LLC, an affiliate of Fidelity Investments
Thrivent Partner All Cap Portfolio seeks long-term growth of capital.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner All Cap Portfolio earned a return of 28.48% as compared to the median return of its peer group, the Lipper Multi-Cap Core category, of 30.62%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 28.34%.
What factors affected the Portfolio’s performance?
Stock selection in the information technology and health care sectors contributed the most to relative performance, while holdings in the consumer staples and materials sectors detracted from performance. Among technology stocks, the overweighting in communications equipment maker Brocade Communications Systems was the largest Portfolio contributor. The capital markets industry within the financial sector had the most limiting effect on returns as the Portfolio’s holdings did not keep pace with the advance seen in the benchmark index and because we were modestly underweighted in the group most of the year.
What is your outlook?
We continue to see incremental signs of improvement in areas of the economy and believe the improvements will continue into 2010. We would not describe our positioning as overly aggressive, but we believe that we are fairly balanced across our holdings with fundamental upside, balance sheet strength, relative valuation and strategic importance as likely driving factors of our positioning.
Examples of this balance in the Portfolio can be found in the consumer sector, where we had been less aggressive through most of 2009, but now have been moving the Portfolio to a slightly more aggressive stance because we believe there is a recovery under way in retail, autos and housing-related areas. We believe these themes will continue in 2010 as many of these companies will likely face easier-than-normal comparisons versus a year ago. Similarly, in the areas of the market that tend to be sensitive to global industrial activity, like materials and industrials, we have been more aggressive in our positioning. In these areas, we have been investing in names we think have tight or improving supply/demand, and companies we think have improving volume and/or pricing power in 2010, which we believe will be a result of improving global economic activity. In technology, where we have been somewhat more aggressive in the past, we have begun to slightly reduce our risk profile as the sector has appreciated significantly. We continue to invest in themes like improving PC demand and semiconductor capital equipment manufacturers, but we are becoming more focused on relative valuation when identifying opportunities in these areas. Similarly, within
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financials, we are more optimistic than a year ago but remain cautious about commercial real estate. As a result, we have continued to avoid the smaller regional banks in favor of larger, more diversified banks. We have balanced this more defensive positioning with increased exposure to companies more leveraged to the capital markets and have been reducing our exposure to insurance companies.
Portfolio Facts
As of December 31, 2009
Net Assets | $62,614,815 | |
NAV | $7.73 | |
NAV - High† | 12/24/2009 - $7.82 | |
NAV - Low† | 3/9/2009 - $4.69 | |
Number of Holdings: 107 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 28.48% | 3.83% | 0.92% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The Russell 3000® Index is an index comprised of the 3,000 largest U.S. companies based on market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Large Cap Growth Portfolio II achieved a return of 39.78% for the fiscal year ended December 31, 2009. Over the same period, the Portfolio’s benchmark index, the Russell 1000® Growth Index, earned a return of 37.21% and the median return in its peer group, the Lipper Large-Cap Growth category, was 37.56%.
What factors affected the Portfolio’s performance?
Equities posted a strong comeback following a difficult 2008. Stabilization in financial markets coupled with early signs of an economic recovery appears to have powered the market rally, specifically in the more cyclically sensitive sectors. Our Portfolio’s outperformance relative to our comparable peer group and index was driven both by asset allocation and security selection.
Looking at a sector-based analysis, the energy, information technology and materials sectors accounted for the vast majority of the relative outperformance, specifically with regard to security selection. Within technology, our semiconductor sub-segment was a standout highlighted by ownership in Micron Technology and Marvell Technology. The energy sector benefited from positions in Petrobras, Transocean and Weatherford. Our bullish stance on metals drove our materials sector performance, with Freeport-McMoRan Copper & Gold being a strong performer for the Portfolio.
Two sectors detracting the most from performance for the year were consumer discretionary and health care. In the consumer discretionary sector, overweighted positions in Target and casino operator Melco Crown Entertainment detracted from performance. In the health care sector, our overweighted position proved detrimental, and ownership of Gilead Sciences and Abbott Laboratories also impacted performance negatively.
What is your outlook?
We feel the momentum in the equity markets will carry forward into 2010 as the theme of an improving economy driving corporate earnings recovery likely continues to play out. Therefore, the economically sensitive sectors of the market are favored in the Portfolio. Industrials, consumer discretionary and energy are some of the sectors in which we are currently overweighted. Within the industrials sector, we like certain transportation names that should benefit from an expected improvement in business spending. We also like certain retail companies that tend to benefit from a more confident consumer. The energy sector remains overweighted as it was in 2009, but the emphasis has shifted toward exploration and production companies. Defensive sectors like consumer staples are being de-emphasized until the equity market momentum dissipates.
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Portfolio Facts
As of December 31, 2009
Net Assets | $357,385,831 | |
NAV | $7.32 | |
NAV - High† | 12/14/2009 - $8.06 | |
NAV - Low† | 3/9/2009 - $4.91 | |
Number of Holdings: 101 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 39.78% | 1.57% | 0.70% |
| * | 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 measures the performance of large cap growth 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. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Large Cap Growth Portfolio achieved a return of 41.40% for the fiscal year ended December 31, 2009. Over the same period, the Portfolio’s benchmark index, the Russell 1000® Growth Index, earned a return of 37.21%, and the median return in its peer group, the Lipper Large-Cap Growth category, was 37.56%.
What factors affected the Portfolio’s performance?
Equities posted a strong comeback following a difficult 2008. Stabilization in the financial markets coupled with early signs of an economic recovery powered the market rally, specifically in the more cyclically sensitive sectors. Our Portfolio’s outperformance relative to our comparable peer group and index was driven both by asset allocation and security selection.
Looking at a sector-based analysis, the energy, information technology and materials sectors accounted for the vast majority of the relative outperformance, specifically with regard to security selection. Within technology, our semiconductor sub-segment was a standout highlighted by ownership in Micron Technology and Marvell Technology. The energy sector benefited from positions in Petrobras, Transocean and Weatherford. Our bullish stance on metals drove our materials sector performance, with Freeport-McMoRan Copper & Gold being a strong performer for the Portfolio.
Two sectors detracting the most from performance for the year were consumer discretionary and health care. In the consumer discretionary sector, overweighted positions in Target and casino operator Melco Crown Entertainment detracted from performance. In the health care sector, our overweighted position proved detrimental. Ownership of Gilead Sciences and Abbott Laboratories also impacted performance negatively.
What is your outlook?
We feel the momentum in the equity markets will carry forward into 2010 as the theme of an improving economy driving corporate earnings recovery likely will continue to play out. Because of this, the economically sensitive sectors of the market are favored in the Portfolio. Industrials, consumer discretionary and energy are some of the sectors in which we are currently overweighted. Within the industrials sector, we like certain transportation names that should benefit from an expected improvement in business spending. We also like certain retail companies that tend to benefit from a more confident consumer. The energy sector remains overweighted as it was in 2009, but the emphasis has shifted toward exploration and production companies.
Defensive sectors like consumer staples are being deemphasized until the equity market momentum dissipates.
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Portfolio Facts
As of December 31, 2009
Net Assets | $1,025,312,961 | |
NAV | $15.40 | |
NAV - High† | 12/28/2009 - $15.66 | |
NAV - Low† | 3/9/2009 - $9.21 | |
Number of Holdings: 122 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 41.40% | 1.80% | -1.88% |
| * | 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 measures the performance of large cap growth 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. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner Growth Stock Portfolio achieved a return of 43.17% for the one-year period ended December 31, 2009. The Portfolio’s benchmark index, the S&P 500/Citigroup Growth Index, earned 31.58%. The median return in the Portfolio’s peer group, the Lipper Large-Cap Growth category, was 37.56%.
What factors affected the Portfolio’s performance?
Stock selection was the primary reason for relative outperformance, but sector weighting was also positive. Information technology was the primary contributor to relative outperformance on a significant overweighting against the index and on stock selection. This sector was by far the leading performer in the index for the year. Stock selection in computers and peripherals led sector performance. Apple, the Portfolio’s top absolute contributor, continued to post impressive revenues and margins.
Portfolio results were aided by stock selection and an overweighted position in the Internet software and services industry. Shares of Tencent Holdings, operator of China’s largest online messaging community, continued to rise on revenue growth driven by a successful gaming business. Google benefited from an improving global advertising market, reporting a strong latest quarter of growth in revenues and profits. The company’s Internet search business will likely benefit from an early cycle recovery.
The health care providers and services industry drove health care sector performance, on stock selection and an overweighted position. Pharmacy benefit managers such as Medco Health Solutions and Express Scripts are benefiting, in part, as companies seek to reduce health care costs. Intuitive Surgical, maker of robotic surgical systems, consistently beat market expectations in a challenging environment. A new system launch and a well-executed commercial strategy powered the company’s performance.
The performance of energy, the weaker sector of the index, was driven by Portfolio stock selection. Petroleo Brasileiro, a Brazilian state-controlled oil company, continues to benefit from large proven oil reserves. The firm has expanded production in recent months as oil prices have increased and stabilized. Portfolio performance also benefited from limited exposure to large diversified oil companies, which underperformed other energy companies more leveraged to an economic recovery.
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What is your outlook?
U.S. stocks continued to rise in the last quarter, building on the rally that started in March, as the economy displayed further signs of recovery. Despite these encouraging signs, we anticipate sluggish growth for 2010 with a gradual transition from recession to recovery.
Housing industry concerns and lingering high unemployment may dampen spending. We continue to seek quality companies with seasoned management teams, strong earnings-growth potential, and solid free cash flow, while staying aware of stock price valuations.
Portfolio Facts
As of December 31, 2009
Net Assets | $61,338,025 | |
NAV | $9.93 | |
NAV - High† | 12/28/2009 - $10.01 | |
NAV - Low† | 3/9/2009 - $6.06 | |
Number of Holdings: 107 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 43.17% | 1.73% | 2.54% |
| * | 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/Citigroup Growth Index is a capitalization-weighted index comprised of the highest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Citigroup 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.” 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Large Cap Value Portfolio earned a return of 21.11% as compared to the median return of its peer group, the Lipper Large-Cap Value category, of 22.86%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of 19.69%.
What factors affected the Portfolio’s performance?
Being overweighted in the technology and consumer discretionary sectors and underweighted in the utilities and energy sectors helped performance during the year versus the benchmark index. Technology and consumer discretionary were among the strongest areas of the market, while energy and utilities were among the weakest.
In addition, stock selection added to Portfolio performance. Stock selection in the energy and industrial sectors was the strongest while stock selection in the consumer discretionary sector detracted from performance versus the index. Overall Portfolio relative performance was the weakest in the health care sector. This was primarily due to Portfolio positions in medical device manufacturer Boston Scientific and diversified medical company Abbott Laboratories. Both of these positions have been sold. In addition, not owning shares of pharmaceutical manufacturer Schering-Plough, which was acquired by Merck during the period, hurt relative performance.
What is your outlook?
We believe that the economy is recovering, and with its recovery, corporate profits are recovering too. In our view, valuations are still attractive in many areas. 2010 should be a good year for common stocks.
The largest overweighting versus the index are in the information technology and consumer discretionary sectors. The overweighting in technology includes semiconductor stocks whose weighting will likely be coming down as valuations have risen to reflect the improved operating performance. Selected companies in the consumer discretionary sector remain an area where, in our belief, valuations are still attractive and operating performance can still exceed consensus expectations.
The largest underweighting versus the index remain the financial and energy sectors. We believe that quality financial companies are an area of opportunity. The underweighting in the financial services sector is primarily due to the large index weighting in REITs, which are not owned in the Portfolio. Energy also is an area of opportunity. The Portfolio underweighting in
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energy is due to the index’s large weighting in integrated oil companies—more than 10%. The focus of the Portfolio within energy is in the drilling, services, and exploration and production industries.
Portfolio Facts
As of December 31, 2009
Net Assets | $733,019,856 | |
NAV | $9.65 | |
NAV - High† | 12/24/2009 - $9.92 | |
NAV - Low† | 3/9/2009 - $5.84 | |
Number of Holdings: 112 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 21.11% | 1.13% | 2.29% |
| * | The Russell 1000® Value Index measures the performance of large cap value 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. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Large Cap Stock Portfolio achieved a return of 27.59% for the one-year period ended December 31, 2009. Over the same period, the median return in the peer group, the Lipper Large-Cap Core category, was 27.98%. The Portfolio’s benchmark, the S&P 500 Index, earned a return of 26.47%.
What factors affected the Portfolio’s performance?
Stock selection was the key factor in the Portfolio’s results versus the benchmark index. Holdings in the energy, information technology and materials sectors performed quite well versus the benchmark’s sector results. Some of that advantage was given back due to subpar returns to our holdings in the financial and health care groups as well as a modest holding in cash reserves. Within the energy sector, the equipment and services industries performed quite well as is often the case in periods of rising oil prices, like we had in 2009. Nabors Industries and Weatherford International both performed strongly in the Portfolio and relative to other stocks within the group. Being underweighted in Exxon and overweighted in Petrobras within the oil and gas production industry was also a contributing factor to good returns as Exxon’s performance fell well short of the average while Petrobras performed much better. In the information technology group, holdings in the semiconductor industry were responsible for the better results versus the benchmark holdings in the group. Being overweighted and having superior stock selection aided the returns for the group. Portfolio holdings in the computer hardware stocks also performed well relative to the benchmark. In the materials sector, the Portfolio’s holding in Freeport-McMoRan Copper & Gold aided returns as the stock outperformed both the group and the broad market by quite a significant margin.
In the financial sector, the Portfolio’s holdings in the commercial banking sector limited the advance as the group lagged behind both the sector and the broader market advance. While banks staged a significant rally in the second half of the year, it was not sufficient to offset weakness earlier in the period. In the health care sector, holdings in the pharmaceutical industry did not keep pace with the group or the market. To some extent, the pharmaceutical industry is viewed as a defensive group and those types of stocks did not keep up with the surge in the market that took place after the March bottom in the S&P 500 Index. A modest position in cash reserves also had a small negative impact as the market advance over the course of the year earned a significant premium to cash returns.
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What is your outlook?
We believe that the bear market in stocks ended in March 2009 and that the economic recession ended sometime over the summer of 2009. We believe that we are now in a cyclical bull market that should overlay the ongoing economic recovery. We agree the recovery is likely to be less robust than might normally be the case following such a sharp recession. The banking system, while well under repair, will not likely provide the level of financial stimulus seen in many of the past recoveries. The equity market is likely to continue to advance but at a more modest pace than last year. We believe that earnings will be the key factor determining the ultimate advance of the market this cycle.
Portfolio Facts
As of December 31, 2009
Net Assets | $617,272,542 | |
NAV | $7.72 | |
NAV - High† | 12/28/2009 - $7.87 | |
NAV - Low† | 3/9/2009 - $4.71 | |
Number of Holdings: 185 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 27.59% | 0.17% | -0.59% |
| * | 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 widely held, publicly traded stocks. “S&P 500” 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Large Cap Index Portfolio earned a return of 26.20% as compared to the median return of its peer group, the S&P 500 Index Objective category, of 26.15%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 26.47%.
What factors affected the Portfolio’s performance?
The Portfolio’s holdings are aligned with those of the S&P 500 Index. As typically occurs in an index portfolio, the difference in performance between the benchmark index and the portfolio itself can largely be attributed to expenses and minor differences in portfolio composition.
All sectors in the S&P 500 Index posted positive returns during the previous year. Information technology and materials were the two best performing sectors over the past 12 months, reversing what can be described as an oversold condition from the prior year. Large cap stocks outperformed small caps, due in part to a greater contribution of dividend income, while continuing to underperform mid-cap stocks from the previous year. Telecommunication services and utilities recorded the least positive returns for the last 12-month period.
Although performance of these two sectors benefited from dividend income, returns were discretely impacted by the negative performance of the largest companies within each of these two sectors.
What is your outlook?
Large-cap stocks underperformed mid-cap stocks, but outperformed small-caps. These last 12 months showed a steep decline through mid-March, then a huge recovery from the lows through the end of June. There are signs that a rotation in market leadership could be under way. As a generalization, this type of environment tends to favor mid- and small-cap companies. Additionally, investors seem to be becoming more risk-tolerant, which is also an environment that tends to favor mid- and small-cap companies. We believe the dollar is as low as it should get and that risk levels are coming down. While opportunities for large-cap stocks exist, our view is that as we enter a new cycle, mid- and small-cap companies should outperform their large-cap counterparts.
The financial markets appear to be resolving some of the uncertainty and ambiguity that have surrounded the fixed-income markets and contributed to the severe credit contraction.
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Portfolio Facts
As of December 31, 2009
Net Assets | $338,170,475 | |
NAV | $15.76 | |
NAV - High† | 12/28/2009 - $15.93 | |
NAV - Low† | 3/9/2009 - $10.35 | |
Number of Holdings: 505 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 26.20% | 0.17% | -1.19% |
| * | 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 widely held, publicly traded stocks. “S&P 500” 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Equity Income Plus Portfolio earned a return of 16.68% as compared to the median return of its peer group, the Lipper Equity Income category, of 24.97%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 26.47%.
What factors affected the Portfolio’s performance?
The U.S. stock market posted one of the sharpest rebounds in history. The return to riskier assets included small caps outperforming large caps, growth over value, lower-quality over higher-quality, higher beta over lower beta and nondividend payers over dividend payers. Overall, the Portfolio maintained a higher-quality, lower-risk positioning in dividend-paying stocks, which contributed to the Portfolio lagging behind the market in 2009.
Security selection was the major contributor to underperformance, with weak performance in all but one sector due to the Portfolio’s positioning in higher-quality securities when the market rewarded lower-quality. Sector allocation was modestly positive for the year, with positive contribution coming from the materials, technology, health care and consumer discretionary sectors, but negative contribution coming from the energy and financial sectors. The Portfolio’s buy-write options strategy added value by generating premiums and moderating volatility.
What is your outlook?
It is expected that the economy will transition from early expansion to later expansion during 2010. At year-end 2009, Portfolio sectors were positioned with overweighting to economically sensitive securities in the financial, materials, industrials and consumer discretionary sectors, and underweighting to more counter-cyclical sectors such as consumer staples, utilities and health care. However, as the economic recovery matures, it is expected that the Portfolio will be positioned to sectors such as health care, consumer staples, energy, materials and industrials, with underweightings to consumer discretionary, financials and technology. The Portfolio intends to maintain its options buy-write strategy.
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Portfolio Facts
As of December 31, 2009
Net Assets | $54,979,092 | |
NAV | $7.91 | |
NAV - High† | 12/28/2009 - $8.14 | |
NAV - Low† | 3/9/2009 - $5.05 | |
Number of Holdings: 142 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 16.68% | -11.09% |
| * | 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 widely held, publicly traded stocks. “S&P 500” 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Kevin R. Brimmer, FSA, and Michael G. Landreville, CFA, Portfolio Co-Managers Thrivent Balanced Portfolio seeks long-term total return through a balance between income and the potential for long-term capital growth.
The Portfolio is subject to interest-rate risk, credit risk and volatility risk, which may result in overall price fluctuations over short or even extended time periods. Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. |  |
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Balanced Portfolio earned a total return of 21.76%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital Aggregate Bond Index, returned 26.47% and 5.93%, respectively.
What factors affected the Portfolio’s performance?
We maintained an investment allocation of approximately two-thirds of assets in the equity segment and the remainder in fixed-income securities during the period.
The equity component’s return was in line with its market benchmark, the S&P 500 Index. Within the Portfolio, information technology, materials and consumer discretionary were the best performing sectors, while energy, utilities and telecommunications services fared worst.
The fixed-income component of the Portfolio outperformed the Barclays Capital Aggregate Bond Index. The main factor in the relative outperformance was the recovery of the floating-rate asset-backed securities held in the Portfolio. Historically considered high quality and low risk, these floating-rate securities hurt performance in 2008. In 2009, as the credit markets recovered, these securities rebounded from previous distressed levels. In addition, several of the securities returned principal or matured at par.
Another factor helping performance was that the fixed-income portfolio began the year with an overweighted position in corporate and mortgage-backed bonds, whose prices rose sharply during most of the period as investors’ appetite for risk increased. Conversely, the Portfolio’s underweighted position in Treasury securities, which underperformed as their yields increased, also benefited relative performance. This underweight resulted from the fact that toward the end of 2008, Treasury securities were some of the only fixed-income securities with strong liquidity. Consequently, out of necessity, those were the ones the Portfolio had to sell to meet redemptions.
What is your outlook?
We believe the recession is over and economic growth will likely continue into 2010. We expect the pace of growth to pick up early in the year, though it will likely remain more subdued than investors would like. Unemployment will likely remain high, which we believe will cause the Federal Reserve to keep short-term interest rates at current low levels at least through the first half of the year.
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While we expect the bond and stock markets to continue returning toward more normal operations, we don’t expect a repeat any time soon of 2009’s outsized returns from either type of asset. Rather, combined returns are likely to be more muted—in the single to low double digits.
Going forward, we plan to keep the Portfolio at roughly two-thirds equities and one-third fixed-income securities. As always, we will continue to monitor the economy and markets closely and work to provide a prudent balance of income and the potential for long-term capital growth.
Portfolio Facts
As of December 31, 2009
Net Assets | $281,158,197 | |
NAV | $13.44 | |
NAV - High† | 12/30/2009 - $13.54 | |
NAV - Low† | 3/9/2009 - $9.75 | |
Number of Holdings: 767 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 21.76% | 1.91% | 1.93% |
| * | The Barclays Capital 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. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Paul J. Ocenasek, CFA, Portfolio Manager Thrivent High Yield Portfolio seeks a higher level of income. The Portfolio will also consider growth of capital as a secondary objective.
Although high-yield bonds typically have a higher current yield than investment-grade bonds, high-yield bonds are also subject to greater price fluctuations and increased risk of loss of principal than investment-grade bonds. These and other risks are described in the Portfolio’s prospectus. |
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent High Yield Portfolio returned 43.49%, compared with a median return of 43.82% for its Lipper High Current Yield peer group. The Portfolio’s market benchmark, the Barclays Capital U.S. Corporate High Yield Bond Index, returned 58.21%.
What factors affected the Portfolio’s performance?
The Portfolio generally tracked its Lipper peer group. The main reason it underperformed the benchmark index was our comparatively more conservative portfolio: a strategy that served us well during the credit crunch. Although we began adding lower-rated bonds as market conditions began to improve, we still didn’t hold as much risk as the index. Plus, we tended to avoid the riskiest, lowest-quality bonds that rebounded strongly during much of the period.
Also detracting from our relative performance was our underweighted position in the financial sector, which performed well during the period. The Portfolio maintained about a 5% position in the sector while the benchmark index had about a 12% allocation.
The Portfolio’s relative performance benefited from the fact that we remained nearly fully invested in high-yield securities, unlike many of our peers, with only about 1% of the Portfolio’s assets in cash. With exceptionally strong performance in the high-yield sector during the period, and meager yields on cash, our strategy of remaining invested was rewarded.
Also helping our relative performance were our weightings and security selections within the auto and retail sectors. We held no bonds issued by General Motors, Ford or Chrysler—all of which were negatively impacted by insolvency fears—and instead opted for bank-secured loans to the car makers. Unlike the bonds, the loans performed quite well. Other positive-performance factors included our overweighted position and security selections in the retail sector.
What is your outlook?
We remain concerned about the threats to growth posed by rising unemployment, high consumer debt, increasing taxes and soft consumer demand. But with the return of economic growth, we expect default rates in high-yield bonds to decline—from about 12% now to between 4%–7% in another 12 months. A falling default rate
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should provide support for the high-yield market and room for a continued tightening of yield spreads, although we don’t foresee a surge in prices as seen during 2009.
We have moved the Portfolio to a neutral position on credit risk, but we still have a slightly underweighted position in the lowest-quality issues, as we feel that some of the lowest-quality issuers will face inevitable problems.
We continue to see attractive opportunities to add value to the Portfolio. While 2009’s exceptional returns won’t likely be repeated anytime soon, we think the current economic recovery will provide a favorable environment for investors in high-yield bonds during the months ahead.
Portfolio Facts
As of December 31, 2009
Net Assets | $755,968,546 | |
NAV | $4.56 | |
NAV - High† | 12/30/2009 - $4.56 | |
NAV - Low† | 3/9/2009 - $3.38 | |
Number of Holdings: 287 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 43.49% | 5.95% | 2.79% |
| * | The Barclays Capital U.S. Corporate 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Mark L. Simenstad, CFA, Kevin R. Brimmer, FSA, David R. Spangler, CFA and Paul J. Ocenasek, CFA, Portfolio Co-Managers
Thrivent Diversified Income Plus Portfolio seeks to maximize income while maintaining prospects for capital appreciation.
The Portfolio may invest in debt or equity securities. Debt securities include high-yield, high-risk securities commonly known as “junk bonds.” High- yield securities are subject to greater price fluctuations and increased risk of loss of principal than investment grade bonds. Equity securities include securities of REITs, which are subject to the risk that changes in real estate values or economic downturns can have a negative effect on issuers in the real estate industry. These and other risks are described in the Portfolio’s Prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Diversified Income Plus Portfolio earned a total return of 33.06%. This compares with the Portfolio’s market benchmarks, the S&P 500 Dividend Aristocrats Index and the Barclays Capital Aggregate Bond Index, which returned 26.56% and 5.93%, respectively.
What factors affected the Portfolio’s performance?
Riskier sectors of the credit market reversed course early in the period and rallied strongly as investors increasingly believed that government bailouts and liquidity programs would revive the economy and markets. The yield premium, or “spread,” that riskier bonds offered over that of Treasury securities narrowed dramatically.
High-yield, investment-grade corporate and mortgage-related bonds were among the best performing sectors, while the prices of U.S. government securities fell. In the U.S. equities markets, real estate investment trusts (REITs) were strong performers after a previous pullback.
The Portfolio’s favorable performance relative to its benchmark indexes was due to several factors, including: an overweighted position (about 35% of the Portfolio) in high-yield bonds, a large position (more than 25%) in non-agency mortgage bonds, a meaningful allocation (6%–7%) to preferred stocks, and—to a lesser degree—a focus on REIT bonds rather than REIT stocks.
What is your outlook?
We believe that the recession is over and that economic growth will continue into 2010, still fueled largely by an array of government stimulus programs. The pace of growth is expected to pick up early in the year, though it will likely remain more subdued than investors would prefer. Unemployment will likely remain high, necessitating the Federal Reserve to keep short-term interest rates at current low levels at least through the first half of the year.
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While we expect the bond and stock markets to continue returning toward normalcy, we don’t expect a repeat any time soon of 2009’s outsized returns from either type of asset. Rather, combined returns should be more muted—in the single to low double digits. On the bond side, we hope to earn coupon payments that offset potentially falling securities prices, should the Federal Reserve begin raising interest rates.
Going forward, we expect to keep the Portfolio at roughly one-third high-yield bonds, one-third investment-grade bonds and one-third dividend-paying stocks. As always, we will continue to monitor the economy and markets closely and watch for opportunities to add value to the Portfolio.
Portfolio Facts
As of December 31, 2009
Net Assets | $87,151,652 | |
NAV | $6.14 | |
NAV - High† | 12/30/2009 - $6.15 | |
NAV - Low† | 3/9/2009 - $4.55 | |
Number of Holdings: 378 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1,2
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 33.06% | 3.65% | 4.98% |
| * | The S&P 500 Dividend Aristocrats Index is an index which measures the performance of large-capitalization companies within the S&P 500 that have followed a managed dividends policy of consistently increasing dividends every year for at least 25 years. The index portfolio has both capital growth and dividend income characteristics, is equal-weighted and is broadly diversified across sectors. 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. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Barclays Capital 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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. |
| 2 | Prior to July 3, 2006, the Portfolio invested primarily in “junk bonds.” |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Subadvised by Calvert Asset Management Company, Inc.
Thrivent Partner Socially Responsible Bond Portfolio seeks to maximize income.
The Portfolio may invest a portion of its portfolio in high-yield, high-risk securities commonly known as “junk bonds.” High-yield securities are subject to greater price fluctuations and increased risk of loss of principal than investment grade bonds. In addition, as a non-diversified fund, the Portfolio is susceptible to the risk that events affecting a particular issuer will significantly affect the Portfolio’s performance. These and other risks are described in the Portfolio’s prospectus.
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Partner Socially Responsible Bond Portfolio earned a return of 10.98%, as compared to the median return of its peer group, the Lipper Corporate Debt BBB-Rated category, of 12.23%. The Portfolio’s market benchmark, the Barclays Capital U.S. Credit Index, earned a return of 16.04%.
What factors affected the Portfolio’s performance?
The most important factor was the Portfolio’s bias toward high-quality holdings in an environment where lower-quality holdings performed the best. The higher-quality bias helped the Portfolio in 2008 when the broader market traded off, but hurt the Portfolio in 2009 as the broader market traded up. The social screens by process naturally create a higher-quality bias in the Portfolio, but it was also our management style to stay conservative in this Portfolio.
In addition to the higher-quality security selections, management looked to diversify holdings away from credit, finding additional opportunities in U.S. Treasuries, commercial mortgage-backed securities and other asset-backed securities, to name a few. This decision ultimately hurt the Portfolio versus the passive 100% credit-invested benchmark index, but we felt it was a prudent decision given the events of 2007 and 2008. While many of our credit holdings outperformed the broader credit market, having anything less than 100% invested in credit proved a difficult hurdle to overcome in an attempt to outperform the credit benchmark.
Lastly, the Portfolio maintained a duration considerably shorter than the benchmark index. The Portfolio had an effective duration of 3.69 years versus the index’s duration of 6.34 years as of December 31, 2009. The reason for this was to reduce the Portfolio’s exposure to rising interest rates. We believe this strategy cushioned the Portfolio nicely against the Treasury market sell-off, but it wasn’t enough to make up for the credit spread compression.
What is your outlook?
Quite simply, we believe our strategies work over time, and there is no way to fully compensate for record asset class performance, both on the upside and the downside, while properly managing risk for the long term. As uncertainty and volatility return to the market, there will likely be opportunities to better evaluate risk. We believe our strategies work best in a two-way market. As it currently stands, in our opinion, proper risk compensation has oftentimes been priced out of the
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marketplace given the U.S. government’s recent programs. Now that a total market meltdown seems to have been avoided and calls to reduce government intervention have increased, the market will likely start to adjust prices to reflect new risk. In our view, maintaining a defensive, diversified Portfolio is the most prudent thing to do until risks can be properly quantified and properly compensated.
Portfolio Facts
As of December 31, 2009
Net Assets | $6,183,938 | |
NAV | $10.16 | |
NAV - High† | 9/25/2009 - $10.52 | |
NAV - Low† | 2/19/2009 - $9.80 | |
Number of Holdings: 82 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | From Inception 4/30/2008 | |
| 10.98% | 8.13% |
| * | The Barclays Capital U.S. Credit Index is an index comprised of both corporate and non-corporate sectors. The corporate sectors are Industrial, Utility and Finance, which include both U.S. and non-U.S. corporations. The non-corporate sectors are Sovereign, Supranational, Foreign Agency, and Foreign Local Government. 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Stephen D. Lowe, CFA, Portfolio Manager Thrivent Income Portfolio seeks a high level of income over the longer term while providing reasonable safety of capital.
The Portfolio is subject to interest rate risk, credit risk related to a company's underlying financial position and volatility risk, which may result in overall price fluctuations over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. |
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Income Portfolio returned 21.29%, compared with a median return of 12.23% for its Lipper Corporate Debt BBB-Rated peer group. The Portfolio’s market benchmark, the Barclays Capital Aggregate Bond Index, posted a return of 5.93%.
What factors affected the Portfolio’s performance?
After slumping during most of the first quarter, prices of nongovernment spread-sector bonds rallied strongly through the remainder of 2009. Fueling the rally were the Federal Reserve’s major plans to further ease credit markets and the U.S. Treasury’s details on its plan to take troubled securities off bank balance sheets.
The main reason the Portfolio outperformed both its Lipper peer group and benchmark index was our overweighted position in spread-sector products—such as corporate, non-agency mortgage and commercial mortgage-backed securities—whose prices rose sharply during the period as investor appetite for risk increased. Within corporate securities, our focus on the financial segments was a strong positive factor. Our underweighted positions in Treasury and agency securities, which underperformed as their yields increased, also benefited our relative performance.
Another factor in our relative outperformance was the recovery of floating-rate asset-backed securities held in the Portfolio. Historically considered high quality and low risk, these floating-rate securities hurt performance in 2008. In 2009, as the credit markets recovered, these securities rebounded from previous distressed levels.
What is your outlook?
We believe the recession is over and economic growth will likely continue into 2010. We expect the pace of growth to pick up early in the year and corporate profits to rebound. Unemployment will likely remain high, however, necessitating the Federal Reserve to keep short-term interest rates at current low levels at least through the first half of the year.
While a global recovery appears to be in progress, economic risks still abound, including high unemployment, soft consumer demand, a slow housing recovery, the potential for higher interest rates, and a Fed phase-out of programs enacted to boost liquidity.
We expect the yield curve to remain steep as long as the Federal Reserve keeps interest rates at current levels. The next hike in rates will likely result in a flatter curve. We expect recovery from the liquidity crisis to continue, with credit spreads likely moving closer to their long-term averages. Demand for spread-related fixed-income
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investments should, we believe, continue at least through the first half as investors seek alternatives to low-yielding government securities and money market instruments. Although we expect the bond market to continue reverting toward normalcy, we don’t expect a repeat any time soon of 2009’s outsized returns.
We plan to maintain our overweighted position in spread-sector investments and continue to look for opportunities to add value to the Portfolio.
Portfolio Facts
As of December 31, 2009
Net Assets | $1,278,155,715 | |
NAV | $9.39 | |
NAV - High† | 12/17/2009 - $9.46 | |
NAV - Low† | 3/10/2009 - $7.77 | |
Number of Holdings: 463 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 21.29% | 3.89% | 5.60% |
| * | The Barclays Capital 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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Michael G. Landreville, CFA, Portfolio Manager Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays Capital Aggregate Bond Index.
The Portfolio is subject to interest rate risk, credit risk related to a company’s underlying financial position, and prepayment and extension risk, which may result in overall price fluctuations over short or even extended time periods. While the Portfolio attempts to closely track the Barclays Capital Aggregate Bond Index, it does not duplicate the composition of the Index. Individuals may not invest directly in any index. Index portfolios are subject to the same market risks associated with the securities in their respective indexes. These and other risks are described in the Portfolio’s prospectus. |
How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Bond Index Portfolio earned a total return of 8.47%, compared with a 5.93% return for the Portfolio’s market benchmark, the Barclays Capital Aggregate Bond Index.
What factors affected the Portfolio’s performance?
While the Portfolio’s allocations generally mirror those of the index (as with any index portfolio), our research and individual bond selection are the means by which we aim for outperformance.
The main reason for the Portfolio’s relative outperformance was a strong recovery in prices of the floating-rate asset-backed securities held in the Portfolio. These formerly high-quality, low-risk securities hurt performance in 2008, so their recovery in 2009 was welcomed. The floating-rate debt securities also continued returning principal or maturing at par through 2009.
Many non-Treasury fixed-income securities delivered strong returns during the period, with the ongoing rehabilitation of the credit markets. Liquidity and trading moved more toward normal, and as this happened, yield spreads (the differences in yields between Treasury securities and other types of bonds of similar maturities) tightened dramatically. Conversely, the yields on Treasury securities rose and their prices fell.
The Federal Open Market Committee (FOMC) kept its target for the federal funds interest rate at a range of zero to 0.25% during the period. The government employed extraordinary measures to expand its balance sheet and inject liquidity into the financial system, including buying large amounts of agency mortgage-backed and Treasury securities. This resulted in significant easing of the liquidity and credit constraints that plagued the market in 2008. As investors sought out riskier assets during 2009, Treasury yields rose in response.
What is your outlook?
We believe the recession is over and that economic growth will continue into 2010. The pace of growth should pick up early in the year, though it will likely remain more subdued than investors would like. Unemployment will likely remain high, necessitating the Federal Reserve to keep short-term interest rates at current low levels at least through the first half of the year.
We expect the yield curve to remain steep as long as the Fed keeps interest rates at current levels, and we believe
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the next hike in rates will result in a flatter curve. Recovery from the liquidity crisis will likely continue, with credit spreads moving closer to their long-term averages. Demand for spread-related fixed-income investments will also likely continue as investors seek alternatives to low-yielding securities. Although we expect the bond market to continue reverting toward normalcy, we don’t expect a repeat of 2009’s outsized returns. As always, we intend to maintain a well-diversified mix of debt securities in our efforts to track the performance of the index.
Portfolio Facts
As of December 31, 2009
Net Assets | $156,528,149 | |
NAV | $10.13 | |
NAV - High† | 11/30/2009 - $10.33 | |
NAV - Low† | 3/17/2009 - $9.37 | |
Number of Holdings: 269 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 8.47% | 3.86% | 5.60% |
| * | The Barclays Capital 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Limited Maturity Bond Portfolio returned 14.04%, compared with a median return of 7.88% for its Lipper Short-Intermediate Investment Grade Debt peer group. The Portfolio’s market benchmark, the Barclays Capital Government/Credit 1-3 Year Bond Index, posted a return of 3.83%.
What factors affected the Portfolio’s performance?
The main factor in the Portfolio’s outperformance of its Lipper peer group and benchmark index was its underweighted position in Treasury securities and overweighted position in corporate bonds, mortgage-backed securities and asset-backed securities. The prices of these bond investments rose sharply after the first quarter as investors were attracted to their historically cheap valuations combined with an improving economic outlook. Additionally, the Portfolio gained by being nearly fully invested in bonds with a small amount of assets in cash, which offered almost no yield throughout the 12 months.
The Federal Reserve kept short-term rates at zero to 0.25% throughout the year but announced major “quantitative easing” plans to further ease credit markets in mid-March. The Fed’s action, in addition to new programs announced by the Treasury to take troubled securities off bank balance sheets, helped drive the recovery in non-government bonds. Treasury yields rose sharply during the period in the face of growing supply and a bottoming of the economy, with most of the rise occurring in the intermediate- and long-term end of the yield curve.
What is your outlook?
The recession likely ended in late summer/early fall, but we expect the pace of growth in the U.S. economy in 2010 will be slower than that of typical recoveries. We believe that unemployment will peak in early 2010 but remain high in the foreseeable future. Inflation will likely remain under control due to high excess labor and manufacturing capacity. We anticipate the Federal Reserve will keep short-term interest rates at current low levels at least through the first half of next year.
We expect a modest rise in Treasury yields during 2010, as a sustained economic recovery increases the likelihood of Fed rate hikes, and heavy Treasury supply puts upward pressure on interest rates. The yield curve should remain steep as long as the Federal Reserve keeps interest rates at current levels; however, the next significant move will likely be to a flatter curve.
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Within the credit markets, recovery from the financial crisis should continue as spreads in many sectors are trending near their long-term averages. Strong demand for spread-related fixed-income investments should continue as investors seek alternatives to low-yielding government securities and money market instruments. Although we expect the bond market to continue reverting toward normalcy, we don’t expect a repeat any time soon of 2009’s outsized returns.
Portfolio Facts
As of December 31, 2009
Net Assets | $1,105,640,612 | |
NAV | $9.62 | |
NAV - High† | 12/18/2009 - $9.64 | |
NAV - Low† | 3/10/2009 - $8.70 | |
Number of Holdings: 301 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 14.04% | 3.41% | 3.53% |
| * | The Barclays Capital Government/Credit 1-3 Year Bond Index is an index that measures the performance of government and corporate fixed-rate debt securities with maturities of 1-3 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Mortgage Securities Portfolio earned a total return of 13.02%, compared with a median return of 6.21% for its Lipper U.S. Mortgage Funds peer group. The Portfolio’s market benchmark, the Barclays Capital Mortgage-Backed Securities Index, posted a return of 5.89%.
What factors affected the Portfolio’s performance?
The main factor in the Portfolio’s outperformance of its Lipper peer group and benchmark index was its allocation to non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS). Both types of securities rebounded strongly after the first quarter and generated returns significantly above agency mortgage-backed securities (MBS) for the full year. Several opportunistic purchases of non-agency RMBS and CMBS were made during the fourth quarter of 2008 and first half of the year when prices were lower.
In addition, security selection within the agency mortgage-backed sector benefited performance as the Portfolio held an overweighted position in higher-coupon mortgages, which outperformed lower-coupon issues.
The Federal Reserve kept short-term rates at zero to 0.25% throughout the year but announced major “quantitative easing” plans to further ease credit markets in mid-March. Within the plan was a major increase of the Federal Reserve’s agency MBS purchase program to $1.25 trillion, or roughly three times the expected net supply of agency MBS during the year. The Federal Reserve’s support to the agency MBS sector resulted in record high prices of these securities during the year. In addition, around the same time as the Fed announcement, the Treasury announced programs aimed at supporting the recovery of the RMBS and CMBS markets.
What is your outlook?
The recession likely ended in late summer/early fall, but we expect the pace of growth in the U.S. economy in 2010 will be slower than that of typical recoveries. We expect that unemployment will peak in early 2010 but remain high in the foreseeable future. Inflation will likely remain
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under control due to high excess labor and manufacturing capacity. We anticipate the Federal Reserve will keep short-term interest rates at current low levels at least through the first half of 2010.
There is some uncertainty surrounding the end of the Federal Reserve’s MBS purchase program in March. We expect demand for mortgage-backed securities from banks and money managers to replace the Fed’s purchase program but at modestly wider valuations. We’ll continue to maintain an overweighted position in non-agency RMBS and CMBS versus agency MBS as these sectors offer significant loss-adjusted yield advantages.
Portfolio Facts
As of December 31, 2009
Net Assets | $31,553,062 | |
NAV | $9.62 | |
NAV - High† | 11/30/2009 - $9.72 | |
NAV - Low† | 3/20/2009 - $8.44 | |
Number of Holdings: 56 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | From Inception 4/30/2003 | ||
| 13.02% | 3.81% | 3.73% |
| * | The Barclays Capital Mortgage-Backed Securities Index (MBS) 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. |
| ** | 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. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2009?
Thrivent Money Market Portfolio produced a 0.43% return during the period, while its Lipper Money Market Instrument peer group reported a median net return of 0.14% over the same time frame.
What factors affected the Portfolio’s performance?
The Federal Open Market Committee (FOMC) kept the federal funds target interest rate at a range of zero to 0.25% throughout the period. Members of the FOMC noted at their December 2009 meeting that economic conditions were likely to warrant exceptionally low interest rate levels for an extended period.
The government also bought massive amounts of short-term securities during the period, which decreased available supply and further depressed money market yields. Supply of commercial paper, an indicator of business activity, fell more than 30% from year-end 2008 to year-end 2009. The yield on the 30-day Treasury bill fell from 0.11% to 0.04% during the period. Liquidity in the money market segment improved to a point that several federal programs enacted to boost liquidity and confidence were phased out. The remaining special liquidity facilities, which existed as of December 31, 2009, expired on February 1, 2010.
Benefiting our relative performance was exposure to LIBOR-based floating-rate securities and extension of our weighted average maturity early in the period by purchasing some longer-dated (six to nine months) securities at attractive prices. To reduce the Portfolio’s overall credit risk and increase liquidity, we increased our allocation to government securities throughout the year.
As the year progressed, we began maintaining a lower weighted average maturity to position the Portfolio for (what we expect will be) an eventual movement in fed funds and/or a compression of spreads to LIBOR, which should result from an increase in the supply of short-term securities. Unfortunately, most of the LIBOR-based floaters and longer-term positions held in the Portfolio have now matured, contributing to the declining yield in the Portfolio until conditions change.
What is your outlook?
We expect the Federal Reserve to keep short-term interest rates at current levels as it waits for further evidence of improving labor conditions and economic growth. We do expect money market credit quality and liquidity to remain sound, but uncertainty remains around potential changes to money market rules. The SEC has recently announced new additions to 2(a)7 guidelines that are meant to further improve the safety and liquidity of money market funds.
As a result of the low interest rate environment—and the fact that most of our higher-yielding fixed agency and floating-rate securities matured during this period—yields for shareholders of the Portfolio will likely remain close to zero in the months ahead. We remain
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optimistic, however, that the low-yield environment will not persist. As of January 8, 2010, fed funds futures suggest a possibility of a rate increase by June 2010.
Portfolio Facts
As of December 31, 2009
Net Assets | $246,008,074 | |
NAV | $1.00 | |
Number of Holdings: 46 |
| † | For the year ended December 31, 2009 |
Average Annual Total Returns1
As of December 31, 2009
| 1-Year | 5-Year | 10-Year | ||
| 0.43% | 3.23% | 2.96% |
Money Market Portfolio Yields*
As of December 31, 2009
| Portfolio | |||
7-Day Yield | 0.00 | % | |
7-Day Effective Yield | 0.00 | % |
| * | Seven-day yields of Thrivent Money Market Portfolio refer to the income generated by an investment in the Portfolio over a specified seven-day period, though they are expressed as annual percentage rates. Effective yields reflect the reinvestment of income. Yields are subject to daily fluctuation and should not be considered an indication of future results. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, 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 performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, 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 investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit www.thrivent.com.
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(Unaudited)
As a shareholder of the Thrivent Series Fund, Inc., you incur ongoing costs, including management fees and other Portfolio expenses. This Shareholder Expense Example is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009. Shares in a Portfolio are currently sold, without sales charges, only to separate accounts of Thrivent Financial for Lutherans and Thrivent Life Insurance Company, which are used to fund benefits of variable life insurance and variable annuity contracts issued by Thrivent Financial for Lutherans and Thrivent Life Insurance Company, and retirement plans sponsored by Thrivent Financial for Lutherans. Expenses associated with these variable contracts and retirement plans are not included in these examples and had these costs been included, your costs would have been higher.
Actual Expenses
In the table below, the first section, labeled “Actual,” provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid.
Hypothetical Example for Comparison Purposes
In the table below, the second section, labeled “Hypothetical,” provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
| Beginning Account Value 7/1/2009 | Ending Account Value 12/31/2009 | Expenses Paid During Period 7/1/2009- 12/31/2009* | Annualized Expense Ratio | |||||||||
Thrivent Aggressive Allocation Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,226 | $ | 1.40 | 0.25 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.27 | 0.25 | % | ||||
Thrivent Moderately Aggressive Allocation Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,213 | $ | 1.22 | 0.22 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.12 | 0.22 | % | ||||
Thrivent Moderate Allocation Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,184 | $ | 1.16 | 0.21 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.08 | 0.21 | % | ||||
Thrivent Moderately Conservative Allocation Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,146 | $ | 1.28 | 0.24 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.21 | 0.24 | % | ||||
Thrivent Partner Technology Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,249 | $ | 6.71 | 1.18 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 6.03 | 1.18 | % | ||||
Thrivent Partner Healthcare Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,158 | $ | 7.56 | 1.39 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.07 | 1.39 | % | ||||
Thrivent Partner Natural Resources Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,235 | $ | 6.70 | 1.19 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 6.06 | 1.19 | % | ||||
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| Beginning Account Value 7/1/2009 | Ending Account Value 12/31/2009 | Expenses Paid During Period 7/1/2009- 12/31/2009* | Annualized Expense Ratio | |||||||||
Thrivent Partner Emerging Markets Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,310 | $ | 8.73 | 1.50 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.63 | 1.50 | % | ||||
Thrivent Real Estate Securities Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,448 | $ | 5.37 | 0.87 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.43 | 0.87 | % | ||||
Thrivent Partner Utilities Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,129 | $ | 4.83 | 0.90 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.58 | 0.90 | % | ||||
Thrivent Partner Small Cap Growth Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,213 | $ | 5.59 | 1.00 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.11 | 1.00 | % | ||||
Thrivent Partner Small Cap Value Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,266 | $ | 5.02 | 0.88 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.48 | 0.88 | % | ||||
Thrivent Small Cap Stock Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,238 | $ | 4.34 | 0.77 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.92 | 0.77 | % | ||||
Thrivent Small Cap Index Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,244 | $ | 2.56 | 0.45 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.31 | 0.45 | % | ||||
Thrivent Mid Cap Growth Portfolio II | ||||||||||||
Actual | $ | 1,000 | $ | 1,237 | $ | 4.04 | 0.72 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.65 | 0.72 | % | ||||
Thrivent Mid Cap Growth Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,251 | $ | 2.62 | 0.46 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.35 | 0.46 | % | ||||
Thrivent Partner Mid Cap Value Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,261 | $ | 4.90 | 0.86 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.38 | 0.86 | % | ||||
Thrivent Mid Cap Stock Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,245 | $ | 4.11 | 0.73 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.70 | 0.73 | % | ||||
Thrivent Mid Cap Index Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,263 | $ | 2.99 | 0.52 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.67 | 0.52 | % | ||||
Thrivent Partner Worldwide Allocation Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,219 | $ | 5.59 | 1.00 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.09 | 1.00 | % | ||||
Thrivent Partner International Stock Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,220 | $ | 4.67 | 0.83 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.25 | 0.83 | % | ||||
Thrivent Partner Socially Responsible Stock Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,221 | $ | 5.49 | 0.98 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.99 | 0.98 | % | ||||
Thrivent Partner All Cap Growth Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,270 | $ | 5.72 | 1.00 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.09 | 1.00 | % | ||||
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| Beginning Account Value 7/1/2009 | Ending Account Value 12/31/2009 | Expenses Paid During Period 7/1/2009- 12/31/2009* | Annualized Expense Ratio | |||||||||
Thrivent Partner All Cap Value Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,218 | $ | 5.48 | 0.98 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.99 | 0.98 | % | ||||
Thrivent Partner All Cap Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,218 | $ | 5.65 | 1.01 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.15 | 1.01 | % | ||||
Thrivent Large Cap Growth Portfolio II | ||||||||||||
Actual | $ | 1,000 | $ | 1,227 | $ | 3.46 | 0.62 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.14 | 0.62 | % | ||||
Thrivent Large Cap Growth Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,237 | $ | 2.50 | 0.44 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.26 | 0.44 | % | ||||
Thrivent Partner Growth Stock Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,243 | $ | 5.37 | 0.95 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.84 | 0.95 | % | ||||
Thrivent Large Cap Value Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,225 | $ | 3.62 | 0.64 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.29 | 0.64 | % | ||||
Thrivent Large Cap Stock Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,225 | $ | 3.89 | 0.69 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.53 | 0.69 | % | ||||
Thrivent Large Cap Index Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,225 | $ | 2.30 | 0.41 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.09 | 0.41 | % | ||||
Thrivent Equity Income Plus Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,194 | $ | 4.70 | 0.85 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.33 | 0.85 | % | ||||
Thrivent Balanced Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,175 | $ | 2.39 | 0.44 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.44 | % | ||||
Thrivent High Yield Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,173 | $ | 2.44 | 0.45 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.28 | 0.45 | % | ||||
Thrivent Diversified Income Plus Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,191 | $ | 3.11 | 0.56 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.87 | 0.56 | % | ||||
Thrivent Partner Socially Responsible Bond Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,061 | $ | 3.53 | 0.68 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.47 | 0.68 | % | ||||
Thrivent Income Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,120 | $ | 2.33 | 0.44 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.44 | % | ||||
Thrivent Bond Index Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,064 | $ | 2.39 | 0.46 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.34 | 0.46 | % | ||||
Thrivent Limited Maturity Bond Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,067 | $ | 2.27 | 0.43 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.43 | % | ||||
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| Beginning Account Value 7/1/2009 | Ending Account Value 12/31/2009 | Expenses Paid During Period 7/1/2009- 12/31/2009* | Annualized Expense Ratio | |||||||||
Thrivent Mortgage Securities Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,104 | $ | 4.79 | 0.90 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.60 | 0.90 | % | ||||
Thrivent Money Market Portfolio | ||||||||||||
Actual | $ | 1,000 | $ | 1,001 | $ | 1.87 | 0.37 | % | ||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.90 | 0.37 | % | ||||
| * | Expenses are equal to the Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. |
| ** | Assuming 5% total return before expenses. |
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Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders
of the Thrivent Series Fund, Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the forty-one Funds constituting the Thrivent Series Fund, Inc. (hereafter referred to as the "Funds") at December 31, 2009, and the results of each of their operations in the year then ended, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers, and transfer agent, provide a reasonable basis for our opinion.
 |
| February 18, 2010 |
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Schedule of Investments as of December 31, 2009
| Shares | Mutual Funds (75.3%) | Value | |||
| Equity Mutual Funds (68.6%) | |||||
| 793,448 | Thrivent Real Estate Securities Portfolio | $ | 9,257,711 | ||
| 3,515,006 | Thrivent Partner Small Cap Growth Portfolio | 35,237,937 | |||
| 877,088 | Thrivent Partner Small Cap Value Portfolio | 13,668,534 | |||
| 1,946,436 | Thrivent Small Cap Stock Portfolio | 19,713,116 | |||
| 4,113,905 | Thrivent Mid Cap Growth Portfolio II | 34,693,798 | |||
| 1,646,635 | Thrivent Partner Mid Cap Value Portfolio | 17,809,343 | |||
| 3,879,251 | Thrivent Mid Cap Stock Portfolio | 38,013,558 | |||
| 1,102,497 | Thrivent Partner Worldwide Allocation Portfolio | 8,638,175 | |||
| 7,160,205 | Thrivent Partner International Stock Portfolio | 71,544,054 | |||
| 3,618,402 | Thrivent Large Cap Growth Portfolio II | 26,504,431 | |||
| 2,671,635 | Thrivent Large Cap Value Portfolio | 25,779,138 | |||
| 4,714,169 | Thrivent Large Cap Stock Portfolio | 36,416,956 | |||
| 521,806 | Thrivent Equity Income Plus Portfolio | 4,126,856 | |||
Total Equity Mutual Funds | 341,403,607 | ||||
| Fixed Income Mutual Funds (6.7%) | |||||
| 2,202,500 | Thrivent High Yield Portfolio | 10,041,199 | |||
| 1,644,042 | Thrivent Income Portfolio | 15,431,962 | |||
| 831,887 | Thrivent Limited Maturity Bond Portfolio | 8,002,838 | |||
Total Fixed Income Mutual Funds | 33,475,999 | ||||
Total Mutual Funds (cost $453,197,635) | 374,879,606 | ||||
Common Stock (15.6%) | |||||
| Consumer Discretionary (2.0%) | |||||
| 3,684 | Amazon.com, Inc.a | 495,572 | |||
| 11,039 | Autoliv, Inc. | 478,651 | |||
| 6,298 | Bally Technologies, Inc.a | 260,044 | |||
| 4,800 | Bed Bath & Beyond, Inc.a | 185,424 | |||
| 4,131 | Best Buy Company, Inc. | 163,009 | |||
| 8,400 | Brinker International, Inc. | 125,328 | |||
| 4,842 | Buffalo Wild Wings, Inc.a | 194,987 | |||
| 5,835 | Carnival Corporationa | 184,911 | |||
| 8,300 | CBS Corporation | 116,615 | |||
| 17,202 | Chico’s FAS, Inc.a | 241,688 | |||
| 6,910 | Comcast Corporation | 116,503 | |||
| 2,559 | Cooper Tire & Rubber Company | 51,308 | |||
| 3,014 | Deckers Outdoor Corporationa | 306,584 | |||
| 3,450 | Discovery Communications, Inc.a | 105,811 | |||
| 3,201 | Dollar Tree, Inc.a | 154,608 | |||
| 34,520 | Ford Motor Companya | 345,200 | |||
| 3,683 | Fortune Brands, Inc. | 159,106 | |||
| 8,177 | Fossil, Inc.a | 274,420 | |||
| 1,881 | Genuine Parts Company | 71,403 | |||
| 6,657 | Guess ?, Inc. | 281,591 | |||
| 11,543 | Harman International Industries, Inc. | 407,237 | |||
| 4,190 | Home Depot, Inc. | 121,217 | |||
| 12,789 | International Game Technology | 240,050 | |||
| 7,748 | Jarden Corporation | 239,491 | |||
| 5,182 | Kohl’s Corporationa | 279,465 | |||
| 4,900 | Limited Brands, Inc. | 94,276 | |||
| 12,851 | Lincoln Educational Servicesa | 278,481 | |||
| 2,150 | LKQ Corporationa | 42,119 | |||
| 6,600 | Lowe’s Companies, Inc. | 154,374 | |||
| 7,666 | Macy’s, Inc | 128,482 | |||
| 43,373 | Melco Crown Entertainment, Ltd.a | 146,167 | |||
| 4,150 | Nordstrom, Inc. | 155,957 | |||
| 2,050 | Omnicom Group, Inc. | 80,258 | |||
| 3,870 | Panera Bread Companya | 259,174 | |||
| 1,266 | Priceline.com, Inc.a | 276,621 | |||
| 5,900 | RadioShack Corporation | 115,050 | |||
| 9,600 | Scientific Games Corporationa | 139,680 | |||
| 25,629 | Shuffle Master, Inc.a | 211,183 | |||
| 1,206 | Starwood Hotels & Resorts Worldwide, Inc. | 44,103 | |||
| 7,533 | Target Corporation | 364,371 | |||
| 2,023 | Tiffany & Company | 86,989 | |||
| 2,710 | Time Warner Cable, Inc. | 112,167 | |||
| 19,669 | Time Warner, Inc. | 573,155 | |||
| 17,935 | Toll Brothers, Inc.a | 337,357 | |||
| 1,585 | Tupperware Brands Corporation | 73,813 | |||
| 4,333 | Walt Disney Company | 139,739 | |||
| 2,393 | Warnaco Group, Inc.a | 100,961 | |||
| 14,822 | Warner Music Group Corporationa | 83,893 | |||
| 2,081 | Winnebago Industries, Inc.a | 25,388 | |||
| 7,376 | WMS Industries, Inc.a | 295,040 | |||
| 1,585 | Wolverine World Wide, Inc. | 43,144 | |||
| Total Consumer Discretionary | 9,962,165 | ||||
| Consumer Staples (0.7%) | |||||
| 6,008 | Altria Group, Inc. | 117,937 | |||
| 5,525 | Bare Escentuals, Inc.a | 67,571 | |||
| 7,463 | Casey’s General Stores, Inc. | 238,219 | |||
| 3,339 | CVS Caremark Corporation | 107,549 | |||
| 6,464 | Flowers Foods, Inc. | 153,585 | |||
| 4,178 | General Mills, Inc. | 295,844 | |||
| 4,599 | Herbalife, Ltd. | 186,581 | |||
| 2,544 | Kimberly-Clark Corporation | 162,078 | |||
| 2,860 | Kraft Foods, Inc. | 77,735 | |||
| 6,593 | Kroger Company | 135,354 | |||
| 8,805 | PepsiCo, Inc. | 535,344 | |||
| 3,101 | Philip Morris International, Inc. | 149,437 | |||
| 8,085 | Procter & Gamble Company | 490,194 | |||
| 2,500 | Sanderson Farms, Inc. | 105,400 | |||
| 2,690 | SYSCO Corporation | 75,159 | |||
| 10,175 | TreeHouse Foods, Inc.a | 395,400 | |||
| 2,420 | Unilever NV ADR | 78,239 | |||
| 6,050 | Walgreen Company | 222,156 | |||
| 1,400 | Wal-Mart Stores, Inc. | 74,830 | |||
Total Consumer Staples | 3,668,612 | ||||
| Energy (1.7%) | |||||
| 21,823 | Alpha Natural Resources, Inc.a | 946,682 | |||
| 1,306 | Anadarko Petroleum Corporation | 81,521 | |||
| 1,929 | Apache Corporation | 199,015 | |||
| 3,748 | Atlas Energy, Inc. | 113,077 | |||
| 8,890 | Baker Hughes, Inc. | 359,867 | |||
| 2,337 | Cabot Oil & Gas Corporation | 101,870 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (15.6%) | Value | |||
| Energy (1.7%) - continued | |||||
| 10,225 | Carrizo Oil & Gas, Inc.a | $ | 270,860 | ||
| 3,811 | Chevron Corporation | 293,409 | |||
| 3,300 | Cobalt International Energy, Inc.a | 45,672 | |||
| 5,711 | Comstock Resources, Inc.a | 231,695 | |||
| 5,966 | ConocoPhillips | 304,684 | |||
| 6,162 | Devon Energy Corporation | 452,907 | |||
| 3,901 | EOG Resources, Inc. | 379,567 | |||
| 3,163 | Exxon Mobil Corporation | 215,685 | |||
| 6,641 | Forest Oil Corporationa | 147,762 | |||
| 4,133 | Halliburton Company | 124,362 | |||
| 3,946 | Helmerich & Payne, Inc. | 157,367 | |||
| 4,050 | Hess Corporation | 245,025 | |||
| 4,114 | Holly Corporation | 105,442 | |||
| 1,928 | Massey Energy Company | 80,995 | |||
| 23,212 | Nabors Industries, Ltd.a | 508,111 | |||
| 6,794 | National Oilwell Varco, Inc. | 299,548 | |||
| 5,625 | Oil States International, Inc.a | 221,006 | |||
| 27,332 | Patterson-UTI Energy, Inc. | 419,546 | |||
| 5,133 | Petroleo Brasileiro SA ADR | 244,741 | |||
| 5,158 | Petroleum Development Corporationa | 93,927 | |||
| 5,755 | Rosetta Resources, Inc.a | 114,697 | |||
| 7,151 | Schlumberger, Ltd. | 465,459 | |||
| 9,346 | Southwestern Energy Companya | 450,477 | |||
| 7,684 | Superior Energy Services, Inc.a | 186,644 | |||
| 22,488 | Tesco Corporationa | 290,320 | |||
| 1,383 | Total SA ADR | 88,567 | |||
| 2,850 | Ultra Petroleum Corporationa | 142,101 | |||
| 11,400 | Valero Energy Corporation | 190,950 | |||
| 2,896 | World Fuel Services Corporation | 77,584 | |||
Total Energy | 8,651,142 | ||||
| Financials (2.2%) | |||||
| 1,790 | ACE, Ltd.a | 90,216 | |||
| 2,929 | Affiliated Managers Group, Inc.a | 197,268 | |||
| 4,723 | Allstate Corporation | 141,879 | |||
| 10,776 | American Equity Investment Life Holding Company | 80,173 | |||
| 5,930 | Ameriprise Financial, Inc. | 230,203 | |||
| 1,585 | Aspen Insurance Holdings, Ltd. | 40,338 | |||
| 9,920 | Bank of America Corporation | 149,395 | |||
| 5,180 | Bank of New York Mellon Corporation | 144,885 | |||
| 1,940 | Capital One Financial Corporation | 74,380 | |||
| 7,563 | Cardinal Financial Corporation | 66,101 | |||
| 3,257 | Cash America International, Inc. | 113,865 | |||
| 4,070 | Charles Schwab Corporation | 76,597 | |||
| 3,738 | Colonial Properties Trust | 43,847 | |||
| 2,673 | Comerica, Inc. | 79,041 | |||
| 3,100 | Commerce Bancshares, Inc. | 120,032 | |||
| 3,797 | Dollar Financial Corporationa | 89,837 | |||
| 6,324 | Duke Realty Corporation | 76,963 | |||
| 14,083 | DuPont Fabros Technology, Inc. | 253,353 | |||
| 8,685 | East West Bancorp, Inc. | 137,223 | |||
| 5,522 | Endurance Specialty Holdings, Ltd. | 205,584 | |||
| 9,490 | Equity One, Inc. | 153,453 | |||
| 578 | Everest Re Group, Ltd. | 49,523 | |||
| 17,178 | FBR Capital Markets Corporationa | 106,160 | |||
| 7,412 | Fifth Third Bancorp | 72,267 | |||
| 15,933 | First Niagara Financial Group, Inc. | 221,628 | |||
| 5,193 | Goldman Sachs Group, Inc. | 876,786 | |||
| 1,942 | Hancock Holding Company | 85,040 | |||
| 5,984 | Hanover Insurance Group, Inc. | 265,869 | |||
| 2,636 | Hartford Financial Services Group, Inc. | 61,313 | |||
| 17,988 | HCC Insurance Holdings, Inc. | 503,124 | |||
| 2,862 | Home Bancshares, Inc. | 68,888 | |||
| 13,848 | Host Hotels & Resorts, Inc.a | 161,606 | |||
| 3,917 | IntercontinentalExchange, Inc.a | 439,879 | |||
| 7,600 | Invesco, Ltd. | 178,524 | |||
| 22,755 | J.P. Morgan Chase & Company | 948,201 | |||
| 6,781 | Lazard, Ltd. | 257,475 | |||
| 4,829 | Max Capital Group, Ltd. | 107,687 | |||
| 2,334 | MetLife, Inc. | 82,507 | |||
| 6,494 | Morgan Stanley | 192,222 | |||
| 12,401 | New York Community Bancorp, Inc. | 179,939 | |||
| 7,327 | Ocwen Financial Corporationa | 70,119 | |||
| 1,150 | Platinum Underwriters Holdings, Ltd. | 44,034 | |||
| 2,110 | Principal Financial Group, Inc. | 50,724 | |||
| 5,285 | Prosperity Bancshares, Inc. | 213,884 | |||
| 1,550 | Prudential Financial, Inc. | 77,128 | |||
| 8,875 | Signature Banka | 283,112 | |||
| 2,770 | State Street Corporation | 120,606 | |||
| 25,232 | Sunstone Hotel Investors, Inc.a | 224,060 | |||
| 2,726 | SVB Financial Groupa | 113,647 | |||
| 2,200 | T. Rowe Price Group, Inc. | 117,150 | |||
| 11,373 | TD Ameritrade Holding Corporationa | 220,409 | |||
| 4,739 | Travelers Companies, Inc. | 236,287 | |||
| 12,486 | W.R. Berkley Corporation | 307,655 | |||
| 3,748 | Waddell & Reed Financial, Inc. | 114,464 | |||
| 25,763 | Washington Federal, Inc. | 498,256 | |||
| 16,645 | Wells Fargo & Company | 449,249 | |||
| 2,679 | Westamerica Bancorporation | 148,336 | |||
| 3,138 | XL Capital, Ltd. | 57,520 | |||
Total Financials | 10,769,911 | ||||
| Health Care (2.0%) | |||||
| 997 | Alcon, Inc. | 163,857 | |||
| 1,521 | Allergan, Inc. | 95,838 | |||
| 7,284 | American Medical Systems Holdings, Inc.a | 140,508 | |||
| 5,278 | Amgen, Inc.a | 298,576 | |||
| 5,508 | Baxter International, Inc. | 323,209 | |||
| 2,736 | Beckman Coulter, Inc. | 179,044 | |||
| 4,998 | BioMarin Pharmaceutical, Inc.a | 94,012 | |||
| 764 | Bio-Rad Laboratories, Inc.a | 73,695 | |||
| 1,958 | C.R. Bard, Inc. | 152,528 | |||
| 2,370 | Cardinal Health, Inc. | 76,409 | |||
| 2,716 | Catalyst Health Solutions, Inc.a | 99,053 | |||
| 5,795 | Celgene Corporationa | 322,666 | |||
| 2,144 | Chemed Corporation | 102,848 | |||
| 7,106 | Community Health Systems, Inc.a | 252,974 | |||
| 10,074 | Coventry Health Care, Inc.a | 244,697 | |||
| 13,672 | Covidien, Ltd. | 654,752 | |||
| 1,168 | Dionex Corporationa | 86,280 | |||
| 1,310 | Emergency Medical Services Corporationa | 70,936 | |||
| 8,091 | Gilead Sciences, Inc.a | 350,178 | |||
| 11,655 | Healthsouth Corporationa | 218,764 | |||
| 7,254 | Hologic, Inc.a | 105,183 | |||
| 1,690 | Hospira, Inc.a | 86,190 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (15.6%) | Value | |||
| Health Care (2.0%) - continued | |||||
| 2,331 | ICON plc ADRa | $ | 50,653 | ||
| 3,002 | Invacare Corporation | 74,870 | |||
| 5,138 | Johnson & Johnson | 330,939 | |||
| 22,624 | King Pharmaceuticals, Inc.a | 277,596 | |||
| 6,320 | LHC Group, Inc.a | 212,415 | |||
| 6,822 | Lincare Holdings, Inc.a | 253,233 | |||
| 4,272 | MedAssets, Inc.a | 90,609 | |||
| 5,772 | Medco Health Solutions, Inc.a | 368,889 | |||
| 7,644 | Medicis Pharmaceutical Corporation | 206,770 | |||
| 1,951 | Mednax, Inc.a | 117,294 | |||
| 3,904 | Medtronic, Inc. | 171,698 | |||
| 5,820 | Merck & Company, Inc. | 212,663 | |||
| 2,877 | Perrigo Company | 114,620 | |||
| 51,526 | Pfizer, Inc. | 937,258 | |||
| 2,082 | RehabCare Group, Inc.a | 63,355 | |||
| 450 | Sharps Compliance Corporationa | 4,320 | |||
| 10,423 | Thermo Fisher Scientific, Inc.a | 497,073 | |||
| 2,268 | Thoratec Corporationa | 61,055 | |||
| 7,981 | United Therapeutics Corporationa | 420,200 | |||
| 15,568 | UnitedHealth Group, Inc. | 474,513 | |||
| 2,533 | Varian Medical Systems, Inc.a | 118,671 | |||
| 5,074 | Vertex Pharmaceuticals, Inc.a | 217,421 | |||
| 6,818 | Watson Pharmaceuticals, Inc.a | 270,061 | |||
Total Health Care | 9,738,373 | ||||
| Industrials (1.9%) | |||||
| 2,200 | 3M Company | 181,874 | |||
| 3,598 | AAON, Inc. | 70,125 | |||
| 7,600 | AMR Corporationa | 58,748 | |||
| 2,120 | Avery Dennison Corporation | 77,359 | |||
| 15,431 | BE Aerospace, Inc.a | 362,628 | |||
| 4,642 | Beacon Roofing Supply, Inc.a | 74,272 | |||
| 5,106 | Bucyrus International, Inc. | 287,825 | |||
| 4,388 | Caterpillar, Inc. | 250,072 | |||
| 10,812 | Chicago Bridge and Iron Companya | 218,619 | |||
| 4,002 | Copa Holdings SA | 217,989 | |||
| 4,828 | CSX Corporation | 234,110 | |||
| 4,122 | Danaher Corporation | 309,974 | |||
| 9,757 | Delta Air Lines, Inc.a | 111,035 | |||
| 4,981 | Dover Corporation | 207,259 | |||
| 14,400 | Dryships, Inc.a | 83,808 | |||
| 2,330 | Eaton Corporation | 148,235 | |||
| 1,311 | EMCOR Group, Inc.a | 35,266 | |||
| 4,077 | EnerSysa | 89,164 | |||
| 4,956 | FedEx Corporation | 413,578 | |||
| 5,750 | Foster Wheeler AGa | 169,280 | |||
| 1,330 | FTI Consulting, Inc.a | 62,723 | |||
| 6,591 | Gardner Denver, Inc. | 280,447 | |||
| 1,809 | Genco Shipping & Trading, Ltd.a | 40,485 | |||
| 2,293 | General Dynamics Corporation | 156,314 | |||
| 23,740 | General Electric Company | 359,186 | |||
| 7,762 | Great Lakes Dredge & Dock Company | 50,298 | |||
| 3,424 | Griffon Corporationa | 41,841 | |||
| 7,826 | Honeywell International, Inc. | 306,779 | |||
| 1,603 | IDEX Corporation | 49,933 | |||
| 2,892 | Ingersoll-Rand plc | 103,360 | |||
| 4,189 | Knight Transportation, Inc. | 80,806 | |||
| 1,454 | Landstar System, Inc. | 56,372 | |||
| 1,423 | Lennox International, Inc. | 55,554 | |||
| 25,818 | Manitowoc Company, Inc. | 257,405 | |||
| 17,205 | Monster Worldwide, Inc.a | 299,367 | |||
| 5,532 | Navistar International Corporationa | 213,812 | |||
| 14,024 | Oshkosh Corporation | 519,309 | |||
| 4,678 | Parker Hannifin Corporation | 252,051 | |||
| 1,720 | Precision Castparts Corporation | 189,802 | |||
| 5,754 | Roper Industries, Inc. | 301,337 | |||
| 5,300 | Shaw Group, Inc.a | 152,375 | |||
| 15,163 | SmartHeat, Inc.a | 220,167 | |||
| 4,360 | Spirit Aerosystems Holdings, Inc.a | 86,590 | |||
| 4,275 | SPX Corporation | 233,842 | |||
| 2,902 | Sykes Enterprises, Inc.a | 73,914 | |||
| 3,580 | Teledyne Technologies, Inc.a | 137,329 | |||
| 3,890 | Textron, Inc. | 73,171 | |||
| 1,883 | Triumph Group, Inc. | 90,855 | |||
| 5,228 | Union Pacific Corporation | 334,069 | |||
| 6,949 | United Technologies Corporation | 482,330 | |||
| 11,847 | Werner Enterprises, Inc. | 234,452 | |||
| 8,376 | Woodward Governor Company | 215,849 | |||
Total Industrials | 9,613,344 | ||||
| Information Technology (3.4%) | |||||
| 16,400 | Activision Blizzard, Inc.a | 182,204 | |||
| 10,230 | Advanced Micro Devices, Inc.a | 99,026 | |||
| 4,539 | Akamai Technologies, Inc.a | 114,973 | |||
| 13 | AOL, Inc.a | 303 | |||
| 5,788 | Apple, Inc.a | 1,220,458 | |||
| 3,146 | AsiaInfo Holdings, Inc.a | 95,859 | |||
| 168,472 | Atmel Corporationa | 776,656 | |||
| 3,143 | Avnet, Inc.a | 94,793 | |||
| 25,059 | Cisco Systems, Inc.a | 599,912 | |||
| 76,750 | Compuware Corporationa | 554,903 | |||
| 7,943 | Comtech Group, Inc.a | 58,540 | |||
| 5,700 | Dell, Inc.a | 81,852 | |||
| 10,714 | EarthLink, Inc. | 89,033 | |||
| 18,474 | eBay, Inc.a | 434,878 | |||
| 8,512 | F5 Networks, Inc.a | 450,966 | |||
| 10,560 | Finisar Corporationa | 94,195 | |||
| 10,851 | Flextronics International, Ltd.a | 79,321 | |||
| 16,787 | FormFactor, Inc.a | 365,285 | |||
| 1,949 | Google, Inc.a | 1,208,341 | |||
| 13,960 | Hewlett-Packard Company | 719,080 | |||
| 30,891 | Intel Corporation | 630,176 | |||
| 2,823 | International Business Machines Corporation | 369,531 | |||
| 6,252 | Jabil Circuit, Inc. | 108,597 | |||
| 7,079 | JDA Software Group, Inc.a | 180,302 | |||
| 4,410 | Juniper Networks, Inc.a | 117,615 | |||
| 3,131 | Lam Research Corporationa | 122,767 | |||
| 35,306 | Lattice Semiconductor Corporationa | 95,326 | |||
| 5,415 | Lender Processing Services, Inc. | 220,174 | |||
| 1,300 | MasterCard, Inc. | 332,774 | |||
| 16,665 | Maxim Integrated Products, Inc. | 338,300 | |||
| 2,700 | McAfee, Inc.a | 109,539 | |||
| 2,902 | Mellanox Technologies, Ltd.a | 54,732 | |||
| 8,433 | Mentor Graphics Corporationa | 74,463 | |||
| 7,500 | Micron Technology, Inc.a | 79,200 | |||
| 24,900 | Microsoft Corporation | 759,201 | |||
| 9,300 | Motorola, Inc.a | 72,168 | |||
| 1,508 | Multi-Fineline Electronix, Inc.a | 42,782 | |||
| 2,912 | Nokia Oyj ADR | 37,419 | |||
| 11,566 | Novellus Systems, Inc.a | 269,950 | |||
| 6,675 | Nuance Communications, Inc.a | 103,730 | |||
| 19,250 | ON Semiconductor Corporationa | 169,593 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (15.6%) | Value | |||
| Information Technology (3.4%) - continued | |||||
| 24,477 | Oracle Corporation | $ | 600,666 | ||
| 9,395 | Polycom, Inc.a | 234,593 | |||
| 5,314 | QLogic Corporationa | 100,275 | |||
| 17,090 | QUALCOMM, Inc. | 790,583 | |||
| 2,017 | Research in Motion, Ltd.a | 136,228 | |||
| 20,906 | Skyworks Solutions, Inc.a | 296,656 | |||
| 16,805 | Smart Modular Technologies (WWH), Inc.a | 105,703 | |||
| 6,585 | Solera Holdings, Inc. | 237,126 | |||
| 6,774 | STEC, Inc.a | 110,687 | |||
| 2,219 | Sybase, Inc.a | 96,305 | |||
| 13,318 | Tellabs, Inc.a | 75,646 | |||
| 49,391 | Teradyne, Inc.a | 529,965 | |||
| 5,599 | Texas Instruments, Inc. | 145,910 | |||
| 47,023 | TIBCO Software, Inc.a | 452,831 | |||
| 8,797 | TTM Technologies, Inc.a | 101,429 | |||
| 9,381 | Tyco Electronics, Ltd. | 230,304 | |||
| 7,936 | ValueClick, Inc.a | 80,313 | |||
| 3,143 | Visa, Inc. | 274,887 | |||
| 18,190 | Vishay Intertechnology, Inc.a | 151,886 | |||
| 11,819 | Xilinx, Inc. | 296,184 | |||
| 15,686 | Yahoo!, Inc.a | 263,211 | |||
Total Information Technology | 16,920,305 | ||||
| Materials (0.9%) | |||||
| 3,109 | Air Products and Chemicals, Inc. | 252,016 | |||
| 8,428 | Albemarle Corporation | 306,526 | |||
| 6,134 | Allied Nevada Gold Corporationa | 92,501 | |||
| 6,050 | Ball Corporation | 312,785 | |||
| 621 | CF Industries Holdings, Inc. | 56,374 | |||
| 11,601 | Crown Holdings, Inc.a | 296,754 | |||
| 1,822 | Domtar Corporationa | 100,957 | |||
| 2,449 | E.I. du Pont de Nemours and Company | 82,458 | |||
| 982 | FMC Corporation | 54,756 | |||
| 3,062 | Freeport-McMoRan Copper & Gold, Inc.a | 245,848 | |||
| 2,185 | Horsehead Holding Corporationa | 27,859 | |||
| 3,350 | Innophos Holdings, Inc. | 77,016 | |||
| 7,613 | International Paper Company | 203,876 | |||
| 4,300 | Newmont Mining Corporation | 203,433 | |||
| 9,096 | Owens-Illinois, Inc.a | 298,985 | |||
| 25,454 | Packaging Corporation of America | 585,697 | |||
| 3,909 | Pactiv Corporationa | 94,363 | |||
| 11,043 | Pan American Silver Corporationa | 262,934 | |||
| 800 | Potash Corporation of Saskatchewan, Inc. | 86,800 | |||
| 1,284 | PPG Industries, Inc. | 75,165 | |||
| 921 | Praxair, Inc. | 73,965 | |||
| 3,909 | RTI International Metals, Inc.a | 98,390 | |||
| 4,739 | Sealed Air Corporation | 103,595 | |||
| 4,871 | Silgan Holdings, Inc. | 281,933 | |||
| 11,841 | Steel Dynamics, Inc. | 209,823 | |||
Total Materials | 4,484,809 | ||||
| Telecommunications Services (0.3%) | |||||
| 33,400 | Alcatel-Lucent ADRa | 110,888 | |||
| 9,409 | American Tower Corporationa | 406,563 | |||
| 7,407 | AT&T, Inc. | 207,618 | |||
| 4,450 | NII Holdings, Inc.a | 149,431 | |||
| 6,100 | NTELOS Holdings Corporation | 108,702 | |||
| 39,494 | Qwest Communications International, Inc. | 166,270 | |||
| 3,915 | Syniverse Holdings, Inc.a | 68,434 | |||
| 4,510 | Telephone and Data Systems, Inc. | 152,979 | |||
| 7,547 | Verizon Communications, Inc. | 250,032 | |||
| 4,820 | Vodafone Group plc ADR | 111,294 | |||
Total Telecommunications Services | 1,732,211 | ||||
| Utilities (0.5%) | |||||
| 3,273 | Alliant Energy Corporation | 99,041 | |||
| 6,700 | American Electric Power Company, Inc. | 233,093 | |||
| 1,784 | American States Water Company | 63,172 | |||
| 4,543 | Avista Corporation | 98,083 | |||
| 8,200 | Cleco Corporation | 224,106 | |||
| 4,851 | DPL, Inc. | 133,888 | |||
| 2,497 | Entergy Corporation | 204,355 | |||
| 2,320 | Exelon Corporation | 113,378 | |||
| 4,074 | FirstEnergy Corporation | 189,237 | |||
| 9,688 | NV Energy, Inc. | 119,938 | |||
| 2,156 | OGE Energy Corporation | 79,556 | |||
| 10,760 | Portland General Electric Company | 219,612 | |||
| 12,819 | Southwest Gas Corporation | 365,726 | |||
| 3,775 | UGI Corporation | 91,317 | |||
| 3,288 | Xcel Energy, Inc. | 69,804 | |||
Total Utilities | 2,304,306 | ||||
Total Common Stock (cost $73,401,617) | 77,845,178 | ||||
| Principal Amount | Long-Term Fixed Income (2.0%) | ||||
| Asset-Backed Securities (0.2%) | |||||
J.P. Morgan Mortgage Trust | |||||
| 1,000,000 | 5.461%, 10/25/2036 | 825,490 | |||
Total Asset-Backed Securities | 825,490 | ||||
| Collateralized Mortgage Obligations (0.1%) | |||||
Sequoia Mortgage Trust | |||||
| 204,454 | 5.749%, 9/20/2046 | 77,057 | |||
WaMu Mortgage Pass Through Certificates | |||||
| 339,368 | 5.921%, 9/25/2036 | 281,070 | |||
| 464,045 | 6.037%, 10/25/2036 | 378,172 | |||
Total Collateralized Mortgage Obligations | 736,299 | ||||
| Commercial Mortgage-Backed Securities (1.4%) | |||||
Banc of America Commercial Mortgage, Inc. | |||||
| 300,000 | 5.356%, 10/10/2045 | 268,943 | |||
Bear Stearns Commercial Mortgage Securities, Inc. | |||||
| 1,000,000 | 5.331%, 2/11/2044 | 862,974 | |||
| 600,000 | 5.694%, 6/11/2050 | 525,346 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (2.0%) | Value | |||||
| Commercial Mortgage-Backed Securities (1.4%) - continued | |||||||
Citigroup/Deutsche Bank Commercial Mortgage Pass-Through Certificates | |||||||
| $ | 400,000 | 5.617%, 10/15/2048 | $ | 381,051 | |||
Credit Suisse Mortgage Capital Certificates | |||||||
| 400,000 | 5.467%, 9/15/2039 | 342,609 | |||||
GS Mortgage Securities Corporation II | |||||||
| 1,000,000 | 4.761%, 7/10/2039 | 905,585 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | |||||||
| 1,000,000 | 5.814%, 6/12/2043 | 962,341 | |||||
| 1,250,000 | 5.336%, 5/15/2047 | 1,084,084 | |||||
LB-UBS Commercial Mortgage Trust | |||||||
| 600,000 | 5.866%, 9/15/2045 | 526,626 | |||||
Morgan Stanley Capital I, Inc. | |||||||
| 800,000 | 4.970%, 4/14/2040 | 780,658 | |||||
Total Commercial Mortgage-Backed Securities | 6,640,217 | ||||||
| U.S. Government and Agencies (0.3%) | |||||||
U.S. Treasury Notes | |||||||
| 1,500,000 | 0.875%, 12/31/2010b | 1,505,508 | |||||
Total U.S. Government and Agencies | 1,505,508 | ||||||
Total Long-Term Fixed Income (cost $9,181,273) | 9,707,514 | ||||||
| Shares | Preferred Stock (0.1%) | ||||||
| Financials (0.1%) | |||||||
| 22,387 | Bank of America Corporation, Convertiblea | 334,014 | |||||
Total Financials | 334,014 | ||||||
Total Preferred Stock (cost $344,847) | 334,014 | ||||||
| Principal Amount | Short-Term Investments (7.1%)c | ||||||
Enterprise Funding Company, LLC | |||||||
| 4,475,000 | 0.010%, 1/4/2010 | 4,474,996 | |||||
Federal Home Loan Bank Discount Notes | |||||||
| 20,000,000 | 0.040%, 1/15/2010 | 19,999,689 | |||||
| 3,000,000 | 0.040%, 1/29/2010 | 2,999,906 | |||||
| 5,000,000 | 0.060%, 2/17/2010 | 4,999,608 | |||||
| 1,900,000 | 0.200%, 3/17/2010b | 1,899,222 | |||||
Federal Home Loan Mortgage Corporation Discount Notes | |||||||
| 700,000 | 0.030%, 2/22/2010 | 699,970 | |||||
Total Short-Term Investments (at amortized cost) | 35,073,391 | ||||||
Total Investments (cost $571,198,763) 100.1% | $ | 497,839,703 | |||||
Other Assets and Liabilities, Net (0.1%) | (263,104 | ) | |||||
Total Net Assets 100.0% | $ | 497,576,599 | |||||
| a | Non-income producing security. |
| b | At December 31, 2009, $3,404,730 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 17,767,770 | ||
Gross unrealized depreciation | (91,186,181 | ) | ||
Net unrealized appreciation (depreciation) | $ | (73,418,411 | ) | |
Cost for federal income tax purposes | $ | 571,258,114 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Aggressive Allocation Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | |||||||||
Mutual Funds | |||||||||||||
Equity Mutual Funds | 341,403,607 | 341,403,607 | — | — | |||||||||
Fixed Income Mutual Funds | 33,475,999 | 33,475,999 | — | — | |||||||||
Common Stock | |||||||||||||
Consumer Discretionary | 9,962,165 | 9,962,165 | — | — | |||||||||
Consumer Staples | 3,668,612 | 3,668,612 | — | — | |||||||||
Energy | 8,651,142 | 8,651,142 | — | — | |||||||||
Financials | 10,769,911 | 10,769,911 | — | — | |||||||||
Health Care | 9,738,373 | 9,738,373 | — | — | |||||||||
Industrials | 9,613,344 | 9,613,344 | — | — | |||||||||
Information Technology | 16,920,305 | 16,920,305 | — | — | |||||||||
Materials | 4,484,809 | 4,484,809 | — | — | |||||||||
Telecommunications Services | 1,732,211 | 1,732,211 | — | — | |||||||||
Utilities | 2,304,306 | 2,304,306 | — | — | |||||||||
Long-Term Fixed Income | |||||||||||||
Asset-Backed Securities | 825,490 | — | 825,490 | — | |||||||||
Collateralized Mortgage Obligations | 736,299 | — | 736,299 | — | |||||||||
Commercial Mortgage-Backed Securities | 6,640,217 | — | 6,640,217 | — | |||||||||
U.S. Government and Agencies | 1,505,508 | — | 1,505,508 | — | |||||||||
Preferred Stock Financials | 334,014 | 334,014 | — | — | |||||||||
Short-Term Investments | 35,073,391 | — | 35,073,391 | — | |||||||||
Total | $ | 497,839,703 | $ | 453,058,798 | $ | 44,780,905 | $ | — | |||||
Other Financial Instruments* | $ | 869,009 | $ | 997,867 | ($128,858 | ) | $ | — | |||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
E-Mini MSCI EAFE Index Futures | 47 | March 2010 | $ | 3,675,936 | $ | 3,686,680 | $ | 10,744 | |||||
Russell 2000 Index Mini-Futures | 215 | March 2010 | 12,754,391 | 13,413,849 | 659,458 | ||||||||
S&P 400 Index Mini-Futures | 51 | March 2010 | 3,564,785 | 3,696,990 | 132,205 | ||||||||
S&P 500 Index Futures | 58 | March 2010 | 15,909,690 | 16,105,150 | 195,460 | ||||||||
Total Futures Contracts | $ | 997,867 | |||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||
CDX HY, Series 12, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2014 | $ | 470,000 | ($46,478 | ) | ($3,736 | ) | ($50,214 | ) | ||||||
CDX HY, Series 12, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2014 | 470,000 | (44,857 | ) | (3,736 | ) | (48,593 | ) | |||||||
CDX HY, Series 12, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 6/20/2014 | 235,000 | (28,183 | ) | (1,868 | ) | (30,051 | ) | |||||||
Total Credit Default Swaps | ($9,340 | ) | ($128,858 | ) | ||||||||||||
| 1 | As the buyer of protection, Aggressive Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Aggressive Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Aggressive Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| 3 | The market values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the market value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The market value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 997,867 | |||
Total Equity Contracts | 997,867 | ||||
Total Asset Derivatives | $ | 997,867 | |||
Liability Derivatives | |||||
Credit Contracts | |||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 128,858 | |||
Total Credit Contracts | 128,858 | ||||
Total Liability Derivatives | $ | 128,858 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 10,325,512 | ||||
Total Equity Contracts | 10,325,512 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (519 | ) | |||
Total Foreign Exchange Contracts | (519 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (33,167 | ) | |||
Total Credit Contracts | (33,167 | ) | ||||
Total | $ | 10,291,826 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 328,892 | ||||
Total Equity Contracts | 328,892 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (128,858 | ) | |||
Total Credit Contracts | (128,858 | ) | ||||
Total | $ | 200,034 | ||||
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 30,168,905 | 7.5 | % | N/A | N/A | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | N/A | N/A | $ | 149 | <0.1 | % | ||||||||||
Credit Contracts | N/A | N/A | $ | 433,057 | 0.1 | % | N/A | N/A | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Real Estate Securities | $ | 6,831,279 | $ | 1,143,765 | $ | 428,772 | 793,448 | $ | 9,257,711 | $ | 307,846 | ||||||
Partner Small Cap Growth | 25,422,654 | 2,154,322 | 1,143,392 | 3,515,006 | 35,237,937 | 25,263 | |||||||||||
Partner Small Cap Value | 10,222,302 | 904,641 | 428,772 | 877,088 | 13,668,534 | 96,283 | |||||||||||
Small Cap Stock | 33,717,707 | 2,857,298 | 21,429,240 | 1,946,436 | 19,713,116 | 195,974 | |||||||||||
Mid Cap Growth II | 22,699,981 | 1,863,454 | 1,000,468 | 4,113,905 | 34,693,798 | 527 | |||||||||||
Partner Mid Cap Value | 13,078,930 | 1,216,777 | 571,696 | 1,646,635 | 17,809,343 | 152,248 | |||||||||||
Mid Cap Stock | 37,675,608 | 3,104,130 | 16,550,596 | 3,879,251 | 38,013,558 | 198,242 | |||||||||||
Partner Worldwide Allocation | 2,219,334 | 6,235,372 | 1,546,924 | 1,102,497 | 8,638,175 | 111,122 | |||||||||||
Partner International Stock | 57,328,763 | 1,477,677 | — | 7,160,205 | 71,544,054 | 1,477,677 | |||||||||||
Large Cap Growth II | 37,423,862 | 5,630,469 | 26,873,387 | 3,618,402 | 26,504,431 | 133,637 | |||||||||||
Large Cap Value | 32,366,920 | 3,998,094 | 16,596,023 | 2,671,635 | 25,779,138 | 429,630 | |||||||||||
Large Cap Stock | 28,077,766 | 2,443,211 | 1,403,034 | 4,714,169 | 36,416,956 | 314,152 | |||||||||||
Equity Income Plus | 3,601,214 | 68,143 | 51,928 | 521,806 | 4,126,856 | 68,143 | |||||||||||
High Yield | 8,443,730 | 1,345,963 | 2,285,848 | 2,202,500 | 10,041,199 | 862,326 | |||||||||||
Income | 15,131,694 | 1,590,804 | 3,411,359 | 1,644,042 | 15,431,962 | 882,205 | |||||||||||
Limited Maturity Bond | 9,528,194 | 1,087,022 | 3,421,860 | 831,887 | 8,002,838 | 367,921 | |||||||||||
Money Market | 7,615,610 | 68,021,341 | 75,636,951 | — | — | 48,765 | |||||||||||
Total Value and Income Earned | 351,385,548 | 374,879,606 | 5,671,961 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Mutual Funds (83.2%) | Value | |||
| Equity Mutual Funds (62.0%) | |||||
| 4,920,352 | Thrivent Real Estate Securities Portfolio | $ | 57,409,186 | ||
| 4,932,450 | Thrivent Partner Small Cap Growth Portfolio | 49,447,816 | |||
| 3,477,451 | Thrivent Partner Small Cap Value Portfolio | 54,192,601 | |||
| 4,473,446 | Thrivent Small Cap Stock Portfolio | 45,306,168 | |||
| 6,054,964 | Thrivent Mid Cap Growth Portfolio II | 51,063,329 | |||
| 6,174,912 | Thrivent Partner Mid Cap Value Portfolio | 66,785,383 | |||
| 14,568,669 | Thrivent Mid Cap Stock Portfolio | 142,761,304 | |||
| 9,401,588 | Thrivent Partner Worldwide Allocation Portfolio | 73,662,379 | |||
| 19,230,728 | Thrivent Partner International Stock Portfolio | 192,151,514 | |||
| 19,109,174 | Thrivent Large Cap Growth Portfolio II | 139,972,788 | |||
| 17,686,945 | Thrivent Large Cap Value Portfolio | 170,664,869 | |||
| 21,861,963 | Thrivent Large Cap Stock Portfolio | 168,883,667 | |||
| 2,133,802 | Thrivent Equity Income Plus Portfolio | 16,875,813 | |||
Total Equity Mutual Funds | 1,229,176,817 | ||||
| Fixed Income Mutual Funds (21.2%) | |||||
| 24,067,976 | Thrivent High Yield Portfolio | 109,725,904 | |||
| 24,472,788 | Thrivent Income Portfolio | 229,716,268 | |||
| 8,490,842 | Thrivent Limited Maturity Bond Portfolio | 81,682,750 | |||
Total Fixed Income Mutual Funds | 421,124,922 | ||||
Total Mutual Funds (cost $1,924,428,417) | 1,650,301,739 | ||||
Common Stock (7.8%) | |||||
| Consumer Discretionary (1.0%) | |||||
| 4,371 | Amazon.com, Inc.a | 587,987 | |||
| 22,598 | Autoliv, Inc. | 979,849 | |||
| 9,448 | Bally Technologies, Inc.a | 390,108 | |||
| 5,700 | Bed Bath & Beyond, Inc.a | 220,191 | |||
| 4,947 | Best Buy Company, Inc. | 195,209 | |||
| 10,100 | Brinker International, Inc. | 150,692 | |||
| 7,264 | Buffalo Wild Wings, Inc.a | 292,521 | |||
| 11,751 | Carnival Corporationa | 372,389 | |||
| 22,000 | CBS Corporation | 309,100 | |||
| 39,056 | Chico’s FAS, Inc.a | 548,737 | |||
| 23,040 | Comcast Corporation | 388,454 | |||
| 3,839 | Cooper Tire & Rubber Company | 76,972 | |||
| 4,570 | Deckers Outdoor Corporationa | 464,860 | |||
| 9,334 | Discovery Communications, Inc.a | 286,274 | |||
| 8,470 | Dollar Tree, Inc.a | 409,101 | |||
| 41,474 | Ford Motor Companya | 414,740 | |||
| 12,275 | Fortune Brands, Inc. | 530,280 | |||
| 12,266 | Fossil, Inc.a | 411,647 | |||
| 6,271 | Genuine Parts Company | 238,047 | |||
| 7,035 | Guess ?, Inc. | 297,580 | |||
| 34,213 | Harman International Industries, Inc. | 1,207,035 | |||
| 13,699 | Home Depot, Inc. | 396,312 | |||
| 23,129 | International Game Technology | 434,131 | |||
| 16,475 | Jarden Corporation | 509,242 | |||
| 6,218 | Kohl’s Corporationa | 335,337 | |||
| 5,800 | Limited Brands, Inc. | 111,592 | |||
| 19,377 | Lincoln Educational Servicesa | 419,900 | |||
| 3,225 | LKQ Corporationa | 63,178 | |||
| 8,000 | Lowe’s Companies, Inc. | 187,120 | |||
| 25,552 | Macy’s, Inc | 428,251 | |||
| 52,003 | Melco Crown Entertainment, Ltd.a | 175,250 | |||
| 5,050 | Nordstrom, Inc. | 189,779 | |||
| 6,800 | Omnicom Group, Inc. | 266,220 | |||
| 8,949 | Panera Bread Companya | 599,315 | |||
| 2,099 | Priceline.com, Inc.a | 458,631 | |||
| 7,000 | RadioShack Corporation | 136,500 | |||
| 25,500 | Scientific Games Corporationa | 371,025 | |||
| 38,444 | Shuffle Master, Inc.a | 316,779 | |||
| 4,021 | Starwood Hotels & Resorts Worldwide, Inc. | 147,048 | |||
| 12,596 | Target Corporation | 609,269 | |||
| 6,743 | Tiffany & Company | 289,949 | |||
| 9,020 | Time Warner Cable, Inc. | 373,338 | |||
| 47,638 | Time Warner, Inc. | 1,388,171 | |||
| 39,592 | Toll Brothers, Inc.a | 744,726 | |||
| 2,377 | Tupperware Brands Corporation | 110,697 | |||
| 14,445 | Walt Disney Company | 465,851 | |||
| 3,589 | Warnaco Group, Inc.a | 151,420 | |||
| 22,233 | Warner Music Group Corporationa | 125,839 | |||
| 6,871 | Winnebago Industries, Inc.a | 83,826 | |||
| 19,502 | WMS Industries, Inc.a | 780,080 | |||
| 2,377 | Wolverine World Wide, Inc. | 64,702 | |||
Total Consumer Discretionary | 19,505,251 | ||||
| Consumer Staples (0.4%) | |||||
| 20,027 | Altria Group, Inc. | 393,130 | |||
| 8,287 | Bare Escentuals, Inc.a | 101,350 | |||
| 11,295 | Casey’s General Stores, Inc. | 360,536 | |||
| 11,130 | CVS Caremark Corporation | 358,497 | |||
| 17,304 | Flowers Foods, Inc. | 411,143 | |||
| 13,928 | General Mills, Inc. | 986,242 | |||
| 6,898 | Herbalife, Ltd. | 279,852 | |||
| 8,479 | Kimberly-Clark Corporation | 540,197 | |||
| 9,522 | Kraft Foods, Inc. | 258,808 | |||
| 17,482 | Kroger Company | 358,906 | |||
| 10,586 | PepsiCo, Inc. | 643,629 | |||
| 10,336 | Philip Morris International, Inc. | 498,092 | |||
| 9,772 | Procter & Gamble Company | 592,476 | |||
| 3,800 | Sanderson Farms, Inc. | 160,208 | |||
| 8,950 | SYSCO Corporation | 250,063 | |||
| 22,543 | TreeHouse Foods, Inc.a | 876,021 | |||
| 8,080 | Unilever NV ADR | 261,226 | |||
| 7,300 | Walgreen Company | 268,056 | |||
| 4,650 | Wal-Mart Stores, Inc. | 248,543 | |||
Total Consumer Staples | 7,846,975 | ||||
| Energy (0.9%) | |||||
| 43,316 | Alpha Natural Resources, Inc.a | 1,879,048 | |||
| 4,355 | Anadarko Petroleum Corporation | 271,839 | |||
| 6,429 | Apache Corporation | 663,280 | |||
| 5,621 | Atlas Energy, Inc. | 169,586 | |||
| 20,750 | Baker Hughes, Inc. | 839,960 | |||
| 3,505 | Cabot Oil & Gas Corporation | 152,783 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (7.8%) | Value | |||
| Energy (0.9%) - continued | |||||
| 15,337 | Carrizo Oil & Gas, Inc.a | $ | 406,277 | ||
| 12,704 | Chevron Corporation | 978,081 | |||
| 4,000 | Cobalt International Energy, Inc.a | 55,360 | |||
| 15,229 | Comstock Resources, Inc.a | 617,841 | |||
| 19,888 | ConocoPhillips | 1,015,680 | |||
| 11,954 | Devon Energy Corporation | 878,619 | |||
| 7,795 | EOG Resources, Inc. | 758,453 | |||
| 10,543 | Exxon Mobil Corporation | 718,927 | |||
| 17,776 | Forest Oil Corporationa | 395,516 | |||
| 13,777 | Halliburton Company | 414,550 | |||
| 10,589 | Helmerich & Payne, Inc. | 422,289 | |||
| 4,900 | Hess Corporation | 296,450 | |||
| 6,171 | Holly Corporation | 158,163 | |||
| 2,892 | Massey Energy Company | 121,493 | |||
| 52,751 | Nabors Industries, Ltd.a | 1,154,719 | |||
| 19,308 | National Oilwell Varco, Inc. | 851,290 | |||
| 8,438 | Oil States International, Inc.a | 331,529 | |||
| 56,042 | Patterson-UTI Energy, Inc. | 860,245 | |||
| 6,140 | Petroleo Brasileiro SA ADR | 292,755 | |||
| 7,737 | Petroleum Development Corporationa | 140,891 | |||
| 8,632 | Rosetta Resources, Inc.a | 172,036 | |||
| 8,531 | Schlumberger, Ltd. | 555,283 | |||
| 16,357 | Southwestern Energy Companya | 788,407 | |||
| 18,670 | Superior Energy Services, Inc.a | 453,494 | |||
| 27,132 | Tesco Corporationa | 350,274 | |||
| 4,609 | Total SA ADR | 295,160 | |||
| 9,530 | Ultra Petroleum Corporationa | 475,166 | |||
| 13,600 | Valero Energy Corporation | 227,800 | |||
| 4,344 | World Fuel Services Corporation | 116,376 | |||
Total Energy | 18,279,620 | ||||
| Financials (1.2%) | |||||
| 5,966 | ACE, Ltd.a | 300,686 | |||
| 4,444 | Affiliated Managers Group, Inc.a | 299,303 | |||
| 15,742 | Allstate Corporation | 472,890 | |||
| 16,165 | American Equity Investment Life Holding Company | 120,268 | |||
| 19,778 | Ameriprise Financial, Inc. | 767,782 | |||
| 2,377 | Aspen Insurance Holdings, Ltd. | 60,495 | |||
| 33,055 | Bank of America Corporation | 497,808 | |||
| 17,260 | Bank of New York Mellon Corporation | 482,762 | |||
| 6,480 | Capital One Financial Corporation | 248,443 | |||
| 11,345 | Cardinal Financial Corporation | 99,155 | |||
| 4,885 | Cash America International, Inc. | 170,780 | |||
| 13,570 | Charles Schwab Corporation | 255,387 | |||
| 5,607 | Colonial Properties Trust | 65,770 | |||
| 8,910 | Comerica, Inc. | 263,469 | |||
| 8,163 | Commerce Bancshares, Inc. | 316,071 | |||
| 5,696 | Dollar Financial Corporationa | 134,767 | |||
| 16,931 | Duke Realty Corporation | 206,050 | |||
| 21,224 | DuPont Fabros Technology, Inc. | 381,820 | |||
| 13,028 | East West Bancorp, Inc. | 205,842 | |||
| 8,383 | Endurance Specialty Holdings, Ltd. | 312,099 | |||
| 25,406 | Equity One, Inc. | 410,815 | |||
| 1,926 | Everest Re Group, Ltd. | 165,020 | |||
| 49,567 | FBR Capital Markets Corporationa | 306,324 | |||
| 24,707 | Fifth Third Bancorp | 240,893 | |||
| 23,900 | First Niagara Financial Group, Inc. | 332,449 | |||
| 7,962 | Goldman Sachs Group, Inc. | 1,344,304 | |||
| 2,913 | Hancock Holding Company | 127,560 | |||
| 13,033 | Hanover Insurance Group, Inc. | 579,056 | |||
| 8,786 | Hartford Financial Services Group, Inc. | 204,362 | |||
| 43,714 | HCC Insurance Holdings, Inc. | 1,222,681 | |||
| 4,293 | Home Bancshares, Inc. | 103,333 | |||
| 36,795 | Host Hotels & Resorts, Inc.a | 429,398 | |||
| 6,688 | IntercontinentalExchange, Inc.a | 751,062 | |||
| 9,150 | Invesco, Ltd. | 214,934 | |||
| 54,178 | J.P. Morgan Chase & Company | 2,257,597 | |||
| 13,800 | Lazard, Ltd. | 523,986 | |||
| 7,243 | Max Capital Group, Ltd. | 161,519 | |||
| 7,779 | MetLife, Inc. | 274,988 | |||
| 21,634 | Morgan Stanley | 640,366 | |||
| 33,004 | New York Community Bancorp, Inc. | 478,888 | |||
| 10,991 | Ocwen Financial Corporationa | 105,184 | |||
| 1,725 | Platinum Underwriters Holdings, Ltd. | 66,050 | |||
| 7,032 | Principal Financial Group, Inc. | 169,049 | |||
| 8,027 | Prosperity Bancshares, Inc. | 324,853 | |||
| 5,150 | Prudential Financial, Inc. | 256,264 | |||
| 13,312 | Signature Banka | 424,653 | |||
| 9,238 | State Street Corporation | 402,223 | |||
| 37,797 | Sunstone Hotel Investors, Inc.a | 335,637 | |||
| 8,936 | SVB Financial Groupa | 372,542 | |||
| 2,600 | T. Rowe Price Group, Inc. | 138,450 | |||
| 13,677 | TD Ameritrade Holding Corporationa | 265,060 | |||
| 15,795 | Travelers Companies, Inc. | 787,539 | |||
| 33,396 | W.R. Berkley Corporation | 822,878 | |||
| 5,621 | Waddell & Reed Financial, Inc. | 171,665 | |||
| 52,441 | Washington Federal, Inc. | 1,014,209 | |||
| 40,423 | Wells Fargo & Company | 1,091,017 | |||
| 7,110 | Westamerica Bancorporation | 393,681 | |||
| 4,708 | XL Capital, Ltd. | 86,298 | |||
Total Financials | 23,658,434 | ||||
| Health Care (0.9%) | |||||
| 1,137 | Alcon, Inc. | 186,866 | |||
| 1,816 | Allergan, Inc. | 114,426 | |||
| 11,026 | American Medical Systems Holdings, Inc.a | 212,692 | |||
| 6,381 | Amgen, Inc.a | 360,973 | |||
| 6,550 | Baxter International, Inc. | 384,354 | |||
| 6,128 | Beckman Coulter, Inc. | 401,016 | |||
| 13,263 | BioMarin Pharmaceutical, Inc.a | 249,477 | |||
| 1,147 | Bio-Rad Laboratories, Inc.a | 110,640 | |||
| 5,287 | C.R. Bard, Inc. | 411,857 | |||
| 7,900 | Cardinal Health, Inc. | 254,696 | |||
| 4,074 | Catalyst Health Solutions, Inc.a | 148,579 | |||
| 7,024 | Celgene Corporationa | 391,096 | |||
| 3,216 | Chemed Corporation | 154,272 | |||
| 18,815 | Community Health Systems, Inc.a | 669,814 | |||
| 26,732 | Coventry Health Care, Inc.a | 649,320 | |||
| 23,896 | Covidien, Ltd. | 1,144,379 | |||
| 1,753 | Dionex Corporationa | 129,494 | |||
| 1,865 | Emergency Medical Services Corporationa | 100,990 | |||
| 9,719 | Gilead Sciences, Inc.a | 420,638 | |||
| 17,432 | Healthsouth Corporationa | 327,199 | |||
| 19,444 | Hologic, Inc.a | 281,938 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (7.8%) | Value | |||
| Health Care (0.9%) - continued | |||||
| 5,634 | Hospira, Inc.a | $ | 287,334 | ||
| 3,496 | ICON plc ADRa | 75,968 | |||
| 4,503 | Invacare Corporation | 112,305 | |||
| 17,109 | Johnson & Johnson | 1,101,991 | |||
| 50,639 | King Pharmaceuticals, Inc.a | 621,341 | |||
| 9,580 | LHC Group, Inc.a | 321,984 | |||
| 10,282 | Lincare Holdings, Inc.a | 381,668 | |||
| 6,409 | MedAssets, Inc.a | 135,935 | |||
| 6,887 | Medco Health Solutions, Inc.a | 440,148 | |||
| 11,515 | Medicis Pharmaceutical Corporation | 311,481 | |||
| 2,927 | Mednax, Inc.a | 175,971 | |||
| 13,000 | Medtronic, Inc. | 571,740 | |||
| 19,410 | Merck & Company, Inc. | 709,241 | |||
| 4,316 | Perrigo Company | 171,949 | |||
| 117,828 | Pfizer, Inc. | 2,143,291 | |||
| 3,024 | RehabCare Group, Inc.a | 92,020 | |||
| 750 | Sharps Compliance Corporationa | 7,200 | |||
| 12,497 | Thermo Fisher Scientific, Inc.a | 595,982 | |||
| 3,403 | Thoratec Corporationa | 91,609 | |||
| 13,723 | United Therapeutics Corporationa | 722,516 | |||
| 38,054 | UnitedHealth Group, Inc. | 1,159,886 | |||
| 6,654 | Varian Medical Systems, Inc.a | 311,740 | |||
| 13,630 | Vertex Pharmaceuticals, Inc.a | 584,045 | |||
| 10,377 | Watson Pharmaceuticals, Inc.a | 411,033 | |||
Total Health Care | 18,643,094 | ||||
| Industrials (1.0%) | |||||
| 7,334 | 3M Company | 606,302 | |||
| 5,398 | AAON, Inc. | 105,207 | |||
| 9,100 | AMR Corporationa | 70,343 | |||
| 7,070 | Avery Dennison Corporation | 257,984 | |||
| 29,692 | BE Aerospace, Inc.a | 697,762 | |||
| 6,964 | Beacon Roofing Supply, Inc.a | 111,424 | |||
| 7,659 | Bucyrus International, Inc. | 431,738 | |||
| 8,108 | Caterpillar, Inc. | 462,075 | |||
| 16,318 | Chicago Bridge and Iron Companya | 329,950 | |||
| 6,053 | Copa Holdings SA | 329,707 | |||
| 13,936 | CSX Corporation | 675,757 | |||
| 4,986 | Danaher Corporation | 374,947 | |||
| 11,709 | Delta Air Lines, Inc.a | 133,248 | |||
| 5,857 | Dover Corporation | 243,710 | |||
| 17,300 | Dryships, Inc.a | 100,686 | |||
| 7,765 | Eaton Corporation | 494,009 | |||
| 1,967 | EMCOR Group, Inc.a | 52,912 | |||
| 6,115 | EnerSysa | 133,735 | |||
| 10,837 | FedEx Corporation | 904,348 | |||
| 6,900 | Foster Wheeler AGa | 203,136 | |||
| 1,995 | FTI Consulting, Inc.a | 94,084 | |||
| 10,037 | Gardner Denver, Inc. | 427,074 | |||
| 2,713 | Genco Shipping & Trading, Ltd.a | 60,717 | |||
| 7,644 | General Dynamics Corporation | 521,092 | |||
| 55,490 | General Electric Company | 839,564 | |||
| 11,643 | Great Lakes Dredge & Dock Company | 75,447 | |||
| 5,137 | Griffon Corporationa | 62,774 | |||
| 17,181 | Honeywell International, Inc. | 673,495 | |||
| 2,405 | IDEX Corporation | 74,916 | |||
| 9,640 | Ingersoll-Rand plc | 344,534 | |||
| 6,283 | Knight Transportation, Inc. | 121,199 | |||
| 2,181 | Landstar System, Inc. | 84,557 | |||
| 2,135 | Lennox International, Inc. | 83,350 | |||
| 55,788 | Manitowoc Company, Inc. | 556,206 | |||
| 25,808 | Monster Worldwide, Inc.a | 449,059 | |||
| 14,852 | Navistar International Corporationa | 574,030 | |||
| 34,715 | Oshkosh Corporation | 1,285,496 | |||
| 9,457 | Parker Hannifin Corporation | 509,543 | |||
| 4,688 | Precision Castparts Corporation | 517,321 | |||
| 15,311 | Roper Industries, Inc. | 801,837 | |||
| 14,200 | Shaw Group, Inc.a | 408,250 | |||
| 22,695 | SmartHeat, Inc.a | 329,531 | |||
| 14,530 | Spirit Aerosystems Holdings, Inc.a | 288,566 | |||
| 11,367 | SPX Corporation | 621,775 | |||
| 4,353 | Sykes Enterprises, Inc.a | 110,871 | |||
| 5,370 | Teledyne Technologies, Inc.a | 205,993 | |||
| 12,960 | Textron, Inc. | 243,778 | |||
| 2,825 | Triumph Group, Inc. | 136,306 | |||
| 6,293 | Union Pacific Corporation | 402,123 | |||
| 13,472 | United Technologies Corporation | 935,092 | |||
| 31,593 | Werner Enterprises, Inc. | 625,225 | |||
| 12,614 | Woodward Governor Company | 325,063 | |||
Total Industrials | 19,507,848 | ||||
| Information Technology (1.4%) | |||||
| 19,750 | Activision Blizzard, Inc.a | 219,423 | |||
| 15,344 | Advanced Micro Devices, Inc.a | 148,530 | |||
| 12,236 | Akamai Technologies, Inc.a | 309,938 | |||
| 18 | AOL, Inc.a | 419 | |||
| 7,005 | Apple, Inc.a | 1,477,074 | |||
| 4,620 | AsiaInfo Holdings, Inc.a | 140,771 | |||
| 370,540 | Atmel Corporationa | 1,708,189 | |||
| 10,476 | Avnet, Inc.a | 315,956 | |||
| 30,031 | Cisco Systems, Inc.a | 718,942 | |||
| 160,088 | Compuware Corporationa | 1,157,436 | |||
| 11,914 | Comtech Group, Inc.a | 87,806 | |||
| 6,900 | Dell, Inc.a | 99,084 | |||
| 16,071 | EarthLink, Inc. | 133,550 | |||
| 40,998 | eBay, Inc.a | 965,093 | |||
| 18,093 | F5 Networks, Inc.a | 958,567 | |||
| 15,840 | Finisar Corporationa | 141,293 | |||
| 16,277 | Flextronics International, Ltd.a | 118,985 | |||
| 44,800 | FormFactor, Inc.a | 974,848 | |||
| 2,308 | Google, Inc.a | 1,430,914 | |||
| 26,550 | Hewlett-Packard Company | 1,367,591 | |||
| 37,039 | Intel Corporation | 755,596 | |||
| 9,411 | International Business Machines Corporation | 1,231,900 | |||
| 9,378 | Jabil Circuit, Inc. | 162,896 | |||
| 10,618 | JDA Software Group, Inc.a | 270,440 | |||
| 11,827 | Juniper Networks, Inc.a | 315,426 | |||
| 10,435 | Lam Research Corporationa | 409,156 | |||
| 52,959 | Lattice Semiconductor Corporationa | 142,989 | |||
| 8,072 | Lender Processing Services, Inc. | 328,208 | |||
| 1,600 | MasterCard, Inc. | 409,568 | |||
| 31,791 | Maxim Integrated Products, Inc. | 645,357 | |||
| 3,247 | McAfee, Inc.a | 131,731 | |||
| 4,353 | Mellanox Technologies, Ltd.a | 82,098 | |||
| 12,650 | Mentor Graphics Corporationa | 111,700 | |||
| 9,000 | Micron Technology, Inc.a | 95,040 | |||
| 39,020 | Microsoft Corporation | 1,189,720 | |||
| 11,200 | Motorola, Inc.a | 86,912 | |||
| 2,262 | Multi-Fineline Electronix, Inc.a | 64,173 | |||
| 9,708 | Nokia Oyj ADR | 124,748 | |||
| 21,777 | Novellus Systems, Inc.a | 508,275 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (7.8%) | Value | |||
| Information Technology (1.4%) - continued | |||||
| 10,012 | Nuance Communications, Inc.a | $ | 155,586 | ||
| 23,050 | ON Semiconductor Corporationa | 203,071 | |||
| 39,953 | Oracle Corporation | 980,447 | |||
| 21,127 | Polycom, Inc.a | 527,541 | |||
| 7,970 | QLogic Corporationa | 150,394 | |||
| 20,559 | QUALCOMM, Inc. | 951,059 | |||
| 2,360 | Research in Motion, Ltd.a | 159,394 | |||
| 31,509 | Skyworks Solutions, Inc.a | 447,113 | |||
| 25,207 | Smart Modular Technologies (WWH), Inc.a | 158,552 | |||
| 9,928 | Solera Holdings, Inc. | 357,507 | |||
| 8,079 | STEC, Inc.a | 132,011 | |||
| 3,328 | Sybase, Inc.a | 144,435 | |||
| 19,978 | Tellabs, Inc.a | 113,475 | |||
| 136,200 | Teradyne, Inc.a | 1,461,426 | |||
| 18,663 | Texas Instruments, Inc. | 486,358 | |||
| 91,043 | TIBCO Software, Inc.a | 876,744 | |||
| 13,196 | TTM Technologies, Inc.a | 152,150 | |||
| 18,315 | Tyco Electronics, Ltd. | 449,633 | |||
| 11,904 | ValueClick, Inc.a | 120,468 | |||
| 3,741 | Visa, Inc. | 327,188 | |||
| 27,235 | Vishay Intertechnology, Inc.a | 227,412 | |||
| 23,128 | Xilinx, Inc. | 579,588 | |||
| 18,874 | Yahoo!, Inc.a | 316,706 | |||
Total Information Technology | 29,018,600 | ||||
| Materials (0.5%) | |||||
| 3,780 | Air Products and Chemicals, Inc. | 306,407 | |||
| 20,392 | Albemarle Corporation | 741,657 | |||
| 9,201 | Allied Nevada Gold Corporationa | 138,751 | |||
| 16,101 | Ball Corporation | 832,422 | |||
| 932 | CF Industries Holdings, Inc. | 84,607 | |||
| 30,970 | Crown Holdings, Inc.a | 792,212 | |||
| 6,074 | Domtar Corporationa | 336,560 | |||
| 8,164 | E.I. du Pont de Nemours and Company | 274,882 | |||
| 1,473 | FMC Corporation | 82,134 | |||
| 3,574 | Freeport-McMoRan Copper & Gold, Inc.a | 286,956 | |||
| 3,277 | Horsehead Holding Corporationa | 41,782 | |||
| 5,025 | Innophos Holdings, Inc. | 115,525 | |||
| 25,377 | International Paper Company | 679,596 | |||
| 5,100 | Newmont Mining Corporation | 241,281 | |||
| 24,257 | Owens-Illinois, Inc.a | 797,327 | |||
| 56,579 | Packaging Corporation of America | 1,301,883 | |||
| 5,864 | Pactiv Corporationa | 141,557 | |||
| 16,615 | Pan American Silver Corporationa | 395,603 | |||
| 1,000 | Potash Corporation of Saskatchewan, Inc. | 108,500 | |||
| 4,263 | PPG Industries, Inc. | 249,556 | |||
| 3,083 | Praxair, Inc. | 247,596 | |||
| 5,864 | RTI International Metals, Inc.a | 147,597 | |||
| 15,795 | Sealed Air Corporation | 345,279 | |||
| 10,236 | Silgan Holdings, Inc. | 592,460 | |||
| 23,564 | Steel Dynamics, Inc. | 417,554 | |||
Total Materials | 9,699,684 | ||||
| Telecommunications Services (0.2%) | |||||
| 40,000 | Alcatel-Lucent ADRa | 132,800 | |||
| 11,311 | American Tower Corporationa | 488,748 | |||
| 24,680 | AT&T, Inc. | 691,781 | |||
| 5,400 | NII Holdings, Inc.a | 181,332 | |||
| 9,200 | NTELOS Holdings Corporation | 163,944 | |||
| 47,423 | Qwest Communications International, Inc. | 199,651 | |||
| 5,873 | Syniverse Holdings, Inc.a | 102,660 | |||
| 11,960 | Telephone and Data Systems, Inc. | 405,683 | |||
| 25,151 | Verizon Communications, Inc. | 833,253 | |||
| 16,070 | Vodafone Group plc ADR | 371,056 | |||
Total Telecommunications Services | 3,570,908 | ||||
| Utilities (0.3%) | |||||
| 8,761 | Alliant Energy Corporation | 265,108 | |||
| 22,300 | American Electric Power Company, Inc. | 775,817 | |||
| 2,675 | American States Water Company | 94,722 | |||
| 6,815 | Avista Corporation | 147,136 | |||
| 12,200 | Cleco Corporation | 333,426 | |||
| 12,836 | DPL, Inc. | 354,274 | |||
| 7,741 | Entergy Corporation | 633,523 | |||
| 7,730 | Exelon Corporation | 377,765 | |||
| 12,774 | FirstEnergy Corporation | 593,352 | |||
| 25,869 | NV Energy, Inc. | 320,258 | |||
| 3,235 | OGE Energy Corporation | 119,372 | |||
| 23,780 | Portland General Electric Company | 485,350 | |||
| 19,178 | Southwest Gas Corporation | 547,148 | |||
| 10,134 | UGI Corporation | 245,141 | |||
| 10,959 | Xcel Energy, Inc. | 232,660 | |||
Total Utilities | 5,525,052 | ||||
Total Common Stock (cost $147,306,701) | 155,255,466 | ||||
| Principal Amount | Long-Term Fixed Income (2.8%) | ||||
| Asset-Backed Securities (0.3%) | |||||
GSAMP Trust | |||||
| 2,296,484 | 0.411%, 1/25/2010b | 1,677,998 | |||
J.P. Morgan Mortgage Trust | |||||
| 3,800,000 | 5.461%, 10/25/2036 | 3,136,862 | |||
Renaissance Home Equity Loan Trust | |||||
| 1,847,080 | 5.746%, 5/25/2036 | 1,398,771 | |||
| Total Asset-Backed Securities | 6,213,631 | ||||
| Collateralized Mortgage Obligations (0.7%) | |||||
Citigroup Mortgage Loan Trust, Inc. | |||||
| 934,006 | 5.500%, 11/25/2035 | 668,073 | |||
Citimortgage Alternative Loan Trust | |||||
| 2,958,202 | 5.750%, 4/25/2037 | 2,182,168 | |||
Countrywide Alternative Loan Trust | |||||
| 675,447 | 6.000%, 1/25/2037 | 467,529 | |||
Countrywide Home Loans | |||||
| 2,671,901 | 5.750%, 4/25/2037 | 2,039,219 | |||
Deutsche Alt-A Securities, Inc. | |||||
| 741,271 | 5.500%, 10/25/2021 | 561,512 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (2.8%) | Value | ||||
| Collateralized Mortgage Obligations (0.7%) - continued | ||||||
| $1,254,983 | 6.000%, 10/25/2021 | $ | 750,110 | |||
J.P. Morgan Mortgage Trust | ||||||
| 553,317 | 5.994%, 10/25/2036 | 460,364 | ||||
MASTR Alternative Loans Trust | ||||||
| 668,816 | 6.500%, 7/25/2034 | 636,002 | ||||
Merrill Lynch Alternative Note Asset Trust | ||||||
| 740,154 | 6.000%, 3/25/2037 | 391,946 | ||||
Sequoia Mortgage Trust | ||||||
| 1,090,422 | 5.749%, 9/20/2046 | 410,973 | ||||
WaMu Mortgage Pass Through Certificates | ||||||
| 1,234,064 | 5.921%, 9/25/2036 | 1,022,073 | ||||
| 2,273,820 | 6.037%, 10/25/2036 | 1,853,043 | ||||
Total Collateralized Mortgage Obligations | 11,443,012 | |||||
| Commercial Mortgage-Backed Securities (1.4%) | ||||||
Banc of America Commercial Mortgage, Inc. | ||||||
| 3,500,000 | 5.356%, 10/10/2045 | 3,137,666 | ||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||
| 1,210,000 | 5.331%, 2/11/2044 | 1,044,199 | ||||
| 4,500,000 | 5.694%, 6/11/2050 | 3,940,096 | ||||
Citigroup/Deutsche Bank Commercial Mortgage Pass-Through Certificates | ||||||
| 3,150,000 | 5.617%, 10/15/2048 | 3,000,775 | ||||
Credit Suisse Mortgage Capital Certificates | ||||||
| 1,500,000 | 5.467%, 9/15/2039 | 1,284,785 | ||||
Greenwich Capital Commercial Funding Corporation | ||||||
| 1,350,000 | 5.867%, 12/10/2049 | 1,036,103 | ||||
GS Mortgage Securities Corporation II | ||||||
| 3,400,000 | 4.761%, 7/10/2039 | 3,078,989 | ||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||
| 3,700,000 | 5.814%, 6/12/2043 | 3,560,662 | ||||
| 3,000,000 | 5.336%, 5/15/2047 | 2,601,801 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
| 2,900,000 | 5.866%, 9/15/2045 | 2,545,359 | ||||
Morgan Stanley Capital I, Inc. | ||||||
| 3,000,000 | 4.970%, 4/14/2040 | 2,927,466 | ||||
Total Commercial Mortgage-Backed Securities | 28,157,901 | |||||
| U.S. Government and Agencies (0.4%) | ||||||
U.S. Treasury Notes | ||||||
| 7,000,000 | 0.875%, 12/31/2010c | 7,025,704 | ||||
Total U.S. Government and Agencies | 7,025,704 | |||||
Total Long-Term Fixed Income (cost $51,334,286) | 52,840,248 | |||||
| Shares | Preferred Stock (<0.1%) | |||||
| Financials (<0.1%) | ||||||
| 36,652 | Bank of America Corporation, Convertiblea | 546,848 | ||||
Total Financials | 546,848 | |||||
Total Preferred Stock (cost $560,695) | 546,848 | |||||
| Principal Amount | Short-Term Investments (6.3%)d | |||||
Enterprise Funding Company, LLC | ||||||
| 5,050,000 | 0.010%, 1/4/2010 | 5,049,996 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 40,000,000 | 0.040%, 1/15/2010 | 39,999,378 | ||||
| 5,000,000 | 0.040%, 1/29/2010 | 4,999,844 | ||||
| 25,000,000 | 0.060%, 2/17/2010 | 24,998,042 | ||||
| 9,000,000 | 0.200%, 3/17/2010c | 8,996,313 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 35,000,000 | 0.060%, 2/18/2010 | 34,997,200 | ||||
| 4,400,000 | 0.030%, 2/22/2010 | 4,399,809 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 2,000,000 | 0.075%, 3/1/2010 | 1,999,754 | ||||
Total Short-Term Investments (at amortized cost) | 125,440,336 | |||||
Total Investments (cost $2,249,070,435) 100.1% | $ | 1,984,384,637 | ||||
Other Assets and Liabilities, Net (0.1%) | (1,416,876 | ) | ||||
Total Net Assets 100.0% | $ | 1,982,967,761 | ||||
| a | Non-income producing security. |
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | At December 31, 2009, $16,022,017 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 53,280,660 | ||
Gross unrealized depreciation | (317,747,303 | ) | ||
Net unrealized appreciation (depreciation) | $ | (264,466,643 | ) | |
Cost for federal income tax purposes | $ | 2,248,851,280 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Moderately Aggressive Allocation Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | |||||||||
Mutual Funds | |||||||||||||
Equity Mutual Funds | 1,229,176,817 | 1,229,176,817 | — | — | |||||||||
Fixed Income Mutual Funds | 421,124,922 | 421,124,922 | — | — | |||||||||
Common Stock | |||||||||||||
Consumer Discretionary | 19,505,251 | 19,505,251 | — | — | |||||||||
Consumer Staples | 7,846,975 | 7,846,975 | — | — | |||||||||
Energy | 18,279,620 | 18,279,620 | — | — | |||||||||
Financials | 23,658,434 | 23,658,434 | — | — | |||||||||
Health Care | 18,643,094 | 18,643,094 | — | — | |||||||||
Industrials | 19,507,848 | 19,507,848 | — | — | |||||||||
Information Technology | 29,018,600 | 29,018,600 | — | — | |||||||||
Materials | 9,699,684 | 9,699,684 | — | — | |||||||||
Telecommunications Services | 3,570,908 | 3,570,908 | — | — | |||||||||
Utilities | 5,525,052 | 5,525,052 | — | — | |||||||||
Long-Term Fixed Income | |||||||||||||
Asset-Backed Securities | 6,213,631 | — | 6,213,631 | — | |||||||||
Collateralized Mortgage Obligations | 11,443,012 | — | 11,443,012 | — | |||||||||
Commercial Mortgage-Backed Securities | 28,157,901 | — | 28,157,901 | — | |||||||||
U.S. Government and Agencies | 7,025,704 | — | 7,025,704 | — | |||||||||
Preferred Stock | |||||||||||||
Financials | 546,848 | 546,848 | — | — | |||||||||
Short-Term Investments | 125,440,336 | — | 125,440,336 | — | |||||||||
Total | $ | 1,984,384,637 | $ | 1,806,104,053 | $ | 178,280,584 | $ | — | |||||
Other Financial Instruments* | $ | 1,915,820 | $ | 3,423,951 | ($1,508,131 | ) | $ | — | |||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
E-Mini MSCI EAFE Index Futures | 621 | March 2010 | $ | 48,568,935 | $ | 48,711,240 | $ | 142,305 | |||||
Russell 2000 Index Mini-Futures | 588 | March 2010 | 34,881,777 | 36,685,320 | 1,803,543 | ||||||||
S&P 400 Index Mini-Futures | 526 | March 2010 | 36,766,217 | 38,129,740 | 1,363,523 | ||||||||
S&P 500 Index Futures | 34 | March 2010 | 9,326,370 | 9,440,950 | 114,580 | ||||||||
Total Futures Contracts | $ | 3,423,951 | |||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||
CDX HY, Series 12, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2014 | $ | 940,000 | ($90,744) | ($7,472) | ($98,216) | |||||||||
CDX HY, Series 12, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2014 | 5,640,000 | (512,055 | ) | (44,833 | ) | (556,888 | ) | |||||||
CDX HY, Series 12, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2014 | 1,880,000 | (185,913 | ) | (14,945 | ) | (200,858 | ) | |||||||
CDX HY, Series 12, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2014 | 2,820,000 | (269,142 | ) | (22,417 | ) | (291,559 | ) | |||||||
CDX HY, Series 12, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 6/20/2014 | 2,820,000 | (338,193 | ) | (22,417 | ) | (360,610 | ) | |||||||
Total Credit Default Swaps | ($112,084) | ($1,508,131) | ||||||||||||||
| 1 | As the buyer of protection, Moderately Aggressive Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderately Aggressive Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| 2 | The maximum potential amount of future payments Moderately Aggressive Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The market values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the market value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The market value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,423,951 | |||
Total Equity Contracts | 3,423,951 | ||||
Total Asset Derivatives | $ | 3,423,951 | |||
Liability Derivatives | |||||
Credit Contracts | |||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 1,508,131 | |||
Total Credit Contracts | 1,508,131 | ||||
Total Liability Derivatives | $ | 1,508,131 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
| Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 45,730,525 | ||||
Total Equity Contracts | 45,730,525 | |||||
| Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (779 | ) | |||
Total Foreign Exchange Contracts | (779 | ) | ||||
| Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (395,959 | ) | |||
Total Credit Contracts | (395,959 | ) | ||||
Total | $ | 45,333,787 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (361,105 | ) | ||
Total Equity Contracts | (361,105 | ) | |||
| Credit Contracts | |||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (1,508,131 | ) | ||
Total Credit Contracts | (1,508,131 | ) | |||
Total | ($1,869,236 | ) | |||
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Equity Contracts | $130,230,697 | 8.3% | N/A | N/A | N/A | N/A | ||||||
Foreign Exchange Contracts | N/A | N/A | N/A | N/A | $224 | <0.1% | ||||||
Credit Contracts | N/A | N/A | $5,212,803 | 0.3% | N/A | N/A |
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Investment 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 fiscal year to date, in Moderately Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Real Estate Securities | $ | 39,120,717 | $ | 8,572,178 | $ | 694,532 | 4,920,352 | $ | 57,409,186 | $ | 1,905,297 | ||||||
Partner Small Cap Growth | 33,422,897 | 4,688,618 | 526,288 | 4,932,450 | 49,447,816 | 33,346 | |||||||||||
Partner Small Cap Value | 38,261,829 | 5,069,097 | 526,288 | 3,477,451 | 54,192,601 | 376,405 | |||||||||||
Small Cap Stock | 59,095,132 | 8,140,929 | 30,845,507 | 4,473,446 | 45,306,168 | 413,782 | |||||||||||
Mid Cap Growth II | 31,319,073 | 4,656,003 | 526,288 | 6,054,964 | 51,063,329 | 731 | |||||||||||
Partner Mid Cap Value | 46,000,879 | 6,770,715 | 701,718 | 6,174,912 | 66,785,383 | 563,686 | |||||||||||
Mid Cap Stock | 122,321,299 | 16,124,278 | 41,631,321 | 14,568,669 | 142,761,304 | 729,678 | |||||||||||
Partner Worldwide Allocation | 27,036,551 | 33,775,423 | 431,311 | 9,401,588 | 73,662,379 | 947,304 | |||||||||||
Partner International Stock | 153,972,385 | 3,968,715 | — | 19,230,728 | 192,151,514 | 3,968,715 | |||||||||||
Large Cap Growth II | 115,320,245 | 26,469,057 | 31,802,864 | 19,109,174 | 139,972,788 | 704,795 | |||||||||||
Large Cap Value | 159,244,087 | 32,428,334 | 53,292,934 | 17,686,945 | 170,664,869 | 2,807,245 | |||||||||||
Large Cap Stock | 123,957,202 | 13,868,356 | 1,997,326 | 21,861,963 | 168,883,667 | 1,454,297 | |||||||||||
Equity Income Plus | 13,230,889 | 1,829,814 | 175,429 | 2,133,802 | 16,875,813 | 278,057 | |||||||||||
High Yield | 90,546,222 | 16,993,550 | 25,329,347 | 24,067,976 | 109,725,904 | 9,286,604 | |||||||||||
Income | 177,917,275 | 29,745,965 | 4,908,477 | 24,472,788 | 229,716,268 | 11,321,553 | |||||||||||
Limited Maturity Bond | 70,686,329 | 12,342,983 | 8,002,817 | 8,490,842 | 81,682,750 | 3,082,199 | |||||||||||
Money Market | 28,319,832 | 201,439,755 | 229,759,587 | — | — | 148,925 | |||||||||||
Total Value and Income Earned | 1,329,772,843 | 1,650,301,739 | 38,022,619 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Mutual Funds (83.5%) | Value | |||
Equity Mutual Funds (45.8%) | |||||
| 6,362,254 | Thrivent Real Estate Securities Portfolio | $ | 74,232,873 | ||
| 4,309,852 | Thrivent Partner Small Cap Growth Portfolio | 43,206,268 | |||
| 4,382,611 | Thrivent Partner Small Cap Value Portfolio | 68,298,602 | |||
| 3,524,659 | Thrivent Small Cap Stock Portfolio | 35,697,044 | |||
| 2,498,466 | Thrivent Mid Cap Growth Portfolio II | 21,070,311 | |||
| 5,461,061 | Thrivent Partner Mid Cap Value Portfolio | 59,064,656 | |||
| 11,219,771 | Thrivent Mid Cap Stock Portfolio | 109,944,779 | |||
| 10,771,051 | Thrivent Partner Worldwide Allocation Portfolio | 84,392,265 | |||
| 17,226,346 | Thrivent Partner International Stock Portfolio | 172,123,931 | |||
| 18,998,875 | Thrivent Large Cap Growth Portfolio II | 139,164,862 | |||
| 24,278,814 | Thrivent Large Cap Value Portfolio | 234,271,133 | |||
| 19,987,798 | Thrivent Large Cap Stock Portfolio | 154,405,740 | |||
| 2,765,272 | Thrivent Equity Income Plus Portfolio | 21,869,980 | |||
Total Equity Mutual Funds | 1,217,742,444 | ||||
Fixed Income Mutual Funds (37.7%) | |||||
| 29,083,452 | Thrivent High Yield Portfolio | 132,591,457 | |||
| 47,495,925 | Thrivent Income Portfolio | 445,825,251 | |||
| 43,983,511 | Thrivent Limited Maturity Bond Portfolio | 423,125,775 | |||
Total Fixed Income Mutual Funds | 1,001,542,483 | ||||
Total Mutual Funds (cost $2,508,589,220) | 2,219,284,927 | ||||
Common Stock (5.5%) | |||||
Consumer Discretionary (0.7%) | |||||
| 4,371 | Amazon.com, Inc.a | 587,987 | |||
| 19,300 | Autoliv, Inc. | 836,848 | |||
| 7,823 | Bally Technologies, Inc.a | 323,012 | |||
| 5,700 | Bed Bath & Beyond, Inc.a | 220,191 | |||
| 4,947 | Best Buy Company, Inc. | 195,209 | |||
| 10,100 | Brinker International, Inc. | 150,692 | |||
| 6,053 | Buffalo Wild Wings, Inc.a | 243,754 | |||
| 11,751 | Carnival Corporationa | 372,389 | |||
| 19,300 | CBS Corporation | 271,165 | |||
| 33,780 | Chico’s FAS, Inc.a | 474,609 | |||
| 23,040 | Comcast Corporation | 388,454 | |||
| 3,199 | Cooper Tire & Rubber Company | 64,140 | |||
| 3,742 | Deckers Outdoor Corporationa | 380,636 | |||
| 8,117 | Discovery Communications, Inc.a | 248,948 | |||
| 7,437 | Dollar Tree, Inc.a | 359,207 | |||
| 41,474 | Ford Motor Companya | 414,740 | |||
| 12,275 | Fortune Brands, Inc. | 530,280 | |||
| 10,222 | Fossil, Inc.a | 343,050 | |||
| 6,271 | Genuine Parts Company | 238,047 | |||
| 8,396 | Guess ?, Inc. | 355,151 | |||
| 32,015 | Harman International Industries, Inc. | 1,129,489 | |||
| 13,699 | Home Depot, Inc. | 396,312 | |||
Consumer Discretionary (0.7%) - continued | |||||
| 23,129 | International Game Technology | 434,131 | |||
| 15,199 | Jarden Corporation | 469,801 | |||
| 6,218 | Kohl’s Corporationa | 335,337 | |||
| 5,800 | Limited Brands, Inc. | 111,592 | |||
| 16,164 | Lincoln Educational Servicesa | 350,274 | |||
| 2,688 | LKQ Corporationa | 52,658 | |||
| 8,000 | Lowe’s Companies, Inc. | 187,120 | |||
| 25,552 | Macy’s, Inc | 428,252 | |||
| 52,003 | Melco Crown Entertainment, Ltd.a | 175,250 | |||
| 5,050 | Nordstrom, Inc. | 189,779 | |||
| 6,800 | Omnicom Group, Inc. | 266,220 | |||
| 7,750 | Panera Bread Companya | 519,018 | |||
| 1,683 | Priceline.com, Inc.a | 367,736 | |||
| 7,000 | RadioShack Corporation | 136,500 | |||
| 22,300 | Scientific Games Corporationa | 324,465 | |||
| 32,036 | Shuffle Master, Inc.a | 263,977 | |||
| 4,021 | Starwood Hotels & Resorts | ||||
Worldwide, Inc. | 147,048 | ||||
| 12,596 | Target Corporation | 609,269 | |||
| 6,743 | Tiffany & Company | 289,949 | |||
| 9,020 | Time Warner Cable, Inc. | 373,338 | |||
| 47,638 | Time Warner, Inc. | 1,388,171 | |||
| 37,420 | Toll Brothers, Inc.a | 703,870 | |||
| 1,981 | Tupperware Brands Corporation | 92,255 | |||
| 14,445 | Walt Disney Company | 465,851 | |||
| 2,991 | Warnaco Group, Inc.a | 126,190 | |||
| 18,528 | Warner Music Group | ||||
Corporationa | 104,869 | ||||
| 6,871 | Winnebago Industries, Inc.a | 83,826 | |||
| 17,077 | WMS Industries, Inc.a | 683,080 | |||
| 1,981 | Wolverine World Wide, Inc. | 53,923 | |||
Total Consumer Discretionary | 18,258,059 | ||||
Consumer Staples (0.3%) | |||||
| 20,027 | Altria Group, Inc. | 393,130 | |||
| 6,906 | Bare Escentuals, Inc.a | 84,460 | |||
| 9,429 | Casey’s General Stores, Inc. | 300,974 | |||
| 11,130 | CVS Caremark Corporation | 358,497 | |||
| 15,116 | Flowers Foods, Inc. | 359,156 | |||
| 13,928 | General Mills, Inc. | 986,242 | |||
| 5,749 | Herbalife, Ltd. | 233,237 | |||
| 8,479 | Kimberly-Clark Corporation | 540,197 | |||
| 9,522 | Kraft Foods, Inc. | 258,808 | |||
| 15,285 | Kroger Company | 313,801 | |||
| 10,586 | PepsiCo, Inc. | 643,629 | |||
| 10,336 | Philip Morris International, Inc. | 498,092 | |||
| 9,772 | Procter & Gamble Company | 592,476 | |||
| 3,200 | Sanderson Farms, Inc. | 134,912 | |||
| 8,950 | SYSCO Corporation | 250,063 | |||
| 19,451 | TreeHouse Foods, Inc.a | 755,866 | |||
| 8,080 | Unilever NV ADR | 261,226 | |||
| 7,300 | Walgreen Company | 268,056 | |||
| 4,650 | Wal-Mart Stores, Inc. | 248,543 | |||
Total Consumer Staples | 7,481,365 | ||||
Energy (0.7%) | |||||
| 37,990 | Alpha Natural Resources, Inc.a | 1,648,006 | |||
| 4,355 | Anadarko Petroleum Corporation | 271,839 | |||
| 6,429 | Apache Corporation | 663,280 | |||
| 4,684 | Atlas Energy, Inc. | 141,316 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Shares | Common Stock (5.5%) | Value | |||
Energy (0.7%) - continued | |||||
| 20,750 | Baker Hughes, Inc. | $ | 839,960 | ||
| 2,921 | Cabot Oil & Gas Corporation | 127,326 | |||
| 12,831 | Carrizo Oil & Gas, Inc.a | 339,893 | |||
| 12,704 | Chevron Corporation | 978,081 | |||
| 4,000 | Cobalt International Energy, Inc.a | 55,360 | |||
| 13,325 | Comstock Resources, Inc.a | 540,595 | |||
| 19,888 | ConocoPhillips | 1,015,680 | |||
| 11,954 | Devon Energy Corporation | 878,619 | |||
| 7,795 | EOG Resources, Inc. | 758,454 | |||
| 10,543 | Exxon Mobil Corporation | 718,927 | |||
| 15,529 | Forest Oil Corporationa | 345,520 | |||
| 13,777 | Halliburton Company | 414,550 | |||
| 9,341 | Helmerich & Payne, Inc. | 372,519 | |||
| 4,900 | Hess Corporation | 296,450 | |||
| 5,143 | Holly Corporation | 131,815 | |||
| 2,410 | Massey Energy Company | 101,244 | |||
| 52,751 | Nabors Industries, Ltd.a | 1,154,719 | |||
| 17,553 | National Oilwell Varco, Inc. | 773,912 | |||
| 6,932 | Oil States International, Inc.a | 272,358 | |||
| 48,128 | Patterson-UTI Energy, Inc. | 738,765 | |||
| 6,140 | Petroleo Brasileiro SA ADR | 292,755 | |||
| 6,448 | Petroleum Development Corporationa | 117,418 | |||
| 7,194 | Rosetta Resources, Inc.a | 143,377 | |||
| 8,531 | Schlumberger, Ltd. | 555,283 | |||
| 15,175 | Southwestern Energy Companya | 731,435 | |||
| 16,267 | Superior Energy Services, Inc.a | 395,126 | |||
| 22,560 | Tesco Corporationa | 291,250 | |||
| 4,609 | Total SA ADR | 295,160 | |||
| 9,530 | Ultra Petroleum Corporationa | 475,166 | |||
| 13,600 | Valero Energy Corporation | 227,800 | |||
| 3,620 | World Fuel Services Corporation | 96,980 | |||
Total Energy | 17,200,938 | ||||
Financials (0.8%) | |||||
| 5,966 | ACE, Ltd.a | 300,686 | |||
| 3,687 | Affiliated Managers Group, Inc.a | 248,319 | |||
| 15,742 | Allstate Corporation | 472,890 | |||
| 13,471 | American Equity Investment Life Holding Company | 100,224 | |||
| 19,778 | Ameriprise Financial, Inc. | 767,782 | |||
| 1,981 | Aspen Insurance Holdings, Ltd. | 50,416 | |||
| 33,055 | Bank of America Corporation | 497,808 | |||
| 17,260 | Bank of New York Mellon Corporation | 482,762 | |||
| 6,480 | Capital One Financial Corporation | 248,443 | |||
| 9,454 | Cardinal Financial Corporation | 82,628 | |||
| 4,071 | Cash America International, Inc. | 142,322 | |||
| 13,570 | Charles Schwab Corporation | 255,387 | |||
| 4,673 | Colonial Properties Trust | 54,814 | |||
| 8,910 | Comerica, Inc. | 263,469 | |||
| 7,130 | Commerce Bancshares, Inc. | 276,074 | |||
| 4,747 | Dollar Financial Corporationa | 112,314 | |||
| 14,789 | Duke Realty Corporation | 179,982 | |||
| 17,653 | DuPont Fabros Technology, Inc. | 317,577 | |||
| 10,856 | East West Bancorp, Inc. | 171,525 | |||
| 6,903 | Endurance Specialty Holdings, | ||||
Ltd. | 256,999 | ||||
| 22,243 | Equity One, Inc. | 359,669 | |||
| 1,926 | Everest Re Group, Ltd. | 165,020 | |||
| 41,272 | FBR Capital Markets Corporationa | 255,061 | |||
| 24,707 | Fifth Third Bancorp | 240,893 | |||
| 19,917 | First Niagara Financial Group, Inc. | 277,046 | |||
| 7,962 | Goldman Sachs Group, Inc. | 1,344,304 | |||
| 2,428 | Hancock Holding Company | 106,322 | |||
| 11,276 | Hanover Insurance Group, Inc. | 500,993 | |||
| 8,786 | Hartford Financial Services Group, Inc. | 204,362 | |||
| 38,114 | HCC Insurance Holdings, Inc. | 1,066,049 | |||
| 3,577 | Home Bancshares, Inc. | 86,098 | |||
| 32,246 | Host Hotels & Resorts, Inc.a | 376,311 | |||
| 6,216 | IntercontinentalExchange, Inc.a | 698,057 | |||
| 9,150 | Invesco, Ltd. | 214,934 | |||
| 54,178 | J.P. Morgan Chase & Company | 2,257,597 | |||
| 12,557 | Lazard, Ltd. | 476,789 | |||
| 6,036 | Max Capital Group, Ltd. | 134,603 | |||
| 7,779 | MetLife, Inc. | 274,988 | |||
| 21,634 | Morgan Stanley | 640,366 | |||
| 28,903 | New York Community Bancorp, Inc. | 419,383 | |||
| 9,159 | Ocwen Financial Corporationa | 87,652 | |||
| 1,437 | Platinum Underwriters Holdings, Ltd. | 55,023 | |||
| 7,032 | Principal Financial Group, Inc. | 169,049 | |||
| 6,656 | Prosperity Bancshares, Inc. | 269,368 | |||
| 5,150 | Prudential Financial, Inc. | 256,264 | |||
| 11,043 | Signature Banka | 352,272 | |||
| 9,238 | State Street Corporation | 402,223 | |||
| 31,514 | Sunstone Hotel Investors, Inc.a | 279,844 | |||
| 8,950 | SVB Financial Groupa | 373,126 | |||
| 2,600 | T. Rowe Price Group, Inc. | 138,450 | |||
| 13,677 | TD Ameritrade Holding Corporationa | 265,060 | |||
| 15,795 | Travelers Companies, Inc. | 787,539 | |||
| 29,234 | W.R. Berkley Corporation | 720,326 | |||
| 4,684 | Waddell & Reed Financial, Inc. | 143,049 | |||
| 44,986 | Washington Federal, Inc. | 870,029 | |||
| 40,423 | Wells Fargo & Company | 1,091,017 | |||
| 6,184 | Westamerica Bancorporation | 342,408 | |||
| 3,923 | XL Capital, Ltd. | 71,909 | |||
Total Financials | 22,055,874 | ||||
Health Care (0.7%) | |||||
1,137 | Alcon, Inc. | 186,866 | |||
1,816 | Allergan, Inc. | 114,426 | |||
9,205 | American Medical Systems Holdings, Inc.a | 177,564 | |||
6,382 | Amgen, Inc.a | 361,030 | |||
6,550 | Baxter International, Inc. | 384,354 | |||
5,372 | Beckman Coulter, Inc. | 351,544 | |||
11,630 | BioMarin Pharmaceutical, Inc.a | 218,760 | |||
956 | Bio-Rad Laboratories, Inc.a | 92,216 | |||
4,601 | C.R. Bard, Inc. | 358,418 | |||
7,900 | Cardinal Health, Inc. | 254,696 | |||
3,395 | Catalyst Health Solutions, Inc.a | 123,816 | |||
7,024 | Celgene Corporationa | 391,096 | |||
2,680 | Chemed Corporation | 128,560 | |||
16,513 | Community Health Systems, Inc.a | 587,863 | |||
23,440 | Coventry Health Care, Inc.a | 569,358 | |||
23,896 | Covidien, Ltd. | 1,144,379 | |||
1,460 | Dionex Corporationa | 107,850 | |||
1,537 | Emergency Medical Services Corporationa | 83,229 | |||
9,719 | Gilead Sciences, Inc.a | 420,638 | |||
14,494 | Healthsouth Corporationa | 272,052 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (5.5%) | Value | |||
Health Care (0.7%) - continued | |||||
| 17,026 | Hologic, Inc.a | $ | 246,877 | ||
| 5,634 | Hospira, Inc.a | 287,334 | |||
| 2,913 | ICON plc ADRa | 63,299 | |||
| 3,752 | Invacare Corporation | 93,575 | |||
| 17,109 | Johnson & Johnson | 1,101,991 | |||
| 43,760 | King Pharmaceuticals, Inc.a | 536,935 | |||
| 7,900 | LHC Group, Inc.a | 265,519 | |||
| 8,502 | Lincare Holdings, Inc.a | 315,594 | |||
| 5,291 | MedAssets, Inc.a | 112,222 | |||
| 6,887 | Medco Health Solutions, Inc.a | 440,148 | |||
| 9,579 | Medicis Pharmaceutical Corporation | 259,112 | |||
| 2,439 | Mednax, Inc.a | 146,633 | |||
| 13,000 | Medtronic, Inc. | 571,740 | |||
| 19,410 | Merck & Company, Inc. | 709,241 | |||
| 3,597 | Perrigo Company | 143,304 | |||
| 117,828 | Pfizer, Inc. | 2,143,291 | |||
| 2,653 | RehabCare Group, Inc.a | 80,731 | |||
| 600 | Sharps Compliance Corporationa | 5,760 | |||
| 12,497 | Thermo Fisher Scientific, Inc.a | 595,982 | |||
| 2,836 | Thoratec Corporationa | 76,345 | |||
| 12,409 | United Therapeutics Corporationa | 653,334 | |||
| 38,054 | UnitedHealth Group, Inc. | 1,159,886 | |||
| 5,810 | Varian Medical Systems, Inc.a | 272,199 | |||
| 11,939 | Vertex Pharmaceuticals, Inc.a | 511,586 | |||
| 8,598 | Watson Pharmaceuticals, Inc.a | 340,567 | |||
Total Health Care | 17,461,920 | ||||
Industrials (0.7%) | |||||
| 7,334 | 3M Company | 606,302 | |||
| 4,498 | AAON, Inc. | 87,666 | |||
| 9,100 | AMR Corporationa | 70,343 | |||
| 7,070 | Avery Dennison Corporation | 257,984 | |||
| 25,374 | BE Aerospace, Inc.a | 596,289 | |||
| 5,803 | Beacon Roofing Supply, Inc.a | 92,848 | |||
| 6,383 | Bucyrus International, Inc. | 359,810 | |||
| 8,108 | Caterpillar, Inc. | 462,075 | |||
| 13,515 | Chicago Bridge and Iron Companya | 273,273 | |||
| 5,077 | Copa Holdings SA | 276,544 | |||
| 12,907 | CSX Corporation | 625,860 | |||
| 4,986 | Danaher Corporation | 374,947 | |||
| 11,709 | Delta Air Lines, Inc.a | 133,248 | |||
| 5,857 | Dover Corporation | 243,710 | |||
| 17,300 | Dryships, Inc.a | 100,686 | |||
| 7,765 | Eaton Corporation | 494,009 | |||
| 1,639 | EMCOR Group, Inc.a | 44,089 | |||
| 5,096 | EnerSysa | 111,450 | |||
| 10,837 | FedEx Corporation | 904,348 | |||
| 6,900 | Foster Wheeler AGa | 203,136 | |||
| 1,662 | FTI Consulting, Inc.a | 78,380 | |||
| 8,364 | Gardner Denver, Inc. | 355,888 | |||
| 2,261 | Genco Shipping & Trading, Ltd.a | 50,601 | |||
| 7,644 | General Dynamics Corporation | 521,091 | |||
| 55,490 | General Electric Company | 839,564 | |||
| 9,703 | Great Lakes Dredge & Dock Company | 62,875 | |||
| 4,280 | Griffon Corporationa | 52,302 | |||
| 17,181 | Honeywell International, Inc. | 673,495 | |||
| 2,004 | IDEX Corporation | 62,425 | |||
| 9,640 | Ingersoll-Rand plc | 344,534 | |||
| 5,236 | Knight Transportation, Inc. | 101,002 | |||
| 1,818 | Landstar System, Inc. | 70,484 | |||
| 1,779 | Lennox International, Inc. | 69,452 | |||
| 48,171 | Manitowoc Company, Inc. | 480,265 | |||
| 21,556 | Monster Worldwide, Inc.a | 375,074 | |||
| 13,008 | Navistar International Corporationa | 502,759 | |||
| 30,232 | Oshkosh Corporation | 1,119,491 | |||
| 8,581 | Parker Hannifin Corporation | 462,344 | |||
| 4,114 | Precision Castparts Corporation | 453,980 | |||
| 13,359 | Roper Industries, Inc. | 699,611 | |||
| 12,400 | Shaw Group, Inc.a | 356,500 | |||
| 18,929 | SmartHeat, Inc.a | 274,849 | |||
| 14,530 | Spirit Aerosystems Holdings, Inc.a | 288,566 | |||
| 9,909 | SPX Corporation | 542,022 | |||
| 3,628 | Sykes Enterprises, Inc.a | 92,405 | |||
| 4,475 | Teledyne Technologies, Inc.a | 171,661 | |||
| 12,960 | Textron, Inc. | 243,778 | |||
| 2,354 | Triumph Group, Inc. | 113,581 | |||
| 6,293 | Union Pacific Corporation | 402,123 | |||
| 13,472 | United Technologies Corporation | 935,092 | |||
| 27,644 | Werner Enterprises, Inc. | 547,075 | |||
| 10,545 | Woodward Governor Company | 271,745 | |||
Total Industrials | 17,933,631 | ||||
Information Technology (1.0%) | |||||
| 19,750 | Activision Blizzard, Inc.a | 219,422 | |||
| 12,787 | Advanced Micro Devices, Inc.a | 123,778 | |||
| 10,657 | Akamai Technologies, Inc.a | 269,942 | |||
| 18 | AOL, Inc.a | 419 | |||
| 7,005 | Apple, Inc.a | 1,477,074 | |||
| 3,833 | AsiaInfo Holdings, Inc.a | 116,792 | |||
| 319,948 | Atmel Corporationa | 1,474,960 | |||
| 10,476 | Avnet, Inc.a | 315,956 | |||
| 30,031 | Cisco Systems, Inc.a | 718,942 | |||
| 137,560 | Compuware Corporationa | 994,559 | |||
| 9,928 | Comtech Group, Inc.a | 73,169 | |||
| 6,900 | Dell, Inc.a | 99,084 | |||
| 13,393 | EarthLink, Inc. | 111,296 | |||
| 36,674 | eBay, Inc.a | 863,306 | |||
| 15,642 | F5 Networks, Inc.a | 828,713 | |||
| 13,200 | Finisar Corporationa | 117,744 | |||
| 13,564 | Flextronics International, Ltd.a | 99,153 | |||
| 39,237 | FormFactor, Inc.a | 853,797 | |||
| 2,308 | Google, Inc.a | 1,430,914 | |||
| 26,550 | Hewlett-Packard Company | 1,367,590 | |||
| 37,039 | Intel Corporation | 755,596 | |||
| 9,411 | International Business Machines Corporation | 1,231,900 | |||
| 7,815 | Jabil Circuit, Inc. | 135,747 | |||
| 8,848 | JDA Software Group, Inc.a | 225,359 | |||
| 10,324 | Juniper Networks, Inc.a | 275,341 | |||
| 10,435 | Lam Research Corporationa | 409,156 | |||
| 44,133 | Lattice Semiconductor Corporationa | 119,159 | |||
| 6,743 | Lender Processing Services, Inc. | 274,170 | |||
| 1,600 | MasterCard, Inc. | 409,568 | |||
| 29,156 | Maxim Integrated Products, Inc. | 591,867 | |||
| 3,300 | McAfee, Inc.a | 133,881 | |||
| 3,628 | Mellanox Technologies, Ltd.a | 68,424 | |||
| 10,542 | Mentor Graphics Corporationa | 93,086 | |||
| 9,000 | Micron Technology, Inc.a | 95,040 | |||
| 39,020 | Microsoft Corporation | 1,189,720 | |||
| 11,100 | Motorola, Inc.a | 86,136 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Shares | Common Stock (5.5%) | Value | |||
Information Technology (1.0%) - continued | |||||
| 1,885 | Multi-Fineline Electronix, Inc.a | $ | 53,477 | ||
| 9,708 | Nokia Oyj ADR | 124,748 | |||
| 20,055 | Novellus Systems, Inc.a | 468,084 | |||
| 8,343 | Nuance Communications, Inc.a | 129,650 | |||
| 23,100 | ON Semiconductor Corporationa | 203,511 | |||
| 39,953 | Oracle Corporation | 980,447 | |||
| 18,219 | Polycom, Inc.a | 454,928 | |||
| 6,642 | QLogic Corporationa | 125,335 | |||
| 20,559 | QUALCOMM, Inc. | 951,059 | |||
| 2,360 | Research in Motion, Ltd.a | 159,394 | |||
| 26,207 | Skyworks Solutions, Inc.a | 371,877 | |||
| 21,006 | Smart Modular Technologies (WWH), Inc.a | 132,128 | |||
| 8,307 | Solera Holdings, Inc. | 299,135 | |||
| 8,079 | STEC, Inc.a | 132,011 | |||
| 2,773 | Sybase, Inc.a | 120,348 | |||
| 16,648 | Tellabs, Inc.a | 94,561 | |||
| 126,527 | Teradyne, Inc.a | 1,357,635 | |||
| 18,663 | Texas Instruments, Inc. | 486,358 | |||
| 77,700 | TIBCO Software, Inc.a | 748,251 | |||
| 10,996 | TTM Technologies, Inc.a | 126,784 | |||
| 18,315 | Tyco Electronics, Ltd. | 449,633 | |||
| 9,920 | ValueClick, Inc.a | 100,390 | |||
| 3,741 | Visa, Inc. | 327,188 | |||
| 22,662 | Vishay Intertechnology, Inc.a | 189,228 | |||
| 21,072 | Xilinx, Inc. | 528,064 | |||
| 18,874 | Yahoo!, Inc.a | 316,706 | |||
Total Information Technology | 27,081,690 | ||||
Materials (0.3%) | |||||
| 3,780 | Air Products and Chemicals, Inc. | 306,407 | |||
| 17,703 | Albemarle Corporation | 643,858 | |||
| 7,668 | Allied Nevada Gold Corporationa | 115,633 | |||
| 14,151 | Ball Corporation | 731,607 | |||
| 777 | CF Industries Holdings, Inc. | 70,536 | |||
| 27,137 | Crown Holdings, Inc.a | 694,164 | |||
| 6,074 | Domtar Corporationa | 336,560 | |||
| 8,164 | E.I. du Pont de Nemours and Company | 274,882 | |||
| 1,227 | FMC Corporation | 68,418 | |||
| 3,574 | Freeport-McMoRan Copper & Gold, Inc.a | 286,956 | |||
| 2,731 | Horsehead Holding Corporationa | 34,820 | |||
| 4,187 | Innophos Holdings, Inc. | 96,259 | |||
| 25,377 | International Paper Company | 679,596 | |||
| 5,100 | Newmont Mining Corporation | 241,281 | |||
| 21,225 | Owens-Illinois, Inc.a | 697,666 | |||
| 48,873 | Packaging Corporation of America | 1,124,568 | |||
| 4,886 | Pactiv Corporationa | 117,948 | |||
| 13,879 | Pan American Silver Corporationa | 330,459 | |||
| 1,000 | Potash Corporation of Saskatchewan, Inc. | 108,500 | |||
| 4,263 | PPG Industries, Inc. | 249,556 | |||
| 3,083 | Praxair, Inc. | 247,596 | |||
| 4,886 | RTI International Metals, Inc.a | 122,981 | |||
| 15,795 | Sealed Air Corporation | 345,279 | |||
| 8,896 | Silgan Holdings, Inc. | 514,901 | |||
| 21,474 | Steel Dynamics, Inc. | 380,519 | |||
Total Materials | 8,820,950 | ||||
Telecommunications Services (0.1%) | |||||
| 40,000 | Alcatel-Lucent ADRa | 132,800 | |||
| 11,311 | American Tower Corporationa | 488,748 | |||
| 24,680 | AT&T, Inc. | 691,780 | |||
| 5,400 | NII Holdings, Inc.a | 181,332 | |||
| 7,600 | NTELOS Holdings Corporation | 135,432 | |||
| 47,423 | Qwest Communications International, Inc. | 199,651 | |||
| 4,894 | Syniverse Holdings, Inc.a | 85,547 | |||
| 10,490 | Telephone and Data Systems, Inc. | 355,821 | |||
| 25,151 | Verizon Communications, Inc. | 833,253 | |||
| 16,070 | Vodafone Group plc ADR | 371,056 | |||
Total Telecommunications Services | 3,475,420 | ||||
Utilities (0.2%) | |||||
| 7,704 | Alliant Energy Corporation | 233,123 | |||
| 22,300 | American Electric Power Company, Inc. | 775,817 | |||
| 2,230 | American States Water Company | 78,964 | |||
| 5,679 | Avista Corporation | 122,610 | |||
| 10,200 | Cleco Corporation | 278,766 | |||
| 11,219 | DPL, Inc. | 309,644 | |||
| 7,449 | Entergy Corporation | 609,626 | |||
| 7,730 | Exelon Corporation | 377,765 | |||
| 12,371 | FirstEnergy Corporation | 574,633 | |||
| 22,573 | NV Energy, Inc. | 279,454 | |||
| 2,696 | OGE Energy Corporation | 99,482 | |||
| 20,508 | Portland General Electric Company | 418,568 | |||
| 15,998 | Southwest Gas Corporation | 456,423 | |||
| 8,942 | UGI Corporation | 216,307 | |||
| 10,959 | Xcel Energy, Inc. | 232,660 | |||
Total Utilities | 5,063,842 | ||||
Total Common Stock (cost $137,554,530) | 144,833,689 | ||||
Principal Amount | Long-Term Fixed Income (4.0%) | ||||
Asset-Backed Securities (0.3%) | |||||
GSAMP Trust | |||||
| 6,315,332 | 0.411%, 1/25/2010b | 4,614,493 | |||
J.P. Morgan Mortgage Trust | |||||
| 5,300,000 | 5.461%, 10/25/2036 | 4,375,097 | |||
Total Asset-Backed Securities | 8,989,590 | ||||
Collateralized Mortgage Obligations (1.4%) | |||||
Citigroup Mortgage Loan Trust, Inc. | |||||
| 2,179,347 | 5.500%, 11/25/2035 | 1,558,837 | |||
Citimortgage Alternative Loan Trust | |||||
| 6,761,604 | 5.750%, 4/25/2037 | 4,987,812 | |||
Countrywide Alternative Loan Trust | |||||
| 4,591,491 | 6.000%, 4/25/2036 | 4,155,956 | |||
| 1,576,043 | 6.000%, 1/25/2037 | 1,090,900 | |||
Countrywide Home Loans | |||||
| 6,011,778 | 5.750%, 4/25/2037 | 4,588,243 | |||
Deutsche Alt-A Securities, Inc. | |||||
| 1,729,631 | 5.500%, 10/25/2021 | 1,310,196 | |||
| 2,885,670 | 6.000%, 10/25/2021 | 1,724,779 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Principal | Long-Term Fixed Income (4.0%) | Value | ||||
Collateralized Mortgage Obligations (1.4%) - continued | ||||||
GSR Mortgage Loan Trust | ||||||
| $5,372,141 | 0.421%, 1/25/2010b | $ | 3,852,953 | |||
J.P. Morgan Mortgage Trust | ||||||
| 4,704,809 | 5.805%, 6/25/2036 | 3,924,328 | ||||
| 1,291,073 | 5.994%, 10/25/2036 | 1,074,184 | ||||
MASTR Alternative Loans Trust | ||||||
| 1,553,379 | 6.500%, 7/25/2034 | 1,477,167 | ||||
Merrill Lynch Alternative Note Asset Trust | ||||||
| 1,727,026 | 6.000%, 3/25/2037 | 914,541 | ||||
Sequoia Mortgage Trust | ||||||
| 2,753,315 | 5.749%, 9/20/2046 | 1,037,705 | ||||
WaMu Mortgage Pass Through Certificates | ||||||
| 1,727,689 | 5.921%, 9/25/2036 | 1,430,902 | ||||
| 5,661,348 | 6.037%, 10/25/2036 | 4,613,699 | ||||
Total Collateralized Mortgage Obligations | 37,742,202 | |||||
Commercial Mortgage-Backed Securities (2.0%) | ||||||
Banc of America Commercial Mortgage, Inc. | ||||||
| 8,515,000 | 5.356%, 10/10/2045 | 7,633,494 | ||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||
| 3,000,000 | 5.331%, 2/11/2044 | 2,588,922 | ||||
| 5,700,000 | 5.694%, 6/11/2050 | 4,990,789 | ||||
Citigroup/Deutsche Bank Commercial Mortgage Pass-Through Certificates | ||||||
| 8,200,000 | 5.617%, 10/15/2048 | 7,811,541 | ||||
Credit Suisse Mortgage Capital Certificates | ||||||
| 2,000,000 | 5.467%, 9/15/2039 | 1,713,046 | ||||
Greenwich Capital Commercial Funding Corporation | ||||||
| 3,150,000 | 5.867%, 12/10/2049 | 2,417,575 | ||||
GS Mortgage Securities Corporation II | ||||||
| 4,800,000 | 4.761%, 7/10/2039 | 4,346,808 | ||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||
| 5,200,000 | 5.814%, 6/12/2043 | 5,004,173 | ||||
| 5,500,000 | 5.336%, 5/15/2047 | 4,769,969 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
| 7,300,000 | 5.866%, 9/15/2045 | 6,407,283 | ||||
Morgan Stanley Capital I, Inc. | ||||||
| 4,200,000 | 4.970%, 4/14/2040 | 4,098,452 | ||||
Total Commercial Mortgage- Backed Securities | 51,782,052 | |||||
U.S. Government and Agencies (0.3%) | ||||||
U.S. Treasury Notes | ||||||
| $9,000,000 | 0.875%, 12/31/2010c | 9,033,048 | ||||
Total U.S. Government and Agencies | 9,033,048 | |||||
| Total Long-Term Fixed Income (cost $104,821,551) | 107,546,892 | |||||
Shares | Preferred Stock (<0.1%) | |||||
Financials (<0.1%) | ||||||
| 36,652 | Bank of America Corporation, Convertiblea | 546,848 | ||||
Total Financials | 546,848 | |||||
Total Preferred Stock (cost $560,695) | 546,848 | |||||
Short-Term Investments (7.1%)d | ||||||
Enterprise Funding Company, LLC | ||||||
| 4,995,000 | 0.010%, 1/4/2010 | 4,994,996 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 35,500,000 | 0.040%, 1/15/2010 | 35,499,448 | ||||
| 24,000,000 | 0.040%, 1/29/2010 | 23,999,254 | ||||
| 25,000,000 | 0.060%, 2/17/2010 | 24,998,042 | ||||
| 24,500,000 | 0.070%, 2/18/2010 | 24,497,713 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 52,000,000 | 0.060%, 2/18/2010 | 51,995,840 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 200,000 | 0.010%, 2/1/2010 | 199,998 | ||||
| 2,000,000 | 0.075%, 3/1/2010 | 1,999,754 | ||||
| 13,800,000 | 0.200%, 3/17/2010c | 13,794,346 | ||||
| 6,200,000 | 0.070%, 3/31/2010 | 6,198,927 | ||||
Total Short-Term Investments (at amortized cost) | 188,178,318 | |||||
Total Investments (cost $2,939,704,314) 100.1% | $ | 2,660,390,674 | ||||
Other Assets and Liabilities, Net (0.1%) | (1,865,041 | ) | ||||
| Total Net Assets 100.0% | $ | 2,658,525,633 | ||||
| a | Non-income producing security. |
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | At December 31, 2009, $22,827,394 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation | $ | 51,515,101 | ||
Gross unrealized depreciation | (330,485,232 | ) | ||
Net unrealized appreciation (depreciation) | $ | (278,970,131 | ) | |
Cost for federal income tax purposes | $ | 2,939,360,805 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Moderate Allocation Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | |||||||||
Mutual Funds | |||||||||||||
Equity Mutual Funds | 1,217,742,444 | 1,217,742,444 | — | — | |||||||||
Fixed Income Mutual Funds | 1,001,542,483 | 1,001,542,483 | — | — | |||||||||
Common Stock | |||||||||||||
Consumer Discretionary | 18,258,059 | 18,258,059 | — | — | |||||||||
Consumer Staples | 7,481,365 | 7,481,365 | — | — | |||||||||
Energy | 17,200,938 | 17,200,938 | — | — | |||||||||
Financials | 22,055,874 | 22,055,874 | — | — | |||||||||
Health Care | 17,461,920 | 17,461,920 | — | — | |||||||||
Industrials | 17,933,631 | 17,933,631 | — | — | |||||||||
Information Technology | 27,081,690 | 27,081,690 | — | — | |||||||||
Materials | 8,820,950 | 8,820,950 | — | — | |||||||||
Telecommunications Services | 3,475,420 | 3,475,420 | — | — | |||||||||
Utilities | 5,063,842 | 5,063,842 | — | — | |||||||||
Long-Term Fixed Income | |||||||||||||
Asset-Backed Securities | 8,989,590 | — | 8,989,590 | — | |||||||||
Collateralized Mortgage Obligations | 37,742,202 | — | 37,742,202 | — | |||||||||
Commercial Mortgage-Backed Securities | 51,782,052 | — | 51,782,052 | — | |||||||||
U.S. Government and Agencies | 9,033,048 | — | 9,033,048 | — | |||||||||
Preferred Stock | |||||||||||||
Financials | 546,848 | 546,848 | — | — | |||||||||
Short-Term Investments | 188,178,318 | — | 188,178,318 | — | |||||||||
Total | $ | 2,660,390,674 | $ | 2,364,665,464 | $ | 295,725,210 | $ | — | |||||
Other Financial Instruments* | $ | 2,812,111 | $ | 4,682,847 | ($1,870,736 | ) | $ | — | |||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
E-Mini MSCI EAFE Index Futures | 785 | March 2010 | $ | 61,395,523 | $ | 61,575,400 | $ | 179,877 | |||||
Russell 2000 Index Mini-Futures | 639 | March 2010 | 37,907,237 | 39,867,210 | 1,959,973 | ||||||||
S&P 400 Index Mini-Futures | 981 | March 2010 | 68,569,693 | 71,112,690 | 2,542,997 | ||||||||
Total Futures Contracts | $ | 4,682,847 | |||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | $ | 940,000 | ($90,743 | ) | ($7,472 | ) | ($ | 98,215 | ) | |||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 6,110,000 | (554,727 | ) | (48,569 | ) | (603,296 | ) | |||||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 2,350,000 | (232,393 | ) | (18,681 | ) | (251,074 | ) | |||||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 4,230,000 | (403,713 | ) | (33,625 | ) | (437,338 | ) | |||||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 3,760,000 | (450,924 | ) | (29,889 | ) | (480,813 | ) | |||||||||
Total Credit Default Swaps | ($ | 138,236 | ) | ($ | 1,870,736 | ) | ||||||||||||
| 1 | As the buyer of protection, Moderate Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderate Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderate Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The market values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the market value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The market value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,682,847 | |||
Total Equity Contracts | 4,682,847 | ||||
Total Asset Derivatives | $ | 4,682,847 | |||
Liability Derivatives | |||||
Credit Contracts | |||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 1,870,736 | |||
Total Credit Contracts | 1,870,736 | ||||
Total Liability Derivatives | $ | 1,870,736 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
| Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 67,613,264 | ||||
Total Equity Contracts | 67,613,264 | |||||
| Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (649 | ) | |||
Total Foreign Exchange Contracts | (649 | ) | ||||
| Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (488,772 | ) | |||
Total Credit Contracts | (488,772 | ) | ||||
Total | $ | 67,123,843 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (1,567,028 | ) | ||
Total Equity Contracts | (1,567,028 | ) | |||
| Credit Contracts | |||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (1,870,736 | ) | ||
Total Credit Contracts | (1,870,736 | ) | |||
Total | ($3,437,764 | ) | |||
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 191,198,293 | 9.1 | % | N/A | N/A | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | N/A | N/A | $ | 186 | <0.1 | % | ||||||||||
Credit Contracts | N/A | N/A | $ | 6,423,133 | 0.3 | % | N/A | N/A | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Investment 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 fiscal year to date, in Moderate Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Partner Technology | $ | 4,269,555 | $ | — | $ | 4,955,150 | — | $ | — | $ | — | ||||||
Real Estate Securities | 49,393,237 | 14,119,367 | 1,903,840 | 6,362,254 | 74,232,873 | 2,464,232 | |||||||||||
Partner Small Cap | |||||||||||||||||
Growth | 28,096,145 | 5,453,737 | 456,625 | 4,309,852 | 43,206,268 | 28,112 | |||||||||||
Partner Small Cap Value | 46,353,405 | 8,654,325 | 684,938 | 4,382,611 | 68,298,602 | 470,430 | |||||||||||
Small Cap Stock | 47,277,589 | 8,451,757 | 26,673,049 | 3,524,659 | 35,697,044 | 325,207 | |||||||||||
Mid Cap Growth II | 12,361,202 | 2,713,102 | 228,313 | 2,498,466 | 21,070,311 | 289 | |||||||||||
Partner Mid Cap Value | 36,513,686 | 11,340,926 | 913,250 | 5,461,061 | 59,064,656 | 489,675 | |||||||||||
Mid Cap Stock | 94,011,700 | 16,641,193 | 36,172,113 | 11,219,771 | 109,944,779 | 562,080 | |||||||||||
Partner Worldwide | |||||||||||||||||
Allocation | 30,587,271 | 39,636,299 | 50,934 | 10,771,051 | 84,392,265 | 1,082,547 | |||||||||||
Partner International | |||||||||||||||||
Stock | 143,177,677 | 3,555,064 | 4,000,000 | 17,226,346 | 172,123,931 | 3,555,064 | |||||||||||
Large Cap Growth II | 112,299,552 | 30,337,593 | 32,391,828 | 18,998,875 | 139,164,862 | 700,901 | |||||||||||
Large Cap Value | 187,460,023 | 58,642,995 | 53,596,096 | 24,278,814 | 234,271,133 | 3,837,738 | |||||||||||
Large Cap Stock | 111,217,996 | 14,893,911 | 1,589,699 | 19,987,798 | 154,405,740 | 1,329,848 | |||||||||||
Equity Income Plus | 16,507,327 | 3,073,233 | 228,313 | 2,765,272 | 21,869,980 | 360,420 | |||||||||||
High Yield | 108,347,447 | 23,262,623 | 31,964,167 | 29,083,452 | 132,591,457 | 11,123,081 | |||||||||||
Income | 362,069,509 | 70,869,774 | 40,675,209 | 47,495,925 | 445,825,251 | 22,473,564 | |||||||||||
Limited Maturity Bond | 337,673,887 | 67,926,782 | 15,226,862 | 43,983,511 | 423,125,775 | 15,252,168 | |||||||||||
Money Market | 28,065,946 | 290,145,324 | 318,211,270 | — | — | 192,313 | |||||||||||
Total Value and Income Earned | 1,755,683,154 | 2,219,284,927 | 64,247,669 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Mutual Funds (80.1%) | Value | |||
| Equity Mutual Funds (28.8%) | |||||
| 1,764,011 | Thrivent Real Estate Securities Portfolio | $ | 20,581,955 | ||
| 1,191,160 | Thrivent Partner Small Cap Value Portfolio | 18,563,033 | |||
| 1,475,467 | Thrivent Small Cap Stock Portfolio | 14,943,231 | |||
| 2,025,899 | Thrivent Partner Mid Cap Value Portfolio | 21,911,316 | |||
| 3,434,570 | Thrivent Mid Cap Stock Portfolio | 33,656,035 | |||
| 4,142,456 | Thrivent Partner Worldwide Allocation Portfolio | 32,456,561 | |||
| 3,723,997 | Thrivent Partner International Stock Portfolio | 37,209,802 | |||
| 4,621,428 | Thrivent Large Cap Growth Portfolio II | 33,851,497 | |||
| 6,930,163 | Thrivent Large Cap Value Portfolio | 66,870,534 | |||
| 2,780,770 | Thrivent Large Cap Stock Portfolio | 21,481,444 | |||
| 1,082,074 | Thrivent Equity Income Plus Portfolio | 8,557,906 | |||
Total Equity Mutual Funds | 310,083,314 | ||||
| Fixed Income Mutual Funds (51.3%) | |||||
| 10,491,513 | Thrivent High Yield Portfolio | 47,830,809 | |||
| 13,993,692 | Thrivent Income Portfolio | 131,353,189 | |||
| 38,700,239 | Thrivent Limited Maturity Bond Portfolio | 372,300,168 | |||
Total Fixed Income Mutual Funds | 551,484,166 | ||||
Total Mutual Funds (cost $937,073,836) | 861,567,480 | ||||
| Principal Amount | Long-Term Fixed Income (6.4%) | ||||
| Asset-Backed Securities (0.8%) | |||||
GSAMP Trust | |||||
| 3,042,842 | 0.411%, 1/25/2010a | 2,223,347 | |||
J.P. Morgan Mortgage Trust | |||||
| 7,500,000 | 5.461%, 10/25/2036 | 6,191,175 | |||
Total Asset-Backed Securities | 8,414,522 | ||||
| Collateralized Mortgage Obligations (1.3%) | |||||
Citigroup Mortgage Loan Trust, Inc. | |||||
| 1,183,074 | 5.500%, 11/25/2035 | 846,226 | |||
Citimortgage Alternative Loan Trust | |||||
| 3,718,882 | 5.750%, 4/25/2037 | 2,743,297 | |||
Countrywide Alternative Loan Trust | |||||
| 855,566 | 6.000%, 1/25/2037 | 592,203 | |||
Countrywide Home Loans | |||||
| 3,339,877 | 5.750%, 4/25/2037 | 2,549,024 | |||
Deutsche Alt-A Securities, Inc. | |||||
| 938,943 | 5.500%, 10/25/2021 | 711,249 | |||
| 1,584,289 | 6.000%, 10/25/2021 | 946,937 | |||
J.P. Morgan Mortgage Trust | |||||
| 700,868 | 5.994%, 10/25/2036 | 583,129 | |||
MASTR Alternative Loans Trust | |||||
| 884,563 | 6.500%, 7/25/2034 | 841,164 | |||
Merrill Lynch Alternative Note Asset Trust | |||||
| 937,528 | 6.000%, 3/25/2037 | 496,465 | |||
Sequoia Mortgage Trust | |||||
| 1,022,271 | 5.749%, 9/20/2046 | 385,287 | |||
WaMu Mortgage Pass Through Certificates | |||||
| 2,375,573 | 5.921%, 9/25/2036 | 1,967,490 | |||
| 2,103,670 | 6.037%, 10/25/2036 | 1,714,380 | |||
Total Collateralized Mortgage Obligations | 14,376,851 | ||||
| Commercial Mortgage-Backed Securities (3.9%) | |||||
Banc of America Commercial Mortgage, Inc. | |||||
| 5,300,000 | 5.356%, 10/10/2045 | 4,751,323 | |||
Bear Stearns Commercial Mortgage Securities, Inc. | |||||
| 2,000,000 | 5.331%, 2/11/2044 | 1,725,948 | |||
| 3,150,000 | 5.694%, 6/11/2050 | 2,758,068 | |||
Citigroup/Deutsche Bank Commercial Mortgage Pass-Through Certificates | |||||
| 5,300,000 | 5.617%, 10/15/2048 | 5,048,923 | |||
Credit Suisse Mortgage Capital Certificates | |||||
| 2,900,000 | 5.467%, 9/15/2039 | 2,483,917 | |||
Greenwich Capital Commercial Funding Corporation | |||||
| 1,710,000 | 5.867%, 12/10/2049 | 1,312,398 | |||
GS Mortgage Securities Corporation II | |||||
| 6,549,700 | 4.761%, 7/10/2039 | 5,931,310 | |||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | |||||
| 7,100,000 | 5.814%, 6/12/2043 | 6,832,621 | |||
| 3,500,000 | 5.336%, 5/15/2047 | 3,035,434 | |||
LB-UBS Commercial Mortgage Trust | |||||
| 2,750,000 | 5.866%, 9/15/2045 | 2,413,702 | |||
Morgan Stanley Capital I, Inc. | |||||
| 5,600,000 | 4.970%, 4/14/2040 | 5,464,603 | |||
Total Commercial Mortgage-Backed Securities | 41,758,247 | ||||
| U.S. Government and Agencies (0.4%) | |||||
U.S. Treasury Notes | |||||
| 4,000,000 | 0.875%, 12/31/2010b | 4,014,688 | |||
Total U.S. Government and Agencies | 4,014,688 | ||||
Total Long-Term Fixed Income (cost $65,755,295) | 68,564,308 | ||||
| Shares | Common Stock (5.3%) | ||||
| Consumer Discretionary (0.7%) | |||||
| 1,494 | Amazon.com, Inc.c | 200,973 | |||
| 6,397 | Autoliv, Inc. | 277,374 | |||
| 3,149 | Bally Technologies, Inc.c | 130,022 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (5.3%) | Value | |||
| Consumer Discretionary (0.7%) - continued | |||||
| 2,000 | Bed Bath & Beyond, Inc.c | $ | 77,260 | ||
| 1,768 | Best Buy Company, Inc. | 69,765 | |||
| 3,500 | Brinker International, Inc. | 52,220 | |||
| 2,421 | Buffalo Wild Wings, Inc.c | 97,494 | |||
| 5,226 | Carnival Corporationc | 165,612 | |||
| 5,500 | CBS Corporation | 77,275 | |||
| 10,451 | Chico’s FAS, Inc.c | 146,837 | |||
| 11,520 | Comcast Corporation | 194,227 | |||
| 1,280 | Cooper Tire & Rubber Company | 25,664 | |||
| 1,457 | Deckers Outdoor Corporationc | 148,206 | |||
| 2,334 | Discovery Communications, Inc.c | 71,584 | |||
| 2,068 | Dollar Tree, Inc.c | 99,884 | |||
| 14,450 | Ford Motor Companyc | 144,500 | |||
| 6,138 | Fortune Brands, Inc. | 265,162 | |||
| 4,089 | Fossil, Inc.c | 137,227 | |||
| 3,136 | Genuine Parts Company | 119,043 | |||
| 3,278 | Guess ?, Inc. | 138,659 | |||
| 12,710 | Harman International Industries, Inc. | 448,409 | |||
| 6,800 | Home Depot, Inc. | 196,724 | |||
| 9,915 | International Game Technology | 186,105 | |||
| 6,961 | Jarden Corporation | 215,165 | |||
| 2,187 | Kohl’s Corporationc | 117,945 | |||
| 2,000 | Limited Brands, Inc. | 38,480 | |||
| 6,426 | Lincoln Educational Servicesc | 139,251 | |||
| 1,075 | LKQ Corporationc | 21,059 | |||
| 2,750 | Lowe’s Companies, Inc. | 64,322 | |||
| 12,776 | Macy’s, Inc | 214,126 | |||
| 18,112 | Melco Crown Entertainment, Ltd.c | 61,037 | |||
| 1,800 | Nordstrom, Inc. | 67,644 | |||
| 3,400 | Omnicom Group, Inc. | 133,110 | |||
| 2,398 | Panera Bread Companyc | 160,594 | |||
| 633 | Priceline.com, Inc.c | 138,311 | |||
| 2,450 | RadioShack Corporation | 47,775 | |||
| 6,400 | Scientific Games Corporationc | 93,120 | |||
| 12,815 | Shuffle Master, Inc.c | 105,596 | |||
| 2,010 | Starwood Hotels & Resorts Worldwide, Inc. | 73,506 | |||
| 5,230 | Target Corporation | 252,975 | |||
| 3,371 | Tiffany & Company | 144,953 | |||
| 4,510 | Time Warner Cable, Inc. | 186,669 | |||
| 22,240 | Time Warner, Inc. | 648,074 | |||
| 14,128 | Toll Brothers, Inc.c | 265,748 | |||
| 792 | Tupperware Brands Corporation | 36,883 | |||
| 7,222 | Walt Disney Company | 232,909 | |||
| 1,196 | Warnaco Group, Inc.c | 50,459 | |||
| 7,411 | Warner Music Group Corporationc | 41,946 | |||
| 3,377 | Winnebago Industries, Inc.c | 41,199 | |||
| 4,851 | WMS Industries, Inc.c | 194,040 | |||
| 792 | Wolverine World Wide, Inc. | 21,558 | |||
Total Consumer Discretionary | 7,278,680 | ||||
| Consumer Staples (0.3%) | |||||
| 10,014 | Altria Group, Inc. | 196,575 | |||
| 2,762 | Bare Escentuals, Inc.c | 33,779 | |||
| 3,732 | Casey’s General Stores, Inc. | 119,125 | |||
| 5,565 | CVS Caremark Corporation | 179,249 | |||
| 4,276 | Flowers Foods, Inc. | 101,598 | |||
| 6,964 | General Mills, Inc. | 493,121 | |||
| 2,299 | Herbalife, Ltd. | 93,270 | |||
| 4,239 | Kimberly-Clark Corporation | 270,067 | |||
| 4,756 | Kraft Foods, Inc. | 129,268 | |||
| 4,396 | Kroger Company | 90,250 | |||
| 3,691 | PepsiCo, Inc. | 224,413 | |||
| 5,168 | Philip Morris International, Inc. | 249,046 | |||
| 3,450 | Procter & Gamble Company | 209,174 | |||
| 1,200 | Sanderson Farms, Inc. | 50,592 | |||
| 4,480 | SYSCO Corporation | 125,171 | |||
| 6,085 | TreeHouse Foods, Inc.c | 236,463 | |||
| 4,040 | Unilever NV ADR | 130,613 | |||
| 2,550 | Walgreen Company | 93,636 | |||
| 2,330 | Wal-Mart Stores, Inc. | 124,538 | |||
Total Consumer Staples | 3,149,948 | ||||
| Energy (0.7%) | |||||
| 12,302 | Alpha Natural Resources, Inc.c | 533,661 | |||
| 2,177 | Anadarko Petroleum Corporation | 135,888 | |||
| 3,215 | Apache Corporation | 331,692 | |||
| 1,874 | Atlas Energy, Inc. | 56,539 | |||
| 9,600 | Baker Hughes, Inc. | 388,608 | |||
| 1,168 | Cabot Oil & Gas Corporation | 50,913 | |||
| 5,112 | Carrizo Oil & Gas, Inc.c | 135,417 | |||
| 6,352 | Chevron Corporation | 489,040 | |||
| 1,550 | Cobalt International Energy, Inc.c | 21,452 | |||
| 3,807 | Comstock Resources, Inc.c | 154,450 | |||
| 9,944 | ConocoPhillips | 507,840 | |||
| 5,214 | Devon Energy Corporation | 383,229 | |||
| 3,425 | EOG Resources, Inc. | 333,252 | |||
| 5,272 | Exxon Mobil Corporation | 359,498 | |||
| 4,394 | Forest Oil Corporationc | 97,766 | |||
| 6,888 | Halliburton Company | 207,260 | |||
| 2,697 | Helmerich & Payne, Inc. | 107,556 | |||
| 1,750 | Hess Corporation | 105,875 | |||
| 2,057 | Holly Corporation | 52,721 | |||
| 964 | Massey Energy Company | 40,498 | |||
| 24,274 | Nabors Industries, Ltd.c | 531,358 | |||
| 6,299 | National Oilwell Varco, Inc. | 277,723 | |||
| 2,813 | Oil States International, Inc.c | 110,523 | |||
| 15,729 | Patterson-UTI Energy, Inc. | 241,440 | |||
| 2,178 | Petroleo Brasileiro SA ADR | 103,847 | |||
| 2,579 | Petroleum Development Corporationc | 46,964 | |||
| 2,877 | Rosetta Resources, Inc.c | 57,339 | |||
| 2,950 | Schlumberger, Ltd. | 192,015 | |||
| 4,714 | Southwestern Energy Companyc | 227,215 | |||
| 4,906 | Superior Energy Services, Inc.c | 119,167 | |||
| 11,244 | Tesco Corporationc | 145,160 | |||
| 2,305 | Total SA ADR | 147,612 | |||
| 4,770 | Ultra Petroleum Corporationc | 237,832 | |||
| 4,800 | Valero Energy Corporation | 80,400 | |||
| 1,448 | World Fuel Services Corporation | 38,792 | |||
Total Energy | 7,050,542 | ||||
| Financials (0.8%) | |||||
| 2,983 | ACE, Ltd.c | 150,343 | |||
| 1,415 | Affiliated Managers Group, Inc.c | 95,300 | |||
| 7,871 | Allstate Corporation | 236,445 | |||
| 5,388 | American Equity Investment Life Holding Company | 40,087 | |||
| 9,889 | Ameriprise Financial, Inc. | 383,891 | |||
| 792 | Aspen Insurance Holdings, Ltd. | 20,156 | |||
| 16,533 | Bank of America Corporation | 248,987 | |||
| 8,630 | Bank of New York Mellon Corporation | 241,381 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (5.3%) | Value | |||
| Financials (0.8%) - continued | |||||
| 3,240 | Capital One Financial Corporation | $ | 124,222 | ||
| 3,782 | Cardinal Financial Corporation | 33,055 | |||
| 1,628 | Cash America International, Inc. | 56,915 | |||
| 6,790 | Charles Schwab Corporation | 127,788 | |||
| 1,869 | Colonial Properties Trust | 21,923 | |||
| 4,455 | Comerica, Inc. | 131,734 | |||
| 2,067 | Commerce Bancshares, Inc. | 80,034 | |||
| 1,899 | Dollar Financial Corporationc | 44,930 | |||
| 4,183 | Duke Realty Corporation | 50,907 | |||
| 7,041 | DuPont Fabros Technology, Inc. | 126,668 | |||
| 4,343 | East West Bancorp, Inc. | 68,619 | |||
| 2,761 | Endurance Specialty Holdings, Ltd. | 102,792 | |||
| 6,326 | Equity One, Inc. | 102,291 | |||
| 963 | Everest Re Group, Ltd. | 82,510 | |||
| 16,489 | FBR Capital Markets Corporationc | 101,902 | |||
| 12,353 | Fifth Third Bancorp | 120,442 | |||
| 7,967 | First Niagara Financial Group, Inc. | 110,821 | |||
| 3,144 | Goldman Sachs Group, Inc. | 530,833 | |||
| 971 | Hancock Holding Company | 42,520 | |||
| 3,614 | Hanover Insurance Group, Inc. | 160,570 | |||
| 4,393 | Hartford Financial Services Group, Inc. | 102,181 | |||
| 11,399 | HCC Insurance Holdings, Inc. | 318,830 | |||
| 1,431 | Home Bancshares, Inc. | 34,444 | |||
| 9,198 | Host Hotels & Resorts, Inc.c | 107,341 | |||
| 1,967 | IntercontinentalExchange, Inc.c | 220,894 | |||
| 3,250 | Invesco, Ltd. | 76,343 | |||
| 25,238 | J.P. Morgan Chase & Company | 1,051,667 | |||
| 3,888 | Lazard, Ltd. | 147,627 | |||
| 2,414 | Max Capital Group, Ltd. | 53,832 | |||
| 3,890 | MetLife, Inc. | 137,512 | |||
| 10,817 | Morgan Stanley | 320,183 | |||
| 8,301 | New York Community Bancorp, Inc. | 120,448 | |||
| 3,664 | Ocwen Financial Corporationc | 35,064 | |||
| 575 | Platinum Underwriters Holdings, Ltd. | 22,017 | |||
| 3,516 | Principal Financial Group, Inc. | 84,525 | |||
| 2,642 | Prosperity Bancshares, Inc. | 106,922 | |||
| 2,550 | Prudential Financial, Inc. | 126,888 | |||
| 4,337 | Signature Bankc | 138,350 | |||
| 4,624 | State Street Corporation | 201,329 | |||
| 12,566 | Sunstone Hotel Investors, Inc.c | 111,586 | |||
| 4,443 | SVB Financial Groupc | 185,229 | |||
| 900 | T. Rowe Price Group, Inc. | 47,925 | |||
| 4,831 | TD Ameritrade Holding Corporationc | 93,625 | |||
| 7,898 | Travelers Companies, Inc. | 393,794 | |||
| 8,324 | W.R. Berkley Corporation | 205,103 | |||
| 1,874 | Waddell & Reed Financial, Inc. | 57,232 | |||
| 14,709 | Washington Federal, Inc. | 284,472 | |||
| 18,981 | Wells Fargo & Company | 512,297 | |||
| 1,753 | Westamerica Bancorporation | 97,064 | |||
| 1,569 | XL Capital, Ltd. | 28,760 | |||
Total Financials | 9,061,550 | ||||
| Health Care (0.6%) | |||||
| 384 | Alcon, Inc. | 63,110 | |||
| 690 | Allergan, Inc. | 43,477 | |||
| 3,642 | American Medical Systems Holdings, Inc.c | 70,254 | |||
| 2,221 | Amgen, Inc.c | 125,642 | |||
| 2,250 | Baxter International, Inc. | 132,030 | |||
| 1,714 | Beckman Coulter, Inc. | 112,164 | |||
| 3,266 | BioMarin Pharmaceutical, Inc.c | 61,433 | |||
| 382 | Bio-Rad Laboratories, Inc.c | 36,848 | |||
| 1,272 | C.R. Bard, Inc. | 99,089 | |||
| 3,950 | Cardinal Health, Inc. | 127,348 | |||
| 1,358 | Catalyst Health Solutions, Inc.c | 49,526 | |||
| 2,442 | Celgene Corporationc | 135,971 | |||
| 1,072 | Chemed Corporation | 51,424 | |||
| 4,704 | Community Health Systems, Inc.c | 167,462 | |||
| 6,683 | Coventry Health Care, Inc.c | 162,330 | |||
| 10,054 | Covidien, Ltd. | 481,486 | |||
| 584 | Dionex Corporationc | 43,140 | |||
| 655 | Emergency Medical Services Corporationc | 35,468 | |||
| 3,346 | Gilead Sciences, Inc.c | 144,815 | |||
| 5,777 | Healthsouth Corporationc | 108,434 | |||
| 4,836 | Hologic, Inc.c | 70,122 | |||
| 2,817 | Hospira, Inc.c | 143,667 | |||
| 1,165 | ICON plc ADRc | 25,315 | |||
| 1,501 | Invacare Corporation | 37,435 | |||
| 8,529 | Johnson & Johnson | 549,353 | |||
| 13,656 | King Pharmaceuticals, Inc.c | 167,559 | |||
| 3,160 | LHC Group, Inc.c | 106,208 | |||
| 3,361 | Lincare Holdings, Inc.c | 124,760 | |||
| 2,136 | MedAssets, Inc.c | 45,305 | |||
| 2,361 | Medco Health Solutions, Inc.c | 150,891 | |||
| 3,772 | Medicis Pharmaceutical Corporation | 102,033 | |||
| 976 | Mednax, Inc.c | 58,677 | |||
| 6,500 | Medtronic, Inc. | 285,870 | |||
| 9,700 | Merck & Company, Inc. | 354,438 | |||
| 1,439 | Perrigo Company | 57,330 | |||
| 54,305 | Pfizer, Inc. | 987,808 | |||
| 1,141 | RehabCare Group, Inc.c | 34,721 | |||
| 264 | Sharps Compliance Corporationc | 2,534 | |||
| 4,400 | Thermo Fisher Scientific, Inc.c | 209,836 | |||
| 1,134 | Thoratec Corporationc | 30,527 | |||
| 4,063 | United Therapeutics Corporationc | 213,917 | |||
| 17,847 | UnitedHealth Group, Inc. | 543,977 | |||
| 1,689 | Varian Medical Systems, Inc.c | 79,130 | |||
| 3,382 | Vertex Pharmaceuticals, Inc.c | 144,919 | |||
| 3,359 | Watson Pharmaceuticals, Inc.c | 133,050 | |||
Total Health Care | 6,910,833 | ||||
| Industrials (0.7%) | |||||
| 3,667 | 3M Company | 303,151 | |||
| 1,799 | AAON, Inc. | 35,063 | |||
| 3,200 | AMR Corporationc | 24,736 | |||
| 3,530 | Avery Dennison Corporation | 128,810 | |||
| 8,636 | BE Aerospace, Inc.c | 202,946 | |||
| 2,321 | Beacon Roofing Supply, Inc.c | 37,136 | |||
| 2,553 | Bucyrus International, Inc. | 143,913 | |||
| 3,529 | Caterpillar, Inc. | 201,118 | |||
| 5,406 | Chicago Bridge and Iron Companyc | 109,309 | |||
| 1,951 | Copa Holdings SA | 106,271 | |||
| 4,961 | CSX Corporation | 240,559 | |||
| 1,715 | Danaher Corporation | 128,968 | |||
| 4,074 | Delta Air Lines, Inc.c | 46,362 | |||
| 2,065 | Dover Corporation | 85,925 | |||
| 6,050 | Dryships, Inc.c | 35,211 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (5.3%) | Value | |||
| Industrials (0.7%) - continued | |||||
| 3,883 | Eaton Corporation | $ | 247,036 | ||
| 656 | EMCOR Group, Inc.c | 17,646 | |||
| 2,038 | EnerSysc | 44,571 | |||
| 4,944 | FedEx Corporation | 412,577 | |||
| 2,450 | Foster Wheeler AGc | 72,128 | |||
| 665 | FTI Consulting, Inc.c | 31,361 | |||
| 3,246 | Gardner Denver, Inc. | 138,117 | |||
| 904 | Genco Shipping & Trading, Ltd.c | 20,232 | |||
| 3,822 | General Dynamics Corporation | 260,546 | |||
| 25,740 | General Electric Company | 389,446 | |||
| 3,881 | Great Lakes Dredge & Dock Company | 25,149 | |||
| 1,712 | Griffon Corporationc | 20,921 | |||
| 7,877 | Honeywell International, Inc. | 308,778 | |||
| 802 | IDEX Corporation | 24,982 | |||
| 4,820 | Ingersoll-Rand plc | 172,267 | |||
| 2,094 | Knight Transportation, Inc. | 40,393 | |||
| 727 | Landstar System, Inc. | 28,186 | |||
| 712 | Lennox International, Inc. | 27,796 | |||
| 15,332 | Manitowoc Company, Inc. | 152,860 | |||
| 8,503 | Monster Worldwide, Inc.c | 147,952 | |||
| 3,688 | Navistar International Corporationc | 142,541 | |||
| 8,967 | Oshkosh Corporation | 332,048 | |||
| 2,552 | Parker Hannifin Corporation | 137,502 | |||
| 1,147 | Precision Castparts Corporation | 126,571 | |||
| 3,803 | Roper Industries, Inc. | 199,163 | |||
| 3,500 | Shaw Group, Inc.c | 100,625 | |||
| 7,532 | SmartHeat, Inc.c | 109,365 | |||
| 7,260 | Spirit Aerosystems Holdings, Inc.c | 144,184 | |||
| 2,817 | SPX Corporation | 154,090 | |||
| 1,451 | Sykes Enterprises, Inc.c | 36,957 | |||
| 1,790 | Teledyne Technologies, Inc.c | 68,664 | |||
| 6,480 | Textron, Inc. | 121,889 | |||
| 942 | Triumph Group, Inc. | 45,452 | |||
| 2,178 | Union Pacific Corporation | 139,174 | |||
| 5,931 | United Technologies Corporation | 411,671 | |||
| 7,898 | Werner Enterprises, Inc. | 156,301 | |||
| 4,138 | Woodward Governor Company | 106,636 | |||
Total Industrials | 6,945,255 | ||||
| Information Technology (0.9%) | |||||
| 6,900 | Activision Blizzard, Inc.c | 76,659 | |||
| 5,115 | Advanced Micro Devices, Inc.c | 49,513 | |||
| 3,059 | Akamai Technologies, Inc.c | 77,484 | |||
| 5 | AOL, Inc.c | 116 | |||
| 2,436 | Apple, Inc.c | 513,655 | |||
| 1,573 | AsiaInfo Holdings, Inc.c | 47,929 | |||
| 101,083 | Atmel Corporationc | 465,993 | |||
| 5,238 | Avnet, Inc.c | 157,978 | |||
| 10,533 | Cisco Systems, Inc.c | 252,160 | |||
| 44,755 | Compuware Corporationc | 323,579 | |||
| 3,971 | Comtech Group, Inc.c | 29,266 | |||
| 2,400 | Dell, Inc.c | 34,464 | |||
| 5,357 | EarthLink, Inc. | 44,517 | |||
| 10,950 | eBay, Inc.c | 257,763 | |||
| 4,903 | F5 Networks, Inc.c | 259,761 | |||
| 5,280 | Finisar Corporationc | 47,098 | |||
| 5,426 | Flextronics International, Ltd.c | 39,664 | |||
| 11,225 | FormFactor, Inc.c | 244,256 | |||
| 782 | Google, Inc.c | 484,824 | |||
| 11,550 | Hewlett-Packard Company | 594,941 | |||
| 12,920 | Intel Corporation | 263,568 | |||
| 4,706 | International Business Machines Corporation | 616,015 | |||
| 3,126 | Jabil Circuit, Inc. | 54,299 | |||
| 3,539 | JDA Software Group, Inc.c | 90,138 | |||
| 2,907 | Juniper Networks, Inc.c | 77,530 | |||
| 5,218 | Lam Research Corporationc | 204,598 | |||
| 17,653 | Lattice Semiconductor Corporationc | 47,663 | |||
| 2,657 | Lender Processing Services, Inc. | 108,034 | |||
| 600 | MasterCard, Inc. | 153,588 | |||
| 8,955 | Maxim Integrated Products, Inc. | 181,787 | |||
| 1,100 | McAfee, Inc.c | 44,627 | |||
| 1,451 | Mellanox Technologies, Ltd.c | 27,366 | |||
| 4,217 | Mentor Graphics Corporationc | 37,236 | |||
| 3,200 | Micron Technology, Inc.c | 33,792 | |||
| 15,730 | Microsoft Corporation | 479,608 | |||
| 3,800 | Motorola, Inc.c | 29,488 | |||
| 754 | Multi-Fineline Electronix, Inc.c | 21,391 | |||
| 4,854 | Nokia Oyj ADR | 62,374 | |||
| 6,194 | Novellus Systems, Inc.c | 144,568 | |||
| 3,337 | Nuance Communications, Inc.c | 51,857 | |||
| 8,050 | ON Semiconductor Corporationc | 70,920 | |||
| 16,445 | Oracle Corporation | 403,560 | |||
| 5,717 | Polycom, Inc.c | 142,753 | |||
| 2,657 | QLogic Corporationc | 50,138 | |||
| 7,177 | QUALCOMM, Inc. | 332,008 | |||
| 831 | Research in Motion, Ltd.c | 56,126 | |||
| 10,403 | Skyworks Solutions, Inc.c | 147,619 | |||
| 8,402 | Smart Modular Technologies (WWH), Inc.c | 52,849 | |||
| 3,243 | Solera Holdings, Inc. | 116,780 | |||
| 2,850 | STEC, Inc.c | 46,569 | |||
| 1,109 | Sybase, Inc.c | 48,131 | |||
| 6,659 | Tellabs, Inc.c | 37,823 | |||
| 50,425 | Teradyne, Inc.c | 541,060 | |||
| 9,332 | Texas Instruments, Inc. | 243,192 | |||
| 26,384 | TIBCO Software, Inc.c | 254,078 | |||
| 4,399 | TTM Technologies, Inc.c | 50,720 | |||
| 8,082 | Tyco Electronics, Ltd. | 198,413 | |||
| 3,968 | ValueClick, Inc.c | 40,156 | |||
| 1,274 | Visa, Inc. | 111,424 | |||
| 9,045 | Vishay Intertechnology, Inc.c | 75,526 | |||
| 6,521 | Xilinx, Inc. | 163,416 | |||
| 6,577 | Yahoo!, Inc.c | 110,362 | |||
Total Information Technology | 10,024,770 | ||||
| Materials (0.3%) | |||||
| 1,343 | Air Products and Chemicals, Inc. | 108,864 | |||
| 5,278 | Albemarle Corporation | 191,961 | |||
| 3,067 | Allied Nevada Gold Corporationc | 46,250 | |||
| 4,000 | Ball Corporation | 206,800 | |||
| 311 | CF Industries Holdings, Inc. | 28,233 | |||
| 7,768 | Crown Holdings, Inc.c | 198,705 | |||
| 3,037 | Domtar Corporationc | 168,280 | |||
| 4,082 | E.I. du Pont de Nemours and Company | 137,441 | |||
| 491 | FMC Corporation | 27,378 | |||
| 1,232 | Freeport-McMoRan Copper & Gold, Inc.c | 98,917 | |||
| 1,092 | Horsehead Holding Corporationc | 13,923 | |||
| 1,675 | Innophos Holdings, Inc. | 38,508 | |||
| 12,688 | International Paper Company | 339,785 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (5.3%) | Value | ||||
| Materials (0.3%) - continued | ||||||
| 1,800 | Newmont Mining Corporation | $ | 85,158 | |||
| 6,064 | Owens-Illinois, Inc.c | 199,324 | ||||
| 15,312 | Packaging Corporation of America | 352,329 | ||||
| 1,955 | Pactiv Corporationc | 47,194 | ||||
| 5,472 | Pan American Silver Corporationc | 130,288 | ||||
| 300 | Potash Corporation of Saskatchewan, Inc. | 32,550 | ||||
| 2,137 | PPG Industries, Inc. | 125,100 | ||||
| 1,541 | Praxair, Inc. | 123,758 | ||||
| 1,955 | RTI International Metals, Inc.c | 49,207 | ||||
| 7,898 | Sealed Air Corporation | 172,650 | ||||
| 2,883 | Silgan Holdings, Inc. | 166,868 | ||||
| 6,629 | Steel Dynamics, Inc. | 117,466 | ||||
Total Materials | 3,206,937 | |||||
| Telecommunications Services (0.1%) | ||||||
| 14,000 | Alcatel-Lucent ADRc | 46,480 | ||||
| 4,004 | American Tower Corporationc | 173,013 | ||||
| 12,335 | AT&T, Inc. | 345,750 | ||||
| 1,850 | NII Holdings, Inc.c | 62,123 | ||||
| 3,000 | NTELOS Holdings Corporation | 53,460 | ||||
| 16,604 | Qwest Communications International, Inc. | 69,903 | ||||
| 1,958 | Syniverse Holdings, Inc.c | 34,226 | ||||
| 3,040 | Telephone and Data Systems, Inc. | 103,117 | ||||
| 12,576 | Verizon Communications, Inc. | 416,643 | ||||
| 8,030 | Vodafone Group plc ADR | 185,412 | ||||
Total Telecommunications Services | 1,490,127 | |||||
| Utilities (0.2%) | ||||||
| 2,215 | Alliant Energy Corporation | 67,026 | ||||
| 11,150 | American Electric Power Company, Inc. | 387,909 | ||||
| 892 | American States Water Company | 31,586 | ||||
| 2,272 | Avista Corporation | 49,052 | ||||
| 4,000 | Cleco Corporation | 109,320 | ||||
| 3,234 | DPL, Inc. | 89,258 | ||||
| 3,286 | Entergy Corporation | 268,926 | ||||
| 3,870 | Exelon Corporation | 189,127 | ||||
| 5,582 | FirstEnergy Corporation | 259,284 | ||||
| 6,492 | NV Energy, Inc. | 80,371 | ||||
| 1,078 | OGE Energy Corporation | 39,778 | ||||
| 6,443 | Portland General Electric Company | 131,502 | ||||
| 6,259 | Southwest Gas Corporation | 178,569 | ||||
| 2,583 | UGI Corporation | 62,483 | ||||
| 5,480 | Xcel Energy, Inc. | 116,340 | ||||
Total Utilities | 2,060,531 | |||||
Total Common Stock (cost $54,062,748) | 57,179,173 | |||||
Preferred Stock (<0.1%) | ||||||
| Financials (<0.1%) | ||||||
| 14,997 | Bank of America Corporation, Convertiblec | 223,755 | ||||
Total Financials | 223,755 | |||||
Total Preferred Stock (cost $228,088) | 223,755 | |||||
Short-Term Investments (8.2%)d | ||||||
Enterprise Funding Company, LLC | ||||||
| 5,835,000 | 0.010%, 1/4/2010 | 5,834,995 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 30,000,000 | 0.040%, 1/15/2010 | 29,999,533 | ||||
| 4,000,000 | 0.040%, 1/29/2010 | 3,999,876 | ||||
| 20,000,000 | 0.060%, 2/17/2010 | 19,998,433 | ||||
| 4,000,000 | 0.197%, 3/17/2010b | 3,998,361 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 13,000,000 | 0.060%, 2/18/2010 | 12,998,960 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 7,000,000 | 0.030%, 2/1/2010 | 6,999,819 | ||||
| 4,300,000 | 0.070%, 3/31/2010 | 4,299,256 | ||||
Total Short-Term Investments (at amortized cost) | 88,129,233 | |||||
Total Investments (cost $1,145,249,200) 100.0% | $ | 1,075,663,949 | ||||
Other Assets and Liabilities, Net (<0.1%) | (284,198 | ) | ||||
Total Net Assets 100.0% | $ | 1,075,379,751 | ||||
| a | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| b | At December 31, 2009, $8,013,049 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| c | Non-income producing security. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 13,978,911 | ||
Gross unrealized depreciation | (83,505,764 | ) | ||
Net unrealized appreciation (depreciation) | $ | (69,526,853 | ) | |
Cost for federal income tax purposes | $ | 1,145,190,802 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Moderately Conservative Allocation Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | |||||||||
Mutual Funds | |||||||||||||
Equity Mutual Funds | 310,083,314 | 310,083,314 | — | — | |||||||||
Fixed Income Mutual Funds | 551,484,166 | 551,484,166 | — | — | |||||||||
Long-Term Fixed Income | |||||||||||||
Asset-Backed Securities | 8,414,522 | — | 8,414,522 | — | |||||||||
Collateralized Mortgage Obligations | 14,376,851 | — | 14,376,851 | — | |||||||||
Commercial Mortgage-Backed Securities | 41,758,247 | — | 41,758,247 | — | |||||||||
U.S. Government and Agencies | 4,014,688 | — | 4,014,688 | — | |||||||||
Common Stock | |||||||||||||
Consumer Discretionary | 7,278,680 | 7,278,680 | — | — | |||||||||
Consumer Staples | 3,149,948 | 3,149,948 | — | — | |||||||||
Energy | 7,050,542 | 7,050,542 | — | — | |||||||||
Financials | 9,061,550 | 9,061,550 | — | — | |||||||||
Health Care | 6,910,833 | 6,910,833 | — | — | |||||||||
Industrials | 6,945,255 | 6,945,255 | — | — | |||||||||
Information Technology | 10,024,770 | 10,024,770 | — | — | |||||||||
Materials | 3,206,937 | 3,206,937 | — | — | |||||||||
Telecommunications Services | 1,490,127 | 1,490,127 | — | — | |||||||||
Utilities | 2,060,531 | 2,060,531 | — | — | |||||||||
Preferred Stock | |||||||||||||
Financials | 223,755 | 223,755 | — | — | |||||||||
Short-Term Investments | 88,129,233 | — | 88,129,233 | — | |||||||||
Total | $ | 1,075,663,949 | $ | 918,970,408 | $ | 156,693,541 | $ | — | |||||
Other Financial Instruments* | $253,055 | $808,853 | ($ | 555,798 | ) | $ | — | ||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||
E-Mini MSCI EAFE Index Futures | 213 | March 2010 | $ | 16,658,924 | $ | 16,707,720 | $48,796 | |||||
Russell 2000 Index Mini-Futures | 161 | March 2010 | 9,550,963 | 10,044,790 | 493,827 | |||||||
S&P 500 Index Futures | 79 | March 2010 | 21,670,095 | 21,936,325 | 266,230 | |||||||
Total Futures Contracts | $808,853 | |||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | $ | 1,880,000 | ($170,684 | ) | ($14,945 | ) | ($185,629 | ) | ||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 470,000 | (45,372 | ) | (3,736 | ) | (49,108 | ) | |||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 1,880,000 | (185,913 | ) | (14,945 | ) | (200,858 | ) | |||||||
CDX HY, Series 12, 5 Year, at | Buy | 6/20/2014 | 940,000 | (112,731 | ) | (7,472 | ) | (120,203 | ) | |||||||
Total Credit Default Swaps | ($41,098 | ) | ($555,798 | ) | ||||||||||||
| 1 | As the buyer of protection, Moderately Conservative Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderately Conservative Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| 2 | The maximum potential amount of future payments Moderately Conservative Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The market values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the market value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The market value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
| Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 808,853 | |||
Total Equity Contracts | 808,853 | ||||
Total Asset Derivatives | $ | 808,853 | |||
| Liability Derivatives | |||||
Credit Contracts | |||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 555,798 | |||
Total Credit Contracts | 555,798 | ||||
Total Liability Derivatives | $ | 555,798 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’ variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
| Futures | Net realized gains/(losses) on Futures contracts | 23,098,053 | ||||
Total Equity Contracts | 23,098,053 | |||||
Foreign Exchange Contracts | ||||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (259 | ) | |||
Total Foreign Exchange Contracts | (259 | ) | ||||
Credit Contracts | ||||||
| Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (145,519 | ) | |||
Total Credit Contracts | (145,519 | ) | ||||
Total | $ | 22,952,275 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Equity Contracts | |||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (722,629 | ) | ||
Total Equity Contracts | (722,629 | ) | |||
Credit Contracts | |||||
| Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (555,798 | ) | ||
Total Credit Contracts | (555,798 | ) | |||
Total | ($1,278,427 | ) | |||
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 61,863,864 | 7.2 | % | N/A | N/A | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | N/A | N/A | $ | 75 | <0.1 | % | ||||||||||
Credit Contracts | N/A | N/A | $ | 1,912,335 | 0.2 | % | N/A | N/A | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Investment 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 fiscal year to date, in Moderately Conservative Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Real Estate Securities | $ | 10,895,334 | $ | 6,428,055 | $ | 302,766 | 1,764,011 | $ | 20,581,955 | $ | 680,829 | ||||||
Partner Small Cap Value | 12,043,151 | 2,904,818 | 153,538 | 1,191,160 | 18,563,033 | 126,985 | |||||||||||
Small Cap Stock | 18,025,517 | 4,224,659 | 10,172,115 | 1,475,467 | 14,943,231 | 134,161 | |||||||||||
Partner Mid Cap Value | 14,371,785 | 2,949,522 | 153,538 | 2,025,899 | 21,911,316 | 183,728 | |||||||||||
Mid Cap Stock | 29,122,644 | 5,630,601 | 12,233,703 | 3,434,570 | 33,656,035 | 172,387 | |||||||||||
Partner Worldwide | |||||||||||||||||
Allocation | 15,645,703 | 11,480,565 | 213,893 | 4,142,456 | 32,456,561 | 417,390 | |||||||||||
Partner International | |||||||||||||||||
Stock | 29,816,480 | 768,535 | — | 3,723,997 | 37,209,802 | 768,535 | |||||||||||
Large Cap Growth II | 28,289,254 | 8,949,939 | 10,446,922 | 4,621,428 | 33,851,497 | 170,199 | |||||||||||
Large Cap Value | 57,828,193 | 21,483,386 | 25,781,727 | 6,930,163 | 66,870,534 | 1,096,607 | |||||||||||
Large Cap Stock | 14,721,702 | 2,950,478 | 253,603 | 2,780,770 | 21,481,444 | 184,684 | |||||||||||
Equity Income Plus | 6,132,818 | 1,523,711 | 76,769 | 1,082,074 | 8,557,906 | 140,814 | |||||||||||
High Yield | 33,776,091 | 11,929,169 | 8,460,614 | 10,491,513 | 47,830,809 | 3,633,518 | |||||||||||
Income | 94,900,381 | 26,870,075 | 5,114,420 | 13,993,692 | 131,353,189 | 6,163,739 | |||||||||||
Limited Maturity Bond | 302,430,975 | 68,701,362 | 27,944,548 | 38,700,239 | 372,300,168 | 13,511,704 | |||||||||||
Money Market | 23,837,188 | 137,966,488 | 161,803,676 | — | — | 176,308 | |||||||||||
Total Value and Income Earned | 691,837,216 | 861,567,480 | 27,561,588 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.8%) | Value | ||||
| Communications Equipment (9.5%) | ||||||
| 50,820 | Cisco Systems, Inc.a | $ | 1,216,631 | |||
| 44,960 | Palm, Inc.a,b | 451,398 | ||||
| 27,743 | QUALCOMM, Inc. | 1,283,391 | ||||
Total Communications Equipment | 2,951,420 | |||||
| Computers & Peripherals (6.8%) | ||||||
| 9,996 | Apple, Inc.a | 2,107,757 | ||||
Total Computers & Peripherals | 2,107,757 | |||||
| Consumer Discretionary (13.7%) | ||||||
| 10,870 | Apollo Group, Inc.a | 658,505 | ||||
| 24,530 | Coinstar, Inc.a | 681,443 | ||||
| 40,420 | GameStop Corporationa,b | 886,815 | ||||
| 29,620 | Lamar Advertising Companya,b | 920,886 | ||||
| 19,540 | Netflix, Inc.a,b | 1,077,435 | ||||
Total Consumer Discretionary | 4,225,084 | |||||
| Electronic Equipment, Instruments & Components (6.6%) | ||||||
| 20,340 | Amphenol Corporation | 939,301 | ||||
| 16,430 | Dolby Laboratories, Inc.a | 784,204 | ||||
| 9,450 | DTS, Inc.a | 323,285 | ||||
Total Electronic Equipment, Instruments & Components | 2,046,790 | |||||
| Financials (2.9%) | ||||||
| 2,680 | CME Group, Inc. | 900,346 | ||||
Total Financials | 900,346 | |||||
| Industrials (6.2%) | ||||||
| 31,180 | DigitalGlobe, Inc.a | 754,556 | ||||
| 51,040 | Iron Mountain, Inc.a | 1,161,670 | ||||
Total Industrials | 1,916,226 | |||||
| Internet Software & Services (7.1%) | ||||||
| 8,890 | Equinix, Inc.a,b | 943,673 | ||||
| 2,003 | Google, Inc.a | 1,241,820 | ||||
Total Internet Software & Services | 2,185,493 | |||||
| IT Consulting & Services (8.0%) | ||||||
| 13,330 | Cognizant Technology Solutions Corporationa | 603,849 | ||||
| 20,350 | Echo Global Logistics, Inc.a,b | 258,241 | ||||
| 11,210 | Global Payments, Inc. | 603,771 | ||||
| 5,180 | Visa, Inc. | 453,043 | ||||
| 29,860 | Western Union Company | 562,861 | ||||
Total IT Consulting & Services | 2,481,765 | |||||
| Materials (1.2%) | ||||||
| 24,160 | STR Holdings, Inc.a | 379,554 | ||||
Total Materials | 379,554 | |||||
| Semiconductors & Semiconductor Equipment (11.1%) | ||||||
| 26,670 | Altera Corporation | 603,542 | ||||
| 33,320 | Broadcom Corporationa | 1,047,914 | ||||
| 17,550 | Cavium Networks, Inc.a,b | 418,217 | ||||
| 27,045 | FormFactor, Inc.a | 588,499 | ||||
| 25,520 | Linear Technology Corporation | 779,381 | ||||
Total Semiconductors & Semiconductor Equipment | 3,437,553 | |||||
| Software (18.5%) | ||||||
| 46,550 | Activision Blizzard, Inc.a | 517,170 | ||||
| 15,350 | Citrix Systems, Inc.a | 638,714 | ||||
| 59,440 | Microsoft Corporation | 1,812,326 | ||||
| 41,130 | Oracle Corporation | 1,009,330 | ||||
| 19,500 | Rovi Corporationa | 621,465 | ||||
| 5,540 | Salesforce.com, Inc.a | 408,686 | ||||
| 59,880 | Sonic Solutions, Inc.a | 708,380 | ||||
Total Software | 5,716,071 | |||||
| Telecommunications Services (7.2%) | ||||||
| 33,920 | American Tower Corporationa | 1,465,683 | ||||
| 43,880 | TW Telecom, Inc.a | 752,103 | ||||
Total Telecommunications Services | 2,217,786 | |||||
Total Common Stock (cost $23,793,214) | 30,565,845 | |||||
Collateral Held for Securities Loaned (10.8%) | ||||||
| 3,353,411 | Thrivent Financial Securities Lending Trust | 3,353,411 | ||||
Total Collateral Held for Securities Loaned (cost $3,353,411) | 3,353,411 | |||||
| Principal Amount | Short-Term Investments (1.0%)c | |||||
Federal Home Loan Bank | ||||||
| 300,000 | 0.020%, 2/1/2010 | 299,995 | ||||
Total Short-Term Investments (at amortized cost) | 299,995 | |||||
Total Investments (cost $27,446,620) 110.6% | $ | 34,219,251 | ||||
Other Assets and Liabilities, Net (10.6%) | (3,270,621 | ) | ||||
Total Net Assets 100.0% | $ | 30,948,630 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Technology Portfolio
Schedule of Investments as of December 31, 2009
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 6,835,175 | ||
Gross unrealized depreciation | (550,489 | ) | ||
Net unrealized appreciation (depreciation) | $ | 6,284,686 | ||
Cost for federal income tax purposes | $ | 27,934,565 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Technology Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Communications Equipment | 2,951,420 | 2,951,420 | — | — | ||||||||
Computers & Peripherals | 2,107,757 | 2,107,757 | — | — | ||||||||
Consumer Discretionary | 4,225,084 | 4,225,084 | — | — | ||||||||
Electronic Equipment, Instruments & Components | 2,046,790 | 2,046,790 | — | — | ||||||||
Financials | 900,346 | 900,346 | — | — | ||||||||
Industrials | 1,916,226 | 1,916,226 | — | — | ||||||||
Internet Software & Services | 2,185,493 | 2,185,493 | — | — | ||||||||
IT Consulting & Services | 2,481,765 | 2,481,765 | — | — | ||||||||
Materials | 379,554 | 379,554 | — | — | ||||||||
Semiconductors & Semiconductor Equipment | 3,437,553 | 3,437,553 | — | — | ||||||||
Software | 5,716,071 | 5,716,071 | — | — | ||||||||
Telecommunications Services | 2,217,786 | 2,217,786 | — | — | ||||||||
Collateral Held for Securities Loaned | 3,353,411 | 3,353,411 | — | — | ||||||||
Short-Term Investments | 299,995 | — | 299,995 | — | ||||||||
Total | $ | 34,219,251 | $ | 33,919,256 | $ | 299,995 | $ | — | ||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Technology Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Equity Contracts | |||||
| Futures | Net realized gains/(losses) on Futures contracts | (157,196 | ) | ||
Total Equity Contracts | (157,196 | ) | |||
Foreign Exchange Contracts | |||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (5,248 | ) | ||
Total Foreign Exchange Contracts | (5,248 | ) | |||
Total | ($162,444 | ) | |||
The following table presents Partner Technology Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||
Equity Contracts | $ | 57,193 | 0.2 | % | N/A | N/A | ||||||
Foreign Exchange Contracts | N/A | N/A | $ | 11,236 | <0.1 | % | ||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Technology Portfolio
Schedule of Investments as of December 31, 2009
Investment 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 fiscal year to date, in Partner Technology Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 1,319,500 | $ | 15,539,402 | $ | 16,858,902 | — | $ | — | $ | 5,965 | ||||||
Thrivent Financial Securities Lending Trust | 2,295,165 | 31,399,617 | 30,341,371 | 3,353,411 | 3,353,411 | 20,142 | |||||||||||
Total Value and Income Earned | 3,614,665 | 3,353,411 | 26,107 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.1%) | Value | |||
| Biotechnology (29.3%) | |||||
| 4,900 | Alexion Pharmaceuticals, Inc.a | $ | 239,218 | ||
| 11,840 | Amgen, Inc.a | 669,789 | |||
| 1,490 | Basilea Pharmaceuticaa | 92,147 | |||
| 10,743 | BioMarin Pharmaceutical, Inc.a | 202,076 | |||
| 12,100 | Celgene Corporationa | 673,728 | |||
| 10,900 | Genzyme Corporationa | 534,209 | |||
| 12,000 | Gilead Sciences, Inc.a | 519,360 | |||
| 4,700 | InterMune, Inc.a | 61,288 | |||
| 10,791 | Momenta Pharmaceuticals, Inc.a | 136,074 | |||
| 9,700 | Savient Pharmaceuticals, Inc.a | 132,017 | |||
| 5,243 | Targacept, Inc.a | 109,684 | |||
| 10,010 | United Therapeutics Corporationa | 527,026 | |||
Total Biotechnology | 3,896,616 | ||||
| Health Care Equipment (15.0%) | |||||
| 15,289 | Given Imaging, Ltd. | 266,946 | |||
| 1,400 | Intuitive Surgical, Inc.a | 424,648 | |||
| 10,300 | St. Jude Medical, Inc.a | 378,834 | |||
| 4,900 | Stryker Corporation | 246,813 | |||
| 19,482 | Thoratec Corporationa | 524,455 | |||
| 3,167 | Varian Medical Systems, Inc.a | 148,374 | |||
Total Health Care Equipment | 1,990,070 | ||||
| Health Care Supplies (1.0%) | |||||
| 7,287 | Align Technology, Inc.a | 129,854 | |||
Total Health Care Supplies | 129,854 | ||||
| Pharmaceuticals (52.8%) | |||||
| 18,500 | Abbott Laboratories | 998,815 | |||
| 6,592 | Dr. Reddy’s Laboratories, Ltd. ADR | 159,592 | |||
| 28,100 | Hikma Pharmaceuticals plc | 230,841 | |||
| 25,900 | Merck & Company, Inc. | 946,386 | |||
| 27,600 | Mylan, Inc.a | 508,668 | |||
| 5,500 | Nichi-iko Pharmaceutical Company, Ltd. | 148,123 | |||
| 17,600 | Novartis AG | 961,076 | |||
| 3,740 | Novo Nordisk A/S ADR | 238,799 | |||
| 53,100 | Pfizer, Inc. | 965,889 | |||
| 7,820 | Pharmstandard GDRa | 158,669 | |||
| 800 | Richter Gedeon Nyrt | 181,590 | |||
| 6,010 | Roche Holding AG | 1,027,737 | |||
| 3,300 | Stada Arzneimittel AG | 113,992 | |||
| 4,700 | Teva Pharmaceutical Industries, Ltd. ADR | 264,046 | |||
| 2,700 | Towa Pharmaceutical Company, Ltd. | 124,513 | |||
Total Pharmaceuticals | 7,028,736 | ||||
Total Common Stock (cost $11,542,601) | 13,045,276 | ||||
Total Investments (cost $11,542,601) 98.1% | $ | 13,045,276 | |||
Other Assets and Liabilities, Net 1.9% | 253,683 | ||||
Total Net Assets 100.0% | $ | 13,298,959 | |||
| a | Non-income producing security. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,741,836 | ||
Gross unrealized depreciation | (239,765 | ) | ||
Net unrealized appreciation (depreciation) | $ | 1,502,071 | ||
Cost for federal income tax purposes | $ | 11,543,205 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Healthcare Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Healthcare Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Biotechnology | 3,896,616 | 3,804,469 | 92,147 | — | ||||||||
Health Care Equipment | 1,990,070 | 1,990,070 | — | — | ||||||||
Health Care Supplies | 129,854 | 129,854 | — | — | ||||||||
Pharmaceuticals | 7,028,736 | 4,082,195 | 2,946,541 | — | ||||||||
Total | $ | 13,045,276 | $ | 10,006,588 | $ | 3,038,688 | $ | — | ||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Healthcare Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/ (Losses) recognized in Income | |||
Foreign Exchange Contracts | |||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (42 | ) | ||
Total Foreign Exchange Contracts | (42 | ) | |||
Total | ($42 | ) | |||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||
Foreign Exchange Contracts | $ | 6,471 | 0.1 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Healthcare Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 348,090 | $ | 5,704,858 | $ | 6,052,948 | — | $ | — | $ | 2,185 | ||||||
Total Value and Income Earned | 348,090 | — | 2,185 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (79.9%) | Value | |||
| Coal & Consumable Fuels (2.1%) | |||||
| 910 | Arch Coal, Inc. | $ | 20,247 | ||
| 2,740 | CONSOL Energy, Inc. | 136,452 | |||
| 210 | Patriot Coal Corporationa | 3,247 | |||
| 6,080 | Peabody Energy Corporation | 274,877 | |||
Total Coal & Consumable Fuels | 434,823 | ||||
| Industrials (0.7%) | |||||
| 1,450 | Aegean Marine Petroleum Network, Inc. | 39,846 | |||
| 3,000 | Saipem SPA | 103,527 | |||
Total Industrials | 143,373 | ||||
| Integrated Oil & Gas (17.9%) | |||||
| 1,910 | BP plc ADR | 110,723 | |||
| 7,940 | Chevron Corporation | 611,301 | |||
| 4,500 | Coastal Energy Companya | 22,803 | |||
| 3,870 | ConocoPhillips | 197,641 | |||
| 520 | Eni SPA ADR | 26,317 | |||
| 5,470 | Exxon Mobil Corporation | 372,999 | |||
| 3,840 | Hess Corporation | 232,320 | |||
| 1,430 | Husky Energy, Inc. | 41,127 | |||
| 7,940 | Marathon Oil Corporation | 247,887 | |||
| 4,590 | Murphy Oil Corporation | 248,778 | |||
| 6,680 | Occidental Petroleum Corporation | 543,418 | |||
| 5,370 | Petroleo Brasileiro SA ADR | 256,042 | |||
| 15,302 | Suncor Energy, Inc. | 544,399 | |||
| 5,140 | Total SA ADR | 329,165 | |||
Total Integrated Oil & Gas | 3,784,920 | ||||
| Materials (8.4%) | |||||
| 200 | Alcoa, Inc. | 3,224 | |||
| 2,840 | Aluminum Corporation of China, Ltd. ADRa | 77,390 | |||
| 2,700 | Barrick Gold Corporation | 107,029 | |||
| 4,200 | BHP Billiton, Ltd. | 160,717 | |||
| 1,130 | E.I. du Pont de Nemours and Company | 38,047 | |||
| 18,060 | Eldorado Gold Corporationa | 257,630 | |||
| 1,738 | Fibria Celulose SA ADRa | 39,696 | |||
| 2,480 | First Quantum Minerals, Ltd. | 190,310 | |||
| 5,300 | Gammon Gold, Inc.a | 58,833 | |||
| 7,180 | Goldcorp, Inc. | 283,864 | |||
| 3,700 | HudBay Minerals, Inc.a | 48,006 | |||
| 200 | Intrepid Potash, Inc.a | 5,834 | |||
| 3,000 | Newcrest Mining, Ltd. | 95,022 | |||
| 140 | Newmont Mining Corporation | 6,623 | |||
| 550 | Praxair, Inc. | 44,170 | |||
| 4,620 | Southern Copper Corporation | 152,044 | |||
| 7,040 | Vale SA SP ADR | 204,371 | |||
Total Materials | 1,772,810 | ||||
| Oil & Gas Drilling (8.1%) | |||||
| 2,580 | Diamond Offshore Drilling, Inc. | 253,924 | |||
| 5,140 | Helmerich & Payne, Inc. | 204,983 | |||
| 4,530 | Nabors Industries, Ltd.a | 99,162 | |||
| 8,590 | Noble Corporation | 349,613 | |||
| 2,540 | Pride International, Inc.a | 81,051 | |||
| 430 | Rowan Companies, Inc.a | 9,735 | |||
| 136 | Seahawk Drilling, Inc.a | 3,065 | |||
| 8,590 | Transocean, Ltd.a | 711,252 | |||
Total Oil & Gas Drilling | 1,712,785 | ||||
| Oil & Gas Equipment & Services (12.0%) | |||||
| 1,990 | Acergy SA ADR | 31,064 | |||
| 5,140 | Baker Hughes, Inc. | 208,067 | |||
| 490 | BJ Services Company | 9,114 | |||
| 10,880 | Cameron International Corporationa | 454,784 | |||
| 5,880 | Dresser-Rand Group, Inc.a | 185,867 | |||
| 1,210 | Dril-Quip, Inc.a | 68,341 | |||
| 4,100 | FMC Technologies, Inc.a | 237,144 | |||
| 10,120 | Halliburton Company | 304,511 | |||
| 11,210 | National Oilwell Varco, Inc. | 494,249 | |||
| 2,610 | Schlumberger, Ltd. | 169,885 | |||
| 2,580 | Smith International, Inc. | 70,099 | |||
| 790 | Technip SA ADR | 55,497 | |||
| 1,390 | Tesco Corporationa | 17,945 | |||
| 1,260 | Trican Well Service, Ltd. | 16,938 | |||
| 12,450 | Weatherford International, Ltd.a | 222,979 | |||
Total Oil & Gas Equipment & Services | 2,546,484 | ||||
| Oil & Gas Exploration & Production (29.4%) | |||||
| 4,680 | Anadarko Petroleum Corporation | 292,126 | |||
| 7,180 | Apache Corporation | 740,761 | |||
| 4,540 | Cabot Oil & Gas Corporation | 197,899 | |||
| 4,390 | Canadian Natural Resources, Ltd. | 318,998 | |||
| 1,260 | Carrizo Oil & Gas, Inc.a | 33,377 | |||
| 6,780 | Cenovus Energy, Inc. | 171,785 | |||
| 200 | Cimarex Energy Company | 10,594 | |||
| 1,330 | CNOOC, Ltd. ADR | 206,748 | |||
| 10,280 | Crew Energy, Inc.a | 144,288 | |||
| 1,810 | Denbury Resources, Inc.a | 26,788 | |||
| 10,270 | Devon Energy Corporation | 754,845 | |||
| 7,180 | EnCana Corporation | 234,162 | |||
| 7,750 | EOG Resources, Inc. | 754,075 | |||
| 1,750 | Forest Oil Corporationa | 38,937 | |||
| 1,200 | Iteration Energy, Ltd.a | 1,388 | |||
| 620 | Mariner Energy, Inc.a | 7,198 | |||
| 3,350 | Newfield Exploration Companya | 161,570 | |||
| 4,680 | Nexen, Inc. | 112,850 | |||
| 240 | Niko Resources, Ltd. | 22,580 | |||
| 3,980 | Noble Energy, Inc. | 283,456 | |||
| 2,130 | Pan Orient Energy Corporationa | 15,478 | |||
| 600 | Paramount Resources, Ltd.a | 8,433 | |||
| 2,197 | PetroBakken Energy, Ltd. | 67,912 | |||
| 2,000 | Pioneer Natural Resources Company | 96,340 | |||
| 7,180 | Progress Energy Resources Corporation | 97,138 | |||
| 6,490 | Range Resources Corporation | 323,526 | |||
| 3,690 | Southwestern Energy Companya | 177,858 | |||
| 30,600 | Talisman Energy, Inc. | 576,072 | |||
| 2,700 | Whiting Petroleum Corporationa | 192,969 | |||
| 2,850 | XTO Energy, Inc. | 132,610 | |||
Total Oil & Gas Exploration & Production | 6,202,761 | ||||
| Oil & Gas Refining & Marketing (0.1%) | |||||
| 1,900 | Valero Energy Corporation | 31,825 | |||
Total Oil & Gas Refining & Marketing | 31,825 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (79.9%) | Value | |||
| Oil & Gas Storage & Transportation (0.2%) | |||||
| 1,720 | Williams Companies, Inc. | $ | 36,258 | ||
Total Oil & Gas Storage & Transportation | 36,258 | ||||
| Utilities (1.0%) | |||||
| 5,050 | EQT Corporation | 221,796 | |||
Total Utilities | 221,796 | ||||
Total Common Stock (cost $16,462,778) | 16,887,835 | ||||
| Principal Amount | Short-Term Investments (18.9%)b | ||||
Federal Home Loan Bank Discount Notes | |||||
| 1,000,000 | 0.040%, 1/15/2010 | 999,985 | |||
| 1,000,000 | 0.025%, 1/22/2010 | 999,985 | |||
| 1,000,000 | 0.050%, 2/3/2010 | 999,954 | |||
Federal National Mortgage Association Discount Notes | |||||
| 1,000,000 | 0.030%, 2/4/2010 | 999,972 | |||
Total Short-Term Investments (at amortized cost) | 3,999,896 | ||||
Total Investments (cost $20,462,674) 98.8% | $ | 20,887,731 | |||
Other Assets and Liabilities, Net 1.2% | 244,111 | ||||
Total Net Assets 100.0% | $ | 21,131,842 | |||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,333,705 | ||
Gross unrealized depreciation | (910,397 | ) | ||
Net unrealized appreciation (depreciation) | $ | 423,308 | ||
Cost for federal income tax purposes | $ | 20,464,423 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Natural Resources Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Coal & Consumable Fuels | 434,823 | 434,823 | — | — | ||||||||
Industrials | 143,373 | 39,846 | 103,527 | — | ||||||||
Integrated Oil & Gas | 3,784,920 | 3,784,920 | — | — | ||||||||
Materials | 1,772,810 | 1,517,071 | 255,739 | — | ||||||||
Oil & Gas Drilling | 1,712,785 | 1,712,785 | — | — | ||||||||
Oil & Gas Equipment & Services | 2,546,484 | 2,546,484 | — | — | ||||||||
Oil & Gas Exploration & Production | 6,202,761 | 6,202,761 | — | — | ||||||||
Oil & Gas Refining & Marketing | 31,825 | 31,825 | — | — | ||||||||
Oil & Gas Storage & Transportation | 36,258 | 36,258 | — | — | ||||||||
Utilities | 221,796 | 221,796 | — | — | ||||||||
Short-Term Investments | 3,999,896 | — | 3,999,896 | — | ||||||||
Total | $ | 20,887,731 | $ | 16,528,569 | $ | 4,359,162 | $ | — | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Natural Resources Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Foreign Exchange Contracts | |||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (3,184 | ) | ||
Total Foreign Exchange Contracts | (3,184 | ) | |||
Total | ($3,184 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner Natural Resources Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Foreign Exchange Contracts | |||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 2,272 | |||
Total Foreign Exchange Contracts | 2,272 | ||||
Total | $ | 2,272 | |||
The following table presents Partner Natural Resources Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | |||
Foreign Exchange Contracts | $11,962 | 0.1 | % |
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Natural Resources Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 680,495 | $ | 12,295,253 | $ | 12,975,748 | — | $ | — | $ | 5,115 | ||||||
Total Value and Income Earned | 680,495 | — | 5,115 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.6%) | Value | |||
| Brazil (16.9%) | |||||
| 26,000 | Banco Bradesco SA ADR | $ | 568,620 | ||
| 11,300 | Lojas Renner SA | 255,078 | |||
| 8,000 | Multiplan Empreendimentos Imobiliarios SA | 149,110 | |||
| 15,000 | Petroleo Brasileiro SA ADR | 635,850 | |||
| 7,900 | Souza Cruz SA | 262,093 | |||
| 8,350 | Ultrapar Participacoes SA | 384,215 | |||
| 26,900 | Vale SA SP PREF ADR | 667,658 | |||
Total Brazil | 2,922,624 | ||||
| Chile (1.8%) | |||||
| 4,900 | Banco Santander Chile SA ADR | 317,422 | |||
Total Chile | 317,422 | ||||
| China (2.9%) | |||||
| 427,000 | PetroChina Company, Ltd. | 507,637 | |||
Total China | 507,637 | ||||
| Hong Kong (9.2%) | |||||
| 75,500 | China Mobile, Ltd. | 702,490 | |||
| 92,000 | Hang Lung Group, Ltd. | 454,987 | |||
| 30,000 | Swire Pacific, Ltd., Class A | 362,801 | |||
| 40,000 | Swire Pacific, Ltd., Class B | 87,486 | |||
Total Hong Kong | 1,607,764 | ||||
| Hungary (3.0%) | |||||
| 2,300 | Richter Gedeon Nyrt | 522,071 | |||
Total Hungary | 522,071 | ||||
| India (12.3%) | |||||
| 24,000 | Bharti Airtel, Ltd. | 169,578 | |||
| 4,900 | GlaxoSmithKline Pharmaceuticals, Ltd. | 168,739 | |||
| 1,997 | Grasim Industries, Ltd. | 106,122 | |||
| 3,250 | Grasim Industries, Ltd. GDR | 173,225 | |||
| 7,900 | Hero Honda Motors, Ltd. | 290,568 | |||
| 27,500 | Hindustan Unilever, Ltd. | 155,858 | |||
| 7,240 | Housing Development Finance Corporation | 414,237 | |||
| 5,000 | ICICI Bank, Ltd. ADR | 188,550 | |||
| 4,450 | Infosys Technologies, Ltd. | 247,665 | |||
| 3,900 | Infosys Technologies, Ltd. ADR | 215,553 | |||
Total India | 2,130,095 | ||||
| Indonesia (2.2%) | |||||
| 105,000 | PT Astra International Tbk | 386,021 | |||
Total Indonesia | 386,021 | ||||
| Israel (3.8%) | |||||
| 8,200 | Check Point Software Technologies, Ltd.a | 277,816 | |||
| 6,850 | Teva Pharmaceutical Industries, Ltd. ADR | 384,833 | |||
Total Israel | 662,649 | ||||
| Luxembourg (2.1%) | |||||
| 8,600 | Tenaris SA ADR | 366,790 | |||
Total Luxembourg | 366,790 | ||||
| Malaysia (3.0%) | |||||
| 80,000 | CIMB Group Holdings Berhad | 299,367 | |||
| 66,500 | Public Bank Berhad | 218,595 | |||
Total Malaysia | 517,962 | ||||
| Mexico (7.8%) | |||||
| 115,000 | Consorcio ARA SAB de CVa | 79,995 | |||
| 10,200 | Fomento Economico Mexicano SAB de CV ADR | 488,376 | |||
| 4,400 | Grupo Aeroportuario del Sureste SAB de CV ADR | 227,964 | |||
| 108,000 | Grupo Financiero Banorte SAB de CV ADR | 389,500 | |||
| 78,300 | Organizacion Soriana SAB de CVa | 195,421 | |||
Total Mexico | 1,381,256 | ||||
| Philippines (1.8%) | |||||
| 650,000 | Ayala Land, Inc. | 157,087 | |||
| 160,000 | Bank of the Philippine Islands | 165,252 | |||
Total Philippines | 322,339 | ||||
| Russia (2.7%) | |||||
| 8,400 | LUKOIL ADR | 476,003 | |||
Total Russia | 476,003 | ||||
| South Africa (5.0%) | |||||
| 43,025 | Massmart Holdings, Ltd. | 520,941 | |||
| 59,800 | Truworths International, Ltd. | 351,454 | |||
Total South Africa | 872,395 | ||||
| South Korea (5.8%) | |||||
| 4,001 | Busan Banka | 47,738 | |||
| 760 | Samsung Electronics Company, Ltd. | 342,565 | |||
| 1,570 | Samsung Electronics Company, Ltd. GDRb | 347,697 | |||
| 570 | Shinsegae Company, Ltd.a | 263,277 | |||
Total South Korea | 1,001,277 | ||||
| Taiwan (4.2%) | |||||
| 107,000 | Taiwan Mobile Company, Ltd. | 208,596 | |||
| 254,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 512,936 | |||
Total Taiwan | 721,532 | ||||
| Thailand (4.5%) | |||||
| 83,300 | PTT Exploration & Production pcl | 367,491 | |||
| 59,000 | Siam Cement pcl | 422,268 | |||
Total Thailand | 789,759 | ||||
| Turkey (4.3%) | |||||
| 80,000 | Akbank TAS | 509,035 | |||
| 5,330 | BIM Birlesik Magazalar AS | 247,863 | |||
Total Turkey | 756,898 | ||||
| United Kingdom (2.3%) | |||||
| 15,807 | Standard Chartered plc | 399,074 | |||
Total United Kingdom | 399,074 | ||||
Total Common Stock (cost $15,860,220) | 16,661,568 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Short-Term Investments (3.5%)c | Value | |||
Federal Home Loan Bank Discount Notes | |||||
| 500,000 | 0.020%, 2/2/2010 | $ | 499,991 | ||
Federal National Mortgage Association Discount Notes | |||||
| 100,000 | 0.010%, 2/1/2010 | 99,999 | |||
Total Short-Term Investments (at amortized cost) | 599,990 | ||||
Total Investments (cost $16,460,210) 99.1% | $ | 17,261,558 | |||
Other Assets and Liabilities, Net 0.9% | 165,327 | ||||
Total Net Assets 100.0% | $ | 17,426,885 | |||
| a | Non-income producing security. |
| b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $347,697 or 2.0% of total net assets. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,410,265 | ||
Gross unrealized depreciation | (627,653 | ) | ||
Net unrealized appreciation (depreciation) | $ | 782,612 | ||
Cost for federal income tax purposes | $ | 16,478,946 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Emerging Markets Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 1,821,814 | 255,078 | 1,566,736 | — | ||||||||
Consumer Staples | 1,675,131 | 750,469 | 924,662 | — | ||||||||
Energy | 2,737,986 | 1,386,855 | 1,351,131 | — | ||||||||
Financials | 4,129,464 | 1,074,592 | 3,054,872 | — | ||||||||
Health Care | 1,075,643 | 384,833 | 690,810 | — | ||||||||
Industrials | 1,528,976 | 377,074 | 1,151,902 | — | ||||||||
Information Technology | 1,944,232 | 493,369 | 1,450,863 | — | ||||||||
Materials | 667,658 | 667,658 | — | — | ||||||||
Telecommunications Services | 1,080,664 | — | 1,080,664 | — | ||||||||
Short-Term Investments | 599,990 | — | 599,990 | — | ||||||||
Total | $ | 17,261,558 | $ | 5,389,928 | $ | 11,871,630 | $ | — | ||||
Other Financial Instruments* | $ | 429 | $ | 429 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2009
Foreign Currency Forward Contracts | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | |||||||||
| Purchases | ||||||||||||||
British Pound | 15,914 | 1/4/2010 | $ | 25,286 | $ | 25,705 | $ | 419 | ||||||
Malaysian Ringgit | 67,882 | 1/4/2010 | 19,812 | 19,825 | 13 | |||||||||
Thai Baht | 291,600 | 1/4/2010 | 8,749 | 8,746 | (3 | ) | ||||||||
| Total Foreign Currency | ||||||||||||||
Forward Contracts Purchases | $ | 53,847 | $ | 54,276 | $ | 429 | ||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 429 | ||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Partner Emerging Markets Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 432 | |||
Total Foreign Exchange Contracts | 432 | ||||
Total Asset Derivatives | $ | 432 | |||
| Liability Derivatives | |||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 3 | |||
Total Foreign Exchange Contracts | 3 | ||||
Total Liability Derivatives | $ | 3 | |||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Emerging Markets Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Foreign Exchange Contracts | |||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (8,554 | ) | ||
Total Foreign Exchange Contracts | (8,554 | ) | |||
Total | ($8,554 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner Emerging Markets Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Foreign Exchange Contracts | |||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 429 | |||
Total Foreign Exchange Contracts | 429 | ||||
Total | $ | 429 | |||
The following table presents Partner Emerging Markets Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||
Foreign Exchange Contracts | $ | 14,225 | 0.2 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2009
Investment 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 fiscal year to date, in Partner Emerging Markets Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 71,414 | $ | 3,827,993 | $ | 3,899,407 | — | $ | — | $ | 380 | ||||||
Total Value and Income Earned | 71,414 | — | 380 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2009
Shares | Common Stock (96.6%) | Value | |||
Diversified REITS (7.1%) | |||||
| 34,565 | Colonial Properties Trust | $ | 405,447 | ||
| 8,520 | Cousins Properties, Inc. | 65,008 | |||
| 113,295 | Liberty Property Trust | 3,626,573 | |||
| 15,500 | PS Business Parks, Inc. | 775,775 | |||
| 187,675 | Vornado Realty Trusta | 13,125,989 | |||
| 32,920 | Washington Real Estate Investment Trust | 906,946 | |||
Total Diversified REITS | 18,905,738 | ||||
| Financials (6.9%) | |||||
| 287,541 | iShares Dow Jones U.S. Real Estate Index Funda | 13,203,883 | |||
| 112,988 | Vanguard REIT ETFa | 5,055,083 | |||
Total Financials | 18,258,966 | ||||
| Hotels, Resorts & Cruise Lines (0.6%) | |||||
| 3,000 | Hyatt Hotels Corporationb | 89,430 | |||
| 41,821 | Starwood Hotels & Resorts Worldwide, Inc. | 1,529,394 | |||
Total Hotels, Resorts & Cruise Lines | 1,618,824 | ||||
| Industrial REITS (4.8%) | |||||
| 155,024 | AMB Property Corporation | 3,960,863 | |||
| 221,353 | DCT Industrial Trust, Inc. | 1,111,192 | |||
| 26,775 | DuPont Fabros Technology, Inc. | 481,682 | |||
| 27,000 | EastGroup Properties, Inc. | 1,033,560 | |||
| 20,000 | First Potomac Realty Trust | 251,400 | |||
| 429,085 | ProLogis | 5,874,174 | |||
Total Industrial REITS | 12,712,871 | ||||
| Mortgage REITS (0.3%) | |||||
| 25,613 | Annaly Capital Management, Inc. | 444,385 | |||
| 13,000 | Anworth Mortgage Asset Corporation | 91,000 | |||
| 22,500 | MFA Mortgage Investments, Inc. | 165,375 | |||
Total Mortgage REITS | 700,760 | ||||
| Office REITS (16.3%) | |||||
| 55,450 | Alexandria Real Estate Equities, Inc.a | 3,564,881 | |||
| 93,317 | BioMed Realty Trust, Inc. | 1,472,542 | |||
| 170,500 | Boston Properties, Inc. | 11,435,435 | |||
| 161,940 | Brandywine Realty Trust | 1,846,116 | |||
| 76,905 | Corporate Office Properties Trust | 2,817,030 | |||
| 124,575 | Digital Realty Trust, Inc.a | 6,263,631 | |||
| 131,000 | Douglas Emmett, Inc. | 1,866,750 | |||
| 181,100 | Duke Realty Corporation | 2,203,987 | |||
| 68,300 | Highwoods Properties, Inc. | 2,277,805 | |||
| 56,660 | HRPT Properties Trust | 366,590 | |||
| 55,745 | Kilroy Realty Corporationa | 1,709,699 | |||
| 84,475 | Mack-Cali Realty Corporation | 2,920,301 | |||
| 2,000 | Parkway Properties, Inc. | 41,640 | |||
| 87,499 | SL Green Realty Corporationa | 4,395,950 | |||
Total Office REITS | 43,182,357 | ||||
| Real Estate Operating Companies (0.8%) | |||||
| 125,000 | Brookfield Properties Corporation | 1,515,000 | |||
| 59,840 | Forest City Enterprises, Inc.b | 704,915 | |||
Total Real Estate Operating Companies | 2,219,915 | ||||
| Residential REITS (15.0%) | |||||
| 71,450 | American Campus Communities, Inc. | 2,007,745 | |||
| 128,803 | Apartment Investment & Management Companya | 2,050,544 | |||
| 98,840 | AvalonBay Communities, Inc.a | 8,115,752 | |||
| 52,077 | BRE Properties, Inc. | 1,722,707 | |||
| 81,460 | Camden Property Trust | 3,451,460 | |||
| 21,000 | Education Realty Trust, Inc. | 101,640 | |||
| 45,215 | Equity Lifestyle Properties, Inc. | 2,282,001 | |||
| 295,166 | Equity Residential REIT | 9,970,708 | |||
| 44,000 | Essex Property Trust, Inc.a | 3,680,600 | |||
| 37,000 | Home Properties, Inc.a | 1,765,270 | |||
| 32,812 | Mid-America Apartment Communities, Inc. | 1,584,163 | |||
| 47,076 | Post Properties, Inc. | 922,690 | |||
| 124,831 | UDR, Inc. | 2,052,222 | |||
Total Residential REITS | 39,707,502 | ||||
| Retail REITS (21.8%) | |||||
| 50,678 | Acadia Realty Trust | 854,938 | |||
| 112,480 | CBL & Associates Properties, Inc.a | 1,087,682 | |||
| 83,560 | Developers Diversified Realty Corporationa | 773,765 | |||
| 27,781 | Equity One, Inc.a | 449,219 | |||
| 91,620 | Federal Realty Investment Trusta | 6,204,506 | |||
| 43,100 | Inland Real Estate Corporation | 351,265 | |||
| 336,200 | Kimco Realty Corporationa | 4,548,786 | |||
| 35,900 | Kite Realty Group Trust | 146,113 | |||
| 127,087 | Macerich Companya | 4,568,778 | |||
| 89,000 | National Retail Properties, Inc. | 1,888,580 | |||
| 14,016 | Ramco-Gershenson Properties Trust | 133,713 | |||
| 36,325 | Realty Income Corporationa | 941,181 | |||
| 117,800 | Regency Centers Corporationa | 4,130,068 | |||
| 8,500 | Saul Centers, Inc. | 278,460 | |||
| 324,990 | Simon Property Group, Inc. | 25,934,202 | |||
| 50,651 | Tanger Factory Outlet Centers, Inc.a | 1,974,882 | |||
| 63,000 | Taubman Centers, Inc.a | 2,262,330 | |||
| 70,900 | Weingarten Realty Investorsa | 1,403,111 | |||
Total Retail REITS | 57,931,579 | ||||
| Specialized REITS (23.0%) | |||||
| 81,098 | DiamondRock Hospitality Company | 686,900 | |||
| 35,436 | Entertainment Properties Trust | 1,249,828 | |||
| 103,100 | Extra Space Storage, Inc. | 1,190,805 | |||
| 291,279 | Health Care Property Investors, Inc. | 8,895,660 | |||
| 113,124 | Health Care REIT, Inc. | 5,013,656 | |||
| 48,875 | Healthcare Realty Trust, Inc. | 1,048,857 | |||
| 67,755 | Hospitality Properties Trust | 1,606,471 | |||
| 578,904 | Host Hotels & Resorts, Inc.b | 6,755,810 | |||
| 52,938 | LaSalle Hotel Properties | 1,123,874 | |||
| 12,300 | LTC Properties, Inc. | 329,025 | |||
| 22,813 | Medical Properties Trust, Inc.a | 228,130 | |||
| 127,625 | Nationwide Health Properties, Inc. | 4,489,847 | |||
| 69,200 | Omega Healthcare Investors, Inc. | 1,345,940 | |||
| 5,800 | Pebblebrook Hotel Trustb | 127,658 | |||
| 45,609 | Plum Creek Timber Company, Inc.a | 1,722,196 | |||
| 150,340 | Public Storage, Inc. | 12,245,193 | |||
| 15,000 | Rayonier, Inc. REIT | 632,400 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (96.6%) | Value | ||||
Specialized REITS (23.0%) - continued | ||||||
| 8,200 | Resource Capital Corporation | $ | 40,344 | |||
| 122,356 | Senior Housing Property Trust | 2,675,926 | ||||
| 9,700 | Sovran Self Storage, Inc. | 346,581 | ||||
| 68,000 | Sunstone Hotel Investors, Inc.b | 603,840 | ||||
| 46,075 | U-Store-It Trust | 337,269 | ||||
| 192,659 | Ventas, Inc. | 8,426,905 | ||||
Total Specialized REITS | 61,123,115 | |||||
Total Common Stock (cost $288,740,103) | 256,361,627 | |||||
| Principal Amount | Long-Term Fixed Income (0.3%) | |||||
| Asset-Backed Securities (0.1%) | ||||||
Residential Funding Mortgage Securities | ||||||
| 175,999 | 4.470%, 7/25/2018c | 168,223 | ||||
Total Asset-Backed Securities | 168,223 | |||||
| Collateralized Mortgage Obligations (0.2%) | ||||||
Countrywide Home Loans, Inc. | ||||||
| 223,345 | 5.447%, 3/20/2036 | 210,147 | ||||
Deutsche Alt-A Securities, Inc. | ||||||
| 227,644 | 5.888%, 6/25/2036 | 214,908 | ||||
Impac Secured Assets Corporation | ||||||
| 178,657 | 0.341%, 1/25/2010d | 69,007 | ||||
J.P. Morgan Alternative Loan Trust | ||||||
| 175,255 | 0.311%, 1/25/2010d | 168,717 | ||||
Total Collateralized Mortgage Obligations | 662,779 | |||||
Total Long-Term Fixed Income (cost $912,285) | 831,002 | |||||
| Shares | Collateral Held for Securities Loaned (29.6%) | |||||
| 78,496,425 | Thrivent Financial Securities Lending Trust | 78,496,425 | ||||
Total Collateral Held for Securities Loaned (cost $78,496,425) | 78,496,425 | |||||
| Principal Amount | Short-Term Investments (3.0%)e | |||||
| 2,300,000 | Federal Home Loan Bank Discount Notes 0.040%, 1/22/2010 | 2,299,946 | ||||
| 5,700,000 | Federal National Mortgage Association Discount Notes 0.020%, 2/1/2010 | 5,699,904 | ||||
Total Short-Term Investments (at amortized cost) | 7,999,850 | |||||
Total Investments (cost $376,148,663) 129.5% | $ | 343,688,904 | ||||
Other Assets and Liabilities, Net (29.5%) | (78,286,199 | ) | ||||
Total Net Assets 100.0% | $ | 265,402,705 | ||||
| a | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| b | Non-income producing security. |
| c | All or a portion of the security is insured or guaranteed. |
| d | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| e | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| REIT | - | Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets. | ||
| ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation) | ||||
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 18,306,404 | ||
Gross unrealized depreciation | (51,340,653 | ) | ||
Net unrealized appreciation (depreciation) | $ | (33,034,249 | ) | |
Cost for federal income tax purposes | $ | 376,723,153 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Real Estate Securities Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Diversified REITS | 18,905,738 | 18,905,738 | — | — | ||||||||
Financials | 18,258,966 | 18,258,966 | — | — | ||||||||
Hotels, Resorts & Cruise Lines | 1,618,824 | 1,618,824 | — | — | ||||||||
Industrial REITS | 12,712,871 | 12,712,871 | — | — | ||||||||
Mortgage REITS | 700,760 | 700,760 | — | — | ||||||||
Office REITS | 43,182,357 | 43,182,357 | — | — | ||||||||
Real Estate Operating Companies | 2,219,915 | 2,219,915 | — | — | ||||||||
Residential REITS | 39,707,502 | 39,707,502 | — | — | ||||||||
Retail REITS | 57,931,579 | 57,931,579 | — | — | ||||||||
Specialized REITS | 61,123,115 | 61,123,115 | — | — | ||||||||
Long-Term Fixed Income | ||||||||||||
Asset-Backed Securities | 168,223 | — | 168,223 | — | ||||||||
Collateralized Mortgage Obligations | 662,779 | — | 662,779 | — | ||||||||
Collateral Held for Securities Loaned | 78,496,425 | 78,496,425 | — | — | ||||||||
Short-Term Investments | 7,999,850 | — | 7,999,850 | — | ||||||||
Total | $ | 343,688,904 | $ | 334,858,052 | $ | 8,830,852 | $ | — | ||||
Investment 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 fiscal year to date, in Real Estate Securities Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 6,360,905 | $ | 26,369,913 | $ | 32,730,818 | — | $ | — | $ | 21,234 | ||||||
Thrivent Financial Securities Lending Trust | 28,447,323 | 364,512,191 | 314,463,089 | 78,496,425 | 78,496,425 | 179,843 | |||||||||||
Total Value and Income Earned | 34,808,228 | 78,496,425 | 201,077 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (94.9%) | Value | |||
| Consumer Discretionary (0.3%) | |||||
| 700 | Vivendi | $ | 20,775 | ||
Total Consumer Discretionary | 20,775 | ||||
| Electric Utilities (35.4%) | |||||
| 2,700 | AES Tiete SA | 31,017 | |||
| 2,600 | Allegheny Energy, Inc. | 61,048 | |||
| 6,200 | American Electric Power Company, Inc. | 215,698 | |||
| 300 | CEZ | 14,086 | |||
| 2,875 | Companhia Energetica de Minas Gerais ADR | 51,922 | |||
| 400 | CPFL Energia SA ADR | 24,712 | |||
| 3,500 | DPL, Inc. | 96,600 | |||
| 7,900 | Duke Energy Corporation | 135,959 | |||
| 1,600 | E.ON AG | 67,155 | |||
| 2,700 | Edison International, Inc. | 93,906 | |||
| 1,400 | EDP - Energias do Brasil SA | 26,979 | |||
| 2,600 | Entergy Corporation | 212,784 | |||
| 1,500 | Exelon Corporation | 73,305 | |||
| 3,000 | FirstEnergy Corporation | 139,350 | |||
| 800 | Fortum Oyj | 21,703 | |||
| 5,200 | FPL Group, Inc. | 274,664 | |||
| 2,600 | ITC Holdings Corporation | 135,434 | |||
| 2,000 | Northeast Utilities | 51,580 | |||
| 2,200 | NV Energy, Inc. | 27,236 | |||
| 5,500 | PPL Corporation | 177,705 | |||
| 1,300 | Progress Energy, Inc. | 53,313 | |||
| 6,970 | Southern Company | 232,240 | |||
| 1,800 | Westar Energy, Inc. | 39,114 | |||
Total Electric Utilities | 2,257,510 | ||||
| Energy (6.3%) | |||||
| 700 | Cabot Oil & Gas Corporation | 30,513 | |||
| 700 | Devon Energy Corporation | 51,450 | |||
| 400 | EOG Resources, Inc. | 38,920 | |||
| 1,245 | GDF Suez | 53,932 | |||
| 1,000 | Petrohawk Energy Corporationa | 23,990 | |||
| 400 | Range Resources Corporation | 19,940 | |||
| 200 | RWE AG | 19,408 | |||
| 800 | Southwestern Energy Companya | 38,560 | |||
| 1,900 | Spectra Energy Corporation | 38,969 | |||
| 1,700 | Talisman Energy, Inc | 31,688 | |||
| 2,600 | Williams Companies, Inc. | 54,808 | |||
Total Energy | 402,178 | ||||
| Gas Utilities (4.4%) | |||||
| 1,400 | Energen Corporation | 65,520 | |||
| 1,200 | EQT Corporation | 52,704 | |||
| 1,000 | New Jersey Resources Corporation | 37,400 | |||
| 2,600 | Questar Corporation | 108,082 | |||
| 800 | UGI Corporation | 19,352 | |||
Total Gas Utilities | 283,058 | ||||
| Independent Power Producers & Energy Traders (7.0%) | |||||
| 4,000 | AES Corporationa | 53,240 | |||
| 4,000 | Constellation Energy Group, Inc. | 140,680 | |||
| 6,400 | International Power plc | 31,892 | |||
| 8,200 | NRG Energy, Inc.a | 193,602 | |||
| 700 | Ormat Technologies, Inc. | 26,488 | |||
Total Independent Power Producers & Energy Traders | 445,902 | ||||
| Industrials (2.4%) | |||||
| 300 | Bouygues SA | 15,539 | |||
| 5,500 | Iberdrola SA | 52,702 | |||
| 1,400 | Quanta Services, Inc.a | 29,176 | |||
| 2,000 | Tetra Tech, Inc.a | 54,340 | |||
Total Industrials | 151,757 | ||||
| Information Technology (0.3%) | |||||
| 200 | Equinix, Inc.a | 21,230 | |||
Total Information Technology | 21,230 | ||||
| Integrated Telecommunication Services (14.4%) | |||||
| 7,900 | AT&T, Inc. | 221,437 | |||
| 1,900 | BCE, Inc. | 52,459 | |||
| 7,200 | BT Group plc | 15,681 | |||
| 5,900 | Cable & Wireless plc | 13,422 | |||
| 700 | CenturyTel, Inc. | 25,347 | |||
| 1,700 | Deutsche Telekom AG | 24,938 | |||
| 1,500 | France Telecom SA | 37,481 | |||
| 1,400 | Koninklijke (Royal) KPN NV | 23,795 | |||
| 17,600 | Qwest Communications International, Inc. | 74,096 | |||
| 100 | Swisscom AG | 38,189 | |||
| 4,400 | Telefonica SA | 123,146 | |||
| 7,200 | Verizon Communications, Inc. | 238,536 | |||
| 2,600 | Windstream Corporation | 28,574 | |||
Total Integrated Telecommunication Services | 917,101 | ||||
| Multi-Utilities (15.4%) | |||||
| 1,900 | CenterPoint Energy, Inc. | 27,569 | |||
| 800 | CMS Energy Corporation | 12,528 | |||
| 2,000 | Consolidated Edison, Inc. | 90,860 | |||
| 5,700 | Dominion Resources, Inc. | 221,844 | |||
| 1,400 | National Grid plc | 15,281 | |||
| 1,200 | NSTAR | 44,160 | |||
| 3,300 | PG&E Corporation | 147,345 | |||
| 6,500 | Public Service Enterprise Group, Inc. | 216,125 | |||
| 1,700 | Sempra Energy | 95,166 | |||
| 1,400 | Wisconsin Energy Corporation | 69,762 | |||
| 1,800 | Xcel Energy, Inc. | 38,214 | |||
Total Multi-Utilities | 978,854 | ||||
| Water Utilities (2.5%) | |||||
| 100 | American States Water Company | 3,541 | |||
| 2,400 | American Water Works Company, Inc. | 53,784 | |||
| 2,000 | Aqua America, Inc. | 35,020 | |||
| 700 | California Water Service Group | 25,774 | |||
| 2,200 | Companhia de Saneamento de Minas Gerais | 42,016 | |||
Total Water Utilities | 160,135 | ||||
| Wireless Telecommunication Services (6.5%) | |||||
| 1,500 | America Movil SA de CV ADR | 70,470 | |||
| 800 | American Tower Corporationa | 34,568 | |||
| 800 | Cellcom Israel, Ltd. | 25,648 | |||
| 1,300 | Crown Castle International | ||||
Corporationa | 50,752 | ||||
| 2,900 | MetroPCS Communications, Inc.a | 22,127 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Utilities Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (94.9%) | Value | |||
Wireless Telecommunication Services (6.5%) - continued | |||||
| 400 | Millicom International Cellular SA | $ | 29,508 | ||
| 500 | NII Holdings, Inc.a | 16,790 | |||
| 2,300 | SBA Communications Corporationa | 78,568 | |||
| 500 | Vivo Participacoes SA ADR | 15,500 | |||
| 3,000 | Vodafone Group plc ADR | 69,270 | |||
Total Wireless Telecommunication Services | 413,201 | ||||
Total Common Stock (cost $6,370,995) | 6,051,701 | ||||
| Principal Amount | Short-Term Investments (1.6%)b | ||||
| 100,000 | Federal National Mortgage Association Discount Notes 0.010%, 2/1/2010 | 99,999 | |||
Total Short-Term Investments (at amortized cost) | 99,999 | ||||
Total Investments (cost $6,470,994) 96.5% | $ | 6,151,700 | |||
Other Assets and Liabilities, | |||||
Net 3.5% | 224,586 | ||||
Total Net Assets 100.0% | $ | 6,376,286 | |||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
| Unrealized Appreciation (Depreciation) | ||||
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 337,073 | ||
Gross unrealized depreciation | (665,466 | ) | ||
Net unrealized appreciation (depreciation) | $ | (328,393 | ) | |
Cost for federal income tax purposes | $ | 6,480,093 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Utilities Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 20,775 | — | 20,775 | — | ||||||||
Electric Utilities | 2,257,510 | 2,154,566 | 102,944 | — | ||||||||
Energy | 402,178 | 328,838 | 73,340 | — | ||||||||
Gas Utilities | 283,058 | 283,058 | — | — | ||||||||
Independent Power Producers & Energy | ||||||||||||
Traders | 445,902 | 414,010 | 31,892 | — | ||||||||
Industrials | 151,757 | 83,516 | 68,241 | — | ||||||||
Information Technology | 21,230 | 21,230 | — | — | ||||||||
Integrated Telecommunication Services | 917,101 | 640,449 | 276,652 | — | ||||||||
Multi-Utilities | 978,854 | 963,573 | 15,281 | — | ||||||||
Water Utilities | 160,135 | 160,135 | — | — | ||||||||
Wireless Telecommunication Services | 413,201 | 413,201 | — | — | ||||||||
Short-Term Investments | 99,999 | — | 99,999 | — | ||||||||
Total | $ | 6,151,700 | $ | 5,462,576 | $ | 689,124 | $ | — | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Utilities Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Utilities Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (3,466 | ) | |||
Total Foreign Exchange Contracts | (3,466 | ) | ||||
Total | ($ | 3,466 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner Utilities Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Foreign Exchange Contracts | |||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 55 | |||
Total Foreign Exchange Contracts | 55 | ||||
Total | $ | 55 | |||
The following table presents Partner Utilities Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||
Foreign Exchange Contracts | $ | 3,563 | 0.1 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Utilities Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 562,032 | $ | 2,399,709 | $ | 2,961,741 | — | $ | — | $ | 1,501 | ||||||
Total Value and Income Earned | 562,032 | — | 1,501 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.8%) | Value | |||
| Consumer Discretionary (16.1%) | |||||
| 14,300 | 7 Days Group Holdings, Ltd. ADRa | $ | 178,464 | ||
| 13,620 | AnnTaylor Stores Corporationa | 185,777 | |||
| 131,550 | ArvinMeritor, Inc.a | 1,470,729 | |||
| 11,530 | Boyd Gaming Corporationa | 96,506 | |||
| 16,340 | California Pizza Kitchen, Inc.a | 219,773 | |||
| 14,380 | Capella Education Companya,b | 1,082,814 | |||
| 20,570 | Chico’s FAS, Inc.a | 289,008 | |||
| 13,200 | Citi Trends, Inc.a | 364,584 | |||
| 110,610 | Coldwater Creek, Inc.a | 493,321 | |||
| 15,480 | Cooper Tire & Rubber Company | 310,374 | |||
| 4,570 | Cracker Barrel Old Country Store, Inc. | 173,614 | |||
| 204,830 | Crocs, Inc.a,b | 1,177,772 | |||
| 14,950 | Deckers Outdoor Corporationa | 1,520,714 | |||
| 42,880 | DineEquity, Inc.a,b | 1,041,555 | |||
| 130,920 | Finish Line, Inc. | 1,643,046 | |||
| 55,150 | Fuqi International, Inc.a,b | 989,942 | |||
| 51,402 | Gaylord Entertainment Companya | 1,015,190 | |||
| 7,300 | Genesco, Inc.a | 200,458 | |||
| 8,360 | G-III Apparel Group, Ltd.a | 181,161 | |||
| 13,430 | Imax Corporationa | 178,619 | |||
| 34,860 | J. Crew Group, Inc.a | 1,559,636 | |||
| 5,350 | Joseph A. Bank Clothiers, Inc.a | 225,717 | |||
| 129,000 | Orient-Express Hotels, Ltd.a | 1,308,060 | |||
| 41,080 | Ryland Group, Inc. | 809,276 | |||
| 205,660 | Saks, Inc.a,b | 1,349,130 | |||
| 6,510 | Skechers USA, Inc.a | 191,459 | |||
| 46,920 | Tempur-Pedic International, Inc.a | 1,108,720 | |||
| 116,570 | Texas Roadhouse, Inc.a | 1,309,081 | |||
| 68,150 | True Religion Apparel, Inc.a,b | 1,260,094 | |||
| 25,820 | Tupperware Brands Corporation | 1,202,437 | |||
| 8,780 | Vitacost.com, Inc.a | 91,488 | |||
| 36,700 | Warnaco Group, Inc.a | 1,548,373 | |||
| 27,540 | WMS Industries, Inc.a | 1,101,600 | |||
Total Consumer Discretionary | 25,878,492 | ||||
| Consumer Staples (3.0%) | |||||
| 35,810 | Central European Distribution Corporationa | 1,017,362 | |||
| 11,140 | Chattem, Inc.a,b | 1,039,362 | |||
| 4,280 | Green Mountain Coffee Roasters, Inc.a,b | 348,692 | |||
| 22,260 | Lance, Inc. | 585,438 | |||
| 8,830 | TreeHouse Foods, Inc.a | 343,134 | |||
| 56,880 | United Natural Foods, Inc.a | 1,520,971 | |||
Total Consumer Staples | 4,854,959 | ||||
| Energy (3.2%) | |||||
| 33,620 | Arena Resources, Inc.a | 1,450,031 | |||
| 19,010 | Brigham Exploration Companya | 257,585 | |||
| 9,910 | Carrizo Oil & Gas, Inc.a | 262,516 | |||
| 197,083 | Key Energy Services, Inc.a | 1,732,360 | |||
| 14,860 | Penn Virginia Corporation | 316,369 | |||
| 37,750 | Swift Energy Companya | 904,490 | |||
| 10,720 | Willbros Group, Inc.a | 180,846 | |||
Total Energy | 5,104,197 | ||||
| Financials (5.4%) | |||||
| 14,370 | American Physicians Capital, Inc. | 435,698 | |||
| 45,190 | Artio Global Investors, Inc.a | 1,151,893 | |||
| 38,070 | Bank of the Ozarks, Inc.b | 1,114,309 | |||
| 70,460 | Broadpoint Gleacher Securities, Inc.a,b | 314,252 | |||
| 44,290 | E-House China Holdings, Ltd. ADSa,b | 802,535 | |||
| 4,820 | IBERIABANK Corporation | 259,364 | |||
| 91,950 | MF Global Holdings, Ltd.a | 639,052 | |||
| 66,400 | National Financial Partnersa | 537,176 | |||
| 14,190 | ProAssurance Corporationa | 762,145 | |||
| 67,550 | Radian Group, Inc. | 493,791 | |||
| 19,830 | Stifel Financial Corporationa | 1,174,729 | |||
| 23,420 | Tanger Factory Outlet Centers, Inc. | 913,146 | |||
| 8,440 | Umpqua Holdings Corporation | 113,180 | |||
Total Financials | 8,711,270 | ||||
| Health Care (22.9%) | |||||
| 57,050 | Acorda Therapeutics, Inc.a | 1,438,801 | |||
| 11,450 | Air Methods Corporationa | 384,949 | |||
| 6,330 | Alexion Pharmaceuticals, Inc.a | 309,031 | |||
| 64,140 | Align Technology, Inc.a | 1,142,975 | |||
| 60,050 | AMERIGROUP Corporationa | 1,618,948 | |||
| 23,610 | Auxilium Pharmaceuticals, Inc.a | 707,828 | |||
| 2,270 | Bio-Reference Laboratories, Inc.a | 88,961 | |||
| 7,660 | Catalyst Health Solutions, Inc.a | 279,360 | |||
| 31,840 | Emergency Medical Services Corporationa | 1,724,136 | |||
| 73,190 | ev3, Inc.a | 976,354 | |||
| 8,120 | Facet Biotech Corporationa | 142,750 | |||
| 12,560 | Haemonetics Corporationa | 692,684 | |||
| 68,880 | Healthsouth Corporationa,b | 1,292,878 | |||
| 4,080 | HMS Holding Corporationa | 198,655 | |||
| 68,920 | Human Genome Sciences, Inc.a | 2,108,952 | |||
| 37,960 | ICON plc ADRa | 824,871 | |||
| 49,270 | Immucor, Inc.a | 997,225 | |||
| 95,380 | Impax Laboratories, Inc.a | 1,297,168 | |||
| 10,320 | Kendle International, Inc.a | 188,959 | |||
| 47,539 | MedAssets, Inc.a | 1,008,302 | |||
| 54,060 | Medicis Pharmaceutical Corporation | 1,462,323 | |||
| 13,650 | Medivation Inc.a | 513,922 | |||
| 16,870 | Mednax, Inc.a | 1,014,224 | |||
| 6,160 | Momenta Pharmaceuticals, Inc.a | 77,678 | |||
| 15,730 | Onyx Pharmaceuticals, Inc.a | 461,518 | |||
| 14,840 | Orthofix International NVa | 459,595 | |||
| 14,020 | OSI Pharmaceuticals, Inc.a | 435,041 | |||
| 8,780 | Par Pharmaceutical Companies, Inc.a | 237,587 | |||
| 62,300 | PAREXEL International Corporationa | 878,430 | |||
| 20,820 | Perrigo Company | 829,469 | |||
| 5,500 | PSS World Medical, Inc.a | 124,135 | |||
| 35,890 | Psychiatric Solutions, Inc.a | 758,715 | |||
| 14,680 | Quality Systems, Inc.b | 921,757 | |||
| 29,290 | Regeneron Pharmaceuticals, Inc.a | 708,232 | |||
| 36,150 | Salix Pharmaceuticals, Ltd.a | 918,210 | |||
| 64,900 | Savient Pharmaceuticals, Inc.a,b | 883,289 | |||
| 61,170 | Seattle Genetics, Inc.a | 621,487 | |||
| 49,270 | STERIS Corporation | 1,378,082 | |||
| 22,940 | SXC Health Solutions Corporationa | 1,237,613 | |||
| 362,530 | Tenet Healthcare Corporationa | 1,954,037 | |||
| 31,890 | Thoratec Corporationa | 858,479 | |||
| 31,640 | United Therapeutics Corporationa | 1,665,846 | |||
| 580 | Vermillion, Inc.a | 15,921 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.8%) | Value | |||
| Health Care (22.9%) - continued | |||||
| 18,890 | West Pharmaceutical Services, Inc. | $ | 740,488 | ||
| 8,150 | Wright Medical Group, Inc.a | 154,442 | |||
Total Health Care | 36,734,307 | ||||
| Industrials (9.1%) | |||||
| 5,950 | Aerovironment, Inc.a | 173,026 | |||
| 4,860 | American Science & Engineering, Inc. | 368,582 | |||
| 24,070 | American Superconductor Corporationa,b | 984,463 | |||
| 6,460 | Atlas Air Worldwide Holdings, Inc.a | 240,635 | |||
| 13,140 | Bucyrus International, Inc. | 740,702 | |||
| 29,280 | CBIZ, Inc.a | 225,456 | |||
| 5,190 | Clean Harbors, Inc.a | 309,376 | |||
| 4,280 | Consolidated Graphics, Inc.a | 149,886 | |||
| 29,640 | Copa Holdings SA | 1,614,491 | |||
| 5,820 | Cubic Corporation | 217,086 | |||
| 141,470 | Ener1, Inc.a,b | 896,920 | |||
| 39,070 | EnPro Industries, Inc.a | 1,031,839 | |||
| 39,160 | Genesee & Wyoming, Inc.a | 1,278,182 | |||
| 29,390 | Hub Group, Inc.a | 788,534 | |||
| 17,090 | Huron Consulting Group, Inc.a | 393,754 | |||
| 87,060 | Kforce, Inc.a | 1,088,250 | |||
| 53,950 | Mobile Mini, Inc.a | 760,155 | |||
| 11,340 | Nordson Corporation | 693,781 | |||
| 22,520 | Trina Solar, Ltd. ADRa,b | 1,215,404 | |||
| 4,760 | Triumph Group, Inc. | 229,670 | |||
| 4,010 | United Stationers, Inc.a | 227,968 | |||
| 21,120 | Watsco, Inc. | 1,034,458 | |||
Total Industrials | 14,662,618 | ||||
| Information Technology (30.8%) | |||||
| 22,130 | 3PAR, Inc.a,b | 262,241 | |||
| 34,790 | Actuate Corporationa | 148,901 | |||
| 55,260 | ADTRAN, Inc. | 1,246,113 | |||
| 11,570 | ANSYS, Inc.a | 502,832 | |||
| 24,770 | Archipelago Learning, Inc.a | 512,739 | |||
| 145,470 | Ariba, Inc.a | 1,821,284 | |||
| 62,400 | AsiaInfo Holdings, Inc.a | 1,901,328 | |||
| 97,340 | Atheros Communications, Inc.a | 3,332,922 | |||
| 60,980 | Blue Coat Systems, Inc.a | 1,740,369 | |||
| 9,980 | Bottomline Technologies, Inc.a | 175,349 | |||
| 8,190 | Cavium Networks, Inc.a,b | 195,168 | |||
| 10,410 | Cirrus Logic, Inc.a | 70,996 | |||
| 24,720 | Compellent Technologies, Inc.a,b | 560,650 | |||
| 50,130 | comScore, Inc.a | 879,781 | |||
| 12,870 | Comtech Group, Inc.a | 94,852 | |||
| 7,190 | Comtech Telecommunications Corporationa | 252,009 | |||
| 108,170 | CyberSource Corporationa | 2,175,299 | |||
| 23,620 | Cymer, Inc.a | 906,536 | |||
| 47,540 | DealerTrack Holdings, Inc.a | 893,277 | |||
| 52,750 | Diodes, Inc.a | 1,078,738 | |||
| 4,180 | Ebix, Inc.a,b | 204,109 | |||
| 204,630 | Fairchild Semiconductor International, Inc.a | 2,044,254 | |||
| 9,640 | Global Cash Access Holdings, Inc.a | 72,204 | |||
| 64,810 | GSI Commerce, Inc.a | 1,645,526 | |||
| 5,250 | Hittite Microwave Corporationa | 213,938 | |||
| 16,300 | Kenexa Corporationa | 212,715 | |||
| 8,070 | Maxwell Technologies, Inc.a | 143,969 | |||
| 23,900 | Mercadolibre, Inc.a,b | 1,239,693 | |||
| 2,530 | MicroStrategy, Inc.a | 237,871 | |||
| 75,630 | Net 1 UEPS Technology, Inc.a | 1,468,735 | |||
| 16,170 | Netezza Corporationa | 156,849 | |||
| 47,920 | Netlogic Microsystems, Inc.a,b | 2,216,779 | |||
| 8,460 | NetScout Systems, Inc.a | 123,854 | |||
| 112,060 | Palm, Inc.a,b | 1,125,082 | |||
| 77,750 | Plexus Corporationa | 2,215,875 | |||
| 206,700 | PMC-Sierra, Inc.a | 1,790,022 | |||
| 6,450 | Power Integrations, Inc. | 234,522 | |||
| 29,230 | Riverbed Technology, Inc.a | 671,413 | |||
| 4,680 | Rubicon Technology, Inc.a | 95,051 | |||
| 66,830 | Semtech Corporationa | 1,136,778 | |||
| 60,220 | Solarwinds, Inc.a,b | 1,385,662 | |||
| 61,372 | Sourcefire, Inc.a | 1,641,701 | |||
| 53,140 | SuccessFactors, Inc.a,b | 881,061 | |||
| 34,320 | Taleo Corporationa | 807,206 | |||
| 4,800 | Telvent GIT SA | 187,104 | |||
| 185,540 | Teradyne, Inc.a | 1,990,844 | |||
| 7,530 | Tyler Technologies, Inc.a | 149,922 | |||
| 64,020 | Ultratech, Inc.a | 951,337 | |||
| 51,130 | Varian Semiconductor Equipment Associates, Inc.a | 1,834,544 | |||
| 97,510 | Verigy, Ltd.a,b | 1,254,954 | |||
| 24,940 | VistaPrint NVa | 1,413,100 | |||
| 51,100 | Vocus, Inc.a | 919,800 | |||
Total Information Technology | 49,417,858 | ||||
| Materials (5.5%) | |||||
| 48,620 | AK Steel Holding Corporation | 1,038,037 | |||
| 76,470 | Century Aluminum Companya | 1,238,049 | |||
| 3,970 | Domtar Corporationa | 219,978 | |||
| 32,750 | Huntsman Corporation | 369,747 | |||
| 18,840 | Schweitzer-Mauduit International, Inc. | 1,325,394 | |||
| 117,310 | Solutia, Inc.a | 1,489,837 | |||
| 62,980 | Temple-Inland, Inc. | 1,329,508 | |||
| 99,110 | Thompson Creek Metals Company, Inc.a | 1,161,569 | |||
| 8,270 | Walter Energy, Inc. | 622,814 | |||
Total Materials | 8,794,933 | ||||
| Telecommunications Services (1.7%) | |||||
| 42,450 | Neutral Tandem, Inc.a | 965,738 | |||
| 73,060 | Premiere Global Services, Inc.a | 602,745 | |||
| 70,650 | TW Telecom, Inc.a | 1,210,941 | |||
Total Telecommunications Services | 2,779,424 | ||||
| Utilities (0.1%) | |||||
| 3,582 | Artesian Resources Corporation | 65,586 | |||
Total Utilities | 65,586 | ||||
Total Common Stock (cost $126,368,858) | 157,003,644 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Collateral Held for Securities Loaned (13.3%) | Value | ||||
| 21,405,506 | Thrivent Financial Securities Lending Trust | $ | 21,405,506 | |||
Total Collateral Held for Securities Loaned (cost $21,405,506) | 21,405,506 | |||||
| Principal Amount | Short-Term Investments (2.2%)c | |||||
| 2,000,000 | Federal Home Loan Mortgage Corporation Discount Notes 0.025%, 1/25/2010 | 1,999,967 | ||||
| 1,500,000 | Federal National Mortgage Association Discount Notes 0.030%, 2/4/2010 | 1,499,957 | ||||
Total Short-Term Investments (at amortized cost) | 3,499,924 | |||||
Total Investments (cost $151,274,288) 113.3% | $ | 181,909,074 | ||||
Other Assets and Liabilities, Net (13.3%) | (21,422,495 | ) | ||||
Total Net Assets 100.0% | $ | 160,486,579 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
| ADS - | American Depositary Share, which are underlying shares for a foreign security issued under an ADR agreement that are held on deposit by a custodian bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 33,070,012 | ||
Gross unrealized depreciation | (3,488,626 | ) | ||
Net unrealized appreciation (depreciation) | $ | 29,581,386 | ||
Cost for federal income tax purposes | $ | 152,327,688 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Small Cap Growth Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 25,878,492 | 25,878,492 | — | — | ||||||||
Consumer Staples | 4,854,959 | 4,854,959 | — | — | ||||||||
Energy | 5,104,197 | 5,104,197 | — | — | ||||||||
Financials | 8,711,270 | 8,711,270 | — | — | ||||||||
Health Care | 36,734,307 | 36,734,307 | — | — | ||||||||
Industrials | 14,662,618 | 14,662,618 | — | — | ||||||||
Information Technology | 49,417,858 | 49,417,858 | — | — | ||||||||
Materials | 8,794,933 | 8,794,933 | — | — | ||||||||
Telecommunications Services | 2,779,424 | 2,779,424 | — | — | ||||||||
Utilities | 65,586 | 65,586 | — | — | ||||||||
Collateral Held for Securities Loaned | 21,405,506 | 21,405,506 | — | — | ||||||||
Short-Term Investments | 3,499,924 | — | 3,499,924 | — | ||||||||
Total | $ | 181,909,074 | $ | 178,409,150 | $ | 3,499,924 | $ | — | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Small Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||
| Equity Contracts | ||||
Futures | Net realized gains/(losses) on Futures contracts | 1,314,989 | ||
Total Equity Contracts | 1,314,989 | |||
Total | $1,314,989 | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner Small Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (541,568 | ) | ||
Total Equity Contracts | (541,568 | ) | |||
Total | ($541,568 | ) | |||
The following table presents Partner Small Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $ | 4,541,843.34 | 3.6 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Small Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 6,507,240 | $ | 64,200,426 | $ | 70,707,666 | — | $ | — | $ | 29,009 | ||||||
Thrivent Financial Securities Lending Trust | 19,195,880 | 130,728,232 | 128,518,606 | 21,405,506 | 21,405,506 | 186,948 | |||||||||||
Total Value and Income Earned | 25,703,120 | 21,405,506 | 215,957 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.3%) | Value | |||
| Consumer Discretionary (12.6%) | |||||
| 139,000 | Aaron’s, Inc.a | $ | 3,854,470 | ||
| 65,500 | Brunswick Corporation | 832,505 | |||
| 43,500 | Cavco Industries, Inc.b | 1,562,520 | |||
| 39,800 | Corinthian Colleges, Inc.a,b | 548,046 | |||
| 49,000 | CSS Industries, Inc. | 952,560 | |||
| 76,500 | Dixie Group, Inc.b | 207,315 | |||
| 60,400 | Dorman Products, Inc.b | 945,864 | |||
| 91,000 | Drew Industries, Inc.a,b | 1,879,150 | |||
| 70,400 | Fred’s, Inc. | 718,080 | |||
| 86,000 | Haverty Furniture Companies, Inc.a | 1,180,780 | |||
| 36,000 | Hooker Furniture Corporation | 445,320 | |||
| 82,000 | Knology, Inc.b | 897,900 | |||
| 51,000 | M/I Homes, Inc.b | 529,890 | |||
| 81,000 | MarineMax, Inc.b | 744,390 | |||
| 43,000 | Matthews International Corporation | 1,523,490 | |||
| 77,500 | Men’s Wearhouse, Inc. | 1,632,150 | |||
| 81,000 | Meritage Homes Corporationa,b | 1,565,730 | |||
| 159,100 | Orient-Express Hotels, Ltd.b | 1,613,274 | |||
| 68,200 | Pool Corporationa | 1,301,256 | |||
| 145,000 | Shiloh Industries, Inc.b | 768,500 | |||
| 62,100 | Stanley Furniture Company, Inc.b | 630,315 | |||
| 146,000 | Stein Mart, Inc.b | 1,556,360 | |||
| 33,800 | Steven Madden, Ltd.b | 1,393,912 | |||
| 105,000 | Winnebago Industries, Inc.a,b | 1,281,000 | |||
Total Consumer Discretionary | 28,564,777 | ||||
| Consumer Staples (1.8%) | |||||
| 255,000 | Alliance One International, Inc.a,b | 1,244,400 | |||
| 44,000 | Casey’s General Stores, Inc. | 1,404,480 | |||
| 40,000 | Nash Finch Company | 1,483,600 | |||
Total Consumer Staples | 4,132,480 | ||||
| Energy (7.0%) | |||||
| 29,600 | Carbo Ceramics, Inc.a | 2,017,832 | |||
| 38,000 | Cloud Peak Energy, Inc.a,b | 553,280 | |||
| 20,600 | Encore Acquisition Companyb | 989,212 | |||
| 54,000 | Forest Oil Corporationb | 1,201,500 | |||
| 62,000 | Gulf Island Fabrication, Inc. | 1,303,860 | |||
| 145,000 | Hercules Offshore, Inc.b | 693,100 | |||
| 11,000 | Overseas Shipholding Group, Inc.a | 483,450 | |||
| 120,000 | Penn Virginia Corporation | 2,554,800 | |||
| 84,500 | TETRA Technologies, Inc.b | 936,260 | |||
| 70,700 | Whiting Petroleum Corporationb | 5,052,929 | |||
Total Energy | 15,786,223 | ||||
| Financials (20.7%) | |||||
| 200,000 | Ares Capital Corporationa | 2,490,000 | |||
| 189,000 | CBL & Associates Properties, Inc.a | 1,827,630 | |||
| 131,500 | Cedar Shopping Centers, Inc. | 894,200 | |||
| 50,200 | Central Fund of Canada, Ltd. | 691,756 | |||
| 134,000 | East West Bancorp, Inc. | 2,117,200 | |||
| 46,500 | Employers Holdings, Inc. | 713,310 | |||
| 118,000 | First Opportunity Fund, Inc. | 711,540 | |||
| 84,200 | First Potomac Realty Trust | 1,058,394 | |||
| 92,500 | Glacier Bancorp, Inc.a | 1,269,100 | |||
| 71,000 | Gladstone Capital Corporation | 546,700 | |||
| 71,000 | Hatteras Financial Corporationa | 1,985,160 | |||
| 125,000 | Hercules Technology Growth Capital, Inc. | 1,298,750 | |||
| 32,700 | Home Bancshares, Inc. | 787,089 | |||
| 20,000 | iShares Russell 2000 Value Funda | 1,160,800 | |||
| 58,200 | JMP Group, Inc. | 565,704 | |||
| 60,500 | Kilroy Realty Corporationa | 1,855,535 | |||
| 165,000 | Kite Realty Group Trust | 671,550 | |||
| 54,000 | LaSalle Hotel Properties | 1,146,420 | |||
| 3,900 | Markel Corporationb | 1,326,000 | |||
| 92,000 | Max Capital Group, Ltd. | 2,051,600 | |||
| 91,000 | Meadowbrook Insurance Group, Inc. | 673,400 | |||
| 67,700 | National Interstate Corporationa | 1,148,192 | |||
| 37,000 | Parkway Properties, Inc. | 770,340 | |||
| 43,000 | Pebblebrook Hotel Trustb | 946,430 | |||
| 158,800 | PennantPark Investment Corporation | 1,416,496 | |||
| 33,500 | Piper Jaffray Companiesb | 1,695,435 | |||
| 71,500 | Potlatch Corporationa | 2,279,420 | |||
| 72,800 | ProAssurance Corporationb | 3,910,088 | |||
| 119,000 | Redwood Trust, Inc.a | 1,720,740 | |||
| 126,666 | Safeguard Scientifics, Inc.b | 1,305,927 | |||
| 58,000 | Sandy Spring Bancorp, Inc.a | 515,620 | |||
| 55,000 | Seabright Insurance Holdingsb | 631,950 | |||
| 61,600 | SVB Financial Groupa,b | 2,568,104 | |||
| 260,000 | Western Alliance Bancorpb | 982,800 | |||
| 38,900 | Wintrust Financial Corporation | 1,197,731 | |||
Total Financials | 46,931,111 | ||||
| Health Care (5.3%) | |||||
| 16,500 | Analogic Corporation | 635,415 | |||
| 39,000 | Angiodynamics, Inc.b | 627,120 | |||
| 6,900 | Atrion Corporation | 1,074,468 | |||
| 440,000 | Lexicon Pharmaceuticals, Inc.b | 748,000 | |||
| 81,000 | Momenta Pharmaceuticals, Inc.b | 1,021,410 | |||
| 33,500 | National Healthcare Corporationa | 1,209,685 | |||
| 75,500 | Owens & Minor, Inc. | 3,241,215 | |||
| 78,900 | Triple-S Management Corporationb | 1,388,640 | |||
| 55,500 | West Pharmaceutical Services, Inc. | 2,175,600 | |||
Total Health Care | 12,121,553 | ||||
| Industrials (23.5%) | |||||
| 27,000 | A.O. Smith Corporation | 1,171,530 | |||
| 51,000 | Alaska Air Group, Inc.b | 1,762,560 | |||
| 27,800 | Ameron International Corporation | 1,764,188 | |||
| 51,900 | Applied Industrial Technologies, Inc. | 1,145,433 | |||
| 33,000 | Astec Industries, Inc.b | 889,020 | |||
| 139,000 | Beacon Roofing Supply, Inc.b | 2,224,000 | |||
| 54,000 | Belden, Inc. | 1,183,680 | |||
| 85,200 | C&D Technologies, Inc.a,b | 132,060 | |||
| 46,000 | Circor International, Inc. | 1,158,280 | |||
| 91,000 | Comfort Systems USA, Inc. | 1,122,940 | |||
| 39,000 | Courier Corporation | 555,750 | |||
| 47,000 | Dollar Thrifty Automotive Group, Inc.a,b | 1,203,670 | |||
| 16,200 | Franklin Electric Company, Inc. | 471,096 | |||
| 18,000 | FTI Consulting, Inc.b | 848,880 | |||
| 59,000 | G & K Services, Inc. | 1,482,670 | |||
| 58,000 | Genesee & Wyoming, Inc.b | 1,893,120 | |||
| 93,500 | Gibraltar Industries, Inc.b | 1,470,755 | |||
| 48,500 | Greenbrier Companies, Inc. | 503,430 | |||
| 69,000 | Hub Group, Inc.b | 1,851,270 | |||
| 57,000 | IDEX Corporation | 1,775,550 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.3%) | Value | |||
| Industrials (23.5%) - continued | |||||
| 87,000 | Insituform Technologies, Inc.b | $ | 1,976,640 | ||
| 50,000 | Kaman Corporation | 1,154,500 | |||
| 188,000 | Kforce, Inc.b | 2,350,000 | |||
| 71,000 | Kirby Corporationb | 2,472,930 | |||
| 44,500 | Kratos Defense & Security Solutions, Inc.b | 469,475 | |||
| 28,000 | Landstar System, Inc. | 1,085,560 | |||
| 105,000 | McGrath Rentcorp | 2,347,800 | |||
| 100,500 | MPS Group, Inc.b | 1,380,870 | |||
| 91,400 | Navigant Consulting, Inc.b | 1,358,204 | |||
| 52,000 | Nordson Corporation | 3,181,360 | |||
| 13,000 | School Specialty, Inc.b | 304,070 | |||
| 58,200 | SkyWest, Inc. | 984,744 | |||
| 55,400 | Sterling Construction Company, Inc.b | 1,062,572 | |||
| 48,700 | Sun Hydraulics Corporationa | 1,278,375 | |||
| 48,500 | Universal Forest Products, Inc. | 1,785,285 | |||
| 147,500 | Vitran Corporation, Inc.b | 1,603,325 | |||
| 50,000 | Waste Connections, Inc.b | 1,666,000 | |||
| 78,500 | Woodward Governor Company | 2,022,945 | |||
Total Industrials | 53,094,537 | ||||
| Information Technology (10.0%) | |||||
| 126,000 | Advanced Energy Industries, Inc.b | 1,900,080 | |||
| 119,000 | Ariba, Inc.b | 1,489,880 | |||
| 37,700 | ATMI, Inc.b | 701,974 | |||
| 115,500 | Brooks Automation, Inc.b | 990,990 | |||
| 16,600 | Cabot Microelectronics Corporationb | 547,136 | |||
| 111,600 | Electro Rent Corporation | 1,287,864 | |||
| 63,000 | FormFactor, Inc.b | 1,370,880 | |||
| 148,500 | Ixiab | 1,104,840 | |||
| 33,200 | Littelfuse, Inc.b | 1,067,380 | |||
| 88,000 | Methode Electronics, Inc. | 763,840 | |||
| 55,000 | Palm, Inc.a,b | 552,200 | |||
| 85,000 | Progress Software Corporationb | 2,482,850 | |||
| 161,500 | ShoreTel, Inc.b | 933,470 | |||
| 329,000 | Sonus Networks, Inc.b | 694,190 | |||
| 33,500 | Standard Microsystems Corporationb | 696,130 | |||
| 86,500 | StarTek, Inc.b | 647,020 | |||
| 92,300 | Symyx Technologies, Inc.b | 507,650 | |||
| 69,300 | Synnex Corporationb | 2,124,738 | |||
| 137,000 | Teradyne, Inc.b | 1,470,010 | |||
| 68,300 | Xyratex, Ltd.b | 909,073 | |||
| 489,000 | Zarlink Semiconductor, Inc.b | 406,848 | |||
Total Information Technology | 22,649,043 | ||||
| Materials (9.6%) | |||||
| 42,000 | Airgas, Inc. | 1,999,200 | |||
| 35,000 | AMCOL International Corporation | 994,700 | |||
| 96,000 | American Vanguard Corporationa | 796,800 | |||
| 76,900 | AptarGroup, Inc. | 2,748,406 | |||
| 61,000 | Arch Chemicals, Inc. | 1,883,680 | |||
| 65,000 | Carpenter Technology Corporation | 1,751,750 | |||
| 42,000 | Clearwater Paper Corporationb | 2,308,740 | |||
| 13,500 | Deltic Timber Corporation | 623,430 | |||
| 64,000 | Franco-Nevada Corporation | 1,719,476 | |||
| 87,500 | Innospec, Inc. | 882,875 | |||
| 24,800 | Minerals Technologies, Inc. | 1,350,856 | |||
| 143,000 | Myers Industries, Inc. | 1,301,300 | |||
| 97,300 | Sims Metal Management, Ltd. ADR | 1,897,350 | |||
| 124,000 | Wausau Paper Corporation | 1,438,400 | |||
Total Materials | 21,696,963 | ||||
| Telecommunications Services (0.4%) | |||||
| 98,000 | Premiere Global Services, Inc.b | 808,500 | |||
Total Telecommunications Services | 808,500 | ||||
| Utilities (4.4%) | |||||
| 61,000 | Black Hills Corporation | 1,624,430 | |||
| 104,500 | Cleco Corporation | 2,855,985 | |||
| 90,500 | El Paso Electric Companyb | 1,835,340 | |||
| 34,600 | Empire District Electric Companya | 648,058 | |||
| 66,000 | Southwest Gas Corporation | 1,882,980 | |||
| 47,000 | Vectren Corporation | 1,159,960 | |||
Total Utilities | 10,006,753 | ||||
Total Common Stock (cost $215,039,172) | 215,791,940 | ||||
Preferred Stock (1.6%) | |||||
| Energy (0.5%) | |||||
| 6,700 | Whiting Petroleum Corporation, Convertible | 1,203,722 | |||
Total Energy | 1,203,722 | ||||
| Financials (0.8%) | |||||
| 8,400 | Assured Guaranty, Ltd., Convertible | 760,032 | |||
| 820 | East West Bancorp, Inc. | 1,013,725 | |||
Total Financials | 1,773,757 | ||||
| Health Care (0.3%) | |||||
| 55,300 | National Healthcare Corporation, Convertible | 618,254 | |||
Total Health Care | 618,254 | ||||
Total Preferred Stock (cost $2,650,261) | 3,595,733 | ||||
Collateral Held for Securities Loaned (13.3%) | |||||
| 30,107,005 | Thrivent Financial Securities Lending Trust | 30,107,005 | |||
Total Collateral Held for Securities Loaned (cost $30,107,005) | 30,107,005 | ||||
| Principal Amount | Short-Term Investments (3.0%)c | ||||
Federal Home Loan Bank Discount Notes | |||||
| 1,000,000 | 0.040%, 1/15/2010 | 999,984 | |||
| 2,000,000 | 0.050%, 2/3/2010 | 1,999,908 | |||
Federal Home Loan Mortgage Corporation Discount Notes | |||||
| 2,000,000 | 0.030%, 2/18/2010 | 1,999,920 | |||
| 1,500,000 | 0.030%, 2/22/2010 | 1,499,935 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Short-Term Investments (3.0%)c | Value | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 150,000 | 0.010%, 2/1/2010 | $ | 149,999 | |||
Total Short-Term Investments (at amortized cost) | 6,649,746 | |||||
Total Investments (cost $254,446,184) 113.2% | $ | 256,144,424 | ||||
Other Assets and Liabilities, Net (13.2%) | (29,798,051 | ) | ||||
Total Net Assets 100.0% | $ | 226,346,373 | ||||
| a | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 29,263,430 | ||
Gross unrealized depreciation | (28,677,047 | ) | ||
Net unrealized appreciation (depreciation) | $ | 586,383 | ||
Cost for federal income tax purposes | $ | 255,558,041 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Small Cap Value Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 28,564,777 | 28,564,777 | — | — | ||||||||
Consumer Staples | 4,132,480 | 4,132,480 | — | — | ||||||||
Energy | 15,786,223 | 15,786,223 | — | — | ||||||||
Financials | 46,931,111 | 46,931,111 | — | — | ||||||||
Health Care | 12,121,553 | 12,121,553 | — | — | ||||||||
Industrials | 53,094,537 | 53,094,537 | — | — | ||||||||
Information Technology | 22,649,043 | 22,649,043 | — | — | ||||||||
Materials | 21,696,963 | 21,696,963 | — | — | ||||||||
Telecommunications Services | 808,500 | 808,500 | — | — | ||||||||
Utilities | 10,006,753 | 10,006,753 | — | — | ||||||||
Preferred Stock | ||||||||||||
Energy | 1,203,722 | 1,203,722 | — | — | ||||||||
Financials | 1,773,757 | — | 1,013,725 | 760,032 | ||||||||
Health Care | 618,254 | 618,254 | — | — | ||||||||
Collateral Held for Securities Loaned | 30,107,005 | 30,107,005 | — | — | ||||||||
Short-Term Investments | 6,649,746 | — | 6,649,746 | — | ||||||||
Total | $ | 256,144,424 | $ | 247,720,921 | $ | 7,663,471 | $ | 760,032 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2009
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Partner Small Cap Value Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Preferred Stock | |||||||||||||||||||||
Financials | — | — | — | 340,032 | 420,000 | — | 760,032 | ||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 340,032 | $ | 420,000 | $ | — | $ | 760,032 | |||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Small Cap Value Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Foreign Exchange Contracts | |||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (10,363 | ) | ||
Total Foreign Exchange Contracts | (10,363 | ) | |||
Total | ($10,363 | ) | |||
The following table presents Partner Small Cap Value Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||
Foreign Exchange Contracts | $ | 9,015 | <0.1 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Small Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 2,927,734 | $ | 28,372,089 | $ | 31,299,823 | — | $ | — | $ | 10,537 | ||||||
Thrivent Financial Securities Lending Trust | 26,942,036 | 127,045,768 | 123,880,799 | 30,107,005 | 30,107,005 | 90,497 | |||||||||||
Total Value and Income Earned | 29,869,770 | 30,107,005 | 101,034 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.9%) | Value | |||
| Consumer Discretionary (11.6%) | |||||
| 50,458 | Aaron’s, Inc.a | $ | 1,399,200 | ||
| 27,952 | Autoliv, Inc. | 1,211,999 | |||
| 43,792 | Bally Technologies, Inc.b | 1,808,172 | |||
| 28,920 | Buffalo Wild Wings, Inc.a,b | 1,164,608 | |||
| 69,834 | Chico’s FAS, Inc.b | 981,168 | |||
| 55,623 | Cooper Tire & Rubber Company | 1,115,241 | |||
| 13,317 | Deckers Outdoor Corporationb | 1,354,605 | |||
| 74,100 | Deer Consumer Products, Inc.b | 838,812 | |||
| 113,655 | Domino’s Pizza, Inc.b | 952,429 | |||
| 43,846 | Fossil, Inc.b | 1,471,472 | |||
| 22,039 | Gaylord Entertainment Companya,b | 435,270 | |||
| 24,050 | G-III Apparel Group, Ltd.b | 521,164 | |||
| 25,534 | Guess ?, Inc. | 1,080,088 | |||
| 60,415 | Jarden Corporation | 1,867,428 | |||
| 144,673 | Leapfrog Enterprises, Inc.b | 565,671 | |||
| 38,493 | Lincoln Educational Servicesb | 834,143 | |||
| 64,662 | LKQ Corporationb | 1,266,729 | |||
| 62,549 | MarineMax, Inc.b | 574,825 | |||
| 37,572 | P.F. Chang’s China Bistro, Inc.a,b | 1,424,355 | |||
| 18,578 | Panera Bread Companyb | 1,244,169 | |||
| 4,219 | Priceline.com, Inc.b | 921,851 | |||
| 161,376 | Shuffle Master, Inc.b | 1,329,738 | |||
| 18,765 | Tupperware Brands Corporation | 873,886 | |||
| 40,032 | Virgin Media, Inc. | 673,739 | |||
| 28,331 | Warnaco Group, Inc.b | 1,195,285 | |||
| 175,506 | Warner Music Group Corporationb | 993,364 | |||
| 33,675 | WMS Industries, Inc.b | 1,347,000 | |||
| 18,765 | Wolverine World Wide, Inc. | 510,783 | |||
Total Consumer Discretionary | 29,957,194 | ||||
| Consumer Staples (4.3%) | |||||
| 29,161 | American Italian Pasta Companyb | 1,014,511 | |||
| 65,420 | Bare Escentuals, Inc.b | 800,087 | |||
| 61,832 | Calavo Growers, Inc.a | 1,051,144 | |||
| 50,481 | Casey’s General Stores, Inc. | 1,611,354 | |||
| 26,492 | Central European Distribution Corporationb | 752,638 | |||
| 33,408 | Elizabeth Arden, Inc.b | 482,411 | |||
| 54,455 | Herbalife, Ltd. | 2,209,239 | |||
| 30,400 | Sanderson Farms, Inc. | 1,281,664 | |||
| 49,034 | TreeHouse Foods, Inc.b | 1,905,461 | |||
Total Consumer Staples | 11,108,509 | ||||
| Energy (9.7%) | |||||
| 44,977 | Alpha Natural Resources, Inc.b | 1,951,102 | |||
| 48,673 | Atlas Energy, Inc. | 1,468,464 | |||
| 33,469 | Cabot Oil & Gas Corporation | 1,458,914 | |||
| 52,395 | Carrizo Oil & Gas, Inc.b | 1,387,944 | |||
| 11,357 | Cimarex Energy Company | 601,580 | |||
| 80,814 | Complete Production Services, Inc.b | 1,050,582 | |||
| 15,800 | CONSOL Energy, Inc. | 786,840 | |||
| 14,570 | Dresser-Rand Group, Inc.b | 460,558 | |||
| 48,715 | Holly Corporation | 1,248,565 | |||
| 31,506 | Massey Energy Company | 1,323,567 | |||
| 36,792 | Oil States International, Inc.b | 1,445,558 | |||
| 89,409 | Patterson-UTI Energy, Inc. | 1,372,428 | |||
| 61,078 | Petroleum Development Corporationb | 1,112,230 | |||
| 68,142 | Rosetta Resources, Inc.b | 1,358,070 | |||
| 15,040 | RPC, Inc. | 156,416 | |||
| 48,420 | Southern Union Company | 1,099,134 | |||
| 47,008 | Superior Energy Services, Inc.b | 1,141,824 | |||
| 59,200 | Superior Well Services, Inc.a,b | 844,192 | |||
| 34,733 | T-3 Energy Services, Inc.b | 885,692 | |||
| 124,976 | Tesco Corporationb | 1,613,440 | |||
| 77,612 | TETRA Technologies, Inc.b | 859,941 | |||
| 68,951 | Union Drilling, Inc.b | 430,944 | |||
| 34,292 | World Fuel Services Corporationa | 918,683 | |||
Total Energy | 24,976,668 | ||||
| Financials (15.6%) | |||||
| 13,125 | Affiliated Managers Group, Inc.b | 883,969 | |||
| 23,597 | Altisource Portfolio Solutions SAb | 495,301 | |||
| 143,400 | American Equity Investment Life Holding Company | 1,066,896 | |||
| 6,623 | Arch Capital Group, Ltd.b | 473,876 | |||
| 18,765 | Aspen Insurance Holdings, Ltd. | 477,569 | |||
| 20,455 | BancorpSouth, Inc.a | 479,874 | |||
| 24,200 | BioMed Realty Trust, Inc. | 381,876 | |||
| 89,556 | Cardinal Financial Corporation | 782,720 | |||
| 49,659 | Cash America International, Inc. | 1,736,079 | |||
| 87,863 | Colonial Properties Trust | 1,030,633 | |||
| 18,269 | Delphi Financial Group, Inc. | 408,678 | |||
| 44,961 | Dollar Financial Corporationb | 1,063,777 | |||
| 69,239 | Duff & Phelps Corporation | 1,264,304 | |||
| 88,599 | DuPont Fabros Technology, Inc. | 1,593,896 | |||
| 87,138 | East West Bancorp, Inc. | 1,376,780 | |||
| 32,231 | Endurance Specialty Holdings, Ltd. | 1,199,960 | |||
| 4,276 | Evercore Partners, Inc. | 129,990 | |||
| 203,394 | FBR Capital Markets Corporationb | 1,256,975 | |||
| 141,876 | First Industrial Realty Trust, Inc.a,b | 742,012 | |||
| 66,670 | First Mercury Financial Corporation | 914,046 | |||
| 103,033 | First Niagara Financial Group, Inc. | 1,433,189 | |||
| 22,996 | Hancock Holding Company | 1,006,995 | |||
| 28,993 | Hanover Insurance Group, Inc. | 1,288,159 | |||
| 42,165 | HCC Insurance Holdings, Inc. | 1,179,355 | |||
| 33,887 | Home Bancshares, Inc. | 815,660 | |||
| 125,344 | Kite Realty Group Trust | 510,150 | |||
| 99,195 | Maiden Holdings, Ltd. | 726,107 | |||
| 62,378 | Max Capital Group, Ltd. | 1,391,029 | |||
| 113,250 | Meadowbrook Insurance Group, Inc. | 838,050 | |||
| 152,870 | MGIC Investment Corporationa,b | 883,589 | |||
| 53,719 | Nelnet, Inc. | 925,578 | |||
| 86,759 | Ocwen Financial Corporationb | 830,284 | |||
| 13,613 | Platinum Underwriters Holdings, Ltd. | 521,242 | |||
| 13,600 | ProAssurance Corporationb | 730,456 | |||
| 41,190 | Prosperity Bancshares, Inc.a | 1,666,959 | |||
| 45,918 | SEI Investments Company | 804,483 | |||
| 34,733 | Signature Bankb | 1,107,983 | |||
| 9,750 | Simmons First National Corporation | 271,050 | |||
| 5,785 | Stifel Financial Corporationb | 342,703 | |||
| 136,541 | Sunstone Hotel Investors, Inc.b | 1,212,484 | |||
| 31,852 | Validus Holdings, Ltd. | 858,093 | |||
| 44,373 | Waddell & Reed Financial, Inc. | 1,355,151 | |||
| 63,824 | Washington Federal, Inc. | 1,234,356 | |||
| 37,162 | XL Capital, Ltd. | 681,180 | |||
Total Financials | 40,373,496 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.9%) | Value | |||
| Health Care (13.0%) | |||||
| 67,243 | American Medical Systems Holdings, Inc.b | $ | 1,297,118 | ||
| 25,755 | Auxilium Pharmaceuticals, Inc.b | 772,135 | |||
| 12,509 | Beckman Coulter, Inc. | 818,589 | |||
| 66,064 | BioMarin Pharmaceutical, Inc.b | 1,242,664 | |||
| 11,451 | Bio-Rad Laboratories, Inc.b | 1,104,564 | |||
| 32,157 | Catalyst Health Solutions, Inc.b | 1,172,766 | |||
| 8,757 | Cerner Corporationb | 721,927 | |||
| 25,388 | Chemed Corporation | 1,217,862 | |||
| 15,535 | Dionex Corporationb | 1,147,570 | |||
| 20,733 | Emergency Medical Services Corporationb | 1,122,692 | |||
| 120,453 | Endologix, Inc.b | 635,992 | |||
| 68,142 | Healthsouth Corporationb | 1,279,025 | |||
| 65,100 | Healthspring, Inc.b | 1,146,411 | |||
| 51,295 | ICON plc ADRb | 1,114,640 | |||
| 40,342 | Invacare Corporationa | 1,006,130 | |||
| 51,289 | inVentiv Health, Inc.b | 829,343 | |||
| 99,048 | King Pharmaceuticals, Inc.b | 1,215,319 | |||
| 36,940 | LHC Group, Inc.b | 1,241,553 | |||
| 46,433 | Lincare Holdings, Inc.b | 1,723,593 | |||
| 23,892 | MedAssets, Inc.b | 506,749 | |||
| 44,890 | Medicis Pharmaceutical Corporation | 1,214,275 | |||
| 23,107 | Mednax, Inc.b | 1,389,193 | |||
| 37,071 | Perrigo Company | 1,476,909 | |||
| 24,612 | RehabCare Group, Inc.b | 748,943 | |||
| 45,217 | Savient Pharmaceuticals, Inc.b | 615,403 | |||
| 74,100 | Sharps Compliance Corporationb | 711,360 | |||
| 27,182 | STERIS Corporation | 760,281 | |||
| 71,085 | Syneron Medical, Ltd.a,b | 742,838 | |||
| 43,659 | Thoratec Corporationb | 1,175,300 | |||
| 37,089 | Triple-S Management Corporationb | 652,766 | |||
| 24,137 | United Therapeutics Corporationb | 1,270,813 | |||
| 17,092 | Universal Health Services, Inc. | 521,306 | |||
| 27,448 | Watson Pharmaceuticals, Inc.b | 1,087,215 | |||
Total Health Care | 33,683,244 | ||||
| Industrials (14.4%) | |||||
| 42,607 | AAON, Inc. | 830,411 | |||
| 184,998 | AirTran Holdings, Inc.b | 965,690 | |||
| 13,900 | Alliant Techsystems, Inc.b | 1,226,953 | |||
| 55,705 | BE Aerospace, Inc.b | 1,309,068 | |||
| 77,970 | Beacon Roofing Supply, Inc.b | 1,247,520 | |||
| 142,243 | Bowne & Company, Inc. | 950,183 | |||
| 18,699 | Bucyrus International, Inc. | 1,054,063 | |||
| 66,449 | Chicago Bridge and Iron Companyb | 1,343,599 | |||
| 22,517 | Copa Holdings SA | 1,226,501 | |||
| 51,219 | Deluxe Corporation | 757,529 | |||
| 47,527 | EMCOR Group, Inc.b | 1,278,476 | |||
| 48,274 | EnerSysb | 1,055,752 | |||
| 29,248 | FTI Consulting, Inc.b | 1,379,336 | |||
| 31,862 | Gardner Denver, Inc. | 1,355,728 | |||
| 21,413 | Genco Shipping & Trading, Ltd.a,b | 479,223 | |||
| 41,600 | Genesee & Wyoming, Inc.b | 1,357,824 | |||
| 91,911 | Great Lakes Dredge & Dock Company | 595,583 | |||
| 62,247 | Griffon Corporationb | 760,658 | |||
| 14,128 | Heico Corporationa | 626,294 | |||
| 27,800 | ICF International, Inc.b | 745,040 | |||
| 18,986 | IDEX Corporation | 591,414 | |||
| 70,398 | Knight Transportation, Inc. | 1,357,977 | |||
| 17,220 | Landstar System, Inc. | 667,619 | |||
| 16,851 | Lennox International, Inc. | 657,863 | |||
| 131,205 | Manitowoc Company, Inc. | 1,308,114 | |||
| 13,758 | Middleby Corporationb | 674,417 | |||
| 54,528 | Monster Worldwide, Inc.b | 948,787 | |||
| 19,728 | Oshkosh Corporation | 730,528 | |||
| 38,884 | Protection One, Inc.b | 250,802 | |||
| 36,729 | Robert Half International, Inc. | 981,766 | |||
| 65,731 | SmartHeat, Inc.a,b | 954,414 | |||
| 58,300 | Sterling Construction Company, Inc.b | 1,118,194 | |||
| 39,066 | Sykes Enterprises, Inc.b | 995,011 | |||
| 42,385 | Teledyne Technologies, Inc.b | 1,625,889 | |||
| 24,696 | Triumph Group, Inc. | 1,191,582 | |||
| 44,200 | Waste Connections, Inc.b | 1,472,744 | |||
| 50,627 | Woodward Governor Company | 1,304,658 | |||
Total Industrials | 37,377,210 | ||||
| Information Technology (17.1%) | |||||
| 39,075 | ADTRAN, Inc. | 881,141 | |||
| 121,124 | Advanced Micro Devices, Inc.a,b | 1,172,480 | |||
| 36,428 | AsiaInfo Holdings, Inc.b | 1,109,961 | |||
| 236,651 | Atmel Corporationb | 1,090,961 | |||
| 99,736 | Brightpoint, Inc.b | 733,060 | |||
| 120,563 | CalAmp Corporationb | 414,737 | |||
| 65,200 | Cogent, Inc.b | 677,428 | |||
| 30,686 | CommVault Systems, Inc.b | 726,951 | |||
| 155,103 | Compuware Corporationb | 1,121,395 | |||
| 161,444 | Comtech Group, Inc.b | 1,189,842 | |||
| 26,712 | DTS, Inc.a,b | 913,818 | |||
| 126,865 | EarthLink, Inc. | 1,054,248 | |||
| 26,608 | F5 Networks, Inc.b | 1,409,692 | |||
| 159,831 | FalconStor Software, Inc.b | 648,914 | |||
| 125,032 | Finisar Corporationa,b | 1,115,285 | |||
| 128,482 | Flextronics International, Ltd.b | 939,203 | |||
| 35,590 | FormFactor, Inc.b | 774,438 | |||
| 74,029 | Jabil Circuit, Inc. | 1,285,884 | |||
| 46,716 | JDA Software Group, Inc.b | 1,189,857 | |||
| 418,049 | Lattice Semiconductor Corporationb | 1,128,732 | |||
| 34,513 | Lender Processing Services, Inc. | 1,403,299 | |||
| 117,666 | Limelight Networks, Inc.b | 462,427 | |||
| 16,630 | ManTech International Corporationb | 802,896 | |||
| 34,366 | Mellanox Technologies, Ltd.b | 648,143 | |||
| 128,758 | Mentor Graphics Corporationb | 1,136,933 | |||
| 231,364 | MIPS Technologies, Inc.b | 1,011,061 | |||
| 35,891 | Multi-Fineline Electronix, Inc.b | 1,018,228 | |||
| 79,033 | Nuance Communications, Inc.b | 1,228,173 | |||
| 102,300 | ON Semiconductor Corporationb | 901,263 | |||
| 30,410 | Polycom, Inc.b | 759,338 | |||
| 62,917 | QLogic Corporationb | 1,187,244 | |||
| 102,475 | Skyworks Solutions, Inc.b | 1,454,120 | |||
| 198,980 | Smart Modular Technologies (WWH), Inc.b | 1,251,584 | |||
| 43,637 | Solera Holdings, Inc. | 1,571,368 | |||
| 29,171 | Sybase, Inc.b | 1,266,021 | |||
| 30,455 | Synaptics, Inc.a,b | 933,446 | |||
| 157,697 | Tellabs, Inc.b | 895,719 | |||
| 79,253 | Teradyne, Inc.b | 850,385 | |||
| 141,950 | TIBCO Software, Inc.b | 1,366,978 | |||
| 111,239 | TriQuint Semiconductor, Inc.b | 667,434 | |||
| 104,162 | TTM Technologies, Inc.b | 1,200,988 | |||
| 43,472 | ValueClick, Inc.b | 439,937 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.9%) | Value | ||||
| Information Technology (17.1%) - continued | ||||||
| 16,157 | Varian Semiconductor Equipment Associates, Inc.b | $ | 579,713 | |||
| 139,468 | Vishay Intertechnology, Inc.b | 1,164,558 | ||||
| 33,559 | Zoran Corporationb | 370,827 | ||||
Total Information Technology | 44,150,110 | |||||
| Materials (5.4%) | ||||||
| 21,782 | Albemarle Corporation | 792,211 | ||||
| 63,930 | Allied Nevada Gold Corporationa,b | 964,064 | ||||
| 7,359 | CF Industries Holdings, Inc.a | 668,050 | ||||
| 11,100 | Cliffs Natural Resources, Inc. | 511,599 | ||||
| 18,700 | Compass Minerals International, Inc. | 1,256,453 | ||||
| 15,727 | FMC Corporation | 876,938 | ||||
| 25,865 | Horsehead Holding Corporationb | 329,779 | ||||
| 49,563 | Innophos Holdings, Inc. | 1,139,453 | ||||
| 44,961 | Myers Industries, Inc. | 409,145 | ||||
| 24,478 | Owens-Illinois, Inc.b | 804,592 | ||||
| 58,502 | Packaging Corporation of America | 1,346,131 | ||||
| 46,286 | Pactiv Corporationb | 1,117,344 | ||||
| 49,216 | Pan American Silver Corporationb | 1,171,833 | ||||
| 46,286 | RTI International Metals, Inc.b | 1,165,019 | ||||
| 25,902 | Silgan Holdings, Inc. | 1,499,208 | ||||
Total Materials | 14,051,819 | |||||
| Telecommunications Services (1.1%) | ||||||
| 75,505 | Alaska Communication Systems Group, Inc. | 602,530 | ||||
| 78,800 | NTELOS Holdings Corporation | 1,404,216 | ||||
| 46,360 | Syniverse Holdings, Inc.b | 810,372 | ||||
Total Telecommunications Services | 2,817,118 | |||||
| Utilities (3.7%) | ||||||
| 21,119 | American States Water Company | 747,824 | ||||
| 53,791 | Avista Corporation | 1,161,348 | ||||
| 42,400 | Cleco Corporation | 1,158,792 | ||||
| 13,320 | Energen Corporation | 623,376 | ||||
| 25,533 | OGE Energy Corporation | 942,168 | ||||
| 49,524 | Portland General Electric Company | 1,010,785 | ||||
| 49,246 | Southwest Gas Corporation | 1,404,988 | ||||
| 36,401 | UGI Corporation | 880,540 | ||||
| 37,200 | UniSource Energy Corporation | 1,197,468 | ||||
| 11,291 | WGL Holdings, Inc. | 378,700 | ||||
Total Utilities | 9,505,989 | |||||
Total Common Stock (cost $199,692,865) | 248,001,357 | |||||
| Principal Amount | Long-Term Fixed Income (0.4%) | |||||
| U.S. Government and Agencies (0.4%) | ||||||
U.S. Treasury Notes | ||||||
| $1,000,000 | 0.875%, 12/31/2010 | 1,003,672 | ||||
Total U.S. Government and Agencies | 1,003,672 | |||||
Total Long-Term Fixed Income (cost $1,000,465) | 1,003,672 | |||||
| Shares | Collateral Held for Securities Loaned (5.8%) | |||||
| 14,969,779 | Thrivent Financial Securities Lending Trust | 14,969,779 | ||||
Total Collateral Held for Securities Loaned (cost $14,969,779) | 14,969,779 | |||||
| Principal Amount | Short-Term Investments (3.3%)c | |||||
| 8,545,000 | Enterprise Funding Company, LLC 0.010%, 1/4/2010 | 8,544,993 | ||||
Total Short-Term Investments (at amortized cost) | 8,544,993 | |||||
Total Investments (cost $224,208,102) 105.4% | $ | 272,519,801 | ||||
Other Assets and Liabilities, Net (5.4%) | (14,027,063 | ) | ||||
Total Net Assets 100.0% | $ | 258,492,738 | ||||
| a | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 47,657,718 | ||
Gross unrealized depreciation | (1,440,266 | ) | ||
Net unrealized appreciation (depreciation) | $ | 46,217,452 | ||
Cost for federal income tax purposes | $ | 226,302,349 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Small Cap Stock Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||
Common Stock | ||||||||||||||
Consumer Discretionary | 29,957,194 | 29,957,194 | — | — | ||||||||||
Consumer Staples | 11,108,509 | 11,108,509 | — | — | ||||||||||
Energy | 24,976,668 | 24,976,668 | — | — | ||||||||||
Financials | 40,373,496 | 40,373,496 | — | — | ||||||||||
Health Care | 33,683,244 | 33,683,244 | — | — | ||||||||||
Industrials | 37,377,210 | 37,377,210 | — | — | ||||||||||
Information Technology | 44,150,110 | 44,150,110 | — | — | ||||||||||
Materials | 14,051,819 | 14,051,819 | — | — | ||||||||||
Telecommunications Services | 2,817,118 | 2,817,118 | — | — | ||||||||||
Utilities | 9,505,989 | 9,505,989 | — | — | ||||||||||
Long-Term Fixed Income | ||||||||||||||
U.S. Government and Agencies | 1,003,672 | — | 1,003,672 | — | ||||||||||
Collateral Held for Securities Loaned | 14,969,779 | 14,969,779 | — | — | ||||||||||
Short-Term Investments | 8,544,993 | — | 8,544,993 | — | ||||||||||
Total | $ | 272,519,801 | $ | 262,971,136 | $ | 9,548,665 | $ | — | ||||||
Other Financial Instruments* | ($5,249 | ) | ($5,249 | ) | $ | — | $ | — | ||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Foreign Currency Forward Contracts | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||
Sales | |||||||||||||
Australian Dollar | 979,698 | 1/4/2010 - 1/5/2010 | $ | 874,746 | $ | 879,995 | ($5,249 | ) | |||||
Total Foreign Currency | |||||||||||||
Forward Contracts Sales | $ | 874,746 | $ | 879,995 | ($5,249 | ) | |||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($5,249 | ) | |||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Liability Derivatives | |||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 5,249 | |||
Total Foreign Exchange Contracts | 5,249 | ||||
Total Liability Derivatives | $ | 5,249 | |||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,538,470 | ||||
Total Equity Contracts | 1,538,470 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (6,384 | ) | |||
Total Foreign Exchange Contracts | (6,384 | ) | ||||
Total | $ | 1,532,086 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Foreign Exchange Contracts | |||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | (5,249 | ) | ||
Total Foreign Exchange Contracts | (5,249 | ) | |||
Total | ($5,249 | ) | |||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||
Equity Contracts | $ | 2,076,607 | 0.8 | % | N/A | N/A | ||||||
Foreign Exchange Contracts | N/A | N/A | $ | 13,778 | <0.1 | % | ||||||
| * | Notional amount represents long or short, or both, derivative positions held by the fund. |
Investment 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 fiscal year to date, in Small Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 5,893,633 | $ | 75,499,796 | $ | 81,393,429 | — | $ | — | $ | 20,124 | ||||||
Thrivent Financial Securities Lending Trust | 28,172,401 | 172,101,724 | 185,304,346 | 14,969,779 | 14,969,779 | 257,820 | |||||||||||
Total Value and Income Earned | 34,066,034 | 14,969,779 | 277,944 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.0%) | Value | |||
| Consumer Discretionary (14.8%) | |||||
| 9,100 | American Public Education, Inc.a | $ | 312,676 | ||
| 13,300 | Arbitron, Inc.b | 311,486 | |||
| 6,000 | Arctic Cat, Inc.a | 54,960 | |||
| 9,000 | Audiovox Corporationa | 63,810 | |||
| 10,800 | Big 5 Sporting Goods Corporation | 185,544 | |||
| 10,600 | BJ’s Restaurants, Inc.a | 199,492 | |||
| 7,300 | Blue Nile, Inc.a,b | 462,309 | |||
| 3,000 | Blyth, Inc. | 101,160 | |||
| 21,225 | Brown Shoe Company, Inc. | 209,491 | |||
| 43,900 | Brunswick Corporation | 557,969 | |||
| 12,750 | Buckle, Inc.b | 373,320 | |||
| 9,000 | Buffalo Wild Wings, Inc.a,b | 362,430 | |||
| 20,100 | Cabela’s, Inc.a,b | 286,626 | |||
| 12,000 | California Pizza Kitchen, Inc.a | 161,400 | |||
| 31,700 | Callaway Golf Companyb | 239,018 | |||
| 7,300 | Capella Education Companya | 549,690 | |||
| 28,300 | Carter’s, Inc.a | 742,875 | |||
| 14,800 | Cato Corporation | 296,888 | |||
| 11,325 | CEC Entertainment, Inc.a | 361,494 | |||
| 13,700 | Children’s Place Retail Stores, Inc.a | 452,237 | |||
| 17,725 | Christopher & Banks Corporation | 135,064 | |||
| 27,200 | CKE Restaurants, Inc. | 230,112 | |||
| 15,500 | Coinstar, Inc.a | 430,590 | |||
| 11,500 | Cracker Barrel Old Country Store, Inc. | 436,885 | |||
| 42,400 | Crocs, Inc.a,b | 243,800 | |||
| 6,500 | Deckers Outdoor Corporationa | 661,180 | |||
| 7,600 | DineEquity, Inc.a,b | 184,604 | |||
| 27,075 | Dress Barn, Inc.a,b | 625,433 | |||
| 9,400 | Drew Industries, Inc.a | 194,110 | |||
| 14,333 | E.W. Scripps Companya | 99,758 | |||
| 12,950 | Ethan Allen Interiors, Inc.b | 173,789 | |||
| 27,993 | Finish Line, Inc. | 351,312 | |||
| 19,650 | Fred’s, Inc. | 200,430 | |||
| 11,300 | Genesco, Inc.a | 310,298 | |||
| 12,100 | Group 1 Automotive, Inc.a | 343,035 | |||
| 14,900 | Gymboree Corporationa | 648,001 | |||
| 9,100 | Haverty Furniture Companies, Inc. | 124,943 | |||
| 15,100 | Helen of Troy, Ltd.a | 369,346 | |||
| 14,350 | Hibbett Sports, Inc.a,b | 315,556 | |||
| 30,800 | Hillenbrand, Inc. | 580,272 | |||
| 21,575 | Hot Topic, Inc.a | 137,217 | |||
| 19,600 | HSN, Inc.a | 395,724 | |||
| 35,400 | Iconix Brand Group, Inc.a | 447,810 | |||
| 19,600 | Interval Leisure Group, Inc.a | 244,412 | |||
| 28,600 | Jack in the Box, Inc.a | 562,562 | |||
| 13,700 | JAKKS Pacific, Inc.a | 166,044 | |||
| 13,430 | Jo-Ann Stores, Inc.a | 486,703 | |||
| 9,175 | Joseph A. Bank Clothiers, Inc.a | 387,093 | |||
| 8,100 | Kid Brands, Inc.a | 35,478 | |||
| 13,300 | K-Swiss, Inc.a | 132,202 | |||
| 4,100 | Landry’s Restaurants, Inc.a,b | 87,289 | |||
| 25,600 | La-Z-Boy, Inc.a | 243,968 | |||
| 10,500 | Lithia Motors, Inc.a,b | 86,310 | |||
| 41,500 | Live Nation, Inc.a | 353,165 | |||
| 47,400 | Liz Claiborne, Inc.a,b | 266,862 | |||
| 7,800 | Lumber Liquidators Holdings, Inc.a | 209,040 | |||
| 9,200 | M/I Homes, Inc.a | 95,588 | |||
| 9,700 | Maidenform Brands, Inc.a | 161,893 | |||
| 10,300 | Marcus Corporation | 132,046 | |||
| 10,600 | MarineMax, Inc.a | 97,414 | |||
| 26,000 | Men’s Wearhouse, Inc. | 547,560 | |||
| 15,900 | Meritage Homes Corporationa | 307,347 | |||
| 6,800 | Midas, Inc.a | 57,460 | |||
| 5,500 | Monarch Casino & Resort, Inc.a | 44,550 | |||
| 9,800 | Monro Muffler Brake, Inc. | 327,712 | |||
| 8,800 | Movado Group, Inc. | 85,536 | |||
| 13,300 | Multimedia Games, Inc.a | 79,933 | |||
| 2,400 | National Presto Industries, Inc. | 262,152 | |||
| 9,500 | Nautilus Group, Inc.a | 19,285 | |||
| 15,500 | NutriSystem, Inc.b | 483,135 | |||
| 9,200 | O’Charley’s, Inc.a | 60,260 | |||
| 38,000 | OfficeMax, Inc.a | 482,220 | |||
| 7,000 | Oxford Industries, Inc. | 144,760 | |||
| 11,600 | P.F. Chang’s China Bistro, Inc.a,b | 439,756 | |||
| 11,000 | Papa John’s International, Inc.a | 256,960 | |||
| 6,500 | Peet’s Coffee & Tea, Inc.a | 216,645 | |||
| 23,100 | Pep Boys - Manny, Moe & Jack | 195,426 | |||
| 5,100 | Perry Ellis International, Inc.a | 76,806 | |||
| 11,300 | PetMed Express, Inc.b | 199,219 | |||
| 29,900 | Pinnacle Entertainment, Inc.a | 268,502 | |||
| 16,300 | Polaris Industries, Inc.b | 711,169 | |||
| 24,312 | Pool Corporationb | 463,873 | |||
| 3,600 | Pre-Paid Legal Services, Inc.a | 147,888 | |||
| 63,000 | Quiksilver, Inc.a | 127,260 | |||
| 10,600 | RC2 Corporationa | 156,350 | |||
| 7,800 | Red Robin Gourmet Burgers, Inc.a | 139,620 | |||
| 32,100 | Ruby Tuesday, Inc.a,b | 231,120 | |||
| 9,400 | Ruth’s Hospitality Group, Inc.a | 19,646 | |||
| 26,425 | Shuffle Master, Inc.a | 217,742 | |||
| 16,700 | Skechers USA, Inc.a | 491,147 | |||
| 3,300 | Skyline Corporation | 60,720 | |||
| 19,700 | Sonic Automotive, Inc.a | 204,683 | |||
| 30,252 | Sonic Corporationa | 304,638 | |||
| 16,100 | Spartan Motors, Inc. | 90,643 | |||
| 18,900 | Stage Stores, Inc. | 233,604 | |||
| 5,600 | Stamps.com, Inc.a | 50,400 | |||
| 9,100 | Standard Motor Products, Inc.a | 77,532 | |||
| 47,800 | Standard Pacific Corporationa | 178,772 | |||
| 415 | Steak n Shake Companya | 134,510 | |||
| 12,900 | Stein Mart, Inc.a | 137,514 | |||
| 9,400 | Sturm, Ruger & Company, Inc.b | 91,180 | |||
| 11,500 | Superior Industries International, Inc. | 175,950 | |||
| 25,300 | Texas Roadhouse, Inc.a | 284,119 | |||
| 18,800 | Ticketmaster Entertainment, Inc.a | 229,736 | |||
| 18,100 | Tractor Supply Companya | 958,576 | |||
| 12,700 | True Religion Apparel, Inc.a,b | 234,823 | |||
| 15,000 | Tuesday Morning Corporationa | 38,700 | |||
| 7,200 | UniFirst Corporation | 346,392 | |||
| 6,900 | Universal Electronic, Inc.a | 160,218 | |||
| 10,000 | Universal Technical Institute, Inc.a | 202,000 | |||
| 8,200 | Volcom, Inc.a,b | 137,268 | |||
| 14,400 | Winnebago Industries, Inc.a,b | 175,680 | |||
| 24,600 | Wolverine World Wide, Inc. | 669,612 | |||
| 11,000 | Zale Corporationa,b | 29,920 | |||
| 10,400 | Zumiez, Inc.a,b | 132,288 | |||
Total Consumer Discretionary | 30,272,730 | ||||
| Consumer Staples (3.5%) | |||||
| 43,700 | Alliance One International, Inc.a | 213,256 | |||
| 9,200 | Andersons, Inc. | 237,544 | |||
| 5,100 | Boston Beer Company, Inc.a | 237,660 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.0%) | Value | |||
| Consumer Staples (3.5%) - continued | |||||
| 5,900 | Calavo Growers, Inc. | $ | 100,300 | ||
| 6,300 | Cal-Maine Foods, Inc.b | 214,704 | |||
| 25,400 | Casey’s General Stores, Inc. | 810,768 | |||
| 33,700 | Central Garden & Pet Companya | 334,978 | |||
| 9,500 | Chattem, Inc.a,b | 886,350 | |||
| 40,700 | Darling International, Inc.a | 341,066 | |||
| 8,300 | Diamond Foods, Inc. | 294,982 | |||
| 14,600 | Great Atlantic & Pacific Tea Company, Inc.a,b | 172,134 | |||
| 20,400 | Hain Celestial Group, Inc.a | 347,004 | |||
| 7,000 | J & J Snack Foods Corporation | 279,720 | |||
| 16,000 | Lance, Inc. | 420,800 | |||
| 7,200 | Mannatech, Inc. | 22,464 | |||
| 6,400 | Nash Finch Company | 237,376 | |||
| 8,800 | Sanderson Farms, Inc. | 371,008 | |||
| 11,100 | Spartan Stores, Inc. | 158,619 | |||
| 15,900 | TreeHouse Foods, Inc.a | 617,874 | |||
| 21,600 | United Natural Foods, Inc.a | 577,584 | |||
| 8,270 | WD-40 Company | 267,617 | |||
Total Consumer Staples | 7,143,808 | ||||
| Energy (5.1%) | |||||
| 11,200 | Basic Energy Services, Inc.a | 99,680 | |||
| 17,900 | Bristow Group, Inc.a | 688,255 | |||
| 9,600 | Carbo Ceramics, Inc.b | 654,432 | |||
| 15,000 | Dril-Quip, Inc.a | 847,200 | |||
| 7,200 | Gulf Island Fabrication, Inc. | 151,416 | |||
| 20,600 | Holly Corporation | 527,978 | |||
| 11,500 | Hornbeck Offshore Services, Inc.a | 267,720 | |||
| 58,700 | ION Geophysical Corporationa | 347,504 | |||
| 7,500 | Lufkin Industries, Inc. | 549,000 | |||
| 12,900 | Matrix Service Companya | 137,385 | |||
| 24,800 | Oil States International, Inc.a | 974,392 | |||
| 22,700 | Penn Virginia Corporation | 483,283 | |||
| 9,600 | Petroleum Development Corporationa | 174,816 | |||
| 25,900 | PetroQuest Energy, Inc.a | 158,767 | |||
| 26,800 | Pioneer Drilling Companya | 211,720 | |||
| 10,150 | SEACOR Holdings, Inc.a | 773,937 | |||
| 5,820 | Seahawk Drilling, Inc.a | 131,183 | |||
| 31,200 | St. Mary Land & Exploration Company | 1,068,288 | |||
| 21,000 | Stone Energy Corporationa | 379,050 | |||
| 9,200 | Superior Well Services, Inc.a | 131,192 | |||
| 18,700 | Swift Energy Companya | 448,052 | |||
| 37,450 | TETRA Technologies, Inc.a | 414,946 | |||
| 29,600 | World Fuel Services Corporation | 792,984 | |||
Total Energy | 10,413,180 | ||||
| Financials (18.3%) | |||||
| 19,728 | Acadia Realty Trust | 332,811 | |||
| 4,333 | American Physicians Capital, Inc. | 131,376 | |||
| 9,400 | Amerisafe, Inc.a | 168,918 | |||
| 22,300 | Bank Mutual Corporation | 154,316 | |||
| 6,500 | Bank of the Ozarks, Inc.b | 190,255 | |||
| 49,000 | BioMed Realty Trust, Inc. | 773,220 | |||
| 32,100 | Boston Private Financial Holdings, Inc. | 185,217 | |||
| 28,700 | Brookline Bancorp, Inc. | 284,417 | |||
| 14,600 | Cash America International, Inc. | 510,416 | |||
| 22,200 | Cedar Shopping Centers, Inc. | 150,960 | |||
| 7,900 | City Holding Company | 255,407 | |||
| 32,900 | Colonial Properties Trust | 385,917 | |||
| 14,000 | Columbia Banking System, Inc. | 226,520 | |||
| 16,300 | Community Bank System, Inc. | 314,753 | |||
| 23,665 | Delphi Financial Group, Inc. | 529,386 | |||
| 58,600 | DiamondRock Hospitality Company | 496,342 | |||
| 12,475 | Dime Community Bancshares | 146,207 | |||
| 45,700 | East West Bancorp, Inc. | 722,060 | |||
| 13,100 | EastGroup Properties, Inc. | 501,468 | |||
| 11,600 | eHealth, Inc.a | 190,588 | |||
| 21,600 | Employers Holdings, Inc. | 331,344 | |||
| 21,000 | Entertainment Properties Trust | 740,670 | |||
| 42,900 | Extra Space Storage, Inc. | 495,495 | |||
| 24,300 | EZCORP, Inc.a | 418,203 | |||
| 13,050 | Financial Federal Corporation | 358,875 | |||
| 36,900 | First BanCorpb | 84,870 | |||
| 13,300 | First Cash Financial Services, Inc.a | 295,127 | |||
| 36,900 | First Commonwealth Financial Corporationb | 171,585 | |||
| 22,000 | First Financial Bancorp | 320,320 | |||
| 10,400 | First Financial Bankshares, Inc. | 563,992 | |||
| 27,212 | First Midwest Bancorp, Inc. | 296,339 | |||
| 17,900 | Forestar Real Estate Group, Inc.a | 393,442 | |||
| 33,500 | Franklin Street Properties Corporationb | 489,435 | |||
| 30,600 | Glacier Bancorp, Inc.b | 419,832 | |||
| 10,300 | Greenhill & Company, Inc.b | 826,472 | |||
| 14,200 | Hancock Holding Company | 621,818 | |||
| 23,600 | Hanmi Financial Corporationa,b | 28,320 | |||
| 29,600 | Healthcare Realty Trust, Inc. | 635,216 | |||
| 9,800 | Home Bancshares, Inc. | 235,886 | |||
| 16,800 | Home Properties, Inc.b | 801,528 | |||
| 10,500 | Independent Bank Corporation (MA) | 219,345 | |||
| 6,700 | Infinity Property & Casualty Corporation | 272,288 | |||
| 34,600 | Inland Real Estate Corporation | 281,990 | |||
| 21,800 | Investment Technology Group, Inc.a | 429,460 | |||
| 21,500 | Kilroy Realty Corporationb | 659,405 | |||
| 30,900 | Kite Realty Group Trust | 125,763 | |||
| 25,600 | LaBranche & Company, Inc.a | 72,704 | |||
| 31,700 | LaSalle Hotel Properties | 672,991 | |||
| 50,559 | Lexington Realty Trustb | 307,399 | |||
| 11,500 | LTC Properties, Inc. | 307,625 | |||
| 39,600 | Medical Properties Trust, Inc.b | 396,000 | |||
| 14,400 | Mid-America Apartment Communities, Inc. | 695,232 | |||
| 16,000 | Nara Bancorp, Inc.a | 181,440 | |||
| 20,500 | National Financial Partnersa | 165,845 | |||
| 61,900 | National Penn Bancshares, Inc.b | 358,401 | |||
| 40,800 | National Retail Properties, Inc. | 865,776 | |||
| 6,600 | Navigators Group, Inc.a | 310,926 | |||
| 17,100 | NBT Bancorp, Inc. | 348,327 | |||
| 43,500 | Old National Bancorpb | 540,705 | |||
| 21,100 | optionsXpress Holdings, Inc. | 325,995 | |||
| 10,800 | Parkway Properties, Inc. | 224,856 | |||
| 19,600 | Pennsylvania Real Estate Investment Trustb | 165,816 | |||
| 16,500 | Pinnacle Financial Partners, Inc.a,b | 234,630 | |||
| 7,900 | Piper Jaffray Companiesa | 399,819 | |||
| 7,800 | Portfolio Recovery Associates, Inc.a,b | 350,064 | |||
| 24,200 | Post Properties, Inc. | 474,320 | |||
| 10,200 | Presidential Life Corporation | 93,330 | |||
| 29,000 | PrivateBancorp, Inc.b | 260,130 | |||
| 16,200 | ProAssurance Corporationa | �� | 870,102 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.0%) | Value | |||
| Financials (18.3%) - continued | |||||
| 23,200 | Prosperity Bancshares, Inc. | $ | 938,904 | ||
| 9,000 | PS Business Parks, Inc. | 450,450 | |||
| 4,233 | Rewards Network, Inc. | 53,505 | |||
| 8,900 | RLI Corporation | 473,925 | |||
| 12,000 | S&T Bancorp, Inc.b | 204,120 | |||
| 7,500 | Safety Insurance Group, Inc. | 271,725 | |||
| 26,500 | Selective Insurance Group, Inc. | 435,925 | |||
| 20,300 | Signature Banka | 647,570 | |||
| 7,400 | Simmons First National Corporation | 205,720 | |||
| 103,800 | South Financial Group, Inc. | 66,920 | |||
| 13,700 | Sovran Self Storage, Inc. | 489,501 | |||
| 8,600 | Sterling Bancorp | 61,404 | |||
| 40,100 | Sterling Bancshares, Inc. | 205,713 | |||
| 9,100 | Stewart Information Services Corporation | 102,648 | |||
| 15,100 | Stifel Financial Corporationa | 894,524 | |||
| 42,500 | Susquehanna Bancshares, Inc.b | 250,325 | |||
| 13,926 | SWS Group, Inc. | 168,505 | |||
| 20,100 | Tanger Factory Outlet Centers, Inc. | 783,699 | |||
| 3,400 | Tompkins Financial Corporationb | 137,700 | |||
| 22,400 | Tower Group, Inc. | 524,384 | |||
| 15,900 | Tradestation Group, Inc.a | 125,451 | |||
| 37,082 | TrustCo Bank Corporation NYb | 233,616 | |||
| 14,900 | UMB Financial Corporation | 586,315 | |||
| 43,300 | Umpqua Holdings Corporationb | 580,653 | |||
| 19,100 | United Bankshares, Inc.b | 381,427 | |||
| 40,476 | United Community Banks, Inc.a | 137,214 | |||
| 11,200 | United Fire & Casualty Company | 204,176 | |||
| 10,500 | Urstadt Biddle Properties | 160,335 | |||
| 48,100 | Whitney Holding Corporation | 438,191 | |||
| 9,400 | Wilshire Bancorp, Inc. | 76,986 | |||
| 12,100 | Wintrust Financial Corporation | 372,559 | |||
| 8,112 | World Acceptance Corporationa,b | 290,653 | |||
| 18,600 | Zenith National Insurance Corporation | 553,908 | |||
Total Financials | 37,298,658 | ||||
| Health Care (13.4%) | |||||
| 11,000 | Abaxis, Inc.a | 281,050 | |||
| 5,500 | Air Methods Corporationa | 184,910 | |||
| 33,400 | Align Technology, Inc.a | 595,188 | |||
| 4,100 | Almost Family, Inc.a | 162,073 | |||
| 14,033 | Amedisys, Inc.a,b | 681,442 | |||
| 36,900 | American Medical Systems Holdings, Inc.a | 711,801 | |||
| 25,500 | AMERIGROUP Corporationa | 687,480 | |||
| 16,000 | AMN Healthcare Services, Inc.a | 144,960 | |||
| 15,350 | AmSurg Corporationa | 338,007 | |||
| 6,500 | Analogic Corporation | 250,315 | |||
| 13,100 | ArQule, Inc.a | 48,339 | |||
| 6,000 | Bio-Reference Laboratories, Inc.a | 235,140 | |||
| 14,300 | Cambrex Corporationa | 79,794 | |||
| 6,400 | Cantel Medical Corporationa | 129,152 | |||
| 19,200 | Catalyst Health Solutions, Inc.a | 700,224 | |||
| 21,500 | Centene Corporationa | 455,155 | |||
| 11,300 | Chemed Corporation | 542,061 | |||
| 4,800 | Computer Programs and Systems, Inc. | 221,040 | |||
| 14,450 | CONMED Corporationa | 329,460 | |||
| 22,600 | Cooper Companies, Inc. | 861,512 | |||
| 3,700 | Corvel Corporationa | 124,098 | |||
| 15,200 | Cross Country Healthcare, Inc.a | 150,632 | |||
| 13,850 | CryoLife, Inc.a | 88,917 | |||
| 28,900 | Cubist Pharmaceuticals, Inc.a | 548,233 | |||
| 11,900 | Cyberonics, Inc.a | 243,236 | |||
| 8,900 | Dionex Corporationa | 657,443 | |||
| 28,300 | Eclipsys Corporationa | 524,116 | |||
| 8,200 | Emergent Biosolutions, Inc.a | 111,438 | |||
| 16,197 | Enzo Biochem, Inc.a | 87,140 | |||
| 20,500 | eResearch Technology, Inc.a | 123,205 | |||
| 8,600 | Genoptix, Inca | 305,558 | |||
| 14,600 | Gentiva Health Services, Inc.a | 394,346 | |||
| 11,400 | Greatbatch, Inc.a | 219,222 | |||
| 12,800 | Haemonetics Corporationa | 705,920 | |||
| 15,600 | Hanger Orthopedic Group, Inc.a | 215,748 | |||
| 24,400 | Healthspring, Inc.a | 429,684 | |||
| 16,800 | Healthways, Inc.a | 308,112 | |||
| 12,900 | HMS Holding Corporationa | 628,101 | |||
| 6,400 | ICU Medical, Inc.a | 233,216 | |||
| 10,300 | Integra LifeSciences Holdings Corporationa | 378,834 | |||
| 16,000 | Invacare Corporationb | 399,040 | |||
| 16,600 | inVentiv Health, Inc.a | 268,422 | |||
| 6,800 | IPC The Hospitalist Company, Inc.a | 226,100 | |||
| 7,500 | Kendle International, Inc.a | 137,325 | |||
| 5,600 | Kensey Nash Corporationa | 142,800 | |||
| 4,600 | Landauer, Inc. | 282,440 | |||
| 9,050 | LCA-Vision, Inc.a | 46,336 | |||
| 7,600 | LHC Group, Inc.a | 255,436 | |||
| 17,500 | Magellan Health Services, Inc.a | 712,775 | |||
| 16,500 | Martek Biosciences Corporationa,b | 312,510 | |||
| 8,700 | MedCath Corporationa | 68,817 | |||
| 23,100 | Mednax, Inc.a | 1,388,772 | |||
| 20,200 | Meridian Bioscience, Inc. | 435,310 | |||
| 14,000 | Merit Medical Systems, Inc.a | 270,060 | |||
| 6,700 | Molina Healthcare, Inc.a,b | 153,229 | |||
| 6,000 | MWI Veterinary Supply, Inc.a | 226,200 | |||
| 14,100 | Natus Medical, Inc.a | 208,539 | |||
| 11,150 | Neogen Corporationa | 263,252 | |||
| 16,500 | Odyssey Healthcare, Inc.a | 257,070 | |||
| 15,800 | Omnicell, Inc.a | 184,702 | |||
| 8,200 | Osteotech, Inc.a | 26,240 | |||
| 8,900 | Palomar Medical Technologies, Inc.a | 89,712 | |||
| 17,400 | Par Pharmaceutical Companies, Inc.a | 470,844 | |||
| 28,900 | PAREXEL International Corporationa | 407,490 | |||
| 15,000 | PharMerica Corporationa | 238,200 | |||
| 21,500 | Phase Forward, Inc.a | 330,025 | |||
| 29,800 | PSS World Medical, Inc.a | 672,586 | |||
| 9,500 | Quality Systems, Inc.b | 596,505 | |||
| 31,700 | Regeneron Pharmaceuticals, Inc.a | 766,506 | |||
| 12,300 | RehabCare Group, Inc.a | 374,289 | |||
| 12,400 | Res-Care, Inc.a | 138,880 | |||
| 27,700 | Salix Pharmaceuticals, Ltd.a | 703,580 | |||
| 33,100 | Savient Pharmaceuticals, Inc.a | 450,491 | |||
| 8,700 | SurModics, Inc.a,b | 197,142 | |||
| 17,600 | Symmetry Medical, Inc.a | 141,856 | |||
| 14,300 | Theragenics Corporationa | 19,162 | |||
| 38,400 | ViroPharma, Inc.a | 322,176 | |||
| 16,500 | West Pharmaceutical Services, Inc. | 646,800 | |||
| 10,600 | Zoll Medical Corporationa | 283,232 | |||
Total Health Care | 27,231,153 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.0%) | Value | |||
| Industrials (16.6%) | |||||
| 11,300 | A.O. Smith Corporation | $ | 490,307 | ||
| 6,200 | AAON, Inc. | 120,838 | |||
| 19,400 | AAR Corporationa,b | 445,812 | |||
| 23,100 | ABM Industries, Inc. | 477,246 | |||
| 33,700 | Actuant Corporation | 624,461 | |||
| 21,600 | Acuity Brands, Inc. | 769,824 | |||
| 11,200 | Administaff, Inc. | 264,208 | |||
| 7,400 | Aerovironment, Inc.a,b | 215,192 | |||
| 13,700 | Albany International Corporation | 307,702 | |||
| 7,600 | Allegiant Travel Companya,b | 358,492 | |||
| 4,500 | American Science & Engineering, Inc. | 341,280 | |||
| 13,800 | Apogee Enterprises, Inc. | 193,200 | |||
| 18,450 | Applied Industrial Technologies, Inc. | 407,192 | |||
| 6,500 | Applied Signal Technology, Inc. | 125,385 | |||
| 12,700 | Arkansas Best Corporation | 373,761 | |||
| 9,900 | Astec Industries, Inc.a | 266,706 | |||
| 10,000 | ATC Technology Corporationa | 238,500 | |||
| 6,200 | Azz, Inc.a | 202,740 | |||
| 7,500 | Badger Meter, Inc.b | 298,650 | |||
| 20,900 | Baldor Electric Company | 587,081 | |||
| 21,600 | Barnes Group, Inc. | 365,040 | |||
| 23,225 | Belden, Inc. | 509,092 | |||
| 19,858 | Bowne & Company, Inc. | 132,651 | |||
| 26,100 | Brady Corporation | 783,261 | |||
| 24,900 | Briggs & Stratton Corporationb | 465,879 | |||
| 4,500 | Cascade Corporation | 123,705 | |||
| 6,300 | CDI Corporation | 81,585 | |||
| 12,750 | Ceradyne, Inc.a | 244,928 | |||
| 8,400 | Circor International, Inc. | 211,512 | |||
| 25,100 | CLARCOR, Inc. | 814,244 | |||
| 18,700 | Comfort Systems USA, Inc. | 230,758 | |||
| 5,600 | Consolidated Graphics, Inc.a | 196,112 | |||
| 7,800 | Cubic Corporation | 290,940 | |||
| 22,700 | Curtiss-Wright Corporation | 710,964 | |||
| 19,200 | Dycom Industries, Inc.a | 154,176 | |||
| 32,900 | EMCOR Group, Inc.a | 885,010 | |||
| 9,400 | Encore Wire Corporationb | 198,058 | |||
| 10,000 | EnPro Industries, Inc.a | 264,100 | |||
| 13,200 | ESCO Technologies, Inc. | 473,220 | |||
| 14,900 | Esterline Technologies Corporationa | 607,473 | |||
| 6,900 | Exponent, Inc.a | 192,096 | |||
| 14,500 | Forward Air Corporation | 363,225 | |||
| 9,300 | G & K Services, Inc. | 233,709 | |||
| 25,900 | Gardner Denver, Inc. | 1,102,045 | |||
| 25,000 | GenCorp, Inc.a | 175,000 | |||
| 25,500 | Geo Group, Inc.a | 557,940 | |||
| 15,100 | Gibraltar Industries, Inc.a | 237,523 | |||
| 21,830 | Griffon Corporationa | 266,763 | |||
| 21,625 | Healthcare Services Group, Inc. | 464,072 | |||
| 25,948 | Heartland Express, Inc. | 396,226 | |||
| 8,600 | Heidrick & Struggles International, Inc. | 268,664 | |||
| 18,900 | Hub Group, Inc.a | 507,087 | |||
| 12,400 | II-VI, Inc.a | 394,320 | |||
| 19,400 | Insituform Technologies, Inc.a | 440,768 | |||
| 27,900 | Interface, Inc. | 231,849 | |||
| 13,700 | John Bean Technologies Corporation | 233,037 | |||
| 12,900 | Kaman Corporation | 297,861 | |||
| 16,600 | Kaydon Corporation | 593,616 | |||
| 13,100 | Kelly Services, Inc.a | 156,283 | |||
| 28,950 | Knight Transportation, Inc. | 558,445 | |||
| 2,000 | Lawson Products, Inc. | 35,300 | |||
| 6,250 | Lindsay Manufacturing Companyb | 249,063 | |||
| 8,300 | Lydall, Inc.a | 43,243 | |||
| 14,100 | MagneTek, Inc.a | 21,714 | |||
| 17,600 | Mobile Mini, Inc.a | 247,984 | |||
| 22,650 | Moog, Inc.a | 662,059 | |||
| 18,800 | Mueller Industries, Inc. | 466,992 | |||
| 44,000 | NCI Building Systems, Inc.a | 79,640 | |||
| 13,950 | Old Dominion Freight Line, Inc.a | 428,265 | |||
| 17,800 | On Assignment, Inc.a | 127,270 | |||
| 28,400 | Orbital Sciences Corporationa | 433,384 | |||
| 18,675 | Quanex Building Products Corporation | 316,915 | |||
| 16,400 | Robbins & Myers, Inc. | 385,728 | |||
| 8,000 | School Specialty, Inc.a | 187,120 | |||
| 19,200 | Simpson Manufacturing Company, Inc.b | 516,288 | |||
| 27,700 | SkyWest, Inc. | 468,684 | |||
| 25,200 | Spherion Corporationa | 141,624 | |||
| 6,100 | Standard Register Company | 31,110 | |||
| 6,300 | Standex International Corporation | 126,567 | |||
| 8,100 | Stanley, Inc.a | 222,021 | |||
| 17,600 | Sykes Enterprises, Inc.a | 448,272 | |||
| 18,000 | Teledyne Technologies, Inc.a | 690,480 | |||
| 30,606 | Tetra Tech, Inc.a | 831,565 | |||
| 17,100 | Toro Companyb | 714,951 | |||
| 10,700 | Tredegar Corporation | 169,274 | |||
| 8,300 | Triumph Group, Inc. | 400,475 | |||
| 21,700 | TrueBlue, Inc.a | 321,377 | |||
| 12,000 | United Stationers, Inc.a | 682,200 | |||
| 9,700 | Universal Forest Products, Inc. | 357,057 | |||
| 10,300 | Viad Corporation | 212,489 | |||
| 9,600 | Vicor Corporationa | 89,280 | |||
| 6,000 | Volt Information Sciences, Inc.a | 60,000 | |||
| 16,050 | Watsco, Inc. | 786,129 | |||
| 14,700 | Watts Water Technologies, Inc. | 454,524 | |||
Total Industrials | 33,930,858 | ||||
| Information Technology (17.4%) | |||||
| 12,800 | Actel Corporationa | 152,064 | |||
| 57,600 | Adaptec, Inc.a | 192,960 | |||
| 16,400 | Advanced Energy Industries, Inc.a | 247,312 | |||
| 9,900 | Agilysys, Inc. | 90,090 | |||
| 14,400 | Anixter International, Inc.a,b | 678,240 | |||
| 62,523 | Arris Group, Inc.a | 714,638 | |||
| 15,700 | ATMI, Inc.a | 292,334 | |||
| 14,013 | Avid Technology, Inc.a | 178,806 | |||
| 5,800 | Bel Fuse, Inc. | 124,642 | |||
| 32,050 | Benchmark Electronics, Inc.a | 606,065 | |||
| 8,700 | Black Box Corporation | 246,558 | |||
| 22,000 | Blackbaud, Inc. | 519,860 | |||
| 20,300 | Blue Coat Systems, Inc.a | 579,362 | |||
| 32,500 | Brightpoint, Inc.a | 238,875 | |||
| 31,907 | Brooks Automation, Inc.a | 273,762 | |||
| 11,700 | Cabot Microelectronics Corporationa | 385,632 | |||
| 15,000 | CACI International, Inc.a | 732,750 | |||
| 19,400 | Checkpoint Systems, Inc.a | 295,850 | |||
| 33,900 | CIBER, Inc.a | 116,955 | |||
| 19,600 | Cognex Corporation | 347,312 | |||
| 11,600 | Cohu, Inc. | 161,820 | |||
| 21,000 | CommVault Systems, Inc.a | 497,490 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.0%) | Value | |||
| Information Technology (17.4%) - continued | |||||
| 11,400 | Compellent Technologies, Inc.a | $ | 258,552 | ||
| 12,100 | comScore, Inc.a | 212,355 | |||
| 14,100 | Comtech Telecommunications Corporationa | 494,205 | |||
| 21,300 | Concur Technologies, Inc.a | 910,575 | |||
| 17,500 | CSG Systems International, Inc.a | 334,075 | |||
| 16,800 | CTS Corporation | 161,616 | |||
| 34,925 | CyberSource Corporationa | 702,342 | |||
| 14,400 | Cymer, Inc.a | 552,672 | |||
| 77,600 | Cypress Semiconductor Corporationa | 819,456 | |||
| 17,000 | Daktronics, Inc.b | 156,570 | |||
| 20,200 | DealerTrack Holdings, Inc.a | 379,558 | |||
| 12,100 | Digi International, Inc.a | 110,352 | |||
| 17,450 | Diodes, Inc.a | 356,853 | |||
| 11,000 | DSP Group, Inc.a | 61,930 | |||
| 8,800 | DTS, Inc.a | 301,048 | |||
| 5,100 | Ebix, Inc.a,b | 249,033 | |||
| 13,400 | Electro Scientific Industries, Inc.a | 144,988 | |||
| 7,500 | EMS Technologies, Inc.a | 108,750 | |||
| 22,600 | Epicor Software Corporationa | 172,212 | |||
| 16,100 | EPIQ Systems, Inc.a | 225,239 | |||
| 21,200 | Exar Corporationa | 150,732 | |||
| 8,100 | FARO Technologies, Inc.a | 173,664 | |||
| 18,800 | FEI Companya | 439,168 | |||
| 7,400 | Forrester Research, Inc.a | 192,030 | |||
| 12,300 | Gerber Scientific, Inc.a | 62,115 | |||
| 47,100 | Harmonic, Inc.a | 298,143 | |||
| 18,600 | Heartland Payment Systems, Inc. | 244,218 | |||
| 10,700 | Hittite Microwave Corporationa | 436,025 | |||
| 11,600 | Hutchinson Technology, Inc.a | 119,016 | |||
| 17,100 | InfoSpace, Inc.a | 146,547 | |||
| 22,775 | Insight Enterprises, Inc.a | 260,091 | |||
| 8,400 | Integral Systems, Inc.a | 72,744 | |||
| 24,600 | Intermec, Inc.a | 316,356 | |||
| 10,900 | Intevac, Inc.a | 125,023 | |||
| 22,400 | J2 Global Communication, Inc.a | 455,840 | |||
| 15,200 | JDA Software Group, Inc.a | 387,144 | |||
| 6,400 | Keithley Instruments, Inc. | 29,760 | |||
| 14,600 | Knot, Inc.a | 147,022 | |||
| 32,100 | Kopin Corporationa | 134,178 | |||
| 34,200 | Kulicke and Soffa Industries, Inc.a | 184,338 | |||
| 10,900 | Littelfuse, Inc.a | 350,435 | |||
| 8,500 | LoJack Corporationa | 34,340 | |||
| 11,200 | Manhattan Associates, Inc.a | 269,136 | |||
| 8,800 | MAXIMUS, Inc. | 440,000 | |||
| 11,600 | Mercury Computer Systems, Inc.a | 127,716 | |||
| 18,600 | Methode Electronics, Inc. | 161,448 | |||
| 20,800 | Micrel, Inc. | 170,560 | |||
| 40,800 | Microsemi Corporationa | 724,200 | |||
| 24,500 | MKS Instruments, Inc.a | 426,545 | |||
| 8,200 | MTS Systems Corporation | 235,668 | |||
| 17,300 | NETGEAR, Inc.a | 375,237 | |||
| 17,000 | NetScout Systems, Inc.a | 248,880 | |||
| 14,200 | Network Equipment Technologies, Inc.a | 57,510 | |||
| 17,800 | Newport Corporationa | 163,582 | |||
| 15,200 | Novatel Wireless, Inc.a,b | 121,144 | |||
| 10,250 | Park Electrochemical Corporation | 283,310 | |||
| 8,900 | PC-Tel, Inc.a | 52,688 | |||
| 15,100 | Perficient, Inc.a | 127,293 | |||
| 12,600 | Pericom Semiconductor Corporationa | 145,278 | |||
| 16,900 | Phoenix Technologies, Ltd.a | 46,475 | |||
| 19,800 | Plexus Corporationa | 564,300 | |||
| 20,000 | Progress Software Corporationa | 584,200 | |||
| 13,600 | Radiant Systems, Inc.a | 141,440 | |||
| 11,700 | RadiSys Corporationa | 111,735 | |||
| 7,900 | Rogers Corporationa | 239,449 | |||
| 15,200 | Rudolph Technologies, Inc.a | 102,144 | |||
| 13,300 | ScanSource, Inc.a | 355,110 | |||
| 13,300 | Sigma Designs, Inc.a,b | 142,310 | |||
| 86,900 | Skyworks Solutions, Inc.a | 1,233,111 | |||
| 14,500 | Smith Micro Software, Inc.a | 132,530 | |||
| 14,800 | Sonic Solutions, Inc.a | 175,084 | |||
| 11,100 | Standard Microsystems Corporationa | 230,658 | |||
| 5,800 | StarTek, Inc.a | 43,384 | |||
| 10,100 | Stratasys, Inc.a,b | 174,528 | |||
| 6,500 | Supertex, Inc.a | 193,700 | |||
| 21,250 | Symmetricom, Inc.a | 110,500 | |||
| 17,000 | Synaptics, Inc.a,b | 521,050 | |||
| 10,300 | Synnex Corporationa | 315,798 | |||
| 40,050 | Take-Two Interactive Software, Inc.a,b | 402,502 | |||
| 19,200 | Taleo Corporationa | 451,584 | |||
| 20,200 | Technitrol, Inc. | 88,476 | |||
| 33,300 | Tekelec, Inc.a | 508,824 | |||
| 16,200 | TeleTech Holdings, Inc.a | 324,486 | |||
| 33,237 | THQ, Inc.a | 167,514 | |||
| 6,000 | Tollgrade Communications, Inc.a | 36,660 | |||
| 75,300 | TriQuint Semiconductor, Inc.a | 451,800 | |||
| 21,400 | TTM Technologies, Inc.a | 246,742 | |||
| 13,800 | Tyler Technologies, Inc.a | 274,758 | |||
| 11,800 | Ultratech, Inc.a | 175,348 | |||
| 41,800 | United Online, Inc. | 300,542 | |||
| 36,675 | Varian Semiconductor Equipment Associates, Inc.a | 1,315,899 | |||
| 19,200 | Veeco Instruments, Inc.a | 634,368 | |||
| 14,000 | ViaSat, Inc.a | 444,920 | |||
| 21,700 | Websense, Inc.a | 378,882 | |||
| 19,000 | Wright Express Corporationa | 605,340 | |||
Total Information Technology | 35,501,033 | ||||
| Materials (4.8%) | |||||
| 13,000 | A. Schulman, Inc. | 262,340 | |||
| 8,300 | A.M. Castle & Company | 113,627 | |||
| 12,300 | AMCOL International Corporationb | 349,566 | |||
| 10,200 | American Vanguard Corporationb | 84,660 | |||
| 12,500 | Arch Chemicals, Inc. | 386,000 | |||
| 9,200 | Balchem Corporation | 308,292 | |||
| 10,100 | Brush Engineered Materials, Inc.a | 187,254 | |||
| 19,200 | Buckeye Technologies, Inc.a | 187,392 | |||
| 27,800 | Calgon Carbon Corporationa | 386,420 | |||
| 28,600 | Century Aluminum Companya | 463,034 | |||
| 5,700 | Clearwater Paper Corporationa | 313,329 | |||
| 5,300 | Deltic Timber Corporation | 244,754 | |||
| 21,900 | Eagle Materials, Inc. | 570,495 | |||
| 24,300 | H.B. Fuller Company | 552,825 | |||
| 29,800 | Headwaters, Inc.a | 194,296 | |||
| 13,863 | Myers Industries, Inc. | 126,154 | |||
| 7,300 | Neenah Paper, Inc. | 101,835 | |||
| 5,900 | NewMarket Corporation | 677,143 | |||
| 4,500 | Olympic Steel, Inc. | 146,610 | |||
| 15,300 | OM Group, Inc.a | 480,267 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.0%) | Value | ||||
| Materials (4.8%) - continued | ||||||
| 5,600 | Penford Corporation | $ | 48,664 | |||
| 45,800 | PolyOne Corporationa | 342,126 | ||||
| 5,600 | Quaker Chemical Corporation | 115,584 | ||||
| 19,400 | Rock-Tenn Company | 977,954 | ||||
| 15,000 | RTI International Metals, Inc.a | 377,550 | ||||
| 8,900 | Schweitzer-Mauduit International, Inc. | 626,115 | ||||
| 3,800 | Stepan Company | 246,278 | ||||
| 13,900 | Texas Industries, Inc.b | 486,361 | ||||
| 24,300 | Wausau Paper Corporation | 281,880 | ||||
| 10,850 | Zep, Inc. | 187,922 | ||||
Total Materials | 9,826,727 | |||||
| Telecommunications Services (0.6%) | ||||||
| 12,900 | Cbeyond, Inc.a,b | 203,175 | ||||
| 21,800 | General Communication, Inc.a | 139,084 | ||||
| 16,300 | Iowa Telecommunications Services, Inc. | 273,188 | ||||
| 16,800 | Neutral Tandem, Inc.a | 382,200 | ||||
| 11,200 | USA Mobility, Inc. | 123,312 | ||||
Total Telecommunications Services | 1,120,959 | |||||
| Utilities (3.5%) | ||||||
| 14,833 | ALLETE, Inc. | 484,742 | ||||
| 9,250 | American States Water Company | 327,543 | ||||
| 27,300 | Avista Corporation | 589,407 | ||||
| 5,900 | Central Vermont Public Service Corporation | 122,720 | ||||
| 7,800 | CH Energy Group, Inc. | 331,656 | ||||
| 21,800 | El Paso Electric Companya | 442,104 | ||||
| 11,100 | Laclede Group, Inc. | 374,847 | ||||
| 20,750 | New Jersey Resources Corporation | 776,050 | ||||
| 13,200 | Northwest Natural Gas Company | 594,528 | ||||
| 36,200 | Piedmont Natural Gas Company, Inc. | 968,350 | ||||
| 14,900 | South Jersey Industries, Inc. | 568,882 | ||||
| 22,400 | Southwest Gas Corporation | 639,072 | ||||
| 14,966 | UIL Holdings Corporation | 420,245 | ||||
| 17,800 | UniSource Energy Corporation | 572,982 | ||||
Total Utilities | 7,213,128 | |||||
Total Common Stock (cost $189,555,618) | 199,952,234 | |||||
| Principal Amount | Long-Term Fixed Income (0.2%) | |||||
| U.S. Government and Agencies (0.2%) | ||||||
U.S. Treasury Notes | ||||||
| 400,000 | 0.875%, 12/31/2010c | 401,469 | ||||
Total U.S. Government and Agencies | 401,469 | |||||
Total Long-Term Fixed Income (cost $400,580) | 401,469 | |||||
| Shares | Collateral Held for Securities Loaned (11.9%) | |||||
| 24,200,701 | Thrivent Financial Securities Lending Trust | $ | 24,200,701 | |||
Total Collateral Held for Securities Loaned (cost $24,200,701) | 24,200,701 | |||||
| Principal Amount | Short-Term Investments (1.7%)d | |||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 2,000,000 | 0.030%, 2/18/2010 | 1,999,920 | ||||
| 1,500,000 | 0.030%, 2/22/2010 | 1,499,935 | ||||
Total Short-Term Investments (at amortized cost) | 3,499,855 | |||||
Total Investments (cost $217,656,754) 111.8% | $ | 228,054,259 | ||||
Other Assets and Liabilities, Net (11.8%) | (24,134,767 | ) | ||||
Total Net Assets 100.0% | $ | 203,919,492 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | At December 31, 2009, $401,469 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 44,048,966 | ||
Gross unrealized depreciation | (38,231,661 | ) | ||
Net unrealized appreciation (depreciation) | $ | 5,817,305 | ||
Cost for federal income tax purposes | $ | 222,236,954 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Small Cap Index Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 30,272,730 | 30,272,730 | — | — | ||||||||
Consumer Staples | 7,143,808 | 7,143,808 | — | — | ||||||||
Energy | 10,413,180 | 10,413,180 | — | — | ||||||||
Financials | 37,298,658 | 37,298,658 | — | — | ||||||||
Health Care | 27,231,153 | 27,231,153 | — | — | ||||||||
Industrials | 33,930,858 | 33,930,858 | — | — | ||||||||
Information Technology | 35,501,033 | 35,501,033 | — | — | ||||||||
Materials | 9,826,727 | 9,826,727 | — | — | ||||||||
Telecommunications Services | 1,120,959 | 1,120,959 | — | — | ||||||||
Utilities | 7,213,128 | 7,213,128 | — | — | ||||||||
Long-Term Fixed Income | ||||||||||||
U.S. Government and Agencies | 401,469 | — | 401,469 | — | ||||||||
Collateral Held for Securities Loaned | 24,200,701 | 24,200,701 | — | — | ||||||||
Short-Term Investments | 3,499,855 | — | 3,499,855 | — | ||||||||
Total | $ | 228,054,259 | $ | 224,152,935 | $ | 3,901,324 | $ | — | ||||
Other Financial Instruments* | $113,282 | $113,282 | $ | — | $ | — | ||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
Russell 2000 Index Mini-Futures | 65 | March 2010 | $ | 3,942,069 | $ | 4,055,351 | $ | 113,282 | |||||
Total Futures Contracts | $ | 113,282 | |||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 113,282 | |||
Total Equity Contracts | 113,282 | ||||
Total Asset Derivatives | $ | 113,282 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Equity Contracts | |||||
Futures | Net realized gains/(losses) on Futures contracts | 1,203,307 | |||
Total Equity Contracts | 1,203,307 | ||||
Total | $ | 1,203,307 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 10,046 | |||
Total Equity Contracts | 10,046 | ||||
Total | $ | 10,046 | |||
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $ | 2,910,458 | 1.6 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Small Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 968,867 | $ | 26,216,731 | $ | 27,185,598 | — | $ | — | $ | 5,751 | ||||||
Thrivent Financial Securities Lending Trust | 44,468,815 | 99,387,294 | 119,655,408 | 24,200,701 | 24,200,701 | 259,843 | |||||||||||
Total Value and Income Earned | 45,437,682 | 24,200,701 | 265,594 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (92.2%) | Value | |||
| Consumer Discretionary (11.2%) | |||||
| 35,700 | Bed Bath & Beyond, Inc.a | $ | 1,379,091 | ||
| 33,500 | Burger King Holdings, Inc. | 630,470 | |||
| 207,300 | Coldwater Creek, Inc.a | 924,558 | |||
| 31,800 | Darden Restaurants, Inc. | 1,115,226 | |||
| 27,400 | DeVry, Inc. | 1,554,402 | |||
| 36,200 | Discovery Communications, Inc.a | 1,110,254 | |||
| 38,300 | Dollar Tree, Inc.a | 1,849,890 | |||
| 32,000 | Gentex Corporation | 571,200 | |||
| 41,700 | International Game Technology | 782,709 | |||
| 118,300 | Leapfrog Enterprises, Inc.a | 462,553 | |||
| 52,500 | Toll Brothers, Inc.a | 987,525 | |||
| 13,100 | VF Corporation | 959,444 | |||
| 22,000 | WMS Industries, Inc.a | 880,000 | |||
| 70,900 | Zumiez, Inc.a,b | 901,848 | |||
Total Consumer Discretionary | 14,109,170 | ||||
| Consumer Staples (3.8%) | |||||
| 41,900 | Avon Products, Inc. | 1,319,850 | |||
| 33,600 | BJ’s Wholesale Club, Inc.a | 1,099,056 | |||
| 56,200 | H.J. Heinz Company | 2,403,112 | |||
Total Consumer Staples | 4,822,018 | ||||
| Energy (12.9%) | |||||
| 39,500 | Alpha Natural Resources, Inc.a | 1,713,510 | |||
| 75,000 | Forest Oil Corporationa | 1,668,750 | |||
| 9,300 | Helmerich & Payne, Inc. | 370,884 | |||
| 83,300 | Nabors Industries, Ltd.a | 1,823,437 | |||
| 35,700 | Peabody Energy Corporation | 1,613,997 | |||
| 83,300 | Petrohawk Energy Corporationa | 1,998,367 | |||
| 90,500 | Quicksilver Resources, Inc.a,b | 1,358,405 | |||
| 21,700 | Range Resources Corporation | 1,081,745 | |||
| 43,000 | Sunoco, Inc. | 1,122,300 | |||
| 40,400 | Ultra Petroleum Corporationa | 2,014,344 | |||
| 35,500 | Weatherford International, Ltd.a | 635,805 | |||
| 48,300 | Willbros Group, Inc.a | 814,821 | |||
Total Energy | 16,216,365 | ||||
| Financials (6.2%) | |||||
| 10,300 | IntercontinentalExchange, Inc.a | 1,156,690 | |||
| 46,800 | Lazard, Ltd. | 1,776,996 | |||
| 23,100 | PartnerRe, Ltd. | 1,724,646 | |||
| 14,200 | T. Rowe Price Group, Inc. | 756,150 | |||
| 67,493 | TCF Financial Corporationb | 919,254 | |||
| 74,900 | TD Ameritrade Holding Corporationa | 1,451,562 | |||
Total Financials | 7,785,298 | ||||
| Health Care (11.5%) | |||||
| 12,600 | Alexion Pharmaceuticals, Inc.a | 615,132 | |||
| 81,200 | Amylin Pharmaceuticals, Inc.a | 1,152,228 | |||
| 26,100 | Beckman Coulter, Inc. | 1,707,984 | |||
| 131,100 | Boston Scientific Corporationa | 1,179,900 | |||
| 25,100 | C.R. Bard, Inc. | 1,955,290 | |||
| 13,100 | CardioNet, Inc.a,b | 77,814 | |||
| 15,300 | Cephalon, Inc.a | 954,873 | |||
| 22,400 | CIGNA Corporation | 790,048 | |||
| 89,100 | Hologic, Inc.a | 1,291,950 | |||
| 54,000 | Myriad Genetics, Inc.a | 1,409,400 | |||
| 20,900 | Shire Pharmaceuticals Group plc ADR | 1,226,830 | |||
| 20,500 | Thermo Fisher Scientific, Inc.a | 977,645 | |||
| 25,500 | Vertex Pharmaceuticals, Inc.a | 1,092,675 | |||
Total Health Care | 14,431,769 | ||||
| Industrials (16.1%) | |||||
| 47,200 | Aecom Technology Corporationa | 1,298,000 | |||
| 72,900 | BE Aerospace, Inc.a | 1,713,150 | |||
| 31,100 | C.H. Robinson Worldwide, Inc. | 1,826,503 | |||
| 21,100 | Con-way, Inc. | 736,601 | |||
| 109,700 | Delta Air Lines, Inc.a | 1,248,386 | |||
| 18,900 | Flowserve Corporation | 1,786,617 | |||
| 20,299 | FTI Consulting, Inc.a | 957,301 | |||
| 34,900 | Knight Transportation, Inc. | 673,221 | |||
| 52,260 | Monster Worldwide, Inc.a | 909,324 | |||
| 19,200 | Precision Castparts Corporation | 2,118,720 | |||
| 75,900 | Quanta Services, Inc.a | 1,581,756 | |||
| 62,900 | Ryanair Holdings plc ADRa | 1,686,978 | |||
| 36,000 | SPX Corporation | 1,969,200 | |||
| 31,100 | Stericycle, Inc.a | 1,715,787 | |||
Total Industrials | 20,221,544 | ||||
| Information Technology (18.8%) | |||||
| 49,187 | Akamai Technologies, Inc.a | 1,245,907 | |||
| 53,900 | Altera Corporation | 1,219,757 | |||
| 46,500 | Electronic Arts, Inc.a | 825,375 | |||
| 71,300 | F5 Networks, Inc.a | 3,777,474 | |||
| 44,200 | FormFactor, Inc.a | 961,792 | |||
| 30,400 | Juniper Networks, Inc.a | 810,768 | |||
| 72,300 | Marvell Technology Group, Ltd.a | 1,500,225 | |||
| 87,900 | Maxim Integrated Products, Inc. | 1,784,370 | |||
| 58,500 | Molex, Inc. | 1,260,675 | |||
| 67,400 | NETAPP, Inc.a | 2,317,886 | |||
| 17,551 | Netlogic Microsystems, Inc.a | 811,909 | |||
| 74,500 | Nuance Communications, Inc.a | 1,157,730 | |||
| 143,700 | NVIDIA Corporationa | 2,684,316 | |||
| 75,800 | PMC-Sierra, Inc.a | 656,428 | |||
| 52,500 | Polycom, Inc.a | 1,310,925 | |||
| 75,700 | Symantec Corporationa | 1,354,273 | |||
Total Information Technology | 23,679,810 | ||||
| Materials (7.6%) | |||||
| 20,800 | FMC Corporation | 1,159,808 | |||
| 25,800 | Newmont Mining Corporation | 1,220,598 | |||
| 70,200 | Owens-Illinois, Inc.a | 2,307,474 | |||
| 72,700 | Pactiv Corporationa | 1,754,978 | |||
| 58,400 | Pan American Silver Corporationa | 1,390,504 | |||
| 22,200 | Praxair, Inc. | 1,782,882 | |||
Total Materials | 9,616,244 | ||||
| Telecommunications Services (4.1%) | |||||
| 53,200 | NII Holdings, Inc.a | 1,786,456 | |||
| 61,400 | SBA Communications Corporationa | 2,097,424 | |||
| 70,800 | TW Telecom, Inc.a | 1,213,512 | |||
Total Telecommunications Services | 5,097,392 | ||||
Total Common Stock (cost $95,669,264) | 115,979,610 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Growth Portfolio II
Schedule of Investments as of December 31, 2009
| Shares | Collateral Held for Securities Loaned (2.1%) | Value | ||||
| 2,701,775 | Thrivent Financial Securities Lending Trust | $ | 2,701,775 | |||
Total Collateral Held for Securities Loaned (cost $2,701,775) | 2,701,775 | |||||
| Principal Amount | Short-Term Investments (7.6%)c | |||||
Chariot Funding, LLC | ||||||
| 800,000 | 0.050%, 1/4/2010 | 799,997 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 3,245,000 | 0.020%, 2/4/2010 | 3,244,939 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 1,550,000 | 0.050%, 2/4/2010 | 1,549,927 | ||||
| 4,000,000 | 0.040%, 2/16/2010 | 3,999,795 | ||||
Total Short-Term Investments (at amortized cost) | 9,594,658 | |||||
Total Investments (cost $107,965,697) 101.9% | $ | 128,276,043 | ||||
Other Assets and Liabilities, Net (1.9%) | (2,433,552 | ) | ||||
Total Net Assets 100.0% | $ | 125,842,491 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 22,069,691 | ||
Gross unrealized depreciation | (2,409,138 | ) | ||
Net unrealized appreciation (depreciation) | $ | 19,660,553 | ||
Cost for federal income tax purposes | $ | 108,615,490 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Mid Cap Growth Portfolio II’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 14,109,170 | 14,109,170 | — | — | ||||||||
Consumer Staples | 4,822,018 | 4,822,018 | — | — | ||||||||
Energy | 16,216,365 | 16,216,365 | — | — | ||||||||
Financials | 7,785,298 | 7,785,298 | — | — | ||||||||
Health Care | 14,431,769 | 14,431,769 | — | — | ||||||||
Industrials | 20,221,544 | 20,221,544 | — | — | ||||||||
Information Technology | 23,679,810 | 23,679,810 | — | — | ||||||||
Materials | 9,616,244 | 9,616,244 | — | — | ||||||||
Telecommunications Services | 5,097,392 | 5,097,392 | — | — | ||||||||
Collateral Held for Securities Loaned | 2,701,775 | 2,701,775 | — | — | ||||||||
Short-Term Investments | 9,594,658 | — | 9,594,658 | — | ||||||||
Total | $ | 128,276,043 | $ | 118,681,385 | $ | 9,594,658 | $ | — | ||||
Investment 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 fiscal year to date, in Mid Cap Growth Portfolio II, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 3,679,661 | $ | 32,810,058 | $ | 36,489,719 | — | $ | — | $ | 14,505 | ||||||
Thrivent Financial Securities Lending Trust | 5,387,577 | 49,446,331 | 52,132,133 | 2,701,775 | 2,701,775 | 82,252 | |||||||||||
Total Value and Income Earned | 9,067,238 | 2,701,775 | 96,757 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.4%) | Value | |||
| Consumer Discretionary (12.5%) | |||||
| 91,225 | Bed Bath & Beyond, Inc.a | $ | 3,524,022 | ||
| 55,550 | BorgWarner, Inc. | 1,845,371 | |||
| 119,000 | Burger King Holdings, Inc. | 2,239,580 | |||
| 601,600 | Coldwater Creek, Inc.a | 2,683,136 | |||
| 83,200 | Darden Restaurants, Inc. | 2,917,824 | |||
| 77,600 | DeVry, Inc. | 4,402,248 | |||
| 104,050 | Discovery Communications, Inc.a | 3,191,214 | |||
| 78,000 | Dollar Tree, Inc.a | 3,767,400 | |||
| 100,800 | Gentex Corporation | 1,799,280 | |||
| 100,250 | Hasbro, Inc. | 3,214,015 | |||
| 82,750 | International Game Technology | 1,553,218 | |||
| 72,850 | Jack in the Box, Inc.a | 1,432,959 | |||
| 123,900 | KB Homeb | 1,694,952 | |||
| 292,700 | Leapfrog Enterprises, Inc.a | 1,144,457 | |||
| 151,025 | Toll Brothers, Inc.a | 2,840,780 | |||
| 36,700 | VF Corporation | 2,687,908 | |||
| 59,400 | WMS Industries, Inc.a | 2,376,000 | |||
| 175,725 | Zumiez, Inc.a,b | 2,235,222 | |||
Total Consumer Discretionary | 45,549,586 | ||||
| Consumer Staples (3.8%) | |||||
| 98,000 | Avon Products, Inc. | 3,087,000 | |||
| 99,700 | BJ’s Wholesale Club, Inc.a | 3,261,187 | |||
| 29,100 | General Mills, Inc. | 2,060,571 | |||
| 123,900 | H.J. Heinz Company | 5,297,964 | |||
Total Consumer Staples | 13,706,722 | ||||
| Energy (13.1%) | |||||
| 110,400 | Alpha Natural Resources, Inc.a | 4,789,152 | |||
| 60,775 | Cameron International Corporationa | 2,540,395 | |||
| 28,725 | Diamond Offshore Drilling, Inc.b | 2,827,115 | |||
| 210,100 | Forest Oil Corporationa | 4,674,725 | |||
| 27,300 | Helmerich & Payne, Inc. | 1,088,724 | |||
| 182,600 | Nabors Industries, Ltd.a | 3,997,114 | |||
| 79,200 | Patterson-UTI Energy, Inc. | 1,215,720 | |||
| 112,525 | Peabody Energy Corporation | 5,087,255 | |||
| 173,125 | Petrohawk Energy Corporationa | 4,153,269 | |||
| 201,300 | Quicksilver Resources, Inc.a,b | 3,021,513 | |||
| 50,200 | Range Resources Corporation | 2,502,470 | |||
| 89,175 | Sunoco, Inc. | 2,327,467 | |||
| 109,400 | Ultra Petroleum Corporationa | 5,454,684 | |||
| 104,400 | Weatherford International, Ltd.a | 1,869,804 | |||
| 143,525 | Willbros Group, Inc.a | 2,421,267 | |||
Total Energy | 47,970,674 | ||||
| Financials (5.7%) | |||||
| 30,750 | IntercontinentalExchange, Inc.a | 3,453,225 | |||
| 119,950 | Lazard, Ltd. | 4,554,501 | |||
| 52,800 | PartnerRe, Ltd. | 3,942,048 | |||
| 42,200 | T. Rowe Price Group, Inc. | 2,247,150 | |||
| 178,014 | TCF Financial Corporationb | 2,424,551 | |||
| 212,400 | TD Ameritrade Holding Corporationa | 4,116,312 | |||
Total Financials | 20,737,787 | ||||
| Health Care (12.0%) | |||||
| 31,300 | Alexion Pharmaceuticals, Inc.a | 1,528,066 | |||
| 132,325 | Amylin Pharmaceuticals, Inc.a | 1,877,692 | |||
| 53,600 | Beckman Coulter, Inc. | 3,507,584 | |||
| 136,100 | BioMarin Pharmaceutical, Inc.a | 2,560,041 | |||
| 271,900 | Boston Scientific Corporationa | 2,447,100 | |||
| 76,275 | C.R. Bard, Inc. | 5,941,822 | |||
| 42,900 | CardioNet, Inc.a,b | 254,826 | |||
| 37,000 | Cephalon, Inc.a | 2,309,170 | |||
| 71,100 | CIGNA Corporation | 2,507,697 | |||
| 223,150 | Hologic, Inc.a | 3,235,675 | |||
| 27,700 | Life Technologies Corporationa | 1,446,771 | |||
| 49,900 | Millipore Corporationa | 3,610,265 | |||
| 151,850 | Myriad Genetics, Inc.a | 3,963,285 | |||
| 72,300 | Shire Pharmaceuticals Group plc ADR | 4,244,010 | |||
| 47,000 | Thermo Fisher Scientific, Inc.a | 2,241,430 | |||
| 51,300 | Vertex Pharmaceuticals, Inc.a | 2,198,205 | |||
Total Health Care | 43,873,639 | ||||
| Industrials (16.0%) | |||||
| 116,000 | Aecom Technology Corporationa | 3,190,000 | |||
| 188,000 | BE Aerospace, Inc.a | 4,418,000 | |||
| 69,100 | C.H. Robinson Worldwide, Inc. | 4,058,243 | |||
| 52,200 | Con-way, Inc. | 1,822,302 | |||
| 305,875 | Delta Air Lines, Inc.a | 3,480,857 | |||
| 60,695 | Expeditors International of Washington, Inc. | 2,107,937 | |||
| 50,900 | Flowserve Corporation | 4,811,577 | |||
| 46,647 | FTI Consulting, Inc.a | 2,199,873 | |||
| 88,200 | Knight Transportation, Inc. | 1,701,378 | |||
| 129,050 | Monster Worldwide, Inc.a | 2,245,470 | |||
| 93,375 | Pentair, Inc. | 3,016,013 | |||
| 51,650 | Precision Castparts Corporation | 5,699,577 | |||
| 194,300 | Quanta Services, Inc.a | 4,049,212 | |||
| 43,875 | Roper Industries, Inc. | 2,297,734 | |||
| 131,350 | Ryanair Holdings plc ADRa | 3,522,807 | |||
| 94,100 | SPX Corporation | 5,147,270 | |||
| 85,400 | Stericycle, Inc.a | 4,711,518 | |||
Total Industrials | 58,479,768 | ||||
| Information Technology (18.1%) | |||||
| 106,814 | Akamai Technologies, Inc.a | 2,705,599 | |||
| 119,200 | Altera Corporation | 2,697,496 | |||
| 86,800 | Analog Devices, Inc. | 2,741,144 | |||
| 136,225 | Electronic Arts, Inc.a | 2,417,994 | |||
| 164,075 | F5 Networks, Inc.a | 8,692,694 | |||
| 110,600 | FormFactor, Inc.a | 2,406,656 | |||
| 51,850 | Hewitt Associates, Inc.a | 2,191,181 | |||
| 71,800 | Juniper Networks, Inc.a | 1,914,906 | |||
| 213,000 | Marvell Technology Group, Ltd.a | 4,419,750 | |||
| 212,200 | Maxim Integrated Products, Inc. | 4,307,660 | |||
| 162,625 | Molex, Inc. | 3,504,569 | |||
| 180,675 | NETAPP, Inc.a | 6,213,413 | |||
| 52,151 | Netlogic Microsystems, Inc.a | 2,412,505 | |||
| 143,000 | Nuance Communications, Inc.a | 2,222,220 | |||
| 341,525 | NVIDIA Corporationa | 6,379,687 | |||
| 228,650 | PMC-Sierra, Inc.a | 1,980,109 | |||
| 118,325 | Polycom, Inc.a | 2,954,575 | |||
| 176,950 | Symantec Corporationa | 3,165,635 | |||
| 120,200 | Tyco Electronics, Ltd. | 2,950,910 | |||
Total Information Technology | 66,278,703 | ||||
| Materials (9.1%) | |||||
| 53,225 | Albemarle Corporation | 1,935,793 | |||
| 94,775 | Celanese Corporation | 3,042,278 | |||
| 61,600 | FMC Corporation | 3,434,816 | |||
| 75,700 | Newmont Mining Corporation | 3,581,367 | |||
| 202,250 | Owens-Illinois, Inc.a | 6,647,957 | |||
| 195,800 | Pactiv Corporationa | 4,726,612 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.4%) | Value | ||||
| Materials (9.1%) - continued | ||||||
| 127,600 | Pan American Silver Corporationa | $ | 3,038,156 | |||
| 56,200 | Praxair, Inc. | 4,513,422 | ||||
| 99,075 | Rockwood Holdings, Inc.a | 2,334,207 | ||||
Total Materials | 33,254,608 | |||||
| Telecommunications Services (5.1%) | ||||||
| 88,842 | American Tower Corporationa | 3,838,863 | ||||
| 153,050 | NII Holdings, Inc.a | 5,139,419 | ||||
| 169,300 | SBA Communications Corporationa | 5,783,288 | ||||
| 223,150 | TW Telecom, Inc.a | 3,824,791 | ||||
Total Telecommunications Services | 18,586,361 | |||||
Total Common Stock (cost $328,212,902) | 348,437,848 | |||||
Collateral Held for Securities Loaned (2.9%) | ||||||
| 10,479,037 | Thrivent Financial Securities Lending Trust | 10,479,037 | ||||
Total Collateral Held for Securities Loaned (cost $10,479,037) | 10,479,037 | |||||
| Principal Amount | Short-Term Investments (4.1%)c | |||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 5,000,000 | 0.060%, 2/19/2010 | 4,999,592 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 2,650,000 | 0.020%, 1/20/2010 | 2,649,972 | ||||
Jupiter Securitization Company, LLC | ||||||
| 2,000,000 | 0.100%, 1/11/2010 | 1,999,944 | ||||
Societe Generale North America, Inc. | ||||||
| 5,577,000 | 0.020%, 1/4/2010 | 5,576,991 | ||||
Total Short-Term Investments (at amortized cost) | 15,226,499 | |||||
Total Investments (cost $353,918,438) 102.4% | $ | 374,143,384 | ||||
Other Assets and Liabilities, Net (2.4%) | (8,927,885 | ) | ||||
Total Net Assets 100.0% | $ | 365,215,499 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 45,557,009 | ||
Gross unrealized depreciation | (31,611,648 | ) | ||
Net unrealized appreciation (depreciation) | $ | 13,945,361 | ||
Cost for federal income tax purposes | $ | 360,198,023 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Mid Cap Growth Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 45,549,586 | 45,549,586 | — | — | ||||||||
Consumer Staples | 13,706,722 | 13,706,722 | — | — | ||||||||
Energy | 47,970,674 | 47,970,674 | — | — | ||||||||
Financials | 20,737,787 | 20,737,787 | — | — | ||||||||
Health Care | 43,873,639 | 43,873,639 | — | — | ||||||||
Industrials | 58,479,768 | 58,479,768 | — | — | ||||||||
Information Technology | 66,278,703 | 66,278,703 | — | — | ||||||||
Materials | 33,254,608 | 33,254,608 | — | — | ||||||||
Telecommunications Services | 18,586,361 | 18,586,361 | — | — | ||||||||
Collateral Held for Securities Loaned | 10,479,037 | 10,479,037 | — | — | ||||||||
Short-Term Investments | 15,226,499 | — | 15,226,499 | — | ||||||||
Total | $ | 374,143,384 | $ | 358,916,885 | $ | 15,226,499 | $ | — | ||||
Investment 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 fiscal year to date, in Mid Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 11,178,760 | $ | 42,849,269 | $ | 54,028,029 | — | $ | — | $ | 23,804 | ||||||
Thrivent Financial Securities Lending Trust | 34,543,185 | 162,156,132 | 186,220,280 | 10,479,037 | 10,479,037 | 187,723 | |||||||||||
Total Value and Income Earned | 45,721,945 | 10,479,037 | 211,527 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (96.1%) | Value | |||
| Consumer Discretionary (13.6%) | |||||
| 176,570 | CBS Corporation | $ | 2,480,809 | ||
| 199,346 | DISH Network Corporation | 4,140,416 | |||
| 15,170 | Fossil, Inc.a | 509,105 | |||
| 82,050 | Harley-Davidson, Inc.b | 2,067,660 | |||
| 55,139 | J.C. Penney Company, Inc. | 1,467,249 | |||
| 54,556 | Johnson Controls, Inc. | 1,486,105 | |||
| 155,490 | Liberty Media Corporation - Interactivea | 1,685,512 | |||
| 15,575 | Mohawk Industries, Inc.a,b | 741,370 | |||
| 190,214 | Newell Rubbermaid, Inc. | 2,855,112 | |||
| 3,038 | NVR, Inc.a | 2,159,137 | |||
| 23,630 | Snap-On, Inc. | 998,604 | |||
| 38,780 | Starwood Hotels & Resorts Worldwide, Inc. | 1,418,185 | |||
| 34,251 | TJX Companies, Inc. | 1,251,874 | |||
| 48,598 | Urban Outfitters, Inc.a | 1,700,444 | |||
Total Consumer Discretionary | 24,961,582 | ||||
| Consumer Staples (2.8%) | |||||
| 38,390 | BJ’s Wholesale Club, Inc.a | 1,255,737 | |||
| 14,650 | Clorox Company | 893,650 | |||
| 17,408 | J.M. Smucker Company | 1,074,944 | |||
| 43,518 | Molson Coors Brewing Company | 1,965,273 | |||
Total Consumer Staples | 5,189,604 | ||||
| Energy (11.7%) | |||||
| 51,900 | Atlas Energy, Inc. | 1,565,823 | |||
| 46,210 | Concho Resources, Inc.a | 2,074,829 | |||
| 9,690 | Core Laboratories NVb | 1,144,583 | |||
| 45,977 | Dril-Quip, Inc.a | 2,596,781 | |||
| 83,970 | EXCO Resources, Inc. | 1,782,683 | |||
| 110,039 | Newfield Exploration Companya | 5,307,181 | |||
| 54,660 | Oil States International, Inc.a | 2,147,591 | |||
| 36,539 | Range Resources Corporation | 1,821,469 | |||
| 43,761 | Whiting Petroleum Corporationa | 3,127,599 | |||
Total Energy | 21,568,539 | ||||
| Financials (27.4%) | |||||
| 23,839 | Alexandria Real Estate Equities, Inc.b | 1,532,609 | |||
| 22,380 | Arch Capital Group, Ltd.a | 1,601,289 | |||
| 19,420 | AvalonBay Communities, Inc.b | 1,594,576 | |||
| 32,472 | Boston Properties, Inc. | 2,177,897 | |||
| 75,750 | Comerica, Inc. | 2,239,928 | |||
| 31,510 | Digital Realty Trust, Inc. | 1,584,323 | |||
| 82,418 | Douglas Emmett, Inc. | 1,174,457 | |||
| 17,061 | Essex Property Trust, Inc.b | 1,427,153 | |||
| 29,553 | Everest Re Group, Ltd. | 2,532,101 | |||
| 64,552 | First Horizon National Corporationa | 864,997 | |||
| 115,510 | Genworth Financial, Inc.a | 1,311,039 | |||
| 107,155 | Hartford Financial Services Group, Inc. | 2,492,425 | |||
| 187,527 | Host Hotels & Resorts, Inc.a | 2,188,440 | |||
| 146,418 | Invesco, Ltd. | 3,439,359 | |||
| 85,721 | Janus Capital Group, Inc. | 1,152,947 | |||
| 36,693 | Lincoln National Corporation | 912,922 | |||
| 20,753 | M&T Bank Corporationb | 1,388,168 | |||
| 117,672 | Marsh & McLennan Companies, Inc. | 2,598,198 | |||
| 243,370 | Marshall & Ilsley Corporation | 1,326,366 | |||
| 116,139 | Principal Financial Group, Inc. | 2,791,982 | |||
| 127,660 | Progressive Corporationa | 2,296,603 | |||
| 52,833 | Raymond James Financial, Inc.b | $ | 1,255,840 | ||
| 214,517 | SLM Corporationa | 2,417,607 | |||
| 97,842 | SunTrust Banks, Inc. | 1,985,214 | |||
| 154,163 | W.R. Berkley Corporation | 3,798,576 | |||
| 117,080 | XL Capital, Ltd. | 2,146,076 | |||
Total Financials | 50,231,092 | ||||
| Health Care (5.0%) | |||||
| 85,369 | Aetna, Inc. | 2,706,197 | |||
| 26,369 | Biogen Idec, Inc.a | 1,410,741 | |||
| 22,919 | C.R. Bard, Inc. | 1,785,390 | |||
| 17,856 | Edwards Lifesciences Corporationa | 1,550,794 | |||
| 47,066 | Kinetic Concepts, Inc.a | 1,772,035 | |||
Total Health Care | 9,225,157 | ||||
| Industrials (8.4%) | |||||
| 48,220 | BE Aerospace, Inc.a | 1,133,170 | |||
| 29,440 | Cooper Industries plc | 1,255,321 | |||
| 61,160 | Corrections Corporation of Americaa | 1,501,478 | |||
| 39,581 | Cummins, Inc. | 1,815,185 | |||
| 40,231 | Eaton Corporation | 2,559,496 | |||
| 1,620 | Fluor Corporation | 72,965 | |||
| 39,560 | Kansas City Southern, Inc.a | 1,316,952 | |||
| 34,210 | Parker Hannifin Corporation | 1,843,235 | |||
| 32,510 | Pentair, Inc. | 1,050,073 | |||
| 59,207 | Republic Services, Inc. | 1,676,150 | |||
| 29,480 | Ryder System, Inc. | 1,213,692 | |||
Total Industrials | 15,437,717 | ||||
| Information Technology (7.5%) | |||||
| 27,094 | Amphenol Corporation | 1,251,201 | |||
| 105,651 | CommScope, Inc.a | 2,802,921 | |||
| 127,293 | IAC InterActiveCorpa | 2,606,961 | |||
| 28,840 | Lexmark International, Inc.a | 749,263 | |||
| 202,501 | ON Semiconductor Corporationa | 1,784,034 | |||
| 124,580 | Parametric Technology Corporationa | 2,035,637 | |||
| 66,730 | QLogic Corporationa | 1,259,195 | |||
| 110,454 | Teradyne, Inc.a | 1,185,171 | |||
Total Information Technology | 13,674,383 | ||||
| Materials (8.8%) | |||||
| 63,740 | Cliffs Natural Resources, Inc. | 2,937,777 | |||
| 31,470 | FMC Corporation | 1,754,767 | |||
| 237,770 | Huntsman Corporation | 2,684,423 | |||
| 78,020 | International Paper Company | 2,089,376 | |||
| 49,328 | Pactiv Corporationa | 1,190,778 | |||
| 26,060 | Terra Industries, Inc. | 838,871 | |||
| 52,880 | United States Steel Corporation | 2,914,746 | |||
| 33,444 | Vulcan Materials Company | 1,761,495 | |||
Total Materials | 16,172,233 | ||||
| Telecommunications Services (2.5%) | |||||
| 37,879 | CenturyTel, Inc. | 1,371,599 | |||
| 129,390 | Clearwire Corporationa,b | 874,676 | |||
| 129,390 | Clearwire Corporation Rights, $7.33, expires 6/21/2010a,b | 51,756 | |||
| 633,936 | Sprint Nextel Corporationa | 2,320,206 | |||
Total Telecommunications Services | 4,618,237 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (96.1%) | Value | ||||
| Utilities (8.4%) | ||||||
| 29,680 | Alliant Energy Corporation | $ | 898,117 | |||
| 128,080 | CMS Energy Corporation | 2,005,733 | ||||
| 75,592 | DPL, Inc. | 2,086,339 | ||||
| 69,979 | Edison International, Inc. | 2,433,870 | ||||
| 28,153 | FirstEnergy Corporation | 1,307,707 | ||||
| 23,440 | Great Plains Energy, Inc. | 454,502 | ||||
| 19,000 | Northeast Utilities | 490,010 | ||||
| 84,164 | NV Energy, Inc. | 1,041,950 | ||||
| 14,960 | Pinnacle West Capital Corporation | 547,237 | ||||
| 91,136 | PPL Corporation | 2,944,604 | ||||
| 17,390 | SCANA Corporation | 655,255 | ||||
| 29,170 | Xcel Energy, Inc. | 619,279 | ||||
Total Utilities | 15,484,603 | |||||
Total Common Stock (cost $155,593,013) | 176,563,147 | |||||
Collateral Held for Securities Loaned (5.4%) | ||||||
| 9,806,665 | Thrivent Financial Securities Lending Trust | 9,806,665 | ||||
Total Collateral Held for Securities Loaned (cost $9,806,665) | 9,806,665 | |||||
| Principal Amount | Short-Term Investments (3.8%)c | |||||
Enterprise Funding Company, LLC | ||||||
| 4,550,000 | 0.010%, 1/4/2010 | 4,549,996 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 2,500,000 | 0.040%, 1/22/2010 | 2,499,942 | ||||
Total Short-Term Investments (at amortized cost) | 7,049,938 | |||||
Total Investments (cost $172,449,616) 105.3% | $ | 193,419,750 | ||||
Other Assets and Liabilities, Net (5.3%) | (9,715,713 | ) | ||||
Total Net Assets 100.0% | $ | 183,704,037 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 21,727,610 | ||
Gross unrealized depreciation | (3,284,664 | ) | ||
Net unrealized appreciation (depreciation) | $ | 18,442,946 | ||
Cost for federal income tax purposes | $ | 174,976,804 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Mid Cap Value Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 24,961,582 | 24,961,582 | — | — | ||||||||
Consumer Staples | 5,189,604 | 5,189,604 | — | — | ||||||||
Energy | 21,568,539 | 21,568,539 | — | — | ||||||||
Financials | 50,231,092 | 50,231,092 | — | — | ||||||||
Health Care | 9,225,157 | 9,225,157 | — | — | ||||||||
Industrials | 15,437,717 | 15,437,717 | — | — | ||||||||
Information Technology | 13,674,383 | 13,674,383 | — | — | ||||||||
Materials | 16,172,233 | 16,172,233 | — | — | ||||||||
Telecommunications Services | 4,618,237 | 4,618,237 | — | — | ||||||||
Utilities | 15,484,603 | 15,484,603 | — | — | ||||||||
Collateral Held for Securities Loaned | 9,806,665 | 9,806,665 | — | — | ||||||||
Short-Term Investments | 7,049,938 | — | 7,049,938 | — | ||||||||
Total | $ | 193,419,750 | $ | 186,369,812 | $ | 7,049,938 | $ | — | ||||
Investment 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 fiscal year to date, in Partner Mid Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 1,933,759 | $ | 44,109,258 | $ | 46,043,017 | — | $ | — | $ | 12,908 | ||||||
Thrivent Financial Securities Lending Trust | 4,605,487 | 79,980,630 | 74,779,452 | 9,806,665 | 9,806,665 | 41,869 | |||||||||||
Total Value and Income Earned | 6,539,246 | 9,806,665 | 54,777 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.9%) | Value | |||
| Consumer Discretionary (12.2%) | |||||
| 52,080 | Aeropostale, Inc.a | $ | 1,773,324 | ||
| 63,714 | Autoliv, Inc. | 2,762,639 | |||
| 95,582 | Career Education Corporationa | 2,228,016 | |||
| 154,800 | CBS Corporation | 2,174,940 | |||
| 312,877 | Chico’s FAS, Inc.a | 4,395,922 | |||
| 65,465 | Discovery Communications, Inc.a | 2,007,812 | |||
| 62,024 | Dollar Tree, Inc.a | 2,995,759 | |||
| 70,922 | Guess ?, Inc. | 3,000,001 | |||
| 75,934 | Harman International Industries, Inc. | 2,678,951 | |||
| 73,400 | Jarden Corporation | 2,268,794 | |||
| 77,062 | Kohl’s Corporationa | 4,155,954 | |||
| 76,095 | McGraw-Hill Companies, Inc. | 2,549,943 | |||
| 57,600 | Omnicom Group, Inc. | 2,255,040 | |||
| 69,955 | Panera Bread Companya | 4,684,886 | |||
| 91,939 | Penn National Gaming, Inc.a | 2,498,902 | |||
| 190,400 | Scientific Games Corporationa | 2,770,320 | |||
| 166,665 | Toll Brothers, Inc.a | 3,134,969 | |||
| 148,694 | WMS Industries, Inc.a | 5,947,760 | |||
Total Consumer Discretionary | 54,283,932 | ||||
| Consumer Staples (3.1%) | |||||
| 125,740 | Flowers Foods, Inc. | 2,987,583 | |||
| 37,460 | J.M. Smucker Company | 2,313,155 | |||
| 92,744 | Kroger Company | 1,904,034 | |||
| 109,412 | TreeHouse Foods, Inc.a | 4,251,750 | |||
| 178,700 | Tyson Foods, Inc. | 2,192,649 | |||
Total Consumer Staples | 13,649,171 | ||||
| Energy (8.5%) | |||||
| 146,292 | Alpha Natural Resources, Inc.a | 6,346,147 | |||
| 93,328 | Comstock Resources, Inc.a | 3,786,317 | |||
| 186,660 | Forest Oil Corporationa | 4,153,185 | |||
| 105,527 | Helmerich & Payne, Inc. | 4,208,417 | |||
| 114,506 | National Oilwell Varco, Inc. | 5,048,569 | |||
| 331,960 | Patterson-UTI Energy, Inc. | 5,095,586 | |||
| 91,455 | Southwestern Energy Companya | 4,408,131 | |||
| 86,765 | Superior Energy Services, Inc.a | 2,107,522 | |||
| 157,042 | Willbros Group, Inc.a | 2,649,298 | |||
Total Energy | 37,803,172 | ||||
| Financials (15.3%) | |||||
| 78,442 | Commerce Bancshares, Inc. | 3,037,274 | |||
| 159,276 | Cousins Properties, Inc.b | 1,215,276 | |||
| 189,473 | Duke Realty Corporation | 2,305,887 | |||
| 67,440 | Eaton Vance Corporation | 2,050,851 | |||
| 84,671 | Endurance Specialty Holdings, Ltd. | 3,152,301 | |||
| 174,435 | Equity One, Inc.b | 2,820,614 | |||
| 79,900 | Hanover Insurance Group, Inc. | 3,549,957 | |||
| 279,720 | HCC Insurance Holdings, Inc. | 7,823,769 | |||
| 359,048 | Host Hotels & Resorts, Inc.a,b | 4,190,090 | |||
| 23,049 | IntercontinentalExchange, Inc.a | 2,588,403 | |||
| 117,666 | Invesco, Ltd. | 2,763,974 | |||
| 71,324 | Lazard, Ltd. | 2,708,172 | |||
| 206,363 | Marshall & Ilsley Corporation | 1,124,678 | |||
| 321,191 | New York Community Bancorp, Inc.b | 4,660,482 | |||
| 32,833 | Northern Trust Corporation | 1,720,449 | |||
| 37,443 | PartnerRe, Ltd. | 2,795,494 | |||
| 45,294 | Rayonier, Inc. REIT | 1,909,595 | |||
| 301,060 | W.R. Berkley Corporation | 7,418,118 | |||
| 232,977 | Washington Federal, Inc. | 4,505,775 | |||
| 69,874 | Westamerica Bancorporationb | 3,868,923 | |||
| 115,472 | Zions Bancorporationb | 1,481,506 | |||
Total Financials | 67,691,588 | ||||
| Health Care (11.3%) | |||||
| 58,541 | Beckman Coulter, Inc. | 3,830,923 | |||
| 129,543 | BioMarin Pharmaceutical, Inc.a | 2,436,704 | |||
| 49,482 | C.R. Bard, Inc. | 3,854,648 | |||
| 57,978 | Charles River Laboratories International, Inc.a | 1,953,279 | |||
| 169,262 | Community Health Systems, Inc.a | 6,025,727 | |||
| 176,771 | Coventry Health Care, Inc.a | 4,293,767 | |||
| 32,512 | Henry Schein, Inc.a | 1,710,131 | |||
| 187,440 | Hologic, Inc.a | 2,717,880 | |||
| 59,849 | Kinetic Concepts, Inc.a | 2,253,315 | |||
| 201,673 | King Pharmaceuticals, Inc.a | 2,474,528 | |||
| 82,154 | Lincare Holdings, Inc.a | 3,049,556 | |||
| 74,888 | Masimo Corporationa | 2,278,093 | |||
| 25,144 | NuVasive, Inc.a,b | 804,105 | |||
| 50,468 | Shire Pharmaceuticals Group plc ADR | 2,962,472 | |||
| 51,112 | United Therapeutics Corporationa | 2,691,047 | |||
| 54,414 | Varian Medical Systems, Inc.a | 2,549,296 | |||
| 100,675 | Vertex Pharmaceuticals, Inc.a | 4,313,924 | |||
Total Health Care | 50,199,395 | ||||
| Industrials (13.6%) | |||||
| 34,445 | Alliant Techsystems, Inc.a | 3,040,460 | |||
| 104,962 | BE Aerospace, Inc.a | 2,466,607 | |||
| 78,431 | CSX Corporation | 3,803,119 | |||
| 71,162 | IDEX Corporation | 2,216,696 | |||
| 308,186 | Manitowoc Company, Inc.b | 3,072,615 | |||
| 42,408 | Manpower, Inc. | 2,314,629 | |||
| 136,862 | Monster Worldwide, Inc.a,b | 2,381,399 | |||
| 79,820 | Navistar International Corporationa | 3,085,043 | |||
| 152,834 | Oshkosh Corporation | 5,659,443 | |||
| 117,182 | Pall Corporation | 4,241,988 | |||
| 40,182 | Parker Hannifin Corporation | 2,165,006 | |||
| 23,131 | Precision Castparts Corporation | 2,552,506 | |||
| 81,349 | Rockwell Collins, Inc. | 4,503,481 | |||
| 63,473 | Roper Industries, Inc. | 3,324,081 | |||
| 75,000 | Shaw Group, Inc.a | 2,156,250 | |||
| 72,532 | SPX Corporation | 3,967,500 | |||
| 93,488 | Tyco International, Ltd. | 3,335,652 | |||
| 223,818 | Werner Enterprises, Inc. | 4,429,358 | |||
| 61,058 | WESCO International, Inc.a | 1,649,177 | |||
Total Industrials | 60,365,010 | ||||
| Information Technology (16.8%) | |||||
| 99,709 | Akamai Technologies, Inc.a | 2,525,629 | |||
| 1,580,206 | Atmel Corporationa | 7,284,750 | |||
| 968,786 | Compuware Corporationa | 7,004,323 | |||
| 221,904 | eBay, Inc.a | 5,223,620 | |||
| 106,342 | F5 Networks, Inc.a | 5,633,999 | |||
| 250,451 | FormFactor, Inc.a | 5,449,814 | |||
| 84,832 | Juniper Networks, Inc.a | 2,262,469 | |||
| 66,392 | KLA-Tencor Corporation | 2,400,735 | |||
| 80,382 | Lam Research Corporationa | 3,151,778 | |||
| 163,505 | Maxim Integrated Products, Inc. | 3,319,151 | |||
| 94,858 | Novellus Systems, Inc.a | 2,213,986 | |||
| 97,776 | Paychex, Inc. | 2,995,857 | |||
| 220,193 | PMC-Sierra, Inc.a | 1,906,871 | |||
| 155,432 | Polycom, Inc.a | 3,881,137 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (95.9%) | Value | ||||
| Information Technology (16.8%) - continued | ||||||
| 52,400 | Sybase, Inc.a | $ | 2,274,160 | |||
| 498,787 | Teradyne, Inc.a | 5,351,985 | ||||
| 451,800 | TIBCO Software, Inc.a | 4,350,834 | ||||
| 139,891 | Xilinx, Inc. | 3,505,668 | ||||
| 126,060 | Zebra Technologies Corporationa | 3,575,062 | ||||
Total Information Technology | 74,311,828 | |||||
| Materials (9.1%) | ||||||
| 205,317 | Albemarle Corporation | 7,467,379 | ||||
| 88,803 | Ball Corporation | 4,591,115 | ||||
| 16,991 | CF Industries Holdings, Inc.b | 1,542,443 | ||||
| 176,932 | Commercial Metals Company | 2,768,986 | ||||
| 197,224 | Crown Holdings, Inc.a | 5,044,990 | ||||
| 137,958 | Owens-Illinois, Inc.a | 4,534,679 | ||||
| 208,880 | Packaging Corporation of America | 4,806,329 | ||||
| 127,529 | Sealed Air Corporation | 2,787,784 | ||||
| 75,612 | Silgan Holdings, Inc. | 4,376,423 | ||||
| 125,900 | Steel Dynamics, Inc. | 2,230,948 | ||||
Total Materials | 40,151,076 | |||||
| Telecommunications Services (0.8%) | ||||||
| 107,400 | Telephone and Data Systems, Inc. | 3,643,008 | ||||
Total Telecommunications Services | 3,643,008 | |||||
| Utilities (5.2%) | ||||||
| 80,947 | Alliant Energy Corporation | 2,449,456 | ||||
| 119,760 | DPL, Inc. | 3,305,376 | ||||
| 24,660 | Entergy Corporation | 2,018,174 | ||||
| 64,118 | EQT Corporation | 2,816,063 | ||||
| 34,042 | FirstEnergy Corporation | 1,581,251 | ||||
| 55,883 | National Fuel Gas Company | 2,794,150 | ||||
| 236,378 | NV Energy, Inc. | 2,926,360 | ||||
| 83,382 | Pepco Holdings, Inc. | 1,404,987 | ||||
| 86,685 | Portland General Electric Company | 1,769,241 | ||||
| 83,866 | UGI Corporation | 2,028,718 | ||||
Total Utilities | 23,093,776 | |||||
Total Common Stock (cost $382,180,685) | 425,191,956 | |||||
Collateral Held for Securities Loaned (4.2%) | ||||||
| 18,736,612 | Thrivent Financial Securities Lending Trust | 18,736,612 | ||||
Total Collateral Held for Securities Loaned (cost $18,736,612) | 18,736,612 | |||||
| Principal Amount | Short-Term Investments (4.2%)c | |||||
Chariot Funding, LLC | ||||||
| 3,405,000 | 0.050%, 1/4/2010 | 3,404,986 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 10,000,000 | 0.030%, 1/15/2010 | 9,999,883 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 2,215,000 | 0.050%, 2/4/2010 | 2,214,895 | ||||
Jupiter Securitization Company, LLC | ||||||
| 3,000,000 | 0.100%, 1/11/2010 | 2,999,917 | ||||
Total Short-Term Investments (at amortized cost) | 18,619,681 | |||||
Total Investments (cost $419,536,978) 104.3% | $ | 462,548,249 | ||||
Other Assets and Liabilities, Net (4.3%) | (19,025,765 | ) | ||||
Total Net Assets 100.0% | $ | 443,522,484 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| REIT | - | Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 65,057,759 | ||
Gross unrealized depreciation | (29,767,976 | ) | ||
Net unrealized appreciation (depreciation) | $ | 35,289,783 | ||
Cost for federal income tax purposes | $ | 427,258,466 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Mid Cap Stock Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 54,283,932 | 54,283,932 | — | — | ||||||||
Consumer Staples | 13,649,171 | 13,649,171 | — | — | ||||||||
Energy | 37,803,172 | 37,803,172 | — | — | ||||||||
Financials | 67,691,588 | 67,691,588 | — | — | ||||||||
Health Care | 50,199,395 | 50,199,395 | — | — | ||||||||
Industrials | 60,365,010 | 60,365,010 | — | — | ||||||||
Information Technology | 74,311,828 | 74,311,828 | — | — | ||||||||
Materials | 40,151,076 | 40,151,076 | — | — | ||||||||
Telecommunications Services | 3,643,008 | 3,643,008 | — | — | ||||||||
Utilities | 23,093,776 | 23,093,776 | — | — | ||||||||
Collateral Held for Securities Loaned | 18,736,612 | 18,736,612 | — | — | ||||||||
Short-Term Investments | 18,619,681 | — | 18,619,681 | — | ||||||||
Total | $ | 462,548,249 | $ | 443,928,568 | $ | 18,619,681 | $ | — | ||||
Investment 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 fiscal year to date, in Mid Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 13,558 | $ | 65,082,618 | $ | 65,096,176 | — | $ | — | $ | 17,758 | ||||||
Thrivent Financial Securities Lending Trust | 26,343,474 | 180,853,800 | 188,460,662 | 18,736,612 | 18,736,612 | 212,678 | |||||||||||
Total Value and Income Earned | 26,357,032 | 18,736,612 | 230,436 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.5%) | Value | |||
| Consumer Discretionary (13.6%) | |||||
| 4,433 | 99 Cents Only Storesa | $ | 57,939 | ||
| 5,100 | Aaron’s, Inc.b | 141,423 | |||
| 8,800 | Advance Auto Parts, Inc. | 356,224 | |||
| 6,200 | Aeropostale, Inc.a | 211,110 | |||
| 19,680 | American Eagle Outfitters, Inc. | 334,166 | |||
| 3,700 | American Greetings Corporation | 80,623 | |||
| 5,550 | AnnTaylor Stores Corporationa | 75,702 | |||
| 3,770 | Barnes & Noble, Inc. | 71,894 | |||
| 2,910 | Bob Evans Farms, Inc. | 84,245 | |||
| 10,920 | BorgWarner, Inc. | 362,762 | |||
| 5,300 | Boyd Gaming Corporationa | 44,361 | |||
| 9,655 | Brinker International, Inc. | 144,053 | |||
| 4,260 | Brink’s Home Security Holdings, Inc.a | 139,046 | |||
| 6,500 | Career Education Corporationa | 151,515 | |||
| 20,800 | CarMax, Inc.a | 504,400 | |||
| 5,600 | Cheesecake Factory, Inc.a | 120,904 | |||
| 16,800 | Chico’s FAS, Inc.a | 236,040 | |||
| 2,900 | Chipotle Mexican Grill, Inc.a | 255,664 | |||
| 5,800 | Coldwater Creek, Inc.a | 25,868 | |||
| 6,100 | Collective Brands, Inc.a | 138,897 | |||
| 8,300 | Corinthian Colleges, Inc.a,b | 114,291 | |||
| 8,300 | Dick’s Sporting Goods, Inc.a | 206,421 | |||
| 8,260 | Dollar Tree, Inc.a | 398,958 | |||
| 7,000 | DreamWorks Animation SKG, Inc.a | 279,650 | |||
| 15,000 | Foot Locker, Inc. | 167,100 | |||
| 4,500 | Fossil, Inc.a | 151,020 | |||
| 13,020 | Gentex Corporation | 232,407 | |||
| 5,400 | Guess ?, Inc. | 228,420 | |||
| 9,000 | Hanesbrands, Inc.a | 216,990 | |||
| 3,700 | Harte-Hanks, Inc. | 39,886 | |||
| 2,970 | International Speedway Corporation | 84,497 | |||
| 2,900 | ITT Educational Services, Inc.a | 278,284 | |||
| 5,200 | J. Crew Group, Inc.a | 232,648 | |||
| 4,000 | John Wiley and Sons, Inc. | 167,520 | |||
| 7,000 | KB Home | 95,760 | |||
| 5,100 | Lamar Advertising Companya,b | 158,559 | |||
| 3,800 | Life Time Fitness, Inc.a,b | 94,734 | |||
| 13,400 | LKQ Corporationa | 262,506 | |||
| 3,500 | M.D.C. Holdings, Inc. | 108,640 | |||
| 2,800 | Matthews International Corporation | 99,204 | |||
| 5,270 | Mohawk Industries, Inc.a,b | 250,852 | |||
| 4,000 | Netflix, Inc.a,b | 220,560 | |||
| 500 | NVR, Inc.a | 355,355 | |||
| 2,900 | Panera Bread Companya | 194,213 | |||
| 11,600 | PetSmart, Inc. | 309,604 | |||
| 4,800 | Phillips-Van Heusen Corporation | 195,264 | |||
| 5,400 | Regis Corporation | 84,078 | |||
| 6,300 | Rent-A-Center, Inc.a | 111,636 | |||
| 4,100 | Ryland Group, Inc. | 80,770 | |||
| 15,150 | Saks, Inc.a,b | 99,384 | |||
| 2,310 | Scholastic Corporation | 68,907 | |||
| 6,200 | Scientific Games Corporationa | 90,210 | |||
| 24,300 | Service Corporation International | 199,017 | |||
| 6,220 | Sotheby’s Holdings, Inc.b | 139,826 | |||
| 1,300 | Strayer Education, Inc.b | 276,237 | |||
| 3,300 | Thor Industries, Inc. | 103,620 | |||
| 4,300 | Timberland Companya | 77,099 | |||
| 13,000 | Toll Brothers, Inc.a | 244,530 | |||
| 5,900 | Tupperware Brands Corporation | 274,763 | |||
| 3,500 | Under Armour, Inc.a | 95,445 | |||
| 12,100 | Urban Outfitters, Inc.a | 423,379 | |||
| 4,200 | Warnaco Group, Inc.a | 177,198 | |||
| 34,914 | Wendy’s/Arby’s Group, Inc. | 163,747 | |||
| 9,880 | Williams-Sonoma, Inc. | 205,306 | |||
| 4,900 | WMS Industries, Inc.a | 196,000 | |||
Total Consumer Discretionary | 11,791,331 | ||||
| Consumer Staples (3.9%) | |||||
| 8,000 | Alberto-Culver Company | 234,320 | |||
| 5,140 | BJ’s Wholesale Club, Inc.a | 168,129 | |||
| 6,610 | Church & Dwight Company, Inc. | 399,575 | |||
| 7,000 | Corn Products International, Inc. | 204,610 | |||
| 6,650 | Energizer Holdings, Inc.a | 407,512 | |||
| 7,400 | Flowers Foods, Inc. | 175,824 | |||
| 3,200 | Green Mountain Coffee Roasters, Inc.a | 260,704 | |||
| 6,600 | Hansen Natural Corporationa | 253,440 | |||
| 1,740 | Lancaster Colony Corporation | 86,478 | |||
| 5,800 | NBTY, Inc.a | 252,532 | |||
| 5,310 | PepsiAmericas, Inc. | 155,371 | |||
| 5,400 | Ralcorp Holdings, Inc.a | 322,434 | |||
| 3,810 | Ruddick Corporation | 98,031 | |||
| 13,300 | Smithfield Foods, Inc.a | 202,027 | |||
| 2,526 | Tootsie Roll Industries, Inc.b | 69,162 | |||
| 2,240 | Universal Corporation | 102,166 | |||
Total Consumer Staples | 3,392,315 | ||||
| Energy (6.7%) | |||||
| 15,200 | Arch Coal, Inc. | 338,200 | |||
| 5,300 | Atwood Oceanics, Inc.a | 190,005 | |||
| 3,600 | Bill Barrett Corporationa | 111,996 | |||
| 7,800 | Cimarex Energy Company | 413,166 | |||
| 4,300 | Comstock Resources, Inc.a | 174,451 | |||
| 5,200 | Encore Acquisition Companya | 249,704 | |||
| 5,878 | Exterran Holdings, Inc.a,b | 126,083 | |||
| 10,600 | Forest Oil Corporationa | 235,850 | |||
| 10,100 | Frontier Oil Corporation | 121,604 | |||
| 8,700 | Helix Energy Solutions Group, Inc.a | 102,225 | |||
| 9,880 | Helmerich & Payne, Inc. | 394,014 | |||
| 9,700 | Mariner Energy, Inc.a | 112,617 | |||
| 12,400 | Newfield Exploration Companya | 598,052 | |||
| 5,100 | Oceaneering International, Inc.a | 298,452 | |||
| 2,300 | Overseas Shipholding Group, Inc. | 101,085 | |||
| 7,100 | Patriot Coal Corporationa,b | 109,766 | |||
| 14,800 | Patterson-UTI Energy, Inc. | 227,180 | |||
| 13,039 | Plains Exploration & Production Companya | 360,659 | |||
| 16,320 | Pride International, Inc.a | 520,771 | |||
| 11,200 | Quicksilver Resources, Inc.a,b | 168,112 | |||
| 11,700 | Southern Union Company | 265,590 | |||
| 7,300 | Superior Energy Services, Inc.a | 177,317 | |||
| 4,800 | Tidewater, Inc. | 230,160 | |||
| 3,700 | Unit Corporationa | 157,250 | |||
Total Energy | 5,784,309 | ||||
| Financials (18.7%) | |||||
| 3,900 | Affiliated Managers Group, Inc.a | 262,665 | |||
| 4,200 | Alexandria Real Estate Equities, Inc.b | 270,018 | |||
| 13,800 | AMB Property Corporation | 352,590 | |||
| 7,335 | American Financial Group, Inc. | 183,008 | |||
| 9,090 | AmeriCredit Corporationa,b | 173,074 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.5%) | Value | |||
| Financials (18.7%) - continued | |||||
| 16,500 | Apollo Investment Corporation | $ | 157,245 | ||
| 9,700 | Arthur J. Gallagher & Company | 218,347 | |||
| 12,093 | Associated Banc-Corp | 133,144 | |||
| 7,770 | Astoria Financial Corporation | 96,581 | |||
| 6,900 | BancorpSouth, Inc. | 161,874 | |||
| 4,500 | Bank of Hawaii Corporation | 211,770 | |||
| 5,200 | BRE Properties, Inc. | 172,016 | |||
| 11,500 | Brown & Brown, Inc. | 206,655 | |||
| 6,100 | Camden Property Trust | 258,457 | |||
| 6,000 | Cathay General Bancorpb | 45,300 | |||
| 4,020 | City National Corporation | 183,312 | |||
| 6,777 | Commerce Bancshares, Inc. | 262,405 | |||
| 5,400 | Corporate Office Properties Trust | 197,802 | |||
| 9,633 | Cousins Properties, Inc. | 73,500 | |||
| 5,600 | Cullen/Frost Bankers, Inc. | 280,000 | |||
| 21,100 | Duke Realty Corporation | 256,787 | |||
| 11,000 | Eaton Vance Corporation | 334,510 | |||
| 3,000 | Equity One, Inc.b | 48,510 | |||
| 2,800 | Essex Property Trust, Inc.b | 234,220 | |||
| 5,610 | Everest Re Group, Ltd. | 480,665 | |||
| 5,700 | Federal Realty Investment Trust | 386,004 | |||
| 21,705 | Fidelity National Financial, Inc. | 292,149 | |||
| 9,400 | First American Corporation | 311,234 | |||
| 18,100 | First Niagara Financial Group, Inc. | 251,771 | |||
| 8,198 | FirstMerit Corporation | 165,108 | |||
| 16,900 | Fulton Financial Corporation | 147,368 | |||
| 4,670 | Hanover Insurance Group, Inc. | 207,488 | |||
| 10,550 | HCC Insurance Holdings, Inc. | 295,084 | |||
| 6,600 | Highwoods Properties, Inc. | 220,110 | |||
| 3,860 | Horace Mann Educators Corporation | 48,250 | |||
| 11,500 | Hospitality Properties Trust | 272,665 | |||
| 4,900 | International Bancshares Corporationb | 92,757 | |||
| 11,200 | Jefferies Group, Inc.a | 265,776 | |||
| 3,900 | Jones Lang LaSalle, Inc. | 235,560 | |||
| 10,500 | Liberty Property Trust | 336,105 | |||
| 9,241 | Macerich Companyb | 332,214 | |||
| 7,300 | Mack-Cali Realty Corporation | 252,361 | |||
| 3,300 | Mercury General Corporation | 129,558 | |||
| 9,700 | MSCI, Inc.a | 308,460 | |||
| 10,500 | Nationwide Health Properties, Inc. | 369,390 | |||
| 39,311 | New York Community Bancorp, Inc.b | 570,403 | |||
| 10,400 | NewAlliance Bancshares, Inc. | 124,904 | |||
| 22,950 | Old Republic International Corporation | 230,418 | |||
| 8,200 | Omega Healthcare Investors, Inc. | 159,490 | |||
| 2,800 | PacWest Bancorp | 56,420 | |||
| 3,707 | Potlatch Corporation | 118,179 | |||
| 8,070 | Protective Life Corporation | 133,559 | |||
| 9,225 | Raymond James Financial, Inc.b | 219,278 | |||
| 7,408 | Rayonier, Inc. REIT | 312,321 | |||
| 9,800 | Realty Income Corporationb | 253,918 | |||
| 7,500 | Regency Centers Corporation | 262,950 | |||
| 6,800 | Reinsurance Group of America, Inc. | 324,020 | |||
| 12,340 | SEI Investments Company | 216,197 | |||
| 12,000 | Senior Housing Property Trust | 262,440 | |||
| 7,300 | SL Green Realty Corporation | 366,752 | |||
| 4,600 | StanCorp Financial Group, Inc. | 184,092 | |||
| 3,830 | SVB Financial Groupa,b | 159,673 | |||
| 46,000 | Synovus Financial Corporation | 94,300 | |||
| 10,620 | TCF Financial Corporationb | 144,644 | |||
| 5,200 | Trustmark Corporation | 117,208 | |||
| 14,403 | UDR, Inc. | 236,785 | |||
| 4,600 | Unitrin, Inc. | 101,430 | |||
| 14,005 | Valley National Bancorpb | 197,891 | |||
| 12,775 | W.R. Berkley Corporation | 314,776 | |||
| 7,940 | Waddell & Reed Financial, Inc. | 242,488 | |||
| 10,627 | Washington Federal, Inc. | 205,526 | |||
| 6,130 | Webster Financial Corporation | 72,763 | |||
| 9,700 | Weingarten Realty Investorsb | 191,963 | |||
| 2,720 | Westamerica Bancorporationb | 150,606 | |||
| 6,580 | Wilmington Trust Corporationb | 81,197 | |||
Total Financials | 16,280,458 | ||||
| Health Care (11.9%) | |||||
| 6,900 | Affymetrix, Inc.a | 40,296 | |||
| 6,430 | Beckman Coulter, Inc. | 420,779 | |||
| 1,800 | Bio-Rad Laboratories, Inc.a | 173,628 | |||
| 6,300 | Cerner Corporationa,b | 519,372 | |||
| 6,100 | Charles River Laboratories International, Inc.a | 205,509 | |||
| 8,800 | Community Health Systems, Inc.a | 313,280 | |||
| 6,010 | Covance, Inc.a | 327,966 | |||
| 5,220 | Edwards Lifesciences Corporationa | 453,357 | |||
| 11,100 | Endo Pharmaceutical Holdings, Inc.a | 227,661 | |||
| 4,600 | Gen-Probe, Inc.a | 197,340 | |||
| 23,400 | Health Management Associates, Inc.a | 170,118 | |||
| 9,680 | Health Net, Inc.a | 225,447 | |||
| 8,400 | Henry Schein, Inc.a | 441,840 | |||
| 5,950 | Hill-Rom Holdings, Inc. | 142,740 | |||
| 24,300 | Hologic, Inc.a | 352,350 | |||
| 5,500 | IDEXX Laboratories, Inc.a,b | 293,920 | |||
| 6,500 | Immucor, Inc.a | 131,560 | |||
| 3,700 | Kindred Healthcare, Inc.a | 68,302 | |||
| 5,900 | Kinetic Concepts, Inc.a | 222,135 | |||
| 5,200 | LifePoint Hospitals, Inc.a | 169,052 | |||
| 6,320 | Lincare Holdings, Inc.a | 234,598 | |||
| 4,800 | Masimo Corporationa | 146,016 | |||
| 5,500 | Medicis Pharmaceutical Corporation | 148,775 | |||
| 3,100 | Mettler-Toledo International, Inc.a | 325,469 | |||
| 11,120 | Omnicare, Inc. | 268,993 | |||
| 5,400 | OSI Pharmaceuticals, Inc.a | 167,562 | |||
| 3,900 | Owens & Minor, Inc. | 167,427 | |||
| 7,550 | Perrigo Company | 300,792 | |||
| 11,000 | Pharmaceutical Product Development, Inc. | 257,840 | |||
| 5,200 | Psychiatric Solutions, Inc.a | 109,928 | |||
| 7,000 | ResMed, Inc.a | 365,890 | |||
| 5,500 | STERIS Corporation | 153,835 | |||
| 3,500 | Techne Corporation | 239,960 | |||
| 3,740 | Teleflex, Inc. | 201,549 | |||
| 5,300 | Thoratec Corporationa | 142,676 | |||
| 4,400 | United Therapeutics Corporationa | 231,660 | |||
| 9,200 | Universal Health Services, Inc. | 280,600 | |||
| 6,410 | Valeant Pharmaceuticals Internationala | 203,774 | |||
| 2,700 | Varian, Inc.a | 139,158 | |||
| 8,000 | VCA Antech, Inc.a | 199,360 | |||
| 18,020 | Vertex Pharmaceuticals, Inc.a | 772,157 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.5%) | Value | |||
| Health Care (11.9%) - continued | |||||
| 3,900 | Wellcare Health Plans, Inc.a | $ | 143,364 | ||
Total Health Care | 10,298,035 | ||||
| Industrials (14.2%) | |||||
| 10,500 | Aecom Technology Corporationa | 288,750 | |||
| 8,630 | AGCO Corporationa | 279,094 | |||
| 12,900 | AirTran Holdings, Inc.a | 67,338 | |||
| 3,340 | Alaska Air Group, Inc.a | 115,430 | |||
| 3,860 | Alexander & Baldwin, Inc. | 132,128 | |||
| 3,100 | Alliant Techsystems, Inc.a | 273,637 | |||
| 10,070 | AMETEK, Inc. | 385,077 | |||
| 9,400 | BE Aerospace, Inc.a | 220,900 | |||
| 4,460 | Brink’s Company | 108,556 | |||
| 7,000 | Bucyrus International, Inc. | 394,590 | |||
| 5,740 | Carlisle Companies, Inc. | 196,652 | |||
| 2,100 | Clean Harbors, Inc.a | 125,181 | |||
| 4,630 | Con-way, Inc. | 161,633 | |||
| 6,300 | Copart, Inc.a | 230,769 | |||
| 3,200 | Corporate Executive Board Company | 73,024 | |||
| 10,800 | Corrections Corporation of Americaa | 265,140 | |||
| 4,400 | Crane Company | 134,728 | |||
| 4,900 | Deluxe Corporation | 72,471 | |||
| 7,200 | Donaldson Company, Inc. | 306,288 | |||
| 5,100 | Federal Signal Corporation | 30,702 | |||
| 4,800 | FTI Consulting, Inc.a | 226,368 | |||
| 4,420 | GATX Corporation | 127,075 | |||
| 5,600 | Graco, Inc. | 159,992 | |||
| 3,160 | Granite Construction, Inc. | 106,366 | |||
| 7,500 | Harsco Corporation | 241,725 | |||
| 5,390 | Herman Miller, Inc. | 86,132 | |||
| 4,230 | HNI Corporationb | 116,875 | |||
| 5,530 | Hubbell, Inc. | 261,569 | |||
| 7,600 | IDEX Corporation | 236,740 | |||
| 8,240 | JB Hunt Transport Services, Inc. | 265,905 | |||
| 19,875 | JetBlue Airways Corporationa | 108,319 | |||
| 9,550 | Joy Global, Inc. | 492,685 | |||
| 9,000 | Kansas City Southern, Inc.a | 299,610 | |||
| 15,100 | KBR, Inc. | 286,900 | |||
| 7,640 | Kennametal, Inc. | 198,029 | |||
| 5,000 | Kirby Corporationa | 174,150 | |||
| 4,440 | Korn/Ferry Internationala | 73,260 | |||
| 4,700 | Landstar System, Inc. | 182,219 | |||
| 4,500 | Lennox International, Inc. | 175,680 | |||
| 4,000 | Lincoln Electric Holdings, Inc. | 213,840 | |||
| 7,370 | Manpower, Inc. | 402,255 | |||
| 2,800 | Mine Safety Appliances Company | 74,284 | |||
| 8,660 | MPS Group, Inc.a | 118,988 | |||
| 4,100 | MSC Industrial Direct Company, Inc. | 192,700 | |||
| 4,800 | Navigant Consulting, Inc.a | 71,328 | |||
| 3,090 | Nordson Corporation | 189,046 | |||
| 8,500 | Oshkosh Corporation | 314,755 | |||
| 9,160 | Pentair, Inc. | 295,868 | |||
| 3,400 | Regal-Beloit Corporation | 176,596 | |||
| 4,148 | Rollins, Inc. | 79,974 | |||
| 7,800 | Shaw Group, Inc.a | 224,250 | |||
| 4,560 | SPX Corporation | 249,432 | |||
| 10,200 | Terex Corporationa,b | 202,062 | |||
| 4,900 | Thomas & Betts Corporationa | 175,371 | |||
| 7,500 | Timken Company | 177,825 | |||
| 4,000 | Towers Watson & Company | 190,080 | |||
| 7,395 | Trinity Industries, Inc. | 128,969 | |||
| 5,698 | United Rentals, Inc.a | 55,897 | |||
| 7,800 | URS Corporationa | 347,256 | |||
| 1,800 | Valmont Industries, Inc. | 141,210 | |||
| 4,400 | Wabtec Corporation | 179,696 | |||
| 7,300 | Waste Connections, Inc.a | 243,236 | |||
| 4,200 | Werner Enterprises, Inc. | 83,118 | |||
| 5,300 | Woodward Governor Company | 136,581 | |||
Total Industrials | 12,346,304 | ||||
| Information Technology (14.9%) | |||||
| 37,100 | 3Com Corporationa | 278,250 | |||
| 3,220 | ACI Worldwide, Inc.a | 55,223 | |||
| 7,590 | Acxiom Corporationa | 101,858 | |||
| 9,400 | ADC Telecommunications, Inc.a | 58,374 | |||
| 5,180 | ADTRAN, Inc. | 116,809 | |||
| 1,400 | Advent Software, Inc.a,b | 57,022 | |||
| 5,000 | Alliance Data Systems Corporationa | 322,950 | |||
| 8,300 | ANSYS, Inc.a | 360,718 | |||
| 10,200 | AOL, Inc.a | 237,456 | |||
| 11,170 | Arrow Electronics, Inc.a | 330,744 | |||
| 44,020 | Atmel Corporationa | 202,932 | |||
| 14,120 | Avnet, Inc.a | 425,859 | |||
| 13,000 | Broadridge Financial Solutions, Inc. | 293,280 | |||
| 25,680 | Cadence Design Systems, Inc.a | 153,823 | |||
| 8,700 | CIENA Corporationa,b | 94,308 | |||
| 8,874 | CommScope, Inc.a | 235,427 | |||
| 11,800 | Convergys Corporationa | 126,850 | |||
| 9,700 | Cree, Inc.a | 546,789 | |||
| 6,330 | Diebold, Inc. | 180,089 | |||
| 3,600 | Digital River, Inc.a | 97,164 | |||
| 3,710 | DST Systems, Inc.a | 161,571 | |||
| 3,600 | Equinix, Inc.a | 382,140 | |||
| 7,400 | F5 Networks, Inc.a | 392,052 | |||
| 3,900 | FactSet Research Systems, Inc. | 256,893 | |||
| 4,450 | Fair Isaac Corporation | 94,829 | |||
| 11,900 | Fairchild Semiconductor International, Inc.a | 118,881 | |||
| 5,700 | Gartner, Inc.a | 102,828 | |||
| 7,600 | Global Payments, Inc. | 409,336 | |||
| 7,900 | Hewitt Associates, Inc.a | 333,854 | |||
| 8,400 | Informatica Corporationa | 217,224 | |||
| 15,500 | Ingram Micro, Inc.a | 270,475 | |||
| 16,850 | Integrated Device Technology, Inc.a | 109,020 | |||
| 6,650 | International Rectifier Corporationa | 147,098 | |||
| 11,700 | Intersil Corporation | 179,478 | |||
| 3,800 | Itron, Inc.a | 256,766 | |||
| 8,160 | Jack Henry & Associates, Inc. | 188,659 | |||
| 11,900 | Lam Research Corporationa | 466,599 | |||
| 9,000 | Lender Processing Services, Inc. | 365,940 | |||
| 2,100 | ManTech International Corporationa | 101,388 | |||
| 9,470 | Mentor Graphics Corporationa | 83,620 | |||
| 7,400 | MICROS Systems, Inc.a | 229,622 | |||
| 5,275 | National Instruments Corporation | 155,349 | |||
| 15,200 | NCR Corporationa | 169,176 | |||
| 6,900 | NeuStar, Inc.a | 158,976 | |||
| 15,600 | Palm, Inc.a,b | 156,624 | |||
| 11,200 | Parametric Technology Corporationa | 183,008 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.5%) | Value | ||||
| Information Technology (14.9%) - continued | ||||||
| 4,540 | Plantronics, Inc. | $ | 117,949 | |||
| 8,020 | Polycom, Inc.a | 200,259 | ||||
| 6,100 | Quest Software, Inc.a | 112,240 | ||||
| 25,640 | RF Micro Devices, Inc.a | 122,303 | ||||
| 9,640 | Rovi Corporationa | 307,227 | ||||
| 5,890 | Semtech Corporationa | 100,189 | ||||
| 4,200 | Silicon Laboratories, Inc.a | 203,028 | ||||
| 6,500 | Solera Holdings, Inc. | 234,065 | ||||
| 4,100 | SRA International, Inc.a | 78,310 | ||||
| 7,580 | Sybase, Inc.a | 328,972 | ||||
| 13,680 | Synopsys, Inc.a | 304,790 | ||||
| 4,880 | Tech Data Corporationa | 227,701 | ||||
| 11,300 | Trimble Navigation, Ltd.a | 284,760 | ||||
| 8,300 | ValueClick, Inc.a | 83,996 | ||||
| 18,020 | Vishay Intertechnology, Inc.a | 150,467 | ||||
| 5,500 | Zebra Technologies Corporationa | 155,980 | ||||
Total Information Technology | 12,979,567 | |||||
| Materials (6.2%) | ||||||
| 8,520 | Albemarle Corporation | 309,872 | ||||
| 6,300 | AptarGroup, Inc. | 225,162 | ||||
| 7,000 | Ashland, Inc. | 277,340 | ||||
| 6,090 | Cabot Corporation | 159,741 | ||||
| 4,100 | Carpenter Technology Corporation | 110,495 | ||||
| 10,600 | Commercial Metals Company | 165,890 | ||||
| 4,560 | Cytec Industries, Inc. | 166,075 | ||||
| 3,200 | Greif, Inc. | 172,736 | ||||
| 11,900 | Louisiana-Pacific Corporationa | 83,062 | ||||
| 6,360 | Lubrizol Corporation | 463,962 | ||||
| 4,120 | Martin Marietta Materials, Inc.b | 368,369 | ||||
| 1,680 | Minerals Technologies, Inc. | 91,510 | ||||
| 7,400 | Olin Corporation | 129,648 | ||||
| 9,600 | Packaging Corporation of America | 220,896 | ||||
| 6,100 | Reliance Steel & Aluminum Company | 263,642 | ||||
| 12,100 | RPM International, Inc. | 245,993 | ||||
| 4,300 | Scotts Miracle-Gro Company | 169,033 | ||||
| 4,530 | Sensient Technologies Corporation | 119,139 | ||||
| 2,600 | Silgan Holdings, Inc. | 150,488 | ||||
| 9,380 | Sonoco Products Company | 274,365 | ||||
| 20,300 | Steel Dynamics, Inc. | 359,716 | ||||
| 10,100 | Temple-Inland, Inc. | 213,211 | ||||
| 9,300 | Terra Industries, Inc. | 299,367 | ||||
| 9,560 | Valspar Corporation | 259,458 | ||||
| 6,000 | Worthington Industries, Inc. | 78,420 | ||||
Total Materials | 5,377,590 | |||||
| Telecommunications Services (0.8%) | ||||||
| 20,210 | Cincinnati Bell, Inc.a | 69,725 | ||||
| 6,500 | Syniverse Holdings, Inc.a | 113,620 | ||||
| 8,720 | Telephone and Data Systems, Inc. | 295,782 | ||||
| 14,200 | TW Telecom, Inc.a | 243,388 | ||||
Total Telecommunications Services | 722,515 | |||||
| Utilities (6.6%) | ||||||
| 7,280 | AGL Resources, Inc. | 265,502 | ||||
| 10,300 | Alliant Energy Corporation | 311,678 | ||||
| 13,066 | Aqua America, Inc.b | 228,786 | ||||
| 8,700 | Atmos Energy Corporation | 255,780 | ||||
| 3,800 | Black Hills Corporation | 101,194 | ||||
| 5,600 | Cleco Corporation | 153,048 | ||||
| 11,330 | DPL, Inc. | 312,708 | ||||
| 48,800 | Dynegy, Inc.a | 88,328 | ||||
| 6,700 | Energen Corporation | 313,560 | ||||
| 12,763 | Great Plains Energy, Inc. | 247,474 | ||||
| 8,780 | Hawaiian Electric Industries, Inc. | 183,502 | ||||
| 4,530 | IDACORP, Inc. | 144,733 | ||||
| 17,725 | MDU Resources Group, Inc. | 418,310 | ||||
| 7,500 | National Fuel Gas Company | 375,000 | ||||
| 10,040 | NSTAR | 369,472 | ||||
| 22,100 | NV Energy, Inc. | 273,598 | ||||
| 9,190 | OGE Energy Corporation | 339,111 | ||||
| 10,000 | ONEOK, Inc. | 445,700 | ||||
| 8,275 | PNM Resources, Inc. | 104,679 | ||||
| 10,300 | UGI Corporation | 249,157 | ||||
| 7,890 | Vectren Corporation | 194,725 | ||||
| 10,320 | Westar Energy, Inc. | 224,254 | ||||
| 4,710 | WGL Holdings, Inc. | 157,973 | ||||
Total Utilities | 5,758,272 | |||||
Total Common Stock (cost $78,844,648) | 84,730,696 | |||||
Collateral Held for Securities Loaned (7.3%) | ||||||
| 6,345,282 | Thrivent Financial Securities Lending Trust | 6,345,282 | ||||
Total Collateral Held for Securities Loaned (cost $6,345,282) | 6,345,282 | |||||
| Principal Amount | Short-Term Investments (2.3%)c | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 1,000,000 | 0.040%, 1/15/2010 | 999,985 | ||||
| 200,000 | 0.200%, 3/17/2010d | 199,918 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 845,000 | 0.020%, 2/4/2010 | 844,984 | ||||
Total Short-Term Investments (at amortized cost) | 2,044,887 | |||||
Total Investments (cost $87,234,817) 107.1% | $ | 93,120,865 | ||||
Other Assets and Liabilities, Net (7.1%) | (6,188,537 | ) | ||||
Total Net Assets 100.0% | $ | 86,932,328 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| d | At December 31, 2009, $199,918 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2009
Definitions:
| REIT | - | Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 14,870,309 | ||
Gross unrealized depreciation | (11,582,352 | ) | ||
Net unrealized appreciation (depreciation) | $ | 3,287,957 | ||
Cost for federal income tax purposes | $ | 89,832,908 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Mid Cap Index Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 11,791,331 | 11,791,331 | — | — | ||||||||
Consumer Staples | 3,392,315 | 3,392,315 | — | — | ||||||||
Energy | 5,784,309 | 5,784,309 | — | — | ||||||||
Financials | 16,280,458 | 16,280,458 | — | — | ||||||||
Health Care | 10,298,035 | 10,298,035 | — | — | ||||||||
Industrials | 12,346,304 | 12,346,304 | — | — | ||||||||
Information Technology | 12,979,567 | 12,979,567 | — | — | ||||||||
Materials | 5,377,590 | 5,377,590 | — | — | ||||||||
Telecommunications Services | 722,515 | 722,515 | — | — | ||||||||
Utilities | 5,758,272 | 5,758,272 | — | — | ||||||||
Collateral Held for Securities Loaned | 6,345,282 | 6,345,282 | — | — | ||||||||
Short-Term Investments | 2,044,887 | — | 2,044,887 | — | ||||||||
Total | $ | 93,120,865 | $ | 91,075,978 | $ | 2,044,887 | $ | — | ||||
Other Financial Instruments* | $ | 59,888 | $ | 59,888 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
S&P 400 Index Mini-Futures | 30 | March 2010 | $ | 2,114,813 | $ | 2,174,701 | $ | 59,888 | |||||
Total Futures Contracts | $ | 59,888 | |||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 59,888 | |||
Total Equity Contracts | 59,888 | ||||
Total Asset Derivatives | $ | 59,888 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Equity Contracts | |||||
Futures | Net realized gains/(losses) on Futures contracts | 371,836 | |||
Total Equity Contracts | 371,836 | ||||
Total | $ | 371,836 | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 7,309 | |||
Total Equity Contracts | 7,309 | ||||
Total | $ | 7,309 | |||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $ | 1,332,837 | 1.7 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Mid Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 1,291,295 | $ | 12,913,406 | $ | 14,204,701 | — | $ | — | $ | 3,952 | ||||||
Thrivent Financial Securities Lending Trust | 9,562,918 | 40,437,267 | 43,654,903 | 6,345,282 | 6,345,282 | 70,681 | |||||||||||
Total Value and Income Earned | 10,854,213 | 6,345,282 | 74,633 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (83.1%) | Value | |||
| Australia (2.7%) | |||||
| 87,854 | Ausenco, Ltd. | $ | 357,169 | ||
| 56,078 | BHP Billiton, Ltd. | 2,145,873 | |||
| 63,000 | BlueScope Steel, Ltd. | 173,580 | |||
| 71,818 | Bradken, Ltd. | 436,610 | |||
| 71,051 | Harvey Norman Holdings, Ltd. | 267,847 | |||
| 191,252 | Hastie Group, Ltd. | 323,478 | |||
| 30,195 | JB Hi-Fi, Ltd. | 609,513 | |||
| 19,601 | MacArthur Coal, Ltd. | 196,757 | |||
| 7,499 | Orica, Ltd. | 174,348 | |||
| 9,930 | Rio Tinto, Ltd. | 662,861 | |||
| 81,106 | Seek, Ltd. | 500,828 | |||
| 395,660 | Transpacific Industries Group, Ltd.a | 476,228 | |||
| 17,064 | Westpac Banking Corporation | 385,446 | |||
| 8,738 | Woolworths, Ltd. | 219,152 | |||
Total Australia | 6,929,690 | ||||
| Austria (0.2%) | |||||
| 8,889 | Andritz AG | 512,438 | |||
Total Austria | 512,438 | ||||
| Belgium (0.5%) | |||||
| 15,726 | Anheuser-Busch InBev NV | 814,053 | |||
| 2,976 | Bekaert SA | 459,270 | |||
Total Belgium | 1,273,323 | ||||
| Bermuda (0.3%) | |||||
| 44,465 | Hongkong Land Holdings, Ltd. | 218,990 | |||
| 203,000 | Noble Group, Ltd. | 465,604 | |||
| 236,000 | Pacific Basin Shipping, Ltd. | 169,145 | |||
Total Bermuda | 853,739 | ||||
| Brazil (2.7%) | |||||
| 53,000 | Banco Bradesco SA ADR | 1,159,110 | |||
| 34,000 | Lojas Renner SA | 767,490 | |||
| 19,000 | Multiplan Empreendimentos Imobiliarios SA | 354,136 | |||
| 27,000 | Petroleo Brasileiro SA ADR | 1,144,530 | |||
| 13,500 | Souza Cruz SA | 447,881 | |||
| 18,500 | Ultrapar Participacoes SA ADR | 867,650 | |||
| 25,800 | Vale SA SP ADR | 748,974 | |||
| 60,000 | Vale SA SP PREF ADR | 1,489,199 | |||
Total Brazil | 6,978,970 | ||||
| Canada (2.2%) | |||||
| 9,900 | Alimentation Couche-Tard, Inc. | 197,072 | |||
| 15,800 | Barrick Gold Corporation | 626,320 | |||
| 5,300 | Canadian Natural Resources, Ltd. | 385,123 | |||
| 3,900 | Canadian Utilities, Ltd. | 163,137 | |||
| 14,900 | Cenovus Energy, Inc. | 377,522 | |||
| 6,524 | Enbridge, Inc. | 303,339 | |||
| 14,900 | EnCana Corporation | 485,935 | |||
| 10,500 | Gildan Activewear, Inc.a | 258,007 | |||
| 6,500 | Husky Energy, Inc. | 186,939 | |||
| 3,900 | Inmet Mining Corporation | 237,826 | |||
| 4,600 | National Bank of Canada | 264,943 | |||
| 19,000 | Nexen, Inc. | 458,151 | |||
| 8,700 | Research In Motion, Ltd.a | 590,841 | |||
| 22,400 | Sino-Forest Corporationa | 415,061 | |||
| 9,200 | Suncor Energy, Inc. | 327,309 | |||
| 9,900 | Teck Resources, Ltd.a | 348,521 | |||
Total Canada | 5,626,046 | ||||
| Cayman Islands (0.1%) | |||||
| 373,963 | Kingboard Laminates Holdings, Ltd. | 257,825 | |||
| 132,124 | Xtep International Holdings, Ltd. | 74,100 | |||
Total Cayman Islands | 331,925 | ||||
| Chile (0.3%) | |||||
| 11,200 | Banco Santander Chile SA ADR | 725,536 | |||
Total Chile | 725,536 | ||||
| China (0.8%) | |||||
| 2,043,950 | Bank of China, Ltd. | 1,098,398 | |||
| 828,000 | PetroChina Company, Ltd. | 984,365 | |||
Total China | 2,082,763 | ||||
| Denmark (0.8%) | |||||
| 3,165 | Carlsberg AS | 232,988 | |||
| 37,552 | DSV ASa | 680,542 | |||
| 11,824 | Novo Nordisk AS | 754,857 | |||
| 2,872 | Rockwool International | 338,229 | |||
Total Denmark | 2,006,616 | ||||
| Finland (0.5%) | |||||
| 7,181 | Kone Oyj | 307,720 | |||
| 14,997 | Outotec Oyj | 528,715 | |||
| 39,054 | Ramirent Oyja | 379,494 | |||
Total Finland | 1,215,929 | ||||
| France (5.9%) | |||||
| 6,361 | Alstom SA | 444,842 | |||
| 17,598 | Alten, Ltd.a | 489,197 | |||
| 3,721 | Atos Origin SAa | 170,465 | |||
| 66,279 | AXA SA | 1,556,094 | |||
| 11,626 | BNP Paribas SA | 922,110 | |||
| 35,400 | Cap Gemini SA | 1,614,881 | |||
| 1,714 | CNP Assurances | 165,968 | |||
| 27,442 | Compagnie de Saint-Gobain | 1,488,559 | |||
| 8,912 | Euler Hermes SA | 664,584 | |||
| 4,706 | Eurofins Scientific | 256,364 | |||
| 7,608 | Eutelsat Communications | 244,084 | |||
| 5,164 | Nexans SA | 410,177 | |||
| 3,406 | Sanofi-Aventis | 267,845 | |||
| 15,569 | Schneider Electric SA | 1,810,169 | |||
| 4,111 | Technip SA | 289,223 | |||
| 23,350 | Total SA | 1,499,702 | |||
| 4,742 | Unibail-Rodamco | 1,041,677 | |||
| 5,764 | Vinci SA | 324,332 | |||
| 44,950 | Vivendi | 1,334,041 | |||
Total France | 14,994,314 | ||||
| Germany (3.3%) | |||||
| 25,201 | Aixtron AG | 846,896 | |||
| 7,300 | BASF SE | 451,781 | |||
| 3,943 | Bayer AG | 315,519 | |||
| 8,418 | Bayerische Motoren Werke AG | 383,189 | |||
| 11,639 | Demag Cranes AG | 387,135 | |||
| 4,541 | Deutsche Bank AG | 321,080 | |||
| 4,868 | E.ON AG | 204,321 | |||
| 26,357 | Gildemeister AG | 425,082 | |||
| 4,648 | Hannover Rueckversicherung AGa | 217,146 | |||
| 3,018 | Hochtief AG | 230,163 | |||
| 51,474 | Infineon Technologies AGa | 286,354 | |||
| 4,511 | Metro AG | 275,487 | |||
| 16,733 | ProSiebanSat.1 Media AG | 191,700 | |||
| 8,697 | Rheinmetall AG | 552,138 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (83.1%) | Value | |||
| Germany (3.3%) - continued | |||||
| 22,269 | Rhoen-Klinikum AG | $ | 541,951 | ||
| 2,962 | RWE AG | 287,427 | |||
| 7,236 | SAP AG ADR | 344,947 | |||
| 14,950 | Siemens AG | 1,371,913 | |||
| 25,954 | Tognum AG | 429,614 | |||
| 34,041 | Wirecard AG | 470,665 | |||
Total Germany | 8,534,508 | ||||
| Greece (0.6%) | |||||
| 6,956 | Hellenic Exchanges SA Holdings | 72,180 | |||
| 59,378 | Intralot SA Integrated Lottery Systems & Services | 347,314 | |||
| 31,900 | National Bank of Greece SAa | 819,532 | |||
| 8,799 | Public Power Corporation SAa | 163,179 | |||
Total Greece | 1,402,205 | ||||
| Hong Kong (3.4%) | |||||
| 148,000 | China Mobile, Ltd. | 1,377,066 | |||
| 240,000 | Golden Eagle Retail Group, Ltd. | 486,816 | |||
| 188,000 | Hang Lung Group, Ltd. | 929,756 | |||
| 16,200 | Hang Seng Bank, Ltd. | 238,334 | |||
| 41,000 | Hengan International Group Company, Ltd. | 303,574 | |||
| 30,200 | Hong Kong Exchanges and Clearing, Ltd. | 537,330 | |||
| 43,000 | Hongkong Electric Holdings, Ltd. | 234,233 | |||
| 237,250 | Hutchison Whampoa, Ltd. | 1,623,228 | |||
| 564,350 | New World Development Company, Ltd. | 1,149,808 | |||
| 42,500 | Swire Pacific, Ltd., Class A | 513,968 | |||
| 217,500 | Swire Pacific, Ltd., Class B | 475,704 | |||
| 663,000 | Techtronic Industries Company | 549,604 | |||
| 55,000 | Wharf Holdings, Ltd. | 315,645 | |||
Total Hong Kong | 8,735,066 | ||||
| Hungary (0.4%) | |||||
| 4,700 | Richter Gedeon Nyrt | 1,066,841 | |||
Total Hungary | 1,066,841 | ||||
| India (1.7%) | |||||
| 59,000 | Bharti Airtel, Ltd. | 416,880 | |||
| 11,000 | GlaxoSmithKline Pharmaceuticals, Ltd. | 378,801 | |||
| 798 | Grasim Industries, Ltd. | 42,406 | |||
| 8,000 | Grasim Industries, Ltd. GDR | 426,400 | |||
| 14,000 | Hero Honda Motors, Ltd. | 514,931 | |||
| 65,000 | Hindustan Unilever, Ltd. | 368,392 | |||
| 14,750 | Housing Development Finance Corporation | 843,923 | |||
| 10,400 | ICICI Bank, Ltd. ADR | 392,184 | |||
| 16,504 | Infosys Technologies, Ltd. ADR | 912,176 | |||
Total India | 4,296,093 | ||||
| Indonesia (0.3%) | |||||
| 233,000 | PT Astra International Tbk | 856,600 | |||
Total Indonesia | 856,600 | ||||
| Ireland (0.2%) | |||||
| 122,734 | C&C Group plc | 528,939 | |||
Total Ireland | 528,939 | ||||
| Israel (0.6%) | |||||
| 18,500 | Check Point Software Technologies, Ltd.a | 626,780 | |||
| 14,000 | Teva Pharmaceutical Industries, Ltd. ADR | 786,520 | |||
Total Israel | 1,413,300 | ||||
| Italy (2.9%) | |||||
| 14,845 | Atlantia SPA | 388,211 | |||
| 43,525 | Autogrill SPAa | 548,592 | |||
| 48,011 | Azimut Holding SPA | 641,817 | |||
| 277,250 | Enel SPA | 1,605,037 | |||
| 65,400 | Eni SPA | 1,665,384 | |||
| 86,396 | Finmeccanica SPA | 1,383,203 | |||
| 24,906 | Italcementi SPA | 181,565 | |||
| 16,150 | Saipem SPA | 557,319 | |||
| 27,270 | Trevi Finanziaria SPA | 431,617 | |||
Total Italy | 7,402,745 | ||||
| Japan (12.9%) | |||||
| 9,600 | Aisin Seiki Company, Ltd. | 277,354 | |||
| 35,800 | Alps Electric Company, Ltd.a | 210,035 | |||
| 24,000 | Asahi Glass Company, Ltd. | 228,290 | |||
| 5,900 | Astellas Pharmaceutical, Inc. | 220,122 | |||
| 58,000 | Bank of Yokohama, Ltd. | 264,449 | |||
| 71,950 | Bridgestone Corporation | 1,269,184 | |||
| 43,000 | Chiba Bank, Ltd. | 257,190 | |||
| 10,100 | Chugai Pharmaceutical Company, Ltd. | 188,785 | |||
| 49,300 | CKD Corporation | 375,196 | |||
| 14,600 | COMSYS Holdings Corporation | 153,587 | |||
| 15,105 | Cosmos Pharmaceutical Corporation | 381,142 | |||
| 25,000 | Daicel Chemical Industries, Ltd. | 146,849 | |||
| 50,850 | Daiichi Sankyo Company, Ltd. | 1,066,401 | |||
| 20,577 | Daiseki Company, Ltd. | 414,992 | |||
| 31,550 | Daito Trust Construction Company, Ltd. | 1,493,843 | |||
| 44,000 | Daiwa Securities Group, Inc. | 221,436 | |||
| 102,000 | Denki Kagaku Kogyo KK | 455,988 | |||
| 12,800 | Denso Corporation | 386,778 | |||
| 9,100 | Disco Corporation | 570,000 | |||
| 21,000 | East Japan Railway Company | 1,328,895 | |||
| 17,800 | Elpida Memory, Inc.a | 290,104 | |||
| 19,936 | Exedy Corporation | 415,221 | |||
| 50,000 | Fujitsu, Ltd. | 324,421 | |||
| 18,200 | Honda Motor Company, Ltd. | 617,502 | |||
| 7,400 | IBIDEN Company, Ltd. | 265,397 | |||
| 1,800 | Idemitsu Kosan Company, Ltd. | 105,082 | |||
| 47,000 | ITOCHU Corporation | 347,178 | |||
| 9,800 | JFE Holdings, Inc. | 387,383 | |||
| 65,850 | Kao Corporation | 1,543,308 | |||
| 19,000 | Kirin Holdings Company, Ltd. | 304,703 | |||
| 113,000 | Kobe Steel, Ltd.a | 204,779 | |||
| 6,500 | K’s Holdings Corporation | 195,126 | |||
| 4,800 | Makita Corporation | 164,871 | |||
| 55,000 | Marubeni Corporation | 303,819 | |||
| 24,407 | Megane TOP Company, Ltd. | 266,133 | |||
| 49,500 | Mitsubishi Chemical Holdings Corporation | 210,787 | |||
| 13,400 | Mitsubishi Corporation | 333,775 | |||
| 56,000 | Mitsubishi Materials Corporationa | 136,964 | |||
| 65,200 | Mitsubishi UFJ Financial Group, Inc. | 321,161 | |||
| 20,900 | Mitsui & Company, Ltd. | 296,490 | |||
| 30,200 | Mitsui Sumitomo Insurance Group Holdings, Inc. | 771,344 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (83.1%) | Value | |||
| Japan (12.9%) - continued | |||||
| 4,000 | Murata Manufacturing Company, Ltd. | $ | 199,629 | ||
| 38,000 | Nabtesco Corporation | 435,339 | |||
| 22,540 | Nifco, Inc. | 450,263 | |||
| 20,000 | Nippon Electric Glass Company, Ltd. | 275,278 | |||
| 35,000 | Nippon Oil Corporation | 162,264 | |||
| 62,100 | Nissan Motor Company, Ltd.a | 545,730 | |||
| 5,500 | Nissin Foods Holdings Company, Ltd. | 179,656 | |||
| 2,550 | Nitori Company, Ltd. | 189,802 | |||
| 172 | NTT DoCoMo, Inc. | 240,024 | |||
| 11,600 | Pigeon Corporation | 454,223 | |||
| 23,800 | Resona Holdings, Inc. | 241,802 | |||
| 5,800 | Santen Pharmaceutical Company, Ltd. | 186,311 | |||
| 16,900 | Shin-Etsu Chemical Company, Ltd. | 954,145 | |||
| 15,000 | Shinko Electric Industries Company, Ltd. | 218,350 | |||
| 25,900 | Softbank Corporation | 607,166 | |||
| 22,600 | Sony Corporation | 657,022 | |||
| 11,300 | Stanley Electric Company, Ltd. | 229,202 | |||
| 141,350 | Sumitomo Corporation | 1,439,330 | |||
| 22,800 | Sumitomo Electric Industries, Ltd. | 283,994 | |||
| 298,000 | Sumitomo Trust and Banking Company, Ltd. | 1,463,191 | |||
| 11,200 | Suzuki Motor Corporation | 275,823 | |||
| 9,900 | Sysmex Corporation | 517,641 | |||
| 23,050 | Takeda Pharmaceutical Company, Ltd. | 949,689 | |||
| 4,300 | TDK Corporation | 262,784 | |||
| 9,600 | Tokai Rika Company, Ltd. | 217,742 | |||
| 17,200 | Tokio Marine Holdings, Inc. | 469,374 | |||
| 98,000 | Toshiba Corporationa | 543,791 | |||
| 39,000 | Toshiba Plant Systems & Services Corporation | 492,347 | |||
| 8,000 | Toyo Suisan Kaisha, Ltd. | 184,485 | |||
| 89,158 | Tsubakimoto Chain Company | 350,706 | |||
| 81,000 | Ube Industries, Ltd. | 221,617 | |||
| 13,500 | ULVAC, Inc. | 328,139 | |||
| 12,100 | Unicharm Petcare Corporation | 369,591 | |||
| 18,400 | Yamato Holdings Company, Ltd. | 256,129 | |||
Total Japan | 32,568,643 | ||||
| Luxembourg (0.5%) | |||||
| 37,743 | Acergy SA | 594,549 | |||
| 18,000 | Tenaris SA ADR | 767,700 | |||
Total Luxembourg | 1,362,249 | ||||
| Malaysia (0.4%) | |||||
| 131,300 | CIMB Group Holdings Berhad | 491,336 | |||
| 199,400 | Public Bank Berhad | 655,457 | |||
Total Malaysia | 1,146,793 | ||||
| Mexico (1.2%) | |||||
| 172,000 | Consorcio ARA SAB de CVa | 119,645 | |||
| 23,500 | Fomento Economico Mexicano SAB de CV ADR | 1,125,180 | |||
| 8,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 440,385 | |||
| 228,500 | Grupo Financiero Banorte SAB de CV ADR | 824,081 | |||
| 184,000 | Organizacion Soriana SAB de CVa | 459,227 | |||
Total Mexico | 2,968,518 | ||||
| Netherlands (2.1%) | |||||
| 41,366 | Arcelor Mittal | 1,890,597 | |||
| 12,594 | ASML Holding NV | 429,962 | |||
| 24,175 | BinckBank NV | 432,998 | |||
| 41,483 | Koninklijke (Royal) Ahold NV | 549,566 | |||
| 15,567 | Koninklijke Boskalis Westminster NV | 599,258 | |||
| 15,300 | Koninklijke DSM NV | 751,709 | |||
| 3,567 | Koninklijke Vopak NVa | 282,688 | |||
| 16,026 | Unilever NV | 521,571 | |||
Total Netherlands | 5,458,349 | ||||
| Norway (2.1%) | |||||
| 29,311 | DnB NOR ASAa | 316,433 | |||
| 324,000 | Marine Harvesta | 234,956 | |||
| 150,300 | Norsk Hydro ASAa | 1,262,582 | |||
| 7,000 | Schibsted ASAa | 157,324 | |||
| 59,650 | Statoil ASA | 1,487,649 | |||
| 31,800 | Telenor ASAa | 444,236 | |||
| 26,365 | TGS Nopec Geophysical Company ASAa | 476,203 | |||
| 23,450 | Yara International ASA | 1,062,171 | |||
Total Norway | 5,441,554 | ||||
| Philippines (0.3%) | |||||
| 1,800,000 | Ayala Land, Inc. | 435,010 | |||
| 365,000 | Bank of the Philippine Islands | 376,982 | |||
Total Philippines | 811,992 | ||||
| Portugal (0.3%) | |||||
| 88,804 | Electricidade de Portugal SA | 395,340 | |||
| 27,446 | Portugal Telecom SGPS SA | 334,884 | |||
Total Portugal | 730,224 | ||||
| Russia (0.4%) | |||||
| 16,500 | LUKOIL ADR | 935,006 | |||
Total Russia | 935,006 | ||||
| Singapore (2.4%) | |||||
| 667,000 | CSE Global, Ltd. | 409,059 | |||
| 32,000 | DBS Group Holdings, Ltd. | 347,857 | |||
| 337,000 | Ezra Holdings, Ltd. | 539,382 | |||
| 720,000 | Golden Agri-Resources, Ltd.a | 259,423 | |||
| 33,583 | Golden Agri-Resources, Ltd. Warrants, 0.54 SGD, expires 7/23/2012a | 3,347 | |||
| 109,600 | Keppel Corporation, Ltd. | 638,409 | |||
| 830,000 | Midas Holding, Ltd. | 540,100 | |||
| 97,000 | Neptune Orient Lines, Ltd. | 113,205 | |||
| 77,000 | Oversea-Chinese Banking Corporation, Ltd. | 495,795 | |||
| 286,000 | Parkway Holdings, Ltd.a | 591,054 | |||
| 108,150 | Singapore Airlines, Ltd. | 1,145,371 | |||
| 252,000 | Singapore Airport Terminal Services, Ltd. | 489,650 | |||
| 196,000 | Singapore Telecommunications, Ltd. | 431,691 | |||
Total Singapore | 6,004,343 | ||||
| South Africa (0.7%) | |||||
| 90,600 | Massmart Holdings, Ltd. | 1,096,973 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (83.1%) | Value | |||
| South Africa (0.7%) - continued | |||||
| 123,000 | Truworths International, Ltd. | $ | 722,890 | ||
Total South Africa | 1,819,863 | ||||
| South Korea (2.8%) | |||||
| 12,181 | Busan Banka | 145,337 | |||
| 11,217 | Hana Tour Service, Inc. | 481,178 | |||
| 16,295 | KB Financial Group, Inc.a | 829,745 | |||
| 4,980 | LG Innotek Company, Ltd.a | 422,780 | |||
| 2,600 | POSCO | 1,371,166 | |||
| 3,450 | Samsung Electronics Company, Ltd. | 1,555,065 | |||
| 1,100 | Shinsegae Company, Ltd.a | 508,078 | |||
| 3,521 | SK Telecom Company, Ltd. | 513,950 | |||
| 54,207 | SK Telecom Company, Ltd. ADR | 881,406 | |||
| 20,104 | Sung Kwang Bend Company, Ltd.a | 486,285 | |||
Total South Korea | 7,194,990 | ||||
| Spain (2.6%) | |||||
| 21,152 | Almirall SA | 276,865 | |||
| 76,132 | Banco Bilbao Vizcaya Argentaria SA | 1,387,445 | |||
| 12,979 | Banco Santander SA | 214,464 | |||
| 18,947 | Grupo Catalana Occidente SA | 426,313 | |||
| 136,200 | Iberdrola SA | 1,305,107 | |||
| 98,234 | Telefonica SA | 2,749,354 | |||
| 74,297 | Tubacex SA | 291,810 | |||
Total Spain | 6,651,358 | ||||
| Sweden (1.2%) | |||||
| 25,669 | Atlas Copco AB | 377,328 | |||
| 15,245 | Electrolux ABa | 358,242 | |||
| 50,877 | Hexagon AB | 746,101 | |||
| 29,760 | Lundin Petroleum ABa | 234,791 | |||
| 205,417 | Niscayah Group AB | 424,535 | |||
| 89,900 | Telefonaktiebolaget LM Ericsson | 827,617 | |||
Total Sweden | 2,968,614 | ||||
| Switzerland (8.0%) | |||||
| 42,453 | ABB, Ltd.a | 817,999 | |||
| 4,876 | Actelion, Ltd.a | 260,416 | |||
| 28,688 | Adecco SA | 1,582,495 | |||
| 1,857 | Baloise Holding AG | 154,174 | |||
| 1,620 | Burckhardt Compression Holding AG | 287,565 | |||
| 11,271 | Compagnie Financiere Richemont SA | 378,990 | |||
| 20,991 | Credit Suisse Group | 1,039,871 | |||
| 1,322 | Givaudan SA | 1,057,767 | |||
| 26,822 | Holcim, Ltd.a | 2,084,435 | |||
| 7,007 | Julius Baer Group, Ltd. | 246,413 | |||
| 2,222 | Kuehne & Nagel International AG | 216,033 | |||
| 1,799 | Meyer Burger Technology AGa | 454,842 | |||
| 74,655 | Nestle SA | 3,623,102 | |||
| 73,884 | Novartis AG | 4,034,553 | |||
| 10,355 | Roche Holding AG | 1,770,753 | |||
| 424 | Sika AG | 659,247 | |||
| 1,785 | Tecan Group AG | 134,079 | |||
| 26,428 | UBS AGa | 411,521 | |||
| 4,493 | Zurich Financial Services AG | 982,229 | |||
Total Switzerland | 20,196,484 | ||||
| Taiwan (0.6%) | |||||
| 237,000 | Taiwan Mobile Company, Ltd. | 462,030 | |||
| 551,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 1,112,443 | |||
Total Taiwan | 1,574,473 | ||||
| Thailand (1.2%) | |||||
| 180,100 | PTT Exploration & Production pcl | 794,539 | |||
| 182,700 | PTT pcl | 1,348,772 | |||
| 133,900 | Siam Cement pcl | 958,335 | |||
Total Thailand | 3,101,646 | ||||
| Turkey (0.6%) | |||||
| 171,237 | Akbank TAS | 1,089,572 | |||
| 12,000 | BIM Birlesik Magazalar AS | 558,039 | |||
Total Turkey | 1,647,611 | ||||
| United Kingdom (12.3%) | |||||
| 269,657 | Aegis Group plc | 520,803 | |||
| 15,892 | Anglo American plca | 688,264 | |||
| 20,204 | Antofagasta plc | 321,404 | |||
| 47,494 | ASOS plca | 373,124 | |||
| 8,458 | Autonomy Corporation plca | 205,403 | |||
| 66,873 | Babcock International Group plc | 641,542 | |||
| 81,917 | BAE Systems plc | 474,116 | |||
| 40,035 | Barclays plc | 176,417 | |||
| 56,901 | BG Group plc | 1,027,444 | |||
| 22,228 | BHP Billiton plc | 708,650 | |||
| 152,400 | BP plc | 1,471,641 | |||
| 32,052 | British American Tobacco plc | 1,040,543 | |||
| 4,419 | Chemring Group plc | 208,598 | |||
| 78,344 | Cobham plc | 316,464 | |||
| 41,338 | Experian plc | 408,332 | |||
| 131,726 | GlaxoSmithKline plc | 2,793,438 | |||
| 113,409 | Halma plc | 445,136 | |||
| 25,800 | HSBC Holdings plc ADR | 1,472,922 | |||
| 25,633 | Imperial Tobacco Group plc | 808,675 | |||
| 87,262 | Intermediate Capital Group plc | 385,371 | |||
| 49,961 | Invensys plc | 240,355 | |||
| 292,968 | Kingfisher plc | 1,078,506 | |||
| 45,373 | Marks and Spencer Group plc | 293,155 | |||
| 44,234 | National Grid plc | 482,823 | |||
| 104,450 | Pearson plc | 1,497,645 | |||
| 87,877 | Persimmon plca | 664,521 | |||
| 13,125 | Reckitt Benckiser Group plc | 710,478 | |||
| 21,131 | Rio Tinto plc | 1,141,040 | |||
| 26,644 | Rotork plc | 509,128 | |||
| 22,992 | SABMiller plc | 675,848 | |||
| 53,139 | Sage Group plc | 188,180 | |||
| 248,383 | SIG plca | 448,301 | |||
| 64,992 | Standard Chartered plc | 1,640,830 | |||
| 66,641 | Tesco plc | 459,749 | |||
| 11,270 | Travis Perkins plca | 154,349 | |||
| 17,723 | Ultra Electronics Holdings | 391,761 | |||
| 56,188 | Unilever plc | 1,801,173 | |||
| 642,300 | Vodafone Group plc | 1,487,426 | |||
| 80,203 | William Morrison Supermarkets plc | 357,837 | |||
| 160,750 | WPP plc | 1,572,214 | |||
| 42,692 | Xstrata plca | 761,477 | |||
Total United Kingdom | 31,045,083 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (83.1%) | Value | |||
| United States (0.1%) | |||||
| 5,375 | iShares MSCI EAFE Index Fund | $ | 297,238 | ||
Total United States | 297,238 | ||||
Total Common Stock (cost $186,169,763) | 211,692,617 | ||||
| Principal Amount | Long-Term Fixed Income (8.4%) | ||||
| Argentina (0.6%) | |||||
Arcos Dorados SA | |||||
| 100,000 | 7.500%, 10/1/2019 | 99,788 | |||
Argentina Government International Bond | |||||
| 1,890,000 | 2.840%, 12/15/2010b | 150,366 | |||
| 810,000 | 7.000%, 3/28/2011 | 804,734 | |||
| 265,000 | 7.000%, 10/3/2015 | 226,973 | |||
| 410,000 | 2.500%, 3/31/2019c | 142,475 | |||
| 280,000 | Zero Coupon, 12/15/2035 | 18,004 | |||
Total Argentina | 1,442,340 | ||||
| Brazil (0.6%) | |||||
Brazil Government International Bond | |||||
| 880,000 | 6.000%, 1/17/2017 | 950,400 | |||
| 130,000 | 8.250%, 1/20/2034 | 166,075 | |||
| 360,000 | 5.625%, 1/7/2041 | 339,300 | |||
Independencia International, Ltd. | |||||
| 170,000 | 9.875%, 5/15/2015d,e | 37,400 | |||
Telemar Norte Leste SA | |||||
| 100,000 | 9.500%, 4/23/2019f | 119,500 | |||
Total Brazil | 1,612,675 | ||||
| Cayman Islands (0.1%) | |||||
TGI International, Ltd. | |||||
| 180,000 | 9.500%, 10/3/2017 | 194,400 | |||
Total Cayman Islands | 194,400 | ||||
| Colombia (0.2%) | |||||
Colombia Government International Bond | |||||
| 100,000 | 7.375%, 3/18/2019 | 113,250 | |||
| 160,000 | 7.375%, 9/18/2037 | 174,400 | |||
| 220,000 | 6.125%, 1/18/2041 | 204,050 | |||
Total Colombia | 491,700 | ||||
| Costa Rica (0.1%) | |||||
Ecopetrol SA | |||||
| 230,000 | 7.625%, 7/23/2019 | 254,955 | |||
Total Costa Rica | 254,955 | ||||
| Dominican Republic (<0.1%) | |||||
Dominican Republic International Bond | |||||
| 100,000 | 8.625%, 4/20/2027 | 104,500 | |||
Total Dominican Republic | 104,500 | ||||
| El Salvador (0.1%) | |||||
El Salvador Government International Bond | |||||
| 100,000 | 7.375%, 12/1/2019 | 102,750 | |||
| 20,000 | 8.250%, 4/10/2032 | 20,800 | |||
| $200,000 | 7.650%, 6/15/2035 | 197,000 | |||
Total El Salvador | 320,550 | ||||
| Gabon (<0.1%) | |||||
Gabon Government International Bond | |||||
| 120,000 | 8.200%, 12/12/2017f | 125,700 | |||
Total Gabon | 125,700 | ||||
| Indonesia (0.8%) | |||||
Adaro Indonesia PT | |||||
| 120,000 | 7.625%, 10/22/2019 | 118,650 | |||
Indonesia Government International Bond | |||||
| 210,000 | 10.375%, 5/4/2014 | 260,476 | |||
| 200,000 | 6.875%, 1/17/2018 | 219,000 | |||
| 900,000 | 11.625%, 3/4/2019 | 1,291,500 | |||
| 210,000 | 8.500%, 10/12/2035 | 251,475 | |||
| 100,000 | 7.750%, 1/17/2038 | 112,500 | |||
Total Indonesia | 2,253,601 | ||||
| Iraq (0.1%) | |||||
Iraq Government International Bond | |||||
| 250,000 | 5.800%, 1/15/2028 | 191,250 | |||
Total Iraq | 191,250 | ||||
| Ireland (0.1%) | |||||
VIP Finance Ireland, Ltd. | |||||
| 130,000 | 9.125%, 4/30/2018 | 138,580 | |||
| 100,000 | 9.125%, 4/30/2018f | 106,750 | |||
Total Ireland | 245,330 | ||||
| Kazakhstan (0.3%) | |||||
KazMunaiGaz Finance Sub BV | |||||
| 100,000 | 8.375%, 7/2/2013f | 106,875 | |||
| 600,000 | 11.750%, 1/23/2015 | 723,000 | |||
Total Kazakhstan | 829,875 | ||||
| Lebanon (0.1%) | |||||
Lebanon Government International Bond | |||||
| 288,000 | 4.000%, 12/31/2017 | 266,400 | |||
Total Lebanon | 266,400 | ||||
| Luxembourg (0.1%) | |||||
Gaz Capital SA | |||||
| 170,000 | 9.250%, 4/23/2019 | 189,550 | |||
Total Luxembourg | 189,550 | ||||
| Malaysia (0.2%) | |||||
Malaysia Government International Bond | |||||
| 280,000 | 7.500%, 7/15/2011 | 304,846 | |||
Petronas Capital, Ltd. | |||||
| 170,000 | 5.250%, 8/12/2019 | 170,806 | |||
Total Malaysia | 475,652 | ||||
| Mexico (0.8%) | |||||
Mexican Bonos | |||||
| 4,240,000 | 10.000%, 12/5/2024g | 371,387 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||
| Mexico (0.8%) - continued | ||||||
Mexico Government International Bond | ||||||
| $ | 140,000 | 5.625%, 1/15/2017 | $ | 145,950 | ||
| 420,000 | 5.950%, 3/19/2019 | 444,150 | ||||
| 120,000 | 7.500%, 4/8/2033 | 137,700 | ||||
| 80,000 | 6.750%, 9/27/2034 | 84,400 | ||||
| 290,000 | 6.050%, 1/11/2040 | 278,777 | ||||
Pemex Project Funding Master Trust | ||||||
| 350,000 | 5.750%, 3/1/2018 | 353,894 | ||||
Petroleos Mexicanos | ||||||
| 160,000 | 8.000%, 5/3/2019 | 185,200 | ||||
Total Mexico | 2,001,458 | |||||
| Pakistan (<0.1%) | ||||||
Pakistan Government International Bond | ||||||
| 100,000 | 6.875%, 6/1/2017 | 80,000 | ||||
Total Pakistan | 80,000 | |||||
| Panama (0.3%) | ||||||
Panama Government International Bond | ||||||
| 390,000 | 5.200%, 1/30/2020 | 390,975 | ||||
| 100,000 | 7.125%, 1/29/2026 | 112,750 | ||||
| 10,000 | 8.875%, 9/30/2027 | 13,000 | ||||
| 20,000 | 9.375%, 4/1/2029 | 26,600 | ||||
| 210,000 | 6.700%, 1/26/2036 | 221,550 | ||||
Total Panama | 764,875 | |||||
| Peru (0.2%) | ||||||
Peru Government International Bond | ||||||
| 100,000 | 7.350%, 7/21/2025 | 114,500 | ||||
| 70,000 | 8.750%, 11/21/2033 | 91,000 | ||||
| 410,000 | 6.550%, 3/14/2037 | 426,400 | ||||
Total Peru | 631,900 | |||||
| Philippines (0.5%) | ||||||
Philippines Government International Bond | ||||||
| 200,000 | 8.375%, 6/17/2019 | 242,500 | ||||
| 100,000 | 7.500%, 9/25/2024 | 113,000 | ||||
| 40,000 | 9.500%, 10/21/2024 | 52,000 | ||||
| 520,000 | 10.625%, 3/16/2025 | 735,800 | ||||
| 60,000 | 9.500%, 2/2/2030 | 79,650 | ||||
Total Philippines | 1,222,950 | |||||
| Poland (0.1%) | ||||||
Poland Government International Bond | ||||||
| 130,000 | 6.375%, 7/15/2019 | 141,399 | ||||
Total Poland | 141,399 | |||||
| Qatar (0.4%) | ||||||
Qatar Government International Bond | ||||||
| 100,000 | 6.550%, 4/9/2019 | 111,250 | ||||
| 440,000 | 5.250%, 1/20/2020 | 443,300 | ||||
Ras Laffan Liquefied Natural Gas Company, Ltd. II | ||||||
| 500,000 | 5.298%, 9/30/2020 | 501,900 | ||||
Total Qatar | 1,056,450 | |||||
| Russia (0.7%) | ||||||
Russia Government International Bond | ||||||
| 1,475,800 | 7.500%, 3/31/2030 | 1,665,809 | ||||
Total Russia | 1,665,809 | |||||
| Serbia (0.1%) | ||||||
Serbia Government International Bond | ||||||
| 150,000 | 6.750%, 11/1/2024 | 147,375 | ||||
Total Serbia | 147,375 | |||||
| South Africa (0.1%) | ||||||
Peermont Global Proprietary, Ltd. | ||||||
| 180,000 | 7.750%, 4/30/2014 | 224,484 | ||||
South Africa Government International Bond | ||||||
| 110,000 | 5.875%, 5/30/2022 | 111,210 | ||||
Total South Africa | 335,694 | |||||
| Sri Lanka (0.1%) | ||||||
Sri Lanka Government International Bond | ||||||
| 100,000 | 8.250%, 10/24/2012 | 104,990 | ||||
| 140,000 | 7.400%, 1/22/2015 | 145,250 | ||||
Total Sri Lanka | 250,240 | |||||
| Turkey (0.5%) | ||||||
Turkey Government International Bond | ||||||
| 420,000 | 6.750%, 4/3/2018 | 455,700 | ||||
| 10,000 | 6.875%, 3/17/2036 | 10,175 | ||||
| 770,000 | 7.250%, 3/5/2038 | 818,125 | ||||
Total Turkey | 1,284,000 | |||||
| Ukraine (0.2%) | ||||||
Ukraine Government International Bond | ||||||
| 290,000 | 4.950%, 10/13/2015 | 295,155 | ||||
| 100,000 | 6.580%, 11/21/2016 | 76,500 | ||||
| 100,000 | 6.750%, 11/14/2017f | 76,000 | ||||
Total Ukraine | 447,655 | |||||
| United Arab Emirates (0.1%) | ||||||
Dolphin Energy, Ltd. | ||||||
| 128,700 | 5.888%, 6/15/2019 | 129,987 | ||||
Total United Arab Emirates | 129,987 | |||||
| United States (0.1%) | ||||||
Cemex Finance, LLC | ||||||
| 230,000 | 9.500%, 12/14/2016 | 240,925 | ||||
Total United States | 240,925 | |||||
| Uruguay (0.3%) | ||||||
Uruguay Government International Bond | ||||||
| 140,000 | 9.250%, 5/17/2017 | 172,550 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||
| Uruguay (0.3%) - continued | |||||
| $ | 70,000 | 8.000%, 11/18/2022 | $ | 80,150 | ||
| 70,000 | 6.875%, 9/28/2025 | 73,500 | ||||
| 150,000 | 7.875%, 1/15/2033 | 165,750 | ||||
| 328,000 | 7.625%, 3/21/2036 | 355,060 | ||||
Total Uruguay | 847,010 | |||||
| Venezuela (0.5%) | |||||
Petroleos de Venezuela SA | ||||||
| 120,000 | 5.000%, 10/28/2015 | 62,100 | ||||
| 690,000 | 5.250%, 4/12/2017 | 379,500 | ||||
Venezuela Government International Bond | ||||||
| 100,000 | 13.625%, 8/15/2018 | 91,000 | ||||
| 280,000 | 7.750%, 10/13/2019 | 183,400 | ||||
| 660,000 | 6.000%, 12/9/2020 | 363,000 | ||||
| 320,000 | 7.650%, 4/21/2025 | 188,800 | ||||
Total Venezuela | 1,267,800 | |||||
Total Long-Term Fixed Income (cost $20,261,155) | 21,514,005 | |||||
| Principal Amount | Short-Term Investments (7.9%)h | |||||
Chariot Funding, LLC | ||||||
| 5,610,000 | 0.050%, 1/4/2010 | 5,609,977 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 5,000,000 | 0.040%, 1/15/2010i | 4,999,922 | ||||
| 1,050,000 | 0.020%, 2/1/2010 | 1,049,982 | ||||
| 2,100,000 | 0.020%, 2/2/2010 | 2,099,963 | ||||
| 3,500,000 | 0.040%, 3/5/2010 | 3,499,755 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 500,000 | 0.108%, 3/17/2010i | 499,887 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 2,000,000 | 0.030%, 2/4/2010 | 1,999,943 | ||||
| 500,000 | 0.072%, 3/17/2010i | 499,925 | ||||
Total Short-Term Investments (at amortized cost) | 20,259,354 | |||||
Total Investments (cost $226,690,272) 99.4% | $ | 253,465,976 | ||||
Other Assets and Liabilities, Net 0.6% | 1,405,869 | |||||
Total Net Assets 100.0% | $ | 254,871,845 | ||||
| a | Non-income producing security. |
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown. |
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Worldwide Allocation Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Independencia International, Ltd. | 5/8/2008 | $ | 95,390 | ||
| e | In bankruptcy. Interest is not being accrued. |
| f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $534,825 or 0.2% of total net assets. |
| g | Principal amount is displayed in Mexican Pesos. |
| h | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| i | At December 31, 2009, $1,499,804 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 31,104,657 | ||
Gross unrealized depreciation | (5,169,318 | ) | ||
Net unrealized appreciation (depreciation) | $ | 25,935,339 | ||
Cost for federal income tax purposes | $ | 227,530,637 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Worldwide Allocation Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 22,384,640 | 1,025,497 | 21,359,143 | — | ||||||||
Consumer Staples | 21,798,328 | 1,773,480 | 20,024,848 | — | ||||||||
Energy | 18,257,943 | 5,304,198 | 12,953,745 | — | ||||||||
Financials | 35,878,884 | 4,558,346 | 31,320,538 | — | ||||||||
Health Care | 17,346,860 | 786,520 | 16,560,340 | — | ||||||||
Industrials | 35,807,202 | 794,521 | 35,012,681 | — | ||||||||
Information Technology | 15,114,368 | 1,538,956 | 13,575,412 | — | ||||||||
Materials | 30,217,485 | 3,865,901 | 26,351,584 | — | ||||||||
Telecommunications Services | 10,083,375 | 1,472,247 | 8,611,128 | — | ||||||||
Utilities | 4,803,532 | 163,137 | 4,640,395 | — | ||||||||
Long-Term Fixed Income | ||||||||||||
Basic Materials | 118,650 | — | 118,650 | — | ||||||||
Communications Services | 364,830 | — | 364,830 | — | ||||||||
Consumer Cyclical | 324,272 | — | 324,272 | — | ||||||||
Consumer Non-Cyclical | 37,400 | — | 37,400 | — | ||||||||
Energy | 2,016,773 | — | 2,016,773 | — | ||||||||
Financials | 240,925 | — | 240,925 | — | ||||||||
Foreign Government | 18,216,755 | — | 18,216,755 | — | ||||||||
Transportation | 194,400 | — | 194,400 | — | ||||||||
Short-Term Investments | 20,259,354 | — | 20,259,354 | — | ||||||||
Total | $ | 253,465,976 | $ | 21,282,803 | $ | 232,183,173 | $ | — | ||||
Other Financial Instruments* | $ | 54,796 | $ | 54,796 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Partner Worldwide Allocation Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Common Stock | |||||||||||||||||||||
Transportation | 304,477 | — | — | (93,861 | ) | 1,118,279 | (1,328,895 | ) | — | ||||||||||||
Total | $ | 304,477 | $ | — | $ | — | ($93,861 | ) | $ | 1,118,279 | ($1,328,895 | ) | $ | — | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2009
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||
E-Mini MSCI EAFE Index Futures | 180 | March 2010 | $ | 14,110,029 | $ | 14,119,200 | $ | 9,171 | ||||||
Total Futures Contracts | $ | 9,171 | ||||||||||||
Foreign Currency Forward Contracts | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | |||||||||
Purchases | ||||||||||||||
Brazilian Real | 921,561 | 1/19/2010 | $ | 505,670 | $ | 527,237 | $21,567 | |||||||
British Pound | 10,051 | 1/4/2010 - 1/5/2010 | 16,118 | 16,235 | 117 | |||||||||
Euro | 22,063 | 1/4/2010 - 1/5/2010 | 31,683 | 31,628 | (55 | ) | ||||||||
Hong Kong Dollar | 46,022 | 1/4/2010 - 1/5/2010 | 5,934 | 5,936 | 2 | |||||||||
Indian Rupee | 16,000,147 | 1/19/2010 | 343,327 | 343,375 | 48 | |||||||||
Indonesian Rupiah | 3,233,393,228 | 1/19/2010 | 343,327 | 343,005 | (322 | ) | ||||||||
Malaysian Ringgit | 796,972 | 1/19/2010 | 236,000 | 232,662 | (3,338 | ) | ||||||||
Norwegian Krone | 111,131 | 1/4/2010 | 19,186 | 19,194 | 8 | |||||||||
Russian Ruble | 5,560,140 | 1/19/2010 | 190,500 | 182,892 | (7,608 | ) | ||||||||
South Korea Won | 1,114,285,500 | 1/19/2010 | 943,910 | 958,895 | 14,985 | |||||||||
Swiss Franc | 6,799 | 1/4/2010 - 1/5/2010 | 6,566 | 6,572 | 6 | |||||||||
Turkish Lira | 163,550 | 3/17/2010 | 106,770 | 108,334 | 1,564 | |||||||||
Total Foreign Currency Forward Contracts Purchases | $ | 2,748,991 | $ | 2,775,965 | $ | 26,974 | ||||||||
Sales | ||||||||||||||
Brazilian Real | 799,571 | 1/19/2010 | $ | 457,327 | $ | 457,446 | ($119 | ) | ||||||
Euro | 17,167 | 1/4/2010 - 1/5/2010 | 24,662 | 24,609 | 53 | |||||||||
Euro | 399,579 | 1/13/2010 | 596,220 | 572,757 | 23,463 | |||||||||
Hong Kong Dollar | 195,671 | 1/4/2010 - 1/5/2010 | 25,234 | 25,237 | (3 | ) | ||||||||
Japanese Yen | 11,560,032 | 1/4/2010 - 1/6/2010 | 125,233 | 124,121 | 1,112 | |||||||||
Mexican Peso | 5,126,793 | 2/4/2010 | 396,811 | 390,355 | 6,456 | |||||||||
South Korea Won | 752,266,000 | 1/19/2010 | 635,050 | 647,361 | (12,311 | ) | ||||||||
Total Foreign Currency Forward Contracts Sales | $ | 2,260,537 | $ | 2,241,886 | $ | 18,651 | ||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 45,625 | ||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 9,171 | |||
Total Equity Contracts | 9,171 | ||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 72,874 | |||
Total Foreign Exchange Contracts | 72,874 | ||||
Total Asset Derivatives | $ | 82,045 | |||
Liability Derivatives | |||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 27,249 | |||
Total Foreign Exchange Contracts | 27,249 | ||||
Total Liability Derivatives | $ | 27,249 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,448,911 | ||||
Total Equity Contracts | 1,448,911 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (265,989 | ) | |||
Total Foreign Exchange Contracts | (265,989 | ) | ||||
Total | $ | 1,182,922 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (138,462 | ) | ||
Total Equity Contracts | (138,462 | ) | |||
Foreign Exchange Contracts | |||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 36,412 | |||
Total Foreign Exchange Contracts | 36,412 | ||||
Total | ($102,050 | ) | |||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||
Equity Contracts | $ | 5,190,738 | 3.2 | % | N/A | N/A | ||||||
Foreign Exchange Contracts | N/A | N/A | $ | 4,217,398 | 2.6 | % | ||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Worldwide Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 8,811,716 | $ | 179,913,912 | $ | 188,725,628 | — | $ | — | $ | 40,269 | ||||||
Total Value and Income Earned | 8,811,716 | — | 40,269 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (99.1%) | Value | |||
| Australia (2.9%) | |||||
| 339,380 | BHP Billiton, Ltd. | $ | 12,986,674 | ||
| 388,269 | BlueScope Steel, Ltd. | 1,069,771 | |||
| 435,413 | Harvey Norman Holdings, Ltd. | 1,641,413 | |||
| 126,798 | MacArthur Coal, Ltd. | 1,272,809 | |||
| 47,685 | Orica, Ltd. | 1,108,649 | |||
| 60,973 | Rio Tinto, Ltd. | 4,070,157 | |||
| 104,444 | Westpac Banking Corporation | 2,359,207 | |||
| 51,777 | Woolworths, Ltd. | 1,298,583 | |||
Total Australia | 25,807,263 | ||||
| Belgium (0.6%) | |||||
| 96,254 | Anheuser-Busch InBev NV | 4,982,566 | |||
Total Belgium | 4,982,566 | ||||
| Bermuda (0.6%) | |||||
| 274,742 | Hongkong Land Holdings, Ltd. | 1,353,104 | |||
| 1,246,000 | Noble Group, Ltd. | 2,857,845 | |||
| 1,527,000 | Pacific Basin Shipping, Ltd. | 1,094,428 | |||
Total Bermuda | 5,305,377 | ||||
| Brazil (0.5%) | |||||
| 162,000 | Vale SA SP ADR | 4,702,860 | |||
Total Brazil | 4,702,860 | ||||
| Canada (3.8%) | |||||
| 64,700 | Alimentation Couche-Tard, Inc. | 1,287,938 | |||
| 96,700 | Barrick Gold Corporation | 3,833,236 | |||
| 32,000 | Canadian Natural Resources, Ltd. | 2,325,270 | |||
| 24,400 | Canadian Utilities, Ltd. | 1,020,652 | |||
| 90,800 | Cenovus Energy, Inc. | 2,300,602 | |||
| 39,113 | Enbridge, Inc. | 1,818,592 | |||
| 90,800 | EnCana Corporation | 2,961,265 | |||
| 64,400 | Gildan Activewear, Inc.a | 1,582,446 | |||
| 41,600 | Husky Energy, Inc. | 1,196,413 | |||
| 24,600 | Inmet Mining Corporation | 1,500,132 | |||
| 11,600 | National Bank of Canada | 668,117 | |||
| 115,100 | Nexen, Inc. | 2,775,430 | |||
| 52,700 | Research In Motion, Ltd.a | 3,579,005 | |||
| 134,900 | Sino-Forest Corporationa | 2,499,629 | |||
| 53,900 | Suncor Energy, Inc. | 1,917,601 | |||
| 60,900 | Teck Resources, Ltd.a | 2,143,932 | |||
Total Canada | 33,410,260 | ||||
| China (0.8%) | |||||
| 12,819,800 | Bank of China, Ltd. | 6,889,233 | |||
Total China | 6,889,233 | ||||
| Denmark (0.7%) | |||||
| 19,494 | Carlsberg AS | 1,435,030 | |||
| 72,375 | Novo Nordisk AS | 4,620,498 | |||
Total Denmark | 6,055,528 | ||||
| Finland (0.2%) | |||||
| 43,986 | Kone Oyj | 1,884,885 | |||
Total Finland | 1,884,885 | ||||
| France (9.4%) | |||||
| 38,940 | Alstom SA | 2,723,182 | |||
| 23,783 | Atos Origin SAa | 1,089,535 | |||
| 419,575 | AXA SA | 9,850,750 | |||
| 70,011 | BNP Paribas SA | 5,552,888 | |||
| 221,300 | Cap Gemini SA | 10,095,290 | |||
| 10,492 | CNP Assurances | 1,015,951 | |||
| 173,000 | Compagnie de Saint-Gobain | 9,384,184 | |||
| 46,809 | Eutelsat Communications | 1,501,753 | |||
| 21,106 | Sanofi-Aventis | 1,659,762 | |||
| 97,487 | Schneider Electric SA | 11,334,568 | |||
| 24,925 | Technip SA | 1,753,561 | |||
| 149,200 | Total SA | 9,582,678 | |||
| 30,250 | Unibail-Rodamco | 6,645,022 | |||
| 35,356 | Vinci SA | 1,989,429 | |||
| 302,100 | Vivendi | 8,965,822 | |||
Total France | 83,144,375 | ||||
| Germany (3.5%) | |||||
| 46,665 | Aixtron AG | 1,568,208 | |||
| 45,046 | BASF SE | 2,787,803 | |||
| 24,444 | Bayer AG | 1,956,007 | |||
| 50,883 | Bayerische Motoren Werke AG | 2,316,205 | |||
| 27,343 | Deutsche Bank AG | 1,933,338 | |||
| 29,796 | E.ON AG | 1,250,603 | |||
| 28,449 | Hannover Rueckversicherung AGa | 1,329,085 | |||
| 18,679 | Hochtief AG | 1,424,525 | |||
| 239,068 | Infineon Technologies AGa | 1,329,953 | |||
| 27,103 | Metro AG | 1,655,183 | |||
| 101,221 | ProSiebanSat.1 Media AG | 1,159,630 | |||
| 18,181 | RWE AG | 1,764,248 | |||
| 43,521 | SAP AG ADR | 2,074,690 | |||
| 94,100 | Siemens AG | 8,635,253 | |||
Total Germany | 31,184,731 | ||||
| Greece (0.7%) | |||||
| 199,500 | National Bank of Greece SAa | 5,125,286 | |||
| 53,859 | Public Power Corporation SAa | 998,823 | |||
Total Greece | 6,124,109 | ||||
| Hong Kong (3.1%) | |||||
| 96,400 | Hang Seng Bank, Ltd. | 1,418,235 | |||
| 254,000 | Hengan International Group Company, Ltd. | 1,880,676 | |||
| 137,600 | Hong Kong Exchanges and Clearing, Ltd. | 2,448,232 | |||
| 259,500 | Hongkong Electric Holdings, Ltd. | 1,413,568 | |||
| 1,488,000 | Hutchison Whampoa, Ltd. | 10,180,673 | |||
| 3,810,700 | New World Development Company, Ltd. | 7,763,931 | |||
| 335,000 | Wharf Holdings, Ltd. | 1,922,567 | |||
Total Hong Kong | 27,027,882 | ||||
| Italy (4.2%) | |||||
| 90,860 | Atlantia SPA | 2,376,075 | |||
| 1,749,706 | Enel SPA | 10,129,283 | |||
| 430,100 | Eni SPA | 10,952,321 | |||
| 562,852 | Finmeccanica SPA | 9,011,280 | |||
| 155,328 | Italcementi SPA | 1,132,340 | |||
| 110,500 | Saipem SPA | 3,813,232 | |||
Total Italy | 37,414,531 | ||||
| Japan (18.5%) | |||||
| 57,600 | Aisin Seiki Company, Ltd. | 1,664,123 | |||
| 228,900 | Alps Electric Company, Ltd.a | 1,342,934 | |||
| 154,000 | Asahi Glass Company, Ltd. | 1,464,859 | |||
| 36,400 | Astellas Pharmaceutical, Inc. | 1,358,042 | |||
| 352,000 | Bank of Yokohama, Ltd. | 1,604,931 | |||
| 449,900 | Bridgestone Corporation | 7,936,150 | |||
| 264,000 | Chiba Bank, Ltd. | 1,579,026 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner International Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (99.1%) | Value | |||
| Japan (18.5%) - continued | |||||
| 61,700 | Chugai Pharmaceutical Company, Ltd. | $ | 1,153,269 | ||
| 94,900 | COMSYS Holdings Corporation | 998,315 | |||
| 162,000 | Daicel Chemical Industries, Ltd. | 951,582 | |||
| 323,500 | Daiichi Sankyo Company, Ltd. | 6,784,277 | |||
| 194,400 | Daito Trust Construction Company, Ltd. | 9,204,535 | |||
| 274,000 | Daiwa Securities Group, Inc. | 1,378,943 | |||
| 76,800 | Denso Corporation | 2,320,670 | |||
| 17,100 | Disco Corporation | 1,071,099 | |||
| 130,600 | East Japan Railway Company | 8,264,463 | |||
| 107,500 | Elpida Memory, Inc.a | 1,752,032 | |||
| 299,000 | Fujitsu, Ltd. | 1,940,035 | |||
| 111,600 | Honda Motor Company, Ltd. | 3,786,443 | |||
| 45,200 | IBIDEN Company, Ltd. | 1,621,071 | |||
| 11,900 | Idemitsu Kosan Company, Ltd. | 694,711 | |||
| 287,000 | ITOCHU Corporation | 2,120,004 | |||
| 60,200 | JFE Holdings, Inc. | 2,379,637 | |||
| 416,000 | Kao Corporation | 9,749,675 | |||
| 109,000 | Kirin Holdings Company, Ltd. | 1,748,032 | |||
| 694,000 | Kobe Steel, Ltd.a | 1,257,667 | |||
| 39,900 | K’s Holdings Corporation | 1,197,773 | |||
| 30,800 | Makita Corporation | 1,057,921 | |||
| 335,000 | Marubeni Corporation | 1,850,533 | |||
| 308,000 | Mitsubishi Chemical Holdings Corporation | 1,311,566 | |||
| 81,700 | Mitsubishi Corporation | 2,035,032 | |||
| 367,000 | Mitsubishi Materials Corporationa | 897,603 | |||
| 408,900 | Mitsubishi UFJ Financial Group, Inc. | 2,014,154 | |||
| 127,700 | Mitsui & Company, Ltd. | 1,811,567 | |||
| 211,245 | Mitsui Sumitomo Insurance Group Holdings, Inc. | 5,395,451 | |||
| 26,300 | Murata Manufacturing Company, Ltd. | 1,312,560 | |||
| 122,000 | Nippon Electric Glass Company, Ltd. | 1,679,193 | |||
| 214,000 | Nippon Oil Corporation | 992,128 | |||
| 380,300 | Nissan Motor Company, Ltd.a | 3,342,045 | |||
| 35,200 | Nissin Foods Holdings Company, Ltd. | 1,149,799 | |||
| 15,250 | Nitori Company, Ltd. | 1,135,090 | |||
| 1,051 | NTT DoCoMo, Inc. | 1,466,659 | |||
| 143,800 | Resona Holdings, Inc. | 1,460,972 | |||
| 37,600 | Santen Pharmaceutical Company, Ltd. | 1,207,812 | |||
| 106,600 | Shin-Etsu Chemical Company, Ltd. | 6,018,459 | |||
| 90,800 | Shinko Electric Industries Company, Ltd. | 1,321,744 | |||
| 158,400 | Softbank Corporation | 3,713,328 | |||
| 138,200 | Sony Corporation | 4,017,719 | |||
| 69,200 | Stanley Electric Company, Ltd. | 1,403,608 | |||
| 879,000 | Sumitomo Corporation | 8,950,635 | |||
| 140,300 | Sumitomo Electric Industries, Ltd. | 1,747,560 | |||
| 1,817,000 | Sumitomo Trust and Banking Company, Ltd. | 8,921,533 | |||
| 69,000 | Suzuki Motor Corporation | 1,699,264 | |||
| 149,800 | Takeda Pharmaceutical Company, Ltd. | 6,171,949 | |||
| 26,100 | TDK Corporation | 1,595,036 | |||
| 62,300 | Tokai Rika Company, Ltd. | 1,413,055 | |||
| 103,900 | Tokio Marine Holdings, Inc. | 2,835,348 | |||
| 591,000 | Toshiba Corporationa | 3,279,400 | |||
| 47,000 | Toyo Suisan Kaisha, Ltd. | 1,083,850 | |||
| 502,000 | Ube Industries, Ltd. | 1,373,477 | |||
| 111,000 | Yamato Holdings Company, Ltd. | 1,545,126 | |||
Total Japan | 164,535,474 | ||||
| Netherlands (3.1%) | |||||
| 263,794 | Arcelor Mittal | 12,056,475 | |||
| 77,563 | ASML Holding NV | 2,648,016 | |||
| 253,905 | Koninklijke (Royal) Ahold NV | 3,363,731 | |||
| 96,200 | Koninklijke DSM NV | 4,726,432 | |||
| 21,256 | Koninklijke Vopak NVa | 1,684,559 | |||
| 96,396 | Unilever NV | 3,137,237 | |||
Total Netherlands | 27,616,450 | ||||
| Norway (3.4%) | |||||
| 185,044 | DnB NOR ASAa,b | 1,997,681 | |||
| 1,962,000 | Marine Harvesta | 1,422,787 | |||
| 942,200 | Norsk Hydro ASAa | 7,914,867 | |||
| 370,475 | Statoil ASA | 9,239,506 | |||
| 193,000 | Telenor ASAa | 2,696,150 | |||
| 146,750 | Yara International ASA | 6,647,064 | |||
Total Norway | 29,918,055 | ||||
| Portugal (0.5%) | |||||
| 538,458 | Electricidade de Portugal SA | 2,397,126 | |||
| 169,032 | Portugal Telecom SGPS SA | 2,062,452 | |||
Total Portugal | 4,459,578 | ||||
| Singapore (2.5%) | |||||
| 186,000 | DBS Group Holdings, Ltd. | 2,021,918 | |||
| 4,360,000 | Golden Agri-Resources, Ltd.a | 1,570,953 | |||
| 290,800 | Golden Agri-Resources, Ltd. Warrants, 0.54 SGD, expires 7/23/2012a | 28,979 | |||
| 771,400 | Keppel Corporation, Ltd. | 4,493,327 | |||
| 627,000 | Neptune Orient Lines, Ltd. | 731,745 | |||
| 469,000 | Oversea-Chinese Banking Corporation, Ltd. | 3,019,840 | |||
| 681,400 | Singapore Airlines, Ltd. | 7,216,418 | |||
| 1,177,000 | Singapore Telecommunications, Ltd. | 2,592,349 | |||
Total Singapore | 21,675,529 | ||||
| South Korea (2.6%) | |||||
| 101,907 | KB Financial Group, Inc.a | 5,189,131 | |||
| 16,350 | POSCO | 8,622,524 | |||
| 25,110 | SK Telecom Company, Ltd. | 3,665,235 | |||
| 312,440 | SK Telecom Company, Ltd. ADRb | 5,080,274 | |||
Total South Korea | 22,557,164 | ||||
| Spain (4.0%) | |||||
| 478,327 | Banco Bilbao Vizcaya Argentaria SA | 8,717,126 | |||
| 79,998 | Banco Santander SA | 1,321,882 | |||
| 824,600 | Iberdrola SA | 7,901,550 | |||
| 610,745 | Telefonica SA | 17,093,418 | |||
Total Spain | 35,033,976 | ||||
| Sweden (1.2%) | |||||
| 116,032 | Atlas Copco AB | 1,705,643 | |||
| 92,081 | Electrolux ABa | 2,163,810 | |||
| 180,853 | Lundin Petroleum ABa | 1,426,840 | |||
| 575,200 | Telefonaktiebolaget LM Ericsson | 5,295,277 | |||
Total Sweden | 10,591,570 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner International Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (99.1%) | Value | ||||
| Switzerland (13.1%) | ||||||
| 259,845 | ABB, Ltd.a | $ | 5,006,782 | |||
| 30,021 | Actelion, Ltd.a | 1,603,354 | ||||
| 178,115 | Adecco SA | 9,825,233 | ||||
| 11,588 | Baloise Holding AG | 962,074 | ||||
| 67,861 | Compagnie Financiere Richemont SA | 2,281,842 | ||||
| 126,790 | Credit Suisse Group | 6,281,038 | ||||
| 8,877 | Givaudan SA | 7,102,723 | ||||
| 171,445 | Holcim, Ltd.a | 13,323,622 | ||||
| 43,105 | Julius Baer Group, Ltd. | 1,515,863 | ||||
| 13,413 | Kuehne & Nagel International AG | 1,304,072 | ||||
| 463,785 | Nestle SA | 22,508,076 | ||||
| 455,516 | Novartis AG | 24,874,167 | ||||
| 62,976 | Roche Holding AG | 10,769,182 | ||||
| 160,984 | UBS AGa | 2,506,744 | ||||
| 27,855 | Zurich Financial Services AG | 6,089,469 | ||||
Total Switzerland | 115,954,241 | |||||
| Thailand (1.0%) | ||||||
| 1,164,700 | PTT pcl | 8,598,333 | ||||
Total Thailand | 8,598,333 | |||||
| United Kingdom (18.2%) | ||||||
| 70,820 | Anglo American plca | 3,067,132 | ||||
| 122,818 | Antofagasta plc | 1,953,780 | ||||
| 54,572 | Autonomy Corporation plca | 1,325,286 | ||||
| 128,809 | Babcock International Group plc | 1,235,722 | ||||
| 501,395 | BAE Systems plc | 2,901,951 | ||||
| 258,488 | Barclays plc | 1,139,042 | ||||
| 348,272 | BG Group plc | 6,288,641 | ||||
| 136,470 | BHP Billiton plc | 4,350,794 | ||||
| 967,500 | BP plc | 9,342,603 | ||||
| 196,181 | British American Tobacco plc | 6,368,864 | ||||
| 27,348 | Chemring Group plc | 1,290,957 | ||||
| 485,531 | Cobham plc | 1,961,260 | ||||
| 254,583 | Experian plc | 2,514,742 | ||||
| 805,776 | GlaxoSmithKline plc | 17,087,631 | ||||
| 162,000 | HSBC Holdings plc ADRb | 9,248,581 | ||||
| 154,598 | Imperial Tobacco Group plc | 4,877,291 | ||||
| 308,786 | Invensys plc | 1,485,525 | ||||
| 1,812,085 | Kingfisher plc | 6,670,849 | ||||
| 279,658 | Marks and Spencer Group plc | 1,806,868 | ||||
| 266,197 | National Grid plc | 2,905,593 | ||||
| 654,300 | Pearson plc | 9,381,612 | ||||
| 157,353 | Persimmon plca | 1,189,895 | ||||
| 80,339 | Reckitt Benckiser Group plc | 4,348,882 | ||||
| 128,718 | Rio Tinto plc | 6,950,564 | ||||
| 139,680 | SABMiller plc | 4,105,884 | ||||
| 332,245 | Sage Group plc | 1,176,569 | ||||
| 166,058 | Standard Chartered plc | 4,192,408 | ||||
| 404,074 | Tesco plc | 2,787,660 | ||||
| 69,439 | Travis Perkins plca | 951,004 | ||||
| 353,272 | Unilever plc | 11,324,562 | ||||
| 4,087,887 | Vodafone Group plc | 9,466,651 | ||||
| 493,931 | William Morrison Supermarkets plc | 2,203,741 | ||||
| 1,038,700 | WPP plc | 10,158,993 | ||||
| 256,783 | Xstrata plca | 4,580,119 | ||||
Total United Kingdom | 160,641,656 | |||||
Total Common Stock (cost $831,708,904) | 875,515,626 | |||||
Collateral Held for Securities Loaned (1.6%) | ||||||
| 13,880,242 | Thrivent Financial Securities Lending Trust | $ | 13,880,242 | |||
Total Collateral Held for Securities Loaned (cost $13,880,242) | 13,880,242 | |||||
Principal | Short-Term Investments (0.8%)c | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 2,000,000 | 0.040%, 1/15/2010 | 1,999,969 | ||||
| 500,000 | 0.020%, 2/1/2010 | 499,991 | ||||
| 1,000,000 | 0.050%, 2/3/2010 | 999,954 | ||||
Federal National Mortgage Association Disco unt Notes | ||||||
| 3,250,000 | 0.030%, 2/4/2010 | 3,249,908 | ||||
Total Short-Term Investments (at amortized cost) | 6,749,822 | |||||
Total Investments (cost $852,338,968) 101.5% | $ | 896,145,690 | ||||
Other Assets and Liabilities, Net (1.5%) | (13,202,608 | ) | ||||
Total Net Assets 100.0% | $ | 882,943,082 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank.. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 115,702,020 | ||
Gross unrealized depreciation | (75,677,972 | ) | ||
Net unrealized appreciation (depreciation) | $ | 40,024,048 | ||
Cost for federal income tax purposes | $ | 856,121,642 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner International Stock Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 82,084,762 | 1,582,446 | 80,502,316 | — | ||||||||
Consumer Staples | 99,900,094 | 1,316,917 | 98,583,177 | — | ||||||||
Energy | 70,821,891 | 15,295,173 | 55,526,718 | — | ||||||||
Financials | 143,988,166 | 12,785,665 | 131,202,501 | — | ||||||||
Health Care | 79,170,619 | — | 79,170,619 | — | ||||||||
Industrials | 135,780,315 | — | 135,780,315 | — | ||||||||
Information Technology | 43,217,342 | — | 43,217,342 | — | ||||||||
Materials | 150,538,508 | 14,679,789 | 135,858,719 | — | ||||||||
Telecommunications Services | 48,700,508 | 8,659,279 | 40,041,229 | — | ||||||||
Utilities | 21,313,421 | 1,020,652 | 20,292,769 | — | ||||||||
Collateral Held for Securities Loaned | 13,880,242 | 13,880,242 | — | — | ||||||||
Short-Term Investments | 6,749,822 | — | 6,749,822 | — | ||||||||
Total | $ | 896,145,690 | $ | 69,220,163 | $ | 826,925,527 | $ | — | ||||
Other Financial Instruments* | $ | 554 | $ | 554 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Partner International Stock Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Common Stock | |||||||||||||||||||||
Transportation | 3,722,232 | — | (16,633 | ) | (902,608 | ) | 5,461,472 | (8,264,463 | ) | — | |||||||||||
Total | $ | 3,722,232 | $ | — | ($16,633 | ) | ($902,608 | ) | $ | 5,461,472 | ($8,264,463 | ) | $ | — | |||||||
Foreign Currency Forward Contracts | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | |||||||||
Sales | ||||||||||||||
Australian Dollar | 54,540 | 1/4/2010 | $ | 49,012 | $ | 48,990 | $ | 22 | ||||||
Canadian Dollar | 136,353 | 1/4/2010 | 129,897 | 130,369 | (472 | ) | ||||||||
Hong Kong Dollar | 409,667 | 1/4/2010 | 52,824 | 52,837 | (13 | ) | ||||||||
Japanese Yen | 5,969,015 | 1/5/2010 | 65,029 | 64,090 | 939 | |||||||||
Singapore Dollar | 64,407 | 1/4/2010 | 45,923 | 45,845 | 78 | |||||||||
Total Foreign Currency | ||||||||||||||
Forward Contracts Sales | $ | 342,685 | $ | 342,131 | $ | 554 | ||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 554 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Partner International Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 1,039 | |||
Total Foreign Exchange Contracts | 1,039 | ||||
Total Asset Derivatives | $ | 1,039 | |||
Liability Derivatives | |||||
Foreign Exchange Contracts | |||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 485 | |||
Total Foreign Exchange Contracts | 485 | ||||
Total Liability Derivatives | $ | 485 | |||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner International Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Foreign Exchange Contracts | |||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (966,541 | ) | ||
Total Foreign Exchange Contracts | (966,541 | ) | |||
Total | ($966,541 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner International Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Foreign Exchange Contracts | |||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 554 | |||
Total Foreign Exchange Contracts | 554 | ||||
Total | $ | 554 | |||
The following table presents Partner International Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||
Foreign Exchange Contracts | $ | 8,531,543 | 1.1 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2009
Investment 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 fiscal year to date, in Partner International Stock Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 21,861,973 | $ | 114,446,824 | $ | 136,308,797 | — | $ | — | $ | 78,710 | ||||||
Thrivent Financial Securities Lending Trust | 13,420,165 | 305,073,722 | 304,613,645 | 13,880,242 | 13,880,242 | 515,273 | |||||||||||
Total Value and Income Earned | 35,282,138 | 13,880,242 | 593,983 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2009
Shares | Common Stock (98.8%) | Value | |||
| Consumer Discretionary (11.8%) | |||||
| 200 | Amazon.com, Inc.a | $ | 26,904 | ||
| 3,700 | GameStop Corporationa | 81,178 | |||
| 800 | Kohl’s Corporationa | 43,144 | |||
| 2,700 | Lowe’s Companies, Inc. | 63,153 | |||
| 900 | Netflix, Inc.a | 49,626 | |||
| 2,300 | Omnicom Group, Inc. | 90,045 | |||
| 2,800 | Target Corporation | 135,436 | |||
Total Consumer Discretionary | 489,486 | ||||
| Consumer Staples (9.9%) | |||||
| 900 | Costco Wholesale Corporation | 53,253 | |||
| 4,650 | CVS Caremark Corporation | 149,777 | |||
| 1,000 | PepsiCo, Inc. | 60,800 | |||
| 2,380 | Procter & Gamble Company | 144,299 | |||
Total Consumer Staples | 408,129 | ||||
| Energy (7.8%) | |||||
| 1,300 | Cameron International Corporationa | 54,340 | |||
| 450 | EOG Resources, Inc. | 43,785 | |||
| 1,450 | FMC Technologies, Inc.a | 83,868 | |||
| 1,600 | Noble Corporation | 65,120 | |||
| 900 | Smith International, Inc. | 24,453 | |||
| 1,400 | Suncor Energy, Inc. | 49,434 | |||
Total Energy | 321,000 | ||||
| Financials (11.2%) | |||||
| 2,100 | AFLAC, Inc. | 97,125 | |||
| 700 | Franklin Resources, Inc. | 73,745 | |||
| 450 | Goldman Sachs Group, Inc. | 75,978 | |||
| 1,000 | Northern Trust Corporation | 52,400 | |||
| 3,100 | SunTrust Banks, Inc. | 62,899 | |||
| 2,800 | Wells Fargo & Company | 75,572 | |||
| 1,900 | Zions Bancorporation | 24,377 | |||
Total Financials | 462,096 | ||||
| Health Care (18.8%) | |||||
| 800 | Allergan, Inc. | 50,408 | |||
| 2,100 | Dentsply International, Inc. | 73,857 | |||
| 1,200 | Genzyme Corporationa | 58,812 | |||
| 2,200 | Gilead Sciences, Inc.a | 95,216 | |||
| 1,150 | Laboratory Corporation of America Holdingsa | 86,066 | |||
| 2,400 | Novartis AG ADR | 130,632 | |||
| 2,100 | St. Jude Medical, Inc.a | 77,238 | |||
| 2,800 | Stryker Corporation | 141,036 | |||
| 1,400 | Varian Medical Systems, Inc.a | 65,590 | |||
Total Health Care | 778,855 | ||||
| Industrials (6.9%) | |||||
| 950 | C.H. Robinson Worldwide, Inc. | 55,794 | |||
| 1,100 | Danaher Corporation | 82,720 | |||
| 600 | Deere & Company | 32,454 | |||
| 900 | Emerson Electric Company | 38,340 | |||
| 550 | Fastenal Company | 22,902 | |||
| 900 | United Parcel Service, Inc. | 51,633 | |||
Total Industrials | 283,843 | ||||
| Information Technology (26.2%) | |||||
| 900 | Apple, Inc.a | 189,774 | |||
| 5,900 | Cisco Systems, Inc.a | 141,246 | |||
| 300 | Google, Inc.a | 185,994 | |||
| 3,650 | Hewlett-Packard Company | 188,011 | |||
| 2,550 | Intel Corporation | 52,020 | |||
| 1,000 | Linear Technology Corporation | 30,540 | |||
| 3,500 | Microsoft Corporation | 106,715 | |||
| 4,050 | QUALCOMM, Inc. | 187,353 | |||
Total Information Technology | 1,081,653 | ||||
| Materials (4.5%) | |||||
| 1,200 | Air Products and Chemicals, Inc. | 97,272 | |||
| 2,000 | Ecolab, Inc. | 89,180 | |||
Total Materials | 186,452 | ||||
| Utilities (1.7%) | |||||
| 1,700 | Questar Corporation | 70,669 | |||
Total Utilities | 70,669 | ||||
Total Common Stock (cost $4,153,441) | 4,082,183 | ||||
Total Investments (cost $4,153,441) 98.8% | $ | 4,082,183 | |||
Other Assets and Liabilities, Net 1.2% | 47,832 | ||||
Total Net Assets 100.0% | $ | 4,130,015 | |||
| a | Non-income producing security. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 315,777 | ||
Gross unrealized depreciation | (396,355 | ) | ||
Net unrealized appreciation (depreciation) | $ | (80,578 | ) | |
Cost for federal income tax purposes | $ | 4,162,761 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Socially Responsible Stock Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 489,486 | 489,486 | — | — | ||||||||
Consumer Staples | 408,129 | 408,129 | — | — | ||||||||
Energy | 321,000 | 321,000 | — | — | ||||||||
Financials | 462,096 | 462,096 | — | — | ||||||||
Health Care | 778,855 | 778,855 | — | — | ||||||||
Industrials | 283,843 | 283,843 | — | — | ||||||||
Information Technology | 1,081,653 | 1,081,653 | — | — | ||||||||
Materials | 186,452 | 186,452 | — | — | ||||||||
Utilities | 70,669 | 70,669 | — | — | ||||||||
Total | $ | 4,082,183 | $ | 4,082,183 | $ | — | $ | — | ||||
Investment 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 fiscal year to date, in Partner Socially Responsible Stock Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 69,852 | $ | 610,511 | $ | 680,363 | — | $ | — | $ | 254 | ||||||
Total Value and Income Earned | 69,852 | — | 254 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
Shares | Common Stock (97.3%) | Value | |||
| Consumer Discretionary (11.9%) | |||||
| 1,450 | Abercrombie & Fitch Company | $ | 50,532 | ||
| 2,255 | Amazon.com, Inc.a | 303,343 | |||
| 3,250 | Coach, Inc. | 118,722 | |||
| 2,325 | Expedia, Inc.a | 59,776 | |||
| 3,375 | GameStop Corporationa | 74,048 | |||
| 2,275 | Guess ?, Inc. | 96,232 | |||
| 3,300 | LKQ Corporationa | 64,647 | |||
| 575 | New Oriental Education & Technology Group ADRa | 43,476 | |||
| 350 | Priceline.com, Inc.a | 76,475 | |||
| 3,480 | Starbucks Corporationa | 80,249 | |||
Total Consumer Discretionary | 967,500 | ||||
| Consumer Staples (0.7%) | |||||
| 1,850 | Avon Products, Inc. | 58,275 | |||
Total Consumer Staples | 58,275 | ||||
| Energy (17.3%) | |||||
| 725 | Apache Corporation | 74,798 | |||
| 1,350 | Atwood Oceanics, Inc.a | 48,398 | |||
| 2,900 | Cameron International Corporationa | 121,220 | |||
| 2,725 | Devon Energy Corporation | 200,287 | |||
| 2,750 | ENSCO International plc ADR | 109,835 | |||
| 3,650 | Halliburton Company | 109,828 | |||
| 4,100 | National Oilwell Varco, Inc. | 180,769 | |||
| 2,325 | Noble Corporation | 94,628 | |||
| 1,325 | Noble Energy, Inc. | 94,367 | |||
| 2,650 | Pride International, Inc.a | 84,562 | |||
| 1,325 | Schlumberger, Ltd. | 86,244 | |||
| 2,400 | Suncor Energy, Inc. | 84,744 | |||
| 1,325 | Transocean, Ltd.a | 109,710 | |||
Total Energy | 1,399,390 | ||||
| Financials (6.5%) | |||||
| 350 | BlackRock, Inc. | 81,270 | |||
| 330 | CME Group, Inc. | 110,864 | |||
| 475 | Franklin Resources, Inc. | 50,041 | |||
| 445 | Goldman Sachs Group, Inc. | 75,134 | |||
| 545 | IntercontinentalExchange, Inc.a | 61,203 | |||
| 1,850 | Legg Mason, Inc. | 55,796 | |||
| 1,750 | T. Rowe Price Group, Inc. | 93,188 | |||
Total Financials | 527,496 | ||||
| Health Care (7.2%) | |||||
| 1,025 | Alexion Pharmaceuticals, Inc.a | 50,041 | |||
| 1,360 | Celgene Corporationa | 75,725 | |||
| 4,025 | ev3, Inc.a | 53,693 | |||
| 1,200 | Gen-Probe, Inc.a | 51,480 | |||
| 195 | Intuitive Surgical, Inc.a | 59,147 | |||
| 1,900 | Mindray Medical International, Ltd. ADR | 64,448 | |||
| 889 | NuVasive, Inc.a | 28,430 | |||
| 2,400 | PerkinElmer, Inc. | 49,416 | |||
| 1,300 | Varian Medical Systems, Inc.a | 60,905 | |||
| 1,500 | Waters Corporationa | 92,940 | |||
Total Health Care | 586,225 | ||||
| Industrials (11.3%) | |||||
| 850 | 3M Company | 70,269 | |||
| 2,400 | ABB, Ltd. ADRa | 45,840 | |||
| 2,775 | Bucyrus International, Inc. | 156,427 | |||
| 1,100 | Cummins, Inc. | 50,446 | |||
| 455 | First Solar, Inc.a | 61,607 | |||
| 850 | FTI Consulting, Inc.a | 40,086 | |||
| 3,475 | GrafTech International, Ltd.a | 54,036 | |||
| 2,200 | Honeywell International, Inc. | 86,240 | |||
| 1,025 | ITT Corporation | 50,984 | |||
| 1,050 | Parker Hannifin Corporation | 56,574 | |||
| 2,125 | SunPower Corporationa | 50,320 | |||
| 1,905 | United Technologies Corporation | 132,226 | |||
| 1,450 | Wabtec Corporation | 59,218 | |||
Total Industrials | 914,273 | ||||
| Information Technology (36.5%) | |||||
| 2,375 | Akamai Technologies, Inc.a | 60,159 | |||
| 4,400 | Altera Corporation | 99,572 | |||
| 1,300 | Amphenol Corporation | 60,034 | |||
| 1,600 | ANSYS, Inc.a | 69,536 | |||
| 1,820 | Apple, Inc.a | 383,765 | |||
| 2,325 | Atheros Communications, Inc.a | 79,608 | |||
| 292 | Baidu.com, Inc. ADRa | 120,079 | |||
| 2,925 | Broadcom Corporationa | 91,991 | |||
| 4,750 | Cisco Systems, Inc.a | 113,715 | |||
| 2,000 | Cognizant Technology Solutions Corporationa | 90,600 | |||
| 1,350 | Dolby Laboratories, Inc.a | 64,436 | |||
| 3,010 | eBay, Inc.a | 70,855 | |||
| 2,225 | FLIR Systems, Inc.a | 72,802 | |||
| 597 | Google, Inc.a | 370,128 | |||
| 3,500 | Jabil Circuit, Inc. | 60,795 | |||
| 2,525 | Juniper Networks, Inc.a | 67,342 | |||
| 1,650 | Linear Technology Corporation | 50,391 | |||
| 9,175 | LSI Corporationa | 55,142 | |||
| 5,925 | Marvell Technology Group, Ltd.a | 122,944 | |||
| 200 | MasterCard, Inc. | 51,196 | |||
| 1,550 | Mercadolibre, Inc.a | 80,399 | |||
| 3,175 | NETAPP, Inc.a | 109,188 | |||
| 5,325 | Nuance Communications, Inc.a | 82,750 | |||
| 4,550 | NVIDIA Corporationa | 84,994 | |||
| 3,375 | Oracle Corporation | 82,822 | |||
| 4,100 | Parametric Technology Corporationa | 66,994 | |||
| 1,300 | Perfect World Company, Ltd ADRa | 51,272 | |||
| 1,590 | Research in Motion, Ltd.a | 107,389 | |||
| 3,575 | Seagate Technology | 65,029 | |||
| 2,600 | Trimble Navigation, Ltd.a | 65,520 | |||
Total Information Technology | 2,951,447 | ||||
| Materials (4.4%) | |||||
| 700 | Agrium, Inc. | 43,050 | |||
| 4,925 | Anglo American plca | 106,774 | |||
| 1,725 | Barrick Gold Corporation | 67,930 | |||
| 1,400 | Nucor Corporation | 65,310 | |||
| 4,000 | Sterlite Industries India, Ltd. | 72,880 | |||
Total Materials | 355,944 | ||||
| Telecommunications Services (1.5%) | |||||
| 2,525 | America Movil SA de CV ADR | 118,625 | |||
Total Telecommunications Services | 118,625 | ||||
Total Common Stock (cost $7,155,922) | 7,879,175 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
Principal | Short-Term Investments (1.3%)b | Value | |||
Federal National Mortgage Association Discount Notes | |||||
| 100,000 | 0.010%, 2/1/2010 | $ | 99,999 | ||
Total Short-Term Investments (at amortized cost) | 99,999 | ||||
Total Investments (cost $7,255,921) 98.6% | $ | 7,979,174 | |||
Other Assets and Liabilities, Net 1.4% | 117,266 | ||||
Total Net Assets 100.0% | $ | 8,096,440 | |||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,027,815 | ||
Gross unrealized depreciation | (312,423 | ) | ||
Net unrealized appreciation (depreciation) | $ | 715,392 | ||
Cost for federal income tax purposes | $ | 7,263,782 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner All Cap Growth Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 967,500 | 967,500 | — | — | ||||||||
Consumer Staples | 58,275 | 58,275 | — | — | ||||||||
Energy | 1,399,390 | 1,399,390 | — | — | ||||||||
Financials | 527,496 | 527,496 | — | — | ||||||||
Health Care | 586,225 | 586,225 | — | — | ||||||||
Industrials | 914,273 | 914,273 | — | — | ||||||||
Information Technology | 2,951,447 | 2,951,447 | — | — | ||||||||
Materials | 355,944 | 355,944 | — | — | ||||||||
Telecommunications Services | 118,625 | 118,625 | — | — | ||||||||
Short-Term Investments | 99,999 | — | 99,999 | — | ||||||||
Total | $ | 7,979,174 | $ | 7,879,175 | $ | 99,999 | $ | — | ||||
Investment 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 fiscal year to date, in Partner All Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 77,149 | $ | 3,847,005 | $ | 3,924,154 | — | $ | — | $ | 373 | ||||||
Total Value and Income Earned | 77,149 | — | 373 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2009
Shares | Common Stock (94.9%) | Value | |||
| Consumer Discretionary (10.9%) | |||||
| 1,466 | Bed Bath & Beyond, Inc.a | $ | 56,632 | ||
| 9,860 | Brinker International, Inc. | 147,111 | |||
| 290 | Dollar General Corporationa | 6,505 | |||
| 7,969 | Goodyear Tire & Rubber Companya | 112,363 | |||
| 1,334 | Mohawk Industries, Inc.a | 63,498 | |||
| 2,672 | Time Warner Cable, Inc. | 110,594 | |||
| 3,600 | Viacom, Inc.a | 107,028 | |||
Total Consumer Discretionary | 603,731 | ||||
| Consumer Staples (6.5%) | |||||
| 6,272 | Chiquita Brands International, Inc.a | 113,147 | |||
| 3,242 | Kroger Company | 66,558 | |||
| 1,588 | Molson Coors Brewing Company | 71,714 | |||
| 2,972 | Walgreen Company | 109,132 | |||
Total Consumer Staples | 360,551 | ||||
| Energy (13.6%) | |||||
| 1,664 | Apache Corporation | 171,675 | |||
| 2,750 | Chevron Corporation | 211,723 | |||
| 2,370 | CONSOL Energy, Inc. | 118,026 | |||
| 330 | EOG Resources, Inc. | 32,109 | |||
| 1,706 | Exxon Mobil Corporation | 116,332 | |||
| 3,256 | Marathon Oil Corporation | 101,652 | |||
Total Energy | 751,517 | ||||
| Financials (21.1%) | |||||
| 1,780 | Allstate Corporation | 53,471 | |||
| 2,704 | Assurant, Inc. | 79,714 | |||
| 4,800 | Bank of America Corporation | 72,288 | |||
| 1,880 | Comerica, Inc. | 55,592 | |||
| 8,740 | Conseco, Inc.a | 43,700 | |||
| 1,680 | Everest Re Group, Ltd. | 143,942 | |||
| 672 | Goldman Sachs Group, Inc. | 113,461 | |||
| 5,340 | J.P. Morgan Chase & Company | 222,518 | |||
| 2,902 | MetLife, Inc. | 102,586 | |||
| 5,580 | Morgan Stanley | 165,168 | |||
| 5,460 | SLM Corporationa | 61,534 | |||
| 1,880 | Wells Fargo & Company | 50,741 | |||
Total Financials | 1,164,715 | ||||
| Health Care (11.7%) | |||||
| 4,828 | Aetna, Inc. | 153,047 | |||
| 8,020 | Biovail Corporation | 111,959 | |||
| 2,484 | Covidien, Ltd. | 118,959 | |||
| 4,203 | Merck & Company, Inc. | 153,578 | |||
| 3,009 | Pfizer, Inc. | 54,734 | |||
| 5,010 | Vanda Pharmaceuticals, Inc.a | 56,312 | |||
Total Health Care | 648,589 | ||||
| Industrials (11.2%) | |||||
| 2,830 | Aircastle, Ltd. | 27,875 | |||
| 3,730 | General Cable Corporationa | 109,737 | |||
| 14,771 | Genesis Lease, Ltd. ADR | 131,905 | |||
| 4,556 | Navistar International Corporationa | 176,089 | |||
| 4,860 | Tyco International, Ltd. | 173,405 | |||
Total Industrials | 619,011 | ||||
| Information Technology (6.7%) | |||||
| 9,534 | Dell, Inc.a | 136,908 | |||
| 20,434 | Motorola, Inc.a | 158,568 | |||
| 1,546 | QUALCOMM, Inc. | 71,518 | |||
Total Information Technology | 366,994 | ||||
| Materials (6.1%) | |||||
| 5,058 | Celanese Corporation | 162,362 | |||
| 1,084 | Potash Corporation of Saskatchewan, Inc. | 117,614 | |||
| 14,990 | Xstrata plc ADRa | 54,713 | |||
Total Materials | 334,689 | ||||
| Telecommunications Services (1.8%) | |||||
| 3,484 | AT&T, Inc. | 97,657 | |||
Total Telecommunications Services | 97,657 | ||||
| Utilities (5.3%) | |||||
| 6,348 | CMS Energy Corporation | 99,410 | |||
| 2,330 | Edison International, Inc. | 81,037 | |||
| 2,298 | Exelon Corporation | 112,303 | |||
Total Utilities | 292,750 | ||||
Total Common Stock (cost $4,931,799) | 5,240,204 | ||||
Preferred Stock (1.7%) | |||||
| Financials (1.7%) | |||||
| 6,500 | Bank of America Corporation, Convertiblea | 96,980 | |||
Total Financials | 96,980 | ||||
Total Preferred Stock (cost $97,500) | 96,980 | ||||
Total Investments (cost $5,029,299) 96.6% | $ | 5,337,184 | |||
Other Assets and Liabilities, Net 3.4% | 186,276 | ||||
Total Net Assets 100.0% | $ | 5,523,460 | |||
| a | Non-income producing security. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 407,573 | ||
Gross unrealized depreciation | (139,582 | ) | ||
Net unrealized appreciation (depreciation) | $ | 267,991 | ||
Cost for federal income tax purposes | $ | 5,069,193 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner All Cap Value Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 603,731 | 603,731 | — | — | ||||||||
Consumer Staples | 360,551 | 360,551 | — | — | ||||||||
Energy | 751,517 | 751,517 | — | — | ||||||||
Financials | 1,164,715 | 1,164,715 | — | — | ||||||||
Health Care | 648,589 | 648,589 | — | — | ||||||||
Industrials | 619,011 | 619,011 | — | — | ||||||||
Information Technology | 366,994 | 366,994 | — | — | ||||||||
Materials | 334,689 | 334,689 | — | — | ||||||||
Telecommunications Services | 97,657 | 97,657 | — | — | ||||||||
Utilities | 292,750 | 292,750 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 96,980 | 96,980 | — | — | ||||||||
Total | $ | 5,337,184 | $ | 5,337,184 | $ | — | $ | — | ||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner All Cap Value Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Equity Contracts | |||||
Options Written | Net realized gains/(losses) on Written option contracts | 577 | |||
Total Equity Contracts | 577 | ||||
| Foreign Exchange Contracts | |||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 37 | |||
Total Foreign Exchange Contracts | 37 | ||||
Total | $ | 614 | |||
The following table presents Partner All Cap Value Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Options (Contracts) | |||||
Equity Contracts | N/A | N/A | 2 | |||||
Foreign Exchange Contracts | $ | 346 | <0.1 | % | N/A | |||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner All Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 201,541 | $ | 3,408,873 | $ | 3,610,414 | — | $ | — | $ | 583 | ||||||
Total Value and Income Earned | 201,541 | — | 583 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Shares | Common Stock (99.2%) | Value | |||
| Consumer Discretionary (9.6%) | |||||
| 8,050 | BorgWarner, Inc. | $ | 267,421 | ||
| 17,600 | Carnival Corporationa | 557,744 | |||
| 29,900 | CBS Corporation | 420,095 | |||
| 11,320 | Coach, Inc. | 413,519 | |||
| 12,430 | Darden Restaurants, Inc. | 435,920 | |||
| 81,320 | Ford Motor Companya | 813,200 | |||
| 19,620 | Home Depot, Inc. | 567,607 | |||
| 21,930 | Lowe’s Companies, Inc. | 512,943 | |||
| 13,460 | Nordstrom, Inc. | 505,827 | |||
| 60,410 | Saks, Inc.a,b | 396,289 | |||
| 9,780 | Tiffany & Company | 420,540 | |||
| 23,950 | Time Warner, Inc. | 697,903 | |||
Total Consumer Discretionary | 6,009,008 | ||||
| Consumer Staples (11.2%) | |||||
| 26,110 | Avon Products, Inc. | 822,465 | |||
| 18,420 | Coca-Cola Enterprises, Inc. | 390,504 | |||
| 37,650 | ConAgra Foods, Inc. | 867,833 | |||
| 57,030 | CVS Caremark Corporation | 1,836,936 | |||
| 17,860 | Dr. Pepper Snapple Group, Inc. | 505,438 | |||
| 15,570 | Molson Coors Brewing Company | 703,141 | |||
| 12,120 | Procter & Gamble Company | 734,836 | |||
| 11,930 | Sara Lee Corporation | 145,307 | |||
| 19,290 | Wal-Mart Stores, Inc. | 1,031,051 | |||
Total Consumer Staples | 7,037,511 | ||||
| Energy (11.3%) | |||||
| 12,580 | Chevron Corporation | 968,534 | |||
| 10,110 | EXCO Resources, Inc. | 214,635 | |||
| 19,040 | Exxon Mobil Corporation | 1,298,338 | |||
| 24,300 | Forest Oil Corporationa | 540,675 | |||
| 16,300 | Halliburton Company | 490,467 | |||
| 15,180 | Newfield Exploration Companya | 732,132 | |||
| 3,700 | Occidental Petroleum Corporation | 300,995 | |||
| 13,600 | Schlumberger, Ltd. | 885,224 | |||
| 12,260 | Southwestern Energy Companya | 590,932 | |||
| 6,970 | Transocean, Ltd.a | 577,116 | |||
| 10,310 | XTO Energy, Inc. | 479,724 | |||
Total Energy | 7,078,772 | ||||
| Financials (14.3%) | |||||
| 10,110 | ACE, Ltd.a | 509,544 | |||
| 48,660 | Bank of America Corporation | 732,820 | |||
| 21,556 | Bank of New York Mellon Corporation | 602,921 | |||
| 130 | Berkshire Hathaway, Inc.a | 427,180 | |||
| 24,070 | Charles Schwab Corporation | 452,997 | |||
| 2,690 | CME Group, Inc. | 903,705 | |||
| 5,700 | Goldman Sachs Group, Inc. | 962,388 | |||
| 15,460 | Interactive Brokers Group, Inc.a | 273,951 | |||
| 10,700 | Invesco, Ltd. | 251,343 | |||
| 34,580 | J.P. Morgan Chase & Company | 1,440,949 | |||
| 4,100 | PartnerRe, Ltd. | 306,106 | |||
| 8,830 | PNC Financial Services Group, Inc. | 466,136 | |||
| 12,310 | TD Ameritrade Holding Corporationa | 238,568 | |||
| 51,930 | Wells Fargo & Company | 1,401,591 | |||
Total Financials | 8,970,199 | ||||
| Health Care (12.6%) | |||||
| 16,310 | Aetna, Inc. | 517,027 | |||
| 9,120 | Allergan, Inc. | 574,651 | |||
| 7,720 | Baxter International, Inc. | 453,010 | |||
| 10,990 | Biogen Idec, Inc.a | 587,965 | |||
| 6,380 | CIGNA Corporation | 225,023 | |||
| 11,100 | Covidien, Ltd. | 531,579 | |||
| 3,150 | Express Scripts, Inc.a | 272,317 | |||
| 3,560 | Genzyme Corporationa | 174,476 | |||
| 2,670 | Johnson & Johnson | 171,975 | |||
| 41,070 | King Pharmaceuticals, Inc.a | 503,929 | |||
| 7,280 | Medco Health Solutions, Inc.a | 465,265 | |||
| 28,464 | Merck & Company, Inc. | 1,040,074 | |||
| 100,375 | Pfizer, Inc. | 1,825,821 | |||
| 7,530 | St. Jude Medical, Inc.a | 276,953 | |||
| 5,480 | Thermo Fisher Scientific, Inc.a | 261,341 | |||
Total Health Care | 7,881,406 | ||||
| Industrials (10.2%) | |||||
| 10,200 | Bucyrus International, Inc. | 574,974 | |||
| 12,170 | Caterpillar, Inc. | 693,568 | |||
| 11,400 | CNH Global NVa | 284,772 | |||
| 8,960 | CSX Corporation | 434,470 | |||
| 11,830 | Cummins, Inc. | 542,524 | |||
| 8,800 | Deere & Company | 475,992 | |||
| 36,260 | Delta Air Lines, Inc.a | 412,639 | |||
| 21,070 | General Electric Company | 318,789 | |||
| 10,140 | Joy Global, Inc. | 523,123 | |||
| 5,310 | Rockwell Automation, Inc. | 249,464 | |||
| 16,180 | Terex Corporationa,b | 320,526 | |||
| 19,190 | Textron, Inc. | 360,964 | |||
| 7,100 | Union Pacific Corporation | 453,690 | |||
| 6,350 | United Technologies Corporation | 440,753 | |||
| 16,900 | Yingli Green Energy Holding Company, Ltd. ADRa,b | 267,189 | |||
Total Industrials | 6,353,437 | ||||
| Information Technology (19.9%) | |||||
| 78,560 | ADC Telecommunications, Inc.a | 487,858 | |||
| 7,170 | Apple, Inc.a | 1,511,866 | |||
| 41,990 | BMC Software, Inc.a | 1,683,799 | |||
| 1,530 | Google, Inc.a | 948,569 | |||
| 8,310 | International Business Machines Corporation | 1,087,779 | |||
| 27,620 | KLA-Tencor Corporation | 998,739 | |||
| 28,040 | McAfee, Inc.a | 1,137,583 | |||
| 15,140 | Microsoft Corporation | 461,619 | |||
| 34,600 | NETAPP, Inc.a | 1,189,894 | |||
| 22,590 | Novellus Systems, Inc.a | 527,250 | |||
| 10,130 | SanDisk Corporationa | 293,669 | |||
| 91,600 | Seagate Technology | 1,666,204 | |||
| 45,960 | Take-Two Interactive Software, Inc.a,b | 461,898 | |||
Total Information Technology | 12,456,727 | ||||
| Materials (3.4%) | |||||
| 7,090 | Albemarle Corporation | 257,863 | |||
| 16,750 | Commercial Metals Company | 262,138 | |||
| 9,740 | Compass Minerals International, Inc. | 654,431 | |||
| 3,420 | FMC Corporation | 190,699 | |||
| 3,100 | Freeport-McMoRan Copper & Gold, Inc.a | 248,899 | |||
| 4,250 | Newmont Mining Corporation | 201,067 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner All Cap Portfolio
Schedule of Investments as of December 31, 2009
Shares | Common Stock (99.2%) | Value | ||||
| Materials (3.4%) - continued | ||||||
| 4,100 | Praxair, Inc. | $ | 329,271 | |||
Total Materials | 2,144,368 | |||||
| Telecommunications Services (3.1%) | ||||||
| 6,800 | American Tower Corporationa | 293,828 | ||||
| 19,202 | AT&T, Inc. | 538,232 | ||||
| 17,790 | NII Holdings, Inc.a | 597,388 | ||||
| 126,570 | Qwest Communications International, Inc. | 532,860 | ||||
Total Telecommunications Services | 1,962,308 | |||||
| Utilities (3.6%) | ||||||
| 21,180 | American Electric Power Company, Inc. | 736,852 | ||||
| 13,970 | American Water Works Company, Inc. | 313,068 | ||||
| 18,880 | CMS Energy Corporation | 295,661 | ||||
| 13,810 | PPL Corporation | 446,201 | ||||
| 75,060 | RRI Energy, Inc.a | 429,343 | ||||
Total Utilities | 2,221,125 | |||||
Total Common Stock (cost $55,936,571) | 62,114,861 | |||||
Collateral Held for Securities Loaned (2.0%) | ||||||
| 1,275,375 | Thrivent Financial Securities Lending Trust | 1,275,375 | ||||
Total Collateral Held for Securities Loaned (cost $1,275,375) | 1,275,375 | |||||
Short-Term Investments (0.7%)c | ||||||
Federal Home Loan Bank Discount Notes | ||||||
| 400,000 | 0.020%, 2/1/2010 | 399,993 | ||||
Total Short-Term Investments (at amortized cost) | 399,993 | |||||
Total Investments (cost $57,611,939) 101.9% | $ | 63,790,229 | ||||
Other Assets and Liabilities, Net (1.9%) | (1,175,414 | ) | ||||
Total Net Assets 100.0% | $ | 62,614,815 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 7,346,475 | ||
Gross unrealized depreciation | (1,763,744 | ) | ||
Net unrealized appreciation (depreciation) | $ | 5,582,731 | ||
Cost for federal income tax purposes | $ | 58,207,498 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner All Cap Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner All Cap Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 6,009,008 | 6,009,008 | — | — | ||||||||
Consumer Staples | 7,037,511 | 7,037,511 | — | — | ||||||||
Energy | 7,078,772 | 7,078,772 | — | — | ||||||||
Financials | 8,970,199 | 8,970,199 | — | — | ||||||||
Health Care | 7,881,406 | 7,881,406 | — | — | ||||||||
Industrials | 6,353,437 | 6,353,437 | — | — | ||||||||
Information Technology | 12,456,727 | 12,456,727 | — | — | ||||||||
Materials | 2,144,368 | 2,144,368 | — | — | ||||||||
Telecommunications Services | 1,962,308 | 1,962,308 | — | — | ||||||||
Utilities | 2,221,125 | 2,221,125 | — | — | ||||||||
Collateral Held for Securities Loaned | 1,275,375 | 1,275,375 | — | — | ||||||||
Short-Term Investments | 399,993 | — | 399,993 | — | ||||||||
Total | $ | 63,790,229 | $ | 63,390,236 | $ | 399,993 | $ | — | ||||
Investment 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 fiscal year to date, in Partner All Cap Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 71,709 | $ | 19,489,248 | $ | 19,560,957 | — | $ | — | $ | 1,943 | ||||||
Thrivent Financial Securities Lending Trust | 2,623,789 | 20,030,284 | 21,378,698 | 1,275,375 | 1,275,375 | 7,410 | |||||||||||
Total Value and Income Earned | 2,695,498 | 1,275,375 | 9,353 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (96.3%) | Value | |||
| Consumer Discretionary (12.0%) | |||||
| 48,730 | Amazon.com, Inc.a | $ | 6,555,160 | ||
| 63,500 | Bed Bath & Beyond, Inc.a | 2,453,005 | |||
| 70,157 | Best Buy Company, Inc. | 2,768,395 | |||
| 111,400 | Brinker International, Inc. | 1,662,088 | |||
| 47,400 | Carnival Corporationa | 1,502,106 | |||
| 461,382 | Ford Motor Companya | 4,613,820 | |||
| 120,850 | International Game Technology | 2,268,354 | |||
| 69,895 | Kohl’s Corporationa | 3,769,437 | |||
| 65,100 | Limited Brands, Inc. | 1,252,524 | |||
| 89,450 | Lowe’s Companies, Inc. | 2,092,236 | |||
| 567,031 | Melco Crown Entertainment, Ltd.a,b | 1,910,894 | |||
| 50,100 | Nordstrom, Inc. | 1,882,758 | |||
| 74,600 | RadioShack Corporation | 1,454,700 | |||
| 77,495 | Target Corporation | 3,748,433 | |||
| 112,526 | Time Warner, Inc. | 3,279,008 | |||
| 96,000 | Toll Brothers, Inc.a | 1,805,760 | |||
Total Consumer Discretionary | 43,018,678 | ||||
| Consumer Staples (4.6%) | |||||
| 116,682 | PepsiCo, Inc. | 7,094,266 | |||
| 106,721 | Procter & Gamble Company | 6,470,494 | |||
| 80,550 | Walgreen Company | 2,957,796 | |||
Total Consumer Staples | 16,522,556 | ||||
| Energy (9.8%) | |||||
| 49,450 | Alpha Natural Resources, Inc.a | 2,145,141 | |||
| 56,700 | Baker Hughes, Inc. | 2,295,216 | |||
| 81,650 | Cobalt International Energy, Inc.a | 1,130,036 | |||
| 53,549 | Devon Energy Corporation | 3,935,851 | |||
| 34,062 | EOG Resources, Inc. | 3,314,233 | |||
| 54,900 | Hess Corporation | 3,321,450 | |||
| 149,740 | Nabors Industries, Ltd.a | 3,277,809 | |||
| 67,909 | Petroleo Brasileiro SA ADR | 3,237,901 | |||
| 94,837 | Schlumberger, Ltd. | 6,172,940 | |||
| 75,653 | Southwestern Energy Companya | 3,646,475 | |||
| 150,000 | Valero Energy Corporation | 2,512,500 | |||
Total Energy | 34,989,552 | ||||
| Financials (8.5%) | |||||
| 58,660 | Goldman Sachs Group, Inc. | 9,904,154 | |||
| 34,013 | IntercontinentalExchange, Inc.a | 3,819,660 | |||
| 104,850 | Invesco, Ltd. | 2,462,926 | |||
| 134,477 | J.P. Morgan Chase & Company | 5,603,657 | |||
| 40,750 | Lazard, Ltd. | 1,547,278 | |||
| 29,400 | T. Rowe Price Group, Inc. | 1,565,550 | |||
| 149,042 | TD Ameritrade Holding Corporationa | 2,888,434 | |||
| 94,050 | Wells Fargo & Company | 2,538,409 | |||
Total Financials | 30,330,068 | ||||
| Health Care (14.0%) | |||||
| 11,756 | Alcon, Inc. | 1,932,099 | |||
| 20,257 | Allergan, Inc. | 1,276,394 | |||
| 70,060 | Amgen, Inc.a | 3,963,294 | |||
| 72,942 | Baxter International, Inc. | 4,280,237 | |||
| 77,065 | Celgene Corporationa | 4,290,979 | |||
| 133,784 | Covidien, Ltd. | 6,406,916 | |||
| 108,475 | Gilead Sciences, Inc.a | 4,694,798 | |||
| 76,367 | Medco Health Solutions, Inc.a | 4,880,615 | |||
| 340,102 | Pfizer, Inc. | 6,186,455 | |||
| 140,883 | Thermo Fisher Scientific, Inc.a | 6,718,710 | |||
| 48,536 | United Therapeutics Corporationa | 2,555,420 | |||
| 87,770 | UnitedHealth Group, Inc. | 2,675,230 | |||
Total Health Care | 49,861,147 | ||||
| Industrials (9.1%) | |||||
| 101,200 | AMR Corporationa | 782,276 | |||
| 40,100 | Caterpillar, Inc. | 2,285,299 | |||
| 54,441 | Danaher Corporation | 4,093,963 | |||
| 144,362 | Delta Air Lines, Inc.a,c | 1,642,840 | |||
| 67,640 | Dover Corporation | 2,814,501 | |||
| 194,600 | Dryships, Inc.a,b | 1,132,572 | |||
| 36,100 | FedEx Corporation | 3,012,545 | |||
| 78,450 | Foster Wheeler AGa | 2,309,568 | |||
| 147,200 | General Electric Company | 2,227,136 | |||
| 56,425 | Honeywell International, Inc. | 2,211,860 | |||
| 25,900 | Parker Hannifin Corporation | 1,395,492 | |||
| 69,658 | Union Pacific Corporation | 4,451,146 | |||
| 59,722 | United Technologies Corporation | 4,145,304 | |||
Total Industrials | 32,504,502 | ||||
| Information Technology (31.8%) | |||||
| 214,050 | Activision Blizzard, Inc.a | 2,378,096 | |||
| 264 | AOL, Inc.a | 6,146 | |||
| 77,216 | Apple, Inc.a | 16,281,766 | |||
| 331,016 | Cisco Systems, Inc.a | 7,924,523 | |||
| 76,400 | Dell, Inc.a | 1,097,104 | |||
| 76,400 | eBay, Inc.a | 1,798,456 | |||
| 25,003 | Google, Inc.a | 15,501,360 | |||
| 125,650 | Hewlett-Packard Company | 6,472,232 | |||
| 405,411 | Intel Corporation | 8,270,384 | |||
| 17,750 | MasterCard, Inc. | 4,543,645 | |||
| 114,928 | Maxim Integrated Products, Inc. | 2,333,038 | |||
| 36,700 | McAfee, Inc.a | 1,488,919 | |||
| 98,900 | Micron Technology, Inc.a | 1,044,384 | |||
| 277,300 | Microsoft Corporation | 8,454,877 | |||
| 122,300 | Motorola, Inc.a | 949,048 | |||
| 82,700 | Novellus Systems, Inc.a | 1,930,218 | |||
| 252,050 | ON Semiconductor Corporationa | 2,220,561 | |||
| 257,077 | Oracle Corporation | 6,308,670 | |||
| 229,158 | QUALCOMM, Inc. | 10,600,849 | |||
| 26,532 | Research in Motion, Ltd.a | 1,791,971 | |||
| 86,918 | STEC, Inc.a,b | 1,420,240 | |||
| 78,546 | Tyco Electronics, Ltd. | 1,928,304 | |||
| 41,201 | Visa, Inc. | 3,603,439 | |||
| 77,253 | Xilinx, Inc. | 1,935,960 | |||
| 207,739 | Yahoo!, Inc.a | 3,485,860 | |||
Total Information Technology | 113,770,050 | ||||
| Materials (3.3%) | |||||
| 42,288 | Air Products and Chemicals, Inc. | 3,427,865 | |||
| 40,658 | Freeport-McMoRan Copper & Gold, Inc.a | 3,264,431 | |||
| 56,600 | Newmont Mining Corporation | 2,677,746 | |||
| 10,400 | Potash Corporation of Saskatchewan, Inc. | 1,128,400 | |||
| 72,549 | Steel Dynamics, Inc. | 1,285,568 | |||
Total Materials | 11,784,010 | ||||
| Telecommunications Services (3.2%) | |||||
| 444,500 | Alcatel-Lucent ADRa | 1,475,740 | |||
| 128,515 | American Tower Corporationa | 5,553,133 | |||
| 60,950 | NII Holdings, Inc.a | 2,046,701 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (96.3%) | Value | ||||
| Telecommunications Services (3.2%) - continued | ||||||
| 527,753 | Qwest Communications International, Inc.b | $ | 2,221,840 | |||
Total Telecommunications Services | 11,297,414 | |||||
Total Common Stock (cost $283,146,992) | 344,077,977 | |||||
Preferred Stock (1.0%) | ||||||
| Financials (1.0%) | ||||||
| 239,500 | Bank of America Corporation, Convertiblea | 3,573,340 | ||||
Total Financials | 3,573,340 | |||||
Total Preferred Stock (cost $3,594,329) | 3,573,340 | |||||
Collateral Held for Securities Loaned (1.9%) | ||||||
| 6,796,273 | Thrivent Financial Securities Lending Trust | 6,796,273 | ||||
Total Collateral Held for Securities Loaned (cost $6,796,273) | 6,796,273 | |||||
| Principal Amount | Short-Term Investments (3.1%)d | |||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 5,000,000 | 0.060%, 2/19/2010 | 4,999,592 | ||||
Societe Generale North America, Inc. | ||||||
| 6,022,000 | 0.020%, 1/4/2010 | 6,021,990 | ||||
Total Short-Term Investments (at amortized cost) | 11,021,582 | |||||
Total Investments (cost $304,559,176) 102.3% | $ | 365,469,172 | ||||
Other Assets and Liabilities, Net (2.3%) | (8,083,341 | ) | ||||
Total Net Assets 100.0% | $ | 357,385,831 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | All or a portion of the security was earmarked to cover written options. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 64,309,463 | ||
Gross unrealized depreciation | (4,006,943 | ) | ||
Net unrealized appreciation (depreciation) | $ | 60,302,520 | ||
Cost for federal income tax purposes | $ | 305,166,652 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Growth Portfolio II
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Large Cap Growth Portfolio II’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||
Common Stock | ||||||||||||||
Consumer Discretionary | 43,018,678 | 43,018,678 | — | — | ||||||||||
Consumer Staples | 16,522,556 | 16,522,556 | — | — | ||||||||||
Energy | 34,989,552 | 34,989,552 | — | — | ||||||||||
Financials | 30,330,068 | 30,330,068 | — | — | ||||||||||
Health Care | 49,861,147 | 49,861,147 | — | — | ||||||||||
Industrials | 32,504,502 | 32,504,502 | — | — | ||||||||||
Information Technology | 113,770,050 | 113,770,050 | — | — | ||||||||||
Materials | 11,784,010 | 11,784,010 | — | — | ||||||||||
Telecommunications Services | 11,297,414 | 11,297,414 | — | — | ||||||||||
Preferred Stock | ||||||||||||||
Financials | 3,573,340 | 3,573,340 | — | — | ||||||||||
Collateral Held for Securities Loaned | 6,796,273 | 6,796,273 | — | — | ||||||||||
Short-Term Investments | 11,021,582 | — | 11,021,582 | — | ||||||||||
Total | $ | 365,469,172 | $ | 354,447,590 | $ | 11,021,582 | $ | — | ||||||
Other Financial Instruments* | ($2,234 | ) | ($2,234 | ) | $ | — | $ | — | ||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/ (Loss) | ||||||||
Delta Air Lines, Inc. | 195 | $ | 11.00 | January 2010 | ($13,650 | ) | ($2,234 | ) | |||||
Total Call Options Written | ($13,650 | ) | ($2,234 | ) | |||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Large Cap Growth Portfolio II’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Liability Derivatives | |||||
Equity Contracts | |||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 2,234 | |||
Total Equity Contracts | 2,234 | ||||
Total Liability Derivatives | $ | 2,234 | |||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Growth Portfolio II’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/ (Losses) recognized in Income | |||
| Equity Contracts | |||||
Options Written | Net realized gains/(losses) on Written option contracts | (95,893 | ) | ||
Total Equity Contracts | (95,893 | ) | |||
Total | ($95,893 | ) | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Growth Portfolio II’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | (2,234 | ) | ||
Total Equity Contracts | (2,234 | ) | |||
Total | ($2,234 | ) | |||
The following table presents Large Cap Growth Portfolio II’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Options (Contracts) | |
Equity Contracts | 303 |
Investment 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 fiscal year to date, in Large Cap Growth Portfolio II, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 9,917,185 | $ | 88,102,411 | $ | 98,019,596 | — | $ | — | $ | 32,742 | ||||||
Thrivent Financial Securities Lending Trust | 211,680 | 142,829,364 | 136,244,771 | 6,796,273 | 6,796,273 | 42,813 | |||||||||||
Total Value and Income Earned | 10,128,865 | 6,796,273 | 75,555 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.7%) | Value | |||
| Consumer Discretionary (12.6%) | |||||
| 140,850 | Amazon.com, Inc.a | $ | 18,947,142 | ||
| 37,862 | Apollo Group, Inc.a | 2,293,680 | |||
| 176,100 | Bed Bath & Beyond, Inc.a | 6,802,743 | |||
| 190,400 | Best Buy Company, Inc. | 7,513,184 | |||
| 283,300 | Brinker International, Inc. | 4,226,836 | |||
| 121,300 | Carnival Corporationa | 3,843,997 | |||
| 1,189,000 | Ford Motor Companya | 11,890,000 | |||
| 274,600 | International Game Technology | 5,154,242 | |||
| 197,000 | Kohl’s Corporationa | 10,624,210 | |||
| 191,200 | Limited Brands, Inc. | 3,678,688 | |||
| 259,600 | Lowe’s Companies, Inc. | 6,072,044 | |||
| 1,252,982 | Melco Crown Entertainment, Ltd.a,b | 4,222,549 | |||
| 279,300 | MGM MIRAGEa,b | 2,547,216 | |||
| 132,500 | Nordstrom, Inc.b | 4,979,350 | |||
| 218,800 | RadioShack Corporation | 4,266,600 | |||
| 95,100 | Starwood Hotels & Resorts Worldwide, Inc. | 3,477,807 | |||
| 224,000 | Target Corporation | 10,834,880 | |||
| 294,000 | Time Warner, Inc. | 8,567,160 | |||
| 250,000 | Toll Brothers, Inc.a | 4,702,500 | |||
| 139,400 | Viacom, Inc.a | 4,144,362 | |||
Total Consumer Discretionary | 128,789,190 | ||||
| Consumer Staples (4.8%) | |||||
| 140,000 | Avon Products, Inc. | 4,410,000 | |||
| 306,100 | PepsiCo, Inc. | 18,610,880 | |||
| 294,300 | Procter & Gamble Company | 17,843,409 | |||
| 235,200 | Walgreen Company | 8,636,544 | |||
Total Consumer Staples | 49,500,833 | ||||
| Energy (9.9%) | |||||
| 142,200 | Alpha Natural Resources, Inc.a | 6,168,636 | |||
| 156,400 | Baker Hughes, Inc. | 6,331,072 | |||
| 223,350 | Cobalt International Energy, Inc.a,b | 3,091,164 | |||
| 130,700 | Devon Energy Corporation | 9,606,450 | |||
| 96,000 | EOG Resources, Inc. | 9,340,800 | |||
| 161,400 | Hess Corporation | 9,764,700 | |||
| 311,400 | Nabors Industries, Ltd.a | 6,816,546 | |||
| 163,000 | Noble Corporation | 6,634,100 | |||
| 195,550 | Petroleo Brasileiro SA ADR | 9,323,824 | |||
| 271,800 | Schlumberger, Ltd. | 17,691,462 | |||
| 214,100 | Southwestern Energy Companya | 10,319,620 | |||
| 403,900 | Valero Energy Corporation | 6,765,325 | |||
Total Energy | 101,853,699 | ||||
| Financials (9.0%) | |||||
| 156,900 | American Express Company | 6,357,588 | |||
| 153,000 | Goldman Sachs Group, Inc. | 25,832,520 | |||
| 93,000 | IntercontinentalExchange, Inc.a | 10,443,900 | |||
| 247,100 | Invesco, Ltd. | 5,804,379 | |||
| 368,550 | J.P. Morgan Chase & Company | 15,357,479 | |||
| 114,000 | Lazard, Ltd. | 4,328,580 | |||
| 123,300 | Lincoln National Corporation | 3,067,704 | |||
| 54,500 | State Street Corporation | 2,372,930 | |||
| 82,600 | T. Rowe Price Group, Inc. | 4,398,450 | |||
| 430,500 | TD Ameritrade Holding Corporationa | 8,343,090 | |||
| 205,300 | Wells Fargo & Company | 5,541,047 | |||
Total Financials | 91,847,667 | ||||
| Health Care (14.3%) | |||||
| 187,500 | Abbott Laboratories | 10,123,125 | |||
| 33,275 | Alcon, Inc. | 5,468,746 | |||
| 59,700 | Allergan, Inc. | 3,761,697 | |||
| 169,202 | Amgen, Inc.a | 9,571,757 | |||
| 170,296 | Baxter International, Inc. | 9,992,969 | |||
| 214,950 | Celgene Corporationa | 11,968,416 | |||
| 313,700 | Covidien, Ltd. | 15,023,093 | |||
| 311,750 | Gilead Sciences, Inc.a | 13,492,540 | |||
| 194,791 | Medco Health Solutions, Inc.a | 12,449,093 | |||
| 868,400 | Pfizer, Inc. | 15,796,196 | |||
| 87,235 | St. Jude Medical, Inc.a | 3,208,503 | |||
| 117,650 | Teva Pharmaceutical Industries, Ltd. ADR | 6,609,577 | |||
| 354,358 | Thermo Fisher Scientific, Inc.a | 16,899,333 | |||
| 105,019 | United Therapeutics Corporationa | 5,529,251 | |||
| 207,200 | UnitedHealth Group, Inc. | 6,315,456 | |||
Total Health Care | 146,209,752 | ||||
| Industrials (8.9%) | |||||
| 292,000 | AMR Corporationa | 2,257,160 | |||
| 100,600 | Caterpillar, Inc. | 5,733,194 | |||
| 72,100 | CSX Corporation | 3,496,129 | |||
| 150,650 | Danaher Corporation | 11,328,880 | |||
| 359,915 | Delta Air Lines, Inc.a,c | 4,095,833 | |||
| 247,500 | Diana Shipping, Inc.a,b | 3,583,800 | |||
| 140,500 | Dover Corporation | 5,846,205 | |||
| 270,700 | Dryships, Inc.a,b | 1,575,474 | |||
| 99,800 | FedEx Corporation | 8,328,310 | |||
| 182,800 | Foster Wheeler AGa | 5,381,632 | |||
| 425,500 | General Electric Company | 6,437,815 | |||
| 115,700 | Honeywell International, Inc. | 4,535,440 | |||
| 63,200 | Illinois Tool Works, Inc. | 3,032,968 | |||
| 76,800 | Parker Hannifin Corporation | 4,137,984 | |||
| 168,900 | Union Pacific Corporation | 10,792,710 | |||
| 162,300 | United Technologies Corporation | 11,265,243 | |||
Total Industrials | 91,828,777 | ||||
| Information Technology (31.7%) | |||||
| 501,100 | Activision Blizzard, Inc.a | 5,567,221 | |||
| 197,500 | Altera Corporation | 4,469,425 | |||
| 223,700 | Apple, Inc.a | 47,169,382 | |||
| 968,650 | Cisco Systems, Inc.a | 23,189,481 | |||
| 220,700 | Dell, Inc.a | 3,169,252 | |||
| 223,900 | eBay, Inc.a | 5,270,606 | |||
| 433,100 | EMC Corporationa | 7,566,257 | |||
| 71,352 | Google, Inc.a | 44,236,813 | |||
| 358,200 | Hewlett-Packard Company | 18,450,882 | |||
| 924,800 | Intel Corporation | 18,865,920 | |||
| 51,400 | MasterCard, Inc. | 13,157,372 | |||
| 284,700 | Maxim Integrated Products, Inc. | 5,779,410 | |||
| 80,700 | McAfee, Inc.a | 3,273,999 | |||
| 290,200 | Micron Technology, Inc.a | 3,064,512 | |||
| 794,400 | Microsoft Corporation | 24,221,256 | |||
| 357,400 | Motorola, Inc.a | 2,773,424 | |||
| 148,100 | Novellus Systems, Inc.a | 3,456,654 | |||
| 566,700 | ON Semiconductor Corporationa | 4,992,627 | |||
| 744,200 | Oracle Corporation | 18,262,668 | |||
| 636,844 | QUALCOMM, Inc. | 29,460,403 | |||
| 76,661 | Research in Motion, Ltd.a | 5,177,684 | |||
| 171,500 | STEC, Inc.a,b | 2,802,310 | |||
| 194,900 | Tyco Electronics, Ltd. | 4,784,795 | |||
| 119,000 | Visa, Inc. | 10,407,740 | |||
| 228,100 | Xilinx, Inc. | 5,716,186 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.7%) | Value | ||||
| Information Technology (31.7%) - continued | ||||||
| 581,600 | Yahoo!, Inc.a | $ | 9,759,248 | |||
Total Information Technology | 325,045,527 | |||||
| Materials (3.6%) | ||||||
| 102,700 | Air Products and Chemicals, Inc. | 8,324,862 | ||||
| 110,100 | Freeport-McMoRan Copper & Gold, Inc.a | 8,839,929 | ||||
| 137,900 | International Paper Company | 3,692,962 | ||||
| 29,700 | Martin Marietta Materials, Inc.b | 2,655,477 | ||||
| 137,800 | Newmont Mining Corporation | 6,519,318 | ||||
| 29,800 | Potash Corporation of Saskatchewan, Inc. | 3,233,300 | ||||
| 193,890 | Steel Dynamics, Inc. | 3,435,731 | ||||
Total Materials | 36,701,579 | |||||
| Telecommunications Services (2.9%) | ||||||
| 976,800 | Alcatel-Lucent ADRa | 3,242,976 | ||||
| 307,700 | American Tower Corporationa | 13,295,717 | ||||
| 127,100 | NII Holdings, Inc.a | 4,268,018 | ||||
| 1,359,750 | Qwest Communications International, Inc.b | 5,724,547 | ||||
| 86,700 | SBA Communications Corporationa | 2,961,672 | ||||
Total Telecommunications Services | 29,492,930 | |||||
Total Common Stock (cost $859,466,261) | 1,001,269,954 | |||||
Preferred Stock (0.9%) | ||||||
| Financials (0.9%) | ||||||
| 644,300 | Bank of America Corporation, Convertiblea | 9,612,956 | ||||
Total Financials | 9,612,956 | |||||
Total Preferred Stock (cost $9,667,517) | 9,612,956 | |||||
Collateral Held for Securities Loaned (3.0%) | ||||||
| 30,719,415 | Thrivent Financial Securities Lending Trust | 30,719,415 | ||||
Total Collateral Held for Securities Loaned (cost $30,719,415) | 30,719,415 | |||||
| Principal Amount | Short-Term Investments (1.8%)d | |||||
Chariot Funding, LLC | ||||||
| 835,000 | 0.050%, 1/4/2010 | 834,997 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 3,600,000 | 0.060%, 1/13/2010 | 3,599,928 | ||||
| 9,000,000 | 0.030%, 1/15/2010 | 8,999,895 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 5,000,000 | 0.050%, 2/4/2010 | 4,999,764 | ||||
Total Short-Term Investments (at amortized cost) | 18,434,584 | |||||
Total Investments (cost $918,287,777) 103.4% | $ | 1,060,036,909 | ||||
Other Assets and Liabilities, Net (3.4%) | (34,723,948 | ) | ||||
Total Net Assets 100.0% | $ | 1,025,312,961 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | All or a portion of the security was earmarked to cover written options. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 164,810,087 | ||
Gross unrealized depreciation | (26,889,946 | ) | ||
Net unrealized appreciation (depreciation) | $ | 137,920,141 | ||
Cost for federal income tax purposes | $ | 922,116,768 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Large Cap Growth Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||
Common Stock | ||||||||||||||
Consumer Discretionary | 128,789,190 | 128,789,190 | — | — | ||||||||||
Consumer Staples | 49,500,833 | 49,500,833 | — | — | ||||||||||
Energy | 101,853,699 | 101,853,699 | — | — | ||||||||||
Financials | 91,847,667 | 91,847,667 | — | — | ||||||||||
Health Care | 146,209,752 | 146,209,752 | — | — | ||||||||||
Industrials | 91,828,777 | 91,828,777 | — | — | ||||||||||
Information Technology | 325,045,527 | 325,045,527 | — | — | ||||||||||
Materials | 36,701,579 | 36,701,579 | — | — | ||||||||||
Telecommunications Services | 29,492,930 | 29,492,930 | — | — | ||||||||||
Preferred Stock | ||||||||||||||
Financials | 9,612,956 | 9,612,956 | — | — | ||||||||||
Collateral Held for Securities Loaned | 30,719,415 | 30,719,415 | — | — | ||||||||||
Short-Term Investments | 18,434,584 | — | 18,434,584 | — | ||||||||||
Total | $ | 1,060,036,909 | $ | 1,041,602,325 | $ | 18,434,584 | $ | — | ||||||
Other Financial Instruments* | ($5,235 | ) | ($5,235 | ) | $ | — | $ | — | ||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/ (Loss) | ||||||||
Delta Air Lines, Inc. | 457 | $ | 11.00 | January 2010 | ($31,990 | ) | ($5,235 | ) | |||||
Total Call Options Written | ($31,990 | ) | ($5,235 | ) | |||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Liability Derivatives | |||||
Equity Contracts | |||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 5,235 | |||
Total Equity Contracts | 5,235 | ||||
Total Liability Derivatives | $ | 5,235 | |||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||
| Equity Contracts | ||||
Options Written | Net realized gains/(losses) on Written option contracts | 37,235 | ||
Total Equity Contracts | 37,235 | |||
Total | $37,235 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Growth Portfolios investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | (5,235 | ) | ||
Total Equity Contracts | (5,235 | ) | |||
Total | ($5,235 | ) | |||
The following table presents Large Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Options (Contracts) | |
Equity Contracts | 677 |
Investment 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 fiscal year to date, in Large Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 9,280,189 | $ | 43,285,828 | $ | 52,566,017 | — | $ | — | $ | 28,116 | ||||||
Thrivent Financial Securities Lending Trust | 23,002,052 | 464,425,375 | 456,708,012 | 30,719,415 | 30,719,415 | 154,370 | |||||||||||
Total Value and Income Earned | �� | 32,282,241 | 30,719,415 | 182,486 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (99.2%) | Value | |||
| Consumer Discretionary (13.2%) | |||||
| 15,000 | Amazon.com, Inc.a | $ | 2,017,800 | ||
| 4,800 | AutoZone, Inc.a | 758,736 | |||
| 14,100 | CarMax, Inc.a | 341,925 | |||
| 4,400 | Carnival Corporationa | 139,436 | |||
| 15,609 | Expedia, Inc.a | 401,308 | |||
| 6,400 | Kohl’s Corporationa | 345,152 | |||
| 24,000 | Lowe’s Companies, Inc. | 561,360 | |||
| 17,933 | Marriott International, Inc.b | 488,674 | |||
| 14,800 | McGraw-Hill Companies, Inc. | 495,948 | |||
| 5,000 | MGM MIRAGEa,b | 45,600 | |||
| 6,900 | NIKE, Inc. | 455,883 | |||
| 5,400 | O’Reilly Automotive, Inc.a | 205,848 | |||
| 1,300 | Priceline.com, Inc.a | 284,050 | |||
| 28,800 | Starbucks Corporationa | 664,128 | |||
| 15,700 | Walt Disney Company | 506,325 | |||
| 58,800 | Wynn Macau, Ltd.a | 72,425 | |||
| 9,000 | Yum! Brands, Inc. | 314,730 | |||
Total Consumer Discretionary | 8,099,328 | ||||
| Consumer Staples (3.1%) | |||||
| 8,300 | Costco Wholesale Corporation | 491,111 | |||
| 4,891 | Nestle SA | 237,367 | |||
| 11,300 | PepsiCo, Inc. | 687,040 | |||
| 8,437 | Procter & Gamble Company | 511,535 | |||
Total Consumer Staples | 1,927,053 | ||||
| Energy (6.3%) | |||||
| 9,700 | Cameron International Corporationa | 405,460 | |||
| 5,100 | EOG Resources, Inc. | 496,230 | |||
| 3,000 | Exxon Mobil Corporation | 204,570 | |||
| 4,700 | Murphy Oil Corporation | 254,740 | |||
| 19,500 | Petroleo Brasileiro SA ADR | 826,605 | |||
| 15,500 | Schlumberger, Ltd. | 1,008,895 | |||
| 2,300 | Smith International, Inc. | 62,491 | |||
| 17,300 | Suncor Energy, Inc. | 610,863 | |||
Total Energy | 3,869,854 | ||||
| Financials (13.7%) | |||||
| 13,600 | American Express Company | 551,072 | |||
| 9,200 | Bank of America Corporation | 138,552 | |||
| 900 | BlackRock, Inc. | 208,980 | |||
| 29,200 | Charles Schwab Corporation | 549,544 | |||
| 16,800 | Cielo SA | 148,025 | |||
| 900 | CME Group, Inc. | 302,355 | |||
| 5,000 | Franklin Resources, Inc. | 526,750 | |||
| 3,800 | Goldman Sachs Group, Inc. | 641,592 | |||
| 4,100 | IntercontinentalExchange, Inc.a | 460,430 | |||
| 26,100 | Invesco, Ltd. | 613,089 | |||
| 28,900 | J.P. Morgan Chase & Company | 1,204,263 | |||
| 18,300 | Morgan Stanley | 541,680 | |||
| 5,800 | Northern Trust Corporation | 303,920 | |||
| 5,800 | PNC Financial Services Group, Inc. | 306,182 | |||
| 3,800 | State Street Corporation | 165,452 | |||
| 11,100 | Sun Life Financial, Inc. | 304,802 | |||
| 18,100 | TD Ameritrade Holding Corporationa | 350,778 | |||
| 26,800 | U.S. Bancorp | 603,268 | |||
| 17,100 | Wells Fargo & Company | 461,529 | |||
Total Financials | 8,382,263 | ||||
| Health Care (13.1%) | |||||
| 12,800 | Allergan, Inc. | 806,528 | |||
| 5,400 | Celgene Corporationa | 300,672 | |||
| 800 | Covidien, Ltd. | 38,312 | |||
| 14,300 | Express Scripts, Inc.a | 1,236,235 | |||
| 23,900 | Gilead Sciences, Inc.a | 1,034,392 | |||
| 3,300 | Illumina, Inc.a | 101,145 | |||
| 2,000 | Intuitive Surgical, Inc.a | 606,640 | |||
| 8,800 | McKesson Corporation | 550,000 | |||
| 34,200 | Medco Health Solutions, Inc.a | 2,185,722 | |||
| 7,700 | Stryker Corporation | 387,849 | |||
| 7,400 | Teva Pharmaceutical Industries, Ltd. ADR | 415,732 | |||
| 5,100 | Vertex Pharmaceuticals, Inc.a | 218,535 | |||
| 3,200 | WellPoint, Inc.a | 186,528 | |||
Total Health Care | 8,068,290 | ||||
| Industrials (8.7%) | |||||
| 5,400 | 3M Company | 446,418 | |||
| 24,700 | Danaher Corporation | 1,857,440 | |||
| 4,300 | Deere & Company | 232,587 | |||
| 11,400 | Expeditors International of Washington, Inc. | 395,922 | |||
| 4,400 | Fastenal Companyb | 183,216 | |||
| 4,600 | FedEx Corporation | 383,870 | |||
| 9,800 | McDermott International, Inc.a | 235,298 | |||
| 10,000 | PACCAR, Inc. | 362,700 | |||
| 5,900 | Precision Castparts Corporation | 651,065 | |||
| 9,700 | Republic Services, Inc. | 274,607 | |||
| 4,100 | Rockwell Automation, Inc. | 192,618 | |||
| 1,900 | Union Pacific Corporation | 121,410 | |||
Total Industrials | 5,337,151 | ||||
| Information Technology (33.8%) | |||||
| 14,800 | Accenture plc | 614,200 | |||
| 18,600 | Apple, Inc.a | 3,921,996 | |||
| 11,400 | Autodesk, Inc.a | 289,674 | |||
| 9,100 | Automatic Data Processing, Inc. | 389,662 | |||
| 1,100 | Baidu.com, Inc. ADRa | 452,353 | |||
| 10,000 | Broadcom Corporationa | 314,500 | |||
| 33,500 | Cisco Systems, Inc.a | 801,990 | |||
| 10,300 | Dolby Laboratories, Inc.a | 491,619 | |||
| 5,750 | Google, Inc.a | 3,564,885 | |||
| 4,700 | Hewlett-Packard Company | 242,097 | |||
| 13,900 | Intel Corporation | 283,560 | |||
| 3,500 | International Business Machines Corporation | 458,150 | |||
| 23,200 | Juniper Networks, Inc.a | 618,744 | |||
| 34,800 | Marvell Technology Group, Ltd.a | 722,100 | |||
| 3,050 | MasterCard, Inc. | 780,739 | |||
| 11,300 | McAfee, Inc.a | 458,441 | |||
| 39,375 | Microsoft Corporation | 1,200,544 | |||
| 26,400 | QUALCOMM, Inc. | 1,221,264 | |||
| 4,500 | Salesforce.com, Inc.a | 331,965 | |||
| 236 | Samsung Electronics Company, Ltd. | 161,832 | |||
| 36,800 | Tencent Holdings, Ltd. | 795,900 | |||
| 35,000 | Toshiba Corporationa | 194,211 | |||
| 21,200 | Visa, Inc. | 1,854,152 | |||
| 28,700 | Western Union Company | 540,995 | |||
Total Information Technology | 20,705,573 | ||||
| Materials (2.9%) | |||||
| 2,800 | Agnico-Eagle Mines, Ltd. | 151,200 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (99.2%) | Value | |||
| Materials (2.9%) - continued | |||||
| 13,684 | BHP Billiton, Ltd. | $ | 523,630 | ||
| 4,300 | Monsanto Company | 351,525 | |||
| 9,600 | Praxair, Inc. | 770,976 | |||
Total Materials | 1,797,331 | ||||
| Telecommunications Services (4.4%) | |||||
| 24,000 | American Tower Corporationa | 1,037,040 | |||
| 36,600 | Crown Castle International Corporationa | 1,428,864 | |||
| 5,200 | Leap Wireless International, Inc.a | 91,260 | |||
| 15,300 | MetroPCS Communications, Inc.a | 116,739 | |||
Total Telecommunications Services | 2,673,903 | ||||
Total Common Stock (cost $44,203,171) | 60,860,746 | ||||
Preferred Stock (0.4%) | |||||
| Financials (0.4%) | |||||
| 16,200 | Bank of America Corporation, Convertiblea | 241,704 | |||
Total Financials | 241,704 | ||||
Total Preferred Stock (cost $243,000) | 241,704 | ||||
Collateral Held for Securities Loaned (0.3%) | |||||
| 196,140 | Thrivent Financial Securities Lending Trust | 196,140 | |||
Total Collateral Held for Securities Loaned (cost $196,140) | 196,140 | ||||
Total Investments (cost $44,642,311) 99.9% | $ | 61,298,590 | |||
Other Assets and Liabilities, Net 0.1% | 39,435 | ||||
Total Net Assets 100.0% | $ | 61,338,025 | |||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 17,289,359 | ||
Gross unrealized depreciation | (943,498 | ) | ||
Net unrealized appreciation (depreciation) | $ | 16,345,861 | ||
Cost for federal income tax purposes | $ | 44,952,729 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Growth Stock Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 8,099,328 | 8,099,328 | — | — | ||||||||
Consumer Staples | 1,927,053 | 1,689,686 | 237,367 | — | ||||||||
Energy | 3,869,854 | 3,869,854 | — | — | ||||||||
Financials | 8,382,263 | 8,382,263 | — | — | ||||||||
Health Care | 8,068,290 | 8,068,290 | — | — | ||||||||
Industrials | 5,337,151 | 5,337,151 | — | — | ||||||||
Information Technology | 20,705,573 | 19,553,630 | 1,151,943 | — | ||||||||
Materials | 1,797,331 | 1,273,701 | 523,630 | — | ||||||||
Telecommunications Services | 2,673,903 | 2,673,903 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 241,704 | 241,704 | — | — | ||||||||
Collateral Held for Securities Loaned | 196,140 | 196,140 | — | — | ||||||||
Total | $ | 61,298,590 | $ | 59,385,650 | $ | 1,912,940 | $ | — | ||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Growth Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Foreign Exchange Contracts | |||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (4,589 | ) | ||
Total Foreign Exchange Contracts | (4,589 | ) | |||
Total | ($4,589 | ) | |||
The following table presents Partner Growth Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||
Foreign Exchange Contracts | $ | 23,594 | <0.1 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Partner Growth Stock Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 1,223,771 | $ | 11,355,982 | $ | 12,579,753 | — | $ | — | $ | 3,970 | ||||||
Thrivent Financial Securities Lending Trust | 779,005 | 13,362,679 | 13,945,544 | 196,140 | 196,140 | 3,655 | |||||||||||
Total Value and Income Earned | 2,002,776 | 196,140 | 7,625 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.2%) | Value | |||
Consumer Discretionary (12.5%) | |||||
| 104,267 | Carnival Corporationa | $ | 3,304,221 | ||
| 323,980 | Comcast Corporation | 5,462,303 | |||
| 171,769 | Fortune Brands, Inc. | 7,420,421 | |||
| 87,751 | Genuine Parts Company | 3,331,028 | |||
| 235,455 | Harman International Industries, Inc. | 8,306,852 | |||
| 191,602 | Home Depot, Inc. | 5,543,046 | |||
| 169,728 | International Game Technology | 3,185,795 | |||
| 123,432 | Jarden Corporation | 3,815,283 | |||
| 357,544 | Macy’s, Inc | 5,992,437 | |||
| 93,950 | Omnicom Group, Inc. | 3,678,143 | |||
| 56,262 | Starwood Hotels & Resorts Worldwide, Inc. | 2,057,501 | |||
| 78,150 | Target Corporation | 3,780,116 | |||
| 94,350 | Tiffany & Company | 4,057,050 | |||
| 125,870 | Time Warner Cable, Inc. | 5,209,759 | |||
| 525,039 | Time Warner, Inc. | 15,299,636 | |||
| 189,850 | Toll Brothers, Inc.a | 3,571,079 | |||
| 202,125 | Walt Disney Company | 6,518,531 | |||
| 95,788 | Winnebago Industries, Inc.a,b | 1,168,614 | |||
Total Consumer Discretionary | 91,701,815 | ||||
Consumer Staples (7.2%) | |||||
| 280,244 | Altria Group, Inc. | 5,501,190 | |||
| 155,736 | CVS Caremark Corporation | 5,016,257 | |||
| 194,892 | General Mills, Inc. | 13,800,302 | |||
| 118,639 | Kimberly-Clark Corporation | 7,558,491 | |||
| 133,850 | Kraft Foods, Inc. | 3,638,043 | |||
| 144,629 | Philip Morris International, Inc. | 6,969,671 | |||
| 125,890 | SYSCO Corporation | 3,517,367 | |||
| 112,830 | Unilever NV ADR | 3,647,794 | |||
| 65,450 | Wal-Mart Stores, Inc. | 3,498,302 | |||
Total Consumer Staples | 53,147,417 | ||||
Energy (14.5%) | |||||
| 60,937 | Anadarko Petroleum Corporation | 3,803,687 | |||
| 89,968 | Apache Corporation | 9,281,999 | |||
| 223,200 | Baker Hughes, Inc. | 9,035,136 | |||
| 177,775 | Chevron Corporation | 13,686,897 | |||
| 278,292 | ConocoPhillips | 14,212,372 | |||
| 100,117 | Devon Energy Corporation | 7,358,599 | |||
| 67,852 | EOG Resources, Inc. | 6,602,000 | |||
| 147,528 | Exxon Mobil Corporation | 10,059,934 | |||
| 192,775 | Halliburton Company | 5,800,600 | |||
| 545,872 | Nabors Industries, Ltd.a | 11,949,138 | |||
| 80,420 | National Oilwell Varco, Inc. | 3,545,718 | |||
| 64,494 | Total SA ADR | 4,130,196 | |||
| 131,680 | Ultra Petroleum Corporationa | 6,565,565 | |||
Total Energy | 106,031,841 | ||||
Financials (19.0%) | |||||
| 83,485 | ACE, Ltd.a | 4,207,644 | |||
| 220,282 | Allstate Corporation | 6,617,271 | |||
| 276,575 | Ameriprise Financial, Inc. | 10,736,641 | |||
| 460,737 | Bank of America Corporation | 6,938,699 | |||
| 239,670 | Bank of New York Mellon Corporation | 6,703,570 | |||
| 90,620 | Capital One Financial Corporation | 3,474,371 | |||
| 192,130 | Charles Schwab Corporation | 3,615,887 | |||
| 124,682 | Comerica, Inc. | 3,686,847 | |||
| 26,947 | Everest Re Group, Ltd. | 2,308,819 | |||
| 345,721 | Fifth Third Bancorp | 3,370,780 | |||
| 37,839 | Goldman Sachs Group, Inc. | 6,388,737 | |||
| 122,944 | Hartford Financial Services Group, Inc. | 2,859,677 | |||
| 590,166 | J.P. Morgan Chase & Company | 24,592,217 | |||
| 108,858 | MetLife, Inc. | 3,848,130 | |||
| 300,311 | Morgan Stanley | 8,889,206 | |||
| 98,400 | Principal Financial Group, Inc. | 2,365,536 | |||
| 71,200 | Prudential Financial, Inc. | 3,542,912 | |||
| 129,200 | State Street Corporation | 5,625,368 | |||
| 162,679 | SVB Financial Groupa,b | 6,782,087 | |||
| 221,023 | Travelers Companies, Inc. | 11,020,207 | |||
| 448,325 | Wells Fargo & Company | 12,100,292 | |||
Total Financials | 139,674,898 | ||||
Health Care (11.4%) | |||||
| 110,510 | Cardinal Health, Inc. | 3,562,842 | |||
| 162,428 | Covidien, Ltd. | 7,778,677 | |||
| 78,835 | Hospira, Inc.a | 4,020,585 | |||
| 237,165 | Johnson & Johnson | 15,275,798 | |||
| 181,806 | Medtronic, Inc. | 7,995,828 | |||
| 272,650 | Merck & Company, Inc. | 9,962,631 | |||
| 1,212,551 | Pfizer, Inc. | 22,056,303 | |||
| 422,247 | UnitedHealth Group, Inc. | 12,870,088 | |||
Total Health Care | 83,522,752 | ||||
Industrials (10.7%) | |||||
| 102,625 | 3M Company | 8,484,009 | |||
| 97,700 | Avery Dennison Corporation | 3,565,073 | |||
| 62,387 | Caterpillar, Inc. | 3,555,435 | |||
| 81,277 | CSX Corporation | 3,941,122 | |||
| 108,657 | Eaton Corporation | 6,912,758 | |||
| 107,566 | FedEx Corporation | 8,976,383 | |||
| 106,967 | General Dynamics Corporation | 7,291,940 | |||
| 588,580 | General Electric Company | 8,905,215 | |||
| 171,870 | Honeywell International, Inc. | 6,737,304 | |||
| 134,888 | Ingersoll-Rand plc | 4,820,897 | |||
| 203,260 | Spirit Aerosystems Holdings, Inc.a | 4,036,744 | |||
| 181,350 | Textron, Inc. | 3,411,193 | |||
| 110,924 | United Technologies Corporation | 7,699,235 | |||
Total Industrials | 78,337,308 | ||||
Information Technology (9.8%) | |||||
| 146,587 | Avnet, Inc.a | 4,421,064 | |||
| 212,580 | Hewlett-Packard Company | 10,949,996 | |||
| 131,689 | International Business Machines Corporation | 17,238,090 | |||
| 146,021 | Lam Research Corporationa | 5,725,483 | |||
| 197,240 | Microsoft Corporation | 6,013,848 | |||
| 135,838 | Nokia Oyj ADR | 1,745,518 | |||
| 230,545 | Oracle Corporation | 5,657,574 | |||
| 875,967 | Teradyne, Inc.a | 9,399,126 | |||
| 261,153 | Texas Instruments, Inc. | 6,805,647 | |||
| 155,621 | Tyco Electronics, Ltd. | 3,820,496 | |||
Total Information Technology | 71,776,842 | ||||
Materials (4.1%) | |||||
| 84,993 | Domtar Corporationa | 4,709,462 | |||
| 114,231 | E.I. du Pont de Nemours and Company | 3,846,158 | |||
| 355,095 | International Paper Company | 9,509,444 | |||
| 59,203 | PPG Industries, Inc. | 3,465,743 | |||
| 43,312 | Praxair, Inc. | 3,478,387 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Value Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (97.2%) | Value | ||||
Materials (4.1%) - continued | ||||||
| 221,023 | Sealed Air Corporation | $ | 4,831,563 | |||
Total Materials | 29,840,757 | |||||
Telecommunications Services (3.6%) | ||||||
| 342,591 | AT&T, Inc. | 9,602,826 | ||||
| 353,360 | Verizon Communications, Inc. | 11,706,817 | ||||
| 225,700 | Vodafone Group plc ADR | 5,211,413 | ||||
Total Telecommunications Services | 26,521,056 | |||||
Utilities (4.4%) | ||||||
| 316,020 | American Electric Power Company, Inc. | 10,994,336 | ||||
| 75,627 | Entergy Corporation | 6,189,314 | ||||
| 108,620 | Exelon Corporation | 5,308,259 | ||||
| 133,647 | FirstEnergy Corporation | 6,207,903 | ||||
| 153,354 | Xcel Energy, Inc. | 3,255,705 | ||||
Total Utilities | 31,955,517 | |||||
| Total Common Stock (cost $625,581,913) | 712,510,203 | |||||
Preferred Stock (0.8%) | ||||||
Financials (0.8%) | ||||||
| 384,700 | Bank of America Corporation, Convertiblea | 5,739,724 | ||||
Total Financials | 5,739,724 | |||||
| Total Preferred Stock (cost $5,770,500) | 5,739,724 | |||||
Collateral Held for Securities Loaned (0.3%) | ||||||
| 2,450,287 | Thrivent Financial Securities Lending Trust | 2,450,287 | ||||
| Total Collateral Held for Securities Loaned (cost $2,450,287) | 2,450,287 | |||||
Principal | Short-Term Investments (2.6%)c | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 5,000,000 | 0.020%, 1/27/2010 | 4,999,928 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 5,300,000 | 0.040%, 1/19/2010 | 5,299,894 | ||||
Jupiter Securitization Company, LLC | ||||||
| 3,000,000 | 0.100%, 1/11/2010 | 2,999,917 | ||||
Societe Generale North America, Inc. | ||||||
| 5,887,000 | 0.020%, 1/4/2010 | 5,886,990 | ||||
Total Short-Term Investments (at amortized cost) | 19,186,729 | |||||
Total Investments (cost $652,989,429) 100.9% | $ | 739,886,943 | ||||
Other Assets and Liabilities, Net (0.9%) | (6,867,087 | ) | ||||
Total Net Assets 100.0% | $ | 733,019,856 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 106,585,031 | ||
Gross unrealized depreciation | (24,229,778 | ) | ||
Net unrealized appreciation (depreciation) | $ | 82,355,253 | ||
Cost for federal income tax purposes | $ | 657,531,690 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Value Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Large Cap Value Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 91,701,815 | 91,701,815 | — | — | ||||||||
Consumer Staples | 53,147,417 | 53,147,417 | — | — | ||||||||
Energy | 106,031,841 | 106,031,841 | — | — | ||||||||
Financials | 139,674,898 | 139,674,898 | — | — | ||||||||
Health Care | 83,522,752 | 83,522,752 | — | — | ||||||||
Industrials | 78,337,308 | 78,337,308 | — | — | ||||||||
Information Technology | 71,776,842 | 71,776,842 | — | — | ||||||||
Materials | 29,840,757 | 29,840,757 | — | — | ||||||||
Telecommunications Services | 26,521,056 | 26,521,056 | — | — | ||||||||
Utilities | 31,955,517 | 31,955,517 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 5,739,724 | 5,739,724 | — | — | ||||||||
Collateral Held for Securities Loaned | 2,450,287 | 2,450,287 | — | — | ||||||||
Short-Term Investments | 19,186,729 | — | 19,186,729 | — | ||||||||
Total | $ | 739,886,943 | $ | 720,700,214 | $ | 19,186,729 | $ | — | ||||
Investment 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 fiscal year to date, in Large Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 16,598,217 | $ | 46,171,112 | $ | 62,769,329 | — | $ | — | $ | 26,462 | ||||||
Thrivent Financial Securities Lending Trust | 11,994,350 | 304,372,218 | 313,916,281 | 2,450,287 | 2,450,287 | 124,203 | |||||||||||
Total Value and Income Earned | 28,592,567 | 2,450,287 | 150,665 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (84.5%) | Value | |||
Consumer Discretionary (10.7%) | |||||
| 36,000 | Amazon.com, Inc.a,b | $ | 4,842,720 | ||
| 47,100 | Bed Bath & Beyond, Inc.a | 1,819,473 | |||
| 52,100 | Best Buy Company, Inc. | 2,055,866 | |||
| 82,000 | Brinker International, Inc. | 1,223,440 | |||
| 73,960 | Carnival Corporationa | 2,343,792 | |||
| 119,820 | Comcast Corporation | 2,020,165 | |||
| 341,400 | Ford Motor Companya,b | 3,414,000 | |||
| 67,090 | Fortune Brands, Inc. | 2,898,288 | |||
| 32,990 | Genuine Parts Company | 1,252,300 | |||
| 145,790 | Harman International Industries, Inc. | 5,143,471 | |||
| 72,000 | Home Depot, Inc. | 2,082,960 | |||
| 153,040 | International Game Technology | 2,872,561 | |||
| 46,190 | Jarden Corporation | 1,427,733 | |||
| 51,650 | Kohl’s Corporationa | 2,785,485 | |||
| 48,300 | Limited Brands, Inc. | 929,292 | |||
| 66,750 | Lowe’s Companies, Inc. | 1,561,283 | |||
| 139,320 | Macy’s, Inc | 2,335,003 | |||
| 427,560 | Melco Crown Entertainment, Ltd.a,c | 1,440,877 | |||
| 36,950 | Nordstrom, Inc. | 1,388,581 | |||
| 35,200 | Omnicom Group, Inc. | 1,378,080 | |||
| 55,600 | RadioShack Corporation | 1,084,200 | |||
| 21,050 | Starwood Hotels & Resorts Worldwide, Inc. | 769,799 | |||
| 86,020 | Target Corporation | 4,160,787 | |||
| 35,280 | Tiffany & Company | 1,517,040 | |||
| 46,930 | Time Warner Cable, Inc. | 1,942,433 | |||
| 288,486 | Time Warner, Inc. | 8,406,482 | |||
| 147,300 | Toll Brothers, Inc.a | 2,770,713 | |||
| 37,524 | Winnebago Industries, Inc.a,c | 457,793 | |||
Total Consumer Discretionary | 66,324,617 | ||||
Consumer Staples (5.5%) | |||||
| 120,781 | Altria Group, Inc.b | 2,370,931 | |||
| 60,470 | CVS Caremark Corporation | 1,947,739 | |||
| 73,007 | General Mills, Inc. | 5,169,626 | |||
| 47,840 | Kimberly-Clark Corporation | 3,047,886 | |||
| 49,480 | Kraft Foods, Inc. | 1,344,866 | |||
| 86,900 | PepsiCo, Inc. | 5,283,520 | |||
| 56,311 | Philip Morris International, Inc. | 2,713,627 | |||
| 101,300 | Procter & Gamble Company | 6,141,819 | |||
| 46,540 | SYSCO Corporation | 1,300,328 | |||
| 42,000 | Unilever NV ADR | 1,357,860 | |||
| 60,050 | Walgreen Company | 2,205,036 | |||
| 24,190 | Wal-Mart Stores, Inc. | 1,292,955 | |||
Total Consumer Staples | 34,176,193 | ||||
Energy (10.8%) | |||||
| 36,450 | Alpha Natural Resources, Inc.a | 1,581,201 | |||
| 22,870 | Anadarko Petroleum Corporation | 1,427,545 | |||
| 32,350 | Apache Corporationb | 3,337,549 | |||
| 124,130 | Baker Hughes, Inc.b | 5,024,782 | |||
| 69,370 | Chevron Corporationb | 5,340,796 | |||
| 56,150 | Cobalt International Energy, Inc.a | 777,116 | |||
| 104,170 | ConocoPhillipsb | 5,319,962 | |||
| 75,400 | Devon Energy Corporation | 5,541,900 | |||
| 52,010 | EOG Resources, Inc. | 5,060,573 | |||
| 68,947 | Exxon Mobil Corporation | 4,701,496 | |||
| 78,000 | Halliburton Company | 2,347,020 | |||
| 41,000 | Hess Corporation | 2,480,500 | |||
| 315,920 | Nabors Industries, Ltd.a | 6,915,489 | |||
| 30,000 | National Oilwell Varco, Inc. | 1,322,700 | |||
| 50,050 | Petroleo Brasileiro SA ADR | 2,386,384 | |||
| 69,750 | Schlumberger, Ltd. | 4,540,028 | |||
| 55,700 | Southwestern Energy Companya | 2,684,740 | |||
| 24,989 | Total SA ADR | 1,600,296 | |||
| 49,300 | Ultra Petroleum Corporationa | 2,458,098 | |||
| 111,700 | Valero Energy Corporation | 1,870,975 | |||
Total Energy | 66,719,150 | ||||
Financials (12.0%) | |||||
| 32,610 | ACE, Ltd.a | 1,643,544 | |||
| 82,400 | Allstate Corporation | 2,475,296 | |||
| 102,830 | Ameriprise Financial, Inc.b | 3,991,861 | |||
| 171,910 | Bank of America Corporationb | 2,588,965 | |||
| 89,570 | Bank of New York Mellon Corporationb | 2,505,273 | |||
| 33,690 | Capital One Financial Corporation | 1,291,675 | |||
| 70,610 | Charles Schwab Corporation | 1,328,880 | |||
| 46,860 | Comerica, Inc. | 1,385,650 | |||
| 129,360 | Fifth Third Bancorp | 1,261,260 | |||
| 57,300 | Goldman Sachs Group, Inc. | 9,674,532 | |||
| 45,970 | Hartford Financial Services Group, Inc. | 1,069,262 | |||
| 25,000 | IntercontinentalExchange, Inc.a | 2,807,500 | |||
| 77,150 | Invesco, Ltd. | 1,812,253 | |||
| 318,507 | J.P. Morgan Chase & Company | 13,272,187 | |||
| 29,950 | Lazard, Ltd. | 1,137,201 | |||
| 42,350 | MetLife, Inc. | 1,497,072 | |||
| 112,240 | Morgan Stanley | 3,322,304 | |||
| 39,724 | Principal Financial Group, Inc. | 954,965 | |||
| 26,600 | Prudential Financial, Inc. | 1,323,616 | |||
| 48,040 | State Street Corporation | 2,091,662 | |||
| 60,370 | SVB Financial Groupa,c | 2,516,825 | |||
| 21,700 | T. Rowe Price Group, Inc. | 1,155,525 | |||
| 110,750 | TD Ameritrade Holding Corporationa | 2,146,335 | |||
| 86,226 | Travelers Companies, Inc. | 4,299,228 | |||
| 235,344 | Wells Fargo & Company | 6,351,935 | |||
Total Financials | 73,904,806 | ||||
Health Care (11.3%) | |||||
| 8,882 | Alcon, Inc. | 1,459,757 | |||
| 14,950 | Allergan, Inc. | 942,000 | |||
| 51,552 | Amgen, Inc.a | 2,916,297 | |||
| 54,300 | Baxter International, Inc.b | 3,186,324 | |||
| 41,030 | Cardinal Health, Inc. | 1,322,807 | |||
| 57,350 | Celgene Corporationa | 3,193,248 | |||
| 160,490 | Covidien, Ltd. | 7,685,866 | |||
| 79,790 | Gilead Sciences, Inc.a | 3,453,311 | |||
| 29,530 | Hospira, Inc.a | 1,506,030 | |||
| 116,000 | Johnson & Johnson | 7,471,560 | |||
| 56,432 | Medco Health Solutions, Inc.a | 3,606,569 | |||
| 67,590 | Medtronic, Inc. | 2,972,608 | |||
| 100,950 | Merck & Company, Inc. | 3,688,713 | |||
| 706,475 | Pfizer, Inc. | 12,850,780 | |||
| 104,200 | Thermo Fisher Scientific, Inc.a | 4,969,298 | |||
| 36,068 | United Therapeutics Corporationa | 1,898,980 | |||
| 223,230 | UnitedHealth Group, Inc. | 6,804,051 | |||
Total Health Care | 69,928,199 | ||||
Industrials (8.8%) | |||||
| 39,950 | 3M Company | 3,302,666 | |||
| 74,600 | AMR Corporationa | 576,658 | |||
| 36,610 | Avery Dennison Corporation | 1,335,899 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (84.5%) | Value | |||
Industrials (8.8%) - continued | |||||
| 55,110 | Caterpillar, Inc. | $ | 3,140,719 | ||
| 30,670 | CSX Corporation | 1,487,188 | |||
| 40,232 | Danaher Corporation | 3,025,446 | |||
| 106,449 | Delta Air Lines, Inc.a,b | 1,211,390 | |||
| 49,600 | Dover Corporation | 2,063,856 | |||
| 144,550 | Dryships, Inc.a,c | 841,281 | |||
| 44,030 | Eaton Corporation | 2,801,189 | |||
| 68,950 | FedEx Corporation | 5,753,877 | |||
| 57,850 | Foster Wheeler AGa | 1,703,104 | |||
| 40,030 | General Dynamics Corporation | 2,728,845 | |||
| 328,660 | General Electric Company | 4,972,626 | |||
| 105,920 | Honeywell International, Inc. | 4,152,064 | |||
| 52,650 | Ingersoll-Rand plc | 1,881,711 | |||
| 19,550 | Parker Hannifin Corporation | 1,053,354 | |||
| 75,490 | Spirit Aerosystems Holdings, Inc.a | 1,499,231 | |||
| 67,350 | Textron, Inc. | 1,266,854 | |||
| 52,042 | Union Pacific Corporation | 3,325,484 | |||
| 85,890 | United Technologies Corporation | 5,961,625 | |||
Total Industrials | 54,085,067 | ||||
Information Technology (18.0%) | |||||
| 159,900 | Activision Blizzard, Inc.a | 1,776,489 | |||
| 186 | AOL, Inc.a | 4,330 | |||
| 56,974 | Apple, Inc.a,b | 12,013,538 | |||
| 55,620 | Avnet, Inc.a | 1,677,499 | |||
| 246,230 | Cisco Systems, Inc.a,b | 5,894,746 | |||
| 56,500 | Dell, Inc.a | 811,340 | |||
| 56,600 | eBay, Inc.a | 1,332,364 | |||
| 18,421 | Google, Inc.a | 11,420,652 | |||
| 172,190 | Hewlett-Packard Company | 8,869,507 | |||
| 303,750 | Intel Corporation | 6,196,500 | |||
| 51,418 | International Business Machines Corporation | 6,730,616 | |||
| 59,480 | Lam Research Corporationa | 2,332,211 | |||
| 13,100 | MasterCard, Inc. | 3,353,338 | |||
| 86,100 | Maxim Integrated Products, Inc. | 1,747,830 | |||
| 27,100 | McAfee, Inc.a | 1,099,447 | |||
| 73,600 | Micron Technology, Inc.a | 777,216 | |||
| 278,250 | Microsoft Corporation | 8,483,842 | |||
| 90,800 | Motorola, Inc.a | 704,608 | |||
| 61,650 | Novellus Systems, Inc.a | 1,438,911 | |||
| 188,150 | ON Semiconductor Corporationa | 1,657,601 | |||
| 276,518 | Oracle Corporation | 6,785,752 | |||
| 169,214 | QUALCOMM, Inc. | 7,827,840 | |||
| 19,550 | Research in Motion, Ltd.a | 1,320,407 | |||
| 65,700 | STEC, Inc.a,c | 1,073,538 | |||
| 332,440 | Teradyne, Inc.a | 3,567,081 | |||
| 105,300 | Texas Instruments, Inc. | 2,744,118 | |||
| 118,580 | Tyco Electronics, Ltd. | 2,911,139 | |||
| 30,500 | Visa, Inc. | 2,667,530 | |||
| 57,817 | Xilinx, Inc. | 1,448,894 | |||
| 155,450 | Yahoo!, Inc.a | 2,608,451 | |||
Total Information Technology | 111,277,335 | ||||
Materials (3.2%) | |||||
| 31,550 | Air Products and Chemicals, Inc. | 2,557,443 | |||
| 31,800 | Domtar Corporationa | 1,762,038 | |||
| 44,357 | E.I. du Pont de Nemours and Company | 1,493,500 | |||
| 29,900 | Freeport-McMoRan Copper & Gold, Inc.a | 2,400,671 | |||
| 132,920 | International Paper Company | 3,559,598 | |||
| 41,700 | Newmont Mining Corporation | 1,972,827 | |||
| 7,700 | Potash Corporation of Saskatchewan, Inc. | 835,450 | |||
| 22,120 | PPG Industries, Inc. | 1,294,905 | |||
| 16,039 | Praxair, Inc. | 1,288,092 | |||
| 86,780 | Sealed Air Corporation | 1,897,011 | |||
| 54,203 | Steel Dynamics, Inc. | 960,477 | |||
Total Materials | 20,022,012 | ||||
Telecommunications Services (3.0%) | |||||
| 327,200 | Alcatel-Lucent ADRa | 1,086,304 | |||
| 94,200 | American Tower Corporationa | 4,070,382 | |||
| 128,040 | AT&T, Inc.b | 3,588,961 | |||
| 45,450 | NII Holdings, Inc.a | 1,526,211 | |||
| 390,850 | Qwest Communications International, Inc. | 1,645,479 | |||
| 130,820 | Verizon Communications, Inc. | 4,334,067 | |||
| 83,560 | Vodafone Group plc ADR | 1,929,400 | |||
Total Telecommunications Services | 18,180,804 | ||||
Utilities (1.2%) | |||||
| 115,920 | American Electric Power Company, Inc.b | 4,032,857 | |||
| 40,210 | Exelon Corporation | 1,965,063 | |||
| 60,250 | Xcel Energy, Inc. | 1,279,107 | |||
Total Utilities | 7,277,027 | ||||
| Total Common Stock (cost $446,696,498) | 521,895,210 | ||||
Preferred Stock (0.8%) | |||||
Financials (0.8%) | |||||
| 316,350 | Bank of America Corporation, Convertiblea,b | 4,719,942 | |||
Total Financials | 4,719,942 | ||||
| Total Preferred Stock (cost $4,751,971) | 4,719,942 | ||||
Collateral Held for Securities Loaned (1.0%) | |||||
| 5,875,573 | Thrivent Financial Securities Lending Trust | 5,875,573 | |||
| Total Collateral Held for Securities Loaned (cost $5,875,573) | 5,875,573 | ||||
| Principal Amount | Short-Term Investments (15.3%)d | ||||
Chariot Funding, LLC | |||||
| 10,305,000 | 0.050%, 1/4/2010 | 10,304,957 | |||
Federal Home Loan Bank Discount Notes | |||||
| 24,000,000 | 0.030%, 1/15/2010 | 23,999,720 | |||
| 8,650,000 | 0.200%, 3/17/2010e | 8,646,456 | |||
Federal Home Loan Mortgage Corporation Discount Notes | |||||
| 5,120,000 | 0.025%, 1/25/2010 | 5,119,915 | |||
| 5,000,000 | 0.060%, 2/19/2010 | 4,999,592 | |||
| 20,000,000 | 0.070%, 3/8/2010 | 19,997,433 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Short-Term Investments (15.3%)d | Value | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 10,420,000 | 0.050%, 2/4/2010 | $ | 10,419,508 | |||
| 5,000,000 | 0.075%, 3/1/2010 | 4,999,385 | ||||
Societe Generale North America, Inc. | ||||||
| 6,066,000 | 0.020%, 1/4/2010 | 6,065,990 | ||||
Total Short-Term | ||||||
Investments (at amortized cost) | 94,552,956 | |||||
Total Investments (cost $551,876,998) 101.6% | $ | 627,043,681 | ||||
Other Assets and Liabilities, Net (1.6%) | (9,771,139 | ) | ||||
Total Net Assets 100.0% | $ | 617,272,542 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security was earmarked to cover written options. |
| c | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| d | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| e | At December 31, 2009, $7,896,764 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 77,541,269 | ||
Gross unrealized depreciation | (12,900,006 | ) | ||
Net unrealized appreciation (depreciation) | $ | 64,641,263 | ||
Cost for federal income tax purposes | $ | 562,402,418 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Large Cap Stock Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 66,324,617 | 66,324,617 | — | — | ||||||||
Consumer Staples | 34,176,193 | 34,176,193 | — | — | ||||||||
Energy | 66,719,150 | 66,719,150 | — | — | ||||||||
Financials | 73,904,806 | 73,904,806 | — | — | ||||||||
Health Care | 69,928,199 | 69,928,199 | — | — | ||||||||
Industrials | 54,085,067 | 54,085,067 | — | — | ||||||||
Information Technology | 111,277,335 | 111,277,335 | — | — | ||||||||
Materials | 20,022,012 | 20,022,012 | — | — | ||||||||
Telecommunications Services | 18,180,804 | 18,180,804 | — | — | ||||||||
Utilities | 7,277,027 | 7,277,027 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 4,719,942 | 4,719,942 | — | — | ||||||||
Collateral Held for Securities Loaned | 5,875,573 | 5,875,573 | — | — | ||||||||
Short-Term Investments | 94,552,956 | — | 94,552,956 | — | ||||||||
Total | $ | 627,043,681 | $ | 532,490,725 | $ | 94,552,956 | $ | — | ||||
Other Financial Instruments* | $ | 1,044,186 | $ | 1,044,186 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||
S&P 500 Index Futures | 294 | March 2010 | $ | 80,668,595 | $ | 81,636,450 | $ | 967,855 | ||||||||
Total Futures Contracts | $ | 967,855 | ||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||
Delta Air Lines, Inc. | 145 | $ | 11.00 | January 2010 | ($10,150 | ) | ($1,661 | ) | ||||||||
S&P 500 Index Mini-Futures | 250 | 1,130.00 | January 2010 | (90,000 | ) | 3,373 | ||||||||||
S&P 500 Index Mini-Futures | 250 | 1,140.00 | January 2010 | (55,000 | ) | 31,813 | ||||||||||
S&P 500 Index Mini-Futures | 250 | 1,135.00 | January 2010 | (71,250 | ) | 34,312 | ||||||||||
S&P 500 Index Mini-Futures | 250 | 1,125.00 | January 2010 | (112,500 | ) | 8,494 | ||||||||||
Total Call Options Written | ($338,900 | ) | $76,331 | |||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 967,855 | |||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 77,992 | |||
Total Equity Contracts | 1,045,847 | ||||
Total Asset Derivatives | $ | 1,045,847 | |||
Liability Derivatives | |||||
Equity Contracts | |||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 1,661 | |||
Total Equity Contracts | 1,661 | ||||
Total Liability Derivatives | $ | 1,661 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | (744,233 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 16,092,527 | ||||
Total Equity Contracts | 15,348,294 | |||||
Total | $ | 15,348,294 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 899,540 | |||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 76,331 | |||
Total Equity Contracts | 975,871 | ||||
Total | $ | 975,871 | |||
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||
Equity Contracts | $ | 46,811,490 | 9.0 | % | 440 | |||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Large Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 23,020,086 | $ | 174,694,092 | $ | 197,714,178 | — | $ | — | $ | 61,692 | ||||||
Thrivent Financial Securities Lending Trust | 9,071,777 | 113,817,712 | 117,013,916 | 5,875,573 | 5,875,573 | 72,268 | |||||||||||
Total Value and Income Earned | 32,091,863 | 5,875,573 | 133,960 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (98.8%) | Value | |||
| Consumer Discretionary (9.6%) | |||||
| 3,000 | Abercrombie & Fitch Company | $ | 104,550 | ||
| 11,300 | Amazon.com, Inc.a | 1,520,076 | |||
| 4,400 | Apollo Group, Inc.a | 266,552 | |||
| 3,100 | AutoNation, Inc.a,b | 59,365 | |||
| 1,100 | AutoZone, Inc.a | 173,877 | |||
| 8,900 | Bed Bath & Beyond, Inc.a | 343,807 | |||
| 11,525 | Best Buy Company, Inc. | 454,776 | |||
| 2,800 | Big Lots, Inc.a | 81,144 | |||
| 2,100 | Black & Decker Corporation | 136,143 | |||
| 14,800 | Carnival Corporationa | 469,012 | |||
| 22,672 | CBS Corporation | 318,542 | |||
| 10,800 | Coach, Inc. | 394,524 | |||
| 95,715 | Comcast Corporation | 1,613,755 | |||
| 9,200 | D.R. Horton, Inc. | 100,004 | |||
| 4,750 | Darden Restaurants, Inc. | 166,582 | |||
| 2,100 | DeVry, Inc. | 119,133 | |||
| 32,200 | DIRECTVa | 1,073,870 | |||
| 8,400 | Eastman Kodak Companya | 35,448 | |||
| 7,100 | Expedia, Inc.a | 182,541 | |||
| 4,600 | Family Dollar Stores, Inc. | 128,018 | |||
| 111,111 | Ford Motor Companya | 1,111,110 | |||
| 5,100 | Fortune Brands, Inc. | 220,320 | |||
| 5,500 | GameStop Corporationa | 120,670 | |||
| 7,900 | Gannett Company, Inc. | 117,315 | |||
| 15,862 | Gap, Inc. | 332,309 | |||
| 5,300 | Genuine Parts Company | 201,188 | |||
| 8,100 | Goodyear Tire & Rubber Companya | 114,210 | |||
| 11,100 | H&R Block, Inc. | 251,082 | |||
| 7,900 | Harley-Davidson, Inc. | 199,080 | |||
| 2,400 | Harman International Industries, Inc. | 84,672 | |||
| 4,250 | Hasbro, Inc. | 136,255 | |||
| 57,100 | Home Depot, Inc. | 1,651,903 | |||
| 10,000 | International Game Technology | 187,700 | |||
| 15,667 | Interpublic Group of Companies, Inc.a | 115,622 | |||
| 8,000 | J.C. Penney Company, Inc. | 212,880 | |||
| 22,500 | Johnson Controls, Inc. | 612,900 | |||
| 10,400 | Kohl’s Corporationa | 560,872 | |||
| 4,900 | Leggett & Platt, Inc. | 99,960 | |||
| 5,400 | Lennar Corporation | 68,958 | |||
| 8,904 | Limited Brands, Inc. | 171,313 | |||
| 49,400 | Lowe’s Companies, Inc. | 1,155,466 | |||
| 14,068 | Macy’s, Inc | 235,780 | |||
| 8,606 | Marriott International, Inc.b | 234,513 | |||
| 11,950 | Mattel, Inc. | 238,761 | |||
| 36,400 | McDonald’s Corporation | 2,272,816 | |||
| 10,600 | McGraw-Hill Companies, Inc. | 355,206 | |||
| 1,300 | Meredith Corporation | 40,105 | |||
| 3,700 | New York Times Companya | 45,732 | |||
| 9,273 | Newell Rubbermaid, Inc. | 139,188 | |||
| 75,200 | News Corporation | 1,029,488 | |||
| 13,200 | NIKE, Inc. | 872,124 | |||
| 5,600 | Nordstrom, Inc. | 210,448 | |||
| 9,100 | Office Depot, Inc.a | 58,695 | |||
| 10,400 | Omnicom Group, Inc. | 407,160 | |||
| 4,700 | O’Reilly Automotive, Inc.a | 179,164 | |||
| 2,000 | Polo Ralph Lauren Corporation | 161,960 | |||
| 1,500 | Priceline.com, Inc.a | 327,750 | |||
| 10,292 | Pulte Homes, Inc.a | 102,920 | |||
| 4,200 | RadioShack Corporation | 81,900 | |||
| 4,200 | Ross Stores, Inc. | 179,382 | |||
| 3,100 | Scripps Networks Interactive | 128,650 | |||
| 1,732 | Sears Holdings Corporationa,b | 144,535 | |||
| 3,200 | Sherwin-Williams Company | 197,280 | |||
| 2,000 | Snap-On, Inc. | 84,520 | |||
| 2,700 | Stanley Worksb | 139,077 | |||
| 24,275 | Staples, Inc. | 596,922 | |||
| 25,100 | Starbucks Corporationa | 578,806 | |||
| 6,300 | Starwood Hotels & Resorts Worldwide, Inc. | 230,391 | |||
| 25,400 | Target Corporation | 1,228,598 | |||
| 4,200 | Tiffany & Company | 180,600 | |||
| 11,858 | Time Warner Cable, Inc. | 490,803 | |||
| 39,250 | Time Warner, Inc. | 1,143,745 | |||
| 14,000 | TJX Companies, Inc. | 511,700 | |||
| 2,900 | VF Corporation | 212,396 | |||
| 20,472 | Viacom, Inc.a | 608,633 | |||
| 64,747 | Walt Disney Company | 2,088,091 | |||
| 170 | Washington Post Company | 74,732 | |||
| 2,557 | Whirlpool Corporation | 206,248 | |||
| 6,072 | Wyndham Worldwide Corporation | 122,472 | |||
| 2,400 | Wynn Resorts, Ltd.b | 139,752 | |||
| 15,780 | Yum! Brands, Inc. | 551,827 | |||
Total Consumer Discretionary | 32,300,374 | ||||
| Consumer Staples (11.2%) | |||||
| 69,500 | Altria Group, Inc. | 1,364,285 | |||
| 21,568 | Archer-Daniels-Midland Company | 675,294 | |||
| 14,300 | Avon Products, Inc. | 450,450 | |||
| 3,625 | Brown-Forman Corporation | 194,191 | |||
| 6,400 | Campbell Soup Company | 216,320 | |||
| 4,800 | Clorox Company | 292,800 | |||
| 78,000 | Coca-Cola Company | 4,446,000 | |||
| 10,500 | Coca-Cola Enterprises, Inc. | 222,600 | |||
| 16,800 | Colgate-Palmolive Company | 1,380,120 | |||
| 14,700 | ConAgra Foods, Inc. | 338,835 | |||
| 6,500 | Constellation Brands, Inc.a | 103,545 | |||
| 14,700 | Costco Wholesale Corporation | 869,799 | |||
| 47,544 | CVS Caremark Corporation | 1,531,392 | |||
| 5,900 | Dean Foods Companya | 106,436 | |||
| 8,500 | Dr. Pepper Snapple Group, Inc. | 240,550 | |||
| 4,000 | Estee Lauder Companies, Inc. | 193,440 | |||
| 11,000 | General Mills, Inc. | 778,910 | |||
| 10,600 | H.J. Heinz Company | 453,256 | |||
| 5,600 | Hershey Company | 200,424 | |||
| 2,300 | Hormel Foods Corporation | 88,435 | |||
| 3,951 | J.M. Smucker Company | 243,974 | |||
| 8,600 | Kellogg Company | 457,520 | |||
| 13,992 | Kimberly-Clark Corporation | 891,430 | |||
| 49,652 | Kraft Foods, Inc. | 1,349,542 | |||
| 21,600 | Kroger Company | 443,448 | |||
| 5,400 | Lorillard, Inc. | 433,242 | |||
| 4,400 | McCormick & Company, Inc. | 158,972 | |||
| 6,928 | Mead Johnson Nutrition Company | 302,754 | |||
| 5,300 | Molson Coors Brewing Company | 239,348 | |||
| 4,800 | Pepsi Bottling Group, Inc. | 180,000 | |||
| 52,570 | PepsiCo, Inc. | 3,196,256 | |||
| 64,100 | Philip Morris International, Inc. | 3,088,979 | |||
| 98,338 | Procter & Gamble Company | 5,962,233 | |||
| 5,600 | Reynolds American, Inc. | 296,632 | |||
| 13,500 | Safeway, Inc. | 287,415 | |||
| 22,800 | Sara Lee Corporation | 277,704 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.8%) | Value | |||
| Consumer Staples (11.2%) - continued | |||||
| 6,881 | SUPERVALU, Inc. | $ | 87,458 | ||
| 19,700 | SYSCO Corporation | 550,418 | |||
| 9,900 | Tyson Foods, Inc. | 121,473 | |||
| 33,200 | Walgreen Company | 1,219,104 | |||
| 71,800 | Wal-Mart Stores, Inc. | 3,837,710 | |||
| 4,800 | Whole Foods Market, Inc.a,b | 131,760 | |||
Total Consumer Staples | 37,904,454 | ||||
| Energy (11.3%) | |||||
| 16,572 | Anadarko Petroleum Corporation | 1,034,424 | |||
| 11,320 | Apache Corporation | 1,167,884 | |||
| 10,500 | Baker Hughes, Inc. | 425,040 | |||
| 9,700 | BJ Services Company | 180,420 | |||
| 3,400 | Cabot Oil & Gas Corporation | 148,206 | |||
| 8,300 | Cameron International Corporationa | 346,940 | |||
| 21,800 | Chesapeake Energy Corporation | 564,184 | |||
| 67,496 | Chevron Corporation | 5,196,517 | |||
| 49,849 | ConocoPhillips | 2,545,788 | |||
| 6,100 | CONSOL Energy, Inc. | 303,780 | |||
| 8,200 | Denbury Resources, Inc.a,b | 121,360 | |||
| 15,000 | Devon Energy Corporation | 1,102,500 | |||
| 2,400 | Diamond Offshore Drilling, Inc.b | 236,208 | |||
| 23,018 | El Paso Corporation | 226,267 | |||
| 8,500 | EOG Resources, Inc. | 827,050 | |||
| 159,608 | Exxon Mobil Corporation | 10,883,670 | |||
| 4,100 | FMC Technologies, Inc.a | 237,144 | |||
| 30,400 | Halliburton Company | 914,736 | |||
| 9,800 | Hess Corporation | 592,900 | |||
| 23,768 | Marathon Oil Corporation | 742,037 | |||
| 2,900 | Massey Energy Company | 121,829 | |||
| 6,500 | Murphy Oil Corporation | 352,300 | |||
| 9,400 | Nabors Industries, Ltd.a | 205,766 | |||
| 14,100 | National Oilwell Varco, Inc. | 621,669 | |||
| 5,900 | Noble Energy, Inc. | 420,198 | |||
| 27,300 | Occidental Petroleum Corporation | 2,220,855 | |||
| 9,100 | Peabody Energy Corporation | 411,411 | |||
| 3,900 | Pioneer Natural Resources Company | 187,863 | |||
| 5,400 | Range Resources Corporation | 269,190 | |||
| 3,800 | Rowan Companies, Inc.a | 86,032 | |||
| 40,500 | Schlumberger, Ltd. | 2,636,145 | |||
| 8,400 | Smith International, Inc. | 228,228 | |||
| 11,700 | Southwestern Energy Companya | 563,940 | |||
| 21,404 | Spectra Energy Corporation | 438,996 | |||
| 3,900 | Sunoco, Inc. | 101,790 | |||
| 4,500 | Tesoro Corporation | 60,975 | |||
| 18,900 | Valero Energy Corporation | 316,575 | |||
| 19,500 | Williams Companies, Inc. | 411,060 | |||
| 19,550 | XTO Energy, Inc. | 909,662 | |||
Total Energy | 38,361,539 | ||||
| Financials (14.2%) | |||||
| 15,800 | AFLAC, Inc. | 730,750 | |||
| 17,982 | Allstate Corporation | 540,179 | |||
| 40,100 | American Express Company | 1,624,852 | |||
| 4,567 | American International Group, Inc.a,b | 136,919 | |||
| 8,500 | Ameriprise Financial, Inc. | 329,970 | |||
| 9,225 | Aon Corporation | 353,686 | |||
| 3,836 | Apartment Investment & Management Company | 61,069 | |||
| 4,000 | Assurant, Inc. | 117,920 | |||
| 2,701 | AvalonBay Communities, Inc. | 221,779 | |||
| 334,210 | Bank of America Corporation | 5,033,203 | |||
| 40,552 | Bank of New York Mellon Corporation | 1,134,239 | |||
| 23,200 | BB&T Corporation | 588,584 | |||
| 4,600 | Boston Properties, Inc. | 308,522 | |||
| 15,173 | Capital One Financial Corporation | 581,733 | |||
| 9,000 | CB Richard Ellis Group, Inc.a | 122,130 | |||
| 32,125 | Charles Schwab Corporation | 604,593 | |||
| 11,500 | Chubb Corporation | 565,570 | |||
| 5,338 | Cincinnati Financial Corporation | 140,069 | |||
| 655,339 | Citigroup, Inc. | 2,169,172 | |||
| 2,300 | CME Group, Inc. | 772,685 | |||
| 5,150 | Comerica, Inc. | 152,286 | |||
| 18,125 | Discover Financial Services | 266,619 | |||
| 50,600 | E*TRADE Financial Corporationa | 88,550 | |||
| 9,300 | Equity Residential REIT | 314,154 | |||
| 2,900 | Federated Investors, Inc. | 79,750 | |||
| 26,694 | Fifth Third Bancorp | 260,267 | |||
| 7,350 | First Horizon National Corporationa | 98,490 | |||
| 5,100 | Franklin Resources, Inc. | 537,285 | |||
| 16,400 | Genworth Financial, Inc.a | 186,140 | |||
| 17,400 | Goldman Sachs Group, Inc. | 2,937,816 | |||
| 12,900 | Hartford Financial Services Group, Inc. | 300,054 | |||
| 9,900 | Health Care Property Investors, Inc. | 302,346 | |||
| 4,200 | Health Care REIT, Inc. | 186,144 | |||
| 20,841 | Host Hotels & Resorts, Inc.a | 243,214 | |||
| 16,000 | Hudson City Bancorp, Inc. | 219,680 | |||
| 23,571 | Huntington Bancshares, Inc. | 86,034 | |||
| 2,500 | IntercontinentalExchange, Inc.a | 280,750 | |||
| 14,400 | Invesco, Ltd. | 338,256 | |||
| 132,648 | J.P. Morgan Chase & Company | 5,527,442 | |||
| 5,900 | Janus Capital Group, Inc. | 79,355 | |||
| 29,100 | KeyCorp | 161,505 | |||
| 13,400 | Kimco Realty Corporationb | 181,302 | |||
| 5,400 | Legg Mason, Inc. | 162,864 | |||
| 6,300 | Leucadia National Corporationa | 149,877 | |||
| 10,194 | Lincoln National Corporation | 253,627 | |||
| 12,200 | Loews Corporation | 443,470 | |||
| 2,700 | M&T Bank Corporationb | 180,603 | |||
| 17,500 | Marsh & McLennan Companies, Inc. | 386,400 | |||
| 17,400 | Marshall & Ilsley Corporation | 94,830 | |||
| 27,632 | MetLife, Inc. | 976,791 | |||
| 6,600 | Moody’s Corporation | 176,880 | |||
| 45,750 | Morgan Stanley | 1,354,200 | |||
| 4,900 | Nasdaq OMX Group, Inc.a | 97,118 | |||
| 8,200 | Northern Trust Corporation | 429,680 | |||
| 8,700 | NYSE Euronext | 220,110 | |||
| 11,300 | People’s United Financial, Inc. | 188,710 | |||
| 5,500 | Plum Creek Timber Company, Inc.b | 207,680 | |||
| 15,614 | PNC Financial Services Group, Inc. | 824,263 | |||
| 10,800 | Principal Financial Group, Inc. | 259,632 | |||
| 22,200 | Progressive Corporationa | 399,378 | |||
| 15,900 | ProLogis | 217,671 | |||
| 15,700 | Prudential Financial, Inc. | 781,232 | |||
| 4,600 | Public Storage, Inc. | 374,670 | |||
| 39,677 | Regions Financial Corporation | 209,891 | |||
| 9,744 | Simon Property Group, Inc. | 777,571 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Shares | Common Stock (98.8%) | Value | |||
| Financials (14.2%) - continued | |||||
| 15,900 | SLM Corporationa | $ | 179,193 | ||
| 16,700 | State Street Corporation | 727,118 | |||
| 16,800 | SunTrust Banks, Inc. | 340,872 | |||
| 8,668 | T. Rowe Price Group, Inc. | 461,571 | |||
| 2,800 | Torchmark Corporation | 123,060 | |||
| 18,481 | Travelers Companies, Inc. | 921,463 | |||
| 64,285 | U.S. Bancorp | 1,447,055 | |||
| 10,924 | Unum Group | 213,236 | |||
| 5,300 | Ventas, Inc. | 231,822 | |||
| 5,297 | Vornado Realty Trustb | 370,472 | |||
| 172,040 | Wells Fargo & Company | 4,643,360 | |||
| 11,600 | XL Capital, Ltd. | 212,628 | |||
| 4,600 | Zions Bancorporationb | 59,018 | |||
Total Financials | 48,063,079 | ||||
| Health Care (12.5%) | |||||
| 52,100 | Abbott Laboratories | 2,812,879 | |||
| 14,596 | Aetna, Inc. | 462,693 | |||
| 10,400 | Allergan, Inc. | 655,304 | |||
| 9,300 | AmerisourceBergen Corporation | 242,451 | |||
| 34,040 | Amgen, Inc.a | 1,925,643 | |||
| 20,300 | Baxter International, Inc. | 1,191,204 | |||
| 8,000 | Becton, Dickinson and Company | 630,880 | |||
| 9,800 | Biogen Idec, Inc.a | 524,300 | |||
| 50,150 | Boston Scientific Corporationa | 451,350 | |||
| 58,098 | Bristol-Myers Squibb Company | 1,466,974 | |||
| 3,300 | C.R. Bard, Inc. | 257,070 | |||
| 12,275 | Cardinal Health, Inc. | 395,746 | |||
| 5,787 | CareFusion Corporationa | 144,733 | |||
| 15,500 | Celgene Corporationa | 863,040 | |||
| 2,600 | Cephalon, Inc.a | 162,266 | |||
| 9,200 | CIGNA Corporation | 324,484 | |||
| 4,900 | Coventry Health Care, Inc.a | 119,021 | |||
| 3,500 | DaVita, Inc.a | 205,590 | |||
| 5,000 | Dentsply International, Inc. | 175,850 | |||
| 34,000 | Eli Lilly and Company | 1,214,140 | |||
| 9,300 | Express Scripts, Inc.a | 803,985 | |||
| 10,100 | Forest Laboratories, Inc.a | 324,311 | |||
| 9,000 | Genzyme Corporationa | 441,090 | |||
| 30,300 | Gilead Sciences, Inc.a | 1,311,384 | |||
| 5,380 | Hospira, Inc.a | 274,380 | |||
| 5,800 | Humana, Inc.a | 254,562 | |||
| 6,200 | IMS Health, Inc. | 130,572 | |||
| 1,300 | Intuitive Surgical, Inc.a | 394,316 | |||
| 92,840 | Johnson & Johnson | 5,979,824 | |||
| 7,700 | King Pharmaceuticals, Inc.a | 94,479 | |||
| 3,600 | Laboratory Corporation of America Holdingsa | 269,424 | |||
| 6,043 | Life Technologies Corporationa | 315,626 | |||
| 9,042 | McKesson Corporation | 565,125 | |||
| 16,086 | Medco Health Solutions, Inc.a | 1,028,056 | |||
| 37,300 | Medtronic, Inc. | 1,640,454 | |||
| 102,683 | Merck & Company, Inc. | 3,752,037 | |||
| 1,900 | Millipore Corporationa | 137,465 | |||
| 10,200 | Mylan, Inc.a,b | 187,986 | |||
| 3,200 | Patterson Companies, Inc.a | 89,536 | |||
| 3,900 | PerkinElmer, Inc. | 80,301 | |||
| 270,960 | Pfizer, Inc. | 4,928,762 | |||
| 5,300 | Quest Diagnostics, Inc. | 320,014 | |||
| 11,284 | St. Jude Medical, Inc.a | 415,026 | |||
| 9,500 | Stryker Corporation | 478,515 | |||
| 14,100 | Tenet Healthcare Corporationa | 75,999 | |||
| 13,800 | Thermo Fisher Scientific, Inc.a | 658,122 | |||
| 39,100 | UnitedHealth Group, Inc. | 1,191,768 | |||
| 4,200 | Varian Medical Systems, Inc.a | 196,770 | |||
| 3,200 | Waters Corporationa | 198,272 | |||
| 3,600 | Watson Pharmaceuticals, Inc.a | 142,596 | |||
| 15,500 | WellPoint, Inc.a | 903,495 | |||
| 7,250 | Zimmer Holdings, Inc.a | 428,548 | |||
Total Health Care | 42,238,418 | ||||
| Industrials (10.1%) | |||||
| 23,900 | 3M Company | 1,975,813 | |||
| 3,800 | Avery Dennison Corporation | 138,662 | |||
| 24,460 | Boeing Company | 1,324,020 | |||
| 8,892 | Burlington Northern Santa Fe Corporation | 876,929 | |||
| 5,700 | C.H. Robinson Worldwide, Inc. | 334,761 | |||
| 21,000 | Caterpillar, Inc. | 1,196,790 | |||
| 4,300 | Cintas Corporation | 112,015 | |||
| 13,300 | CSX Corporation | 644,917 | |||
| 6,800 | Cummins, Inc. | 311,848 | |||
| 8,800 | Danaher Corporation | 661,760 | |||
| 14,300 | Deere & Company | 773,487 | |||
| 6,300 | Dover Corporation | 262,143 | |||
| 1,800 | Dun & Bradstreet Corporation | 151,866 | |||
| 5,600 | Eaton Corporation | 356,272 | |||
| 25,400 | Emerson Electric Company | 1,082,040 | |||
| 4,300 | Equifax, Inc. | 132,827 | |||
| 7,200 | Expeditors International of Washington, Inc. | 250,056 | |||
| 4,500 | Fastenal Companyb | 187,380 | |||
| 10,560 | FedEx Corporation | 881,232 | |||
| 1,700 | First Solar, Inc.a,b | 230,180 | |||
| 1,800 | Flowserve Corporation | 170,154 | |||
| 6,100 | Fluor Corporation | 274,744 | |||
| 13,000 | General Dynamics Corporation | 886,210 | |||
| 357,900 | General Electric Company | 5,415,027 | |||
| 4,200 | Goodrich Corporation | 269,850 | |||
| 25,575 | Honeywell International, Inc. | 1,002,540 | |||
| 12,900 | Illinois Tool Works, Inc. | 619,071 | |||
| 5,900 | Iron Mountain, Inc.a | 134,284 | |||
| 6,100 | ITT Corporation | 303,414 | |||
| 4,200 | Jacobs Engineering Group, Inc.a | 157,962 | |||
| 4,000 | L-3 Communications Holdings, Inc. | 347,800 | |||
| 10,800 | Lockheed Martin Corporation | 813,780 | |||
| 11,900 | Masco Corporation | 164,339 | |||
| 4,300 | Monster Worldwide, Inc.a | 74,820 | |||
| 12,400 | Norfolk Southern Corporation | 650,008 | |||
| 10,598 | Northrop Grumman Corporation | 591,898 | |||
| 12,237 | PACCAR, Inc. | 443,836 | |||
| 4,000 | Pall Corporation | 144,800 | |||
| 5,475 | Parker Hannifin Corporation | 294,993 | |||
| 6,900 | Pitney Bowes, Inc. | 157,044 | |||
| 4,800 | Precision Castparts Corporation | 529,680 | |||
| 7,000 | Quanta Services, Inc.a | 145,880 | |||
| 6,800 | R.R. Donnelley & Sons Company | 151,436 | |||
| 13,000 | Raytheon Company | 669,760 | |||
| 10,820 | Republic Services, Inc. | 306,314 | |||
| 4,900 | Robert Half International, Inc. | 130,977 | |||
| 4,800 | Rockwell Automation, Inc. | 225,504 | |||
| 5,300 | Rockwell Collins, Inc. | 293,408 | |||
| 3,100 | Roper Industries, Inc. | 162,347 | |||
| 1,900 | Ryder System, Inc. | 78,223 | |||
| 24,400 | Southwest Airlines Company | 278,892 | |||
| 2,900 | Stericycle, Inc.a | 159,993 | |||
| 9,200 | Textron, Inc. | 173,052 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.8%) | Value | |||
| Industrials (10.1%) - continued | |||||
| 17,000 | Union Pacific Corporation | $ | 1,086,300 | ||
| 33,500 | United Parcel Service, Inc. | 1,921,895 | |||
| 31,600 | United Technologies Corporation | 2,193,356 | |||
| 2,200 | W.W. Grainger, Inc. | 213,026 | |||
| 16,399 | Waste Management, Inc. | 554,450 | |||
Total Industrials | 34,076,065 | ||||
| Information Technology (19.6%) | |||||
| 17,700 | Adobe Systems, Inc.a | 651,006 | |||
| 18,700 | Advanced Micro Devices, Inc.a,b | 181,016 | |||
| 3,200 | Affiliated Computer Services, Inc.a | 191,008 | |||
| 11,615 | Agilent Technologies, Inc.a | 360,878 | |||
| 5,700 | Akamai Technologies, Inc.a | 144,381 | |||
| 9,800 | Altera Corporation | 221,774 | |||
| 5,800 | Amphenol Corporation | 267,844 | |||
| 9,700 | Analog Devices, Inc. | 306,326 | |||
| 30,400 | Apple, Inc.a | 6,410,144 | |||
| 44,100 | Applied Materials, Inc. | 614,754 | |||
| 7,800 | Autodesk, Inc.a | 198,198 | |||
| 16,900 | Automatic Data Processing, Inc. | 723,658 | |||
| 6,100 | BMC Software, Inc.a | 244,610 | |||
| 14,500 | Broadcom Corporationa | 456,025 | |||
| 13,112 | CA, Inc. | 294,496 | |||
| 193,000 | Cisco Systems, Inc.a | 4,620,420 | |||
| 6,100 | Citrix Systems, Inc.a | 253,821 | |||
| 10,000 | Cognizant Technology Solutions Corporationa | 453,000 | |||
| 5,200 | Computer Sciences Corporationa | 299,156 | |||
| 6,900 | Compuware Corporationa | 49,887 | |||
| 52,100 | Corning, Inc. | 1,006,051 | |||
| 57,500 | Dell, Inc.a | 825,700 | |||
| 37,600 | eBay, Inc.a | 885,104 | |||
| 10,800 | Electronic Arts, Inc.a | 191,700 | |||
| 68,186 | EMC Corporationa | 1,191,209 | |||
| 10,900 | Fidelity National Information Services, Inc. | 255,496 | |||
| 5,200 | Fiserv, Inc.a | 252,096 | |||
| 5,100 | FLIR Systems, Inc.a | 166,872 | |||
| 8,200 | Google, Inc.a | 5,083,836 | |||
| 4,500 | Harris Corporation | 213,975 | |||
| 79,786 | Hewlett-Packard Company | 4,109,777 | |||
| 185,400 | Intel Corporation | 3,782,160 | |||
| 44,200 | International Business Machines Corporation | 5,785,780 | |||
| 10,500 | Intuit, Inc.a | 322,455 | |||
| 6,300 | Jabil Circuit, Inc. | 109,431 | |||
| 7,062 | JDS Uniphase Corporationa | 58,262 | |||
| 17,700 | Juniper Networks, Inc.a | 472,059 | |||
| 5,800 | KLA-Tencor Corporation | 209,728 | |||
| 2,600 | Lexmark International, Inc.a | 67,548 | |||
| 7,600 | Linear Technology Corporation | 232,104 | |||
| 20,700 | LSI Corporationa | 124,407 | |||
| 3,300 | MasterCard, Inc. | 844,734 | |||
| 5,300 | McAfee, Inc.a | 215,021 | |||
| 7,300 | MEMC Electronic Materials, Inc.a | 99,426 | |||
| 6,100 | Microchip Technology, Inc.b | 177,266 | |||
| 28,200 | Micron Technology, Inc.a | 297,792 | |||
| 259,800 | Microsoft Corporation | 7,921,302 | |||
| 4,400 | Molex, Inc. | 94,820 | |||
| 76,990 | Motorola, Inc.a | 597,442 | |||
| 7,600 | National Semiconductor Corporation | 116,736 | |||
| 11,400 | NETAPP, Inc.a | 392,046 | |||
| 9,700 | Novell, Inc.a | 40,255 | |||
| 3,200 | Novellus Systems, Inc.a | 74,688 | |||
| 18,550 | NVIDIA Corporationa | 346,514 | |||
| 131,037 | Oracle Corporation | 3,215,648 | |||
| 10,800 | Paychex, Inc. | 330,912 | |||
| 3,600 | QLogic Corporationa | 67,932 | |||
| 56,200 | QUALCOMM, Inc. | 2,599,812 | |||
| 6,400 | Red Hat, Inc.a | 197,760 | |||
| 10,000 | SAIC, Inc.a | 189,400 | |||
| 3,800 | Salesforce.com, Inc.a | 280,326 | |||
| 7,700 | SanDisk Corporationa | 223,223 | |||
| 25,150 | Sun Microsystems, Inc.a | 235,656 | |||
| 27,024 | Symantec Corporationa | 483,459 | |||
| 11,500 | Tellabs, Inc.a | 65,320 | |||
| 5,700 | Teradata Corporationa | 179,151 | |||
| 5,400 | Teradyne, Inc.a | 57,942 | |||
| 42,000 | Texas Instruments, Inc. | 1,094,520 | |||
| 6,400 | Total System Services, Inc. | 110,528 | |||
| 6,500 | VeriSign, Inc.a | 157,560 | |||
| 15,100 | Visa, Inc. | 1,320,646 | |||
| 7,500 | Western Digital Corporationa | 331,125 | |||
| 23,080 | Western Union Company | 435,058 | |||
| 28,300 | Xerox Corporation | 239,418 | |||
| 9,200 | Xilinx, Inc. | 230,552 | |||
| 39,900 | Yahoo!, Inc.a | 669,522 | |||
Total Information Technology | 66,221,664 | ||||
| Materials (3.6%) | |||||
| 7,200 | Air Products and Chemicals, Inc. | 583,632 | |||
| 2,800 | Airgas, Inc. | 133,280 | |||
| 3,700 | AK Steel Holding Corporation | 78,995 | |||
| 32,464 | Alcoa, Inc. | 523,320 | |||
| 3,369 | Allegheny Technologies, Inc. | 150,830 | |||
| 3,200 | Ball Corporation | 165,440 | |||
| 3,700 | Bemis Company, Inc. | 109,705 | |||
| 1,600 | CF Industries Holdings, Inc. | 145,248 | |||
| 4,500 | Cliffs Natural Resources, Inc. | 207,405 | |||
| 38,493 | Dow Chemical Company | 1,063,562 | |||
| 30,411 | E.I. du Pont de Nemours and Company | 1,023,938 | |||
| 2,400 | Eastman Chemical Company | 144,576 | |||
| 8,000 | Ecolab, Inc. | 356,720 | |||
| 2,500 | FMC Corporation | 139,400 | |||
| 14,496 | Freeport-McMoRan Copper & Gold, Inc.a | 1,163,884 | |||
| 2,600 | International Flavors & Fragrances, Inc. | 106,964 | |||
| 14,571 | International Paper Company | 390,211 | |||
| 5,781 | MeadWestvaco Corporation | 165,510 | |||
| 18,378 | Monsanto Company | 1,502,401 | |||
| 16,548 | Newmont Mining Corporation | 782,886 | |||
| 10,600 | Nucor Corporation | 494,490 | |||
| 5,700 | Owens-Illinois, Inc.a | 187,359 | |||
| 4,400 | Pactiv Corporationa | 106,216 | |||
| 5,700 | PPG Industries, Inc. | 333,678 | |||
| 10,400 | Praxair, Inc. | 835,224 | |||
| 5,252 | Sealed Air Corporation | 114,809 | |||
| 4,100 | Sigma-Aldrich Corporation | 207,173 | |||
| 2,600 | Titanium Metals Corporationa | 32,552 | |||
| 4,900 | United States Steel Corporation | 270,088 | |||
| 4,300 | Vulcan Materials Company | 226,481 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (98.8%) | Value | ||||
| Materials (3.6%) - continued | ||||||
| 7,200 | Weyerhaeuser Company | $ | 310,608 | |||
Total Materials | 12,056,585 | |||||
| Telecommunications Services (3.1%) | ||||||
| 13,600 | American Tower Corporationa | 587,656 | ||||
| 198,139 | AT&T, Inc. | 5,553,836 | ||||
| 9,925 | CenturyTel, Inc. | 359,384 | ||||
| 9,300 | Frontier Communications Corporation | 72,633 | ||||
| 8,400 | MetroPCS Communications, Inc.a | 64,092 | ||||
| 48,272 | Qwest Communications International, Inc. | 203,225 | ||||
| 99,020 | Sprint Nextel Corporationa | 362,413 | ||||
| 95,296 | Verizon Communications, Inc. | 3,157,157 | ||||
| 13,907 | Windstream Corporation | 152,838 | ||||
Total Telecommunications Services | 10,513,234 | |||||
| Utilities (3.6%) | ||||||
| 22,200 | AES Corporationa | 295,482 | ||||
| 5,600 | Allegheny Energy, Inc. | 131,488 | ||||
| 7,900 | Ameren Corporation | 220,805 | ||||
| 15,960 | American Electric Power Company, Inc. | 555,248 | ||||
| 12,673 | CenterPoint Energy, Inc. | 183,885 | ||||
| 7,100 | CMS Energy Corporation | 111,186 | ||||
| 9,500 | Consolidated Edison, Inc. | 431,585 | ||||
| 6,800 | Constellation Energy Group, Inc. | 239,156 | ||||
| 20,094 | Dominion Resources, Inc. | 782,059 | ||||
| 5,500 | DTE Energy Company | 239,745 | ||||
| 43,308 | Duke Energy Corporation | 745,331 | ||||
| 11,000 | Edison International, Inc. | 382,580 | ||||
| 6,400 | Entergy Corporation | 523,776 | ||||
| 4,400 | EQT Corporation | 193,248 | ||||
| 22,224 | Exelon Corporation | 1,086,087 | ||||
| 10,300 | FirstEnergy Corporation | 478,435 | ||||
| 14,000 | FPL Group, Inc. | 739,480 | ||||
| 2,615 | Integrys Energy Group, Inc. | 109,804 | ||||
| 1,600 | Nicor, Inc. | 67,360 | ||||
| 8,909 | NiSource, Inc. | 137,020 | ||||
| 5,800 | Northeast Utilities | 149,582 | ||||
| 7,200 | Pepco Holdings, Inc. | 121,320 | ||||
| 12,400 | PG&E Corporation | 553,660 | ||||
| 3,400 | Pinnacle West Capital Corporation | 124,372 | ||||
| 12,700 | PPL Corporation | 410,337 | ||||
| 9,320 | Progress Energy, Inc. | 382,213 | ||||
| 16,900 | Public Service Enterprise Group, Inc. | 561,925 | ||||
| 5,800 | Questar Corporation | 241,106 | ||||
| 3,700 | SCANA Corporation | 139,416 | ||||
| 8,275 | Sempra Energy | 463,235 | ||||
| 26,900 | Southern Company | 896,308 | ||||
| 6,900 | TECO Energy, Inc. | 111,918 | ||||
| 4,000 | Wisconsin Energy Corporation | 199,320 | ||||
| 14,705 | Xcel Energy, Inc. | 312,187 | ||||
Total Utilities | 12,320,659 | |||||
Total Common Stock (cost $332,226,370) | 334,056,071 | |||||
Collateral Held for Securities Loaned (0.9%) | ||||||
| 2,928,421 | Thrivent Financial Securities Lending Trust | $ | 2,928,421 | |||
Total Collateral Held for Securities Loaned (cost $2,928,421) | 2,928,421 | |||||
| Principal Amount | Short-Term Investments (1.1%)c | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 150,000 | 0.020%, 2/2/2010 | 149,997 | ||||
| 1,150,000 | 0.200%, 3/17/2010d | 1,149,529 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 1,000,000 | 0.030%, 2/4/2010 | 999,972 | ||||
| 1,500,000 | 0.050%, 2/16/2010 | 1,499,904 | ||||
Total Short-Term Investments (at amortized cost) | 3,799,402 | |||||
Total Investments (cost $338,954,193) 100.8% | $ | 340,783,894 | ||||
Other Assets and Liabilities, Net (0.8%) | (2,613,419 | ) | ||||
Total Net Assets 100.0% | $ | 338,170,475 | ||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| d | At December 31, 2009, $1,149,529 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| REIT - | Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 53,263,780 | ||
Gross unrealized depreciation | (71,897,964 | ) | ||
Net unrealized appreciation (depreciation) | $ | (18,634,184 | ) | |
Cost for federal income tax purposes | $ | 359,418,078 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Index Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Large Cap Index Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 32,300,374 | 32,300,374 | — | — | ||||||||
Consumer Staples | 37,904,454 | 37,904,454 | — | — | ||||||||
Energy | 38,361,539 | 38,361,539 | — | — | ||||||||
Financials | 48,063,079 | 48,063,079 | — | — | ||||||||
Health Care | 42,238,418 | 42,238,418 | — | — | ||||||||
Industrials | 34,076,065 | 34,076,065 | — | — | ||||||||
Information Technology | 66,221,664 | 66,221,664 | — | — | ||||||||
Materials | 12,056,585 | 12,056,585 | — | — | ||||||||
Telecommunications Services | 10,513,234 | 10,513,234 | — | — | ||||||||
Utilities | 12,320,659 | 12,320,659 | — | — | ||||||||
Collateral Held for Securities Loaned | 2,928,421 | 2,928,421 | — | — | ||||||||
Short-Term Investments | 3,799,402 | — | 3,799,402 | — | ||||||||
Total | $ | 340,783,894 | $ | 336,984,492 | $ | 3,799,402 | $ | — | ||||
Other Financial Instruments* | $ | 40,155 | $ | 40,155 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
S&P 500 Index Futures | 14 | March 2010 | $ | 3,847,295 | $ | 3,887,450 | $ | 40,155 | |||||
Total Futures Contracts | $ | 40,155 | |||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 40,155 | |||
Total Equity Contracts | 40,155 | ||||
Total Asset Derivatives | $ | 40,155 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Equity Contracts | |||||
Futures | Net realized gains/(losses) on Futures contracts | 998,757 | |||
Total Equity Contracts | 998,757 | ||||
Total | $ | 998,757 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Large Cap Index Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 22,840 | |||
Total Equity Contracts | 22,840 | ||||
Total | $ | 22,840 | |||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $ | 5,077,140 | 1.7 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Large Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 1,750,233 | $ | 42,208,707 | $ | 43,958,940 | — | $ | — | $ | 8,521 | ||||||
Thrivent Financial Securities Lending Trust | 7,915,380 | 59,937,785 | 64,924,744 | 2,928,421 | 2,928,421 | 197,963 | |||||||||||
Total Value and Income Earned | 9,665,613 | 2,928,421 | 206,484 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (82.3%) | Value | |||
| Consumer Discretionary (10.1%) | |||||
| 12,600 | Aaron’s, Inc. | $ | 349,398 | ||
| 8,000 | Advance Auto Parts, Inc.a | 323,840 | |||
| 21,500 | Comcast Corporationa | 362,490 | |||
| 14,700 | Gap, Inc. | 307,965 | |||
| 10,600 | Garmin, Ltd. | 325,420 | |||
| 8,500 | Guess ?, Inc.a | 359,550 | |||
| 12,400 | Interactive Data Corporation | 313,720 | |||
| 18,600 | Jones Apparel Group, Inc. | 298,716 | |||
| 16,200 | Leggett & Platt, Inc. | 330,480 | |||
| 10,500 | McGraw-Hill Companies, Inc. | 351,855 | |||
| 15,500 | Men’s Wearhouse, Inc. | 326,430 | |||
| 21,800 | Newell Rubbermaid, Inc. | 327,218 | |||
| 4,100 | Polo Ralph Lauren Corporation | 332,018 | |||
| 7,200 | Ross Stores, Inc. | 307,512 | |||
| 8,200 | TJX Companies, Inc. | 299,710 | |||
| 4,300 | VF Corporation | 314,932 | |||
| 12,300 | Wolverine World Wide, Inc.a | 334,806 | |||
Total Consumer Discretionary | 5,566,060 | ||||
| Consumer Staples (6.6%) | |||||
| 10,300 | Casey’s General Stores, Inc. | 328,776 | |||
| 30,100 | Del Monte Foods Company | 341,334 | |||
| 8,900 | Hershey Company | 318,531 | |||
| 8,700 | J & J Snack Foods Corporation | 347,652 | |||
| 6,600 | Lancaster Colony Corporation | 328,020 | |||
| 7,000 | Molson Coors Brewing Company | 316,120 | |||
| 11,800 | Nu Skin Enterprises, Inc. | 317,066 | |||
| 13,300 | Philip Morris International, Inc. | 640,927 | |||
| 11,700 | SYSCO Corporation | 326,898 | |||
| 7,100 | Wal-Mart Stores, Inc.a | 379,495 | |||
Total Consumer Staples | 3,644,819 | ||||
| Energy (7.6%) | |||||
| 10,100 | BP plc ADR | 585,497 | |||
| 12,800 | Chevron Corporationa | 985,472 | |||
| 4,700 | ConocoPhillips | 240,029 | |||
| 7,200 | ENSCO International plc ADR | 287,568 | |||
| 11,800 | Exxon Mobil Corporationa | 804,642 | |||
| 7,600 | Noble Corporation | 309,320 | |||
| 7,100 | Peabody Energy Corporationa | 320,991 | |||
| 24,700 | Tesoro Corporationa | 334,685 | |||
| 11,700 | World Fuel Services Corporationa | 313,443 | |||
Total Energy | 4,181,647 | ||||
| Financials (18.6%) | |||||
| 19,400 | Acadia Realty Trusta | 327,278 | |||
| 6,500 | ACE, Ltd.b | 327,600 | |||
| 13,000 | American Financial Group, Inc. | 324,350 | |||
| 17,100 | Annaly Capital Management, Inc.a | 296,685 | |||
| 12,200 | Aspen Insurance Holdings, Ltd. | 310,490 | |||
| 10,300 | Assurant, Inc.a | 303,644 | |||
| 6,900 | Bank of Hawaii Corporationa | 324,714 | |||
| 17,700 | Brown & Brown, Inc. | 318,069 | |||
| 6,300 | Chubb Corporationa | 309,834 | |||
| 7,200 | Commerce Bancshares, Inc. | 278,784 | |||
| 40,700 | CVB Financial Corporationa | 351,648 | |||
| 14,400 | Delphi Financial Group, Inc.a | 322,128 | |||
| 20,400 | Discover Financial Services | 300,084 | |||
| 3,700 | Everest Re Group, Ltd. | 317,016 | |||
| 12,200 | Federated Investors, Inc. | 335,500 | |||
| 23,700 | First Financial Bancorpa | 345,072 | |||
| 1,900 | Goldman Sachs Group, Inc.a | 320,796 | |||
| 12,100 | HCC Insurance Holdings, Inc.a | 338,437 | |||
| 51,400 | HRPT Properties Trust | 332,558 | |||
| 14,200 | Itau Unibanco Holding SA ADR | 324,328 | |||
| 7,400 | J.P. Morgan Chase & Company | 308,358 | |||
| 11,200 | Legg Mason, Inc. | 337,792 | |||
| 10,300 | Mack-Cali Realty Corporation | 356,071 | |||
| 14,000 | Marsh & McLennan Companies, Inc. | 309,120 | |||
| 4,100 | PartnerRe, Ltd. | 306,106 | |||
| 19,100 | Protective Life Corporationa | 316,105 | |||
| 4,000 | Public Storage, Inc. | 325,800 | |||
| 18,000 | SEI Investments Company | 315,360 | |||
| 5,800 | Transatlantic Holdings, Inc. | 302,238 | |||
| 6,000 | Travelers Companies, Inc. | 299,160 | |||
| 16,600 | Unum Groupa | 324,032 | |||
| 11,300 | Wells Fargo & Companya | 304,987 | |||
Total Financials | 10,214,144 | ||||
| Health Care (7.2%) | |||||
| 4,000 | Abbott Laboratories | 215,960 | |||
| 7,000 | AstraZeneca plc ADR | 328,580 | |||
| 13,300 | Johnson & Johnsona | 856,653 | |||
| 10,400 | Merck & Company, Inc.a | 380,016 | |||
| 100 | Novartis AG ADR | 5,443 | |||
| 7,900 | Perrigo Company | 314,736 | |||
| 45,723 | Pfizer, Inc. | 831,701 | |||
| 9,800 | STERIS Corporation | 274,106 | |||
| 1,500 | Teva Pharmaceutical Industries, Ltd. ADR | 84,270 | |||
| 11,000 | UnitedHealth Group, Inc.a | 335,280 | |||
| 11,200 | Universal Health Services, Inc. | 341,600 | |||
Total Health Care | 3,968,345 | ||||
| Industrials (12.6%) | |||||
| 4,100 | 3M Companya | 338,947 | |||
| 7,500 | A.O. Smith Corporationa | 325,425 | |||
| 17,200 | ABB, Ltd. ADRb | 328,520 | |||
| 6,100 | Bucyrus International, Inc.a | 343,857 | |||
| 9,800 | Carlisle Companies, Inc.a | 335,748 | |||
| 11,300 | Crane Company | 346,006 | |||
| 4,500 | Danaher Corporationa | 338,400 | |||
| 24,500 | Deluxe Corporationa | 362,355 | |||
| 3,200 | Flowserve Corporationa | 302,496 | |||
| 7,000 | Hubbell, Inc. | 331,100 | |||
| 6,100 | ITT Corporation | 303,414 | |||
| 5,900 | Joy Global, Inc. | 304,381 | |||
| 4,000 | L-3 Communications Holdings, Inc. | 347,800 | |||
| 5,800 | Parker Hannifin Corporation | 312,504 | |||
| 13,700 | Pitney Bowes, Inc.a | 311,812 | |||
| 6,700 | Regal-Beloit Corporationa | 347,998 | |||
| 7,900 | Toro Companya | 330,299 | |||
| 8,800 | Universal Forest Products, Inc.a | 323,928 | |||
| 4,100 | Valmont Industries, Inc.a | 321,645 | |||
| 3,200 | W.W. Grainger, Inc.a | 309,856 | |||
| 13,600 | Woodward Governor Companya | 350,472 | |||
Total Industrials | 6,916,963 | ||||
| Information Technology (4.9%) | |||||
| 15,000 | Altera Corporationa | 339,450 | |||
| 5,300 | Hewlett-Packard Company | 273,003 | |||
| 4,200 | International Business Machines Corporationa | 549,780 | |||
| 7,600 | Lender Processing Services, Inc. | 309,016 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (82.3%) | Value | |||
| Information Technology (4.9%) - continued | |||||
| 10,000 | Microsoft Corporation | $ | 304,900 | ||
| 5,900 | QUALCOMM, Inc. | 272,934 | |||
| 8,300 | Syntel, Inc.a | 315,649 | |||
| 17,100 | Western Union Companya | 322,335 | |||
Total Information Technology | 2,687,067 | ||||
| Materials (7.8%) | |||||
| 10,600 | Celanese Corporation | 340,260 | |||
| 7,800 | International Flavors & Fragrances, Inc. | 320,892 | |||
| 12,400 | International Paper Company | 332,072 | |||
| 4,400 | Lubrizol Corporation | 320,980 | |||
| 3,000 | NewMarket Corporationa | 344,310 | |||
| 7,700 | Reliance Steel & Aluminum Companya | 332,794 | |||
| 7,000 | Rock-Tenn Companya | 352,870 | |||
| 16,100 | RPM International, Inc. | 327,313 | |||
| 5,900 | Silgan Holdings, Inc. | 341,492 | |||
| 5,000 | Stepan Company | 324,050 | |||
| 12,000 | Valspar Corporationa | 325,680 | |||
| 4,600 | Walter Energy, Inc.a | 346,426 | |||
| 12,100 | Westlake Chemical Corporationa | 301,653 | |||
Total Materials | 4,310,792 | ||||
| Telecommunications Services (3.8%) | |||||
| 27,800 | AT&T, Inc.a | 779,234 | |||
| 24,000 | Chunghwa Telecom Company, Ltd. ADR | 445,680 | |||
| 86,500 | Qwest Communications International, Inc.a | 364,165 | |||
| 15,100 | Verizon Communications, Inc.a | 500,263 | |||
Total Telecommunications Services | 2,089,342 | ||||
| Utilities (3.1%) | |||||
| 6,200 | Consolidated Edison, Inc. | 281,666 | |||
| 500 | Dominion Resources, Inc. | 19,460 | |||
| 12,200 | Duke Energy Corporation | 209,962 | |||
| 4,200 | PG&E Corporation | 187,530 | |||
| 1,600 | Progress Energy, Inc. | 65,616 | |||
| 24,500 | Southern Company | 816,340 | |||
| 4,900 | Xcel Energy, Inc. | 104,027 | |||
Total Utilities | 1,684,601 | ||||
Total Common Stock (cost $45,070,330) | 45,263,780 | ||||
Preferred Stock (0.3%) | |||||
| Financials (0.2%) | |||||
| 3,000 | U.S. Bancorp | 83,400 | |||
Total Financials | 83,400 | ||||
| Utilities (0.1%) | |||||
| 2,870 | Xcel Energy, Inc. | 76,342 | |||
Total Utilities | 76,342 | ||||
Total Preferred Stock (cost $150,381) | 159,742 | ||||
| Principal Amount | Long-Term Fixed Income (0.2%) | ||||
| Financials (0.2%) | |||||
American International Group, Inc. | |||||
| $150,000 | 8.175%, 5/15/2058 | 99,000 | |||
Total Financials | 99,000 | ||||
Total Long-Term Fixed Income (cost $150,000) | 99,000 | ||||
| Principal Amount | Short-Term Investments (15.8%)c | ||||
Federal Home Loan Bank Discount Notes | |||||
| 4,000,000 | 0.040%, 1/15/2010 | 3,999,938 | |||
| 1,175,000 | 0.040%, 1/20/2010 | 1,174,975 | |||
| 800,000 | 0.020%, 2/2/2010 | 799,986 | |||
| 600,000 | 0.200%, 3/17/2010d | 599,754 | |||
Federal Home Loan Mortgage Corporation Discount Notes | |||||
| 400,000 | 0.030%, 2/22/2010 | 399,983 | |||
Federal National Mortgage Association Discount Notes | |||||
| 1,560,000 | 0.040%, 1/20/2010d | 1,559,967 | |||
| 150,000 | 0.010%, 2/1/2010 | 149,999 | |||
Total Short-Term Investments (at amortized cost) | 8,684,602 | ||||
Total Investments (cost $54,055,313) 98.6% | $ | 54,207,124 | |||
Other Assets and Liabilities, Net 1.4% | 771,968 | ||||
Total Net Assets 100.0% | $ | 54,979,092 | |||
| a | All or a portion of the security was earmarked to cover written options. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| d | At December 31, 2009, $699,752 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,168,671 | ||
Gross unrealized depreciation | (1,237,034 | ) | ||
Net unrealized appreciation (depreciation) | $ | (68,363 | ) | |
Cost for federal income tax purposes | $ | 54,275,487 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Equity Income Plus Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 5,566,060 | 5,566,060 | — | — | ||||||||
Consumer Staples | 3,644,819 | 3,644,819 | — | — | ||||||||
Energy | 4,181,647 | 4,181,647 | — | — | ||||||||
Financials | 10,214,144 | 10,214,144 | — | — | ||||||||
Health Care | 3,968,345 | 3,968,345 | — | — | ||||||||
Industrials | 6,916,963 | 6,916,963 | — | — | ||||||||
Information Technology | 2,687,067 | 2,687,067 | — | — | ||||||||
Materials | 4,310,792 | 4,310,792 | — | — | ||||||||
Telecommunications Services | 2,089,342 | 2,089,342 | — | — | ||||||||
Utilities | 1,684,601 | 1,684,601 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 83,400 | 83,400 | — | — | ||||||||
Utilities | 76,342 | 76,342 | — | — | ||||||||
Long-Term Fixed Income | ||||||||||||
Financials | 99,000 | — | 99,000 | — | ||||||||
Short-Term Investments | 8,684,602 | — | 8,684,602 | — | ||||||||
Total | $ | 54,207,124 | $ | 45,423,522 | $ | 8,783,602 | $ | — | ||||
Other Financial Instruments* | $ | 88,416 | $ | 88,416 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||||
S&P 500 Index Mini-Futures | 134 | March 2010 | $ | 7,362,446 | $ | 7,441,690 | $ | 79,244 | |||||||
Total Futures Contracts | $ | 79,244 | |||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | ||||||||||
S&P 500 Index Mini-Futures | 25 | $ | 1,130.00 | January 2010 | ($9,000 | ) | $ | 338 | |||||||
S&P 500 Index Mini-Futures | 25 | 1,140.00 | January 2010 | (5,500 | ) | 3,181 | |||||||||
S&P 500 Index Mini-Futures | 25 | 1,125.00 | January 2010 | (11,250 | ) | 849 | |||||||||
S&P 500 Index Mini-Futures | 35 | 1,135.00 | January 2010 | (9,975 | ) | 4,804 | |||||||||
Total Call Options Written | ($35,725 | ) | $ | 9,172 | |||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Equity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 9,172 | |||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 79,244 | |||
Total Equity Contracts | 88,416 | ||||
Total Asset Derivatives | $ | 88,416 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Equity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
| Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | (21,091 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 1,152,390 | ||||
Total Equity Contracts | 1,131,299 | |||||
Total | $ | 1,131,299 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Equity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 7,684 | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (55,175 | ) | ||
Total Equity Contracts | (47,491 | ) | |||
Total | ($47,491 | ) | |||
The following table presents Equity Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||
Equity Contracts | $ | 4,894,846 | 11.2 | % | 50 | |||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Equity Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 6,999,027 | $ | 24,388,783 | $ | 31,387,810 | — | $ | — | $ | 23,915 | ||||||
Total Value and Income Earned | 6,999,027 | — | 23,915 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (66.5%) | Value | |||
| Consumer Discretionary (6.4%) | |||||
| 1,600 | Abercrombie & Fitch Company | $ | 55,760 | ||
| 6,300 | Amazon.com, Inc.a | 847,476 | |||
| 2,500 | Apollo Group, Inc.a | 151,450 | |||
| 1,700 | AutoNation, Inc.a,b | 32,555 | |||
| 600 | AutoZone, Inc.a | 94,842 | |||
| 5,000 | Bed Bath & Beyond, Inc.a | 193,150 | |||
| 6,475 | Best Buy Company, Inc. | 255,504 | |||
| 1,500 | Big Lots, Inc.a | 43,470 | |||
| 1,200 | Black & Decker Corporation | 77,796 | |||
| 8,200 | Carnival Corporationa | 259,858 | |||
| 12,562 | CBS Corporation | 176,496 | |||
| 6,100 | Coach, Inc. | 222,833 | |||
| 53,465 | Comcast Corporation | 901,420 | |||
| 5,300 | D.R. Horton, Inc. | 57,611 | |||
| 2,700 | Darden Restaurants, Inc. | 94,689 | |||
| 1,100 | DeVry, Inc. | 62,403 | |||
| 18,000 | DIRECTVa | 600,300 | |||
| 4,600 | Eastman Kodak Companya | 19,412 | |||
| 4,000 | Expedia, Inc.a | 102,840 | |||
| 2,600 | Family Dollar Stores, Inc. | 72,358 | |||
| 62,088 | Ford Motor Companya | 620,880 | |||
| 2,900 | Fortune Brands, Inc. | 125,280 | |||
| 3,100 | GameStop Corporationa | 68,014 | |||
| 4,500 | Gannett Company, Inc. | 66,825 | |||
| 8,800 | Gap, Inc. | 184,360 | |||
| 3,100 | Genuine Parts Company | 117,676 | |||
| 4,600 | Goodyear Tire & Rubber Companya | 64,860 | |||
| 6,200 | H&R Block, Inc. | 140,244 | |||
| 4,500 | Harley-Davidson, Inc. | 113,400 | |||
| 1,400 | Harman International Industries, Inc. | 49,392 | |||
| 2,300 | Hasbro, Inc. | 73,738 | |||
| 32,100 | Home Depot, Inc. | 928,653 | |||
| 5,600 | International Game Technology | 105,112 | |||
| 8,589 | Interpublic Group of Companies, Inc.a | 63,387 | |||
| 4,500 | J.C. Penney Company, Inc. | 119,745 | |||
| 12,700 | Johnson Controls, Inc. | 345,948 | |||
| 5,800 | Kohl’s Corporationa | 312,794 | |||
| 2,700 | Leggett & Platt, Inc. | 55,080 | |||
| 3,100 | Lennar Corporation | 39,587 | |||
| 4,962 | Limited Brands, Inc. | 95,469 | |||
| 27,600 | Lowe’s Companies, Inc. | 645,564 | |||
| 8,000 | Macy’s, Inc | 134,080 | |||
| 4,863 | Marriott International, Inc. | 132,517 | |||
| 6,625 | Mattel, Inc. | 132,368 | |||
| 20,400 | McDonald’s Corporation | 1,273,776 | |||
| 6,000 | McGraw-Hill Companies, Inc. | 201,060 | |||
| 700 | Meredith Corporation | 21,595 | |||
| 2,100 | New York Times Companya | 25,956 | |||
| 5,126 | Newell Rubbermaid, Inc. | 76,941 | |||
| 42,000 | News Corporation | 574,980 | |||
| 7,400 | NIKE, Inc. | 488,918 | |||
| 3,200 | Nordstrom, Inc. | 120,256 | |||
| 5,100 | Office Depot, Inc.a | 32,895 | |||
| 5,900 | Omnicom Group, Inc. | 230,985 | |||
| 2,600 | O’Reilly Automotive, Inc.a | 99,112 | |||
| 1,000 | Polo Ralph Lauren Corporation | 80,980 | |||
| 900 | Priceline.com, Inc.a | 196,650 | |||
| 6,037 | Pulte Homes, Inc.a,b | 60,370 | |||
| 2,400 | RadioShack Corporation | 46,800 | |||
| 2,400 | Ross Stores, Inc. | 102,504 | |||
| 1,600 | Scripps Networks Interactive | 66,400 | |||
| 980 | Sears Holdings Corporationa,b | 81,781 | |||
| 1,900 | Sherwin-Williams Company | 117,135 | |||
| 1,000 | Snap-On, Inc. | 42,260 | |||
| 1,600 | Stanley Worksb | 82,416 | |||
| 13,600 | Staples, Inc. | 334,424 | |||
| 13,900 | Starbucks Corporationa | 320,534 | |||
| 3,600 | Starwood Hotels & Resorts Worldwide, Inc. | 131,652 | |||
| 14,200 | Target Corporation | 686,854 | |||
| 2,400 | Tiffany & Company | 103,200 | |||
| 6,680 | Time Warner Cable, Inc. | 276,485 | |||
| 21,916 | Time Warner, Inc. | 638,632 | |||
| 7,900 | TJX Companies, Inc. | 288,745 | |||
| 1,600 | VF Corporation | 117,184 | |||
| 11,462 | Viacom, Inc.a | 340,765 | |||
| 36,287 | Walt Disney Company | 1,170,256 | |||
| 30 | Washington Post Company | 13,188 | |||
| 1,358 | Whirlpool Corporation | 109,536 | |||
| 3,432 | Wyndham Worldwide Corporation | 69,223 | |||
| 1,400 | Wynn Resorts, Ltd.b | 81,522 | |||
| 8,820 | Yum! Brands, Inc. | 308,435 | |||
Total Consumer Discretionary | 18,071,601 | ||||
| Consumer Staples (7.5%) | |||||
| 38,500 | Altria Group, Inc. | 755,755 | |||
| 12,141 | Archer-Daniels-Midland Company | 380,135 | |||
| 8,000 | Avon Products, Inc. | 252,000 | |||
| 2,025 | Brown-Forman Corporation | 108,479 | |||
| 3,600 | Campbell Soup Company | 121,680 | |||
| 2,700 | Clorox Company | 164,700 | |||
| 43,600 | Coca-Cola Company | 2,485,200 | |||
| 5,900 | Coca-Cola Enterprises, Inc. | 125,080 | |||
| 9,400 | Colgate-Palmolive Company | 772,210 | |||
| 8,200 | ConAgra Foods, Inc. | 189,010 | |||
| 3,600 | Constellation Brands, Inc.a | 57,348 | |||
| 8,300 | Costco Wholesale Corporation | 491,111 | |||
| 26,605 | CVS Caremark Corporation | 856,947 | |||
| 3,500 | Dean Foods Companya | 63,140 | |||
| 4,800 | Dr. Pepper Snapple Group, Inc. | 135,840 | |||
| 2,300 | Estee Lauder Companies, Inc. | 111,228 | |||
| 6,100 | General Mills, Inc. | 431,941 | |||
| 6,050 | H.J. Heinz Company | 258,698 | |||
| 3,200 | Hershey Company | 114,528 | |||
| 1,300 | Hormel Foods Corporation | 49,985 | |||
| 2,155 | J.M. Smucker Company | 133,071 | |||
| 4,700 | Kellogg Company | 250,040 | |||
| 7,780 | Kimberly-Clark Corporation | 495,664 | |||
| 27,560 | Kraft Foods, Inc. | 749,081 | |||
| 12,100 | Kroger Company | 248,413 | |||
| 3,100 | Lorillard, Inc. | 248,713 | |||
| 2,400 | McCormick & Company, Inc. | 86,712 | |||
| 3,922 | Mead Johnson Nutrition Company | 171,391 | |||
| 2,900 | Molson Coors Brewing Company | 130,964 | |||
| 2,800 | Pepsi Bottling Group, Inc. | 105,000 | |||
| 29,320 | PepsiCo, Inc. | 1,782,656 | |||
| 35,800 | Philip Morris International, Inc. | 1,725,202 | |||
| 54,979 | Procter & Gamble Company | 3,333,377 | |||
| 3,100 | Reynolds American, Inc. | 164,207 | |||
| 7,600 | Safeway, Inc. | 161,804 | |||
| 12,500 | Sara Lee Corporation | 152,250 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Balanced Portfolio
Schedule of Investments as of December 31, 2009
Shares | Common Stock (66.5%) | Value | |||
| Consumer Staples (7.5%) - continued | |||||
| 4,069 | SUPERVALU, Inc. | $ | 51,717 | ||
| 11,000 | SYSCO Corporation | 307,340 | |||
| 5,500 | Tyson Foods, Inc. | 67,485 | |||
| 18,600 | Walgreen Company | 682,992 | |||
| 40,100 | Wal-Mart Stores, Inc. | 2,143,345 | |||
| 2,700 | Whole Foods Market, Inc.a,b | 74,115 | |||
Total Consumer Staples | 21,190,554 | ||||
| Energy (7.7%) | |||||
| 9,336 | Anadarko Petroleum Corporation | 582,753 | |||
| 6,368 | Apache Corporation | 656,986 | |||
| 5,920 | Baker Hughes, Inc. | 239,642 | |||
| 5,400 | BJ Services Company | 100,440 | |||
| 1,900 | Cabot Oil & Gas Corporation | 82,821 | |||
| 4,700 | Cameron International Corporationa | 196,460 | |||
| 12,300 | Chesapeake Energy Corporation | 318,324 | |||
| 37,874 | Chevron Corporation | 2,915,919 | |||
| 27,982 | ConocoPhillips | 1,429,041 | |||
| 3,500 | CONSOL Energy, Inc. | 174,300 | |||
| 4,800 | Denbury Resources, Inc.a | 71,040 | |||
| 8,400 | Devon Energy Corporation | 617,400 | |||
| 1,400 | Diamond Offshore Drilling, Inc.b | 137,788 | |||
| 13,286 | El Paso Corporation | 130,601 | |||
| 4,700 | EOG Resources, Inc. | 457,310 | |||
| 89,372 | Exxon Mobil Corporation | 6,094,277 | |||
| 2,400 | FMC Technologies, Inc.a | 138,816 | |||
| 17,000 | Halliburton Company | 511,530 | |||
| 5,500 | Hess Corporation | 332,750 | |||
| 13,422 | Marathon Oil Corporation | 419,035 | |||
| 1,700 | Massey Energy Company | 71,417 | |||
| 3,700 | Murphy Oil Corporation | 200,540 | |||
| 5,400 | Nabors Industries, Ltd.a | 118,206 | |||
| 7,900 | National Oilwell Varco, Inc. | 348,311 | |||
| 3,200 | Noble Energy, Inc. | 227,904 | |||
| 15,200 | Occidental Petroleum Corporation | 1,236,520 | |||
| 5,100 | Peabody Energy Corporation | 230,571 | |||
| 2,200 | Pioneer Natural Resources Company | 105,974 | |||
| 2,900 | Range Resources Corporation | 144,565 | |||
| 2,200 | Rowan Companies, Inc.a | 49,808 | |||
| 22,700 | Schlumberger, Ltd. | 1,477,543 | |||
| 4,700 | Smith International, Inc. | 127,699 | |||
| 6,600 | Southwestern Energy Companya | 318,120 | |||
| 11,921 | Spectra Energy Corporation | 244,500 | |||
| 2,300 | Sunoco, Inc. | 60,030 | |||
| 2,600 | Tesoro Corporationb | 35,230 | |||
| 10,500 | Valero Energy Corporation | 175,875 | |||
| 10,900 | Williams Companies, Inc. | 229,772 | |||
| 10,950 | XTO Energy, Inc. | 509,503 | |||
Total Energy | 21,519,321 | ||||
| Financials (9.6%) | |||||
| 8,900 | AFLAC, Inc. | 411,625 | |||
| 10,196 | Allstate Corporation | 306,288 | |||
| 22,400 | American Express Company | 907,648 | |||
| 2,620 | American International Group, Inc.a,b | 78,548 | |||
| 4,740 | Ameriprise Financial, Inc. | 184,007 | |||
| 5,150 | Aon Corporation | 197,451 | |||
| 2,254 | Apartment Investment & Management Companyb | 35,884 | |||
| 2,300 | Assurant, Inc. | 67,804 | |||
| 1,453 | AvalonBay Communities, Inc. | 119,306 | |||
| 187,154 | Bank of America Corporation | 2,818,539 | |||
| 22,701 | Bank of New York Mellon Corporation | 634,947 | |||
| 13,000 | BB&T Corporation | 329,810 | |||
| 2,700 | Boston Properties, Inc. | 181,089 | |||
| 8,565 | Capital One Financial Corporation | 328,382 | |||
| 5,000 | CB Richard Ellis Group, Inc.a | 67,850 | |||
| 17,725 | Charles Schwab Corporation | 333,585 | |||
| 6,500 | Chubb Corporation | 319,670 | |||
| 3,051 | Cincinnati Financial Corporation | 80,058 | |||
| 366,489 | Citigroup, Inc. | 1,213,079 | |||
| 1,200 | CME Group, Inc. | 403,140 | |||
| 2,900 | Comerica, Inc. | 85,753 | |||
| 10,195 | Discover Financial Services | 149,968 | |||
| 27,900 | E*TRADE Financial Corporationa | 48,825 | |||
| 5,300 | Equity Residential REIT | 179,034 | |||
| 1,600 | Federated Investors, Inc. | 44,000 | |||
| 14,916 | Fifth Third Bancorp | 145,431 | |||
| 4,021 | First Horizon National Corporationa | 53,881 | |||
| 2,900 | Franklin Resources, Inc. | 305,515 | |||
| 9,300 | Genworth Financial, Inc.a | 105,555 | |||
| 9,700 | Goldman Sachs Group, Inc. | 1,637,748 | |||
| 7,300 | Hartford Financial Services Group, Inc. | 169,798 | |||
| 5,600 | Health Care Property Investors, Inc. | 171,024 | |||
| 2,400 | Health Care REIT, Inc. | 106,368 | |||
| 11,947 | Host Hotels & Resorts, Inc.a | 139,421 | |||
| 9,000 | Hudson City Bancorp, Inc. | 123,570 | |||
| 13,216 | Huntington Bancshares, Inc.b | 48,238 | |||
| 1,300 | IntercontinentalExchange, Inc.a | 145,990 | |||
| 8,000 | Invesco, Ltd. | 187,920 | |||
| 74,224 | J.P. Morgan Chase & Company | 3,092,914 | |||
| 3,500 | Janus Capital Group, Inc. | 47,075 | |||
| 16,200 | KeyCorp | 89,910 | |||
| 7,400 | Kimco Realty Corporation | 100,122 | |||
| 3,100 | Legg Mason, Inc. | 93,496 | |||
| 3,600 | Leucadia National Corporationa | 85,644 | |||
| 5,711 | Lincoln National Corporation | 142,090 | |||
| 6,900 | Loews Corporation | 250,815 | |||
| 1,500 | M&T Bank Corporationb | 100,335 | |||
| 9,800 | Marsh & McLennan Companies, Inc. | 216,384 | |||
| 9,700 | Marshall & Ilsley Corporation | 52,865 | |||
| 15,466 | MetLife, Inc. | 546,723 | |||
| 3,800 | Moody’s Corporation | 101,840 | |||
| 25,690 | Morgan Stanley | 760,424 | |||
| 2,700 | Nasdaq OMX Group, Inc.a | 53,514 | |||
| 4,600 | Northern Trust Corporation | 241,040 | |||
| 5,000 | NYSE Euronext | 126,500 | |||
| 6,500 | People’s United Financial, Inc. | 108,550 | |||
| 3,100 | Plum Creek Timber Company, Inc.b | 117,056 | |||
| 8,720 | PNC Financial Services Group, Inc. | 460,329 | |||
| 6,100 | Principal Financial Group, Inc. | 146,644 | |||
| 12,300 | Progressive Corporationa | 221,277 | |||
| 9,000 | ProLogis | 123,210 | |||
| 8,800 | Prudential Financial, Inc. | 437,888 | |||
| 2,500 | Public Storage, Inc. | 203,625 | |||
| 22,200 | Regions Financial Corporation | 117,438 | |||
| 5,453 | Simon Property Group, Inc. | 435,149 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Balanced Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Common Stock (66.5%) | Value | |||
| Financials (9.6%) - continued | |||||
| 9,000 | SLM Corporationa | $ | 101,430 | ||
| 9,400 | State Street Corporation | 409,276 | |||
| 9,500 | SunTrust Banks, Inc. | 192,755 | |||
| 4,800 | T. Rowe Price Group, Inc. | 255,600 | |||
| 1,500 | Torchmark Corporation | 65,925 | |||
| 10,225 | Travelers Companies, Inc. | 509,819 | |||
| 36,021 | U.S. Bancorp | 810,833 | |||
| 6,158 | Unum Group | 120,204 | |||
| 3,000 | Ventas, Inc. | 131,220 | |||
| 2,970 | Vornado Realty Trust | 207,722 | |||
| 96,282 | Wells Fargo & Company | 2,598,651 | |||
| 6,500 | XL Capital, Ltd. | 119,145 | |||
| 2,700 | Zions Bancorporationb | 34,641 | |||
Total Financials | 26,896,827 | ||||
| Health Care (8.4%) | |||||
| 29,100 | Abbott Laboratories | 1,571,109 | |||
| 8,256 | Aetna, Inc. | 261,715 | |||
| 5,700 | Allergan, Inc. | 359,157 | |||
| 5,100 | AmerisourceBergen Corporation | 132,957 | |||
| 19,152 | Amgen, Inc.a | 1,083,429 | |||
| 11,300 | Baxter International, Inc. | 663,084 | |||
| 4,400 | Becton, Dickinson and Company | 346,984 | |||
| 5,530 | Biogen Idec, Inc.a | 295,855 | |||
| 27,950 | Boston Scientific Corporationa | 251,550 | |||
| 32,605 | Bristol-Myers Squibb Company | 823,276 | |||
| 1,800 | C.R. Bard, Inc. | 140,220 | |||
| 6,875 | Cardinal Health, Inc. | 221,650 | |||
| 3,287 | CareFusion Corporationa | 82,208 | |||
| 8,600 | Celgene Corporationa | 478,848 | |||
| 1,500 | Cephalon, Inc.a | 93,615 | |||
| 5,200 | CIGNA Corporation | 183,404 | |||
| 2,850 | Coventry Health Care, Inc.a | 69,227 | |||
| 2,000 | DaVita, Inc.a | 117,480 | |||
| 2,800 | Dentsply International, Inc. | 98,476 | |||
| 18,900 | Eli Lilly and Company | 674,919 | |||
| 5,100 | Express Scripts, Inc.a | 440,895 | |||
| 5,600 | Forest Laboratories, Inc.a | 179,816 | |||
| 5,000 | Genzyme Corporationa | 245,050 | |||
| 16,900 | Gilead Sciences, Inc.a | 731,432 | |||
| 3,130 | Hospira, Inc.a | 159,630 | |||
| 3,300 | Humana, Inc.a | 144,837 | |||
| 3,500 | IMS Health, Inc. | 73,710 | |||
| 700 | Intuitive Surgical, Inc.a | 212,324 | |||
| 51,906 | Johnson & Johnson | 3,343,265 | |||
| 4,333 | King Pharmaceuticals, Inc.a | 53,166 | |||
| 2,100 | Laboratory Corporation of America Holdingsa | 157,164 | |||
| 3,437 | Life Technologies Corporationa | 179,515 | |||
| 4,980 | McKesson Corporation | 311,250 | |||
| 8,910 | Medco Health Solutions, Inc.a | 569,438 | |||
| 20,800 | Medtronic, Inc. | 914,784 | |||
| 57,427 | Merck & Company, Inc. | 2,098,383 | |||
| 1,000 | Millipore Corporationa | 72,350 | |||
| 5,700 | Mylan, Inc.a,b | 105,051 | |||
| 1,800 | Patterson Companies, Inc.a | 50,364 | |||
| 2,100 | PerkinElmer, Inc. | 43,239 | |||
| 151,355 | Pfizer, Inc. | 2,753,147 | |||
| 3,000 | Quest Diagnostics, Inc. | 181,140 | |||
| 6,280 | St. Jude Medical, Inc.a | 230,978 | |||
| 5,300 | Stryker Corporation | 266,961 | |||
| 7,750 | Tenet Healthcare Corporationa | 41,772 | |||
| 7,600 | Thermo Fisher Scientific, Inc.a | 362,444 | |||
| 21,900 | UnitedHealth Group, Inc. | 667,512 | |||
| 2,300 | Varian Medical Systems, Inc.a | 107,755 | |||
| 1,700 | Waters Corporationa | 105,332 | |||
| 2,100 | Watson Pharmaceuticals, Inc.a | 83,181 | |||
| 8,700 | WellPoint, Inc.a | 507,123 | |||
| 4,090 | Zimmer Holdings, Inc.a | 241,760 | |||
Total Health Care | 23,583,931 | ||||
| Industrials (6.8%) | |||||
| 13,400 | 3M Company | 1,107,778 | |||
| 2,200 | Avery Dennison Corporation | 80,278 | |||
| 13,728 | Boeing Company | 743,097 | |||
| 4,992 | Burlington Northern Santa Fe Corporation | 492,311 | |||
| 3,100 | C.H. Robinson Worldwide, Inc. | 182,063 | |||
| 11,800 | Caterpillar, Inc. | 672,482 | |||
| 2,400 | Cintas Corporation | 62,520 | |||
| 7,400 | CSX Corporation | 358,826 | |||
| 3,900 | Cummins, Inc. | 178,854 | |||
| 5,000 | Danaher Corporation | 376,000 | |||
| 8,000 | Deere & Company | 432,720 | |||
| 3,600 | Dover Corporation | 149,796 | |||
| 1,000 | Dun & Bradstreet Corporation | 84,370 | |||
| 3,200 | Eaton Corporation | 203,584 | |||
| 14,100 | Emerson Electric Company | 600,660 | |||
| 2,400 | Equifax, Inc. | 74,136 | |||
| 4,100 | Expeditors International of Washington, Inc. | 142,393 | |||
| 2,400 | Fastenal Companyb | 99,936 | |||
| 5,840 | FedEx Corporation | 487,348 | |||
| 900 | First Solar, Inc.a,b | 121,860 | |||
| 1,000 | Flowserve Corporation | 94,530 | |||
| 3,300 | Fluor Corporation | 148,632 | |||
| 7,200 | General Dynamics Corporation | 490,824 | |||
| 200,500 | General Electric Company | 3,033,565 | |||
| 2,400 | Goodrich Corporation | 154,200 | |||
| 14,337 | Honeywell International, Inc. | 562,010 | |||
| 7,300 | Illinois Tool Works, Inc. | 350,327 | |||
| 3,500 | Iron Mountain, Inc.a | 79,660 | |||
| 3,500 | ITT Corporation | 174,090 | |||
| 2,300 | Jacobs Engineering Group, Inc.a | 86,503 | |||
| 2,100 | L-3 Communications Holdings, Inc. | 182,595 | |||
| 6,100 | Lockheed Martin Corporation | 459,635 | |||
| 6,600 | Masco Corporation | 91,146 | |||
| 2,300 | Monster Worldwide, Inc.a | 40,020 | |||
| 7,000 | Norfolk Southern Corporation | 366,940 | |||
| 6,006 | Northrop Grumman Corporation | 335,435 | |||
| 6,950 | PACCAR, Inc. | 252,077 | |||
| 2,300 | Pall Corporation | 83,260 | |||
| 2,950 | Parker Hannifin Corporation | 158,946 | |||
| 4,000 | Pitney Bowes, Inc. | 91,040 | |||
| 2,600 | Precision Castparts Corporation | 286,910 | |||
| 3,900 | Quanta Services, Inc.a | 81,276 | |||
| 3,900 | R.R. Donnelley & Sons Company | 86,853 | |||
| 7,200 | Raytheon Company | 370,944 | |||
| 6,105 | Republic Services, Inc. | 172,833 | |||
| 2,800 | Robert Half International, Inc. | 74,844 | |||
| 2,600 | Rockwell Automation, Inc. | 122,148 | |||
| 2,900 | Rockwell Collins, Inc. | 160,544 | |||
| 1,800 | Roper Industries, Inc. | 94,266 | |||
| 1,100 | Ryder System, Inc. | 45,287 | |||
| 13,380 | Southwest Airlines Company | 152,933 | |||
| 1,500 | Stericycle, Inc.a | 82,755 | |||
| 5,200 | Textron, Inc. | 97,812 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (66.5%) | Value | |||
| Industrials (6.8%) - continued | |||||
| 9,600 | Union Pacific Corporation | $ | 613,440 | ||
| 18,700 | United Parcel Service, Inc. | 1,072,819 | |||
| 17,600 | United Technologies Corporation | 1,221,616 | |||
| 1,100 | W.W. Grainger, Inc. | 106,513 | |||
| 9,230 | Waste Management, Inc. | 312,066 | |||
Total Industrials | 19,042,306 | ||||
| Information Technology (13.2%) | |||||
| 9,900 | Adobe Systems, Inc.a | 364,122 | |||
| 10,700 | Advanced Micro Devices, Inc.a,b | 103,576 | |||
| 1,900 | Affiliated Computer Services, Inc.a | 113,411 | |||
| 6,363 | Agilent Technologies, Inc.a | 197,698 | |||
| 3,300 | Akamai Technologies, Inc.a | 83,589 | |||
| 5,500 | Altera Corporation | 124,465 | |||
| 3,300 | Amphenol Corporation | 152,394 | |||
| 5,400 | Analog Devices, Inc. | 170,532 | |||
| 17,000 | Apple, Inc.a | 3,584,620 | |||
| 24,400 | Applied Materials, Inc. | 340,136 | |||
| 4,300 | Autodesk, Inc.a | 109,263 | |||
| 9,500 | Automatic Data Processing, Inc. | 406,790 | |||
| 3,400 | BMC Software, Inc.a | 136,340 | |||
| 8,150 | Broadcom Corporationa | 256,318 | |||
| 7,275 | CA, Inc. | 163,397 | |||
| 108,400 | Cisco Systems, Inc.a | 2,595,096 | |||
| 3,500 | Citrix Systems, Inc.a | 145,635 | |||
| 5,600 | Cognizant Technology Solutions Corporationa | 253,680 | |||
| 2,900 | Computer Sciences Corporationa | 166,837 | |||
| 3,600 | Compuware Corporationa | 26,028 | |||
| 29,100 | Corning, Inc. | 561,921 | |||
| 32,200 | Dell, Inc.a | 462,392 | |||
| 21,200 | eBay, Inc.a | 499,048 | |||
| 6,100 | Electronic Arts, Inc.a | 108,275 | |||
| 38,124 | EMC Corporationa | 666,026 | |||
| 6,200 | Fidelity National Information Services, Inc. | 145,328 | |||
| 2,950 | Fiserv, Inc.a | 143,016 | |||
| 2,900 | FLIR Systems, Inc.a | 94,888 | |||
| 4,600 | Google, Inc.a | 2,851,908 | |||
| 2,500 | Harris Corporation | 118,875 | |||
| 44,561 | Hewlett-Packard Company | 2,295,337 | |||
| 103,600 | Intel Corporation | 2,113,440 | |||
| 24,800 | International Business Machines Corporation | 3,246,320 | |||
| 6,000 | Intuit, Inc.a | 184,260 | |||
| 3,500 | Jabil Circuit, Inc. | 60,795 | |||
| 3,900 | JDS Uniphase Corporationa | 32,175 | |||
| 9,900 | Juniper Networks, Inc.a | 264,033 | |||
| 3,300 | KLA-Tencor Corporation | 119,328 | |||
| 1,500 | Lexmark International, Inc.a | 38,970 | |||
| 4,300 | Linear Technology Corporation | 131,322 | |||
| 11,200 | LSI Corporationa | 67,312 | |||
| 1,900 | MasterCard, Inc. | 486,362 | |||
| 2,900 | McAfee, Inc.a | 117,653 | |||
| 4,100 | MEMC Electronic Materials, Inc.a | 55,842 | |||
| 3,400 | Microchip Technology, Inc. | 98,804 | |||
| 16,100 | Micron Technology, Inc.a | 170,016 | |||
| 145,400 | Microsoft Corporation | 4,433,246 | |||
| 2,650 | Molex, Inc. | 57,107 | |||
| 42,921 | Motorola, Inc.a | 333,067 | |||
| 4,200 | National Semiconductor Corporation | 64,512 | |||
| 6,400 | NETAPP, Inc.a | 220,096 | |||
| 5,100 | Novell, Inc.a | 21,165 | |||
| 1,900 | Novellus Systems, Inc.a | 44,346 | |||
| 10,550 | NVIDIA Corporationa | 197,074 | |||
| 73,559 | Oracle Corporation | 1,805,138 | |||
| 6,050 | Paychex, Inc. | 185,372 | |||
| 2,000 | QLogic Corporationa | 37,740 | |||
| 31,400 | QUALCOMM, Inc. | 1,452,564 | |||
| 3,600 | Red Hat, Inc.a | 111,240 | |||
| 5,600 | SAIC, Inc.a | 106,064 | |||
| 2,000 | Salesforce.com, Inc.a | 147,540 | |||
| 4,400 | SanDisk Corporationa | 127,556 | |||
| 13,975 | Sun Microsystems, Inc.a | 130,946 | |||
| 14,972 | Symantec Corporationa | 267,849 | |||
| 5,800 | Tellabs, Inc.a | 32,944 | |||
| 3,200 | Teradata Corporationa | 100,576 | |||
| 3,000 | Teradyne, Inc.a | 32,190 | |||
| 23,500 | Texas Instruments, Inc. | 612,410 | |||
| 3,600 | Total System Services, Inc. | 62,172 | |||
| 3,700 | VeriSign, Inc.a | 89,688 | |||
| 8,400 | Visa, Inc. | 734,664 | |||
| 4,300 | Western Digital Corporationa | 189,845 | |||
| 12,862 | Western Union Company | 242,449 | |||
| 15,800 | Xerox Corporation | 133,668 | |||
| 5,100 | Xilinx, Inc. | 127,806 | |||
| 22,200 | Yahoo!, Inc.a | 372,516 | |||
Total Information Technology | 37,101,123 | ||||
| Materials (2.4%) | |||||
| 4,000 | Air Products and Chemicals, Inc. | 324,240 | |||
| 1,600 | Airgas, Inc. | 76,160 | |||
| 2,100 | AK Steel Holding Corporation | 44,835 | |||
| 18,064 | Alcoa, Inc. | 291,192 | |||
| 1,781 | Allegheny Technologies, Inc. | 79,735 | |||
| 1,800 | Ball Corporation | 93,060 | |||
| 2,000 | Bemis Company, Inc. | 59,300 | |||
| 1,000 | CF Industries Holdings, Inc. | 90,780 | |||
| 2,500 | Cliffs Natural Resources, Inc. | 115,225 | |||
| 21,577 | Dow Chemical Company | 596,173 | |||
| 17,119 | E.I. du Pont de Nemours and Company | 576,397 | |||
| 1,400 | Eastman Chemical Company | 84,336 | |||
| 4,400 | Ecolab, Inc. | 196,196 | |||
| 1,300 | FMC Corporation | 72,488 | |||
| 8,144 | Freeport-McMoRan Copper & Gold, Inc.a | 653,882 | |||
| 1,500 | International Flavors & Fragrances, Inc. | 61,710 | |||
| 8,221 | International Paper Company | 220,158 | |||
| 3,280 | MeadWestvaco Corporation | 93,906 | |||
| 10,366 | Monsanto Company | 847,421 | |||
| 9,317 | Newmont Mining Corporation | 440,787 | |||
| 6,000 | Nucor Corporation | 279,900 | |||
| 3,200 | Owens-Illinois, Inc.a | 105,184 | |||
| 2,400 | Pactiv Corporationa | 57,936 | |||
| 3,200 | PPG Industries, Inc. | 187,328 | |||
| 5,700 | Praxair, Inc. | 457,767 | |||
| 2,928 | Sealed Air Corporation | 64,006 | |||
| 2,300 | Sigma-Aldrich Corporation | 116,219 | |||
| 1,300 | Titanium Metals Corporationa | 16,276 | |||
| 2,800 | United States Steel Corporation | 154,336 | |||
| 2,300 | Vulcan Materials Company | 121,141 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (66.5%) | Value | |||
| Materials (2.4%) - continued | |||||
| 4,000 | Weyerhaeuser Company | $ | 172,560 | ||
Total Materials | 6,750,634 | ||||
| Telecommunications Services (2.1%) | |||||
| 7,600 | American Tower Corporationa | 328,396 | |||
| 111,079 | AT&T, Inc. | 3,113,544 | |||
| 5,694 | CenturyTel, Inc. | 206,180 | |||
| 5,100 | Frontier Communications Corporation | 39,831 | |||
| 4,700 | MetroPCS Communications, Inc.a | 35,861 | |||
| 26,718 | Qwest Communications International, Inc. | 112,483 | |||
| 55,169 | Sprint Nextel Corporationa | 201,918 | |||
| 53,570 | Verizon Communications, Inc. | 1,774,774 | |||
| 8,317 | Windstream Corporation | 91,404 | |||
Total Telecommunications Services | 5,904,391 | ||||
| Utilities (2.4%) | |||||
| 12,300 | AES Corporationa | 163,713 | |||
| 3,200 | Allegheny Energy, Inc. | 75,136 | |||
| 4,300 | Ameren Corporation | 120,185 | |||
| 8,940 | American Electric Power Company, Inc. | 311,023 | |||
| 7,424 | CenterPoint Energy, Inc. | 107,722 | |||
| 4,400 | CMS Energy Corporation | 68,904 | |||
| 5,200 | Consolidated Edison, Inc. | 236,236 | |||
| 3,800 | Constellation Energy Group, Inc. | 133,646 | |||
| 11,330 | Dominion Resources, Inc. | 440,964 | |||
| 3,200 | DTE Energy Company | 139,488 | |||
| 23,742 | Duke Energy Corporation | 408,600 | |||
| 6,200 | Edison International, Inc. | 215,636 | |||
| 3,500 | Entergy Corporation | 286,440 | |||
| 2,500 | EQT Corporation | 109,800 | |||
| 12,474 | Exelon Corporation | 609,604 | |||
| 5,800 | FirstEnergy Corporation | 269,410 | |||
| 7,700 | FPL Group, Inc. | 406,714 | |||
| 1,507 | Integrys Energy Group, Inc. | 63,279 | |||
| 800 | Nicor, Inc. | 33,680 | |||
| 4,734 | NiSource, Inc. | 72,809 | |||
| 3,400 | Northeast Utilities | 87,686 | |||
| 3,900 | Pepco Holdings, Inc. | 65,715 | |||
| 6,900 | PG&E Corporation | 308,085 | |||
| 2,000 | Pinnacle West Capital Corporation | 73,160 | |||
| 7,200 | PPL Corporation | 232,632 | |||
| 5,291 | Progress Energy, Inc. | 216,984 | |||
| 9,500 | Public Service Enterprise Group, Inc. | 315,875 | |||
| 3,200 | Questar Corporation | 133,024 | |||
| 2,100 | SCANA Corporation | 79,128 | |||
| 4,687 | Sempra Energy | 262,378 | |||
| 15,000 | Southern Company | 499,800 | |||
| 3,800 | TECO Energy, Inc. | 61,636 | |||
| 2,300 | Wisconsin Energy Corporation | 114,609 | |||
| 8,110 | Xcel Energy, Inc. | 172,175 | |||
Total Utilities | 6,895,876 | ||||
Total Common Stock (cost $174,760,047) | 186,956,564 | ||||
Principal | Long-Term Fixed Income (34.8%) | ||||
| Asset-Backed Securities (1.5%) | |||||
Americredit Automobile Receivables Trust | |||||
| 697,868 | 0.315%, 1/6/2010c,d | 693,193 | |||
Countrywide Asset-Backed Certificates | |||||
| 645,704 | 6.085%, 6/25/2021c | 288,936 | |||
| 774,997 | 5.549%, 4/25/2036c | 596,594 | |||
Credit Based Asset Servicing and Securitization, LLC | |||||
| 442,671 | 5.501%, 12/25/2036 | 314,409 | |||
First Franklin Mortgage Loan Asset-Backed Certificates | |||||
| 25,362 | 0.341%, 1/25/2010d | 25,194 | |||
First Horizon ABS Trust | |||||
| 665,413 | 0.361%, 1/25/2010c,d | 296,804 | |||
| 1,101,420 | 0.391%, 1/25/2010c,d | 475,934 | |||
GMAC Mortgage Corporation Loan Trust | |||||
| 1,049,908 | 0.411%, 1/25/2010c,d | 420,762 | |||
| 1,743,897 | 0.411%, 1/25/2010c,d | 450,417 | |||
IndyMac Seconds Asset-Backed Trust | |||||
| 459,715 | 0.401%, 1/25/2010c,d | 89,479 | |||
SLM Student Loan Trust | |||||
| 876 | 0.292%, 1/25/2010d | 876 | |||
Wachovia Asset Securitization, Inc. | |||||
| 1,279,034 | 0.371%, 1/25/2010c,d,e | 628,952 | |||
Total Asset-Backed Securities | 4,281,550 | ||||
| Capital Goods (0.2%) | |||||
John Deere Capital Corporation | �� | ||||
| 300,000 | 7.000%, 3/15/2012 | 332,801 | |||
United Technologies Corporation | |||||
| 225,000 | 6.050%, 6/1/2036 | 239,182 | |||
Total Capital Goods | 571,983 | ||||
| Collateralized Mortgage Obligations (0.6%) | |||||
Bear Stearns Mortgage Funding Trust | |||||
| 414,912 | 0.371%, 1/25/2010d | 80,544 | |||
Merrill Lynch Mortgage Investors, Inc. | |||||
| 1,057,998 | 4.875%, 6/25/2035 | 908,932 | |||
Thornburg Mortgage Securities Trust | |||||
| 476,058 | 0.341%, 1/25/2010d | 457,772 | |||
Total Collateralized Mortgage Obligations | 1,447,248 | ||||
| Commercial Mortgage-Backed Securities (3.4%) | |||||
Bear Stearns Commercial Mortgage Securities, Inc. | |||||
| 2,500,000 | 0.383%, 1/15/2010d,e | 2,132,745 | |||
Commercial Mortgage Pass- Through Certificates | |||||
| 67,843 | 0.333%, 1/15/2010d,f | 67,370 | |||
| 2,000,000 | 0.363%, 1/15/2010d,e | 1,595,730 | |||
Credit Suisse Mortgage Capital Certificates | |||||
| 2,000,000 | 0.403%, 1/15/2010d,f | 1,539,118 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (34.8%) | Value | ||||
| Commercial Mortgage-Backed Securities (3.4%) - continued | ||||||
General Electric Commercial Mortgage Corporation | ||||||
| $ | 200,000 | 4.641%, 9/10/2013 | $ | 204,189 | ||
GMAC Commercial Mortgage Securities, Inc. | ||||||
| 1,500,000 | 4.547%, 12/10/2041 | 1,500,626 | ||||
GS Mortgage Securities Corporation II | ||||||
| 1,000,000 | 0.365%, 1/6/2010d,f | 931,084 | ||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||
| 400,000 | 4.654%, 1/12/2037 | 398,940 | ||||
| 1,500,000 | 5.336%, 5/15/2047 | 1,300,901 | ||||
Total Commercial Mortgage- Backed Securities | 9,670,703 | |||||
| Communications Services (0.6%) | ||||||
AT&T, Inc. | ||||||
| 225,000 | 5.875%, 2/1/2012 | 243,315 | ||||
| 200,000 | 6.400%, 5/15/2038 | 205,534 | ||||
Cox Communications, Inc. | ||||||
| 115,000 | 6.450%, 12/1/2036f | 115,137 | ||||
France Telecom SA | ||||||
| 225,000 | 7.750%, 3/1/2011 | 241,148 | ||||
News America, Inc. | ||||||
| 225,000 | 6.400%, 12/15/2035 | 231,039 | ||||
Telecom Italia Capital SA | ||||||
| 550,000 | 5.250%, 11/15/2013 | 578,485 | ||||
Time Warner Cable, Inc. | ||||||
| 200,000 | 7.300%, 7/1/2038 | 221,723 | ||||
Total Communications Services | 1,836,381 | |||||
| Consumer Cyclical (0.4%) | ||||||
Wal-Mart Stores, Inc. | ||||||
| 450,000 | 7.550%, 2/15/2030 | 557,575 | ||||
Walt Disney Company | ||||||
| 500,000 | 5.625%, 9/15/2016 | 539,941 | ||||
Total Consumer Cyclical | 1,097,516 | |||||
| Consumer Non-Cyclical (0.7%) | ||||||
AmerisourceBergen Corporation | ||||||
| 300,000 | 4.875%, 11/15/2019 | 296,176 | ||||
Boston Scientific Corporation | ||||||
| 225,000 | 7.000%, 11/15/2035 | 220,781 | ||||
GlaxoSmithKline Capital, Inc. | ||||||
| 200,000 | 6.375%, 5/15/2038 | 221,575 | ||||
Kellogg Company | ||||||
| 400,000 | 4.250%, 3/6/2013 | 419,322 | ||||
Philip Morris International, Inc. | ||||||
| 200,000 | 6.375%, 5/16/2038 | 216,185 | ||||
Wyeth | ||||||
| 450,000 | 6.000%, 2/15/2036 | 470,075 | ||||
Total Consumer Non-Cyclical | 1,844,114 | |||||
| Energy (0.4%) | ||||||
Burlington Resources, Inc. | ||||||
| 500,000 | 6.500%, 12/1/2011 | 547,228 | ||||
Energy Transfer Partners, LP | ||||||
| 300,000 | 6.700%, 7/1/2018 | 321,210 | ||||
Petro-Canada | ||||||
| 200,000 | 6.800%, 5/15/2038 | 220,461 | ||||
Total Energy | 1,088,899 | |||||
| Financials (2.9%) | ||||||
BAC Capital Trust XI | ||||||
| 225,000 | 6.625%, 5/23/2036 | 201,053 | ||||
Bank of America Corporation | ||||||
| 250,000 | 6.500%, 8/1/2016 | 268,830 | ||||
Bank One Corporation | ||||||
| 750,000 | 5.900%, 11/15/2011 | 800,469 | ||||
Barclays Bank plc | ||||||
| 200,000 | 5.000%, 9/22/2016 | 204,362 | ||||
BNP Paribas SA | ||||||
| 900,000 | 5.186%, 6/29/2015f | 741,973 | ||||
Chubb Corporation | ||||||
| 400,000 | 6.500%, 5/15/2038 | 440,485 | ||||
CIGNA Corporation | ||||||
| 300,000 | 6.350%, 3/15/2018 | 302,016 | ||||
Citigroup, Inc. | ||||||
| 250,000 | 5.000%, 9/15/2014 | 241,006 | ||||
General Electric Capital Corporation | ||||||
| 500,000 | 2.200%, 6/8/2012 | 507,012 | ||||
| 225,000 | 5.875%, 1/14/2038 | 208,324 | ||||
Goldman Sachs Group, Inc. | ||||||
| 675,000 | 6.600%, 1/15/2012 | 733,819 | ||||
HSBC Finance Corporation | ||||||
| 500,000 | 5.000%, 6/30/2015 | 516,502 | ||||
HSBC Holdings plc | ||||||
| 200,000 | 6.800%, 6/1/2038 | 217,054 | ||||
J.P. Morgan Chase & Company | ||||||
| 500,000 | 3.125%, 12/1/2011 | 517,491 | ||||
Merrill Lynch & Company, Inc. | ||||||
| 450,000 | 5.000%, 2/3/2014 | 455,409 | ||||
MetLife, Inc. | ||||||
| 150,000 | 5.000%, 6/15/2015 | 157,767 | ||||
Preferred Term Securities XXIII, Ltd. | ||||||
| 1,193,842 | 0.454%, 3/22/2010d,e | 537,229 | ||||
ProLogis | ||||||
| 425,000 | 5.500%, 3/1/2013 | 420,436 | ||||
Prudential Financial, Inc. | ||||||
| 225,000 | 5.700%, 12/14/2036 | 203,293 | ||||
Wachovia Bank NA | ||||||
| 425,000 | 4.875%, 2/1/2015 | 434,046 | ||||
Washington Mutual Bank FA | ||||||
| 500,000 | 5.500%, 1/15/2013g | 2,500 | ||||
Total Financials | 8,111,076 | |||||
| Foreign (1.2%) | ||||||
Brazil Government International Bond | ||||||
| 100,000 | 5.625%, 1/7/2041 | 94,250 | ||||
Codelco | ||||||
| 300,000 | 6.375%, 11/30/2012f | 335,919 | ||||
Kreditanstalt fuer Wiederaufbau | ||||||
| 400,000 | 3.750%, 6/27/2011 | 415,364 | ||||
Province of Newfoundland | ||||||
| 500,000 | 8.650%, 10/22/2022 | 640,954 | ||||
Province of Quebec | ||||||
| 600,000 | 4.875%, 5/5/2014 | 645,269 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (34.8%) | Value | ||||
| Foreign (1.2%) - continued | ||||||
Republic of Italy | ||||||
| $ | 750,000 | 4.375%, 6/15/2013 | $ | 791,393 | ||
| 300,000 | 5.375%, 6/12/2017 | 320,344 | ||||
Total Foreign | 3,243,493 | |||||
| Mortgage-Backed Securities (11.5%) | ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||
| 1,663 | 7.500%, 8/1/2010 | 1,703 | ||||
| 6,835 | 7.000%, 2/1/2011 | 6,985 | ||||
| 4,882 | 6.000%, 5/1/2012 | 5,215 | ||||
| 2,225 | 8.000%, 6/1/2012 | 2,379 | ||||
| 3,927 | 7.000%, 8/1/2012 | 4,152 | ||||
| 7,467 | 6.500%, 11/1/2012 | 8,005 | ||||
| 9,659 | 6.500%, 8/1/2013 | 10,387 | ||||
| 29,615 | 6.000%, 2/1/2014 | 31,669 | ||||
| 68,422 | 5.500%, 4/1/2014 | 72,750 | ||||
| 32,429 | 6.000%, 4/1/2014 | 34,657 | ||||
| 24,584 | 6.000%, 4/1/2014 | 26,289 | ||||
| 30,424 | 6.500%, 6/1/2014 | 32,696 | ||||
| 20,766 | 7.500%, 9/1/2014 | 22,593 | ||||
| 757,966 | 5.500%, 12/1/2017 | 806,857 | ||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||
| 18,514 | 6.500%, 4/1/2024 | 20,036 | ||||
| 33,334 | 9.000%, 11/1/2024 | 38,463 | ||||
| 1,918 | 9.000%, 4/1/2025 | 2,211 | ||||
| 2,993 | 7.000%, 9/1/2025 | 3,339 | ||||
| 3,186 | 8.500%, 9/1/2025 | 3,662 | ||||
| 3,303 | 8.000%, 1/1/2026 | 3,788 | ||||
| 2,191 | 6.500%, 5/1/2026 | 2,371 | ||||
| 1,494 | 7.000%, 5/1/2026 | 1,666 | ||||
| 15,080 | 6.000%, 7/1/2026 | 16,149 | ||||
| 1,281 | 7.500%, 7/1/2026 | 1,442 | ||||
| 634 | 7.500%, 8/1/2026 | 714 | ||||
| 3,132 | 8.000%, 11/1/2026 | 3,595 | ||||
| 2,955 | 7.500%, 1/1/2027 | 3,327 | ||||
| 6,280 | 6.500%, 2/1/2027 | 6,797 | ||||
| 8,551 | 7.000%, 2/1/2027 | 9,462 | ||||
| 18,761 | 8.000%, 3/1/2027 | 21,534 | ||||
| 5,710 | 7.500%, 4/1/2027 | 6,431 | ||||
| 2,019 | 7.000%, 5/1/2027 | 2,234 | ||||
| 15,254 | 8.000%, 6/1/2027 | 17,514 | ||||
| 5,673 | 8.500%, 7/1/2027 | 6,531 | ||||
| 6,239 | 7.000%, 9/1/2027 | 6,903 | ||||
| 10,549 | 8.000%, 10/1/2027 | 12,112 | ||||
| 8,680 | 7.500%, 11/1/2027 | 9,777 | ||||
| 3,345 | 7.500%, 12/1/2027 | 3,768 | ||||
| 36,729 | 6.500%, 6/1/2028 | 39,759 | ||||
| 20,549 | 7.000%, 10/1/2028 | 22,715 | ||||
| 61,778 | 6.500%, 11/1/2028 | 66,875 | ||||
| 56,407 | 6.000%, 3/1/2029 | 60,461 | ||||
| 26,798 | 6.500%, 4/1/2029 | 29,009 | ||||
| 53,664 | 6.000%, 5/1/2029 | 57,521 | ||||
| 57,959 | 7.000%, 5/1/2029 | 64,035 | ||||
| 20,734 | 6.500%, 7/1/2029 | 22,444 | ||||
| 19,255 | 6.500%, 8/1/2029 | 20,844 | ||||
| 9,731 | 7.000%, 9/1/2029 | 10,751 | ||||
| 13,157 | 7.000%, 10/1/2029 | 14,536 | ||||
| 8,731 | 7.500%, 11/1/2029 | 9,820 | ||||
| 9,019 | 7.000%, 1/1/2030 | 9,960 | ||||
| 23,299 | 7.500%, 1/1/2030 | 26,183 | ||||
| 8,059 | 8.000%, 8/1/2030 | 9,234 | ||||
| 41,957 | 6.000%, 3/1/2031 | 44,959 | ||||
| 139,580 | 6.000%, 6/1/2031 | 149,569 | ||||
| 119,767 | 6.000%, 1/1/2032 | 128,338 | ||||
| 6,500,000 | 5.000%, 1/1/2040h | 6,664,528 | ||||
| 3,050,000 | 6.000%, 1/1/2040h | 3,233,952 | ||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||
| 336 | 9.000%, 4/1/2010 | 345 | ||||
| 603 | 6.000%, 2/1/2011 | 644 | ||||
| 1,897 | 8.000%, 5/1/2011 | 2,000 | ||||
| 2,851 | 7.000%, 6/1/2011 | 2,971 | ||||
| 853 | 6.500%, 7/1/2011 | 896 | ||||
| 720 | 7.500%, 7/1/2011 | 736 | ||||
| 11,427 | 6.500%, 5/1/2012 | 12,263 | ||||
| 2,744 | 6.500%, 7/1/2012 | 2,945 | ||||
| 15,115 | 7.000%, 10/1/2012 | 15,984 | ||||
| 9,129 | 6.500%, 6/1/2013 | 9,828 | ||||
| 28,618 | 6.000%, 11/1/2013 | 30,706 | ||||
| 59,355 | 5.500%, 12/1/2013 | 63,276 | ||||
| 27,893 | 6.000%, 12/1/2013 | 29,853 | ||||
| 10,018 | 7.500%, 4/1/2015 | 10,961 | ||||
| 4,000,000 | 5.000%, 1/1/2025h | 4,180,000 | ||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||
| 5,522 | 10.500%, 8/1/2020 | 6,225 | ||||
| 5,724 | 9.500%, 4/1/2025 | 6,639 | ||||
| 1,052 | 7.500%, 9/1/2025 | 1,185 | ||||
| 3,424 | 8.500%, 11/1/2025 | 3,941 | ||||
| 1,249 | 7.000%, 1/1/2026 | 1,388 | ||||
| 8,283 | 6.500%, 2/1/2026 | 8,956 | ||||
| 3,790 | 7.000%, 3/1/2026 | 4,213 | ||||
| 5,783 | 6.500%, 4/1/2026 | 6,253 | ||||
| 1,553 | 8.500%, 5/1/2026 | 1,788 | ||||
| 2,360 | 7.500%, 7/1/2026 | 2,660 | ||||
| 14,644 | 7.500%, 8/1/2026 | 16,505 | ||||
| 1,869 | 8.000%, 8/1/2026 | 2,144 | ||||
| 6,333 | 7.000%, 11/1/2026 | 7,039 | ||||
| 2,642 | 8.000%, 11/1/2026 | 3,031 | ||||
| 643 | 7.500%, 12/1/2026 | 724 | ||||
| 1,754 | 7.500%, 2/1/2027 | 1,976 | ||||
| 5,131 | 7.000%, 3/1/2027 | 5,703 | ||||
| 5,874 | 7.500%, 5/1/2027 | 6,623 | ||||
| 8,904 | 6.500%, 7/1/2027 | 9,627 | ||||
| 9,947 | 7.000%, 7/1/2027 | 11,032 | ||||
| 1,237 | 7.500%, 8/1/2027 | 1,395 | ||||
| 33,369 | 8.000%, 9/1/2027 | 38,304 | ||||
| 11,620 | 7.000%, 10/1/2027 | 12,887 | ||||
| 37,067 | 7.500%, 12/1/2027 | 41,795 | ||||
| 6,671 | 8.000%, 12/1/2027 | 7,657 | ||||
| 15,436 | 6.500%, 2/1/2028 | 16,691 | ||||
| 6,262 | 7.000%, 2/1/2028 | 6,945 | ||||
| 91,094 | 6.500%, 7/1/2028 | 98,724 | ||||
| 31,493 | 7.000%, 8/1/2028 | 34,920 | ||||
| 16,541 | 6.500%, 11/1/2028 | 17,927 | ||||
| 41,516 | 6.500%, 11/1/2028 | 44,993 | ||||
| 2,206 | 7.000%, 11/1/2028 | 2,445 | ||||
| 74,879 | 6.000%, 12/1/2028 | 80,261 | ||||
| 30,772 | 7.000%, 12/1/2028 | 34,120 | ||||
| 36,084 | 6.000%, 3/1/2029 | 38,655 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (34.8%) | Value | ||||
| Mortgage-Backed Securities (11.5%) - continued | ||||||
| $ | 37,843 | 6.500%, 6/1/2029 | $ | 40,977 | ||
| 58,932 | 6.000%, 7/1/2029 | 63,131 | ||||
| 2,104 | 6.500%, 7/1/2029 | 2,278 | ||||
| 55,002 | 7.500%, 8/1/2029 | 62,054 | ||||
| 45,616 | 6.000%, 11/1/2029 | 48,867 | ||||
| 20,865 | 7.000%, 11/1/2029 | 23,112 | ||||
| 28,737 | 7.000%, 11/1/2029 | 31,833 | ||||
| 17,982 | 8.500%, 4/1/2030 | 20,735 | ||||
| 8,725 | 7.500%, 8/1/2030 | 9,846 | ||||
| 96,895 | 6.500%, 7/1/2031 | 104,768 | ||||
| 42,744 | 6.500%, 10/1/2031 | 46,217 | ||||
| 51,134 | 6.500%, 12/1/2031 | 55,288 | ||||
| 63,686 | 6.500%, 5/1/2032 | 68,821 | ||||
| 349,477 | 6.500%, 7/1/2032 | 377,654 | ||||
| 12,700,000 | 5.500%, 1/1/2040h | 13,293,331 | ||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||
| 2,655 | 6.000%, 4/15/2011 | 2,838 | ||||
| 982 | 6.500%, 6/15/2011 | 1,046 | ||||
| 4,364 | 7.000%, 4/15/2012 | 4,644 | ||||
| 53,744 | 6.000%, 7/15/2014 | 57,606 | ||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||
| 3,969 | 9.500%, 12/15/2024 | 4,604 | ||||
| 6,497 | 9.500%, 1/15/2025 | 7,550 | ||||
| 2,775 | 7.500%, 8/15/2025 | 3,121 | ||||
| 10,928 | 7.000%, 1/15/2026 | 12,134 | ||||
| 16,828 | 7.000%, 1/15/2026 | 18,685 | ||||
| 11,396 | 7.000%, 4/15/2026 | 12,654 | ||||
| 17,053 | 6.000%, 5/15/2026 | 18,178 | ||||
| 6,180 | 7.000%, 5/15/2026 | 6,863 | ||||
| 3,658 | 7.500%, 5/15/2026 | 4,113 | ||||
| 19,278 | 7.000%, 6/15/2026 | 21,406 | ||||
| 7,089 | 8.500%, 6/15/2026 | 8,191 | ||||
| 2,576 | 8.500%, 7/15/2026 | 2,976 | ||||
| 15,904 | 8.000%, 9/15/2026 | 18,245 | ||||
| 3,911 | 7.500%, 10/15/2026 | 4,397 | ||||
| 2,550 | 8.000%, 11/15/2026 | 2,925 | ||||
| 2,847 | 8.500%, 11/15/2026 | 3,289 | ||||
| 2,713 | 9.000%, 12/15/2026 | 3,133 | ||||
| 24,185 | 7.500%, 4/15/2027 | 27,209 | ||||
| 6,216 | 8.000%, 6/20/2027 | 7,111 | ||||
| 1,245 | 8.000%, 8/15/2027 | 1,429 | ||||
| 73,657 | 6.500%, 10/15/2027 | 79,369 | ||||
| 22,905 | 7.000%, 10/15/2027 | 25,448 | ||||
| 1,259 | 7.000%, 11/15/2027 | 1,399 | ||||
| 23,863 | 7.000%, 11/15/2027 | 26,513 | ||||
| 88,490 | 7.000%, 7/15/2028 | 98,456 | ||||
| 16,838 | 7.500%, 7/15/2028 | 18,954 | ||||
| 46,585 | 6.500%, 9/15/2028 | 50,325 | ||||
| 76,094 | 6.000%, 12/15/2028 | 81,290 | ||||
| 41,216 | 6.500%, 1/15/2029 | 44,525 | ||||
| 198,676 | 6.500%, 3/15/2029 | 214,626 | ||||
| 33,163 | 6.500%, 4/15/2029 | 35,825 | ||||
| 19,378 | 7.000%, 4/15/2029 | 21,570 | ||||
| 117,093 | 6.000%, 6/15/2029 | 125,088 | ||||
| 50,416 | 7.000%, 6/15/2029 | 56,119 | ||||
| 23,636 | 8.000%, 5/15/2030 | 27,184 | ||||
| 39,358 | 7.000%, 9/15/2031 | 43,835 | ||||
| 58,338 | 6.500%, 2/15/2032 | 62,839 | ||||
Total Mortgage-Backed Securities | 32,421,059 | |||||
| Technology (0.2%) | ||||||
International Business Machines Corporation | ||||||
| 500,000 | 7.500%, 6/15/2013 | 579,428 | ||||
Total Technology | 579,428 | |||||
| Transportation (0.1%) | ||||||
Union Pacific Corporation | ||||||
| 250,000 | 6.500%, 4/15/2012 | 273,015 | ||||
Total Transportation | 273,015 | |||||
| U.S. Government and Agencies (10.5%) | ||||||
Federal Home Loan Mortgage Corporation | ||||||
| 2,800,000 | 5.125%, 11/17/2017b | 3,048,461 | ||||
Federal National Mortgage Association | ||||||
| 500,000 | 2.875%, 12/11/2013 | 510,011 | ||||
| 1,500,000 | 5.625%, 4/17/2028 | 1,546,562 | ||||
Resolution Funding Corporation | ||||||
| 1,000,000 | 8.625%, 1/15/2021 | 1,297,071 | ||||
Tennessee Valley Authority | ||||||
| 150,000 | 5.250%, 9/15/2039 | 148,628 | ||||
U.S. Treasury Bonds | ||||||
| 1,400,000 | 7.250%, 5/15/2016 | 1,733,047 | ||||
| 500,000 | 6.875%, 8/15/2025 | 634,609 | ||||
U.S. Treasury Notes | ||||||
| 2,000,000 | 1.125%, 12/15/2012 | 1,967,960 | ||||
| 4,500,000 | 2.875%, 1/31/2013 | 4,659,260 | ||||
| 1,750,000 | 2.000%, 11/30/2013 | 1,740,704 | ||||
| 5,500,000 | 2.250%, 5/31/2014 | 5,462,616 | ||||
| 1,000,000 | 4.250%, 8/15/2014 | 1,078,828 | ||||
| 1,000,000 | 2.625%, 2/29/2016 | 972,812 | ||||
| 2,850,000 | 2.750%, 2/15/2019 | 2,623,781 | ||||
| 750,000 | 3.125%, 5/15/2019 | 710,273 | ||||
| 1,500,000 | 3.625%, 8/15/2019 | 1,474,688 | ||||
Total U.S. Government and Agencies | 29,609,311 | |||||
| U.S. Municipals (<0.1%) | ||||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||
| 150,000 | 5.720%, 12/1/2038 | 149,841 | ||||
Total U.S. Municipals | 149,841 | |||||
| Utilities (0.6%) | ||||||
Commonwealth Edison Company | ||||||
| 225,000 | 5.900%, 3/15/2036 | 223,759 | ||||
Oncor Electric Delivery Company | ||||||
| 425,000 | 6.375%, 1/15/2015 | 463,606 | ||||
ONEOK Partners, LP | ||||||
| 225,000 | 6.650%, 10/1/2036 | 229,483 | ||||
Progress Energy, Inc. | ||||||
| 300,000 | 7.000%, 10/30/2031 | 326,901 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (34.8%) | Value | |||||
| Utilities (0.6%) - continued | |||||||
Southern California Edison Company | |||||||
| $ | 225,000 | 5.000%, 1/15/2014 | $ | 242,445 | |||
Xcel Energy, Inc. | |||||||
| 225,000 | 6.500%, 7/1/2036 | 237,022 | |||||
Total Utilities | 1,723,216 | ||||||
Total Long-Term Fixed Income (cost $104,391,988) | 97,948,833 | ||||||
| Shares | Collateral Held for Securities Loaned (1.6%) | ||||||
| 4,467,865 | Thrivent Financial Securities Lending Trust | 4,467,865 | |||||
Total Collateral Held for Securities Loaned (cost $4,467,865) | 4,467,865 | ||||||
| Principal Amount | Short-Term Investments (8.3%)i | ||||||
Federal Home Loan Bank Discount Notes | |||||||
| 6,000,000 | 0.030%, 1/15/2010 | 5,999,930 | |||||
| 800,000 | 0.200%, 3/17/2010j | 799,672 | |||||
Federal Home Loan Mortgage Corporation Discount Notes | |||||||
| 500,000 | 0.020%, 2/4/2010 | 499,991 | |||||
| 5,000,000 | 0.060%, 2/8/2010 | 4,999,683 | |||||
Federal National Mortgage Association Discount Notes | |||||||
| 11,000,000 | 0.050%, 2/16/2010 | 10,999,297 | |||||
Total Short-Term Investments (at amortized cost) | 23,298,573 | ||||||
Total Investments (cost $306,918,473) 111.2% | $ | 312,671,835 | |||||
Other Assets and Liabilities, Net (11.2%) | (31,513,638 | ) | |||||
Total Net Assets 100.0% | $ | 281,158,197 | |||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| c | All or a portion of the security is insured or guaranteed. |
| d | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| e | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Balanced Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 2,500,000 | ||
Commercial Mortgage Pass- Through Certificates | 10/18/2006 | 2,000,000 | |||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 1,193,842 | |||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,279,034 | |||
| f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $3,730,601 or 1.3% of total net assets. |
| g | Defaulted security. Interest is not being accrued. |
| h | Denotes investments purchased on a when-issued or delayed delivery basis. |
| i | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| j | At December 31, 2009, $799,672 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| REIT | - | Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 54,375,351 | ||
Gross unrealized depreciation | (55,891,840 | ) | ||
Net unrealized appreciation (depreciation) | $ | (1,516,489 | ) | |
Cost for federal income tax purposes | $ | 314,188,324 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Balanced Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Balanced Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||
Common Stock | ||||||||||
Consumer Discretionary | 18,071,601 | 18,071,601 | — | — | ||||||
Consumer Staples | 21,190,554 | 21,190,554 | — | — | ||||||
Energy | 21,519,321 | 21,519,321 | — | — | ||||||
Financials | 26,896,827 | 26,896,827 | — | — | ||||||
Health Care | 23,583,931 | 23,583,931 | — | — | ||||||
Industrials | 19,042,306 | 19,042,306 | — | — | ||||||
Information Technology | 37,101,123 | 37,101,123 | — | — | ||||||
Materials | 6,750,634 | 6,750,634 | — | — | ||||||
Telecommunications Services | 5,904,391 | 5,904,391 | — | — | ||||||
Utilities | 6,895,876 | 6,895,876 | — | — | ||||||
Long-Term Fixed Income | ||||||||||
Asset-Backed Securities | 4,281,550 | — | 3,652,598 | 628,952 | ||||||
Capital Goods | 571,983 | — | 571,983 | — | ||||||
Collateralized Mortgage Obligations | 1,447,248 | — | 1,447,248 | — | ||||||
Commercial Mortgage-Backed | ||||||||||
Securities | 9,670,703 | — | 9,670,703 | — | ||||||
Communications Services | 1,836,381 | — | 1,836,381 | — | ||||||
Consumer Cyclical | 1,097,516 | — | 1,097,516 | — | ||||||
Consumer Non-Cyclical | 1,844,114 | — | 1,844,114 | — | ||||||
Energy | 1,088,899 | — | 1,088,899 | — | ||||||
Financials | 8,111,076 | — | 7,573,847 | 537,229 | ||||||
Foreign | 3,243,493 | — | 3,243,493 | — | ||||||
Mortgage-Backed Securities | 32,421,059 | — | 32,421,059 | — | ||||||
Technology | 579,428 | — | 579,428 | — | ||||||
Transportation | 273,015 | — | 273,015 | — | ||||||
U.S. Government and Agencies | 29,609,311 | — | 29,609,311 | — | ||||||
U.S. Municipals | 149,841 | — | 149,841 | — | ||||||
Utilities | 1,723,216 | — | 1,723,216 | — | ||||||
Collateral Held for Securities Loaned | 4,467,865 | 4,467,865 | — | — | ||||||
Short-Term Investments | 23,298,573 | — | 23,298,573 | — | ||||||
Total | $312,671,835 | $191,424,429 | $ | 120,081,225 | $ | 1,166,181 | ||||
Other Financial Instruments* | $16,850 | $16,850 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Balanced Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Long-Term Fixed Income | |||||||||||||||||||||
Asset-Backed Securities | — | — | — | 144,435 | — | 484,517 | 628,952 | ||||||||||||||
Financials | 510,175 | — | — | 52,269 | (25,215 | ) | — | 537,229 | |||||||||||||
Total | $ | 510,175 | $ | — | $ | — | $ | 196,704 | ($25,215 | ) | $ | 484,517 | $ | 1,166,181 | |||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
S&P 500 Index Futures | 5 | March 2010 | $ | 1,371,525 | $ | 1,388,375 | $ | 16,850 | |||||
Total Futures Contracts | $ | 16,850 | |||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Balanced Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Balanced Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 16,850 | ||
Total Equity Contracts | 16,850 | ||||
Total Asset Derivatives | $ | 16,850 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Balanced Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
| Equity Contracts | |||||
Futures | Net realized gains/(losses) on Futures contracts | 633,443 | |||
Total Equity Contracts | 633,443 | ||||
Total | $ | 633,443 | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Balanced Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (27,070 | ) | ||
Total Equity Contracts | (27,070 | ) | |||
Total | ($27,070 | ) | |||
| The | following table presents Balanced Portfolio’s average volume of derivative activity during the period ended December 31, 2009. |
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $ | 4,804,681 | 1.8 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Balanced Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 12,047,152 | $ | 42,618,957 | $ | 54,666,109 | — | $ | — | $ | 20,111 | ||||||
Thrivent Financial | |||||||||||||||||
Securities Lending Trust | 16,513,429 | 54,116,277 | 66,161,841 | 4,467,865 | 4,467,865 | 142,878 | |||||||||||
Total Value and Income Earned | 28,560,581 | 4,467,865 | 162,989 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Principal Amount | Bank Loans (3.2%)a | Value | |||
| Basic Materials (0.7%) | |||||
Lyondell Chemical Company, Debtor in Possession Facility Term Loan | |||||
| $ 1,200,401 | 9.168%, 4/6/2010b,c | $ | 1,248,669 | ||
Lyondell Chemical Company, Dutch Revolving Credit Loan | |||||
| 53,993 | 3.731%, 12/20/2013 | 39,743 | |||
Lyondell Chemical Company, Dutch Tranche A Term Loan | |||||
| 122,216 | 3.731%, 12/20/2013 | 89,960 | |||
Lyondell Chemical Company, German Tranche B-1 Euro Term Loan | |||||
| 155,009 | 3.981%, 12/22/2014 | 114,097 | |||
Lyondell Chemical Company, German Tranche B-2 Euro Term Loan | |||||
| 155,009 | 3.981%, 12/22/2014 | 114,098 | |||
Lyondell Chemical Company, German Tranche B-3 Euro Term Loan | |||||
| 155,009 | 3.981%, 12/22/2014 | 114,097 | |||
Lyondell Chemical Company, Primary U.S. Revolving Credit Loan | |||||
| 202,474 | 3.731%, 12/20/2013 | 149,035 | |||
Lyondell Chemical Company, Roll-Up Term Loan Facility | |||||
| 1,198,035 | 5.794%, 4/6/2010 | 1,238,469 | |||
Lyondell Chemical Company, U.S. Tranche A Term Loan | |||||
| 385,770 | 3.731%, 12/20/2013 | 283,954 | |||
Lyondell Chemical Company, U.S. Tranche B-1 Term Loan | |||||
| 672,628 | 7.000%, 12/22/2014 | 495,101 | |||
Lyondell Chemical Company, U.S. Tranche B-2 Term Loan | |||||
| 672,628 | 7.000%, 12/22/2014 | 495,101 | |||
Lyondell Chemical Company, U.S. Tranche B-3 Term Loan | |||||
| 672,628 | 7.000%, 12/22/2014 | 495,101 | |||
Total Basic Materials | 4,877,425 | ||||
| Consumer Cyclical (1.4%) | |||||
Ford Motor Company, Term Loan | |||||
| 9,859,842 | 3.287%, 12/15/2013 | 9,083,379 | |||
Rite Aid Corporation, Term Loan | |||||
| 1,360,000 | 9.500%, 6/5/2015 | 1,403,357 | |||
Total Consumer Cyclical | 10,486,736 | ||||
| Financials (0.3%) | |||||
Nuveen Investments, Inc., Term Loan | |||||
| 2,240,000 | 12.500%, 7/31/2015 | 2,302,720 | |||
Total Financials | 2,302,720 | ||||
| Transportation (0.2%) | |||||
Delta Air Lines, Inc., Term Loan | |||||
| 1,596,000 | 8.750%, 9/27/2013 | 1,591,675 | |||
Total Transportation | 1,591,675 | ||||
| Utilities (0.6%) | |||||
Energy Future Holdings, Term Loan | |||||
| $5,906,414 | 3.735%, 10/10/2014 | 4,782,364 | |||
Total Utilities | 4,782,364 | ||||
Total Bank Loans (cost $24,036,429) | 24,040,920 | ||||
Long-Term Fixed Income (91.3%) | |||||
| Asset-Backed Securities (0.5%) | |||||
Countrywide Asset-Backed Certificates | |||||
| 1,310,022 | 0.341%, 1/25/2010d,e | 1,071,555 | |||
Renaissance Home Equity Loan Trust | |||||
| 2,722,012 | 5.746%, 5/25/2036 | 2,061,347 | |||
| 1,800,000 | 6.011%, 5/25/2036 | 1,009,110 | |||
Total Asset-Backed Securities | 4,142,012 | ||||
| Basic Materials (7.8%) | |||||
Arch Western Finance, LLC | |||||
| 3,535,000 | 6.750%, 7/1/2013 | 3,508,487 | |||
Cascades, Inc. | |||||
| 1,000,000 | 7.750%, 12/15/2017f | 1,010,000 | |||
| 1,760,000 | 7.875%, 1/15/2020f | 1,786,400 | |||
Cellu Tissue Holdings, Inc. | |||||
| 1,550,000 | 11.500%, 6/1/2014 | 1,720,500 | |||
Domtar Corporation | |||||
| 3,590,000 | 7.125%, 8/15/2015 | 3,607,950 | |||
| 1,630,000 | 10.750%, 6/1/2017 | 1,915,250 | |||
Drummond Company, Inc. | |||||
| 800,000 | 9.000%, 10/15/2014f | 839,000 | |||
| 4,225,000 | 7.375%, 2/15/2016f | 4,129,937 | |||
FMG Finance, Pty., Ltd. | |||||
| 5,235,000 | 10.625%, 9/1/2016f | 5,791,219 | |||
Graphic Packaging International, Inc. | |||||
| 4,660,000 | 9.500%, 8/15/2013 | 4,811,450 | |||
| 800,000 | 9.500%, 6/15/2017 | 848,000 | |||
Griffin Coal Mining Company, Pty., Ltd. | |||||
| 1,525,000 | 9.500%, 12/1/2016f,g | 901,656 | |||
Huntsman International, LLC | |||||
| 1,330,000 | 5.500%, 6/30/2016f | 1,180,375 | |||
Jefferson Smurfit Corporation | |||||
| 1,520,000 | 8.250%, 10/1/2012h,i | 1,337,600 | |||
NewPage Corporation | |||||
| 2,430,000 | 10.000%, 5/1/2012 | 1,737,450 | |||
| 2,100,000 | 11.375%, 12/31/2014f | 2,121,000 | |||
NOVA Chemicals Corporation | |||||
| 800,000 | 8.625%, 11/1/2019f | 814,000 | |||
Rock-Tenn Company | |||||
| 1,600,000 | 9.250%, 3/15/2016f | 1,738,000 | |||
| 850,000 | 9.250%, 3/15/2016 | 923,313 | |||
Ryerson, Inc. | |||||
| 2,300,000 | 12.000%, 11/1/2015 | 2,403,500 | |||
Smurfit-Stone Container Enterprises, Inc. | |||||
| 2,160,000 | 8.000%, 3/15/2017h,i | 1,903,500 | |||
Solutia, Inc. | |||||
| 580,000 | 8.750%, 11/1/2017 | 603,925 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (91.3%) | Value | |||
| Basic Materials (7.8%) - continued | |||||
Southern Copper Corporation | |||||
| $ 1,970,000 | 7.500%, 7/27/2035 | $ | 1,951,951 | ||
Steel Dynamics, Inc. | |||||
| 4,920,000 | 8.250%, 4/15/2016 | 5,122,950 | |||
Teck Resources, Ltd. | |||||
| 2,560,000 | 10.250%, 5/15/2016 | 2,982,400 | |||
| 2,440,000 | 10.750%, 5/15/2019 | 2,915,800 | |||
Total Basic Materials | 58,605,613 | ||||
| Capital Goods (8.3%) | |||||
Associated Materials, LLC | |||||
| 1,560,000 | 9.875%, 11/15/2016f | 1,645,800 | |||
Berry Plastics Escrow Corporation | |||||
| 2,550,000 | 8.875%, 9/15/2014f | 2,479,875 | |||
Berry Plastics Holding Corporation | |||||
| 1,800,000 | 8.875%, 9/15/2014 | 1,750,500 | |||
Case New Holland, Inc. | |||||
| 2,900,000 | 7.125%, 3/1/2014 | 2,943,500 | |||
DRS Technologies, Inc. | |||||
| 3,400,000 | 6.625%, 2/1/2016 | 3,257,914 | |||
General Cable Corporation, Convertible | |||||
| 2,257,000 | 4.500%, 11/15/2019j | 2,321,889 | |||
Goodman Global Group, Inc. | |||||
| 3,740,000 | Zero Coupon, 12/15/2014f | 2,122,450 | |||
Graham Packaging Company, LP/GPC Capital Corporation I | |||||
| 3,515,000 | 9.875%, 10/15/2014 | 3,585,300 | |||
| 2,550,000 | 8.250%, 1/1/2017f | 2,518,125 | |||
L-3 Communications Corporation | |||||
| 4,500,000 | 6.125%, 1/15/2014 | 4,528,125 | |||
Leucadia National Corporation | |||||
| 6,100,000 | 7.125%, 3/15/2017 | 5,764,500 | |||
Norcraft Companies, LP/Norcraft Finance Corporation | |||||
| 1,520,000 | 10.500%, 12/15/2015f | 1,558,000 | |||
Owens-Illinois, Inc. | |||||
| 3,470,000 | 7.800%, 5/15/2018 | 3,496,025 | |||
Plastipak Holdings, Inc. | |||||
| 2,995,000 | 8.500%, 12/15/2015f | 3,073,619 | |||
| 500,000 | 10.625%, 8/15/2019f | 551,250 | |||
RBS Global, Inc./Rexnord Corporation | |||||
| 3,125,000 | 9.500%, 8/1/2014 | 3,132,813 | |||
| 1,280,000 | 11.750%, 8/1/2016 | 1,267,200 | |||
Reynolds Group DL Escrow, Inc. | |||||
| 1,200,000 | 7.750%, 10/15/2016f | 1,227,000 | |||
RSC Equipment Rental, Inc. | |||||
| 2,800,000 | 9.500%, 12/1/2014 | 2,803,500 | |||
SPX Corporation | |||||
| 3,520,000 | 7.625%, 12/15/2014 | 3,625,600 | |||
TransDigm, Inc. | |||||
| 6,085,000 | 7.750%, 7/15/2014 | 6,161,062 | |||
United Rentals North America, Inc. | |||||
| 2,540,000 | 10.875%, 6/15/2016 | 2,762,250 | |||
Total Capital Goods | 62,576,297 | ||||
| Commercial Mortgage-Backed Securities (0.4%) | |||||
Greenwich Capital Commercial Funding Corporation | |||||
| 4,000,000 | 5.867%, 12/10/2049 | 3,069,936 | |||
Total Commercial Mortgage- Backed Securities | 3,069,936 | ||||
| Communications Services (17.5%) | |||||
Cequel Communications Holdings I, LLC | |||||
| 7,660,000 | 8.625%, 11/15/2017f | 7,736,600 | |||
Charter Communications Operating, LLC | |||||
| 2,880,000 | 8.375%, 4/30/2014f,i | 2,959,200 | |||
Clear Channel Worldwide Holdings, Inc. | |||||
| 2,620,000 | 9.250%, 12/15/2017f | 2,698,600 | |||
Cricket Communications, Inc. | |||||
| 3,870,000 | 9.375%, 11/1/2014h | 3,889,350 | |||
Crown Castle International Corporation | |||||
| 3,360,000 | 9.000%, 1/15/2015 | 3,578,400 | |||
CSC Holdings, Inc. | |||||
| 2,870,000 | 8.500%, 4/15/2014f | 3,056,550 | |||
| 3,450,000 | 8.500%, 6/15/2015f | 3,674,250 | |||
| 1,150,000 | 8.625%, 2/15/2019f | 1,237,687 | |||
Dex Media West, LLC/Dex Media West Finance Company | |||||
| 1,310,000 | 9.875%, 8/15/2013i | 412,650 | |||
DISH DBS Corporation | |||||
| 4,220,000 | 7.125%, 2/1/2016 | 4,309,675 | |||
Frontier Communications Corporation | |||||
| 3,050,000 | 8.125%, 10/1/2018 | 3,088,125 | |||
GCI, Inc. | |||||
| 4,590,000 | 8.625%, 11/15/2019f | 4,630,163 | |||
Intelsat Intermediate Holding Company, Ltd. | |||||
| 6,170,000 | Zero Coupon, 2/1/2010j | 6,339,675 | |||
Intelsat Jackson Holdings, Ltd. | |||||
| 2,380,000 | 8.500%, 11/1/2019f | 2,451,400 | |||
Intelsat Subsidiary Holding Company, Ltd. | |||||
| 7,740,000 | 8.875%, 1/15/2015 | 8,010,900 | |||
| 300,000 | 8.875%, 1/15/2015f | 309,000 | |||
Level 3 Communications, Inc., Convertible | |||||
| 1,000,000 | 5.250%, 12/15/2011 | 948,750 | |||
| 1,500,000 | 3.500%, 6/15/2012 | 1,312,500 | |||
Level 3 Financing, Inc. | |||||
| 4,890,000 | 9.250%, 11/1/2014 | 4,621,050 | |||
MetroPCS Wireless, Inc. | |||||
| 1,150,000 | 9.250%, 11/1/2014 | 1,164,375 | |||
| 4,550,000 | 9.250%, 11/1/2014h | 4,606,875 | |||
Nextel Communications, Inc. | |||||
| 2,630,000 | 6.875%, 10/31/2013 | 2,551,100 | |||
Nielsen Finance, LLC/Nielsen Finance Company | |||||
| 2,450,000 | 10.000%, 8/1/2014 | 2,554,125 | |||
| 1,500,000 | 11.500%, 5/1/2016 | 1,676,250 | |||
PAETEC Holding Corporation | |||||
| 1,550,000 | 9.500%, 7/15/2015 | 1,491,875 | |||
| 3,090,000 | 8.875%, 6/30/2017 | 3,128,625 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (91.3%) | Value | |||
| Communications Services (17.5%) - continued | |||||
Quebecor Media, Inc. | |||||
| $ 3,430,000 | 7.750%, 3/15/2016 | $ | 3,421,425 | ||
Qwest Communications International, Inc. | |||||
| 1,270,000 | 7.500%, 2/15/2014 | 1,274,763 | |||
Qwest Corporation | |||||
| 1,450,000 | 7.625%, 6/15/2015 | 1,500,750 | |||
| 600,000 | 8.375%, 5/1/2016 | 643,500 | |||
R.H. Donnelley Corporation | |||||
| 4,605,000 | 6.875%, 1/15/2013i | 431,719 | |||
Sprint Capital Corporation | |||||
| 2,830,000 | 8.375%, 3/15/2012 | 2,929,050 | |||
Sprint Nextel Corporation | |||||
| 3,540,000 | 8.375%, 8/15/2017 | 3,610,800 | |||
Time Warner Telecom Holdings, Inc. | |||||
| 5,890,000 | 9.250%, 2/15/2014 | 6,074,063 | |||
UPC Germany GmbH | |||||
| 825,000 | 8.125%, 12/1/2017f | 834,281 | |||
UPC Holding BV | |||||
| 3,700,000 | 9.875%, 4/15/2018f | 3,903,500 | |||
Videotron Ltee | |||||
| 5,060,000 | 6.875%, 1/15/2014 | 5,085,300 | |||
| 1,430,000 | 9.125%, 4/15/2018f | 1,573,000 | |||
| 860,000 | 9.125%, 4/15/2018 | 946,000 | |||
Virgin Media Finance plc | |||||
| 492,000 | 8.750%, 4/15/2014 | 507,990 | |||
| 5,330,000 | 9.125%, 8/15/2016 | 5,616,487 | |||
| 1,790,000 | 8.375%, 10/15/2019 | 1,841,462 | |||
Wind Acquisition Finance SA | |||||
| 4,180,000 | 11.750%, 7/15/2017f | 4,566,650 | |||
Wind Acquisition Holdings Finance SPA | |||||
| 1,750,000 | 12.250%, 7/15/2017f | 1,723,750 | |||
Windstream Corporation | |||||
| 1,270,000 | 8.625%, 8/1/2016 | 1,292,225 | |||
| 2,100,000 | 7.000%, 3/15/2019 | 1,963,500 | |||
Total Communications Services | 132,177,965 | ||||
| Consumer Cyclical (20.4%) | |||||
AMC Entertainment, Inc. | |||||
| 5,060,000 | 8.750%, 6/1/2019 | 5,161,200 | |||
American Axle & Manufacturing Holdings, Inc. | |||||
| 690,000 | 9.250%, 1/15/2017f | 700,350 | |||
American Axle & Manufacturing, Inc. | |||||
| 2,050,000 | 5.250%, 2/11/2014 | 1,778,375 | |||
Beazer Homes USA, Inc. | |||||
| 1,205,000 | 8.625%, 5/15/2011h | 1,174,875 | |||
| 2,060,000 | 6.875%, 7/15/2015 | 1,555,300 | |||
Blockbuster, Inc. | |||||
| 3,390,000 | 11.750%, 10/1/2014f,h | 3,220,500 | |||
Bon-Ton Stores, Inc. | |||||
| 2,980,000 | 10.250%, 3/15/2014 | 2,749,050 | |||
Burlington Coat Factory Warehouse Corporation | |||||
| 4,150,000 | 11.125%, 4/15/2014 | 4,284,875 | |||
Circus & Eldorado Joint Venture/Silver Legacy Capital Corporation | |||||
| 5,410,000 | 10.125%, 3/1/2012 | 4,787,850 | |||
Dollarama Group, LP | |||||
| 1,970,000 | 7.206%, 6/15/2010e | 2,265,500 | |||
FireKeepers Development Authority | |||||
| 5,600,000 | 13.875%, 5/1/2015f | 6,356,000 | |||
Ford Motor Company, Convertible | |||||
| 2,010,000 | 4.250%, 11/15/2016 | 2,520,038 | |||
Ford Motor Credit Company, LLC | |||||
| 10,330,000 | 8.000%, 6/1/2014 | 10,606,720 | |||
Gaylord Entertainment Company | |||||
| 6,460,000 | 6.750%, 11/15/2014h | 6,007,800 | |||
Gaylord Entertainment Company, Convertible | |||||
| 1,070,000 | 3.750%, 10/1/2014f | 1,090,063 | |||
Goodyear Tire & Rubber Company | |||||
| 1,020,000 | 10.500%, 5/15/2016 | 1,127,100 | |||
Group 1 Automotive, Inc. | |||||
| 4,660,000 | 8.250%, 8/15/2013 | 4,636,700 | |||
Hanesbrands, Inc. | |||||
| 2,460,000 | 3.831%, 6/15/2010e | 2,327,775 | |||
| 850,000 | 8.000%, 12/15/2016 | 865,938 | |||
Harrah’s Operating Company, Inc. | |||||
| 3,540,000 | 11.250%, 6/1/2017f,h | 3,703,725 | |||
Host Hotels and Resorts, LP, Convertible | |||||
| 800,000 | 2.500%, 10/15/2029f | 855,000 | |||
KB Home | |||||
| 3,460,000 | 6.250%, 6/15/2015 | 3,226,450 | |||
Limited Brands, Inc. | |||||
| 2,700,000 | 6.900%, 7/15/2017 | 2,696,625 | |||
Macy’s Retail Holdings, Inc. | |||||
| 3,450,000 | 8.875%, 7/15/2015 | 3,803,625 | |||
MGM MIRAGE | |||||
| 2,550,000 | 7.500%, 6/1/2016h | 1,989,000 | |||
| 2,000,000 | 11.125%, 11/15/2017f | 2,215,000 | |||
| 1,550,000 | 11.375%, 3/1/2018f | 1,387,250 | |||
Mohegan Tribal Gaming Authority | |||||
| 5,090,000 | 11.500%, 11/1/2017f | 5,191,800 | |||
NCL Corporation, Ltd. | |||||
| 4,090,000 | 11.750%, 11/15/2016f | 4,038,875 | |||
Neiman Marcus Group, Inc. | |||||
| 1,030,000 | 10.375%, 10/15/2015h | 1,009,400 | |||
Norcraft Holdings, LP/Norcraft Capital Corporation | |||||
| 753,000 | 9.750%, 9/1/2012 | 722,880 | |||
Peninsula Gaming, LLC | |||||
| 2,570,000 | 8.375%, 8/15/2015f | 2,563,575 | |||
| 2,810,000 | 10.750%, 8/15/2017f | 2,824,050 | |||
Perry Ellis International, Inc. | |||||
| 2,800,000 | 8.875%, 9/15/2013 | 2,786,000 | |||
Pinnacle Entertainment, Inc. | |||||
| 3,060,000 | 7.500%, 6/15/2015 | 2,815,200 | |||
Pokagon Gaming Authority | |||||
| 3,443,000 | 10.375%, 6/15/2014f | 3,580,720 | |||
Rite Aid Corporation | |||||
| 1,900,000 | 7.500%, 3/1/2017 | 1,786,000 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (91.3%) | Value | |||
| Consumer Cyclical (20.4%) - continued | |||||
| $ 1,530,000 | 9.500%, 6/15/2017 | $ | 1,331,100 | ||
Seminole Hard Rock Entertainment | |||||
| 2,870,000 | 2.754%, 3/15/2010e,f | 2,364,162 | |||
Service Corporation International | |||||
| 2,100,000 | 6.750%, 4/1/2015 | 2,058,000 | |||
Shingle Springs Tribal Gaming Authority | |||||
| 6,730,000 | 9.375%, 6/15/2015f | 5,114,800 | |||
Speedway Motorsports, Inc. | |||||
| 3,130,000 | 8.750%, 6/1/2016 | 3,302,150 | |||
Starwood Hotels & Resorts Worldwide, Inc. | |||||
| 2,400,000 | 7.875%, 10/15/2014 | 2,565,000 | |||
Toys R Us Property Company I, LLC | |||||
| 3,100,000 | 10.750%, 7/15/2017f | 3,394,500 | |||
TRW Automotive, Inc. | |||||
| 1,870,000 | 7.000%, 3/15/2014f | 1,832,600 | |||
| 2,050,000 | 8.875%, 12/1/2017f | 2,132,000 | |||
Tunica-Biloxi Gaming Authority | |||||
| 5,510,000 | 9.000%, 11/15/2015k | 4,965,887 | |||
Turning Stone Resort Casino Enterprise | |||||
| 3,040,000 | 9.125%, 9/15/2014f | 2,971,600 | |||
Universal City Development Partners, Ltd. | |||||
| 1,730,000 | 8.875%, 11/15/2015f | 1,693,237 | |||
| 2,540,000 | 10.875%, 11/15/2016f | 2,546,350 | |||
West Corporation | |||||
| 2,050,000 | 9.500%, 10/15/2014 | 2,080,750 | |||
WMG Acquisition Corporation | |||||
| 2,600,000 | 9.500%, 6/15/2016f | 2,785,250 | |||
Wyndham Worldwide Corporation | |||||
| 3,100,000 | 6.000%, 12/1/2016 | 2,887,941 | |||
Total Consumer Cyclical | 154,436,511 | ||||
| Consumer Non-Cyclical (12.4%) | |||||
Apria Healthcare Group, Inc. | |||||
| 2,590,000 | 12.375%, 11/1/2014f | 2,849,000 | |||
Biomet, Inc. | |||||
| 2,090,000 | 10.375%, 10/15/2017 | 2,267,650 | |||
| 1,810,000 | 11.625%, 10/15/2017 | 2,000,050 | |||
Community Health Systems, Inc. | |||||
| 4,680,000 | 8.875%, 7/15/2015h | 4,843,800 | |||
DJO Finance, LLC/DJO Finance Corporation | |||||
| 3,895,000 | 10.875%, 11/15/2014 | 4,109,225 | |||
HCA, Inc. | |||||
| 8,350,000 | 6.750%, 7/15/2013h | 8,224,750 | |||
| 3,124,000 | 9.625%, 11/15/2016 | 3,381,730 | |||
| 2,710,000 | 8.500%, 4/15/2019f | 2,920,025 | |||
Ingles Markets, Inc. | |||||
| 1,600,000 | 8.875%, 5/15/2017 | 1,664,000 | |||
Jarden Corporation | |||||
| 3,730,000 | 7.500%, 5/1/2017 | 3,720,675 | |||
JBS USA, LLC/JBS USA Finance, Inc. | |||||
| 3,150,000 | 11.625%, 5/1/2014f | 3,567,375 | |||
JohnsonDiversey, Inc. | |||||
| 1,500,000 | 8.250%, 11/15/2019f | 1,518,750 | |||
| 2,500,000 | 10.500%, 5/15/2020f | 2,512,500 | |||
M-Foods Holdings, Inc. | |||||
| 3,600,000 | 9.750%, 10/1/2013f | 3,739,500 | |||
Michael Foods, Inc. | |||||
| 3,240,000 | 8.000%, 11/15/2013 | 3,316,950 | |||
Omnicare, Inc. | |||||
| 3,790,000 | 6.875%, 12/15/2015 | 3,685,775 | |||
Pinnacle Foods Finance, LLC | |||||
| 3,720,000 | 9.250%, 4/1/2015h | 3,775,800 | |||
Pinnacle Foods Finance, LLC/Pinnacle Foods Finance Corporation | |||||
| 800,000 | 9.250%, 4/1/2015f | 812,000 | |||
Revlon Consumer Products Corporation | |||||
| 3,060,000 | 9.750%, 11/15/2015f | 3,159,450 | |||
Select Medical Corporation | |||||
| 1,700,000 | 6.428%, 3/15/2010e | 1,572,500 | |||
| 3,445,000 | 7.625%, 2/1/2015 | 3,341,650 | |||
Smithfield Foods, Inc. | |||||
| 950,000 | 10.000%, 7/15/2014f | 1,030,750 | |||
Stater Brothers Holdings, Inc. | |||||
| 2,150,000 | 8.125%, 6/15/2012 | 2,171,500 | |||
Sun Healthcare Group, Inc. | |||||
| 2,910,000 | 9.125%, 4/15/2015 | 2,990,025 | |||
Surgical Care Affiliates, Inc. | |||||
| 3,961,912 | 8.875%, 7/15/2015f | 3,605,340 | |||
Tenet Healthcare Corporation | |||||
| 1,700,000 | 7.375%, 2/1/2013 | 1,704,250 | |||
| 1,530,000 | 10.000%, 5/1/2018f | 1,713,600 | |||
U.S. Oncology, Inc. | |||||
| 2,090,000 | 10.750%, 8/15/2014 | 2,194,500 | |||
| 3,910,000 | 9.125%, 8/15/2017 | 4,105,500 | |||
Valeant Pharmaceuticals International | |||||
| 1,630,000 | 8.375%, 6/15/2016f | 1,678,900 | |||
Visant Holding Corporation | |||||
| 4,185,000 | 10.250%, 12/1/2013 | 4,321,012 | |||
Viskase Companies, Inc. | |||||
| 1,340,000 | 9.875%, 1/15/2018f | 1,350,050 | |||
Total Consumer Non-Cyclical | 93,848,582 | ||||
| Energy (8.1%) | |||||
Chesapeake Energy Corporation | |||||
| 1,790,000 | 7.500%, 9/15/2013 | 1,821,325 | |||
| 3,060,000 | 6.250%, 1/15/2018 | 2,937,600 | |||
Compagnie Generale de Geophysique-Veritas | |||||
| 1,600,000 | 7.500%, 5/15/2015 | 1,588,000 | |||
| 1,280,000 | 9.500%, 5/15/2016f | 1,369,600 | |||
Connacher Oil and Gas, Ltd. | |||||
| 1,220,000 | 11.750%, 7/15/2014f | 1,348,100 | |||
| 3,440,000 | 10.250%, 12/15/2015f | 3,147,600 | |||
Denbury Resources, Inc. | |||||
| 3,035,000 | 7.500%, 12/15/2015 | 3,027,413 | |||
| 1,720,000 | 9.750%, 3/1/2016 | 1,836,100 | |||
Ferrellgas Partners, LP | |||||
| 2,960,000 | 6.750%, 5/1/2014 | 2,915,600 | |||
Forest Oil Corporation | |||||
| 4,130,000 | 7.250%, 6/15/2019 | 4,078,375 | |||
Helix Energy Solutions Group, Inc. | |||||
| 2,930,000 | 9.500%, 1/15/2016f | 3,003,250 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Principal Amount | Long-Term Fixed Income (91.3%) | Value | |||
| Energy (8.1%) - continued | |||||
Mariner Energy, Inc. | |||||
| $ 2,580,000 | 11.750%, 6/30/2016 | $ | 2,876,700 | ||
McJunkin Red Man Corporation | |||||
| 4,070,000 | 9.500%, 12/15/2016f | 3,978,425 | |||
Newfield Exploration Company | |||||
| 3,900,000 | 6.625%, 4/15/2016 | 3,909,750 | |||
Penn Virginia Corporation | |||||
| 1,090,000 | 10.375%, 6/15/2016 | 1,188,100 | |||
PetroHawk Energy Corporation | |||||
| 3,190,000 | 9.125%, 7/15/2013 | 3,333,550 | |||
| 850,000 | 10.500%, 8/1/2014 | 928,625 | |||
Pioneer Natural Resources Company | |||||
| 3,080,000 | 7.500%, 1/15/2020 | 3,081,398 | |||
Plains Exploration & Production Company | |||||
| 1,670,000 | 7.750%, 6/15/2015 | 1,699,225 | |||
| 4,025,000 | 10.000%, 3/1/2016 | 4,407,375 | |||
SandRidge Energy, Inc. | |||||
| 3,150,000 | 9.875%, 5/15/2016f | 3,315,375 | |||
| 2,030,000 | 8.750%, 1/15/2020f | 2,030,000 | |||
Southwestern Energy Company | |||||
| 2,950,000 | 7.500%, 2/1/2018 | 3,127,000 | |||
Total Energy | 60,948,486 | ||||
| Financials (2.8%) | |||||
Bank of America Corporation | |||||
| 3,660,000 | 8.125%, 5/15/2018 | 3,523,628 | |||
Deluxe Corporation | |||||
| 1,425,000 | 7.375%, 6/1/2015 | 1,373,344 | |||
FTI Consulting, Inc. | |||||
| 2,050,000 | 7.625%, 6/15/2013 | 2,078,188 | |||
General Motors Acceptance Corporation, LLC | |||||
| 2,820,000 | 5.375%, 6/6/2011f | 2,714,250 | |||
| 6,512,000 | 6.875%, 9/15/2011f | 6,414,320 | |||
| 1,960,000 | 7.500%, 12/31/2013f | 1,891,400 | |||
GGP, LP, Convertible | |||||
| 1,500,000 | 3.980%, 4/15/2027f,g | 1,421,250 | |||
Nuveen Investments, Inc. | |||||
| 1,520,000 | 10.500%, 11/15/2015 | 1,379,400 | |||
Total Financials | 20,795,780 | ||||
| Technology (3.5%) | |||||
Advanced Micro Devices, Inc., Convertible | |||||
| 3,040,000 | 6.000%, 5/1/2015 | 2,736,000 | |||
Amkor Technology, Inc. | |||||
| 2,380,000 | 7.750%, 5/15/2013 | 2,418,675 | |||
First Data Corporation | |||||
| 4,170,000 | 9.875%, 9/24/2015 | 3,888,525 | |||
Freescale Semiconductor, Inc. | |||||
| 3,600,000 | 8.875%, 12/15/2014h | 3,303,000 | |||
NXP BV/NXP Funding, LLC | |||||
| 1,280,000 | 10.000%, 7/15/2013f | 1,315,200 | |||
| 2,050,000 | 7.875%, 10/15/2014 | 1,860,375 | |||
Seagate Technology HDD Holdings | |||||
| 4,805,000 | 6.800%, 10/1/2016 | 4,648,837 | |||
SunGard Data Systems, Inc. | |||||
| 1,730,000 | 9.125%, 8/15/2013 | 1,773,250 | |||
| 4,430,000 | 10.250%, 8/15/2015 | 4,717,950 | |||
Total Technology | 26,661,812 | ||||
| Transportation (3.3%) | |||||
AMR Corporation, Convertible | |||||
| 1,870,000 | 6.250%, 10/15/2014 | 1,937,788 | |||
Continental Airlines, Inc. | |||||
| 1,075,000 | 9.250%, 5/10/2017 | 1,093,813 | |||
Delta Air Lines, Inc. | |||||
| 2,670,000 | 7.920%, 11/18/2010 | 2,683,350 | |||
| 1,570,000 | 9.500%, 9/15/2014f | 1,630,837 | |||
Hertz Corporation | |||||
| 1,825,000 | 8.875%, 1/1/2014 | 1,866,063 | |||
Kansas City Southern de Mexico SA de CV | |||||
| 2,720,000 | 7.625%, 12/1/2013 | 2,679,200 | |||
| 1,130,000 | 7.375%, 6/1/2014 | 1,101,750 | |||
Kansas City Southern Railway | |||||
| 580,000 | 13.000%, 12/15/2013 | 672,800 | |||
Navios Maritime Holdings, Inc. | |||||
| 3,300,000 | 9.500%, 12/15/2014 | 3,283,500 | |||
| 1,330,000 | 8.875%, 11/1/2017f | 1,381,537 | |||
UAL Pass Through Trust | |||||
| 1,209,862 | 7.730%, 7/1/2010 | 1,209,862 | |||
United Air Lines, Inc. | |||||
| 2,300,000 | 9.750%, 1/15/2017 | 2,346,000 | |||
United Maritime Group, LLC/United Maritime Group Finance Corporation | |||||
| 2,030,000 | 11.750%, 6/15/2015f | 2,035,075 | |||
Windsor Petroleum Transport Corporation | |||||
| 1,292,606 | 7.840%, 1/15/2021k | 1,187,035 | |||
Total Transportation | 25,108,610 | ||||
| Utilities (6.3%) | |||||
AES Corporation | |||||
| 1,616,000 | 8.750%, 5/15/2013f | 1,656,400 | |||
| 3,800,000 | 7.750%, 10/15/2015 | 3,857,000 | |||
| 3,800,000 | 8.000%, 10/15/2017 | 3,899,750 | |||
Copano Energy, LLC | |||||
| 3,490,000 | 8.125%, 3/1/2016 | 3,524,900 | |||
Dynegy Holdings, Inc. | |||||
| 2,125,000 | 8.375%, 5/1/2016h | 2,018,750 | |||
Edison Mission Energy | |||||
| 2,230,000 | 7.500%, 6/15/2013h | 2,096,200 | |||
| 2,960,000 | 7.000%, 5/15/2017 | 2,338,400 | |||
| 2,810,000 | 7.200%, 5/15/2019h | 2,128,575 | |||
El Paso Corporation | |||||
| 2,280,000 | 6.875%, 6/15/2014 | 2,278,315 | |||
| 1,530,000 | 7.000%, 6/15/2017 | 1,517,442 | |||
NRG Energy, Inc. | |||||
| 5,580,000 | 7.375%, 2/1/2016 | 5,586,975 | |||
Regency Energy Partners, LP | |||||
| 3,350,000 | 8.375%, 12/15/2013 | 3,467,250 | |||
| 1,510,000 | 9.375%, 6/1/2016f | 1,608,150 | |||
Southern Star Central Corporation | |||||
| 2,503,000 | 6.750%, 3/1/2016 | 2,415,395 | |||
Texas Competitive Electric Holdings Company, LLC | |||||
| 7,620,000 | 10.250%, 11/1/2015h | 6,172,200 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (91.3%) | Value | ||||
| Utilities (6.3%) - continued | ||||||
Williams Partners, LP/Williams Partners Finance Corporation | ||||||
| $ 3,280,000 | 7.250%, 2/1/2017 | $ | 3,313,430 | |||
Total Utilities | 47,879,132 | |||||
Total Long-Term Fixed Income (cost $673,048,147) | 690,250,736 | |||||
| Shares | Preferred Stock (1.5%) | |||||
| Financials (1.5%) | ||||||
| 91,000 | Bank of America Corporation, 8.625% | 2,233,140 | ||||
| 3,400 | Bank of America Corporation, Convertible, 7.250% | 2,988,600 | ||||
| 21,200 | Citigroup, Inc., Convertible, 7.500%l | 2,212,008 | ||||
| 1,381 | GMAC, Inc., 7.000%f,l | 910,252 | ||||
| 3,000 | Wells Fargo & Company, Convertible, 7.500% | 2,754,000 | ||||
Total Financials | 11,098,000 | |||||
Total Preferred Stock (cost $9,893,057) | 11,098,000 | |||||
Common Stock (0.6%) | ||||||
| Consumer Discretionary (0.4%) | ||||||
| 33,054 | Lear Corporationl | 2,235,773 | ||||
| 12,250 | Lear Corporation Warrants, $0.01, expires 11/9/2014l | 774,200 | ||||
| 121,520 | TVMAX Holdings, Inc.l,m | 0 | ||||
Total Consumer Discretionary | 3,009,973 | |||||
| Materials (<0.1%) | ||||||
| 30 | Pliant Corporationi,l,m | 0 | ||||
| 80,000 | ZSC Specialty Chemical plc, Preferred Stock Warrants, £0.01, expires 7/1/2010k,l,m | 0 | ||||
| 80,000 | ZSC Specialty Chemical plc, Stock Warrants, £0.01, expires 7/1/2010k,l,m | 0 | ||||
Total Materials | 0 | |||||
| Telecommunications Services (<0.1%) | ||||||
| 4,621 | XO Holdings, Inc.l | 2,726 | ||||
| 9,243 | XO Holdings, Inc., Class A Stock Warrants, $6.25, expires 1/16/2010l | 5 | ||||
| 6,932 | XO Holdings, Inc., Class B Stock Warrants, $7.50, expires 1/16/2010l | 69 | ||||
| 6,932 | XO Holdings, Inc., Class C Stock Warrants, $10.00, expires 1/16/2010l | 1 | ||||
Total Telecommunications Services | 2,801 | |||||
| Utilities (0.2%) | ||||||
| 51,692 | NRG Energy, Inc.l | 1,220,448 | ||||
| 12,652 | Semgroup Corporationl,m | 322,626 | ||||
| 13,318 | Semgroup Corporation Warrants, $25, expires 11/30/2014l,m | 6,659 | ||||
Total Utilities | 1,549,733 | |||||
Total Common Stock (cost $11,345,424) | 4,562,507 | |||||
Collateral Held for Securities Loaned (4.8%) | ||||||
| 36,175,205 | Thrivent Financial Securities Lending Trust | 36,175,205 | ||||
Total Collateral Held for Securities Loaned (cost $36,175,205) | 36,175,205 | |||||
| Principal Amount | Short-Term Investments (1.0%)n | |||||
Federal National Mortgage Association Discount Notes | ||||||
| 2,500,000 | 0.050%, 2/16/2010 | 2,499,840 | ||||
Societe Generale North America, Inc. | ||||||
| 5,282,000 | 0.020%, 1/4/2010 | 5,281,991 | ||||
Total Short-Term Investments (at amortized cost) | 7,781,831 | |||||
Total Investments (cost $762,280,093) 102.4% | $ | 773,909,199 | ||||
Other Assets and Liabilities, Net (2.4%) | (17,940,653 | ) | ||||
Total Net Assets 100.0% | $ | 755,968,546 | ||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded as discussed in item 2(U) of the Notes to Financial Statements. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | All or a portion of the security is insured or guaranteed. |
| e | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $211,032,005 or 27.9% of total net assets. |
| g | Defaulted security. Interest is not being accrued. |
| h | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| i | In bankruptcy. Interest is not being accrued. |
| j | Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| k | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities High Yield Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Tunica-Biloxi Gaming Authority | 11/8/2005 | $ | 5,521,703 | ||
Windsor Petroleum Transport Corporation | 4/15/1998 | 980,020 | |||
ZSC Specialty Chemical plc, Preferred Stock Warrants, £0.01, expires 7/1/2010 | 6/24/1999 | 47,567 | |||
ZSC Specialty Chemical plc, Stock Warrants, £0.01,expires 7/1/2010 | 6/24/1999 | 111,712 | |||
| l | Non-income producing security. |
| m | Security is fair valued as discussed in item 2(A) of the Notes to Financial Statements. |
| n | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| Unrealized Appreciation (Depreciation) | ||||
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 41,420,564 | ||
Gross unrealized depreciation | (30,207,978 | ) | ||
Net unrealized appreciation (depreciation) | $ | 11,212,586 | ||
Cost for federal income tax purposes | $ | 762,696,613 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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High Yield Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing High Yield Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Bank Loans | ||||||||||||
Basic Materials | 4,877,425 | — | 4,877,425 | — | ||||||||
Consumer Cyclical | 10,486,736 | — | 10,486,736 | — | ||||||||
Financials | 2,302,720 | — | 2,302,720 | — | ||||||||
Transportation | 1,591,675 | — | 1,591,675 | — | ||||||||
Utilities | 4,782,364 | — | 4,782,364 | — | ||||||||
Long-Term Fixed Income | ||||||||||||
Asset-Backed Securities | 4,142,012 | — | 4,142,012 | — | ||||||||
Basic Materials | 58,605,613 | — | 58,605,613 | — | ||||||||
Capital Goods | 62,576,297 | — | 62,576,297 | — | ||||||||
Commercial Mortgage-Backed Securities | 3,069,936 | — | 3,069,936 | — | ||||||||
Communications Services | 132,177,965 | — | 132,177,965 | — | ||||||||
Consumer Cyclical | 154,436,511 | — | 154,436,511 | — | ||||||||
Consumer Non-Cyclical | 93,848,582 | — | 93,848,582 | — | ||||||||
Energy | 60,948,486 | — | 60,948,486 | — | ||||||||
Financials | 20,795,780 | — | 20,795,780 | — | ||||||||
Technology | 26,661,812 | — | 26,661,812 | — | ||||||||
Transportation | 25,108,610 | — | 18,869,398 | 6,239,212 | ||||||||
Utilities | 47,879,132 | — | 47,879,132 | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 11,098,000 | 10,187,748 | 910,252 | — | ||||||||
Common Stock | ||||||||||||
Consumer Discretionary | 3,009,973 | 3,009,973 | — | — | ||||||||
Materials | — | — | — | — | ||||||||
Telecommunications Services | 2,801 | 2,801 | — | — | ||||||||
Utilities | 1,549,733 | 1,220,448 | — | 329,285 | ||||||||
Collateral Held for Securities Loaned | 36,175,205 | 36,175,205 | — | — | ||||||||
Short-Term Investments | 7,781,831 | — | 7,781,831 | — | ||||||||
Total | $ | 773,909,199 | $ | 50,596,175 | $ | 716,744,527 | $ | 6,568,497 | ||||
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for High Yield Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Long-Term Fixed Income | |||||||||||||||||||||
Transportation | 3,438,128 | 54,148 | (1,172,085 | ) | 2,417,891 | (1,294,327 | ) | 2,795,457 | 6,239,212 | ||||||||||||
Preferred Stock | |||||||||||||||||||||
Financials | 1,445,526 | — | (1,332,383 | ) | 1,652,549 | (962,597 | ) | (803,095 | ) | — | |||||||||||
Common Stock | |||||||||||||||||||||
Consumer Discretionary* | — | — | — | — | — | — | — | ||||||||||||||
Materials* | — | — | — | — | — | — | — | ||||||||||||||
Utilities | — | — | — | 12,985 | 316,300 | — | 329,285 | ||||||||||||||
Total | $4,883,654 | $ | 54,148 | ($2,504,468 | ) | $ | 4,083,425 | ($1,940,624 | ) | $ | 1,992,362 | $ | 6,568,497 | ||||||||
| * | Securities in these sections are fair valued at $0. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Credit Contracts | |||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,788,912 | ) | ||
Total Credit Contracts | (1,788,912 | ) | |||
Total | ($1,788,912 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Credit Contracts | |||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 1,181,418 | |||
Total Credit Contracts | 1,181,418 | ||||
Total | $ | 1,181,418 | |||
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||
Credit Contracts | $ | 3,658,071 | 0.54 | % | ||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in High Yield Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 6,177,798 | $ | 26,434,920 | $ | 32,612,718 | — | $ | — | $ | 22,666 | ||||||
Thrivent Financial Securities Lending Trust | 49,481,715 | 246,957,672 | 260,264,182 | 36,175,205 | 36,175,205 | 278,238 | |||||||||||
Total Value and Income Earned | 55,659,513 | 36,175,205 | 300,904 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Bank Loans (0.1%)a | Value | ||||
| Financials (0.1%) | ||||||
Nuveen Investments, Inc., Term Loan | ||||||
| $ | 90,000 | 12.500%, 7/31/2015 | $ | 92,520 | ||
Total Financials | 92,520 | |||||
Total Bank Loans (cost $81,479) | 92,520 | |||||
Long-Term Fixed Income (64.8%) | ||||||
| Asset-Backed Securities (6.9%) | ||||||
Americredit Automobile Receivables Trust | ||||||
| 397,120 | 5.490%, 7/6/2012b | 402,441 | ||||
GAMUT Reinsurance, Ltd. | ||||||
| 650,000 | 7.281%, 2/1/2010c,d | 651,495 | ||||
| 250,000 | 15.281%, 2/1/2010c,d | 190,000 | ||||
GMAC Mortgage Corporation Loan Trust | ||||||
| 666,320 | 6.180%, 5/25/2036b | 600,064 | ||||
GSAMP Trust | ||||||
| 1,148,242 | 0.411%, 1/25/2010d | 838,999 | ||||
Merna Reinsurance, Ltd. | ||||||
| 400,000 | 2.001%, 3/31/2010c,d | 394,040 | ||||
| 400,000 | 3.001%, 3/31/2010c,d | 395,680 | ||||
Renaissance Home Equity Loan Trust | ||||||
| 524,960 | 5.746%, 5/25/2036 | 397,545 | ||||
| 632,000 | 6.011%, 5/25/2036 | 354,310 | ||||
| 950,000 | 5.797%, 8/25/2036 | 610,367 | ||||
Residential Asset Mortgage Products, Inc. | ||||||
| 1,035,862 | 4.547%, 12/25/2034 | 919,089 | ||||
Residential Funding Mortgage Securities | ||||||
| 234,666 | 4.470%, 7/25/2018b | 224,298 | ||||
Total Asset-Backed Securities | 5,978,328 | |||||
| Basic Materials (2.7%) | ||||||
ArcelorMittal | ||||||
| 400,000 | 6.125%, 6/1/2018 | 412,734 | ||||
Arch Western Finance, LLC | ||||||
| 160,000 | 6.750%, 7/1/2013 | 158,800 | ||||
Domtar Corporation | ||||||
| 185,000 | 7.125%, 8/15/2015 | 185,925 | ||||
Dow Chemical Company | ||||||
| 400,000 | 8.550%, 5/15/2019 | 477,258 | ||||
Drummond Company, Inc. | ||||||
| 190,000 | 7.375%, 2/15/2016c,e | 185,725 | ||||
FMG Finance, Pty., Ltd. | ||||||
| 230,000 | 10.625%, 9/1/2016c | 254,438 | ||||
Graphic Packaging International, Inc. | ||||||
| 110,000 | 9.500%, 8/15/2013 | 113,575 | ||||
Griffin Coal Mining Company, Pty., Ltd. | ||||||
| 160,000 | 9.500%, 12/1/2016c,f | 94,600 | ||||
Jefferson Smurfit Corporation | ||||||
| 80,000 | 8.250%, 10/1/2012g | 70,400 | ||||
Smurfit-Stone Container Enterprises, Inc. | ||||||
| 160,000 | 8.000%, 3/15/2017g,h | 141,000 | ||||
Teck Resources, Ltd. | ||||||
| 100,000 | 10.250%, 5/15/2016 | 116,500 | ||||
| 100,000 | 10.750%, 5/15/2019 | 119,500 | ||||
Total Basic Materials | 2,330,455 | |||||
| Capital Goods (2.5%) | ||||||
Associated Materials, LLC | ||||||
| 30,000 | 9.875%, 11/15/2016c | 31,650 | ||||
Berry Plastics Escrow Corporation | ||||||
| 80,000 | 8.875%, 9/15/2014c | 77,800 | ||||
Case New Holland, Inc. | ||||||
| 210,000 | 7.125%, 3/1/2014e | 213,150 | ||||
General Cable Corporation, Convertible | ||||||
| 92,000 | 4.500%, 11/15/2019i | 94,645 | ||||
Graham Packaging Company, LP/GPC Capital Corporation I | ||||||
| 90,000 | 8.250%, 1/1/2017c | 88,875 | ||||
L-3 Communications Corporation | ||||||
| 260,000 | 5.875%, 1/15/2015 | 259,675 | ||||
Leucadia National Corporation | ||||||
| 210,000 | 7.125%, 3/15/2017 | 198,450 | ||||
Norcraft Companies, LP/Norcraft Finance Corporation | ||||||
| 60,000 | 10.500%, 12/15/2015c | 61,500 | ||||
Owens-Illinois, Inc. | ||||||
| 180,000 | 7.800%, 5/15/2018 | 181,350 | ||||
RBS Global, Inc./Rexnord Corporation | ||||||
| 210,000 | 9.500%, 8/1/2014 | 210,525 | ||||
| 30,000 | 11.750%, 8/1/2016 | 29,700 | ||||
SPX Corporation | ||||||
| 205,000 | 7.625%, 12/15/2014 | 211,150 | ||||
Textron, Inc. | ||||||
| 300,000 | 7.250%, 10/1/2019 | 310,521 | ||||
TransDigm, Inc. | ||||||
| 110,000 | 7.750%, 7/15/2014 | 111,375 | ||||
United Rentals North America, Inc. | ||||||
| 100,000 | 10.875%, 6/15/2016 | 108,750 | ||||
Total Capital Goods | 2,189,116 | |||||
| Collateralized Mortgage Obligations (12.3%) | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||
| 1,177,971 | 4.625%, 8/25/2010d | 1,002,195 | ||||
Citigroup Mortgage Loan Trust, Inc. | ||||||
| 765,073 | 5.500%, 11/25/2035 | 547,239 | ||||
Citimortgage Alternative Loan Trust | ||||||
| 1,014,241 | 5.750%, 4/25/2037 | 748,172 | ||||
Countrywide Alternative Loan Trust | ||||||
| 706,383 | 6.000%, 4/25/2036 | 639,378 | ||||
| 450,298 | 6.000%, 1/25/2037 | 311,686 | ||||
Deutsche Alt-A Securities, Inc. | ||||||
| 1,505,382 | 1.001%, 1/1/2010d | 814,621 | ||||
| 463,294 | 5.500%, 10/25/2021 | 350,945 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (64.8%) | Value | |||
| Collateralized Mortgage Obligations (12.3%) - continued | |||||
First Horizon Mortgage Pass- Through Trust | |||||
| $ 707,743 | 5.845%, 8/25/2037 | $ | 503,039 | ||
GSR Mortgage Loan Trust | |||||
| 895,357 | 0.421%, 1/25/2010d | 642,159 | |||
J.P. Morgan Alternative Loan Trust | |||||
| 215,309 | 0.301%, 1/25/2010d | 197,612 | |||
J.P. Morgan Mortgage Trust | |||||
| 382,045 | 6.500%, 1/25/2035 | 351,840 | |||
| 590,205 | 5.994%, 10/25/2036 | 491,056 | |||
MASTR Alternative Loans Trust | |||||
| 995,745 | 6.500%, 5/25/2034 | 917,019 | |||
| 416,556 | 6.500%, 7/25/2034 | 396,119 | |||
Structured Adjustable Rate Mortgage Loan Trust | |||||
| 624,982 | 5.917%, 9/25/2036 | 161,396 | |||
WaMu Mortgage Pass Through Certificates | |||||
| 779,772 | 5.606%, 11/25/2036 | 643,900 | |||
| 631,564 | 5.838%, 8/25/2046 | 534,130 | |||
Washington Mutual Mortgage Pass-Through Certificates | |||||
| 1,224,567 | 1.294%, 1/1/2010d | 523,609 | |||
Wells Fargo Mortgage Backed Securities Trust | |||||
| 1,488,542 | 6.026%, 9/25/2036 | 369,242 | |||
| 761,409 | 6.000%, 7/25/2037 | 616,028 | |||
Total Collateralized Mortgage Obligations | 10,761,385 | ||||
| Commercial Mortgage-Backed Securities (7.6%) | |||||
Banc of America Commercial Mortgage, Inc. | |||||
| 750,000 | 5.928%, 5/10/2045 | 737,045 | |||
| 750,000 | 5.356%, 10/10/2045 | 672,357 | |||
Commercial Mortgage Pass- Through Certificates | |||||
| 1,000,000 | 0.413%, 1/15/2010d,j | 826,971 | |||
Greenwich Capital Commercial Funding Corporation | |||||
| 750,000 | 5.867%, 12/10/2049 | 575,613 | |||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | |||||
| 1,250,000 | 5.336%, 5/15/2047 | 1,084,084 | |||
LB-UBS Commercial Mortgage Trust | |||||
| 750,000 | 4.568%, 1/15/2031 | 733,624 | |||
Wachovia Bank Commercial Mortgage Trust | |||||
| 2,000,000 | 0.353%, 1/15/2010d,j | 1,357,666 | |||
| 750,000 | 5.765%, 7/15/2045 | 679,307 | |||
Total Commercial Mortgage- Backed Securities | 6,666,667 | ||||
| Communications Services (5.2%) | |||||
CBS Corporation | |||||
| 300,000 | 8.875%, 5/15/2019e | 358,897 | |||
Cequel Communications Holdings I, LLC | |||||
| 240,000 | 8.625%, 11/15/2017c,e | 242,400 | |||
Charter Communications Operating, LLC | |||||
| 200,000 | 8.375%, 4/30/2014c,g | 205,500 | |||
Cricket Communications, Inc. | |||||
| 205,000 | 9.375%, 11/1/2014 | 206,025 | |||
CSC Holdings, Inc. | |||||
| 100,000 | 8.500%, 4/15/2014c | 106,500 | |||
Dex Media West, LLC/Dex Media West Finance Company | |||||
| 70,000 | 9.875%, 8/15/2013g | 22,050 | |||
DISH DBS Corporation | |||||
| 215,000 | 6.625%, 10/1/2014 | 216,881 | |||
Frontier Communications Corporation | |||||
| 100,000 | 8.125%, 10/1/2018 | 101,250 | |||
GCI, Inc. | |||||
| 150,000 | 8.625%, 11/15/2019c | 151,313 | |||
Intelsat Subsidiary Holding Company, Ltd. | |||||
| 160,000 | 8.500%, 1/15/2013 | 163,200 | |||
| 205,000 | 8.875%, 1/15/2015 | 212,175 | |||
Level 3 Communications, Inc., Convertible | |||||
| 50,000 | 5.250%, 12/15/2011 | 47,437 | |||
| 40,000 | 3.500%, 6/15/2012 | 35,000 | |||
Level 3 Financing, Inc. | |||||
| 280,000 | 9.250%, 11/1/2014 | 264,600 | |||
Nielsen Finance, LLC/Nielsen Finance Company | |||||
| 100,000 | 10.000%, 8/1/2014 | 104,250 | |||
PAETEC Holding Corporation | |||||
| 50,000 | 9.500%, 7/15/2015 | 48,125 | |||
| 120,000 | 8.875%, 6/30/2017 | 121,500 | |||
Quebecor Media, Inc. | |||||
| 250,000 | 7.750%, 3/15/2016 | 249,375 | |||
Qwest Communications International, Inc. | |||||
| 200,000 | 7.250%, 2/15/2011 | 201,000 | |||
R.H. Donnelley Corporation | |||||
| 200,000 | 6.875%, 1/15/2013g | 18,750 | |||
R.H. Donnelley, Inc. | |||||
| 4,000 | 11.750%, 5/15/2015c,g | 3,300 | |||
Sprint Capital Corporation | |||||
| 210,000 | 8.375%, 3/15/2012 | 217,350 | |||
Sprint Nextel Corporation | |||||
| 140,000 | 8.375%, 8/15/2017 | 142,800 | |||
Time Warner Cable, Inc. | |||||
| 300,000 | 8.250%, 4/1/2019 | 357,328 | |||
Videotron Ltee | |||||
| 260,000 | 6.875%, 1/15/2014 | 261,300 | |||
Virgin Media Finance plc | |||||
| 170,000 | 9.125%, 8/15/2016 | 179,138 | |||
| 60,000 | 8.375%, 10/15/2019 | 61,725 | |||
Wind Acquisition Finance SA | |||||
| 120,000 | 11.750%, 7/15/2017c | 131,100 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (64.8%) | Value | |||
| Communications Services (5.2%) - continued | |||||
Wind Acquisition Holdings Finance SPA | |||||
| $ 60,000 | 12.250%, 7/15/2017c | $ | 59,100 | ||
Total Communications Services | 4,489,369 | ||||
| Consumer Cyclical (6.2%) | |||||
AMC Entertainment, Inc. | |||||
| 190,000 | 8.750%, 6/1/2019 | 193,800 | |||
American Axle & Manufacturing, Inc. | |||||
| 50,000 | 5.250%, 2/11/2014 | 43,375 | |||
Beazer Homes USA, Inc. | |||||
| 50,000 | 6.875%, 7/15/2015 | 37,750 | |||
Blockbuster, Inc. | |||||
| 60,000 | 11.750%, 10/1/2014c,h | 57,000 | |||
Bon-Ton Stores, Inc. | |||||
| 135,000 | 10.250%, 3/15/2014 | 124,537 | |||
Burlington Coat Factory Warehouse Corporation | |||||
| 130,000 | 11.125%, 4/15/2014 | 134,225 | |||
Circus & Eldorado Joint Venture/Silver Legacy Capital Corporation | |||||
| 230,000 | 10.125%, 3/1/2012 | 203,550 | |||
CVS Caremark Corporation | |||||
| 800,000 | 6.302%, 6/1/2037 | 690,000 | |||
Dollarama Group, LP | |||||
| 102,000 | 7.206%, 6/15/2010d | 117,300 | |||
Ford Motor Company, Convertible | |||||
| 80,000 | 4.250%, 11/15/2016 | 100,300 | |||
Ford Motor Credit Company, LLC | |||||
| 410,000 | 8.000%, 6/1/2014 | 420,983 | |||
Gaylord Entertainment Company | |||||
| 130,000 | 6.750%, 11/15/2014 | 120,900 | |||
Goodyear Tire & Rubber Company | |||||
| 100,000 | 8.625%, 12/1/2011 | 103,750 | |||
Harrah’s Operating Company, Inc. | |||||
| 130,000 | 11.250%, 6/1/2017c,h | 136,013 | |||
KB Home | |||||
| 220,000 | 6.250%, 6/15/2015 | 205,150 | |||
Limited Brands, Inc. | |||||
| 200,000 | 6.900%, 7/15/2017 | 199,750 | |||
MGM MIRAGE | |||||
| 100,000 | 7.500%, 6/1/2016 | 78,000 | |||
| 60,000 | 11.125%, 11/15/2017c | 66,450 | |||
| 40,000 | 11.375%, 3/1/2018c | 35,800 | |||
Mohegan Tribal Gaming Authority | |||||
| 200,000 | 11.500%, 11/1/2017c | 204,000 | |||
NCL Corporation, Ltd. | |||||
| 130,000 | 11.750%, 11/15/2016c | 128,375 | |||
Neiman Marcus Group, Inc. | |||||
| 30,000 | 10.375%, 10/15/2015h | 29,400 | |||
Peninsula Gaming, LLC | |||||
| 90,000 | 8.375%, 8/15/2015c | 89,775 | |||
| 90,000 | 10.750%, 8/15/2017c | 90,450 | |||
Pinnacle Entertainment, Inc. | |||||
| 100,000 | 7.500%, 6/15/2015 | 92,000 | |||
Pokagon Gaming Authority | |||||
| 196,000 | 10.375%, 6/15/2014c | 203,840 | |||
Rite Aid Corporation | |||||
| 160,000 | 7.500%, 3/1/2017 | 150,400 | |||
| 50,000 | 9.500%, 6/15/2017 | 43,500 | |||
Service Corporation International | |||||
| 130,000 | 6.750%, 4/1/2015 | 127,400 | |||
Shingle Springs Tribal Gaming Authority | |||||
| 180,000 | 9.375%, 6/15/2015c | 136,800 | |||
Speedway Motorsports, Inc. | |||||
| 50,000 | 8.750%, 6/1/2016 | 52,750 | |||
Toys R Us Property Company I, LLC | |||||
| 110,000 | 10.750%, 7/15/2017c | 120,450 | |||
TRW Automotive, Inc. | |||||
| 180,000 | 7.000%, 3/15/2014c | 176,400 | |||
| 70,000 | 8.875%, 12/1/2017c | 72,800 | |||
Tunica-Biloxi Gaming Authority | |||||
| 260,000 | 9.000%, 11/15/2015j | 234,325 | |||
Turning Stone Resort Casino Enterprise | |||||
| 180,000 | 9.125%, 9/15/2014c | 175,950 | |||
Universal City Development Partners, Ltd. | |||||
| 100,000 | 10.875%, 11/15/2016c | 100,250 | |||
West Corporation | |||||
| 50,000 | 9.500%, 10/15/2014 | 50,750 | |||
Wyndham Worldwide Corporation | |||||
| 100,000 | 6.000%, 12/1/2016 | 93,159 | |||
Total Consumer Cyclical | 5,441,407 | ||||
| Consumer Non-Cyclical (3.6%) | |||||
Altria Group, Inc. | |||||
| 300,000 | 9.950%, 11/10/2038 | 391,053 | |||
Biomet, Inc. | |||||
| 80,000 | 10.375%, 10/15/2017 | 86,800 | |||
Community Health Systems, Inc. | |||||
| 280,000 | 8.875%, 7/15/2015 | 289,800 | |||
DJO Finance, LLC/DJO Finance Corporation | |||||
| 100,000 | 10.875%, 11/15/2014e | 105,500 | |||
HCA, Inc. | |||||
| 200,000 | 6.750%, 7/15/2013 | 197,000 | |||
| 340,000 | 9.250%, 11/15/2016 | 365,075 | |||
Jarden Corporation | |||||
| 190,000 | 7.500%, 5/1/2017 | 189,525 | |||
JohnsonDiversey, Inc. | |||||
| 50,000 | 8.250%, 11/15/2019c | 50,625 | |||
| 100,000 | 10.500%, 5/15/2020c | 100,500 | |||
M-Foods Holdings, Inc. | |||||
| 150,000 | 9.750%, 10/1/2013c | 155,812 | |||
Michael Foods, Inc. | |||||
| 160,000 | 8.000%, 11/15/2013 | 163,800 | |||
Omnicare, Inc. | |||||
| 110,000 | 6.875%, 12/15/2015 | 106,975 | |||
Revlon Consumer Products Corporation | |||||
| 100,000 | 9.750%, 11/15/2015c | 103,250 | |||
Stater Brothers Holdings, Inc. | |||||
| 210,000 | 8.125%, 6/15/2012 | 212,100 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (64.8%) | Value | |||
| Consumer Non-Cyclical (3.6%) - continued | |||||
Tenet Healthcare Corporation | |||||
| $ 200,000 | 7.375%, 2/1/2013 | $ | 200,500 | ||
| 100,000 | 10.000%, 5/1/2018c | 112,000 | |||
U.S. Oncology, Inc. | |||||
| 80,000 | 10.750%, 8/15/2014 | 84,000 | |||
| 100,000 | 9.125%, 8/15/2017 | 105,000 | |||
Visant Corporation | |||||
| 100,000 | 7.625%, 10/1/2012 | 100,500 | |||
Total Consumer Non-Cyclical | 3,119,815 | ||||
| Energy (3.8%) | |||||
Chesapeake Energy Corporation | |||||
| 320,000 | 6.375%, 6/15/2015 | 313,600 | |||
| 140,000 | 6.250%, 1/15/2018 | 134,400 | |||
Compagnie Generale de Geophysique-Veritas | |||||
| 250,000 | 7.500%, 5/15/2015 | 248,125 | |||
Connacher Oil and Gas, Ltd. | |||||
| 220,000 | 10.250%, 12/15/2015c | 201,300 | |||
Denbury Resources, Inc. | |||||
| 155,000 | 7.500%, 12/15/2015 | 154,612 | |||
Enbridge Energy Partners, LP | |||||
| 400,000 | 8.050%, 10/1/2037 | 371,865 | |||
Forest Oil Corporation | |||||
| 210,000 | 7.250%, 6/15/2019 | 207,375 | |||
Helix Energy Solutions Group, Inc. | |||||
| 200,000 | 9.500%, 1/15/2016c | 205,000 | |||
Marathon Oil Corporation | |||||
| 300,000 | 7.500%, 2/15/2019 | 346,235 | |||
Mariner Energy, Inc. | |||||
| 90,000 | 11.750%, 6/30/2016 | 100,350 | |||
McJunkin Red Man Corporation | |||||
| 150,000 | 9.500%, 12/15/2016c | 146,625 | |||
Newfield Exploration Company | |||||
| 135,000 | 6.625%, 4/15/2016 | 135,338 | |||
PetroHawk Energy Corporation | |||||
| 200,000 | 9.125%, 7/15/2013 | 209,000 | |||
Pioneer Natural Resources Company | |||||
| 70,000 | 7.500%, 1/15/2020 | 70,032 | |||
Plains Exploration & Production Company | |||||
| 150,000 | 7.750%, 6/15/2015 | 152,625 | |||
| 185,000 | 10.000%, 3/1/2016 | 202,575 | |||
SandRidge Energy, Inc. | |||||
| 70,000 | 9.875%, 5/15/2016c | 73,675 | |||
| 80,000 | 8.750%, 1/15/2020c | 80,000 | |||
Total Energy | 3,352,732 | ||||
| Financials (7.6%) | |||||
Bank of America Corporation | |||||
| 240,000 | 8.000%, 1/30/2018 | 231,058 | |||
Deluxe Corporation | |||||
| 100,000 | 5.125%, 10/1/2014 | 90,250 | |||
ERP Operating, LP | |||||
| 300,000 | 5.750%, 6/15/2017 | 300,034 | |||
General Motors Acceptance Corporation, LLC | |||||
| 110,000 | 5.375%, 6/6/2011c | 105,875 | |||
| 105,000 | 6.875%, 9/15/2011c | 103,425 | |||
| 80,000 | 7.500%, 12/31/2013c | 77,200 | |||
GGP, LP, Convertible | |||||
| 70,000 | 3.980%, 4/15/2027c,f | 66,325 | |||
HCP, Inc. | |||||
| 300,000 | 6.700%, 1/30/2018 | 291,040 | |||
J.P. Morgan Chase Capital XX | |||||
| 440,000 | 6.550%, 9/29/2036 | 403,259 | |||
Lehman Brothers Holdings, Inc. | |||||
| 400,000 | 7.000%, 9/27/2027g | 78,000 | |||
Liberty Mutual Group, Inc. | |||||
| 200,000 | 10.750%, 6/15/2058c | 212,000 | |||
Lincoln National Corporation | |||||
| 630,000 | 7.000%, 5/17/2066 | 522,900 | |||
MetLife, Inc. | |||||
| 450,000 | 7.875%, 12/15/2037c | 447,750 | |||
Nuveen Investments, Inc. | |||||
| 60,000 | 10.500%, 11/15/2015 | 54,450 | |||
ProLogis | |||||
| 400,000 | 5.625%, 11/15/2016 | 368,618 | |||
Prudential Financial, Inc. | |||||
| 365,000 | 8.875%, 6/15/2038 | 386,900 | |||
Rabobank Nederland | |||||
| 315,000 | 11.000%, 6/30/2019c | 384,065 | |||
Regency Centers, LP | |||||
| 300,000 | 5.875%, 6/15/2017 | 277,620 | |||
Reinsurance Group of America, Inc. | |||||
| 600,000 | 6.750%, 12/15/2065 | 507,178 | |||
SLM Corporation | |||||
| 300,000 | 5.125%, 8/27/2012 | 281,242 | |||
Swiss RE Capital I, LP | |||||
| 420,000 | 6.854%, 5/25/2016c | 339,486 | |||
Wachovia Capital Trust III | |||||
| 320,000 | 5.800%, 3/15/2011 | 244,800 | |||
Wells Fargo Capital XIII | |||||
| 240,000 | 7.700%, 3/26/2013 | 232,800 | |||
XL Capital, Ltd. | |||||
| 800,000 | 6.500%, 4/15/2017 | 604,000 | |||
Total Financials | 6,610,275 | ||||
| Technology (1.3%) | |||||
Advanced Micro Devices, Inc., Convertible | |||||
| 100,000 | 6.000%, 5/1/2015e | 90,000 | |||
Amkor Technology, Inc. | |||||
| 100,000 | 7.750%, 5/15/2013 | 101,625 | |||
First Data Corporation | |||||
| 350,000 | 9.875%, 9/24/2015 | 326,375 | |||
Freescale Semiconductor, Inc. | |||||
| 100,000 | 8.875%, 12/15/2014 | 91,750 | |||
NXP BV/NXP Funding, LLC | |||||
| 21,000 | 10.000%, 7/15/2013c | 21,577 | |||
| 60,000 | 7.875%, 10/15/2014 | 54,450 | |||
Seagate Technology HDD Holdings | |||||
| 130,000 | 6.800%, 10/1/2016 | 125,775 | |||
Sungard Data Systems, Inc. | |||||
| 330,000 | 4.875%, 1/15/2014 | 307,725 | |||
Total Technology | 1,119,277 | ||||
| Transportation (1.0%) | |||||
Delta Air Lines, Inc. | |||||
| 140,000 | 7.920%, 11/18/2010 | 140,700 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (64.8%) | Value | |||
| Transportation (1.0%) - continued | |||||
Hertz Corporation | |||||
| $270,000 | 8.875%, 1/1/2014 | $ | 276,075 | ||
Kansas City Southern de Mexico SA de CV | |||||
| 150,000 | 7.625%, 12/1/2013 | 147,750 | |||
| 200,000 | 12.500%, 4/1/2016 | 230,000 | |||
United Maritime Group, LLC/United Maritime Group Finance Corporation | |||||
| 80,000 | 11.750%, 6/15/2015c | 80,200 | |||
Total Transportation | 874,725 | ||||
| Utilities (4.1%) | |||||
AES Corporation | |||||
| 330,000 | 7.750%, 10/15/2015e | 334,950 | |||
Dominion Resources, Inc. | |||||
| 400,000 | 6.300%, 9/30/2066 | 352,000 | |||
Dynegy Holdings, Inc. | |||||
| 120,000 | 8.375%, 5/1/2016h | 114,000 | |||
Edison Mission Energy | |||||
| 130,000 | 7.750%, 6/15/2016 | 110,500 | |||
| 200,000 | 7.000%, 5/15/2017 | 158,000 | |||
El Paso Corporation | |||||
| 250,000 | 6.875%, 6/15/2014 | 249,815 | |||
Energy Transfer Partners, LP | |||||
| 300,000 | 6.625%, 10/15/2036 | 299,400 | |||
Enterprise Products Operating, LLC | |||||
| 700,000 | 7.034%, 1/15/2068 | 642,250 | |||
NRG Energy, Inc. | |||||
| 320,000 | 7.375%, 2/1/2016 | 320,400 | |||
Regency Energy Partners, LP | |||||
| 100,000 | 8.375%, 12/15/2013 | 103,500 | |||
| 130,000 | 9.375%, 6/1/2016c | 138,450 | |||
Southern Star Central Corporation | |||||
| 110,000 | 6.750%, 3/1/2016 | 106,150 | |||
Southern Union Company | |||||
| 200,000 | 7.200%, 11/1/2066 | 171,000 | |||
TransCanada PipeLines, Ltd. | |||||
| 400,000 | 6.350%, 5/15/2067 | 375,307 | |||
Williams Partners, LP/Williams Partners Finance Corporation | |||||
| 120,000 | 7.250%, 2/1/2017 | 121,223 | |||
Total Utilities | 3,596,945 | ||||
Total Long-Term Fixed Income (cost $57,444,248) | 56,530,496 | ||||
| Shares | Common Stock (25.6%) | ||||
| Consumer Discretionary (2.0%) | |||||
| 2,800 | Genuine Parts Company | 106,288 | |||
| 13,600 | Home Depot, Inc. | 393,448 | |||
| 1,636 | Lear Corporationk | 110,659 | |||
| 606 | Lear Corporation Warrants, $0.01, expires 11/9/2014k | 38,299 | |||
| 2,600 | McDonald’s Corporation | 162,344 | |||
| 8,300 | Omnicom Group, Inc. | 324,945 | |||
| 900 | Starwood Hotels & Resorts Worldwide, Inc. | 32,913 | |||
| 5,000 | Target Corporation | 241,850 | |||
| 6,532 | Time Warner, Inc. | 190,343 | |||
| 2,000 | VF Corporation | 146,480 | |||
Total Consumer Discretionary | 1,747,569 | ||||
| Consumer Staples (2.6%) | |||||
| 7,300 | Altria Group, Inc. | 143,299 | |||
| 8,700 | Coca-Cola Enterprises, Inc. | 184,440 | |||
| 1,800 | General Mills, Inc. | 127,458 | |||
| 2,400 | Kimberly-Clark Corporation | 152,904 | |||
| 6,200 | Kraft Foods, Inc. | 168,516 | |||
| 2,100 | Lorillard, Inc. | 168,483 | |||
| 2,177 | Mead Johnson Nutrition Company | 95,135 | |||
| 10,500 | Nu Skin Enterprises, Inc. | 282,135 | |||
| 5,000 | Philip Morris International, Inc. | 240,950 | |||
| 3,037 | Procter & Gamble Company | 184,133 | |||
| 10,200 | SYSCO Corporation | 284,988 | |||
| 4,000 | Wal-Mart Stores, Inc. | 213,800 | |||
Total Consumer Staples | 2,246,241 | ||||
| Energy (3.0%) | |||||
| 2,600 | BP plc ADR | 150,722 | |||
| 6,600 | Chevron Corporation | 508,134 | |||
| 8,200 | ConocoPhillipse | 418,774 | |||
| 5,400 | Exxon Mobil Corporation | 368,226 | |||
| 7,300 | Marathon Oil Corporation | 227,906 | |||
| 8,000 | Noble Corporation | 325,600 | |||
| 1,800 | Occidental Petroleum Corporation | 146,430 | |||
| 2,900 | Royal Dutch Shell plc ADR | 174,319 | |||
| 4,100 | Teekay Corporation | 95,161 | |||
| 9,000 | World Fuel Services Corporation | 241,110 | |||
Total Energy | 2,656,382 | ||||
| Financials (7.6%) | |||||
| 1,500 | Acadia Realty Trust | 25,305 | |||
| 4,000 | AFLAC, Inc. | 185,000 | |||
| 3,400 | Alexandria Real Estate Equities, Inc.h | 218,586 | |||
| 4,600 | Allstate Corporatione | 138,184 | |||
| 2,200 | AMB Property Corporation | 56,210 | |||
| 1,500 | American Campus Communities, Inc. | 42,150 | |||
| 4,500 | Ameriprise Financial, Inc. | 174,690 | |||
| 1,200 | Apartment Investment & Management Company | 19,104 | |||
| 1,437 | AvalonBay Communities, Inc. | 117,992 | |||
| 14,200 | Banco Bradesco SA ADR | 310,554 | |||
| 10,200 | Banco Santander SA ADR | 167,688 | |||
| 15,600 | Bank of America Corporatione | 234,936 | |||
| 4,000 | Bank of New York Mellon Corporation | 111,880 | |||
| 1,500 | BioMed Realty Trust, Inc. | 23,670 | |||
| 2,300 | Boston Properties, Inc. | 154,261 | |||
| 2,200 | Brandywine Realty Trust | 25,080 | |||
| 900 | BRE Properties, Inc. | 29,772 | |||
| 2,700 | Brookfield Properties Corporation | 32,724 | |||
| 15,700 | Brown & Brown, Inc.e | 282,129 | |||
| 1,400 | Camden Property Trust | 59,318 | |||
| 2,000 | CBL & Associates Properties, Inc. | 19,340 | |||
| 3,000 | Chubb Corporation | 147,540 | |||
| 1,500 | Corporate Office Properties Trust | 54,945 | |||
| 5,200 | DCT Industrial Trust, Inc. | 26,104 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Common Stock (25.6%) | Value | |||
| Financials (7.6%) - continued | |||||
| 2,000 | Digital Realty Trust, Inc. | $ | 100,560 | ||
| 2,800 | Douglas Emmett, Inc. | 39,900 | |||
| 2,300 | Duke Realty Corporation | 27,991 | |||
| 1,000 | Equity Lifestyle Properties, Inc. | 50,470 | |||
| 4,400 | Equity Residential REIT | 148,632 | |||
| 700 | Essex Property Trust, Inc. | 58,555 | |||
| 1,900 | Extra Space Storage, Inc. | 21,945 | |||
| 1,500 | Federal Realty Investment Trust | 101,580 | |||
| 1,200 | Forest City Enterprises, Inc.k | 14,136 | |||
| 1,200 | Goldman Sachs Group, Inc. | 202,608 | |||
| 4,300 | Health Care Property Investors, Inc. | 131,322 | |||
| 1,700 | Health Care REIT, Inc. | 75,344 | |||
| 1,500 | Highwoods Properties, Inc. | 50,025 | |||
| 700 | Home Properties, Inc. | 33,397 | |||
| 8,610 | Host Hotels & Resorts, Inc.k | 100,479 | |||
| 7,100 | J.P. Morgan Chase & Company | 295,857 | |||
| 1,200 | Kilroy Realty Corporation | 36,804 | |||
| 4,422 | Kimco Realty Corporation | 59,830 | |||
| 2,100 | Liberty Property Trust | 67,221 | |||
| 1,972 | Macerich Companyh | 70,893 | |||
| 1,700 | Mack-Cali Realty Corporation | 58,769 | |||
| 3,300 | Mission West Properties, Inc. | 23,727 | |||
| 3,000 | Monmouth Real Estate Investment Corporation | 22,320 | |||
| 2,400 | Nationwide Health Properties, Inc. | 84,432 | |||
| 9,000 | Plum Creek Timber Company, Inc.h | 339,840 | |||
| 6,000 | ProLogis | 82,140 | |||
| 1,956 | Public Storage, Inc. | 159,316 | |||
| 1,900 | Regency Centers Corporation | 66,614 | |||
| 2,600 | Senior Housing Property Trust | 56,862 | |||
| 4,397 | Simon Property Group, Inc. | 350,881 | |||
| 1,300 | SL Green Realty Corporation | 65,312 | |||
| 3,900 | State Street Corporation | 169,806 | |||
| 1,000 | Tanger Factory Outlet Centers, Inc. | 38,990 | |||
| 1,100 | Taubman Centers, Inc. | 39,501 | |||
| 3,000 | Travelers Companies, Inc. | 149,580 | |||
| 6,100 | U.S. Bancorp | 137,311 | |||
| 1,800 | Urstadt Biddle Properties | 27,000 | |||
| 3,100 | Ventas, Inc. | 135,594 | |||
| 2,619 | Vornado Realty Trust | 183,173 | |||
| 6,500 | Weingarten Realty Investorsh | 128,635 | |||
Total Financials | 6,664,514 | ||||
| Health Care (2.1%) | |||||
| 3,100 | Abbott Laboratoriese | 167,369 | |||
| 26,100 | Boston Scientific Corporatione,k | 234,900 | |||
| 2,951 | Bristol-Myers Squibb Company | 74,513 | |||
| 4,400 | Johnson & Johnson | 283,404 | |||
| 12,444 | Merck & Company, Inc. | 454,704 | |||
| 5,550 | Novartis AG ADR | 302,086 | |||
| 14,553 | Pfizer, Inc. | 264,719 | |||
| 1,200 | UnitedHealth Group, Inc. | 36,576 | |||
Total Health Care | 1,818,271 | ||||
| Industrials (2.5%) | |||||
| 2,500 | 3M Company | 206,675 | |||
| 2,200 | Eaton Corporation | 139,964 | |||
| 2,700 | Emerson Electric Company | 115,020 | |||
| 2,400 | FedEx Corporation | 200,280 | |||
| 15,900 | Herman Miller, Inc. | 254,082 | |||
| 3,700 | Honeywell International, Inc. | 145,040 | |||
| 4,000 | Illinois Tool Works, Inc. | 191,960 | |||
| 3,800 | ITT Corporation | 189,012 | |||
| 12,900 | Masco Corporation | 178,149 | |||
| 11,400 | R.R. Donnelley & Sons Company | 253,878 | |||
| 4,100 | United Technologies Corporation | 284,581 | |||
Total Industrials | 2,158,641 | ||||
| Information Technology (2.4%) | |||||
| 630 | AOL, Inc.k | 14,666 | |||
| 4,300 | Cisco Systems, Inc.k | 102,942 | |||
| 10,900 | Intel Corporation | 222,360 | |||
| 2,700 | International Business Machines Corporation | 353,430 | |||
| 7,400 | Linear Technology Corporation | 225,996 | |||
| 12,000 | Microsoft Corporation | 365,880 | |||
| 13,100 | National Semiconductor Corporation | 201,216 | |||
| 12,400 | Oracle Corporation | 304,296 | |||
| 4,500 | Paychex, Inc. | 137,880 | |||
| 5,500 | Tyco Electronics, Ltd. | 135,025 | |||
Total Information Technology | 2,063,691 | ||||
| Materials (1.1%) | |||||
| 7,800 | Bemis Company, Inc.e | 231,270 | |||
| 2,400 | BHP Billiton, Ltd. ADRh | 183,792 | |||
| 12,300 | E.I. du Pont de Nemours and Company | 414,141 | |||
| 3,100 | Southern Copper Corporationh | 102,021 | |||
Total Materials | 931,224 | ||||
| Telecommunications Services (1.1%) | |||||
| 14,200 | AT&T, Inc.e | 398,026 | |||
| 46,100 | Qwest Communications International, Inc. | 194,081 | |||
| 8,400 | Verizon Communications, Inc. | 278,292 | |||
| 5,700 | Vodafone Group plc ADR | 131,613 | |||
Total Telecommunications Services | 1,002,012 | ||||
| Utilities (1.2%) | |||||
| 8,200 | Duke Energy Corporation | 141,122 | |||
| 3,400 | Energen Corporation | 159,120 | |||
| 5,600 | Exelon Corporation | 273,672 | |||
| 3,300 | Integrys Energy Group, Inc. | 138,567 | |||
| 8,300 | NiSource, Inc. | 127,654 | |||
| 388 | Semgroup Corporationk,l | 9,894 | |||
| 408 | Semgroup Corporation Warrants, $25, expires 11/30/2014k,l | 204 | |||
| 6,900 | UGI Corporation | 166,911 | |||
Total Utilities | 1,017,144 | ||||
Total Common Stock (cost $21,450,107) | 22,305,689 | ||||
Preferred Stock (0.8%) | |||||
| Financials (0.8%) | |||||
| 9,400 | Bank of America Corporation, 8.625% | 230,676 | |||
| 3,800 | Citigroup, Inc., Convertible, 7.500%k | 396,492 | |||
| 2,600 | Federal National Mortgage Association, 8.250%k | 2,860 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Shares | Preferred Stock (0.8%) | Value | ||||
| Financials (0.8%) - continued | ||||||
| 70 | GMAC, Inc., 7.000%c,k | $ | 46,139 | |||
Total Financials | 676,167 | |||||
Total Preferred Stock (cost $691,960) | 676,167 | |||||
Collateral Held for Securities Loaned (1.6%) | ||||||
| 1,336,140 | Thrivent Financial Securities Lending Trust | 1,336,140 | ||||
Total Collateral Held for Securities Loaned (cost $1,336,140) | 1,336,140 | |||||
| Principal Amount | Short-Term Investments (7.5%)m | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 3,000,000 | 0.040%, 1/15/2010 | 2,999,953 | ||||
| 500,000 | 0.020%, 2/1/2010 | 499,991 | ||||
| 521,000 | 0.020%, 2/2/2010 | 520,991 | ||||
| 700,000 | 0.200%, 3/17/2010n | 699,714 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 200,000 | 0.140%, 3/17/2010n | 199,942 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 100,000 | 0.010%, 2/1/2010 | 99,999 | ||||
| 1,500,000 | 0.030%, 2/4/2010 | 1,499,958 | ||||
Total Short-Term Investments (at amortized cost) | 6,520,548 | |||||
Total Investments (cost $87,524,482) 100.4% | $ | 87,461,560 | ||||
Other Assets and Liabilities, Net (0.4%) | (309,908 | ) | ||||
Total Net Assets 100.0% | $ | 87,151,652 | ||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the security is insured or guaranteed. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $8,370,648 or 9.6% of total net assets. |
| d | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| e | All or a portion of the security was earmarked to cover written options. |
| f | Defaulted security. Interest is not being accrued. |
| g | In bankruptcy. Interest is not being accrued. |
| h | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| i | Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown. |
| j | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Diversified Income Plus Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Commercial Mortgage Pass- Through Certificates | 5/2/2007 | $ | 1,000,000 | ||
Tunica-Biloxi Gaming Authority | 11/8/2005 | 260,000 | |||
Wachovia Bank Commercial Mortgage Trust | 4/25/2007 | 2,000,000 | |||
| k | Non-income producing security. |
| l | Security is fair valued as discussed in item 2(A) of the Notes to Financial Statements. |
| m | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| n | At December 31, 2009, $899,656 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| REIT | - | Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 5,385,339 | ||
Gross unrealized depreciation | (6,106,443 | ) | ||
Net unrealized appreciation (depreciation) | $ (721,104) | |||
Cost for federal income tax purposes | $ | 88,182,664 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Diversified Income Plus Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | |||||||||||
Bank Loans | |||||||||||||||
Financials | 92,520 | — | 92,520 | — | |||||||||||
Long-Term Fixed Income | |||||||||||||||
Asset-Backed Securities | 5,978,328 | — | 4,347,113 | 1,631,215 | |||||||||||
Basic Materials | 2,330,455 | — | 2,330,455 | — | |||||||||||
Capital Goods | 2,189,116 | — | 2,189,116 | — | |||||||||||
Collateralized Mortgage Obligations | 10,761,385 | — | 10,761,385 | — | |||||||||||
Commercial Mortgage-Backed | |||||||||||||||
Securities | 6,666,667 | — | 6,666,667 | — | |||||||||||
Communications Services | 4,489,369 | — | 4,489,369 | — | |||||||||||
Consumer Cyclical | 5,441,407 | — | 5,441,407 | — | |||||||||||
Consumer Non-Cyclical | 3,119,815 | — | 3,119,815 | — | |||||||||||
Energy | 3,352,732 | — | 3,352,732 | — | |||||||||||
Financials | 6,610,275 | — | 6,610,275 | — | |||||||||||
Technology | 1,119,277 | — | 1,119,277 | — | |||||||||||
Transportation | 874,725 | — | 734,025 | 140,700 | |||||||||||
Utilities | 3,596,945 | — | 3,596,945 | — | |||||||||||
Common Stock | |||||||||||||||
Consumer Discretionary | 1,747,569 | 1,747,569 | — | — | |||||||||||
Consumer Staples | 2,246,241 | 2,246,241 | — | — | |||||||||||
Energy | 2,656,382 | 2,656,382 | — | — | |||||||||||
Financials | 6,664,514 | 6,664,514 | — | — | |||||||||||
Health Care | 1,818,271 | 1,818,271 | — | — | |||||||||||
Industrials | 2,158,641 | 2,158,641 | — | — | |||||||||||
Information Technology | 2,063,691 | 2,063,691 | — | — | |||||||||||
Materials | 931,224 | 931,224 | — | — | |||||||||||
Telecommunications Services | 1,002,012 | 1,002,012 | — | — | |||||||||||
Utilities | 1,017,144 | 1,007,046 | — | 10,098 | |||||||||||
Preferred Stock | |||||||||||||||
Financials | 676,167 | 630,028 | 46,139 | — | |||||||||||
Collateral Held for Securities Loaned | 1,336,140 | 1,336,140 | — | — | |||||||||||
Short-Term Investments | 6,520,548 | — | 6,520,548 | — | |||||||||||
Total | $ | 87,461,560 | $ | 24,261,759 | $ | 61,417,788 | $ | 1,782,013 | |||||||
Other Financial Instruments* | ($253,807 | ) | ($32,511 | ) | ($221,296 | ) | $ | — | |||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Diversified Income Plus Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums Gain/(Loss) | Realized | Change in Unrealized Gain/(Loss) | Net Purchases/ (Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | |||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||
Asset-Backed Securities | 1,312,255 | — | — | 128,960 | — | 190,000 | 1,631,215 | |||||||||||||||
Transportation | 424,051 | 27 | (119,980 | ) | 226,019 | (389,417 | ) | — | 140,700 | |||||||||||||
Utilities | — | — | — | 398 | 9,700 | — | 10,098 | |||||||||||||||
Preferred Stock | ||||||||||||||||||||||
Financials | 305,589 | — | (87,446 | ) | 112,491 | (284,495 | ) | (46,139 | ) | — | ||||||||||||
Total | $ | 2,041,895 | $ | 27 | ($207,426 | ) | $ | 467,868 | ($664,212 | ) | $ | 143,861 | $ | 1,782,013 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||
5-Yr. U.S. Treasury Bond Futures | 26 | March 2010 | $ | 3,021,754 | $ | 2,973,953 | ($47,801 | ) | ||||||||||
10-Yr. U.S. Treasury Bond Futures | (15 | ) | March 2010 | (1,777,923 | ) | (1,731,797 | ) | 46,126 | ||||||||||
S&P 500 Index Futures | (16 | ) | March 2010 | (4,363,535 | ) | (4,442,800 | ) | (79,265 | ) | |||||||||
S&P 500 Index Mini-Futures | 67 | March 2010 | 3,677,097 | 3,720,846 | 43,749 | |||||||||||||
Total Futures Contracts | ($37,191 | ) | ||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||
S&P 500 Index Mini-Futures | 15 | $ | 1,130.00 | January 2010 | ($5,400 | ) | $ | 202 | ||||||||||
S&P 500 Index Mini-Futures | 15 | 1,140.00 | January 2010 | (3,300 | ) | 1,909 | ||||||||||||
S&P 500 Index Mini-Futures | 15 | 1,125.00 | January 2010 | (6,750 | ) | 510 | ||||||||||||
S&P 500 Index Mini-Futures | 15 | 1,135.00 | January 2010 | (4,275 | ) | 2,059 | ||||||||||||
Total Call Options Written | ($19,725 | ) | $ | 4,680 | ||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | |||||||||||
CDX HY, Series 13, 5 Year, at | Buy | 12/20/2014 | $ | 3,762,000 | ($244,967 | ) | $ | 23,671 | ($ | 221,296 | ) | ||||||
Total Credit Default Swaps | $ | 23,671 | ($ | 221,296 | ) | ||||||||||||
| 1 | As the buyer of protection, Diversified Income Plus Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Diversified Income Plus Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Diversified Income Plus Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The market values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the market value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The market value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Equity Contracts | |||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 4,680 | ||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 43,749 | |||
Total Equity Contracts | 48,429 | ||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 46,126 | |||
Total Interest Rate Contracts | 46,126 | ||||
Total Asset Derivatives | $ | 94,555 | |||
Liability Derivatives | |||||
Equity Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 79,265 | |||
Total Equity Contracts | 79,265 | ||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 47,801 | |||
Total Interest Rate Contracts | 47,801 | ||||
Credit Contracts | |||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 221,296 | |||
Total Credit Contracts | 221,296 | ||||
Total Liability Derivatives | $ | 348,362 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | (32,257 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 436,645 | ||||
Total Equity Contracts | 404,388 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 121,701 | ||||
Total Interest Rate Contracts | 121,701 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (22,068 | ) | |||
Total Credit Contracts | (22,068 | ) | ||||
Total | $ | 504,021 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Equity Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (80,020 | ) | ||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 4,680 | |||
Total Equity Contracts | (75,340 | ) | |||
Interest Rate Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (39,658 | ) | ||
Total Interest Rate Contracts | (39,658 | ) | |||
Credit Contracts | |||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (221,296 | ) | ||
Total Credit Contracts | (221,296 | ) | |||
Total | ($336,294 | ) | |||
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 4,501,656 | 5.8 | % | N/A | N/A | 20 | |||||||
Interest Rate Contracts | 5,556,812 | 7.2 | % | N/A | N/A | N/A | ||||||||
Credit Contracts | N/A | N/A | $ | 484,301 | 0.6 | % | N/A | |||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Diversified Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 1,906,331 | $ | 41,379,608 | $ | 43,285,939 | — | $ | — | $ | 11,365 | ||||||
Thrivent Financial Securities Lending Trust | 1,642,478 | 11,148,856 | 11,455,194 | 1,336,140 | 1,336,140 | 12,576 | |||||||||||
Total Value and Income Earned | 3,548,809 | 1,336,140 | 23,941 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Principal Amount | Long-Term Fixed Income (86.5%) | Value | |||
| Asset-Backed Securities (7.8%) | |||||
Americredit Automobile Receivables Trust | |||||
| $ 17,447 | 0.315%, 1/6/2010a,b | $ | 17,330 | ||
| 20,089 | 3.430%, 7/6/2011a | 20,242 | |||
Bear Stearns Asset-Backed Securities, Inc. | |||||
| 64,899 | 5.000%, 1/25/2034 | 59,020 | |||
Capital Auto Receivables Asset Trust | |||||
| 18,287 | 0.333%, 1/15/2010b | 18,277 | |||
| 14,550 | 1.193%, 1/15/2010b,c | 14,555 | |||
Capital One Auto Finance Trust | |||||
| 37,547 | 0.273%, 1/15/2010a,b | 37,228 | |||
| 284,154 | 5.030%, 4/15/2012a | 287,058 | |||
Carmax Auto Owner Trust | |||||
| 11,267 | 0.933%, 1/15/2010b | 11,269 | |||
Harley-Davidson Motorcycle Trust | |||||
| 2,007 | 1.133%, 1/15/2010b | 2,007 | |||
Household Automotive Trust | |||||
| 11,947 | 5.610%, 8/17/2011 | 12,073 | |||
| 2,511 | 5.280%, 9/17/2011 | 2,526 | |||
Total Asset-Backed Securities | 481,585 | ||||
| Basic Materials (1.3%) | |||||
Yara International ASA | |||||
| 70,000 | 7.875%, 6/11/2019c | 79,923 | |||
Total Basic Materials | 79,923 | ||||
| Capital Goods (2.2%) | |||||
Roper Industries, Inc. | |||||
| 70,000 | 6.625%, 8/15/2013 | 76,235 | |||
Thomas & Betts Corporation | |||||
| 60,000 | 5.625%, 11/15/2021 | 58,653 | |||
Total Capital Goods | 134,888 | ||||
| Collateralized Mortgage Obligations (6.4%) | |||||
American Home Mortgage Assets Trust | |||||
| 128,246 | 1.504%, 1/1/2010b | 64,761 | |||
| 119,386 | 0.356%, 1/25/2010b | 61,482 | |||
| 79,411 | 0.421%, 1/25/2010b | 38,700 | |||
Chase Funding Mortgage Loan Asset-Backed Certificates | |||||
| 19,567 | 4.045%, 11/25/2029 | 19,206 | |||
Credit Suisse First Boston Mortgage Securities Corporation | |||||
| 48,462 | 3.267%, 12/25/2033 | 16,561 | |||
GMAC Mortgage Corporation Loan Trust | |||||
| 60,000 | 5.500%, 10/25/2033 | 57,237 | |||
Impac CMB Trust | |||||
| 23,590 | 0.771%, 1/25/2010b | 15,759 | |||
J.P. Morgan Mortgage Trust | |||||
| 47,854 | 5.292%, 7/25/2035 | 45,965 | |||
Master Alternative Loans Trust | |||||
| 27,630 | 6.250%, 7/25/2036 | 13,807 | |||
Merrill Lynch Mortgage Investors Trust | |||||
| 21,120 | 5.149%, 12/25/2035 | 20,115 | |||
Residential Asset Securitization Trust | |||||
| 37,394 | 6.250%, 11/25/2036 | 24,103 | |||
Structured Asset Securities Corporation | |||||
| 24,598 | 5.000%, 6/25/2035 | 18,456 | |||
Total Collateralized Mortgage Obligations | 396,152 | ||||
| Communications Services (1.8%) | |||||
CC Holdings GS V, LLC | |||||
| 50,000 | 7.750%, 5/1/2017c | 53,250 | |||
Centennial Communications Corporation | |||||
| 60,000 | 6.040%, 1/1/2010b | 60,000 | |||
Total Communications Services | 113,250 | ||||
| Consumer Cyclical (4.6%) | |||||
American Honda Finance Corporation | |||||
| 100,000 | 1.003%, 3/22/2010b,c | 100,008 | |||
CVS Pass-Through Trust | |||||
| 50,000 | 7.507%, 1/10/2032c | 52,374 | |||
McGuire Air Force Base/Fort Dix Privatized Military Housing Project | |||||
| 50,000 | 5.611%, 9/15/2051c | 36,756 | |||
Ohana Military Communities, LLC | |||||
| 120,000 | 6.000%, 10/1/2051c | 94,655 | |||
Total Consumer Cyclical | 283,793 | ||||
| Consumer Non-Cyclical (3.4%) | |||||
H.J. Heinz Finance Company | |||||
| 70,000 | 7.125%, 8/1/2039c | 79,138 | |||
Howard Hughes Medical Institute | |||||
| 60,000 | 3.450%, 9/1/2014 | 60,797 | |||
Koninklijke (Royal) Philips Electronics NV | |||||
| 70,000 | 1.405%, 3/11/2010b | 70,924 | |||
Total Consumer Non-Cyclical | 210,859 | ||||
| Energy (3.9%) | |||||
Enterprise Products Operating, LLC | |||||
| 70,000 | 4.600%, 8/1/2012 | 73,926 | |||
Great River Energy | |||||
| 56,775 | 5.829%, 7/1/2017c | 61,778 | |||
Pioneer Natural Resources Company | |||||
| 110,000 | 5.875%, 7/15/2016 | 105,303 | |||
Total Energy | 241,007 | ||||
| Financials (32.5%) | |||||
Achmea Hypotheekbank NV | |||||
| 60,000 | 0.631%, 2/3/2010b,c | 59,916 | |||
Agfirst Farm Credit Bank | |||||
| 120,000 | 6.585%, 6/15/2012c | 78,963 | |||
AgriBank FCB | |||||
| 70,000 | 9.125%, 7/15/2019 | 76,927 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Principal Amount | Long-Term Fixed Income (86.5%) | Value | |||
| Financials (32.5%) - continued | |||||
Australia and New Zealand Banking Group, Ltd. | |||||
| $ 50,000 | 0.583%, 1/21/2010b,c | $ | 50,083 | ||
BAC Capital Trust XIV | |||||
| 50,000 | 1.056%, 3/1/2010b | 32,049 | |||
Capital One Bank USA NA | |||||
| 70,000 | 8.800%, 7/15/2019 | 82,717 | |||
Capital One Capital V | |||||
| 30,000 | 10.250%, 8/15/2039 | 34,875 | |||
Commonwealth Bank of Australia | |||||
| 70,000 | 3.750%, 10/15/2014c | 70,170 | |||
Credit Agricole SA | |||||
| 50,000 | 6.637%, 5/31/2017c | 40,500 | |||
Credit Suisse USA, Inc. | |||||
| 50,000 | 0.473%, 2/16/2010b | 49,970 | |||
Deutsche Bank AG NY | |||||
| 70,000 | 0.854%, 3/18/2010b | 69,801 | |||
Discover Financial Services | |||||
| 70,000 | 0.784%, 3/12/2010b | 69,390 | |||
Glitnir Banki HF | |||||
| 50,000 | 3.226%, 1/21/2011d,e | 10,500 | |||
HRPT Properties Trust | |||||
| 50,000 | 0.854%, 3/16/2010b | 46,437 | |||
J.P. Morgan Chase & Company | |||||
| 70,000 | 0.420%, 1/4/2010b | 70,147 | |||
| 100,000 | 1.273%, 2/16/2010b | 69,032 | |||
| 80,000 | 0.501%, 3/26/2010b | 80,741 | |||
MBNA Capital | |||||
| 100,000 | 1.081%, 2/1/2010b | 68,214 | |||
MetLife, Inc. | |||||
| 70,000 | 0.571%, 3/29/2010b | 70,612 | |||
Nationwide Health Properties, Inc. | |||||
| 60,000 | 6.900%, 10/1/2037 | 61,132 | |||
Nordea Bank Finland plc | |||||
| 50,000 | 0.584%, 1/14/2010b | 49,959 | |||
Private Export Funding Corporation | |||||
| 75,000 | 3.050%, 10/15/2014 | 74,500 | |||
Rabobank Nederland | |||||
| 70,000 | 11.000%, 6/30/2019c | 85,348 | |||
Royal Bank of Scotland Group plc | |||||
| 100,000 | 7.640%, 9/29/2017 | 54,000 | |||
State Street Bank and Trust Company | |||||
| 70,000 | 0.454%, 3/15/2010b | 70,307 | |||
Suncorp-Metway, Ltd. | |||||
| 70,000 | 0.628%, 3/17/2010b,c | 70,155 | |||
SunTrust Bank | |||||
| 70,000 | 0.377%, 2/22/2010b | 66,989 | |||
TD Ameritrade Holding Corporation | |||||
| 70,000 | 4.150%, 12/1/2014 | 69,015 | |||
US AgBank FCB | |||||
| 50,000 | 6.110%, 7/10/2012c | 30,157 | |||
Wachovia Corporation | |||||
| 70,000 | 0.406%, 3/1/2010b | 69,189 | |||
| 60,000 | 7.574%, 8/1/2026 | 65,085 | |||
Westfield Capital | |||||
| 40,000 | 4.375%, 11/15/2010c | 41,100 | |||
Westpac Banking Corporation | |||||
| 70,000 | 0.583%, 1/21/2010b,c | 69,939 | |||
Total Financials | 2,007,919 | ||||
| Foreign (1.2%) | |||||
Province of Ontario | |||||
| 75,000 | 0.717%, 2/22/2010b | 75,743 | |||
Total Foreign | 75,743 | ||||
| Technology (0.8%) | |||||
Amphenol Corporation | |||||
| 50,000 | 4.750%, 11/15/2014 | 50,018 | |||
Total Technology | 50,018 | ||||
| Transportation (2.0%) | |||||
APL, Ltd. | |||||
| 25,000 | 8.000%, 1/15/2024 | 23,000 | |||
Skyway Concession Company, LLC | |||||
| 50,000 | 0.531%, 3/30/2010b,c | 44,841 | |||
Toll Road Investors Partnership II, LP | |||||
| 800,000 | Zero Coupon, 2/15/2043c | 40,560 | |||
| 173,660 | Zero Coupon, 2/15/2045c | 13,912 | |||
Total Transportation | 122,313 | ||||
| U.S. Government and Agencies (17.8%) | |||||
Federal Home Loan Banks | |||||
| 60,000 | 5.000%, 11/17/2017 | 64,903 | |||
U.S. Department of Housing & Urban Development | |||||
| 1,000,000 | 3.440%, 8/1/2011 | 1,038,117 | |||
Total U.S. Government and Agencies | 1,103,020 | ||||
| U.S. Municipals (0.8%) | |||||
Oakland, California Redevelopment Agency Tax Allocation Bonds (Central District Redevelopment) | |||||
| 50,000 | 5.252%, 9/1/2016a | 48,194 | |||
Total U.S. Municipals | 48,194 | ||||
Total Long-Term Fixed Income (cost $5,215,233) | 5,348,664 | ||||
Short-Term Investments (9.7%)f | |||||
Federal Home Loan Bank Discount Notes | |||||
| 500,000 | 0.020%, 2/2/2010 | 499,991 | |||
| 100,000 | 0.200%, 3/17/2010g | 99,959 | |||
Total Short-Term Investments (at amortized cost) | 599,950 | ||||
Total Investments (cost $5,815,183) 96.2% | $ | 5,948,614 | |||
Other Assets and Liabilities, Net 3.8% | 235,324 | ||||
Total Net Assets 100.0% | $ | 6,183,938 | |||
| a | All or a portion of the security is insured or guaranteed. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $1,268,081 or 20.5% of total net assets. |
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Socially Responsible Bond Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Glitnir Banki HF | 5/1/2008 | $ | 46,572 | ||
| e | In bankruptcy. Interest is not being accrued. |
| f | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| g | At December 31, 2009, $99,959 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 316,984 | ||
Gross unrealized depreciation | (183,553 | ) | ||
Net unrealized appreciation (depreciation) | $ | 133,431 | ||
Cost for federal income tax purposes | $ | 5,815,183 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Partner Socially Responsible Bond Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||
Long-Term Fixed Income | ||||||||||||||
Asset-Backed Securities | 481,585 | — | 481,585 | — | ||||||||||
Basic Materials | 79,923 | — | 79,923 | — | ||||||||||
Capital Goods | 134,888 | — | 134,888 | — | ||||||||||
Collateralized Mortgage Obligations | 396,152 | — | 396,152 | — | ||||||||||
Communications Services | 113,250 | — | 113,250 | — | ||||||||||
Consumer Cyclical | 283,793 | — | 283,793 | — | ||||||||||
Consumer Non-Cyclical | 210,859 | — | 210,859 | — | ||||||||||
Energy | 241,007 | — | 241,007 | — | ||||||||||
Financials | 2,007,919 | — | 2,007,919 | — | ||||||||||
Foreign | 75,743 | — | 75,743 | — | ||||||||||
Technology | 50,018 | — | 50,018 | — | ||||||||||
Transportation | 122,313 | — | 122,313 | — | ||||||||||
U.S. Government and Agencies | 1,103,020 | — | 1,103,020 | — | ||||||||||
U.S. Municipals | 48,194 | — | 48,194 | — | ||||||||||
Short-Term Investments | 599,950 | — | 599,950 | — | ||||||||||
Total | $ | 5,948,614 | $ | — | $ | 5,948,614 | $ | — | ||||||
Other Financial Instruments* | ($36,207 | ) | ($36,207 | ) | $ | — | $ | — | ||||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||
2-Yr. U.S. Treasury Bond Futures | (17) | March 2010 | ($ | 3,693,803 | ) | ($ | 3,676,516 | ) | $ | 17,287 | ||||||
5-Yr. U.S. Treasury Bond Futures | (4) | March 2010 | (468,275 | ) | (457,531 | ) | 10,744 | |||||||||
10-Yr. U.S. Treasury Bond Futures | 14 | March 2010 | 1,646,287 | 1,616,345 | (29,942 | ) | ||||||||||
20-Yr. U.S. Treasury Bond Futures | 6 | March 2010 | 726,546 | 692,250 | (34,296 | ) | ||||||||||
Total Futures Contracts | ($36,207 | ) | ||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Partner Socially Responsible Bond Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 28,031 | |||
Total Interest Rate Contracts | 28,031 | ||||
Total Asset Derivatives | $ | 28,031 | |||
Liability Derivatives | |||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 64,238 | |||
Total Interest Rate Contracts | 64,238 | ||||
Total Liability Derivatives | $ | 64,238 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Partner Socially Responsible Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Interest Rate Contracts | |||||
Futures | Net realized gains/(losses) on Futures contracts | (35,228 | ) | ||
Total Interest Rate Contracts | (35,228 | ) | |||
Total | ($35,228 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Partner Socially Responsible Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Interest Rate Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (4,452 | ) | ||
Total Interest Rate Contracts | (4,452 | ) | |||
Total | ($4,452 | ) | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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The following table presents Partner Socially Responsible Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional) | Futures (Percentage of Average Net Assets) | |||
Interest Rate Contracts (Long position) | $1,895,556 | 28.7 | % | ||
Interest Rate Contracts (Short position) | 3,781,499 | 57.2 | % |
Investment 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 fiscal year to date, in Partner Socially Responsible Bond Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 605,703 | $ | 8,375,257 | $ | 8,980,960 | — | $ | — | $ | 3,190 | ||||||
Total Value and Income Earned | 605,703 | — | 3,190 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Asset-Backed Securities (2.1%) | |||||
Capitalsource Commercial Loan Trust | |||||
| $3,063,944 | 0.363%, 1/20/2010a,b | $ | 2,827,898 | ||
First Franklin Mortgage Loan Asset-Backed Certificates | |||||
| 783,874 | 0.321%, 1/25/2010b | 769,778 | |||
GE Capital Credit Card Master Note Trust | |||||
| 3,100,000 | 2.540%, 9/15/2014 | 3,102,477 | |||
GMAC Mortgage Corporation Loan Trust | |||||
| 8,049,295 | 0.411%, 1/25/2010b,c | 3,225,843 | |||
| 6,975,587 | 0.411%, 1/25/2010b,c | 1,801,668 | |||
IndyMac Seconds Asset-Backed Trust | |||||
| 919,430 | 0.401%, 1/25/2010b,c | 178,959 | |||
Merna Reinsurance, Ltd. | |||||
| 12,250,000 | 2.001%, 3/31/2010b,d | 12,067,475 | |||
Renaissance Home Equity Loan Trust | |||||
| 3,110,871 | 5.746%, 5/25/2036 | 2,355,825 | |||
| 2,000,000 | 6.011%, 5/25/2036 | 1,121,234 | |||
Total Asset-Backed Securities | 27,451,157 | ||||
| Basic Materials (4.8%) | |||||
ArcelorMittal | |||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,952,740 | |||
| 6,050,000 | 6.125%, 6/1/2018 | 6,242,607 | |||
Arch Western Finance, LLC | |||||
| 1,900,000 | 6.750%, 7/1/2013 | 1,885,750 | |||
Barrick Gold Corporation | |||||
| 2,585,000 | 6.950%, 4/1/2019 | 2,910,563 | |||
Cascades, Inc. | |||||
| 750,000 | 7.750%, 12/15/2017d | 757,500 | |||
| 250,000 | 7.875%, 1/15/2020d | 253,750 | |||
Domtar Corporation | |||||
| 1,250,000 | 7.125%, 8/15/2015 | 1,256,250 | |||
Dow Chemical Company | |||||
| 1,950,000 | 5.900%, 2/15/2015 | 2,095,423 | |||
| 3,150,000 | 8.550%, 5/15/2019 | 3,758,406 | |||
E.I. du Pont de Nemours & Company | |||||
| 3,125,000 | 3.250%, 1/15/2015 | 3,095,722 | |||
FMG Finance, Pty., Ltd. | |||||
| 2,500,000 | 10.625%, 9/1/2016d | 2,765,625 | |||
Freeport-McMoRan Copper & Gold, Inc. | |||||
| 3,060,000 | 8.375%, 4/1/2017 | 3,350,700 | |||
Georgia-Pacific, LLC | |||||
| 1,250,000 | 7.125%, 1/15/2017d | 1,265,625 | |||
International Paper Company | |||||
| 2,500,000 | 7.500%, 8/15/2021 | 2,801,178 | |||
| 1,250,000 | 7.300%, 11/15/2039 | 1,326,076 | |||
Mosaic Global Holdings, Inc., Convertible | |||||
| 2,500,000 | 7.375%, 12/1/2014d | 2,676,395 | |||
Nalco Company | |||||
| 1,870,000 | 8.875%, 11/15/2013 | 1,926,100 | |||
Newmont Mining Corporation | |||||
| 3,100,000 | 5.125%, 10/1/2019 | 3,101,448 | |||
Noble Group, Ltd. | |||||
| 3,150,000 | 6.750%, 1/29/2020d | 3,232,688 | |||
| Basic Materials (4.8%) - continued | |||||
NOVA Chemicals Corporation | |||||
| 1,250,000 | 8.625%, 11/1/2019d | 1,271,875 | |||
Peabody Energy Corporation | |||||
| 1,250,000 | 7.375%, 11/1/2016 | 1,289,063 | |||
Rio Tinto Finance USA, Ltd. | |||||
| 1,200,000 | 9.000%, 5/1/2019 | 1,518,706 | |||
Rio Tinto Finance, Ltd. | |||||
| 1,200,000 | 5.875%, 7/15/2013 | 1,294,844 | |||
| 3,285,000 | 6.500%, 7/15/2018 | 3,608,506 | |||
Teck Resources, Ltd. | |||||
| 1,250,000 | 9.750%, 5/15/2014 | 1,442,188 | |||
| 620,000 | 10.250%, 5/15/2016 | 722,300 | |||
Vale Overseas, Ltd. | |||||
| 3,125,000 | 6.875%, 11/10/2039 | 3,146,013 | |||
Total Basic Materials | 61,948,041 | ||||
| Capital Goods (2.8%) | |||||
Allied Waste North America, Inc. | |||||
| 2,500,000 | 6.125%, 2/15/2014 | 2,543,460 | |||
Case New Holland, Inc. | |||||
| 1,200,000 | 7.125%, 3/1/2014 | 1,218,000 | |||
CRH America, Inc. | |||||
| 2,400,000 | 6.000%, 9/30/2016 | 2,506,706 | |||
| 1,900,000 | 8.125%, 7/15/2018 | 2,216,046 | |||
Honeywell International, Inc. | |||||
| 3,400,000 | 5.300%, 3/1/2018 | 3,586,082 | |||
Hutchinson Whampoa Finance, Ltd. | |||||
| 3,750,000 | 4.625%, 9/11/2015d | 3,783,712 | |||
John Deere Capital Corporation | |||||
| 3,300,000 | 5.350%, 4/3/2018 | 3,487,579 | |||
L-3 Communications Corporation | |||||
| 1,250,000 | 5.875%, 1/15/2015 | 1,248,438 | |||
Owens-Brockway Glass Container, Inc. | |||||
| 1,870,000 | 8.250%, 5/15/2013e | 1,921,425 | |||
Republic Services, Inc. | |||||
| 630,000 | 5.500%, 9/15/2019d | 639,735 | |||
| 2,200,000 | 5.250%, 11/15/2021d | 2,163,099 | |||
Systems 2001 Asset Trust, LLC | |||||
| 2,794,674 | 6.664%, 9/15/2013a | 2,851,858 | |||
Textron, Inc. | |||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,602,068 | |||
Waste Management, Inc. | |||||
| 4,300,000 | 7.375%, 3/11/2019 | 4,961,838 | |||
Total Capital Goods | 35,730,046 | ||||
| Collateralized Mortgage Obligations (2.2%) | |||||
Banc of America Mortgage Securities, Inc. | |||||
| 7,145,584 | 4.801%, 9/25/2035 | 5,786,465 | |||
Bear Stearns Mortgage Funding Trust | |||||
| 1,936,256 | 0.371%, 1/25/2010b | 375,870 | |||
Countrywide Alternative Loan Trust | |||||
| 5,910,160 | 6.000%, 1/25/2037 | 4,090,877 | |||
Deutsche Alt-A Securities, Inc. | |||||
| 3,763,454 | 1.001%, 1/1/2010b | 2,036,552 | |||
HomeBanc Mortgage Trust | |||||
| 3,334,682 | 5.989%, 4/25/2037 | 2,095,707 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Collateralized Mortgage Obligations (2.2%) - continued | |||||
Merrill Lynch Mortgage Investors, Inc. | |||||
| $5,289,990 | 4.875%, 6/25/2035 | $ | 4,544,662 | ||
Wachovia Mortgage Loan Trust, LLC | |||||
| 4,435,341 | 5.549%, 5/20/2036 | 3,077,537 | |||
Washington Mutual Mortgage Pass-Through Certificates | |||||
| 7,347,404 | 1.294%, 1/1/2010b | 3,141,654 | |||
| 1,075,303 | 0.521%, 1/25/2010b | 770,070 | |||
| 1,609,874 | 4.827%, 9/25/2035 | 1,454,491 | |||
Total Collateralized Mortgage Obligations | 27,373,885 | ||||
| Commercial Mortgage-Backed Securities (7.0%) | |||||
Bear Stearns Commercial Mortgage Securities, Inc. | |||||
| 3,000,000 | 0.383%, 1/15/2010a,b | 2,559,294 | |||
| 3,500,000 | 5.331%, 2/11/2044 | 3,020,409 | |||
Citigroup Commercial Mortgage Trust | |||||
| 12,500,000 | 0.373%, 1/15/2010b,d | 8,191,200 | |||
Commercial Mortgage Pass-Through Certificates | |||||
| 271,372 | 0.333%, 1/15/2010b,d | 269,481 | |||
| 2,000,000 | 0.363%, 1/15/2010a,b | 1,595,730 | |||
| 4,750,000 | 0.413%, 1/15/2010a,b | 3,928,112 | |||
Credit Suisse Mortgage Capital Certificates | |||||
| 7,500,000 | 0.403%, 1/15/2010b,d | 5,771,693 | |||
| 3,250,000 | 5.467%, 9/15/2039 | 2,783,700 | |||
Crown Castle Towers, LLC | |||||
| 10,000,000 | 5.245%, 11/15/2036d | 10,300,000 | |||
Greenwich Capital Commercial Funding Corporation | |||||
| 10,750,000 | 5.867%, 12/10/2049 | 8,250,453 | |||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | |||||
| 11,285,000 | 5.336%, 5/15/2047 | 9,787,108 | |||
Merrill Lynch Mortgage Trust | |||||
| 8,625,000 | 5.441%, 1/12/2044 | 7,203,678 | |||
Wachovia Bank Commercial Mortgage Trust | |||||
| 14,999,999 | 0.353%, 1/15/2010a,b | 10,182,495 | |||
| 7,700,000 | 4.390%, 2/15/2036 | 7,668,907 | |||
| 2,000,000 | 5.765%, 7/15/2045 | 1,811,486 | |||
| 6,000,000 | 5.308%, 11/15/2048 | 5,630,094 | |||
WaMu Commercial Mortgage Securities Trust | |||||
| 842,638 | 3.830%, 1/25/2035d | 840,771 | |||
Total Commercial Mortgage-Backed Securities | 89,794,611 | ||||
| Communications Services (10.6%) | |||||
Alltel Corporation | |||||
| 3,875,000 | 7.000%, 3/15/2016 | 4,372,364 | |||
American Tower Corporation | |||||
| 2,200,000 | 4.625%, 4/1/2015d | 2,225,201 | |||
AT&T, Inc. | |||||
| 3,100,000 | 6.700%, 11/15/2013 | 3,497,566 | |||
| 2,000,000 | 6.400%, 5/15/2038 | 2,055,338 | |||
CBS Corporation | |||||
| 1,240,000 | 8.875%, 5/15/2019 | 1,483,442 | |||
CC Holdings GS V, LLC | |||||
| 1,550,000 | 7.750%, 5/1/2017d | 1,650,750 | |||
Cellco Partnership/Verizon Wireless Capital, LLC | |||||
| 3,100,000 | 5.550%, 2/1/2014 | 3,364,362 | |||
Charter Communications Operating, LLC | |||||
| 2,500,000 | 8.000%, 4/30/2012d | 2,568,750 | |||
Cincinnati Bell, Inc. | |||||
| 1,870,000 | 8.250%, 10/15/2017e | 1,898,050 | |||
Citizens Communications Company | |||||
| 1,514,000 | 6.250%, 1/15/2013 | 1,517,785 | |||
Clear Channel Worldwide Holdings, Inc. | |||||
| 1,880,000 | 9.250%, 12/15/2017d | 1,936,400 | |||
Comcast Corporation | |||||
| 3,100,000 | 6.500%, 1/15/2017 | 3,431,898 | |||
| 1,900,000 | 6.300%, 11/15/2017 | 2,079,012 | |||
| 2,900,000 | 5.700%, 5/15/2018 | 3,048,625 | |||
| 2,700,000 | 6.400%, 5/15/2038 | 2,778,376 | |||
Cox Communications, Inc. | |||||
| 2,900,000 | 4.625%, 6/1/2013 | 3,015,675 | |||
| 1,230,000 | 5.450%, 12/15/2014 | 1,317,763 | |||
| 3,400,000 | 9.375%, 1/15/2019d | 4,302,329 | |||
| 2,500,000 | 8.375%, 3/1/2039d | 3,112,948 | |||
Cricket Communications, Inc. | |||||
| 1,240,000 | 7.750%, 5/15/2016 | 1,236,900 | |||
CSC Holdings, Inc. | |||||
| 1,250,000 | 7.625%, 7/15/2018 | 1,287,500 | |||
Deutsche Telekom International Finance BV | |||||
| 5,500,001 | 6.750%, 8/20/2018 | 6,157,684 | |||
DirecTV Holdings, LLC/DirecTV Financing Company, Inc. | |||||
| 2,490,000 | 7.625%, 5/15/2016 | 2,720,325 | |||
| 4,300,000 | 5.875%, 10/1/2019d | 4,373,513 | |||
Inmarsat Finance plc | |||||
| 470,000 | 7.375%, 12/1/2017d | 480,575 | |||
Intelsat Jackson Holdings, Ltd. | |||||
| 310,000 | 8.500%, 11/1/2019d | 319,300 | |||
Intelsat Subsidiary Holding Company, Ltd. | |||||
| 2,200,000 | 8.875%, 1/15/2015 | 2,277,000 | |||
MetroPCS Wireless, Inc. | |||||
| 1,250,000 | 9.250%, 11/1/2014e | 1,265,625 | |||
New Cingular Wireless Services, Inc. | |||||
| 1,350,000 | 8.750%, 3/1/2031 | 1,744,617 | |||
News America, Inc. | |||||
| 1,900,000 | 6.900%, 3/1/2019 | 2,140,854 | |||
| 1,900,000 | 5.650%, 8/15/2020d,e | 1,978,383 | |||
| 2,140,000 | 6.400%, 12/15/2035 | 2,197,435 | |||
Nextel Communications, Inc. | |||||
| 1,870,000 | 7.375%, 8/1/2015 | 1,818,575 | |||
Qwest Communications International, Inc. | |||||
| 2,500,000 | 7.500%, 2/15/2014 | 2,509,375 | |||
Qwest Corporation | |||||
| 600,000 | 8.375%, 5/1/2016 | 643,500 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Communications Services (10.6%) - continued | |||||
Rogers Communications, Inc. | |||||
| $3,200,000 | 7.500%, 3/15/2015 | $ | 3,737,584 | ||
| 2,450,000 | 6.800%, 8/15/2018 | 2,743,811 | |||
| 2,410,000 | 8.750%, 5/1/2032 | 3,030,004 | |||
Sprint Capital Corporation | |||||
| 620,000 | 8.375%, 3/15/2012 | 641,700 | |||
Telecom Italia Capital SA | |||||
| 2,750,000 | 5.250%, 10/1/2015 | 2,875,254 | |||
| 2,500,000 | 7.175%, 6/18/2019 | 2,787,158 | |||
Telefonica SA | |||||
| 2,500,000 | 4.949%, 1/15/2015 | 2,672,350 | |||
| 2,500,000 | 5.877%, 7/15/2019 | 2,679,575 | |||
Thomson Reuters Corporation | |||||
| 4,500,000 | 6.500%, 7/15/2018 | 5,086,106 | |||
Time Warner Cable, Inc. | |||||
| 3,500,000 | 5.850%, 5/1/2017 | 3,677,359 | |||
| 2,500,000 | 8.250%, 4/1/2019 | 2,977,735 | |||
| 3,125,000 | 5.000%, 2/1/2020 | 3,030,409 | |||
| 2,600,000 | 6.750%, 6/15/2039 | 2,722,993 | |||
Time Warner Entertainment Company, LP | |||||
| 1,850,000 | 8.375%, 3/15/2023 | 2,191,493 | |||
UPC Germany GmbH | |||||
| 150,000 | 8.125%, 12/1/2017d | 151,688 | |||
UPC Holding BV | |||||
| 1,070,000 | 9.875%, 4/15/2018d | 1,128,850 | |||
Verizon Communications, Inc. | |||||
| 2,000,000 | 8.750%, 11/1/2018 | 2,498,038 | |||
| 3,150,000 | 8.950%, 3/1/2039 | 4,262,120 | |||
Virgin Media Finance plc | |||||
| 1,270,000 | 9.500%, 8/15/2016 | 1,363,663 | |||
| 620,000 | 8.375%, 10/15/2019 | 637,825 | |||
Wind Acquisition Finance SA | |||||
| 1,270,000 | 11.750%, 7/15/2017d | 1,387,475 | |||
Total Communications Services | 135,090,985 | ||||
| Consumer Cyclical (4.8%) | |||||
American Axle & Manufacturing Holdings, Inc. | |||||
| 150,000 | 9.250%, 1/15/2017d | 152,250 | |||
AOL Time Warner, Inc. | |||||
| 3,100,000 | 7.700%, 5/1/2032 | 3,640,439 | |||
Corrections Corporation of America | |||||
| 1,870,000 | 6.250%, 3/15/2013 | 1,879,350 | |||
CVS Caremark Corporation | |||||
| 3,100,000 | 6.600%, 3/15/2019 | 3,392,296 | |||
| 1,200,000 | 6.125%, 9/15/2039 | 1,189,319 | |||
D.R. Horton, Inc. | |||||
| 2,900,000 | 5.375%, 6/15/2012 | 2,929,000 | |||
Federated Retail Holdings, Inc. | |||||
| 630,000 | 5.350%, 3/15/2012 | 643,388 | |||
FireKeepers Development Authority | |||||
| 1,240,000 | 13.875%, 5/1/2015d | 1,407,400 | |||
Ford Motor Company, Convertible | |||||
| 1,270,000 | 4.250%, 11/15/2016 | 1,592,263 | |||
Ford Motor Credit Company, LLC | |||||
| 1,870,000 | 7.250%, 10/25/2011 | 1,888,498 | |||
| 1,480,000 | 8.000%, 6/1/2014 | 1,519,646 | |||
| 1,250,000 | 8.700%, 10/1/2014 | 1,306,865 | |||
Hanesbrands, Inc. | |||||
| 250,000 | 8.000%, 12/15/2016 | 254,688 | |||
Host Hotels and Resorts, LP, Convertible | |||||
| 630,000 | 2.500%, 10/15/2029d | 673,313 | |||
Hyatt Hotels Corporation | |||||
| 3,100,000 | 5.750%, 8/15/2015d | 3,118,581 | |||
J.C. Penney Corporation, Inc. | |||||
| 1,200,000 | 7.950%, 4/1/2017 | 1,311,000 | |||
Macy’s Retail Holdings, Inc. | |||||
| 2,180,000 | 8.875%, 7/15/2015 | 2,403,450 | |||
MGM MIRAGE | |||||
| 1,550,000 | 10.375%, 5/15/2014d | 1,681,750 | |||
Mohegan Tribal Gaming Authority | |||||
| 1,870,000 | 11.500%, 11/1/2017d | 1,907,400 | |||
Nissan Motor Acceptance Corporation | |||||
| 4,100,000 | 5.625%, 3/14/2011d | 4,183,319 | |||
Rite Aid Corporation | |||||
| 1,250,000 | 9.500%, 6/15/2017 | 1,087,500 | |||
Speedway Motorsports, Inc. | |||||
| 1,250,000 | 8.750%, 6/1/2016 | 1,318,750 | |||
Time Warner, Inc. | |||||
| 3,100,000 | 5.875%, 11/15/2016e | 3,346,475 | |||
Toll Bros Finance Corporation | |||||
| 3,100,000 | 6.750%, 11/1/2019 | 3,036,121 | |||
Toys R Us Property Company I, LLC | |||||
| 1,250,000 | 10.750%, 7/15/2017d | 1,368,750 | |||
Universal City Development Partners, Ltd. | |||||
| 1,870,000 | 8.875%, 11/15/2015d | 1,830,263 | |||
Viacom, Inc. | |||||
| 4,300,000 | 6.250%, 4/30/2016 | 4,686,492 | |||
Volvo Treasury AB | |||||
| 3,100,000 | 5.950%, 4/1/2015d | 3,198,933 | |||
Wal-Mart Stores, Inc. | |||||
| 3,025,000 | 5.875%, 4/5/2027 | 3,170,741 | |||
WMG Acquisition Corporation | |||||
| 1,250,000 | 9.500%, 6/15/2016d | 1,339,063 | |||
Total Consumer Cyclical | 61,457,303 | ||||
| Consumer Non-Cyclical (5.7%) | |||||
Altria Group, Inc. | |||||
| 1,200,000 | 8.500%, 11/10/2013 | 1,386,756 | |||
| 3,000,000 | 9.700%, 11/10/2018 | 3,708,501 | |||
| 2,500,000 | 9.950%, 11/10/2038 | 3,258,775 | |||
AmerisourceBergen Corporation | |||||
| 3,000,000 | 5.875%, 9/15/2015 | 3,269,460 | |||
Anheuser-Busch InBev Worldwide, Inc. | |||||
| 3,125,000 | 5.375%, 11/15/2014d | 3,308,613 | |||
| 1,900,000 | 6.875%, 11/15/2019d | 2,121,130 | |||
| 3,750,000 | 5.375%, 1/15/2020d | 3,825,971 | |||
Boston Scientific Corporation | |||||
| 1,900,000 | 4.500%, 1/15/2015 | 1,903,878 | |||
| 1,875,000 | 6.000%, 1/15/2020 | 1,915,832 | |||
Cargill, Inc. | |||||
| 4,600,000 | 5.600%, 9/15/2012d | 4,948,072 | |||
Constellation Brands, Inc. | |||||
| 2,500,000 | 7.250%, 5/15/2017 | 2,534,375 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Consumer Non-Cyclical (5.7%) - continued | |||||
DaVita, Inc. | |||||
| $ 630,000 | 6.625%, 3/15/2013 | $ | 631,575 | ||
| 1,250,000 | 7.250%, 3/15/2015 | 1,253,125 | |||
Del Monte Corporation | |||||
| 1,250,000 | 7.500%, 10/15/2019d | 1,287,500 | |||
General Mills, Inc. | |||||
| 3,500,000 | 5.650%, 9/10/2012 | 3,807,570 | |||
| 4,600,000 | 5.200%, 3/17/2015 | 4,908,858 | |||
HCA, Inc. | |||||
| 1,240,000 | 6.750%, 7/15/2013 | 1,221,400 | |||
| 1,250,000 | 9.625%, 11/15/2016 | 1,353,125 | |||
| 2,490,000 | 8.500%, 4/15/2019d | 2,682,975 | |||
Kroger Company | |||||
| 2,500,000 | 6.400%, 8/15/2017 | 2,731,060 | |||
| 1,625,000 | 6.150%, 1/15/2020 | 1,739,153 | |||
McKesson Corporation | |||||
| 1,600,000 | 7.500%, 2/15/2019 | 1,897,413 | |||
Novartis Securities Investment, Ltd. | |||||
| 2,850,000 | 5.125%, 2/10/2019 | 2,993,999 | |||
Pinnacle Foods Finance, LLC/Pinnacle Foods Finance Corporation | |||||
| 310,000 | 9.250%, 4/1/2015d | 314,650 | |||
Roche Holdings, Inc. | |||||
| 5,000,000 | 6.000%, 3/1/2019d | 5,494,254 | |||
Safeway, Inc. | |||||
| 1,600,000 | 6.350%, 8/15/2017 | 1,751,138 | |||
Smithfield Foods, Inc. | |||||
| 1,250,000 | 10.000%, 7/15/2014d | 1,356,250 | |||
SUPERVALU, Inc. | |||||
| 1,270,000 | 7.500%, 11/15/2014 | 1,285,875 | |||
Tenet Healthcare Corporation | |||||
| 1,870,000 | 10.000%, 5/1/2018d | 2,094,400 | |||
U.S. Oncology, Inc. | |||||
| 1,230,000 | 9.125%, 8/15/2017 | 1,291,500 | |||
Total Consumer Non-Cyclical | 72,277,183 | ||||
| Energy (8.5%) | |||||
Anadarko Petroleum Corporation | |||||
| 1,100,000 | 5.750%, 6/15/2014 | 1,192,024 | |||
| 1,900,000 | 5.950%, 9/15/2016 | 2,055,224 | |||
Cenovus Energy, Inc. | |||||
| 1,750,000 | 4.500%, 9/15/2014d | 1,806,432 | |||
| 2,500,000 | 6.750%, 11/15/2039d | 2,725,135 | |||
CenterPoint Energy Resources Corporation | |||||
| 6,850,000 | 6.125%, 11/1/2017 | 7,077,618 | |||
Chesapeake Energy Corporation | |||||
| 2,500,000 | 6.500%, 8/15/2017 | 2,450,000 | |||
Enbridge Energy Partners, LP | |||||
| 1,900,000 | 8.050%, 10/1/2037 | 1,766,360 | |||
Energy Transfer Partners, LP | |||||
| 5,900,000 | 6.700%, 7/1/2018 | 6,317,129 | |||
Enterprise Products Operating, LLC | |||||
| 3,725,000 | 5.600%, 10/15/2014 | 3,966,492 | |||
| 4,000,000 | 6.300%, 9/15/2017 | 4,306,092 | |||
EQT Corporation | |||||
| 1,300,000 | 8.125%, 6/1/2019 | 1,501,985 | |||
Ferrellgas Partners, LP | |||||
| 1,870,000 | 6.750%, 5/1/2014 | 1,841,950 | |||
Kinder Morgan Energy Partners, LP | |||||
| 3,100,000 | 5.800%, 3/1/2021 | 3,197,442 | |||
Magellan Midstream Partners, LP | |||||
| 2,700,000 | 6.450%, 6/1/2014 | 2,954,232 | |||
McJunkin Red Man Corporation | |||||
| 1,250,000 | 9.500%, 12/15/2016d | 1,221,875 | |||
Nexen, Inc. | |||||
| 3,075,000 | 6.400%, 5/15/2037 | 3,098,115 | |||
Noble Energy, Inc. | |||||
| 3,100,000 | 8.250%, 3/1/2019 | 3,708,781 | |||
ONEOK Partners, LP | |||||
| 1,000,000 | 8.625%, 3/1/2019 | 1,206,793 | |||
| 3,250,000 | 6.850%, 10/15/2037 | 3,398,821 | |||
PetroHawk Energy Corporation | |||||
| 2,200,000 | 10.500%, 8/1/2014 | 2,403,500 | |||
Petroleos Mexicanos | |||||
| 3,100,000 | 4.875%, 3/15/2015d | 3,088,530 | |||
Petroleum Company of Trindad & Tobago, Ltd. | |||||
| 1,250,000 | 9.750%, 8/14/2019d | 1,398,438 | |||
Pioneer Natural Resources Company | |||||
| 2,500,000 | 6.875%, 5/1/2018 | 2,473,550 | |||
| 1,260,000 | 7.500%, 1/15/2020 | 1,260,572 | |||
Plains All American Pipeline, LP | |||||
| 3,150,000 | 6.500%, 5/1/2018 | 3,368,569 | |||
Plains Exploration & Production Company | |||||
| 1,870,000 | 8.625%, 10/15/2019 | 1,921,425 | |||
Premcor Refining Group, Inc. | |||||
| 2,500,000 | 6.125%, 5/1/2011 | 2,602,610 | |||
| 2,800,000 | 6.750%, 5/1/2014 | 2,857,064 | |||
Pride International, Inc. | |||||
| 1,250,000 | 7.375%, 7/15/2014 | 1,290,625 | |||
Tesoro Corporation | |||||
| 1,250,000 | 9.750%, 6/1/2019 | 1,293,750 | |||
Transcontinental Gas Pipe Line Corporation | |||||
| 3,000,000 | 8.875%, 7/15/2012 | 3,438,501 | |||
| 900,000 | 6.400%, 4/15/2016 | 981,775 | |||
Transocean, Inc. | |||||
| 4,200,000 | 6.000%, 3/15/2018 | 4,481,152 | |||
Weatherford International, Ltd. | |||||
| 3,100,000 | 6.000%, 3/15/2018 | 3,121,592 | |||
Western Oil Sands, Inc. | |||||
| 3,100,000 | 8.375%, 5/1/2012 | 3,469,988 | |||
Williams Companies, Inc. | |||||
| 3,100,000 | 8.750%, 1/15/2020 | 3,698,210 | |||
Woodside Finance, Ltd. | |||||
| 3,125,000 | 4.500%, 11/10/2014d | 3,152,863 | |||
XTO Energy, Inc. | |||||
| 3,100,000 | 5.300%, 6/30/2015 | 3,395,064 | |||
| 2,500,000 | 6.750%, 8/1/2037 | 2,944,730 | |||
Total Energy | 108,435,008 | ||||
| Financials (26.5%) | |||||
Abbey National Capital Trust I | |||||
| 3,090,000 | 8.963%, 6/30/2030 | 2,973,254 | |||
Abbey National Treasury Services plc | |||||
| 2,500,000 | 3.875%, 11/10/2014d | 2,508,898 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Financials (26.5%) - continued | |||||
Aflac, Inc. | |||||
| $2,500,000 | 6.900%, 12/17/2039 | $ | 2,462,905 | ||
AMB Property, LP | |||||
| 3,125,000 | 6.625%, 12/1/2019 | 3,065,091 | |||
American Express Centurion Bank | |||||
| 2,800,000 | 5.550%, 10/17/2012 | 2,994,401 | |||
American Express Credit Corporation | |||||
| 1,650,000 | 7.300%, 8/20/2013 | 1,854,404 | |||
| 2,500,000 | 5.125%, 8/25/2014 | 2,634,333 | |||
American International Group, Inc. | |||||
| 2,450,000 | 8.250%, 8/15/2018 | 2,300,183 | |||
Associates Corporation of North America | |||||
| 3,800,000 | 6.950%, 11/1/2018 | 3,842,191 | |||
AXA SA | |||||
| 3,900,000 | 6.463%, 12/14/2018d | 3,022,500 | |||
Bank of America Corporation | |||||
| 3,000,000 | 6.000%, 9/1/2017 | 3,113,772 | |||
| 1,900,000 | 8.000%, 1/30/2018 | 1,829,206 | |||
| 3,100,000 | 5.650%, 5/1/2018 | 3,148,397 | |||
| 2,400,000 | 8.125%, 5/15/2018 | 2,310,576 | |||
Barclays Bank plc | |||||
| 1,575,000 | 5.200%, 7/10/2014 | 1,669,513 | |||
| 3,700,000 | 7.434%, 12/15/2017d | 3,367,000 | |||
| 1,900,000 | 6.750%, 5/22/2019 | 2,119,321 | |||
Bear Stearns Companies, Inc. | |||||
| 1,900,000 | 6.400%, 10/2/2017 | 2,071,154 | |||
BlackRock, Inc. | |||||
| 2,500,000 | 5.000%, 12/10/2019 | 2,456,703 | |||
BNP Paribas SA | |||||
| 3,350,000 | 5.186%, 6/29/2015d | 2,761,790 | |||
Boston Properties, Inc. | |||||
| 3,750,000 | 5.875%, 10/15/2019 | 3,761,741 | |||
Cantor Fitzgerald, LP | |||||
| 1,700,000 | 7.875%, 10/15/2019d | 1,663,714 | |||
Capital One Capital V | |||||
| 1,925,000 | 10.250%, 8/15/2039 | 2,237,813 | |||
Capital One Financial Corporation | |||||
| 1,250,000 | 7.375%, 5/23/2014e | 1,415,290 | |||
| 1,500,000 | 6.150%, 9/1/2016 | 1,506,773 | |||
| 1,200,000 | 6.750%, 9/15/2017 | 1,291,280 | |||
CDP Financial, Inc. | |||||
| 5,050,000 | 3.000%, 11/25/2014d | 4,927,841 | |||
CIGNA Corporation | |||||
| 4,000,000 | 6.350%, 3/15/2018 | 4,026,876 | |||
CIT Group, Inc. | |||||
| 201,351 | 7.000%, 5/1/2013 | 187,760 | |||
| 302,027 | 7.000%, 5/1/2014 | 280,508 | |||
| 302,027 | 7.000%, 5/1/2015 | 270,314 | |||
| 503,379 | 7.000%, 5/1/2016 | 442,974 | |||
| 704,731 | 7.000%, 5/1/2017 | 611,354 | |||
Citigroup, Inc. | |||||
| 2,500,000 | 6.500%, 8/19/2013 | 2,662,983 | |||
| 2,500,000 | 5.000%, 9/15/2014 | 2,410,060 | |||
| 3,125,000 | 6.010%, 1/15/2015 | 3,190,931 | |||
| 2,700,000 | 8.500%, 5/22/2019 | 3,117,833 | |||
CME Group, Inc. | |||||
| 6,300,001 | 5.400%, 8/1/2013 | 6,799,047 | |||
CNA Financial Corporation | |||||
| 1,275,000 | 7.350%, 11/15/2019 | 1,276,488 | |||
Commonwealth Bank of Australia | |||||
| 3,100,000 | 5.000%, 10/15/2019d | 3,077,776 | |||
Corestates Capital Trust I | |||||
| 3,000,000 | 8.000%, 12/15/2026d | 2,934,354 | |||
Coventry Health Care, Inc. | |||||
| 1,800,000 | 5.875%, 1/15/2012 | 1,825,774 | |||
Credit Agricole SA | |||||
| 3,600,000 | 6.637%, 5/31/2017d | 2,916,000 | |||
Credit Suisse/New York, NY | |||||
| 4,500,000 | 6.000%, 2/15/2018 | 4,708,521 | |||
Developers Diversified Realty Corporation | |||||
| 1,250,000 | 5.375%, 10/15/2012 | 1,174,819 | |||
Discover Bank | |||||
| 1,875,000 | 8.700%, 11/18/2019 | 2,008,789 | |||
Endurance Specialty Holdings, Ltd. | |||||
| 4,200,000 | 6.150%, 10/15/2015 | 4,383,821 | |||
ERP Operating, LP | |||||
| 2,500,000 | 5.125%, 3/15/2016 | 2,437,055 | |||
| 1,900,000 | 5.750%, 6/15/2017 | 1,900,215 | |||
Fifth Third Bancorp | |||||
| 2,800,000 | 5.450%, 1/15/2017 | 2,506,666 | |||
FMR, LLC | |||||
| 3,250,000 | 5.350%, 11/15/2021d | 3,101,703 | |||
GATX Corporation | |||||
| 1,875,000 | 4.750%, 10/1/2012 | 1,914,634 | |||
General Electric Capital Corporation | |||||
| 2,800,000 | 5.625%, 9/15/2017 | 2,884,644 | |||
| 1,900,000 | 6.000%, 8/7/2019 | 1,972,240 | |||
| 1,550,000 | 6.875%, 1/10/2039 | 1,600,662 | |||
| 4,500,000 | 6.375%, 11/15/2067 | 3,903,750 | |||
General Motors Acceptance Corporation, LLC | |||||
| 1,200,000 | 7.250%, 3/2/2011d | 1,188,000 | |||
| 2,500,000 | 6.875%, 9/15/2011d | 2,462,500 | |||
Goldman Sachs Group, Inc. | |||||
| 5,500,000 | 5.125%, 1/15/2015 | 5,779,141 | |||
| 2,500,000 | 5.350%, 1/15/2016 | 2,596,663 | |||
| 1,600,000 | 5.950%, 1/18/2018 | 1,689,557 | |||
| 1,300,000 | 6.750%, 10/1/2037 | 1,336,253 | |||
HSBC Capital Funding, LP/Jersey Channel Islands | |||||
| 3,100,000 | 9.547%, 6/30/2010d | 3,193,000 | |||
HSBC Holdings plc | |||||
| 2,200,000 | 6.800%, 6/1/2038 | 2,387,596 | |||
International Lease Finance Corporation | |||||
| 3,250,000 | 5.750%, 6/15/2011 | 2,986,100 | |||
| 1,900,000 | 5.300%, 5/1/2012 | 1,613,892 | |||
J.P. Morgan Chase & Company | |||||
| 2,800,000 | 5.750%, 1/2/2013 | 2,986,166 | |||
| 6,100,000 | 7.900%, 4/30/2018 | 6,291,905 | |||
| 3,100,000 | 6.300%, 4/23/2019 | 3,410,239 | |||
J.P. Morgan Chase Capital XXVII | |||||
| 3,100,000 | 7.000%, 11/1/2039 | 3,126,390 | |||
Keybank National Association | |||||
| 3,250,000 | 5.500%, 9/17/2012 | 3,360,705 | |||
LBG Capital No. 1 PLC | |||||
| 3,100,000 | 7.875%, 11/1/2020 | 2,495,500 | |||
Liberty Property, LP | |||||
| 2,840,000 | 5.500%, 12/15/2016 | 2,621,755 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Financials (26.5%) - continued | |||||
Lincoln National Corporation | |||||
| $1,250,000 | 6.250%, 2/15/2020 | $ | 1,231,850 | ||
Lukoil International Finance BV | |||||
| 3,100,000 | 6.375%, 11/5/2014d | 3,185,250 | |||
Macquarie Group, Ltd. | |||||
| 2,500,000 | 7.300%, 8/1/2014d | 2,701,165 | |||
| 1,250,000 | 7.625%, 8/13/2019d | 1,392,375 | |||
Merrill Lynch & Company, Inc. | |||||
| 5,000,000 | 5.450%, 2/5/2013 | 5,261,354 | |||
| 3,100,000 | 6.875%, 4/25/2018 | 3,340,058 | |||
| 3,000,000 | 7.750%, 5/14/2038 | 3,296,217 | |||
MetLife Capital Trust X | |||||
| 3,000,000 | 9.250%, 4/8/2038d | 3,390,000 | |||
MetLife, Inc. | |||||
| 3,200,000 | 6.817%, 8/15/2018 | 3,564,022 | |||
Morgan Stanley | |||||
| 4,400,000 | 4.750%, 4/1/2014 | 4,425,287 | |||
| 3,125,000 | 4.200%, 11/20/2014 | 3,127,181 | |||
| 1,900,000 | 5.450%, 1/9/2017 | 1,920,360 | |||
| 2,450,000 | 6.625%, 4/1/2018 | 2,648,862 | |||
| 3,100,000 | 5.625%, 9/23/2019 | 3,122,661 | |||
MUFG Capital Finance 1, Ltd. | |||||
| 5,130,000 | 6.346%, 7/25/2016 | 4,669,049 | |||
National City Bank | |||||
| 3,100,000 | 5.800%, 6/7/2017 | 3,099,650 | |||
Nationwide Health Properties, Inc. | |||||
| 5,150,000 | 6.250%, 2/1/2013 | 5,245,588 | |||
New York Life Insurance Company | |||||
| 2,500,000 | 6.750%, 11/15/2039d | 2,556,675 | |||
Nordea Bank AB | |||||
| 2,500,000 | 3.700%, 11/13/2014d | 2,495,180 | |||
Preferred Term Securities XXIII, Ltd. | |||||
| 5,571,264 | 0.454%, 3/22/2010a,b | 2,507,069 | |||
ProLogis | |||||
| 1,170,000 | 5.500%, 4/1/2012 | 1,184,467 | |||
| 2,600,000 | 5.625%, 11/15/2015 | 2,472,311 | |||
| 1,875,000 | 7.375%, 10/30/2019 | 1,849,509 | |||
Prudential Financial, Inc. | |||||
| 1,550,000 | 3.625%, 9/17/2012 | 1,572,929 | |||
| 1,250,000 | 6.200%, 1/15/2015 | 1,344,841 | |||
| 2,900,000 | 6.000%, 12/1/2017 | 2,991,945 | |||
| 1,120,000 | 5.700%, 12/14/2036 | 1,011,948 | |||
QBE Insurance Group, Ltd. | |||||
| 1,680,000 | 9.750%, 3/14/2014d | 1,900,557 | |||
Rabobank Nederland | |||||
| 1,250,000 | 11.000%, 6/30/2019d | 1,524,068 | |||
Regency Centers, LP | |||||
| 2,500,000 | 5.875%, 6/15/2017 | 2,313,495 | |||
Reinsurance Group of America, Inc. | |||||
| 4,785,000 | 5.625%, 3/15/2017 | 4,618,257 | |||
Resona Bank, Ltd. | |||||
| 6,000,000 | 5.850%, 4/15/2016d | 5,236,668 | |||
Royal Bank of Scotland Group plc | |||||
| 1,875,000 | 6.400%, 10/21/2019 | 1,868,981 | |||
Royal Bank of Scotland plc | |||||
| 3,150,000 | 4.875%, 8/25/2014d | 3,193,108 | |||
Simon Property Group, LP | |||||
| 1,575,000 | 6.750%, 5/15/2014 | 1,678,446 | |||
| 2,280,000 | 5.750%, 12/1/2015 | 2,325,035 | |||
| 1,250,000 | 10.350%, 4/1/2019 | 1,570,084 | |||
SLM Corporation | |||||
| 1,800,000 | 4.500%, 7/26/2010 | 1,793,552 | |||
| 2,300,000 | 5.400%, 10/25/2011 | 2,297,969 | |||
Swiss RE Capital I, LP | |||||
| 4,200,000 | 6.854%, 5/25/2016d | 3,394,860 | |||
TD Ameritrade Holding Corporation | |||||
| 3,775,000 | 5.600%, 12/1/2019 | 3,749,949 | |||
Travelers Companies, Inc. | |||||
| 995,000 | 6.250%, 6/15/2037 | 1,051,816 | |||
Travelers Property Casualty Corporation | |||||
| 1,100,000 | 5.000%, 3/15/2013 | 1,153,419 | |||
UnitedHealth Group, Inc. | |||||
| 2,500,000 | 6.500%, 6/15/2037 | 2,465,245 | |||
Unum Group | |||||
| 2,500,000 | 7.125%, 9/30/2016 | 2,590,235 | |||
USB Capital XIII Trust | |||||
| 3,150,000 | 6.625%, 12/15/2039 | 3,201,471 | |||
Wachovia Bank NA | |||||
| 2,025,000 | 4.875%, 2/1/2015 | 2,068,100 | |||
Wachovia Capital Trust III | |||||
| 3,585,000 | 5.800%, 3/15/2011 | 2,742,525 | |||
Wachovia Corporation | |||||
| 2,500,000 | 5.250%, 8/1/2014 | 2,588,153 | |||
WEA Finance, LLC | |||||
| 1,500,000 | 7.125%, 4/15/2018d | 1,640,007 | |||
WEA Finance, LLC/WT Finance Australia, Pty Ltd. | |||||
| 1,850,000 | 7.500%, 6/2/2014d | 2,081,796 | |||
Wells Fargo & Company | |||||
| 1,900,000 | 7.980%, 3/15/2018 | 1,904,750 | |||
Westpac Banking Corporation | |||||
| 3,100,000 | 4.200%, 2/27/2015 | 3,151,063 | |||
| 1,925,000 | 4.875%, 11/19/2019 | 1,899,985 | |||
Willis North America, Inc. | |||||
| 4,600,000 | 6.200%, 3/28/2017 | 4,560,090 | |||
| 1,900,000 | 7.000%, 9/29/2019 | 1,934,686 | |||
XL Capital, Ltd. | |||||
| 3,100,000 | 6.250%, 5/15/2027 | 2,818,991 | |||
Total Financials | 340,289,121 | ||||
| Foreign (1.9%) | |||||
Abu Dhabi National Energy Company | |||||
| 1,600,000 | 6.250%, 9/16/2019d | 1,549,843 | |||
Brazil Government International Bond | |||||
| 3,150,000 | 5.625%, 1/7/2041 | 2,968,875 | |||
Corporacion Andina de Fomento | |||||
| 2,000,000 | 8.125%, 6/4/2019 | 2,310,964 | |||
Export-Import Bank of Korea | |||||
| 1,575,000 | 5.875%, 1/14/2015 | 1,690,151 | |||
Korea Expressway Corporation | |||||
| 1,250,000 | 4.500%, 3/23/2015d | 1,273,600 | |||
Kreditanstalt fuer Wiederaufbau | |||||
| 5,000,000 | 4.000%, 10/15/2013 | 5,261,966 | |||
Petrobras International Finance Company | |||||
| 2,050,000 | 5.750%, 1/20/2020 | 2,085,438 | |||
Qatar Government International Bond | |||||
| 3,800,000 | 5.250%, 1/20/2020d | 3,828,500 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | |||
| Foreign (1.9%) - continued | |||||
Ras Laffan Liquefied Natural Gas Company, Ltd. III | |||||
| $1,250,000 | 5.500%, 9/30/2014d | $ | 1,309,555 | ||
| 1,600,000 | 5.832%, 9/30/2016d | 1,675,536 | |||
Total Foreign | 23,954,428 | ||||
| Mortgage-Backed Securities (4.1%) | |||||
Federal National Mortgage Association Conventional 30Yr. Pass Through | |||||
| 22,750,000 | 5.500%, 1/1/2040f | 23,812,857 | |||
| 19,000,000 | 6.000%, 1/1/2040f | 20,122,178 | |||
| 8,000,000 | 6.500%, 1/1/2040f | 8,567,504 | |||
Total Mortgage-Backed Securities | 52,502,539 | ||||
| Technology (1.5%) | |||||
Affiliated Computer Services, Inc. | |||||
| 3,100,000 | 5.200%, 6/1/2015 | 3,196,874 | |||
CA, Inc. | |||||
| 3,075,000 | 5.375%, 12/1/2019 | 3,092,250 | |||
International Game Technology | |||||
| 2,850,000 | 7.500%, 6/15/2019 | 3,088,346 | |||
JDA Software Group, Inc. | |||||
| 310,000 | 8.000%, 12/15/2014d | 316,200 | |||
Oracle Corporation | |||||
| 1,900,000 | 5.000%, 7/8/2019 | 1,959,461 | |||
| 1,900,000 | 6.125%, 7/8/2039 | 1,995,067 | |||
Seagate Technology HDD Holdings | |||||
| 1,870,000 | 6.800%, 10/1/2016 | 1,809,225 | |||
SunGard Data Systems, Inc. | |||||
| 1,300,000 | 9.125%, 8/15/2013 | 1,332,500 | |||
Xerox Corporation | |||||
| 1,250,000 | 4.250%, 2/15/2015 | 1,241,286 | |||
| 950,000 | 5.625%, 12/15/2019 | 948,674 | |||
Total Technology | 18,979,883 | ||||
| Transportation (2.8%) | |||||
American Airlines Pass Through Trust | |||||
| 1,900,000 | 10.375%, 7/2/2019 | 2,099,500 | |||
Continental Airlines, Inc. | |||||
| 1,125,000 | 7.250%, 11/10/2019 | 1,144,688 | |||
| 2,150,000 | 5.983%, 4/19/2022 | 2,074,750 | |||
CSX Corporation | |||||
| 3,100,000 | 7.900%, 5/1/2017 | 3,590,980 | |||
Delta Air Lines, Inc. | |||||
| 2,600,000 | 7.111%, 9/18/2011 | 2,622,750 | |||
| 1,250,000 | 9.500%, 9/15/2014d | 1,298,438 | |||
| 1,550,000 | 7.750%, 12/17/2019 | 1,581,000 | |||
FedEx Corporation | |||||
| 3,342,903 | 6.845%, 1/15/2019 | 3,399,943 | |||
| 3,121,535 | 6.720%, 1/15/2022 | 3,287,209 | |||
Kansas City Southern de Mexico SA de CV | |||||
| 2,180,000 | 7.375%, 6/1/2014 | 2,125,500 | |||
Navios Maritime Holdings, Inc. | |||||
| 1,510,000 | 8.875%, 11/1/2017d | 1,568,513 | |||
Union Pacific Corporation | |||||
| 3,100,000 | 5.450%, 1/31/2013 | 3,335,845 | |||
| 2,600,000 | 5.700%, 8/15/2018 | 2,723,495 | |||
United Air Lines, Inc. | |||||
| 2,800,000 | 10.400%, 11/1/2016 | 2,950,500 | |||
| 1,800,000 | 9.750%, 1/15/2017 | 1,836,000 | |||
Total Transportation | 35,639,111 | ||||
| U.S. Government and Agencies (4.2%) | |||||
Federal National Mortgage Association | |||||
| 13,000,000 | 5.250%, 8/1/2012g,h | 13,872,690 | |||
U.S. Treasury Bonds | |||||
| 2,000,000 | 6.250%, 8/15/2023 | 2,388,750 | |||
U.S. Treasury Notes | |||||
| 7,200,000 | 2.750%, 2/28/2013 | 7,418,246 | |||
| 3,100,000 | 2.625%, 6/30/2014 | 3,122,525 | |||
| 3,300,000 | 3.250%, 5/31/2016 | 3,313,665 | |||
| 5,165,000 | 4.000%, 8/15/2018 | 5,275,159 | |||
| 6,200,000 | 2.750%, 2/15/2019 | 5,707,875 | |||
U.S. Treasury Notes, TIPS | |||||
| 5,352,050 | 2.500%, 7/15/2016 | 5,828,297 | |||
| 3,198,766 | 1.625%, 1/15/2018 | 3,274,487 | |||
| 3,138,502 | 1.875%, 7/15/2019 | 3,257,668 | |||
Total U.S. Government and Agencies | 53,459,362 | ||||
| Utilities (6.6%) | |||||
AES Corporation | |||||
| 1,850,000 | 8.000%, 6/1/2020 | 1,882,375 | |||
Cleveland Electric Illuminating Company | |||||
| 1,775,000 | 5.700%, 4/1/2017 | 1,807,126 | |||
Columbus Southern Power Company | |||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,529,024 | |||
Commonwealth Edison Company | |||||
| 3,500,000 | 7.500%, 7/1/2013 | 3,877,733 | |||
| 1,500,000 | 6.150%, 9/15/2017 | 1,624,523 | |||
Consolidated Natural Gas Company | |||||
| 1,550,000 | 5.000%, 12/1/2014 | 1,650,766 | |||
Dominion Resources, Inc. | |||||
| 950,000 | 5.200%, 8/15/2019 | 964,812 | |||
DTE Energy Company | |||||
| 2,500,000 | 6.375%, 4/15/2033 | 2,351,145 | |||
El Paso Corporation | |||||
| 2,170,000 | 8.250%, 2/15/2016 | 2,316,475 | |||
Enel Finance International SA | |||||
| 1,875,000 | 3.875%, 10/7/2014d | 1,897,832 | |||
Exelon Generation Company, LLC | |||||
| 1,050,000 | 5.200%, 10/1/2019 | 1,050,469 | |||
Florida Power Corporation | |||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,183,586 | |||
Illinois Power Company | |||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,379,626 | |||
ITC Holdings Corporation | |||||
| 3,000,000 | 5.875%, 9/30/2016d | 3,029,880 | |||
| 4,000,000 | 6.050%, 1/31/2018d | 4,039,659 | |||
MidAmerican Energy Holdings Company | |||||
| 2,400,000 | 6.125%, 4/1/2036 | 2,458,063 | |||
| 3,350,000 | 6.500%, 9/15/2037 | 3,602,526 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (96.1%) | Value | ||||
| Utilities (6.6%) - continued | ||||||
Mirant Americas Generation, LLC | ||||||
| $1,250,000 | 8.300%, 5/1/2011 | $ | 1,281,250 | |||
National Rural Utilities Cooperative Finance Corporation | ||||||
| 2,500,000 | 3.875%, 9/16/2015 | 2,523,070 | ||||
Nevada Power Company | ||||||
| 2,800,000 | 6.750%, 7/1/2037 | 2,986,150 | ||||
NiSource Finance Corporation | ||||||
| 2,800,000 | 6.400%, 3/15/2018 | 2,910,219 | ||||
| 1,550,000 | 6.125%, 3/1/2022 | 1,581,851 | ||||
NRG Energy, Inc. | ||||||
| 1,500,000 | 7.375%, 2/1/2016 | 1,501,875 | ||||
Ohio Edison Company | ||||||
| 1,550,000 | 6.875%, 7/15/2036 | 1,655,569 | ||||
Ohio Power Company | ||||||
| 2,200,000 | 5.375%, 10/1/2021 | 2,205,885 | ||||
Pennsylvania Electric Company | ||||||
| 3,700,000 | 5.200%, 4/1/2020 | 3,644,067 | ||||
Power Contract Financing, LLC | ||||||
| 355,954 | 6.256%, 2/1/2010a | 355,898 | ||||
Power Receivables Finance, LLC | ||||||
| 1,672,917 | 6.290%, 1/1/2012a | 1,705,522 | ||||
Progress Energy, Inc. | ||||||
| 1,075,000 | 7.000%, 10/30/2031 | 1,171,395 | ||||
PSEG Power, LLC | ||||||
| 4,799,999 | 5.000%, 4/1/2014 | 4,958,020 | ||||
RRI Energy, Inc. | ||||||
| 903,000 | 6.750%, 12/15/2014 | 921,060 | ||||
Southern Star Central Corporation | ||||||
| 3,600,000 | 6.750%, 3/1/2016 | 3,474,000 | ||||
Southwestern Public Service Company | ||||||
| 2,770,000 | 6.000%, 10/1/2036 | 2,754,721 | ||||
TransAlta Corporation | ||||||
| 1,550,000 | 4.750%, 1/15/2015 | 1,560,790 | ||||
Union Electric Company | ||||||
| 2,900,000 | 6.400%, 6/15/2017 | 3,122,929 | ||||
Virginia Electric and Power Company | ||||||
| 1,300,000 | 5.950%, 9/15/2017 | 1,408,748 | ||||
| 1,300,000 | 6.350%, 11/30/2037 | 1,418,988 | ||||
Total Utilities | 83,787,627 | |||||
Total Long-Term Fixed Income (cost $1,219,892,280) | 1,228,170,290 | |||||
| Shares | Mutual Funds (1.4%) | |||||
| Fixed Income Mutual Funds (1.4%) | ||||||
| 3,779,609 | Thrivent High Yield Fund | 17,310,611 | ||||
Total Fixed Income Mutual Funds | 17,310,611 | |||||
Total Mutual Funds (cost $13,300,000) | 17,310,611 | |||||
Preferred Stock (0.2%) | ||||||
| Financials (0.2%) | ||||||
| 22,000 | Citigroup, Inc., Convertible, | |||||
7.500%i | 2,295,480 | |||||
| 359,990 | Federal National Mortgage Association, 8.250%i | 395,989 | ||||
| 167 | GMAC, Inc., 7.000%d,i | 110,074 | ||||
Total Financials | 2,801,543 | |||||
Total Preferred Stock (cost $9,220,736) | 2,801,543 | |||||
Common Stock (<0.1%) | ||||||
| Financials (<0.1%) | ||||||
| 17,331 | CIT Group, Inc.i | 478,509 | ||||
Total Financials | 478,509 | |||||
Total Common Stock (cost $554,987) | 478,509 | |||||
Collateral Held for Securities Loaned (0.6%) | ||||||
| 7,956,950 | Thrivent Financial Securities Lending Trust | 7,956,950 | ||||
Total Collateral Held for Securities Loaned (cost $7,956,950) | 7,956,950 | |||||
Principal | Short-Term Investments (5.2%)j | |||||
Chariot Funding, LLC | ||||||
| 1,240,000 | 0.050%, 1/4/2010 | 1,239,995 | ||||
Federal Home Loan Bank Discount Notes | ||||||
| 10,000,000 | 0.030%, 1/15/2010 | 9,999,883 | ||||
| 2,000,000 | 0.025%, 1/22/2010 | 1,999,971 | ||||
| 4,670,000 | 0.050%, 2/12/2010 | 4,669,728 | ||||
| 11,090,000 | 0.060%, 2/24/2010 | 11,089,002 | ||||
| 150,000 | 0.200%, 3/17/2010h | 149,939 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 3,220,000 | 0.050%, 2/16/2010 | 3,219,794 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 5,555,000 | 0.055%, 2/1/2010 | 5,554,737 | ||||
| 1,250,000 | 0.030%, 2/4/2010 | 1,249,965 | ||||
| 27,000,000 | 0.050%, 2/16/2010 | 26,998,274 | ||||
Total Short-Term Investments (at amortized cost) | 66,171,288 | |||||
Total Investments (cost $1,317,096,241) 103.5% | $ | 1,322,889,191 | ||||
Other Assets and Liabilities, Net (3.5%) | (44,733,476 | ) | ||||
Total Net Assets 100.0% | $ | 1,278,155,715 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| a | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Income Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 3,000,000 | ||
Capitalsource Commercial Loan Trust | 4/5/2007 | 3,063,944 | |||
Commercial Mortgage Pass- Through Certificates | 5/2/2007 | 4,750,000 | |||
Commercial Mortgage Pass- Through Certificates | 10/18/2006 | 2,000,000 | |||
Power Contract Financing, LLC | 6/11/2003 | 355,898 | |||
Power Receivables Finance, LLC | 9/30/2003 | 1,672,425 | |||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 5,571,263 | |||
Systems 2001 Asset Trust, LLC | 6/4/2001 | 2,794,674 | |||
Wachovia Bank Commercial Mortgage Trust | 4/25/2007 | 15,000,661 | |||
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | All or a portion of the security is insured or guaranteed. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $237,269,311 or 18.6% of total net assets. |
| e | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| f | Denotes investments purchased on a when-issued or delayed delivery basis. |
| g | At December 31, 2009, $3,734,955 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| h | At December 31, 2009, $740,237 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| i | Non-income producing security. |
| j | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
| TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 66,379,598 | ||
Gross unrealized depreciation | (60,808,950 | ) | ||
Net unrealized appreciation (depreciation) | $ | 5,570,648 | ||
Cost for federal income tax purposes | $ | 1,317,318,543 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Income Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Long-Term Fixed Income | ||||||||||||
Asset-Backed Securities | 27,451,157 | — | 15,383,682 | 12,067,475 | ||||||||
Basic Materials | 61,948,041 | — | 61,948,041 | — | ||||||||
Capital Goods | 35,730,046 | — | 35,730,046 | — | ||||||||
Collateralized Mortgage Obligations | 27,373,885 | — | 27,373,885 | — | ||||||||
Commercial Mortgage-Backed Securities | 89,794,611 | — | 79,494,611 | 10,300,000 | ||||||||
Communications Services | 135,090,985 | — | 135,090,985 | — | ||||||||
Consumer Cyclical | 61,457,303 | — | 61,457,303 | — | ||||||||
Consumer Non-Cyclical | 72,277,183 | — | 72,277,183 | — | ||||||||
Energy | 108,435,008 | — | 108,435,008 | — | ||||||||
Financials | 340,289,121 | — | 337,782,052 | 2,507,069 | ||||||||
Foreign | 23,954,428 | — | 23,954,428 | — | ||||||||
Mortgage-Backed Securities | 52,502,539 | — | 52,502,539 | — | ||||||||
Technology | 18,979,883 | — | 18,979,883 | — | ||||||||
Transportation | 35,639,111 | — | 21,329,923 | 14,309,188 | ||||||||
U.S. Government and Agencies | 53,459,362 | — | 53,459,362 | — | ||||||||
Utilities | 83,787,627 | — | 83,787,627 | — | ||||||||
Mutual Funds | ||||||||||||
Fixed Income Mutual Funds | 17,310,611 | 17,310,611 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 2,801,543 | 2,691,469 | 110,074 | — | ||||||||
Common Stock | ||||||||||||
Financials | 478,509 | 478,509 | — | — | ||||||||
Collateral Held for Securities Loaned | 7,956,950 | 7,956,950 | — | — | ||||||||
Short-Term Investments | 66,171,288 | — | 66,171,288 | — | ||||||||
Total | $ | 1,322,889,191 | $ | 28,437,539 | $ | 1,255,267,920 | $ | 39,183,732 | ||||
Other Financial Instruments* | $ | 1,651,067 | $ | 1,320,728 | $ | 330,339 | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Income Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | |||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||
Asset-Backed Securities | 11,076,438 | — | — | 1,007,111 | (16,074 | ) | — | 12,067,475 | ||||||||||||||
Commercial Mortgage- Backed Securities | 8,315,400 | — | — | 1,984,600 | — | — | 10,300,000 | |||||||||||||||
Financials | 4,464,909 | 44,252 | 12,992 | 698,317 | (812,844 | ) | (1,900,557 | ) | 2,507,069 | |||||||||||||
Transportation | 16,416,728 | (35,326 | ) | (2,539,466 | ) | 5,683,679 | (5,216,427 | ) | — | 14,309,188 | ||||||||||||
U.S. Government and Agencies | 6,794,998 | — | (393,718 | ) | 363,518 | (6,764,798 | ) | — | — | |||||||||||||
Preferred Stock | ||||||||||||||||||||||
Financials | 52,563 | — | — | 57,511 | — | (110,074 | ) | — | ||||||||||||||
Total | $ | 47,121,036 | $ | 8,926 | ($2,920,192) | $ | 9,794,736 | ($12,810,143) | ($2,010,631) | $ | 39,183,732 | |||||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||||||
2-Yr. U.S. Treasury Bond Futures | 315 | March 2010 | $ | 68,454,241 | $ | 68,123,674 | ($330,567 | ) | |||||||||
5-Yr. U.S. Treasury Bond Futures | (295 | ) | March 2010 | (34,283,632 | ) | (33,742,929 | ) | 540,703 | |||||||||
10-Yr. U.S. Treasury Bond Futures | (1,475 | ) | March 2010 | (174,783,001 | ) | (170,293,367 | ) | 4,489,634 | |||||||||
20-Yr. U.S. Treasury Bond Futures | 695 | March 2010 | 83,564,666 | 80,185,624 | (3,379,042 | ) | |||||||||||
Total Futures Contracts | $ | 1,320,728 | |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Income Portfolio
Schedule of Investments as of December 31, 2009
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||
CDX IG, Series 12, 5 Year, at 1.00%; | Sell | 6/20/2014 | $ | 9,603,000 | $ | 257,809 | $ | 72,530 | $ | 330,339 | ||||||
Total Credit Default Swaps | $ | 72,530 | $ | 330,339 | ||||||||||||
| 1 | As the buyer of protection, Income Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Income Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Income Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The market values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the market value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The market value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,030,337 | |||
Total Interest Rate Contracts | 5,030,337 | ||||
Credit Contracts | |||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 330,339 | |||
Total Credit Contracts | 330,339 | ||||
Total Asset Derivatives | $ | 5,360,676 | |||
Liability Derivatives | |||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,709,609 | |||
Total Interest Rate Contracts | 3,709,609 | ||||
Total Liability Derivatives | $ | 3,709,609 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Interest Rate Contracts | |||||
Futures | Net realized gains/(losses) on Futures contracts | (9,419,864 | ) | ||
Total Interest Rate Contracts | (9,419,864 | ) | |||
Credit Contracts | |||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (10,002,259 | ) | ||
Total Credit Contracts | (10,002,259 | ) | |||
Total | ($19,422,123) | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
| Interest Rate Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 6,469,831 | |||
Total Interest Rate Contracts | 6,469,831 | ||||
| Credit Contracts | |||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 5,595,892 | |||
Total Credit Contracts | 5,595,892 | ||||
Total | $ | 12,065,723 | |||
The following table presents Income Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||
Interest Rate Contracts | $ | 317,121,777 | 27.6 | % | N/A | N/A | ||||||
Credit Contracts | N/A | N/A | $ | 17,706,563 | 1.5 | % | ||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Income Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
High Yield Fund | $ | — | $ | 13,300,000 | $ | — | 3,779,609 | $ | 17,310,611 | $ | 1,110,948 | ||||||
Money Market | 15,221,153 | 31,372,714 | 46,593,867 | — | — | 40,899 | |||||||||||
Thrivent Financial Securities Lending Trust | 37,623,842 | 233,351,950 | 263,018,842 | 7,956,950 | 7,956,950 | 95,456 | |||||||||||
Total Value and Income Earned | 52,844,995 | 25,267,561 | 1,247,303 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (107.9%) | Value | |||
| Asset-Backed Securities (3.7%) | |||||
Americredit Automobile Receivables Trust | |||||
| $ 697,868 | 0.315%, 1/6/2010a,b | $ | 693,193 | ||
Countrywide Asset-Backed Certificates | |||||
| 645,704 | 6.085%, 6/25/2021a | 288,936 | |||
| 968,746 | 5.549%, 4/25/2036a | 745,743 | |||
Credit Based Asset Servicing and Securitization, LLC | |||||
| 553,339 | 5.501%, 12/25/2036 | 393,012 | |||
First Franklin Mortgage Loan Asset-Backed Certificates | |||||
| 38,044 | 0.341%, 1/25/2010b | 37,790 | |||
First Horizon ABS Trust | |||||
| 1,663,532 | 0.361%, 1/25/2010a,b | 742,009 | |||
| 1,376,775 | 0.391%, 1/25/2010a,b | 594,917 | |||
GMAC Mortgage Corporation Loan Trust | |||||
| 1,743,897 | 0.411%, 1/25/2010a,b | 450,417 | |||
| 2,099,816 | 0.411%, 1/25/2010a,b | 841,524 | |||
Green Tree Financial Corporation | |||||
| 30,202 | 6.330%, 11/1/2029 | 28,313 | |||
IndyMac Seconds Asset-Backed Trust | |||||
| 612,953 | 0.401%, 1/25/2010a,b | 119,306 | |||
SLM Student Loan Trust | |||||
| 876 | 0.292%, 1/25/2010b | 876 | |||
Wachovia Asset Securitization, Inc. | |||||
| 1,705,379 | 0.371%, 1/25/2010a,b,c | 838,603 | |||
Total Asset-Backed Securities | 5,774,639 | ||||
| Basic Materials (0.6%) | |||||
Dow Chemical Company | |||||
| 27,000 | 7.375%, 11/1/2029 | 29,481 | |||
Potash Corporation of Saskatchewan, Inc. | |||||
| 300,000 | 7.750%, 5/31/2011 | 325,229 | |||
Rio Tinto Alcan, Inc. | |||||
| 500,000 | 5.200%, 1/15/2014 | 527,038 | |||
Total Basic Materials | 881,748 | ||||
| Capital Goods (1.1%) | |||||
General Electric Company | |||||
| 600,000 | 5.000%, 2/1/2013 | 634,776 | |||
John Deere Capital Corporation | |||||
| 350,000 | 7.000%, 3/15/2012 | 388,268 | |||
Republic Services, Inc. | |||||
| 500,000 | 5.250%, 11/15/2021d | 491,613 | |||
United Technologies Corporation | |||||
| 275,000 | 6.050%, 6/1/2036 | 292,334 | |||
Total Capital Goods | 1,806,991 | ||||
| Collateralized Mortgage Obligations (1.5%) | |||||
Bear Stearns Mortgage Funding Trust | |||||
| 414,912 | 0.371%, 1/25/2010b | 80,543 | |||
Merrill Lynch Mortgage Investors, Inc. | |||||
| 1,322,498 | 4.875%, 6/25/2035 | 1,136,166 | |||
Thornburg Mortgage Securities Trust | |||||
| 1,190,145 | 0.341%, 1/25/2010b | 1,144,431 | |||
Total Collateralized Mortgage Obligations | 2,361,140 | ||||
| Commercial Mortgage-Backed Securities (8.4%) | |||||
Bear Stearns Commercial Mortgage Securities, Inc. | |||||
| 2,500,000 | 0.383%, 1/15/2010b,c | 2,132,745 | |||
Commercial Mortgage Pass-Through Certificates | |||||
| 67,843 | 0.333%, 1/15/2010b,d | 67,370 | |||
| 2,500,000 | 0.363%, 1/15/2010b,c | 1,994,663 | |||
Credit Suisse First Boston Mortgage Securities Corporation | |||||
| 16,341 | 3.861%, 3/15/2036 | 16,341 | |||
Credit Suisse Mortgage Capital Certificates | |||||
| 2,500,000 | 0.403%, 1/15/2010b,d | 1,923,897 | |||
General Electric Commercial Mortgage Corporation | |||||
| 800,000 | 4.641%, 9/10/2013 | 816,758 | |||
GMAC Commercial Mortgage Securities, Inc. | �� | ||||
| 500,000 | 4.547%, 12/10/2041 | 500,209 | |||
Greenwich Capital Commercial Funding Corporation | |||||
| 1,000,000 | 5.867%, 12/10/2049 | 767,484 | |||
GS Mortgage Securities Corporation II | |||||
| 2,000,000 | 0.365%, 1/6/2010b,d | 1,862,168 | |||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | |||||
| 500,000 | 4.654%, 1/12/2037 | 498,675 | |||
| 1,500,000 | 5.336%, 5/15/2047 | 1,300,901 | |||
LB-UBS Commercial Mortgage Trust | |||||
| 700,000 | 4.786%, 10/15/2029 | 676,198 | |||
| 613,553 | 4.553%, 7/15/2030 | 617,243 | |||
Total Commercial Mortgage- Backed Securities | 13,174,652 | ||||
| Communications Services (1.9%) | |||||
AT&T, Inc. | |||||
| 275,000 | 5.875%, 2/1/2012 | 297,385 | |||
| 300,000 | 6.400%, 5/15/2038 | 308,301 | |||
BellSouth Corporation | |||||
| 27,000 | 6.875%, 10/15/2031 | 28,358 | |||
Cox Communications, Inc. | |||||
| 500,000 | 7.750%, 11/1/2010 | 523,432 | |||
| 135,000 | 6.450%, 12/1/2036d | 135,161 | |||
France Telecom SA | |||||
| 200,000 | 7.750%, 3/1/2011 | 214,354 | |||
News America, Inc. | |||||
| 275,000 | 6.400%, 12/15/2035 | 282,381 | |||
Telecom Italia Capital SA | |||||
| 800,000 | 5.250%, 10/1/2015 | 836,438 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (107.9%) | Value | ||||
| Communications Services (1.9%) - continued | |||||
Time Warner Cable, Inc. | ||||||
| $ | 300,000 | 7.300%, 7/1/2038 | $ | 332,585 | ||
Verizon Global Funding Corporation | ||||||
| 27,000 | 7.750%, 12/1/2030 | 31,719 | ||||
Total Communications Services | 2,990,114 | |||||
| Consumer Cyclical (0.8%) | |||||
AOL Time Warner, Inc. | ||||||
| 27,000 | 7.625%, 4/15/2031 | 31,364 | ||||
Daimler Finance NA, LLC | ||||||
| 27,000 | 8.500%, 1/18/2031 | 33,179 | ||||
Target Corporation | ||||||
| 27,000 | 7.000%, 7/15/2031 | 30,220 | ||||
Wal-Mart Stores, Inc. | ||||||
| 527,000 | 7.550%, 2/15/2030 | 652,983 | ||||
Walt Disney Company | ||||||
| 500,000 | 5.625%, 9/15/2016 | 539,940 | ||||
Total Consumer Cyclical | 1,287,686 | |||||
| Consumer Non-Cyclical (2.0%) | |||||
AmerisourceBergen Corporation | ||||||
| 500,000 | 4.875%, 11/15/2019 | 493,626 | ||||
Boston Scientific Corporation | ||||||
| 275,000 | 7.000%, 11/15/2035 | 269,844 | ||||
Genentech, Inc. | ||||||
| 400,000 | 4.400%, 7/15/2010 | 408,234 | ||||
GlaxoSmithKline Capital, Inc. | ||||||
| 300,000 | 6.375%, 5/15/2038 | 332,363 | ||||
Kellogg Company | ||||||
| 600,000 | 4.250%, 3/6/2013 | 628,983 | ||||
| 27,000 | 7.450%, 4/1/2031 | 32,735 | ||||
Kraft Foods, Inc. | ||||||
| 27,000 | 6.500%, 11/1/2031 | 27,122 | ||||
Philip Morris International, Inc. | ||||||
| 300,000 | 6.375%, 5/16/2038 | 324,278 | ||||
Wyeth | ||||||
| 550,000 | 6.000%, 2/15/2036 | 574,535 | ||||
Total Consumer Non-Cyclical | 3,091,720 | |||||
| Energy (1.8%) | |||||
Anadarko Finance Company | ||||||
| 500,000 | 6.750%, 5/1/2011 | 528,366 | ||||
| 27,000 | 7.500%, 5/1/2031 | 30,290 | ||||
Burlington Resources, Inc. | ||||||
| 500,000 | 6.500%, 12/1/2011 | 547,228 | ||||
Conoco, Inc. | ||||||
| 27,000 | 6.950%, 4/15/2029 | 30,606 | ||||
Devon Financing Corporation, ULC | ||||||
| 27,000 | 7.875%, 9/30/2031 | 33,829 | ||||
Energy Transfer Partners, LP | ||||||
| 450,000 | 6.700%, 7/1/2018 | 481,815 | ||||
Petro-Canada | ||||||
| 300,000 | 6.800%, 5/15/2038 | 330,691 | ||||
Valero Energy Corporation | ||||||
| 500,000 | 4.750%, 6/15/2013 | 511,737 | ||||
XTO Energy, Inc. | ||||||
| 275,000 | 6.375%, 6/15/2038 | 308,530 | ||||
Total Energy | 2,803,092 | |||||
Long-Term Fixed Income (107.9%) | ||||||
| Financials (8.6%) | |||||
AIG SunAmerica Global Financing VI | ||||||
| 500,000 | 6.300%, 5/10/2011d | 497,344 | ||||
AXA SA | ||||||
| 27,000 | 8.600%, 12/15/2030 | 31,376 | ||||
BAC Capital Trust XI | ||||||
| 275,000 | 6.625%, 5/23/2036 | 245,732 | ||||
Bank of America Corporation | ||||||
| 500,000 | 6.500%, 8/1/2016 | 537,661 | ||||
Bank One Corporation | ||||||
| 900,000 | 5.900%, 11/15/2011 | 960,563 | ||||
Barclays Bank plc | ||||||
| 500,000 | 2.500%, 1/23/2013 | 499,425 | ||||
| 300,000 | 5.000%, 9/22/2016 | 306,544 | ||||
BNP Paribas SA | ||||||
| 1,100,000 | 5.186%, 6/29/2015d | 906,856 | ||||
Chubb Corporation | ||||||
| 600,000 | 6.500%, 5/15/2038 | 660,727 | ||||
CIGNA Corporation | ||||||
| 450,000 | 6.350%, 3/15/2018 | 453,024 | ||||
Citigroup, Inc. | ||||||
| 500,000 | 5.000%, 9/15/2014 | 482,012 | ||||
| 250,000 | 4.700%, 5/29/2015 | 242,566 | ||||
General Electric Capital Corporation | ||||||
| 500,000 | 2.200%, 6/8/2012 | 507,012 | ||||
| 475,000 | 5.875%, 1/14/2038 | 439,794 | ||||
Goldman Sachs Group, Inc. | ||||||
| 950,000 | 6.600%, 1/15/2012 | 1,032,782 | ||||
Household Finance Corporation | ||||||
| 650,000 | 6.375%, 11/27/2012 | 707,871 | ||||
HSBC Finance Corporation | ||||||
| 350,000 | 5.000%, 6/30/2015 | 361,551 | ||||
HSBC Holdings plc | ||||||
| 300,000 | 6.800%, 6/1/2038 | 325,581 | ||||
International Lease Finance Corporation | ||||||
| 850,000 | 5.875%, 5/1/2013 | 675,637 | ||||
Marsh & McLennan Companies, Inc. | ||||||
| 185,000 | 5.750%, 9/15/2015 | 193,005 | ||||
Merrill Lynch & Company, Inc. | ||||||
| 475,000 | 5.000%, 2/3/2014 | 480,709 | ||||
MetLife, Inc. | ||||||
| 200,000 | 5.000%, 6/15/2015 | 210,356 | ||||
Morgan Stanley Dean Witter & Company | ||||||
| 850,000 | 6.750%, 4/15/2011 | 900,561 | ||||
Preferred Term Securities XXIII, Ltd. | ||||||
| 1,193,842 | 0.454%, 3/22/2010b,c | 537,229 | ||||
ProLogis | ||||||
| 500,000 | 5.500%, 3/1/2013 | 494,630 | ||||
Prudential Financial, Inc. | ||||||
| 275,000 | 5.700%, 12/14/2036 | 248,469 | ||||
Wachovia Bank NA | ||||||
| 500,000 | 4.875%, 2/1/2015 | 510,642 | ||||
Washington Mutual Bank FA | ||||||
| 500,000 | 5.500%, 1/15/2013e | 2,500 | ||||
Total Financials | 13,452,159 | |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (107.9%) | Value | ||||
| Foreign (2.7%) | |||||
African Development Bank | ||||||
| $ | 250,000 | 6.875%, 10/15/2015 | $ | 277,292 | ||
Brazil Government International Bond | ||||||
| 200,000 | 5.625%, 1/7/2041 | 188,500 | ||||
Codelco | ||||||
| 300,000 | 6.375%, 11/30/2012d | 335,919 | ||||
Hydro-Quebec | ||||||
| 27,000 | 8.400%, 1/15/2022 | 34,532 | ||||
Kreditanstalt fuer Wiederaufbau | ||||||
| 600,000 | 3.750%, 6/27/2011 | 623,046 | ||||
Province of Nova Scotia | ||||||
| 250,000 | 7.250%, 7/27/2013 | 278,948 | ||||
Province of Quebec | ||||||
| 400,000 | 4.875%, 5/5/2014 | 430,179 | ||||
| 400,000 | 7.500%, 7/15/2023 | 480,180 | ||||
Republic of Italy | ||||||
| 600,000 | 6.000%, 2/22/2011 | 633,153 | ||||
| 200,000 | 4.375%, 6/15/2013 | 211,038 | ||||
| 700,000 | 5.375%, 6/12/2017 | 747,469 | ||||
Total Foreign | 4,240,256 | |||||
| Mortgage-Backed Securities (37.1%) | |||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||
| 3,017 | 6.500%, 10/1/2012 | 3,235 | ||||
| 2,867 | 6.500%, 1/1/2013 | 3,083 | ||||
| 1,969 | 6.000%, 9/1/2013 | 2,104 | ||||
| 6,884 | 5.500%, 3/1/2014 | 7,319 | ||||
| 16,687 | 6.000%, 4/1/2014 | 17,834 | ||||
| 6,407 | 7.000%, 10/1/2014 | 6,914 | ||||
| 10,160 | 6.500%, 3/1/2016 | 10,915 | ||||
| 19,836 | 6.000%, 6/1/2016 | 21,249 | ||||
| 23,537 | 6.000%, 9/1/2016 | 25,214 | ||||
| 236,596 | 7.000%, 6/1/2017 | 256,133 | ||||
| 378,983 | 5.500%, 12/1/2017 | 403,428 | ||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||
| 4,710 | 6.500%, 4/1/2024 | 5,098 | ||||
| 6,087 | 7.000%, 5/1/2024 | 6,800 | ||||
| 1,297 | 7.500%, 8/1/2025 | 1,457 | ||||
| 15,141 | 8.500%, 11/1/2025 | 17,405 | ||||
| 2,049 | 8.000%, 1/1/2026 | 2,351 | ||||
| 2,675 | 7.000%, 4/1/2027 | 2,960 | ||||
| 3,599 | 7.500%, 7/1/2027 | 4,052 | ||||
| 4,766 | 7.000%, 8/1/2027 | 5,273 | ||||
| 3,701 | 7.500%, 10/1/2027 | 4,168 | ||||
| 4,420 | 7.000%, 5/1/2028 | 4,885 | ||||
| 20,443 | 6.000%, 8/1/2028 | 21,925 | ||||
| 8,921 | 6.500%, 2/1/2029 | 9,657 | ||||
| 20,267 | 6.000%, 3/1/2029 | 21,723 | ||||
| 10,540 | 7.000%, 7/1/2029 | 11,644 | ||||
| 13,688 | 7.500%, 10/1/2029 | 15,396 | ||||
| 7,828 | 7.500%, 11/1/2029 | 8,805 | ||||
| 8,615 | 6.500%, 5/1/2031 | 9,317 | ||||
| 47,457 | 6.000%, 6/1/2031 | 50,853 | ||||
| 11,412 | 7.000%, 6/1/2031 | 12,564 | ||||
| 9,806 | 7.000%, 6/1/2031 | 10,796 | ||||
| 52,599 | 6.000%, 7/1/2031 | 56,363 | ||||
| 12,189 | 7.000%, 9/1/2031 | 13,419 | ||||
| 27,918 | 6.500%, 10/1/2031 | 30,195 | ||||
| 201,049 | 6.000%, 1/1/2032 | 215,437 | ||||
| 39,922 | 6.000%, 1/1/2032 | 42,779 | ||||
| 20,872 | 7.000%, 5/1/2032 | 22,968 | ||||
| 257,044 | 6.500%, 7/1/2032 | 277,608 | ||||
| 184,440 | 6.500%, 10/1/2032 | 199,195 | ||||
| 312,343 | 6.000%, 11/1/2032 | 334,597 | ||||
| 7,000,000 | 5.000%, 1/1/2040f | 7,177,184 | ||||
| 8,000,000 | 6.000%, 1/1/2040f | 8,482,496 | ||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||
| 900 | 6.000%, 4/1/2011 | 960 | ||||
| 331 | 7.500%, 7/1/2011 | 346 | ||||
| 1,564 | 8.000%, 7/1/2012 | 1,674 | ||||
| 2,640 | 6.500%, 12/1/2012 | 2,833 | ||||
| 5,984 | 6.500%, 6/1/2013 | 6,442 | ||||
| 12,533 | 6.000%, 12/1/2013 | 13,447 | ||||
| 5,000,000 | 5.000%, 1/1/2025f | 5,225,000 | ||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||
| 5,522 | 10.500%, 8/1/2020 | 6,225 | ||||
| 4,801 | 8.000%, 12/1/2024 | 5,496 | ||||
| 6,009 | 7.000%, 10/1/2025 | 6,681 | ||||
| 20,860 | 6.500%, 11/1/2025 | 22,516 | ||||
| 839 | 8.500%, 12/1/2025 | 966 | ||||
| 5,863 | 7.500%, 1/1/2026 | 6,604 | ||||
| 6,680 | 6.500%, 5/1/2026 | 7,223 | ||||
| 3,171 | 8.000%, 9/1/2026 | 3,638 | ||||
| 5,118 | 7.500%, 2/1/2027 | 5,768 | ||||
| 3,676 | 7.000%, 3/1/2027 | 4,086 | ||||
| 10,163 | 6.500%, 8/1/2027 | 10,989 | ||||
| 1,270 | 7.500%, 11/1/2027 | 1,432 | ||||
| 6,560 | 9.000%, 11/1/2027 | 7,591 | ||||
| 4,151 | 7.000%, 1/1/2028 | 4,604 | ||||
| 55,905 | 7.500%, 2/1/2028 | 63,036 | ||||
| 7,287 | 6.000%, 5/1/2028 | 7,811 | ||||
| 2,932 | 6.500%, 9/1/2028 | 3,178 | ||||
| 11,328 | 7.000%, 10/1/2028 | 12,560 | ||||
| 34,957 | 7.500%, 11/1/2028 | 39,398 | ||||
| 57,522 | 6.000%, 12/1/2028 | 61,657 | ||||
| 4,863 | 7.000%, 12/1/2028 | 5,392 | ||||
| 10,192 | 6.500%, 2/1/2029 | 11,045 | ||||
| 35,129 | 6.000%, 3/1/2029 | 37,654 | ||||
| 16,920 | 7.000%, 3/1/2029 | 18,743 | ||||
| 41,892 | 6.500%, 4/1/2029 | 45,362 | ||||
| 4,198 | 6.500%, 8/1/2029 | 4,546 | ||||
| 11,000 | 7.500%, 8/1/2029 | 12,411 | ||||
| 15,168 | 7.000%, 10/1/2029 | 16,802 | ||||
| 9,973 | 7.500%, 12/1/2029 | 11,252 | ||||
| 6,823 | 8.000%, 4/1/2030 | 7,823 | ||||
| 3,565 | 7.500%, 12/1/2030 | 4,023 | ||||
| 70,436 | 6.000%, 5/1/2031 | 75,367 | ||||
| 149,006 | 6.500%, 4/1/2032 | 161,019 | ||||
| 127,372 | 6.500%, 5/1/2032 | 137,641 | ||||
| 83,890 | 7.000%, 5/1/2032 | 92,582 | ||||
| 475,497 | 6.500%, 7/1/2032 | 513,833 | ||||
| 220,438 | 6.500%, 8/1/2032 | 238,211 | ||||
| 31,300,000 | 5.500%, 1/1/2040f | 32,762,305 | ||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||
| 13,602 | 7.000%, 9/15/2013 | 14,544 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Bond Index Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (107.9%) | Value | ||||
| Mortgage-Backed Securities (37.1%) - continued | |||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||
| $ | 5,365 | 7.500%, 3/15/2023 | $ | 6,039 | ||
| 4,021 | 7.000%, 1/15/2024 | 4,460 | ||||
| 2,653 | 9.000%, 9/15/2024 | 3,052 | ||||
| 6,350 | 8.000%, 6/15/2025 | 7,278 | ||||
| 1,913 | 8.000%, 9/15/2026 | 2,194 | ||||
| 8,945 | 7.500%, 3/15/2027 | 10,064 | ||||
| 8,169 | 7.500%, 10/15/2027 | 9,191 | ||||
| 7,480 | 7.000%, 11/15/2027 | 8,311 | ||||
| 7,301 | 7.000%, 1/15/2028 | 8,123 | ||||
| 10,208 | 6.500%, 7/15/2028 | 11,028 | ||||
| 8,904 | 7.000%, 8/15/2028 | 9,907 | ||||
| 49,732 | 7.500%, 11/15/2028 | 55,981 | ||||
| 9,506 | 6.500%, 12/15/2028 | 10,269 | ||||
| 33,877 | 6.500%, 3/15/2029 | 36,597 | ||||
| 8,332 | 6.500%, 4/15/2029 | 9,000 | ||||
| 7,919 | 8.000%, 10/15/2030 | 9,108 | ||||
| 13,950 | 7.500%, 1/15/2031 | 15,749 | ||||
| 5,587 | 7.000%, 4/15/2031 | 6,223 | ||||
| 22,257 | 6.500%, 6/15/2031 | 24,037 | ||||
| 21,193 | 7.000%, 9/15/2031 | 23,604 | ||||
| 250,795 | 6.500%, 1/15/2032 | 270,145 | ||||
| 32,919 | 6.500%, 4/15/2032 | 35,459 | ||||
Total Mortgage-Backed Securities | 58,115,333 | |||||
| Transportation (0.4%) | |||||
Union Pacific Corporation | ||||||
| 500,000 | 7.000%, 2/1/2016 | 555,392 | ||||
Total Transportation | 555,392 | |||||
| U.S. Government and Agencies (35.5%) | |||||
Federal Home Loan Banks | ||||||
| 1,000,000 | 3.625%, 5/29/2013 | 1,048,637 | ||||
| 850,000 | 4.500%, 9/16/2013 | 917,618 | ||||
| 1,000,000 | 3.625%, 10/18/2013 | 1,047,537 | ||||
| 3,000,000 | 5.000%, 11/17/2017g | 3,245,157 | ||||
Federal Home Loan Mortgage Corporation | ||||||
| 1,000,000 | 5.125%, 7/15/2012g | 1,086,363 | ||||
| 500,000 | 3.750%, 6/28/2013 | 526,939 | ||||
| 1,700,000 | 5.125%, 11/17/2017g | 1,850,851 | ||||
| 350,000 | 6.750%, 3/15/2031 | 426,226 | ||||
Federal National Mortgage Association | ||||||
| 2,000,000 | 6.125%, 3/15/2012 | 2,204,514 | ||||
| 1,000,000 | 5.000%, 4/15/2015 | 1,098,911 | ||||
| 500,000 | 5.960%, 9/11/2028 | 554,966 | ||||
| 100,000 | 6.250%, 5/15/2029 | 114,355 | ||||
Resolution Funding Corporation | ||||||
| 200,000 | 8.125%, 10/15/2019 | 247,993 | ||||
Tennessee Valley Authority | ||||||
| 250,000 | 6.000%, 3/15/2013 | 279,732 | ||||
| 350,000 | 5.250%, 9/15/2039g | 346,799 | ||||
U.S. Treasury Bonds | ||||||
| 4,200,000 | 7.250%, 5/15/2016 | 5,199,142 | ||||
| 3,500,000 | 5.250%, 11/15/2028 | 3,792,579 | ||||
| 325,000 | 4.250%, 5/15/2039 | 304,891 | ||||
U.S. Treasury Notes | ||||||
| 1,000,000 | 5.000%, 2/15/2011 | 1,048,008 | ||||
| 3,000,000 | 4.500%, 11/30/2011 | 3,194,298 | ||||
| 500,000 | 4.375%, 8/15/2012 | 537,930 | ||||
| 3,500,000 | 2.875%, 1/31/2013 | 3,623,869 | ||||
| 2,750,000 | 2.000%, 11/30/2013 | 2,735,392 | ||||
| 1,000,000 | 2.250%, 5/31/2014 | 993,203 | ||||
| 2,500,000 | 4.250%, 8/15/2014 | 2,697,070 | ||||
| 4,000,000 | 2.625%, 2/29/2016 | 3,891,248 | ||||
| 1,500,000 | 2.750%, 11/30/2016 | 1,444,101 | ||||
| 400,000 | 4.625%, 2/15/2017 | 431,906 | ||||
| 600,000 | 4.500%, 5/15/2017 | 641,390 | ||||
| 450,000 | 3.750%, 11/15/2018 | 449,965 | ||||
| 3,650,000 | 2.750%, 2/15/2019 | 3,360,281 | ||||
| 5,000,000 | 3.625%, 8/15/2019 | 4,915,625 | ||||
| 1,000,000 | 3.375%, 11/15/2019 | 961,880 | ||||
| 500,000 | 3.500%, 2/15/2039 | 409,531 | ||||
Total U.S. Government and Agencies | 55,628,907 | |||||
| U.S. Municipals (0.2%) | |||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||
| 350,000 | 5.720%, 12/1/2038 | 349,629 | ||||
Total U.S. Municipals | 349,629 | |||||
| Utilities (1.6%) | |||||
CenterPoint Energy Houston Electric, LLC | ||||||
| 400,000 | 5.600%, 7/1/2023 | 383,881 | ||||
Commonwealth Edison Company | ||||||
| 275,000 | 5.900%, 3/15/2036 | 273,484 | ||||
FirstEnergy Corporation | ||||||
| 27,000 | 7.375%, 11/15/2031 | 29,265 | ||||
National Rural Utilities Cooperative Finance Corporation | ||||||
| 27,000 | 8.000%, 3/1/2032 | 32,288 | ||||
Oncor Electric Delivery Company | ||||||
| 475,000 | 6.375%, 1/15/2015 | 518,148 | ||||
ONEOK Partners, LP | ||||||
| 275,000 | 6.650%, 10/1/2036 | 280,479 | ||||
Progress Energy, Inc. | ||||||
| 400,000 | 7.000%, 10/30/2031 | 435,868 | ||||
Southern California Edison Company | ||||||
| 225,000 | 5.000%, 1/15/2014 | 242,445 | ||||
Xcel Energy, Inc. | ||||||
| 275,000 | 6.500%, 7/1/2036 | 289,694 | ||||
Total Utilities | 2,485,552 | |||||
Total Long-Term Fixed Income (cost $177,354,553) | 168,999,010 | |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Bond Index Portfolio
Schedule of Investments as of December 31, 2009
| Shares | Collateral Held for Securities Loaned (4.3%) | Value | ||||
| 6,634,075 | Thrivent Financial Securities Lending Trust | $ | 6,634,075 | |||
Total Collateral Held for Securities Loaned (cost $6,634,075) | 6,634,075 | |||||
| Principal Amount | Short-Term Investments (26.2%)h | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 5,000,000 | 0.030%, 1/15/2010 | 4,999,942 | ||||
| 18,155,000 | 0.065%, 2/17/2010 | 18,153,459 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 900,000 | 0.020%, 2/4/2010 | 899,983 | ||||
| 5,000,000 | 0.060%, 2/8/2010 | 4,999,683 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 12,000,000 | 0.050%, 2/16/2010 | 11,999,234 | ||||
Total Short-Term Investments (at amortized cost) | 41,052,301 | |||||
Total Investments (cost $225,040,929) 138.4% | $ | 216,685,386 | ||||
Other Assets and Liabilities, Net (38.4%) | (60,157,237 | ) | ||||
Total Net Assets 100.0% | $ | 156,528,149 | ||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Bond Index Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 2,500,000 | ||
Commercial Mortgage Pass-Through Certificates | 10/18/2006 | 2,500,000 | |||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 1,193,842 | |||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,705,379 | |||
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $6,220,328 or 4.0% of total net assets. |
| e | Defaulted security. Interest is not being accrued. |
| f | Denotes investments purchased on a when-issued or delayed delivery basis. |
| g | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| h | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 3,565,643 | ||
Gross unrealized depreciation | (11,996,491 | ) | ||
Net unrealized appreciation (depreciation) | $ | (8,430,848 | ) | |
Cost for federal income tax purposes | $ | 225,116,234 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Bond Index Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Bond Index Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Long-Term Fixed Income | ||||||||||||
Asset-Backed Securities | 5,774,639 | — | 4,936,036 | 838,603 | ||||||||
Basic Materials | 881,748 | — | 881,748 | — | ||||||||
Capital Goods | 1,806,991 | — | 1,806,991 | — | ||||||||
Collateralized Mortgage Obligations | 2,361,140 | — | 2,361,140 | — | ||||||||
Commercial Mortgage-Backed Securities | 13,174,652 | — | 13,174,652 | — | ||||||||
Communications Services | 2,990,114 | — | 2,990,114 | — | ||||||||
Consumer Cyclical | 1,287,686 | — | 1,287,686 | — | ||||||||
Consumer Non-Cyclical | 3,091,720 | — | 3,091,720 | — | ||||||||
Energy | 2,803,092 | — | 2,803,092 | — | ||||||||
Financials | 13,452,159 | — | 12,914,930 | 537,229 | ||||||||
Foreign | 4,240,256 | — | 4,240,256 | — | ||||||||
Mortgage-Backed Securities | 58,115,333 | — | 58,115,333 | — | ||||||||
Transportation | 555,392 | — | 555,392 | — | ||||||||
U.S. Government and Agencies | 55,628,907 | — | 55,628,907 | — | ||||||||
U.S. Municipals | 349,629 | — | 349,629 | — | ||||||||
Utilities | 2,485,552 | — | 2,485,552 | — | ||||||||
Collateral Held for Securities Loaned | 6,634,075 | 6,634,075 | — | — | ||||||||
Short-Term Investments | 41,052,301 | — | 41,052,301 | — | ||||||||
Total | $ | 216,685,386 | $ | 6,634,075 | $ | 208,675,479 | $ | 1,375,832 | ||||
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Bond Index Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Long-Term Fixed Income | |||||||||||||||||||||
Asset-Backed Securities | — | — | — | 192,580 | — | 646,023 | 838,603 | ||||||||||||||
Commercial Mortgage- Backed Securities | 831,540 | — | (5,000 | ) | 168,460 | (995,000 | ) | — | — | ||||||||||||
Financials | 510,175 | — | — | 52,269 | (25,215 | ) | — | 537,229 | |||||||||||||
Total | $ | 1,341,715 | $ | — | ($5,000 | ) | $ | 413,309 | ($1,020,215 | ) | $ | 646,023 | $ | 1,375,832 | |||||||
Investment 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 fiscal year to date, in Bond Index Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 12,754,279 | $ | 65,849,880 | $ | 78,604,159 | — | $ | — | $ | 27,059 | ||||||
Thrivent Financial Securities Lending Trust | 17,005,159 | 68,382,129 | 78,753,213 | 6,634,075 | 6,634,075 | 25,241 | |||||||||||
Total Value and Income Earned | 29,759,438 | 6,634,075 | 52,300 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (93.9%) | Value | |||
| Asset-Backed Securities (19.6%) | |||||
AEP Texas Central Transition Funding, LLC | |||||
| $1,054,942 | 5.560%, 1/15/2012 | $ | 1,057,032 | ||
Americredit Automobile Receivables Trust | |||||
| 1,046,802 | 0.315%, 1/6/2010a,b | 1,039,790 | |||
| 1,236,230 | 3.430%, 7/6/2011a | 1,245,659 | |||
| 1,985,602 | 5.490%, 7/6/2012a | 2,012,203 | |||
Bank of America Auto Trust | |||||
| 8,500,000 | 2.670%, 7/15/2013c | 8,641,525 | |||
BMW Vehicle Lease Trust | |||||
| 4,000,000 | 2.910%, 3/15/2012 | 4,071,436 | |||
Cabela’s Master Credit Card Trust | |||||
| 7,500,000 | 4.310%, 12/16/2013c | 7,668,405 | |||
Capital Auto Receivables Asset Trust | |||||
| 1,702,916 | 4.980%, 5/15/2011 | 1,721,381 | |||
Carmax Auto Owner Trust | |||||
| 4,500,000 | 4.120%, 3/15/2013 | 4,663,431 | |||
Chase Funding Issuance Trust | |||||
| 7,000,000 | 2.400%, 6/17/2013 | 7,105,525 | |||
Chrysler Financial Auto Securitization | |||||
| 6,750,000 | 2.820%, 1/15/2016 | 6,851,500 | |||
CIT Equipment | |||||
| 4,500,000 | 3.070%, 8/15/2016c | 4,530,073 | |||
CNH Equipment Trust | |||||
| 3,350,000 | 7.210%, 12/16/2013 | 3,658,220 | |||
Countrywide Asset-Backed Certificates | |||||
| 3,874,222 | 6.085%, 6/25/2021a | 1,733,614 | |||
| 1,937,493 | 5.549%, 4/25/2036a | 1,491,486 | |||
Credit Based Asset Servicing and Securitization, LLC | |||||
| 2,656,026 | 5.501%, 12/25/2036 | 1,886,455 | |||
Discover Card Master Trust | |||||
| 9,500,000 | 5.100%, 10/15/2013 | 9,939,793 | |||
First Financial Bank USA | |||||
| 2,500,000 | 4.750%, 10/15/2015c | 2,504,343 | |||
First Franklin Mortgage Loan Asset-Backed Certificates | |||||
| 215,069 | 5.500%, 3/25/2036d,e | 0 | |||
First Horizon ABS Trust | |||||
| 1,014,486 | 0.361%, 1/25/2010a,b | 457,536 | |||
First National Master Note Trust | |||||
| 6,750,000 | 0.273%, 1/15/2010b | 6,721,549 | |||
Ford Credit Auto Owner Trust | |||||
| 6,500,000 | 3.960%, 5/15/2013 | 6,710,405 | |||
GE Capital Credit Card Master Note Trust | |||||
| 7,800,000 | 2.540%, 9/15/2014 | 7,806,232 | |||
| 7,000,000 | 3.690%, 7/15/2015 | 7,149,912 | |||
GMAC Mortgage Corporation Loan Trust | |||||
| 4,899,571 | 0.411%, 1/25/2010a,b | 1,963,557 | |||
| 2,092,676 | 0.411%, 1/25/2010a,b | 540,501 | |||
| 3,497,893 | 5.750%, 10/25/2036a | 2,610,785 | |||
GSAMP Trust | |||||
| 4,592,969 | 0.411%, 1/25/2010b | 3,355,995 | |||
Harley-Davidson Motorcycle Trust | |||||
| 3,500,000 | 3.190%, 11/15/2013 | 3,575,229 | |||
Honda Auto Receivables Owner Trust | |||||
| 3,805,367 | 4.470%, 1/18/2012 | 3,875,302 | |||
| 5,500,000 | 4.430%, 8/15/2012 | 5,791,747 | |||
Household Home Equity Loan Trust | |||||
| 6,450,491 | 5.320%, 3/20/2036 | 6,424,006 | |||
John Deere Owner Trust | |||||
| 3,500,000 | 3.960%, 5/16/2016 | 3,647,262 | |||
Merna Reinsurance, Ltd. | |||||
| 7,500,000 | 2.001%, 3/31/2010b,c | 7,388,250 | |||
Merrill Auto Trust Securitization | |||||
| 9,000,000 | 5.500%, 3/15/2012 | 9,290,115 | |||
Mortgage Equity Conversion Asset Trust | |||||
| 6,404,083 | 0.880%, 1/25/2010b,d | 5,980,132 | |||
| 6,555,676 | 0.900%, 1/25/2010b,d | 6,121,691 | |||
Nissan Auto Receivables Owner Trust | |||||
| 6,500,000 | 4.280%, 7/15/2013 | 6,763,647 | |||
| 6,000,000 | 4.740%, 8/17/2015 | 6,372,096 | |||
Nomura Asset Acceptance Corporation | |||||
| 7,615 | 0.371%, 1/25/2010b,c | 7,395 | |||
Popular ABS Mortgage Pass-Through Trust | |||||
| 18,430 | 4.000%, 12/25/2034 | 18,272 | |||
Renaissance Home Equity Loan Trust | |||||
| 4,221,423 | 5.608%, 5/25/2036 | 3,695,037 | |||
Residential Asset Mortgage Products, Inc. | |||||
| 1,450,207 | 4.547%, 12/25/2034 | 1,286,725 | |||
Residential Asset Securities Corporation | |||||
| 1,217,756 | 3.990%, 4/25/2033 | 1,100,849 | |||
| 1,533,964 | 5.010%, 4/25/2033 | 1,196,674 | |||
| 1,589,124 | 3.870%, 5/25/2033 | 1,431,650 | |||
Residential Funding Mortgage Securities | |||||
| 469,331 | 4.470%, 7/25/2018a | 448,596 | |||
SLM Student Loan Trust | |||||
| 1,314 | 0.292%, 1/25/2010b | 1,314 | |||
USAA Auto Owner Trust | |||||
| 7,000,000 | 4.500%, 10/15/2013 | 7,319,830 | |||
| 5,500,000 | 4.770%, 9/15/2014 | 5,837,370 | |||
Volkswagen Auto Lease Trust | |||||
| 6,500,000 | 3.410%, 4/16/2012 | 6,662,552 | |||
Wachovia Asset Securitization, Inc. | |||||
| 2,131,724 | 0.371%, 1/25/2010a,b,d | 1,048,254 | |||
Wachovia Auto Owner Trust | |||||
| 9,500,000 | 4.810%, 9/20/2012 | 9,775,946 | |||
World Omni Auto Receivables Trust | |||||
| 2,000,000 | 5.120%, 5/15/2014 | 2,129,622 | |||
Total Asset-Backed Securities | 216,327,906 | ||||
| Basic Materials (1.4%) | |||||
ArcelorMittal | |||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,952,740 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (93.9%) | Value | |||
| Basic Materials (1.4%) - continued | |||||
Dow Chemical Company | |||||
| $4,300,000 | 4.850%, 8/15/2012 | $ | 4,519,132 | ||
Nucor Corporation | |||||
| 2,700,000 | 5.000%, 6/1/2013 | 2,862,286 | |||
Potash Corporation of Saskatchewan, Inc. | |||||
| 2,500,000 | 3.750%, 9/30/2015 | 2,488,028 | |||
Rio Tinto Finance USA, Ltd. | |||||
| 2,000,000 | 9.000%, 5/1/2019 | 2,531,176 | |||
Total Basic Materials | 15,353,362 | ||||
| Capital Goods (2.2%) | |||||
Caterpillar Financial Services Corporation | |||||
| 2,000,000 | 1.900%, 12/17/2012 | 1,992,198 | |||
Honeywell International, Inc. | |||||
| 3,350,000 | 3.875%, 2/15/2014 | 3,490,090 | |||
Hutchinson Whampoa Finance, Ltd. | |||||
| 3,300,000 | 4.625%, 9/11/2015c | 3,329,667 | |||
L-3 Communications Corporation | |||||
| 4,000,000 | 5.875%, 1/15/2015 | 3,995,000 | |||
Lockheed Martin Corporation | |||||
| 2,750,000 | 4.121%, 3/14/2013 | 2,873,148 | |||
Textron Financial Corporation | |||||
| 2,100,000 | 5.125%, 2/3/2011 | 2,119,931 | |||
Textron, Inc. | |||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,810,233 | |||
Tyco International Finance SA | |||||
| 1,500,000 | 4.125%, 10/15/2014 | 1,533,339 | |||
Waste Management, Inc. | |||||
| 2,350,000 | 6.375%, 3/11/2015 | 2,604,113 | |||
Total Capital Goods | 24,747,719 | ||||
| Collateralized Mortgage Obligations (4.9%) | |||||
American Home Mortgage Assets Trust | |||||
| 4,133,292 | 1.464%, 1/1/2010b | 1,937,200 | |||
Banc of America Mortgage Securities, Inc. | |||||
| 2,084,129 | 4.801%, 9/25/2035 | 1,687,719 | |||
Bear Stearns Adjustable Rate Mortgage Trust | |||||
| 2,471,383 | 4.625%, 8/25/2010b | 2,102,606 | |||
Chase Mortgage Finance Corporation | |||||
| 1,624,950 | 5.398%, 1/25/2036 | 480,538 | |||
Countrywide Alternative Loan Trust | |||||
| 2,679,777 | 5.500%, 2/25/2036 | 2,193,832 | |||
| 2,814,362 | 6.000%, 1/25/2037 | 1,948,036 | |||
Countrywide Home Loans, Inc. | |||||
| 3,182,482 | 5.302%, 3/20/2036 | 1,630,312 | |||
| 3,157,376 | 5.748%, 9/20/2036 | 1,798,745 | |||
Deutsche Alt-A Securities, Inc. | |||||
| 5,268,836 | 1.001%, 1/1/2010b | 2,851,173 | |||
GSR Mortgage Loan Trust | |||||
| 5,148,302 | 0.421%, 1/25/2010b | 3,692,414 | |||
HomeBanc Mortgage Trust | |||||
| 2,319,778 | 5.989%, 4/25/2037 | 1,457,883 | |||
Impac CMB Trust | |||||
| 1,329,994 | 0.491%, 1/25/2010b | 694,241 | |||
| 939,290 | 0.551%, 1/25/2010b | 484,238 | |||
J.P. Morgan Alternative Loan Trust | |||||
| 5,029,917 | 5.798%, 3/25/2036 | 3,178,158 | |||
J.P. Morgan Mortgage Trust | |||||
| 4,567,591 | 5.756%, 6/25/2036 | 4,179,291 | |||
Merrill Lynch Mortgage Investors, Inc. | |||||
| 2,909,495 | 4.875%, 6/25/2035 | 2,499,564 | |||
Residential Accredit Loans, Inc. | |||||
| 2,137,521 | 5.598%, 9/25/2035 | 1,305,638 | |||
Thornburg Mortgage Securities Trust | |||||
| 1,666,202 | 0.341%, 1/25/2010b | 1,602,203 | |||
Wachovia Mortgage Loan Trust, LLC | |||||
| 2,688,086 | 5.549%, 5/20/2036 | 1,865,174 | |||
WaMu Mortgage Pass Through Certificates | |||||
| 4,647,586 | 1.284%, 1/1/2010b | 2,577,682 | |||
| 4,288,426 | 1.364%, 1/1/2010b | 2,401,639 | |||
| 4,511,038 | 1.424%, 1/1/2010b | 2,430,777 | |||
Washington Mutual Mortgage Pass-Through Certificates | |||||
| 6,286,112 | 1.294%, 1/1/2010b | 2,687,860 | |||
| 4,165,538 | 1.464%, 1/1/2010b | 1,837,248 | |||
| 1,536,147 | 0.521%, 1/25/2010b | 1,100,099 | |||
| 1,658,171 | 4.827%, 9/25/2035 | 1,498,126 | |||
Wells Fargo Mortgage Backed Securities Trust | |||||
| 759,858 | 4.950%, 3/25/2036 | 628,153 | |||
| 2,093,892 | 5.093%, 3/25/2036 | 1,694,719 | |||
Total Collateralized Mortgage Obligations | 54,445,268 | ||||
| Commercial Mortgage-Backed Securities (7.6%) | |||||
Banc of America Commercial Mortgage, Inc. | |||||
| 83,191 | 4.037%, 11/10/2039 | 83,143 | |||
| 1,895,000 | 5.928%, 5/10/2045 | 1,862,268 | |||
Banc of America Large Loan Trust | |||||
| 3,190,895 | 0.343%, 1/15/2010b,c | 2,941,804 | |||
Bear Stearns Commercial Mortgage Securities, Inc. | |||||
| 4,000,000 | 0.383%, 1/15/2010b,d | 3,412,392 | |||
| 6,665,350 | 5.422%, 9/11/2042 | 6,819,106 | |||
| 2,000,000 | 5.331%, 2/11/2044 | 1,725,948 | |||
Chase Commercial Mortgage Securities Corporation | |||||
| 3,500,000 | 7.928%, 7/15/2032 | 3,550,333 | |||
Commercial Mortgage Pass-Through Certificates | |||||
| 81,412 | 0.333%, 1/15/2010b,c | 80,844 | |||
| 4,000,000 | 0.413%, 1/15/2010b,d | 3,307,884 | |||
Credit Suisse First Boston Mortgage Securities Corporation | |||||
| 2,965,591 | 4.609%, 2/15/2038 | 2,970,374 | |||
| 1,783,626 | 3.382%, 5/15/2038 | 1,785,647 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (93.9%) | Value | |||
| Commercial Mortgage-Backed Securities (7.6%) - continued | |||||
Credit Suisse Mortgage Capital Certificates | |||||
| $4,000,000 | 5.467%, 9/15/2039 | $ | 3,426,092 | ||
Crown Castle Towers, LLC | |||||
| 6,500,000 | 5.245%, 11/15/2036c | 6,695,000 | |||
General Electric Commercial Mortgage Corporation | |||||
| 1,452,637 | 4.591%, 7/10/2045 | 1,456,283 | |||
GS Mortgage Securities Corporation II | |||||
| 5,500,000 | 5.396%, 8/10/2038 | 5,404,724 | |||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | |||||
| 9,100,000 | 5.198%, 12/15/2044 | 9,167,467 | |||
LB-UBS Commercial Mortgage Trust | |||||
| 670,162 | 4.207%, 11/15/2027 | 674,059 | |||
| 3,366,575 | 4.567%, 6/15/2029 | 3,370,733 | |||
| 1,732,736 | 4.187%, 8/15/2029 | 1,732,779 | |||
| 4,084,000 | 4.568%, 1/15/2031 | 3,994,826 | |||
| 401,225 | 4.741%, 9/15/2040 | 402,266 | |||
TIAA Seasoned Commercial Mortgage Trust | |||||
| 8,000,000 | 5.792%, 8/15/2039 | 8,301,296 | |||
Wachovia Bank Commercial Mortgage Trust | |||||
| 4,779,448 | 3.894%, 11/15/2035 | 4,771,362 | |||
| 2,500,000 | 5.765%, 7/15/2045 | 2,264,357 | |||
| 2,800,000 | 5.308%, 11/15/2048 | 2,627,377 | |||
WaMu Commercial Mortgage Securities Trust | |||||
| 1,759,006 | 3.830%, 1/25/2035c | 1,755,109 | |||
Total Commercial Mortgage- Backed Securities | 84,583,473 | ||||
| Communications Services (3.6%) | |||||
Alltel Corporation | |||||
| 2,675,000 | 7.000%, 7/1/2012 | 2,950,792 | |||
AT&T, Inc. | |||||
| 1,250,000 | 4.950%, 1/15/2013 | 1,333,600 | |||
| 2,700,000 | 6.700%, 11/15/2013 | 3,046,267 | |||
British Telecom plc | |||||
| 2,000,000 | 9.125%, 12/15/2010 | 2,142,640 | |||
Cellco Partnership/Verizon Wireless Capital, LLC | |||||
| 2,000,000 | 5.550%, 2/1/2014 | 2,170,556 | |||
DirecTV Holdings, LLC/DirecTV Financing Company, Inc. | |||||
| 4,000,000 | 7.625%, 5/15/2016 | 4,370,000 | |||
Qwest Corporation | |||||
| 5,000,000 | 8.875%, 3/15/2012 | 5,375,000 | |||
Rogers Communications, Inc. | |||||
| 2,620,000 | 7.875%, 5/1/2012 | 2,936,234 | |||
Telecom Italia Capital SA | |||||
| 1,400,000 | 6.200%, 7/18/2011 | 1,481,850 | |||
Telefonica SA | |||||
| 4,000,000 | 4.949%, 1/15/2015 | 4,275,760 | |||
Time Warner Cable, Inc. | |||||
| 2,400,000 | 5.400%, 7/2/2012 | 2,564,229 | |||
| 3,350,000 | 7.500%, 4/1/2014 | 3,859,800 | |||
Verizon Communications, Inc. | |||||
| 1,350,000 | 4.350%, 2/15/2013 | 1,412,131 | |||
Vodafone Group plc | |||||
| 1,300,000 | 5.450%, 6/10/2019 | 1,346,167 | |||
Total Communications Services | 39,265,026 | ||||
| Consumer Cyclical (0.6%) | |||||
Nissan Motor Acceptance Corporation | |||||
| 2,800,000 | 4.625%, 3/8/2010c | 2,798,855 | |||
SLM Student Loan Trust | |||||
| 598,398 | 0.264%, 3/15/2010b | 594,919 | |||
Viacom, Inc. | |||||
| 2,600,000 | 4.375%, 9/15/2014 | 2,681,278 | |||
Total Consumer Cyclical | 6,075,052 | ||||
| Consumer Non-Cyclical (3.6%) | |||||
Altria Group, Inc. | |||||
| 6,000,000 | 8.500%, 11/10/2013 | 6,933,780 | |||
Anheuser-Busch InBev Worldwide, Inc. | |||||
| 4,000,000 | 3.000%, 10/15/2012c | 4,018,740 | |||
| 3,500,000 | 5.375%, 11/15/2014c | 3,705,646 | |||
Boston Scientific Corporation | |||||
| 4,000,000 | 4.500%, 1/15/2015 | 4,008,164 | |||
Cargill, Inc. | |||||
| 2,000,000 | 5.200%, 1/22/2013c | 2,120,686 | |||
ConAgra Foods, Inc. | |||||
| 2,000,000 | 5.875%, 4/15/2014 | 2,179,498 | |||
Dr. Pepper Snapple Group, Inc. | |||||
| 3,300,000 | 2.350%, 12/21/2012 | 3,303,514 | |||
| 2,217,000 | 6.120%, 5/1/2013 | 2,426,327 | |||
Express Scripts, Inc. | |||||
| 2,000,000 | 5.250%, 6/15/2012 | 2,125,202 | |||
Kroger Company | |||||
| 2,000,000 | 5.000%, 4/15/2013 | 2,115,030 | |||
McKesson Corporation | |||||
| 2,000,000 | 6.500%, 2/15/2014 | 2,212,328 | |||
Roche Holdings, Inc. | |||||
| 3,000,000 | 5.000%, 3/1/2014c | 3,209,511 | |||
Thermo Fisher Scientific, Inc. | |||||
| 2,000,000 | 2.150%, 12/28/2012c | 1,972,388 | |||
Total Consumer Non-Cyclical | 40,330,814 | ||||
| Energy (1.5%) | |||||
Cenovus Energy, Inc. | |||||
| 2,000,000 | 4.500%, 9/15/2014c | 2,064,494 | |||
Energy Transfer Partners, LP | |||||
| 2,000,000 | 6.000%, 7/1/2013 | 2,138,366 | |||
Enterprise Products Operating, LLC | |||||
| 2,700,000 | 9.750%, 1/31/2014 | 3,222,391 | |||
Husky Energy, Inc. | |||||
| 2,000,000 | 5.900%, 6/15/2014 | 2,180,100 | |||
Marathon Oil Corporation | |||||
| 2,000,000 | 6.500%, 2/15/2014 | 2,212,328 | |||
ONEOK Partners, LP | |||||
| 650,000 | 8.625%, 3/1/2019 | 784,415 | |||
Premcor Refining Group, Inc. | |||||
| 2,100,000 | 6.125%, 5/1/2011 | 2,186,192 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (93.9%) | Value | |||
| Energy (1.5%) - continued | |||||
Western Oil Sands, Inc. | |||||
| $ 1,350,000 | 8.375%, 5/1/2012 | $ | 1,511,124 | ||
Total Energy | 16,299,410 | ||||
| Financials (27.9%) | |||||
Abbey National Treasury Services plc | |||||
| 3,000,000 | 3.875%, 11/10/2014c | 3,010,677 | |||
Achmea Hypotheekbank NV | |||||
| 3,500,000 | 3.200%, 11/3/2014c | 3,493,224 | |||
Allstate Corporation | |||||
| 1,300,000 | 6.200%, 5/16/2014 | 1,437,687 | |||
Allstate Life Global Funding Trust | |||||
| 2,000,000 | 5.375%, 4/30/2013 | 2,134,948 | |||
AMB Property, LP | |||||
| 2,000,000 | 6.125%, 12/1/2016 | 1,974,976 | |||
American Express Company | |||||
| 3,500,000 | 3.150%, 12/9/2011 | 3,617,138 | |||
American Express Credit Corporation | |||||
| 3,350,000 | 5.875%, 5/2/2013 | 3,595,083 | |||
| 3,300,000 | 7.300%, 8/20/2013 | 3,708,807 | |||
ANZ National International, Ltd. | |||||
| 4,000,000 | 2.375%, 12/21/2012c | 3,970,864 | |||
Australia & New Zealand Banking Group, Ltd. | |||||
| 3,350,000 | 6.200%, 7/19/2013c | 3,606,392 | |||
Avalon Bay Communities, Inc. | |||||
| 2,000,000 | 5.700%, 3/15/2017 | 2,028,890 | |||
Banco Santander Chile | |||||
| 4,000,000 | 2.875%, 11/13/2012c | 4,029,432 | |||
Bank of America Corporation | |||||
| 10,000,000 | 2.100%, 4/30/2012 | 10,092,310 | |||
| 3,000,000 | 6.500%, 8/1/2016 | 3,225,966 | |||
Bank of New York Mellon Corporation | |||||
| 3,400,000 | 4.950%, 11/1/2012 | 3,661,729 | |||
Barclays Bank plc | |||||
| 1,800,000 | 2.500%, 1/23/2013 | 1,797,928 | |||
| 1,650,000 | 5.200%, 7/10/2014 | 1,749,013 | |||
| 1,750,000 | 5.000%, 9/22/2016 | 1,788,171 | |||
BB&T Corporation | |||||
| 3,350,000 | 5.700%, 4/30/2014 | 3,626,201 | |||
Bear Stearns Companies, LLC | |||||
| 4,000,000 | 5.700%, 11/15/2014 | 4,401,332 | |||
Berkshire Hathaway Finance Corporation | |||||
| 4,500,000 | 4.000%, 4/15/2012 | 4,715,865 | |||
BlackRock, Inc. | |||||
| 2,000,000 | 3.500%, 12/10/2014 | 1,974,884 | |||
Capital One Bank USA NA | |||||
| 1,000,000 | 8.800%, 7/15/2019 | 1,181,667 | |||
CDP Financial, Inc. | |||||
| 6,000,000 | 3.000%, 11/25/2014c | 5,854,860 | |||
Citigroup, Inc. | |||||
| 10,000,000 | 2.125%, 4/30/2012 | 10,107,080 | |||
| 3,400,000 | 5.300%, 10/17/2012 | 3,541,926 | |||
| 2,000,000 | 5.500%, 4/11/2013 | 2,073,530 | |||
| 4,600,000 | 5.000%, 9/15/2014 | 4,434,510 | |||
CME Group, Inc. | |||||
| 2,700,000 | 5.400%, 8/1/2013 | 2,913,878 | |||
Commonwealth Bank of Australia | |||||
| 3,000,000 | 2.750%, 10/15/2012c | 3,021,129 | |||
| 6,700,000 | 2.500%, 12/10/2012c | 6,800,011 | |||
Corestates Capital Trust I | |||||
| 700,000 | 8.000%, 12/15/2026c | 684,683 | |||
Credit Suisse NY | |||||
| 3,300,000 | 3.450%, 7/2/2012 | 3,394,390 | |||
| 2,000,000 | 5.000%, 5/15/2013 | 2,132,870 | |||
Danske Bank A/S | |||||
| 10,000,000 | 2.500%, 5/10/2012c | 10,167,770 | |||
Duke Realty, LP | |||||
| 2,000,000 | 7.375%, 2/15/2015 | 2,109,166 | |||
Eksportfinans ASA | |||||
| 6,000,000 | 3.000%, 11/17/2014 | 5,908,170 | |||
Fifth Third Bancorp | |||||
| 1,325,000 | 6.250%, 5/1/2013 | 1,364,240 | |||
GATX Corporation | |||||
| 2,000,000 | 4.750%, 10/1/2012 | 2,042,276 | |||
General Electric Capital Corporation | |||||
| 4,000,000 | 3.500%, 8/13/2012f | 4,082,536 | |||
| 4,000,000 | 5.900%, 5/13/2014 | 4,324,288 | |||
Goldman Sachs Group, Inc. | |||||
| 2,000,000 | 3.625%, 8/1/2012 | 2,060,610 | |||
| 3,000,000 | 6.000%, 5/1/2014f | 3,281,304 | |||
Goldman Sachs Group, Inc., Convertible | |||||
| 5,000,000 | 1.000%, 1/31/2015g | 4,236,482 | |||
| 2,500,000 | 1.000%, 5/7/2015g | 2,087,779 | |||
Healthcare Realty Trust, Inc. | |||||
| 4,000,000 | 6.500%, 1/17/2017 | 3,962,288 | |||
HSBC USA, Inc. | |||||
| 10,000,000 | 3.125%, 12/16/2011 | 10,348,520 | |||
International Lease Finance Corporation | |||||
| 2,050,000 | 5.750%, 6/15/2011 | 1,883,540 | |||
| 3,350,000 | 5.000%, 9/15/2012 | 2,809,025 | |||
Lehman Brothers Holdings E- Capital Trust I | |||||
| 3,500,000 | 1.050%, 8/19/2065f,h | 1,050 | |||
Lincoln National Corporation | |||||
| 1,200,000 | 5.650%, 8/27/2012 | 1,241,924 | |||
| 1,350,000 | 4.750%, 2/15/2014 | 1,343,777 | |||
| 650,000 | 8.750%, 7/1/2019 | 742,693 | |||
Macquarie Group, Ltd. | |||||
| 3,000,000 | 7.300%, 8/1/2014c | 3,241,398 | |||
MassMutual Global Funding II | |||||
| 2,000,000 | 3.625%, 7/16/2012c | 2,052,410 | |||
Merrill Lynch & Company, Inc. | |||||
| 2,000,000 | 6.150%, 4/25/2013 | 2,140,314 | |||
MetLife, Inc. | |||||
| 2,000,000 | 6.750%, 6/1/2016 | 2,239,682 | |||
Metropolitan Life Global Funding | |||||
| 2,680,000 | 5.125%, 4/10/2013c | 2,839,165 | |||
Monumental Global Funding, Ltd. | |||||
| 1,330,000 | 5.500%, 4/22/2013c | 1,368,441 | |||
Morgan Stanley | |||||
| 4,000,000 | 4.750%, 4/1/2014 | 4,022,988 | |||
| 2,000,000 | 4.200%, 11/20/2014 | 2,001,396 | |||
New York Life Global Funding | |||||
| 3,000,000 | 2.250%, 12/14/2012c | 2,982,816 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (93.9%) | Value | |||
| Financials (27.9%) - continued | |||||
Nordea Bank AB | |||||
| $ 6,000,000 | 2.500%, 11/13/2012c | $ | 5,977,776 | ||
Northern Trust Corporation | |||||
| 2,000,000 | 5.500%, 8/15/2013 | 2,187,790 | |||
ProLogis | |||||
| 2,700,000 | 7.625%, 8/15/2014 | 2,823,441 | |||
Prudential Financial, Inc. | |||||
| 1,675,000 | 3.625%, 9/17/2012 | 1,699,778 | |||
| 2,000,000 | 4.750%, 9/17/2015 | 2,028,030 | |||
Rabobank Nederland NV | |||||
| 4,600,000 | 4.200%, 5/13/2014c | 4,760,191 | |||
Royal Bank of Scotland Group plc | |||||
| 10,000,000 | 2.625%, 5/11/2012c | 10,143,170 | |||
Royal Bank of Scotland plc | |||||
| 4,000,000 | 4.875%, 8/25/2014c | 4,054,740 | |||
Simon Property Group, LP | |||||
| 3,700,000 | 6.750%, 5/15/2014 | 3,943,016 | |||
SLM Corporation | |||||
| 3,000,000 | 5.125%, 8/27/2012 | 2,812,422 | |||
State Street Capital Trust III | |||||
| 2,000,000 | 8.250%, 12/29/2049 | 2,048,420 | |||
Svenske Exportkredit AB | |||||
| 5,000,000 | 3.250%, 9/16/2014 | 4,999,195 | |||
Swedbank AB | |||||
| 5,000,000 | 2.800%, 2/10/2012c | 5,107,770 | |||
TD Ameritrade Holding Corporation | |||||
| 4,000,000 | 2.950%, 12/1/2012 | 3,954,344 | |||
U.S. Central Federal Credit Union | |||||
| 6,500,000 | 1.900%, 10/19/2012 | 6,494,917 | |||
UnitedHealth Group, Inc. | |||||
| 2,000,000 | 5.500%, 11/15/2012 | 2,135,344 | |||
Wachovia Capital Trust III | |||||
| 700,000 | 5.800%, 3/15/2011 | 535,500 | |||
WEA Finance, LLC/WT Finance Australia, Pty Ltd. | |||||
| 4,000,000 | 7.500%, 6/2/2014c | 4,501,180 | |||
| 3,350,000 | 5.750%, 9/2/2015c | 3,532,374 | |||
Wells Fargo & Company | |||||
| 10,000,000 | 2.125%, 6/15/2012 | 10,116,280 | |||
| 4,000,000 | 4.950%, 10/16/2013 | 4,186,600 | |||
Westpac Banking Corporation | |||||
| 5,000,000 | 2.250%, 11/19/2012 | 4,988,210 | |||
Westpac Securities New Zealand, Ltd. | |||||
| 4,600,000 | 3.450%, 7/28/2014c | 4,630,286 | |||
XL Capital, Ltd. | |||||
| 4,000,000 | 5.250%, 9/15/2014 | 3,917,284 | |||
Total Financials | 308,246,157 | ||||
| Foreign (2.0%) | |||||
Abu Dhabi National Energy Company | |||||
| 4,000,000 | 4.750%, 9/15/2014c | 3,843,096 | |||
Corporacion Andina de Fomento | |||||
| 5,000,000 | 5.750%, 1/12/2017 | 5,088,475 | |||
Export-Import Bank of Korea | |||||
| 1,650,000 | 5.875%, 1/14/2015 | 1,770,635 | |||
Korea Expressway Corporation | |||||
| 3,000,000 | 4.500%, 3/23/2015c | 3,056,640 | |||
Qatar Government International Bond | |||||
| 4,000,000 | 4.000%, 1/20/2015c | 4,010,000 | |||
Ras Laffan Liquefied Natural Gas Company, Ltd. III | |||||
| 3,300,000 | 4.500%, 9/30/2012c | 3,411,718 | |||
| 1,250,000 | 5.832%, 9/30/2016c | 1,309,013 | |||
Total Foreign | 22,489,577 | ||||
| Mortgage-Backed Securities (3.6%) | |||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | |||||
| 8,326,103 | 6.500%, 9/1/2037 | 8,920,171 | |||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | |||||
| 5,500,000 | 5.000%, 1/1/2025i | 5,747,500 | |||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | |||||
| 4,500,000 | 6.000%, 1/1/2040i | 4,765,779 | |||
| 19,000,000 | 6.500%, 1/1/2040i | 20,347,822 | |||
Total Mortgage-Backed Securities | 39,781,272 | ||||
| Technology (0.4%) | |||||
Affiliated Computer Services, Inc. | |||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,062,500 | |||
Xerox Corporation | |||||
| 2,100,000 | 5.500%, 5/15/2012 | 2,219,322 | |||
Total Technology | 4,281,822 | ||||
| Transportation (1.6%) | |||||
American Airlines Pass Through Trust | |||||
| 1,567,757 | 6.978%, 10/1/2012 | 1,567,757 | |||
Continental Airlines, Inc. | |||||
| 4,000,000 | 7.250%, 11/10/2019 | 4,070,000 | |||
Delta Air Lines, Inc. | |||||
| 2,000,000 | 7.750%, 12/17/2019 | 2,040,000 | |||
Northwest Airlines, Inc. | |||||
| 2,400,000 | 6.841%, 4/1/2011 | 2,352,000 | |||
Union Pacific Corporation | |||||
| 800,000 | 5.450%, 1/31/2013 | 860,863 | |||
| 2,000,000 | 5.125%, 2/15/2014 | 2,123,586 | |||
United Air Lines, Inc. | |||||
| 2,000,000 | 10.400%, 11/1/2016 | 2,107,500 | |||
| 2,000,000 | 9.750%, 1/15/2017 | 2,040,000 | |||
Total Transportation | 17,161,706 | ||||
| U.S. Government and Agencies (10.6%) | |||||
Federal Farm Credit Bank | |||||
| 10,000,000 | 2.125%, 6/18/2012 | 10,124,370 | |||
Federal Home Loan Banks | |||||
| 10,000,000 | 2.000%, 7/27/2012 | 10,019,200 | |||
U.S. Treasury Notes | |||||
| 13,500,000 | 1.125%, 12/15/2012 | 13,283,730 | |||
| 16,500,000 | 1.500%, 12/31/2013 | 16,065,588 | |||
| 20,300,000 | 1.875%, 4/30/2014 | 19,882,896 | |||
| 14,000,000 | 2.375%, 9/30/2014 | 13,881,840 | |||
U.S. Treasury Notes, TIPS | |||||
| 21,729,323 | 2.500%, 7/15/2016 | 23,662,885 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (93.9%) | Value | ||||
| U.S. Government and Agencies (10.6%) - continued | ||||||
| $10,225,442 | 1.875%, 7/15/2019 | $ | 10,613,692 | |||
Total U.S. Government and Agencies | 117,534,201 | |||||
| U.S. Municipals (0.6%) | ||||||
Denver, Colorado Department of Aviation Airport System Revenue Bonds | ||||||
| 5,500,000 | 5.250%, 11/15/2032 | 5,590,365 | ||||
Houston, Texas Combined Utility System Revenue Refunding Bonds | ||||||
| 1,350,000 | 5.000%, 5/15/2011a,b | 1,408,793 | ||||
Total U.S. Municipals | 6,999,158 | |||||
| Utilities (2.2%) | ||||||
Commonwealth Edison Company | ||||||
| 3,300,000 | 6.150%, 3/15/2012 | 3,559,961 | ||||
Duke Energy Carolinas, LLC | ||||||
| 2,700,000 | 5.750%, 11/15/2013 | 2,953,767 | ||||
Enel Finance International SA | ||||||
| 3,000,000 | 3.875%, 10/7/2014c | 3,036,531 | ||||
National Rural Utilities Cooperative Finance Corporation | ||||||
| 2,650,000 | 5.500%, 7/1/2013 | 2,868,368 | ||||
Oncor Electric Delivery Company | ||||||
| 2,700,000 | 5.950%, 9/1/2013 | 2,896,760 | ||||
Power Receivables Finance, LLC | ||||||
| 264,145 | 6.290%, 1/1/2012d | 269,293 | ||||
Sempra Energy | ||||||
| 3,400,000 | 7.950%, 3/1/2010 | 3,437,400 | ||||
TransAlta Corporation | ||||||
| 2,000,000 | 4.750%, 1/15/2015 | 2,013,922 | ||||
Virginia Electric & Power Company | ||||||
| 2,000,000 | 4.500%, 12/15/2010 | 2,056,888 | ||||
| 1,360,000 | 5.100%, 11/30/2012 | 1,468,793 | ||||
Total Utilities | 24,561,683 | |||||
Total Long-Term Fixed Income (cost $1,056,971,848) | 1,038,483,606 | |||||
| Shares | Mutual Funds (1.7%) | |||||
| Fixed Income Mutual Funds (1.7%) | ||||||
| 4,208,125 | Thrivent High Yield Fund | 19,273,214 | ||||
Total Fixed Income Mutual Funds | 19,273,214 | |||||
Total Mutual Funds (cost $15,500,000) | 19,273,214 | |||||
Preferred Stock (0.2%) | ||||||
| Financials (0.2%) | ||||||
| 18,750 | Citigroup, Inc., Convertible, 7.500%j | 1,956,375 | ||||
| 148,505 | Federal National Mortgage Association, 8.250%j | 163,356 | ||||
Total Financials | 2,119,731 | |||||
Total Preferred Stock (cost $5,104,280) | 2,119,731 | |||||
| Contracts | Options Purchased (<0.1%) | |||||
Call on 10-Yr. U.S. Treasury Bond Futures | ||||||
| 290 | $117.00, expires 2/20/2010 | 149,531 | ||||
| 290 | $118.00, expires 2/20/2010 | 77,031 | ||||
Total Options Purchased (cost $341,585) | 226,562 | |||||
| Shares | Collateral Held for Securities Loaned (0.1%) | |||||
| 813,270 | Thrivent Financial Securities | |||||
Lending Trust | 813,270 | |||||
Total Collateral Held for Securities Loaned (cost $813,270) | 813,270 | |||||
| Principal Amount | Short-Term Investments (6.2%)k | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 5,000,000 | 0.030%, 1/15/2010 | 4,999,942 | ||||
| 10,000,000 | 0.020%, 1/27/2010 | 9,999,856 | ||||
| 10,000,000 | 0.050%, 2/12/2010 | 9,999,417 | ||||
| 7,490,000 | 0.065%, 2/17/2010 | 7,489,364 | ||||
| 2,600,000 | 0.200%, 3/17/2010l,m | 2,598,934 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 5,180,000 | 0.050%, 2/16/2010 | 5,179,669 | ||||
| 16,000,000 | 0.060%, 2/19/2010 | 15,998,694 | ||||
| 6,070,000 | 0.010%, 2/22/2010 | 6,069,912 | ||||
Jupiter Securitization Company, LLC | ||||||
| 6,000,000 | 0.100%, 1/11/2010 | 5,999,833 | ||||
Total Short-Term Investments (at amortized cost) | 68,335,621 | |||||
Total Investments (cost $1,147,066,604) 102.1% | $ | 1,129,252,004 | ||||
Other Assets and Liabilities, Net (2.1%) | (23,611,392 | ) | ||||
Total Net Assets 100.0% | $ | 1,105,640,612 | ||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $183,930,492 or 16.6% of total net assets. |
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Limited Maturity Bond Portfolio owned as of December 31, 2009. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Security | Acquisition Date | Amortized Cost | |||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 4,000,000 | ||
Commercial Mortgage Pass- Through Certificates | 5/2/2007 | 4,000,000 | |||
First Franklin Mortgage Loan Asset-Backed Certificates | 4/19/2006 | 214,738 | |||
Mortgage Equity Conversion Asset Trust | 2/14/2007 | 6,404,083 | |||
Mortgage Equity Conversion Asset Trust | 1/18/2007 | 6,555,676 | |||
Power Receivables Finance, LLC | 9/30/2003 | 264,067 | |||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 2,131,724 | |||
| e | Defaulted security. Interest is not being accrued. |
| f | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| g | These securities are Equity-Linked Structured Securities as discussed in item 2(Q) of the Notes to Financial Statements. These securities are linked to the S&P 500 Index. |
| h | In bankruptcy. Interest is not being accrued. |
| i | Denotes investments purchased on a when-issued or delayed delivery basis. |
| j | Non-income producing security. |
| k | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| l | At December 31, 2009, $2,399,016 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| m | At December 31, 2009, $199,918 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Definitions:
| TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 32,995,189 | ||
Gross unrealized depreciation | (51,373,270 | ) | ||
Net unrealized appreciation (depreciation) | $ | (18,378,081 | ) | |
Cost for federal income tax purposes | $ | 1,147,630,085 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Limited Maturity Bond Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||
Long-Term Fixed Income | ||||||||||||
Asset-Backed Securities | 216,327,906 | — | 195,789,579 | 20,538,327 | ||||||||
Basic Materials | 15,353,362 | — | 15,353,362 | — | ||||||||
Capital Goods | 24,747,719 | — | 24,747,719 | — | ||||||||
Collateralized Mortgage Obligations | 54,445,268 | — | 54,445,268 | — | ||||||||
Commercial Mortgage-Backed | ||||||||||||
Securities | 84,583,473 | — | 77,888,473 | 6,695,000 | ||||||||
Communications Services | 39,265,026 | — | 39,265,026 | — | ||||||||
Consumer Cyclical | 6,075,052 | — | 6,075,052 | — | ||||||||
Consumer Non-Cyclical | 40,330,814 | — | 40,330,814 | — | ||||||||
Energy | 16,299,410 | — | 16,299,410 | — | ||||||||
Financials | 308,246,157 | — | 308,246,157 | — | ||||||||
Foreign | 22,489,577 | — | 22,489,577 | — | ||||||||
Mortgage-Backed Securities | 39,781,272 | — | 39,781,272 | — | ||||||||
Technology | 4,281,822 | — | 4,281,822 | — | ||||||||
Transportation | 17,161,706 | — | 2,984,449 | 14,177,257 | ||||||||
U.S. Government and Agencies | 117,534,201 | — | 117,534,201 | — | ||||||||
U.S. Municipals | 6,999,158 | — | 6,999,158 | — | ||||||||
Utilities | 24,561,683 | — | 24,561,683 | — | ||||||||
Mutual Funds | ||||||||||||
Fixed Income Mutual Funds | 19,273,214 | 19,273,214 | — | — | ||||||||
Preferred Stock | ||||||||||||
Financials | 2,119,731 | 2,119,731 | — | — | ||||||||
Options Purchased | 226,562 | 226,562 | — | — | ||||||||
Collateral Held for Securities Loaned | 813,270 | 813,270 | — | — | ||||||||
Short-Term Investments | 68,335,621 | — | 68,335,621 | — | ||||||||
Total | $ | 1,129,252,004 | $ | 22,432,777 | $ | 1,065,408,643 | $ | 41,410,584 | ||||
Other Financial Instruments* | $ | 4,219,542 | $ | 4,219,542 | $ | — | $ | — | ||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Limited Maturity Bond Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||||||
Long-Term Fixed Income | |||||||||||||||||||||||||
Asset-Backed Securities | 19,844,472 | — | — | 728,998 | (842,672 | ) | 807,529 | 20,538,327 | |||||||||||||||||
Commercial Mortgage- Backed Securities | 5,405,010 | — | — | 1,289,990 | — | — | 6,695,000 | ||||||||||||||||||
Financials | 6,166,250 | — | — | 158,011 | — | (6,324,261 | ) | — | |||||||||||||||||
Transportation | 3,068,000 | (19,665 | ) | (189,804 | ) | 930,860 | 10,387,866 | — | 14,177,257 | ||||||||||||||||
U.S. Government and Agencies | 4,026,666 | — | (233,315 | ) | 215,418 | (4,008,769 | ) | — | — | ||||||||||||||||
Preferred Stock | |||||||||||||||||||||||||
Financials | 2,791,196 | — | (1,974,818 | ) | 1,927,731 | (2,744,109 | ) | — | — | ||||||||||||||||
Total | $ | 41,301,594 | ($ | 19,665 | ) | ($ | 2,397,937 | ) | $ | 5,251,008 | $ | 2,792,316 | ($ | 5,516,732 | ) | $ | 41,410,584 | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||||
2-Yr. U.S. Treasury Bond Futures | (55 | ) | March 2010 | ($11,958,036 | ) | ($11,894,610 | ) | $ | 63,426 | ||||||
5-Yr. U.S. Treasury Bond Futures | (1,575 | ) | March 2010 | (183,039,728 | ) | (180,152,926 | ) | 2,886,802 | |||||||
10-Yr. U.S. Treasury Bond Futures | (425 | ) | March 2010 | (50,361,204 | ) | (49,067,580 | ) | 1,293,624 | |||||||
20-Yr. U.S. Treasury Bond Futures | 5 | March 2010 | 601,185 | 576,875 | (24,310 | ) | |||||||||
Total Futures Contracts | $4,219,542 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Asset Derivatives | |||||
Interest Rate Contracts | |||||
Options Purchased | Investments in securities at market value, Net Assets - Net unrealized appreciation/(depreciation) on Investments | 226,562 | |||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,243,852 | |||
Total Interest Rate Contracts | 4,470,414 | ||||
Total Asset Derivatives | $ | 4,470,414 | |||
Liability Derivatives | |||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 24,310 | |||
Total Interest Rate Contracts | 24,310 | ||||
Total Liability Derivatives | $ | 24,310 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | |||
Interest Rate Contracts | |||||
Options Written | Net realized gains/(losses) on Written option contracts | 317,468 | |||
Options Purchased | Net realized gains/(losses) on Investments | (378,957 | ) | ||
Futures | Net realized gains/(losses) on Futures contracts | (8,484,392 | ) | ||
Total Interest Rate Contracts | (8,545,881 | ) | |||
Credit Contracts | |||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (3,469,608 | ) | ||
Total Credit Contracts | (3,469,608 | ) | |||
Total | ($12,015,489 | ) | |||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | (244,328 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 10,882,890 | ||||
Interest Rate Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (956,416 | ) | |||
Total Interest Rate Contracts | 9,682,146 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 3,014,254 | ||||
Total Credit Contracts | 3,014,254 | |||||
Total | $ | 12,696,400 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Interest Rate Contracts | $ | 200,298,160 | 20.41 | % | $ | 24,385,159 | 2.5 | % | 467 | |||||
Credit Contracts | N/A | N/A | 9,316,423 | 0.9 | % | N/A | ||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
High Yield Fund | $ | — | $ | 15,500,000 | $ | — | 4,208,125 | $ | 19,273,214 | $ | 1,145,923 | ||||||
Money Market | 1,334,891 | 65,729,600 | 67,064,491 | — | — | 20,815 | |||||||||||
Thrivent Financial Securities Lending Trust | 105,038,013 | 319,612,460 | 423,837,203 | 813,270 | 813,270 | 145,001 | |||||||||||
Total Value and Income Earned | 106,372,904 | 20,086,484 | 1,311,739 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (103.1%) | Value | |||
| Asset-Backed Securities (9.4%) | |||||
Americredit Automobile Receivables Trust | |||||
| $ 697,868 | 0.315%, 1/6/2010a,b | $ | 693,193 | ||
Countrywide Asset-Backed Certificates | |||||
| 195,000 | 5.859%, 10/25/2046 | 101,462 | |||
Credit Based Asset Servicing and Securitization, LLC | |||||
| 177,068 | 5.501%, 12/25/2036 | 125,764 | |||
First Horizon ABS Trust | |||||
| 665,413 | 0.361%, 1/25/2010a,b | 296,803 | |||
| 1,101,420 | 0.391%, 1/25/2010a,b | 475,934 | |||
GMAC Mortgage Corporation Loan Trust | |||||
| 1,395,117 | 0.411%, 1/25/2010a,b | 360,334 | |||
Popular ABS Mortgage Pass- Through Trust | |||||
| 100,000 | 5.297%, 11/25/2035 | 68,539 | |||
Renaissance Home Equity Loan Trust | |||||
| 250,000 | 5.797%, 8/25/2036 | 160,623 | |||
| 200,000 | 5.285%, 1/25/2037 | 159,122 | |||
Residential Funding Mortgage Securities | |||||
| 117,333 | 4.470%, 7/25/2018a | 112,149 | |||
SLM Student Loan Trust | |||||
| 876 | 0.292%, 1/25/2010b | 876 | |||
Wachovia Asset Securitization, Inc. | |||||
| 852,690 | 0.371%, 1/25/2010a,b,c | 419,301 | |||
Total Asset-Backed Securities | 2,974,100 | ||||
| Collateralized Mortgage Obligations (18.0%) | |||||
Banc of America Mortgage Securities, Inc. | |||||
| 595,465 | 4.801%, 9/25/2035 | 482,206 | |||
Countrywide Alternative Loan Trust | |||||
| 270,354 | 5.500%, 10/25/2035 | 238,766 | |||
| 267,978 | 5.500%, 2/25/2036 | 219,383 | |||
| 225,149 | 6.000%, 1/25/2037 | 155,843 | |||
Credit Suisse First Boston Mortgage Securities Corporation | |||||
| 36,195 | 0.971%, 1/25/2010b | 29,168 | |||
GSAA Home Equity Trust | |||||
| 164,550 | 4.316%, 11/25/2034 | 156,257 | |||
GSR Mortgage Loan Trust | |||||
| 109,681 | 0.421%, 1/25/2010b | 78,665 | |||
Impac CMB Trust | |||||
| 443,331 | 0.491%, 1/25/2010b | 231,414 | |||
| 78,364 | 0.551%, 1/25/2010b | 40,399 | |||
J.P. Morgan Alternative Loan Trust | |||||
| 152,654 | 0.301%, 1/25/2010b | 140,107 | |||
J.P. Morgan Mortgage Trust | |||||
| 216,492 | 6.500%, 1/25/2035 | 199,376 | |||
| 208,416 | 5.994%, 10/25/2036 | 173,404 | |||
MASTR Alternative Loans Trust | |||||
| 284,499 | 6.500%, 5/25/2034 | 262,005 | |||
Merrill Lynch Mortgage Investors, Inc. | |||||
| 833,174 | 4.875%, 6/25/2035 | 715,784 | |||
MLCC Mortgage Investors, Inc. | |||||
| 222,741 | 0.561%, 1/25/2010b | 201,615 | |||
Residential Accredit Loans, Inc. | |||||
| 232,393 | 5.500%, 12/25/2034 | 215,415 | |||
| 240,471 | 5.598%, 9/25/2035 | 146,884 | |||
WaMu Mortgage Pass Through Certificates | |||||
| 309,363 | 6.037%, 10/25/2036 | 252,115 | |||
| 210,521 | 5.838%, 8/25/2046 | 178,043 | |||
Wells Fargo Mortgage Backed Securities Trust | |||||
| 150,534 | 5.000%, 3/25/2021 | 142,255 | |||
| 547,098 | 4.950%, 3/25/2036 | 452,270 | |||
| 311,019 | 5.240%, 4/25/2036 | 274,553 | |||
| 336,783 | 5.500%, 4/25/2036 | 285,160 | |||
| 491,109 | 6.000%, 7/25/2037 | 397,338 | |||
Total Collateralized Mortgage Obligations | 5,668,425 | ||||
| Commercial Mortgage-Backed Securities | |||||
| (12.5%) | |||||
Citigroup/Deutsche Bank Commercial Mortgage Pass- Through Certificates | |||||
| 295,000 | 5.617%, 10/15/2048 | 281,025 | |||
Commercial Mortgage Pass- Through Certificates | |||||
| 54,274 | 0.333%, 1/15/2010b,d | 53,896 | |||
GMAC Commercial Mortgage Securities, Inc. | |||||
| 230,000 | 4.547%, 12/10/2041 | 230,096 | |||
Greenwich Capital Commercial Funding Corporation | |||||
| 500,000 | 5.867%, 12/10/2049 | 383,742 | |||
LB-UBS Commercial Mortgage Trust | |||||
| 818,071 | 4.553%, 7/15/2030 | 822,991 | |||
TIAA Seasoned Commercial Mortgage Trust | |||||
| 500,000 | 5.792%, 8/15/2039 | 518,831 | |||
Wachovia Bank Commercial Mortgage Trust | |||||
| 2,000,000 | 0.353%, 1/15/2010b,c | 1,357,666 | |||
| 320,000 | 5.308%, 11/15/2048 | 300,272 | |||
Total Commercial Mortgage-Backed Securities | 3,948,519 | ||||
| Mortgage-Backed Securities (59.5%) | |||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | |||||
| 4,700,000 | 6.000%, 1/1/2040e | 4,983,466 | |||
Federal National Mortgage Association Conventional 20- Yr. Pass Through | |||||
| 1,295,178 | 6.000%, 8/1/2024 | 1,389,378 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2009
| Principal Amount | Long-Term Fixed Income (103.1%) | Value | ||||
| Mortgage-Backed Securities (59.5%) - continued | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||
| $9,500,000 | 5.500%, 1/1/2040e | $ | 9,943,831 | |||
| 2,300,000 | 6.500%, 1/1/2040e | 2,463,157 | ||||
Total Mortgage-Backed Securities | 18,779,832 | |||||
| U.S. Government and Agencies (3.7%) | ||||||
U.S. Treasury Notes | ||||||
| 100,000 | 4.875%, 4/30/2011f | 105,328 | ||||
U.S. Treasury Notes, TIPS | ||||||
| 695,766 | 2.500%, 7/15/2016 | 757,679 | ||||
| 303,726 | 1.875%, 7/15/2019 | 315,258 | ||||
Total U.S. Government and Agencies | 1,178,265 | |||||
Total Long-Term Fixed Income (cost $35,958,133) | 32,549,141 | |||||
| Principal Amount | Short-Term Investments (52.3%)g | |||||
Federal Home Loan Bank Discount Notes | ||||||
| 3,000,000 | 0.030%, 1/15/2010 | 2,999,965 | ||||
| 3,000,000 | 0.065%, 2/17/2010 | 2,999,745 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 500,000 | 0.050%, 2/16/2010 | 499,968 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 1,000,000 | 0.030%, 2/4/2010 | 999,972 | ||||
| 9,000,000 | 0.050%, 2/16/2010 | 8,999,425 | ||||
Total Short-Term Investments (at amortized cost) | 16,499,075 | |||||
Total Investments (cost $52,457,208) 155.4% | $ | 49,048,216 | ||||
Other Assets and Liabilities, Net (55.4%) | (17,495,154 | ) | ||||
Total Net Assets 100.0% | $ | 31,553,062 | ||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
| c | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Mortgage Securities Portfolio owned as of December 31, 2009. |
Security | Acquisition Date | Amortized Cost | |||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 852,690 | ||
Wachovia Bank Commercial Mortgage Trust | 2/28/2007 | 2,000,197 | |||
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2009, the value of these investments was $53,896 or 0.2% of total net assets. |
| e | Denotes investments purchased on a when-issued or delayed delivery basis. |
| f | At December 31, 2009, $105,328 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| g | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
Definitions:
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 585,501 | ||
Gross unrealized depreciation | (3,994,493 | ) | ||
Net unrealized appreciation (depreciation) | $ | (3,408,992 | ) | |
Cost for federal income tax purposes | $ | 52,457,208 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2009
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Mortgage Securities Portfolio’s assets carried at fair value as discussed in the Notes to Financial Statements.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||
Long-Term Fixed Income | ||||||||||||||
Asset-Backed Securities | 2,974,100 | — | 2,554,799 | 419,301 | ||||||||||
Collateralized Mortgage Obligations | 5,668,425 | — | 5,668,425 | — | ||||||||||
Commercial Mortgage-Backed | ||||||||||||||
Securities | 3,948,519 | — | 3,948,519 | — | ||||||||||
Mortgage-Backed Securities | 18,779,832 | — | 18,779,832 | — | ||||||||||
U.S. Government and Agencies | 1,178,265 | — | 1,178,265 | — | ||||||||||
Short-Term Investments | 16,499,075 | — | 16,499,075 | — | ||||||||||
Total | $ | 49,048,216 | $ | — | $ | 48,628,915 | $ | 419,301 | ||||||
Other Financial Instruments* | ($14,153 | ) | ($ | 14,153 | ) | $ | — | $ | — | |||||
| * | Other Financial Instruments include Futures, Forwards, Written Options and Swap agreements. |
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Mortgage Securities Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2008 | Accrued Discounts and/or Premiums | Realized Gain/(Loss) | Change in Unrealized Gain/(Loss) | Net Purchases/(Sales) | Transfers in and/or (Out of) Level 3 | Value December 31, 2009 | ||||||||||||||
Long-Term Fixed Income | |||||||||||||||||||||
Asset-Backed Securities | — | — | — | 96,290 | — | 323,012 | 419,301 | ||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 96,290 | $ | — | $ | 323,012 | $ | 419,301 | |||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | ||||||||
10-Yr. U.S. Treasury Bond Futures | 5 | March 2010 | $ | 591,419 | $ | 577,266 | ($14,153 | ) | |||||
Total Futures Contracts | ($14,153 | ) | |||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2009, for Mortgage Securities Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | |||
Liability Derivatives | |||||
Interest Rate Contracts | |||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 14,153 | |||
Total Interest Rate Contracts | 14,153 | ||||
Total Liability Derivatives | $ | 14,153 | |||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2009
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2009, for Mortgage Securities Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 4,016 | ||||
Options Purchased | Net realized gains/(losses) on Investments | (1,116 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 27,380 | ||||
Total Interest Rate Contracts | 30,280 | |||||
Total | $ | 30,280 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2009, for Mortgage Securities Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | |||
Interest Rate Contracts | |||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (48,669 | ) | ||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | (2,938 | ) | ||
Total Interest Rate Contracts | (51,607 | ) | |||
Total | ($51,607 | ) | |||
The following table presents Mortgage Securities Portfolio’s average volume of derivative activity during the period ended December 31, 2009.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||
Interest Rate Contracts | $ | 596,762 | 1.9 | % | 11 | |||
| * | Notional amount represents long or short, or both, derivative positions held by the portfolio. |
Investment 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 fiscal year to date, in Mortgage Securities Portfolio, is as follows:
Portfolio | Value December 31, 2008 | Gross Purchases | Gross Sales | Shares Held at December 31, 2009 | Value December 31, 2009 | Income Earned January 1, 2009 - December 31, 2009 | |||||||||||
Money Market | $ | 896 | $ | 4 | $ | 900 | — | $ | — | $ | 4 | ||||||
Total Value and Income Earned | 896 | — | 4 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2009
| Principal Amount | Commercial Paper (60.3%)a | Value | |||
| Banking-Domestic (6.0%) | |||||
Rabobank USA Finance Corporation | |||||
| $5,410,000 | 0.300%, 2/18/2010b | $ | 5,407,836 | ||
| 4,730,000 | 0.250%, 2/23/2010b | 4,728,259 | |||
Svenska Handelsbanken, Inc. | |||||
| 4,500,000 | 0.240%, 3/4/2010 | 4,498,140 | |||
Total Banking-Domestic | 14,634,235 | ||||
| Banking-Foreign (4.5%) | |||||
Royal Bank of Canada | |||||
| 4,770,000 | 0.220%, 2/26/2010 | 4,768,367 | |||
World Bank Discount Notes | |||||
| 6,360,000 | 0.240%, 2/8/2010 | 6,358,389 | |||
Total Banking-Foreign | 11,126,756 | ||||
| Finance (40.1%) | |||||
Alaska Housing Finance Corporation | |||||
| 3,940,000 | 0.530%, 2/9/2010 | 3,937,738 | |||
| 4,850,000 | 0.500%, 2/17/2010 | 4,846,834 | |||
| 5,754,000 | 0.400%, 3/3/2010 | 5,750,100 | |||
| 3,830,000 | 0.400%, 3/9/2010 | 3,827,149 | |||
Bryant Park Funding, LLC | |||||
| 2,000,000 | 0.170%, 1/11/2010 | 1,999,905 | |||
Golden Funding Corporation | |||||
| 4,750,000 | 0.800%, 2/10/2010b | 4,745,778 | |||
| 4,012,000 | 0.600%, 2/26/2010b | 4,008,255 | |||
Nestle Capital Corporation | |||||
| 4,750,000 | 0.180%, 3/8/2010b | 4,748,432 | |||
Old Line Funding, LLC | |||||
| 3,210,000 | 0.500%, 2/11/2010b | 3,208,172 | |||
| 7,950,000 | 0.320%, 2/17/2010b | 7,946,679 | |||
Private Export Funding Corporation | |||||
| 4,770,000 | 0.340%, 3/23/2010 | 4,766,351 | |||
Straight-A Funding, LLC | |||||
| 4,450,000 | 0.200%, 2/10/2010 | 4,449,011 | |||
| 5,000,000 | 0.200%, 2/16/2010 | 4,998,722 | |||
| 5,000,000 | 0.190%, 2/17/2010 | 4,998,760 | |||
| 7,242,000 | 0.180%, 2/22/2010 | 7,240,117 | |||
| 4,075,000 | 0.180%, 3/10/2010 | 4,073,615 | |||
| 7,180,000 | 0.180%, 3/11/2010 | 7,177,523 | |||
Thunder Bay Funding, LLC | |||||
| 8,025,000 | 0.650%, 1/20/2010b | 8,022,248 | |||
| 7,975,000 | 0.310%, 2/22/2010b | 7,971,429 | |||
Total Finance | 98,716,818 | ||||
| Foreign (6.5%) | |||||
Caisse D’Amortissement de la Dette Sociale | |||||
| 4,750,000 | 0.220%, 2/1/2010b | 4,749,100 | |||
| 6,358,000 | 0.240%, 2/16/2010 | 6,356,051 | |||
| 4,750,000 | 0.270%, 3/29/2010 | 4,746,900 | |||
Total Foreign | 15,852,051 | ||||
| U.S. Government and Agencies (3.2%) | |||||
Federal Home Loan Mortgage Corporation Discount Notes | |||||
| 8,000,000 | 0.240%, 3/1/2010 | 7,996,853 | |||
Total U.S. Government and Agencies | 7,996,853 | ||||
Total Commercial Paper | 148,326,713 | ||||
| Shares | Other Mutual Funds (3.0%) | ||||
| 15,000 | AIM Investments Institutional Government and Agency Portfolio | 15,000 | |||
| 2,475,000 | Barclays Prime Money Market Fund | 2,475,000 | |||
| 4,985,000 | DWS Money Market Series | 4,985,000 | |||
Total Other Mutual Funds | 7,475,000 | ||||
| Principal Amount | Variable Rate Notes (36.5%)a | ||||
| Banking-Domestic (16.3%) | |||||
American Express Bank, FSB | |||||
| 4,300,000 | 1.085%, 1/11/2010b,c | 4,336,540 | |||
Bank of America NA | |||||
| 3,800,000 | 0.284%, 3/15/2010b,c | 3,802,912 | |||
| 6,360,000 | 0.429%, 3/23/2010b,c | 6,376,062 | |||
Citigroup Funding, Inc. | |||||
| 9,610,000 | 0.381%, 1/29/2010b,c | 9,613,133 | |||
J.P. Morgan Chase & Company | |||||
| 6,380,000 | 0.420%, 1/4/2010b,c | 6,380,000 | |||
U.S. Bancorp | |||||
| 4,800,000 | 0.655%, 3/4/2010c | 4,808,888 | |||
U.S. Central Federal Credit Union | |||||
| 4,750,000 | 0.284%, 1/19/2010b,c | 4,750,000 | |||
Total Banking-Domestic | 40,067,535 | ||||
| Finance (2.4%) | |||||
General Electric Capital Corporation | |||||
| 5,850,000 | 0.335%, 3/11/2010b,c | 5,860,171 | |||
Total Finance | 5,860,171 | ||||
| U.S. Government and Agencies (17.8%) | |||||
Federal Home Loan Banks | |||||
| 4,800,000 | 0.630%, 1/4/2010c | 4,800,000 | |||
| 4,800,000 | 0.750%, 1/4/2010c | 4,800,000 | |||
Federal Home Loan Mortgage Corporation | |||||
| 6,994,000 | 0.264%, 1/16/2010c | 6,997,248 | |||
| 8,000,000 | 0.235%, 3/3/2010c | 7,998,763 | |||
| 4,800,000 | 0.327%, 3/9/2010c | 4,806,631 | |||
| 6,395,000 | 0.219%, 3/24/2010c | 6,395,000 | |||
Federal National Mortgage Association | |||||
| 8,000,000 | 0.174%, 1/13/2010c | 7,997,039 | |||
Total U.S. Government and Agencies | 43,794,681 | ||||
Total Variable Rate Notes | 89,722,387 | ||||
Total Investments (at amortized cost) 99.8% | $ | 245,524,100 | |||
Other Assets and Liabilities, Net 0.2% | 483,974 | ||||
Total Net Assets 100.0% | $ | 246,008,074 | |||
| a | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| b | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank or institution. |
| c | Denotes variable rate obligations for which the current coupon rate and next scheduled reset date are shown. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Money Market Portfolio
Schedule of Investments as of December 31, 2009
| Cost for federal income tax purposes | $ | 245,524,100 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2009, in valuing Money Market Portfolio’s assets carried at fair value or amortized cost, which approximates fair value, as discussed in the Notes to Financial Statements.
Security Type and Industry | Total | Level 1 | Level 2 | Level 3 | ||||||||
Commercial Paper | ||||||||||||
Banking-Domestic | 14,634,235 | — | 14,634,235 | — | ||||||||
Banking-Foreign | 11,126,756 | — | 11,126,756 | — | ||||||||
Finance | 98,716,818 | — | 98,716,818 | — | ||||||||
Foreign | 15,852,051 | — | 15,852,051 | — | ||||||||
U.S. Government and Agencies | 7,996,853 | — | 7,996,853 | — | ||||||||
Other Mutual Funds | 7,475,000 | 7,475,000 | — | — | ||||||||
Variable Rate Notes | ||||||||||||
Banking-Domestic | 40,067,535 | — | 40,067,535 | — | ||||||||
Finance | 5,860,171 | — | 5,860,171 | — | ||||||||
U.S. Government and Agencies | 43,794,681 | — | 43,794,681 | — | ||||||||
Total | $ | 245,524,100 | $ | 7,475,000 | $ | 238,049,100 | $ | — | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Statement of Assets and Liabilities
As of December 31, 2009 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 571,198,763 | $ | 2,249,070,435 | $ | 2,939,704,314 | $ | 1,145,249,200 | ||||||||
Investments in securities at market value | 122,960,097 | 334,082,898 | 441,105,747 | 214,096,469 | ||||||||||||
Investments in affiliates at market value | 374,879,606 | 1,650,301,739 | 2,219,284,927 | 861,567,480 | ||||||||||||
Investments at Market Value | 497,839,703 | 1,984,384,637 | 2,660,390,674 | 1,075,663,949 | ||||||||||||
Cash | 203,325 | 168,343 | 239,249 | 196,905 | ||||||||||||
Dividends and interest receivable | 93,916 | 345,565 | 591,612 | 375,410 | ||||||||||||
Prepaid expenses | 1,714 | 4,027 | 5,138 | 2,681 | ||||||||||||
Receivable for investments sold | 1,974,533 | 2,916,497 | 2,483,877 | 981,867 | ||||||||||||
Receivable for fund shares sold | 210,210 | 635,585 | 1,965,720 | 650,793 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Total Assets | 500,323,401 | 1,988,454,654 | 2,665,676,270 | 1,077,871,605 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 16,877 | 20,956 | 23,190 | 19,038 | ||||||||||||
Payable for investments purchased | 2,169,138 | 3,530,306 | 4,402,147 | 1,546,056 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | — | — | ||||||||||||
Payable for fund shares redeemed | 48,448 | 28,886 | 230,011 | 189,615 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Swap agreements, at value | 9,340 | 112,084 | 138,236 | 41,098 | ||||||||||||
Payable for variation margin | 389,675 | 1,393,625 | 1,859,065 | 476,275 | ||||||||||||
Payable to affiliate | 113,324 | 401,036 | 497,988 | 219,772 | ||||||||||||
Total Liabilities | 2,746,802 | 5,486,893 | 7,150,637 | 2,491,854 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 544,566,340 | 2,138,652,515 | 2,777,883,821 | 1,084,443,897 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 7,745,159 | 50,399,667 | 77,589,357 | 31,490,233 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 17,755,151 | 56,685,557 | 79,553,984 | 28,777,817 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 4,958,969 | 9,440,880 | 9,990,653 | 5,921,105 | ||||||||||||
Affiliated investments | (78,318,029 | ) | (274,126,678 | ) | (289,304,293 | ) | (75,506,356 | ) | ||||||||
Futures contracts | 997,867 | 3,423,951 | 4,682,847 | 808,853 | ||||||||||||
Swap agreements | (128,858 | ) | (1,508,131 | ) | (1,870,736 | ) | (555,798 | ) | ||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 497,576,599 | $ | 1,982,967,761 | $ | 2,658,525,633 | $ | 1,075,379,751 | ||||||||
Shares of beneficial interest outstanding | 46,660,699 | 185,037,710 | 245,680,455 | 98,573,628 | ||||||||||||
Net asset value per share | $ | 10.66 | $ | 10.72 | $ | 10.82 | $ | 10.91 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
Partner | Partner Healthcare Portfolio | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | ||||||||||||||||||
| $ | 27,446,620 | $ | 11,542,601 | $ | 20,462,674 | $ | 16,460,210 | $ | 376,148,663 | $ | 6,470,994 | $ | 151,274,288 | |||||||||||
| 30,865,840 | 13,045,276 | 20,887,731 | 17,261,558 | 265,192,479 | 6,151,700 | 160,503,568 | ||||||||||||||||||
| 3,353,411 | — | — | — | 78,496,425 | — | 21,405,506 | ||||||||||||||||||
| 34,219,251 | 13,045,276 | 20,887,731 | 17,261,558 | 343,688,904 | 6,151,700 | 181,909,074 | ||||||||||||||||||
| 80,854 | 229,327 | 246,171 | 223,738 | (a) | 192,285 | 196,910 | (b) | 403,080 | ||||||||||||||||
| 5,566 | 19,486 | 11,642 | 12,269 | 925,609 | 11,656 | 34,114 | ||||||||||||||||||
| 969 | 929 | 927 | 920 | 1,232 | 918 | 1,155 | ||||||||||||||||||
| — | — | — | — | 19,838 | — | 3,324,681 | ||||||||||||||||||
| 36,347 | 23,915 | 22,195 | 11,076 | 497,212 | 23,502 | 70,105 | ||||||||||||||||||
| — | — | — | 432 | — | — | — | ||||||||||||||||||
| 34,342,987 | 13,318,933 | 21,168,666 | 17,509,993 | 345,325,080 | 6,384,686 | 185,742,209 | ||||||||||||||||||
| 12,394 | 7,400 | 7,399 | 18,223 | 30,221 | 7,409 | 18,537 | ||||||||||||||||||
| — | — | — | 54,277 | 1,169,878 | — | 3,699,180 | ||||||||||||||||||
| 3,353,411 | — | — | — | 78,496,425 | — | 21,405,506 | ||||||||||||||||||
| 2,360 | 910 | 13,387 | 717 | 39,624 | 273 | 4,925 | ||||||||||||||||||
| — | — | — | 3 | — | — | — | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||
| 26,192 | 11,664 | 16,038 | 9,888 | 186,227 | 718 | 127,482 | ||||||||||||||||||
| 3,394,357 | 19,974 | 36,824 | 83,108 | 79,922,375 | 8,400 | 25,255,630 | ||||||||||||||||||
| 38,248,797 | 11,514,785 | 20,931,464 | 17,496,463 | 324,966,987 | 7,218,069 | 193,465,627 | ||||||||||||||||||
| (7,896) | 18,891 | 16,506 | (13,235 | ) | (23,786 | ) | 147,043 | (12,225 | ) | |||||||||||||||
| (14,064,902) | 261,703 | (241,236 | ) | (858,385 | ) | (27,080,257 | ) | (669,523 | ) | (63,601,609 | ) | |||||||||||||
| 6,772,631 | 1,502,675 | 425,057 | 801,348 | (32,459,759 | ) | (319,294 | ) | 30,634,786 | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||
| — | — | — | 429 | — | — | — | ||||||||||||||||||
| — | 905 | 51 | 265 | (480 | ) | (9 | ) | — | ||||||||||||||||
| $ | 30,948,630 | $ | 13,298,959 | $ | 21,131,842 | $ | 17,426,885 | $ | 265,402,705 | $ | 6,376,286 | $ | 160,486,579 | |||||||||||
| 5,438,690 | 1,200,805 | 2,568,533 | 1,792,714 | 22,746,779 | 821,516 | 16,008,604 | ||||||||||||||||||
| $ | 5.69 | $ | 11.08 | $ | 8.23 | $ | 9.72 | $ | 11.67 | $ | 7.76 | $ | 10.03 | |||||||||||
| (a) | Includes foreign currency holdings of $69,019 (cost $68,347). |
| (b) | Includes foreign currency holdings of $924 (cost $925). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
309
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2009 | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 254,446,184 | $ | 224,208,102 | $ | 217,656,754 | $ | 107,965,697 | ||||||||
Investments in securities at market value | 226,037,419 | 257,550,022 | 203,853,558 | 125,574,268 | ||||||||||||
Investments in affiliates at market value | 30,107,005 | 14,969,779 | 24,200,701 | 2,701,775 | ||||||||||||
Investments at Market Value | 256,144,424 | 272,519,801 | 228,054,259 | 128,276,043 | ||||||||||||
Cash | 206,261 | 1,092 | 42,039 | 556 | ||||||||||||
Dividends and interest receivable | 292,923 | 140,868 | 216,913 | 62,424 | ||||||||||||
Prepaid expenses | 1,243 | 1,512 | 1,283 | 1,098 | ||||||||||||
Receivable for investments sold | 4,983 | 6,445,372 | — | 1,281,042 | ||||||||||||
Receivable for fund shares sold | 95,169 | 141,789 | 26,812 | 51,504 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Total Assets | 256,745,003 | 279,250,434 | 228,341,306 | 129,672,667 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 23,007 | 40,634 | 44,575 | 13,286 | ||||||||||||
Payable for investments purchased | 104,432 | 5,483,752 | — | 1,039,172 | ||||||||||||
Payable upon return of collateral for securities loaned | 30,107,005 | 14,969,779 | 24,200,701 | 2,701,775 | ||||||||||||
Payable for fund shares redeemed | 4,331 | 100,068 | 63,013 | 4,552 | ||||||||||||
Unrealized loss on forward contracts | — | 5,249 | — | — | ||||||||||||
Payable for variation margin | — | — | 44,200 | — | ||||||||||||
Payable to affiliate | 159,855 | 158,214 | 69,325 | 71,391 | ||||||||||||
Total Liabilities | 30,398,630 | 20,757,696 | 24,421,814 | 3,830,176 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 237,130,117 | 341,430,352 | 203,926,202 | 104,830,933 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 303,244 | 87,641 | 1,674,601 | (7,860 | ) | |||||||||||
Accumulated undistributed net realized gain/(loss) | (12,785,228 | ) | (131,336,358 | ) | (12,192,098 | ) | 709,072 | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 1,698,240 | 48,311,699 | 10,397,505 | 20,310,346 | ||||||||||||
Futures contracts | — | — | 113,282 | — | ||||||||||||
Foreign currency forward contracts | — | (5,249 | ) | — | — | |||||||||||
Foreign currency transactions | — | 4,653 | — | — | ||||||||||||
Total Net Assets | $ | 226,346,373 | $ | 258,492,738 | $ | 203,919,492 | $ | 125,842,491 | ||||||||
Shares of beneficial interest outstanding | 14,524,239 | 25,523,180 | 19,299,384 | 14,922,119 | ||||||||||||
Net asset value per share | $ | 15.58 | $ | 10.13 | $ | 10.57 | $ | 8.43 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
310
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
| Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | |||||||||||||||||||
| $ | 353,918,438 | $ | 172,449,616 | $ | 419,536,978 | $ | 87,234,817 | $ | 226,690,272 | $ | 852,338,968 | $ | 4,153,441 | ||||||||||||
| 363,664,347 | 183,613,085 | 443,811,637 | 86,775,583 | 253,465,976 | 882,265,448 | 4,082,183 | |||||||||||||||||||
| 10,479,037 | 9,806,665 | 18,736,612 | 6,345,282 | — | 13,880,242 | — | |||||||||||||||||||
| 374,143,384 | 193,419,750 | 462,548,249 | 93,120,865 | 253,465,976 | 896,145,690 | 4,082,183 | |||||||||||||||||||
| 794 | 1,932 | 237,147 | 88,430 | 702,670 | (a) | 336,817 | (b) | 18,517 | |||||||||||||||||
| 158,329 | 230,263 | 235,007 | 86,512 | 612,693 | 1,142,650 | 4,187 | |||||||||||||||||||
| 1,544 | 1,181 | 1,786 | 1,069 | 1,146 | 2,492 | 915 | |||||||||||||||||||
| 3,983,915 | 588,650 | — | 243,399 | 198,219 | 342,131 | 31,608 | |||||||||||||||||||
| 26,071 | 136,982 | 207,233 | 2,396 | 405,855 | 16,545 | 85 | |||||||||||||||||||
| — | — | — | — | 69,381 | 1,039 | — | |||||||||||||||||||
| 378,314,037 | 194,378,758 | 463,229,422 | 93,542,671 | 255,455,940 | 897,987,364 | 4,137,495 | |||||||||||||||||||
| 49,445 | 17,575 | 38,824 | 17,725 | 42,405 | 103,799 | 7,171 | |||||||||||||||||||
| 2,262,125 | 727,931 | 453,614 | 150,462 | 87,471 | — | — | |||||||||||||||||||
| 10,479,037 | 9,806,665 | 18,736,612 | 6,345,282 | — | 13,880,242 | — | |||||||||||||||||||
| 172,610 | 555 | 216,035 | 35,607 | 127,945 | 458,980 | 192 | |||||||||||||||||||
| — | — | — | — | 23,756 | 485 | — | |||||||||||||||||||
| — | — | — | 27,600 | 121,426 | — | — | |||||||||||||||||||
| 135,321 | 121,995 | 261,853 | 33,667 | 181,092 | 600,776 | 117 | |||||||||||||||||||
| 13,098,538 | 10,674,721 | 19,706,938 | 6,610,343 | 584,095 | 15,044,282 | 7,480 | |||||||||||||||||||
| 424,900,469 | 205,269,797 | 526,712,580 | 83,628,062 | 245,572,637 | 1,136,002,507 | 4,805,863 | |||||||||||||||||||
| 843,854 | 706,749 | 254,446 | 904,162 | (200,442 | ) | 207,657 | (2,970 | ) | |||||||||||||||||
| (80,753,770) | (43,242,643 | ) | (126,455,813 | ) | (3,545,832 | ) | (17,330,499 | ) | (297,091,469 | ) | (601,620 | ) | |||||||||||||
| 20,224,946 | 20,970,134 | 43,011,271 | 5,886,048 | 26,775,704 | 43,806,722 | (71,258 | ) | ||||||||||||||||||
| — | — | — | 59,888 | 9,171 | — | — | |||||||||||||||||||
| — | — | — | — | 45,625 | 554 | — | |||||||||||||||||||
| — | — | — | — | (351 | ) | 17,111 | — | ||||||||||||||||||
| $ | 365,215,499 | $ | 183,704,037 | $ | 443,522,484 | $ | 86,932,328 | $ | 254,871,845 | $ | 882,943,082 | $ | 4,130,015 | ||||||||||||
| 25,332,910 | 16,985,134 | 45,261,273 | 8,384,124 | 32,529,479 | 88,367,025 | 471,528 | |||||||||||||||||||
| $ | 14.42 | $ | 10.82 | $ | 9.80 | $ | 10.37 | $ | 7.84 | $ | 9.99 | $ | 8.76 | ||||||||||||
| (a) | Includes foreign currency holdings of $91,156 (cost $90,769). |
| (b) | Includes foreign currency holdings of $190,366 (cost $190,521). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
311
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2009 | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 7,255,921 | $ | 5,029,299 | $ | 57,611,939 | $ | 304,559,176 | ||||||||
Investments in securities at market value | 7,979,174 | 5,337,184 | 62,514,854 | 358,672,899 | ||||||||||||
Investments in affiliates at market value | — | — | 1,275,375 | 6,796,273 | ||||||||||||
Investments at Market Value | 7,979,174 | 5,337,184 | 63,790,229 | 365,469,172 | ||||||||||||
Cash | 213,375 | 236,752 | 65,169 | 250 | ||||||||||||
Dividends and interest receivable | 1,354 | 3,455 | 48,996 | 223,034 | ||||||||||||
Prepaid expenses | 914 | 913 | 1,028 | 1,642 | ||||||||||||
Receivable for investments sold | 47,467 | — | 638,357 | 3,062,874 | ||||||||||||
Receivable for fund shares sold | 7,120 | 663 | 1,109 | 192,651 | ||||||||||||
Total Assets | 8,249,404 | 5,578,967 | 64,544,888 | 368,949,623 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 7,513 | 8,734 | 14,001 | 21,963 | ||||||||||||
Payable for investments purchased | 142,022 | 46,562 | 574,901 | 4,543,741 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | 1,275,375 | 6,796,273 | ||||||||||||
Payable for fund shares redeemed | 562 | 95 | 18,699 | 13,143 | ||||||||||||
Open options written, at value | — | — | — | 13,650 | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 2,867 | 116 | 47,097 | 175,022 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 152,964 | 55,507 | 1,930,073 | 11,563,792 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 8,625,948 | 6,665,883 | 81,109,583 | 285,136,925 | ||||||||||||
Accumulated undistributed net investment income/(loss) | (2,970 | ) | (11,928 | ) | 418,643 | 440,796 | ||||||||||
Accumulated undistributed net realized gain/(loss) | (1,249,791 | ) | (1,438,380 | ) | (25,091,701 | ) | 10,900,348 | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 723,253 | 307,885 | 6,178,290 | 60,909,996 | ||||||||||||
Written option contracts | — | — | — | (2,234 | ) | |||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 8,096,440 | $ | 5,523,460 | $ | 62,614,815 | $ | 357,385,831 | ||||||||
Shares of beneficial interest outstanding | 1,008,067 | 721,974 | 8,101,603 | 48,790,419 | ||||||||||||
Net asset value per share | $ | 8.03 | $ | 7.65 | $ | 7.73 | $ | 7.32 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
312
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
Large Cap | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | |||||||||||||||||||
| $ | 918,287,777 | $ | 44,642,311 | $ | 652,989,429 | $ | 551,876,998 | $ | 338,954,193 | $ | 54,055,313 | $ | 306,918,473 | ||||||||||||
| 1,029,317,494 | 61,102,450 | 737,436,656 | 621,168,108 | 337,855,473 | 54,207,124 | 308,203,970 | |||||||||||||||||||
| 30,719,415 | 196,140 | 2,450,287 | 5,875,573 | 2,928,421 | — | 4,467,865 | |||||||||||||||||||
| 1,060,036,909 | 61,298,590 | 739,886,943 | 627,043,681 | 340,783,894 | 54,207,124 | 312,671,835 | |||||||||||||||||||
| 3,154 | 164,845 | 65 | 6,682 | 224,791 | 806,109 | 40,469 | |||||||||||||||||||
| 635,726 | 42,616 | 862,585 | 484,050 | 452,279 | 93,200 | 800,794 | |||||||||||||||||||
| 2,852 | 1,027 | 2,270 | 1,983 | 1,573 | 995 | 1,506 | |||||||||||||||||||
| 14,223,562 | 112,780 | 439,640 | 2,587,174 | — | — | 499,637 | |||||||||||||||||||
| 79,732 | 288 | 345,611 | 168,139 | 23,620 | 28,315 | 5,635 | |||||||||||||||||||
| 1,074,981,935 | 61,620,146 | 741,537,114 | 630,291,709 | 341,486,157 | 55,135,743 | 314,019,876 | |||||||||||||||||||
| 160,661 | 14,514 | 63,231 | 64,815 | 66,792 | 10,348 | 62,419 | |||||||||||||||||||
| 18,021,512 | 16,717 | 5,454,496 | 5,153,074 | 67,704 | — | 27,829,701 | |||||||||||||||||||
| 30,719,415 | 196,140 | 2,450,287 | 5,875,573 | 2,928,421 | — | 4,467,865 | |||||||||||||||||||
| 366,785 | 10,897 | 161,257 | 402,061 | 103,721 | 547 | 357,211 | |||||||||||||||||||
| 31,990 | — | — | 338,900 | — | 35,725 | — | |||||||||||||||||||
| — | — | — | 837,900 | 39,900 | 76,440 | 19,150 | |||||||||||||||||||
| 368,611 | 43,853 | 387,987 | 346,844 | 109,144 | 33,591 | 94,099 | |||||||||||||||||||
| — | — | — | — | — | — | 31,234 | |||||||||||||||||||
| 49,668,974 | 282,121 | 8,517,258 | 13,019,167 | 3,315,682 | 156,651 | 32,861,679 | |||||||||||||||||||
| 2,159,376,299 | 58,088,746 | 865,384,060 | 745,169,307 | 361,360,806 | 66,555,402 | 273,935,054 | |||||||||||||||||||
| 197,953 | 2,609 | 134,913 | 47,073 | 6,061,481 | 67,433 | 6,997,054 | |||||||||||||||||||
| (1,276,005,188) | (13,409,765 | ) | (219,396,631 | ) | (204,154,707 | ) | (31,121,668 | ) | (11,883,970 | ) | (5,544,123 | ) | |||||||||||||
| 141,749,132 | 16,656,279 | 86,897,514 | 75,166,683 | 1,829,701 | 151,811 | 5,753,362 | |||||||||||||||||||
| (5,235) | — | — | 76,331 | — | 9,172 | — | |||||||||||||||||||
| — | — | — | 967,855 | 40,155 | 79,244 | 16,850 | |||||||||||||||||||
| — | 156 | — | — | — | — | — | |||||||||||||||||||
| $ | 1,025,312,961 | $ | 61,338,025 | $ | 733,019,856 | $ | 617,272,542 | $ | 338,170,475 | $ | 54,979,092 | $ | 281,158,197 | ||||||||||||
| 66,584,460 | 6,175,875 | 75,966,532 | 79,906,137 | 21,462,019 | 6,951,667 | 20,925,389 | |||||||||||||||||||
| $ | 15.40 | $ | 9.93 | $ | 9.65 | $ | 7.72 | $ | 15.76 | $ | 7.91 | $ | 13.44 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
313
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2009 | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 762,280,093 | $ | 87,524,482 | $ | 5,815,183 | $ | 1,317,096,241 | ||||||||
Investments in securities at market value | 737,733,994 | 86,125,420 | 5,948,614 | 1,297,621,630 | ||||||||||||
Investments in affiliates at market value | 36,175,205 | 1,336,140 | — | 25,267,561 | ||||||||||||
Investments at Market Value | 773,909,199 | 87,461,560 | 5,948,614 | 1,322,889,191 | ||||||||||||
Cash | 1,256 | 255,252 | 193,842 | 3,456 | ||||||||||||
Dividends and interest receivable | 13,409,806 | 750,010 | 52,021 | 16,403,327 | ||||||||||||
Prepaid expenses | 2,426 | 1,076 | 924 | 3,490 | ||||||||||||
Receivable for investments sold | 5,491,884 | 157,501 | — | — | ||||||||||||
Receivable for fund shares sold | 225,372 | 19,459 | 4 | 489,285 | ||||||||||||
Swap agreements, at value | — | 23,671 | — | 72,530 | ||||||||||||
Receivable from affiliate | — | — | 313 | — | ||||||||||||
Receivable for variation margin | — | 51,459 | 4,902 | 661,440 | ||||||||||||
Total Assets | 793,039,943 | 88,719,988 | 6,200,620 | 1,340,522,719 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 67,388 | 15,268 | 7,621 | 95,044 | ||||||||||||
Payable for investments purchased | 400,010 | 85,194 | — | 53,167,344 | ||||||||||||
Payable upon return of collateral for securities loaned | 36,175,205 | 1,336,140 | — | 7,956,950 | ||||||||||||
Payable for fund shares redeemed | 155,747 | 28,880 | 132 | 235,668 | ||||||||||||
Open options written, at value | — | 19,725 | — | — | ||||||||||||
Payable for variation margin | — | 45,664 | 8,929 | 406,562 | ||||||||||||
Payable to affiliate | 273,047 | 37,465 | — | 454,225 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | 51,211 | ||||||||||||
Total Liabilities | 37,071,397 | 1,568,336 | 16,682 | 62,367,004 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 1,426,533,773 | 105,806,110 | 6,065,912 | 1,363,590,234 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 465,728 | 4,610,543 | (1,080 | ) | 659,905 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (682,660,061 | ) | (22,948,272 | ) | 21,882 | (93,538,441 | ) | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 11,629,106 | (62,922 | ) | 133,431 | 1,782,339 | |||||||||||
Affiliated investments | — | — | — | 4,010,611 | ||||||||||||
Written option contracts | — | 4,680 | — | — | ||||||||||||
Futures contracts | — | (37,191 | ) | (36,207 | ) | 1,320,728 | ||||||||||
Swap agreements | — | (221,296 | ) | — | 330,339 | |||||||||||
Total Net Assets | $ | 755,968,546 | $ | 87,151,652 | $ | 6,183,938 | $ | 1,278,155,715 | ||||||||
Shares of beneficial interest outstanding | 165,817,575 | 14,202,785 | 608,386 | 136,167,490 | ||||||||||||
Net asset value per share | $ | 4.56 | $ | 6.14 | $ | 10.16 | $ | 9.39 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
314
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | ||||||||||
| $ | 225,040,929 | $ | 1,147,066,604 | $ | 52,457,208 | $ | 245,524,100 | ||||||
| 210,051,311 | 1,109,165,520 | 49,048,216 | 245,524,100 | ||||||||||
| 6,634,075 | 20,086,484 | — | — | ||||||||||
| 216,685,z386 | 1,129,252,004 | 49,048,216 | 245,524,100 | a | |||||||||
| 5,560 | 2,128 | 187,688 | 1,121 | ||||||||||
| 1,035,703 | 7,574,920 | 60,029 | 42,808 | ||||||||||
| 1,306 | 3,187 | 984 | 2,629 | ||||||||||
| — | — | 71,562 | — | ||||||||||
| 43,646 | 696,823 | 7,295 | 634,692 | ||||||||||
| — | — | — | — | ||||||||||
| — | — | — | — | ||||||||||
| — | 631,611 | — | — | ||||||||||
| 217,771,601 | 1,138,160,673 | 49,375,774 | 246,205,350 | ||||||||||
| 30,858 | 69,747 | 11,951 | 55,205 | ||||||||||
| 54,431,375 | 31,199,219 | 17,753,066 | — | ||||||||||
| 6,634,075 | 813,270 | — | — | ||||||||||
| 13,443 | 11,830 | 16,177 | 61,101 | ||||||||||
| — | — | — | — | ||||||||||
| — | 2,500 | 1,953 | — | ||||||||||
| 56,324 | 389,580 | 20,587 | 80,970 | ||||||||||
| 77,377 | 33,915 | 18,978 | — | ||||||||||
| 61,243,452 | 32,520,061 | 17,822,712 | 197,276 | ||||||||||
| 166,225,308 | 1,142,528,966 | 34,741,444 | 246,040,460 | ||||||||||
| (636) | 57,515 | — | (32,386 | ) | |||||||||
| (1,340,980) | (23,350,811 | ) | 234,763 | — | |||||||||
| (8,355,543) | (21,587,814 | ) | (3,408,992 | ) | — | ||||||||
| — | 3,773,214 | — | — | ||||||||||
| — | — | — | — | ||||||||||
| — | 4,219,542 | (14,153 | ) | — | |||||||||
| — | — | — | — | ||||||||||
| $ | 156,528,149 | $ | 1,105,640,612 | $ | 31,553,062 | $ | 246,008,074 | ||||||
| 15,450,694 | 114,930,596 | 3,278,746 | 246,008,074 | ||||||||||
| $ | 10.13 | $ | 9.62 | $ | 9.62 | $ | 1.00 | ||||||
| a | Securities held by this fund are valued on the basis of amortized cost, which approximates market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
315
Table of Contents
Statement of Operations
For the year ended December 31, 2009 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 242,798 | $ | 538,177 | $ | 505,231 | $ | 226,501 | ||||||||
Interest | 272,148 | 2,499,071 | 5,931,375 | 3,238,842 | ||||||||||||
Income from securities loaned | — | — | — | — | ||||||||||||
Income from affiliated investments | 5,671,961 | 38,022,619 | 64,247,669 | 27,561,588 | ||||||||||||
Foreign dividend tax withholding | (993 | ) | (2,246 | ) | (2,246 | ) | (1,088 | ) | ||||||||
Total Investment Income | 6,185,914 | 41,057,621 | 70,682,029 | 31,025,843 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 796,211 | 2,629,897 | 3,434,610 | 1,503,065 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 161,015 | 394,364 | 501,778 | 251,305 | ||||||||||||
Audit and legal fees | 23,889 | 46,925 | 57,438 | 32,180 | ||||||||||||
Custody fees | 23,308 | 27,437 | 31,419 | 29,371 | ||||||||||||
Insurance expenses | 6,640 | 15,451 | 19,486 | 10,047 | ||||||||||||
Printing and postage expenses | 17,644 | 38,858 | 35,506 | 12,813 | ||||||||||||
Directors’ fees | 5,513 | 7,133 | 8,146 | 6,402 | ||||||||||||
Other expenses | 6,973 | 8,874 | 9,406 | 7,946 | ||||||||||||
Total Expenses Before Reimbursement | 1,041,193 | 3,168,939 | 4,097,789 | 1,853,129 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (91,902 | ) | — | — | — | |||||||||||
Custody earnings credit | (2 | ) | (8 | ) | (21 | ) | (4 | ) | ||||||||
Total Net Expenses | 949,289 | 3,168,931 | 4,097,768 | 1,853,125 | ||||||||||||
Net Investment Income/(Loss) | 5,236,625 | 37,888,690 | 66,584,261 | 29,172,718 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 385,332 | 515,027 | 491,956 | 464,387 | ||||||||||||
Affiliated investments | (6,517,688 | ) | (9,000,165 | ) | (1,088,347 | ) | 2,843,125 | |||||||||
Distributions of realized capital gains from affiliated investments | 2,589,684 | 13,582,085 | 13,503,661 | 3,270,445 | ||||||||||||
Futures contracts | 10,325,512 | 45,730,525 | 67,613,264 | 23,098,053 | ||||||||||||
Foreign currency transactions | (156 | ) | (234 | ) | (195 | ) | (78 | ) | ||||||||
Swap agreements | (33,167 | ) | (395,959 | ) | (488,772 | ) | (145,519 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 4,958,969 | 11,399,136 | 14,496,226 | 8,386,636 | ||||||||||||
Affiliated investments | 97,649,515 | 333,796,428 | 364,893,770 | 115,237,609 | ||||||||||||
Futures contracts | 328,892 | (361,105 | ) | (1,567,028 | ) | (722,629 | ) | |||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Swap agreements | (128,858 | ) | (1,508,131 | ) | (1,870,736 | ) | (555,798 | ) | ||||||||
Net Realized and Unrealized Gains/(Losses) | 109,558,035 | 393,757,607 | 455,983,799 | 151,876,231 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 114,794,660 | $ | 431,646,297 | $ | 522,568,060 | $ | 181,048,949 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
316
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Partner Technology Portfolio | Partner Healthcare Portfolio | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | ||||||||||||||||||||
| $ | 121,690 | $ | 166,373 | $ | 172,028 | $ | 212,154 | $ | 7,737,737 | $ | 197,214 | $ | 562,691 | |||||||||||||
| 191 | — | 679 | 27 | 181,842 | — | 8,603 | ||||||||||||||||||||
| 20,142 | — | — | — | 179,843 | — | 186,948 | ||||||||||||||||||||
| 5,965 | 2,185 | 5,115 | 380 | 21,234 | 1,501 | 29,009 | ||||||||||||||||||||
| (3,340 | ) | (8,381 | ) | (7,330 | ) | (17,528 | ) | (13,133 | ) | (4,139 | ) | (676 | ) | |||||||||||||
| 144,648 | 160,177 | 170,492 | 195,033 | 8,107,523 | 194,576 | 786,575 | ||||||||||||||||||||
| 134,330 | 30,391 | 38,007 | 31,716 | 1,532,404 | 15,244 | 601,223 | ||||||||||||||||||||
| 62,793 | 65,848 | 57,010 | 71,060 | — | 22,866 | 655,020 | ||||||||||||||||||||
| 85,256 | 82,026 | 82,533 | 81,713 | 118,310 | 81,016 | 105,125 | ||||||||||||||||||||
| 16,684 | 15,887 | 15,875 | 18,712 | 20,171 | 15,817 | 18,318 | ||||||||||||||||||||
| 4,925 | 4,535 | 5,316 | 28,316 | 13,203 | 6,110 | 20,643 | ||||||||||||||||||||
| 3,769 | 3,582 | 3,578 | 3,562 | 5,014 | 3,550 | 4,497 | ||||||||||||||||||||
| 4,920 | 169 | 193 | 88 | 14,811 | 62 | 4,818 | ||||||||||||||||||||
| 4,936 | 4,024 | 4,024 | 4,024 | 14,969 | 4,023 | 10,245 | ||||||||||||||||||||
| 5,947 | 6,473 | 9,436 | 9,651 | 8,132 | 8,657 | 7,323 | ||||||||||||||||||||
| 323,560 | 212,935 | 215,972 | 248,842 | 1,727,014 | 157,345 | 1,427,212 | ||||||||||||||||||||
| (4,062 | ) | (72,123 | ) | (65,064 | ) | (120,372 | ) | (20,939 | ) | (111,507 | ) | (149,115 | ) | |||||||||||||
| — | — | (149 | ) | — | (1 | ) | (106 | ) | (1 | ) | ||||||||||||||||
| 319,498 | 140,812 | 150,759 | 128,470 | 1,706,074 | 45,732 | 1,278,096 | ||||||||||||||||||||
| (174,850 | ) | 19,365 | 19,733 | 66,563 | 6,401,449 | 148,844 | (491,521 | ) | ||||||||||||||||||
| 1,526,633 | 392,174 | (165,054 | ) | (525,692 | ) | (18,106,885 | ) | (241,409 | ) | (12,388,498 | ) | |||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| (157,196 | ) | — | — | — | — | — | 1,314,989 | |||||||||||||||||||
| (1,572 | ) | 208 | (2,353 | ) | (2,847 | ) | — | (658 | ) | — | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 10,534,837 | 2,043,003 | 4,710,612 | 4,793,270 | 67,918,976 | 804,726 | 51,310,664 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | (541,568 | ) | |||||||||||||||||||
| — | — | 2,272 | 429 | — | 55 | — | ||||||||||||||||||||
| — | 883 | (1,942 | ) | 408 | 318 | 230 | — | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 11,902,702 | 2,436,268 | 4,543,535 | 4,265,568 | 49,812,409 | 562,944 | 39,695,587 | ||||||||||||||||||||
| $ | 11,727,852 | $ | 2,455,633 | $ | 4,563,268 | $ | 4,332,131 | $ | 56,213,858 | $ | 711,788 | $ | 39,204,066 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
317
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2009 | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 3,010,619 | $ | 3,646,793 | $ | 2,284,736 | $ | 529,473 | ||||||||
Interest | 2,795 | 20,654 | 6,355 | 1,818 | ||||||||||||
Income from securities loaned | 90,497 | 257,820 | 259,843 | 82,252 | ||||||||||||
Income from affiliated investments | 10,537 | 20,124 | 5,751 | 14,505 | ||||||||||||
Foreign dividend tax withholding | (2,012 | ) | (8,906 | ) | (574 | ) | (2,518 | ) | ||||||||
Total Investment Income | 3,112,436 | 3,936,485 | 2,556,111 | 625,530 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 355,802 | 1,888,772 | 631,833 | 888,391 | ||||||||||||
Sub-Adviser fees | 1,067,406 | — | — | — | ||||||||||||
Administrative service fees | 115,580 | 135,039 | 116,105 | 99,742 | ||||||||||||
Audit and legal fees | 19,550 | 22,318 | 20,158 | 17,581 | ||||||||||||
Custody fees | 8,935 | 63,383 | 41,983 | 10,048 | ||||||||||||
Insurance expenses | 4,790 | 5,904 | 5,114 | 4,127 | ||||||||||||
Printing and postage expenses | 8,683 | 13,315 | 16,439 | 2,404 | ||||||||||||
Directors' fees | 13,159 | 19,429 | 16,820 | 7,264 | ||||||||||||
Other expenses | 7,818 | 10,767 | 14,127 | 6,369 | ||||||||||||
Total Expenses Before Reimbursement | 1,601,723 | 2,158,927 | 862,579 | 1,035,926 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (12,265 | ) | (11,053 | ) | (5,831 | ) | (361,949 | ) | ||||||||
Custody earnings credit | (2 | ) | (5 | ) | — | (20 | ) | |||||||||
Total Net Expenses | 1,589,456 | 2,147,869 | 856,748 | 673,957 | ||||||||||||
Net Investment Income/(Loss) | 1,522,980 | 1,788,616 | 1,699,363 | (48,427 | ) | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | (11,700,065 | ) | (17,741,330 | ) | (5,932,437 | ) | 3,074,088 | |||||||||
In-kind redemptions | — | 9,285,195 | — | — | ||||||||||||
Futures contracts | — | 1,538,470 | 1,203,307 | — | ||||||||||||
Foreign currency transactions | (4,521 | ) | 1,328 | — | — | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 59,656,759 | 53,296,558 | 43,873,573 | 36,378,132 | ||||||||||||
Futures contracts | — | — | 10,046 | — | ||||||||||||
Foreign currency forward contracts | — | (5,249 | ) | — | — | |||||||||||
Foreign currency transactions | — | 4,653 | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 47,952,173 | 46,379,625 | 39,154,489 | 39,452,220 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 49,475,153 | $ | 48,168,241 | $ | 40,853,852 | $ | 39,403,793 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
318
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | ||||||||||||||||||||
| $ | 2,188,246 | $ | 3,132,574 | $ | 5,135,983 | $ | 1,267,130 | $ | 3,881,090 | $ | 25,949,289 | $ | 49,379 | |||||||||||||
| 13,054 | 1,374 | 19,286 | 1,364 | 1,234,245 | 4,685 | — | ||||||||||||||||||||
| 187,723 | 41,869 | 212,678 | 70,681 | — | 515,273 | — | ||||||||||||||||||||
| 23,804 | 12,908 | 17,758 | 3,952 | 40,269 | 78,710 | 254 | ||||||||||||||||||||
| (5,708 | ) | (170 | ) | — | — | (329,414 | ) | (2,317,752 | ) | (821 | ) | |||||||||||||||
| 2,407,119 | 3,188,555 | 5,385,705 | 1,343,127 | 4,826,190 | 24,230,205 | 48,812 | ||||||||||||||||||||
| 1,243,148 | 357,401 | 2,835,161 | 267,465 | 608,682 | 3,539,382 | 10,506 | ||||||||||||||||||||
| — | 688,698 | — | — | 834,566 | 2,881,588 | 17,510 | ||||||||||||||||||||
| 142,157 | 107,896 | 164,159 | 95,284 | 112,073 | 234,274 | 80,700 | ||||||||||||||||||||
| 22,012 | 18,535 | 24,396 | 17,461 | 20,999 | 33,180 | 17,094 | ||||||||||||||||||||
| 19,267 | 25,333 | 23,106 | 23,990 | 273,876 | 205,915 | 3,071 | ||||||||||||||||||||
| 6,272 | 4,471 | 6,697 | 4,189 | 4,380 | 10,260 | 3,541 | ||||||||||||||||||||
| 30,393 | 1,695 | 12,107 | 9,527 | 182 | 39,830 | 9 | ||||||||||||||||||||
| 22,892 | 10,228 | 24,483 | 5,603 | 9,165 | 46,186 | 4,022 | ||||||||||||||||||||
| 9,497 | 6,850 | 8,979 | 10,474 | 52,756 | 41,666 | 5,701 | ||||||||||||||||||||
| 1,495,638 | 1,221,107 | 3,099,088 | 433,993 | 1,916,679 | 7,032,281 | 142,154 | ||||||||||||||||||||
| (10,850 | ) | (12,628 | ) | (14,193 | ) | (3,241 | ) | (313,694 | ) | (485,689 | ) | (107,835 | ) | |||||||||||||
| (13 | ) | (2 | ) | (22 | ) | — | (47 | ) | (6 | ) | — | |||||||||||||||
| 1,484,775 | 1,208,477 | 3,084,873 | 430,752 | 1,602,938 | 6,546,586 | 34,319 | ||||||||||||||||||||
| 922,344 | 1,980,078 | 2,300,832 | 912,375 | 3,223,252 | 17,683,619 | 14,493 | ||||||||||||||||||||
| (32,463,158 | ) | (15,137,528 | ) | (24,251,709 | ) | (1,977,590 | ) | (4,774,551 | ) | (121,385,620 | ) | (321,107 | ) | |||||||||||||
| — | — | 15,204,769 | — | — | — | — | ||||||||||||||||||||
| — | — | — | 371,836 | 1,448,911 | — | — | ||||||||||||||||||||
| — | — | — | — | (184,500 | ) | (362,745 | ) | — | ||||||||||||||||||
| 159,600,719 | 54,456,720 | 149,325,178 | 24,790,837 | 49,681,138 | 278,595,511 | 1,399,369 | ||||||||||||||||||||
| — | — | — | 7,309 | (138,462 | ) | — | — | |||||||||||||||||||
| — | — | — | — | 36,412 | 554 | — | ||||||||||||||||||||
| — | — | — | — | 2,433 | 24,442 | — | ||||||||||||||||||||
| 127,137,561 | 39,319,192 | 140,278,238 | 23,192,392 | 46,071,381 | 156,872,142 | 1,078,262 | ||||||||||||||||||||
| $ | 128,059,905 | $ | 41,299,270 | $ | 142,579,070 | $ | 24,104,767 | $ | 49,294,633 | $ | 174,555,761 | $ | 1,092,755 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
319
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2009 | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 35,368 | $ | 74,693 | $ | 992,328 | $ | 4,135,841 | ||||||||
Interest | — | — | 86 | 10,033 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | — | — | 7,410 | 42,813 | ||||||||||||
Income from affiliated investments | 373 | 583 | 1,943 | 32,742 | ||||||||||||
Foreign dividend tax withholding | (351 | ) | (342 | ) | (207 | ) | (56,841 | ) | ||||||||
Total Investment Income | 35,390 | 74,934 | 1,001,560 | 4,164,588 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 12,505 | 10,034 | 194,770 | 2,682,731 | ||||||||||||
Sub-Adviser fees | 27,095 | 15,050 | 333,893 | — | ||||||||||||
Administrative service fees | 80,833 | 80,668 | 91,130 | 147,068 | ||||||||||||
Audit and legal fees | 17,078 | 16,804 | 17,012 | 22,824 | ||||||||||||
Custody fees | 6,815 | 20,187 | 34,279 | 40,180 | ||||||||||||
Insurance expenses | 3,537 | 3,535 | 4,028 | 5,761 | ||||||||||||
Printing and postage expenses | 22 | 16 | 5,429 | 2,215 | ||||||||||||
Directors’ fees | 4,024 | 4,024 | 4,787 | 17,204 | ||||||||||||
Other expenses | 6,199 | 5,779 | 6,667 | 6,556 | ||||||||||||
Total Expenses Before Reimbursement | 158,108 | 156,097 | 691,995 | 2,924,539 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (116,424 | ) | (123,321 | ) | (113,346 | ) | (1,004,866 | ) | ||||||||
Custody earnings credit | — | — | — | (78 | ) | |||||||||||
Total Net Expenses | 41,684 | 32,776 | 578,649 | 1,919,595 | ||||||||||||
Net Investment Income/(Loss) | (6,294 | ) | 42,158 | 422,911 | 2,244,993 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | (435,801 | ) | (269,441 | ) | (2,362,387 | ) | 36,937,110 | |||||||||
In-kind redemptions | — | — | — | 11,203,378 | ||||||||||||
Written option contracts | — | 577 | — | (95,893 | ) | |||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | (73 | ) | — | — | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 2,145,133 | 1,305,621 | 15,986,057 | 65,861,072 | ||||||||||||
Written option contracts | — | — | — | (2,234 | ) | |||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
| Net Realized and Unrealized Gains/(Losses) | 1,709,332 | 1,036,684 | 13,623,670 | 113,903,433 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | �� | $ | 1,703,038 | $ | 1,078,842 | $ | 14,046,581 | $ | 116,148,426 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
320
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | ||||||||||||||||||||
| $ | 11,125,130 | $ | 544,631 | $ | 16,108,644 | $ | 8,862,110 | $ | 7,203,624 | $ | 1,300,237 | $ | 4,133,729 | |||||||||||||
| 32,044 | 14 | 19,440 | 60,473 | 7,550 | 29,621 | 2,829,444 | ||||||||||||||||||||
| — | — | — | — | — | — | 774,589 | ||||||||||||||||||||
| 154,370 | 3,655 | 124,203 | 72,268 | 197,963 | — | 142,878 | ||||||||||||||||||||
| 28,116 | 3,970 | 26,462 | 61,692 | 8,521 | 23,915 | 20,111 | ||||||||||||||||||||
| (150,401 | ) | (10,635 | ) | (73,270 | ) | (58,101 | ) | — | (7,688 | ) | — | |||||||||||||||
| 11,189,259 | 541,635 | 16,205,479 | 8,998,442 | 7,417,658 | 1,346,085 | 7,900,751 | ||||||||||||||||||||
| 3,597,706 | 217,822 | 4,012,409 | 3,341,104 | 1,042,509 | 283,386 | 918,460 | ||||||||||||||||||||
| — | 217,822 | — | — | — | — | — | ||||||||||||||||||||
| 259,885 | 90,891 | 213,747 | 183,663 | 141,179 | 88,720 | 132,959 | ||||||||||||||||||||
| 34,927 | 16,929 | 30,600 | 26,938 | 23,100 | 16,377 | 22,186 | ||||||||||||||||||||
| 47,228 | 24,455 | 29,764 | 53,804 | 39,634 | 27,113 | 33,055 | ||||||||||||||||||||
| 12,666 | 4,022 | 9,022 | 8,180 | 6,323 | 3,782 | 5,962 | ||||||||||||||||||||
| 47,321 | 5,554 | 21,810 | 18,330 | 21,328 | 30 | 11,651 | ||||||||||||||||||||
| 66,722 | 4,994 | 38,323 | 32,595 | 25,613 | 4,235 | 23,787 | ||||||||||||||||||||
| 16,686 | 7,413 | 11,074 | 11,524 | 13,951 | 7,881 | 23,990 | ||||||||||||||||||||
| 4,083,141 | 589,902 | 4,366,749 | 3,676,138 | 1,313,637 | 431,524 | 1,172,050 | ||||||||||||||||||||
| (11,763 | ) | (56,320 | ) | (12,895 | ) | (33,221 | ) | (6,931 | ) | (60,835 | ) | (12,470 | ) | |||||||||||||
| (19 | ) | — | (14 | ) | (11 | ) | (14 | ) | (108 | ) | (7 | ) | ||||||||||||||
| 4,071,359 | 533,582 | 4,353,840 | 3,642,906 | 1,306,692 | 370,581 | 1,159,573 | ||||||||||||||||||||
| 7,117,900 | 8,053 | 11,851,639 | 5,355,536 | 6,110,966 | 975,504 | 6,741,178 | ||||||||||||||||||||
| (43,664,466 | ) | (6,419,955 | ) | (145,046,680 | ) | (76,773,122 | ) | (13,661,106 | ) | (3,216,532 | ) | 2,868,967 | ||||||||||||||
| — | — | 14,189,850 | — | — | — | — | ||||||||||||||||||||
| 37,235 | — | — | (744,233 | ) | — | (21,091 | ) | — | ||||||||||||||||||
| — | — | — | 16,092,527 | 998,757 | 1,152,390 | 633,443 | ||||||||||||||||||||
| — | (83 | ) | — | — | — | — | — | |||||||||||||||||||
| 350,254,598 | 25,925,085 | 260,863,957 | 185,076,855 | 77,447,741 | 8,488,151 | 41,016,335 | ||||||||||||||||||||
| (5,235 | ) | — | — | 76,331 | — | 7,684 | — | |||||||||||||||||||
| — | — | — | 899,540 | 22,840 | (55,175 | ) | (27,070 | ) | ||||||||||||||||||
| — | 735 | — | — | — | — | — | ||||||||||||||||||||
| 306,622,132 | 19,505,782 | 130,007,127 | 124,627,898 | 64,808,232 | 6,355,427 | 44,491,675 | ||||||||||||||||||||
| $ | 313,740,032 | $ | 19,513,835 | $ | 141,858,766 | $ | 129,983,434 | $ | 70,919,198 | $ | 7,330,931 | $ | 51,232,853 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
321
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2009 | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 796,538 | $ | 725,411 | $ | — | $ | 10,411 | ||||||||
Interest | 65,185,303 | 5,188,376 | 317,084 | 66,858,166 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | 2,630,368 | ||||||||||||
Income from securities loaned | 278,238 | 12,576 | — | 95,456 | ||||||||||||
Income from affiliated investments | 22,666 | 11,365 | 3,190 | 1,151,847 | ||||||||||||
Foreign dividend tax withholding | — | (4,334 | ) | — | — | |||||||||||
Total Investment Income | 66,282,745 | 5,933,394 | 320,274 | 70,746,248 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 2,722,957 | 308,604 | 19,818 | 4,594,590 | ||||||||||||
Sub-Adviser fees | — | — | 26,424 | — | ||||||||||||
Administrative service fees | 216,148 | 95,430 | 81,321 | 309,730 | ||||||||||||
Audit and legal fees | 29,504 | 17,460 | 17,181 | 40,951 | ||||||||||||
Custody fees | 25,246 | 24,275 | 4,803 | 37,363 | ||||||||||||
Insurance expenses | 9,209 | 4,199 | 3,572 | 13,355 | ||||||||||||
Printing and postage expenses | 33,541 | 6,498 | 8 | 28,434 | ||||||||||||
Directors’ fees | 40,988 | 5,383 | 4,023 | 61,579 | ||||||||||||
Other expenses | 24,682 | 20,500 | 8,948 | 31,885 | ||||||||||||
Total Expenses Before Reimbursement | 3,102,275 | 482,349 | 166,098 | 5,117,887 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (9,560 | ) | (13,623 | ) | (121,173 | ) | (66,788 | ) | ||||||||
Custody earnings credit | (51 | ) | (6 | ) | (4 | ) | (6 | ) | ||||||||
Total Net Expenses | 3,092,664 | 468,720 | 44,921 | 5,051,093 | ||||||||||||
Net Investment Income/(Loss) | 63,190,081 | 5,464,674 | 275,353 | 65,695,155 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | (37,539,029 | ) | (5,419,044 | ) | 119,659 | (21,813,570 | ) | |||||||||
Written option contracts | — | (32,257 | ) | — | — | |||||||||||
Futures contracts | — | 558,346 | (35,228 | ) | (9,419,864 | ) | ||||||||||
Swap agreements | (1,788,912 | ) | (22,068 | ) | — | (10,002,259 | ) | |||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 220,354,199 | 21,759,610 | 336,845 | 181,939,511 | ||||||||||||
Affiliated investments | — | — | — | 4,010,611 | ||||||||||||
Written option contracts | — | 4,680 | — | — | ||||||||||||
Futures contracts | — | (119,678 | ) | (4,452 | ) | 6,469,831 | ||||||||||
Swap agreements | 1,181,418 | (221,296 | ) | — | 5,595,892 | |||||||||||
Net Realized and Unrealized Gains/(Losses) | 182,207,676 | 16,508,293 | 416,824 | 156,780,152 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting | ||||||||||||||||
From Operations | $ | 245,397,757 | $ | 21,972,967 | $ | 692,177 | $ | 222,475,307 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
322
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||
| $ | — | $ | 168,505 | $ | — | $ | 34,040 | |||||||
| 4,796,460 | 43,205,308 | 1,085,685 | 5,022,992 | |||||||||||
| 1,892,483 | 1,168,942 | 665,015 | — | |||||||||||
| 25,241 | 145,001 | — | — | |||||||||||
| 27,059 | 1,166,738 | 4 | — | |||||||||||
| — | — | — | — | |||||||||||
| 6,741,243 | 45,854,494 | 1,750,704 | 5,057,032 | |||||||||||
| 556,154 | 3,925,706 | 156,433 | 2,355,594 | |||||||||||
| — | — | — | — | |||||||||||
| 111,780 | 276,285 | 86,257 | 197,780 | |||||||||||
| 19,749 | 36,991 | 16,534 | 31,359 | |||||||||||
| 16,405 | 38,409 | 9,779 | 22,774 | |||||||||||
| 5,037 | 11,855 | 3,816 | 224,311 | |||||||||||
| 9,928 | 14,156 | 3,770 | 12,261 | |||||||||||
| 14,634 | 50,784 | 4,816 | 37,001 | |||||||||||
| 17,526 | 25,361 | 7,036 | 11,655 | |||||||||||
| 751,213 | 4,379,547 | 288,441 | 2,892,735 | |||||||||||
| (15,248 | ) | (63,325 | ) | (3 | ) | (608,993 | ) | |||||||
| (206 | ) | (6 | ) | (106 | ) | (4 | ) | |||||||
| 735,759 | 4,316,216 | 288,332 | 2,283,738 | |||||||||||
| 6,005,484 | 41,538,278 | 1,462,372 | 2,773,294 | |||||||||||
| 3,014,854 | 7,714,939 | 777,530 | 92,385 | |||||||||||
| — | 317,468 | 4,016 | — | |||||||||||
| — | (8,484,392 | ) | 27,380 | — | ||||||||||
| — | (3,469,608 | ) | — | — | ||||||||||
| 3,482,736 | 73,595,299 | 1,464,607 | — | |||||||||||
| — | 3,773,214 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | 10,882,890 | (48,669 | ) | — | ||||||||||
| — | 2,057,838 | — | — | |||||||||||
| 6,497,590 | 86,387,648 | 2,224,864 | 92,385 | |||||||||||
| $ | 12,503,074 | $ | 127,925,926 | $ | 3,687,236 | $ | 2,865,679 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
323
Table of Contents
Statement of Changes in Net Assets
For the periods ended | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | ||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 5,236,625 | $ | 10,946,873 | $ | 37,888,690 | $ | 55,524,816 | ||||||||
Net realized gains/(losses) | 6,749,517 | 6,743,183 | 50,431,279 | 3,500,384 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 102,808,518 | (217,861,605 | ) | 343,326,328 | (710,280,244 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 114,794,660 | (200,171,549 | ) | 431,646,297 | (651,255,044 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (18,135,548 | ) | (6,895,956 | ) | (77,679,068 | ) | (33,855,722 | ) | ||||||||
From net realized gains | (160,158 | ) | (11,712,072 | ) | — | (33,582,044 | ) | |||||||||
Total Distributions to Shareholders | (18,295,706 | ) | (18,608,028 | ) | (77,679,068 | ) | (67,437,766 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 62,333,686 | 96,905,699 | 262,244,472 | 305,758,512 | ||||||||||||
Distributions reinvested | 18,295,706 | 18,608,028 | 77,679,068 | 67,437,766 | ||||||||||||
Redeemed | (33,861,667 | ) | (38,848,508 | ) | (65,488,124 | ) | (80,759,724 | ) | ||||||||
Capital Stock Transactions | 46,767,725 | 76,665,219 | 274,435,416 | 292,436,554 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 143,266,679 | (142,114,358 | ) | 628,402,645 | (426,256,256 | ) | ||||||||||
Net Assets, Beginning of Period | 354,309,920 | 496,424,278 | 1,354,565,116 | 1,780,821,372 | ||||||||||||
Net Assets, End of Period | $ | 497,576,599 | $ | 354,309,920 | $ | 1,982,967,761 | $ | 1,354,565,116 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 7,745,159 | $ | 18,195,152 | $ | 50,399,667 | $ | 78,086,145 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 6,919,123 | 8,287,460 | 27,844,433 | 26,380,154 | ||||||||||||
Distributions reinvested | 1,859,131 | 1,517,412 | 7,812,123 | 5,684,906 | ||||||||||||
Redeemed | (3,766,744 | ) | (3,386,481 | ) | (7,416,567 | ) | (7,372,833 | ) | ||||||||
Total Capital Stock Share Transactions | 5,011,510 | 6,418,391 | 28,239,989 | 24,692,227 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
324
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | |||||||||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 (a) | |||||||||||||||||||||||
| $ | 66,584,261 | $ | 82,995,454 | $ | 29,172,718 | $ | 32,491,728 | $ | (174,850 | ) | $ | (4,856 | ) | $ | 19,365 | $ | (3,260 | ) | ||||||||||||
| 80,031,567 | (14,343,786 | ) | 29,530,413 | (3,929,188 | ) | 1,367,865 | (15,125,436 | ) | 392,382 | (120,790 | ) | |||||||||||||||||||
| 375,952,232 | (744,254,686 | ) | 122,345,818 | (211,313,361 | ) | 10,534,837 | (10,146,791 | ) | 2,043,886 | (540,306 | ) | |||||||||||||||||||
| 522,568,060 | (675,603,018 | ) | 181,048,949 | (182,750,821 | ) | 11,727,852 | (25,277,083 | ) | 2,455,633 | (664,356 | ) | |||||||||||||||||||
| (103,104,758 | ) | (52,371,012 | ) | (36,683,505 | ) | (21,495,292 | ) | — | — | (1,353 | ) | (5,750 | ) | |||||||||||||||||
| — | (32,531,242 | ) | — | (6,930,728 | ) | — | (6,532,649 | ) | — | — | ||||||||||||||||||||
| (103,104,758 | ) | (84,902,254 | ) | (36,683,505 | ) | (28,426,020 | ) | — | (6,532,649 | ) | (1,353 | ) | (5,750 | ) | ||||||||||||||||
| 420,024,727 | 441,267,971 | 229,376,369 | 217,799,157 | 4,164,161 | 14,361,328 | 5,875,845 | 13,723,313 | |||||||||||||||||||||||
| 103,104,758 | 84,902,254 | 36,683,505 | 28,426,020 | — | 6,532,649 | 1,353 | 5,750 | |||||||||||||||||||||||
| (95,625,567 | ) | (122,966,627 | ) | (49,801,447 | ) | (77,240,026 | ) | (9,260,649 | ) | (21,405,970 | ) | (2,167,917 | ) | (5,923,559 | ) | |||||||||||||||
| 427,503,918 | 403,203,598 | 216,258,427 | 168,985,151 | (5,096,488 | ) | (511,993 | ) | 3,709,281 | 7,805,504 | |||||||||||||||||||||
| 846,967,220 | (357,301,674 | ) | 360,623,871 | (42,191,690 | ) | 6,631,364 | (32,321,725 | ) | 6,163,561 | 7,135,398 | ||||||||||||||||||||
| 1,811,558,413 | 2,168,860,087 | 714,755,880 | 756,947,570 | 24,317,266 | 56,638,991 | 7,135,398 | — | |||||||||||||||||||||||
| $ | 2,658,525,633 | $ | 1,811,558,413 | $ | 1,075,379,751 | $ | 714,755,880 | $ | 30,948,630 | $ | 24,317,266 | $ | 13,298,959 | $ | 7,135,398 | |||||||||||||||
| $ | 77,589,357 | $ | 103,629,794 | $ | 31,490,233 | $ | 36,822,581 | $ | (7,896 | ) | $ | (5,298 | ) | $ | 18,891 | $ | 671 | |||||||||||||
| 43,010,345 | 38,318,715 | 22,979,021 | 19,393,557 | 906,480 | 2,324,976 | 631,405 | 1,368,023 | |||||||||||||||||||||||
| 10,186,103 | 7,376,967 | 3,557,016 | 2,556,274 | — | 1,107,867 | 142 | 643 | |||||||||||||||||||||||
| (10,558,694 | ) | (11,781,195 | ) | (5,101,337 | ) | (7,494,597 | ) | (2,159,106 | ) | (3,612,354 | ) | (228,457 | ) | (570,951 | ) | |||||||||||||||
| 42,637,754 | 33,914,487 | 21,434,700 | 14,455,234 | (1,252,626 | ) | (179,511 | ) | 403,090 | 797,715 | |||||||||||||||||||||
| (a) | For the period from April 30, 2008 (inception) through December 31, 2008. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
325
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
For the periods ended | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | ||||||||||||||
| 12/31/2009 | 12/31/2008(a) | 12/31/2009 | 12/31/2008(a) | |||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 19,733 | $ | 10,699 | $ | 66,563 | $ | 60,471 | ||||||||
Net realized gains/(losses) | (167,407 | ) | (79,605 | ) | (528,539 | ) | (344,349 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) | 4,710,942 | (4,285,834 | ) | 4,794,107 | (3,992,065 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 4,563,268 | (4,354,740 | ) | 4,332,131 | (4,275,943 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | — | (8,150 | ) | (76,466 | ) | (49,300 | ) | |||||||||
From net realized gains | — | — | — | — | ||||||||||||
From return of capital | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | — | (8,150 | ) | (76,466 | ) | (49,300 | ) | |||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 12,737,918 | 18,271,675 | 12,684,986 | 14,221,039 | ||||||||||||
Distributions reinvested | — | 8,150 | 76,466 | 49,300 | ||||||||||||
Redeemed | (2,763,376 | ) | (7,322,903 | ) | (4,919,497 | ) | (4,615,831 | ) | ||||||||
Capital Stock Transactions | 9,974,542 | 10,956,922 | 7,841,955 | 9,654,508 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 14,537,810 | 6,594,032 | 12,097,620 | 5,329,265 | ||||||||||||
Net Assets, Beginning of Period | 6,594,032 | — | 5,329,265 | — | ||||||||||||
Net Assets, End of Period | $ | 21,131,842 | $ | 6,594,032 | $ | 17,426,885 | $ | 5,329,265 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 16,506 | $ | (874 | ) | $ | (13,235 | ) | $ | (485 | ) | |||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,837,899 | 1,877,037 | 1,543,971 | 1,492,935 | ||||||||||||
Distributions reinvested | — | 1,424 | 7,887 | 8,820 | ||||||||||||
Redeemed | (421,288 | ) | (726,539 | ) | (712,596 | ) | (548,303 | ) | ||||||||
Total Capital Stock Share Transactions | 1,416,611 | 1,151,922 | 839,262 | 953,452 | ||||||||||||
| (a) | For the period from April 30, 2008 (inception) through December 31, 2008. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
326
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | |||||||||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008(a) | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||||||
| $ | 6,401,449 | $ | 8,442,766 | $ | 148,844 | $ | 74,681 | $ | (491,521 | ) | $ | 123,135 | $ | 1,522,980 | $ | 2,047,203 | ||||||||||||||
| (18,106,885 | ) | (7,116,231 | ) | (242,067 | ) | (435,251 | ) | (11,073,509 | ) | (51,544,571 | ) | (11,704,586 | ) | 6,100,805 | ||||||||||||||||
| 67,919,294 | (121,962,655 | ) | 805,011 | (1,124,314 | ) | 50,769,096 | (31,775,286 | ) | 59,656,759 | (72,429,819 | ) | |||||||||||||||||||
| 56,213,858 | (120,636,120 | ) | 711,788 | (1,484,884 | ) | 39,204,066 | (83,196,722 | ) | 49,475,153 | (64,281,811 | ) | |||||||||||||||||||
| (6,291,795 | ) | (14,566,225 | ) | — | (70,001 | ) | (111,079 | ) | (14,000 | ) | (1,581,418 | ) | (2,545,338 | ) | ||||||||||||||||
| — | (28,080,349 | ) | — | — | — | (10,509,420 | ) | (159,744 | ) | (16,838,215 | ) | |||||||||||||||||||
| (2,508,205 | ) | (5,059,614 | ) | — | — | — | — | — | — | |||||||||||||||||||||
| (8,800,000 | ) | (47,706,188 | ) | — | (70,001 | ) | (111,079 | ) | (10,523,420 | ) | (1,741,162 | ) | (19,383,553 | ) | ||||||||||||||||
| 37,489,864 | 69,004,871 | 2,724,661 | 11,290,054 | 16,165,667 | 45,652,970 | 23,552,161 | 84,134,259 | |||||||||||||||||||||||
| 8,800,000 | 47,706,188 | — | 70,001 | 111,079 | 10,523,420 | 1,741,162 | 19,383,553 | |||||||||||||||||||||||
| (25,720,724 | ) | (77,375,670 | ) | (1,412,214 | ) | (5,453,119 | ) | (7,344,076 | ) | (17,565,263 | ) | (14,611,741 | ) | (37,539,486 | ) | |||||||||||||||
| 20,569,140 | 39,335,389 | 1,312,447 | 5,906,936 | 8,932,670 | 38,611,127 | 10,681,582 | 65,978,326 | |||||||||||||||||||||||
| 67,982,998 | (129,006,919 | ) | 2,024,235 | 4,352,051 | 48,025,657 | (55,109,015 | ) | 58,415,573 | (17,687,038 | ) | ||||||||||||||||||||
| 197,419,707 | 326,426,626 | 4,352,051 | — | 112,460,922 | 167,569,937 | 167,930,800 | 185,617,838 | |||||||||||||||||||||||
| $ | 265,402,705 | $ | 197,419,707 | $ | 6,376,286 | $ | 4,352,051 | $ | 160,486,579 | $ | 112,460,922 | $ | 226,346,373 | $ | 167,930,800 | |||||||||||||||
| $ | (23,786 | ) | $ | (14,704 | ) | $ | 147,043 | $ | (1,143 | ) | $ | (12,225 | ) | $ | 104,760 | $ | 303,244 | $ | 392,994 | |||||||||||
| 3,975,463 | 4,166,491 | 398,132 | 1,202,982 | 1,848,403 | 3,890,323 | 1,738,781 | 4,761,828 | |||||||||||||||||||||||
| 741,059 | 3,559,449 | — | 10,101 | 13,562 | 910,882 | 120,126 | 1,332,053 | |||||||||||||||||||||||
| (3,096,946 | ) | (4,997,767 | ) | (204,597 | ) | (585,102 | ) | (956,588 | ) | (1,717,371 | ) | (1,250,415 | ) | (2,242,123 | ) | |||||||||||||||
| 1,619,576 | 2,728,173 | 193,535 | 627,981 | 905,377 | 3,083,834 | 608,492 | 3,851,758 | |||||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
327
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Small Cap Stock Portfolio | Small Cap Index Portfolio | |||||||||||||||
For the periods ended | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 1,788,616 | $ | 2,456,589 | $ | 1,699,363 | $ | 3,650,741 | ||||||||
Net realized gains/(losses) | (6,916,337 | ) | (124,347,195 | ) | (4,729,130 | ) | 26,275,366 | |||||||||
Change in net unrealized appreciation/(depreciation) | 53,295,962 | (47,846,509 | ) | 43,883,619 | (125,267,802 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 48,168,241 | (169,737,115 | ) | 40,853,852 | (95,341,695 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (2,254,275 | ) | (4,048,322 | ) | (3,597,439 | ) | (3,385,779 | ) | ||||||||
From net realized gains | — | (46,096,464 | ) | (31,411,591 | ) | (58,824,685 | ) | |||||||||
Total Distributions to Shareholders | (2,254,275 | ) | (50,144,786 | ) | (35,009,030 | ) | (62,210,464 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 31,855,260 | 103,667,043 | 3,874,146 | 6,966,769 | ||||||||||||
Distributions reinvested | 2,254,275 | 50,144,786 | 35,009,030 | 62,210,464 | ||||||||||||
Redeemed | (28,326,953 | ) | (45,725,077 | ) | (33,002,127 | ) | (77,326,919 | ) | ||||||||
In-kind redemptions | (81,263,535 | ) | — | — | — | |||||||||||
Capital Stock Transactions | (75,480,953 | ) | 108,086,752 | 5,881,049 | (8,149,686 | ) | ||||||||||
Net Increase/(Decrease) in Net Assets | (29,566,987 | ) | (111,795,149 | ) | 11,725,871 | (165,701,845 | ) | |||||||||
Net Assets, Beginning of Period | 288,059,725 | 399,854,874 | 192,193,621 | 357,895,466 | ||||||||||||
Net Assets, End of Period | $ | 258,492,738 | $ | 288,059,725 | $ | 203,919,492 | $ | 192,193,621 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 87,641 | $ | 571,211 | $ | 1,674,601 | $ | 3,619,275 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 3,553,935 | 7,926,538 | 402,579 | 436,587 | ||||||||||||
Distributions reinvested | 233,373 | 4,096,169 | 4,157,496 | 4,267,480 | ||||||||||||
Redeemed | (3,399,243 | ) | (3,899,039 | ) | (3,496,648 | ) | (5,095,584 | ) | ||||||||
In-kind redemptions | (8,813,833 | ) | — | — | — | |||||||||||
Total Capital Stock Share Transactions | (8,425,768 | ) | 8,123,668 | 1,063,427 | (391,517 | ) | ||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
328
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Mid Cap Growth Portfolio II | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||||||
| $ | (48,427 | ) | $ | 109,517 | $ | 922,344 | $ | 2,770,776 | $ | 1,980,078 | $ | 1,644,483 | $ | 2,300,832 | $ | 3,331,992 | ||||||||||||||
| 3,074,088 | (2,275,305 | ) | (32,463,158 | ) | (36,950,006 | ) | (15,137,528 | ) | (26,491,608 | ) | (9,046,940 | ) | (110,131,447 | ) | ||||||||||||||||
| 36,378,132 | (21,214,625 | ) | 159,600,719 | (216,054,842 | ) | 54,456,720 | (37,787,729 | ) | 149,325,178 | (127,005,637 | ) | |||||||||||||||||||
| 39,403,793 | (23,380,413 | ) | 128,059,905 | (250,234,072 | ) | 41,299,270 | (62,634,854 | ) | 142,579,070 | (233,805,092 | ) | |||||||||||||||||||
| (1,858 | ) | (179,857 | ) | (53,590 | ) | (5,290,257 | ) | (1,544,209 | ) | (2,140,821 | ) | (2,265,664 | ) | (5,709,119 | ) | |||||||||||||||
| — | (5,096,454 | ) | — | (105,080,869 | ) | — | (3,977,150 | ) | — | (35,581,789 | ) | |||||||||||||||||||
| (1,858 | ) | (5,276,311 | ) | (53,590 | ) | (110,371,126 | ) | (1,544,209 | ) | (6,117,971 | ) | (2,265,664 | ) | (41,290,908 | ) | |||||||||||||||
| 11,002,912 | 79,643,955 | 9,597,955 | 33,072,691 | 24,284,192 | 105,815,967 | 44,812,008 | 271,252,543 | |||||||||||||||||||||||
| 1,858 | 5,276,311 | 53,590 | 110,371,126 | 1,544,209 | 6,117,971 | 2,265,664 | 41,290,908 | |||||||||||||||||||||||
| (5,335,093 | ) | (7,938,547 | ) | (47,544,157 | ) | (177,573,481 | ) | (5,216,249 | ) | (14,864,298 | ) | (28,894,369 | ) | (45,510,935 | ) | |||||||||||||||
| — | — | — | — | — | — | (94,857,255 | ) | — | ||||||||||||||||||||||
| 5,669,677 | 76,981,719 | (37,892,612 | ) | (34,129,664 | ) | 20,612,152 | 97,069,640 | (76,673,952 | ) | 267,032,516 | ||||||||||||||||||||
| 45,071,612 | 48,324,995 | 90,113,703 | (394,734,862 | ) | 60,367,213 | 28,316,815 | 63,639,454 | (8,063,484 | ) | |||||||||||||||||||||
| 80,770,879 | 32,445,884 | 275,101,796 | 669,836,658 | 123,336,824 | 95,020,009 | 379,883,030 | 387,946,514 | |||||||||||||||||||||||
| $ | 125,842,491 | $ | 80,770,879 | $ | 365,215,499 | $ | 275,101,796 | $ | 183,704,037 | $ | 123,336,824 | $ | 443,522,484 | $ | 379,883,030 | |||||||||||||||
| $ | (7,860 | ) | $ | (3,939 | ) | $ | 843,854 | $ | (6,748 | ) | $ | 706,749 | $ | 271,966 | $ | 254,446 | $ | 247,551 | ||||||||||||
| 1,475,899 | 11,784,491 | 818,856 | 1,930,847 | 2,536,751 | 8,857,013 | 5,114,930 | 24,745,093 | |||||||||||||||||||||||
| 273 | 600,104 | 4,650 | 7,534,490 | 147,914 | 558,889 | 235,365 | 4,028,721 | |||||||||||||||||||||||
| (853,810 | ) | (925,192 | ) | (4,288,947 | ) | (13,854,985 | ) | (655,612 | ) | (1,545,235 | ) | (3,635,718 | ) | (4,616,668 | ) | |||||||||||||||
| — | — | — | — | — | — | (10,101,945 | ) | — | ||||||||||||||||||||||
| 622,362 | 11,459,403 | (3,465,441 | ) | (4,389,648 | ) | 2,029,053 | 7,870,667 | (8,387,368 | ) | 24,157,146 | ||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
329
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008(a) | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 912,375 | $ | 1,522,425 | $ | 3,223,252 | $ | 1,247,035 | ||||||||
Net realized gains/(losses) | (1,605,754 | ) | 4,434,504 | (3,510,140 | ) | (14,141,924 | ) | |||||||||
Change in net unrealized appreciation/(depreciation) | 24,798,146 | (52,876,255 | ) | 49,581,521 | (22,751,372 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 24,104,767 | (46,919,326 | ) | 49,294,633 | (35,646,261 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (1,478,447 | ) | (1,606,594 | ) | (3,279,164 | ) | (1,070,000 | ) | ||||||||
From net realized gains | (4,989,989 | ) | (15,982,601 | ) | — | — | ||||||||||
Total Distributions to Shareholders | (6,468,436 | ) | (17,589,195 | ) | (3,279,164 | ) | (1,070,000 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,308,320 | 4,158,752 | 104,369,167 | 213,602,323 | ||||||||||||
Distributions reinvested | 6,468,436 | 17,589,195 | 3,279,164 | 1,070,000 | ||||||||||||
Redeemed | (15,621,055 | ) | (28,281,629 | ) | (4,693,486 | ) | (72,054,531 | ) | ||||||||
Capital Stock Transactions | (5,844,299 | ) | (6,533,682 | ) | 102,954,845 | 142,617,792 | ||||||||||
Net Increase/(Decrease) in Net Assets | 11,792,032 | (71,042,203 | ) | 148,970,314 | 105,901,531 | |||||||||||
Net Assets, Beginning of Period | 75,140,296 | 146,182,499 | 105,901,531 | — | ||||||||||||
Net Assets, End of Period | $ | 86,932,328 | $ | 75,140,296 | $ | 254,871,845 | $ | 105,901,531 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 904,162 | $ | 1,511,561 | $ | (200,442 | ) | $ | (33,448 | ) | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 382,861 | 350,475 | 15,224,114 | 25,128,268 | ||||||||||||
Distributions reinvested | 791,604 | 1,408,522 | 420,103 | 177,470 | ||||||||||||
Redeemed | (1,829,731 | ) | (2,336,499 | ) | (679,559 | ) | (7,740,917 | ) | ||||||||
Total Capital Stock Share Transactions | (655,266 | ) | (577,502 | ) | 14,964,658 | 17,564,821 | ||||||||||
| (a) | For the period from April 30, 2008 (inception) through December 31, 2008. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
330
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | |||||||||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008(a) | 12/31/2009 | 12/31/2008(a) | 12/31/2009 | 12/31/2008(a) | |||||||||||||||||||||||
| $ | 17,683,619 | $ | 29,670,893 | $ | 14,493 | $ | 8,481 | $ | (6,294 | ) | $ | (3,685 | ) | $ | 42,158 | $ | 37,077 | |||||||||||||
| (121,748,365 | ) | (166,010,131 | ) | (321,107 | ) | (280,513 | ) | (435,801 | ) | (813,990 | ) | (268,937 | ) | (1,158,452 | ) | |||||||||||||||
| 278,620,507 | (442,860,262 | ) | 1,399,369 | (1,470,627 | ) | 2,145,133 | (1,421,880 | ) | 1,305,621 | (997,736 | ) | |||||||||||||||||||
| 174,555,761 | (579,199,500 | ) | 1,092,755 | (1,742,659 | ) | 1,703,038 | (2,239,555 | ) | 1,078,842 | (2,119,111 | ) | |||||||||||||||||||
| (18,300,363 | ) | (58,984,879 | ) | (16,869 | ) | (9,075 | ) | — | — | (56,625 | ) | (46,000 | ) | |||||||||||||||||
| — | (180,439,928 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
| (18,300,363 | ) | (239,424,807 | ) | (16,869 | ) | (9,075 | ) | — | — | (56,625 | ) | (46,000 | ) | |||||||||||||||||
| 7,808,530 | 118,759,221 | 1,124,562 | 6,091,780 | 6,018,255 | 7,332,525 | 3,449,075 | 8,189,090 | |||||||||||||||||||||||
| 18,300,363 | 239,424,807 | 16,869 | 9,075 | — | — | 56,625 | 46,000 | |||||||||||||||||||||||
| (77,546,663 | ) | (205,204,537 | ) | (1,288,022 | ) | (1,148,401 | ) | (2,034,630 | ) | (2,683,193 | ) | (1,465,765 | ) | (3,608,671 | ) | |||||||||||||||
| (51,437,770 | ) | 152,979,491 | (146,591 | ) | 4,952,454 | 3,983,625 | 4,649,332 | 2,039,935 | 4,626,419 | |||||||||||||||||||||
| 104,817,628 | (665,644,816 | ) | 929,295 | 3,200,720 | 5,686,663 | 2,409,777 | 3,062,152 | 2,461,308 | ||||||||||||||||||||||
| 778,125,454 | 1,443,770,270 | 3,200,720 | — | 2,409,777 | — | 2,461,308 | — | |||||||||||||||||||||||
| $ | 882,943,082 | $ | 778,125,454 | $ | 4,130,015 | $ | 3,200,720 | $ | 8,096,440 | $ | 2,409,777 | $ | 5,523,460 | $ | 2,461,308 | |||||||||||||||
| $ | 207,657 | $ | 591,039 | $ | (2,970 | ) | $ | (594 | ) | $ | (2,970 | ) | $ | (682 | ) | $ | (11,928 | ) | $ | 137 | ||||||||||
| 950,413 | 7,911,742 | 151,940 | 628,024 | 906,141 | 782,391 | 514,033 | 887,796 | |||||||||||||||||||||||
| 1,849,007 | 19,901,572 | 1,928 | 1,400 | — | — | 7,401 | 8,403 | |||||||||||||||||||||||
| (9,592,809 | ) | (16,309,607 | ) | (176,017 | ) | (135,747 | ) | (349,083 | ) | (331,382 | ) | (249,068 | ) | (446,591 | ) | |||||||||||||||
| (6,793,389 | ) | 11,503,707 | (22,149 | ) | 493,677 | 557,058 | 451,009 | 272,366 | 449,608 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
331
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets - continued
| Partner All Cap Portfolio | Large Cap Growth Portfolio II | |||||||||||||||
For the periods ended | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 422,911 | $ | 744,699 | $ | 2,244,993 | $ | 319,255 | ||||||||
Net realized gains/(losses) | (2,362,387 | ) | (22,629,783 | ) | 48,044,595 | (2,757,765 | ) | |||||||||
Change in net unrealized appreciation/(depreciation) | 15,986,057 | (25,229,107 | ) | 65,858,838 | (11,416,914 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 14,046,581 | (47,114,191 | ) | 116,148,426 | (13,855,424 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (744,537 | ) | (654,002 | ) | (1,800,000 | ) | (458,318 | ) | ||||||||
From net realized gains | — | (15,641,826 | ) | (34,604,586 | ) | (3,907,923 | ) | |||||||||
Total Distributions to Shareholders | (744,537 | ) | (16,295,828 | ) | (36,404,586 | ) | (4,366,241 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,017,479 | 11,206,437 | 37,627,887 | 296,963,301 | ||||||||||||
Distributions reinvested | 744,537 | 16,295,828 | 36,404,586 | 4,366,241 | ||||||||||||
Redeemed | (10,602,481 | ) | (25,510,363 | ) | (12,742,230 | ) | (8,106,552 | ) | ||||||||
In-kind redemptions | — | — | (92,633,477 | ) | — | |||||||||||
Capital Stock Transactions | (6,840,465 | ) | 1,991,902 | (31,343,234 | ) | 293,222,990 | ||||||||||
Net Increase/(Decrease) in Net Assets | 6,461,579 | (61,418,117 | ) | 48,400,606 | 275,001,325 | |||||||||||
Net Assets, Beginning of Period | 56,153,236 | 117,571,353 | 308,985,225 | 33,983,900 | ||||||||||||
Net Assets, End of Period | $ | 62,614,815 | $ | 56,153,236 | $ | 357,385,831 | $ | 308,985,225 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 418,643 | $ | 740,269 | $ | 440,796 | $ | (56 | ) | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 462,092 | 1,175,844 | 5,172,919 | 50,351,554 | ||||||||||||
Distributions reinvested | 117,219 | 1,829,882 | 5,075,903 | 514,033 | ||||||||||||
Redeemed | (1,685,580 | ) | (2,839,612 | ) | (2,095,667 | ) | (917,601 | ) | ||||||||
In-kind redemptions | — | — | (12,151,976 | ) | — | |||||||||||
Total Capital Stock Share Transactions | (1,106,269 | ) | 166,114 | (3,998,821 | ) | 49,947,986 | ||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
332
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||||||||
| $ | 7,117,900 | $ | 13,831,496 | $ | 8,053 | $ | 292,873 | $ | 11,851,639 | $ | 19,012,085 | $ | 5,355,536 | $ | 11,554,735 | |||||||||||||||
| (43,627,231 | ) | (298,149,885 | ) | (6,420,038 | ) | (6,644,074 | ) | (130,856,830 | ) | (79,374,035 | ) | (61,424,828 | ) | (129,336,858 | ) | |||||||||||||||
| 350,249,363 | (635,129,474 | ) | 25,925,820 | (36,888,660 | ) | 260,863,957 | (293,816,484 | ) | 186,052,726 | (226,078,475 | ) | |||||||||||||||||||
| 313,740,032 | (919,447,863 | ) | 19,513,835 | (43,239,861 | ) | 141,858,766 | (354,178,434 | ) | 129,983,434 | (343,860,598 | ) | |||||||||||||||||||
| (6,800,000 | ) | (15,449,558 | ) | (168,813 | ) | (684,434 | ) | (12,050,128 | ) | (33,783,735 | ) | (5,328,987 | ) | (23,831,561 | ) | |||||||||||||||
| — | — | — | (9,541,540 | ) | — | (34,992,145 | ) | — | (67,919,651 | ) | ||||||||||||||||||||
| (6,800,000 | ) | (15,449,558 | ) | (168,813 | ) | (10,225,974 | ) | (12,050,128 | ) | (68,775,880 | ) | (5,328,987 | ) | (91,751,212 | ) | |||||||||||||||
| 15,247,288 | 82,982,927 | 2,008,107 | 3,498,176 | 115,078,386 | 125,697,204 | 36,368,850 | 52,961,051 | |||||||||||||||||||||||
| 6,800,000 | 15,449,558 | 168,813 | 10,225,974 | 12,050,128 | 68,775,880 | 5,328,987 | 91,751,212 | |||||||||||||||||||||||
| (148,213,234 | ) | (872,447,212 | ) | (12,277,879 | ) | (26,218,829 | ) | (51,951,746 | ) | (112,324,933 | ) | (46,479,433 | ) | (271,830,135 | ) | |||||||||||||||
| — | — | — | — | (136,060,265 | ) | — | — | — | ||||||||||||||||||||||
| (126,165,946 | ) | (774,014,727 | ) | (10,100,959 | ) | (12,494,679 | ) | (60,883,497 | ) | 82,148,151 | (4,781,596 | ) | (127,117,872 | ) | ||||||||||||||||
| 180,774,086 | (1,708,912,148 | ) | 9,244,063 | (65,960,514 | ) | 68,925,141 | (340,806,163 | ) | 119,872,851 | (562,729,682 | ) | |||||||||||||||||||
| 844,538,875 | 2,553,451,023 | 52,093,962 | 118,054,476 | 664,094,715 | 1,004,900,878 | 497,399,691 | 1,060,129,373 | |||||||||||||||||||||||
| $ | 1,025,312,961 | $ | 844,538,875 | $ | 61,338,025 | $ | 52,093,962 | $ | 733,019,856 | $ | 664,094,715 | $ | 617,272,542 | $ | 497,399,691 | |||||||||||||||
| $ | 197,953 | $ | 147,296 | $ | 2,609 | $ | 163,452 | $ | 134,913 | $ | 350,222 | $ | 47,073 | $ | 197,339 | |||||||||||||||
| 1,221,624 | 4,950,812 | 250,857 | 314,980 | 13,763,893 | 10,311,148 | 5,248,402 | 5,383,871 | |||||||||||||||||||||||
| 437,921 | 1,348,205 | 21,147 | 958,565 | 1,245,398 | 6,720,986 | 685,503 | 10,941,285 | |||||||||||||||||||||||
| (12,116,518 | ) | (62,070,891 | ) | (1,581,892 | ) | (2,499,468 | ) | (6,675,323 | ) | (9,997,370 | ) | (7,473,745 | ) | (30,939,551 | ) | |||||||||||||||
| — | — | — | — | (14,352,349 | ) | — | — | — | ||||||||||||||||||||||
| (10,456,973 | ) | (55,771,874 | ) | (1,309,888 | ) | (1,225,923 | ) | (6,018,381 | ) | 7,034,764 | (1,539,840 | ) | (14,614,395 | ) | ||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
333
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Index Portfolio | Equity Income Plus Portfolio | |||||||||||||||
For the periods ended | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 (a) | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 6,110,966 | $ | 9,646,518 | $ | 975,504 | $ | 861,950 | ||||||||
Net realized gains/(losses) | (12,662,349 | ) | 5,547,235 | (2,085,233 | ) | (9,808,402 | ) | |||||||||
Change in net unrealized appreciation/(depreciation) | 77,470,581 | (223,961,063 | ) | 8,440,660 | (8,200,433 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 70,919,198 | (208,767,310 | ) | 7,330,931 | (17,146,885 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (9,467,689 | ) | (11,179,657 | ) | (906,000 | ) | (862,553 | ) | ||||||||
From net realized gains | (17,308,240 | ) | (54,442,738 | ) | — | — | ||||||||||
From return of capital | — | — | — | (22,448 | ) | |||||||||||
Total Distributions to Shareholders | (26,775,929 | ) | (65,622,395 | ) | (906,000 | ) | (885,001 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 5,924,668 | 8,728,957 | 7,722,033 | 63,762,264 | ||||||||||||
Distributions reinvested | 26,775,929 | 65,622,395 | 906,000 | 885,001 | ||||||||||||
Redeemed | (58,384,704 | ) | (113,707,492 | ) | (1,425,336 | ) | (5,263,915 | ) | ||||||||
Capital Stock Transactions | (25,684,107 | ) | (39,356,140 | ) | 7,202,697 | 59,383,350 | ||||||||||
Net Increase/(Decrease) in Net Assets | 18,459,162 | (313,745,845 | ) | 13,627,628 | 41,351,464 | |||||||||||
Net Assets, Beginning of Period | 319,711,313 | 633,457,158 | 41,351,464 | — | ||||||||||||
Net Assets, End of Period | $ | 338,170,475 | $ | 319,711,313 | $ | 54,979,092 | $ | 41,351,464 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 6,061,481 | $ | 9,560,870 | $ | 67,433 | $ | (682 | ) | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 435,006 | 467,473 | 1,060,712 | 6,404,407 | ||||||||||||
Distributions reinvested | 2,079,361 | 3,423,235 | 113,302 | 128,430 | ||||||||||||
Redeemed | (4,351,097 | ) | (5,753,579 | ) | (223,105 | ) | (532,079 | ) | ||||||||
Total Capital Stock Share Transactions | (1,836,730 | ) | (1,862,871 | ) | 950,909 | 6,000,758 | ||||||||||
| (a) | For the period from April 30, 2008 (inception) through December 31, 2008. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Balanced Portfolio | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | |||||||||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008(a) | |||||||||||||||||||||||
| $ | 6,741,178 | $ | 11,660,944 | $ | 63,190,081 | $ | 63,907,368 | $ | 5,464,674 | $ | 5,963,663 | $ | 275,353 | $ | 179,846 | |||||||||||||||
| 3,502,410 | 5,991,728 | (39,327,941 | ) | (50,266,914 | ) | (4,915,023 | ) | (14,541,514 | ) | 84,431 | 234,261 | |||||||||||||||||||
| 40,989,265 | (129,660,743 | ) | 221,535,617 | (181,141,932 | ) | 21,423,316 | (16,884,578 | ) | 332,393 | (235,169 | ) | |||||||||||||||||||
| 51,232,853 | (112,008,071 | ) | 245,397,757 | (167,501,478 | ) | 21,972,967 | (25,462,429 | ) | 692,177 | 178,938 | ||||||||||||||||||||
| (11,644,909 | ) | (14,582,912 | ) | (62,236,431 | ) | (66,652,176 | ) | (5,981,706 | ) | (6,984,985 | ) | (234,799 | ) | (171,330 | ) | |||||||||||||||
| (4,181,300 | ) | (14,276,173 | ) | — | — | — | — | (346,960 | ) | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (15,826,209 | ) | (28,859,085 | ) | (62,236,431 | ) | (66,652,176 | ) | (5,981,706 | ) | (6,984,985 | ) | (581,759 | ) | (171,330 | ) | |||||||||||||||
| 4,403,989 | 6,880,428 | 52,076,075 | 109,379,698 | 7,684,739 | 3,367,953 | 2,952,032 | 9,301,898 | |||||||||||||||||||||||
| 15,826,209 | 28,859,085 | 62,236,431 | 66,652,176 | 5,981,706 | 6,984,985 | 582,116 | 170,972 | |||||||||||||||||||||||
| (54,499,515 | ) | (103,300,713 | ) | (138,725,078 | ) | (119,240,873 | ) | (17,511,175 | ) | (34,178,684 | ) | (4,276,959 | ) | (2,664,147 | ) | |||||||||||||||
| (34,269,317 | ) | (67,561,200 | ) | (24,412,572 | ) | 56,791,001 | (3,844,730 | ) | (23,825,746 | ) | (742,811 | ) | 6,808,723 | |||||||||||||||||
| 1,137,327 | (208,428,356 | ) | 158,748,754 | (177,362,653 | ) | 12,146,531 | (56,273,160 | ) | (632,393 | ) | 6,816,331 | |||||||||||||||||||
| 280,020,870 | 488,449,226 | 597,219,792 | 774,582,445 | 75,005,121 | 131,278,281 | 6,816,331 | — | |||||||||||||||||||||||
| $ | 281,158,197 | $ | 280,020,870 | $ | 755,968,546 | $ | 597,219,792 | $ | 87,151,652 | $ | 75,005,121 | $ | 6,183,938 | $ | 6,816,331 | |||||||||||||||
| $ | 6,997,054 | $ | 11,677,975 | $ | 465,728 | $ | 716,482 | $ | 4,610,543 | $ | 5,941,252 | $ | (1,080 | ) | $ | (359 | ) | |||||||||||||
| 363,420 | 457,968 | 12,542,548 | 23,707,042 | 1,373,725 | 535,255 | 290,876 | 930,798 | |||||||||||||||||||||||
| 1,383,688 | 1,992,233 | 15,502,844 | 15,699,435 | 1,166,457 | 1,120,322 | 57,700 | 17,193 | |||||||||||||||||||||||
| (4,643,812 | ) | (7,093,103 | ) | (33,976,502 | ) | (27,769,002 | ) | (3,307,219 | ) | (5,483,298 | ) | (420,767 | ) | (267,414 | ) | |||||||||||||||
| (2,896,704 | ) | (4,642,902 | ) | (5,931,110 | ) | 11,637,475 | (767,037 | ) | (3,827,721 | ) | (72,191 | ) | 680,577 | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Income Portfolio | Bond Index Portfolio | |||||||||||||||
For the periods ended | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 65,695,155 | $ | 72,678,081 | $ | 6,005,484 | $ | 9,666,370 | ||||||||
Net realized gains/(losses) | (41,235,693 | ) | (41,957,306 | ) | 3,014,854 | 1,649,536 | ||||||||||
Change in net unrealized appreciation/(depreciation) | 198,015,845 | (175,029,046 | ) | 3,482,736 | (13,481,529 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 222,475,307 | (144,308,271 | ) | 12,503,074 | (2,165,623 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (66,102,037 | ) | (73,945,918 | ) | (6,320,731 | ) | (9,755,017 | ) | ||||||||
Total Distributions to Shareholders | (66,102,037 | ) | (73,945,918 | ) | (6,320,731 | ) | (9,755,017 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 101,063,089 | 118,286,630 | 13,056,172 | 16,193,275 | ||||||||||||
Distributions reinvested | 66,102,037 | 73,945,918 | 6,320,731 | 9,755,017 | ||||||||||||
Redeemed | (142,485,709 | ) | (295,159,930 | ) | (43,680,117 | ) | (54,595,260 | ) | ||||||||
Capital Stock Transactions | 24,679,417 | (102,927,382 | ) | (24,303,214 | ) | (28,646,968 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 181,052,687 | (321,181,571 | ) | (18,120,871 | ) | (40,567,608 | ) | |||||||||
Net Assets, Beginning of Period | 1,097,103,028 | 1,418,284,599 | 174,649,020 | 215,216,628 | ||||||||||||
Net Assets, End of Period | $ | 1,278,155,715 | $ | 1,097,103,028 | $ | 156,528,149 | $ | 174,649,020 | ||||||||
Accumulated undistributed net investment income/(loss) | $ | 659,905 | $ | 657,301 | $ | (636 | ) | $ | 7,557 | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 11,238,206 | 12,419,141 | 1,322,464 | 1,598,241 | ||||||||||||
Distributions reinvested | 7,637,385 | 8,157,489 | 644,945 | 978,080 | ||||||||||||
Redeemed | (16,534,979 | ) | (32,348,747 | ) | (4,488,055 | ) | (5,524,475 | ) | ||||||||
Total Capital Stock Share Transactions | 2,340,612 | (11,772,117 | ) | (2,520,646 | ) | (2,948,154 | ) | |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | ||||||||||||||||||||
| 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | |||||||||||||||||
| $ | 41,538,278 | $ | 44,099,773 | $ | 1,462,372 | $ | 1,994,014 | $ | 2,773,294 | $ | 22,193,984 | |||||||||||
| (3,921,593 | ) | (11,933,103 | ) | 808,926 | 919,157 | 92,385 | (30,902 | ) | ||||||||||||||
| 90,309,241 | (98,663,346 | ) | 1,415,938 | (4,975,162 | ) | — | — | |||||||||||||||
| 127,925,926 | (66,496,676 | ) | 3,687,236 | (2,061,991 | ) | 2,865,679 | 22,163,082 | |||||||||||||||
| (40,607,051 | ) | (45,270,503 | ) | (1,111,908 | ) | (1,935,505 | ) | (2,865,679 | ) | (22,163,082 | ) | |||||||||||
| (40,607,051 | ) | (45,270,503 | ) | (1,111,908 | ) | (1,935,505 | ) | (2,865,679 | ) | (22,163,082 | ) | |||||||||||
| 153,358,304 | 121,741,322 | 1,508,556 | 1,597,422 | 2,263,584,061 | 3,604,017,558 | |||||||||||||||||
| 40,611,936 | 45,265,617 | 1,111,908 | 1,935,505 | 2,865,687 | 22,163,082 | |||||||||||||||||
| (101,588,023 | ) | (103,109,449 | ) | (8,809,487 | ) | (14,157,852 | ) | (2,703,888,201 | ) | (3,684,287,640 | ) | |||||||||||
| 92,382,217 | 63,897,490 | (6,189,023 | ) | (10,624,925 | ) | (437,438,453 | ) | (58,107,000 | ) | |||||||||||||
| 179,701,092 | (47,869,689 | ) | (3,613,695 | ) | (14,622,421 | ) | (437,438,453 | ) | (58,107,000 | ) | ||||||||||||
| 925,939,520 | 973,809,209 | 35,166,757 | 49,789,178 | 683,446,527 | 741,553,527 | |||||||||||||||||
| $ | 1,105,640,612 | $ | 925,939,520 | $ | 31,553,062 | $ | 35,166,757 | $ | 246,008,074 | $ | 683,446,527 | |||||||||||
| $ | 57,515 | $ | 218,540 | $ | — | $ | (1 | ) | $ | (32,386 | ) | $ | 34,344 | |||||||||
| 16,309,348 | 12,556,040 | 163,053 | 170,644 | 2,263,584,061 | 3,604,017,559 | |||||||||||||||||
| 4,409,004 | 4,806,381 | 123,075 | 206,750 | 2,865,687 | 22,163,081 | |||||||||||||||||
| (11,098,117 | ) | (11,037,603 | ) | (992,951 | ) | (1,517,992 | ) | (2,703,888,201 | ) | (3,684,287,640 | ) | |||||||||||
| 9,620,235 | 6,324,818 | (706,823 | ) | (1,140,598 | ) | (437,438,453 | ) | (58,107,000 | ) | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Notes to Financial Statements
As of December 31, 2009
(1) ORGANIZATION
Thrivent Series Fund, Inc. (the “Fund”), a company organized under the laws of Minnesota, is registered under the Investment Company Act of 1940 (the “1940 Act”). The Fund is divided into forty-one separate series (each, a “Portfolio”), each with its own investment objective and policies. The Fund consists of four asset allocation portfolios, twenty-eight equity portfolios, two hybrid portfolios, six fixed-income portfolios, and one money market portfolio. The assets of each Portfolio are segregated, and each has a separate class of capital stock.
Shares in the Fund are currently sold, without sales charges, only to retirement plans sponsored by Thrivent Financial for Lutherans (“Thrivent Financial” or the “Adviser”) or separate accounts of Thrivent Financial or 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.
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 and others that provide general damage clauses. The Fund’s maximum exposure under these contracts is 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 unless otherwise stated below. 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. Swap agreements are valued at the fair value of the contract as furnished by an independent pricing service. 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. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day. Short-term securities are valued at amortized cost to the extent it is not materially different than market value.
Securities held by 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. Money Market Portfolio and the Fund’s investment adviser follow procedures necessary to maintain a constant net asset value of $1.00 per share.
The various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels: Level 1 includes quoted prices in active markets for identical securities; Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk; and Level 3 includes significant unobservable inputs such as the Portfolio’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were valued as determined in good faith under the direction of the Board of Directors. As of December 31, 2009, the following Portfolios held these types of securities:
Portfolio | Number of Securities | Percent of Portfolio's Net Assets | |||
High Yield | 6 | 0.04 | % | ||
Diversified Income Plus | 2 | 0.01 | % |
The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments.
Valuation of International 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 Portfolios, under the supervision of the Board of Directors, evaluate 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 Fund’s investment adviser to make fair valuation determinations pursuant to policies approved by the Board of Directors.
(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 in the Statement of Operations.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(2) SIGNIFICANT ACCOUNTING POLICIES – CONTINUED
For federal income tax purposes, the Portfolios treat 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 Forward Contracts – In connection with purchases and sales of securities denominated in foreign currencies all Portfolios, except Money Market Portfolio, may enter into foreign currency forward 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. These contracts are over-the-counter and the Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Fund. During the year ended December 31, 2009, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner Technology Portfolio, Partner Healthcare Portfolio, Partner Natural Resources Portfolio, Partner Emerging Markets Portfolio, Partner Utilities Portfolio, Partner Small Cap Value Portfolio, Small Cap Stock Portfolio, Partner Worldwide Allocation Portfolio, Partner International Stock Portfolio, Partner All Cap Value Portfolio 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 each Portfolio’s policy is to qualify as a regulated investment company under the Internal Revenue Code and distribute substantially all investment company taxable income and net capital gain on a timely basis. It is also the intention of each Portfolio to distribute an amount sufficient to avoid imposition of any federal excise tax. The Portfolios, accordingly, anticipate paying no federal taxes and no federal tax provision was recorded. Each Portfolio is treated as a separate taxable entity for federal income tax purposes. Certain Portfolios may utilize earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction.
Certain Portfolios are subject to foreign income taxes imposed by certain countries in which they invest. Withholding taxes on foreign dividends and gains, if applicable, have been provided for in accordance with the applicable country’s tax rules and rates. These amounts are shown as foreign dividend tax withholding on the Statement of Operations.
Generally Accepted Accounting Principles in the United States (GAAP) require management of the Portfolios to make additional tax disclosures with respect to the tax effects of any uncertain income tax positions, whether those positions were taken on previously filed tax returns or are expected to be taken on future returns. In order to be recognized in the financial statements, the benefits of a tax position must meet a “more likely than not” standard, based on the technical merits of the position. In evaluating whether a tax position has met the more-likely-than-not recognition threshold, management of the Portfolio must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information.
Management of the Portfolios analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Portfolios include U.S. Federal, Minnesota, and Wisconsin, as well as certain foreign countries. As of December 31, 2009, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2006, through 2009. Additionally, as of December 31, 2009, the tax year ended December 31, 2005, is open for Minnesota and Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
As of December 31, 2009, management of the Portfolios has reviewed all open tax years and major jurisdictions and concluded that there is no effect to the Portfolios’ tax liability, financial position or results of operations. There is no tax liability resulting from unrecognized tax benefits related to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
(F) Expenses and Income – 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. Paydown gains and losses on mortgage- and asset-backed securities are recorded as components of interest income. Dividend income is recorded on the ex-dividend date.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(2) SIGNIFICANT ACCOUNTING POLICIES – CONTINUED
(G) Custody Earnings Credit – 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. Earnings credits are shown as a reduction of total expenses on the Statement of Operations.
(H) Distributions to Shareholders – Dividends and capital gain distributions are recorded on the ex-dividend date. With the exception of Money Market Portfolio, net realized gains from securities transactions, if any, are paid at least annually after the close of the fiscal year. Any Portfolio subject to excise taxes would require an additional distribution prior to the close of the fiscal year.
Dividends are declared and reinvested daily for High Yield Portfolio, Partner Socially Responsible Bond Portfolio, Income Portfolio, Bond Index Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio; declared daily and reinvested monthly for Money Market Portfolio; and declared and reinvested at least annually for all other Portfolios.
(I) Options – All Portfolios, with the exception of Money Market Portfolio, may buy put and call options and write put and 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.
Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for written options arises when the Portfolio has purchased an option, exercised that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. During the year ended December 31, 2009, Partner All Cap Value Portfolio, Large Cap Growth Portfolio II, Large Cap Growth Portfolio, Large Cap Stock Portfolio, Equity Income Plus Portfolio, Diversified Income Plus Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio engaged in these types of investments.
(J) Futures Contracts – Certain Portfolios may use futures contracts to manage the exposure to interest rate and market or currency 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 held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover 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, 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. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default. During the year ended December 31, 2009, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner Technology Portfolio, Partner Small Cap Growth Portfolio, Small Cap Stock Portfolio, Small Cap Index Portfolio, Mid Cap Index Portfolio, Partner Worldwide Allocation Portfolio, Large Cap Stock Portfolio, Large Cap Index Portfolio, Equity Income Plus Portfolio, Balanced Portfolio, Diversified Income Plus Portfolio, Partner Socially Responsible Bond Portfolio, Income Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio engaged in this type of investment.
(K) Swap Agreements – Certain Portfolios enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at fair value of the contract as provided by an independent pricing
340
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(2) SIGNIFICANT ACCOUNTING POLICIES – CONTINUED
service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Periodic payments and receipts and payments received or made as a result of a credit event or termination of the contract are recognized as realized gains or losses on the Statement of Operations. Collateral, in the form of cash or securities, may be required to be held with the Portfolio’s custodian, or third party, in connection with these agreements. These swap agreements are over-the-counter and the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty.
Credit Default Swaps – A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection seller or the protection buyer.
Certain Portfolios enter into credit default derivative contracts directly through credit default swaps (CDS) or through credit default swap indices (CDX Indices). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations. During the year ended December 31, 2009, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, High Yield Portfolio, Diversified Income Plus Portfolio, Income Portfolio and Limited Maturity Bond Portfolio engaged in these types of investments. Refer to the credit default swap tables located within the Portfolios’ Schedules of Investments for additional information as of December 31, 2009.
Interest Rate Swaps – An interest rate swap is a swap agreement between two parties to exchange cash flows based on the difference between two interest rates. Typically, one party pays a fixed rate for a specific period while the other pays a variable rate based on an underlying index for the same period. Interest rate swaps allow the Portfolios to manage exposure to interest rate fluctuations. During the year ended December 31, 2009, Limited Maturity Bond Portfolio engaged in this type of investment.
(L) Mortgage Dollar Roll Transactions – Certain Portfolios enter into mortgage dollar roll transactions on securities to be issued by the Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation, in which the Portfolios sell mortgage securities and simultaneously agree to repurchase similar (same type and coupon) securities at a later date at an agreed upon price. The Portfolios maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Portfolios are required to purchase may decline below the agreed upon repurchase price of those securities.
The Portfolios are compensated from negotiated fees paid by brokers offered as an inducement to the Portfolios to "roll over" their purchase commitments, thus enhancing the yield. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. The fees received are recognized over the roll period and are included in Income from mortgage dollar rolls in the Statement of Operations. During the year ended December 31, 2009, Balanced Portfolio, Income Portfolio, Bond Index Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio engaged in this type of transaction.
(M) Securities Lending – The Fund has entered into a Securities Lending Agreement (the “Agreement”) with Deutsche Bank AG (“Deutsche”). The Agreement authorizes Deutsche to lend securities to authorized borrowers on behalf of the Portfolios. Pursuant to the Agreement, all loaned securities are initially collateralized by cash equal to at least 102% of the value of the loaned securities. All cash collateral received is invested in Thrivent Financial Securities Lending Trust. The Portfolios receive payments equivalent to the dividends and interest that would have been earned on the securities loaned while simultaneously seeking to earn income on the investment of cash collateral. Amounts earned on investments in Thrivent Financial Securities Lending Trust, net of rebates, fees paid to Deutsche for services provided and any other securities lending expenses, are included in Income from securities loaned on the
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Notes to Financial Statements
As of December 31, 2009
(2) SIGNIFICANT ACCOUNTING POLICIES – CONTINUED
Statement of Operations. By investing any cash collateral it receives in these transactions, a Portfolio could realize additional gains or losses. If the borrower fails to return the securities or the invested collateral has declined in value, the Portfolio could lose money.
During the year ended December 31, 2009, all Portfolios except Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner Healthcare Portfolio, Partner Natural Resources Portfolio, Partner Emerging Markets Portfolio, Partner Utilities Portfolio, Partner Worldwide Allocation Portfolio, Partner Socially Responsible Stock Portfolio, Partner All Cap Growth Portfolio, Partner All Cap Value Portfolio, Equity Income Plus Portfolio, Partner Socially Responsible Bond Portfolio, Mortgage Securities Portfolio and Money Market Portfolio had securities on loan. As of December 31, 2009, the value of securities on loan is as follows:
Fund | Securities on Loan | ||
Partner Technology | $ | 3,228,869 | |
Real Estate Securities | 75,479,566 | ||
Partner Small Cap Growth | 20,550,781 | ||
Partner Small Cap Value | 28,887,568 | ||
Small Cap Stock | 14,380,090 | ||
Small Cap Index | 23,215,459 | ||
Mid Cap Growth II | 2,448,992 | ||
Mid Cap Growth | 9,960,297 | ||
Partner Mid Cap Value | 9,507,074 | ||
Mid Cap Stock | 18,075,887 | ||
Mid Cap Index | 6,099,282 | ||
Partner International Stock | 13,583,869 | ||
Partner All Cap | 1,215,833 | ||
Large Cap Growth II | 6,465,828 | ||
Large Cap Growth | 29,406,841 | ||
Partner Growth Stock | 189,481 | ||
Large Cap Value | 2,330,485 | ||
Large Cap Stock | 5,643,784 | ||
Large Cap Index | 2,827,182 | ||
Balanced | 4,328,971 | ||
High Yield | 34,766,716 | ||
Diversified Income Plus | 1,285,922 | ||
Income | 7,653,320 | ||
Bond Index | 6,439,994 | ||
Limited Maturity Bond | 785,024 | ||
(N) When Issued and Delayed Delivery Transactions – Certain Portfolios may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Portfolio will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Portfolio has sold a security on a delayed delivery basis, a Portfolio does not participate in future gains and losses with respect to the security.
(O) Treasury Inflation Protected Securities – Certain Portfolios may invest in treasury inflation protected securities (TIPS). These securities are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate is generally fixed at issuance. Interest is paid based on the principal value, which is adjusted for inflation. Any increase in the principal amount will be included as taxable interest in the Statement of Operations and received upon maturity or sale of the security. During the year ended December 31, 2009, Income Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio engaged in this type of investment.
(P) Repurchase Agreements – Each Portfolio may engage in repurchase agreement transactions in pursuit of its investment objective. A repurchase agreement consists of a purchase and a simultaneous agreement to resell an investment for later delivery at an agreed upon price and rate of interest. The Portfolio must take possession of collateral either directly or through a third-party custodian. If the original seller of a security subject to a repurchase agreement fails to repurchase the security at the agreed upon time, the Portfolio could incur a loss due to a drop in the market value of the security during the time it takes the Portfolio to either sell the security or take action to enforce the original seller’s agreement to repurchase the security. Also, if a defaulting original seller filed for bankruptcy or became insolvent, disposition of such security might be delayed by pending legal action. The Portfolio may only enter into repurchase agreements with banks and other recognized financial institutions such as broker/dealers that are found by the Portfolios’ investment adviser or subadviser to be creditworthy. During the year ended December 31, 2009, Partner International Stock Portfolio, Large Cap Growth Portfolio, Large Cap Value Portfolio, Large Cap Stock Portfolio, High Yield Portfolio, Income Portfolio and Limited Maturity Bond Portfolio engaged in this type of investment.
(Q) Equity-Linked Structured Securities – Certain Portfolios may invest in equity-linked structured notes. Equity-linked structured notes are debt securities which combine the characteristics of common stock and the sale of an option. The return component is based upon the performance of a single equity security, a basket of equity securities, or an equity index and the sale of an option. There is no guaranteed return of principal with these securities. The appreciation potential of these securities may be limited by a maximum payment or call right and can be influenced by many unpredictable factors. In addition to the performance of the equity, the nature and credit of the issuer may also impact return. During the year ended December 31, 2009, High Yield Portfolio, Diversified Income Plus Portfolio and Limited Maturity Bond Portfolio engaged in this type of investment.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(2) SIGNIFICANT ACCOUNTING POLICIES – CONTINUED
(R) Credit Risk – The Portfolios may be susceptible to credit risk to the extent the issuer or counterparty defaults on its payment obligation. The Portfolios’ policy is to monitor the creditworthiness of the issuers. Interest receivables on defaulted securities are monitored for the ability to collect payments in default and adjusted accordingly.
(S) Accounting Estimates – The preparation of financial statements in conformity with GAAP 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.
(T) Temporary Guarantee Program – The Fund, on behalf of Thrivent Money Market Portfolio, was a participant in the U.S. Department of the Treasury’s Temporary Guarantee Program for Money Market Funds (the “Program”) during the Program’s three phases. The Program guaranteed the share price of a fund share held by shareholders as of September 19, 2008 at $1.00 per share. Persons who were not shareholders as of September 19, 2008 were not covered by the Program. The Program is no longer in effect.
To participate in the initial phase, from September 19, 2008 through December 18, 2008, Thrivent Money Market Portfolio was required to pay a participation fee in the amount of 0.01% of the total net assets of the Fund as of September 19, 2008. The U.S. Treasury first extended the Program until April 30, 2009. In order to continue to participate, the Portfolio was required to pay an extended participation fee of 0.015% of the total net assets of the Portfolio as of September 19, 2008. The second and final extension extended the program until September 18, 2009. In order to continue to participate, the Portfolio was required to pay another extended participation fee of 0.015% of the total net assets of the Portfolio as of September 19, 2008.
For the year ended December 31, 2009, Thrivent Money Market Portfolio paid $214,463 to participate in the Program. This amount is included as insurance expenses in the Statement of Operations.
(U) Loan Commitments – Certain Portfolios may enter into loan commitments, which generally have interest rates which are reset daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. Loan commitments often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the remaining maturity may be considerably less than the stated maturity shown in the Schedule of Investments.
All or a portion of these loan commitments may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. Therefore, the Portfolio must have funds sufficient to cover its contractual obligation. These unfunded loan commitments, which are marked to market daily, are presented in the Schedule of Investments and may represent all or a portion of the loan’s market value.
(V) Loss Contingencies – Thrivent High Yield Portfolio and Thrivent Income Portfolio are defendants in an adversary action filed on July 31, 2009 by the Official Committee of Unsecured Creditors of Motors Liquidation Company, formerly known as General Motors Corporation (GM), against prior and current holders of term loan debt of GM. The suit seeks to determine whether GM’s term loan facility was secured at the time it entered bankruptcy. High Yield Portfolio at one time held term loans in an amount of at least $4,627,531 and, if the plaintiffs are successful, it is reasonably possible that the Portfolio will be required to make payments in some amount. This loss contingency has not been accrued as a liability because the amount of potential damages and the likelihood of loss cannot be reasonably estimated. Although Thrivent Income Portfolio is named as a defendant in this action, we do not expect that the Portfolio’s assets will be subject to a loss contingency.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(2) SIGNIFICANT ACCOUNTING POLICIES – CONTINUED
(W) In-Kind Redemptions – During the year ended December 31, 2009, the Thrivent Asset Allocation Portfolios, as the shareholders of underlying Thrivent Series Portfolios (the “underlying portfolios”), redeemed their shares in-kind (“in-kind redemption”). The underlying portfolios distributed portfolio securities rather than cash as payment for the redemption of these portfolio shares. For financial reporting purposes, the underlying portfolios recognize gain on these transactions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; they recognize a loss if the cost exceeds the value. The net realized gains below are included in the Statement of Operations of the underlying portfolios as net realized gains/losses on in-kind redemptions. The in-kind amounts and shares redeemed are included in the Capital Stock Transactions of the Statement of Changes in Net Assets of the underlying portfolios. These in-kind transactions were conducted at market value. The transactions were as follows:
Underlying Portfolio | Underlying Shares Redeemed | Date | In-kind Amount | Net Realized Gain | ||||||
Aggressive Allocation Portfolio | ||||||||||
Large Cap Growth II | 3,195,439 | 9/29/2009 | $ | 24,477,060 | $ | 3,035,443 | ||||
Large Cap Value | 1,537,741 | 10/7/2009 | 14,577,788 | 1,381,084 | ||||||
Mid Cap Stock | 1,515,286 | 10/26/2009 | 14,228,534 | 2,387,605 | ||||||
Small Cap Stock | 2,073,841 | 10/28/2009 | 19,120,811 | 2,410,449 | ||||||
Moderately Aggressive Allocation Portfolio | ||||||||||
Large Cap Growth II | 3,834,479 | 9/29/2009 | $ | 29,372,109 | $ | 3,572,459 | ||||
Large Cap Value | 5,125,837 | 10/7/2009 | 48,592,931 | 5,123,681 | ||||||
Mid Cap Stock | 4,040,753 | 10/26/2009 | 37,942,669 | 6,650,830 | ||||||
Small Cap Stock | 3,110,760 | 10/28/2009 | 28,681,210 | 3,469,982 | ||||||
Moderate Allocation Portfolio | ||||||||||
Large Cap Growth II | 3,834,479 | 9/29/2009 | $ | 29,372,109 | $ | 3,901,784 | ||||
Large Cap Value | 5,125,837 | 10/7/2009 | 48,592,931 | 5,302,997 | ||||||
Mid Cap Stock | 3,535,679 | 10/26/2009 | 33,200,023 | 5,271,453 | ||||||
Small Cap Stock | 2,592,308 | 10/28/2009 | 23,901,077 | 2,522,694 | ||||||
Moderately Conservative Allocation Portfolio | ||||||||||
Large Cap Growth II | 1,287,579 | 8/3/2009 | $ | 9,412,199 | $ | 693,692 | ||||
Large Cap Value | 2,562,934 | 10/7/2009 | 24,296,615 | 2,382,088 | ||||||
Mid Cap Stock | 1,010,227 | 10/26/2009 | 9,486,029 | 894,881 | ||||||
Small Cap Stock | 1,036,924 | 10/28/2009 | 9,560,437 | 882,070 | ||||||
(X) Recent Accounting Pronouncements
FASB ASC 815-10-50: Derivatives and Hedging
This pronouncement was announced in March 2008 and is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for and how derivative instruments affect an entity’s results of operations and financial position. The Portfolios have implemented this provision for the December 31, 2009 shareholder report.
FASB ASC 850-10-50: Related Party Transactions
This pronouncement was announced in May 2009 and is intended to establish general standards of accounting for and disclosure of events or transactions that occur after the balance sheet date but before financial statements are issued or available to be issued. It requires the disclosure of the date through which an entity has evaluated subsequent events and the basis for that date. The Portfolios have implemented this provision for the December 31, 2009 shareholder report.
FASB ASC 820-10-65: Fair Value Measurements and Disclosures
This pronouncement was announced in April 2009 and provides additional guidance for estimating fair value. The pronouncement focuses on markets that experience significant decline in volume and level of activity for assets or liabilities as compared to markets that have a history of being inactive. When this exposure to pricing conditions is present further evaluation and disclosure is provided. The Portfolios have implemented this provision for the December 31, 2009 shareholder report.
(Y) 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.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(3) FEES AND COMPENSATION PAID TO AFFILIATES
(A) Investment Advisory Fees – The Fund has entered into an Investment Advisory Agreement with Thrivent Financial, the Fund’s investment adviser. Under the Investment Advisory Agreement, each of the Portfolios pays a fee for investment advisory services. The fees are accrued daily and paid monthly.
At a special shareholder meeting on May 15, 2009, the applicable shareholders voted to approve a new advisory fee structure for the four Asset Allocation Portfolios: Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio and Moderately Conservative Allocation Portfolio. Under the new fee structure, which went into effect on June 1, 2009, each Asset Allocation Portfolio would continue to pay the investment advisory fees it had been paying for its asset allocation services. In addition, for investments (other than underlying Thrivent Portfolios) held directly by the Asset Allocation Portfolios, each Asset Allocation Portfolio will pay an additional advisory fee. The annual rates of fees as a percentage of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M – Millions) | $0 to $500M | $500 to $2,000M | Over $2,000M | ||||||
Aggressive Allocation | 0.150 | % | 0.125 | % | 0.100 | % | |||
Aggressive Allocation – Direct Holdings | 0.600 | % | 0.600 | % | 0.600 | % | |||
Moderately Aggressive Allocation | 0.150 | % | 0.125 | % | 0.100 | % | |||
Moderately Aggressive Allocation – Direct Holdings | 0.550 | % | 0.550 | % | 0.550 | % | |||
Moderate Allocation | 0.150 | % | 0.125 | % | 0.100 | % | |||
Moderate Allocation – Direct Holdings | 0.500 | % | 0.500 | % | 0.500 | % | |||
Moderately Conservative Allocation | 0.150 | % | 0.125 | % | 0.100 | % | |||
Moderately Conservative Allocation – Direct Holdings | 0.450 | % | 0.450 | % | 0.450 | % |
For all other Portfolios, the annual rates of fees as a percent of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M - Millions) | $0 to $50M | $50 to $200M | $200 to $250M | $250 to $500M | $500 to $750M | $750 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $2,500M | $2,500 to $5,000M | Over $5,000M | ||||||||||||||||||||||
Partner Technology | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | |||||||||||
Partner Healthcare | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | |||||||||||
Partner Natural Resources | 0.750 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | |||||||||||
Partner Emerging Markets | 1.200 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | |||||||||||
Real Estate Securities | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | |||||||||||
Partner Utilities | 0.750 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | |||||||||||
Partner Small Cap Growth | 1.000 | % | 1.000 | % | 1.000 | % | 1.000 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | |||||||||||
Partner Small Cap Value | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | |||||||||||
Small Cap Stock | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.550 | % | 0.525 | % | |||||||||||
Small Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | |||||||||||
Mid Cap Growth II | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | |||||||||||
Mid Cap Growth | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | |||||||||||
Partner Mid Cap Value | 0.750 | % | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | |||||||||||
Mid Cap Stock | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.550 | % | 0.525 | % | |||||||||||
Mid Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | |||||||||||
Partner Worldwide Allocation | 0.900 | % | 0.900 | % | 0.900 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | |||||||||||
Partner International Stock | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.800 | % | 0.800 | % | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | |||||||||||
Partner Socially Responsible Stock | 0.800 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | |||||||||||
Partner All Cap Growth | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | |||||||||||
Partner All Cap Value | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | |||||||||||
Partner All Cap | 0.950 | % | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | |||||||||||
Large Cap Growth II | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | |||||||||||
Large Cap Growth | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | |||||||||||
Partner Growth Stock | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | |||||||||||
Large Cap Value | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | |||||||||||
Large Cap Stock | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.575 | % | 0.550 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | |||||||||||
Large Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | |||||||||||
Equity Income Plus | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % |
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Notes to Financial Statements
As of December 31, 2009
(3) FEES AND COMPENSATION PAID TO AFFILIATES – CONTINUED
Portfolio (M - Millions) | $0 to $50M | $50 to $200M | $200 to $250M | $250 to $500M | $500 to $750M | $750 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $2,500M | $2,500 to $5,000M | Over $5,000M | ||||||||||||||||||||||
Balanced | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | |||||||||||
High Yield | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | |||||||||||
Diversified Income Plus | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | |||||||||||
Partner Socially Responsible Bond | 0.700 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | 0.675 | % | |||||||||||
Income | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | |||||||||||
Bond Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | |||||||||||
Limited Maturity Bond | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | |||||||||||
Mortgage Securities | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | |||||||||||
Money Market | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % |
(B) Sub-Adviser Fees – The following subadvisory fees are charged as part of the total investment advisory fees stated in the table above. The subadvisory fees are borne directly by the Adviser and do not increase the overall fees paid by the Portfolio.
Partner Technology Portfolio
Effective July 1, 2009, the Adviser has entered into a subadvisory agreement with GSAM for the performance of subadvisory services. The fee payable is equal to 0.45% of average daily net assets.
Partner Healthcare Portfolio
The Adviser has entered into a subadvisory agreement with Sectoral Asset Management, Inc. for the performance of subadvisory services. The fee payable is equal to 0.65% of the first $50 million of average daily net assets, 0.60% of the next $50 million, 0.40% of the next $150 million and 0.35% of average daily net assets over $250 million.
Partner Natural Resources Portfolio
The Adviser has entered into a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock”) for the performance of subadvisory services. The fee payable is equal to 0.45% of the first $50 million of average daily net assets, 0.425% of the next $50 million, 0.40% of the next $150 million and 0.375% of average daily net assets over $250 million. Thrivent Partner Utilities Portfolio is included in determining breakpoints for the assets managed by BlackRock.
Partner Emerging Markets Portfolio
The Adviser has entered into a subadvisory agreement with Aberdeen Asset Management Investment Services Limited (“Aberdeen”) for the performance of subadvisory services. The fee payable is equal to 0.85% of the first $50 million of average daily net assets, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
Partner Utilities Portfolio
The Adviser has entered into a subadvisory agreement with BlackRock for the performance of subadvisory services. The fee payable is equal to 0.45% of the first $50 million of average daily net assets, 0.425% of the next $50 million, 0.40% of the next $150 million and 0.375% of average daily net assets over $250 million. Thrivent Partner Natural Resources Portfolio is included in determining breakpoints for the assets managed by BlackRock.
Partner Small Cap Growth Portfolio
The Adviser has entered into a subadvisory agreement with Turner Investment Partners, Inc. (“Turner”) for the performance of subadvisory services. The fee payable is equal to 0.65% of the first $100 million of average daily net assets and 0.60% of average daily net assets over $100 million. Thrivent Partner Small Cap Growth Fund is included in determining breakpoints for the assets managed by Turner.
Partner Small Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. The fee payable is equal to 0.60% of average daily net assets.
Partner Mid Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with Goldman Sachs Asset Management, LP (“GSAM”) for the performance of subadvisory services. The fee payable is equal to 0.50% of average daily net assets for the first $200 million and 0.45% for assets over $200 million. Thrivent Partner Mid Cap Value Fund is included in determining breakpoints for the assets managed by GSAM.
Partner Worldwide Allocation Portfolio
The Adviser has entered into subadvisory agreements with Mercator Asset Management, LP (“Mercator”), Principal Global Investors, LLC (“Principal”), Aberdeen, Victory Capital Management, Inc. (“Victory”) and GSAM for the performance of subadvisory services.
The fee payable for Mercator is equal to 0.75% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.55% of the next $25 million, 0.50% of the next $225 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Thrivent Partner Worldwide Allocation Fund, Thrivent Partner International Stock Portfolio and Thrivent Partner International Stock Fund are included in determining breakpoints for the assets managed by Mercator.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(3) FEES AND COMPENSATION PAID TO AFFILIATES – CONTINUED
The fee payable for Principal is equal to 0.35% of the first $500 million of average daily net assets managed by Principal, 0.30% of the next $500 million and 0.25% of average daily net assets over $1 billion. Thrivent Partner Worldwide Allocation Fund, Thrivent Partner International Stock Portfolio and Thrivent Partner International Stock Fund are included in determining breakpoints for the assets managed by Principal.
The fee payable for Aberdeen is equal to 0.85% of the first $50 million of average daily net assets managed by Aberdeen, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Emerging Markets Portfolio and Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
The fee payable for Victory is equal to 0.95% of the first $25 million of average daily net assets managed by Victory, 0.85% of the next $75 million and 0.80% of average daily net assets over $100 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Victory.
The fee payable for GSAM is equal to 0.55% of the first $50 million of average daily net assets managed by GSAM, 0.50% of the next $200 million and 0.45% of average daily net assets over $250 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by GSAM.
Partner International Stock Portfolio
The Adviser has entered into subadvisory agreements with Principal and Mercator for the performance of subadvisory services.
The fee payable for Mercator is equal to 0.75% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.55% of the next $25 million, 0.50% of the next $225 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Thrivent Partner International Stock Fund, Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Mercator.
The fee payable for Principal is equal to 0.35% of the first $500 million of average daily net assets managed by Principal, 0.30% of the next $500 million and 0.25% of average daily net assets over $1 billion. Thrivent Partner International Stock Fund, Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Principal.
Partner Socially Responsible Stock Portfolio
The Adviser has entered into a subadvisory agreement with Calvert Asset Management Company, Inc. (“Calvert”) for the performance of subadvisory services. The fee payable is equal to 0.50% of average daily net assets for the first $50 million, 0.475% for the next $50 million, 0.45% for the next $50 million, 0.425% of the next $100 million and 0.40% for assets over $250 million.
Partner All Cap Growth Portfolio
The Adviser has entered into a subadvisory agreement with Calamos Advisors LLC for the performance of subadvisory services. The fee payable is equal to 0.65% of average daily net assets.
Partner All Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with OppenheimerFunds, Inc. for the performance of subadvisory services. The fee payable is equal to 0.45% of the first $50 million of average daily net assets, 0.40% of the next $200 million and 0.35% of average daily net assets over $250 million.
Partner All Cap Portfolio
The Adviser has entered into a subadvisory agreement with Pyramis Global Advisors, LLC (“Pyramis Advisors”) for the performance of subadvisory services. Pyramis Advisors is a wholly owned subsidiary of Fidelity Management & Research Corporation. 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.
Partner Growth Stock Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. 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.
Partner Socially Responsible Bond Portfolio
The Adviser has entered into a subadvisory agreement with Calvert for the performance of subadvisory services. The fee payable is equal to 0.40% of average daily net assets for the first $50 million, 0.375% for the next $50 million, 0.35% for the next $50 million, 0.325% of the next $100 million and 0.30% for assets over $250 million.
(C) Expense Reimbursements – As of December 31, 2009, the following voluntary expense reimbursements, as a percentage of net assets, were in effect:
Portfolio | Expense Reimbursement | Expiration Date | |||
Partner Small Cap Growth | 0.10 | % | N/A | ||
Mid Cap Growth II | 0.30 | % | N/A | ||
Partner International Stock | 0.07 | % | N/A | ||
Partner All Cap | 0.20 | % | N/A | ||
Large Cap Growth II | 0.25 | % | N/A | ||
Partner Growth Stock | 0.10 | % | N/A | ||
Money Market | 0.10 | % | N/A |
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(3) FEES AND COMPENSATION PAID TO AFFILIATES – CONTINUED
As of December 31, 2009, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | |||
Aggressive Allocation | 0.89 | % | 5/15/2011 | ||
Moderately Aggressive Allocation | 0.83 | % | 5/15/2011 | ||
Moderate Allocation | 0.77 | % | 5/15/2011 | ||
Moderately Conservative Allocation | 0.73 | % | 5/15/2011 | ||
Partner Healthcare | 1.39 | % | 4/30/2010 | ||
Partner Natural Resources | 1.19 | % | 4/30/2010 | ||
Partner Emerging Markets | 1.50 | % | 4/30/2010 | ||
Partner Utilities | 0.90 | % | 4/30/2010 | ||
Partner Worldwide Allocation | 1.00 | % | 4/30/2010 | ||
Partner Socially Responsible Stock | 0.98 | % | 4/30/2010 | ||
Partner All Cap Growth | 1.00 | % | 4/30/2010 | ||
Partner All Cap Value | 0.98 | % | 4/30/2010 | ||
Equity Income Plus | 0.85 | % | 4/30/2010 | ||
Partner Socially Responsible Bond | 0.68 | % | 4/30/2010 |
Each equity, hybrid and fixed income Portfolio may invest in High Yield Fund and Money Market Portfolio, subject to certain limitations. During the year ended December 31, 2009, Income Portfolio and Limited Maturity Bond Portfolio invested in High Yield Fund. During the year ended December 31, 2009, all Portfolios invested in Money Market Portfolio. These related-party transactions are subject to the same terms as non-related party transactions except that, to avoid duplicate investment advisory fees, Thrivent Financial reimburses an amount equal to the advisory fee which is charged to the Portfolio for its investment in High Yield Fund and Money Market Portfolio.
(D) Other Expenses – The Fund has entered into an accounting and administrative services agreement with the Adviser to provide certain accounting and administrative personnel and services to the Portfolios. For the year ended December 31, 2009, the Adviser received aggregate fees for accounting and administrative personnel and services of $6,232,927 from the Fund.
Each Director is eligible to participate in a deferred compensation plan with respect to fees received from the Fund. Participants in the plan may designate their deferred Director’s fees as if invested in any one of the portfolios of Thrivent Mutual Funds. The value of each Director’s deferred compensation account will increase or decrease as if it were invested in shares of the selected portfolios of Thrivent Mutual Funds. The deferred fees remain in the appropriate fund until distribution in accordance with the plan. The deferred fee liability is an unsecured liability.
Those Directors not participating in the above plan received $260,357 in fees from the Fund for the year ended December 31, 2009. No remuneration has been paid by the Fund to any of the officers or non-independent Directors of the Fund. In addition, the Fund reimbursed independent Directors for reasonable expenses incurred in relation to attendance at the meetings and industry conferences.
Certain officers and non-independent directors of the Fund are officers and directors of Thrivent Financial and Thrivent Life; however, they receive no compensation from the Fund.
(E) Indirect Expenses – Some Portfolios invest in other mutual funds. Fees and expenses of those underlying funds are not included in the Portfolios’ expense ratios. The Portfolios indirectly bear their proportionate share of the annualized weighted average expense ratio of the underlying funds in which they invest.
(4) TAX INFORMATION
Distributions are based on amounts calculated in accordance with applicable federal income tax regulations, which may differ from GAAP. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications.
On the Statement of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows [Increase (Decrease)]:
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | |||||||||
Aggressive Allocation | $ | 2,448,930 | $ | (16,321,332 | ) | $ | 13,872,402 | |||||
Moderately Aggressive Allocation | 12,103,900 | (65,027,766 | ) | 52,923,866 | ||||||||
Moderate Allocation | 10,480,060 | (57,500,428 | ) | 47,020,368 | ||||||||
Moderately Conservative Allocation | 2,178,439 | (12,761,381 | ) | 10,582,942 | ||||||||
Partner Technology | 172,252 | 1,572 | (173,824 | ) | ||||||||
Partner Healthcare | 208 | (208 | ) | — | ||||||||
Partner Natural Resources | (2,353 | ) | 2,353 | — | ||||||||
Partner Emerging Markets | (2,847 | ) | 2,847 | — | ||||||||
Real Estate Securities | (118,736 | ) | 100,157 | 18,579 | ||||||||
Partner Utilities | (658 | ) | 658 | — | ||||||||
Partner Small Cap Growth | 485,615 | — | (485,615 | ) | ||||||||
Partner Small Cap Value | (31,312 | ) | 31,312 | — | ||||||||
Small Cap Stock | (17,911 | ) | 1,450,691 | (1,432,780 | ) | |||||||
Small Cap Index | (46,598 | ) | 46,598 | — | ||||||||
Mid Cap Growth II | 46,364 | (46,364 | ) | — | ||||||||
Mid Cap Growth | (18,152 | ) | 22,842,946 | (22,824,794 | ) | |||||||
Partner Mid Cap Value | (1,086 | ) | 1,086 | — | ||||||||
Mid Cap Stock | (28,273 | ) | 2,400,977 | (2,372,704 | ) | |||||||
Mid Cap Index | (41,327 | ) | 41,327 | — | ||||||||
Partner Worldwide Allocation | (111,082 | ) | 111,082 | — | ||||||||
Partner International Stock | 233,362 | 9,273,472 | (9,506,834 | ) | ||||||||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(4) TAX INFORMATION – CONTINUED
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | ||||||
Partner All Cap Growth | 4,006 | — | (4,006 | ) | |||||
Partner All Cap Value | 2,402 | (1,931 | ) | (471 | ) | ||||
Large Cap Growth II | (4,141 | ) | 301,281 | (297,140 | ) | ||||
Large Cap Growth | (267,243 | ) | 1,323,618 | (1,056,375 | ) | ||||
Partner Growth Stock | (83 | ) | 83 | — | |||||
Large Cap Value | (16,820 | ) | 1,540,439 | (1,523,619 | ) | ||||
Large Cap Stock | (176,815 | ) | 176,815 | — | |||||
Large Cap Index | (142,666 | ) | 142,666 | — | |||||
Equity Income Plus | (1,389 | ) | 9,586 | (8,197 | ) | ||||
Balanced | 222,810 | (222,810 | ) | — | |||||
High Yield | (1,204,404 | ) | 290,131,537 | (288,927,133 | ) | ||||
Diversified Income Plus | (813,677 | ) | 4,284,560 | (3,470,883 | ) | ||||
Partner Socially Responsible Bond | (41,275 | ) | 41,275 | — | |||||
Income | 409,486 | (409,486 | ) | — | |||||
Bond Index | 307,054 | (307,054 | ) | — | |||||
Limited Maturity Bond | (1,092,252 | ) | 1,092,252 | — | |||||
Mortgage Securities | (350,463 | ) | 350,463 | — | |||||
Money Market | 25,655 | (58,041 | ) | 32,386 |
At December 31, 2009, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | ||||
Aggressive Allocation | $ | 20,156,141 | $ | 6,408,229 | ||
Moderately Aggressive Allocation | 82,591,800 | 27,705,251 | ||||
Moderate Allocation | 123,158,514 | 38,331,417 | ||||
Moderately Conservative Allocation | 48,663,041 | 12,362,422 | ||||
Partner Healthcare | 285,849 | — | ||||
Partner Natural Resources | 19,477 | — | ||||
Partner Utilities | 150,229 | — | ||||
Partner Small Cap Value | 536,179 | — | ||||
Small Cap Stock | 159,190 | — | ||||
Small Cap Index | 1,709,587 | — | ||||
Mid Cap Growth II | 1,358,865 | — | ||||
Mid Cap Growth | 886,237 | — | ||||
Partner Mid Cap Value | 716,257 | — | ||||
Mid Cap Stock | 284,602 | — | ||||
Mid Cap Index | 915,779 | — | ||||
Partner Worldwide Allocation | 24,083 | — | ||||
Partner International Stock | 365,985 | — | ||||
Partner All Cap Value | 3,036 | — | ||||
Partner All Cap | 425,719 | — | ||||
Large Cap Growth II | 11,978,031 | — | ||||
Large Cap Growth | 345,939 | — | ||||
Partner Growth Stock | 10,928 | — | ||||
Large Cap Value | 187,642 | — | ||||
Large Cap Stock | 100,155 | — | ||||
Large Cap Index | 6,118,756 | — | ||||
Equity Income Plus | 70,615 | — | ||||
Balanced | 8,800,681 | — | ||||
High Yield | 772,208 | — | ||||
Diversified Income Plus | 4,648,906 | — | ||||
Partner Socially Responsible Bond | 2,248 | — | ||||
Income | 740,807 | — | ||||
Bond Index | 32,993 | — | ||||
Limited Maturity Bond | 677,137 | — | ||||
Mortgage Securities | 262,319 | 59,896 | ||||
Money Market | 15,000 | — | ||||
At December 31, 2009, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Portfolio | Capital Loss Carryover | Expiration Year | |||
Partner Technology | $ | 11,378,393 | 2016 | ||
| 2,198,564 | 2017 | ||||
| $ | 13,576,957 | ||||
Partner Natural Resources | 19,375 | 2016 | |||
| 220,112 | 2017 | ||||
| $ | 239,487 | ||||
Partner Emerging Markets | 63,274 | 2016 | |||
| 783,676 | 2017 | ||||
| $ | 846,950 | ||||
Real Estate Securities | 8,066,759 | 2016 | |||
| 18,439,010 | 2017 | ||||
| $ | 26,505,769 | ||||
Partner Utilities | 375,164 | 2016 | |||
| 285,260 | 2017 | ||||
| $ | 660,424 | ||||
Partner Small Cap Growth | 34,011,452 | 2016 | |||
| 28,536,757 | 2017 | ||||
| $ | 62,548,209 | ||||
Partner Small Cap Value | 11,479,874 | 2017 | |||
| $ | 11,479,874 | ||||
Small Cap Stock | 60,076,135 | 2016 | |||
| 69,207,797 | 2017 | ||||
| $ | 129,283,932 | ||||
Small Cap Index | 6,962,947 | 2017 | |||
| $ | 6,962,947 | ||||
Mid Cap Growth | 10,809,135 | 2010 | |||
| 252,495 | 2016 | ||||
| 60,673,672 | 2017 | ||||
| $ | 71,735,302 | ||||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(4) TAX INFORMATION – CONTINUED
Portfolio | Capital Loss Carryover | Expiration Year | |||
Partner Mid Cap Value | 16,998,457 | 2016 | |||
| 23,647,542 | 2017 | ||||
| $ | 40,645,999 | ||||
Mid Cap Stock | 90,742,741 | 2016 | |||
| 27,991,584 | 2017 | ||||
| $ | 118,734,325 | ||||
Mid Cap Index | 887,853 | 2017 | |||
| $ | 887,853 | ||||
Partner Worldwide Allocation | 8,058,363 | 2016 | |||
| 8,550,857 | 2017 | ||||
| $ | 16,609,220 | ||||
Partner International Stock | 2,858,197 | 2010 | |||
| 103,512,513 | 2016 | ||||
| 186,079,623 | 2017 | ||||
| $ | 292,450,333 | ||||
Partner Socially Responsible Stock | 99,213 | 2016 | |||
| 493,087 | 2017 | ||||
| $ | 592,300 | ||||
| �� | |||||
Partner All Cap Growth | 536,343 | 2016 | |||
| 586,578 | 2017 | ||||
| $ | 1,122,921 | ||||
Partner All Cap Value | 499,329 | 2016 | |||
| 889,563 | 2017 | ||||
| $ | 1,388,892 | ||||
Partner All Cap | 12,922,307 | 2016 | |||
| 11,312,127 | 2017 | ||||
| $ | 24,234,434 | ||||
Large Cap Growth | 724,404,403 | 2010 | |||
| 198,356,425 | 2011 | ||||
| 163,432,783 | 2016 | ||||
| 185,671,076 | 2017 | ||||
| $ | 1,271,864,687 | ||||
Partner Growth Stock | 1,995,784 | 2016 | |||
| 11,047,477 | 2017 | ||||
| $ | 13,043,261 | ||||
Large Cap Value | 71,155,534 | 2016 | |||
| 139,292,919 | 2017 | ||||
| $ | 210,448,453 | ||||
Large Cap Stock | 94,107,202 | 2016 | |||
| 98,347,320 | 2017 | ||||
| $ | 192,454,522 | ||||
Large Cap Index | 9,182,706 | 2017 | |||
| $ | 9,182,706 | ||||
Equity Income Plus | 5,806,765 | 2016 | |||
| 5,494,675 | 2017 | ||||
| $ | 11,301,440 | ||||
High Yield | 184,350,285 | 2010 | |||
| 364,926,135 | 2011 | ||||
| 30,516,064 | 2012 | ||||
| 10,993,224 | 2013 | ||||
| 560,014 | 2014 | ||||
| 42,742,264 | 2016 | ||||
| 46,838,004 | 2017 | ||||
| $ | 680,925,990 | ||||
Diversified Income Plus | 2,850,377 | 2010 | |||
| 9,888,303 | 2016 | ||||
| 9,354,046 | 2017 | ||||
| $ | 22,092,726 | ||||
Income | 2,082,528 | 2014 | |||
| 39,514,415 | 2016 | ||||
| 51,183,448 | 2017 | ||||
| $ | 92,780,391 | ||||
Bond Index | 1,161,958 | 2014 | |||
| 103,719 | 2015 | ||||
| $ | 1,265,677 | ||||
Limited Maturity Bond | 2,108,299 | 2013 | |||
| 1,181,750 | 2014 | ||||
| 1,010,934 | 2015 | ||||
| 10,441,148 | 2016 | ||||
| 6,959,975 | 2017 | ||||
| $ | 21,702,106 | ||||
To the extent that these Portfolios realize future net capital gains, taxable distributions will be reduced by any unused capital loss carryovers as permitted by the Internal Revenue Code.
The following capital loss carryovers were utilized during 2009: Partner Healthcare Portfolio, $63,868; Mid Cap Growth Portfolio II, $967,037; Large Cap Growth Portfolio II, $1,615,414; Bond Index Portfolio, $2,562,183; Mortgage Securities Portfolio, $890,110; and Money Market Portfolio, $34,344. In addition, the following capital loss carryovers expired during the fiscal year 2009: Mid Cap Growth Portfolio, $22,824,794; Partner International Stock Portfolio, $9,506,834; Large Cap Growth Portfolio, $790,945; High Yield Portfolio, $288,927,133; and Diversified Income Plus Portfolio, $3,470,883.
The following Portfolios deferred, on a tax basis, the following post-October 2009 losses:
Portfolio | Post-October Loss | ||
Partner Healthcare | $ | 1,681 | |
Partner Emerging Markets | 2,964 | ||
Partner Utilities | 216 | ||
Partner Small Cap Value | 409,581 | ||
Small Cap Index | 535,669 | ||
Mid Cap Growth | 2,738,883 | ||
Partner Mid Cap Value | 69,456 | ||
Partner Worldwide Allocation | 1,632 | ||
Partner International Stock | 941,408 | ||
Partner All Cap Growth | 119,009 | ||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(4) TAX INFORMATION – CONTINUED
Portfolio | Post-October Loss | |
Partner All Cap Value | 21,588 | |
Partner All Cap | 261,708 | |
Partner Growth Stock | 56,085 | |
Large Cap Value | 4,405,919 | |
Large Cap Index | 1,434,922 | |
Equity Income Plus | 273,940 | |
High Yield | 1,317,551 | |
Diversified Income Plus | 276,002 | |
Partner Socially Responsible Bond | 14,325 | |
Income | 1,558,121 | |
Mortgage Securities | 94,366 |
These amounts are deferred for tax purposes and deemed to occur in the next fiscal year.
The tax character of distributions paid during the years ended December 31, 2009 and 2008 was as follows:
| Ordinary Income | Long-Term Capital Gain | Return of Capital | ||||||||||||||||
Portfolio | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | 12/31/2009 | 12/31/2008 | ||||||||||||
Aggressive Allocation | $ | 18,295,706 | $ | 7,526,815 | $ | — | $ | 11,081,213 | $ | — | $ | — | ||||||
Moderately Aggressive Allocation | 77,679,068 | 36,926,896 | — | 30,510,870 | — | — | ||||||||||||
Moderate Allocation | 103,104,758 | 56,128,055 | — | 28,774,199 | — | — | ||||||||||||
Moderately Conservative Allocation | 36,683,505 | 22,275,657 | — | 6,150,363 | — | — | ||||||||||||
Partner Technology | — | 3,405,645 | — | 3,127,004 | — | — | ||||||||||||
Partner Healthcare | 1,353 | 5,750 | — | — | — | — | ||||||||||||
Partner Natural Resources | — | 8,150 | — | — | — | — | ||||||||||||
Partner Emerging Markets | 76,466 | 49,300 | — | — | — | — | ||||||||||||
Real Estate Securities | 6,291,795 | 21,072,190 | — | 21,574,384 | 2,508,205 | 5,059,614 | ||||||||||||
Partner Utilities | — | 70,001 | — | — | — | — | ||||||||||||
Partner Small Cap Growth | 111,079 | 673,449 | — | 9,849,971 | — | — | ||||||||||||
Partner Small Cap Value | 1,581,418 | 4,087,268 | 159,744 | 15,296,285 | — | — | ||||||||||||
Small Cap Stock | 2,254,275 | 4,048,321 | — | 46,096,465 | — | — | ||||||||||||
Small Cap Index | 3,597,439 | 4,228,977 | 31,411,591 | 57,981,487 | — | — | ||||||||||||
Mid Cap Growth II | 1,858 | 2,256,570 | — | 3,019,741 | — | — | ||||||||||||
Mid Cap Growth | 53,590 | 40,872,402 | — | 69,498,724 | — | — | ||||||||||||
Partner Mid Cap Value | 1,544,209 | 3,568,008 | — | 2,549,963 | — | — | ||||||||||||
Mid Cap Stock | 2,265,664 | 15,969,270 | — | 25,321,638 | — | — | ||||||||||||
Mid Cap Index | 1,478,447 | 1,733,105 | 4,989,989 | 15,856,090 | — | — | ||||||||||||
Partner Worldwide Allocation | 3,279,164 | 1,070,000 | — | — | — | — | ||||||||||||
Partner International Stock | 18,300,363 | 101,439,313 | — | 137,985,494 | — | — | ||||||||||||
Partner Socially Responsible Stock | 16,869 | 9,075 | — | — | — | — | ||||||||||||
Partner All Cap Value | 56,625 | 46,000 | — | — | — | — | ||||||||||||
Partner All Cap | 744,537 | 8,044,382 | — | 8,251,446 | — | — | ||||||||||||
Large Cap Growth II | 36,404,586 | 2,086,463 | — | 2,279,778 | — | — | ||||||||||||
Large Cap Growth | 6,800,000 | 15,449,558 | — | — | — | — | ||||||||||||
Partner Growth Stock | 168,813 | 1,631,127 | — | 8,594,847 | — | — | ||||||||||||
Large Cap Value | 12,050,128 | 38,585,764 | — | 30,190,116 | — | — | ||||||||||||
Large Cap Stock | 5,328,987 | 47,673,626 | — | 44,077,586 | — | — | ||||||||||||
Large Cap Index | 9,467,689 | 11,533,169 | 17,308,240 | 54,089,226 | — | — | ||||||||||||
Equity Income Plus | 906,000 | 862,553 | — | — | — | 22,448 | ||||||||||||
Balanced | 11,644,909 | 15,909,241 | 4,181,300 | 12,949,844 | — | — | ||||||||||||
High Yield | 62,236,431 | 66,652,176 | — | — | — | — | ||||||||||||
Diversified Income Plus | 5,981,706 | 6,984,985 | — | — | — | — | ||||||||||||
Partner Socially Responsible Bond | 443,176 | 171,330 | 138,583 | — | — | — | ||||||||||||
Income | 66,102,037 | 73,945,918 | — | — | — | — | ||||||||||||
Bond Index | 6,320,731 | 9,755,017 | — | — | — | — | ||||||||||||
Limited Maturity Bond | 40,607,051 | 45,270,503 | — | — | — | — | ||||||||||||
Mortgage Securities | 1,111,908 | 1,935,505 | — | — | — | — | ||||||||||||
Money Market | 2,865,679 | 22,163,082 | — | — | — | — | ||||||||||||
351
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities – For the year ended December 31, 2009, 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 | ||||
Aggressive Allocation | $ | 75,606 | $ | 127,029 | ||
Moderately Aggressive Allocation | 315,531 | 256,612 | ||||
Moderate Allocation | 507,163 | 309,558 | ||||
Moderately Conservative Allocation | 251,701 | 128,834 | ||||
Partner Technology | 45,518 | 49,962 | ||||
Partner Healthcare | 11,612 | 7,785 | ||||
Partner Natural Resources | 6,908 | 233 | ||||
Partner Emerging Markets | 8,239 | 1,099 | ||||
Real Estate Securities | 54,215 | 34,132 | ||||
Partner Utilities | 2,316 | 1,021 | ||||
Partner Small Cap Growth | 152,146 | 139,049 | ||||
Partner Small Cap Value | 39,272 | 32,138 | ||||
Small Cap Stock | 664,679 | 659,873 | ||||
Small Cap Index | 22,969 | 51,848 | ||||
Mid Cap Growth II | 67,254 | 67,996 | ||||
Mid Cap Growth | 178,979 | 221,750 | ||||
Partner Mid Cap Value | 169,421 | 153,460 | ||||
Mid Cap Stock | 220,664 | 211,294 | ||||
Mid Cap Index | 13,811 | 24,697 | ||||
Partner Worldwide Allocation | 211,398 | 119,716 | ||||
Partner International Stock | 571,907 | 609,282 | ||||
Partner Socially Responsible Stock | 1,406 | 1,531 | ||||
Partner All Cap Growth | 5,693 | 1,887 | ||||
Partner All Cap Value | 6,625 | 4,589 | ||||
Partner All Cap | 127,049 | 134,401 | ||||
Large Cap Growth II | 777,105 | 748,203 | ||||
Large Cap Growth | 1,887,325 | 1,989,325 | ||||
Partner Growth Stock | 28,607 | 37,721 | ||||
Large Cap Value | 788,174 | 711,250 | ||||
Large Cap Stock | 776,275 | 829,964 | ||||
Large Cap Index | 21,136 | 67,408 | ||||
Equity Income Plus | 159,996 | 153,372 | ||||
Balanced | 15,918 | 57,779 | ||||
High Yield | 392,747 | 407,576 | ||||
Diversified Income Plus | 62,703 | 72,317 | ||||
Partner Socially Responsible Bond | 7,965 | 7,908 | ||||
Income | 855,646 | 828,124 | ||||
Bond Index | 5,884 | 29,298 | ||||
Limited Maturity Bond | 823,310 | 836,483 | ||||
Mortgage Securities | 1,678 | 10,032 | ||||
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||
Portfolio | Purchases | Sales | ||||
Aggressive Allocation | $ | 1,501 | $ | — | ||
Moderately Aggressive Allocation | 7,006 | — | ||||
Moderate Allocation | 9,008 | — | ||||
Moderately Conservative Allocation | 4,004 | — | ||||
Partner Small Cap Growth | 801 | 805 | ||||
Small Cap Stock | 1,001 | — | ||||
Small Cap Index | 601 | 201 | ||||
Balanced | 291,205 | 292,603 | ||||
Partner Socially Responsible Bond | 63 | 750 | ||||
Income | 964,040 | 1,022,049 | ||||
Bond Index | 663,053 | 668,690 | ||||
Limited Maturity Bond | 636,263 | 574,981 | ||||
Mortgage Securities | 224,452 | 228,455 | ||||
(B) Investments in Restricted Securities – Certain Portfolios may own restricted securities that have been deemed illiquid and 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. As of December 31, 2009, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio's Net Assets | |||
Partner Worldwide Allocation | 1 | 0.01 | % | ||
Balanced | 4 | 1.74 | % | ||
High Yield | 4 | 0.81 | % | ||
Diversified Income Plus | 3 | 2.78 | % | ||
Partner Socially Responsible Bond | 1 | 0.17 | % | ||
Income | 9 | 2.23 | % | ||
Bond Index | 4 | 3.52 | % | ||
Limited Maturity Bond | 7 | 1.82 | % | ||
Mortgage Securities | 2 | 5.63 | % |
The Portfolios have no right to require registration of unregistered securities.
(C) Investments in High-Yielding Securities – High Yield Portfolio invests primarily in high-yielding fixed income securities. Each of the other Portfolios, except Money Market Portfolio, may also invest in high-yielding securities. These securities will typically be in the lower rating categories or will be non-rated and generally will involve more risk than securities in the higher rating categories. Lower rated or unrated securities are more likely to react to developments affecting market risk and credit risk than are more highly rated securities, which react primarily to movements in the general level of interest rates.
(D) Investments in Options and Futures Contracts – The movement in the price of the security underlying an option or futures contract may not correlate perfectly with the movement in the prices of the portfolio securities being hedged. A lack of correlation could render the Portfolio’s hedging strategy unsuccessful and could result in a loss to the Portfolio. In the event that a liquid secondary market would not exist, the Portfolio could be prevented from entering into a closing transaction which could result in additional losses to the Portfolio.
(E) Written Option Contracts – The number of contracts and premium amounts associated with covered call option contracts written during the year ended December 31, 2009, were as follows:
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(5) SECURITY TRANSACTIONS – CONTINUED
| Number of Contracts | Premium Amount | ||||||
Partner All Cap Value | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 63 | 5,505 | |||||
Closed | (57 | ) | (4,899 | ) | |||
Expired | (2 | ) | (72 | ) | |||
Exercised | (4 | ) | (534 | ) | |||
Balance at December 31, 2009 | — | $ | — | ||||
Large Cap Growth II | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 11,103 | 1,431,761 | |||||
Closed | (5,954 | ) | (918,693 | ) | |||
Expired | (3,635 | ) | (224,697 | ) | |||
Exercised | (1,319 | ) | (276,955 | ) | |||
Balance at December 31, 2009 | 195 | $ | 11,416 | ||||
Large Cap Growth | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 24,576 | 2,817,119 | |||||
Closed | (12,755 | ) | (1,743,955 | ) | |||
Expired | (8,245 | ) | (495,903 | ) | |||
Exercised | (3,119 | ) | (550,506 | ) | |||
Balance at December 31, 2009 | 457 | $ | 26,755 | ||||
Large Cap Stock | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 18,334 | 4,809,193 | |||||
Closed | (13,942 | ) | (4,066,321 | ) | |||
Expired | (2,273 | ) | (138,148 | ) | |||
Exercised | (974 | ) | (189,493 | ) | |||
Balance at December 31, 2009 | 1,145 | $ | 415,231 | ||||
Equity Income Plus | |||||||
Balance at December 31, 2008 | 50 | $ | 26,738 | ||||
Opened | 2,035 | 1,008,760 | |||||
Closed | (1,965 | ) | (984,128 | ) | |||
Expired | (10 | ) | (6,473 | ) | |||
Exercised | — | — | |||||
Balance at December 31, 2009 | 110 | $ | 44,897 | ||||
Diversified Income Plus | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 931 | 390,831 | |||||
Closed | (871 | ) | (366,426 | ) | |||
Expired | — | — | |||||
Exercised | — | — | |||||
Balance at December 31, 2009 | 60 | $ | 24,405 | ||||
Limited Maturity Bond | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 2,980 | 1,983,248 | |||||
Closed | (2,760 | ) | (1,952,970 | ) | |||
Expired | (220 | ) | (30,278 | ) | |||
Exercised | — | — | |||||
Balance at December 31, 2009 | — | $ | — | ||||
Mortgage Securities | |||||||
Balance at December 31, 2008 | — | $ | — | ||||
Opened | 78 | 48,500 | |||||
Closed | (73 | ) | (47,812 | ) | |||
Expired | (5 | ) | (688 | ) | |||
Exercised | — | — | |||||
Balance at December 31, 2009 | — | $ | — | ||||
(6) SECURITY TRANSACTIONS WITH AFFILIATED FUNDS
The Portfolios are permitted to purchase or sell securities from or to certain other Portfolios under specified conditions outlined in procedures adopted by the Board of Directors. The procedures have been designed to ensure that any purchase or sale of securities by the Portfolio from or to another portfolio or fund that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Directors and/ or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. Pursuant to these procedures, during the year ended December 31, 2009, the Portfolios engaged in purchases and sales of securities of $11,570,564 and $11,805,423, respectively.
(7) SHARES OF BENEFICIAL INTEREST
The shares of each Portfolio have equal rights and privileges with all shares of that Portfolio. Shares in the Portfolio are currently sold only to separate accounts of Thrivent Financial, Thrivent Life and retirement plans sponsored by Thrivent Financial.
Authorized capital stock consists of ten billion shares as follows:
Portfolio | Shares Authorized | Par Value | |||
Aggressive Allocation | 300,000,000 | $ | 0.01 | ||
Moderately Aggressive Allocation | 350,000,000 | 0.01 | |||
Moderate Allocation | 350,000,000 | 0.01 | |||
Moderately Conservative Allocation | 300,000,000 | 0.01 | |||
Partner Technology | 100,000,000 | 0.01 | |||
Partner Healthcare | 200,000,000 | 0.01 | |||
Partner Natural Resources | 200,000,000 | 0.01 | |||
Partner Emerging Markets | 200,000,000 | 0.01 | |||
Real Estate Securities | 200,000,000 | 0.01 | |||
Partner Utilities | 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 II | 200,000,000 | 0.01 | |||
Mid Cap Growth | 200,000,000 | 0.01 | |||
Partner Mid Cap Value | 200,000,000 | 0.01 | |||
Mid Cap Stock | 200,000,000 | 0.01 | |||
Mid Cap Index | 200,000,000 | 0.01 | |||
Partner Worldwide Allocation | 200,000,000 | 0.01 | |||
353
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2009
(7) SHARES OF BENEFICIAL INTEREST – CONTINUED
Portfolio | Shares Authorized | Par Value | |||
Partner International Stock | 250,000,000 | $ | 0.01 | ||
Partner Socially Responsible Stock | 200,000,000 | 0.01 | |||
Partner All Cap Growth | 200,000,000 | 0.01 | |||
Partner All Cap Value | 200,000,000 | 0.01 | |||
Partner All Cap | 200,000,000 | 0.01 | |||
Large Cap Growth II | 200,000,000 | 0.01 | |||
Large Cap Growth | 300,000,000 | 0.01 | |||
Partner Growth Stock | 200,000,000 | 0.01 | |||
Large Cap Value | 200,000,000 | 0.01 | |||
Large Cap Stock | 250,000,000 | 0.01 | |||
Large Cap Index | 200,000,000 | 0.01 | |||
Equity Income Plus | 200,000,000 | 0.01 | |||
Balanced | 200,000,000 | 0.01 | |||
High Yield | 300,000,000 | 0.01 | |||
Diversified Income Plus | 200,000,000 | 0.01 | |||
Partner Socially Responsible Bond | 200,000,000 | 0.01 | |||
Income | 300,000,000 | 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 | 1,200,000,000 | 0.01 | |||
(8) SUBSEQUENT EVENTS
Management of the Portfolios has evaluated the impact of subsequent events through February 18, 2010, the date the financial statements were issued, and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.
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355
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Financial Highlights
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | |||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | ||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | ||||||||||||||||||
AGGRESSIVE ALLOCATION PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 8.51 | $ | 0.09 | $ | 2.47 | $ | 2.56 | $ | (0.41 | ) | $ | — | ||||||||||
Year Ended 12/31/2008 | 14.09 | 0.25 | (5.34 | ) | (5.09 | ) | (0.18 | ) | (0.31 | ) | |||||||||||||
Year Ended 12/31/2007 | 13.01 | 0.13 | 1.09 | 1.22 | (0.08 | ) | (0.06 | ) | |||||||||||||||
Year Ended 12/31/2006 | 11.44 | 0.07 | 1.50 | 1.57 | — | — | |||||||||||||||||
Year Ended 12/31/2005 (c) | 10.00 | — | 1.44 | 1.44 | — | — | |||||||||||||||||
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 8.64 | 0.17 | 2.37 | 2.54 | (0.46 | ) | — | ||||||||||||||||
Year Ended 12/31/2008 | 13.48 | 0.33 | (4.71 | ) | (4.38 | ) | (0.23 | ) | (0.23 | ) | |||||||||||||
Year Ended 12/31/2007 | 12.66 | 0.18 | 0.80 | 0.98 | (0.11 | ) | (0.05 | ) | |||||||||||||||
Year Ended 12/31/2006 | 11.19 | 0.12 | 1.35 | 1.47 | — | — | |||||||||||||||||
Year Ended 12/31/2005 (c) | 10.00 | 0.02 | 1.19 | 1.21 | (0.02 | ) | — | ||||||||||||||||
MODERATE ALLOCATION PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 8.92 | 0.23 | 2.14 | 2.37 | (0.47 | ) | — | ||||||||||||||||
Year Ended 12/31/2008 | 12.82 | 0.37 | (3.83 | ) | (3.46 | ) | (0.27 | ) | (0.17 | ) | |||||||||||||
Year Ended 12/31/2007 | 12.22 | 0.24 | 0.58 | 0.82 | (0.15 | ) | (0.07 | ) | |||||||||||||||
Year Ended 12/31/2006 | 10.96 | 0.18 | 1.08 | 1.26 | — | — | |||||||||||||||||
Year Ended 12/31/2005 (c) | 10.00 | 0.04 | 0.96 | 1.00 | (0.04 | ) | — | ||||||||||||||||
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 9.27 | 0.24 | 1.82 | 2.06 | (0.42 | ) | — | ||||||||||||||||
Year Ended 12/31/2008 | 12.08 | 0.37 | (2.80 | ) | (2.43 | ) | (0.29 | ) | (0.09 | ) | |||||||||||||
Year Ended 12/31/2007 | 11.69 | 0.27 | 0.39 | 0.66 | (0.20 | ) | (0.07 | ) | |||||||||||||||
Year Ended 12/31/2006 | 10.68 | 0.23 | 0.78 | 1.01 | — | — | |||||||||||||||||
Year Ended 12/31/2005 (c) | 10.00 | 0.06 | 0.68 | 0.74 | (0.06 | ) | — | ||||||||||||||||
PARTNER TECHNOLOGY PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 3.63 | (0.03 | ) | 2.09 | 2.06 | — | — | ||||||||||||||||
Year Ended 12/31/2008 | 8.24 | — | (3.59 | ) | (3.59 | ) | — | (1.02 | ) | ||||||||||||||
Year Ended 12/31/2007 | 7.67 | (0.01 | ) | 0.85 | 0.84 | — | (0.27 | ) | |||||||||||||||
Year Ended 12/31/2006 | 7.53 | (0.02 | ) | 0.26 | 0.24 | — | (0.10 | ) | |||||||||||||||
Year Ended 12/31/2005 | 7.28 | (0.02 | ) | 0.29 | 0.27 | (0.02 | ) | — | |||||||||||||||
| (a) | 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) | Since inception, April 29, 2005. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
356
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||
| $ | (0.41 | ) | $ | 10.66 | 30.62 | % | $ | 497.6 | 0.23 | % | 1.29 | % | 0.26 | % | 1.27 | % | 22 | % | ||||||||
| (0.49 | ) | 8.51 | (37.23 | )% | 354.3 | 0.20 | % | 2.45 | % | 0.20 | % | 2.45 | % | 30 | % | |||||||||||
| (0.14 | ) | 14.09 | 9.33 | % | 496.4 | 0.15 | % | 1.17 | % | 0.20 | % | 1.12 | % | 16 | % | |||||||||||
| — | 13.01 | 13.77 | % | 333.6 | 0.04 | % | 0.88 | % | 0.20 | % | 0.72 | % | 8 | % | ||||||||||||
| — | 11.44 | 14.45 | % | 71.8 | 0.10 | % | 0.11 | % | 0.37 | % | (0.16 | )% | 7 | % | ||||||||||||
| (0.46 | ) | 10.72 | 29.80 | % | 1,983.0 | 0.20 | % | 2.41 | % | 0.20 | % | 2.41 | % | 17 | % | |||||||||||
| (0.46 | ) | 8.64 | (33.40 | )% | 1,354.6 | 0.17 | % | 3.36 | % | 0.17 | % | 3.36 | % | 27 | % | |||||||||||
| (0.16 | ) | 13.48 | 7.74 | % | 1,780.8 | 0.13 | % | 1.86 | % | 0.17 | % | 1.82 | % | 18 | % | |||||||||||
| — | 12.66 | 13.15 | % | 1,063.8 | 0.05 | % | 1.58 | % | 0.18 | % | 1.44 | % | 14 | % | ||||||||||||
| (0.02 | ) | 11.19 | 12.12 | % | 238.1 | 0.10 | % | 0.69 | % | 0.24 | % | 0.55 | % | 4 | % | |||||||||||
| (0.47 | ) | 10.82 | 26.89 | % | 2,658.5 | 0.19 | % | 3.16 | % | 0.19 | % | 3.16 | % | 16 | % | |||||||||||
| (0.44 | ) | 8.92 | (27.74 | )% | 1,811.6 | 0.17 | % | 3.91 | % | 0.17 | % | 3.91 | % | 22 | % | |||||||||||
| (0.22 | ) | 12.82 | 6.75 | % | 2,168.9 | 0.14 | % | 2.68 | % | 0.17 | % | 2.65 | % | 18 | % | |||||||||||
| — | 12.22 | 11.52 | % | 1,274.0 | 0.08 | % | 2.29 | % | 0.18 | % | 2.19 | % | 19 | % | ||||||||||||
| (0.04 | ) | 10.96 | 9.98 | % | 331.2 | 0.12 | % | 1.29 | % | 0.22 | % | 1.19 | % | 4 | % | |||||||||||
| (0.42 | ) | 10.91 | 22.53 | % | 1,075.4 | 0.22 | % | 3.41 | % | 0.22 | % | 3.41 | % | 16 | % | |||||||||||
| (0.38 | ) | 9.27 | (20.61 | )% | 714.8 | 0.18 | % | 4.09 | % | 0.18 | % | 4.09 | % | 21 | % | |||||||||||
| (0.27 | ) | 12.08 | 5.59 | % | 756.9 | 0.17 | % | 3.36 | % | 0.19 | % | 3.34 | % | 13 | % | |||||||||||
| — | 11.69 | 9.53 | % | 434.9 | 0.15 | % | 2.94 | % | 0.20 | % | 2.89 | % | 19 | % | ||||||||||||
| (0.06 | ) | 10.68 | 7.40 | % | 146.7 | 0.17 | % | 2.12 | % | 0.27 | % | 2.02 | % | 5 | % | |||||||||||
| — | 5.69 | 56.58 | % | 30.9 | 1.22 | % | (0.67 | )% | 1.23 | % | (0.68 | )% | 181 | % | ||||||||||||
| (1.02 | ) | 3.63 | (48.32 | )% | 24.3 | 0.89 | % | (0.01 | )% | 0.91 | % | (0.03 | )% | 269 | % | |||||||||||
| (0.27 | ) | 8.24 | 11.08 | % | 56.6 | 0.86 | % | (0.14 | )% | 0.87 | % | (0.15 | )% | 147 | % | |||||||||||
| (0.10 | ) | 7.67 | 3.26 | % | 53.4 | 0.88 | % | (0.23 | )% | 0.89 | % | (0.24 | )% | 133 | % | |||||||||||
| (0.02 | ) | 7.53 | 3.72 | % | 59.8 | 0.86 | % | (0.33 | )% | 0.88 | % | (0.34 | )% | 47 | % | |||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
357
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | |||||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | ||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | Return of Capital | |||||||||||||||||||||
PARTNER HEALTHCARE PORTFOLIO | |||||||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 8.94 | $ | 0.02 | $ | 2.12 | $ | 2.14 | $ | — | $ | — | $ | — | |||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | — | (1.05 | ) | (1.05 | ) | (0.01 | ) | — | — | |||||||||||||||||
PARTNER NATURAL RESOURCES PORTFOLIO | |||||||||||||||||||||||||||
Year Ended 12/31/2009 | 5.72 | 0.01 | 2.50 | 2.51 | — | — | — | ||||||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.01 | (4.28 | ) | (4.27 | ) | (0.01 | ) | — | — | |||||||||||||||||
PARTNER EMERGING MARKETS PORTFOLIO | |||||||||||||||||||||||||||
Year Ended 12/31/2009 | 5.59 | 0.04 | 4.13 | 4.17 | (0.04 | ) | — | — | |||||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.06 | (4.42 | ) | (4.36 | ) | (0.05 | ) | — | — | |||||||||||||||||
REAL ESTATE SECURITIES PORTFOLIO | |||||||||||||||||||||||||||
Year Ended 12/31/2009 | 9.34 | 0.29 | 2.44 | 2.73 | (0.29 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended 12/31/2008 | 17.74 | 0.41 | (6.35 | ) | (5.94 | ) | (0.74 | ) | (1.46 | ) | (0.26 | ) | |||||||||||||||
Year Ended 12/31/2007 | 22.93 | 0.32 | (3.84 | ) | (3.52 | ) | (0.30 | ) | (1.37 | ) | — | ||||||||||||||||
Year Ended 12/31/2006 | 18.16 | 0.29 | 5.65 | 5.94 | (0.29 | ) | (0.88 | ) | — | ||||||||||||||||||
Year Ended 12/31/2005 | 17.04 | 0.26 | 1.80 | 2.06 | (0.24 | ) | (0.70 | ) | — | ||||||||||||||||||
PARTNER UTILITIES PORTFOLIO | |||||||||||||||||||||||||||
Year Ended 12/31/2009 | 6.93 | 0.18 | 0.65 | 0.83 | — | — | — | ||||||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.12 | (3.08 | ) | (2.96 | ) | (0.11 | ) | — | — | |||||||||||||||||
PARTNER SMALL CAP GROWTH PORTFOLIO | |||||||||||||||||||||||||||
Year Ended 12/31/2009 | 7.45 | (0.03 | ) | 2.62 | 2.59 | (0.01 | ) | — | — | ||||||||||||||||||
Year Ended 12/31/2008 | 13.94 | 0.01 | (5.77 | ) | (5.76 | ) | — | (0.73 | ) | — | |||||||||||||||||
Year Ended 12/31/2007 | 13.58 | (0.04 | ) | 1.21 | 1.17 | — | (0.81 | ) | — | ||||||||||||||||||
Year Ended 12/31/2006 | 12.11 | (0.05 | ) | 1.57 | 1.52 | — | (0.05 | ) | — | ||||||||||||||||||
Year Ended 12/31/2005 | 12.33 | (0.06 | ) | 0.50 | 0.44 | — | (0.66 | ) | — | ||||||||||||||||||
| (a) | 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) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
358
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||
| $ | — | $ | 11.08 | 23.83 | % | $ | 13.3 | 1.39 | % | 0.19 | % | 2.10 | % | (0.52 | )% | 80 | % | |||||||||
| (0.01 | ) | 8.94 | (10.48 | )% | 7.1 | 1.39 | % | (0.09 | )% | 2.12 | % | (0.83 | )% | 40 | % | |||||||||||
| — | 8.23 | 43.72 | % | 21.1 | 1.19 | % | 0.15 | % | 1.70 | % | (0.36 | )% | 2 | % | ||||||||||||
| (0.01 | ) | 5.72 | (42.68 | )% | 6.6 | 1.19 | % | 0.23 | % | 1.87 | % | (0.45 | )% | 1 | % | |||||||||||
| (0.04 | ) | 9.72 | 74.70 | % | 17.4 | 1.50 | % | 0.78 | % | 2.91 | % | (0.63 | )% | 13 | % | |||||||||||
| (0.05 | ) | 5.59 | (43.58 | )% | 5.3 | 1.50 | % | 1.18 | % | 2.68 | % | 0.00 | % | 25 | % | |||||||||||
| (0.40 | ) | 11.67 | 29.08 | % | 265.4 | 0.89 | % | 3.34 | % | 0.90 | % | 3.33 | % | 18 | % | |||||||||||
| (2.46 | ) | 9.34 | (37.24 | )% | 197.4 | 0.85 | % | 2.74 | % | 0.86 | % | 2.73 | % | 45 | % | |||||||||||
| (1.67 | ) | 17.74 | (16.80 | )% | 326.4 | 0.86 | % | 1.60 | % | 0.86 | % | 1.60 | % | 71 | % | |||||||||||
| (1.17 | ) | 22.93 | 34.18 | % | 367.9 | 0.84 | % | 1.41 | % | 0.86 | % | 1.40 | % | 69 | % | |||||||||||
| (0.94 | ) | 18.16 | 13.25 | % | 274.6 | 0.86 | % | 1.88 | % | 0.87 | % | 1.87 | % | 83 | % | |||||||||||
| — | 7.76 | 12.00 | % | 6.4 | 0.90 | % | 2.93 | % | 3.10 | % | 0.73 | % | 22 | % | ||||||||||||
| (0.11 | ) | 6.93 | (29.57 | )% | 4.4 | 0.90 | % | 2.55 | % | 2.31 | % | 1.14 | % | 22 | % | |||||||||||
| (0.01 | ) | 10.03 | 34.75 | % | 160.5 | 1.02 | % | (0.39 | )% | 1.14 | % | (0.51 | )% | 118 | % | |||||||||||
| (0.73 | ) | 7.45 | (43.23 | )% | 112.5 | 0.98 | % | 0.08 | % | 1.09 | % | (0.04 | )% | 199 | % | |||||||||||
| (0.81 | ) | 13.94 | 8.52 | % | 167.6 | 0.99 | % | (0.32 | )% | 1.10 | % | (0.42 | )% | 98 | % | |||||||||||
| (0.05 | ) | 13.58 | 12.59 | % | 107.4 | 0.99 | % | (0.42 | )% | 1.12 | % | (0.55 | )% | 113 | % | |||||||||||
| (0.66 | ) | 12.11 | 3.96 | % | 64.7 | 0.99 | % | (0.60 | )% | 1.17 | % | (0.78 | )% | 104 | % | |||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
359
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||
PARTNER SMALL CAP VALUE PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 12.07 | $ | 0.11 | $ | 3.52 | $ | 3.63 | $ | (0.11 | ) | $ | (0.01 | ) | ||||||||
Year Ended 12/31/2008 | 18.44 | 0.13 | (4.85 | ) | (4.72 | ) | (0.20 | ) | (1.45 | ) | ||||||||||||
Year Ended 12/31/2007 | 19.57 | 0.11 | (0.21 | ) | (0.10 | ) | (0.07 | ) | (0.96 | ) | ||||||||||||
Year Ended 12/31/2006 | 16.82 | 0.08 | 3.45 | 3.53 | (0.04 | ) | (0.74 | ) | ||||||||||||||
Year Ended 12/31/2005 | 16.56 | 0.07 | 0.71 | 0.78 | (0.04 | ) | (0.48 | ) | ||||||||||||||
SMALL CAP STOCK PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 8.49 | 0.07 | 1.65 | 1.72 | (0.08 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 15.48 | 0.06 | (5.34 | ) | (5.28 | ) | (0.13 | ) | (1.58 | ) | ||||||||||||
Year Ended 12/31/2007 | 15.43 | 0.10 | 0.88 | 0.98 | (0.05 | ) | (0.88 | ) | ||||||||||||||
Year Ended 12/31/2006 | 14.62 | 0.05 | 1.78 | 1.83 | (0.02 | ) | (1.00 | ) | ||||||||||||||
Year Ended 12/31/2005 | 14.74 | 0.02 | 1.16 | 1.18 | (0.01 | ) | (1.29 | ) | ||||||||||||||
SMALL CAP INDEX PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 10.54 | 0.11 | 2.03 | 2.14 | (0.22 | ) | (1.89 | ) | ||||||||||||||
Year Ended 12/31/2008 | 19.21 | 0.22 | (5.15 | ) | (4.93 | ) | (0.20 | ) | (3.54 | ) | ||||||||||||
Year Ended 12/31/2007 | 21.55 | 0.24 | (0.11 | ) | 0.13 | (0.14 | ) | (2.33 | ) | |||||||||||||
Year Ended 12/31/2006 | 19.41 | 0.17 | 2.64 | 2.81 | (0.14 | ) | (0.53 | ) | ||||||||||||||
Year Ended 12/31/2005 | 19.26 | 0.15 | 1.18 | 1.33 | (0.13 | ) | (1.05 | ) | ||||||||||||||
MID CAP GROWTH PORTFOLIO II | ||||||||||||||||||||||
Year Ended 12/31/2009 | 5.65 | — | 2.78 | 2.78 | — | — | ||||||||||||||||
Year Ended 12/31/2008 | 11.42 | 0.01 | (4.37 | ) | (4.36 | ) | (0.03 | ) | (1.38 | ) | ||||||||||||
Year Ended 12/31/2007 | 11.37 | 0.03 | 2.13 | 2.16 | (0.06 | ) | (2.05 | ) | ||||||||||||||
Year Ended 12/31/2006 | 10.60 | 0.06 | 0.85 | 0.91 | (0.02 | ) | (0.12 | ) | ||||||||||||||
Year Ended 12/31/2005 | 9.53 | 0.02 | 1.05 | 1.07 | — | — | ||||||||||||||||
MID CAP GROWTH PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 9.55 | 0.04 | 4.83 | 4.87 | — | — | ||||||||||||||||
Year Ended 12/31/2008 | 20.18 | 0.10 | (7.19 | ) | (7.09 | ) | (0.18 | ) | (3.36 | ) | ||||||||||||
Year Ended 12/31/2007 | 17.59 | 0.08 | 3.38 | 3.46 | (0.08 | ) | (0.79 | ) | ||||||||||||||
Year Ended 12/31/2006 | 16.21 | 0.08 | 1.32 | 1.40 | (0.02 | ) | — | |||||||||||||||
Year Ended 12/31/2005 | 14.57 | 0.02 | 1.62 | 1.64 | — | — | ||||||||||||||||
| (a) | 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. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
360
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||
| $ | (0.12 | ) | $ | 15.58 | 30.24 | % | $ | 226.3 | 0.89 | % | 0.86 | % | 0.90 | % | 0.85 | % | 19 | % | ||||||||
| (1.65 | ) | 12.07 | (27.05 | )% | 167.9 | 0.86 | % | 1.08 | % | 0.87 | % | 1.07 | % | 31 | % | |||||||||||
| (1.03 | ) | 18.44 | (1.03 | )% | 185.6 | 0.86 | % | 0.68 | % | 0.87 | % | 0.66 | % | 29 | % | |||||||||||
| (0.78 | ) | 19.57 | 21.50 | % | 163.6 | 0.86 | % | 0.52 | % | 0.88 | % | 0.51 | % | 25 | % | |||||||||||
| (0.52 | ) | 16.82 | 4.89 | % | 106.2 | 0.88 | % | 0.51 | % | 0.89 | % | 0.49 | % | 37 | % | |||||||||||
| (0.08 | ) | 10.13 | 20.38 | % | 258.5 | 0.78 | % | 0.65 | % | 0.78 | % | 0.65 | % | 254 | % | |||||||||||
| (1.71 | ) | 8.49 | (37.52 | )% | 288.1 | 0.73 | % | 0.66 | % | 0.75 | % | 0.64 | % | 286 | % | |||||||||||
| (0.93 | ) | 15.48 | 6.14 | % | 399.9 | 0.72 | % | 0.66 | % | 0.74 | % | 0.65 | % | 126 | % | |||||||||||
| (1.02 | ) | 15.43 | 12.79 | % | 406.7 | 0.73 | % | 0.33 | % | 0.74 | % | 0.32 | % | 94 | % | |||||||||||
| (1.30 | ) | 14.62 | 8.81 | % | 290.2 | 0.74 | % | 0.20 | % | 0.76 | % | 0.19 | % | 113 | % | |||||||||||
| (2.11 | ) | 10.57 | 25.29 | % | 203.9 | 0.47 | % | 0.94 | % | 0.48 | % | 0.94 | % | 13 | % | |||||||||||
| (3.74 | ) | 10.54 | (31.07 | )% | 192.2 | 0.42 | % | 1.28 | % | 0.42 | % | 1.28 | % | 31 | % | |||||||||||
| (2.47 | ) | 19.21 | (0.50 | )% | 357.9 | 0.39 | % | 1.00 | % | 0.39 | % | 0.99 | % | 16 | % | |||||||||||
| (0.67 | ) | 21.55 | 14.72 | % | 439.8 | 0.39 | % | 0.71 | % | 0.39 | % | 0.71 | % | 14 | % | |||||||||||
| (1.18 | ) | 19.41 | 7.32 | % | 473.7 | 0.39 | % | 0.75 | % | 0.39 | % | 0.75 | % | 14 | % | |||||||||||
| — | 8.43 | 49.31 | % | 125.8 | 0.68 | % | (0.05 | )% | 1.05 | % | (0.42 | )% | 73 | % | ||||||||||||
| (1.41 | ) | 5.65 | (42.71 | )% | 80.8 | 0.56 | % | 0.30 | % | 1.07 | % | (0.22 | )% | 104 | % | |||||||||||
| (2.11 | ) | 11.42 | 19.80 | % | 32.4 | 0.59 | % | 0.18 | % | 1.11 | % | (0.33 | )% | 81 | % | |||||||||||
| (0.14 | ) | 11.37 | 8.60 | % | 31.7 | 0.39 | % | 0.44 | % | 1.11 | % | (0.28 | )% | 147 | % | |||||||||||
| — | 10.60 | 11.22 | % | 38.2 | 0.39 | % | 0.17 | % | 1.10 | % | (0.54 | )% | 136 | % | ||||||||||||
| — | 14.42 | 50.94 | % | 365.2 | 0.48 | % | 0.30 | % | 0.48 | % | 0.29 | % | 61 | % | ||||||||||||
| (3.54 | ) | 9.55 | (41.13 | )% | 275.1 | 0.44 | % | 0.54 | % | 0.45 | % | 0.52 | % | 82 | % | |||||||||||
| (0.87 | ) | 20.18 | 19.92 | % | 669.8 | 0.44 | % | 0.35 | % | 0.45 | % | 0.34 | % | 80 | % | |||||||||||
| (0.02 | ) | 17.59 | 8.63 | % | 654.9 | 0.45 | % | 0.40 | % | 0.45 | % | 0.40 | % | 149 | % | |||||||||||
| — | 16.21 | 11.27 | % | 747.5 | 0.45 | % | 0.11 | % | 0.45 | % | 0.11 | % | 135 | % | ||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
361
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||
PARTNER MID CAP VALUE PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 8.25 | $ | 0.12 | $ | 2.54 | $ | 2.66 | $ | (0.09 | ) | $ | — | |||||||||
Year Ended 12/31/2008 | 13.41 | 0.08 | (4.61 | ) | (4.53 | ) | (0.18 | ) | (0.45 | ) | ||||||||||||
Year Ended 12/31/2007 | 13.06 | 0.14 | 0.28 | 0.42 | — | (0.07 | ) | |||||||||||||||
Year Ended 12/31/2006 | 11.48 | 0.10 | 1.70 | 1.80 | (0.10 | ) | (0.12 | ) | ||||||||||||||
Year Ended 12/31/2005 (c) | 10.00 | 0.04 | 1.51 | 1.55 | (0.04 | ) | (0.03 | ) | ||||||||||||||
MID CAP STOCK PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 7.08 | 0.05 | 2.72 | 2.77 | (0.05 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 13.15 | 0.04 | (5.08 | ) | (5.04 | ) | (0.12 | ) | (0.91 | ) | ||||||||||||
Year Ended 12/31/2007 | 13.41 | 0.08 | 0.76 | 0.84 | (0.12 | ) | (0.98 | ) | ||||||||||||||
Year Ended 12/31/2006 | 12.82 | 0.13 | 1.51 | 1.64 | (0.05 | ) | (1.00 | ) | ||||||||||||||
Year Ended 12/31/2005 | 11.66 | 0.05 | 1.76 | 1.81 | (0.02 | ) | (0.63 | ) | ||||||||||||||
MID CAP INDEX PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 8.31 | 0.12 | 2.72 | 2.84 | (0.18 | ) | (0.60 | ) | ||||||||||||||
Year Ended 12/31/2008 | 15.20 | 0.19 | (5.02 | ) | (4.83 | ) | (0.19 | ) | (1.87 | ) | ||||||||||||
Year Ended 12/31/2007 | 15.05 | 0.20 | 1.00 | 1.20 | (0.15 | ) | (0.90 | ) | ||||||||||||||
Year Ended 12/31/2006 | 14.43 | 0.18 | 1.20 | 1.38 | (0.14 | ) | (0.62 | ) | ||||||||||||||
Year Ended 12/31/2005 | 13.34 | 0.14 | 1.44 | 1.58 | (0.07 | ) | (0.42 | ) | ||||||||||||||
PARTNER WORLDWIDE ALLOCATION PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 6.03 | 0.10 | 1.81 | 1.91 | (0.10 | ) | — | |||||||||||||||
Year Ended 12/31/2008 (d) | 10.00 | 0.07 | (3.98 | ) | (3.91 | ) | (0.06 | ) | — | |||||||||||||
PARTNER INTERNATIONAL STOCK PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 8.18 | 0.20 | 1.82 | 2.02 | (0.21 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 17.26 | 0.33 | (6.56 | ) | (6.23 | ) | (0.68 | ) | (2.17 | ) | ||||||||||||
Year Ended 12/31/2007 | 16.32 | 0.36 | 1.37 | 1.73 | (0.24 | ) | (0.55 | ) | ||||||||||||||
Year Ended 12/31/2006 | 13.63 | 0.23 | 2.67 | 2.90 | (0.21 | ) | — | |||||||||||||||
Year Ended 12/31/2005 | 12.12 | 0.17 | 1.48 | 1.65 | (0.14 | ) | — | |||||||||||||||
PARTNER SOCIALLY RESPONSIBLE STOCK PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 6.48 | 0.03 | 2.29 | 2.32 | (0.04 | ) | — | |||||||||||||||
Year Ended 12/31/2008 (d) | 10.00 | 0.02 | (3.52 | ) | (3.50 | ) | (0.02 | ) | — | |||||||||||||
| (a) | 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) | Since inception, April 29, 2005. |
| (d) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
362
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | |||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | ||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | |||||||||||||||||
| $ | (0.09) | $ | 10.82 | 32.33 | % | $ | 183.7 | 0.87 | % | 1.42 | % | 0.88 | % | 1.41 | % | 114 | % | ||||||||
| (0.63) | 8.25 | (35.05 | )% | 123.3 | 0.83 | % | 1.41 | % | 0.85 | % | 1.39 | % | 97 | % | |||||||||||
| (0.07) | 13.41 | 3.16 | % | 95.0 | 0.89 | % | 1.24 | % | 0.90 | % | 1.23 | % | 85 | % | |||||||||||
| (0.22) | 13.06 | 15.72 | % | 54.9 | 0.96 | % | 1.07 | % | 0.98 | % | 1.05 | % | 57 | % | |||||||||||
| (0.07) | 11.48 | 15.44 | % | 21.2 | 1.25 | % | 0.88 | % | 1.49 | % | 0.63 | % | 30 | % | |||||||||||
| (0.05) | 9.80 | 39.10 | % | 443.5 | 0.73 | % | 0.55 | % | 0.74 | % | 0.54 | % | 53 | % | |||||||||||
| (1.03) | 7.08 | (40.75 | )% | 379.9 | 0.72 | % | 0.81 | % | 0.73 | % | 0.80 | % | 234 | % | |||||||||||
| (1.10) | 13.15 | 5.70 | % | 387.9 | 0.72 | % | 0.70 | % | 0.74 | % | 0.69 | % | 215 | % | |||||||||||
| (1.05) | 13.41 | 13.41 | % | 363.8 | 0.73 | % | 1.26 | % | 0.75 | % | 1.24 | % | 184 | % | |||||||||||
| (0.65) | 12.82 | 16.37 | % | 224.2 | 0.76 | % | 0.62 | % | 0.78 | % | 0.60 | % | 124 | % | |||||||||||
| (0.78) | 10.37 | 36.69 | % | 86.9 | 0.56 | % | 1.19 | % | 0.57 | % | 1.19 | % | 18 | % | |||||||||||
| (2.06) | 8.31 | (36.29 | )% | 75.1 | 0.46 | % | 1.33 | % | 0.46 | % | 1.32 | % | 24 | % | |||||||||||
| (1.05) | 15.20 | 7.63 | % | 146.2 | 0.43 | % | 1.16 | % | 0.43 | % | 1.15 | % | 20 | % | |||||||||||
| (0.76) | 15.05 | 9.81 | % | 159.8 | 0.43 | % | 1.10 | % | 0.43 | % | 1.10 | % | 11 | % | |||||||||||
| (0.49) | 14.43 | 12.34 | % | 171.5 | 0.43 | % | 1.08 | % | 0.44 | % | 1.07 | % | 19 | % | |||||||||||
| (0.10) | 7.84 | 31.67 | % | 254.9 | 1.00 | % | 2.01 | % | 1.20 | % | 1.81 | % | 80 | % | |||||||||||
| (0.06) | 6.03 | (39.09 | )% | 105.9 | 1.00 | % | 2.17 | % | 1.25 | % | 1.92 | % | 49 | % | |||||||||||
| (0.21) | 9.99 | 24.79 | % | 882.9 | 0.85 | % | 2.29 | % | 0.91 | % | 2.23 | % | 76 | % | |||||||||||
| (2.85) | 8.18 | (41.10 | )% | 778.1 | 0.81 | % | 2.54 | % | 0.89 | % | 2.46 | % | 70 | % | |||||||||||
| (0.79) | 17.26 | 10.57 | % | 1,443.8 | 0.81 | % | 2.11 | % | 0.88 | % | 2.04 | % | 113 | % | |||||||||||
| (0.21) | 16.32 | 21.50 | % | 1,341.8 | 0.89 | % | 1.51 | % | 0.89 | % | 1.51 | % | 50 | % | |||||||||||
| (0.14) | 13.63 | 13.71 | % | 1,055.9 | 0.94 | % | 1.58 | % | 0.94 | % | 1.58 | % | 46 | % | |||||||||||
| (0.04) | 8.76 | 35.65 | % | 4.1 | 0.98 | % | 0.41 | % | 4.06 | % | (2.67 | )% | 41 | % | |||||||||||
| (0.02) | 6.48 | (34.98 | )% | 3.2 | 0.98 | % | 0.30 | % | 2.19 | % | (0.92 | )% | 32 | % | |||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
363
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | |||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | ||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | ||||||||||||||||||
PARTNER ALL CAP GROWTH PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 5.34 | $ | (0.01 | ) | $ | 2.70 | $ | 2.69 | $ | — | $ | — | ||||||||||
Year Ended 12/31/2008 (c) | 10.00 | (0.01 | ) | (4.65 | ) | (4.66 | ) | — | — | ||||||||||||||
PARTNER ALL CAP VALUE PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 5.47 | 0.06 | 2.20 | 2.26 | (0.08 | ) | — | ||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.08 | (4.51 | ) | (4.43 | ) | (0.10 | ) | — | ||||||||||||||
PARTNER ALL CAP PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 6.10 | 0.06 | 1.66 | 1.72 | (0.09 | ) | — | ||||||||||||||||
Year Ended 12/31/2008 | 13.00 | 0.09 | (5.05 | ) | (4.96 | ) | (0.08 | ) | (1.86 | ) | |||||||||||||
Year Ended 12/31/2007 | 12.03 | 0.07 | 2.28 | 2.35 | (0.06 | ) | (1.32 | ) | |||||||||||||||
Year Ended 12/31/2006 | 10.47 | 0.06 | 1.55 | 1.61 | (0.05 | ) | — | ||||||||||||||||
Year Ended 12/31/2005 | 8.89 | 0.05 | 1.58 | 1.63 | (0.05 | ) | — | ||||||||||||||||
LARGE CAP GROWTH PORTFOLIO II | |||||||||||||||||||||||
Year Ended 12/31/2009 | 5.85 | 0.05 | 2.26 | 2.31 | (0.04 | ) | (0.80 | ) | |||||||||||||||
Year Ended 12/31/2008 | 11.96 | 0.02 | (4.49 | ) | (4.47 | ) | (0.06 | ) | (1.58 | ) | |||||||||||||
Year Ended 12/31/2007 | 11.00 | 0.06 | 1.71 | 1.77 | (0.08 | ) | (0.73 | ) | |||||||||||||||
Year Ended 12/31/2006 | 10.37 | 0.07 | 0.63 | 0.70 | (0.06 | ) | (0.01 | ) | |||||||||||||||
Year Ended 12/31/2005 | 9.77 | 0.06 | 0.62 | 0.68 | (0.08 | ) | — | ||||||||||||||||
LARGE CAP GROWTH PORTFOLIO | |||||||||||||||||||||||
Year Ended 12/31/2009 | 10.96 | 0.11 | 4.43 | 4.54 | (0.10 | ) | — | ||||||||||||||||
Year Ended 12/31/2008 | 19.23 | 0.18 | (8.26 | ) | (8.08 | ) | (0.19 | ) | — | ||||||||||||||
Year Ended 12/31/2007 | 16.64 | 0.12 | 2.67 | 2.79 | (0.20 | ) | — | ||||||||||||||||
Year Ended 12/31/2006 | 15.67 | 0.09 | 0.96 | 1.05 | (0.08 | ) | — | ||||||||||||||||
Year Ended 12/31/2005 | 14.76 | 0.08 | 0.95 | 1.03 | (0.12 | ) | — | ||||||||||||||||
| (a) | 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) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
364
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||
| $ | — | $ | 8.03 | 50.32 | % | $ | 8.1 | 1.00 | % | (0.15 | )% | 3.79 | % | (2.94 | )% | 46 | % | |||||||||
| — | 5.34 | (46.57 | )% | 2.4 | 1.00 | % | (0.14 | )% | 2.64 | % | (1.79 | )% | 62 | % | ||||||||||||
| (0.08 | ) | 7.65 | 41.20 | % | 5.5 | 0.98 | % | 1.26 | % | 4.67 | % | (2.43 | )% | 143 | % | |||||||||||
| (0.10 | ) | 5.47 | (44.21 | )% | 2.5 | 0.98 | % | 1.43 | % | 2.80 | % | (0.40 | )% | 168 | % | |||||||||||
| (0.09 | ) | 7.73 | 28.48 | % | 62.6 | 1.04 | % | 0.76 | % | 1.24 | % | 0.56 | % | 231 | % | |||||||||||
| (1.94 | ) | 6.10 | (42.91 | )% | 56.2 | 0.86 | % | 0.84 | % | 1.07 | % | 0.64 | % | 260 | % | |||||||||||
| (1.38 | ) | 13.00 | 20.37 | % | 117.6 | 0.84 | % | 0.61 | % | 1.05 | % | 0.41 | % | 169 | % | |||||||||||
| (0.05 | ) | 12.03 | 15.47 | % | 96.5 | 0.85 | % | 0.51 | % | 1.05 | % | 0.31 | % | 162 | % | |||||||||||
| (0.05 | ) | 10.47 | 18.33 | % | 82.2 | 0.95 | % | 0.62 | % | 1.08 | % | 0.49 | % | 150 | % | |||||||||||
| (0.84 | ) | 7.32 | 39.78 | % | 357.4 | 0.57 | % | 0.67 | % | 0.87 | % | 0.37 | % | 235 | % | |||||||||||
| (1.64 | ) | 5.85 | (41.92 | )% | 309.0 | 0.62 | % | 0.90 | % | 1.03 | % | 0.49 | % | 149 | % | |||||||||||
| (0.81 | ) | 11.96 | 16.47 | % | 34.0 | 0.65 | % | 0.39 | % | 1.06 | % | (0.01 | )% | 156 | % | |||||||||||
| (0.07 | ) | 11.00 | 6.78 | % | 35.9 | 0.40 | % | 0.57 | % | 1.03 | % | (0.07 | )% | 132 | % | |||||||||||
| (0.08 | ) | 10.37 | 7.08 | % | 42.6 | 0.40 | % | 0.55 | % | 1.00 | % | (0.05 | )% | 113 | % | |||||||||||
| (0.10 | ) | 15.40 | 41.40 | % | 1,025.3 | 0.45 | % | 0.79 | % | 0.45 | % | 0.79 | % | 216 | % | |||||||||||
| (0.19 | ) | 10.96 | (42.00 | )% | 844.5 | 0.44 | % | 0.74 | % | 0.45 | % | 0.73 | % | 177 | % | |||||||||||
| (0.20 | ) | 19.23 | 16.75 | % | 2,553.5 | 0.44 | % | 0.63 | % | 0.45 | % | 0.63 | % | 163 | % | |||||||||||
| (0.08 | ) | 16.64 | 6.72 | % | 2,331.7 | 0.45 | % | 0.54 | % | 0.45 | % | 0.53 | % | 141 | % | |||||||||||
| (0.12 | ) | 15.67 | 7.01 | % | 2,375.0 | 0.45 | % | 0.50 | % | 0.45 | % | 0.50 | % | 111 | % | |||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
365
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||
PARTNER GROWTH STOCK PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 6.96 | $ | — | $ | 3.00 | $ | 3.00 | $ | (0.03 | ) | $ | — | |||||||||
Year Ended 12/31/2008 | 13.55 | 0.05 | (5.29 | ) | (5.24 | ) | (0.09 | ) | (1.26 | ) | ||||||||||||
Year Ended 12/31/2007 | 13.08 | 0.08 | 1.14 | 1.22 | (0.07 | ) | (0.68 | ) | ||||||||||||||
Year Ended 12/31/2006 | 11.86 | 0.07 | 1.45 | 1.52 | (0.02 | ) | (0.28 | ) | ||||||||||||||
Year Ended 12/31/2005 | 11.21 | 0.02 | 0.68 | 0.70 | (0.05 | ) | — | |||||||||||||||
LARGE CAP VALUE PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 8.10 | 0.16 | 1.55 | 1.71 | (0.16 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 13.41 | 0.23 | (4.66 | ) | (4.43 | ) | (0.43 | ) | (0.45 | ) | ||||||||||||
Year Ended 12/31/2007 | 13.50 | 0.19 | 0.48 | 0.67 | (0.17 | ) | (0.59 | ) | ||||||||||||||
Year Ended 12/31/2006 | 11.78 | 0.18 | 1.97 | 2.15 | (0.14 | ) | (0.29 | ) | ||||||||||||||
Year Ended 12/31/2005 | 11.14 | 0.14 | 0.63 | 0.77 | (0.13 | ) | — | |||||||||||||||
LARGE CAP STOCK PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 6.11 | 0.07 | 1.61 | 1.68 | (0.07 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 11.04 | 0.15 | (4.05 | ) | (3.90 | ) | (0.28 | ) | (0.75 | ) | ||||||||||||
Year Ended 12/31/2007 | 10.54 | 0.12 | 0.68 | 0.80 | (0.12 | ) | (0.18 | ) | ||||||||||||||
Year Ended 12/31/2006 | 9.62 | 0.13 | 0.99 | 1.12 | (0.07 | ) | (0.13 | ) | ||||||||||||||
Year Ended 12/31/2005 | 9.28 | 0.07 | 0.42 | 0.49 | (0.08 | ) | (0.07 | ) | ||||||||||||||
LARGE CAP INDEX PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 13.72 | 0.33 | 2.98 | 3.31 | (0.45 | ) | (0.82 | ) | ||||||||||||||
Year Ended 12/31/2008 | 25.18 | 0.47 | (8.99 | ) | (8.52 | ) | (0.50 | ) | (2.44 | ) | ||||||||||||
Year Ended 12/31/2007 | 25.32 | 0.49 | 0.87 | 1.36 | (0.44 | ) | (1.06 | ) | ||||||||||||||
Year Ended 12/31/2006 | 22.31 | 0.43 | 2.94 | 3.37 | (0.36 | ) | — | |||||||||||||||
Year Ended 12/31/2005 | 21.63 | 0.35 | 0.67 | 1.02 | (0.34 | ) | — | |||||||||||||||
EQUITY INCOME PLUS PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 6.89 | 0.14 | 1.01 | 1.15 | (0.13 | ) | — | |||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.15 | (3.11 | ) | (2.96 | ) | (0.15 | ) | — | |||||||||||||
| (a) | 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) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
366
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | |||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | ||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | |||||||||||||||||
| $ | (0.03) | $ | 9.93 | 43.17 | % | $ | 61.3 | 0.98 | % | 0.01 | % | 1.08 | % | (0.09 | )% | 53 | % | ||||||||
| (1.35) | 6.96 | (42.13 | )% | 52.1 | 0.82 | % | 0.34 | % | 0.92 | % | 0.23 | % | 44 | % | |||||||||||
| (0.75) | 13.55 | 9.28 | % | 118.1 | 0.80 | % | 0.59 | % | 0.91 | % | 0.48 | % | 55 | % | |||||||||||
| (0.30) | 13.08 | 13.17 | % | 116.7 | 0.79 | % | 0.55 | % | 0.90 | % | 0.44 | % | 39 | % | |||||||||||
| (0.05) | 11.86 | 6.32 | % | 120.4 | 0.90 | % | 0.23 | % | 0.90 | % | 0.22 | % | 42 | % | |||||||||||
| (0.16) | 9.65 | 21.11 | % | 733.0 | 0.65 | % | 1.77 | % | 0.65 | % | 1.77 | % | 110 | % | |||||||||||
| (0.88) | 8.10 | (34.33 | )% | 664.1 | 0.64 | % | 2.16 | % | 0.65 | % | 2.16 | % | 53 | % | |||||||||||
| (0.76) | 13.41 | 4.70 | % | 1,004.9 | 0.64 | % | 1.68 | % | 0.65 | % | 1.67 | % | 37 | % | |||||||||||
| (0.43) | 13.50 | 18.72 | % | 771.7 | 0.64 | % | 1.65 | % | 0.65 | % | 1.64 | % | 43 | % | |||||||||||
| (0.13) | 11.78 | 7.02 | % | 514.5 | 0.65 | % | 1.53 | % | 0.65 | % | 1.52 | % | 53 | % | |||||||||||
| (0.07) | 7.72 | 27.59 | % | 617.3 | 0.70 | % | 1.03 | % | 0.71 | % | 1.03 | % | 169 | % | |||||||||||
| (1.03) | 6.11 | (37.68 | )% | 497.4 | 0.66 | % | 1.42 | % | 0.67 | % | 1.41 | % | 100 | % | |||||||||||
| (0.30) | 11.04 | 7.57 | % | 1,060.1 | 0.65 | % | 1.31 | % | 0.66 | % | 1.30 | % | 114 | % | |||||||||||
| (0.20) | 10.54 | 11.95 | % | 829.3 | 0.67 | % | 1.45 | % | 0.68 | % | 1.44 | % | 77 | % | |||||||||||
| (0.15) | 9.62 | 5.31 | % | 602.4 | 0.71 | % | 0.95 | % | 0.72 | % | 0.94 | % | 60 | % | |||||||||||
| (1.27) | 15.76 | 26.20 | % | 338.2 | 0.43 | % | 2.00 | % | 0.43 | % | 2.00 | % | 7 | % | |||||||||||
| (2.94) | 13.72 | (37.12 | )% | 319.7 | 0.38 | % | 2.01 | % | 0.39 | % | 2.00 | % | 8 | % | |||||||||||
| (1.50) | 25.18 | 5.17 | % | 633.5 | 0.36 | % | 1.64 | % | 0.36 | % | 1.64 | % | 5 | % | |||||||||||
| (0.36) | 25.32 | 15.36 | % | 727.3 | 0.36 | % | 1.59 | % | 0.36 | % | 1.59 | % | 7 | % | |||||||||||
| (0.34) | 22.31 | 4.75 | % | 795.3 | 0.35 | % | 1.54 | % | 0.35 | % | 1.54 | % | 7 | % | |||||||||||
| (0.13) | 7.91 | 16.68 | % | 55.0 | 0.85 | % | 2.24 | % | 0.99 | % | 2.10 | % | 416 | % | |||||||||||
| (0.15) | 6.89 | (29.58 | )% | 41.4 | 0.80 | % | 2.74 | % | 0.84 | % | 2.71 | % | 74 | % | |||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
367
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||
BALANCED PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | $ | 11.75 | $ | 0.38 | $ | 2.06 | $ | 2.44 | $ | (0.55 | ) | $ | (0.20 | ) | ||||||||
Year Ended 12/31/2008 | 17.16 | 0.56 | (4.82 | ) | (4.26 | ) | (0.58 | ) | (0.57 | ) | ||||||||||||
Year Ended 12/31/2007 | 16.77 | 0.57 | 0.35 | 0.92 | (0.53 | ) | — | |||||||||||||||
Year Ended 12/31/2006 | 15.48 | 0.50 | 1.22 | 1.72 | (0.43 | ) | — | |||||||||||||||
Year Ended 12/31/2005 | 15.28 | 0.42 | 0.16 | 0.58 | (0.38 | ) | — | |||||||||||||||
HIGH YIELD PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 3.48 | 0.38 | 1.07 | 1.45 | (0.37 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 4.84 | 0.37 | (1.34 | ) | (0.97 | ) | (0.39 | ) | — | |||||||||||||
Year Ended 12/31/2007 | 5.11 | 0.40 | (0.26 | ) | 0.14 | (0.41 | ) | — | ||||||||||||||
Year Ended 12/31/2006 | 5.01 | 0.40 | 0.10 | 0.50 | (0.40 | ) | — | |||||||||||||||
Year Ended 12/31/2005 | 5.22 | 0.41 | (0.21 | ) | 0.20 | (0.41 | ) | — | ||||||||||||||
DIVERSIFIED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 5.01 | 0.43 | 1.15 | 1.58 | (0.45 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 6.98 | 0.46 | (2.00 | ) | (1.54 | ) | (0.43 | ) | — | |||||||||||||
Year Ended 12/31/2007 | 7.19 | 0.34 | (0.41 | ) | (0.07 | ) | (0.14 | ) | — | |||||||||||||
Year Ended 12/31/2006 | 6.54 | 0.42 | 0.48 | 0.90 | (0.25 | ) | — | |||||||||||||||
Year Ended 12/31/2005 | 6.80 | 0.49 | (0.26 | ) | 0.23 | (0.49 | ) | — | ||||||||||||||
PARTNER SOCIALLY RESPONSIBLE BOND PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 10.02 | 0.43 | 0.62 | 1.05 | (0.36 | ) | (0.55 | ) | ||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.26 | 0.01 | 0.27 | (0.25 | ) | — | |||||||||||||||
INCOME PORTFOLIO | ||||||||||||||||||||||
Year Ended 12/31/2009 | 8.20 | 0.50 | 1.19 | 1.69 | (0.50 | ) | — | |||||||||||||||
Year Ended 12/31/2008 | 9.74 | 0.51 | (1.53 | ) | (1.02 | ) | (0.52 | ) | — | |||||||||||||
Year Ended 12/31/2007 | 9.90 | 0.53 | (0.17 | ) | 0.36 | (0.52 | ) | — | ||||||||||||||
Year Ended 12/31/2006 | 9.95 | 0.51 | 0.01 | 0.52 | (0.51 | ) | (0.06 | ) | ||||||||||||||
Year Ended 12/31/2005 | 10.23 | 0.47 | (0.24 | ) | 0.23 | (0.47 | ) | (0.04 | ) | |||||||||||||
| (a) | 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) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | |||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | ||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | |||||||||||||||||
| $ | (0.75) | $ | 13.44 | 21.76 | % | $ | 281.2 | 0.44 | % | 2.55 | % | 0.44 | % | 2.54 | % | 115 | % | ||||||||
| (1.15) | 11.75 | (26.06 | )% | 280.0 | 0.39 | % | 3.00 | % | 0.41 | % | 2.98 | % | 133 | % | |||||||||||
| (0.53) | 17.16 | 5.46 | % | 488.4 | 0.38 | % | 2.78 | % | 0.39 | % | 2.77 | % | 121 | % | |||||||||||
| (0.43) | 16.77 | 11.41 | % | 566.1 | 0.38 | % | 2.72 | % | 0.39 | % | 2.72 | % | 127 | % | |||||||||||
| (0.38) | 15.48 | 3.92 | % | 663.5 | 0.37 | % | 2.52 | % | 0.38 | % | 2.52 | % | 130 | % | |||||||||||
| (0.37) | 4.56 | 43.49 | % | 756.0 | 0.45 | % | 9.28 | % | 0.46 | % | 9.28 | % | 61 | % | |||||||||||
| (0.39) | 3.48 | (21.19 | )% | 597.2 | 0.43 | % | 8.63 | % | 0.45 | % | 8.61 | % | 50 | % | |||||||||||
| (0.41) | 4.84 | 2.71 | % | 774.6 | 0.45 | % | 8.00 | % | 0.45 | % | 8.00 | % | 69 | % | |||||||||||
| (0.40) | 5.11 | 10.31 | % | 847.0 | 0.45 | % | 8.00 | % | 0.45 | % | 7.99 | % | 66 | % | |||||||||||
| (0.41) | 5.01 | 4.04 | % | 802.6 | 0.45 | % | 8.05 | % | 0.45 | % | 8.04 | % | 53 | % | |||||||||||
| (0.45) | 6.14 | 33.06 | % | 87.2 | 0.61 | % | 7.08 | % | 0.63 | % | 7.07 | % | 88 | % | |||||||||||
| (0.43) | 5.01 | (23.30 | )% | 75.0 | 0.51 | % | 5.61 | % | 0.52 | % | 5.59 | % | 115 | % | |||||||||||
| (0.14) | 6.98 | (0.99 | )% | 131.3 | 0.48 | % | 5.30 | % | 0.50 | % | 5.28 | % | 168 | % | |||||||||||
| (0.25) | 7.19 | 14.19 | % | 108.1 | 0.51 | % | 6.62 | % | 0.52 | % | 6.60 | % | 170 | % | |||||||||||
| (0.49) | 6.54 | 3.62 | % | 94.0 | 0.49 | % | 7.46 | % | 0.51 | % | 7.44 | % | 66 | % | |||||||||||
| (0.91) | 10.16 | 10.98 | % | 6.2 | 0.68 | % | 4.17 | % | 2.51 | % | 2.33 | % | 148 | % | |||||||||||
| (0.25) | 10.02 | 2.68 | % | 6.8 | 0.68 | % | 3.89 | % | 1.66 | % | 2.91 | % | 60 | % | |||||||||||
| (0.50) | 9.39 | 21.29 | % | 1,278.2 | 0.44 | % | 5.72 | % | 0.45 | % | 5.71 | % | 160 | % | |||||||||||
| (0.52) | 8.20 | (10.85 | )% | 1,097.1 | 0.44 | % | 5.61 | % | 0.45 | % | 5.60 | % | 160 | % | |||||||||||
| (0.52) | 9.74 | 3.77 | % | 1,418.3 | 0.44 | % | 5.43 | % | 0.45 | % | 5.43 | % | 228 | % | |||||||||||
| (0.57) | 9.90 | 5.42 | % | 1,081.8 | 0.45 | % | 5.22 | % | 0.45 | % | 5.22 | % | 303 | % | |||||||||||
| (0.51) | 9.95 | 2.31 | % | 924.3 | 0.45 | % | 4.70 | % | 0.45 | % | 4.69 | % | 259 | % | |||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | |||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | ||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | ||||||||||||||||
BOND INDEX PORTFOLIO | |||||||||||||||||||||
Year Ended 12/31/2009 | $ | 9.72 | $ | 0.37 | $ | 0.43 | $ | 0.80 | $ | (0.39 | ) | $ | — | ||||||||
Year Ended 12/31/2008 | 10.29 | 0.48 | (0.56 | ) | (0.08 | ) | (0.49 | ) | — | ||||||||||||
Year Ended 12/31/2007 | 10.22 | 0.50 | 0.07 | 0.57 | (0.50 | ) | — | ||||||||||||||
Year Ended 12/31/2006 | 10.30 | 0.48 | (0.08 | ) | 0.40 | (0.48 | ) | — | |||||||||||||
Year Ended 12/31/2005 | 10.52 | 0.44 | (0.22 | ) | 0.22 | (0.44 | ) | — | |||||||||||||
LIMITED MATURITY BOND PORTFOLIO | |||||||||||||||||||||
Year Ended 12/31/2009 | 8.79 | 0.39 | 0.82 | 1.21 | (0.38 | ) | — | ||||||||||||||
Year Ended 12/31/2008 | 9.84 | 0.42 | (1.04 | ) | (0.62 | ) | (0.43 | ) | — | ||||||||||||
Year Ended 12/31/2007 | 9.92 | 0.47 | (0.08 | ) | 0.39 | (0.47 | ) | — | |||||||||||||
Year Ended 12/31/2006 | 9.92 | 0.44 | — | 0.44 | (0.44 | ) | — | ||||||||||||||
Year Ended 12/31/2005 | 10.09 | 0.37 | (0.17 | ) | 0.20 | (0.37 | ) | — | |||||||||||||
MORTGAGE SECURITIES PORTFOLIO | |||||||||||||||||||||
Year Ended 12/31/2009 | 8.82 | 0.43 | 0.69 | 1.12 | (0.32 | ) | — | ||||||||||||||
Year Ended 12/31/2008 | 9.71 | 0.44 | (0.91 | ) | (0.47 | ) | (0.42 | ) | — | ||||||||||||
Year Ended 12/31/2007 | 9.71 | 0.49 | (0.01 | ) | 0.48 | (0.48 | ) | — | |||||||||||||
Year Ended 12/31/2006 | 9.75 | 0.48 | (0.04 | ) | 0.44 | (0.48 | ) | — | |||||||||||||
Year Ended 12/31/2005 | 9.99 | 0.43 | (0.24 | ) | 0.19 | (0.43 | ) | — | |||||||||||||
MONEY MARKET PORTFOLIO | |||||||||||||||||||||
Year Ended 12/31/2009 | 1.00 | — | — | — | — | — | |||||||||||||||
Year Ended 12/31/2008 | 1.00 | 0.03 | — | 0.03 | (0.03 | ) | — | ||||||||||||||
Year Ended 12/31/2007 | 1.00 | 0.05 | — | 0.05 | (0.05 | ) | — | ||||||||||||||
Year Ended 12/31/2006 | 1.00 | 0.05 | — | 0.05 | (0.05 | ) | — | ||||||||||||||
Year Ended 12/31/2005 | 1.00 | 0.03 | — | 0.03 | (0.03 | ) | — | ||||||||||||||
| (a) | 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. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | |||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | ||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | |||||||||||||||||
| $ | (0.39) | $ | 10.13 | 8.47 | % | $ | 156.5 | 0.46 | % | 3.78 | % | 0.47 | % | 3.77 | % | 388 | % | ||||||||
| (0.49) | 9.72 | (0.82 | )% | 174.6 | 0.39 | % | 4.83 | % | 0.43 | % | 4.79 | % | 346 | % | |||||||||||
| (0.50) | 10.29 | 5.66 | % | 215.2 | 0.40 | % | 4.86 | % | 0.43 | % | 4.84 | % | 331 | % | |||||||||||
| (0.48) | 10.22 | 4.04 | % | 237.8 | 0.41 | % | 4.70 | % | 0.42 | % | 4.69 | % | 352 | % | |||||||||||
| (0.44) | 10.30 | 2.18 | % | 272.4 | 0.40 | % | 4.19 | % | 0.41 | % | 4.18 | % | 360 | % | |||||||||||
| (0.38) | 9.62 | 14.04 | % | 1,105.6 | 0.44 | % | 4.23 | % | 0.45 | % | 4.23 | % | 145 | % | |||||||||||
| (0.43) | 8.79 | (6.46 | )% | 925.9 | 0.44 | % | 4.44 | % | 0.45 | % | 4.43 | % | 121 | % | |||||||||||
| (0.47) | 9.84 | 3.98 | % | 973.8 | 0.44 | % | 4.82 | % | 0.45 | % | 4.81 | % | 128 | % | |||||||||||
| (0.44) | 9.92 | 4.57 | % | 665.6 | 0.44 | % | 4.49 | % | 0.45 | % | 4.48 | % | 137 | % | |||||||||||
| (0.37) | 9.92 | 1.96 | % | 454.1 | 0.45 | % | 3.70 | % | 0.46 | % | 3.69 | % | 267 | % | |||||||||||
| (0.32) | 9.62 | 13.02 | % | 31.6 | 0.92 | % | 4.67 | % | 0.92 | % | 4.67 | % | 643 | % | |||||||||||
| (0.42) | 8.82 | (4.96 | )% | 35.2 | 0.67 | % | 4.67 | % | 0.67 | % | 4.67 | % | 721 | % | |||||||||||
| (0.48) | 9.71 | 5.09 | % | 49.8 | 0.65 | % | 5.05 | % | 0.65 | % | 5.05 | % | 731 | % | |||||||||||
| (0.48) | 9.71 | 4.71 | % | 57.8 | 0.62 | % | 5.01 | % | 0.62 | % | 5.01 | % | 740 | % | |||||||||||
| (0.43) | 9.75 | 2.00 | % | 66.9 | 0.61 | % | 4.40 | % | 0.62 | % | 4.39 | % | 703 | % | |||||||||||
| — | 1.00 | 0.43 | % | 246.0 | 0.39 | % | 0.47 | % | 0.49 | % | 0.37 | % | N/A | ||||||||||||
| (0.03) | 1.00 | 2.95 | % | 683.4 | 0.36 | % | 2.93 | % | 0.46 | % | 2.83 | % | N/A | ||||||||||||
| (0.05) | 1.00 | 5.14 | % | 741.6 | 0.35 | % | 5.03 | % | 0.45 | % | 4.93 | % | N/A | ||||||||||||
| (0.05) | 1.00 | 4.85 | % | 590.6 | 0.35 | % | 4.80 | % | 0.45 | % | 4.70 | % | N/A | ||||||||||||
| (0.03) | 1.00 | 2.86 | % | 373.7 | 0.46 | % | 2.85 | % | 0.46 | % | 2.85 | % | N/A | ||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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(unaudited)
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 or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 by calling 1-800-847-4836. You also may review the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 at www.thrivent.com or www.sec.gov.
Quarterly Schedule of Portfolio Holdings
The Fund files its Schedule of Portfolio Holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. You may request a free copy of the Fund’s Forms N-Q by calling 1-800-847-4836. The Fund’s most recent Form N-Q Schedule of Investments also is available at www.thrivent.com or www.sec.gov. You also may review and copy the Forms N-Q for the Fund at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling 1-800-SEC-0330.
Board Approval of Investment Advisory Agreements and Subadvisory Agreements
Both the Investment Company Act of 1940 and the terms of the Investment Advisory and Subadvisory Agreements of the Thrivent Series Fund, Inc. (the “Fund”) require that these agreements be approved annually by a majority of the Board of Directors, including a majority of the Independent Directors.
At its meeting on November 10, 2009, the Board of Directors of the Portfolios of the Fund voted unanimously to renew the existing Investment Advisory Agreement between the Fund and Thrivent Financial for Lutherans (the “Adviser”) for each series (each, a “Portfolio”) of the Fund. The Board also unanimously approved the Subadvisory Agreements for each of the Portfolios for which there is an investment subadviser (each a “Subadviser”). The Adviser and Subadvisers are referred to, collectively, as the “Advisory Organizations.” In connection with its evaluation of the agreements with the Advisory Organizations, the Board reviewed a broad range of information requested for this purpose and considered a variety of factors, including the following:
| 1. | The nature, extent and quality of the services provided by the Advisory Organizations; |
| 2. | The performance of the Portfolios; |
| 3. | The costs of services provided and profits realized by the Adviser; |
| 4. | The extent to which economies of scale may be realized as the Portfolios grow; and |
| 5. | Whether the breakpoint levels reflect these economies of scale for the benefit of shareholders. |
In connection with the renewal process, the Contracts Committee of the Board (consisting of each of the Independent Directors of the Fund) met on July 8, August 25 and November 10, 2009 to consider information relevant to the renewal process. The Independent Directors also retained the services of Management Practice, Inc. (“MPI”) as an independent consultant to assist them in the compilation, organization and evaluation of relevant information. This information included statistical comparisons of the advisory fees, total operating expenses, and performance of each of the Portfolios in comparison to a peer group of comparable investment companies; detailed information prepared by management with respect to the cost of services provided to the Portfolios and fees charged, including effective advisory fees that take into account breakpoints and fee waivers by the Adviser; profit realized by the Adviser and its affiliates that provide services to the Portfolios; and information regarding the types of services furnished to the Portfolios, the personnel providing the services, changes in staff, systems improvements and plans for further hiring. The Board also received reports from the Adviser’s investment management staff with respect to the performance of the Portfolios. In addition to its review of the information presented to the Board during the contract renewal process and throughout the year, the Board also considered knowledge gained from discussions with management.
The Independent Directors were represented by independent counsel throughout the review process and during executive sessions without management present to consider reapproval of the agreements. The Directors also received a memorandum from independent counsel summarizing their responsibilities under the Investment Company Act of 1940 in reviewing and approving the Advisory Agreement and the Subadvisory Agreements. The Independent Directors relied on their own business judgment in determining the weight to be given to each factor considered in evaluating the materials that were presented to them. The Contract Committee’s and Board’s review and conclusions were based on a comprehensive consideration of all information presented to the Board and not the result of any single controlling factor. The key factors considered and the conclusions reached are described below.
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Additional Information
(unaudited)
Nature, Extent and Quality of Services
At each of the Board’s regular quarterly meetings during 2009, management presented information describing the services furnished to the Portfolios by the Adviser and, as appropriate, the Subadvisers. During these meetings, management reported on the investment management, portfolio trading, and compliance functions provided to the Portfolios under the Advisory and Subadvisory Agreements. During the renewal process, the Board considered the specific services provided under the Advisory Agreement as compared to the services provided by other mutual fund investment advisers under similar investment advisory agreements. The Board also considered information relating to the investment experience and qualifications of the Adviser’s portfolio managers and those of the Subadvisers.
The Board received reports at each of its quarterly meetings from the Adviser’s Directors of Equity and Fixed Income Investments, as supplemented by the Adviser’s Chief Investment Officer, who was also present at the meetings. In addition, the Board had, over the past year, met with a majority of the portfolio managers of both the Adviser and each of the Subadvisers, which gave the Board an opportunity to evaluate the managers’ abilities, experience, and the quality of services they provide to the Portfolios. Information was also presented to the Board describing the portfolio compliance functions performed by the Adviser and the Adviser’s oversight of Subadvisers to the Fund. The Independent Directors also received quarterly reports from the Fund’s Chief Compliance Officer.
The Board considered other benefits to the Adviser and its affiliates derived from its relationship with the Fund. These benefits include, among other things, research received by the Adviser generated from commission dollars spent on the Portfolios’ portfolio trading. The Board reviewed with the Adviser these arrangements and the reasonableness of the costs relative to the services performed.
The Adviser also reviewed with the Board the Adviser’s ongoing program to enhance portfolio management capabilities, including recruitment and, in light of the economic downturn, retention of research analysts and other personnel, and investment in technology systems and applications to improve investment research, trading, portfolio compliance, and investment reporting functions. The Board viewed these actions as a positive factor in approving the current Advisory Agreement as they demonstrated the Adviser’s commitment to provide the Portfolios with quality service and competitive investment performance. The Board concluded that, within the context of its full deliberations, the nature, extent and quality of the investment advisory services provided to the Portfolios by the Adviser and Subadvisers supported renewal of the Advisory Agreement and Subadvisory Agreements.
Performance of the Portfolios
The Board received regular monthly performance reports, which included both the absolute and relative investment performance of each Portfolio. In addition, in connection with each of its regular quarterly meetings, the Board received more extensive information on the performance of each Portfolio, including absolute performance, relative performance rankings within each Portfolio’s Lipper peer group and performance as compared to benchmark index returns. The Board considered investment performance for each Portfolio, to the extent applicable, over the one-, three- and five-year periods. When evaluating investment performance, the Board considered longer-term performance and the trend of performance, and focused particularly upon the three-year performance record.
For the three-year period ended June 30, 2009, 56% of the internally managed Portfolios and 50% of the subadvised Portfolios performed at or above the median of their respective Lipper peer groups. The Board concluded that the performance of the individual Portfolios was either satisfactory compared to their peer groups of funds or that the Adviser had taken appropriate actions to improve performance.
Cost of Services and Profitability
The Board considered both the contractual and effective advisory fees for each of the Portfolios. The Board noted that 46.3% of the Portfolios, representing 52.3% of total Fund assets, had contractual advisory fees at or below the medians of their peer groups. The Board also considered advisory fees after the voluntary and contractual fee waivers and expense reimbursements provided by the Adviser for several of the Portfolios, noting that 70.7% of the Portfolios, representing 60.3% of total Fund assets, had effective advisory fees at or below the medians of their peer groups. In addition, the Board reviewed information prepared by MPI comparing each Portfolio’s overall expense ratio with the expense ratio of its peer group of funds. The Board also considered the profitability of the Adviser both overall and on a Portfolio-by-Portfolio basis.
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Additional Information
(unaudited)
The Board considered the allocations of the Adviser’s costs to the Portfolios. The internal audit department of the Adviser conducted a review of such allocations and reported to the Board regarding the reasonableness and consistency of these allocations. From its review of the MPI data and expense and profit information provided by the Adviser, the Board concluded that the profits earned by the Adviser from the Advisory Agreements were reasonable, taking into consideration the expense reimbursements and waivers in effect.
On the basis of its review, the Board concluded that the advisory fees charged to the Portfolios for investment management services were reasonable.
With respect to fees paid to Subadvisers under the Subadvisory Agreements, the Directors considered that those contracts had been negotiated at arm’s length between the Adviser and each Subadviser, and that the Subadviser’s separate profitability from its relationship with the Portfolios was not a material factor in determining whether to renew the agreement.
Economies of Scale and Breakpoints
The Directors considered information regarding the extent to which economies of scale may be realized as a Portfolio’s assets increase and whether the fee levels reflect these economies of scale for the benefit of shareholders. The Directors also considered management’s view that it is difficult to generalize as to whether or to what extent economies in the advisory function may be realized as a Portfolio’s assets increase. The Board noted that expected economies of scale, where they exist, may be shared through the use of fee breakpoints, fee waivers by the Adviser, and/or a lower overall fee rate.
The Directors considered information provided by the Adviser related to fee rates, fee breakpoints in the Advisory Agreement and fee waivers provided by the Adviser. The Adviser explained that its general goal with respect to fee waivers, expense reimbursements and breakpoints was that the overall expense ratio for each Portfolio should be at or below the median expense ratio of its peer group. The Adviser noted that 73.2% of the Portfolios, representing 95.9% of total Fund assets, had net operating expenses at or below the median of their peer groups. It was noted, however, that peer group expense comparisons were particularly difficult during this fiscal year because market volatility had led to significant declines in assets under management of nearly all the Portfolios and that the peer groups’ expense data was available only with a time lag over a review period that may have differed from the time period used for the Portfolios.
Based on the factors discussed above, the Contracts Committee unanimously recommended approval of the Advisory Agreement and the Subadvisory Agreements, and the Board, including all of the Independent Directors voting separately, approved each of the agreements.
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Board of Directors and Officers
The following table provides information about the Directors and Officers of the Fund. In addition to serving as a Director of the Fund, each Director also serves as:
| • | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 25 funds, as of December 31, 2009; which offer Class A and Institutional Class shares. |
| • | Trustee of Thrivent Financial Securities Lending Trust, a registered investment company consisting of one portfolio that serves as a cash collateral fund for a securities lending program sponsored by Thrivent Financial for Lutherans (“Thrivent Financial”). |
The 41 series of the Fund, the 25 funds of Thrivent Mutual Funds and Thrivent Financial Securities Lending Trust are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Directors and is available, without charge, by calling 1-800-847-4836.
Interested Director (1)
Name, Address and Age | Position with Fund and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Director | Principal Occupation During the Past 5 Years | Other Directorships Held by Director | ||||
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 52 | President since 2008; Director since 2009 | 67 | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003 | None |
Independent Directors (3)
Name, Address and Age | Position with Fund and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Director | Principal Occupation During the Past 5 Years | Other Directorships Held by Director | ||||
F. Gregory Campbell 625 Fourth Avenue South Minneapolis, MN Age 70 | Director since 2004 | 67 | President, Carthage College | Director, Optique Funds, Inc., an investment company consisting of four portfolios; Director, Kenosha Hospital and Medical Center Board; Director, Prairie School Board; Director, United Health Systems Board |
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Board of Directors and Officers
Name, Address and Age | Position with Fund and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Director | Principal Occupation During the Past 5 Years | Other Directorships Held by Director | ||||
Herbert F. Eggerding, Jr. 625 Fourth Avenue South Minneapolis, MN Age 72 | Director from 1990 through December 2009 | 67 | Management consultant to several privately owned companies | None | ||||
Noel K. Estenson 625 Fourth Avenue South Minneapolis, MN Age 70 | Director since 1997 | 67 | Retired | None | ||||
Richard L. Gady 625 Fourth Avenue South Minneapolis, MN Age 66 | Director since 2004 | 67 | Retired; previously Vice President, Public Affairs and Chief Economist, ConAgra, Inc. (agribusiness) | None | ||||
Richard A. Hauser 625 Fourth Avenue South Minneapolis, MN Age 66 | Director since 2004 | 67 | Vice President and Assistant General Counsel, Boeing Company since June 2007; President, National Legal Center for the Public Interest since 2004; General Counsel U.S. Department of Housing and Urban Development from 2001 to 2004; Partner, Baker & Hostetler, from 1986 to 2001 | None | ||||
Paul R. Laubscher 625 Fourth Avenue South Minneapolis, MN Age 53 | Director since 2009 | 67 | Portfolio Manager for U.S. and international equity portfolios and private real estate portfolios of IBM Retirement Funds | None | ||||
Connie M. Levi 625 Fourth Avenue South Minneapolis, MN Age 70 | Chair since 2009; Director since 1993 | 67 | Retired | None | ||||
Douglas D. Sims 625 Fourth Avenue South Minneapolis, MN Age 63 | Director since 2006 | 67 | Retired; previously Chief Executive Officer of CoBank from 1994 to 2006 | Director, Keystone Neighborhood Company, Keystone Center and Keystone Science School | ||||
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Board of Directors and Officers
Name, Address and Age | Position with Fund and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Director | Principal Occupation During the Past 5 Years | Other Directorships Held by Director | ||||
Constance L. Souders 625 Fourth Avenue South Minneapolis, MN Age 59 | Director since 2007 | 67 | Retired; previously Director from 1983 to September 30, 2007, Executive Vice President from 2001 to 2007, AML Compliance Officer from 2003 to 2007, Chief Financial Officer from 2000 to 2005, Chief Administrative Officer from 2000 to 2005 and Treasurer from 1992 to 2005 of Harbor Capital Advisors, Inc.; Director from 1992 to 2007, President from 2000 to 2007 and AML Compliance Officer from 2003 to 2007 of Harbor Services Group, Inc.; Director from 1992 to 2007, Executive Vice President from 2001 to 2007, Chief Compliance Officer from 2004 to 2007, AML Compliance Officer from 2003 to 2007, Supervisory Registered Principal from 2000 to 2007, Interim President from 2002 to 2003, Treasurer from 2000 to 2005 and Secretary from 2000 to 2005 of Harbor Funds Distributors, Inc.; Vice President from 2000 to 2007, Chief Financial Officer from 2000 to 2005 and Treasurer from 1992 to 2005 of Harbor Funds | None |
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Board of Directors and Officers
Executive Officers
Name, Address and Age | Position with Fund and Length of Service (2) | Principal Occupation During the Past 5 Years | ||
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 52 | President since 2008; previously, Vice President since 2004 | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003 | ||
David S. Royal 625 Fourth Avenue South Minneapolis, MN Age 38 | Secretary and Chief Legal Officer since 2006 | Vice President and Managing Counsel, Thrivent Financial since 2006; Partner, Kirkland & Ellis LLP from April 2004 to June 2006 | ||
Katie S. Kloster 625 Fourth Avenue South Minneapolis, MN Age 44 | Vice President, Investment Company and Investment Adviser Chief Compliance Officer since 2004 | Vice President and Investment Company and Investment Adviser Chief Compliance Officer since 2004 | ||
Gerard V. Vaillancourt 625 Fourth Avenue South Minneapolis, MN Age 42 | Treasurer and Principal Accounting Officer since 2005 | Vice President, Mutual Fund Accounting since 2006; Head of Mutual Fund Accounting, Thrivent Financial from 2005 to 2006; Director, Fund Accounting Administration, Thrivent Financial from 2002 to 2005 | ||
Janice M. Guimond 625 Fourth Avenue South Minneapolis, MN Age 45 | Vice President since 2005 | Vice President, Investment Operations, Thrivent Financial since 2004 | ||
Karl D. Anderson 625 Fourth Avenue South Minneapolis, MN Age 48 | Vice President since 2006 | Vice President, Products, Thrivent Financial | ||
Brian W. Picard 4321 North Ballard Road Appleton, WI Age 39 | Vice President Anti-Money Laundering Officer since 2006 | Director, Business Control Services, Thrivent Financial since 2006; Manager, Field and Securities Compliance, Thrivent Financial from 2002 to 2006 | ||
Mark D. Anema 625 Fourth Avenue South Minneapolis, MN Age 48 | Assistant Vice President since 2007 | Vice President, Accumulation and Retirement Income Solutions, Thrivent Financial since 2007; Vice President, Strategic Planning, Thrivent Financial from 2004 to 2007 | ||
James M. Odland 625 Fourth Avenue South Minneapolis, MN Age 54 | Assistant Secretary since 2006 | Vice President and Managing Counsel, Thrivent Financial since 2005; Senior Securities Counsel, Allianz Life Insurance Company from January 2005 to August 2005; Vice President and Chief Legal Officer, Woodbury Financial Services, Inc. from 2003 to 2005 | ||
John L. Sullivan 625 Fourth Avenue South Minneapolis, MN Age 39 | Assistant Secretary since 2007 | Senior Counsel, Thrivent Financial since 2007; Senior Counsel, Division of Investment Management of the Securities and Exchange Commission since 2001 | ||
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Board of Directors and Officers
Name, Address and Age | Position with Fund and Length of Service (2) | Principal Occupation During the Past 5 Years | ||
Todd J. Kelly 4321 North Ballard Road Appleton, WI Age 40 | Assistant Treasurer since 2004 | Director, Fund Accounting Operations, Thrivent Financial | ||
Sarah L. Bergstrom 625 Fourth Avenue South Minneapolis, MN Age 32 | Assistant Treasurer since 2007 | Director, Fund Accounting Administration, Thrivent Financial since 2007; Manager, Fund Accounting Administration, Thrivent Financial from 2005 to 2007; Manager, Mutual Fund Tax Reporting, Thrivent Financial from 2004 to 2005 | ||
| (1) | “Interested person” of the Fund as defined in the 1940 Act by virtue of positions with Thrivent Financial. Mr. Swansen is considered an interested person because of his principal occupation with Thrivent Financial. |
| (2) | Each Director generally serves an indefinite term until her or his successor is duly elected and qualified. Officers serve at the discretion of the board until their successors are duly appointed and qualified. |
| (3) | The Directors other than Mr. Swansen are not “interested persons” of the Fund and are referred to as “Independent Directors.” |
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Supplement to Prospectus dated April 30, 2009
With respect to Thrivent Small Cap Stock Portfolio
The “Portfolio Management” section of the prospectus is amended. The description under Thrivent Small Cap Stock Portfolio is deleted and replaced with the following:
Darren M. Bagwell, CFA has served as portfolio manager for Thrivent Small Cap Stock Portfolio since 2010. He has been with Thrivent since 2002 in an investment management capacity and currently is Director of Research.
The date of this Supplement is February 25, 2010
Please include this Supplement with your Prospectus
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We’re Listening to You!
In response to concerns regarding multiple mailings, we send one copy of a shareholder report and one copy of a prospectus 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. Or you can enroll in eDelivery today at Thrivent.com/preferences and receive your annual and semiannual reports and prospectus electronically.
625 Fourth Ave. S., Minneapolis, MN 55415-1665 Thrivent.com • email: mail@thrivent.com 800-THRIVENT (800-847-4836)
23572AR R2-10
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| Item 2. | Code of Ethics |
As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of Form N-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert |
Registrant’s Board of Directors has determined that Constance L. Souders, an independent director, is the Audit Committee Financial Expert.
| Item 4. | Principal Accountant Fees and Services |
| (a) | Audit Fees |
The aggregate fees billed by registrant’s independent public accountants, PricewaterhouseCoopers LLP (“PwC”), for each of the last two complete fiscal years and the fiscal period covered by this report for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $556,733 for the year ended December 31, 2009 and $556,733 for the year ended December 31, 2008.
| (b) | Audit-Related Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services which are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the fiscal year ended December 31, 2009 and $0 for the fiscal year ended December 31, 2008. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2009 and $0 for the year ended December 31, 2008.
| (c) | Tax Fees |
The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice, and tax planning services were $199,480 for the year ended December 31, 2009 and $106,601 for the year ended December 31, 2008. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2009 and $0 for the year ended December 31, 2008.
| (d) | All Other Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $0 for the year ended December 31, 2009 and $0 for the year ended December 31, 2008. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $1,500 for the year ended December 31, 2009 and $1,500 for the year ended December 31, 2008. These payments were for access to a PwC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards. These $1,500 figures are also reported in response to item 4(g) below.
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| (e) | Registrant’s audit committee charter, adopted in August 2004, provides that the audit committee (comprised of the independent Directors of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee also is responsible for pre-approval (subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of all non-auditing services performed for the registrant or for any service affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee to pre-approve, between meetings, one or more audit or non-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committee pre-approved all fees described above that PwC billed to registrant. |
| (f) | Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended December 31, 2009, were for work performed by persons other than full-time, permanent employees of PwC. |
| (g) | The aggregate non-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending December 31, 2009 and December 31, 2008 were $1,500 and $1,500, respectively. These $1,500 figures are also reported in response to item 4(d) above. |
| (h) | Registrant’s audit committee has considered the non-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence. |
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
| Item 6. | Schedule of Investments |
| (a) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
| (b) | Not applicable to this filing. |
| 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 trustees.
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| 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 control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant’s internal control over financial reporting.
| Item 11. | Exhibits |
| (a) | The code of ethics pursuant to Item 2 is attached hereto. |
| (b) | Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Date: February 26, 2010 | THRIVENT SERIES FUND, INC. | |||||||
| By: | /s/ Russell W. Swansen | |||||||
| Russell W. Swansen | ||||||||
| President | ||||||||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| Date: February 26, 2010 | By: | /s/ Russell W. Swansen | ||||||
| Russell W. Swansen | ||||||||
| President | ||||||||
| Date: February 26, 2010 | By: | /s/ Gerard V. Vaillancourt | ||||||
| Gerard V. Vaillancourt | ||||||||
| Treasurer | ||||||||