Table of Contents
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)
Rebecca A. Paulzine
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 844-5168
Date of fiscal year end: December 31
Date of reporting period: December 31, 2010
Table of Contents
| Item 1. | Report to Stockholders |
Table of Contents
Table of Contents
Why should you consider eDelivery?
| • | It provides you with easy access to prospectuses and financial reports, allowing you to view your information anytime, anywhere, without having to dig through files of paper. |
| • | It’s simple and safe. Your personal information will always be protected by a password, making it much more secure than an envelope in your mailbox. |
| • | It’s less expensive than mailing your documents, and because you’re part of a membership organization, the cost savings will benefit you. |
| • | It’s good for the environment. Each year, Thrivent Financial uses nearly 50 million sheets of paper to communicate with our members. That’s as many as 26 acres of trees that could be saved by choosing eDelivery. |
Act by April 1 and receive the April 30 prospectus via eDelivery.
Table of Contents
| 2 | ||||
Portfolio Perspectives | ||||
| 4 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 14 | ||||
| 16 | ||||
| 18 | ||||
| 20 | ||||
| 22 | ||||
| 24 | ||||
| 26 | ||||
| 28 | ||||
| 30 | ||||
| 32 | ||||
| 34 | ||||
| 36 | ||||
| 38 | ||||
| 40 | ||||
| 42 | ||||
| 44 | ||||
| 46 | ||||
| 48 | ||||
| 50 | ||||
| 52 | ||||
| 54 | ||||
| 56 | ||||
| 58 | ||||
| 60 | ||||
| 62 | ||||
| 64 | ||||
| 66 | ||||
| 68 | ||||
| 70 | ||||
| 72 | ||||
| 74 | ||||
| 76 | ||||
| 78 | ||||
| 80 | ||||
| 82 | ||||
| 84 | ||||
| 86 | ||||
| 90 | ||||
| Schedules of Investments | ||||
| 91 | ||||
| 100 | ||||
| 109 | ||||
| 118 | ||||
| 127 | ||||
| 129 | ||||
| 131 | ||||
| 134 | ||||
| 137 | ||||
| 140 | ||||
| 143 | ||||
| 147 | ||||
| 151 | ||||
| 155 | ||||
| 163 | ||||
| 166 | ||||
| 169 | ||||
| 172 | ||||
| 174 | ||||
| 180 | ||||
| 192 | ||||
| 197 | ||||
| 199 | ||||
| 202 | ||||
| 204 | ||||
| 207 | ||||
| 210 | ||||
| 214 | ||||
| 218 | ||||
| 220 | ||||
| 225 | ||||
| 232 | ||||
| 238 | ||||
| 250 | ||||
| 257 | ||||
| 267 | ||||
| 272 | ||||
| 286 | ||||
| 292 | ||||
| 302 | ||||
| 306 | ||||
| 310 | ||||
| 318 | ||||
| 326 | ||||
| 340 | ||||
| 358 | ||||
| 374 | ||||
| 377 | ||||
Table of Contents
 Dear Member: | ||
A brief review of the economy
The 12-month period ended December 31, 2010, was productive for investors as the nation’s financial markets and economy continued to recover from a deep recession and ensuing investment sell off in 2008 and 2009.
The U.S. economy grew slowly during the year but posted positive growth nonetheless. Gross domestic product (GDP) growth was measured at a 3.7% annual rate during the first quarter of 2010, then fell to a 1.7% rate for the second quarter, strengthening to a 2.6% annual rate for the third quarter.1 The pace of GDP growth in the fourth quarter fell to a 2.2% annual rate, according to a board of 43 professional forecasters surveyed by the Federal Reserve Bank of Philadelphia.
While this level of growth is far from the robust economic recovery required to generate the myriad of new jobs needed, it shows strong improvement since mid-2009.
The U.S. employment picture continues to be the major area of concern and the slowest part of the economy to recover. The monthly U.S. nonfarm payrolls report, which indicates the health of the nation’s employment, has been mixed in recent months. In 2009, nearly all of the monthly reports showed a net decrease in jobs, while 2010 saw slight improvement. Through the end of 2010, the economy added 1.124 million jobs—certainly an improvement over 2009, but still many fewer than the 200,000 or 300,000 jobs per month required to loosen a national unemployment rate stuck above 9.5% for most of the year.
Inflation continued to be muted, with the December 2010 Consumer Price Index registering a 1.5% year-over-year increase.1 With inflation largely in check, the Federal Reserve Open Market Committee may feel more comfortable leaving the benchmark federal funds target interest rate unchanged at its current 0.25%. The consensus appears to be that we have enough inflation to provide evidence that the overall economy is growing, albeit weakly, but not so little that we risk deflation.
That said, low inflation and a low interest rate environment can be viewed as a double-edged sword. Low interest rates make borrowing money, funding business plans and servicing debt less costly and can lead to greater economic growth. The flip side, unfortunately, is that conservative investors and savers get little in exchange for placing assets in bank accounts, money markets and fixed-rate products.
A brief review of the markets
Stock prices posted strong returns to close out 2009, and opened 2010 in much the same way before falling back in May and June due to concerns over faltering U.S. economic data and debt worries in the European Union. The rally resumed toward late summer, as another round of strong corporate profit reports, teamed with improved economic news, generally propelled stocks forward through the end of the year.
As is typical of a strong market, the most aggressive investment types generally performed best. Small-company stocks, as measured by the Russell 2000® Index, recorded a 26.85% total return. Their large-company cousins, as measured by the S&P 500 Index, posted a 15.06% total return. Large-company stocks typically trail the more nimble small-cap stocks in sharp market rallies and tend to outperform in more modest market conditions later in economic recoveries. The value and growth styles of investing varied somewhat over the period, as investor interest in growth sectors—such as information technology and consumer discretionary—led to larger gains as measured by the Russell 1000® Growth Index, which returned 16.71%. Weighed down in part by uncertainty over the prospects for banks and other financial companies, the value style underperformed as illustrated by the Russell 1000® Value Index’s total return of 15.51%.
Overseas equities posted weaker returns than their domestic counterparts over concerns about the financial health and ongoing debt issues of several European Union countries and weaker economic conditions in Europe. The Morgan Stanley Capital International Europe, Australasia and Far East (MSCI EAFE) Index, a common benchmark for large, higher-quality international company stocks, posted an 8.21% total return. Holding true to higher-risk financial assets performing better, the MSCI Emerging Markets Index recorded a robust 19.20% total return. Emerging Markets Index stocks benefited from strong retail demand for the securities. Also, many of these emerging market countries are simply growing faster than our more mature economy, and may offer greater prospects along with greater potential risks.
Most sectors of the U.S. bond market posted solid results during 2010, with the riskiest sectors—such as
2
Table of Contents
commercial- and nonagency-backed mortgage securities and high-yield bonds—generating the best returns. The recovery extended through most of the year, but in May, Europe’s debt crisis and high U.S. unemployment renewed concerns about growth and pushed Treasury yields to historic lows.
Outlook
We think that much of the rally in stocks and higher-risk bonds is behind us, and that returns going forward will be more muted.
We see economic conditions continuing to improve, but at a relatively slow pace. With economic growth in the 2% to 3% range, it may be difficult to see major improvements in the employment picture. That said, we think the current fundamental underpinnings are stronger than they were a year ago, and that’s one thing for which to be thankful.
Though improvement in the economy has been slow, economic data has shown recent signs of strengthening. In October, the Institute for Supply Management reported that its Manufacturing Index improved at a level above expectations. Additionally, some leading indicators data showed marked improvement in new orders, while existing inventories dropped. The service industry, which accounts for close to 70% of the U.S. economy, also has shown signs of improvement. In our opinion, this kind of evidence supports a pickup in both the manufacturing and service sides of our economy and could spell new jobs if the improvements take a more lasting hold.
The Federal Reserve appears to be willing to actively foster more economic growth. Its second round of quantitative easing, or QE2, was designed to improve consumer and business confidence. While I am not entirely sure of the necessity of such a program, the Fed’s commitment to growth could prove a positive for many asset classes and investment types, at least for the near term.
Despite the Fed’s easing programs, we expect interest rates to stay in their current range or move modestly higher through the first half of 2011. Longer term, we are concerned about the risk of rising interest rates, which would negatively impact bond portfolios with longer average durations more than those with shorter durations.
In conclusion
Moving into a new year is a great time to get your financial house in order. As you do this, it’s important to remember that stock investments should be viewed with a longer time frame. They can provide growth prospects for the long haul while adding a hedge against inflation versus bonds and other fixed-rate investments. Most investors need a meaningful allocation to stocks in their portfolio to generate the growth that retirees require in order to not outlive their savings. But you have to be comfortable with the amount of risk in your portfolio.
If fear of the stock market or fear of not having enough growth in your retirement portfolio keeps you up at night, it’s time to sit down with your Thrivent Financial representative. He or she can help you build a personal strategy that seeks to balance your appetite for risk with the goals you have for your money. Thrivent Financial has many tools and product solutions that can help. Let us know if we can help in any way, and thank you for continuing to put your trust with us.
Sincerely,
Russell W. Swansen
President
Thrivent Series Fund, Inc.
| 1 | U.S. Department of Commerce, Bureau of Economic Analysis |
3
Table of Contents
 | 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Aggressive Allocation Portfolio earned a return of 17.53%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of 15.11%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned a return of 15.06% and 6.54%, respectively.
What factors affected the Portfolio’s performance?
Allocations to equity segments providing higher returns than the S&P 500, good relative returns on the part of many of the managers in their respective asset classes, and exposure to better-performing sectors of the fixed-income markets were all factors in achieving the good results over the last fiscal year. The Portfolio benefited from exposure to mid- and small-capitalization companies, as those segments of the market outperformed the S&P 500. International mid- and small-cap stocks as well as emerging market equity and debt exposure provided higher returns than large-cap domestic equity. Exposure to large-cap international stocks offset some of those results, as this group did not keep pace with the advance in domestic stocks.
Additionally, because of underweighting, our investments in large-cap stocks did not perform as well as the S&P 500. Over the course of the year, there were a few tactical adjustments versus our long-term strategic targets that added value. In particular, in April, we increased fixed- income exposure as equity prices appeared full, and following the equity market sell off over the summer, repositioned back to equities. We also implemented some unique investment positions in mortgage-backed securities in the fixed-income segment of the Portfolio, and that strategy proved to be quite rewarding.
What is your outlook?
We believe the economic cycle is likely to be sustained. While there is some risk of a “double dip” recession, we believe that should one occur it would be a function of policy decisions rather than the underlying economic fundamentals. A sustained recovery, albeit subpar versus historic experience after prior severe recessions, would be sufficient to support continued profit growth and moderate advances in stock prices. We feel that fixed-income securities are fully priced, and returns to this sector will be modest relative to the last few years. Based on current expectations, stocks appear to be the
4
Table of Contents
undervalued asset, and we are positioned to reflect that stance. Our outlook would be at risk in a deflationary environment, but we believe the probability of sustained deflation is low. We acknowledge the risks of accelerating inflation beyond the level the Federal Reserve is attempting to bring about could truncate the economic outlook. That risk will likely be a more significant factor in 2012.
Portfolio Facts
As of December 31, 2010
Net Assets | $587,105,042 | |
NAV | $12.22 | |
NAV - High† | 12/29/2010 - $12.25 | |
NAV - Low† | 7/2/2010 - $9.74 | |
Number of Holdings: 332 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/29/2005 | ||
17.53% | 3.69% | 5.72% |
| * | The Barclays Capital U.S. 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 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. |
| *** | 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 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 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Moderately Aggressive Allocation Portfolio earned a return of 15.43%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of 13.18%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 15.06% and 6.54%, respectively.
What factors affected the Portfolio’s performance?
Allocations to equity segments providing higher returns than the S&P 500, good relative returns on the part of many of the managers in their respective asset classes, and exposure to better-performing sectors of the fixed-income markets were all factors in achieving the good results over the last fiscal year. The Portfolio benefited from exposure to mid- and small-capitalization companies, as those segments of the market outperformed the S&P 500. International mid- and small-cap stocks as well as emerging market equity and debt exposure provided higher returns than large-cap domestic equity. Exposure to large-cap international stocks offset some of those results as this group did not keep pace with the advance in domestic stocks.
Additionally, because of underweighting, our investments in large-cap stocks did not perform as well as the S&P 500. Over the course of the year, there were a few tactical adjustments versus our long-term strategic targets that added value. In particular, in April, we increased fixed- income exposure as equity prices appeared full, and following the equity market sell off over the summer, repositioned back to equities. We also implemented some unique investment positions in mortgage-backed securities in the fixed-income segment of the Portfolio, and that strategy proved to be quite rewarding.
What is your outlook?
We believe the economic cycle is likely to be sustained. While there is some risk of a “double dip” recession, we believe that should one occur it would be a function of policy decisions rather than the underlying economic fundamentals. A sustained recovery, albeit subpar versus historic experience after prior severe recessions, would be sufficient to support continued profit growth and moderate advances in stock prices. We feel that fixed-
6
Table of Contents
income securities are fully priced, and returns to this sector will be modest relative to the last few years. Based on current expectations, stocks appear to be the undervalued asset, and we are positioned to reflect that stance. Our outlook would be at risk in a deflationary environment, but we believe the probability of sustained deflation is low. We acknowledge the risks of accelerating inflation beyond the level the Federal Reserve is attempting to bring about could truncate the economic outlook. That risk will likely be a more significant factor in 2012.
Portfolio Facts
As of December 31, 2010
Net Assets | $2,505,554,313 | |
NAV | $11.89 | |
NAV - High† | 12/29/2010 - $11.90 | |
NAV - Low† | 7/2/2010 - $9.84 | |
Number of Holdings: 367 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/29/2005 | ||
15.43% | 4.00% | 5.62% |
| * | The Barclays Capital U.S. 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 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. |
| *** | 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 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 Thrivent.com.
7
Table of Contents
| Thrivent Moderate 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 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Moderate Allocation Portfolio earned a return of 13.68%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of 11.40%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 15.06% and 6.54%, respectively.
What factors affected the Portfolio’s performance?
Allocations to equity segments providing higher returns than the S&P 500, good relative returns on the part of many of the managers in their respective asset classes, and exposure to better-performing sectors of the fixed-income markets were all factors in achieving the good results over the last fiscal year. The Portfolio benefited from exposure to mid- and small-capitalization companies as those segments of the market outperformed the S&P 500. International mid- and small-cap stocks as well as emerging market equity and debt exposure provided higher returns than large-cap domestic equity. Exposure to large-cap international stocks offset some of those results as this group did not keep pace with the advance in domestic stocks.
Additionally, because of underweighting, our investments in large-cap stocks did not perform as well as the S&P 500. Over the course of the year, there were a few tactical adjustments versus our long-term strategic targets that added value. In particular, in April, we increased fixed- income exposure as equity prices appeared full, and following the equity market sell off over the summer, repositioned back to equities. We also implemented some unique investment positions in mortgage-backed securities in the fixed-income segment of the Portfolio, and that strategy proved to be quite rewarding.
What is your outlook?
We believe the economic cycle is likely to be sustained. While there is some risk of a “double dip” recession, we believe that should one occur, it would be a function of policy decisions rather than the underlying economic fundamentals. A sustained recovery, albeit subpar versus historic experience after prior severe recessions, would be sufficient to support continued profit growth and moderate advances in stock prices. We feel that fixed-income securities are fully priced, and returns to this sector will be modest relative to the last few years. Based on current expectations, stocks appear to be the
s
8
Table of Contents
undervalued asset, and we are positioned to reflect that stance. Our outlook would be at risk in a deflationary environment, but we believe the probability of sustained deflation is low. We acknowledge the risks of accelerating inflation beyond the level the Federal Reserve is attempting to bring about could truncate the economic outlook. That risk will likely be a more significant factor in 2012.
Portfolio Facts
As of December 31, 2010
Net Assets | $3,569,369,286 | |
NAV | $11.79 | |
NAV - High† | 12/29/2010 - $11.80 | |
NAV - Low† | 7/2/2010 - $10.15 | |
Number of Holdings: 370 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/29/2005 | ||
13.68% | 4.42% | 5.63% |
| * | The Barclays Capital U.S. 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 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. |
| *** | 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 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 Thrivent.com.
9
Table of Contents
| Thrivent Moderately Conservative 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 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Moderately Conservative Allocation Portfolio earned a return of 11.41%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of 9.42%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned a return of 15.06% and 6.54%, respectively.
What factors affected the Portfolio’s performance?
Allocations to equity segments providing higher returns than the S&P 500, good relative returns on the part of many of the managers in their respective asset classes, and exposure to better-performing sectors of the fixed-income markets were all factors in achieving good results over the last fiscal year. The Portfolio benefited from exposure to mid- and small-capitalization companies, as those segments of the market outperformed the S&P 500. International mid- and small-cap stocks, as well as emerging market equity and debt exposure, provided higher returns than large-cap domestic equity. Exposure to large-cap international stocks offset some of those results, as this group did not keep pace with the advance in domestic stocks.
Additionally, our investments in large-cap stocks did not perform as well as the S&P 500. Over the course of the year, there were a few tactical adjustments versus our long-term strategic targets that added value. In particular, in April, we increased fixed-income exposure as equity prices appeared full, and following the equity market sell off over the summer, repositioned back to equities. We also implemented some unique investment positions in mortgage-backed securities in the fixed-income segment of the Portfolio, and that strategy proved to be quite rewarding.
What is your outlook?
We believe the economic cycle is likely to be sustained. While there is some risk of a “double dip” recession, we believe that should one occur it would be a function of policy decisions rather than the underlying economic fundamentals. A sustained recovery, albeit subpar versus historic experience after prior severe recessions, would be sufficient to support continued profit growth and moderate advances in stock prices. We feel that fixed-
10
Table of Contents
income securities are fully priced, and returns to this sector will be modest relative to the last few years. Based on current expectations, stocks appear to be the undervalued asset, and we are positioned to reflect that stance. Our outlook would be at risk in a deflationary environment, but we believe the probability of sustained deflation is low. We acknowledge the risks of accelerating inflation beyond the level the Federal Reserve is attempting to bring about could truncate the economic outlook. That risk will likely be a more significant factor in 2012.
Portfolio Facts
As of December 31, 2010
Net Assets | $1,591,317,482 | |
NAV | $11.66 | |
NAV - High† | 12/31/2010 - $11.66 | |
NAV - Low† | 7/2/2010 - $10.43 | |
Number of Holdings: 360 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 11.41% | 4.62% | 5.38% |
| * | The Barclays Capital U.S. 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 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. |
| *** | 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 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 Thrivent.com.
11
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Technology Portfolio earned a return of 25.00%, compared with the median return of its peer group, the Lipper Science & Technology category, of 20.12%. The Portfolio’s market benchmark, the NASDAQ Composite Index, returned 18.15%.
What factors affected the Portfolio’s performance?
The Portfolio’s outperformance was a direct result of our bottom-up stock selection. Netflix, Inc. and NetApp, Inc. were the top positive contributors to relative performance, while FormFactor, Inc. and Equinix, Inc. detracted from performance.
Netflix rapidly added subscribers during the period, driven predominantly by its “watch instantly” service that can stream movies and TV shows from the Internet directly to subscribers’ computers.
NetApp develops data storage hardware and software for enterprise clients. Within this space, we believe the company’s storage devices are easier to buy, install and manage than competing products.
FormFactor designs and manufactures wafer probe cards that are used for testing semiconductor chips. We decided to exit the position in favor of higher conviction names.
In October, Equinix pre-announced third-quarter and full-year 2010 revenue that fell short of expectations as the company is believed to have made pricing concessions to retain key customers.
What is your outlook?
Equity returns were strong in 2010 despite continued concerns over the impact that new government regulations may have on the economy and the generally uneven nature of the U.S. recovery. Additionally, it appears that stock price momentum became a growing trend and investors’ appetite for equities increased, as noted in retail mutual fund flows. We are encouraged that
12
Table of Contents
the global economy appears to have entered its next chapter of recovery, moving from government-subsidized stimulus to what we expect to be a more sustainable stage led by healthy corporate spending and consumer participation. We expect recent tax policies out of Washington may also be helpful in increasing confidence and helping create some needed visibility into the future so that longer-term investment plans can be put in place.
We remain optimistic on corporate profits, predominantly driven by top-line rather than margin expansion, particularly in the information technology sector. We have seen and expect to continue to see more in the way of strategic mergers and acquisitions, private equity transactions and corporate buybacks. Collectively, we believe this provides a good backdrop for demand for equities. However, we feel that the need to pick the right stocks in the coming year will increase as not all companies will be beneficiaries of these trends. In our view, greater differentiation between stocks will continue as correlations decline from their 2010 highs.
Portfolio Facts
As of December 31, 2010
Net Assets | $36,305,028 | |
NAV | $7.11 | |
NAV - High† | 12/27/2010 - $7.16 | |
NAV - Low† | 2/4/2010 - $5.18 | |
Number of Holdings: 40 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 25.00% | 3.01% | -1.34% |
| * | 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. |
| ** | 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 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 Thrivent.com.
13
Table of Contents
 | Thrivent Partner Healthcare Portfolio |
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 portfolio. In addition, as a non-diversified portfolio, 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Healthcare Portfolio earned a return of 11.13%, compared with the median return of its peer group, the Lipper Health/Biotechnology category of 7.10%. The Portfolio’s market benchmark, the Morgan Stanley Capital International (MSCI) World Healthcare Index, earned a return of 3.03%.
What factors affected the Portfolio’s performance?
Over the last 12 months, stock selection accounted for the outperformance of the Thrivent Partner Healthcare Portfolio relative to the benchmark (the MSCI World Healthcare Index), with both industry selection and cash positions detracting from outperformance slightly. In biotechnology, InterMune, Inc. and Genzyme Corporation were additive to results. Illumina, Inc., in life sciences, was also a positive contributor to results. In pharmaceuticals, Novo Nordisk favorably impacted returns. Pfizer, Inc. and Roche Holding detracted from returns as these stocks underperformed both the group and the overall markets.
What is your outlook?
All industries appear to offer good value at the current levels. The biotech focus is on companies entering new product cycles, primarily mid- and large-cap stocks. Earnings are expected to grow at 20%, while the industry pipeline should continue to advance. Recent approvals and pipeline progress on new vaccinations, medications and treatments, position the industry for continued growth despite a deteriorating pricing and reimbursement environment. We expect biotechnology companies to significantly outgrow the pharmaceuticals market.
For medtech companies, the emphasis is on novel technologies. Medtechs are expected to continue to grow, led by companies developing products offering significant innovations with marked improvements over current treatment practice.
For generics, we expect companies based in emerging pharmaceutical markets to continue performing well, benefiting from strong domestic growth mainly driven by branded generics. Japan, a potentially huge market for generics that is currently not well-penetrated, is showing
14
Table of Contents
some signs of progress, but more political support is still needed. We believe the generics industry remains attractively valued with good sales and earnings growth projected over the next five years. We think pharmaceuticals, through restructuring via mergers and acquisitions, spinouts and cost-cutting, are in the process of reinvigorating business models. Companies with manageable generic exposures, a significant presence in emerging markets, and developing pipelines are the most attractive investment opportunities, offering attractive price/earnings ratios and dividend yields.
Portfolio Facts
As of December 31, 2010
Net Assets | $17,868,183 | |
NAV | $12.08 | |
NAV - High† | 12/23/2010 - $12.16 | |
NAV - Low† | 7/1/2010 - $10.54 | |
Number of Holdings: 34 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 11.13% | 8.12% |
| * | 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 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 Thrivent.com.
15
Table of Contents
 | Thrivent Partner Natural Resources Portfolio |
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 portfolio. In addition, as a non-diversified portfolio, 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Natural Resources Portfolio earned a return of 16.33%, compared with the median return of its peer group, the Lipper Natural Resources category, of 19.34%. The Portfolio’s market benchmark, the S&P North American Natural Resources Sector Index, earned a return of 23.88%.
What factors affected the Portfolio’s performance?
Energy and resources stocks were particularly strong in the fourth quarter, in conjunction with the broad market, as stronger-than-anticipated global growth combined with continued monetary and fiscal stimulus contributed to improved investor sentiment, benefiting “risk” assets broadly.
Stock selection among oil and gas drilling names detracted from performance. Our allocation to Transocean, Ltd. was the major factor here, as the stock fell sharply following the Gulf oil spill. Our allocation to cash created a drag on performance, as 2010 was a relatively strong year for energy and resources stocks and equities in general.
The Portfolio’s overweighting to the oil and gas equipment and services segment, one of the higher-beta and better-performing groups in the energy sector, contributed strongly to returns. Stock selection among exploration and production names, particularly Whiting Petroleum Corporation and CNOOC, Ltd., also aided relative returns. Our overweighting to metals and mining within the materials sector also contributed, as returns in this group were particularly strong in the fourth quarter.
What is your outlook?
With supply for many natural resources relatively constrained, global demand and economic activity levels are likely to remain the key drivers of prices. To the extent that the worldwide economy continues to generate solid growth, oil prices will likely be supported above the $90 per barrel mark as demand remains robust. All groups look
16
Table of Contents
attractively valued, and we believe the sector will continue to outperform broad equity markets.
At the end of 2010, we had a large focus on oil-related names, and subsequently the Portfolio’s largest weightings were in the exploration and production, integrated oil and gas, and equipment and services segments of the energy sector. At this time, we continue to prefer oil to gas-related names and also carry an allocation to both precious and diversified metals names.
Portfolio Facts
As of December 31, 2010
Net Assets | $28,699,411 | |
NAV | $9.56 | |
NAV - High† | 12/31/2010 - $9.56 | |
NAV - Low† | 7/2/2010 - $7.19 | |
Number of Holdings: 94 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 16.33% | -1.58% |
| * | 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 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 Thrivent.com.
17
Table of Contents
 | Thrivent Partner Emerging Markets Portfolio |
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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Emerging Markets Portfolio earned a return of 27.33%, compared with the median return of its peer group, the Lipper Emerging Markets category, of 18.21%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index, earned a return of 19.20%.
What factors affected the Portfolio’s performance?
Emerging stock markets had a good 2010, in spite of a still uncertain environment. What were initially buoyant stock markets lost their footing in April and May because of recurrent fears over Europe’s sovereign debt problems and China’s monetary tightening. But equities bounced back after the summer, encouraged by the European Central Bank and International Monetary Fund bailout of Greece, continued growth in key emerging economies and improved corporate results. Capital inflows and expectations that the Fed would unleash another bout of quantitative easing lent further support. The momentum remained largely uninterrupted for the rest of the year, though November saw markets stumble briefly following the artillery attack on South Korea by the North.
The Portfolio’s significant outperformance was largely due to positive stock selection, notably in Brazil and South Africa. In Brazil, our holding in tobacco company Souza Cruz was buoyed by healthy third-quarter results, while retailer Lojas Renner gained from robust like-for-like sales growth across its network of apparel stores. South African retailers Massmart and Truworths rose on the back of improved consumer spending; Massmart was further bolstered by Walmart’s bid.
Stock selection in India was also beneficial. Our financial holdings, such as Housing Development Finance Corp. and ICICI Bank, aided performance as they experienced buoyant earnings growth and remained relatively unaffected by news of alleged corruption among senior officials at Indian state-owned banks, which hurt sentiment in the domestic banking sector. Meanwhile, Infosys Technologies was bolstered by robust sales and new clients.
At the regional level, our overweightings to several smaller markets, such as the Philippines, Thailand and Turkey, contributed to relative return, as these markets rallied on better-than-expected economic growth. The significant underweighting to China also helped, as the China domestic market lagged the benchmark on concerns over inflationary risks.
18
Table of Contents
What is your outlook?
Looking ahead, robust growth in the developing world, and a further influx of liquidity fueled by the Fed’s latest bout of quantitative easing, may well continue to drive emerging equities. But we expect volatility to persist, as structural imbalances, rising inflation, international currency disputes and Europe’s debt problems continue to dominate market attention in 2011. Also, gains of the last year have left some markets looking vulnerable to a correction, so a degree of caution is merited.
Portfolio Facts
As of December 31, 2010
Net Assets | $40,943,672 | |
NAV | $12.38 | |
NAV - High† | 11/4/2010 - $12.56 | |
NAV - Low† | 2/8/2010 - $8.91 | |
Number of Holdings: 53 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 27.33% | 8.87% |
| * | 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. |
| ** | 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 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 Thrivent.com.
19
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Real Estate Securities Portfolio earned a return of 27.56%, compared with the median return of its peer group, the Lipper U.S. Real Estate category, of 25.29%. The Portfolio’s market benchmark, the FTSE NAREIT All Equity REITs Index, earned a return of 27.95%.
What factors affected the Portfolio’s performance?
While the Portfolio slightly outperformed its peer group and slightly underperformed its index, real estate investment trust (REIT) stocks performed well during 2010, benefiting from the demand for equities with attractive current dividend yields as a result of historically low interest rates. Another factor that helped performance was an improvement in capital markets, which allowed REITs to refinance their debt maturities at favorably low interest rates. Most importantly, occupancy rates improved for certain property types, specifically lodging properties and apartments, which allowed owners to increase rental rates as a result of improving demand. Investment demand for high-quality institutional real estate was strong in 2010, which supported an increase in transaction activity at higher valuation levels than expected when the year began. The significant deterioration in commercial real estate and widespread mortgage defaults that were expected in 2010 did not materialize, primarily because of lenders’ willingness to restructure or extend loan maturities.
The best-performing sectors in the Portfolio were apartments, lodging and regional malls. The Portfolio’s largest positive contributors to performance were: Equity Residential, which acquires, develops and manages apartment complexes throughout the United States; Simon Property Group, which develops, owns and manages regional malls, outlet centers and community shopping centers (domestically and abroad); and Host Hotels & Resorts, which owns upscale and luxury full-service hotels throughout the United States, Europe and Asia.
What is your outlook?
The U.S. economy appears to have stabilized and should continue to expand in 2011, though the pace of economic recovery is likely to be slower than historical recoveries. As a result, the commercial real estate market is likely to experience a gradual recovery. Occupancy rates are low by historical standards, particularly for office and industrial properties. The apartment sector is an exception, with healthy occupancy rates in the mid-90% range in most U.S. metropolitan markets. New construction within commercial real estate has been exceptionally low for several years. We believe this is a result of the weak
20
Table of Contents
economy, and it represents a necessary condition for an eventual improvement in occupancy and rental rates. The Portfolio has exposure to companies within each property sector, as well as mid- and small-capitalization REITs that offer attractive relative value and long-term growth characteristics. We believe 2010’s improvement in commercial real estate will continue, and we have positioned the Portfolio to benefit from improving trends.
Portfolio Facts
As of December 31, 2010
Net Assets | $329,450,651 | |
NAV | $14.49 | |
NAV - High† | 11/5/2010 - $15.23 | |
NAV - Low† | 2/9/2010 - $10.73 | |
Number of Holdings: 120 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/30/2003 | ||
27.56% | 2.90% | 11.44% |
| * | The FTSE NAREIT All Equity REITs 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 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 Thrivent.com.
21
Table of Contents
| Thrivent Partner Utilities Portfolio |
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 portfolio. 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Utilities Portfolio earned a return of 6.69%, compared with the median return of its peer group, the Lipper Utility category, of 13.31%. The Portfolio’s market benchmarks, the S&P 500 Utilities Index and the S&P 500 Telecommunications Services Index, earned returns of 5.46% and 18.97%, respectively.
What factors affected the Portfolio’s performance?
The biggest impact on relative returns for the fourth quarter were stock selection within the electric utilities, integrated utilities and independent power-producing industries. Separately, an overweighted position in the oil, gas and consumable fuels industry within the energy sector also contributed significantly to relative performance during the quarter.
The biggest detractor from performance for the fourth quarter was an underweighting in the diversified telecommunications industry, followed by an underweighting in the wireless telecommunications industry. Finally, a small Portfolio weighting in the Internet and software services industry within the information technology sector detracted from relative performance.
The largest contributors to performance for the year were overweightings in the gas utilities and electric utilities industries, followed by stock selection within the independent power-producing industries. Additionally, an overweighting in the wireless telecommunications industry added meaningfully to relative returns for the year.
The biggest detriments to overall performance for the year were an underweighting in the diversified telecommunications industry, a marginal overweighting in the energy sector, and an overweighting in the commercial services and supplies segment within the industrials sector.
What is your outlook?
With respect to the U.S. electric utility sector, we are positive and believe that general profitability at the company level will move in-line with a recovering economy in 2011. We expect some overdue multiple expansions and look for stronger earnings from the sector. Additionally, increased usage of modern electronics and appliances should continue to provide a robust base for volume growth into the next few years.
In terms of industry trends, we will be keeping a watchful eye on management succession, the general move toward
22
Table of Contents
a more regulated approach and away from merchant generation at the company level, and public utilities seeking to increase their scale to help offset new environmental rules. Within the telecom sector, we are currently favoring the wireless companies, and believe that a lowering unemployment figure and gradually improving economy will directly impact the proliferation of data-heavy smart phones and tablets, helping to support earnings within the sector.
Portfolio Facts
As of December 31, 2010
Net Assets | $7,906,814 | |
NAV | $8.10 | |
NAV - High† | 12/29/2010 - $8.10 | |
NAV - Low† | 7/2/2010 - $6.97 | |
Number of Holdings: 86 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | From Inception | |
| 6.69% | -6.25% |
| * | 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 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. |
| *** | 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. |
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 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 Thrivent.com.
23
Table of Contents
 | Thrivent Partner Small Cap Growth Portfolio |
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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Small Cap Growth Portfolio earned a return of 28.86%, compared with the median return of its peer group, the Lipper Small-Cap Growth category, of 26.49%. The Portfolio’s market benchmark, the Russell 2000® Growth Index, earned a return of 29.09%.
What factors affected the Portfolio’s performance?
Strong earnings, cash-rich companies and fair valuations, along with signs of life from the battered U.S. economy, combined to push the market up in the second half of the year. With improving economic conditions and what we feel is a favorable backdrop for companies to grow their earnings, the Thrivent Partner Small Cap Growth Portfolio provided a healthy return and performed in-line with the Russell 2000® Growth Index. With the exception of the utilities sector, every Portfolio sector generated positive returns led by energy and technology. On a relative basis, the health care sector was the best-returning sector, by far. Meanwhile, the technology sector, despite posting a solid absolute return, detracted from results.
The technology sector was an area of weakness for the Portfolio. Specifically, semiconductor and Internet software services holdings contributed to a large amount of the underperformance. Vocus, Inc., which offers on-demand software for public relations management, continues to be a low priority for enterprises in the initial stages of an IT spending recovery. While there is nothing fundamentally flawed with the company, we sold the position as we believe it will take longer for the company to see a rebound in its bookings. Volterra Semiconductor Corp., the maker of low voltage power supply chips used in servers, PCs and notebooks, reported a lackluster quarter during the period as the company’s new chip for notebooks was moving along slower than anticipated. We exited the position because we feel the server market refresh cycle has passed
What is your outlook?
Although the equity markets posted solid gains over the past year, we believe that the market can continue to march higher for several reasons. First, the market still appears cheap from a valuation standpoint. Second,
24
Table of Contents
earnings continue to exceed Wall Street’s expectations, with the S&P 500 Index reporting seven straight quarters of positive earnings surprises. We expect this trend to continue through 2011. Third, the equity market should benefit from a continuation of corporate-related mergers as companies seek ways to generate returns from their stockpiles of cash.
Portfolio Facts
As of December 31, 2010
Net Assets | $208,524,665 | |
NAV | $12.92 | |
NAV - High† | 12/21/2010 - $13.18 | |
NAV - Low† | 2/8/2010 - $9.33 | |
Number of Holdings: 210 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 11/30/2001 | ||
28.86% | 3.79% | 4.89% |
| * | 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 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 Thrivent.com.
25
Table of Contents
| Thrivent Partner Small Cap Value Portfolio |
Subadvised by T. Rowe Price Advisors, Inc.
Thrivent Partner Small Cap Value Portfolio seeks long-term capital appreciation.
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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Small Cap Value Portfolio earned a return of 23.46%, compared with the median return of its peer group, the Lipper Small-Cap Value category, of 25.10%. The Portfolio’s market benchmark, the Russell 2000® Value Index, earned a return of 24.50%.
What factors affected the Portfolio’s performance?
Stock selection detracted from performance versus the index; however, sector allocation mitigated the impact, resulting in a return that was in-line with that of the benchmark. Sectors that underperformed due to stock selection included materials and industrials and business services. Overweighted positions in these sectors were beneficial and helped to partly offset the under-performance of our holdings.
The materials sector of the Portfolio was hampered by investments in the paper and forest products and metals and mining industries. In general, metals and mining stocks were among the best performers in the materials sector. However, the returns of gold-focused companies like Franco-Nevada Corporation, which the Portfolio held, fell short of companies more focused on silver. Silver prices appreciated significantly during the period.
While the Portfolio’s industrials and business services sector produced a strong absolute return during the fourth quarter, stock selection hindered results relative to the index in the sector. In particular, Navigant Consulting, Inc. and A.O. Smith Corporation had a negative impact. Navigant Consulting provides business consulting on a variety of issues to private- and public-sector clients. The firm’s latest earnings release was weaker than expected. A.O. Smith, a manufacturer of water heaters and electric motors, announced that it would be divesting its electric motors business to a competitor.
On the plus side, stock selection in the information technology sector, especially of communications equipment and software companies, worked to the Portfolio’s advantage. Progress Software Corporation reported a healthy profit largely due to stronger-than-expected sales of its flagship product.
A substantially underweighted position in the financials sector and good performance from select real estate investment trusts was also beneficial.
What is your outlook?
The economic recovery appears to have entered a more secure phase in recent months. Continued growth in the U.S. and abroad should provide a favorable backdrop for
26
Table of Contents
stocks, but we are mindful that strong gains will be difficult for small-cap stocks to achieve since they rose more than 20% in 2010. In line with our moderately positive expectations, we perceive that stocks are valued roughly where they should be—neither sharply undervalued, as they were two years ago, nor particularly pricey in historical terms.
Portfolio Facts
As of December 31, 2010
Net Assets | $266,938,882 | |
NAV | $19.06 | |
NAV - High† | 12/27/2010 - $19.46 | |
NAV - Low† | 7/6/2010 - $14.72 | |
Number of Holdings: 162 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/30/2003 | ||
23.46% | 7.12% | 13.02% |
| * | 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 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 Thrivent.com.
27
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Small Cap Stock Portfolio earned a return of 25.09%, compared with the median return of its peer group, the Lipper Small-Cap Core category, of 26.09%. The Portfolio’s market benchmark, the Russell 2000® Index, earned a return of 26.85%.
What factors affected the Portfolio’s performance?
The relative underperformance of the Portfolio was concentrated in the first half of the year. While such mismatches are not uncommon over short measures of time, we remain comfortable with our strategy and exposures, and believe the better performance over the second half of the year validates our confidence in the Portfolio’s long-term performance potential and strategy.
Investments in technology-related sectors were the dominant source of relative outperformance during the period, although their performance was not enough to completely offset the underperformance of our exposures in retail and capital goods. Energy and health care were also positive contributors to overall performance, while financials and materials were additional detractors. We were well-positioned in an application software sector that benefited from low valuations and a consolidation trend, which prompted dramatic re-valuations of many of our holdings, including TIBCO Software and Informatica Corporation. Specialty semiconductor company Atmel was among our most profitable holdings, resulting from our ability to correctly identify an inflection in operating performance and a demand for their proprietary chips within the touch-sensitive application market. Within the energy, oil and gas service area, Complete Production Services and Superior Well Services generated meaningful outperformance, as resilient energy prices boosted activity prospects. Within retail, we proved overexposed to apparel, where rising input costs constrained margins and earnings gains. In industrials, the other primary source of underperformance, we were too timid in our focus on valuations during a momentum-rewarding market that pushed cyclical values well beyond levels we believed sustainable. Our value-focus on broader, diversified companies with exposure to slowly recovering infrastructure and construction trends—and our meaningful domestic exposure—produced returns far below the sector’s averages.
What is your outlook?
We continue to believe that emerging markets will be the primary source of better-than-expected global growth, while persistently high unemployment, secular consumer deleveraging, and slowing re-stocking benefits will keep U.S. economic growth below 3%. This output gap is expected to keep pass-through inflation trends muted in
28
Table of Contents
2011. We expect interest rates to stabilize near current levels, but remain at historically low levels. Our outlook for U.S. corporate profitability generally exceeds our macro expectations. Global demand for U.S. exports, healthy continuation in corporate capital expenditures, and a less-uncertain legislative and tax environment should allow for solid earnings gains and higher valuations, especially in the technology, industrials and materials sectors. Additionally, we still see particular value in health care as legislative uncertainty is further resolved.
Portfolio Facts
As of December 31, 2010
Net Assets | $303,237,303 | |||
NAV | $12.66 | |||
NAV - High† | 12/30/2010 - $12.74 | |||
NAV - Low† | 8/24/2010 - $9.44 | |||
Number of Holdings: 93 | ||||
|
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 3/1/2001 | ||
25.09% | 2.41% | 6.38% |
| * | 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 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 Thrivent.com.
29
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Small Cap Index Portfolio earned a return of 25.88%, compared with the median return of its peer group, the Lipper Small-Cap Core category, of 26.09%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of 26.31%.
What factors affected the Portfolio’s performance?
The Portfolio is managed to virtually replicate the performance of the S&P SmallCap 600 Index, a prime measure of small-cap 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 outperformed large-cap stocks and were in-line with mid-cap stocks for the last 12 months. All sectors sported a positive return. Energy and consumer discretionary had the most positive returns. The stocks of utilities and telecommunication services were the weakest performers, posting the most negative returns. These sectors tend to lag in this portion of the economic cycle.
What is your outlook?
The Portfolio will seek to remain fully invested in stocks designed to track the performance of the S&P SmallCap 600 Index. This offers individuals an attractive way to take advantage of the growth potential of the broad, diversified marketplace of small-cap stocks.
Smaller-cap stocks have resumed enjoying an advantage over larger-cap issues in the past year. Over the last six months, investors seemed to become less risk-averse, providing an environment that tends to favor mid- and small-capitalized companies. Small-cap companies, particularly those exposed to the domestic markets and U.S. consumers, have had a less-challenging operating environment relative to large-cap companies.
The financial markets appear to be resolving some of the uncertainty and ambiguity that has surrounded the fixed-income markets and which led to the severe credit contraction that has increased the odds of a recession in the U.S. At a minimum, global growth seems to be slowing and the prices of risk assets appear to have adjusted significantly, reflecting the increased
30
Table of Contents
uncertainty. We are over a year into the current cycle. Typically, as a new economic cycle matures, investors begin to favor larger-cap issues over smaller-cap issues.
Whether this marks a period of rotation in the markets remains to be seen. We still believe there is solid opportunity in the small-cap arena, but the premium return for small stocks is likely to be limited in the near future as the new cycle continues to mature.
Portfolio Facts
As of December 31, 2010
Net Assets | $220,101,174 | |
NAV | $13.19 | |
NAV - High† | 12/27/2010 - $13.37 | |
NAV - Low† | 2/8/2010 - $9.91 | |
Number of Holdings: 602 | ||
| ||
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 25.88% | 4.41% | 7.36% |
| * | 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 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 Thrivent.com.
31
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Mid Cap Growth Portfolio II earned a return of 28.03%, compared with the median return of its peer group, the Lipper Mid-Cap Growth category, of 27.34%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of 26.38%.
What factors affected the Portfolio’s performance?
Accommodative policy on the part of the Federal Reserve supported investors’ preference for assets, especially stocks. The biggest positive contributor to performance was our stock selection within the technology and materials sectors. Technology names that benefited from the build out of the Internet and an increase in Web traffic did particularly well over the period. Companies that contributed to performance included: F5 Networks, NetApp, Inc. and Riverbed Technologies. In the materials sector, the Portfolio benefited from a takeover of Pactiv, one of the Portfolio’s largest positions. Additional performance contributors came from precious metals holdings, such as Pan American Silver and Newmont Mining Corporation.
The biggest drag on performance came from the energy sector, as these stocks lagged the rest of the market, and we had a heavier weighting in natural gas stocks, which underperformed oil stocks over the period.
What is your outlook?
The U.S. economy has stabilized since the crisis, but economic growth remains slow without the necessary job growth to sustain robust gross domestic product (GDP) growth. Until we see evidence that the unemployment picture is improving, we think it will be difficult for the economy to reaccelerate for any sustained period of time. It remains to be seen if further purchases of securities by the Fed, i.e., the second round of quantitative easing (QE2), will boost the real economy. By keeping rates low, the Fed is trying to force investors out on the risk curve, especially into the stock market. We believe improving stock market valuations creates a wealth effect. The theory is that as businesses and consumers see their investment accounts improve, they will begin to spend some of that extra money and help drive GDP growth. For consumers, the problem with this plan has been the negative drag from the housing market. In effect, negative housing equity has cancelled some of the wealth that the stock market has created. Businesses have been reluctant to spend and hire due, in part, to uncertainty about government policies, future regulation and future tax obligations. To date, we do not believe there has been a meaningful recovery in GDP.
The Fed’s policy of continued quantitative easing will likely create volatility in the currency market. We believe the currency markets will continue to drive all markets, as
32
Table of Contents
fears about declining fiat currencies (currencies declared as legal tender by a government, even though they lack intrinsic value and backing) may push investors into inflation-protected assets over the coming months. In this environment, we intend to remain overweighted in energy and materials companies that we think will benefit from commodity inflation. We are growing more cautious about the effect of commodity inflation on input costs for many companies, which will impact margins and earnings.
Portfolio Facts
As of December 31, 2010
Net Assets | $160,228,019 | |
NAV | $9.95 | |
NAV - High† | 12/10/2010 - $10.63 | |
NAV - Low† | 2/8/2010 - $7.97 | |
Number of Holdings: 104 | ||
| ||
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 28.03% | 7.34% | 4.66% |
| * | 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 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 Thrivent.com.
33
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Mid Cap Growth Portfolio earned a return of 29.11%, compared with the median return of its peer group, the Lipper Mid-Cap Growth category, of 27.34%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of 26.38%.
What factors affected the Portfolio’s performance?
Accommodative policy on the part of the Federal Reserve supported investors’ preference for assets, especially stocks. The biggest positive contributor to performance was our stock selection within the technology and the materials sectors. Technology names that benefited from the build out of the Internet and an increase in Web traffic did particularly well over the period. Companies that contributed to performance included: F5 Networks, NetApp, Inc. and Riverbed Technologies. In the materials sector, the Portfolio benefited from a takeover of Pactiv, one of the Portfolio’s largest positions. Additional performance contributors came from precious metals holdings, such as Pan American Silver and Newmont Mining Corporation.
The biggest drag on performance came from the energy sector, as these stocks lagged the rest of the market, and we had a heavier weighting in natural gas stocks, which underperformed oil stocks over the period.
What is your outlook?
The U.S. economy has stabilized since the crisis, but economic growth remains slow without the necessary job growth to sustain robust gross domestic product (GDP) growth. Until we see evidence that the unemployment picture is improving, we think it will be difficult for the economy to reaccelerate for any sustained period of time. It remains to be seen if further purchases of securities by the Fed, i.e., the second round of quantitative easing (QE2), will boost the real economy. By keeping rates low, the Fed is trying to force investors out on the risk curve, especially into the stock market. We believe improving stock market valuations creates a wealth effect. The theory is that as businesses and consumers see their investment accounts improve, they will begin to spend some of that extra money and help drive GDP growth. For consumers, the problem with this plan has been the negative drag from the housing market. In effect, negative housing equity has cancelled some of the wealth that the stock market has created. Businesses have been reluctant to spend and hire due, in part, to uncertainty about government policies, future regulation and future tax
34
Table of Contents
obligations. To date, we don’t believe there has been a meaningful recovery in GDP.
The Fed’s policy of continued quantitative easing will likely create volatility in the currency market. We believe the currency markets will continue to drive all markets, as fears about declining fiat currencies (currencies declared as legal tender by a government, even though they lack intrinsic value and backing) may push investors into inflation-protected assets over the coming months. In this environment, we intend to remain overweighted in energy and materials companies that we think will benefit from commodity inflation. We are growing more cautious about the effect of commodity inflation on input costs for many companies, which will impact margins and earnings.
Portfolio Facts
As of December 31, 2010
Net Assets | $419,909,337 | |||
NAV | $18.56 | |||
NAV - High† | 12/30/2010 - $18.61 | |||
NAV - Low† | 2/8/2010 - $13.66 | |||
Number of Holdings: 117 | ||||
|
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 29.11% | 8.37% | 4.09% |
| * | 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 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 Thrivent.com.
35
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Mid Cap Value Portfolio earned a return of 24.73%, compared with the median return of its peer group, the Lipper Mid-Cap Value category, of 23.52%. The Portfolio’s market benchmark, the Russell Midcap® Value Index, returned 24.75%.
What factors affected the Portfolio’s performance?
Effective stock selection in the information technology, materials and industrials sectors helped the Portfolio’s performance relative to the index. Detracting from our relative results was stock selection in the consumer discretionary, energy and financials sectors, where company-specific issues weighed on certain holdings.
The Portfolio benefited the most from positions in Internet security company McAfee, Inc. in the information technology sector and diversified mining and natural resources company Cliffs Natural Resources, Inc. in the materials sector. Detracting from the Portfolio’s results were positions in satellite TV provider DISH Network Corporation in the consumer discretionary sector and independent oil and natural gas producer Range Resources Corporation in the energy sector. Range Resources’ shares were negatively affected by weak natural gas prices and regulatory uncertainty within the energy sector broadly. Also, the company’s announcement that it had increased its capital expenditures in the Marcellus region was not well-received by investors. We trimmed the Portfolio’s position in Range Resources based on what we considered to be increased financial risk in a still-weak natural gas price environment and higher-than-originally expected capital costs.
What is your outlook?
We believe valuations are compelling on both absolute and relative levels. We think companies are exhibiting strong fundamentals with improving corporate profits and balance sheets. High cash levels and strong balance sheets seem to bode well for capital expenditures—the fuel for long-term growth. We expect that management teams will be focused on capital redeployment in the forms of mergers and acquisitions, buybacks and deleveraging of balance sheets, providing further catalysts. We believe recent government actions have created an environment that is more conducive for businesses to grow.
36
Table of Contents
Additionally, we believe that the coming year will be a fertile stock-picking environment. The trends that were headwinds for stock-picking in 2010 appear to have started to reverse. The market seems to be shifting its focus from the macro to the micro (company specifics) now that valuation and volatility levels have generally normalized. We expect greater stock level differentiation going forward, especially between high- and low-quality stocks now trading at comparable valuations; a recent pickup in merger and acquisition activity has been contributing to this trend. Regulatory uncertainty has been reduced with the passage of financial and health care reform, and more clarity is to be expected on drilling requirements and best practices in energy in 2011.
Portfolio Facts
As of December 31, 2010
Net Assets | $232,162,749 | |
NAV | $13.38 | |
NAV - High† | 12/22/2010 - $13.47 | |
NAV - Low† | 2/8/2010 - $10.24 | |
Number of Holdings: 110 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 4/29/2005 | ||
| 24.73% | 5.06% | 7.11% |
| * | 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 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 Thrivent.com.
37
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Mid Cap Stock Portfolio earned a return of 25.60%, compared with the median return in its peer group, the Lipper Mid-Cap Core category, of 24.90%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of 25.48%.
What factors affected the Portfolio’s performance?
The Portfolio’s outperformance versus its benchmark was driven by the information technology sector. Software, communications equipment, semiconductors, IT services and Internet investments all contributed significant outperformance over the last year. TIBCO Software Inc. and Compuware Corporation benefited from increased spending on infrastructure software and attractive valuations. Continued data center spending resulted in improved prospects for F5 Networks, and Atmel Corporation combined a restructuring with a proliferation of touch screens to dramatically outperform over the last 12 months. Finally, VeriFone Systems Inc. took advantage of a rebounding payment systems market and new recurring revenue streams to outperform the market.
Conservatively positioning the financials sector detracted from relative returns as the low-beta property and casualty insurance stocks underperformed the resurging bank sector. Finally, underweighting the consumer discretionary sector proved detrimental to performance as retail and restaurants outperformed the market in spite of significant consumer headwinds.
What is your outlook?
The market continues to ebb and flow between a positive micro picture and a negative macro outlook. Companies continue to generate significant cash flow, corporate balance sheets appear healthy, and many firms are generating positive operating leverage. Yet macro concerns including Europe’s fiscal austerity plans, large fiscal and state deficits domestically, and China’s interest rate hikes cloud the outlook. Investor sentiment has also become more positive at the same time that corporate insiders are selling stock at an accelerated pace. Finally, valuations have gone from attractive to neutral.
Opportunities are not as pervasive as 12 months ago. The Portfolio’s investments are focused on business spending as opposed to consumer spending as significant cash positions on corporate balance sheets are being spent on mergers and acquisitions and capital expenditures. While the consumer should benefit from an improving employment picture and stable taxes, most valuations already reflect this scenario. Currently, the Portfolio’s
38
Table of Contents
largest sector overweightings are information technology and energy, and the largest underweighting is consumer discretionary, though these weightings are subject to change as the market changes. Given more challenging valuations and elevated sentiment, the Portfolio is more neutrally positioned versus the benchmark than it has been in the recent past.
Portfolio Facts
As of December 31, 2010
Net Assets | $511,476,533 | |
NAV | $12.25 | |
NAV - High† | 12/22/2010 - $12.34 | |
NAV - Low† | 7/6/2010 - $9.28 | |
Number of Holdings: 75 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 25.60% | 4.41% | 5.61% |
| * | 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 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 Thrivent.com.
39
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Mid Cap Index Portfolio earned a return of 25.91%, compared with the median return of its peer group, the Lipper Mid-Cap Core category, of 24.90%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of 26.64%.
What factors affected the Portfolio’s performance?
The Portfolio is designed to invest in a way that reflects its benchmark index, the S&P MidCap 400. The only changes made to the Portfolio are done to reconcile with any alterations in the composition of the index itself or to adjust position changes for cash flows. 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 large-cap stocks and slightly outperformed small-cap stocks. All 10 sectors posted positive returns. Information technology, consumer discretionary, and industrials posted the most positive returns during the most recent six-month period. This was a trend reversal as these sectors had underperformed during the previous six-month period. Telecommunication services and utilities underperformed, which is typical for utilities in this part of the economic cycle. Demand for telecommunication services simply did not keep up with the demand for the other sectors.
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 is an attractive way for individuals to take advantage of the investment potential of the broad, diversified marketplace for mid-cap stocks.
Over the last 12 months, it seems that investors went from being extremely risk-averse to become less risk-averse, providing an environment that we think 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 has impacted the fixed- income markets and had increased the risk of another
40
Table of Contents
round of credit contraction. At a minimum, prices of equity risk assets have adjusted relative to fixed income, reflecting the increased uncertainty.
As mentioned a year ago, a transition in market leadership took place. Typically as a new economic cycle matures, investors begin to favor large- and mid-cap issues over small cap. 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.
Portfolio Facts
As of December 31, 2010
Net Assets | $94,176,792 | |
NAV | $12.91 | |
NAV - High† | 12/30/2010 - $13.00 | |
NAV - Low† | 2/8/2010 - $9.89 | |
Number of Holdings: 403 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 25.91% | 5.32% | 7.29% |
| * | 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 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 Thrivent.com.
41
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Worldwide Allocation Portfolio earned a return of 13.43%, compared with the median return of its peer group, the Lipper International Core category, of 8.38%. The Portfolio’s market benchmark, the MSCI All Country World ex-USA Index, earned a return of 11.60%.
What factors affected the Portfolio’s performance?
The Portfolio’s allocations to mid- and small-cap EAFE (Europe, Australasia and Far East) companies, allocations to emerging market debt and equity securities, and strong returns versus respective benchmarks on the part of the Portfolio’s managers were all contributors to good returns for the period. Approximately 60% of the Portfolio’s assets were allocated to large-cap EAFE managers, and 15% were allocated to each of the emerging market equity and small- and mid-cap EAFE equity managers. The remaining 10% of assets were in emerging market debt. The emerging market equity component provided the best returns, on both an absolute and relative basis, achieving results well in excess of the Index. Emerging market debt holdings provided returns in the mid teens, while the small- and mid-cap equity EAFE allocation provided returns similar to the emerging markets equity segment. The Portfolio’s large-cap positions achieved returns moderately in excess of the EAFE Index (the benchmark for the large-cap segment).
What is your outlook?
Across markets and among individual stocks, there has been a stubbornly high degree of correlation in daily price swings. More typically, such high correlations are associated with sharply declining markets. This persistence in an up market suggests that trading volumes are being influenced more by tactical and short-term trading, particularly exchange-traded portfolios (ETFs), in which there is little discriminating among individual stocks. While this has presented some challenges for stock selection, it may set the stage for compelling future opportunities to successfully differentiate based on company-specific fundamentals.
42
Table of Contents
With governments actively buying bonds to increase money supply, interest rates have fallen to unprecedentedly low levels in many countries. While this has yet to stimulate bank lending, a traditional sign of economic recovery, it has allowed financially strong companies to access cheap credit for mergers and acquisitions, share buybacks and higher dividends. All of these factors should help support equities. The Portfolio should continue to benefit from these trends in an otherwise highly uncertain macro environment. Some sectors of the markets appear to be carrying relatively full valuations, and Portfolio segment allocations may be adjusted to take advantage of opportunities as they arise.
Portfolio Facts
As of December 31, 2010
Net Assets | $522,605,174 | |
NAV | $8.77 | |
NAV - High† | 11/4/2010 - $8.95 | |
NAV - Low† | 5/26/2010 - $6.96 | |
Number of Holdings: 494 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 13.43% | -3.48% |
| * | 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 ex-USA Index 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 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 Thrivent.com.
43
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner International Stock Portfolio earned a return of 8.78%, compared with the median return of its peer group, the Lipper International Core category, of 8.38%. The Portfolio’s market benchmark, the Morgan Stanley Capital International Europe, Australasia and Far East (MSCI EAFE) Index, returned 8.21%.
What factors affected the Portfolio’s performance?
The Portfolio’s sector weightings versus the benchmark were a contributing factor to relative results. Specifically, our underweighting to the poorly performing financial sector was a key factor aiding the Portfolio’s return. The Portfolio also had an underweighting in the utility segment, which produced subpar returns versus the benchmark. The Portfolio had an overweighting in the consumer discretionary sector, and that group outperformed the benchmark.
Additionally, our stock selections provided better results than the stocks in the benchmark, giving some additional lift to Portfolio returns. While the Portfolio’s weighting in the energy sector approximated that of the index, our holdings provided better results by a meaningful margin. Overall, our positions in energy and financials had the greatest positive impact on the Portfolio versus the benchmark.
For the period, currency had a negative impact on returns versus a U.S. dollar account, as the dollar generally strengthened versus the euro and the British pound. The yen strengthened over the year as well. Some of the best-performing stocks in the Portfolio were based in (and benefited from) the higher-growth Asian markets, such as Hutchison Whampoa Limited, Daito Trust Construction, and PTT. Stocks that detracted from performance over the period were Resona Holdings, a Japan-based financial services company, and BMW, a German automobile manufacturer.
What is your outlook?
Across markets and among individual stocks, there has been a stubbornly high degree of correlation in daily price swings. More typically, such high correlations are associated with sharply declining markets. This persistence in an up market suggests that trading volumes are being influenced more by tactical and short-term
44
Table of Contents
trading, particularly exchange-traded funds (ETFs), in which there is little discriminating among individual stocks. While this has presented some challenges for stock selection, it may set the stage for even more compelling future opportunities to successfully differentiate based on company-specific fundamentals. With governments actively buying bonds to increase money supply, interest rates have fallen to unprecedentedly low levels in many countries. While this has yet to stimulate bank lending, it has allowed financially strong companies to access cheap credit to fund mergers and acquisitions, share buybacks and higher dividends—factors which should help support stocks. The Portfolio should continue to benefit from these trends in an otherwise uncertain macro environment.
Portfolio Facts
As of December 31, 2010
Net Assets | $889,339,432 | |
NAV | $10.67 | |
NAV - High† | 11/4/2010 - $10.92 | |
NAV - Low† | 6/7/2010 - $8.50 | |
Number of Holdings: 224 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 8.78% | 1.44% | 1.92% |
| * | 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. |
| ** | 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 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 Thrivent.com.
45
Table of Contents
 | 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 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Socially Responsible Stock Portfolio earned a return of 18.31%, compared with the median return of its peer group, the Lipper Large-Cap Growth Core category, of 12.92%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 15.06%.
What factors affected the Portfolio’s performance?
The Portfolio’s performance was most favorably impacted by its positions in Netflix, Inc. and priceline.com Inc. in the consumer discretionary sector. Positions in restaurant companies Starbucks Corporation and Chipotle Mexican Grill, Inc. also lifted the Portfolio’s returns relative to the benchmark. Mitigating the advance in this sector, however, were less-satisfactory results in Lowe’s Companies Inc. and GameStop Corporation.
In the technology sector, our holding in Apple Inc. was a positive contributor that was mitigated by weakness in our position in Hewlett-Packard Inc.
Holdings in health care performed better than the peer group, but the group and our holdings underperformed the broad market for the period. Our positions in the chemical industry also did not keep pace with the group or the benchmark index.
In the industrial sector, holdings in transportation companies Expeditors International and C.H. Robinson Worldwide, Inc. performed well relative to both their segments and the broad market.
What is your outlook?
As we begin a new year, we feel pretty optimistic about the outlook for the economy and the U.S. market. We believe the odds of building economic momentum have
46
Table of Contents
increased, which we think is the key to continued growth in stock prices. Earnings growth has been strong, and we expect that to continue. Valuations are low and should rise as confidence builds. While we cannot rule out bumps along the road, we anticipate solid earnings growth and rising multiples to set up 2011 as another year for equities.
Portfolio Facts
As of December 31, 2010
Net Assets | $4,427,287 | |
NAV | $10.35 | |
NAV - High† | 12/22/2010 - $10.44 | |
NAV - Low† | 7/2/2010 - $8.15 | |
Number of Holdings: 48 | ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 18.31% | 1.61% |
| * | 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 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 Thrivent.com.
47
Table of Contents
| 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 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner All Cap Growth Portfolio earned a returned of 25.33%, compared with the median return of its peer group, the Lipper Multi-Cap Growth category, of 19.58%. The Portfolio’s market benchmark, the Russell 3000® Growth Index, returned 17.64%
What factors affected the Portfolio’s performance?
The relative security selection for the Portfolio within information technology and health care added the most value during 2010. Within health care, we continue to assess opportunities on a case-by-case basis and remain watchful, as the sector may be headed for significant change given the recent reform legislation. We remain focused on companies within the health care equipment, tools and services industries—especially those with global footprints.
The Portfolio’s selection within the financial sector was positive, yet underperformed the index return and detracted from relative performance. Within financials, we remain cautious due to heightened regulatory risk, as well as continued deleveraging that remains in many large financial companies. Within this sector we are favoring global asset managers and selected financial service firms where we believe revenues tend to be more stable and consistent.
What is your outlook?
The Portfolio’s largest allocations remain in the information technology and consumer discretionary sectors. We believe many technology companies have high long-term growth potential as companies seek to enhance productivity and as individuals continue to demand devices that provide access to information, anywhere and anytime. Within the consumer discretionary sector, our focus is on strong global brands with diversified revenue bases, as well as on lower-cost providers servicing a more cost-conscious consumer. We believe the Portfolio’s holdings within the sector are positioned to potentially benefit from the rapid growth and maturation of a middle class in emerging markets.
The Portfolio’s most significant underweighting is to consumer staples, where we continue to seek stocks with an attractive mix of growth potential and valuation. We may look to add stocks when they are priced low, reflecting an opportunistic approach, and favor low-cost producers with strong brands and globally diversified revenues.
Regardless of sector, we are focused on companies with
48
Table of Contents
strong products and global reach. We believe these types of companies are better able to manage their product lines and businesses in what may be a slower-growing, volatile economy. Many of these companies were able to withstand the difficult overall economic environment of a few years ago, and, based on their products, balance sheets and strong management teams, showed stable operations and revenue bases.
Portfolio Facts
As of December 31, 2010
Net Assets | $11,758,387 | |||
NAV | $10.07 | |||
NAV - High† | 12/22/2010 - $10.13 | |||
NAV - Low† | 7/2/2010 - $7.31 | |||
Number of Holdings: 84 |
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 25.33% | 0.25% |
| * | 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. |
| ** | 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 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 Thrivent.com.
49
Table of Contents
 | 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner All Cap Value Portfolio earned a return of 18.86%, compared with the median return of its peer group, the Lipper Multi-Cap Value category, of 13.07%. The Portfolio’s market benchmark, the Russell 3000® Value Index, earned a return of 16.23%.
What factors affected the Portfolio’s performance?
The largest areas of outperformance for the Portfolio were within the industrials, materials and consumer discretionary sectors, as a result of stronger relative stock selection. Within industrials, the Portfolio’s exposure to the machinery subsector provided the bulk of the Portfolio’s outperformance, as overweightings in WABCO Holdings, Inc. and Navistar International Corp. contributed to results. WABCO is a global leader in providing technology that improves commercial vehicle safety and operating costs whose stock performed well based on solid company results. Navistar International is a trucking company that also performed well during the period. The Portfolio outperformed the Index in the materials sector as a result of its exposure to the fertilizers and agricultural chemicals subsector, particularly Potash Corp. of Saskatchewan, Inc., one of the world’s largest fertilizer enterprises. Following two years of subpar global crop production, demand for fertilizer and crop nutrients escalated during the reporting period as countries sought to rebuild grain and animal-feed supplies. The Portfolio’s overweighting in Celanese Corp. also benefited results during the period. Celanese is a global leader in the chemicals industry (e.g., polymers and acetyl products). In the consumer discretionary sector, overweightings in media companies Time Warner Cable, Inc. and Viacom, Inc. produced strong results, as did Lear Corporation, a supplier of automotive seat systems and electrical power management systems.
The Portfolio underperformed the Index primarily within the energy and consumer staples sectors. In energy, the oil, gas and consumable fuels subsector was the greatest detractor from relative performance. Within this subsector, overweightings in Apache Corp. and Consol Energy, Inc. were the greatest underperformers. We exited our positions in both securities by period end. Within consumer staples, an overweighting in Chiquita Brands International, Inc. was the primary detractor.
As of the reporting period end, the Portfolio had overweightings in consumer discretionary, materials, industrials and information technology, and
50
Table of Contents
underweightings in financials, health care, consumer staples, telecommunication services, energy and utilities.
What is your outlook?
We remain cautious regarding the complex economic challenges that continue to confront investors, such as European sovereign debt and the slow pace of economic growth in the developed world. Yet, we remain confident in our long-term approach to investing primarily in stocks of large, well-established companies that we believe are trading at a discount to their potential worth.
Portfolio Facts
As of December 31, 2010
Net Assets | $7,357,684 | |
NAV | $9.09 | |
NAV - High† | 12/29/2010 - $9.11 | |
NAV - Low† | 7/2/2010 - $7.03 | |
Number of Holdings: 53 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 18.86% | -2.44% |
| * | 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 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 Thrivent.com.
51
Table of Contents
 | 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner All Cap Portfolio earned a return of 16.34%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of 15.11%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 16.93%.
What factors affected the Portfolio’s performance?
The industrials, health care and financials sectors were the largest contributors to relative performance. Within the industrials sector, our overweighting in heavy equipment manufacturer Terex and Bucyrus aided performance. Within health care, our overweighting in pharmaceutical company King Pharmaceuticals benefited performance. Within the financials sector, our decision to not hold a position in Berkshire Hathaway (the financial conglomerate) benefited performance. Shares of Berkshire Hathaway declined after the company announced earnings that were lower than consensus estimates, due to losses tied to derivatives. Among individual holdings, our overweightings in automaker Ford Motor and casino operator MGM Resorts contributed to performance.
In terms of what detracted from performance, we note an overweighting in beauty products retailer Avon Products, which underperformed. Among individual holdings, an overweighting in consumer electronics retailer Best Buy—and underweightings in integrated oil company Exxon Mobil and commercial bank Wells Fargo—detracted from performance. For example, shares of Exxon Mobil rose as the price of crude oil increased and as the company announced third-quarter earnings that were higher than analysts’ estimates.
What is your outlook?
Within information technology and telecommunication services, we continue to invest in companies that we expect to benefit from the increased use of smartphones as well as the infrastructure necessary to support this expansion. More recently, we have also been increasingly interested in the tablet device platform, with the proliferation of new devices due in 2011. Within natural resources, we are generally overweighted in materials that come out of the ground such as gold, copper and iron ore—as we believe supply is still constrained and global demand remains healthy. Additionally, we have been overweighted in agricultural-related issues. This positioning is largely due to the fact that global grain inventories are low, which should support strong grain prices and maximum fertilizer application as farmers take advantage of increased profit opportunities. Within
52
Table of Contents
health care, our largest overweightings are in the biotechnology area. In the consumer area, we have recently begun to shift capital away from some of our profitable names in the gaming and auto industries and into more defensive areas. Lastly, within financials, we are biased toward broker-related and capital market-related companies and continue to avoid regional banks and real estate-affiliated companies.
Portfolio Facts
As of December 31, 2010
Net Assets | $62,423,639 | |
NAV | $8.93 | |
NAV - High† | 12/29/2010 - $8.94 | |
NAV - Low† | 7/2/2010 - $7.02 | |
Number of Holdings: 119 | ||
| ||
† For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 16.34% | 3.47% | 2.51% |
| * | 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. |
| ** | 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 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 Thrivent.com.
53
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Large Cap Growth Portfolio II earned a return of 8.35%, compared with the median return of its peer group, the Lipper Large-Cap Growth category, of 16.18%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 16.71%.
What factors affected the Portfolio’s performance?
Equities followed the recovery of 2009 with another strong year of appreciation. Those segments of the economy most troubled by the recession of 2008, namely banking and automotive, posted impressive results and further solidified investor confidence in a sustained period of economic recovery.
Our Portfolio’s underperformance relative to its comparable peer group and index was driven by a combination of asset allocation and security selection, as our posture was geared toward large, high-quality growth stocks. The most pronounced underperformance came from the technology, consumer discretionary, health care and financial sectors. Each of them (within the Portfolio) underperformed based on asset allocation and security selection. Despite strong earnings growth, shares of Teva Pharmaceuticals, Google and Goldman Sachs all significantly underperformed for the year. Also challenging the Portfolio were the disappointing earnings growth of our positions in International Game Technology, Zimmer Holdings and JCPenney.
Looking at sector-based analysis, the energy and materials sectors were positive contributors for the year, driven by security selection. Within energy, positions in Occidental Petroleum and Baker Hughes were the biggest contributors to performance, while a strong commodity market in metals/mining drove excellent performance in shares of Teck Resources.
What is your outlook?
Despite a weak job market and a lackluster housing market, we believe the economy exited the year on firmer footing, and fears of a “double dip” recession were lessened. As we enter the new year, we are closely monitoring interest rates and inflation. The recent rise in longer-term interest rates has the potential to impede improvement in the housing market, which is still early in its recovery. Inflationary pressures are also concerning as commodity costs in agriculture, metals/mining, textiles and energy have witnessed strong appreciation. We
54
Table of Contents
believe the Federal Reserve will be mindful of these risks and be conservative in its approach of pulling back on its stimulus efforts, so long as its confidence in economic growth remains. We expect modest economic growth in 2011 and believe the environment should favor high-quality growth stocks. We find most large-cap companies with strong balance sheets and the desire to put cash to work, given the little return for holding cash. How capital is deployed and returns are generated will play an increasing role in stock performance. We believe this once again puts a premium on stock selection in 2011.
Portfolio Facts
As of December 31, 2010
Net Assets | $385,112,197 | |
NAV | $6.94 | |
NAV - High† | 4/15/2010 - $7.84 | |
NAV - Low† | 8/26/2010 - $6.24 | |
Number of Holdings: 48 | ||
| ||
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 8.35% | 1.81% | 1.51% |
| * | 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. |
| ** | 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 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 Thrivent.com.
55
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Large Cap Growth Portfolio earned a return of 10.90%, compared with the median return of its peer group, the Lipper Large-Cap Growth category, of 16.18%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 16.71%.
What factors affected the Portfolio’s performance?
The Portfolio’s underperformance relative to the Index was primarily due to poor stock selection, and to a lesser extent, inefficient asset allocation across sectors. Stock selection in the technology, health care and financial sectors had the greatest negative impact on performance. Earnings disappointments from Cisco Systems and QUALCOMM during the year hurt stock selection within the technology sector, despite significant outperformance from our position in Apple Computer. Within the financial sector, Goldman Sachs was the largest detractor from performance. And within health care, the Portfolio suffered from two things: first, the underperformance of our holdings of Teva Pharmaceuticals and Pfizer, and second, our overweighting in health care, as that sector underperformed within the Index.
Outperforming sectors in the Portfolio were industrials, consumer discretionary and materials, due mostly to good stock selection. Stock selection was the strongest within industrials, as an improving economy helped drive superior earnings growth in companies like Cummins, Dover and Caterpillar. Despite some disappointments in the consumer discretionary sector from retailers such as JCPenney, our holdings of casino stocks like MGM Resorts and Las Vegas Sands helped to provide good stock selection within the sector. The strong commodities market throughout the year drove excellent performance from our holdings of CF Industries in fertilizers, and Teck Resources in metals/mining.
What is your outlook?
We believe the economy begins the year on a firm footing as the GDP exhibits moderate growth, and employment is starting to show some improvement. Some of the potential risks for the equity markets in 2011 may include: a further deterioration in the housing market, the sustainability of Chinese economic growth, and the potential inflationary pressures coming from rising commodity prices in the agriculture, metals and energy markets.
We are still constructive on the equity markets for 2011, as continued moderate economic growth will favor high-quality growth stocks, and cyclical companies exposed to the strong export markets will be driven by more robust
56
Table of Contents
international economies. Mergers and acquisitions should be a positive for the equity markets, as many large-cap companies have excess cash, and that cash is earning only nominal returns. The Portfolio seeks to take advantage of these trends, including overweightings in technology, industrial and energy stocks.
Portfolio Facts
As of December 31, 2010
Net Assets | $983,302,528 | |
NAV | $16.98 | |
NAV - High† | 12/22/2010 - $17.09 | |
NAV - Low† | 7/2/2010 - $13.73 | |
Number of Holdings: 107 | ||
| ||
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 10.90% | 2.53% | -0.36% |
| * | 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 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 Thrivent.com.
57
Table of Contents
 |
Subadvised by T. Rowe Price Associates, Inc.
Thrivent Partner Growth Stock Portfolio seeks long-term growth of capital and, secondarily, to increase dividend income.
Stocks, in general, 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Growth Stock Portfolio earned a return of 16.62%, compared with the median return of its peer group, the Lipper Large-Cap Growth category, of 16.18%. The Portfolio’s market benchmark, the S&P 500/Citigroup Growth Index, earned a return of 15.09%.
What factors affected the Portfolio’s performance?
Health care was the top relative performer, in terms of good stock selection and the favorable underweighting of a poor performer within the Index. Shares of Illumina (maker of DNA analysis equipment) rose steadily with the increase in research projects using genome sequencing. Additionally, shares of Express Scripts (pharmacy benefits manager) gained from positive future guidance and a strong sales report, plus news that it had nearly completed the integration of recently acquired NextRx.
The consumer discretionary sector outperformed based on stock selection. Luxury leather goods maker Coach benefited from stronger earnings tied to higher sales and margins. Coffee chain Starbucks experienced rising sales, with indications of notable overseas expansion possibilities, including more outlets in China.
Consumer staples contributed positively to the Portfolio’s relative performance, due to our significant underweighting of this typically defensive stock sector, which we believe currently offers few long-term strong-growth prospects.
Stock selection within information technology was a detractor of performance. The price of Baidu, China’s top Internet search engine, fell on the company’s disappointing revenue and earnings forecast, after an earlier report of strong quarterly earnings and more service users. Credit card companies, including Visa, were hurt by proposed rules to limit the fees of debit card customers.
Our underweighting in energy, the Index’s top performer, hurt relative results, as did stock selection within this sector. Shares of EOG Resources fell sharply on lower natural gas prices, and the company announced a shift in focus to the more lucrative oil business. Petroleo Brasileiro, the Brazilian state-owned resources company, underperformed its peers on concerns about production of its oil reserves and political uncertainties. Our overweighting within the telecommunication services sector was also detrimental to relative performance.
What is your outlook?
We hold a modestly positive view of the equities market. Earnings and cash flow should improve, boosting investor confidence and thus strengthening equity markets. We
58
Table of Contents
are particularly focused on exposure to emerging markets and believe the underlying factors favoring these markets will persist. There is also a good chance for multiple expansions in U.S. equities, since these equities seem attractively valued and corporate fundamentals appear strong.
Portfolio Facts
As of December 31, 2010
Net Assets | $61,427,087 | |
NAV | $11.58 | |
NAV - High† | 12/22/2010 - $11.64 | |
NAV - Low† | 7/2/2010 - $9.07 | |
Number of Holdings: 104 | ||
| ||
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 16.62% | 3.63% | 4.00% |
| * | 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. |
| ** | 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 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 Thrivent.com.
59
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Large Cap Value Portfolio earned a return of 12.61%, compared with the median return of its peer group, the Lipper Large-Cap Value category, of 13.21%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of 15.51%.
What factors affected the Portfolio’s performance?
Detracting from the Portfolio’s performance was our underweighting in telecommunications services and our low average cash balance of 2.2%. Additionally, stock selection hurt performance versus the benchmark—most notably in the energy, technology and health care sectors. Stock selection within the industrials, consumer staples and materials sectors added to relative Portfolio performance.
Sector weightings, however, helped the Portfolio’s performance versus the benchmark. Contributing factors included our underweighting in financials (which lagged the benchmark) and our overweightings in the consumer discretionary and materials sectors (which led the market).
What is your outlook?
The largest sector overweightings in the Portfolio are industrials, technology and consumer discretionary.
The largest underweightings are financials, utilities and health care.
In our view, the global economic recovery is in the early stages, and shares of attractively valued companies with strong positions in their respective industries should benefit from continuing improvements.
60
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $811,283,097 | |
NAV | $10.73 | |
NAV - High† | 12/22/2010 - $10.88 | |
NAV - Low† | 7/2/2010 - $8.70 | |
Number of Holdings: 75 | ||
| ||
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 11/30/2001 | ||
12.61% | 2.17% | 3.38% |
| * | 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 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 Thrivent.com.
61
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Large Cap Stock Portfolio earned a return of 10.82%, compared with the median return of its peer group, the Lipper Large-Cap Core category, of 12.92%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 15.06%.
What factors affected the Portfolio’s performance?
Stock selection was the most significant factor in the Portfolio’s underperformance versus its benchmark. Secondary factors were sector weightings and a modest cash position. In the consumer discretionary group, International Game Technology was a poor performer as were Kohl’s and JCPenney in the retail group. In health care, the Portfolio’s holding in Pfizer did not keep pace with the industry or the sector. In the health care providers group, the Portfolio’s holding in UnitedHealth Group did perform well versus the market and the sector. Holdings in the information technology sector did not keep pace with the group. The Portfolio’s emphasis on high-quality, large-cap stable growth technology companies was not rewarded. Money flowed into more aggressive and speculative positions, particularly in the lower market capitalizations of the technology industry. In the financial sector, the Portfolio’s holdings in companies exposed to capital markets came under pressure, particularly in the second half of the period as financial markets were disrupted by the events in Greece related to debt rollover issues. Mitigating those results were somewhat better returns to the Portfolio’s holdings in regional banks like US Bancorp and Comerica. In the materials sector, a number of holdings performed well. In the chemical group, the Portfolio had a position in Potash Corp as it received an unsolicited takeover offer and rose sharply. A position in DuPont also performed well over the period.
What is your outlook?
We believe the economic recovery is likely to be sustained, albeit at levels below what one would expect given the falloff in growth in the recent recession. We acknowledge fundamental risks are unusually high and assign some probability the recovery could abort, but consider the more likely outcome will be subpar growth. Unemployment is likely to remain elevated, but that does not preclude a recovery as much as alter the trajectory. Recessions that have a financial crisis as a component
62
Table of Contents
have historically taken longer to recover as the system adjusts to the necessary debt deleveraging. The U.S. economy is unlikely to be the global engine of growth as it was in the last cycle. Other economies are growing and have large unsatisfied domestic demand that could be the catalyst for sustained recovery.
We continue to maintain a pro-cyclical tilt to the Portfolio. Stocks appear to be attractively valued versus other investment alternatives, assuming a sustained recovery. We think there are many large-cap domestic companies that have the financial and operating strength to compete in the global economy. A meaningful portion of earnings of large-cap companies is directly or indirectly impacted by growth outside the U.S. We believe the Portfolio is positioned to benefit from that characteristic.
Portfolio Facts
As of December 31, 2010
Net Assets | $628,281,403 | |
NAV | $8.50 | |
NAV - High† | 12/22/2010 - $8.58 | |
NAV - Low† | 7/2/2010 - $6.95 | |
Number of Holdings: 112 |
| † | For the year ended December 31, 2010 |
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 3/1/2001 | ||
| 10.82% | 1.19% | 0.51% |
| * | 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 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 Thrivent.com.
63
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Large Cap Index Portfolio earned a return of 14.63%, compared with the median return of its peer group, the S&P 500 Index Objective category, of 14.68%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 15.06%.
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 fund, 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 of the sectors posted positive returns for the year. Consumer discretionary, industrials and materials were the best-performing sectors in the market over the past 12 months, posting the most positive returns. Large-cap stocks underperformed small- and mid-cap stocks over the reporting period, as large-cap stocks have more exposure to international markets. Utilities and health care delivered the least positive returns for the 12-month period, though we believe it is normal for utilities to lag in this part of the market cycle. Health care results were driven by political uncertainty as to the status of health care overhaul.
What is your outlook?
While providing a good return, large-cap stocks did not keep pace with the strong advances in both mid-cap stocks and small-cap stocks for the reporting period. This is not unusual in the early phases of an economic and market recovery that follows a recession/bear market. As the cycle matures, these performance disparities typically are not as significant and we would expect that to be the case from here. Additionally, valuation metrics indicate the large-capitalization stocks are priced more attractively. While opportunities for small- and mid-cap stocks exist, our view is that as this cycle matures, large-cap companies should outperform their small- and mid-cap counterparts.
The financial markets appear to be resolving some of the uncertainty and ambiguity that has impacted the fixed- income markets and had increased the risk of another round of credit contraction. At a minimum, prices of equity risk assets have adjusted significantly relative to fixed income, reflecting the increased uncertainty.
64
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $331,529,491 | |
NAV | $17.71 | |
NAV - High† | 12/29/2010 - $17.74 | |
NAV - Low† | 7/2/2010 - $14.28 | |
Number of Holdings: 505 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 14.63% | 1.99% | 1.14% |
| * | 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 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 Thrivent.com.
65
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Equity Income Plus Portfolio earned a return of 16.23%, compared with the median return of its peer group, the Lipper Equity Income Portfolios category, of 15.02%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 15.06%.
What factors affected the Portfolio’s performance?
Contributing to the Portfolio’s performance was an overall positioning in high-quality firms exhibiting strong operating performance and an ability to pay and grow dividends. At the security and sector levels, security selection was the major contributor to outperformance, with additional benefit coming from sector allocations. Stock selection was strong in several key areas, including health care, financials, industrials, telecommunication services and consumer discretionary. Security selection underperformed in the utilities and information technology sectors.
Sector allocation was strong in health care and information technology due to the Portfolio’s underweighting to those underperforming sectors, while the Portfolio’s allocation to the materials sector provided a positive contribution due to the Portfolio’s overweighting to this outperforming sector.
The Portfolio’s buy-write options strategy added value by generating premiums and moderating volatility. Additionally, the Portfolio’s allocations to international securities through ADRs (American depositary receipts) and domestic and international REITs (real estate investment trusts) outperformed their respective benchmarks and the S&P 500 overall. However, the Portfolio’s exposure to preferred stocks underperformed the S&P 500 Index, thus detracting from the Portfolio’s overall relative performance.
What is your outlook?
We approach 2011 with cautious optimism. The Portfolio intends to continue a more conservative approach to dividend equity that includes emphasis on dividend coverage, improving operating performance and quality balance sheets, in addition to attractive valuations. If the economy continues to improve, we will continue to consider investing in mid- and small-cap stocks relative to large caps if there are attractive opportunities.
66
Table of Contents
At the sector level, the Portfolio may continue overweighting to pro-cyclical sectors such as consumer discretionary and materials, while underweighting counter-cyclical sectors such as consumer staples and health care.
Portfolio Facts
As of December 31, 2010
Net Assets | $76,302,671 | |
NAV | $9.06 | |
NAV - High† | 12/22/2010 - $9.20 | |
NAV - Low† | 7/2/2010 - $7.46 | |
Number of Holdings: 323 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 16.23% | -1.71% |
| * | 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 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 Thrivent.com.
67
Table of Contents
 |
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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team. |  |
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Balanced Portfolio earned a total return of 13.30%. The Portfolio’s benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 15.06% and 6.54%, 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.
Most sectors of the stock and bond markets posted strong gains during the first four months of the year. However, in May the debt crisis in Europe, concerns about a slowdown in China, and continued high unemployment in the United States renewed doubts about the global economic recovery, spurring an investor flight to the safety of U.S. Treasury securities. As investor worries generally abated later, riskier sectors of both the stock and bond markets outperformed through the remainder of 2010.
The equity component return was closely aligned with its benchmark, the S&P 500 Index. Within the Portfolio, consumer discretionary, industrials and materials were the best-performing sectors, while information technology, utilities and health care fared worst.
The fixed-income component of the Portfolio significantly outperformed the Barclays Capital U.S. Aggregate Bond Index. The main factor in the relative outperformance was the Portfolio’s floating-rate debt used to back its mortgage securities. Historically considered high quality and low risk, this floating-rate debt hurt performance during the credit crisis; but in 2009 and 2010, the securities rebounded as the credit markets recovered. These securities also continued paying down principal. Once they pay off, we do not intend to reinstitute this “dollar-roll” program.
What is your outlook?
The pace of economic growth improved by the end of 2010, led by manufacturing. However, we expect job growth to continue to lag in this recovery. This will likely
68
Table of Contents
cause Federal Reserve policymakers to keep the federal funds rate at current levels at least through 2011. Barring unforeseen circumstances, we expect interest rates to move modestly higher in 2011.
For equities, we expect that large-cap issues will outperform mid- and small-cap stocks in 2011, though we do not foresee a recurrence of the same returns investors enjoyed in 2010.
In fixed income, we intend to maintain a well-diversified mix of debt securities and to not make major strategic bets against the Barclays Capital U.S. Aggregate Bond Index.
Portfolio Facts
As of December 31, 2010
Net Assets | $270,593,069 | |
NAV | $14.72 | |
NAV - High† | 12/29/2010 - $14.72 | |
NAV - Low† | 7/2/2010 - $12.66 | |
Number of Holdings: 763 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 13.30% | 3.69% | 3.28% |
| * | The Barclays Capital U.S. 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 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 Thrivent.com.
69x
Table of Contents
 |
Paul J. Ocenasek, CFA, Portfolio Manager Thrivent High Yield Portfolio seeks to achieve a higher level of income. The Portfolio will also consider growth of capital as a secondary objective.
The Portfolio typically invests a majority of its assets in high-yield bonds (commonly referred to as junk bonds). 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team. |
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent High Yield Portfolio returned 14.58%, compared with a median return of 13.87% for its Lipper U.S. High Current Yield Funds peer group. The Portfolio’s market benchmark, the Barclays Capital U.S. Corporate High Yield Bond Index, returned 15.12%.
What factors affected the Portfolio’s performance?
The main reasons the Portfolio outperformed its Lipper peer group include:
| • | The Portfolio’s fully invested position when yields on cash investments were at historic lows. |
| • | The Portfolio’s overweighted positions and good security selections in industries that responded well to a recovering economy, including metals and mining, autos and other cyclical sectors. |
What is your outlook?
We are optimistic about the high-yield bond market’s prospects because:
| • | The financial health of issuing companies seems to continue to improve. Also, we’re relatively early in the credit cycle, and issuing companies’ debt burden appears to still be declining. |
| • | The default rate among bond issuers is continuing to decline. The rate started the period near 13% and ended at just over 3%. We expect the default rate to fall somewhat further to about 2% sometime in 2011. |
Although the recent returns won’t likely be repeated any time soon, we think the economic recovery will set a favorable environment for investors in high-yield bonds going forward. As of this writing, high-yield bond spreads remain at about 5.00% over that of U.S. Treasury securities, with what appears to be room for tightening—even if interest rates rise. So the sector appears to still be overcompensating investors for the current level of default risk.
As we expect continued slow economic growth, we intend to keep the Portfolio fully invested with an underweighted position in CCC- and lower-rated securities, awaiting a pullback opportunity to add to these issues. Generally we do not expect slow growth to be bad for high-yield bonds, except for the riskier issues.
70
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $782,988,501 | |
NAV | $4.81 | |
NAV - High† | 11/9/2010 - $4.88 | |
NAV - Low† | 5/25/2010 - $4.46 | |
Number of Holdings: 240 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | 10-Year | ||
14.58% | 8.02% | 6.62% |
| * | 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 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 Thrivent.com.
71
Table of Contents
| Thrivent Diversified Income Plus Portfolio |
|
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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Diversified Income Plus Portfolio earned a total return of 15.85%. This compares with the Portfolio’s market benchmarks, the S&P 500 Dividend Aristocrats Index and the Barclays Capital U.S. Aggregate Bond Index, which returned 19.35% and 6.54%, respectively.
What factors affected the Portfolio’s performance?
Riskier sectors of the fixed-income markets provided the best returns, and stocks outperformed bonds by a large margin. The Portfolio’s fixed-income and equities portions outperformed their respective benchmark indexes due to heavier portfolio weightings and good securities selection in risk assets.
The Portfolio’s allocation to nonagency mortgage-backed securities, for example, benefited our relative performance considerably. These assets generally returned 20% to 25% during the year.
Our high-yield bonds also performed very well as the U.S. stock market reached two-year highs during 2010. On the equities side, our selection of real estate investment trusts (REITs) did quite well as the sector outperformed most other stock sectors.
What is your outlook?
The pace of U.S. economic growth improved by the end of 2010. However, we still expect the current recovery to lag previous economic recoveries. We expect job growth to be disappointing and the unemployment rate to remain uncomfortably high.
We expect interest rates to remain at current levels or move modestly higher through the first half of 2011.
72
Table of Contents
Longer term, we are concerned about the risk of rising interest rates.
We think much of the rally in “spread sector” bonds may be behind us, but these assets may still offer value versus low-yielding Treasuries and cash alternatives. This should bode well for the Portfolio, given its highly diversified composition and pursuit of attractive, steady income.
Portfolio Facts
As of December 31, 2010
Net Assets | $106,008,643 | |
NAV | $6.75 | |
NAV - High† | 12/31/2010 -$6.75 | |
NAV - Low† | 7/2/2010 -$5.93 | |
Number of Holdings: 242 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1,2
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 15.85% | 6.00% | 6.70% |
| * | 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 U.S. 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 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 Thrivent.com.
73
Table of Contents
 | Thrivent Partner Socially Responsible Bond Portfolio |
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 portfolio, 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Partner Socially Responsible Bond Portfolio earned a return of 8.05%, compared with a median return of 7.86% for its Lipper Corporate Debt BBB-Rated Funds peer group. The Portfolio’s market benchmark, the Barclays Capital U.S. Credit Index, posted a return of 8.47%.
What factors affected the Portfolio’s performance?
We underperformed the benchmark index due to the index’s shorter duration in a period when interest rates rose about 0.54%.
Factors contributing to the Portfolio’s outperformance of its Lipper peer group included: the Portfolio’s higher allocation to high-yield bonds, which provided strong returns during the year; a trading strategy that anticipated and took advantage of a flattening yield curve; and an active trading strategy that enabled the Portfolio to benefit from price opportunities in asset-backed and mortgage-backed securities and 5- to 10-year Treasury securities.
What is your outlook?
We expect the economic recovery to continue in 2011 but the pace of growth to be slow, with unemployment remaining high. We think the Federal Reserve will keep short-term interest rates at low levels for some time, but we expect higher rates eventually.
Because we anticipate interest rates to move higher in the long term, we are planning to maintain a shorter relative duration in the Portfolio.
We expect the yield curve to flatten further during the remainder of the year. We also expect credit-sector securities to continue providing attractive returns over Treasuries, with yield premiums, or “spreads,” narrowing as the economy recovers, corporate earnings to remain positive, and default rates to stay low.
74
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $8,802,078 | |
NAV | $10.31 | |
NAV - High† | 8/31/2010 -$10.95 | |
NAV - Low† | 1/4/2010 -$10.16 | |
Number of Holdings: 104 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | From Inception 4/30/2008 | |
| 8.05% | 8.11% |
| * | 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 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 Thrivent.com.
75
Table of Contents
 |
Stephen D. Lowe, CFA, Portfolio Manager Thrivent Income Portfolio seeks a high level of income over the longer term while providing reasonable safety
The Portfolio is subject to interest rate risk, credit risk related to a company’s underlying financial position and |
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Income Portfolio returned 11.55%, compared with a median return of 7.86% for its Lipper Corporate Debt BBB-Rated Funds peer group. The Portfolio’s benchmark, the Barclays Capital U.S. Aggregate Bond Index, posted a return of 6.54%.
What factors affected the Portfolio’s performance?
Most sectors of the bond market posted solid gains during the period, with the riskiest sectors generating the best returns. The recovery extended through most of the year, but in May, Europe’s debt crisis and high U.S. unemployment renewed concerns about growth and pushed Treasury yields to historic lows.
The main reasons the Portfolio outperformed both its Lipper peer group and benchmark index were its overweighted positions in securitized assets such as commercial mortgage-backed securities and nonagency mortgage-backed securities. These assets were significantly oversold during the credit crisis, and their prices rebounded strongly during the period.
Our overweighted positions and securities selections in investment-grade corporate and high-yield bonds also benefited our relative performance considerably.
What is your outlook?
The pace of economic growth improved by the end of 2010. However, we still believe the current recovery will lag past economic recoveries. We expect job growth to continue to disappoint, causing unemployment to remain uncomfortably high. This will likely cause Federal Reserve policymakers to keep the federal funds rate at current levels at least through 2011. Because of this, we expect interest rates to stay in their current range or move modestly higher through the first half of 2011. Longer term, we are concerned about the risk of rising interest rates and anticipate increasing the Portfolio’s holdings of floating-rate securities with coupon rates that adjust to rising interest rates. We think much of the rally in securitized asset bonds and corporate bonds is behind us, but that both sectors still offer good value. Consequently, we plan to gradually reduce our overweighted position in both securitized asset and corporate bonds to lower the Portfolio’s overall risk profile.
76
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $1,322,211,956 | |
NAV | $9.96 | |
NAV - High† | 11/4/2010 - $10.19 | |
NAV - Low† | 1/4/2010 - $9.40 | |
Number of Holdings: 506 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 11.55% | 5.71% | 5.71% |
| * | The Barclays Capital U.S. 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 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 Thrivent.com.
77
Table of Contents
|
Michael G. Landreville, CFA, Portfolio Manager Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays Capital U.S. 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. While the Portfolio attempts to closely track the Barclays Capital U.S. 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. Views expressed in this discussion of portfolio performance are the views of this particular portfolio’s management team. |
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Bond Index Portfolio earned a total return of 9.24%, compared with a 6.54% return for the Portfolio’s market benchmark, the Barclays Capital U.S. Aggregate Bond Index.
What factors affected the Portfolio’s performance?
The main reason for the Portfolio’s relative outperformance was a strong recovery in prices of the floating-rate debt we hold that backs our mortgage securities. These formerly high-quality, low-risk securities hurt performance during the credit crisis, so their recovery in 2009 and 2010 was welcomed. The floating-rate debt securities also have continued paying down principal; once they pay off, we do not plan to reinstitute this “dollar-roll” program.
Many non-Treasury bonds delivered strong returns due to the ongoing recovery of the credit markets during the period. Liquidity and trading moved more toward normal, and as this happened, yield spreads between Treasury securities and other types of bonds tightened dramatically. Conversely, the yields on Treasury securities rose and their prices fell.
What is your outlook?
The pace of economic growth improved by the end of 2010. However, we still believe the current recovery will lag prior economic recoveries. We expect job growth to continue to disappoint, causing unemployment to remain uncomfortably high. This will likely cause Federal Reserve policymakers to keep the federal funds rate at current levels at least through 2011.
Because of this, we expect interest rates to stay in their current range or move modestly higher through the first half of 2011.
As always, we intend to maintain a well-diversified mix of debt securities in our efforts to track the performance of the index.
78
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $161,386,830 | |
NAV | $10.73 | |
NAV - High† | 11/4/2010 - $10.97 | |
NAV - Low† | 1/4/2010 - $10.15 | |
Number of Holdings: 259 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | 10-Year | ||
| 9.24% | 5.26% | 5.39% |
| * | The Barclays Capital U.S. 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 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 Thrivent.com.
79
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Limited Maturity Bond Portfolio returned 5.25%, compared with a median return of 3.04% 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 2.80%.
What factors affected the Portfolio’s performance?
Most sectors of the bond market posted solid gains during the period, with the riskiest sectors generating the best returns. The recovery extended through most of the year, but in May, Europe’s debt crisis and a high U.S. unemployment rate renewed concerns about growth and pushed Treasury yields to historic lows.
The Portfolio outperformed its Lipper peer group and benchmark index mostly due to its heavier weighting in high-quality corporate bonds and securitized asset bonds (mortgage-backed securities and asset-backed securities). Both sectors generated average returns of 7% to 8% during the year—significantly better than U.S. Treasury and other government securities.
In addition, good security selection within the corporate bond and securitized asset sectors contributed significantly to the Portfolio’s relative performance.
What is your outlook?
The pace of economic growth improved by the end of 2010. However, we still believe the current recovery will lag prior economic recoveries. We expect job growth to continue to disappoint, causing unemployment to remain uncomfortably high. This will likely cause Federal Reserve policymakers to keep the federal funds rate at current levels at least through 2011.
Because of this, we expect interest rates to stay in their current range or move modestly higher through the first half of 2011. Longer term, we are concerned about the risk of rising interest rates and anticipate increasing the Portfolio’s concentration in floating-rate securities with coupon rates that adjust to rising interest rates.
We think much of the rally in corporate bonds and securitized asset bonds is behind us, but that both sectors still offer good value. Consequently, we plan to gradually reduce our overweighted position in both corporate and securitized asset bonds to lower the Portfolio’s overall risk profile.
80
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $1,318,735,013 | |
NAV | $9.80 | |
NAV - High† | 11/4/2010 - $9.89 | |
NAV - Low† | 1/4/2010 - $9.63 | |
Number of Holdings: 329 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 5.25% | 4.07% | 3.72% |
| * | 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 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 Thrivent.com.
81
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Mortgage Securities Portfolio earned a total return of 12.09%, compared with a median return of 5.81% 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 5.37%.
What factors affected the Portfolio’s performance?
Most sectors of the bond market posted solid gains during the period, with the riskiest sectors generating the best returns. The recovery extended through most of the year, but in May, Europe’s debt crisis and high U.S. unemployment renewed concerns about growth and pushed Treasury yields to historic lows.
The main factor in the Portfolio’s outperformance of its Lipper peer group and benchmark index was its allocation to nonagency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS). The prices of both types of securities rose through the year, as investors chased higher yields and a shrinking supply of investable bonds.
What is your outlook?
The pace of economic growth picked up in the final months of 2010. However, we still believe the current recovery will lag prior economic recoveries. We expect job growth to continue to disappoint, causing unemployment to remain uncomfortably high. This will likely cause Federal Reserve policymakers to keep the federal funds rate at current levels at least through 2011.
Because of this, we expect interest rates to remain stable or move modestly higher through the first half of 2011. Longer term, we are concerned about the risk of rising interest rates.
We think a significant part of the rally in mortgage bonds is behind us, but these investments still offer good value versus low-yielding Treasuries and cash alternatives. Considering the outperformance of these assets over the past year, we anticipate gradually reducing our overweighted position in them.
82
Table of Contents
Portfolio Facts
As of December 31, 2010
Net Assets | $33,528,041 | |
NAV | $10.32 | |
NAV - High† | 11/4/2010 - $10.38 | |
NAV - Low† | 1/4/2010 - $9.63 | |
Number of Holdings: 57 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | From Inception 4/30/2003 | ||||||
12.09% | 5.79 | % | 4.79 | % | ||||
| * | 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 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 Thrivent.com.
83
Table of Contents
How did the Portfolio perform during the 12-month period ended December 31, 2010?
Thrivent Money Market Portfolio produced a 0.00% return during the period, while its Lipper Money Market peer group reported a median net return of 0.01%.
What factors affected the Portfolio’s performance?
Money funds continued their struggle to provide a positive return during the period. The Federal Reserve kept the federal funds target interest rate at a range of zero to 0.25% throughout the 12 months. Adding to the challenges were declining balances in money funds throughout the industry, as investors departed to seek higher yields elsewhere. To maintain a positive return for investors, the Portfolio’s investment adviser waived fees on the Portfolio throughout the 12-month period.
With credit markets still experiencing volatility, we structured the Portfolio conservatively to maintain credit quality and liquidity. By the end of December 2010, U.S. government-supported securities constituted more than 37% of the Portfolio’s assets.
Also impacting performance were the new SEC regulatory requirements for money market funds being implemented during 2010. The Federal Reserve, SEC and the President’s Working Group are working together to bring additional reform to the industry. Under consideration is the potential to require money market portfolios to have a floating net asset value and hold capital.
The Portfolio’s investment adviser has had direct dialogue with the Federal Reserve and the SEC, supporting both the floating net asset value and required capital concepts. We will continue to work with regulators, seeking to help shape positive reforms for the health of the industry.
What is your outlook?
Money market credit quality and liquidity should remain sound, as the industry prepares for additional regulation. Even though the U.S. economy appears to show signs of improvement, the Federal Reserve has indicated that it is unlikely to raise rates any time soon. The significant debt burdens of Europe and the United States, combined with high unemployment and low inflation expectations, are some of the reasons the Fed continues to be on hold. As long as the Fed keeps the target benchmark rate between zero and 0.25%, yields for the Portfolio will likely remain close to zero in the months ahead. For the benefit of investors, the investment adviser continues to waive
84
Table of Contents
fees to maintain a positive yield for the Portfolio. As in any interest rate environment, we will continue to manage the Portfolio with safety and liquidity as our primary objectives.
Portfolio Facts
As of December 31, 2010
Net Assets | $171,766,583 | |
NAV | $1.00 | |
Numberof Holdings: 73 | ||
† For the year ended December 31, 2010 | ||
Average Annual Total Returns1
As of December 31, 2010
1-Year | 5-Year | 10-Year | ||||||
0.00% | 2.66 | % | 2.34 | % | ||||
Money Market Portfolio Yields *
As of December 31, 2010
| Portfolio | ||||
7-Day Yield | 0.00 | % | ||
7-Day Yield Gross of Waivers | -0.19 | % | ||
7-Day Effective Yield | 0.00 | % | ||
7-Day Effective Yield Gross of Waivers | -0.19 | % | ||
| * | 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. A yield gross of waivers represents what the yield would have been if the Advisor were not waiving or reimbursing certain expenses associated with the Portfolio. Refer to the expense table in the Portfolio’s prospectus for details. 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 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 Thrivent.com.
85
Table of Contents
(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, 2010 through December 31, 2010. 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 7/1/2010 | Ending Account Value 12/31/2010 | Expenses Paid During Period 7/1/2010 - 12/31/2010* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,247 | $ | 2.00 | 0.35 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.81 | 0.35 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,201 | $ | 1.62 | 0.29 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.49 | 0.29 | % | ||||||||
Thrivent Moderate Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,157 | $ | 1.43 | 0.26 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.35 | 0.26 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,114 | $ | 1.52 | 0.29 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.46 | 0.29 | % | ||||||||
Thrivent Partner Technology Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,318 | $ | 6.64 | 1.14 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 5.79 | 1.14 | % | ||||||||
Thrivent Partner Healthcare Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,138 | $ | 7.46 | 1.39 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.05 | 1.39 | % | ||||||||
Thrivent Partner Natural Resources Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,327 | $ | 6.94 | 1.18 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 6.02 | 1.18 | % | ||||||||
86
Table of Contents
| Beginning Account Value 7/1/2010 | Ending Account Value 12/31/2010 | Expenses Paid During Period 7/1/2010 - 12/31/2010* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Emerging Markets Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,269 | $ | 8.55 | 1.50 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.60 | 1.50 | % | ||||||||
Thrivent Real Estate Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,210 | $ | 4.83 | 0.87 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.42 | 0.87 | % | ||||||||
Thrivent Partner Utilities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,159 | $ | 4.84 | 0.89 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.53 | 0.89 | % | ||||||||
Thrivent Partner Small Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,323 | $ | 5.89 | �� | 1.01 | % | |||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.12 | 1.01 | % | ||||||||
Thrivent Partner Small Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,263 | $ | 5.00 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.46 | 0.88 | % | ||||||||
Thrivent Small Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,309 | $ | 4.43 | 0.76 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.88 | 0.76 | % | ||||||||
Thrivent Small Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,272 | $ | 2.58 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.29 | 0.45 | % | ||||||||
Thrivent Mid Cap Growth Portfolio II |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,314 | $ | 4.16 | 0.71 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.63 | 0.71 | % | ||||||||
Thrivent Mid Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,327 | $ | 2.71 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.36 | 0.46 | % | ||||||||
Thrivent Partner Mid Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,290 | $ | 4.86 | 0.84 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.29 | 0.84 | % | ||||||||
Thrivent Mid Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,305 | $ | 4.25 | 0.73 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.72 | 0.73 | % | ||||||||
Thrivent Mid Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,280 | $ | 3.08 | 0.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.73 | 0.54 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,238 | $ | 5.63 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.09 | 1.00 | % | ||||||||
Thrivent Partner International Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,246 | $ | 4.69 | 0.83 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.22 | 0.83 | % | ||||||||
Thrivent Partner Socially Responsible Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,263 | $ | 5.58 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.98 | 0.98 | % | ||||||||
Thrivent Partner All Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,366 | $ | 5.94 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.07 | 1.00 | % | ||||||||
87
Table of Contents
| Beginning Account Value 7/1/2010 | Ending Account Value 12/31/2010 | Expenses Paid During Period 7/1/2010 - 12/31/2010* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner All Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,278 | $ | 5.58 | 0.97 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.94 | 0.97 | % | ||||||||
Thrivent Partner All Cap Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,262 | $ | 5.81 | 1.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.19 | 1.02 | % | ||||||||
Thrivent Large Cap Growth Portfolio II |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,220 | $ | 3.45 | 0.62 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.14 | 0.62 | % | ||||||||
Thrivent Large Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,235 | $ | 2.53 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.29 | 0.45 | % | ||||||||
Thrivent Partner Growth Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,269 | $ | 5.42 | 0.95 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.83 | 0.95 | % | ||||||||
Thrivent Large Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,239 | $ | 3.65 | 0.65 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.29 | 0.65 | % | ||||||||
Thrivent Large Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,224 | $ | 3.89 | 0.69 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.53 | 0.69 | % | ||||||||
Thrivent Large Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,230 | $ | 2.35 | 0.42 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.14 | 0.42 | % | ||||||||
Thrivent Equity Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,222 | $ | 4.74 | 0.85 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.31 | 0.85 | % | ||||||||
Thrivent Balanced Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,156 | $ | 2.38 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.23 | 0.44 | % | ||||||||
Thrivent High Yield Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,107 | $ | 2.37 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.28 | 0.45 | % | ||||||||
Thrivent Diversified Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,134 | $ | 3.00 | 0.56 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.84 | 0.56 | % | ||||||||
Thrivent Partner Socially Responsible Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,010 | $ | 3.35 | 0.66 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.37 | 0.66 | % | ||||||||
Thrivent Income Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,053 | $ | 2.26 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,020 | $ | 2.33 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.34 | 0.46 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,023 | $ | 2.21 | 0.43 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.21 | 0.43 | % | ||||||||
88
Table of Contents
| Beginning Account Value 7/1/2010 | Ending Account Value 12/31/2010 | Expenses Paid During Period 7/1/2010 - 12/31/2010* | Annualized Expense Ratio | |||||||||||||
Thrivent Mortgage Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,032 | $ | 4.51 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.48 | 0.88 | % | ||||||||
Thrivent Money Market Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.76 | 0.35 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.78 | 0.35 | % | ||||||||
| * | 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% annualized total return before expenses. |
89
Table of Contents
| Report of Independent Registered Public Accounting Firm |
To the Board of Directors and Shareholders
of the Thrivent Series Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the forty-one funds constituting the Thrivent Series Funds, hereafter referred to as the “Funds”) at December 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods 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 financial 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, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
February 17, 2011
PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402
T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us
90
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Mutual Funds (66.4%) | Value | ||||||
| Equity Mutual Funds (65.3%) | |||||||
| 810,218 | Thrivent Real Estate Securities Portfolio | $ | 11,741,196 | |||||
| 3,498,692 | Thrivent Partner Small Cap Growth Portfolioa | 45,198,556 | ||||||
| 770,341 | Thrivent Partner Small Cap Value Portfolio | 14,685,240 | ||||||
| 1,925,833 | Thrivent Small Cap Stock Portfolio | 24,387,985 | ||||||
| 4,443,916 | Thrivent Mid Cap Growth Portfolio IIa | 44,227,632 | ||||||
| 1,558,206 | Thrivent Partner Mid Cap Value Portfolio | 20,855,810 | ||||||
| 2,717,509 | Thrivent Mid Cap Stock Portfolio | 33,298,998 | ||||||
| 2,743,914 | Thrivent Partner Worldwide Allocation Portfolio | 24,071,806 | ||||||
| 7,197,910 | Thrivent Partner International Stock Portfolio | 76,818,979 | ||||||
| 3,672,400 | Thrivent Large Cap Growth Portfolio II | 25,486,458 | ||||||
| 2,682,429 | Thrivent Large Cap Value Portfolio | 28,774,412 | ||||||
| 3,440,881 | Thrivent Large Cap Stock Portfolio | 29,249,553 | ||||||
| 529,515 | Thrivent Equity Income Plus Portfolio | 4,796,661 | ||||||
| Total Equity Mutual Funds | 383,593,286 | |||||||
| Fixed Income Mutual Funds (1.1%) | |||||||
| 1,300,810 | Thrivent High Yield Portfolio | 6,259,496 | ||||||
| Total Fixed Income Mutual Funds | 6,259,496 | |||||||
Total Mutual Funds (cost $413,901,452) | 389,852,782 | |||||||
Common Stock (26.5%) | ||||||||
| Consumer Discretionary (3.8%) | |||||||
| 4,300 | Amazon.com, Inc.a | 774,000 | ||||||
| 6,163 | Autoliv, Inc. | 486,507 | ||||||
| 21,300 | Carnival Corporation | 982,143 | ||||||
| 38,759 | Cooper Tire & Rubber Company | 913,937 | ||||||
| 25,970 | Dana Holding Corporationa | 446,944 | ||||||
| 3,701 | Dollar Tree, Inc.a | 207,552 | ||||||
| 21,550 | Expedia, Inc. | 540,689 | ||||||
| 55,200 | Foot Locker, Inc. | 1,083,024 | ||||||
| 13,585 | Kohl’s Corporationa | 738,209 | ||||||
| 23,056 | Macy’s, Inc. | 583,317 | ||||||
| 56,500 | MGM Resorts Internationala | 839,025 | ||||||
| 1,100 | Netflix, Inc.a | 193,270 | ||||||
| 9,140 | Omnicom Group, Inc. | 418,612 | ||||||
| 3,182 | Panera Bread Companya | 322,050 | ||||||
| 90,600 | Pier 1 Imports, Inc.a | 951,300 | ||||||
| 14,500 | Signet Jewelers, Ltd.a | 629,300 | ||||||
| 82,900 | Starbucks Corporation | 2,663,577 | ||||||
| 43,970 | Target Corporation | 2,643,916 | ||||||
| 6,350 | Time Warner Cable, Inc. | 419,291 | ||||||
| 70,800 | TJX Companies, Inc. | 3,142,812 | ||||||
| 15,103 | Walt Disney Company | 566,514 | ||||||
| 16,300 | Warnaco Group, Inc.a | 897,641 | ||||||
| 32,400 | Williams-Sonoma, Inc. | 1,156,356 | ||||||
| 18,718 | WMS Industries, Inc.a | 846,802 | ||||||
| Total Consumer Discretionary | 22,446,788 | |||||||
| Consumer Staples (1.4%) | |||||||
| 19,691 | Avon Products, Inc. | 572,220 | ||||||
| 27,200 | Colgate-Palmolive Company | 2,186,064 | ||||||
| 3,420 | Diageo plc ADR | 254,209 | ||||||
| 8,764 | Flowers Foods, Inc. | 235,839 | ||||||
| 13,900 | Herbalife, Ltd. | 950,343 | ||||||
| 25,760 | Kraft Foods, Inc. | 811,698 | ||||||
| 18,455 | PepsiCo, Inc. | 1,205,665 | ||||||
| 20,201 | Philip Morris International, Inc. | 1,182,365 | ||||||
| 5,883 | TreeHouse Foods, Inc.a | 300,562 | ||||||
| 12,310 | Walgreen Company | 479,598 | ||||||
| Total Consumer Staples | 8,178,563 | |||||||
| Energy (2.6%) | |||||||
| 4,191 | Alpha Natural Resources, Inc.a | 251,586 | ||||||
| 4,990 | Apache Corporation | 594,958 | ||||||
| 34,600 | Arch Coal, Inc. | 1,213,076 | ||||||
| 24,520 | Baker Hughes, Inc. | 1,401,808 | ||||||
| 11,760 | Chevron Corporation | 1,073,100 | ||||||
| 42,100 | Complete Production Services, Inc.a | 1,244,055 | ||||||
| 7,450 | ConocoPhillips | 507,345 | ||||||
| 16,100 | Dresser-Rand Group, Inc.a | 685,699 | ||||||
| 10,290 | ENSCO International plc ADR | 549,280 | ||||||
| 33,941 | Forest Oil Corporationa | 1,288,740 | ||||||
| 134,000 | International Coal Group, Inc.a | 1,037,160 | ||||||
| 43,300 | James River Coal Companya | 1,096,789 | ||||||
| 5,964 | National Oilwell Varco, Inc. | 401,079 | ||||||
| 9,240 | Occidental Petroleum | |||||||
| Corporation | 906,444 | |||||||
| 13,202 | Schlumberger, Ltd. | 1,102,367 | ||||||
| 23,150 | Ultra Petroleum Corporationa | 1,105,875 | ||||||
| 18,100 | Weatherford International, Ltd.a | 412,680 | ||||||
| 2,300 | Whiting Petroleum Corporationa | 269,537 | ||||||
| Total Energy | 15,141,578 | |||||||
| Financials (3.9%) | |||||||
| 3,990 | ACE, Ltd. | 248,377 | ||||||
| 10,629 | Affiliated Managers Group, Inc.a | 1,054,609 | ||||||
| 4,450 | Ameriprise Financial, Inc. | 256,097 | ||||||
| 32,870 | Bank of America Corporation | 438,486 | ||||||
| 5,650 | BlackRock, Inc. | 1,076,777 | ||||||
| 44,170 | Chubb Corporation | 2,634,299 | ||||||
| 118,190 | Citigroup, Inc.a | 559,039 | ||||||
| 13,730 | Comerica, Inc. | 579,955 | ||||||
| 15,624 | Duke Realty Corporation | 194,675 | ||||||
| 5,400 | Endurance Specialty Holdings, Ltd. | 248,778 | ||||||
| 13,490 | Equity One, Inc. | 245,248 | ||||||
| 21,742 | Fifth Third Bancorp | 319,173 | ||||||
| 7,340 | Goldman Sachs Group, Inc. | 1,234,294 | ||||||
| 4,135 | Hanover Insurance Group, Inc. | 193,187 | ||||||
| 13,827 | HCC Insurance Holdings, Inc. | 400,153 | ||||||
| 9,400 | Healthcare Realty Trust, Inc. | 198,998 | ||||||
| 18,048 | Host Hotels & Resorts, Inc. | 322,518 | ||||||
| 1,618 | IntercontinentalExchange, Inc.a | 192,785 | ||||||
| 16,400 | iShares Russell 2000 Index Fund | 1,282,972 | ||||||
| 48,900 | Itau Unibanco Holding SA ADR | 1,174,089 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
91
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (26.5%) | Value | ||||||
| Financials (3.9%) - continued | |||||||
| 14,623 | J.P. Morgan Chase & Company | $ | 620,308 | |||||
| 32,900 | LaSalle Hotel Properties | 868,560 | ||||||
| 5,131 | Lazard, Ltd. | 202,623 | ||||||
| 4,700 | M&T Bank Corporation | 409,135 | ||||||
| 5,800 | MetLife, Inc. | 257,752 | ||||||
| 9,394 | Morgan Stanley | 255,611 | ||||||
| 13,810 | Northern Trust Corporation | 765,212 | ||||||
| 100,327 | Ocwen Financial Corporationa | 957,120 | ||||||
| 17,200 | People’s United Financial, Inc. | 240,972 | ||||||
| 6,300 | Potlatch Corporation | 205,065 | ||||||
| 12,590 | Principal Financial Group, Inc. | 409,930 | ||||||
| 22,160 | SVB Financial Groupa | 1,175,588 | ||||||
| 47,900 | Texas Capital Bancshares, Inc.a | 1,018,833 | ||||||
| 37,200 | U.S. Bancorp | 1,003,284 | ||||||
| 1,400 | Unum Group | 33,908 | ||||||
| 13,086 | W.R. Berkley Corporation | 358,295 | ||||||
| 4,840 | Wells Fargo & Company | 149,992 | ||||||
| 50,100 | Zions Bancorporation | 1,213,923 | ||||||
| Total Financials | 23,000,620 | |||||||
| Health Care (3.7%) | |||||||
| 4,320 | Abbott Laboratories | 206,971 | ||||||
| 22,600 | Aetna, Inc. | 689,526 | ||||||
| 2,900 | Alexion Pharmaceuticals, Inc.a | 233,595 | ||||||
| 46,400 | Align Technology, Inc.a | 906,656 | ||||||
| 15,700 | Allergan, Inc. | 1,078,119 | ||||||
| 7,068 | C.R. Bard, Inc. | 648,630 | ||||||
| 11,945 | Celgene Corporationa | 706,427 | ||||||
| 5,706 | Community Health Systems, Inc.a | 213,233 | ||||||
| 17,100 | Covance, Inc.a | 879,111 | ||||||
| 11,474 | Coventry Health Care, Inc.a | 302,914 | ||||||
| 8,580 | Covidien, Ltd. | 391,763 | ||||||
| 61,800 | Eli Lilly and Company | 2,165,472 | ||||||
| 14,350 | Hospira, Inc.a | 799,152 | ||||||
| 37,670 | Johnson & Johnson | 2,329,890 | ||||||
| 17,000 | LifePoint Hospitals, Inc.a | 624,750 | ||||||
| 8,620 | Novartis AG ADR | 508,149 | ||||||
| 9,900 | Omnicare, Inc. | 251,361 | ||||||
| 36,300 | PSS World Medical, Inc.a | 820,380 | ||||||
| 3,900 | Quest Diagnostics, Inc. | 210,483 | ||||||
| 15,100 | Salix Pharmaceuticals, Ltd.a | 709,096 | ||||||
| 28,250 | Teva Pharmaceutical Industries, Ltd. ADR | 1,472,673 | ||||||
| 18,573 | Thermo Fisher Scientific, Inc.a | 1,028,201 | ||||||
| 13,100 | United Therapeutics Corporationa | 828,182 | ||||||
| 75,496 | UnitedHealth Group, Inc. | 2,726,161 | ||||||
| 2,933 | Varian Medical Systems, Inc.a | 203,198 | ||||||
| 4,474 | Vertex Pharmaceuticals, Inc.a | 156,724 | ||||||
| 2,500 | Waters Corporationa | 194,275 | ||||||
| 4,480 | Zimmer Holdings, Inc.a | 240,486 | ||||||
| Total Health Care | 21,525,578 | |||||||
| Industrials (2.5%) | |||||||
| 3,370 | 3M Company | 290,831 | ||||||
| 3,410 | Boeing Company | 222,537 | ||||||
| 12,470 | Caterpillar, Inc. | 1,167,940 | ||||||
| 3,185 | CSX Corporation | 205,783 | ||||||
| 43,700 | Delta Air Lines, Inc.a | 550,620 | ||||||
| 7,440 | Emerson Electric Company | 425,345 | ||||||
| 2,370 | Fluor Corporation | 157,036 | ||||||
| 29,800 | FTI Consulting, Inc.a | 1,110,944 | ||||||
| 28,510 | General Electric Company | 521,448 | ||||||
| 5,645 | Honeywell International, Inc. | 300,088 | ||||||
| 43,700 | Knight Transportation, Inc. | 830,300 | ||||||
| 115,618 | Manitowoc Company, Inc. | 1,515,752 | ||||||
| 3,700 | Manpower, Inc. | 232,212 | ||||||
| 6,220 | Norfolk Southern Corporation | 390,740 | ||||||
| 47,025 | Oshkosh Corporationa | 1,657,161 | ||||||
| 3,328 | Parker Hannifin Corporation | 287,206 | ||||||
| 6,800 | Republic Services, Inc. | 203,048 | ||||||
| 36,800 | Shaw Group, Inc.a | 1,259,664 | ||||||
| 9,800 | Siemens AG ADR | 1,217,650 | ||||||
| 3,575 | SPX Corporation | 255,577 | ||||||
| 20,780 | Teledyne Technologies, Inc.a | 913,697 | ||||||
| 5,960 | Textron, Inc. | 140,895 | ||||||
| 6,000 | Tyco International, Ltd. | 248,640 | ||||||
| 3,638 | United Technologies Corporation | 286,383 | ||||||
| 8,147 | Werner Enterprises, Inc. | 184,122 | ||||||
| 4,880 | WESCO International, Inc.a | 257,664 | ||||||
| Total Industrials | 14,833,283 | |||||||
| Information Technology (6.9%) | |||||||
| 47,700 | Accenture plc | 2,312,973 | ||||||
| 20,400 | ADTRAN, Inc. | 738,684 | ||||||
| 4,500 | Alliance Data Systems Corporationa | 319,635 | ||||||
| 10,738 | Apple, Inc.a | 3,463,649 | ||||||
| 15,000 | ASML Holding NV | 575,100 | ||||||
| 81,875 | Atmel Corporationa | 1,008,700 | ||||||
| 4,300 | Broadcom Corporation | 187,265 | ||||||
| 11,600 | Cognizant Technology Solutions Corporationa | 850,164 | ||||||
| 25,700 | CommVault Systems, Inc.a | 735,534 | ||||||
| 29,682 | Compuware Corporationa | 346,389 | ||||||
| 7,874 | eBay, Inc.a | 219,133 | ||||||
| 66,990 | EMC Corporationa | 1,534,071 | ||||||
| 3,385 | Google, Inc.a | 2,010,589 | ||||||
| 37,500 | GSI Commerce, Inc.a | 870,000 | ||||||
| 60,500 | Hewlett-Packard Company | 2,547,050 | ||||||
| 19,100 | Informatica Corporationa | 840,973 | ||||||
| 18,003 | International Business Machines Corporation | 2,642,120 | ||||||
| 6,710 | Juniper Networks, Inc.a | 247,733 | ||||||
| 4,400 | Lam Research Corporationa | 227,832 | ||||||
| 50,350 | Marvell Technology Group, Ltd.a | 933,993 | ||||||
| 153,160 | Microsoft Corporation | 4,276,227 | ||||||
| 50,600 | Monster Worldwide, Inc.a | 1,195,678 | ||||||
| 92,050 | Oracle Corporation | 2,881,165 | ||||||
| 27,900 | Plantronics, Inc. | 1,038,438 | ||||||
| 28,900 | Plexus Corporationa | 894,166 | ||||||
| 29,050 | QUALCOMM, Inc. | 1,437,685 | ||||||
| 120,402 | Teradyne, Inc.a | 1,690,444 | ||||||
| 56,123 | TIBCO Software, Inc.a | 1,106,184 | ||||||
| 10,926 | Tyco Electronics, Ltd. | 386,780 | ||||||
| 17,600 | ValueClick, Inc.a | 282,128 | ||||||
| 7,500 | VeriFone Systems, Inc.a | 289,200 | ||||||
| 13,300 | Visa, Inc. | 936,054 | ||||||
| 5,850 | VMware, Inc.a | 520,124 | ||||||
| 48,890 | Xerox Corporation | 563,213 | ||||||
| 18,486 | Xilinx, Inc. | 535,724 | ||||||
| Total Information Technology | 40,644,797 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
92
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (26.5%) | Value | ||||||
| Materials (0.7%) | |||||||
| 4,888 | Albemarle Corporation | $ | 272,653 | |||||
| 4,510 | Allegheny Technologies, Inc. | 248,862 | ||||||
| 19,329 | E.I. du Pont de Nemours and Company | 964,131 | ||||||
| 29,200 | International Paper Company | 795,408 | ||||||
| 7,466 | Silgan Holdings, Inc. | 267,357 | ||||||
| 16,670 | Steel Dynamics, Inc. | 305,061 | ||||||
| 13,250 | Teck Resources, Ltd. | 819,247 | ||||||
| 12,500 | Temple-Inland, Inc. | 265,500 | ||||||
| Total Materials | 3,938,219 | |||||||
| Telecommunications Services (0.4%) | |||||||
| 204,000 | Alcatel-Lucent ADRa | 603,840 | ||||||
| 12,180 | AT&T, Inc. | 357,848 | ||||||
| 16,400 | NII Holdings, Inc.a | 732,424 | ||||||
| 5,210 | Telephone & Data Systems, Inc. | 190,426 | ||||||
| 18,360 | Verizon Communications, Inc. | 656,921 | ||||||
| Total Telecommunications Services | 2,541,459 | |||||||
| Utilities (0.6%) | |||||||
| 4,573 | Alliant Energy Corporation | 168,149 | ||||||
| 19,200 | American Electric Power Company, Inc. | 690,816 | ||||||
| 12,600 | CMS Energy Corporation | 234,360 | ||||||
| 6,330 | Duke Energy Corporation | 112,737 | ||||||
| 17,088 | NV Energy, Inc. | 240,086 | ||||||
| 8,877 | Portland General Electric Company | 192,631 | ||||||
| 21,679 | Southwest Gas Corporation | 794,969 | ||||||
| 33,175 | UGI Corporation | 1,047,667 | ||||||
| 4,920 | Xcel Energy, Inc. | 115,866 | ||||||
| Total Utilities | 3,597,281 | |||||||
Total Common Stock (cost $136,277,491) | 155,848,166 | |||||||
| Principal Amount | Long-Term Fixed Income (5.7%) | |||||||
| Asset-Backed Securities (0.2%) | |||||||
J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 1,000,000 | 5.461%, 10/25/2036 | 793,107 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 650,000 | 6.011%, 5/25/2036 | 434,397 | ||||||
| Total Asset-Backed Securities | 1,227,504 | |||||||
| Basic Materials (0.2%) | |||||||
| ArcelorMittal | ||||||||
| 100,000 | 7.000%, 10/15/2039 | 103,778 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 130,000 | 8.000%, 4/1/2017b | 138,450 | ||||||
| FMG Finance, Pty., Ltd. | ||||||||
| 130,000 | 7.000%, 11/1/2015b | 133,250 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 130,000 | 8.000%, 1/15/2024 | 148,525 | ||||||
| Lyondell Chemical Company | ||||||||
| 120,000 | 11.000%, 5/1/2018 | 135,900 | ||||||
| Novelis, Inc. | ||||||||
| 140,000 | 8.375%, 12/15/2017b | 144,900 | ||||||
| Rohm & Haas Company | ||||||||
| 100,000 | 7.850%, 7/15/2029 | 116,200 | ||||||
| Total Basic Materials | 921,003 | |||||||
| Capital Goods (0.1%) | |||||||
| Abengoa Finance SAU | ||||||||
| 130,000 | 8.875%, 11/1/2017b | 120,250 | ||||||
| Associated Materials, LLC | ||||||||
| 140,000 | 9.125%, 11/1/2017b | 146,300 | ||||||
| Case New Holland, Inc. | ||||||||
| 120,000 | 7.875%, 12/1/2017b | 131,100 | ||||||
| Total Capital Goods | 397,650 | |||||||
| Collateralized Mortgage Obligations (0.1%) | |||||||
| Sequoia Mortgage Trust | ||||||||
| 176,296 | 5.441%, 9/20/2046 | 62,309 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 193,328 | 5.867%, 9/25/2036 | 176,737 | ||||||
| 286,170 | 5.987%, 10/25/2036 | 264,575 | ||||||
| Total Collateralized Mortgage Obligations | 503,621 | |||||||
| Commercial Mortgage-Backed Securities (0.1%) | |||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| 201,451 | 3.342%, 12/25/2019 | 204,551 | ||||||
| Government National Mortgage Association | ||||||||
| 203,272 | 2.164%, 3/16/2033 | 205,740 | ||||||
| 202,331 | 3.214%, 1/16/2040 | 209,323 | ||||||
| Total Commercial Mortgage-Backed Securities | 619,614 | |||||||
| Communications Services (0.1%) | |||||||
| CBS Corporation | ||||||||
| 50,000 | 5.900%, 10/15/2040 | 48,164 | ||||||
| Cincinnati Bell, Inc. | ||||||||
| 130,000 | 8.250%, 10/15/2017 | 128,700 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 70,000 | 9.250%, 12/15/2017 | 76,650 | ||||||
| Cox Communications, Inc. | ||||||||
| 100,000 | 6.950%, 6/1/2038b | 111,241 | ||||||
| Frontier Communications Corporation | ||||||||
| 70,000 | 8.250%, 4/15/2017 | 76,825 | ||||||
| Intelsat Jackson Holdings, Ltd. | ||||||||
| 70,000 | 8.500%, 11/1/2019b | 76,125 | ||||||
| Viacom, Inc. | ||||||||
| 50,000 | 7.875%, 7/30/2030 | 59,034 | ||||||
| Virgin Media Finance plc | ||||||||
| 120,000 | 9.500%, 8/15/2016 | 135,600 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 137,000 | 7.250%, 2/15/2018b | 139,398 | ||||||
| Total Communications Services | 851,737 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (5.7%) | Value | ||||||
| Consumer Cyclical (0.2%) | |||||||
| Goodyear Tire & Rubber Company | ||||||||
| $ | 90,000 | 8.250%, 8/15/2020 | $ | 93,150 | ||||
| Home Depot, Inc. | ||||||||
| 100,000 | 5.875%, 12/16/2036 | 104,015 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 110,000 | 8.375%, 7/15/2015 | 128,700 | ||||||
| MGM Resorts International | ||||||||
| 110,000 | 11.125%, 11/15/2017 | 126,500 | ||||||
| Rite Aid Corporation | ||||||||
| 140,000 | 7.500%, 3/1/2017 | 134,575 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 130,000 | 6.750%, 5/15/2018 | 142,350 | ||||||
| Toys R Us Property Company I, LLC | ||||||||
| 120,000 | 10.750%, 7/15/2017 | 136,800 | ||||||
| Warner Music Group | ||||||||
| 140,000 | 7.375%, 4/15/2014 | 134,400 | ||||||
| West Corporation | ||||||||
| 140,000 | 7.875%, 1/15/2019b | 142,450 | ||||||
| Wyndham Worldwide Corporation | ||||||||
| 130,000 | 6.000%, 12/1/2016 | 136,036 | ||||||
| Total Consumer Cyclical | 1,278,976 | |||||||
| Consumer Non-Cyclical (0.1%) | |||||||
| Altria Group, Inc. | ||||||||
| 100,000 | 9.950%, 11/10/2038 | 140,913 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 50,000 | 6.450%, 9/1/2037 | 57,213 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 50,000 | 8.200%, 1/15/2039b | 67,830 | ||||||
| HCA, Inc. | ||||||||
| 130,000 | 9.625%, 11/15/2016 | 139,263 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 120,000 | 11.625%, 5/1/2014 | 140,400 | ||||||
| Kraft Foods, Inc. | ||||||||
| 50,000 | 6.500%, 11/1/2031 | 55,617 | ||||||
| 50,000 | 7.000%, 8/11/2037 | 58,535 | ||||||
| Mylan, Inc. | ||||||||
| 120,000 | 7.875%, 7/15/2020b | 129,300 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 50,000 | 6.875%, 2/15/2038 | 58,211 | ||||||
| Total Consumer Non-Cyclical | 847,282 | |||||||
| Energy (0.1%) | |||||||
| Denbury Resources, Inc. | ||||||||
| 140,000 | 9.750%, 3/1/2016 | 156,100 | ||||||
| Linn Energy, LLC | ||||||||
| 130,000 | 7.750%, 2/1/2021b | 133,250 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 70,000 | 7.500%, 1/15/2020 | 76,862 | ||||||
| Plains Exploration & Production Company | ||||||||
| 130,000 | 7.625%, 6/1/2018 | 136,825 | ||||||
| Sandridge Energy, Inc. | ||||||||
| 140,000 | 8.000%, 6/1/2018b | 142,100 | ||||||
| Valero Energy Corporation | ||||||||
| 100,000 | 6.625%, 6/15/2037 | 101,563 | ||||||
| Weatherford International, Ltd. | ||||||||
| 100,000 | 6.750%, 9/15/2040 | 105,028 | ||||||
| Total Energy | 851,728 | |||||||
| Financials (0.4%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 205,000 | 3.200%, 11/3/2014b | 213,287 | ||||||
| Ally Financial, Inc. | ||||||||
| 130,000 | 8.300%, 2/12/2015 | 143,000 | ||||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013b | 225,027 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 205,000 | 2.600%, 7/2/2015b | 206,117 | ||||||
| CIT Group, Inc. | ||||||||
| 71,075 | 7.000%, 5/1/2017 | 71,253 | ||||||
| Compagnie de Financement Foncier | ||||||||
| 225,000 | 2.125%, 4/22/2013b | 226,915 | ||||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014b | 228,247 | ||||||
| General Electric Capital Corporation | ||||||||
| 100,000 | 6.750%, 3/15/2032 | 113,212 | ||||||
| Icahn Enterprises, LP | ||||||||
| 70,000 | 8.000%, 1/15/2018 | 70,000 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 210,000 | 2.375%, 5/26/2015 | 214,919 | ||||||
| Morgan Stanley Dean Witter & Company | ||||||||
| 100,000 | 7.250%, 4/1/2032 | 114,489 | ||||||
| Prudential Financial, Inc. | ||||||||
| 100,000 | 6.200%, 11/15/2040 | 105,785 | ||||||
| Royal Bank of Canada | ||||||||
| 160,000 | 3.125%, 4/14/2015b | 163,889 | ||||||
| Toronto-Dominion Bank | ||||||||
| 205,000 | 2.200%, 7/29/2015b | 201,654 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 50,000 | 5.700%, 10/15/2040 | 49,783 | ||||||
| XL Capital, Ltd. | ||||||||
| 100,000 | 6.250%, 5/15/2027 | 98,483 | ||||||
| Total Financials | 2,446,060 | |||||||
| Foreign Government (0.1%) | |||||||
| Kommunalbanken AS | ||||||||
| 225,000 | 2.750%, 5/5/2015b | 230,075 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 55,000 | 1.250%, 6/15/2012 | 55,467 | ||||||
| Total Foreign Government | 285,542 | |||||||
| Mortgage-Backed Securities (0.4%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 800,000 | 6.000%, 1/1/2041c | 866,500 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
Principal | Long-Term Fixed Income (5.7%) | Value | ||||||
| Mortgage-Backed Securities (0.4%) - continued | |||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| $ | 450,000 | 3.500%, 1/1/2026c | $ | 453,094 | ||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 800,000 | 4.500%, 1/1/2041c | 821,125 | ||||||
| Total Mortgage-Backed Securities | 2,140,719 | |||||||
| Technology (0.1%) | |||||||
| Freescale Semiconductor, Inc. | ||||||||
| 130,000 | 9.250%, 4/15/2018b | 143,000 | ||||||
| NXP BV/NXP Funding, LLC | ||||||||
| 110,000 | 9.750%, 8/1/2018b | 123,750 | ||||||
| Seagate HDD Cayman | ||||||||
| 120,000 | 7.750%, 12/15/2018b | 121,500 | ||||||
| Total Technology | 388,250 | |||||||
| Transportation (<0.1%) | |||||||
| Avis Budget Car Rental, LLC | ||||||||
| 130,000 | 8.250%, 1/15/2019b | 131,300 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 140,000 | 9.500%, 9/15/2014b | 152,425 | ||||||
| Total Transportation | 283,725 | |||||||
| U.S. Government and Agencies (3.5%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 85,000 | Zero Coupon, 1/7/2012b | 84,287 | ||||||
| 85,000 | Zero Coupon, 1/7/2014b | 80,711 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 210,000 | 2.125%, 9/15/2015 | 210,906 | ||||||
| Federal Home Loan Banks | ||||||||
| 860,000 | 5.375%, 5/18/2016 | 986,642 | ||||||
| 1,300,000 | 5.000%, 11/17/2017 | 1,473,870 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 400,000 | 2.500%, 1/7/2014 | 416,010 | ||||||
| 580,000 | 4.875%, 6/13/2018 | 648,635 | ||||||
| 300,000 | 3.750%, 3/27/2019 | 310,551 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,300,000 | 0.375%, 12/28/2012 | 1,291,749 | ||||||
| 715,000 | 2.000%, 4/15/2013 | 717,816 | ||||||
| 255,000 | 4.375%, 10/15/2015 | 280,690 | ||||||
| 210,000 | 6.250%, 5/15/2029 | 257,641 | ||||||
| Tennessee Valley Authority | ||||||||
| 165,000 | 5.250%, 9/15/2039 | 174,441 | ||||||
| U.S. Treasury Bonds | ||||||||
| 300,000 | 4.625%, 2/15/2040 | 314,250 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 55,652 | 2.125%, 2/15/2040 | 58,904 | ||||||
| U.S. Treasury Notes | ||||||||
| 550,000 | 1.125%, 6/15/2013 | 554,510 | ||||||
| 1,425,000 | 1.750%, 1/31/2014 | 1,454,837 | ||||||
| 2,150,000 | 2.500%, 4/30/2015 | 2,222,730 | ||||||
| 465,000 | 1.250%, 10/31/2015 | 450,033 | ||||||
| 625,000 | 2.625%, 2/29/2016 | 641,455 | ||||||
| 1,500,000 | 3.250%, 3/31/2017 | 1,566,562 | ||||||
| 1,300,000 | 3.625%, 2/15/2020 | 1,349,156 | ||||||
| 1,415,000 | 3.500%, 5/15/2020 | 1,449,498 | ||||||
| 420,000 | 7.625%, 2/15/2025 | 595,612 | ||||||
| 550,000 | 4.375%, 5/15/2040 | 552,662 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 258,653 | 3.375%, 1/15/2012 | 270,393 | ||||||
| 305,240 | 0.625%, 4/15/2013 | 314,468 | ||||||
| 349,168 | 2.000%, 1/15/2014 | 374,865 | ||||||
| 251,981 | 1.625%, 1/15/2015 | 268,695 | ||||||
| 232,832 | 2.500%, 7/15/2016 | 261,318 | ||||||
| 316,569 | 2.625%, 7/15/2017 | 360,270 | ||||||
| 252,840 | 1.375%, 1/15/2020 | 262,756 | ||||||
| 63,813 | 2.375%, 1/15/2025 | 71,012 | ||||||
| Total U.S. Government and Agencies | 20,327,935 | |||||||
| Utilities (<0.1%) | |||||||
| Energy Transfer Partners, LP | ||||||||
| 28,000 | 6.625%, 10/15/2036 | 29,518 | ||||||
| 50,000 | 7.500%, 7/1/2038 | 58,157 | ||||||
| NRG Energy, Inc. | ||||||||
| 130,000 | 7.375%, 2/1/2016 | 133,250 | ||||||
| Total Utilities | 220,925 | |||||||
Total Long-Term Fixed Income (cost $32,563,721) | 33,592,271 | |||||||
Short-Term Investments (1.6%)d | ||||||||
| Liberty Street Funding, LLC | ||||||||
| 5,165,000 | 0.130%, 1/3/2011e | 5,164,963 | ||||||
| U.S. Treasury Bills | ||||||||
| 4,000,000 | 0.118%, 2/24/2011e,f | 3,999,307 | ||||||
| Total Short-Term Investments (at amortized cost) | 9,164,270 | |||||||
| Total Investments (cost $591,906,934) 100.2% | $ | 588,457,489 | ||||||
| Other Assets and Liabilities, Net (0.2%) | (1,352,447 | ) | ||||||
| Total Net Assets 100.0% | $ | 587,105,042 | ||||||
| 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, 2010, the value of these investments was $4,288,128 or 0.7% of total net assets. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| f | At December 31, 2010, $1,499,740 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. | ||
| 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 | $ | 43,940,712 | ||
Gross unrealized depreciation | (47,607,614 | ) | ||
Net unrealized appreciation (depreciation) | $ | (3,666,902 | ) | |
Cost for federal income tax purposes | $ | 592,124,391 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 383,593,286 | 383,593,286 | — | — | ||||||||||||
Fixed Income Mutual Funds | 6,259,496 | 6,259,496 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 22,446,788 | 22,446,788 | — | — | ||||||||||||
Consumer Staples | 8,178,563 | 8,178,563 | — | — | ||||||||||||
Energy | 15,141,578 | 15,141,578 | — | — | ||||||||||||
Financials | 23,000,620 | 23,000,620 | — | — | ||||||||||||
Health Care | 21,525,578 | 21,525,578 | — | — | ||||||||||||
Industrials | 14,833,283 | 14,833,283 | — | — | ||||||||||||
Information Technology | 40,644,797 | 40,644,797 | — | — | ||||||||||||
Materials | 3,938,219 | 3,938,219 | — | — | ||||||||||||
Telecommunications Services | 2,541,459 | 2,541,459 | — | — | ||||||||||||
Utilities | 3,597,281 | 3,597,281 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 1,227,504 | — | 1,227,504 | — | ||||||||||||
Basic Materials | 921,003 | — | 921,003 | — | ||||||||||||
Capital Goods | 397,650 | — | 397,650 | — | ||||||||||||
Collateralized Mortgage Obligations | 503,621 | — | 503,621 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 619,614 | — | 619,614 | — | ||||||||||||
Communications Services | 851,737 | — | 851,737 | — | ||||||||||||
Consumer Cyclical | 1,278,976 | — | 1,278,976 | — | ||||||||||||
Consumer Non-Cyclical | 847,282 | — | 847,282 | — | ||||||||||||
Energy | 851,728 | — | 851,728 | — | ||||||||||||
Financials | 2,446,060 | — | 2,446,060 | — | ||||||||||||
Foreign Government | 285,542 | — | 285,542 | — | ||||||||||||
Mortgage-Backed Securities | 2,140,719 | — | 2,140,719 | — | ||||||||||||
Technology | 388,250 | — | 388,250 | — | ||||||||||||
Transportation | 283,725 | — | 283,725 | — | ||||||||||||
U.S. Government and Agencies | 20,327,935 | — | 20,327,935 | — | ||||||||||||
Utilities | 220,925 | — | 220,925 | — | ||||||||||||
Short-Term Investments | 9,164,270 | — | 9,164,270 | — | ||||||||||||
Total | $ | 588,457,489 | $ | 545,700,948 | $ | 42,756,541 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 219,483 | 219,483 | — | — | ||||||||||||
Total Asset Derivatives | $ | 219,483 | $ | 219,483 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 242,327 | 242,327 | — | — | ||||||||||||
Total Liability Derivatives | $ | 242,327 | $ | 242,327 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | (149 | ) | March 2011 | ($ | 11,502,266 | ) | ($ | 11,656,270 | ) | ($154,004 | ) | |||||||||
S&P 400 Index Mini-Futures | (49 | ) | March 2011 | (4,347,648 | ) | (4,435,971 | ) | (88,323 | ) | |||||||||||
S&P 500 Index Futures | 35 | March 2011 | 10,744,267 | 10,963,750 | 219,483 | |||||||||||||||
Total Futures Contracts | ($22,844 | ) | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 219,483 | ||||
Total Equity Contracts | 219,483 | |||||
Total Asset Derivatives | $ | 219,483 | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 242,327 | ||||
Total Equity Contracts | 242,327 | |||||
Total Liability Derivatives | $ | 242,327 | ||||
| * | 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, 2010, for 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 | 2,772,766 | ||||
Total Equity Contracts | 2,772,766 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (110,966 | ) | |||
Total Credit Contracts | (110,966 | ) | ||||
Total | $ | 2,661,800 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (1,020,711 | ) | |||
Total Equity Contracts | (1,020,711 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 128,858 | ||||
Total Credit Contracts | 128,858 | |||||
Total | ($891,853 | ) | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | $ | 37,598,163 | 7.2 | % | N/A | N/A | N/A | |||||||||||||
Interest Rate Contracts | N/A | N/A | N/A | N/A | 1 | |||||||||||||||
Credit Contracts | N/A | N/A | $ | 516,640 | 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 Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Real Estate Securities | $ | 9,257,711 | $ | 497,853 | $ | 259,387 | 810,218 | $ | 11,741,196 | $ | 309,400 | |||||||||||||
Partner Small Cap Growth | 35,237,937 | 502,541 | 691,698 | 3,498,692 | 45,198,556 | — | ||||||||||||||||||
Partner Small Cap Value | 13,668,534 | 322,786 | 2,259,387 | 770,341 | 14,685,240 | 134,333 | ||||||||||||||||||
Small Cap Stock | 19,713,116 | 636,436 | 864,622 | 1,925,833 | 24,387,985 | 8,260 | ||||||||||||||||||
Mid Cap Growth II | 34,693,798 | 3,794,412 | 605,235 | 4,443,916 | 44,227,632 | — | ||||||||||||||||||
Partner Mid Cap Value | 17,809,343 | 405,517 | 1,535,849 | 1,558,206 | 20,855,810 | 154,247 | ||||||||||||||||||
Mid Cap Stock | 38,013,558 | 833,409 | 13,951,084 | 2,717,509 | 33,298,998 | 142,416 | ||||||||||||||||||
Partner Worldwide Allocation | 8,638,175 | 13,978,520 | 612,053 | 2,743,915 | 24,071,806 | 310,620 | ||||||||||||||||||
Partner International Stock | 71,544,054 | 1,385,882 | 857,805 | 7,197,910 | 76,818,979 | 1,385,883 | ||||||||||||||||||
Large Cap Growth II | 26,504,431 | 4,701,699 | 4,539,761 | 3,672,400 | 25,486,458 | 69,080 | ||||||||||||||||||
Large Cap Value | 25,779,138 | 996,136 | 864,622 | 2,682,429 | 28,774,412 | 367,960 | ||||||||||||||||||
Large Cap Stock | 36,416,956 | 710,395 | 10,691,698 | 3,440,881 | 29,249,553 | 207,854 | ||||||||||||||||||
Equity Income Plus | 4,126,856 | 69,292 | — | 529,515 | 4,796,661 | 69,292 | ||||||||||||||||||
High Yield | 10,041,199 | 1,199,540 | 5,484,746 | 1,300,810 | 6,259,496 | 775,450 | ||||||||||||||||||
Income | 15,431,962 | 409,210 | 16,285,338 | — | — | 220,757 | ||||||||||||||||||
Limited Maturity Bond | 8,002,838 | 265,909 | 8,375,116 | — | — | 77,456 | ||||||||||||||||||
Total Value and Income Earned | 374,879,606 | 389,852,782 | 4,233,008 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
Shares | Mutual Funds (74.4%) | Value | ||||||
| Equity Mutual Funds (59.6%) | |||||||
| 5,203,119 | Thrivent Real Estate Securities Portfolio | $ | 75,400,485 | |||||
| 5,056,075 | Thrivent Partner Small Cap Growth Portfolioa | 65,317,912 | ||||||
| 3,429,481 | Thrivent Partner Small Cap Value Portfolio | 65,377,232 | ||||||
| 4,528,335 | Thrivent Small Cap Stock Portfolio | 57,345,023 | ||||||
| 6,726,855 | Thrivent Mid Cap Growth Portfolio IIa | 66,948,352 | ||||||
| 6,145,106 | Thrivent Partner Mid Cap Value Portfolio | 82,249,173 | ||||||
| 14,064,899 | Thrivent Mid Cap Stock Portfolio | 172,344,241 | ||||||
| 16,469,121 | Thrivent Partner Worldwide Allocation Portfolio | 144,480,301 | ||||||
| 19,469,938 | Thrivent Partner International Stock Portfolio | 207,790,968 | ||||||
| 22,363,632 | Thrivent Large Cap Growth Portfolio II | 155,203,606 | ||||||
| 18,426,522 | Thrivent Large Cap Value Portfolio | 197,661,302 | ||||||
| 21,655,536 | Thrivent Large Cap Stock Portfolio | 184,085,048 | ||||||
| 2,217,865 | Thrivent Equity Income Plus Portfolio | 20,090,748 | ||||||
| Total Equity Mutual Funds | 1,494,294,391 | |||||||
| Fixed Income Mutual Funds (14.8%) | |||||||
| 21,485,397 | Thrivent High Yield Portfolio | 103,387,730 | ||||||
| 17,360,927 | Thrivent Income Portfolio | 172,852,335 | ||||||
| 9,669,979 | Thrivent Limited Maturity Bond Portfolio | 94,786,105 | ||||||
| Total Fixed Income Mutual Funds | 371,026,170 | |||||||
Total Mutual Funds (cost $1,947,054,790) | 1,865,320,561 | |||||||
Common Stock (15.2%) | ||||||||
| Consumer Discretionary (2.3%) | |||||||
| 9,350 | Amazon.com, Inc.a | 1,683,000 | ||||||
| 16,634 | Autoliv, Inc. | 1,313,088 | ||||||
| 45,650 | Carnival Corporation | 2,104,921 | ||||||
| 75,239 | Cooper Tire & Rubber Company | 1,774,136 | ||||||
| 62,140 | Dana Holding Corporationa | 1,069,429 | ||||||
| 9,655 | Dollar Tree, Inc.a | 541,452 | ||||||
| 46,200 | Expedia, Inc. | 1,159,158 | ||||||
| 106,600 | Foot Locker, Inc. | 2,091,492 | ||||||
| 28,968 | Kohl’s Corporationa | 1,574,121 | ||||||
| 57,342 | Macy’s, Inc. | 1,450,753 | ||||||
| 121,150 | MGM Resorts Internationala | 1,799,078 | ||||||
| 3,000 | Netflix, Inc.a | 527,100 | ||||||
| 23,760 | Omnicom Group, Inc. | 1,088,208 | ||||||
| 9,118 | Panera Bread Companya | 922,833 | ||||||
| 175,000 | Pier 1 Imports, Inc.a | 1,837,500 | ||||||
| 27,300 | Signet Jewelers, Ltd.a | 1,184,820 | ||||||
| 269,400 | Starbucks Corporation | 8,655,822 | ||||||
| 146,650 | Target Corporation | 8,818,064 | ||||||
| 15,190 | Time Warner Cable, Inc. | 1,002,996 | ||||||
| 219,150 | TJX Companies, Inc. | 9,728,069 | ||||||
| 36,025 | Walt Disney Company | 1,351,298 | ||||||
| 31,500 | Warnaco Group, Inc.a | 1,734,705 | ||||||
| 68,700 | Williams-Sonoma, Inc. | 2,451,903 | ||||||
| 36,172 | WMS Industries, Inc.a | 1,636,421 | ||||||
| Total Consumer Discretionary | 57,500,367 | |||||||
| Consumer Staples (0.9%) | |||||||
| 42,300 | Avon Products, Inc. | 1,229,238 | ||||||
| 96,900 | Colgate-Palmolive Company | 7,787,853 | ||||||
| 8,170 | Diageo plc ADR | 607,276 | ||||||
| 22,804 | Flowers Foods, Inc. | 613,656 | ||||||
| 27,000 | Herbalife, Ltd. | 1,845,990 | ||||||
| 61,632 | Kraft Foods, Inc. | 1,942,024 | ||||||
| 39,486 | PepsiCo, Inc. | 2,579,620 | ||||||
| 46,416 | Philip Morris International, Inc. | 2,716,728 | ||||||
| 16,155 | TreeHouse Foods, Inc.a | 825,359 | ||||||
| 29,410 | Walgreen Company | 1,145,814 | ||||||
| Total Consumer Staples | 21,293,558 | |||||||
| Energy (1.3%) | |||||||
| 11,443 | Alpha Natural Resources, Inc.a | 686,923 | ||||||
| 11,910 | Apache Corporation | 1,420,029 | ||||||
| 72,000 | Arch Coal, Inc. | 2,524,320 | ||||||
| 54,680 | Baker Hughes, Inc. | 3,126,056 | ||||||
| 28,110 | Chevron Corporation | 2,565,038 | ||||||
| 81,300 | Complete Production Services, Inc.a | 2,402,415 | ||||||
| 17,790 | ConocoPhillips | 1,211,499 | ||||||
| 31,100 | Dresser-Rand Group, Inc.a | 1,324,549 | ||||||
| 26,080 | ENSCO International plc ADR | 1,392,150 | ||||||
| 71,776 | Forest Oil Corporationa | 2,725,335 | ||||||
| 258,800 | International Coal Group, Inc.a | 2,003,112 | ||||||
| 83,600 | James River Coal Companya | 2,117,588 | ||||||
| 16,138 | National Oilwell Varco, Inc. | 1,085,281 | ||||||
| 20,830 | Occidental Petroleum Corporation | 2,043,423 | ||||||
| 28,331 | Schlumberger, Ltd. | 2,365,638 | ||||||
| 49,600 | Ultra Petroleum Corporationa | 2,369,392 | ||||||
| 47,300 | Weatherford International, Ltd.a | 1,078,440 | ||||||
| 6,500 | Whiting Petroleum Corporationa | 761,735 | ||||||
| Total Energy | 33,202,923 | |||||||
| Financials (2.2%) | |||||||
| 9,540 | ACE, Ltd. | 593,865 | ||||||
| 20,544 | Affiliated Managers Group, Inc.a | 2,038,376 | ||||||
| 10,648 | Ameriprise Financial, Inc. | 612,792 | ||||||
| 78,565 | Bank of America Corporation | 1,048,057 | ||||||
| 12,000 | BlackRock, Inc. | 2,286,960 | ||||||
| 148,050 | Chubb Corporation | 8,829,702 | ||||||
| 282,810 | Citigroup, Inc.a | 1,337,691 | ||||||
| 32,800 | Comerica, Inc. | 1,385,472 | ||||||
| 40,731 | Duke Realty Corporation | 507,508 | ||||||
| 15,200 | Endurance Specialty Holdings, Ltd. | 700,264 | ||||||
| 35,106 | Equity One, Inc. | 638,227 | ||||||
| 51,907 | Fifth Third Bancorp | 761,995 | ||||||
| 16,170 | Goldman Sachs Group, Inc. | 2,719,147 | ||||||
| 11,260 | Hanover Insurance Group, Inc. | 526,067 | ||||||
| 36,072 | HCC Insurance Holdings, Inc. | 1,043,924 | ||||||
| 17,800 | Healthcare Realty Trust, Inc. | 376,826 | ||||||
| 47,295 | Host Hotels & Resorts, Inc. | 845,162 | ||||||
| 4,480 | IntercontinentalExchange, Inc.a | 533,792 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
100
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (15.2%) | Value | ||||||
| Financials (2.2%) - continued | |||||||
| 31,900 | iShares Russell 2000 Index Fund | $ | 2,495,537 | |||||
| 104,750 | Itau Unibanco Holding SA ADR | 2,515,047 | ||||||
| 34,949 | J.P. Morgan Chase & Company | 1,482,537 | ||||||
| 64,700 | LaSalle Hotel Properties | 1,708,080 | ||||||
| 14,350 | Lazard, Ltd. | 566,682 | ||||||
| 12,600 | M&T Bank Corporation | 1,096,830 | ||||||
| 13,860 | MetLife, Inc. | 615,938 | ||||||
| 22,474 | Morgan Stanley | 611,518 | ||||||
| 34,950 | Northern Trust Corporation | 1,936,580 | ||||||
| 193,891 | Ocwen Financial Corporationa | 1,849,720 | ||||||
| 44,700 | People’s United Financial, Inc. | 626,247 | ||||||
| 11,878 | Potlatch Corporation | 386,629 | ||||||
| 30,102 | Principal Financial Group, Inc. | 980,121 | ||||||
| 44,040 | SVB Financial Groupa | 2,336,322 | ||||||
| 92,455 | Texas Capital Bancshares, Inc.a | 1,966,518 | ||||||
| 79,650 | U.S. Bancorp | 2,148,161 | ||||||
| 3,300 | Unum Group | 79,926 | ||||||
| 34,596 | W.R. Berkley Corporation | 947,238 | ||||||
| 11,570 | Wells Fargo & Company | 358,554 | ||||||
| 104,100 | Zions Bancorporation | 2,522,343 | ||||||
| Total Financials | 54,016,355 | |||||||
| Health Care (2.2%) | |||||||
| 10,320 | Abbott Laboratories | 494,431 | ||||||
| 48,450 | Aetna, Inc. | 1,478,210 | ||||||
| 7,800 | Alexion Pharmaceuticals, Inc.a | 628,290 | ||||||
| 89,900 | Align Technology, Inc.a | 1,756,646 | ||||||
| 33,650 | Allergan, Inc. | 2,310,746 | ||||||
| 17,777 | C.R. Bard, Inc. | 1,631,395 | ||||||
| 25,524 | Celgene Corporationa | 1,509,489 | ||||||
| 15,215 | Community Health Systems, Inc.a | 568,585 | ||||||
| 32,900 | Covance, Inc.a | 1,691,389 | ||||||
| 29,832 | Coventry Health Care, Inc.a | 787,565 | ||||||
| 20,520 | Covidien, Ltd. | 936,943 | ||||||
| 220,100 | Eli Lilly and Company | 7,712,304 | ||||||
| 30,650 | Hospira, Inc.a | 1,706,899 | ||||||
| 129,670 | Johnson & Johnson | 8,020,089 | ||||||
| 36,400 | LifePoint Hospitals, Inc.a | 1,337,700 | ||||||
| 20,600 | Novartis AG ADR | 1,214,370 | ||||||
| 25,500 | Omnicare, Inc. | 647,445 | ||||||
| 70,400 | PSS World Medical, Inc.a | 1,591,040 | ||||||
| 10,400 | Quest Diagnostics, Inc. | 561,288 | ||||||
| 30,200 | Salix Pharmaceuticals, Ltd.a | 1,418,192 | ||||||
| 60,500 | Teva Pharmaceutical Industries, Ltd. ADR | 3,153,865 | ||||||
| 39,797 | Thermo Fisher Scientific, Inc.a | 2,203,162 | ||||||
| 25,300 | United Therapeutics Corporationa | 1,599,466 | ||||||
| 245,685 | UnitedHealth Group, Inc. | 8,871,685 | ||||||
| 7,954 | Varian Medical Systems, Inc.a | 551,053 | ||||||
| 12,430 | Vertex Pharmaceuticals, Inc.a | 435,423 | ||||||
| 6,900 | Waters Corporationa | 536,199 | ||||||
| 10,700 | Zimmer Holdings, Inc.a | 574,376 | ||||||
| Total Health Care | 55,928,245 | |||||||
| Industrials (1.3%) | |||||||
| 8,044 | 3M Company | 694,197 | ||||||
| 8,150 | Boeing Company | 531,869 | ||||||
| 27,560 | Caterpillar, Inc. | 2,581,270 | ||||||
| 8,728 | CSX Corporation | 563,916 | ||||||
| 93,650 | Delta Air Lines, Inc.a | 1,179,990 | ||||||
| 17,790 | Emerson Electric Company | 1,017,054 | ||||||
| 5,660 | Fluor Corporation | 375,031 | ||||||
| 61,900 | FTI Consulting, Inc.a | 2,307,632 | ||||||
| 68,160 | General Electric Company | 1,246,646 | ||||||
| 13,482 | Honeywell International, Inc. | 716,703 | ||||||
| 85,400 | Knight Transportation, Inc. | 1,622,600 | ||||||
| 241,688 | Manitowoc Company, Inc. | 3,168,530 | ||||||
| 10,200 | Manpower, Inc. | 640,152 | ||||||
| 14,860 | Norfolk Southern Corporation | 933,505 | ||||||
| 99,966 | Oshkosh Corporationa | 3,522,802 | ||||||
| 9,207 | Parker Hannifin Corporation | 794,564 | ||||||
| 18,000 | Republic Services, Inc. | 537,480 | ||||||
| 79,400 | Shaw Group, Inc.a | 2,717,862 | ||||||
| 21,000 | Siemens AG ADR | 2,609,250 | ||||||
| 9,967 | SPX Corporation | 712,541 | ||||||
| 40,070 | Teledyne Technologies, Inc.a | 1,761,878 | ||||||
| 14,220 | Textron, Inc. | 336,161 | ||||||
| 16,300 | Tyco International, Ltd. | 675,472 | ||||||
| 8,697 | United Technologies Corporation | 684,628 | ||||||
| 21,693 | Werner Enterprises, Inc. | 490,262 | ||||||
| 11,680 | WESCO International, Inc.a | 616,704 | ||||||
| Total Industrials | 33,038,699 | |||||||
| Information Technology (4.1%) | |||||||
| 170,100 | Accenture plc | 8,248,149 | ||||||
| 39,400 | ADTRAN, Inc. | 1,426,674 | ||||||
| 11,900 | Alliance Data Systems Corporationa | 845,257 | ||||||
| 22,955 | Apple, Inc.a | 7,404,365 | ||||||
| 32,100 | ASML Holding NV | 1,230,714 | ||||||
| 158,340 | Atmel Corporationa | 1,950,749 | ||||||
| 9,200 | Broadcom Corporation | 400,660 | ||||||
| 25,000 | Cognizant Technology Solutions Corporationa | 1,832,250 | ||||||
| 49,705 | CommVault Systems, Inc.a | 1,422,557 | ||||||
| 78,986 | Compuware Corporationa | 921,767 | ||||||
| 21,198 | eBay, Inc.a | 589,940 | ||||||
| 145,610 | EMC Corporationa | 3,334,469 | ||||||
| 7,258 | Google, Inc.a | 4,311,034 | ||||||
| 74,500 | GSI Commerce, Inc.a | 1,728,400 | ||||||
| 199,350 | Hewlett-Packard Company | 8,392,635 | ||||||
| 36,900 | Informatica Corporationa | 1,624,707 | ||||||
| 60,041 | International Business Machines Corporation | 8,811,617 | ||||||
| 17,627 | Juniper Networks, Inc.a | 650,789 | ||||||
| 11,900 | Lam Research Corporationa | 616,182 | ||||||
| 113,000 | Marvell Technology Group, Ltd.a | 2,096,150 | ||||||
| 443,240 | Microsoft Corporation | 12,375,261 | ||||||
| 97,869 | Monster Worldwide, Inc.a | 2,312,644 | ||||||
| 304,050 | Oracle Corporation | 9,516,765 | ||||||
| 54,081 | Plantronics, Inc. | 2,012,895 | ||||||
| 56,400 | Plexus Corporationa | 1,745,016 | ||||||
| 62,350 | QUALCOMM, Inc. | 3,085,702 | ||||||
| 265,105 | Teradyne, Inc.a | 3,722,074 | ||||||
| 119,243 | TIBCO Software, Inc.a | 2,350,280 | ||||||
| 26,151 | Tyco Electronics, Ltd. | 925,745 | ||||||
| 45,800 | ValueClick, Inc.a | 734,174 | ||||||
| 20,100 | VeriFone Systems, Inc.a | 775,056 | ||||||
| 28,550 | Visa, Inc. | 2,009,349 | ||||||
| 12,450 | VMware, Inc.a | 1,106,930 | ||||||
| 116,970 | Xerox Corporation | 1,347,494 | ||||||
| 46,144 | Xilinx, Inc. | 1,337,253 | ||||||
| Total Information Technology | 103,195,703 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (15.2%) | Value | ||||||
| Materials (0.4%) | |||||||
| 13,733 | Albemarle Corporation | $ | 766,027 | |||||
| 10,770 | Allegheny Technologies, Inc. | 594,288 | ||||||
| 46,234 | E.I. du Pont de Nemours and Company | 2,306,152 | ||||||
| 62,450 | International Paper Company | 1,701,138 | ||||||
| 19,910 | Silgan Holdings, Inc. | 712,977 | ||||||
| 43,320 | Steel Dynamics, Inc. | 792,756 | ||||||
| 28,500 | Teck Resources, Ltd. | 1,762,155 | ||||||
| 32,600 | Temple-Inland, Inc. | 692,424 | ||||||
| Total Materials | 9,327,917 | |||||||
| Telecommunications Services (0.2%) | |||||||
| 437,400 | Alcatel-Lucent ADRa | 1,294,704 | ||||||
| 29,120 | AT&T, Inc. | 855,546 | ||||||
| 35,070 | NII Holdings, Inc.a | 1,566,226 | ||||||
| 14,760 | Telephone & Data Systems, Inc. | 539,478 | ||||||
| 43,870 | Verizon Communications, Inc. | 1,569,668 | ||||||
| Total Telecommunications Services | 5,825,622 | |||||||
| Utilities (0.3%) | |||||||
| 12,761 | Alliant Energy Corporation | 469,222 | ||||||
| 45,930 | American Electric Power Company, Inc. | 1,652,561 | ||||||
| 32,800 | CMS Energy Corporation | 610,080 | ||||||
| 15,130 | Duke Energy Corporation | 269,465 | ||||||
| 44,369 | NV Energy, Inc. | 623,385 | ||||||
| 23,306 | Portland General Electric Company | 505,740 | ||||||
| 41,878 | Southwest Gas Corporation | 1,535,666 | ||||||
| 70,134 | UGI Corporation | 2,214,832 | ||||||
| 11,750 | Xcel Energy, Inc. | 276,713 | ||||||
| Total Utilities | 8,157,664 | |||||||
Total Common Stock (cost $337,379,659) | 381,487,053 | |||||||
| Principal Amount | Long-Term Fixed Income (6.6%) | |||||||
| Asset-Backed Securities (0.4%) | |||||||
| GSAMP Trust | ||||||||
| 1,816,396 | 0.441%, 2/25/2036b | 1,576,094 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 3,800,000 | 5.461%, 10/25/2036 | 3,013,807 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,742,253 | 0.411%, 2/25/2037b | 1,174,223 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 1,807,602 | 5.746%, 5/25/2036 | 1,391,036 | ||||||
| 2,800,000 | 6.011%, 5/25/2036 | 1,871,248 | ||||||
| 1,330,306 | 5.580%, 11/25/2036 | 1,065,348 | ||||||
| Total Asset-Backed Securities | 10,091,756 | |||||||
| Basic Materials (0.2%) | |||||||
| ArcelorMittal | ||||||||
| 1,350,000 | 7.000%, 10/15/2039 | 1,401,007 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 510,000 | 8.000%, 4/1/2017c | 543,150 | ||||||
| FMG Finance, Pty., Ltd. | ||||||||
| 540,000 | 7.000%, 11/1/2015c | 553,500 | ||||||
| Georgia-Pacific, LLC | ||||||||
| $490,000 | 8.000%, 1/15/2024 | 559,825 | ||||||
| Lyondell Chemical Company | ||||||||
| 490,000 | 11.000%, 5/1/2018 | 554,925 | ||||||
| Novelis, Inc. | ||||||||
| 540,000 | 8.375%, 12/15/2017c | 558,900 | ||||||
| Rohm & Haas Company | ||||||||
| 1,350,000 | 7.850%, 7/15/2029 | 1,568,692 | ||||||
| Total Basic Materials | 5,739,999 | |||||||
| Capital Goods (0.1%) | |||||||
| Abengoa Finance SAU | ||||||||
| 540,000 | 8.875%, 11/1/2017c | 499,500 | ||||||
| Associated Materials, LLC | ||||||||
| 540,000 | 9.125%, 11/1/2017c | 564,300 | ||||||
| Case New Holland, Inc. | ||||||||
| 550,000 | 7.875%, 12/1/2017c | 600,875 | ||||||
| Total Capital Goods | 1,664,675 | |||||||
| Collateralized Mortgage Obligations (0.8%) | |||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 817,186 | 5.500%, 11/25/2035 | 698,039 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 2,788,342 | 5.750%, 4/25/2037 | 2,189,492 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 535,482 | 6.000%, 1/25/2037 | 381,218 | ||||||
| 2,637,430 | 5.500%, 5/25/2037 | 2,036,708 | ||||||
| 2,296,852 | 7.000%, 10/25/2037 | 1,521,097 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 1,985,000 | 5.750%, 4/25/2037 | 1,799,106 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 644,485 | 5.500%, 10/25/2021 | 568,325 | ||||||
| 1,103,879 | 6.000%, 10/25/2021 | 909,785 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,923,641 | 5.942%, 4/25/2037 | 1,253,223 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 337,190 | 5.759%, 10/25/2036 | 306,027 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 627,680 | 6.500%, 7/25/2034 | 641,946 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 648,798 | 6.000%, 3/25/2037 | 541,158 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 940,245 | 5.441%, 9/20/2046 | 332,316 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 703,013 | 5.867%, 9/25/2036 | 642,682 | ||||||
| 1,402,233 | 5.987%, 10/25/2036 | 1,296,418 | ||||||
| 5,325,118 | 5.493%, 11/25/2036 | 4,820,169 | ||||||
| Total Collateralized Mortgage Obligations | 19,937,709 | |||||||
| Commercial Mortgage-Backed Securities (1.0%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 2,800,000 | 5.689%, 4/10/2049 | 2,925,927 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (6.6%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.0%) - continued | |||||||
| $ | 3,675,000 | 5.658%, 6/10/2049 | $ | 3,771,825 | ||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,710,000 | 5.331%, 2/11/2044 | 1,755,814 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,900,000 | 5.322%, 12/11/2049 | 4,042,428 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 2,800,000 | 5.542%, 1/15/2049 | 2,855,631 | ||||||
Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| 456,949 | 3.342%, 12/25/2019 | 463,981 | ||||||
Government National Mortgage Association | ||||||||
| 461,080 | 2.164%, 3/16/2033 | 466,678 | ||||||
| 458,947 | 3.214%, 1/16/2040 | 474,807 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 3,900,000 | 4.761%, 7/10/2039 | 4,022,160 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 3,350,000 | 5.814%, 6/12/2043 | 3,591,488 | ||||||
Total Commercial Mortgage- Backed Securities | 24,370,739 | |||||||
| Communications Services (0.3%) | ||||||||
| CBS Corporation | ||||||||
| 675,000 | 5.900%, 10/15/2040 | 650,211 | ||||||
| Cincinnati Bell, Inc. | ||||||||
| 540,000 | 8.250%, 10/15/2017 | 534,600 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 590,000 | 9.250%, 12/15/2017 | 646,050 | ||||||
Cox Communications, Inc. | ||||||||
| 1,350,000 | 6.950%, 6/1/2038c | 1,501,754 | ||||||
Frontier Communications Corporation | ||||||||
| 635,000 | 8.250%, 4/15/2017 | 696,913 | ||||||
Intelsat Jackson Holdings, Ltd. | ||||||||
| 605,000 | 8.500%, 11/1/2019c | 657,938 | ||||||
Viacom, Inc. | ||||||||
| 675,000 | 7.875%, 7/30/2030 | 796,962 | ||||||
Virgin Media Finance plc | ||||||||
| 480,000 | 9.500%, 8/15/2016 | 542,400 | ||||||
Wind Acquisition Finance SA | ||||||||
| 537,000 | 7.250%, 2/15/2018c | 546,397 | ||||||
Total Communications Services | 6,573,225 | |||||||
| Consumer Cyclical (0.3%) | |||||||
Goodyear Tire & Rubber Company | ||||||||
| 580,000 | 8.250%, 8/15/2020 | 600,300 | ||||||
Home Depot, Inc. | ||||||||
| 1,350,000 | 5.875%, 12/16/2036 | 1,404,201 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 450,000 | 8.375%, 7/15/2015 | 526,500 | ||||||
MGM Resorts International | ||||||||
| 450,000 | 11.125%, 11/15/2017 | 517,500 | ||||||
Rite Aid Corporation | ||||||||
| 540,000 | 7.500%, 3/1/2017 | 519,075 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 540,000 | 6.750%, 5/15/2018 | 591,300 | ||||||
Toys R Us Property Company I, LLC | ||||||||
| 450,000 | 10.750%, 7/15/2017 | 513,000 | ||||||
Warner Music Group | ||||||||
| 540,000 | 7.375%, 4/15/2014 | 518,400 | ||||||
West Corporation | ||||||||
| 540,000 | 7.875%, 1/15/2019c | 549,450 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 500,000 | 6.000%, 12/1/2016 | 523,217 | ||||||
Total Consumer Cyclical | 6,262,943 | |||||||
| Consumer Non-Cyclical (0.3%) | |||||||
Altria Group, Inc. | ||||||||
| 1,350,000 | 9.950%, 11/10/2038 | 1,902,328 | ||||||
Anheuser-Busch Companies, Inc. | ||||||||
| 675,000 | 6.450%, 9/1/2037 | 772,373 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 675,000 | 8.200%, 1/15/2039c | 915,704 | ||||||
HCA, Inc. | ||||||||
| 490,000 | 9.625%, 11/15/2016 | 524,912 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 450,000 | 11.625%, 5/1/2014 | 526,500 | ||||||
Kraft Foods, Inc. | ||||||||
| 675,000 | 6.500%, 11/1/2031 | 750,834 | ||||||
| 675,000 | 7.000%, 8/11/2037 | 790,228 | ||||||
Mylan, Inc. | ||||||||
| 480,000 | 7.875%, 7/15/2020c | 517,200 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 675,000 | 6.875%, 2/15/2038 | 785,844 | ||||||
Total Consumer Non-Cyclical | 7,485,923 | |||||||
| Energy (0.2%) | |||||||
Denbury Resources, Inc. | ||||||||
| 540,000 | 9.750%, 3/1/2016 | 602,100 | ||||||
Linn Energy, LLC | ||||||||
| 540,000 | 7.750%, 2/1/2021c | 553,500 | ||||||
Pioneer Natural Resources Company | ||||||||
| 605,000 | 7.500%, 1/15/2020 | 664,306 | ||||||
Plains Exploration & Production Company | ||||||||
| 540,000 | 7.625%, 6/1/2018 | 568,350 | ||||||
Sandridge Energy, Inc. | ||||||||
| 540,000 | 8.000%, 6/1/2018c | 548,100 | ||||||
Valero Energy Corporation | ||||||||
| 1,350,000 | 6.625%, 6/15/2037 | 1,371,105 | ||||||
Weatherford International, Ltd. | ||||||||
| 1,345,000 | 6.750%, 9/15/2040 | 1,412,624 | ||||||
Total Energy | 5,720,085 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (6.6%) | Value | ||||||
| Financials (0.5%) | |||||||
Achmea Hypotheekbank NV | ||||||||
| $ | 465,000 | 3.200%, 11/3/2014c | $ | 483,797 | ||||
Ally Financial, Inc. | ||||||||
| 540,000 | 8.300%, 2/12/2015 | 594,000 | ||||||
Bank of Nova Scotia | ||||||||
| 450,000 | 1.450%, 7/26/2013c | 450,055 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 465,000 | 2.600%, 7/2/2015c | 467,535 | ||||||
CIT Group, Inc. | ||||||||
| 631,685 | 7.000%, 5/1/2017 | 633,264 | ||||||
Compagnie de Financement Foncier | ||||||||
| 450,000 | 2.125%, 4/22/2013c | 453,829 | ||||||
Dexia Credit Local SA | ||||||||
| 450,000 | 2.750%, 4/29/2014c | 456,495 | ||||||
General Electric Capital Corporation | ||||||||
| 1,350,000 | 6.750%, 3/15/2032 | 1,528,359 | ||||||
Icahn Enterprises, LP | ||||||||
| 630,000 | 8.000%, 1/15/2018 | 630,000 | ||||||
International Bank for Reconstruction & Development | ||||||||
| 465,000 | 2.375%, 5/26/2015 | 475,891 | ||||||
Morgan Stanley Dean Witter & Company | ||||||||
| 1,350,000 | 7.250%, 4/1/2032 | 1,545,603 | ||||||
Prudential Financial, Inc. | ||||||||
| 1,350,000 | 6.200%, 11/15/2040 | 1,428,099 | ||||||
Royal Bank of Canada | ||||||||
| 400,000 | 3.125%, 4/14/2015c | 409,724 | ||||||
Toronto-Dominion Bank | ||||||||
| 465,000 | 2.200%, 7/29/2015c | 457,410 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 675,000 | 5.700%, 10/15/2040 | 672,072 | ||||||
XL Capital, Ltd. | ||||||||
| 1,350,000 | 6.250%, 5/15/2027 | 1,329,515 | ||||||
Total Financials | 12,015,648 | |||||||
| Foreign Government (<0.1%) | |||||||
Kommunalbanken AS | ||||||||
| 450,000 | 2.750%, 5/5/2015c | 460,150 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 205,000 | 1.250%, 6/15/2012 | 206,742 | ||||||
Total Foreign Government | 666,892 | |||||||
| Mortgage-Backed Securities (0.2%) | |||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 1,800,000 | 6.000%, 1/1/2041d | 1,949,625 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 900,000 | 3.500%, 1/1/2026d | 906,187 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 1,800,000 | 4.500%, 1/1/2041d | 1,847,531 | ||||||
Total Mortgage-Backed Securities | 4,703,343 | |||||||
| Technology (0.1%) | |||||||
Freescale Semiconductor, Inc. | ||||||||
| 510,000 | 9.250%, 4/15/2018c | 561,000 | ||||||
NXP BV/NXP Funding, LLC | ||||||||
| 440,000 | 9.750%, 8/1/2018c | 495,000 | ||||||
Seagate HDD Cayman | ||||||||
| 540,000 | 7.750%, 12/15/2018c | 546,750 | ||||||
Total Technology | 1,602,750 | |||||||
| Transportation (<0.1%) | |||||||
Avis Budget Car Rental, LLC | ||||||||
| 550,000 | 8.250%, 1/15/2019c | 555,500 | ||||||
Delta Air Lines, Inc. | ||||||||
| 540,000 | 9.500%, 9/15/2014c | 587,925 | ||||||
Total Transportation | 1,143,425 | |||||||
| U.S. Government and Agencies (2.1%) | |||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 185,000 | Zero Coupon, 1/7/2012c | 183,448 | ||||||
| 185,000 | Zero Coupon, 1/7/2014c | 175,665 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 465,000 | 2.125%, 9/15/2015 | 467,006 | ||||||
Federal Home Loan Banks | ||||||||
| 1,870,000 | 5.375%, 5/18/2016 | 2,145,372 | ||||||
| 2,750,000 | 5.000%, 11/17/2017 | 3,117,801 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 920,000 | 2.500%, 1/7/2014 | 956,823 | ||||||
| 1,400,000 | 4.875%, 6/13/2018 | 1,565,672 | ||||||
| 660,000 | 3.750%, 3/27/2019 | 683,212 | ||||||
Federal National Mortgage Association | ||||||||
| 2,830,000 | 0.375%, 12/28/2012 | 2,812,038 | ||||||
| 1,725,000 | 2.000%, 4/15/2013 | 1,731,795 | ||||||
| 735,000 | 4.375%, 10/15/2015 | 809,047 | ||||||
| 505,000 | 6.250%, 5/15/2029 | 619,565 | ||||||
Tennessee Valley Authority | ||||||||
| 390,000 | 5.250%, 9/15/2039 | 412,314 | ||||||
U.S. Treasury Bonds | ||||||||
| 755,000 | 4.625%, 2/15/2040 | 790,863 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 131,542 | 2.125%, 2/15/2040 | 139,229 | ||||||
U.S. Treasury Notes | ||||||||
| 800,000 | 1.125%, 6/15/2013 | 806,560 | ||||||
| 3,515,000 | 1.750%, 1/31/2014 | 3,588,597 | ||||||
| 9,000,000 | 2.500%, 4/30/2015 | 9,304,452 | ||||||
| 1,035,000 | 1.250%, 10/31/2015 | 1,001,685 | ||||||
| 1,390,000 | 2.625%, 2/29/2016 | 1,426,596 | ||||||
| 3,350,000 | 3.250%, 3/31/2017 | 3,498,656 | ||||||
| 2,900,000 | 3.625%, 2/15/2020 | 3,009,655 | ||||||
| 5,310,000 | 3.500%, 5/15/2020 | 5,439,458 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
104
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (6.6%) | Value | ||||||
| U.S. Government and Agencies (2.1%) - continued | |||||||
| $ | 950,000 | 7.625%, 2/15/2025 | $ | 1,347,219 | ||||
| 2,250,000 | 4.375%, 5/15/2040 | 2,260,890 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 603,523 | 3.375%, 1/15/2012 | 630,918 | ||||||
| 682,909 | 0.625%, 4/15/2013 | 703,556 | ||||||
| 793,026 | 2.000%, 1/15/2014 | 851,387 | ||||||
| 595,592 | 1.625%, 1/15/2015 | 635,097 | ||||||
| 536,055 | 2.500%, 7/15/2016 | 601,638 | ||||||
| 707,004 | 2.625%, 7/15/2017 | 804,604 | ||||||
| 556,248 | 1.375%, 1/15/2020 | 578,063 | ||||||
| 156,632 | 2.375%, 1/15/2025 | 174,302 | ||||||
Total U.S. Government and Agencies | 53,273,183 | |||||||
| Utilities (0.1%) | |||||||
Energy Transfer Partners, LP | ||||||||
| 375,000 | 6.625%, 10/15/2036 | 395,331 | ||||||
| 675,000 | 7.500%, 7/1/2038 | 785,119 | ||||||
NRG Energy, Inc. | ||||||||
| 530,000 | 7.375%, 2/1/2016 | 543,250 | ||||||
Total Utilities | 1,723,700 | |||||||
Total Long-Term Fixed Income (cost $156,598,080) | 162,975,995 | |||||||
Short-Term Investments (3.9%)e | ||||||||
AllianceBernstein, LP | ||||||||
| 5,595,000 | 0.170%, 1/3/2011 | 5,594,947 | ||||||
Charta, LLC | ||||||||
| 11,760,000 | 0.150%, 1/3/2011 | 11,759,902 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 4,000,000 | 0.050%, 1/7/2011f | 3,999,967 | ||||||
| 10,000,000 | 0.095%, 1/14/2011f | 9,999,657 | ||||||
| 30,480,000 | 0.060%, 1/19/2011f | 30,479,085 | ||||||
| 5,000,000 | 0.070%, 1/21/2011f | 4,999,805 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 3,000,000 | 0.200%, 3/14/2011f,g | 2,998,824 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.050%, 1/5/2011f | 4,999,972 | ||||||
Merrill Lynch Repurchase Agreement | ||||||||
| 15,760,000 | 0.150%, 1/3/2011h | 15,760,000 | ||||||
U.S. Treasury Bills | ||||||||
| 2,000,000 | 0.118%, 2/24/2011f,g | 1,999,654 | ||||||
| 5,000,000 | 0.100%, 3/10/2011f,g | 4,999,056 | ||||||
Total Short-Term Investments (at amortized cost) | 97,590,869 | |||||||
Total Investments (cost $2,538,623,398) 100.1% | $ | 2,507,374,478 | ||||||
Other Assets and Liabilities, Net (0.1%) | (1,820,165 | ) | ||||||
Total Net Assets 100.0% | $ | 2,505,554,313 | ||||||
| a | Non-income producing security. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $15,854,551 or 0.6% of total net assets. |
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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. |
| f | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| g | At December 31, 2010, $9,997,533 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| h | Repurchase agreement dated December 31, 2010, $15,760,197 maturing January 3, 2011, collateralized by $16,075,291 U.S. Treasury Notes, 2.625% due April 30, 2016. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| 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 | $ | 133,977,909 | ||
Gross unrealized depreciation | (165,076,162 | ) | ||
Net unrealized appreciation (depreciation) | $ | (31,098,253 | ) | |
Cost for federal income tax purposes | $ | 2,538,472,731 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
105
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 1,494,294,391 | 1,494,294,391 | — | — | ||||||||||||
Fixed Income Mutual Funds | 371,026,170 | 371,026,170 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 57,500,367 | 57,500,367 | — | — | ||||||||||||
Consumer Staples | 21,293,558 | 21,293,558 | — | — | ||||||||||||
Energy | 33,202,923 | 33,202,923 | — | — | ||||||||||||
Financials | 54,016,355 | 54,016,355 | — | — | ||||||||||||
Health Care | 55,928,245 | 55,928,245 | — | — | ||||||||||||
Industrials | 33,038,699 | 33,038,699 | — | — | ||||||||||||
Information Technology | 103,195,703 | 103,195,703 | — | — | ||||||||||||
Materials | 9,327,917 | 9,327,917 | — | — | ||||||||||||
Telecommunications Services | 5,825,622 | 5,825,622 | — | — | ||||||||||||
Utilities | 8,157,664 | 8,157,664 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 10,091,756 | — | 10,091,756 | — | ||||||||||||
Basic Materials | 5,739,999 | — | 5,739,999 | — | ||||||||||||
Capital Goods | 1,664,675 | — | 1,664,675 | — | ||||||||||||
Collateralized Mortgage Obligations | 19,937,709 | — | 19,937,709 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 24,370,739 | — | 24,370,739 | — | ||||||||||||
Communications Services | 6,573,225 | — | 6,573,225 | — | ||||||||||||
Consumer Cyclical | 6,262,943 | — | 6,262,943 | — | ||||||||||||
Consumer Non-Cyclical | 7,485,923 | — | 7,485,923 | — | ||||||||||||
Energy | 5,720,085 | — | 5,720,085 | — | ||||||||||||
Financials | 12,015,648 | — | 12,015,648 | — | ||||||||||||
Foreign Government | 666,892 | — | 666,892 | — | ||||||||||||
Mortgage-Backed Securities | 4,703,343 | — | 4,703,343 | — | ||||||||||||
Technology | 1,602,750 | — | 1,602,750 | — | ||||||||||||
Transportation | 1,143,425 | — | 1,143,425 | — | ||||||||||||
U.S. Government and Agencies | 53,273,183 | — | 53,273,183 | — | ||||||||||||
Utilities | 1,723,700 | — | 1,723,700 | — | ||||||||||||
Short-Term Investments | 97,590,869 | — | 97,590,869 | — | ||||||||||||
Total | $ | 2,507,374,478 | $ | 2,246,807,614 | $ | 260,566,864 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,350,921 | 1,350,921 | — | — | ||||||||||||
Total Asset Derivatives | $ | 1,350,921 | $ | 1,350,921 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 905,837 | 905,837 | — | — | ||||||||||||
Total Liability Derivatives | $ | 905,837 | $ | 905,837 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | (638 | ) | March 2011 | ($ | 49,004,903 | ) | ($49,910,740 | ) | ($905,837 | ) | ||||||||||
S&P 400 Index Mini-Futures | (19 | ) | March 2011 | (1,724,654 | ) | (1,720,070 | ) | 4,584 | ||||||||||||
S&P 500 Index Futures | 281 | March 2011 | 86,676,913 | 88,023,250 | 1,346,337 | |||||||||||||||
Total Futures Contracts | $ | 445,084 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 1,350,921 | ||||
Total Equity Contracts | 1,350,921 | |||||
Total Asset Derivatives | $ | 1,350,921 | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 905,837 | ||||
Total Equity Contracts | 905,837 | |||||
Total Liability Derivatives | $ | 905,837 | ||||
| * | 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, 2010, 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 | 14,270,595 | ||||
Total Equity Contracts | 14,270,595 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,293,431 | ) | |||
Total Credit Contracts | (1,293,431 | ) | ||||
Total | $ | 12,977,164 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (2,978,867 | ) | |||
Total Equity Contracts | (2,978,867 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 1,508,131 | ||||
Total Credit Contracts | 1,508,131 | |||||
Total | ($1,470,736 | ) | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
107
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||
Equity Contracts | $128,362,497 | 5.9% | N/A | N/A | N/A | |||||
Interest Rate Contracts | N/A | N/A | N/A | N/A | 4 | |||||
Credit Contracts | N/A | N/A | $6,199,675 | 0.3% | 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 Moderately Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Real Estate Securities | $ | 57,409,186 | $ | 3,875,133 | $ | 261,417 | 5,203,119 | $ | 75,400,485 | $ | 1,986,927 | |||||||||||||
Partner Small Cap Growth | 49,447,816 | 1,416,155 | 196,063 | 5,056,075 | 65,317,912 | — | ||||||||||||||||||
Partner Small Cap Value | 54,192,601 | 2,002,478 | 3,196,063 | 3,429,481 | 65,377,232 | 586,324 | ||||||||||||||||||
Small Cap Stock | 45,306,168 | 2,355,275 | 1,802,365 | 4,528,335 | 57,345,023 | 19,423 | ||||||||||||||||||
Mid Cap Growth II | 51,063,329 | 6,494,222 | 196,063 | 6,726,855 | 66,948,352 | — | ||||||||||||||||||
Partner Mid Cap Value | 66,785,383 | 2,490,867 | 3,261,417 | 6,145,106 | 82,249,173 | 602,661 | ||||||||||||||||||
Mid Cap Stock | 142,761,304 | 5,390,132 | 10,504,730 | 14,064,899 | 172,344,241 | 718,428 | ||||||||||||||||||
Partner Worldwide Allocation | 73,662,379 | 54,417,603 | 58,759 | 16,469,121 | 144,480,301 | 1,864,778 | ||||||||||||||||||
Partner International Stock | 192,151,514 | 3,748,732 | 986,908 | 19,469,938 | 207,790,968 | 3,748,732 | ||||||||||||||||||
Large Cap Growth II | 139,972,788 | 22,920,983 | 522,834 | 22,363,632 | 155,203,606 | 427,979 | ||||||||||||||||||
Large Cap Value | 170,664,869 | 8,192,260 | 784,250 | 18,426,522 | 197,661,302 | 2,527,642 | ||||||||||||||||||
Large Cap Stock | 168,883,667 | 5,034,654 | 6,483,784 | 21,655,536 | 184,085,048 | 1,297,291 | ||||||||||||||||||
Equity Income Plus | 16,875,813 | 762,279 | 65,354 | 2,217,865 | 20,090,748 | 290,228 | ||||||||||||||||||
High Yield | 109,725,904 | 17,521,690 | 29,989,589 | 21,485,397 | 103,387,730 | 9,052,839 | ||||||||||||||||||
Income | 229,716,268 | 23,498,156 | 92,120,277 | 17,360,927 | 172,852,335 | 9,326,923 | ||||||||||||||||||
Limited Maturity Bond | 81,682,750 | 18,770,660 | 7,229,467 | 9,669,979 | 94,786,105 | 2,876,638 | ||||||||||||||||||
Total Value and Income Earned | 1,650,301,739 | 1,865,320,561 | 35,326,813 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Mutual Funds (75.8%) | Value | ||||||
| Equity Mutual Funds (43.5%) | ||||||||
| 6,860,853 | Thrivent Real Estate Securities Portfolio | $ | 99,423,361 | |||||
| 4,491,902 | Thrivent Partner Small Cap Growth Portfolioa | 58,029,531 | ||||||
| 4,226,133 | Thrivent Partner Small Cap Value Portfolio | 80,564,038 | ||||||
| 3,596,908 | Thrivent Small Cap Stock Portfolio | 45,549,804 | ||||||
| 2,827,144 | Thrivent Mid Cap Growth Portfolio IIa | 28,136,866 | ||||||
| 5,840,733 | Thrivent Partner Mid Cap Value Portfolio | 78,175,286 | ||||||
| 11,618,400 | Thrivent Mid Cap Stock Portfolio | 142,366,059 | ||||||
| 23,788,143 | Thrivent Partner Worldwide Allocation Portfolio | 208,688,622 | ||||||
| 17,540,407 | Thrivent Partner International Stock Portfolio | 187,198,240 | ||||||
| 21,793,027 | Thrivent Large Cap Growth Portfolio II | 151,243,607 | ||||||
| 25,637,117 | Thrivent Large Cap Value Portfolio | 275,009,351 | ||||||
| 20,066,761 | Thrivent Large Cap Stock Portfolio | 170,579,507 | ||||||
| 2,922,765 | Thrivent Equity Income Plus Portfolio | 26,476,160 | ||||||
Total Equity Mutual Funds | 1,551,440,432 | |||||||
| Fixed Income Mutual Funds (32.3%) | ||||||||
| 30,853,206 | Thrivent High Yield Portfolio | 148,465,627 | ||||||
| 49,625,465 | Thrivent Income Portfolio | 494,090,978 | ||||||
| 52,175,900 | Thrivent Limited Maturity Bond Portfolio | 511,433,385 | ||||||
Total Fixed Income Mutual Funds | 1,153,989,990 | |||||||
Total Mutual Funds (cost $2,779,300,537) | 2,705,430,422 | |||||||
Common Stock (11.6%) | ||||||||
| Consumer Discretionary (1.7%) | ||||||||
| 11,200 | Amazon.com, Inc.a | 2,016,000 | ||||||
| 14,580 | Autoliv, Inc. | 1,150,945 | ||||||
| 54,550 | Carnival Corporation | 2,515,301 | ||||||
| 78,899 | Cooper Tire & Rubber Company | 1,860,438 | ||||||
| 76,360 | Dana Holding Corporationa | 1,314,156 | ||||||
| 8,405 | Dollar Tree, Inc.a | 471,352 | ||||||
| 55,100 | Expedia, Inc. | 1,382,459 | ||||||
| 111,500 | Foot Locker, Inc. | 2,187,630 | ||||||
| 34,718 | Kohl’s Corporationa | 1,886,576 | ||||||
| 60,322 | Macy’s, Inc. | 1,526,147 | ||||||
| 146,000 | MGM Resorts Internationala | 2,168,100 | ||||||
| 2,500 | Netflix, Inc.a | 439,250 | ||||||
| 23,470 | Omnicom Group, Inc. | 1,074,926 | ||||||
| 7,791 | Panera Bread Companya | 788,527 | ||||||
| 183,100 | Pier 1 Imports, Inc.a | 1,922,550 | ||||||
| 29,300 | Signet Jewelers, Ltd.a | 1,271,620 | ||||||
| 287,850 | Starbucks Corporation | 9,248,620 | ||||||
| 156,970 | Target Corporation | 9,438,606 | ||||||
| 18,660 | Time Warner Cable, Inc. | 1,232,120 | ||||||
| 236,450 | TJX Companies, Inc. | 10,496,016 | ||||||
| 44,225 | Walt Disney Company | 1,658,880 | ||||||
| 32,900 | Warnaco Group, Inc.a | 1,811,803 | ||||||
| 67,900 | Williams-Sonoma, Inc. | 2,423,351 | ||||||
| 37,843 | WMS Industries, Inc.a | 1,712,017 | ||||||
Total Consumer Discretionary | 61,997,390 | |||||||
| Consumer Staples (0.7%) | ||||||||
| 50,900 | Avon Products, Inc. | 1,479,154 | ||||||
| 101,300 | Colgate-Palmolive Company | 8,141,481 | ||||||
| 9,960 | Diageo plc ADR | 740,327 | ||||||
| 20,116 | Flowers Foods, Inc. | 541,322 | ||||||
| 28,300 | Herbalife, Ltd. | 1,934,871 | ||||||
| 75,722 | Kraft Foods, Inc. | 2,386,000 | ||||||
| 47,186 | PepsiCo, Inc. | 3,082,661 | ||||||
| 56,556 | Philip Morris International, Inc. | 3,310,223 | ||||||
| 14,161 | TreeHouse Foods, Inc.a | 723,485 | ||||||
| 35,860 | Walgreen Company | 1,397,106 | ||||||
Total Consumer Staples | 23,736,630 | |||||||
| Energy (1.0%) | ||||||||
| 10,113 | Alpha Natural Resources, Inc.a | 607,083 | ||||||
| 14,520 | Apache Corporation | 1,731,220 | ||||||
| 72,200 | Arch Coal, Inc. | 2,531,332 | ||||||
| 66,190 | Baker Hughes, Inc. | 3,784,082 | ||||||
| 34,530 | Chevron Corporation | 3,150,862 | ||||||
| 85,000 | Complete Production Services, Inc.a | 2,511,750 | ||||||
| 21,680 | ConocoPhillips | 1,476,408 | ||||||
| 32,700 | Dresser-Rand Group, Inc.a | 1,392,693 | ||||||
| 28,010 | ENSCO International plc ADR | 1,495,174 | ||||||
| 71,229 | Forest Oil Corporationa | 2,704,565 | ||||||
| 270,700 | International Coal Group, Inc.a | 2,095,218 | ||||||
| 87,400 | James River Coal Companya | 2,213,842 | ||||||
| 14,183 | National Oilwell Varco, Inc. | 953,807 | ||||||
| 25,310 | Occidental Petroleum Corporation | 2,482,911 | ||||||
| 33,781 | Schlumberger, Ltd. | 2,820,713 | ||||||
| 59,250 | Ultra Petroleum Corporationa | 2,830,373 | ||||||
| 41,600 | Weatherford International, Ltd.a | 948,480 | ||||||
| 5,700 | Whiting Petroleum Corporationa | 667,983 | ||||||
Total Energy | 36,398,496 | |||||||
| Financials (1.6%) | ||||||||
| 11,720 | ACE, Ltd. | 729,570 | ||||||
| 21,487 | Affiliated Managers Group, Inc.a | 2,131,940 | ||||||
| 12,988 | Ameriprise Financial, Inc. | 747,459 | ||||||
| 95,805 | Bank of America Corporation | 1,278,039 | ||||||
| 14,350 | BlackRock, Inc. | 2,734,823 | ||||||
| 158,190 | Chubb Corporation | 9,434,452 | ||||||
| 347,460 | Citigroup, Inc.a | 1,643,486 | ||||||
| 40,290 | Comerica, Inc. | 1,701,850 | ||||||
| 35,789 | Duke Realty Corporation | 445,931 | ||||||
| 13,200 | Endurance Specialty Holdings, Ltd. | 608,124 | ||||||
| 30,743 | Equity One, Inc. | 558,908 | ||||||
| 63,727 | Fifth Third Bancorp | 935,512 | ||||||
| 19,570 | Goldman Sachs Group, Inc. | 3,290,891 | ||||||
| 10,015 | Hanover Insurance Group, Inc. | 467,901 | ||||||
| 31,663 | HCC Insurance Holdings, Inc. | 916,327 | ||||||
| 16,397 | Healthcare Realty Trust, Inc. | 347,124 | ||||||
| 41,546 | Host Hotels & Resorts, Inc. | 742,427 | ||||||
| 3,908 | IntercontinentalExchange, Inc.a | 465,638 | ||||||
| 33,300 | iShares Russell 2000 Index Fund | 2,605,059 | ||||||
| 125,200 | Itau Unibanco Holding SA ADR | 3,006,052 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (11.6%) | Value | ||||||
| Financials (1.6%) - continued | |||||||
| 42,929 | J.P. Morgan Chase & Company | $ | 1,821,048 | |||||
| 67,100 | LaSalle Hotel Properties | 1,771,440 | ||||||
| 12,507 | Lazard, Ltd. | 493,901 | ||||||
| 11,000 | M&T Bank Corporation | 957,550 | ||||||
| 16,900 | MetLife, Inc. | 751,036 | ||||||
| 27,594 | Morgan Stanley | 750,833 | ||||||
| 36,530 | Northern Trust Corporation | 2,024,127 | ||||||
| 202,759 | Ocwen Financial Corporationa | 1,934,321 | ||||||
| 39,300 | People’s United Financial, Inc. | 550,593 | ||||||
| 11,400 | Potlatch Corporation | 371,070 | ||||||
| 36,972 | Principal Financial Group, Inc. | 1,203,808 | ||||||
| 47,090 | SVB Financial Groupa | 2,498,125 | ||||||
| 96,600 | Texas Capital Bancshares, Inc.a | 2,054,682 | ||||||
| 95,250 | U.S. Bancorp | 2,568,893 | ||||||
| 4,100 | Unum Group | 99,302 | ||||||
| 30,134 | W.R. Berkley Corporation | 825,069 | ||||||
| 14,210 | Wells Fargo & Company | 440,368 | ||||||
| 104,000 | Zions Bancorporation | 2,519,920 | ||||||
Total Financials | 58,427,599 | |||||||
| Health Care (1.7%) | |||||||
| 12,680 | Abbott Laboratories | 607,499 | ||||||
| 57,950 | Aetna, Inc. | 1,768,055 | ||||||
| 6,900 | Alexion Pharmaceuticals, Inc.a | 555,795 | ||||||
| 94,300 | Align Technology, Inc.a | 1,842,622 | ||||||
| 40,250 | Allergan, Inc. | 2,763,968 | ||||||
| 18,981 | C.R. Bard, Inc. | 1,741,886 | ||||||
| 30,524 | Celgene Corporationa | 1,805,189 | ||||||
| 13,313 | Community Health Systems, Inc.a | 497,507 | ||||||
| 34,400 | Covance, Inc.a | 1,768,504 | ||||||
| 26,240 | Coventry Health Care, Inc.a | 692,736 | ||||||
| 25,200 | Covidien, Ltd. | 1,150,632 | ||||||
| 230,000 | Eli Lilly and Company | 8,059,200 | ||||||
| 36,700 | Hospira, Inc.a | 2,043,823 | ||||||
| 137,190 | Johnson & Johnson | 8,485,201 | ||||||
| 37,100 | LifePoint Hospitals, Inc.a | 1,363,425 | ||||||
| 25,310 | Novartis AG ADR | 1,492,024 | ||||||
| 22,300 | Omnicare, Inc. | 566,197 | ||||||
| 73,900 | PSS World Medical, Inc.a | 1,670,140 | ||||||
| 9,000 | Quest Diagnostics, Inc. | 485,730 | ||||||
| 32,400 | Salix Pharmaceuticals, Ltd.a | 1,521,504 | ||||||
| 72,200 | Teva Pharmaceutical Industries, Ltd. ADR | 3,763,786 | ||||||
| 47,697 | Thermo Fisher Scientific, Inc.a | 2,640,506 | ||||||
| 26,600 | United Therapeutics Corporationa | 1,681,652 | ||||||
| 265,515 | UnitedHealth Group, Inc. | 9,587,747 | ||||||
| 7,010 | Varian Medical Systems, Inc.a | 485,653 | ||||||
| 10,839 | Vertex Pharmaceuticals, Inc.a | 379,690 | ||||||
| 5,900 | Waters Corporationa | 458,489 | ||||||
| 13,140 | Zimmer Holdings, Inc.a | 705,355 | ||||||
Total Health Care | 60,584,515 | |||||||
| Industrials (1.0%) | |||||||
| 9,884 | 3M Company | 852,989 | ||||||
| 10,010 | Boeing Company | 653,253 | ||||||
| 33,200 | Caterpillar, Inc. | 3,109,512 | ||||||
| 7,499 | CSX Corporation | 484,510 | ||||||
| 112,703 | Delta Air Lines, Inc.a | 1,420,058 | ||||||
| 21,860 | Emerson Electric Company | 1,249,736 | ||||||
| 6,960 | Fluor Corporation | 461,170 | ||||||
| 62,000 | FTI Consulting, Inc.a | 2,311,360 | ||||||
| 83,110 | General Electric Company | 1,520,082 | ||||||
| 16,542 | Honeywell International, Inc. | 879,373 | ||||||
| 89,600 | Knight Transportation, Inc. | 1,702,400 | ||||||
| 240,971 | Manitowoc Company, Inc. | 3,159,130 | ||||||
| 8,800 | Manpower, Inc. | 552,288 | ||||||
| 18,250 | Norfolk Southern Corporation | 1,146,465 | ||||||
| 98,558 | Oshkosh Corporationa | 3,473,184 | ||||||
| 7,931 | Parker Hannifin Corporation | 684,445 | ||||||
| 15,800 | Republic Services, Inc. | 471,788 | ||||||
| 77,500 | Shaw Group, Inc.a | 2,652,825 | ||||||
| 25,100 | Siemens AG ADR | 3,118,675 | ||||||
| 8,609 | SPX Corporation | 615,457 | ||||||
| 41,975 | Teledyne Technologies, Inc.a | 1,845,641 | ||||||
| 17,460 | Textron, Inc. | 412,754 | ||||||
| 14,300 | Tyco International, Ltd. | 592,592 | ||||||
| 10,677 | United Technologies Corporation | 840,494 | ||||||
| 18,844 | Werner Enterprises, Inc. | 425,874 | ||||||
| 14,240 | WESCO International, Inc.a | 751,872 | ||||||
Total Industrials | 35,387,927 | |||||||
| Information Technology (3.2%) | |||||||
| 177,800 | Accenture plc | 8,621,522 | ||||||
| 41,200 | ADTRAN, Inc. | 1,491,852 | ||||||
| 10,400 | Alliance Data Systems Corporationa | 738,712 | ||||||
| 27,405 | Apple, Inc.a | 8,839,757 | ||||||
| 38,400 | ASML Holding NV | 1,472,256 | ||||||
| 166,197 | Atmel Corporationa | 2,047,547 | ||||||
| 11,100 | Broadcom Corporation | 483,405 | ||||||
| 29,850 | Cognizant Technology Solutions Corporationa | 2,187,706 | ||||||
| 51,900 | CommVault Systems, Inc.a | 1,485,378 | ||||||
| 69,125 | Compuware Corporationa | 806,689 | ||||||
| 18,474 | eBay, Inc.a | 514,131 | ||||||
| 174,550 | EMC Corporationa | 3,997,195 | ||||||
| 8,708 | Google, Inc.a | 5,172,291 | ||||||
| 77,500 | GSI Commerce, Inc.a | 1,798,000 | ||||||
| 212,000 | Hewlett-Packard Company | 8,925,200 | ||||||
| 38,600 | Informatica Corporationa | 1,699,558 | ||||||
| 64,301 | International Business Machines Corporation | 9,436,815 | ||||||
| 15,624 | Juniper Networks, Inc.a | 576,838 | ||||||
| 10,500 | Lam Research Corporationa | 543,690 | ||||||
| 126,050 | Marvell Technology Group, Ltd.a | 2,338,228 | ||||||
| 490,070 | Microsoft Corporation | 13,682,754 | ||||||
| 102,700 | Monster Worldwide, Inc.a | 2,426,801 | ||||||
| 323,150 | Oracle Corporation | 10,114,595 | ||||||
| 56,700 | Plantronics, Inc. | 2,110,374 | ||||||
| 59,100 | Plexus Corporationa | 1,828,554 | ||||||
| 74,500 | QUALCOMM, Inc. | 3,687,005 | ||||||
| 257,205 | Teradyne, Inc.a | 3,611,158 | ||||||
| 118,100 | TIBCO Software, Inc.a | 2,327,751 | ||||||
| 32,121 | Tyco Electronics, Ltd. | 1,137,083 | ||||||
| 40,200 | ValueClick, Inc.a | 644,406 | ||||||
| 17,700 | VeriFone Systems, Inc.a | 682,512 | ||||||
| 34,050 | Visa, Inc. | 2,396,439 | ||||||
| 14,950 | VMware, Inc.a | 1,329,205 | ||||||
| 143,690 | Xerox Corporation | 1,655,309 | ||||||
| 47,598 | Xilinx, Inc. | 1,379,390 | ||||||
Total Information Technology | 112,190,106 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (11.6%) | Value | ||||||
| Materials (0.3%) | ||||||||
| 11,804 | Albemarle Corporation | $ | 658,427 | |||||
| 13,230 | Allegheny Technologies, Inc. | 730,031 | ||||||
| 56,804 | E.I. du Pont de Nemours and Company | 2,833,384 | ||||||
| 74,650 | International Paper Company | 2,033,466 | ||||||
| 17,522 | Silgan Holdings, Inc. | 627,463 | ||||||
| 37,930 | Steel Dynamics, Inc. | 694,119 | ||||||
| 34,000 | Teck Resources, Ltd. | 2,102,220 | ||||||
| 28,600 | Temple-Inland, Inc. | 607,464 | ||||||
Total Materials | 10,286,574 | |||||||
| Telecommunications Services (0.2%) | ||||||||
| 522,350 | Alcatel-Lucent ADRa | 1,546,156 | ||||||
| 35,770 | AT&T, Inc. | 1,050,923 | ||||||
| 42,000 | NII Holdings, Inc.a | 1,875,720 | ||||||
| 12,690 | Telephone & Data Systems, Inc. | 463,819 | ||||||
| 53,890 | Verizon Communications, Inc. | 1,928,184 | ||||||
Total Telecommunications Services | 6,864,802 | |||||||
| Utilities (0.2%) | ||||||||
| 11,104 | Alliant Energy Corporation | 408,294 | ||||||
| 56,430 | American Electric Power Company, Inc. | 2,030,351 | ||||||
| 28,800 | CMS Energy Corporation | 535,680 | ||||||
| 18,580 | Duke Energy Corporation | 330,910 | ||||||
| 38,973 | NV Energy, Inc. | 547,571 | ||||||
| 20,380 | Portland General Electric Company | 442,246 | ||||||
| 43,738 | Southwest Gas Corporation | 1,603,873 | ||||||
| 69,542 | UGI Corporation | 2,196,136 | ||||||
| 14,440 | Xcel Energy, Inc. | 340,062 | ||||||
Total Utilities | 8,435,123 | |||||||
Total Common Stock (cost $371,334,263) | 414,309,162 | |||||||
| Principal Amount | Long-Term Fixed Income (7.8%) | |||||||
| Asset-Backed Securities (0.5%) | ||||||||
| GSAMP Trust | ||||||||
| 4,995,089 | 0.441%, 2/25/2036b | 4,334,258 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 5,300,000 | 5.461%, 10/25/2036 | 4,203,467 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 5,065,108 | 0.411%, 2/25/2037b | 3,413,721 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 6,500,000 | 6.011%, 5/25/2036 | 4,343,970 | ||||||
| 3,990,918 | 5.580%, 11/25/2036 | 3,196,043 | ||||||
Total Asset-Backed Securities | 19,491,459 | |||||||
| Basic Materials (0.3%) | ||||||||
| ArcelorMittal | ||||||||
| 3,500,000 | 7.000%, 10/15/2039 | 3,632,240 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 700,000 | 8.000%, 4/1/2017c | 745,500 | ||||||
| FMG Finance, Pty., Ltd. | ||||||||
| 740,000 | 7.000%, 11/1/2015c | 758,500 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 660,000 | 8.000%, 1/15/2024 | 754,050 | ||||||
| Lyondell Chemical Company | ||||||||
| 670,000 | 11.000%, 5/1/2018 | 758,775 | ||||||
| Novelis, Inc. | ||||||||
| 740,000 | 8.375%, 12/15/2017c | 765,900 | ||||||
| Rohm & Haas Company | ||||||||
| 3,500,000 | 7.850%, 7/15/2029 | 4,066,979 | ||||||
Total Basic Materials | 11,481,944 | |||||||
| Capital Goods (0.1%) | ||||||||
| Abengoa Finance SAU | ||||||||
| 740,000 | 8.875%, 11/1/2017c | 684,500 | ||||||
| Associated Materials, LLC | ||||||||
| 740,000 | 9.125%, 11/1/2017c | 773,300 | ||||||
| Case New Holland, Inc. | ||||||||
| 730,000 | 7.875%, 12/1/2017c | 797,525 | ||||||
Total Capital Goods | 2,255,325 | |||||||
| Collateralized Mortgage Obligations (1.4%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,906,767 | 5.500%, 11/25/2035 | 1,628,757 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 6,373,352 | 5.750%, 4/25/2037 | 5,004,554 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 3,279,964 | 6.000%, 4/25/2036 | 2,691,381 | ||||||
| 1,249,457 | 6.000%, 1/25/2037 | 889,509 | ||||||
| 7,649,282 | 5.500%, 5/25/2037 | 5,907,020 | ||||||
| 6,654,115 | 7.000%, 10/25/2037 | 4,406,707 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 4,466,249 | 5.750%, 4/25/2037 | 4,047,990 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 1,503,798 | 5.500%, 10/25/2021 | 1,326,091 | ||||||
| 2,538,224 | 6.000%, 10/25/2021 | 2,091,930 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 3,956,630 | 0.451%, 8/25/2046b | 3,317,441 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,507,719 | 5.942%, 4/25/2037 | 982,256 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 2,993,412 | 5.595%, 6/25/2036 | 2,715,920 | ||||||
| 786,777 | 5.759%, 10/25/2036 | 714,064 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 1,457,838 | 6.500%, 7/25/2034 | 1,490,971 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 1,513,863 | 6.000%, 3/25/2037 | 1,262,702 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 2,374,117 | 5.441%, 9/20/2046 | 839,096 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 984,218 | 5.867%, 9/25/2036 | 899,754 | ||||||
| 3,491,275 | 5.987%, 10/25/2036 | 3,227,816 | ||||||
| 5,325,118 | 5.493%, 11/25/2036 | 4,820,169 | ||||||
| Total Collateralized Mortgage Obligations | 48,264,128 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (7.8%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.0%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| $ | 7,200,000 | 5.689%, 4/10/2049 | $ | 7,523,813 | ||||
| 4,975,000 | 5.658%, 6/10/2049 | 5,106,076 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,593,772 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,109,560 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 7,200,000 | 5.542%, 1/15/2049 | 7,343,050 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| 599,439 | 3.342%, 12/25/2019 | 608,663 | ||||||
| Government National Mortgage Association | ||||||||
| 604,857 | 2.164%, 3/16/2033 | 612,201 | ||||||
| 602,060 | 3.214%, 1/16/2040 | 622,865 | ||||||
| GS Mortgage Securities Corporation II | ||||||||
| 5,300,000 | 4.761%, 7/10/2039 | 5,466,012 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 3,700,000 | 5.814%, 6/12/2043 | 3,966,718 | ||||||
| Total Commercial Mortgage-Backed Securities | 37,952,730 | |||||||
| Communications Services (0.3%) | |||||||
| CBS Corporation | ||||||||
| 1,750,000 | 5.900%, 10/15/2040 | 1,685,733 | ||||||
| Cincinnati Bell, Inc. | ||||||||
| 740,000 | 8.250%, 10/15/2017 | 732,600 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 750,000 | 9.250%, 12/15/2017 | 821,250 | ||||||
| Cox Communications, Inc. | ||||||||
| 3,500,000 | 6.950%, 6/1/2038c | 3,893,435 | ||||||
| Frontier Communications Corporation | ||||||||
| 765,000 | 8.250%, 4/15/2017 | 839,588 | ||||||
| Intelsat Jackson Holdings, Ltd. | ||||||||
| 730,000 | 8.500%, 11/1/2019c | 793,875 | ||||||
| Viacom, Inc. | ||||||||
| 1,750,000 | 7.875%, 7/30/2030 | 2,066,199 | ||||||
| Virgin Media Finance plc | ||||||||
| 670,000 | 9.500%, 8/15/2016 | 757,100 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 737,000 | 7.250%, 2/15/2018c | 749,897 | ||||||
| Total Communications Services | 12,339,677 | |||||||
| Consumer Cyclical (0.3%) | |||||||
| Goodyear Tire & Rubber Company | ||||||||
| 730,000 | 8.250%, 8/15/2020 | 755,550 | ||||||
| Home Depot, Inc. | ||||||||
| 3,500,000 | 5.875%, 12/16/2036 | 3,640,522 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 630,000 | 8.375%, 7/15/2015 | 737,100 | ||||||
| MGM Resorts International | ||||||||
| 630,000 | 11.125%, 11/15/2017 | 724,500 | ||||||
| Rite Aid Corporation | ||||||||
| 740,000 | 7.500%, 3/1/2017 | 711,325 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 740,000 | 6.750%, 5/15/2018 | 810,300 | ||||||
| Toys R Us Property Company I, LLC | ||||||||
| 620,000 | 10.750%, 7/15/2017 | 706,800 | ||||||
| Warner Music Group | ||||||||
| 740,000 | 7.375%, 4/15/2014 | 710,400 | ||||||
| West Corporation | ||||||||
| 740,000 | 7.875%, 1/15/2019c | 752,950 | ||||||
| Wyndham Worldwide Corporation | ||||||||
| 690,000 | 6.000%, 12/1/2016 | 722,040 | ||||||
| Total Consumer Cyclical | 10,271,487 | |||||||
| Consumer Non-Cyclical (0.5%) | |||||||
| Altria Group, Inc. | ||||||||
| 3,500,000 | 9.950%, 11/10/2038 | 4,931,962 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 1,750,000 | 6.450%, 9/1/2037 | 2,002,448 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,750,000 | 8.200%, 1/15/2039c | 2,374,047 | ||||||
| HCA, Inc. | ||||||||
| 660,000 | 9.625%, 11/15/2016 | 707,025 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 620,000 | 11.625%, 5/1/2014 | 725,400 | ||||||
| Kraft Foods, Inc. | ||||||||
| 1,750,000 | 6.500%, 11/1/2031 | 1,946,607 | ||||||
| 1,750,000 | 7.000%, 8/11/2037 | 2,048,739 | ||||||
| Mylan, Inc. | ||||||||
| 670,000 | 7.875%, 7/15/2020c | 721,925 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,750,000 | 6.875%, 2/15/2038 | 2,037,373 | �� | |||||
| Total Consumer Non-Cyclical | 17,495,526 | |||||||
| Energy (0.3%) | |||||||
| Denbury Resources, Inc. | ||||||||
| 740,000 | 9.750%, 3/1/2016 | 825,100 | ||||||
| Linn Energy, LLC | ||||||||
| 730,000 | 7.750%, 2/1/2021c | 748,250 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 735,000 | 7.500%, 1/15/2020 | 807,050 | ||||||
| Plains Exploration & Production Company | ||||||||
| 730,000 | 7.625%, 6/1/2018 | 768,325 | ||||||
| Sandridge Energy, Inc. | ||||||||
| 740,000 | 8.000%, 6/1/2018c | 751,100 | ||||||
| Valero Energy Corporation | ||||||||
| 3,500,000 | 6.625%, 6/15/2037 | 3,554,715 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (7.8%) | Value | ||||||
| Energy (0.3%) - continued | |||||||
| Weatherford International, Ltd. | ||||||||
| $ | 3,500,000 | 6.750%, 9/15/2040 | $ | 3,675,973 | ||||
| Total Energy | 11,130,513 | |||||||
| Financials (0.7%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 610,000 | 3.200%, 11/3/2014c | 634,659 | ||||||
| Ally Financial, Inc. | ||||||||
| 730,000 | 8.300%, 2/12/2015 | 803,000 | ||||||
| Bank of Nova Scotia | ||||||||
| 600,000 | 1.450%, 7/26/2013c | 600,073 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 610,000 | 2.600%, 7/2/2015c | 613,325 | ||||||
| CIT Group, Inc. | ||||||||
| 766,555 | 7.000%, 5/1/2017 | 768,471 | ||||||
| Compagnie de Financement Foncier | ||||||||
| 600,000 | 2.125%, 4/22/2013c | 605,105 | ||||||
| Dexia Credit Local SA | ||||||||
| 600,000 | 2.750%, 4/29/2014c | 608,660 | ||||||
| General Electric Capital Corporation | ||||||||
| 3,500,000 | 6.750%, 3/15/2032 | 3,962,413 | ||||||
| Icahn Enterprises, LP | ||||||||
| 770,000 | 8.000%, 1/15/2018 | 770,000 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 600,000 | 2.375%, 5/26/2015 | 614,053 | ||||||
| Morgan Stanley Dean Witter & Company | ||||||||
| 3,500,000 | 7.250%, 4/1/2032 | 4,007,119 | ||||||
| Prudential Financial, Inc. | ||||||||
| 3,500,000 | 6.200%, 11/15/2040 | 3,702,479 | ||||||
| Royal Bank of Canada | ||||||||
| 550,000 | 3.125%, 4/14/2015c | 563,370 | ||||||
| Toronto-Dominion Bank | ||||||||
| 610,000 | 2.200%, 7/29/2015c | 600,044 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,750,000 | 5.700%, 10/15/2040 | 1,742,410 | ||||||
| XL Capital, Ltd. | ||||||||
| 3,500,000 | �� | 6.250%, 5/15/2027 | 3,446,891 | |||||
| Total Financials | 24,042,072 | |||||||
| Foreign Government (<0.1%) | |||||||
| Kommunalbanken AS | ||||||||
| 600,000 | 2.750%, 5/5/2015c | 613,534 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 295,000 | 1.250%, 6/15/2012 | 297,506 | ||||||
| Total Foreign Government | 911,040 | |||||||
| Mortgage-Backed Securities (0.2%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,400,000 | 6.000%, 1/1/2041d | 2,599,500 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 1,200,000 | 3.500%, 1/1/2026d | 1,208,250 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 2,400,000 | 4.500%, 1/1/2041d | 2,463,374 | ||||||
| Total Mortgage-Backed Securities | 6,271,124 | |||||||
| Technology (0.1%) | |||||||
| Freescale Semiconductor, Inc. | ||||||||
| 700,000 | 9.250%, 4/15/2018c | 770,000 | ||||||
| NXP BV/NXP Funding, LLC | ||||||||
| 600,000 | 9.750%, 8/1/2018c | 675,000 | ||||||
| Seagate HDD Cayman | ||||||||
| 710,000 | 7.750%, 12/15/2018c | 718,875 | ||||||
| Total Technology | 2,163,875 | |||||||
| Transportation (<0.1%) | |||||||
| Avis Budget Car Rental, LLC | ||||||||
| 730,000 | 8.250%, 1/15/2019c | 737,300 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 740,000 | 9.500%, 9/15/2014c | 805,675 | ||||||
| Total Transportation | 1,542,975 | |||||||
| U.S. Government and Agencies (2.0%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 240,000 | Zero Coupon, 1/7/2012c | 237,986 | ||||||
| 240,000 | Zero Coupon, 1/7/2014c | 227,890 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 600,000 | 2.125%, 9/15/2015 | 602,589 | ||||||
| Federal Home Loan Banks | ||||||||
| 2,400,000 | 5.375%, 5/18/2016 | 2,753,419 | ||||||
| 3,500,000 | 5.000%, 11/17/2017 | 3,968,111 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,200,000 | 2.500%, 1/7/2014 | 1,248,030 | ||||||
| 1,675,000 | 4.875%, 6/13/2018 | 1,873,214 | ||||||
| 850,000 | 3.750%, 3/27/2019 | 879,894 | ||||||
| Federal National Mortgage Association | ||||||||
| 3,640,000 | 0.375%, 12/28/2012 | 3,616,897 | ||||||
| 2,250,000 | 2.000%, 4/15/2013 | 2,258,863 | ||||||
| 910,000 | 4.375%, 10/15/2015 | 1,001,677 | ||||||
| 680,000 | 6.250%, 5/15/2029 | 834,266 | ||||||
| Tennessee Valley Authority | ||||||||
| 520,000 | 5.250%, 9/15/2039 | 549,752 | ||||||
| U.S. Treasury Bonds | ||||||||
| 1,020,000 | 4.625%, 2/15/2040 | 1,068,450 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 177,075 | 2.125%, 2/15/2040 | 187,423 | ||||||
| U.S. Treasury Notes | ||||||||
| 915,000 | 1.125%, 6/15/2013 | 922,503 | ||||||
| 4,665,000 | 1.750%, 1/31/2014 | 4,762,676 | ||||||
| 12,950,000 | 2.500%, 4/30/2015 | 13,388,073 | ||||||
| 1,225,000 | 1.250%, 10/31/2015 | 1,185,570 | ||||||
| 1,785,000 | 2.625%, 2/29/2016 | 1,831,996 | ||||||
| 4,350,000 | 3.250%, 3/31/2017 | 4,543,031 | ||||||
| 3,700,000 | 3.625%, 2/15/2020 | 3,839,904 | ||||||
| 7,535,000 | 3.500%, 5/15/2020 | 7,718,703 | ||||||
| 1,250,000 | 7.625%, 2/15/2025 | 1,772,656 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
113
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (7.8%) | Value | ||||||
| U.S. Government and Agencies (2.0%) - continued | |||||||
| $ | 2,975,000 | 4.375%, 5/15/2040 | $ | 2,989,399 | ||||
| U.S. Treasury Notes, TIPS | ||||||||
| 763,642 | 3.375%, 1/15/2012 | 798,304 | ||||||
| 895,024 | 0.625%, 4/15/2013 | 922,084 | ||||||
| 988,323 | 2.000%, 1/15/2014 | 1,061,057 | ||||||
| 801,759 | 1.625%, 1/15/2015 | 854,938 | ||||||
| 703,911 | 2.500%, 7/15/2016 | 790,030 | ||||||
| 912,774 | 2.625%, 7/15/2017 | 1,038,780 | ||||||
| 733,236 | 1.375%, 1/15/2020 | 761,993 | ||||||
| 197,241 | 2.375%, 1/15/2025 | 219,492 | ||||||
| Total U.S. Government and Agencies | 70,709,650 | |||||||
| Utilities (0.1%) | |||||||
| Energy Transfer Partners, LP | ||||||||
| 968,000 | 6.625%, 10/15/2036 | 1,020,481 | ||||||
| 1,750,000 | 7.500%, 7/1/2038 | 2,035,493 | ||||||
| NRG Energy, Inc. | ||||||||
| 740,000 | 7.375%, 2/1/2016 | 758,500 | ||||||
| Total Utilities | 3,814,474 | |||||||
Total Long-Term Fixed Income (cost $269,624,396) | 280,137,999 | |||||||
Short-Term Investments (4.9%)e | ||||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 4,000,000 | 0.050%, 1/7/2011f | 3,999,967 | ||||||
| 14,755,000 | 0.050%, 1/10/2011f | 14,754,816 | ||||||
| 45,000,000 | 0.095%, 1/14/2011f | 44,998,456 | ||||||
| 20,000,000 | 0.060%, 1/19/2011f | 19,999,400 | ||||||
| 13,325,000 | 0.070%, 1/21/2011f | 13,324,482 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.090%, 1/10/2011f | 4,999,888 | ||||||
| 4,000,000 | 0.200%, 3/14/2011f,g | 3,998,432 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 4,000,000 | 0.050%, 1/5/2011f | 3,999,978 | ||||||
| 9,310,000 | 0.090%, 2/1/2011f | 9,309,278 | ||||||
| Merrill Lynch Repurchase Agreement | ||||||||
| 44,660,000 | 0.150%, 1/3/2011h | 44,660,000 | ||||||
| U.S. Treasury Bills | ||||||||
| 1,400,000 | 0.118%, 2/24/2011f,g | 1,399,757 | ||||||
| 7,600,000 | 0.100%, 3/10/2011f,g | 7,598,564 | ||||||
| Total Short-Term Investments (at amortized cost) | 173,043,018 | |||||||
| Total Investments (cost $3,593,302,214) 100.1% | $ | 3,572,920,601 | ||||||
| Other Assets and Liabilities, Net (0.1%) | (3,551,315 | ) | ||||||
| Total Net Assets 100.0% | $ | 3,569,369,286 | ||||||
| a | Non-income producing security. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $24,322,200 or 0.7% of total net assets. |
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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. |
| f | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| g | At December 31, 2010, $12,996,753 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| h | Repurchase agreement dated December 31, 2010, $44,660,558 maturing January 3, 2011, collateralized by $16,274,180 U.S. Treasury Notes, 2.625% due April 30, 2016 and $29,279,195 U.S. Treasury Notes, 1.125% due June 15, 2013. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
| 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 | $ | 135,228,233 | ||
Gross unrealized depreciation | (155,372,253 | ) | ||
Net unrealized appreciation (depreciation) | $ | (20,144,020 | ) | |
Cost for federal income tax purposes | $ | 3,593,064,621 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
114
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 1,551,440,432 | 1,551,440,432 | — | — | ||||||||||||
Fixed Income Mutual Funds | 1,153,989,990 | 1,153,989,990 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 61,997,390 | 61,997,390 | — | — | ||||||||||||
Consumer Staples | 23,736,630 | 23,736,630 | — | — | ||||||||||||
Energy | 36,398,496 | 36,398,496 | — | — | ||||||||||||
Financials | 58,427,599 | 58,427,599 | — | — | ||||||||||||
Health Care | 60,584,515 | 60,584,515 | — | — | ||||||||||||
Industrials | 35,387,927 | 35,387,927 | — | — | ||||||||||||
Information Technology | 112,190,106 | 112,190,106 | — | — | ||||||||||||
Materials | 10,286,574 | 10,286,574 | — | — | ||||||||||||
Telecommunications Services | 6,864,802 | 6,864,802 | — | — | ||||||||||||
Utilities | 8,435,123 | 8,435,123 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 19,491,459 | — | 19,491,459 | — | ||||||||||||
Basic Materials | 11,481,944 | — | 11,481,944 | — | ||||||||||||
Capital Goods | 2,255,325 | — | 2,255,325 | — | ||||||||||||
Collateralized Mortgage Obligations | 48,264,128 | — | 48,264,128 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 37,952,730 | — | 37,952,730 | — | ||||||||||||
Communications Services | 12,339,677 | — | 12,339,677 | — | ||||||||||||
Consumer Cyclical | 10,271,487 | — | 10,271,487 | — | ||||||||||||
Consumer Non-Cyclical | 17,495,526 | — | 17,495,526 | — | ||||||||||||
Energy | 11,130,513 | — | 11,130,513 | — | ||||||||||||
Financials | 24,042,072 | — | 24,042,072 | — | ||||||||||||
Foreign Government | 911,040 | — | 911,040 | — | ||||||||||||
Mortgage-Backed Securities | 6,271,124 | — | 6,271,124 | — | ||||||||||||
Technology | 2,163,875 | — | 2,163,875 | — | ||||||||||||
Transportation | 1,542,975 | — | 1,542,975 | — | ||||||||||||
U.S. Government and Agencies | �� | 70,709,650 | — | 70,709,650 | — | |||||||||||
Utilities | 3,814,474 | — | 3,814,474 | — | ||||||||||||
Short-Term Investments | 173,043,018 | — | 173,043,018 | — | ||||||||||||
Total | $ | 3,572,920,601 | $ | 3,119,739,584 | $ | 453,181,017 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 2,163,690 | 2,163,690 | — | — | ||||||||||||
Total Asset Derivatives | $ | 2,163,690 | $ | 2,163,690 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 586,904 | 586,904 | — | — | ||||||||||||
Total Liability Derivatives | $ | 586,904 | $ | 586,904 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | (326 | ) | March 2011 | ($ | 24,916,076 | ) | ($ | 25,502,980 | ) | ($ | 586,904 | ) | ||||||||
S&P 400 Index Mini-Futures | 266 | March 2011 | 23,604,175 | 24,080,980 | 476,805 | |||||||||||||||
S&P 500 Index Futures | 269 | March 2011 | 82,577,364 | 84,264,249 | 1,686,885 | |||||||||||||||
Total Futures Contracts | $ | 1,576,786 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
115
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 2,163,690 | ||||
Total Equity Contracts | 2,163,690 | |||||
Total Asset Derivatives | $ | 2,163,690 | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 586,904 | ||||
Total Equity Contracts | 586,904 | |||||
Total Liability Derivatives | $ | 586,904 | ||||
| * | 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, 2010, 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 | 34,528,428 | ||||
Total Return Swaps | Net realized gains/(losses) on Swap agreements | (28,894) | ||||
Total Equity Contracts | 34,499,534 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,606,862 | ) | |||
Total Credit Contracts | (1,606,862) | |||||
Total | $ | 32,892,672 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (3,106,061 | ) | |||
Total Equity Contracts | (3,106,061 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 1,870,736 | ||||
Total Credit Contracts | 1,870,736 | |||||
Total | ($ | 1,235,325 | ) | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||
Equity Contracts | $172,632,817 | 5.7% | $253,462 | <0.1% | N/A | |||||
Interest Rate Contracts | N/A | N/A | N/A | N/A | 6 | |||||
Credit Contracts | N/A | N/A | 7,646,266 | 0.3% | 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 Moderate Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Real Estate Securities | $ | 74,232,873 | $ | 6,248,016 | $ | 30,521 | 6,860,853 | $ | 99,423,361 | $ | 2,619,969 | |||||||||||||
Partner Small Cap Growth | 43,206,268 | 1,814,023 | 15,261 | 4,491,902 | 58,029,531 | — | ||||||||||||||||||
Partner Small Cap Value | 68,298,602 | 3,449,697 | 7,022,891 | 4,226,133 | 80,564,038 | 728,662 | ||||||||||||||||||
Small Cap Stock | 35,697,044 | 2,660,484 | 1,946,912 | 3,596,908 | 45,549,804 | 15,428 | ||||||||||||||||||
Mid Cap Growth II | 21,070,311 | 3,041,207 | 7,630 | 2,827,144 | 28,136,866 | — | ||||||||||||||||||
Partner Mid Cap Value | 59,064,656 | 4,191,949 | 30,521 | 5,840,733 | 78,175,286 | 563,902 | ||||||||||||||||||
Mid Cap Stock | 109,944,779 | 5,883,575 | 1,893,825 | 11,618,400 | 142,366,059 | 593,462 | ||||||||||||||||||
Partner Worldwide Allocation | 84,392,265 | 106,675,132 | 64,409 | 23,788,143 | 208,688,622 | 2,690,992 | ||||||||||||||||||
Partner International Stock | 172,123,931 | 3,377,221 | 27,155 | 17,540,407 | 187,198,240 | 3,377,221 | ||||||||||||||||||
Large Cap Growth II | 139,164,862 | 23,946,212 | 4,893,825 | 21,793,027 | 151,243,607 | 417,059 | ||||||||||||||||||
Large Cap Value | 234,271,133 | 13,493,877 | 83,933 | 25,637,117 | 275,009,351 | 3,516,748 | ||||||||||||||||||
Large Cap Stock | 154,405,740 | 5,610,541 | 4,911,521 | 20,066,761 | 170,579,507 | 1,202,114 | ||||||||||||||||||
Equity Income Plus | 21,869,980 | 1,289,482 | 7,630 | 2,922,765 | 26,476,160 | 382,470 | ||||||||||||||||||
High Yield | 132,591,457 | 38,832,534 | 31,099,414 | 30,853,206 | 148,465,627 | 12,071,001 | ||||||||||||||||||
Income | 445,825,251 | 85,713,242 | 64,287,126 | 49,625,465 | 494,090,978 | 23,215,281 | ||||||||||||||||||
Limited Maturity Bond | 423,125,775 | 83,645,183 | 3,604,468 | 52,175,900 | 511,433,385 | 15,157,324 | ||||||||||||||||||
Total Value and Income Earned | 2,219,284,927 | 2,705,430,422 | 66,551,633 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Mutual Funds (72.1%) | Value | ||||||
| Equity Mutual Funds (25.1%) | ||||||||
| 1,980,178 | Thrivent Real Estate Securities Portfolio | $ | 28,695,550 | |||||
| 1,262,322 | Thrivent Partner Small Cap Value Portfolio | 24,064,028 | ||||||
| 1,614,844 | Thrivent Small Cap Stock Portfolio | 20,449,739 | ||||||
| 2,128,673 | Thrivent Partner Mid Cap Value Portfolio | 28,491,230 | ||||||
| 2,925,908 | Thrivent Mid Cap Stock Portfolio | 35,852,618 | ||||||
| 8,156,721 | Thrivent Partner Worldwide Allocation Portfolio | 71,557,285 | ||||||
| 3,792,553 | Thrivent Partner International Stock Portfolio | 40,475,646 | ||||||
| 5,342,525 | Thrivent Large Cap Growth Portfolio II | 37,077,121 | ||||||
| 7,460,702 | Thrivent Large Cap Value Portfolio | 80,030,955 | ||||||
| 2,726,191 | Thrivent Large Cap Stock Portfolio | 23,174,261 | ||||||
| 1,158,289 | Thrivent Equity Income Plus Portfolio | 10,492,477 | ||||||
| Total Equity Mutual Funds | 400,360,910 | |||||||
| Fixed Income Mutual Funds (47.0%) | ||||||||
| 13,878,531 | Thrivent High Yield Portfolio | 66,783,491 | ||||||
| 20,673,433 | Thrivent Income Portfolio | 205,832,967 | ||||||
| 48,529,689 | Thrivent Limited Maturity Bond Portfolio | 475,692,869 | ||||||
Total Fixed Income Mutual Funds | 748,309,327 | |||||||
Total Mutual Funds (cost $1,158,126,323) | 1,148,670,237 | |||||||
Common Stock (9.7%) | ||||||||
| Consumer Discretionary (1.4%) | ||||||||
| 4,200 | Amazon.com, Inc.a | 756,000 | ||||||
| 7,009 | Autoliv, Inc. | 553,290 | ||||||
| 20,350 | Carnival Corporation | 938,339 | ||||||
| 22,780 | Cooper Tire & Rubber Company | 537,152 | ||||||
| 39,760 | Dana Holding Corporationa | 684,270 | ||||||
| 4,102 | Dollar Tree, Inc.a | 230,040 | ||||||
| 20,650 | Expedia, Inc. | 518,108 | ||||||
| 32,400 | Foot Locker, Inc. | 635,688 | ||||||
| 12,937 | Kohl’s Corporationa | 702,997 | ||||||
| 30,566 | Macy’s, Inc. | 773,320 | ||||||
| 53,950 | MGM Resorts Internationala | 801,157 | ||||||
| 1,300 | Netflix, Inc.a | 228,410 | ||||||
| 11,680 | Omnicom Group, Inc. | 534,944 | ||||||
| 3,654 | Panera Bread Companya | 369,821 | ||||||
| 53,100 | Pier 1 Imports, Inc.a | 557,550 | ||||||
| 7,200 | Signet Jewelers, Ltd.a | 312,480 | ||||||
| 88,350 | Starbucks Corporation | 2,838,686 | ||||||
| 51,970 | Target Corporation | 3,124,956 | ||||||
| 9,730 | Time Warner Cable, Inc. | 642,472 | ||||||
| 74,450 | TJX Companies, Inc. | 3,304,836 | ||||||
| 23,092 | Walt Disney Company | 866,181 | ||||||
| 9,600 | Warnaco Group, Inc.a | 528,672 | ||||||
| 23,600 | Williams-Sonoma, Inc. | 842,284 | ||||||
| 11,038 | WMS Industries, Inc.a | 499,359 | ||||||
Total Consumer Discretionary | 21,781,012 | |||||||
| Consumer Staples (0.6%) | ||||||||
| 18,800 | Avon Products, Inc. | 546,328 | ||||||
| 29,900 | Colgate-Palmolive Company | 2,403,063 | ||||||
| 5,230 | Diageo plc ADR | 388,746 | ||||||
| 9,876 | Flowers Foods, Inc. | 265,763 | ||||||
| 8,200 | Herbalife, Ltd. | 560,634 | ||||||
| 39,446 | Kraft Foods, Inc. | 1,242,944 | ||||||
| 17,591 | PepsiCo, Inc. | 1,149,220 | ||||||
| 26,508 | Philip Morris International, Inc. | 1,551,513 | ||||||
| 6,889 | TreeHouse Foods, Inc.a | 351,959 | ||||||
| 18,830 | Walgreen Company | 733,617 | ||||||
Total Consumer Staples | 9,193,787 | |||||||
| Energy (0.9%) | ||||||||
| 4,661 | Alpha Natural Resources, Inc.a | 279,800 | ||||||
| 7,630 | Apache Corporation | 909,725 | ||||||
| 24,100 | Arch Coal, Inc. | 844,946 | ||||||
| 28,440 | Baker Hughes, Inc. | 1,625,915 | ||||||
| 18,000 | Chevron Corporation | 1,642,500 | ||||||
| 24,700 | Complete Production Services, Inc.a | 729,885 | ||||||
| 11,390 | ConocoPhillips | 775,659 | ||||||
| 9,400 | Dresser-Rand Group, Inc.a | 400,346 | ||||||
| 14,160 | ENSCO International plc ADR | 755,861 | ||||||
| 24,894 | Forest Oil Corporationa | 945,225 | ||||||
| 78,600 | International Coal Group, Inc.a | 608,364 | ||||||
| 25,400 | James River Coal Companya | 643,382 | ||||||
| 6,909 | National Oilwell Varco, Inc. | 464,630 | ||||||
| 11,390 | Occidental Petroleum Corporation | 1,117,359 | ||||||
| 12,600 | Schlumberger, Ltd. | 1,052,100 | ||||||
| 22,050 | Ultra Petroleum Corporationa | 1,053,328 | ||||||
| 20,400 | Weatherford International, Ltd.a | 465,120 | ||||||
| 2,700 | Whiting Petroleum Corporationa | 316,413 | ||||||
Total Energy | 14,630,558 | |||||||
| Financials (1.5%) | ||||||||
| 6,110 | ACE, Ltd. | 380,347 | ||||||
| 6,215 | Affiliated Managers Group, Inc.a | 616,652 | ||||||
| 6,819 | Ameriprise Financial, Inc. | 392,433 | ||||||
| 50,313 | Bank of America Corporation | 671,175 | ||||||
| 5,400 | BlackRock, Inc. | 1,029,132 | ||||||
| 52,000 | Chubb Corporation | 3,101,280 | ||||||
| 180,960 | Citigroup, Inc.a | 855,941 | ||||||
| 21,000 | Comerica, Inc. | 887,040 | ||||||
| 17,683 | Duke Realty Corporation | 220,330 | ||||||
| 6,200 | Endurance Specialty Holdings, Ltd. | 285,634 | ||||||
| 15,126 | Equity One, Inc. | 274,991 | ||||||
| 33,273 | Fifth Third Bancorp | 488,448 | ||||||
| 8,260 | Goldman Sachs Group, Inc. | 1,389,002 | ||||||
| 4,690 | Hanover Insurance Group, Inc. | 219,117 | ||||||
| 15,518 | HCC Insurance Holdings, Inc. | 449,091 | ||||||
| 5,600 | Healthcare Realty Trust, Inc. | 118,552 | ||||||
| 20,398 | Host Hotels & Resorts, Inc. | 364,512 | ||||||
| 1,845 | IntercontinentalExchange, Inc.a | 219,832 | ||||||
| 9,600 | iShares Russell 2000 Index Fund | 751,008 | ||||||
| 46,650 | Itau Unibanco Holding SA ADR | 1,120,066 | ||||||
| 22,385 | J.P. Morgan Chase & Company | 949,572 | ||||||
| 18,500 | LaSalle Hotel Properties | 488,400 | ||||||
| 5,888 | Lazard, Ltd. | 232,517 | ||||||
| 5,300 | M&T Bank Corporation | 461,365 | ||||||
| 8,870 | MetLife, Inc. | 394,183 | ||||||
| 14,387 | Morgan Stanley | 391,470 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (9.7%) | Value | ||||||
| Financials (1.5%) - continued | ||||||||
| 18,390 | Northern Trust Corporation | $ | 1,018,990 | |||||
| 58,764 | Ocwen Financial Corporationa | 560,609 | ||||||
| 19,300 | People’s United Financial, Inc. | 270,393 | ||||||
| 3,900 | Potlatch Corporation | 126,945 | ||||||
| 19,276 | Principal Financial Group, Inc. | 627,627 | ||||||
| 15,560 | SVB Financial Groupa | 825,458 | ||||||
| 28,100 | Texas Capital Bancshares, Inc.a | 597,687 | ||||||
| 35,450 | U.S. Bancorp | 956,086 | ||||||
| 2,100 | Unum Group | 50,862 | ||||||
| 14,924 | W.R. Berkley Corporation | 408,619 | ||||||
| 7,410 | Wells Fargo & Company | 229,636 | ||||||
| 35,500 | Zions Bancorporation | 860,165 | ||||||
Total Financials | 23,285,167 | |||||||
| Health Care (1.3%) | ||||||||
| 6,610 | Abbott Laboratories | 316,685 | ||||||
| 21,650 | Aetna, Inc. | 660,542 | ||||||
| 3,200 | Alexion Pharmaceuticals, Inc.a | 257,760 | ||||||
| 27,200 | Align Technology, Inc.a | 531,488 | ||||||
| 15,000 | Allergan, Inc. | 1,030,050 | ||||||
| 9,512 | C.R. Bard, Inc. | 872,916 | ||||||
| 11,442 | Celgene Corporationa | 676,680 | ||||||
| 6,504 | Community Health Systems, Inc.a | 243,054 | ||||||
| 10,000 | Covance, Inc.a | 514,100 | ||||||
| 12,783 | Coventry Health Care, Inc.a | 337,471 | ||||||
| 13,140 | Covidien, Ltd. | 599,972 | ||||||
| 67,900 | Eli Lilly and Company | 2,379,216 | ||||||
| 13,650 | Hospira, Inc.a | 760,169 | ||||||
| 43,030 | Johnson & Johnson | 2,661,406 | ||||||
| 10,000 | LifePoint Hospitals, Inc.a | 367,500 | ||||||
| 13,190 | Novartis AG ADR | 777,551 | ||||||
| 11,000 | Omnicare, Inc. | 279,290 | ||||||
| 21,300 | PSS World Medical, Inc.a | 481,380 | ||||||
| 4,400 | Quest Diagnostics, Inc. | 237,468 | ||||||
| 7,900 | Salix Pharmaceuticals, Ltd.a | 370,984 | ||||||
| 26,900 | Teva Pharmaceutical Industries, Ltd. ADR | 1,402,297 | ||||||
| 17,750 | Thermo Fisher Scientific, Inc.a | 982,640 | ||||||
| 7,700 | United Therapeutics Corporationa | 486,794 | ||||||
| 91,553 | UnitedHealth Group, Inc. | 3,305,979 | ||||||
| 3,289 | Varian Medical Systems, Inc.a | 227,862 | ||||||
| 5,082 | Vertex Pharmaceuticals, Inc.a | 178,022 | ||||||
| 2,800 | Waters Corporationa | 217,588 | ||||||
| 6,850 | Zimmer Holdings, Inc.a | 367,708 | ||||||
Total Health Care | 21,524,572 | |||||||
| Industrials (0.9%) | ||||||||
| 5,167 | 3M Company | 445,912 | ||||||
| 5,220 | Boeing Company | 340,657 | ||||||
| 14,090 | Caterpillar, Inc. | 1,319,669 | ||||||
| 3,557 | CSX Corporation | 229,818 | ||||||
| 41,643 | Delta Air Lines, Inc.a | 524,702 | ||||||
| 11,390 | Emerson Electric Company | 651,166 | ||||||
| 3,630 | Fluor Corporation | 240,524 | ||||||
| 20,600 | FTI Consulting, Inc.a | 767,968 | ||||||
| 43,640 | General Electric Company | 798,176 | ||||||
| 8,641 | Honeywell International, Inc. | 459,356 | ||||||
| 24,900 | Knight Transportation, Inc. | 473,100 | ||||||
| 82,632 | Manitowoc Company, Inc. | 1,083,305 | ||||||
| 4,200 | Manpower, Inc. | 263,592 | ||||||
| 9,510 | Norfolk Southern Corporation | 597,418 | ||||||
| 34,817 | Oshkosh Corporationa | 1,226,951 | ||||||
| 3,852 | Parker Hannifin Corporation | 332,428 | ||||||
| 7,700 | Republic Services, Inc. | 229,922 | ||||||
| 28,100 | Shaw Group, Inc.a | 961,863 | ||||||
| 9,400 | Siemens AG ADR | 1,167,950 | ||||||
| 4,117 | SPX Corporation | 294,324 | ||||||
| 12,190 | Teledyne Technologies, Inc.a | 535,994 | ||||||
| 9,120 | Textron, Inc. | 215,597 | ||||||
| 6,900 | Tyco International, Ltd. | 285,936 | ||||||
| 5,574 | United Technologies Corporation | 438,785 | ||||||
| 9,298 | Werner Enterprises, Inc. | 210,135 | ||||||
| 7,480 | WESCO International, Inc.a | 394,944 | ||||||
Total Industrials | 14,490,192 | |||||||
| Information Technology (2.4%) | ||||||||
| 52,500 | Accenture plc | 2,545,725 | ||||||
| 11,900 | ADTRAN, Inc. | 430,899 | ||||||
| 5,100 | Alliance Data Systems Corporationa | 362,253 | ||||||
| 10,136 | Apple, Inc.a | 3,269,468 | ||||||
| 14,300 | ASML Holding NV | 548,262 | ||||||
| 48,098 | Atmel Corporationa | 592,567 | ||||||
| 4,100 | Broadcom Corporation | 178,555 | ||||||
| 11,100 | Cognizant Technology Solutions Corporationa | 813,519 | ||||||
| 15,000 | CommVault Systems, Inc.a | 429,300 | ||||||
| 33,621 | Compuware Corporationa | 392,357 | ||||||
| 9,150 | eBay, Inc.a | 254,644 | ||||||
| 68,810 | EMC Corporationa | 1,575,749 | ||||||
| 3,232 | Google, Inc.a | 1,919,711 | ||||||
| 22,000 | GSI Commerce, Inc.a | 510,400 | ||||||
| 64,800 | Hewlett-Packard Company | 2,728,080 | ||||||
| 11,200 | Informatica Corporationa | 493,136 | ||||||
| 21,316 | International Business Machines Corporation | 3,128,336 | ||||||
| 7,507 | Juniper Networks, Inc.a | 277,158 | ||||||
| 4,900 | Lam Research Corporationa | 253,722 | ||||||
| 50,000 | Marvell Technology Group, Ltd.a | 927,500 | ||||||
| 165,340 | Microsoft Corporation | 4,616,293 | ||||||
| 29,700 | Monster Worldwide, Inc.a | 701,811 | ||||||
| 98,700 | Oracle Corporation | 3,089,310 | ||||||
| 16,316 | Plantronics, Inc. | 607,282 | ||||||
| 16,800 | Plexus Corporationa | 519,792 | ||||||
| 27,750 | QUALCOMM, Inc. | 1,373,348 | ||||||
| 95,301 | Teradyne, Inc.a | 1,338,026 | ||||||
| 41,584 | TIBCO Software, Inc.a | 819,621 | ||||||
| 16,731 | Tyco Electronics, Ltd. | 592,277 | ||||||
| 19,700 | ValueClick, Inc.a | 315,791 | ||||||
| 8,550 | VeriFone Systems, Inc.a | 329,688 | ||||||
| 12,700 | Visa, Inc. | 893,826 | ||||||
| 5,550 | VMware, Inc.a | 493,451 | ||||||
| 74,840 | Xerox Corporation | 862,157 | ||||||
| 24,201 | Xilinx, Inc. | 701,345 | ||||||
Total Information Technology | 38,885,359 | |||||||
| Materials (0.3%) | ||||||||
| 5,558 | Albemarle Corporation | 310,025 | ||||||
| 6,900 | Allegheny Technologies, Inc. | 380,742 | ||||||
| 29,582 | E.I. du Pont de Nemours and Company | 1,475,550 | ||||||
| 27,850 | International Paper Company | 758,634 | ||||||
| 8,478 | Silgan Holdings, Inc. | 303,597 | ||||||
| 18,580 | Steel Dynamics, Inc. | 340,014 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (9.7%) | Value | ||||||
| Materials (0.3%) - continued | ||||||||
| 12,750 | Teck Resources, Ltd. | $ | 788,333 | |||||
| 14,100 | Temple-Inland, Inc. | 299,484 | ||||||
Total Materials | 4,656,379 | |||||||
| Telecommunications Services (0.2%) | ||||||||
| 194,650 | Alcatel-Lucent ADRa | 576,164 | ||||||
| 18,640 | AT&T, Inc. | 547,643 | ||||||
| 15,688 | NII Holdings, Inc.a | 700,626 | ||||||
| 6,040 | Telephone & Data Systems, Inc. | 220,762 | ||||||
| 28,090 | Verizon Communications, Inc. | 1,005,061 | ||||||
Total Telecommunications Services | 3,050,256 | |||||||
| Utilities (0.2%) | ||||||||
| 5,215 | Alliant Energy Corporation | 191,756 | ||||||
| 29,390 | American Electric Power Company, Inc. | 1,057,452 | ||||||
| 14,100 | CMS Energy Corporation | 262,260 | ||||||
| 9,690 | Duke Energy Corporation | 172,579 | ||||||
| 19,192 | NV Energy, Inc. | 269,648 | ||||||
| 9,952 | Portland General Electric Company | 215,958 | ||||||
| 12,759 | Southwest Gas Corporation | 467,872 | ||||||
| 23,883 | UGI Corporation | 754,225 | ||||||
| 7,520 | Xcel Energy, Inc. | 177,096 | ||||||
Total Utilities | 3,568,846 | |||||||
Total Common Stock (cost $136,839,681) | 155,066,128 | |||||||
| Principal Amount | Long-Term Fixed Income (9.7%) | |||||||
| Asset-Backed Securities (1.0%) | ||||||||
| GSAMP Trust | ||||||||
| 2,406,725 | 0.441%, 2/25/2036b | 2,088,324 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 7,500,000 | 5.461%, 10/25/2036 | 5,948,303 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 3,358,777 | 0.411%, 2/25/2037b | 2,263,708 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 5,500,000 | 6.011%, 5/25/2036 | 3,675,667 | ||||||
| 2,660,612 | 5.580%, 11/25/2036 | 2,130,695 | ||||||
Total Asset-Backed Securities | 16,106,697 | |||||||
| Basic Materials (0.4%) | ||||||||
| ArcelorMittal | ||||||||
| 2,300,000 | 7.000%, 10/15/2039 | 2,386,901 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 285,000 | 8.000%, 4/1/2017c | 303,525 | ||||||
| FMG Finance, Pty., Ltd. | ||||||||
| 310,000 | 7.000%, 11/1/2015c | 317,750 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 270,000 | 8.000%, 1/15/2024 | 308,475 | ||||||
| Lyondell Chemical Company | ||||||||
| 270,000 | 11.000%, 5/1/2018 | 305,775 | ||||||
| Novelis, Inc. | ||||||||
| 300,000 | 8.375%, 12/15/2017c | 310,500 | ||||||
| Rohm & Haas Company | ||||||||
| 2,300,000 | 7.850%, 7/15/2029 | 2,672,586 | ||||||
Total Basic Materials | 6,605,512 | |||||||
| Capital Goods (0.1%) | ||||||||
| Abengoa Finance SAU | ||||||||
| 330,000 | 8.875%, 11/1/2017c | 305,250 | ||||||
| Associated Materials, LLC | ||||||||
| 300,000 | 9.125%, 11/1/2017c | 313,500 | ||||||
| Case New Holland, Inc. | ||||||||
| 330,000 | 7.875%, 12/1/2017c | 360,525 | ||||||
Total Capital Goods | 979,275 | |||||||
| Collateralized Mortgage Obligations (1.3%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,035,102 | 5.500%, 11/25/2035 | 884,182 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 3,505,344 | 5.750%, 4/25/2037 | 2,752,505 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 678,277 | 6.000%, 1/25/2037 | 482,876 | ||||||
| 4,977,272 | 5.500%, 5/25/2037 | 3,843,609 | ||||||
| 4,323,486 | 7.000%, 10/25/2037 | 2,863,242 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 2,481,250 | 5.750%, 4/25/2037 | 2,248,883 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 816,347 | 5.500%, 10/25/2021 | 719,878 | ||||||
| 1,393,535 | 6.000%, 10/25/2021 | 1,148,511 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 855,240 | 5.942%, 4/25/2037 | 557,176 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 427,108 | 5.759%, 10/25/2036 | 387,635 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 830,158 | 6.500%, 7/25/2034 | 849,025 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 821,811 | 6.000%, 3/25/2037 | 685,467 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 881,479 | 5.441%, 9/20/2046 | 311,545 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 1,353,299 | 5.867%, 9/25/2036 | 1,237,162 | ||||||
| 1,297,304 | 5.987%, 10/25/2036 | 1,199,407 | ||||||
| 1,452,305 | 5.493%, 11/25/2036 | 1,314,592 | ||||||
Total Collateralized Mortgage Obligations | 21,485,695 | |||||||
| Commercial Mortgage-Backed Securities (2.1%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 4,600,000 | 5.689%, 4/10/2049 | 4,806,880 | ||||||
| 6,000,000 | 5.658%, 6/10/2049 | 6,158,082 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,053,584 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,700,000 | 5.322%, 12/11/2049 | 1,762,084 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 4,600,000 | 5.542%, 1/15/2049 | 4,691,393 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (2.1%) - continued | ||||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| $216,191 | 3.342%, 12/25/2019 | $ | 219,518 | |||||
| Government National Mortgage Association | ||||||||
| 218,145 | 2.164%, 3/16/2033 | 220,794 | ||||||
| 217,137 | 3.214%, 1/16/2040 | 224,640 | ||||||
| GS Mortgage Securities Corporation II | ||||||||
| 6,549,700 | 4.761%, 7/10/2039 | 6,754,856 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 5,100,000 | 5.814%, 6/12/2043 | 5,467,639 | ||||||
Total Commercial Mortgage- Backed Securities | 32,359,470 | |||||||
| Communications Services (0.4%) | ||||||||
| CBS Corporation | ||||||||
| 1,150,000 | 5.900%, 10/15/2040 | 1,107,767 | ||||||
| Cincinnati Bell, Inc. | ||||||||
| 300,000 | 8.250%, 10/15/2017 | 297,000 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 215,000 | 9.250%, 12/15/2017 | 235,425 | ||||||
| Cox Communications, Inc. | ||||||||
| 2,300,000 | 6.950%, 6/1/2038c | 2,558,543 | ||||||
| Frontier Communications Corporation | ||||||||
| 235,000 | 8.250%, 4/15/2017 | 257,913 | ||||||
| Intelsat Jackson Holdings, Ltd. | ||||||||
| 220,000 | 8.500%, 11/1/2019c | 239,250 | ||||||
| Viacom, Inc. | ||||||||
| 1,150,000 | 7.875%, 7/30/2030 | 1,357,788 | ||||||
| Virgin Media Finance plc | ||||||||
| 270,000 | 9.500%, 8/15/2016 | 305,100 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 300,000 | 7.250%, 2/15/2018c | 305,250 | ||||||
Total Communications Services | 6,664,036 | |||||||
| Consumer Cyclical (0.3%) | ||||||||
| Goodyear Tire & Rubber Company | ||||||||
| 410,000 | 8.250%, 8/15/2020 | 424,350 | ||||||
| Home Depot, Inc. | ||||||||
| 2,300,000 | 5.875%, 12/16/2036 | 2,392,342 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 260,000 | 8.375%, 7/15/2015 | 304,200 | ||||||
| MGM Resorts International | ||||||||
| 260,000 | 11.125%, 11/15/2017 | 299,000 | ||||||
| Rite Aid Corporation | ||||||||
| 300,000 | 7.500%, 3/1/2017 | 288,375 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 300,000 | 6.750%, 5/15/2018 | 328,500 | ||||||
| Toys R Us Property Company I, LLC | ||||||||
| 260,000 | 10.750%, 7/15/2017 | 296,400 | ||||||
| Warner Music Group | ||||||||
| 300,000 | 7.375%, 4/15/2014 | 288,000 | ||||||
| West Corporation | ||||||||
| 300,000 | 7.875%, 1/15/2019c | 305,250 | ||||||
| Wyndham Worldwide Corporation | ||||||||
| 280,000 | 6.000%, 12/1/2016 | 293,002 | ||||||
Total Consumer Cyclical | 5,219,419 | |||||||
| Consumer Non-Cyclical (0.7%) | ||||||||
| Altria Group, Inc. | ||||||||
| 2,300,000 | 9.950%, 11/10/2038 | 3,241,004 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 1,150,000 | 6.450%, 9/1/2037 | 1,315,894 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,150,000 | 8.200%, 1/15/2039c | 1,560,088 | ||||||
| HCA, Inc. | ||||||||
| 270,000 | 9.625%, 11/15/2016 | 289,237 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 260,000 | 11.625%, 5/1/2014 | 304,200 | ||||||
| Kraft Foods, Inc. | ||||||||
| 1,150,000 | 6.500%, 11/1/2031 | 1,279,199 | ||||||
| 1,150,000 | 7.000%, 8/11/2037 | 1,346,314 | ||||||
| Mylan, Inc. | ||||||||
| 270,000 | 7.875%, 7/15/2020c | 290,925 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,150,000 | 6.875%, 2/15/2038 | 1,338,845 | ||||||
Total Consumer Non-Cyclical | 10,965,706 | |||||||
| Energy (0.4%) | ||||||||
| Denbury Resources, Inc. | ||||||||
| 300,000 | 9.750%, 3/1/2016 | 334,500 | ||||||
| Linn Energy, LLC | ||||||||
| 300,000 | 7.750%, 2/1/2021c | 307,500 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 220,000 | 7.500%, 1/15/2020 | 241,566 | ||||||
| Plains Exploration & Production Company | ||||||||
| 300,000 | 7.625%, 6/1/2018 | 315,750 | ||||||
| Sandridge Energy, Inc. | ||||||||
| 300,000 | 8.000%, 6/1/2018c | 304,500 | ||||||
| Valero Energy Corporation | ||||||||
| 2,300,000 | 6.625%, 6/15/2037 | 2,335,956 | ||||||
| Weatherford International, Ltd. | ||||||||
| 2,300,000 | 6.750%, 9/15/2040 | 2,415,639 | ||||||
Total Energy | 6,255,411 | |||||||
| Financials (0.9%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 220,000 | 3.200%, 11/3/2014c | 228,893 | ||||||
| Ally Financial, Inc. | ||||||||
| 300,000 | 8.300%, 2/12/2015 | 330,000 | ||||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013c | 225,028 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 220,000 | 2.600%, 7/2/2015c | 221,199 | ||||||
| CIT Group, Inc. | ||||||||
| 232,740 | 7.000%, 5/1/2017 | 233,322 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
121
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Financials (0.9%) - continued | ||||||||
| Compagnie de Financement Foncier | ||||||||
| $225,000 | 2.125%, 4/22/2013c | $ | 226,915 | |||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014c | 228,247 | ||||||
| General Electric Capital Corporation | ||||||||
| 2,300,000 | 6.750%, 3/15/2032 | 2,603,871 | ||||||
| Icahn Enterprises, LP | ||||||||
| 235,000 | 8.000%, 1/15/2018 | 235,000 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 225,000 | 2.375%, 5/26/2015 | 230,270 | ||||||
| Morgan Stanley Dean Witter & Company | ||||||||
| 2,300,000 | 7.250%, 4/1/2032 | 2,633,249 | ||||||
| Prudential Financial, Inc. | ||||||||
| 2,300,000 | 6.200%, 11/15/2040 | 2,433,057 | ||||||
| Royal Bank of Canada | ||||||||
| 215,000 | 3.125%, 4/14/2015c | 220,227 | ||||||
| Toronto-Dominion Bank | ||||||||
| 220,000 | 2.200%, 7/29/2015c | 216,409 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,150,000 | 5.700%, 10/15/2040 | 1,145,013 | ||||||
| XL Capital, Ltd. | ||||||||
| 2,300,000 | 6.250%, 5/15/2027 | 2,265,100 | ||||||
Total Financials | 13,675,800 | |||||||
| Foreign Government (<0.1%) | ||||||||
| Kommunalbanken AS | ||||||||
| 225,000 | 2.750%, 5/5/2015c | 230,075 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 120,000 | 1.250%, 6/15/2012 | 121,020 | ||||||
Total Foreign Government | 351,095 | |||||||
| Mortgage-Backed Securities (0.2%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 875,000 | 6.000%, 1/1/2041d | 947,734 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 450,000 | 3.500%, 1/1/2026d | 453,094 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 875,000 | 4.500%, 1/1/2041d | 898,105 | ||||||
Total Mortgage-Backed Securities | 2,298,933 | |||||||
| Technology (0.1%) | ||||||||
| Freescale Semiconductor, Inc. | ||||||||
| 285,000 | 9.250%, 4/15/2018c | 313,500 | ||||||
| NXP BV/NXP Funding, LLC | ||||||||
| 250,000 | 9.750%, 8/1/2018c | 281,250 | ||||||
| Seagate HDD Cayman | ||||||||
| 340,000 | 7.750%, 12/15/2018c | 344,250 | ||||||
Total Technology | 939,000 | |||||||
| Transportation (<0.1%) | ||||||||
| Avis Budget Car Rental, LLC | ||||||||
| 340,000 | 8.250%, 1/15/2019c | 343,400 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 300,000 | 9.500%, 9/15/2014c | 326,625 | ||||||
Total Transportation | 670,025 | |||||||
| U.S. Government and Agencies (1.7%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 90,000 | Zero Coupon, 1/7/2012c | 89,245 | ||||||
| 90,000 | Zero Coupon, 1/7/2014c | 85,459 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 225,000 | 2.125%, 9/15/2015 | 225,971 | ||||||
| Federal Home Loan Banks | ||||||||
| 870,000 | 5.375%, 5/18/2016 | 998,114 | ||||||
| 1,300,000 | 5.000%, 11/17/2017 | 1,473,870 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 430,000 | 2.500%, 1/7/2014 | 447,211 | ||||||
| 595,000 | 4.875%, 6/13/2018 | 665,411 | ||||||
| 315,000 | 3.750%, 3/27/2019 | 326,078 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,355,000 | 0.375%, 12/28/2012 | 1,346,400 | ||||||
| 710,000 | 2.000%, 4/15/2013 | 712,797 | ||||||
| 325,000 | 4.375%, 10/15/2015 | 357,742 | ||||||
| 255,000 | 6.250%, 5/15/2029 | 312,850 | ||||||
| Tennessee Valley Authority | ||||||||
| 200,000 | 5.250%, 9/15/2039 | 211,443 | ||||||
| U.S. Treasury Bonds | ||||||||
| 375,000 | 4.625%, 2/15/2040 | 392,813 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 65,771 | 2.125%, 2/15/2040 | 69,614 | ||||||
| U.S. Treasury Notes | ||||||||
| 260,000 | 1.125%, 6/15/2013 | 262,132 | ||||||
| 1,745,000 | 1.750%, 1/31/2014 | 1,781,537 | ||||||
| 5,150,000 | 2.500%, 4/30/2015 | 5,324,214 | ||||||
| 475,000 | 1.250%, 10/31/2015 | 459,711 | ||||||
| 650,000 | 2.625%, 2/29/2016 | 667,113 | ||||||
| 1,550,000 | 3.250%, 3/31/2017 | 1,618,781 | ||||||
| 1,350,000 | 3.625%, 2/15/2020 | 1,401,046 | ||||||
| 2,940,000 | 3.500%, 5/15/2020 | 3,011,677 | ||||||
| 455,000 | 7.625%, 2/15/2025 | 645,247 | ||||||
| 1,275,000 | 4.375%, 5/15/2040 | 1,281,171 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 283,286 | 3.375%, 1/15/2012 | 296,145 | ||||||
| 315,587 | 0.625%, 4/15/2013 | 325,128 | ||||||
| 355,086 | 2.000%, 1/15/2014 | 381,218 | ||||||
| 297,796 | 1.625%, 1/15/2015 | 317,548 | ||||||
| 259,906 | 2.500%, 7/15/2016 | 291,703 | ||||||
| 332,397 | 2.625%, 7/15/2017 | 378,284 | ||||||
| 278,124 | 1.375%, 1/15/2020 | 289,032 | ||||||
| 75,416 | 2.375%, 1/15/2025 | 83,923 | ||||||
Total U.S. Government and Agencies | 26,530,628 | |||||||
| Utilities (0.1%) | ||||||||
| Energy Transfer Partners, LP | ||||||||
| 637,000 | 6.625%, 10/15/2036 | 671,535 | ||||||
| 1,150,000 | 7.500%, 7/1/2038 | 1,337,610 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Utilities (0.1%) - continued | ||||||||
| NRG Energy, Inc. | ||||||||
| $300,000 | 7.375%, 2/1/2016 | $ | 307,500 | |||||
Total Utilities | 2,316,645 | |||||||
Total Long-Term Fixed Income (cost $146,170,071) | 153,423,347 | |||||||
Short-Term Investments (8.5%)e | ||||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 74,345,000 | 0.090%, 1/14/2011f | 74,342,589 | ||||||
| 10,000,000 | 0.060%, 1/19/2011f | 9,999,700 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.090%, 1/10/2011f | 4,999,887 | ||||||
| 2,000,000 | 0.200%, 3/14/2011f,g | 1,999,216 | ||||||
| Merrill Lynch Repurchase Agreement | ||||||||
| 39,580,000 | 0.150%, 1/3/2011h | 39,580,000 | ||||||
| U.S. Treasury Bills | ||||||||
| 1,500,000 | 0.118%, 2/24/2011f,g | 1,499,741 | ||||||
| 2,500,000 | 0.100%, 3/10/2011f,g | 2,499,528 | ||||||
Total Short-Term Investments (at amortized cost) | 134,920,661 | |||||||
Total Investments (cost $1,576,056,736) 100.0% | $ | 1,592,080,373 | ||||||
Other Assets and Liabilities, Net (<0.1%) | (762,891 | ) | ||||||
Total Net Assets 100.0% | $ | 1,591,317,482 | ||||||
| a | Non-income producing security. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $11,363,078 or 0.7% of total net assets. |
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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. |
| f | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| g | At December 31, 2010, $5,998,485 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| h | Repurchase agreement dated December 31, 2010, $39,580,495 maturing January 3, 2011, collateralized by $40,371,687 U.S. Treasury Notes, 2.625% due April 30, 2016. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
| 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 | $ | 51,583,092 | ||
Gross unrealized depreciation | (35,634,248 | ) | ||
Net unrealized appreciation (depreciation) | $ | 15,948,844 | ||
Cost for federal income tax purposes | $ | 1,576,131,529 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 400,360,910 | 400,360,910 | — | — | ||||||||||||
Fixed Income Mutual Funds | 748,309,327 | 748,309,327 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 21,781,012 | 21,781,012 | — | — | ||||||||||||
Consumer Staples | 9,193,787 | 9,193,787 | — | — | ||||||||||||
Energy | 14,630,558 | 14,630,558 | — | — | ||||||||||||
Financials | 23,285,167 | 23,285,167 | — | — | ||||||||||||
Health Care | 21,524,572 | 21,524,572 | — | — | ||||||||||||
Industrials | 14,490,192 | 14,490,192 | — | — | ||||||||||||
Information Technology | 38,885,359 | 38,885,359 | — | — | ||||||||||||
Materials | 4,656,379 | 4,656,379 | — | — | ||||||||||||
Telecommunications Services | 3,050,256 | 3,050,256 | — | — | ||||||||||||
Utilities | 3,568,846 | 3,568,846 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 16,106,697 | — | 16,106,697 | — | ||||||||||||
Basic Materials | 6,605,512 | — | 6,605,512 | — | ||||||||||||
Capital Goods | 979,275 | — | 979,275 | — | ||||||||||||
Collateralized Mortgage Obligations | 21,485,695 | — | 21,485,695 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 32,359,470 | — | 32,359,470 | — | ||||||||||||
Communications Services | 6,664,036 | — | 6,664,036 | — | ||||||||||||
Consumer Cyclical | 5,219,419 | — | 5,219,419 | — | ||||||||||||
Consumer Non-Cyclical | 10,965,706 | — | 10,965,706 | — | ||||||||||||
Energy | 6,255,411 | — | 6,255,411 | — | ||||||||||||
Financials | 13,675,800 | — | 13,675,800 | — | ||||||||||||
Foreign Government | 351,095 | — | 351,095 | — | ||||||||||||
Mortgage-Backed Securities | 2,298,933 | — | 2,298,933 | — | ||||||||||||
Technology | 939,000 | — | 939,000 | — | ||||||||||||
Transportation | 670,025 | — | 670,025 | — | ||||||||||||
U.S. Government and Agencies | 26,530,628 | — | 26,530,628 | — | ||||||||||||
Utilities | 2,316,645 | — | 2,316,645 | — | ||||||||||||
Short-Term Investments | 134,920,661 | — | 134,920,661 | — | ||||||||||||
Total | $ | 1,592,080,373 | $ | 1,303,736,365 | $ | 288,344,008 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,404,693 | 1,404,693 | — | — | ||||||||||||
Total Asset Derivatives | $ | 1,404,693 | $ | 1,404,693 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 264,806 | 264,806 | — | — | ||||||||||||
Total Liability Derivatives | $ | 264,806 | $ | 264,806 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | (74 | ) | March 2011 | ($ | 5,655,796 | ) | ($ | 5,789,020 | ) | ($ | 133,224 | ) | ||||||||
S&P 400 Index Mini-Futures | (73 | ) | March 2011 | (6,477,108 | ) | (6,608,690 | ) | (131,582 | ) | |||||||||||
S&P 500 Index Futures | 224 | March 2011 | 68,763,307 | 70,168,000 | 1,404,693 | |||||||||||||||
Total Futures Contracts | $ | 1,139,887 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 1,404,693 | ||||
Total Equity Contracts | 1,404,693 | |||||
Total Asset Derivatives | $ | 1,404,693 | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 264,806 | ||||
Total Equity Contracts | 264,806 | |||||
| Total Liability Derivatives | $ | 264,806 | ||||
| * | 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, 2010, 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 | 10,075,699 | ||||
Total Equity Contracts | 10,075,699 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (477,134 | ) | |||
Total Credit Contracts | (477,134 | ) | ||||
Total | $ | 9,598,565 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | 331,034 | ||||
Total Equity Contracts | 331,034 | |||||
| Credit Contracts | ||||||
| Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 555,798 | ||||
Total Credit Contracts | 555,798 | |||||
Total | $ | 886,832 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | $ | 64,942,208 | 5.0 | % | N/A | N/A | N/A | |||||||||||||
Interest Rate Contracts | N/A | N/A | N/A | N/A | 2 | |||||||||||||||
Credit Contracts | N/A | N/A | $ | 2,273,214 | 0.2 | % | 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 Moderately Conservative Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Real Estate Securities | $ | 20,581,955 | $ | 2,649,583 | $ | 28,896 | 1,980,178 | $ | 28,695,550 | $ | 756,175 | |||||||||||||
Partner Small Cap Value | 18,563,033 | 1,160,466 | 14,448 | 1,262,322 | 24,064,028 | 213,762 | ||||||||||||||||||
Small Cap Stock | 14,943,231 | 1,426,982 | 21,672 | 1,614,844 | 20,449,739 | 6,926 | ||||||||||||||||||
Partner Mid Cap Value | 21,911,316 | 1,152,220 | 14,448 | 2,128,673 | 28,491,230 | 205,516 | ||||||||||||||||||
Mid Cap Stock | 33,656,035 | 2,042,862 | 7,528,896 | 2,925,908 | 35,852,618 | 149,454 | ||||||||||||||||||
Partner Worldwide Allocation | 32,456,561 | 31,409,568 | 57,793 | 8,156,721 | 71,557,285 | 922,752 | ||||||||||||||||||
Partner International Stock | 37,209,802 | 730,216 | — | 3,792,553 | 40,475,646 | 730,216 | ||||||||||||||||||
Large Cap Growth II | 33,851,497 | 6,421,318 | 1,483,294 | 5,342,525 | 37,077,121 | 102,241 | ||||||||||||||||||
Large Cap Value | 66,870,534 | 5,283,583 | 65,017 | 7,460,702 | 80,030,955 | 1,023,415 | ||||||||||||||||||
Large Cap Stock | 21,481,444 | 1,087,217 | 1,491,647 | 2,726,191 | 23,174,261 | 163,314 | ||||||||||||||||||
Equity Income Plus | 8,557,906 | 624,925 | 7,224 | 1,158,289 | 10,492,477 | 151,573 | ||||||||||||||||||
High Yield | 47,830,809 | 29,312,776 | 13,751,210 | 13,878,531 | 66,783,491 | 4,972,470 | ||||||||||||||||||
Income | 131,353,189 | 65,535,202 | 132,875 | 20,673,433 | 205,832,967 | 8,554,364 | ||||||||||||||||||
Limited Maturity Bond | 372,300,168 | 117,241,216 | 21,120,201 | 48,529,689 | 475,692,869 | 13,473,025 | ||||||||||||||||||
Total Value and Income Earned | 861,567,480 | 1,148,670,237 | 31,425,203 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (99.8%) | Value | ||||
Communications Equipment (10.3%) | ||||||
36,629 | Calix, Inc.a,b | $ | 619,030 | |||
46,452 | Cisco Systems, Inc.b | 939,724 | ||||
44,317 | QUALCOMM, Inc. | 2,193,248 | ||||
| Total Communications Equipment | 3,752,002 | |||||
Computers & Peripherals (12.4%) | ||||||
8,954 | Apple, Inc.b | 2,888,202 | ||||
29,256 | NetApp, Inc.b | 1,607,910 | ||||
| Total Computers & Peripherals | 4,496,112 | |||||
Consumer Discretionary (6.5%) | ||||||
21,483 | Coinstar, Inc.b | 1,212,501 | ||||
49,915 | GameStop Corporationa,b | 1,142,055 | ||||
| Total Consumer Discretionary | 2,354,556 | |||||
Electronic Equipment, Instruments & Components (6.8%) | ||||||
17,726 | Amphenol Corporation | 935,578 | ||||
13,628 | Dolby Laboratories, Inc.b | 908,988 | ||||
12,857 | DTS, Inc.b | 630,636 | ||||
| Total Electronic Equipment, Instruments & Components | 2,475,202 | |||||
Financials (2.0%) | ||||||
2,226 | CME Group, Inc. | 716,216 | ||||
Total Financials | 716,216 | |||||
Industrials (4.2%) | ||||||
25,132 | DigitalGlobe, Inc.b | 796,936 | ||||
28,800 | Iron Mountain, Inc. | 720,288 | ||||
| Total Industrials | 1,517,224 | |||||
Internet Software & Services (10.0%) | ||||||
7,607 | Equinix, Inc.b | 618,145 | ||||
2,334 | Google, Inc.b | 1,386,326 | ||||
31,762 | GSI Commerce, Inc.b | 736,878 | ||||
28,947 | Rackspace Hosting, Inc.a,b | 909,225 | ||||
| Total Internet Software & Services | 3,650,574 | |||||
IT Consulting & Services (5.2%) | ||||||
11,109 | Cognizant Technology Solutions Corporationb | 814,178 | ||||
16,775 | Global Payments, Inc. | 775,173 | ||||
16,765 | iSoftstone Holdings, Ltd.b | 304,620 | ||||
| Total IT Consulting & Services | 1,893,971 | |||||
Materials (2.5%) | ||||||
44,912 | STR Holdings, Inc.a,b | 898,240 | ||||
| Total Materials | 898,240 | |||||
Semiconductors & Semiconductor Equipment (11.0%) | ||||||
20,560 | Altera Corporation | 731,525 | ||||
25,021 | Broadcom Corporation | 1,089,664 | ||||
16,104 | Cavium Networks, Inc.a,b | 606,799 | ||||
17,873 | Linear Technology Corporation | 618,227 | ||||
33,048 | Xilinx, Inc. | 957,731 | ||||
| Total Semiconductors & Semiconductor Equipment | 4,003,946 | |||||
Software (23.1%) | ||||||
60,703 | Activision Blizzard, Inc. | 755,145 | ||||
12,775 | Citrix Systems, Inc.b | 873,938 | ||||
2,190 | CommVault Systems, Inc.b | 62,678 | ||||
25,646 | Microsoft Corporation | 716,036 | ||||
32,769 | Motricity, Inc.a,b | 608,520 | ||||
30,033 | Oracle Corporation | 940,033 | ||||
32,437 | RealD, Inc.b | 840,767 | ||||
9,308 | Salesforce.com, Inc.b | 1,228,656 | ||||
99,513 | Sonic Solutions, Inc.a,b | 1,492,695 | ||||
29,551 | SuccessFactors, Inc.b | 855,797 | ||||
| Total Software | 8,374,265 | |||||
Telecommunications Services (5.8%) | ||||||
14,276 | American Tower Corporationb | 737,213 | ||||
17,825 | SBA Communications Corporationb | 729,755 | ||||
38,132 | TW Telecom, Inc.b | 650,151 | ||||
Total Telecommunications Services | 2,117,119 | |||||
| Total Common Stock (cost $25,223,319) | 36,249,427 | |||||
Collateral Held for Securities Loaned (15.0%) | ||||||
5,439,525 | Thrivent Financial Securities Lending Trust | 5,439,525 | ||||
Total Collateral Held for Securities Loaned (cost $5,439,525) | 5,439,525 | |||||
Total Investments (cost $30,662,844) 114.8% | $ | 41,688,952 | ||||
Other Assets and Liabilities, Net (14.8%) | (5,383,924 | ) | ||||
Total Net Assets 100.0% | $ | 36,305,028 | ||||
| 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 10,566,761 | ||
Gross unrealized depreciation | (38,775 | ) | ||
Net unrealized appreciation (depreciation) | $ | 10,527,986 | ||
Cost for federal income tax purposes | $ | 31,160,966 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
Table of Contents
Partner Technology Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 3,752,002 | 3,752,002 | — | — | ||||||||||||
Computers & Peripherals | 4,496,112 | 4,496,112 | — | — | ||||||||||||
Consumer Discretionary | 2,354,556 | 2,354,556 | — | — | ||||||||||||
Electronic Equipment, Instruments & Components | 2,475,202 | 2,475,202 | — | — | ||||||||||||
Financials | 716,216 | �� | 716,216 | — | — | |||||||||||
Industrials | 1,517,224 | 1,517,224 | — | — | ||||||||||||
Internet Software & Services | 3,650,574 | 3,650,574 | — | — | ||||||||||||
IT Consulting & Services | 1,893,971 | 1,893,971 | — | — | ||||||||||||
Materials | 898,240 | 898,240 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 4,003,946 | 4,003,946 | — | — | ||||||||||||
Software | 8,374,265 | 8,374,265 | — | — | ||||||||||||
Telecommunications Services | 2,117,119 | 2,117,119 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 5,439,525 | 5,439,525 | — | — | ||||||||||||
Total | $ | 41,688,952 | $ | 41,688,952 | $ | — | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 3,353,411 | $ | 44,687,626 | $ | 42,601,512 | 5,439,525 | $ | 5,439,525 | $ | 43,053 | |||||||||||||
Total Value and Income Earned | 3,353,411 | 5,439,525 | 43,053 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
128
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.6%) | Value | ||||
Biotechnology (24.6%) | ||||||
19,040 | Amgen, Inc.a | $ | 1,045,296 | |||
15,843 | BioMarin Pharmaceutical, Inc.a | 426,652 | ||||
13,600 | Celgene Corporationa | 804,304 | ||||
4,800 | Genzyme Corporationa | 341,760 | ||||
4,233 | Human Genome Sciences, Inc.a | 101,126 | ||||
6,700 | InterMune, Inc.a | 243,880 | ||||
12,200 | Onyx Pharmaceuticals, Inc.a | 449,814 | ||||
14,400 | Savient Pharmaceuticals, Inc.a | 160,416 | ||||
5,243 | Targacept, Inc.a | 138,940 | ||||
10,845 | United Therapeutics Corporationa | 685,621 | ||||
| Total Biotechnology | 4,397,809 | |||||
Health Care Equipment (18.5%) | ||||||
14,888 | Dexcom, Inc.a | 203,221 | ||||
15,289 | Given Imaging, Ltd.a | 223,831 | ||||
19,800 | Medtronic, Inc. | 734,382 | ||||
18,000 | St. Jude Medical, Inc.a | 769,500 | ||||
6,900 | Stryker Corporation | 370,530 | ||||
17,147 | Thoratec Corporationa | 485,603 | ||||
7,467 | Varian Medical Systems, Inc.a | 517,314 | ||||
| Total Health Care Equipment | 3,304,381 | |||||
Health Care Supplies (2.2%) | ||||||
20,587 | Align Technology, Inc.a | 402,270 | ||||
| Total Health Care Supplies | 402,270 | |||||
Life Sciences Tools & Services (1.0%) | ||||||
3,200 | Life Technologies Corporationa | 177,600 | ||||
| Total Life Sciences Tools & Services | 177,600 | |||||
Pharmaceuticals (51.3%) | ||||||
21,400 | Abbott Laboratories | 1,025,274 | ||||
6,592 | Dr. Reddy’s Laboratories, Ltd. ADR | 243,640 | ||||
1,500 | Egis plc | 144,849 | ||||
38,900 | Hikma Pharmaceuticals plc | 493,085 | ||||
3,200 | Hospira, Inc.a | 178,208 | ||||
36,100 | Merck & Company, Inc. | 1,301,044 | ||||
36,600 | Mylan, Inc.a | 773,358 | ||||
4,900 | Nichi-iko Pharmaceutical Company, Ltd. | 171,587 | ||||
22,000 | Novartis AG | 1,295,042 | ||||
7,440 | Novo Nordisk AS ADR | 837,521 | ||||
13,020 | Pharmstandard GDRa | 371,360 | ||||
7,010 | Roche Holding AG | 1,027,616 | ||||
4,000 | Sawai Pharmaceutical Company, Ltd. | 326,846 | ||||
15,600 | Teva Pharmaceutical Industries, Ltd. ADR | 813,228 | ||||
2,800 | Towa Pharmaceutical Company, Ltd. | 155,329 | ||||
| Total Pharmaceuticals | 9,157,987 | |||||
Total Common Stock (cost $14,904,670) | 17,440,047 | |||||
Total Investments (cost $14,904,670) 97.6% | $ | 17,440,047 | ||||
| Other Assets and Liabilities, Net 2.4% | 428,136 | |||||
| Total Net Assets 100.0% | $ | 17,868,183 | ||||
| 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 | $ | 2,638,795 | ||
Gross unrealized depreciation | (104,022 | ) | ||
Net unrealized appreciation (depreciation) | $ | 2,534,773 | ||
Cost for federal income tax purposes | $ | 14,905,274 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
129
Table of Contents
Partner Healthcare Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 4,397,809 | 4,397,809 | — | — | ||||||||||||
Health Care Equipment | 3,304,381 | 3,304,381 | — | — | ||||||||||||
Health Care Supplies | 402,270 | 402,270 | — | — | ||||||||||||
Life Sciences Tools & Services | 177,600 | 177,600 | — | — | ||||||||||||
Pharmaceuticals | 9,157,987 | 5,543,633 | 3,614,354 | — | ||||||||||||
Total | $ | 17,440,047 | $ | 13,825,693 | $ | 3,614,354 | $ | — | ||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | (3,452 | ) | |||
Total Foreign Exchange Contracts | (3,452 | ) | ||||
Total | ($ | 3,452 | ) | |||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 10,474 | 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.
130
Table of Contents
Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (90.7%) | Value | ||||
Coal & Consumable Fuels (2.9%) | ||||||
1,050 | Arch Coal, Inc. | $ | 36,813 | |||
2,840 | CONSOL Energy, Inc. | 138,421 | ||||
210 | Patriot Coal Corporationa | 4,068 | ||||
7,620 | Peabody Energy Corporation | 487,527 | ||||
22,594 | Uranium Energy Corporationa | 136,468 | ||||
11,297 | Uranium Energy Corporation Warrants, $3.95, expires 10/22/2011a,b | 23,611 | ||||
| Total Coal & Consumable Fuels | 826,908 | |||||
Financials (0.4%) | ||||||
8,700 | Sprott Physical Silver Trusta | 122,409 | ||||
| Total Financials | 122,409 | |||||
Industrials (0.6%) | ||||||
1,450 | Aegean Marine Petroleum Network, Inc. | 15,124 | ||||
3,000 | Saipem SPA | 148,125 | ||||
| Total Industrials | 163,249 | |||||
Integrated Oil & Gas (19.7%) | ||||||
10,580 | Chevron Corporation | 965,425 | ||||
4,700 | Coastal Energy Companya | 28,645 | ||||
4,830 | ConocoPhillips | 328,923 | ||||
520 | Eni SPA ADR | 22,745 | ||||
10,362 | Exxon Mobil Corporation | 757,669 | ||||
5,150 | Hess Corporation | 394,181 | ||||
1,690 | Husky Energy, Inc. | 45,127 | ||||
10,580 | Marathon Oil Corporation | 391,777 | ||||
5,970 | Murphy Oil Corporation | 445,063 | ||||
8,860 | Occidental Petroleum Corporation | 869,166 | ||||
6,670 | Petroleo Brasileiro SA ADR | 252,393 | ||||
20,392 | Suncor Energy, Inc. | 785,081 | ||||
6,910 | Total SA ADR | 369,547 | ||||
| Total Integrated Oil & Gas | 5,655,742 | |||||
Materials (9.5%) | ||||||
200 | Alcoa, Inc. | 3,078 | ||||
2,840 | Aluminum Corporation of China, Ltd. ADRa | 64,724 | ||||
3,570 | Barrick Gold Corporation | 190,725 | ||||
5,530 | BHP Billiton, Ltd. | 257,153 | ||||
1,170 | E.I. du Pont de Nemours and Company | 58,360 | ||||
24,000 | Eldorado Gold Corporation | 446,545 | ||||
1,838 | Fibria Celulose SA ADRa | 29,408 | ||||
2,480 | First Quantum Minerals, Ltd. | 269,375 | ||||
5,680 | Gammon Gold, Inc.a | 46,386 | ||||
9,530 | Goldcorp, Inc. | 439,743 | ||||
4,640 | HudBay Minerals, Inc. | 83,859 | ||||
200 | Intrepid Potash, Inc.a | 7,458 | ||||
3,620 | Newcrest Mining, Ltd. | 150,154 | ||||
140 | Newmont Mining Corporation | 8,600 | ||||
620 | Praxair, Inc. | 59,191 | ||||
6,000 | Southern Copper Corporation | 292,440 | ||||
9,340 | Vale SA SP ADR | 322,884 | ||||
| Total Materials | 2,730,083 | |||||
Oil & Gas Drilling (7.1%) | ||||||
2,880 | Diamond Offshore Drilling, Inc. | 192,586 | ||||
6,910 | Helmerich & Payne, Inc. | 334,997 | ||||
5,560 | Nabors Industries, Ltd.a | 130,438 | ||||
11,400 | Noble Corporation | 407,778 | ||||
6,790 | Pride International, Inc.a | 224,070 | ||||
500 | Rowan Companies, Inc.a | 17,455 | ||||
136 | Seahawk Drilling, Inc.a | 1,217 | ||||
10,630 | Transocean, Ltd.a | 738,891 | ||||
| Total Oil & Gas Drilling | 2,047,432 | |||||
Oil & Gas Equipment & Services (16.8%) | ||||||
2,270 | Acergy SA ADR | 55,252 | ||||
8,196 | Baker Hughes, Inc. | 468,565 | ||||
14,490 | Cameron International Corporationa | 735,078 | ||||
7,720 | Dresser-Rand Group, Inc.a | 328,795 | ||||
4,350 | Dril-Quip, Inc.a | 338,082 | ||||
5,410 | FMC Technologies, Inc.a | 481,003 | ||||
13,540 | Halliburton Company | 552,838 | ||||
14,870 | National Oilwell Varco, Inc. | 1,000,008 | ||||
6,936 | Schlumberger, Ltd. | 579,156 | ||||
790 | Technip SA ADR | 73,470 | ||||
1,390 | Tesco Corporationa | 22,073 | ||||
1,720 | Trican Well Service, Ltd. | 34,839 | ||||
7,150 | Weatherford International, Ltd.a | 163,020 | ||||
| Total Oil & Gas Equipment & Services | 4,832,179 | |||||
Oil & Gas Exploration & Production (33.3%) | ||||||
7,420 | Anadarko Petroleum Corporation | 565,107 | ||||
9,635 | Apache Corporation | 1,148,781 | ||||
3,200 | Berry Petroleum Company | 139,840 | ||||
5,520 | Cabot Oil & Gas Corporation | 208,932 | ||||
11,590 | Canadian Natural Resources, Ltd. | 516,963 | ||||
1,620 | Carrizo Oil & Gas, Inc.a | 55,874 | ||||
9,060 | Cenovus Energy, Inc. | 303,245 | ||||
182 | Chinook Energy, Inc.a | 392 | ||||
2,530 | Cimarex Energy Company | 223,981 | ||||
1,570 | CNOOC, Ltd. ADR | 374,241 | ||||
12,830 | Crew Energy, Inc.a | 246,458 | ||||
2,110 | Denbury Resources, Inc.a | 40,280 | ||||
9,100 | Devon Energy Corporation | 714,441 | ||||
9,530 | EnCana Corporation | 278,817 | ||||
10,370 | EOG Resources, Inc. | 947,922 | ||||
5,830 | EQT Corporation | 261,417 | ||||
5,480 | EXCO Resources, Inc. | 106,421 | ||||
2,280 | Forest Oil Corporationa | 86,572 | ||||
2,200 | MEG Energy Corporationa | 100,652 | ||||
4,490 | Newfield Exploration Companya | 323,774 | ||||
4,980 | Nexen, Inc. | 114,195 | ||||
240 | Niko Resources, Ltd. | 24,905 | ||||
5,290 | Noble Energy, Inc. | 455,363 | ||||
2,130 | Pan Orient Energy Corporationa | 14,246 | ||||
600 | Paramount Resources, Ltd.a | 19,117 | ||||
2,377 | PetroBakken Energy, Ltd. | 51,900 | ||||
2,530 | Pioneer Natural Resources Company | 219,655 | ||||
9,530 | Progress Energy Resources Corporation | 121,725 | ||||
8,670 | Range Resources Corporation | 389,976 | ||||
5,000 | Southwestern Energy Companya | 187,150 | ||||
40,780 | Talisman Energy, Inc. | 907,225 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
131
Table of Contents
Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (90.7%) | Value | ||||||
| Oil & Gas Exploration & Production (33.3%) - continued | |||||||
| 3,570 | Whiting Petroleum Corporationa | $ | 418,368 | |||||
| Total Oil & Gas Exploration & Production | 9,567,935 | |||||||
| Oil & Gas Refining & Marketing (0.2%) | |||||||
| 2,060 | Valero Energy Corporation | 47,627 | ||||||
| Total Oil & Gas Refining & Marketing | 47,627 | |||||||
| Oil & Gas Storage & Transportation (0.2%) | |||||||
| 1,880 | Williams Companies, Inc. | 46,474 | ||||||
| Total Oil & Gas Storage & Transportation | 46,474 | |||||||
| Total Common Stock (cost $21,740,501) | 26,040,038 | |||||||
| Total Investments (cost $21,740,501) 90.7% | $ | 26,040,038 | ||||||
| Other Assets and Liabilities, Net 9.3% | 2,659,373 | |||||||
| Total Net Assets 100.0% | $ | 28,699,411 | ||||||
| a | Non-income producing security. |
| b | Security is fair valued as discussed in item 2(A) 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 | $ | 5,129,508 | ||
Gross unrealized depreciation | (867,129 | ) | ||
Net unrealized appreciation (depreciation) | $ | 4,262,379 | ||
Cost for federal income tax purposes | $ | 21,777,659 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 826,908 | 803,297 | — | 23,611 | ||||||||||||
Financials | 122,409 | 122,409 | — | — | ||||||||||||
Industrials | 163,249 | 15,124 | 148,125 | — | ||||||||||||
Integrated Oil & Gas | 5,655,742 | 4,796,889 | 858,853 | — | ||||||||||||
Materials | 2,730,083 | 846,143 | 1,883,940 | — | ||||||||||||
Oil & Gas Drilling | 2,047,432 | 2,047,432 | — | — | ||||||||||||
Oil & Gas Equipment & Services | 4,832,179 | 4,797,340 | 34,839 | — | ||||||||||||
Oil & Gas Exploration & Production | 9,567,935 | 6,868,095 | 2,699,840 | — | ||||||||||||
Oil & Gas Refining & Marketing | 47,627 | 47,627 | — | — | ||||||||||||
Oil & Gas Storage & Transportation | 46,474 | 46,474 | — | — | ||||||||||||
Total | $ | 26,040,038 | $ | 20,390,830 | $ | 5,625,597 | $ | 23,611 | ||||||||
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Partner Natural Resources Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Common Stock Coal & Consumable Fuels | — | — | 23,611 | — | — | — | — | 23,611 | ||||||||||||||||||||||||
Total | $ | — | $ | — | $ | 23,611 | $ | — | $ | — | $ | — | $ | — | $ | 23,611 | ||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $23,611. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
132
Table of Contents
Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 2,595 | ||||
Total Foreign Exchange Contracts | 2,595 | |||||
Total | $ | 2,595 | ||||
The following table presents Partner Natural Resources Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 4,223 | <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.
133
Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (96.5%) | Value | ||||||
| Brazil (17.9%) | |||||||
| 65,072 | Banco Bradesco SA ADR | $ | 1,320,311 | |||||
| 17,400 | Lojas Renner SA | 591,181 | ||||||
| 22,000 | Multiplan Empreendimentos Imobiliarios SA | 489,036 | ||||||
| 45,500 | Petroleo Brasileiro SA PREF ADR | 1,554,736 | ||||||
| 13,300 | Souza Cruz SA | 724,209 | ||||||
| 14,850 | Ultrapar Participacoes SA | 940,202 | ||||||
| 55,947 | Vale SA SP PREF ADR | 1,690,718 | ||||||
| Total Brazil | 7,310,393 | |||||||
| Chile (1.8%) | |||||||
| 7,800 | Banco Santander Chile SA ADR | 729,066 | ||||||
| Total Chile | 729,066 | |||||||
| China (3.0%) | |||||||
| 931,000 | PetroChina Company, Ltd. | 1,222,788 | ||||||
| Total China | 1,222,788 | |||||||
| Hong Kong (10.1%) | |||||||
| 205,000 | AIA Group, Ltd.a | 576,272 | ||||||
| 157,000 | China Mobile, Ltd. | 1,556,632 | ||||||
| 143,000 | Hang Lung Group, Ltd. | 939,533 | ||||||
| 54,500 | Swire Pacific, Ltd., Class A | 895,436 | ||||||
| 60,000 | Swire Pacific, Ltd., Class B | 177,457 | ||||||
| Total Hong Kong | 4,145,330 | |||||||
| Hungary (2.7%) | |||||||
| 5,371 | Richter Gedeon Nyrt | 1,098,184 | ||||||
| Total Hungary | 1,098,184 | |||||||
| India (12.8%) | |||||||
| 60,000 | Bharti Airtel, Ltd. | 481,356 | ||||||
| 6,500 | GlaxoSmithKline Pharmaceuticals, Ltd. | 339,716 | ||||||
| 2,200 | Grasim Industries, Ltd. | 115,222 | ||||||
| 4,350 | Grasim Industries, Ltd. GDR | 220,806 | ||||||
| 16,000 | Hero Honda Motors, Ltd. | 711,341 | ||||||
| 70,000 | Hindustan Unilever, Ltd. | 489,764 | ||||||
| 61,370 | Housing Development Finance Corporation | 999,116 | ||||||
| 7,500 | ICICI Bank, Ltd. | 191,933 | ||||||
| 5,000 | ICICI Bank, Ltd. ADR | 253,200 | ||||||
| 11,000 | Infosys Technologies, Ltd. | 845,914 | ||||||
| 3,900 | Infosys Technologies, Ltd. ADR | 296,712 | ||||||
| 9,947 | Ultra Tech Cement, Ltd. | 241,147 | ||||||
| 1,242 | Ultra Tech Cement, Ltd. GDR | 60,232 | ||||||
| Total India | 5,246,459 | |||||||
| Indonesia (2.3%) | |||||||
| 156,000 | PT Astra International Tbk | 942,774 | ||||||
| Total Indonesia | 942,774 | |||||||
| Israel (0.7%) | |||||||
| 6,200 | Check Point Software | |||||||
| Technologies, Ltd.a | 286,812 | |||||||
| Total Israel | 286,812 | |||||||
| Luxembourg (2.2%) | |||||||
| 18,100 | Tenaris SA ADR | 886,538 | ||||||
| Total Luxembourg | 886,538 | |||||||
| Malaysia (2.8%) | |||||||
| 320,000 | CIMB Group Holdings Berhad | 882,250 | ||||||
| 66,500 | Public Bank Berhad | 280,363 | ||||||
| Total Malaysia | 1,162,613 | |||||||
| Mexico (7.3%) | |||||||
| 21,200 | Fomento Economico Mexicano SAB de CV ADR | 1,185,504 | ||||||
| 6,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 383,860 | ||||||
| 221,000 | Grupo Financiero Banorte SAB de CV ADR | 1,050,421 | ||||||
| 120,300 | Organizacion Soriana SAB de CV | 384,765 | ||||||
| Total Mexico | 3,004,550 | |||||||
| Philippines (2.1%) | |||||||
| 1,213,700 | Ayala Land, Inc. | 456,283 | ||||||
| 312,897 | Bank of the Philippine Islands | 421,129 | ||||||
| Total Philippines | 877,412 | |||||||
| Poland (1.5%) | |||||||
| 10,290 | Bank Pekao SA | 622,621 | ||||||
| Total Poland | 622,621 | |||||||
| Russia (2.5%) | |||||||
| 18,400 | LUKOIL ADR | 1,040,943 | ||||||
| Total Russia | 1,040,943 | |||||||
| South Africa (5.1%) | |||||||
| 52,581 | Massmart Holdings, Ltd. | 1,171,128 | ||||||
| 82,800 | Truworths International, Ltd. | 900,953 | ||||||
| Total South Africa | 2,072,081 | |||||||
| South Korea (5.7%) | |||||||
| 2,250 | Samsung Electronics Company, Ltd. | 1,284,325 | ||||||
| 1,570 | Samsung Electronics Company, Ltd. GDR | 452,209 | ||||||
| 1,130 | Shinsegae Company, Ltd. | 611,349 | ||||||
| Total South Korea | 2,347,883 | |||||||
| Taiwan (5.1%) | |||||||
| 220,000 | Taiwan Mobile Company, Ltd. | 525,748 | ||||||
| 635,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 1,546,993 | ||||||
| Total Taiwan | 2,072,741 | |||||||
| Thailand (4.1%) | |||||||
| 134,700 | PTT Exploration & Production pcl | 749,717 | ||||||
| 78,600 | Siam Cement pcl | 940,861 | ||||||
| Total Thailand | 1,690,578 | |||||||
| Turkey (4.4%) | |||||||
| 224,833 | Akbank TAS | 1,245,508 | ||||||
| 16,299 | BIM Birlesik Magazalar AS | 552,987 | ||||||
| Total Turkey | 1,798,495 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (96.5%) | Value | ||||
United Kingdom (2.4%) | ||||||
| 35,750 | Standard Chartered plc | $ | 965,088 | |||
| Total United Kingdom | 965,088 | |||||
| Total Common Stock (cost $32,189,683) | 39,523,349 | |||||
| Total Investments (cost $32,189,683) 96.5% | $ | 39,523,349 | ||||
| Other Assets and Liabilities, Net 3.5% | 1,420,323 | |||||
| Total Net Assets 100.0% | $ | 40,943,672 | ||||
| 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 | $ | 7,542,372 | ||
Gross unrealized depreciation | (499,355 | ) | ||
Net unrealized appreciation (depreciation) | $ | 7,043,017 | ||
Cost for federal income tax purposes | $ | 32,480,332 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 4,142,363 | — | 4,142,363 | — | ||||||||||||
Consumer Staples | 4,123,592 | 1,185,504 | 2,938,088 | — | ||||||||||||
Energy | 6,394,924 | 3,482,217 | 2,912,707 | — | ||||||||||||
Financials | 10,933,094 | 2,302,577 | 8,630,517 | — | ||||||||||||
Health Care | 1,437,900 | — | 1,437,900 | — | ||||||||||||
Industrials | 3,524,057 | 664,898 | 2,859,159 | — | ||||||||||||
Information Technology | 4,712,965 | 1,035,733 | 3,677,232 | — | ||||||||||||
Materials | 1,690,718 | 1,690,718 | — | — | ||||||||||||
Telecommunications Services | 2,563,736 | — | 2,563,736 | — | ||||||||||||
Total | $ | 39,523,349 | $ | 10,361,647 | $ | 29,161,702 | $ | — | ||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | (14,489 | ) | |||
Total Foreign Exchange Contracts | (14,489 | ) | ||||
Total | ($ | 14,489 | ) | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 26,734 | 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.
136
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (99.3%) | Value | ||||||
| Diversified Real Estate Activities (0.1%) | |||||||
| 15,000 | Brookfield Asset Management, Inc. | $ | 499,350 | |||||
| Total Diversified Real Estate Activities | 499,350 | |||||||
| Diversified REITS (6.8%) | |||||||
| 41,852 | Colonial Properties Trust | 755,429 | ||||||
| 9,800 | Coresite Realty Corporation | 133,672 | ||||||
| 20,425 | Cousins Properties, Inc. | 170,344 | ||||||
| 9,000 | Excel Trust, Inc. | 108,900 | ||||||
| 113,295 | Liberty Property Trusta | 3,616,376 | ||||||
| 16,500 | PS Business Parks, Inc. | 919,380 | ||||||
| 17,600 | Retail Opportunity Investments Corporation | 174,416 | ||||||
| 185,175 | Vornado Realty Trust | 15,430,633 | ||||||
| 32,920 | Washington Real Estate Investment Trusta | 1,020,191 | ||||||
| Total Diversified REITS | 22,329,341 | |||||||
| Financials (0.1%) | |||||||
| 20,082 | Cohen & Steers Quality Income Realty Fund, Inc. | 173,709 | ||||||
| Total Financials | 173,709 | |||||||
| Hotels, Resorts & Cruise Lines (0.9%) | |||||||
| 10,700 | Gaylord Entertainment Companya,b | 384,558 | ||||||
| 10,000 | Marriott International, Inc. | 415,400 | ||||||
| 35,221 | Starwood Hotels & Resorts Worldwide, Inc. | 2,140,732 | ||||||
| 6,000 | Wyndham Worldwide Corporation | 179,760 | ||||||
| Total Hotels, Resorts & Cruise Lines | 3,120,450 | |||||||
| Industrial REITS (5.0%) | |||||||
| 163,474 | AMB Property Corporation | 5,183,761 | ||||||
| 221,353 | DCT Industrial Trust, Inc. | 1,175,385 | ||||||
| 57,053 | DuPont Fabros Technology, Inc.a | 1,213,517 | ||||||
| 27,000 | EastGroup Properties, Inc. | 1,142,640 | ||||||
| 20,000 | First Industrial Realty Trust, Inc.a,b | 175,200 | ||||||
| 38,431 | First Potomac Realty Trust | 646,409 | ||||||
| 477,735 | ProLogis | 6,898,493 | ||||||
| Total Industrial REITS | 16,435,405 | |||||||
| Mortgage REITS (1.2%) | |||||||
| 14,950 | Apollo Commercial Real Estate Finance, Inc. | 244,432 | ||||||
| 5,000 | Capstead Mortgage Corporation | 62,950 | ||||||
| 126,800 | Cypress Sharpridge Investments, Inc. | 1,636,988 | ||||||
| 24,800 | Dynex Capital, Inc. | 270,816 | ||||||
| 53,100 | Invesco Mortgage Capital, Inc. | 1,159,704 | ||||||
| 6,500 | Starwood Property Trust, Inc. | 139,620 | ||||||
| 49,650 | Two Harbors Investment Corporation | 486,074 | ||||||
| Total Mortgage REITS | 4,000,584 | |||||||
| Office REITS (16.1%) | |||||||
| 63,000 | Alexandria Real Estate Equities, Inc. | 4,615,380 | ||||||
| 145,017 | BioMed Realty Trust, Inc. | 2,704,567 | ||||||
| 164,500 | Boston Properties, Inc. | 14,163,450 | ||||||
| 164,940 | Brandywine Realty Trust | 1,921,551 | ||||||
| 24,402 | CommonWealth REIT | 622,495 | ||||||
| 69,955 | Corporate Office Properties Trust | 2,444,927 | ||||||
| 127,924 | Digital Realty Trust, Inc.a | 6,593,203 | ||||||
| 139,500 | Douglas Emmett, Inc.a | 2,315,700 | ||||||
| 198,500 | Duke Realty Corporation | 2,473,310 | ||||||
| 18,500 | Government Properties Income Trust | 495,615 | ||||||
| 70,300 | Highwoods Properties, Inc. | 2,239,055 | ||||||
| 67,061 | Kilroy Realty Corporation | 2,445,715 | ||||||
| 45,558 | Lexington Realty Trust | 362,186 | ||||||
| 84,475 | Mack-Cali Realty Corporation | 2,792,744 | ||||||
| 24,800 | Piedmont Office Realty Trust, Inc.a | 499,472 | ||||||
| 93,299 | SL Green Realty Corporation | 6,298,615 | ||||||
| Total Office REITS | 52,987,985 | |||||||
| Real Estate Operating Companies (0.9%) | |||||||
| 104,300 | Brookfield Properties Corporationa | 1,828,379 | ||||||
| 63,940 | Forest City Enterprises, Inc.a,b | 1,067,159 | ||||||
| Total Real Estate Operating Companies | 2,895,538 | |||||||
| Residential REITS (17.8%) | |||||||
| 92,600 | American Campus Communities, Inc. | 2,940,976 | ||||||
| 128,803 | Apartment Investment & Management Company | 3,328,270 | ||||||
| 38,400 | Associated Estates Realty Corporation | 587,136 | ||||||
| 91,340 | AvalonBay Communities, Inc. | 10,280,317 | ||||||
| 56,977 | BRE Properties, Inc. | 2,478,499 | ||||||
| 84,937 | Camden Property Trust | 4,584,899 | ||||||
| 60,000 | Campus Crest Communities, Inc.a | 841,200 | ||||||
| 36,000 | Education Realty Trust, Inc. | 279,720 | ||||||
| 49,015 | Equity Lifestyle Properties, Inc. | 2,741,409 | ||||||
| 303,950 | Equity Residential | 15,790,203 | ||||||
| 45,300 | Essex Property Trust, Inc. | 5,174,166 | ||||||
| 36,300 | Home Properties, Inc.a | 2,014,287 | ||||||
| 31,412 | Mid-America Apartment Communities, Inc. | 1,994,348 | ||||||
| 47,076 | Post Properties, Inc. | 1,708,859 | ||||||
| 6,000 | Sun Communities, Inc. | 199,860 | ||||||
| 163,431 | UDR, Inc. | 3,843,897 | ||||||
| Total Residential REITS | 58,788,046 | |||||||
| Retail REITS (25.0%) | |||||||
| 54,078 | Acadia Realty Trust | 986,383 | ||||||
| 6,450 | Agree Realty Corporation | 168,925 | ||||||
| 144,780 | CBL & Associates Properties, Inc.a | 2,533,650 | ||||||
| 198,160 | Developers Diversified Realty Corporation | 2,792,074 | ||||||
| 33,181 | Equity One, Inc.a | 603,231 | ||||||
| 83,120 | Federal Realty Investment Trust | 6,477,542 | ||||||
| 376,450 | General Growth Properties, Inc. | 5,827,446 | ||||||
| 59,424 | Glimcher Realty Trust | 499,162 | ||||||
| 43,300 | Inland Real Estate Corporation | 381,040 | ||||||
| 342,225 | Kimco Realty Corporation | 6,173,739 | ||||||
| 60,100 | Kite Realty Group Trust | 325,141 | ||||||
| 142,242 | Macerich Company | 6,738,003 | ||||||
| 85,100 | National Retail Properties, Inc.a | 2,255,150 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (99.3%) | Value | ||||||
| Retail REITS (25.0%) - continued | |||||||
| 17,300 | Pennsylvania Real Estate Investment Trusta | $ | 251,369 | |||||
| 39,486 | Ramco-Gershenson Properties Trust | 491,601 | ||||||
| 29,425 | Realty Income Corporationa | 1,006,335 | ||||||
| 120,100 | Regency Centers Corporation | 5,073,024 | ||||||
| 8,500 | Saul Centers, Inc. | 402,475 | ||||||
| 316,390 | Simon Property Group, Inc. | 31,477,641 | ||||||
| 48,851 | Tanger Factory Outlet Centers, Inc. | 2,500,683 | ||||||
| 63,000 | Taubman Centers, Inc. | 3,180,240 | ||||||
| 88,700 | Weingarten Realty Investorsa | 2,107,512 | ||||||
| Total Retail REITS | 82,252,366 | |||||||
| Specialized REITS (25.4%) | |||||||
| 61,124 | Ashford Hospitality Trustb | 589,847 | ||||||
| 3,095 | Chatham Lodging Trust | 53,389 | ||||||
| 17,050 | Chesapeake Lodging Trust | 320,711 | ||||||
| 41,250 | Cogdell Spencer, Inc. | 239,250 | ||||||
| 136,493 | DiamondRock Hospitality Companyb | 1,637,916 | ||||||
| 46,236 | Entertainment Properties Trust | 2,138,415 | ||||||
| 108,435 | Extra Space Storage, Inc. | 1,886,769 | ||||||
| 47,400 | FelCor Lodging Trust, Inc.b | 333,696 | ||||||
| 306,029 | Health Care Property Investors, Inc. | 11,258,807 | ||||||
| 140,974 | Health Care REIT, Inc.a | 6,716,001 | ||||||
| 48,875 | Healthcare Realty Trust, Inc. | 1,034,684 | ||||||
| 152,300 | Hersha Hospitality Trust | 1,005,180 | ||||||
| 75,355 | Hospitality Properties Trust | 1,736,179 | ||||||
| 701,404 | Host Hotels & Resorts, Inc. | 12,534,089 | ||||||
| 73,738 | LaSalle Hotel Properties | 1,946,683 | ||||||
| 6,200 | LTC Properties, Inc. | 174,096 | ||||||
| 60,778 | Medical Properties Trust, Inc. | 658,226 | ||||||
| 130,525 | Nationwide Health Properties, Inc. | 4,748,499 | ||||||
| 71,700 | Omega Healthcare Investors, Inc. | 1,608,948 | ||||||
| 19,050 | Pebblebrook Hotel Trust | 387,096 | ||||||
| 45,609 | Plum Creek Timber Company, Inc.a | 1,708,057 | ||||||
| 150,032 | Public Storage, Inc. | 15,216,245 | ||||||
| 25,300 | Rayonier, Inc. REIT | 1,328,756 | ||||||
| 9,683 | Sabra Healthcare REIT, Inc. | 178,167 | ||||||
| 126,256 | Senior Housing Property Trust | 2,770,057 | ||||||
| 9,700 | Sovran Self Storage, Inc. | 357,057 | ||||||
| 57,500 | Strategic Hotel Capital, Inc.b | 304,175 | ||||||
| 111,400 | Sunstone Hotel Investors, Inc.b | 1,150,762 | ||||||
| 68,475 | U-Store-It Trust | 652,567 | ||||||
| 170,759 | Ventas, Inc. | 8,961,432 | ||||||
| Total Specialized REITS | 83,635,756 | |||||||
Total Common Stock (cost $299,007,523) | 327,118,530 | |||||||
| Principal Amount | Long-Term Fixed Income (0.1%) | |||||||
| Collateralized Mortgage Obligations (0.1%) | |||||||
| Countrywide Home Loans, Inc. | ||||||||
| 49,382 | 4.241%, 3/20/2036 | 48,896 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 113,277 | 5.888%, 6/25/2036 | 104,623 | ||||||
| Impac Secured Assets Corporation | ||||||||
| $161,114 | 0.371%, 2/25/2037c | 84,124 | ||||||
| Total Collateralized Mortgage Obligations | 237,643 | |||||||
Total Long-Term Fixed Income (cost $312,453) | 237,643 | |||||||
| Shares | Collateral Held for Securities Loaned (8.6%) | |||||||
| 28,278,375 | Thrivent Financial Securities Lending Trust | 28,278,375 | ||||||
Total Collateral Held for Securities Loaned (cost $28,278,375) | 28,278,375 | |||||||
| Principal Amount | Short-Term Investments (0.3%)d | |||||||
| 1,065,000 | Old Line Funding, LLC 0.170%, 1/3/2011e | 1,064,990 | ||||||
Total Short-Term Investments (at amortized cost) | 1,064,990 | |||||||
Total Investments (cost $328,663,341) 108.3% | $ | 356,699,538 | ||||||
| Other Assets and Liabilities, Net (8.3%) | (27,248,887 | ) | ||||||
| Total Net Assets 100.0% | $ | 329,450,651 | ||||||
| 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 | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 51,885,865 | ||
Gross unrealized depreciation | (24,277,476 | ) | ||
Net unrealized appreciation (depreciation) | $ | 27,608,389 | ||
Cost for federal income tax purposes | $ | 329,091,149 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 Real Estate Activities | 499,350 | 499,350 | — | — | ||||||||||||
Diversified REITS | 22,329,341 | 22,329,341 | — | — | ||||||||||||
Financials | 173,709 | 173,709 | — | — | ||||||||||||
Hotels, Resorts & Cruise Lines | 3,120,450 | 3,120,450 | — | — | ||||||||||||
Industrial REITS | 16,435,405 | 16,435,405 | — | — | ||||||||||||
Mortgage REITS | 4,000,584 | 4,000,584 | — | — | ||||||||||||
Office REITS | 52,987,985 | 52,987,985 | — | — | ||||||||||||
Real Estate Operating Companies | 2,895,538 | 2,895,538 | — | — | ||||||||||||
Residential REITS | 58,788,046 | 58,788,046 | — | — | ||||||||||||
Retail REITS | 82,252,366 | 82,252,366 | — | — | ||||||||||||
Specialized REITS | 83,635,756 | 83,635,756 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Collateralized Mortgage Obligations | 237,643 | — | 237,643 | — | ||||||||||||
Collateral Held for Securities Loaned | 28,278,375 | 28,278,375 | – | — | ||||||||||||
Short-Term Investments | 1,064,990 | — | 1,064,990 | — | ||||||||||||
Total | $ | 356,699,538 | $ | 355,396,905 | $ | 1,302,633 | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 78,496,425 | $ | 244,038,945 | $ | 294,256,995 | 28,278,375 | $ | 28,278,375 | $ | 107,356 | |||||||||||||
Total Value and Income Earned | 78,496,425 | 28,278,375 | 107,356 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (93.7%) | Value | ||||
Alternative Carriers (0.5%) | ||||||
2,400 | TW Telecom, Inc.a | $ | 40,920 | |||
| Total Alternative Carriers | 40,920 | |||||
Consumer Discretionary (1.4%) | ||||||
3,400 | Comcast Corporation | 70,754 | ||||
600 | Time Warner Cable, Inc. | 39,618 | ||||
| Total Consumer Discretionary | 110,372 | |||||
Electric Utilities (33.2%) | ||||||
3,200 | AES Tiete SA | 46,265 | ||||
6,000 | American Electric Power Company, Inc. | 215,880 | ||||
2,102 | Cia Energetica de Minas Gerais ADR | 34,872 | ||||
900 | Cleco Corporation | 27,684 | ||||
3,300 | Companhia Energetica de Sao Paulo | 53,675 | ||||
400 | CPFL Energia SA ADR | 30,724 | ||||
4,200 | DPL, Inc. | 107,982 | ||||
10,000 | Duke Energy Corporation | 178,100 | ||||
4,600 | Edison International, Inc. | 177,560 | ||||
1,800 | EDP - Energias do Brasil SA | 41,975 | ||||
3,600 | Entergy Corporation | 254,988 | ||||
1,800 | Exelon Corporation | 74,952 | ||||
2,800 | FirstEnergy Corporation | 103,656 | ||||
3,500 | ITC Holdings Corporation | 216,930 | ||||
6,300 | NextEra Energy, Inc. | 327,537 | ||||
2,600 | Northeast Utilities | 82,888 | ||||
1,300 | NV Energy, Inc. | 18,265 | ||||
1,400 | Pinnacle West Capital Corporation | 58,030 | ||||
2,800 | PPL Corporation | 73,696 | ||||
2,200 | Progress Energy, Inc. | 95,656 | ||||
8,870 | Southern Company | 339,100 | ||||
2,400 | Westar Energy, Inc. | 60,384 | ||||
| Total Electric Utilities | 2,620,799 | |||||
Energy (6.2%) | ||||||
400 | EOG Resources, Inc. | 36,564 | ||||
1,600 | EQT Corporation | 71,744 | ||||
1,000 | Petrohawk Energy Corporationa | 18,250 | ||||
3,300 | QEP Resources, Inc. | 119,823 | ||||
400 | Range Resources Corporation | 17,992 | ||||
900 | Southwestern Energy Companya | 33,687 | ||||
2,500 | Spectra Energy Corporation | 62,475 | ||||
2,000 | Talisman Energy, Inc. | 44,380 | ||||
3,500 | Williams Companies, Inc. | 86,520 | ||||
| Total Energy | 491,435 | |||||
Gas Utilities (3.2%) | ||||||
9,000 | Centrica plc | 46,630 | ||||
800 | Energen Corporation | 38,608 | ||||
1,300 | New Jersey Resources Corporation | 56,043 | ||||
500 | ONEOK, Inc. | 27,735 | ||||
3,300 | Questar Corporation | 57,453 | ||||
800 | UGI Corporation | 25,264 | ||||
| Total Gas Utilities | 251,733 | |||||
Independent Power Producers & Energy Traders (4.3%) | ||||||
7,700 | AES Corporationa | 93,786 | ||||
5,500 | Calpine Corporationa | 73,370 | ||||
8,300 | International Power plc | 56,841 | ||||
6,000 | NRG Energy, Inc.a | 117,240 | ||||
| Total Independent Power Producers & Energy Traders | 341,237 | |||||
Industrials (0.7%) | ||||||
4,419 | Iberdrola SA | 34,264 | ||||
700 | Tetra Tech, Inc.a | 17,542 | ||||
| Total Industrials | 51,806 | |||||
Integrated Telecommunication Services (11.8%) | ||||||
10,200 | AT&T, Inc. | 299,676 | ||||
2,400 | BCE, Inc. | 85,104 | ||||
700 | CenturyLink, Inc. | 32,319 | ||||
1,128 | Frontier Communications Corporation | 10,975 | ||||
25,000 | Qwest Communications International, Inc. | 190,250 | ||||
100 | Swisscom AG | 43,959 | ||||
1,900 | Telefonica SA | 43,379 | ||||
5,000 | Verizon Communications, Inc. | 178,900 | ||||
3,500 | Windstream Corporation | 48,790 | ||||
| Total Integrated Telecommunication Services | 933,352 | |||||
Multi-Utilities (20.5%) | ||||||
5,300 | CenterPoint Energy, Inc. | 83,316 | ||||
8,900 | CMS Energy Corporation | 165,540 | ||||
2,600 | Consolidated Edison, Inc. | 128,882 | ||||
7,300 | Dominion Resources, Inc. | 311,856 | ||||
600 | DTE Energy Company | 27,192 | ||||
500 | Integrys Energy Group, Inc. | 24,255 | ||||
1,600 | NiSource, Inc. | 28,192 | ||||
1,600 | NSTAR | 67,504 | ||||
1,100 | OGE Energy Corporation | 50,094 | ||||
4,300 | PG&E Corporation | 205,712 | ||||
6,800 | Public Service Enterprise Group, Inc. | 216,308 | ||||
2,000 | Sempra Energy | 104,960 | ||||
4,500 | United Utilities Group plc | 41,632 | ||||
1,800 | Wisconsin Energy Corporation | 105,948 | ||||
2,400 | Xcel Energy, Inc. | 56,520 | ||||
| Total Multi-Utilities | 1,617,911 | |||||
Water Utilities (2.1%) | ||||||
100 | American States Water Company | 3,447 | ||||
3,200 | American Water Works Company, Inc. | 80,928 | ||||
2,600 | Aqua America, Inc. | 58,448 | ||||
700 | California Water Service Group | 26,089 | ||||
| Total Water Utilities | 168,912 | |||||
Wireless Telecommunication Services (9.8%) | ||||||
1,900 | America Movil SA de CV ADR | 108,946 | ||||
900 | American Tower Corporationa | 46,476 | ||||
800 | Cellcom Israel, Ltd. | 26,152 | ||||
5,100 | Clearwire Corporationa | 26,265 | ||||
1,700 | Crown Castle International Corporationa | 74,511 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Table of Contents
Partner Utilities Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (93.7%) | Value | ||||
| Wireless Telecommunication Services (9.8%) - continued | ||||||
400 | Millicom International Cellular SA | $ | 38,240 | |||
2,600 | NII Holdings, Inc.a | 116,116 | ||||
1,500 | NTELOS Holdings Corporation | 28,575 | ||||
1,300 | Rogers Communications, Inc. | 45,238 | ||||
2,900 | SBA Communications Corporationa | 118,726 | ||||
900 | Vivo Participacoes SA ADR | 29,331 | ||||
4,500 | Vodafone Group plc ADR | 118,935 | ||||
| Total Wireless Telecommunication Services | 777,511 | |||||
Total Common Stock (cost $7,119,996) | 7,405,988 | |||||
Total Investments (cost $7,119,996) 93.7% | $ | 7,405,988 | ||||
| Other Assets and Liabilities, Net 6.3% | 500,826 | |||||
| Total Net Assets 100.0% | $ | 7,906,814 | ||||
| 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 | $ | 821,240 | ||
Gross unrealized depreciation | (535,251 | ) | ||
Net unrealized appreciation (depreciation) | $ | 285,989 | ||
Cost for federal income tax purposes | $ | 7,119,999 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | ||||||||||||||||
Alternative Carriers | 40,920 | 40,920 | — | — | ||||||||||||
Consumer Discretionary | 110,372 | 110,372 | — | — | ||||||||||||
Electric Utilities | 2,620,799 | 2,478,884 | 141,915 | — | ||||||||||||
Energy | 491,435 | 491,435 | — | — | ||||||||||||
Gas Utilities | 251,733 | 205,103 | 46,630 | — | ||||||||||||
Independent Power Producers & Energy Traders | 341,237 | 284,396 | 56,841 | — | ||||||||||||
Industrials | 51,806 | 17,542 | 34,264 | — | ||||||||||||
Integrated Telecommunication Services | 933,352 | 846,014 | 87,338 | — | ||||||||||||
Multi-Utilities | 1,617,911 | 1,576,279 | 41,632 | — | ||||||||||||
Water Utilities | 168,912 | 168,912 | — | — | ||||||||||||
Wireless Telecommunication Services | 777,511 | 732,273 | 45,238 | — | ||||||||||||
Total | $ | 7,405,988 | $ | 6,952,130 | $ | 453,858 | $ | — | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
Table of Contents
Partner Utilities Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 1,918 | ||||
Total Foreign Exchange Contracts | 1,918 | |||||
Total | $ | 1,918 | ||||
The following table presents Partner Utilities Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 6,019 | 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.
142
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.9%) | Value | ||||||||
| Consumer Discretionary (16.3%) | ||||||||||
| 47,450 | 7 Days Group Holdings, Ltd. ADRa,b | $ | 1,010,685 | |||||||
| 16,950 | AnnTaylor Stores Corporationb | 464,260 | ||||||||
| 19,960 | Asbury Automotive Group, Inc.b | 368,861 | ||||||||
| 52,160 | Brunswick Corporation | 977,478 | ||||||||
| 41,790 | Buffalo Wild Wings, Inc.b | 1,832,491 | ||||||||
| 19,750 | California Pizza Kitchen, Inc.b | 341,280 | ||||||||
| 19,850 | Capella Education Companya,b | 1,321,613 | ||||||||
| 6,070 | Chico’s FAS, Inc. | 73,022 | ||||||||
| 6,550 | Children’s Place Retail Stores, Inc.b | 325,142 | ||||||||
| 13,090 | Cooper Tire & Rubber Company | 308,662 | ||||||||
| 8,510 | Cracker Barrel Old Country Store, Inc. | 466,093 | ||||||||
| 78,690 | Crocs, Inc.b | 1,347,173 | ||||||||
| 18,820 | Deckers Outdoor Corporationb | 1,500,707 | ||||||||
| 29,820 | DineEquity, Inc.a,b | 1,472,512 | ||||||||
| 106,570 | Finish Line, Inc. | 1,831,938 | ||||||||
| 36,532 | Gaylord Entertainment Companya,b | 1,312,960 | ||||||||
| 36,950 | hhgregg, Inc.a,b | 774,103 | ||||||||
| 1,480 | IMAX Corporationa,b | 41,514 | ||||||||
| 6,270 | Jo-Ann Stores, Inc.b | 377,579 | ||||||||
| 10,700 | Joseph A. Bank Clothiers, Inc.b | 431,424 | ||||||||
| 4,040 | Maidenform Brands, Inc.b | 96,031 | ||||||||
| 76,100 | Modine Manufacturing Companyb | 1,179,550 | ||||||||
| 8,780 | Polaris Industries, Inc. | 685,016 | ||||||||
| 147,870 | Saks, Inc.a,b | 1,582,209 | ||||||||
| 45,100 | Sotheby’s Holdings, Inc. | 2,029,500 | ||||||||
| 36,210 | Steven Madden, Ltd.b | 1,510,681 | ||||||||
| 43,130 | Tempur-Pedic International, Inc.b | 1,727,788 | ||||||||
| 27,540 | Tenneco, Inc.b | 1,133,546 | ||||||||
| 107,040 | Texas Roadhouse, Inc.b | 1,837,877 | ||||||||
| 61,200 | True Religion Apparel, Inc.b | 1,362,312 | ||||||||
| 49,220 | Ulta Salon Cosmetics & Fragrance, Inc.b | 1,673,480 | ||||||||
| 3,520 | Vera Bradley, Inc.b | 116,160 | ||||||||
| 8,170 | Vitamin Shoppe, Inc.b | 274,839 | ||||||||
| 27,350 | Warnaco Group, Inc.b | 1,506,165 | ||||||||
| 14,080 | WMS Industries, Inc.b | 636,979 | ||||||||
| Total Consumer Discretionary | 33,931,630 | |||||||||
| Consumer Staples (2.9%) | ||||||||||
| 3,420 | Boston Beer Company, Inc.b | 325,208 | ||||||||
| 120,650 | Cott Corporationb | 1,087,056 | ||||||||
| 20,610 | Diamond Foods, Inc.a | 1,096,040 | ||||||||
| 10,200 | Green Mountain Coffee Roasters, Inc.a,b | 335,172 | ||||||||
| 12,500 | TreeHouse Foods, Inc.b | 638,625 | ||||||||
| 70,040 | United Natural Foods, Inc.b | 2,569,067 | ||||||||
| Total Consumer Staples | 6,051,168 | |||||||||
| Energy (5.3%) | ||||||||||
| 14,160 | Approach Resources Inc.b | 327,096 | ||||||||
| 7,670 | BreitBurn Energy Partners LP | 154,320 | ||||||||
| 17,670 | Brigham Exploration Companyb | 481,331 | ||||||||
| 14,410 | Carrizo Oil & Gas, Inc.b | 497,001 | ||||||||
| 27,390 | Energy XXI Ltd.b | 757,881 | ||||||||
| 46,450 | James River Coal Companya,b | 1,176,578 | ||||||||
| 175,683 | Key Energy Services, Inc.b | 2,280,365 | ||||||||
| 5,360 | Lufkin Industries, Inc. | 334,410 | ||||||||
| 9,760 | Northern Oil and Gas, Inc.b | 265,570 | ||||||||
| 45,780 | Oasis Petroleum, Inc.b | 1,241,554 | ||||||||
| 71,100 | Patriot Coal Corporationb | 1,377,207 | ||||||||
| 16,750 | Rex Energy Corporationb | 228,638 | ||||||||
| 44,467 | Swift Energy Companyb | 1,740,883 | ||||||||
| 7,330 | T-3 Energy Services, Inc.b | 291,954 | ||||||||
| Total Energy | 11,154,788 | |||||||||
| Financials (4.4%) | ||||||||||
| 27,603 | Bank of the Ozarks, Inc. | 1,196,590 | ||||||||
| 27,520 | DuPont Fabros Technology, Inc.a | 585,351 | ||||||||
| 27,235 | Green Dot Corporationa,b | 1,545,314 | ||||||||
| 8,290 | Greenhill & Company, Inc.a | 677,127 | ||||||||
| 7,260 | Harleysville Group, Inc. | 266,732 | ||||||||
| 3,790 | IBERIABANK Corporation | 224,103 | ||||||||
| 26,230 | MarketAxess Holdings, Inc. | 545,846 | ||||||||
| 81,830 | National Financial Partnersb | 1,096,522 | ||||||||
| 42,300 | Radian Group, Inc. | 341,361 | ||||||||
| 92,720 | Sunstone Hotel Investors, Inc.b | 957,798 | ||||||||
| 30,690 | Tanger Factory Outlet Centers, Inc. | 1,571,021 | ||||||||
| 11,250 | Umpqua Holdings Corporation | 137,025 | ||||||||
| Total Financials | 9,144,790 | |||||||||
| Health Care (18.4%) | ||||||||||
| 17,410 | Acorda Therapeutics, Inc.b | 474,597 | ||||||||
| 25,420 | Align Technology, Inc.b | 496,707 | ||||||||
| 87,210 | Amarin Corporation plc ADRa,b | 715,994 | ||||||||
| 57,590 | AMERIGROUP Corporationb | 2,529,353 | ||||||||
| 5,900 | Ardea Biosciences, Inc.a,b | 153,400 | ||||||||
| 6,380 | ArthroCare Corporationb | 198,163 | ||||||||
| 10,240 | Bio-Reference Laboratories, Inc.b | 227,123 | ||||||||
| 42,430 | Catalyst Health Solutions, Inc.b | 1,972,571 | ||||||||
| 40,550 | Cepheid, Inc.b | 922,513 | ||||||||
| 18,440 | Chemed Corporation | 1,171,124 | ||||||||
| 37,490 | Cooper Companies, Inc. | 2,112,187 | ||||||||
| 3,420 | Dexcom, Inc.b | 46,683 | ||||||||
| 18,690 | Emergency Medical Services Corporationb | 1,207,561 | ||||||||
| 46,230 | Exelixis, Inc.b | 379,548 | ||||||||
| 84,810 | Healthsouth Corporationb | 1,756,415 | ||||||||
| 1,820 | HeartWare International, Inc.b | 159,377 | ||||||||
| 32,060 | Hill-Rom Holdings, Inc. | 1,262,202 | ||||||||
| 21,977 | HMS Holding Corporationb | 1,423,450 | ||||||||
| 13,690 | ICON plc ADRb | 299,811 | ||||||||
| 74,380 | Impax Laboratories, Inc.b | 1,495,782 | ||||||||
| 52,160 | Incyte Corporationa,b | 863,770 | ||||||||
| 49,460 | Medicis Pharmaceutical Corporation | 1,325,033 | ||||||||
| 4,640 | Medivation Inc.b | 70,389 | ||||||||
| 20,070 | Mednax, Inc.b | 1,350,510 | ||||||||
| 8,060 | Molina Healthcare, Inc.b | 224,471 | ||||||||
| 13,030 | NxStage Medical, Inc.b | 324,186 | ||||||||
| 33,040 | Onyx Pharmaceuticals, Inc.b | 1,218,185 | ||||||||
| 21,490 | Orthofix International NVb | 623,210 | ||||||||
| 4,370 | Par Pharmaceutical Companies, Inc.b | 168,289 | ||||||||
| 57,320 | PAREXEL International Corporationb | 1,216,904 | ||||||||
| 22,880 | Pharmasset, Inc.b | 993,221 | ||||||||
| 67,690 | PSS World Medical, Inc.b | 1,529,794 | ||||||||
| 3,380 | QLT Inc.b | 24,775 | ||||||||
| 29,520 | Quality Systems, Inc.a | 2,061,086 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.9%) | Value | ||||||
| Health Care (18.4%) - continued | ||||||||
| 30,330 | Questcor Pharmaceuticals, Inc.b | $ | 446,761 | |||||
| 12,940 | Regeneron Pharmaceuticals, Inc.b | 424,820 | ||||||
| 22,930 | Salix Pharmaceuticals, Ltd.b | 1,076,793 | ||||||
| 57,950 | Seattle Genetics, Inc.a,b | 866,352 | ||||||
| 39,250 | SXC Health Solutions Corporationb | 1,682,255 | ||||||
| 26,190 | Targacept, Inc.b | 694,035 | ||||||
| 175,320 | Tenet Healthcare Corporationb | 1,172,891 | ||||||
| 37,110 | Volcano Corporationb | 1,013,474 | ||||||
| Total Health Care | 38,375,765 | |||||||
| Industrials (18.3%) | ||||||||
| 70,540 | A123 Systems, Inc.a,b | 672,952 | ||||||
| 68,450 | Actuant Corporation | 1,822,139 | ||||||
| 17,750 | Alaska Air Group, Inc.b | 1,006,247 | ||||||
| 2,180 | American Science & Engineering, Inc. | 185,801 | ||||||
| 126,570 | ArvinMeritor, Inc.b | 2,597,216 | ||||||
| 56,600 | Avis Budget Group, Inc.b | 880,696 | ||||||
| 26,130 | Belden, Inc. | 962,107 | ||||||
| 2,460 | Chart Industries, Inc.b | 83,099 | ||||||
| 24,500 | Clean Harbors, Inc.b | 2,059,960 | ||||||
| 5,010 | Consolidated Graphics, Inc.b | 242,634 | ||||||
| 30,840 | Copa Holdings SA | 1,814,626 | ||||||
| 24,390 | EnerNOC, Inc.a,b | 583,165 | ||||||
| 43,930 | EnPro Industries, Inc.b | 1,825,731 | ||||||
| 6,250 | ESCO Technologies, Inc. | 236,500 | ||||||
| 38,930 | GATX Corporation | 1,373,450 | ||||||
| 44,730 | Genesee & Wyoming, Inc.b | 2,368,454 | ||||||
| 87,730 | GrafTech International, Ltd.b | 1,740,563 | ||||||
| 11,100 | Greenbrier Companies, Inc.b | 232,989 | ||||||
| 76,880 | Hexcel Corporationb | 1,390,759 | ||||||
| 58,430 | Hub Group, Inc.b | 2,053,230 | ||||||
| 7,850 | Huron Consulting Group, Inc.b | 207,632 | ||||||
| 106,940 | Kforce, Inc.b | 1,730,289 | ||||||
| 62,670 | Knight Transportation, Inc. | 1,190,730 | ||||||
| 17,250 | Lindsay Manufacturing Companya | 1,025,167 | ||||||
| 5,130 | Middleby Corporationb | 433,075 | ||||||
| 23,520 | Polypore International, Inc.b | 957,970 | ||||||
| 24,870 | Robbins & Myers, Inc.a | 889,849 | ||||||
| 28,340 | Triumph Group, Inc. | 2,533,879 | ||||||
| 83,020 | TrueBlue, Inc.b | 1,493,530 | ||||||
| 43,110 | WESCO International, Inc.b | 2,276,208 | ||||||
| 32,126 | Woodward Governor Company | 1,206,653 | ||||||
| Total Industrials | 38,077,300 | |||||||
| Information Technology (25.3%) | ||||||||
| 42,870 | Acme Packet, Inc.b | 2,278,969 | ||||||
| 42,170 | Aeroflex Holding Corp.b | 693,697 | ||||||
| 19,720 | Anixter International, Inc. | 1,177,876 | ||||||
| 9,390 | ANSYS, Inc.b | 488,937 | ||||||
| 96,160 | Ariba, Inc.b | 2,258,798 | ||||||
| 108,190 | Aruba Networks, Inc.b | 2,259,007 | ||||||
| 39,620 | Atheros Communications, Inc.b | 1,423,150 | ||||||
| 13,130 | Blue Coat Systems, Inc.b | 392,193 | ||||||
| 9,150 | Bottomline Technologies, Inc.b | 198,647 | ||||||
| 17,550 | Camelot Information Systems, Inc. ADRb | 419,796 | ||||||
| 63,600 | Cavium Networks, Inc.a,b | 2,396,448 | ||||||
| 101,560 | Cirrus Logic, Inc.a,b | 1,622,929 | ||||||
| 16,320 | Cogo Group, Inc.b | 144,432 | ||||||
| 3,470 | Coherent, Inc.b | 156,636 | ||||||
| 32,540 | Concur Technologies, Inc.b | 1,689,802 | ||||||
| 44,520 | Dice Holdings, Inc.b | 638,862 | ||||||
| 171,780 | Entropic Communications, Inc.a,b | 2,075,102 | ||||||
| 28,450 | Finisar Corporationa,b | 844,681 | ||||||
| 7,950 | Hittite Microwave Corporationb | 485,268 | ||||||
| 73,470 | Hypercom Corporationb | 614,944 | ||||||
| 31,060 | Inphi Corporationa,b | 623,995 | ||||||
| 41,470 | IntraLinks Holdings, Inc.b | 775,904 | ||||||
| 93,260 | Ixiab | 1,564,903 | ||||||
| 50,200 | Jack Henry & Associates, Inc. | 1,463,330 | ||||||
| 15,190 | Kenexa Corporationb | 330,990 | ||||||
| 3,730 | LogMeIn, Inc.b | 165,388 | ||||||
| 13,190 | Manhattan Associates, Inc.b | 402,823 | ||||||
| 9,310 | Motricity, Inc.a,b | 172,887 | ||||||
| 8,740 | NETGEAR, Inc.b | 294,363 | ||||||
| 73,610 | Netlogic Microsystems, Inc.a,b | 2,312,090 | ||||||
| 10,240 | NetScout Systems, Inc.b | 235,622 | ||||||
| 83,510 | OmniVision Technologies, Inc.b | 2,472,731 | ||||||
| 8,490 | OpenTable, Inc.b | 598,375 | ||||||
| 6,530 | Power Integrations, Inc. | 262,114 | ||||||
| 61,850 | Quantum Corporationb | 230,082 | ||||||
| 35,290 | Rackspace Hosting, Inc.a,b | 1,108,459 | ||||||
| 59,750 | Radiant Systems, Inc.b | 1,169,308 | ||||||
| 67,980 | Riverbed Technology, Inc.b | 2,390,857 | ||||||
| 158,050 | Sapient Corporation | 1,912,405 | ||||||
| 5,860 | Semtech Corporationb | 132,670 | ||||||
| 15,740 | Silicon Image, Inc.b | 115,689 | ||||||
| 60,060 | SuccessFactors, Inc.b | 1,739,338 | ||||||
| 45,890 | Synchronoss Technologies, Inc.b | 1,225,722 | ||||||
| 59,520 | Taleo Corporationb | 1,645,728 | ||||||
| 124,260 | Teradyne, Inc.b | 1,744,610 | ||||||
| 19,360 | Terremark Worldwide, Inc.b | 250,712 | ||||||
| 87,010 | TIBCO Software, Inc.b | 1,714,967 | ||||||
| 47,120 | Ultratech, Inc.b | 936,746 | ||||||
| 20,690 | Veeco Instruments, Inc.a,b | 888,842 | ||||||
| 41,610 | VeriFone Systems, Inc.b | 1,604,482 | ||||||
| Total Information Technology | 52,746,306 | |||||||
| Materials (6.5%) | ||||||||
| 5,460 | A. Schulman, Inc. | 124,979 | ||||||
| 41,130 | AK Steel Holding Corporation | 673,298 | ||||||
| 50,140 | Allied Nevada Gold Corporationb | 1,319,184 | ||||||
| 6,330 | Domtar Corporation | 480,574 | ||||||
| 20,250 | Globe Specialty Metals, Inc. | 346,073 | ||||||
| 54,080 | Huntsman Corporation | 844,189 | ||||||
| 105,750 | Louisiana-Pacific Corporationb | 1,000,395 | ||||||
| 8,260 | Market Vectors Junior Gold Miners ETFa | 329,491 | ||||||
| 15,700 | Noranda Aluminum Holding Corporationb | 229,220 | ||||||
| 36,209 | Rock-Tenn Company | 1,953,476 | ||||||
| 109,980 | Solutia, Inc.b | 2,538,338 | ||||||
| 76,260 | Stillwater Mining Companyb | 1,628,151 | ||||||
| 85,070 | Thompson Creek Metals Company, Inc.b | 1,252,230 | ||||||
| 7,000 | Walter Energy, Inc. | 894,880 | ||||||
| Total Materials | 13,614,478 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.9%) | Value | ||||||
| Telecommunications Services (0.5%) | ||||||||
| 59,970 | TW Telecom, Inc.b | $ | 1,022,488 | |||||
| Total Telecommunications Services | 1,022,488 | |||||||
| Utilities (<0.1%) | ||||||||
| 5,092 | Artesian Resources Corporationa | 96,493 | ||||||
| Total Utilities | 96,493 | |||||||
Total Common Stock (cost $148,314,758) | 204,215,206 | |||||||
| Shares | Collateral Held for Securities Loaned (14.0%) | |||||||
| 29,124,371 | Thrivent Financial Securities Lending Trust | 29,124,371 | ||||||
Total Collateral Held for Securities Loaned (cost $29,124,371) | 29,124,371 | |||||||
| Principal Amount | Short-Term Investments (2.3%)c | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 2,000,000 | 0.095%, 1/14/2011d | 1,999,932 | ||||||
| Liberty Street Funding, LLC | ||||||||
| 1,620,000 | 0.130%, 1/3/2011d | 1,619,988 | ||||||
| Old Line Funding, LLC | ||||||||
| 1,250,000 | 0.170%, 1/3/2011d | 1,249,988 | ||||||
| Total Short-Term Investments (at amortized cost) | 4,869,908 | |||||||
| Total Investments (cost $182,309,037) 114.2% | $ | 238,209,485 | ||||||
| Other Assets and Liabilities, Net (14.2%) | (29,684,820 | ) | ||||||
| Total Net Assets 100.0% | $ | 208,524,665 | ||||||
| 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. |
| d | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| 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 | $ | 56,124,732 | ||
Gross unrealized depreciation | (1,059,578 | ) | ||
Net unrealized appreciation (depreciation) | $ | 55,065,154 | ||
Cost for federal income tax purposes | $ | 183,144,331 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 33,931,630 | 33,931,630 | — | — | ||||||||||||
Consumer Staples | 6,051,168 | 6,051,168 | — | — | ||||||||||||
Energy | 11,154,788 | 11,154,788 | — | — | ||||||||||||
Financials | 9,144,790 | 9,144,790 | — | — | ||||||||||||
Health Care | 38,375,765 | 38,375,765 | — | — | ||||||||||||
Industrials | 38,077,300 | 38,077,300 | — | — | ||||||||||||
Information Technology | 52,746,306 | 52,746,306 | — | — | ||||||||||||
Materials | 13,614,478 | 13,614,478 | — | — | ||||||||||||
Telecommunications Services | 1,022,488 | 1,022,488 | — | — | ||||||||||||
Utilities | 96,493 | 96,493 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 29,124,371 | 29,124,371 | — | — | ||||||||||||
Short-Term Investments | 4,869,908 | — | 4,869,908 | — | ||||||||||||
Total | $ | 238,209,485 | $ | 233,339,577 | $ | 4,869,908 | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 21,405,506 | $ | 154,438,834 | $ | 146,719,969 | 29,124,371 | $ | 29,124,371 | $ | 157,747 | |||||||||||||
Total Value and Income Earned | 21,405,506 | 29,124,371 | 157,747 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
146
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.0%) | Value | ||||||
| Consumer Discretionary (13.4%) |
| ||||||
| 216,100 | Aaron’s, Inc. | $ | 4,406,279 | |||||
| 31,000 | Ascent Media Corporationa | 1,201,560 | ||||||
| 62,000 | Brunswick Corporation | 1,161,880 | ||||||
| 41,700 | Cavco Industries, Inc.a | 1,946,973 | ||||||
| 47,500 | CSS Industries, Inc. | 978,975 | ||||||
| 59,100 | Dorman Products, Inc.a | 2,141,784 | ||||||
| 100,000 | Drew Industries, Inc. | 2,272,000 | ||||||
| 86,300 | Fred’s, Inc. | 1,187,488 | ||||||
| 96,000 | Haverty Furniture Companies, Inc. | 1,246,080 | ||||||
| 40,700 | Hooker Furniture Corporation | 575,091 | ||||||
| 66,200 | M/I Homes, Inc.a | 1,018,156 | ||||||
| 84,300 | MarineMax, Inc.a | 788,205 | ||||||
| 47,500 | Matthews International Corporation | 1,661,550 | ||||||
| 74,600 | Men’s Wearhouse, Inc. | 1,863,508 | ||||||
| 106,600 | Meritage Homes Corporationa | 2,366,520 | ||||||
| 189,900 | Orient-Express Hotels, Ltd.a | 2,466,801 | ||||||
| 567,000 | Sealy Corporationa,b | 1,655,640 | ||||||
| 143,400 | Shiloh Industries, Inc. | 1,713,630 | ||||||
| 62,100 | Stanley Furniture Company, Inc.a,b | 193,131 | ||||||
| 159,600 | Stein Mart, Inc. | 1,476,300 | ||||||
| 44,350 | Steven Madden, Ltd.a | 1,850,282 | ||||||
| 113,400 | Winnebago Industries, Inc.a | 1,723,680 | ||||||
| Total Consumer Discretionary | 35,895,513 | |||||||
| Consumer Staples (0.9%) | ||||||||
| 242,300 | Alliance One International, Inc.a | 1,027,352 | ||||||
| 32,000 | Nash Finch Company | 1,360,320 | ||||||
| Total Consumer Staples | 2,387,672 | |||||||
| Energy (5.5%) |
| ||||||
| 17,900 | Carbo Ceramics, Inc. | 1,853,366 | ||||||
| 90,900 | Cloud Peak Energy, Inc.a | 2,111,607 | ||||||
| 61,100 | Forest Oil Corporationa | 2,319,967 | ||||||
| 70,200 | Gulf Island Fabrication, Inc. | 1,978,236 | ||||||
| 261,700 | Hercules Offshore, Inc.a | 905,482 | ||||||
| 38,000 | Oasis Petroleum, Inc.a | 1,030,560 | ||||||
| 127,900 | Penn Virginia Corporation | 2,151,278 | ||||||
| 150,200 | Tetra Technologies, Inc.a | 1,782,874 | ||||||
| 4,200 | Whiting Petroleum Corporationa | 492,198 | ||||||
| Total Energy | 14,625,568 | |||||||
| Financials (22.3%) |
| ||||||
| 86,300 | Alterra Capital Holdings, Ltd. | 1,867,532 | ||||||
| 195,800 | Ares Capital Corporation | 3,226,784 | ||||||
| 185,100 | CBL & Associates Properties, Inc.b | 3,239,250 | ||||||
| 127,500 | Cedar Shopping Centers, Inc. | 801,975 | ||||||
| 98,600 | Columbia Banking System, Inc. | 2,076,516 | ||||||
| 80,400 | East West Bancorp, Inc. | 1,571,820 | ||||||
| 48,500 | Employers Holdings, Inc. | 847,780 | ||||||
| 99,400 | First Opportunity Fund, Inc.a | 738,542 | ||||||
| 68,500 | First Potomac Realty Trust | 1,152,170 | ||||||
| 96,000 | Glacier Bancorp, Inc. | 1,450,560 | ||||||
| 67,800 | Gladstone Capital Corporationb | 781,056 | ||||||
| 76,600 | Hatteras Financial Corporationb | 2,318,682 | ||||||
| 133,200 | Hercules Technology Growth Capital, Inc. | 1,379,952 | ||||||
| 79,600 | Home Bancshares, Inc. | 1,753,588 | ||||||
| 19,400 | iShares Russell 2000 Value Fundb | 1,379,146 | ||||||
| 56,400 | JMP Group, Inc. | 430,332 | ||||||
| 58,200 | Kilroy Realty Corporation | 2,122,554 | ||||||
| 203,500 | Kite Realty Group Trust | 1,100,935 | ||||||
| 77,500 | LaSalle Hotel Properties | 2,046,000 | ||||||
| 3,800 | Markel Corporationa | 1,436,894 | ||||||
| 100,000 | Meadowbrook Insurance Group, Inc. | 1,025,000 | ||||||
| 70,400 | National Interstate Corporation | 1,506,560 | ||||||
| 37,800 | Parkway Properties, Inc. | 662,256 | ||||||
| 40,700 | Pebblebrook Hotel Trust | 827,024 | ||||||
| 175,400 | PennantPark Investment Corporation | 2,146,896 | ||||||
| 31,500 | Piper Jaffray Companiesa | 1,102,815 | ||||||
| 71,700 | Potlatch Corporation | 2,333,835 | ||||||
| 70,900 | ProAssurance Corporationa | 4,296,540 | ||||||
| 135,700 | Redwood Trust, Inc. | 2,026,001 | ||||||
| 123,100 | Safeguard Scientifics, Inc.a | 2,102,548 | ||||||
| 145,400 | Sandy Spring Bancorp, Inc. | 2,679,722 | ||||||
| 53,300 | SeaBright Holdings, Inc. | 491,426 | ||||||
| 54,100 | SVB Financial Groupa | 2,870,005 | ||||||
| 296,600 | Western Alliance Bancorpa,b | 2,182,976 | ||||||
| 43,500 | Wintrust Financial Corporationb | 1,436,805 | ||||||
| Total Financials | 59,412,477 | |||||||
| Health Care (4.9%) |
| ||||||
| 69,812 | Accelrys, Inc.a | 579,440 | ||||||
| 37,800 | Angiodynamics, Inc.a | 580,986 | ||||||
| 6,700 | Atrion Corporation | 1,202,382 | ||||||
| 94,000 | Infinity Pharmaceuticals, Inc.a,b | 557,420 | ||||||
| 842,100 | Lexicon Pharmaceuticals, Inc.a,b | 1,212,624 | ||||||
| 32,500 | National Healthcare Corporation | 1,503,775 | ||||||
| 110,500 | Owens & Minor, Inc. | 3,252,015 | ||||||
| 90,500 | Triple-S Management Corporationa | 1,726,740 | ||||||
| 61,100 | West Pharmaceutical Services, Inc. | 2,517,320 | ||||||
| Total Health Care | 13,132,702 | |||||||
| Industrials (25.0%) |
| ||||||
| 56,400 | A.O. Smith Corporation | 2,147,712 | ||||||
| 35,800 | Alaska Air Group, Inc.a | 2,029,502 | ||||||
| 28,000 | Ameron International Corporation | 2,138,360 | ||||||
| 38,700 | Applied Industrial Technologies, Inc. | 1,256,976 | ||||||
| 19,300 | Astec Industries, Inc.a | 625,513 | ||||||
| 146,400 | Beacon Roofing Supply, Inc.a | 2,616,168 | ||||||
| 47,500 | Belden, Inc. | 1,748,950 | ||||||
| 33,400 | Cascade Corporation | 1,579,152 | ||||||
| 28,800 | Circor International, Inc. | 1,217,664 | ||||||
| 64,600 | Colfax Corporationa | 1,189,286 | ||||||
| 87,200 | Comfort Systems USA, Inc. | 1,148,424 | ||||||
| 36,800 | Courier Corporation | 571,136 | ||||||
| 50,800 | Dolan Companya | 707,136 | ||||||
| 17,400 | Franklin Electric Company, Inc. | 677,208 | ||||||
| 25,200 | FTI Consulting, Inc.a | 939,456 | ||||||
| 57,200 | G & K Services, Inc. | 1,768,052 | ||||||
| 85,300 | Genesee & Wyoming, Inc.a | 4,516,635 | ||||||
| 98,100 | Gibraltar Industries, Inc.a | 1,331,217 | ||||||
| 111,900 | Greenbrier Companies, Inc.a | 2,348,781 | ||||||
| 64,700 | Hub Group, Inc.a | 2,273,558 | ||||||
| 54,300 | IDEX Corporation | 2,124,216 | ||||||
| 92,800 | Insituform Technologies, Inc.a | 2,460,128 | ||||||
| 48,500 | Kaman Corporation | 1,409,895 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.0%) Value | |||||
| Industrials (25.0%) - continued | ||||||
101,800 | Kforce, Inc.a | $ | 1,647,124 | |||
84,800 | Kirby Corporationa | 3,735,440 | ||||
49,700 | Kratos Defense & Security Solutions, Inc.a | 654,549 | ||||
110,000 | McGrath Rentcorp | 2,884,200 | ||||
40,800 | Mine Safety Appliances Company | 1,270,104 | ||||
118,200 | Navigant Consulting, Inc.a | 1,087,440 | ||||
29,500 | Nordson Corporation | 2,710,460 | ||||
70,800 | Robbins & Myers, Inc.b | 2,533,224 | ||||
95,000 | SkyWest, Inc. | 1,483,900 | ||||
52,300 | Sterling Construction Company, Inc.a | 681,992 | ||||
28,700 | Sun Hydraulics Corporation | 1,084,860 | ||||
46,500 | Universal Forest Products, Inc. | 1,808,850 | ||||
142,500 | Vitran Corporation, Inc.a | 1,869,600 | ||||
69,050 | Waste Connections, Inc. | 1,900,947 | ||||
65,400 | Woodward Governor Company | 2,456,424 | ||||
| Total Industrials | 66,634,239 | |||||
Information Technology (10.9%) |
| |||||
134,700 | Advanced Energy Industries, Inc.a | 1,837,308 | ||||
36,500 | ATMI, Inc.a | 727,810 | ||||
138,800 | Brooks Automation, Inc.a | 1,258,916 | ||||
16,100 | Cabot Microelectronics Corporationa | 667,345 | ||||
65,900 | Cognex Corporation | 1,938,778 | ||||
59,100 | Cohu, Inc. | 979,878 | ||||
120,500 | Electro Rent Corporation | 1,947,280 | ||||
53,300 | Electro Scientific Industries, Inc.a | 854,399 | ||||
136,800 | Ixiaa | 2,295,504 | ||||
14,000 | Littelfuse, Inc. | 658,840 | ||||
85,300 | Methode Electronics, Inc. | 1,106,341 | ||||
126,000 | Monotype Imaging Holdings, Inc.a | 1,398,600 | ||||
86,500 | Progress Software Corporationa | 3,660,680 | ||||
158,000 | ShoreTel, Inc.a | 1,233,980 | ||||
316,000 | Sonus Networks, Inc.a | 843,720 | ||||
48,500 | Standard Microsystems Corporationa | 1,398,255 | ||||
82,400 | StarTek, Inc.a | 417,768 | ||||
66,400 | Synnex Corporationa | 2,071,680 | ||||
75,600 | Teradyne, Inc.a | 1,061,424 | ||||
66,200 | Xyratex, Ltd.a | 1,079,722 | ||||
297,700 | Zarlink Semiconductor, Inc.a,b | 556,401 | ||||
79,500 | Zygo Corporationa | 972,285 | ||||
| Total Information Technology | 28,966,914 | |||||
| Materials (9.2%) | ||||||
39,300 | AMCOL International Corporation | 1,218,300 | ||||
79,000 | AptarGroup, Inc. | 3,758,030 | ||||
75,300 | Arch Chemicals, Inc. | 2,856,129 | ||||
56,700 | Carpenter Technology Corporation | 2,281,608 | ||||
45,400 | Clearwater Paper Corporationa | 3,554,820 | ||||
60,100 | Franco-Nevada Corporation | 2,010,385 | ||||
48,200 | Innospec, Inc.a | 983,280 | ||||
23,700 | Minerals Technologies, Inc. | 1,550,217 | ||||
118,300 | Myers Industries, Inc. | 1,152,242 | ||||
215,600 | North American Palladium, Ltd.a,b | 1,496,264 | ||||
96,000 | Sims Metal Management, Ltd. ADR | 2,096,640 | ||||
188,000 | Wausau Paper Corporation | 1,618,680 | ||||
| Total Materials | 24,576,595 | |||||
| Telecommunications Services (0.2%) | ||||||
95,000 | Premiere Global Services, Inc.a | 646,000 | ||||
| Total Telecommunications Services | 646,000 | |||||
| Utilities (4.7%) | ||||||
43,700 | Black Hills Corporationb | 1,311,000 | ||||
99,800 | Cleco Corporation | 3,069,848 | ||||
97,900 | El Paso Electric Companya | 2,695,187 | ||||
23,700 | Empire District Electric Companyb | 526,140 | ||||
53,200 | NorthWestern Corporation | 1,533,756 | ||||
65,400 | Southwest Gas Corporation | 2,398,218 | ||||
44,600 | Vectren Corporation | 1,131,948 | ||||
| Total Utilities | 12,666,097 | |||||
Total Common Stock (cost $213,298,234) | 258,943,777 | |||||
Preferred Stock (0.9%) | ||||||
| Financials (0.6%) | ||||||
8,100 | Assured Guaranty, Ltd., Convertible | 597,213 | ||||
820 | East West Bancorp, Inc.c | 1,166,450 | ||||
| Total Financials | 1,763,663 | |||||
| Health Care (0.3%) | ||||||
51,400 | National Healthcare Corporation, Convertiblec | 704,180 | ||||
| Total Health Care | 704,180 | |||||
Total Preferred Stock (cost $1,910,546) | 2,467,843 | |||||
Shares | Collateral Held for Securities Loaned (7.2%) | |||||
19,198,200 | Thrivent Financial Securities | |||||
| Lending Trust | 19,198,200 | |||||
Total Collateral Held for Securities Loaned (cost $19,198,200) | 19,198,200 | |||||
Principal | Short-Term Investments (1.9%)d | Value | ||||
| Ciesco, LLC | ||||||
5,085,000 | 0.120%, 1/3/2011 | 5,084,966 | ||||
| Total Short-Term Investments (at amortized cost) | 5,084,966 | |||||
Total Investments (cost $239,491,946) 107.0% | $ | 285,694,786 | ||||
| Other Assets and Liabilities, Net (7.0%) | (18,755,904 | ) | ||||
| Total Net Assets 100.0% | $ | 266,938,882 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
148
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2010
| 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 | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| 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 | $ | 61,615,087 | ||
Gross unrealized depreciation | (16,769,449 | ) | ||
Net unrealized appreciation (depreciation) | $ | 44,845,638 | ||
Cost for federal income tax purposes | $ | 240,849,148 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 35,895,513 | 35,895,513 | — | — | ||||||||||||
Consumer Staples | 2,387,672 | 2,387,672 | — | — | ||||||||||||
Energy | 14,625,568 | 14,625,568 | — | — | ||||||||||||
Financials | 59,412,477 | 59,412,477 | — | — | ||||||||||||
Health Care | 13,132,702 | 13,132,702 | — | — | ||||||||||||
Industrials | 66,634,239 | 66,634,239 | — | — | ||||||||||||
Information Technology | 28,966,914 | 28,966,914 | — | — | ||||||||||||
Materials | 24,576,595 | 22,566,210 | 2,010,385 | — | ||||||||||||
Telecommunications Services | 646,000 | 646,000 | — | — | ||||||||||||
Utilities | 12,666,097 | 12,666,097 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 1,763,663 | — | 1,763,663 | — | ||||||||||||
Health Care | 704,180 | 704,180 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 19,198,200 | 19,198,200 | — | — | ||||||||||||
Short-Term Investments | 5,084,966 | — | 5,084,966 | — | ||||||||||||
Total | $ | 285,694,786 | $ | 276,835,772 | $ | 8,859,014 | $ | — | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Preferred Stock Financials | 760,032 | 7,800 | (147,819 | ) | — | (22,800 | ) | — | (597,213 | ) | — | |||||||||||||||||||||
Total | $ | 760,032 | $ | 7,800 | ($ | 147,819 | ) | $ | — | ($ | 22,800 | ) | $ | — | ($ | 597,213 | ) | $ | — | |||||||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 279 | ||||
Total Foreign Exchange Contracts | 279 | |||||
Total | $ | 279 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2010
The following table presents Partner Small Cap Value Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 317 | <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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 30,107,005 | $ | 125,234,426 | $ | 136,143,231 | 19,198,200 | $ | 19,198,200 | $ | 28,916 | |||||||||||||
Total Value and Income Earned | 30,107,005 | 19,198,200 | 28,916 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (89.7%) | Value | ||||
Consumer Discretionary (13.0%) | ||||||
226,000 | Cooper Tire & Rubber Company | $ | 5,329,080 | |||
13,800 | DreamWorks Animation SKG, Inc.a | 406,686 | ||||
311,000 | Foot Locker, Inc. | 6,101,820 | ||||
15,200 | KB Home | 205,048 | ||||
66,200 | Knology, Inc.a | 1,034,706 | ||||
12,600 | P.F. Chang’s China Bistro, Inc.b | 610,596 | ||||
23,400 | Panera Bread Companya | 2,368,314 | ||||
509,200 | Pier 1 Imports, Inc.a | 5,346,600 | ||||
75,972 | Signet Jewelers, Ltd.a | 3,297,185 | ||||
6,000 | Toll Brothers, Inc.a | 114,000 | ||||
91,900 | Warnaco Group, Inc.a | 5,060,933 | ||||
135,400 | Williams-Sonoma, Inc. | 4,832,426 | ||||
105,777 | WMS Industries, Inc.a | 4,785,351 | ||||
| Total Consumer Discretionary | 39,492,745 | |||||
Consumer Staples (2.7%) | ||||||
17,400 | Corn Products International, Inc. | 800,400 | ||||
6,500 | Diamond Foods, Inc.b | 345,670 | ||||
81,000 | Herbalife, Ltd. | 5,537,970 | ||||
26,900 | TreeHouse Foods, Inc.a | 1,374,321 | ||||
| Total Consumer Staples | 8,058,361 | |||||
Energy (11.3%) | ||||||
155,700 | Arch Coal, Inc. | 5,458,842 | ||||
11,000 | Cloud Peak Energy, Inc.a | 255,530 | ||||
237,100 | Complete Production Services, Inc.a | 7,006,305 | ||||
89,400 | Dresser-Rand Group, Inc.a | 3,807,546 | ||||
141,200 | Forest Oil Corporationa | 5,361,364 | ||||
755,282 | International Coal Group, Inc.a | 5,845,883 | ||||
244,000 | James River Coal Companya,b | 6,180,520 | ||||
25,300 | Willbros Group, Inc.a | 248,446 | ||||
| Total Energy | 34,164,436 | |||||
Financials (15.0%) | ||||||
60,000 | Affiliated Managers Group, Inc.a | 5,953,200 | ||||
4,100 | East West Bancorp, Inc. | 80,155 | ||||
136,600 | First Niagara Financial Group, Inc.b | 1,909,668 | ||||
54,600 | Healthcare Realty Trust, Inc. | 1,155,882 | ||||
80,800 | Hercules Technology Growth Capital, Inc. | 837,088 | ||||
61,050 | Home Bancshares, Inc. | 1,344,931 | ||||
38,100 | IBERIABANK Corporation | 2,252,853 | ||||
174,800 | LaSalle Hotel Properties | 4,614,720 | ||||
46,200 | MB Financial, Inc. | 800,184 | ||||
564,400 | Ocwen Financial Corporationa | 5,384,376 | ||||
35,800 | Potlatch Corporation | 1,165,290 | ||||
21,900 | Prosperity Bancshares, Inc. | 860,232 | ||||
88,000 | Solar Capital, Ltd.b | 2,180,640 | ||||
109,900 | SVB Financial Groupa | 5,830,195 | ||||
269,800 | Texas Capital Bancshares, Inc.a | 5,738,646 | ||||
217,400 | Zions Bancorporation | 5,267,602 | ||||
| Total Financials | 45,375,662 | |||||
Health Care (10.4%) | ||||||
253,000 | Align Technology, Inc.a,b | 4,943,620 | ||||
29,500 | Conceptus, Inc.a,b | 407,100 | ||||
96,100 | Covance, Inc.a | 4,940,501 | ||||
234,304 | Endologix, Inc.a | 1,675,274 | ||||
133,300 | LifePoint Hospitals, Inc.a | 4,898,775 | ||||
42,100 | Omnicare, Inc.b | 1,068,919 | ||||
34,200 | PAREXEL International Corporationa | 726,066 | ||||
198,300 | PSS World Medical, Inc.a | 4,481,580 | ||||
83,500 | Salix Pharmaceuticals, Ltd.a | 3,921,160 | ||||
71,200 | United Therapeutics Corporationa | 4,501,264 | ||||
| Total Health Care | 31,564,259 | |||||
Industrials (15.2%) |
| |||||
61,500 | Deluxe Corporation | 1,415,730 | ||||
135,650 | FTI Consulting, Inc.a | 5,057,032 | ||||
56,600 | Herman Miller, Inc. | 1,431,980 | ||||
57,300 | ICF International, Inc.a | 1,473,756 | ||||
16,000 | Kforce, Inc.a | 258,880 | ||||
282,000 | Knight Transportation, Inc. | 5,358,000 | ||||
26,700 | Landstar System, Inc. | 1,093,098 | ||||
497,300 | Manitowoc Company, Inc. | 6,519,603 | ||||
99,800 | Navigant Consulting, Inc.a | 918,160 | ||||
23,400 | Old Dominion Freight Line, Inc.a | 748,566 | ||||
189,400 | Oshkosh Corporationa | 6,674,456 | ||||
138,500 | Shaw Group, Inc.a | 4,740,855 | ||||
20,000 | Steelcase, Inc. | 211,400 | ||||
52,800 | Sykes Enterprises, Inc.a | 1,069,728 | ||||
117,000 | Teledyne Technologies, Inc.a | 5,144,490 | ||||
17,800 | URS Corporationa | 740,658 | ||||
90,800 | Waste Connections, Inc. | 2,499,724 | ||||
38,000 | Werner Enterprises, Inc. | 858,800 | ||||
| Total Industrials | 46,214,916 | |||||
Information Technology (17.6%) |
| |||||
115,200 | ADTRAN, Inc. | 4,171,392 | ||||
3,300 | Arrow Electronics, Inc.a | 113,025 | ||||
471,866 | Atmel Corporationa | 5,813,389 | ||||
142,374 | Cogo Group, Inc.a | 1,260,010 | ||||
144,900 | CommVault Systems, Inc.a | 4,147,038 | ||||
196,800 | GSI Commerce, Inc.a | 4,565,760 | ||||
107,800 | Informatica Corporationa | 4,746,434 | ||||
58,600 | Ingram Micro, Inc.a | 1,118,674 | ||||
277,200 | Monster Worldwide, Inc.a | 6,550,236 | ||||
153,200 | Plantronics, Inc. | 5,702,104 | ||||
157,800 | Plexus Corporationa | 4,882,332 | ||||
5,300 | Tech Data Corporationa | 233,306 | ||||
414,630 | Teradyne, Inc.a | 5,821,405 | ||||
222,300 | TIBCO Software, Inc.a | 4,381,533 | ||||
| Total Information Technology | 53,506,638 | |||||
Materials (1.0%) |
| |||||
15,000 | Packaging Corporation of America | 387,600 | ||||
92,600 | Puda Coal, Inc.a,b | 1,319,550 | ||||
26,400 | Reliance Steel & Aluminum Company | 1,349,040 | ||||
| Total Materials | 3,056,190 | |||||
Telecommunications Services (0.5%) |
| |||||
76,600 | NTELOS Holdings Corporation | 1,459,230 | ||||
| Total Telecommunications Services | 1,459,230 | |||||
Utilities (3.0%) |
| |||||
122,100 | Southwest Gas Corporation | 4,477,407 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
151
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (89.7%) | Value | ||||
Utilities (3.0%) - continued | ||||||
142,600 | UGI Corporation | $ | 4,503,308 | |||
| Total Utilities | 8,980,715 | |||||
Total Common Stock (cost $217,374,883) | 271,873,152 | |||||
Shares | Collateral Held for Securities Loaned (4.5%) | Value | ||||
13,642,150 | Thrivent Financial Securities Lending Trust | 13,642,150 | ||||
Total Collateral Held for Securities Loaned (cost $13,642,150) | 13,642,150 | |||||
Principal | Short-Term Investments (10.4%)c | Value | ||||
Federal Home Loan Bank Discount Notes | ||||||
13,795,000 | 0.089%, 1/14/2011d | 13,794,554 | ||||
10,000,000 | 0.060%, 1/19/2011d | 9,999,700 | ||||
| U.S. Treasury Bills | ||||||
7,800,000 | 0.117%, 2/24/2011d,e | 7,798,659 | ||||
Total Short-Term Investments (at amortized cost) | 31,592,913 | |||||
Total Investments (cost $262,609,946) 104.6% | $ | 317,108,215 | ||||
| Other Assets and Liabilities, Net (4.6%) | (13,870,912 | ) | ||||
| Total Net Assets 100.0% | $ | 303,237,303 | ||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| e | At December 31, 2010, $1,799,690 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 | $ | 55,656,911 | ||
Gross unrealized depreciation | (1,588,055 | ) | ||
Net unrealized appreciation (depreciation) | $ | 54,068,856 | ||
Cost for federal income tax purposes | $ | 263,039,359 | ||
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, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 39,492,745 | 39,492,745 | — | — | ||||||||||||
Consumer Staples | 8,058,361 | 8,058,361 | — | — | ||||||||||||
Energy | 34,164,436 | 34,164,436 | — | — | ||||||||||||
Financials | 45,375,662 | 45,375,662 | — | — | ||||||||||||
Health Care | 31,564,259 | 31,564,259 | — | — | ||||||||||||
Industrials | 46,214,916 | 46,214,916 | — | — | ||||||||||||
Information Technology | 53,506,638 | 53,506,638 | — | — | ||||||||||||
Materials | 3,056,190 | 3,056,190 | — | — | ||||||||||||
Telecommunications Services | 1,459,230 | 1,459,230 | — | — | ||||||||||||
Utilities | 8,980,715 | 8,980,715 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 13,642,150 | 13,642,150 | — | — | ||||||||||||
Short-Term Investments | 31,592,913 | — | 31,592,913 | — | ||||||||||||
Total | $ | 317,108,215 | $ | 285,515,302 | $ | 31,592,913 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 428,418 | 428,418 | – | – | ||||||||||||
Total Asset Derivatives | $ | 428,418 | $ | 428,418 | $ | – | $ | – | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 335 | March 2011 | $ | 25,778,632 | $ | 26,207,050 | $ | 428,418 | ||||||||||||
Total Futures Contracts | $ | 428,418 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 428,418 | ||||
Total Equity Contracts | 428,418 | |||||
Total Asset Derivatives | $ | 428,418 | ||||
| * | 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.
153
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 1,592,368 | ||||
Total Equity Contracts | 1,592,368 | |||||
| Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (12,596 | ) | |||
Total Foreign Exchange Contracts | (12,596 | ) | ||||
Total | $ | 1,579,772 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 428,418 | ||||
Total Equity Contracts | 428,418 | |||||
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 | $ | 433,667 | ||||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 9,184,925 | 3.5 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 8,513 | <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 Small Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 14,969,779 | $ | 153,332,890 | $ | 154,660,519 | 13,642,150 | $ | 13,642,150 | $ | 149,475 | |||||||||||||
Total Value and Income Earned | 14,969,779 | 13,642,150 | 149,475 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Discretionary (14.5%) | ||||||||
| 8,100 | American Public Education, Inc.a,b | $ | 301,644 | |||||
| 12,100 | Arbitron, Inc. | 502,392 | ||||||
| 5,400 | Arctic Cat, Inc.b | 79,056 | ||||||
| 8,400 | Audiovox Corporationb | 72,492 | ||||||
| 9,700 | Big 5 Sporting Goods Corporation | 148,119 | ||||||
| 615 | Biglari Holdings, Inc.b | 252,279 | ||||||
| 10,000 | BJ’s Restaurants, Inc.b | 354,300 | ||||||
| 6,500 | Blue Nile, Inc.a,b | 370,890 | ||||||
| 2,500 | Blyth, Inc. | 86,200 | ||||||
| 19,525 | Brown Shoe Company, Inc. | 271,983 | ||||||
| 39,500 | Brunswick Corporation | 740,230 | ||||||
| 11,650 | Buckle, Inc.a | 440,021 | ||||||
| 8,200 | Buffalo Wild Wings, Inc.b | 359,570 | ||||||
| 18,000 | Cabela’s, Inc.a,b | 391,500 | ||||||
| 10,900 | California Pizza Kitchen, Inc.b | 188,352 | ||||||
| 29,000 | Callaway Golf Company | 234,030 | ||||||
| 7,300 | Capella Education Companya,b | 486,034 | ||||||
| 25,600 | Carter’s, Inc.b | 755,456 | ||||||
| 13,100 | Cato Corporation | 359,071 | ||||||
| 9,125 | CEC Entertainment, Inc.b | 354,324 | ||||||
| 11,700 | Children’s Place Retail Stores, Inc.b | 580,788 | ||||||
| 16,225 | Christopher & Banks Corporation | 99,784 | ||||||
| 14,200 | Coinstar, Inc.a,b | 801,448 | ||||||
| 27,400 | Coldwater Creek, Inc.b | 86,858 | ||||||
| 38,100 | Corinthian Colleges, Inc.a,b | 198,501 | ||||||
| 10,500 | Cracker Barrel Old Country Store, Inc. | 575,085 | ||||||
| 39,000 | Crocs, Inc.b | 667,680 | ||||||
| 7,000 | DineEquity, Inc.a,b | 345,660 | ||||||
| 8,500 | Drew Industries, Inc. | 193,120 | ||||||
| 13,633 | E.W. Scripps Companyb | 138,375 | ||||||
| 12,750 | Ethan Allen Interiors, Inc.a | 255,127 | ||||||
| 23,793 | Finish Line, Inc. | 409,002 | ||||||
| 17,550 | Fred’s, Inc. | 241,488 | ||||||
| 10,700 | Genesco, Inc.b | 401,143 | ||||||
| 10,700 | Group 1 Automotive, Inc.a | 446,832 | ||||||
| 8,400 | Haverty Furniture Companies, Inc. | 109,032 | ||||||
| 13,600 | Helen of Troy, Ltd.b | 404,464 | ||||||
| 12,450 | Hibbett Sports, Inc.b | 459,405 | ||||||
| 27,900 | Hillenbrand, Inc. | 580,599 | ||||||
| 20,175 | Hot Topic, Inc. | 126,497 | ||||||
| 17,200 | HSN, Inc.b | 527,008 | ||||||
| 32,400 | Iconix Brand Group, Inc.b | 625,644 | ||||||
| 18,200 | Interval Leisure Group, Inc.b | 293,748 | ||||||
| 23,600 | Jack in the Box, Inc.b | 498,668 | ||||||
| 12,300 | JAKKS Pacific, Inc.a,b | 224,106 | ||||||
| 11,830 | Jo-Ann Stores, Inc.b | 712,403 | ||||||
| 12,262 | Joseph A. Bank Clothiers, Inc.b | 494,404 | ||||||
| 9,700 | Kid Brands, Inc.b | 82,935 | ||||||
| 7,100 | Kirkland’s, Inc.b | 99,613 | ||||||
| 12,200 | K-Swiss, Inc.b | 152,134 | ||||||
| 23,200 | La-Z-Boy, Inc.b | 209,264 | ||||||
| 9,800 | Lithia Motors, Inc. | 140,042 | ||||||
| 66,618 | Live Nation Entertainment, Inc.b | 760,778 | ||||||
| 42,400 | Liz Claiborne, Inc.a,b | 303,584 | ||||||
| 10,500 | Lumber Liquidators Holdings, Inc.a,b | 261,555 | ||||||
| 8,200 | M/I Homes, Inc.b | 126,116 | ||||||
| 10,500 | Maidenform Brands, Inc.b | 249,585 | ||||||
| 9,600 | Marcus Corporation | 127,392 | ||||||
| 9,900 | MarineMax, Inc.b | 92,565 | ||||||
| 23,500 | Men’s Wearhouse, Inc. | 587,030 | ||||||
| 14,300 | Meritage Homes Corporationb | 317,460 | ||||||
| 6,300 | Midas, Inc.b | 51,093 | ||||||
| 5,000 | Monarch Casino & Resort, Inc.b | 62,500 | ||||||
| 13,650 | Monro Muffler Brake, Inc. | 472,153 | ||||||
| 7,700 | Movado Group, Inc.b | 124,278 | ||||||
| 12,700 | Multimedia Games, Inc.b | 70,866 | ||||||
| 11,900 | NutriSystem, Inc.a | 250,257 | ||||||
| 8,400 | O’Charley’s, Inc.b | 60,480 | ||||||
| 38,000 | OfficeMax, Inc.b | 672,600 | ||||||
| 6,300 | Oxford Industries, Inc. | 161,343 | ||||||
| 10,300 | P.F. Chang’s China Bistro, Inc.a | 499,138 | ||||||
| 8,900 | Papa John’s International, Inc.b | 246,530 | ||||||
| 5,700 | Peet’s Coffee & Tea, Inc.a,b | 237,918 | ||||||
| 23,500 | Pep Boys - Manny, Moe & Jack | 315,605 | ||||||
| 4,400 | Perry Ellis International, Inc.b | 120,868 | ||||||
| 10,100 | PetMed Express, Inc.a | 179,881 | ||||||
| 27,500 | Pinnacle Entertainment, Inc.b | 385,550 | ||||||
| 22,212 | Pool Corporationa | 500,658 | ||||||
| 4,300 | Pre-Paid Legal Services, Inc.a,b | 259,075 | ||||||
| 58,200 | Quiksilver, Inc.b | 295,074 | ||||||
| 9,600 | RC2 Corporationb | 208,992 | ||||||
| 6,900 | Red Robin Gourmet Burgers, Inc.b | 148,143 | ||||||
| 29,000 | Ruby Tuesday, Inc.b | 378,740 | ||||||
| 13,900 | Ruth’s Hospitality Group, Inc.b | 64,357 | ||||||
| 24,025 | Shuffle Master, Inc.b | 275,086 | ||||||
| 15,200 | Skechers USA, Inc.b | 304,000 | ||||||
| 3,000 | Skyline Corporation | 78,240 | ||||||
| 15,700 | Sonic Automotive, Inc. | 207,868 | ||||||
| 27,652 | Sonic Corporationb | 279,838 | ||||||
| 14,800 | Spartan Motors, Inc. | 90,132 | ||||||
| 16,300 | Stage Stores, Inc. | 282,642 | ||||||
| 5,300 | Stamps.com, Inc. | 70,225 | ||||||
| 8,800 | Standard Motor Products, Inc. | 120,560 | ||||||
| 44,800 | Standard Pacific Corporationb | 206,080 | ||||||
| 12,100 | Stein Mart, Inc. | 111,925 | ||||||
| 10,200 | Steven Madden, Ltd.b | 425,544 | ||||||
| 8,500 | Sturm, Ruger & Company, Inc.a | 129,965 | ||||||
| 10,300 | Superior Industries International, Inc. | 218,566 | ||||||
| 25,900 | Texas Roadhouse, Inc.b | 444,703 | ||||||
| 11,400 | True Religion Apparel, Inc.b | 253,764 | ||||||
| 16,500 | Tuesday Morning Corporationb | 87,120 | ||||||
| 6,600 | Universal Electronic, Inc.b | 187,242 | ||||||
| 9,300 | Universal Technical Institute, Inc. | 204,786 | ||||||
| 7,600 | Volcom, Inc. | 143,412 | ||||||
| 13,000 | Winnebago Industries, Inc.b | 197,600 | ||||||
| 21,700 | Wolverine World Wide, Inc. | 691,796 | ||||||
| 10,800 | Zale Corporationb | 46,008 | ||||||
| 9,400 | Zumiez, Inc.b | 252,578 | ||||||
Total Consumer Discretionary | 31,830,644 | |||||||
| Consumer Staples (3.3%) | ||||||||
| 39,900 | Alliance One International, Inc.b | 169,176 | ||||||
| 8,300 | Andersons, Inc. | 301,705 | ||||||
| 4,100 | Boston Beer Company, Inc.b | 389,869 | ||||||
| 5,300 | Calavo Growers, Inc. | 122,165 | ||||||
| 5,900 | Cal-Maine Foods, Inc.a | 186,322 | ||||||
| 16,800 | Casey’s General Stores, Inc. | 714,168 | ||||||
| 24,700 | Central Garden & Pet Companyb | 244,036 | ||||||
| 36,700 | Darling International, Inc.b | 487,376 | ||||||
| 9,900 | Diamond Foods, Inc.a | 526,482 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.9%) | Value | ||||
| Consumer Staples (3.3%) - continued | ||||||
| 19,100 | Hain Celestial Group, Inc.b | $ | 516,846 | |||
| 6,300 | J & J Snack Foods Corporation | 303,912 | ||||
| 6,100 | Medifast, Inc.b | 176,168 | ||||
| 5,400 | Nash Finch Company | 229,554 | ||||
| 8,600 | Sanderson Farms, Inc. | 336,690 | ||||
| 4,100 | Seneca Foods Corporationb | 110,618 | ||||
| 20,600 | Snyders-Lance, Inc. | 482,864 | ||||
| 10,100 | Spartan Stores, Inc. | 171,195 | ||||
| 15,800 | TreeHouse Foods, Inc.b | 807,222 | ||||
| 21,500 | United Natural Foods, Inc.b | 788,620 | ||||
| 7,470 | WD-40 Company | 300,892 | ||||
Total Consumer Staples | 7,365,880 | |||||
| Energy (5.2%) | ||||||
| 10,300 | Basic Energy Services, Inc.b | 169,744 | ||||
| 16,100 | Bristow Group, Inc.b | 762,335 | ||||
| 8,400 | Carbo Ceramics, Inc. | 869,736 | ||||
| 5,700 | Contango Oil & Gas Companyb | 330,201 | ||||
| 6,400 | Gulf Island Fabrication, Inc. | 180,352 | ||||
| 12,300 | Gulfport Energy Corporationb | 266,295 | ||||
| 19,800 | Holly Corporation | 807,246 | ||||
| 10,500 | Hornbeck Offshore Services, Inc.b | 219,240 | ||||
| 68,100 | ION Geophysical Corporationb | 577,488 | ||||
| 13,400 | Lufkin Industries, Inc. | 836,026 | ||||
| 11,900 | Matrix Service Companyb | 144,942 | ||||
| 22,500 | Oil States International, Inc.b | 1,442,025 | ||||
| 20,300 | Penn Virginia Corporation | 341,446 | ||||
| 10,400 | Petroleum Development Corporationb | 438,984 | ||||
| 25,100 | PetroQuest Energy, Inc.a,b | 189,003 | ||||
| 24,400 | Pioneer Drilling Companyb | 214,964 | ||||
| 9,450 | SEACOR Holdings, Inc. | 955,300 | ||||
| 5,420 | Seahawk Drilling, Inc.b | 48,509 | ||||
| 21,600 | Stone Energy Corporationb | 481,464 | ||||
| 18,700 | Swift Energy Companyb | 732,105 | ||||
| 34,050 | Tetra Technologies, Inc.b | 404,174 | ||||
| 30,800 | World Fuel Services Corporation | 1,113,728 | ||||
Total Energy | 11,525,307 | |||||
| Financials (18.6%) | ||||||
| 18,128 | Acadia Realty Trust | 330,655 | ||||
| 8,400 | Amerisafe, Inc.b | 147,000 | ||||
| 21,300 | Bank Mutual Corporation | 101,814 | ||||
| 5,900 | Bank of the Ozarks, Inc. | 255,765 | ||||
| 58,500 | BioMed Realty Trust, Inc. | 1,091,025 | ||||
| 34,400 | Boston Private Financial Holdings, Inc. | 225,320 | ||||
| 26,700 | Brookline Bancorp, Inc. | 289,695 | ||||
| 13,200 | Cash America International, Inc. | 487,476 | ||||
| 21,400 | Cedar Shopping Centers, Inc. | 134,606 | ||||
| 6,900 | City Holding Companya | 249,987 | ||||
| 37,400 | Colonial Properties Trust | 675,070 | ||||
| 17,500 | Columbia Banking System, Inc. | 368,550 | ||||
| 14,900 | Community Bank System, Inc. | 413,773 | ||||
| 24,365 | Delphi Financial Group, Inc. | 702,687 | ||||
| 69,067 | DiamondRock Hospitality Companyb | 828,804 | ||||
| 12,275 | Dime Community Bancshares | 179,092 | ||||
| 12,000 | EastGroup Properties, Inc. | 507,840 | ||||
| 10,100 | eHealth, Inc.a,b | 143,319 | ||||
| 17,900 | Employers Holdings, Inc. | 312,892 | ||||
| 20,700 | Entertainment Properties Trust | 957,375 | ||||
| 39,200 | Extra Space Storage, Inc. | 682,080 | ||||
| 22,200 | EZCORP, Inc.b | 602,286 | ||||
| 149,600 | First BanCorpa,b | 68,816 | ||||
| 13,500 | First Cash Financial Services, Inc.b | 418,365 | ||||
| 42,700 | First Commonwealth Financial Corporation | 302,316 | ||||
| 25,900 | First Financial Bancorp | 478,632 | ||||
| 9,300 | First Financial Bankshares, Inc.a | 475,974 | ||||
| 33,212 | First Midwest Bancorp, Inc. | 382,602 | ||||
| 15,800 | Forestar Real Estate Group, Inc.b | 304,940 | ||||
| 31,300 | Franklin Street Properties Corporation | 446,025 | ||||
| 32,100 | Glacier Bancorp, Inc. | 485,031 | ||||
| 13,100 | Hancock Holding Companya | 456,666 | ||||
| 69,600 | Hanmi Financial Corporationa,b | 80,040 | ||||
| 28,900 | Healthcare Realty Trust, Inc. | 611,813 | ||||
| 9,720 | Home Bancshares, Inc. | 214,132 | ||||
| 16,900 | Home Properties, Inc.a | 937,781 | ||||
| 17,600 | Horace Mann Educators Corporation | 317,504 | ||||
| 9,400 | Independent Bank Corporation (MA) | 254,270 | ||||
| 5,500 | Infinity Property & Casualty Corporation | 339,900 | ||||
| 34,300 | Inland Real Estate Corporation | 301,840 | ||||
| 18,900 | Interactive Brokers Group, Inc. | 336,798 | ||||
| 18,600 | Investment Technology Group, Inc.b | 304,482 | ||||
| 23,300 | Kilroy Realty Corporation | 849,751 | ||||
| 28,800 | Kite Realty Group Trust | 155,808 | ||||
| 17,000 | LaBranche & Company, Inc.b | 61,200 | ||||
| 32,600 | LaSalle Hotel Properties | 860,640 | ||||
| 57,259 | Lexington Realty Trust | 455,209 | ||||
| 11,700 | LTC Properties, Inc. | 328,536 | ||||
| 50,100 | Medical Properties Trust, Inc. | 542,583 | ||||
| 15,300 | Mid-America Apartment Communities, Inc. | 971,397 | ||||
| 17,100 | Nara Bancorp, Inc.b | 167,922 | ||||
| 19,600 | National Financial Partnersb | 262,640 | ||||
| 56,500 | National Penn Bancshares, Inc. | 453,695 | ||||
| 37,400 | National Retail Properties, Inc.a | 991,100 | ||||
| 5,500 | Navigators Group, Inc.b | 276,925 | ||||
| 15,300 | NBT Bancorp, Inc. | 369,495 | ||||
| 43,000 | Old National Bancorp | 511,270 | ||||
| 18,900 | optionsXpress Holdings, Inc. | 296,163 | ||||
| 9,900 | Parkway Properties, Inc. | 173,448 | ||||
| 24,800 | Pennsylvania Real Estate Investment Trusta | 360,344 | ||||
| 15,100 | Pinnacle Financial Partners, Inc.b | 205,058 | ||||
| 7,100 | Piper Jaffray Companiesb | 248,571 | ||||
| 7,600 | Portfolio Recovery Associates, Inc.b | 571,520 | ||||
| 21,700 | Post Properties, Inc. | 787,710 | ||||
| 9,700 | Presidential Life Corporation | 96,321 | ||||
| 26,200 | PrivateBancorp, Inc. | 376,756 | ||||
| 13,700 | ProAssurance Corporationb | 830,220 | ||||
| 23,300 | Provident Financial Services, Inc. | 352,529 | ||||
| 8,300 | PS Business Parks, Inc. | 462,476 | ||||
| 7,300 | RLI Corporation | 383,761 | ||||
| 11,000 | S&T Bancorp, Inc.a | 248,490 | ||||
| 6,700 | Safety Insurance Group, Inc. | 318,719 | ||||
| 5,100 | Saul Centers, Inc. | 241,485 | ||||
| 24,100 | Selective Insurance Group, Inc. | 437,415 | ||||
| 18,200 | Signature Bankb | 910,000 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.9%) | Value | ||||||
| Financials (18.6%) - continued | ||||||||
| 7,700 | Simmons First National Corporation | $ | 219,450 | |||||
| 12,300 | Sovran Self Storage, Inc. | 452,763 | ||||||
| 12,200 | Sterling Bancorp | 127,734 | ||||||
| 46,000 | Sterling Bancshares, Inc. | 322,920 | ||||||
| 8,300 | Stewart Information Services Corporationa | 95,699 | ||||||
| 15,700 | Stifel Financial Corporationb | 974,028 | ||||||
| 58,100 | Susquehanna Bancshares, Inc. | 562,408 | ||||||
| 14,026 | SWS Group, Inc. | 70,831 | ||||||
| 18,100 | Tanger Factory Outlet Centers, Inc. | 926,539 | ||||||
| 16,400 | Texas Capital Bancshares, Inc.b | 348,828 | ||||||
| 3,640 | Tompkins Financial Corporation | 142,542 | ||||||
| 18,500 | Tower Group, Inc. | 473,230 | ||||||
| 18,300 | TradeStation Group, Inc.b | 123,525 | ||||||
| 35,282 | Trustco Bank Corporation NYa | 223,688 | ||||||
| 13,300 | UMB Financial Corporation | 550,886 | ||||||
| 51,300 | Umpqua Holdings Corporation | 624,834 | ||||||
| 17,100 | United Bankshares, Inc.a | 499,320 | ||||||
| 43,276 | United Community Banks, Inc.b | 84,388 | ||||||
| 9,400 | United Fire & Casualty Company | 209,808 | ||||||
| 5,500 | Universal Health Realty Income Trust | 200,915 | ||||||
| 10,600 | Urstadt Biddle Properties, Inc. | 206,170 | ||||||
| 43,400 | Whitney Holding Corporation | 614,110 | ||||||
| 41,400 | Wilmington Trust Corporation | 179,676 | ||||||
| 9,000 | Wilshire Bancorp, Inc. | 68,580 | ||||||
| 15,400 | Wintrust Financial Corporation | 508,662 | ||||||
| 7,012 | World Acceptance Corporationa,b | 370,234 | ||||||
Total Financials | 40,945,963 | |||||||
| Health Care (12.4%) | ||||||||
| 9,900 | Abaxis, Inc.b | 265,815 | ||||||
| 31,800 | Affymetrix, Inc.b | 159,954 | ||||||
| 4,900 | Air Methods Corporationb | 275,723 | ||||||
| 30,400 | Align Technology, Inc.a,b | 594,016 | ||||||
| 3,700 | Almost Family, Inc.b | 142,154 | ||||||
| 13,033 | Amedisys, Inc.a,b | 436,606 | ||||||
| 34,200 | American Medical Systems Holdings, Inc.b | 645,012 | ||||||
| 22,200 | AMERIGROUP Corporationb | 975,024 | ||||||
| 17,700 | AMN Healthcare Services, Inc.b | 108,678 | ||||||
| 13,850 | AmSurg Corporationb | 290,158 | ||||||
| 5,700 | Analogic Corporation | 282,207 | ||||||
| 17,000 | ArQule, Inc.b | 99,790 | ||||||
| 10,900 | Bio-Reference Laboratories, Inc.b | 241,762 | ||||||
| 13,400 | Cambrex Corporationb | 69,278 | ||||||
| 5,700 | Cantel Medical Corporation | 133,380 | ||||||
| 17,500 | Catalyst Health Solutions, Inc.b | 813,575 | ||||||
| 22,000 | Centene Corporationb | 557,480 | ||||||
| 10,100 | Chemed Corporation | 641,451 | ||||||
| 4,900 | Computer Programs and Systems, Inc. | 229,516 | ||||||
| 12,550 | CONMED Corporationb | 331,697 | ||||||
| 20,500 | Cooper Companies, Inc. | 1,154,970 | ||||||
| 2,900 | Corvel Corporationb | 140,215 | ||||||
| 14,000 | Cross Country Healthcare, Inc.b | 118,580 | ||||||
| 12,850 | CryoLife, Inc.b | 69,647 | ||||||
| 26,400 | Cubist Pharmaceuticals, Inc.b | 564,960 | ||||||
| 10,700 | Cyberonics, Inc.b | 331,914 | ||||||
| 7,700 | Dionex Corporationb | 908,677 | ||||||
| 9,600 | Emergent Biosolutions, Inc.b | 225,216 | ||||||
| 5,800 | Ensign Group, Inc. | 144,246 | ||||||
| 15,597 | Enzo Biochem, Inc.b | 82,352 | ||||||
| 19,600 | eResearch Technology, Inc.b | 144,060 | ||||||
| 7,800 | Genoptix, Inc.b | 148,356 | ||||||
| 13,300 | Gentiva Health Services, Inc.b | 353,780 | ||||||
| 10,400 | Greatbatch, Inc.b | 251,160 | ||||||
| 11,000 | Haemonetics Corporationb | 694,980 | ||||||
| 14,500 | Hanger Orthopedic Group, Inc.b | 307,255 | ||||||
| 25,600 | Healthspring, Inc.b | 679,168 | ||||||
| 15,400 | Healthways, Inc.b | 171,864 | ||||||
| 4,600 | Hi-Tech Pharmacal Companyb | 114,770 | ||||||
| 12,300 | HMS Holding Corporationb | 796,671 | ||||||
| 5,200 | ICU Medical, Inc.b | 189,800 | ||||||
| 9,000 | Integra LifeSciences Holdings Corporationb | 425,700 | ||||||
| 14,400 | Invacare Corporation | 434,304 | ||||||
| 7,200 | IPC The Hospitalist Company, Inc.b | 280,872 | ||||||
| 6,600 | Kendle International, Inc.b | 71,874 | ||||||
| 3,800 | Kensey Nash Corporationb | 105,754 | ||||||
| 4,200 | Landauer, Inc. | 251,874 | ||||||
| 8,550 | LCA-Vision, Inc.b | 49,162 | ||||||
| 7,100 | LHC Group, Inc.b | 213,000 | ||||||
| 14,900 | Magellan Health Services, Inc.b | 704,472 | ||||||
| 14,900 | Martek Biosciences Corporationb | 466,370 | ||||||
| 9,200 | MedCath Corporationb | 128,340 | ||||||
| 18,100 | Meridian Bioscience, Inc. | 419,196 | ||||||
| 12,600 | Merit Medical Systems, Inc.b | 199,458 | ||||||
| 7,500 | Molina Healthcare, Inc.b | 208,875 | ||||||
| 5,500 | MWI Veterinary Supply, Inc.b | 347,325 | ||||||
| 13,000 | Natus Medical, Inc.b | 184,340 | ||||||
| 10,050 | Neogen Corporationb | 412,351 | ||||||
| 14,800 | Omnicell, Inc.b | 213,860 | ||||||
| 8,300 | Palomar Medical Technologies, Inc.b | 117,943 | ||||||
| 15,800 | Par Pharmaceutical Companies, Inc.b | 608,458 | ||||||
| 25,900 | PAREXEL International Corporationb | 549,857 | ||||||
| 13,200 | PharMerica Corporationb | 151,140 | ||||||
| 24,700 | PSS World Medical, Inc.b | 558,220 | ||||||
| 8,500 | Quality Systems, Inc.a | 593,470 | ||||||
| 32,400 | Regeneron Pharmaceuticals, Inc.b | 1,063,692 | ||||||
| 11,200 | RehabCare Group, Inc.b | 265,440 | ||||||
| 25,900 | Salix Pharmaceuticals, Ltd.b | 1,216,264 | ||||||
| 31,400 | Savient Pharmaceuticals, Inc.a,b | 349,796 | ||||||
| 7,700 | SurModics, Inc.b | 91,399 | ||||||
| 16,200 | Symmetry Medical, Inc.b | 149,850 | ||||||
| 34,900 | Viropharma, Inc.b | 604,468 | ||||||
| 14,800 | West Pharmaceutical Services, Inc. | 609,760 | ||||||
| 9,700 | Zoll Medical Corporationb | 361,131 | ||||||
Total Health Care | 27,293,932 | |||||||
| Industrials (15.8%) | ||||||||
| 14,900 | A.O. Smith Corporation | 567,392 | ||||||
| 5,300 | AAON, Inc. | 149,513 | ||||||
| 17,500 | AAR Corporationb | 480,725 | ||||||
| 20,900 | ABM Industries, Inc. | 549,670 | ||||||
| 30,400 | Actuant Corporation | 809,248 | ||||||
| 9,900 | Administaff, Inc. | 290,070 | ||||||
| 6,700 | Aerovironment, Inc.b | 179,761 | ||||||
| 12,300 | Albany International Corporation | 291,387 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.9%) | Value | ||||||
| Industrials (15.8%) - continued | |||||||
| 6,800 | Allegiant Travel Companya | $ | 334,832 | |||||
| 4,000 | American Science & Engineering, Inc. | 340,920 | ||||||
| 12,500 | Apogee Enterprises, Inc. | 168,375 | ||||||
| 16,850 | Applied Industrial Technologies, Inc. | 547,288 | ||||||
| 5,900 | Applied Signal Technology, Inc. | 223,551 | ||||||
| 11,300 | Arkansas Best Corporation | 309,846 | ||||||
| 8,800 | Astec Industries, Inc.b | 285,208 | ||||||
| 5,500 | AZZ, Inc. | 220,055 | ||||||
| 6,700 | Badger Meter, Inc.a | 296,274 | ||||||
| 20,300 | Barnes Group, Inc. | 419,601 | ||||||
| 20,925 | Belden, Inc. | 770,459 | ||||||
| 23,400 | Brady Corporation | 763,074 | ||||||
| 22,400 | Briggs & Stratton Corporation | 441,056 | ||||||
| 4,100 | Cascade Corporation | 193,848 | ||||||
| 5,800 | CDI Corporation | 107,822 | ||||||
| 11,050 | Ceradyne, Inc.b | 348,407 | ||||||
| 7,600 | Circor International, Inc. | 321,328 | ||||||
| 22,500 | CLARCOR, Inc. | 965,025 | ||||||
| 17,000 | Comfort Systems USA, Inc. | 223,890 | ||||||
| 4,600 | Consolidated Graphics, Inc.b | 222,778 | ||||||
| 7,000 | Cubic Corporation | 330,050 | ||||||
| 20,500 | Curtiss-Wright Corporation | 680,600 | ||||||
| 13,700 | Dolan Companyb | 190,704 | ||||||
| 15,600 | Dycom Industries, Inc.b | 230,100 | ||||||
| 29,600 | EMCOR Group, Inc.b | 857,808 | ||||||
| 8,500 | Encore Wire Corporation | 213,180 | ||||||
| 9,300 | EnPro Industries, Inc.b | 386,508 | ||||||
| 11,800 | ESCO Technologies, Inc. | 446,512 | ||||||
| 13,400 | Esterline Technologies Corporationb | 919,106 | ||||||
| 6,200 | Exponent, Inc.b | 232,686 | ||||||
| 28,200 | Federal Signal Corporation | 193,452 | ||||||
| 12,900 | Forward Air Corporation | 366,102 | ||||||
| 8,300 | G & K Services, Inc. | 256,553 | ||||||
| 26,700 | GenCorp, Inc.b | 138,039 | ||||||
| 28,800 | Geo Group, Inc.b | 710,208 | ||||||
| 13,500 | Gibraltar Industries, Inc.b | 183,195 | ||||||
| 21,030 | Griffon Corporationb | 267,922 | ||||||
| 29,737 | Healthcare Services Group, Inc. | 483,821 | ||||||
| 22,948 | Heartland Express, Inc. | 367,627 | ||||||
| 7,800 | Heidrick & Struggles International, Inc. | 223,470 | ||||||
| 16,600 | Hub Group, Inc.b | 583,324 | ||||||
| 11,300 | II-VI, Inc.b | 523,868 | ||||||
| 17,600 | Insituform Technologies, Inc.b | 466,576 | ||||||
| 28,600 | Interface, Inc. | 447,590 | ||||||
| 12,600 | John Bean Technologies Corporation | 253,638 | ||||||
| 11,600 | Kaman Corporation | 337,212 | ||||||
| 14,900 | Kaydon Corporation | 606,728 | ||||||
| 12,700 | Kelly Services, Inc.b | 238,760 | ||||||
| 27,750 | Knight Transportation, Inc. | 527,250 | ||||||
| 1,700 | Lawson Products, Inc. | 42,313 | ||||||
| 5,650 | Lindsay Manufacturing Companya | 335,779 | ||||||
| 7,800 | Lydall, Inc.b | 62,790 | ||||||
| 16,300 | Mobile Mini, Inc.b | 320,947 | ||||||
| 20,250 | Moog, Inc.b | 805,950 | ||||||
| 16,800 | Mueller Industries, Inc. | 549,360 | ||||||
| 2,300 | National Presto Industries, Inc. | 299,023 | ||||||
| 7,560 | NCI Building Systems, Inc.b | 105,764 | ||||||
| 18,825 | Old Dominion Freight Line, Inc.b | 602,212 | ||||||
| 16,500 | On Assignment, Inc.b | 134,475 | ||||||
| 25,900 | Orbital Sciences Corporationb | 443,667 | ||||||
| 12,100 | Orion Marine Group, Inc.b | 140,360 | ||||||
| 3,900 | Powell Industries, Inc.b | 128,232 | ||||||
| 16,775 | Quanex Building Products Corporation | 318,222 | ||||||
| 14,700 | Robbins & Myers, Inc.a | 525,966 | ||||||
| 7,100 | School Specialty, Inc.b | 98,903 | ||||||
| 23,600 | SFN Group, Inc.b | 230,336 | ||||||
| 17,600 | Simpson Manufacturing Company, Inc. | 544,016 | ||||||
| 24,600 | SkyWest, Inc. | 384,252 | ||||||
| 6,500 | Standard Register Company | 22,165 | ||||||
| 5,600 | Standex International Corporation | 167,496 | ||||||
| 18,100 | Sykes Enterprises, Inc.b | 366,706 | ||||||
| 16,200 | Teledyne Technologies, Inc.b | 712,314 | ||||||
| 27,506 | Tetra Tech, Inc.b | 689,300 | ||||||
| 13,900 | Toro Company | 856,796 | ||||||
| 10,200 | Tredegar Corporation | 197,676 | ||||||
| 7,300 | Triumph Group, Inc. | 652,693 | ||||||
| 19,600 | TrueBlue, Inc.b | 352,604 | ||||||
| 6,500 | UniFirst Corporation | 357,825 | ||||||
| 10,400 | United Stationers, Inc.b | 663,624 | ||||||
| 8,600 | Universal Forest Products, Inc. | 334,540 | ||||||
| 9,000 | Viad Corporation | 229,230 | ||||||
| 8,700 | Vicor Corporation | 142,680 | ||||||
| 5,500 | Volt Information Sciences, Inc.b | 47,575 | ||||||
| 13,000 | Watts Water Technologies, Inc. | 475,670 | ||||||
| Total Industrials | 34,825,453 | |||||||
| Information Technology (19.3%) | |||||||
| 17,300 | Advanced Energy Industries, Inc.b | 235,972 | ||||||
| 9,000 | Agilysys, Inc.b | 50,670 | ||||||
| 12,500 | Anixter International, Inc. | 746,625 | ||||||
| 55,223 | Arris Group, Inc.b | 619,602 | ||||||
| 14,000 | ATMI, Inc.b | 279,160 | ||||||
| 12,913 | Avid Technology, Inc.b | 225,461 | ||||||
| 5,200 | Bel Fuse, Inc. | 124,280 | ||||||
| 27,150 | Benchmark Electronics, Inc.b | 493,044 | ||||||
| 7,900 | Black Box Corporation | 302,491 | ||||||
| 19,500 | Blackbaud, Inc. | 505,050 | ||||||
| 19,200 | Blue Coat Systems, Inc.b | 573,504 | ||||||
| 14,400 | Bottomline Technologies, Inc.b | 312,624 | ||||||
| 30,300 | Brightpoint, Inc.b | 264,519 | ||||||
| 29,207 | Brooks Automation, Inc.b | 264,907 | ||||||
| 10,200 | Cabot Microelectronics Corporationb | 422,790 | ||||||
| 13,500 | CACI International, Inc.b | 720,900 | ||||||
| 9,800 | Ceva, Inc.b | 200,900 | ||||||
| 17,700 | Checkpoint Systems, Inc.b | 363,735 | ||||||
| 31,700 | CIBER, Inc.b | 148,356 | ||||||
| 17,800 | Cognex Corporation | 523,676 | ||||||
| 10,600 | Cohu, Inc. | 175,748 | ||||||
| 19,200 | CommVault Systems, Inc.b | 549,504 | ||||||
| 10,300 | Compellent Technologies, Inc.b | 284,177 | ||||||
| 11,300 | comScore, Inc.b | 252,103 | ||||||
| 12,300 | Comtech Telecommunications Corporation | 341,079 | ||||||
| 15,200 | CSG Systems International, Inc.b | 287,888 | ||||||
| 15,200 | CTS Corporation | 168,112 | ||||||
| 13,200 | Cymer, Inc.b | 594,924 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.9%) | Value | ||||||
| Information Technology (19.3%) - continued | |||||||
| 74,300 | Cypress Semiconductor Corporationb | $ | 1,380,494 | |||||
| 15,800 | Daktronics, Inc. | 251,536 | ||||||
| 18,100 | DealerTrack Holdings, Inc.b | 363,267 | ||||||
| 10,900 | DG FastChannel, Inc.b | 314,792 | ||||||
| 11,300 | Digi International, Inc.b | 125,430 | ||||||
| 16,150 | Diodes, Inc.b | 435,888 | ||||||
| 10,700 | DSP Group, Inc.b | 87,098 | ||||||
| 7,600 | DTS, Inc.b | 372,780 | ||||||
| 15,600 | Ebix, Inc.a,b | 369,252 | ||||||
| 10,600 | Electro Scientific Industries, Inc.b | 169,918 | ||||||
| 6,800 | EMS Technologies, Inc.b | 134,504 | ||||||
| 20,800 | Epicor Software Corporationb | 210,080 | ||||||
| 14,500 | EPIQ Systems, Inc. | 199,085 | ||||||
| 20,300 | Exar Corporationb | 141,694 | ||||||
| 7,200 | FARO Technologies, Inc.b | 236,448 | ||||||
| 17,000 | FEI Companyb | 448,970 | ||||||
| 6,500 | Forrester Research, Inc. | 229,385 | ||||||
| 11,300 | Gerber Scientific, Inc.b | 88,931 | ||||||
| 43,600 | Harmonic, Inc.b | 373,652 | ||||||
| 17,000 | Heartland Payment Systems, Inc. | 262,140 | ||||||
| 11,000 | Hittite Microwave Corporationb | 671,440 | ||||||
| 11,000 | Hutchinson Technology, Inc.a,b | 40,810 | ||||||
| 12,900 | iGATE Corporation | 254,259 | ||||||
| 16,300 | InfoSpace, Inc.b | 135,290 | ||||||
| 20,675 | Insight Enterprises, Inc.b | 272,083 | ||||||
| 7,900 | Integral Systems, Inc.b | 78,289 | ||||||
| 5,900 | Interactive Intelligence, Inc.b | 154,344 | ||||||
| 21,400 | Intermec, Inc.b | 270,924 | ||||||
| 10,000 | Intevac, Inc.b | 140,100 | ||||||
| 20,300 | J2 Global Communication, Inc.b | 587,685 | ||||||
| 19,500 | JDA Software Group, Inc.b | 546,000 | ||||||
| 13,800 | Knot, Inc.b | 136,344 | ||||||
| 29,700 | Kopin Corporationb | 123,552 | ||||||
| 31,600 | Kulicke and Soffa Industries, Inc.b | 227,520 | ||||||
| 7,600 | Liquidity Services, Inc.b | 106,780 | ||||||
| 9,900 | Littelfuse, Inc. | 465,894 | ||||||
| 7,400 | LogMeIn, Inc.b | 328,116 | ||||||
| 8,300 | LoJack Corporationb | 53,618 | ||||||
| 9,700 | Manhattan Associates, Inc.b | 296,238 | ||||||
| 7,600 | MAXIMUS, Inc. | 498,408 | ||||||
| 10,800 | Mercury Computer Systems, Inc.b | 198,504 | ||||||
| 16,500 | Methode Electronics, Inc. | 214,005 | ||||||
| 22,400 | Micrel, Inc.a | 290,976 | ||||||
| 37,200 | Microsemi Corporationb | 851,880 | ||||||
| 3,700 | MicroStrategy, Inc.b | 316,239 | ||||||
| 22,400 | MKS Instruments, Inc.b | 548,576 | ||||||
| 16,100 | Monolithic Power Systems, Inc.b | 265,972 | ||||||
| 6,800 | MTS Systems Corporation | 254,728 | ||||||
| 3,500 | NCI, Inc.b | 80,465 | ||||||
| 15,900 | NETGEAR, Inc.b | 535,512 | ||||||
| 15,600 | NetScout Systems, Inc.b | 358,956 | ||||||
| 13,700 | Network Equipment Technologies, Inc.a,b | 63,431 | ||||||
| 16,400 | Newport Corporationb | 284,868 | ||||||
| 14,200 | Novatel Wireless, Inc.b | 135,610 | ||||||
| 8,700 | Oplink Communications, Inc.b | 160,689 | ||||||
| 8,400 | OSI Systems, Inc.b | 305,424 | ||||||
| 9,150 | Park Electrochemical Corporation | 274,500 | ||||||
| 8,600 | PC-Tel, Inc.b | 51,600 | ||||||
| 13,200 | Perficient, Inc.b | 165,000 | ||||||
| 11,200 | Pericom Semiconductor Corporationb | 122,976 | ||||||
| 18,000 | Plexus Corporationb | 556,920 | ||||||
| 12,400 | Power Integrations, Inc. | 497,736 | ||||||
| 19,300 | Progress Software Corporationb | 816,776 | ||||||
| 18,900 | Pulse Electronics Corporation | 100,548 | ||||||
| 14,900 | Radiant Systems, Inc.b | 291,593 | ||||||
| 11,000 | RadiSys Corporationb | 97,900 | ||||||
| 10,500 | RightNow Technologies, Inc.b | 248,535 | ||||||
| 12,600 | Rofin-Sinar Technologies, Inc.b | 446,544 | ||||||
| 7,000 | Rogers Corporationb | 267,750 | ||||||
| 14,100 | Rudolph Technologies, Inc.b | 116,043 | ||||||
| 11,900 | ScanSource, Inc.b | 379,610 | ||||||
| 12,500 | Sigma Designs, Inc.b | 177,125 | ||||||
| 13,400 | Smith Micro Software, Inc.b | 210,916 | ||||||
| 21,700 | Sonic Solutions, Inc.a,b | 325,500 | ||||||
| 12,600 | Sourcefire, Inc.b | 326,718 | ||||||
| 10,100 | Standard Microsystems Corporationb | 291,183 | ||||||
| 5,600 | StarTek, Inc.b | 28,392 | ||||||
| 9,300 | Stratasys, Inc.a,b | 303,552 | ||||||
| 11,300 | Super Micro Computer, Inc.b | 130,402 | ||||||
| 5,800 | Supertex, Inc.b | 140,244 | ||||||
| 19,650 | Symmetricom, Inc.b | 139,319 | ||||||
| 15,300 | Synaptics, Inc.a,b | 449,514 | ||||||
| 10,800 | Synchronoss Technologies, Inc.b | 288,468 | ||||||
| 10,500 | Synnex Corporationb | 327,600 | ||||||
| 37,950 | Take-Two Interactive Software, Inc.b | 464,508 | ||||||
| 18,000 | Taleo Corporationb | 497,700 | ||||||
| 30,800 | Tekelec, Inc.b | 366,828 | ||||||
| 12,900 | TeleTech Holdings, Inc.b | 265,611 | ||||||
| 22,500 | Tessera Technologies, Inc.b | 498,375 | ||||||
| 30,537 | THQ, Inc.b | 185,054 | ||||||
| 4,600 | Tollgrade Communications, Inc.b | 42,688 | ||||||
| 71,100 | TriQuint Semiconductor, Inc.b | 831,159 | ||||||
| 19,400 | TTM Technologies, Inc.b | 289,254 | ||||||
| 11,200 | Tyler Technologies, Inc.b | 232,512 | ||||||
| 10,900 | Ultratech, Inc.b | 216,692 | ||||||
| 38,600 | United Online, Inc. | 254,760 | ||||||
| 32,975 | Varian Semiconductor Equipment Associates, Inc.b | 1,219,086 | ||||||
| 17,900 | Veeco Instruments, Inc.a,b | 768,984 | ||||||
| 18,300 | Viasat, Inc.b | 812,703 | ||||||
| 12,100 | Volterra Semiconductor Corporationb | 280,236 | ||||||
| 18,600 | Websense, Inc.b | 376,650 | ||||||
| 17,000 | Wright Express Corporationb | 782,000 | ||||||
| Total Information Technology | 42,438,438 | |||||||
| Materials (4.5%) | |||||||
| 14,000 | A. Schulman, Inc. | 320,460 | ||||||
| 7,500 | A.M. Castle & Companyb | 138,075 | ||||||
| 11,200 | AMCOL International Corporation | 347,200 | ||||||
| 9,800 | American Vanguard Corporation | 83,692 | ||||||
| 11,200 | Arch Chemicals, Inc. | 424,816 | ||||||
| 12,700 | Balchem Corporation | 429,387 | ||||||
| 9,000 | Brush Engineered Materials, Inc.b | 347,760 | ||||||
| 17,700 | Buckeye Technologies, Inc. | 371,877 | ||||||
| 25,300 | Calgon Carbon Corporationb | 382,536 | ||||||
| 25,200 | Century Aluminum Companyb | 391,356 | ||||||
| 5,200 | Clearwater Paper Corporationb | 407,160 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.9%) | Value | ||||||
| Materials (4.5%) - continued | ||||||||
| 4,800 | Deltic Timber Corporation | $ | 270,432 | |||||
| 19,700 | Eagle Materials, Inc. | 556,525 | ||||||
| 21,800 | H.B. Fuller Company | 447,336 | ||||||
| 27,300 | Headwaters, Inc.b | 125,034 | ||||||
| 6,600 | Kaiser Aluminum Corporation | 330,594 | ||||||
| 17,000 | KapStone Paper and Packaging Corporationb | 260,100 | ||||||
| 7,200 | LSB Industries, Inc.b | 174,672 | ||||||
| 15,963 | Myers Industries, Inc. | 155,480 | ||||||
| 6,600 | Neenah Paper, Inc. | 129,888 | ||||||
| 4,100 | Olympic Steel, Inc. | 117,588 | ||||||
| 13,700 | OM Group, Inc.b | 527,587 | ||||||
| 5,300 | Penford Corporationb | 32,383 | ||||||
| 41,800 | PolyOne Corporationb | 522,082 | ||||||
| 5,000 | Quaker Chemical Corporation | 208,350 | ||||||
| 13,400 | RTI International Metals, Inc.b | 361,532 | ||||||
| 8,100 | Schweitzer-Mauduit International, Inc. | 509,652 | ||||||
| 3,400 | Stepan Company | 259,318 | ||||||
| 18,500 | STR Holdings, Inc.b | 370,000 | ||||||
| 12,400 | Texas Industries, Inc.a | 567,672 | ||||||
| 22,100 | Wausau Paper Corporation | 190,281 | ||||||
| 9,650 | Zep, Inc. | 191,842 | ||||||
Total Materials | 9,952,667 | |||||||
| Telecommunications Services (0.6%) | ||||||||
| 4,000 | Atlantic Tele-Network, Inc. | 153,360 | ||||||
| 13,700 | Cbeyond, Inc.a,b | 209,336 | ||||||
| 17,500 | General Communication, Inc.b | 221,550 | ||||||
| 14,700 | Neutral Tandem, Inc.b | 212,268 | ||||||
| 13,300 | NTELOS Holdings Corporation | 253,365 | ||||||
| 9,900 | USA Mobility, Inc. | 175,923 | ||||||
Total Telecommunications Services | 1,225,802 | |||||||
| Utilities (3.7%) | ||||||||
| 13,933 | ALLETE, Inc. | 519,144 | ||||||
| 8,250 | American States Water Company | 284,378 | ||||||
| 25,500 | Avista Corporation | 574,260 | ||||||
| 5,900 | Central Vermont Public Service Corporation | 128,974 | ||||||
| 7,000 | CH Energy Group, Inc. | 342,230 | ||||||
| 19,100 | El Paso Electric Companyb | 525,823 | ||||||
| 10,000 | Laclede Group, Inc. | 365,400 | ||||||
| 18,350 | New Jersey Resources Corporation | 791,068 | ||||||
| 11,900 | Northwest Natural Gas Company | 552,993 | ||||||
| 16,200 | NorthWestern Corporation | 467,046 | ||||||
| 32,300 | Piedmont Natural Gas Company, Inc.a | 903,108 | ||||||
| 13,300 | South Jersey Industries, Inc. | 702,506 | ||||||
| 20,300 | Southwest Gas Corporation | 744,401 | ||||||
| 22,466 | UIL Holdings Corporation | 673,081 | ||||||
| 16,300 | UniSource Energy Corporation | 584,192 | ||||||
Total Utilities | 8,158,604 | |||||||
Total Common Stock (cost $172,779,073) | 215,562,690 | |||||||
Collateral Held for Securities Loaned (8.0%) | ||||||||
| 17,693,984 | Thrivent Financial Securities Lending Trust | $ | 17,693,984 | |||||
Total Collateral Held for Securities Loaned (cost $17,693,984) | 17,693,984 | |||||||
| Principal Amount | Short-Term Investments (2.1%)c | |||||||
U.S. Treasury Bills | ||||||||
| 4,550,000 | 0.118%, 2/24/2011d,e | 4,549,212 | ||||||
Total Short-Term Investments (at amortized cost) | 4,549,212 | |||||||
Total Investments (cost $195,022,269) 108.0% | $ | 237,805,886 | ||||||
Other Assets and Liabilities, Net (8.0%) | (17,704,712 | ) | ||||||
Total Net Assets 100.0% | $ | 220,101,174 | ||||||
| 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. |
| d | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| e | At December 31, 2010, $349,939 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 | $ | 59,087,120 | ||
Gross unrealized depreciation | (21,140,971 | ) | ||
Net unrealized appreciation (depreciation) | $ | 37,946,149 | ||
Cost for federal income tax purposes | $ | 199,859,737 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 31,830,644 | 31,830,644 | — | — | ||||||||||||
Consumer Staples | 7,365,880 | 7,365,880 | — | — | ||||||||||||
Energy | 11,525,307 | 11,525,307 | — | — | ||||||||||||
Financials | 40,945,963 | 40,945,963 | — | — | ||||||||||||
Health Care | 27,293,932 | 27,293,932 | — | — | ||||||||||||
Industrials | 34,825,453 | 34,825,453 | — | — | ||||||||||||
Information Technology | 42,438,438 | 42,438,438 | — | — | ||||||||||||
Materials | 9,952,667 | 9,952,667 | — | — | ||||||||||||
Telecommunications Services | 1,225,802 | 1,225,802 | — | — | ||||||||||||
Utilities | 8,158,604 | 8,158,604 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 17,693,984 | 17,693,984 | — | — | ||||||||||||
Short-Term Investments | 4,549,212 | — | 4,549,212 | — | ||||||||||||
Total | $ | 237,805,886 | $ | 233,256,674 | $ | 4,549,212 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives Futures Contracts | 36,419 | 36,419 | — | — | ||||||||||||
Total Asset Derivatives | $ | 36,419 | $ | 36,419 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 59 | March 2011 | $ | 4,579,151 | $ | 4,615,570 | $ | 36,419 | ||||||||||||
Total Futures Contracts | $ | 36,419 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 36,419 | ||||
Total Equity Contracts | 36,419 | |||||
Total Asset Derivatives | $ | 36,419 | ||||
| * | 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, 2010, 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 | 188,802 | ||||
Total Equity Contracts | 188,802 | |||||
Total | $ | 188,802 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (76,863 | ) | |||
Total Equity Contracts | (76,863 | ) | ||||
Total | ($ | 76,863 | ) | |||
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,533,852 | 1.2 | % | ||||
| * | 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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 24,200,701 | $ | 88,983,876 | $ | 95,490,593 | 17,693,984 | $ | 17,693,984 | $ | 208,235 | |||||||||||||
Total Value and Income Earned | 24,200,701 | 17,693,984 | 208,235 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (94.1%) | Value | ||||||
| Consumer Discretionary (13.6%) | ||||||||
| 32,200 | Abercrombie & Fitch Company | $ | 1,855,687 | |||||
| 99,100 | American Eagle Outfitters, Inc. | 1,449,833 | ||||||
| 22,100 | Autoliv, Inc. | 1,744,574 | ||||||
| 23,700 | BorgWarner, Inc.a | 1,714,932 | ||||||
| 36,400 | Darden Restaurants, Inc. | 1,690,416 | ||||||
| 32,500 | Discovery Communications, Inc.a | 1,355,250 | ||||||
| 50,550 | Dollar Tree, Inc.a | 2,834,844 | ||||||
| 44,600 | DreamWorks Animation SKG, Inc.a | 1,314,362 | ||||||
| 34,700 | Guess ?, Inc. | 1,642,004 | ||||||
| 54,900 | International Game Technology | 971,181 | ||||||
| 81,000 | MGM Resorts Internationala,b | 1,202,850 | ||||||
| 21,100 | O’Reilly Automotive, Inc.a | 1,274,862 | ||||||
| 14,700 | P.F. Chang’s China Bistro, Inc.b | 712,362 | ||||||
| 52,500 | Toll Brothers, Inc.a | 997,500 | ||||||
| 13,100 | VF Corporation | 1,128,958 | ||||||
Total Consumer Discretionary | 21,889,615 | |||||||
| Consumer Staples (5.7%) | ||||||||
| 59,900 | Avon Products, Inc. | 1,740,694 | ||||||
| 31,784 | BJ’s Wholesale Club, Inc.a | 1,522,453 | ||||||
| 20,700 | Clorox Company | 1,309,896 | ||||||
| 56,200 | H.J. Heinz Company | 2,779,652 | ||||||
| 34,200 | Whole Foods Market, Inc.a | 1,730,178 | ||||||
Total Consumer Staples | 9,082,873 | |||||||
| Energy (11.0%) | ||||||||
| 39,400 | Alpha Natural Resources, Inc.a | 2,365,182 | ||||||
| 19,400 | Dresser-Rand Group, Inc.a | 826,246 | ||||||
| 32,200 | ENSCO International plc ADR | 1,718,836 | ||||||
| 65,800 | Forest Oil Corporationa | 2,498,426 | ||||||
| 37,900 | Frontline, Ltd.b | 961,523 | ||||||
| 83,300 | Nabors Industries, Ltd.a | 1,954,218 | ||||||
| 119,900 | Petrohawk Energy Corporationa | 2,188,175 | ||||||
| 21,700 | Range Resources Corporation | 976,066 | ||||||
| 31,400 | Sunoco, Inc. | 1,265,734 | ||||||
| 50,900 | Ultra Petroleum Corporationa | 2,431,493 | ||||||
| 48,300 | Willbros Group, Inc.a | 474,306 | ||||||
Total Energy | 17,660,205 | |||||||
| Financials (5.3%) | ||||||||
| 68,400 | Discover Financial Services | 1,267,452 | ||||||
| 6,600 | IntercontinentalExchange, Inc.a | 786,390 | ||||||
| 46,800 | Lazard, Ltd. | 1,848,132 | ||||||
| 21,700 | MSCI, Inc.a | 845,432 | ||||||
| 26,400 | PartnerRe, Ltd. | 2,121,240 | ||||||
| 80,793 | TCF Financial Corporationb | 1,196,544 | ||||||
| 26,800 | TD Ameritrade Holding Corporation | 508,932 | ||||||
Total Financials | 8,574,122 | |||||||
| Health Care (12.0%) | ||||||||
| 10,600 | Alexion Pharmaceuticals, Inc.a | 853,830 | ||||||
| 29,900 | Beckman Coulter, Inc. | 2,249,377 | ||||||
| 172,200 | Boston Scientific Corporationa,b | 1,303,554 | ||||||
| 25,100 | C.R. Bard, Inc. | 2,303,427 | ||||||
| 15,300 | Cephalon, Inc.a | 944,316 | ||||||
| 43,000 | CIGNA Corporation | 1,576,380 | ||||||
| 89,100 | Hologic, Inc.a | 1,676,862 | ||||||
| 24,600 | Hospira, Inc.a | 1,369,974 | ||||||
| 22,400 | Life Technologies Corporationa | 1,243,200 | ||||||
| 75,300 | Myriad Genetics, Inc.a | 1,719,852 | ||||||
| 20,900 | Shire Pharmaceuticals Group plc ADR | 1,512,742 | ||||||
| 27,800 | Thermo Fisher Scientific, Inc.a | 1,539,008 | ||||||
| 25,500 | Vertex Pharmaceuticals, Inc.a | 893,265 | ||||||
Total Health Care | 19,185,787 | |||||||
| Industrials (16.9%) | ||||||||
| 52,700 | Aecom Technology Corporationa | 1,474,019 | ||||||
| 72,000 | BE Aerospace, Inc.a | 2,666,160 | ||||||
| 49,500 | Delta Air Lines, Inc.a | 623,700 | ||||||
| 49,700 | Expeditors International of Washington, Inc. | 2,713,620 | ||||||
| 24,699 | FTI Consulting, Inc.a | 920,779 | ||||||
| 55,400 | JB Hunt Transport Services, Inc. | 2,260,874 | ||||||
| 76,600 | Knight Transportation, Inc. | 1,455,400 | ||||||
| 36,700 | Manpower, Inc. | 2,303,292 | ||||||
| 39,500 | Pentair, Inc. | 1,442,145 | ||||||
| 19,200 | Precision Castparts Corporation | 2,672,832 | ||||||
| 36,500 | Quanta Services, Inc.a | 727,080 | ||||||
| 19,600 | Roper Industries, Inc. | 1,498,028 | ||||||
| 36,800 | Ryanair Holdings plc ADR | 1,131,968 | ||||||
| 38,600 | Shaw Group, Inc.a | 1,321,278 | ||||||
| 19,300 | SPX Corporation | 1,379,757 | ||||||
| 30,100 | Stericycle, Inc.a | 2,435,692 | ||||||
Total Industrials | 27,026,624 | |||||||
| Information Technology (18.6%) | ||||||||
| 20,787 | Akamai Technologies, Inc.a | 978,028 | ||||||
| 14,500 | Altera Corporation | 515,910 | ||||||
| 15,300 | ANSYS, Inc.a | 796,671 | ||||||
| 174,000 | Atmel Corporationa | 2,143,680 | ||||||
| 19,400 | CommVault Systems, Inc.a | 555,228 | ||||||
| 62,400 | Electronic Arts, Inc.a | 1,022,112 | ||||||
| 32,300 | F5 Networks, Inc.a | 4,204,168 | ||||||
| 57,100 | JDS Uniphase Corporationa | 826,808 | ||||||
| 79,800 | Marvell Technology Group, Ltd.a | 1,480,290 | ||||||
| 9,200 | Mercadolibre, Inc.a | 613,180 | ||||||
| 52,260 | Monster Worldwide, Inc.a | 1,234,904 | ||||||
| 48,800 | NetApp, Inc.a | 2,682,048 | ||||||
| 47,302 | Netlogic Microsystems, Inc.a,b | 1,485,756 | ||||||
| 22,600 | Nice Systems, Ltd. ADRa | 788,740 | ||||||
| 117,600 | Nuance Communications, Inc.a | 2,137,968 | ||||||
| 105,700 | NVIDIA Corporationa | 1,627,780 | ||||||
| 71,900 | Polycom, Inc.a | 2,802,662 | ||||||
| 20,200 | Red Hat, Inc.a | 922,130 | ||||||
| 13,200 | Riverbed Technology, Inc.a | 464,244 | ||||||
| 94,100 | Symantec Corporationa | 1,575,234 | ||||||
| 23,100 | Teradata Corporationa | 950,796 | ||||||
Total Information Technology | 29,808,337 | |||||||
| Materials (8.9%) | ||||||||
| 14,900 | Allegheny Technologies, Inc. | 822,182 | ||||||
| 54,300 | Celanese Corporation | 2,235,531 | ||||||
| 29,800 | Crown Holdings, Inc.a | 994,724 | ||||||
| 42,000 | Ecolab, Inc. | 2,117,640 | ||||||
| 24,900 | Newmont Mining Corporation | 1,529,607 | ||||||
| 45,600 | Pan American Silver Corporation | 1,879,176 | ||||||
| 6,300 | Randgold Resources, Ltd. ADRb | 518,679 | ||||||
| 16,800 | Reliance Steel & Aluminum Company | 858,480 | ||||||
| 71,900 | Temple-Inland, Inc. | 1,527,156 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Table of Contents
Mid Cap Growth Portfolio II
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (94.1%) | Value | ||||||
| Materials (8.9%) - continued | ||||||||
| 13,900 | Walter Energy, Inc. | $ | 1,776,976 | |||||
Total Materials | 14,260,151 | |||||||
| Telecommunications Services (2.1%) | ||||||||
| 22,900 | NII Holdings, Inc.a | 1,022,714 | ||||||
| 56,400 | SBA Communications Corporationa | 2,309,016 | ||||||
Total Telecommunications Services | 3,331,730 | |||||||
Total Common Stock (cost $112,425,111) | 150,819,444 | |||||||
Collateral Held for Securities Loaned (3.0%) | ||||||||
| 4,709,450 | Thrivent Financial Securities Lending Trust | 4,709,450 | ||||||
Total Collateral Held for Securities Loaned (cost $4,709,450) | 4,709,450 | |||||||
| Principal Amount | Short-Term Investments (5.9%)c | |||||||
Ciesco, LLC | ||||||||
| 3,960,000 | 0.120%, 1/3/2011 | 3,959,974 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.095%, 1/14/2011d | 2,999,897 | ||||||
| 2,500,000 | 0.120%, 2/9/2011d | 2,499,675 | ||||||
Total Short-Term Investments (at amortized cost) | 9,459,546 | |||||||
Total Investments (cost $126,594,107) 103.0% | $ | 164,988,440 | ||||||
Other Assets and Liabilities, Net (3.0%) | (4,760,421 | ) | ||||||
Total Net Assets 100.0% | $ | 160,228,019 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 40,495,184 | ||
Gross unrealized depreciation | (2,289,429 | ) | ||
Net unrealized appreciation (depreciation) | $ | 38,205,755 | ||
Cost for federal income tax purposes | $ | 126,782,685 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 21,889,615 | 21,889,615 | — | — | ||||||||||||
Consumer Staples | 9,082,873 | 9,082,873 | — | — | ||||||||||||
Energy | 17,660,205 | 17,660,205 | — | — | ||||||||||||
Financials | 8,574,122 | 8,574,122 | — | — | ||||||||||||
Health Care | 19,185,787 | 19,185,787 | — | — | ||||||||||||
Industrials | 27,026,624 | 27,026,624 | — | — | ||||||||||||
Information Technology | 29,808,337 | 29,808,337 | — | — | ||||||||||||
Materials | 14,260,151 | 14,260,151 | — | — | ||||||||||||
Telecommunications Services | 3,331,730 | 3,331,730 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 4,709,450 | 4,709,450 | — | — | ||||||||||||
Short-Term Investments | 9,459,546 | — | 9,459,546 | — | ||||||||||||
Total | $ | 164,988,440 | $ | 155,528,894 | $ | 9,459,546 | $ | — | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Table of Contents
Mid Cap Growth Portfolio II
Schedule of Investments as of December 31, 2010
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 2,701,775 | $ | 57,793,844 | $ | 55,786,169 | 4,709,450 | $ | 4,709,450 | $ | 28,305 | |||||||||||||
Total Value and Income Earned | 2,701,775 | 4,709,450 | 28,305 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (95.0%) | Value | ||||||
| Consumer Discretionary (14.7%) | ||||||||
| 87,100 | Abercrombie & Fitch Company | $ | 5,019,573 | |||||
| 207,600 | American Eagle Outfitters, Inc. | 3,037,188 | ||||||
| 56,100 | Autoliv, Inc. | 4,428,534 | ||||||
| 71,350 | BorgWarner, Inc.a | 5,162,886 | ||||||
| 85,600 | Darden Restaurants, Inc. | 3,975,264 | ||||||
| 73,350 | Discovery Communications, Inc.a | 3,058,695 | ||||||
| 99,700 | Dollar Tree, Inc.a | 5,591,176 | ||||||
| 117,300 | DreamWorks Animation SKG, Inc.a | 3,456,831 | ||||||
| 76,200 | Guess ?, Inc. | 3,605,784 | ||||||
| 81,650 | Hasbro, Inc. | 3,852,247 | ||||||
| 120,950 | International Game Technology | 2,139,605 | ||||||
| 56,150 | Jack in the Box, Inc.a | 1,186,450 | ||||||
| 99,800 | KB Home | 1,346,302 | ||||||
| 231,400 | MGM Resorts Internationala,b | 3,436,290 | ||||||
| 51,500 | O’Reilly Automotive, Inc.a | 3,111,630 | ||||||
| 39,800 | P.F. Chang’s China Bistro, Inc.b | 1,928,708 | ||||||
| 125,725 | Toll Brothers, Inc.a | 2,388,775 | ||||||
| 36,700 | VF Corporation | 3,162,806 | ||||||
| 41,400 | WMS Industries, Inc.a | 1,872,936 | ||||||
Total Consumer Discretionary | 61,761,680 | |||||||
| Consumer Staples (5.2%) | ||||||||
| 134,200 | Avon Products, Inc. | 3,899,852 | ||||||
| 86,300 | BJ’s Wholesale Club, Inc.a | 4,133,770 | ||||||
| 57,300 | Clorox Company | 3,625,944 | ||||||
| 116,000 | H.J. Heinz Company | 5,737,360 | ||||||
| 91,600 | Whole Foods Market, Inc.a | 4,634,044 | ||||||
Total Consumer Staples | 22,030,970 | |||||||
| Energy (11.3%) | ||||||||
| 102,400 | Alpha Natural Resources, Inc.a | 6,147,072 | ||||||
| 36,300 | Arch Coal, Inc. | 1,272,678 | ||||||
| 50,900 | Dresser-Rand Group, Inc.a | 2,167,831 | ||||||
| 69,400 | ENSCO International plc ADR | 3,704,572 | ||||||
| 169,500 | Forest Oil Corporationa | 6,435,915 | ||||||
| 83,300 | Frontline, Ltd.b | 2,113,321 | ||||||
| 166,600 | Nabors Industries, Ltd.a | 3,908,436 | ||||||
| 273,725 | Petrohawk Energy Corporationa | 4,995,481 | ||||||
| 50,200 | Range Resources Corporation | 2,257,996 | ||||||
| 89,675 | Sunoco, Inc. | 3,614,799 | ||||||
| 138,500 | Ultra Petroleum Corporationa | 6,616,145 | ||||||
| 129,200 | Weatherford International, Ltd.a | 2,945,760 | ||||||
| 143,525 | Willbros Group, Inc.a | 1,409,416 | ||||||
Total Energy | 47,589,422 | |||||||
| Financials (5.2%) | ||||||||
| 184,000 | Discover Financial Services | 3,409,520 | ||||||
| 16,850 | IntercontinentalExchange, Inc.a | 2,007,677 | ||||||
| 129,250 | Lazard, Ltd. | 5,104,083 | ||||||
| 61,800 | MSCI, Inc.a | 2,407,728 | ||||||
| 57,600 | PartnerRe, Ltd. | 4,628,160 | ||||||
| 188,614 | TCF Financial Corporationb | 2,793,373 | ||||||
| 70,600 | TD Ameritrade Holding Corporation | 1,340,694 | ||||||
Total Financials | 21,691,235 | |||||||
| Health Care (11.1%) | ||||||||
| 29,600 | Alexion Pharmaceuticals, Inc.a | 2,384,280 | ||||||
| 64,600 | Beckman Coulter, Inc. | 4,859,858 | ||||||
| 332,000 | Boston Scientific Corporationa,b | 2,513,240 | ||||||
| 67,575 | C.R. Bard, Inc. | 6,201,358 | ||||||
| 31,100 | Cephalon, Inc.a | 1,919,492 | ||||||
| 113,100 | CIGNA Corporation | 4,146,246 | ||||||
| 178,250 | Hologic, Inc.a | 3,354,665 | ||||||
| 65,600 | Hospira, Inc.a | 3,653,264 | ||||||
| 50,700 | Life Technologies Corporationa | 2,813,850 | ||||||
| 189,850 | Myriad Genetics, Inc.a | 4,336,174 | ||||||
| 57,900 | Shire Pharmaceuticals Group plc ADR | 4,190,802 | ||||||
| 55,800 | Thermo Fisher Scientific, Inc.a | 3,089,088 | ||||||
| 51,300 | Vertex Pharmaceuticals, Inc.a | 1,797,039 | ||||||
| 25,100 | Watson Pharmaceuticals, Inc.a | 1,296,415 | ||||||
Total Health Care | 46,555,771 | |||||||
| Industrials (16.8%) | ||||||||
| 130,400 | Aecom Technology Corporationa | 3,647,288 | ||||||
| 186,600 | BE Aerospace, Inc.a | 6,909,798 | ||||||
| 32,400 | C.H. Robinson Worldwide, Inc. | 2,598,156 | ||||||
| 136,075 | Delta Air Lines, Inc.a | 1,714,545 | ||||||
| 130,795 | Expeditors International of Washington, Inc. | 7,141,407 | ||||||
| 58,647 | FTI Consulting, Inc.a | 2,186,360 | ||||||
| 134,100 | JB Hunt Transport Services, Inc. | 5,472,621 | ||||||
| 166,900 | Knight Transportation, Inc. | 3,171,100 | ||||||
| 84,400 | Manpower, Inc. | 5,296,944 | ||||||
| 93,275 | Pentair, Inc. | 3,405,470 | ||||||
| 45,450 | Precision Castparts Corporation | 6,327,095 | ||||||
| 101,600 | Quanta Services, Inc.a | 2,023,872 | ||||||
| 64,875 | Roper Industries, Inc. | 4,958,396 | ||||||
| 88,550 | Ryanair Holdings plc ADR | 2,723,798 | ||||||
| 99,900 | Shaw Group, Inc.a | 3,419,577 | ||||||
| 50,900 | SPX Corporation | 3,638,841 | ||||||
| 71,500 | Stericycle, Inc.a | 5,785,780 | ||||||
Total Industrials | 70,421,048 | |||||||
| Information Technology (18.5%) | ||||||||
| 44,414 | Akamai Technologies, Inc.a | 2,089,679 | ||||||
| 37,800 | Altera Corporation | 1,344,924 | ||||||
| 40,400 | ANSYS, Inc.a | 2,103,628 | ||||||
| 443,200 | Atmel Corporationa | 5,460,224 | ||||||
| 35,400 | Broadcom Corporation | 1,541,670 | ||||||
| 52,800 | CommVault Systems, Inc.a | 1,511,136 | ||||||
| 178,925 | Electronic Arts, Inc.a | 2,930,791 | ||||||
| 70,175 | F5 Networks, Inc.a | 9,133,978 | ||||||
| 153,500 | JDS Uniphase Corporationa | 2,222,680 | ||||||
| 199,800 | Marvell Technology Group, Ltd.a | 3,706,290 | ||||||
| 24,300 | Mercadolibre, Inc.a | 1,619,595 | ||||||
| 104,650 | Monster Worldwide, Inc.a | 2,472,880 | ||||||
| 110,275 | NetApp, Inc.a | 6,060,714 | ||||||
| 109,102 | Netlogic Microsystems, Inc.a,b | 3,426,894 | ||||||
| 60,500 | Nice Systems, Ltd. ADRa | 2,111,450 | ||||||
| 249,300 | Nuance Communications, Inc.a | 4,532,274 | ||||||
| 270,825 | NVIDIA Corporationa | 4,170,705 | ||||||
| 172,025 | Polycom, Inc.a | 6,705,534 | ||||||
| 55,100 | Red Hat, Inc.a | 2,515,315 | ||||||
| 36,000 | Riverbed Technology, Inc.a | 1,266,120 | ||||||
| 188,850 | Symantec Corporationa | 3,161,349 | ||||||
| 62,400 | Teradata Corporationa | 2,568,384 | ||||||
| 136,900 | Tyco Electronics, Ltd. | 4,846,260 | ||||||
Total Information Technology | 77,502,474 | |||||||
| Materials (9.4%) | ||||||||
| 39,600 | Allegheny Technologies, Inc. | 2,185,128 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Table of Contents
Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (95.0%) | Value | ||||||
| Materials (9.4%) - continued | ||||||||
| 147,575 | Celanese Corporation | $ | 6,075,663 | |||||
| 68,100 | Crown Holdings, Inc.a | 2,273,178 | ||||||
| 102,300 | Ecolab, Inc. | 5,157,966 | ||||||
| 64,200 | Newmont Mining Corporation | 3,943,806 | ||||||
| 114,800 | Pan American Silver Corporation | 4,730,908 | ||||||
| 18,400 | Randgold Resources, Ltd. ADRb | 1,514,872 | ||||||
| 44,600 | Reliance Steel & Aluminum Company | 2,279,060 | ||||||
| 81,975 | Rockwood Holdings, Inc.a | 3,206,862 | ||||||
| 152,400 | Temple-Inland, Inc. | 3,236,976 | ||||||
| 39,100 | Walter Energy, Inc. | 4,998,544 | ||||||
| Total Materials | 39,602,963 | |||||||
| Telecommunications Services (2.8%) | |||||||
| 72,042 | American Tower Corporationa | 3,720,249 | ||||||
| 48,550 | NII Holdings, Inc.a | 2,168,243 | ||||||
| 140,400 | SBA Communications Corporationa | 5,747,976 | ||||||
Total Telecommunications Services | 11,636,468 | |||||||
Total Common Stock (cost $316,370,956) | 398,792,031 | |||||||
Collateral Held for Securities Loaned (2.3%) | ||||||||
| 9,754,800 | Thrivent Financial Securities Lending Trust | 9,754,800 | ||||||
Total Collateral Held for Securities Loaned (cost $9,754,800) | 9,754,800 | |||||||
| Principal Amount | Short-Term Investments (5.1%)c | |||||||
Ciesco, LLC | ||||||||
| 3,190,000 | 0.120%, 1/3/2011 | 3,189,979 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,125,000 | 0.050%, 1/7/2011d | 3,124,974 | ||||||
| 5,000,000 | 0.095%, 1/14/2011d | 4,999,828 | ||||||
| 10,000,000 | 0.060%, 1/19/2011d | 9,999,700 | ||||||
Total Short-Term Investments (at amortized cost) | 21,314,481 | |||||||
Total Investments (cost $347,440,237) 102.4% | $ | 429,861,312 | ||||||
Other Assets and Liabilities, Net (2.4%) | (9,951,975 | ) | ||||||
Total Net Assets 100.0% | $ | 419,909,337 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 89,163,999 | ||
Gross unrealized depreciation | (10,638,051 | ) | ||
Net unrealized appreciation (depreciation) | $ | 78,525,948 | ||
Cost for federal income tax purposes | $ | 351,335,364 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
Table of Contents
Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 61,761,680 | 61,761,680 | — | — | ||||||||||||
Consumer Staples | 22,030,970 | 22,030,970 | — | — | ||||||||||||
Energy | 47,589,422 | 47,589,422 | — | — | ||||||||||||
Financials | 21,691,235 | 21,691,235 | — | — | ||||||||||||
Health Care | 46,555,771 | 46,555,771 | — | — | ||||||||||||
Industrials | 70,421,048 | 70,421,048 | — | — | ||||||||||||
Information Technology | 77,502,474 | 77,502,474 | — | — | ||||||||||||
Materials | 39,602,963 | 39,602,963 | — | — | ||||||||||||
Telecommunications Services | 11,636,468 | 11,636,468 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 9,754,800 | 9,754,800 | — | — | ||||||||||||
Short-Term Investments | 21,314,481 | — | 21,314,481 | — | ||||||||||||
Total | $ | 429,861,312 | $ | 408,546,831 | $ | 21,314,481 | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 10,479,037 | $ | 144,170,207 | $ | 144,894,444 | 9,754,800 | $ | 9,754,800 | $ | 59,300 | |||||||||||||
Total Value and Income Earned | 10,479,037 | 9,754,800 | 59,300 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.4%) | Value | ||||||
| Consumer Discretionary (11.9%) | |||||||
| 210,120 | CBS Corporation | $ | 4,002,786 | |||||
| 169,688 | DISH Network Corporationa | 3,336,066 | ||||||
| 36,323 | Guess ?, Inc. | 1,718,804 | ||||||
| 24,088 | Hasbro, Inc. | 1,136,472 | ||||||
| 39,570 | Lear Corporationa | 3,905,955 | ||||||
| 194,271 | Liberty Media Corporation - Interactivea | 3,063,654 | ||||||
| 19,943 | Mohawk Industries, Inc.a | 1,131,965 | ||||||
| 149,831 | Newell Rubbermaid, Inc. | 2,723,927 | ||||||
| 2,213 | NVR, Inc.a | 1,529,227 | ||||||
| 45,231 | TRW Automotive Holdings Corporationa | 2,383,674 | ||||||
| 28,420 | Urban Outfitters, Inc.a | 1,017,720 | ||||||
| 56,058 | Wyndham Worldwide Corporation | 1,679,498 | ||||||
Total Consumer Discretionary | 27,629,748 | |||||||
| Consumer Staples (5.0%) | ||||||||
| 97,186 | ConAgra Foods, Inc. | 2,194,460 | ||||||
| 15,374 | Energizer Holdings, Inc.a | 1,120,765 | ||||||
| 41,007 | H.J. Heinz Company | 2,028,206 | ||||||
| 19,225 | Hansen Natural Corporationa | 1,005,083 | ||||||
| 55,375 | J.M. Smucker Company | 3,635,369 | ||||||
| 85,979 | Sara Lee Corporation | 1,505,492 | ||||||
Total Consumer Staples | 11,489,375 | |||||||
| Energy (11.1%) | |||||||
| 45,346 | Alpha Natural Resources, Inc.a | 2,722,120 | ||||||
| 55,576 | Cameron International Corporationa | 2,819,370 | ||||||
| 100,807 | Forest Oil Corporationa | 3,827,642 | ||||||
| 83,422 | Key Energy Services, Inc.a | 1,082,818 | ||||||
| 89,370 | Newfield Exploration Companya | 6,444,471 | ||||||
| 83,048 | QEP Resources, Inc. | 3,015,473 | ||||||
| 46,150 | Range Resources Corporation | 2,075,827 | ||||||
| 164,438 | Weatherford International, Ltd.a | 3,749,186 | ||||||
Total Energy | 25,736,907 | |||||||
| Financials (28.3%) | ||||||||
| 24,771 | Alexandria Real Estate Equities, Inc. | 1,814,723 | ||||||
| 28,162 | Boston Properties, Inc. | 2,424,748 | ||||||
| 14,739 | CIT Group, Inc.a | 694,207 | ||||||
| 33,637 | Comerica, Inc. | 1,420,827 | ||||||
| 76,726 | Douglas Emmett, Inc.b | 1,273,652 | ||||||
| 74,944 | Equity Residential | 3,893,341 | ||||||
| 44,455 | Everest Re Group, Ltd. | 3,770,673 | ||||||
| 244,968 | Fifth Third Bancorp | 3,596,130 | ||||||
| 2,267 | First Horizon National Corporationa | 26,705 | ||||||
| 18,577 | First Republic Banka,b | 540,962 | ||||||
| 188,338 | Genworth Financial, Inc.a | 2,474,761 | ||||||
| 127,216 | Hartford Financial Services Group, Inc. | 3,369,952 | ||||||
| 134,515 | Host Hotels & Resorts, Inc. | 2,403,783 | ||||||
| 143,969 | Invesco, Ltd. | 3,463,894 | ||||||
| 131,612 | Janus Capital Group, Inc. | 1,707,008 | ||||||
| 38,104 | Lazard, Ltd. | 1,504,727 | ||||||
| 48,018 | Legg Mason, Inc. | 1,741,613 | ||||||
| 18,691 | M&T Bank Corporationb | 1,627,052 | ||||||
| 90,347 | Marsh & McLennan Companies, Inc. | 2,470,087 | ||||||
| 255,064 | MFA Mortgage Investments, Inc. | 2,081,322 | ||||||
| 152,331 | Principal Financial Group, Inc. | 4,959,897 | ||||||
| 59,283 | Progressive Corporation | 1,177,953 | ||||||
| 237,937 | SLM Corporationa | 2,995,627 | ||||||
| 118,911 | SunTrust Banks, Inc. | 3,509,064 | ||||||
| 32,788 | Tanger Factory Outlet Centers, Inc. | 1,678,418 | ||||||
| 71,011 | Unum Group | 1,719,886 | ||||||
| 47,041 | Ventas, Inc. | 2,468,712 | ||||||
| 95,928 | W.R. Berkley Corporation | 2,626,509 | ||||||
| 104,916 | XL Group plc | 2,289,267 | ||||||
Total Financials | 65,725,500 | |||||||
| Health Care (6.0%) | ||||||||
| 101,181 | Aetna, Inc. | 3,087,032 | ||||||
| 49,981 | Biogen Idec, Inc.a | 3,351,226 | ||||||
| 161,321 | Boston Scientific Corporationa | 1,221,200 | ||||||
| 22,276 | C.R. Bard, Inc. | 2,044,269 | ||||||
| 107,761 | Hologic, Inc.a | 2,028,062 | ||||||
| 52,674 | Kinetic Concepts, Inc.a | 2,205,987 | ||||||
Total Health Care | 13,937,776 | |||||||
| Industrials (9.4%) | ||||||||
| 49,082 | BE Aerospace, Inc.a | 1,817,506 | ||||||
| 29,627 | Cooper Industries plc | 1,726,958 | ||||||
| 23,966 | Eaton Corporation | 2,432,789 | ||||||
| 204,043 | JetBlue Airways Corporationa,b | 1,348,724 | ||||||
| 44,944 | Kansas City Southern, Inc.a | 2,151,020 | ||||||
| 133,974 | Masco Corporation | 1,696,111 | ||||||
| 29,906 | Parker Hannifin Corporation | 2,580,888 | ||||||
| 79,977 | Pentair, Inc. | 2,919,960 | ||||||
| 60,001 | Republic Services, Inc. | 1,791,630 | ||||||
| 24,512 | Ryder System, Inc. | 1,290,312 | ||||||
| 87,149 | Textron, Inc. | 2,060,202 | ||||||
Total Industrials | 21,816,100 | |||||||
| Information Technology (6.6%) | ||||||||
| 75,347 | Adobe Systems, Inc.a | 2,319,181 | ||||||
| 32,357 | Amphenol Corporation | 1,707,802 | ||||||
| 48,220 | BMC Software, Inc.a | 2,273,091 | ||||||
| 26,236 | Check Point Software Technologies, Ltd.a | 1,213,677 | ||||||
| 217,390 | ON Semiconductor Corporationa | 2,147,813 | ||||||
| 82,847 | Parametric Technology Corporationa | 1,866,543 | ||||||
| 29,886 | Polycom, Inc.a | 1,164,956 | ||||||
| 25,173 | Quest Software, Inc.a | 698,299 | ||||||
| 18,909 | VeriFone Systems, Inc.a | 729,131 | ||||||
| 40,173 | Xilinx, Inc. | 1,164,214 | ||||||
Total Information Technology | 15,284,707 | |||||||
| Materials (5.2%) | ||||||||
| 32,501 | Celanese Corporation | 1,338,066 | ||||||
| 16,437 | Cliffs Natural Resources, Inc. | 1,282,250 | ||||||
| 210,224 | Huntsman Corporation | 3,281,597 | ||||||
| 52,243 | Owens-Illinois, Inc.a | 1,603,860 | ||||||
| 39,931 | Steel Dynamics, Inc. | 730,737 | ||||||
| 59,201 | Stillwater Mining Companya | 1,263,941 | ||||||
| 81,094 | Temple-Inland, Inc. | 1,722,437 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.4%) | Value | ||||||
| Materials (5.2%) - continued | ||||||||
| 64,937 | Thompson Creek Metals Company, Inc.a | $ | 955,873 | |||||
Total Materials | 12,178,761 | |||||||
| Telecommunications Services (3.3%) | ||||||||
| 75,979 | CenturyLink, Inc.b | 3,507,950 | ||||||
| 163,108 | Clearwire Corporationa,b | 840,006 | ||||||
| 780,652 | Sprint Nextel Corporationa | 3,302,158 | ||||||
Total Telecommunications Services | 7,650,114 | |||||||
| Utilities (10.6%) | ||||||||
| 12,499 | Alliant Energy Corporation | 459,588 | ||||||
| 145,544 | CMS Energy Corporation | 2,707,118 | ||||||
| 25,231 | DPL, Inc. | 648,689 | ||||||
| 49,009 | Edison International, Inc. | 1,891,747 | ||||||
| 21,983 | FirstEnergy Corporationb | 813,811 | ||||||
| 68,802 | Northeast Utilities | 2,193,408 | ||||||
| 126,382 | NV Energy, Inc. | 1,775,667 | ||||||
| 31,754 | Pinnacle West Capital Corporation | 1,316,203 | ||||||
| 95,117 | PPL Corporation | 2,503,479 | ||||||
| 20,828 | Progress Energy, Inc. | 905,602 | ||||||
| 67,178 | SCANA Corporation | 2,727,427 | ||||||
| 44,129 | Sempra Energy | 2,315,890 | ||||||
| 23,880 | Westar Energy, Inc. | 600,821 | ||||||
| 160,163 | Xcel Energy, Inc. | 3,771,839 | ||||||
Total Utilities | 24,631,289 | |||||||
Total Common Stock (cost $179,228,664) | 226,080,277 | |||||||
Collateral Held for Securities Loaned (2.7%) | ||||||||
| 6,220,480 | Thrivent Financial Securities Lending Trust | 6,220,480 | ||||||
Total Collateral Held for Securities Loaned (cost $6,220,480) | 6,220,480 | |||||||
| Principal Amount | Short-Term Investments (3.0%)c | |||||||
Ciesco, LLC | ||||||||
| 4,065,000 | 0.120%, 1/3/2011 | 4,064,973 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.120%, 2/9/2011d | 2,999,610 | ||||||
Total Short-Term Investments (at amortized cost) | 7,064,583 | |||||||
Total Investments (cost $192,513,727) 103.1% | $ | 239,365,340 | ||||||
Other Assets and Liabilities, Net (3.1%) | (7,202,591 | ) | ||||||
Total Net Assets 100.0% | $ | 232,162,749 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 47,110,442 | ||
Gross unrealized depreciation | (1,277,127 | ) | ||
Net unrealized appreciation (depreciation) | $ | 45,833,315 | ||
Cost for federal income tax purposes | $ | 193,532,025 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 27,629,748 | 27,629,748 | — | — | ||||||||||||
Consumer Staples | 11,489,375 | 11,489,375 | — | — | ||||||||||||
Energy | 25,736,907 | 25,736,907 | — | — | ||||||||||||
Financials | 65,725,500 | 65,725,500 | — | — | ||||||||||||
Health Care | 13,937,776 | 13,937,776 | — | — | ||||||||||||
Industrials | 21,816,100 | 21,816,100 | — | — | ||||||||||||
Information Technology | 15,284,707 | 15,284,707 | — | — | ||||||||||||
Materials | 12,178,761 | 12,178,761 | — | — | ||||||||||||
Telecommunications Services | 7,650,114 | 7,650,114 | — | — | ||||||||||||
Utilities | 24,631,289 | 24,631,289 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,220,480 | 6,220,480 | — | — | ||||||||||||
Short-Term Investments | 7,064,583 | — | 7,064,583 | — | ||||||||||||
Total | $ | 239,365,340 | $ | 232,300,757 | $ | 7,064,583 | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 9,806,665 | $ | 107,248,962 | $ | 110,835,147 | 6,220,480 | $ | 6,220,480 | $ | 41,233 | |||||||||||||
Total Value and Income Earned | 9,806,665 | 6,220,480 | 41,233 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
171
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (95.3%) | Value | ||||||
| Consumer Discretionary (10.3%) | ||||||||
| 156,414 | Autoliv, Inc. | $ | 12,347,321 | |||||
| 91,036 | Dollar Tree, Inc.a | 5,105,299 | ||||||
| 276,900 | Macy’s, Inc. | 7,005,570 | ||||||
| 28,200 | Netflix, Inc.a,b | 4,954,740 | ||||||
| 153,400 | Omnicom Group, Inc. | 7,025,720 | ||||||
| 86,655 | Panera Bread Companya | 8,770,353 | ||||||
| 209,000 | Williams-Sonoma, Inc. | 7,459,210 | ||||||
Total Consumer Discretionary | 52,668,213 | |||||||
| Consumer Staples (2.6%) | ||||||||
| 214,340 | Flowers Foods, Inc. | 5,767,889 | ||||||
| 151,512 | TreeHouse Foods, Inc.a | 7,740,748 | ||||||
Total Consumer Staples | 13,508,637 | |||||||
| Energy (10.7%) | ||||||||
| 109,092 | Alpha Natural Resources, Inc.a | 6,548,793 | ||||||
| 176,400 | Arch Coal, Inc. | 6,184,584 | ||||||
| 108,000 | ENSCO International plc ADR | 5,765,040 | ||||||
| 224,160 | Forest Oil Corporationa | 8,511,355 | ||||||
| 152,106 | National Oilwell Varco, Inc. | 10,229,128 | ||||||
| 446,600 | Weatherford International, Ltd.a | 10,182,480 | ||||||
| 63,500 | Whiting Petroleum Corporationa | 7,441,565 | ||||||
Total Energy | 54,862,945 | |||||||
| Financials (18.1%) | ||||||||
| 384,273 | Duke Realty Corporation | 4,788,042 | ||||||
| 142,171 | Endurance Specialty Holdings, Ltd. | 6,549,818 | ||||||
| 330,335 | Equity One, Inc.b | 6,005,490 | ||||||
| 108,300 | Hanover Insurance Group, Inc. | 5,059,776 | ||||||
| 340,620 | HCC Insurance Holdings, Inc. | 9,857,543 | ||||||
| 444,148 | Host Hotels & Resorts, Inc. | 7,936,925 | ||||||
| 44,349 | IntercontinentalExchange, Inc.a | 5,284,183 | ||||||
| 135,324 | Lazard, Ltd. | 5,343,945 | ||||||
| 118,800 | M&T Bank Corporation | 10,341,540 | ||||||
| 173,633 | Northern Trust Corporation | 9,621,004 | ||||||
| 421,900 | People’s United Financial, Inc. | 5,910,819 | ||||||
| 324,660 | W.R. Berkley Corporation | 8,889,191 | ||||||
| 280,272 | Zions Bancorporationb | 6,790,990 | ||||||
Total Financials | 92,379,266 | |||||||
| Health Care (10.2%) | ||||||||
| 76,200 | Alexion Pharmaceuticals, Inc.a | 6,137,910 | ||||||
| 80,582 | C.R. Bard, Inc. | 7,395,010 | ||||||
| 143,362 | Community Health Systems, Inc.a | 5,357,438 | ||||||
| 281,571 | Coventry Health Care, Inc.a | 7,433,475 | ||||||
| 238,900 | Omnicare, Inc. | 6,065,671 | ||||||
| 98,200 | Quest Diagnostics, Inc. | 5,299,854 | ||||||
| 77,614 | Varian Medical Systems, Inc.a | 5,377,098 | ||||||
| 118,575 | Vertex Pharmaceuticals, Inc.a | 4,153,682 | ||||||
| 65,900 | Waters Corporationa | 5,121,089 | ||||||
Total Health Care | 52,341,227 | |||||||
| Industrials (15.2%) | ||||||||
| 83,131 | CSX Corporation | 5,371,094 | ||||||
| 144,400 | FTI Consulting, Inc.a | 5,383,232 | ||||||
| 672,986 | Manitowoc Company, Inc. | 8,822,846 | ||||||
| 96,608 | Manpower, Inc. | 6,063,118 | ||||||
| 327,634 | Oshkosh Corporationa | 11,545,822 | ||||||
| 87,882 | Parker Hannifin Corporation | 7,584,216 | ||||||
| 169,400 | Republic Services, Inc. | 5,058,284 | ||||||
| 300,000 | Shaw Group, Inc.a | 10,269,000 | ||||||
| 94,532 | SPX Corporation | 6,758,093 | ||||||
| 152,888 | Tyco International, Ltd. | 6,335,679 | ||||||
| 204,018 | Werner Enterprises, Inc. | 4,610,807 | ||||||
Total Industrials | 77,802,191 | |||||||
| Information Technology (16.4%) | ||||||||
| 112,900 | Alliance Data Systems Corporationa,b | 8,019,287 | ||||||
| 744,286 | Compuware Corporationa | 8,685,818 | ||||||
| 199,504 | eBay, Inc.a | 5,552,196 | ||||||
| 167,332 | Juniper Networks, Inc.a | 6,177,897 | ||||||
| 113,882 | Lam Research Corporationa | 5,896,810 | ||||||
| 262,300 | Marvell Technology Group, Ltd.a | 4,865,665 | ||||||
| 1,131,987 | Teradyne, Inc.a,b | 15,893,098 | ||||||
| 392,400 | TIBCO Software, Inc.a | 7,734,204 | ||||||
| 429,900 | ValueClick, Inc.a | 6,891,297 | ||||||
| 188,700 | VeriFone Systems, Inc.a | 7,276,272 | ||||||
| 239,791 | Xilinx, Inc. | 6,949,143 | ||||||
Total Information Technology | 83,941,687 | |||||||
| Materials (5.5%) | ||||||||
| 128,517 | Albemarle Corporation | 7,168,678 | ||||||
| 188,624 | Silgan Holdings, Inc. | 6,754,626 | ||||||
| 407,300 | Steel Dynamics, Inc. | 7,453,590 | ||||||
| 306,700 | Temple-Inland, Inc. | 6,514,308 | ||||||
Total Materials | 27,891,202 | |||||||
| Telecommunications Services (1.0%) | ||||||||
| 137,996 | Telephone & Data Systems, Inc. | 5,043,754 | ||||||
Total Telecommunications Services | 5,043,754 | |||||||
| Utilities (5.3%) | ||||||||
| 121,147 | Alliant Energy Corporation | 4,454,575 | ||||||
| 308,800 | CMS Energy Corporation | 5,743,680 | ||||||
| 418,178 | NV Energy, Inc. | 5,875,401 | ||||||
| 217,785 | Portland General Electric Company | 4,725,935 | ||||||
| 199,466 | UGI Corporation | 6,299,136 | ||||||
Total Utilities | 27,098,727 | |||||||
Total Common Stock (cost $374,692,796) | 487,537,849 | |||||||
Collateral Held for Securities Loaned (6.4%) | ||||||||
| 33,032,547 | Thrivent Financial Securities Lending Trust | 33,032,547 | ||||||
Total Collateral Held for Securities Loaned (cost $33,032,547) | 33,032,547 | |||||||
| Principal Amount | Short-Term Investments (4.7%)c | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 10,430,000 | 0.085%, 1/14/2011d | 10,429,681 | ||||||
| 4,000,000 | 0.120%, 2/9/2011d | 3,999,480 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.090%, 1/10/2011d | 4,999,888 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Table of Contents
Mid Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Short-Term Investments (4.7%)c | Value | ||||||
Thunder Bay Funding, Inc. | ||||||||
| 4,465,000 | 0.140%, 1/3/2011d | $ | 4,464,965 | |||||
Total Short-Term Investments (at amortized cost) | 23,894,014 | |||||||
Total Investments (cost $431,619,357) 106.4% | $ | 544,464,410 | ||||||
Other Assets and Liabilities, Net (6.4%) | (32,987,877 | ) | ||||||
Total Net Assets 100.0% | $ | 511,476,533 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 111,625,151 | ||
Gross unrealized depreciation | (2,384,898 | ) | ||
Net unrealized appreciation (depreciation) | $ | 109,240,253 | ||
Cost for federal income tax purposes | $ | 435,224,157 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 52,668,213 | 52,668,213 | — | — | ||||||||||||
Consumer Staples | 13,508,637 | 13,508,637 | — | — | ||||||||||||
Energy | 54,862,945 | 54,862,945 | — | — | ||||||||||||
Financials | 92,379,266 | 92,379,266 | — | — | ||||||||||||
Health Care | 52,341,227 | 52,341,227 | — | — | ||||||||||||
Industrials | 77,802,191 | 77,802,191 | — | — | ||||||||||||
Information Technology | 83,941,687 | 83,941,687 | — | — | ||||||||||||
Materials | 27,891,202 | 27,891,202 | — | — | ||||||||||||
Telecommunications Services | 5,043,754 | 5,043,754 | — | — | ||||||||||||
Utilities | 27,098,727 | 27,098,727 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 33,032,547 | 33,032,547 | — | — | ||||||||||||
Short-Term Investments | 23,894,014 | — | 23,894,014 | — | ||||||||||||
Total | $ | 544,464,410 | $ | 520,570,396 | $ | 23,894,014 | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 18,736,612 | $ | 228,865,623 | $ | 214,569,688 | 33,032,547 | $ | 33,032,547 | $ | 29,973 | |||||||||||||
Total Value and Income Earned | 18,736,612 | 33,032,547 | 29,973 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.7%) | Value | ||||||
| Consumer Discretionary (13.9%) | ||||||||
| 3,933 | 99 Cents Only Storesa | $ | 62,692 | |||||
| 6,100 | Aaron’s, Inc. | 124,379 | ||||||
| 6,900 | Advance Auto Parts, Inc. | 456,435 | ||||||
| 7,650 | Aeropostale, Inc.a | 188,496 | ||||||
| 16,180 | American Eagle Outfitters, Inc. | 236,713 | ||||||
| 3,400 | American Greetings Corporation | 75,344 | ||||||
| 4,850 | AnnTaylor Stores Corporationa | 132,842 | ||||||
| 4,500 | Bally Technologies, Inc.a | 189,855 | ||||||
| 3,270 | Barnes & Noble, Inc.b | 46,271 | ||||||
| 2,610 | Bob Evans Farms, Inc. | 86,026 | ||||||
| 9,420 | BorgWarner, Inc.a | 681,631 | ||||||
| 4,700 | Boyd Gaming Corporationa,b | 49,820 | ||||||
| 7,655 | Brinker International, Inc. | 159,836 | ||||||
| 5,400 | Career Education Corporationa | 111,942 | ||||||
| 5,000 | Cheesecake Factory, Inc.a | 153,300 | ||||||
| 14,700 | Chico’s FAS, Inc. | 176,841 | ||||||
| 2,500 | Chipotle Mexican Grill, Inc.a | 531,650 | ||||||
| 5,400 | Collective Brands, Inc.a | 113,940 | ||||||
| 3,100 | Deckers Outdoor Corporationa | 247,194 | ||||||
| 7,300 | Dick’s Sporting Goods, Inc.a | 273,750 | ||||||
| 10,340 | Dollar Tree, Inc.a | 579,867 | ||||||
| 5,900 | DreamWorks Animation SKG, Inc.a | 173,873 | ||||||
| 5,800 | Dress Barn, Inc.a | 153,236 | ||||||
| 22,200 | Eastman Kodak Companya | 118,992 | ||||||
| 12,900 | Foot Locker, Inc. | 253,098 | ||||||
| 4,300 | Fossil, Inc.a | 303,064 | ||||||
| 11,620 | Gentex Corporation | 343,487 | ||||||
| 5,200 | Guess ?, Inc. | 246,064 | ||||||
| 7,900 | Hanesbrands, Inc.a | 200,660 | ||||||
| 3,300 | Harte-Hanks, Inc. | 42,141 | ||||||
| 2,470 | International Speedway Corporation | 64,640 | ||||||
| 2,100 | ITT Educational Services, Inc.a,b | 133,749 | ||||||
| 5,200 | J. Crew Group, Inc.a | 224,328 | ||||||
| 3,900 | John Wiley and Sons, Inc. | 176,436 | ||||||
| 6,000 | KB Home | 80,940 | ||||||
| 4,700 | Lamar Advertising Companya | 187,248 | ||||||
| 3,500 | Life Time Fitness, Inc.a,b | 143,465 | ||||||
| 11,900 | LKQ Corporationa | 270,368 | ||||||
| 3,200 | M.D.C. Holdings, Inc. | 92,064 | ||||||
| 2,500 | Matthews International Corporation | 87,450 | ||||||
| 4,570 | Mohawk Industries, Inc.a | 259,393 | ||||||
| 9,800 | New York Times Companya | 96,040 | ||||||
| 400 | NVR, Inc.a | 276,408 | ||||||
| 23,000 | Office Depot, Inc.a | 124,200 | ||||||
| 2,600 | Panera Bread Companya | 263,146 | ||||||
| 9,700 | PetSmart, Inc. | 386,254 | ||||||
| 5,400 | Phillips-Van Heusen Corporation | 340,254 | ||||||
| 2,900 | Polaris Industries, Inc. | 226,258 | ||||||
| 4,800 | Regis Corporation | 79,680 | ||||||
| 5,400 | Rent-A-Center, Inc. | 174,312 | ||||||
| 3,700 | Ryland Group, Inc. | 63,011 | ||||||
| 13,250 | Saks, Inc.a,b | 141,775 | ||||||
| 2,010 | Scholastic Corporation | 59,375 | ||||||
| 5,300 | Scientific Games Corporationa | 52,788 | ||||||
| 20,300 | Service Corporation International | 167,475 | ||||||
| 5,520 | Sotheby’s Holdings, Inc. | 248,400 | ||||||
| 1,100 | Strayer Education, Inc. | 167,442 | ||||||
| 3,600 | Thor Industries, Inc. | 122,256 | ||||||
| 3,200 | Timberland Companya | 78,688 | ||||||
| 12,000 | Toll Brothers, Inc.a | 228,000 | ||||||
| 6,100 | Tractor Supply Company | 295,789 | ||||||
| 5,200 | Tupperware Brands Corporation | 247,884 | ||||||
| 3,000 | Under Armour, Inc.a,b | 164,520 | ||||||
| 3,700 | Warnaco Group, Inc.a | 203,759 | ||||||
| 26,714 | Wendy’s/Arby’s Group, Inc. | 123,419 | ||||||
| 8,780 | Williams-Sonoma, Inc. | 313,358 | ||||||
| 4,700 | WMS Industries, Inc.a | 212,628 | ||||||
Total Consumer Discretionary | 13,090,639 | |||||||
| Consumer Staples (3.5%) | ||||||||
| 7,100 | Alberto-Culver Company | 262,984 | ||||||
| 4,440 | BJ’s Wholesale Club, Inc.a | 212,676 | ||||||
| 5,810 | Church & Dwight Company, Inc. | 401,006 | ||||||
| 6,200 | Corn Products International, Inc. | 285,200 | ||||||
| 5,750 | Energizer Holdings, Inc.a | 419,175 | ||||||
| 6,200 | Flowers Foods, Inc. | 166,842 | ||||||
| 9,600 | Green Mountain Coffee Roasters, Inc.a,b | 315,456 | ||||||
| 5,700 | Hansen Natural Corporationa | 297,996 | ||||||
| 1,640 | Lancaster Colony Corporation | 93,808 | ||||||
| 4,500 | Ralcorp Holdings, Inc.a | 292,545 | ||||||
| 3,610 | Ruddick Corporation | 132,993 | ||||||
| 13,700 | Smithfield Foods, Inc.a | 282,631 | ||||||
| 2,098 | Tootsie Roll Industries, Inc. | 60,779 | ||||||
| 2,040 | Universal Corporation | 83,028 | ||||||
Total Consumer Staples | 3,307,119 | |||||||
| Energy (5.8%) | ||||||||
| 13,400 | Arch Coal, Inc. | 469,804 | ||||||
| 4,700 | Atwood Oceanics, Inc.a | 175,639 | ||||||
| 3,900 | Bill Barrett Corporationa | 160,407 | ||||||
| 7,000 | Cimarex Energy Company | 619,710 | ||||||
| 4,000 | Comstock Resources, Inc.a | 98,240 | ||||||
| 2,900 | Dril-Quip, Inc.a | 225,388 | ||||||
| 5,178 | Exterran Holdings, Inc.a | 124,013 | ||||||
| 9,300 | Forest Oil Corporationa | 353,121 | ||||||
| 8,800 | Frontier Oil Corporationa | 158,488 | ||||||
| 8,800 | Helix Energy Solutions Group, Inc.a | 106,832 | ||||||
| 4,400 | Oceaneering International, Inc.a | 323,972 | ||||||
| 2,300 | Overseas Shipholding Group, Inc.b | 81,466 | ||||||
| 6,700 | Patriot Coal Corporationa | 129,779 | ||||||
| 12,700 | Patterson-UTI Energy, Inc. | 273,685 | ||||||
| 11,539 | Plains Exploration & Production Companya | 370,864 | ||||||
| 14,520 | Pride International, Inc.a | 479,160 | ||||||
| 9,800 | Quicksilver Resources, Inc.a | 144,452 | ||||||
| 5,200 | SM Energy Company | 306,436 | ||||||
| 10,300 | Southern Union Company | 247,921 | ||||||
| 6,500 | Superior Energy Services, Inc.a | 227,435 | ||||||
| 4,200 | Tidewater, Inc. | 226,128 | ||||||
| 3,300 | Unit Corporationa | 153,384 | ||||||
Total Energy | 5,456,324 | |||||||
| Financials (19.3%) | ||||||||
| 4,200 | Affiliated Managers Group, Inc.a | 416,724 | ||||||
| 4,500 | Alexandria Real Estate Equities, Inc. | 329,670 | ||||||
| 13,900 | AMB Property Corporation | 440,769 | ||||||
| 6,535 | American Financial Group, Inc. | 211,015 | ||||||
| 16,100 | Apollo Investment Corporation | 178,227 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.7%) | Value | ||||||
| Financials (19.3%) - continued | ||||||||
| 8,800 | Arthur J. Gallagher & Company | $ | 255,904 | |||||
| 14,293 | Associated Banc-Corp | 216,539 | ||||||
| 6,870 | Astoria Financial Corporation | 95,562 | ||||||
| 6,100 | BancorpSouth, Inc. | 97,295 | ||||||
| 4,000 | Bank of Hawaii Corporation | 188,840 | ||||||
| 5,400 | BRE Properties, Inc. | 234,900 | ||||||
| 9,700 | Brown & Brown, Inc. | 232,218 | ||||||
| 5,600 | Camden Property Trust | 302,288 | ||||||
| 6,600 | Cathay General Bancorp | 110,220 | ||||||
| 3,820 | City National Corporation | 234,395 | ||||||
| 6,485 | Commerce Bancshares, Inc. | 257,649 | ||||||
| 5,600 | Corporate Office Properties Trust | 195,720 | ||||||
| 8,688 | Cousins Properties, Inc. | 72,458 | ||||||
| 5,000 | Cullen/Frost Bankers, Inc. | 305,600 | ||||||
| 20,800 | Duke Realty Corporation | 259,168 | ||||||
| 12,200 | East West Bancorp, Inc. | 238,510 | ||||||
| 9,900 | Eaton Vance Corporation | 299,277 | ||||||
| 3,900 | Equity One, Inc.b | 70,902 | ||||||
| 2,600 | Essex Property Trust, Inc. | 296,972 | ||||||
| 4,510 | Everest Re Group, Ltd. | 382,538 | ||||||
| 5,100 | Federal Realty Investment Trust | 397,443 | ||||||
| 18,705 | Fidelity National Financial, Inc. | 255,884 | ||||||
| 8,700 | First American Financial Corporation | 129,978 | ||||||
| 17,300 | First Niagara Financial Group, Inc.b | 241,854 | ||||||
| 8,998 | FirstMerit Corporation | 178,070 | ||||||
| 16,400 | Fulton Financial Corporation | 169,576 | ||||||
| 2,100 | Greenhill & Company, Inc.b | 171,528 | ||||||
| 3,770 | Hanover Insurance Group, Inc. | 176,134 | ||||||
| 9,550 | HCC Insurance Holdings, Inc. | 276,377 | ||||||
| 6,000 | Highwoods Properties, Inc. | 191,100 | ||||||
| 10,300 | Hospitality Properties Trust | 237,312 | ||||||
| 4,400 | International Bancshares Corporation | 88,132 | ||||||
| 10,200 | Jefferies Group, Inc.b | 271,626 | ||||||
| 3,600 | Jones Lang LaSalle, Inc. | 302,112 | ||||||
| 9,500 | Liberty Property Trust | 303,240 | ||||||
| 10,768 | Macerich Company | 510,080 | ||||||
| 6,600 | Mack-Cali Realty Corporation | 218,196 | ||||||
| 3,000 | Mercury General Corporation | 129,030 | ||||||
| 9,800 | MSCI, Inc.a | 381,808 | ||||||
| 10,500 | Nationwide Health Properties, Inc. | 381,990 | ||||||
| 36,011 | New York Community Bancorp, Inc. | 678,807 | ||||||
| 8,800 | NewAlliance Bancshares, Inc. | 131,824 | ||||||
| 21,150 | Old Republic International Corporation | 288,274 | ||||||
| 8,200 | Omega Healthcare Investors, Inc. | 184,008 | ||||||
| 2,700 | PacWest Bancorp | 57,726 | ||||||
| 3,407 | Potlatch Corporation | 110,898 | ||||||
| 3,900 | Prosperity Bancshares, Inc. | 153,192 | ||||||
| 7,070 | Protective Life Corporation | 188,345 | ||||||
| 8,325 | Raymond James Financial, Inc. | 272,228 | ||||||
| 6,708 | Rayonier, Inc. REIT | 352,304 | ||||||
| 9,700 | Realty Income Corporationb | 331,740 | ||||||
| 6,800 | Regency Centers Corporation | 287,232 | ||||||
| 6,100 | Reinsurance Group of America, Inc. | 327,631 | ||||||
| 12,140 | SEI Investments Company | 288,811 | ||||||
| 11,600 | Senior Housing Property Trust | 254,504 | ||||||
| 6,400 | SL Green Realty Corporation | 432,064 | ||||||
| 3,900 | StanCorp Financial Group, Inc. | 176,046 | ||||||
| 3,430 | SVB Financial Groupa | 181,962 | ||||||
| 65,000 | Synovus Financial Corporationb | 171,600 | ||||||
| 10,420 | TCF Financial Corporationb | 154,320 | ||||||
| 5,300 | Transatlantic Holdings, Inc. | 273,586 | ||||||
| 4,800 | Trustmark Corporation | 119,232 | ||||||
| 15,003 | UDR, Inc. | 352,871 | ||||||
| 4,200 | Unitrin, Inc. | 103,068 | ||||||
| 13,295 | Valley National Bancorpb | 190,118 | ||||||
| 9,875 | W.R. Berkley Corporation | 270,378 | ||||||
| 7,140 | Waddell & Reed Financial, Inc. | 251,971 | ||||||
| 9,227 | Washington Federal, Inc. | 156,121 | ||||||
| 6,030 | Webster Financial Corporation | 118,791 | ||||||
| 10,000 | Weingarten Realty Investorsb | 237,600 | ||||||
| 2,420 | Westamerica Bancorporation | 134,237 | ||||||
Total Financials | 18,166,319 | |||||||
| Health Care (10.8%) | ||||||||
| 15,400 | Allscripts Healthcare Solutions, Inc.a | 296,758 | ||||||
| 5,730 | Beckman Coulter, Inc. | 431,068 | ||||||
| 1,700 | Bio-Rad Laboratories, Inc.a | 176,545 | ||||||
| 4,800 | Charles River Laboratories International, Inc.a | 170,592 | ||||||
| 7,600 | Community Health Systems, Inc.a | 284,012 | ||||||
| 5,310 | Covance, Inc.a | 272,987 | ||||||
| 9,440 | Edwards Lifesciences Corporationa | 763,130 | ||||||
| 9,500 | Endo Pharmaceutical Holdings, Inc.a | 339,245 | ||||||
| 4,000 | Gen-Probe, Inc.a | 233,400 | ||||||
| 20,700 | Health Management Associates, Inc.a | 197,478 | ||||||
| 7,880 | Health Net, Inc.a | 215,045 | ||||||
| 7,600 | Henry Schein, Inc.a | 466,564 | ||||||
| 5,250 | Hill-Rom Holdings, Inc. | 206,692 | ||||||
| 21,500 | Hologic, Inc.a | 404,630 | ||||||
| 4,700 | IDEXX Laboratories, Inc.a,b | 325,334 | ||||||
| 5,800 | Immucor, Inc.a | 115,014 | ||||||
| 3,300 | Kindred Healthcare, Inc.a | 60,621 | ||||||
| 5,200 | Kinetic Concepts, Inc.a | 217,776 | ||||||
| 4,400 | LifePoint Hospitals, Inc.a | 161,700 | ||||||
| 8,030 | Lincare Holdings, Inc. | 215,445 | ||||||
| 4,900 | Masimo Corporation | 142,443 | ||||||
| 5,100 | Medicis Pharmaceutical Corporation | 136,629 | ||||||
| 3,900 | Mednax, Inc.a | 262,431 | ||||||
| 2,700 | Mettler-Toledo International, Inc.a | 408,267 | ||||||
| 9,520 | Omnicare, Inc. | 241,713 | ||||||
| 5,250 | Owens & Minor, Inc. | 154,508 | ||||||
| 6,850 | Perrigo Company | 433,810 | ||||||
| 9,800 | Pharmaceutical Product Development, Inc. | 265,972 | ||||||
| 12,500 | ResMed, Inc.a,b | 433,000 | ||||||
| 4,900 | STERIS Corporation | 178,654 | ||||||
| 3,000 | Techne Corporation | 197,010 | ||||||
| 3,340 | Teleflex, Inc. | 179,725 | ||||||
| 4,800 | Thoratec Corporationa | 135,936 | ||||||
| 4,100 | United Therapeutics Corporationa | 259,202 | ||||||
| 8,000 | Universal Health Services, Inc. | 347,360 | ||||||
| 7,100 | VCA Antech, Inc.a | 165,359 | ||||||
| 16,820 | Vertex Pharmaceuticals, Inc.a | 589,205 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.7%) | Value | ||||||
| Health Care (10.8%) - continued | |||||||
| 3,600 | Wellcare Health Plans, Inc.a | $ | 108,792 | |||||
| Total Health Care | 10,194,052 | |||||||
| Industrials (15.9%) | |||||||
| 3,600 | Acuity Brands, Inc. | 207,612 | ||||||
| 9,800 | Aecom Technology Corporationa | 274,106 | ||||||
| 7,630 | AGCO Corporationa | 386,536 | ||||||
| 11,300 | AirTran Holdings, Inc.a | 83,507 | ||||||
| 3,040 | Alaska Air Group, Inc.a | 172,338 | ||||||
| 3,460 | Alexander & Baldwin, Inc. | 138,504 | ||||||
| 2,700 | Alliant Techsystems, Inc.a | 200,961 | ||||||
| 13,155 | AMETEK, Inc. | 516,334 | ||||||
| 4,000 | Baldor Electric Company | 252,160 | ||||||
| 8,400 | BE Aerospace, Inc.a | 311,052 | ||||||
| 3,860 | Brink’s Company | 103,757 | ||||||
| 6,700 | Bucyrus International, Inc. | 598,980 | ||||||
| 5,040 | Carlisle Companies, Inc. | 200,290 | ||||||
| 1,900 | Clean Harbors, Inc.a | 159,752 | ||||||
| 4,530 | Con-way, Inc. | 165,662 | ||||||
| 5,800 | Copart, Inc.a | 216,630 | ||||||
| 2,900 | Corporate Executive Board Company | 108,895 | ||||||
| 9,100 | Corrections Corporation of Americaa | 228,046 | ||||||
| 3,900 | Crane Company | 160,173 | ||||||
| 4,300 | Deluxe Corporation | 98,986 | ||||||
| 6,300 | Donaldson Company, Inc. | 367,164 | ||||||
| 3,800 | FTI Consulting, Inc.a | 141,664 | ||||||
| 4,400 | Gardner Denver, Inc. | 302,808 | ||||||
| 3,920 | GATX Corporation | 138,298 | ||||||
| 5,000 | Graco, Inc. | 197,250 | ||||||
| 2,860 | Granite Construction, Inc. | 78,450 | ||||||
| 6,600 | Harsco Corporation | 186,912 | ||||||
| 4,790 | Herman Miller, Inc. | 121,187 | ||||||
| 3,730 | HNI Corporation | 116,376 | ||||||
| 5,030 | Hubbell, Inc. | 302,454 | ||||||
| 6,800 | IDEX Corporation | 266,016 | ||||||
| 7,440 | JB Hunt Transport Services, Inc. | 303,626 | ||||||
| 16,775 | JetBlue Airways Corporationa,b | 110,883 | ||||||
| 8,550 | Joy Global, Inc. | 741,712 | ||||||
| 8,400 | Kansas City Southern, Inc.a | 402,024 | ||||||
| 12,500 | KBR, Inc. | 380,875 | ||||||
| 6,740 | Kennametal, Inc. | 265,960 | ||||||
| 4,500 | Kirby Corporationa | 198,225 | ||||||
| 3,840 | Korn/Ferry Internationala | 88,742 | ||||||
| 4,100 | Landstar System, Inc. | 167,854 | ||||||
| 3,800 | Lennox International, Inc. | 179,702 | ||||||
| 3,600 | Lincoln Electric Holdings, Inc. | 234,972 | ||||||
| 6,670 | Manpower, Inc. | 418,609 | ||||||
| 2,600 | Mine Safety Appliances Company | 80,938 | ||||||
| 3,700 | MSC Industrial Direct Company, Inc. | 239,353 | ||||||
| 4,200 | Navigant Consulting, Inc.a | 38,640 | ||||||
| 2,890 | Nordson Corporation | 265,533 | ||||||
| 7,500 | Oshkosh Corporationa | 264,300 | ||||||
| 8,160 | Pentair, Inc. | 297,922 | ||||||
| 3,200 | Regal-Beloit Corporation | 213,632 | ||||||
| 5,322 | Rollins, Inc. | 105,109 | ||||||
| 7,000 | Shaw Group, Inc.a | 239,610 | ||||||
| 4,060 | SPX Corporation | 290,249 | ||||||
| 9,000 | Terex Corporationa | 279,360 | ||||||
| 4,300 | Thomas & Betts Corporationa | 207,690 | ||||||
| 6,700 | Timken Company | 319,791 | ||||||
| 3,800 | Towers Watson & Company | 197,828 | ||||||
| 6,695 | Trinity Industries, Inc. | 178,154 | ||||||
| 5,098 | United Rentals, Inc.a | 115,979 | ||||||
| 6,800 | URS Corporationa | 282,948 | ||||||
| 1,800 | Valmont Industries, Inc. | 159,714 | ||||||
| 4,000 | Wabtec Corporation | 211,560 | ||||||
| 9,600 | Waste Connections, Inc. | 264,288 | ||||||
| 2,400 | Watsco, Inc. | 151,392 | ||||||
| 3,700 | Werner Enterprises, Inc. | 83,620 | ||||||
| 4,900 | Woodward Governor Company | 184,044 | ||||||
| Total Industrials | 14,967,698 | |||||||
| Information Technology (15.3%) | |||||||
| 2,820 | ACI Worldwide, Inc.a | 75,773 | ||||||
| 6,690 | Acxiom Corporationa | 114,734 | ||||||
| 5,280 | ADTRAN, Inc. | 191,189 | ||||||
| 1,400 | Advent Software, Inc.a | 81,088 | ||||||
| 4,300 | Alliance Data Systems Corporationa | 305,429 | ||||||
| 7,500 | ANSYS, Inc.a | 390,525 | ||||||
| 8,800 | AOL, Inc.a | 208,648 | ||||||
| 9,570 | Arrow Electronics, Inc.a | 327,772 | ||||||
| 37,920 | Atmel Corporationa | 467,174 | ||||||
| 12,520 | Avnet, Inc.a | 413,536 | ||||||
| 10,400 | Broadridge Financial Solutions, Inc. | 228,072 | ||||||
| 22,180 | Cadence Design Systems, Inc.a | 183,207 | ||||||
| 7,700 | CIENA Corporationa,b | 162,085 | ||||||
| 7,774 | CommScope, Inc.a | 242,704 | ||||||
| 3,800 | Concur Technologies, Inc.a | 197,334 | ||||||
| 10,100 | Convergys Corporationa | 133,017 | ||||||
| 8,600 | CoreLogic, Inc. | 159,272 | ||||||
| 8,900 | Cree, Inc.a,b | 586,421 | ||||||
| 5,530 | Diebold, Inc. | 177,236 | ||||||
| 3,300 | Digital River, Inc.a | 113,586 | ||||||
| 3,010 | DST Systems, Inc. | 133,493 | ||||||
| 3,800 | Equinix, Inc.a | 308,788 | ||||||
| 3,800 | FactSet Research Systems, Inc. | 356,288 | ||||||
| 3,350 | Fair Isaac Corporation | 78,289 | ||||||
| 10,300 | Fairchild Semiconductor International, Inc.a | 160,783 | ||||||
| 6,100 | Gartner, Inc.a | 202,520 | ||||||
| 6,500 | Global Payments, Inc. | 300,365 | ||||||
| 7,700 | Informatica Corporationa | 339,031 | ||||||
| 13,000 | Ingram Micro, Inc.a | 248,170 | ||||||
| 12,750 | Integrated Device Technology, Inc.a | 84,915 | ||||||
| 5,750 | International Rectifier Corporationa | 170,718 | ||||||
| 10,300 | Intersil Corporation | 157,281 | ||||||
| 3,400 | Itron, Inc.a | 188,530 | ||||||
| 7,160 | Jack Henry & Associates, Inc. | 208,714 | ||||||
| 10,100 | Lam Research Corporationa | 522,978 | ||||||
| 7,500 | Lender Processing Services, Inc. | 221,400 | ||||||
| 1,900 | ManTech International Corporationa | 78,527 | ||||||
| 9,170 | Mentor Graphics Corporationa | 110,040 | ||||||
| 6,600 | MICROS Systems, Inc.a | 289,476 | ||||||
| 4,875 | National Instruments Corporation | 183,495 | ||||||
| 13,200 | NCR Corporationa | 202,884 | ||||||
| 6,200 | NeuStar, Inc.a | 161,510 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.7%) | Value | ||||||
| Information Technology (15.3%) - continued | |||||||
| 9,800 | Parametric Technology Corporationa | $ | 220,794 | |||||
| 4,040 | Plantronics, Inc. | 150,369 | ||||||
| 7,020 | Polycom, Inc.a | 273,640 | ||||||
| 5,000 | Quest Software, Inc.a | 138,700 | ||||||
| 8,000 | Rackspace Hosting, Inc.a,b | 251,280 | ||||||
| 22,840 | RF Micro Devices, Inc.a | 167,874 | ||||||
| 12,100 | Riverbed Technology, Inc.a | 425,557 | ||||||
| 8,640 | Rovi Corporationa | 535,766 | ||||||
| 5,190 | Semtech Corporationa | 117,502 | ||||||
| 3,700 | Silicon Laboratories, Inc.a | 170,274 | ||||||
| 15,100 | Skyworks Solutions, Inc.a | 432,313 | ||||||
| 5,800 | Solera Holdings, Inc. | 297,656 | ||||||
| 3,600 | SRA International, Inc.a | 73,620 | ||||||
| 12,380 | Synopsys, Inc.a | 333,146 | ||||||
| 3,880 | Tech Data Corporationa | 170,798 | ||||||
| 13,900 | TIBCO Software, Inc.a | 273,969 | ||||||
| 9,900 | Trimble Navigation, Ltd.a | 395,307 | ||||||
| 6,700 | ValueClick, Inc.a | 107,401 | ||||||
| 13,720 | Vishay Intertechnology, Inc.a | 201,410 | ||||||
| 4,700 | Zebra Technologies Corporationa | 178,553 | ||||||
| Total Information Technology | 14,382,926 | |||||||
| Materials (6.7%) | |||||||
| 7,520 | Albemarle Corporation | 419,465 | ||||||
| 5,600 | AptarGroup, Inc. | 266,392 | ||||||
| 6,500 | Ashland, Inc. | 330,590 | ||||||
| 5,390 | Cabot Corporation | 202,933 | ||||||
| 3,700 | Carpenter Technology Corporation | 148,888 | ||||||
| 9,500 | Commercial Metals Company | 157,605 | ||||||
| 2,800 | Compass Minerals International, Inc. | 249,956 | ||||||
| 4,060 | Cytec Industries, Inc. | 215,423 | ||||||
| 2,600 | Greif, Inc. | 160,940 | ||||||
| 3,700 | Intrepid Potash, Inc.a,b | 137,973 | ||||||
| 11,000 | Louisiana-Pacific Corporationa | 104,060 | ||||||
| 5,360 | Lubrizol Corporation | 572,877 | ||||||
| 3,720 | Martin Marietta Materials, Inc.b | 343,133 | ||||||
| 1,580 | Minerals Technologies, Inc. | 103,348 | ||||||
| 900 | NewMarket Corporation | 111,033 | ||||||
| 6,600 | Olin Corporation | 135,432 | ||||||
| 8,500 | Packaging Corporation of America | 219,640 | ||||||
| 6,100 | Reliance Steel & Aluminum Company | 311,710 | ||||||
| 3,300 | Rock-Tenn Company | 178,035 | ||||||
| 10,700 | RPM International, Inc. | 236,470 | ||||||
| 3,900 | Scotts Miracle-Gro Company | 198,003 | ||||||
| 4,130 | Sensient Technologies Corporation | 151,695 | ||||||
| 4,200 | Silgan Holdings, Inc. | 150,402 | ||||||
| 8,580 | Sonoco Products Company | 288,889 | ||||||
| 17,900 | Steel Dynamics, Inc. | 327,570 | ||||||
| 8,900 | Temple-Inland, Inc. | 189,036 | ||||||
| 8,160 | Valspar Corporation | 281,357 | ||||||
| 4,600 | Worthington Industries, Inc. | 84,640 | ||||||
| Total Materials | 6,277,495 | |||||||
| Telecommunications Services (0.8%) | |||||||
| 16,810 | Cincinnati Bell, Inc.a | 47,068 | ||||||
| 5,900 | Syniverse Holdings, Inc.a | 182,015 | ||||||
| 7,520 | Telephone & Data Systems, Inc. | 274,856 | ||||||
| 12,600 | TW Telecom, Inc.a | 214,830 | ||||||
| Total Telecommunications Services | 718,769 | |||||||
| Utilities (5.7%) | |||||||
| 6,480 | AGL Resources, Inc. | 232,308 | ||||||
| 9,100 | Alliant Energy Corporation | 334,607 | ||||||
| 11,466 | Aqua America, Inc.b | 257,756 | ||||||
| 7,400 | Atmos Energy Corporation | 230,880 | ||||||
| 3,300 | Black Hills Corporation | 99,000 | ||||||
| 5,100 | Cleco Corporation | 156,876 | ||||||
| 9,830 | DPL, Inc. | 252,729 | ||||||
| 8,600 | Dynegy, Inc.a | 48,332 | ||||||
| 5,900 | Energen Corporation | 284,734 | ||||||
| 11,163 | Great Plains Energy, Inc. | 216,451 | ||||||
| 7,780 | Hawaiian Electric Industries, Inc. | 177,306 | ||||||
| 4,130 | IDACORP, Inc. | 152,727 | ||||||
| 15,525 | MDU Resources Group, Inc. | 314,692 | ||||||
| 6,800 | National Fuel Gas Company | 446,216 | ||||||
| 8,540 | NSTAR | 360,303 | ||||||
| 19,500 | NV Energy, Inc. | 273,975 | ||||||
| 7,990 | OGE Energy Corporation | 363,865 | ||||||
| 7,275 | PNM Resources, Inc. | 94,720 | ||||||
| 14,400 | Questar Corporation | 250,704 | ||||||
| 9,200 | UGI Corporation | 290,536 | ||||||
| 6,790 | Vectren Corporation | 172,330 | ||||||
| 9,320 | Westar Energy, Inc. | 234,491 | ||||||
| 4,310 | WGL Holdings, Inc. | 154,169 | ||||||
| Total Utilities | 5,399,707 | |||||||
Total Common Stock (cost $72,523,330) | 91,961,048 | |||||||
Collateral Held for Securities Loaned (5.5%) | ||||||||
| 5,212,131 | Thrivent Financial Securities Lending Trust | 5,212,131 | ||||||
Total Collateral Held for Securities Loaned (cost $5,212,131) | 5,212,131 | |||||||
| Principal Amount | Short-Term Investments (2.4%)c | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.192%, 3/14/2011d,e | 299,887 | ||||||
Liberty Street Funding, LLC | ||||||||
| 1,945,000 | 0.130%, 1/3/2011d | 1,944,986 | ||||||
| Total Short-Term Investments (at amortized cost) | 2,244,873 | |||||||
| Total Investments (cost $79,980,334) 105.6% | $ | 99,418,052 | ||||||
| Other Assets and Liabilities, Net (5.6%) | (5,241,260 | ) | ||||||
| Total Net Assets 100.0% | $ | 94,176,792 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| e | At December 31, 2010, $299,887 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 | $ | 22,658,817 | ||
Gross unrealized depreciation | (5,383,109 | ) | ||
Net unrealized appreciation (depreciation) | $ | 17,275,708 | ||
Cost for federal income tax purposes | $ | 82,142,344 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 13,090,639 | 13,090,639 | — | — | ||||||||||||
Consumer Staples | 3,307,119 | 3,307,119 | — | — | ||||||||||||
Energy | 5,456,324 | 5,456,324 | — | — | ||||||||||||
Financials | 18,166,319 | 18,166,319 | — | — | ||||||||||||
Health Care | 10,194,052 | 10,194,052 | — | — | ||||||||||||
Industrials | 14,967,698 | 14,967,698 | — | — | ||||||||||||
Information Technology | 14,382,926 | 14,382,926 | — | — | ||||||||||||
Materials | 6,277,495 | 6,277,495 | — | — | ||||||||||||
Telecommunications Services | 718,769 | 718,769 | — | — | ||||||||||||
Utilities | 5,399,707 | 5,399,707 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 5,212,131 | 5,212,131 | — | — | ||||||||||||
Short-Term Investments | 2,244,873 | — | 2,244,873 | — | ||||||||||||
Total | $ | 99,418,052 | $ | 97,173,179 | $ | 2,244,873 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 23,088 | 23,088 | — | — | ||||||||||||
Total Asset Derivatives | $ | 23,088 | $ | 23,088 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 400 Index Mini-Futures | 25 | March 2011 | $ | 2,240,162 | $ | 2,263,250 | $ | 23,088 | ||||||||||||
Total Futures Contracts | $ | 23,088 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
178
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | $ | 23,088 | |||
Total Equity Contracts | 23,088 | |||||
Total Asset Derivatives | $ | 23,088 | ||||
| * | 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, 2010, 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 | 350,668 | ||||
Total Equity Contracts | 350,668 | |||||
Total | $ | 350,668 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (36,800 | ) | |||
Total Equity Contracts | (36,800 | ) | ||||
Total | ($ | 36,800 | ) | |||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 1,502,611 | 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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 6,345,282 | $ | 34,692,818 | $ | 35,825,969 | 5,212,131 | $ | 5,212,131 | $ | 31,570 | |||||||||||||
Total Value and Income Earned | 6,345,282 | 5,212,131 | 31,570 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (87.5%) | Value | ||||||
| Australia (3.8%) | ||||||||
| 37,701 | Australia & New Zealand Banking Group, Ltd. | $ | 900,498 | |||||
| 135,953 | BHP Billiton, Ltd. | 6,322,015 | ||||||
| 220,311 | Boart Longyear Group | 1,029,132 | ||||||
| 23,447 | Campbell Brothers, Ltd. | 949,420 | ||||||
| 55,441 | Challenger, Ltd. | 266,907 | ||||||
| 79,116 | Fortescue Metals Group, Ltd.a | 530,345 | ||||||
| 292,176 | iiNet, Ltd. | 865,859 | ||||||
| 61,983 | Iluka Resources, Ltd.a | 579,060 | ||||||
| 88,942 | Mineral Resources, Ltd. | 1,122,996 | ||||||
| 56,703 | Monadelphous Group, Ltd. | 1,063,531 | ||||||
| 139,803 | Mount Gibson Iron, Ltd.a | 304,043 | ||||||
| 37,527 | Newcrest Mining, Ltd. | 1,556,578 | ||||||
| 47,844 | Ramsay Health Care, Ltd. | 871,459 | ||||||
| 17,401 | Rio Tinto, Ltd. | 1,523,767 | ||||||
| 210,162 | SAI Global, Ltd. | 1,048,166 | ||||||
| 32,444 | Woolworths, Ltd. | 895,942 | ||||||
Total Australia | 19,829,718 | |||||||
| Austria (0.5%) | ||||||||
| 16,138 | Andritz AG | 1,486,407 | ||||||
| 52,220 | Wienerberger AGa | 998,851 | ||||||
Total Austria | 2,485,258 | |||||||
| Belgium (0.6%) | ||||||||
| 21,290 | Anheuser-Busch InBev NV | 1,216,540 | ||||||
| 14,199 | Bekaert SA | 1,629,451 | ||||||
| 6,269 | Compagnie d’ Entreprises CFE | 450,296 | ||||||
Total Belgium | 3,296,287 | |||||||
| Bermuda (<0.1%) | ||||||||
| 23,000 | Orient Overseas International, Ltd. | 222,952 | ||||||
Total Bermuda | 222,952 | |||||||
| Brazil (3.0%) | ||||||||
| 131,320 | Banco Bradesco SA ADR | 2,664,483 | ||||||
| 34,000 | Lojas Renner SA | 1,155,181 | ||||||
| 42,168 | Multiplan Empreendimentos Imobiliarios SA | 937,349 | ||||||
| 39,200 | Petroleo Brasileiro SA ADR | 1,483,328 | ||||||
| 88,000 | Petroleo Brasileiro SA PREF ADR | 3,006,960 | ||||||
| 24,500 | Souza Cruz SA | 1,334,069 | ||||||
| 31,500 | Ultrapar Participacoes SA ADR | 2,035,530 | ||||||
| 109,000 | Vale SA SP PREF ADR | 3,293,980 | ||||||
Total Brazil | 15,910,880 | |||||||
| Canada (2.4%) | ||||||||
| 11,253 | Agrium, Inc. | 1,035,552 | ||||||
| 39,173 | Brookfield Asset Management, Inc. | 1,308,000 | ||||||
| 13,149 | Calfrac Well Services, Ltd. | 452,803 | ||||||
| 6,832 | Canadian Imperial Bank of Commerce | 538,218 | ||||||
| 23,069 | Canadian National Railway Company | 1,539,403 | ||||||
| 32,518 | CGI Group, Inc.a | 562,516 | ||||||
| 22,712 | Eldorado Gold Corporation | 422,581 | ||||||
| 18,433 | Enbridge, Inc. | 1,043,171 | ||||||
| 18,480 | Finning International, Inc. | 503,493 | ||||||
| 3,800 | George Weston, Ltd. | 321,794 | ||||||
| 5,040 | Inmet Mining Corporation | 391,623 | ||||||
| 64,067 | Kinross Gold Corporation | 1,218,451 | ||||||
| 11,972 | Potash Corporation of Saskatchewan, Inc. | 1,859,675 | ||||||
| 13,600 | Riocan Real Estate Investment Trust | 300,915 | ||||||
| 10,722 | Saputo, Inc. | 426,810 | ||||||
| 9,078 | Suncor Energy, Inc. | 349,498 | ||||||
| 24,717 | Trican Well Service, Ltd. | 500,654 | ||||||
Total Canada | 12,775,157 | |||||||
| Cayman Islands (0.6%) | ||||||||
| 290,000 | China Shineway Pharmaceutical Group, Ltd. | 831,504 | ||||||
| 827,690 | Kingboard Laminates Holdings, Ltd. | 840,756 | ||||||
| 1,118,000 | Peak Sport Products, Ltd. | 733,141 | ||||||
| 31,213 | Subsea 7, Inc.a | 818,805 | ||||||
Total Cayman Islands | 3,224,206 | |||||||
| Chile (0.3%) | ||||||||
| 15,200 | Banco Santander Chile SA ADR | 1,420,744 | ||||||
Total Chile | 1,420,744 | |||||||
| China (1.3%) | ||||||||
| 5,141,550 | Bank of China, Ltd. | 2,710,480 | ||||||
| 2,960,386 | Huaneng Power International, Inc. | 1,566,611 | ||||||
| 1,866,000 | PetroChina Company, Ltd. | 2,450,829 | ||||||
Total China | 6,727,920 | |||||||
| Cyprus (0.1%) | ||||||||
| 53,448 | Songa Offshore SEa | 288,541 | ||||||
Total Cyprus | 288,541 | |||||||
| Denmark (1.0%) | ||||||||
| 3,821 | Carlsberg AS | 383,531 | ||||||
| 43,973 | Christian Hansen Holding AS | 899,957 | ||||||
| 3,656 | Coloplast AS | 496,820 | ||||||
| 5,760 | Danisco AS | 528,248 | ||||||
| 54,842 | DSV AS | 1,215,665 | ||||||
| 14,354 | Novo Nordisk AS | 1,617,173 | ||||||
Total Denmark | 5,141,394 | |||||||
| Finland (1.5%) | ||||||||
| 23,450 | Cargotec Oyj | 1,222,971 | ||||||
| 55,439 | Kemira Oyj | 868,814 | ||||||
| 5,445 | Kesko Oyj | 254,457 | ||||||
| 12,077 | Kone Oyj | 670,812 | ||||||
| 23,553 | Outotec Oyj | 1,459,269 | ||||||
| 26,562 | Sampo Oyj | 710,284 | ||||||
| 74,004 | Stora Enso Oyj | 761,609 | ||||||
| 24,196 | UPM-Kymmene Oyj | 428,961 | ||||||
| 5,685 | Wartsila Corporation | 433,238 | ||||||
| 40,964 | YIT Oyj | 1,023,657 | ||||||
Total Finland | 7,834,072 | |||||||
| France (5.6%) | ||||||||
| 31,949 | Alten, Ltd. | 1,050,308 | ||||||
| 168,879 | AXA SA | 2,811,159 | ||||||
| 4,061 | BNP Paribas SA | 258,642 | ||||||
| 77,600 | Cap Gemini SA | 3,627,911 | ||||||
| 6,092 | Christian Dior SA | 871,398 | ||||||
| 41,592 | Compagnie de Saint-Gobain | 2,142,302 | ||||||
| 9,268 | Euler Hermes SAa | 884,822 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (87.5%) | Value | ||||||
| France (5.6%) - continued | ||||||||
| 7,732 | Faureciaa | $ | 223,669 | |||||
| 28,235 | Ingenico | 1,023,263 | ||||||
| 11,516 | L’Oreal SA | 1,280,535 | ||||||
| 19,161 | Renault SAa | 1,115,450 | ||||||
| 17,461 | Rhodia SA | 578,171 | ||||||
| 7,144 | Rubis | 832,018 | ||||||
| 18,894 | Safran SA | 669,789 | ||||||
| 5,336 | Societe Generale | 287,124 | ||||||
| 77,553 | Total SA | 4,130,830 | ||||||
| 7,250 | Unibail-Rodamcoa | 1,435,544 | ||||||
| 36,284 | Valeo SAa | 2,059,421 | ||||||
| 5,454 | Virbac SA | 948,527 | ||||||
| 119,250 | Vivendi SA | 3,222,460 | ||||||
Total France | 29,453,343 | |||||||
| Germany (3.6%) | ||||||||
| 23,787 | Aixtron SE | 886,473 | ||||||
| 8,695 | BASF SE | 693,914 | ||||||
| 8,573 | Continental AGa | 681,025 | ||||||
| 73,937 | Daimler AGa | 5,003,133 | ||||||
| 21,928 | Demag Cranes AGa | 1,063,140 | ||||||
| 33,059 | ElringKlinger AG | 1,170,332 | ||||||
| 14,571 | Henkel AG & Company KGaA | 903,462 | ||||||
| 28,116 | Kloeckner & Company SEa | 788,112 | ||||||
| 6,533 | Pfeiffer Vacuum Technology AG | 766,621 | ||||||
| 19,357 | ProSiebenSat.1 Media AG | 581,031 | ||||||
| 15,399 | Rheinmetall AG | 1,233,605 | ||||||
| 18,650 | SAP AG ADR | 951,238 | ||||||
| 16,969 | Siemens AG | 2,102,113 | ||||||
| 33,234 | Symrise AG | 910,655 | ||||||
| 47,121 | Tognum AG | 1,240,467 | ||||||
Total Germany | 18,975,321 | |||||||
| Hong Kong (3.8%) | ||||||||
| 414,800 | AIA Group, Ltd.a | 1,166,038 | ||||||
| 136,000 | Cathay Pacific Airways, Ltd. | 375,157 | ||||||
| 315,000 | China Mobile, Ltd. | 3,123,180 | ||||||
| 69,500 | CLP Holdings, Ltd. | 564,321 | ||||||
| 758,000 | Galaxy Entertainment Group, Ltd.a | 857,401 | ||||||
| 294,000 | Hang Lung Group, Ltd. | 1,931,625 | ||||||
| 8,600 | Henderson Land Development Company, Ltd. Warrants, 58.00 HKD, expires 6/1/2011a | 1,992 | ||||||
| 462,450 | Hutchison Whampoa, Ltd. | 4,757,361 | ||||||
| 121,500 | Link REIT | 377,251 | ||||||
| 1,403,078 | New World Development Company, Ltd. | 2,632,450 | ||||||
| 212,000 | SJM Holdings, Ltd. | 336,304 | ||||||
| 127,819 | Swire Pacific, Ltd., Class A | 2,100,069 | ||||||
| 217,500 | Swire Pacific, Ltd., Class B | 643,280 | ||||||
| 101,000 | Wharf Holdings, Ltd. | 776,532 | ||||||
Total Hong Kong | 19,642,961 | |||||||
| Hungary (0.3%) | ||||||||
| 8,200 | Richter Gedeon Nyrt | 1,676,617 | ||||||
Total Hungary | 1,676,617 | |||||||
| India (2.0%) | ||||||||
| 109,000 | Bharti Airtel, Ltd. | 874,464 | ||||||
| 13,388 | GlaxoSmithKline Pharmaceuticals, Ltd. | 699,710 | ||||||
| 7,344 | Grasim Industries, Ltd. | 384,633 | ||||||
| 8,000 | Grasim Industries, Ltd. GDR | 406,079 | ||||||
| 30,800 | Hero Honda Motors, Ltd. | 1,369,331 | ||||||
| 146,000 | Hindustan Unilever, Ltd. | 1,021,509 | ||||||
| 129,000 | Housing Development Finance Corporation | 2,100,146 | ||||||
| 21,000 | ICICI Bank, Ltd. | 537,411 | ||||||
| 10,400 | ICICI Bank, Ltd. ADR | 526,656 | ||||||
| 10,300 | Infosys Technologies, Ltd. | 792,083 | ||||||
| 16,504 | Infosys Technologies, Ltd. ADR | 1,255,624 | ||||||
| 20,696 | Ultra Tech Cement, Ltd. | 501,738 | ||||||
| 2,285 | Ultra Tech Cement, Ltd. GDR | 110,813 | ||||||
Total India | 10,580,197 | |||||||
| Indonesia (0.7%) | ||||||||
| 327,000 | PT Astra International Tbk | 1,976,199 | ||||||
| 1,755,576 | Telekomunikasi Indonesia Tbk PT | 1,549,038 | ||||||
| 7,300 | Telekomunikasi Indonesia Tbk PT ADR | 260,245 | ||||||
Total Indonesia | 3,785,482 | |||||||
| Israel (0.3%) | ||||||||
| 19,500 | Check Point Software Technologies, Ltd.a | 902,070 | ||||||
| 1,818 | Delek Group, Ltd. | 468,747 | ||||||
Total Israel | 1,370,817 | |||||||
| Italy (1.8%) | ||||||||
| 544,750 | Enel SPA | 2,729,865 | ||||||
| 97,600 | Eni SPA | 2,139,218 | ||||||
| 38,335 | Indesit Company SPA | 411,444 | ||||||
| 23,027 | Saipem SPA | 1,136,961 | ||||||
| 2,722,925 | Telecom Italia SPA | 2,963,451 | ||||||
Total Italy | 9,380,939 | |||||||
| Japan (16.0%) | ||||||||
| 55,800 | Aeon Company, Ltd. | 696,289 | ||||||
| 71,000 | All Nippon Airways Co., Ltd.a | 264,224 | ||||||
| 32,100 | Alps Electric Company, Ltd. | 370,461 | ||||||
| 46,000 | Anritsu Corporation | 378,035 | ||||||
| 47,000 | Asahi Diamond Industrial Company, Ltd. | 891,274 | ||||||
| 82,000 | Asics Corporation | 1,049,565 | ||||||
| 224,850 | Bridgestone Corporation | 4,328,132 | ||||||
| 7,300 | Canon, Inc. | 374,967 | ||||||
| 116 | Central Japan Railway Company | 969,694 | ||||||
| 101,000 | Chiyoda Corporation | 1,000,350 | ||||||
| 65,000 | Chuo Mitsui Trust Holdings, Inc. | 268,511 | ||||||
| 27,400 | Credit Saison Company, Ltd. | 447,159 | ||||||
| 78,000 | Daicel Chemical Industries, Ltd. | 567,601 | ||||||
| 28,000 | Daihatsu Motor Company, Ltd. | 428,365 | ||||||
| 186,950 | Daiichi Sankyo Company, Ltd. | 4,083,173 | ||||||
| 62,250 | Daito Trust Construction Company, Ltd. | 4,254,320 | ||||||
| 687,056 | Daiwa Securities Group, Inc. | 3,524,329 | ||||||
| 185,000 | Denki Kagaku Kogyo KK | 875,918 | ||||||
| 19,400 | Denso Corporation | 666,950 | ||||||
| 46,200 | East Japan Railway Company | 2,997,880 | ||||||
| 26,036 | Exedy Corporation | 841,856 | ||||||
| 9,200 | FamilyMart Company, Ltd. | 346,128 | ||||||
| 83,000 | Fujitsu, Ltd. | 575,053 | ||||||
| 19,200 | Hamamatsu Photonics KK | 699,905 | ||||||
| 187,000 | Hitachi, Ltd. | 992,815 | ||||||
| 10,200 | Honda Motor Company, Ltd. | 402,582 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (87.5%) | Value | ||||||
| Japan (16.0%) - continued | ||||||||
| 2,900 | Idemitsu Kosan Company, Ltd. | $ | 307,302 | |||||
| 184,000 | IHI Corporation | 408,511 | ||||||
| 80,200 | ITOCHU Corporation | 808,074 | ||||||
| 23,100 | JTEKT Corporation | 271,045 | ||||||
| 69 | Kakaku.com, Inc. | 409,514 | ||||||
| 161,850 | Kao Corporation | 4,349,732 | ||||||
| 39,800 | Keihin Corporation | 892,603 | ||||||
| 4,300 | Keyence Corporation | 1,240,701 | ||||||
| 141,000 | Kobe Steel, Ltd. | 356,269 | ||||||
| 9,800 | K’s Holdings Corporation | 266,024 | ||||||
| 11,400 | Kyocera Corporation | 1,158,211 | ||||||
| 92,000 | Marubeni Corporation | 644,073 | ||||||
| 143,000 | Minebea Company, Ltd. | 897,066 | ||||||
| 114,000 | Mitsubishi Electric Corporation | 1,191,217 | ||||||
| 158,000 | Mitsubishi Materials Corporationa | 502,090 | ||||||
| 7,730 | Mitsubishi UFJ Lease & Finance Company, Ltd. | 305,108 | ||||||
| 24,400 | Mitsui & Company, Ltd. | 401,475 | ||||||
| 86,700 | MS and AD Insurance Group Holdings, Inc. | 2,164,265 | ||||||
| 69,300 | Nabtesco Corporation | 1,473,461 | ||||||
| 25,808 | Nichi-iko Pharmaceutical Company, Ltd. | 903,739 | ||||||
| 33,940 | Nifco, Inc. | 916,953 | ||||||
| 106,000 | Nippon Yusen KK | 466,672 | ||||||
| 471,300 | Nissan Motor Company, Ltd. | 4,458,428 | ||||||
| 27,800 | Omron Corporation | 732,631 | ||||||
| 8,280 | ORIX Corporation | 811,234 | ||||||
| 29,703 | Pigeon Corporation | 1,008,454 | ||||||
| 224,700 | Pioneer Corporationa | 925,367 | ||||||
| 31,282 | Sanyo Chemical Industries, Ltd. | 260,332 | ||||||
| 62,800 | Secom Company, Ltd. | 2,967,352 | ||||||
| 42,300 | Sega Sammy Holdings, Inc. | 802,247 | ||||||
| 40,300 | Shin-Etsu Chemical Company, Ltd. | 2,172,033 | ||||||
| 30,700 | Softbank Corporation | 1,058,550 | ||||||
| 11,100 | Sony Corporation | 396,988 | ||||||
| 291,050 | Sumitomo Corporation | 4,097,189 | ||||||
| 78,200 | Sumitomo Electric Industries, Ltd. | 1,080,660 | ||||||
| 659,228 | Sumitomo Trust and Banking Company, Ltd. | 4,129,833 | ||||||
| 109,000 | Suruga Bank, Ltd. | 1,011,434 | ||||||
| 46,700 | Suzuki Motor Corporation | 1,146,430 | ||||||
| 14,300 | Sysmex Corporation | 989,038 | ||||||
| 17,700 | Takeda Pharmaceutical Company, Ltd. | 869,527 | ||||||
| 16,210 | Toyo Tanso Company, Ltd. | 956,543 | ||||||
| 163 | West Japan Railway Company | 608,398 | ||||||
| Total Japan | 83,112,309 | |||||||
| Luxembourg (0.8%) | ||||||||
| 88,911 | Acergy SA | 2,186,602 | ||||||
| 38,000 | Tenaris SA ADR | 1,861,240 | ||||||
| Total Luxembourg | 4,047,842 | |||||||
| Malaysia (0.5%) | ||||||||
| 570,600 | CIMB Group Holdings Berhad | 1,573,161 | ||||||
| 199,400 | Public Bank Berhad | 840,668 | ||||||
| Total Malaysia | 2,413,829 | |||||||
| Mexico (1.2%) | ||||||||
| 172,000 | Consorcio ARA SAB de CV | 105,846 | ||||||
| 40,500 | Fomento Economico Mexicano SAB de CV ADR | 2,264,760 | ||||||
| 13,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 762,075 | ||||||
| 460,500 | Grupo Financiero Banorte SAB de CV ADR | 2,188,773 | ||||||
| 259,000 | Organizacion Soriana SAB de CV | 828,381 | ||||||
| Total Mexico | 6,149,835 | |||||||
| Netherlands (1.6%) | ||||||||
| 5,976 | Heineken NV | 293,115 | ||||||
| 26,895 | Imtech NV | 1,021,704 | ||||||
| 67,695 | Koninklijke (Royal) KPN NV | 988,783 | ||||||
| 29,787 | Koninklijke (Royal) Philips Electronics NV | 913,227 | ||||||
| 70,068 | Koninklijke DSM NV | 3,994,242 | ||||||
| 4,825 | Nutreco NV | 366,477 | ||||||
| 17,094 | Unilever NV | 533,310 | ||||||
| Total Netherlands | 8,110,858 | |||||||
| Norway (1.6%) | ||||||||
| 46,200 | Schibsted ASA | 1,368,694 | ||||||
| 21,792 | Seadrill, Ltd. | 743,388 | ||||||
| 147,850 | Statoil ASA | 3,521,468 | ||||||
| 134,600 | Storebrand ASAa | 1,009,914 | ||||||
| 138,109 | Tomra Systems ASA | 919,459 | ||||||
| 17,165 | Yara International ASA | 999,146 | ||||||
| Total Norway | 8,562,069 | |||||||
| Philippines (0.4%) | ||||||||
| 2,576,000 | Ayala Land, Inc. | 968,431 | ||||||
| 658,242 | Bank of the Philippine Islands | 885,930 | ||||||
| Total Philippines | 1,854,361 | |||||||
| Poland (0.2%) | ||||||||
| 21,000 | Bank Pekao SA | 1,270,656 | ||||||
| Total Poland | 1,270,656 | |||||||
| Russia (0.4%) | ||||||||
| 36,500 | LUKOIL ADR | 2,064,915 | ||||||
| Total Russia | 2,064,915 | |||||||
| Singapore (1.9%) | ||||||||
| 53,000 | Fraser and Neave, Ltd. | 264,566 | ||||||
| 33,583 | Golden Agri-Resources, Ltd. Warrants, 0.54 SGD, expires 7/23/2012a | 6,280 | ||||||
| 528,000 | Goodpack, Ltd. | 844,825 | ||||||
| 153,150 | Keppel Corporation, Ltd. | 1,351,274 | ||||||
| 134,000 | Keppel Land, Ltd. | 501,712 | ||||||
| 1,091,000 | Midas Holding, Ltd. | 803,586 | ||||||
| 188,000 | Neptune Orient Lines, Ltd.a | 319,544 | ||||||
| 429,000 | Raffles Medical Group, Ltd. | 798,935 | ||||||
| 103,000 | SembCorp Industries, Ltd. | 412,289 | ||||||
| 202,150 | Singapore Airlines, Ltd. | 2,412,050 | ||||||
| 457,000 | Singapore Airport Terminal Services, Ltd. | 1,025,419 | ||||||
| 583,867 | Super Group, Ltd. | 641,280 | ||||||
| 289,000 | Yangzijiang Shipbuilding Holdings, Ltd. | 430,347 | ||||||
| Total Singapore | 9,812,107 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (87.5%) | Value | ||||||||||
| South Africa (0.8%) | ||||||||||||
| 106,600 | Massmart Holdings, Ltd. | $2,374,284 | ||||||||||
| 154,000 | Truworths International, Ltd. | 1,675,686 | ||||||||||
| Total South Africa | 4,049,970 | |||||||||||
| South Korea (2.7%) | ||||||||||||
| 12,181 | Busan Bank | 153,548 | ||||||||||
| 14,406 | Fila Korea, Ltd.a | 992,642 | ||||||||||
| 83,503 | Iljin Display Company, Ltd.a | 830,016 | ||||||||||
| 21,300 | Lock & Lock Company, Ltd. | 676,978 | ||||||||||
| 8,588 | OCI Materials Company, Ltd. | 774,846 | ||||||||||
| 6,300 | POSCO | 2,691,300 | ||||||||||
| 5,950 | Samsung Electronics Company, Ltd. | 3,396,325 | ||||||||||
| 2,330 | Shinsegae Company, Ltd. | 1,260,569 | ||||||||||
| 3,521 | SK Telecom Company, Ltd. | 537,136 | ||||||||||
| 156,307 | SK Telecom Company, Ltd. ADR | 2,911,999 | ||||||||||
| Total South Korea | 14,225,359 | |||||||||||
| Spain (1.3%) | ||||||||||||
| 1,786 | Construcciones y Auxiliar de Ferrocarriles SA | 933,998 | ||||||||||
| 121,800 | Indra Sistemas SA | 2,087,772 | ||||||||||
| 12,190 | Industria de Diseno Textil SA (Inditex) | 912,500 | ||||||||||
| 135,300 | Telefonica SA | 3,089,028 | ||||||||||
| Total Spain | 7,023,298 | |||||||||||
| Sweden (1.5%) | ||||||||||||
| 45,576 | Atlas Copco AB | 1,150,488 | ||||||||||
| 10,518 | Elekta AB | 404,277 | ||||||||||
| 86,092 | Hexagon AB | 1,848,994 | ||||||||||
| 29,777 | Hoganas AB | 1,165,592 | ||||||||||
| 27,788 | Investor AB | 594,610 | ||||||||||
| 72,983 | Nordea Bank AB | 793,526 | ||||||||||
| 24,457 | Scania AB | 562,973 | ||||||||||
| 87,937 | Volvo ABa | 1,549,068 | ||||||||||
| Total Sweden | 8,069,528 | |||||||||||
| Switzerland (8.2%) | ||||||||||||
| 35,057 | ABB, Ltd.a | 782,746 | ||||||||||
| 53,750 | Adecco SA | 3,524,891 | ||||||||||
| 11,915 | Aryzta AGa | 550,384 | ||||||||||
| 3,748 | Burckhardt Compression Holding AG | 1,038,726 | ||||||||||
| 21,167 | Compagnie Financiere Richemont SA | 1,244,699 | ||||||||||
| 69,100 | Credit Suisse Group | 2,782,993 | ||||||||||
| 3,172 | Givaudan SA | 3,424,187 | ||||||||||
| 30,832 | Holcim, Ltd. | 2,333,131 | ||||||||||
| 14,491 | Huber & Suhner AG | 1,004,076 | ||||||||||
| 2,241 | Kaba Holding AG | 961,113 | ||||||||||
| 25,757 | Logitech International SAa | 489,766 | ||||||||||
| 27,465 | Meyer Burger Technology AGa | 856,746 | ||||||||||
| 133,427 | Nestle SA | 7,816,638 | ||||||||||
| 62,450 | Novartis AG | 3,676,154 | ||||||||||
| 32,609 | Roche Holding AG | 4,780,246 | ||||||||||
| 3,824 | Schindler Holding AG | 452,362 | ||||||||||
| 494 | Sika AG | 1,084,447 | ||||||||||
| 2,252 | Swatch Group AG | 1,004,100 | ||||||||||
| 39,047 | UBS AGa | 641,097 | ||||||||||
| 16,426 | Zurich Financial Services AG | 4,253,787 | ||||||||||
| Total Switzerland | 42,702,289 | |||||||||||
| Taiwan (0.8%) | ||||||||||||
| 443,000 | Taiwan Mobile Company, Ltd. |
| 1,058,665 | |||||||||
| 1,250,951 | Taiwan Semiconductor |
| ||||||||||
| Manufacturing Company, Ltd. | 3,045,187 | |||||||||||
| Total Taiwan | 4,103,852 | |||||||||||
| Thailand (1.4%) | ||||||||||||
| 169,000 | Bangkok Bank pcl |
| 854,883 | |||||||||
| 280,100 | PTT Exploration & Production pcl |
| 1,558,989 | |||||||||
| 293,300 | PTT pcl |
| 3,108,700 | |||||||||
| 170,900 | Siam Cement pcl |
| 2,045,714 | |||||||||
| Total Thailand | 7,568,286 | |||||||||||
| Turkey (0.7%) | ||||||||||||
| 447,982 | Akbank TAS |
| 2,481,687 | |||||||||
| 37,000 | BIM Birlesik Magazalar AS |
| 1,255,323 | |||||||||
| Total Turkey | 3,737,010 | |||||||||||
| United Kingdom (12.0%) | ||||||||||||
| 489,572 | Aegis Group plc |
| 1,074,936 | |||||||||
| 24,167 | AMEC plc |
| 434,614 | |||||||||
| 8,876 | Anglo American plc |
| 464,325 | |||||||||
| 172,489 | ARM Holdings plc |
| 1,177,250 | |||||||||
| 7,657 | AstraZeneca plc |
| 348,962 | |||||||||
| 109,807 | Babcock International Group plc |
| 978,539 | |||||||||
| 790,239 | BAE Systems plc |
| 4,070,335 | |||||||||
| 82,562 | Barclays plc |
| 341,215 | |||||||||
| 73,441 | BG Group plc |
| 1,489,763 | |||||||||
| 45,234 | BHP Billiton plc |
| 1,819,833 | |||||||||
| 110,526 | British Airways plca |
| 471,105 | |||||||||
| 54,063 | British American Tobacco plc |
| 2,079,580 | |||||||||
| 43,234 | Burberry Group plc |
| 759,830 | |||||||||
| 166,069 | Carillion plc |
| 998,226 | |||||||||
| 269,816 | Centrica plc |
| 1,397,962 | |||||||||
| 76,664 | Compass Group plc |
| 695,785 | |||||||||
| 25,754 | Croda International plc |
| 651,929 | |||||||||
| 17,783 | Diageo plc |
| 329,482 | |||||||||
| 151,161 | GKN plc |
| 524,680 | |||||||||
| 84,850 | GlaxoSmithKline plc |
| 1,645,473 | |||||||||
| 170,901 | Halma plc |
| 957,062 | |||||||||
| 277,495 | HSBC Holdings plc |
| 2,835,995 | |||||||||
| 60,200 | HSBC Holdings plc ADR |
| 3,072,608 | |||||||||
| 29,995 | IMI plc |
| 442,756 | |||||||||
| 10,019 | Imperial Tobacco Group plc |
| 307,979 | |||||||||
| 195,287 | Intermediate Capital Group plc |
| 1,017,356 | |||||||||
| 156,905 | J Sainsbury plc |
| 921,786 | |||||||||
| 135,150 | Pearson plc |
| 2,129,824 | |||||||||
| 78,398 | Pennon Group plc |
| 783,931 | |||||||||
| 17,306 | Petrofac, Ltd. |
| 430,000 | |||||||||
| 28,832 | Reckitt Benckiser Group plc |
| 1,586,183 | |||||||||
| 32,299 | Rio Tinto plc |
| 2,302,313 | |||||||||
| 33,654 | Rotork plc |
| 961,825 | |||||||||
| 12,224 | Schroders plc |
| 354,475 | |||||||||
| 41,313 | Shire plc |
| 996,137 | |||||||||
| 330,452 | Spirent plc |
| 762,193 | |||||||||
| 103,210 | Standard Chartered plc |
| 2,786,203 | |||||||||
| 123,167 | Telecity Group plca |
| 906,086 | |||||||||
| 599,799 | Tesco plc |
| 3,977,244 | |||||||||
| 32,176 | Ultra Electronics Holdings plc |
| 852,433 | |||||||||
| 27,793 | Unilever plc |
| 853,692 | |||||||||
| 1,564,400 | Vodafone Group plc |
| 4,106,611 | |||||||||
| 16,319 | Whitbread plc |
| 456,637 | |||||||||
| 400,250 | WPP plc |
| 4,948,087 | |||||||||
| 26,337 | WS Atkins plc |
| 287,966 | |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (87.5%) | Value | ||||||
| United Kingdom (12.0%) - continued | ||||||||
| 72,993 | Xstrata plc | $ | 1,729,652 | |||||
| Total United Kingdom | 62,520,858 | |||||||
| United States (0.3%) | ||||||||
| 22,017 | iShares MSCI EAFE Growth Index Fund | 1,344,688 | ||||||
Total United States | 1,344,688 | |||||||
Total Common Stock (cost $384,430,598) | 456,766,725 | |||||||
| Principal Amount | Long-Term Fixed Income (9.4%) | |||||||
| Argentina (0.5%) | ||||||||
Argentina Government International Bond | ||||||||
| 250,000 | 7.000%, 10/3/2015 | 240,625 | ||||||
| 470,000 | 7.000%, 4/17/2017 | 427,230 | ||||||
| 615,454 | 7.820%, 12/31/2033b,c | 629,238 | ||||||
| 352,604 | 7.820%, 12/31/2033b | 360,501 | ||||||
| 5,590,000 | 0.000%, 12/15/2035b,d | 937,518 | ||||||
| 100,000 | 2.260%, 12/31/2038b,e | 49,780 | ||||||
| Total Argentina | 2,644,892 | |||||||
| Belarus (0.2%) | ||||||||
Belarus Government International Bond | ||||||||
| 810,000 | 8.750%, 8/3/2015 | 829,440 | ||||||
| Total Belarus | 829,440 | |||||||
| Brazil (0.3%) | ||||||||
Brazil Government International Bond | ||||||||
| 600,000 | 4.875%, 1/22/2021 | 612,000 | ||||||
| 200,000 | 7.125%, 1/20/2037c | 238,500 | ||||||
| 610,000 | 5.625%, 1/7/2041 | 605,425 | ||||||
Independencia International, Ltd. | ||||||||
| 95,246 | 12.000%, 12/30/2016f,g | 1,905 | ||||||
Telemar Norte Leste SA | ||||||||
| 194,000 | 5.500%, 10/23/2020f | 186,725 | ||||||
| Total Brazil | 1,644,555 | |||||||
| Bulgaria (<0.1%) | ||||||||
Bulgaria Government International Bond | ||||||||
| 10,000 | 8.250%, 1/15/2015 | 11,700 | ||||||
| Total Bulgaria | 11,700 | |||||||
| Cayman Islands (0.1%) | ||||||||
Odebrecht Drilling Norbe VIII/IX, Ltd. | ||||||||
| 280,000 | 6.350%, 6/30/2021f | 291,200 | ||||||
| TGI International, Ltd. | ||||||||
| 180,000 | 9.500%, 10/3/2017 | 202,050 | ||||||
| Total Cayman Islands | 493,250 | |||||||
| Chile (0.3%) | ||||||||
Banco Central de Chile | ||||||||
| 215,000,000 | 6.000%, 5/1/2015h | 469,284 | ||||||
| Banco del Estado de Chile | ||||||||
| 200,000 | 4.125%, 10/7/2020 | 190,318 | ||||||
| 260,000 | 4.125%, 10/7/2020f | 246,966 | ||||||
| Chile Government International Bond | ||||||||
| 130,000 | 3.875%, 8/5/2020 | 127,798 | ||||||
| Corporacion Nacional del Cobre de Chile - Codelco | ||||||||
| 120,000 | 3.750%, 11/4/2020f | 113,704 | ||||||
| 200,000 | 6.150%, 10/24/2036 | 218,344 | ||||||
| E-CL SA | ||||||||
| 140,000 | 5.625%, 1/15/2021f | 138,692 | ||||||
| Total Chile | 1,505,106 | |||||||
| China (0.1%) | ||||||||
| Sinochem Overseas Capital Company, Ltd. | ||||||||
| 120,000 | 4.500%, 11/12/2020f | 118,276 | ||||||
| 260,000 | 6.300%, 11/12/2040f | 265,960 | ||||||
| Total China | 384,236 | |||||||
| Colombia (0.6%) | ||||||||
| Colombia Government International Bond | ||||||||
| 30,000 | 8.250%, 12/22/2014 | 35,175 | ||||||
| 200,000 | 7.375%, 1/27/2017 | 236,000 | ||||||
| 1,470,000 | 7.375%, 3/18/2019c | 1,764,000 | ||||||
| 710,000 | 7.375%, 9/18/2037 | 841,350 | ||||||
| 300,000 | 6.125%, 1/18/2041 | 307,500 | ||||||
| Total Colombia | 3,184,025 | |||||||
| Costa Rica (0.1%) | ||||||||
| Costa Rica Government International Bond | ||||||||
| 243,000 | 9.995%, 8/1/2020 | 332,910 | ||||||
| Total Costa Rica | 332,910 | |||||||
| Dominican Republic (0.2%) | ||||||||
| Dominican Republic Government International Bond | ||||||||
| 163,947 | 9.040%, 1/23/2018c | 186,079 | ||||||
| 560,000 | 7.500%, 5/6/2021 | 603,400 | ||||||
| 100,000 | 8.625%, 4/20/2027 | 112,000 | ||||||
| Total Dominican Republic | 901,479 | |||||||
| Egypt (<0.1%) | ||||||||
| Egypt Government International Bond | ||||||||
| 125,000 | 6.875%, 4/30/2040f | 131,875 | ||||||
| Total Egypt | 131,875 | |||||||
| El Salvador (0.1%) | ||||||||
| El Salvador Government International Bond | ||||||||
| 375,000 | 7.650%, 6/15/2035c | 396,563 | ||||||
| Total El Salvador | 396,563 | |||||||
| Gabon (<0.1%) | ||||||||
| Gabon Government International Bond | ||||||||
| 120,000 | 8.200%, 12/12/2017f | 140,400 | ||||||
| Total Gabon | 140,400 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| Georgia (<0.1%) | ||||||||
| Georgia Government International Bond | ||||||||
| $ | 100,000 | 7.500%, 4/15/2013 | $ | 102,500 | ||||
| Total Georgia | 102,500 | |||||||
| Ghana (<0.1%) | ||||||||
| Ghana Government International Bond | ||||||||
| 100,000 | 8.500%, 10/4/2017 | 113,000 | ||||||
| Total Ghana | 113,000 | |||||||
| Hungary (<0.1%) | ||||||||
Hungary Government International Bond | ||||||||
| 40,000 | 6.750%, 7/28/2014b | 54,443 | ||||||
| 20,000 | 5.750%, 6/11/2018b | 24,817 | ||||||
| Total Hungary | 79,260 | |||||||
| Indonesia (0.8%) | ||||||||
| Adaro Indonesia PT | ||||||||
| 120,000 | 7.625%, 10/22/2019 | 131,100 | ||||||
Indonesia Government International Bond | ||||||||
| 49,000 | 6.875%, 1/17/2018 | 56,840 | ||||||
| 1,160,000 | 11.625%, 3/4/2019c | 1,719,699 | ||||||
| 373,000 | 5.875%, 3/13/2020 | 409,368 | ||||||
| 755,000 | 8.500%, 10/12/2035 | 989,050 | ||||||
| 480,000 | 7.750%, 1/17/2038 | 583,200 | ||||||
| Total Indonesia | 3,889,257 | |||||||
| Iraq (0.1%) | ||||||||
| Iraq Government International Bond | ||||||||
| 500,000 | 5.800%, 1/15/2028 | 455,000 | ||||||
| Total Iraq | 455,000 | |||||||
| Ireland (<0.1%) | ||||||||
| MTS International Funding, Ltd. | ||||||||
| 100,000 | 8.625%, 6/22/2020 | 113,620 | ||||||
| Total Ireland | 113,620 | |||||||
| Israel (0.1%) | |||||||
| Israel Government International Bond | ||||||||
| 1,700,000 | Zero Coupon, 3/2/2011i | 477,351 | ||||||
| Total Israel | 477,351 | |||||||
| Ivory Coast (<0.1%) | ||||||||
| Ivory Coast Government International Bond | ||||||||
| 332,000 | 2.500%, 12/31/2032e,g | 146,080 | ||||||
| Total Ivory Coast | 146,080 | |||||||
| Kazakhstan (0.3%) | ||||||||
| Development Bank of Kazakhstan JSC | ||||||||
| 200,000 | 5.500%, 12/20/2015f | 201,500 | ||||||
Kazatomprom | ||||||||
| 110,000 | 6.250%, 5/20/2015 | 116,600 | ||||||
KazMunayGaz National Company | ||||||||
| 920,000 | 11.750%, 1/23/2015c | 1,143,100 | ||||||
| 270,000 | 6.375%, 4/9/2021f | 267,624 | ||||||
| Total Kazakhstan | 1,728,824 | |||||||
| Lebanon (0.2%) | ||||||||
| Lebanon Government International Bond | ||||||||
| 130,000 | 9.000%, 3/20/2017 | 155,984 | ||||||
| 252,000 | 4.000%, 12/31/2017 | 246,960 | ||||||
| 380,000 | 6.375%, 3/9/2020 | 396,165 | ||||||
| 20,000 | 8.250%, 4/12/2021 | 23,061 | ||||||
| Total Lebanon | 822,170 | |||||||
| Luxembourg (0.3%) | ||||||||
| Alrosa Finance SA | ||||||||
| 200,000 | 7.750%, 11/3/2020f | 209,750 | ||||||
Gazprom International | ||||||||
| 179,708 | 7.201%, 2/1/2020 | 191,030 | ||||||
Gazprom Via Gaz Capital SA | ||||||||
| 960,000 | 9.250%, 4/23/2019c | 1,179,648 | ||||||
| Total Luxembourg | 1,580,428 | |||||||
| Malaysia (0.1%) | ||||||||
| Malaysia Government International Bond | ||||||||
| 280,000 | 7.500%, 7/15/2011 | 289,133 | ||||||
Petronas Capital, Ltd. | ||||||||
| 170,000 | 5.250%, 8/12/2019 | 182,337 | ||||||
| Total Malaysia | 471,470 | |||||||
| Mexico (0.9%) | ||||||||
| Cemex Finance, LLC | ||||||||
| 340,000 | 9.500%, 12/14/2016 | 351,050 | ||||||
Mexico Government International Bond | ||||||||
| 259 | Zero Coupon, 1/25/2011j | 14,245 | ||||||
| 10,710,000 | Zero Coupon, 2/10/2011k | 863,395 | ||||||
| 40,000 | 7.500%, 1/14/2012 | 42,700 | ||||||
| 30,000 | 5.875%, 1/15/2014 | 33,225 | ||||||
| 20,000 | 6.625%, 3/3/2015 | 23,000 | ||||||
| 16,000 | 5.950%, 3/19/2019 | 17,840 | ||||||
| 7,185,900 | 10.000%, 12/5/2024k | 725,340 | ||||||
| 60,000 | 7.500%, 4/8/2033 | 73,650 | ||||||
| 120,000 | 6.750%, 9/27/2034c | 135,000 | ||||||
| 1,259,800 | 8.500%, 11/18/2038k | 108,584 | ||||||
| 140,000 | 6.050%, 1/11/2040 | 143,150 | ||||||
| 110,000 | 5.750%, 10/12/2110 | 97,625 | ||||||
Pemex Project Funding Master Trust | ||||||||
| 415,000 | 5.750%, 3/1/2018 | 443,712 | ||||||
| 430,000 | 6.625%, 6/15/2035c | 437,521 | ||||||
Petroleos Mexicanos | ||||||||
| 275,000 | 8.000%, 5/3/2019 | 331,375 | ||||||
| 280,000 | 5.500%, 1/21/2021 | 283,500 | ||||||
| Total Mexico | 4,124,912 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| Morocco (<0.1%) | ||||||||
| Morocco Government International Bond | ||||||||
| $ | 180,000 | 4.500%, 10/5/2020b | $ | 230,142 | ||||
| Total Morocco | 230,142 | |||||||
| Pakistan (<0.1%) | ||||||||
| Pakistan Government International Bond | ||||||||
| 200,000 | 6.875%, 6/1/2017 | 174,000 | ||||||
| 100,000 | 7.875%, 3/31/2036 | 78,059 | ||||||
| Total Pakistan | 252,059 | |||||||
| Panama (<0.1%) | ||||||||
| Panama Government International Bond | ||||||||
| 11,000 | 7.250%, 3/15/2015 | 12,705 | ||||||
| Total Panama | 12,705 | |||||||
| Peru (0.3%) | ||||||||
| Peru Government International Bond | ||||||||
| 160,000 | 5.625%, 11/18/2050 | 148,000 | ||||||
| 300,000 | 7.125%, 3/30/2019c | 358,500 | ||||||
| 300,000 | 7.350%, 7/21/2025 | 364,950 | ||||||
| 417,000 | 8.750%, 11/21/2033 | 572,333 | ||||||
| 207,000 | 6.550%, 3/14/2037 | 226,665 | ||||||
| Total Peru | 1,670,448 | |||||||
| Philippines (0.6%) | ||||||||
| Philippines Government International Bond | ||||||||
| 100,000 | 6.500%, 1/20/2020 | 115,500 | ||||||
| 600,000 | 4.000%, 1/15/2021 | 582,480 | ||||||
| 100,000 | 7.500%, 9/25/2024 | 123,750 | ||||||
| 40,000 | 9.500%, 10/21/2024 | 57,800 | ||||||
| 547,000 | 9.500%, 2/2/2030c | 787,680 | ||||||
| 100,000 | 7.750%, 1/14/2031 | 123,250 | ||||||
| 1,161,000 | 6.375%, 10/23/2034 | 1,230,660 | ||||||
| Total Philippines | 3,021,120 | |||||||
| Poland (0.2%) | ||||||||
| Poland Government International Bond | ||||||||
| 670,000 | 3.875%, 7/16/2015c | 680,970 | ||||||
| 310,000 | 6.375%, 7/15/2019 | 347,265 | ||||||
| Total Poland | 1,028,235 | |||||||
| Qatar (0.3%) | ||||||||
| Qatar Government International Bond | ||||||||
| 730,000 | 4.000%, 1/20/2015 | 755,550 | ||||||
| 100,000 | 6.550%, 4/9/2019 | 114,500 | ||||||
Ras Laffan Liquefied Natural Gas Company, Ltd. II | ||||||||
| 480,650 | 5.298%, 9/30/2020 | 507,086 | ||||||
| Total Qatar | 1,377,136 | |||||||
| Romania (<0.1%) | ||||||||
| Romania Government International Bond | ||||||||
| 50,000 | 5.000%, 3/18/2015b | 65,816 | ||||||
| 57,000 | 6.500%, 6/18/2018b | 78,458 | ||||||
| Total Romania | 144,274 | |||||||
| Russia (0.4%) | ||||||||
| Russia Government International Bond | ||||||||
| 200,000 | 3.625%, 4/29/2015 | 200,260 | ||||||
| 2,327,000 | 7.500%, 3/31/2030c | 2,691,175 | ||||||
| Total Russia | 2,891,435 | |||||||
| Serbia (<0.1%) | ||||||||
| Serbia Government International Bond | ||||||||
| 140,000 | 6.750%, 11/1/2024 | 137,060 | ||||||
| Total Serbia | 137,060 | |||||||
| South Africa (0.7%) | ||||||||
| Peermont Global Proprietary, Ltd. | ||||||||
| 260,000 | 7.750%, 4/30/2014b | 298,811 | ||||||
| South Africa Government International Bond | ||||||||
| 60,000 | 6.500%, 6/2/2014 | 67,500 | ||||||
| 2,540,000 | 8.000%, 12/21/2018l | 383,886 | ||||||
| 100,000 | 6.875%, 5/27/2019 | 117,125 | ||||||
| 930,000 | 5.500%, 3/9/2020c | 989,288 | ||||||
| 9,410,000 | 6.750%, 3/31/2021l | 1,288,941 | ||||||
| 110,000 | 5.875%, 5/30/2022 | 118,250 | ||||||
| Total South Africa | 3,263,801 | |||||||
| Sri Lanka (<0.1%) | ||||||||
| Sri Lanka Government International Bond | ||||||||
| 100,000 | 8.250%, 10/24/2012 | 108,082 | ||||||
| 100,000 | 6.250%, 10/4/2020f | 101,375 | ||||||
| Total Sri Lanka | 209,457 | |||||||
| Turkey (0.8%) | ||||||||
| Akbank TAS | ||||||||
| 100,000 | 5.125%, 7/22/2015f | 101,000 | ||||||
| 390,000 | 5.125%, 7/22/2015 | 393,900 | ||||||
| Turkey Government International Bond | ||||||||
| 700,000 | Zero Coupon, 2/2/2011m | 450,922 | ||||||
| 2,030,000 | 5.625%, 3/30/2021c | 2,111,199 | ||||||
| 50,000 | 7.375%, 2/5/2025 | 59,250 | ||||||
| 530,000 | 7.250%, 3/5/2038 | 616,788 | ||||||
| Total Turkey | 3,733,059 | |||||||
| Ukraine (<0.1%) | ||||||||
| Ukraine Government International Bond | ||||||||
| 195,000 | 4.950%, 10/13/2015b | 240,004 | ||||||
| Total Ukraine | 240,004 | |||||||
| United Arab Emirates (0.1%) | ||||||||
| Dolphin Energy, Ltd. | ||||||||
| 239,954 | 5.888%, 6/15/2019 | 256,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
186
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| United Arab Emirates (0.1%) - continued | ||||||||
| Dubai Government International Bond | ||||||||
| $ | 150,000 | 7.750%, 10/5/2020 | $ | 141,638 | ||||
| Total United Arab Emirates | 398,388 | |||||||
| United States (0.1%) | ||||||||
| HSBC Bank USA | ||||||||
| 590,000 | 5.910%, 8/15/2040n,o | 744,761 | ||||||
| Total United States | 744,761 | |||||||
| Uruguay (0.1%) | ||||||||
| Uruguay Government International Bond | ||||||||
| 140,000 | 9.250%, 5/17/2017 | 180,600 | ||||||
| 130,754 | 8.000%, 11/18/2022c | 161,808 | ||||||
| 488,000 | 7.625%, 3/21/2036 | 579,500 | ||||||
| Total Uruguay | 921,908 | |||||||
| Venezuela (0.5%) | ||||||||
| Petroleos de Venezuela SA | ||||||||
| 140,000 | 5.000%, 10/28/2015 | 79,800 | ||||||
| 570,600 | 5.250%, 4/12/2017 | 326,669 | ||||||
| 180,000 | 8.500%, 11/2/2017c | 121,050 | ||||||
| 590,000 | 8.500%, 11/2/2017f | 396,775 | ||||||
| Venezuela Government International Bond | ||||||||
| 100,000 | 13.625%, 8/15/2018 | 97,500 | ||||||
| 320,000 | 7.750%, 10/13/2019 | 216,800 | ||||||
| 396,500 | 6.000%, 12/9/2020 | 227,988 | ||||||
| 925,000 | 8.250%, 10/13/2024 | 601,249 | ||||||
| 660,000 | 7.650%, 4/21/2025 | 415,800 | ||||||
| Total Venezuela | 2,483,631 | |||||||
Total Long-Term Fixed Income (cost $48,133,980) | 49,463,926 | |||||||
Short-Term Investments (3.7%)p | ||||||||
| Charta, LLC | ||||||||
| 8,480,000 | 0.150%, 1/3/2011 | 8,479,929 | ||||||
| Ciesco, LLC | ||||||||
| 2,265,000 | 0.120%, 1/3/2011 | 2,264,985 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.192%, 3/14/2011q,r | 299,887 | ||||||
| Liberty Street Funding, LLC | ||||||||
| 5,170,000 | 0.130%, 1/3/2011q | 5,169,963 | ||||||
| Old Line Funding, LLC | ||||||||
| 3,150,000 | 0.170%, 1/3/2011q | 3,149,970 | ||||||
| U.S. Treasury Bills | ||||||||
| 200,000 | 0.227%, 10/20/2011q | 199,633 | ||||||
| Total Short-Term Investments (at amortized cost) | 19,564,367 | |||||||
| Total Investments (cost $452,128,945) 100.6% | $ | 525,795,018 | ||||||
| Other Assets and Liabilities, Net (0.6%) | (3,189,844 | ) | ||||||
| Total Net Assets 100.0% | $ | 522,605,174 | ||||||
| a | Non-income producing security. |
| b | Principal amount is displayed in Euros. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| e | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $2,913,727 or 0.6% of total net assets. |
| g | Subsequent to December 31, 2010, the security has gone into default and has decreased in value. |
| h | Principal amount is displayed in Chilean Pesos. |
| i | Principal amount is displayed in Israeli Shekels. |
| j | Principal amount is displayed in units. |
| k | Principal amount is displayed in Mexican Pesos. |
| l | Principal amount is displayed in South African Rand. |
| m | Principal amount is displayed in Turkish Lira. |
| n | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. |
| o | Security is fair valued as discussed in item 2(A) of the Notes to Financial Statements. |
| p | The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase. |
| q | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| r | At December 31, 2010, $299,887 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. | |||
| 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 | $ | 77,267,364 | ||
Gross unrealized depreciation | (5,932,855 | ) | ||
Net unrealized appreciation (depreciation) | $ | 71,334,509 | ||
Cost for federal income tax purposes | $ | 454,460,509 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
187
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 70,675,386 | — | 70,675,386 | — | ||||||||||||
Consumer Staples | 42,681,655 | 2,264,760 | 40,416,895 | — | ||||||||||||
Energy | 31,343,720 | 10,451,973 | 20,891,747 | — | ||||||||||||
Financials | 73,012,621 | 9,029,179 | 63,983,442 | — | ||||||||||||
Health Care | 28,065,676 | — | 28,065,676 | — | ||||||||||||
Industrials | 83,298,731 | 1,278,967 | 82,019,764 | — | ||||||||||||
Information Technology | 35,271,072 | 2,157,694 | 33,113,378 | — | ||||||||||||
Materials | 59,999,367 | 3,293,980 | 56,705,387 | — | ||||||||||||
Telecommunications Services | 22,844,711 | 3,172,244 | 19,672,467 | — | ||||||||||||
Utilities | 9,573,786 | — | 9,573,786 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 1,057,134 | — | 1,057,134 | — | ||||||||||||
Communications Services | 300,345 | — | 300,345 | — | ||||||||||||
Consumer Cyclical | 298,811 | — | 298,811 | — | ||||||||||||
Consumer Non-Cyclical | 1,905 | — | 1,905 | — | ||||||||||||
Energy | 5,526,286 | — | 5,526,286 | — | ||||||||||||
Financials | 1,792,211 | — | 1,047,450 | 744,761 | ||||||||||||
Foreign Government | 39,448,376 | — | 39,434,131 | 14,245 | ||||||||||||
Transportation | 202,050 | — | 202,050 | — | ||||||||||||
Utilities | 836,808 | — | 836,808 | — | ||||||||||||
Short-Term Investments | 19,564,367 | — | 19,564,367 | — | ||||||||||||
Total | $ | 525,795,018 | $ | 31,648,797 | $ | 493,387,215 | $ | 759,006 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 73,399 | 73,399 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 87,074 | — | 87,074 | — | ||||||||||||
Total Asset Derivatives | $ | 160,473 | $ | 73,399 | $ | 87,074 | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 187,427 | 187,427 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 183,498 | — | 183,498 | — | ||||||||||||
Total Liability Derivatives | $ | 370,925 | $ | 187,427 | $ | 183,498 | $ | — | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Financials | — | 4,219 | 49,775 | 690,767 | — | — | — | 744,761 | ||||||||||||||||||||||||
Foreign Government | — | — | 1,295 | 12,950 | — | — | — | 14,245 | ||||||||||||||||||||||||
Total | $ | — | $ | 4,219 | $ | 51,070 | $ | 703,717 | $ | — | $ | — | $ | — | $ | 759,006 | ||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $51,070. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
188
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||
2-Yr. U.S. Treasury Bond Futures | 16 | March 2011 | $ | 3,506,581 | $ | 3,502,500 | ($ | 4,081 | ) | |||||||||
5-Yr. U.S. Treasury Bond Futures | 44 | March 2011 | 5,266,021 | 5,179,625 | (86,396 | ) | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | 22 | March 2011 | 2,720,219 | 2,649,625 | (70,594 | ) | ||||||||||||
20-Yr. U.S. Treasury Bond Futures | 14 | March 2011 | 1,736,106 | 1,709,750 | (26,356 | ) | ||||||||||||
E-Mini MSCI Eafe Index Futures | 31 | March 2011 | 2,520,360 | 2,574,550 | 54,190 | |||||||||||||
Ultra Long Term U.S Treasury Bond Futures | (6 | ) | March 2011 | (781,771 | ) | (762,562 | ) | 19,209 | ||||||||||
Total Futures Contracts | ($ | 114,028 | ) | |||||||||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Purchases | ||||||||||||||||||||||||
British Pound | SSB | 45,763 | 1/4/2011 -1/6/2011 | $ | 70,915 | $ | 71,350 | $ | 435 | |||||||||||||||
Chinese Yuan | CITI | 2,122,038 | 3/17/2011 | 324,000 | 322,023 | (1,977 | ) | |||||||||||||||||
Chinese Yuan | BB | 4,994,433 | 3/17/2011 | 742,391 | 757,915 | 15,524 | ||||||||||||||||||
Chinese Yuan | MSC | 2,523,761 | 3/17/2011 | 379,000 | 382,986 | 3,986 | ||||||||||||||||||
Euro | CITI | 88,095 | 1/5/2011 | 117,731 | 117,727 | (4 | ) | |||||||||||||||||
Indian Rupee | DB | 13,097,700 | 1/18/2011 | 294,000 | 291,994 | (2,006 | ) | |||||||||||||||||
Indian Rupee | CITI | 8,700,050 | 1/18/2011 | 191,000 | 193,955 | 2,955 | ||||||||||||||||||
Israeli Shekel | JPM | 1,773,340 | 3/16/2011 | 488,349 | 499,720 | 11,371 | ||||||||||||||||||
Japanese Yen | SSB | 2,780,502 | 1/4/2011 -1/6/2011 | 34,050 | 34,247 | 197 | ||||||||||||||||||
Malaysian Ringgit | RBS | 151,263 | 1/18/2011 | 49,000 | 49,005 | 5 | ||||||||||||||||||
Malaysian Ringgit | UBS | 590,859 | 1/18/2011 | 191,000 | 191,422 | 422 | ||||||||||||||||||
Mexican Peso | CITI | 11,826,862 | 1/21/2011 | 956,054 | 956,513 | 459 | ||||||||||||||||||
Philippines Peso | CITI | 8,359,672 | 1/18/2011 | 192,044 | 190,973 | (1,071 | ) | |||||||||||||||||
Philippines Peso | HSBC | 2,070,250 | 1/18/2011 | 49,000 | 47,294 | (1,706 | ) | |||||||||||||||||
Philippines Peso | SSB | 4,181,523 | 1/3/2011 - 1/5/2011 | 95,205 | 95,447 | 242 | ||||||||||||||||||
Russian Ruble | UBS | 7,326,228 | 1/18/2011 | 233,766 | 239,503 | 5,737 | ||||||||||||||||||
Russian Ruble | CITI | 21,693,695 | 1/18/2011 | 699,075 | 709,192 | 10,117 | ||||||||||||||||||
Singapore Dollar | SSB | 157,529 | 1/3/2011 - 1/5/2011 | 122,310 | 122,743 | 433 | ||||||||||||||||||
Turkish Lira | BB | 356,875 | 3/16/2011 | 239,000 | 229,379 | (9,621 | ) | |||||||||||||||||
Total Purchases |
| $ | 5,467,890 | $ | 5,503,388 | $ | 35,498 | |||||||||||||||||
Sales | ||||||||||||||||||||||||
Brazilian Real | UBS | 1,062,000 | 1/18/2011 | $ | 608,770 | $ | 637,225 | ($ | 28,455 | ) | ||||||||||||||
Chilean Peso | CITI | 225,062,013 | 1/18/2011 | 460,061 | 480,378 | (20,317 | ) | |||||||||||||||||
Euro | CITI | 88,095 | 1/11/2011 | 117,731 | 117,716 | 15 | ||||||||||||||||||
Euro | BB | 175,973 | 1/11/2011 | 235,624 | 235,140 | 484 | ||||||||||||||||||
Euro | CSFB | 148,925 | 1/11/2011 | 195,093 | 198,998 | (3,905 | ) | |||||||||||||||||
Euro | JPM | 478,000 | 3/16/2011 | 629,908 | 638,497 | (8,589 | ) | |||||||||||||||||
Euro | MSC | 701,000 | 3/16/2011 | 930,167 | 936,373 | (6,206 | ) | |||||||||||||||||
Euro | DB | 1,355,410 | 1/11/2011 | 1,825,217 | 1,811,141 | 14,076 | ||||||||||||||||||
Euro | SSB | 81,592 | 1/3/2011 -1/5/2011 | 107,753 | 109,037 | (1,284 | ) | |||||||||||||||||
Israeli Shekel | JPM | 1,693,285 | 3/16/2011 | 471,103 | 477,161 | (6,058 | ) | |||||||||||||||||
Japanese Yen | CSFB | 29,307,450 | 3/16/2011 | 349,000 | 361,349 | (12,349 | ) | |||||||||||||||||
Mexican Peso | MSC | 14,550,491 | 1/21/2011 -2/10/2011 | 1,182,040 | 1,175,424 | 6,616 | ||||||||||||||||||
Mexican Peso | DB | 19,110,399 | 1/21/2011 -3/16/2011 | 1,526,808 | 1,541,209 | (14,401 | ) | |||||||||||||||||
Russian Ruble | UBS | 6,559,280 | 1/18/2011 | 212,000 | 214,431 | (2,431 | ) | |||||||||||||||||
South African Rand | CITI | 1,490,976 | 1/31/2011 | 219,181 | 225,519 | (6,338 | ) | |||||||||||||||||
South African Rand | DB | 9,619,219 | 1/31/2011 | 1,399,210 | 1,454,962 | (55,752 | ) | |||||||||||||||||
Turkish Lira | DB | 693,392 | 2/2/2011 | 460,863 | 447,891 | 12,972 | ||||||||||||||||||
Total Sales | $ | 10,930,529 | $ | 11,062,451 | ($ | 131,922 | ) | |||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts |
| ($ | 96,424 | ) | ||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
189
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
Counterparty | ||||||
| BB | - | Barclays Bank | ||||
| CITI | - | Citibank | ||||
| CSFB | - | CS First Boston Corporation | ||||
| DB | - | Deutsche Bank | ||||
| HSBC | - | HSBC Securities, Inc. | ||||
| JPM | - | J.P. Morgan | ||||
| MSC | - | Morgan Stanley & Company | ||||
| RBS | - | The Royal Bank of Scotland | ||||
| SSB | - | State Street Bank | ||||
| UBS | - | UBS Securities, Ltd. | ||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 19,209 | ||||
Total Interest Rate Contracts | 19,209 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 54,190 | ||||
Total Equity Contracts | 54,190 | |||||
Foreign Exchange Contracts Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 87,074 | ||||
Total Foreign Exchange Contracts | 87,074 | |||||
Total Asset Derivatives | $ | 160,473 | ||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 187,427 | ||||
Total Interest Rate Contracts | 187,427 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 183,498 | ||||
Total Foreign Exchange Contracts | 183,498 | |||||
Total Liability Derivatives | $ | 370,925 | ||||
| * | 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.
190
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | (835,671 | ) | |||
Total Equity Contracts | (835,671 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 234,985 | ||||
Total Foreign Exchange Contracts | 234,985 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (129,848 | ) | |||
Total Interest Rate Contracts | (129,848 | ) | ||||
Total | ($730,534 | ) | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (168,218 | ) | |||
Total Interest Rate Contracts | (168,218 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 45,019 | ||||
Total Equity Contracts | 45,019 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | (142,049 | ) | |||
Total Foreign Exchange Contracts | (142,049 | ) | ||||
Total | ($265,248 | ) | ||||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 3,220,114 | 0.9 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 2,088,434 | 0.6 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 15,353,421 | 4.1 | % | ||||||||||
| * | 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.
191
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (98.0%) | Value | ||||||
| Australia (4.9%) | ||||||||
| 126,667 | Australia & New Zealand Banking Group, Ltd. | $ | 3,025,472 | |||||
| 403,555 | BHP Billiton, Ltd. | 18,765,907 | ||||||
| 186,695 | Challenger, Ltd. | 898,798 | ||||||
| 267,005 | Fortescue Metals Group, Ltd.a | 1,789,837 | ||||||
| 210,417 | Iluka Resources, Ltd.a | 1,965,764 | ||||||
| 470,779 | Mount Gibson Iron, Ltd.a | 1,023,849 | ||||||
| 127,780 | Newcrest Mining, Ltd. | 5,300,171 | ||||||
| 161,428 | Ramsay Health Care, Ltd. | 2,940,344 | ||||||
| 58,792 | Rio Tinto, Ltd. | 5,148,284 | ||||||
| 108,707 | Woolworths, Ltd. | 3,001,945 | ||||||
Total Australia | 43,860,371 | |||||||
| Belgium (0.6%) | ||||||||
| 71,490 | Anheuser-Busch InBev NV | 4,085,038 | ||||||
| 11,577 | Bekaert SA | 1,328,555 | ||||||
Total Belgium | 5,413,593 | |||||||
| Bermuda (0.1%) | ||||||||
| 78,000 | Orient Overseas International, Ltd. | 756,097 | ||||||
Total Bermuda | 756,097 | |||||||
| Brazil (0.4%) | ||||||||
| 100,300 | Petroleo Brasileiro SA ADR | 3,795,352 | ||||||
Total Brazil | 3,795,352 | |||||||
| Canada (4.9%) | ||||||||
| 38,201 | Agrium, Inc. | 3,515,429 | ||||||
| 132,443 | Brookfield Asset Management, Inc. | 4,422,314 | ||||||
| 44,798 | Calfrac Well Services, Ltd. | 1,542,677 | ||||||
| 23,194 | Canadian Imperial Bank of Commerceb | 1,827,201 | ||||||
| 78,488 | Canadian National Railway Company | 5,237,533 | ||||||
| 110,392 | CGI Group, Inc.a | 1,909,627 | ||||||
| 78,910 | Eldorado Gold Corporation | 1,468,204 | ||||||
| 62,271 | Enbridge, Inc. | 3,524,076 | ||||||
| 61,967 | Finning International, Inc. | 1,688,309 | ||||||
| 13,000 | George Weston, Ltd. | 1,100,875 | ||||||
| 17,082 | Inmet Mining Corporation | 1,327,321 | ||||||
| 218,359 | Kinross Gold Corporation | 4,152,840 | ||||||
| 40,367 | Potash Corporation of Saskatchewan, Inc. | 6,270,426 | ||||||
| 45,700 | Riocan Real Estate Investment Trust | 1,011,164 | ||||||
| 36,279 | Saputo, Inc. | 1,444,154 | ||||||
| 31,370 | Suncor Energy, Inc. | 1,207,728 | ||||||
| 82,993 | Trican Well Service, Ltd. | 1,681,061 | ||||||
Total Canada | 43,330,939 | |||||||
| Cayman Islands (0.3%) | ||||||||
| 105,805 | Subsea 7, Inc.a | 2,775,563 | ||||||
Total Cayman Islands | 2,775,563 | |||||||
| China (1.3%) | ||||||||
| 13,137,800 | Bank of China, Ltd. | 6,925,876 | ||||||
| 8,236,100 | Huaneng Power International, Inc. | 4,358,474 | ||||||
Total China | 11,284,350 | |||||||
| Cyprus (0.1%) | ||||||||
| 180,214 | Songa Offshore SEa | 972,892 | ||||||
Total Cyprus | 972,892 | |||||||
| Denmark (1.2%) | ||||||||
| 13,880 | Carlsberg AS | 1,393,199 | ||||||
| 12,458 | Coloplast AS | 1,692,939 | ||||||
| 19,679 | Danisco AS | 1,804,755 | ||||||
| 50,418 | Novo Nordisk AS | 5,680,269 | ||||||
Total Denmark | 10,571,162 | |||||||
| Finland (1.3%) | ||||||||
| 18,458 | Kesko Oyj | 862,583 | ||||||
| 42,626 | Kone Oyj | 2,367,642 | ||||||
| 90,115 | Sampo Oyj | 2,409,730 | ||||||
| 251,225 | Stora Enso Oyj | 2,585,472 | ||||||
| 81,691 | UPM-Kymmene Oyj | 1,448,266 | ||||||
| 19,299 | Wartsila Corporation | 1,470,722 | ||||||
Total Finland | 11,144,415 | |||||||
| France (7.4%) | ||||||||
| 430,675 | AXA SA | 7,169,015 | ||||||
| 13,539 | BNP Paribas SA | 862,288 | ||||||
| 198,400 | Cap Gemini SA | 9,275,485 | ||||||
| 20,556 | Christian Dior SA | 2,940,324 | ||||||
| 106,650 | Compagnie de Saint-Gobain | 5,493,280 | ||||||
| 25,914 | Faureciaa | 749,632 | ||||||
| 39,157 | L’Oreal SA | 4,354,109 | ||||||
| 65,050 | Renault SAa | 3,786,861 | ||||||
| 59,484 | Rhodia SA | 1,969,641 | ||||||
| 63,705 | Safran SA | 2,258,331 | ||||||
| 18,086 | Societe Generale | 973,188 | ||||||
| 207,794 | Total SA | 11,068,064 | ||||||
| 21,000 | Unibail-Rodamcoa | 4,158,126 | ||||||
| 38,038 | Valeo SAa | 2,158,975 | ||||||
| 313,400 | Vivendi SA | 8,468,921 | ||||||
Total France | 65,686,240 | |||||||
| Germany (3.9%) | ||||||||
| 30,996 | BASF SE | 2,473,670 | ||||||
| 28,926 | Continental AGa | 2,297,833 | ||||||
| 208,776 | Daimler AGa | 14,127,352 | ||||||
| 49,730 | Henkel AG & Company KGaA | 3,083,466 | ||||||
| 68,586 | ProSiebenSat.1 Media AG | 2,058,717 | ||||||
| 62,279 | SAP AG ADR | 3,176,520 | ||||||
| 57,475 | Siemens AG | 7,119,980 | ||||||
Total Germany | 34,337,538 | |||||||
| Hong Kong (3.3%) | ||||||||
| 458,000 | Cathay Pacific Airways, Ltd. | 1,263,395 | ||||||
| 235,000 | CLP Holdings, Ltd. | 1,908,135 | ||||||
| 38,400 | Henderson Land Development Company, Ltd. Warrants, 58.00 HKD, expires 6/1/2011a | 8,893 | ||||||
| 1,190,700 | Hutchison Whampoa, Ltd. | 12,249,084 | ||||||
| 409,500 | Link REIT | 1,271,474 | ||||||
| 3,624,500 | New World Development Company, Ltd. | 6,800,274 | ||||||
| 715,000 | SJM Holdings, Ltd. | 1,134,233 | ||||||
| 112,432 | Swire Pacific, Ltd. | 1,847,261 | ||||||
| 345,000 | Wharf Holdings, Ltd. | 2,652,511 | ||||||
Total Hong Kong | 29,135,260 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
192
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (98.0%) | Value | ||||||
| Indonesia (0.5%) | ||||||||
| 4,371,800 | Telekomunikasi Indonesia Tbk PT | $ | 3,857,471 | |||||
| 27,800 | Telekomunikasi Indonesia Tbk PT ADR | 991,070 | ||||||
Total Indonesia | 4,848,541 | |||||||
| Israel (0.2%) | ||||||||
| 6,147 | Delek Group, Ltd. | 1,584,921 | ||||||
Total Israel | 1,584,921 | |||||||
| Italy (2.9%) | ||||||||
| 1,422,600 | Enel SPA | 7,128,969 | ||||||
| 249,200 | Eni SPA | 5,462,019 | ||||||
| 129,606 | Indesit Company SPA | 1,391,043 | ||||||
| 78,500 | Saipem SPA | 3,875,947 | ||||||
| 7,170,250 | Telecom Italia SPA | 7,803,624 | ||||||
Total Italy | 25,661,602 | |||||||
| Japan (22.1%) | ||||||||
| 190,300 | Aeon Company, Ltd. | 2,374,620 | ||||||
| 240,000 | All Nippon Airways Co., Ltd.a | 893,152 | ||||||
| 116,200 | Alps Electric Company, Ltd. | 1,341,046 | ||||||
| 155,000 | Anritsu Corporationb | 1,273,813 | ||||||
| 570,700 | Bridgestone Corporation | 10,985,393 | ||||||
| 25,400 | Canon, Inc. | 1,304,678 | ||||||
| 390 | Central Japan Railway Company | 3,260,177 | ||||||
| 222,000 | Chuo Mitsui Trust Holdings, Inc. | 917,067 | ||||||
| 92,100 | Credit Saison Company, Ltd. | 1,503,043 | ||||||
| 279,000 | Daicel Chemical Industries, Ltd. | 2,030,264 | ||||||
| 94,000 | Daihatsu Motor Company, Ltd. | 1,438,081 | ||||||
| 477,700 | Daiichi Sankyo Company, Ltd. | 10,433,439 | ||||||
| 167,400 | Daito Trust Construction Company, Ltd. | 11,440,532 | ||||||
| 1,792,000 | Daiwa Securities Group, Inc. | 9,192,260 | ||||||
| 66,100 | Denso Corporation | 2,272,443 | ||||||
| 119,400 | East Japan Railway Company | 7,747,771 | ||||||
| 30,900 | FamilyMart Company, Ltd. | 1,162,537 | ||||||
| 289,000 | Fujitsu, Ltd. | 2,002,293 | ||||||
| 65,400 | Hamamatsu Photonics KK | 2,384,052 | ||||||
| 636,000 | Hitachi, Ltd. | 3,376,632 | ||||||
| 36,400 | Honda Motor Company, Ltd. | 1,436,664 | ||||||
| 9,900 | Idemitsu Kosan Company, Ltd. | 1,049,065 | ||||||
| 616,000 | IHI Corporation | 1,367,623 | ||||||
| 269,600 | ITOCHU Corporation | 2,716,420 | ||||||
| 77,500 | JTEKT Corporation | 909,351 | ||||||
| 232 | Kakaku.com, Inc. | 1,376,916 | ||||||
| 408,600 | Kao Corporation | 10,981,159 | ||||||
| 14,700 | Keyence Corporation | 4,241,465 | ||||||
| 476,000 | Kobe Steel, Ltd. | 1,202,725 | ||||||
| 33,000 | K’s Holdings Corporation | 895,796 | ||||||
| 40,000 | Kyocera Corporation | 4,063,899 | ||||||
| 324,000 | Marubeni Corporation | 2,268,255 | ||||||
| 381,000 | Mitsubishi Electric Corporation | 3,981,172 | ||||||
| 531,000 | Mitsubishi Materials Corporationa | 1,687,405 | ||||||
| 26,070 | Mitsubishi UFJ Lease & Finance Company, Ltd. | 1,029,000 | ||||||
| 81,700 | Mitsui & Company, Ltd. | 1,344,285 | ||||||
| 223,045 | MS and AD Insurance Group Holdings, Inc. | 5,567,802 | ||||||
| 358,000 | Nippon Yusen KK | 1,576,118 | ||||||
| 1,264,100 | Nissan Motor Company, Ltd. | 11,958,202 | ||||||
| 94,300 | Omron Corporation | 2,485,149 | ||||||
| 27,970 | ORIX Corporation | 2,740,365 | ||||||
| 162,200 | Secom Company, Ltd. | 7,664,084 | ||||||
| 141,700 | Sega Sammy Holdings, Inc. | 2,687,434 | ||||||
| 101,300 | Shin-Etsu Chemical Company, Ltd. | 5,459,723 | ||||||
| 104,100 | Softbank Corporation | 3,589,415 | ||||||
| 38,200 | Sony Corporation | 1,366,210 | ||||||
| 779,000 | Sumitomo Corporation | 10,966,193 | ||||||
| 273,700 | Sumitomo Electric Industries, Ltd. | 3,782,310 | ||||||
| 1,709,800 | Sumitomo Trust and Banking Company, Ltd. | 10,711,296 | ||||||
| 158,600 | Suzuki Motor Corporation | 3,893,442 | ||||||
| 60,700 | Takeda Pharmaceutical Company, Ltd. | 2,981,938 | ||||||
| 548 | West Japan Railway Company | 2,045,410 | ||||||
Total Japan | 197,359,584 | |||||||
| Luxembourg (0.2%) | ||||||||
| 69,486 | Acergy SA | 1,708,880 | ||||||
Total Luxembourg | 1,708,880 | |||||||
| Netherlands (2.4%) | ||||||||
| 20,363 | Heineken NV | 998,778 | ||||||
| 229,380 | Koninklijke (Royal) KPN NV | 3,350,425 | ||||||
| 101,027 | Koninklijke (Royal) Philips Electronics NV | 3,097,342 | ||||||
| 190,554 | Koninklijke DSM NV | 10,862,572 | ||||||
| 16,175 | Nutreco NV | 1,228,552 | ||||||
| 57,790 | Unilever NV | 1,802,973 | ||||||
Total Netherlands | 21,340,642 | |||||||
| Norway (1.7%) | ||||||||
| 73,868 | Seadrill, Ltd.b | 2,519,852 | ||||||
| 377,875 | Statoil ASA | 9,000,167 | ||||||
| 57,533 | Yara International ASA | 3,348,899 | ||||||
Total Norway | 14,868,918 | |||||||
| Singapore (2.0%) | ||||||||
| 179,000 | Fraser and Neave, Ltd. | 893,536 | ||||||
| 290,800 | Golden Agri-Resources, Ltd. Warrants, 0.54 SGD, expires 7/23/2012a | 54,381 | ||||||
| 530,450 | Keppel Corporation, Ltd. | 4,680,268 | ||||||
| 452,000 | Keppel Land, Ltd. | 1,692,340 | ||||||
| 633,000 | Neptune Orient Lines, Ltd.a | 1,075,913 | ||||||
| 345,000 | SembCorp Industries, Ltd. | 1,380,968 | ||||||
| 518,600 | Singapore Airlines, Ltd. | 6,187,923 | ||||||
| 980,000 | Yangzijiang Shipbuilding Holdings, Ltd. | 1,459,310 | ||||||
Total Singapore | 17,424,639 | |||||||
| South Korea (1.8%) | ||||||||
| 16,350 | POSCO | 6,984,567 | ||||||
| 25,110 | SK Telecom Company, Ltd. | 3,830,581 | ||||||
| 287,040 | SK Telecom Company, Ltd. ADR | 5,347,555 | ||||||
Total South Korea | 16,162,703 | |||||||
| Spain (1.9%) | ||||||||
| 316,600 | Indra Sistemas SA | 5,426,836 | ||||||
| 41,517 | Industria de Diseno Textil SA (Inditex) | 3,107,816 | ||||||
| 347,900 | Telefonica SA | 7,942,888 | ||||||
Total Spain | 16,477,540 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
193
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (98.0%) | Value | ||||||
| Sweden (1.9%) | ||||||||
| 150,112 | Atlas Copco AB | $ | 3,789,319 | |||||
| 35,486 | Elekta AB | 1,363,964 | ||||||
| 94,202 | Investor AB | 2,015,741 | ||||||
| 248,502 | Nordea Bank AB | 2,701,902 | ||||||
| 82,908 | Scania AB | 1,908,451 | ||||||
| 294,867 | Volvo ABa | 5,194,274 | ||||||
Total Sweden | 16,973,651 | |||||||
| Switzerland (11.8%) | ||||||||
| 118,116 | ABB, Ltd.a | 2,637,271 | ||||||
| 134,900 | Adecco SA | 8,846,655 | ||||||
| 40,299 | Aryzta AGa | 1,861,512 | ||||||
| 72,507 | Compagnie Financiere Richemont SA | 4,263,683 | ||||||
| 176,400 | Credit Suisse Group | 7,104,486 | ||||||
| 8,127 | Givaudan SA | 8,773,132 | ||||||
| 78,936 | Holcim, Ltd. | 5,973,277 | ||||||
| 86,734 | Logitech International SAa,b | 1,649,235 | ||||||
| 391,863 | Nestle SA | 22,956,760 | ||||||
| 160,500 | Novartis AG | 9,447,923 | ||||||
| 93,786 | Roche Holding AG | 13,748,355 | ||||||
| 12,793 | Schindler Holding AG | 1,513,353 | ||||||
| 7,677 | Swatch Group AG | 3,422,948 | ||||||
| 135,711 | UBS AGa | 2,228,186 | ||||||
| 44,539 | Zurich Financial Services AG | 11,534,115 | ||||||
Total Switzerland | 105,960,891 | |||||||
| Thailand (1.1%) | ||||||||
| 446,725 | Bangkok Bank pcl | 2,259,748 | ||||||
| 751,200 | PTT pcl | 7,962,005 | ||||||
Total Thailand | 10,221,753 | |||||||
| United Kingdom (17.8%) | ||||||||
| 82,042 | AMEC plc | 1,475,426 | ||||||
| 30,310 | Anglo American plc | 1,585,590 | ||||||
| 587,070 | ARM Holdings plc | 4,006,794 | ||||||
| 26,134 | AstraZeneca plc | 1,191,036 | ||||||
| 2,220,112 | BAE Systems plc | 11,435,273 | ||||||
| 290,340 | Barclays plc | 1,199,927 | ||||||
| 255,535 | BG Group plc | 5,183,567 | ||||||
| 156,968 | BHP Billiton plc | 6,315,062 | ||||||
| 370,610 | British Airways plca | 1,579,686 | ||||||
| 182,014 | British American Tobacco plc | 7,001,324 | ||||||
| 144,797 | Burberry Group plc | 2,544,784 | ||||||
| 915,958 | Centrica plc | 4,745,731 | ||||||
| 259,573 | Compass Group plc | 2,355,825 | ||||||
| 87,309 | Croda International plc | 2,210,113 | ||||||
| 60,009 | Diageo plc | 1,111,841 | ||||||
| 509,680 | GKN plc | 1,769,100 | ||||||
| 214,000 | GlaxoSmithKline plc | 4,150,046 | ||||||
| 930,481 | HSBC Holdings plc | 9,509,505 | ||||||
| 154,100 | HSBC Holdings plc ADR | 7,865,264 | ||||||
| 101,823 | IMI plc | 1,503,008 | ||||||
| 36,622 | Imperial Tobacco Group plc | 1,125,741 | ||||||
| 532,652 | J Sainsbury plc | 3,129,227 | ||||||
| 400,000 | Pearson plc | 6,303,586 | ||||||
| 267,050 | Pennon Group plc | 2,670,333 | ||||||
| 58,748 | Petrofac, Ltd. | 1,459,706 | ||||||
| 98,172 | Reckitt Benckiser Group plc | 5,400,899 | ||||||
| 111,913 | Rio Tinto plc | 7,977,300 | ||||||
| 41,165 | Schroders plc | 1,193,714 | ||||||
| 139,866 | Shire plc | 3,372,441 | ||||||
| 107,001 | Standard Chartered plc | 2,888,543 | ||||||
| 1,611,849 | Tesco plc | 10,688,112 | ||||||
| 94,241 | Unilever plc | 2,894,715 | ||||||
| 3,993,087 | Vodafone Group plc | 10,482,009 | ||||||
| 55,551 | Whitbread plc | 1,554,423 | ||||||
| 1,010,400 | WPP plc | 12,491,058 | ||||||
| 89,281 | WS Atkins plc | 976,189 | ||||||
| 244,394 | Xstrata plc | 5,791,193 | ||||||
Total United Kingdom | 159,138,091 | |||||||
Total Common Stock (cost $782,502,876) | 872,796,128 | |||||||
Collateral Held for Securities Loaned (0.9%) | ||||||||
| 7,579,024 | Thrivent Financial Securities Lending Trust | 7,579,024 | ||||||
Total Collateral Held for Securities Loaned (cost $7,579,024) | 7,579,024 | |||||||
| Principal Amount | Short-Term Investments (1.8%)c | |||||||
Charta, LLC | ||||||||
| 9,455,000 | 0.150%, 1/3/2011 | 9,454,921 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.050%, 1/5/2011d | 4,999,972 | ||||||
Old Line Funding, LLC | ||||||||
| 1,005,000 | 0.170%, 1/3/2011d | 1,004,991 | ||||||
Total Short-Term Investments (at amortized cost) | 15,459,884 | |||||||
Total Investments (cost $805,541,784) 100.7% | $ | 895,835,036 | ||||||
Other Assets and Liabilities, Net (0.7%) | (6,495,604 | ) | ||||||
Total Net Assets 100.0% | $ | 889,339,432 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
194
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2010
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 115,433,612 | ||
Gross unrealized depreciation | (29,371,504 | ) | ||
Net unrealized appreciation (depreciation) | $ | 86,062,108 | ||
Cost for federal income tax purposes | $ | 809,772,928 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 131,321,370 | — | 131,321,370 | — | ||||||||||||
Consumer Staples | 98,435,589 | — | 98,435,589 | — | ||||||||||||
Energy | 48,164,052 | 3,795,352 | 44,368,700 | — | ||||||||||||
Financials | 130,325,208 | 7,865,264 | 122,459,944 | — | ||||||||||||
Health Care | 58,807,449 | — | 58,807,449 | — | ||||||||||||
Industrials | 147,552,351 | — | 147,552,351 | — | ||||||||||||
Information Technology | 55,878,205 | — | 55,878,205 | — | ||||||||||||
Materials | 134,344,062 | — | 134,344,062 | — | ||||||||||||
Telecommunications Services | 44,879,436 | 6,338,625 | 38,540,811 | — | ||||||||||||
Utilities | 23,088,406 | — | 23,088,406 | — | ||||||||||||
Collateral Held for Securities Loaned | 7,579,024 | 7,579,024 | — | — | ||||||||||||
Short-Term Investments | 15,459,884 | — | 15,459,884 | — | ||||||||||||
Total | $ | 895,835,036 | $ | 25,578,265 | $ | 870,256,771 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 3,388 | — | 3,388 | — | ||||||||||||
Total Liability Derivatives | $ | 3,388 | $ | — | $ | 3,388 | $ | — | ||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales | ||||||||||||||||||||||||
Euro | SSB | 214,979 | 1/3/2011 - 1/5/2011 | $283,902 | $287,290 | ($3,388 | ) | |||||||||||||||||
Total Sales | $283,902 | $287,290 | ($3,388 | ) | ||||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts |
| ($3,388 | ) | |||||||||||||||||||||
Counterparty | ||||
| SSB | - | State Street Bank |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | ||||
Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 3,388 | ||||
Total Foreign Exchange Contracts | 3,388 | |||||
Total Liability Derivatives | $ | 3,388 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
195
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | (513,861 | ) | |||
Total Foreign Exchange Contracts | (513,861 | ) | ||||
Total | ($513,861 | ) | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (3,942 | ) | |||
Total Foreign Exchange Contracts | (3,942 | ) | ||||
Total | ($3,942 | ) | ||||
The following table presents Partner International Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 12,154,135 | 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 Partner International Stock Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 13,880,242 | $ | 387,615,950 | $ | 393,917,168 | 7,579,024 | $ | 7,579,024 | $ | 623,757 | |||||||||||||
Total Value and Income Earned | 13,880,242 | 7,579,024 | 623,757 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
196
Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (99.6%) | Value | ||||||
| Consumer Discretionary (15.9%) | |||||||
| 650 | Amazon.com, Inc.a | $ | 117,000 | |||||
| 280 | Chipotle Mexican Grill, Inc.a | 59,545 | ||||||
| 1,200 | Kohl’s Corporationa | 65,208 | ||||||
| 1,000 | Netflix, Inc.a | 175,700 | ||||||
| 180 | Priceline.com, Inc.a | 71,919 | ||||||
| 2,800 | Starbucks Corporation | 89,964 | ||||||
| 2,050 | Target Corporation | 123,266 | ||||||
Total Consumer Discretionary | 702,602 | |||||||
| Consumer Staples (8.6%) | ||||||||
| 600 | Costco Wholesale Corporation | 43,326 | ||||||
| 4,500 | CVS Caremark Corporation | 156,465 | ||||||
| 1,300 | PepsiCo, Inc. | �� | 84,929 | |||||
| 1,500 | Procter & Gamble Company | 96,495 | ||||||
Total Consumer Staples | 381,215 | |||||||
| Energy (8.9%) | ||||||||
| 2,600 | Cameron International Corporationa | 131,898 | ||||||
| 1,900 | Noble Corporation | 67,963 | ||||||
| 2,100 | QEP Resources, Inc. | 76,251 | ||||||
| 3,100 | Suncor Energy, Inc. | 118,699 | ||||||
Total Energy | 394,811 | |||||||
| Financials (17.9%) | ||||||||
| 1,200 | AFLAC, Inc. | 67,716 | ||||||
| 2,700 | Charles Schwab Corporation | 46,197 | ||||||
| 600 | Franklin Resources, Inc. | 66,726 | ||||||
| 3,050 | J.P. Morgan Chase & Company | 129,381 | ||||||
| 2,000 | Lazard, Ltd. | 78,980 | ||||||
| 1,400 | Northern Trust Corporation | 77,574 | ||||||
| 3,000 | SunTrust Banks, Inc. | 88,530 | ||||||
| 1,120 | T. Rowe Price Group, Inc. | 72,285 | ||||||
| 3,100 | Wells Fargo & Company | 96,069 | ||||||
| 2,900 | Zions Bancorporation | 70,267 | ||||||
Total Financials | 793,725 | |||||||
| Health Care (9.7%) | ||||||||
| 1,300 | Allergan, Inc. | 89,271 | ||||||
| 3,300 | Gilead Sciences, Inc.a | 119,592 | ||||||
| 2,300 | Novartis AG ADR | 135,585 | ||||||
| 1,500 | St. Jude Medical, Inc.a | 64,125 | ||||||
| 400 | Stryker Corporation | 21,480 | ||||||
Total Health Care | 430,053 | |||||||
| Industrials (10.4%) | ||||||||
| 1,300 | 3M Company | 112,190 | ||||||
| 1,150 | C.H. Robinson Worldwide, Inc. | 92,218 | ||||||
| 1,820 | Cooper Industries plc | 106,088 | ||||||
| 2,000 | Danaher Corporation | 94,340 | ||||||
| 1,000 | Expeditors International of Washington, Inc. | 54,600 | ||||||
Total Industrials | 459,436 | |||||||
| Information Technology (26.0%) | ||||||||
| 410 | Acme Packet, Inc.a | 21,796 | ||||||
| 650 | Apple, Inc.a | 209,664 | ||||||
| 2,260 | Cisco Systems, Inc.a | 45,720 | ||||||
| 1,100 | Cognizant Technology Solutions Corporationa | 80,619 | ||||||
| 170 | Google, Inc.a | 100,975 | ||||||
| 3,650 | Hewlett-Packard Company | 153,665 | ||||||
| 200 | MasterCard, Inc. | 44,822 | ||||||
| 600 | Mercadolibre, Inc.a | 39,990 | ||||||
| 3,300 | Microsoft Corporation | 92,136 | ||||||
| 3,950 | QUALCOMM, Inc. | 195,485 | ||||||
| 800 | Salesforce.com, Inc.a | 105,600 | ||||||
| 700 | VMware, Inc.a | 62,237 | ||||||
Total Information Technology | 1,152,709 | |||||||
| Materials (2.2%) | ||||||||
| 1,900 | Ecolab, Inc. | 95,798 | ||||||
Total Materials | 95,798 | |||||||
Total Common Stock (cost $3,771,999) | 4,410,349 | |||||||
Total Investments (cost $3,771,999) 99.6% | $ | 4,410,349 | ||||||
Other Assets and Liabilities, Net 0.4% | 16,938 | |||||||
Total Net Assets 100.0% | $ | 4,427,287 | ||||||
| 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 | $ | 754,780 | ||
Gross unrealized depreciation | (120,594 | ) | ||
Net unrealized appreciation (depreciation) | $ | 634,186 | ||
Cost for federal income tax purposes | $ | 3,776,163 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
197
Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 702,602 | 702,602 | — | — | ||||||||||||
Consumer Staples | 381,215 | 381,215 | — | — | ||||||||||||
Energy | 394,811 | 394,811 | — | — | ||||||||||||
Financials | 793,725 | 793,725 | — | — | ||||||||||||
Health Care | 430,053 | 430,053 | — | — | ||||||||||||
Industrials | 459,436 | 459,436 | — | — | ||||||||||||
Information Technology | 1,152,709 | 1,152,709 | — | — | ||||||||||||
Materials | 95,798 | 95,798 | — | — | ||||||||||||
Total | $ | 4,410,349 | $ | 4,410,349 | $ | — | $ | — | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
198
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (98.0%) | Value | ||||||
| Consumer Discretionary (18.9%) | ||||||||
| 1,825 | Abercrombie & Fitch Company | $ | 105,175 | |||||
| 2,655 | Amazon.com, Inc.a | 477,900 | ||||||
| 3,225 | CarMax, Inc.a | 102,813 | ||||||
| 4,125 | Coach, Inc. | 228,154 | ||||||
| 5,425 | Expedia, Inc. | 136,113 | ||||||
| 3,575 | IMAX Corporationa | 100,279 | ||||||
| 2,000 | Lululemon Athletica, Inc.a | 136,840 | ||||||
| 12,000 | Melco Crown Entertainment, Ltd. ADRa | 76,320 | ||||||
| 525 | Netflix, Inc.a | 92,242 | ||||||
| 1,200 | Priceline.com, Inc.a | 479,460 | ||||||
| 1,650 | Scripps Networks Interactive | 85,387 | ||||||
| 6,405 | Starbucks Corporation | 205,793 | ||||||
Total Consumer Discretionary | 2,226,476 | |||||||
| Consumer Staples (1.6%) | ||||||||
| 1,775 | Hansen Natural Corporationa | 92,797 | ||||||
| 1,400 | Herbalife, Ltd. | 95,718 | ||||||
Total Consumer Staples | 188,515 | |||||||
| Energy (7.9%) | ||||||||
| 1,875 | Apache Corporation | 223,556 | ||||||
| 1,100 | CNOOC, Ltd. ADR | 262,207 | ||||||
| 2,750 | Complete Production Services, Inc.a | 81,263 | ||||||
| 2,000 | Helmerich & Payne, Inc. | 96,960 | ||||||
| 2,450 | National Oilwell Varco, Inc. | 164,762 | ||||||
| 1,200 | Schlumberger, Ltd. | 100,200 | ||||||
Total Energy | 928,948 | |||||||
| Financials (4.4%) | ||||||||
| 405 | CME Group, Inc. | 130,309 | ||||||
| 750 | Franklin Resources, Inc. | 83,408 | ||||||
| 720 | IntercontinentalExchange, Inc.a | 85,788 | ||||||
| 1,850 | Legg Mason, Inc. | 67,099 | ||||||
| 2,400 | T. Rowe Price Group, Inc. | 154,896 | ||||||
Total Financials | 521,500 | |||||||
| Health Care (7.0%) | ||||||||
| 7,425 | Bruker Corporationa | 123,255 | ||||||
| 1,575 | Gen-Probe, Inc.a | 91,901 | ||||||
| 1,650 | Illumina, Inc.a | 104,511 | ||||||
| 1,700 | Novo Nordisk AS ADR | 191,369 | ||||||
| 1,375 | United Therapeutics Corporationa | 86,928 | ||||||
| 1,300 | Varian Medical Systems, Inc.a | 90,064 | ||||||
| 1,750 | Waters Corporationa | 135,992 | ||||||
Total Health Care | 824,020 | |||||||
| Industrials (10.0%) | ||||||||
| 5,050 | ABB, Ltd. ADRa | 113,373 | ||||||
| 1,287 | Babcock & Wilcox Companya | 32,934 | ||||||
| 1,400 | Dover Corporation | 81,830 | ||||||
| 2,475 | Eaton Corporation | 251,237 | ||||||
| 455 | First Solar, Inc.a | 59,214 | ||||||
| 2,900 | Fluor Corporation | 192,154 | ||||||
| 4,675 | GrafTech International, Ltd.a | 92,752 | ||||||
| 2,975 | Komatsu, Ltd. ADR | 90,648 | ||||||
| 2,575 | McDermott International, Inc.a | 53,277 | ||||||
| 2,350 | Parker Hannifin Corporation | 202,805 | ||||||
Total Industrials | 1,170,224 | |||||||
| Information Technology (40.0%) | ||||||||
| 2,525 | Altera Corporation | 89,840 | ||||||
| 1,725 | Amphenol Corporation | 91,045 | ||||||
| 1,595 | Apple, Inc.a | 514,483 | ||||||
| 4,350 | ARM Holdings plc ADR | 90,262 | ||||||
| 4,700 | ASML Holding NV | 180,198 | ||||||
| 2,550 | Autodesk, Inc.a | 97,410 | ||||||
| 2,120 | Baidu.com, Inc. ADRa | 204,644 | ||||||
| 3,700 | Check Point Software Technologies, Ltd.a | 171,162 | ||||||
| 3,250 | Cirrus Logic, Inc.a | 51,935 | ||||||
| 4,650 | Cisco Systems, Inc.a | 94,069 | ||||||
| 2,425 | Cognizant Technology Solutions Corporationa | 177,728 | ||||||
| 4,700 | EMC Corporationa | 107,630 | ||||||
| 1,250 | F5 Networks, Inc.a | 162,700 | ||||||
| 847 | Google, Inc.a | 503,093 | ||||||
| 1,225 | Infosys Technologies, Ltd. ADR | 93,198 | ||||||
| 5,325 | Intel Corporation | 111,985 | ||||||
| 1,750 | Intuit, Inc.a | 86,275 | ||||||
| 4,100 | Jabil Circuit, Inc. | 82,369 | ||||||
| 2,350 | Longtop Financial Technologies, Ltd. ADRa | 85,023 | ||||||
| 5,925 | Marvell Technology Group, Ltd.a | 109,909 | ||||||
| 1,925 | Mercadolibre, Inc.a | 128,301 | ||||||
| 3,300 | NetApp, Inc.a | 181,368 | ||||||
| 3,600 | OmniVision Technologies, Inc.a | 106,596 | ||||||
| 7,950 | Oracle Corporation | 248,835 | ||||||
| 2,000 | Plantronics, Inc. | 74,440 | ||||||
| 2,500 | Polycom, Inc.a | 97,450 | ||||||
| 4,875 | QUALCOMM, Inc. | 241,264 | ||||||
| 5,325 | Riverbed Technology, Inc.a | 187,280 | ||||||
| 2,350 | Taleo Corporationa | 64,978 | ||||||
| 2,600 | Trimble Navigation, Ltd.a | 103,818 | ||||||
| 1,750 | Veeco Instruments, Inc.a | 75,180 | ||||||
| 2,400 | VeriFone Systems, Inc.a | 92,544 | ||||||
Total Information Technology | 4,707,012 | |||||||
| Materials (7.5%) | ||||||||
| 700 | Agrium, Inc. | 64,225 | ||||||
| 5,875 | Anglo American plc | 153,396 | ||||||
| 3,250 | Barrick Gold Corporation | 172,835 | ||||||
| 1,150 | Cliffs Natural Resources, Inc. | 89,711 | ||||||
| 975 | Freeport-McMoRan Copper & Gold, Inc. | 117,088 | ||||||
| 2,575 | Pan American Silver Corporation | 106,116 | ||||||
| 2,775 | Teck Resources, Ltd. | 171,578 | ||||||
Total Materials | 874,949 | |||||||
| Telecommunications Services (0.7%) | ||||||||
| 1,775 | NII Holdings, Inc.a | 79,272 | ||||||
Total Telecommunications Services | 79,272 | |||||||
Total Common Stock (cost $8,824,995) | 11,520,916 | |||||||
| Contracts | Options Purchased (<0.1%) | |||||||
| 215 | Put on PowerShares QQQ $44.00, expires 3/19/2011 | $ | 3,655 | |||||
| Put on S&P 500 Index | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
199
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
| Contracts | Options Purchased (<0.1%) | Value | ||||||
| 10 | $1,000.00, expires 3/19/2011 | $ | 3,000 | |||||
Total Options Purchased (cost $8,526) | 6,655 | |||||||
Total Investments (cost $8,833,521) 98.0% | $ | 11,527,571 | ||||||
Other Assets and Liabilities, Net 2.0% | 230,816 | |||||||
Total Net Assets 100.0% | $ | 11,758,387 | ||||||
| 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 | $ | 2,760,960 | ||
Gross unrealized depreciation | (73,173 | ) | ||
Net unrealized appreciation (depreciation) | $ | 2,687,787 | ||
Cost for federal income tax purposes | $ | 8,839,784 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 2,226,476 | 2,226,476 | — | — | ||||||||||||
Consumer Staples | 188,515 | 188,515 | — | — | ||||||||||||
Energy | 928,948 | 928,948 | — | — | ||||||||||||
Financials | 521,500 | 521,500 | — | — | ||||||||||||
Health Care | 824,020 | 824,020 | — | — | ||||||||||||
Industrials | 1,170,224 | 1,170,224 | — | — | ||||||||||||
Information Technology | 4,707,012 | 4,707,012 | — | — | ||||||||||||
Materials | 874,949 | 874,949 | — | — | ||||||||||||
Telecommunications Services | 79,272 | 79,272 | — | — | ||||||||||||
Options Purchased | 6,655 | 6,655 | — | — | ||||||||||||
Total | $ | 11,527,571 | $ | 11,527,571 | $ | — | $ | — | ||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, for Partner All 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 | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Options Purchased | Investments in securities at market value, Net Assets - Net unrealized appreciation/(depreciation) on Investments | 6,655 | ||||
Total Equity Contracts | 6,655 | |||||
Total Asset Derivatives | $ | 6,655 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
200
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, for Partner All 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 | ||||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | (1,871) | ||||
Total Equity Contracts | (1,871) | |||||
Total | ($1,871) | |||||
The following table presents Partner All Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 2 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
201
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.4%) | Value | ||||||
| Consumer Discretionary (12.5%) | ||||||||
| 6,733 | Comcast Corporation | $ | 147,924 | |||||
| 2,190 | Lear Corporationa | 216,175 | ||||||
| 1,794 | Mohawk Industries, Inc.a | 101,827 | ||||||
| 11,910 | Talbots, Inc.a | 101,473 | ||||||
| 1,230 | Target Corporation | 73,960 | ||||||
| 1,802 | Time Warner Cable, Inc. | 118,986 | ||||||
| 3,955 | Viacom, Inc. | 156,658 | ||||||
Total Consumer Discretionary | 917,003 | |||||||
| Consumer Staples (6.1%) | ||||||||
| 10,442 | �� | Chiquita Brands International, Inc.a | 146,397 | |||||
| 1,810 | Church & Dwight Company, Inc. | 124,926 | ||||||
| 2,710 | Coca-Cola Company | 178,237 | ||||||
Total Consumer Staples | 449,560 | |||||||
| Energy (12.1%) | ||||||||
| 4,590 | Bill Barrett Corporationa | 188,787 | ||||||
| 2,360 | Chevron Corporation | 215,350 | ||||||
| 6,240 | Halliburton Company | 254,779 | ||||||
| 988 | Noble Energy, Inc. | 85,047 | ||||||
| 2,170 | Royal Dutch Shell plc ADR | 144,913 | ||||||
Total Energy | 888,876 | |||||||
| Financials (23.2%) | ||||||||
| 1,340 | CIT Group, Inc.a | 63,114 | ||||||
| 17,060 | CNO Financial Group, Inc.a | 115,667 | ||||||
| 4,584 | Comerica, Inc. | 193,628 | ||||||
| 4,628 | E*TRADE Financial Corporationa | 74,048 | ||||||
| 920 | Goldman Sachs Group, Inc. | 154,707 | ||||||
| 4,818 | J.P. Morgan Chase & Company | 204,380 | ||||||
| 4,222 | MetLife, Inc. | 187,626 | ||||||
| 6,470 | PHH Corporationa | 149,780 | ||||||
| 1,960 | PNC Financial Services Group, Inc. | 119,011 | ||||||
| 1,230 | Prudential Financial, Inc. | 72,213 | ||||||
| 3,790 | State Street Corporation | 175,629 | ||||||
| 4,410 | U.S. Bancorp | 118,938 | ||||||
| 2,570 | Wells Fargo & Company | 79,644 | ||||||
Total Financials | 1,708,385 | |||||||
| Health Care (10.4%) | ||||||||
| 2,420 | Amgen, Inc.a | 132,858 | ||||||
| 3,410 | Gilead Sciences, Inc.a | 123,578 | ||||||
| 3,520 | Humana, Inc.a | 192,685 | ||||||
| 5,621 | Merck & Company, Inc. | 202,581 | ||||||
| 6,640 | Pfizer, Inc. | 116,266 | ||||||
Total Health Care | 767,968 | |||||||
| Industrials (13.1%) | ||||||||
| 13,091 | AerCap Holdings NVa | 184,845 | ||||||
| 5,890 | Babcock & Wilcox Companya | 150,725 | ||||||
| 2,010 | General Cable Corporationa | 70,531 | ||||||
| 3,950 | Ingersoll-Rand plc | 186,005 | ||||||
| 2,626 | Navistar International Corporationa | 152,072 | ||||||
| 3,090 | United Continental Holdings, Inc.a | 73,604 | ||||||
| 2,450 | WABCO Holdings, Inc.a | 149,278 | ||||||
Total Industrials | 967,060 | |||||||
| Information Technology (8.1%) | ||||||||
| 8,390 | CIENA Corporationa | 176,610 | ||||||
| 3,260 | Harris Corporation | 147,678 | ||||||
| 1,650 | QUALCOMM, Inc. | 81,658 | ||||||
| 5,190 | Teradyne, Inc.a | 72,868 | ||||||
| 9,830 | Xerox Corporation | 113,242 | ||||||
Total Information Technology | 592,056 | |||||||
| Materials (5.0%) | ||||||||
| 1,340 | Allegheny Technologies, Inc. | 73,941 | ||||||
| 4,451 | Celanese Corporation | 183,248 | ||||||
| 720 | Potash Corporation of Saskatchewan, Inc. | 111,477 | ||||||
Total Materials | 368,666 | |||||||
| Telecommunications Services (2.3%) | ||||||||
| 4,633 | AT&T, Inc. | 136,118 | ||||||
| 1,300 | Vodafone Group plc ADR | 34,359 | ||||||
Total Telecommunications Services | 170,477 | |||||||
| Utilities (4.6%) | ||||||||
| 3,572 | Edison International, Inc. | 137,879 | ||||||
| 2,400 | Entergy Corporation | 169,992 | ||||||
| 1,730 | NiSource, Inc. | 30,483 | ||||||
Total Utilities | 338,354 | |||||||
Total Common Stock (cost $6,229,834) | 7,168,405 | |||||||
Total Investments (cost $6,229,834) 97.4% | $ | 7,168,405 | ||||||
Other Assets and Liabilities, Net 2.6% | 189,279 | |||||||
Total Net Assets 100.0% | $ | 7,357,684 | ||||||
| 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 | $ | 1,003,933 | ||
Gross unrealized depreciation | (70,334 | ) | ||
Net unrealized appreciation (depreciation) | $ | 933,599 | ||
Cost for federal income tax purposes | $ | 6,234,806 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
202
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 917,003 | 917,003 | — | — | ||||||||||||
Consumer Staples | 449,560 | 449,560 | — | — | ||||||||||||
Energy | 888,876 | 888,876 | — | — | ||||||||||||
Financials | 1,708,385 | 1,708,385 | — | — | ||||||||||||
Health Care | 767,968 | 767,968 | — | — | ||||||||||||
Industrials | 967,060 | 967,060 | — | — | ||||||||||||
Information Technology | 592,056 | 592,056 | — | — | ||||||||||||
Materials | 368,666 | 368,666 | — | — | ||||||||||||
Telecommunications Services | 170,477 | 170,477 | — | — | ||||||||||||
Utilities | 338,354 | 338,354 | — | — | ||||||||||||
Total | $ | 7,168,405 | $ | 7,168,405 | $ | — | $ | — | ||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 Purchased | Net realized gains/(losses) on Investments | (1,025 | ) | |||
Total Equity Contracts | (1,025 | ) | ||||
Total | ($ | 1,025 | ) | |||
The following table presents Partner All Cap Value Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 1 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
203
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (99.7%) | Value | ||||||
| Consumer Discretionary (10.4%) | ||||||||
| 13,600 | Best Buy Company, Inc. | $ | 466,344 | |||||
| 8,300 | Coach, Inc. | 459,073 | ||||||
| 40,820 | Ford Motor Companya | 685,368 | ||||||
| 13,410 | General Motors Corporationa | 494,293 | ||||||
| 20,140 | International Game Technology | 356,276 | ||||||
| 34,680 | Interpublic Group of Companies, Inc.a | 368,302 | ||||||
| 26,040 | Lowe’s Companies, Inc. | 653,083 | ||||||
| 20,590 | Macy’s, Inc. | 520,927 | ||||||
| 12,760 | Marriott International, Inc. | 530,050 | ||||||
| 33,220 | MGM Resorts Internationala,b | 493,317 | ||||||
| 5,700 | NIKE, Inc. | 486,894 | ||||||
| 24,660 | Staples, Inc. | 561,508 | ||||||
| 11,060 | Viacom, Inc. | 438,087 | ||||||
Total Consumer Discretionary | 6,513,522 | |||||||
| Consumer Staples (10.6%) | ||||||||
| 18,450 | Avon Products, Inc. | 536,157 | ||||||
| 41,710 | ConAgra Foods, Inc. | 941,812 | ||||||
| 43,870 | CVS Caremark Corporation | 1,525,360 | ||||||
| 20,280 | Dr. Pepper Snapple Group, Inc. | 713,045 | ||||||
| 39,870 | Kroger Company | 891,493 | ||||||
| 31,600 | Procter & Gamble Company | 2,032,828 | ||||||
Total Consumer Staples | 6,640,695 | |||||||
| Energy (12.1%) | ||||||||
| 3,860 | Alpha Natural Resources, Inc.a | 231,716 | ||||||
| 9,000 | Chevron Corporation | 821,250 | ||||||
| 2,940 | Devon Energy Corporation | 230,819 | ||||||
| 6,600 | ENSCO International plc ADR | 352,308 | ||||||
| 8,720 | EXCO Resources, Inc. | 169,342 | ||||||
| 5,150 | Exxon Mobil Corporation | 376,568 | ||||||
| 20,030 | Forest Oil Corporationa | 760,539 | ||||||
| 14,060 | Halliburton Company | 574,070 | ||||||
| 4,850 | National Oilwell Varco, Inc. | 326,163 | ||||||
| 12,520 | Newfield Exploration Companya | 902,817 | ||||||
| 3,190 | Occidental Petroleum Corporation | 312,939 | ||||||
| 4,540 | Peabody Energy Corporation | 290,469 | ||||||
| 11,110 | Pride International, Inc.a | 366,630 | ||||||
| 11,700 | Schlumberger, Ltd. | 976,950 | ||||||
| 6,890 | Southwestern Energy Companya | 257,893 | ||||||
| 4,110 | Transocean, Ltd.a | 285,686 | ||||||
| 13,970 | Weatherford International, Ltd.a | 318,516 | ||||||
Total Energy | 7,554,675 | |||||||
| Financials (16.1%) | ||||||||
| 3,650 | ACE, Ltd. | 227,213 | ||||||
| 57,100 | Aegon NV ADRa | 350,023 | ||||||
| 20,696 | Bank of New York Mellon Corporation | 625,019 | ||||||
| 23,170 | CB Richard Ellis Group, Inc.a | 474,522 | ||||||
| 28,100 | Charles Schwab Corporation | 480,791 | ||||||
| 261,750 | Citigroup, Inc.a | 1,238,077 | ||||||
| 1,920 | CME Group, Inc. | 617,760 | ||||||
| 6,440 | Comerica, Inc. | 272,026 | ||||||
| 14,020 | Interactive Brokers Group, Inc. | 249,836 | ||||||
| 17,700 | Invesco, Ltd. | 425,862 | ||||||
| 46,100 | J.P. Morgan Chase & Company | 1,955,562 | ||||||
| 17,420 | Lincoln National Corporation | 484,450 | ||||||
| 34,550 | Morgan Stanley | 940,106 | ||||||
| 3,280 | Public Storage, Inc. | 332,658 | ||||||
| 54,390 | Regions Financial Corporation | 380,730 | ||||||
| 13,830 | SunTrust Banks, Inc. | 408,123 | ||||||
| 29,450 | TD Ameritrade Holding Corporation | 559,255 | ||||||
Total Financials | 10,022,013 | |||||||
| Health Care (10.9%) | ||||||||
| 5,240 | Allergan, Inc. | 359,831 | ||||||
| 42,000 | Amarin Corporation plc ADRa | 344,820 | ||||||
| 10,010 | Biogen Idec, Inc.a | 671,170 | ||||||
| 51,100 | Boston Scientific Corporationa | 386,827 | ||||||
| 2,350 | Cephalon, Inc.a | 145,042 | ||||||
| 8,050 | Chelsea Therapeutics International, Ltd.a | 60,375 | ||||||
| 3,300 | Covidien, Ltd. | 150,678 | ||||||
| 5,010 | Genzyme Corporationa | 356,712 | ||||||
| 6,180 | Gilead Sciences, Inc.a | 223,963 | ||||||
| 2,790 | Johnson & Johnson | 172,562 | ||||||
| 3,360 | Medco Health Solutions, Inc.a | 205,867 | ||||||
| 22,944 | Merck & Company, Inc. | 826,902 | ||||||
| 5,890 | Onyx Pharmaceuticals, Inc.a | 217,164 | ||||||
| 76,875 | Pfizer, Inc. | 1,346,081 | ||||||
| 5,130 | Thermo Fisher Scientific, Inc.a | 283,997 | ||||||
| 17,070 | UnitedHealth Group, Inc. | 616,398 | ||||||
| 8,463 | Valeant Pharmaceuticals International, Inc. | 239,418 | ||||||
| 3,610 | Watson Pharmaceuticals, Inc.a | 186,457 | ||||||
Total Health Care | 6,794,264 | |||||||
| Industrials (10.9%) | ||||||||
| 8,600 | Caterpillar, Inc. | 805,476 | ||||||
| 7,100 | CNH Global NVa | 338,954 | ||||||
| 7,130 | CSX Corporation | 460,669 | ||||||
| 9,710 | Cummins, Inc. | 1,068,197 | ||||||
| 6,780 | Deere & Company | 563,079 | ||||||
| 26,870 | Delta Air Lines, Inc.a | 338,562 | ||||||
| 3,880 | Fluor Corporation | 257,089 | ||||||
| 11,320 | General Electric Company | 207,043 | ||||||
| 5,600 | Joy Global, Inc. | 485,800 | ||||||
| 4,590 | Rockwell Automation, Inc. | 329,149 | ||||||
| 26,000 | Swift Transportation Companya | 325,260 | ||||||
| 20,270 | Terex Corporationa | 629,181 | ||||||
| 4,070 | Union Pacific Corporation | 377,126 | ||||||
| 7,860 | United Technologies Corporation | 618,739 | ||||||
Total Industrials | 6,804,324 | |||||||
| Information Technology (18.7%) | ||||||||
| 7,640 | Apple, Inc.a | 2,464,358 | ||||||
| 5,570 | Blue Coat Systems, Inc.a | 166,376 | ||||||
| 3,410 | BMC Software, Inc.a | 160,747 | ||||||
| 7,160 | Broadcom Corporation | 311,818 | ||||||
| 23,700 | Cisco Systems, Inc.a | 479,451 | ||||||
| 34,620 | Dell, Inc.a | 469,101 | ||||||
| 27,450 | EMC Corporationa | 628,605 | ||||||
| 31,030 | Emulex Corporationa | 361,810 | ||||||
| 3,300 | Google, Inc.a | 1,960,101 | ||||||
| 14,190 | Intel Corporation | 298,416 | ||||||
| 27,100 | Marvell Technology Group, Ltd.a | 502,705 | ||||||
| 21,530 | Microsoft Corporation | 601,117 | ||||||
| 20,520 | Oracle Corporation | 642,276 | ||||||
| 22,120 | QUALCOMM, Inc. | 1,094,719 | ||||||
| 24,230 | Solarwinds, Inc.a | 466,427 | ||||||
| 9,170 | Visa, Inc. | 645,385 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
204
Table of Contents
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (99.7%) | Value | ||||||
| Information Technology (18.7%) - continued | ||||||||
| 12,450 | Western Digital Corporationa | $ | 422,055 | |||||
Total Information Technology | 11,675,467 | |||||||
| Materials (3.7%) | ||||||||
| 5,660 | Celanese Corporation | 233,022 | ||||||
| 3,570 | CF Industries Holdings, Inc. | 482,486 | ||||||
| 10,530 | Dow Chemical Company | 359,494 | ||||||
| 3,900 | Freeport-McMoRan Copper & Gold, Inc. | 468,351 | ||||||
| 5,200 | Goldcorp, Inc. | 239,096 | ||||||
| 3,940 | Praxair, Inc. | 376,152 | ||||||
| 1,050 | Walter Energy, Inc. | 134,232 | ||||||
Total Materials | 2,292,833 | |||||||
| Telecommunications Services (3.1%) | ||||||||
| 4,580 | American Tower Corporationa | 236,511 | ||||||
| 14,122 | AT&T, Inc. | 414,904 | ||||||
| 15,880 | NII Holdings, Inc.a | 709,201 | ||||||
| 71,070 | Qwest Communications International, Inc. | 540,843 | ||||||
Total Telecommunications Services | 1,901,459 | |||||||
| Utilities (3.2%) | ||||||||
| 12,030 | AES Corporationa | 146,525 | ||||||
| 27,150 | American Electric Power Company, Inc. | 976,857 | ||||||
| 9,740 | American Water Works Company, Inc. | 246,325 | ||||||
| 13,120 | CMS Energy Corporation | 244,032 | ||||||
| 8,540 | PG&E Corporation | 408,553 | ||||||
Total Utilities | 2,022,292 | |||||||
Total Common Stock (cost $52,623,508) | 62,221,544 | |||||||
Collateral Held for Securities Loaned (0.8%) | ||||||||
| 488,000 | Thrivent Financial Securities Lending Trust | 488,000 | ||||||
Total Collateral Held for Securities Loaned (cost $488,000) | 488,000 | |||||||
Total Investments (cost $53,111,508) 100.5% | $ | 62,709,544 | ||||||
Other Assets and Liabilities, Net (0.5%) | (285,905 | ) | ||||||
Total Net Assets 100.0% | $ | 62,423,639 | ||||||
| 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 | $ | 10,211,308 | ||
Gross unrealized depreciation | (1,065,770 | ) | ||
Net unrealized appreciation (depreciation) | $ | 9,145,538 | ||
Cost for federal income tax purposes | $ | 53,564,006 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
205
Table of Contents
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 6,513,522 | 6,513,522 | — | — | ||||||||||||
Consumer Staples | 6,640,695 | 6,640,695 | — | — | ||||||||||||
Energy | 7,554,675 | 7,554,675 | — | — | ||||||||||||
Financials | 10,022,013 | 10,022,013 | — | — | ||||||||||||
Health Care | 6,794,264 | 6,794,264 | — | — | ||||||||||||
Industrials | 6,804,324 | 6,804,324 | — | — | ||||||||||||
Information Technology | 11,675,467 | 11,675,467 | — | — | ||||||||||||
Materials | 2,292,833 | 2,292,833 | — | — | ||||||||||||
Telecommunications Services | 1,901,459 | 1,901,459 | — | — | ||||||||||||
Utilities | 2,022,292 | 2,022,292 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 488,000 | 488,000 | — | — | ||||||||||||
Total | $ | 62,709,544 | $ | 62,709,544 | $ | — | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 1,275,375 | $ | 24,160,762 | $ | 24,948,137 | 488,000 | $ | 488,000 | $ | 3,654 | |||||||||||||
Total Value and Income Earned | 1,275,375 | 488,000 | 3,654 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
206
Table of Contents
Schedule of Investments as of December 31, 2010
Shares | Common Stock (96.2%) | Value | ||||||
| Consumer Discretionary (12.8%) | ||||||||
| 38,800 | Amazon.com, Inc.a | $ | 6,984,000 | |||||
| 189,050 | Carnival Corporation | 8,717,096 | ||||||
| 191,600 | Expedia, Inc. | 4,807,244 | ||||||
| 122,545 | Kohl’s Corporationa | 6,659,095 | ||||||
| 501,600 | MGM Resorts Internationala,b | 7,448,760 | ||||||
| 163,300 | Starbucks Corporation | 5,246,829 | ||||||
| 212,700 | TJX Companies, Inc. | 9,441,753 | ||||||
Total Consumer Discretionary | 49,304,777 | |||||||
| Consumer Staples (5.2%) | ||||||||
| 177,900 | Avon Products, Inc. | 5,169,774 | ||||||
| 164,032 | PepsiCo, Inc. | 10,716,211 | ||||||
| 67,900 | Philip Morris International, Inc. | 3,974,187 | ||||||
Total Consumer Staples | 19,860,172 | |||||||
| Energy (8.3%) | ||||||||
| 140,400 | Baker Hughes, Inc. | 8,026,668 | ||||||
| 44,850 | Occidental Petroleum Corporation | 4,399,785 | ||||||
| 118,337 | Schlumberger, Ltd. | 9,881,139 | ||||||
| 203,700 | Ultra Petroleum Corporationa | 9,730,749 | ||||||
Total Energy | 32,038,341 | |||||||
| Financials (9.4%) | ||||||||
| 50,050 | BlackRock, Inc. | 9,538,529 | ||||||
| 44,800 | Goldman Sachs Group, Inc. | 7,533,568 | ||||||
| 434,100 | Itau Unibanco Holding SA ADR | 10,422,741 | ||||||
| 328,900 | U.S. Bancorp | 8,870,433 | ||||||
Total Financials | 36,365,271 | |||||||
| Health Care (13.7%) | ||||||||
| 207,500 | Aetna, Inc. | 6,330,825 | ||||||
| 143,900 | Allergan, Inc. | 9,881,613 | ||||||
| 109,315 | Celgene Corporationa | 6,464,889 | ||||||
| 130,500 | Hospira, Inc.a | 7,267,545 | ||||||
| 257,800 | Teva Pharmaceutical Industries, Ltd. ADR | 13,439,114 | ||||||
| 170,883 | Thermo Fisher Scientific, Inc.a | 9,460,083 | ||||||
Total Health Care | 52,844,069 | |||||||
| Industrials (5.9%) | ||||||||
| 74,800 | Caterpillar, Inc. | 7,005,768 | ||||||
| 389,900 | Delta Air Lines, Inc.a | 4,912,740 | ||||||
| 86,900 | Siemens AG ADRb | 10,797,325 | ||||||
Total Industrials | 22,715,833 | |||||||
| Information Technology (34.0%) | ||||||||
| 95,116 | Apple, Inc.a | 30,680,617 | ||||||
| 133,700 | ASML Holding NV | 5,126,058 | ||||||
| 39,521 | Broadcom Corporation | 1,721,140 | ||||||
| 103,800 | Cognizant Technology Solutions Corporationa | 7,607,502 | ||||||
| 519,000 | EMC Corporationa | 11,885,100 | ||||||
| 29,953 | Google, Inc.a | 17,791,183 | ||||||
| 101,400 | Hewlett-Packard Company | 4,268,940 | ||||||
| 351,900 | Marvell Technology Group, Ltd.a | 6,527,745 | ||||||
| 539,100 | Microsoft Corporation | 15,051,672 | ||||||
| 149,600 | Oracle Corporation | 4,682,480 | ||||||
| 259,000 | QUALCOMM, Inc. | 12,817,910 | ||||||
| 117,600 | Visa, Inc. | 8,276,688 | ||||||
| 51,200 | VMware, Inc.a | 4,552,192 | ||||||
Total Information Technology | 130,989,227 | |||||||
| Materials (3.7%) | ||||||||
| 258,500 | International Paper Company | 7,041,540 | ||||||
| 116,700 | Teck Resources, Ltd. | 7,215,561 | ||||||
Total Materials | 14,257,101 | |||||||
| Telecommunications Services (3.2%) | ||||||||
| 1,812,100 | Alcatel-Lucent ADRa,b | 5,363,816 | ||||||
| 151,200 | NII Holdings, Inc.a | 6,752,592 | ||||||
Total Telecommunications Services | 12,116,408 | |||||||
Total Common Stock (cost $323,853,792) | 370,491,199 | |||||||
Collateral Held for Securities Loaned (5.5%) | ||||||||
| 21,183,150 | Thrivent Financial Securities Lending Trust | 21,183,150 | ||||||
| Total Collateral Held for Securities Loaned (cost $21,183,150) | 21,183,150 | |||||||
Principal Amount | Short-Term Investments (4.4%)c | Value | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.090%, 1/10/2011d | 4,999,888 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.090%, 2/1/2011d | 4,999,612 | ||||||
Liberty Street Funding, LLC | ||||||||
| 7,065,000 | 0.130%, 1/3/2011d | 7,064,949 | ||||||
Total Short-Term Investments (at amortized cost) | 17,064,449 | |||||||
Total Investments (cost $362,101,391) 106.1% | $ | 408,738,798 | ||||||
Other Assets and Liabilities, Net (6.1%) | (23,626,601 | ) | ||||||
Total Net Assets 100.0% | $ | 385,112,197 | ||||||
| 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 | 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
207
Table of Contents
Large Cap Growth Portfolio II
Schedule of Investments as of December 31, 2010
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 48,657,936 | ||
Gross unrealized depreciation | (2,050,812 | ) | ||
Net unrealized appreciation (depreciation) | $ | 46,607,124 | ||
Cost for federal income tax purposes | $ | 362,131,674 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 49,304,777 | 49,304,777 | — | — | ||||||||||||
Consumer Staples | 19,860,172 | 19,860,172 | — | — | ||||||||||||
Energy | 32,038,341 | 32,038,341 | — | — | ||||||||||||
Financials | 36,365,271 | 36,365,271 | — | — | ||||||||||||
Health Care | 52,844,069 | 52,844,069 | — | — | ||||||||||||
Industrials | 22,715,833 | 22,715,833 | — | — | ||||||||||||
Information Technology | 130,989,227 | 130,989,227 | — | — | ||||||||||||
Materials | 14,257,101 | 14,257,101 | — | — | ||||||||||||
Telecommunications Services | 12,116,408 | 12,116,408 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 21,183,150 | 21,183,150 | — | — | ||||||||||||
Short-Term Investments | 17,064,449 | — | 17,064,449 | — | ||||||||||||
Total | $ | 408,738,798 | $ | 391,674,349 | $ | 17,064,449 | $ | — | ||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 53,646 | ||||
Options Purchased | Net realized gains/(losses) on Investments | 2,254 | ||||
Total Equity Contracts | 55,900 | |||||
Total | $ | 55,900 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 accompanying Notes to Financial Statements are an integral part of this schedule.
208
Table of Contents
Large Cap Growth Portfolio II
Schedule of Investments as of December 31, 2010
The following table presents Large Cap Growth Portfolio II’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 36 | |||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 6,796,273 | $ | 79,314,067 | $ | 64,927,190 | 21,183,150 | $ | 21,183,150 | $ | 18,656 | |||||||||||||
Total Value and Income Earned | 6,796,273 | 21,183,150 | 18,656 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
209
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (98.2%) | Value | ||||||
| Consumer Discretionary (16.9%) | ||||||||
| 108,200 | Amazon.com, Inc.a | $ | 19,476,000 | |||||
| 205,950 | Carnival Corporation | 9,496,355 | ||||||
| 134,600 | Comcast Corporation | 2,957,162 | ||||||
| 135,200 | DIRECTVa | 5,398,536 | ||||||
| 50,050 | Discovery Communications, Inc.a | 2,087,085 | ||||||
| 125,700 | Dollar General Corporationa,b | 3,855,219 | ||||||
| 259,950 | Expedia, Inc. | 6,522,145 | ||||||
| 539,000 | Ford Motor Companya | 9,049,810 | ||||||
| 144,700 | Gap, Inc. | 3,203,658 | ||||||
| 79,300 | Guess ?, Inc. | 3,752,476 | ||||||
| 72,000 | Home Depot, Inc. | 2,524,320 | ||||||
| 236,400 | Kohl’s Corporationa | 12,845,976 | ||||||
| 85,900 | Las Vegas Sands Corporationa | 3,947,105 | ||||||
| 191,650 | Marriott International, Inc. | 7,961,141 | ||||||
| 109,300 | McDonald’s Corporation | 8,389,868 | ||||||
| 700,100 | MGM Resorts Internationala,b | 10,396,485 | ||||||
| 103,600 | NIKE, Inc. | 8,849,512 | ||||||
| 178,050 | OfficeMax, Inc.a | 3,151,485 | ||||||
| 339,400 | Starbucks Corporation | 10,904,922 | ||||||
| 127,500 | Target Corporation | 7,666,575 | ||||||
| 209,150 | TJX Companies, Inc. | 9,284,169 | ||||||
| 305,800 | Walt Disney Company | 11,470,558 | ||||||
| 32,500 | Wynn Resorts, Ltd. | 3,374,800 | ||||||
Total Consumer Discretionary | 166,565,362 | |||||||
| Consumer Staples (3.5%) | |||||||
| 253,946 | Avon Products, Inc. | 7,379,671 | ||||||
| 270,400 | PepsiCo, Inc. | 17,665,232 | ||||||
| 163,400 | Philip Morris International, Inc. | 9,563,802 | ||||||
Total Consumer Staples | 34,608,705 | |||||||
| Energy (8.0%) | |||||||
| 206,550 | Baker Hughes, Inc. | 11,808,463 | ||||||
| 175,300 | Denbury Resources, Inc.a | 3,346,477 | ||||||
| 110,500 | Halliburton Company | 4,511,715 | ||||||
| 126,100 | Marathon Oil Corporation | 4,669,483 | ||||||
| 100,550 | Occidental Petroleum Corporation | 9,863,955 | ||||||
| 283,500 | Petrohawk Energy Corporationa | 5,173,875 | ||||||
| 58,000 | Pioneer Natural Resources Company | 5,035,560 | ||||||
| 252,400 | Schlumberger, Ltd. | 21,075,400 | ||||||
| 216,000 | Ultra Petroleum Corporationa | 10,318,320 | ||||||
| 21,400 | Whiting Petroleum Corporationa | 2,507,866 | ||||||
Total Energy | 78,311,114 | |||||||
| Financials (8.4%) | |||||||
| 145,450 | American Express Company | 6,242,714 | ||||||
| 84,400 | Bank of New York Mellon Corporation | 2,548,880 | ||||||
| 71,000 | BlackRock, Inc. | 13,531,180 | ||||||
| 382,600 | Charles Schwab Corporation | 6,546,286 | ||||||
| 422,650 | Citigroup, Inc.a | 1,999,134 | ||||||
| 9,300 | CME Group, Inc. | 2,992,275 | ||||||
| 77,349 | Goldman Sachs Group, Inc. | 13,007,008 | ||||||
| 702,000 | Itau Unibanco Holding SA ADR | 16,855,020 | ||||||
| 703,300 | U.S. Bancorp | 18,968,001 | ||||||
Total Financials | 82,690,498 | |||||||
| Health Care (11.9%) | |||||||
| 263,900 | Aetna, Inc. | 8,051,589 | ||||||
| 199,150 | Allergan, Inc. | 13,675,631 | ||||||
| 80,800 | Amgen, Inc.a | 4,435,920 | ||||||
| 226,900 | Celgene Corporationa | 13,418,866 | ||||||
| 128,450 | Express Scripts, Inc.a | 6,942,722 | ||||||
| 209,850 | Gilead Sciences, Inc.a | 7,604,964 | ||||||
| 163,200 | Hospira, Inc.a | 9,088,608 | ||||||
| 69,200 | McKesson Corporation | 4,870,296 | ||||||
| 80,200 | Medco Health Solutions, Inc.a | 4,913,854 | ||||||
| 160,700 | Medtronic, Inc. | 5,960,363 | ||||||
| 159,300 | Mylan, Inc.a | 3,366,009 | ||||||
| 351,950 | Teva Pharmaceutical Industries, Ltd. ADR | 18,347,153 | ||||||
| 293,258 | Thermo Fisher Scientific, Inc.a | 16,234,763 | ||||||
Total Health Care | 116,910,738 | |||||||
| Industrials (9.4%) | |||||||
| 137,200 | Caterpillar, Inc. | 12,850,152 | ||||||
| 43,800 | Cummins, Inc. | 4,818,438 | ||||||
| 182,800 | Danaher Corporation | 8,622,676 | ||||||
| 67,400 | Deere & Company | 5,597,570 | ||||||
| 744,050 | Delta Air Lines, Inc.a | 9,375,030 | ||||||
| 84,600 | Emerson Electric Company | 4,836,582 | ||||||
| 66,450 | FedEx Corporation | 6,180,515 | ||||||
| 54,450 | Goodrich Corporation | 4,795,411 | ||||||
| 49,600 | Navistar International Corporationa | 2,872,336 | ||||||
| 81,250 | Siemens AG ADRb | 10,095,313 | ||||||
| 114,450 | Union Pacific Corporation | 10,604,937 | ||||||
| 133,800 | United Continental Holdings, Inc.a | 3,187,116 | ||||||
| 111,200 | United Technologies Corporation | 8,753,664 | ||||||
Total Industrials | 92,589,740 | |||||||
| Information Technology (32.9%) | |||||||
| 65,100 | Accenture plc | 3,156,699 | ||||||
| 227,250 | Apple, Inc.a | 73,301,760 | ||||||
| 156,400 | ASML Holding NV | 5,996,376 | ||||||
| 149,000 | Broadcom Corporation | 6,488,950 | ||||||
| 413,000 | Cisco Systems, Inc.a | 8,354,990 | ||||||
| 198,777 | Cognizant Technology Solutions Corporationa | 14,568,366 | ||||||
| 858,400 | EMC Corporationa | 19,657,360 | ||||||
| 27,750 | Equinix, Inc.a | 2,254,965 | ||||||
| 19,800 | F5 Networks, Inc.a | 2,577,168 | ||||||
| 64,352 | Google, Inc.a | 38,223,158 | ||||||
| 193,000 | Hewlett-Packard Company | 8,125,300 | ||||||
| 610,500 | Marvell Technology Group, Ltd.a | 11,324,775 | ||||||
| 1,229,700 | Microsoft Corporation | 34,333,224 | ||||||
| 87,300 | NetApp, Inc.a | 4,798,008 | ||||||
| 182,900 | NVIDIA Corporationa | 2,816,660 | ||||||
| 598,750 | Oracle Corporation | 18,740,875 | ||||||
| 531,300 | QUALCOMM, Inc. | 26,294,037 | ||||||
| 61,500 | Research in Motion, Ltd.a | 3,574,995 | ||||||
| 198,600 | Symantec Corporationa | 3,324,564 | ||||||
| 270,200 | Visa, Inc. | 19,016,676 | ||||||
| 130,000 | VMware, Inc.a | 11,558,300 | ||||||
| 276,600 | Western Union Company | 5,136,462 | ||||||
Total Information Technology | 323,623,668 | |||||||
| Materials (4.2%) | |||||||
| 116,900 | Barrick Gold Corporation | 6,216,742 | ||||||
| 29,250 | CF Industries Holdings, Inc. | 3,953,137 | ||||||
| 46,200 | Ecolab, Inc. | 2,329,404 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
210
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (98.2%) | Value | ||||||
| Materials (4.2%) - continued | ||||||||
| 42,350 | Freeport-McMoRan Copper & Gold, Inc. | $ | 5,085,812 | |||||
| 306,700 | International Paper Company | 8,354,508 | ||||||
| 30,100 | Potash Corporation of Saskatchewan, Inc. | 4,660,383 | ||||||
| 7,700 | Syngenta AG ADR | 452,606 | ||||||
| 157,400 | Teck Resources, Ltd. | 9,732,042 | ||||||
Total Materials | 40,784,634 | |||||||
| Telecommunications Services (3.0%) | |||||||
| 3,145,672 | Alcatel-Lucent ADRa,b | 9,311,189 | ||||||
| 177,800 | American Tower Corporationa | 9,181,592 | ||||||
| 254,700 | NII Holdings, Inc.a | 11,374,902 | ||||||
Total Telecommunications Services | 29,867,683 | |||||||
Total Common Stock (cost $806,786,481) | 965,952,142 | |||||||
Collateral Held for Securities Loaned (2.7%) | ||||||||
| 26,672,700 | Thrivent Financial Securities Lending Trust | 26,672,700 | ||||||
Total Collateral Held for Securities Loaned (cost $26,672,700) | 26,672,700 | |||||||
Principal | Short-Term Investments (1.3%)c | |||||||
Barton Capital Corporation | ||||||||
| 7,715,000 | 0.150%, 1/3/2011d | 7,714,936 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 4,295,000 | 0.080%, 2/10/2011d | 4,294,618 | ||||||
Total Short-Term Investments (at amortized cost) | 12,009,554 | |||||||
Total Investments (cost $845,468,735) 102.2% | $ | 1,004,634,396 | ||||||
Other Assets and Liabilities, Net (2.2%) | (21,331,868 | ) | ||||||
Total Net Assets 100.0% | $ | 983,302,528 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 165,959,766 | ||
Gross unrealized depreciation | (10,139,196 | ) | ||
Net unrealized appreciation (depreciation) | $ | 155,820,570 | ||
Cost for federal income tax purposes | $ | 848,813,826 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
211
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 166,565,362 | 166,565,362 | — | — | ||||||||||||
Consumer Staples | 34,608,705 | 34,608,705 | — | — | ||||||||||||
Energy | 78,311,114 | 78,311,114 | — | — | ||||||||||||
Financials | 82,690,498 | 82,690,498 | — | — | ||||||||||||
Health Care | 116,910,738 | 116,910,738 | — | — | ||||||||||||
Industrials | 92,589,740 | 92,589,740 | — | — | ||||||||||||
Information Technology | 323,623,668 | 323,623,668 | — | — | ||||||||||||
Materials | 40,784,634 | 40,784,634 | — | — | ||||||||||||
Telecommunications Services | 29,867,683 | 29,867,683 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 26,672,700 | 26,672,700 | — | — | ||||||||||||
Short-Term Investments | 12,009,554 | — | 12,009,554 | — | ||||||||||||
Total | $ | 1,004,634,396 | $ | 992,624,842 | $ | 12,009,554 | $ | — | ||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 472,191 | ||||
Options Purchased | Net realized gains/(losses) on Investments | 7,542 | ||||
Total Equity Contracts | 479,733 | |||||
Total | $479,733 | |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, for Large 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 | ||||||
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, 2010.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 242 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
212
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2010
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 30,719,415 | $ | 273,533,921 | $ | 277,580,636 | 26,672,700 | $ | 26,672,700 | $ | 43,952 | |||||||||||||
Total Value and Income Earned | 30,719,415 | 26,672,700 | 43,9552 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
213
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (99.1%) | Value | ||||||
| Consumer Discretionary (18.7%) | ||||||||
| 14,300 | Amazon.com, Inc.a | $ | 2,574,000 | |||||
| 1,300 | AutoZone, Inc.a | 354,367 | ||||||
| 12,800 | CarMax, Inc.a | 408,064 | ||||||
| 8,400 | Carnival plc | 390,703 | ||||||
| 1,100 | Chipotle Mexican Grill, Inc.a | 233,926 | ||||||
| 14,700 | Coach, Inc. | 813,057 | ||||||
| 8,000 | Ctrip.com International, Ltd. ADRa | 323,600 | ||||||
| 5,700 | Discovery Communications, Inc.a | 237,690 | ||||||
| 8,500 | Dollar General Corporationa | 260,695 | ||||||
| 5,800 | General Motors Corporationa | 213,788 | ||||||
| 6,300 | Las Vegas Sands Corporationa | 289,485 | ||||||
| 26,600 | Liberty Media Corporation - Interactivea | 419,482 | ||||||
| 13,700 | Lowe’s Companies, Inc. | 343,596 | ||||||
| 17,233 | Marriott International, Inc. | 715,859 | ||||||
| 5,600 | MGM Resorts Internationala,b | 83,160 | ||||||
| 300 | Netflix, Inc.a | 52,710 | ||||||
| 6,900 | NIKE, Inc. | 589,398 | ||||||
| 6,600 | O’Reilly Automotive, Inc.a | 398,772 | ||||||
| 1,400 | Priceline.com, Inc.a | 559,370 | ||||||
| 3,400 | Ross Stores, Inc. | 215,050 | ||||||
| 28,300 | Starbucks Corporation | 909,279 | ||||||
| 8,600 | Starwood Hotels & Resorts Worldwide, Inc. | 522,708 | ||||||
| 15,500 | Walt Disney Company | 581,405 | ||||||
Total Consumer Discretionary | 11,490,164 | |||||||
| Consumer Staples (2.4%) | ||||||||
| 1,900 | Colgate-Palmolive Company | 152,703 | ||||||
| 6,600 | Costco Wholesale Corporation | 476,586 | ||||||
| 6,000 | PepsiCo, Inc. | 391,980 | ||||||
| 6,837 | Procter & Gamble Company | 439,824 | ||||||
Total Consumer Staples | 1,461,093 | |||||||
| Energy (8.2%) | ||||||||
| 10,100 | Cameron International Corporationa | 512,373 | ||||||
| 6,300 | EOG Resources, Inc. | 575,883 | ||||||
| 5,400 | FMC Technologies, Inc.a | 480,114 | ||||||
| 5,100 | Murphy Oil Corporation | 380,205 | ||||||
| 6,600 | Occidental Petroleum Corporation | 647,460 | ||||||
| 7,000 | Peabody Energy Corporation | 447,860 | ||||||
| 7,100 | Petroleo Brasileiro SA PREF ADR | 242,607 | ||||||
| 13,500 | Schlumberger, Ltd. | 1,127,250 | ||||||
| 16,900 | Suncor Energy, Inc. | 647,101 | ||||||
Total Energy | 5,060,853 | |||||||
| Financials (7.5%) | ||||||||
| 18,700 | American Express Company | 802,604 | ||||||
| 13,300 | Discover Financial Services | 246,449 | ||||||
| 7,800 | Franklin Resources, Inc. | 867,438 | ||||||
| 4,400 | IntercontinentalExchange, Inc.a | 524,260 | ||||||
| 25,000 | Invesco, Ltd. | 601,500 | ||||||
| 18,700 | J.P. Morgan Chase & Company | 793,254 | ||||||
| 7,100 | Northern Trust Corporation | 393,411 | ||||||
| 13,900 | U.S. Bancorp | 374,883 | ||||||
Total Financials | 4,603,799 | |||||||
| Health Care (6.0%) | ||||||||
| 5,500 | Allergan, Inc. | 377,685 | ||||||
| 5,500 | Celgene Corporationa | 325,270 | ||||||
| 3,500 | Edwards Lifesciences Corporationa | 282,940 | ||||||
| 21,000 | Express Scripts, Inc.a | 1,135,050 | ||||||
| 7,900 | Human Genome Sciences, Inc.a | 188,731 | ||||||
| 6,400 | Illumina, Inc.a | 405,376 | ||||||
| 8,800 | McKesson Corporation | 619,344 | ||||||
| 7,100 | Stryker Corporation | 381,270 | ||||||
Total Health Care | 3,715,666 | |||||||
| Industrials (15.6%) | ||||||||
| 6,000 | 3M Company | 517,800 | ||||||
| 5,300 | Babcock & Wilcox Companya | 135,627 | ||||||
| 2,400 | Caterpillar, Inc. | 224,784 | ||||||
| 2,300 | Cummins, Inc. | 253,023 | ||||||
| 38,800 | Danaher Corporation | 1,830,196 | ||||||
| 3,900 | Deere & Company | 323,895 | ||||||
| 10,200 | Emerson Electric Company | 583,134 | ||||||
| 10,200 | Expeditors International of Washington, Inc. | 556,920 | ||||||
| 10,000 | Fastenal Companyb | 599,100 | ||||||
| 11,900 | FedEx Corporation | 1,106,819 | ||||||
| 2,500 | Joy Global, Inc. | 216,875 | ||||||
| 10,600 | McDermott International, Inc.a | 219,314 | ||||||
| 7,700 | PACCAR, Inc. | 442,134 | ||||||
| 5,400 | Precision Castparts Corporation | 751,734 | ||||||
| 4,500 | Rockwell Automation, Inc. | 322,695 | ||||||
| 6,100 | Union Pacific Corporation | 565,226 | ||||||
| 8,000 | United Parcel Service, Inc. | 580,640 | ||||||
| 2,500 | W.W. Grainger, Inc. | 345,275 | ||||||
Total Industrials | 9,575,191 | |||||||
| Information Technology (31.3%) | ||||||||
| 13,100 | Accenture plc | 635,219 | ||||||
| 8,600 | Akamai Technologies, Inc.a | 404,630 | ||||||
| 14,200 | Apple, Inc.a | 4,580,352 | ||||||
| 7,600 | ASML Holding NV | 291,384 | ||||||
| 2,300 | Autodesk, Inc.a | 87,860 | ||||||
| 4,300 | Autonomy Corporation plca | 101,162 | ||||||
| 12,100 | Baidu.com, Inc. ADRa | 1,168,013 | ||||||
| 14,900 | Broadcom Corporation | 648,895 | ||||||
| 43,000 | Corning, Inc. | 830,760 | ||||||
| 9,300 | Dolby Laboratories, Inc.a | 620,310 | ||||||
| 19,300 | eBay, Inc.a | 537,119 | ||||||
| 8,700 | EMC Corporationa | 199,230 | ||||||
| 5,350 | Google, Inc.a | 3,177,740 | ||||||
| 21,900 | Juniper Networks, Inc.a | 808,548 | ||||||
| 400 | Mail.ru Group, Ltd. GDRa,c,d | 14,400 | ||||||
| 5,100 | Marvell Technology Group, Ltd.a | 94,605 | ||||||
| 3,250 | MasterCard, Inc. | 728,357 | ||||||
| 6,400 | NetApp, Inc.a | 351,744 | ||||||
| 25,400 | QUALCOMM, Inc. | 1,257,046 | ||||||
| 5,600 | Rovi Corporationa | 347,256 | ||||||
| 200 | Salesforce.com, Inc.a | 26,400 | ||||||
| 307 | Samsung Electronics Company, Ltd. | 256,387 | ||||||
| 24,400 | Tencent Holdings, Ltd. | 529,710 | ||||||
| 16,500 | Visa, Inc. | 1,161,270 | ||||||
| 20,300 | Western Union Company | 376,971 | ||||||
Total Information Technology | 19,235,368 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
214
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (99.1%) | Value | ||||||
| Materials (5.5%) | ||||||||
| 2,800 | Agnico-Eagle Mines, Ltd. | $ | 214,760 | |||||
| 3,400 | Air Products and Chemicals, Inc. | 309,230 | ||||||
| 13,784 | BHP Billiton, Ltd. | 640,977 | ||||||
| 4,000 | Freeport-McMoRan Copper & Gold, Inc. | 480,360 | ||||||
| 4,600 | Mosaic Company | 351,256 | ||||||
| 14,200 | Praxair, Inc. | 1,355,674 | ||||||
Total Materials | 3,352,257 | |||||||
| Telecommunications Services (3.9%) | ||||||||
| 19,600 | American Tower Corporationa | 1,012,144 | ||||||
| 31,300 | Crown Castle International Corporationa | 1,371,879 | ||||||
Total Telecommunications Services | 2,384,023 | |||||||
Total Common Stock (cost $38,442,761) | 60,878,414 | |||||||
Collateral Held for Securities Loaned (1.1%) | ||||||||
| 669,650 | Thrivent Financial Securities Lending Trust | 669,650 | ||||||
Total Collateral Held for Securities Loaned (cost $669,650) | 669,650 | |||||||
Total Investments (cost $39,112,411) 100.2% | $ | 61,548,064 | ||||||
Other Assets and Liabilities, Net (0.2%) | (120,977 | ) | ||||||
Total Net Assets 100.0% | $ | 61,427,087 | ||||||
| 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 | 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, 2010, the value of these investments was $14,400 or 0.0% of total net assets. |
| d | Security is fair valued as discussed in item 2(A) 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. | ||
| 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 | $ | 22,364,754 | ||
Gross unrealized depreciation | (80,469 | ) | ||
Net unrealized appreciation (depreciation) | $ | 22,284,285 | ||
Cost for federal income tax purposes | $ | 39,263,779 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
215
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 11,490,164 | 11,099,461 | 390,703 | — | ||||||||||||
Consumer Staples | 1,461,093 | 1,461,093 | — | — | ||||||||||||
Energy | 5,060,853 | 5,060,853 | — | — | ||||||||||||
Financials | 4,603,799 | 4,603,799 | — | — | ||||||||||||
Health Care | 3,715,666 | 3,715,666 | — | — | ||||||||||||
Industrials | 9,575,191 | 9,575,191 | — | — | ||||||||||||
Information Technology | 19,235,368 | 18,333,709 | 887,259 | 14,400 | ||||||||||||
Materials | 3,352,257 | 2,711,280 | 640,977 | — | ||||||||||||
Telecommunications Services | 2,384,023 | 2,384,023 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 669,650 | 669,650 | — | — | ||||||||||||
Total | $ | 61,548,064 | $ | 59,614,725 | $ | 1,918,939 | $ | 14,400 | ||||||||
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Partner Growth Stock Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Common Stock Information Technology | — | — | 3,320 | 11,080 | — | — | — | 14,400 | ||||||||||||||||||||||||
Total | $ | — | $ | — | $ | 3,320 | $ | 11,080 | $ | — | $ | — | $ | — | $ | 14,400 | ||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $3,320. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 619 | ||||
Total Foreign Exchange Contracts | 619 | |||||
Total | $ | 619 | ||||
The following table presents Partner Growth Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 11,158 | <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.
216
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2010
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 196,140 | $ | 8,890,735 | $ | 8,417,225 | 669,650 | $ | 669,650 | $ | 1,086 | |||||||||||||
Total Value and Income Earned | 196,140 | 669,650 | 1,086 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
217
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.5%) | Value | ||||||
| Consumer Discretionary (9.8%) | |||||||
| 107,987 | Carnival Corporation | $ | 4,979,281 | |||||
| 808,530 | Dana Holding Corporationa | 13,914,801 | ||||||
| 366,634 | Macy’s, Inc. | 9,275,840 | ||||||
| 95,490 | Omnicom Group, Inc. | 4,373,442 | ||||||
| 269,030 | Target Corporation | 16,176,774 | ||||||
| 201,850 | Time Warner Cable, Inc. | 13,328,155 | ||||||
| 469,125 | Walt Disney Company | 17,596,879 | ||||||
Total Consumer Discretionary | 79,645,172 | |||||||
| Consumer Staples (9.3%) | |||||||
| 107,480 | Diageo plc ADR | 7,988,988 | ||||||
| 803,610 | Kraft Foods, Inc. | 25,321,751 | ||||||
| 393,369 | Philip Morris International, Inc. | 23,023,888 | ||||||
| 113,980 | Unilever NV ADRb | 3,578,972 | ||||||
| 388,290 | Walgreen Company | 15,127,778 | ||||||
| Total Consumer Staples | 75,041,377 | |||||||
| Energy (12.9%) | |||||||
| 157,248 | Apache Corporation | 18,748,679 | ||||||
| 275,000 | Baker Hughes, Inc. | 15,721,750 | ||||||
| 292,055 | Chevron Corporation | 26,650,019 | ||||||
| 234,792 | ConocoPhillips | 15,989,335 | ||||||
| 195,090 | ENSCO International plc ADR | 10,413,904 | ||||||
| 54,070 | Exxon Mobil Corporation | 3,953,599 | ||||||
| 135,710 | Occidental Petroleum Corporation | 13,313,151 | ||||||
| Total Energy | 104,790,437 | |||||||
| Financials (20.7%) | |||||||
| 126,670 | ACE, Ltd. | 7,885,208 | ||||||
| 112,142 | Allstate Corporation | 3,575,087 | ||||||
| 140,045 | Ameriprise Financial, Inc. | 8,059,590 | ||||||
| 1,034,397 | Bank of America Corporation | 13,798,856 | ||||||
| 132,250 | Chubb Corporation | 7,887,390 | ||||||
| 3,677,470 | Citigroup, Inc.a | 17,394,433 | ||||||
| 435,170 | Comerica, Inc. | 18,381,581 | ||||||
| 27,527 | Everest Re Group, Ltd. | 2,334,840 | ||||||
| 400,201 | Fifth Third Bancorp | 5,874,951 | ||||||
| 71,790 | Goldman Sachs Group, Inc. | 12,072,206 | ||||||
| 464,376 | J.P. Morgan Chase & Company | 19,698,830 | ||||||
| 182,350 | MetLife, Inc. | 8,103,634 | ||||||
| 294,341 | Morgan Stanley | 8,009,019 | ||||||
| 106,670 | Northern Trust Corporation | 5,910,585 | ||||||
| 399,000 | Principal Financial Group, Inc. | 12,991,440 | ||||||
| 83,829 | SVB Financial Groupa | 4,447,128 | ||||||
| 108,313 | Travelers Companies, Inc. | 6,034,117 | ||||||
| 43,800 | Unum Group | 1,060,836 | ||||||
| 153,370 | Wells Fargo & Company | 4,752,936 | ||||||
| Total Financials | 168,272,667 | |||||||
| Health Care (10.4%) | |||||||
| 137,120 | Abbott Laboratories | 6,569,419 | ||||||
| 127,310 | C.R. Bard, Inc. | 11,683,239 | ||||||
| 272,590 | Covidien, Ltd. | 12,446,459 | ||||||
| 123,845 | Johnson & Johnson | 7,659,813 | ||||||
| 273,820 | Novartis AG ADRb | 16,141,689 | ||||||
| 620,657 | UnitedHealth Group, Inc. | 22,411,924 | ||||||
| 142,220 | Zimmer Holdings, Inc.a | 7,634,370 | ||||||
| Total Health Care | 84,546,913 | |||||||
| Industrials (13.9%) | |||||||
| 105,235 | 3M Company | 9,081,781 | ||||||
| 105,740 | Boeing Company | 6,900,592 | ||||||
| 121,750 | Caterpillar, Inc. | 11,403,105 | ||||||
| 231,000 | Emerson Electric Company | 13,206,270 | ||||||
| 75,040 | Fluor Corporation | 4,972,150 | ||||||
| 102,860 | General Dynamics Corporation | 7,298,946 | ||||||
| 897,300 | General Electric Company | 16,411,617 | ||||||
| 175,510 | Honeywell International, Inc. | 9,330,112 | ||||||
| 197,950 | Norfolk Southern Corporation | 12,435,219 | ||||||
| 182,960 | Textron, Inc.b | 4,325,174 | ||||||
| 112,784 | United Technologies Corporation | 8,878,356 | ||||||
| 153,610 | WESCO International, Inc.a | 8,110,608 | ||||||
| Total Industrials | 112,353,930 | |||||||
| Information Technology (8.6%) | |||||||
| 150,417 | Avnet, Inc.a | 4,968,274 | ||||||
| 267,630 | EMC Corporationa | 6,128,727 | ||||||
| 106,269 | International Business Machines Corporation | 15,596,039 | ||||||
| 433,410 | Microsoft Corporation | 12,100,807 | ||||||
| 159,751 | Tyco Electronics, Ltd. | 5,655,185 | ||||||
| 1,520,840 | Xerox Corporation | 17,520,077 | ||||||
| 273,690 | Xilinx, Inc. | 7,931,536 | ||||||
| Total Information Technology | 69,900,645 | |||||||
| Materials (4.7%) | |||||||
| 142,700 | Allegheny Technologies, Inc.b | 7,874,186 | ||||||
| 600,231 | E.I. du Pont de Nemours and Company | 29,939,522 | ||||||
| Total Materials | 37,813,708 | |||||||
| Telecommunications Services (3.9%) | |||||||
| 386,861 | AT&T, Inc. | 11,365,976 | ||||||
| 568,570 | Verizon Communications, Inc. | 20,343,435 | ||||||
| Total Telecommunications Services | 31,709,411 | |||||||
| Utilities (3.3%) | |||||||
| 360,400 | American Electric Power Company, Inc. | 12,967,192 | ||||||
| 295,080 | Duke Energy Corporation | 5,255,375 | ||||||
| 46,977 | Entergy Corporation | 3,327,381 | ||||||
| 228,904 | Xcel Energy, Inc. | 5,390,689 | ||||||
| Total Utilities | 26,940,637 | |||||||
| Total Common Stock (cost $657,797,823) | 791,014,897 | |||||||
Collateral Held for Securities Loaned (3.0%) | ||||||||
| 24,701,033 | Thrivent Financial Securities Lending Trust | 24,701,033 | ||||||
| Total Collateral Held for Securities Loaned (cost $24,701,033) | 24,701,033 | |||||||
Principal Amount | Short-Term Investments (1.6%)c | |||||||
| AllianceBernstein, LP | ||||||||
| 6,470,000 | 0.170%, 1/3/2011 | 6,469,939 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
218
Table of Contents
Large Cap Value Portfolio
Schedule of Investments as of December 31, 2010
Principal | Short-Term Investments (1.6%)c | Value | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 6,520,000 | 0.080%, 2/10/2011d | $ | 6,519,420 | |||||
| Total Short-Term Investments (at amortized cost) | 12,989,359 | |||||||
| Total Investments (cost $695,488,215) 102.1% | $ | 828,705,289 | ||||||
| Other Assets and Liabilities, Net (2.1%) | (17,422,192 | ) | ||||||
| Total Net Assets 100.0% | $ | 811,283,097 | ||||||
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 137,281,489 | ||
Gross unrealized depreciation | (5,545,787 | ) | ||
Net unrealized appreciation (depreciation) | $ | 131,735,702 | ||
Cost for federal income tax purposes | $ | 696,969,587 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 79,645,172 | 79,645,172 | — | — | ||||||||||||
Consumer Staples | 75,041,377 | 75,041,377 | — | — | ||||||||||||
Energy | 104,790,437 | 104,790,437 | — | — | ||||||||||||
Financials | 168,272,667 | 168,272,667 | — | — | ||||||||||||
Health Care | 84,546,913 | 84,546,913 | — | — | ||||||||||||
Industrials | 112,353,930 | 112,353,930 | — | — | ||||||||||||
Information Technology | 69,900,645 | 69,900,645 | — | — | ||||||||||||
Materials | 37,813,708 | 37,813,708 | — | — | ||||||||||||
Telecommunications Services | 31,709,411 | 31,709,411 | — | — | ||||||||||||
Utilities | 26,940,637 | 26,940,637 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 24,701,033 | 24,701,033 | — | — | ||||||||||||
Short-Term Investments | 12,989,359 | — | 12,989,359 | — | ||||||||||||
Total | $ | 828,705,289 | $ | 815,715,930 | $ | 12,989,359 | $ | — | ||||||||
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 2,450,287 | $ | 226,200,012 | $ | 203,949,266 | 24,701,033 | $ | 24,701,033 | $ | 17,823 | |||||||||||||
Total Value and Income Earned | 2,450,287 | 24,701,033 | 17,823 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
219
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (91.8%) | Value | ||||||
| Consumer Discretionary (10.6%) | |||||||
| 28,400 | Amazon.com, Inc.a | $ | 5,112,000 | |||||
| 138,550 | Carnival Corporation | 6,388,540 | ||||||
| 286,470 | Dana Holding Corporationa | 4,930,149 | ||||||
| 140,400 | Expedia, Inc. | 3,522,636 | ||||||
| 89,700 | Kohl’s Corporationa | 4,874,298 | ||||||
| 133,750 | Macy’s, Inc. | 3,383,875 | ||||||
| 50,000 | McDonald’s Corporation | 3,838,000 | ||||||
| 367,300 | MGM Resorts Internationala,b | 5,454,405 | ||||||
| 33,790 | Omnicom Group, Inc. | 1,547,582 | ||||||
| 121,200 | Starbucks Corporation | 3,894,156 | ||||||
| 94,150 | Target Corporation | 5,661,239 | ||||||
| 70,630 | Time Warner Cable, Inc. | 4,663,699 | ||||||
| 155,700 | TJX Companies, Inc. | 6,911,523 | ||||||
| 165,160 | Walt Disney Company | 6,195,152 | ||||||
| Total Consumer Discretionary | 66,377,254 | |||||||
| Consumer Staples (10.2%) | |||||||
| 11,300 | Altria Group, Inc. | 278,206 | ||||||
| 130,300 | Avon Products, Inc.c | 3,786,518 | ||||||
| 134,800 | Coca-Cola Company | 8,865,796 | ||||||
| 37,570 | Diageo plc ADR | 2,792,578 | ||||||
| 44,800 | Kellogg Company | 2,288,384 | ||||||
| 283,970 | Kraft Foods, Inc. | 8,947,895 | ||||||
| 120,250 | PepsiCo, Inc. | 7,855,933 | ||||||
| 189,361 | Philip Morris International, Inc. | 11,083,299 | ||||||
| 200,600 | Procter & Gamble Company | 12,904,598 | ||||||
| 135,020 | Walgreen Company | 5,260,379 | ||||||
| Total Consumer Staples | 64,063,586 | |||||||
| Energy (9.8%) | |||||||
| 54,680 | Apache Corporation | 6,519,496 | ||||||
| 198,420 | Baker Hughes, Inc. | 11,343,671 | ||||||
| 130,630 | Chevron Corporation | 11,919,988 | ||||||
| 81,640 | ConocoPhillips | 5,559,684 | ||||||
| 67,840 | ENSCO International plc ADR | 3,621,299 | ||||||
| 80,700 | Occidental Petroleum Corporation | 7,916,670 | ||||||
| 86,700 | Schlumberger, Ltd. | 7,239,450 | ||||||
| 149,400 | Ultra Petroleum Corporationa | 7,136,838 | ||||||
| Total Energy | 61,257,096 | |||||||
| Financials (13.9%) | |||||||
| 44,370 | ACE, Ltd. | 2,762,032 | ||||||
| 49,060 | Ameriprise Financial, Inc.c | 2,823,403 | ||||||
| 361,470 | Bank of America Corporationc | 4,822,010 | ||||||
| 36,750 | BlackRock, Inc. | 7,003,815 | ||||||
| 88,370 | Chubb Corporationc | 5,270,387 | ||||||
| 1,303,670 | Citigroup, Inc.a | 6,166,359 | ||||||
| 152,610 | Comerica, Inc. | 6,446,246 | ||||||
| 237,820 | Fifth Third Bancorp | 3,491,198 | ||||||
| 58,200 | Goldman Sachs Group, Inc. | 9,786,912 | ||||||
| 318,500 | Itau Unibanco Holding SA ADR | 7,647,185 | ||||||
| 162,167 | J.P. Morgan Chase & Company | 6,879,124 | ||||||
| 63,670 | MetLife, Inc. | 2,829,495 | ||||||
| 104,250 | Morgan Stanley | 2,836,642 | ||||||
| 76,270 | Northern Trust Corporation | 4,226,121 | ||||||
| 137,994 | Principal Financial Group, Inc. | 4,493,085 | ||||||
| 29,110 | SVB Financial Groupa | 1,544,285 | ||||||
| 240,900 | U.S. Bancorp | 6,497,073 | ||||||
| 15,400 | Unum Group | 372,988 | ||||||
| 53,030 | Wells Fargo & Company | 1,643,400 | ||||||
| Total Financials | 87,541,760 | |||||||
| Health Care (10.9%) | |||||||
| 47,890 | Abbott Laboratories | 2,294,410 | ||||||
| 151,900 | Aetna, Inc. | 4,634,469 | ||||||
| 105,300 | Allergan, Inc.c | 7,230,951 | ||||||
| 44,530 | C.R. Bard, Inc.b | 4,086,518 | ||||||
| 80,050 | Celgene Corporationa | 4,734,157 | ||||||
| 95,190 | Covidien, Ltd. | 4,346,375 | ||||||
| 95,508 | Hospira, Inc.a | 5,318,841 | ||||||
| 42,790 | Johnson & Johnson | 2,646,562 | ||||||
| 94,210 | Novartis AG ADRb | 5,553,679 | ||||||
| 188,700 | Teva Pharmaceutical Industries, Ltd. ADR | 9,836,931 | ||||||
| 125,100 | Thermo Fisher Scientific, Inc.a | 6,925,536 | ||||||
| 219,290 | UnitedHealth Group, Inc. | 7,918,562 | ||||||
| 49,660 | Zimmer Holdings, Inc.a | 2,665,749 | ||||||
| Total Health Care | 68,192,740 | |||||||
| Industrials (8.5%) | |||||||
| 38,350 | 3M Company | 3,309,605 | ||||||
| 37,550 | Boeing Company | 2,450,513 | ||||||
| 97,960 | Caterpillar, Inc. | 9,174,934 | ||||||
| 285,400 | Delta Air Lines, Inc.a | 3,596,040 | ||||||
| 82,030 | Emerson Electric Company | 4,689,655 | ||||||
| 25,970 | Fluor Corporation | 1,720,772 | ||||||
| 313,580 | General Electric Company | 5,735,378 | ||||||
| 61,710 | Honeywell International, Inc. | 3,280,504 | ||||||
| 68,870 | Norfolk Southern Corporation | 4,326,413 | ||||||
| 63,650 | Siemens AG ADRb | 7,908,513 | ||||||
| 64,660 | Textron, Inc. | 1,528,562 | ||||||
| 39,840 | United Technologies Corporation | 3,136,205 | ||||||
| 53,770 | WESCO International, Inc.a | 2,839,056 | ||||||
| Total Industrials | 53,696,150 | |||||||
| Information Technology (19.3%) | |||||||
| 69,724 | Apple, Inc.a | 22,490,173 | ||||||
| 98,100 | ASML Holding NV | 3,761,154 | ||||||
| 28,900 | Broadcom Corporation | 1,258,595 | ||||||
| 76,000 | Cognizant Technology Solutions Corporationa | 5,570,040 | ||||||
| 474,170 | EMC Corporationa | 10,858,493 | ||||||
| 21,971 | Google, Inc.a | 13,050,115 | ||||||
| 74,350 | Hewlett-Packard Company | 3,130,135 | ||||||
| 37,468 | International Business Machines Corporation | 5,498,804 | ||||||
| 258,100 | Marvell Technology Group, Ltd.a | 4,787,755 | ||||||
| 550,550 | Microsoft Corporation | 15,371,356 | ||||||
| 109,600 | Oracle Corporation | 3,430,480 | ||||||
| 189,900 | QUALCOMM, Inc. | 9,398,151 | ||||||
| 120,330 | Tyco Electronics, Ltd. | 4,259,682 | ||||||
| 86,300 | Visa, Inc. | 6,073,794 | ||||||
| 37,500 | VMware, Inc.a | 3,334,125 | ||||||
| 539,200 | Xerox Corporation | 6,211,584 | ||||||
| 95,800 | Xilinx, Inc. | 2,776,284 | ||||||
| Total Information Technology | 121,260,720 | |||||||
| Materials (3.8%) | |||||||
| 49,610 | Allegheny Technologies, Inc. | 2,737,480 | ||||||
| 213,147 | E.I. du Pont de Nemours and Company | 10,631,772 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
220
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (91.8%) | Value | ||||||
| Materials (3.8%) - continued | |||||||
| 189,500 | International Paper Company | $ | 5,161,980 | |||||
| 85,500 | Teck Resources, Ltd. | 5,286,465 | ||||||
| Total Materials | 23,817,697 | |||||||
| Telecommunications Services (3.2%) | |||||||
| 1,327,800 | Alcatel-Lucent ADRa,b | 3,930,288 | ||||||
| 135,390 | AT&T, Inc. | 3,977,758 | ||||||
| 110,700 | NII Holdings, Inc.a | 4,943,862 | ||||||
| 203,460 | Verizon Communications, Inc. | 7,279,799 | ||||||
| Total Telecommunications Services | 20,131,707 | |||||||
| Utilities (1.6%) | |||||||
| 211,590 | American Electric Power Company, Inc. | 7,613,008 | ||||||
| 70,180 | Duke Energy Corporation | 1,249,906 | ||||||
| 53,730 | Xcel Energy, Inc. | 1,265,342 | ||||||
| Total Utilities | 10,128,256 | |||||||
| Total Common Stock (cost $493,511,515) | 576,466,966 | |||||||
Collateral Held for Securities Loaned (3.0%) | ||||||||
| 18,613,928 | Thrivent Financial Securities Lending Trust | 18,613,928 | ||||||
| Total Collateral Held for Securities Loaned (cost $18,613,928) | 18,613,928 | |||||||
Principal | Short-Term Investments (8.1%)d | Value | ||||||
| Barclays Bank plc Repurchase Agreement | ||||||||
| 20,275,000 | 0.250%, 1/3/2011e | 20,275,000 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.095%, 1/14/2011f | 9,999,657 | ||||||
| 4,200,000 | 0.120%, 2/9/2011f | 4,199,454 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 4,000,000 | 0.200%, 3/14/2011f,g | 3,998,432 | ||||||
| Liberty Street Funding, LLC | ||||||||
| 4,985,000 | 0.130%, 1/3/2011f | 4,984,964 | ||||||
| Thunder Bay Funding, Inc. | ||||||||
| 7,720,000 | 0.140%, 1/3/2011f | 7,719,940 | ||||||
| Total Short-Term Investments (at amortized cost) | 51,177,447 | |||||||
| Total Investments (cost $563,302,890) 102.9% | $ | 646,258,341 | ||||||
| Other Assets and Liabilities, Net (2.9%) | (17,976,938 | ) | ||||||
| Total Net Assets 100.0% | $ | 628,281,403 | ||||||
| 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. |
| e | Repurchase agreement dated December 31, 2010, $20,275,422 maturing January 3, 2011, collateralized by $20,680,522 U.S. Treasury Inflation Indexed Bonds, 1.625% due January 15, 2018. |
| f | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| g | At December 31, 2010, $3,998,432 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 | $ | 82,702,999 | ||
Gross unrealized depreciation | (3,745,566 | ) | ||
Net unrealized appreciation (depreciation) | $ | 78,957,433 | ||
Cost for federal income tax purposes | $ | 567,300,908 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
221
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 66,377,254 | 66,377,254 | — | — | ||||||||||||
Consumer Staples | 64,063,586 | 64,063,586 | — | — | ||||||||||||
Energy | 61,257,096 | 61,257,096 | — | — | ||||||||||||
Financials | 87,541,760 | 87,541,760 | — | — | ||||||||||||
Health Care | 68,192,740 | 68,192,740 | — | — | ||||||||||||
Industrials | 53,696,150 | 53,696,150 | — | — | ||||||||||||
Information Technology | 121,260,720 | 121,260,720 | — | — | ||||||||||||
Materials | 23,817,697 | 23,817,697 | — | — | ||||||||||||
Telecommunications Services | 20,131,707 | 20,131,707 | — | — | ||||||||||||
Utilities | 10,128,256 | 10,128,256 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 18,613,928 | 18,613,928 | — | — | ||||||||||||
Short-Term Investments | 51,177,447 | — | 51,177,447 | — | ||||||||||||
Total | $ | 646,258,341 | $ | 595,080,894 | $ | 51,177,447 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 696,075 | 696,075 | — | — | ||||||||||||
Call Options Written | 9,000 | 9,000 | — | — | ||||||||||||
Total Asset Derivatives | $ | 705,075 | $ | 705,075 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Call Options Written | 375 | 375 | — | — | ||||||||||||
Total Liability Derivatives | $ | 375 | $ | 375 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 111 | March 2011 | $ | 34,074,675 | $ | 34,770,750 | $ | 696,075 | ||||||||||||
Total Futures Contracts | $ | 696,075 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 150 | $ | 1,280.00 | January 2011 | ($ | 45,000 | ) | $ | 9,000 | |||||||||||
S&P 500 Mini-Futures Call Option | 150 | 1,270.00 | January 2011 | (73,125 | ) | (375 | ) | |||||||||||||
Total Call Options Written | ($ | 118,125 | ) | $ | 8,625 | |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
222
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | $ | 696,075 | |||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 9,000 | ||||
Total Equity Contracts | 705,075 | |||||
Total Asset Derivatives | $ | 705,075 | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 375 | ||||
Total Equity Contracts | 375 | |||||
Total Liability Derivatives | $ | 375 | ||||
| * | 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, 2010, 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 | (795,487 | ) | |||
Options Purchased | Net realized gains/(losses) on Investments | 1,560 | ||||
Futures | Net realized gains/(losses) on Futures contracts | 5,628,265 | ||||
Total Equity Contracts | 4,834,338 | |||||
Total | $ | 4,834,338 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | (67,706 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (271,780 | ) | |||
Total Equity Contracts | (339,486 | ) | ||||
Total | ($ | 339,486 | ) | |||
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 51,259,063 | 8.6 | % | 405 | |||||||
| * | 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.
223
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2010
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 5,875,573 | $ | 143,115,785 | $ | 130,377,430 | 18,613,928 | $ | 18,613,928 | $ | 18,794 | |||||||||||||
Total Value and Income Earned | 5,875,573 | 18,613,928 | 18,794 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
224
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.6%) | Value | ||||||
| Consumer Discretionary (10.4%) | ||||||||
| 2,400 | Abercrombie & Fitch Company | $ | 138,312 | |||||
| 10,000 | Amazon.com, Inc.a | 1,800,000 | ||||||
| 3,600 | Apollo Group, Inc.a | 142,164 | ||||||
| 1,800 | AutoNation, Inc.a,b | 50,760 | ||||||
| 800 | AutoZone, Inc.a | 218,072 | ||||||
| 7,300 | Bed Bath & Beyond, Inc.a | 358,795 | ||||||
| 9,325 | Best Buy Company, Inc. | 319,754 | ||||||
| 2,100 | Big Lots, Inc.a | 63,966 | ||||||
| 6,800 | Cablevision Systems Corporation | 230,112 | ||||||
| 6,400 | CarMax, Inc.a | 204,032 | ||||||
| 12,100 | Carnival Corporation | 557,931 | ||||||
| 19,372 | CBS Corporation | 369,037 | ||||||
| 8,300 | Coach, Inc. | 459,073 | ||||||
| 79,115 | Comcast Corporation | 1,738,157 | ||||||
| 8,100 | D.R. Horton, Inc. | 96,633 | ||||||
| 3,850 | Darden Restaurants, Inc. | 178,794 | ||||||
| 1,700 | DeVry, Inc. | 81,566 | ||||||
| 23,600 | DIRECTVa | 942,348 | ||||||
| 8,000 | Discovery Communications, Inc.a | 333,600 | ||||||
| 5,700 | Expedia, Inc. | 143,013 | ||||||
| 3,500 | Family Dollar Stores, Inc. | 173,985 | ||||||
| 106,011 | Ford Motor Companya | 1,779,925 | ||||||
| 4,300 | Fortune Brands, Inc. | 259,075 | ||||||
| 6,800 | Gannett Company, Inc. | 102,612 | ||||||
| 12,462 | Gap, Inc. | 275,909 | ||||||
| 4,400 | Genuine Parts Company | 225,896 | ||||||
| 7,000 | Goodyear Tire & Rubber Companya | 82,950 | ||||||
| 9,000 | H&R Block, Inc. | 107,190 | ||||||
| 6,600 | Harley-Davidson, Inc. | 228,822 | ||||||
| 1,900 | Harman International Industries, Inc.a | 87,970 | ||||||
| 3,950 | Hasbro, Inc. | 186,361 | ||||||
| 46,300 | Home Depot, Inc. | 1,623,278 | ||||||
| 8,500 | International Game Technology | 150,365 | ||||||
| 14,067 | Interpublic Group of Companies, Inc.a | 149,392 | ||||||
| 6,800 | J.C. Penney Company, Inc. | 219,708 | ||||||
| 19,000 | Johnson Controls, Inc. | 725,800 | ||||||
| 8,700 | Kohl’s Corporationa | 472,758 | ||||||
| 4,200 | Leggett & Platt, Inc. | 95,592 | ||||||
| 4,600 | Lennar Corporation | 86,250 | ||||||
| 7,404 | Limited Brands, Inc. | 227,525 | ||||||
| 39,000 | Lowe’s Companies, Inc. | 978,120 | ||||||
| 12,068 | Macy’s, Inc. | 305,320 | ||||||
| 8,106 | Marriott International, Inc. | 336,723 | ||||||
| 10,250 | Mattel, Inc. | 260,657 | ||||||
| 29,800 | McDonald’s Corporation | 2,287,448 | ||||||
| 8,700 | McGraw-Hill Companies, Inc. | 316,767 | ||||||
| 1,000 | Meredith Corporation | 34,650 | ||||||
| 1,300 | Netflix, Inc.a | 228,410 | ||||||
| 8,373 | Newell Rubbermaid, Inc. | 152,221 | ||||||
| 65,100 | News Corporation | 947,856 | ||||||
| 10,800 | NIKE, Inc. | 922,536 | ||||||
| 4,700 | Nordstrom, Inc. | 199,186 | ||||||
| 8,500 | Omnicom Group, Inc. | 389,300 | ||||||
| 3,900 | O’Reilly Automotive, Inc.a | 235,638 | ||||||
| 1,800 | Polo Ralph Lauren Corporation | 199,656 | ||||||
| 1,300 | Priceline.com, Inc.a | 519,415 | ||||||
| 9,992 | Pulte Group, Inc.a | 75,140 | ||||||
| 3,300 | RadioShack Corporation | 61,017 | ||||||
| 3,500 | Ross Stores, Inc. | 221,375 | ||||||
| 2,500 | Scripps Networks Interactive | 129,375 | ||||||
| 1,232 | Sears Holdings Corporationa,b | 90,860 | ||||||
| 2,600 | Sherwin-Williams Company | 217,750 | ||||||
| 1,600 | Snap-On, Inc. | 90,528 | ||||||
| 4,700 | Stanley Black & Decker, Inc. | 314,289 | ||||||
| 20,675 | Staples, Inc. | 470,770 | ||||||
| 21,000 | Starbucks Corporation | 674,730 | ||||||
| 5,400 | Starwood Hotels & Resorts Worldwide, Inc. | 328,212 | ||||||
| 20,000 | Target Corporation | 1,202,600 | ||||||
| 3,500 | Tiffany & Company | 217,945 | ||||||
| 10,058 | Time Warner Cable, Inc. | 664,130 | ||||||
| 31,350 | Time Warner, Inc. | 1,008,529 | ||||||
| 11,200 | TJX Companies, Inc. | 497,168 | ||||||
| 3,600 | Urban Outfitters, Inc.a | 128,916 | ||||||
| 2,400 | VF Corporation | 206,832 | ||||||
| 17,172 | Viacom, Inc. | 680,183 | ||||||
| 53,547 | Walt Disney Company | 2,008,548 | ||||||
| 70 | Washington Post Company | 30,765 | ||||||
| 2,157 | Whirlpool Corporation | 191,606 | ||||||
| 4,872 | Wyndham Worldwide Corporation | 145,965 | ||||||
| 2,200 | Wynn Resorts, Ltd. | 228,448 | ||||||
| 13,180 | Yum! Brands, Inc. | 646,479 | ||||||
Total Consumer Discretionary | 34,533,545 | |||||||
| Consumer Staples (10.4%) | ||||||||
| 59,000 | Altria Group, Inc. | 1,452,580 | ||||||
| 18,068 | Archer-Daniels-Midland Company | 543,485 | ||||||
| 12,200 | Avon Products, Inc. | 354,532 | ||||||
| 2,925 | Brown-Forman Corporation | 203,638 | ||||||
| 5,500 | Campbell Soup Company | 191,125 | ||||||
| 4,000 | Clorox Company | 253,120 | ||||||
| 65,700 | Coca-Cola Company | 4,321,089 | ||||||
| 9,600 | Coca-Cola Enterprises, Inc. | 240,288 | ||||||
| 13,600 | Colgate-Palmolive Company | 1,093,032 | ||||||
| 12,800 | ConAgra Foods, Inc. | 289,024 | ||||||
| 5,100 | Constellation Brands, Inc.a | 112,965 | ||||||
| 12,200 | Costco Wholesale Corporation | 880,962 | ||||||
| 38,544 | CVS Caremark Corporation | 1,340,175 | ||||||
| 5,400 | Dean Foods Companya | 47,736 | ||||||
| 6,400 | Dr. Pepper Snapple Group, Inc. | 225,024 | ||||||
| 3,300 | Estee Lauder Companies, Inc. | 266,310 | ||||||
| 18,200 | General Mills, Inc. | 647,738 | ||||||
| 9,100 | H.J. Heinz Company | 450,086 | ||||||
| 4,300 | Hershey Company | 202,745 | ||||||
| 1,900 | Hormel Foods Corporation | 97,394 | ||||||
| 3,451 | J.M. Smucker Company | 226,558 | ||||||
| 7,300 | Kellogg Company | 372,884 | ||||||
| 11,492 | Kimberly-Clark Corporation | 724,456 | ||||||
| 49,352 | Kraft Foods, Inc. | 1,555,082 | ||||||
| 18,300 | Kroger Company | 409,188 | ||||||
| 4,300 | Lorillard, Inc. | 352,858 | ||||||
| 3,700 | McCormick & Company, Inc. | 172,161 | ||||||
| 5,828 | Mead Johnson Nutrition Company | 362,793 | ||||||
| 4,400 | Molson Coors Brewing Company | 220,836 | ||||||
| 44,830 | PepsiCo, Inc. | 2,928,744 | ||||||
| 51,300 | Philip Morris International, Inc. | 3,002,589 | ||||||
| 79,138 | Procter & Gamble Company | 5,090,948 | ||||||
| 9,700 | Reynolds American, Inc. | 316,414 | ||||||
| 10,700 | Safeway, Inc. | 240,643 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
225
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (97.6%) | Value | ||||||
| Consumer Staples (10.4%) - continued | ||||||||
| 18,200 | Sara Lee Corporation | $ | 318,682 | |||||
| 6,381 | SUPERVALU, Inc. | 61,449 | ||||||
| 16,700 | Sysco Corporation | 490,980 | ||||||
| 8,600 | Tyson Foods, Inc. | 148,092 | ||||||
| 26,100 | Walgreen Company | 1,016,856 | ||||||
| 55,400 | Wal-Mart Stores, Inc. | 2,987,722 | ||||||
| 4,200 | Whole Foods Market, Inc.a | 212,478 | ||||||
Total Consumer Staples | 34,425,461 | |||||||
| Energy (11.7%) | ||||||||
| 13,972 | Anadarko Petroleum Corporation | 1,064,107 | ||||||
| 10,820 | Apache Corporation | 1,290,069 | ||||||
| 12,183 | Baker Hughes, Inc. | 696,502 | ||||||
| 3,000 | Cabot Oil & Gas Corporation | 113,550 | ||||||
| 6,800 | Cameron International Corporationa | 344,964 | ||||||
| 18,500 | Chesapeake Energy Corporation | 479,335 | ||||||
| 56,896 | Chevron Corporation | 5,191,760 | ||||||
| 41,549 | ConocoPhillips | 2,829,487 | ||||||
| 6,300 | CONSOL Energy, Inc. | 307,062 | ||||||
| 11,400 | Denbury Resources, Inc.a | 217,626 | ||||||
| 12,200 | Devon Energy Corporation | 957,822 | ||||||
| 1,900 | Diamond Offshore Drilling, Inc.b | 127,053 | ||||||
| 20,318 | El Paso Corporation | 279,576 | ||||||
| 7,100 | EOG Resources, Inc. | 649,011 | ||||||
| 4,200 | EQT Corporation | 188,328 | ||||||
| 142,690 | Exxon Mobil Corporation | 10,433,493 | ||||||
| 3,300 | FMC Technologies, Inc.a | 293,403 | ||||||
| 25,700 | Halliburton Company | 1,049,331 | ||||||
| 3,100 | Helmerich & Payne, Inc. | 150,288 | ||||||
| 8,400 | Hess Corporation | 642,936 | ||||||
| 20,068 | Marathon Oil Corporation | 743,118 | ||||||
| 3,000 | Massey Energy Company | 160,950 | ||||||
| 5,400 | Murphy Oil Corporation | 402,570 | ||||||
| 8,100 | Nabors Industries, Ltd.a | 190,026 | ||||||
| 11,800 | National Oilwell Varco, Inc. | 793,550 | ||||||
| 3,800 | Newfield Exploration Companya | 274,018 | ||||||
| 4,900 | Noble Energy, Inc. | 421,792 | ||||||
| 22,900 | Occidental Petroleum Corporation | 2,246,490 | ||||||
| 7,600 | Peabody Energy Corporation | 486,248 | ||||||
| 3,200 | Pioneer Natural Resources Company | 277,824 | ||||||
| 5,000 | QEP Resources, Inc. | 181,550 | ||||||
| 4,600 | Range Resources Corporation | 206,908 | ||||||
| 3,600 | Rowan Companies, Inc.a | 125,676 | ||||||
| 38,594 | Schlumberger, Ltd. | 3,222,599 | ||||||
| 9,800 | Southwestern Energy Companya | 366,814 | ||||||
| 18,704 | Spectra Energy Corporation | 467,413 | ||||||
| 3,500 | Sunoco, Inc. | 141,085 | ||||||
| 4,100 | Tesoro Corporationa | 76,014 | ||||||
| 16,200 | Valero Energy Corporation | 374,544 | ||||||
| 16,600 | Williams Companies, Inc. | 410,352 | ||||||
Total Energy | 38,875,244 | |||||||
| Financials (15.6%) | ||||||||
| 9,600 | ACE, Ltd. | 597,600 | ||||||
| 13,300 | AFLAC, Inc. | 750,519 | ||||||
| 15,382 | Allstate Corporation | 490,378 | ||||||
| 29,600 | American Express Company | 1,270,432 | ||||||
| 4,067 | American International Group, Inc.a,b | 234,341 | ||||||
| 7,000 | Ameriprise Financial, Inc. | 402,850 | ||||||
| 9,425 | Aon Corporation | 433,644 | ||||||
| 3,336 | Apartment Investment & Management Company | 86,202 | ||||||
| 3,100 | Assurant, Inc. | 119,412 | ||||||
| 2,501 | AvalonBay Communities, Inc. | 281,488 | ||||||
| 285,310 | Bank of America Corporation | 3,806,035 | ||||||
| 35,152 | Bank of New York Mellon Corporation | 1,061,590 | ||||||
| 19,700 | BB&T Corporation | 517,913 | ||||||
| 48,869 | Berkshire Hathaway, Inc.a | 3,914,896 | ||||||
| 3,900 | Boston Properties, Inc. | 335,790 | ||||||
| 12,873 | Capital One Financial Corporation | 547,875 | ||||||
| 8,200 | CB Richard Ellis Group, Inc.a | 167,936 | ||||||
| 28,325 | Charles Schwab Corporation | 484,641 | ||||||
| 8,600 | Chubb Corporation | 512,904 | ||||||
| 4,738 | Cincinnati Financial Corporation | 150,147 | ||||||
| 822,339 | Citigroup, Inc.a | 3,889,663 | ||||||
| 1,900 | CME Group, Inc. | 611,325 | ||||||
| 5,050 | Comerica, Inc. | 213,312 | ||||||
| 15,625 | Discover Financial Services | 289,531 | ||||||
| 5,710 | E*TRADE Financial Corporationa | 91,360 | ||||||
| 8,000 | Equity Residential | 415,600 | ||||||
| 2,700 | Federated Investors, Inc.b | 70,659 | ||||||
| 22,594 | Fifth Third Bancorp | 331,680 | ||||||
| 7,081 | First Horizon National Corporationa | 83,414 | ||||||
| 4,100 | Franklin Resources, Inc. | 455,961 | ||||||
| 13,900 | Genworth Financial, Inc.a | 182,646 | ||||||
| 14,400 | Goldman Sachs Group, Inc. | 2,421,504 | ||||||
| 12,600 | Hartford Financial Services Group, Inc. | 333,774 | ||||||
| 9,700 | Health Care Property Investors, Inc. | 356,863 | ||||||
| 4,200 | Health Care REIT, Inc. | 200,088 | ||||||
| 19,041 | Host Hotels & Resorts, Inc. | 340,263 | ||||||
| 15,600 | Hudson City Bancorp, Inc. | 198,744 | ||||||
| 23,371 | Huntington Bancshares, Inc. | 160,559 | ||||||
| 2,000 | IntercontinentalExchange, Inc.a | 238,300 | ||||||
| 13,200 | Invesco, Ltd. | 317,592 | ||||||
| 110,548 | J.P. Morgan Chase & Company | 4,689,446 | ||||||
| 5,400 | Janus Capital Group, Inc. | 70,038 | ||||||
| 25,300 | KeyCorp | 223,905 | ||||||
| 11,700 | Kimco Realty Corporation | 211,068 | ||||||
| 4,400 | Legg Mason, Inc. | 159,588 | ||||||
| 5,500 | Leucadia National Corporation | 160,490 | ||||||
| 8,894 | Lincoln National Corporation | 247,342 | ||||||
| 8,900 | Loews Corporation | 346,299 | ||||||
| 3,300 | M&T Bank Corporation | 287,265 | ||||||
| 15,600 | Marsh & McLennan Companies, Inc. | 426,504 | ||||||
| 15,200 | Marshall & Ilsley Corporation | 105,184 | ||||||
| 25,632 | MetLife, Inc. | 1,139,086 | ||||||
| 5,800 | Moody’s Corporation | 153,932 | ||||||
| 42,850 | Morgan Stanley | 1,165,948 | ||||||
| 4,200 | NASDAQ OMX Group, Inc.a | 99,582 | ||||||
| 6,800 | Northern Trust Corporation | 376,788 | ||||||
| 7,400 | NYSE Euronext | 221,852 | ||||||
| 11,100 | People’s United Financial, Inc. | 155,511 | ||||||
| 4,600 | Plum Creek Timber Company, Inc.b | 172,270 | ||||||
| 14,814 | PNC Financial Services Group, Inc. | 899,506 | ||||||
| 9,000 | Principal Financial Group, Inc. | 293,040 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
226
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.6%) | Value | ||||||
| Financials (15.6%) - continued | ||||||||
| 19,200 | Progressive Corporation | $ | 381,504 | |||||
| 16,200 | ProLogis | 233,928 | ||||||
| 13,700 | Prudential Financial, Inc. | 804,327 | ||||||
| 3,900 | Public Storage, Inc. | 395,538 | ||||||
| 35,877 | Regions Financial Corporation | 251,139 | ||||||
| 8,244 | Simon Property Group, Inc. | 820,196 | ||||||
| 14,000 | SLM Corporationa | 176,260 | ||||||
| 14,200 | State Street Corporation | 658,028 | ||||||
| 14,100 | SunTrust Banks, Inc. | 416,091 | ||||||
| 7,268 | T. Rowe Price Group, Inc. | 469,077 | ||||||
| 2,200 | Torchmark Corporation | 131,428 | ||||||
| 12,981 | Travelers Companies, Inc. | 723,172 | ||||||
| 54,285 | U.S. Bancorp | 1,464,066 | ||||||
| 9,124 | Unum Group | 220,983 | ||||||
| 4,400 | Ventas, Inc. | 230,912 | ||||||
| 4,597 | Vornado Realty Trust | 383,068 | ||||||
| 148,340 | Wells Fargo & Company | 4,597,057 | ||||||
| 9,200 | XL Group plc | 200,744 | ||||||
| 5,100 | Zions Bancorporationb | 123,573 | ||||||
Total Financials | 51,655,166 | |||||||
| Health Care (10.5%) | ||||||||
| 43,700 | Abbott Laboratories | 2,093,667 | ||||||
| 11,396 | Aetna, Inc. | 347,692 | ||||||
| 8,700 | Allergan, Inc. | 597,429 | ||||||
| 7,900 | AmerisourceBergen Corporation | 269,548 | ||||||
| 26,640 | Amgen, Inc.a | 1,462,536 | ||||||
| 16,400 | Baxter International, Inc. | 830,168 | ||||||
| 6,500 | Becton, Dickinson and Company | 549,380 | ||||||
| 6,700 | Biogen Idec, Inc.a | 449,235 | ||||||
| 43,750 | Boston Scientific Corporationa | 331,187 | ||||||
| 48,798 | Bristol-Myers Squibb Company | 1,292,171 | ||||||
| 2,600 | C.R. Bard, Inc. | 238,602 | ||||||
| 9,975 | Cardinal Health, Inc. | 382,142 | ||||||
| 6,387 | CareFusion Corporationa | 164,146 | ||||||
| 13,300 | Celgene Corporationa | 786,562 | ||||||
| 2,200 | Cephalon, Inc.a | 135,784 | ||||||
| 2,000 | Cerner Corporationa | 189,480 | ||||||
| 7,600 | CIGNA Corporation | 278,616 | ||||||
| 4,200 | Coventry Health Care, Inc.a | 110,880 | ||||||
| 2,800 | DaVita, Inc.a | 194,572 | ||||||
| 4,000 | DENTSPLY International, Inc. | 136,680 | ||||||
| 28,800 | Eli Lilly and Company | 1,009,152 | ||||||
| 14,900 | Express Scripts, Inc.a | 805,345 | ||||||
| 8,200 | Forest Laboratories, Inc.a | 262,236 | ||||||
| 7,300 | Genzyme Corporationa | 519,760 | ||||||
| 22,900 | Gilead Sciences, Inc.a | 829,896 | ||||||
| 4,680 | Hospira, Inc.a | 260,629 | ||||||
| 4,700 | Humana, Inc.a | 257,278 | ||||||
| 1,100 | Intuitive Surgical, Inc.a | 283,525 | ||||||
| 77,640 | Johnson & Johnson | 4,802,034 | ||||||
| 7,300 | King Pharmaceuticals, Inc.a | 102,565 | ||||||
| 2,800 | Laboratory Corporation of America Holdingsa | 246,176 | ||||||
| 5,343 | Life Technologies Corporationa | 296,537 | ||||||
| 7,142 | McKesson Corporation | 502,654 | ||||||
| 11,986 | Medco Health Solutions, Inc.a | 734,382 | ||||||
| 30,500 | Medtronic, Inc. | 1,131,245 | ||||||
| 87,083 | Merck & Company, Inc. | 3,138,471 | ||||||
| 12,400 | Mylan, Inc.a | 262,012 | ||||||
| 2,800 | Patterson Companies, Inc. | 85,764 | ||||||
| 3,400 | PerkinElmer, Inc. | 87,788 | ||||||
| 227,160 | Pfizer, Inc. | 3,977,572 | ||||||
| 4,000 | Quest Diagnostics, Inc. | 215,880 | ||||||
| 9,684 | St. Jude Medical, Inc.a | 413,991 | ||||||
| 9,600 | Stryker Corporation | 515,520 | ||||||
| 14,200 | Tenet Healthcare Corporationa | 94,998 | ||||||
| 11,200 | Thermo Fisher Scientific, Inc.a | 620,032 | ||||||
| 31,100 | UnitedHealth Group, Inc. | 1,123,021 | ||||||
| 3,300 | Varian Medical Systems, Inc.a | 228,624 | ||||||
| 2,500 | Waters Corporationa | 194,275 | ||||||
| 3,600 | Watson Pharmaceuticals, Inc.a | 185,940 | ||||||
| 11,100 | WellPoint, Inc.a | 631,146 | ||||||
| 5,550 | Zimmer Holdings, Inc.a | 297,924 | ||||||
Total Health Care | 34,956,849 | |||||||
| Industrials (10.7%) | ||||||||
| 20,200 | 3M Company | 1,743,260 | ||||||
| 3,000 | Avery Dennison Corporation | 127,020 | ||||||
| 20,760 | Boeing Company | 1,354,798 | ||||||
| 4,700 | C.H. Robinson Worldwide, Inc. | 376,893 | ||||||
| 17,900 | Caterpillar, Inc. | 1,676,514 | ||||||
| 3,700 | Cintas Corporation | �� | 103,452 | |||||
| 10,500 | CSX Corporation | 678,405 | ||||||
| 5,600 | Cummins, Inc. | 616,056 | ||||||
| 15,100 | Danaher Corporation | 712,267 | ||||||
| 12,000 | Deere & Company | 996,600 | ||||||
| 5,300 | Dover Corporation | 309,785 | ||||||
| 1,500 | Dun & Bradstreet Corporation | 123,135 | ||||||
| 4,700 | Eaton Corporation | 477,097 | ||||||
| 21,300 | Emerson Electric Company | 1,217,721 | ||||||
| 3,500 | Equifax, Inc. | 124,600 | ||||||
| 6,000 | Expeditors International of Washington, Inc. | 327,600 | ||||||
| 4,100 | Fastenal Companyb | 245,631 | ||||||
| 8,860 | FedEx Corporation | 824,069 | ||||||
| 1,500 | First Solar, Inc.a,b | 195,210 | ||||||
| 1,500 | Flowserve Corporation | 178,830 | ||||||
| 5,000 | Fluor Corporation | 331,300 | ||||||
| 10,700 | General Dynamics Corporation | 759,272 | ||||||
| 301,500 | General Electric Company | 5,514,435 | ||||||
| 3,500 | Goodrich Corporation | 308,245 | ||||||
| 22,075 | Honeywell International, Inc. | 1,173,507 | ||||||
| 14,000 | Illinois Tool Works, Inc. | 747,600 | ||||||
| 9,100 | Ingersoll-Rand plc | 428,519 | ||||||
| 5,700 | Iron Mountain, Inc. | 142,557 | ||||||
| 5,200 | ITT Corporation | 270,972 | ||||||
| 3,600 | Jacobs Engineering Group, Inc.a | 165,060 | ||||||
| 3,200 | L-3 Communications Holdings, Inc. | 225,568 | ||||||
| 8,300 | Lockheed Martin Corporation | 580,253 | ||||||
| 10,200 | Masco Corporation | 129,132 | ||||||
| 10,200 | Norfolk Southern Corporation | 640,764 | ||||||
| 8,198 | Northrop Grumman Corporation | 531,066 | ||||||
| 10,237 | PACCAR, Inc. | 587,809 | ||||||
| 3,200 | Pall Corporation | 158,656 | ||||||
| 4,575 | Parker Hannifin Corporation | 394,822 | ||||||
| 5,700 | Pitney Bowes, Inc. | 137,826 | ||||||
| 4,000 | Precision Castparts Corporation | 556,840 | ||||||
| 6,200 | Quanta Services, Inc.a | 123,504 | ||||||
| 6,000 | R.R. Donnelley & Sons Company | 104,820 | ||||||
| 10,300 | Raytheon Company | 477,302 | ||||||
| 8,820 | Republic Services, Inc. | 263,365 | ||||||
| 4,200 | Robert Half International, Inc. | 128,520 | ||||||
| 4,000 | Rockwell Automation, Inc. | 286,840 | ||||||
| 4,400 | Rockwell Collins, Inc. | 256,344 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
227
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.6%) | Value | ||||||
| Industrials (10.7%) - continued | ||||||||
| 2,600 | Roper Industries, Inc. | $ | 198,718 | |||||
| 1,400 | Ryder System, Inc. | 73,696 | ||||||
| 21,800 | Southwest Airlines Company | 282,964 | ||||||
| 2,500 | Stericycle, Inc.a | 202,300 | ||||||
| 7,800 | Textron, Inc.b | 184,392 | ||||||
| 13,900 | Tyco International, Ltd. | 576,016 | ||||||
| 13,900 | Union Pacific Corporation | 1,287,974 | ||||||
| 27,900 | United Parcel Service, Inc. | 2,024,982 | ||||||
| 26,100 | United Technologies Corporation | 2,054,592 | ||||||
| 1,600 | W.W. Grainger, Inc. | 220,976 | ||||||
| 13,399 | Waste Management, Inc. | 494,021 | ||||||
Total Industrials | 35,434,472 | |||||||
| Information Technology (18.3%) | ||||||||
| 14,400 | Adobe Systems, Inc.a | 443,232 | ||||||
| 16,600 | Advanced Micro Devices, Inc.a | 135,788 | ||||||
| 9,715 | Agilent Technologies, Inc.a | 402,492 | ||||||
| 5,100 | Akamai Technologies, Inc.a | 239,955 | ||||||
| 8,900 | Altera Corporation | 316,662 | ||||||
| 4,900 | Amphenol Corporation | 258,622 | ||||||
| 8,500 | Analog Devices, Inc. | 320,195 | ||||||
| 25,900 | Apple, Inc.a | 8,354,304 | ||||||
| 38,300 | Applied Materials, Inc. | 538,115 | ||||||
| 6,400 | Autodesk, Inc.a | 244,480 | ||||||
| 13,900 | Automatic Data Processing, Inc. | 643,292 | ||||||
| 5,100 | BMC Software, Inc.a | 240,414 | ||||||
| 12,800 | Broadcom Corporation | 557,440 | ||||||
| 11,012 | CA, Inc. | 269,133 | ||||||
| 156,800 | Cisco Systems, Inc.a | 3,172,064 | ||||||
| 5,400 | Citrix Systems, Inc.a | 369,414 | ||||||
| 8,500 | Cognizant Technology Solutions Corporationa | 622,965 | ||||||
| 4,300 | Computer Sciences Corporation | 213,280 | ||||||
| 6,500 | Compuware Corporationa | 75,855 | ||||||
| 44,300 | Corning, Inc. | 855,876 | ||||||
| 47,900 | Dell, Inc.a | 649,045 | ||||||
| 32,500 | eBay, Inc.a | 904,475 | ||||||
| 9,500 | Electronic Arts, Inc.a | 155,610 | ||||||
| 58,486 | EMC Corporationa | 1,339,329 | ||||||
| 2,200 | F5 Networks, Inc.a | 286,352 | ||||||
| 7,600 | Fidelity National Information Services, Inc. | 208,164 | ||||||
| 4,300 | Fiserv, Inc.a | 251,808 | ||||||
| 4,500 | FLIR Systems, Inc.a | 133,875 | ||||||
| 4,300 | GameStop Corporationa | 98,384 | ||||||
| 7,000 | Google, Inc.a | 4,157,790 | ||||||
| 3,600 | Harris Corporation | 163,080 | ||||||
| 64,186 | Hewlett-Packard Company | 2,702,231 | ||||||
| 157,800 | Intel Corporation | 3,318,534 | ||||||
| 35,100 | International Business Machines Corporation | 5,151,276 | ||||||
| 8,000 | Intuit, Inc.a | 394,400 | ||||||
| 5,600 | Jabil Circuit, Inc. | 112,504 | ||||||
| 6,362 | JDS Uniphase Corporationa | 92,122 | ||||||
| 14,800 | Juniper Networks, Inc.a | 546,416 | ||||||
| 4,800 | KLA-Tencor Corporation | 185,472 | ||||||
| 2,300 | Lexmark International, Inc.a | 80,086 | ||||||
| 6,400 | Linear Technology Corporation | 221,376 | ||||||
| 18,300 | LSI Corporationa | 109,617 | ||||||
| 2,700 | MasterCard, Inc. | 605,097 | ||||||
| 4,400 | McAfee, Inc.a | 203,764 | ||||||
| 6,600 | MEMC Electronic Materials, Inc.a | 74,316 | ||||||
| 5,300 | Microchip Technology, Inc.b | 181,313 | ||||||
| 24,600 | Micron Technology, Inc.a | 197,292 | ||||||
| 212,800 | Microsoft Corporation | 5,941,376 | ||||||
| 4,000 | Molex, Inc.b | 90,880 | ||||||
| 3,700 | Monster Worldwide, Inc.a | 87,431 | ||||||
| 66,890 | Motorola, Inc.a | 606,692 | ||||||
| 7,100 | National Semiconductor Corporation | 97,696 | ||||||
| 10,300 | NetApp, Inc.a | 566,088 | ||||||
| 10,800 | Novell, Inc.a | 63,936 | ||||||
| 2,600 | Novellus Systems, Inc.a | 84,032 | ||||||
| 16,550 | NVIDIA Corporationa | 254,870 | ||||||
| 109,437 | Oracle Corporation | 3,425,378 | ||||||
| 9,200 | Paychex, Inc. | 284,372 | ||||||
| 3,100 | QLogic Corporationa | 52,762 | ||||||
| 45,700 | QUALCOMM, Inc. | 2,261,693 | ||||||
| 5,500 | Red Hat, Inc.a | 251,075 | ||||||
| 8,600 | SAIC, Inc.a | 136,396 | ||||||
| 3,300 | Salesforce.com, Inc.a | 435,600 | ||||||
| 6,700 | SanDisk Corporationa | 334,062 | ||||||
| 22,224 | Symantec Corporationa | 372,030 | ||||||
| 10,900 | Tellabs, Inc. | 73,902 | ||||||
| 4,700 | Teradata Corporationa | 193,452 | ||||||
| 5,300 | Teradyne, Inc.a | 74,412 | ||||||
| 33,400 | Texas Instruments, Inc. | 1,085,500 | ||||||
| 5,000 | Total System Services, Inc. | 76,900 | ||||||
| 4,900 | VeriSign, Inc. | 160,083 | ||||||
| 13,700 | Visa, Inc. | 964,206 | ||||||
| 6,500 | Western Digital Corporationa | 220,350 | ||||||
| 18,780 | Western Union Company | 348,745 | ||||||
| 39,585 | Xerox Corporation | 456,019 | ||||||
| 7,500 | Xilinx, Inc. | 217,350 | ||||||
| 37,200 | Yahoo!, Inc.a | 618,636 | ||||||
Total Information Technology | 60,633,230 | |||||||
| Materials (3.7%) | ||||||||
| 6,000 | Air Products and Chemicals, Inc. | 545,700 | ||||||
| 2,200 | Airgas, Inc. | 137,412 | ||||||
| 3,200 | AK Steel Holding Corporation | 52,384 | ||||||
| 29,364 | Alcoa, Inc. | 451,912 | ||||||
| 2,769 | Allegheny Technologies, Inc. | 152,793 | ||||||
| 2,600 | Ball Corporation | 176,930 | ||||||
| 3,000 | Bemis Company, Inc. | 97,980 | ||||||
| 2,100 | CF Industries Holdings, Inc. | 283,815 | ||||||
| 3,800 | Cliffs Natural Resources, Inc. | 296,438 | ||||||
| 32,793 | Dow Chemical Company | 1,119,553 | ||||||
| 25,811 | E.I. du Pont de Nemours and Company | 1,287,453 | ||||||
| 2,100 | Eastman Chemical Company | 176,568 | ||||||
| 6,500 | Ecolab, Inc. | 327,730 | ||||||
| 2,100 | FMC Corporation | 167,769 | ||||||
| 13,396 | Freeport-McMoRan Copper & Gold, Inc. | 1,608,726 | ||||||
| 2,300 | International Flavors & Fragrances, Inc. | 127,857 | ||||||
| 12,371 | International Paper Company | 336,986 | ||||||
| 4,981 | MeadWestvaco Corporation | 130,303 | ||||||
| 15,178 | Monsanto Company | 1,056,996 | ||||||
| 13,948 | Newmont Mining Corporation | 856,826 | ||||||
| 8,900 | Nucor Corporation | 389,998 | ||||||
| 4,600 | Owens-Illinois, Inc.a | 141,220 | ||||||
| 4,700 | PPG Industries, Inc. | 395,129 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
228
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Shares | Common Stock (97.6%) | Value | ||||||
| Materials (3.7%) - continued | ||||||||
| 8,600 | Praxair, Inc. | $ | 821,042 | |||||
| 4,652 | Sealed Air Corporation | 118,393 | ||||||
| 3,500 | Sigma-Aldrich Corporation | 232,960 | ||||||
| 2,600 | Titanium Metals Corporationa | 44,668 | ||||||
| 4,000 | United States Steel Corporation | 233,680 | ||||||
| 3,600 | Vulcan Materials Company | 159,696 | ||||||
| 15,382 | Weyerhaeuser Company | 291,181 | ||||||
Total Materials | 12,220,098 | |||||||
| Telecommunications Services (3.0%) | ||||||||
| 11,300 | American Tower Corporationa | 583,532 | ||||||
| 167,139 | AT&T, Inc. | 4,910,544 | ||||||
| 8,625 | CenturyLink, Inc. | 398,216 | ||||||
| 29,378 | Frontier Communications Corporation | 285,848 | ||||||
| 7,600 | MetroPCS Communications, Inc.a | 95,988 | ||||||
| 50,672 | Qwest Communications International, Inc. | 385,614 | ||||||
| 85,420 | Sprint Nextel Corporationa | 361,327 | ||||||
| 79,896 | Verizon Communications, Inc. | 2,858,679 | ||||||
| 14,407 | Windstream Corporation | 200,833 | ||||||
Total Telecommunications Services | 10,080,581 | |||||||
| Utilities (3.3%) | ||||||||
| 19,200 | AES Corporationa | 233,856 | ||||||
| 4,900 | Allegheny Energy, Inc. | 118,776 | ||||||
| 7,000 | Ameren Corporation | 197,330 | ||||||
| 13,560 | American Electric Power Company, Inc. | 487,889 | ||||||
| 12,073 | CenterPoint Energy, Inc. | 189,787 | ||||||
| 7,000 | CMS Energy Corporation | 130,200 | ||||||
| 8,200 | Consolidated Edison, Inc. | 406,474 | ||||||
| 5,700 | Constellation Energy Group, Inc. | 174,591 | ||||||
| 16,394 | Dominion Resources, Inc. | 700,352 | ||||||
| 4,800 | DTE Energy Company | 217,536 | ||||||
| 38,208 | Duke Energy Corporation | 680,484 | ||||||
| 9,300 | Edison International, Inc. | 358,980 | ||||||
| 5,200 | Entergy Corporation | 368,316 | ||||||
| 18,724 | Exelon Corporation | 779,667 | ||||||
| 8,700 | FirstEnergy Corporationb | 322,074 | ||||||
| 2,215 | Integrys Energy Group, Inc. | 107,450 | ||||||
| 11,700 | NextEra Energy, Inc. | 608,283 | ||||||
| 1,300 | Nicor, Inc. | 64,896 | ||||||
| 8,309 | NiSource, Inc. | 146,405 | ||||||
| 5,100 | Northeast Utilities | 162,588 | ||||||
| 7,100 | NRG Energy, Inc.a | 138,734 | ||||||
| 3,100 | ONEOK, Inc. | 171,957 | ||||||
| 6,800 | Pepco Holdings, Inc. | 124,100 | ||||||
| 11,100 | PG&E Corporation | 531,024 | ||||||
| 3,100 | Pinnacle West Capital Corporation | 128,495 | ||||||
| 13,800 | PPL Corporation | 363,216 | ||||||
| 8,320 | Progress Energy, Inc. | 361,754 | ||||||
| 14,500 | Public Service Enterprise Group, Inc. | 461,245 | ||||||
| 3,300 | SCANA Corporation | 133,980 | ||||||
| 6,875 | Sempra Energy | 360,800 | ||||||
| 23,700 | Southern Company | 906,051 | ||||||
| 6,500 | TECO Energy, Inc. | 115,700 | ||||||
| 3,400 | Wisconsin Energy Corporation | 200,124 | ||||||
| 13,205 | Xcel Energy, Inc. | 310,978 | ||||||
Total Utilities | 10,764,092 | |||||||
Total Common Stock (cost $285,826,749) | 323,578,738 | |||||||
Collateral Held for Securities Loaned (0.5%) | ||||||||
| 1,725,760 | Thrivent Financial Securities Lending Trust | 1,725,760 | ||||||
Total Collateral Held for Securities Loaned (cost $1,725,760) | 1,725,760 | |||||||
Principal | Short-Term Investments (2.4%)c | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.192%, 3/14/2011d,e | 299,891 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 400,000 | 0.155%, 3/14/2011d,e | 399,876 | ||||||
Liberty Street Funding, LLC | ||||||||
| 7,145,000 | 0.130%, 1/3/2011d | 7,144,948 | ||||||
Total Short-Term Investments (at amortized cost) | 7,844,715 | |||||||
Total Investments (cost $295,397,224) 100.5% | $ | 333,149,213 | ||||||
Other Assets and Liabilities, Net (0.5%) | (1,619,722 | ) | ||||||
Total Net Assets 100.0% | $ | 331,529,491 | ||||||
| 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. |
| d | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| e | At December 31, 2010, $699,767 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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
229
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2010
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 60,220,717 | ||
Gross unrealized depreciation | (46,184,564 | ) | ||
Net unrealized appreciation (depreciation) | $ | 14,036,153 | ||
Cost for federal income tax purposes | $ | 319,113,060 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 34,533,545 | 34,533,545 | — | — | ||||||||||||
Consumer Staples | 34,425,461 | 34,425,461 | — | — | ||||||||||||
Energy | 38,875,244 | 38,875,244 | — | — | ||||||||||||
Financials | 51,655,166 | 51,655,166 | — | — | ||||||||||||
Health Care | 34,956,849 | 34,956,849 | — | — | ||||||||||||
Industrials | 35,434,472 | 35,434,472 | — | — | ||||||||||||
Information Technology | 60,633,230 | 60,633,230 | — | — | ||||||||||||
Materials | 12,220,098 | 12,220,098 | — | — | ||||||||||||
Telecommunications Services | 10,080,581 | 10,080,581 | — | — | ||||||||||||
Utilities | 10,764,092 | 10,764,092 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,725,760 | 1,725,760 | — | — | ||||||||||||
Short-Term Investments | 7,844,715 | — | 7,844,715 | — | ||||||||||||
Total | $ | 333,149,213 | $ | 325,304,498 | $ | 7,844,715 | $ | — | ||||||||
Other Financial Instruments | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 86,149 | 86,149 | — | — | ||||||||||||
Total Asset Derivatives | $ | 86,149 | $ | 86,149 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 25 | March 2011 | $ | 7,745,101 | $ | 7,831,250 | $ | 86,149 | ||||||||||||
Total Futures Contracts | $ | 86,149 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 86,149 | ||||
Total Equity Contracts | 86,149 | |||||
Total Asset Derivatives | $ | 86,149 | ||||
| * | 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.
230
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 658,061 | ||||
Total Equity Contracts | 658,061 | |||||
Total | $ | 658,061 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | 45,994 | ||||
Total Equity Contracts | 45,994 | |||||
Total | $ | 45,994 | ||||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 4,113,339 | 1.3 | % | ||||
| * | 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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 2,928,421 | $ | 34,347,802 | $ | 35,550,463 | 1,725,760 | $ | 1,725,760 | $ | 19,293 | |||||||||||||
Total Value and Income Earned | 2,928,421 | 1,725,760 | 19,293 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
231
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (82.4%) | Value | ||||||
| Consumer Discretionary (9.2%) | |||||||
| 3,800 | Advance Auto Parts, Inc. | $ | 251,370 | |||||
| 3,400 | Autoliv, Inc.a | 268,396 | ||||||
| 11,400 | Brinker International, Inc. | 238,032 | ||||||
| 5,100 | Coach, Inc. | 282,081 | ||||||
| 5,100 | Darden Restaurants, Inc. | 236,844 | ||||||
| 4,900 | Family Dollar Stores, Inc. | 243,579 | ||||||
| 3,800 | Genuine Parts Company | 195,092 | ||||||
| 5,500 | Guess ?, Inc. | 260,260 | ||||||
| 4,900 | Hasbro, Inc. | 231,182 | ||||||
| 10,300 | Hillenbrand, Inc. | 214,343 | ||||||
| 5,800 | Home Depot, Inc. | 203,348 | ||||||
| 3,000 | Honda Motor Company, Ltd. ADR | 118,500 | ||||||
| 8,200 | Limited Brands, Inc. | 251,986 | ||||||
| 1,400 | Magna International, Inc. | 72,800 | ||||||
| 6,000 | Marriott International, Inc. | 249,240 | ||||||
| 5,400 | McDonald’s Corporation | 414,504 | ||||||
| 5,000 | McGraw-Hill Companies, Inc. | 182,050 | ||||||
| 2,700 | NIKE, Inc. | 230,634 | ||||||
| 3,600 | Pearson plc ADR | 57,204 | ||||||
| 6,300 | PetSmart, Inc. | 250,866 | ||||||
| 3,400 | Polaris Industries, Inc. | 265,268 | ||||||
| 4,700 | Scripps Networks Interactive | 243,225 | ||||||
| 2,400 | Sherwin-Williams Company | 201,000 | ||||||
| 6,200 | Sotheby’s Holdings, Inc. | 279,000 | ||||||
| 8,500 | Starbucks Corporation | 273,105 | ||||||
| 600 | Starwood Hotels & Resorts Worldwide, Inc. | 36,468 | ||||||
| 1,000 | Toyota Motor Corporation ADR | 78,630 | ||||||
| 5,700 | Tractor Supply Company | 276,393 | ||||||
| 2,100 | VF Corporation | 180,978 | ||||||
| 7,000 | Williams-Sonoma, Inc. | 249,830 | ||||||
| 7,600 | Wolverine World Wide, Inc. | 242,288 | ||||||
| 4,700 | Yum! Brands, Inc. | 230,535 | ||||||
| Total Consumer Discretionary | 7,009,031 | |||||||
| Consumer Staples (8.7%) | |||||||
| 12,700 | Archer-Daniels-Midland Companya | 382,016 | ||||||
| 12,700 | Avon Products, Inc. | 369,062 | ||||||
| 1,400 | British American Tobacco plc ADR | 108,780 | ||||||
| 6,500 | Brown-Forman Corporationa | 452,530 | ||||||
| 9,800 | Casey’s General Stores, Inc. | 416,598 | ||||||
| 6,000 | Clorox Company | 379,680 | ||||||
| 10,000 | Coca-Cola Enterprises, Inc. | 250,300 | ||||||
| 2,300 | Colgate-Palmolive Company | 184,851 | ||||||
| 5,900 | Corn Products International, Inc. | 271,400 | ||||||
| 6,200 | Costco Wholesale Corporation | 447,702 | ||||||
| 2,000 | Delhaize Group SA ADR | 147,420 | ||||||
| 1,400 | Fomento Economico Mexicano SAB de CV ADR | 78,288 | ||||||
| 3,700 | H.J. Heinz Company | 183,002 | ||||||
| 4,900 | Hershey Company | 231,035 | ||||||
| 9,000 | Hormel Foods Corporation | 461,340 | ||||||
| 7,200 | Mead Johnson Nutrition Company | 448,200 | ||||||
| 2,800 | PepsiCo, Inc. | 182,924 | ||||||
| 7,300 | Philip Morris International, Inc. | 427,269 | ||||||
| 6,900 | Sanderson Farms, Inc. | 270,135 | ||||||
| 13,900 | Tyson Foods, Inc. | 239,358 | ||||||
| 3,500 | Unilever NV ADR | 109,900 | ||||||
| 4,200 | Unilever plc ADR | 129,696 | ||||||
| 12,100 | Walgreen Company | 471,416 | ||||||
| Total Consumer Staples | 6,642,902 | |||||||
| Energy (3.3%) | |||||||
| 500 | CNOOC, Ltd. ADR | 119,185 | ||||||
| 2,500 | Core Laboratories NV | 222,625 | ||||||
| 4,600 | Eni SPA ADR | 201,204 | ||||||
| 2,900 | PetroChina Company, Ltd. ADR | 381,321 | ||||||
| 7,000 | Petroleo Brasileiro SA PREF ADR | 239,190 | ||||||
| 2,700 | Repsol YPF SA ADR | 75,438 | ||||||
| 4,600 | Royal Dutch Shell plc ADR, Class A | 307,188 | ||||||
| 5,900 | Royal Dutch Shell plc ADR, Class B | 393,353 | ||||||
| 15,900 | RPC, Inc. | 288,108 | ||||||
| 4,400 | StatoilHydro ASA Sponsor ADR | 104,588 | ||||||
| 2,000 | Suncor Energy, Inc. | 76,580 | ||||||
| 2,600 | Total SA ADR | 139,048 | ||||||
| Total Energy | 2,547,828 | |||||||
| Financials (22.6%) | |||||||
| 6,900 | ACE, Ltd. | 429,525 | ||||||
| 9,300 | Aegon NV ADRb | 57,009 | ||||||
| 4,300 | AFLAC, Inc. | 242,649 | ||||||
| 700 | Agree Realty Corporation | 18,333 | ||||||
| 400 | Alexandria Real Estate Equities, Inc. | 29,304 | ||||||
| 12,700 | Allstate Corporationa | 404,876 | ||||||
| 1,600 | AMB Property Corporation | 50,736 | ||||||
| 1,400 | American Campus Communities, Inc. | 44,464 | ||||||
| 7,200 | American Financial Group, Inc. | 232,488 | ||||||
| 4,600 | Ameriprise Financial, Inc. | 264,730 | ||||||
| 15,300 | Arthur J. Gallagher & Company | 444,924 | ||||||
| 1,000 | Ashford Hospitality Trustb | 9,650 | ||||||
| 13,500 | Aspen Insurance Holdings, Ltd. | 386,370 | ||||||
| 6,000 | Assurant, Inc. | 231,120 | ||||||
| 1,600 | AvalonBay Communities, Inc. | 180,080 | ||||||
| 4,050 | AXA SA ADR | 67,432 | ||||||
| 12,200 | Axis Capital Holdings, Ltd. | 437,736 | ||||||
| 7,100 | Banco Bradesco SA ADRa | 144,059 | ||||||
| 2,900 | Bank of Montreal | 166,953 | ||||||
| 2,100 | Bank of Nova Scotia | 120,120 | ||||||
| 2,400 | Barclays plc ADR | 39,648 | ||||||
| 1,900 | BioMed Realty Trust, Inc. | 35,435 | ||||||
| 18,700 | BlackRock Kelso Capital Corporation | 206,822 | ||||||
| 2,000 | Boston Properties, Inc. | 172,200 | ||||||
| 1,300 | Brandywine Realty Trust | 15,145 | ||||||
| 800 | BRE Properties, Inc. | 34,800 | ||||||
| 1,500 | Brookfield Properties Corporation | 26,295 | ||||||
| 1,000 | Camden Property Trust | 53,980 | ||||||
| 1,000 | CBL & Associates Properties, Inc. | 17,500 | ||||||
| 3,100 | Chubb Corporation | 184,884 | ||||||
| 4,830 | Commerce Bancshares, Inc. | 191,896 | ||||||
| 300 | Corporate Office Properties Trust | 10,485 | ||||||
| 1,100 | Credit Suisse Group ADR | 44,451 | ||||||
| 3,200 | Cullen/Frost Bankers, Inc. | 195,584 | ||||||
| 2,200 | DCT Industrial Trust, Inc. | 11,682 | ||||||
| 800 | Developers Diversified Realty Corporation | 11,272 | ||||||
| 2,000 | DiamondRock Hospitality Companyb | 24,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
232
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (82.4%) | Value | ||||||
| Financials (22.6%) - continued | |||||||
| 1,200 | Digital Realty Trust, Inc. | $ | 61,848 | |||||
| 13,400 | Discover Financial Services | 248,302 | ||||||
| 700 | Duke Realty Corporation | 8,722 | ||||||
| 700 | DuPont Fabros Technology, Inc. | 14,889 | ||||||
| 100 | EastGroup Properties, Inc. | 4,232 | ||||||
| 1,400 | Education Realty Trust, Inc. | 10,878 | ||||||
| 200 | Entertainment Properties Trust | 9,250 | ||||||
| 1,500 | Equity One, Inc. | 27,270 | ||||||
| 3,200 | Equity Residential | 166,240 | ||||||
| 600 | Essex Property Trust, Inc. | 68,532 | ||||||
| 4,700 | Everest Re Group, Ltd. | 398,654 | ||||||
| 1,500 | Federal Realty Investment Trust | 116,895 | ||||||
| 18,400 | Fifth Third Bancorp | 270,112 | ||||||
| 700 | First Industrial Realty Trust, Inc.b | 6,132 | ||||||
| 700 | Forest City Enterprises, Inc.b | 11,683 | ||||||
| 2,100 | Franklin Resources, Inc. | 233,541 | ||||||
| 2,700 | Franklin Street Properties Corporation | 38,475 | ||||||
| 1,000 | Getty Realty Corporation | 31,280 | ||||||
| 1,000 | Glimcher Realty Trust | 8,400 | ||||||
| 1,500 | Government Properties Income Trust | 40,185 | ||||||
| 2,900 | Health Care Property Investors, Inc. | 106,691 | ||||||
| 400 | Health Care REIT, Inc. | 19,056 | ||||||
| 1,100 | Highwoods Properties, Inc. | 35,035 | ||||||
| 400 | Hospitality Properties Trust | 9,216 | ||||||
| 7,800 | Host Hotels & Resorts, Inc. | 139,386 | ||||||
| 2,500 | HSBC Holdings plc ADR | 127,600 | ||||||
| 17,000 | ING Groep NV ADRb | 166,430 | ||||||
| 28,200 | iShares DJ Select Dividend Index Fund | 1,406,052 | ||||||
| 15,700 | iShares Dow Jones U.S. Real Estate Index Fund | 878,572 | ||||||
| 6,900 | Itau Unibanco Holding SA ADR | 165,669 | ||||||
| 1,000 | KB Financial Group, Inc. ADR | 52,890 | ||||||
| 600 | Kilroy Realty Corporation | 21,882 | ||||||
| 4,400 | Kimco Realty Corporation | 79,376 | ||||||
| 1,700 | Kite Realty Group Trust | 9,197 | ||||||
| 1,200 | LaSalle Hotel Properties | 31,680 | ||||||
| 800 | Lexington Realty Trust | 6,360 | ||||||
| 1,800 | Liberty Property Trust | 57,456 | ||||||
| 12,000 | Lloyds Banking Group plc ADRb | 49,320 | ||||||
| 500 | LTC Properties, Inc. | 14,040 | ||||||
| 1,100 | Macerich Company | 52,107 | ||||||
| 1,000 | Mack-Cali Realty Corporation | 33,060 | ||||||
| 3,700 | Manulife Financial Corporation | 63,566 | ||||||
| 700 | Medical Properties Trust, Inc. | 7,581 | ||||||
| 5,600 | MetLife, Inc. | 248,864 | ||||||
| 16,000 | Mitsubishi UFJ Financial Group, Inc. ADR | 86,560 | ||||||
| 1,100 | National Health Investors, Inc. | 49,522 | ||||||
| 1,700 | National Retail Properties, Inc. | 45,050 | ||||||
| 1,300 | Nationwide Health Properties, Inc. | 47,294 | ||||||
| 700 | Omega Healthcare Investors, Inc. | 15,708 | ||||||
| 900 | Post Properties, Inc. | 32,670 | ||||||
| 400 | Potlatch Corporation | 13,020 | ||||||
| 6,000 | ProLogis | 86,640 | ||||||
| 4,200 | Prudential Financial, Inc. | 246,582 | ||||||
| 400 | PS Business Parks, Inc. | 22,288 | ||||||
| 1,900 | Public Storage, Inc. | 192,698 | ||||||
| 500 | Ramco-Gershenson Properties Trust | 6,225 | ||||||
| 600 | Rayonier, Inc. REIT | 31,512 | ||||||
| 700 | Realty Income Corporation | 23,940 | ||||||
| 1,500 | Regency Centers Corporation | 63,360 | ||||||
| 3,500 | �� | Royal Bank of Canada ADR | 183,260 | |||||
| 2,300 | Senior Housing Property Trust | 50,462 | ||||||
| 800 | Shinhan Financial Group Company, Ltd. ADR | 75,056 | ||||||
| 3,100 | Simon Property Group, Inc. | 308,419 | ||||||
| 1,100 | SL Green Realty Corporation | 74,261 | ||||||
| 100 | Sovran Self Storage, Inc. | 3,681 | ||||||
| 41,300 | SPDR DJ Wilshire International Real Estate ETF | 1,607,809 | ||||||
| 4,100 | StanCorp Financial Group, Inc. | 185,074 | ||||||
| 1,700 | Toronto-Dominion Bank | 126,327 | ||||||
| 7,900 | Trustmark Corporation | 196,236 | ||||||
| 2,500 | UBS AG ADRb | 41,175 | ||||||
| 700 | UDR, Inc. | 16,464 | ||||||
| 400 | Universal Health Realty Income Trust | 14,612 | ||||||
| 300 | Urstadt Biddle Properties, Inc. | 5,835 | ||||||
| 100 | U-Store-It Trust | 953 | ||||||
| 35,100 | Vanguard FTSE All-World Ex-US Index Fund | 1,675,323 | ||||||
| 1,900 | Ventas, Inc. | 99,712 | ||||||
| 1,800 | Vornado Realty Trust | 149,994 | ||||||
| 8,000 | Waddell & Reed Financial, Inc. | 282,320 | ||||||
| 200 | Washington Real Estate Investment Trust | 6,198 | ||||||
| 3,500 | Westamerica Bancorporation | 194,145 | ||||||
| 1,600 | Westpac Banking Corporation ADR | 183,136 | ||||||
| Total Financials | 17,238,764 | |||||||
| Health Care (6.8%) | |||||||
| 4,000 | Abbott Laboratories | 191,640 | ||||||
| 6,200 | Allergan, Inc. | 425,754 | ||||||
| 13,100 | AmerisourceBergen Corporationa | 446,972 | ||||||
| 2,400 | AstraZeneca plc ADR | 110,856 | ||||||
| 4,900 | C.R. Bard, Inc. | 449,673 | ||||||
| 12,500 | Cardinal Health, Inc.a | 478,875 | ||||||
| 7,200 | Chemed Corporation | 457,272 | ||||||
| 4,700 | Cooper Companies, Inc. | 264,798 | ||||||
| 11,100 | Eli Lilly and Company | 388,944 | ||||||
| 2,100 | GlaxoSmithKline plc ADR | 82,362 | ||||||
| 6,100 | Hill-Rom Holdings, Inc. | 240,157 | ||||||
| 2,800 | Johnson & Johnson | 173,180 | ||||||
| 6,700 | McKesson Corporation | 471,546 | ||||||
| 4,450 | Novartis AG ADR | 262,328 | ||||||
| 3,400 | Perrigo Company | 215,322 | ||||||
| 3,650 | Sanofi-Aventis ADR | 117,639 | ||||||
| 11,600 | UnitedHealth Group, Inc. | 418,876 | ||||||
| Total Health Care | 5,196,194 | |||||||
| Industrials (15.3%) | |||||||
| 4,600 | 3M Company | 396,980 | ||||||
| 5,700 | A.O. Smith Corporation | 217,056 | ||||||
| 4,600 | ABB, Ltd. ADRb | 103,270 | ||||||
| 9,800 | Actuant Corporation | 260,876 | ||||||
| 6,400 | Alexander & Baldwin, Inc.a | 256,192 | ||||||
| 6,900 | AMETEK, Inc. | 270,825 | ||||||
| 7,200 | Applied Industrial Technologies, Inc. | 233,856 | ||||||
| 5,800 | CLARCOR, Inc. | 248,762 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
233
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (82.4%) | Value | ||||||
| Industrials (15.3%) - continued | |||||||
| 4,500 | Cooper Industries plc | $ | 262,305 | |||||
| 5,700 | Crane Company | 234,099 | ||||||
| 2,400 | Cummins, Inc. | 264,024 | ||||||
| 10,100 | Danaher Corporation | 476,417 | ||||||
| 3,200 | Deere & Company | 265,760 | ||||||
| 4,700 | Donaldson Company, Inc. | 273,916 | ||||||
| 4,200 | Dover Corporation | 245,490 | ||||||
| 2,700 | Eaton Corporation | 274,077 | ||||||
| 4,100 | Emerson Electric Company | 234,397 | ||||||
| 4,800 | Expeditors International of Washington, Inc. | 262,080 | ||||||
| 4,200 | Fastenal Company | 251,622 | ||||||
| 2,000 | Flowserve Corporation | 238,440 | ||||||
| 4,400 | Fluor Corporation | 291,544 | ||||||
| 4,200 | Gardner Denver, Inc. | 289,044 | ||||||
| 6,500 | General Dynamics Corporation | 461,240 | ||||||
| 3,000 | Goodrich Corporation | 264,210 | ||||||
| 5,000 | Honeywell International, Inc. | 265,800 | ||||||
| 4,400 | Hubbell, Inc. | 264,572 | ||||||
| 15,400 | Interface, Inc. | 241,010 | ||||||
| 3,200 | Joy Global, Inc. | 277,600 | ||||||
| 8,800 | KBR, Inc. | 268,136 | ||||||
| 3,200 | Koninklijke Philips Electronics, N.V. | 98,240 | ||||||
| 3,900 | Lincoln Electric Holdings, Inc. | 254,553 | ||||||
| 3,100 | Nordson Corporation | 284,828 | ||||||
| 2,900 | Norfolk Southern Corporation | 182,178 | ||||||
| 3,200 | Parker Hannifin Corporation | 276,160 | ||||||
| 1,700 | Precision Castparts Corporation | 236,657 | ||||||
| 3,700 | Raytheon Company | 171,458 | ||||||
| 3,900 | Regal-Beloit Corporation | 260,364 | ||||||
| 1,000 | Siemens AG ADR | 124,250 | ||||||
| 5,800 | Timken Company | 276,834 | ||||||
| 3,900 | Toro Company | 240,396 | ||||||
| 6,100 | United Parcel Service, Inc. | 442,738 | ||||||
| 5,700 | United Technologies Corporation | 448,704 | ||||||
| 1,900 | W.W. Grainger, Inc. | 262,409 | ||||||
| 10,900 | Werner Enterprises, Inc. | 246,340 | ||||||
| Total Industrials | 11,699,709 | |||||||
| Information Technology (7.3%) | |||||||
| 9,000 | Accenture plc | 436,410 | ||||||
| 19,900 | Activision Blizzard, Inc. | 247,556 | ||||||
| 6,200 | ADTRAN, Inc. | 224,502 | ||||||
| 7,400 | Altera Corporation | 263,292 | ||||||
| 4,500 | Amphenol Corporation | 237,510 | ||||||
| 7,100 | Analog Devices, Inc.a | 267,457 | ||||||
| 19,100 | Applied Materials, Inc. | 268,355 | ||||||
| 8,500 | Broadridge Financial Solutions, Inc. | 186,405 | ||||||
| 10,300 | CA, Inc. | 251,732 | ||||||
| 2,000 | Canon, Inc. ADR | 102,680 | ||||||
| 8,400 | Cognex Corporation | 247,128 | ||||||
| 2,700 | FactSet Research Systems, Inc. | 253,152 | ||||||
| 12,500 | iGATE Corporation | 246,375 | ||||||
| 3,000 | International Business Machines Corporation | 440,280 | ||||||
| 1,000 | MasterCard, Inc. | 224,110 | ||||||
| 11,250 | Nokia Oyj ADR | 116,100 | ||||||
| 14,900 | Oracle Corporation | 466,370 | ||||||
| 1,700 | Research in Motion, Ltd.b | 98,821 | ||||||
| 7,000 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 87,780 | ||||||
| 4,900 | Telefonaktiebolaget LM Ericsson ADR | 56,497 | ||||||
| 7,400 | Tyco Electronics, Ltd. | 261,960 | ||||||
| 21,000 | United Microelectronics Corporation ADR | 66,360 | ||||||
| 12,600 | Western Union Company | 233,982 | ||||||
| 8,500 | Xilinx, Inc. | 246,330 | ||||||
| Total Information Technology | 5,531,144 | |||||||
| Materials (6.8%) | |||||||
| 4,700 | Albemarle Corporation | 262,166 | ||||||
| 5,600 | AptarGroup, Inc. | 266,392 | ||||||
| 2,550 | ArcelorMittal | 97,232 | ||||||
| 12,500 | Bemis Company, Inc. | 408,250 | ||||||
| 4,700 | BHP Billiton plc ADR | 378,350 | ||||||
| 2,900 | BHP Billiton, Ltd. ADRa | 269,468 | ||||||
| 6,700 | Cabot Corporation | 252,255 | ||||||
| 3,000 | CRH plc ADR | 62,400 | ||||||
| 3,900 | Cytec Industries, Inc. | 206,934 | ||||||
| 3,400 | Domtar Corporation | 258,128 | ||||||
| 4,900 | E.I. du Pont de Nemours and Company | 244,412 | ||||||
| 3,000 | Eastman Chemical Company | 252,240 | ||||||
| 3,200 | FMC Corporation | 255,648 | ||||||
| 2,100 | Lubrizol Corporation | 224,448 | ||||||
| 3,800 | Minerals Technologies, Inc. | 248,558 | ||||||
| 600 | POSCO ADR | 64,614 | ||||||
| 3,000 | PPG Industries, Inc. | 252,210 | ||||||
| 3,800 | Rio Tinto plc ADR | 272,308 | ||||||
| 2,100 | Southern Copper Corporation | 102,354 | ||||||
| 2,300 | Teck Resources, Ltd. | 142,209 | ||||||
| 7,700 | Vale SA SP ADR | 266,189 | ||||||
| 7,200 | Westlake Chemical Corporation | 312,984 | ||||||
| 8,900 | Yamana Gold, Inc. | 113,920 | ||||||
| Total Materials | 5,213,669 | |||||||
| Telecommunications Services (1.7%) | |||||||
| 3,000 | America Movil SA de CV ADR | 172,020 | ||||||
| 5,100 | China Telecom Corporation, Ltd. ADR | 253,062 | ||||||
| 10,000 | Nippon Telegraph & Telephone Corporation ADR | 229,400 | ||||||
| 8,000 | NTT DoCoMo, Inc. ADR | 139,360 | ||||||
| 9,300 | Telecom Corporation of New Zealand, Ltd. ADR | 78,120 | ||||||
| 1,200 | Telefonica SA ADR | 82,104 | ||||||
| 11,900 | Vodafone Group plc ADR | 314,517 | ||||||
| Total Telecommunications Services | 1,268,583 | |||||||
| Utilities (0.7%) | |||||||
| 8,700 | DTE Energy Company | 394,284 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
234
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (82.4%) | Value | ||||||
| Utilities (0.7%) - continued | |||||||
| 2,300 | Empresa Nacional de Electricidad SA ADR | $ | 129,283 | |||||
| Total Utilities | 523,567 | |||||||
Total Common Stock (cost $56,261,950) | 62,871,391 | |||||||
| Principal Amount | Long-Term Fixed Income (5.7%) | |||||||
| Consumer Cyclical (0.5%) | |||||||
CVS Caremark Corporation | ||||||||
| 400,000 | 6.302%, 6/1/2037 | 385,500 | ||||||
| Total Consumer Cyclical | 385,500 | |||||||
| Energy (1.0%) | |||||||
Enbridge Energy Partners, LP | ||||||||
| 350,000 | 8.050%, 10/1/2037 | 359,919 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 425,000 | 7.034%, 1/15/2068 | 440,937 | ||||||
| Total Energy | 800,856 | |||||||
| Financials (3.7%) | |||||||
American International Group, Inc. | ||||||||
| 150,000 | 8.175%, 5/15/2058 | 159,721 | ||||||
ING Capital Funding Trust III | ||||||||
| 350,000 | 3.903%, 12/31/2049c,d | 322,875 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 7.900%, 4/29/2049d | 186,023 | ||||||
MetLife, Inc. | ||||||||
| 400,000 | 7.875%, 12/15/2037e | 423,000 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 425,000 | 6.750%, 12/15/2065 | 393,500 | ||||||
Wachovia Capital Trust III | ||||||||
| 250,000 | 5.800%, 3/15/2042d | 216,875 | ||||||
Wells Fargo Capital XIII | ||||||||
| 275,000 | 7.700%, 12/29/2049d | 284,281 | ||||||
XL Capital, Ltd. | ||||||||
| 475,000 | 6.500%, 12/31/2049d | 408,500 | ||||||
ZFS Finance USA Trust II | ||||||||
| 400,000 | 6.450%, 12/15/2065e | 393,500 | ||||||
| Total Financials | 2,788,275 | |||||||
| Utilities (0.5%) | |||||||
Dominion Resources, Inc. | ||||||||
| 375,000 | 6.300%, 9/30/2066 | 365,625 | ||||||
| Total Utilities | 365,625 | |||||||
Total Long-Term Fixed Income (cost $4,133,977) | 4,340,256 | |||||||
Preferred Stock (0.6%) | ||||||||
| Financials (0.5%) | |||||||
| 5,000 | Bank of America Corporationd | 129,200 | ||||||
| 5,300 | Citigroup, Inc.b | 142,623 | ||||||
| 2,500 | J.P. Morgan Chase Capital XXIX | 63,850 | ||||||
| 3,000 | U.S. Bancorpd | 80,970 | ||||||
| Total Financials | 416,643 | |||||||
| Utilities (0.1%) | |||||||
| 2,870 | Xcel Energy, Inc. | 78,724 | ||||||
| Total Utilities | 78,724 | |||||||
Total Preferred Stock (cost $472,131) | 495,367 | |||||||
| Principal Amount | Short-Term Investments (8.8%)f | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.090%, 1/14/2011g | 2,999,903 | ||||||
| 3,000,000 | 0.060%, 1/19/2011g | 2,999,910 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 700,000 | 0.196%, 3/14/2011g,h | 699,730 | ||||||
| Total Short-Term Investments (at amortized cost) | 6,699,543 | |||||||
| Total Investments (cost $67,567,601) 97.5% | $ | 74,406,557 | ||||||
| Other Assets and Liabilities, Net 2.5% | 1,896,114 | |||||||
| Total Net Assets 100.0% | $ | 76,302,671 | ||||||
| a | All or a portion of the security was earmarked to cover written options. |
| b | Non-income producing security. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| d | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| e | 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, 2010, the value of these investments was $816,500 or 1.1% of total net assets. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| h | At December 31, 2010, $699,730 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. | ||
ETF | - | Exchange Traded Fund. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
235
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2010
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 7,268,860 | ||
Gross unrealized depreciation | (480,144 | ) | ||
Net unrealized appreciation (depreciation) | $ | 6,788,716 | ||
Cost for federal income tax purposes | $ | 67,617,841 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 7,009,031 | 7,009,031 | — | — | ||||||||||||
Consumer Staples | 6,642,902 | 6,642,902 | — | — | ||||||||||||
Energy | 2,547,828 | 2,547,828 | — | — | ||||||||||||
Financials | 17,238,764 | 17,238,764 | — | — | ||||||||||||
Health Care | 5,196,194 | 5,196,194 | — | — | ||||||||||||
Industrials | 11,699,709 | 11,699,709 | — | — | ||||||||||||
Information Technology | 5,531,144 | 5,531,144 | — | — | ||||||||||||
Materials | 5,213,669 | 5,213,669 | — | — | ||||||||||||
Telecommunications Services | 1,268,583 | 1,268,583 | — | — | ||||||||||||
Utilities | 523,567 | 523,567 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Consumer Cyclical | 385,500 | — | 385,500 | — | ||||||||||||
Energy | 800,856 | — | 800,856 | — | ||||||||||||
Financials | 2,788,275 | — | 2,788,275 | — | ||||||||||||
Utilities | 365,625 | — | 365,625 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 416,643 | 416,643 | — | — | ||||||||||||
Utilities | 78,724 | 78,724 | — | — | ||||||||||||
Short-Term Investments | 6,699,543 | — | 6,699,543 | — | ||||||||||||
Total | $ | 74,406,557 | $ | 63,366,758 | $ | 11,039,799 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 146,071 | 146,071 | — | — | ||||||||||||
Call Options Written | 1,500 | 1,500 | — | — | ||||||||||||
Total Asset Derivatives | $ | 147,571 | $ | 147,571 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Call Options Written | 62 | 62 | — | — | ||||||||||||
Total Liability Derivatives | $ | 62 | $ | 62 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Mini-Futures | 133 | March 2011 | $ | 8,186,379 | $ | 8,332,450 | $ | 146,071 | ||||||||||||
Total Futures Contracts | $ | 146,071 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 25 | $ | 1,280.00 | January 2011 | ($7,500) | $ | 1,500 | |||||||||||||
S&P 500 Mini-Futures Call Option | 25 | 1,270.00 | January 2011 | (12,187) | (62 | ) | ||||||||||||||
Total Call Options Written | ($19,687) | $ | 1,438 | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
236
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 146,071 | |||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 1,500 | ||||
Total Equity Contracts | 147,571 | |||||
Total Asset Derivatives | $ | 147,571 | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 62 | ||||
Total Equity Contracts | 62 | |||||
Total Liability Derivatives | $ | 62 | ||||
| * | 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, 2010, 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 | (102,156 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 943,161 | ||||
Total Equity Contracts | 841,005 | |||||
Total | $ | 841,005 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (7,734 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 66,827 | ||||
Total Equity Contracts | 59,093 | |||||
Total | $ | 59,093 | ||||
The following table presents Equity Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 6,378,060 | 10.5 | % | 43 | |||||||
| * | 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.
237
Table of Contents
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (65.3%) | Value | ||||||
| Consumer Discretionary (7.0%) | |||||||
| 1,400 | Abercrombie & Fitch Company | $ | 80,682 | |||||
| 5,400 | Amazon.com, Inc.a | 972,000 | ||||||
| 2,000 | Apollo Group, Inc.a | 78,980 | ||||||
| 1,000 | AutoNation, Inc.a,b | 28,200 | ||||||
| 500 | AutoZone, Inc.a | 136,295 | ||||||
| 4,100 | Bed Bath & Beyond, Inc.a | 201,515 | ||||||
| 5,275 | Best Buy Company, Inc. | 180,880 | ||||||
| 1,200 | Big Lots, Inc.a | 36,552 | ||||||
| 3,600 | Cablevision Systems Corporation | 121,824 | ||||||
| 3,500 | CarMax, Inc.a | 111,580 | ||||||
| 6,700 | Carnival Corporation | 308,937 | ||||||
| 10,462 | CBS Corporation | 199,301 | ||||||
| 4,600 | Coach, Inc. | 254,426 | ||||||
| 43,065 | Comcast Corporation | 946,138 | ||||||
| 4,300 | D.R. Horton, Inc. | 51,299 | ||||||
| 2,200 | Darden Restaurants, Inc. | 102,168 | ||||||
| 1,000 | DeVry, Inc. | 47,980 | ||||||
| 13,300 | DIRECTVa | 531,069 | ||||||
| 4,400 | Discovery Communications, Inc.a | 183,480 | ||||||
| 3,300 | Expedia, Inc. | 82,797 | ||||||
| 2,100 | Family Dollar Stores, Inc. | 104,391 | ||||||
| 58,788 | Ford Motor Companya | 987,050 | ||||||
| 2,400 | Fortune Brands, Inc. | 144,600 | ||||||
| 3,700 | Gannett Company, Inc. | 55,833 | ||||||
| 6,700 | Gap, Inc. | 148,338 | ||||||
| 2,500 | Genuine Parts Company | 128,350 | ||||||
| 3,700 | Goodyear Tire & Rubber Companya | 43,845 | ||||||
| 4,800 | H&R Block, Inc. | 57,168 | ||||||
| 3,600 | Harley-Davidson, Inc. | 124,812 | ||||||
| 1,100 | Harman International Industries, Inc.a | 50,930 | ||||||
| 2,200 | Hasbro, Inc. | 103,796 | ||||||
| 25,600 | Home Depot, Inc. | 897,536 | ||||||
| 4,600 | International Game Technology | 81,374 | ||||||
| 7,489 | Interpublic Group of Companies, Inc.a | 79,533 | ||||||
| 3,600 | J.C. Penney Company, Inc. | 116,316 | ||||||
| 10,300 | Johnson Controls, Inc. | 393,460 | ||||||
| 4,800 | Kohl’s Corporationa | 260,832 | ||||||
| 2,300 | Leggett & Platt, Inc. | 52,348 | ||||||
| 2,500 | Lennar Corporation | 46,875 | ||||||
| 4,062 | Limited Brands, Inc. | 124,825 | ||||||
| 21,500 | Lowe’s Companies, Inc. | 539,220 | ||||||
| 6,500 | Macy’s, Inc. | 164,450 | ||||||
| 4,463 | Marriott International, Inc. | 185,393 | ||||||
| 5,425 | Mattel, Inc. | 137,958 | ||||||
| 16,300 | McDonald’s Corporation | 1,251,188 | ||||||
| 4,800 | McGraw-Hill Companies, Inc. | 174,768 | ||||||
| 600 | Meredith Corporation | 20,790 | ||||||
| 700 | Netflix, Inc.a | 122,990 | ||||||
| 4,726 | Newell Rubbermaid, Inc. | 85,919 | ||||||
| 35,000 | News Corporation | 509,600 | ||||||
| 5,900 | NIKE, Inc. | 503,978 | ||||||
| 2,700 | Nordstrom, Inc. | 114,426 | ||||||
| 4,700 | Omnicom Group, Inc. | 215,260 | ||||||
| 2,200 | O’Reilly Automotive, Inc.a | 132,924 | ||||||
| 1,000 | Polo Ralph Lauren Corporation | 110,920 | ||||||
| 800 | Priceline.com, Inc.a | 319,640 | ||||||
| 5,237 | Pulte Group, Inc.a | 39,382 | ||||||
| 2,000 | RadioShack Corporation | 36,980 | ||||||
| 1,900 | Ross Stores, Inc. | 120,175 | ||||||
| 1,400 | Scripps Networks Interactive | 72,450 | ||||||
| 680 | Sears Holdings Corporationa,b | 50,150 | ||||||
| 1,400 | Sherwin-Williams Company | 117,250 | ||||||
| 900 | Snap-On, Inc. | 50,922 | ||||||
| 2,600 | Stanley Black & Decker, Inc. | 173,862 | ||||||
| 11,200 | Staples, Inc. | 255,024 | ||||||
| 11,400 | Starbucks Corporation | 366,282 | ||||||
| 3,000 | Starwood Hotels & Resorts Worldwide, Inc. | 182,340 | ||||||
| 11,100 | Target Corporation | 667,443 | ||||||
| 2,000 | Tiffany & Company | 124,540 | ||||||
| 5,380 | Time Warner Cable, Inc. | 355,241 | ||||||
| 17,216 | Time Warner, Inc. | 553,839 | ||||||
| 6,100 | TJX Companies, Inc. | 270,779 | ||||||
| 2,000 | Urban Outfitters, Inc.a | 71,620 | ||||||
| 1,400 | VF Corporation | 120,652 | ||||||
| 9,262 | Viacom, Inc. | 366,868 | ||||||
| 29,387 | Walt Disney Company | 1,102,306 | ||||||
| 120 | Washington Post Company | 52,740 | ||||||
| 1,158 | Whirlpool Corporation | 102,865 | ||||||
| 2,832 | Wyndham Worldwide Corporation | 84,847 | ||||||
| 1,200 | Wynn Resorts, Ltd. | 124,608 | ||||||
| 7,120 | Yum! Brands, Inc. | 349,236 | ||||||
| Total Consumer Discretionary | 19,060,140 | |||||||
| Consumer Staples (7.0%) | |||||||
| 32,000 | Altria Group, Inc. | 787,840 | ||||||
| 9,741 | Archer-Daniels-Midland Company | 293,009 | ||||||
| 6,600 | Avon Products, Inc. | 191,796 | ||||||
| 1,625 | Brown-Forman Corporation | 113,132 | ||||||
| 3,100 | Campbell Soup Company | 107,725 | ||||||
| 2,200 | Clorox Company | 139,216 | ||||||
| 35,400 | Coca-Cola Company | 2,328,258 | ||||||
| 5,100 | Coca-Cola Enterprises, Inc. | 127,653 | ||||||
| 7,500 | Colgate-Palmolive Company | 602,775 | ||||||
| 6,700 | ConAgra Foods, Inc. | 151,286 | ||||||
| 2,800 | Constellation Brands, Inc.a | 62,020 | ||||||
| 6,700 | Costco Wholesale Corporation | 483,807 | ||||||
| 20,805 | CVS Caremark Corporation | 723,390 | ||||||
| 2,900 | Dean Foods Companya | 25,636 | ||||||
| 3,700 | Dr. Pepper Snapple Group, Inc. | 130,092 | ||||||
| 1,800 | Estee Lauder Companies, Inc. | 145,260 | ||||||
| 9,800 | General Mills, Inc. | 348,782 | ||||||
| 4,950 | H.J. Heinz Company | 244,827 | ||||||
| 2,400 | Hershey Company | 113,160 | ||||||
| 1,100 | Hormel Foods Corporation | 56,386 | ||||||
| 1,855 | J.M. Smucker Company | 121,781 | ||||||
| 4,000 | Kellogg Company | 204,320 | ||||||
| 6,280 | Kimberly-Clark Corporation | 395,891 | ||||||
| 26,660 | Kraft Foods, Inc. | 840,057 | ||||||
| 9,800 | Kroger Company | 219,128 | ||||||
| 2,400 | Lorillard, Inc. | 196,944 | ||||||
| 2,100 | McCormick & Company, Inc. | 97,713 | ||||||
| 3,222 | Mead Johnson Nutrition Company | 200,570 | ||||||
| 2,500 | Molson Coors Brewing Company | 125,475 | ||||||
| 24,397 | PepsiCo, Inc. | 1,593,856 | ||||||
| 28,100 | Philip Morris International, Inc. | 1,644,693 | ||||||
| 43,579 | Procter & Gamble Company | 2,803,437 | ||||||
| 5,300 | Reynolds American, Inc. | 172,886 | ||||||
| 5,800 | Safeway, Inc. | 130,442 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
238
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (65.3%) | Value | ||||||
| Consumer Staples (7.0%) - continued | |||||||
| 10,100 | Sara Lee Corporation | $ | 176,851 | |||||
| 3,369 | SUPERVALU, Inc. | 32,443 | ||||||
| 9,000 | Sysco Corporation | 264,600 | ||||||
| 4,600 | Tyson Foods, Inc. | 79,212 | ||||||
| 14,900 | Walgreen Company | 580,504 | ||||||
| 30,600 | Wal-Mart Stores, Inc. | 1,650,258 | ||||||
| 2,300 | Whole Foods Market, Inc.a | 116,357 | ||||||
| Total Consumer Staples | 18,823,468 | |||||||
| Energy (7.8%) | |||||||
| 7,636 | Anadarko Petroleum Corporation | 581,558 | ||||||
| 5,868 | Apache Corporation | 699,642 | ||||||
| 6,561 | Baker Hughes, Inc. | 375,092 | ||||||
| 1,600 | Cabot Oil & Gas Corporation | 60,560 | ||||||
| 3,700 | Cameron International Corporationa | 187,701 | ||||||
| 10,000 | Chesapeake Energy Corporation | 259,100 | ||||||
| 30,774 | Chevron Corporation | 2,808,128 | ||||||
| 22,782 | ConocoPhillips | 1,551,454 | ||||||
| 3,600 | CONSOL Energy, Inc. | 175,464 | ||||||
| 6,100 | Denbury Resources, Inc.a | 116,449 | ||||||
| 6,700 | Devon Energy Corporation | 526,017 | ||||||
| 1,100 | Diamond Offshore Drilling, Inc.b | 73,557 | ||||||
| 10,786 | El Paso Corporation | 148,415 | ||||||
| 3,900 | EOG Resources, Inc. | 356,499 | ||||||
| 2,400 | EQT Corporation | 107,616 | ||||||
| 78,134 | Exxon Mobil Corporation | 5,713,158 | ||||||
| 1,900 | FMC Technologies, Inc.a | 168,929 | ||||||
| 14,000 | Halliburton Company | 571,620 | ||||||
| 1,700 | Helmerich & Payne, Inc. | 82,416 | ||||||
| 4,500 | Hess Corporation | 344,430 | ||||||
| 10,922 | Marathon Oil Corporation | 404,442 | ||||||
| 1,600 | Massey Energy Company | 85,840 | ||||||
| 3,000 | Murphy Oil Corporation | 223,650 | ||||||
| 4,400 | Nabors Industries, Ltd.a | 103,224 | ||||||
| 6,400 | National Oilwell Varco, Inc. | 430,400 | ||||||
| 2,000 | Newfield Exploration Companya | 144,220 | ||||||
| 2,800 | Noble Energy, Inc. | 241,024 | ||||||
| 12,400 | Occidental Petroleum Corporation | 1,216,440 | ||||||
| 4,100 | Peabody Energy Corporation | 262,318 | ||||||
| 1,800 | Pioneer Natural Resources Company | 156,276 | ||||||
| 2,800 | QEP Resources, Inc. | 101,668 | ||||||
| 2,500 | Range Resources Corporation | 112,450 | ||||||
| 2,100 | Rowan Companies, Inc.a | 73,311 | ||||||
| 20,925 | Schlumberger, Ltd. | 1,747,237 | ||||||
| 5,300 | Southwestern Energy Companya | 198,379 | ||||||
| 9,921 | Spectra Energy Corporation | 247,926 | ||||||
| 1,900 | Sunoco, Inc. | 76,589 | ||||||
| 2,300 | Tesoro Corporationa | 42,642 | ||||||
| 8,700 | Valero Energy Corporation | 201,144 | ||||||
| 8,900 | Williams Companies, Inc. | 220,008 | ||||||
| Total Energy | 21,196,993 | |||||||
| Financials (10.4%) | |||||||
| 5,200 | ACE, Ltd. | 323,700 | ||||||
| 7,200 | AFLAC, Inc. | 406,296 | ||||||
| 8,296 | Allstate Corporation | 264,477 | ||||||
| 16,000 | American Express Company | 686,720 | ||||||
| 2,120 | American International Group, Inc.a,b | 122,154 | ||||||
| 3,840 | Ameriprise Financial, Inc. | 220,992 | ||||||
| 5,050 | Aon Corporation | 232,351 | ||||||
| 1,854 | Apartment Investment & Management Company | 47,907 | ||||||
| 1,700 | Assurant, Inc. | 65,484 | ||||||
| 1,353 | AvalonBay Communities, Inc. | 152,280 | ||||||
| 153,854 | Bank of America Corporation | 2,052,412 | ||||||
| 18,601 | Bank of New York Mellon Corporation | 561,750 | ||||||
| 10,600 | BB&T Corporation | 278,674 | ||||||
| 26,450 | Berkshire Hathaway, Inc.a | 2,118,910 | ||||||
| 2,200 | Boston Properties, Inc. | 189,420 | ||||||
| 6,965 | Capital One Financial Corporation | 296,431 | ||||||
| 4,500 | CB Richard Ellis Group, Inc.a | 92,160 | ||||||
| 15,225 | Charles Schwab Corporation | 260,500 | ||||||
| 4,900 | Chubb Corporation | 292,236 | ||||||
| 2,551 | Cincinnati Financial Corporation | 80,841 | ||||||
| 449,889 | Citigroup, Inc.a | 2,127,975 | ||||||
| 1,100 | CME Group, Inc. | 353,925 | ||||||
| 2,800 | Comerica, Inc. | 118,272 | ||||||
| 8,395 | Discover Financial Services | 155,559 | ||||||
| 3,130 | E*TRADE Financial Corporationa | 50,080 | ||||||
| 4,400 | Equity Residential | 228,580 | ||||||
| 1,400 | Federated Investors, Inc.b | 36,638 | ||||||
| 12,216 | Fifth Third Bancorp | 179,331 | ||||||
| 3,644 | First Horizon National Corporationa | 42,926 | ||||||
| 2,300 | Franklin Resources, Inc. | 255,783 | ||||||
| 7,500 | Genworth Financial, Inc.a | 98,550 | ||||||
| 7,900 | Goldman Sachs Group, Inc. | 1,328,464 | ||||||
| 6,800 | Hartford Financial Services Group, Inc. | 180,132 | ||||||
| 5,100 | Health Care Property Investors, Inc. | 187,629 | ||||||
| 2,200 | Health Care REIT, Inc. | 104,808 | ||||||
| 10,047 | Host Hotels & Resorts, Inc. | 179,540 | ||||||
| 8,100 | Hudson City Bancorp, Inc. | 103,194 | ||||||
| 12,416 | Huntington Bancshares, Inc. | 85,298 | ||||||
| 1,200 | IntercontinentalExchange, Inc.a | 142,980 | ||||||
| 7,200 | Invesco, Ltd. | 173,232 | ||||||
| 60,824 | J.P. Morgan Chase & Company | 2,580,154 | ||||||
| 2,900 | Janus Capital Group, Inc. | 37,613 | ||||||
| 13,500 | KeyCorp | 119,475 | ||||||
| 6,200 | Kimco Realty Corporation | 111,848 | ||||||
| 2,400 | Legg Mason, Inc. | 87,048 | ||||||
| 3,100 | Leucadia National Corporation | 90,458 | ||||||
| 4,911 | Lincoln National Corporation | 136,575 | ||||||
| 4,900 | Loews Corporation | 190,659 | ||||||
| 1,900 | M&T Bank Corporation | 165,395 | ||||||
| 8,400 | Marsh & McLennan Companies, Inc. | 229,656 | ||||||
| 8,100 | Marshall & Ilsley Corporation | 56,052 | ||||||
| 13,916 | MetLife, Inc. | 618,427 | ||||||
| 3,200 | Moody’s Corporation | 84,928 | ||||||
| 22,990 | Morgan Stanley | 625,558 | ||||||
| 2,300 | NASDAQ OMX Group, Inc.a | 54,533 | ||||||
| 3,700 | Northern Trust Corporation | 205,017 | ||||||
| 4,000 | NYSE Euronext | 119,920 | ||||||
| 5,600 | People’s United Financial, Inc. | 78,456 | ||||||
| 2,500 | Plum Creek Timber Company, Inc.b | 93,625 | ||||||
| 8,120 | PNC Financial Services Group, Inc. | 493,046 | ||||||
| 5,000 | Principal Financial Group, Inc. | 162,800 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
239
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (65.3%) | Value | ||||||
| Financials (10.4%) - continued | |||||||
| 10,200 | Progressive Corporation | $ | 202,674 | |||||
| 8,600 | ProLogis | 124,184 | ||||||
| 7,200 | Prudential Financial, Inc. | 422,712 | ||||||
| 2,200 | Public Storage, Inc. | 223,124 | ||||||
| 19,300 | Regions Financial Corporation | 135,100 | ||||||
| 4,553 | Simon Property Group, Inc. | 452,978 | ||||||
| 7,500 | SLM Corporationa | 94,425 | ||||||
| 7,700 | State Street Corporation | 356,818 | ||||||
| 7,700 | SunTrust Banks, Inc. | 227,227 | ||||||
| 3,900 | T. Rowe Price Group, Inc. | 251,706 | ||||||
| 1,300 | Torchmark Corporation | 77,662 | ||||||
| 7,225 | Travelers Companies, Inc. | 402,505 | ||||||
| 29,421 | U.S. Bancorp | 793,484 | ||||||
| 5,058 | Unum Group | 122,505 | ||||||
| 2,500 | Ventas, Inc. | 131,200 | ||||||
| 2,570 | Vornado Realty Trust | 214,158 | ||||||
| 80,182 | Wells Fargo & Company | 2,484,840 | ||||||
| 5,300 | XL Group plc | 115,646 | ||||||
| 2,700 | Zions Bancorporationb | 65,421 | ||||||
| Total Financials | 28,118,203 | |||||||
| Health Care (7.1%) | |||||||
| 23,600 | Abbott Laboratories | 1,130,676 | ||||||
| 6,356 | Aetna, Inc. | 193,922 | ||||||
| 4,700 | Allergan, Inc. | 322,749 | ||||||
| 4,300 | AmerisourceBergen Corporation | 146,716 | ||||||
| 14,752 | Amgen, Inc.a | 809,885 | ||||||
| 8,900 | Baxter International, Inc. | 450,518 | ||||||
| 3,600 | Becton, Dickinson and Company | 304,272 | ||||||
| 3,730 | Biogen Idec, Inc.a | 250,097 | ||||||
| 23,250 | Boston Scientific Corporationa | 176,003 | ||||||
| 26,305 | Bristol-Myers Squibb Company | 696,556 | ||||||
| 1,500 | C.R. Bard, Inc. | 137,655 | ||||||
| 5,375 | Cardinal Health, Inc. | 205,916 | ||||||
| 3,487 | CareFusion Corporationa | 89,616 | ||||||
| 7,200 | Celgene Corporationa | 425,808 | ||||||
| 1,200 | Cephalon, Inc.a | 74,064 | ||||||
| 1,100 | Cerner Corporationa | 104,214 | ||||||
| 4,200 | CIGNA Corporation | 153,972 | ||||||
| 2,350 | Coventry Health Care, Inc.a | 62,040 | ||||||
| 1,600 | DaVita, Inc.a | 111,184 | ||||||
| 2,300 | DENTSPLY International, Inc. | 78,591 | ||||||
| 15,600 | Eli Lilly and Company | 546,624 | ||||||
| 8,400 | Express Scripts, Inc.a | 454,020 | ||||||
| 4,400 | Forest Laboratories, Inc.a | 140,712 | ||||||
| 3,900 | Genzyme Corporationa | 277,680 | ||||||
| 12,800 | Gilead Sciences, Inc.a | 463,872 | ||||||
| 2,630 | Hospira, Inc.a | 146,465 | ||||||
| 2,700 | Humana, Inc.a | 147,798 | ||||||
| 600 | Intuitive Surgical, Inc.a | 154,650 | ||||||
| 42,206 | Johnson & Johnson | 2,610,441 | ||||||
| 3,933 | King Pharmaceuticals, Inc.a | 55,259 | ||||||
| 1,600 | Laboratory Corporation of America Holdingsa | 140,672 | ||||||
| 2,937 | Life Technologies Corporationa | 163,003 | ||||||
| 3,980 | McKesson Corporation | 280,112 | ||||||
| 6,610 | Medco Health Solutions, Inc.a | 404,995 | ||||||
| 16,500 | Medtronic, Inc. | 611,985 | ||||||
| 47,227 | Merck & Company, Inc. | 1,702,061 | ||||||
| 6,300 | Mylan, Inc.a | 133,119 | ||||||
| 1,500 | Patterson Companies, Inc. | 45,945 | ||||||
| 1,900 | PerkinElmer, Inc. | 49,058 | ||||||
| 123,255 | Pfizer, Inc. | 2,158,195 | ||||||
| 2,300 | Quest Diagnostics, Inc. | 124,131 | ||||||
| 5,280 | St. Jude Medical, Inc.a | 225,720 | ||||||
| 5,300 | Stryker Corporation | 284,610 | ||||||
| 7,450 | Tenet Healthcare Corporationa | 49,840 | ||||||
| 6,200 | Thermo Fisher Scientific, Inc.a | 343,232 | ||||||
| 17,200 | UnitedHealth Group, Inc. | 621,092 | ||||||
| 1,900 | Varian Medical Systems, Inc.a | 131,632 | ||||||
| 1,500 | Waters Corporationa | 116,565 | ||||||
| 2,000 | Watson Pharmaceuticals, Inc.a | 103,300 | ||||||
| 6,100 | WellPoint, Inc.a | 346,846 | ||||||
| 3,190 | Zimmer Holdings, Inc.a | 171,239 | ||||||
| Total Health Care | 19,129,327 | |||||||
| Industrials (7.2%) | |||||||
| 10,900 | 3M Company | 940,670 | ||||||
| 1,700 | Avery Dennison Corporation | 71,978 | ||||||
| 11,228 | Boeing Company | 732,739 | ||||||
| 2,600 | C.H. Robinson Worldwide, Inc. | 208,494 | ||||||
| 9,600 | Caterpillar, Inc. | 899,136 | ||||||
| 2,100 | Cintas Corporation | 58,716 | ||||||
| 5,800 | CSX Corporation | 374,738 | ||||||
| 3,100 | Cummins, Inc. | 341,031 | ||||||
| 8,200 | Danaher Corporation | 386,794 | ||||||
| 6,500 | Deere & Company | 539,825 | ||||||
| 2,900 | Dover Corporation | 169,505 | ||||||
| 800 | Dun & Bradstreet Corporation | 65,672 | ||||||
| 2,600 | Eaton Corporation | 263,926 | ||||||
| 11,600 | Emerson Electric Company | 663,172 | ||||||
| 2,000 | Equifax, Inc. | 71,200 | ||||||
| 3,300 | Expeditors International of Washington, Inc. | 180,180 | ||||||
| 2,300 | Fastenal Company | 137,793 | ||||||
| 4,840 | FedEx Corporation | 450,169 | ||||||
| 800 | First Solar, Inc.a,b | 104,112 | ||||||
| 900 | Flowserve Corporation | 107,298 | ||||||
| 2,800 | Fluor Corporation | 185,528 | ||||||
| 5,800 | General Dynamics Corporation | 411,568 | ||||||
| 163,900 | General Electric Company | 2,997,731 | ||||||
| 2,000 | Goodrich Corporation | 176,140 | ||||||
| 11,837 | Honeywell International, Inc. | 629,255 | ||||||
| 7,700 | Illinois Tool Works, Inc. | 411,180 | ||||||
| 5,000 | Ingersoll-Rand plc | 235,450 | ||||||
| 3,200 | Iron Mountain, Inc. | 80,032 | ||||||
| 2,900 | ITT Corporation | 151,119 | ||||||
| 2,000 | Jacobs Engineering Group, Inc.a | 91,700 | ||||||
| 1,800 | L-3 Communications Holdings, Inc. | 126,882 | ||||||
| 4,600 | Lockheed Martin Corporation | 321,586 | ||||||
| 5,500 | Masco Corporation | 69,630 | ||||||
| 5,600 | Norfolk Southern Corporation | 351,792 | ||||||
| 4,506 | Northrop Grumman Corporation | 291,899 | ||||||
| 5,550 | PACCAR, Inc. | 318,681 | ||||||
| 1,800 | Pall Corporation | 89,244 | ||||||
| 2,550 | Parker Hannifin Corporation | 220,065 | ||||||
| 3,300 | Pitney Bowes, Inc. | 79,794 | ||||||
| 2,200 | Precision Castparts Corporation | 306,262 | ||||||
| 3,300 | Quanta Services, Inc.a | 65,736 | ||||||
| 3,300 | R.R. Donnelley & Sons Company | 57,651 | ||||||
| 5,700 | Raytheon Company | 264,138 | ||||||
| 4,705 | Republic Services, Inc. | 140,491 | ||||||
| 2,300 | Robert Half International, Inc. | 70,380 | ||||||
| 2,200 | Rockwell Automation, Inc. | 157,762 | ||||||
| 2,500 | Rockwell Collins, Inc. | 145,650 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
240
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (65.3%) | Value | ||||||
| Industrials (7.2%) - continued | |||||||
| 1,500 | Roper Industries, Inc. | $ | 114,645 | |||||
| 800 | Ryder System, Inc. | 42,112 | ||||||
| 11,480 | Southwest Airlines Company | 149,010 | ||||||
| 1,300 | Stericycle, Inc.a | 105,196 | ||||||
| 4,200 | Textron, Inc. | 99,288 | ||||||
| 7,600 | Tyco International, Ltd. | 314,944 | ||||||
| 7,600 | Union Pacific Corporation | 704,216 | ||||||
| 15,200 | United Parcel Service, Inc. | 1,103,216 | ||||||
| 14,300 | United Technologies Corporation | 1,125,696 | ||||||
| 900 | W.W. Grainger, Inc. | 124,299 | ||||||
| 7,330 | Waste Management, Inc. | 270,257 | ||||||
| Total Industrials | 19,367,373 | |||||||
| Information Technology (12.2%) | |||||||
| 8,100 | Adobe Systems, Inc.a | 249,318 | ||||||
| 8,700 | Advanced Micro Devices, Inc.a | 71,166 | ||||||
| 5,263 | Agilent Technologies, Inc.a | 218,046 | ||||||
| 2,900 | Akamai Technologies, Inc.a | 136,445 | ||||||
| 4,700 | Altera Corporation | 167,226 | ||||||
| 2,700 | Amphenol Corporation | 142,506 | ||||||
| 4,600 | Analog Devices, Inc. | 173,282 | ||||||
| 14,000 | Apple, Inc.a | 4,515,840 | ||||||
| 20,500 | Applied Materials, Inc. | 288,025 | ||||||
| 3,600 | Autodesk, Inc.a | 137,520 | ||||||
| 7,600 | Automatic Data Processing, Inc. | 351,728 | ||||||
| 2,800 | BMC Software, Inc.a | 131,992 | ||||||
| 6,850 | Broadcom Corporation | 298,318 | ||||||
| 5,875 | CA, Inc. | 143,585 | ||||||
| 87,600 | Cisco Systems, Inc.a | 1,772,148 | ||||||
| 2,900 | Citrix Systems, Inc.a | 198,389 | ||||||
| 4,600 | Cognizant Technology Solutions Corporationa | 337,134 | ||||||
| 2,400 | Computer Sciences Corporation | 119,040 | ||||||
| 3,500 | Compuware Corporationa | 40,845 | ||||||
| 23,900 | Corning, Inc. | 461,748 | ||||||
| 26,000 | Dell, Inc.a | 352,300 | ||||||
| 17,700 | eBay, Inc.a | 492,591 | ||||||
| 5,100 | Electronic Arts, Inc.a | 83,538 | ||||||
| 31,524 | EMC Corporationa | 721,900 | ||||||
| 1,300 | F5 Networks, Inc.a | 169,208 | ||||||
| 4,100 | Fidelity National Information Services, Inc. | 112,299 | ||||||
| 2,350 | Fiserv, Inc.a | 137,616 | ||||||
| 2,500 | FLIR Systems, Inc.a | 74,375 | ||||||
| 2,400 | GameStop Corporationa | 54,912 | ||||||
| 3,800 | Google, Inc.a | 2,257,086 | ||||||
| 2,000 | Harris Corporation | 90,600 | ||||||
| 34,761 | Hewlett-Packard Company | 1,463,438 | ||||||
| 85,400 | Intel Corporation | 1,795,962 | ||||||
| 19,300 | International Business Machines Corporation | 2,832,468 | ||||||
| 4,400 | Intuit, Inc.a | 216,920 | ||||||
| 3,100 | Jabil Circuit, Inc. | 62,279 | ||||||
| 3,500 | JDS Uniphase Corporationa | 50,680 | ||||||
| 8,000 | Juniper Networks, Inc.a | 295,360 | ||||||
| 2,600 | KLA-Tencor Corporation | 100,464 | ||||||
| 1,200 | Lexmark International, Inc.a | 41,784 | ||||||
| 3,500 | Linear Technology Corporation | 121,065 | ||||||
| 9,800 | LSI Corporationa | 58,702 | ||||||
| 1,500 | MasterCard, Inc. | 336,165 | ||||||
| 2,400 | McAfee, Inc.a | 111,144 | ||||||
| 3,600 | MEMC Electronic Materials, Inc.a | 40,536 | ||||||
| 2,900 | Microchip Technology, Inc.b | 99,209 | ||||||
| 13,100 | Micron Technology, Inc.a | 105,062 | ||||||
| 116,800 | Microsoft Corporation | 3,261,056 | ||||||
| 2,150 | Molex, Inc.b | 48,848 | ||||||
| 2,000 | Monster Worldwide, Inc.a | 47,260 | ||||||
| 35,821 | Motorola, Inc.a | 324,896 | ||||||
| 3,700 | National Semiconductor Corporation | 50,912 | ||||||
| 5,400 | NetApp, Inc.a | 296,784 | ||||||
| 5,300 | Novell, Inc.a | 31,376 | ||||||
| 1,400 | Novellus Systems, Inc.a | 45,248 | ||||||
| 8,750 | NVIDIA Corporationa | 134,750 | ||||||
| 59,359 | Oracle Corporation | 1,857,937 | ||||||
| 4,950 | Paychex, Inc. | 153,005 | ||||||
| 1,700 | QLogic Corporationa | 28,934 | ||||||
| 24,600 | QUALCOMM, Inc. | 1,217,454 | ||||||
| 3,000 | Red Hat, Inc.a | 136,950 | ||||||
| 4,500 | SAIC, Inc.a | 71,370 | ||||||
| 1,800 | Salesforce.com, Inc.a | 237,600 | ||||||
| 3,600 | SanDisk Corporationa | 179,496 | ||||||
| 12,172 | Symantec Corporationa | 203,759 | ||||||
| 5,800 | Tellabs, Inc. | 39,324 | ||||||
| 2,600 | Teradata Corporationa | 107,016 | ||||||
| 2,900 | Teradyne, Inc.a | 40,716 | ||||||
| 18,300 | Texas Instruments, Inc. | 594,750 | ||||||
| 2,600 | Total System Services, Inc. | 39,988 | ||||||
| 2,700 | VeriSign, Inc. | 88,209 | ||||||
| 7,600 | Visa, Inc. | 534,888 | ||||||
| 3,600 | Western Digital Corporationa | 122,040 | ||||||
| 10,062 | Western Union Company | 186,851 | ||||||
| 21,183 | Xerox Corporation | 244,028 | ||||||
| 4,000 | Xilinx, Inc. | 115,920 | ||||||
| 20,700 | Yahoo!, Inc.a | 344,241 | ||||||
| Total Information Technology | 33,017,570 | |||||||
| Materials (2.5%) | |||||||
| 3,400 | Air Products and Chemicals, Inc. | 309,230 | ||||||
| 1,200 | Airgas, Inc. | 74,952 | ||||||
| 1,700 | AK Steel Holding Corporation | 27,829 | ||||||
| 15,664 | Alcoa, Inc. | 241,069 | ||||||
| 1,581 | Allegheny Technologies, Inc. | 87,239 | ||||||
| 1,400 | Ball Corporation | 95,270 | ||||||
| 1,700 | Bemis Company, Inc. | 55,522 | ||||||
| 1,100 | CF Industries Holdings, Inc. | 148,665 | ||||||
| 2,100 | Cliffs Natural Resources, Inc. | 163,821 | ||||||
| 17,777 | Dow Chemical Company | 606,907 | ||||||
| 13,919 | E.I. du Pont de Nemours and Company | 694,280 | ||||||
| 1,100 | Eastman Chemical Company | 92,488 | ||||||
| 3,600 | Ecolab, Inc. | 181,512 | ||||||
| 1,100 | FMC Corporation | 87,879 | ||||||
| 7,244 | Freeport-McMoRan Copper & Gold, Inc. | 869,932 | ||||||
| 1,300 | International Flavors & Fragrances, Inc. | 72,267 | ||||||
| 6,721 | International Paper Company | 183,080 | ||||||
| 2,680 | MeadWestvaco Corporation | 70,109 | ||||||
| 8,366 | Monsanto Company | 582,608 | ||||||
| 7,517 | Newmont Mining Corporation | 461,769 | ||||||
| 4,900 | Nucor Corporation | 214,718 | ||||||
| 2,600 | Owens-Illinois, Inc.a | 79,820 | ||||||
| 2,600 | PPG Industries, Inc. | 218,582 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
241
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (65.3%) | Value | ||||||
| Materials (2.5%) - continued | |||||||
| 4,700 | Praxair, Inc. | $ | 448,709 | |||||
| 2,528 | Sealed Air Corporation | 64,338 | ||||||
| 1,900 | Sigma-Aldrich Corporation | 126,464 | ||||||
| 1,400 | Titanium Metals Corporationa | 24,052 | ||||||
| 2,300 | United States Steel Corporation | 134,366 | ||||||
| 2,000 | Vulcan Materials Company | 88,720 | ||||||
| 8,240 | Weyerhaeuser Company | 155,983 | ||||||
| Total Materials | 6,662,180 | |||||||
| Telecommunications Services (2.0%) | |||||||
| 6,100 | American Tower Corporationa | 315,004 | ||||||
| 90,579 | AT&T, Inc. | 2,661,211 | ||||||
| 4,694 | CenturyLink, Inc. | 216,722 | ||||||
| 15,210 | Frontier Communications Corporation | 147,993 | ||||||
| 4,000 | MetroPCS Communications, Inc.a | 50,520 | ||||||
| 26,618 | Qwest Communications International, Inc. | 202,563 | ||||||
| 45,769 | Sprint Nextel Corporationa | 193,603 | ||||||
| 43,370 | Verizon Communications, Inc. | 1,551,779 | ||||||
| 7,417 | Windstream Corporation | 103,393 | ||||||
| Total Telecommunications Services | 5,442,788 | |||||||
| Utilities (2.1%) | |||||||
| 10,200 | AES Corporationa | 124,236 | ||||||
| 2,700 | Allegheny Energy, Inc. | 65,448 | ||||||
| 3,700 | Ameren Corporation | 104,303 | ||||||
| 7,340 | American Electric Power Company, Inc. | 264,093 | ||||||
| 6,424 | CenterPoint Energy, Inc. | 100,985 | ||||||
| 3,900 | CMS Energy Corporation | 72,540 | ||||||
| 4,400 | Consolidated Edison, Inc. | 218,108 | ||||||
| 3,200 | Constellation Energy Group, Inc. | 98,016 | ||||||
| 9,030 | Dominion Resources, Inc. | 385,762 | ||||||
| 2,700 | DTE Energy Company | 122,364 | ||||||
| 20,242 | Duke Energy Corporation | 360,510 | ||||||
| 5,000 | Edison International, Inc. | 193,000 | ||||||
| 2,900 | Entergy Corporation | 205,407 | ||||||
| 10,074 | Exelon Corporation | 419,481 | ||||||
| 4,700 | FirstEnergy Corporationb | 173,994 | ||||||
| 1,207 | Integrys Energy Group, Inc. | 58,552 | ||||||
| 6,400 | NextEra Energy, Inc. | 332,736 | ||||||
| 700 | Nicor, Inc. | 34,944 | ||||||
| 4,234 | NiSource, Inc. | 74,603 | ||||||
| 2,800 | Northeast Utilities | 89,264 | ||||||
| 3,900 | NRG Energy, Inc.a | 76,206 | ||||||
| 1,700 | ONEOK, Inc. | 94,299 | ||||||
| 3,500 | Pepco Holdings, Inc. | 63,875 | ||||||
| 6,000 | PG&E Corporation | 287,040 | ||||||
| 1,700 | Pinnacle West Capital Corporation | 70,465 | ||||||
| 7,400 | PPL Corporation | 194,768 | ||||||
| 4,491 | Progress Energy, Inc. | 195,269 | ||||||
| 7,800 | Public Service Enterprise Group, Inc. | 248,118 | ||||||
| 1,800 | SCANA Corporation | 73,080 | ||||||
| 3,787 | Sempra Energy | 198,742 | ||||||
| 12,700 | Southern Company | 485,521 | ||||||
| 3,400 | TECO Energy, Inc. | 60,520 | ||||||
| 1,800 | Wisconsin Energy Corporation | 105,948 | ||||||
| 7,010 | Xcel Energy, Inc. | 165,085 | ||||||
| Total Utilities | 5,817,282 | |||||||
| Total Common Stock (cost $151,282,745) | 176,635,324 | |||||||
| Principal Amount | Long-Term Fixed Income (36.1%) | Value | ||||||
| Asset-Backed Securities (1.5%) | |||||||
Countrywide Asset-Backed Certificates | ||||||||
| 503,764 | 5.549%, 8/25/2021c | 403,119 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 530,192 | 6.085%, 6/25/2021c | 218,542 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 338,993 | 5.501%, 12/25/2036 | 238,932 | ||||||
First Horizon ABS Trust | ||||||||
| 557,108 | 0.391%, 10/25/2026c,d | 414,958 | ||||||
| 966,008 | 0.421%, 10/25/2034c,d | 497,762 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,443,379 | 0.441%, 8/25/2035c,d | 834,878 | ||||||
| 874,016 | 0.441%, 12/25/2036c,d | 561,417 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 429,370 | 0.431%, 10/25/2036c,d | 105,021 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,095,928 | 0.401%, 7/25/2037c,d,e | 821,946 | ||||||
| Total Asset-Backed Securities | 4,096,575 | |||||||
| Basic Materials (0.1%) | |||||||
Corporacion Nacional del Cobre de Chile - Codelco | ||||||||
| 300,000 | 6.375%, 11/30/2012f | 326,038 | ||||||
| Total Basic Materials | 326,038 | |||||||
| Capital Goods (0.2%) | |||||||
John Deere Capital Corporation | ||||||||
| 300,000 | 7.000%, 3/15/2012 | 322,006 | ||||||
United Technologies Corporation | ||||||||
| 225,000 | 6.050%, 6/1/2036 | 254,049 | ||||||
| Total Capital Goods | 576,055 | |||||||
| Collateralized Mortgage Obligations (0.4%) | |||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 284,837 | 0.541%, 8/25/2036d | 57,536 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 902,888 | 2.752%, 6/25/2035 | 795,429 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
| 381,262 | 0.371%, 11/25/2046d | 376,005 | ||||||
| Total Collateralized Mortgage Obligations | 1,228,970 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
242
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (36.1%) | Value | ||||||
| Commercial Mortgage-Backed Securities (3.8%) | |||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| $ | 600,000 | 5.658%, 6/10/2049 | $ | 615,808 | ||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,500,000 | 0.410%, 3/15/2022d,e | 2,370,350 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,000,000 | 0.390%, 12/15/2020d,e | 1,802,738 | ||||||
| 750,000 | 5.306%, 12/10/2046 | 782,239 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,987,142 | 0.430%, 10/15/2021d,f | 1,902,122 | ||||||
| 700,000 | 5.467%, 9/15/2039 | 734,150 | ||||||
General Electric Commercial Mortgage Corporation | ||||||||
| 196,928 | 4.641%, 3/10/2040 | 202,890 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 1,000,000 | 1.390%, 3/6/2020d,f | 963,209 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 800,000 | 5.336%, 5/15/2047 | 830,262 | ||||||
| Total Commercial Mortgage- Backed Securities | 10,203,768 | |||||||
| Communications Services (0.7%) | |||||||
America Movil SAB de CV | ||||||||
| 150,000 | 5.000%, 3/30/2020 | 155,917 | ||||||
AT&T, Inc. | ||||||||
| 200,000 | 6.400%, 5/15/2038 | 212,601 | ||||||
CBS Corporation | ||||||||
| 200,000 | 7.875%, 9/1/2023 | 231,152 | ||||||
Cox Communications, Inc. | ||||||||
| 115,000 | 6.450%, 12/1/2036f | 122,539 | ||||||
Crown Castle Towers, LLC | ||||||||
| 250,000 | 4.174%, 8/15/2017f | 242,679 | ||||||
News America, Inc. | ||||||||
| 225,000 | 6.400%, 12/15/2035 | 241,741 | ||||||
Telecom Italia Capital SA | ||||||||
| 550,000 | 5.250%, 11/15/2013 | 572,993 | ||||||
Time Warner Cable, Inc. | ||||||||
| 200,000 | 7.300%, 7/1/2038 | 233,863 | ||||||
| Total Communications Services | 2,013,485 | |||||||
| Consumer Cyclical (0.5%) | |||||||
Toyota Motor Credit Corporation | ||||||||
| 175,000 | 4.500%, 6/17/2020 | 182,902 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 450,000 | 7.550%, 2/15/2030 | 580,304 | ||||||
Walt Disney Company | ||||||||
| 500,000 | 5.625%, 9/15/2016 | 575,911 | ||||||
| Total Consumer Cyclical | 1,339,117 | |||||||
| Consumer Non-Cyclical (0.7%) | |||||||
AmerisourceBergen Corporation | ||||||||
| 300,000 | 4.875%, 11/15/2019 | 305,930 | ||||||
Boston Scientific Corporation | ||||||||
| 225,000 | 7.000%, 11/15/2035 | 225,500 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
| 200,000 | 6.375%, 5/15/2038 | 236,381 | ||||||
Kellogg Company | ||||||||
| 400,000 | 4.250%, 3/6/2013 | 424,559 | ||||||
Philip Morris International, Inc. | ||||||||
| 200,000 | 6.375%, 5/16/2038 | 232,138 | ||||||
Wyeth | ||||||||
| 450,000 | 6.000%, 2/15/2036 | 500,124 | ||||||
| Total Consumer Non-Cyclical | 1,924,632 | |||||||
| Energy (0.2%) | |||||||
Energy Transfer Partners, LP | ||||||||
| 300,000 | 6.700%, 7/1/2018 | 340,341 | ||||||
Petro-Canada | ||||||||
| 200,000 | 6.800%, 5/15/2038 | 227,821 | ||||||
| Total Energy | 568,162 | |||||||
| Financials (2.6%) | |||||||
BAC Capital Trust XI | ||||||||
| 225,000 | 6.625%, 5/23/2036 | 213,826 | ||||||
Bank of America Corporation | ||||||||
| 250,000 | 6.500%, 8/1/2016 | 271,273 | ||||||
Barclays Bank plc | ||||||||
| 200,000 | 5.000%, 9/22/2016 | 211,640 | ||||||
BNP Paribas SA | ||||||||
| 900,000 | 5.186%, 6/29/2049f,g | 819,000 | ||||||
Chubb Corporation | ||||||||
| 400,000 | 6.500%, 5/15/2038 | 456,208 | ||||||
Citigroup, Inc. | ||||||||
| 250,000 | 2.286%, 8/13/2013d | 254,226 | ||||||
General Electric Capital Corporation | ||||||||
| 225,000 | 5.875%, 1/14/2038 | 233,561 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 675,000 | 6.600%, 1/15/2012 | 713,788 | ||||||
Health Care REIT, Inc. | ||||||||
| 300,000 | 6.125%, 4/15/2020 | 315,800 | ||||||
HSBC Finance Corporation | ||||||||
| 391,000 | 6.676%, 1/15/2021f | 395,020 | ||||||
HSBC Holdings plc | ||||||||
| 200,000 | 6.800%, 6/1/2038 | 216,263 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 250,000 | 2.600%, 1/15/2016 | 242,568 | ||||||
Lloyds TSB Bank plc | ||||||||
| 150,000 | 5.800%, 1/13/2020f | 148,105 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 450,000 | 5.000%, 2/3/2014 | 465,709 | ||||||
MetLife, Inc. | ||||||||
| 150,000 | 5.000%, 6/15/2015 | 162,451 | ||||||
Northern Trust Corporation | ||||||||
| 250,000 | 3.450%, 11/4/2020 | 239,300 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 1,171,996 | 0.502%, 12/22/2036d,e | 615,298 | ||||||
ProLogis | ||||||||
| 100,000 | 6.875%, 3/15/2020 | 106,172 | ||||||
Prudential Financial, Inc. | ||||||||
| 225,000 | 5.700%, 12/14/2036 | 223,184 | ||||||
Rabobank Nederland NV | ||||||||
| 150,000 | 4.750%, 1/15/2020f | 155,311 | ||||||
Wachovia Bank NA | ||||||||
| 425,000 | 4.875%, 2/1/2015 | 450,694 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
243
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (36.1%) | Value | ||||||
| Financials (2.6%) - continued | |||||||
Washington Mutual Bank FA | ||||||||
| $ | 500,000 | 5.500%, 1/15/2013h | $ | 625 | ||||
| Total Financials | 6,910,022 | |||||||
| Foreign Government (1.1%) | |||||||
| Chile Government International Bond | ||||||||
| 150,000 | 3.875%, 8/5/2020b | 147,459 | ||||||
| Finland Government International Bond | ||||||||
| 250,000 | 1.250%, 10/19/2015f | 240,908 | ||||||
| Italy Government International Bond | ||||||||
| 750,000 | 4.375%, 6/15/2013 | 780,327 | ||||||
| 300,000 | 5.375%, 6/12/2017 | 307,775 | ||||||
| Newfoundland Government Notes | ||||||||
| 500,000 | 8.650%, 10/22/2022 | 685,330 | ||||||
| Quebec Government Notes | ||||||||
| 600,000 | 4.875%, 5/5/2014 | 664,039 | ||||||
| Total Foreign Government | 2,825,838 | |||||||
| Mortgage-Backed Securities (10.4%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 303 | 7.000%, 2/1/2011 | 302 | ||||||
| 2,885 | 6.000%, 5/1/2012 | 3,138 | ||||||
| 1,989 | 7.000%, 8/1/2012 | 2,090 | ||||||
| 4,415 | 6.500%, 11/1/2012 | 4,813 | ||||||
| 20,204 | 6.000%, 2/1/2014 | 21,975 | ||||||
| 34,695 | 5.500%, 4/1/2014 | 37,205 | ||||||
| 15,212 | 6.000%, 4/1/2014 | 16,545 | ||||||
| 19,988 | 6.000%, 4/1/2014 | 21,740 | ||||||
| 17,975 | 6.500%, 6/1/2014 | 19,595 | ||||||
| 13,994 | 7.500%, 9/1/2014 | 15,138 | ||||||
| 521,766 | 5.500%, 12/1/2017 | 560,165 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 16,705 | 6.500%, 4/1/2024 | 18,694 | ||||||
| 28,592 | 9.000%, 11/1/2024 | 33,952 | ||||||
| 1,589 | 9.000%, 4/1/2025 | 1,887 | ||||||
| 2,446 | 7.000%, 9/1/2025 | 2,774 | ||||||
| 2,824 | 8.500%, 9/1/2025 | 3,343 | ||||||
| 2,444 | 8.000%, 1/1/2026 | 2,856 | ||||||
| 764 | 6.500%, 5/1/2026 | 857 | ||||||
| 9,907 | 6.000%, 7/1/2026 | 10,840 | ||||||
| 1,242 | 7.500%, 7/1/2026 | 1,421 | ||||||
| 2,278 | 8.000%, 11/1/2026 | 2,664 | ||||||
| 2,460 | 7.500%, 1/1/2027 | 2,813 | ||||||
| 4,323 | 6.500%, 2/1/2027 | 4,860 | ||||||
| 7,163 | 7.000%, 2/1/2027 | 8,140 | ||||||
| 18,268 | 8.000%, 3/1/2027 | 21,369 | ||||||
| 4,756 | 7.500%, 4/1/2027 | 5,444 | ||||||
| 1,962 | 7.000%, 5/1/2027 | 2,229 | ||||||
| 12,363 | 8.000%, 6/1/2027 | 14,472 | ||||||
| 4,434 | 8.500%, 7/1/2027 | 5,265 | ||||||
| 5,084 | 7.000%, 9/1/2027 | 5,777 | ||||||
| 7,521 | 8.000%, 10/1/2027 | 8,804 | ||||||
| 7,020 | 7.500%, 11/1/2027 | 8,035 | ||||||
| 3,258 | 7.500%, 12/1/2027 | 3,729 | ||||||
| 25,723 | 6.500%, 6/1/2028 | 28,923 | ||||||
| 10,857 | 7.000%, 10/1/2028 | 12,349 | ||||||
| 60,109 | 6.500%, 11/1/2028 | 67,588 | ||||||
| 43,615 | 6.000%, 3/1/2029 | 47,933 | ||||||
| 20,741 | 6.500%, 4/1/2029 | 23,321 | ||||||
| 39,988 | 6.000%, 5/1/2029 | 43,947 | ||||||
| 47,220 | 7.000%, 5/1/2029 | 53,745 | ||||||
| 16,632 | 6.500%, 7/1/2029 | 18,701 | ||||||
| 18,786 | 6.500%, 8/1/2029 | 21,124 | ||||||
| 7,795 | 7.000%, 9/1/2029 | 8,872 | ||||||
| 7,142 | 7.000%, 10/1/2029 | 8,129 | ||||||
| 6,724 | 7.500%, 11/1/2029 | 7,709 | ||||||
| 8,815 | 7.000%, 1/1/2030 | 10,040 | ||||||
| 15,061 | 7.500%, 1/1/2030 | 17,278 | ||||||
| 6,498 | 8.000%, 8/1/2030 | 7,598 | ||||||
| 32,772 | 6.000%, 3/1/2031 | 36,016 | ||||||
| 103,419 | 6.000%, 6/1/2031 | 113,656 | ||||||
| 90,606 | 6.000%, 1/1/2032 | 99,575 | ||||||
| 6,500,000 | 5.000%, 1/1/2041i | 6,816,875 | ||||||
| 3,050,000 | 6.000%, 1/1/2041i | 3,303,531 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 62 | 6.000%, 2/1/2011 | 62 | ||||||
| 647 | 7.000%, 6/1/2011 | 660 | ||||||
| 177 | 6.500%, 7/1/2011 | 192 | ||||||
| 83 | 7.500%, 7/1/2011 | 84 | ||||||
| 4,651 | 6.500%, 5/1/2012 | 5,069 | ||||||
| 1,707 | 6.500%, 7/1/2012 | 1,861 | ||||||
| 7,035 | 7.000%, 10/1/2012 | 7,385 | ||||||
| 1,471 | 6.500%, 6/1/2013 | 1,603 | ||||||
| 18,040 | 6.000%, 11/1/2013 | 19,605 | ||||||
| 45,099 | 5.500%, 12/1/2013 | 48,517 | ||||||
| 21,575 | 6.000%, 12/1/2013 | 23,446 | ||||||
| 5,001 | 7.500%, 4/1/2015 | 5,508 | ||||||
| 5,350,000 | 3.500%, 1/1/2026i | 5,386,781 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 4,757 | 10.500%, 8/1/2020 | 5,457 | ||||||
| 5,464 | 9.500%, 4/1/2025 | 6,508 | ||||||
| 1,018 | 7.500%, 9/1/2025 | 1,163 | ||||||
| 1,838 | 8.500%, 11/1/2025 | 2,132 | ||||||
| 6,652 | 6.500%, 2/1/2026 | 7,458 | ||||||
| 3,345 | 7.000%, 3/1/2026 | 3,797 | ||||||
| 4,832 | 6.500%, 4/1/2026 | 5,418 | ||||||
| 1,507 | 8.500%, 5/1/2026 | 1,751 | ||||||
| 2,164 | 7.500%, 7/1/2026 | 2,475 | ||||||
| 12,820 | 7.500%, 8/1/2026 | 14,663 | ||||||
| 1,805 | 8.000%, 8/1/2026 | 2,087 | ||||||
| 6,016 | 7.000%, 11/1/2026 | 6,828 | ||||||
| 2,226 | 8.000%, 11/1/2026 | 2,574 | ||||||
| 624 | 7.500%, 12/1/2026 | 714 | ||||||
| 1,583 | 7.500%, 2/1/2027 | 1,810 | ||||||
| 4,336 | 7.000%, 3/1/2027 | 4,922 | ||||||
| 4,847 | 7.500%, 5/1/2027 | 5,550 | ||||||
| 8,321 | 6.500%, 7/1/2027 | 9,330 | ||||||
| 9,638 | 7.000%, 7/1/2027 | 10,950 | ||||||
| 1,204 | 7.500%, 8/1/2027 | 1,378 | ||||||
| 28,116 | 8.000%, 9/1/2027 | 32,437 | ||||||
| 6,969 | 7.000%, 10/1/2027 | 7,918 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
244
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (36.1%) | Value | ||||||
| Mortgage-Backed Securities (10.4%) - continued | |||||||
| $ | 36,098 | 7.500%, 12/1/2027 | $ | 41,330 | ||||
| 3,941 | 8.000%, 12/1/2027 | 4,547 | ||||||
| 11,753 | 6.500%, 2/1/2028 | 13,179 | ||||||
| 6,033 | 7.000%, 2/1/2028 | 6,855 | ||||||
| 68,680 | 6.500%, 7/1/2028 | 77,225 | ||||||
| 30,283 | 7.000%, 8/1/2028 | 34,434 | ||||||
| 37,032 | 6.500%, 11/1/2028 | 41,640 | ||||||
| 16,092 | 6.500%, 11/1/2028 | 18,094 | ||||||
| 2,138 | 7.000%, 11/1/2028 | 2,431 | ||||||
| 50,678 | 6.000%, 12/1/2028 | 55,827 | ||||||
| 27,206 | 7.000%, 12/1/2028 | 30,935 | ||||||
| 29,581 | 6.000%, 3/1/2029 | 32,587 | ||||||
| 33,056 | 6.500%, 6/1/2029 | 37,168 | ||||||
| 44,646 | 6.000%, 7/1/2029 | 49,182 | ||||||
| 2,049 | 6.500%, 7/1/2029 | 2,304 | ||||||
| 46,547 | 7.500%, 8/1/2029 | 53,381 | ||||||
| 43,786 | 6.000%, 11/1/2029 | 48,235 | ||||||
| 18,476 | 7.000%, 11/1/2029 | 21,023 | ||||||
| 28,062 | 7.000%, 11/1/2029 | 31,932 | ||||||
| 13,869 | 8.500%, 4/1/2030 | 16,107 | ||||||
| 8,544 | 7.500%, 8/1/2030 | 9,805 | ||||||
| 76,890 | 6.500%, 7/1/2031 | 86,456 | ||||||
| 33,123 | 6.500%, 10/1/2031 | 37,244 | ||||||
| 38,151 | 6.500%, 12/1/2031 | 42,897 | ||||||
| 47,437 | 6.500%, 5/1/2032 | 53,339 | ||||||
| 270,228 | 6.500%, 7/1/2032 | 303,849 | ||||||
| 3,850,000 | 4.500%, 1/1/2041i | 3,951,663 | ||||||
| 4,500,000 | 5.500%, 1/1/2041i | 4,814,298 | ||||||
| Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 106 | 6.000%, 4/15/2011 | 115 | ||||||
| 296 | 6.500%, 6/15/2011 | 323 | ||||||
| 2,068 | 7.000%, 4/15/2012 | 2,160 | ||||||
| 21,683 | 6.000%, 7/15/2014 | 23,601 | ||||||
| Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 3,838 | 9.500%, 12/15/2024 | 4,595 | ||||||
| 5,177 | 9.500%, 1/15/2025 | 6,213 | ||||||
| 2,680 | 7.500%, 8/15/2025 | 3,092 | ||||||
| 12,916 | 7.000%, 1/15/2026 | 14,779 | ||||||
| 10,507 | 7.000%, 1/15/2026 | 12,024 | ||||||
| 11,002 | 7.000%, 4/15/2026 | 12,589 | ||||||
| 13,972 | 6.000%, 5/15/2026 | 15,453 | ||||||
| 3,545 | 7.500%, 5/15/2026 | 4,087 | ||||||
| 14,939 | 7.000%, 6/15/2026 | 17,095 | ||||||
| 6,863 | 8.500%, 6/15/2026 | 8,235 | ||||||
| 2,497 | 8.500%, 7/15/2026 | 2,996 | ||||||
| 12,774 | 8.000%, 9/15/2026 | 15,063 | ||||||
| 3,697 | 7.500%, 10/15/2026 | 4,263 | ||||||
| 2,255 | 8.000%, 11/15/2026 | 2,659 | ||||||
| 1,673 | 8.500%, 11/15/2026 | 2,007 | ||||||
| 2,367 | 9.000%, 12/15/2026 | 2,823 | ||||||
| 15,588 | 7.500%, 4/15/2027 | 17,990 | ||||||
| 5,521 | 8.000%, 6/20/2027 | 6,498 | ||||||
| 1,154 | 8.000%, 8/15/2027 | 1,363 | ||||||
| 70,983 | 6.500%, 10/15/2027 | 80,538 | ||||||
| 19,188 | 7.000%, 10/15/2027 | 21,972 | ||||||
| 23,163 | 7.000%, 11/15/2027 | 26,523 | ||||||
| 1,222 | 7.000%, 11/15/2027 | 1,400 | ||||||
| 85,101 | 7.000%, 7/15/2028 | 97,500 | ||||||
| 16,353 | 7.500%, 7/15/2028 | 18,891 | ||||||
| 44,425 | 6.500%, 9/15/2028 | 50,437 | ||||||
| 57,289 | 6.000%, 12/15/2028 | 63,253 | ||||||
| 31,701 | 6.500%, 1/15/2029 | 35,991 | ||||||
| 187,491 | 6.500%, 3/15/2029 | 212,865 | ||||||
| 32,303 | 6.500%, 4/15/2029 | 36,675 | ||||||
| 18,702 | 7.000%, 4/15/2029 | 21,437 | ||||||
| 84,746 | 6.000%, 6/15/2029 | 93,568 | ||||||
| 43,222 | 7.000%, 6/15/2029 | 49,542 | ||||||
| 23,148 | 8.000%, 5/15/2030 | 27,415 | ||||||
| 34,269 | 7.000%, 9/15/2031 | 39,313 | ||||||
| 47,365 | 6.500%, 2/15/2032 | 53,775 | ||||||
| Total Mortgage-Backed Securities | 28,287,019 | |||||||
| Technology (0.2%) | |||||||
| International Business Machines Corporation | ||||||||
| 500,000 | 7.500%, 6/15/2013 | 574,825 | ||||||
| Total Technology | 574,825 | |||||||
| Transportation (0.1%) | |||||||
| Delta Air Lines, Inc. | ||||||||
| 150,000 | 4.950%, 11/23/2019 | 150,750 | ||||||
| Union Pacific Corporation | ||||||||
| 125,000 | 6.500%, 4/15/2012 | 133,477 | ||||||
| Total Transportation | 284,227 | |||||||
| U.S. Government and Agencies (12.8%) | |||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 500,000 | 0.375%, 11/30/2012 | 497,023 | ||||||
| 2,800,000 | 5.125%, 11/17/2017 | 3,188,394 | ||||||
| Federal National Mortgage Association | ||||||||
| 500,000 | 2.875%, 12/11/2013 | 525,611 | ||||||
| 1,500,000 | 5.625%, 4/17/2028 | 1,697,121 | ||||||
| Resolution Funding Corporation | ||||||||
| 1,000,000 | 8.625%, 1/15/2021 | 1,362,860 | ||||||
| Tennessee Valley Authority | ||||||||
| 150,000 | 5.250%, 9/15/2039 | 158,582 | ||||||
| U.S. Treasury Bonds | ||||||||
| 750,000 | 4.625%, 2/15/2040 | 785,625 | ||||||
| U.S. Treasury Notes | ||||||||
| 1,750,000 | 1.000%, 3/31/2012 | 1,763,405 | ||||||
| 1,500,000 | 0.375%, 8/31/2012 | 1,497,304 | ||||||
| 6,000,000 | 1.125%, 6/15/2013 | 6,049,200 | ||||||
| 1,750,000 | 2.000%, 11/30/2013 | 1,801,679 | ||||||
| 1,000,000 | 4.250%, 8/15/2014 | 1,103,125 | ||||||
| 3,000,000 | 2.375%, 8/31/2014 | 3,107,814 | ||||||
| 1,000,000 | 1.250%, 8/31/2015 | 972,578 | ||||||
| 1,600,000 | 1.250%, 10/31/2015 | 1,548,499 | ||||||
| 1,000,000 | 2.625%, 2/29/2016 | 1,026,328 | ||||||
| 1,750,000 | 3.000%, 2/28/2017 | 1,804,687 | ||||||
| 1,500,000 | 3.250%, 3/31/2017 | 1,566,563 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 972,422 | ||||||
| 2,000,000 | 3.625%, 8/15/2019 | 2,089,376 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
245
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (36.1%) | Value | ||||||
| U.S. Government and Agencies (12.8%) - continued | |||||||
| $ | 1,125,000 | 3.500%, 5/15/2020 | $ | 1,152,428 | ||||
| Total U.S. Government and Agencies | 34,670,624 | |||||||
| U.S. Municipals (0.1%) | |||||||
| Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| 150,000 | 5.720%, 12/1/2038 | 149,034 | ||||||
| Total U.S. Municipals | 149,034 | |||||||
| Utilities (0.7%) | |||||||
| Commonwealth Edison Company | ||||||||
| 225,000 | 5.900%, 3/15/2036 | 232,457 | ||||||
| Oncor Electric Delivery Company | ||||||||
| 425,000 | 6.375%, 1/15/2015 | 481,951 | ||||||
| ONEOK Partners, LP | ||||||||
| 225,000 | 6.650%, 10/1/2036 | 243,995 | ||||||
| Progress Energy, Inc. | ||||||||
| 300,000 | 7.000%, 10/30/2031 | 349,136 | ||||||
| Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 244,865 | ||||||
| Xcel Energy, Inc. | ||||||||
| 225,000 | 6.500%, 7/1/2036 | 251,289 | ||||||
| Total Utilities | 1,803,693 | |||||||
Total Long-Term Fixed Income (cost $99,184,155) | 97,782,084 | |||||||
Shares | Collateral Held for Securities Loaned (0.4%) | Value | ||||||
| 962,860 | Thrivent Financial Securities Lending Trust | 962,860 | ||||||
Total Collateral Held for Securities Loaned (cost $962,860) | 962,860 | |||||||
| Principal Amount | Short-Term Investments (7.2%)j | Value | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 500,000 | 0.190%, 3/14/2011k,l | 499,812 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 13,000,000 | 0.090%, 1/10/2011k | 12,999,707 | ||||||
| 6,000,000 | 0.090%, 2/1/2011k | 5,999,535 | ||||||
| Total Short-Term Investments (at amortized cost) | 19,499,054 | |||||||
| Total Investments (cost $270,928,814) 109.0% | $ | 294,879,322 | ||||||
| Other Assets and Liabilities, Net (9.0%) | (24,286,253 | ) | ||||||
| Total Net Assets 100.0% | $ | 270,593,069 | ||||||
| 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 securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010. |
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 | 1,171,996 | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,095,928 | ||||||
| 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, 2010, the value of these investments was $5,314,931 or 2.0% of total net assets. |
| g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| h | Defaulted security. Interest is not being accrued. |
| i | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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. |
| k | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| l | At December 31, 2010, $449,831 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 | $ | 60,643,107 | ||
Gross unrealized depreciation | (42,529,444 | ) | ||
Net unrealized appreciation (depreciation) | $ | 18,113,663 | ||
Cost for federal income tax purposes | $ | 276,765,659 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
246
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 19,060,140 | 19,060,140 | — | — | ||||||||||||
Consumer Staples | 18,823,468 | 18,823,468 | — | — | ||||||||||||
Energy | 21,196,993 | 21,196,993 | — | — | ||||||||||||
Financials | 28,118,203 | 28,118,203 | — | — | ||||||||||||
Health Care | 19,129,327 | 19,129,327 | — | — | ||||||||||||
Industrials | 19,367,373 | 19,367,373 | — | — | ||||||||||||
Information Technology | 33,017,570 | 33,017,570 | — | — | ||||||||||||
Materials | 6,662,180 | 6,662,180 | — | — | ||||||||||||
Telecommunications Services | 5,442,788 | 5,442,788 | — | — | ||||||||||||
Utilities | 5,817,282 | 5,817,282 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,096,575 | — | 3,274,629 | 821,946 | ||||||||||||
Basic Materials | 326,038 | — | 326,038 | — | ||||||||||||
Capital Goods | 576,055 | — | 576,055 | — | ||||||||||||
Collateralized Mortgage Obligations | 1,228,970 | — | 1,228,970 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 10,203,768 | — | 10,203,768 | — | ||||||||||||
Communications Services | 2,013,485 | — | 2,013,485 | — | ||||||||||||
Consumer Cyclical | 1,339,117 | — | 1,339,117 | — | ||||||||||||
Consumer Non-Cyclical | 1,924,632 | — | 1,924,632 | — | ||||||||||||
Energy | 568,162 | — | 568,162 | — | ||||||||||||
Financials | 6,910,022 | — | 6,294,724 | 615,298 | ||||||||||||
Foreign Government | 2,825,838 | — | 2,825,838 | — | ||||||||||||
Mortgage-Backed Securities | 28,287,019 | — | 28,287,019 | — | ||||||||||||
Technology | 574,825 | — | 574,825 | — | ||||||||||||
Transportation | 284,227 | — | 284,227 | — | ||||||||||||
U.S. Government and Agencies | 34,670,624 | — | 34,670,624 | — | ||||||||||||
U.S. Municipals | 149,034 | — | 149,034 | — | ||||||||||||
Utilities | 1,803,693 | — | 1,803,693 | — | ||||||||||||
Collateral Held for Securities Loaned | 962,860 | 962,860 | — | — | ||||||||||||
Short-Term Investments | 19,499,054 | — | 19,499,054 | — | ||||||||||||
Total | $ | 294,879,322 | $ | 177,598,184 | $ | 115,843,894 | $ | 1,437,244 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 426 | 426 | — | — | ||||||||||||
Total Asset Derivatives | $ | 426 | $ | 426 | $ | — | $ | — | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31,2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 628,952 | — | 376,100 | — | (183,106 | ) | — | — | 821,946 | |||||||||||||||||||||||
Financials | 537,229 | — | 99,916 | — | (21,847 | ) | — | — | 615,298 | |||||||||||||||||||||||
Total | $ | 1,166,181 | $ | — | $ | 476,016 | $ | — | ($ | 204,953 | ) | $ | — | $ | — | $ | 1,437,244 | |||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $370,934. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
247
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 6 | March 2011 | $ | 1,879,074 | $ | 1,879,500 | $ | 426 | ||||||||||||
Total Futures Contracts | $ | 426 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 426 | ||||
Total Equity Contracts | 426 | |||||
Total Asset Derivatives | $ | 426 | ||||
| * | 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, 2010, 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 | 406,349 | ||||
Total Equity Contracts | 406,349 | |||||
Total | $ | 406,349 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (16,424 | ) | |||
Total Equity Contracts | (16,424 | ) | ||||
Total | ($ | 16,424 | ) | |||
The following table presents Balanced Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 3,055,724 | 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.
248
Table of Contents
Balanced Portfolio
Schedule of Investments as of December 31, 2010
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 4,467,865 | $ | 51,129,964 | $ | 54,634,969 | 962,860 | $ | 962,860 | $ | 10,237 | |||||||||||||
Total Value and Income Earned | 4,467,865 | 962,860 | 10,237 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
249
Table of Contents
Schedule of Investments as of December 31, 2010
| Principal Amount | Bank Loans (1.8%)a | Value | ||||||
| Financials (0.5%) | ||||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| $ 3,605,000 | 12.500%, 7/31/2015 | $ | 3,896,392 | |||||
Total Financials | 3,896,392 | |||||||
| Transportation (0.2%) | ||||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 1,580,000 | 8.750%, 9/27/2013 | 1,590,207 | ||||||
Total Transportation | 1,590,207 | |||||||
| Utilities (1.1%) | ||||||||
Energy Future Holdings, Term Loan | ||||||||
| 11,138,638 | 3.764%, 10/10/2014 | 8,604,597 | ||||||
Total Utilities | 8,604,597 | |||||||
Total Bank Loans (cost $15,125,174) | 14,091,196 | |||||||
Long-Term Fixed Income (93.7%) | ||||||||
| Asset-Backed Securities (0.7%) | ||||||||
Countrywide Asset-Backed Certificates | ||||||||
| 378,393 | 0.371%, 6/25/2021b,c | 337,920 | ||||||
J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 2,600,000 | 5.461%, 10/25/2036 | 2,062,078 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,663,835 | 5.746%, 5/25/2036 | 2,049,949 | ||||||
| 1,800,000 | 6.011%, 5/25/2036 | 1,202,945 | ||||||
Total Asset-Backed Securities | 5,652,892 | |||||||
| Basic Materials (8.7%) | ||||||||
ABI Escrow Corporation | ||||||||
| 2,660,000 | 10.250%, 10/15/2018d | 2,912,700 | ||||||
Arch Coal, Inc. | ||||||||
| 1,650,000 | 7.250%, 10/1/2020e | 1,740,750 | ||||||
Arch Western Finance, LLC | ||||||||
| 1,779,000 | 6.750%, 7/1/2013 | 1,796,790 | ||||||
Atkore International, Inc. | ||||||||
| 2,100,000 | 9.875%, 1/1/2018d | 2,184,000 | ||||||
Cascades, Inc. | ||||||||
| 1,000,000 | 7.750%, 12/15/2017 | 1,042,500 | ||||||
CONSOL Energy, Inc. | ||||||||
| 1,900,000 | 8.000%, 4/1/2017d | 2,023,500 | ||||||
| 2,770,000 | 8.250%, 4/1/2020d | 2,991,600 | ||||||
Domtar Corporation | ||||||||
| 3,590,000 | 7.125%, 8/15/2015 | 3,859,250 | ||||||
Drummond Company, Inc. | ||||||||
| 800,000 | 9.000%, 10/15/2014d | 854,000 | ||||||
| 4,495,000 | 7.375%, 2/15/2016 | 4,657,944 | ||||||
FMG Finance, Pty., Ltd. | ||||||||
| 2,630,000 | 7.000%, 11/1/2015d | 2,695,750 | ||||||
FMG Resources | ||||||||
| 2,630,000 | 6.875%, 2/1/2018d | 2,616,850 | ||||||
Graphic Packaging International, Inc. | ||||||||
| 800,000 | 9.500%, 6/15/2017 | 873,000 | ||||||
| 1,600,000 | 7.875%, 10/1/2018e | 1,676,000 | ||||||
Griffin Coal Mining Company, Pty., Ltd. | ||||||||
| 1,735,000 | 9.500%, 12/1/2016d,f | 1,446,556 | ||||||
Hexion Finance Escrow, LLC | ||||||||
| 5,090,000 | 8.875%, 2/1/2018 | 5,439,937 | ||||||
Hexion US Finance Corporation/ Hexion Nova Scotia Finance ULC | ||||||||
| 3,150,000 | 9.000%, 11/15/2020d | 3,331,125 | ||||||
LBI Escrow Corporation | ||||||||
| 2,339,000 | 8.000%, 11/1/2017d | 2,587,519 | ||||||
Lyondell Chemical Company | ||||||||
| 2,696,790 | 11.000%, 5/1/2018 | 3,054,115 | ||||||
NOVA Chemicals Corporation | ||||||||
| 5,610,000 | 8.625%, 11/1/2019 | 6,128,925 | ||||||
Novelis, Inc. | ||||||||
| 3,950,000 | 8.750%, 12/15/2020d | 4,098,125 | ||||||
Ryerson Holding Corporation | ||||||||
| 4,770,000 | Zero Coupon, 2/1/2015 | 2,134,575 | ||||||
Ryerson, Inc. | ||||||||
| 2,300,000 | 12.000%, 11/1/2015 | 2,409,250 | ||||||
Severstal Columbus, LLC | ||||||||
| 1,600,000 | 10.250%, 2/15/2018d | 1,688,000 | ||||||
Steel Dynamics, Inc. | ||||||||
| 3,330,000 | 7.750%, 4/15/2016 | 3,504,825 | ||||||
Total Basic Materials | 67,747,586 | |||||||
| Capital Goods (8.6%) | ||||||||
Abengoa Finance SAU | ||||||||
| 7,890,000 | 8.875%, 11/1/2017d | 7,298,250 | ||||||
Associated Materials, LLC | ||||||||
| 4,800,000 | 9.125%, 11/1/2017d | 5,016,000 | ||||||
BE Aerospace, Inc. | ||||||||
| 3,720,000 | 6.875%, 10/1/2020 | 3,840,900 | ||||||
Case New Holland, Inc. | ||||||||
| 5,300,000 | 7.875%, 12/1/2017d | 5,790,250 | ||||||
Coleman Cable, Inc. | ||||||||
| 2,420,000 | 9.000%, 2/15/2018 | 2,504,700 | ||||||
DRS Technologies, Inc. | ||||||||
| 3,400,000 | 6.625%, 2/1/2016 | 3,511,221 | ||||||
EnergySolutions, Inc. | ||||||||
| 2,650,000 | 10.750%, 8/15/2018d | 2,891,812 | ||||||
Graham Packaging Company, LP | ||||||||
| 1,060,000 | 8.250%, 10/1/2018 | 1,113,000 | ||||||
Graham Packaging Company, LP/GPC Capital Corporation I | ||||||||
| 3,515,000 | 9.875%, 10/15/2014e | 3,638,025 | ||||||
| 2,550,000 | 8.250%, 1/1/2017e | 2,652,000 | ||||||
Liberty Tire Recycling | ||||||||
| 2,660,000 | 11.000%, 10/1/2016d | 2,852,850 | ||||||
Manitowoc Company, Inc. | ||||||||
| 4,730,000 | 8.500%, 11/1/2020 | 5,025,625 | ||||||
Nortek, Inc. | ||||||||
| 3,160,000 | 10.000%, 12/1/2018d,e | 3,262,700 | ||||||
Owens-Illinois, Inc. | ||||||||
| 3,470,000 | 7.800%, 5/15/2018 | 3,686,875 | ||||||
Plastipak Holdings, Inc. | ||||||||
| 2,995,000 | 8.500%, 12/15/2015d | 3,084,850 | ||||||
| 500,000 | 10.625%, 8/15/2019d | 561,875 | ||||||
RBS Global, Inc./Rexnord Corporation | ||||||||
| 1,330,000 | 11.750%, 8/1/2016e | 1,426,425 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
250
Table of Contents
High Yield Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (93.7%) | Value | ||||||
| Capital Goods (8.6%) - continued | ||||||||
| $ 4,520,000 | 8.500%, 5/1/2018 | $ | 4,802,500 | |||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,580,000 | 9.000%, 4/15/2019d | 1,637,275 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 2,800,000 | 9.500%, 12/1/2014 | 2,940,000 | ||||||
Total Capital Goods | 67,537,133 | |||||||
| Communications Services (15.2%) | ||||||||
CCO Holdings, LLC | ||||||||
| 4,250,000 | 7.250%, 10/30/2017e | 4,313,750 | ||||||
Cengage Learning Acquisitions, Inc. | ||||||||
| 5,340,000 | 10.500%, 1/15/2015d | 5,513,550 | ||||||
Cincinnati Bell, Inc. | ||||||||
| 7,980,000 | 8.250%, 10/15/2017 | 7,900,200 | ||||||
Citadel Broadcasting Corporation | ||||||||
| 3,260,000 | 7.750%, 12/15/2018d | 3,374,100 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 5,170,000 | 9.250%, 12/15/2017 | 5,661,150 | ||||||
CSC Holdings, Inc. | ||||||||
| 3,450,000 | 8.500%, 6/15/2015 | 3,743,250 | ||||||
| 1,150,000 | 8.625%, 2/15/2019 | 1,299,500 | ||||||
Digicel Group, Ltd. | ||||||||
| 4,210,000 | 8.250%, 9/1/2017d | 4,315,250 | ||||||
Equinix, Inc. | ||||||||
| 2,190,000 | 8.125%, 3/1/2018 | 2,288,550 | ||||||
Frontier Communications Corporation | ||||||||
| 3,190,000 | 8.250%, 4/15/2017 | 3,501,025 | ||||||
| 3,180,000 | 8.125%, 10/1/2018 | 3,490,050 | ||||||
| 5,000,000 | 8.500%, 4/15/2020 | 5,462,500 | ||||||
Intelsat Bermuda, Ltd. | ||||||||
| 6,823,906 | 11.500%, 2/4/2017e | 7,540,416 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 4,520,000 | 7.250%, 10/15/2020d | 4,565,200 | ||||||
Intelsat Jackson Holdings, Ltd. | ||||||||
| 2,380,000 | 8.500%, 11/1/2019d | 2,588,250 | ||||||
Nielsen Finance, LLC/Nielsen Finance Company | ||||||||
| 1,500,000 | 11.500%, 5/1/2016 | 1,732,500 | ||||||
| 2,800,000 | 7.750%, 10/15/2018d | 2,898,000 | ||||||
NII Capital Corporation | ||||||||
| 5,330,000 | 8.875%, 12/15/2019 | 5,743,075 | ||||||
Paetec Escrow Corporation | ||||||||
| 2,225,000 | 9.875%, 12/1/2018d | 2,286,188 | ||||||
PAETEC Holding Corporation | ||||||||
| 4,300,000 | 9.500%, 7/15/2015e | 4,450,500 | ||||||
Quebecor Media, Inc. | ||||||||
| 3,790,000 | 7.750%, 3/15/2016 | 3,913,175 | ||||||
TW Telecom Holdings, Inc. | ||||||||
| 2,400,000 | 8.000%, 3/1/2018 | 2,550,000 | ||||||
Umbrella Acquisition | ||||||||
| 2,337,246 | 9.750%, 3/15/2015d | 2,524,226 | ||||||
UPC Holding BV | ||||||||
| 4,500,000 | 9.875%, 4/15/2018d | 4,927,500 | ||||||
Videotron Ltee | ||||||||
| 2,290,000 | 9.125%, 4/15/2018 | 2,553,350 | ||||||
Virgin Media Finance plc | ||||||||
| 5,240,000 | 9.125%, 8/15/2016 | 5,580,600 | ||||||
| 1,790,000 | 8.375%, 10/15/2019 | 1,955,575 | ||||||
Wind Acquisition Finance SA | ||||||||
| 5,250,000 | 11.750%, 7/15/2017d | 5,919,375 | ||||||
| 2,495,000 | 7.250%, 2/15/2018d | 2,538,662 | ||||||
XM Satellite Radio, Inc. | ||||||||
| 3,680,000 | 7.625%, 11/1/2018d,e | 3,799,600 | ||||||
Total Communications Services | 118,929,067 | |||||||
| Consumer Cyclical (20.8%) | ||||||||
AMC Entertainment, Inc. | ||||||||
| 3,190,000 | 8.750%, 6/1/2019 | 3,405,325 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
| 2,150,000 | 5.250%, 2/11/2014e | 2,112,375 | ||||||
| 2,130,000 | 7.875%, 3/1/2017e | 2,180,588 | ||||||
Beazer Homes USA, Inc. | ||||||||
| 4,250,000 | 6.875%, 7/15/2015e | 4,111,875 | ||||||
| 3,680,000 | 9.125%, 5/15/2019d | 3,496,000 | ||||||
Bon-Ton Stores, Inc. | ||||||||
| 2,120,000 | 10.250%, 3/15/2014e | 2,162,400 | ||||||
Boyd Gaming Corporation | ||||||||
| 5,260,000 | 9.125%, 12/1/2018d,e | 5,194,250 | ||||||
Circus & Eldorado Joint Venture/Silver Legacy Capital Corporation | ||||||||
| 4,250,000 | 10.125%, 3/1/2012 | 4,085,313 | ||||||
DineEquity, Inc. | ||||||||
| 4,200,000 | 9.500%, 10/30/2018d | 4,452,000 | ||||||
FireKeepers Development Authority | ||||||||
| 4,600,000 | 13.875%, 5/1/2015d | 5,439,500 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 10,330,000 | 8.000%, 6/1/2014 | 11,380,633 | ||||||
| 5,320,000 | 7.000%, 4/15/2015 | 5,716,936 | ||||||
Gaylord Entertainment Company | ||||||||
| 6,650,000 | 6.750%, 11/15/2014 | 6,550,250 | ||||||
Goodyear Tire & Rubber Company | ||||||||
| 3,200,000 | 10.500%, 5/15/2016 | 3,648,000 | ||||||
| 3,190,000 | 8.250%, 8/15/2020e | 3,301,650 | ||||||
KB Home | ||||||||
| 3,460,000 | 6.250%, 6/15/2015 | 3,425,400 | ||||||
Lear Corporation | ||||||||
| 2,200,000 | 7.875%, 3/15/2018 | 2,354,000 | ||||||
| 2,200,000 | 8.125%, 3/15/2020e | 2,392,500 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 2,140,000 | 8.375%, 7/15/2015 | 2,503,800 | ||||||
Marina District Finance Company, Inc. | ||||||||
| 4,760,000 | 9.500%, 10/15/2015d,e | 4,676,700 | ||||||
| 530,000 | 9.875%, 8/15/2018d,e | 522,050 | ||||||
NCL Corporation, Ltd. | ||||||||
| 4,270,000 | 11.750%, 11/15/2016 | 4,979,887 | ||||||
| 3,680,000 | 9.500%, 11/15/2018d | 3,790,400 | ||||||
Peninsula Gaming, LLC | ||||||||
| 2,170,000 | 8.375%, 8/15/2015 | 2,281,212 | ||||||
| 3,990,000 | 10.750%, 8/15/2017 | 4,299,225 | ||||||
Pinnacle Entertainment, Inc. | ||||||||
| 4,000,000 | 7.500%, 6/15/2015 | 4,010,000 | ||||||
Realogy Corporation | ||||||||
| 2,120,000 | 10.500%, 4/15/2014e | 2,082,900 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
251
Table of Contents
High Yield Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (93.7%) | Value | ||||||
| Consumer Cyclical (20.8%) - continued | ||||||||
Rite Aid Corporation | ||||||||
| $ 3,400,000 | 7.500%, 3/1/2017 | $ | 3,268,250 | |||||
| 1,530,000 | 9.500%, 6/15/2017 | 1,300,500 | ||||||
Sears Holdings Corporation | ||||||||
| 5,600,000 | 6.625%, 10/15/2018d | 5,222,000 | ||||||
Seminole Indian Tribe of Florida | ||||||||
| 1,970,000 | 7.750%, 10/1/2017d | 2,034,025 | ||||||
| 5,540,000 | 7.804%, 10/1/2020d | 5,398,730 | ||||||
Service Corporation International | ||||||||
| 2,100,000 | 6.750%, 4/1/2015 | 2,152,500 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
| 5,950,000 | 9.375%, 6/15/2015d | 4,105,500 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 2,400,000 | 7.875%, 10/15/2014 | 2,724,000 | ||||||
Toys R Us Property Company I, LLC | ||||||||
| 3,100,000 | 10.750%, 7/15/2017 | 3,534,000 | ||||||
Tunica-Biloxi Gaming Authority | ||||||||
| 4,770,000 | 9.000%, 11/15/2015g | 4,495,725 | ||||||
Universal City Development Partners, Ltd. | ||||||||
| 1,730,000 | 8.875%, 11/15/2015 | 1,838,125 | ||||||
| 2,670,000 | 10.875%, 11/15/2016 | 2,916,975 | ||||||
West Corporation | ||||||||
| 4,650,000 | 8.625%, 10/1/2018d | 4,929,000 | ||||||
| 3,940,000 | 7.875%, 1/15/2019d | 4,008,950 | ||||||
WMG Holdings Corporation | ||||||||
| 2,600,000 | 9.500%, 12/15/2014e | 2,489,500 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 4,800,000 | 6.000%, 12/1/2016 | 5,022,888 | ||||||
| 925,000 | 5.750%, 2/1/2018 | 940,573 | ||||||
| 1,600,000 | 7.375%, 3/1/2020 | 1,758,954 | ||||||
Total Consumer Cyclical | 162,695,364 | |||||||
| Consumer Discretionary (0.2%) | ||||||||
Libbey Glass, Inc. | ||||||||
| 1,710,000 | 10.000%, 2/15/2015d | 1,838,250 | ||||||
Total Consumer Discretionary | 1,838,250 | |||||||
| Consumer Non-Cyclical (12.6%) | ||||||||
Apria Healthcare Group, Inc. | ||||||||
| 4,190,000 | 12.375%, 11/1/2014 | 4,609,000 | ||||||
Biomet, Inc. | ||||||||
| 2,090,000 | 10.375%, 10/15/2017 | 2,283,325 | ||||||
| 1,810,000 | 11.625%, 10/15/2017 | 2,000,050 | ||||||
Capella Healthcare, Inc. | ||||||||
| 3,960,000 | 9.250%, 7/1/2017d | 4,197,600 | ||||||
DaVita, Inc. | ||||||||
| 520,000 | 6.375%, 11/1/2018 | 517,400 | ||||||
| 2,000,000 | 6.625%, 11/1/2020e | 1,980,000 | ||||||
Diversey Holdings, Inc. | ||||||||
| 2,761,171 | 10.500%, 5/15/2020 | 3,175,346 | ||||||
Diversey, Inc. | ||||||||
| 1,580,000 | 8.250%, 11/15/2019 | 1,714,300 | ||||||
DJO Finance, LLC/DJO Finance Corporation | ||||||||
| 5,675,000 | 10.875%, 11/15/2014 | 6,192,844 | ||||||
| 900,000 | 9.750%, 10/15/2017d | 927,000 | ||||||
HCA Holdings, Inc. | ||||||||
| 3,940,000 | 7.750%, 5/15/2021d,e | 3,940,000 | ||||||
HCA, Inc. | ||||||||
| 3,664,000 | 9.625%, 11/15/2016 | 3,925,060 | ||||||
| 2,710,000 | 8.500%, 4/15/2019 | 2,967,450 | ||||||
| 4,270,000 | 7.250%, 9/15/2020 | 4,462,150 | ||||||
Ingles Markets, Inc. | ||||||||
| 1,600,000 | 8.875%, 5/15/2017 | 1,712,000 | ||||||
Jarden Corporation | ||||||||
| 3,730,000 | 7.500%, 5/1/2017 | 3,930,488 | ||||||
| 1,070,000 | 7.500%, 1/15/2020 | 1,115,475 | ||||||
JBS Finance II, Ltd. | ||||||||
| 5,050,000 | 8.250%, 1/29/2018d | 5,075,250 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 3,150,000 | 11.625%, 5/1/2014 | 3,685,500 | ||||||
Michael Foods, Inc. | ||||||||
| 3,190,000 | 9.750%, 7/15/2018d | 3,485,075 | ||||||
Mylan, Inc. | ||||||||
| 3,210,000 | 7.875%, 7/15/2020d | 3,458,775 | ||||||
Pinnacle Foods Finance, LLC | ||||||||
| 4,790,000 | 9.250%, 4/1/2015 | 4,987,588 | ||||||
Revlon Consumer Products Corporation | ||||||||
| 3,730,000 | 9.750%, 11/15/2015 | 3,944,475 | ||||||
Select Medical Corporation | ||||||||
| 4,775,000 | 7.625%, 2/1/2015 | 4,775,000 | ||||||
| 1,700,000 | 6.237%, 9/15/2015c,e | 1,572,500 | ||||||
Spectrum Brands, Inc. | ||||||||
| 3,700,000 | 9.500%, 6/15/2018d | 4,065,375 | ||||||
U.S. Oncology, Inc. | ||||||||
| 2,090,000 | 10.750%, 8/15/2014 | 2,165,762 | ||||||
Visant Corporation | ||||||||
| 3,840,000 | 10.000%, 10/1/2017d | 4,080,000 | ||||||
Warner Chilcott Company, LLC | ||||||||
| 7,650,000 | 7.750%, 9/15/2018d | 7,726,500 | ||||||
Total Consumer Non-Cyclical | 98,671,288 | |||||||
| Energy (10.2%) | ||||||||
Anadarko Petroleum Corporation | ||||||||
| 3,190,000 | 6.375%, 9/15/2017 | 3,474,889 | ||||||
Chesapeake Energy Corporation | ||||||||
| 3,190,000 | 6.875%, 8/15/2018 | 3,237,850 | ||||||
Citgo Petroleum Corporation | ||||||||
| 4,000,000 | 11.500%, 7/1/2017d | 4,480,000 | ||||||
Coffeyville Resources, LLC | ||||||||
| 1,584,000 | 9.000%, 4/1/2015d | 1,694,880 | ||||||
| 3,600,000 | 10.875%, 4/1/2017d | 3,870,000 | ||||||
Compagnie Generale de Geophysique-Veritas | ||||||||
| 1,940,000 | 7.500%, 5/15/2015 | 1,973,950 | ||||||
| 1,280,000 | 9.500%, 5/15/2016 | 1,395,200 | ||||||
Connacher Oil and Gas, Ltd. | ||||||||
| 1,220,000 | 11.750%, 7/15/2014d | 1,320,650 | ||||||
| 3,440,000 | 10.250%, 12/15/2015d | 3,457,200 | ||||||
Denbury Resources, Inc. | ||||||||
| 3,235,000 | 7.500%, 12/15/2015 | 3,348,225 | ||||||
| 800,000 | 9.750%, 3/1/2016 | 892,000 | ||||||
| 428,000 | 8.250%, 2/15/2020 | 464,380 | ||||||
Forest Oil Corporation | ||||||||
| 4,130,000 | 7.250%, 6/15/2019 | 4,191,950 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
252
Table of Contents
High Yield Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (93.7%) | Value | ||||||
| Energy (10.2%) - continued | ||||||||
Harvest Operations Corporation | ||||||||
| $ 5,290,000 | 6.875%, 10/1/2017d | $ | 5,448,700 | |||||
Helix Energy Solutions Group, Inc. | ||||||||
| 2,950,000 | 9.500%, 1/15/2016d | 3,031,125 | ||||||
Linn Energy, LLC | ||||||||
| 2,250,000 | 8.625%, 4/15/2020d | 2,424,375 | ||||||
| 2,195,000 | 7.750%, 2/1/2021d | 2,249,875 | ||||||
McJunkin Red Man Corporation | ||||||||
| 4,290,000 | 9.500%, 12/15/2016d | 4,054,050 | ||||||
Newfield Exploration Company | ||||||||
| 3,900,000 | 6.625%, 4/15/2016 | 4,007,250 | ||||||
Offshore Group Investments, Ltd. | ||||||||
| 1,060,000 | 11.500%, 8/1/2015d | 1,150,100 | ||||||
Petrohawk Energy Corporation | ||||||||
| 850,000 | 10.500%, 8/1/2014 | 969,000 | ||||||
| 3,190,000 | 7.250%, 8/15/2018 | 3,221,900 | ||||||
Pioneer Natural Resources Company | ||||||||
| 3,200,000 | 7.500%, 1/15/2020e | 3,513,687 | ||||||
Plains Exploration & Production Company | ||||||||
| 1,670,000 | 7.750%, 6/15/2015 | 1,740,975 | ||||||
| 4,270,000 | 10.000%, 3/1/2016 | 4,771,725 | ||||||
Precision Drilling Corporation | ||||||||
| 2,450,000 | 6.625%, 11/15/2020d | 2,492,875 | ||||||
QEP Resources, Inc. | ||||||||
| 3,670,000 | 6.875%, 3/1/2021 | 3,853,500 | ||||||
Southwestern Energy Company | ||||||||
| 2,950,000 | 7.500%, 2/1/2018 | 3,326,125 | ||||||
Total Energy | 80,056,436 | |||||||
| Financials (6.0%) | ||||||||
Ally Financial, Inc. | ||||||||
| 2,080,000 | 7.500%, 12/31/2013 | 2,230,800 | ||||||
| 2,650,000 | 8.000%, 3/15/2020 | 2,895,125 | ||||||
| 5,590,000 | 7.500%, 9/15/2020d | 5,862,512 | ||||||
Bank of America Corporation | ||||||||
| 3,660,000 | 8.125%, 12/29/2049e,h | 3,688,548 | ||||||
CIT Group, Inc. | ||||||||
| 7,400,000 | 7.000%, 5/1/2017 | 7,418,500 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 3,190,000 | 7.875%, 9/1/2020 | 3,572,347 | ||||||
Harbinger Group, Inc. | ||||||||
| 2,100,000 | 10.625%, 11/15/2015d,e | 2,110,500 | ||||||
Icahn Enterprises, LP | ||||||||
| 4,730,000 | 7.750%, 1/15/2016d | 4,706,350 | ||||||
| 5,780,000 | 8.000%, 1/15/2018d | 5,751,100 | ||||||
ING Capital Funding Trust III | ||||||||
| 1,600,000 | 3.903%, 12/31/2049c,h | 1,476,000 | ||||||
International Lease Finance Corporation | ||||||||
| 2,250,000 | 8.625%, 9/15/2015d | 2,418,750 | ||||||
| 1,950,000 | 8.750%, 3/15/2017d | 2,091,375 | ||||||
| 1,600,000 | 8.875%, 9/1/2017e | 1,726,000 | ||||||
Pinafore, LLC | ||||||||
| 800,000 | 9.000%, 10/1/2018d | 864,000 | ||||||
Total Financials | 46,811,907 | |||||||
| Technology (3.5%) | ||||||||
Advanced Micro Devices, Inc. | ||||||||
| 3,200,000 | 8.125%, 12/15/2017 | 3,392,000 | ||||||
| 930,000 | 7.750%, 8/1/2020d | 964,875 | ||||||
First Data Corporation | ||||||||
| 208,000 | 9.875%, 9/24/2015 | 198,120 | ||||||
| 923,000 | 8.250%, 1/15/2021d,e | 886,080 | ||||||
| 1,850,000 | 12.625%, 1/15/2021d | 1,766,750 | ||||||
| 925,000 | 8.750%, 1/15/2022d | 894,937 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 1,500,000 | 10.125%, 12/15/2016e | 1,578,750 | ||||||
| 4,530,000 | 10.750%, 8/1/2020d,e | 4,937,700 | ||||||
Jabil Circuit, Inc. | ||||||||
| 1,340,000 | 5.625%, 12/15/2020 | 1,316,550 | ||||||
NXP BV/NXP Funding, LLC | ||||||||
| 3,190,000 | 9.500%, 10/15/2015e | 3,413,300 | ||||||
| 2,660,000 | 9.750%, 8/1/2018d | 2,992,500 | ||||||
Seagate HDD Cayman | ||||||||
| 2,100,000 | 7.750%, 12/15/2018d | 2,126,250 | ||||||
Syniverse Holding, Inc. | ||||||||
| 3,150,000 | 9.125%, 1/15/2019d | 3,252,375 | ||||||
Total Technology | 27,720,187 | |||||||
| Transportation (3.1%) | ||||||||
Air Medical Group Holdings, Inc. | ||||||||
| 1,040,000 | 9.250%, 11/1/2018d | 1,092,000 | ||||||
American Petroleum Tankers LLC | ||||||||
| 1,330,000 | 10.250%, 5/1/2015d | 1,376,550 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 5,260,000 | 8.250%, 1/15/2019d | 5,312,600 | ||||||
Continental Airlines, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2015d | 3,090,000 | ||||||
Delta Air Lines, Inc. | ||||||||
| 1,410,000 | 9.500%, 9/15/2014d | 1,535,138 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 1,130,000 | 7.375%, 6/1/2014 | 1,180,850 | ||||||
Navios Maritime Acquisition Corporation | ||||||||
| 1,050,000 | 8.625%, 11/1/2017d | 1,073,625 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 3,300,000 | 9.500%, 12/15/2014 | 3,432,000 | ||||||
| 1,330,000 | 8.875%, 11/1/2017e | 1,439,725 | ||||||
United Air Lines, Inc. | ||||||||
| 2,188,968 | 9.750%, 1/15/2017 | 2,517,314 | ||||||
United Maritime Group, LLC/United Maritime Group Finance Corporation | ||||||||
| 2,140,000 | 11.750%, 6/15/2015 | 2,145,350 | ||||||
Total Transportation | 24,195,152 | |||||||
| Utilities (4.1%) | ||||||||
AES Corporation | ||||||||
| 4,230,000 | 7.750%, 10/15/2015 | 4,515,525 | ||||||
Covanta Holding Corporation | ||||||||
| 2,600,000 | 7.250%, 12/1/2020 | 2,635,823 | ||||||
Crosstex Energy/Crosstex Energy Finance Corporation | ||||||||
| 3,730,000 | 8.875%, 2/15/2018 | 3,995,762 | ||||||
Holly Energy Partners LP | ||||||||
| 2,130,000 | 8.250%, 3/15/2018d | 2,225,850 | ||||||
Inergy, LP | ||||||||
| 5,060,000 | 7.000%, 10/1/2018d | 5,097,950 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
253
Table of Contents
High Yield Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (93.7%) | Value | ||||||
| Utilities (4.1%) - continued | ||||||||
NRG Energy, Inc. | ||||||||
| $ 5,740,000 | 7.375%, 2/1/2016e | $ | 5,883,500 | |||||
Regency Energy Partners, LP | ||||||||
| 3,670,000 | 6.875%, 12/1/2018 | 3,715,875 | ||||||
Targa Resources Partners, LP | ||||||||
| 3,460,000 | 7.875%, 10/15/2018d | 3,633,000 | ||||||
Total Utilities | 31,703,285 | |||||||
Total Long-Term Fixed Income (cost $693,608,268) | 733,558,547 | |||||||
| Shares | Preferred Stock (1.2%) | |||||||
| Financials (1.2%) | |||||||
| 3,381 | Ally Financial, Inc., 7.000%d,h | 3,195,362 | ||||||
| 26,500 | Citigroup, Inc., Convertible, 7.500% | 3,622,285 | ||||||
| 3,000 | Wells Fargo & Company, Convertible, 7.500%h | 3,001,650 | ||||||
Total Financials | 9,819,297 | |||||||
Total Preferred Stock (cost $6,482,585) | 9,819,297 | |||||||
Common Stock (0.2%) | ||||||||
| Consumer Discretionary (<0.1%) | |||||||
| 121,520 | TVMAX Holdings, Inc.i,j | 0 | ||||||
Total Consumer Discretionary | 0 | |||||||
| Materials (0.2%) | ||||||||
| 53,617 | Smurfit-Stone Container Corporationj | 1,372,595 | ||||||
Total Materials | 1,372,595 | |||||||
| Telecommunications Services (<0.1%) | ||||||||
| 36 | USA Mobility, Inc. | 640 | ||||||
Total Telecommunications Services | 640 | |||||||
Total Common Stock (cost $7,998,912) | 1,373,235 | |||||||
Collateral Held for Securities Loaned (7.5%) | ||||||||
| 58,703,553 | Thrivent Financial Securities Lending Trust | 58,703,553 | ||||||
Total Collateral Held for Securities Loaned (cost $58,703,553) | 58,703,553 | |||||||
| Principal Amount | Short-Term Investments (1.2%)k | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 4,000,000 | 0.120%, 2/9/2011l | 3,999,480 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.160%, 3/7/2011l | 299,913 | ||||||
Thunder Bay Funding, Inc. | ||||||||
| 5,095,000 | 0.140%, 1/3/2011l | 5,094,961 | ||||||
Total Short-Term Investments (at amortized cost) | 9,394,354 | |||||||
Total Investments (cost $791,312,846) 105.6% | $ | 826,940,182 | ||||||
Other Assets and Liabilities, Net (5.6%) | (43,951,681 | ) | ||||||
Total Net Assets 100.0% | $ | 782,988,501 | ||||||
| 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 variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $304,070,377 or 38.8% 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 | In bankruptcy. Interest is not being accrued. |
| g | 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, 2010. |
Security | Acquisition Date | Amortized Cost | ||||||
Tunica-Biloxi Gaming Authority | 11/8/2005 | $ | 4,747,172 | |||||
| h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| i | Security is fair valued as discussed in item 2(A) of the Notes to Financial Statements. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
254
Table of Contents
High Yield Portfolio
Schedule of Investments as of December 31, 2010
| Unrealized Appreciation (Depreciation) | ||||
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 47,892,297 | ||
Gross unrealized depreciation | (12,521,038 | ) | ||
Net unrealized appreciation (depreciation) | $ | 35,371,259 | ||
Cost for federal income tax purposes | $ | 791,568,923 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | ||||||||||||||||
Financials | 3,896,392 | — | 3,896,392 | — | ||||||||||||
Transportation | 1,590,207 | — | 1,590,207 | — | ||||||||||||
Utilities | 8,604,597 | — | 8,604,597 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 5,652,892 | — | 5,652,892 | — | ||||||||||||
Basic Materials | 67,747,586 | — | 67,747,586 | — | ||||||||||||
Capital Goods | 67,537,133 | — | 67,537,133 | — | ||||||||||||
Communications Services | 118,929,067 | — | 118,929,067 | — | ||||||||||||
Consumer Cyclical | 162,695,364 | — | 162,695,364 | — | ||||||||||||
Consumer Discretionary | 1,838,250 | — | 1,838,250 | — | ||||||||||||
Consumer Non-Cyclical | 98,671,288 | — | 98,671,288 | — | ||||||||||||
Energy | 80,056,436 | — | 80,056,436 | — | ||||||||||||
Financials | 46,811,907 | — | 46,811,907 | — | ||||||||||||
Technology | 27,720,187 | — | 27,720,187 | — | ||||||||||||
Transportation | 24,195,152 | — | 21,677,838 | 2,517,314 | ||||||||||||
Utilities | 31,703,285 | — | 31,703,285 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 9,819,297 | 6,623,935 | 3,195,362 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | — | — | — | — | ||||||||||||
Materials | 1,372,595 | 1,372,595 | — | — | ||||||||||||
Telecommunications Services | 640 | 640 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 58,703,553 | 58,703,553 | — | — | ||||||||||||
Short-Term Investments | 9,394,354 | — | 9,394,354 | — | ||||||||||||
Total | $ | 826,940,182 | $ | 66,700,723 | $ | 757,722,145 | $ | 2,517,314 | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | 6,239,212 | 40,545 | 235,126 | — | (3,997,569 | ) | — | — | 2,517,314 | |||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||
Consumer Discretionary ^ | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Materials ^ | — | (248,195 | ) | 248,195 | — | — | — | — | — | |||||||||||||||||||||||
Utilities | 329,285 | 44,894 | (12,985 | ) | — | (361,194 | ) | — | — | — | ||||||||||||||||||||||
Total | $ | 6,568,497 | ($162,756 | ) | $ | 470,336 | $ | — | ($4,358,763 | ) | $ | — | $ | — | $ | 2,517,314 | ||||||||||||||||
| ^ | Securities in these sections are fair valued at $0. |
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $284,566. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
255
Table of Contents
High Yield Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 | 1,049,165 | ||||
Total Credit Contracts | 1,049,165 | |||||
Total | $ | 1,049,165 | ||||
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||
Credit Contracts | $ | 5,464,584 | 0.7 | % | ||||
| * | 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 High Yield Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 36,175,205 | $ | 390,891,174 | $ | 368,362,826 | 58,703,553 | $ | 58,703,553 | $ | 252,782 | |||||||||||||
Total Value and Income Earned | 36,175,205 | 58,703,553 | 252,782 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
256
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (54.4%) | Value | ||||||
| Asset-Backed Securities (4.1%) | ||||||||
Carrington Mortgage Loan Trust | ||||||||
| $ 1,200,000 | 0.411%, 8/25/2036a | $ | 620,249 | |||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 38,497 | 6.180%, 5/25/2036b | 37,988 | ||||||
Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 631,286 | 0.341%, 8/25/2036a | 584,095 | ||||||
GSAMP Trust | ||||||||
| 908,198 | 0.441%, 2/25/2036a | 788,047 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 587,292 | 4.581%, 2/25/2036 | 513,333 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 513,740 | 5.746%, 5/25/2036 | 395,347 | ||||||
| 632,000 | 6.011%, 5/25/2036 | 422,367 | ||||||
| 950,000 | 5.797%, 8/25/2036 | 562,484 | ||||||
Residential Assets Mortgage Products, Inc. | ||||||||
| 491,112 | 5.920%, 8/25/2033 | 288,541 | ||||||
Residential Assets Securities Corporation | ||||||||
| 327,749 | 4.710%, 3/25/2034b | 179,233 | ||||||
Total Asset-Backed Securities | 4,391,684 | |||||||
| Basic Materials (3.7%) | ||||||||
Allegheny Technologies, Inc., Convertible | ||||||||
| 103,000 | 4.250%, 6/1/2014 | 155,401 | ||||||
ArcelorMittal | ||||||||
| 400,000 | 6.125%, 6/1/2018 | 426,195 | ||||||
CONSOL Energy, Inc. | ||||||||
| 495,000 | 8.000%, 4/1/2017c | 527,175 | ||||||
Dow Chemical Company | ||||||||
| 400,000 | 8.550%, 5/15/2019 | 501,299 | ||||||
FMG Finance, Pty., Ltd. | ||||||||
| 495,000 | 7.000%, 11/1/2015c | 507,375 | ||||||
Georgia-Pacific, LLC | ||||||||
| 495,000 | 8.000%, 1/15/2024 | 565,538 | ||||||
Lyondell Chemical Company | ||||||||
| 480,000 | 11.000%, 5/1/2018 | 543,600 | ||||||
Newmont Mining Corporation, Convertible | ||||||||
| 112,000 | 3.000%, 2/15/2012 | 155,820 | ||||||
Novelis, Inc. | ||||||||
| 495,000 | 8.375%, 12/15/2017c | 512,325 | ||||||
Total Basic Materials | 3,894,728 | |||||||
| Capital Goods (1.9%) | ||||||||
Abengoa Finance SAU | ||||||||
| 405,000 | 8.875%, 11/1/2017c,d | 374,625 | ||||||
Alliant Techsystems, Inc. Convertible | ||||||||
| 121,000 | 3.000%, 8/15/2024 | 136,125 | ||||||
Associated Materials, LLC | ||||||||
| 495,000 | 9.125%, 11/1/2017c | 517,275 | ||||||
Case New Holland, Inc. | ||||||||
| 495,000 | 7.875%, 12/1/2017c | 540,787 | ||||||
Owens-Brockway Glass Container, Inc., Convertible | ||||||||
| 150,000 | 3.000%, 6/1/2015c | 150,938 | ||||||
Textron, Inc. | ||||||||
| 300,000 | 7.250%, 10/1/2019e | 343,785 | ||||||
Total Capital Goods | 2,063,535 | |||||||
| Collateralized Mortgage Obligations (9.3%) | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 497,462 | 2.560%, 10/25/2035a | 444,546 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 669,383 | 5.500%, 11/25/2035 | 571,785 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 956,003 | 5.750%, 4/25/2037 | 750,683 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 504,610 | 6.000%, 4/25/2036 | 414,059 | ||||||
| 356,988 | 6.000%, 1/25/2037 | 254,145 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 402,803 | 5.500%, 10/25/2021 | 355,203 | ||||||
| 1,340,774 | 1.098%, 4/25/2047a | 797,771 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
| 560,896 | 5.786%, 8/25/2037 | 444,382 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 659,438 | 0.451%, 8/25/2046a | 552,907 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 83,814 | 0.331%, 11/25/2036a | 81,904 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities | ||||||||
| 967,440 | 5.695%, 1/25/2037 | 721,598 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 344,445 | 6.500%, 1/25/2035 | 353,642 | ||||||
| 359,670 | 5.759%, 10/25/2036 | 326,429 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 893,318 | 6.500%, 5/25/2034 | 920,897 | ||||||
| 390,936 | 6.500%, 7/25/2034 | 399,821 | ||||||
New York Mortgage Trust, Inc. | ||||||||
| 798,262 | 5.275%, 5/25/2036 | 313,628 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 545,509 | 5.576%, 9/25/2036 | 146,353 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 532,511 | 5.493%, 11/25/2036 | 482,017 | ||||||
| 331,698 | 5.730%, 8/25/2046 | 296,536 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 1,109,583 | 1.078%, 2/25/2047a | 532,365 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 1,252,398 | 5.805%, 9/25/2036 | 163,982 | ||||||
| 604,507 | 6.000%, 7/25/2037 | 541,808 | ||||||
Total Collateralized Mortgage Obligations | 9,866,461 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
257
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (54.4%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.0%) | ||||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| $ 500,000 | 0.440%, 6/15/2022a,f | $ | 461,042 | |||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 650,000 | 0.381%, 9/15/2021a,f | 596,708 | ||||||
Total Commercial Mortgage-Backed Securities | 1,057,750 | |||||||
| Communications Services (3.5%) | ||||||||
CBS Corporation | ||||||||
| 300,000 | 8.875%, 5/15/2019 | 377,425 | ||||||
Cincinnati Bell, Inc. | ||||||||
| 495,000 | 8.250%, 10/15/2017 | 490,050 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 495,000 | 9.250%, 12/15/2017 | 542,025 | ||||||
Frontier Communications Corporation | ||||||||
| 495,000 | 8.250%, 4/15/2017 | 543,262 | ||||||
Intelsat Jackson Holdings, Ltd. | ||||||||
| 495,000 | 8.500%, 11/1/2019c | 538,313 | ||||||
Telefonica Emisiones SAU | ||||||||
| 190,000 | 5.134%, 4/27/2020 | 182,921 | ||||||
Virgin Media Finance plc | ||||||||
| 435,000 | 9.500%, 8/15/2016 | 491,550 | ||||||
Wind Acquisition Finance SA | ||||||||
| 495,000 | 7.250%, 2/15/2018c | 503,662 | ||||||
Total Communications Services | 3,669,208 | |||||||
| Consumer Cyclical (5.6%) | ||||||||
BorgWarner, Inc. | ||||||||
| 460,000 | 7.125%, 2/15/2029 | 505,871 | ||||||
CVS Caremark Corporation | ||||||||
| 500,000 | 6.302%, 6/1/2037 | 481,875 | ||||||
Goodyear Tire & Rubber Company | ||||||||
| 495,000 | 8.250%, 8/15/2020 | 512,325 | ||||||
Home Depot, Inc. | ||||||||
| 200,000 | 3.950%, 9/15/2020 | 194,953 | ||||||
Lennar Corporation, Convertible | ||||||||
| 150,000 | 2.000%, 12/1/2020c | 148,687 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 465,000 | 8.375%, 7/15/2015 | 544,050 | ||||||
MGM Resorts International | ||||||||
| 485,000 | 11.125%, 11/15/2017 | 557,750 | ||||||
Rite Aid Corporation | ||||||||
| 495,000 | 7.500%, 3/1/2017 | 475,819 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 495,000 | 6.750%, 5/15/2018 | 542,025 | ||||||
Toys R Us Property Company I, LLC | ||||||||
| 445,000 | 10.750%, 7/15/2017 | 507,300 | ||||||
Warner Music Group | ||||||||
| 495,000 | 7.375%, 4/15/2014e | 475,200 | ||||||
West Corporation | ||||||||
| 495,000 | 7.875%, 1/15/2019c | 503,662 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 475,000 | 6.000%, 12/1/2016 | 497,057 | ||||||
Total Consumer Cyclical | 5,946,574 | |||||||
| Consumer Non-Cyclical (2.6%) | ||||||||
Archer-Daniels-Midland Company, Convertible | ||||||||
| 140,000 | 0.875%, 2/15/2014 | 142,975 | ||||||
Beckman Coulter, Inc., Convertible | ||||||||
| 131,000 | 2.500%, 12/15/2036 | 149,504 | ||||||
Charles River Laboratories International, Inc., Convertible | ||||||||
| 140,000 | 2.250%, 6/15/2013 | 140,000 | ||||||
Fisher Scientific International, Inc. Convertible | ||||||||
| 112,000 | 3.250%, 3/1/2024 | 156,380 | ||||||
Gilead Sciences, Inc., Convertible | ||||||||
| 113,000 | 0.625%, 5/1/2013 | 124,583 | ||||||
HCA, Inc. | ||||||||
| 485,000 | 9.625%, 11/15/2016 | 519,556 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 500,000 | 11.625%, 5/1/2014 | 585,000 | ||||||
Life Technologies Corporation, Convertible | ||||||||
| 131,000 | 3.250%, 6/15/2025 | 156,054 | ||||||
Molson Coors Brewing Company, Convertible | ||||||||
| 140,000 | 2.500%, 7/30/2013 | 162,050 | ||||||
Mylan, Inc. | ||||||||
| 455,000 | 7.875%, 7/15/2020c | 490,262 | ||||||
| Teva Pharmaceutical Finance Company, Convertible | ||||||||
| 112,000 | 1.750%, 2/1/2026 | 122,780 | ||||||
Total Consumer Non-Cyclical | 2,749,144 | |||||||
| Energy (5.0%) | ||||||||
BP Capital Markets plc | ||||||||
| 200,000 | 4.500%, 10/1/2020 | 199,518 | ||||||
Denbury Resources, Inc. | ||||||||
| 495,000 | 9.750%, 3/1/2016 | 551,925 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 600,000 | 8.050%, 10/1/2037 | 617,004 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 700,000 | 7.034%, 1/15/2068 | 726,250 | ||||||
Exterran Holdings, Inc., Convertible | ||||||||
| 121,000 | 4.250%, 6/15/2014 | 150,342 | ||||||
Linn Energy, LLC | ||||||||
| 495,000 | 7.750%, 2/1/2021c | 507,375 | ||||||
Pioneer Natural Resources Company | ||||||||
| 570,000 | 7.500%, 1/15/2020 | 625,875 | ||||||
Plains Exploration & Production Company | ||||||||
| 485,000 | 7.625%, 6/1/2018 | 510,463 | ||||||
Sandridge Energy, Inc. | ||||||||
| 495,000 | 8.000%, 6/1/2018c | 502,425 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
258
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (54.4%) | Value | ||||||
| Energy (5.0%) - continued | ||||||||
Transocean, Inc. | ||||||||
| $ 400,000 | 7.375%, 4/15/2018 | $ | 442,342 | |||||
Weatherford International, Ltd. | ||||||||
| 400,000 | 6.750%, 9/15/2040 | 420,111 | ||||||
Total Energy | 5,253,630 | |||||||
| Financials (12.8%) | ||||||||
Aegon NV | ||||||||
| 400,000 | 2.628%, 7/29/2049a,g | 243,500 | ||||||
Ally Financial, Inc. | ||||||||
| 495,000 | 8.300%, 2/12/2015d | 544,500 | ||||||
American Express Company | ||||||||
| 400,000 | 6.800%, 9/1/2066d | 396,000 | ||||||
American International Group, Inc. | ||||||||
| 400,000 | 8.250%, 8/15/2018 | 460,826 | ||||||
| 285,000 | 6.400%, 12/15/2020d | 299,025 | ||||||
Bank of America Corporation | ||||||||
| 400,000 | 5.875%, 1/5/2021 | 413,843 | ||||||
| 240,000 | 8.000%, 12/29/2049g | 241,872 | ||||||
BB&T Capital Trust IV | ||||||||
| 200,000 | 6.820%, 6/12/2057 | 197,250 | ||||||
CIT Group, Inc. | ||||||||
| 495,000 | 7.000%, 5/1/2017 | 496,237 | ||||||
CNA Financial Corporation | ||||||||
| 400,000 | 7.350%, 11/15/2019 | 438,702 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 480,000 | 5.375%, 10/15/2012 | 493,846 | ||||||
Discover Bank | ||||||||
| 400,000 | 8.700%, 11/18/2019 | 470,846 | ||||||
General Electric Capital Corporation | ||||||||
| 400,000 | 4.375%, 9/16/2020 | 393,663 | ||||||
Genworth Financial, Inc. | ||||||||
| 300,000 | 7.200%, 2/15/2021 | 307,086 | ||||||
HCP, Inc. | ||||||||
| 300,000 | 6.700%, 1/30/2018 | 321,863 | ||||||
HSBC Finance Corporation | ||||||||
| 285,000 | 6.676%, 1/15/2021c | 287,930 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 200,000 | 7.000%, 12/15/2020 | 210,578 | ||||||
Huntington National Bank | ||||||||
| 400,000 | 6.600%, 6/15/2018 | 407,164 | ||||||
Icahn Enterprises, LP | ||||||||
| 495,000 | 8.000%, 1/15/2018 | 495,000 | ||||||
ING Capital Funding Trust III | ||||||||
| 400,000 | 3.903%, 12/31/2049a,g | 369,000 | ||||||
J.P. Morgan Chase Capital XX | ||||||||
| 440,000 | 6.550%, 9/29/2036 | 442,625 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||
| 400,000 | 7.000%, 9/27/2027h | 92,500 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 200,000 | 10.750%, 6/15/2058c | 242,000 | ||||||
Liberty Property, LP | ||||||||
| 400,000 | 4.750%, 10/1/2020 | 395,820 | ||||||
Lincoln National Corporation | ||||||||
| 630,000 | 6.050%, 4/20/2067 | 581,175 | ||||||
Lloyds TSB Bank plc | ||||||||
| 100,000 | 6.500%, 9/14/2020c | 92,003 | ||||||
MetLife, Inc. | ||||||||
| 450,000 | �� | 7.875%, 12/15/2037c | 475,875 | |||||
Prudential Financial, Inc. | ||||||||
| 300,000 | 6.200%, 11/15/2040 | 317,355 | ||||||
Regions Bank | ||||||||
| 400,000 | 7.500%, 5/15/2018 | 412,000 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 600,000 | 6.750%, 12/15/2065 | 555,529 | ||||||
Royal Bank of Scotland plc | ||||||||
| 300,000 | 5.625%, 8/24/2020e | 298,260 | ||||||
SLM Corporation | ||||||||
| 300,000 | 5.125%, 8/27/2012 | 306,226 | ||||||
| 400,000 | 8.000%, 3/25/2020 | 405,562 | ||||||
Swiss RE Capital I, LP | ||||||||
| 420,000 | 6.854%, 5/29/2049c,g | 401,215 | ||||||
XL Capital, Ltd. | ||||||||
| 600,000 | 6.500%, 12/31/2049g | 516,000 | ||||||
ZFS Finance USA Trust II | ||||||||
| 550,000 | 6.450%, 12/15/2065c | 541,062 | ||||||
Total Financials | 13,563,938 | |||||||
| Foreign Government (0.5%) | ||||||||
Brazil Government International Bond | ||||||||
| 200,000 | 4.875%, 1/22/2021 | 204,000 | ||||||
Peru Government International Bond | ||||||||
| 400,000 | 5.625%, 11/18/2050 | 370,000 | ||||||
Total Foreign Government | 574,000 | |||||||
| Technology (1.9%) | ||||||||
EMC Corporation, Convertible | ||||||||
| 112,000 | 1.750%, 12/1/2013 | 168,700 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 495,000 | 9.250%, 4/15/2018c | 544,500 | ||||||
Intel Corporation, Convertible | ||||||||
| 140,000 | 3.250%, 8/1/2039 | 167,825 | ||||||
International Game Technology, Convertible | ||||||||
| 112,000 | 3.250%, 5/1/2014 | 129,220 | ||||||
NXP BV/NXP Funding, LLC | ||||||||
| 495,000 | 9.750%, 8/1/2018c | 556,875 | ||||||
Seagate HDD Cayman | ||||||||
| 495,000 | 7.750%, 12/15/2018c | 501,188 | ||||||
Total Technology | 2,068,308 | |||||||
| Transportation (1.3%) | ||||||||
Avis Budget Car Rental, LLC | ||||||||
| 490,000 | 8.250%, 1/15/2019c,d | 494,900 | ||||||
Delta Air Lines, Inc. | ||||||||
| 465,000 | 9.500%, 9/15/2014c | 506,269 | ||||||
| 390,483 | 7.750%, 12/17/2019 | 432,459 | ||||||
Total Transportation | 1,433,628 | |||||||
| Utilities (1.2%) | ||||||||
CMS Energy Corporation, Convertible | ||||||||
| 112,000 | 5.500%, 6/15/2029 | 157,080 | ||||||
NRG Energy, Inc. | ||||||||
| 490,000 | 7.375%, 2/1/2016 | 502,250 | ||||||
Southern Union Company | ||||||||
| 200,000 | 7.200%, 11/1/2066 | 184,250 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
259
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (54.4%) | Value | ||||||
| Utilities (1.2%) - continued | ||||||||
TransCanada PipeLines, Ltd. | ||||||||
| $ 400,000 | 6.350%, 5/15/2067 | $ | 394,975 | |||||
Total Utilities | 1,238,555 | |||||||
Total Long-Term Fixed Income (cost $56,470,777) | 57,771,143 | |||||||
| Shares | Common Stock (38.3%) | Value | ||||||
| Consumer Discretionary (3.4%) | ||||||||
| 4,800 | Autoliv, Inc. | 378,912 | ||||||
| 7,300 | Coach, Inc. | 403,763 | ||||||
| 12,800 | Comcast Corporation | 281,216 | ||||||
| 17,400 | Hillenbrand, Inc. | 362,094 | ||||||
| 13,500 | Home Depot, Inc. | 473,310 | ||||||
| 10,900 | Mattel, Inc. | 277,187 | ||||||
| 14,300 | Starbucks Corporation | 459,459 | ||||||
| 7,832 | Time Warner, Inc. | 251,955 | ||||||
| 3,900 | VF Corporation | 336,102 | ||||||
| 10,400 | Wolverine World Wide, Inc. | 331,552 | ||||||
Total Consumer Discretionary | 3,555,550 | |||||||
| Consumer Staples (3.8%) | ||||||||
| 12,800 | Altria Group, Inc. | 315,136 | ||||||
| 10,700 | ConAgra Foods, Inc. | 241,606 | ||||||
| 7,300 | Costco Wholesale Corporation | 527,133 | ||||||
| 6,100 | Kimberly-Clark Corporation | 384,544 | ||||||
| 10,800 | Kraft Foods, Inc. | 340,308 | ||||||
| 20,400 | Philip Morris International, Inc. | 1,194,012 | ||||||
| 5,737 | Procter & Gamble Company | 369,061 | ||||||
| 9,800 | Sysco Corporation | 288,120 | ||||||
| 5,800 | Wal-Mart Stores, Inc. | 312,794 | ||||||
Total Consumer Staples | 3,972,714 | |||||||
| Energy (3.7%) | ||||||||
| 10,300 | Chevron Corporation | 939,875 | ||||||
| 9,500 | ConocoPhillips | 646,950 | ||||||
| 6,500 | Eni SPA ADRe | 284,310 | ||||||
| 8,800 | Exxon Mobil Corporation | 643,456 | ||||||
| 17,100 | Kayne Anderson MLP Investment Company | 538,137 | ||||||
| 11,800 | Marathon Oil Corporation | 436,954 | ||||||
| 5,600 | National Oilwell Varco, Inc. | 376,600 | ||||||
Total Energy | 3,866,282 | |||||||
| Financials (11.2%) | ||||||||
| 6,500 | ACE, Ltd. | 404,625 | ||||||
| 391 | Administradora de Fondos de Pensiones Provida SA ADR | 31,167 | ||||||
| 7,400 | AFLAC, Inc. | 417,582 | ||||||
| 9,200 | Allstate Corporation | 293,296 | ||||||
| 19,000 | American Capital Agency Corporatione | 546,060 | ||||||
| 5,100 | Ameriprise Financial, Inc. | 293,505 | ||||||
| 37,000 | Annaly Capital Management, Inc. | 663,040 | ||||||
| 79,500 | Anworth Mortgage Asset Corporation | 556,500 | ||||||
| 32,000 | Ares Capital Corporation | 527,360 | ||||||
| 12,200 | Aspen Insurance Holdings, Ltd. | 349,164 | ||||||
| 13,600 | Axis Capital Holdings, Ltd. | 487,968 | ||||||
| 20,500 | Bank of America Corporation | 273,470 | ||||||
| 24,550 | Chimera Investment Corporation | 100,900 | ||||||
| 28,650 | Invesco Mortgage Capital, Inc. | 625,716 | ||||||
| 11,400 | iPath S&P 500 VIX Short-Term Futures ETNe,i | 428,526 | ||||||
| 22,300 | iShares Dow Jones U.S. Real Estate Index Funde | 1,247,908 | ||||||
| 19,500 | Montpelier Re Holdings, Inc. | 388,830 | ||||||
| 32,680 | NFJ Dividend Interest & Premium Strategy Fund | 572,227 | ||||||
| 23,000 | Solar Capital, Ltd. | 569,940 | ||||||
| 5,500 | SPDR S&P Dividend ETF | 285,890 | ||||||
| 5,200 | Travelers Companies, Inc. | 289,692 | ||||||
| 51,000 | Two Harbors Investment Corporation | 499,290 | ||||||
| 22,300 | Vanguard REIT ETFe | 1,234,751 | ||||||
| 12,400 | Waddell & Reed Financial, Inc. | 437,596 | ||||||
| 12,400 | Wells Fargo & Company | 384,276 | ||||||
Total Financials | 11,909,279 | |||||||
| Health Care (2.1%) | ||||||||
| 8,400 | Abbott Laboratories | 402,444 | ||||||
| 7,900 | Johnson & Johnson | 488,615 | ||||||
| 13,344 | Merck & Company, Inc. | 480,918 | ||||||
| 33,153 | Pfizer, Inc. | 580,509 | ||||||
| 4,800 | Stryker Corporation | 257,760 | ||||||
Total Health Care | 2,210,246 | |||||||
| Industrials (7.7%) | ||||||||
| 5,800 | 3M Company | 500,540 | ||||||
| 28,500 | Alerian MLP ETFe | 457,995 | ||||||
| 14,700 | Applied Industrial Technologies, Inc. | 477,456 | ||||||
| 5,100 | Caterpillar, Inc. | 477,666 | ||||||
| 8,200 | Cooper Industries plc | 477,978 | ||||||
| 5,200 | Dover Corporation | 303,940 | ||||||
| 3,500 | Eaton Corporation | 355,285 | ||||||
| 6,500 | Expeditors International of Washington, Inc. | 354,900 | ||||||
| 12,700 | Honeywell International, Inc. | 675,132 | ||||||
| 6,200 | Hubbell, Inc. | 372,806 | ||||||
| 7,500 | Illinois Tool Works, Inc. | 400,500 | ||||||
| 5,800 | ITT Corporation | 302,238 | ||||||
| 23,700 | Koninklijke Philips Electronics, N.V. | 727,590 | ||||||
| 4,700 | Lincoln Electric Holdings, Inc. | 306,769 | ||||||
| 4,400 | Northrop Grumman Corporation | 285,032 | ||||||
| 13,400 | R.R. Donnelley & Sons Company | 234,098 | ||||||
| 4,800 | Rockwell Automation, Inc. | 344,208 | ||||||
| 7,400 | United Parcel Service, Inc. | 537,092 | ||||||
| 7,700 | United Technologies Corporation | 606,144 | ||||||
Total Industrials | 8,197,369 | |||||||
| Information Technology (3.3%) | ||||||||
| 10,200 | Analog Devices, Inc. | 384,234 | ||||||
| 24,900 | Intel Corporation | 523,647 | ||||||
| 3,600 | International Business Machines Corporation | 528,336 | ||||||
| 1,400 | MasterCard, Inc. | 313,754 | ||||||
| 20,500 | Microsoft Corporation | 572,360 | ||||||
| 10,900 | Oracle Corporation | 341,170 | ||||||
| 13,800 | Tyco Electronics, Ltd. | 488,520 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
260
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Common Stock (38.3%) | Value | ||||||
| Information Technology (3.3%) - continued | ||||||||
| 10,900 | Xilinx, Inc. | $ | 315,882 | |||||
Total Information Technology | 3,467,903 | |||||||
| Materials (1.5%) | ||||||||
| 4,500 | BHP Billiton, Ltd. ADR | 418,140 | ||||||
| 10,500 | E.I. du Pont de Nemours and Company | 523,740 | ||||||
| 3,500 | Lubrizol Corporation | 374,080 | ||||||
| 13,400 | RPM International, Inc. | 296,140 | ||||||
Total Materials | 1,612,100 | |||||||
| Telecommunications Services (1.3%) | ||||||||
| 26,800 | AT&T, Inc. | 787,384 | ||||||
| 17,100 | Verizon Communications, Inc. | 611,838 | ||||||
Total Telecommunications Services | 1,399,222 | |||||||
| Utilities (0.3%) | ||||||||
| 6,600 | ONEOK, Inc. | 366,102 | ||||||
Total Utilities | 366,102 | |||||||
Total Common Stock (cost $36,620,959) | 40,556,767 | |||||||
Preferred Stock (0.9%) | ||||||||
| Energy (0.3%) | ||||||||
| 4,000 | Apache Corporation, Convertible, 6.000% | 265,040 | ||||||
Total Energy | 265,040 | |||||||
| Financials (0.6%) | ||||||||
| 70 | Ally Financial, Inc., 7.000%c,g | 66,157 | ||||||
| 3,360 | AMG Capital Trust I, Convertible, 5.100% | 167,790 | ||||||
| 6,400 | Citigroup, Inc., 7.875%i | 172,224 | ||||||
| 1,800 | Citigroup, Inc., Convertible, 7.500% | 246,042 | ||||||
Total Financials | 652,213 | |||||||
Total Preferred Stock (cost $711,395) | 917,253 | |||||||
Collateral Held for Securities Loaned (5.2%) | ||||||||
| 5,464,100 | Thrivent Financial Securities Lending Trust | 5,464,100 | ||||||
Total Collateral Held for Securities Loaned (cost $5,464,100) | 5,464,100 | |||||||
| Principal Amount | Short-Term Investments (5.6%)j | |||||||
Barton Capital Corporation | ||||||||
| 3,515,000 | 0.150%, 1/3/2011k | 3,514,971 | ||||||
Federal Home Loan Mortgage | ||||||||
Corporation Discount Notes | ||||||||
| 700,000 | 0.200%, 3/14/2011k,l | 699,726 | ||||||
Old Line Funding, LLC | ||||||||
| 1,730,000 | 0.170%, 1/3/2011k | 1,729,983 | ||||||
Total Short-Term Investments (at amortized cost) | 5,944,680 | |||||||
Total Investments (cost $105,211,911) 104.4% | $ | 110,653,943 | ||||||
Other Assets and Liabilities, Net (4.4%) | (4,645,300 | ) | ||||||
Total Net Assets 100.0% | $ | 106,008,643 | ||||||
| a | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $11,034,860 or 10.4% of total net assets. |
| d | All or a portion of the security was earmarked to cover written options. |
| 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 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, 2010. |
Security | Acquisition Date | Amortized Cost | ||||||
Commercial Mortgage Pass-Through Certificates | 5/2/2007 | $ | 500,000 | |||||
Wachovia Bank Commercial Mortgage Trust | 4/25/2007 | 650,000 | ||||||
| g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| h | In bankruptcy. Interest is not being accrued. |
| 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. |
| k | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| l | At December 31, 2010, $699,726 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.
261
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
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. | ||
| ETF | - | Exchange Traded Fund. | ||
| ETN | - | Exchange Traded Note. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 7,647,922 | ||
Gross unrealized depreciation | (2,454,596 | ) | ||
Net unrealized appreciation (depreciation) | $ 5,193,326 | |||
Cost for federal income tax purposes | $ | 105,460,617 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
262
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,391,684 | — | 4,391,684 | — | ||||||||||||
Basic Materials | 3,894,728 | — | 3,894,728 | — | ||||||||||||
Capital Goods | 2,063,535 | — | 2,063,535 | — | ||||||||||||
Collateralized Mortgage Obligations | 9,866,461 | — | 9,866,461 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 1,057,750 | — | 1,057,750 | — | ||||||||||||
Communications Services | 3,669,208 | — | 3,669,208 | — | ||||||||||||
Consumer Cyclical | 5,946,574 | — | 5,946,574 | — | ||||||||||||
Consumer Non-Cyclical | 2,749,144 | — | 2,749,144 | — | ||||||||||||
Energy | 5,253,630 | — | 5,253,630 | — | ||||||||||||
Financials | 13,563,938 | — | 13,563,938 | — | ||||||||||||
Foreign Government | 574,000 | — | 574,000 | — | ||||||||||||
Technology | 2,068,308 | — | 2,068,308 | — | ||||||||||||
Transportation | 1,433,628 | — | 1,001,169 | 432,459 | ||||||||||||
Utilities | 1,238,555 | — | 1,238,555 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 3,555,550 | 3,555,550 | — | — | ||||||||||||
Consumer Staples | 3,972,714 | 3,972,714 | — | — | ||||||||||||
Energy | 3,866,282 | 3,866,282 | — | — | ||||||||||||
Financials | 11,909,279 | 11,909,279 | — | — | ||||||||||||
Health Care | 2,210,246 | 2,210,246 | — | — | ||||||||||||
Industrials | 8,197,369 | 8,197,369 | — | — | ||||||||||||
Information Technology | 3,467,903 | 3,467,903 | — | — | ||||||||||||
Materials | 1,612,100 | 1,612,100 | — | — | ||||||||||||
Telecommunications Services | 1,399,222 | 1,399,222 | — | — | ||||||||||||
Utilities | 366,102 | 366,102 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Energy | 265,040 | 265,040 | — | — | ||||||||||||
Financials | 652,213 | 418,266 | 233,947 | — | ||||||||||||
Collateral Held for Securities Loaned | 5,464,100 | 5,464,100 | — | — | ||||||||||||
Short-Term Investments | 5,944,680 | — | 5,944,680 | — | ||||||||||||
Total | $ | 110,653,943 | $ | 46,704,173 | $ | 63,517,311 | $ | 432,459 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 92,386 | 92,386 | — | — | ||||||||||||
Call Options Written | 900 | 900 | — | — | ||||||||||||
Total Asset Derivatives | $ | 93,286 | $ | 93,286 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 45,396 | 45,396 | — | — | ||||||||||||
Call Options Written | 37 | 37 | — | — | ||||||||||||
Credit Default Swaps | 306,020 | — | 306,020 | — | ||||||||||||
Total Liability Derivatives | $ | 351,453 | $ | 45,433 | $ | 306,020 | $ | — | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
263
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 1,631,215 | — | 68,785 | — | (1,700,000 | ) | — | — | — | |||||||||||||||||||||||
Transportation | 140,700 | 544 | 19,082 | 422,000 | (149,867 | ) | — | — | 432,459 | |||||||||||||||||||||||
Utilities | 10,098 | 1,375 | (398 | ) | — | (11,075 | ) | — | — | — | ||||||||||||||||||||||
Total | $ | 1,782,013 | $ | 1,919 | $ | 87,469 | $ | 422,000 | ($ | 1,860,942 | ) | $ | — | $ | — | $ | 432,459 | |||||||||||||||
* Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $21,834. |
| |||||||||||||||||||||||||||||||
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 2011 | $3,106,064 | $ | 3,060,688 | ($45,376 | ) | |||||||||||||
10-Yr. U.S. Treasury Bond Futures | (5 | ) | March 2011 | (618,266 | ) | (602,188 | ) | 16,078 | ||||||||||||
S&P 500 Index Futures | (5 | ) | March 2011 | (1,566,230 | ) | (1,566,250 | ) | (20 | ) | |||||||||||
S&P 500 Index Mini-Futures | 63 | March 2011 | 3,870,643 | 3,946,951 | 76,308 | |||||||||||||||
Total Futures Contracts | $ | 46,990 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 15 | $ | 1,280.00 | January 2011 | ($4,500 | ) | $ | 900 | ||||||||||||
S&P 500 Mini-Futures Call Option | 15 | 1,270.00 | January 2011 | (7,312 | ) | (37 | ) | |||||||||||||
Total Call Options Written | ($11,812) | $ | 863 | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||||
CDX HY, Series 14, 5 Year, at 5.00%; J.P. Morgan Chaseand Co. | Buy | 6/20/2015 | $ | 4,500,000 | ($103,351 | ) | ($202,669 | ) | ($306,020 | ) | ||||||||||||||
Total Credit Default Swaps | ($202,669 | ) | ($306,020 | ) | ||||||||||||||||||||
| 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.
264
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 76,308 | ||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 900 | ||||
Total Equity Contracts | 77,208 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 16,078 | ||||
Total Interest Rate Contracts | 16,078 | |||||
Total Asset Derivatives | $ | 93,286 | ||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 45,376 | ||||
Total Interest Rate Contracts | 45,376 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 20 | ||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 37 | ||||
Total Equity Contracts | 57 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 306,020 | ||||
Total Credit Contracts | 306,020 | |||||
Total Liability Derivatives | $ | 351,453 | ||||
| * | 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, 2010, 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 | (33,766 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 270,968 | ||||
Total Equity Contracts | 237,202 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 3,645 | ||||
Total Interest Rate Contracts | 3,645 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (56,974 | ) | |||
Total Credit Contracts | (56,974 | ) | ||||
Total | $ | 183,873 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
265
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (27,623 | ) | |||
Total Interest Rate Contracts | (27,623 | ) | ||||
Equity Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | (3,817 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 111,804 | ||||
Total Equity Contracts | 107,987 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (84,724 | ) | |||
Total Credit Contracts | (84,724 | ) | ||||
Total | ($4,360 | )�� | ||||
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | $ | 3,522,410 | 3.7 | % | N/A | N/A | 18 | |||||||||||||
Interest Rate Contracts | 4,893,249 | 5.2 | N/A | N/A | N/A | |||||||||||||||
Credit Contracts | N/A | N/A | $ | 1,965,787 | 2.1 | % | 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 Diversified Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010- December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 1,336,140 | $ | 54,250,542 | $ | 50,122,582 | 5,464,100 | $ | 5,464,100 | $ | 14,903 | |||||||||||||
Total Value and Income Earned | 1,336,140 | 5,464,100 | 14,903 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
266
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2010
Principal | Long-Term Fixed Income (93.2%) | Value | ||||||
| Asset-Backed Securities (2.8%) | ||||||||
Americredit Automobile Receivables Trust | ||||||||
| $ 50,039 | 2.260%, 5/15/2012 | $ | 50,131 | |||||
Carmax Auto Owner Trust Class A2 | ||||||||
| 39,046 | 1.830%, 11/15/2012a | 39,168 | ||||||
Carmax Auto Owner Trust Class B | ||||||||
| 80,000 | 5.340%, 10/15/2012 | 80,937 | ||||||
Chrysler Financial Lease Trust | ||||||||
| 29,504 | 1.780%, 6/15/2011a | 29,541 | ||||||
Consumer Portfolio Services, Inc. | ||||||||
| 42,693 | 6.480%, 7/15/2013a,b | 44,304 | ||||||
Total Asset-Backed Securities | 244,081 | |||||||
| Basic Materials (0.7%) | ||||||||
Yara International ASA | ||||||||
| 50,000 | 7.875%, 6/11/2019a | 59,589 | ||||||
Total Basic Materials | 59,589 | |||||||
| Capital Goods (0.7%) | ||||||||
Masco Corporation | ||||||||
| 60,000 | 5.875%, 7/15/2012 | 62,898 | ||||||
Total Capital Goods | 62,898 | |||||||
| Collateralized Mortgage Obligations (4.1%) | ||||||||
American Home Mortgage Assets Trust | ||||||||
| 116,414 | 1.288%, 9/25/2046c | 66,960 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 51,254 | 4.968%, 7/25/2035 | 51,329 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 44,999 | 2.776%, 12/25/2033 | 12,274 | ||||||
First Union National Bank | ||||||||
| 59,302 | 6.423%, 8/15/2033 | 59,948 | ||||||
| 74,895 | 6.223%, 12/12/2033 | 76,757 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 54,511 | 5.500%, 10/25/2033 | 55,032 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 21,949 | 5.289%, 7/25/2035 | 21,719 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
| 17,891 | 3.062%, 12/25/2035 | 17,863 | ||||||
Total Collateralized Mortgage Obligations | 361,882 | |||||||
| Commercial Mortgage-Backed Securities (9.9%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 66,614 | 6.186%, 6/11/2035 | 68,971 | ||||||
| 31,613 | 4.161%, 12/10/2042 | 31,970 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 100,000 | 5.250%, 4/18/2016 | 114,388 | ||||||
| First Union National Bank Commercial Mortgage | ||||||||
| 12,061 | 6.663%, 1/12/2043 | 12,056 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities | ||||||||
| 60,000 | 6.162%, 5/12/2034 | 62,366 | ||||||
| 131,880 | 6.429%, 4/15/2035 | 133,661 | ||||||
| 76,701 | 5.857%, 10/12/2035 | 77,656 | ||||||
| 95,738 | 6.465%, 11/15/2035 | 98,297 | ||||||
| Morgan Stanley Dean Witter Capital I | ||||||||
| 150,000 | 6.550%, 7/15/2033 | 154,421 | ||||||
| PNC Mortgage Securities Corporation | ||||||||
| 34,926 | 6.360%, 3/12/2034 | 34,946 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 83,921 | 5.001%, 7/15/2041 | 84,617 | ||||||
Total Commercial Mortgage- Backed Securities | 873,349 | |||||||
| Communications Services (3.1%) | ||||||||
| American Tower Corporation | ||||||||
| 80,000 | 4.500%, 1/15/2018 | 79,301 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 80,000 | 4.883%, 8/15/2020a | 76,887 | ||||||
| EchoStar DBS Corporation | ||||||||
| 50,000 | 6.375%, 10/1/2011 | 51,500 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 60,000 | 2.582%, 4/26/2013 | 60,048 | ||||||
Total Communications Services | 267,736 | |||||||
| Consumer Cyclical (4.9%) | ||||||||
| American Honda Finance Corporation | ||||||||
| 100,000 | 1.054%, 6/20/2011a,c | 100,295 | ||||||
| CVS Corporation | ||||||||
| 60,000 | 6.125%, 8/15/2016 | 68,075 | ||||||
| CVS Pass-Through Trust | ||||||||
| 49,213 | 7.507%, 1/10/2032a | 55,918 | ||||||
| GameStop Corporation | ||||||||
| 29,000 | 8.000%, 10/1/2012 | 29,652 | ||||||
| McGuire Air Force Base/Fort Dix Privatized Military Housing Project | ||||||||
| 50,000 | 5.611%, 9/15/2051a | 41,778 | ||||||
| Ohana Military Communities, LLC | ||||||||
| 60,000 | 5.880%, 10/1/2051a | 53,319 | ||||||
| 80,000 | 5.462%, 10/1/2026a | 80,698 | ||||||
Total Consumer Cyclical | 429,735 | |||||||
| Consumer Non-Cyclical (4.3%) | ||||||||
| Beckman Coulter, Inc. | ||||||||
| 80,000 | 6.000%, 6/1/2015 | 87,308 | ||||||
| Corn Products International, Inc. | ||||||||
| 100,000 | 4.625%, 11/1/2020 | 98,628 | ||||||
| Koninklijke (Royal) Philips Electronics NV | ||||||||
| 35,000 | 1.452%, 3/11/2011c | 35,075 | ||||||
| Laboratory Corporation of America Holdings | ||||||||
| 80,000 | 4.625%, 11/15/2020 | 79,278 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
267
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (93.2%) | Value | ||||||
| Consumer Non-Cyclical (4.3%) - continued | ||||||||
St. Jude Medical, Inc. | ||||||||
| $ | 80,000 | 2.500%, 1/15/2016 | $ | 78,969 | ||||
Total Consumer Non-Cyclical | 379,258 | |||||||
| Energy (3.8%) | ||||||||
Enterprise Products Operating, LLC | ||||||||
| 75,000 | 7.034%, 1/15/2068 | 77,813 | ||||||
Great River Energy | ||||||||
| 48,685 | 5.829%, 7/1/2017a | 55,043 | ||||||
OPTI Canada, Inc. | ||||||||
| 40,000 | 9.000%, 12/15/2012a | 40,100 | ||||||
| 45,000 | 9.750%, 8/15/2013a | 45,000 | ||||||
Pioneer Natural Resources Company | ||||||||
| 110,000 | 5.875%, 7/15/2016 | 113,095 | ||||||
Total Energy | 331,051 | |||||||
| Financials (26.1%) | ||||||||
Achmea Hypotheekbank NV | ||||||||
| 60,000 | 0.636%, 11/3/2014a,c | 59,705 | ||||||
Agfirst Farm Credit Bank | ||||||||
| 120,000 | 6.585%, 6/15/2049a,d | 92,092 | ||||||
American Express Bank FSB | ||||||||
| 60,000 | 0.412%, 6/12/2012c | 59,700 | ||||||
Asciano Finance, Ltd. | ||||||||
| 70,000 | 4.625%, 9/23/2020a | 64,918 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 50,000 | 0.589%, 10/21/2011a,c | 50,072 | ||||||
Bank of America Corporation | ||||||||
| 40,000 | 5.875%, 1/5/2021 | 41,384 | ||||||
Bank of Nova Scotia | ||||||||
| 60,000 | 0.553%, 3/5/2012c | 60,132 | ||||||
| 40,000 | 1.650%, 10/29/2015a | 38,235 | ||||||
Barclays Bank plc | ||||||||
| 50,000 | 2.500%, 9/21/2015a | 48,187 | ||||||
Comerica, Inc. | ||||||||
| 80,000 | 3.000%, 9/16/2015 | 79,086 | ||||||
Credit Suisse USA, Inc. | ||||||||
| 50,000 | 0.484%, 8/16/2011c | 50,053 | ||||||
DnB NOR Boligkreditt | ||||||||
| 70,000 | 2.100%, 10/14/2015a | 66,570 | ||||||
Glitnir Banki HF | ||||||||
| 50,000 | 3.226%, 1/21/2011e,f | 14,875 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 50,000 | 5.125%, 1/15/2015 | 53,719 | ||||||
HCP, Inc. | ||||||||
| 60,000 | 5.950%, 9/15/2011 | 61,938 | ||||||
HRPT Properties Trust | ||||||||
| 50,000 | 0.902%, 3/16/2011c | 49,972 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 60,000 | 7.000%, 12/15/2020 | 63,174 | ||||||
ING Bank NV | ||||||||
| 70,000 | 1.609%, 10/18/2013a,c | 69,904 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 70,000 | 0.420%, 4/1/2011c | 70,035 | ||||||
| 80,000 | 0.553%, 12/26/2012c | 80,406 | ||||||
| 100,000 | 1.286%, 5/15/2047c | 77,114 | ||||||
Lloyds TSB Bank plc | ||||||||
| 100,000 | 6.500%, 9/14/2020a | 92,003 | ||||||
MBNA Capital | ||||||||
| 100,000 | 1.087%, 2/1/2027c | 69,709 | ||||||
Nationwide Health Properties, Inc. | ||||||||
| 60,000 | 6.900%, 10/1/2037 | 61,297 | ||||||
PACCAR Financial Corporation | ||||||||
| 70,000 | 0.716%, 4/5/2013c | 69,984 | ||||||
PNC Funding Corporation | ||||||||
| 40,000 | 0.488%, 1/31/2014c | 39,401 | ||||||
Private Export Funding Corporation | ||||||||
| 75,000 | 3.050%, 10/15/2014 | 78,996 | ||||||
Royal Bank of Scotland plc | ||||||||
| 70,000 | 4.875%, 3/16/2015 | 71,605 | ||||||
Stadshypotek AB | ||||||||
| 60,000 | 0.853%, 9/30/2013a,c | 59,917 | ||||||
State Street Bank and Trust Company | ||||||||
| 70,000 | 0.502%, 9/15/2011c | 70,120 | ||||||
SunTrust Bank | ||||||||
| 70,000 | 0.394%, 5/21/2012c | 69,159 | ||||||
| 25,000 | 0.574%, 8/24/2015c | 22,836 | ||||||
TD Ameritrade Holding Corporation | ||||||||
| 70,000 | 4.150%, 12/1/2014 | 72,387 | ||||||
U.S. Bank National Association | ||||||||
| 60,000 | 3.778%, 4/29/2020 | 60,875 | ||||||
US AgBank FCB | ||||||||
| 50,000 | 6.110%, 4/10/2049a,d | 33,196 | ||||||
Wachovia Capital Trust III | ||||||||
| 120,000 | 5.800%, 3/15/2042d | 104,100 | ||||||
Westpac Banking Corporation | ||||||||
| 70,000 | 0.589%, 10/21/2011a,c | 70,060 | ||||||
Total Financials | 2,296,916 | |||||||
| Foreign Government (0.8%) | ||||||||
Ontario Government Notes | ||||||||
| 75,000 | 0.734%, 5/22/2012c | 75,184 | ||||||
Total Foreign Government | 75,184 | |||||||
| Technology (3.6%) | ||||||||
Amphenol Corporation | ||||||||
| 50,000 | 4.750%, 11/15/2014 | 53,416 | ||||||
Arrow Electronics, Inc. | ||||||||
| 70,000 | 6.875%, 6/1/2018 | 78,847 | ||||||
Dun & Bradstreet Corporation | ||||||||
| 60,000 | 2.875%, 11/15/2015 | 58,652 | ||||||
Harris Corporation | ||||||||
| 60,000 | 4.400%, 12/15/2020 | 59,996 | ||||||
National Semiconductor Corporation | ||||||||
| 70,000 | 3.950%, 4/15/2015 | 71,294 | ||||||
Total Technology | 322,205 | |||||||
| Transportation (2.5%) | ||||||||
APL, Ltd. | ||||||||
| 50,000 | 8.000%, 1/15/2024g | 33,085 | ||||||
Skyway Concession Company, LLC | ||||||||
| 50,000 | 0.583%, 6/30/2017a,c | 45,333 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
268
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2010
Principal | Long-Term Fixed Income (93.2%) | Value | ||||||
| Transportation (2.5%) - continued | |||||||
Toll Road Investors Partnership II, LP | ||||||||
| $ | 800,000 | Zero Coupon, 2/15/2043a | $ | 114,400 | ||||
| 165,841 | Zero Coupon, 2/15/2045a | 23,936 | ||||||
Total Transportation | 216,754 | |||||||
| U.S. Government and Agencies (23.6%) | |||||||
Federal Home Loan Banks | ||||||||
| 60,000 | 5.000%, 11/17/2017 | 68,025 | ||||||
Federal National Mortgage Association | ||||||||
| 100,000 | 1.250%, 6/22/2012 | 101,046 | ||||||
U.S. Department of Housing & Urban Development | ||||||||
| 1,000,000 | 3.440%, 8/1/2011 | 1,017,792 | ||||||
U.S. Treasury Bonds | ||||||||
| 375,000 | 4.250%, 11/15/2040 | 368,906 | ||||||
U.S. Treasury Notes | ||||||||
| 237,000 | 2.625%, 11/15/2020 | 223,558 | ||||||
| 325,000 | 3.875%, 8/15/2040 | 299,355 | ||||||
Total U.S. Government and Agencies | 2,078,682 | |||||||
| U.S. Municipals (1.4%) | |||||||
New York State Urban Development Corporation | ||||||||
| 80,000 | 5.838%, 3/15/2040 | 81,704 | ||||||
Oakland, California Redevelopment Agency Tax Allocation Bonds (Central District Redevelopment) (NATL-RE Insured) | ||||||||
| 40,000 | 5.252%, 9/1/2016h | 39,624 | ||||||
Total U.S. Municipals | 121,328 | |||||||
| Utilities (0.9%) | |||||||
Kinder Morgan Finance Company, ULC | ||||||||
| 80,000 | 6.000%, 1/15/2018a | 78,600 | ||||||
Total Utilities | 78,600 | |||||||
Total Long-Term Fixed Income (cost $8,071,546) | 8,199,248 | |||||||
Principal | Short-Term Investments (1.1%)i | Value | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 100,000 | 0.200%, 3/14/2011j,k | 99,961 | ||||||
Total Short-Term Investments (at amortized cost) | 99,961 | |||||||
Total Investments (cost $8,171,507) 94.3% | $ | 8,299,209 | ||||||
Other Assets and Liabilities, Net 5.7% | 502,869 | |||||||
Total Net Assets 100.0% | $ | 8,802,078 | ||||||
| a | 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, 2010, the value of these investments was $1,728,768 or 19.6% of total net assets. |
| b | All or a portion of the security is insured or guaranteed. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| d | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| 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 Partner Socially Responsible Bond Portfolio owned as of December 31, 2010. |
Security | Acquisition Date | Amortized Cost | ||||||
Glitnir Banki HF | 5/1/2008 | $ | 49,797 | |||||
| f | In bankruptcy. Interest is not being accrued. |
| g | Security is fair valued as discussed in item 2(A) of the Notes to Financial Statements. |
| h | To reduce certain risks associated with securities issued by municipalities, which may include but are not limited to economic development in a specific industry or municipality, the principal and/or interest payments are guaranteed by the bond insurance company or government agency identified. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| k | At December 31, 2010, $99,961 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 | $ | 279,772 | ||
Gross unrealized depreciation | (156,111 | ) | ||
Net unrealized appreciation (depreciation) | $ | 123,661 | ||
Cost for federal income tax purposes | $ | 8,175,548 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
269
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 244,081 | — | 244,081 | — | ||||||||||||
Basic Materials | 59,589 | — | 59,589 | — | ||||||||||||
Capital Goods | 62,898 | — | 62,898 | — | ||||||||||||
Collateralized Mortgage Obligations | 361,882 | — | 361,882 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 873,349 | — | 873,349 | — | ||||||||||||
Communications Services | 267,736 | — | 267,736 | — | ||||||||||||
Consumer Cyclical | 429,735 | — | 429,735 | — | ||||||||||||
Consumer Non-Cyclical | 379,258 | — | 379,258 | — | ||||||||||||
Energy | 331,051 | — | 331,051 | — | ||||||||||||
Financials | 2,296,916 | — | 2,296,916 | — | ||||||||||||
Foreign Government | 75,184 | — | 75,184 | — | ||||||||||||
Technology | 322,205 | — | 322,205 | — | ||||||||||||
Transportation | 216,754 | — | 183,669 | 33,085 | ||||||||||||
U.S. Government and Agencies | 2,078,682 | — | 2,078,682 | — | ||||||||||||
U.S. Municipals | 121,328 | — | 121,328 | — | ||||||||||||
Utilities | 78,600 | — | 78,600 | — | ||||||||||||
Short-Term Investments | 99,961 | — | 99,961 | — | ||||||||||||
Total | $ | 8,299,209 | $ | — | $ | 8,266,124 | $ | 33,085 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 5,836 | 5,836 | — | — | ||||||||||||
Total Asset Derivatives | $ | 5,836 | $ | 5,836 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 24,694 | 24,694 | — | — | ||||||||||||
Total Liability Derivatives | $ | 24,694 | $ | 24,694 | $ | — | $ | — | ||||||||
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Partner Socially Responsible Bond Portfolio as discussed in item 2(A) of the Notes to Financial Statements.
Investments in Securities | Value December 31, 2009 | Realized Gain/(Loss) | Change in Unrealized Appreciation / (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | — | — | (6,227 | ) | 16,312 | — | 23,000 | — | 33,085 | |||||||||||||||||||||||
Total | $ | — | $ | — | ($ | 6,227 | ) | $ | 16,312 | $ | — | $ | 23,000 | $ | — | $ | 33,085 | |||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of ($12,915). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (19 | ) | March 2011 | ($ | 4,159,338 | ) | ($ | 4,159,219 | ) | $ | 119 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (3 | ) | March 2011 | (358,873 | ) | (353,156 | ) | 5,717 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | 2 | March 2011 | 248,846 | 240,875 | (7,971 | ) | ||||||||||||||
20-Yr. U.S. Treasury Bond Futures | 4 | March 2011 | 505,223 | 488,500 | (16,723 | ) | ||||||||||||||
Total Futures Contracts | ($ | 18,858 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
270
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | $ | 5,836 | |||
Total Interest Rate Contracts | 5,836 | |||||
Total Asset Derivatives | $ | 5,836 | ||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 24,694 | ||||
Total Interest Rate Contracts | 24,694 | |||||
Total Liability Derivatives | $ | 24,694 | ||||
| * | 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, 2010, 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 | 102,263 | ||||
Total Interest Rate Contracts | 102,263 | |||||
Total | $ | 102,263 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | 17,349 | ||||
Total Interest Rate Contracts | 17,349 | |||||
Total | $17,349 | |||||
The following table presents Partner Socially Responsible Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||
Interest Rate Contracts (Long Position) | $1,414,066 | 19.8 | ||||
Interest Rate Contracts (Short Position) | $4,259,301 | 59.7 | ||||
| * | 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.
271
Table of Contents
Schedule of Investments as of December 31, 2010
| Principal Amount | Bank Loans (1.2%)a | Value | ||||||
| Basic Materials (0.1%) | ||||||||
CF Industries, Inc., Term Loan | ||||||||
| $360,435 | 4.250%, 4/5/2015 | $ | 361,952 | |||||
Smurfit-Stone Container Enterprises, Inc., Term Loan | ||||||||
| 1,243,750 | 6.750%, 1/2/2016 | 1,261,958 | ||||||
| Total Basic Materials | 1,623,910 | |||||||
| Capital Goods (0.1%) | |||||||
TransDigm Group, Inc., Term Loan | ||||||||
| 950,000 | 5.000%, 12/25/2016 | 958,522 | ||||||
| Total Capital Goods | 958,522 | |||||||
| Communications Services (0.5%) | |||||||
Atlantic Broadband Finance, LLC, Term Loan | ||||||||
| 1,833,913 | 5.000%, 11/29/2015 | 1,845,834 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 1,046,766 | 7.250%, 3/16/2014 | 1,085,203 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,890,000 | 3.750%, 11/29/2015 | 1,908,900 | ||||||
Lamar Media Corporation, Term Loan | ||||||||
| 1,122,554 | 4.250%, 12/31/2016 | 1,129,918 | ||||||
| Total Communications Services | 5,969,855 | |||||||
| Consumer Cyclical (0.1%) | ||||||||
Universal City Development Partners, Ltd., Term Loan | ||||||||
| 1,240,602 | 5.500%, 10/20/2014 | 1,251,196 | ||||||
| Total Consumer Cyclical | 1,251,196 | |||||||
| Consumer Non-Cyclical (0.2%) | |||||||
Dole Food Company, Term Loan | ||||||||
| 620,312 | 5.059%, 3/3/2017 | 623,749 | ||||||
HCA, Inc., Term Loan | ||||||||
| 1,068,496 | 2.553%, 11/17/2013 | 1,057,619 | ||||||
Michael Foods, Inc., Term Loan | ||||||||
| 1,234,217 | 6.250%, 6/14/2016 | 1,248,620 | ||||||
| Total Consumer Non-Cyclical | 2,929,988 | |||||||
| Financials (<0.1%) | |||||||
American General Finance Corporation, Term Loan | ||||||||
| 350,000 | 7.250%, 4/21/2015 | 354,949 | ||||||
| Total Financials | 354,949 | |||||||
| Technology (0.1%) | |||||||
Freescale Semiconductor, Term Loan | ||||||||
| 997,745 | 4.511%, 12/1/2016 | 962,614 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
| 320,000 | 3.750%, 12/21/2017 | 323,600 | ||||||
| Total Technology | 1,286,214 | |||||||
| Utilities (0.1%) | ||||||||
Calpine Corporation, Term Loan | ||||||||
| 319,973 | 3.145%, 3/29/2014 | 319,294 | ||||||
New Development Holdings, LLC, Term Loan | ||||||||
| 621,992 | 7.000%, 4/21/2017 | 631,764 | ||||||
| Total Utilities | 951,058 | |||||||
Total Bank Loans (cost $15,067,869) | 15,325,692 | |||||||
Long-Term Fixed Income (94.7%) | ||||||||
| Asset-Backed Securities (1.5%) | ||||||||
Capitalsource Commercial Loan Trust | ||||||||
| 857,898 | 0.391%, 3/20/2017b,c | 850,292 | ||||||
Carrington Mortgage Loan Trust | ||||||||
| 2,200,000 | 0.411%, 8/25/2036c | 1,137,123 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 5,773,516 | 0.441%, 8/25/2035c,d | 3,339,511 | ||||||
| 6,700,785 | 0.441%, 12/25/2036c,d | 4,304,196 | ||||||
Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 6,312,864 | 0.341%, 8/25/2036c | 5,840,946 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 858,741 | 0.431%, 10/25/2036c,d | 210,042 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 3,044,382 | 5.746%, 5/25/2036 | 2,342,798 | ||||||
| 2,000,000 | 6.011%, 5/25/2036 | 1,336,606 | ||||||
| Total Asset-Backed Securities | 19,361,514 | |||||||
| Basic Materials (6.2%) | |||||||
ABI Escrow Corporation | ||||||||
| 1,260,000 | 10.250%, 10/15/2018e | 1,379,700 | ||||||
Alcoa, Inc. | ||||||||
| 3,125,000 | 6.150%, 8/15/2020 | 3,209,066 | ||||||
Anglo American Capital plc | ||||||||
| 1,575,000 | 4.450%, 9/27/2020e | 1,599,417 | ||||||
ArcelorMittal | ||||||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,975,523 | ||||||
| 4,350,000 | 6.125%, 6/1/2018 | 4,634,868 | ||||||
| 2,750,000 | 5.250%, 8/5/2020 | 2,718,713 | ||||||
Arch Coal, Inc. | ||||||||
| 250,000 | 7.250%, 10/1/2020 | 263,750 | ||||||
Arch Western Finance, LLC | ||||||||
| 900,000 | 6.750%, 7/1/2013 | 909,000 | ||||||
Ashland, Inc. | ||||||||
| 1,260,000 | 9.125%, 6/1/2017 | 1,452,150 | ||||||
Atkore International, Inc. | ||||||||
| 630,000 | 9.875%, 1/1/2018e | 655,200 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
| 2,520,000 | 5.000%, 1/21/2021e | 2,476,442 | ||||||
CONSOL Energy, Inc. | ||||||||
| 510,000 | 8.000%, 4/1/2017e | 543,150 | ||||||
| 1,560,000 | 8.250%, 4/1/2020e | 1,684,800 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
272
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Basic Materials (6.2%) - continued | ||||||||
Corporacion Nacional del Cobre de Chile - Codelco | ||||||||
| $2,675,000 | 3.750%, 11/4/2020e | $ | 2,534,656 | |||||
Domtar Corporation | ||||||||
| 1,900,000 | 7.125%, 8/15/2015 | 2,042,500 | ||||||
Dow Chemical Company | ||||||||
| 3,250,000 | 5.900%, 2/15/2015 | 3,598,381 | ||||||
| 3,150,000 | 8.550%, 5/15/2019 | 3,947,731 | ||||||
FMG Finance, Pty., Ltd. | ||||||||
| 1,890,000 | 7.000%, 11/1/2015e | 1,937,250 | ||||||
Georgia-Pacific, LLC | ||||||||
| 1,900,000 | 7.125%, 1/15/2017e | 2,023,500 | ||||||
| 2,200,000 | 5.400%, 11/1/2020e | 2,175,094 | ||||||
Gold Fields Orogen Holding BVI, Ltd. | ||||||||
| 3,775,000 | 4.875%, 10/7/2020e | 3,611,293 | ||||||
International Paper Company | ||||||||
| 2,500,000 | 7.500%, 8/15/2021 | 2,952,910 | ||||||
| 1,250,000 | 7.300%, 11/15/2039 | 1,424,304 | ||||||
Lyondell Chemical Company | ||||||||
| 1,920,000 | 11.000%, 5/1/2018 | 2,174,400 | ||||||
Mosaic Global Holdings, Inc. | ||||||||
| 2,500,000 | 7.375%, 12/1/2014e | 2,587,805 | ||||||
Nalco Company | ||||||||
| 2,000,000 | 6.625%, 1/15/2019e | 2,045,000 | ||||||
Noble Group, Ltd. | ||||||||
| 1,250,000 | 4.875%, 8/5/2015e | 1,287,272 | ||||||
| 3,150,000 | 6.750%, 1/29/2020e | 3,488,697 | ||||||
NOVA Chemicals Corporation | ||||||||
| 1,250,000 | 8.625%, 11/1/2019 | 1,365,625 | ||||||
Novelis, Inc. | ||||||||
| 630,000 | 8.375%, 12/15/2017e | 652,050 | ||||||
Peabody Energy Corporation | ||||||||
| 1,250,000 | 7.375%, 11/1/2016 | 1,387,500 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
| 3,285,000 | 6.500%, 7/15/2018 | 3,829,801 | ||||||
| 1,200,000 | 9.000%, 5/1/2019 | 1,611,655 | ||||||
| 1,900,000 | 3.500%, 11/2/2020 | 1,803,611 | ||||||
Rohm & Haas Company | ||||||||
| 2,500,000 | 7.850%, 7/15/2029 | 2,904,985 | ||||||
Teck Resources, Ltd. | ||||||||
| 1,469,000 | 10.250%, 5/15/2016 | 1,817,888 | ||||||
| 1,250,000 | 4.500%, 1/15/2021 | 1,270,890 | ||||||
Vale Overseas, Ltd. | ||||||||
| 3,125,000 | 6.875%, 11/10/2039 | 3,452,906 | ||||||
Total Basic Materials | 82,429,483 | |||||||
| Capital Goods (2.5%) | |||||||
Abengoa Finance SAU | ||||||||
| 1,420,000 | 8.875%, 11/1/2017e | 1,313,500 | ||||||
BE Aerospace, Inc. | ||||||||
| 380,000 | 6.875%, 10/1/2020 | 392,350 | ||||||
Bombardier, Inc. | ||||||||
| 950,000 | 7.750%, 3/15/2020e | 1,023,625 | ||||||
Case New Holland, Inc. | ||||||||
| 1,250,000 | 7.750%, 9/1/2013 | 1,343,750 | ||||||
| 1,550,000 | 7.875%, 12/1/2017e | 1,693,375 | ||||||
CRH America, Inc. | ||||||||
| 1,750,000 | 4.125%, 1/15/2016 | 1,738,818 | ||||||
| 1,900,000 | 8.125%, 7/15/2018 | 2,196,214 | ||||||
Crown Americas, LLC | ||||||||
| 1,300,000 | 7.625%, 5/15/2017 | 1,397,500 | ||||||
John Deere Capital Corporation | ||||||||
| 3,300,000 | 5.350%, 4/3/2018 | 3,646,276 | ||||||
L-3 Communications Corporation | ||||||||
| 1,250,000 | 5.875%, 1/15/2015 | 1,273,437 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
| 2,550,000 | 6.750%, 12/1/2014 | 2,594,625 | ||||||
Republic Services, Inc. | ||||||||
| 630,000 | 5.500%, 9/15/2019 | 687,038 | ||||||
| 1,600,000 | 5.000%, 3/1/2020 | 1,683,568 | ||||||
| 2,200,000 | 5.250%, 11/15/2021 | 2,318,540 | ||||||
Textron, Inc. | ||||||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,727,667 | ||||||
Waste Management, Inc. | ||||||||
| 4,300,000 | 7.375%, 3/11/2019 | 5,203,434 | ||||||
| 1,050,000 | 4.750%, 6/30/2020 | 1,076,598 | ||||||
| Total Capital Goods | 32,310,315 | |||||||
| Collateralized Mortgage Obligations (1.7%) | |||||||
Banc of America Mortgage Securities, Inc. | ||||||||
| 5,802,424 | 3.183%, 9/25/2035 | 4,940,973 | ||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 1,329,240 | 0.541%, 8/25/2036c | 268,500 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 4,685,465 | 6.000%, 1/25/2037 | 3,335,657 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 3,351,934 | 1.098%, 4/25/2047c | 1,994,428 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,989,442 | 5.942%, 4/25/2037 | 1,947,577 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 4,514,437 | 2.752%, 6/25/2035 | 3,977,147 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 3,695,838 | 3.850%, 5/20/2036 | 2,799,944 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 6,657,497 | 1.078%, 2/25/2047c | 3,194,187 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
| 965,419 | 0.551%, 10/25/2045c | 814,599 | ||||||
| Total Collateralized Mortgage Obligations | 23,273,012 | |||||||
| Commercial Mortgage-Backed Securities (5.3%) | |||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 3,200,000 | 5.689%, 4/10/2049 | 3,343,917 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,000,000 | 0.410%, 3/15/2022b,c | 2,844,420 | ||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,593,772 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
| 12,500,000 | 0.400%, 4/15/2022c,e | 11,289,250 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
273
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (5.3%) - continued | ||||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| $1,900,000 | 5.322%, 12/11/2049 | $ | 1,969,388 | |||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,000,000 | 0.390%, 12/15/2020b,c | 1,802,738 | ||||||
| 4,750,000 | 0.440%, 6/15/2022b,c | 4,379,894 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 3,200,000 | 5.542%, 1/15/2049 | 3,263,578 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 7,451,782 | 0.430%, 10/15/2021c,e | 7,132,958 | ||||||
| 3,250,000 | 5.467%, 9/15/2039 | 3,408,551 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 11,285,000 | 5.336%, 5/15/2047 | 11,711,878 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 3,200,000 | 5.866%, 9/15/2045 | 3,367,120 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 7,500,000 | 0.381%, 9/15/2021b,c | 6,885,097 | ||||||
| 4,030,870 | 4.390%, 2/15/2041 | 4,070,070 | ||||||
WaMu Commercial Mortgage Securities Trust | ||||||||
| 343,060 | 3.830%, 1/25/2035e | 346,135 | ||||||
Total Commercial Mortgage- Backed Securities | 69,408,766 | |||||||
| Communications Services (10.2%) | |||||||
Alltel Corporation | ||||||||
| 3,875,000 | 7.000%, 3/15/2016 | 4,568,009 | ||||||
America Movil SAB de CV | ||||||||
| 3,800,000 | 5.000%, 3/30/2020 | 3,949,902 | ||||||
American Tower Corporation | ||||||||
| 4,000,000 | 4.625%, 4/1/2015 | 4,178,752 | ||||||
| 1,250,000 | 4.500%, 1/15/2018 | 1,239,083 | ||||||
| 2,500,000 | 5.050%, 9/1/2020 | 2,458,585 | ||||||
Cablevision Systems Corporation | ||||||||
| 2,250,000 | 8.000%, 4/15/2020 | 2,407,500 | ||||||
CBS Corporation | ||||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,145,205 | ||||||
| 1,300,000 | 7.875%, 9/1/2023 | 1,502,491 | ||||||
CCO Holdings, LLC | ||||||||
| 1,880,000 | 7.250%, 10/30/2017 | 1,908,200 | ||||||
Charter Communications Operating, LLC | ||||||||
| 1,880,000 | 8.000%, 4/30/2012e,f | 1,974,000 | ||||||
Cincinnati Bell, Inc. | ||||||||
| 2,470,000 | 8.250%, 10/15/2017 | 2,445,300 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 1,880,000 | 9.250%, 12/15/2017 | 2,058,600 | ||||||
Comcast Corporation | ||||||||
| 1,900,000 | 6.300%, 11/15/2017 | 2,175,401 | ||||||
| 2,900,000 | 5.700%, 5/15/2018 | 3,191,525 | ||||||
| 3,200,000 | 5.150%, 3/1/2020 | 3,361,101 | ||||||
| 2,700,000 | 6.400%, 5/15/2038 | 2,885,395 | ||||||
Cox Communications, Inc. | ||||||||
| 3,400,000 | 9.375%, 1/15/2019e | 4,447,057 | ||||||
| 2,500,000 | 8.375%, 3/1/2039e | 3,239,777 | ||||||
Cricket Communications, Inc. | ||||||||
| 1,890,000 | 7.750%, 5/15/2016 | 1,960,875 | ||||||
Crown Castle Towers, LLC | ||||||||
| 5,000,000 | 4.883%, 8/15/2020e | 4,805,405 | ||||||
DIRECTV Holdings, LLC/ DIRECTV Financing Company, Inc. | ||||||||
| 2,600,000 | 6.375%, 6/15/2015 | 2,687,750 | ||||||
| 2,490,000 | 7.625%, 5/15/2016 | 2,760,788 | ||||||
DISH DBS Corporation | ||||||||
| 1,875,000 | 7.125%, 2/1/2016 | 1,935,937 | ||||||
Equinix, Inc. | ||||||||
| 1,800,000 | 8.125%, 3/1/2018 | 1,881,000 | ||||||
Frontier Communications Corporation | ||||||||
| 1,250,000 | 7.875%, 4/15/2015 | 1,365,625 | ||||||
| 1,580,000 | 8.250%, 4/15/2017 | 1,734,050 | ||||||
Inmarsat Finance plc | ||||||||
| 1,070,000 | 7.375%, 12/1/2017e | 1,123,500 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 940,000 | 7.250%, 10/15/2020e | 949,400 | ||||||
Intelsat Jackson Holdings, Ltd. | ||||||||
| 310,000 | 8.500%, 11/1/2019e | 337,125 | ||||||
Intelsat Subsidiary Holding Company, Ltd. | ||||||||
| 2,200,000 | 8.875%, 1/15/2015 | 2,260,500 | ||||||
MetroPCS Wireless, Inc. | ||||||||
| 1,880,000 | 7.875%, 9/1/2018 | 1,950,500 | ||||||
NBC Universal, Inc. | ||||||||
| 3,750,000 | 5.150%, 4/30/2020e | 3,887,340 | ||||||
| 3,775,000 | 4.375%, 4/1/2021e | 3,664,041 | ||||||
News America, Inc. | ||||||||
| 1,900,000 | 7.280%, 6/30/2028 | 2,142,237 | ||||||
| 1,900,000 | 7.625%, 11/30/2028 | 2,214,135 | ||||||
| 2,140,000 | 6.400%, 12/15/2035 | 2,299,222 | ||||||
Nextel Communications, Inc. | ||||||||
| 1,250,000 | 6.875%, 10/31/2013 | 1,253,125 | ||||||
| 1,270,000 | 7.375%, 8/1/2015 | 1,271,588 | ||||||
NII Capital Corporation | ||||||||
| 1,900,000 | 8.875%, 12/15/2019 | 2,047,250 | ||||||
Qwest Communications International, Inc. | ||||||||
| 1,900,000 | 7.125%, 4/1/2018e | 1,966,500 | ||||||
Qwest Corporation | ||||||||
| 600,000 | 8.375%, 5/1/2016 | 711,000 | ||||||
| 3,200,000 | 6.500%, 6/1/2017 | 3,472,000 | ||||||
Rogers Communications, Inc. | ||||||||
| 2,410,000 | 8.750%, 5/1/2032 | 2,965,775 | ||||||
SBA Tower Trust | ||||||||
| 3,500,000 | 5.101%, 4/15/2017e | 3,638,782 | ||||||
Sprint Capital Corporation | ||||||||
| 1,250,000 | 8.375%, 3/15/2012 | 1,321,875 | ||||||
Telemar Norte Leste SA | ||||||||
| 3,800,000 | 5.500%, 10/23/2020e | 3,657,500 | ||||||
Time Warner Cable, Inc. | ||||||||
| 2,500,000 | 8.250%, 4/1/2019 | 3,105,433 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
274
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Communications Services (10.2%) - continued | ||||||||
Time Warner Entertainment Company, LP | ||||||||
| $1,850,000 | 8.375%, 3/15/2023 | $ | 2,322,897 | |||||
| 2,600,000 | 8.375%, 7/15/2033 | 3,281,140 | ||||||
UPC Holding BV | ||||||||
| 1,070,000 | 9.875%, 4/15/2018e | 1,171,650 | ||||||
Verizon Communications, Inc. | ||||||||
| 2,000,000 | 8.750%, 11/1/2018 | 2,611,632 | ||||||
| 1,650,000 | 8.950%, 3/1/2039 | 2,351,397 | ||||||
Videotron Ltee | ||||||||
| 1,250,000 | 6.875%, 1/15/2014 | 1,265,625 | ||||||
Virgin Media Finance plc | ||||||||
| 2,520,000 | 9.500%, 8/15/2016 | 2,847,600 | ||||||
| 620,000 | 8.375%, 10/15/2019 | 677,350 | ||||||
Wind Acquisition Finance SA | ||||||||
| 1,250,000 | 11.750%, 7/15/2017e | 1,409,375 | ||||||
| 440,000 | 7.250%, 2/15/2018e | 447,700 | ||||||
Total Communications Services | 134,892,507 | |||||||
| Consumer Cyclical (5.8%) | |||||||
American Honda Finance Corporation | ||||||||
| 4,400,000 | 3.875%, 9/21/2020e | 4,235,453 | ||||||
AOL Time Warner, Inc. | ||||||||
| 1,600,000 | 7.700%, 5/1/2032 | 1,953,106 | ||||||
AutoZone, Inc. | ||||||||
| 3,475,000 | 4.000%, 11/15/2020 | 3,282,040 | ||||||
CVS Caremark Corporation | ||||||||
| 1,850,000 | 6.600%, 3/15/2019 | 2,166,108 | ||||||
| 2,500,000 | 6.302%, 6/1/2037 | 2,409,375 | ||||||
FireKeepers Development Authority | ||||||||
| 1,240,000 | 13.875%, 5/1/2015e | 1,466,300 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 1,900,000 | 7.000%, 10/1/2013 | 2,036,990 | ||||||
| 2,130,000 | 8.000%, 6/1/2014 | 2,346,636 | ||||||
| 1,930,000 | 7.000%, 4/15/2015 | 2,074,001 | ||||||
| 630,000 | 6.625%, 8/15/2017 | 662,124 | ||||||
Goodyear Tire & Rubber Company | ||||||||
| 1,375,000 | 8.250%, 8/15/2020f | 1,423,125 | ||||||
Home Depot, Inc. | ||||||||
| 625,000 | 3.950%, 9/15/2020f | 609,229 | ||||||
| 3,900,000 | 5.875%, 12/16/2036 | 4,056,581 | ||||||
Hyatt Hotels Corporation | ||||||||
| 3,100,000 | 5.750%, 8/15/2015e | 3,242,436 | ||||||
Hyundai Motor Manufacturing Czech | ||||||||
| 2,525,000 | 4.500%, 4/15/2015e | 2,590,938 | ||||||
J.C. Penney Company, Inc. | ||||||||
| 1,950,000 | 5.650%, 6/1/2020 | 1,867,125 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 1,630,000 | 8.375%, 7/15/2015 | 1,907,100 | ||||||
MGM Resorts International | ||||||||
| 1,900,000 | 11.125%, 11/15/2017 | 2,185,000 | ||||||
| 1,300,000 | 9.000%, 3/15/2020e | 1,430,000 | ||||||
Nissan Motor Acceptance Corporation | ||||||||
| 4,100,000 | 5.625%, 3/14/2011e | 4,138,056 | ||||||
QVC, Inc. | ||||||||
| 1,270,000 | 7.125%, 4/15/2017e | 1,330,325 | ||||||
| 320,000 | 7.375%, 10/15/2020e | 335,200 | ||||||
Rite Aid Corporation | ||||||||
| 1,250,000 | 10.375%, 7/15/2016 | 1,300,000 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
| 1,250,000 | 6.875%, 12/1/2013 | 1,325,000 | ||||||
Sears Holdings Corporation | ||||||||
| 820,000 | 6.625%, 10/15/2018e | 764,650 | ||||||
Seminole Indian Tribe of Florida | ||||||||
| 310,000 | 7.750%, 10/1/2017e | 320,075 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 1,850,000 | 6.750%, 5/15/2018 | 2,025,750 | ||||||
Time Warner, Inc. | ||||||||
| 3,200,000 | 6.100%, 7/15/2040 | 3,357,715 | ||||||
Toll Bros Finance Corporation | ||||||||
| 2,000,000 | 6.750%, 11/1/2019 | 2,101,346 | ||||||
Toys R Us Property Company I, LLC | ||||||||
| 1,900,000 | 10.750%, 7/15/2017 | 2,166,000 | ||||||
Universal City Development Partners, Ltd. | ||||||||
| 1,270,000 | 8.875%, 11/15/2015 | 1,349,375 | ||||||
Viacom, Inc. | ||||||||
| 3,100,000 | 6.250%, 4/30/2016 | 3,527,890 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 5,000,000 | 3.250%, 10/25/2020 | 4,699,230 | ||||||
West Corporation | ||||||||
| 1,580,000 | 7.875%, 1/15/2019e | 1,607,650 | ||||||
WMG Acquisition Corporation | ||||||||
| 1,250,000 | 9.500%, 6/15/2016 | 1,340,625 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 1,885,000 | 6.000%, 12/1/2016 | 1,972,530 | ||||||
| 530,000 | 5.750%, 2/1/2018 | 538,923 | ||||||
Total Consumer Cyclical | 76,144,007 | |||||||
| Consumer Non-Cyclical (5.7%) | ||||||||
Altria Group, Inc. | ||||||||
| 1,300,000 | 4.125%, 9/11/2015 | 1,359,251 | ||||||
| 1,750,000 | 9.700%, 11/10/2018 | 2,308,645 | ||||||
| 2,500,000 | 9.950%, 11/10/2038 | 3,522,830 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 3,125,000 | 5.375%, 11/15/2014e | 3,442,978 | ||||||
| 1,900,000 | 6.875%, 11/15/2019e | 2,264,846 | ||||||
| 2,550,000 | 5.375%, 1/15/2020 | 2,763,149 | ||||||
| 2,525,000 | 5.000%, 4/15/2020 | 2,668,753 | ||||||
Biomet, Inc. | ||||||||
| 2,525,000 | 10.000%, 10/15/2017e | 2,758,563 | ||||||
Bio-Rad Laboratories, Inc. | ||||||||
| 2,525,000 | 4.875%, 12/15/2020 | 2,451,719 | ||||||
Boston Scientific Corporation | ||||||||
| 3,800,000 | 4.500%, 1/15/2015 | 3,879,872 | ||||||
| 1,250,000 | 5.125%, 1/12/2017 | 1,247,688 | ||||||
Celgene Corporation | ||||||||
| 2,500,000 | 3.950%, 10/15/2020 | 2,376,838 | ||||||
Constellation Brands, Inc. | ||||||||
| 1,200,000 | 7.250%, 5/15/2017 | 1,270,500 | ||||||
DaVita, Inc. | ||||||||
| 1,010,000 | 6.375%, 11/1/2018 | 1,004,950 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
275
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Consumer Non-Cyclical (5.7%) - continued | ||||||||
Del Monte Corporation | ||||||||
| $ | 1,250,000 | 7.500%, 10/15/2019 | $ | 1,457,813 | ||||
Fortune Brands, Inc. | ||||||||
| 2,500,000 | 6.375%, 6/15/2014 | 2,709,415 | ||||||
| 1,300,000 | 5.375%, 1/15/2016 | 1,344,388 | ||||||
Hasbro, Inc. | ||||||||
| 3,250,000 | 6.350%, 3/15/2040 | 3,288,620 | ||||||
HCA, Inc. | ||||||||
| 1,250,000 | 9.625%, 11/15/2016 | 1,339,063 | ||||||
| 2,490,000 | 8.500%, 4/15/2019 | 2,726,550 | ||||||
| 1,270,000 | 7.250%, 9/15/2020 | 1,327,150 | ||||||
Hershey Company | ||||||||
| 1,600,000 | 4.125%, 12/1/2020 | 1,613,597 | ||||||
JBS Finance II, Ltd. | ||||||||
| 1,250,000 | 8.250%, 1/29/2018e | 1,256,250 | ||||||
Kraft Foods, Inc. | ||||||||
| 3,150,000 | 4.125%, 2/9/2016 | 3,306,618 | ||||||
| 3,100,000 | 5.375%, 2/10/2020 | 3,336,434 | ||||||
| 2,600,000 | 6.500%, 11/1/2031 | 2,892,102 | ||||||
Life Technologies Corporation | ||||||||
| 3,000,000 | 3.500%, 1/15/2016 | 2,990,856 | ||||||
| 1,900,000 | 6.000%, 3/1/2020 | 2,035,157 | ||||||
Medco Health Solutions, Inc. | ||||||||
| 3,150,000 | 4.125%, 9/15/2020 | 3,045,829 | ||||||
Mylan, Inc. | ||||||||
| 2,525,000 | 7.875%, 7/15/2020e | 2,720,687 | ||||||
TreeHouse Foods, Inc. | ||||||||
| 1,260,000 | 7.750%, 3/1/2018 | 1,365,525 | ||||||
Visant Corporation | ||||||||
| 470,000 | 10.000%, 10/1/2017e | 499,375 | ||||||
Warner Chilcott Company, LLC | ||||||||
| 2,360,000 | 7.750%, 9/15/2018e | 2,383,600 | ||||||
Total Consumer Non-Cyclical | 74,959,611 | |||||||
| Energy (8.9%) | |||||||
Anadarko Petroleum Corporation | ||||||||
| 1,900,000 | 5.950%, 9/15/2016 | 2,041,149 | ||||||
| 2,600,000 | 6.375%, 9/15/2017 | 2,832,198 | ||||||
BP Capital Markets plc | ||||||||
| 2,200,000 | 3.125%, 10/1/2015 | 2,198,489 | ||||||
| 1,575,000 | 4.500%, 10/1/2020 | 1,571,203 | ||||||
CenterPoint Energy Resources Corporation | ||||||||
| 6,850,000 | 6.125%, 11/1/2017 | 7,644,901 | ||||||
Citgo Petroleum Corporation | ||||||||
| 940,000 | 11.500%, 7/1/2017e | 1,052,800 | ||||||
Coffeyville Resources, LLC | ||||||||
| 1,250,000 | 10.875%, 4/1/2017e | 1,343,750 | ||||||
Denbury Resources, Inc. | ||||||||
| 1,469,000 | 8.250%, 2/15/2020 | 1,593,865 | ||||||
El Paso Corporation | ||||||||
| 2,000,000 | 7.250%, 6/1/2018 | 2,141,030 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 950,000 | 5.200%, 3/15/2020 | 995,692 | ||||||
| 3,800,000 | 8.050%, 10/1/2037 | 3,907,692 | ||||||
Energy Transfer Partners, LP | ||||||||
| 5,900,000 | 6.700%, 7/1/2018 | 6,693,373 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 2,600,000 | 7.034%, 1/15/2068 | 2,697,500 | ||||||
| 4,000,000 | 6.300%, 9/15/2017 | 4,513,532 | ||||||
EQT Corporation | ||||||||
| 1,300,000 | 8.125%, 6/1/2019 | 1,512,558 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,250,000 | 5.950%, 2/15/2018 | 1,376,643 | ||||||
| 3,100,000 | 5.800%, 3/1/2021 | 3,320,853 | ||||||
Linn Energy, LLC | ||||||||
| 1,880,000 | 7.750%, 2/1/2021e | 1,927,000 | ||||||
Magellan Midstream Partners, LP | ||||||||
| 2,700,000 | 6.450%, 6/1/2014 | 3,032,124 | ||||||
Marathon Oil Canada Corporation | ||||||||
| 3,100,000 | 8.375%, 5/1/2012 | 3,372,871 | ||||||
Marathon Oil Corporation | ||||||||
| 2,600,000 | 5.900%, 3/15/2018 | 2,947,937 | ||||||
Nexen, Inc. | ||||||||
| 1,300,000 | 6.200%, 7/30/2019 | 1,399,808 | ||||||
| 3,075,000 | 6.400%, 5/15/2037 | 2,979,312 | ||||||
Noble Energy, Inc. | ||||||||
| 3,100,000 | 8.250%, 3/1/2019 | 3,873,726 | ||||||
Noble Holding International, Ltd. | ||||||||
| 940,000 | 3.450%, 8/1/2015 | 959,911 | ||||||
NuStar Logistics, LP | ||||||||
| 3,900,000 | 4.800%, 9/1/2020 | 3,782,442 | ||||||
Odebrecht Drilling Norbe VIII/IX, Ltd. | ||||||||
| 1,250,000 | 6.350%, 6/30/2021e | 1,300,000 | ||||||
ONEOK Partners, LP | ||||||||
| 3,250,000 | 6.850%, 10/15/2037 | 3,615,008 | ||||||
Petrohawk Energy Corporation | ||||||||
| 2,200,000 | 10.500%, 8/1/2014 | 2,508,000 | ||||||
Pioneer Natural Resources Company | ||||||||
| 2,500,000 | 6.875%, 5/1/2018 | 2,657,760 | ||||||
Plains All American Pipeline, LP | ||||||||
| 2,500,000 | 3.950%, 9/15/2015 | 2,583,195 | ||||||
| 3,150,000 | 6.500%, 5/1/2018 | 3,527,285 | ||||||
Plains Exploration & Production Company | ||||||||
| 1,870,000 | 8.625%, 10/15/2019 | 2,047,650 | ||||||
Precision Drilling Corporation | ||||||||
| 220,000 | 6.625%, 11/15/2020e | 223,850 | ||||||
QEP Resources, Inc. | ||||||||
| 630,000 | 6.875%, 3/1/2021 | 661,500 | ||||||
Reliance Holdings USA, Inc. | ||||||||
| 1,900,000 | 4.500%, 10/19/2020e | 1,812,891 | ||||||
Rowan Companies, Inc. | ||||||||
| 2,500,000 | 5.000%, 9/1/2017 | 2,521,765 | ||||||
Sandridge Energy, Inc. | ||||||||
| 1,270,000 | 8.000%, 6/1/2018e,f | 1,289,050 | ||||||
Southwestern Energy Company | ||||||||
| 2,000,000 | 7.500%, 2/1/2018 | 2,255,000 | ||||||
Transocean, Inc. | ||||||||
| 2,200,000 | 4.950%, 11/15/2015 | 2,273,616 | ||||||
| 1,900,000 | 6.000%, 3/15/2018 | 1,995,555 | ||||||
Valero Energy Corporation | ||||||||
| 3,125,000 | 6.125%, 2/1/2020 | 3,318,956 | ||||||
Weatherford International, Inc. | ||||||||
| 2,245,000 | 6.350%, 6/15/2017 | 2,491,375 | ||||||
Weatherford International, Ltd. | ||||||||
| 3,100,000 | 6.000%, 3/15/2018 | 3,336,648 | ||||||
Williams Partners, LP | ||||||||
| 2,500,000 | 4.125%, 11/15/2020 | 2,367,973 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
276
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Energy (8.9%) - continued | ||||||||
Woodside Finance, Ltd. | ||||||||
| $ 3,125,000 | 4.500%, 11/10/2014e | $ | 3,284,606 | |||||
Total Energy | 117,784,042 | |||||||
| Financials (31.6%) | |||||||
Abbey National Capital Trust I | ||||||||
| 3,090,000 | 8.963%, 12/29/2049g | 3,259,950 | ||||||
Aegon NV | ||||||||
| 2,600,000 | 2.628%, 7/29/2049c,g | 1,582,750 | ||||||
Ally Financial, Inc. | ||||||||
| 1,250,000 | 6.875%, 8/28/2012 | 1,306,250 | ||||||
| 1,300,000 | 7.500%, 12/31/2013 | 1,394,250 | ||||||
| 1,300,000 | 8.300%, 2/12/2015 | 1,430,000 | ||||||
| 1,570,000 | 7.500%, 9/15/2020e | 1,646,537 | ||||||
AMB Property, LP | ||||||||
| 1,950,000 | 4.500%, 8/15/2017f | 1,949,904 | ||||||
| 3,150,000 | 4.000%, 1/15/2018 | 2,990,481 | ||||||
American Express Credit Corporation | ||||||||
| 1,650,000 | 7.300%, 8/20/2013 | 1,859,316 | ||||||
| 3,850,000 | 5.125%, 8/25/2014f | 4,151,008 | ||||||
| 3,150,000 | 2.750%, 9/15/2015 | 3,098,611 | ||||||
American International Group, Inc. | ||||||||
| 3,000,000 | 6.400%, 12/15/2020 | 3,147,627 | ||||||
Associates Corporation of North America | ||||||||
| 3,800,000 | 6.950%, 11/1/2018 | 4,153,206 | ||||||
AXA SA | ||||||||
| 3,900,000 | 6.463%, 12/31/2049e,g | 3,480,750 | ||||||
Axis Specialty Finance, LLC | ||||||||
| 3,250,000 | 5.875%, 6/1/2020 | 3,244,911 | ||||||
BAC Capital Trust VI | ||||||||
| 3,150,000 | 5.625%, 3/8/2035 | 2,667,499 | ||||||
BAC Capital Trust XI | ||||||||
| 1,300,000 | 6.625%, 5/23/2036 | 1,235,439 | ||||||
Bank of America Corporation | ||||||||
| 3,200,000 | 6.500%, 8/1/2016f | 3,472,298 | ||||||
| 3,300,000 | 5.750%, 12/1/2017 | 3,434,066 | ||||||
| 2,525,000 | 5.875%, 1/5/2021 | 2,612,385 | ||||||
| 1,900,000 | 8.000%, 12/29/2049g | 1,914,820 | ||||||
Barclays Bank plc | ||||||||
| 5,000,000 | 2.500%, 9/21/2015e | 4,818,745 | ||||||
| 2,110,000 | 5.140%, 10/14/2020 | 1,898,468 | ||||||
| 3,700,000 | 7.434%, 9/15/2049e,g | 3,616,750 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 3,150,000 | 5.919%, 12/29/2049g | 2,394,000 | ||||||
Bear Stearns Companies, Inc. | ||||||||
| 1,900,000 | 6.400%, 10/2/2017 | 2,166,072 | ||||||
Blackstone Holdings Finance Company, LLC | ||||||||
| 3,140,000 | 5.875%, 3/15/2021e | 3,004,079 | ||||||
BNP Paribas Home Loan Covered Bonds SA | ||||||||
| 4,400,000 | 2.200%, 11/2/2015e | 4,213,968 | ||||||
Boston Properties, LP | ||||||||
| 3,750,000 | 5.875%, 10/15/2019 | 4,066,680 | ||||||
| 3,150,000 | 4.125%, 5/15/2021 | 2,986,307 | ||||||
Cantor Fitzgerald, LP | ||||||||
| 1,700,000 | 7.875%, 10/15/2019e | 1,750,699 | ||||||
Capital One Capital V | ||||||||
| 1,925,000 | 10.250%, 8/15/2039 | 2,059,750 | ||||||
Capital One Financial Corporation | ||||||||
| 1,500,000 | 6.150%, 9/1/2016 | 1,623,932 | ||||||
CIT Group, Inc. | ||||||||
| 3,304,731 | 7.000%, 5/1/2017 | 3,312,993 | ||||||
Citigroup, Inc. | ||||||||
| 3,125,000 | 2.286%, 8/13/2013c | 3,177,828 | ||||||
| 2,500,000 | 6.500%, 8/19/2013 | 2,745,147 | ||||||
| 3,125,000 | 6.010%, 1/15/2015 | 3,428,206 | ||||||
| 2,500,000 | 4.750%, 5/19/2015 | 2,617,743 | ||||||
| 2,700,000 | 6.125%, 5/15/2018 | 2,957,923 | ||||||
CME Group Index Services, LLC | ||||||||
| 2,600,000 | 4.400%, 3/15/2018e | 2,616,700 | ||||||
CNA Financial Corporation | ||||||||
| 3,775,000 | 7.350%, 11/15/2019f | 4,140,250 | ||||||
| 1,300,000 | 5.875%, 8/15/2020 | 1,294,375 | ||||||
CommonWealth REIT | ||||||||
| 3,150,000 | 6.250%, 8/15/2016 | 3,286,644 | ||||||
Corestates Capital Trust I | ||||||||
| 3,000,000 | 8.000%, 12/15/2026e | 3,061,965 | ||||||
Corporacion Andina de Fomento | ||||||||
| 2,000,000 | 8.125%, 6/4/2019 | 2,355,158 | ||||||
Credit Suisse New York, NY | ||||||||
| 4,550,000 | 4.375%, 8/5/2020 | 4,467,185 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 1,250,000 | 5.375%, 10/15/2012 | 1,286,056 | ||||||
Discover Bank | ||||||||
| 1,875,000 | 8.700%, 11/18/2019 | 2,207,089 | ||||||
| 1,705,000 | 7.000%, 4/15/2020 | 1,832,947 | ||||||
DnB NOR Boligkreditt | ||||||||
| 4,400,000 | 2.100%, 10/14/2015e | 4,184,387 | ||||||
Duke Realty, LP | ||||||||
| 3,100,000 | 5.950%, 2/15/2017 | 3,228,579 | ||||||
Endurance Specialty Holdings, Ltd. | ||||||||
| 4,200,000 | 6.150%, 10/15/2015 | 4,407,812 | ||||||
ERP Operating, LP | ||||||||
| 2,500,000 | 5.125%, 3/15/2016 | 2,697,133 | ||||||
Fifth Third Bancorp | ||||||||
| 2,800,000 | 5.450%, 1/15/2017 | 2,862,056 | ||||||
Fifth Third Bank | ||||||||
| 3,150,000 | 0.394%, 5/17/2013c | 3,027,868 | ||||||
General Electric Capital Corporation | ||||||||
| 4,500,000 | 6.375%, 11/15/2067 | 4,443,750 | ||||||
| 3,150,000 | 2.250%, 11/9/2015 | 3,028,268 | ||||||
| 1,900,000 | 6.000%, 8/7/2019 | 2,113,923 | ||||||
| 2,500,000 | 4.375%, 9/16/2020 | 2,460,392 | ||||||
| 1,550,000 | 6.875%, 1/10/2039 | 1,791,273 | ||||||
Genworth Financial, Inc. | ||||||||
| 2,850,000 | 7.200%, 2/15/2021 | 2,917,314 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 5,800,000 | 6.250%, 9/1/2017 | 6,400,596 | ||||||
| 2,850,000 | 5.950%, 1/18/2018 | 3,091,917 | ||||||
| 2,500,000 | 5.375%, 3/15/2020 | 2,583,402 | ||||||
| 1,300,000 | 6.750%, 10/1/2037 | 1,329,115 | ||||||
Health Care Property Investors, Inc. | ||||||||
| 3,100,000 | 5.625%, 5/1/2017 | 3,173,327 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
277
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Financials (31.6%) - continued | ||||||||
Health Care REIT, Inc. | ||||||||
| $ 3,200,000 | 6.125%, 4/15/2020 | $ | 3,368,528 | |||||
| 3,150,000 | 4.950%, 1/15/2021 | 3,035,189 | ||||||
HSBC Finance Corporation | ||||||||
| 2,045,000 | 6.676%, 1/15/2021e | 2,066,025 | ||||||
HSBC USA, Inc. | ||||||||
| 3,150,000 | 5.000%, 9/27/2020 | 3,049,118 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 950,000 | 7.000%, 12/15/2020 | 1,000,247 | ||||||
Hutchinson Whampoa Finance, Ltd. | ||||||||
| 2,550,000 | 6.000%, 12/29/2049e,g | 2,513,693 | ||||||
Icahn Enterprises, LP | ||||||||
| 1,890,000 | 7.750%, 1/15/2016e | 1,880,550 | ||||||
| 1,850,000 | 8.000%, 1/15/2018 | 1,850,000 | ||||||
ING Bank NV | ||||||||
| 3,150,000 | 2.500%, 1/14/2016e | 3,072,564 | ||||||
ING Capital Funding Trust III | ||||||||
| 3,200,000 | 3.903%, 12/31/2049c,g | 2,952,000 | ||||||
International Lease Finance Corporation | ||||||||
| 3,150,000 | 5.300%, 5/1/2012 | 3,185,438 | ||||||
| 3,125,000 | 6.750%, 9/1/2016e | 3,335,937 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 3,150,000 | 2.600%, 1/15/2016 | 3,056,357 | ||||||
| 3,125,000 | 4.400%, 7/22/2020 | 3,075,769 | ||||||
| 3,150,000 | 5.500%, 10/15/2040 | 3,219,741 | ||||||
| 4,700,000 | 7.900%, 4/29/2049g | 4,996,053 | ||||||
J.P. Morgan Chase Capital XXV | ||||||||
| 3,100,000 | 6.800%, 10/1/2037 | 3,196,382 | ||||||
Jefferies Group, Inc. | ||||||||
| 1,250,000 | 3.875%, 11/9/2015 | 1,228,630 | ||||||
KeyCorp | ||||||||
| 3,125,000 | 3.750%, 8/13/2015 | 3,135,306 | ||||||
LBG Capital No. 1 plc | ||||||||
| 3,100,000 | 7.875%, 11/1/2020 | 2,821,000 | ||||||
Liberty Property, LP | ||||||||
| 2,840,000 | 5.500%, 12/15/2016 | 3,074,678 | ||||||
| 1,875,000 | 4.750%, 10/1/2020 | 1,855,408 | ||||||
Lloyds TSB Bank plc | ||||||||
| 2,400,000 | 5.800%, 1/13/2020e | 2,369,676 | ||||||
| 3,150,000 | 6.500%, 9/14/2020e | 2,898,101 | ||||||
Manulife Financial Corporation | ||||||||
| 3,750,000 | 3.400%, 9/17/2015 | 3,673,238 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 5,600,000 | 6.875%, 4/25/2018 | 6,128,405 | ||||||
| 3,000,000 | 7.750%, 5/14/2038 | 3,113,484 | ||||||
MetLife Capital Trust X | ||||||||
| 3,000,000 | 9.250%, 4/8/2038e | 3,525,000 | ||||||
Morgan Stanley | ||||||||
| 3,125,000 | 4.200%, 11/20/2014 | 3,192,609 | ||||||
| 3,125,000 | 4.000%, 7/24/2015 | 3,141,203 | ||||||
| 1,900,000 | 5.450%, 1/9/2017 | 1,970,330 | ||||||
| 2,450,000 | 6.625%, 4/1/2018 | 2,657,684 | ||||||
| 1,900,000 | 5.625%, 9/23/2019 | 1,937,398 | ||||||
| 4,700,000 | 5.500%, 1/26/2020 | 4,737,718 | ||||||
MUFG Capital Finance 1, Ltd. | ||||||||
| 5,130,000 | 6.346%, 7/29/2049g | 5,169,434 | ||||||
National Australia Bank, Ltd. | ||||||||
| 3,150,000 | 4.375%, 12/10/2020e | 3,046,825 | ||||||
National City Bank | ||||||||
| 3,100,000 | 5.800%, 6/7/2017 | 3,343,964 | ||||||
Nationwide Building Society | ||||||||
| 4,400,000 | 6.250%, 2/25/2020e | 4,585,104 | ||||||
New York Life Insurance Company | ||||||||
| 2,500,000 | 6.750%, 11/15/2039e | 2,947,745 | ||||||
Nordea Bank AB | ||||||||
| 2,500,000 | 3.700%, 11/13/2014e | 2,576,913 | ||||||
PNC Funding Corporation | ||||||||
| 3,100,000 | 3.000%, 5/19/2014 | 3,156,631 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 5,469,314 | 0.502%, 12/22/2036b,c | 2,871,390 | ||||||
Prudential Financial, Inc. | ||||||||
| 1,250,000 | 6.200%, 1/15/2015 | 1,378,511 | ||||||
| 2,900,000 | 6.000%, 12/1/2017 | 3,219,304 | ||||||
| 3,125,000 | 5.375%, 6/21/2020 | 3,265,478 | ||||||
| 1,120,000 | 5.700%, 12/14/2036 | 1,110,959 | ||||||
| 1,425,000 | 6.200%, 11/15/2040 | 1,507,438 | ||||||
Qatari Diar Finance QSC | ||||||||
| 3,100,000 | 5.000%, 7/21/2020e | 3,085,281 | ||||||
Rabobank Capital Funding II | ||||||||
| 2,126,000 | 5.260%, 12/29/2049e,g | 2,104,608 | ||||||
Regency Centers, LP | ||||||||
| 2,500,000 | 5.875%, 6/15/2017 | 2,665,763 | ||||||
Regions Financial Corporation | ||||||||
| 1,875,000 | 5.750%, 6/15/2015 | 1,835,156 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 4,785,000 | 5.625%, 3/15/2017 | 4,971,629 | ||||||
Resona Bank, Ltd. | ||||||||
| 4,400,000 | 5.850%, 9/29/2049e,g | 4,395,943 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 3,150,000 | 5.000%, 10/1/2014 | 3,030,228 | ||||||
Royal Bank of Scotland plc | ||||||||
| 2,500,000 | 4.875%, 3/16/2015 | 2,557,310 | ||||||
| 2,050,000 | 5.625%, 8/24/2020 | 2,038,110 | ||||||
Simon Property Group, LP | ||||||||
| 2,280,000 | 5.750%, 12/1/2015 | 2,533,057 | ||||||
| 1,250,000 | 10.350%, 4/1/2019 | 1,708,999 | ||||||
| 2,000,000 | 5.650%, 2/1/2020 | 2,163,468 | ||||||
| 3,250,000 | 4.375%, 3/1/2021 | 3,211,757 | ||||||
SLM Corporation | ||||||||
| 1,250,000 | 5.125%, 8/27/2012 | 1,275,940 | ||||||
| 3,200,000 | 5.000%, 10/1/2013 | 3,208,275 | ||||||
| 3,300,000 | 5.375%, 5/15/2014 | 3,316,262 | ||||||
Standard Chartered plc | ||||||||
| 3,775,000 | 3.850%, 4/27/2015e | 3,886,612 | ||||||
Swiss RE Capital I, LP | ||||||||
| 4,200,000 | 6.854%, 5/29/2049e,g | 4,012,147 | ||||||
TD Ameritrade Holding Corporation | ||||||||
| 3,775,000 | 5.600%, 12/1/2019 | 3,953,210 | ||||||
UBS AG/Stamford, Connecticut | ||||||||
| 3,200,000 | 5.875%, 12/20/2017 | 3,519,443 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 2,500,000 | 6.500%, 6/15/2037 | 2,760,408 | ||||||
Unum Group | ||||||||
| 2,500,000 | 7.125%, 9/30/2016 | 2,808,025 | ||||||
Wachovia Bank NA | ||||||||
| 2,025,000 | 4.875%, 2/1/2015 | 2,147,425 | ||||||
Wachovia Corporation | ||||||||
| 2,500,000 | 5.250%, 8/1/2014 | 2,666,235 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
278
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Financials (31.6%) - continued | ||||||||
WEA Finance, LLC | ||||||||
| $ | 1,500,000 | 7.125%, 4/15/2018e | $ | 1,725,555 | ||||
WEA Finance, LLC/WT Finance Australia, Pty Ltd. | ||||||||
| 1,850,000 | 7.500%, 6/2/2014e | 2,099,674 | ||||||
Westpac Banking Corporation | ||||||||
| 3,100,000 | 4.200%, 2/27/2015 | 3,253,614 | ||||||
| 3,150,000 | 3.000%, 12/9/2015 | 3,144,087 | ||||||
Willis North America, Inc. | ||||||||
| 4,600,000 | 6.200%, 3/28/2017 | 4,726,748 | ||||||
| 1,900,000 | 7.000%, 9/29/2019 | 1,980,307 | ||||||
XL Capital, Ltd. | ||||||||
| 3,100,000 | 6.250%, 5/15/2027 | 3,052,961 | ||||||
ZFS Finance USA Trust II | ||||||||
| 2,500,000 | 6.450%, 12/15/2065e | 2,459,375 | ||||||
Total Financials | 417,951,596 | |||||||
| Foreign Government (0.5%) | |||||||
Brazil Government International Bond | ||||||||
| 1,100,000 | 4.875%, 1/22/2021 | 1,122,000 | ||||||
Korea Development Bank/ Republic of Korea | ||||||||
| 2,500,000 | 4.375%, 8/10/2015 | 2,572,688 | ||||||
Peru Government International Bond | ||||||||
| 3,775,000 | 5.625%, 11/18/2050 | 3,491,875 | ||||||
| Total Foreign Government | 7,186,563 | |||||||
| Mortgage-Backed Securities (2.8%) | |||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 9,150,000 | 3.500%, 1/1/2026h | 9,212,906 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 16,850,000 | 4.500%, 1/1/2041h | 17,294,941 | ||||||
| 6,000,000 | 5.500%, 1/1/2041h | 6,419,064 | ||||||
| 4,200,000 | 6.000%, 1/1/2041h | 4,564,875 | ||||||
Total Mortgage-Backed Securities | 37,491,786 | |||||||
| Technology (0.9%) | |||||||
Affiliated Computer Services, Inc. | ||||||||
| 3,100,000 | 5.200%, 6/1/2015 | 3,289,788 | ||||||
CA, Inc. | ||||||||
| 3,075,000 | 5.375%, 12/1/2019 | 3,179,212 | ||||||
Iron Mountain, Inc. | ||||||||
| 1,200,000 | 8.000%, 6/15/2020 | 1,260,000 | ||||||
Jabil Circuit, Inc. | ||||||||
| 280,000 | 5.625%, 12/15/2020 | 275,100 | ||||||
JDA Software Group, Inc. | ||||||||
| 310,000 | 8.000%, 12/15/2014 | 334,025 | ||||||
Seagate HDD Cayman | ||||||||
| 1,265,000 | 7.750%, 12/15/2018e | 1,280,813 | ||||||
Xerox Corporation | ||||||||
| 1,250,000 | 6.400%, 3/15/2016 | 1,425,126 | ||||||
| 950,000 | 5.625%, 12/15/2019 | 1,018,342 | ||||||
| Total Technology | 12,062,406 | |||||||
| Transportation (2.8%) | ||||||||
American Airlines Pass Through Trust | ||||||||
| 1,873,874 | 10.375%, 7/2/2019 | 2,211,172 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 1,880,000 | 8.250%, 1/15/2019e | 1,898,800 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,200,000 | 6.750%, 9/15/2015e | 2,266,000 | ||||||
| 1,093,921 | 7.250%, 11/10/2019 | 1,219,722 | ||||||
| 2,073,936 | 5.983%, 4/19/2022 | 2,188,002 | ||||||
CSX Corporation | ||||||||
| 1,293,000 | 7.900%, 5/1/2017 | 1,573,921 | ||||||
| 1,807,000 | 6.220%, 4/30/2040 | 1,961,744 | ||||||
Delta Air Lines, Inc. | ||||||||
| 1,123,000 | 9.500%, 9/15/2014e | 1,222,666 | ||||||
| 2,600,000 | 4.950%, 11/23/2019f | 2,613,000 | ||||||
| 3,367,913 | 7.750%, 12/17/2019 | 3,729,963 | ||||||
ERAC USA Finance, LLC | ||||||||
| 3,450,000 | 5.250%, 10/1/2020e | 3,508,150 | ||||||
FedEx Corporation | ||||||||
| 3,176,963 | 6.845%, 1/15/2019 | 3,264,115 | ||||||
| 1,117,289 | 6.720%, 1/15/2022 | 1,181,274 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 1,260,000 | 7.375%, 6/1/2014 | 1,316,700 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 1,510,000 | 8.875%, 11/1/2017f | 1,634,575 | ||||||
United Air Lines, Inc. | ||||||||
| 2,644,058 | 10.400%, 11/1/2016 | 3,053,887 | ||||||
US Airways Group, Inc. | ||||||||
| 2,200,000 | 6.250%, 4/22/2023 | 2,205,500 | ||||||
| Total Transportation | 37,049,191 | |||||||
| U.S. Government and Agencies (2.4%) | |||||||
U.S. Treasury Notes | ||||||||
| 4,000,000 | 2.500%, 3/31/2015 | 4,140,320 | ||||||
| 3,150,000 | 1.250%, 10/31/2015 | 3,048,608 | ||||||
| 3,100,000 | 3.000%, 2/28/2017 | 3,196,875 | ||||||
| 4,400,000 | 2.750%, 5/31/2017 | 4,456,030 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 3,236,214 | 1.625%, 1/15/2018 | 3,463,001 | ||||||
| 7,272,388 | 1.875%, 7/15/2019 | 7,907,020 | ||||||
| 5,865,888 | 1.375%, 1/15/2020 | 6,095,942 | ||||||
Total U.S. Government and Agencies | 32,307,796 | |||||||
| Utilities (5.9%) | |||||||
Abu Dhabi National Energy Company | ||||||||
| 1,600,000 | 6.250%, 9/16/2019e | 1,658,082 | ||||||
AES Corporation | ||||||||
| 1,565,000 | 7.750%, 10/15/2015 | 1,670,637 | ||||||
Ameren Illinois Power Company | ||||||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,563,104 | ||||||
Cleveland Electric Illuminating Company | ||||||||
| 1,775,000 | 5.700%, 4/1/2017 | 1,899,268 | ||||||
CMS Energy Corporation | ||||||||
| 2,510,000 | 4.250%, 9/30/2015 | 2,485,357 | ||||||
Columbus Southern Power Company | ||||||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,733,473 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
279
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Utilities (5.9%) - continued | |||||||
Commonwealth Edison Company | ||||||||
| $ 3,500,000 | 7.500%, 7/1/2013 | $ | 3,988,498 | |||||
| 1,500,000 | 6.150%, 9/15/2017 | 1,711,003 | ||||||
Consolidated Natural Gas Company | ||||||||
| 1,550,000 | 5.000%, 12/1/2014 | 1,685,405 | ||||||
DTE Energy Company | ||||||||
| 2,500,000 | 6.375%, 4/15/2033 | 2,598,095 | ||||||
Exelon Generation Company, LLC | ||||||||
| 1,050,000 | 5.200%, 10/1/2019 | 1,098,454 | ||||||
| 2,500,000 | 4.000%, 10/1/2020 | 2,339,595 | ||||||
Florida Power Corporation | ||||||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,325,564 | ||||||
Inergy, LP | ||||||||
| 1,100,000 | 7.000%, 10/1/2018e | 1,108,250 | ||||||
ITC Holdings Corporation | ||||||||
| 3,000,000 | 5.875%, 9/30/2016e | 3,353,814 | ||||||
| 4,000,000 | 6.050%, 1/31/2018e | 4,396,356 | ||||||
Nevada Power Company | ||||||||
| 2,800,000 | 6.750%, 7/1/2037 | 3,178,034 | ||||||
NiSource Finance Corporation | ||||||||
| 2,800,000 | 6.400%, 3/15/2018 | 3,103,951 | ||||||
| 3,200,000 | 5.450%, 9/15/2020 | 3,297,613 | ||||||
NRG Energy, Inc. | ||||||||
| 2,250,000 | 7.375%, 2/1/2016 | 2,306,250 | ||||||
Ohio Edison Company | ||||||||
| 1,550,000 | 6.875%, 7/15/2036 | 1,693,542 | ||||||
Ohio Power Company | ||||||||
| 2,200,000 | 5.375%, 10/1/2021 | 2,342,472 | ||||||
Pennsylvania Electric Company | ||||||||
| 3,700,000 | 5.200%, 4/1/2020 | 3,822,230 | ||||||
Petrobras International Finance Company | ||||||||
| 2,050,000 | 5.750%, 1/20/2020 | 2,127,014 | ||||||
Power Receivables Finance, LLC | ||||||||
| 958,024 | 6.290%, 1/1/2012b | 958,551 | ||||||
Progress Energy, Inc. | ||||||||
| 1,075,000 | 7.000%, 10/30/2031 | 1,251,070 | ||||||
PSEG Power, LLC | ||||||||
| 4,800,000 | 5.000%, 4/1/2014 | 5,150,645 | ||||||
Southern Star Central Corporation | ||||||||
| 1,600,000 | 6.750%, 3/1/2016 | 1,616,000 | ||||||
Southwestern Public Service Company | ||||||||
| 2,770,000 | 6.000%, 10/1/2036 | 2,715,985 | ||||||
Union Electric Company | ||||||||
| 2,900,000 | 6.400%, 6/15/2017 | 3,282,551 | ||||||
Williams Partners, LP | ||||||||
| 2,500,000 | 5.250%, 3/15/2020 | 2,591,500 | ||||||
Total Utilities | 78,052,363 | |||||||
Total Long-Term Fixed Income (cost $1,213,479,780) | 1,252,664,958 | |||||||
| Shares | Mutual Funds (1.4%) | |||||||
| Fixed Income Mutual Funds (1.4%) | ||||||||
| 3,779,609 | Thrivent High Yield Fund | 18,293,310 | ||||||
Total Fixed Income Mutual Funds | 18,293,310 | |||||||
Total Mutual Funds (cost $13,300,000) | 18,293,310 | |||||||
Preferred Stock (0.6%) | ||||||||
| Financials (0.6%) | ||||||||
| 167 | Ally Financial, Inc., 7.000%e,g | 157,831 | ||||||
| 52,000 | Citigroup Capital XII, 8.500% | 1,375,920 | ||||||
| 30,240 | Citigroup, Inc., 7.875%i | 813,758 | ||||||
| 22,000 | Citigroup, Inc., Convertible, 7.500% | 3,007,180 | ||||||
| 359,990 | Federal National Mortgage Association, 8.250%g,i | 201,594 | ||||||
| 81,250 | HSBC Holdings plc, 8.000%g | 2,165,313 | ||||||
| Total Financials | 7,721,596 | |||||||
Total Preferred Stock (cost $13,307,986) | 7,721,596 | |||||||
Common Stock (0.1%) | ||||||||
| Financials (0.1%) | |||||||
| 17,331 | CIT Group, Inc.i | 816,290 | ||||||
| Total Financials | 816,290 | |||||||
Total Common Stock (cost $554,987) | 816,290 | |||||||
| Contracts | Options Purchased (<0.1%) | |||||||
Call on 10-Yr. U.S. Treasury Bond Futures | ||||||||
| 300 | $122.50, expires 2/19/2011 | 187,500 | ||||||
Total Options Purchased (cost $319,650) | 187,500 | |||||||
Collateral Held for Securities Loaned (1.0%) | ||||||||
| 13,325,870 | Thrivent Financial Securities Lending Trust | 13,325,870 | ||||||
Total Collateral Held for Securities Loaned (cost $13,325,870) | 13,325,870 | |||||||
| Principal Amount | Short-Term Investments (3.8%)j | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 7,235,000 | 0.080%, 2/10/2011k | 7,234,357 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 25,000,000 | 0.090%, 1/10/2011k | 24,999,437 | ||||||
| 2,340,000 | 0.192%, 3/14/2011k,l | 2,339,114 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 8,250,000 | 0.090%, 2/1/2011k | 8,249,361 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
280
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Short-Term Investments (3.8%)j | Value | ||||||
| Thunder Bay Funding, Inc. | ||||||||
| 7,500,000 | 0.140%, 1/3/2011k | $ | 7,499,942 | |||||
| Total Short-Term Investments (at amortized cost) | 50,322,211 | |||||||
| Total Investments (cost $1,319,678,353) 102.8% | $ | 1,358,657,427 | ||||||
| Other Assets and Liabilities, Net (2.8%) | (36,445,471 | ) | ||||||
| Total Net Assets 100.0% | $ | 1,322,211,956 | ||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | 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, 2010. |
Security | Acquisition Date | Amortized Cost | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 3,000,000 | |||||
Capitalsource Commercial Loan Trust | 4/5/2007 | 857,898 | ||||||
Commercial Mortgage Pass- Through Certificates | 5/2/2007 | 2,000,000 | ||||||
Commercial Mortgage Pass- Through Certificates | 10/18/2006 | 4,750,000 | ||||||
Power Receivables Finance, LLC | 9/30/2003 | 957,742 | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 5,469,314 | ||||||
Wachovia Bank Commercial Mortgage Trust | 5/2/2007 | 7,500,452 | ||||||
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| d | All or a portion of the security is insured or guaranteed. |
| e | 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, 2010, the value of these investments was $251,053,320 or 19.0% of total net assets. |
| f | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| h | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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. |
| k | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| 1 | At December 31, 2010, $1,799,318 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. | ||
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 | $ | 74,485,472 | ||
Gross unrealized depreciation | (35,681,514 | ) | ||
Net unrealized appreciation (depreciation) | $ | 38,803,958 | ||
Cost for federal income tax purposes | $ | 1,319,853,469 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
281
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 1,623,910 | — | 1,623,910 | — | ||||||||||||
Capital Goods | 958,522 | — | 958,522 | — | ||||||||||||
Communications Services | 5,969,855 | — | 5,969,855 | — | ||||||||||||
Consumer Cyclical | 1,251,196 | — | 1,251,196 | — | ||||||||||||
Consumer Non-Cyclical | 2,929,988 | — | 2,929,988 | — | ||||||||||||
Financials | 354,949 | — | 354,949 | — | ||||||||||||
Technology | 1,286,214 | — | 1,286,214 | — | ||||||||||||
Utilities | 951,058 | — | 951,058 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 19,361,514 | — | 19,361,514 | — | ||||||||||||
Basic Materials | 82,429,483 | — | 82,429,483 | — | ||||||||||||
Capital Goods | 32,310,315 | — | 32,310,315 | — | ||||||||||||
Collateralized Mortgage Obligations | 23,273,012 | — | 23,273,012 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 69,408,766 | — | 69,408,766 | — | ||||||||||||
Communications Services | 134,892,507 | — | 134,892,507 | — | ||||||||||||
Consumer Cyclical | 76,144,007 | — | 76,144,007 | — | ||||||||||||
Consumer Non-Cyclical | 74,959,611 | — | 74,959,611 | — | ||||||||||||
Energy | 117,784,042 | — | 117,784,042 | — | ||||||||||||
Financials | 417,951,596 | — | 415,080,206 | 2,871,390 | ||||||||||||
Foreign Government | 7,186,563 | — | 7,186,563 | — | ||||||||||||
Mortgage-Backed Securities | 37,491,786 | — | 37,491,786 | — | ||||||||||||
Technology | 12,062,406 | — | 12,062,406 | — | ||||||||||||
Transportation | 37,049,191 | — | 24,646,445 | 12,402,746 | ||||||||||||
U.S. Government and Agencies | 32,307,796 | — | 32,307,796 | — | ||||||||||||
Utilities | 78,052,363 | — | 78,052,363 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 18,293,310 | 18,293,310 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 7,721,596 | 7,563,765 | 157,831 | — | ||||||||||||
Common Stock | ||||||||||||||||
Financials | 816,290 | 816,290 | — | — | ||||||||||||
Options Purchased | 187,500 | 187,500 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 13,325,870 | 13,325,870 | — | — | ||||||||||||
Short-Term Investments | 50,322,211 | — | 50,322,211 | — | ||||||||||||
Total | $ | 1,358,657,427 | $ | 40,186,735 | $ | 1,303,196,556 | $ | 15,274,136 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 6,253,900 | 6,253,900 | — | — | ||||||||||||
Total Asset Derivatives | $ | 6,253,900 | $ | 6,253,900 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 2,174,280 | 2,174,280 | — | — | ||||||||||||
Credit Default Swaps | 139,943 | — | 139,943 | — | ||||||||||||
Total Liability Derivatives | $ | 2,314,223 | $ | 2,174,280 | $ | 139,943 | $ | — | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
282
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 12,067,475 | (99,531 | ) | 182,525 | — | (12,150,469 | ) | — | — | — | ||||||||||||||||||||||
Commercial Mortgage- Backed Securities | 10,300,000 | 565,625 | (300,000 | ) | — | (10,565,625 | ) | — | — | — | ||||||||||||||||||||||
Financials | 2,507,069 | — | 466,272 | — | (101,951 | ) | — | — | 2,871,390 | |||||||||||||||||||||||
Transportation | 14,309,188 | 147,354 | 901,290 | 2,004,500 | (4,959,586 | ) | — | — | 12,402,746 | |||||||||||||||||||||||
Total | $ | 39,183,732 | $ | 613,448 | $ | 1,250,087 | $ | 2,004,500 | ($ | 27,777,631 | ) | $ | — | $ | — | $ | 15,274,136 | |||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $1,406,454. |
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 2011 | $ | 68,981,040 | $ | 68,955,468 | ($25,572 | ) | ||||||||||||
5-Yr. U.S. Treasury Bond Futures | (595 | ) | March 2011 | (71,119,279 | ) | (70,042,656 | ) | 1,076,623 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (1,610 | ) | March 2011 | (199,081,652 | ) | (193,904,375 | ) | 5,177,277 | ||||||||||||
20-Yr. U.S. Treasury Bond Futures | 600 | March 2011 | 75,423,708 | 73,275,000 | (2,148,708 | ) | ||||||||||||||
Total Futures Contracts | $ | 4,079,620 | ||||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||||
CDS Fortune Brand, Inc., 5 Year, at 1.00%; | Buy | 12/20/2015 | $ | 3,150,000 | ($ | 107,469 | ) | $ | 72,538 | ($ | 34,931 | ) | ||||||||||||
CDX IG, Series 15, 5 Year, at 1.00%; | Buy | 12/20/2015 | 15,700,000 | 5,537 | (110,549 | ) | (105,012 | ) | ||||||||||||||||
Total Credit Default Swaps | ($ | 38,011 | ) | ($ | 139,943 | ) | ||||||||||||||||||
| 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 accompanying Notes to Financial Statements are an integral part of this schedule.
283
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | $ | 6,253,900 | |||
Options Purchased | Investments in securities at market value, Net Assets - Net unrealized appreciation/(depreciation) on Investments | 187,500 | ||||
Total Interest Rate Contracts | 6,441,400 | |||||
Total Asset Derivatives | $ | 6,441,400 | ||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,174,280 | ||||
Total Interest Rate Contracts | 2,174,280 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 139,943 | ||||
Total Credit Contracts | 139,943 | |||||
Total Liability Derivatives | $ | 2,314,223 | ||||
| * | 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, 2010, 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 | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 14,833 | ||||
Total Equity Contracts | 14,833 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 549 | ||||
Total Foreign Exchange Contracts | 549 | |||||
Interest Rate Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | (511,650 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (8,982,504 | ) | |||
Total Interest Rate Contracts | (9,494,154 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,061,794 | ) | |||
Total Credit Contracts | (1,061,794 | ) | ||||
Total | ($ | 10,540,566 | ) | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
284
Table of Contents
Income Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | 2,758,892 | ||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | (132,150 | ) | |||
Total Interest Rate Contracts | 2,626,742 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (470,282 | ) | |||
Total Credit Contracts | (470,282 | ) | ||||
Total | $ | 2,156,460 | ||||
The following table presents Income Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||||||||
Equity Contracts | $ | 380,941 | <0.1 | % | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
Interest Rate Contracts | 400,648,154 | 31.3 | N/A | N/A | N/A | N/A | 188 | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 924 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 18,433,523 | 1.4 | % | 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 Income Portfolio, is as follows:
Portfolio | Value December 31, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
High Yield Fund | $ | 17,310,611 | $ | — | $ | — | 3,779,609 | $ | 18,293,310 | $ | 1,446,685 | |||||||||||||
Thrivent Financial Securities Lending Trust | 7,956,950 | 259,171,827 | 253,802,907 | 13,325,870 | 13,325,870 | 25,809 | ||||||||||||||||||
Total Value and Income Earned | 25,267,561 | 31,619,180 | 1,472,494 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
285
Table of Contents
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (108.4%) | Value | ||||||
| Asset-Backed Securities (3.6%) | |||||||
| Countrywide Asset-Backed Certificates | ||||||||
| $ | 629,705 | 5.549%, 8/25/2021a | $ | 503,899 | ||||
| Countrywide Home Loans, Inc. | ||||||||
| 530,192 | 6.085%, 6/25/2021a | 218,542 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 423,742 | 5.501%, 12/25/2036 | 298,665 | ||||||
| First Horizon ABS Trust | ||||||||
| 1,392,770 | 0.391%, 10/25/2026a,b | 1,037,395 | ||||||
| 1,207,510 | 0.421%, 10/25/2034a,b | 622,203 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,443,379 | 0.441%, 8/25/2035a,b | 834,878 | ||||||
| 1,748,031 | 0.441%, 12/25/2036a,b | 1,122,834 | ||||||
| Green Tree Financial Corporation | ||||||||
| 24,890 | 6.330%, 11/1/2029 | 25,229 | ||||||
| IndyMac Seconds Asset-Backed Trust | ||||||||
| 572,494 | 0.431%, 10/25/2036a,b | 140,028 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 1,461,237 | 0.401%, 7/25/2037a,b,c | 1,095,928 | ||||||
| Total Asset-Backed Securities | 5,899,601 | |||||||
| Basic Materials (0.9%) |
| ||||||
| Corporacion Nacional del Cobre de Chile - Codelco | ||||||||
| 300,000 | 6.375%, 11/30/2012d | 326,038 | ||||||
| Dow Chemical Company | ||||||||
| 27,000 | 7.375%, 11/1/2029 | 32,457 | ||||||
| Rio Tinto Alcan, Inc. | ||||||||
| 500,000 | 5.200%, 1/15/2014 | 537,252 | ||||||
| Vale Overseas, Ltd. | ||||||||
| 500,000 | 4.625%, 9/15/2020 | 495,042 | ||||||
| Total Basic Materials | 1,390,789 | |||||||
| Capital Goods (1.2%) | ||||||||
| General Electric Company | ||||||||
| 600,000 | 5.000%, 2/1/2013 | 641,384 | ||||||
| John Deere Capital Corporation | ||||||||
| 350,000 | 7.000%, 3/15/2012 | 375,673 | ||||||
| Republic Services, Inc. | ||||||||
| 500,000 | 5.250%, 11/15/2021 | 526,941 | ||||||
| United Technologies Corporation | ||||||||
| 275,000 | 6.050%, 6/1/2036 | 310,504 | ||||||
| Total Capital Goods | 1,854,502 | |||||||
| Collateralized Mortgage Obligations (1.3%) | ||||||||
| Bear Stearns Mortgage Funding Trust | ||||||||
| 284,837 | 0.541%, 8/25/2036b | 57,535 | ||||||
| Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 1,128,609 | 2.752%, 6/25/2035 | 994,287 | ||||||
| Thornburg Mortgage Securities Trust | ||||||||
| 953,155 | 0.371%, 11/25/2046b | 940,012 | ||||||
| Total Collateralized Mortgage Obligations | 1,991,834 | |||||||
| Commercial Mortgage-Backed Securities (8.5%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 645,000 | 5.658%, 6/10/2049 | 661,994 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,500,000 | 0.410%, 3/15/2022b,c | 2,370,350 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,500,000 | 0.390%, 12/15/2020b,c | 2,253,423 | ||||||
| 500,000 | 5.306%, 12/10/2046 | 521,493 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 2,483,927 | 0.430%, 10/15/2021b,d | 2,377,653 | ||||||
| 235,000 | 5.467%, 9/15/2039 | 246,464 | ||||||
| General Electric Commercial Mortgage Corporation | ||||||||
| 787,713 | 4.641%, 3/10/2040 | 811,559 | ||||||
| GS Mortgage Securities Corporation II | ||||||||
| 2,000,000 | 1.390%, 3/6/2020b,d | 1,926,418 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,300,000 | 5.336%, 5/15/2047 | 1,349,175 | ||||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 900,000 | 4.786%, 10/15/2029 | 943,350 | ||||||
| 338,867 | 4.553%, 7/15/2030 | 339,473 | ||||||
| Total Commercial Mortgage- Backed Securities | 13,801,352 | |||||||
| Communications Services (2.0%) | ||||||||
| America Movil SAB de CV | ||||||||
| 350,000 | 5.000%, 3/30/2020 | 363,807 | ||||||
| AT&T, Inc. | ||||||||
| 300,000 | 6.400%, 5/15/2038 | 318,901 | ||||||
| BellSouth Corporation | ||||||||
| 27,000 | 6.875%, 10/15/2031 | 29,272 | ||||||
| CBS Corporation | ||||||||
| 350,000 | 7.875%, 9/1/2023 | 404,517 | ||||||
| Cox Communications, Inc. | ||||||||
| 135,000 | 6.450%, 12/1/2036d | 143,850 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 500,000 | 4.174%, 8/15/2017d | 485,358 | ||||||
| News America, Inc. | ||||||||
| 275,000 | 6.400%, 12/15/2035 | 295,461 | ||||||
| Telecom Italia Capital SA | ||||||||
| 800,000 | 5.250%, 10/1/2015 | 819,086 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 300,000 | 7.300%, 7/1/2038 | 350,794 | ||||||
| Verizon Global Funding Corporation | ||||||||
| 27,000 | 7.750%, 12/1/2030 | 33,495 | ||||||
| Total Communications Services | 3,244,541 | |||||||
| Consumer Cyclical (1.1%) | ||||||||
| AOL Time Warner, Inc. | ||||||||
| 27,000 | 7.625%, 4/15/2031 | 32,823 | ||||||
| Daimler Finance NA, LLC | ||||||||
| 27,000 | 8.500%, 1/18/2031 | 36,078 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
286
Table of Contents
Bond Index Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (108.4%) | Value | ||||||
| Consumer Cyclical (1.1%) - continued | ||||||||
Target Corporation | ||||||||
| $ 27,000 | 7.000%, 7/15/2031 | $ | 32,279 | |||||
Toyota Motor Credit Corporation | ||||||||
| 325,000 | 4.500%, 6/17/2020 | 339,676 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 527,000 | 7.550%, 2/15/2030 | 679,600 | ||||||
Walt Disney Company | ||||||||
| 500,000 | 5.625%, 9/15/2016 | 575,911 | ||||||
Total Consumer Cyclical | 1,696,367 | |||||||
| Consumer Non-Cyclical (1.7%) | ||||||||
AmerisourceBergen Corporation | ||||||||
| 500,000 | 4.875%, 11/15/2019 | 509,884 | ||||||
Boston Scientific Corporation | ||||||||
| 275,000 | 7.000%, 11/15/2035 | 275,611 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
| 300,000 | 6.375%, 5/15/2038 | 354,572 | ||||||
Kellogg Company | ||||||||
| 600,000 | 4.250%, 3/6/2013 | 636,838 | ||||||
| 27,000 | 7.450%, 4/1/2031 | 33,837 | ||||||
Kraft Foods, Inc. | ||||||||
| 27,000 | 6.500%, 11/1/2031 | 30,034 | ||||||
Philip Morris International, Inc. | ||||||||
| 300,000 | 6.375%, 5/16/2038 | 348,206 | ||||||
Wyeth | ||||||||
| 550,000 | 6.000%, 2/15/2036 | 611,263 | ||||||
Total Consumer Non-Cyclical | 2,800,245 | |||||||
| Energy (0.9%) | ||||||||
Anadarko Finance Company | ||||||||
| 27,000 | 7.500%, 5/1/2031 | 29,855 | ||||||
Conoco, Inc. | ||||||||
| 27,000 | 6.950%, 4/15/2029 | 33,183 | ||||||
Devon Financing Corporation, ULC | ||||||||
| 27,000 | 7.875%, 9/30/2031 | 35,598 | ||||||
Energy Transfer Partners, LP | ||||||||
| 450,000 | 6.700%, 7/1/2018 | 510,511 | ||||||
Petro-Canada | ||||||||
| 300,000 | 6.800%, 5/15/2038 | 341,732 | ||||||
Valero Energy Corporation | ||||||||
| 500,000 | 4.750%, 6/15/2013 | 532,863 | ||||||
Total Energy | 1,483,742 | |||||||
| Financials (8.9%) | ||||||||
African Development Bank | ||||||||
| 250,000 | 6.875%, 10/15/2015 | 294,868 | ||||||
AIG SunAmerica Global Financing VI | ||||||||
| 500,000 | 6.300%, 5/10/2011d | 507,500 | ||||||
AXA SA | ||||||||
| 27,000 | 8.600%, 12/15/2030 | 30,254 | ||||||
BAC Capital Trust XI | ||||||||
| 275,000 | 6.625%, 5/23/2036 | 261,343 | ||||||
Bank of America Corporation | ||||||||
| 500,000 | 6.500%, 8/1/2016 | 542,547 | ||||||
Barclays Bank plc | ||||||||
| 500,000 | 2.500%, 1/23/2013 | 508,118 | ||||||
| 300,000 | 5.000%, 9/22/2016 | 317,460 | ||||||
BNP Paribas SA | ||||||||
| 1,100,000 | 5.186%, 6/29/2049d,e | 1,001,000 | ||||||
Chubb Corporation | ||||||||
| 600,000 | 6.500%, 5/15/2038 | 684,313 | ||||||
Citigroup, Inc. | ||||||||
| 500,000 | 2.286%, 8/13/2013b | 508,453 | ||||||
| 250,000 | 4.700%, 5/29/2015 | 259,208 | ||||||
General Electric Capital Corporation | ||||||||
| 475,000 | 5.875%, 1/14/2038 | 493,073 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 950,000 | 6.600%, 1/15/2012 | 1,004,590 | ||||||
Health Care REIT, Inc. | ||||||||
| 450,000 | 6.125%, 4/15/2020 | 473,699 | ||||||
HSBC Finance Corporation | ||||||||
| 650,000 | 6.375%, 11/27/2012 | 704,707 | ||||||
| 559,000 | 6.676%, 1/15/2021d | 564,747 | ||||||
HSBC Holdings plc | ||||||||
| 300,000 | 6.800%, 6/1/2038 | 324,395 | ||||||
International Lease Finance Corporation | ||||||||
| 850,000 | 5.875%, 5/1/2013 | 859,562 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 500,000 | 2.600%, 1/15/2016 | 485,136 | ||||||
Lloyds TSB Bank plc | ||||||||
| 350,000 | 5.800%, 1/13/2020d | 345,578 | ||||||
Marsh & McLennan Companies, Inc. | ||||||||
| 185,000 | 5.750%, 9/15/2015 | 199,122 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 475,000 | 5.000%, 2/3/2014 | 491,582 | ||||||
MetLife, Inc. | ||||||||
| 200,000 | 5.000%, 6/15/2015 | 216,601 | ||||||
Morgan Stanley Dean Witter & Company | ||||||||
| 850,000 | 6.750%, 4/15/2011 | 864,181 | ||||||
Northern Trust Corporation | ||||||||
| 500,000 | 3.450%, 11/4/2020 | 478,600 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 1,171,996 | 0.502%, 12/22/2036b,c | 615,298 | ||||||
ProLogis | ||||||||
| 200,000 | 6.875%, 3/15/2020 | 212,345 | ||||||
Prudential Financial, Inc. | ||||||||
| 275,000 | 5.700%, 12/14/2036 | 272,780 | ||||||
Rabobank Nederland NV | ||||||||
| 350,000 | 4.750%, 1/15/2020d | 362,392 | ||||||
Wachovia Bank NA | ||||||||
| 500,000 | 4.875%, 2/1/2015 | 530,228 | ||||||
Washington Mutual Bank FA | ||||||||
| 500,000 | 5.500%, 1/15/2013f | 625 | ||||||
Total Financials | 14,414,305 | |||||||
| Foreign Government (2.2%) | ||||||||
Chile Government International Bond | ||||||||
| 350,000 | 3.875%, 8/5/2020g | 344,071 | ||||||
Finland Government International Bond | ||||||||
| 500,000 | 1.250%, 10/19/2015d | 481,817 | ||||||
Hydro-Quebec | ||||||||
| 27,000 | 8.400%, 1/15/2022 | 37,208 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
287
Table of Contents
Bond Index Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (108.4%) | Value | ||||||
| Foreign Government (2.2%) - continued | |||||||
Italy Government International Bond | ||||||||
| $ | 600,000 | 6.000%, 2/22/2011 | $ | 600,482 | ||||
| 200,000 | 4.375%, 6/15/2013 | 208,087 | ||||||
| 700,000 | 5.375%, 6/12/2017 | 718,141 | ||||||
Nova Scotia Government Notes | ||||||||
| 250,000 | 7.250%, 7/27/2013 | 287,039 | ||||||
Quebec Government Notes | ||||||||
| 400,000 | 4.875%, 5/5/2014 | 442,693 | ||||||
| 400,000 | 7.500%, 7/15/2023 | 526,043 | ||||||
Total Foreign Government | 3,645,581 | |||||||
| Mortgage-Backed Securities (32.3%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 1,935 | 6.500%, 10/1/2012 | 2,110 | ||||||
| 1,564 | 6.500%, 1/1/2013 | 1,705 | ||||||
| 1,490 | 6.000%, 9/1/2013 | 1,620 | ||||||
| 2,186 | 5.500%, 3/1/2014 | 2,344 | ||||||
| 10,285 | 6.000%, 4/1/2014 | 11,187 | ||||||
| 4,008 | 7.000%, 10/1/2014 | 4,344 | ||||||
| 6,931 | 6.500%, 3/1/2016 | 7,556 | ||||||
| 15,426 | 6.000%, 6/1/2016 | 16,807 | ||||||
| 16,338 | 6.000%, 9/1/2016 | 17,800 | ||||||
| 189,110 | 7.000%, 6/1/2017 | 206,921 | ||||||
| 260,883 | 5.500%, 12/1/2017 | 280,082 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 4,485 | 6.500%, 4/1/2024 | 5,023 | ||||||
| 5,253 | 7.000%, 5/1/2024 | 5,949 | ||||||
| 1,248 | 7.500%, 8/1/2025 | 1,426 | ||||||
| 14,602 | 8.500%, 11/1/2025 | 17,285 | ||||||
| 1,805 | 8.000%, 1/1/2026 | 2,109 | ||||||
| 2,065 | 7.000%, 4/1/2027 | 2,347 | ||||||
| 2,918 | 7.500%, 7/1/2027 | 3,336 | ||||||
| 4,594 | 7.000%, 8/1/2027 | 5,221 | ||||||
| 2,821 | 7.500%, 10/1/2027 | 3,228 | ||||||
| 3,499 | 7.000%, 5/1/2028 | 3,980 | ||||||
| 18,984 | 6.000%, 8/1/2028 | 20,863 | ||||||
| 7,227 | 6.500%, 2/1/2029 | 8,126 | ||||||
| 16,818 | 6.000%, 3/1/2029 | 18,483 | ||||||
| 10,254 | 7.000%, 7/1/2029 | 11,671 | ||||||
| 11,207 | 7.500%, 10/1/2029 | 12,848 | ||||||
| 4,756 | 7.500%, 11/1/2029 | 5,453 | ||||||
| 5,992 | 6.500%, 5/1/2031 | 6,738 | ||||||
| 35,162 | 6.000%, 6/1/2031 | 38,643 | ||||||
| 8,242 | 7.000%, 6/1/2031 | 9,392 | ||||||
| 9,199 | 7.000%, 6/1/2031 | 10,483 | ||||||
| 23,638 | 6.000%, 7/1/2031 | 25,978 | ||||||
| 9,130 | 7.000%, 9/1/2031 | 10,404 | ||||||
| 27,260 | 6.500%, 10/1/2031 | 30,652 | ||||||
| 150,736 | 6.000%, 1/1/2032 | 165,658 | ||||||
| 30,202 | 6.000%, 1/1/2032 | 33,192 | ||||||
| 15,536 | 7.000%, 5/1/2032 | 17,712 | ||||||
| 176,285 | 6.500%, 7/1/2032 | 198,217 | ||||||
| 142,694 | 6.500%, 10/1/2032 | 160,447 | ||||||
| 230,160 | 6.000%, 11/1/2032 | 252,943 | ||||||
| 7,000,000 | 5.000%, 1/1/2041h | 7,341,250 | ||||||
| 7,250,000 | 6.000%, 1/1/2041h | 7,852,656 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 136 | 6.000%, 4/1/2011 | 148 | ||||||
| 84 | 7.500%, 7/1/2011 | 86 | ||||||
| 759 | 8.000%, 7/1/2012 | 804 | ||||||
| 1,320 | 6.500%, 12/1/2012 | 1,439 | ||||||
| 3,211 | 6.500%, 6/1/2013 | 3,500 | ||||||
| 7,432 | 6.000%, 12/1/2013 | 8,076 | ||||||
| 11,650,000 | 3.500%, 1/1/2026h | 11,730,094 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 4,757 | 10.500%, 8/1/2020 | 5,457 | ||||||
| 3,965 | 8.000%, 12/1/2024 | 4,581 | ||||||
| 4,497 | 7.000%, 10/1/2025 | 5,098 | ||||||
| 19,841 | 6.500%, 11/1/2025 | 22,224 | ||||||
| 786 | 8.500%, 12/1/2025 | 912 | ||||||
| 3,945 | 7.500%, 1/1/2026 | 4,507 | ||||||
| 5,394 | 6.500%, 5/1/2026 | 6,049 | ||||||
| 3,067 | 8.000%, 9/1/2026 | 3,546 | ||||||
| 4,968 | 7.500%, 2/1/2027 | 5,683 | ||||||
| 3,568 | 7.000%, 3/1/2027 | 4,050 | ||||||
| 5,927 | 6.500%, 8/1/2027 | 6,645 | ||||||
| 4,556 | 9.000%, 11/1/2027 | 5,309 | ||||||
| 1,996 | 7.000%, 1/1/2028 | 2,268 | ||||||
| 47,066 | 7.500%, 2/1/2028 | 53,888 | ||||||
| 4,805 | 6.000%, 5/1/2028 | 5,293 | ||||||
| 2,807 | 6.500%, 9/1/2028 | 3,157 | ||||||
| 10,669 | 7.000%, 10/1/2028 | 12,131 | ||||||
| 29,607 | 7.500%, 11/1/2028 | 33,864 | ||||||
| 8,450 | 6.500%, 2/1/2029 | 9,501 | ||||||
| 27,881 | 6.000%, 3/1/2029 | 30,714 | ||||||
| 14,721 | 7.000%, 3/1/2029 | 16,751 | ||||||
| 32,821 | 6.500%, 4/1/2029 | 36,904 | ||||||
| 3,365 | 6.500%, 8/1/2029 | 3,784 | ||||||
| 9,309 | 7.500%, 8/1/2029 | 10,676 | ||||||
| 7,440 | 7.000%, 10/1/2029 | 8,465 | ||||||
| 9,668 | 7.500%, 12/1/2029 | 11,087 | ||||||
| 5,059 | 8.000%, 4/1/2030 | 5,851 | ||||||
| 2,427 | 7.500%, 12/1/2030 | 2,785 | ||||||
| 59,543 | 6.000%, 5/1/2031 | 65,593 | ||||||
| 126,391 | 6.500%, 4/1/2032 | 142,116 | ||||||
| 94,874 | 6.500%, 5/1/2032 | 106,678 | ||||||
| 67,741 | 7.000%, 5/1/2032 | 77,208 | ||||||
| 411,369 | 6.500%, 7/1/2032 | 462,550 | ||||||
| 175,077 | 6.500%, 8/1/2032 | 196,859 | ||||||
| 10,650,000 | 4.500%, 1/1/2041h | 10,931,224 | ||||||
| 10,000,000 | 5.500%, 1/1/2041h | 10,698,440 | ||||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 8,829 | 7.000%, 9/15/2013 | 9,416 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 5,067 | 7.500%, 3/15/2023 | 5,842 | ||||||
| 1,972 | 7.000%, 1/15/2024 | 2,253 | ||||||
| 2,505 | 9.000%, 9/15/2024 | 2,973 | ||||||
| 6,141 | 8.000%, 6/15/2025 | 7,252 | ||||||
| 1,858 | 8.000%, 9/15/2026 | 2,191 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
288
Table of Contents
Bond Index Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (108.4%) | Value | ||||||
| Mortgage-Backed Securities (32.3%) - continued | |||||||
| $ | 7,954 | 7.500%, 10/15/2027 | $ | 9,180 | ||||
| 6,949 | 7.000%, 11/15/2027 | 7,957 | ||||||
| 3,639 | 7.000%, 1/15/2028 | 4,169 | ||||||
| 8,321 | 6.500%, 7/15/2028 | 9,448 | ||||||
| 6,703 | 7.000%, 8/15/2028 | 7,680 | ||||||
| 48,549 | 7.500%, 11/15/2028 | 56,082 | ||||||
| 9,238 | 6.500%, 12/15/2028 | 10,488 | ||||||
| 31,626 | 6.500%, 3/15/2029 | 35,906 | ||||||
| 3,040 | 6.500%, 4/15/2029 | 3,451 | ||||||
| 6,712 | 8.000%, 10/15/2030 | 7,949 | ||||||
| 11,248 | 7.500%, 1/15/2031 | 13,037 | ||||||
| 4,755 | 7.000%, 4/15/2031 | 5,455 | ||||||
| 19,459 | 6.500%, 6/15/2031 | 22,093 | ||||||
| 18,453 | 7.000%, 9/15/2031 | 21,169 | ||||||
| 202,631 | 6.500%, 1/15/2032 | 230,053 | ||||||
| 28,508 | 6.500%, 4/15/2032 | 32,366 | ||||||
Total Mortgage-Backed Securities | 52,086,594 | |||||||
| Technology (0.3%) | |||||||
International Business Machines Corporation | ||||||||
| 500,000 | 1.000%, 8/5/2013 | 498,175 | ||||||
Total Technology | 498,175 | |||||||
| Transportation (0.6%) | |||||||
Delta Air Lines, Inc. | ||||||||
| 300,000 | 4.950%, 11/23/2019 | 301,500 | ||||||
Union Pacific Corporation | ||||||||
| 500,000 | 7.000%, 2/1/2016 | 588,849 | ||||||
Total Transportation | 890,349 | |||||||
| U.S. Government and Agencies (41.1%) | |||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 1,000,000 | 2.125%, 9/15/2015 | 1,004,315 | ||||||
Federal Home Loan Banks | ||||||||
| 1,000,000 | 3.625%, 5/29/2013 | 1,065,741 | ||||||
| 850,000 | 4.500%, 9/16/2013 | 928,166 | ||||||
| 1,000,000 | 3.625%, 10/18/2013 | 1,067,808 | ||||||
| 3,750,000 | 5.000%, 11/17/2017 | 4,251,547 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 2,500,000 | 0.375%, 11/30/2012 | 2,485,117 | ||||||
| 500,000 | 3.750%, 6/28/2013 | 535,476 | ||||||
| 1,700,000 | 5.125%, 11/17/2017 | 1,935,810 | ||||||
| 350,000 | 6.750%, 3/15/2031 | 448,158 | ||||||
Federal National Mortgage Association | ||||||||
| 500,000 | 5.960%, 9/11/2028 | 578,422 | ||||||
| 100,000 | 6.250%, 5/15/2029 | 122,686 | ||||||
Resolution Funding Corporation | ||||||||
| 200,000 | 8.125%, 10/15/2019 | 271,138 | ||||||
Tennessee Valley Authority | ||||||||
| 250,000 | 6.000%, 3/15/2013 | 277,999 | ||||||
| 350,000 | 5.250%, 9/15/2039 | 370,026 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,500,000 | 5.250%, 11/15/2028 | 2,865,235 | ||||||
| 1,525,000 | 4.625%, 2/15/2040 | 1,597,438 | ||||||
U.S. Treasury Notes | ||||||||
| 500,000 | 4.375%, 8/15/2012 | 531,640 | ||||||
| 4,500,000 | 0.375%, 8/31/2012 | 4,491,913 | ||||||
| 3,000,000 | 1.125%, 6/15/2013 | 3,024,600 | ||||||
| 1,000,000 | 1.000%, 7/15/2013 | 1,004,920 | ||||||
| 2,750,000 | 2.000%, 11/30/2013 | 2,831,210 | ||||||
| 1,500,000 | 2.250%, 5/31/2014 | 1,551,680 | ||||||
| 2,500,000 | 4.250%, 8/15/2014 | 2,757,812 | ||||||
| 3,000,000 | 2.375%, 8/31/2014 | 3,107,814 | ||||||
| 2,500,000 | 1.250%, 8/31/2015 | 2,431,445 | ||||||
| 3,150,000 | 1.250%, 10/31/2015 | 3,048,608 | ||||||
| 4,000,000 | 2.625%, 2/29/2016 | 4,105,312 | ||||||
| 1,500,000 | 2.750%, 11/30/2016 | 1,531,055 | ||||||
| 5,250,000 | 3.000%, 2/28/2017 | 5,414,063 | ||||||
| 1,750,000 | 3.250%, 3/31/2017 | 1,827,656 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 972,422 | ||||||
| 5,000,000 | 3.625%, 8/15/2019 | 5,223,440 | ||||||
| 2,250,000 | 3.500%, 5/15/2020 | 2,304,855 | ||||||
| 500,000 | 3.500%, 2/15/2039 | 430,860 | ||||||
Total U.S. Government and Agencies | 66,396,387 | |||||||
| U.S. Municipals (0.2%) | |||||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| 350,000 | 5.720%, 12/1/2038 | 347,746 | ||||||
Total U.S. Municipals | 347,746 | |||||||
| Utilities (1.6%) | |||||||
CenterPoint Energy Houston Electric, LLC | ||||||||
| 400,000 | 5.600%, 7/1/2023 | 421,978 | ||||||
Commonwealth Edison Company | ||||||||
| 275,000 | 5.900%, 3/15/2036 | 284,114 | ||||||
FirstEnergy Corporation | ||||||||
| 27,000 | 7.375%, 11/15/2031 | 28,462 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 27,000 | 8.000%, 3/1/2032 | 34,179 | ||||||
Oncor Electric Delivery Company | ||||||||
| 475,000 | 6.375%, 1/15/2015 | 538,651 | ||||||
ONEOK Partners, LP | ||||||||
| 275,000 | 6.650%, 10/1/2036 | 298,216 | ||||||
Progress Energy, Inc. | ||||||||
| 400,000 | 7.000%, 10/30/2031 | 465,514 | ||||||
Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 244,866 | ||||||
Xcel Energy, Inc. | ||||||||
| 275,000 | 6.500%, 7/1/2036 | 307,132 | ||||||
Total Utilities | 2,623,112 | |||||||
Total Long-Term Fixed Income (cost $176,316,758) | 175,065,222 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
289
Table of Contents
Bond Index Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Collateral Held for Securities Loaned (0.2%) | Value | ||||||
| 357,000 | Thrivent Financial Securities Lending Trust | $ | 357,000 | |||||
Total Collateral Held for Securities Loaned (cost $357,000) | 357,000 | |||||||
| Principal Amount | Short-Term Investments (20.5%)i | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 29,000,000 | 0.090%, 1/10/2011j | 28,999,347 | ||||||
| 4,000,000 | 0.090%, 2/1/2011j | 3,999,690 | ||||||
Total Short-Term Investments (at amortized cost) | 32,999,037 | |||||||
Total Investments (cost $209,672,795) 129.1% | $ | 208,421,259 | ||||||
Other Assets and Liabilities, Net (29.1%) | (47,034,429 | ) | ||||||
Total Net Assets 100.0% | $ | 161,386,830 | ||||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010. |
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 | 1,171,996 | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,461,237 | ||||||
| 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, 2010, the value of these investments was $8,522,351 or 5.3% of total net assets. |
| e | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| f | Defaulted security. Interest is not being accrued. |
| g | All or a portion of the security is on loan as discussed in item 2(M) of the Notes to Financial Statements. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 4,814,926 | ||
Gross unrealized depreciation | (6,132,667 | ) | ||
Net unrealized appreciation (depreciation) | $ | (1,317,741 | ) | |
Cost for federal income tax purposes | $ | 209,739,000 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
290
Table of Contents
Bond Index Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 5,899,601 | — | 4,803,673 | 1,095,928 | ||||||||||||
Basic Materials | 1,390,789 | — | 1,390,789 | — | ||||||||||||
Capital Goods | 1,854,502 | — | 1,854,502 | — | ||||||||||||
Collateralized Mortgage Obligations | 1,991,834 | — | 1,991,834 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 13,801,352 | — | 13,801,352 | — | ||||||||||||
Communications Services | 3,244,541 | — | 3,244,541 | — | ||||||||||||
Consumer Cyclical | 1,696,367 | — | 1,696,367 | — | ||||||||||||
Consumer Non-Cyclical | 2,800,245 | — | 2,800,245 | — | ||||||||||||
Energy | 1,483,742 | — | 1,483,742 | — | ||||||||||||
Financials | 14,414,305 | — | 13,799,007 | 615,298 | ||||||||||||
Foreign Government | 3,645,581 | — | 3,645,581 | — | ||||||||||||
Mortgage-Backed Securities | 52,086,594 | — | 52,086,594 | — | ||||||||||||
Technology | 498,175 | — | 498,175 | — | ||||||||||||
Transportation | 890,349 | — | 890,349 | — | ||||||||||||
U.S. Government and Agencies | 66,396,387 | — | 66,396,387 | — | ||||||||||||
U.S. Municipals | 347,746 | — | 347,746 | — | ||||||||||||
Utilities | 2,623,112 | — | 2,623,112 | — | ||||||||||||
Collateral Held for Securities Loaned | 357,000 | 357,000 | — | — | ||||||||||||
Short-Term Investments | 32,999,037 | — | 32,999,037 | — | ||||||||||||
Total | $ | 208,421,259 | $ | 357,000 | $ | 206,353,033 | $ | 1,711,226 | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income Asset-Backed Securities | 838,603 | — | 501,467 | — | (244,142 | ) | — | — | 1,095,928 | |||||||||||||||||||||||
Financials | 537,229 | — | 99,916 | — | (21,847 | ) | — | — | 615,298 | |||||||||||||||||||||||
Total | $ | 1,375,832 | $ | — | $601,383 | $ | — | ($265,989) | $— | $ | — | $ | 1,711,226 | |||||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $465,279. |
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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010- December 31, 2010 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 6,634,075 | $ | 14,482,575 | $ | 20,759,650 | 357,000 | $ | 357,000 | $ | 1,181 | |||||||||||||
Total Value and Income Earned | 6,634,075 | 357,000 | 1,181 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
291
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Asset-Backed Securities (13.3%) | ||||||||
Bank of America Auto Trust | ||||||||
| $ | 6,500,000 | 1.390%, 3/15/2014a | $ | 6,536,367 | ||||
Carmax Auto Owner Trust | ||||||||
| 4,100,056 | 4.120%, 3/15/2013 | 4,171,561 | ||||||
Carrington Mortgage Loan Trust | ||||||||
| 1,400,000 | 0.411%, 8/25/2036b | 723,624 | ||||||
Chrysler Financial Auto Securitization | ||||||||
| 5,963,597 | 2.820%, 1/15/2016 | 6,058,627 | ||||||
Chrysler Financial Lease Trust | ||||||||
| 1,721,042 | 1.780%, 6/15/2011a | 1,723,228 | ||||||
CIT Equipment | ||||||||
| 3,610,416 | 3.070%, 8/15/2016a | 3,647,485 | ||||||
Citibank Omni Master Trust | ||||||||
| 6,000,000 | 2.360%, 5/16/2016a,b | 6,074,358 | ||||||
CNH Equipment Trust | ||||||||
| 3,350,000 | 7.210%, 12/16/2013 | 3,603,324 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
| 1,259,410 | 5.549%, 8/25/2021c | 1,007,798 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 3,181,154 | 6.085%, 6/25/2021c | 1,311,249 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 2,033,961 | 5.501%, 12/25/2036 | 1,433,593 | ||||||
Discover Card Master Trust | ||||||||
| 9,500,000 | 0.910%, 9/15/2015b | 9,548,469 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
| 215,069 | 5.500%, 3/25/2036d,e | 0 | ||||||
First Horizon ABS Trust | ||||||||
| 889,969 | 0.391%, 9/25/2029b,c | 666,325 | ||||||
First National Master Note Trust | ||||||||
| 7,000,000 | 1.610%, 5/15/2014b | 6,998,677 | ||||||
Ford Credit Auto Owner Trust | ||||||||
| 4,489,029 | 3.960%, 5/15/2013 | 4,566,747 | ||||||
GE Capital Credit Card Master Note Trust | ||||||||
| 7,800,000 | 2.540%, 9/15/2014 | 7,893,717 | ||||||
| 7,000,000 | 3.690%, 7/15/2015 | 7,271,362 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,732,055 | 0.441%, 8/25/2035b,c | 1,001,853 | ||||||
| 2,718,786 | 5.750%, 10/25/2036c | 1,693,605 | ||||||
| 4,078,739 | 0.441%, 12/25/2036b,c | 2,619,945 | ||||||
Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 4,229,619 | 0.341%, 8/25/2036b | 3,913,434 | ||||||
GSAMP Trust | ||||||||
| 3,632,792 | 0.441%, 2/25/2036b | 3,152,188 | ||||||
Harley-Davidson Motorcycle Trust | ||||||||
| 3,230,707 | 3.190%, 11/15/2013 | 3,275,013 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
| 5,500,000 | 4.430%, 7/15/2015 | 5,795,784 | ||||||
Household Home Equity Loan Trust | ||||||||
| 2,482,371 | 5.320%, 3/20/2036 | 2,486,035 | ||||||
John Deere Owner Trust | ||||||||
| 3,500,000 | 3.960%, 5/16/2016 | 3,645,631 | ||||||
Merrill Auto Trust Securitization | ||||||||
| 1,780,755 | 5.500%, 3/15/2012 | 1,790,742 | ||||||
Mortgage Equity Conversion Asset Trust | ||||||||
| 6,214,862 | 0.750%, 1/25/2042b,d | 5,857,508 | ||||||
| 6,156,364 | 0.720%, 2/25/2042b,d | 5,885,484 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
| 5,187,209 | 4.280%, 6/16/2014 | 5,301,318 | ||||||
| 6,000,000 | 4.740%, 8/17/2015 | 6,358,632 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 3,844,290 | 5.608%, 5/25/2036 | 3,333,034 | ||||||
| 1,250,000 | 5.285%, 1/25/2037 | 984,304 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 8,500,000 | 0.950%, 8/15/2013 | 8,509,919 | ||||||
USAA Auto Owner Trust | ||||||||
| 5,500,000 | 4.770%, 9/15/2014 | 5,818,428 | ||||||
Volkswagen Auto Lease Trust | ||||||||
| 5,533,101 | 3.410%, 4/16/2012 | 5,591,884 | ||||||
Volkswagen Auto Loan Enhanced Trust | ||||||||
| 2,500,000 | 1.310%, 1/20/2014 | 2,513,240 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,826,546 | 0.401%, 7/25/2037b,c,d | 1,369,910 | ||||||
World Financial Network Credit Card | ||||||||
| 9,000,000 | 4.600%, 9/15/2015 | 9,252,567 | ||||||
World Omni Auto Receivables Trust | ||||||||
| 4,500,000 | 1.340%, 12/16/2013 | 4,529,466 | ||||||
| 2,000,000 | 5.120%, 5/15/2014 | 2,125,606 | ||||||
World Omni Automobile Lease Securitization Trust | ||||||||
| 5,118,875 | 1.020%, 1/16/2012 | 5,124,618 | ||||||
Total Asset-Backed Securities | 175,166,659 | |||||||
| Basic Materials (1.4%) | ||||||||
Anglo American Capital plc | ||||||||
| 3,000,000 | 2.150%, 9/27/2013a | 3,025,794 | ||||||
ArcelorMittal | ||||||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,975,523 | ||||||
| 3,250,000 | 3.750%, 8/5/2015 | 3,277,059 | ||||||
Dow Chemical Company | ||||||||
| 2,500,000 | 4.850%, 8/15/2012 | 2,635,448 | ||||||
| 2,000,000 | 2.500%, 2/15/2016 | 1,920,900 | ||||||
Noble Group, Ltd. | ||||||||
| 2,000,000 | 4.875%, 8/5/2015a | 2,059,636 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
| 2,000,000 | 9.000%, 5/1/2019 | 2,686,092 | ||||||
Total Basic Materials | 18,580,452 | |||||||
| Capital Goods (1.3%) | ||||||||
CRH America, Inc. | ||||||||
| 2,000,000 | 4.125%, 1/15/2016 | 1,987,220 | ||||||
Hutchinson Whampoa Finance, Ltd. | ||||||||
| 3,300,000 | 4.625%, 9/11/2015a | 3,464,610 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
292
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Capital Goods (1.3%) - continued | |||||||
L-3 Communications Corporation | ||||||||
| $ | 4,000,000 | 5.875%, 1/15/2015 | $ | 4,075,000 | ||||
Textron, Inc. | ||||||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,945,881 | ||||||
Tyco International Finance SA | ||||||||
| 1,500,000 | 4.125%, 10/15/2014 | 1,590,585 | ||||||
Waste Management, Inc. | ||||||||
| 2,350,000 | 6.375%, 3/11/2015 | 2,675,172 | ||||||
Total Capital Goods | 16,738,468 | |||||||
| Collateralized Mortgage Obligations (4.0%) | |||||||
American Home Mortgage Assets Trust | ||||||||
| 3,697,808 | 1.248%, 11/25/2046b | 1,822,339 | ||||||
Banc of America Mortgage Securities, Inc. | ||||||||
| 1,692,374 | 3.183%, 9/25/2035 | 1,441,117 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 2,087,352 | 2.560%, 10/25/2035b | 1,865,316 | ||||||
Chase Mortgage Finance Corporation | ||||||||
| 1,321,389 | 5.398%, 1/25/2036 | 341,216 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 2,795,937 | 5.500%, 11/25/2035 | 2,686,070 | ||||||
| 1,838,459 | 5.500%, 2/25/2036 | 1,610,338 | ||||||
| 2,231,174 | 6.000%, 1/25/2037 | 1,588,408 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 2,954,839 | 4.076%, 3/20/2036 | 1,773,896 | ||||||
| 2,845,019 | 5.448%, 9/20/2036 | 1,767,789 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 4,692,707 | 1.098%, 4/25/2047b | 2,792,199 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 4,695,201 | 0.451%, 8/25/2046b | 3,936,696 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,079,612 | 5.942%, 4/25/2037 | 1,354,836 | ||||||
Impac CMB Trust | ||||||||
| 1,162,166 | 0.781%, 4/25/2035b | 891,061 | ||||||
| 823,630 | 0.581%, 8/25/2035b | 633,114 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 4,581,070 | 5.013%, 3/25/2036 | 2,989,986 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 1,852,561 | 5.692%, 6/25/2036 | 1,806,375 | ||||||
| 935,141 | 5.759%, 10/25/2036 | 848,716 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 2,482,941 | 2.752%, 6/25/2035 | 2,187,431 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 1,945,660 | 3.862%, 9/25/2035 | 1,346,204 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
| 1,334,418 | 0.371%, 11/25/2046b | 1,316,017 | ||||||
Wachovia Mortgage Loan Trust, LLC | �� | |||||||
| 2,239,902 | 3.850%, 5/20/2036 | 1,696,936 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 4,083,662 | 1.208%, 10/25/2046b | 2,692,077 | ||||||
| 3,955,010 | 1.148%, 12/25/2046b | 2,558,571 | ||||||
| 4,187,809 | 1.068%, 1/25/2047b | 2,545,924 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 3,804,494 | 1.248%, 9/25/2046b | 1,788,713 | ||||||
| 5,695,858 | 1.078%, 2/25/2047b | 2,732,805 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
| 1,379,170 | 0.551%, 10/25/2045b | 1,163,712 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 1,774,754 | 3.876%, 3/25/2036 | 1,569,160 | ||||||
| 641,345 | 3.921%, 3/25/2036 | 566,916 | ||||||
Total Collateralized Mortgage Obligations | 52,313,938 | |||||||
| Commercial Mortgage-Backed Securities (8.5%) | |||||||
Banc of America Large Loan, Inc. | ||||||||
| 1,889,451 | 0.370%, 10/15/2019a,b | 1,836,998 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 6,750,000 | 5.613%, 6/11/2050 | 7,036,477 | ||||||
| 4,000,000 | 0.410%, 3/15/2022b,d | 3,792,560 | ||||||
| 2,000,000 | 5.665%, 6/11/2040 | 2,109,558 | ||||||
| 4,911,002 | 5.422%, 9/11/2042 | 5,034,140 | ||||||
| 4,000,000 | 5.205%, 2/11/2044 | 4,084,880 | ||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,053,584 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,109,560 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 4,000,000 | 0.440%, 6/15/2022b,d | 3,688,332 | ||||||
| 1,500,000 | 5.306%, 12/10/2046 | 1,564,479 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 6,648,013 | 4.691%, 4/15/2037 | 6,667,691 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 4,000,000 | 5.467%, 9/15/2039 | 4,195,140 | ||||||
Government National Mortgage Association | ||||||||
| 6,431,443 | 2.870%, 3/16/2051 | 6,624,535 | ||||||
| 10,907,262 | 2.164%, 3/16/2033 | 11,039,687 | ||||||
| 10,856,819 | 3.214%, 1/16/2040 | 11,231,987 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,000,000 | 5.074%, 1/5/2036 | 3,098,883 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 6,500,000 | 5.429%, 12/12/2043 | 6,890,377 | ||||||
| 3,000,000 | 5.336%, 5/15/2047 | 3,113,481 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 1,446,309 | 4.567%, 6/15/2029 | 1,450,065 | ||||||
| 8,028,579 | 5.303%, 2/15/2040 | 8,252,304 | ||||||
| 2,500,000 | 5.866%, 9/15/2045 | 2,630,563 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
293
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (8.5%) - continued | |||||||
Morgan Stanley Capital I, Inc. | ||||||||
| $ | 7,000,000 | 4.970%, 4/14/2040 | $ | 7,442,456 | ||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 1,404,136 | 3.894%, 11/15/2035 | 1,405,517 | ||||||
| 2,500,000 | 5.765%, 7/15/2045 | 2,689,350 | ||||||
WaMu Commercial Mortgage Securities Trust | ||||||||
| 716,137 | 3.830%, 1/25/2035a | 722,556 | ||||||
Total Commercial Mortgage-Backed Securities | 111,765,160 | |||||||
| Communications Services (3.6%) | |||||||
Alltel Corporation | ||||||||
| 2,675,000 | 7.000%, 7/1/2012 | 2,902,517 | ||||||
CBS Corporation | ||||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,145,205 | ||||||
Crown Castle Towers, LLC | ||||||||
| 3,250,000 | 4.523%, 1/15/2015a | 3,377,094 | ||||||
| 2,500,000 | 3.214%, 8/15/2015a | 2,461,053 | ||||||
| 1,650,000 | 4.174%, 8/15/2017a | 1,601,681 | ||||||
DIRECTV Holdings, LLC/DIRECTV Financing Company, Inc. | ||||||||
| 4,500,000 | 3.125%, 2/15/2016 | 4,439,997 | ||||||
NBC Universal, Inc. | ||||||||
| 4,000,000 | 2.100%, 4/1/2014a | 3,988,148 | ||||||
Qwest Corporation | ||||||||
| 5,000,000 | 8.875%, 3/15/2012 | 5,406,250 | ||||||
Rogers Communications, Inc. | ||||||||
| 2,620,000 | 7.875%, 5/1/2012 | 2,846,187 | ||||||
SBA Tower Trust | ||||||||
| 4,500,000 | 4.254%, 4/15/2015a | 4,656,636 | ||||||
Telecom Italia Capital SA | ||||||||
| 1,400,000 | 6.200%, 7/18/2011 | 1,436,767 | ||||||
Telefonica SA | ||||||||
| 4,000,000 | 4.949%, 1/15/2015 | 4,142,736 | ||||||
Telemar Norte Leste SA | ||||||||
| 1,000,000 | 5.500%, 10/23/2020a | 962,500 | ||||||
Time Warner Cable, Inc. | ||||||||
| 2,400,000 | 5.400%, 7/2/2012 | 2,547,914 | ||||||
| 3,350,000 | 7.500%, 4/1/2014 | 3,841,807 | ||||||
Total Communications Services | 47,756,492 | |||||||
| Consumer Cyclical (0.7%) | |||||||
American Honda Finance Corporation | ||||||||
| 4,500,000 | 2.500%, 9/21/2015a | 4,443,881 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 2,750,000 | 7.000%, 4/15/2015 | 2,955,183 | ||||||
Nissan Motor Acceptance Corporation | ||||||||
| 2,000,000 | 4.500%, 1/30/2015a | 2,076,662 | ||||||
| Total Consumer Cyclical | 9,475,726 | |||||||
| Consumer Non-Cyclical (3.7%) | ||||||||
Altria Group, Inc. | ||||||||
| 4,000,000 | 4.125%, 9/11/2015 | 4,182,312 | ||||||
Amgen, Inc., Convertible | ||||||||
| 10,500,000 | 0.125%, 2/1/2011 | 10,487,778 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 4,000,000 | 3.000%, 10/15/2012 | 4,127,248 | ||||||
| 3,500,000 | 5.375%, 11/15/2014a | 3,856,136 | ||||||
Cargill, Inc. | ||||||||
| 2,000,000 | 5.200%, 1/22/2013a | 2,157,758 | ||||||
Celgene Corporation | ||||||||
| 2,500,000 | 2.450%, 10/15/2015 | 2,428,320 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
| 500,000 | 1.125%, 11/12/2013 | 495,127 | ||||||
Dr. Pepper Snapple Group, Inc. | ||||||||
| 2,000,000 | 2.350%, 12/21/2012 | 2,046,664 | ||||||
Kraft Foods, Inc. | ||||||||
| 2,500,000 | 4.125%, 2/9/2016 | 2,624,300 | ||||||
Kroger Company | ||||||||
| 2,000,000 | 5.000%, 4/15/2013 | 2,154,698 | ||||||
Life Technologies Corporation | ||||||||
| 3,250,000 | 3.375%, 3/1/2013 | 3,323,616 | ||||||
| 1,250,000 | 4.400%, 3/1/2015 | 1,298,966 | ||||||
The Coca-Cola Company | ||||||||
| 5,000,000 | 0.336%, 5/15/2012b | 5,002,650 | ||||||
Wm. Wrigley, Jr. Company | ||||||||
| 4,500,000 | 1.678%, 6/28/2011a,b | 4,502,075 | ||||||
Total Consumer Non-Cyclical | 48,687,648 | |||||||
| Energy (2.7%) | |||||||
Anadarko Petroleum Corporation | ||||||||
| 1,500,000 | 6.375%, 9/15/2017 | 1,633,960 | ||||||
BP Capital Markets plc | ||||||||
| 3,000,000 | 3.125%, 10/1/2015f | 2,997,939 | ||||||
Cenovus Energy, Inc. | ||||||||
| 2,000,000 | 4.500%, 9/15/2014 | 2,143,108 | ||||||
Energy Transfer Partners, LP | ||||||||
| 2,000,000 | 6.000%, 7/1/2013 | 2,177,308 | ||||||
International Petroleum Investment Company, Ltd. | ||||||||
| 2,000,000 | 3.125%, 11/15/2015a | 1,955,216 | ||||||
Marathon Oil Canada Corporation | ||||||||
| 1,350,000 | 8.375%, 5/1/2012 | 1,468,831 | ||||||
Nabors Industries, Inc., Convertible | ||||||||
| 4,000,000 | 0.940%, 5/15/2011 | 3,975,000 | ||||||
Occidental Petroleum Corporation | ||||||||
| 3,000,000 | 1.450%, 12/13/2013 | 3,013,119 | ||||||
ONEOK Partners, LP | ||||||||
| 650,000 | 8.625%, 3/1/2019 | 810,959 | ||||||
Rowan Companies, Inc. | ||||||||
| 1,500,000 | 5.000%, 9/1/2017 | 1,513,059 | ||||||
Statoil ASA | ||||||||
| 3,214,000 | 5.125%, 4/30/2014a | 3,540,263 | ||||||
Transocean, Inc., Convertible | ||||||||
| 2,900,000 | 1.500%, 12/15/2037 | 2,856,500 | ||||||
Valero Energy Corporation | ||||||||
| 2,000,000 | 4.500%, 2/1/2015 | 2,080,092 | ||||||
| 650,000 | 6.125%, 2/1/2020 | 690,343 | ||||||
Williams Partners, LP | ||||||||
| 3,000,000 | 3.800%, 2/15/2015 | 3,100,209 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
294
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Energy (2.7%) - continued | |||||||
Woodside Finance, Ltd. | ||||||||
| $ | 1,000,000 | 8.125%, 3/1/2014a | $ | 1,150,506 | ||||
Total Energy | 35,106,412 | |||||||
| Financials (30.4%) | |||||||
Abbey National Treasury Services plc | ||||||||
| 3,000,000 | 3.875%, 11/10/2014a | 2,972,814 | ||||||
Achmea Hypotheekbank NV | ||||||||
| 10,000,000 | 3.200%, 11/3/2014a | 10,404,240 | ||||||
Allstate Corporation | ||||||||
| 1,300,000 | 6.200%, 5/16/2014 | 1,470,178 | ||||||
AMB Property, LP | ||||||||
| 2,000,000 | 6.125%, 12/1/2016 | 2,175,590 | ||||||
American Express Credit Corporation | ||||||||
| 4,500,000 | 2.750%, 9/15/2015 | 4,426,587 | ||||||
American International Group, Inc. | ||||||||
| 2,000,000 | 5.050%, 10/1/2015 | 2,053,120 | ||||||
ANZ National International, Ltd. | ||||||||
| 4,000,000 | 2.375%, 12/21/2012a | 4,061,716 | ||||||
Avalon Bay Communities, Inc. | ||||||||
| 2,000,000 | 5.700%, 3/15/2017 | 2,204,378 | ||||||
Bank of America Corporation | ||||||||
| 3,250,000 | 4.500%, 4/1/2015 | 3,303,089 | ||||||
| 5,500,000 | 6.500%, 8/1/2016 | 5,968,011 | ||||||
Bank of Nova Scotia | ||||||||
| 9,500,000 | 1.450%, 7/26/2013a | 9,501,159 | ||||||
Bank of Tokyo - Mitsubishi UFJ, Ltd. | ||||||||
| 4,500,000 | 2.600%, 1/22/2013a | 4,594,374 | ||||||
Barclays Bank plc | ||||||||
| 1,800,000 | 2.500%, 1/23/2013 | 1,829,223 | ||||||
| 6,000,000 | 2.500%, 9/21/2015a | 5,782,494 | ||||||
Barclays Bank plc, Convertible | ||||||||
| 4,500,000 | 1.000%, 6/25/2017g | 4,918,500 | ||||||
BB&T Corporation | ||||||||
| 3,350,000 | 5.700%, 4/30/2014 | 3,685,781 | ||||||
Bear Stearns Companies, Inc. | ||||||||
| 2,500,000 | 6.400%, 10/2/2017 | 2,850,095 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 3,250,000 | 0.414%, 1/13/2012b | 3,252,447 | ||||||
| 4,500,000 | 5.000%, 8/15/2013 | 4,911,840 | ||||||
| 3,000,000 | 2.450%, 12/15/2015 | 2,981,592 | ||||||
BNP Paribas Home Loan Covered Bonds SA | ||||||||
| 8,500,000 | 2.200%, 11/2/2015a | 8,140,620 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 6,500,000 | 2.000%, 2/4/2013a | 6,616,207 | ||||||
Capital One Bank USA NA | ||||||||
| 1,000,000 | 8.800%, 7/15/2019 | 1,230,039 | ||||||
CDP Financial, Inc. | ||||||||
| 6,000,000 | 3.000%, 11/25/2014a | 6,099,036 | ||||||
Citigroup, Inc. | ||||||||
| 5,000,000 | 5.500%, 4/11/2013 | 5,324,150 | ||||||
| 4,600,000 | 2.286%, 8/13/2013b | 4,677,763 | ||||||
CME Group Index Services, LLC | ||||||||
| 3,000,000 | 4.400%, 3/15/2018a | 3,019,269 | ||||||
CNA Financial Corporation | ||||||||
| 3,000,000 | 6.500%, 8/15/2016 | 3,212,700 | ||||||
Commonwealth Bank of Australia | ||||||||
| 6,700,000 | 2.500%, 12/10/2012a | 6,905,435 | ||||||
Compagnie de Financement Foncier | ||||||||
| 7,500,000 | 2.125%, 4/22/2013a,f | 7,563,817 | ||||||
Corestates Capital Trust I | ||||||||
| 700,000 | 8.000%, 12/15/2026a | 714,458 | ||||||
Credit Suisse Securities USA, LLC, Convertible | ||||||||
| 5,500,000 | 1.000%, 4/28/2017g | 5,451,050 | ||||||
Dexia Credit Local SA | ||||||||
| 9,500,000 | 2.750%, 4/29/2014a | 9,637,113 | ||||||
DnB NOR Boligkreditt | ||||||||
| 6,500,000 | 2.100%, 10/14/2015a | 6,181,481 | ||||||
Duke Realty, LP | ||||||||
| 2,000,000 | 7.375%, 2/15/2015 | 2,232,100 | ||||||
Fifth Third Bank | ||||||||
| 4,165,000 | 0.394%, 5/17/2013b | 4,003,515 | ||||||
GATX Corporation | ||||||||
| 2,000,000 | 4.750%, 10/1/2012 | 2,095,058 | ||||||
| 2,000,000 | 4.750%, 5/15/2015 | 2,093,570 | ||||||
General Electric Capital Corporation | ||||||||
| 5,000,000 | 0.562%, 9/15/2014b | 4,852,510 | ||||||
| 4,500,000 | 2.250%, 11/9/2015 | 4,326,097 | ||||||
Goldman Sachs Group, Inc., Convertible | ||||||||
| 97,190 | 0.250%, 11/7/2011a,h | 2,655,717 | ||||||
| 5,000,000 | 1.000%, 1/31/2015g | 4,613,520 | ||||||
Health Care REIT, Inc. | ||||||||
| 750,000 | 6.125%, 4/15/2020 | 789,499 | ||||||
HSBC Bank plc | ||||||||
| 4,500,000 | 1.625%, 8/12/2013a | 4,506,705 | ||||||
HSBC Finance Corporation | ||||||||
| 500,000 | 6.676%, 1/15/2021a | 505,141 | ||||||
ING Bank NV | ||||||||
| 9,500,000 | 2.500%, 1/14/2016a | 9,266,462 | ||||||
International Lease Finance Corporation | ||||||||
| 1,100,000 | 8.625%, 9/15/2015a | 1,182,500 | ||||||
Irish Life & Permanent plc | ||||||||
| 9,500,000 | 3.600%, 1/14/2013a | 8,521,671 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 4,000,000 | 1.053%, 9/30/2013b | 4,012,840 | ||||||
| 4,000,000 | 2.600%, 1/15/2016 | 3,881,088 | ||||||
KeyCorp | ||||||||
| 3,000,000 | 3.750%, 8/13/2015 | 3,009,894 | ||||||
Lehman Brothers Holdings E-Capital Trust I | ||||||||
| 3,500,000 | 1.064%, 8/19/2065f,i | 350 | ||||||
Lincoln National Corporation | ||||||||
| 1,200,000 | 5.650%, 8/27/2012 | 1,276,465 | ||||||
| 1,350,000 | 4.750%, 2/15/2014 | 1,415,605 | ||||||
| 650,000 | 8.750%, 7/1/2019 | 813,051 | ||||||
Lloyds TSB Bank plc | ||||||||
| 5,500,000 | 4.375%, 1/12/2015a | 5,498,746 | ||||||
| 300,000 | 6.500%, 9/14/2020a | 276,010 | ||||||
Manulife Financial Corporation | ||||||||
| 4,000,000 | 3.400%, 9/17/2015 | 3,918,120 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
295
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Financials (30.4%) - continued | |||||||
MassMutual Global Funding II | ||||||||
| $ | 2,000,000 | 3.625%, 7/16/2012a | $ | 2,072,710 | ||||
Merrill Lynch & Company, Inc. | ||||||||
| 1,095,000 | 5.300%, 9/30/2015 | 1,129,750 | ||||||
MetLife, Inc. | ||||||||
| 3,500,000 | 1.536%, 8/6/2013b | 3,553,995 | ||||||
Metropolitan Life Global Funding | ||||||||
| 2,680,000 | 5.125%, 4/10/2013a | 2,885,604 | ||||||
Morgan Stanley | ||||||||
| 3,000,000 | 4.750%, 4/1/2014 | 3,072,081 | ||||||
| 2,000,000 | 4.200%, 11/20/2014 | 2,043,270 | ||||||
National Australia Bank, Ltd. | ||||||||
| 5,500,000 | 2.500%, 1/8/2013a | 5,604,566 | ||||||
Nationwide Building Society | ||||||||
| 4,000,000 | 4.650%, 2/25/2015a | 4,032,592 | ||||||
NCUA Guaranteed Notes | ||||||||
| 5,000,000 | 2.900%, 10/29/2020 | 4,861,385 | ||||||
| 5,000,000 | 0.611%, 12/7/2020b | 5,005,250 | ||||||
New York Life Global Funding | ||||||||
| 3,000,000 | 2.250%, 12/14/2012a | 3,073,353 | ||||||
| 3,000,000 | 3.000%, 5/4/2015a | 3,062,274 | ||||||
Nordea Bank AB | ||||||||
| 6,000,000 | 2.500%, 11/13/2012a | 6,129,528 | ||||||
PNC Funding Corporation | ||||||||
| 3,000,000 | 3.000%, 5/19/2014 | 3,054,804 | ||||||
ProLogis | ||||||||
| 2,000,000 | 6.250%, 3/15/2017 | 2,086,928 | ||||||
Prudential Financial, Inc. | ||||||||
| 1,675,000 | 3.625%, 9/17/2012 | 1,738,340 | ||||||
| 2,000,000 | 6.100%, 6/15/2017 | 2,209,794 | ||||||
Qatari Diar Finance QSC | ||||||||
| 3,000,000 | 3.500%, 7/21/2015a | 2,992,347 | ||||||
Rabobank Capital Funding II | ||||||||
| 1,856,000 | 5.260%, 12/29/2049a,j | 1,837,325 | ||||||
Rabobank Nederland NV | ||||||||
| 3,000,000 | 2.125%, 10/13/2015 | 2,901,312 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 2,500,000 | 6.450%, 11/15/2019 | 2,638,568 | ||||||
Royal Bank of Canada | ||||||||
| 6,500,000 | 3.125%, 4/14/2015a | 6,658,008 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 10,000,000 | 2.625%, 5/11/2012a | 10,236,610 | ||||||
Royal Bank of Scotland plc | ||||||||
| 4,000,000 | 4.875%, 8/25/2014a | 4,096,680 | ||||||
Santander US Debt SA Unipersonal | ||||||||
| 4,000,000 | 2.991%, 10/7/2013a | 3,885,876 | ||||||
SLM Corporation | ||||||||
| 1,500,000 | 8.000%, 3/25/2020 | 1,520,857 | ||||||
Societe Generale | ||||||||
| 4,000,000 | 1.622%, 12/13/2013a,b | 3,993,944 | ||||||
Stadshypotek AB | ||||||||
| 6,000,000 | 0.853%, 9/30/2013a,b | 5,991,732 | ||||||
Standard Chartered plc | ||||||||
| 2,000,000 | 3.850%, 4/27/2015a | 2,059,132 | ||||||
State Street Capital Trust III | ||||||||
| 2,000,000 | 8.250%, 3/15/2042j | 2,032,000 | ||||||
Svenske Exportkredit AB | ||||||||
| 5,000,000 | 3.250%, 9/16/2014 | 5,237,070 | ||||||
Swedbank AB | ||||||||
| 5,000,000 | 2.800%, 2/10/2012a | 5,106,900 | ||||||
TD Ameritrade Holding Corporation | ||||||||
| 4,000,000 | 2.950%, 12/1/2012 | 4,092,704 | ||||||
Toronto-Dominion Bank | ||||||||
| 3,000,000 | 2.200%, 7/29/2015a | 2,951,034 | ||||||
U.S. Bank National Association | ||||||||
| 4,000,000 | 3.778%, 4/29/2020 | 4,058,316 | ||||||
U.S. Central Federal Credit Union | ||||||||
| 6,500,000 | 1.900%, 10/19/2012 | 6,636,259 | ||||||
Union Bank NA | ||||||||
| 4,000,000 | 2.125%, 12/16/2013 | 3,993,048 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 2,000,000 | 5.500%, 11/15/2012 | 2,144,116 | ||||||
Vestjysk Bank AS | ||||||||
| 9,500,000 | 0.852%, 6/17/2013a,b | 9,578,460 | ||||||
Wachovia Corporation | ||||||||
| 4,000,000 | 5.250%, 8/1/2014 | 4,265,976 | ||||||
WEA Finance, LLC/WT Finance Australia, Pty, Ltd. | ||||||||
| 3,350,000 | 5.750%, 9/2/2015a | 3,629,129 | ||||||
Westpac Banking Corporation | ||||||||
| 5,000,000 | 2.250%, 11/19/2012 | 5,115,800 | ||||||
Westpac Securities New Zealand, Ltd. | ||||||||
| 4,600,000 | 3.450%, 7/28/2014a | 4,902,689 | ||||||
Total Financials | 402,038,716 | |||||||
| Foreign Government (3.5%) | |||||||
Corporacion Andina de Fomento | ||||||||
| 5,000,000 | 5.750%, 1/12/2017 | 5,263,600 | ||||||
Finland Government International Bond | ||||||||
| 5,500,000 | 1.250%, 10/19/2015a | 5,299,987 | ||||||
Japan Finance Corporation | ||||||||
| 6,000,000 | 1.875%, 9/24/2015 | 5,857,608 | ||||||
Kommunalbanken AS | ||||||||
| 7,500,000 | 2.750%, 5/5/2015a | 7,669,170 | ||||||
Korea Development Bank/ Republic of Korea | ||||||||
| 4,000,000 | 4.375%, 8/10/2015 | 4,116,300 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 10,000,000 | 1.250%, 6/15/2012 | 10,084,960 | ||||||
Nova Scotia Government Notes | ||||||||
| 4,000,000 | 2.375%, 7/21/2015 | 4,004,092 | ||||||
Peru Government International Bond | ||||||||
| 175,000 | 5.625%, 11/18/2050 | 161,875 | ||||||
Qatar Government International Bond | ||||||||
| 4,000,000 | 4.000%, 1/20/2015a | 4,140,000 | ||||||
Total Foreign Government | 46,597,592 | |||||||
| Mortgage-Backed Securities (2.1%) | |||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 4,565,054 | 6.500%, 9/1/2037 | 5,065,968 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 5,500,000 | 3.500%, 1/1/2026k | 5,537,813 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
296
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Mortgage-Backed Securities (2.1%) - continued | |||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| $ | 5,305,699 | 5.889%, 9/1/2037 | $ | 5,696,405 | ||||
| 3,765,845 | 5.750%, 10/1/2037 | 4,045,794 | ||||||
| 7,000,000 | 6.000%, 1/1/2041k | 7,608,125 | ||||||
Total Mortgage-Backed Securities | 27,954,105 | |||||||
| Technology (0.4%) | |||||||
Affiliated Computer Services, Inc. | ||||||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,122,444 | ||||||
Symantec Corporation | ||||||||
| 1,000,000 | 2.750%, 9/15/2015 | 975,823 | ||||||
Xerox Corporation | ||||||||
| 2,000,000 | 8.250%, 5/15/2014 | 2,334,540 | ||||||
Total Technology | 5,432,807 | |||||||
| Transportation (1.8%) | |||||||
American Airlines Pass Through Trust | ||||||||
| 398,990 | 6.978%, 10/1/2012 | 400,985 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,650,000 | 6.750%, 9/15/2015a | 2,729,500 | ||||||
| 3,889,498 | 7.250%, 11/10/2019 | 4,336,790 | ||||||
CSX Corporation | ||||||||
| 2,500,000 | 6.250%, 4/1/2015 | 2,841,070 | ||||||
Delta Air Lines, Inc. | ||||||||
| 1,952,413 | 7.750%, 12/17/2019 | 2,162,297 | ||||||
Erac USA Finance Company | ||||||||
| 4,500,000 | 2.750%, 7/1/2013a | 4,580,357 | ||||||
Northwest Airlines, Inc. | ||||||||
| 2,400,000 | 6.841%, 10/1/2012 | 2,430,000 | ||||||
United Air Lines, Inc. | ||||||||
| 1,888,613 | 10.400%, 11/1/2016 | 2,181,348 | ||||||
US Airways Group, Inc. | ||||||||
| 1,900,000 | 6.250%, 4/22/2023 | 1,904,750 | ||||||
Total Transportation | 23,567,097 | |||||||
| U.S. Government and Agencies (15.5%) | |||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 8,000,000 | Zero Coupon, 1/7/2013a | 7,821,200 | ||||||
| 6,714,931 | 0.761%, 11/29/2037a,b | 6,714,931 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 8,000,000 | 1.250%, 12/6/2013 | 7,958,864 | ||||||
Federal Farm Credit Bank | ||||||||
| 10,000,000 | 1.375%, 6/25/2013 | 10,130,290 | ||||||
Federal Home Loan Banks | ||||||||
| 10,000,000 | 0.166%, 2/10/2012b | 9,994,620 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 4,800,000 | 0.375%, 11/30/2012 | 4,771,426 | ||||||
Federal National Mortgage Association | ||||||||
| 5,500,000 | 2.000%, 4/15/2013 | 5,521,664 | ||||||
| 6,000,000 | 1.600%, 11/23/2015 | 5,818,560 | ||||||
U.S. Treasury Notes | ||||||||
| 13,000,000 | 1.125%, 6/15/2013 | 13,106,600 | ||||||
| 5,000,000 | 1.000%, 7/15/2013 | 5,024,600 | ||||||
| 6,000,000 | 0.750%, 12/15/2013f | 5,957,346 | ||||||
| 16,500,000 | 1.500%, 12/31/2013 | 16,737,187 | ||||||
| 9,500,000 | 1.750%, 1/31/2014 | 9,698,911 | ||||||
| 7,500,000 | 1.875%, 4/30/2014 | 7,670,505 | ||||||
| 12,800,000 | 2.250%, 5/31/2014 | 13,240,998 | ||||||
| 18,000,000 | 2.375%, 9/30/2014 | 18,644,058 | ||||||
| 21,000,000 | 1.250%, 10/31/2015 | 20,324,052 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 10,991,841 | 2.500%, 7/15/2016 | 12,336,627 | ||||||
| 10,345,228 | 1.875%, 7/15/2019 | 11,248,015 | ||||||
| 11,124,960 | 1.375%, 1/15/2020 | 11,561,270 | ||||||
Total U.S. Government and Agencies | 204,281,724 | |||||||
| U.S. Municipals (0.1%) | |||||||
Houston, Texas Combined Utility System Revenue Refunding Bonds | ||||||||
| 1,350,000 | 5.000%, 5/15/2034 | 1,369,940 | ||||||
Total U.S. Municipals | 1,369,940 | |||||||
| Utilities (1.7%) | |||||||
Abu Dhabi National Energy Company | ||||||||
| 4,000,000 | 4.750%, 9/15/2014a | 4,144,844 | ||||||
CMS Energy Corporation | ||||||||
| 2,000,000 | 4.250%, 9/30/2015 | 1,980,364 | ||||||
Commonwealth Edison Company | ||||||||
| 3,300,000 | 6.150%, 3/15/2012 | 3,504,580 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 2,650,000 | 5.500%, 7/1/2013 | 2,901,522 | ||||||
Oncor Electric Delivery Company | ||||||||
| 2,700,000 | 5.750%, 9/30/2020a | 2,875,144 | ||||||
Power Receivables Finance, LLC | ||||||||
| 151,267 | 6.290%, 1/1/2012d | 151,350 | ||||||
Ras Laffan Liquefied Natural Gas Company, Ltd. III | ||||||||
| 3,300,000 | 4.500%, 9/30/2012a | 3,465,178 | ||||||
| 1,115,250 | 5.832%, 9/30/2016a | 1,198,894 | ||||||
Virginia Electric & Power Company | ||||||||
| 1,360,000 | 5.100%, 11/30/2012 | 1,461,661 | ||||||
Total Utilities | 21,683,537 | |||||||
Total Long-Term Fixed Income (cost $1,257,289,274) | 1,248,516,473 | |||||||
| Shares | Mutual Funds (1.5%) | |||||||
| Fixed Income Mutual Funds (1.5%) | |||||||
| 4,208,125 | Thrivent High Yield Fund | 20,367,326 | ||||||
Total Fixed Income Mutual Funds | 20,367,326 | |||||||
Total Mutual Funds (cost $15,499,999) | 20,367,326 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
297
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
| Shares | Preferred Stock (0.5%) | Value | ||||||
| Financials (0.5%) | |||||||
| 40,000 | Calenergy Capital Trust III, Convertible, 6.500% | $ | 1,980,000 | |||||
| 18,750 | Citigroup, Inc., Convertible, 7.500% | 2,562,937 | ||||||
| 148,505 | Federal National Mortgage Association, 8.250%j,l | 83,163 | ||||||
| 66,000 | HSBC Holdings plc, 8.000%j | 1,758,900 | ||||||
Total Financials | 6,385,000 | |||||||
Total Preferred Stock (cost $8,714,280) | 6,385,000 | |||||||
| Contracts | Options Purchased (<0.1%) | |||||||
Call on 10-Yr. U.S. Treasury Bond Futures | ||||||||
| 125 | $121.00, expires 2/19/2011 | 148,438 | ||||||
| 135 | $121.50, expires 2/19/2011 | 130,781 | ||||||
| 290 | $122.50, expires 2/19/2011 | 181,250 | ||||||
Total Options Purchased (cost $501,494) | 460,469 | |||||||
| Shares | Collateral Held for Securities Loaned (0.8%) | |||||||
| 10,590,250 | Thrivent Financial Securities Lending Trust | 10,590,250 | ||||||
Total Collateral Held for Securities Loaned (cost $10,590,250) | 10,590,250 | |||||||
| Principal Amount | Short-Term Investments (3.8%)m | |||||||
BNP Paribas Canada | ||||||||
| 6,420,000 | 0.170%, 1/3/2011n | 6,419,940 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.095%, 1/14/2011n | 9,999,657 | ||||||
| 10,000,000 | 0.060%, 1/19/2011n | 9,999,700 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 3,300,000 | 0.192%, 3/14/2011n,o | 3,298,753 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 10,000,000 | 0.050%, 1/5/2011n | 9,999,944 | ||||||
| 10,000,000 | 0.090%, 1/10/2011n | 9,999,775 | ||||||
Total Short-Term Investments (at amortized cost) | 49,717,769 | |||||||
Total Investments (cost $1,342,313,066) 101.3% | $ | 1,336,037,287 | ||||||
Other Assets and Liabilities, Net (1.3%) | (17,302,274 | ) | ||||||
Total Net Assets 100.0% | $ | 1,318,735,013 | ||||||
| a | 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, 2010, the value of these investments was $339,847,524 or 25.8% of total net assets. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| c | All or a portion of the security is insured or guaranteed. |
| 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, 2010. |
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 | 6,156,364 | ||||||
Mortgage Equity Conversion Asset Trust | 1/18/2007 | 6,214,862 | ||||||
Power Receivables Finance, LLC | 9/30/2003 | 151,223 | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,826,546 | ||||||
| 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 | Denotes 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 | Security is displayed in shares. This security is an Equity-Linked Structured Security as discussed in item 2(Q) of the Notes to Financial Statements. This security is linked to the common stock of Microsoft Corporation. |
| i | In bankruptcy. Interest is not being accrued. |
| j | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| k | Denotes investments purchased on a when-issued or delayed delivery basis. |
| l | Non-income producing security. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| o | At December 31, 2010, $2,399,093 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. | ||
| 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 | $ | 35,558,176 | ||
Gross unrealized depreciation | (42,646,084 | ) | ||
Net unrealized appreciation (depreciation) | $ | (7,087,908 | ) | |
Cost for federal income tax purposes | $ | 1,343,125,195 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
298
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 175,166,659 | — | 162,053,757 | 13,112,902 | ||||||||||||
Basic Materials | 18,580,452 | — | 18,580,452 | — | ||||||||||||
Capital Goods | 16,738,468 | — | 16,738,468 | — | ||||||||||||
Collateralized Mortgage Obligations | 52,313,938 | — | 52,313,938 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 111,765,160 | — | 111,765,160 | — | ||||||||||||
Communications Services | 47,756,492 | — | 47,756,492 | — | ||||||||||||
Consumer Cyclical | 9,475,726 | — | 9,475,726 | — | ||||||||||||
Consumer Non-Cyclical | 48,687,648 | — | 48,687,648 | — | ||||||||||||
Energy | 35,106,412 | — | 35,106,412 | — | ||||||||||||
Financials | 402,038,716 | — | 384,008,199 | 18,030,517 | ||||||||||||
Foreign Government | 46,597,592 | — | 46,597,592 | — | ||||||||||||
Mortgage-Backed Securities | 27,954,105 | — | 27,954,105 | — | ||||||||||||
Technology | 5,432,807 | — | 5,432,807 | — | ||||||||||||
Transportation | 23,567,097 | — | 12,055,677 | 11,511,420 | ||||||||||||
U.S. Government and Agencies | 204,281,724 | — | 197,566,793 | 6,714,931 | ||||||||||||
U.S. Municipals | 1,369,940 | — | 1,369,940 | — | ||||||||||||
Utilities | 21,683,537 | — | 21,683,537 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 20,367,326 | 20,367,326 | — | — | ||||||||||||
Preferred Stock Financials | 6,385,000 | 4,405,000 | 1,980,000 | — | ||||||||||||
Options Purchased | 460,469 | 460,469 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 10,590,250 | 10,590,250 | — | — | ||||||||||||
Short-Term Investments | 49,717,769 | — | 49,717,769 | — | ||||||||||||
Total | $ | 1,336,037,287 | $ | 35,823,045 | $ | 1,250,844,472 | $ | 49,369,770 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 4,861,870 | 4,861,870 | — | — | ||||||||||||
Total Asset Derivatives | $ | 4,861,870 | $ | 4,861,870 | $ | — | $ | — | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 17,906 | 17,906 | — | — | ||||||||||||
Credit Default Swaps | 212,752 | — | 212,752 | — | ||||||||||||
Total Liability Derivatives | $ | 230,658 | $ | 17,906 | $ | 212,752 | $ | — | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 20,538,327 | — | 968,286 | — | (8,393,711 | ) | — | — | 13,112,902 | |||||||||||||||||||||||
Commercial Mortgage- Backed Securities | 6,695,000 | 367,656 | (195,000 | ) | — | (6,867,656 | ) | — | — | — | ||||||||||||||||||||||
Financials | — | — | 475,392 | 17,555,125 | — | — | — | 18,030,517 | ||||||||||||||||||||||||
Transportation | 14,177,257 | 196,836 | 765,916 | — | (3,628,589 | ) | — | — | 11,511,420 | |||||||||||||||||||||||
U.S. Government and Agencies | — | — | — | 7,500,000 | (785,069 | ) | — | — | 6,714,931 | |||||||||||||||||||||||
Total | $ | 41,410,584 | $ | 564,492 | $ | 2,014,594 | $ | 25,055,125 | ($ | 19,675,025 | ) | $ | — | $ | — | $ | 49,369,770 | |||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $1,959,135. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
299
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (55 | ) | March 2011 | ($ | 12,045,692 | ) | ($ | 12,039,844 | ) | $ | 5,848 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (1,865 | ) | March 2011 | (222,978,374 | ) | (219,545,469 | ) | 3,432,905 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (425 | ) | March 2011 | (52,609,054 | ) | (51,185,937 | ) | 1,423,117 | ||||||||||||
20-Yr. U.S. Treasury Bond Futures | 5 | March 2011 | 628,531 | 610,625 | (17,906 | ) | ||||||||||||||
Total Futures Contracts | $ | 4,843,964 | ||||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||||
CDX IG, Series 15, 5 Year, at 1.00%; Bank of America | Buy | 12/20/2015 | $ | 23,500,000 | $ | 80,371 | ($ | 165,472 | ) | ($ | 85,101 | ) | ||||||||||||
CDX IG, Series 15, 5 Year, at 1.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 35,250,000 | 120,556 | (248,207 | ) | (127,651 | ) | ||||||||||||||||
Total Credit Default Swaps | ($ | 413,679 | ) | ($ | 212,752 | ) | ||||||||||||||||||
| 1 | As the buyer of protection, Limited Maturity Bond 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, Limited Maturity Bond 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 Limited Maturity Bond 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, 2010, 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 | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,861,870 | ||||
Options Purchased | Investments in securities at market value, Net Assets - Net unrealized appreciation/(depreciation) on Investments | 460,469 | ||||
Total Interest Rate Contracts | 5,322,339 | |||||
Total Asset Derivatives | $ | 5,322,339 | ||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 17,906 | ||||
Total Interest Rate Contracts | 17,906 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 212,752 | ||||
Total Credit Contracts | 212,752 | |||||
Total Liability Derivatives | $ | 230,658 | ||||
| * | 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.
300
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 Purchased | Net realized gains/(losses) on Investments | 867,777 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (16,852,702 | ) | |||
Total Interest Rate Contracts | (15,984,925 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (901,423 | ) | |||
Total Credit Contracts | (901,423 | ) | ||||
Total | ($16,886,348) | |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 624,422 | ||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | 73,998 | ||||
Total Interest Rate Contracts | 698,420 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (212,752 | ) | |||
Total Credit Contracts | (212,752 | ) | ||||
Total | $ | 485,668 | ||||
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Interest Rate Contracts | $ | 274,007,106 | 22.7 | % | N/A | N/A | 511 | |||||||||||||
Credit Contracts | N/A | N/A | $ | 54,305,100 | 4.5 | % | 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, 2009 | Gross Purchases | Gross Sales | Shares Held at December 31, 2010 | Value December 31, 2010 | Income Earned January 1, 2010 - December 31, 2010 | ||||||||||||||||||
High Yield Fund | $ | 19,273,214 | $ | — | $ | — | 4,208,125 | $ | 20,367,326 | $ | 1,610,704 | |||||||||||||
Thrivent Financial Securities Lending Trust | 813,270 | 236,745,489 | 226,968,509 | 10,590,250 | 10,590,250 | 11,305 | ||||||||||||||||||
Total Value and Income Earned | 20,086,484 | 30,957,576 | 1,622,009 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
301
Table of Contents
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (104.1%) | Value | ||||||
| Asset-Backed Securities (9.6%) | |||||||
Carrington Mortgage Loan Trust | ||||||||
| $ | 200,000 | 0.411%, 8/25/2036a | $ | 103,375 | ||||
Countrywide Asset-Backed Certificates | ||||||||
| 195,000 | 5.859%, 10/25/2046 | 103,186 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 135,597 | 5.501%, 12/25/2036 | 95,573 | ||||||
First Horizon ABS Trust | ||||||||
| 557,108 | 0.391%, 10/25/2026a,b | 414,958 | ||||||
| 966,008 | 0.421%, 10/25/2034a,b | 497,762 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,154,703 | 0.441%, 8/25/2035a,b | 667,902 | ||||||
Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 420,858 | 0.341%, 8/25/2036a | 389,396 | ||||||
Popular ABS Mortgage Pass- Through Trust | ||||||||
| 100,000 | 5.297%, 11/25/2035 | 83,326 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 250,000 | 5.797%, 8/25/2036 | 148,022 | ||||||
| 200,000 | 5.285%, 1/25/2037 | 157,489 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 730,618 | 0.401%, 7/25/2037a,b,c | 547,964 | ||||||
| Total Asset-Backed Securities | 3,208,953 | |||||||
| Collateralized Mortgage Obligations (13.8%) | |||||||
Banc of America Mortgage Securities, Inc. | ||||||||
| 483,535 | 3.183%, 9/25/2035 | 411,748 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 250,951 | 5.750%, 4/25/2037 | 197,054 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 181,106 | 5.500%, 10/25/2035 | 173,600 | ||||||
| 183,846 | 5.500%, 2/25/2036 | 161,034 | ||||||
| 178,494 | 6.000%, 1/25/2037 | 127,073 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 29,152 | 1.001%, 5/25/2034a | 26,974 | ||||||
GSAA Home Equity Trust | ||||||||
| 76,252 | 4.316%, 11/25/2034 | 76,782 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 80,781 | 0.451%, 8/25/2046a | 67,731 | ||||||
Impac CMB Trust | ||||||||
| 387,389 | 0.781%, 4/25/2035a | 297,020 | ||||||
| 68,714 | 0.581%, 8/25/2035a | 52,820 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 59,425 | 0.331%, 11/25/2036a | 58,071 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 195,186 | 6.500%, 1/25/2035 | 200,397 | ||||||
| 176,434 | 5.692%, 6/25/2036 | 172,036 | ||||||
| 127,008 | 5.759%, 10/25/2036 | 115,270 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 255,234 | 6.500%, 5/25/2034 | 263,113 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 711,024 | 2.752%, 6/25/2035 | 626,401 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
| 204,706 | 0.591%, 8/25/2029a | 190,734 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 186,560 | 5.500%, 12/25/2034 | 183,313 | ||||||
| 218,887 | 3.862%, 9/25/2035 | 151,448 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 190,780 | 5.987%, 10/25/2036 | 176,383 | ||||||
| 110,566 | 5.730%, 8/25/2046 | 98,845 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 98,204 | 5.000%, 3/25/2021 | 98,020 | ||||||
| 461,769 | 3.921%, 3/25/2036 | 408,180 | ||||||
| 186,936 | 2.913%, 4/25/2036 | 172,845 | ||||||
| 148,104 | 6.000%, 7/25/2037 | 132,743 | ||||||
| Total Collateralized Mortgage Obligations | 4,639,635 | |||||||
| Commercial Mortgage-Backed Securities (9.3%) | |||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 60,000 | 5.665%, 6/11/2040 | 63,287 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 250,000 | 5.306%, 12/10/2046 | 260,747 | ||||||
Government National Mortgage Association | ||||||||
| 297,471 | 2.164%, 3/16/2033 | 301,082 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 300,000 | 4.786%, 10/15/2029 | 314,450 | ||||||
| 451,822 | 4.553%, 7/15/2030 | 452,630 | ||||||
| 287,179 | 5.303%, 2/15/2040 | 295,182 | ||||||
Morgan Stanley Capital I, Inc. | ||||||||
| 250,000 | 4.970%, 4/14/2040 | 265,802 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 1,250,000 | 0.381%, 9/15/2021a,c | 1,147,516 | ||||||
Total Commercial Mortgage-Backed Securities | 3,100,696 | |||||||
| Mortgage-Backed Securities (67.9%) | |||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,000,000 | 5.000%, 1/1/2041d | 2,097,500 | ||||||
| 4,200,000 | 6.000%, 1/1/2041d | 4,549,125 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 2,000,000 | 3.500%, 1/1/2026d | 2,013,750 | ||||||
Federal National Mortgage Association Conventional 20- Yr. Pass Through | ||||||||
| 998,466 | 6.000%, 8/1/2024 | 1,098,838 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
302
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Long-Term Fixed Income (104.1%) | Value | ||||||
| Mortgage-Backed Securities (67.9%) - continued | |||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| $ | 5,500,000 | 4.500%, 1/1/2041d | $ | 5,645,233 | ||||
| 4,500,000 | 5.500%, 1/1/2041d | 4,814,298 | ||||||
| 2,300,000 | 6.500%, 1/1/2041d | 2,555,875 | ||||||
| Total Mortgage-Backed Securities | 22,774,619 | |||||||
| U.S. Government and Agencies (3.5%) | |||||||
U.S. Treasury Notes | ||||||||
| 100,000 | 4.875%, 4/30/2011e | 101,512 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 351,955 | 2.500%, 7/15/2016 | 395,015 | ||||||
| 307,284 | 1.875%, 7/15/2019 | 334,099 | ||||||
| 328,692 | 1.375%, 1/15/2020 | 341,583 | ||||||
Total U.S. Government and Agencies | 1,172,209 | |||||||
Total Long-Term Fixed Income (cost $35,755,896) | 34,896,112 | |||||||
Short-Term Investments (60.4%)f | ||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 19,150,000 | 0.090%, 1/10/2011g | 19,149,569 | ||||||
Old Line Funding, LLC | ||||||||
| 1,105,000 | 0.170%, 1/3/2011g | 1,104,990 | ||||||
| Total Short-Term Investments (at amortized cost) | 20,254,559 | |||||||
| Total Investments (cost $56,010,455) 164.5% | $ | 55,150,671 | ||||||
| Other Assets and Liabilities, Net (64.5%) | (21,622,630 | ) | ||||||
| Total Net Assets 100.0% | $ | 33,528,041 | ||||||
| a | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| b | All or a portion of the security is insured or guaranteed. |
| 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, 2010. |
Security | Acquisition Date | Amortized Cost | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 730,619 | |||||
Wachovia Bank Commercial Mortgage Trust | 2/28/2007 | 1,250,112 | ||||||
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| e | At December 31, 2010, $101,512 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| 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 | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
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 | $ | 859,164 | ||
Gross unrealized depreciation | (1,718,948 | ) | ||
Net unrealized appreciation (depreciation) | $ | (859,784 | ) | |
Cost for federal income tax purposes | $ | 56,010,455 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
303
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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 | 3,208,953 | — | 2,660,989 | 547,964 | ||||||||||||
Collateralized Mortgage Obligations | 4,639,635 | — | 4,639,635 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 3,100,696 | — | 3,100,696 | — | ||||||||||||
Mortgage-Backed Securities | 22,774,619 | — | 22,774,619 | — | ||||||||||||
U.S. Government and Agencies | 1,172,209 | — | 1,172,209 | — | ||||||||||||
Short-Term Investments | 20,254,559 | — | 20,254,559 | — | ||||||||||||
Total | $ | 55,150,671 | $ | — | $ | 54,602,707 | $ | 547,964 | ||||||||
Other Financial Instruments | ||||||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 15,718 | 15,718 | — | — | ||||||||||||
Total Liability Derivatives | $ | 15,718 | $ | 15,718 | $ | — | $ | — | ||||||||
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, 2009 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2010 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 419,301 | — | 250,734 | — | (122,071 | ) | — | — | 547,964 | |||||||||||||||||||||||
Total | $ | 419,301 | $ | — | $ | 250,734 | $ | — | ($ | 122,071 | ) | $ | — | $ | — | $ | 547,964 | |||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2010 of $188,690. |
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 2011 | $ | 617,906 | $ | 602,188 | ($ | 15,718 | ) | |||||||||||
Total Futures Contracts | ($ | 15,718 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2010, 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 | 15,718 | ||||
Total Interest Rate Contracts | 15,718 | |||||
Total Liability Derivatives | $ | 15,718 | ||||
| * | 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.
304
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2010
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2010, 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 Purchased | Net realized gains/(losses) on Investments | (9,435 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 46,370 | ||||
Total Interest Rate Contracts | 36,935 | |||||
Total | $ | 36,935 | ||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2010, 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 | (1,565 | ) | |||
Total Interest Rate Contracts | (1,565 | ) | ||||
Total | ($1,565 | ) | ||||
The following table presents Mortgage Securities Portfolio’s average volume of derivative activity during the period ended December 31, 2010.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Interest Rate Contracts | $ | 605,685 | 1.8 | % | 3 | |||||||
| * | 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.
305
Table of Contents
Schedule of Investments as of December 31, 2010
| Principal Amount | Asset Backed Commercial Paper (15.8%)a | Value | ||||||
Barton Capital Corporation | ||||||||
| $ 4,780,000 | 0.150%, 1/3/2011b | $ | 4,779,960 | |||||
Falcon Asset Securitization Corporation, LLC | ||||||||
| 1,940,000 | 0.290%, 2/14/2011b | 1,939,312 | ||||||
Nieuw Amsterdam Receivables Corporation | ||||||||
| 1,985,000 | 0.320%, 1/13/2011b | 1,984,788 | ||||||
| 1,800,000 | 0.290%, 2/3/2011b | 1,799,521 | ||||||
Old Line Funding, LLC | ||||||||
| 4,500,000 | 0.170%, 1/3/2011b | 4,499,957 | ||||||
| 1,850,000 | 0.270%, 1/20/2011b | 1,849,737 | ||||||
| 1,770,000 | 0.280%, 3/2/2011b | 1,769,174 | ||||||
Straight-A Funding, LLC | ||||||||
| 1,760,000 | 0.250%, 3/14/2011b | 1,759,120 | ||||||
Thunder Bay Funding, Inc. | ||||||||
| 5,000,000 | 0.220%, 1/4/2011b | 4,999,908 | ||||||
| 1,770,000 | 0.280%, 3/17/2011b | 1,768,968 | ||||||
Total Asset Backed Commercial Paper | 27,150,445 | |||||||
Financial Company Commercial Paper (21.7%)a | ||||||||
AllianceBernstein, LP | ||||||||
| 4,000,000 | 0.250%, 1/4/2011 | 3,999,917 | ||||||
BNP Paribas Canada | ||||||||
| 4,000,000 | 0.170%, 1/3/2011b | 3,999,962 | ||||||
General Electric Capital Corporation | ||||||||
| 5,850,000 | 0.382%, 3/11/2011b,c | 5,851,687 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 6,380,000 | 0.420%, 4/1/2011b | 6,380,000 | ||||||
New York Life Global Funding | ||||||||
| 1,080,000 | 0.258%, 4/1/2011b,c,d | 1,079,946 | ||||||
| 1,950,000 | 0.427%, 6/16/2011b,c,d | 1,951,236 | ||||||
Rabobank Nederland NV | ||||||||
| 1,360,000 | 0.486%, 8/5/2011c,d | 1,361,484 | ||||||
Rabobank Nederland NV/NY | ||||||||
| 1,800,000 | 0.346%, 12/6/2011c | 1,800,000 | ||||||
| Royal Bank of Canada | ||||||||
| 2,000,000 | 0.703%, 6/23/2011c | 2,003,903 | ||||||
| Societe Generale North America, Inc. | ||||||||
| 3,450,000 | 0.250%, 1/3/2011b | 3,449,952 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 1,000,000 | 0.386%, 2/9/2011c,d | 1,000,000 | ||||||
| Toronto-Dominion Bank NY | ||||||||
| 900,000 | 0.331%, 10/28/2011c | 900,000 | ||||||
| Toronto-Dominion Holdings USA, Inc. | ||||||||
| 1,770,000 | 0.260%, 3/7/2011b | 1,769,169 | ||||||
| US Bank NA | ||||||||
| 1,940,000 | 0.410%, 4/11/2011 | 1,937,791 | ||||||
Total Financial Company Commercial Paper | 37,485,047 | |||||||
Government Agency Debt (24.2%)a | ||||||||
| Federal Farm Credit Bank | ||||||||
| 900,000 | 0.290%, 8/8/2012b,c | 899,848 | ||||||
Federal Home Loan Banks | ||||||||
| 1,960,000 | 0.270%, 9/20/2011b,c | 1,960,000 | ||||||
| 2,000,000 | 0.260%, 3/20/2012b,c | 1,999,753 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 6,994,000 | 0.269%, 1/14/2011b,c | 6,994,128 | ||||||
| 4,800,000 | 0.372%, 3/9/2011b,c | 4,801,072 | ||||||
| 3,840,000 | 0.221%, 9/19/2011b,c | 3,838,581 | ||||||
| 2,100,000 | 0.211%, 12/21/2011b,c | 2,098,962 | ||||||
| 2,000,000 | 0.190%, 1/25/2012b,c | 1,995,006 | ||||||
Federal National Mortgage Association | ||||||||
| 2,200,000 | 0.221%, 9/19/2011b,c | 2,199,361 | ||||||
| 2,000,000 | 0.360%, 9/13/2012b,c | 2,000,682 | ||||||
| 2,000,000 | 0.291%, 9/17/2012b,c | 2,000,000 | ||||||
| 900,000 | 0.330%, 11/23/2012b,c | 899,660 | ||||||
Financing Corporation | ||||||||
| 5,050,000 | 0.347%, 3/7/2011 | 5,046,815 | ||||||
U.S. Central Federal Credit Union | ||||||||
| 4,750,000 | 0.289%, 10/19/2011b,c | 4,750,000 | ||||||
| Total Government Agency Debt | 41,483,868 | |||||||
| Shares | Investment Company (4.7%) | |||||||
AIM Investments Institutional Government and Agency Portfolio | ||||||||
| 15,000 | 0.080% | 15,000 | ||||||
| BlackRock Cash Funds | ||||||||
| 7,998,000 | 0.210% | 7,998,000 | ||||||
| DWS Money Market Series | ||||||||
| 150,000 | 0.170% | 150,000 | ||||||
| Total Investment Company | 8,163,000 | |||||||
| Principal Amount | Other Commercial Paper (9.7%)a | |||||||
| ENI Finance USA, Inc. | ||||||||
| 3,000,000 | 0.230%, 1/4/2011b | 2,999,943 | ||||||
| Georgia Transmission Corporation | ||||||||
| 1,750,000 | 0.320%, 2/23/2011 | 1,749,176 | ||||||
| Kells Funding, LLC | ||||||||
| 1,730,000 | 0.310%, 3/21/2011b | 1,728,823 | ||||||
| Novartis Finance Corporation | ||||||||
| 970,000 | 0.340%, 2/9/2011b | 969,643 | ||||||
| Private Export Funding Corporation | ||||||||
| 1,950,000 | 0.300%, 2/18/2011b | 1,949,220 | ||||||
| River Fuel Funding Company, No. 3 | ||||||||
| 1,830,000 | 0.350%, 1/31/2011b | 1,829,466 | ||||||
| Toyota Credit Canada, Inc. | ||||||||
| 1,760,000 | 0.340%, 4/14/2011b | 1,758,288 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 1,850,000 | 0.360%, 2/16/2011b | 1,849,149 | ||||||
| 1,780,000 | 0.330%, 3/22/2011b | 1,778,695 | ||||||
| Total Other Commercial Paper | 16,612,403 | |||||||
Other Municipal Debt (11.7%)a | ||||||||
Alaska Housing Finance Corporation | ||||||||
| 1,000,000 | 0.320%, 2/2/2011 | 999,716 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
306
Table of Contents
Money Market Portfolio
Schedule of Investments as of December 31, 2010
| Principal Amount | Other Municipal Debt (11.7%)a | Value | ||||||
| $2,000,000 | 0.320%, 2/8/2011 | $ | 1,999,324 | |||||
| 1,775,000 | 0.330%, 3/7/2011 | 1,773,942 | ||||||
| 1,780,000 | 0.330%, 3/8/2011 | 1,778,923 | ||||||
Cliffside Park, New Jersey General Obligation Bonds | ||||||||
| 1,000,000 | 1.500%, 2/14/2011 | 1,001,255 | ||||||
Nebraska Public Power District | ||||||||
| 880,000 | 0.330%, 3/15/2011 | 879,411 | ||||||
New York Liberty Development Corporation Revenue Bonds (World Trade Center) | ||||||||
| 3,560,000 | 0.320%, 5/5/2011c | 3,560,000 | ||||||
State of Wisconsin | ||||||||
| 1,750,000 | 0.370%, 9/16/2011 | 1,750,000 | ||||||
Texas Public Finance Authority | ||||||||
| 1,780,000 | 0.330%, 4/5/2011b | 1,780,000 | ||||||
| 1,770,000 | 0.330%, 4/6/2011b | 1,770,000 | ||||||
| 1,770,000 | 0.330%, 4/7/2011b | 1,770,000 | ||||||
| 885,000 | 0.330%, 4/12/2011b | 885,000 | ||||||
Total Other Municipal Debt | 19,947,571 | |||||||
Variable Rate Demand Note (12.2%)a | ||||||||
Andrew W. Mellon Foundation | ||||||||
| 2,230,000 | 0.330%, 1/7/2011c | 2,230,000 | ||||||
Denver, Colorado Airport System Revenue Bonds | ||||||||
| 2,000,000 | 0.320%, 1/7/2011b,c | 2,000,000 | ||||||
Lancaster County, Nebraska Hospital Authority No. 1 Hospital Revenue Refunding Bonds (BryanLGH Medical Center) | ||||||||
| 970,000 | 0.320%, 1/7/2011b,c | 970,000 | ||||||
Louisiana Housing Finance Agency Qualified Gulf Opportunity Zone Bonds (Canterbury House Apartments - Sherwood) | ||||||||
| 2,000,000 | 0.330%, 1/7/2011b,c | 2,000,000 | ||||||
Miami-Dade County, Florida Industrial Development Authority Revenue Bonds (American Public Media Group) | ||||||||
| 1,570,000 | 0.330%, 1/3/2011b,c | 1,570,000 | ||||||
Olathe, Kansas Health Facilities Revenue Bonds (Olathe Medical Center) | ||||||||
| 2,200,000 | 0.350%, 1/3/2011b,c | 2,200,000 | ||||||
Oregon Health and Science University Revenue Bonds | ||||||||
| 2,040,000 | 0.320%, 1/6/2011b,c | 2,040,000 | ||||||
Overseas Private Investment Corporation | ||||||||
| 2,241,379 | 0.320%, 1/5/2011b,c | 2,241,379 | ||||||
| 2,170,000 | 0.650%, 12/9/2011b,c | 2,170,000 | ||||||
Pitney Road Partners, LLC | ||||||||
| 1,480,000 | 0.440%, 1/3/2011b,c,d | 1,480,000 | ||||||
St. Cloud, Minnesota Health Care Refunding Revenue Bonds (CentraCare Health System) | ||||||||
| 2,050,000 | 0.300%, 1/7/2011b,c | 2,050,000 | ||||||
Total Variable Rate Demand Note | 20,951,379 | |||||||
Total Investments (at amortized cost) 100.0% | $ | 171,793,713 | ||||||
Other Assets and Liabilities, Net (<0.1%) | (27,130 | ) | ||||||
Total Net Assets 100.0% | $ | 171,766,583 | ||||||
| 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, institution or government. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2010. |
| 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, 2010, the value of these investments was $6,872,666 or 4.0% of total net assets. |
| Cost for federal income tax purposes | $ | 171,793,713 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
307
Table of Contents
Money Market Portfolio
Schedule of Investments as of December 31, 2010
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2010, 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.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Backed Commercial Paper | 27,150,445 | — | 27,150,445 | — | ||||||||||||
Financial Company Commercial Paper | 37,485,047 | — | 37,485,047 | — | ||||||||||||
Government Agency Debt | 41,483,868 | — | 41,483,868 | — | ||||||||||||
Investment Company | 8,163,000 | 8,163,000 | — | — | ||||||||||||
Other Commercial Paper | 16,612,403 | — | 16,612,403 | — | ||||||||||||
Other Municipal Debt | 19,947,571 | — | 19,947,571 | — | ||||||||||||
Variable Rate Demand Note | 20,951,379 | — | 20,951,379 | — | ||||||||||||
Total | $ | 171,793,713 | $ | 8,163,000 | $ | 163,630,713 | $ | — | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
308
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
309
Table of Contents
Statement of Assets and Liabilities
As of December 31, 2010 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 591,906,934 | $ | 2,538,623,398 | $ | 3,593,302,214 | $ | 1,576,056,736 | ||||||||
Investments in securities at market value | 198,604,707 | 642,053,917 | 867,490,179 | 443,410,136 | ||||||||||||
Investments in affiliates at market value | 389,852,782 | 1,865,320,561 | 2,705,430,422 | 1,148,670,237 | ||||||||||||
Investments at Market Value | 588,457,489 | 2,507,374,478 | 3,572,920,601 | 1,592,080,373 | ||||||||||||
Cash | 130,906 | 7,312 | 13,748 | 12,898 | ||||||||||||
Dividends and interest receivable | 395,615 | 1,722,577 | 2,838,016 | 1,511,172 | ||||||||||||
Prepaid expenses | 1,801 | 4,728 | 6,102 | 3,002 | ||||||||||||
Receivable for investments sold | 478,230 | 1,093,513 | 1,322,797 | 607,898 | ||||||||||||
Receivable for fund shares sold | 282,738 | 1,475,314 | 986,894 | 677,178 | ||||||||||||
Receivable from affiliate | — | — | — | — | ||||||||||||
Receivable for variation margin | 106,860 | 337,350 | 166,260 | 83,730 | ||||||||||||
Total Assets | 589,853,639 | 2,512,015,272 | 3,578,254,418 | 1,594,976,251 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 23,471 | 34,770 | 40,632 | 28,065 | ||||||||||||
Payable for investments purchased | 2,507,074 | 5,703,914 | 7,386,000 | 2,804,584 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | — | — | ||||||||||||
Payable for fund shares redeemed | 36,652 | 17,742 | 415,499 | 370,272 | ||||||||||||
Payable for variation margin | 13,125 | 105,375 | 268,455 | 84,000 | ||||||||||||
Payable to affiliate | 166,376 | 595,062 | 769,085 | 369,680 | ||||||||||||
Mortgage dollar roll deferred revenue | 1,899 | 4,096 | 5,461 | 2,168 | ||||||||||||
Total Liabilities | 2,748,597 | 6,460,959 | 8,885,132 | 3,658,769 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 573,751,758 | 2,454,387,986 | 3,448,845,889 | 1,513,882,336 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 7,673,941 | 52,006,434 | 86,827,001 | 38,931,043 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 9,151,632 | 29,963,729 | 52,501,223 | 21,340,579 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 20,599,225 | 50,485,309 | 53,488,502 | 25,479,723 | ||||||||||||
Affiliated investments | (24,048,670 | ) | (81,734,229 | ) | (73,870,115 | ) | (9,456,086 | ) | ||||||||
Futures contracts | (22,844 | ) | 445,084 | 1,576,786 | 1,139,887 | |||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 587,105,042 | $ | 2,505,554,313 | $ | 3,569,369,286 | $ | 1,591,317,482 | ||||||||
Shares of beneficial interest outstanding | 48,027,091 | 210,731,446 | 302,718,426 | 136,492,571 | ||||||||||||
Net asset value per share | $ | 12.22 | $ | 11.89 | $ | 11.79 | $ | 11.66 | ||||||||
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
| 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 | ||||||||||||||||||||
| $ | 30,662,844 | $ | 14,904,670 | $ | 21,740,501 | $ | 32,189,683 | $ | 328,663,341 | $ | 7,119,996 | $ | 182,309,037 | |||||||||||||
| 36,249,427 | 17,440,047 | 26,040,038 | 39,523,349 | 328,421,163 | 7,405,988 | 209,085,114 | ||||||||||||||||||||
| 5,439,525 | — | — | — | 28,278,375 | — | 29,124,371 | ||||||||||||||||||||
| 41,688,952 | 17,440,047 | 26,040,038 | 39,523,349 | 356,699,538 | 7,405,988 | 238,209,485 | ||||||||||||||||||||
| 65,258 | 542,225 | 2,585,909 | 1,468,887 | (a) | 569 | 478,695 | 7,401 | |||||||||||||||||||
| 22,120 | 31,421 | 16,645 | 31,150 | 1,224,954 | 15,900 | 33,749 | ||||||||||||||||||||
| 911 | 882 | 895 | 892 | 1,382 | 865 | 1,174 | ||||||||||||||||||||
| 49,673 | 50,899 | — | — | 7,058 | — | 2,363,670 | ||||||||||||||||||||
| 5,888 | 2,172 | 83,059 | 187,132 | 105,175 | 10,783 | 14,516 | ||||||||||||||||||||
| — | — | — | — | — | 4,119 | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 41,832,802 | 18,067,646 | 28,726,546 | 41,211,410 | 358,038,676 | 7,916,350 | 240,629,995 | ||||||||||||||||||||
| 14,864 | 9,215 | 9,103 | 27,821 | 39,728 | 9,303 | 26,180 | ||||||||||||||||||||
| 25,697 | 178,335 | — | 208,983 | 8,704 | — | 2,765,199 | ||||||||||||||||||||
| 5,439,525 | — | — | — | 28,278,375 | — | 29,124,371 | ||||||||||||||||||||
| 24,222 | 1,256 | 217 | 4,299 | 37,411 | 233 | 27,435 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 23,466 | 10,657 | 17,815 | 26,635 | 223,807 | — | 162,145 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 5,527,774 | 199,463 | 27,135 | 267,738 | 28,588,025 | 9,536 | 32,105,330 | ||||||||||||||||||||
| 36,221,981 | 14,742,843 | 24,663,670 | 34,308,411 | 320,810,085 | 8,392,936 | 193,930,652 | ||||||||||||||||||||
| (10,525) | (5,246 | ) | (16,267 | ) | 147,723 | (32,857 | ) | 190,394 | (210,701 | ) | ||||||||||||||||
| (10,932,536) | 593,167 | (247,660 | ) | (848,064 | ) | (19,362,039 | ) | (962,580 | ) | (41,095,734 | ) | |||||||||||||||
| 11,026,108 | 2,535,377 | 4,299,537 | 7,333,666 | 28,036,197 | 285,992 | 55,900,448 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | 2,042 | 131 | 1,936 | (735 | ) | 72 | — | |||||||||||||||||||
| $36,305,028 | $ | 17,868,183 | $ | 28,699,411 | $ | 40,943,672 | $ | 329,450,651 | $ | 7,906,814 | $ | 208,524,665 | ||||||||||||||
| 5,104,140 | 1,478,726 | 3,001,408 | 3,307,689 | 22,734,271 | 976,709 | 16,141,326 | ||||||||||||||||||||
| $7.11 | $ | 12.08 | $ | 9.56 | $ | 12.38 | $ | 14.49 | $ | 8.10 | $ | 12.92 | ||||||||||||||
| (a) | Includes foreign currency holdings of $56,479 (cost $54,621). |
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, 2010 | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 239,491,946 | $ | 262,609,946 | $ | 195,022,269 | $ | 126,594,107 | ||||||||
Investments in securities at market value | 266,496,586 | 303,466,065 | 220,111,902 | 160,278,990 | ||||||||||||
Investments in affiliates at market value | 19,198,200 | 13,642,150 | 17,693,984 | 4,709,450 | ||||||||||||
Investments at Market Value | 285,694,786 | 317,108,215 | 237,805,886 | 164,988,440 | ||||||||||||
Cash | 910 | 147,491 | 65,312 | 2,556 | ||||||||||||
Dividends and interest receivable | 316,008 | 100,271 | 178,589 | 44,317 | ||||||||||||
Prepaid expenses | 1,304 | 1,343 | 1,236 | 1,098 | ||||||||||||
Receivable for investments sold | 311,685 | — | — | — | ||||||||||||
Receivable for fund shares sold | 39,787 | 85,686 | 23,956 | 3,873 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable from affiliate | — | — | — | — | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 286,364,480 | 317,443,006 | 238,074,979 | 165,040,284 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 30,717 | 45,960 | 52,088 | 19,177 | ||||||||||||
Payable for investments purchased | — | 114,781 | 46,293 | — | ||||||||||||
Payable upon return of collateral for securities loaned | 19,198,200 | 13,642,150 | 17,693,984 | 4,709,450 | ||||||||||||
Payable for fund shares redeemed | 10,429 | 52,936 | 82,573 | 163 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | — | 171,062 | 30,143 | — | ||||||||||||
Payable to affiliate | 186,252 | 178,814 | 68,724 | 83,475 | ||||||||||||
Total Liabilities | 19,425,598 | 14,205,703 | 17,973,805 | 4,812,265 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 227,188,248 | 324,221,385 | 174,528,536 | 116,131,973 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 13,432 | (38,794 | ) | 1,708,671 | 127,388 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (6,465,638 | ) | (75,871,975 | ) | 1,043,931 | 5,574,325 | ||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 46,202,840 | 54,498,269 | 42,783,617 | 38,394,333 | ||||||||||||
Futures contracts | — | 428,418 | 36,419 | — | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 266,938,882 | $ | 303,237,303 | $ | 220,101,174 | $ | 160,228,019 | ||||||||
Shares of beneficial interest outstanding | 14,002,739 | 23,945,656 | 16,691,615 | 16,099,411 | ||||||||||||
Net asset value per share | $ | 19.06 | $ | 12.66 | $ | 13.19 | $ | 9.95 | ||||||||
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
Mid Cap | 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 | ||||||||||||||||||||
| $ | 347,440,237 | $ | 192,513,727 | $ | 431,619,357 | $ | 79,980,334 | $ | 452,128,945 | $ | 805,541,784 | $ | 3,771,999 | |||||||||||||
| 420,106,512 | 233,144,860 | 511,431,863 | 94,205,921 | 525,795,018 | 888,256,012 | 4,410,349 | ||||||||||||||||||||
| 9,754,800 | 6,220,480 | 33,032,547 | 5,212,131 | — | 7,579,024 | — | ||||||||||||||||||||
| 429,861,312 | 239,365,340 | 544,464,410 | 99,418,052 | 525,795,018 | 895,835,036 | 4,410,349 | ||||||||||||||||||||
| 5,022 | 3,482 | 229 | 563 | 975,022 | (a) | 2,553 | (b) | 15,332 | ||||||||||||||||||
| 107,150 | 347,725 | 410,137 | 75,185 | 1,377,986 | 1,552,363 | 4,024 | ||||||||||||||||||||
| 1,542 | 1,225 | 1,678 | 1,018 | 1,439 | 2,420 | 861 | ||||||||||||||||||||
| — | — | — | — | 127,037 | 287,290 | — | ||||||||||||||||||||
| 90,315 | 5,812 | 33,505 | 26,399 | 79,906 | 32,025 | — | ||||||||||||||||||||
| — | — | — | — | 78,951 | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | 6,111 | ||||||||||||||||||||
| — | — | — | — | 62,629 | — | — | ||||||||||||||||||||
| 430,065,341 | 239,723,584 | 544,909,959 | 99,521,217 | 528,497,988 | 897,711,687 | 4,436,677 | ||||||||||||||||||||
| 63,495 | 23,004 | 51,024 | 21,072 | 62,291 | 129,912 | 9,215 | ||||||||||||||||||||
| — | 1,167,267 | — | — | 5,245,915 | — | — | ||||||||||||||||||||
| 9,754,800 | 6,220,480 | 33,032,547 | 5,212,131 | — | 7,579,024 | — | ||||||||||||||||||||
| 188,839 | 239 | 51,508 | 66,001 | 339 | 94,140 | 175 | ||||||||||||||||||||
| — | — | — | — | 175,375 | 3,388 | — | ||||||||||||||||||||
| — | — | — | 15,750 | 10,500 | — | — | ||||||||||||||||||||
| 148,870 | 149,845 | 298,347 | 29,471 | 398,394 | 565,791 | — | ||||||||||||||||||||
| 10,156,004 | 7,560,835 | 33,433,426 | 5,344,425 | 5,892,814 | 8,372,255 | 9,390 | ||||||||||||||||||||
| 382,720,000 | 208,708,236 | 488,875,306 | 71,372,673 | 461,764,457 | 1,088,168,998 | 4,404,773 | ||||||||||||||||||||
| 1,151,918 | 476,775 | 138,855 | 698,930 | (925,747 | ) | (589,578 | ) | (5,207 | ) | |||||||||||||||||
| (46,383,656 | ) | (23,873,875 | ) | (90,382,681 | ) | 2,644,383 | (11,715,496 | ) | (288,639,705 | ) | (610,629 | ) | ||||||||||||||
| 82,421,075 | 46,851,613 | 112,845,053 | 19,437,718 | 73,666,073 | 90,293,252 | 638,350 | ||||||||||||||||||||
| — | — | — | 23,088 | (114,028 | ) | — | — | |||||||||||||||||||
| — | — | — | — | (96,424 | ) | (3,388 | ) | — | ||||||||||||||||||
| — | — | — | — | 26,339 | 109,853 | — | ||||||||||||||||||||
| $419,909,337 | $ | 232,162,749 | $ | 511,476,533 | $ | 94,176,792 | $ | 522,605,174 | $ | 889,339,432 | $ | 4,427,287 | ||||||||||||||
| 22,619,811 | 17,345,631 | 41,737,720 | 7,293,466 | 59,570,863 | 83,330,870 | 427,665 | ||||||||||||||||||||
| $ | 18.56 | $ | 13.38 | $ | 12.25 | $ | 12.91 | $ | 8.77 | $ | 10.67 | $ | 10.35 | |||||||||||||
| (a) | Includes foreign currency holdings of $197,950 (cost $192,448). |
| (b) | Includes foreign currency holdings of $1,126 (cost $1,136). |
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, 2010 | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 8,833,521 | $ | 6,229,834 | $ | 53,111,508 | $ | 362,101,391 | ||||||||
Investments in securities at market value | 11,527,571 | 7,168,405 | 62,221,544 | 387,555,648 | ||||||||||||
Investments in affiliates at market value | — | — | 488,000 | 21,183,150 | ||||||||||||
Investments at Market Value | 11,527,571 | 7,168,405 | 62,709,544 | 408,738,798 | ||||||||||||
Cash | 413,686 | 211,615 | — | 4,486 | ||||||||||||
Dividends and interest receivable | 2,028 | 5,016 | 46,742 | 243,652 | ||||||||||||
Prepaid expenses | 870 | 865 | 969 | 1,522 | ||||||||||||
Receivable for investments sold | 16,784 | 147,401 | 284,531 | 1,697,617 | ||||||||||||
Receivable for fund shares sold | 25,970 | 450 | 4,042 | 3,650 | ||||||||||||
Receivable from affiliate | 45 | 5,448 | — | — | ||||||||||||
Total Assets | 11,986,954 | 7,539,200 | 63,045,828 | 410,689,725 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 9,333 | 10,043 | 15,503 | 31,254 | ||||||||||||
Other liabilities | — | — | 2,114 | — | ||||||||||||
Payable for investments purchased | 215,293 | 156,254 | 10,665 | 4,179,235 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | 488,000 | 21,183,150 | ||||||||||||
Payable for fund shares redeemed | 3,941 | 15,219 | 65,418 | 303 | ||||||||||||
Open options written, at value | — | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | — | — | 40,489 | 183,586 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 228,567 | 181,516 | 622,189 | 25,577,528 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 10,162,872 | 7,403,131 | 72,322,077 | 330,741,856 | ||||||||||||
Accumulated undistributed net investment income/(loss) | (5,260 | ) | 39,887 | 277,270 | 520,973 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (1,093,275 | ) | (1,023,905 | ) | (19,773,744 | ) | 7,211,961 | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 2,694,050 | 938,571 | 9,598,036 | 46,637,407 | ||||||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 11,758,387 | $ | 7,357,684 | $ | 62,423,639 | $ | 385,112,197 | ||||||||
Shares of beneficial interest outstanding | 1,168,144 | 809,153 | 6,994,036 | 55,491,557 | ||||||||||||
Net asset value per share | $ | 10.07 | $ | 9.09 | $ | 8.93 | $ | 6.94 | ||||||||
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
Large Cap | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | ||||||||||||||||||||
| $ | 845,468,735 | $ | 39,112,411 | $ | 695,488,215 | $ | 563,302,890 | $ | 295,397,224 | $ | 67,567,601 | $ | 270,928,814 | |||||||||||||
| 977,961,696 | 60,878,414 | 804,004,256 | 627,644,413 | 331,423,453 | 74,406,557 | 293,916,462 | ||||||||||||||||||||
| 26,672,700 | 669,650 | 24,701,033 | 18,613,928 | 1,725,760 | — | 962,860 | ||||||||||||||||||||
| 1,004,634,396 | 61,548,064 | 828,705,289 | 646,258,341 | 333,149,213 | 74,406,557 | 294,879,322 | ||||||||||||||||||||
| 5,022 | 421,404 | 2,473 | 6,579 | 4,543 | 2,026,328 | 358,550 | ||||||||||||||||||||
| 2,281,760 | 36,179 | 1,217,024 | 627,326 | 386,562 | 142,988 | 710,681 | ||||||||||||||||||||
| 2,715 | 964 | 2,262 | 1,990 | 1,467 | 963 | 1,364 | ||||||||||||||||||||
| 16,639,384 | 120,176 | 8,020,448 | 4,110,843 | — | — | 2,659,375 | ||||||||||||||||||||
| 80,893 | 33,608 | 20,842 | 11,796 | 35,208 | 58,900 | 49,309 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 1,023,644,170 | 62,160,395 | 837,968,338 | 651,016,875 | 333,576,993 | 76,635,736 | 298,658,601 | ||||||||||||||||||||
| 198,935 | 16,268 | 85,046 | 83,310 | 79,368 | 10,722 | 72,432 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 12,951,143 | — | 1,334,883 | 3,472,070 | — | 250,087 | 26,833,484 | ||||||||||||||||||||
| 26,672,700 | 669,650 | 24,701,033 | 18,613,928 | 1,725,760 | — | 962,860 | ||||||||||||||||||||
| 170,425 | 9,865 | 144,634 | 60,330 | 132,164 | 1,321 | 87,099 | ||||||||||||||||||||
| — | — | — | 118,125 | — | 19,687 | — | ||||||||||||||||||||
| — | — | — | 42,379 | 10,129 | 9,832 | 3,758 | ||||||||||||||||||||
| 348,439 | 37,525 | 419,645 | 345,330 | 100,081 | 41,416 | 83,906 | ||||||||||||||||||||
| — | — | — | — | — | — | 21,993 | ||||||||||||||||||||
| 40,341,642 | 733,308 | 26,685,241 | 22,735,472 | 2,047,502 | 333,065 | 28,065,532 | ||||||||||||||||||||
| 1,380,709,094 | 49,162,554 | 862,824,195 | 698,915,240 | 317,045,749 | 79,217,368 | 238,586,001 | ||||||||||||||||||||
| 137,213 | (11,051 | ) | 131,811 | 11,693 | 5,235,385 | 232,290 | 5,723,736 | |||||||||||||||||||
| (556,709,440 | ) | (10,159,677 | ) | (184,889,983 | ) | (154,305,681 | ) | (28,589,781 | ) | (10,133,452 | ) | 2,332,398 | ||||||||||||||
| 159,165,661 | 22,435,653 | 133,217,074 | 82,955,451 | 37,751,989 | 6,838,956 | 23,950,508 | ||||||||||||||||||||
| — | — | — | 8,625 | — | 1,438 | — | ||||||||||||||||||||
| — | — | — | 696,075 | 86,149 | 146,071 | 426 | ||||||||||||||||||||
| — | (392 | ) | — | — | — | — | — | |||||||||||||||||||
| $ | 983,302,528 | $ | 61,427,087 | $ | 811,283,097 | $ | 628,281,403 | $ | 331,529,491 | $ | 76,302,671 | $ | 270,593,069 | |||||||||||||
| 57,902,231 | 5,304,264 | 75,630,342 | 73,910,575 | 18,720,416 | 8,423,241 | 18,386,160 | ||||||||||||||||||||
| $ | 16.98 | $ | 11.58 | $ | 10.73 | $ | 8.50 | $ | 17.71 | $ | 9.06 | $ | 14.72 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
315
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2010 | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 791,312,846 | $ | 105,211,911 | $ | 8,171,507 | $ | 1,319,678,353 | ||||||||
Investments in securities at market value | 768,236,629 | 105,189,843 | 8,299,209 | 1,327,038,247 | ||||||||||||
Investments in affiliates at market value | 58,703,553 | 5,464,100 | — | 31,619,180 | ||||||||||||
Investments at Market Value | 826,940,182 | 110,653,943 | 8,299,209 | 1,358,657,427 | ||||||||||||
Cash | 277,058 | 89,510 | 384,536 | 2,056 | ||||||||||||
Dividends and interest receivable | 14,060,231 | 913,715 | 67,893 | 15,489,188 | ||||||||||||
Prepaid expenses | 2,249 | 1,018 | 864 | 3,219 | ||||||||||||
Receivable for investments sold | 361,556 | — | 19,762 | 8,408,924 | ||||||||||||
Receivable for fund shares sold | 526,035 | 94,419 | 34,586 | 223,255 | ||||||||||||
Swap agreements, at value | — | — | — | 72,538 | ||||||||||||
Receivable from affiliate | — | — | 5,296 | — | ||||||||||||
Receivable for variation margin | — | 10,000 | 5,406 | 758,670 | ||||||||||||
Total Assets | 842,167,311 | 111,762,605 | 8,817,552 | 1,383,615,277 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 91,800 | 20,122 | 9,372 | 132,125 | ||||||||||||
Payable for investments purchased | — | — | — | 46,276,077 | ||||||||||||
Payable upon return of collateral for securities loaned | 58,703,553 | 5,464,100 | — | 13,325,870 | ||||||||||||
Payable for fund shares redeemed | 106,865 | 10,977 | 118 | 145,431 | ||||||||||||
Open options written, at value | — | 11,812 | — | — | ||||||||||||
Swap agreements, at value | — | 202,669 | — | 110,549 | ||||||||||||
Payable for variation margin | — | 6,990 | 5,984 | 915,461 | ||||||||||||
Payable to affiliate | 276,592 | 37,292 | — | 462,031 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | 35,777 | ||||||||||||
Total Liabilities | 59,178,810 | 5,753,962 | 15,474 | 61,403,321 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 1,243,664,196 | 114,551,302 | 8,705,612 | 1,332,541,652 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 529,058 | 5,812,376 | (1,422 | ) | 393,275 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (496,832,089 | ) | (19,538,900 | ) | (10,956 | ) | (53,641,722 | ) | ||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 35,627,336 | 5,442,032 | 127,702 | 33,985,764 | ||||||||||||
Affiliated investments | — | — | — | 4,993,310 | ||||||||||||
Written option contracts | — | 863 | — | — | ||||||||||||
Futures contracts | — | 46,990 | (18,858 | ) | 4,079,620 | |||||||||||
Swap agreements | — | (306,020 | ) | — | (139,943 | ) | ||||||||||
Total Net Assets | $ | 782,988,501 | $ | 106,008,643 | $ | 8,802,078 | $ | 1,322,211,956 | ||||||||
Shares of beneficial interest outstanding | 162,704,038 | 15,714,255 | 853,351 | 132,800,849 | ||||||||||||
Net asset value per share | $ | 4.81 | $ | 6.75 | $ | 10.31 | $ | 9.96 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
316
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 | |||||||||||
| $209,672,795 | $ | 1,342,313,066 | $ | 56,010,455 | $ | 171,793,713 | ||||||||
| 208,064,259 | 1,305,079,711 | 55,150,671 | 171,793,713 | |||||||||||
| 357,000 | 30,957,576 | — | — | |||||||||||
| 208,421,259 | 1,336,037,287 | 55,150,671 | 171,793,713 | a | ||||||||||
| 862,342 | 812 | 1,085 | 4,934 | |||||||||||
| 953,403 | 7,688,059 | 41,590 | 36,554 | |||||||||||
| 1,140 | 2,932 | 912 | 1,250 | |||||||||||
| 4,255,000 | 254,721 | 612,031 | — | |||||||||||
| 55,581 | 417,059 | 19,931 | 56,581 | |||||||||||
| — | — | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | 5,625 | 2,266 | — | |||||||||||
| 214,548,725 | 1,344,406,495 | 55,828,486 | 171,893,032 | |||||||||||
| 38,278 | 102,827 | 14,322 | 5,908 | |||||||||||
| 52,616,094 | 13,224,468 | 22,253,688 | — | |||||||||||
| 357,000 | 10,590,250 | — | — | |||||||||||
| 42,746 | 76,822 | 2,209 | 90,628 | |||||||||||
| — | — | — | — | |||||||||||
| — | 413,679 | — | — | |||||||||||
| — | 789,998 | — | — | |||||||||||
| 51,182 | 460,260 | 14,840 | 29,913 | |||||||||||
| 56,595 | 13,178 | 15,386 | — | |||||||||||
| 53,161,895 | 25,671,482 | 22,300,445 | 126,449 | |||||||||||
| 161,949,299 | 1,334,124,720 | 34,429,090 | 171,766,583 | |||||||||||
| 9,363 | (141,600 | ) | — | — | ||||||||||
| 679,704 | (13,603,540 | ) | (25,547 | ) | — | |||||||||
| (1,251,536) | (11,143,106 | ) | (859,784 | ) | — | |||||||||
| — | 4,867,327 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | 4,843,964 | (15,718 | ) | — | ||||||||||
| — | (212,752 | ) | — | — | ||||||||||
| $161,386,830 | $ | 1,318,735,013 | $ | 33,528,041 | $ | 171,766,583 | ||||||||
| 15,045,436 | 134,536,171 | 3,247,501 | 171,766,583 | |||||||||||
| $10.73 | $ | 9.80 | �� | $ | 10.32 | $ | 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.
317
Table of Contents
Statement of Operations
For the year ended December 31, 2010 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 1,223,125 | $ | 2,869,899 | $ | 2,832,028 | $ | 1,331,594 | ||||||||
Interest | 1,234,357 | 7,880,055 | 14,402,178 | 7,358,005 | ||||||||||||
Income from mortgage dollar rolls | 32,782 | 70,221 | 96,164 | 35,797 | ||||||||||||
Income from securities loaned | — | — | — | — | ||||||||||||
Income from affiliated investments | 4,233,008 | 35,326,813 | 66,551,633 | 31,425,203 | ||||||||||||
Foreign dividend tax withholding | (1,480 | ) | (3,169 | ) | (3,396 | ) | (1,449 | ) | ||||||||
Total Investment Income | 6,721,792 | 46,143,819 | 83,878,607 | 40,149,150 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 1,724,343 | 5,493,706 | 6,884,566 | 3,162,393 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 183,888 | 515,684 | 687,377 | 339,686 | ||||||||||||
Audit and legal fees | 26,210 | 56,408 | 70,120 | 37,895 | ||||||||||||
Custody fees | 62,570 | 73,950 | 84,115 | 67,980 | ||||||||||||
Insurance expenses | 7,116 | 18,211 | 23,445 | 11,686 | ||||||||||||
Directors’ fees | 10,814 | 20,450 | 25,294 | 14,633 | ||||||||||||
Other expenses | 13,103 | 15,800 | 16,678 | 14,378 | ||||||||||||
Total Expenses Before Reimbursement | 2,028,044 | 6,194,209 | 7,791,595 | 3,648,651 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (238,364 | ) | — | — | — | |||||||||||
Custody earnings credit | (483 | ) | (272 | ) | (420 | ) | (393 | ) | ||||||||
Total Net Expenses | 1,789,197 | 6,193,937 | 7,791,175 | 3,648,258 | ||||||||||||
Net Investment Income/(Loss) | 4,932,595 | 39,949,882 | 76,087,432 | 36,500,892 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 6,025,987 | 16,241,010 | 19,512,619 | 9,571,535 | ||||||||||||
Affiliated investments | (2,127,319 | ) | 1,394,433 | 765,981 | �� | 691,974 | ||||||||||
Distributions of realized capital gains from affiliated investments | 6,307,636 | 23,794,659 | 20,373,236 | 4,471,271 | ||||||||||||
Futures contracts | 2,772,766 | 14,270,595 | 34,528,428 | 10,075,699 | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Swap agreements | (110,966 | ) | (1,293,431 | ) | (1,635,756 | ) | (477,134 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 15,640,256 | 41,044,429 | 43,497,849 | 19,558,618 | ||||||||||||
Affiliated investments | 54,269,359 | 192,392,449 | 215,434,178 | 66,050,270 | ||||||||||||
Futures contracts | (1,020,711 | ) | (2,978,867 | ) | (3,106,061 | ) | 331,034 | |||||||||
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) | 81,885,866 | 286,373,408 | 331,241,210 | 110,829,065 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 86,818,461 | $ | 326,323,290 | $ | 407,328,642 | $ | 147,329,957 | ||||||||
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
Partner | Partner Healthcare Portfolio | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | ||||||||||||||||||||
| $ | 138,729 | $ | 208,288 | $ | 273,112 | $ | 632,172 | $ | 7,257,878 | $ | 261,800 | $ | 525,492 | |||||||||||||
| 86 | 4 | 2,130 | — | 78,710 | 4 | 6,887 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 43,053 | — | — | — | 107,356 | — | 157,747 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (11,974 | ) | (12,515 | ) | (54,130 | ) | (10,403 | ) | (3,482 | ) | (114 | ) | ||||||||||||||
| 181,868 | 196,318 | 262,727 | 578,042 | 7,433,541 | 258,322 | 690,012 | ||||||||||||||||||||
| 94,375 | 47,509 | 69,346 | 110,952 | 2,389,335 | 20,882 | 632,862 | ||||||||||||||||||||
| 141,562 | 102,936 | 104,018 | 198,748 | — | 31,323 | 1,119,466 | ||||||||||||||||||||
| 86,291 | 83,167 | 84,623 | 85,162 | 139,733 | 81,392 | 115,046 | ||||||||||||||||||||
| 16,699 | 16,333 | 16,479 | 23,034 | 21,668 | 16,201 | 19,331 | ||||||||||||||||||||
| 6,400 | 4,632 | 5,003 | 46,327 | 14,947 | 5,834 | 37,374 | ||||||||||||||||||||
| 3,700 | 3,575 | 3,610 | 3,596 | 5,377 | 3,514 | 4,676 | ||||||||||||||||||||
| 4,934 | 4,332 | 4,332 | 4,332 | 17,079 | 4,332 | 11,387 | ||||||||||||||||||||
| 7,046 | 7,992 | 8,872 | 12,708 | 9,011 | 9,392 | 9,266 | ||||||||||||||||||||
| 361,007 | 270,476 | 296,283 | 484,859 | 2,597,150 | 172,870 | 1,949,408 | ||||||||||||||||||||
| — | (49,760 | ) | (19,930 | ) | (96,795 | ) | — | (109,719 | ) | (175,232 | ) | |||||||||||||||
| (356 | ) | (593 | ) | (1,283 | ) | (939 | ) | (499 | ) | (505 | ) | (1,575 | ) | |||||||||||||
| 360,651 | 220,123 | 275,070 | 387,125 | 2,596,651 | 62,646 | 1,772,601 | ||||||||||||||||||||
| (178,783 | ) | (23,805 | ) | (12,343 | ) | 190,917 | 4,836,890 | 195,676 | (1,082,589 | ) | ||||||||||||||||
| 3,132,366 | 618,839 | (6,424 | ) | 8,332 | (a) | 7,698,310 | (293,057 | ) | 22,505,875 | |||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (1,858 | ) | (953 | ) | (27,970 | ) | — | (2,096 | ) | — | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 4,253,477 | 1,032,702 | 3,874,480 | 6,532,318 | 60,495,956 | 605,286 | 25,265,662 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | (429 | ) | — | — | — | |||||||||||||||||||
| — | 1,137 | 80 | 1,671 | (255 | ) | 81 | — | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 7,385,843 | 1,650,820 | 3,867,183 | 6,513,922 | 68,194,011 | 310,214 | 47,771,537 | ||||||||||||||||||||
| $ | 7,207,060 | $ | 1,627,015 | $ | 3,854,840 | $ | 6,704,839 | $ | 73,030,901 | $ | 505,890 | $ | 46,688,948 | |||||||||||||
| (a) | Includes foreign capital gain taxes paid of $1,989. |
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, 2010 | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 3,959,361 | $ | 1,563,188 | $ | 2,453,995 | $ | 1,115,211 | ||||||||
Interest | 5,685 | 37,589 | 4,943 | 10,090 | ||||||||||||
Income from securities loaned | 28,916 | 149,475 | 208,235 | 28,305 | ||||||||||||
Foreign dividend tax withholding | (2,751 | ) | (1,060 | ) | — | (17,532 | ) | |||||||||
Total Investment Income | 3,991,211 | 1,749,192 | 2,667,173 | 1,136,074 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 489,029 | 1,821,134 | 710,544 | 1,226,107 | ||||||||||||
Sub-Adviser fees | 1,467,087 | — | — | — | ||||||||||||
Administrative service fees | 128,903 | 132,958 | 120,602 | 107,247 | ||||||||||||
Audit and legal fees | 20,697 | 21,550 | 20,322 | 18,612 | ||||||||||||
Custody fees | 14,349 | 33,409 | 38,042 | 11,718 | ||||||||||||
Insurance expenses | 5,155 | 5,540 | 4,990 | 4,392 | ||||||||||||
Directors’ fees | 14,534 | 16,777 | 15,390 | 10,352 | ||||||||||||
Other expenses | 9,205 | 9,585 | 14,385 | 8,147 | ||||||||||||
Total Expenses Before Reimbursement | 2,148,959 | 2,040,953 | 924,275 | 1,386,575 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | — | (408,702 | ) | |||||||||||
Custody earnings credit | (532 | ) | (121 | ) | (759 | ) | (447 | ) | ||||||||
Total Net Expenses | 2,148,427 | 2,040,832 | 923,516 | 977,426 | ||||||||||||
Net Investment Income/(Loss) | 1,842,784 | (291,640 | ) | 1,743,657 | 158,648 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 6,589,191 | 53,825,562 | 13,026,329 | 17,017,642 | ||||||||||||
Futures contracts | — | 1,592,368 | 188,802 | — | ||||||||||||
Foreign currency transactions | 360 | (596 | ) | — | — | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 44,504,600 | 6,186,570 | 32,386,112 | 18,083,987 | ||||||||||||
Futures contracts | — | 428,418 | (76,863 | ) | — | |||||||||||
Foreign currency forward contracts | — | 5,249 | — | — | ||||||||||||
Foreign currency transactions | — | (4,653 | ) | — | — | |||||||||||
| Net Realized and Unrealized Gains/(Losses) | 51,094,151 | 62,032,918 | 45,524,380 | 35,101,629 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 52,936,935 | $ | 61,741,278 | $ | 47,268,037 | $ | 35,260,277 | ||||||||
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
| 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 | ||||||||||||||||||||
| $ | 2,952,136 | $ | 3,139,026 | $ | 5,287,220 | $ | 1,145,980 | $ | 8,828,891 | $ | 25,068,490 | $ | 43,063 | |||||||||||||
| 24,544 | 7,194 | 27,906 | 1,399 | 2,213,972 | 22,583 | — | ||||||||||||||||||||
| 59,300 | 41,233 | 29,973 | 31,570 | — | 623,757 | — | ||||||||||||||||||||
| (42,137 | ) | �� | — | — | — | (787,275 | ) | (2,367,118 | ) | (836 | ) | |||||||||||||||
| 2,993,843 | 3,187,453 | 5,345,099 | 1,178,949 | 10,255,588 | 23,347,712 | 42,227 | ||||||||||||||||||||
| 1,497,500 | 546,765 | 3,039,291 | 306,186 | 1,406,018 | 3,988,082 | 12,253 | ||||||||||||||||||||
| — | 980,586 | — | — | 1,911,432 | 2,935,670 | 20,422 | ||||||||||||||||||||
| 154,875 | 120,729 | 170,440 | 97,496 | 155,116 | 246,844 | 80,817 | ||||||||||||||||||||
| 23,547 | 19,790 | 25,273 | 17,864 | 37,175 | 34,514 | 17,453 | ||||||||||||||||||||
| 19,402 | 29,224 | 30,496 | 25,203 | 332,329 | 264,050 | 2,400 | ||||||||||||||||||||
| 6,170 | 4,855 | 6,821 | 4,122 | 5,465 | 9,751 | 3,498 | ||||||||||||||||||||
| 23,676 | 12,091 | 23,302 | 6,641 | 16,723 | 42,932 | 4,332 | ||||||||||||||||||||
| 9,822 | 8,292 | 10,264 | 11,597 | 73,267 | 41,198 | 7,081 | ||||||||||||||||||||
| 1,734,992 | 1,722,332 | 3,305,887 | 469,109 | 3,937,525 | 7,563,041 | 148,256 | ||||||||||||||||||||
| — | — | — | — | (177,486 | ) | (651,214 | ) | (108,191 | ) | |||||||||||||||||
| (74 | ) | (493 | ) | (149 | ) | (707 | ) | (4,216 | ) | (453 | ) | (39 | ) | |||||||||||||
| 1,734,918 | 1,721,839 | 3,305,738 | 468,402 | 3,755,823 | 6,911,374 | 40,026 | ||||||||||||||||||||
| 1,258,925 | 1,465,614 | 2,039,361 | 710,547 | 6,499,765 | 16,436,338 | 2,201 | ||||||||||||||||||||
| 34,366,352 | 19,361,980 | 36,061,225 | 5,839,547 | 6,638,796 | 8,370,089 | (a) | (9,014 | ) | ||||||||||||||||||
| — | �� | — | 350,668 | (965,519 | ) | — | — | |||||||||||||||||||
| — | — | — | — | (542,261 | ) | (1,085,913 | ) | — | ||||||||||||||||||
| 62,196,129 | 25,881,479 | 69,833,782 | 13,551,670 | 46,890,369 | 46,486,530 | 709,608 | ||||||||||||||||||||
| — | — | — | (36,800 | ) | (123,199 | ) | — | — | ||||||||||||||||||
| — | — | — | — | (142,049 | ) | (3,942 | ) | — | ||||||||||||||||||
| — | — | — | — | 26,690 | 92,742 | — | ||||||||||||||||||||
| 96,562,481 | 45,243,459 | 105,895,007 | 19,705,085 | 51,782,827 | 53,859,506 | 700,594 | ||||||||||||||||||||
| $ | 97,821,406 | $ | 46,709,073 | $ | 107,934,368 | $ | 20,415,632 | $ | 58,282,592 | $ | 70,295,844 | $ | 702,795 | |||||||||||||
| (a) | Includes foreign capital gain taxes paid of $96,717. |
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, 2010 | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 76,135 | $ | 86,470 | $ | 894,076 | $ | 3,293,248 | ||||||||
Interest | 1 | — | 156 | 20,163 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | — | — | 3,654 | 18,656 | ||||||||||||
Foreign dividend tax withholding | (457 | ) | (671 | ) | (1,158 | ) | (12,665 | ) | ||||||||
Total Investment Income | 75,679 | 85,799 | 896,728 | 3,319,402 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 27,087 | 18,649 | 210,070 | 2,828,640 | ||||||||||||
Sub-Adviser fees | 58,690 | 27,973 | 360,121 | — | ||||||||||||
Administrative service fees | 81,806 | 81,243 | 92,004 | 150,716 | ||||||||||||
Audit and legal fees | 16,225 | 16,175 | 17,375 | 23,464 | ||||||||||||
Custody fees | 4,860 | 12,907 | 36,679 | 28,088 | ||||||||||||
Insurance expenses | 3,524 | 3,507 | 3,936 | 6,208 | ||||||||||||
Directors’ fees | 4,332 | 4,332 | 4,837 | 19,327 | ||||||||||||
Other expenses | 7,505 | 7,149 | 8,050 | 9,018 | ||||||||||||
Total Expenses Before Reimbursement | 204,029 | 171,935 | 733,072 | 3,065,461 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (113,446 | ) | (110,619 | ) | (120,041 | ) | (883,950 | ) | ||||||||
Custody earnings credit | (291 | ) | (396 | ) | (601 | ) | (178 | ) | ||||||||
Total Net Expenses | 90,292 | 60,920 | 612,430 | 2,181,333 | ||||||||||||
Net Investment Income/(Loss) | (14,613 | ) | 24,879 | 284,298 | 1,138,069 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 156,516 | 439,956 | 5,317,492 | 42,653,802 | ||||||||||||
Written option contracts | — | — | — | 53,646 | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 1,970,797 | 630,686 | 3,419,746 | (14,272,589 | ) | |||||||||||
Written option contracts | — | — | — | 2,234 | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 2,127,313 | 1,070,642 | 8,737,238 | 28,437,093 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 2,112,700 | $ | 1,095,521 | $ | 9,021,536 | $ | 29,575,162 | ||||||||
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
| 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 | ||||||||||||||||||||
| $ | 9,634,286 | $ | 446,691 | $ | 15,177,443 | $ | 8,429,447 | $ | 6,610,036 | $ | 1,512,852 | $ | 3,643,215 | |||||||||||||
| 32,894 | 5 | 26,658 | 99,227 | 6,149 | 284,958 | 2,561,391 | ||||||||||||||||||||
| — | — | — | — | — | — | 755,401 | ||||||||||||||||||||
| 43,952 | 1,086 | 17,823 | 18,794 | 19,293 | — | 10,237 | ||||||||||||||||||||
| (26,952 | ) | (5,410 | ) | (19,072 | ) | (11,551 | ) | — | (22,362 | ) | — | |||||||||||||||
| 9,684,180 | 442,372 | 15,202,852 | 8,535,917 | 6,635,478 | 1,775,448 | 6,970,244 | ||||||||||||||||||||
| 3,835,501 | 232,324 | 4,476,658 | 3,810,084 | 1,090,682 | 396,100 | 938,495 | ||||||||||||||||||||
| — | 232,324 | — | — | — | — | — | ||||||||||||||||||||
| 271,775 | 91,616 | 229,222 | 199,481 | 144,379 | 92,188 | 134,233 | ||||||||||||||||||||
| 38,392 | 17,332 | 31,277 | 28,761 | 23,134 | 17,193 | 21,970 | ||||||||||||||||||||
| 55,424 | 21,143 | 26,145 | 46,780 | 41,008 | 20,483 | 40,988 | ||||||||||||||||||||
| 10,997 | 3,920 | 9,055 | 7,953 | 5,975 | 3,882 | 5,597 | ||||||||||||||||||||
| 60,240 | 4,989 | 39,445 | 33,982 | 23,812 | 4,713 | 21,256 | ||||||||||||||||||||
| 13,521 | 8,616 | 11,586 | 11,136 | 14,251 | 10,349 | 23,529 | ||||||||||||||||||||
| 4,285,850 | 612,264 | 4,823,388 | 4,138,177 | 1,343,241 | 544,908 | 1,186,068 | ||||||||||||||||||||
| — | (58,081 | ) | — | — | — | (25,405 | ) | — | ||||||||||||||||||
| (144 | ) | (270 | ) | (76 | ) | (504 | ) | (423 | ) | (1,527 | ) | (605 | ) | |||||||||||||
| 4,285,706 | 553,913 | 4,823,312 | 4,137,673 | 1,342,818 | 517,976 | 1,185,463 | ||||||||||||||||||||
| 5,398,474 | (111,541 | ) | 10,379,540 | 4,398,244 | 5,292,660 | 1,257,472 | 5,784,781 | |||||||||||||||||||
| 73,533,700 | 3,250,088 | 34,506,203 | 45,017,061 | 1,826,079 | 907,790 | 9,268,848 | ||||||||||||||||||||
| 472,191 | — | — | (795,488 | ) | — | (102,156 | ) | — | ||||||||||||||||||
| — | — | — | 5,628,265 | 658,061 | 943,161 | 406,349 | ||||||||||||||||||||
| — | 749 | — | — | — | — | — | ||||||||||||||||||||
| 17,416,529 | 5,779,374 | 46,319,560 | 7,788,768 | 35,922,288 | 6,687,145 | 18,197,146 | ||||||||||||||||||||
| 5,235 | — | — | (67,706 | ) | — | (7,734 | ) | — | ||||||||||||||||||
| — | — | — | (271,780 | ) | 45,994 | 66,827 | (16,424 | ) | ||||||||||||||||||
| — | (548 | ) | — | — | — | — | — | |||||||||||||||||||
| 91,427,655 | 9,029,663 | 80,825,763 | 57,299,120 | 38,452,422 | 8,495,033 | 27,855,919 | ||||||||||||||||||||
| $ | 96,826,129 | $ | 8,918,122 | $ | 91,205,303 | $ | 61,697,364 | $ | 43,745,082 | $ | 9,752,505 | $ | 33,640,700 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
323
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2010 | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 846,076 | $ | 1,151,789 | $ | — | $ | 337,501 | ||||||||
Interest | 66,430,275 | 5,316,459 | 269,981 | 66,993,991 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | 1,452,508 | ||||||||||||
Income from securities loaned | 252,782 | 14,903 | — | 25,809 | ||||||||||||
Income from affiliated investments | — | — | — | 1,446,685 | ||||||||||||
Foreign dividend tax withholding | — | (6,133 | ) | — | — | |||||||||||
Total Investment Income | 67,529,133 | 6,477,018 | 269,981 | 70,256,494 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 3,123,696 | 378,000 | 21,401 | 5,115,027 | ||||||||||||
Sub-Adviser fees | — | — | 28,535 | — | ||||||||||||
Administrative service fees | 236,185 | 98,900 | 81,427 | 335,751 | ||||||||||||
Audit and legal fees | 31,641 | 17,868 | 17,758 | 42,526 | ||||||||||||
Custody fees | 27,454 | 19,140 | 4,339 | 46,984 | ||||||||||||
Insurance expenses | 9,171 | 4,129 | 3,518 | 13,146 | ||||||||||||
Directors’ fees | 41,597 | 8,654 | 4,332 | 62,751 | ||||||||||||
Other expenses | 22,725 | 16,088 | 9,797 | 35,376 | ||||||||||||
Total Expenses Before Reimbursement | 3,492,469 | 542,779 | 171,107 | 5,651,561 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | (121,669 | ) | (68,184 | ) | ||||||||||
Custody earnings credit | (371 | ) | (1,639 | ) | (929 | ) | (143 | ) | ||||||||
Total Net Expenses | 3,492,098 | 541,140 | 48,509 | 5,583,234 | ||||||||||||
Net Investment Income/(Loss) | 64,037,035 | 5,935,878 | 221,472 | 64,673,260 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 17,675,557 | 2,500,325 | 140,537 | 49,400,808 | ||||||||||||
Written option contracts | — | (33,766 | ) | — | — | |||||||||||
Futures contracts | — | 274,613 | 102,263 | (8,967,671 | ) | |||||||||||
Foreign currency transactions | — | — | — | 21,328 | ||||||||||||
Swap agreements | 1,049,165 | (56,974 | ) | — | (1,061,794 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 23,998,230 | 5,504,954 | (5,729 | ) | 32,203,425 | |||||||||||
Affiliated investments | — | — | — | 982,699 | ||||||||||||
Written option contracts | — | (3,817 | ) | — | — | |||||||||||
Futures contracts | — | 84,181 | 17,349 | 2,758,892 | ||||||||||||
Swap agreements | — | (84,724 | ) | — | (470,282 | ) | ||||||||||
Net Realized and Unrealized Gains/(Losses) | 42,722,952 | 8,184,792 | 254,420 | 74,867,405 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 106,759,987 | $ | 14,120,670 | $ | 475,892 | $ | 139,540,665 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
324
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||
| $ | — | $ | 233,088 | $ | — | $ | 11,817 | |||||||
| 4,418,467 | 42,479,992 | 908,482 | 618,038 | |||||||||||
| 1,436,876 | 472,398 | 520,506 | — | |||||||||||
| 1,181 | 11,305 | — | — | |||||||||||
| — | 1,610,704 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| 5,856,524 | 44,807,487 | 1,428,988 | 629,855 | |||||||||||
| 571,556 | 4,834,491 | 165,431 | 821,157 | |||||||||||
| — | — | — | — | |||||||||||
| 112,660 | 321,725 | 86,617 | 121,058 | |||||||||||
| 19,390 | 38,902 | 17,527 | 22,538 | |||||||||||
| 15,419 | 41,774 | 8,474 | 18,311 | |||||||||||
| 4,724 | 11,984 | 3,719 | 6,379 | |||||||||||
| 13,630 | 56,031 | 4,857 | 21,060 | |||||||||||
| 17,384 | 25,265 | 8,796 | 14,648 | |||||||||||
| 754,763 | 5,330,172 | 295,421 | 1,025,151 | |||||||||||
| — | (75,914 | ) | — | (378,579 | ) | |||||||||
| (665 | ) | (389 | ) | (869 | ) | (81 | ) | |||||||
| 754,098 | 5,253,869 | 294,552 | 646,491 | |||||||||||
| 5,102,426 | 39,553,618 | 1,134,436 | (16,636 | ) | ||||||||||
| 2,020,684 | 26,914,222 | 8,296 | 16,636 | |||||||||||
| — | — | — | — | |||||||||||
| — | (16,852,702 | ) | 46,370 | — | ||||||||||
| — | — | — | — | |||||||||||
| — | (901,423 | ) | — | — | ||||||||||
| 7,104,007 | 10,444,708 | 2,549,208 | — | |||||||||||
| — | 1,094,113 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | 624,422 | (1,565 | ) | — | ||||||||||
| — | (212,752 | ) | — | — | ||||||||||
| 9,124,691 | 21,110,588 | 2,602,309 | 16,636 | |||||||||||
| $ | 14,227,117 | $ | 60,664,206 | $ | 3,736,745 | $ | — | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
325
Table of Contents
Statement of Changes in Net Assets
For the periods ended | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | ||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 4,932,595 | $ | 5,236,625 | $ | 39,949,882 | $ | 37,888,690 | ||||||||
Net realized gains/(losses) | 12,868,104 | 6,749,517 | 54,407,266 | 50,431,279 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 69,017,762 | 102,808,518 | 231,966,142 | 343,326,328 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 86,818,461 | 114,794,660 | 326,323,290 | 431,646,297 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (7,662,901 | ) | (18,135,548 | ) | (49,859,905 | ) | (77,679,068 | ) | ||||||||
From net realized gains | (4,658,714 | ) | (160,158 | ) | (32,185,155 | ) | — | |||||||||
Total Distributions to Shareholders | (12,321,615 | ) | (18,295,706 | ) | (82,045,060 | ) | (77,679,068 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 49,645,698 | 62,333,686 | 298,120,172 | 262,244,472 | ||||||||||||
Distributions reinvested | 12,321,615 | 18,295,706 | 82,045,060 | 77,679,068 | ||||||||||||
Redeemed | (46,935,716 | ) | (33,861,667 | ) | (101,856,910 | ) | (65,488,124 | ) | ||||||||
Capital Stock Transactions | 15,031,597 | 46,767,725 | 278,308,322 | 274,435,416 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 89,528,443 | 143,266,679 | 522,586,552 | 628,402,645 | ||||||||||||
Net Assets, Beginning of Period | 497,576,599 | 354,309,920 | 1,982,967,761 | 1,354,565,116 | ||||||||||||
Net Assets, End of Period | $ | 587,105,042 | $ | 497,576,599 | $ | 2,505,554,313 | $ | 1,982,967,761 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 7,673,941 | $ | 7,745,159 | $ | 52,006,434 | $ | 50,399,667 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 4,524,218 | 6,919,123 | 27,140,256 | 27,844,433 | ||||||||||||
Distributions reinvested | 1,191,980 | 1,859,131 | 7,946,176 | 7,812,123 | ||||||||||||
Redeemed | (4,349,806 | ) | (3,766,744 | ) | (9,392,696 | ) | (7,416,567 | ) | ||||||||
Total Capital Stock Share Transactions | 1,366,392 | 5,011,510 | 25,693,736 | 28,239,989 | ||||||||||||
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
Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | |||||||||||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||||||
| $76,087,432 | $ | 66,584,261 | $ | 36,500,892 | $ | 29,172,718 | $ | (178,783 | ) | $ | (174,850 | ) | $ | (23,805 | ) | $ | 19,365 | |||||||||||||
| 73,544,508 | 80,031,567 | 24,333,345 | 29,530,413 | 3,132,366 | 1,367,865 | 616,981 | 392,382 | |||||||||||||||||||||||
| 257,696,702 | 375,952,232 | 86,495,720 | 122,345,818 | 4,253,477 | 10,534,837 | 1,033,839 | 2,043,886 | |||||||||||||||||||||||
| 407,328,642 | 522,568,060 | 147,329,957 | 181,048,949 | 7,207,060 | 11,727,852 | 1,627,015 | 2,455,633 | |||||||||||||||||||||||
| (76,890,890) | (103,104,758 | ) | (31,302,287 | ) | (36,683,505 | ) | — | — | (23,542 | ) | (1,353 | ) | ||||||||||||||||||
| (45,561,952) | — | (19,836,135 | ) | — | — | — | (262,307 | ) | — | |||||||||||||||||||||
| (122,452,842) | (103,104,758 | ) | (51,138,422 | ) | (36,683,505 | ) | — | — | (285,849 | ) | (1,353 | ) | ||||||||||||||||||
| 614,351,156 | 420,024,727 | 427,186,569 | 229,376,369 | 4,407,853 | 4,164,161 | 5,259,908 | 5,875,845 | |||||||||||||||||||||||
| 122,452,842 | 103,104,758 | 51,138,422 | 36,683,505 | — | — | 285,849 | 1,353 | |||||||||||||||||||||||
| (110,836,145) | (95,625,567 | ) | (58,578,795 | ) | (49,801,447 | ) | (6,258,515 | ) | (9,260,649 | ) | (2,317,699 | ) | (2,167,917 | ) | ||||||||||||||||
| 625,967,853 | 427,503,918 | 419,746,196 | 216,258,427 | (1,850,662 | ) | (5,096,488 | ) | 3,228,058 | 3,709,281 | |||||||||||||||||||||
| 910,843,653 | 846,967,220 | 515,937,731 | 360,623,871 | 5,356,398 | 6,631,364 | 4,569,224 | 6,163,561 | |||||||||||||||||||||||
| 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 | |||||||||||||||||||||||
| $3,569,369,286 | $ | 2,658,525,633 | $ | 1,591,317,482 | $ | 1,075,379,751 | $ | 36,305,028 | $ | 30,948,630 | $ | 17,868,183 | $ | 13,298,959 | ||||||||||||||||
| $86,827,001 | $ | 77,589,357 | $ | 38,931,043 | $ | 31,490,233 | $ | (10,525 | ) | $ | (7,896 | ) | $ | (5,246 | ) | $ | 18,891 | |||||||||||||
| 55,461,086 | 43,010,345 | 38,370,189 | 22,979,021 | 724,915 | 906,480 | 455,646 | 631,405 | |||||||||||||||||||||||
| 11,646,203 | 10,186,103 | 4,793,583 | 3,557,016 | — | — | 26,100 | 142 | |||||||||||||||||||||||
| (10,069,318) | (10,558,694 | ) | (5,244,829 | ) | (5,101,337 | ) | (1,059,465 | ) | (2,159,106 | ) | (203,825 | ) | (228,457 | ) | ||||||||||||||||
| 57,037,971 | 42,637,754 | 37,918,943 | 21,434,700 | (334,550 | ) | (1,252,626 | ) | 277,921 | 403,090 | |||||||||||||||||||||
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
For the periods ended | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | ||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | (12,343 | ) | $ | 19,733 | $ | 190,917 | $ | 66,563 | |||||||
Net realized gains/(losses) | (7,377 | ) | (167,407 | ) | (19,638 | ) | (528,539 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) | 3,874,560 | 4,710,942 | 6,533,560 | 4,794,107 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 3,854,840 | 4,563,268 | 6,704,839 | 4,332,131 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (19,477 | ) | — | — | (76,466 | ) | ||||||||||
From net realized gains | — | — | — | — | ||||||||||||
From return of capital | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (19,477 | ) | — | — | (76,466 | ) | ||||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 7,563,833 | 12,737,918 | 22,150,878 | 12,684,986 | ||||||||||||
Distributions reinvested | 19,477 | — | — | 76,466 | ||||||||||||
Redeemed | (3,851,104 | ) | (2,763,376 | ) | (5,338,930 | ) | (4,919,497 | ) | ||||||||
Capital Stock Transactions | 3,732,206 | 9,974,542 | 16,811,948 | 7,841,955 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 7,567,569 | 14,537,810 | 23,516,787 | 12,097,620 | ||||||||||||
Net Assets, Beginning of Period | 21,131,842 | 6,594,032 | 17,426,885 | 5,329,265 | ||||||||||||
Net Assets, End of Period | $ | 28,699,411 | $ | 21,131,842 | $ | 40,943,672 | $ | 17,426,885 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (16,267 | ) | $ | 16,506 | $ | 147,723 | $ | (13,235 | ) | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 912,419 | 1,837,899 | 2,019,483 | 1,543,971 | ||||||||||||
Distributions reinvested | 2,527 | — | — | 7,887 | ||||||||||||
Redeemed | (482,071 | ) | (421,288 | ) | (504,508 | ) | (712,596 | ) | ||||||||
Total Capital Stock Share Transactions | 432,875 | 1,416,611 | 1,514,975 | 839,262 | ||||||||||||
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
| Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | |||||||||||||||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||||||
| $ | 4,836,890 | $ | 6,401,449 | $ | 195,676 | $ | 148,844 | $ | (1,082,589 | ) | $ | (491,521 | ) | $ | 1,842,784 | $ | 1,522,980 | |||||||||||||
| 7,698,310 | (18,106,885 | ) | (295,153 | ) | (242,067 | ) | 22,505,875 | (11,073,509 | ) | 6,589,551 | (11,704,586 | ) | ||||||||||||||||||
| 60,495,701 | 67,919,294 | 605,367 | 805,011 | 25,265,662 | 50,769,096 | 44,504,600 | 59,656,759 | |||||||||||||||||||||||
| 73,030,901 | 56,213,858 | 505,890 | 711,788 | 46,688,948 | 39,204,066 | 52,936,935 | 49,475,153 | |||||||||||||||||||||||
| (8,680,000 | ) | (6,291,795 | ) | (150,229 | ) | — | — | (111,079 | ) | (2,402,557 | ) | (1,581,418 | ) | |||||||||||||||||
| — | — | — | — | — | — | — | (159,744 | ) | ||||||||||||||||||||||
| — | (2,508,205 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
| (8,680,000 | ) | (8,800,000 | ) | (150,229 | ) | — | — | (111,079 | ) | (2,402,557 | ) | (1,741,162 | ) | |||||||||||||||||
| 22,234,058 | 37,489,864 | 2,299,675 | 2,724,661 | 9,014,114 | 16,165,667 | 12,437,630 | 23,552,161 | |||||||||||||||||||||||
| 8,680,000 | 8,800,000 | 150,229 | — | — | 111,079 | 2,402,557 | 1,741,162 | |||||||||||||||||||||||
| (31,217,013 | ) | (25,720,724 | ) | (1,275,037 | ) | (1,412,214 | ) | (7,664,976 | ) | (7,344,076 | ) | (24,782,056 | ) | (14,611,741 | ) | |||||||||||||||
| (302,955 | ) | 20,569,140 | 1,174,867 | 1,312,447 | 1,349,138 | 8,932,670 | (9,941,869 | ) | 10,681,582 | |||||||||||||||||||||
| 64,047,946 | 67,982,998 | 1,530,528 | 2,024,235 | 48,038,086 | 48,025,657 | 40,592,509 | 58,415,573 | |||||||||||||||||||||||
| 265,402,705 | 197,419,707 | 6,376,286 | 4,352,051 | 160,486,579 | 112,460,922 | 226,346,373 | 167,930,800 | |||||||||||||||||||||||
| $ | 329,450,651 | $ | 265,402,705 | $ | 7,906,814 | $ | 6,376,286 | $ | 208,524,665 | $ | 160,486,579 | $ | 266,938,882 | $ | 226,346,373 | |||||||||||||||
| $ | (32,857 | ) | $ | (23,786 | ) | $ | 190,394 | $ | 147,043 | $ | (210,701 | ) | $ | (12,225 | ) | $ | 13,432 | $ | 303,244 | |||||||||||
| 1,766,561 | 3,975,463 | 302,294 | 398,132 | 850,994 | 1,848,403 | 758,747 | 1,738,781 | |||||||||||||||||||||||
| 598,464 | 741,059 | 20,755 | — | — | 13,562 | 130,058 | 120,126 | |||||||||||||||||||||||
| (2,377,533 | ) | (3,096,946 | ) | (167,856 | ) | (204,597 | ) | (718,272 | ) | (956,588 | ) | (1,410,305 | ) | (1,250,415 | ) | |||||||||||||||
| (12,508 | ) | 1,619,576 | 155,193 | 193,535 | 132,722 | 905,377 | (521,500 | ) | 608,492 | |||||||||||||||||||||
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
| Small Cap Stock Portfolio | Small Cap Index Portfolio | |||||||||||||||
For the periods ended | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | (291,640 | ) | $ | 1,788,616 | $ | 1,743,657 | $ | 1,699,363 | |||||||
Net realized gains/(losses) | 55,417,334 | (6,916,337 | ) | 13,215,131 | (4,729,130 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) | 6,615,584 | 53,295,962 | 32,309,249 | 43,883,619 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 61,741,278 | 48,168,241 | 47,268,037 | 40,853,852 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (107,303 | ) | (2,254,275 | ) | (1,688,689 | ) | (3,597,439 | ) | ||||||||
From net realized gains | — | — | — | (31,411,591 | ) | |||||||||||
Total Distributions to Shareholders | (107,303 | ) | (2,254,275 | ) | (1,688,689 | ) | (35,009,030 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 13,439,189 | 31,855,260 | 3,643,585 | 3,874,146 | ||||||||||||
Distributions reinvested | 107,303 | 2,254,275 | 1,688,689 | 35,009,030 | ||||||||||||
Redeemed | (30,435,902 | ) | (28,326,953 | ) | (34,729,940 | ) | (33,002,127 | ) | ||||||||
In-kind redemptions | — | (81,263,535 | ) | — | — | |||||||||||
Capital Stock Transactions | (16,889,410 | ) | (75,480,953 | ) | (29,397,666 | ) | 5,881,049 | |||||||||
Net Increase/(Decrease) in Net Assets | 44,744,565 | (29,566,987 | ) | 16,181,682 | 11,725,871 | |||||||||||
Net Assets, Beginning of Period | 258,492,738 | 288,059,725 | 203,919,492 | 192,193,621 | ||||||||||||
Net Assets, End of Period | $ | 303,237,303 | $ | 258,492,738 | $ | 220,101,174 | $ | 203,919,492 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (38,794 | ) | $ | 87,641 | $ | 1,708,671 | $ | 1,674,601 | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,298,393 | 3,553,935 | 318,673 | 402,579 | ||||||||||||
Distributions reinvested | 10,599 | 233,373 | 155,052 | 4,157,496 | ||||||||||||
Redeemed | (2,886,516 | ) | (3,399,243 | ) | (3,081,494 | ) | (3,496,648 | ) | ||||||||
In-kind redemptions | — | (8,813,833 | ) | — | — | |||||||||||
Total Capital Stock Share Transactions | (1,577,524 | ) | (8,425,768 | ) | (2,607,769 | ) | 1,063,427 | |||||||||
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
| Mid Cap Growth Portfolio II | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||||||
| $ | 158,648 | $ | (48,427 | ) | $ | 1,258,925 | $ | 922,344 | $ | 1,465,614 | $ | 1,980,078 | $ | 2,039,361 | $ | 2,300,832 | ||||||||||||||
| 17,017,642 | 3,074,088 | 34,366,352 | (32,463,158 | ) | 19,361,980 | (15,137,528 | ) | 36,061,225 | (9,046,940 | ) | ||||||||||||||||||||
| 18,083,987 | 36,378,132 | 62,196,129 | 159,600,719 | 25,881,479 | 54,456,720 | 69,833,782 | 149,325,178 | |||||||||||||||||||||||
| 35,260,277 | 39,403,793 | 97,821,406 | 128,059,905 | 46,709,073 | 41,299,270 | 107,934,368 | 142,579,070 | |||||||||||||||||||||||
| — | (1,858 | ) | (947,099 | ) | (53,590 | ) | (1,688,800 | ) | (1,544,209 | ) | (2,143,045 | ) | (2,265,664 | ) | ||||||||||||||||
| (12,175,789) | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (12,175,789) | (1,858 | ) | (947,099 | ) | (53,590 | ) | (1,688,800 | ) | (1,544,209 | ) | (2,143,045 | ) | (2,265,664 | ) | ||||||||||||||||
| 4,127,514 | 11,002,912 | 12,318,445 | 9,597,955 | 10,033,281 | 24,284,192 | 16,381,052 | 44,812,008 | |||||||||||||||||||||||
| 12,175,789 | 1,858 | 947,099 | 53,590 | 1,688,800 | 1,544,209 | 2,143,045 | 2,265,664 | |||||||||||||||||||||||
| (5,002,263) | (5,335,093 | ) | (55,446,013 | ) | (47,544,157 | ) | (8,283,642 | ) | (5,216,249 | ) | (56,361,371 | ) | (28,894,369 | ) | ||||||||||||||||
| — | — | — | — | — | — | — | (94,857,255 | ) | ||||||||||||||||||||||
| 11,301,040 | 5,669,677 | (42,180,469 | ) | (37,892,612 | ) | 3,438,439 | 20,612,152 | (37,837,274 | ) | (76,673,952 | ) | |||||||||||||||||||
| 34,385,528 | 45,071,612 | 54,693,838 | 90,113,703 | 48,458,712 | 60,367,213 | 67,954,049 | 63,639,454 | |||||||||||||||||||||||
| 125,842,491 | 80,770,879 | 365,215,499 | 275,101,796 | 183,704,037 | 123,336,824 | 443,522,484 | 379,883,030 | |||||||||||||||||||||||
| $ | 160,228,019 | $ | 125,842,491 | $ | 419,909,337 | $ | 365,215,499 | $ | 232,162,749 | $ | 183,704,037 | $ | 511,476,533 | $ | 443,522,484 | |||||||||||||||
| $ | 127,388 | $ | (7,860 | ) | $ | 1,151,918 | $ | 843,854 | $ | 476,775 | $ | 706,749 | $ | 138,855 | $ | 254,446 | ||||||||||||||
| 478,499 | 1,475,899 | 780,913 | 818,856 | 903,936 | 2,536,751 | 1,646,930 | 5,114,930 | |||||||||||||||||||||||
| 1,262,455 | 273 | 63,855 | 4,650 | 136,786 | 147,914 | 180,466 | 235,365 | |||||||||||||||||||||||
| (563,662) | (853,810 | ) | (3,557,867 | ) | (4,288,947 | ) | (680,225 | ) | (655,612 | ) | (5,350,949 | ) | (3,635,718 | ) | ||||||||||||||||
| — | — | — | — | — | — | — | (10,101,945 | ) | ||||||||||||||||||||||
| 1,177,292 | 622,362 | (2,713,099 | ) | (3,465,441 | ) | 360,497 | 2,029,053 | (3,523,553 | ) | (8,387,368 | ) | |||||||||||||||||||
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
| Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 710,547 | $ | 912,375 | $ | 6,499,765 | $ | 3,223,252 | ||||||||
Net realized gains/(losses) | 6,190,215 | (1,605,754 | ) | 5,131,016 | (3,510,140 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) | 13,514,870 | 24,798,146 | 46,651,811 | 49,581,521 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 20,415,632 | 24,104,767 | 58,282,592 | 49,294,633 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (915,779 | ) | (1,478,447 | ) | (6,741,083 | ) | (3,279,164 | ) | ||||||||
From net realized gains | — | (4,989,989 | ) | — | — | |||||||||||
Total Distributions to Shareholders | (915,779 | ) | (6,468,436 | ) | (6,741,083 | ) | (3,279,164 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,692,861 | 3,308,320 | 215,387,135 | 104,369,167 | ||||||||||||
Distributions reinvested | 915,779 | 6,468,436 | 6,741,083 | 3,279,164 | ||||||||||||
Redeemed | (16,864,029 | ) | (15,621,055 | ) | (5,936,398 | ) | (4,693,486 | ) | ||||||||
Capital Stock Transactions | (12,255,389 | ) | (5,844,299 | ) | 216,191,820 | 102,954,845 | ||||||||||
Net Increase/(Decrease) in Net Assets | 7,244,464 | 11,792,032 | 267,733,329 | 148,970,314 | ||||||||||||
Net Assets, Beginning of Period | 86,932,328 | 75,140,296 | 254,871,845 | 105,901,531 | ||||||||||||
Net Assets, End of Period | $ | 94,176,792 | $ | 86,932,328 | $ | 522,605,174 | $ | 254,871,845 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 698,930 | $ | 904,162 | $ | (925,747 | ) | $ | (200,442 | ) | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 330,237 | 382,861 | 27,030,292 | 15,224,114 | ||||||||||||
Distributions reinvested | 86,004 | 791,604 | 768,871 | 420,103 | ||||||||||||
Redeemed | (1,506,899 | ) | (1,829,731 | ) | (757,779 | ) | (679,559 | ) | ||||||||
Total Capital Stock Share Transactions | (1,090,658 | ) | (655,266 | ) | 27,041,384 | 14,964,658 | ||||||||||
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
| Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | |||||||||||||||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||||||
| $16,436,338 | $ | 17,683,619 | $ | 2,201 | $ | 14,493 | $ | (14,613 | ) | $ | (6,294 | ) | $ | 24,879 | $ | 42,158 | ||||||||||||||
| 7,284,176 | (121,748,365 | ) | (9,014 | ) | (321,107 | ) | 156,516 | (435,801 | ) | 439,956 | (268,937 | ) | ||||||||||||||||||
| 46,575,330 | 278,620,507 | 709,608 | 1,399,369 | 1,970,797 | 2,145,133 | 630,686 | 1,305,621 | |||||||||||||||||||||||
| 70,295,844 | 174,555,761 | 702,795 | 1,092,755 | 2,112,700 | 1,703,038 | 1,095,521 | 1,078,842 | |||||||||||||||||||||||
| (16,065,985) | (18,300,363 | ) | (4,433 | ) | (16,869 | ) | — | — | — | (56,625 | ) | |||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (16,065,985) | (18,300,363 | ) | (4,433 | ) | (16,869 | ) | — | — | — | (56,625 | ) | |||||||||||||||||||
| 4,983,579 | 7,808,530 | 1,834,566 | 1,124,562 | 4,249,755 | 6,018,255 | 2,323,618 | 3,449,075 | |||||||||||||||||||||||
| 16,065,985 | 18,300,363 | 4,433 | 16,869 | — | — | — | 56,625 | |||||||||||||||||||||||
| (68,883,073) | (77,546,663 | ) | (2,240,089 | ) | (1,288,022 | ) | (2,700,508 | ) | (2,034,630 | ) | (1,584,915 | ) | (1,465,765 | ) | ||||||||||||||||
| (47,833,509) | (51,437,770 | ) | (401,090 | ) | (146,591 | ) | 1,549,247 | 3,983,625 | 738,703 | 2,039,935 | ||||||||||||||||||||
| 6,396,350 | 104,817,628 | 297,272 | 929,295 | 3,661,947 | 5,686,663 | 1,834,224 | 3,062,152 | |||||||||||||||||||||||
| 882,943,082 | 778,125,454 | 4,130,015 | 3,200,720 | 8,096,440 | 2,409,777 | 5,523,460 | 2,461,308 | |||||||||||||||||||||||
| $889,339,432 | $ | 882,943,082 | $ | 4,427,287 | $ | 4,130,015 | $ | 11,758,387 | $ | 8,096,440 | $ | 7,357,684 | $ | 5,523,460 | ||||||||||||||||
| $(589,578) | $ | 207,657 | $ | (5,207 | ) | $ | (2,970 | ) | $ | (5,260 | ) | $ | (2,970 | ) | $ | 39,887 | $ | (11,928 | ) | |||||||||||
| 514,732 | 950,413 | 201,950 | 151,940 | 490,313 | 906,141 | 289,627 | 514,033 | |||||||||||||||||||||||
| 1,508,576 | 1,849,007 | 428 | 1,928 | — | — | — | 7,401 | |||||||||||||||||||||||
| (7,059,463) | (9,592,809 | ) | (246,241 | ) | (176,017 | ) | (330,236 | ) | (349,083 | ) | (202,448 | ) | (249,068 | ) | ||||||||||||||||
| (5,036,155) | (6,793,389 | ) | (43,863 | ) | (22,149 | ) | 160,077 | 557,058 | 87,179 | 272,366 | ||||||||||||||||||||
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
| Partner All Cap Portfolio | Large Cap Growth Portfolio II | |||||||||||||||
For the periods ended | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 284,298 | $ | 422,911 | $ | 1,138,069 | $ | 2,244,993 | ||||||||
Net realized gains/(losses) | 5,317,492 | (2,362,387 | ) | 42,707,448 | 48,044,595 | |||||||||||
Change in net unrealized appreciation/(depreciation) | 3,419,746 | 15,986,057 | (14,270,355 | ) | 65,858,838 | |||||||||||
Net Change in Net Assets Resulting From Operations | 9,021,536 | 14,046,581 | 29,575,162 | 116,148,426 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (425,206 | ) | (744,537 | ) | (1,062,853 | ) | (1,800,000 | ) | ||||||||
From net realized gains | — | — | (46,391,869 | ) | (34,604,586 | ) | ||||||||||
Total Distributions to Shareholders | (425,206 | ) | (744,537 | ) | (47,454,722 | ) | (36,404,586 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 2,965,952 | 3,017,479 | 13,054,152 | 37,627,887 | ||||||||||||
Distributions reinvested | 425,206 | 744,537 | 47,454,722 | 36,404,586 | ||||||||||||
Redeemed | (12,178,664 | ) | (10,602,481 | ) | (14,902,948 | ) | (12,742,230 | ) | ||||||||
In-kind redemptions | — | — | — | (92,633,477 | ) | |||||||||||
Capital Stock Transactions | (8,787,506 | ) | (6,840,465 | ) | 45,605,926 | (31,343,234 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | (191,176 | ) | 6,461,579 | 27,726,366 | 48,400,606 | |||||||||||
Net Assets, Beginning of Period | 62,614,815 | 56,153,236 | 357,385,831 | 308,985,225 | ||||||||||||
Net Assets, End of Period | $ | 62,423,639 | $ | 62,614,815 | $ | 385,112,197 | $ | 357,385,831 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 277,270 | $ | 418,643 | $ | 520,973 | $ | 440,796 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 373,560 | 462,092 | 1,814,296 | 5,172,919 | ||||||||||||
Distributions reinvested | 56,045 | 117,219 | 6,959,263 | 5,075,903 | ||||||||||||
Redeemed | (1,537,172 | ) | (1,685,580 | ) | (2,072,421 | ) | (2,095,667 | ) | ||||||||
In-kind redemptions | — | — | — | (12,151,976 | ) | |||||||||||
Total Capital Stock Share Transactions | (1,107,567 | ) | (1,106,269 | ) | 6,701,138 | (3,998,821 | ) | |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
334
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 | |||||||||||||||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||||||
| $ | 5,398,474 | $ | 7,117,900 | $ | (111,541 | ) | $ | 8,053 | $ | 10,379,540 | $ | 11,851,639 | $ | 4,398,244 | $ | 5,355,536 | ||||||||||||||
| 74,005,891 | (43,627,231 | ) | 3,250,837 | (6,420,038 | ) | 34,506,203 | (130,856,830 | ) | 49,849,838 | (61,424,828 | ) | |||||||||||||||||||
| 17,421,764 | 350,249,363 | 5,778,826 | 25,925,820 | 46,319,560 | 260,863,957 | 7,449,282 | 186,052,726 | |||||||||||||||||||||||
| 96,826,129 | 313,740,032 | 8,918,122 | 19,513,835 | 91,205,303 | 141,858,766 | 61,697,364 | 129,983,434 | |||||||||||||||||||||||
| (5,477,772 | ) | (6,800,000 | ) | (10,928 | ) | (168,813 | ) | (10,382,197 | ) | (12,050,128 | ) | (4,434,436 | ) | (5,328,987 | ) | |||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (5,477,772 | ) | (6,800,000 | ) | (10,928 | ) | (168,813 | ) | (10,382,197 | ) | (12,050,128 | ) | (4,434,436 | ) | (5,328,987 | ) | |||||||||||||||
| 14,875,050 | 15,247,288 | 2,657,012 | 2,008,107 | 26,733,249 | 115,078,386 | 13,368,032 | 36,368,850 | |||||||||||||||||||||||
| 5,477,772 | 6,800,000 | 10,928 | 168,813 | 10,382,197 | 12,050,128 | 4,434,436 | 5,328,987 | |||||||||||||||||||||||
| (153,711,612 | ) | (148,213,234 | ) | (11,486,072 | ) | (12,277,879 | ) | (39,675,311 | ) | (51,951,746 | ) | (64,056,535 | ) | (46,479,433 | ) | |||||||||||||||
| — | — | — | — | — | (136,060,265 | ) | — | — | ||||||||||||||||||||||
| (133,358,790 | ) | (126,165,946 | ) | (8,818,132 | ) | (10,100,959 | ) | (2,559,865 | ) | (60,883,497 | ) | (46,254,067 | ) | (4,781,596 | ) | |||||||||||||||
| (42,010,433 | ) | 180,774,086 | 89,062 | 9,244,063 | 78,263,241 | 68,925,141 | 11,008,861 | 119,872,851 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||||
| $ | 983,302,528 | $ | 1,025,312,961 | $ | 61,427,087 | $ | 61,338,025 | $ | 811,283,097 | $ | 733,019,856 | $ | 628,281,403 | $ | 617,272,542 | |||||||||||||||
| $ | 137,213 | $ | 197,953 | $ | (11,051 | ) | $ | 2,609 | $ | 131,811 | $ | 134,913 | $ | 11,693 | $ | 47,073 | ||||||||||||||
| 965,096 | 1,221,624 | 255,064 | 250,857 | 2,762,528 | 13,763,893 | 1,738,095 | 5,248,402 | |||||||||||||||||||||||
| 325,518 | 437,921 | 1,117 | 21,147 | 968,598 | 1,245,398 | 522,294 | 685,503 | |||||||||||||||||||||||
| (9,972,843 | ) | (12,116,518 | ) | (1,127,792 | ) | (1,581,892 | ) | (4,067,316 | ) | (6,675,323 | ) | (8,255,951 | ) | (7,473,745 | ) | |||||||||||||||
| — | — | — | — | — | (14,352,349 | ) | — | — | ||||||||||||||||||||||
| (8,682,229 | ) | (10,456,973 | ) | (871,611 | ) | (1,309,888 | ) | (336,190 | ) | (6,018,381 | ) | (5,995,562 | ) | (1,539,840 | ) | |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
335
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 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 5,292,660 | $ | 6,110,966 | $ | 1,257,472 | $ | 975,504 | ||||||||
Net realized gains/(losses) | 2,484,140 | (12,662,349 | ) | 1,748,795 | (2,085,233 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) | 35,968,282 | 77,470,581 | 6,746,238 | 8,440,660 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 43,745,082 | 70,919,198 | 9,752,505 | 7,330,931 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (6,071,009 | ) | (9,467,689 | ) | (1,091,095 | ) | (906,000 | ) | ||||||||
From net realized gains | — | (17,308,240 | ) | — | — | |||||||||||
Total Distributions to Shareholders | (6,071,009 | ) | (26,775,929 | ) | (1,091,095 | ) | (906,000 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 4,998,559 | 5,924,668 | 12,697,884 | 7,722,033 | ||||||||||||
Distributions reinvested | 6,071,009 | 26,775,929 | 1,091,095 | 906,000 | ||||||||||||
Redeemed | (55,384,625 | ) | (58,384,704 | ) | (1,126,810 | ) | (1,425,336 | ) | ||||||||
Capital Stock Transactions | (44,315,057 | ) | (25,684,107 | ) | 12,662,169 | 7,202,697 | ||||||||||
Net Increase/(Decrease) in Net Assets | (6,640,984 | ) | 18,459,162 | 21,323,579 | 13,627,628 | |||||||||||
Net Assets, Beginning of Period | 338,170,475 | 319,711,313 | 54,979,092 | 41,351,464 | ||||||||||||
Net Assets, End of Period | $ | 331,529,491 | $ | 338,170,475 | $ | 76,302,671 | $ | 54,979,092 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 5,235,385 | $ | 6,061,481 | $ | 232,290 | $ | 67,433 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 312,434 | 435,006 | 1,490,262 | 1,060,712 | ||||||||||||
Distributions reinvested | 396,951 | 2,079,361 | 121,252 | 113,302 | ||||||||||||
Redeemed | (3,450,988 | ) | (4,351,097 | ) | (139,940 | ) | (223,105 | ) | ||||||||
Total Capital Stock Share Transactions | (2,741,603 | ) | (1,836,730 | ) | 1,471,574 | 950,909 | ||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
336
Table of Contents
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 | |||||||||||||||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||||||
| $ | 5,784,781 | $ | 6,741,178 | $ | 64,037,035 | $ | 63,190,081 | $ | 5,935,878 | $ | 5,464,674 | $ | 221,472 | $ | 275,353 | |||||||||||||||
| 9,675,197 | 3,502,410 | 18,724,722 | (39,327,941 | ) | 2,684,198 | (4,915,023 | ) | 242,800 | 84,431 | |||||||||||||||||||||
| 18,180,722 | 40,989,265 | 23,998,230 | 221,535,617 | 5,500,594 | 21,423,316 | 11,620 | 332,393 | |||||||||||||||||||||||
| 33,640,700 | 51,232,853 | 106,759,987 | 245,397,757 | 14,120,670 | 21,972,967 | 475,892 | 692,177 | |||||||||||||||||||||||
| (7,030,465 | ) | (11,644,909 | ) | (64,046,375 | ) | (62,236,431 | ) | (4,650,351 | ) | (5,981,706 | ) | (221,596 | ) | (234,799 | ) | |||||||||||||||
| (1,826,310 | ) | (4,181,300 | ) | — | — | — | — | (275,856 | ) | (346,960 | ) | |||||||||||||||||||
| (8,856,775 | ) | (15,826,209 | ) | (64,046,375 | ) | (62,236,431 | ) | (4,650,351 | ) | (5,981,706 | ) | (497,452 | ) | (581,759 | ) | |||||||||||||||
| 5,772,338 | 4,403,989 | 80,573,299 | 52,076,075 | 17,961,894 | 7,684,739 | 5,658,903 | 2,952,032 | |||||||||||||||||||||||
| 8,856,775 | 15,826,209 | 64,046,375 | 62,236,431 | 4,650,351 | 5,981,706 | 497,432 | 582,116 | |||||||||||||||||||||||
| (49,978,166 | ) | (54,499,515 | ) | (160,313,331 | ) | (138,725,078 | ) | (13,225,573 | ) | (17,511,175 | ) | (3,516,635 | ) | (4,276,959 | ) | |||||||||||||||
| (35,349,053 | ) | (34,269,317 | ) | (15,693,657 | ) | (24,412,572 | ) | 9,386,672 | (3,844,730 | ) | 2,639,700 | (742,811 | ) | |||||||||||||||||
| (10,565,128 | ) | 1,137,327 | 27,019,955 | 158,748,754 | 18,856,991 | 12,146,531 | 2,618,140 | (632,393 | ) | |||||||||||||||||||||
| 281,158,197 | 280,020,870 | 755,968,546 | 597,219,792 | 87,151,652 | 75,005,121 | 6,183,938 | 6,816,331 | |||||||||||||||||||||||
| $ | 270,593,069 | $ | 281,158,197 | $ | 782,988,501 | $ | 755,968,546 | $ | 106,008,643 | $ | 87,151,652 | $ | 8,802,078 | $ | 6,183,938 | |||||||||||||||
| $ | 5,723,736 | $ | 6,997,054 | $ | 529,058 | $ | 465,728 | $ | 5,812,376 | $ | 4,610,543 | $ | (1,422 | ) | $ | (1,080 | ) | |||||||||||||
| 421,740 | 363,420 | 17,296,149 | 12,542,548 | 2,825,605 | 1,373,725 | 530,437 | 290,876 | |||||||||||||||||||||||
| 670,373 | 1,383,688 | 13,795,413 | 15,502,844 | 770,104 | 1,166,457 | 47,873 | 57,700 | |||||||||||||||||||||||
| (3,631,342) | (4,643,812 | ) | (34,205,099 | ) | (33,976,502 | ) | (2,084,239 | ) | (3,307,219 | ) | (333,345 | ) | (420,767 | ) | ||||||||||||||||
| (2,539,229) | (2,896,704 | ) | (3,113,537 | ) | (5,931,110 | ) | 1,511,470 | (767,037 | ) | 244,965 | (72,191 | ) | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
337
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Income Portfolio | Bond Index Portfolio | |||||||||||||||
For the periods ended | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 64,673,260 | $ | 65,695,155 | $ | 5,102,426 | $ | 6,005,484 | ||||||||
Net realized gains/(losses) | 39,392,671 | (41,235,693 | ) | 2,020,684 | 3,014,854 | |||||||||||
Change in net unrealized appreciation/(depreciation) | 35,474,734 | 198,015,845 | 7,104,007 | 3,482,736 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 139,540,665 | 222,475,307 | 14,227,117 | 12,503,074 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (64,435,842 | ) | (66,102,037 | ) | (5,092,427 | ) | (6,320,731 | ) | ||||||||
From net realized gains | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (64,435,842 | ) | (66,102,037 | ) | (5,092,427 | ) | (6,320,731 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 155,625,675 | 101,063,089 | 20,751,109 | 13,056,172 | ||||||||||||
Distributions reinvested | 64,435,842 | 66,102,037 | 5,092,427 | 6,320,731 | ||||||||||||
Redeemed | (251,110,099 | ) | (142,485,709 | ) | (30,119,545 | ) | (43,680,117 | ) | ||||||||
Capital Stock Transactions | (31,048,582 | ) | 24,679,417 | (4,276,009 | ) | (24,303,214 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 44,056,241 | 181,052,687 | 4,858,681 | (18,120,871 | ) | |||||||||||
Net Assets, Beginning of Period | 1,278,155,715 | 1,097,103,028 | 156,528,149 | 174,649,020 | ||||||||||||
Net Assets, End of Period | $ | 1,322,211,956 | $ | 1,278,155,715 | $ | 161,386,830 | $ | 156,528,149 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 393,275 | $ | 659,905 | $ | 9,363 | $ | (636 | ) | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 15,895,157 | 11,238,206 | 1,954,827 | 1,322,464 | ||||||||||||
Distributions reinvested | 6,592,114 | 7,637,385 | 481,492 | 644,945 | ||||||||||||
Redeemed | (25,853,912 | ) | (16,534,979 | ) | (2,841,577 | ) | (4,488,055 | ) | ||||||||
Total Capital Stock Share Transactions | (3,366,641 | ) | 2,340,612 | (405,258 | ) | (2,520,646 | ) | |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
338
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | ||||||||||||||||||||
| 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||
| $ | 39,553,618 | $ | 41,538,278 | $ | 1,134,436 | $ | 1,462,372 | $ | (16,636 | ) | $ | 2,773,294 | ||||||||||
| 9,160,097 | (3,921,593 | ) | 54,666 | 808,926 | 16,636 | 92,385 | ||||||||||||||||
| 11,950,491 | 90,309,241 | 2,547,643 | 1,415,938 | — | — | |||||||||||||||||
| 60,664,206 | 127,925,926 | 3,736,745 | 3,687,236 | — | 2,865,679 | |||||||||||||||||
| (39,165,559) | (40,607,051 | ) | (1,134,436 | ) | (1,111,908 | ) | — | (2,865,679 | ) | |||||||||||||
| — | — | (314,976 | ) | — | — | — | ||||||||||||||||
| (39,165,559) | (40,607,051 | ) | (1,449,412 | ) | (1,111,908 | ) | — | (2,865,679 | ) | |||||||||||||
| 239,166,783 | 153,358,304 | 5,167,343 | 1,508,556 | 61,776,705 | 2,263,584,061 | |||||||||||||||||
| 39,165,559 | 40,611,936 | 1,449,412 | 1,111,908 | – | 2,865,687 | |||||||||||||||||
| (86,736,588) | (101,588,023 | ) | (6,929,109 | ) | (8,809,487 | ) | (136,018,196 | ) | (2,703,888,201 | ) | ||||||||||||
| 191,595,754 | 92,382,217 | (312,354 | ) | (6,189,023 | ) | (74,241,491 | ) | (437,438,453 | ) | |||||||||||||
| 213,094,401 | 179,701,092 | 1,974,979 | (3,613,695 | ) | (74,241,491 | ) | (437,438,453 | ) | ||||||||||||||
| 1,105,640,612 | 925,939,520 | 31,553,062 | 35,166,757 | 246,008,074 | 683,446,527 | |||||||||||||||||
| $ | 1,318,735,013 | $ | 1,105,640,612 | $ | 33,528,041 | $ | 31,553,062 | $ | 171,766,583 | $ | 246,008,074 | |||||||||||
| $ | (141,600) | $ | 57,515 | $ | — | $ | — | $ | — | $ | (32,386 | ) | ||||||||||
| 24,480,712 | 16,309,348 | 507,606 | 163,053 | 61,776,705 | 2,263,584,061 | |||||||||||||||||
| 4,010,919 | 4,409,004 | 142,609 | 123,075 | — | 2,865,687 | |||||||||||||||||
| (8,886,056) | (11,098,117 | ) | (681,460 | ) | (992,951 | ) | (136,018,196 | ) | (2,703,888,201 | ) | ||||||||||||
| 19,605,575 | 9,620,235 | (31,245 | ) | (706,823 | ) | (74,241,491 | ) | (437,438,453 | ) | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
339
Table of Contents
Notes to Financial Statements
As of December 31, 2010
(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 (which approximates market value) 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, 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 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, typically categorized in this level are U.S. equity securities, futures and options; Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically categorized in this level are fixed income securities, international equity securities, swaps and forward contracts; and Level 3 includes significant unobservable inputs such as the Adviser’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 fair valued as determined in good faith under procedures established by the Board of Directors. As of December 31, 2010, the following Portfolios held these types of securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Natural Resources | 1 | 0.08 | % | |||||
Partner Worldwide Allocation | 1 | 0.14 | % | |||||
Partner Growth Stock | 1 | 0.02 | % | |||||
High Yield | 1 | 0.00 | % | |||||
Partner Socially Responsible Bond | 1 | 0.38 | % | |||||
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 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.
340
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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.
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 Portfolio. During the year ended December 31, 2010, 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 Growth Stock Portfolio and Income 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 have been provided for in accordance with the applicable country’s tax rules and rates. These amounts are shown as foreign dividend tax withholding in the Statement of Operations. The Portfolios pay tax on foreign capital gains, where applicable. These amounts are shown as part of net realized gains/(losses) on investments in the Statement of Operations.
U.S. Generally Accepted Accounting Principles (“GAAP”) require management of the Portfolios to make additional tax disclosures with respect to the tax effects of certain income tax positions, whether those positions were taken on previously filed tax returns or are expected to be taken on future returns. These positions must meet a “more likely than not” standard that, based on the technical merits of the position, would have a greater than 50 percent likelihood of being sustained upon examination. 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, 2010, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2007, through 2010. Additionally, as of December 31, 2010, the tax year ended December 31, 2006, is open for Minnesota and Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
As of December 31, 2010, management of the Portfolios has reviewed all open tax years and major jurisdictions and
341
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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.
(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 tax 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 purchased options arises when the Portfolio has purchased an option, exercises 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, 2010, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner All Cap Growth Portfolio, 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, Income 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,
342
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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, 2010, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation 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, Bond Index 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 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 a 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 buyer or the protection seller.
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. Refer to the credit default swap tables located within the Portfolios’ Schedules of Investments for additional information as of December 31, 2010. During the year ended December 31, 2010, 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.
Total Rate of Return Swaps – A total rate of return swap is an agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset plus any capital gains and losses over the payment period. The underlying asset is typically an index, loan or a basket of assets. Total rate of return swaps provide the
343
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
Portfolios with the additional flexibility of gaining exposure to a market or securities index by using the most cost-effective vehicle available. During the year ended December 31, 2010, Moderate Allocation Portfolio engaged in these types of investments.
(L) Mortgage Dollar Roll Transactions – Certain Portfolios enter into dollar roll transactions on securities issued or 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.
During the period between the sale and repurchase, the Portfolios forgo principal and interest paid on the mortgage securities sold. 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. These transactions are accounted for as financing and as such the recognition of the gains/losses are deferred until the closing of the roll and are included in Net realized gains/(losses) in the Statement of Operations. During the year ended December 31, 2010, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, 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 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 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, 2010, 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, 2010, the value of securities on loan is as follows:
Portfolio | Securities on Loan | |||
Partner Technology | $ | 5,238,372 | ||
Real Estate Securities | 27,519,423 | |||
Partner Small Cap Growth | 28,348,821 | |||
Partner Small Cap Value | 18,487,061 | |||
Small Cap Stock | 13,312,905 | |||
Small Cap Index | 16,977,521 | |||
Mid Cap Growth II | 4,571,336 | |||
Mid Cap Growth | 9,450,794 | |||
Partner Mid Cap Value | 5,992,560 | |||
Mid Cap Stock | 31,931,833 | |||
Mid Cap Index | 5,039,430 | |||
Partner International Stock | 7,262,696 | |||
Partner All Cap | 475,200 | |||
Large Cap Growth II | 20,836,985 | |||
Large Cap Growth | 26,194,228 | |||
Partner Growth Stock | 652,305 | |||
Large Cap Value | 24,104,108 | |||
Large Cap Stock | 18,189,093 | |||
Large Cap Index | 1,684,274 | |||
Balanced | 938,164 | |||
High Yield | 56,244,506 | |||
Diversified Income Plus | 5,316,795 | |||
Income | 12,845,367 | |||
Limited Maturity Bond | 10,367,220 | |||
(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
344
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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, 2010, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, 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 Adviser or subadviser to be creditworthy. During the year ended December 31, 2010, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner International Stock Portfolio, Large Cap Growth Portfolio, Large Cap Value Portfolio, Large Cap Stock Portfolio, High Yield Portfolio, Income Portfolio, Limited Maturity Bond Portfolio and Money Market 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, 2010, Limited Maturity Bond Portfolio engaged in this type of investment.
(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 discretionary 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) 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.
(U) 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
345
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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 original principal 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.
Thrivent Balanced Portfolio and Thrivent Large Cap Index Portfolio are named in a class of over 3,000 shareholder defendants in an adversary action filed on November 1, 2010 by the Official Committee of Unsecured Creditors of Tribune Company (“Tribune”). The suit seeks to determine whether stock repurchases of Tribune stock in connection with a leveraged buyout of Tribune in 2007 (the “LBO Transaction”) were fraudulent transactions that can be voided requiring repurchase payments to be returned to the Tribune bankruptcy estate. The Balanced Portfolio and the Large Cap Index Portfolio tendered Tribune stock in the LBO Transaction in exchange for $115,600 and $219,300 respectively. If the plaintiffs are successful, it is reasonably possible that these Portfolios would be required to return payments in some amount. These loss contingencies have not been accrued as a liability because the amount of potential damages and the likelihood of loss cannot be reasonably estimated.
Thrivent Mid Cap Index Portfolio is a potential defendant in an adversary action filed on October 22, 2010 by the trustee of the LB Creditor Trust (“Trustee”). The suit seeks to determine whether certain pre-bankruptcy distributions in December 2007 by Lyondell Chemical Company (“Lyondell”) to its shareholders were fraudulent transactions that can be voided and repaid to Lyondell’s creditors. Lyondell paid approximately $5.9 billion to its shareholders in connection with its December 2007 merger with Basell AF S.C.A. Mid Cap Index Portfolio owned shares of Lyondell stock before the merger. On December 21, 2007, Mid Cap Index Portfolio tendered its shares of Lyondell for $1,542,720.
(V) In-Kind Redemptions – During the year ended December 31, 2009, the Thrivent Asset Allocation Portfolios, as the shareholders of Portfolios of the Fund (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 | ||||||||||||
346
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
Underlying Portfolio | Underlying Shares Redeemed | Date | In-kind Amount | Net Realized Gain | ||||||||||||
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 | ||||||||||||
(W) Recent Accounting Pronouncements
FASB ASC 820-10-65: Fair Value Measurements and Disclosures
On January 21, 2010, the Financial Accounting Standards Board issued changes to Fair Value Measurements and Disclosures which clarifies existing disclosures and requires additional disclosures regarding fair value measurements. The Portfolios will now need to disclose information about purchases, sales, transfers into and transfers out of Level 3 securities on a gross basis, rather than as a net number as previously required. The Portfolios implemented this provision for the December 31, 2010 shareholder report.
(X) Other – For financial statement purposes, investment security transactions are accounted for on the trade date. Realized gains and losses from investment transactions are determined on a specific cost identification basis, which is the same basis used for federal income tax purposes.
(3) FEES AND COMPENSATION PAID TO AFFILIATES
(A) Investment Advisory Fees – The Fund has entered into an Investment Advisory Agreement with Thrivent Financial, the 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.
The four Asset Allocation Portfolios – Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio and Moderately Conservative Allocation Portfolio – pay investment advisory fees for asset allocation services. In addition, for investments (other then 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 are 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 | % | ||||||||||||||||||||||
347
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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 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 | % | ||||||||||||||||||||||
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
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 0.45% 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
348
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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. For assets that are defined as microcap assets, the fee payable is equal to 0.80% of the average daily net assets in that microcap portion. For all other assets, the fee payable is equal to 0.65% of the average daily net assets when the entire portfolio assets (including the microcap portion) are no greater than $100 million, 0.60% of the average daily net assets when the entire portfolio assets are greater than $100 million but no greater than $350 million, and 0.575% of the average daily net assets when the entire portfolio assets are greater than $350 million. Thrivent Partner Small Cap Growth Fund (including the microcap portion of that 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 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.
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.
349
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
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, 2010, 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 | 0.19 | % | N/A | |||||
As of December 31, 2010, 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 | % | 4/30/2011 | |||||
Partner Natural Resources | 1.19 | % | 4/30/2011 | |||||
Partner Emerging Markets | 1.50 | % | 4/30/2011 | |||||
Partner Utilities | 0.90 | % | 4/30/2011 | |||||
Partner Worldwide Allocation | 1.00 | % | 4/30/2011 | |||||
Partner Socially Responsible Stock | 0.98 | % | 4/30/2011 | |||||
Partner All Cap Growth | 1.00 | % | 4/30/2011 | |||||
Partner All Cap Value | 0.98 | % | 4/30/2011 | |||||
Equity Income Plus | 0.85 | % | 4/30/2011 | |||||
Partner Socially Responsible Bond | 0.68 | % | 4/30/2011 | |||||
The expense caps for Aggressive Allocation, Moderately Aggressive Allocation, Moderate Allocation and Moderately Conservative Allocation include all indirect expenses.
Thrivent does not recoup amounts previously reimbursed or waived in prior fiscal years.
Each equity, hybrid and fixed income Portfolio may invest cash in High Yield Fund and Money Market Portfolio, subject to certain limitations. During the year ended December 31, 2010, Income Portfolio and Limited Maturity Bond Portfolio invested in High Yield Fund. During the year ended December 31, 2010, no 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 or 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, 2010, the Adviser received aggregate fees for accounting and administrative personnel and services of $6,881,062 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. Their fees as well as the change in value are included in Director’s fees in the Statement of Operations. The deferred fees remain in the appropriate fund until distribution in accordance with the plan. The deferred fee liability, included in accrued expenses in the Statement of
350
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
Assets and Liabilities, is unsecured.
Those Directors not participating in the above plan received $264,737 in fees from the Fund for the year ended December 31, 2010. 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 | $ | 2,659,088 | $ | (16,812,909 | ) | $ | 14,153,821 | |||||
Moderately Aggressive Allocation | 11,516,790 | (48,943,939 | ) | 37,427,149 | ||||||||
Moderate Allocation | 10,041,102 | (55,035,317 | ) | 44,994,215 | ||||||||
Moderately Conservative Allocation | 2,242,205 | (11,934,448 | ) | 9,692,243 | ||||||||
Partner Technology | 176,154 | — | (176,154 | ) | ||||||||
Partner Healthcare | 23,210 | (23,210 | ) | — | ||||||||
Partner Natural Resources | (953 | ) | 953 | — | ||||||||
Partner Emerging Markets | (29,959 | ) | 29,959 | — | ||||||||
Real Estate Securities | 3,834,039 | 19,908 | (3,853,947 | ) | ||||||||
Partner Utilities | (2,096 | ) | 2,096 | — | ||||||||
Partner Small Cap Growth | 884,113 | — | (884,113 | ) | ||||||||
Partner Small Cap Value | 269,961 | (269,961 | ) | — | ||||||||
Small Cap Stock | 272,508 | 47,049 | (319,557 | ) | ||||||||
Small Cap Index | (20,898 | ) | 20,898 | — | ||||||||
Mid Cap Growth II | (23,400 | ) | 23,400 | — | ||||||||
Mid Cap Growth | (3,762 | ) | 3,762 | — | ||||||||
Partner Mid Cap Value | (6,788 | ) | 6,788 | — | ||||||||
Mid Cap Stock | (11,907 | ) | 11,907 | — | ||||||||
Partner Worldwide Allocation | (483,987 | ) | 483,987 | — | ||||||||
Partner International Stock | (1,167,588 | ) | 1,167,588 | — | ||||||||
Partner Socially Responsible Stock | (5 | ) | 5 | — | ||||||||
Partner All Cap Growth | 12,323 | — | (12,323 | ) | ||||||||
Partner All Cap Value | 26,936 | (25,481 | ) | (1,455 | ) | |||||||
Partner All Cap | (465 | ) | 465 | — | ||||||||
Large Cap Growth II | 4,961 | (3,966 | ) | (995 | ) | |||||||
Large Cap Growth | 18,558 | 645,289,857 | (645,308,415 | ) | ||||||||
Partner Growth Stock | 108,809 | (749 | ) | (108,060 | ) | |||||||
Large Cap Value | (445 | ) | 445 | — | ||||||||
Large Cap Stock | 812 | (812 | ) | — | ||||||||
Large Cap Index | (47,747 | ) | 47,747 | — | ||||||||
Equity Income Plus | (1,520 | ) | 1,723 | (203 | ) | |||||||
Balanced | (27,634 | ) | 27,634 | — | ||||||||
High Yield | 72,670 | 167,103,250 | (167,175,920 | ) | ||||||||
Diversified Income Plus | (83,694 | ) | 725,174 | (641,480 | ) | |||||||
Partner Socially Responsible Bond | (218 | ) | 218 | — | ||||||||
Income | (504,048 | ) | 504,048 | — | ||||||||
Limited Maturity Bond | (587,174 | ) | 587,174 | — | ||||||||
Money Market | 49,022 | (16,636 | ) | (32,386 | ) | |||||||
At December 31, 2010, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | ||||||
Aggressive Allocation | $ | 16,665,964 | $ | 825,295 | ||||
Moderately Aggressive Allocation | 73,963,086 | 9,647,370 | ||||||
Moderate Allocation | 114,863,746 | 28,013,674 | ||||||
Moderately Conservative Allocation | 50,423,081 | 11,924,607 | ||||||
Partner Healthcare | 58,257 | 535,514 | ||||||
Partner Natural Resources | 24,409 | — | ||||||
Partner Emerging Markets | 432,330 | — | ||||||
Partner Utilities | 195,793 | — | ||||||
Partner Small Cap Value | 560,137 | — | ||||||
351
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | ||||||
Small Cap Index | 1,751,757 | 5,917,818 | ||||||
Mid Cap Growth II | 2,421,943 | 3,481,873 | ||||||
Mid Cap Growth | 1,207,667 | — | ||||||
Partner Mid Cap Value | 492,571 | — | ||||||
Mid Cap Stock | 181,451 | — | ||||||
Mid Cap Index | 714,334 | 4,829,481 | ||||||
Partner Worldwide Allocation | 296,776 | — | ||||||
Partner International Stock | 312,749 | — | ||||||
Partner Socially Responsible Stock | 39 | — | ||||||
Partner All Cap Value | 45,133 | — | ||||||
Partner All Cap | 395,784 | — | ||||||
Large Cap Growth II | 6,076,312 | 1,710,869 | ||||||
Large Cap Growth | 323,129 | — | ||||||
Large Cap Value | 207,245 | — | ||||||
Large Cap Stock | 85,020 | — | ||||||
Large Cap Index | 5,305,682 | — | ||||||
Equity Income Plus | 238,167 | — | ||||||
Balanced | 7,046,226 | 6,919,766 | ||||||
High Yield | 681,674 | — | ||||||
Diversified Income Plus | 5,830,693 | — | ||||||
Partner Socially Responsible Bond | 4,182 | — | ||||||
Income | 509,994 | — | ||||||
Bond Index | 183,405 | 863,822 | ||||||
Limited Maturity Bond | 753,574 | — | ||||||
Mortgage Securities | 136,229 | — | ||||||
At December 31, 2010, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Partner Technology | $ | 8,235,850 | 2016 | |||||
| 2,198,564 | 2017 | |||||||
| $ | 10,434,414 | |||||||
Partner Natural Resources | 19,375 | 2016 | ||||||
| 220,112 | 2017 | |||||||
| 6,424 | 2018 | |||||||
| $ | 245,911 | |||||||
Partner Emerging Markets | 52,953 | 2016 | ||||||
| 783,676 | 2017 | |||||||
| $ | 836,629 | |||||||
Real Estate Securities | 495,223 | 2016 | ||||||
| 18,439,010 | 2017 | |||||||
| $ | 18,934,233 | |||||||
Partner Utilities | 375,164 | 2016 | ||||||
| 285,260 | 2017 | |||||||
| 296,017 | 2018 | |||||||
| $ | 956,441 | |||||||
Partner Small Cap Growth | 11,917,120 | 2016 | ||||||
| 28,535,801 | 2017 | |||||||
| $ | 40,452,921 | |||||||
Partner Small Cap Value | 5,630,550 | 2017 | ||||||
| $ | 5,630,550 | |||||||
Small Cap Stock | 5,874,551 | 2016 | ||||||
| 69,139,593 | 2017 | |||||||
| $ | 75,014,144 | |||||||
Mid Cap Growth | 42,488,529 | 2017 | ||||||
| $ | 42,488,529 | |||||||
Partner Mid Cap Value | 22,855,565 | 2017 | ||||||
| $ | 22,855,565 | |||||||
Mid Cap Stock | 58,781,162 | 2016 | ||||||
| 27,996,719 | 2017 | |||||||
| $ | 86,777,881 | |||||||
Partner Worldwide Allocation | 2,053,379 | 2016 | ||||||
| 8,548,351 | 2017 | |||||||
| $ | 10,601,730 | |||||||
Partner International Stock | 99,131,508 | 2016 | ||||||
| 186,079,623 | 2017 | |||||||
| $ | 285,211,131 | |||||||
Partner Socially Responsible Stock | 99,213 | 2016 | ||||||
| 493,087 | 2017 | |||||||
| 14,165 | 2018 | |||||||
| $ | 606,465 | |||||||
Partner All Cap Growth | 501,169 | 2016 | ||||||
| 586,578 | 2017 | |||||||
| $ | 1,087,747 | |||||||
Partner All Cap Value | 133,861 | 2016 | ||||||
| 885,072 | 2017 | |||||||
| $ | 1,018,933 | |||||||
Partner All Cap | 8,117,940 | 2016 | ||||||
| 11,312,120 | 2017 | |||||||
| $ | 19,430,060 | |||||||
Large Cap Growth | 198,356,425 | 2011 | ||||||
| 163,432,783 | 2016 | |||||||
| 185,657,815 | 2017 | |||||||
| $ | 547,447,023 | |||||||
Partner Growth Stock | 10,008,308 | 2017 | ||||||
| $ | 10,008,308 | |||||||
Large Cap Value | 44,100,129 | 2016 | ||||||
| 139,308,484 | 2017 | |||||||
| $ | 183,408,613 | |||||||
Large Cap Stock | 51,250,687 | 2016 | ||||||
| 98,352,276 | 2017 | |||||||
| $ | 149,602,963 | |||||||
352
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Large Cap Index | 4,787,790 | 2017 | ||||||
| $ | 4,787,790 | |||||||
Equity Income Plus | 4,438,624 | 2016 | ||||||
| 5,497,079 | 2017 | |||||||
| $ | 9,935,703 | |||||||
High Yield | 364,926,135 | 2011 | ||||||
| 30,516,064 | 2012 | |||||||
| 10,993,224 | 2013 | |||||||
| 560,014 | 2014 | |||||||
| 42,742,264 | 2016 | |||||||
| 46,838,004 | 2017 | |||||||
| $ | 496,575,705 | |||||||
Diversified Income Plus | 9,888,303 | 2016 | ||||||
| 9,354,607 | 2017 | |||||||
| $ | 19,242,910 | |||||||
Income | 1,348,819 | 2016 | ||||||
| 51,183,448 | 2017 | |||||||
| $ | 52,532,267 | |||||||
Limited Maturity Bond | 2,898,223 | 2016 | ||||||
| 6,959,975 | 2017 | |||||||
| $ | 9,858,198 | |||||||
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.
Capital losses generated during the next fiscal year will be subject to the provisions of the Regulated Investment Company Modernization Act of 2010. If the losses are not reduced by gains during the next fiscal year, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained. Capital loss carryovers generated in future years must be fully utilized before those capital loss carryovers listed with noted expiration dates in the table above.
During the fiscal year 2010, capital loss carryovers utilized by the Portfolios were as follows:
Portfolio | Capital Loss Carryover | |||
Partner Technology | 3,142,543 | |||
Partner Emerging Markets | 10,321 | |||
Real Estate Securities | 7,571,536 | |||
Partner Small Cap Growth | 22,094,332 | |||
Partner Small Cap Value | 5,850,333 | |||
Small Cap Stock | 54,201,584 | |||
Small Cap Index | 6,962,218 | |||
Mid Cap Growth | 29,458,678 | |||
Partner Mid Cap Value | 17,793,082 | |||
Mid Cap Stock | 31,961,579 | |||
Mid Cap Index | 888,376 | |||
Partner Worldwide Allocation | 6,004,984 | |||
Partner International Stock | 7,239,202 | |||
Partner All Cap Growth | 35,174 | |||
Partner All Cap Value | 365,468 | |||
Partner All Cap | 4,804,367 | |||
Large Cap Growth | 79,095,988 | |||
Partner Growth Stock | 3,034,953 | |||
Large Cap Value | 27,055,405 | |||
Large Cap Stock | 42,856,515 | |||
Large Cap Index | 4,366,297 | |||
Equity Income Plus | 1,368,141 | |||
High Yield | 17,174,365 | |||
Diversified Income Plus | 2,208,997 | |||
Income | 40,248,124 | |||
Bond Index | 1,265,677 | |||
Limited Maturity Bond | 11,843,908 | |||
In addition, the following capital loss carryovers expired during the fiscal year 2010: Large Cap Growth Portfolio, $645,308,415; High Yield Portfolio, $167,175,920; and Diversified Income Plus Portfolio, $641,380.
The following Portfolios deferred, on a tax basis, the following post-October 2010 losses:
Portfolio | Post-October Loss | |||
Partner Utilities | $ | 6,289 | ||
Large Cap Growth | 5,651,179 | |||
Partner Socially Responsible Bond | 25,773 | |||
Bond Index | 250,653 | |||
Limited Maturity Bond | 646,902 | |||
Mortgage Securities | 167,630 | |||
These amounts are deferred for tax purposes, deemed to occur in the next fiscal year, and will be subject to the provisions of the Regulated Investment Company Modernization Act of 2010. If the losses are not reduced by gains during the next fiscal year, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained.
353
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
The tax character of distributions paid during the years ended December 31, 2010 and 2009 was as follows:
| Ordinary Income | Long-Term Capital Gain | Return of Capital | ||||||||||||||||||||||
Portfolio | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | ||||||||||||||||||
Aggressive Allocation | $ | 12,321,615 | $ | 18,295,706 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Moderately Aggressive Allocation | 82,045,060 | 77,679,068 | — | — | — | — | ||||||||||||||||||
Moderate Allocation | 122,452,842 | 103,104,758 | — | — | — | — | ||||||||||||||||||
Moderately Conservative Allocation | 48,468,152 | 36,683,505 | 2,670,270 | — | — | — | ||||||||||||||||||
Partner Healthcare | 285,849 | 1,353 | — | — | — | — | ||||||||||||||||||
Partner Natural Resources | 19,477 | — | — | — | — | — | ||||||||||||||||||
Partner Emerging Markets | — | 76,466 | — | — | — | — | ||||||||||||||||||
Real Estate Securities | 8,680,000 | 6,291,795 | — | — | — | 2,508,205 | ||||||||||||||||||
Partner Utilities | 150,229 | — | — | — | — | — | ||||||||||||||||||
Partner Small Cap Growth | — | 111,079 | — | — | — | — | ||||||||||||||||||
Partner Small Cap Value | 2,402,557 | 1,581,418 | — | 159,744 | — | — | ||||||||||||||||||
Small Cap Stock | 107,303 | 2,254,275 | — | — | — | — | ||||||||||||||||||
Small Cap Index | 1,688,689 | 3,597,439 | — | 31,411,591 | — | — | ||||||||||||||||||
Mid Cap Growth II | 3,887,907 | 1,858 | 8,287,882 | — | — | — | ||||||||||||||||||
Mid Cap Growth | 947,099 | 53,590 | — | — | — | — | ||||||||||||||||||
Partner Mid Cap Value | 1,688,800 | 1,544,209 | — | — | — | — | ||||||||||||||||||
Mid Cap Stock | 2,143,045 | 2,265,664 | — | — | — | — | ||||||||||||||||||
Mid Cap Index | 915,779 | 1,478,447 | — | 4,989,989 | — | — | ||||||||||||||||||
Partner Worldwide Allocation | 6,741,083 | 3,279,164 | — | — | — | — | ||||||||||||||||||
Partner International Stock | 16,065,985 | 18,300,363 | — | — | — | — | ||||||||||||||||||
Partner Socially Responsible Stock | 4,433 | 16,869 | — | — | — | — | ||||||||||||||||||
Partner All Cap Value | — | 56,625 | — | — | — | — | ||||||||||||||||||
Partner All Cap | 425,206 | 744,537 | — | — | — | — | ||||||||||||||||||
Large Cap Growth II | 28,106,422 | 36,404,586 | 19,348,300 | — | — | — | ||||||||||||||||||
Large Cap Growth | 5,477,772 | 6,800,000 | — | — | — | — | ||||||||||||||||||
Partner Growth Stock | 10,928 | 168,813 | — | — | — | — | ||||||||||||||||||
Large Cap Value | 10,382,197 | 12,050,128 | — | — | — | — | ||||||||||||||||||
Large Cap Stock | 4,434,436 | 5,328,987 | — | — | — | — | ||||||||||||||||||
Large Cap Index | 6,071,009 | 9,467,689 | — | 17,308,240 | — | — | ||||||||||||||||||
Equity Income Plus | 1,091,095 | 906,000 | — | — | — | — | ||||||||||||||||||
Balanced | 8,856,775 | 11,644,909 | — | 4,181,300 | — | — | ||||||||||||||||||
High Yield | 64,046,375 | 62,236,431 | — | — | — | — | ||||||||||||||||||
Diversified Income Plus | 4,650,351 | 5,981,706 | — | — | — | — | ||||||||||||||||||
Partner Socially Responsible Bond | 380,002 | 443,176 | 117,450 | 138,583 | — | — | ||||||||||||||||||
Income | 64,435,842 | 66,102,037 | — | — | — | — | ||||||||||||||||||
Bond Index | 5,092,427 | 6,320,731 | — | — | — | — | ||||||||||||||||||
Limited Maturity Bond | 39,165,559 | 40,607,051 | — | — | — | — | ||||||||||||||||||
Mortgage Securities | 1,389,516 | 1,111,908 | 59,896 | — | — | — | ||||||||||||||||||
Money Market | — | 2,865,679 | — | — | — | — | ||||||||||||||||||
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities – For the year ended December 31, 2010, 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 | $ | 322,633 | $ | 300,782 | ||||
Moderately Aggressive Allocation | 952,827 | 704,613 | ||||||
Moderate Allocation | 1,291,310 | 713,507 | ||||||
Moderately Conservative Allocation | 647,511 | 299,566 | ||||||
Partner Technology | 16,655 | 18,349 | ||||||
Partner Healthcare | 9,612 | 6,869 | ||||||
Partner Natural Resources | 5,700 | 416 | ||||||
Partner Emerging Markets | 17,197 | 878 | ||||||
Real Estate Securities | 50,265 | 44,345 | ||||||
Partner Utilities | 2,445 | 1,403 | ||||||
Partner Small Cap Growth | 168,601 | 169,127 | ||||||
Partner Small Cap Value | 45,386 | 54,042 | ||||||
Small Cap Stock | 507,180 | 542,944 | ||||||
Small Cap Index | 21,937 | 51,364 | ||||||
Mid Cap Growth II | 69,983 | 70,235 | ||||||
Mid Cap Growth | 170,570 | 216,730 | ||||||
Partner Mid Cap Value | 184,065 | 179,669 | ||||||
Mid Cap Stock | 337,416 | 380,511 | ||||||
Mid Cap Index | 10,765 | 22,793 | ||||||
Partner Worldwide Allocation | 516,857 | 297,419 | ||||||
Partner International Stock | 809,885 | 867,509 | ||||||
Partner Socially Responsible Stock | 1,652 | 2,024 | ||||||
Partner All Cap Growth | 8,253 | 6,740 | ||||||
Partner All Cap Value | 9,384 | 8,624 | ||||||
Partner All Cap | 105,847 | 114,468 | ||||||
Large Cap Growth II | 781,124 | 786,645 | ||||||
Large Cap Growth | 2,148,268 | 2,280,448 | ||||||
354
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Partner Growth Stock | 20,843 | 30,085 | ||||||
Large Cap Value | 790,147 | 797,842 | ||||||
Large Cap Stock | 955,568 | 957,991 | ||||||
Large Cap Index | 19,739 | 67,778 | ||||||
Equity Income Plus | 209,143 | 194,489 | ||||||
Balanced | 17,447 | 53,956 | ||||||
High Yield | 616,382 | 633,077 | ||||||
Diversified Income Plus | 109,968 | 99,687 | ||||||
Partner Socially Responsible Bond | 7,238 | 5,770 | ||||||
Income | 1,055,751 | 1,053,434 | ||||||
Bond Index | 12,155 | 16,424 | ||||||
Limited Maturity Bond | 779,855 | 701,641 | ||||||
Mortgage Securities | 2,667 | 7,088 | ||||||
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 59,173 | $ | 38,268 | ||||
Moderately Aggressive Allocation | 158,461 | 107,817 | ||||||
Moderate Allocation | 213,799 | 146,280 | ||||||
Moderately Conservative Allocation | 81,111 | 56,481 | ||||||
Small Cap Stock | — | 1,000 | ||||||
Small Cap Index | — | 401 | ||||||
Balanced | 354,929 | 356,151 | ||||||
Diversified Income Plus | 1,495 | 1,490 | ||||||
Partner Socially Responsible Bond | 4,662 | 3,450 | ||||||
Income | 777,043 | 816,719 | ||||||
Bond Index | 667,405 | 665,991 | ||||||
Limited Maturity Bond | 599,637 | 501,651 | ||||||
Mortgage Securities | 230,854 | 226,954 | ||||||
(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, 2010, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Balanced | 4 | 2.07 | % | |||||
High Yield | 1 | 0.57 | % | |||||
Diversified Income Plus | 2 | 1.00 | % | |||||
Partner Socially Responsible Bond | 1 | 0.17 | % | |||||
Income | 7 | 1.56 | % | |||||
Bond Index | 4 | 3.93 | % | |||||
Limited Maturity Bond | 7 | 1.57 | % | |||||
Mortgage Securities | 2 | 5.06 | % | |||||
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 lower rated categories or will be non-rated and generally will involve more risk than securities in higher rated 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, 2010, were as follows:
| Number of Contracts | Premium Amount | |||||||
Aggressive Allocation | ||||||||
Balance at December 31, 2009 | — | $ | — | |||||
Opened | 12 | 64,906 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (12 | ) | (64,906 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
Moderately Aggressive Allocation | ||||||||
Balance at December 31, 2009 | — | $ | — | |||||
Opened | 48 | 253,906 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (48 | ) | (253,906 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
Moderate Allocation | ||||||||
Balance at December 31, 2009 | — | $ | — | |||||
Opened | 67 | 356,438 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (67 | ) | (356,438 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
355
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
| Number of Contracts | Premium Amount | |||||||
Moderately Conservative Allocation | ||||||||
Balance at December 31, 2009 | — | $ | — | |||||
Opened | 26 | 140,375 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (26 | ) | (140,375 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
Large Cap Growth II | ||||||||
Balance at December 31, 2009 | 195 | $ | 11,416 | |||||
Opened | 761 | 56,800 | ||||||
Closed | (112 | ) | (6,837 | ) | ||||
Expired | (649 | ) | (49,963 | ) | ||||
Exercised | (195 | ) | (11,416 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
Large Cap Growth | ||||||||
Balance at December 31, 2009 | 457 | $ | 26,755 | |||||
Opened | 9,325 | 1,111,809 | ||||||
Closed | (5,556 | ) | (687,957 | ) | ||||
Expired | (3,618 | ) | (371,081 | ) | ||||
Exercised | (608 | ) | (79,526 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
Large Cap Stock | ||||||||
Balance at December 31, 2009 | 1,145 | $ | 415,231 | |||||
Opened | 16,236 | 6,351,831 | ||||||
Closed | (15,713 | ) | (6,428,421 | ) | ||||
Expired | (1,223 | ) | (203,402 | ) | ||||
Exercised | (145 | ) | (8,489 | ) | ||||
Balance at December 31, 2010 | 300 | $ | 126,750 | |||||
Equity Income Plus | ||||||||
Balance at December 31, 2009 | 110 | $ | 44,897 | |||||
Opened | 1,775 | 713,467 | ||||||
Closed | (1,760 | ) | (720,540 | ) | ||||
Expired | (75 | ) | (16,699 | ) | ||||
Exercised | — | — | ||||||
Balance at December 31, 2010 | 50 | $ | 21,125 | |||||
Diversified Income Plus | ||||||||
Balance at December 31, 2009 | 60 | $ | 24,405 | |||||
Opened | 760 | 304,668 | ||||||
Closed | (760 | ) | (309,718 | ) | ||||
Expired | (30 | ) | (6,680 | ) | ||||
Exercised | — | — | ||||||
Balance at December 31, 2010 | 30 | $ | 12,675 | |||||
Mortgage Securities | ||||||||
Balance at December 31, 2009 | — | $ | — | |||||
Opened | 5 | 22,000 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (5 | ) | (22,000 | ) | ||||
Balance at December 31, 2010 | — | $ | — | |||||
(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, 2010, the Portfolios engaged in purchases and sales of securities of $27,135,996 and $26,825,656, 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 | ||||||
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 | ||||||
356
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2010
Portfolio | Shares Authorized | Par Value | ||||||
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 and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.
357
Table of Contents
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 12/31/2010 | $ | 10.66 | $ | 0.10 | $ | 1.72 | $ | 1.82 | $ | (0.16 | ) | $ | (0.10 | ) | ||||||||||
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 | — | — | ||||||||||||||||||
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 10.72 | 0.17 | 1.42 | 1.59 | (0.25 | ) | (0.17 | ) | ||||||||||||||||
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 | — | — | ||||||||||||||||||
MODERATE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 10.82 | 0.22 | 1.21 | 1.43 | (0.29 | ) | (0.17 | ) | ||||||||||||||||
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 | — | — | ||||||||||||||||||
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 10.91 | 0.23 | 0.97 | 1.20 | (0.28 | ) | (0.17 | ) | ||||||||||||||||
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 | — | — | ||||||||||||||||||
PARTNER TECHNOLOGY PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 5.69 | (0.04 | ) | 1.46 | 1.42 | — | — | |||||||||||||||||
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 | ) | ||||||||||||||||
| (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.
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 Distributions | 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 | ||||||||||||||||||||||||||
| $ | (0.26 | ) | $ | 12.22 | 17.53 | % | $ | 587.1 | 0.34 | % | 0.95 | % | 0.39 | % | 0.90 | % | 68 | % | ||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.42 | ) | 11.89 | 15.43 | % | 2,505.6 | 0.28 | % | 1.83 | % | 0.28 | % | 1.83 | % | 39 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.46) | 11.79 | 13.68 | % | 3,569.4 | 0.26 | % | 2.51 | % | 0.26 | % | 2.51 | % | 30 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.45) | 11.66 | 11.41 | % | 1,591.3 | 0.28 | % | 2.81 | % | 0.28 | % | 2.81 | % | 30 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| — | 7.11 | 25.00 | % | 36.3 | 1.15 | % | (0.57 | )% | 1.15 | % | (0.57 | )% | 54 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
| (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 | Return of Capital | ||||||||||||||||||||||
PARTNER HEALTHCARE PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2010 | $ | 11.08 | $ | (0.02 | ) | $ | 1.22 | $ | 1.20 | $ | (0.02 | ) | $ | (0.18 | ) | $ | — | |||||||||||
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 12/31/2010 | 8.23 | — | 1.34 | 1.34 | (0.01 | ) | — | — | ||||||||||||||||||||
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 12/31/2010 | 9.72 | 0.06 | 2.60 | 2.66 | — | — | — | |||||||||||||||||||||
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 12/31/2010 | 11.67 | 0.22 | 2.99 | 3.21 | (0.39 | ) | — | — | ||||||||||||||||||||
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 | ) | — | |||||||||||||||||||
PARTNER UTILITIES PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2010 | 7.76 | 0.18 | 0.33 | 0.51 | (0.17 | ) | — | — | ||||||||||||||||||||
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 12/31/2010 | 10.03 | (0.07 | ) | 2.96 | 2.89 | — | — | — | ||||||||||||||||||||
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 | ) | — | |||||||||||||||||||
| (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.
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 Distributions | 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 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| $(0.20) | $ | 12.08 | 11.13 | % | $ | 17.9 | 1.39 | % | (0.15 | )% | 1.71 | % | (0.47 | )% | 45 | % | ||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.01) | 9.56 | 16.33 | % | 28.7 | 1.20 | % | (0.06 | )% | 1.28 | % | (0.15 | )% | 2 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| — | 12.38 | 27.33 | % | 40.9 | 1.50 | % | 0.74 | % | 1.88 | % | 0.36 | % | 4 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.39) | 14.49 | 27.56 | % | 329.5 | 0.87 | % | 1.62 | % | 0.87 | % | 1.62 | % | 15 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.17) | 8.10 | 6.69 | % | 7.9 | 0.91 | % | 2.80 | % | 2.48 | % | 1.23 | % | 22 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| — | 12.92 | 28.86 | % | 208.5 | 1.01 | % | (0.62 | )% | 1.11 | % | (0.72 | )% | 100 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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 SMALL CAP VALUE PORTFOLIO |
| |||||||||||||||||||||||
Year Ended 12/31/2010 | $ | 15.58 | $ | 0.13 | $ | 3.52 | $ | 3.65 | $ | (0.17 | ) | $ | — | |||||||||||
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 | ) | ||||||||||||||||
SMALL CAP STOCK PORTFOLIO |
| |||||||||||||||||||||||
Year Ended 12/31/2010 | 10.13 | (0.01 | ) | 2.54 | 2.53 | — | — | |||||||||||||||||
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 | ) | ||||||||||||||||
SMALL CAP INDEX PORTFOLIO |
| |||||||||||||||||||||||
Year Ended 12/31/2010 | 10.57 | 0.11 | 2.60 | 2.71 | (0.09 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
MID CAP GROWTH PORTFOLIO II |
| |||||||||||||||||||||||
Year Ended 12/31/2010 | 8.43 | 0.01 | 2.32 | 2.33 | — | (0.81 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
MID CAP GROWTH PORTFOLIO |
| |||||||||||||||||||||||
Year Ended 12/31/2010 | 14.42 | 0.06 | 4.12 | 4.18 | (0.04 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
| (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.
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 | ||||||||||||||||||||||||||
| $ | (0.17) | $ | 19.06 | 23.46 | % | $ | 266.9 | 0.88 | % | 0.75 | % | 0.88 | % | 0.75 | % | 19 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
| — | 12.66 | 25.09 | % | 303.2 | 0.77 | % | (0.11 | )% | 0.77 | % | (0.11 | )% | 208 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.09) | 13.19 | 25.88 | % | 220.1 | 0.46 | % | 0.86 | % | 0.46 | % | 0.86 | % | 11 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.81) | 9.95 | 28.03 | % | 160.2 | 0.72 | % | 0.12 | % | 1.02 | % | (0.18 | )% | 55 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
| (0.04) | 18.56 | 29.11 | % | 419.9 | 0.46 | % | 0.34 | % | 0.46 | % | 0.34 | % | 48 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
| (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 MID CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | $ | 10.82 | $ | 0.08 | $ | 2.58 | $ | 2.66 | $ | (0.10 | ) | $ | — | |||||||||||
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 | ) | ||||||||||||||||
MID CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 9.80 | 0.05 | 2.45 | 2.50 | (0.05 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
MID CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 10.37 | 0.11 | 2.55 | 2.66 | (0.12 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
PARTNER WORLDWIDE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 7.84 | 0.11 | 0.93 | 1.04 | (0.11 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.03 | 0.10 | 1.81 | 1.91 | (0.10 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.07 | (3.98 | ) | (3.91 | ) | (0.06 | ) | — | |||||||||||||||
PARTNER INTERNATIONAL STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 9.99 | 0.20 | 0.68 | 0.88 | (0.20 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
PARTNER SOCIALLY RESPONSIBLE STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 8.76 | — | 1.60 | 1.60 | (0.01 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.48 | 0.03 | 2.29 | 2.32 | (0.04 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 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 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 | ||||||||||||||||||||||||||
| $ | (0.10) | $ | 13.38 | 24.73 | % | $ | 232.2 | 0.85 | % | 0.72 | % | 0.85 | % | 0.72 | % | 91 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.05) | 12.25 | 25.60 | % | 511.5 | 0.73 | % | 0.45 | % | 0.73 | % | 0.45 | % | 78 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.12) | 12.91 | 25.91 | % | 94.2 | 0.54 | % | 0.81 | % | 0.54 | % | 0.81 | % | 13 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.11) | 8.77 | 13.43 | % | 522.6 | 1.00 | % | 1.73 | % | 1.05 | % | 1.68 | % | 84 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.20) | 10.67 | 8.78 | % | 889.3 | 0.83 | % | 1.97 | % | 0.91 | % | 1.89 | % | 100 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.01) | 10.35 | 18.31 | % | 4.4 | 0.98 | % | 0.05 | % | 3.63 | % | (2.60 | )% | 41 | % | ||||||||||||||||||||
| (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.
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 ALL CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | $ | 8.03 | $ | (0.01 | ) | $ | 2.05 | $ | 2.04 | $ | — | $ | — | |||||||||||
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 12/31/2010 | 7.65 | 0.03 | 1.41 | 1.44 | — | — | ||||||||||||||||||
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 12/31/2010 | 7.73 | 0.04 | 1.22 | 1.26 | (0.06 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
LARGE CAP GROWTH PORTFOLIO II | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 7.32 | 0.02 | 0.55 | 0.57 | (0.02 | ) | (0.93 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
LARGE CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 15.40 | 0.09 | 1.58 | 1.67 | (0.09 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
| (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 | ||||||||||||||||||||||||||
| $ | — | $ | 10.07 | 25.33 | % | $ | 11.8 | 1.00 | % | (0.17 | )% | 2.26 | % | (1.42 | )% | 77 | % | |||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
| — | 9.09 | 18.86 | % | 7.4 | 0.99 | % | 0.39 | % | 2.77 | % | (1.39 | )% | 146 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.06) | 8.93 | 16.34 | % | 62.4 | 1.02 | % | 0.47 | % | 1.22 | % | 0.27 | % | 180 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.95) | 6.94 | 8.35 | % | 385.1 | 0.62 | % | 0.32 | % | 0.87 | % | 0.07 | % | 231 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.09) | 16.98 | 10.90 | % | 983.3 | 0.45 | % | 0.56 | % | 0.45 | % | 0.56 | % | 231 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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 | |||||||||||||||||||
PARTNER GROWTH STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | $ | 9.93 | $ | (0.02 | ) | $ | 1.67 | $ | 1.65 | $ | — | $ | — | |||||||||||
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 | ) | ||||||||||||||||
LARGE CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 9.65 | 0.14 | 1.08 | 1.22 | (0.14 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
LARGE CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 7.72 | 0.06 | 0.78 | 0.84 | (0.06 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
LARGE CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 15.76 | 0.30 | 1.95 | 2.25 | (0.30 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
EQUITY INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 7.91 | 0.15 | 1.13 | 1.28 | (0.13 | ) | — | |||||||||||||||||
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.
368
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 Distributions | 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 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| $ | — | $ | 11.58 | 16.62 | % | $ | 61.4 | 0.95 | % | (0.19 | )% | 1.05 | % | (0.29 | )% | 36 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.14) | 10.73 | 12.61 | % | 811.3 | 0.65 | % | 1.39 | % | 0.65 | % | 1.39 | % | 109 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.06) | 8.50 | 10.82 | % | 628.3 | 0.69 | % | 0.74 | % | 0.69 | % | 0.74 | % | 181 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.30) | 17.71 | 14.63 | % | 331.5 | 0.42 | % | 1.64 | % | 0.42 | % | 1.64 | % | 6 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.13) | 9.06 | 16.23 | % | 76.3 | 0.85 | % | 2.06 | % | 0.89 | % | 2.02 | % | 362 | % | ||||||||||||||||||||
| (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.
369
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING 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 12/31/2010 | $ | 13.44 | $ | 0.34 | $ | 1.39 | $ | 1.73 | $ | (0.36 | ) | $ | (0.09 | ) | ||||||||||
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 | ) | — | |||||||||||||||||
HIGH YIELD PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 4.56 | 0.38 | 0.25 | 0.63 | (0.38 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
DIVERSIFIED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 6.14 | 0.38 | 0.55 | 0.93 | (0.32 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
PARTNER SOCIALLY RESPONSIBLE BOND PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 10.16 | 0.33 | 0.48 | 0.81 | (0.33 | ) | (0.33 | ) | ||||||||||||||||
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 12/31/2010 | 9.39 | 0.49 | 0.57 | 1.06 | (0.49 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
| (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. |
370
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 | ||||||||||||||||||||||||||
| $ | (0.45) | $ | 14.72 | 13.30 | % | $ | 270.6 | 0.44 | % | 2.13 | % | 0.44 | % | 2.13 | % | 136 | % | |||||||||||||||||
| (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) | 4.81 | 14.58 | % | 783.0 | 0.45 | % | 8.20 | % | 0.45 | % | 8.20 | % | 82 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.32) | 6.75 | 15.85 | % | 106.0 | 0.57 | % | 6.28 | % | 0.57 | % | 6.28 | % | 116 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.66) | 10.31 | 8.05 | % | 8.8 | 0.69 | % | 3.09 | % | 2.40 | % | 1.39 | % | 146 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (0.49) | 9.96 | 11.55 | % | 1,322.2 | 0.44 | % | 5.06 | % | 0.44 | % | 5.05 | % | 146 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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. |
371
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 | |||||||||||||||||||
BOND INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | $ | 10.13 | $ | 0.33 | $ | 0.60 | $ | 0.93 | $ | (0.33 | ) | $ | — | |||||||||||
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 | ) | — | ||||||||||||||||
LIMITED MATURITY BOND PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 9.62 | 0.32 | 0.18 | 0.50 | (0.32 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
MORTGAGE SECURITIES PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 9.62 | 0.35 | 0.80 | 1.15 | (0.35 | ) | (0.10 | ) | ||||||||||||||||
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 | ) | — | ||||||||||||||||
MONEY MARKET PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2010 | 1.00 | — | — | — | — | — | ||||||||||||||||||
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 | ) | — | |||||||||||||||||
| (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.
372
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 Distributions | 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 | ||||||||||||||||||||||||||
| $ | (0.33) | $ | 10.73 | 9.24 | % | $ | 161.4 | 0.46 | % | 3.12 | % | 0.46 | % | 3.12 | % | 387 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.32) | 9.80 | 5.25 | % | 1,318.7 | 0.43 | % | 3.27 | % | 0.44 | % | 3.27 | % | 102 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
| (0.45) | 10.32 | 12.09 | % | 33.5 | 0.89 | % | 3.43 | % | 0.89 | % | 3.43 | % | 676 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| — | 1.00 | — | 171.8 | 0.31 | % | (0.01 | )% | 0.50 | % | (0.19 | )% | N/A | ||||||||||||||||||||||
| — | 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 | |||||||||||||||||||||
| (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.
373
Table of Contents
(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 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 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 Agreement and Subadvisory Agreements
Both the Investment Company Act of 1940 (the “Investment Company Act”) 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 Directors who are not “interested persons” of the Fund, as defined in the Investment Company Act (the “Independent Directors”).
At its meeting on November 17, 2010, the Board of Directors 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 cost of services provided and profit 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 22, August 24, October 20 and November 16, 2010 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 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
374
Table of Contents
Additional Information
(unaudited)
comprehensive consideration of all information presented to them and not the result of any single controlling factor. The key factors considered and the conclusions reached are described below.
Nature, Extent and Quality of Services
At each of the Board’s regular quarterly meetings, 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 services 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. 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. At each quarterly meeting, the Directors of Equity and Fixed Income Investments presented information about each of the Portfolios. The Board also met on occasion with certain additional portfolio managers. These reports, presentations and meetings gave the Board an opportunity to evaluate the portfolio managers’ abilities 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 the Subadvisers to the Fund. The Independent Directors also received quarterly reports from the Fund’s Chief Compliance Officer.
The Board considered, in light of the impact of the economic downturn in recent years on the investment advisory industry generally, the adequacy of the Advisory Organizations’ resources used to provide services to the Fund pursuant to the Advisory and Subadvisory Agreements. The Adviser reviewed with the Board the Adviser’s ongoing program to enhance portfolio management capabilities, including recruitment and 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 reapproving the existing 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
In connection with each of its regular quarterly meetings, the Board received information on the performance of each Portfolio, including net performance, relative performance rankings within each Portfolio’s Lipper peer group, and performance as compared to benchmark index returns. At each quarterly Board meeting, the Directors of Equities and Fixed Income Investments reviewed with the Board the economic and market environment, risk management, and style consistency in connection with management of the Portfolios. 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, 2010, the Board noted that 68% of the internally-managed Portfolios and 56% of the subadvised Portfolios performed at or above the median of their respective Lipper peer groups. The Board concluded that the performance of each individual Portfolio was either satisfactory compared to its peer group of funds or that the Adviser had taken appropriate actions in an effort to improve performance.
Advisory Fees and Fund Expenses
The Board reviewed information prepared by MPI comparing each Portfolio’s advisory fee with the advisory fee of its peer group of funds. The Board considered both the contractual and effective advisory fees for each of the Portfolios. The Board noted that 60.0% of the Portfolios, representing 77.0% 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 77.8% of the Portfolios, representing 75.1% of total Fund assets, had effective advisory fees at or below the medians of their peer
375
Table of Contents
Additional Information
(unaudited)
groups. The Board viewed favorably the Adviser’s proposal to continue or extend fee waivers for certain Portfolios and considered the effect of the waivers in lowering the Portfolios’ expenses.
On the basis of its review, the Board concluded that the advisory fees charged to the Portfolios for investment management services were reasonable.
The Board also reviewed information prepared by MPI comparing each Portfolio’s overall expense ratio with the expense ratio of its peer group of funds. The Board noted that 80.5% of the Portfolios, representing 98.9% of total Fund assets, had net operating expenses at or below the median of their peer groups.
Cost of Services and Profitability
The Board considered the Adviser’s estimates of its profitability, which included allocations by the Adviser of its costs in providing advisory services to the Portfolios. The internal audit department of the Adviser conducted a review of such allocations and a department representative reported to the Board his views regarding the reasonableness and consistency of these allocations. The Board considered the profitability of the Adviser both overall and on a Portfolio-by-Portfolio basis. The Board also considered the expense reimbursements and waivers in effect. Based on its review of the data prepared by MPI and expense and profit information provided by the Adviser, the Board concluded that the profits earned by the Adviser from the Advisory Agreement were not excessive in light of the nature, extent and quality of services provided to the Portfolios.
With respect to fees paid to Subadvisers under the Subadvisory Agreements, the Board did not consider profitability information with respect to the Subadvisers, which are not affiliated with the Adviser. The Board considered that those contracts had been negotiated on an arm’s-length basis between the Adviser and each Subadviser, and that each 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 Board 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 Adviser explained its general goal with respect to the employment of fee waivers, expense reimbursements and breakpoints. The Board considered information provided by the Adviser related to advisory fee rates, breakpoints in the advisory fee rates and fee waivers provided by the Adviser. The Board 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.
Other Benefits to the Adviser and its Affiliates
The Board considered information regarding potential “fall-out” or ancillary benefits that the Adviser and its affiliates may receive as a result of their relationship with the Fund, both tangible and intangible, such as their ability to leverage investment professionals who manage other portfolios, reputational benefits in the investment advisory community and the engagement of affiliates as service providers to the Portfolios. The Board noted that such benefits were difficult to quantify but were consistent with benefits received by other mutual fund advisers.
The Board also considered other potential benefits to the Adviser and its affiliates derived from its relationship with the Fund, including, 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.
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.
376
Table of Contents
Board of Directors and Officers
(unaudited)
The following table provides information about the Directors and Officers of the Fund. Each Director oversees each of the 41 series of the Fund and also serves as:
| • | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 26 funds, as of December 31, 2010; 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 26 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 Currently and Within Past 5 Years | ||||
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 53 | President since 2008; Director since 2009 | 68 | 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 Currently and Within Past 5 Years | ||||
F. Gregory Campbell 625 Fourth Avenue South Minneapolis, MN Age 71 | Director since 2004 | 68 | President, Carthage College | Currently, Director of Optique Funds, Inc., an investment company consisting of one portfolio; Kenosha Hospital and Medical Center, Prairie School Board and United Health Systems Board. Previously, Director of the National Association of Independent Colleges and Universities. | ||||
377
Table of Contents
Board of Directors and Officers
(unaudited)
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 Past 5 Years | ||||
Noel K. Estenson 625 Fourth Avenue South Minneapolis, MN Age 72 | Director from 2004 until December 2010 | 68 | Retired | None | ||||
Richard L. Gady 625 Fourth Avenue South Minneapolis, MN Age 67 | Director since 2004 | 68 | Retired; previously Vice President, Public Affairs and Chief Economist, ConAgra, Inc. (agribusiness) | Previously, Director of the International Agricultural Marketing Association | ||||
Richard A. Hauser 625 Fourth Avenue South Minneapolis, MN Age 67 | Director since 2004 | 68 | Vice President and Assistant General Counsel, Boeing Company since 2007; President, National Legal Center for the Public Interest from 2004 to 2007 | Previously, Director of Washington Hospital Center | ||||
Paul R. Laubscher 625 Fourth Avenue South Minneapolis, MN Age 54 | Director since 2009 | 68 | 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 71 | Chairperson since 2009; Director since 2004 | 68 | Retired | Previously, Director of Norstan, Inc. | ||||
Douglas D. Sims 625 Fourth Avenue South Minneapolis, MN Age 64 | Director since 2006 | 68 | Retired; previously Chief Executive Officer of CoBank from 1994 to 2006 | Currently, Director of Keystone Neighbourhood Company, Keystone Center and Keystone Science School. Previously, Director of the Center for Corporate Excellence | ||||
378
Table of Contents
Board of Directors and Officers
(unaudited)
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 Past 5 Years | ||||
Constance L. Souders 625 Fourth Avenue South Minneapolis, MN Age 60 | Director since 2007 | 68 | Retired; previously Director from 1983 to 2007, Executive Vice President from 2001 to 2007 and AML Compliance Officer from 2003 to 2007 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, of Harbor Funds Distributors, Inc.; Vice President from 2000 to 2007 of Harbor Funds | None |
379
Table of Contents
Board of Directors and Officers
(unaudited)
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 53 | 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 39 | Secretary and Chief Legal Officer since 2006 | Vice President and Managing Counsel, since 2006 and Interim Investment Company and Investment Adviser Chief Compliance Officer from May 2010 to December 2010, Thrivent Financial; Partner, Kirkland & Ellis LLP from 2004 to 2006 | ||
Gerard V. Vaillancourt 625 Fourth Avenue South Minneapolis, MN Age 43 | Treasurer and Principal Accounting Officer since 2005 | Vice President, Mutual Fund Accounting Thrivent Financial since 2006, Head of Mutual Fund Accounting, Thrivent Financial from 2005 to 2006 | ||
Ted S. Dryden 625 Fourth Avenue South Minneapolis, MN Age 45 | Chief Compliance Officer since December 2010 | Investment Company and Investment Adviser Chief Compliance Officer, Thrivent Financial since December 2010; Chief Compliance Officer, OptumHealth Financial Services from 2009 to 2010; Vice President, Asset Management Compliance, Ameriprise Financial from 2006 to 2009; Chief Compliance Officer, Mason Street Advisors from 2001 to 2005 | ||
Janice M. Guimond 625 Fourth Avenue South Minneapolis, MN Age 46 | Vice President since 2005 | Vice President, Investment Operations, Thrivent Financial since 2004 | ||
Karl D. Anderson 625 Fourth Avenue South Minneapolis, MN Age 49 | Vice President since 2006 | Vice President, Products, Thrivent Financial since 2005 | ||
Brian W. Picard 4321 North Ballard Road Appleton, WI Age 40 | Vice President and Anti- Money Laundering Officer since 2006 | Director, Product Compliance and Systems Support, Thrivent Financial since 2010; Director, Business Control Services, Thrivent Financial from 2006 to 2010; Manager of Field and Securities Compliance, Thrivent Financial from 2002 to 2006 | ||
Mark D. Anema 625 Fourth Avenue South Minneapolis, MN Age 49 | 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 55 | Assistant Secretary since 2006 | Vice President and Managing Counsel, Thrivent Financial since 2005 | ||
Rebecca A. Paulzine 625 Fourth Avenue South Minneapolis, MN Age 31 | Assistant Secretary since 2010 | Counsel, Thrivent Financial since January 2010; Associate, Faegre & Benson LLP from 2005 to December 2009 | ||
380
Table of Contents
Board of Directors and Officers
(unaudited)
Name, Address and Age | Position with Fund and Length of Service (2) | Principal Occupation During the Past 5 Years | ||
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 SEC from 2000 to 2007 | ||
Todd J. Kelly 4321 North Ballard Road Appleton, WI Age 41 | Assistant Treasurer since 2004 | Director, Fund Accounting Operations, Thrivent Financial since 2003 | ||
Sarah L. Bergstrom 625 Fourth Avenue South Minneapolis, MN Age 33 | Assistant Treasurer since 2007 | Director, Fund Accounting Administration, Thrivent Financial since 2007; Manager, Fund Accounting Administration, Thrivent Financial from 2005 to 2007 | ||
| (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.” |
381
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
382
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
383
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
384
Table of Contents
Table of Contents
| 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, 2010 and $556,733 for the year ended December 31, 2009.
| (b) | Audit-Related Fees |
Table of Contents
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, 2010 and $0 for the fiscal year ended December 31, 2009. 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, 2010 and $0 for the year ended December 31, 2009.
| (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 $139,492 for the year ended December 31, 2010 and $199,480 for the year ended December 31, 2009. 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, 2010 and $0 for the year ended December 31, 2009.
| (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, 2010 and $0 for the year ended December 31, 2009. 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, 2010 and $1,500 for the year ended December 31, 2009. 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.
| (e) | Registrant’s audit committee charter, adopted in February 2010, 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, 2010, 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, 2010 and December 31, 2009 were $1,500 and $1,500, respectively. These $1,500 figures are also reported in response to item 4(d) above. |
Table of Contents
| (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.
| 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. |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Date: February 24, 2011 | 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 24, 2011 | By: | /s/ Russell W. Swansen | ||||||
| Russell W. Swansen | ||||||||
| President | ||||||||
| Date: February 24, 2011 | By: | /s/ Gerard V. Vaillancourt | ||||||
| Gerard V. Vaillancourt | ||||||||
| Treasurer | ||||||||