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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04603
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, Assistant Secretary
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: June 30, 2011
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| Item 1. | Report to Stockholders |
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Table of Contents
 | Dear Member: |
The six-month period ended June 30, 2011, was productive for investors, with major stock and bond indexes generating positive returns despite slowing U.S. economic growth.
A brief review of the economy
The U.S. economy grew at a disappointing 0.4% rate during the first quarter of 2011—revised downward from an earlier estimate of 1.9%—and at a preliminary annual rate of 1.3% during the second quarter. These figures were down from a 3.1% rate in the fourth quarter of 2010. High energy prices, weak housing sales, severe weather events, a downturn in federal government spending, and an uptick in imports all contributed to the slowdown. Prospects for a quick rebound dimmed when a devastating earthquake and tsunami struck Japan in March, disrupting global supply chains for many industries.
Weak job growth and persistently high unemployment levels also weighed on the economy. The employment picture temporarily brightened in March and April when employers added 459,000 new jobs. That brighter outlook quickly dimmed, however, when only 54,000 jobs were added in May, and a mere 18,000 in June. Meanwhile, the unemployment rate began to climb again in April after falling for four consecutive months. By June, it had risen to 9.2%, only one percentage point below its 2009 high.
On a more positive note, inflation remained in check, excluding food and energy prices. This allowed the Federal Reserve Open Markets Committee to keep its target for the federal funds rate—the rate banks charge each other for short-term loans—in a range of 0% to 0.25%. This rate influences short-term interest rates in other sectors of the market. By keeping it low, the Fed is seeking to drive economic growth by allowing companies and individuals to borrow and pay down debt at a low cost. However, this is hurting individuals who depend on income from bank savings deposits, money market funds and other conservative, short-term investment products.
A brief review of the markets
The financial markets were volatile during the first half of the year. Stock prices rose sharply through mid-February, gave up those gains by mid-March, then rose, fell and rose again. The choppy run was triggered by fast-changing economic trends, extreme weather events in the U.S., the earthquake and tsunami in Japan, shifting prospects for resolution of the Greek debt crisis, and growing concerns that China’s red-hot economy is starting to slow.
Still, major stock and bond market indexes finished the period with respectable gains. Driven by robust corporate profits, the Standard & Poor’s 500 Index of large-company stocks posted a total return—price gains plus reinvested dividends—of 6.02%, while the Russell 2000® Index of small-company stocks earned 6.21%. Growth stocks outperformed their value counterparts. The Russell 2000® Growth Index earned 8.59%, for example, while the Russell 2000® Value Index earned 3.77%.
International stocks also turned in positive results, with the MSCI EAFE Index—a widely followed benchmark for large, higher-quality international shares—posting a total return of 5.35%. France, Spain and Germany did particularly well. Notable underperforming markets included Japan, Finland, Greece and Israel.
Stocks in developing countries lagged behind their more established counterparts, hurt by concerns about the Chinese economy and similar worries about India and Brazil. The MSCI Emerging Markets Index generated a total return of 1.03%.
Bond markets were nearly as volatile as stocks, driven first by indications that the economy was picking up steam and later, by worries that it was beginning to stall. During the first two months of 2011, investors favored riskier assets, including high-yield corporate bonds. When signs emerged that economic growth was slowing, they flocked to Treasuries.
Despite that late surge, Treasuries underperformed riskier assets for the reporting period. The Barclays Capital U.S. High Yield Bond Index posted a total return of 4.97%, for example, while the Barclays Capital U.S. Treasury 3-7 Year Index, which has a comparable duration, earned 2.97%. The broadly diversified Barclays Capital U.S. Aggregate Bond Index earned 2.72%.
Outlook
After two years of economic recovery, the financial markets still face numerous uncertainties:
| • | U.S. federal debt. Economists and politicians agree that the fast-growing federal debt—officially $14.3 trillion at the end of June—must be brought under control. What remains uncertain is how and when that will happen, as well as the implications of any solution. As we write, Congress and the White House are trying to reach agreement on paring the debt, but |
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it is possible that meaningful reform will not be made until after the 2012 presidential election. Even then, the magnitude of the problem will defy easy fixes. Expect this issue to be with us for some time and to act as a drag on the economy and the financial markets until it is resolved. |
| • | European fiscal challenges. As in the U.S., it is unlikely that the debt problems afflicting several European Union countries—particularly Greece, Portugal, Ireland, Spain and, more recently, Italy—will be resolved quickly. While worth monitoring, we think it unlikely that the problems in Greece—a relatively small member of the European Union—will ignite a global recession. Still, investors should recognize this issue will periodically dominate business headlines. |
| • | The housing market. The housing market remains in a deep trough. Sales of existing homes trended lower during the first half of the year, falling to 4.8 million units in May, down from 5.7 million units from a year earlier. Prices also slipped, although the S&P/Case-Shiller Home Price Indexes showed a monthly increase in April for the first time in eight months. The percentage of seriously delinquent home loans—those that are 90 or more days past due or in foreclosure—fell to 9.7% at the end of 2010, down from 10.4% at the end of 2009. Still, that is historically high. In healthier environments, the rate has hovered around 2%. Expect the housing market to take several more years to work through the backlog of homes in foreclosure, and assume that housing values will remain near their current levels until it does. |
| • | Monetary policy. The Federal Reserve is keeping short-term interest rates at historically low levels as it tries to stimulate the economy and drive down unemployment while simultaneously maintaining price stability and avoiding inflation. This is a difficult balancing act. We expect the Fed to keep rates where they are for at least another year, which is good news for borrowers, but bad news for income-oriented investors. With inflation running at an annual rate of about 3.5% and core inflation, which excludes food and energy prices, running at about 1.5% annually, investors in money market funds and other short-term investments are actually losing ground. |
| • | The economy. The recent slowing of the economy’s growth rate was troubling, but absent extraordinary developments, it is not likely to prove a precursor to a double-dip recession. Look for the economy to begin rebounding modestly, with GDP growing at an annual rate of about 3% for the next 12 months. That will not be sufficient to drive a meaningful decline in the unemployment rate, but it should be enough to allow for continued improvements in corporate profitability. This environment may not feel good to the average American, but it will not be terrible for most investors. Besides, the economy has room to grow strongly once it regains its footing. The economy missed out on about 6 percentage points of growth during the last recession, creating what economists call an “output gap.” Typically, that gap closes over time. If we assume it will take four years to do so this time, it will add an extra 1.5 percentage points of growth to GDP in each of those years—on top of any normal growth. |
| • | China. China is the world’s second-largest economy after the U.S., and is critical to our economy. Companies in the S&P 500 generate about 40% of their earnings outside the U.S. While Europe contributes the largest share of that 40%, Asia, led by China, is the next-biggest player. Lately, economists have worried that China’s remarkable growth trajectory—which was in excess of 10% last year—is unsustainable. In fact, China GDP grew at an annual rate of 9.7% during this year’s first quarter, and fell to a rate of 9.5% in the second quarter. Meanwhile, the Chinese government has taken measures to rein in inflation, which has exceeded its targets. If the government overshoots, it could slow the economy too much, with negative implications not only for China, but for the rest of the world. Expect this situation to periodically unnerve the financial markets until it is resolved. |
In conclusion
With so many uncertainties at home and abroad, it is important for investors to approach the coming months with reasonable expectations: modest U.S. economic growth, continued high unemployment, and ongoing debate about how to solve the debt problems facing the U.S. and Europe. We expect corporate profits to continue growing, albeit not at the rates we saw in 2010, which will be favorable for stocks. Nonetheless, financial markets will likely travel a rocky path to higher ground.
The easiest time to be an investor is when all indicators are pointing in the same direction. This is a more challenging environment, and a more typical one. If you are uncertain about its implications for your financial situation, meet with your Thrivent Financial representative soon. He or she can make sure you are on track to meet your goals and your investments are in-line with your tolerance for risk. Let us know if we can be of any further assistance, and as always, thank you for continuing to put your trust with us.
| Sincerely, |
 |
Russell W. Swansen
President Thrivent Series Fund, Inc. |
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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 six-month period ended June 30, 2011?
Thrivent Aggressive Allocation Portfolio earned a return of 5.37%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of 5.39%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 6.02% and 2.72%, respectively.
What factors affected the Portfolio’s performance?
Performance was moderately below its equity index benchmark and well ahead of its fixed-income index. Over the period, we allocated an average of 8% of the Portfolio to fixed-income securities and 92% to various equity market segments, which is consistent with the Portfolio’s long-term strategic allocations and remains our current target allocation.
Fixed-income holdings generally performed well versus their respective fixed-income benchmarks but did not keep pace with the stronger advance in equities; the exception to that being our investments in high-yield securities. High-yield bonds did provide excellent returns that were reasonably competitive with equity securities, particularly when adjusting for volatility.
The Portfolio’s allocation to mid- and small-cap securities aided results as these segments of the market outpaced large-capitalization U.S. stocks. U.S. equities performed better than large-capitalization foreign stocks and emerging-markets segments. The Portfolio does have some exposure to foreign markets, and that limited the Portfolio’s advance versus the U.S. equity benchmark. Also offsetting some of our advantage was subpar stock selection results in both the large-cap growth and mid-cap growth allocations in the Portfolio. Mid-cap growth outperformed large-cap indexes, but our holdings did not keep pace with the mid-cap growth benchmark.
What is your outlook?
The equity markets have advanced significantly from the lows seen in March 2009. A significant factor in that equation has been corporate earnings, which have recovered quite strongly. Relative to their history, large-cap U.S. stocks appear to be reasonably valued when measured against current earnings expectations. Relative to bonds, equities appear to offer better value. With the geopolitical uncertainty in the Middle East and Northern
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Africa, high oil and commodity prices, and accelerating inflation in many economies, we feel it prudent to maintain allocations of equities and fixed income at our long-range strategic targets. Within the equity accounts, we have shifted some assets from mid- and small-capitalization sectors to large-capitalization companies as the latter segment appears to offer greater relative value. Internationally, we are seeing the same bias as large-capitalization companies appear to be more attractively valued. Emerging markets, while offering attractive growth, face inflation challenges that will require policy actions, which may not be conducive to continued strong local equity market gains.
In fixed income, we believe the bias in interest rates will be up, particularly in shorter maturities, as U.S. monetary policymakers are likely to end their program of aggressive liquidity creation.
Portfolio Facts
As of June 30, 2011
Net Assets | $625,157,907 | |
NAV | $12.51 | |
NAV - High† | 4/29/2011 - $13.29 | |
NAV - Low† | 6/24/2011 - $12.03 | |
Number of Holdings: 436 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 31.35% | 3.95% | 6.15% |
| * | 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.
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| 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 six-month period ended June 30, 2011?
Thrivent Moderately Aggressive Allocation Portfolio earned a return of 4.58% as compared to the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of 4.89%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 6.02% and 2.72%, respectively.
What factors affected the Portfolio’s performance?
Performance was moderately below its equity index benchmark and well ahead of its fixed-income index with an average of 22% of the Portfolio invested in fixed-income securities and 78% in various equity market segments. Fixed-income holdings performed well compared to their respective benchmarks, but did not keep pace with the stronger advance in equities. An exception to that can be found in high-yield bonds, which provided excellent returns that were reasonably competitive with equity securities.
The Portfolio’s allocation to mid- and small-cap securities aided results, as these segments outpaced large-cap U.S. stocks. U.S. equities performed better than large-cap foreign stocks and emerging-markets segments. The Portfolio has some exposure to foreign markets, which limited its advance compared to the U.S. equity benchmark, as did subpar stock selection in large-cap growth and mid-cap growth allocations.
What is your outlook?
The equity markets have advanced significantly from the lows seen in March of 2009. A significant factor in that equation has been that corporate earnings have recovered quite strongly. Relative to their history, large-cap U.S. stocks appear to be reasonably valued when measured against current earnings expectations. Relative to bonds, equities appear to offer better value. With the geopolitical uncertainty in the Middle East and Northern Africa, high oil and commodity prices and accelerating inflation in many economies, we feel it prudent to maintain allocations to equities and fixed-income securities at our long-range strategic targets. Internationally, large-cap
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companies appear more attractively valued. Emerging markets, while offering attractive growth, face inflation challenges that will require policy actions, which may not be conducive to continued strong local equity market gains. In fixed income, we believe the bias in interest rates will rise, particularly in shorter maturities, as U.S. monetary policymakers are likely to end their program of aggressive liquidity creation.
Portfolio Facts
As of June 30, 2011
Net Assets | $2,777,572,551 | |
NAV | $12.05 | |
NAV - High† | 4/29/2011 - $12.77 | |
NAV - Low† | 6/24/2011 - $11.68 | |
Number of Holdings: 479 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 4/29/2005 | ||
| 25.65% | 4.21% | 5.92% |
| * | 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.
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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 six-month period ended June 30, 2011?
Thrivent Moderate Allocation Portfolio earned a return of 4.00%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of 4.26%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 6.02% and 2.72%, respectively.
What factors affected the Portfolio’s performance?
Performance was comfortably between the Portfolio’s equity and fixed-income benchmark indexes. Over the period, we allocated approximately 59% of portfolio assets to equity investment categories, while the remainder—approximately 41%—was invested across fixed-income options.
Fixed-income holdings performed well compared to their benchmarks, but did not keep pace with the stronger advance in equities, with the exception of our investments in high-yield securities. High-yield bonds provided excellent returns that were reasonably competitive with equity securities, particularly when adjusting for volatility.
The Portfolio’s allocation to mid- and small-cap securities aided results, as these segments outpaced large-cap U.S. stocks. U.S. equities performed better than large-cap foreign stocks and emerging-market segments.
The Portfolio has some exposure to foreign markets, which limited its advance compared to the U.S. equity benchmark. Also offsetting some of our advantage was subpar stock selection in the Portfolio’s large- and mid-cap growth allocations. Mid-cap growth outperformed large-cap indexes, but our holdings did not keep pace with the benchmark.
What is your outlook?
The equity markets have advanced significantly from the lows seen in March 2009. Corporate earnings, which have recovered quite strongly, are a key factor. Relative to their history, large-cap U.S. stocks appear to be reasonably valued when measured against current earnings expectations. Relative to bonds, equities appear to offer better value. With the geopolitical uncertainty in the Middle East and Northern Africa, high oil and commodity prices, and accelerating inflation in many economies, we feel it is prudent to maintain allocations to equities and fixed-income securities at our long-range strategic targets.
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Internationally, we are seeing the same bias as large-cap companies appear to be more attractively valued. Emerging markets, while offering attractive growth, face inflation challenges that will require policy actions, which may not be conducive to continued strong local equity market gains. In fixed income, we believe the bias in interest rates will be up, particularly in shorter maturities, as U.S. monetary policymakers are likely to end their program of aggressive liquidity creation.
Portfolio Facts
As of June 30, 2011
Net Assets | $4,078,457,138 | |
NAV | $11.82 | |
NAV - High† | 4/29/2011 - $12.51 | |
NAV - Low† | 6/24/2011 - $11.57 | |
Number of Holdings: 492 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 4/29/2005 | ||
| 20.27% | 4.64% | 5.84% |
| * | 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.
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| 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 six-month period ended June 30, 2011?
Thrivent Moderately Conservative Allocation Portfolio earned a return of 3.18%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of 3.47%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 6.02% and 2.72%, respectively.
What factors affected the Portfolio’s performance?
Approximately 39% of Portfolio assets were allocated to equity categories while the remainder was invested across fixed-income options. Fixed-income holdings generally performed well compared to their respective benchmarks, but did not keep pace with the stronger advance in equities (except for our investments in high-yield securities, which provided excellent returns that were competitive with equities).
U.S. equities performed better than large-cap foreign stocks and emerging-markets segments. The Portfolio has some exposure to foreign markets, which limited its advance versus the U.S. equity benchmark.
Subpar selection in large-cap and mid-cap growth allocations offset some of our better results. Mid-cap growth outperformed large-cap indexes, but our holdings did not keep pace with the benchmark. Mid- and small- cap core and value holdings performed well. Large value and core allocations were generally in line with their respective indexes.
What is your outlook?
The equity markets have advanced significantly from the lows seen in March 2009. A significant factor in that equation has been corporate earnings, which have recovered quite strongly. Relative to their history, large-cap U.S. stocks appear to be reasonably valued when measured against current earnings expectations. Relative to bonds, equities appear to offer better value. With the geopolitical uncertainty in the Middle East and Northern Africa, high oil and commodity prices, and accelerating inflation in many economies, we feel it is prudent to
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maintain allocations to equities and fixed income at our long-range strategic targets.
Internationally, we are seeing the same bias as large-cap companies appear to be more attractively valued. Emerging markets, while offering growth, face inflation challenges that will require policy actions, which may not be conducive to continued strong local equity market gains. In fixed income, we believe the bias in interest rates will be up, particularly in shorter maturities, as U.S. monetary policymakers are likely to end their program of aggressive liquidity creation.
Portfolio Facts
As of June 30, 2011
Net Assets | $1,857,522,421 | |
NAV | $11.62 | |
NAV - High† | 4/29/2011 - $12.20 | |
NAV - Low† | 6/24/2011 - $11.46 | |
Number of Holdings: 382 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 14.96% | 4.80% | 5.47% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Partner Technology Portfolio earned a return of 0.12%, compared with the median return of its peer group, the Lipper Science and Technology category, of 3.11%. The Portfolio’s market benchmark, the NASDAQ Composite Index, earned a return of 5.01%.
What factors affected the Portfolio’s performance?
Rackspace Hosting, Inc., a leading provider of hosting and cloud computing services, contributed to performance during the reporting period. Within industrials, Iron Mountain, a leader in records management, data storage and online backup, contributed to performance. Its shares rose after management announced a strategic plan for enhancing shareholder value. Xilinx, Inc., a semiconductor chip company that is a leader in programmable logic devices (PLDs), contributed to performance during the period. Shares of Xilinx rose after the company reported solid earnings growth and raised guidance for next quarter.
Dolby Laboratories, Inc., detracted from performance during the period. Dolby’s shares declined after the company lowered its earnings guidance for 2011 to reflect weaker consumer trends in personal computers and televisions.
NVIDIA Corp., a new holding in the Portfolio, detracted from performance. The company designs microprocessors for use in computers and mobile devices. STR Holdings, Inc., a company that engineers a material that is used in the production of solar panels, also detracted from performance. The company lowered its second quarter earnings guidance due to a deceleration in orders in its solar business, which was a result of the policy-driven decline in global demand for solar modules.
What is your outlook?
Midway through 2011, we believe the most significant factor for the U.S. equity markets for the remainder of the year will be the fallout from the completion of the Federal Reserve Board’s second round of quantitative easing (referred to as “QE2”). We believe the program has created a fertile environment for forward-looking stock pickers as the momentum rally ends and companies begin to trade more in-line with underlying fundamentals. In our view, the Fed’s actions have led to rising commodity costs and we believe certain companies will be challenged to
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maintain cost structure without sacrificing revenue growth. We believe companies with strong brands and pricing power will be able to pass along inflationary pressures and maintain margins throughout the recovery. Specifically, we believe our Portfolio is well-positioned due to our focus on identifying the companies that can provide a differentiated product or service and those that benefit from secular tailwinds, which we believe will enable these types of companies to sustain growth without sacrificing price.
Portfolio Facts
As of June 30, 2011
Net Assets | $35,426,159 | |
NAV | $7.12 | |
NAV - High† | 5/10/2011 - $7.44 | |
NAV - Low† | 6/17/2011 - $6.68 | |
Number of Holdings: 38 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | 10-Year | ||
| 31.93% | 4.03% | -0.98% |
| * | 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.
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 | 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 six-month period ended June 30, 2011?
Thrivent Partner Healthcare Portfolio earned a return of 5.54%, compared with the median return of its peer group, the Lipper Health/Biotechnology Index category, of 14.48%. The Portfolio’s market benchmark, the MSCI World Healthcare Index, earned a return of 13.47%.
What factors affected the Portfolio’s performance?
Not being invested in certain strong-performing stocks, such as providers and services stocks (up +21% YTD) and being underweighted in large-cap pharmaceuticals (up +11% YTD) hurt performance relative to the benchmark. However, strong performance was delivered by medtech St. Jude Medical (+12%) and generic Mylan (+17%), biotechs Novo Nordisk (+12%) and Ariad (+30%) and pharmaceuticals GlaxoSmithKline (+11%) and Roche Holding AG (+14%).
What is your outlook?
In the pharmaceutical sector, despite the market’s recent focus on capital allocation changes as the driver behind strong performance (i.e., Johnson & Johnson buying medtech Synthes, Pfizer promising spin-offs and buybacks, and Sanofi buying biotech Genzyme) we remain confident in pipeline progress, the traditional driver of performance. Pharmaceutical companies with meaningful generic hedges (e.g., biologics exposure and devices), significant exposures to emerging markets, and development of interesting pipelines appear to offer the most attractive investment opportunities. At the time of this writing, these pharmaceutical companies are trading at 11 times 2011earnings with an attractive dividend yield. In biotech, earnings are expected to grow at 20% while the industry pipeline should continue to advance. We anticipate recent approvals and pipeline progress to position the industry for continued growth despite a deteriorating pricing and reimbursement environment. We expect biotechnology companies to significantly outgrow the pharmaceutical market. For generics, we expect companies based in emerging pharmaceutical markets to continue performing well, benefiting from strong domestic growth driven mainly by branded generics. Japan, a potentially huge market for generics that is currently not well-penetrated, is showing some
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signs of progress, but more political support is still needed. Over the next few quarters, Japan’s government will begin discussions on health care reform (to be implemented in April 2012), and it is our contention that improving health care affordability by promoting generic penetration will be high on the reform agenda. At the time of this writing, the industry remains attractively valued at 13 times 2011 earnings, with projected sales and earnings growth of 15% annually over the next five years. Medtechs, currently trading well above 2011 earnings, are expected to continue to grow, led by companies developing products offering significant innovations with marked improvements over current treatment practice.
Portfolio Facts
As of June 30, 2011
Net Assets | $19,613,277 | |
NAV | $12.35 | |
NAV - High† | 5/31/2011 - $13.13 | |
NAV - Low† | 3/16/2011 - $11.71 | |
Number of Holdings: 36 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | From Inception 4/30/2008 | |
| 20.11% | 8.64% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Partner Natural Resources Portfolio earned a return of 9.23%, compared with the median return of its peer group, the Lipper Natural Resources category, of 2.48%. The Portfolio’s market benchmark, the S&P North American Natural Resources Sector Index, earned a return of 5.62%.
What factors affected the Portfolio’s performance?
The Portfolio’s outperformance in the first six months of 2011 was attributable to especially strong security selection within the materials sector, as well as the well-timed allocation emphasis on real estate investment trusts (REITs) and agriculture/food at the expense of the weaker-performing materials and energy industries in the second half of the period. Materials dramatically underperformed energy in the first half, and—on average—we were underweighted in the sector. Furthermore, the areas we emphasized—fertilizers and metals and mining—benefited from solid security selection that provided outperformance relative to the space. Notable in this regard were holdings in fertilizer and chemical companies, including Monsanto (MON), CF Industries (CF) and Syngenta (SYT); the latter-period purchases of Walter Energy (WLT) and Freeport-McMoRan (FCX); and the broad avoidance of pure-play gold miners.
Our later-period pursuit of REITs and agriculture/food exposure proved to be well-timed as well, in a more-cautious environment for the commodity-related materials and energy sectors that account for almost the entire index.
Office REIT Boston Properties (BXP) and corn refiner Corn Products International (CPO) were exceptional contributors within REITs and ag/food, respectively. While the energy group performed well in the last six months (and much better than materials), the industry was still able to contribute to returns, due to the bulk of the underweightings concentrated in the second half of the period when energy was an underperformer, as well as solid security selection. Holdings that contributed significantly to performance included Global Geophysical (GGS) in services, International Coal (ICO) in coal, Transocean (RIG) in drilling, and EOG (EOG) in exploration.
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What is your outlook?
While we regard current valuations in energy as generally fair for mid-cycle, we continue to believe supply constraints are a very real and sustainable factor in energy markets, and they create better-than-appreciated visibility on oil prices, which will be “higher for longer” and see macro-driven pullbacks as chances to be opportunistic. Our current emphasis is on oil services and exploration and production companies with higher exposure to international and offshore markets. We harbor similar long-term reflation beliefs regarding materials markets, and look for supply/demand imbalances and a weakening dollar to provide a backdrop for strong appreciation in key commodities. We especially favor coal, but find miners of most metals (industrial and precious) to be attractive as a group. We are biased toward fertilizer and agricultural chemical companies that we believe will benefit from the supply shortages.
Portfolio Facts
As of June 30, 2011
Net Assets | $38,548,809 | |
NAV | $10.44 | |
NAV - High† | 4/29/2011 - $11.03 | |
NAV - Low† | 1/6/2011 - $9.43 | |
Number of Holdings: 41 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | From Inception 4/30/2008 | |
| 44.94% | 1.45% |
| * | 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.
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 | 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 six-month period ended June 30, 2011?
Thrivent Partner Emerging Markets Portfolio earned a return of 1.72%, compared with the median return of its peer group, the Lipper Emerging Markets category, of -0.40%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index, earned a return of 1.03%.
What factors affected the Portfolio’s performance?
The Portfolio outpaced the benchmark during the review period. The relative outperformance was mainly driven by stock selection, especially in Brazil and India. Brazilian retailer Lojas Renner benefited from healthy first-quarter results that showed continued momentum in same-store sales and higher revenue from its financial services division, as well as its acquisition of homeware retailer Camicado. Strong results also supported Souza Cruz’s share price. In India, Hindustan Unilever was boosted by takeover speculation of its parent. Elsewhere, Indonesian conglomerate Astra International continued to perform well on the back of an expected recovery in vehicle production following Japan’s earthquake. Mexican soft-drink bottler Femsa benefited from its plans to merge its Coke bottling operations with local, privately held conglomerate Grupo Tampico.
Main portfolio changes included two new purchases and a sale. We introduced Siam Commercial Bank—one of Thailand’s biggest lenders with a strong consumer banking business and leadership positions in bancassurance and wealth management—on valuation grounds. The company is a well-managed lender in Thailand’s under-penetrated financial services sector. We also established a position in Garanti, a high-quality Turkish lender with a solid domestic retail franchise that is attractively valued. We funded the purchase with the proceeds from Walmart’s partial offer for South African retailer Massmart. Against this, we divested Israeli software developer Check Point after its good relative performance.
What is your outlook?
Emerging stock markets may remain vulnerable to various headwinds that have troubled investors during the first half of 2011. Continued unrest in the Arab world poses an uncertain outlook for oil prices, while the end of the U.S. Federal Reserve’s regular liquidity injections may lead to further market volatility. At the same time, we believe Europe still faces contagion risks, even though Greece’s acceptance of further austerity measures has temporarily removed the threat of a debt default. Tighter monetary
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conditions have caused some short-term deceleration in growth in several developing economies, but deteriorating macro data suggests that central banks may be tempted to end policy tightening soon. Inflationary pressures are expected to level off in the second half as cooling economic growth and falling commodity prices are reflected in the market.
Portfolio Facts
As of June 30, 2011
Net Assets | $43,226,242 | |
NAV | $12.46 | |
NAV - High† | 4/8/2011 - $12.78 | |
NAV - Low† | 2/10/2011 - $11.46 | |
Number of Holdings: 56 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | From Inception 4/30/2008 | |
| 29.03% | 8.01% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The MSCI Emerging Markets Index is a modified capitalization-weighted index of selected emerging economies from around the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Real Estate Securities Portfolio earned a return of 10.78%, compared with the median return of its peer group, the Lipper U.S. Real Estate category, of 9.67%. The Portfolio’s market benchmark, the FTSE NAREIT All Equity REITs Index, earned a return of 10.62%.
What factors affected the Portfolio’s performance?
Real estate investment trust (REIT) stocks performed well during the first six months of 2011. Investment performance exceeded returns of the general equity market and fixed-income sectors. Demand for yield-oriented investments continued to be strong as a result of historically low interest rates. Net cash flows into real estate mutual funds totaled $6.5 billion during the first half of 2011, with real estate fund assets surpassing $100 billion for the first time. New construction of all property types has been limited, which has allowed vacancy rates to stabilize. The best-performing property sector has been multifamily, with a relatively low current vacancy rate of 6%. Apartment rental rates have increased by 5 to 7% over the last year in major coastal markets including New York City, Washington, D.C., and San Francisco.
The best performing sectors in the Portfolio were multifamily, regional mall, self-storage properties and data centers. The worst-performing sectors were lodging, health care and suburban office REITs. The Portfolio’s largest positive contributors to performance were Simon Property Group, which develops, owns and manages regional malls, outlet centers and community shopping centers in the U.S. and internationally; Equity Residential, which acquires, develops and manages apartment communities in the U.S.; and Boston Properties, which acquires, develops and manages office properties in New York City, Boston, Washington, D.C., and San Francisco.
What is your outlook?
Interest rates are likely to remain low for an extended period of time, which will benefit higher-yielding assets in general, and dividend-paying stocks such as REITs in particular. The commercial real estate market’s recovery will likely continue to be gradual, with the exception of multifamily, which is experiencing strong current demand and pricing power due to low vacancy rates and the struggling single family housing market. Vacancy rates are substantially above historical average levels for suburban office, industrial and retail properties, and are
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likely to remain high until a more robust U.S. economic recovery occurs. Construction activity is expected to remain low for all property types, which should benefit occupancy levels and rental rates over time.
The Portfolio has exposure to companies within each property sector with the largest individual holdings being in large-capitalization REITs with what we believe are experienced management teams and high quality real estate portfolios. In addition, the Portfolio also has exposure in mid- and small-capitalization REITs with similar characteristics.
Portfolio Facts
As of June 30, 2011
Net Assets | $357,506,143 | |
NAV | $16.05 | |
NAV - High† | 5/31/2011 - $16.58 | |
NAV - Low† | 1/11/2011 - $14.37 | |
Number of Holdings: 123 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 4/30/2003 | ||
| 34.04% | 2.40% | 12.10% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Partner Utilities Portfolio earned a return of 7.64%, compared with the median return of its peer group, the Lipper Utility category, of 10.49%. The Portfolio’s market benchmarks, the S&P 500 Utilities Index and the S&P 500 Telecommunications Services Index, earned returns of 9.06% and 7.06%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio’s underperformance relative to its peer group in the first six months of 2011 was attributable to its ongoing exposure to, and poor security selection within, the telecommunication services sector, which underperformed utilities in the period. This was only partially offset by the positive impact of security selection within utilities. Within utilities, the Portfolio benefited from its emphasis on the relative outperforming independent power producers and especially solid security selection in the more traditional multi- and electric utility spaces. Independent power producers, Constellation Energy Group (CEG) and Calpine (CPN), were notable contributors to performance, as was our large underweighting of bellwethers Pacific Gas and Electric (PCG) and Exelon (EXC). In electric utilities, our holdings in El Paso Electric (EE) and ITC Holdings (ITC) made strong gains. Finally, our overweighted stance on the best-performing gas utility group was appropriate, but the outperformance was constrained to only a few companies, and our holdings in UGI (UGI) and Southwest Gas (SWX) significantly trailed the index. The roughly 20% of the Portfolio focused on Telecom-related sectors proved to be an anchor to performance in a period in which utilities ranked among the best-performing industries in the broader market. While our cable holdings, including Time Warner Cable (TWC), added to performance, wireless holdings, like SBA Communications (SBAC) and integrated holdings like Qwest (Q), were laggards relative to their sectors and the index.
What is your outlook?
Within utilities, we expect to focus on owning companies located in states with a positive regulatory environment, or where they have the potential to show improvement (currently in the Midwest and Southeast). In non-regulated power and energy businesses, we see opportunities in natural gas pipelines and transmission, natural gas storage, oil and gas, energy and power services, and construction services.
The potential closing of many older, inefficient coal power plants due to proposed EPA regulations should create significant opportunities for renewables exposure.
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The oversupply of power—which has hurt the independent power producers and unregulated merchant power generators over the past several years—should reverse in the near future.
Finally, we view regulated utilities to be trading at the high end of historical valuation metrics, while non-regulated power looks inexpensive.
Within telecommunications, we continue to see value among the cash-flow rich cable companies, domestic providers of next-generation enterprise services, and international wireless providers.
Portfolio Facts
As of June 30, 2011
Net Assets | $9,390,517 | |
NAV | $8.54 | |
NAV - High† | 5/10/2011 - $8.84 | |
NAV - Low† | 3/16/2011 - $8.02 | |
Number of Holdings: 35 | ||
† For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | From Inception 4/30/2008 | |
| 24.78% | -3.07% |
| * | 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 Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| *** | The S&P 500 Utilities Index is a capitalization-weighted index of utilities sector securities. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
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.
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| 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 six-month period ended June 30, 2011?
Thrivent Partner Small Cap Growth Portfolio earned a return of 10.62%, compared with the median return of its peer group, the Lipper Small-Cap Growth category, of 10.60%. The Portfolio’s market benchmark, the Russell 2000® Growth Index, earned a return of 8.59%.
What factors affected the Portfolio’s performance?
Although the market was jolted by one crisis after another during the first three months of the year—including the nuclear crisis in Japan, the European debt crisis, uprisings in the Middle East, and a civil war in Libya—it still managed to post a gain. Partially offsetting these events was the continued strength in corporate profits and strong balance sheets flush with cash.
The Portfolio, which focuses on investing in companies with above-average earnings growth, beat results of the benchmark for the six-month period ended June 30, 2011. With the exception of the financial services sector, every Portfolio sector posted gains. Contributing the most to relative performance were holdings in the health care sector while the financial services sector detracted the most. Within the health care sector, the health insurer AMERIGROUP Corp., which focuses on providing managed care through sponsored programs such as Medicaid and Medicare Advantage, benefited from an increase in membership rates along with rate increases in three states, most notably Texas, where AMERIGROUP has a 30% market share. Biopharmaceutical company Amarin Corp. soared after the company reported positive results in their trial for a fish-oil treatment aimed at lowering the risk of heart disease. The study showed that the drug lowered LDL (bad cholesterol), whereas most triglyceride-lowering drugs often end up raising LDL levels.
In the financials sector, Greenhill & Co. was the largest detractor to performance. The merger advisory firm traded lower, weighed down by lower advisory revenues and higher expenses, indicating a slowdown in the company’s global business activity. The performance of trading firm Knight Capital Group Inc. also impaired results. Knight Capital is vulnerable to weaker equity volumes and lower volatility and could potentially be impacted by increased regulation by the SEC as a result of
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the flash crash that occurred in May 2010.
What is your outlook?
In our view, the global economic slowdown is only temporary, much of it caused by environmental factors disrupting supply chains, such as flooding and tornadoes in the U.S., and the Japanese earthquake and subsequent tsunami. Potential catalysts for the economy during the second half include the December 31 expiration of the accelerated depreciation on capital expenditures, stronger demand for autos, slowly improving employment, and the possibility of a favorable tax treatment for the repatriation of U.S. dollars. As the global economy begins to reaccelerate, we believe it should boost the stock market during the remainder of 2011.
Portfolio Facts
As of June 30, 2011
Net Assets | $230,201,461 | |
NAV | $14.29 | |
NAV - High† | 4/29/2011 - $15.03 | |
NAV - Low† | 1/21/2011 - $12.90 | |
Number of Holdings: 209 | ||
† For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | From Inception 11/30/2001 | ||
46.37% | 4.50% | 5.74% |
| * | 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.
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| Thrivent Partner Small Cap Value Portfolio |
Subadvised by T. Rowe Price Associates, 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 six-month period ended June 30, 2011?
Thrivent Partner Small Cap Value Portfolio earned a return of 3.97%, compared with the median return of its peer group, the Lipper Small-Cap Value category, of 3.54%. The Portfolio’s market benchmark, the Russell 2000® Value Index, earned a return of 3.77%.
What factors affected the Portfolio’s performance?
Our stocks in the industrials and business services sector outpaced those in the index. Two holdings were among the Portfolio’s top absolute contributors—Kirby and Robbins & Myers. Kirby is the largest domestic tank barge operator in the U.S., handling about one-third of inland traffic. The firm recently announced plans for two acquisitions, which should allow a more diversified business, as it will begin handling more varied cargo and add coastal routes to its current inland ones. Robbins & Myers is a supplier of engineered equipment and systems for the global energy, industrial, chemical and pharmaceutical markets. New horizontal drilling technology in the liquid natural gas market has increased interest in the company’s products, providing a nice tailwind for the stock.
Stock selection and a substantially underweighted position aided performance versus the index in the financial sector. As a whole, the sector continues to struggle against structural and regulatory headwinds.
Our consumer discretionary stocks outperformed those in the index for the six-month period. Stock selection was particularly strong in the specialty retail space as the economic recovery, however muted, boosted revenues for firms like Aaron’s, a rent-to-own retailer.
The energy sector detracted from performance as our stocks did not keep pace with those in the index. Independent oil and natural gas companies Forest Oil and Penn Virginia were notable laggards. Declining prices have hurt both companies. In addition, a glut of liquid natural gas in the U.S. created by heightened drilling in new shale discoveries has restrained their pricing ability.
Health care also underperformed due to stock selection. In particular, the health care providers and services industry weighed on relative results, as did not owning some strong-performing benchmark names.
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What is your outlook?
Although several major concerns have clouded the environment for U.S. stocks, including the government’s challenge of reining in the budget deficit, raising the debt ceiling, and the weak housing market, we believe they will prove transitory as the second half of 2011 unfolds. We remain optimistic about the outlook for stocks and have confidence in our proprietary research and ability to identify undervalued companies in diverse sectors.
Portfolio Facts
As of June 30, 2011
Net Assets | $271,284,049 | |
NAV | $19.78 | |
NAV - High† | 4/29/2011 - $20.72 | |
NAV - Low† | 6/13/2011 - $18.57 | |
Number of Holdings: 166 | ||
† For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | From Inception 4/30/2003 | ||
31.31% | 5.21% | 12.72% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Small Cap Stock Portfolio earned a return of 6.55%, compared with the median return of its peer group, the Lipper Small-Cap Core category, of 6.14%. The Portfolio’s market benchmark, the Russell 2000® Index, earned a return of 6.21%.
What factors affected the Portfolio’s performance?
The Portfolio’s in-line performance in the first six months of 2011 reflects the offsetting impacts of strong security selection in consumer and technology, and lagging selection results in the energy, health care and industrial industries. In consumer, our cautious emphasis on food-related companies and special situations proved timely. Holdings in natural products marketer Herbalife (HLF) and nut distributor Diamond Foods (DMND) were especially strong contributors in the period, with athletic footwear retailer Foot Locker (FL) also generating significant returns as new management continued to execute a turnaround.
Within technology, our emphasis on software companies that focused on the management of exploding amounts of data and the related analytic support continued to pay off with particular performance contributions from TIBCO (TIBX), CommVault (CVLT) and Informatica (INFA). Also, one of our holdings, GSI Commerce (GSIC), proved to be as strategically placed in the Internet commerce tool industry as we believed based on the fact that eBay (EBAY) purchased the company at a large premium.
Our emphasis on coal, as well as oil exploration and services within energy was diametrically opposed to what the market rewarded. Further, our oil-related holdings performed worse than their sub-industry peers, especially oil services provider Complete Production (CPX) and oil exploration companies Forest Oil (FST) and Swift Energy (SFY), which suffered from poor execution against their exploration and production plans.
Health care holdings United Therapeutics (UTHR) and Salix Pharmaceutical (SLXP) both had disappointing drug trial developments that led to large discounts of their respective potentials. Our industrial positioning in engineering and construction names, including EMCOR (EME) and Shaw Group (SHAW), proved premature.
What is your outlook?
We believe that domestic economic growth will disappoint due to persistently weak employment and housing markets, but that corporate profitability will
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continue to surprise positively due to demand from developing and emerging markets, as well as sustained productivity gains. We look for a benign inflation environment despite continued commodity volatility and do not expect the Fed to raise rates until at least 2012. We favor late-cycle positioning and still see particular value in health care and financials. We believe the biggest sources of risk to our relatively optimistic outlook are the possibility of a default or debt restructuring in Europe (which we expect to happen beyond 2011); a global growth slowdown caused by overly aggressive Chinese monetary tightening; and an earlier-than-expected move away from domestic bond market investments caused by a lack of progress in addressing the U.S. fiscal deficit.
Portfolio Facts
As of June 30, 2011
Net Assets | $308,187,577 | |
NAV | $13.49 | |
NAV - High† | 4/29/2011 - $14.04 | |
NAV - Low† | 1/21/2011 - $12.52 | |
Number of Holdings: 87 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | 10-Year | ||
| 39.47% | 2.32% | 6.14% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Small Cap Index Portfolio earned a return of 7.31%, compared with the median return of its peer group, the Lipper Small-Cap Core category, of 6.14%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of 7.54%.
What factors affected the Portfolio’s performance?
The Portfolio is managed to replicate the performance of the S&P SmallCap 600 Index, a prime measure of small stock performance. We seek to maintain a fully invested position with limited transactions to minimize costs. As typically occurs with an index fund, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses, minor differences in portfolio composition and the timing and size of cash flows.
Small-cap stocks outperformed large-cap stocks and slightly underperformed mid-cap stocks for the last six months. All sectors within the index and the Portfolio achieved a positive return. Health care and energy had the highest returns. The stocks of industrials and financials were the weakest performers. In the second quarter, market participants appeared to become concerned about the continued strength of the recovery in the face of heightened geopolitical risks, higher energy prices and persistently high inflation in emerging economies.
What is your outlook?
The Portfolio will remain invested in stocks represented in the benchmark index to track the performance of the S&P SmallCap 600 Index. This can offer individuals an attractive way to take advantage of the growth potential of the broad, diversified marketplace of small-cap stocks.
Smaller-cap stocks have earned premium returns versus larger-cap issues in the past fiscal year. This environment persisted in the early part of the most recent period as investors’ preference for risk assets continued to be supported by rapid earnings and revenue growth, low interest rates, and the perception that market liquidity would remain high. Such an environment favors mid- and small-capitalized companies.
The financial markets appear to be resolving some of the uncertainty and ambiguity that had prevailed in the last economic crisis. Nonetheless, the recovery is subpar and global growth is slowing while inflation and geopolitical
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risks are increasing. Equity markets fell in the second quarter, reflecting some of these heightened uncertainties. We still believe there is solid opportunity in the small-cap arena, but the premium return for small stocks versus large-capitalization companies is likely to be limited in the future as the economic cycle continues to mature.
Portfolio Facts
As of June 30, 2011
Net Assets | $216,617,169 | |
NAV | $13.63 | |
NAV - High† | 4/29/2011 - $14.55 | |
NAV - Low† | 1/21/2011 - $13.02 | |
Number of Holdings: 603 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 36.54% | 4.37% | 7.47% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Mid Cap Growth Portfolio II earned a return of 5.98%, compared with the median return of its peer group, the Lipper Mid-Cap Growth category, of 8.62%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of 9.59%.
What factors affected the Portfolio’s performance?
The Portfolio lagged behind its competitors and the benchmark over the period as we increased our defensive position in anticipation of the end of the Fed’s quantitative easing policy. We did not own enough high multiple consumer stocks over the period, and this hurt us as investors rushed to buy them and were willing to pay premiums for select growth names. Our late-cycle industrial stocks lagged as investors opted for high-beta, high-growth names. Our energy holdings did well over the period as did our technology stock picks.
What is your outlook?
We think the appeal of high-multiple, high-risk stocks will wane as we approach the back half of 2011. One consequence of the Fed’s monetary policy has been an increase in commodity prices around the world as paper dollars are converted into real assets. Recent economic data points to a slowdown in GDP growth in the second half of 2001. This appears to be primarily the result of higher commodity prices impacting margins. To date, we have not seen the jobs picture improve in any material way, which is also a drag on GDP growth.
We believe the Fed’s quantitative easing program has provided a lot of support to equity valuations, and with this program winding down, the market may hit a speed bump. We also believe higher commodity prices will begin to take a toll on margins and earnings-per-share (EPS) growth.
In this environment, we remain overweighted in energy and materials companies that should benefit from commodity inflation. We are cautious about the effect of commodity inflation on input costs for many companies, as it will impact margins and hence, earnings. We remain extremely cautious about high multiple consumer discretionary stocks as, we believe, they will bear the brunt of the margin compression. We are also underweighted in high multiple technology stocks as we
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believe they are priced to perfection. A slowdown in GDP growth should lead to EPS multiple compressions in these companies. We are overweighted in more defensive sectors, such as consumer staples and health care that has more stable EPS profiles.
Portfolio Facts
As of June 30, 2011
Net Assets | $168,378,993 | |
NAV | $10.16 | |
NAV - High† | 4/29/2011 - $10.77 | |
NAV - Low† | 6/24/2011 - $9.79 | |
Number of Holdings: 96 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | From Inception 11/30/2001 | ||
| 39.25% | 8.17% | 5.05% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Mid Cap Growth Portfolio earned a return of 5.59%, compared with the median return of its peer group, the Lipper Mid-Cap Growth category, of 8.62%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of 9.59%.
What factors affected the Portfolio’s performance?
The Portfolio lagged behind its competitors and the benchmark over the period as we increased our defensive position in anticipation of the end of the Fed’s quantitative easing policy.
We did not own enough high-multiple consumer names over the period, and this hurt us as investors rushed to buy them and were willing to pay premiums for select growth names. Our late-cycle industrial names lagged as investors opted for high-beta, high-growth names. Our energy stocks did well over the period, as did our technology stock picks.
What is your outlook?
We think the appeal of high multiple, high-risk stocks will wane as we approach the back half of 2011. One consequence of the Fed’s monetary policy has been an increase in commodity prices around the world as paper dollars are converted into real assets. Recent economic data points are already pointing to a slowdown in GDP growth during the second half of 2011. This appears to be primarily due to the impact of higher commodity prices on margins. To date, we have not seen the jobs picture improve in any material way, which is also a drag on GDP growth.
We believe that the Fed’s quantitative easing program has provided a lot of support to equity valuations, and with this program winding down, the market may hit a speed bump. We also believe higher commodity prices will begin to take a toll on margins and earnings-per-share (EPS) growth.
In this environment, we remain overweighted in energy and materials companies that should benefit from commodity inflation. We are cautious about how this will affect input costs for many companies, as it will impact margins and, hence, earnings. We remain extremely cautious about high multiple consumer discretionary stocks as, we believe, they will bear the brunt of the
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margin compression. We are also underweighted in high multiple technology stocks as we believe they are priced to perfection. A slowdown in GDP growth should lead to EPS multiple compressions in these companies. We are overweighted in more defensive sectors, such as consumer staples and health care that have more stable EPS profiles.
Portfolio Facts
As of June 30, 2011
Net Assets | $416,947,876 | |
NAV | $19.54 | |
NAV - High† | 4/29/2011 - $20.06 | |
NAV - Low† | 3/16/2011 - $18.25 | |
Number of Holdings: 101 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | 10-Year | ||
| 40.11% | 9.12% | 6.31% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2010?
Thrivent Partner Mid Cap Value Portfolio earned a return of 6.07%, compared with the median return of its peer group, the Lipper Mid-Cap Value Index category, of 5.80%. The Portfolio’s market benchmark, the Russell Midcap® Value Index, earned a return of 6.69%.
What factors affected the Portfolio’s performance?
Stock selection in information technology and consumer discretionary sectors contributed to performance, whereas stock selection in the energy and financials sectors detracted from results.
At the stock level, the Portfolio’s top-performing holding for the reporting period was media company DISH Network Corp. DISH Network’s churn materially dropped following its quarterly results, which surprised the market. The Portfolio’s stock selection was strongest in the information technology sector, due to our position in Polycom, Inc., a provider of communications solutions including telepresence, group video and group voice systems. Shares of Polycom rose after the company reported excellent first-quarter results, driven by strong revenue growth in its voice and video communication businesses.
Stock selection was the weakest in the financial sector, driven by our holdings in Genworth Financial, Inc. and Janus Capital Group, Inc. Shares of Genworth Financial declined largely due to concerns over its significant exposure to consumer home loans. Janus Capital Group, with its equity-sensitive business mix, was negatively impacted by recent weakened performance.
At the stock level, Newfield Exploration Co. was among the bottom performing stocks. Newfield Exploration was negatively impacted by a combination of weaker oil prices, concerns over flooding in the Williston Basin, and its potential impact on near-term results.
What is your outlook?
We remain cautiously optimistic about the U.S. equity market, despite persisting macro, geopolitical and regulatory uncertainties. Valuations remain compelling, especially after the recent pullback in the second quarter, and many companies are trading at depressed levels. We continue to expect management teams to be focused on
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returning value to shareholders through mergers and acquisitions (M&As), buybacks, dividends and deleveraging of balance sheets, providing further catalysts. Additionally, we continue to believe we are entering a more fertile environment for forward-looking stock pickers as stock correlations decline and companies begin to trade more in line with underlying fundamentals.
Portfolio Facts
As of June 30, 2011
Net Assets | $245,459,359 | |
NAV | $14.17 | |
NAV - High† | 5/2/2011 - $14.58 | |
NAV - Low† | 3/16/2011 - $13.43 | |
Number of Holdings: 113 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 36.79% | 5.33% | 7.55% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Mid Cap Stock Portfolio earned a return of 5.73%, compared with the median return of its peer group, the Lipper Mid-Cap Core category, of 7.85%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of 8.08%.
What factors affected the Portfolio’s performance?
Stock selection within the energy and financials sectors was responsible for most of the Portfolio’s underperformance.
Solid returns within the information technology and materials sectors offset some of the underperformance. Three investments—Weatherford International, Forest Oil Corporation and Alpha Natural Resources—accounted for the energy sector’s underperformance. All three companies executed poorly, with issues ranging from cost overruns to lower-than-expected production.
Northern Trust Corporation held back the financial sector’s performance. However, unlike the energy investments, Northern Trust suffered from a poor macro backdrop rather than poor execution. The company is highly leveraged to a rising interest-rate environment, and with rates continuing to decline during the period, results were lackluster. Solid stock selection across the information technology sector, including timely investments within the services, software and semiconductor industries, aided Portfolio performance. Finally, an unsolicited takeover offer for Temple-Inland Inc. and stellar execution by Albemarle Corporation benefited the materials sector.
What is your outlook?
The market continues to fluctuate between a macro and a micro focus. While the year began with a focus on positive micro fundamentals, including solid corporate earnings, balance sheets and cash flows, the second quarter ended with a focus on significant macro headwinds, including European austerity measures, emerging-market interest-rate increases, natural disasters, rising commodity prices and U.S. budget deficit issues.
Market sentiment swung from bullish to bearish as the first half of the year progressed. Many of the macro headwinds seem to be subsiding as the second half of 2011 approaches. Europe appears closer to resolving the Greek debt crisis for at least the next year or two. While Greek solvency questions remain, ultimate resolution may be deferred. China may stop raising interest rates soon as progress has been made in the fight against
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inflation. Japan is rebounding from its natural disasters more quickly than expected.
Commodity price increases have partially reversed, led by food and energy costs. We believe the Portfolio is tactically positioned to take advantage of, in our view, the improving macro backdrop and negative market sentiment. The energy, information technology, industrials and financials sectors are all overweighed within the Portfolio. One sector that may seem defensive—health care—is also overweighted. The health care sector should benefit from a number of factors, including being part of the solution to lower medical expenses, increasing innovation, pent-up demand from a lack of capital expenditures over the past few years, and increased utilization from rising employment.
Portfolio Facts
As of June 30, 2011
Net Assets | $526,649,234 | |
NAV | $12.95 | |
NAV - High† | 4/29/2011 - $13.61 | |
NAV - Low† | 1/4/2011 - $12.28 | |
Number of Holdings: 74 | ||
† For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | 10-Year | ||
| 37.96% | 4.85% | 5.81% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Mid Cap Index Portfolio earned a return of 8.32%, compared with the median return of its peer group, the Mid-Cap Core category, of 7.85%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of 8.56%.
What factors affected the Portfolio’s performance?
Because it 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 it with any alterations in the composition of the index itself. As typically occurs with an index fund, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses, minor differences in portfolio composition, and the timing of cash flows.
Mid-cap stocks outperformed large-cap and small-cap stocks. All 10 sectors posted positive returns. Consumer staples and health care posted the most positive returns. This is a continuation of a trend, as these sectors performed well during the previous six-month period.
Financials and telecommunication service underperformed the other sectors. In the mid-cap segment, financial companies with relatively high exposure to nondomestic markets performed relatively poorly within the group.
What is your outlook?
The Portfolio seeks to remain invested in a way that tracks the performance of the S&P MidCap 400 Index. This can be an attractive way for individuals to take advantage of the investment potential of the broad, diversified marketplace for mid-cap stocks.
Over the last six months, investors’ attitudes varied from being extremely risk-averse to less risk-averse, particularly as related to non-U.S. exposures and liquidity. Mid-cap companies, particularly those exposed to the domestic markets and U.S. consumers, outperformed their large-cap counterparts, despite heightened uncertainty related to the modest nature of the economic recovery in the U.S.
Typically, as an economic cycle matures, investors begin to favor large-capitalization companies over mid- and small-cap companies. We believe attractive opportunities
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are available in the mid-cap marketplace in the months ahead. At the same time, we expect the premium return that has persisted since the onset of the bull market in March of 2009 to be reduced in the future as the economic cycle is extended.
Portfolio Facts
As of June 30, 2011
Net Assets | $93,326,861 | |
NAV | $13.06 | |
NAV - High† | 4/29/2011 - $14.48 | |
NAV - Low† | 6/24/2011 - $12.63 | |
Number of Holdings: 403 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | 10-Year | ||
| 38.70% | 6.18% | 7.51% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Partner Worldwide Allocation Portfolio earned a return of 4.29%, compared with the median return of its peer group, the Lipper International Core category, of 4.85%. The Portfolio’s market benchmark, the MSCI All Country World Index ex-USA, earned a return of 4.11%.
What factors affected the Portfolio’s performance?
Large-cap growth and value allocations in the Portfolio performed in-line with their respective benchmarks as did allocations to small- and mid-cap EAFE markets and emerging-market debt. The factor that limited results relative to the index was performance in the emerging-market equity segment of the Portfolio. Our Portfolio performed well relative to the segment benchmark, but the emerging-market category did not keep pace with the stronger advance that occurred in developed markets. Emerging-market stocks have been under pressure as many of those economies are facing significant inflation pressures and monetary policies have been tightened to truncate further price escalation. Concerns have escalated that actions may have a detrimental effect on expected growth, particularly in China.
What is your outlook?
We anticipate continuing disparity of returns among markets and individual stocks in the year ahead, which presents both a risk and an opportunity. Sentiment is presently quite low, which some would argue is a bullish signal. One area where we anticipate improvement from very low current sentiment is in Japan, as its production disruptions dissipate and reconstruction stimulus begins to take hold. An area where dour sentiment is likely to persist longer term is in peripheral Europe and the broader European banking sector. These markets seems poised for a near-term relief rally on any news that is less negative than expected, but the magnitude of the challenges would seem to preclude a sustainable improvement in investor sentiment over the medium term.
Emerging-market valuations have adjusted downward and seem to us to be more reasonably valued. Economic
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fundamentals are a bit uncertain given the inflation challenges evident in some of the major emerging economies like Russia, China, India and Brazil. Slowing growth and tighter monetary policy in China should impact the commodity-based economies of Russia and Brazil as China remains a key source of incremental demand and many emerging markets are directly or indirectly impacted by changes in China. We believe growth will be sustained but acknowledge that intermediate risks are modestly elevated.
Portfolio Facts
As of June 30, 2011
Net Assets | $588,606,331 | |
NAV | $9.14 | |
NAV - High† | 5/2/2011 - $9.14 | |
Net - Low† | 3/16/2011 - $8.32 | |
Number of Holdings: 490 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
1-Year | From Inception 4/30/2008 | |
| 29.12% | -1.65% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Partner International Stock Portfolio earned a return of 4.95%, compared with the median return of its peer group, the Lipper International Core category, of 4.85%. The Portfolio’s market benchmark, the MSCI EAFE Index, earned a return of 5.35%.
What factors affected the Fund’s performance?
The Portfolio benefited from stock selection within the information technology, financials and consumer discretionary sectors. Alternatively, stock selection was least effective in the industrials, consumer staples and health care sectors. From a country perspective, stock selection was effective in Japan, the United Kingdom and Australia, and least effective in France, Switzerland and Belgium. The largest positive individual contributors to Portfolio performance for the period included Iluka Resources, an Australia-based metals and mining company, ARM Holdings, a U.K.-based semiconductor manufacturer, and SJM Holdings, a casino operator in Macau. Alternatively, Bekaert, a Belgium-based company specializing in advanced metal transformation and materials and coatings, Kinross Gold, a Canada-based gold miner, and Barrick Gold, a Canada-based gold and copper miner, were among the stocks that contributed negatively to Portfolio performance.
Performance was supported by a rebound in the oversold Japanese companies. Several Japanese holdings registered double-digit gains. Japan’s recovery is showing signs of progress with machinery order growth rising to a four- month high in May as the rebuilding kicked in. German and Swiss stocks underperformed for the period. Lastly, Spanish and Portuguese banks were weak as renewed fears of a Greek debt default roiled the market.
What is your outlook?
We anticipate continuing disparity of returns among markets and individual stocks in the year ahead, which presents both a risk and an opportunity. Sentiment is presently quite low, which some would argue is a bullish signal. One area where we anticipate improvement from very low current sentiment is in Japan, as its production
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disruptions dissipate and reconstruction stimulus begins to take hold. An area where dour sentiment is likely to persist longer term is in peripheral Europe and the broader European banking sector. These markets seem poised for a near-term relief rally on any news that is less negative than expected, but the magnitude of the challenges would seem to preclude a sustainable improvement in investor sentiment over the medium term.
Portfolio Facts
As of June 30, 2011
Net Assets | $892,505,408 | |
NAV | $11.20 | |
NAV - High† | 5/2/2011 - $11.65 | |
NAV - Low† | 3/16/2011 - $10.15 | |
Number of Holdings: 199 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | 5-Year | 10-Year | ||
| 30.82% | 1.06% | 4.18% |
| * | 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.
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 | Thrivent Partner Socially Responsible Stock Portfolio |
Subadvised by Calvert Investment Management, Inc. (formerly 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 six-month period ended June 30, 2011?
Thrivent Partner Socially Responsible Stock Portfolio earned a return of 8.66%, compared with the median return of its peer group, the Lipper Large-Cap Core category, of 5.00%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 6.02%.
What factors affected the Portfolio’s performance?
In the most recent six months, we have seen strong performance from the Portfolio. There were a number of stand-out performers in the Portfolio, but none comes close to Green Mountain Coffee Roasters. This maker of the Keurig single-serving brewer leaped nearly 160% since our initial purchase in early January. Other big contributors to performance included Netflix and Chipotle Mexican Grill. Netflix continues to dominate the video delivery business and Chipotle’s focus on “better for you” food has produced consistently strong sales.
Target was a significant underperformer and was sold midway through the period. While we admire this innovative retailer, they have been unable to engineer a rebound in sales in the wake of the recession. Our other big disappointment has been financials. While a couple of our holdings, American Express and mutual fund company Franklin Resources, performed well, our bank holdings were significant laggards. Most fundamentals for the banks have been solidly improving since the recession, but regulatory and legal clouds continue to deter investors from the group.
What is your outlook?
The stock market seems to be searching for direction. A late June rally notwithstanding, the key investment controversy remains unresolved: Is global growth stalling or simply pausing? The answer to that question will likely be a few months in coming. We believe that the softer data we’ve seen owes mostly to temporary factors tied to
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the after-effects of the earthquake in Japan and the drag of the spring surge in oil prices. Japan is getting back to normal and oil has retreated about 15% from its recent high. If our more charitable view of the causes of the weakness is correct, we expect the next few months will see acceleration in economic activity.
The Portfolio continues to be positioned to benefit from global growth. We remain underweighted in the traditionally defensive sectors like consumer staples, health care and utilities, and overweighted in the more growth-leveraged sectors like information technology and consumer discretionary. We are about benchmark-weighted in financials, an atypical positioning for most growth portfolios. Because we build our Portfolio from the bottom up on a stock-by-stock basis, getting these sector over- and underweightings right tends to matter less than choosing the right stocks.
Portfolio Facts
As of June 30, 2011
Net Assets | $5,824,088 | |
NAV | $11.25 | |
NAV - High† | 5/31/2011 - $11.42 | |
NAV - Low† | 1/4/2011 - $10.48 | |
Number of Holdings: 49 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | From Inception 4/30/2008 | |
37.28% | 4.05% |
| * | 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.
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 | Thrivent Partner All Cap Growth Portfolio |
Subadvised by Calamos Advisors LLC
Thrivent Partner All Cap Growth Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in 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 six-month period ended June 30, 2011?
Thrivent Partner All Cap Growth Portfolio earned a return of 7.72%, compared with the median return of its peer group, the Lipper Multi-Cap Growth category, of 6.18%. The market benchmark, the Russell 3000® Growth Index, earned a return of 6.98%.
What factors affected the Portfolio’s performance?
Within the Portfolio, our relative security selection in the consumer discretionary and information technology sectors added value during the period. Within information technology, we focus on companies offering products that enhance consumer and corporate productivity, as well as those that we believe can capitalize upon considerable consumer demand for the latest gadgets and electronics. We have chosen holdings that we believe stand to benefit from the current innovation cycle—which is bringing different technologies together—as well as from the pent-up demand for technology upgrade spending. In our view, strong growth catalysts remain within the sector, along with higher relative cash levels, lower debt and valuations we believe are attractive.
Security selection within the materials sector detracted from relative performance compared to the Russell 3000® Growth Index. We believe strong Asian demand, dollar devaluation and global reflation efforts should help sustain commodity prices, potentially benefiting the Portfolio’s holdings. We currently favor those companies tied to the agricultural feed and fertilizer industries, as well as companies associated with gold mining and production.
What is your outlook?
Markets continue to trade on a choppy and somewhat range-bound path, as investors debate whether the current economic slowdown is a temporary side effect of energy price spikes and the natural disasters in Japan, or part of a broader global economic malaise. We are in an important time period with the completion of the Fed’s formal quantitative easing program, leaving us to evaluate market implications and whether additional Fed intervention is forthcoming. Our macroeconomic research is focused on a wide range of areas, including the conflicts between various central bank monetary policies, the extent of U.S. dollar devaluation and the ability of emerging markets to contain high inflation and navigate a soft landing. The recent uncertainty
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involving concern over U.S. unemployment and housing data and the future of Greece and the eurozone has influenced us to become more defensive—or less cyclically sensitive—in the Portfolio. With respect to current opportunities, we expect corporate earnings to remain a source of strength and provide a level of support to equities. In the current environment, our focus remains on globally diversified businesses with strong brands and solid balance sheets, while we are generally avoiding companies operating in highly regulated industries. We continue to believe in the relative attractiveness of growth equities, as current growth equity valuations are appealing and offer solid long-term investment opportunities.
Portfolio Facts
As of June 30, 2011
Net Assets | $14,666,207 | |
NAV | $10.84 | |
NAV - High† | 4/29/2011 - $11.16 | |
NAV - Low† | 3/16/2011 - $10.06 | |
Number of Holdings: 88 | ||
† For the six months ended June 30, 2011 | ||
Average Annual Total Returns1
As of June 30, 2011
1-Year | From Inception 4/30/2008 | |
47.11% | 2.59% |
| * | 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.
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 | Thrivent Partner All Cap Value Portfolio |
Subadvised by OppenheimerFunds, Inc.
Thrivent Partner All Cap Value Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in small- and mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. The Portfolio is also subject to the risks of investing in foreign (including emerging market) stocks. These and other risks are described in the Portfolio’s prospectus. 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 six-month period ended June 30, 2011?
Thrivent Partner All Cap Value Portfolio earned a return of 4.80%, compared with the median return of its peer group, the Multi-Cap Value category, of 6.10%. The Portfolio’s market benchmark, the Russell 3000® Value Index, earned a return of 5.74%.
What factors affected the Portfolio’s performance?
During the period, managed health care company Humana, Inc. was the top-performing stock for the Portfolio in the health care sector and in the Portfolio overall. Humana raised its 2011 forecast and reported earnings that beat Wall Street expectations. National Semiconductor Corp. was the top-performing stock for the Portfolio within information technology. Shares of the stock rose substantially higher following an announcement that Texas Instruments planned to acquire the company. Chemical products manufacturer Celanese Corporation within the materials sector contributed significantly to the Portfolio’s performance. The stock performed well as Celanese demonstrated an increase in revenue growth, net income, earnings per share and solid cash flow as demand for its products expanded. Within the energy sector, oil and gas equipment and service provider Halliburton Co. led in terms of positive contributors, benefiting from rising oil prices and increased demand. Viacom, Inc. in the consumer discretionary sector performed well, as the stock climbed to new highs, mainly due to the popularity of programming on its Nickelodeon and MTV stations. Within consumer discretionary, the weakening U.S. economy and pessimistic American consumers adversely affected the stock performance of apparel retailer Talbots, Inc. Investment banking and brokerage firm Goldman Sachs Group, Inc. was a significant detractor to Portfolio performance during the reporting period, as was brokerage firm E*TRADE Financial Corp. In general, financials was the weakest-performing sector of the index, and the Portfolio’s holdings in these two securities in particular underperformed amidst uncertainty over the future of the global economic recovery and disappointing earnings. Within materials, two securities were the primary detractors from Portfolio performance. Construction and engineering firm Great Lakes Dredge & Dock Corp. was a new position the Portfolio initiated during the period. AerCap Holdings NV, a top aviation leasing company that is European-based, had a difficult reporting period.
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What is your outlook?
At period end, the Portfolio relative to the Index had significantly overweighted positions in the materials, consumer discretionary and industrials sectors. It was also overweighted in energy. The Portfolio was significantly underweighted in financials, telecommunication services, utilities, health care and information technology when compared to the Index.
Portfolio Facts
As of June 30, 2011
Net Assets | $8,051,788 | |
NAV | $9.47 | |
NAV - High† | 5/2/2011 - $9.95 | |
NAV - Low† | 3/16/2011 - $9.06 | |
Number of Holdings: 43 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | From Inception 4/30/2008 | |
| 33.98% | -0.60% |
| * | 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.
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 | Thrivent Partner All Cap Portfolio |
Subadvised by Pyramis Global Advisors, LLC, an affiliate of Fidelity Investments
Thrivent Partner All Cap Portfolio seeks long-term growth of capital.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. 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 six-month period ended June 30, 2011?
Thrivent Partner All Cap Portfolio earned a return of 3.51%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of 5.39%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 6.35%.
What factors affected the Portfolio’s performance?
The energy and consumer discretionary sectors detracted from performance. In the energy sector, the investment in oil and gas exploration and production company Forest Oil detracted from performance. Forest Oil shares declined after the company announced first-quarter earnings that were lower than analysts’ estimates, due to lower natural gas prices. In the consumer discretionary sector, the overweighting in office supply retailer Staples detracted from performance. Staples shares declined sharply as the company posted first-quarter earnings that missed Wall Street estimates, driven by weaker-than-expected margins.
The health care and information technology sectors were the largest contributors to performance. In the health care sector, overweightings in pharmaceutical company Valeant Pharmaceuticals contributed to performance.
Shares of Valeant rose after the company forecast 2011 earnings that were higher than analysts’ estimates boosted by cost synergies from the Biovail acquisition. Additionally, shares rose on positive investor sentiment after the company made a $5.7 billion takeover bid for drugmaker Cephalon. In the information technology sector, the overweighting in chip manufacturer Avago Technologies contributed to performance. Avago shares rose after the company announced second-quarter earnings and guided third-quarter revenue forecasts higher than consensus estimates.
What is your outlook?
We believe the markets are focused on whether the global economy is in a mid-cycle slowdown or poised for another more sustained growth deterioration. We continue to believe that the economic environment is supportive of risk assets and we remain constructive on the U.S. equity market. We believe economic growth will continue to be moderate and the more-recent slowdown has been more of a result of production issues rather than a dampening in global demand.
Macro influences continue to dominate the market’s trading pattern and though intra-stock correlations have fallen in recent months, the impact of the “risk on, risk
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off” environment remains a dominant one. As such, we are monitoring the beta of the Portfolio closely as we believe its influence on performance is greater than in past periods. We have not made any sizable changes to the Portfolio as a result, but we are more aware of our exposure. From a positioning standpoint, our sector portfolio managers have not made many major shifts to their positioning or themes. The one exception has been in the consumer area where we have diversified our prorecovery thesis some and added opportunistically to other areas that are not as leveraged to consumer spending, such as media and gaming.
Portfolio Facts
As of June 30, 2011
Net Assets | $60,170,582 | |
NAV | $9.18 | |
NAV - High† | 4/29/2011 - $9.59 | |
NAV - Low† | 6/24/2011 - $8.78 | |
Number of Holdings: 113 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 30.64% | 3.41% | 2.75% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Large Cap Growth Portfolio II earned a return of 3.66%, compared with the median return of its peer group, the Lipper Large-Cap Growth category, of 5.46%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 6.83%.
What factors affected the Portfolio’s performance?
The Portfolio’s underperformance relative to its comparable peer group and benchmark index was driven by poor security selection. In the large-cap universe, we focus on large, high-quality growth stocks. The returns in this universe were positively skewed by momentum securities where estimate revisions ruled the day, despite extreme valuations.
The sources of underperformance for the period were most pronounced in the consumer discretionary, financial and consumer staples sectors. The remaining sectors were relatively flat compared to their respective benchmarks. Carnival Corporation and Ford Motor Company underperformed in the discretionary sector. J. P. Morgan and Itau Bank of Brazil underperformed in the financial sector, and Pepsi limited results in the staples sector.
In the technology sector, the Portfolio experienced strong performance from VMware, QUALCOMM and EMC Corporation, but the underperformance of Google and semiconductor stocks Broadcom, Marvell and NXP Corp held the sector return flat compared to the benchmark. Owning Baker Hughes, and not Cisco or TJX Cos., were other factors that added to performance. Vale Mining of Brazil and Teck Resources Ltd of Canada underperformed. The markets were quite volatile during the period and produced a wide spectrum of returns. Securities that displayed positive high-quality earnings revisions performed very well. Securities that missed growth expectations—those affected by regulatory changes or perceived as maturing in this business cycle—were punished. The Portfolio simply owned too many of the latter this period.
What is your outlook?
The markets likely will be conflicted in the second half of 2011 as they try to balance the positives and negatives in the world economies. We believe that the economy currently is on fairly solid footing, albeit at a lower GDP growth rate than last year. On the positive side, we are expecting continued low interest rates, good corporate profitability, moderate inflation and decent consumer
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spending from those who are employed. Problem areas that should be monitored are unemployment, housing, government regulation and commodity prices. We believe the Federal Reserve will be cognizant of these risks and manage policy accordingly, and that the economy can grow at a modest pace. This environment should favor high-quality growth stocks, which have solid balance sheets and a multinational customer base. We intend to continue to focus on high-quality growth stocks that we believe can exceed financial metrics on a current and forward basis.
Portfolio Facts
As of June 30, 2011
Net Assets | $398,052,932 | |
NAV | $7.05 | |
NAV - High† | 4/29/2011 - $7.46 | |
NAV - Low† | 6/24/2011 - $6.74 | |
Number of Holdings: 39 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 26.48% | 2.99% | 1.82% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Large Cap Growth Portfolio earned a return of 3.57%, compared with the median return of its peer group, the Lipper Large-Cap Growth category, of 5.46%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 6.83%.
What factors affected the Portfolio’s performance?
The Portfolio’s relative underperformance to the benchmark index was due to poor stock selection. The worst stock selection, which was from the consumer discretionary sector, was mostly attributable to two stocks—Carnival Corp. and Ford Motor Company.
The technology sector saw some strong performers, like QUALCOMM and VMware, but our holdings of Google and Akamai in Internet software, and Merrell and Broadcom in semiconductors, underperformed and more than offset gains from the winners.
The same thing was true in the materials sector, where the Portfolio strongly benefited from our holdings of agriculture stocks, like Monsanto and CF Industries; however, the underperformance of Vale and Teck Resources resulted in an overall negative stock selection in materials. Our bank stock holdings, like J.P. Morgan, hurt stock selection within the financial sector.
Our underweighting in the consumer staples sector was the greatest detractor from performance, as this sector was the second-best performer during the first half of 2011, when the market grew more defensive.
What is your outlook?
We think that the equity market is at somewhat of a crossroads as the debate rages over the direction of the U.S. and global economies. The direction of the market may depend on whether the slowdown in economic activity witnessed during the second quarter as a result of the Japanese earthquake, rising energy prices and the European debt crisis is merely a “soft patch” or a more ominous downturn.
We believe the economy will regain its footings in the second half of 2011 as commodity prices have moderated, interest rates remain low, and companies have substantial cash reserves on their balance sheets.
The Portfolio continues to focus on companies with dynamic growth prospects from product innovation as well as on companies in secular growth markets, such as
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data storage. We also favor the cyclical growth industries that should benefit from an improved economy during the second half of 2011. We expect to be overweight in the technology, energy, and industrial sectors. We favor certain industrial stocks with product lines focused on the strong export market. In the energy sector, we like the oil service sector with overweightings in issues in this category.
Portfolio Facts
As of June 30, 2011
Net Assets | $945,518,452 | |
NAV | $17.56 | |
NAV - High† | 4/29/2011 - $18.18 | |
NAV - Low† | 6/17/2011 - $16.55 | |
Number of Holdings: 104 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 27.87% | 3.67% | 1.11% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Partner Growth Stock Portfolio earned a return of 4.95%, compared with the median return of its peer group, the Lipper Large-Cap Growth Index category, of 5.46%. The Portfolio’s market benchmark, the S&P 500/ Citigroup Growth Index, earned a return of 6.81%.
What factors affected the Portfolio’s performance?
Stock selection in energy was the primary detractor from relative performance. Peabody Energy, the largest U.S. coal producer, declined on macroeconomic concerns and problems with a mine in Colorado. There is some concern about its significant operations in Australia, which face higher costs, and the tightening of the Chinese market, a major customer. Suncor Energy, Canada’s biggest gas and oil producer, declined as energy prices slumped. The company also lowered its production outlook, due largely to disruptions in Libya. Cameron International, a maker of oil and gas pressure control equipment, suffered from cost overruns on an undersea project and sanctions in Libya, as well as from falling energy prices.
Health care detracted on stock selection and unfavorable underweighting in the top-performing sector in the S&P benchmark. Shares of pharmacy benefits manager Express Scripts declined on lower customer prescription volume, which the company attributed to a challenging economic environment. Human Genome Sciences, a biopharmaceutical company, won U.S. approval for its new lupus drug, but investors focused on the approval process in Europe, which is facing more restrictions and lower prices.
Stock selection drove relative outperformance in consumer staples. Green Mountain Coffee Roasters was a notable contributor, with the growth of its organic gourmet coffees and single-serving packages for its Keurig drink dispensers.
What is your outlook?
U.S. equities stalled in the second quarter, as mixed economic data offered little comfort to anxious investors, who questioned the sustainability and durability of global economic growth. We continue to believe, however, that the economy is in the early-to-middle stages of recovery, and the odds of a double-dip recession are low. While we believe a weak U.S. dollar is problematic in the long run, it continues to benefit U.S. exports and make U.S. companies more globally competitive. We are reasonably optimistic about the equities market for the near to medium term, and have sought to position the Portfolio
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for modest growth. The information technology, industrials and business services, and consumer discretionary sectors appear to offer the best growth opportunities.
Portfolio Facts
As of June 30, 2011
Net Assets | $59,512,392 | |
NAV | $12.15 | |
NAV - High† | 2/16/2011 - $12.49 | |
NAV - Low† | 6/17/2011 - $11.43 | |
Number of Holdings: 123 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 33.15% | 4.48% | 4.32% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Large Cap Value Portfolio earned a return of 4.18%, compared with the median return of its peer group, the Lipper Large-Cap Value category, of 5.49%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of 5.92%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed due to our stock selection. Sector allocation was a net positive. The weakest stock selection was in the consumer discretionary sector. Positions in retailers Target Corporation (TGT) and Staples (SPLS) hurt performance. In addition, our decision to own Disney Corporation (DIS) over other media companies hurt performance.
Stock selection in the financial services sector was also poor, hurt by positions in J.P. Morgan (JPM), Goldman Sachs Group (GS) and Principal Financial Group (PFG). Stock selection was poor in the industrials sector as well, primarily due to our position in Emerson Electric (EMR) as its network power segment deteriorated in growth and profitability. We have since sold this position.
Stock selection in the materials sector was strong as positions in Allegheny Technologies (ATI) stainless steel and titanium products and Sigma Aldrich (SIAL) specialty chemicals aided Portfolio performance.
What is your outlook?
Once again, investors have become concerned about the pace of economic activity, compared to this time last year. These concerns are exacerbated by European and U.S. debt and deficit issues.
Economic activity indeed has slowed. Economic recoveries rarely move in a straight line, and this one is no exception. We are optimistic about the prospects for portfolio companies, as we believe company-specific initiatives should drive operating performance in excess of expectations.
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Portfolio Facts
As of June 30, 2011
Net Assets | $826,262,243 | |
NAV | $11.17 | |
NAV - High† | 4/29/2011 - $11.65 | |
NAV- Low† | 6/15/2011 - $10.74 | |
Number of Holdings: 75 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 29.05% | 1.73% | 3.64% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Large Cap Stock Portfolio earned a return of 3.86%, compared with the median return of its peer group, the Lipper Large-Cap Core category, of 5.00%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 6.02%.
What factors affected the Portfolio’s performance?
Stock selection in the financial services, consumer discretionary, industrials and energy sectors was the key factor limiting performance in the period. In particular, the broad financial services segment declined despite the overall advance in the market, and the stocks held in the Portfolio underperformed the poor results within the index sector.
Holdings in the media group of consumer discretionary stocks did not keep pace with the group. Time Warner Cable performed well, but was offset by below-market results for Disney in the media category and Carnival Corporation in the resorts category.
Performance for the holdings in the technology and health care sectors were moderately ahead in their respective categories. Energy sector holdings in the Portfolio did not perform as well as those in the energy segment of the index, and we were modestly underweighted in the group. These elements contributed to the energy segment’s performance.
A modest cash allocation had some impact on returns as the market index advanced nicely. The Portfolio maintains a modest cash position for liquidity and transactional purposes, while the S&P 500 Index data mentioned previously essentially represents the return to a basket of securities.
What is your outlook?
Geopolitical shocks disrupted global markets, and economic momentum appeared to have moderated, particularly during the second quarter. Higher commodity prices are affecting consumer demand, particularly with increased gasoline prices. Further rises in some of these prices may result in a more cautious outlook. However, we do not believe that is likely the case as demand for energy is moderating with higher prices. Food prices have also risen. That presents a particular challenge in developing countries where food is a much
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more significant component of consumption. Inflation pressures are severe in developing economies.
Policymakers continue to provide excess liquidity to the system in the U.S. Markets are discounting an end to quantitative easing during the summer. At this point, reversing some of the excess liquidity is not a 2011 market expectation. Should inflation worsen, however, a more activist approach will likely be necessary on the part of policymakers and may result in a correction in equity prices. We are already seeing action being taken in emerging and other developed economies. While not expected for the U.S., the risk of such an outcome is not insignificant.
We believe the economy has entered a slowdown period, but, in our view, a double dip is unlikely in the absence of geopolitical shock. Our outlook remains cautiously optimistic for equity markets for the rest of the year.
Portfolio Facts
As of June 30, 2011
Net Assets | $635,046,457 | |
NAV | $8.83 | |
NAV - High† | 4/29/2011 - $9.14 | |
NAV - Low† | 3/16/2011 - $8.40 | |
Number of Holdings: 106 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 27.12% | 1.77% | 1.22% |
| * | 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. |
| ** | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Large Cap Index Portfolio earned a return of 5.83%, compared with the median return of its peer group, the S&P 500 Index Objective category, of 5.83%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 6.02%.
What factors affected the Portfolio’s performance?
The Portfolio’s holdings are aligned with those of the S&P 500 Index. As typically occurs in an index portfolio, the difference in performance between the benchmark index and the Portfolio itself can largely be attributed to expenses and minor differences in portfolio composition as well as cash-flow timing.
All but one of the sectors posted positive returns for the year to date. Health care and energy were the best- performing sectors in the market over the past six months. Large-cap stocks underperformed by comparison to small- and mid-cap stocks over the reporting period. Financials delivered negative returns for the six-month period. Financial stocks were negatively impacted by concerns related to the refinancing and rolling over of outstanding Greek debt as well as continued weakness in the housing industry and employment rates. Geopolitical tensions in North Africa and the Middle East were very unsettling for oil supplies, causing oil prices to rise and lifting stock prices in the energy supply segments.
What is your outlook?
Large-cap stocks underperformed compared to mid-cap stocks and small caps in the last six months. The past six months have been volatile with indexes advancing in February, April and late June, but experiencing sharp corrections in March and early June. If geopolitical instability and macroeconomic concerns, such as inflation risks, are proven to be overstated, it may suggest market strength into the second half of the year.
We believe the dollar is fairly valued compared with other major currencies. Risk levels will likely fluctuate in a range-bound manner. While opportunities for small- and mid-cap stocks exist, we believe that as this cycle matures, large-cap companies should outperform their small- and mid-cap counterparts.
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Portfolio Facts
As of June 30, 2011
Net Assets | $325,014,375 | |
NAV | $18.43 | |
NAV - High† | 4/29/2011 - $19.29 | |
NAV - Low† | 6/24/2011 - $17.70 | |
Number of Holdings: 502 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 30.18% | 2.64% | 2.44% |
| * | 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. |
| ** | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Equity Income Plus Portfolio earned a return of 6.14%, compared with the median return of its peer group, the Lipper Equity Income Portfolio category, of 5.69%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 6.02%.
What factors affected the Portfolio’s performance?
An overall positioning in high-quality firms exhibiting strong operating performance and an ability to pay and grow dividends contributed to the Portfolio’s performance. At the sector and security level, security selection was strong and sector allocations somewhat detracted from performance. Stock selection was strong in several areas, including health care, financials, energy, consumer staples and information technology. Securities underperformed in consumer discretionary and materials sectors. Sector allocation was strong in health care and information technology. At an asset-class level, domestic dividend equities and real estate investment trusts (REITs) outperformed their respective benchmarks and the S&P 500. The Portfolio’s options buy-write strategy outperformed the benchmark for such strategies. However, it underperformed the S&P 500. Likewise, the Portfolio’s allocations to international securities through American depositary receipts (ADRs) outperformed its benchmark though it underperformed the S&P 500. Preferred stocks underperformed their benchmark and the S&P 500.
What is your outlook?
The first quarter included concerns of slower international growth resulting from the earthquake in Japan. During the second quarter, uncertainty continued over U.S. macroeconomic news, which included persistently high unemployment, confirmation of a double-dip in housing and slower-than-expected GDP growth. Additionally, concerns over Greece’s debt issues cast doubt on European growth. However, as the second quarter drew to a close, the market recovered much of its downturn as many of these fears abated. We approach the second half of the year positioned for continued economic recovery.
Overall, we expect the Portfolio to continue its dividend equity strategy that includes emphasis on dividend
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coverage, improving operating performance and quality balance sheets, in addition to attractive valuations. If the economy continues to recover, the Portfolio may overweight itself in pro-cyclical sectors, such as energy, materials, industrials and consumer discretionary, while underweighting itself in more defensive sectors, such as consumer staples and health care.
Portfolio Facts
As of June 30, 2011
Net Assets | $90,422,210 | |
NAV | $9.59 | |
NAV - High† | 4/29/2011 - $9.98 | |
NAV - Low† | 1/10/2011 - $9.03 | |
Number of Holdings: 253 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | From Inception 4/30/2008 | |
| 29.76% | 0.43% |
| * | 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.
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 |
Kevin R. Brimmer, FSA, and Michael G. Landreville, CFA, Portfolio Co-Managers Thrivent Balanced Portfolio seeks long-term total return through a balance between income and the potential for long-term capital growth.
The Portfolio is subject to interest-rate risk, credit risk and volatility risk, which may result in overall price fluctuations over short or even extended time periods. Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. 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 six-month period ended June 30, 2011?
Thrivent Balanced Portfolio earned a total return of 4.99%. The Portfolio’s benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 6.02% and 2.72%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio allocated about two-thirds of its assets to equities during the first half of the year and the remainder to fixed-income securities.
The equity portion of the Portfolio seeks to mimic the construction of the S&P 500, an index composed of 500 of the largest publicly traded companies in the country. With large corporations enjoying healthy profits, all of the major industry groups represented in the index generated positive returns in the first half of this year except financials, which lost 3.06%. The top-performing industries were health care, up 13.92%; energy, up 11.39%; and utilities, up 9.07%.
The fixed-income portion of the Portfolio outperformed its benchmark index by about 100 basis points. Virtually all of the outperformance was attributable to the Portfolio’s securitized holdings, which include asset-backed securities, commercial mortgage-backed securities, conventional residential mortgage-backed securities and floating-rate mortgage-backed securities. These traditionally highly rated securities suffered liquidity, ratings and pricing pressure during the volatile financial crises of 2008. Because we believed these types of securities were being unfairly penalized at that time, we elected to keep them in our portfolio rather than sell them at distressed levels. This proved fortuitous, as their prices have since recovered to near pre-2008 levels.
What is your outlook?
The economy continues to grow at a modest pace two years after the end of the last recession. We anticipate that economic growth will remain lackluster through the remainder of the year, as will employment gains. With unemployment still high and the economy growing
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slowly, we expect the Federal Reserve to maintain an accommodative interest-rate stance well into 2012, especially since inflationary pressures, though higher than they were a year ago, remain muted. Accordingly, interest rates are likely to remain near their current levels through the end of the year, creating a relatively neutral environment for fixed-income assets.
In the equity market, we continue to expect large-cap stocks to outperform small- and mid-cap stocks, which rebounded faster from the 2008 downturn and now have higher, riskier valuations. Because of their broad exposure to the global economy, returns for large-cap stocks were tempered in the first half of the year by concerns about European debt woes, particularly in Greece. While a long-term solution to the Greek debt crisis remained elusive heading into the second half of the year, we believe the European Union will continue to make progress on resolving that problem. This should help the global economy and large-cap stocks.
Portfolio Facts
As of June 30, 2011
Net Assets | $262,716,829 | |
NAV | $14.60 | |
NAV - High† | 4/29/2011 - $15.69 | |
NAV - Low† | 6/24/2011 - $14.26 | |
Number of Holdings: 762 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 21.35% | 4.40% | 4.02% |
| * | 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. “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. |
| *** | 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.
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 |
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 six-month period ended June 30, 2011?
Thrivent High Yield Portfolio returned 4.62%, compared with the median return of its peer group, the Lipper U.S. High Current Yield Funds category, of 4.40%. The Portfolio’s market benchmark, the Barclays Capital U.S. Corporate High Yield Bond Index, returned 4.97%.
What factors affected the Portfolio’s performance?
The bulk of the Portfolio’s gains were attributable to coupon returns, augmented by a modest rise in securities prices sparked by a rally in Treasury securities.
The Portfolio also enjoyed a modest benefit from its slightly higher allocation to BB-rated securities than its peers. Returns on BB-rated bonds, which are the highest-rated bonds in the high-yield sector and the most sensitive to Treasury rate movements, produced a total return approximately 55 basis points higher than the return on lower-quality B-rated bonds.
The Portfolio also benefited from a low allocation to cash relative to its peers and from security selection. In several cases, securities we held outperformed their industry benchmarks as a result of major corporate events, such as the acquisition of the issuer or a debt refinancing in which the issuer called its bonds at a premium to market prices. Portfolio returns were tempered by our slight underweighting in CCC-rated bonds, which enjoyed even higher returns than BB-rated securities thanks to aggressive buying by investors who appeared to be stretching for extra yield.
What is your outlook?
We expect the U.S. economy to continue growing slowly, with anything above a 1.5% annual rate favorable for high-yield bonds. We continue to find valuations for high-yield bonds attractive, with yields at June 30 about 525 basis points above yields on comparable-maturity Treasury bonds. Accordingly, we do not anticipate making any radical changes to our portfolio.
Our positive outlook is buttressed by the improving default rate on high-yield debt, which stood at about 2% at the end of the first half, down from 3.2% at year-end 2010. With U.S. companies generating stronger cash flow and using some of the proceeds to pay down or refinance
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existing debt, rating agencies Moody’s and Standard & Poor’s are both currently forecasting that the default rate will continue dropping toward the 1.5% level.
We also believe that investor concerns about a number of macroeconomic and political issues, such as the Greek debt crisis and U.S. budget constraints, are helping to keep spreads on high-yield bonds wider than they need to be. As these concerns moderate, spreads should narrow, boosting returns in our sector of the market.
Portfolio Facts
As of June 30, 2011
Net Assets | $793,740,341 | |
NAV | $4.85 | |
NAV - High† | 5/11/2011 - $4.95 | |
NAV - Low† | 6/27/2011 - $4.81 | |
Number of Holdings: 250 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 15.80% | 8.55% | 7.46% |
| * | 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.
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| 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 six-month period ended June 30, 2011?
Thrivent Diversified Income Plus Portfolio earned a total return of 3.97%. By comparison, the Portfolio’s market benchmarks, the S&P 500 Dividend Aristocrats Index and the Barclays Capital U.S. Aggregate Bond Index, returned 6.96% and 2.72%, respectively.
What factors affected the Portfolio’s performance?
Moderate economic growth paired with modest inflation produced a favorable investment environment for the first half of 2011.
The Portfolio allocated about 35% of its assets to equities and the balance to fixed-income securities. Both sectors generated positive returns, led by equities, which earned 7.5%. Dividend-paying stocks, which make up the bulk of our equity holdings, performed particularly well as investors grew nervous about the economy midway through the reporting period and welcomed the additional income they could generate. A small allocation to real estate investment trusts (REITs) also performed well.
Top performers in the fixed-income portion of the Portfolio included investment-grade corporate bonds, which generated a total return of 5.5%, and high-yield corporate bonds, which earned 4.74%. Conversely, the Portfolio’s nonagency mortgage-backed securities and commercial mortgage-backed securities tempered returns. Those securities performed well last year, but lagged in the first half of this year, generating a total return of 0.75%. Their performance was negatively impacted by selling pressure from the Federal Reserve Bank of New York, which was selling some of the billions of dollars of mortgage-backed securities it acquired as part of its 2008 bailout of insurance company American International Group, Inc. (AIG).
Our portfolio of preferred stocks and convertible bonds collectively generated a total return of 2.15%.
What is your outlook?
With the economy growing slowly, we continue to anticipate high-single-digit returns for the U.S. equity market this year. We remain particularly optimistic about prospects for large-cap, dividend-paying stocks, which appear to be
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attractively valued relative to small- and mid-cap shares, which rose faster in 2009 and 2010.
In the fixed-income sector, we are considering a modest reduction in our allocation to investment-grade corporate bonds, which rallied early in the reporting period but sold off during the second quarter. By contrast, we plan to maintain our relatively large allocation to nonagency mortgage- backed securities, which tend to generate a meaningful stream of income for the Portfolio. Prospects for that sector of the market seemed to brighten in late June when the Federal Reserve halted, at least for the moment, its sale of securities acquired from AIG. A recent agreement by Bank of America to pay $8.5 billion to investors who lost money on poor-quality mortgage securities also is being viewed positively for that sector.
Portfolio Facts
As of June 30, 2011
Net Assets | $118,284,234 | |
NAV | $6.66 | |
NAV - High† | 4/29/2011 - $7.15 | |
NAV - Low† | 6/24/2011 - $6.56 | |
Number of Holdings: 266 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1,2
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 17.93% | 6.34% | 7.14% |
| * | 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.
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| Thrivent Partner Socially Responsible Bond Portfolio |
Subadvised by Calvert Investment Management, Inc. (formerly 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 six-month period ended June 30, 2011?
Thrivent Partner Socially Responsible Bond Portfolio earned a return of 2.15%, compared with the median return of its peer group, the Lipper Corporate Debt BBB-Rated Funds category, of 3.04%. The Portfolio’s market benchmark, the Barclays Capital U.S. Credit Index, earned a return of 3.41%.
What factors affected the Portfolio’s performance?
The Portfolio’s short relative duration accounted for most of its relative underperformance during the six-month period ended June 30, 2011, as interest rates generally fell. The Portfolio was positioned to benefit from a flattening in the yield curve during the second quarter, which also held back its relative performance as the yield curve did not flatten significantly. As of June 30, the difference in yield between two- and 30-year Treasuries was 392 basis points, which was significantly higher than the 20-year average of about 121 basis points.
What is your outlook?
Our outlook for the second half of the year is for essentially more of the same: Uneven, modest economic growth will likely produce volatility within a trading range for Treasuries. The corporate bond market will also likely feature some volatility later in the year as investors sort out the implications of the end of the Federal Reserve’s expansionary quantitative easing (QE2) program. We plan to continue to look for opportunities to actively trade Treasuries and Treasury futures to try to take advantage of this volatility and to selectively buy corporate bonds that appear to be undervalued.
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Portfolio Facts
As of June 30, 2011
Net Assets | $8,060,323 | |
NAV | $10.38 | |
NAV - High† | 6/1/2011 - $10.50 | |
NAV - Low† | 2/8/2011 - $10.20 | |
Number of Holdings: 97 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | From Inception 4/30/2008 | |
| 3.22% | 7.52% |
| * | 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.
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 |
Stephen D. Lowe, CFA, Portfolio Manager Thrivent Income Portfolio seeks a high level of income over the longer term while providing reasonable safety of capital.
The Portfolio is subject to interest rate risk, credit risk related to a company’s underlying financial position and volatility risk, which may result in overall price fluctuations over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. 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 six-month period ended June 30, 2011?
Thrivent Income Portfolio returned 3.54%, compared with a median return of its peer group, the Lipper Corporate Debt BBB-Rated Funds category, of 3.04%. The Portfolio’s benchmark, the Barclays Capital U.S. Aggregate Bond Index, posted a return of 2.72%.
What factors affected the Portfolio’s performance?
Higher-risk bond sectors performed well at the start of the year when economic indicators were largely positive, but backpedaled during the second quarter as it became clear that economic growth was slowing and unemployment remained high. Nonetheless, corporate bonds, which account for about 80% of the Portfolio’s holdings, generated reasonably strong returns for the full six-month period. Security selection worked in the Portfolio’s favor during the first half of the year, particularly among investment-grade bonds, where our holdings in the finance, telecom and utility industries performed well. The Portfolio’s small allocation to Treasury Inflation Protected Securities, or TIPS, also generated returns that beat our benchmark.
Gains were tempered by the performance of the Portfolio’s securitized assets, which generated positive returns but underperformed corporates, and by negative returns on nonagency mortgages. That sector of the market was hurt by renewed signs of weakness in housing prices and by selling pressure from the Federal Reserve Bank of New York, which disposed of some of the mortgage-backed securities it had acquired from insurance company American International Group, Inc. (AIG) during the 2007–2009 credit crisis.
We believe the Portfolio’s returns also were negatively impacted relative to its peer group, though modestly, by virtue of its slightly lower duration of 5.0 years compared to 5.25 years.
What is your outlook?
While the economy may accelerate in the second half of the year, we anticipate that it will do so modestly. Given a slow-growing economy and persistently high unemployment, we expect the Federal Reserve to maintain its accommodative monetary policy and keep interest rates low through the remainder of this year and into 2012.
We intend to keep the Portfolio moderately overweighted toward spread products, such as corporate bonds, including some higher-quality, high-yield debt. While there is credit risk inherent in that strategy, we note that
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profits at large U.S. corporations are currently growing faster than the U.S. economy as a whole, and strong corporate profits tend to minimize high-yield default rates, which are already trending lower.
We also plan to gradually reduce the Portfolio’s allocation to nonagency securitized debt, which has been a good performer for the past two years but is not a core holding among our peer group and tends to be more volatile than corporate debt.
Portfolio Facts
As of June 30, 2011
Net Assets | $1,422,614,662 | |
NAV | $10.07 | |
NAV - High† | 6/1/2011 - $10.23 | |
NAV - Low† | 1/5/2011 - $9.92 | |
Number of Holdings: 510 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 9.00% | 6.58% | 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 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.
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|
Michael G. Landreville, CFA, Portfolio Manager Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays Capital 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 six-month period ended June 30, 2011?
Thrivent Bond Index Portfolio earned a total return of 3.23%, compared with a 2.72% return for the Portfolio’s market benchmark, the Barclays Capital U.S. Aggregate Bond Index.
What factors affected the Portfolio’s performance?
In seeking to track the performance of its market benchmark, the Portfolio invests in a broad cross-section of the fixed-income market. During the reporting period, some of the strongest performers in the Portfolio were Treasury securities with maturities ranging from five years to 10 years and sovereign-issued debt.
Virtually all of the Portfolio’s outperformance, however, was attributable to its securitized holdings, which included asset-backed securities, commercial mortgage-backed securities, conventional residential mortgage-backed securities and floating-rate mortgage-backed securities. These securities traditionally boast high credit ratings but suffered liquidity, ratings and pricing pressure during the volatile financial crises of 2008. Because we believed they were being unfairly penalized at that time, we elected to keep them in our portfolio rather than sell them at distressed levels. Their prices have since recovered to nearly pre-2008 levels.
What is your outlook?
The economy continues to grow at a modest pace. We anticipate that economic growth will remain lackluster through the remainder of the year, as will employment gains. With unemployment still high and the economy growing slowly, we expect the Federal Reserve to maintain an accommodative interest-rate stance well into 2012, especially since inflationary pressures, though higher than they were a year ago, remain muted. Accordingly, interest rates are likely to remain near their current levels through the end of the year.
We would not be surprised if the Fed considers a third round of quantitative easing or some other creative approach to ease monetary policy in the fourth quarter of 2011 in a bid to stimulate the economy and job growth.
On the international front, worries over the debt problems of several European nations, notably Greece, Portugal, Spain and Ireland, will likely ebb and flow as
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definitive solutions to their problems remain elusive. However, we anticipate that those countries will be able to avoid defaulting on their debt, which would be a plus for the credit markets.
As always, we intend to maintain a well-diversified mix of debt securities in the Portfolio as part of our effort to track the performance of our benchmark index.
Portfolio Facts
As of June 30, 2011
Net Assets | $153,633,330 | |
NAV | $10.83 | |
NAV - High† | 6/8/2011 - $11.01 | |
NAV - Low† | 2/8/2011 - $10.59 | |
Number of Holdings: 257 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 5.27% | 6.11% | 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 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Limited Maturity Bond Portfolio returned 1.46%, compared with a median return for its Lipper Short-Intermediate Investment Grade Debt peer group of 1.30%. The Portfolio’s market benchmark, the Barclays Capital Government/Credit 1-3 Year Bond Index, posted a return of 1.05%.
What factors affected the Portfolio’s performance?
Most non-Treasury sectors of the bond market performed well during the first two months of the year, only to give back a portion of their gains over the ensuing four months as rising food and energy prices raised inflation expectations. Treasury bonds and notes did just the opposite, starting the year slowly but then climbing in value as a number of economic reports suggested that U.S. economic growth was slowing.
Treasury Inflation Protected Securities, or TIPS, were strong performers for the Portfolio in the first half of the year, posting a total return of 6.9%. The Portfolio was overweighted in these securities.
Corporate bonds also performed well. Our returns in this sector benefited from our decision to own bonds with slightly longer maturities—up to five years—than is typical in our Lipper peer group. Our corporate bond portfolio generated a total return of 2.7% in the first half, versus our estimate of 2.4% for corporates in the Lipper peer group.
What is your outlook?
U.S. economic growth slowed to a 1.9% annual rate in the first quarter, down from 3.1% in the fourth quarter of 2010. We believe the economic slowdown is temporary, although we do not anticipate more than a modest acceleration of the economy during the second half of this year. Interest rates are likely to move slightly higher during the second half of the year but remain within the range established over the past 12 months.
Given our rate outlook, we plan to increase the Portfolio’s holdings of floating-rate securities. At mid-year, floating-rate securities pegged to the three-month London Interbank Offered Rate (LIBOR) were yielding about 25 basis points, only slightly below the 43-basis-point yield
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on two-year Treasuries. It seems that yields on floating-rate securities may have little room to fall but ample room to increase.
As we did in the first half of the year, we intend to reduce the overall risk profile of the Portfolio by continuing to gradually and opportunistically reduce our position in corporate bonds and securitized assets when market conditions are favorable.
Portfolio Facts
As of June 30, 2011
Net Assets | $1,451,949,435 | |
NAV | $9.82 | |
NAV - High† | 6/1/2011 - $9.87 | |
NAV - Low† | 1/5/2011 - $9.79 | |
Number of Holdings: 333 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 11/30/2001 | ||
| 3.82% | 4.10% | 3.68% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Mortgage Securities Portfolio earned a total return of 3.00%, compared with the median return of its peer group, the Lipper U.S. Mortgage Funds category, of 2.43%. The Portfolio’s market benchmark, the Barclays Capital Mortgage-Backed Securities Index, posted a return of 2.87%.
What factors affected the Portfolio’s performance?
Like most non-Treasury sectors of the bond market, mortgage securities performed well during the first two months of the year amid indications that the economy was continuing to grow at a respectable—if not robust—annual rate of about 3%. Mortgage securities subsequently relinquished much of their price gains amid a slew of negative developments: news that the economy actually grew only 1.9% during the first quarter; a devastating earthquake and tsunami in Japan that threatened to slow the global economy; rising food and energy prices that sparked inflation fears; and fresh signs of weakness in the housing market. Newly nervous investors invested in Treasury securities and sold mortgage securities and other spread products.
A modest overweighting toward nonagency mortgage securities moderated the degree to which the Portfolio outperformed its benchmark and peer group as those securities produced a first-half return of just 0.13%. While the Portfolio allocated about 30% of its assets to those securities, its benchmark makes no allocation to them, and the Lipper peer group, we estimate, allocates only about 20% to 25% of its holdings to nonagency mortgage securities.
A primary cause for the weakness in nonagency securities was the Federal Reserve’s decision to begin selling billions of dollars of mortgage-backed securities it had acquired in its 2008 bailout of insurance company American International Group, Inc. (AIG). In late June, the Fed called a temporary halt to this selling program in the wake of lackluster demand from investors.
What is your outlook?
We believe the recent slowdown in economic growth will prove temporary. Food and energy prices started to decline in June, and if that continues it will leave more money in consumer pocketbooks and help drive spending in other sectors.
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Still, the economy is unlikely to grow more than 3%, and we anticipate that this slow-growth environment will discourage the Fed from pushing up interest rates until at least the first half of next year. Assuming yields on 10-year Treasuries remain in the 3% to 4% range, a continuation of lower interest rates should create a positive environment for mortgage-backed securities, which often become attractive to investors when Treasuries trade in a well-defined range.
We intend to gradually pare back our allocation to nonagency mortgage-backed securities but maintain an overweighted position. We believe they offer attractive additional yield versus agency securities and should benefit if economic fundamentals improve.
Portfolio Facts
As of June 30, 2011
Net Assets | $33,631,102 | |
NAV | $10.42 | |
NAV - High† | 6/7/2011 - $10.54 | |
NAV - Low† | 2/10/2011 - $10.26 | |
Number of Holdings: 59 |
| † | For the six months ended June 30, 2011 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | From Inception 4/30/2003 | ||
| 6.32% | 6.43% | 4.87% |
| * | 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.
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How did the Portfolio perform during the six-month period ended June 30, 2011?
Thrivent Money Market Portfolio produced a 0.00% return during the period, which was in-line with the median net return of 0.00% reported by its Lipper Money Market peer group.
What factors affected the Portfolio’s performance?
Money market funds continued to generate negligible returns as the Federal Reserve kept the target interest rate for federal funds in a range of 0% to 0.25%. The Portfolio’s investment adviser continued to waive fees on the Portfolio so that investors would not experience a negative return.
Given the ongoing volatility in the credit markets, we continue to structure the Portfolio conservatively to help maintain credit quality and liquidity. Still, by the end of the reporting period, U.S. government-supported securities accounted for approximately 20% of the Portfolio’s underlying assets, down from the year-end 2010 level.
Historically, the Portfolio has had little or no allocation to government-supported securities. We acquired a significant portion of our current holdings in 2009 and 2010 when their prices were low. Their prices have since recovered, and we plan to continue reducing our exposure to them as they mature.
What is your outlook?
With the U.S. economy continuing to grow slowly, it is unlikely that the Fed will raise interest rates any time soon. Low inflation expectations, combined with the significant debt burdens of Europe and the United States, also are making it easier for the Fed to maintain a low interest-rate environment. All this will likely continue to exert pressure on money market returns. We do not expect a material uptick in yields until the Fed moves to raise short-term interest rates.
On a more positive note, money market credit quality should remain sound in this environment as the industry prepares for the possibility of additional regulation and works to minimize market instability.
We believe recent speculation about the degree to which the Greek debt crisis could hurt U.S. money funds is overblown. Nonetheless, we have limited our exposure to European banks—which in turn have limited exposure to Greek debt—to about 10% of our holdings.
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By contrast, Fitch Ratings calculates that the 10 largest U.S. money market funds had about 50% of their assets exposed to European banks during the second quarter of this year.
On the regulatory front, we continue to maintain a dialogue with both the Federal Reserve and the SEC about possible reforms to the money market industry including a change that would require money funds to have a floating net asset value. While we favor this idea, congressional support appears to be waning.
Portfolio Facts
As of June 30, 2011
Net Assets | $156,868,159 | |
NAV | $1.00 | |
Number of Holdings: 87 |
Average Annual Total Returns1
As of June 30, 2011
| 1-Year | 5-Year | 10-Year | ||
| 0.00% | 2.20% | 2.09% |
Money Market Portfolio Yields *
As of June 30, 2011
| Portfolio | ||
7-Day Yield | 0.00% | |
7-Day Yield Gross of Waivers | -0.26% | |
7-Day Effective Yield | 0.00% | |
7-Day Effective Yield Gross of Waivers | -0.26% | |
| * | 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.
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(unaudited)
As a shareholder of the Thrivent Series Fund, Inc., you incur ongoing costs, including management fees and other Portfolio expenses. This Shareholder Expense Example is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2011 through June 30, 2011. 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 1/1/2011 | Ending Account Value 6/30/2011 | Expenses Paid During Period 1/1/2011 - 6/30/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,054 | $ | 1.98 | 0.39 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.95 | 0.39 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,046 | $ | 1.56 | 0.31 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.54 | 0.31 | % | ||||||||
Thrivent Moderate Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,040 | $ | 1.40 | 0.28 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.39 | 0.28 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,032 | $ | 1.52 | 0.30 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.51 | 0.30 | % | ||||||||
Thrivent Partner Technology Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,001 | $ | 5.51 | 1.11 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 5.56 | 1.11 | % | ||||||||
Thrivent Partner Healthcare Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,055 | $ | 6.84 | 1.34 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 6.72 | 1.34 | % | ||||||||
Thrivent Partner Natural Resources Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,092 | $ | 5.82 | 1.12 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 5.61 | 1.12 | % | ||||||||
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| Beginning Account Value 1/1/2011 | Ending Account Value 6/30/2011 | Expenses Paid During Period 1/1/2011 - 6/30/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Emerging Markets Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,017 | $ | 7.34 | 1.47 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.34 | 1.47 | % | ||||||||
Thrivent Real Estate Securities Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,108 | $ | 4.52 | 0.86 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.33 | 0.86 | % | ||||||||
Thrivent Partner Utilities Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,076 | $ | 4.65 | �� | 0.90 | % | |||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.53 | 0.90 | % | ||||||||
Thrivent Partner Small Cap Growth Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,106 | $ | 5.20 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.99 | 1.00 | % | ||||||||
Thrivent Partner Small Cap Value Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,040 | $ | 4.43 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.39 | 0.88 | % | ||||||||
Thrivent Small Cap Stock Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,066 | $ | 3.86 | 0.75 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.78 | 0.75 | % | ||||||||
Thrivent Small Cap Index Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,073 | $ | 2.31 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.25 | 0.45 | % | ||||||||
Thrivent Mid Cap Growth Portfolio II | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,060 | $ | 3.59 | 0.70 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.52 | 0.70 | % | ||||||||
Thrivent Mid Cap Growth Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,056 | $ | 2.34 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.30 | 0.46 | % | ||||||||
Thrivent Partner Mid Cap Value Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,061 | $ | 4.27 | 0.84 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.19 | 0.84 | % | ||||||||
Thrivent Mid Cap Stock Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,057 | $ | 3.68 | 0.72 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.61 | 0.72 | % | ||||||||
Thrivent Mid Cap Index Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,083 | $ | 2.70 | 0.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.62 | 0.52 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,043 | $ | 5.01 | 0.99 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.95 | 0.99 | % | ||||||||
Thrivent Partner International Stock Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,050 | $ | 4.12 | 0.81 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.06 | 0.81 | % | ||||||||
Thrivent Partner Socially Responsible Stock Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,087 | $ | 5.08 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.92 | 0.98 | % | ||||||||
Thrivent Partner All Cap Growth Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,077 | $ | 5.16 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.02 | 1.00 | % | ||||||||
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| Beginning Account Value 1/1/2011 | Ending Account Value 6/30/2011 | Expenses Paid During Period 1/1/2011 - 6/30/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner All Cap Value Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,048 | $ | 4.99 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.92 | 0.98 | % | ||||||||
Thrivent Partner All Cap Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,035 | $ | 5.11 | 1.01 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.07 | 1.01 | % | ||||||||
Thrivent Large Cap Growth Portfolio II | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,037 | $ | 3.26 | 0.65 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.23 | 0.65 | % | ||||||||
Thrivent Large Cap Growth Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,036 | $ | 2.25 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.24 | 0.45 | % | ||||||||
Thrivent Partner Growth Stock Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,049 | $ | 4.82 | 0.95 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.75 | 0.95 | % | ||||||||
Thrivent Large Cap Value Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,042 | $ | 3.26 | 0.64 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.23 | 0.64 | % | ||||||||
Thrivent Large Cap Stock Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,039 | $ | 3.46 | 0.69 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.44 | 0.69 | % | ||||||||
Thrivent Large Cap Index Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,058 | $ | 2.11 | 0.41 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.07 | 0.41 | % | ||||||||
Thrivent Equity Income Plus Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,061 | $ | 4.23 | 0.83 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.15 | 0.83 | % | ||||||||
Thrivent Balanced Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,050 | $ | 2.23 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.20 | 0.44 | % | ||||||||
Thrivent High Yield Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,046 | $ | 2.26 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.24 | 0.45 | % | ||||||||
Thrivent Diversified Income Plus Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,040 | $ | 2.77 | 0.55 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.75 | 0.55 | % | ||||||||
Thrivent Partner Socially Responsible Bond Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,022 | $ | 3.42 | 0.68 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.42 | 0.68 | % | ||||||||
Thrivent Income Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,035 | $ | 2.20 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.18 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,032 | $ | 2.36 | 0.47 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.35 | 0.47 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,015 | $ | 2.16 | 0.43 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.17 | 0.43 | % | ||||||||
88
Table of Contents
| Beginning Account Value 1/1/2011 | Ending Account Value 6/30/2011 | Expenses Paid During Period 1/1/2011 - 6/30/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Mortgage Securities Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,030 | $ | 4.53 | 0.90 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.51 | 0.90 | % | ||||||||
Thrivent Money Market Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.44 | 0.29 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.46 | 0.29 | % | ||||||||
| * | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period. |
| ** | Assuming 5% annualized total return before expenses. |
89
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Mutual Funds (64.0%) | Value | ||||||
| Equity Mutual Funds (63.0%) | ||||||||
| 810,218 | Thrivent Real Estate Securities Portfolioa | $ | 13,006,999 | |||||
| 3,498,692 | Thrivent Partner Small Cap Growth Portfolioa | 49,999,812 | ||||||
| 771,998 | Thrivent Partner Small Cap Value Portfolio | 15,268,032 | ||||||
| 1,708,411 | Thrivent Small Cap Stock Portfolioa | 23,052,439 | ||||||
| 4,612,319 | Thrivent Mid Cap Growth Portfolio II | 46,871,770 | ||||||
| 1,561,519 | Thrivent Partner Mid Cap Value Portfolio | 22,122,502 | ||||||
| 2,495,827 | Thrivent Mid Cap Stock Portfolio | 32,321,207 | ||||||
| 2,965,387 | Thrivent Partner Worldwide Allocation Portfolio | 27,116,093 | ||||||
| 6,481,456 | Thrivent Partner International Stock Portfolio | 72,572,214 | ||||||
| 3,749,095 | Thrivent Large Cap Growth Portfolio II | 26,419,122 | ||||||
| 2,683,031 | Thrivent Large Cap Value Portfolio | 29,976,963 | ||||||
| 3,441,288 | Thrivent Large Cap Stock Portfolio | 30,378,318 | ||||||
| 530,968 | Thrivent Equity Income Plus Portfolio | 5,091,398 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 394,196,869 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (1.0%) | ||||||||
| 1,237,688 | Thrivent High Yield Portfolio | 5,997,219 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 5,997,219 | |||||||
|
| |||||||
Total Mutual Funds (cost $404,315,862) | 400,194,088 | |||||||
|
| |||||||
Common Stock (27.6%) | ||||||||
| Communications Services (0.1%) | ||||||||
| 3,800 | Elisa Oyj | 81,781 | ||||||
| 600 | Iliad SA | 80,517 | ||||||
| 1,800 | Nippon Telegraph & Telephone Corporation | 86,817 | ||||||
| 6,500 | Telekom Austria AG | 82,947 | ||||||
|
| |||||||
| Total Communications Services | 332,062 | |||||||
|
| |||||||
| Consumer Discretionary (2.4%) | ||||||||
| 5,850 | Amazon.com, Inc.a | 1,196,267 | ||||||
| 4,763 | Autoliv, Inc. | 373,657 | ||||||
| 900 | Bayerische Motoren Werke AG | 89,871 | ||||||
| 1,300 | Beiersdorf AG | 84,461 | ||||||
| 3,800 | Bridgestone Corporation | 87,554 | ||||||
| 735 | Carlsberg AS | 80,029 | ||||||
| 18,765 | Carnival Corporation | 706,127 | ||||||
| 5,010 | CBS Corporation | 142,735 | ||||||
| 3,100 | Charter Communications, Inc.a | 168,206 | ||||||
| 5,000 | Daihatsu Motor Company, Ltd. | 85,093 | ||||||
| 16,650 | Darden Restaurants, Inc. | 828,504 | ||||||
| 19,657 | Discovery Communications, Inc.a | 805,151 | ||||||
| 3,501 | Dollar Tree, Inc.a | 233,237 | ||||||
| 10,200 | Echo Entertainment Group, Ltd.a | 44,961 | ||||||
| 7,700 | Fiat SPA | 84,606 | ||||||
| 44,165 | Foot Locker, Inc. | 1,049,360 | ||||||
| 99,450 | Ford Motor Companya | 1,371,416 | ||||||
| 4,800 | Greek Organization of Football Prognostics SA | 74,965 | ||||||
| 900 | Industria de Diseno Textil SA (Inditex) | 82,000 | ||||||
| 18,400 | Kingfisher plc | 79,033 | ||||||
| 1,700 | Lawson, Inc. | 89,184 | ||||||
| 12,020 | Lowe’s Companies, Inc. | 280,186 | ||||||
| 12,886 | Macy’s, Inc. | 376,787 | ||||||
| 16,200 | Mediaset SPA | 76,154 | ||||||
| 8,940 | Omnicom Group, Inc. | 430,550 | ||||||
| 2,782 | Panera Bread Companya | 349,586 | ||||||
| 2,000 | Peugeot SA | 89,720 | ||||||
| 15,800 | Phillips-Van Heusen Corporation | 1,034,426 | ||||||
| 93,068 | Pier 1 Imports, Inc.a | 1,076,797 | ||||||
| 1,500 | Publicis Groupe SA | 83,734 | ||||||
| 32,800 | Sands China, Ltd.a | 88,906 | ||||||
| 20,345 | Signet Jewelers, Ltd.a | 952,349 | ||||||
| 1,100 | Sodexo | 86,165 | ||||||
| 3,300 | Sony Corporation | 87,071 | ||||||
| 14,180 | Staples, Inc. | 224,044 | ||||||
| 6,300 | Sumitomo Rubber Industries, Ltd. | 76,237 | ||||||
| 3,900 | Suzuki Motor Corporation | 87,912 | ||||||
| 1,000 | Swatch Group AG | 89,905 | ||||||
| 23,300 | Tabcorp Holdings, Ltd. | 82,420 | ||||||
| 6,960 | Time Warner Cable, Inc. | 543,158 | ||||||
| 6,160 | Viacom, Inc. | 314,160 | ||||||
| 3,000 | Vivendi SA | 83,617 | ||||||
| 8,103 | Walt Disney Company | 316,341 | ||||||
| 3,200 | Whitbread plc | 82,964 | ||||||
| 7,600 | Williams-Sonoma, Inc. | 277,324 | ||||||
|
| |||||||
| Total Consumer Discretionary | 14,946,930 | |||||||
|
| |||||||
| Consumer Staples (2.0%) | ||||||||
| 11,200 | Altria Group, Inc. | 295,792 | ||||||
| 1,400 | Anheuser-Busch InBev NV | 81,250 | ||||||
| 20,180 | Anheuser-Busch InBev NV ADR | 1,170,642 | ||||||
| 6,600 | Autogrill SPA | 86,669 | ||||||
| 20,000 | BJ’s Wholesale Club, Inc.a | 1,007,000 | ||||||
| 900 | Casino Guichard Perrachon SA | 84,823 | ||||||
| 24,883 | Corn Products International, Inc. | 1,375,532 | ||||||
| 1,000 | Delhaize Group SA | 75,034 | ||||||
| 3,750 | Diageo plc ADR | 307,013 | ||||||
| 13,821 | Diamond Foods, Inc. | 1,055,095 | ||||||
| 8,646 | Flowers Foods, Inc. | 190,558 | ||||||
| 18,766 | Herbalife, Ltd. | 1,081,672 | ||||||
| 15,100 | J Sainsbury plc | 79,983 | ||||||
| 4,300 | Jeronimo Martins SGPS SA | 82,582 | ||||||
| 5,900 | Koninklijke (Royal) Ahold NV | 79,325 | ||||||
| 18,310 | Kraft Foods, Inc. | 645,061 | ||||||
| 700 | L’Oreal SA | 90,840 | ||||||
| 13,400 | Marks and Spencer Group plc | 77,675 | ||||||
| 3,200 | McDonald’s Holdings Company Japan, Ltd. | 81,363 | ||||||
| 1,300 | Nestle SA | 80,892 | ||||||
| 47,616 | Philip Morris International, Inc. | 3,179,320 | ||||||
| 12,200 | Tesco plc | 78,819 | ||||||
| 5,383 | TreeHouse Foods, Inc.a | 293,966 | ||||||
| 18,237 | Walgreen Company | 774,343 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
90
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (27.6%) | Value | ||||||
| Consumer Staples (2.0%) - continued | ||||||||
| 17,000 | William Morrison Supermarkets plc | $ | 81,306 | |||||
| 7,000 | Yamazaki Baking Company, Ltd. | 93,724 | ||||||
|
| |||||||
| Total Consumer Staples | 12,530,279 | |||||||
|
| |||||||
| Energy (3.2%) | ||||||||
| 3,991 | Alpha Natural Resources, Inc.a | 181,351 | ||||||
| 14,090 | Apache Corporation | 1,738,565 | ||||||
| 41,024 | Arch Coal, Inc. | 1,093,700 | ||||||
| 20,393 | Baker Hughes, Inc. | 1,479,716 | ||||||
| 4,416 | BP plc ADR | 195,585 | ||||||
| 9,960 | Chevron Corporation | 1,024,286 | ||||||
| 10,830 | ConocoPhillips | 814,308 | ||||||
| 3,600 | Eni SPA | 85,314 | ||||||
| 26,227 | ENSCO International plc ADR | 1,397,899 | ||||||
| 25,600 | Exxon Mobil Corporation | 2,083,328 | ||||||
| 14,400 | Helix Energy Solutions Group, Inc.a | 238,464 | ||||||
| 45,100 | James River Coal Companya | 938,982 | ||||||
| 5,464 | National Oilwell Varco, Inc. | 427,339 | ||||||
| 2,700 | Occidental Petroleum Corporation | 280,908 | ||||||
| 11,999 | Oil States International, Inc.a | 958,840 | ||||||
| 2,100 | OMV AG | 91,739 | ||||||
| 41,823 | Patriot Coal Corporationa | 930,980 | ||||||
| 21,354 | Peabody Energy Corporation | 1,257,964 | ||||||
| 64,450 | Petroleum Geo-Services ASAa | 920,709 | ||||||
| 2,500 | Repsol YPF SA | 86,712 | ||||||
| 7,402 | Schlumberger, Ltd. | 639,533 | ||||||
| 5,600 | Southwestern Energy Companya | 240,128 | ||||||
| 25,762 | Swift Energy Companya | 960,150 | ||||||
| 1,500 | Total SA | 86,718 | ||||||
| 81,600 | Weatherford International, Ltd.a | 1,530,000 | ||||||
| 4,100 | Whiting Petroleum Corporationa | 233,331 | ||||||
|
| |||||||
| Total Energy | 19,916,549 | |||||||
|
| |||||||
| Financials (3.3%) | ||||||||
| 8,510 | ACE, Ltd. | 560,128 | ||||||
| 8,858 | Affiliated Managers Group, Inc.a | 898,644 | ||||||
| 45,596 | Aflac, Inc. | 2,128,421 | ||||||
| 600 | Allianz AG | 83,666 | ||||||
| 5,520 | Aon Corporation | 283,176 | ||||||
| 3,700 | Atlantia SPA | 78,787 | ||||||
| 12,000 | Aviva plc | 84,464 | ||||||
| 29,840 | Bank of America Corporation | 327,046 | ||||||
| 4,850 | BlackRock, Inc. | 930,279 | ||||||
| 6,060 | Capital One Financial Corporation | 313,120 | ||||||
| 5,709 | Citigroup, Inc. | 237,723 | ||||||
| 14,224 | Duke Realty Corporation | 199,278 | ||||||
| 4,900 | Endurance Specialty Holdings, Ltd. | 202,517 | ||||||
| 12,390 | Equity One, Inc. | 230,950 | ||||||
| 2,510 | Goldman Sachs Group, Inc. | 334,056 | ||||||
| 1,600 | Hannover Rueckversicherung AG | 83,207 | ||||||
| 12,627 | HCC Insurance Holdings, Inc. | 397,751 | ||||||
| 16,448 | Host Hotels & Resorts, Inc. | 278,794 | ||||||
| 1,418 | IntercontinentalExchange, Inc.a | 176,839 | ||||||
| 66,563 | J.P. Morgan Chase & Company | 2,725,089 | ||||||
| 21,690 | KKR & Company, LP | 353,981 | ||||||
| 33,099 | LaSalle Hotel Properties | 871,828 | ||||||
| 4,731 | Lazard, Ltd. | 175,520 | ||||||
| 4,300 | M&T Bank Corporation | 378,185 | ||||||
| 6,360 | MetLife, Inc. | 279,013 | ||||||
| 5,100 | Mitsui & Company, Ltd. | 88,180 | ||||||
| 7,300 | NASDAQ OMX Group, Inc.a | 184,690 | ||||||
| 7,800 | Northern Trust Corporation | 358,488 | ||||||
| 69,786 | Ocwen Financial Corporationa | 890,469 | ||||||
| 390,018 | Popular, Inc.a | 1,076,450 | ||||||
| 13,810 | Principal Financial Group, Inc. | 420,100 | ||||||
| 17,000 | Resolution, Ltd. | 80,135 | ||||||
| 7,620 | State Street Corporation | 343,586 | ||||||
| 18,685 | SVB Financial Groupa | 1,115,681 | ||||||
| 33,610 | Texas Capital Bancshares, Inc.a | 868,146 | ||||||
| 22,770 | Unum Group | 580,180 | ||||||
| 3,340 | Vanguard REIT ETF | 200,734 | ||||||
| 11,986 | W.R. Berkley Corporation | 388,826 | ||||||
| 18,750 | Wells Fargo & Company | 526,125 | ||||||
| 48,615 | Zions Bancorporation | 1,167,246 | ||||||
|
| |||||||
| Total Financials | 20,901,498 | |||||||
|
| |||||||
| Health Care (3.7%) | ||||||||
| 5,200 | Alexion Pharmaceuticals, Inc.a | 244,556 | ||||||
| 17,934 | Align Technology, Inc.a | 408,895 | ||||||
| 1,700 | AstraZeneca plc | 84,964 | ||||||
| 5,420 | Baxter International, Inc. | 323,520 | ||||||
| 5,358 | C.R. Bard, Inc. | 588,630 | ||||||
| 4,649 | Celgene Corporationa | 280,428 | ||||||
| 19,717 | Covance, Inc.a | 1,170,598 | ||||||
| 7,247 | Coventry Health Care, Inc.a | 264,298 | ||||||
| 9,410 | Covidien plc | 500,894 | ||||||
| 9,200 | Dainippon Sumitomo Pharma Company, Ltd. | 87,428 | ||||||
| 800 | Fresenius SE & Company KGaA | 83,503 | ||||||
| 8,976 | Gen-Probe, Inc.a | 620,690 | ||||||
| 8,820 | HCA Holdings, Inc.a | 291,060 | ||||||
| 38,494 | Health Net, Inc.a | 1,236,427 | ||||||
| 4,240 | Johnson & Johnson | 282,045 | ||||||
| 42,850 | McKesson Corporation | 3,584,403 | ||||||
| 60,568 | Mylan, Inc.a | 1,494,213 | ||||||
| 142,224 | Pfizer, Inc. | 2,929,814 | ||||||
| 33,462 | PSS World Medical, Inc.a | 937,271 | ||||||
| 3,500 | Quest Diagnostics, Inc. | 206,850 | ||||||
| 4,400 | Ramsay Health Care, Ltd. | 85,956 | ||||||
| 23,973 | Thermo Fisher Scientific, Inc.a | 1,543,621 | ||||||
| 7,100 | Thoratec Corporationa | 233,022 | ||||||
| 15,840 | United Therapeutics Corporationa | 872,784 | ||||||
| 52,143 | UnitedHealth Group, Inc. | 2,689,536 | ||||||
| 18,107 | Universal Health Services, Inc. | 933,054 | ||||||
| 2,633 | Varian Medical Systems, Inc.a | 184,363 | ||||||
| 3,674 | Vertex Pharmaceuticals, Inc.a | 191,011 | ||||||
| 2,200 | Waters Corporationa | 210,628 | ||||||
| 7,930 | Zimmer Holdings, Inc.a | 501,176 | ||||||
|
| |||||||
| Total Health Care | 23,065,638 | |||||||
|
| |||||||
| Industrials (3.1%) | ||||||||
| 8 | A P Moller - Maersk AS | 69,064 | ||||||
| 18,490 | Boeing Company | 1,366,966 | ||||||
| 10,890 | Caterpillar, Inc. | 1,159,349 | ||||||
| 4,792 | Chicago Bridge and Iron Company | 186,409 | ||||||
| 8,655 | CSX Corporation | 226,934 | ||||||
| 41,744 | Deluxe Corporation | 1,031,494 | ||||||
| 4,000 | Deutsche Lufthansa AG | 87,122 | ||||||
| 4,500 | Deutsche Post AG-REG | 86,509 | ||||||
| 1,300 | Eiffage SA | 85,931 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (27.6%) | Value | ||||||
| Industrials (3.1%) - continued | ||||||||
| 33,724 | EMCOR Group, Inc.a | $ | 988,450 | |||||
| 24,600 | Emerson Electric Company | 1,383,750 | ||||||
| 2,700 | European Aeronautic Defence and Space Company | 90,360 | ||||||
| 3,762 | Expeditors International of Washington, Inc. | 192,577 | ||||||
| 32,535 | FTI Consulting, Inc.a | 1,234,378 | ||||||
| 23,200 | GATX Corporation | 861,184 | ||||||
| 30,000 | General Dynamics Corporation | 2,235,600 | ||||||
| 40,810 | General Electric Company | 769,677 | ||||||
| 7,490 | Harsco Corporation | 244,174 | ||||||
| 6,195 | Honeywell International, Inc. | 369,160 | ||||||
| 30,000 | Kajima Corporation | 86,067 | ||||||
| 83,193 | Manitowoc Company, Inc. | 1,400,970 | ||||||
| 3,400 | Manpower, Inc. | 182,410 | ||||||
| 11,425 | Oshkosh Corporationa | 330,640 | ||||||
| 5,138 | Parker Hannifin Corporation | 461,084 | ||||||
| 6,200 | Republic Services, Inc. | 191,270 | ||||||
| 19,400 | SembCorp Marine, Ltd. | 83,954 | ||||||
| 35,835 | Shaw Group, Inc.a | 1,082,575 | ||||||
| 6,865 | SPX Corporation | 567,461 | ||||||
| 17,893 | Teledyne Technologies, Inc.a | 901,092 | ||||||
| 11,620 | Textron, Inc. | 274,348 | ||||||
| 5,200 | Tyco International, Ltd. | 257,036 | ||||||
| 5,708 | United Technologies Corporation | 505,215 | ||||||
| 1,300 | Vinci SA | 83,429 | ||||||
| 6,840 | WESCO International, Inc.a | 369,976 | ||||||
|
| |||||||
| Total Industrials | 19,446,615 | |||||||
|
| |||||||
| Information Technology (7.3%) | ||||||||
| 36,035 | Accenture plc | 2,177,235 | ||||||
| 15,308 | Akamai Technologies, Inc.a | 481,743 | ||||||
| 4,100 | Alliance Data Systems Corporationa | 385,687 | ||||||
| 11,388 | Apple, Inc.a | 3,822,610 | ||||||
| 1,400 | Atos Origin SA | 79,081 | ||||||
| 23,700 | Broadcom Corporationa | 797,268 | ||||||
| 168,031 | Brocade Communicationsa | 1,085,480 | ||||||
| 131,400 | Cisco Systems, Inc. | 2,051,154 | ||||||
| 8,809 | Cognizant Technology Solutions Corporationa | 646,052 | ||||||
| 20,721 | CommVault Systems, Inc.a | 921,048 | ||||||
| 20,670 | Corning, Inc. | 375,161 | ||||||
| 7,174 | eBay, Inc.a | 231,505 | ||||||
| 49,200 | EMC Corporationa | 1,355,460 | ||||||
| 8,821 | F5 Networks, Inc.a | 972,515 | ||||||
| 4,485 | Google, Inc.a | 2,271,114 | ||||||
| 58,500 | Hewlett-Packard Company | 2,129,400 | ||||||
| 7,400 | Infineon Technologies AG | 83,147 | ||||||
| 15,252 | Informatica Corporationa | 891,174 | ||||||
| 16,533 | International Business Machines Corporation | 2,836,236 | ||||||
| 7,110 | Juniper Networks, Inc.a | 223,965 | ||||||
| 4,100 | Lam Research Corporationa | 181,548 | ||||||
| 102,984 | Microsoft Corporation | 2,677,584 | ||||||
| 80,509 | Monster Worldwide, Inc.a | 1,180,262 | ||||||
| 22,745 | Netlogic Microsystems, Inc.a | 919,353 | ||||||
| 12,600 | Nokia Oyj | 81,277 | ||||||
| 28,235 | NXP Semiconductors NVa | 754,722 | ||||||
| 125,810 | Oracle Corporation | 4,140,407 | ||||||
| 28,966 | Plantronics, Inc. | 1,058,128 | ||||||
| 31,901 | Plexus Corporationa | 1,110,474 | ||||||
| 26,500 | QUALCOMM, Inc. | 1,504,935 | ||||||
| 39,295 | Quest Software, Inc.a | 893,175 | ||||||
| 4,692 | Salesforce.com, Inc.a | 699,014 | ||||||
| 2,200 | Softbank Corporation | 83,319 | ||||||
| 33,300 | SuccessFactors, Inc.a | 979,020 | ||||||
| 11,976 | TE Connectivity, Ltd. | 440,238 | ||||||
| 88,456 | Teradyne, Inc.a | 1,309,149 | ||||||
| 48,488 | TIBCO Software, Inc.a | 1,407,122 | ||||||
| 17,000 | Toshiba Corporation | 89,630 | ||||||
| 16,100 | ValueClick, Inc.a | 267,260 | ||||||
| 6,900 | VeriFone Systems, Inc.a | 306,015 | ||||||
| 12,850 | VMware, Inc.a | 1,287,956 | ||||||
| 18,426 | Xilinx, Inc. | 671,996 | ||||||
|
| |||||||
| Total Information Technology | 45,859,619 | |||||||
|
| |||||||
| Materials (1.2%) | ||||||||
| 4,088 | Albemarle Corporation | 282,890 | ||||||
| 800 | Arkema | 82,279 | ||||||
| 16,800 | Balfour Beatty plc | 83,288 | ||||||
| 900 | BASF SE | 88,217 | ||||||
| 4,400 | Boliden AB | 81,262 | ||||||
| 5,795 | CF Industries Holdings, Inc. | 820,978 | ||||||
| 8,080 | Dow Chemical Company | 290,880 | ||||||
| 15,269 | E.I. du Pont de Nemours and Company | 825,289 | ||||||
| 67,750 | Freeport-McMoRan Copper & Gold, Inc. | 3,583,975 | ||||||
| 1,400 | Henkel AG & Company KGaA | 80,242 | ||||||
| 8,300 | ITOCHU Corporation | 86,327 | ||||||
| 500 | Linde AG | 87,721 | ||||||
| 1,000 | Rio Tinto, Ltd. | 89,505 | ||||||
| 3,644 | Sigma-Aldrich Corporation | 267,397 | ||||||
| 6,066 | Silgan Holdings, Inc. | 248,524 | ||||||
| 3,311 | Statoil ASA | 83,820 | ||||||
| 17,170 | Steel Dynamics, Inc. | 279,013 | ||||||
| 8,000 | Stora Enso Oyj | 84,008 | ||||||
| 7,300 | Temple-Inland, Inc. | 217,102 | ||||||
|
| |||||||
| Total Materials | 7,662,717 | |||||||
|
| |||||||
| Telecommunications Services (0.6%) | ||||||||
| 13,360 | AT&T, Inc. | 419,638 | ||||||
| 2,400 | Belgacom SA | 85,516 | ||||||
| 25,900 | BT Group plc | 83,972 | ||||||
| 5,700 | Deutsche Telekom AG | 88,941 | ||||||
| 3,700 | France Telecom SA | 78,673 | ||||||
| 11 | KDDI Corporation | 79,144 | ||||||
| 5,700 | Koninklijke (Royal) KPN NV | 82,905 | ||||||
| 1,100 | Mobistar SA | 83,441 | ||||||
| 37,650 | NII Holdings, Inc.a | 1,595,607 | ||||||
| 7,600 | Portugal Telecom SGPS SA | 74,712 | ||||||
| 200 | Swisscom AG | 91,682 | ||||||
| 3,500 | Telefonica SA | 85,481 | ||||||
| 17,688 | Verizon Communications, Inc. | 658,524 | ||||||
| 31,200 | Vodafone Group plc | 82,724 | ||||||
|
| |||||||
| Total Telecommunications Services | 3,590,960 | |||||||
|
| |||||||
| Utilities (0.7%) | ||||||||
| 7,400 American Electric Power Company, Inc. | 278,832 | |||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (27.6%) | Value | ||||||
| Utilities (0.7%) - continued | ||||||||
| 16,200 | Centrica plc | $ | 84,112 | |||||
| 11,500 | CMS Energy Corporation | 226,435 | ||||||
| 12,400 | Enel SPA | 81,021 | ||||||
| 10,520 | Exelon Corporation | 450,677 | ||||||
| 4,400 | Gas Natural SDG SA | 92,156 | ||||||
| 8,700 | National Grid plc | 85,640 | ||||||
| 21,280 | NiSource, Inc. | 430,920 | ||||||
| 15,588 | NV Energy, Inc. | 239,276 | ||||||
| 45,349 | PNM Resources, Inc. | 759,142 | ||||||
| 3,700 | Scottish & Southern Energy plc | 82,748 | ||||||
| 20,000 | SembCorp Industries, Ltd. | 81,444 | ||||||
| 22,878 | Southwest Gas Corporation | 883,320 | ||||||
| 11,155 | UGI Corporation | 355,733 | ||||||
|
| |||||||
| Total Utilities | 4,131,456 | |||||||
|
| |||||||
Total Common Stock (cost $156,374,848) | 172,384,323 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (5.5%) | |||||||
| Asset-Backed Securities (0.2%) | ||||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 1,000,000 | 5.461%, 10/25/2036 | 770,742 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 650,000 | 6.011%, 5/25/2036 | 360,247 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 1,130,989 | |||||||
|
| |||||||
| Basic Materials (0.1%) | ||||||||
| ArcelorMittal | ||||||||
| 100,000 | 7.000%, 10/15/2039 | 101,109 | ||||||
| Arch Coal, Inc. | ||||||||
| 140,000 | 7.000%, 6/15/2019b | 139,650 | ||||||
| Dow Chemical Company | ||||||||
| 100,000 | 4.250%, 11/15/2020 | 97,595 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 130,000 | 7.000%, 11/1/2015b | 132,600 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 130,000 | 8.000%, 1/15/2024 | 154,381 | ||||||
| Novelis, Inc. | ||||||||
| 140,000 | 8.375%, 12/15/2017 | 149,450 | ||||||
|
| |||||||
| Total Basic Materials | 774,785 | |||||||
|
| |||||||
| Capital Goods (<0.1%) | ||||||||
| Case New Holland, Inc. | ||||||||
| 120,000 | 7.875%, 12/1/2017b | 132,000 | ||||||
| Danaher Corporation | ||||||||
| 40,000 | 0.497%, 6/21/2013c | 40,055 | ||||||
|
| |||||||
| Total Capital Goods | 172,055 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.1%) | ||||||||
| Sequoia Mortgage Trust | ||||||||
| 168,296 | 5.401%, 9/20/2046 | 59,963 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 132,230 | 5.836%, 9/25/2036 | 110,287 | ||||||
| 205,858 | 5.936%, 10/25/2036 | 191,549 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 361,799 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities(0.1%) | ||||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| $250,000 | 5.509%, 9/15/2039 | 235,351 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| 197,593 | 3.342%, 12/25/2019 | 202,783 | ||||||
| Government National Mortgage Association | ||||||||
| 200,627 | 2.164%, 3/16/2033 | 203,732 | ||||||
| 182,252 | 3.214%, 1/16/2040 | 189,227 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 831,093 | |||||||
|
| |||||||
| Communications Services (0.2%) | ||||||||
| CBS Corporation | ||||||||
| 50,000 | 7.875%, 7/30/2030 | 59,672 | ||||||
| 50,000 | 5.900%, 10/15/2040 | 47,856 | ||||||
| CCO Holdings, LLC | ||||||||
| 130,000 | 7.000%, 1/15/2019 | 133,900 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 140,000 | 9.250%, 12/15/2017 | 152,600 | ||||||
| Cox Communications, Inc. | ||||||||
| 100,000 | 6.950%, 6/1/2038b | 112,656 | ||||||
| Cricket Communications, Inc. | ||||||||
| 130,000 | 7.750%, 10/15/2020 | 127,400 | ||||||
| Dish DBS Corporation | ||||||||
| 115,000 | 6.750%, 6/1/2021b | 117,875 | ||||||
| EH Holding Corporation | ||||||||
| 140,000 | 6.500%, 6/15/2019b | 142,450 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 70,000 | 11.500%, 2/4/2017b | 75,250 | ||||||
| NII Capital Corporation | ||||||||
| 90,000 | 7.625%, 4/1/2021 | 94,050 | ||||||
| Virgin Media Finance plc | ||||||||
| 120,000 | 9.500%, 8/15/2016 | 135,600 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 137,000 | 7.250%, 2/15/2018b | 142,480 | ||||||
|
| |||||||
| Total Communications Services | 1,341,789 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
| Chrysler Group, LLC | ||||||||
| 200,000 | 8.000%, 6/15/2019b | 196,500 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| 90,000 | 8.250%, 8/15/2020 | 97,200 | ||||||
| Home Depot, Inc. | ||||||||
| 100,000 | 5.875%, 12/16/2036 | 102,345 | ||||||
| MGM Resorts International | ||||||||
| 110,000 | 11.125%, 11/15/2017 | 125,675 | ||||||
| Rite Aid Corporation | ||||||||
| 140,000 | 7.500%, 3/1/2017 | 138,950 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 130,000 | 6.750%, 5/15/2018 | 143,975 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 140,000 | 8.500%, 12/1/2017 | 146,300 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (5.5%) | Value | ||||||
| Consumer Cyclical (0.2%) - continued | ||||||||
| West Corporation | ||||||||
| $140,000 | 7.875%, 1/15/2019b | $ | 135,800 | |||||
|
| |||||||
| Total Consumer Cyclical | 1,086,745 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.2%) | ||||||||
| Altria Group, Inc. | ||||||||
| 100,000 | 9.950%, 11/10/2038 | 140,504 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 50,000 | 6.450%, 9/1/2037 | 56,701 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 50,000 | 8.200%, 1/15/2039 | 68,770 | ||||||
| Community Health Systems, Inc. | ||||||||
| 140,000 | 8.875%, 7/15/2015 | 144,200 | ||||||
| HCA, Inc. | ||||||||
| 140,000 | 7.250%, 9/15/2020 | 150,325 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 120,000 | 11.625%, 5/1/2014 | 138,000 | ||||||
| Kraft Foods, Inc. | ||||||||
| 50,000 | 5.375%, 2/10/2020 | 54,660 | ||||||
| 50,000 | 7.000%, 8/11/2037 | 58,247 | ||||||
| Mylan, Inc. | ||||||||
| 120,000 | 7.875%, 7/15/2020b | 131,700 | ||||||
| Reynolds Group Holdings, Ltd. | ||||||||
| 130,000 | 6.875%, 2/15/2021b | 126,750 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 50,000 | 6.875%, 2/15/2038 | 57,172 | ||||||
| 50,000 | 5.700%, 10/15/2040 | 49,461 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 1,176,490 | |||||||
|
| |||||||
| Energy (0.1%) | ||||||||
| Denbury Resources, Inc. | ||||||||
| 140,000 | 9.750%, 3/1/2016 | 156,450 | ||||||
| Linn Energy, LLC | ||||||||
| 130,000 | 7.750%, 2/1/2021b | 135,200 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 70,000 | 7.500%, 1/15/2020 | 78,877 | ||||||
| Plains Exploration & Production Company | ||||||||
| 130,000 | 7.625%, 6/1/2018 | 136,500 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 140,000 | 8.000%, 6/1/2018b | 142,800 | ||||||
| Weatherford International, Ltd. | ||||||||
| 100,000 | 6.750%, 9/15/2040 | 107,097 | ||||||
|
| |||||||
| Total Energy | 756,924 | |||||||
|
| |||||||
| Financials (0.4%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 205,000 | 3.200%, 11/3/2014b | 215,169 | ||||||
| AXA SA | ||||||||
| 100,000 | 6.379%, 12/29/2049b,d | 87,500 | ||||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013b | 227,583 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 50,000 | 5.919%, 12/29/2049d | 41,394 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 205,000 | 2.600%, 7/2/2015b | 210,058 | ||||||
| Cie de Financement Foncier | ||||||||
| 225,000 | 2.250%, 3/7/2014b | 227,449 | ||||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014b | 228,060 | ||||||
| General Electric Capital Corporation | ||||||||
| 100,000 | 6.750%, 3/15/2032 | 111,105 | ||||||
| HCP, Inc. | ||||||||
| 100,000 | 6.750%, 2/1/2041 | 105,730 | ||||||
| Health Care REIT, Inc. | ||||||||
| 40,000 | 6.500%, 3/15/2041 | 39,176 | ||||||
| Icahn Enterprises, LP | ||||||||
| 70,000 | 8.000%, 1/15/2018 | 71,050 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 210,000 | 2.375%, 5/26/2015 | 216,946 | ||||||
| International Lease Finance Corporation | ||||||||
| 140,000 | 5.750%, 5/15/2016 | 137,860 | ||||||
| MetLife, Inc. | ||||||||
| 100,000 | 7.875%, 12/15/2037b | 104,471 | ||||||
| Prudential Financial, Inc. | ||||||||
| 100,000 | 6.200%, 11/15/2040 | 102,192 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 50,000 | 6.750%, 12/15/2065 | 47,768 | ||||||
| Royal Bank of Canada | ||||||||
| 160,000 | 3.125%, 4/14/2015b | 166,329 | ||||||
| Toronto-Dominion Bank | ||||||||
| 205,000 | 2.200%, 7/29/2015b | �� | 207,727 | |||||
| XL Capital, Ltd. | ||||||||
| 50,000 | 6.500%, 12/31/2049d | 45,875 | ||||||
| XL Group plc | ||||||||
| 100,000 | 6.250%, 5/15/2027 | 101,207 | ||||||
|
| |||||||
| Total Financials | 2,694,649 | |||||||
|
| |||||||
| Foreign Government (0.1%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 300,000 | 4.375%, 2/16/2021b | 311,369 | ||||||
| Kommunalbanken AS | ||||||||
| 225,000 | 2.750%, 5/5/2015b | 234,713 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 55,000 | 0.195%, 6/17/2013c | 54,968 | ||||||
|
| |||||||
| Total Foreign Government | 601,050 | |||||||
|
| |||||||
| Mortgage-Backed Securities (0.3%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 800,000 | 6.000%, 7/1/2041e | 878,625 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 225,000 | 4.000%, 7/1/2026e | 234,351 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 800,000 | 4.500%, 7/1/2041e,f | 827,625 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (5.5%) | Value | ||||||
| Mortgage-Backed Securities (0.3%) - continued | ||||||||
| $225,000 | 5.000%, 7/1/2041e | $ | 239,063 | |||||
|
| |||||||
| Total Mortgage-Backed Securities | 2,179,664 | |||||||
|
| |||||||
| Technology (0.1%) | ||||||||
| Freescale Semiconductor, Inc. | ||||||||
| 130,000 | 9.250%, 4/15/2018b | 140,075 | ||||||
| Seagate HDD Cayman | ||||||||
| 120,000 | 7.750%, 12/15/2018b | 126,000 | ||||||
|
| |||||||
| Total Technology | 266,075 | |||||||
|
| |||||||
| Transportation (0.1%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 140,000 | 9.500%, 9/15/2014b | 149,275 | ||||||
| Hertz Corporation | ||||||||
| 140,000 | 6.750%, 4/15/2019b | 138,600 | ||||||
|
| |||||||
| Total Transportation | 287,875 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.2%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 85,000 | Zero Coupon, 1/7/2012b | 84,722 | ||||||
| 85,000 | Zero Coupon, 1/7/2014b | 82,326 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 210,000 | 2.125%, 9/15/2015 | 213,753 | ||||||
| Federal Home Loan Banks | ||||||||
| 860,000 | 5.375%, 5/18/2016 | 997,516 | ||||||
| 1,300,000 | 5.000%, 11/17/2017 | 1,493,322 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,300,000 | 0.750%, 3/28/2013 | 1,306,674 | ||||||
| 400,000 | 2.500%, 1/7/2014 | 417,591 | ||||||
| 580,000 | 4.875%, 6/13/2018 | 659,217 | ||||||
| Federal National Mortgage Association | ||||||||
| 715,000 | 1.250%, 2/27/2014 | 723,965 | ||||||
| 255,000 | 4.375%, 10/15/2015 | 282,581 | ||||||
| 210,000 | 6.250%, 5/15/2029 | 254,961 | ||||||
| Tennessee Valley Authority | ||||||||
| 165,000 | 5.250%, 9/15/2039 | 174,704 | ||||||
| U.S. Treasury Bonds | ||||||||
| 180,000 | 4.625%, 2/15/2040 | 187,678 | ||||||
| 120,000 | 4.375%, 5/15/2041 | 119,813 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 57,219 | 2.125%, 2/15/2040 | 62,266 | ||||||
| U.S. Treasury Notes | ||||||||
| 1,975,000 | 0.750%, 6/15/2014 | 1,972,685 | ||||||
| 2,150,000 | 2.500%, 4/30/2015 | 2,254,812 | ||||||
| 465,000 | 2.000%, 1/31/2016 | 474,046 | ||||||
| 625,000 | 2.625%, 2/29/2016 | 654,101 | ||||||
| 1,500,000 | 3.250%, 3/31/2017 | 1,597,500 | ||||||
| 2,715,000 | 3.625%, 2/15/2021 | 2,831,023 | ||||||
| 420,000 | 7.625%, 2/15/2025 | 598,237 | ||||||
| 550,000 | 4.375%, 5/15/2040 | 549,659 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 265,933 | 3.375%, 1/15/2012 | 271,689 | ||||||
| 358,994 | 2.000%, 1/15/2014 | 386,760 | ||||||
| 259,074 | 1.625%, 1/15/2015 | 281,015 | ||||||
| 306,089 | 0.500%, 4/15/2015 | 319,241 | ||||||
| 239,387 | 2.500%, 7/15/2016 | 273,949 | ||||||
| $325,479 | 2.625%, 7/15/2017 | 378,624 | ||||||
| 256,978 | 1.125%, 1/15/2021 | 266,855 | ||||||
| 65,610 | 2.375%, 1/15/2025 | 75,410 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 20,246,695 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| AES Corporation | ||||||||
| 120,000 | 7.375%, 7/1/2021b | 121,800 | ||||||
| Dominion Resources, Inc. | ||||||||
| 50,000 | 6.300%, 9/30/2066 | 48,813 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 28,000 | 6.625%, 10/15/2036 | 28,891 | ||||||
| 50,000 | 7.500%, 7/1/2038 | 56,608 | ||||||
| Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 140,000 | 6.500%, 8/15/2021 | 138,950 | ||||||
| Southern Union Company | ||||||||
| 100,000 | 7.200%, 11/1/2066 | 93,000 | ||||||
|
| |||||||
| Total Utilities | 488,062 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $33,351,137) | 34,396,739 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Financials (<0.1%) | ||||||||
| 120 | Ally Financial, Inc., 7.000%b,d | 112,777 | ||||||
|
| |||||||
| Total Financials | 112,777 | |||||||
|
| |||||||
Total Preferred Stock (cost $113,813) | 112,777 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (1.7%)g | |||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 600,000 | 0.075%, 8/29/2011h | 599,926 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 3,700,000 | 0.075%, 8/31/2011h | 3,699,530 | ||||||
| Old Line Funding, LLC | ||||||||
| 3,007,000 | 0.130%, 8/1/2011 | 3,006,663 | ||||||
| U.S. Treasury Bills | ||||||||
| 3,500,000 | 0.125%, 8/18/2011h | 3,499,421 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 10,805,540 | |||||||
|
| |||||||
Total Investments (cost $604,961,200) 98.8% | $ | 617,893,467 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.2% | 7,264,440 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 625,157,907 | ||||||
|
| |||||||
| a | Non-income producing security. |
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 June 30, 2011
(unaudited)
| 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 June 30, 2011, the value of these investments was $5,039,714 or 0.8% of total net assets. |
| 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 June 30, 2011. |
| 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 investments purchased on a when-issued or delayed delivery basis. |
| f | All or a portion of the security was earmarked to cover written options. |
| g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| h | At June 30, 2011, $7,398,926 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. | ||||
TIPS | - | Treasury Inflation Protected Security. | ||||
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 | $ | 52,076,826 | ||
Gross unrealized depreciation | (39,349,901 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 12,726,925 | ||
Cost for federal income tax purposes | $ | 605,166,542 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
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Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Aggressive Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 394,196,869 | 394,196,869 | — | — | ||||||||||||
Fixed Income Mutual Funds | 5,997,219 | 5,997,219 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 332,062 | — | 332,062 | — | ||||||||||||
Consumer Discretionary | 14,946,930 | 13,050,368 | 1,896,562 | — | ||||||||||||
Consumer Staples | 12,530,279 | 11,375,994 | 1,154,285 | — | ||||||||||||
Energy | 19,916,549 | 18,645,357 | 1,271,192 | — | ||||||||||||
Financials | 20,901,498 | 20,403,059 | 498,439 | — | ||||||||||||
Health Care | 23,065,638 | 22,723,787 | 341,851 | — | ||||||||||||
Industrials | 19,446,615 | 18,774,179 | 672,436 | — | ||||||||||||
Information Technology | 45,859,619 | 45,443,165 | 416,454 | — | ||||||||||||
Materials | 7,662,717 | 6,816,048 | 846,669 | — | ||||||||||||
Telecommunications Services | 3,590,960 | 2,759,250 | 831,710 | — | ||||||||||||
Utilities | 4,131,456 | 3,624,335 | 507,121 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 1,130,989 | — | 1,130,989 | — | ||||||||||||
Basic Materials | 774,785 | — | 774,785 | — | ||||||||||||
Capital Goods | 172,055 | — | 172,055 | — | ||||||||||||
Collateralized Mortgage Obligations | 361,799 | — | 361,799 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 831,093 | — | 831,093 | — | ||||||||||||
Communications Services | 1,341,789 | — | 1,341,789 | — | ||||||||||||
Consumer Cyclical | 1,086,745 | — | 1,086,745 | — | ||||||||||||
Consumer Non-Cyclical | 1,176,490 | — | 1,176,490 | — | ||||||||||||
Energy | 756,924 | — | 756,924 | — | ||||||||||||
Financials | 2,694,649 | — | 2,694,649 | — | ||||||||||||
Foreign Government | 601,050 | — | 601,050 | — | ||||||||||||
Mortgage-Backed Securities | 2,179,664 | — | 2,179,664 | — | ||||||||||||
Technology | 266,075 | — | 266,075 | — | ||||||||||||
Transportation | 287,875 | — | 287,875 | — | ||||||||||||
U.S. Government and Agencies | 20,246,695 | — | 20,246,695 | — | ||||||||||||
Utilities | 488,062 | — | 488,062 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 112,777 | — | 112,777 | — | ||||||||||||
Short-Term Investments | 10,805,540 | — | 10,805,540 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 617,893,467 | $ | 563,809,630 | $ | 54,083,837 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 3,854,267 | 3,854,267 | — | — | ||||||||||||
Call Options Written | 719 | — | — | 719 | ||||||||||||
Credit Default Swaps | 19,764 | — | 19,764 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 3,874,750 | $ | 3,854,267 | $ | 19,764 | $ | 719 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 5,692,881 | 5,692,881 | — | — | ||||||||||||
Credit Default Swaps | 3,305 | — | 3,305 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 5,696,186 | $ | 5,692,881 | $ | 3,305 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 June 30, 2011
(unaudited)
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Aggressive Allocation Portfolio.
Investments in Securities | Value December 31, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Option | ||||||||||||||||||||||||||||||||
U.S. Government | — | — | 719 | — | — | — | — | 719 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | — | $ | — | $ | 719 | $ | — | $ | — | $ | — | $ | — | $ | 719 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $719. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (15 | ) | September 2011 | ($3,282,845 | ) | ($3,290,156 | ) | ($7,311 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | (45 | ) | September 2011 | (5,329,199 | ) | (5,363,789 | ) | (34,590 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (20 | ) | September 2011 | (2,435,408 | ) | (2,446,563 | ) | (11,155 | ) | |||||||||||
Russell 2000 Index Mini-Futures | (838 | ) | September 2011 | (66,007,333 | ) | (69,168,520 | ) | (3,161,187 | ) | |||||||||||
S&P 400 Index Mini-Futures | (713 | ) | September 2011 | (67,145,812 | ) | (69,624,450 | ) | (2,478,638 | ) | |||||||||||
S&P 500 Index Futures | 445 | September 2011 | 142,495,108 | 146,349,375 | 3,854,267 | |||||||||||||||
Total Futures Contracts | ($1,838,614 | ) | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
Federal National Mortgage | ||||||||||||||||||||
Association Conventional 30 Yr. Pass Through | 1 | $ | 104.45 | July 2011 | ($ | 94 | ) | $ | 719 | |||||||||||
Total Call Options Written | ($ | 94 | ) | $ | 719 | |||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2015 | $ | 750,000 | $ | 30,619 | ($23,477 | ) | $ | 7,142 | ||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 1,250,000 | 51,750 | (39,128 | ) | 12,622 | |||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 1,250,000 | 35,824 | (39,129 | ) | (3,305 | ) | ||||||||||||||
Total Credit Default Swaps | ($101,734 | ) | $ | 16,459 | ||||||||||||||||||
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 June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | ||||||
Interest Rate Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 719 | |||
Total Interest Rate Contracts | 719 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,854,267 | ||||
Total Equity Contracts | 3,854,267 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 19,764 | ||||
Total Credit Contracts | 19,764 | |||||
|
| |||||
Total Asset Derivatives | $ | 3,874,750 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,639,825 | ||||
Total Equity Contracts | 5,639,825 | |||||
Interest Rate Contracts | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 53,056 | ||||
Futures* | ||||||
Total Interest Rate Contracts | 53,056 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 3,305 | ||||
Total Credit Contracts | 3,305 | |||||
|
| |||||
Total Liability Derivatives | $ | 5,696,186 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 1,260,488 | ||||
Total Equity Contracts | 1,260,488 | |||||
| Foreign Exchange Contracts | ||||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (59,461 | ) | |||
Total Foreign Exchange Contracts | (59,461 | ) | ||||
Interest Rate Contracts | ||||||
| Futures | Net realized gains/(losses) on Futures contracts | (178,769 | ) | |||
Total Interest Rate Contracts | (178,769 | ) | ||||
Credit Contracts | ||||||
| Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (48,818 | ) | |||
Total Credit Contracts | (48,818 | ) | ||||
|
| |||||
Total | $ | 973,440 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | ||||
Interest Rate Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 719 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (53,056 | ) | |||
Total Interest Rate Contracts | (52,337 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (1,762,714 | ) | |||
Total Equity Contracts | (1,762,714 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 16,459 | ||||
Total Credit Contracts | 16,459 | |||||
|
| |||||
Total | ($1,798,592 | ) | ||||
|
| |||||
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
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) | ||||||||||||||||||
Equity Contracts | $ | 146,025,556 | 23.8 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 6,272,917 | 1.0 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 320,552 | 0.1 | N/A | N/A | |||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 2,413,064 | 0.4 | % | ||||||||||||||||
| * | 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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 11,741,196 | $ | — | $ | — | 810,218 | $ | 13,006,999 | $ | — | |||||||||||||
Partner Small Cap Growth | 45,198,556 | — | — | 3,498,692 | 49,999,812 | — | ||||||||||||||||||
Partner Small Cap Value | 14,685,240 | 31,505 | — | 771,998 | 15,268,032 | 31,505 | ||||||||||||||||||
Small Cap Stock | 24,387,985 | — | 3,000,000 | 1,708,411 | 23,052,439 | — | ||||||||||||||||||
Mid Cap Growth II | 44,227,632 | 1,649,320 | — | 4,612,319 | 46,871,770 | 45,644 | ||||||||||||||||||
Partner Mid Cap Value | 20,855,810 | 45,216 | — | 1,561,519 | 22,122,502 | 45,216 | ||||||||||||||||||
Mid Cap Stock | 33,298,998 | 13,942 | 3,000,000 | 2,495,827 | 32,321,207 | 13,942 | ||||||||||||||||||
Partner Worldwide Allocation | 24,071,806 | 2,013,667 | — | 2,965,387 | 27,116,093 | 13,667 | ||||||||||||||||||
Partner International Stock | 76,818,979 | 25,405 | 8,000,000 | 6,481,456 | 72,572,214 | 25,405 | ||||||||||||||||||
Large Cap Growth II | 25,486,458 | 516,745 | — | 3,749,095 | 26,419,122 | 36,418 | ||||||||||||||||||
Large Cap Value | 28,774,412 | 6,474 | — | 2,683,031 | 29,976,963 | 6,474 | ||||||||||||||||||
Large Cap Stock | 29,249,553 | 3,457 | — | 3,441,288 | 30,378,318 | 3,457 | ||||||||||||||||||
Equity Income Plus | 4,796,661 | 13,438 | — | 530,968 | 5,091,398 | 13,438 | ||||||||||||||||||
High Yield | 6,259,496 | 605,705 | 917,737 | 1,237,688 | 5,997,219 | 232,023 | ||||||||||||||||||
Total Value and Income Earned | 389,852,782 | 400,194,088 | 467,189 | |||||||||||||||||||||
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 June 30, 2011
(unaudited)
| Shares | Mutual Funds (71.3%) | Value | ||||||
| Equity Mutual Funds (57.0%) | ||||||||
| 5,203,119 | Thrivent Real Estate Securities Portfolioa | $ | 83,529,319 | |||||
| 5,056,075 | Thrivent Partner Small Cap Growth Portfolioa | 72,256,363 | ||||||
| 3,436,858 | Thrivent Partner Small Cap Value Portfolio | 67,971,765 | ||||||
| 4,528,335 | Thrivent Small Cap Stock Portfolioa | 61,103,088 | ||||||
| 6,981,770 | Thrivent Mid Cap Growth Portfolio II | 70,950,843 | ||||||
| 6,158,169 | Thrivent Partner Mid Cap Value Portfolio | 87,244,630 | ||||||
| 14,071,209 | Thrivent Mid Cap Stock Portfolio | 182,223,564 | ||||||
| 17,687,948 | Thrivent Partner Worldwide Allocation Portfolio | 161,742,130 | ||||||
| 19,477,076 | Thrivent Partner International Stock Portfolio | 218,082,872 | ||||||
| 22,830,675 | Thrivent Large Cap Growth Portfolio II | 160,883,204 | ||||||
| 18,430,656 | Thrivent Large Cap Value Portfolio | 205,922,036 | ||||||
| 21,658,100 | Thrivent Large Cap Stock Portfolio | 191,189,042 | ||||||
| 2,223,952 | Thrivent Equity Income Plus Portfolio | 21,325,251 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 1,584,424,107 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (14.3%) | ||||||||
| 21,648,935 | Thrivent High Yield Portfolio | 104,899,914 | ||||||
| 18,841,949 | Thrivent Income Portfolio | 189,738,422 | ||||||
| 10,412,997 | Thrivent Limited Maturity Bond Portfolio | 102,275,417 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 396,913,753 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,987,374,241) | 1,981,337,860 | |||||||
|
| |||||||
Common Stock (15.6%) | ||||||||
| Communications Services (<0.1%) | ||||||||
| 10,000 | Elisa Oyj | 215,213 | ||||||
| 1,700 | Iliad SA | 228,132 | ||||||
| 4,700 | Nippon Telegraph & Telephone Corporation | 226,690 | ||||||
| 17,100 | Telekom Austria AG | 218,213 | ||||||
|
| |||||||
| Total Communications Services | 888,248 | |||||||
|
| |||||||
| Consumer Discretionary (1.2%) | ||||||||
| 12,550 | Amazon.com, Inc.a | 2,566,350 | ||||||
| 13,934 | Autoliv, Inc. | 1,093,122 | ||||||
| 2,500 | Bayerische Motoren Werke AG | 249,641 | ||||||
| 3,300 | Beiersdorf AG | 214,401 | ||||||
| 10,000 | Bridgestone Corporation | 230,405 | ||||||
| 1,950 | Carlsberg AS | 212,322 | ||||||
| 39,553 | Carnival Corporation | 1,488,379 | ||||||
| 11,680 | CBS Corporation | 332,763 | ||||||
| 9,200 | Charter Communications, Inc.a | 499,192 | ||||||
| 14,000 | Daihatsu Motor Company, Ltd. | 238,261 | ||||||
| 35,200 | Darden Restaurants, Inc. | 1,751,552 | ||||||
| 41,479 | Discovery Communications, Inc.a | 1,698,980 | ||||||
| 10,455 | Dollar Tree, Inc.a | 696,512 | ||||||
| 26,900 | Echo Entertainment Group, Ltd.a | 118,575 | ||||||
| 20,400 | Fiat SPA | 224,152 | ||||||
| 88,288 | Foot Locker, Inc. | 2,097,723 | ||||||
| 209,950 | Ford Motor Companya | 2,895,210 | ||||||
| 12,600 | Greek Organization of Football Prognostics SA | 196,782 | ||||||
| 2,500 | Industria de Diseno Textil SA (Inditex) | 227,779 | ||||||
| 48,400 | Kingfisher plc | 207,892 | ||||||
| 4,400 | Lawson, Inc. | 230,828 | ||||||
| 28,050 | Lowe’s Companies, Inc. | 653,846 | ||||||
| 29,972 | Macy’s, Inc. | 876,381 | ||||||
| 42,700 | Mediaset SPA | 200,726 | ||||||
| 24,480 | Omnicom Group, Inc. | 1,178,957 | ||||||
| 8,818 | Panera Bread Companya | 1,108,070 | ||||||
| 5,400 | Peugeot SA | 242,245 | ||||||
| 33,350 | Phillips-Van Heusen Corporation | 2,183,425 | ||||||
| 185,988 | Pier 1 Imports, Inc.a | 2,151,881 | ||||||
| 4,000 | Publicis Groupe SA | 223,291 | ||||||
| 86,800 | Sands China, Ltd.a | 235,275 | ||||||
| 40,575 | Signet Jewelers, Ltd.a | 1,899,316 | ||||||
| 2,800 | Sodexo | 219,329 | ||||||
| 8,600 | Sony Corporation | 226,913 | ||||||
| 33,090 | Staples, Inc. | 522,822 | ||||||
| 16,600 | Sumitomo Rubber Industries, Ltd. | 200,879 | ||||||
| 10,300 | Suzuki Motor Corporation | 232,178 | ||||||
| 2,600 | Swatch Group AG | 233,752 | ||||||
| 61,300 | Tabcorp Holdings, Ltd. | 216,838 | ||||||
| 16,230 | Time Warner Cable, Inc. | 1,266,589 | ||||||
| 14,370 | Viacom, Inc. | 732,870 | ||||||
| 8,000 | Vivendi SA | 222,978 | ||||||
| 18,895 | Walt Disney Company | 737,661 | ||||||
| 8,500 | Whitbread plc | 220,372 | ||||||
| 22,500 | Williams-Sonoma, Inc. | 821,025 | ||||||
|
| |||||||
| Total Consumer Discretionary | 34,278,440 | |||||||
|
| |||||||
| Consumer Staples (1.1%) | ||||||||
| 26,120 | Altria Group, Inc. | 689,829 | ||||||
| 3,700 | Anheuser-Busch InBev NV | 214,733 | ||||||
| 42,660 | Anheuser-Busch InBev NV ADR | 2,474,707 | ||||||
| 17,400 | Autogrill SPA | 228,491 | ||||||
| 40,000 | BJ’s Wholesale Club, Inc.a | 2,014,000 | ||||||
| 2,100 | Casino Guichard Perrachon SA | 197,920 | ||||||
| 54,251 | Corn Products International, Inc. | 2,998,995 | ||||||
| 2,700 | Delhaize Group SA | 202,591 | ||||||
| 8,730 | Diageo plc ADR | 714,725 | ||||||
| 27,736 | Diamond Foods, Inc. | 2,117,366 | ||||||
| 25,056 | Flowers Foods, Inc. | 552,234 | ||||||
| 37,476 | Herbalife, Ltd. | 2,160,117 | ||||||
| 39,800 | J Sainsbury plc | 210,817 | ||||||
| 11,400 | Jeronimo Martins SGPS SA | 218,939 | ||||||
| 15,500 | Koninklijke (Royal) Ahold NV | 208,396 | ||||||
| 42,660 | Kraft Foods, Inc. | 1,502,912 | ||||||
| 1,800 | L’Oreal SA | 233,588 | ||||||
| 35,500 | Marks and Spencer Group plc | 205,782 | ||||||
| 8,400 | McDonald’s Holdings Company Japan, Ltd. | 213,577 | ||||||
| 3,400 | Nestle SA | 211,564 | ||||||
| 150,955 | Philip Morris International, Inc. | 10,079,265 | ||||||
| 32,300 | Tesco plc | 208,677 | ||||||
| 16,355 | TreeHouse Foods, Inc.a | 893,147 | ||||||
| 42,510 | Walgreen Company | 1,804,975 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (15.6%) | Value | ||||||
| Consumer Staples (1.1%) - continued | ||||||||
| 44,800 | William Morrison Supermarkets plc | $ | 214,265 | |||||
| 17,000 | Yamazaki Baking Company, Ltd. | 227,614 | ||||||
|
| |||||||
| Total Consumer Staples | 30,999,226 | |||||||
|
| |||||||
| Energy (1.7%) | ||||||||
| 11,643 | Alpha Natural Resources, Inc.a | 529,058 | ||||||
| 30,463 | Apache Corporation | 3,758,830 | ||||||
| 88,673 | Arch Coal, Inc. | 2,364,022 | ||||||
| 44,848 | Baker Hughes, Inc. | 3,254,171 | ||||||
| 10,298 | BP plc ADR | 456,099 | ||||||
| 23,210 | Chevron Corporation | 2,386,916 | ||||||
| 25,260 | ConocoPhillips | 1,899,299 | ||||||
| 9,400 | Eni SPA | 222,765 | ||||||
| 60,788 | ENSCO International plc ADR | 3,240,000 | ||||||
| 94,900 | Exxon Mobil Corporation | 7,722,962 | ||||||
| 42,000 | Helix Energy Solutions Group, Inc.a | 695,520 | ||||||
| 90,100 | James River Coal Companya | 1,875,882 | ||||||
| 16,338 | National Oilwell Varco, Inc. | 1,277,795 | ||||||
| 6,300 | Occidental Petroleum Corporation | 655,452 | ||||||
| 23,950 | Oil States International, Inc.a | 1,913,845 | ||||||
| 5,400 | OMV AG | 235,901 | ||||||
| 83,560 | Patriot Coal Corporationa | 1,860,046 | ||||||
| 45,030 | Peabody Energy Corporation | 2,652,717 | ||||||
| 128,785 | Petroleum Geo-Services ASAa | 1,839,774 | ||||||
| 6,700 | Repsol YPF SA | 232,387 | ||||||
| 15,681 | Schlumberger, Ltd. | 1,354,838 | ||||||
| 16,500 | Southwestern Energy Companya | 707,520 | ||||||
| 51,533 | Swift Energy Companya | 1,920,635 | ||||||
| 4,000 | Total SA | 231,248 | ||||||
| 185,200 | Weatherford International, Ltd.a | 3,472,500 | ||||||
| 13,200 | Whiting Petroleum Corporationa | 751,212 | ||||||
|
| |||||||
| Total Energy | 47,511,394 | |||||||
|
| |||||||
| Financials (1.9%) | ||||||||
| 19,840 | ACE, Ltd. | 1,305,869 | ||||||
| 17,754 | Affiliated Managers Group, Inc.a | 1,801,143 | ||||||
| 168,474 | Aflac, Inc. | 7,864,366 | ||||||
| 1,600 | Allianz AG | 223,110 | ||||||
| 12,860 | Aon Corporation | 659,718 | ||||||
| 9,800 | Atlantia SPA | 208,679 | ||||||
| 31,700 | Aviva plc | 223,126 | ||||||
| 69,565 | Bank of America Corporation | 762,432 | ||||||
| 10,300 | BlackRock, Inc. | 1,975,643 | ||||||
| 14,150 | Capital One Financial Corporation | 731,131 | ||||||
| 13,303 | Citigroup, Inc. | 553,937 | ||||||
| 41,231 | Duke Realty Corporation | 577,646 | ||||||
| 15,400 | Endurance Specialty Holdings, Ltd. | 636,482 | ||||||
| 35,506 | Equity One, Inc. | 661,832 | ||||||
| 5,840 | Goldman Sachs Group, Inc. | 777,246 | ||||||
| 4,300 | Hannover Rueckversicherung AG | 223,620 | ||||||
| 36,572 | HCC Insurance Holdings, Inc. | 1,152,018 | ||||||
| 47,895 | Host Hotels & Resorts, Inc. | 811,820 | ||||||
| 4,580 | IntercontinentalExchange, Inc.a | 571,172 | ||||||
| 146,226 | J.P. Morgan Chase & Company | 5,986,493 | ||||||
| 50,560 | KKR & Company, LP | 825,139 | ||||||
| 66,097 | LaSalle Hotel Properties | 1,740,995 | ||||||
| 14,550 | Lazard, Ltd. | 539,805 | ||||||
| 12,800 | M&T Bank Corporation | 1,125,760 | ||||||
| 14,810 | MetLife, Inc. | 649,715 | ||||||
| 13,500 | Mitsui & Company, Ltd. | 233,417 | ||||||
| 21,300 | NASDAQ OMX Group, Inc.a | 538,890 | ||||||
| 22,700 | Northern Trust Corporation | 1,043,292 | ||||||
| 139,405 | Ocwen Financial Corporationa | 1,778,808 | ||||||
| 848,266 | Popular, Inc.a | 2,341,214 | ||||||
| 32,172 | Principal Financial Group, Inc. | 978,672 | ||||||
| 45,000 | Resolution, Ltd. | 212,123 | ||||||
| 17,770 | State Street Corporation | 801,249 | ||||||
| 38,541 | SVB Financial Groupa | 2,301,283 | ||||||
| 67,196 | Texas Capital Bancshares, Inc.a | 1,735,673 | ||||||
| 53,350 | Unum Group | 1,359,358 | ||||||
| 7,780 | Vanguard REIT ETF | 467,578 | ||||||
| 34,996 | W.R. Berkley Corporation | 1,135,270 | ||||||
| 43,690 | Wells Fargo & Company | 1,225,941 | ||||||
| 108,031 | Zions Bancorporation | 2,593,824 | ||||||
|
| |||||||
| Total Financials | 51,335,489 | |||||||
|
| |||||||
| Health Care (2.2%) | ||||||||
| 15,800 | Alexion Pharmaceuticals, Inc.a | 743,074 | ||||||
| 35,911 | Align Technology, Inc.a | 818,771 | ||||||
| 4,300 | AstraZeneca plc | 214,910 | ||||||
| 12,650 | Baxter International, Inc. | 755,078 | ||||||
| 14,357 | C.R. Bard, Inc. | 1,577,260 | ||||||
| 9,724 | Celgene Corporationa | 586,552 | ||||||
| 42,630 | Covance, Inc.a | 2,530,943 | ||||||
| 21,598 | Coventry Health Care, Inc.a | 787,679 | ||||||
| 21,930 | Covidien plc | 1,167,334 | ||||||
| 24,300 | Dainippon Sumitomo Pharma Company, Ltd. | 230,924 | ||||||
| 2,100 | Fresenius SE & Company KGaA | 219,194 | ||||||
| 18,017 | Gen-Probe, Inc.a | 1,245,876 | ||||||
| 20,570 | HCA Holdings, Inc.a | 678,810 | ||||||
| 83,641 | Health Net, Inc.a | 2,686,549 | ||||||
| 9,900 | Johnson & Johnson | 658,548 | ||||||
| 129,650 | McKesson Corporation | 10,845,222 | ||||||
| 127,754 | Mylan, Inc.a | 3,151,691 | ||||||
| 469,907 | Pfizer, Inc. | 9,680,084 | ||||||
| 66,938 | PSS World Medical, Inc.a | 1,874,933 | ||||||
| 10,500 | Quest Diagnostics, Inc. | 620,550 | ||||||
| 11,400 | Ramsay Health Care, Ltd. | 222,705 | ||||||
| 50,647 | Thermo Fisher Scientific, Inc.a | 3,261,160 | ||||||
| 20,800 | Thoratec Corporationa | 682,656 | ||||||
| 31,567 | United Therapeutics Corporationa | 1,739,342 | ||||||
| 180,476 | UnitedHealth Group, Inc. | 9,308,952 | ||||||
| 36,134 | Universal Health Services, Inc. | 1,861,985 | ||||||
| 8,054 | Varian Medical Systems, Inc.a | 563,941 | ||||||
| 10,730 | Vertex Pharmaceuticals, Inc.a | 557,853 | ||||||
| 7,000 | Waters Corporationa | 670,180 | ||||||
| 20,353 | Zimmer Holdings, Inc.a | 1,286,310 | ||||||
|
| |||||||
| Total Health Care | 61,229,066 | |||||||
|
| |||||||
| Industrials (1.7%) | ||||||||
| 23 | A P Moller - Maersk AS | 198,559 | ||||||
| 39,860 | Boeing Company | 2,946,850 | ||||||
| 23,690 | Caterpillar, Inc. | 2,522,037 | ||||||
| 14,085 | Chicago Bridge and Iron Company | 547,906 | ||||||
| 26,484 | CSX Corporation | 694,410 | ||||||
| 83,394 | Deluxe Corporation | 2,060,666 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
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Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (15.6%) | Value | ||||||
| Industrials (1.7%) - continued | ||||||||
| 10,500 | Deutsche Lufthansa AG | $ | 228,696 | |||||
| 12,000 | Deutsche Post AG-REG | 230,690 | ||||||
| 3,300 | Eiffage SA | 218,134 | ||||||
| 67,314 | EMCOR Group, Inc.a | 1,972,973 | ||||||
| 51,850 | Emerson Electric Company | 2,916,562 | ||||||
| 7,000 | European Aeronautic Defence and Space Company | 234,268 | ||||||
| 11,237 | Expeditors International of Washington, Inc. | 575,222 | ||||||
| 70,091 | FTI Consulting, Inc.a | 2,659,253 | ||||||
| 46,400 | GATX Corporation | 1,722,368 | ||||||
| 111,000 | General Dynamics Corporation | 8,271,720 | ||||||
| 95,150 | General Electric Company | 1,794,529 | ||||||
| 17,470 | Harsco Corporation | 569,522 | ||||||
| 14,402 | Honeywell International, Inc. | 858,215 | ||||||
| 79,000 | Kajima Corporation | 226,643 | ||||||
| 188,453 | Manitowoc Company, Inc. | 3,173,549 | ||||||
| 10,300 | Manpower, Inc. | 552,595 | ||||||
| 33,466 | Oshkosh Corporationa | 968,506 | ||||||
| 13,037 | Parker Hannifin Corporation | 1,169,940 | ||||||
| 18,300 | Republic Services, Inc. | 564,555 | ||||||
| 52,000 | SembCorp Marine, Ltd. | 225,031 | ||||||
| 80,260 | Shaw Group, Inc.a | 2,424,655 | ||||||
| 18,427 | SPX Corporation | 1,523,176 | ||||||
| 35,822 | Teledyne Technologies, Inc.a | 1,803,996 | ||||||
| 27,080 | Textron, Inc. | 639,359 | ||||||
| 15,500 | Tyco International, Ltd. | 766,165 | ||||||
| 13,307 | United Technologies Corporation | 1,177,803 | ||||||
| 3,600 | Vinci SA | 231,033 | ||||||
| 15,940 | WESCO International, Inc.a | 862,195 | ||||||
|
| |||||||
| Total Industrials | 47,531,781 | |||||||
|
| |||||||
| Information Technology (4.3%) | ||||||||
| 133,273 | Accenture plc | 8,052,355 | ||||||
| 32,224 | Akamai Technologies, Inc.a | 1,014,089 | ||||||
| 12,100 | Alliance Data Systems Corporationa | 1,138,247 | ||||||
| 24,005 | Apple, Inc.a | 8,057,758 | ||||||
| 3,800 | Atos Origin SA | 214,649 | ||||||
| 50,100 | Broadcom Corporationa | 1,685,364 | ||||||
| 335,694 | Brocade Communicationsa | 2,168,583 | ||||||
| 486,100 | Cisco Systems, Inc. | 7,588,021 | ||||||
| 18,535 | Cognizant Technology Solutions Corporationa | 1,359,357 | ||||||
| 41,340 | CommVault Systems, Inc.a | 1,837,563 | ||||||
| 48,190 | Corning, Inc. | 874,649 | ||||||
| 21,498 | eBay, Inc.a | 693,740 | ||||||
| 103,800 | EMC Corporationa | 2,859,690 | ||||||
| 18,523 | F5 Networks, Inc.a | 2,042,161 | ||||||
| 9,508 | Google, Inc.a | 4,814,661 | ||||||
| 216,200 | Hewlett-Packard Company | 7,869,680 | ||||||
| 19,500 | Infineon Technologies AG | 219,104 | ||||||
| 30,414 | Informatica Corporationa | 1,777,090 | ||||||
| 56,101 | International Business Machines Corporation | 9,624,127 | ||||||
| 21,327 | Juniper Networks, Inc.a | 671,801 | ||||||
| 12,100 | Lam Research Corporationa | 535,788 | ||||||
| 360,299 | Microsoft Corporation | 9,367,774 | ||||||
| 160,952 | Monster Worldwide, Inc.a | 2,359,556 | ||||||
| 45,337 | Netlogic Microsystems, Inc.a | 1,832,522 | ||||||
| 33,200 | Nokia Oyj | 214,158 | ||||||
| 59,542 | NXP Semiconductors NVa | 1,591,558 | ||||||
| 369,380 | Oracle Corporation | 12,156,296 | ||||||
| 57,904 | Plantronics, Inc. | 2,115,233 | ||||||
| 63,541 | Plexus Corporationa | 2,211,862 | ||||||
| 55,900 | QUALCOMM, Inc. | 3,174,561 | ||||||
| 78,554 | Quest Software, Inc.a | 1,785,532 | ||||||
| 9,933 | Salesforce.com, Inc.a | 1,479,818 | ||||||
| 5,800 | Softbank Corporation | 219,659 | ||||||
| 72,300 | SuccessFactors, Inc.a | 2,125,620 | ||||||
| 27,951 | TE Connectivity, Ltd. | 1,027,479 | ||||||
| 202,508 | Teradyne, Inc.a | 2,997,118 | ||||||
| 109,853 | TIBCO Software, Inc.a | 3,187,934 | ||||||
| 45,000 | Toshiba Corporation | 237,256 | ||||||
| 46,400 | ValueClick, Inc.a | 770,240 | ||||||
| 20,300 | VeriFone Systems, Inc.a | 900,305 | ||||||
| 27,400 | VMware, Inc.a | 2,746,302 | ||||||
| 47,854 | Xilinx, Inc. | 1,745,235 | ||||||
|
| |||||||
| Total Information Technology | 119,344,495 | |||||||
|
| |||||||
| Materials (0.8%) | ||||||||
| 12,433 | Albemarle Corporation | 860,364 | ||||||
| 2,000 | Arkema | 205,699 | ||||||
| 44,200 | Balfour Beatty plc | 219,127 | ||||||
| 2,400 | BASF SE | 235,245 | ||||||
| 11,500 | Boliden AB | 212,389 | ||||||
| 12,245 | CF Industries Holdings, Inc. | 1,734,749 | ||||||
| 18,850 | Dow Chemical Company | 678,600 | ||||||
| 35,614 | E.I. du Pont de Nemours and Company | 1,924,937 | ||||||
| 210,050 | Freeport-McMoRan Copper & Gold, Inc. | 11,111,645 | ||||||
| 3,800 | Henkel AG & Company KGaA | 217,800 | ||||||
| 21,900 | ITOCHU Corporation | 227,779 | ||||||
| 1,300 | Linde AG | 228,075 | ||||||
| 2,600 | Rio Tinto, Ltd. | 232,712 | ||||||
| 8,406 | Sigma-Aldrich Corporation | 616,832 | ||||||
| 17,610 | Silgan Holdings, Inc. | 721,482 | ||||||
| 8,735 | Statoil ASA | 221,133 | ||||||
| 50,020 | Steel Dynamics, Inc. | 812,825 | ||||||
| 21,100 | Stora Enso Oyj | 221,571 | ||||||
| 21,100 | Temple-Inland, Inc. | 627,514 | ||||||
|
| |||||||
| Total Materials | 21,310,478 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | ||||||||
| 31,120 | AT&T, Inc. | 977,479 | ||||||
| 6,300 | Belgacom SA | 224,480 | ||||||
| 68,406 | BT Group plc | 221,784 | ||||||
| 15,100 | Deutsche Telekom AG | 235,616 | ||||||
| 9,900 | France Telecom SA | 210,503 | ||||||
| 31 | KDDI Corporation | 223,043 | ||||||
| 15,000 | Koninklijke (Royal) KPN NV | 218,170 | ||||||
| 2,700 | Mobistar SA | 204,809 | ||||||
| 79,970 | NII Holdings, Inc.a | 3,389,128 | ||||||
| 20,000 | Portugal Telecom SGPS SA | 196,610 | ||||||
| 500 | Swisscom AG | 229,205 | ||||||
| 9,200 | Telefonica SA | 224,693 | ||||||
| 41,209 | Verizon Communications, Inc. | 1,534,211 | ||||||
| 82,400 | Vodafone Group plc | 218,477 | ||||||
|
| |||||||
| Total Telecommunications Services | 8,308,208 | |||||||
|
| |||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (15.6%) | Value | ||||||
| Utilities (0.4%) | ||||||||
| 17,260 | American Electric Power Company, Inc. | $ | 650,357 | |||||
| 42,900 | Centrica plc | 222,741 | ||||||
| 33,200 | CMS Energy Corporation | 653,708 | ||||||
| 32,700 | Enel SPA | 213,660 | ||||||
| 24,520 | Exelon Corporation | 1,050,437 | ||||||
| 11,700 | Gas Natural SDG SA | 245,052 | ||||||
| 22,900 | National Grid plc | 225,420 | ||||||
| 49,600 | NiSource, Inc. | 1,004,400 | ||||||
| 44,969 | NV Energy, Inc. | 690,274 | ||||||
| 90,527 | PNM Resources, Inc. | 1,515,422 | ||||||
| 9,800 | Scottish & Southern Energy plc | 219,172 | ||||||
| 54,000 | SembCorp Industries, Ltd. | 219,899 | ||||||
| 45,618 | Southwest Gas Corporation | 1,761,311 | ||||||
| 29,486 | UGI Corporation | 940,309 | ||||||
|
| |||||||
| Total Utilities | 9,612,162 | |||||||
|
| |||||||
Total Common Stock (cost $395,003,280) | 432,348,987 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (6.4%) | |||||||
| Asset-Backed Securities (0.4%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,835,547 | 0.336%, 8/25/2036b | 1,478,170 | ||||||
| GSAMP Trust | ||||||||
| 1,588,368 | 0.366%, 2/25/2036b | 1,313,752 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 3,800,000 | 5.461%, 10/25/2036 | 2,928,819 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,616,296 | 0.336%, 2/25/2037b | 1,023,977 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 1,804,362 | 5.746%, 5/25/2036 | 1,180,453 | ||||||
| 2,800,000 | 6.011%, 5/25/2036 | 1,551,833 | ||||||
| 1,330,306 | 5.580%, 11/25/2036 | 914,549 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 10,391,553 | |||||||
|
| |||||||
| Basic Materials (0.2%) | ||||||||
| ArcelorMittal | ||||||||
| 1,350,000 | 7.000%, 10/15/2039 | 1,364,977 | ||||||
| Arch Coal, Inc. | ||||||||
| 540,000 | 7.000%, 6/15/2019c | 538,650 | ||||||
| Dow Chemical Company | ||||||||
| 1,350,000 | 4.250%, 11/15/2020 | 1,317,538 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 540,000 | 7.000%, 11/1/2015c | 550,800 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 490,000 | 8.000%, 1/15/2024 | 581,896 | ||||||
| Novelis, Inc. | ||||||||
| 540,000 | 8.375%, 12/15/2017 | 576,450 | ||||||
|
| |||||||
| Total Basic Materials | 4,930,311 | |||||||
|
| |||||||
| Capital Goods (<0.1%) | ||||||||
| Case New Holland, Inc. | ||||||||
| 550,000 | 7.875%, 12/1/2017c | 605,000 | ||||||
| Danaher Corporation | ||||||||
| 540,000 | 0.497%, 6/21/2013b | 540,744 | ||||||
|
| |||||||
| Total Capital Goods | 1,145,744 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.6%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| $763,654 | 5.500%, 11/25/2035 | 663,716 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 2,633,365 | 5.750%, 4/25/2037 | 1,922,409 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 517,955 | 6.000%, 1/25/2037 | 363,779 | ||||||
| 2,397,833 | 5.500%, 5/25/2037 | 1,793,349 | ||||||
| 2,117,108 | 7.000%, 10/25/2037 | 1,347,717 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 1,657,320 | 5.750%, 4/25/2037 | 1,509,905 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 523,820 | 5.500%, 10/25/2021 | 486,559 | ||||||
| 973,404 | 6.000%, 10/25/2021 | 833,633 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 3,130,230 | 2.234%, 4/25/2037 | 1,929,239 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 250,306 | 5.346%, 10/25/2036 | 206,941 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 586,843 | 6.500%, 7/25/2034 | 615,298 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 613,098 | 6.000%, 3/25/2037 | 483,591 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 897,576 | 5.401%, 9/20/2046 | 319,805 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 480,838 | 5.836%, 9/25/2036 | 401,045 | ||||||
| 1,008,701 | 5.936%, 10/25/2036 | 938,588 | ||||||
| 3,972,010 | 5.387%, 11/25/2036 | 3,491,818 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 17,307,392 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.9%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 2,800,000 | 5.823%, 4/10/2049 | 3,025,193 | ||||||
| 3,675,000 | 5.802%, 6/10/2049 | 3,954,373 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,710,000 | 5.331%, 2/11/2044 | 1,806,122 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,900,000 | 5.322%, 12/11/2049 | 4,138,068 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 2,800,000 | 5.542%, 1/15/2049 | 2,925,135 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,350,000 | 5.509%, 9/15/2039 | 3,153,707 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| 448,199 | 3.342%, 12/25/2019 | 459,971 | ||||||
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 June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (6.4%) | Value | ||||||
| Commercial Mortgage-Backed Securities (0.9%) - continued | ||||||||
| Government National Mortgage Association | ||||||||
| $455,081 | 2.164%, 3/16/2033 | $ | 462,123 | |||||
| 413,400 | 3.214%, 1/16/2040 | 429,223 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 1,750,000 | 5.867%, 12/10/2049 | 1,600,139 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,300,000 | 5.932%, 2/12/2049 | 1,260,347 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 900,000 | 5.406%, 3/15/2044 | 844,227 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,100,000 | 5.603%, 10/15/2048 | 1,985,802 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 26,044,430 | |||||||
|
| |||||||
| Communications Services (0.3%) | ||||||||
| CBS Corporation | ||||||||
| 675,000 | 7.875%, 7/30/2030 | 805,567 | ||||||
| 675,000 | 5.900%, 10/15/2040 | 646,065 | ||||||
| CCO Holdings, LLC | ||||||||
| 530,000 | 7.000%, 1/15/2019 | 545,900 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 540,000 | 9.250%, 12/15/2017 | 588,600 | ||||||
| Cox Communications, Inc. | ||||||||
| 1,350,000 | 6.950%, 6/1/2038c | 1,520,857 | ||||||
| Cricket Communications, Inc. | ||||||||
| 470,000 | 7.750%, 10/15/2020 | 460,600 | ||||||
| Dish DBS Corporation | ||||||||
| 560,000 | 6.750%, 6/1/2021c | 574,000 | ||||||
| EH Holding Corporation | ||||||||
| 540,000 | 6.500%, 6/15/2019c | 549,450 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 605,000 | 11.500%, 2/4/2017c | 650,375 | ||||||
| NII Capital Corporation | ||||||||
| 580,000 | 7.625%, 4/1/2021 | 606,100 | ||||||
| Virgin Media Finance plc | ||||||||
| 480,000 | 9.500%, 8/15/2016 | 542,400 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 537,000 | 7.250%, 2/15/2018c | 558,480 | ||||||
|
| |||||||
| Total Communications Services | 8,048,394 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
| Chrysler Group, LLC | ||||||||
| 530,000 | 8.000%, 6/15/2019c | 520,725 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| 580,000 | 8.250%, 8/15/2020 | 626,400 | ||||||
| Home Depot, Inc. | ||||||||
| 1,350,000 | 5.875%, 12/16/2036 | 1,381,657 | ||||||
| MGM Resorts International | ||||||||
| 450,000 | 11.125%, 11/15/2017 | 514,125 | ||||||
| Rite Aid Corporation | ||||||||
| 540,000 | 7.500%, 3/1/2017 | 535,950 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 540,000 | 6.750%, 5/15/2018 | 598,050 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 540,000 | 8.500%, 12/1/2017 | 564,300 | ||||||
| West Corporation | ||||||||
| 540,000 | 7.875%, 1/15/2019c | 523,800 | ||||||
|
| |||||||
| Total Consumer Cyclical | 5,265,007 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | ||||||||
| Altria Group, Inc. | ||||||||
| 1,350,000 | 9.950%, 11/10/2038 | 1,896,812 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 675,000 | 6.450%, 9/1/2037 | 765,463 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 675,000 | 8.200%, 1/15/2039 | 928,395 | ||||||
| Community Health Systems, Inc. | ||||||||
| 540,000 | 8.875%, 7/15/2015 | 556,200 | ||||||
| HCA, Inc. | ||||||||
| 540,000 | 7.250%, 9/15/2020 | 579,825 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 450,000 | 11.625%, 5/1/2014 | 517,500 | ||||||
| Kraft Foods, Inc. | ||||||||
| 675,000 | 5.375%, 2/10/2020 | 737,909 | ||||||
| 675,000 | 7.000%, 8/11/2037 | 786,332 | ||||||
| Mylan, Inc. | ||||||||
| 480,000 | 7.875%, 7/15/2020c | 526,800 | ||||||
| Reynolds Group Holdings, Ltd. | ||||||||
| 550,000 | 6.875%, 2/15/2021c | 536,250 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 675,000 | 6.875%, 2/15/2038 | 771,819 | ||||||
| 675,000 | 5.700%, 10/15/2040 | 667,726 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 9,271,031 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
| Denbury Resources, Inc. | ||||||||
| 540,000 | 9.750%, 3/1/2016 | 603,450 | ||||||
| Linn Energy, LLC | ||||||||
| 540,000 | 7.750%, 2/1/2021c | 561,600 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 605,000 | 7.500%, 1/15/2020 | 681,718 | ||||||
| Plains Exploration & Production Company | ||||||||
| 540,000 | 7.625%, 6/1/2018 | 567,000 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 540,000 | 8.000%, 6/1/2018c | 550,800 | ||||||
| Weatherford International, Ltd. | ||||||||
| 1,345,000 | 6.750%, 9/15/2040 | 1,440,460 | ||||||
|
| |||||||
| Total Energy | 4,405,028 | |||||||
|
| |||||||
| Financials (0.6%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 465,000 | 3.200%, 11/3/2014c | 488,065 | ||||||
| AXA SA | ||||||||
| 1,350,000 | 6.379%, 12/29/2049c,d | 1,181,250 | ||||||
| Bank of Nova Scotia | ||||||||
| 450,000 | 1.450%, 7/26/2013c | 455,166 | ||||||
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 June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (6.4%) | Value | ||||||
| Financials (0.6%) - continued | ||||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| $675,000 | 5.919%, 12/29/2049d | $ | 558,824 | |||||
| Canadian Imperial Bank of Commerce | ||||||||
| 465,000 | 2.600%, 7/2/2015c | 476,473 | ||||||
| Cie de Financement Foncier | ||||||||
| 450,000 | 2.250%, 3/7/2014c | 454,897 | ||||||
| Dexia Credit Local SA | ||||||||
| 450,000 | 2.750%, 4/29/2014c | 456,120 | ||||||
| General Electric Capital Corporation | ||||||||
| 1,350,000 | 6.750%, 3/15/2032 | 1,499,920 | ||||||
| HCP, Inc. | ||||||||
| 1,350,000 | 6.750%, 2/1/2041 | 1,427,356 | ||||||
| Health Care REIT, Inc. | ||||||||
| 540,000 | 6.500%, 3/15/2041 | 528,881 | ||||||
| Icahn Enterprises, LP | ||||||||
| 630,000 | 8.000%, 1/15/2018 | 639,450 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 465,000 | 2.375%, 5/26/2015 | 480,381 | ||||||
| International Lease Finance Corporation | ||||||||
| 540,000 | 5.750%, 5/15/2016 | 531,747 | ||||||
| MetLife, Inc. | ||||||||
| 1,350,000 | 7.875%, 12/15/2037c | 1,410,354 | ||||||
| Prudential Financial, Inc. | ||||||||
| 1,350,000 | 6.200%, 11/15/2040 | 1,379,591 | ||||||
| QBE Capital Funding III, Ltd. | ||||||||
| 1,350,000 | 7.250%, 5/24/2041c | 1,354,555 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 675,000 | 6.750%, 12/15/2065 | 644,861 | ||||||
| Royal Bank of Canada | ||||||||
| 400,000 | 3.125%, 4/14/2015c | 415,823 | ||||||
| Stoneheath RE | ||||||||
| 675,000 | 6.868%, 12/29/2049d | 610,875 | ||||||
| Toronto-Dominion Bank | ||||||||
| 465,000 | 2.200%, 7/29/2015c | 471,185 | ||||||
| XL Capital, Ltd. | ||||||||
| 675,000 | 6.500%, 12/31/2049d | 619,313 | ||||||
| XL Group plc | ||||||||
| 1,350,000 | 6.250%, 5/15/2027 | 1,366,292 | ||||||
|
| |||||||
| Total Financials | 17,451,379 | |||||||
|
| |||||||
| Foreign Government (0.1%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 660,000 | 4.375%, 2/16/2021c | 685,011 | ||||||
| Kommunalbanken AS | ||||||||
| 450,000 | 2.750%, 5/5/2015c | 469,426 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 205,000 | 0.195%, 6/17/2013b | 204,881 | ||||||
|
| |||||||
| Total Foreign Government | 1,359,318 | |||||||
|
| |||||||
| Mortgage-Backed Securities (0.5%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 1,800,000 | 6.000%, 7/1/2041e | 1,976,906 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 450,000 | 4.000%, 7/1/2026e | 468,703 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 9,050,000 | 4.500%, 7/1/2041e,f | 9,362,505 | ||||||
| 450,000 | 5.000%, 7/1/2041e | 478,125 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 12,286,239 | |||||||
|
| |||||||
| Technology (<0.1%) | ||||||||
| Freescale Semiconductor, Inc. | ||||||||
| 510,000 | 9.250%, 4/15/2018c | 549,525 | ||||||
| Seagate HDD Cayman | ||||||||
| 540,000 | 7.750%, 12/15/2018c | 567,000 | ||||||
|
| |||||||
| Total Technology | 1,116,525 | |||||||
|
| |||||||
| Transportation (<0.1%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 540,000 | 9.500%, 9/15/2014c | 575,775 | ||||||
| Hertz Corporation | ||||||||
| 540,000 | 6.750%, 4/15/2019c | 534,600 | ||||||
|
| |||||||
| Total Transportation | 1,110,375 | |||||||
|
| |||||||
| U.S. Government and Agencies (1.9%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 185,000 | Zero Coupon, 1/7/2012c | 184,395 | ||||||
| 185,000 | Zero Coupon, 1/7/2014c | 179,180 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 465,000 | 2.125%, 9/15/2015 | 473,311 | ||||||
| Federal Home Loan Banks | ||||||||
| 1,870,000 | 5.375%, 5/18/2016 | 2,169,017 | ||||||
| 2,750,000 | 5.000%, 11/17/2017 | 3,158,950 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 2,830,000 | 0.750%, 3/28/2013 | 2,844,529 | ||||||
| 920,000 | 2.500%, 1/7/2014 | 960,460 | ||||||
| 1,400,000 | 4.875%, 6/13/2018 | 1,591,213 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,725,000 | 1.250%, 2/27/2014 | 1,746,630 | ||||||
| 735,000 | 4.375%, 10/15/2015 | 814,498 | ||||||
| 505,000 | 6.250%, 5/15/2029 | 613,120 | ||||||
| Tennessee Valley Authority | ||||||||
| 390,000 | 5.250%, 9/15/2039 | 412,936 | ||||||
| U.S. Treasury Bonds | ||||||||
| 445,000 | 4.625%, 2/15/2040 | 463,982 | ||||||
| 310,000 | 4.375%, 5/15/2041 | 309,516 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 135,244 | 2.125%, 2/15/2040 | 147,173 | ||||||
| U.S. Treasury Notes | ||||||||
| 4,315,000 | 0.750%, 6/15/2014 | 4,309,943 | ||||||
| 9,000,000 | 2.500%, 4/30/2015 | 9,438,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
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Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (6.4%) | Value | ||||||
| U.S. Government and Agencies (1.9%) - continued | ||||||||
| $1,035,000 | 2.000%, 1/31/2016 | $ | 1,055,134 | |||||
| 1,390,000 | 2.625%, 2/29/2016 | 1,454,721 | ||||||
| 3,350,000 | 3.250%, 3/31/2017 | 3,567,750 | ||||||
| 8,210,000 | 3.625%, 2/15/2021 | 8,560,846 | ||||||
| 950,000 | 7.625%, 2/15/2025 | 1,353,156 | ||||||
| 2,250,000 | 4.375%, 5/15/2040 | 2,248,605 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 620,511 | 3.375%, 1/15/2012 | 633,940 | ||||||
| 815,343 | 2.000%, 1/15/2014 | 878,405 | ||||||
| 612,357 | 1.625%, 1/15/2015 | 664,217 | ||||||
| 684,809 | 0.500%, 4/15/2015 | 714,235 | ||||||
| 551,148 | 2.500%, 7/15/2016 | 630,720 | ||||||
| 726,903 | 2.625%, 7/15/2017 | 845,593 | ||||||
| 565,351 | 1.125%, 1/15/2021 | 587,081 | ||||||
| 161,042 | 2.375%, 1/15/2025 | 185,097 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 53,197,103 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
| AES Corporation | ||||||||
| 550,000 | 7.375%, 7/1/2021c | 558,250 | ||||||
| Dominion Resources, Inc. | ||||||||
| 675,000 | 6.300%, 9/30/2066 | 658,969 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 375,000 | 6.625%, 10/15/2036 | 386,935 | ||||||
| 675,000 | 7.500%, 7/1/2038 | 764,210 | ||||||
| Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 540,000 | 6.500%, 8/15/2021 | 535,950 | ||||||
| Southern Union Company | ||||||||
| 1,350,000 | 7.200%, 11/1/2066 | 1,255,500 | ||||||
|
| |||||||
| Total Utilities | 4,159,814 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $173,735,816) | 177,489,643 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Financials (<0.1%) | ||||||||
| 550 | Ally Financial, Inc., 7.000%c,d | 516,897 | ||||||
|
| |||||||
| Total Financials | 516,897 | |||||||
|
| |||||||
Total Preferred Stock (cost $521,650) | 516,897 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (6.8%)g | |||||||
| Alliancebernstein LP | ||||||||
| 5,745,000 | 0.100%, 7/1/2011 | 5,745,000 | ||||||
| Alpine Securitization Corporation | ||||||||
| 5,000,000 | 0.130%, 7/18/2011 | 4,999,693 | ||||||
| Chariot Funding, LLC | ||||||||
| 15,000,000 | 0.130%, 7/22/2011 | 14,998,863 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.040%, 7/13/2011 | 9,999,867 | ||||||
| 25,375,000 | 0.048%, 7/15/2011 | 25,374,526 | ||||||
| 5,000,000 | 0.010%, 7/18/2011 | 4,999,976 | ||||||
| 15,000,000 | 0.015%, 7/20/2011 | 14,999,881 | ||||||
| 7,000,000 | 0.080%, 8/29/2011h | 6,999,083 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 10,000,000 | 0.050%, 7/15/2011 | 9,999,806 | ||||||
| 25,000,000 | 0.050%, 7/25/2011 | 24,999,167 | ||||||
| 500,000 | 0.085%, 8/17/2011i | 499,944 | ||||||
| 15,500,000 | 0.153%, 8/29/2011h,i | 15,496,160 | ||||||
| Liberty Street Funding, LLC | ||||||||
| 30,000,000 | 0.140%, 7/15/2011 | 29,998,367 | ||||||
| Old Line Funding, LLC | ||||||||
| 9,000,000 | 0.130%, 8/1/2011 | 8,998,992 | ||||||
| Proctor & Gamble International Funding SCA | ||||||||
| 5,640,000 | 0.080%, 7/11/2011 | 5,639,875 | ||||||
| U.S. Treasury Bills | ||||||||
| 6,000,000 | 0.138%, 8/18/2011h | 5,998,906 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 189,748,106 | |||||||
|
| |||||||
| Total Investments (cost $2,746,383,093) 100.1% | $ | 2,781,441,493 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.1%) | (3,868,942 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 2,777,572,551 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $20,751,534 or 0.7% of total net assets. |
| 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 investments purchased on a when-issued or delayed delivery basis. |
| f | All or a portion of the security was earmarked to cover written options. |
| g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| h | At June 30, 2011, $26,594,620 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| i | At June 30, 2011, $1,219,726 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
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 June 30, 2011
(unaudited)
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. | ||
TIPS | - | Treasury Inflation Protected Security. | ||
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 | $ | 168,868,939 | ||
Gross unrealized depreciation | (133,632,658 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 35,236,281 | ||
Cost for federal income tax purposes | $ | 2,746,205,212 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Moderately Aggressive Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,584,424,107 | 1,584,424,107 | — | — | ||||||||||||
Fixed Income Mutual Funds | 396,913,753 | 396,913,753 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 888,248 | — | 888,248 | — | ||||||||||||
Consumer Discretionary | 34,278,440 | 29,252,626 | 5,025,814 | — | ||||||||||||
Consumer Staples | 30,999,226 | 28,002,272 | 2,996,954 | — | ||||||||||||
Energy | 47,511,394 | 44,749,319 | 2,762,075 | — | ||||||||||||
Financials | 51,335,489 | 50,011,414 | 1,324,075 | — | ||||||||||||
Health Care | 61,229,066 | 60,341,333 | 887,733 | — | ||||||||||||
Industrials | 47,531,781 | 45,738,727 | 1,793,054 | — | ||||||||||||
Information Technology | 119,344,495 | 118,239,669 | 1,104,826 | — | ||||||||||||
Materials | 21,310,478 | 19,088,948 | 2,221,530 | — | ||||||||||||
Telecommunications Services | 8,308,208 | 6,125,511 | 2,182,697 | — | ||||||||||||
Utilities | 9,612,162 | 8,266,218 | 1,345,944 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 10,391,553 | — | 10,391,553 | — | ||||||||||||
Basic Materials | 4,930,311 | — | 4,930,311 | — | ||||||||||||
Capital Goods | 1,145,744 | — | 1,145,744 | — | ||||||||||||
Collateralized Mortgage Obligations | 17,307,392 | — | 17,307,392 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 26,044,430 | — | 26,044,430 | — | ||||||||||||
Communications Services | 8,048,394 | — | 8,048,394 | — | ||||||||||||
Consumer Cyclical | 5,265,007 | — | 5,265,007 | — | ||||||||||||
Consumer Non-Cyclical | 9,271,031 | — | 9,271,031 | — | ||||||||||||
Energy | 4,405,028 | — | 4,405,028 | — | ||||||||||||
Financials | 17,451,379 | — | 16,840,504 | 610,875 | ||||||||||||
Foreign Government | 1,359,318 | — | 1,359,318 | — | ||||||||||||
Mortgage-Backed Securities | 12,286,239 | — | 12,286,239 | — | ||||||||||||
Technology | 1,116,525 | — | 1,116,525 | — | ||||||||||||
Transportation | 1,110,375 | — | 1,110,375 | — | ||||||||||||
U.S. Government and Agencies | 53,197,103 | — | 53,197,103 | — | ||||||||||||
Utilities | 4,159,814 | — | 4,159,814 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 516,897 | — | 516,897 | — | ||||||||||||
Short-Term Investments | 189,748,106 | — | 189,748,106 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,781,441,493 | $ | 2,391,153,897 | $ | 389,676,721 | $ | 610,875 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 9,843,666 | 9,843,666 | — | — | ||||||||||||
Call Options Written | 1,797 | — | — | 1,797 | ||||||||||||
Credit Default Swaps | 265,731 | — | 265,731 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 10,111,194 | $ | 9,843,666 | $ | 265,731 | $ | 1,797 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 10,982,423 | 10,982,423 | — | — | ||||||||||||
Credit Default Swaps | 39,648 | — | 39,648 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 11,022,071 | $ | 10,982,423 | $ | 39,648 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Moderately Aggressive Allocation Portfolio.
Investments in Securities | Value December 31, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income Financials | — | — | (13,500 | ) | 624,375 | — | — | — | 610,875 | |||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Call Options Written | — | — | 1,797 | — | — | — | — | 1, 797 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | — | $ | — | ($ | 11,703 | ) | $ | 624,375 | $ | — | $ | — | $ | — | $ | 612,672 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $11,703. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (110 | ) | September 2011 | ($24,074,196 | ) | ($24,127,812 | ) | ($53,616 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | (380 | ) | September 2011 | (45,002,123 | ) | (45,294,218 | ) | (292,095 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (155 | ) | September 2011 | (18,874,410 | ) | (18,960,860 | ) | (86,450 | ) | |||||||||||
Mini MSCI EAFE Index Futures | 455 | September 2011 | 37,754,683 | 39,036,725 | 1,282,042 | |||||||||||||||
Russell 2000 Index Mini-Futures | (1,455 | ) | September 2011 | (114,607,004 | ) | (120,095,700 | ) | (5,488,696 | ) | |||||||||||
S&P 400 Index Mini-Futures | (1,456 | ) | September 2011 | (137,116,834 | ) | (142,178,400 | ) | (5,061,566 | ) | |||||||||||
S&P 500 Index Futures | 987 | September 2011 | 316,038,001 | 324,599,625 | 8,561,624 | |||||||||||||||
Total Futures Contracts | ($1,138,757 | ) | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
Federal National Mortgage | ||||||||||||||||||||
Association Conventional 30 Yr. Pass Through | 1 | $ | 104.45 | July 2011 | ($ | 234 | ) | $ | 1,797 | |||||||||||
Total Call Options Written | ($ | 234 | ) | $ | 1,797 | |||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2015 | $12,000,000 | $489,900 | ($375,631 | ) | $114,269 | |||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 15,000,000 | 621,000 | (469,538 | ) | 151,462 | |||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 15,000,000 | 429,891 | (469,539 | ) | (39,648 | ) | ||||||||||||||
Total Credit Default Swaps | ($1,314,708 | ) | $226,083 | |||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | ||||||
Interest Rate Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 1,797 | |||
Total Interest Rate Contracts | 1,797 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 9,843,666 | ||||
Total Equity Contracts | 9,843,666 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 265,731 | ||||
Total Credit Contracts | 265,731 | |||||
|
| |||||
Total Asset Derivatives | $ | 10,111,194 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,550,262 | ||||
Total Equity Contracts | 10,550,262 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 432,161 | ||||
Total Interest Rate Contracts | 432,161 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 39,648 | ||||
Total Credit Contracts | 39,648 | |||||
|
| |||||
Total Liability Derivatives | $ | 11,022,071 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 2,077,574 | ||||
Total Equity Contracts | 2,077,574 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (190,470 | ) | |||
Total Foreign Exchange Contracts | (190,470 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (1,401,006 | ) | |||
Total Interest Rate Contracts | (1,401,006 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (633,916 | ) | |||
Total Credit Contracts | (633,916 | ) | ||||
|
| |||||
Total | ($ | 147,818 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | ||||
Interest Rate Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 1,797 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (432,161 | ) | |||
Total Interest Rate Contracts | (430,364 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (1,151,680 | ) | |||
Total Equity Contracts | (1,151,680 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 226,083 | ||||
Total Credit Contracts | 226,083 | |||||
|
| |||||
Total | ($ | 1,355,961 | ) | |||
|
| |||||
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
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 | $ | 450,847,564 | 16.9 | % | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
Interest Rate Contracts | 50,326,400 | 1.9 | N/A | N/A | N/A | N/A | 1 | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 811,748 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 31,398,953 | 1.2 | % | N/A | |||||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 75,400,485 | $ | — | $ | — | 5,203,119 | $ | 83,529,319 | $ | — | |||||||||||||
Partner Small Cap Growth | 65,317,912 | — | — | 5,056,075 | 72,256,363 | — | ||||||||||||||||||
Partner Small Cap Value | 65,377,232 | 140,257 | — | 3,436,858 | 67,971,765 | 140,257 | ||||||||||||||||||
Small Cap Stock | 57,345,023 | — | — | 4,528,335 | 61,103,088 | — | ||||||||||||||||||
Mid Cap Growth II | 66,948,352 | 2,496,613 | — | 6,981,770 | 70,950,843 | 69,092 | ||||||||||||||||||
Partner Mid Cap Value | 82,249,173 | 178,319 | — | 6,158,169 | 87,244,630 | 178,319 | ||||||||||||||||||
Mid Cap Stock | 172,344,241 | 78,604 | — | 14,071,209 | 182,223,564 | 78,604 | ||||||||||||||||||
Partner Worldwide Allocation | 144,480,301 | 11,081,523 | — | 17,687,948 | 161,742,130 | 81,523 | ||||||||||||||||||
Partner International Stock | 207,790,968 | 76,343 | — | 19,477,076 | 218,082,872 | 76,343 | ||||||||||||||||||
Large Cap Growth II | 155,203,606 | 3,146,799 | — | 22,830,675 | 160,883,204 | 221,775 | ||||||||||||||||||
Large Cap Value | 197,661,302 | 44,473 | — | 18,430,656 | 205,922,036 | 44,473 | ||||||||||||||||||
Large Cap Stock | 184,085,048 | 21,757 | — | 21,658,100 | 191,189,042 | 21,757 | ||||||||||||||||||
Equity Income Plus | 20,090,748 | 56,284 | — | 2,223,952 | 21,325,251 | 56,284 | ||||||||||||||||||
High Yield | 103,387,730 | 11,765,627 | 10,997,952 | 21,648,935 | 104,899,914 | 3,943,421 | ||||||||||||||||||
Income | 172,852,335 | 15,379,066 | 475,557 | 18,841,949 | 189,738,422 | 4,285,552 | ||||||||||||||||||
Limited Maturity Bond | 94,786,105 | 7,576,924 | 271,747 | 10,412,997 | 102,275,417 | 1,237,773 | ||||||||||||||||||
Total Value and Income Earned | 1,865,320,561 | 1,981,337,860 | 10,435,173 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
113
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Mutual Funds (72.3%) | Value | ||||||
| Equity Mutual Funds (40.6%) | ||||||||
| 6,860,853 | Thrivent Real Estate Securities Portfolioa | $ | 110,142,071 | |||||
| 4,491,902 | Thrivent Partner Small Cap Growth Portfolioa | 64,193,768 | ||||||
| 4,235,223 | Thrivent Partner Small Cap Value Portfolio | 83,761,267 | ||||||
| 3,596,908 | Thrivent Small Cap Stock Portfolioa | 48,534,878 | ||||||
| 2,934,279 | Thrivent Mid Cap Growth Portfolio II | 29,819,021 | ||||||
| 5,853,149 | Thrivent Partner Mid Cap Value Portfolio | 82,923,313 | ||||||
| 11,623,612 | Thrivent Mid Cap Stock Portfolio | 150,526,937 | ||||||
| 26,331,012 | Thrivent Partner Worldwide Allocation Portfolio | 240,776,036 | ||||||
| 17,546,838 | Thrivent Partner International Stock Portfolio | 196,470,185 | ||||||
| 22,248,154 | Thrivent Large Cap Growth Portfolio II | 156,778,290 | ||||||
| 25,642,869 | Thrivent Large Cap Value Portfolio | 286,502,644 | ||||||
| 20,069,137 | Thrivent Large Cap Stock Portfolio | 177,162,312 | ||||||
| 2,930,787 | Thrivent Equity Income Plus Portfolio | 28,103,023 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 1,655,693,745 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (31.7%) | |||||||
| 32,529,773 | Thrivent High Yield Portfolio | 157,623,015 | ||||||
| 55,836,348 | Thrivent Income Portfolio | 562,272,021 | ||||||
| 58,323,419 | Thrivent Limited Maturity Bond Portfolio | 572,846,787 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 1,292,741,823 | |||||||
|
| |||||||
Total Mutual Funds (cost $2,938,359,381) | 2,948,435,568 | |||||||
|
| |||||||
Common Stock (12.4%) | ||||||||
| Communications Services (<0.1%) | |||||||
| 9,000 | Elisa Oyj | 193,692 | ||||||
| 1,500 | Iliad SA | 201,293 | ||||||
| 4,200 | Nippon Telegraph & Telephone Corporation | 202,573 | ||||||
| 15,500 | Telekom Austria AG | 197,796 | ||||||
|
| |||||||
| Total Communications Services | 795,354 | |||||||
|
| |||||||
| Consumer Discretionary (1.0%) | |||||||
| 17,150 | Amazon.com, Inc.a | 3,507,003 | ||||||
| 12,480 | Autoliv, Inc. | 979,056 | ||||||
| 2,300 | Bayerische Motoren Werke AG | 229,670 | ||||||
| 3,000 | Beiersdorf AG | 194,910 | ||||||
| 9,100 | Bridgestone Corporation | 209,669 | ||||||
| 1,765 | Carlsberg AS | 192,178 | ||||||
| 53,998 | Carnival Corporation | 2,031,945 | ||||||
| 17,020 | CBS Corporation | 484,900 | ||||||
| 8,300 | Charter Communications, Inc.a | 450,358 | ||||||
| 12,000 | Daihatsu Motor Company, Ltd. | 204,224 | ||||||
| 48,000 | Darden Restaurants, Inc. | 2,388,480 | ||||||
| 56,661 | Discovery Communications, Inc.a | 2,320,835 | ||||||
| 9,305 | Dollar Tree, Inc.a | 619,899 | ||||||
| 24,400 | Echo Entertainment Group, Ltd.a | 107,555 | ||||||
| 18,500 | Fiat SPA | 203,275 | ||||||
| 94,426 | Foot Locker, Inc. | 2,243,562 | ||||||
| 286,650 | Ford Motor Companya | 3,952,904 | ||||||
| 11,400 | Greek Organization of Football Prognostics SA | 178,041 | ||||||
| 2,200 | Industria de Diseno Textil SA (Inditex) | 200,446 | ||||||
| 43,800 | Kingfisher plc | 188,134 | ||||||
| 4,000 | Lawson, Inc. | 209,844 | ||||||
| 40,850 | Lowe’s Companies, Inc. | 952,213 | ||||||
| 43,922 | Macy’s, Inc. | 1,284,279 | ||||||
| 38,700 | Mediaset SPA | 181,923 | ||||||
| 26,500 | Omnicom Group, Inc. | 1,276,240 | ||||||
| 7,691 | Panera Bread Companya | 966,451 | ||||||
| 4,900 | Peugeot SA | 219,815 | ||||||
| 45,550 | Phillips-Van Heusen Corporation | 2,982,158 | ||||||
| 198,772 | Pier 1 Imports, Inc.a | 2,299,792 | ||||||
| 3,700 | Publicis Groupe SA | 206,544 | ||||||
| 78,400 | Sands China, Ltd.a | 212,506 | ||||||
| 43,389 | Signet Jewelers, Ltd.a | 2,031,039 | ||||||
| 2,600 | Sodexo | 203,663 | ||||||
| 7,800 | Sony Corporation | 205,805 | ||||||
| 48,190 | Staples, Inc. | 761,402 | ||||||
| 15,100 | Sumitomo Rubber Industries, Ltd. | 182,727 | ||||||
| 9,300 | Suzuki Motor Corporation | 209,636 | ||||||
| 2,300 | Swatch Group AG | 206,781 | ||||||
| 55,500 | Tabcorp Holdings, Ltd. | 196,321 | ||||||
| 23,810 | Time Warner Cable, Inc. | 1,858,132 | ||||||
| 20,940 | Viacom, Inc. | 1,067,940 | ||||||
| 7,200 | Vivendi SA | 200,680 | ||||||
| 27,555 | Walt Disney Company | 1,075,747 | ||||||
| 7,700 | Whitbread plc | 199,632 | ||||||
| 19,900 | Williams-Sonoma, Inc. | 726,151 | ||||||
|
| |||||||
| Total Consumer Discretionary | 40,804,465 | |||||||
|
| |||||||
| Consumer Staples (0.9%) | |||||||
| 38,090 | Altria Group, Inc. | 1,005,957 | ||||||
| 3,400 | Anheuser-Busch InBev NV | 197,322 | ||||||
| 58,195 | Anheuser-Busch InBev NV ADR | 3,375,892 | ||||||
| 15,800 | Autogrill SPA | 207,480 | ||||||
| 42,700 | BJ’s Wholesale Club, Inc.a | 2,149,945 | ||||||
| 1,900 | Casino Guichard Perrachon SA | 179,071 | ||||||
| 55,668 | Corn Products International, Inc. | 3,077,327 | ||||||
| 2,400 | Delhaize Group SA | 180,081 | ||||||
| 12,720 | Diageo plc ADR | 1,041,386 | ||||||
| 29,624 | Diamond Foods, Inc. | 2,261,496 | ||||||
| 22,824 | Flowers Foods, Inc. | 503,041 | ||||||
| 40,008 | Herbalife, Ltd. | 2,306,061 | ||||||
| 36,000 | J Sainsbury plc | 190,689 | ||||||
| 10,300 | Jeronimo Martins SGPS SA | 197,814 | ||||||
| 14,000 | Koninklijke (Royal) Ahold NV | 188,229 | ||||||
| 62,402 | Kraft Foods, Inc. | 2,198,423 | ||||||
| 1,600 | L’Oreal SA | 207,633 | ||||||
| 32,100 | Marks and Spencer Group plc | 186,073 | ||||||
| 7,600 | McDonald’s Holdings Company Japan, Ltd. | 193,236 | ||||||
| 3,100 | Nestle SA | 192,897 | ||||||
| 174,690 | Philip Morris International, Inc. | 11,664,051 | ||||||
| 29,200 | Tesco plc | 188,650 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (12.4%) | Value | ||||||
| Consumer Staples (0.9%) - continued | |||||||
| 14,661 | TreeHouse Foods, Inc.a | $ | 800,637 | |||||
| 62,180 | Walgreen Company | 2,640,163 | ||||||
| 40,500 | William Morrison Supermarkets plc | 193,699 | ||||||
| 16,000 | Yamazaki Baking Company, Ltd. | 214,225 | ||||||
|
| |||||||
| Total Consumer Staples | 35,741,478 | |||||||
|
| |||||||
| Energy (1.4%) | ||||||||
| 10,513 | Alpha Natural Resources, Inc.a | 477,711 | ||||||
| 42,435 | Apache Corporation | 5,236,055 | ||||||
| 91,399 | Arch Coal, Inc. | 2,436,697 | ||||||
| 63,089 | Baker Hughes, Inc. | 4,577,738 | ||||||
| 15,016 | BP plc ADR | 665,059 | ||||||
| 33,810 | Chevron Corporation | 3,477,020 | ||||||
| 36,810 | ConocoPhillips | 2,767,744 | ||||||
| 8,500 | Eni SPA | 201,436 | ||||||
| 79,293 | ENSCO International plc ADR | 4,226,317 | ||||||
| 101,700 | Exxon Mobil Corporation | 8,276,346 | ||||||
| 38,100 | Helix Energy Solutions Group, Inc.a | 630,936 | ||||||
| 96,300 | James River Coal Companya | 2,004,966 | ||||||
| 14,683 | National Oilwell Varco, Inc. | 1,148,357 | ||||||
| 9,190 | Occidental Petroleum Corporation | 956,128 | ||||||
| 25,611 | Oil States International, Inc.a | 2,046,575 | ||||||
| 4,900 | OMV AG | 214,058 | ||||||
| 89,332 | Patriot Coal Corporationa | 1,988,530 | ||||||
| 61,514 | Peabody Energy Corporation | 3,623,790 | ||||||
| 137,691 | Petroleum Geo-Services ASAa | 1,967,002 | ||||||
| 6,100 | Repsol YPF SA | 211,576 | ||||||
| 21,331 | Schlumberger, Ltd. | 1,842,998 | ||||||
| 15,000 | Southwestern Energy Companya | 643,200 | ||||||
| 55,079 | Swift Energy Companya | 2,052,794 | ||||||
| 3,600 | Total SA | 208,124 | ||||||
| 230,500 | Weatherford International, Ltd.a | 4,321,875 | ||||||
| 11,800 | Whiting Petroleum Corporationa | 671,538 | ||||||
|
| |||||||
| Total Energy | 56,874,570 | |||||||
|
| |||||||
| Financials (1.5%) | ||||||||
| 28,930 | ACE, Ltd. | 1,904,173 | ||||||
| 19,000 | Affiliated Managers Group, Inc.a | 1,927,550 | ||||||
| 180,416 | Aflac, Inc. | 8,421,819 | ||||||
| 1,400 | Allianz AG | 195,221 | ||||||
| 18,760 | Aon Corporation | 962,388 | ||||||
| 8,900 | Atlantia SPA | 189,515 | ||||||
| 28,600 | Aviva plc | 201,306 | ||||||
| 101,435 | Bank of America Corporation | 1,111,727 | ||||||
| 14,000 | BlackRock, Inc. | 2,685,340 | ||||||
| 20,610 | Capital One Financial Corporation | 1,064,919 | ||||||
| 19,459 | Citigroup, Inc. | 810,273 | ||||||
| 36,989 | Duke Realty Corporation | 518,216 | ||||||
| 13,600 | Endurance Specialty Holdings, Ltd. | 562,088 | ||||||
| 31,743 | Equity One, Inc. | 591,689 | ||||||
| 8,570 | Goldman Sachs Group, Inc. | 1,140,581 | ||||||
| 3,900 | Hannover Rueckversicherung AG | 202,818 | ||||||
| 32,763 | HCC Insurance Holdings, Inc. | 1,032,034 | ||||||
| 42,946 | Host Hotels & Resorts, Inc. | 727,935 | ||||||
| 4,008 | IntercontinentalExchange, Inc.a | 499,838 | ||||||
| 205,218 | J.P. Morgan Chase & Company | 8,401,625 | ||||||
| 73,710 | KKR & Company, LP | 1,202,947 | ||||||
| 70,720 | LaSalle Hotel Properties | 1,862,765 | ||||||
| 12,907 | Lazard, Ltd. | 478,850 | ||||||
| 11,400 | M&T Bank Corporation | 1,002,630 | ||||||
| 21,570 | MetLife, Inc. | 946,276 | ||||||
| 12,200 | Mitsui & Company, Ltd. | 210,939 | ||||||
| 19,300 | NASDAQ OMX Group, Inc.a | 488,290 | ||||||
| 20,600 | Northern Trust Corporation | 946,776 | ||||||
| 149,100 | Ocwen Financial Corporationa | 1,902,516 | ||||||
| 869,295 | Popular, Inc.a | 2,399,254 | ||||||
| 47,192 | Principal Financial Group, Inc. | 1,435,581 | ||||||
| 40,700 | Resolution, Ltd. | 191,854 | ||||||
| 25,910 | State Street Corporation | 1,168,282 | ||||||
| 44,667 | SVB Financial Groupa | 2,667,066 | ||||||
| 71,882 | Texas Capital Bancshares, Inc.a | 1,856,712 | ||||||
| 77,760 | Unum Group | 1,981,325 | ||||||
| 11,350 | Vanguard REIT ETF | 682,135 | ||||||
| 31,134 | W.R. Berkley Corporation | 1,009,987 | ||||||
| 63,900 | Wells Fargo & Company | 1,793,034 | ||||||
| 109,583 | Zions Bancorporation | 2,631,088 | ||||||
|
| |||||||
| Total Financials | 60,009,362 | |||||||
|
| |||||||
| Health Care (1.7%) | ||||||||
| 14,200 | Alexion Pharmaceuticals, Inc.a | 667,826 | ||||||
| 38,329 | Align Technology, Inc.a | 873,901 | ||||||
| 3,900 | AstraZeneca plc | 194,918 | ||||||
| 18,440 | Baxter International, Inc. | 1,100,684 | ||||||
| 16,251 | C.R. Bard, Inc. | 1,785,335 | ||||||
| 13,274 | Celgene Corporationa | 800,688 | ||||||
| 43,897 | Covance, Inc.a | 2,606,165 | ||||||
| 19,248 | Coventry Health Care, Inc.a | 701,974 | ||||||
| 32,160 | Covidien plc | 1,711,877 | ||||||
| 22,000 | Dainippon Sumitomo Pharma Company, Ltd. | 209,067 | ||||||
| 1,900 | Fresenius SE & Company KGaA | 198,319 | ||||||
| 19,256 | Gen-Probe, Inc.a | 1,331,552 | ||||||
| 30,080 | HCA Holdings, Inc.a | 992,640 | ||||||
| 85,824 | Health Net, Inc.a | 2,756,667 | ||||||
| 14,540 | Johnson & Johnson | 967,201 | ||||||
| 150,100 | McKesson Corporation | 12,555,865 | ||||||
| 174,472 | Mylan, Inc.a | 4,304,224 | ||||||
| 540,112 | Pfizer, Inc. | 11,126,307 | ||||||
| 71,541 | PSS World Medical, Inc.a | 2,003,863 | ||||||
| 9,300 | Quest Diagnostics, Inc. | 549,630 | ||||||
| 10,300 | Ramsay Health Care, Ltd. | 201,216 | ||||||
| 69,197 | Thermo Fisher Scientific, Inc.a | 4,455,595 | ||||||
| 18,800 | Thoratec Corporationa | 617,016 | ||||||
| 33,780 | United Therapeutics Corporationa | 1,861,278 | ||||||
| 201,426 | UnitedHealth Group, Inc. | 10,389,553 | ||||||
| 38,668 | Universal Health Services, Inc. | 1,992,562 | ||||||
| 7,210 | Varian Medical Systems, Inc.a | 504,844 | ||||||
| 9,739 | Vertex Pharmaceuticals, Inc.a | 506,331 | ||||||
| 6,100 | Waters Corporationa | 584,014 | ||||||
| 24,752 | Zimmer Holdings, Inc.a | 1,564,326 | ||||||
|
| |||||||
| Total Health Care | 70,115,438 | |||||||
|
| |||||||
| Industrials (1.3%) | ||||||||
| 20 | A P Moller - Maersk AS | 172,660 | ||||||
| 55,280 | Boeing Company | 4,086,850 | ||||||
| 32,930 | Caterpillar, Inc. | 3,505,728 | ||||||
| 12,587 | Chicago Bridge and Iron Company | 489,634 | ||||||
| 23,097 | CSX Corporation | 605,603 | ||||||
| 89,240 | Deluxe Corporation | 2,205,120 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (12.4%) | Value | ||||||
| Industrials (1.3%) - continued | ||||||||
| 9,500 | Deutsche Lufthansa AG | $ | 206,916 | |||||
| 10,800 | Deutsche Post AG-REG | 207,621 | ||||||
| 3,000 | Eiffage SA | 198,303 | ||||||
| 71,981 | EMCOR Group, Inc.a | 2,109,763 | ||||||
| 70,850 | Emerson Electric Company | 3,985,312 | ||||||
| 6,400 | European Aeronautic Defence and Space Company | 214,187 | ||||||
| 9,982 | Expeditors International of Washington, Inc. | 510,979 | ||||||
| 72,190 | FTI Consulting, Inc.a | 2,738,889 | ||||||
| 49,600 | GATX Corporation | 1,841,152 | ||||||
| 118,800 | General Dynamics Corporation | 8,852,976 | ||||||
| 138,720 | General Electric Company | 2,616,259 | ||||||
| 25,470 | Harsco Corporation | 830,322 | ||||||
| 21,122 | Honeywell International, Inc. | 1,258,660 | ||||||
| 72,000 | Kajima Corporation | 206,561 | ||||||
| 188,955 | Manitowoc Company, Inc. | 3,182,002 | ||||||
| 9,100 | Manpower, Inc. | 488,215 | ||||||
| 30,358 | Oshkosh Corporationa | 878,561 | ||||||
| 15,901 | Parker Hannifin Corporation | 1,426,956 | ||||||
| 16,300 | Republic Services, Inc. | 502,855 | ||||||
| 47,300 | SembCorp Marine, Ltd. | 204,692 | ||||||
| 81,366 | Shaw Group, Inc.a | 2,458,067 | ||||||
| 21,099 | SPX Corporation | 1,744,043 | ||||||
| 38,300 | Teledyne Technologies, Inc.a | 1,928,788 | ||||||
| 39,480 | Textron, Inc. | 932,123 | ||||||
| 13,900 | Tyco International, Ltd. | 687,077 | ||||||
| 19,407 | United Technologies Corporation | 1,717,714 | ||||||
| 3,200 | Vinci SA | 205,363 | ||||||
| 23,250 | WESCO International, Inc.a | 1,257,593 | ||||||
|
| |||||||
| Total Industrials | 54,457,544 | |||||||
|
| |||||||
| Information Technology (3.4%) | ||||||||
| 142,711 | Accenture plc | 8,622,599 | ||||||
| 43,987 | Akamai Technologies, Inc.a | 1,384,271 | ||||||
| 10,700 | Alliance Data Systems Corporationa | 1,006,549 | ||||||
| 32,705 | Apple, Inc.a | 10,978,087 | ||||||
| 3,500 | Atos Origin SA | 197,703 | ||||||
| 68,350 | Broadcom Corporationa | 2,299,294 | ||||||
| 358,897 | Brocade Communicationsa | 2,318,475 | ||||||
| 520,400 | Cisco Systems, Inc. | 8,123,444 | ||||||
| 25,326 | Cognizant Technology Solutions Corporationa | 1,857,409 | ||||||
| 44,235 | CommVault Systems, Inc.a | 1,966,246 | ||||||
| 70,490 | Corning, Inc. | 1,279,393 | ||||||
| 19,074 | eBay, Inc.a | 615,518 | ||||||
| 141,650 | EMC Corporationa | 3,902,457 | ||||||
| 25,279 | F5 Networks, Inc.a | 2,787,010 | ||||||
| 12,958 | Google, Inc.a | 6,561,672 | ||||||
| 231,500 | Hewlett-Packard Company | 8,426,600 | ||||||
| 17,600 | Infineon Technologies AG | 197,755 | ||||||
| 32,495 | Informatica Corporationa | 1,898,683 | ||||||
| 63,471 | International Business Machines Corporation | 10,888,450 | ||||||
| 19,124 | Juniper Networks, Inc.a | 602,406 | ||||||
| 10,800 | Lam Research Corporationa | 478,224 | ||||||
| 399,666 | Microsoft Corporation | 10,391,316 | ||||||
| 172,055 | Monster Worldwide, Inc.a | 2,522,326 | ||||||
| 48,567 | Netlogic Microsystems, Inc.a | 1,963,078 | ||||||
| 30,000 | Nokia Oyj | 193,517 | ||||||
| 81,273 | NXP Semiconductors NVa | 2,172,427 | ||||||
| 434,630 | Oracle Corporation | 14,303,673 | ||||||
| 61,866 | Plantronics, Inc. | 2,259,965 | ||||||
| 68,013 | Plexus Corporationa | 2,367,533 | ||||||
| 76,350 | QUALCOMM, Inc. | 4,335,916 | ||||||
| 83,991 | Quest Software, Inc.a | 1,909,115 | ||||||
| 13,561 | Salesforce.com, Inc.a | 2,020,318 | ||||||
| 5,300 | Softbank Corporation | 200,723 | ||||||
| 74,300 | SuccessFactors, Inc.a | 2,184,420 | ||||||
| 41,001 | TE Connectivity, Ltd. | 1,507,197 | ||||||
| 202,434 | Teradyne, Inc.a | 2,996,023 | ||||||
| 110,280 | TIBCO Software, Inc.a | 3,200,326 | ||||||
| 40,000 | Toshiba Corporation | 210,894 | ||||||
| 41,500 | ValueClick, Inc.a | 688,900 | ||||||
| 18,300 | VeriFone Systems, Inc.a | 811,605 | ||||||
| 37,400 | VMware, Inc.a | 3,748,602 | ||||||
| 55,288 | Xilinx, Inc. | 2,016,353 | ||||||
|
| |||||||
| Total Information Technology | 138,396,472 | |||||||
|
| |||||||
| Materials (0.6%) | ||||||||
| 10,804 | Albemarle Corporation | 747,637 | ||||||
| 1,800 | Arkema | 185,129 | ||||||
| 40,000 | Balfour Beatty plc | 198,305 | ||||||
| 2,200 | BASF SE | 215,642 | ||||||
| 10,400 | Boliden AB | 192,073 | ||||||
| 16,692 | CF Industries Holdings, Inc. | 2,364,756 | ||||||
| 27,450 | Dow Chemical Company | 988,200 | ||||||
| 51,874 | E.I. du Pont de Nemours and Company | 2,803,790 | ||||||
| 240,800 | Freeport-McMoRan Copper & Gold, Inc. | 12,738,320 | ||||||
| 3,400 | Henkel AG & Company KGaA | 194,874 | ||||||
| 19,800 | ITOCHU Corporation | 205,937 | ||||||
| 1,200 | Linde AG | 210,531 | ||||||
| 2,300 | Rio Tinto, Ltd. | 205,861 | ||||||
| 12,827 | Sigma-Aldrich Corporation | 941,245 | ||||||
| 15,922 | Silgan Holdings, Inc. | 652,324 | ||||||
| 7,903 | Statoil ASA | 200,070 | ||||||
| 45,430 | Steel Dynamics, Inc. | 738,237 | ||||||
| 19,100 | Stora Enso Oyj | 200,569 | ||||||
| 18,800 | Temple-Inland, Inc. | 559,112 | ||||||
|
| |||||||
| Total Materials | 24,542,612 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | ||||||||
| 45,660 | AT&T, Inc. | 1,434,181 | ||||||
| 5,700 | Belgacom SA | 203,101 | ||||||
| 61,900 | BT Group plc | 200,691 | ||||||
| 13,700 | Deutsche Telekom AG | 213,770 | ||||||
| 8,900 | France Telecom SA | 189,240 | ||||||
| 28 | KDDI Corporation | 201,458 | ||||||
| 13,600 | Koninklijke (Royal) KPN NV | 197,807 | ||||||
| 2,500 | Mobistar SA | 189,638 | ||||||
| 109,150 | NII Holdings, Inc.a | 4,625,777 | ||||||
| 18,100 | Portugal Telecom SGPS SA | 177,932 | ||||||
| 400 | Swisscom AG | 183,364 | ||||||
| 8,300 | Telefonica SA | 202,712 | ||||||
| 60,276 | Verizon Communications, Inc. | 2,244,076 | ||||||
| 74,600 | Vodafone Group plc | 197,796 | ||||||
|
| |||||||
| Total Telecommunications Services | 10,461,543 | |||||||
|
| |||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (12.4%) | Value | ||||||
| Utilities (0.3%) | ||||||||
| 25,170 | American Electric Power Company, Inc. | $ | 948,406 | |||||
| 38,800 | Centrica plc | 201,454 | ||||||
| 29,800 | CMS Energy Corporation | 586,762 | ||||||
| 29,600 | Enel SPA | 193,404 | ||||||
| 35,750 | Exelon Corporation | 1,531,530 | ||||||
| 10,600 | Gas Natural SDG SA | 222,013 | ||||||
| 20,700 | National Grid plc | 203,764 | ||||||
| 72,320 | NiSource, Inc. | 1,464,480 | ||||||
| 40,273 | NV Energy, Inc. | 618,190 | ||||||
| 96,847 | PNM Resources, Inc. | 1,621,219 | ||||||
| 8,900 | Scottish & Southern Energy plc | 199,044 | ||||||
| 49,000 | SembCorp Industries, Ltd. | 199,538 | ||||||
| 48,861 | Southwest Gas Corporation | 1,886,523 | ||||||
| 27,528 | UGI Corporation | 877,868 | ||||||
|
| |||||||
| Total Utilities | 10,754,195 | |||||||
|
| |||||||
Total Common Stock (cost $465,096,158) | 502,953,033 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (7.8%) | |||||||
| Asset-Backed Securities (0.5%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 4,588,868 | 0.336%, 8/25/2036b | 3,695,425 | ||||||
| GSAMP Trust | ||||||||
| 4,368,013 | 0.366%, 2/25/2036b | 3,612,818 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 5,300,000 | 5.461%, 10/25/2036 | 4,084,933 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 4,698,922 | 0.336%, 2/25/2037b | 2,976,922 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 6,500,000 | 6.011%, 5/25/2036 | 3,602,469 | ||||||
| 3,990,918 | 5.580%, 11/25/2036 | 2,743,649 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 20,716,216 | |||||||
|
| |||||||
| Basic Materials (0.3%) | ||||||||
| ArcelorMittal | ||||||||
| 3,500,000 | 7.000%, 10/15/2039 | 3,538,829 | ||||||
| Arch Coal, Inc. | ||||||||
| 740,000 | 7.000%, 6/15/2019c | 738,150 | ||||||
| Dow Chemical Company | ||||||||
| 3,500,000 | 4.250%, 11/15/2020 | 3,415,839 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 740,000 | 7.000%, 11/1/2015c | 754,800 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 660,000 | 8.000%, 1/15/2024 | 783,778 | ||||||
| Novelis, Inc. | ||||||||
| 740,000 | 8.375%, 12/15/2017 | 789,950 | ||||||
|
| |||||||
| Total Basic Materials | 10,021,346 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
| Case New Holland, Inc. | ||||||||
| 730,000 | 7.875%, 12/1/2017c | 803,000 | ||||||
| Danaher Corporation | ||||||||
| 1,400,000 | 0.497%, 6/21/2013b | 1,401,928 | ||||||
|
| |||||||
| Total Capital Goods | 2,204,928 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.0%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,781,860 | 5.500%, 11/25/2035 | 1,548,671 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 6,019,120 | 5.750%, 4/25/2037 | 4,394,078 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 2,644,225 | 6.000%, 4/25/2036 | 1,994,380 | ||||||
| 1,208,562 | 6.000%, 1/25/2037 | 848,817 | ||||||
| 6,954,383 | 5.500%, 5/25/2037 | 5,201,211 | ||||||
| 6,133,385 | 7.000%, 10/25/2037 | 3,904,415 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 3,728,970 | 5.750%, 4/25/2037 | 3,397,286 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 1,222,245 | 5.500%, 10/25/2021 | 1,135,305 | ||||||
| 2,238,214 | 6.000%, 10/25/2021 | 1,916,829 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 3,430,037 | 0.376%, 8/25/2046b | 2,794,694 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 2,600,111 | 2.234%, 4/25/2037 | 1,602,513 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 2,262,506 | 2.783%, 6/25/2036 | 2,022,004 | ||||||
| 584,047 | 5.346%, 10/25/2036 | 482,863 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 1,362,990 | 6.500%, 7/25/2034 | 1,429,080 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 1,430,562 | 6.000%, 3/25/2037 | 1,128,379 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 2,266,381 | 5.401%, 9/20/2046 | 807,507 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 673,173 | 5.836%, 9/25/2036 | 561,463 | ||||||
| 2,511,461 | 5.936%, 10/25/2036 | 2,336,892 | ||||||
| 3,972,010 | 5.387%, 11/25/2036 | 3,491,818 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 40,998,205 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.3%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 7,200,000 | 5.823%, 4/10/2049 | 7,779,067 | ||||||
| 4,975,000 | 5.802%, 6/10/2049 | 5,353,200 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,696,742 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,183,129 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 7,200,000 | 5.542%, 1/15/2049 | 7,521,775 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 8,875,000 | 5.509%, 9/15/2039 | 8,354,969 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (7.8%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.3%) - continued | ||||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| $587,960 | 3.342%, 12/25/2019 | $ | 603,402 | |||||
| Government National Mortgage Association | ||||||||
| 596,988 | 2.164%, 3/16/2033 | 606,226 | ||||||
| 542,310 | 3.214%, 1/16/2040 | 563,066 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 4,650,000 | 5.867%, 12/10/2049 | 4,251,797 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 3,650,000 | 5.932%, 2/12/2049 | 3,538,668 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 2,650,000 | 5.406%, 3/15/2044 | 2,485,780 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 5,400,000 | 5.603%, 10/15/2048 | 5,106,348 | ||||||
|
| |||||||
| Total Commercial Mortgage-Backed Securities | 53,044,169 | |||||||
|
| |||||||
| Communications Services (0.4%) | ||||||||
| CBS Corporation | ||||||||
| 1,750,000 | 7.875%, 7/30/2030 | 2,088,508 | ||||||
| 1,750,000 | 5.900%, 10/15/2040 | 1,674,983 | ||||||
| CCO Holdings, LLC | ||||||||
| 710,000 | 7.000%, 1/15/2019 | 731,300 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 740,000 | 9.250%, 12/15/2017 | 806,600 | ||||||
| Cox Communications, Inc. | ||||||||
| 3,500,000 | 6.950%, 6/1/2038c | 3,942,963 | ||||||
| Cricket Communications, Inc. | ||||||||
| 650,000 | 7.750%, 10/15/2020 | 637,000 | ||||||
| Dish DBS Corporation | ||||||||
| 730,000 | 6.750%, 6/1/2021c | 748,250 | ||||||
| EH Holding Corporation | ||||||||
| 740,000 | 6.500%, 6/15/2019c | 752,950 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 730,000 | 11.500%, 2/4/2017c | 784,750 | ||||||
| NII Capital Corporation | ||||||||
| 730,000 | 7.625%, 4/1/2021 | 762,850 | ||||||
| Virgin Media Finance plc | ||||||||
| 670,000 | 9.500%, 8/15/2016 | 757,100 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 737,000 | 7.250%, 2/15/2018c | 766,480 | ||||||
|
| |||||||
| Total Communications Services | 14,453,734 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
| Chrysler Group, LLC | ||||||||
| 695,000 | 8.000%, 6/15/2019c | 682,837 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| 730,000 | 8.250%, 8/15/2020 | 788,400 | ||||||
| Home Depot, Inc. | ||||||||
| 3,500,000 | 5.875%, 12/16/2036 | 3,582,075 | ||||||
| MGM Resorts International | ||||||||
| $630,000 | 11.125%, 11/15/2017 | 719,775 | ||||||
| Rite Aid Corporation | ||||||||
| 740,000 | 7.500%, 3/1/2017 | 734,450 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 740,000 | 6.750%, 5/15/2018 | 819,550 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 740,000 | 8.500%, 12/1/2017 | 773,300 | ||||||
| West Corporation | ||||||||
| 740,000 | 7.875%, 1/15/2019c | 717,800 | ||||||
|
| |||||||
| Total Consumer Cyclical | 8,818,187 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.5%) | ||||||||
| Altria Group, Inc. | ||||||||
| 3,500,000 | 9.950%, 11/10/2038 | 4,917,661 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 1,750,000 | 6.450%, 9/1/2037 | 1,984,533 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,750,000 | 8.200%, 1/15/2039 | 2,406,950 | ||||||
| Community Health Systems, Inc. | ||||||||
| 740,000 | 8.875%, 7/15/2015 | 762,200 | ||||||
| HCA, Inc. | ||||||||
| 740,000 | 7.250%, 9/15/2020 | 794,575 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 620,000 | 11.625%, 5/1/2014 | 713,000 | ||||||
| Kraft Foods, Inc. | ||||||||
| 1,750,000 | 5.375%, 2/10/2020 | 1,913,097 | ||||||
| 1,750,000 | 7.000%, 8/11/2037 | 2,038,638 | ||||||
| Mylan, Inc. | ||||||||
| 670,000 | 7.875%, 7/15/2020c | 735,325 | ||||||
| Reynolds Group Holdings, Ltd. | ||||||||
| 730,000 | 6.875%, 2/15/2021c | 711,750 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,750,000 | 6.875%, 2/15/2038 | 2,001,013 | ||||||
| 1,750,000 | 5.700%, 10/15/2040 | 1,731,142 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 20,709,884 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
| Denbury Resources, Inc. | ||||||||
| 740,000 | 9.750%, 3/1/2016 | 826,950 | ||||||
| Linn Energy, LLC | ||||||||
| 730,000 | 7.750%, 2/1/2021c | 759,200 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 735,000 | 7.500%, 1/15/2020 | 828,203 | ||||||
| Plains Exploration & Production Company | ||||||||
| 730,000 | 7.625%, 6/1/2018 | 766,500 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 740,000 | 8.000%, 6/1/2018c | 754,800 | ||||||
| Weatherford International, Ltd. | ||||||||
| 3,500,000 | 6.750%, 9/15/2040 | 3,748,409 | ||||||
|
| |||||||
| Total Energy | 7,684,062 | |||||||
|
| |||||||
| Financials (1.0%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 610,000 | 3.200%, 11/3/2014c | 640,257 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (7.8%) | Value | ||||||
| Financials (1.0%) - continued | ||||||||
| AXA SA | ||||||||
| $3,500,000 | 6.379%, 12/29/2049c,d | $ | 3,062,500 | |||||
| Bank of Nova Scotia | ||||||||
| 600,000 | 1.450%, 7/26/2013c | 606,888 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 1,750,000 | 5.919%, 12/29/2049d | 1,448,804 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 610,000 | 2.600%, 7/2/2015c | 625,051 | ||||||
| Cie de Financement Foncier | ||||||||
| 600,000 | 2.250%, 3/7/2014c | 606,529 | ||||||
| Dexia Credit Local SA | ||||||||
| 600,000 | 2.750%, 4/29/2014c | 608,160 | ||||||
| General Electric Capital Corporation | ||||||||
| 3,500,000 | 6.750%, 3/15/2032 | 3,888,682 | ||||||
| HCP, Inc. | ||||||||
| 3,500,000 | 6.750%, 2/1/2041 | 3,700,553 | ||||||
| Health Care REIT, Inc. | ||||||||
| 1,400,000 | 6.500%, 3/15/2041 | 1,371,173 | ||||||
| Icahn Enterprises, LP | ||||||||
| 770,000 | 8.000%, 1/15/2018 | 781,550 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 600,000 | 2.375%, 5/26/2015 | 619,846 | ||||||
| International Lease Finance Corporation | ||||||||
| 740,000 | 5.750%, 5/15/2016 | 728,691 | ||||||
| MetLife, Inc. | ||||||||
| 3,500,000 | 7.875%, 12/15/2037c | 3,656,474 | ||||||
| Prudential Financial, Inc. | ||||||||
| 3,500,000 | 6.200%, 11/15/2040 | 3,576,717 | ||||||
| QBE Capital Funding III, Ltd. | ||||||||
| 3,600,000 | 7.250%, 5/24/2041c | 3,612,146 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 1,750,000 | 6.750%, 12/15/2065 | 1,671,861 | ||||||
| Royal Bank of Canada | ||||||||
| 550,000 | 3.125%, 4/14/2015c | 571,757 | ||||||
| Stoneheath RE | ||||||||
| 1,800,000 | 6.868%, 12/29/2049d | 1,629,000 | ||||||
| Toronto-Dominion Bank | ||||||||
| 610,000 | 2.200%, 7/29/2015c | 618,114 | ||||||
| XL Capital, Ltd. | ||||||||
| 1,750,000 | 6.500%, 12/31/2049d | 1,605,625 | ||||||
| XL Group plc | ||||||||
| 3,500,000 | 6.250%, 5/15/2027 | 3,542,238 | ||||||
|
| |||||||
| Total Financials | 39,172,616 | |||||||
|
| |||||||
| Foreign Government (<0.1%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 850,000 | 4.375%, 2/16/2021c | 882,212 | ||||||
| Kommunalbanken AS | ||||||||
| 600,000 | 2.750%, 5/5/2015c | 625,901 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 295,000 | 0.195%, 6/17/2013b | 294,828 | ||||||
|
| |||||||
| Total Foreign Government | 1,802,941 | |||||||
|
| |||||||
| Mortgage-Backed Securities (0.4%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,400,000 | 6.000%, 7/1/2041e | 2,635,874 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 600,000 | 4.000%, 7/1/2026e | 624,937 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 11,400,000 | 4.500%, 7/1/2041e,f | 11,793,654 | ||||||
| 600,000 | 5.000%, 7/1/2041e | 637,500 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 15,691,965 | |||||||
|
| |||||||
| Technology (<0.1%) | ||||||||
| Freescale Semiconductor, Inc. | ||||||||
| 700,000 | 9.250%, 4/15/2018c | 754,250 | ||||||
| Seagate HDD Cayman | ||||||||
| 710,000 | 7.750%, 12/15/2018c | 745,500 | ||||||
|
| |||||||
| Total Technology | 1,499,750 | |||||||
|
| |||||||
| Transportation (<0.1%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 740,000 | 9.500%, 9/15/2014c | 789,025 | ||||||
| Hertz Corporation | ||||||||
| 740,000 | 6.750%, 4/15/2019c | 732,600 | ||||||
|
| |||||||
| Total Transportation | 1,521,625 | |||||||
|
| |||||||
| U.S. Government and Agencies (1.7%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 240,000 | Zero Coupon, 1/7/2012c | 239,215 | ||||||
| 240,000 | Zero Coupon, 1/7/2014c | 232,450 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 600,000 | 2.125%, 9/15/2015 | 610,724 | ||||||
| Federal Home Loan Banks | ||||||||
| 2,400,000 | 5.375%, 5/18/2016 | 2,783,765 | ||||||
| 3,500,000 | 5.000%, 11/17/2017 | 4,020,481 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 3,640,000 | 0.750%, 3/28/2013 | 3,658,688 | ||||||
| 1,200,000 | 2.500%, 1/7/2014 | 1,252,774 | ||||||
| 1,675,000 | 4.875%, 6/13/2018 | 1,903,773 | ||||||
| Federal National Mortgage Association | ||||||||
| 2,250,000 | 1.250%, 2/27/2014 | 2,278,213 | ||||||
| 910,000 | 4.375%, 10/15/2015 | 1,008,426 | ||||||
| 680,000 | 6.250%, 5/15/2029 | 825,587 | ||||||
| Tennessee Valley Authority | ||||||||
| 520,000 | 5.250%, 9/15/2039 | 550,581 | ||||||
| U.S. Treasury Bonds | ||||||||
| 600,000 | 4.625%, 2/15/2040 | 625,594 | ||||||
| 420,000 | 4.375%, 5/15/2041 | 419,345 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 182,059 | 2.125%, 2/15/2040 | 198,118 | ||||||
| U.S. Treasury Notes | ||||||||
| 5,580,000 | 0.750%, 6/15/2014 | 5,573,460 | ||||||
| 12,950,000 | 2.500%, 4/30/2015 | 13,581,312 | ||||||
| 1,225,000 | 2.000%, 1/31/2016 | 1,248,830 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (7.8%) | Value | ||||||
| U.S. Government and Agencies (1.7%) - continued | ||||||||
| $1,785,000 | 2.625%, 2/29/2016 | $ | 1,868,113 | |||||
| 4,350,000 | 3.250%, 3/31/2017 | 4,632,750 | ||||||
| 11,235,000 | 3.625%, 2/15/2021 | 11,715,116 | ||||||
| 1,250,000 | 7.625%, 2/15/2025 | 1,780,469 | ||||||
| 2,975,000 | 4.375%, 5/15/2040 | 2,973,155 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 785,137 | 3.375%, 1/15/2012 | 802,128 | ||||||
| 1,016,137 | 2.000%, 1/15/2014 | 1,094,729 | ||||||
| 824,327 | 1.625%, 1/15/2015 | 894,138 | ||||||
| 897,515 | 0.500%, 4/15/2015 | 936,081 | ||||||
| 723,730 | 2.500%, 7/15/2016 | 828,218 | ||||||
| 938,464 | 2.625%, 7/15/2017 | 1,091,698 | ||||||
| 745,235 | 1.125%, 1/15/2021 | 773,880 | ||||||
| 202,793 | 2.375%, 1/15/2025 | 233,085 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 70,634,896 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
| AES Corporation | ||||||||
| 730,000 | 7.375%, 7/1/2021c | 740,950 | ||||||
| Dominion Resources, Inc. | ||||||||
| 1,750,000 | 6.300%, 9/30/2066 | 1,708,437 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 968,000 | 6.625%, 10/15/2036 | 998,808 | ||||||
| 1,750,000 | 7.500%, 7/1/2038 | 1,981,285 | ||||||
| Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 740,000 | 6.500%, 8/15/2021 | 734,450 | ||||||
| Southern Union Company | ||||||||
| 3,500,000 | 7.200%, 11/1/2066 | 3,255,000 | ||||||
|
| |||||||
| Total Utilities | 9,418,930 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $313,479,925) | 318,393,454 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Financials (<0.1%) | ||||||||
| 730 | Ally Financial, Inc., 7.000%c,d | 686,063 | ||||||
|
| |||||||
| Total Financials | 686,063 | |||||||
|
| |||||||
Total Preferred Stock (cost $692,350) | 686,063 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (7.7%)g | |||||||
| Alpine Securitization Corporation | ||||||||
| 10,000,000 | 0.130%, 7/18/2011 | 9,999,386 | ||||||
| BNP Paribas Canada | ||||||||
| 5,890,000 | 0.100%, 7/1/2011 | 5,890,000 | ||||||
| 3,000,000 | 0.100%, 7/5/2011 | 2,999,967 | ||||||
| Chariot Funding, LLC | ||||||||
| 5,000,000 | 0.130%, 7/22/2011 | 4,999,621 | ||||||
| Falcon Asset Securitization Corporation | ||||||||
| 30,000,000 | 0.130%, 7/22/2011 | 29,997,725 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 5,000,000 | 0.033%, 7/6/2011 | 4,999,977 | ||||||
| 15,000,000 | 0.040%, 7/13/2011 | 14,999,800 | ||||||
| 5,000,000 | 0.050%, 7/15/2011 | 4,999,903 | ||||||
| 5,000,000 | 0.010%, 7/18/2011 | 4,999,976 | ||||||
| 25,000,000 | 0.015%, 7/20/2011 | 24,999,802 | ||||||
| 10,000,000 | 0.010%, 7/22/2011 | 9,999,942 | ||||||
| 7,300,000 | 0.070%, 8/5/2011 | 7,299,503 | ||||||
| 5,500,000 | 0.080%, 8/29/2011h | 5,499,279 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 20,000,000 | 0.050%, 7/15/2011 | 19,999,611 | ||||||
| 12,645,000 | 0.050%, 7/21/2011 | 12,644,649 | ||||||
| 25,000,000 | 0.050%, 7/25/2011 | 24,999,166 | ||||||
| 7,200,000 | 0.060%, 8/1/2011 | 7,199,628 | ||||||
| 800,000 | 0.085%, 8/17/2011i | 799,911 | ||||||
| 13,400,000 | 0.148%, 8/29/2011h,i | 13,396,779 | ||||||
| 1,000,000 | 0.070%, 8/31/2011h | 999,881 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 21,288,000 | 0.040%, 7/13/2011 | 21,287,716 | ||||||
| Jupiter Securitization Company, LLC | ||||||||
| 30,000,000 | 0.130%, 7/22/2011 | 29,997,725 | ||||||
| Old Line Funding, LLC | ||||||||
| 3,000,000 | 0.130%, 8/1/2011 | 2,999,664 | ||||||
| Proctor & Gamble International Funding SCA | ||||||||
| 16,050,000 | 0.080%, 7/11/2011 | 16,049,643 | ||||||
| Thunder Bay Funding, LLC | ||||||||
| 6,000,000 | 0.130%, 7/21/2011 | 5,999,567 | ||||||
| 18,395,000 | 0.130%, 7/27/2011 | 18,393,273 | ||||||
| U.S. Treasury Bills | ||||||||
| 7,700,000 | 0.140%, 8/18/2011h | 7,698,572 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 314,150,666 | |||||||
|
| |||||||
| Total Investments (cost $4,031,778,480) 100.2% | $ | 4,084,618,784 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.2%) | (6,161,646 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 4,078,457,138 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $34,689,097 or 0.9% of total net assets. |
| 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 investments purchased on a when-issued or delayed delivery basis. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| f | All or a portion of the security was earmarked to cover written options. |
| g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| h | At June 30, 2011, $24,745,153 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| i | At June 30, 2011, $1,793,594 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Definitions:
| 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. | ||
| TIPS | - | Treasury Inflation Protected Security. | ||
| 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 | $ | 177,715,216 | ||
Gross unrealized depreciation | (124,612,783 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 53,102,433 | ||
Cost for federal income tax purposes | $ | 4,031,516,351 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Moderate Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,655,693,745 | 1,655,693,745 | — | — | ||||||||||||
Fixed Income Mutual Funds | 1,292,741,823 | 1,292,741,823 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 795,354 | — | 795,354 | — | ||||||||||||
Consumer Discretionary | 40,804,465 | 36,260,486 | 4,543,979 | — | ||||||||||||
Consumer Staples | 35,741,478 | 33,024,379 | 2,717,099 | — | ||||||||||||
Energy | 56,874,570 | 54,072,374 | 2,802,196 | — | ||||||||||||
Financials | 60,009,362 | 58,817,709 | 1,191,653 | — | ||||||||||||
Health Care | 70,115,438 | 69,311,918 | 803,520 | — | ||||||||||||
Industrials | 54,457,544 | 52,841,241 | 1,616,303 | — | ||||||||||||
Information Technology | 138,396,472 | 137,395,880 | 1,000,592 | — | ||||||||||||
Materials | 24,542,612 | 22,533,621 | 2,008,991 | — | ||||||||||||
Telecommunications Services | 10,461,543 | 8,304,034 | 2,157,509 | — | ||||||||||||
Utilities | 10,754,195 | 9,534,978 | 1,219,217 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 20,716,216 | — | 20,716,216 | — | ||||||||||||
Basic Materials | 10,021,346 | — | 10,021,346 | — | ||||||||||||
Capital Goods | 2,204,928 | — | 2,204,928 | — | ||||||||||||
Collateralized Mortgage Obligations | 40,998,205 | — | 40,998,205 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 53,044,169 | — | 53,044,169 | — | ||||||||||||
Communications Services | 14,453,734 | — | 14,453,734 | — | ||||||||||||
Consumer Cyclical | 8,818,187 | — | 8,818,187 | — | ||||||||||||
Consumer Non-Cyclical | 20,709,884 | — | 20,709,884 | — | ||||||||||||
Energy | 7,684,062 | — | 7,684,062 | — | ||||||||||||
Financials | 39,172,616 | — | 37,543,616 | 1,629,000 | ||||||||||||
Foreign Government | 1,802,941 | — | 1,802,941 | — | ||||||||||||
Mortgage-Backed Securities | 15,691,965 | — | 15,691,965 | — | ||||||||||||
Technology | 1,499,750 | — | 1,499,750 | — | ||||||||||||
Transportation | 1,521,625 | — | 1,521,625 | — | ||||||||||||
U.S. Government and Agencies | 70,634,896 | — | 70,634,896 | — | ||||||||||||
Utilities | 9,418,930 | — | 9,418,930 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 686,063 | — | 686,063 | — | ||||||||||||
Short-Term Investments | 314,150,666 | — | 314,150,666 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,084,618,784 | $ | 3,430,532,188 | $ | 652,457,596 | $ | 1,629,000 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 10,284,833 | 10,284,833 | — | — | ||||||||||||
Call Options Written | 2,156 | — | — | 2,156 | ||||||||||||
Credit Default Swaps | 375,077 | — | 375,077 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 10,662,066 | $ | 10,284,833 | $ | 375,077 | $ | 2,156 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 8,556,334 | 8,556,334 | — | — | ||||||||||||
Credit Default Swaps | 60,793 | — | 60,793 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 8,617,127 | $ | 8,556,334 | $ | 60,793 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Moderate Allocation Portfolio.
Investments in Securities | Value December 31, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income Financials | — | — | (36,000 | ) | 1,665,000 | — | — | — | 1,629,000 | |||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Call Options Written | — | — | 2,156 | — | — | — | — | 2,156 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | — | $ | — | ($ | 33,844 | ) | $ | 1,665,000 | $ | — | $ | — | $ | — | $ | 1,631,156 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of ($33,844. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (295 | ) | September 2011 | ($ | 64,562,617 | ) | ($ | 64,706,406 | ) | ($ | 143,789 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | (875 | ) | September 2011 | (103,623,310 | ) | (104,295,896 | ) | (672,586 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (245 | ) | September 2011 | (29,833,746 | ) | (29,970,392 | ) | (136,646 | ) | |||||||||||
Mini MSCI EAFE Index Futures | 201 | September 2011 | 16,678,442 | 17,244,795 | 566,353 | |||||||||||||||
Russell 2000 Index Mini-Futures | (1,012 | ) | September 2011 | (79,712,912 | ) | (83,530,480 | ) | (3,817,568 | ) | |||||||||||
S&P 400 Index Mini-Futures | (1,089 | ) | September 2011 | (102,555,105 | ) | (106,340,850 | ) | (3,785,745 | ) | |||||||||||
S&P 500 Index Futures | 1,034 | September 2011 | 330,338,270 | 340,056,750 | 9,718,480 | |||||||||||||||
Total Futures Contracts | $ | 1,728,499 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
Federal National Mortgage | ||||||||||||||||||||
Association Conventional 30 Yr. Pass Through | 1 | $ | 104.45 | July 2011 | ($ | 281 | ) | $ | 2,156 | |||||||||||
Total Call Options Written | ($ | 281 | ) | $ | 2,156 | |||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; | Buy | 12/20/2015 | $ | 15,000,000 | $ | 612,375 | ($ | 469,539 | ) | $ | 142,836 | |||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; | Buy | 12/20/2015 | 23,000,000 | 952,200 | (719,959 | ) | 232,241 | |||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; | Buy | 12/20/2015 | 23,000,000 | 659,166 | (719,959 | ) | (60,793 | ) | ||||||||||||||
Total Credit Default Swaps | ($ | 1,909,457 | ) | $ | 314,284 | |||||||||||||||||
| 1 | As the buyer of protection, Moderate Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderate Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderate Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The 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 value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | ||||||
Interest Rate Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 2,156 | |||
Total Interest Rate Contracts | 2,156 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,284,833 | ||||
Total Equity Contracts | 10,284,833 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 375,077 | ||||
Total Credit Contracts | 375,077 | |||||
|
| |||||
Total Asset Derivatives | $ | 10,662,066 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 7,603,313 | ||||
Total Equity Contracts | 7,603,313 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 953,021 | ||||
Total Interest Rate Contracts | 953,021 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 60,793 | ||||
Total Credit Contracts | 60,793 | |||||
|
| |||||
Total Liability Derivatives | $ | 8,617,127 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 5,406,199 | ||||
Total Equity Contracts | 5,406,199 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (141,399 | ) | |||
Total Foreign Exchange Contracts | (141,399 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (3,010,663 | ) | |||
Total Interest Rate Contracts | (3,010,663 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (917,491 | ) | |||
Total Credit Contracts | (917,491 | ) | ||||
|
| |||||
Total | $ | 1,336,646 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
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Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | ||||
Interest Rate Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 2,156 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (953,021 | ) | |||
Total Interest Rate Contracts | (950,865 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 1,104,734 | ||||
Total Equity Contracts | 1,104,734 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 314,284 | ||||
Total Credit Contracts | 314,284 | |||||
|
| |||||
Total | $ | 468,153 | ||||
|
| |||||
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
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 | $ | 376,563,749 | 9.8 | % | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
Interest Rate Contracts | 112,234,197 | 2.9 | N/A | N/A | N/A | N/A | 1 | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 739,128 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 45,377,251 | 1.2 | % | N/A | |||||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Moderate Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 99,423,361 | $ | — | $ | — | 6,860,853 | $ | 110,142,071 | $ | — | |||||||||||||
Partner Small Cap Growth | 58,029,531 | — | — | 4,491,902 | 64,193,768 | — | ||||||||||||||||||
Partner Small Cap Value | 80,564,038 | 172,838 | — | 4,235,223 | 83,761,267 | 172,838 | ||||||||||||||||||
Small Cap Stock | 45,549,804 | — | — | 3,596,908 | 48,534,878 | — | ||||||||||||||||||
Mid Cap Growth II | 28,136,866 | 1,049,270 | — | 2,934,279 | 29,819,021 | 29,038 | ||||||||||||||||||
Partner Mid Cap Value | 78,175,286 | 169,486 | — | 5,853,149 | 82,923,313 | 169,486 | ||||||||||||||||||
Mid Cap Stock | 142,366,059 | 64,932 | — | 11,623,612 | 150,526,937 | 64,932 | ||||||||||||||||||
Partner Worldwide Allocation | 208,688,622 | 23,121,358 | — | 26,331,012 | 240,776,036 | 121,358 | ||||||||||||||||||
Partner International Stock | 187,198,240 | 68,777 | — | 17,546,838 | 196,470,185 | 68,777 | ||||||||||||||||||
Large Cap Growth II | 151,243,607 | 3,066,508 | — | 22,248,154 | 156,778,290 | 216,116 | ||||||||||||||||||
Large Cap Value | 275,009,351 | 61,876 | — | 25,642,869 | 286,502,644 | 61,876 | ||||||||||||||||||
Large Cap Stock | 170,579,507 | 20,161 | — | 20,069,137 | 177,162,312 | 20,161 | ||||||||||||||||||
Equity Income Plus | 26,476,160 | 74,172 | — | 2,930,787 | 28,103,023 | 74,172 | ||||||||||||||||||
High Yield | 148,465,627 | 23,386,859 | 15,218,687 | 32,529,773 | 157,623,015 | 5,783,800 | ||||||||||||||||||
Income | 494,090,978 | 62,661,409 | 122,548 | 55,836,348 | 562,272,021 | 12,462,619 | ||||||||||||||||||
Limited Maturity Bond | 511,433,385 | 60,580,665 | 131,301 | 58,323,419 | 572,846,787 | 6,796,248 | ||||||||||||||||||
Total Value and Income Earned | 2,705,430,422 | 2,948,435,568 | 26,041,421 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Mutual Funds (69.4%) | Value | ||||||
| Equity Mutual Funds (23.0%) | ||||||||
| 1,980,178 | Thrivent Real Estate Securities Portfolioa | $ | 31,789,182 | |||||
| 1,265,037 | Thrivent Partner Small Cap Value Portfolio | 25,019,022 | ||||||
| 1,614,844 | Thrivent Small Cap Stock Portfolioa | 21,789,898 | ||||||
| 2,133,199 | Thrivent Partner Mid Cap Value Portfolio | 30,221,664 | ||||||
| 2,927,221 | Thrivent Mid Cap Stock Portfolio | 37,907,804 | ||||||
| 8,931,119 | Thrivent Partner Worldwide Allocation Portfolio | 81,667,939 | ||||||
| 3,793,944 | Thrivent Partner International Stock Portfolio | 42,480,408 | ||||||
| 5,454,098 | Thrivent Large Cap Growth Portfolio II | 38,433,940 | ||||||
| 7,462,376 | Thrivent Large Cap Value Portfolio | 83,375,638 | ||||||
| 2,726,514 | Thrivent Large Cap Stock Portfolio | 24,068,574 | ||||||
| 1,161,468 | Thrivent Equity Income Plus Portfolio | 11,137,202 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 427,891,271 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (46.4%) | ||||||||
| 15,152,232 | Thrivent High Yield Portfolio | 73,420,139 | ||||||
| 23,923,643 | Thrivent Income Portfolio | 240,911,087 | ||||||
| 55,848,815 | Thrivent Limited Maturity Bond Portfolio | 548,541,475 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 862,872,701 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,277,072,738) | 1,290,763,972 | |||||||
|
| |||||||
Common Stock (9.7%) | ||||||||
| Consumer Discretionary (0.8%) | ||||||||
| 6,300 | Amazon.com, Inc.a | 1,288,287 | ||||||
| 6,109 | Autoliv, Inc. | 479,251 | ||||||
| 19,969 | Carnival Corporation | 751,433 | ||||||
| 8,340 | CBS Corporation | 237,607 | ||||||
| 4,000 | Charter Communications, Inc.a | 217,040 | ||||||
| 17,700 | Darden Restaurants, Inc. | 880,752 | ||||||
| 20,921 | Discovery Communications, Inc.a | 856,924 | ||||||
| 4,502 | Dollar Tree, Inc.a | 299,923 | ||||||
| 27,435 | Foot Locker, Inc. | 651,855 | ||||||
| 106,000 | Ford Motor Companya | 1,461,740 | ||||||
| 20,080 | Lowe’s Companies, Inc. | 468,065 | ||||||
| 21,456 | Macy’s, Inc. | 627,373 | ||||||
| 12,810 | Omnicom Group, Inc. | 616,930 | ||||||
| 3,654 | Panera Bread Companya | 459,162 | ||||||
| 16,900 | Phillips-Van Heusen Corporation | 1,106,443 | ||||||
| 57,749 | Pier 1 Imports, Inc.a | 668,156 | ||||||
| 12,586 | Signet Jewelers, Ltd.a | 589,151 | ||||||
| 23,670 | Staples, Inc. | 373,986 | ||||||
| 11,620 | Time Warner Cable, Inc. | 906,825 | ||||||
| 10,260 | Viacom, Inc. | 523,260 | ||||||
| 13,502 | Walt Disney Company | 527,118 | ||||||
| 9,800 | Williams-Sonoma, Inc. | 357,602 | ||||||
|
| |||||||
| Total Consumer Discretionary | 14,348,883 | |||||||
|
| |||||||
| Consumer Staples (0.7%) | ||||||||
| 18,660 | Altria Group, Inc. | 492,811 | ||||||
| 21,527 | Anheuser-Busch InBev NV ADR | 1,248,781 | ||||||
| 12,400 | BJ’s Wholesale Club, Inc.a | 624,340 | ||||||
| 18,588 | Corn Products International, Inc. | 1,027,545 | ||||||
| 6,250 | Diageo plc ADR | 511,687 | ||||||
| 8,615 | Diamond Foods, Inc. | 657,669 | ||||||
| 11,064 | Flowers Foods, Inc. | 243,850 | ||||||
| 11,712 | Herbalife, Ltd. | 675,080 | ||||||
| 30,539 | Kraft Foods, Inc. | 1,075,889 | ||||||
| 59,156 | Philip Morris International, Inc. | 3,949,846 | ||||||
| 7,089 | TreeHouse Foods, Inc.a | 387,130 | ||||||
| 30,423 | Walgreen Company | 1,291,761 | ||||||
|
| |||||||
| Total Consumer Staples | 12,186,389 | |||||||
|
| |||||||
| Energy (1.1%) | ||||||||
| 5,161 | Alpha Natural Resources, Inc.a | 234,516 | ||||||
| 17,395 | Apache Corporation | 2,146,369 | ||||||
| 30,242 | Arch Coal, Inc. | 806,252 | ||||||
| 26,698 | Baker Hughes, Inc. | 1,937,207 | ||||||
| 7,357 | BP plc ADR | 325,841 | ||||||
| 16,620 | Chevron Corporation | 1,709,201 | ||||||
| 18,090 | ConocoPhillips | 1,360,187 | ||||||
| 33,671 | ENSCO International plc ADR | 1,794,664 | ||||||
| 29,900 | Exxon Mobil Corporation | 2,433,262 | ||||||
| 18,500 | Helix Energy Solutions Group, Inc.a | 306,360 | ||||||
| 28,000 | James River Coal Companya | 582,960 | ||||||
| 7,109 | National Oilwell Varco, Inc. | 555,995 | ||||||
| 4,500 | Occidental Petroleum Corporation | 468,180 | ||||||
| 7,491 | Oil States International, Inc.a | 598,606 | ||||||
| 25,960 | Patriot Coal Corporationa | 577,870 | ||||||
| 22,790 | Peabody Energy Corporation | 1,342,559 | ||||||
| 40,009 | Petroleum Geo-Services ASAa | 571,553 | ||||||
| 7,900 | Schlumberger, Ltd. | 682,560 | ||||||
| 7,300 | Southwestern Energy Companya | 313,024 | ||||||
| 15,981 | Swift Energy Companya | 595,612 | ||||||
| 90,500 | Weatherford International, Ltd.a | 1,696,875 | ||||||
| 5,400 | Whiting Petroleum Corporationa | 307,314 | ||||||
|
| |||||||
| Total Energy | 21,346,967 | |||||||
|
| |||||||
| Financials (1.3%) | ||||||||
| 14,170 | ACE, Ltd. | 932,669 | ||||||
| 5,543 | Affiliated Managers Group, Inc.a | 562,337 | ||||||
| 53,157 | Aflac, Inc. | 2,481,369 | ||||||
| 9,190 | Aon Corporation | 471,447 | ||||||
| 49,693 | Bank of America Corporation | 544,635 | ||||||
| 5,150 | BlackRock, Inc. | 987,822 | ||||||
| 10,130 | Capital One Financial Corporation | 523,417 | ||||||
| 9,522 | Citigroup, Inc. | 396,496 | ||||||
| 18,283 | Duke Realty Corporation | 256,145 | ||||||
| 6,400 | Endurance Specialty Holdings, Ltd. | 264,512 | ||||||
| 15,626 | Equity One, Inc. | 291,269 | ||||||
| 4,190 | Goldman Sachs Group, Inc. | 557,647 | ||||||
| 16,018 | HCC Insurance Holdings, Inc. | 504,567 | ||||||
| 21,098 | Host Hotels & Resorts, Inc. | 357,611 | ||||||
| 1,845 | IntercontinentalExchange, Inc.a | 230,090 | ||||||
| 86,480 | J.P. Morgan Chase & Company | 3,540,491 | ||||||
| 36,120 | KKR & Company, LP | 589,478 | ||||||
| 20,543 | LaSalle Hotel Properties | 541,103 | ||||||
| 6,088 | Lazard, Ltd. | 225,865 | ||||||
| 5,500 | M&T Bank Corporation | 483,725 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (9.7%) | Value | ||||||
| Financials (1.3%) - continued | ||||||||
| 10,590 | MetLife, Inc. | $ | 464,583 | |||||
| 9,400 | NASDAQ OMX Group, Inc.a | 237,820 | ||||||
| 10,000 | Northern Trust Corporation | 459,600 | ||||||
| 43,366 | Ocwen Financial Corporationa | 553,350 | ||||||
| 289,685 | Popular, Inc.a | 799,531 | ||||||
| 23,026 | Principal Financial Group, Inc. | 700,451 | ||||||
| 12,700 | State Street Corporation | 572,643 | ||||||
| 15,622 | SVB Financial Groupa | 932,790 | ||||||
| 20,865 | Texas Capital Bancshares, Inc.a | 538,943 | ||||||
| 38,180 | Unum Group | 972,826 | ||||||
| 5,560 | Vanguard REIT ETF | 334,156 | ||||||
| 15,424 | W.R. Berkley Corporation | 500,355 | ||||||
| 31,270 | Wells Fargo & Company | 877,436 | ||||||
| 37,593 | Zions Bancorporation | 902,608 | ||||||
|
| |||||||
| Total Financials | 23,589,787 | |||||||
|
| |||||||
| Health Care (1.3%) | ||||||||
| 6,600 | Alexion Pharmaceuticals, Inc.a | 310,398 | ||||||
| 11,137 | Align Technology, Inc.a | 253,924 | ||||||
| 9,030 | Baxter International, Inc. | 539,001 | ||||||
| 7,812 | C.R. Bard, Inc. | 858,226 | ||||||
| 4,988 | Celgene Corporationa | 300,876 | ||||||
| 14,511 | Covance, Inc.a | 861,518 | ||||||
| 9,337 | Coventry Health Care, Inc.a | 340,520 | ||||||
| 15,690 | Covidien plc | 835,179 | ||||||
| 5,572 | Gen-Probe, Inc.a | 385,304 | ||||||
| 14,720 | HCA Holdings, Inc.a | 485,760 | ||||||
| 28,543 | Health Net, Inc.a | 916,801 | ||||||
| 7,080 | Johnson & Johnson | 470,962 | ||||||
| 48,150 | McKesson Corporation | 4,027,747 | ||||||
| 64,561 | Mylan, Inc.a | 1,592,720 | ||||||
| 186,256 | Pfizer, Inc. | 3,836,873 | ||||||
| 20,763 | PSS World Medical, Inc.a | 581,572 | ||||||
| 4,500 | Quest Diagnostics, Inc. | 265,950 | ||||||
| 25,600 | Thermo Fisher Scientific, Inc.a | 1,648,384 | ||||||
| 9,100 | Thoratec Corporationa | 298,662 | ||||||
| 9,862 | United Therapeutics Corporationa | 543,396 | ||||||
| 65,358 | UnitedHealth Group, Inc. | 3,371,166 | ||||||
| 11,230 | Universal Health Services, Inc. | 578,682 | ||||||
| 3,389 | Varian Medical Systems, Inc.a | 237,298 | ||||||
| 4,782 | Vertex Pharmaceuticals, Inc.a | 248,616 | ||||||
| 2,800 | Waters Corporationa | 268,072 | ||||||
| 12,051 | Zimmer Holdings, Inc.a | 761,623 | ||||||
|
| |||||||
| Total Health Care | 24,819,230 | |||||||
|
| |||||||
| Industrials (1.1%) | ||||||||
| 22,040 | Boeing Company | 1,629,417 | ||||||
| 13,390 | Caterpillar, Inc. | 1,425,499 | ||||||
| 6,103 | Chicago Bridge and Iron Company | 237,407 | ||||||
| 10,971 | CSX Corporation | 287,660 | ||||||
| 25,891 | Deluxe Corporation | 639,767 | ||||||
| 20,950 | EMCOR Group, Inc.a | 614,045 | ||||||
| 26,150 | Emerson Electric Company | 1,470,938 | ||||||
| 4,818 | Expeditors International of Washington, Inc. | 246,633 | ||||||
| 23,667 | FTI Consulting, Inc.a | 897,926 | ||||||
| 14,400 | GATX Corporation | 534,528 | ||||||
| 35,000 | General Dynamics Corporation | 2,608,200 | ||||||
| 67,970 | General Electric Company | 1,281,914 | ||||||
| 12,480 | Harsco Corporation | 406,848 | ||||||
| 10,321 | Honeywell International, Inc. | 615,028 | ||||||
| 68,046 | Manitowoc Company, Inc. | 1,145,895 | ||||||
| 4,300 | Manpower, Inc. | 230,695 | ||||||
| 14,717 | Oshkosh Corporationa | 425,910 | ||||||
| 7,722 | Parker Hannifin Corporation | 692,972 | ||||||
| 8,000 | Republic Services, Inc. | 246,800 | ||||||
| 28,481 | Shaw Group, Inc.a | 860,411 | ||||||
| 10,187 | SPX Corporation | 842,057 | ||||||
| 11,165 | Teledyne Technologies, Inc.a | 562,269 | ||||||
| 19,350 | Textron, Inc. | 456,854 | ||||||
| 6,700 | Tyco International, Ltd. | 331,181 | ||||||
| 9,504 | United Technologies Corporation | 841,199 | ||||||
| 11,390 | WESCO International, Inc.a | 616,085 | ||||||
|
| |||||||
| Total Industrials | 20,148,138 | |||||||
|
| |||||||
| Information Technology (2.5%) | ||||||||
| 42,041 | Accenture plc | 2,540,117 | ||||||
| 16,274 | Akamai Technologies, Inc.a | 512,143 | ||||||
| 5,300 | Alliance Data Systems Corporationa | 498,571 | ||||||
| 12,136 | Apple, Inc.a | 4,073,691 | ||||||
| 25,250 | Broadcom Corporationa | 849,410 | ||||||
| 104,281 | Brocade Communicationsa | 673,655 | ||||||
| 153,300 | Cisco Systems, Inc. | 2,393,013 | ||||||
| 9,341 | Cognizant Technology Solutions Corporationa | 685,069 | ||||||
| 12,855 | CommVault Systems, Inc.a | 571,405 | ||||||
| 34,500 | Corning, Inc. | 626,175 | ||||||
| 9,450 | eBay, Inc.a | 304,952 | ||||||
| 52,400 | EMC Corporationa | 1,443,620 | ||||||
| 9,336 | F5 Networks, Inc.a | 1,029,294 | ||||||
| 4,832 | Google, Inc.a | 2,446,828 | ||||||
| 68,200 | Hewlett-Packard Company | 2,482,480 | ||||||
| 9,495 | Informatica Corporationa | 554,793 | ||||||
| 21,136 | International Business Machines Corporation | 3,625,881 | ||||||
| 9,107 | Juniper Networks, Inc.a | 286,871 | ||||||
| 5,100 | Lam Research Corporationa | 225,828 | ||||||
| 127,678 | Microsoft Corporation | 3,319,628 | ||||||
| 49,977 | Monster Worldwide, Inc.a | 732,663 | ||||||
| 14,098 | Netlogic Microsystems, Inc.a | 569,841 | ||||||
| 30,086 | NXP Semiconductors NVa | 804,199 | ||||||
| 143,380 | Oracle Corporation | 4,718,636 | ||||||
| 17,957 | Plantronics, Inc. | 655,969 | ||||||
| 19,791 | Plexus Corporationa | 688,925 | ||||||
| 28,250 | QUALCOMM, Inc. | 1,604,317 | ||||||
| 24,513 | Quest Software, Inc.a | 557,180 | ||||||
| 4,969 | Salesforce.com, Inc.a | 740,282 | ||||||
| 24,800 | SuccessFactors, Inc.a | 729,120 | ||||||
| 19,991 | TE Connectivity, Ltd. | 734,869 | ||||||
| 72,545 | Teradyne, Inc.a | 1,073,666 | ||||||
| 39,663 | TIBCO Software, Inc.a | 1,151,020 | ||||||
| 20,400 | ValueClick, Inc.a | 338,640 | ||||||
| 8,850 | VeriFone Systems, Inc.a | 392,497 | ||||||
| 13,850 | VMware, Inc.a | 1,388,185 | ||||||
| 27,161 | Xilinx, Inc. | 990,562 | ||||||
|
| |||||||
| Total Information Technology | 47,013,995 | |||||||
|
| |||||||
| Materials (0.5%) | ||||||||
| 5,158 | Albemarle Corporation | 356,933 | ||||||
| 6,173 | CF Industries Holdings, Inc. | 874,529 | ||||||
| 13,490 | Dow Chemical Company | 485,640 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
128
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Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (9.7%) | Value | ||||||
| Materials (0.5%) - continued | ||||||||
| 25,492 | E.I. du Pont de Nemours and Company | $ | 1,377,843 | |||||
| 76,450 | Freeport-McMoRan Copper & Gold, Inc. | 4,044,205 | ||||||
| 6,162 | Sigma-Aldrich Corporation | 452,167 | ||||||
| 7,778 | Silgan Holdings, Inc. | 318,665 | ||||||
| 22,080 | Steel Dynamics, Inc. | 358,800 | ||||||
| 9,400 | Temple-Inland, Inc. | 279,556 | ||||||
|
| |||||||
| Total Materials | 8,548,338 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | ||||||||
| 22,270 | AT&T, Inc. | 699,501 | ||||||
| 40,488 | NII Holdings, Inc.a | 1,715,881 | ||||||
| 29,499 | Verizon Communications, Inc. | 1,098,248 | ||||||
|
| |||||||
| Total Telecommunications Services | 3,513,630 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
| 12,330 | American Electric Power Company, Inc. | 464,594 | ||||||
| 14,600 | CMS Energy Corporation | 287,474 | ||||||
| 17,510 | Exelon Corporation | 750,128 | ||||||
| 35,430 | NiSource, Inc. | 717,458 | ||||||
| 19,792 | NV Energy, Inc. | 303,807 | ||||||
| 28,098 | PNM Resources, Inc. | 470,361 | ||||||
| 14,181 | Southwest Gas Corporation | 547,528 | ||||||
| 11,849 | UGI Corporation | 377,865 | ||||||
|
| |||||||
| Total Utilities | 3,919,215 | |||||||
|
| |||||||
Total Common Stock (cost $163,606,962) | 179,434,572 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (9.7%) | |||||||
| Asset-Backed Securities (0.9%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 2,936,876 | 0.336%, 8/25/2036b | 2,365,072 | ||||||
| GSAMP Trust | ||||||||
| 2,104,588 | 0.366%, 2/25/2036b | 1,740,721 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 7,500,000 | 5.461%, 10/25/2036 | 5,780,565 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 3,115,952 | 0.336%, 2/25/2037b | 1,974,059 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 5,500,000 | 6.011%, 5/25/2036 | 3,048,243 | ||||||
| 2,660,612 | 5.580%, 11/25/2036 | 1,829,099 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 16,737,759 | |||||||
|
| |||||||
| Basic Materials (0.3%) | ||||||||
| ArcelorMittal | ||||||||
| 2,300,000 | 7.000%, 10/15/2039 | 2,325,516 | ||||||
| Arch Coal, Inc. | ||||||||
| 300,000 | 7.000%, 6/15/2019c | 299,250 | ||||||
| Dow Chemical Company | ||||||||
| 2,300,000 | 4.250%, 11/15/2020 | 2,244,694 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 310,000 | 7.000%, 11/1/2015c | 316,200 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 270,000 | 8.000%, 1/15/2024 | 320,637 | ||||||
| Novelis, Inc. | ||||||||
| $300,000 | 8.375%, 12/15/2017 | 320,250 | ||||||
|
| |||||||
| Total Basic Materials | 5,826,547 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
| Case New Holland, Inc. | ||||||||
| 330,000 | 7.875%, 12/1/2017c | 363,000 | ||||||
| Danaher Corporation | ||||||||
| 920,000 | 0.497%, 6/21/2013b | 921,267 | ||||||
|
| |||||||
| Total Capital Goods | 1,284,267 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.0%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 967,295 | 5.500%, 11/25/2035 | 840,707 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 3,310,516 | 5.750%, 4/25/2037 | 2,416,743 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 656,077 | 6.000%, 1/25/2037 | 460,786 | ||||||
| 4,525,112 | 5.500%, 5/25/2037 | 3,384,350 | ||||||
| 3,985,144 | 7.000%, 10/25/2037 | 2,536,879 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 2,071,650 | 5.750%, 4/25/2037 | 1,887,381 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 663,505 | 5.500%, 10/25/2021 | 616,308 | ||||||
| 1,228,824 | 6.000%, 10/25/2021 | 1,052,377 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,461,616 | 2.234%, 4/25/2037 | 900,830 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 317,054 | 5.346%, 10/25/2036 | 262,126 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 776,147 | 6.500%, 7/25/2034 | 813,781 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 776,591 | 6.000%, 3/25/2037 | 612,548 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 841,478 | 5.401%, 9/20/2046 | 299,817 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 925,612 | 5.836%, 9/25/2036 | 772,012 | ||||||
| 933,220 | 5.936%, 10/25/2036 | 868,353 | ||||||
| 1,083,275 | 5.387%, 11/25/2036 | 952,314 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 18,677,312 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.9%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 4,600,000 | 5.823%, 4/10/2049 | 4,969,960 | ||||||
| 6,000,000 | 5.802%, 6/10/2049 | 6,456,120 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,112,424 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,700,000 | 5.322%, 12/11/2049 | 1,803,773 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
129
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.9%) - continued | ||||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| $4,600,000 | 5.542%, 1/15/2049 | $ | 4,805,579 | |||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 5,800,000 | 5.509%, 9/15/2039 | 5,460,149 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificate | ||||||||
| 212,051 | 3.342%, 12/25/2019 | 217,621 | ||||||
| Government National Mortgage Association | ||||||||
| 215,307 | 2.164%, 3/16/2033 | 218,639 | ||||||
| 195,587 | 3.214%, 1/16/2040 | 203,073 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,100,000 | 5.867%, 12/10/2049 | 2,834,531 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 2,300,000 | 5.932%, 2/12/2049 | 2,229,845 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,750,000 | 5.406%, 3/15/2044 | 1,641,553 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 3,450,000 | 5.603%, 10/15/2048 | 3,262,389 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 36,215,656 | |||||||
|
| |||||||
| Communications Services (0.4%) | ||||||||
| CBS Corporation | ||||||||
| 1,150,000 | 7.875%, 7/30/2030 | 1,372,448 | ||||||
| 1,150,000 | 5.900%, 10/15/2040 | 1,100,703 | ||||||
| CCO Holdings, LLC | ||||||||
| 330,000 | 7.000%, 1/15/2019 | 339,900 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 300,000 | 9.250%, 12/15/2017 | 327,000 | ||||||
| Cox Communications, Inc. | ||||||||
| 2,300,000 | 6.950%, 6/1/2038c | 2,591,090 | ||||||
| Cricket Communications, Inc. | ||||||||
| 260,000 | 7.750%, 10/15/2020 | 254,800 | ||||||
| Dish DBS Corporation | ||||||||
| 365,000 | 6.750%, 6/1/2021c | 374,125 | ||||||
| EH Holding Corporation | ||||||||
| 300,000 | 6.500%, 6/15/2019c | 305,250 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 220,000 | 11.500%, 2/4/2017c | 236,500 | ||||||
| NII Capital Corporation | ||||||||
| 410,000 | 7.625%, 4/1/2021 | 428,450 | ||||||
| Virgin Media Finance plc | ||||||||
| 270,000 | 9.500%, 8/15/2016 | 305,100 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 300,000 | 7.250%, 2/15/2018c | 312,000 | ||||||
|
| |||||||
| Total Communications Services | 7,947,366 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | ||||||||
| Chrysler Group, LLC | ||||||||
| 200,000 | 8.000%, 6/15/2019c | 196,500 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| $410,000 | 8.250%, 8/15/2020 | 442,800 | ||||||
| Home Depot, Inc. | ||||||||
| 2,300,000 | 5.875%, 12/16/2036 | 2,353,935 | ||||||
| MGM Resorts International | ||||||||
| 260,000 | 11.125%, 11/15/2017 | 297,050 | ||||||
| Rite Aid Corporation | ||||||||
| 300,000 | 7.500%, 3/1/2017 | 297,750 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 300,000 | 6.750%, 5/15/2018 | 332,250 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 300,000 | 8.500%, 12/1/2017 | 313,500 | ||||||
| West Corporation | ||||||||
| 300,000 | 7.875%, 1/15/2019c | 291,000 | ||||||
|
| |||||||
| Total Consumer Cyclical | 4,524,785 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.7%) | ||||||||
| Altria Group, Inc. | ||||||||
| 2,300,000 | 9.950%, 11/10/2038 | 3,231,606 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 1,150,000 | 6.450%, 9/1/2037 | 1,304,122 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,150,000 | 8.200%, 1/15/2039 | 1,581,710 | ||||||
| Community Health Systems, Inc. | ||||||||
| 300,000 | 8.875%, 7/15/2015 | 309,000 | ||||||
| HCA, Inc. | ||||||||
| 300,000 | 7.250%, 9/15/2020 | 322,125 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 260,000 | 11.625%, 5/1/2014 | 299,000 | ||||||
| Kraft Foods, Inc. | ||||||||
| 1,150,000 | 5.375%, 2/10/2020 | 1,257,178 | ||||||
| 1,150,000 | 7.000%, 8/11/2037 | 1,339,676 | ||||||
| Mylan, Inc. | ||||||||
| 270,000 | 7.875%, 7/15/2020c | 296,325 | ||||||
| Reynolds Group Holdings, Ltd. | ||||||||
| 320,000 | 6.875%, 2/15/2021c | 312,000 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,150,000 | 6.875%, 2/15/2038 | 1,314,951 | ||||||
| 1,150,000 | 5.700%, 10/15/2040 | 1,137,608 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 12,705,301 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
| Denbury Resources, Inc. | ||||||||
| 300,000 | 9.750%, 3/1/2016 | 335,250 | ||||||
| Linn Energy, LLC | ||||||||
| 300,000 | 7.750%, 2/1/2021c | 312,000 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 220,000 | 7.500%, 1/15/2020 | 247,898 | ||||||
| Plains Exploration & Production Company | ||||||||
| 300,000 | 7.625%, 6/1/2018 | 315,000 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 300,000 | 8.000%, 6/1/2018c | 306,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Energy (0.2%) - continued | ||||||||
| Weatherford International, Ltd. | ||||||||
| $2,300,000 | 6.750%, 9/15/2040 | $ | 2,463,240 | |||||
|
| |||||||
| Total Energy | 3,979,388 | |||||||
|
| |||||||
| Financials (1.3%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 220,000 | 3.200%, 11/3/2014c | 230,913 | ||||||
| AXA SA | ||||||||
| 2,300,000 | 6.379%, 12/29/2049c,d | 2,012,500 | ||||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013c | 227,583 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 1,150,000 | 5.919%, 12/29/2049d | 952,071 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 220,000 | 2.600%, 7/2/2015c | 225,428 | ||||||
| Cie de Financement Foncier | ||||||||
| 225,000 | 2.250%, 3/7/2014c | 227,449 | ||||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014c | 228,060 | ||||||
| General Electric Capital Corporation | ||||||||
| 2,300,000 | 6.750%, 3/15/2032 | 2,555,420 | ||||||
| HCP, Inc. | ||||||||
| 2,300,000 | 6.750%, 2/1/2041 | 2,431,792 | ||||||
| Health Care REIT, Inc. | ||||||||
| 920,000 | 6.500%, 3/15/2041 | 901,056 | ||||||
| Icahn Enterprises, LP | ||||||||
| 235,000 | 8.000%, 1/15/2018 | 238,525 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 225,000 | 2.375%, 5/26/2015 | 232,442 | ||||||
| International Lease Finance Corporation | ||||||||
| 300,000 | 5.750%, 5/15/2016 | 295,415 | ||||||
| MetLife, Inc. | ||||||||
| 2,300,000 | 7.875%, 12/15/2037c | 2,402,826 | ||||||
| Prudential Financial, Inc. | ||||||||
| 2,300,000 | 6.200%, 11/15/2040 | 2,350,414 | ||||||
| QBE Capital Funding III, Ltd. | ||||||||
| 2,400,000 | 7.250%, 5/24/2041c | 2,408,098 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 1,150,000 | 6.750%, 12/15/2065 | 1,098,651 | ||||||
| Royal Bank of Canada | ||||||||
| 215,000 | 3.125%, 4/14/2015c | 223,505 | ||||||
| Stoneheath RE | ||||||||
| 1,200,000 | 6.868%, 12/29/2049d | 1,086,000 | ||||||
| Toronto-Dominion Bank | ||||||||
| 220,000 | 2.200%, 7/29/2015c | 222,926 | ||||||
| XL Capital, Ltd. | ||||||||
| 1,150,000 | 6.500%, 12/31/2049d | 1,055,125 | ||||||
| XL Group plc | ||||||||
| 2,300,000 | 6.250%, 5/15/2027 | 2,327,756 | ||||||
|
| |||||||
| Total Financials | 23,933,955 | |||||||
|
| |||||||
| Foreign Government (0.1%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 315,000 | 4.375%, 2/16/2021c | 326,937 | ||||||
| Kommunalbanken AS | ||||||||
| $225,000 | 2.750%, 5/5/2015c | 234,713 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 120,000 | 0.195%, 6/17/2013b | 119,930 | ||||||
|
| |||||||
| Total Foreign Government | 681,580 | |||||||
|
| |||||||
| Mortgage-Backed Securities (0.8%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 875,000 | 6.000%, 7/1/2041e | 960,996 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 225,000 | 4.000%, 7/1/2026e | 234,351 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 12,475,000 | 4.500%, 7/1/2041e,f | 12,905,774 | ||||||
| 225,000 | 5.000%, 7/1/2041e | 239,063 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 14,340,184 | |||||||
|
| |||||||
| Technology (<0.1%) | ||||||||
| Freescale Semiconductor, Inc. | ||||||||
| 285,000 | 9.250%, 4/15/2018c | 307,087 | ||||||
| Seagate HDD Cayman | ||||||||
| 340,000 | 7.750%, 12/15/2018c | 357,000 | ||||||
|
| |||||||
| Total Technology | 664,087 | |||||||
|
| |||||||
| Transportation (<0.1%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 300,000 | 9.500%, 9/15/2014c | 319,875 | ||||||
| Hertz Corporation | ||||||||
| 300,000 | 6.750%, 4/15/2019c | 297,000 | ||||||
|
| |||||||
| Total Transportation | 616,875 | |||||||
|
| |||||||
| U.S. Government and Agencies (1.4%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 90,000 | Zero Coupon, 1/7/2012c | 89,706 | ||||||
| 90,000 | Zero Coupon, 1/7/2014c | 87,169 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 225,000 | 2.125%, 9/15/2015 | 229,021 | ||||||
| Federal Home Loan Banks | ||||||||
| 870,000 | 5.375%, 5/18/2016 | 1,009,115 | ||||||
| 1,300,000 | 5.000%, 11/17/2017 | 1,493,322 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,355,000 | 0.750%, 3/28/2013 | 1,361,957 | ||||||
| 430,000 | 2.500%, 1/7/2014 | 448,910 | ||||||
| 595,000 | 4.875%, 6/13/2018 | 676,266 | ||||||
| Federal National Mortgage Association | ||||||||
| 710,000 | 1.250%, 2/27/2014 | 718,903 | ||||||
| 325,000 | 4.375%, 10/15/2015 | 360,152 | ||||||
| 255,000 | 6.250%, 5/15/2029 | 309,595 | ||||||
| Tennessee Valley Authority | ||||||||
| 200,000 | 5.250%, 9/15/2039 | 211,762 | ||||||
| U.S. Treasury Bonds | ||||||||
| 225,000 | 4.625%, 2/15/2040 | 234,598 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| U.S. Government and Agencies (1.4%) - continued | ||||||||
| $150,000 | 4.375%, 5/15/2041 | $ | 149,766 | |||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 67,622 | 2.125%, 2/15/2040 | 73,587 | ||||||
| U.S. Treasury Notes | ||||||||
| 2,005,000 | 0.750%, 6/15/2014 | 2,002,650 | ||||||
| 5,150,000 | 2.500%, 4/30/2015 | 5,401,062 | ||||||
| 475,000 | 2.000%, 1/31/2016 | 484,240 | ||||||
| 650,000 | 2.625%, 2/29/2016 | 680,265 | ||||||
| 1,550,000 | 3.250%, 3/31/2017 | 1,650,750 | ||||||
| 4,290,000 | 3.625%, 2/15/2021 | 4,473,329 | ||||||
| 455,000 | 7.625%, 2/15/2025 | 648,091 | ||||||
| 1,275,000 | 4.375%, 5/15/2040 | 1,274,209 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 291,260 | 3.375%, 1/15/2012 | 297,564 | ||||||
| 365,079 | 2.000%, 1/15/2014 | 393,316 | ||||||
| 306,179 | 1.625%, 1/15/2015 | 332,108 | ||||||
| 316,465 | 0.500%, 4/15/2015 | 330,063 | ||||||
| 267,223 | 2.500%, 7/15/2016 | 305,803 | ||||||
| 341,753 | 2.625%, 7/15/2017 | 397,555 | ||||||
| 308,373 | 1.125%, 1/15/2021 | 320,226 | ||||||
| 77,539 | 2.375%, 1/15/2025 | 89,121 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 26,534,181 | |||||||
|
| |||||||
| Utilities (0.3%) | ||||||||
| AES Corporation | ||||||||
| 330,000 | 7.375%, 7/1/2021c | 334,950 | ||||||
| Dominion Resources, Inc. | ||||||||
| 1,150,000 | 6.300%, 9/30/2066 | 1,122,688 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 637,000 | 6.625%, 10/15/2036 | 657,273 | ||||||
| 1,150,000 | 7.500%, 7/1/2038 | 1,301,987 | ||||||
| Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 300,000 | 6.500%, 8/15/2021 | 297,750 | ||||||
| Southern Union Company | ||||||||
| 2,300,000 | 7.200%, 11/1/2066 | 2,139,000 | ||||||
|
| |||||||
| Total Utilities | 5,853,648 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $177,795,561) | 180,522,891 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Financials (<0.1%) | |||||||
| 340 | Ally Financial, Inc., 7.000%c,d | 319,536 | ||||||
|
| |||||||
| Total Financials | 319,536 | |||||||
|
| |||||||
Total Preferred Stock (cost $322,487) | 319,536 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (11.5%)g | |||||||
| Barton Capital LLC | ||||||||
| 7,210,000 | 0.070%, 7/1/2011h | 7,210,000 | ||||||
| BNP Paribas Canada | ||||||||
| 3,000,000 | 0.100%, 7/5/2011 | 2,999,967 | ||||||
| Chariot Funding, LLC | ||||||||
| 10,000,000 | 0.130%, 7/22/2011 | 9,999,242 | ||||||
| Falcon Asset Securiptization Corporation | ||||||||
| 5,000,000 | 0.130%, 7/26/2011 | 4,999,549 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.033%, 7/6/2011 | 9,999,954 | ||||||
| 20,000,000 | 0.040%, 7/13/2011 | 19,999,733 | ||||||
| 10,000,000 | 0.045%, 7/15/2011 | 9,999,825 | ||||||
| 11,800,000 | 0.050%, 7/22/2011 | 11,799,656 | ||||||
| 8,175,000 | 0.050%, 7/27/2011 | 8,174,705 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 20,000,000 | 0.050%, 7/15/2011 | 19,999,611 | ||||||
| 7,700,000 | 0.145%, 8/29/2011i,j | 7,698,194 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.010%, 7/8/2011 | 4,999,990 | ||||||
| 10,000,000 | 0.040%, 7/13/2011 | 9,999,867 | ||||||
| 50,000,000 | 0.050%, 7/21/2011 | 49,998,611 | ||||||
| Liberty Street Funding, LLC | ||||||||
| 25,000,000 | 0.140%, 7/12/2011 | 24,998,930 | ||||||
| Thunder Bay Funding, LLC | ||||||||
| 6,000,000 | 0.130%, 7/21/2011 | 5,999,567 | ||||||
| U.S. Treasury Bills | ||||||||
| 4,000,000 | 0.134%, 8/18/2011i | 3,999,287 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 212,876,688 | |||||||
|
| |||||||
| Total Investments (cost $1,831,674,436) 100.3% | $ | 1,863,917,659 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.3%) | (6,395,238 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,857,522,421 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $17,594,501 or 0.9% of total net assets. |
| 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 investments purchased on a when-issued or delayed delivery basis. |
| f | All or a portion of the security was earmarked to cover written options. |
| g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| h | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| i | At June 30, 2011, $10,497,763 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| j | At June 30, 2011, $764,821 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
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. | ||
| TIPS | - | Treasury Inflation Protected Security. | ||
| 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 | $ | 61,364,344 | ||
Gross unrealized depreciation | (29,186,637 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 32,177,707 | ||
Cost for federal income tax purposes | $ | 1,831,739,952 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Moderately Conservative Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 427,891,271 | 427,891,271 | — | — | ||||||||||||
Fixed Income Mutual Funds | 862,872,701 | 862,872,701 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 16,737,759 | — | 16,737,759 | — | ||||||||||||
Basic Materials | 5,826,547 | — | 5,826,547 | — | ||||||||||||
Capital Goods | 1,284,267 | — | 1,284,267 | — | ||||||||||||
Collateralized Mortgage Obligations | 18,677,312 | — | 18,677,312 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 36,215,656 | — | 36,215,656 | — | ||||||||||||
Communications Services | 7,947,366 | — | 7,947,366 | — | ||||||||||||
Consumer Cyclical | 4,524,785 | — | 4,524,785 | — | ||||||||||||
Consumer Non-Cyclical | 12,705,301 | — | 12,705,301 | — | ||||||||||||
Energy | 3,979,388 | — | 3,979,388 | — | ||||||||||||
Financials | 23,933,955 | — | 22,847,955 | 1,086,000 | ||||||||||||
Foreign Government | 681,580 | — | 681,580 | — | ||||||||||||
Mortgage-Backed Securities | 14,340,184 | — | 14,340,184 | — | ||||||||||||
Technology | 664,087 | — | 664,087 | — | ||||||||||||
Transportation | 616,875 | — | 616,875 | — | ||||||||||||
U.S. Government and Agencies | 26,534,181 | — | 26,534,181 | — | ||||||||||||
Utilities | 5,853,648 | — | 5,853,648 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 14,348,883 | 14,348,883 | — | — | ||||||||||||
Consumer Staples | 12,186,389 | 12,186,389 | — | — | ||||||||||||
Energy | 21,346,967 | 20,775,414 | �� | 571,553 | — | |||||||||||
Financials | 23,589,787 | 23,589,787 | — | — | ||||||||||||
Health Care | 24,819,230 | 24,819,230 | — | — | ||||||||||||
Industrials | 20,148,138 | 20,148,138 | — | — | ||||||||||||
Information Technology | 47,013,995 | 47,013,995 | — | — | ||||||||||||
Materials | 8,548,338 | 8,548,338 | — | — | ||||||||||||
Telecommunications Services | 3,513,630 | 3,513,630 | — | — | ||||||||||||
Utilities | 3,919,215 | 3,919,215 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 319,536 | — | 319,536 | — | ||||||||||||
Short-Term Investments | 212,876,688 | — | 212,876,688 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,863,917,659 | $ | 1,469,626,991 | $ | 393,204,668 | $ | 1,086,000 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 4,528,816 | 4,528,816 | — | — | ||||||||||||
Call Options Written | 719 | — | — | 719 | ||||||||||||
Credit Default Swaps | 167,632 | — | 167,632 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 4,697,167 | $ | 4,528,816 | $ | 167,632 | $ | 719 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 2,665,937 | 2,665,937 | — | — | ||||||||||||
Credit Default Swaps | 26,432 | — | 26,432 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 2,692,369 | $ | 2,665,937 | $ | 26,432 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value for Moderately Conservative Allocation Portfolio.
Investments in Securities | Value December 31, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income Financials | — | — | (24,000 | ) | 1,110,000 | — | — | — | 1,086,000 | |||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Call Options Written | — | — | 719 | — | — | — | — | 719 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | — | $ | — | ($ | 23,281 | ) | $ | 1,110,000 | $ | — | $ | — | $ | — | $ | 1,086,719 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of ($23,281). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (250 | ) | September 2011 | ($ | 54,714,083 | ) | ($ | 54,835,938 | ) | ($ | 121,855 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | (585 | ) | September 2011 | (69,279,584 | ) | (69,729,256 | ) | (449,672 | ) | |||||||||||
Mini MSCI EAFE Index Futures | 188 | September 2011 | 15,599,737 | 16,129,460 | 529,723 | |||||||||||||||
Russell 2000 Index Mini-Futures | (217 | ) | September 2011 | (17,092,591 | ) | (17,911,180 | ) | (818,589 | ) | |||||||||||
S&P 400 Index Mini-Futures | (367 | ) | September 2011 | (34,561,730 | ) | (35,837,551 | ) | (1,275,821 | ) | |||||||||||
S&P 500 Index Futures | 416 | September 2011 | 132,812,907 | 136,812,000 | 3,999,093 | |||||||||||||||
Total Futures Contracts | $ | 1,862,879 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
Federal National Mortgage Association Conventional 30 Yr. Pass Through | 1 | $ | 104.45 | July 2011 | ($ | 94 | ) | $ | 719 | |||||||||||
Total Call Options Written | ($ | 94 | ) | $ | 719 | |||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2015 | $ | 7,000,000 | $ | 285,775 | ($ | 219,118 | ) | $ | 66,657 | |||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 10,000,000 | 414,001 | (313,026 | ) | 100,975 | |||||||||||||||
CDX HY, Series 15, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2015 | 10,000,000 | 286,594 | (313,026 | ) | (26,432 | ) | ||||||||||||||
Total Credit Default Swaps | ($ | 845,170 | ) | $ | 141,200 | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | ||||||
Interest Rate Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 719 | |||
Total Interest Rate Contracts | 719 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,528,816 | ||||
Total Equity Contracts | 4,528,816 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 167,632 | ||||
Total Credit Contracts | 167,632 | |||||
|
| |||||
Total Asset Derivatives | $ | 4,697,167 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,094,410 | ||||
Total Equity Contracts | 2,094,410 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 571,527 | ||||
Total Interest Rate Contracts | 571,527 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 26,432 | ||||
Total Credit Contracts | 26,432 | |||||
|
| |||||
Total Liability Derivatives | $ | 2,692,369 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 2,618,399 | ||||
Total Equity Contracts | 2,618,399 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (3,202 | ) | |||
Total Foreign Exchange Contracts | (3,202 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (1,687,515 | ) | |||
Total Interest Rate Contracts | (1,687,515 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (406,578 | ) | |||
Total Credit Contracts | (406,578 | ) | ||||
|
| |||||
Total | $ | 521,104 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | ||||
Interest Rate Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 719 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (571,527 | ) | |||
Total Interest Rate Contracts | (570,808 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 1,294,519 | ||||
Total Equity Contracts | 1,294,519 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 141,200 | ||||
Total Credit Contracts | 141,200 | |||||
|
| |||||
Total | $ | 864,911 | ||||
|
| |||||
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
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) | ||||||||||||||||||
Equity Contracts | $ | 160,622,936 | 9.3 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 68,717,338 | 4.0 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 12,170 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 20,118,574 | 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 Moderately Conservative Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 28,695,550 | $ | — | $ | — | 1,980,178 | $ | 31,789,182 | $ | — | |||||||||||||
Partner Small Cap Value | 24,064,028 | 51,626 | — | 1,265,037 | 25,019,022 | 51,626 | ||||||||||||||||||
Small Cap Stock | 20,449,739 | — | — | 1,614,844 | 21,789,898 | — | ||||||||||||||||||
Partner Mid Cap Value | 28,491,230 | 61,770 | — | 2,133,199 | 30,221,664 | 61,770 | ||||||||||||||||||
Mid Cap Stock | 35,852,618 | 16,352 | — | 2,927,221 | 37,907,804 | 16,352 | ||||||||||||||||||
Partner Worldwide Allocation | 71,557,285 | 7,041,163 | — | 8,931,119 | 81,667,939 | 41,163 | ||||||||||||||||||
Partner International Stock | 40,475,646 | 14,871 | — | 3,793,944 | 42,480,408 | 14,871 | ||||||||||||||||||
Large Cap Growth II | 37,077,121 | 751,749 | — | 5,454,098 | 38,433,940 | 52,981 | ||||||||||||||||||
Large Cap Value | 80,030,955 | 18,007 | — | 7,462,376 | 83,375,638 | 18,007 | ||||||||||||||||||
Large Cap Stock | 23,174,261 | 2,739 | — | 2,726,514 | 24,068,574 | 2,739 | ||||||||||||||||||
Equity Income Plus | 10,492,477 | 29,394 | — | 1,161,468 | 11,137,202 | 29,394 | ||||||||||||||||||
High Yield | 66,783,491 | 13,142,477 | 6,929,296 | 15,152,232 | 73,420,139 | 2,633,610 | ||||||||||||||||||
Income | 205,832,967 | 32,795,021 | 43,446 | 23,923,643 | 240,911,087 | 5,244,689 | ||||||||||||||||||
Limited Maturity Bond | 475,692,869 | 72,082,999 | 103,602 | 55,848,815 | 548,541,475 | 6,386,053 | ||||||||||||||||||
Total Value and Income Earned | 1,148,670,237 | 1,290,763,972 | 14,553,254 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.7%) | Value | ||||||
| Communications Equipment (5.7%) | ||||||||
| 35,430 | QUALCOMM, Inc. | $ | 2,012,070 | |||||
|
| |||||||
| Total Communications Equipment | 2,012,070 | |||||||
|
| |||||||
| Computers & Peripherals (13.0%) | ||||||||
| 8,609 | Apple, Inc.a | 2,889,783 | ||||||
| 32,287 | NetApp, Inc.a | 1,704,108 | ||||||
|
| |||||||
| Total Computers & Peripherals | 4,593,891 | |||||||
|
| |||||||
| Consumer Discretionary (7.8%) | ||||||||
| 28,777 | Coinstar, Inc.a,b | 1,569,498 | ||||||
| 25,360 | GameStop Corporationa,b | 676,351 | ||||||
| 27,333 | Pandora Media, Inc.a,b | 516,867 | ||||||
|
| |||||||
| Total Consumer Discretionary | 2,762,716 | |||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (8.1%) | ||||||||
| 26,087 | Amphenol Corporation | 1,408,437 | ||||||
| 23,353 | Dolby Laboratories, Inc.a | 991,568 | ||||||
| 11,752 | DTS, Inc.a | 476,544 | ||||||
|
| |||||||
| Total Electronic Equipment, Instruments & Components | 2,876,549 | |||||||
|
| |||||||
| Financials (2.0%) | ||||||||
| 5,619 | IntercontinentalExchange, Inc.a | 700,745 | ||||||
|
| |||||||
| Total Financials | 700,745 | |||||||
|
| |||||||
| Industrials (2.0%) | ||||||||
| 28,086 | DigitalGlobe, Inc.a | 713,665 | ||||||
|
| |||||||
| Total Industrials | 713,665 | |||||||
|
| |||||||
| Internet Software & Services (12.5%) | ||||||||
| 23,060 | 21Vianet Group, Inc. ADRa,b | 316,844 | ||||||
| 6,954 | Equinix, Inc.a | 702,493 | ||||||
| 3,103 | Google, Inc.a | 1,571,297 | ||||||
| 24,971 | Rackspace Hosting, Inc.a | 1,067,261 | ||||||
| 44,313 | Renren, Inc. ADRa,b | 392,170 | ||||||
| 11,044 | Yandex NVa | 392,173 | ||||||
|
| |||||||
| Total Internet Software & Services | 4,442,238 | |||||||
|
| |||||||
| IT Consulting & Services (6.9%) | ||||||||
| 15,999 | Global Payments, Inc. | 815,949 | ||||||
| 38,904 | InterXion Holding NVa | 589,006 | ||||||
| 26,270 | iSoftstone Holdings, Ltd. ADRa | 402,194 | ||||||
| 14,554 | VeriFone Systems, Inc.a | 645,470 | ||||||
|
| |||||||
| Total IT Consulting & Services | 2,452,619 | |||||||
|
| |||||||
| Materials (2.2%) | ||||||||
| 52,845 | STR Holdings, Inc.a,b | 788,447 | ||||||
|
| |||||||
| Total Materials | 788,447 | |||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (13.2%) | ||||||||
| 16,881 | Altera Corporation | 782,434 | ||||||
| 12,198 | Cavium, Inc.a,b | 531,711 | ||||||
| 17,135 | Linear Technology Corporation | 565,798 | ||||||
| 40,764 | NVIDIA Corporationa | 649,574 | ||||||
| 15,702 | Texas Instruments, Inc. | 515,497 | ||||||
| 44,998 | Xilinx, Inc. | 1,641,077 | ||||||
|
| |||||||
| Total Semiconductors & Semiconductor Equipment | 4,686,091 | |||||||
|
| |||||||
| Software (20.9%) | ||||||||
| 12,011 | Citrix Systems, Inc.a | 960,880 | ||||||
| 24,145 | Microsoft Corporation | 627,770 | ||||||
| 38,328 | Oracle Corporation | 1,261,375 | ||||||
| 45,921 | RealD, Inc.a,b | 1,074,092 | ||||||
| 18,243 | Rovi Corporationa | 1,046,419 | ||||||
| 9,787 | Salesforce.com, Inc.a | 1,458,067 | ||||||
| 32,873 | SuccessFactors, Inc.a | 966,466 | ||||||
|
| |||||||
| Total Software | 7,395,069 | |||||||
|
| |||||||
| Telecommunications Services (4.4%) | ||||||||
| 13,440 | American Tower Corporationa | 702,912 | ||||||
| 22,353 | SBA Communications Corporationa | 853,661 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,556,573 | |||||||
|
| |||||||
Total Common Stock (cost $26,893,841) | 34,980,673 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (15.5%) | ||||||||
| 5,471,335 | Thrivent Financial Securities Lending Trust | 5,471,335 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $5,471,335) | 5,471,335 | |||||||
|
| |||||||
| Total Investments (cost $32,365,176) 114.2% | $ | 40,452,008 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (14.2%) | (5,025,849 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 35,426,159 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
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 | $ | 8,421,997 | ||||||
Gross unrealized depreciation | (833,287 | ) | ||||||
|
| |||||||
Net unrealized appreciation (depreciation) | $ | 7,588,710 | ||||||
Cost for federal income tax purposes | $ | 32,863,298 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Table of Contents
Partner Technology Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Technology Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Equipment | 2,012,070 | 2,012,070 | — | — | ||||||||||||
Computers & Peripherals | 4,593,891 | 4,593,891 | — | — | ||||||||||||
Consumer Discretionary | 2,762,716 | 2,762,716 | — | — | ||||||||||||
Electronic Equipment, Instruments & Components | 2,876,549 | 2,876,549 | — | — | ||||||||||||
Financials | 700,745 | 700,745 | — | — | ||||||||||||
Industrials | 713,665 | 713,665 | — | — | ||||||||||||
Internet Software & Services | 4,442,238 | 4,442,238 | — | — | ||||||||||||
IT Consulting & Services | 2,452,619 | 2,452,619 | — | — | ||||||||||||
Materials | 788,447 | 788,447 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 4,686,091 | 4,686,091 | — | — | ||||||||||||
Software | 7,395,069 | 7,395,069 | — | — | ||||||||||||
Telecommunications Services | 1,556,573 | 1,556,573 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 5,471,335 | 5,471,335 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 40,452,008 | $ | 40,452,008 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 5,439,525 | $ | 16,788,043 | $ | 16,756,233 | 5,471,335 | $ | 5,471,335 | $ | 22,513 | |||||||||||||
Total Value and Income Earned | 5,439,525 | 5,471,335 | 22,513 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.6%) | Value | ||||||
| Biotechnology (26.8%) | ||||||||
| 16,340 | Amgen, Inc.a | $ | 953,438 | |||||
| 23,482 | ARIAD Pharmaceuticals, Inc.a | 266,051 | ||||||
| 8,200 | Biogen Idec, Inc.a | 876,744 | ||||||
| 18,443 | BioMarin Pharmaceutical, Inc.a | 501,834 | ||||||
| 14,700 | Celgene Corporationa | 886,704 | ||||||
| 6,800 | Intercell AGa | 28,039 | ||||||
| 10,900 | InterMune, Inc.a | 390,765 | ||||||
| 13,300 | Onyx Pharmaceuticals, Inc.a | 469,490 | ||||||
| 17,200 | Savient Pharmaceuticals, Inc.a | 128,828 | ||||||
| 9,745 | United Therapeutics Corporationa | 536,950 | ||||||
| 4,200 | Vertex Pharmaceuticals, Inc.a | 218,358 | ||||||
|
| |||||||
| Total Biotechnology | 5,257,201 | |||||||
|
| |||||||
| Health Care Equipment (18.8%) | ||||||||
| 14,433 | Dexcom, Inc.a | 209,134 | ||||||
| 15,289 | Given Imaging, Ltd.a | 311,131 | ||||||
| 2,898 | HeartWare International, Inc.a | 214,684 | ||||||
| 24,900 | Medtronic, Inc. | 959,397 | ||||||
| 14,300 | St. Jude Medical, Inc. | 681,824 | ||||||
| 6,900 | Stryker Corporation | 404,961 | ||||||
| 8,747 | Thoratec Corporationa | 287,077 | ||||||
| 8,862 | Varian Medical Systems, Inc.a | 620,517 | ||||||
|
| |||||||
| Total Health Care Equipment | 3,688,725 | |||||||
|
| |||||||
| Health Care Supplies (2.2%) | ||||||||
| 18,773 | Align Technology, Inc.a | 428,025 | ||||||
|
| |||||||
| Total Health Care Supplies | 428,025 | |||||||
|
| |||||||
| Life Sciences Tools & Services (3.0%) | ||||||||
| 7,600 | Life Technologies Corporationa | 395,732 | ||||||
| 25,855 | Sequenom, Inc.a | 195,205 | ||||||
|
| |||||||
| Total Life Sciences Tools & Services | 590,937 | |||||||
|
| |||||||
| Pharmaceuticals (47.8%) | ||||||||
| 533,999 | CFR Pharmaceuticals SAa | 145,111 | ||||||
| 4,892 | Dr. Reddy’s Laboratories, Ltd. ADR | 167,942 | ||||||
| 63,800 | GlaxoSmithKline plc | 1,367,435 | ||||||
| 33,597 | Hikma Pharmaceuticals plc | 410,120 | ||||||
| 13,672 | Hospira, Inc.a | 774,655 | ||||||
| 42,700 | Mylan, Inc.a | 1,053,409 | ||||||
| 7,909 | Nichi-iko Pharmaceutical Company, Ltd.a | 210,675 | ||||||
| 25,000 | Novartis AG | 1,532,086 | ||||||
| 8,940 | Novo Nordisk A/S ADR | 1,120,003 | ||||||
| 11,796 | Pharmstandard GDRa | 270,270 | ||||||
| 7,010 | Roche Holding AG | 1,173,550 | ||||||
| 5,071 | Sawai Pharmaceutical Company, Ltd.a | 534,290 | ||||||
| 10,400 | Teva Pharmaceutical Industries, Ltd. ADR | 501,488 | ||||||
| 1,720 | Towa Pharmaceutical Company, Ltd.a | 103,754 | ||||||
| Total Pharmaceuticals | 9,364,788 | |||||||
|
| |||||||
Total Common Stock (cost $16,291,276) | 19,329,676 | |||||||
|
| |||||||
| Total Investments (cost $16,291,276) 98.6% | $ | 19,329,676 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.4% | 283,601 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 19,613,277 | ||||||
|
| |||||||
| 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 | $ | 3,262,019 | ||
| Gross unrealized depreciation | (224,223 | ) | ||
|
| |||
| Net unrealized appreciation (depreciation) | $ | 3,037,796 | ||
| Cost for federal income tax purposes | $ | 16,291,880 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Table of Contents
Partner Healthcare Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Healthcare Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Biotechnology | 5,257,201 | 5,229,162 | 28,039 | — | ||||||||||||
Health Care Equipment | 3,688,725 | 3,688,725 | — | — | ||||||||||||
Health Care Supplies | 428,025 | 428,025 | — | — | ||||||||||||
Life Sciences Tools & Services | 590,937 | 590,937 | — | — | ||||||||||||
Pharmaceuticals | 9,364,788 | 3,887,767 | 5,477,021 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,329,676 | $ | 13,824,616 | $ | 5,505,060 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 34 | — | 34 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 34 | $ | — | $ | 34 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales | ||||||||||||||||||||||||
EURO | SSB | 3,071 | 7/1/2011 | $ | 4,419 | $ | 4,453 | ($ | 34 | ) | ||||||||||||||
Total Sales | $ | 4,419 | $ | 4,453 | ($ | 34 | ) | |||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts |
| ($ | 34 | ) | ||||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, for Partner Healthcare 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 | 34 | ||||
Total Foreign Exchange Contracts | 34 | |||||
|
| |||||
Total Liability Derivatives | $ | 34 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | (2,926 | ) | |||
Total Foreign Exchange Contracts | (2,926 | ) | ||||
|
| |||||
Total | ($ | 2,926 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
Table of Contents
Partner Healthcare Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, for Partner Healthcare 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 | (34 | ) | |||
Total Foreign Exchange Contracts | (34 | ) | ||||
|
| |||||
Total | ($34 | ) | ||||
|
| |||||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 39,408 | 0.2 | |||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
Table of Contents
Partner Natural Resources Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (90.7%) | Value | ||||||
| Coal & Consumable Fuels (11.0%) | ||||||||
| 22,614 | Alpha Natural Resources, Inc.a | $ | 1,027,580 | |||||
| 29,700 | Arch Coal, Inc. | 791,802 | ||||||
| 38,577 | Patriot Coal Corporationa | 858,724 | ||||||
| 26,594 | Peabody Energy Corporation | 1,566,653 | ||||||
| 11,297 | Uranium Energy Corporation Warrants, $3.95, expires 10/22/2011a,b | 0 | ||||||
|
| |||||||
| Total Coal & Consumable Fuels | 4,244,759 | |||||||
|
| |||||||
| Consumer Staples (9.2%) | ||||||||
| 24,403 | Archer-Daniels-Midland Company | 735,750 | ||||||
| 12,810 | Bunge, Ltd. | 883,250 | ||||||
| 17,495 | Corn Products International, Inc. | 967,124 | ||||||
| 11,643 | Diageo plc ADR | 953,212 | ||||||
|
| |||||||
| Total Consumer Staples | 3,539,336 | |||||||
|
| |||||||
| Financials (14.5%) | ||||||||
| 9,435 | Boston Properties, Inc. | 1,001,620 | ||||||
| 15,886 | Equity Residential | 953,160 | ||||||
| 49,192 | Host Hotels & Resorts, Inc. | 833,804 | ||||||
| 7,994 | Public Storage, Inc. | 911,396 | ||||||
| 8,279 | Simon Property Group, Inc. | 962,268 | ||||||
| 10,060 | Vornado Realty Trust | 937,391 | ||||||
|
| |||||||
| Total Financials | 5,599,639 | |||||||
|
| |||||||
| Integrated Oil & Gas (10.9%) | ||||||||
| 19,315 | BP plc ADR | 855,461 | ||||||
| 8,329 | Chevron Corporation | 856,555 | ||||||
| 11,237 | ConocoPhillips | 844,910 | ||||||
| 8,682 | Occidental Petroleum Corporation | 903,275 | ||||||
| 22,126 | Petroleo Brasileiro SA ADR | 749,186 | ||||||
|
| |||||||
| Total Integrated Oil & Gas | 4,209,387 | |||||||
|
| |||||||
| Materials (18.6%) | ||||||||
| 53,276 | Alcoa, Inc. | 844,958 | ||||||
| 6,898 | CF Industries Holdings, Inc. | 977,240 | ||||||
| 16,708 | Freeport-McMoRan Copper & Gold, Inc. | 883,853 | ||||||
| 12,632 | Monsanto Company | 916,325 | ||||||
| 15,703 | Potash Corporation of Saskatchewan, Inc. | 894,914 | ||||||
| 39,133 | Stillwater Mining Companya | 861,317 | ||||||
| 13,494 | Syngenta AG ADRa | 911,655 | ||||||
| 7,475 | Walter Energy, Inc. | 865,605 | ||||||
|
| |||||||
| Total Materials | 7,155,867 | |||||||
|
| |||||||
| Oil & Gas Drilling (3.8%) | ||||||||
| 15,304 | ENSCO International plc ADR | 815,703 | ||||||
| 25,700 | Nabors Industries, Ltd.a | 633,248 | ||||||
|
| |||||||
| Total Oil & Gas Drilling | 1,448,951 | |||||||
|
| |||||||
| Oil & Gas Equipment & Services (13.9%) | ||||||||
| 12,491 | Baker Hughes, Inc. | 906,347 | ||||||
| 14,420 | Cameron International Corporationa | 725,182 | ||||||
| 11,301 | Dril-Quip, Inc.a | 766,547 | ||||||
| 59,324 | Global Geophysical Services, Inc.a | 1,055,967 | ||||||
| 1,149 | National Oilwell Varco, Inc. | 89,863 | ||||||
| 12,222 | Oil States International, Inc.a | 976,660 | ||||||
| 9,793 | Schlumberger, Ltd. | 846,115 | ||||||
|
| |||||||
| Total Oil & Gas Equipment & Services | 5,366,681 | |||||||
|
| |||||||
| Oil & Gas Exploration & Production (8.8%) | ||||||||
| 7,088 | Apache Corporation | 874,588 | ||||||
| 24,499 | Plains Exploration & Production Companya | 933,902 | ||||||
| 18,500 | Ultra Petroleum Corporationa | 847,300 | ||||||
| 12,932 | Whiting Petroleum Corporationa | 735,960 | ||||||
|
| |||||||
| Total Oil & Gas Exploration & Production | 3,391,750 | |||||||
|
| |||||||
Total Common Stock (cost $33,132,874) | 34,956,370 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (6.5%)c | |||||||
| 2,500,000 | Federal National Mortgage Association Discount Notes 0.010%, 7/8/2011 | 2,499,995 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 2,499,995 | |||||||
|
| |||||||
| Total Investments (cost $35,632,869) 97.2% | $ | 37,456,365 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 2.8% | 1,092,444 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 38,548,809 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Security is fair valued. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,714,709 | ||
Gross unrealized depreciation | (928,371 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 1,786,338 | ||
Cost for federal income tax purposes | $ | 35,670,027 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
Table of Contents
Partner Natural Resources Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Natural Resources Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Coal & Consumable Fuels | 4,244,759 | 4,244,759 | — | — | ||||||||||||
Consumer Staples | 3,539,336 | 3,539,336 | — | — | ||||||||||||
Financials | 5,599,639 | 5,599,639 | — | — | ||||||||||||
Integrated Oil & Gas | 4,209,387 | 4,209,387 | — | — | ||||||||||||
Materials | 7,155,867 | 7,155,867 | — | — | ||||||||||||
Oil & Gas Drilling | 1,448,951 | 1,448,951 | — | — | ||||||||||||
Oil & Gas Equipment & Services | 5,366,681 | 5,366,681 | — | — | ||||||||||||
Oil & Gas Exploration & Production | 3,391,750 | 3,391,750 | — | — | ||||||||||||
Short-Term Investments | 2,499,995 | — | 2,499,995 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 37,456,365 | $ | 34,956,370 | $ | 2,499,995 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Common Stock Coal & Consumable Fuels^ | 23,611 | — | (23,611 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 23,611 | $ | — | ($ | 23,611 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| ^ | Securities in these sections are fair valued at $0. |
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of ($23,611). |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, for Partner Natural Resources Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (5,811 | ) | |||
Total Foreign Exchange Contracts | (5,811 | ) | ||||
|
| |||||
Total | ($ | 5,811 | ) | |||
|
| |||||
The following table presents Partner Natural Resources Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 48,307 | 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.
144
Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (96.8%) | Value | ||||||
| Brazil (17.8%) | ||||||||
| 70,072 | Banco Bradesco SA ADR | $ | 1,435,775 | |||||
| 19,821 | Lojas Renner SA | 755,781 | ||||||
| 22,000 | Multiplan Empreendimentos Imobiliarios SA | 482,373 | ||||||
| 45,500 | Petroleo Brasileiro SA PREF ADR | 1,395,940 | ||||||
| 66,500 | Souza Cruz SA | 839,399 | ||||||
| 59,400 | Ultrapar Participacoes SA | 1,055,780 | ||||||
| 60,947 | Vale SA SP PREF ADR | 1,765,025 | ||||||
|
| |||||||
| Total Brazil | 7,730,073 | |||||||
|
| |||||||
| Chile (1.9%) | ||||||||
| 8,800 | Banco Santander Chile SA ADR | 825,528 | ||||||
|
| |||||||
| Total Chile | 825,528 | |||||||
|
| |||||||
| China (3.2%) | ||||||||
| 931,000 | PetroChina Company, Ltd. | 1,367,434 | ||||||
|
| |||||||
| Total China | 1,367,434 | |||||||
|
| |||||||
| Hong Kong (10.2%) | ||||||||
| 220,000 | AIA Group, Ltd.a | 765,826 | ||||||
| 167,000 | China Mobile, Ltd. | 1,554,733 | ||||||
| 160,000 | Hang Lung Group, Ltd. | 1,015,949 | ||||||
| 60,000 | Swire Pacific, Ltd., Class A | 883,375 | ||||||
| 60,000 | Swire Pacific, Ltd., Class B | 171,566 | ||||||
|
| |||||||
| Total Hong Kong | 4,391,449 | |||||||
|
| |||||||
| Hungary (2.5%) | ||||||||
| 5,371 | Richter Gedeon Nyrt | 1,060,811 | ||||||
|
| |||||||
| Total Hungary | 1,060,811 | |||||||
|
| |||||||
| India (12.6%) | ||||||||
| 60,000 | Bharti Airtel, Ltd. | 531,239 | ||||||
| 6,500 | GlaxoSmithKline Pharmaceuticals, Ltd. | 341,725 | ||||||
| 2,200 | Grasim Industries, Ltd. | 103,258 | ||||||
| 4,350 | Grasim Industries, Ltd. GDR | 203,758 | ||||||
| 18,800 | Hero Honda Motors, Ltd. | 790,520 | ||||||
| 70,000 | Hindustan Unilever, Ltd. | 538,872 | ||||||
| 70,050 | Housing Development Finance Corporation | 1,110,478 | ||||||
| 14,000 | ICICI Bank, Ltd. | 344,109 | ||||||
| 5,000 | ICICI Bank, Ltd. ADR | 246,500 | ||||||
| 11,000 | Infosys, Ltd. | 717,646 | ||||||
| 3,900 | Infosys, Ltd. ADR | 254,397 | ||||||
| 12,947 | Ultra Tech Cement, Ltd.a | 269,878 | ||||||
| 2,484 | Ultra Tech Cement, Ltd. GDRa | 51,672 | ||||||
|
| |||||||
| Total India | 5,504,052 | |||||||
|
| |||||||
| Indonesia (3.3%) | ||||||||
| 190,000 | PT Astra International Tbk | 1,412,359 | ||||||
|
| |||||||
| Total Indonesia | 1,412,359 | |||||||
|
| |||||||
| Luxembourg (1.9%) | ||||||||
| 18,100 | Tenaris SA ADR | 827,713 | ||||||
|
| |||||||
| Total Luxembourg | 827,713 | |||||||
|
| |||||||
| Malaysia (3.2%) | ||||||||
| 320,000 | CIMB Group Holdings Berhad | 947,802 | ||||||
| 96,500 | Public Bank Berhad | 424,066 | ||||||
|
| |||||||
| Total Malaysia | 1,371,868 | |||||||
|
| |||||||
| Mexico (7.7%) | ||||||||
| 22,200 | Fomento Economico Mexicano SAB de CV ADR | 1,476,077 | ||||||
| 6,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 400,792 | ||||||
| 239,000 | Grupo Financiero Banorte SAB de CV ADR | 1,085,130 | ||||||
| 120,300 | Organizacion Soriana SAB de CV | 360,741 | ||||||
|
| |||||||
| Total Mexico | 3,322,740 | |||||||
|
| |||||||
| Philippines (2.3%) | ||||||||
| 1,523,700 | Ayala Land, Inc. | 550,037 | ||||||
| 312,897 | Bank of the Philippine Islands | 423,465 | ||||||
|
| |||||||
| Total Philippines | 973,502 | |||||||
|
| |||||||
| Poland (1.6%) | ||||||||
| 11,790 | Bank Pekao SA | 697,613 | ||||||
|
| |||||||
| Total Poland | 697,613 | |||||||
|
| |||||||
| Russia (2.7%) | ||||||||
| 18,400 | LUKOIL ADR | 1,172,126 | ||||||
|
| |||||||
| Total Russia | 1,172,126 | |||||||
|
| |||||||
| South Africa (3.5%) | ||||||||
| 29,047 | Massmart Holdings, Ltd. | 601,412 | ||||||
| 82,800 | Truworths International, Ltd. | 898,422 | ||||||
|
| |||||||
| Total South Africa | 1,499,834 | |||||||
|
| |||||||
| South Korea (5.0%) | ||||||||
| 1,670 | E-Mart Company, Ltd.a | 382,443 | ||||||
| 2,250 | Samsung Electronics Company, Ltd. | 1,183,591 | ||||||
| 1,570 | Samsung Electronics Company, Ltd. GDR | 413,332 | ||||||
| 589 | Shinsegae Company, Ltd. | 187,295 | ||||||
|
| |||||||
| Total South Korea | 2,166,661 | |||||||
|
| |||||||
| Taiwan (5.1%) | ||||||||
| 220,000 | Taiwan Mobile Company, Ltd. | 596,742 | ||||||
| 635,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 1,601,621 | ||||||
|
| |||||||
| Total Taiwan | 2,198,363 | |||||||
|
| |||||||
| Thailand (5.3%) | ||||||||
| 165,000 | PTT Exploration & Production pcl | 921,510 | ||||||
| 70,000 | Siam Cement pcl | 931,095 | ||||||
| 119,000 | Siam Commercial Bank pcl | 431,537 | ||||||
|
| |||||||
| Total Thailand | 2,284,142 | |||||||
|
| |||||||
| Turkey (4.5%) | ||||||||
| 262,833 | Akbank TAS | 1,215,866 | ||||||
| 17,799 | BIM Birlesik Magazalar AS | 578,495 | ||||||
| 35,391 | Turkiye Garanti Bankasi AS | 160,596 | ||||||
|
| |||||||
| Total Turkey | 1,954,957 | |||||||
|
| |||||||
| United Kingdom (2.5%) | ||||||||
| 492 | SABMiller plc | 17,828 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
Table of Contents
Partner Emerging Markets Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (96.8%) | Value | ||||||
| United Kingdom (2.5%) - continued | ||||||||
| 39,950 | Standard Chartered plc | $ | 1,049,343 | |||||
|
| |||||||
| Total United Kingdom | 1,067,171 | |||||||
|
| |||||||
Total Common Stock (cost $34,694,735) | 41,828,396 | |||||||
|
| |||||||
| Total Investments (cost $34,694,735) 96.8% | $ | 41,828,396 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 3.2% | 1,397,846 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 43,226,242 | ||||||
|
| |||||||
| 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 | $ | 7,852,464 | ||
Gross unrealized depreciation | (1,009,452 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 6,843,012 | ||
Cost for federal income tax purposes | $ | 34,985,384 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Emerging Markets Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 4,787,561 | — | 4,787,561 | — | ||||||||||||
Consumer Staples | 4,052,083 | 1,476,077 | 2,576,006 | — | ||||||||||||
Energy | 6,740,503 | 3,395,779 | 3,344,724 | — | ||||||||||||
Financials | 12,729,620 | 2,507,803 | 10,221,817 | — | ||||||||||||
Health Care | 1,402,536 | — | 1,402,536 | — | ||||||||||||
Industrials | 3,497,767 | 452,464 | 3,045,303 | — | ||||||||||||
Information Technology | 4,170,587 | 667,729 | 3,502,858 | — | ||||||||||||
Materials | 1,765,025 | 1,765,025 | — | — | ||||||||||||
Telecommunications Services | 2,682,714 | — | 2,682,714 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 41,828,396 | $ | 10,264,877 | $ | 31,563,519 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | 11,722 | ||||
Total Foreign Exchange Contracts | 11,722 | |||||
|
| |||||
Total | $ | 11,722 | ||||
|
| |||||
The following table presents Partner Emerging Markets Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 31,205 | 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.
146
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.7%) | Value | ||||||
| Diversified Real Estate Activities (0.2%) | ||||||||
| 16,714 | Brookfield Asset Management, Inc. | $ | 554,403 | |||||
|
| |||||||
| Total Diversified Real Estate Activities | 554,403 | |||||||
|
| |||||||
| Diversified REITS (6.6%) | ||||||||
| 35,350 | American Assets Trust, Inc. | 793,608 | ||||||
| 58,452 | Colonial Properties Trust | 1,192,421 | ||||||
| 22,012 | Excel Trust, Inc. | 242,792 | ||||||
| 105,195 | Liberty Property Trusta | 3,427,253 | ||||||
| 16,500 | PS Business Parks, Inc. | 909,150 | ||||||
| 17,600 | Retail Opportunity Investments Corporation | 189,376 | ||||||
| 169,875 | Vornado Realty Trust | 15,828,953 | ||||||
| 32,920 | Washington Real Estate Investment Trust | 1,070,558 | ||||||
| 8,150 | Winthrop Realty Trust | 97,311 | ||||||
|
| |||||||
| Total Diversified REITS | 23,751,422 | |||||||
|
| |||||||
| Financials (4.2%) | ||||||||
| 10,767 | Cohen & Steers Quality Income Realty Fund, Inc. | 105,194 | ||||||
| 413,938 | Prologis, Inc. | 14,835,538 | ||||||
|
| |||||||
| Total Financials | 14,940,732 | |||||||
|
| |||||||
| Hotels, Resorts & Cruise Lines (1.1%) | ||||||||
| 10,700 | Gaylord Entertainment Companya,b | 321,000 | ||||||
| 20,600 | Marriott International, Inc. | 731,094 | ||||||
| 37,021 | Starwood Hotels & Resorts Worldwide, Inc. | 2,074,657 | ||||||
| 44,000 | Summit Hotel Properties, Inc. | 499,400 | ||||||
| 9,000 | Wyndham Worldwide Corporation | 302,850 | ||||||
|
| |||||||
| Total Hotels, Resorts & Cruise Lines | 3,929,001 | |||||||
|
| |||||||
| Industrial REITS (1.4%) | ||||||||
| 213,253 | DCT Industrial Trust, Inc.a | 1,115,313 | ||||||
| 65,087 | DuPont Fabros Technology, Inc.a | 1,640,192 | ||||||
| 27,000 | EastGroup Properties, Inc.a | 1,147,770 | ||||||
| 39,000 | First Industrial Realty Trust, Inc.b | 446,550 | ||||||
| 38,431 | First Potomac Realty Trust | 588,379 | ||||||
|
| |||||||
| Total Industrial REITS | 4,938,204 | |||||||
|
| |||||||
| Mortgage REITS (1.7%) | ||||||||
| 77,800 | American Capital Agency Corporation | 2,264,758 | ||||||
| 9,450 | Apollo Commercial Real Estate Finance, Inc. | 152,334 | ||||||
| 20,300 | Colony Financial, Inc.a | 366,821 | ||||||
| 12,650 | CreXus Investment Corporation | 140,541 | ||||||
| 87,353 | Invesco Mortgage Capital, Inc. | 1,845,769 | ||||||
| 3,850 | PennyMac Mortgage Investment Trust | 63,794 | ||||||
| 16,000 | Starwood Property Trust, Inc. | 328,160 | ||||||
| 95,950 | Two Harbors Investment Corporation | 1,031,463 | ||||||
|
| |||||||
| Total Mortgage REITS | 6,193,640 | |||||||
|
| |||||||
| Office REITS (16.4%) | ||||||||
| 72,600 | Alexandria Real Estate Equities, Inc. | 5,620,692 | ||||||
| 140,917 | BioMed Realty Trust, Inc. | 2,711,243 | ||||||
| 151,600 | Boston Properties, Inc. | 16,093,856 | ||||||
| 141,940 | Brandywine Realty Trust | 1,645,085 | ||||||
| 24,402 | CommonWealth REIT | 630,548 | ||||||
| 15,800 | Coresite Realty Corporation | 259,120 | ||||||
| 67,505 | Corporate Office Properties Trust | 2,100,081 | ||||||
| 125,724 | Digital Realty Trust, Inc.a | 7,767,229 | ||||||
| 142,000 | Douglas Emmett, Inc.a | 2,824,380 | ||||||
| 200,900 | Duke Realty Corporation | 2,814,609 | ||||||
| 17,600 | Government Properties Income Trust | 475,552 | ||||||
| 62,400 | Highwoods Properties, Inc.a | 2,067,312 | ||||||
| 5,904 | Hudson Pacific Properties, Inc. | 91,689 | ||||||
| 66,561 | Kilroy Realty Corporation | 2,628,494 | ||||||
| 54,958 | Lexington Realty Trust | 501,766 | ||||||
| 80,625 | Mack-Cali Realty Corporation | 2,655,787 | ||||||
| 21,800 | Piedmont Office Realty Trust, Inc.a | 444,502 | ||||||
| 87,899 | SL Green Realty Corporation | 7,284,190 | ||||||
|
| |||||||
| Total Office REITS | 58,616,135 | |||||||
|
| |||||||
| Real Estate Operating Companies (0.9%) | ||||||||
| 101,300 | Brookfield Office Properties, Inc. | 1,953,064 | ||||||
| 64,940 | Forest City Enterprises, Inc.b | 1,212,430 | ||||||
|
| |||||||
| Total Real Estate Operating Companies | 3,165,494 | |||||||
|
| |||||||
| Real Estate Services (0.2%) | ||||||||
| 24,800 | CB Richard Ellis Group, Inc.b | 622,728 | ||||||
|
| |||||||
| Total Real Estate Services | 622,728 | |||||||
|
| |||||||
| Residential REITS (18.1%) | ||||||||
| 90,000 | American Campus Communities, Inc. | 3,196,800 | ||||||
| 128,803 | Apartment Investment & Management Company | 3,288,340 | ||||||
| 38,400 | Associated Estates Realty Corporation | 624,000 | ||||||
| 85,740 | AvalonBay Communities, Inc. | 11,009,016 | ||||||
| 65,077 | BRE Properties, Inc. | 3,246,041 | ||||||
| 83,937 | Camden Property Trust | 5,340,072 | ||||||
| 44,100 | Campus Crest Communities, Inc.a | 570,654 | ||||||
| 58,900 | Education Realty Trust, Inc. | 504,773 | ||||||
| 48,915 | Equity Lifestyle Properties, Inc. | 3,054,252 | ||||||
| 291,650 | Equity Residential | 17,499,000 | ||||||
| 45,200 | Essex Property Trust, Inc. | 6,115,108 | ||||||
| 36,300 | Home Properties, Inc.a | 2,209,944 | ||||||
| 31,412 | Mid-America Apartment Communities, Inc. | 2,119,368 | ||||||
| 44,376 | Post Properties, Inc. | 1,808,766 | ||||||
| 6,000 | Sun Communities, Inc.a | 223,860 | ||||||
| 156,531 | UDR, Inc. | 3,842,836 | ||||||
|
| |||||||
| Total Residential REITS | 64,652,830 | |||||||
|
| |||||||
| Retail REITS (24.3%) | ||||||||
| 54,078 | Acadia Realty Trust | 1,099,406 | ||||||
| 123,580 | CBL & Associates Properties, Inc. | 2,240,505 | ||||||
| 263,460 | Developers Diversified Realty Corporation | 3,714,786 | ||||||
| 36,681 | Equity One, Inc. | 683,734 | ||||||
| 65,820 | Federal Realty Investment Trust | 5,606,548 | ||||||
| 341,008 | General Growth Properties, Inc. | 5,691,423 | ||||||
| 84,324 | Glimcher Realty Trust | 801,078 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.7%) | Value | ||||||
| Retail REITS (24.3%) - continued | ||||||||
| 43,300 | Inland Real Estate Corporation | $ | 382,339 | |||||
| 323,825 | Kimco Realty Corporation | 6,036,098 | ||||||
| 60,100 | Kite Realty Group Trust | 299,298 | ||||||
| 135,142 | Macerich Company | 7,230,097 | ||||||
| 81,900 | National Retail Properties, Inc.a | 2,007,369 | ||||||
| 17,300 | Pennsylvania Real Estate Investment Trusta | 271,610 | ||||||
| 41,786 | Ramco-Gershenson Properties Trust | 517,311 | ||||||
| 25,925 | Realty Income Corporationa | 868,228 | ||||||
| 117,300 | Regency Centers Corporation | 5,157,681 | ||||||
| 8,500 | Saul Centers, Inc. | 334,645 | ||||||
| 305,490 | Simon Property Group, Inc. | 35,507,103 | ||||||
| 104,952 | Tanger Factory Outlet Centers, Inc. | 2,809,565 | ||||||
| 58,550 | Taubman Centers, Inc. | 3,466,160 | ||||||
| 92,800 | Weingarten Realty Investorsa | 2,334,848 | ||||||
|
| |||||||
| Total Retail REITS | 87,059,832 | |||||||
|
| |||||||
| Specialized REITS (24.6%) | ||||||||
| 86,024 | Ashford Hospitality Trusta | 1,070,999 | ||||||
| 19,495 | Chatham Lodging Trust | 314,064 | ||||||
| 35,165 | Chesapeake Lodging Trust | 599,915 | ||||||
| 41,250 | Cogdell Spencer, Inc. | 247,088 | ||||||
| 184,693 | DiamondRock Hospitality Company | 1,981,756 | ||||||
| 47,536 | Entertainment Properties Trust | 2,219,931 | ||||||
| 106,435 | Extra Space Storage, Inc. | 2,270,259 | ||||||
| 90,300 | FelCor Lodging Trust, Inc.b | 481,299 | ||||||
| 16,300 | HCA Holdings, Inc.b | 537,900 | ||||||
| 325,779 | Health Care Property Investors, Inc. | 11,952,832 | ||||||
| 157,524 | Health Care REIT, Inc.a | 8,258,983 | ||||||
| 48,875 | Healthcare Realty Trust, Inc. | 1,008,291 | ||||||
| 152,300 | Hersha Hospitality Trust | 848,311 | ||||||
| 69,655 | Hospitality Properties Trust | 1,689,134 | ||||||
| 682,304 | Host Hotels & Resorts, Inc. | 11,565,053 | ||||||
| 77,138 | LaSalle Hotel Properties | 2,031,815 | ||||||
| 14,000 | LTC Properties, Inc. | 389,480 | ||||||
| 60,778 | Medical Properties Trust, Inc. | 698,947 | ||||||
| 129,525 | Nationwide Health Properties, Inc. | 5,363,630 | ||||||
| 75,200 | Omega Healthcare Investors, Inc. | 1,579,952 | ||||||
| 42,600 | Pebblebrook Hotel Trust | 860,094 | ||||||
| 33,009 | Plum Creek Timber Company, Inc.a | 1,338,185 | ||||||
| 137,832 | Public Storage, Inc. | 15,714,226 | ||||||
| 22,400 | Rayonier, Inc. REIT | 1,463,840 | ||||||
| 25,800 | RLJ Lodging Trust | 448,146 | ||||||
| 12,883 | Sabra Healthcare REIT, Inc. | 215,275 | ||||||
| 105,606 | Senior Housing Property Trust | 2,472,236 | ||||||
| 9,700 | Sovran Self Storage, Inc. | 397,700 | ||||||
| 80,016 | Strategic Hotel Capital, Inc.b | 566,513 | ||||||
| 107,300 | Sunstone Hotel Investors, Inc.b | 994,671 | ||||||
| 68,475 | U-Store-It Trust | 720,357 | ||||||
| 148,059 | Ventas, Inc. | 7,804,190 | ||||||
|
| |||||||
| Total Specialized REITS | 88,105,072 | |||||||
|
| |||||||
Total Common Stock (cost $305,126,472) | 356,529,493 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (0.1%) | |||||||
| Collateralized Mortgage Obligations (0.1%) | ||||||||
| $65,717 | Deutsche Alt-A Securities, Inc. 5.888%, 6/25/2036 | 51,342 | ||||||
| 154,796 | Impac Secured Assets Corporation 0.296%, 2/25/2037c | 113,636 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 164,978 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $212,782) | 164,978 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (7.0%) | |||||||
| 24,983,560 | Thrivent Financial Securities Lending Trust | 24,983,560 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $24,983,560) | 24,983,560 | |||||||
|
| |||||||
| Total Investments (cost $330,322,814) 106.8% | $ | 381,678,031 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.8%) | (24,171,888 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 357,506,143 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| 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 June 30, 2011. |
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 | $73,363,019 | |||
Gross unrealized depreciation | (22,439,227) | |||
|
| |||
Net unrealized appreciation (depreciation) | $ | 50,923,792 | ||
| Cost for federal income tax purposes | $330,754,239 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
148
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Real Estate Securities Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Diversified Real Estate Activities | 554,403 | 554,403 | — | — | ||||||||||||
Diversified REITS | 23,751,422 | 23,751,422 | — | — | ||||||||||||
Financials | 14,940,732 | 14,940,732 | — | — | ||||||||||||
Hotels, Resorts & Cruise Lines | 3,929,001 | 3,929,001 | — | — | ||||||||||||
Industrial REITS | 4,938,204 | 4,938,204 | — | — | ||||||||||||
Mortgage REITS | 6,193,640 | 6,193,640 | — | — | ||||||||||||
Office REITS | 58,616,135 | 58,616,135 | — | — | ||||||||||||
Real Estate Operating Companies | 3,165,494 | 3,165,494 | — | — | ||||||||||||
Real Estate Services | 622,728 | 622,728 | — | — | ||||||||||||
Residential REITS | 64,652,830 | 64,652,830 | — | — | ||||||||||||
Retail REITS | 87,059,832 | 87,059,832 | — | — | ||||||||||||
Specialized REITS | 88,105,072 | 88,105,072 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Collateralized Mortgage Obligations | 164,978 | — | 164,978 | — | ||||||||||||
Collateral Held for Securities Loaned | 24,983,560 | 24,983,560 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 381,678,031 | $ | 381,513,053 | $ | 164,978 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, for Real Estate 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 | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (4 | ) | |||
Total Foreign Exchange Contracts | (4 | ) | ||||
|
| |||||
Total | ($ | 4 | ) | |||
|
| |||||
Real Estate Securities Portfolio’s average volume of derivative activity for foreign exchange contracts during the period were <0.1% of average net assets.
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 28,278,375 | $ | 116,660,127 | $ | 119,954,942 | 24,983,560 | $ | 24,983,560 | $ | 35,567 | |||||||||||||
Total Value and Income Earned | 28,278,375 | 24,983,560 | 35,567 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (94.2%) | Value | ||||||
| Alternative Carriers (2.9%) | ||||||||
| 13,307 | TW Telecom, Inc.a | $ | 273,193 | |||||
|
| |||||||
| Total Alternative Carriers | 273,193 | |||||||
|
| |||||||
| Consumer Discretionary (5.8%) | ||||||||
| 10,455 | Comcast Corporation | 264,930 | ||||||
| 3,633 | Time Warner Cable, Inc. | 283,519 | ||||||
|
| |||||||
| Total Consumer Discretionary | 548,449 | |||||||
|
| |||||||
| Electric Utilities (31.3%) | ||||||||
| 3,700 | American Electric Power Company, Inc. | 139,416 | ||||||
| 10,075 | Cleco Corporation | 351,114 | ||||||
| 3,456 | Edison International, Inc. | 133,920 | ||||||
| 11,854 | El Paso Electric Company | 382,884 | ||||||
| 3,300 | Exelon Corporation | 141,372 | ||||||
| 3,717 | ITC Holdings Corporation | 266,769 | ||||||
| 2,316 | NextEra Energy, Inc. | 133,077 | ||||||
| 22,740 | NV Energy, Inc. | 349,059 | ||||||
| 17,184 | PNM Resources, Inc. | 287,660 | ||||||
| 10,534 | Portland General Electric Company | 266,300 | ||||||
| 4,800 | PPL Corporation | 133,584 | ||||||
| 9,382 | UniSource Energy Corporation | 350,230 | ||||||
|
| |||||||
| Total Electric Utilities | 2,935,385 | |||||||
|
| |||||||
| Energy (3.2%) | ||||||||
| 5,294 | Energen Corporation | 299,111 | ||||||
|
| |||||||
| Total Energy | 299,111 | |||||||
|
| |||||||
| Gas Utilities (9.8%) | ||||||||
| 6,345 | AGL Resources, Inc. | 258,305 | ||||||
| 8,653 | Southwest Gas Corporation | 334,092 | ||||||
| 10,349 | UGI Corporation | 330,030 | ||||||
|
| |||||||
| Total Gas Utilities | 922,427 | |||||||
|
| |||||||
| Independent Power Producers & Energy Traders (8.4%) | ||||||||
| 9,901 | AES Corporationa | 126,139 | ||||||
| 22,175 | Calpine Corporationa | 357,683 | ||||||
| 8,095 | Constellation Energy Group, Inc. | 307,286 | ||||||
|
| |||||||
| Total Independent Power Producers & Energy Traders | 791,108 | |||||||
|
| |||||||
| Multi-Utilities (24.3%) | ||||||||
| 8,578 | Alliant Energy Corporation | 348,782 | ||||||
| 11,059 | Avista Corporation | 284,106 | ||||||
| 17,383 | CMS Energy Corporation | 342,271 | ||||||
| 2,815 | Dominion Resources, Inc. | 135,880 | ||||||
| 5,269 | DTE Energy Company | 263,555 | ||||||
| 2,638 | National Grid plc ADR | 130,396 | ||||||
| 5,121 | OGE Energy Corporation | 257,689 | ||||||
| 4,100 | Public Service Enterprise Group, Inc. | 133,824 | ||||||
| 2,399 | Sempra Energy | 126,859 | ||||||
| 10,578 | Xcel Energy, Inc. | 257,045 | ||||||
|
| |||||||
| Total Multi-Utilities | 2,280,407 | |||||||
|
| |||||||
| Water Utilities (2.8%) | ||||||||
| 9,087 | American Water Works Company, Inc. | 267,612 | ||||||
|
| |||||||
| Total Water Utilities | 267,612 | |||||||
|
| |||||||
| Wireless Telecommunication Services (5.7%) | ||||||||
| 6,483 | NII Holdings, Inc.a | 274,749 | ||||||
| 6,714 | SBA Communications Corporationa | 256,408 | ||||||
|
| |||||||
| Total Wireless Telecommunication Services | 531,157 | |||||||
|
| |||||||
Total Common Stock (cost $8,171,724) | 8,848,849 | |||||||
|
| |||||||
| Total Investments (cost $8,171,724) 94.2% | $ | 8,848,849 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 5.8% | 541,668 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 9,390,517 | ||||||
|
| |||||||
| 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 | $ | 722,698 | ||
Gross unrealized depreciation | (38,085 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 684,613 | ||
Cost for federal income tax purposes | $ | 8,164,236 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Table of Contents
Partner Utilities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Utilities Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Alternative Carriers | 273,193 | 273,193 | — | — | ||||||||||||
Consumer Discretionary | 548,449 | 548,449 | — | — | ||||||||||||
Electric Utilities | 2,935,385 | 2,935,385 | — | — | ||||||||||||
Energy | 299,111 | 299,111 | — | — | ||||||||||||
Gas Utilities | 922,427 | 922,427 | — | — | ||||||||||||
Independent Power Producers & Energy Traders | 791,108 | 791,108 | — | — | ||||||||||||
Multi-Utilities | 2,280,407 | 2,280,407 | — | — | ||||||||||||
Water Utilities | 267,612 | 267,612 | — | — | ||||||||||||
Wireless Telecommunication Services | 531,157 | 531,157 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,848,849 | $ | 8,848,849 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | 2,175 | ||||
Total Foreign Exchange Contracts | 2,175 | |||||
|
| |||||
Total | $ | 2,175 | ||||
|
| |||||
The following table presents Partner Utilities Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 4,421 | 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.
151
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Consumer Discretionary (14.4%) | ||||||||
| 17,650 | 7 Days Group Holdings, Ltd. ADRa | $ | 341,175 | |||||
| 13,310 | Ann, Inc.a | 347,391 | ||||||
| 14,870 | Asbury Automotive Group, Inc.a | 275,541 | ||||||
| 12,010 | Body Central Corporationa | 282,595 | ||||||
| 34,520 | Bravo Brio Restaurant Group, Inc.a | 843,324 | ||||||
| 60,400 | Brunswick Corporation | 1,232,160 | ||||||
| 6,520 | Buffalo Wild Wings, Inc.a | 432,341 | ||||||
| 42,870 | Children’s Place Retail Stores, Inc.a | 1,907,286 | ||||||
| 4,330 | Cooper Tire & Rubber Company | 85,691 | ||||||
| 8,660 | Cracker Barrel Old Country Store, Inc. | 427,025 | ||||||
| 84,310 | Crocs, Inc.a | 2,170,983 | ||||||
| 12,500 | Deckers Outdoor Corporationa | 1,101,750 | ||||||
| 29,900 | DineEquity, Inc.a,b | 1,562,873 | ||||||
| 106,570 | Finish Line, Inc. | 2,280,598 | ||||||
| 55,632 | Gaylord Entertainment Companya,b | 1,668,960 | ||||||
| 1,510 | Imax Corporationa,b | 48,969 | ||||||
| 9,110 | Joseph A. Bank Clothiers, Inc.a | 455,591 | ||||||
| 15,640 | Krispy Kreme Doughnuts, Inc.a | 148,736 | ||||||
| 4,920 | Maidenform Brands, Inc.a | 136,087 | ||||||
| 59,540 | Meritage Homes Corporationa | 1,343,222 | ||||||
| 83,680 | Modine Manufacturing Companya | 1,286,162 | ||||||
| 13,910 | Polaris Industries, Inc. | 1,546,375 | ||||||
| 125,460 | Saks, Inc.a,b | 1,401,388 | ||||||
| 170,360 | Scientific Games Corporationa | 1,761,522 | ||||||
| 14,190 | Select Comfort Corporationa | 255,136 | ||||||
| 96,460 | Sonic Automotive, Inc.b | 1,413,139 | ||||||
| 40,950 | Sotheby’s Holdings, Inc. | 1,781,325 | ||||||
| 44,460 | Steven Madden, Ltd.a | 1,667,695 | ||||||
| 42,520 | Tenneco, Inc.a | 1,873,856 | ||||||
| 46,910 | True Religion Apparel, Inc.a | 1,364,143 | ||||||
| 5,500 | Ulta Salon Cosmetics & Fragrance, Inc.a | 355,190 | ||||||
| 8,970 | Vitamin Shoppe, Inc.a | 410,467 | ||||||
| 204,400 | Wet Seal, Inc.a | 913,668 | ||||||
|
| |||||||
| Total Consumer Discretionary | 33,122,364 | |||||||
|
| |||||||
| Consumer Staples (2.4%) | ||||||||
| 3,480 | Boston Beer Company, Inc.a | 311,808 | ||||||
| 120,650 | Cott Corporationa | 1,014,667 | ||||||
| 42,080 | Hain Celestial Group, Inc.a | 1,403,789 | ||||||
| 1,000 | Inter Parfums, Inc. | 23,030 | ||||||
| 12,720 | TreeHouse Foods, Inc.a | 694,639 | ||||||
| 49,500 | United Natural Foods, Inc.a | 2,112,165 | ||||||
|
| |||||||
| Total Consumer Staples | 5,560,098 | |||||||
|
| |||||||
| Energy (8.0%) | ||||||||
| 16,390 | Brigham Exploration Companya | 490,553 | ||||||
| 33,810 | Carrizo Oil & Gas, Inc.a | 1,411,567 | ||||||
| 38,470 | CVR Energy, Inc.a | 947,131 | ||||||
| 23,960 | Dril-Quip, Inc.a | 1,625,207 | ||||||
| 47,680 | Energy XXI Ltd.a,b | 1,583,930 | ||||||
| 8,950 | GeoResources, Inc.a,b | 201,285 | ||||||
| 34,640 | Gulfport Energy Corporationa | 1,028,462 | ||||||
| 28,140 | ION Geophysical Corporationa | 266,204 | ||||||
| 71,580 | James River Coal Companya,b | 1,490,296 | ||||||
| 141,213 | Key Energy Services, Inc.a | 2,541,834 | ||||||
| 5,000 | Lufkin Industries, Inc. | 430,250 | ||||||
| 84,980 | Northern Oil and Gas, Inc.a,b | 1,882,307 | ||||||
| 45,780 | Oasis Petroleum, Inc.a,b | 1,358,750 | ||||||
| 45,510 | Patriot Coal Corporationa | 1,013,053 | ||||||
| 17,040 | Rex Energy Corporationa,b | 175,001 | ||||||
| 50,567 | Swift Energy Companya | 1,884,632 | ||||||
|
| |||||||
| Total Energy | 18,330,462 | |||||||
|
| |||||||
| Financials (7.7%) | ||||||||
| 23,063 | Bank of the Ozarks, Inc.b | 1,200,660 | ||||||
| 32,650 | Endurance Specialty Holdings, Ltd. | 1,349,424 | ||||||
| 52,480 | Extra Space Storage, Inc. | 1,119,398 | ||||||
| 7,390 | Harleysville Group, Inc. | 230,346 | ||||||
| 3,860 | IBERIABANK Corporation | 222,490 | ||||||
| 39,840 | Kilroy Realty Corporation | 1,573,282 | ||||||
| 99,659 | Knight Capital Group, Inc.a | 1,098,242 | ||||||
| 53,580 | LaSalle Hotel Properties | 1,411,297 | ||||||
| 208,710 | MF Global Holdings, Ltd.a | 1,615,415 | ||||||
| 62,710 | Oritani Financial Corporation | 802,061 | ||||||
| 17,620 | Portfolio Recovery Associates, Inc.a,b | 1,494,000 | ||||||
| 42,700 | Stifel Financial Corporationa | 1,531,222 | ||||||
| 12,890 | SVB Financial Groupa | 769,662 | ||||||
| 63,970 | Tanger Factory Outlet Centers, Inc. | 1,712,477 | ||||||
| 56,920 | Texas Capital Bancshares, Inc.a,b | 1,470,244 | ||||||
| 11,450 | Umpqua Holdings Corporation | 132,477 | ||||||
|
| |||||||
| Total Financials | 17,732,697 | |||||||
|
| |||||||
| Health Care (19.7%) | ||||||||
| 23,070 | Achillion Pharmaceuticals, Inc.a | 171,641 | ||||||
| 3,120 | Air Methods Corporationa | 233,189 | ||||||
| 36,590 | AMERIGROUP Corporationa | 2,578,497 | ||||||
| 6,000 | Ardea Biosciences, Inc.a | 152,760 | ||||||
| 15,430 | ArthroCare Corporationa | 516,442 | ||||||
| 17,260 | Aveo Pharmaceuticals, Inc.a | 355,729 | ||||||
| 45,150 | Catalyst Health Solutions, Inc.a | 2,520,273 | ||||||
| 51,320 | Cepheid, Inc.a,b | 1,777,725 | ||||||
| 24,170 | Chemed Corporation | 1,583,618 | ||||||
| 5,770 | Computer Programs and Systems, Inc. | 366,280 | ||||||
| 11,470 | Cooper Companies, Inc. | 908,883 | ||||||
| 34,740 | Cubist Pharmaceuticals, Inc.a | 1,250,293 | ||||||
| 11,370 | Cyberonics, Inc.a | 317,791 | ||||||
| 3,480 | Dexcom, Inc.a | 50,425 | ||||||
| 10,260 | Hanger Orthopedic Group, Inc.a | 251,062 | ||||||
| 69,040 | Healthsouth Corporationa | 1,811,610 | ||||||
| 39,190 | Healthspring, Inc.a | 1,807,835 | ||||||
| 47,770 | Hill-Rom Holdings, Inc. | 2,199,331 | ||||||
| 22,067 | HMS Holding Corporationa | 1,696,290 | ||||||
| 11,590 | ICON plc ADRa | 273,060 | ||||||
| 62,840 | Impax Laboratories, Inc.a | 1,369,284 | ||||||
| 64,170 | Incyte Corporationa,b | 1,215,380 | ||||||
| 51,970 | Medicis Pharmaceutical Corporation | 1,983,695 | ||||||
| 44,750 | Medivation, Inc.a | 958,992 | ||||||
| 22,080 | Mednax, Inc.a | 1,593,955 | ||||||
| 17,532 | Merit Medical Systems, Inc.a | 315,050 | ||||||
| 24,450 | Molina Healthcare, Inc.a | 663,084 | ||||||
| 42,550 | NuVasive, Inc.a,b | 1,399,044 | ||||||
| 15,850 | NxStage Medical, Inc.a,b | 329,997 | ||||||
| 35,400 | Onyx Pharmaceuticals, Inc.a | 1,249,620 | ||||||
| 8,130 | Orthofix International NVa | 345,281 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Health Care (19.7%) - continued | ||||||||
| 66,080 | PAREXEL International Corporationa | $ | 1,556,845 | |||||
| 13,550 | Pharmasset, Inc.a | 1,520,310 | ||||||
| 61,770 | PSS World Medical, Inc.a | 1,730,178 | ||||||
| 7,120 | QLT, Inc.a,b | 51,335 | ||||||
| 22,160 | Quality Systems, Inc.b | 1,934,568 | ||||||
| 18,620 | Questcor Pharmaceuticals, Inc.a | 448,742 | ||||||
| 13,345 | Salix Pharmaceuticals, Ltd.a | 531,531 | ||||||
| 24,830 | Sirona Dental Systems, Inc.a | 1,318,473 | ||||||
| 17,830 | Sunrise Senior Living, Inc.a,b | 169,920 | ||||||
| 9,870 | SXC Health Solutions Corporationa | 581,540 | ||||||
| 40,930 | Targacept, Inc.a | 862,395 | ||||||
| 42,770 | Volcano Corporationa | 1,381,043 | ||||||
| 17,760 | Wellcare Health Plans, Inc.a | 913,042 | ||||||
|
| |||||||
| Total Health Care | 45,246,038 | |||||||
|
| |||||||
| Industrials (16.5%) | ||||||||
| 103,770 | A123 Systems, Inc.a,b | 552,057 | ||||||
| 52,570 | Actuant Corporation | 1,410,453 | ||||||
| 25,150 | Alaska Air Group, Inc.a | 1,721,769 | ||||||
| 690 | American Science & Engineering, Inc. | 55,200 | ||||||
| 91,620 | Avis Budget Group, Inc.a | 1,565,786 | ||||||
| 32,110 | Belden, Inc. | 1,119,355 | ||||||
| 3,310 | Chart Industries, Inc.a | 178,674 | ||||||
| 27,380 | Clean Harbors, Inc.a | 2,826,985 | ||||||
| 5,100 | Consolidated Graphics, Inc.a | 280,245 | ||||||
| 26,970 | Copa Holdings SA | 1,799,978 | ||||||
| 11,220 | EnPro Industries, Inc.a | 539,345 | ||||||
| 5,630 | ESCO Technologies, Inc. | 207,184 | ||||||
| 47,410 | Genesee & Wyoming, Inc.a | 2,780,122 | ||||||
| 65,620 | GrafTech International, Ltd.a | 1,330,117 | ||||||
| 73,450 | Greenbrier Companies, Inc.a | 1,451,372 | ||||||
| 44,060 | Herman Miller, Inc. | 1,199,313 | ||||||
| 76,880 | Hexcel Corporationa | 1,682,903 | ||||||
| 56,550 | Hub Group, Inc.a | 2,129,673 | ||||||
| 14,780 | Huron Consulting Group, Inc.a | 446,504 | ||||||
| 133,340 | Kforce, Inc.a | 1,744,087 | ||||||
| 3,960 | Lindsay Manufacturing Companyb | 272,448 | ||||||
| 20,670 | Meritor, Inc.a | 331,547 | ||||||
| 8,320 | Middleby Corporationa | 782,413 | ||||||
| 23,520 | Polypore International, Inc.a | 1,595,597 | ||||||
| 43,343 | Robbins & Myers, Inc. | 2,290,678 | ||||||
| 51,290 | Titan International, Inc.b | 1,244,295 | ||||||
| 10,580 | Triumph Group, Inc. | 1,053,556 | ||||||
| 106,980 | TrueBlue, Inc.a | 1,549,070 | ||||||
| 33,790 | WESCO International, Inc.a | 1,827,701 | ||||||
| 56,666 | Woodward, Inc. | 1,975,377 | ||||||
|
| |||||||
| Total Industrials | 37,943,804 | |||||||
|
| |||||||
| Information Technology (23.1%) | ||||||||
| 14,590 | Acme Packet, Inc.a | 1,023,197 | ||||||
| 22,440 | ADTRAN, Inc. | 868,652 | ||||||
| 54,500 | Aeroflex Holding Corporationa | 989,175 | ||||||
| 19,280 | Ancestry.com, Inc.a,b | 797,999 | ||||||
| 22,190 | Anixter International, Inc. | 1,449,895 | ||||||
| 9,550 | ANSYS, Inc.a | 522,098 | ||||||
| 96,750 | Ariba, Inc.a | 3,334,972 | ||||||
| 70,830 | Aruba Networks, Inc.a,b | 2,093,026 | ||||||
| 5,730 | Blue Coat Systems, Inc.a | 125,258 | ||||||
| 15,560 | Bottomline Technologies, Inc.a | 384,488 | ||||||
| 27,830 | Broadsoft, Inc.a,b | 1,061,158 | ||||||
| 48,550 | Cavium, Inc.a,b | 2,116,294 | ||||||
| 33,630 | Ceva, Inc.a | 1,024,370 | ||||||
| 118,490 | Cirrus Logic, Inc.a,b | 1,883,991 | ||||||
| 5,610 | Coherent, Inc.a | 310,065 | ||||||
| 41,160 | Concur Technologies, Inc.a,b | 2,060,881 | ||||||
| 81,160 | Dice Holdings, Inc.a | 1,097,283 | ||||||
| 19,500 | Electronics for Imaging, Inc.a | 335,790 | ||||||
| 207,140 | Entropic Communications, Inc.a,b | 1,841,475 | ||||||
| 46,226 | Heartland Payment Systems, Inc. | 952,256 | ||||||
| 8,090 | Hittite Microwave Corporationa | 500,852 | ||||||
| 9,720 | Hypercom Corporationa | 95,548 | ||||||
| 54,390 | Inphi Corporationa,b | 946,386 | ||||||
| 42,700 | IntraLinks Holdings, Inc.a | 737,856 | ||||||
| 15,100 | IPG Photonics Corporationa | 1,097,921 | ||||||
| 129,330 | Ixiaa,b | 1,655,424 | ||||||
| 16,890 | Kenexa Corporationa | 405,022 | ||||||
| 231,270 | Limelight Networks, Inc.a | 1,054,591 | ||||||
| 46,460 | NETGEAR, Inc.a | 2,031,231 | ||||||
| 63,310 | Netlogic Microsystems, Inc.a | 2,558,990 | ||||||
| 63,950 | NetQin Mobile, Inc. ADRa,b | 351,725 | ||||||
| 8,910 | NetScout Systems, Inc.a | 186,130 | ||||||
| 82,150 | Oclaro, Inc.a,b | 552,048 | ||||||
| 18,780 | OpenTable, Inc.a,b | 1,560,994 | ||||||
| 6,640 | Power Integrations, Inc. | 255,175 | ||||||
| 38,260 | QLIK Technologies, Inc.a | 1,303,136 | ||||||
| 62,930 | Quantum Corporationa,b | 207,669 | ||||||
| 19,370 | Riverbed Technology, Inc.a | 766,858 | ||||||
| 17,890 | Rofin-Sinar Technologies, Inc.a | 610,943 | ||||||
| 134,700 | Sapient Corporationa | 2,024,541 | ||||||
| 62,960 | SuccessFactors, Inc.a,b | 1,851,024 | ||||||
| 60,520 | Synchronoss Technologies, Inc.a,b | 1,920,300 | ||||||
| 56,900 | Taleo Corporationa | 2,107,007 | ||||||
| 88,590 | Teradyne, Inc.a | 1,311,132 | ||||||
| 47,120 | Ultratech, Inc.a | 1,431,506 | ||||||
| 31,090 | VeriFone Systems, Inc.a | 1,378,841 | ||||||
|
| |||||||
| Total Information Technology | 53,175,173 | |||||||
|
| |||||||
| Materials (5.9%) | ||||||||
| 104,660 | AK Steel Holding Corporation | 1,649,442 | ||||||
| 31,820 | Allied Nevada Gold Corporationa | 1,125,473 | ||||||
| 6,440 | Domtar Corporation | 609,997 | ||||||
| 24,030 | Globe Specialty Metals, Inc. | 538,753 | ||||||
| 42,410 | Huntsman Corporation | 799,428 | ||||||
| 14,110 | KapStone Paper and Packaging Corporationa | 233,803 | ||||||
| 105,750 | Louisiana-Pacific Corporationa,b | 860,805 | ||||||
| 14,920 | LSB Industries, Inc.a | 640,366 | ||||||
| 11,260 | Market Vectors Junior Gold Miners ETFb | 388,245 | ||||||
| 15,980 | Noranda Aluminum Holding Corporationa | 241,937 | ||||||
| 16,879 | Rock-Tenn Company | 1,119,753 | ||||||
| 86,880 | Solutia, Inc.a | 1,985,208 | ||||||
| 87,590 | Stillwater Mining Companya | 1,927,856 | ||||||
| 141,790 | Thompson Creek Metals Company, Inc.a | 1,415,064 | ||||||
|
| |||||||
| Total Materials | 13,536,130 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Telecommunications Services (0.5%) | ||||||||
| 73,450 | Cogent Communications Group, Inc.a | $ | 1,249,385 | |||||
|
| |||||||
| Total Telecommunications Services | 1,249,385 | |||||||
|
| |||||||
| Utilities (<0.1%) | ||||||||
| 5,182 | Artesian Resources Corporationb | 93,380 | ||||||
|
| |||||||
| Total Utilities | 93,380 | |||||||
|
| |||||||
Total Common Stock (cost $179,887,279) | 225,989,531 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (16.9%) | ||||||||
| 38,839,394 | Thrivent Financial Securities Lending Trust | 38,839,394 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $38,839,394) | 38,839,394 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.8%)c | |||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 2,000,000 | 0.010%, 7/8/2011 | 1,999,996 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,999,996 | |||||||
|
| |||||||
| Total Investments (cost $220,726,669) 115.9% | $ | 266,828,921 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (15.9%) | (36,627,460 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 230,201,461 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
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 | $ | 50,939,977 | ||
Gross unrealized depreciation | (5,672,785 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 45,267,192 | ||
Cost for federal income tax purposes | $ | 221,561,729 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Small Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 33,122,364 | 33,122,364 | — | — | ||||||||||||
Consumer Staples | 5,560,098 | 5,560,098 | — | — | ||||||||||||
Energy | 18,330,462 | 18,330,462 | — | — | ||||||||||||
Financials | 17,732,697 | 17,732,697 | — | — | ||||||||||||
Health Care | 45,246,038 | 45,246,038 | — | — | ||||||||||||
Industrials | 37,943,804 | 37,943,804 | — | — | ||||||||||||
Information Technology | 53,175,173 | 53,175,173 | — | — | ||||||||||||
Materials | 13,536,130 | 13,536,130 | — | — | ||||||||||||
Telecommunications Services | 1,249,385 | 1,249,385 | — | — | ||||||||||||
Utilities | 93,380 | 93,380 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 38,839,394 | 38,839,394 | — | — | ||||||||||||
Short-Term Investments | 1,999,996 | — | 1,999,996 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 266,828,921 | $ | 264,828,925 | $ | 1,999,996 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 29,124,371 | $ | 83,986,300 | $ | 74,271,277 | 38,839,394 | $ | 38,839,394 | $ | 48,669 | |||||||||||||
Total Value and Income Earned | 29,124,371 | 38,839,394 | 48,669 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.6%) | Value | ||||||
| Consumer Discretionary (13.4%) | ||||||||
| 216,100 | Aaron’s, Inc. | $ | 6,106,986 | |||||
| 31,000 | Ascent Media Corporationa | 1,642,070 | ||||||
| 50,300 | CSS Industries, Inc. | 1,052,779 | ||||||
| 59,100 | Dorman Products, Inc.a | 2,339,178 | ||||||
| 100,000 | Drew Industries, Inc.b | 2,472,000 | ||||||
| 60,000 | Ethan Allen Interiors, Inc.b | 1,277,400 | ||||||
| 86,300 | Fred’s, Inc.b | 1,245,309 | ||||||
| 96,000 | Haverty Furniture Companies, Inc. | 1,104,960 | ||||||
| 40,700 | Hooker Furniture Corporation | 360,602 | ||||||
| 66,200 | M/I Homes, Inc.a | 811,612 | ||||||
| 87,500 | MarineMax, Inc.a | 766,500 | ||||||
| 47,500 | Matthews International Corporation | 1,907,125 | ||||||
| 74,600 | Men’s Wearhouse, Inc. | 2,514,020 | ||||||
| 106,600 | Meritage Homes Corporationa | 2,404,896 | ||||||
| 189,900 | Orient-Express Hotels, Ltd.a | 2,041,425 | ||||||
| 575,000 | Sealy Corporationa,b | 1,454,750 | ||||||
| 146,000 | Shiloh Industries, Inc. | 1,573,880 | ||||||
| 62,100 | Stanley Furniture Company, Inc.a | 260,199 | ||||||
| 161,000 | Stein Mart, Inc. | 1,552,040 | ||||||
| 64,500 | Steven Madden, Ltd.a | 2,419,395 | ||||||
| 113,400 | Winnebago Industries, Inc.a | 1,095,444 | ||||||
|
| |||||||
| Total Consumer Discretionary | 36,402,570 | |||||||
|
| |||||||
| Consumer Staples (0.7%) | ||||||||
| 242,300 | Alliance One International, Inc.a | 782,629 | ||||||
| 27,900 | Nash Finch Company | 999,099 | ||||||
|
| |||||||
| Total Consumer Staples | 1,781,728 | |||||||
|
| |||||||
| Energy (5.8%) | ||||||||
| 8,800 | Carbo Ceramics, Inc. | 1,433,960 | ||||||
| 90,900 | Cloud Peak Energy, Inc.a | 1,936,170 | ||||||
| 61,100 | Forest Oil Corporationa | 1,631,981 | ||||||
| 86,500 | Gulf Island Fabrication, Inc. | 2,792,220 | ||||||
| 250,000 | Hercules Offshore, Inc.a,b | 1,377,500 | ||||||
| 20,300 | Overseas Shipholding Group, Inc.b | 546,882 | ||||||
| 127,900 | Penn Virginia Corporationb | 1,689,559 | ||||||
| 28,900 | Swift Energy Companya | 1,077,103 | ||||||
| 178,800 | Tetra Technologies, Inc.a | 2,276,124 | ||||||
| 71,100 | Venoco, Inc.a | 905,814 | ||||||
|
| |||||||
| Total Energy | 15,667,313 | |||||||
|
| |||||||
| Financials (22.0%) | ||||||||
| 86,300 | Alterra Capital Holdings, Ltd. | 1,924,490 | ||||||
| 195,800 | Ares Capital Corporation | 3,146,506 | ||||||
| 185,100 | CBL & Associates Properties, Inc.b | 3,355,863 | ||||||
| 127,500 | Cedar Shopping Centers, Inc. | 656,625 | ||||||
| 95,000 | Columbia Banking System, Inc. | 1,635,900 | ||||||
| 82,200 | Cousins Properties, Inc. | 701,988 | ||||||
| 84,400 | East West Bancorp, Inc. | 1,705,724 | ||||||
| 48,500 | Employers Holdings, Inc. | 813,345 | ||||||
| 90,700 | First Opportunity Fund, Inc.a | 653,040 | ||||||
| 69,500 | First Potomac Realty Trust | 1,064,045 | ||||||
| 45,000 | Fortegra Financial Corporationa | 352,800 | ||||||
| 96,000 | Glacier Bancorp, Inc.b | 1,294,080 | ||||||
| 56,300 | Gladstone Capital Corporationb | 520,212 | ||||||
| 76,600 | Hatteras Financial Corporationb | 2,162,418 | ||||||
| 128,000 | Hercules Technology Growth Capital, Inc. | 1,346,560 | ||||||
| 81,000 | Home Bancshares, Inc. | 1,914,840 | ||||||
| 19,400 | iShares Russell 2000 Value Index Fundb | 1,424,154 | ||||||
| 56,400 | JMP Group, Inc. | 396,492 | ||||||
| 57,600 | Kilroy Realty Corporationb | 2,274,624 | ||||||
| 257,200 | Kite Realty Group Trust | 1,280,856 | ||||||
| 82,500 | LaSalle Hotel Properties | 2,173,050 | ||||||
| 3,800 | Markel Corporationa | 1,507,878 | ||||||
| 103,000 | Meadowbrook Insurance Group, Inc. | 1,020,730 | ||||||
| 73,200 | National Interstate Corporation | 1,676,280 | ||||||
| 41,500 | Pebblebrook Hotel Trust | 837,885 | ||||||
| 175,400 | PennantPark Investment Corporationb | 1,966,234 | ||||||
| 25,300 | Piper Jaffray Companiesa | 728,893 | ||||||
| 43,000 | Potlatch Corporation | 1,516,610 | ||||||
| 70,900 | ProAssurance Corporationa | 4,963,000 | ||||||
| 55,400 | Radian Group, Inc.b | 234,342 | ||||||
| 153,300 | Redwood Trust, Inc.b | 2,317,896 | ||||||
| 123,100 | Safeguard Scientifics, Inc.a | 2,324,128 | ||||||
| 111,800 | Sandy Spring Bancorp, Inc. | 2,011,282 | ||||||
| 53,300 | SeaBright Holdings, Inc. | 527,670 | ||||||
| 53,000 | SVB Financial Groupa | 3,164,630 | ||||||
| 296,600 | Western Alliance Bancorpa | 2,105,860 | ||||||
| 61,400 | Wintrust Financial Corporationb | 1,975,852 | ||||||
|
| |||||||
| Total Financials | 59,676,782 | |||||||
|
| |||||||
| Health Care (5.2%) | ||||||||
| 37,800 | Angiodynamics, Inc.a | 537,894 | ||||||
| 6,700 | Atrion Corporation | 1,325,260 | ||||||
| 77,000 | Infinity Pharmaceuticals, Inc.a,b | 636,020 | ||||||
| 842,100 | Lexicon Pharmaceuticals, Inc.a,b | 1,482,096 | ||||||
| 32,500 | National Healthcare Corporationb | 1,611,025 | ||||||
| 110,500 | Owens & Minor, Inc. | 3,811,145 | ||||||
| 90,500 | Triple-S Management Corporationa | 1,966,565 | ||||||
| 61,100 | West Pharmaceutical Services, Inc. | 2,673,736 | ||||||
|
| |||||||
| Total Health Care | 14,043,741 | |||||||
|
| |||||||
| Industrials (26.0%) | ||||||||
| 56,400 | A.O. Smith Corporation | 2,385,720 | ||||||
| 35,800 | Alaska Air Group, Inc.a | 2,450,868 | ||||||
| 28,000 | Ameron International Corporation | 1,839,040 | ||||||
| 38,700 | Applied Industrial Technologies, Inc. | 1,378,107 | ||||||
| 21,801 | Astec Industries, Inc.a | 806,201 | ||||||
| 145,000 | Beacon Roofing Supply, Inc.a,b | 3,308,900 | ||||||
| 47,500 | Belden, Inc. | 1,655,850 | ||||||
| 25,500 | Cascade Corporation | 1,213,035 | ||||||
| 19,300 | Circor International, Inc. | 826,619 | ||||||
| 53,100 | Colfax Corporationa | 1,316,880 | ||||||
| 87,200 | Comfort Systems USA, Inc. | 925,192 | ||||||
| 36,000 | Courier Corporation | 397,800 | ||||||
| 65,100 | Dolan Companya | 551,397 | ||||||
| 17,400 | Franklin Electric Company, Inc. | 816,930 | ||||||
| 24,500 | FTI Consulting, Inc.a,b | 929,530 | ||||||
| 61,000 | G & K Services, Inc. | 2,065,460 | ||||||
| 84,400 | Genesee & Wyoming, Inc.a | 4,949,216 | ||||||
| 107,100 | Gibraltar Industries, Inc.a | 1,212,372 | ||||||
| 111,900 | Greenbrier Companies, Inc.a | 2,211,144 | ||||||
| 64,000 | Hub Group, Inc.a | 2,410,240 | ||||||
| 54,300 | IDEX Corporation | 2,489,655 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.6%) | Value | ||||||
| Industrials (26.0%) - continued | ||||||||
| 93,500 | Insituform Technologies, Inc.a | $ | 1,960,695 | |||||
| 48,500 | Kaman Corporation | 1,720,295 | ||||||
| 95,800 | Kforce, Inc.a | 1,253,064 | ||||||
| 84,800 | Kirby Corporationa | 4,805,616 | ||||||
| 53,500 | Kratos Defense & Security Solutions, Inc.a,b | 650,560 | ||||||
| 112,200 | McGrath Rentcorp | 3,150,576 | ||||||
| 40,800 | Mine Safety Appliances Company | 1,523,472 | ||||||
| 118,200 | Navigant Consulting, Inc.a | 1,239,918 | ||||||
| 59,000 | Nordson Corporation | 3,236,150 | ||||||
| 70,800 | Robbins & Myers, Inc. | 3,741,780 | ||||||
| 95,000 | SkyWest, Inc. | 1,430,700 | ||||||
| 52,300 | Sterling Construction Company, Inc.a | 720,171 | ||||||
| 28,700 | Sun Hydraulics Corporation | 1,371,860 | ||||||
| 46,500 | Universal Forest Products, Inc. | 1,114,140 | ||||||
| 58,300 | Universal Truckload Services, Inc.a | 998,679 | ||||||
| 92,300 | Vitran Corporation, Inc.a | 1,172,210 | ||||||
| 65,300 | Waste Connections, Inc. | 2,071,969 | ||||||
| 65,400 | Woodward, Inc. | 2,279,844 | ||||||
|
| |||||||
| Total Industrials | 70,581,855 | |||||||
|
| |||||||
| Information Technology (10.9%) | ||||||||
| 69,812 | Accelrys, Inc.a | 496,363 | ||||||
| 136,000 | Advanced Energy Industries, Inc.a | 2,011,440 | ||||||
| 36,500 | ATMI, Inc.a | 745,695 | ||||||
| 137,500 | Brooks Automation, Inc.a | 1,493,250 | ||||||
| 27,300 | Cabot Microelectronics Corporationa | 1,268,631 | ||||||
| 65,900 | Cognex Corporation | 2,334,837 | ||||||
| 59,100 | Cohu, Inc. | 774,801 | ||||||
| 122,000 | Electro Rent Corporation | 2,088,640 | ||||||
| 41,000 | Electro Scientific Industries, Inc.a | 791,300 | ||||||
| 67,700 | Intevac, Inc.a | 691,217 | ||||||
| 62,452 | Ixiaa,b | 799,386 | ||||||
| 16,800 | Littelfuse, Inc. | 986,496 | ||||||
| 87,000 | Methode Electronics, Inc. | 1,010,070 | ||||||
| 116,900 | Monotype Imaging Holdings, Inc.a | 1,651,797 | ||||||
| 128,000 | Progress Software Corporationa | 3,088,640 | ||||||
| 152,000 | ShoreTel, Inc.a | 1,550,400 | ||||||
| 316,000 | Sonus Networks, Inc.a | 1,023,840 | ||||||
| 26,600 | Standard Microsystems Corporationa | 717,934 | ||||||
| 82,400 | StarTek, Inc.a | 284,280 | ||||||
| 67,000 | Synnex Corporationa | 2,123,900 | ||||||
| 75,600 | Teradyne, Inc.a | 1,118,880 | ||||||
| 66,200 | Xyratex, Ltd.a,b | 679,212 | ||||||
| 297,700 | Zarlink Semiconductor, Inc.a,b | 729,365 | ||||||
| 79,500 | Zygo Corporationa | 1,050,990 | ||||||
|
| |||||||
| Total Information Technology | 29,511,364 | |||||||
|
| |||||||
| Materials (9.2%) | ||||||||
| 39,300 | AMCOL International Corporation | 1,499,688 | ||||||
| 79,000 | AptarGroup, Inc. | 4,134,860 | ||||||
| 76,800 | Arch Chemicals, Inc. | 2,644,992 | ||||||
| 25,900 | Carpenter Technology Corporation | 1,493,912 | ||||||
| 45,400 | Clearwater Paper Corporationa | 3,099,912 | ||||||
| 60,100 | Franco-Nevada Corporationa | 2,243,235 | ||||||
| 21,300 | Haynes International, Inc. | 1,319,109 | ||||||
| 48,200 | Innospec, Inc.a,b | 1,620,002 | ||||||
| 23,700 | Minerals Technologies, Inc. | 1,571,073 | ||||||
| 118,300 | Myers Industries, Inc. | 1,216,124 | ||||||
| 265,900 | North American Palladium, Ltd.a,b | 1,090,190 | ||||||
| 11,200 | Schnitzer Steel Industries, Inc. | 645,120 | ||||||
| 63,200 | Sims Metal Management, Ltd. ADRb | 1,200,168 | ||||||
| 188,000 | Wausau Paper Corporationb | 1,267,120 | ||||||
|
| |||||||
| Total Materials | 25,045,505 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | ||||||||
| 95,000 | Premiere Global Services, Inc.a | 758,100 | ||||||
|
| |||||||
| Total Telecommunications Services | 758,100 | |||||||
|
| |||||||
| Utilities (5.1%) | ||||||||
| 39,300 | Black Hills Corporationb | 1,182,537 | ||||||
| 99,800 | Cleco Corporation | 3,478,030 | ||||||
| 98,900 | El Paso Electric Company | 3,194,470 | ||||||
| 23,000 | Empire District Electric Companyb | 442,980 | ||||||
| 53,700 | NorthWestern Corporation | 1,778,007 | ||||||
| 65,400 | Southwest Gas Corporation | 2,525,094 | ||||||
| 44,600 | Vectren Corporation | 1,242,556 | ||||||
|
| |||||||
| Total Utilities | 13,843,674 | |||||||
|
| |||||||
Total Common Stock (cost $214,823,887) | 267,312,632 | |||||||
|
| |||||||
Preferred Stock (0.7%) | ||||||||
| Financials (0.4%) | ||||||||
| 820 | East West Bancorp, Inc.c | 1,199,250 | ||||||
|
| |||||||
| Total Financials | 1,199,250 | |||||||
|
| |||||||
| Health Care (0.3%) | ||||||||
| 51,400 | National Healthcare Corporation, Convertiblec | 763,290 | ||||||
|
| |||||||
| Total Health Care | 763,290 | |||||||
|
| |||||||
Total Preferred Stock (cost $1,505,546) | 1,962,540 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (9.3%) | ||||||||
| 25,258,400 | Thrivent Financial Securities Lending Trust | 25,258,400 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $25,258,400) | 25,258,400 | |||||||
|
| |||||||
| Total Investments (cost $241,587,833) 108.6% | $ | 294,533,572 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.6%) | (23,249,523 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 271,284,049 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 72,462,741 | ||
Gross unrealized depreciation | (20,883,060 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 51,579,681 | ||
Cost for federal income tax purposes | $ | 242,953,891 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Small Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 36,402,570 | 36,402,570 | — | — | ||||||||||||
Consumer Staples | 1,781,728 | 1,781,728 | — | — | ||||||||||||
Energy | 15,667,313 | �� | 15,667,313 | — | — | |||||||||||
Financials | 59,676,782 | 59,676,782 | — | — | ||||||||||||
Health Care | 14,043,741 | 14,043,741 | — | — | ||||||||||||
Industrials | 70,581,855 | 70,581,855 | — | — | ||||||||||||
Information Technology | 29,511,364 | 29,511,364 | — | — | ||||||||||||
Materials | 25,045,505 | 22,802,270 | 2,243,235 | — | ||||||||||||
Telecommunications Services | 758,100 | 758,100 | — | — | ||||||||||||
Utilities | 13,843,674 | 13,843,674 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 1,199,250 | — | 1,199,250 | — | ||||||||||||
Health Care | 763,290 | 763,290 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 25,258,400 | 25,258,400 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 294,533,572 | $ | 291,091,087 | $ | 3,442,485 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | (142 | ) | |||
Total Foreign Exchange Contracts | (142 | ) | ||||
|
| |||||
Total | ($ | 142 | ) | |||
|
| |||||
Partner Small Cap Value Portfolio’s average volume of derivative activity for foreign exchange contracts during the period were <0.1% of average net assets.
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 19,198,200 | $ | 55,429,475 | $ | 49,369,275 | 25,258,400 | $ | 25,258,400 | $ | 12,252 | |||||||||||||
Total Value and Income Earned | 19,198,200 | 25,258,400 | 12,252 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (88.8%) | Value | ||||||
| Consumer Discretionary (6.7%) | ||||||||
| 82,700 | Cooper Tire & Rubber Company | $ | 1,636,633 | |||||
| 13,800 | DreamWorks Animation SKG, Inc.a | 277,380 | ||||||
| 242,331 | Foot Locker, Inc. | 5,757,785 | ||||||
| 35,700 | Jack in the Box, Inc.a | 813,246 | ||||||
| 66,200 | Knology, Inc.a | 983,070 | ||||||
| 510,262 | Pier 1 Imports, Inc.a | 5,903,731 | ||||||
| 111,364 | Signet Jewelers, Ltd.a | 5,212,949 | ||||||
|
| |||||||
| Total Consumer Discretionary | 20,584,794 | |||||||
|
| |||||||
| Consumer Staples (8.2%) | ||||||||
| 109,700 | BJ’s Wholesale Club, Inc.a | 5,523,395 | ||||||
| 111,837 | Corn Products International, Inc. | 6,182,350 | ||||||
| 75,974 | Diamond Foods, Inc.b | 5,799,855 | ||||||
| 102,780 | Herbalife, Ltd. | 5,924,239 | ||||||
| 31,700 | TreeHouse Foods, Inc.a | 1,731,137 | ||||||
|
| |||||||
| Total Consumer Staples | 25,160,976 | |||||||
|
| |||||||
| Energy (10.4%) | ||||||||
| 185,712 | Arch Coal, Inc. | 4,951,082 | ||||||
| 247,200 | James River Coal Companya | 5,146,704 | ||||||
| 65,812 | Oil States International, Inc.a | 5,259,037 | ||||||
| 229,243 | Patriot Coal Corporationa | 5,102,949 | ||||||
| 353,390 | Petroleum Geo-Services ASAa | 5,048,397 | ||||||
| 141,343 | Swift Energy Companya | 5,267,853 | ||||||
| 50,700 | Tesco Corporationa | 984,087 | ||||||
| 25,300 | Willbros Group, Inc.a | 216,062 | ||||||
|
| |||||||
| Total Energy | 31,976,171 | |||||||
|
| |||||||
| Financials (13.4%) | ||||||||
| 48,796 | Affiliated Managers Group, Inc.a | 4,950,354 | ||||||
| 136,600 | First Niagara Financial Group, Inc. | 1,803,120 | ||||||
| 80,800 | Hercules Technology Growth Capital, Inc. | 850,016 | ||||||
| 38,100 | IBERIABANK Corporation | 2,196,084 | ||||||
| 181,380 | LaSalle Hotel Properties | 4,777,549 | ||||||
| 47,185 | Nara Bancorp, Inc.a | 383,614 | ||||||
| 382,636 | Ocwen Financial Corporationa | 4,882,435 | ||||||
| 1,742,523 | Popular, Inc.a | 4,809,364 | ||||||
| 88,000 | Solar Capital, Ltd. | 2,172,720 | ||||||
| 81,435 | SVB Financial Groupa | 4,862,484 | ||||||
| 184,484 | Texas Capital Bancshares, Inc.a | 4,765,222 | ||||||
| 206,303 | Zions Bancorporation | 4,953,335 | ||||||
|
| |||||||
| Total Financials | 41,406,297 | |||||||
|
| |||||||
| Health Care (10.2%) | ||||||||
| 98,301 | Align Technology, Inc.a | 2,241,263 | ||||||
| 89,242 | Covance, Inc.a | 5,298,297 | ||||||
| 49,344 | Gen-Probe, Inc.a | 3,412,138 | ||||||
| 172,111 | Health Net, Inc.a | 5,528,205 | ||||||
| 183,717 | PSS World Medical, Inc.a,b | 5,145,913 | ||||||
| 86,711 | United Therapeutics Corporationa | 4,777,776 | ||||||
| 99,239 | Universal Health Services, Inc. | 5,113,786 | ||||||
|
| |||||||
| Total Health Care | 31,517,378 | |||||||
|
| |||||||
| Industrials (15.0%) | ||||||||
| 3,900 | Alaska Air Group, Inc.a | 266,994 | ||||||
| 228,968 | Deluxe Corporation | 5,657,799 | ||||||
| 184,704 | EMCOR Group, Inc.a | 5,413,674 | ||||||
| 148,795 | FTI Consulting, Inc.a,b | 5,645,282 | ||||||
| 127,400 | GATX Corporation | 4,729,088 | ||||||
| 11,370 | Huron Consulting Group, Inc.a | 343,488 | ||||||
| 64,600 | ICF International, Inc.a | 1,639,548 | ||||||
| 16,000 | Kforce, Inc.a | 209,280 | ||||||
| 26,700 | Landstar System, Inc. | 1,241,016 | ||||||
| 318,884 | Manitowoc Company, Inc. | 5,370,007 | ||||||
| 89,000 | Navigant Consulting, Inc.a | 933,610 | ||||||
| 23,400 | Old Dominion Freight Line, Inc.a | 872,820 | ||||||
| 144,955 | Shaw Group, Inc.a | 4,379,091 | ||||||
| 36,600 | Steelcase, Inc. | 416,874 | ||||||
| 52,800 | Sykes Enterprises, Inc.a | 1,136,784 | ||||||
| 98,272 | Teledyne Technologies, Inc.a | 4,948,978 | ||||||
| 9,800 | UTI Worldwide, Inc. | 192,962 | ||||||
| 90,800 | Waste Connections, Inc. | 2,881,084 | ||||||
|
| |||||||
| Total Industrials | 46,278,379 | |||||||
|
| |||||||
| Information Technology (19.7%) | ||||||||
| 921,146 | Brocade Communicationsa | 5,950,603 | ||||||
| 145,874 | Cogo Group, Inc.a | 778,967 | ||||||
| 113,598 | CommVault Systems, Inc.a | 5,049,431 | ||||||
| 83,460 | Informatica Corporationa | 4,876,568 | ||||||
| 58,600 | Ingram Micro, Inc.a | 1,063,004 | ||||||
| 441,609 | Monster Worldwide, Inc.a | 6,473,988 | ||||||
| 124,577 | Netlogic Microsystems, Inc.a | 5,035,402 | ||||||
| 158,745 | Plantronics, Inc. | 5,798,955 | ||||||
| 174,486 | Plexus Corporationa | 6,073,858 | ||||||
| 215,643 | Quest Software, Inc.a | 4,901,565 | ||||||
| 148,400 | SuccessFactors, Inc.a | 4,362,960 | ||||||
| 337,909 | Teradyne, Inc.a | 5,001,053 | ||||||
| 185,172 | TIBCO Software, Inc.a | 5,373,692 | ||||||
|
| |||||||
| Total Information Technology | 60,740,046 | |||||||
|
| |||||||
| Materials (0.7%) | ||||||||
| 15,000 | Packaging Corporation of America | 419,850 | ||||||
| 26,400 | Reliance Steel & Aluminum Company | 1,310,760 | ||||||
| 51,600 | Thompson Creek Metals Company, Inc.a | 514,968 | ||||||
|
| |||||||
| Total Materials | 2,245,578 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | ||||||||
| 76,600 | NTELOS Holdings Corporation | 1,564,172 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,564,172 | |||||||
|
| |||||||
| Utilities (4.0%) | ||||||||
| 42,800 | Avista Corporation | 1,099,532 | ||||||
| 14,800 | NV Energy, Inc. | 227,180 | ||||||
| 248,522 | PNM Resources, Inc. | 4,160,258 | ||||||
| 11,800 | Portland General Electric Company | 298,304 | ||||||
| 125,287 | Southwest Gas Corporation | 4,837,331 | ||||||
| 21,765 | UGI Corporation | 694,086 | ||||||
| 22,300 | UniSource Energy Corporation | 832,459 | ||||||
|
| |||||||
| Total Utilities | 12,149,150 | |||||||
|
| |||||||
Total Common Stock (cost $236,852,602) | 273,622,941 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Collateral Held for Securities Loaned (2.5%) | Value | ||||||
| 7,774,221 | Thrivent Financial Securities Lending Trust | $ | 7,774,221 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $7,774,221) | 7,774,221 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (11.1%)c | |||||||
| Alpine Securitization Corporation | ||||||||
| 5,000,000 | 0.130%, 7/18/2011 | 4,999,693 | ||||||
| Barton Capital LLC | ||||||||
| 7,530,000 | 0.070%, 7/1/2011d | 7,530,000 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 15,000,000 | 0.040%, 7/13/2011 | 14,999,800 | ||||||
| 5,000,000 | 0.010%, 7/18/2011 | 4,999,977 | ||||||
| U.S. Treasury Bills | ||||||||
| 1,800,000 | 0.125%, 8/18/2011e | 1,799,702 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 34,329,172 | |||||||
|
| |||||||
| Total Investments (cost $278,955,995) 102.4% | $ | 315,726,334 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.4%) | (7,538,757 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 308,187,577 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or 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 June 30, 2011, $1,799,702 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 | $ | 41,362,546 | ||
Gross unrealized depreciation | (5,020,952 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 36,341,594 | ||
Cost for federal income tax purposes | $ | 279,384,740 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Small Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 20,584,794 | 20,584,794 | — | — | ||||||||||||
Consumer Staples | 25,160,976 | 25,160,976 | — | — | ||||||||||||
Energy | 31,976,171 | 26,927,774 | 5,048,397 | — | ||||||||||||
Financials | 41,406,297 | 41,406,297 | — | — | ||||||||||||
Health Care | 31,517,378 | 31,517,378 | — | — | ||||||||||||
Industrials | 46,278,379 | 46,278,379 | — | — | ||||||||||||
Information Technology | 60,740,046 | 60,740,046 | — | — | ||||||||||||
Materials | 2,245,578 | 2,245,578 | — | — | ||||||||||||
Telecommunications Services | 1,564,172 | 1,564,172 | — | — | ||||||||||||
Utilities | 12,149,150 | 12,149,150 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 7,774,221 | 7,774,221 | — | — | ||||||||||||
Short-Term Investments | 34,329,172 | — | 34,329,172 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 315,726,334 | $ | 276,348,765 | $ | 39,377,569 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,256,742 | 1,256,742 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,256,742 | $ | 1,256,742 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 334 | September 2011 | $ | 26,311,618 | $ | 27,568,360 | $ | 1,256,742 | ||||||||||||
Total Futures Contracts | $ | 1,256,742 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | $ | 1,256,742 | |||
Total Equity Contracts | 1,256,742 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,256,742 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 815,494 | ||||
Total Equity Contracts | 815,494 | |||||
|
| |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (27,651 | ) | |||
Total Foreign Exchange Contracts | (27,651 | ) | ||||
|
| |||||
Total | $ | 787,843 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | 828,324 | ||||
Total Equity Contracts | 828,324 | |||||
|
| |||||
Total | $ | 828,324 | ||||
|
| |||||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 27,489,695 | 8.9 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 105,129 | <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.
161
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 13,642,150 | $ | 60,008,658 | $ | 65,876,587 | 7,774,221 | $ | 7,774,221 | $ | 23,516 | |||||||||||||
Total Value and Income Earned | 13,642,150 | 7,774,221 | 23,516 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Consumer Discretionary (14.9%) | ||||||||
| 7,600 | American Public Education, Inc.a | $ | 338,276 | |||||
| 11,600 | Arbitron, Inc. | 479,428 | ||||||
| 5,200 | Arctic Cat, Inc.a | 69,836 | ||||||
| 8,000 | Audiovox Corporationa | 60,480 | ||||||
| 9,400 | Big 5 Sporting Goods Corporation | 73,884 | ||||||
| 615 | Biglari Holdings, Inc.a | 240,496 | ||||||
| 9,800 | BJ’s Restaurants, Inc.a,b | 513,128 | ||||||
| 6,200 | Blue Nile, Inc.a,b | 272,676 | ||||||
| 2,300 | Blyth, Inc. | 115,805 | ||||||
| 23,200 | Boyd Gaming Corporationa | 201,840 | ||||||
| 18,925 | Brown Shoe Company, Inc.b | 201,551 | ||||||
| 38,000 | Brunswick Corporation | 775,200 | ||||||
| 11,350 | Buckle, Inc.b | 484,645 | ||||||
| 7,800 | Buffalo Wild Wings, Inc.a | 517,218 | ||||||
| 17,400 | Cabela’s, Inc.a,b | 472,410 | ||||||
| 10,500 | California Pizza Kitchen, Inc.a | 193,935 | ||||||
| 27,500 | Callaway Golf Companyb | 171,050 | ||||||
| 6,700 | Capella Education Companya,b | 280,395 | ||||||
| 24,600 | Carter’s, Inc.a | 756,696 | ||||||
| 12,600 | Cato Corporation | 362,880 | ||||||
| 8,425 | CEC Entertainment, Inc. | 337,927 | ||||||
| 11,000 | Children’s Place Retail Stores, Inc.a | 489,390 | ||||||
| 15,225 | Christopher & Banks Corporation | 87,544 | ||||||
| 13,400 | Coinstar, Inc.a,b | 730,836 | ||||||
| 25,700 | Coldwater Creek, Inc.a,b | 35,980 | ||||||
| 36,100 | Corinthian Colleges, Inc.a,b | 153,786 | ||||||
| 9,800 | Cracker Barrel Old Country Store, Inc. | 483,238 | ||||||
| 37,700 | Crocs, Inc.a | 970,775 | ||||||
| 6,800 | DineEquity, Inc.a | 355,436 | ||||||
| 8,200 | Drew Industries, Inc. | 202,704 | ||||||
| 13,333 | E.W. Scripps Companya | 128,930 | ||||||
| 12,250 | Ethan Allen Interiors, Inc.b | 260,803 | ||||||
| 22,993 | Finish Line, Inc. | 492,050 | ||||||
| 16,750 | Fred’s, Inc. | 241,702 | ||||||
| 10,100 | Genesco, Inc.a | 526,210 | ||||||
| 10,200 | Group 1 Automotive, Inc.b | 420,036 | ||||||
| 16,900 | Harte-Hanks, Inc. | 137,228 | ||||||
| 7,900 | Haverty Furniture Companies, Inc. | 90,929 | ||||||
| 13,200 | Helen of Troy, Ltd.a | 455,796 | ||||||
| 11,650 | Hibbett Sports, Inc.a | 474,271 | ||||||
| 26,700 | Hillenbrand, Inc. | 631,455 | ||||||
| 19,075 | Hot Topic, Inc. | 141,918 | ||||||
| 16,700 | HSN, Inc.a | 549,764 | ||||||
| 31,100 | Iconix Brand Group, Inc.a | 752,620 | ||||||
| 17,400 | Interval Leisure Group, Inc.a | 238,206 | ||||||
| 21,200 | Jack in the Box, Inc.a | 482,936 | ||||||
| 11,600 | JAKKS Pacific, Inc.a | 213,556 | ||||||
| 11,762 | Joseph A. Bank Clothiers, Inc.a | 588,218 | ||||||
| 9,200 | Kid Brands, Inc.a | 47,472 | ||||||
| 6,700 | Kirkland’s, Inc.a | 80,534 | ||||||
| 11,600 | K-Swiss, Inc.a | 123,308 | ||||||
| 22,100 | La-Z-Boy, Inc.a | 218,127 | ||||||
| 9,100 | Lincoln Educational Services | 156,065 | ||||||
| 9,300 | Lithia Motors, Inc.b | 182,559 | ||||||
| 66,818 | Live Nation Entertainment, Inc.a | 766,402 | ||||||
| 40,300 | Liz Claiborne, Inc.a,b | 215,605 | ||||||
| 10,000 | Lumber Liquidators Holdings, Inc.a,b | 254,000 | ||||||
| 8,000 | M/I Homes, Inc.a | 98,080 | ||||||
| 10,000 | Maidenform Brands, Inc.a | 276,600 | ||||||
| 9,300 | Marcus Corporation | 91,884 | ||||||
| 9,900 | MarineMax, Inc.a | 86,724 | ||||||
| 22,000 | Men’s Wearhouse, Inc. | 741,400 | ||||||
| 13,800 | Meritage Homes Corporationa | 311,328 | ||||||
| 6,100 | Midas, Inc.a | 38,552 | ||||||
| 4,800 | Monarch Casino & Resort, Inc.a | 50,112 | ||||||
| 13,050 | Monro Muffler Brake, Inc. | 486,635 | ||||||
| 7,400 | Movado Group, Inc. | 126,614 | ||||||
| 11,500 | Multimedia Games Holding Company, Inc.a | 52,325 | ||||||
| 11,500 | NutriSystem, Inc.b | 161,690 | ||||||
| 8,100 | O’Charley’s, Inc.a | 59,211 | ||||||
| 36,700 | OfficeMax, Inc.a | 288,095 | ||||||
| 5,900 | Oxford Industries, Inc. | 199,184 | ||||||
| 9,700 | P.F. Chang’s China Bistro, Inc.b | 390,328 | ||||||
| 8,600 | Papa John’s International, Inc.a | 286,036 | ||||||
| 5,500 | Peet’s Coffee & Tea, Inc.a,b | 317,350 | ||||||
| 22,500 | Pep Boys - Manny, Moe & Jack | 245,925 | ||||||
| 5,400 | Perry Ellis International, Inc.a | 136,350 | ||||||
| 9,200 | PetMed Express, Inc.b | 109,020 | ||||||
| 26,400 | Pinnacle Entertainment, Inc.a,b | 393,360 | ||||||
| 20,512 | Pool Corporationb | 611,463 | ||||||
| 4,200 | Pre-Paid Legal Services, Inc.a | 279,258 | ||||||
| 55,500 | Quiksilver, Inc.a | 260,850 | ||||||
| 6,500 | Red Robin Gourmet Burgers, Inc.a | 236,470 | ||||||
| 27,800 | Ruby Tuesday, Inc.a | 299,684 | ||||||
| 6,500 | Rue21, Inc.a,b | 211,250 | ||||||
| 13,200 | Ruth’s Hospitality Group, Inc.a | 74,052 | ||||||
| 23,700 | Select Comfort Corporationa | 426,126 | ||||||
| 23,125 | Shuffle Master, Inc.a | 216,334 | ||||||
| 15,100 | Skechers USA, Inc.a | 218,648 | ||||||
| 2,900 | Skyline Corporation | 50,750 | ||||||
| 15,100 | Sonic Automotive, Inc.b | 221,215 | ||||||
| 26,352 | Sonic Corporationa | 280,122 | ||||||
| 14,200 | Spartan Motors, Inc. | 76,680 | ||||||
| 15,400 | Stage Stores, Inc. | 258,720 | ||||||
| 5,100 | Stamps.com, Inc. | 68,034 | ||||||
| 8,400 | Standard Motor Products, Inc. | 127,932 | ||||||
| 42,000 | Standard Pacific Corporationa,b | 140,700 | ||||||
| 11,900 | Stein Mart, Inc. | 114,716 | ||||||
| 14,950 | Steven Madden, Ltd.a | 560,774 | ||||||
| 8,000 | Sturm, Ruger & Company, Inc.b | 175,600 | ||||||
| 10,000 | Superior Industries International, Inc. | 221,100 | ||||||
| 24,600 | Texas Roadhouse, Inc. | 431,361 | ||||||
| 11,000 | True Religion Apparel, Inc.a | 319,880 | ||||||
| 15,500 | Tuesday Morning Corporationa | 72,075 | ||||||
| 6,400 | Universal Electronic, Inc.a | 161,664 | ||||||
| 9,000 | Universal Technical Institute, Inc. | 177,930 | ||||||
| 11,000 | Vitamin Shoppe, Inc.a | 503,360 | ||||||
| 12,400 | Winnebago Industries, Inc.a | 119,784 | ||||||
| 21,200 | Wolverine World Wide, Inc. | 885,100 | ||||||
| 9,900 | Zale Corporationa | 55,440 | ||||||
| 9,000 | Zumiez, Inc.a,b | 224,730 | ||||||
|
| |||||||
| Total Consumer Discretionary | 32,328,750 | |||||||
|
| |||||||
| Consumer Staples (4.1%) | ||||||||
| 37,100 | Alliance One International, Inc.a | 119,833 | ||||||
| 8,100 | Andersons, Inc. | 342,225 | ||||||
| 20,400 | B&G Foods, Inc. | 420,648 | ||||||
| 3,900 | Boston Beer Company, Inc.a | 349,440 | ||||||
| 5,200 | Calavo Growers, Inc.b | 109,512 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
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Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Consumer Staples (4.1%) - continued | ||||||||
| 5,700 | Cal-Maine Foods, Inc.b | $ | 182,172 | |||||
| 16,200 | Casey’s General Stores, Inc. | 712,800 | ||||||
| 20,800 | Central Garden & Pet Companya | 211,120 | ||||||
| 49,900 | Darling International, Inc.a | 883,230 | ||||||
| 9,400 | Diamond Foods, Inc.b | 717,596 | ||||||
| 18,500 | Hain Celestial Group, Inc.a | 617,160 | ||||||
| 6,500 | Inter Parfums, Inc. | 149,695 | ||||||
| 6,100 | J & J Snack Foods Corporation | 304,085 | ||||||
| 5,700 | Medifast, Inc.a,b | 135,261 | ||||||
| 5,200 | Nash Finch Company | 186,212 | ||||||
| 21,400 | Prestige Brands Holdings, Inc.a | 274,776 | ||||||
| 8,000 | Sanderson Farms, Inc.b | 382,240 | ||||||
| 3,900 | Seneca Foods Corporationa | 99,762 | ||||||
| 20,300 | Snyders-Lance, Inc. | 439,089 | ||||||
| 9,600 | Spartan Stores, Inc. | 187,488 | ||||||
| 15,100 | TreeHouse Foods, Inc.a | 824,611 | ||||||
| 20,600 | United Natural Foods, Inc.a | 879,002 | ||||||
| 7,170 | WD-40 Company | 279,917 | ||||||
|
| |||||||
| Total Consumer Staples | 8,807,874 | |||||||
|
| |||||||
| Energy (4.3%) | ||||||||
| 10,100 | Basic Energy Services, Inc.a | 317,847 | ||||||
| 15,500 | Bristow Group, Inc. | 790,810 | ||||||
| 5,500 | Contango Oil & Gas Companya | 321,420 | ||||||
| 7,900 | GeoResources, Inc.a | 177,671 | ||||||
| 6,100 | Gulf Island Fabrication, Inc. | 196,908 | ||||||
| 16,000 | Gulfport Energy Corporationa | 475,040 | ||||||
| 9,700 | Hornbeck Offshore Services, Inc.a | 266,750 | ||||||
| 66,500 | ION Geophysical Corporationa | 629,090 | ||||||
| 13,000 | Lufkin Industries, Inc. | 1,118,650 | ||||||
| 11,300 | Matrix Service Companya | 151,194 | ||||||
| 1,900 | OYO Geospace Corporationa | 190,000 | ||||||
| 19,500 | Penn Virginia Corporation | 257,595 | ||||||
| 10,000 | Petroleum Development Corporationa,b | 299,100 | ||||||
| 23,700 | PetroQuest Energy, Inc.a,b | 166,374 | ||||||
| 23,200 | Pioneer Drilling Companya | 353,568 | ||||||
| 9,250 | SEACOR Holdings, Inc. | 924,630 | ||||||
| 20,900 | Stone Energy Corporationa | 635,151 | ||||||
| 18,100 | Swift Energy Companya | 674,587 | ||||||
| 32,750 | Tetra Technologies, Inc.a | 416,907 | ||||||
| 30,200 | World Fuel Services Corporation | 1,085,086 | ||||||
|
| |||||||
| Total Energy | 9,448,378 | |||||||
|
| |||||||
| Financials (18.9%) | ||||||||
| 17,228 | Acadia Realty Trust | 350,245 | ||||||
| 7,800 | Amerisafe, Inc.a | 176,436 | ||||||
| 19,600 | Bank Mutual Corporation | 71,932 | ||||||
| 5,600 | Bank of the Ozarks, Inc. | 291,536 | ||||||
| 56,000 | BioMed Realty Trust, Inc. | 1,077,440 | ||||||
| 32,800 | Boston Private Financial Holdings, Inc. | 215,824 | ||||||
| 25,200 | Brookline Bancorp, Inc. | 233,604 | ||||||
| 8,600 | Calamos Asset Management, Inc. | 124,872 | ||||||
| 12,500 | Cash America International, Inc. | 723,375 | ||||||
| 20,500 | Cedar Shopping Centers, Inc. | 105,575 | ||||||
| 6,500 | City Holding Companyb | 214,695 | ||||||
| 35,600 | Colonial Properties Trust | 726,240 | ||||||
| 16,800 | Columbia Banking System, Inc. | 289,296 | ||||||
| 15,700 | Community Bank System, Inc.b | 389,203 | ||||||
| 23,465 | Delphi Financial Group, Inc. | 685,413 | ||||||
| 71,367 | DiamondRock Hospitality Company | 765,768 | ||||||
| 11,875 | Dime Community Bancshares | 172,662 | ||||||
| 11,400 | EastGroup Properties, Inc. | 484,614 | ||||||
| 9,100 | eHealth, Inc.a,b | 121,576 | ||||||
| 16,400 | Employers Holdings, Inc. | 275,028 | ||||||
| 19,900 | Entertainment Properties Trust | 929,330 | ||||||
| 39,900 | Extra Space Storage, Inc. | 851,067 | ||||||
| 21,300 | EZCORP, Inc.a | 757,747 | ||||||
| 54,100 | F.N.B. Corporationb | 559,935 | ||||||
| 9,073 | First BanCorpa,b | 39,105 | ||||||
| 13,400 | First Cash Financial Services, Inc.a | 562,666 | ||||||
| 40,300 | First Commonwealth Financial Corporation | 231,322 | ||||||
| 24,800 | First Financial Bancorp | 413,912 | ||||||
| 13,450 | First Financial Bankshares, Inc.b | 463,352 | ||||||
| 31,812 | First Midwest Bancorp, Inc. | 390,969 | ||||||
| 15,100 | Forestar Real Estate Group, Inc.a | 248,093 | ||||||
| 30,200 | Franklin Street Properties Corporation | 389,882 | ||||||
| 10,800 | Getty Realty Corporationb | 272,484 | ||||||
| 30,700 | Glacier Bancorp, Inc. | 413,836 | ||||||
| 64,500 | Hanmi Financial Corporationa | 69,015 | ||||||
| 31,000 | Healthcare Realty Trust, Inc. | 639,530 | ||||||
| 9,320 | Home Bancshares, Inc. | 220,325 | ||||||
| 16,700 | Home Properties, Inc. | 1,016,696 | ||||||
| 17,000 | Horace Mann Educators Corporation | 265,370 | ||||||
| 9,100 | Independent Bank Corporation (MA)b | 238,875 | ||||||
| 5,300 | Infinity Property & Casualty Corporation | 289,698 | ||||||
| 32,900 | Inland Real Estate Corporation | 290,507 | ||||||
| 18,000 | Interactive Brokers Group, Inc. | 281,700 | ||||||
| 17,600 | Investment Technology Group, Inc.a | 246,752 | ||||||
| 24,900 | Kilroy Realty Corporation | 983,301 | ||||||
| 27,100 | Kite Realty Group Trust | 134,958 | ||||||
| 36,400 | LaSalle Hotel Properties | 958,776 | ||||||
| 57,659 | Lexington Realty Trust | 526,427 | ||||||
| 12,900 | LTC Properties, Inc. | 358,878 | ||||||
| 22,674 | Meadowbrook Insurance Group, Inc. | 224,699 | ||||||
| 47,600 | Medical Properties Trust, Inc. | 547,400 | ||||||
| 15,600 | Mid-America Apartment Communities, Inc. | 1,052,532 | ||||||
| 16,200 | Nara Bancorp, Inc.a | 131,706 | ||||||
| 18,800 | National Financial Partnersa,b | 216,952 | ||||||
| 52,400 | National Penn Bancshares, Inc. | 415,532 | ||||||
| 36,300 | National Retail Properties, Inc.b | 889,713 | ||||||
| 5,300 | Navigators Group, Inc.a | 249,100 | ||||||
| 14,700 | NBT Bancorp, Inc. | 325,311 | ||||||
| 40,400 | Old National Bancorp | 436,320 | ||||||
| 18,100 | optionsXpress Holdings, Inc. | 301,908 | ||||||
| 14,100 | PacWest Bancorp | 290,037 | ||||||
| 9,400 | Parkway Properties, Inc. | 160,364 | ||||||
| 23,700 | Pennsylvania Real Estate Investment Trustb | 372,090 | ||||||
| 14,600 | Pinnacle Financial Partners, Inc.a,b | 227,176 | ||||||
| 6,700 | Piper Jaffray Companiesa | 193,027 | ||||||
| 7,300 | Portfolio Recovery Associates, Inc.a | 618,967 | ||||||
| 21,300 | Post Properties, Inc. | 868,188 | ||||||
| 9,100 | Presidential Life Corporationb | 95,004 | ||||||
| 25,100 | PrivateBancorp, Inc. | 346,380 | ||||||
| 13,000 | ProAssurance Corporationa | 910,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Financials (18.9%) - continued | ||||||||
| 46,400 | Prospect Capital Corporationb | $ | 469,104 | |||||
| 22,200 | Provident Financial Services, Inc. | 317,904 | ||||||
| 8,000 | PS Business Parks, Inc. | 440,800 | ||||||
| 7,100 | RLI Corporationb | 439,632 | ||||||
| 10,600 | S&T Bancorp, Inc.b | 197,054 | ||||||
| 6,500 | Safety Insurance Group, Inc. | 273,260 | ||||||
| 4,900 | Saul Centers, Inc. | 192,913 | ||||||
| 23,000 | Selective Insurance Group, Inc. | 374,210 | ||||||
| 17,600 | Signature Banka | 1,006,720 | ||||||
| 7,400 | Simmons First National Corporation | 189,884 | ||||||
| 11,800 | Sovran Self Storage, Inc. | 483,800 | ||||||
| 13,200 | Sterling Bancorp | 125,268 | ||||||
| 43,500 | Sterling Bancshares, Inc. | 354,960 | ||||||
| 8,200 | Stewart Information Services Corporation | 82,246 | ||||||
| 22,950 | Stifel Financial Corporationa | 822,987 | ||||||
| 55,400 | Susquehanna Bancshares, Inc. | 443,200 | ||||||
| 12,526 | SWS Group, Inc. | 75,031 | ||||||
| 34,700 | Tanger Factory Outlet Centers, Inc. | 928,919 | ||||||
| 15,900 | Texas Capital Bancshares, Inc.a | 410,697 | ||||||
| 3,540 | Tompkins Financial Corporation | 138,910 | ||||||
| 17,600 | Tower Group, Inc. | 419,232 | ||||||
| 38,582 | Trustco Bank Corporation NY | 189,052 | ||||||
| 12,800 | UMB Financial Corporationb | 536,064 | ||||||
| 48,900 | Umpqua Holdings Corporationb | 565,773 | ||||||
| 16,400 | United Bankshares, Inc.b | 401,472 | ||||||
| 8,075 | United Community Banks, Inc.a,b | 85,272 | ||||||
| 9,100 | United Fire & Casualty Company | 158,067 | ||||||
| 5,400 | Universal Health Realty Income Trust | 215,892 | ||||||
| 10,000 | Urstadt Biddle Properties, Inc. | 181,100 | ||||||
| 24,100 | Wilshire Bancorp, Inc.a,b | 70,854 | ||||||
| 14,900 | Wintrust Financial Corporationb | 479,482 | ||||||
| 6,612 | World Acceptance Corporationa,b | 433,549 | ||||||
|
| |||||||
| Total Financials | 40,915,556 | |||||||
|
| |||||||
| Health Care (12.7%) | ||||||||
| 9,600 | Abaxis, Inc.a | 261,600 | ||||||
| 30,100 | Affymetrix, Inc.a | 238,693 | ||||||
| 4,800 | Air Methods Corporationa | 358,752 | ||||||
| 29,500 | Align Technology, Inc.a | 672,600 | ||||||
| 3,500 | Almost Family, Inc.a | 95,900 | ||||||
| 12,533 | Amedisys, Inc.a,b | 333,754 | ||||||
| 21,200 | AMERIGROUP Corporationa | 1,493,964 | ||||||
| 16,900 | AMN Healthcare Services, Inc.a | 140,608 | ||||||
| 13,350 | AmSurg Corporationa | 348,835 | ||||||
| 5,400 | Analogic Corporation | 283,986 | ||||||
| 18,900 | ArQule, Inc.a | 118,125 | ||||||
| 10,500 | Bio-Reference Laboratories, Inc.a,b | 219,450 | ||||||
| 12,500 | Cambrex Corporationa | 57,750 | ||||||
| 5,500 | Cantel Medical Corporation | 148,005 | ||||||
| 21,300 | Centene Corporationa | 756,789 | ||||||
| 9,100 | Chemed Corporation | 596,232 | ||||||
| 4,700 | Computer Programs and Systems, Inc. | 298,356 | ||||||
| 12,050 | CONMED Corporationa | 343,184 | ||||||
| 2,800 | Corvel Corporationa | 131,320 | ||||||
| 13,300 | Cross Country Healthcare, Inc.a | 101,080 | ||||||
| 11,950 | CryoLife, Inc.a | 66,920 | ||||||
| 25,600 | Cubist Pharmaceuticals, Inc.a,b | 921,344 | ||||||
| 10,400 | Cyberonics, Inc.a | 290,680 | ||||||
| 9,400 | Emergent Biosolutions, Inc.a | 211,970 | ||||||
| 5,600 | Ensign Group, Inc. | 170,184 | ||||||
| 14,397 | Enzo Biochem, Inc.a | 61,187 | ||||||
| 18,400 | eResearch Technology, Inc.a | 117,208 | ||||||
| 13,000 | Gentiva Health Services, Inc.a | 270,790 | ||||||
| 9,900 | Greatbatch, Inc.a | 265,518 | ||||||
| 11,000 | Haemonetics Corporationa | 708,070 | ||||||
| 14,200 | Hanger Orthopedic Group, Inc.a | 347,474 | ||||||
| 28,900 | Healthspring, Inc.a | 1,333,157 | ||||||
| 14,500 | Healthways, Inc.a | 220,110 | ||||||
| 4,400 | Hi-Tech Pharmacal Companya | 127,292 | ||||||
| 12,100 | HMS Holding Corporationa | 930,127 | ||||||
| 5,100 | ICU Medical, Inc.a | 222,870 | ||||||
| 8,800 | Integra LifeSciences Holdings Corporationa,b | 420,728 | ||||||
| 13,600 | Invacare Corporation | 451,384 | ||||||
| 7,000 | IPC The Hospitalist Company, Inc.a | 324,450 | ||||||
| 6,400 | Kendle International, Inc.a | 96,512 | ||||||
| 3,600 | Kensey Nash Corporationa | 90,828 | ||||||
| 4,000 | Landauer, Inc. | 246,360 | ||||||
| 8,050 | LCA-Vision, Inc.a | 38,479 | ||||||
| 6,700 | LHC Group, Inc.a | 154,502 | ||||||
| 13,300 | Magellan Health Services, Inc.a | 728,042 | ||||||
| 8,700 | MedCath Corporationa | 118,233 | ||||||
| 22,600 | Medicines Companya | 373,126 | ||||||
| 17,500 | Meridian Bioscience, Inc.b | 421,925 | ||||||
| 15,475 | Merit Medical Systems, Inc.a | 278,086 | ||||||
| 10,900 | Molina Healthcare, Inc.a | 295,608 | ||||||
| 5,400 | MWI Veterinary Supply, Inc.a | 436,158 | ||||||
| 12,400 | Natus Medical, Inc.a | 187,860 | ||||||
| 9,850 | Neogen Corporationa | 445,319 | ||||||
| 16,900 | NuVasive, Inc.a,b | 555,672 | ||||||
| 14,100 | Omnicell, Inc.a | 219,819 | ||||||
| 8,100 | Palomar Medical Technologies, Inc.a | 91,368 | ||||||
| 15,400 | Par Pharmaceutical Companies, Inc.a | 507,892 | ||||||
| 25,100 | PAREXEL International Corporationa | 591,356 | ||||||
| 12,500 | PharMerica Corporationa | 159,500 | ||||||
| 23,700 | PSS World Medical, Inc.a | 663,837 | ||||||
| 8,200 | Quality Systems, Inc.b | 715,860 | ||||||
| 26,300 | Questcor Pharmaceuticals, Inc.a | 633,830 | ||||||
| 31,800 | Regeneron Pharmaceuticals, Inc.a | 1,803,378 | ||||||
| 24,900 | Salix Pharmaceuticals, Ltd.a | 991,767 | ||||||
| 30,300 | Savient Pharmaceuticals, Inc.a,b | 226,947 | ||||||
| 7,500 | SurModics, Inc.a | 83,250 | ||||||
| 15,500 | Symmetry Medical, Inc.a | 139,035 | ||||||
| 32,400 | Viropharma, Inc.a | 599,400 | ||||||
| 14,300 | West Pharmaceutical Services, Inc. | 625,768 | ||||||
| 9,300 | Zoll Medical Corporationa | 526,938 | ||||||
|
| |||||||
| Total Health Care | 27,507,101 | |||||||
|
| |||||||
| Industrials (15.6%) | ||||||||
| 14,400 | A.O. Smith Corporation | 609,120 | ||||||
| 7,550 | AAON, Inc.b | 164,892 | ||||||
| 16,900 | AAR Corporation | 457,821 | ||||||
| 20,300 | ABM Industries, Inc. | 473,802 | ||||||
| 29,300 | Actuant Corporation | 786,119 | ||||||
| 6,400 | Aerovironment, Inc.a | 226,240 | ||||||
| 11,900 | Albany International Corporation | 314,041 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Industrials (15.6%) - continued | ||||||||
| 6,400 | Allegiant Travel Companya,b | $ | 316,800 | |||||
| 3,900 | American Science & Engineering, Inc. | 312,000 | ||||||
| 12,000 | Apogee Enterprises, Inc. | 153,720 | ||||||
| 16,050 | Applied Industrial Technologies, Inc. | 571,541 | ||||||
| 10,800 | Arkansas Best Corporation | 256,284 | ||||||
| 8,500 | Astec Industries, Inc.a | 314,330 | ||||||
| 5,300 | AZZ, Inc. | 242,740 | ||||||
| 6,400 | Badger Meter, Inc.b | 236,736 | ||||||
| 19,300 | Barnes Group, Inc. | 478,833 | ||||||
| 20,225 | Belden, Inc. | 705,044 | ||||||
| 22,500 | Brady Corporation | 721,350 | ||||||
| 21,500 | Briggs & Stratton Corporation | 426,990 | ||||||
| 4,000 | Cascade Corporation | 190,280 | ||||||
| 5,500 | CDI Corporation | 73,095 | ||||||
| 10,650 | Ceradyne, Inc.a | 415,244 | ||||||
| 7,400 | Circor International, Inc. | 316,942 | ||||||
| 21,500 | CLARCOR, Inc. | 1,016,520 | ||||||
| 16,200 | Comfort Systems USA, Inc. | 171,882 | ||||||
| 4,200 | Consolidated Graphics, Inc.a | 230,790 | ||||||
| 6,700 | Cubic Corporation | 341,633 | ||||||
| 19,800 | Curtiss-Wright Corporation | 640,926 | ||||||
| 12,800 | Dolan Companya | 108,416 | ||||||
| 14,500 | Dycom Industries, Inc.a | 236,930 | ||||||
| 28,500 | EMCOR Group, Inc.a | 835,335 | ||||||
| 8,100 | Encore Wire Corporation | 196,182 | ||||||
| 8,800 | EnPro Industries, Inc.a | 423,016 | ||||||
| 11,300 | ESCO Technologies, Inc. | 415,840 | ||||||
| 13,000 | Esterline Technologies Corporationa | 993,200 | ||||||
| 6,000 | Exponent, Inc.a | 261,060 | ||||||
| 26,500 | Federal Signal Corporation | 173,840 | ||||||
| 12,500 | Forward Air Corporation | 422,375 | ||||||
| 8,000 | G & K Services, Inc. | 270,880 | ||||||
| 25,000 | GenCorp, Inc.a | 160,500 | ||||||
| 27,700 | Geo Group, Inc.a | 637,931 | ||||||
| 13,000 | Gibraltar Industries, Inc.a | 147,160 | ||||||
| 20,230 | Griffon Corporationa | 203,918 | ||||||
| 28,337 | Healthcare Services Group, Inc. | 460,476 | ||||||
| 21,648 | Heartland Express, Inc.b | 358,491 | ||||||
| 7,600 | Heidrick & Struggles International, Inc. | 172,064 | ||||||
| 16,000 | Hub Group, Inc.a | 602,560 | ||||||
| 21,800 | II-VI, Inc.a | 558,080 | ||||||
| 16,800 | Insituform Technologies, Inc.a | 352,296 | ||||||
| 9,700 | Insperity, Inc. | 287,217 | ||||||
| 27,900 | Interface, Inc. | 540,423 | ||||||
| 12,200 | John Bean Technologies Corporation | 235,704 | ||||||
| 11,200 | Kaman Corporation | 397,264 | ||||||
| 13,900 | Kaydon Corporation | 518,748 | ||||||
| 12,100 | Kelly Services, Inc.a | 199,650 | ||||||
| 26,350 | Knight Transportation, Inc. | 447,687 | ||||||
| 1,700 | Lawson Products, Inc. | 33,439 | ||||||
| 5,350 | Lindsay Manufacturing Companyb | 368,080 | ||||||
| 7,300 | Lydall, Inc.a | 87,308 | ||||||
| 19,200 | Mobile Mini, Inc.a | 406,848 | ||||||
| 19,550 | Moog, Inc.a | 850,816 | ||||||
| 16,100 | Mueller Industries, Inc. | 610,351 | ||||||
| 2,200 | National Presto Industries, Inc.b | 223,278 | ||||||
| 22,000 | Navigant Consulting, Inc.a | 230,780 | ||||||
| 7,260 | NCI Building Systems, Inc.a | 82,691 | ||||||
| 18,325 | Old Dominion Freight Line, Inc.a | 683,522 | ||||||
| 15,800 | On Assignment, Inc.a | 155,314 | ||||||
| 24,900 | Orbital Sciences Corporationa | 419,565 | ||||||
| 11,500 | Orion Marine Group, Inc.a | 108,215 | ||||||
| 3,800 | Powell Industries, Inc.a | 138,700 | ||||||
| 15,775 | Quanex Building Products Corporation | 258,552 | ||||||
| 19,400 | Robbins & Myers, Inc. | 1,025,290 | ||||||
| 6,800 | School Specialty, Inc.a,b | 97,852 | ||||||
| 21,600 | SFN Group, Inc.a | 196,344 | ||||||
| 17,100 | Simpson Manufacturing Company, Inc.b | 510,777 | ||||||
| 22,600 | SkyWest, Inc. | 340,356 | ||||||
| 5,400 | Standard Register Company | 17,010 | ||||||
| 5,300 | Standex International Corporation | 162,551 | ||||||
| 17,300 | Sykes Enterprises, Inc.a | 372,469 | ||||||
| 15,700 | Teledyne Technologies, Inc.a | 790,652 | ||||||
| 26,606 | Tetra Tech, Inc.a | 598,635 | ||||||
| 13,200 | Toro Company | 798,600 | ||||||
| 9,800 | Tredegar Corporation | 179,830 | ||||||
| 18,900 | TrueBlue, Inc.a | 273,672 | ||||||
| 6,300 | UniFirst Corporation | 353,997 | ||||||
| 19,600 | United Stationers, Inc.b | 694,428 | ||||||
| 8,300 | Universal Forest Products, Inc. | 198,868 | ||||||
| 8,700 | Viad Corporation | 193,923 | ||||||
| 8,400 | Vicor Corporation | 135,828 | ||||||
| 12,500 | Watts Water Technologies, Inc. | 442,625 | ||||||
|
| |||||||
| Total Industrials | 33,824,124 | |||||||
|
| |||||||
| Information Technology (19.1%) | ||||||||
| 16,500 | Advanced Energy Industries, Inc.a | 244,035 | ||||||
| 8,400 | Agilysys, Inc.a | 70,056 | ||||||
| 12,200 | Anixter International, Inc. | 797,148 | ||||||
| 52,823 | Arris Group, Inc.a | 613,275 | ||||||
| 13,500 | ATMI, Inc.a | 275,805 | ||||||
| 12,413 | Avid Technology, Inc.a | 233,861 | ||||||
| 5,000 | Bel Fuse, Inc. | 108,450 | ||||||
| 25,850 | Benchmark Electronics, Inc.a | 426,525 | ||||||
| 7,700 | Black Box Corporation | 240,779 | ||||||
| 18,500 | Blackbaud, Inc. | 512,820 | ||||||
| 18,500 | Blue Coat Systems, Inc.a | 404,410 | ||||||
| 14,500 | Bottomline Technologies, Inc.a | 358,295 | ||||||
| 29,100 | Brightpoint, Inc.a | 236,001 | ||||||
| 28,207 | Brooks Automation, Inc.a | 306,328 | ||||||
| 10,000 | Cabot Microelectronics Corporationa | 464,700 | ||||||
| 12,800 | CACI International, Inc.a | 807,424 | ||||||
| 13,000 | Cardtronics, Inc.a | 304,850 | ||||||
| 9,800 | Ceva, Inc.a | 298,508 | ||||||
| 17,100 | Checkpoint Systems, Inc.a | 305,748 | ||||||
| 30,400 | CIBER, Inc.a | 168,720 | ||||||
| 28,200 | Cirrus Logic, Inc.a,b | 448,380 | ||||||
| 17,700 | Cognex Corporation | 627,111 | ||||||
| 10,300 | Cohu, Inc. | 135,033 | ||||||
| 18,800 | CommVault Systems, Inc.a | 835,660 | ||||||
| 11,000 | comScore, Inc.a | 284,900 | ||||||
| 11,100 | Comtech Telecommunications Corporation | 311,244 | ||||||
| 14,800 | CSG Systems International, Inc.a | 273,504 | ||||||
| 14,600 | CTS Corporation | 141,182 | ||||||
| 13,000 | Cymer, Inc.a | 643,630 | ||||||
| 15,100 | Daktronics, Inc. | 162,929 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Information Technology (19.1%) - continued | ||||||||
| 17,500 | DealerTrack Holdings, Inc.a | $ | 401,625 | |||||
| 10,100 | DG FastChannel, Inc.a | 323,705 | ||||||
| 10,800 | Digi International, Inc.a | 140,400 | ||||||
| 15,650 | Diodes, Inc.a | 408,465 | ||||||
| 10,000 | DSP Group, Inc.a | 87,000 | ||||||
| 7,400 | DTS, Inc.a | 300,070 | ||||||
| 16,800 | Ebix, Inc.a,b | 320,040 | ||||||
| 10,300 | Electro Scientific Industries, Inc.a | 198,790 | ||||||
| 6,500 | EMS Technologies, Inc.a | 214,305 | ||||||
| 28,700 | Entropic Communications, Inc.a | 255,143 | ||||||
| 13,400 | EPIQ Systems, Inc. | 190,548 | ||||||
| 19,000 | Exar Corporationa | 120,270 | ||||||
| 7,000 | FARO Technologies, Inc.a | 306,600 | ||||||
| 16,500 | FEI Companya | 630,135 | ||||||
| 6,300 | Forrester Research, Inc. | 207,648 | ||||||
| 10,700 | Gerber Scientific, Inc.a | 119,091 | ||||||
| 42,600 | Harmonic, Inc.a | 307,998 | ||||||
| 16,400 | Heartland Payment Systems, Inc. | 337,840 | ||||||
| 10,700 | Hittite Microwave Corporationa | 662,437 | ||||||
| 12,500 | iGATE Corporationb | 204,000 | ||||||
| 15,800 | InfoSpace, Inc.a | 144,096 | ||||||
| 19,875 | Insight Enterprises, Inc.a | 351,986 | ||||||
| 7,500 | Integral Systems, Inc.a | 91,275 | ||||||
| 6,000 | Interactive Intelligence, Inc.a | 210,300 | ||||||
| 20,300 | Intermec, Inc.a | 224,112 | ||||||
| 9,700 | Intevac, Inc.a | 99,037 | ||||||
| 19,600 | J2 Global Communication, Inc.a | 553,308 | ||||||
| 18,000 | JDA Software Group, Inc.a | 556,020 | ||||||
| 27,500 | Kopin Corporationa | 129,525 | ||||||
| 30,700 | Kulicke and Soffa Industries, Inc.a | 341,998 | ||||||
| 7,600 | Liquidity Services, Inc.a | 179,436 | ||||||
| 9,700 | Littelfuse, Inc. | 569,584 | ||||||
| 19,800 | Liveperson, Inc.a,b | 279,972 | ||||||
| 7,100 | LogMeIn, Inc.a | 273,847 | ||||||
| 7,800 | LoJack Corporationa | 34,008 | ||||||
| 9,300 | Manhattan Associates, Inc.a | 320,292 | ||||||
| 7,400 | MAXIMUS, Inc. | 612,202 | ||||||
| 12,900 | Mercury Computer Systems, Inc.a | 240,972 | ||||||
| 15,800 | Methode Electronics, Inc. | 183,438 | ||||||
| 21,500 | Micrel, Inc.b | 227,470 | ||||||
| 36,800 | Microsemi Corporationa | 754,400 | ||||||
| 3,500 | MicroStrategy, Inc.a | 569,380 | ||||||
| 22,300 | MKS Instruments, Inc. | 589,166 | ||||||
| 14,600 | Monolithic Power Systems, Inc.a | 225,132 | ||||||
| 12,400 | Monotype Imaging Holdings, Inc.a | 175,212 | ||||||
| 6,700 | MTS Systems Corporation | 280,261 | ||||||
| 7,600 | Nanometrics, Inc.a | 144,324 | ||||||
| 3,400 | NCI, Inc.a | 77,248 | ||||||
| 15,600 | NETGEAR, Inc.a | 682,032 | ||||||
| 15,100 | NetScout Systems, Inc.a | 315,439 | ||||||
| 13,000 | Network Equipment Technologies, Inc.a | 28,600 | ||||||
| 15,900 | Newport Corporationa | 288,903 | ||||||
| 13,700 | Novatel Wireless, Inc.a | 75,076 | ||||||
| 8,800 | Oplink Communications, Inc.a | 163,944 | ||||||
| 8,100 | OSI Systems, Inc.a | 348,300 | ||||||
| 8,850 | Park Electrochemical Corporation | 247,358 | ||||||
| 7,900 | PC-Tel, Inc.a | 51,192 | ||||||
| 13,000 | Perficient, Inc.a | 133,380 | ||||||
| 10,700 | Pericom Semiconductor Corporationa | 95,658 | ||||||
| 16,000 | Plexus Corporationa | 556,960 | ||||||
| 12,300 | Power Integrations, Inc. | 472,689 | ||||||
| 28,550 | Progress Software Corporationa | 688,911 | ||||||
| 17,700 | Pulse Electronics Corporation | 78,234 | ||||||
| 14,600 | Radiant Systems, Inc.a | 305,140 | ||||||
| 10,400 | RadiSys Corporationa | 75,816 | ||||||
| 10,300 | RightNow Technologies, Inc.a | 333,720 | ||||||
| 12,100 | Rofin-Sinar Technologies, Inc.a | 413,215 | ||||||
| 6,800 | Rogers Corporationa | 314,160 | ||||||
| 13,500 | Rudolph Technologies, Inc.a | 144,585 | ||||||
| 11,500 | ScanSource, Inc.a | 431,020 | ||||||
| 11,900 | Sigma Designs, Inc.a | 90,916 | ||||||
| 13,500 | Smith Micro Software, Inc.a,b | 56,835 | ||||||
| 12,100 | Sourcefire, Inc.a | 359,612 | ||||||
| 9,800 | Standard Microsystems Corporationa | 264,502 | ||||||
| 9,000 | Stratasys, Inc.a,b | 303,300 | ||||||
| 11,100 | Super Micro Computer, Inc.a | 178,599 | ||||||
| 5,500 | Supertex, Inc.a | 123,200 | ||||||
| 18,350 | Symmetricom, Inc.a | 106,981 | ||||||
| 14,600 | Synaptics, Inc.a,b | 375,804 | ||||||
| 10,800 | Synchronoss Technologies, Inc.a | 342,684 | ||||||
| 10,200 | Synnex Corporationa | 323,340 | ||||||
| 36,950 | Take-Two Interactive Software, Inc.a | 564,596 | ||||||
| 17,500 | Taleo Corporationa | 648,025 | ||||||
| 29,400 | Tekelec, Inc.a | 268,422 | ||||||
| 11,900 | TeleTech Holdings, Inc.a | 250,852 | ||||||
| 21,800 | Tessera Technologies, Inc.a | 373,652 | ||||||
| 29,137 | THQ, Inc.a,b | 105,476 | ||||||
| 70,000 | TriQuint Semiconductor, Inc.a | 713,300 | ||||||
| 18,700 | TTM Technologies, Inc.a | 299,574 | ||||||
| 10,700 | Tyler Technologies, Inc.a | 286,546 | ||||||
| 10,700 | Ultratech, Inc.a | 325,066 | ||||||
| 37,800 | United Online, Inc. | 227,934 | ||||||
| 17,300 | Veeco Instruments, Inc.a,b | 837,493 | ||||||
| 17,800 | Viasat, Inc.a | 770,206 | ||||||
| 10,500 | Volterra Semiconductor Corporationa | 258,930 | ||||||
| 17,000 | Websense, Inc.a | 441,490 | ||||||
| 16,500 | Wright Express Corporationa | 859,155 | ||||||
| 13,500 | XO Group, Inc.a | 134,325 | ||||||
|
| |||||||
| Total Information Technology | 41,350,569 | |||||||
|
| |||||||
| Materials (5.3%) | ||||||||
| 13,200 | A. Schulman, Inc. | 332,508 | ||||||
| 7,200 | A.M. Castle & Companya | 119,592 | ||||||
| 10,900 | AMCOL International Corporation | 415,944 | ||||||
| 9,200 | American Vanguard Corporation | 119,324 | ||||||
| 10,800 | Arch Chemicals, Inc. | 371,952 | ||||||
| 12,300 | Balchem Corporation | 538,494 | ||||||
| 17,000 | Buckeye Technologies, Inc.b | 458,660 | ||||||
| 24,100 | Calgon Carbon Corporationa | 409,700 | ||||||
| 24,200 | Century Aluminum Companya | 378,730 | ||||||
| 4,900 | Clearwater Paper Corporationa | 334,572 | ||||||
| 4,600 | Deltic Timber Corporation | 246,974 | ||||||
| 19,000 | Eagle Materials, Inc. | 529,530 | ||||||
| 21,100 | H.B. Fuller Company | 515,262 | ||||||
| 3,700 | Hawkins, Inc.b | 134,014 | ||||||
| 5,200 | Haynes International, Inc. | 322,036 | ||||||
| 25,900 | Headwaters, Inc.a | 81,067 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Materials (5.3%) - continued | ||||||||
| 6,300 | Kaiser Aluminum Corporation | $ | 344,106 | |||||
| 16,300 | KapStone Paper and Packaging Corporationa | 270,091 | ||||||
| 8,800 | Koppers Holdings, Inc. | 333,784 | ||||||
| 13,600 | Kraton Performance Polymers, Inc.a | 532,712 | ||||||
| 7,300 | LSB Industries, Inc.a | 313,316 | ||||||
| 8,700 | Materion Corporationa | 321,639 | ||||||
| 15,063 | Myers Industries, Inc. | 154,847 | ||||||
| 6,400 | Neenah Paper, Inc. | 136,192 | ||||||
| 3,900 | Olympic Steel, Inc. | 107,367 | ||||||
| 13,200 | OM Group, Inc.a | 536,448 | ||||||
| 39,800 | PolyOne Corporation | 615,706 | ||||||
| 5,400 | Quaker Chemical Corporation | 232,254 | ||||||
| 12,900 | RTI International Metals, Inc.a | 494,973 | ||||||
| 7,500 | Schweitzer-Mauduit International, Inc. | 421,125 | ||||||
| 3,300 | Stepan Company | 233,970 | ||||||
| 17,700 | STR Holdings, Inc.a,b | 264,084 | ||||||
| 11,900 | Texas Industries, Inc.b | 495,397 | ||||||
| 21,000 | Wausau Paper Corporation | 141,540 | ||||||
| 9,350 | Zep, Inc. | 176,715 | ||||||
|
| |||||||
| Total Materials | 11,434,625 | |||||||
|
| |||||||
| Telecommunications Services (0.7%) | ||||||||
| 3,900 | Atlantic Tele-Network, Inc.b | 149,604 | ||||||
| 13,300 | Cbeyond, Inc.a | 175,959 | ||||||
| 84,800 | Cincinnati Bell, Inc.a | 281,536 | ||||||
| 16,200 | General Communication, Inc.a | 195,534 | ||||||
| 14,700 | Neutral Tandem, Inc.a,b | 256,074 | ||||||
| 12,700 | NTELOS Holdings Corporation | 259,334 | ||||||
| 9,400 | USA Mobility, Inc. | 143,444 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,461,485 | |||||||
|
| |||||||
| Utilities (3.9%) | ||||||||
| 13,333 | ALLETE, Inc. | 547,186 | ||||||
| 7,950 | American States Water Company | 275,547 | ||||||
| 24,600 | Avista Corporation | 631,974 | ||||||
| 5,700 | Central Vermont Public Service Corporation | 206,055 | ||||||
| 6,600 | CH Energy Group, Inc. | 351,516 | ||||||
| 18,000 | El Paso Electric Company | 581,400 | ||||||
| 9,600 | Laclede Group, Inc.b | 363,168 | ||||||
| 17,650 | New Jersey Resources Corporation | 787,367 | ||||||
| 11,400 | Northwest Natural Gas Company | 514,482 | ||||||
| 15,500 | NorthWestern Corporation | 513,205 | ||||||
| 30,700 | Piedmont Natural Gas Company, Inc.b | 928,982 | ||||||
| 12,800 | South Jersey Industries, Inc. | 695,168 | ||||||
| 19,600 | Southwest Gas Corporation | 756,756 | ||||||
| 21,566 | UIL Holdings Corporationb | 697,660 | ||||||
| 15,600 | UniSource Energy Corporation | 582,348 | ||||||
|
| |||||||
| Total Utilities | 8,432,814 | |||||||
|
| |||||||
Total Common Stock (cost $167,090,640) | 215,511,276 | |||||||
|
| |||||||
| 26,079,363 | Thrivent Financial Securities Lending Trust | 26,079,363 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $26,079,363) | 26,079,363 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.1%)c | |||||||
| U.S. Treasury Bills | ||||||||
| 200,000 | 0.125%, 8/18/2011d | 199,967 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 199,967 | |||||||
|
| |||||||
| Total Investments (cost $193,369,970) 111.6% | $ | 241,790,606 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (11.6%) | (25,173,437 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 216,617,169 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At June 30, 2011, $199,967 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 | $ | 62,821,534 | ||
Gross unrealized depreciation | (19,236,411 | ) | ||
Net unrealized appreciation (depreciation) | $ | 43,585,123 | ||
|
| |||
Cost for federal income tax purposes | $ | 198,205,483 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Small Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 32,328,750 | 32,328,750 | — | — | ||||||||||||
Consumer Staples | 8,807,874 | 8,807,874 | — | — | ||||||||||||
Energy | 9,448,378 | 9,448,378 | — | — | ||||||||||||
Financials | 40,915,556 | 40,915,556 | — | — | ||||||||||||
Health Care | 27,507,101 | 27,507,101 | — | — | ||||||||||||
Industrials | 33,824,124 | 33,824,124 | — | — | ||||||||||||
Information Technology | 41,350,569 | 41,350,569 | — | — | ||||||||||||
Materials | 11,434,625 | 11,434,625 | — | — | ||||||||||||
Telecommunications Services | 1,461,485 | 1,461,485 | — | — | ||||||||||||
Utilities | 8,432,814 | 8,432,814 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 26,079,363 | 26,079,363 | — | — | ||||||||||||
Short-Term Investments | 199,967 | — | 199,967 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 241,790,606 | $ | 241,590,639 | $ | 199,967 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 28,169 | 28,169 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 28,169 | $ | 28,169 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 7 | September 2011 | $ | 549,611 | $ | 577,780 | $ | 28,169 | ||||||||||||
Total Futures Contracts | $ | 28,169 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | 28,169 | ||||
Total Equity Contracts | 28,169 | |||||
|
| |||||
Total Asset Derivatives | $ | 28,169 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 138,198 | ||||
Total Equity Contracts | 138,198 | |||||
|
| |||||
Total | $ | 138,198 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (8,250 | ) | |||
Total Equity Contracts | (8,250 | ) | ||||
|
| |||||
Total | ($ | 8,250 | ) | |||
|
| |||||
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,393,337 | 1.1 | % | ||||
| * | 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 Index Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 17,693,984 | $ | 45,999,485 | $ | 37,614,106 | 26,079,363 | $ | 26,079,363 | $ | 32,977 | |||||||||||||
Total Value and Income Earned | 17,693,984 | 26,079,363 | 32,977 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (94.3%) | Value | ||||||
| Consumer Discretionary (12.9%) | ||||||||
| 27,800 | Abercrombie & Fitch Company | $ | 1,860,376 | |||||
| 110,300 | American Eagle Outfitters, Inc. | 1,406,325 | ||||||
| 14,600 | Autoliv, Inc.a | 1,145,370 | ||||||
| 17,400 | BorgWarner, Inc.b | 1,405,746 | ||||||
| 25,700 | Darden Restaurants, Inc. | 1,278,832 | ||||||
| 41,000 | Discovery Communications, Inc.b | 1,679,360 | ||||||
| 56,750 | Dollar Tree, Inc.b | 3,780,685 | ||||||
| 44,600 | DreamWorks Animation SKG, Inc.b | 896,460 | ||||||
| 42,300 | Guess ?, Inc. | 1,779,138 | ||||||
| 54,900 | International Game Technology | 965,142 | ||||||
| 81,000 | MGM Resorts Internationalb | 1,070,010 | ||||||
| 21,100 | O’Reilly Automotive, Inc.b | 1,382,261 | ||||||
| 18,000 | P.F. Chang’s China Bistro, Inc.a | 724,320 | ||||||
| 32,900 | PetSmart, Inc. | 1,492,673 | ||||||
| 8,100 | VF Corporation | 879,336 | ||||||
|
| |||||||
| Total Consumer Discretionary | 21,746,034 | |||||||
|
| |||||||
| Consumer Staples (4.5%) | ||||||||
| 59,900 | Avon Products, Inc. | 1,677,200 | ||||||
| 20,700 | Clorox Company | 1,396,008 | ||||||
| 56,200 | H.J. Heinz Company | 2,994,336 | ||||||
| 24,100 | Whole Foods Market, Inc. | 1,529,145 | ||||||
|
| |||||||
| Total Consumer Staples | 7,596,689 | |||||||
|
| |||||||
| Energy (11.0%) | ||||||||
| 51,100 | Alpha Natural Resources, Inc.b | 2,321,984 | ||||||
| 30,600 | Dresser-Rand Group, Inc.b | 1,644,750 | ||||||
| 41,500 | ENSCO International plc ADR | 2,211,950 | ||||||
| 93,100 | Helix Energy Solutions Group, Inc.b | 1,541,736 | ||||||
| 101,700 | Nabors Industries, Ltd.b | 2,505,888 | ||||||
| 31,600 | Oil States International, Inc.b | 2,525,156 | ||||||
| 119,900 | Petrohawk Energy Corporationb | 2,957,933 | ||||||
| 51,400 | Ultra Petroleum Corporationb | 2,354,120 | ||||||
| 48,300 | Willbros Group, Inc.b | 412,482 | ||||||
|
| |||||||
| Total Energy | 18,475,999 | |||||||
|
| |||||||
| Financials (5.7%) | ||||||||
| 68,400 | Discover Financial Services | 1,829,700 | ||||||
| 6,600 | IntercontinentalExchange, Inc.b | 823,086 | ||||||
| 46,800 | Lazard, Ltd. | 1,736,280 | ||||||
| 21,700 | MSCI, Inc.b | 817,656 | ||||||
| 26,400 | PartnerRe, Ltd. | 1,817,640 | ||||||
| 80,793 | TCF Financial Corporation | 1,114,943 | ||||||
| 76,800 | TD Ameritrade Holding Corporation | 1,498,368 | ||||||
|
| |||||||
| Total Financials | 9,637,673 | |||||||
|
| |||||||
| Health Care (14.4%) | ||||||||
| 21,200 | Alexion Pharmaceuticals, Inc.b | 997,036 | ||||||
| 22,400 | AmerisourceBergen Corporation | 927,360 | ||||||
| 172,200 | Boston Scientific Corporationb | 1,189,902 | ||||||
| 16,900 | C.R. Bard, Inc. | 1,856,634 | ||||||
| 55,100 | CareFusion Corporationb | 1,497,067 | ||||||
| 43,000 | CIGNA Corporation | 2,211,490 | ||||||
| 97,300 | Hologic, Inc.b | 1,962,541 | ||||||
| 32,000 | Hospira, Inc.b | 1,813,120 | ||||||
| 31,800 | Life Technologies Corporationb | 1,655,826 | ||||||
| 66,300 | Myriad Genetics, Inc.b | 1,505,673 | ||||||
| 32,600 | Quest Diagnostics, Inc. | 1,926,660 | ||||||
| 20,900 | Shire Pharmaceuticals Group plc ADR | 1,968,989 | ||||||
| 30,400 | Thermo Fisher Scientific, Inc.b | 1,957,456 | ||||||
| 13,300 | Vertex Pharmaceuticals, Inc.b | 691,467 | ||||||
| 28,900 | Watson Pharmaceuticals, Inc.b | 1,986,297 | ||||||
|
| |||||||
| Total Health Care | 24,147,518 | |||||||
|
| |||||||
| Industrials (15.6%) | ||||||||
| 52,700 | Aecom Technology Corporationb | 1,440,818 | ||||||
| 72,000 | BE Aerospace, Inc.b | 2,938,320 | ||||||
| 49,500 | Delta Air Lines, Inc.b | 453,915 | ||||||
| 49,700 | Expeditors International of Washington, Inc. | 2,544,143 | ||||||
| 38,700 | Jacobs Engineering Group, Inc.b | 1,673,775 | ||||||
| 60,900 | JB Hunt Transport Services, Inc. | 2,867,781 | ||||||
| 76,600 | Knight Transportation, Inc. | 1,301,434 | ||||||
| 39,400 | Manpower, Inc. | 2,113,810 | ||||||
| 39,500 | Pentair, Inc. | 1,594,220 | ||||||
| 15,900 | Precision Castparts Corporation | 2,617,935 | ||||||
| 36,500 | Quanta Services, Inc.b | 737,300 | ||||||
| 19,600 | Roper Industries, Inc. | 1,632,680 | ||||||
| 31,500 | Ryanair Holdings plc ADR | 924,210 | ||||||
| 22,500 | SPX Corporation | 1,859,850 | ||||||
| 17,800 | Stericycle, Inc.b | 1,586,336 | ||||||
|
| |||||||
| Total Industrials | 26,286,527 | |||||||
|
| |||||||
| Information Technology (20.2%) | ||||||||
| 20,787 | Akamai Technologies, Inc.b | 654,167 | ||||||
| 14,500 | Altera Corporation | 672,075 | ||||||
| 18,400 | ANSYS, Inc.b | 1,005,928 | ||||||
| 164,400 | Atmel Corporationb | 2,313,108 | ||||||
| 19,400 | CommVault Systems, Inc.b | 862,330 | ||||||
| 85,000 | Electronic Arts, Inc.b | 2,006,000 | ||||||
| 35,800 | F5 Networks, Inc.b | 3,946,950 | ||||||
| 32,000 | Marvell Technology Group, Ltd.b | 472,480 | ||||||
| 17,300 | Mercadolibre, Inc.a | 1,372,582 | ||||||
| 52,260 | Monster Worldwide, Inc.b | 766,132 | ||||||
| 38,600 | NetApp, Inc.b | 2,037,308 | ||||||
| 52,502 | Netlogic Microsystems, Inc.b | 2,122,131 | ||||||
| 22,600 | Nice Systems, Ltd. ADRb | 821,736 | ||||||
| 126,900 | Nuance Communications, Inc.b | 2,724,543 | ||||||
| 91,200 | NVIDIA Corporationb | 1,453,272 | ||||||
| 57,684 | Polycom, Inc.b | 3,709,081 | ||||||
| 40,600 | Red Hat, Inc.b | 1,863,540 | ||||||
| 153,700 | Symantec Corporationb | 3,030,964 | ||||||
| 34,600 | Teradata Corporationb | 2,082,920 | ||||||
|
| |||||||
| Total Information Technology | 33,917,247 | |||||||
|
| |||||||
| Materials (7.0%) | ||||||||
| 54,300 | Celanese Corporation | 2,894,733 | ||||||
| 19,400 | CF Industries Holdings, Inc. | 2,748,398 | ||||||
| 45,000 | Ecolab, Inc. | 2,537,100 | ||||||
| 24,900 | Newmont Mining Corporation | 1,343,853 | ||||||
| 45,600 | Pan American Silver Corporation | 1,408,584 | ||||||
| 41,000 | Stillwater Mining Companyb | 902,410 | ||||||
|
| |||||||
| Total Materials | 11,835,078 | |||||||
|
| |||||||
| Telecommunications Services (3.0%) | ||||||||
| 29,824 | NII Holdings, Inc.b | 1,263,941 | ||||||
| 43,700 | SBA Communications Corporationb | 1,668,903 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
171
Table of Contents
Mid Cap Growth Portfolio II
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (94.3%) | Value | ||||||
| Telecommunications Services (3.0%) - continued | ||||||||
| 104,600 | TW Telecom, Inc.b | $ | 2,147,438 | |||||
|
| |||||||
| Total Telecommunications Services | 5,080,282 | |||||||
|
| |||||||
Total Common Stock (cost $119,753,050) | 158,723,047 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.8%) | ||||||||
| 3,056,775 | Thrivent Financial Securities Lending Trust | 3,056,775 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,056,775) | 3,056,775 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (3.7%)c | |||||||
| Chariot Funding, LLC | ||||||||
| 4,300,000 | 0.110%, 7/5/2011 | 4,299,947 | ||||||
| Thunder Bay Funding, LLC | ||||||||
| 2,000,000 | 0.130%, 7/21/2011 | 1,999,856 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 6,299,803 | |||||||
|
| |||||||
| Total Investments (cost $129,109,628) 99.8% | $ | 168,079,625 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.2% | 299,368 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 168,378,993 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 42,279,987 | ||
Gross unrealized depreciation | (3,521,679 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 38,758,308 | ||
Cost for federal income tax purposes | $ | 129,321,317 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Mid Cap Growth Portfolio II’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 21,746,034 | 21,746,034 | — | — | ||||||||||||
Consumer Staples | 7,596,689 | 7,596,689 | — | — | ||||||||||||
Energy | 18,475,999 | 18,475,999 | — | — | ||||||||||||
Financials | 9,637,673 | 9,637,673 | — | — | ||||||||||||
Health Care | 24,147,518 | 24,147,518 | — | — | ||||||||||||
Industrials | 26,286,527 | 26,286,527 | — | — | ||||||||||||
Information Technology | 33,917,247 | 33,917,247 | — | — | ||||||||||||
Materials | 11,835,078 | 11,835,078 | — | — | ||||||||||||
Telecommunications Services | 5,080,282 | 5,080,282 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,056,775 | 3,056,775 | — | — | ||||||||||||
Short-Term Investments | 6,299,803 | — | 6,299,803 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 168,079,625 | $ | 161,779,822 | $ | 6,299,803 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 – June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 4,709,450 | $ | 33,163,330 | $ | 34,816,005 | 3,056,775 | $ | 3,056,775 | $ | 10,242 | |||||||||||||
Total Value and Income Earned | 4,709,450 | 3,056,775 | 10,242 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (95.3%) | Value | ||||||
| Consumer Discretionary (12.4%) | ||||||||
| 79,600 | Abercrombie & Fitch Company | $ | 5,326,832 | |||||
| 236,900 | American Eagle Outfitters, Inc. | 3,020,475 | ||||||
| 36,900 | Autoliv, Inc.a | 2,894,805 | ||||||
| 38,650 | BorgWarner, Inc.b | 3,122,534 | ||||||
| 58,500 | Darden Restaurants, Inc. | 2,910,960 | ||||||
| 94,650 | Discovery Communications, Inc.b | 3,876,864 | ||||||
| 107,400 | Dollar Tree, Inc.b | 7,154,988 | ||||||
| 117,300 | DreamWorks Animation SKG, Inc.a,b | 2,357,730 | ||||||
| 95,400 | Guess ?, Inc. | 4,012,524 | ||||||
| 120,950 | International Game Technology | 2,126,301 | ||||||
| 231,400 | MGM Resorts Internationalb | 3,056,794 | ||||||
| 51,500 | O’Reilly Automotive, Inc.b | 3,373,765 | ||||||
| 48,700 | P.F. Chang’s China Bistro, Inc.a | 1,959,688 | ||||||
| 83,200 | PetSmart, Inc. | 3,774,784 | ||||||
| 24,200 | VF Corporation | 2,627,152 | ||||||
|
| |||||||
| Total Consumer Discretionary | 51,596,196 | |||||||
|
| |||||||
| Consumer Staples (4.1%) | ||||||||
| 134,200 | Avon Products, Inc. | 3,757,600 | ||||||
| 51,300 | Clorox Company | 3,459,672 | ||||||
| 116,000 | H.J. Heinz Company | 6,180,480 | ||||||
| 58,200 | Whole Foods Market, Inc. | 3,692,790 | ||||||
|
| |||||||
| Total Consumer Staples | 17,090,542 | |||||||
|
| |||||||
| Energy (11.5%) | ||||||||
| 132,900 | Alpha Natural Resources, Inc.b | 6,038,976 | ||||||
| 80,300 | Arch Coal, Inc. | 2,140,798 | ||||||
| 80,000 | Dresser-Rand Group, Inc.b | 4,300,000 | ||||||
| 85,600 | ENSCO International plc ADR | 4,562,480 | ||||||
| 176,400 | Helix Energy Solutions Group, Inc.b | 2,921,184 | ||||||
| 212,900 | Nabors Industries, Ltd.b | 5,245,856 | ||||||
| 68,200 | Oil States International, Inc.b | 5,449,862 | ||||||
| 273,725 | Petrohawk Energy Corporationb | 6,752,796 | ||||||
| 126,100 | Ultra Petroleum Corporationb | 5,775,380 | ||||||
| 182,400 | Weatherford International, Ltd.b | 3,420,000 | ||||||
| 143,525 | Willbros Group, Inc.b | 1,225,703 | ||||||
|
| |||||||
| Total Energy | 47,833,035 | |||||||
|
| |||||||
| Financials (6.1%) | ||||||||
| 229,200 | Discover Financial Services | 6,131,100 | ||||||
| 16,850 | IntercontinentalExchange, Inc.b | 2,101,364 | ||||||
| 119,350 | Lazard, Ltd. | 4,427,885 | ||||||
| 61,800 | MSCI, Inc.b | 2,328,624 | ||||||
| 57,600 | PartnerRe, Ltd. | 3,965,760 | ||||||
| 188,614 | TCF Financial Corporation | 2,602,873 | ||||||
| 199,500 | TD Ameritrade Holding Corporation | 3,892,245 | ||||||
|
| |||||||
| Total Financials | 25,449,851 | |||||||
|
| |||||||
| Health Care (13.8%) | ||||||||
| 59,200 | Alexion Pharmaceuticals, Inc.b | 2,784,176 | ||||||
| 58,100 | AmerisourceBergen Corporation | 2,405,340 | ||||||
| 332,000 | Boston Scientific Corporationb | 2,294,120 | ||||||
| 46,775 | C.R. Bard, Inc. | 5,138,702 | ||||||
| 142,900 | CareFusion Corporationb | 3,882,593 | ||||||
| 113,100 | CIGNA Corporation | 5,816,733 | ||||||
| 198,550 | Hologic, Inc.b | 4,004,753 | ||||||
| 81,000 | Hospira, Inc.b | 4,589,460 | ||||||
| 74,500 | Life Technologies Corporationb | 3,879,215 | ||||||
| 166,550 | Myriad Genetics, Inc.b | 3,782,350 | ||||||
| 77,900 | Quest Diagnostics, Inc. | 4,603,890 | ||||||
| 57,900 | Shire Pharmaceuticals Group plc ADR | 5,454,759 | ||||||
| 62,300 | Thermo Fisher Scientific, Inc.b | 4,011,497 | ||||||
| 20,900 | Vertex Pharmaceuticals, Inc.b | 1,086,591 | ||||||
| 56,200 | Watson Pharmaceuticals, Inc.b | 3,862,626 | ||||||
|
| |||||||
| Total Health Care | 57,596,805 | |||||||
|
| |||||||
| Industrials (16.8%) | ||||||||
| 130,400 | Aecom Technology Corporationb | 3,565,136 | ||||||
| 174,500 | BE Aerospace, Inc.b | 7,121,345 | ||||||
| 54,700 | C.H. Robinson Worldwide, Inc. | 4,312,548 | ||||||
| 136,075 | Delta Air Lines, Inc.b | 1,247,808 | ||||||
| 117,795 | Expeditors International of Washington, Inc. | 6,029,926 | ||||||
| 99,500 | Jacobs Engineering Group, Inc.b | 4,303,375 | ||||||
| 148,000 | JB Hunt Transport Services, Inc. | 6,969,320 | ||||||
| 166,900 | Knight Transportation, Inc. | 2,835,631 | ||||||
| 91,200 | Manpower, Inc. | 4,892,880 | ||||||
| 93,275 | Pentair, Inc. | 3,764,579 | ||||||
| 37,050 | Precision Castparts Corporation | 6,100,282 | ||||||
| 101,600 | Quanta Services, Inc.b | 2,052,320 | ||||||
| 64,875 | Roper Industries, Inc. | 5,404,088 | ||||||
| 74,750 | Ryanair Holdings plc ADR | 2,193,165 | ||||||
| 59,100 | SPX Corporation | 4,885,206 | ||||||
| 47,400 | Stericycle, Inc.b | 4,224,288 | ||||||
|
| |||||||
| Total Industrials | 69,901,897 | |||||||
|
| |||||||
| Information Technology (20.6%) | ||||||||
| 44,414 | Akamai Technologies, Inc.b | 1,397,709 | ||||||
| 37,800 | Altera Corporation | 1,752,030 | ||||||
| 48,200 | ANSYS, Inc.b | 2,635,094 | ||||||
| 416,900 | Atmel Corporationb | 5,865,783 | ||||||
| 52,800 | CommVault Systems, Inc.b | 2,346,960 | ||||||
| 216,225 | Electronic Arts, Inc.b | 5,102,910 | ||||||
| 79,375 | F5 Networks, Inc.b | 8,751,094 | ||||||
| 117,400 | Marvell Technology Group, Ltd.b | 1,733,411 | ||||||
| 44,700 | Mercadolibre, Inc.a | 3,546,498 | ||||||
| 104,650 | Monster Worldwide, Inc.b | 1,534,169 | ||||||
| 84,275 | NetApp, Inc.b | 4,448,034 | ||||||
| 117,302 | Netlogic Microsystems, Inc.b | 4,741,347 | ||||||
| 60,500 | Nice Systems, Ltd. ADRb | 2,199,780 | ||||||
| 273,200 | Nuance Communications, Inc.b | 5,865,604 | ||||||
| 233,225 | NVIDIA Corporationb | 3,716,440 | ||||||
| 123,523 | Polycom, Inc.b | 7,942,529 | ||||||
| 101,400 | Red Hat, Inc.b | 4,654,260 | ||||||
| 306,150 | Symantec Corporationb | 6,037,278 | ||||||
| 136,900 | TE Connectivity, Ltd. | 5,032,443 | ||||||
| 109,300 | Teradata Corporationb | 6,579,860 | ||||||
|
| |||||||
| Total Information Technology | 85,883,233 | |||||||
|
| |||||||
| Materials (7.2%) | ||||||||
| 137,375 | Celanese Corporation | 7,323,461 | ||||||
| 51,000 | CF Industries Holdings, Inc. | 7,225,170 | ||||||
| 109,900 | Ecolab, Inc. | 6,196,162 | ||||||
| 64,200 | Newmont Mining Corporation | 3,464,874 | ||||||
| 114,800 | Pan American Silver Corporation | 3,546,172 | ||||||
| 105,900 | Stillwater Mining Companyb | 2,330,859 | ||||||
|
| |||||||
| Total Materials | 30,086,698 | |||||||
|
| |||||||
| Telecommunications Services (2.8%) | ||||||||
| 66,034 | NII Holdings, Inc.b | 2,798,521 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Table of Contents
Mid Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (95.3%) | Value | ||||||
| Telecommunications Services (2.8%) - continued | ||||||||
| 108,900 | SBA Communications Corporationb | $ | 4,158,891 | |||||
| 233,400 | TW Telecom, Inc.b | 4,791,702 | ||||||
| Total Telecommunications Services | 11,749,114 | |||||||
|
| |||||||
Total Common Stock (cost $320,756,973) | 397,187,371 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.8%) | ||||||||
| 7,549,846 | Thrivent Financial Securities Lending Trust | 7,549,846 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $7,549,846) | 7,549,846 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (3.5%)c | |||||||
| Barton Capital LLC | ||||||||
| 5,232,000 | 0.090%, 7/1/2011d | 5,232,000 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 5,000,000 | 0.050%, 7/15/2011 | 4,999,903 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 4,300,000 | 0.040%, 7/13/2011 | 4,299,943 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 14,531,846 | |||||||
|
| |||||||
| Total Investments (cost $342,838,665) 100.6% | $ | 419,269,063 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.6%) | (2,321,187 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 416,947,876 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or 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 | $ | 87,015,031 | ||
Gross unrealized depreciation | (14,543,588 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 72,471,443 | ||
Cost for federal income tax purposes | $ | 346,797,620 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Table of Contents
Mid Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Mid Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 51,596,196 | 51,596,196 | — | — | ||||||||||||
Consumer Staples | 17,090,542 | 17,090,542 | — | — | ||||||||||||
Energy | 47,833,035 | 47,833,035 | — | — | ||||||||||||
Financials | 25,449,851 | 25,449,851 | — | — | ||||||||||||
Health Care | 57,596,805 | 57,596,805 | — | — | ||||||||||||
Industrials | 69,901,897 | 69,901,897 | — | — | ||||||||||||
Information Technology | 85,883,233 | 85,883,233 | — | — | ||||||||||||
Materials | 30,086,698 | 30,086,698 | — | — | ||||||||||||
Telecommunications Services | 11,749,114 | 11,749,114 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 7,549,846 | 7,549,846 | — | — | ||||||||||||
Short-Term Investments | 14,531,846 | — | 14,531,846 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 419,269,063 | $ | 404,737,217 | $ | 14,531,846 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 9,754,800 | $ | 82,532,422 | $ | 84,737,376 | 7,549,846 | $ | 7,549,846 | $ | 20,494 | |||||||||||||
Total Value and Income Earned | 9,754,800 | 7,549,846 | 20,494 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.5%) | Value | ||||||
| Consumer Discretionary (14.6%) | ||||||||
| 128,461 | DISH Network Corporationa | $ | 3,939,899 | |||||
| 32,639 | Guess ?, Inc. | 1,372,796 | ||||||
| 54,473 | Hasbro, Inc. | 2,392,999 | ||||||
| 84,065 | Lear Corporation | 4,495,796 | ||||||
| 67,773 | Liberty Global, Inc.a,b | 3,052,496 | ||||||
| 223,721 | Liberty Media Corporation - Interactivea | 3,751,801 | ||||||
| 19,943 | Mohawk Industries, Inc.a | 1,196,381 | ||||||
| 149,831 | Newell Rubbermaid, Inc. | 2,364,333 | ||||||
| 2,309 | NVR, Inc.a | 1,675,133 | ||||||
| 65,982 | Royal Caribbean Cruises, Ltd.a | 2,483,562 | ||||||
| 84,487 | Scripps Networks Interactive | 4,129,725 | ||||||
| 48,225 | TRW Automotive Holdings Corporationa | 2,846,722 | ||||||
| 63,886 | Wyndham Worldwide Corporation | 2,149,764 | ||||||
|
| |||||||
| Total Consumer Discretionary | 35,851,407 | |||||||
|
| |||||||
| Consumer Staples (5.2%) | ||||||||
| 64,017 | Coca-Cola Enterprises, Inc. | 1,868,016 | ||||||
| 97,186 | ConAgra Foods, Inc. | 2,508,370 | ||||||
| 35,077 | Energizer Holdings, Inc.a | 2,538,172 | ||||||
| 20,106 | H.J. Heinz Company | 1,071,248 | ||||||
| 61,855 | J.M. Smucker Company | 4,728,196 | ||||||
|
| |||||||
| Total Consumer Staples | 12,714,002 | |||||||
|
| |||||||
| Energy (7.0%) | ||||||||
| 43,318 | Cabot Oil & Gas Corporation | 2,872,417 | ||||||
| 36,161 | Cameron International Corporationa | 1,818,537 | ||||||
| 22,752 | CONSOL Energy, Inc. | 1,103,017 | ||||||
| 9,442 | Energen Corporation | 533,473 | ||||||
| 70,080 | Frontier Oil Corporation | 2,264,285 | ||||||
| 28,938 | Helmerich & Payne, Inc. | 1,913,380 | ||||||
| 52,219 | Newfield Exploration Companya | 3,551,936 | ||||||
| 23,833 | Oil States International, Inc.a | 1,904,495 | ||||||
| 14,034 | Pioneer Natural Resources Company | 1,257,025 | ||||||
|
| |||||||
| Total Energy | 17,218,565 | |||||||
|
| |||||||
| Financials (28.9%) | ||||||||
| 15,624 | Alexandria Real Estate Equities, Inc. | 1,209,610 | ||||||
| 15,557 | AvalonBay Communities, Inc. | 1,997,519 | ||||||
| 25,282 | Camden Property Trust | 1,608,441 | ||||||
| 54,622 | CIT Group, Inc.a | 2,417,570 | ||||||
| 35,140 | Douglas Emmett, Inc. | 698,935 | ||||||
| 6,130 | Essex Property Trust, Inc. | 829,328 | ||||||
| 44,455 | Everest Re Group, Ltd. | 3,634,196 | ||||||
| 253,702 | Fifth Third Bancorp | 3,234,700 | ||||||
| 18,577 | First Republic Banka,b | 599,666 | ||||||
| 188,338 | Genworth Financial, Inc.a | 1,936,115 | ||||||
| 99,774 | Hartford Financial Services Group, Inc. | 2,631,040 | ||||||
| 134,515 | Host Hotels & Resorts, Inc. | 2,280,029 | ||||||
| 102,741 | Invesco, Ltd. | 2,404,139 | ||||||
| 131,612 | Janus Capital Group, Inc. | 1,242,417 | ||||||
| 127,862 | Kimco Realty Corporation | 2,383,348 | ||||||
| 32,125 | Lazard, Ltd. | 1,191,837 | ||||||
| 83,632 | Legg Mason, Inc. | 2,739,784 | ||||||
| 62,142 | Lincoln National Corporation | 1,770,426 | ||||||
| 22,846 | M&T Bank Corporation | 2,009,306 | ||||||
| 49,116 | Marsh & McLennan Companies, Inc. | 1,531,928 | ||||||
| 255,064 | MFA Financial, Inc. | 2,050,714 | ||||||
| 77,514 | NASDAQ OMX Group, Inc.a | 1,961,104 | ||||||
| 23,073 | PartnerRe, Ltd. | 1,588,576 | ||||||
| 152,331 | Principal Financial Group, Inc. | 4,633,909 | ||||||
| 237,937 | SLM Corporation | 3,999,721 | ||||||
| 134,995 | SunTrust Banks, Inc. | 3,482,871 | ||||||
| 65,576 | Tanger Factory Outlet Centers, Inc. | 1,755,469 | ||||||
| 93,020 | Unum Group | 2,370,150 | ||||||
| 42,660 | Ventas, Inc. | 2,248,609 | ||||||
| 95,928 | W.R. Berkley Corporation | 3,111,904 | ||||||
| 127,311 | XL Group plc | 2,798,296 | ||||||
| 104,281 | Zions Bancorporation | 2,503,787 | ||||||
|
| |||||||
| Total Financials | 70,855,444 | |||||||
|
| |||||||
| Health Care (6.4%) | ||||||||
| 63,347 | Aetna, Inc. | 2,792,969 | ||||||
| 505,594 | Boston Scientific Corporationa | 3,493,655 | ||||||
| 107,761 | Hologic, Inc.a | 2,173,539 | ||||||
| 52,674 | Kinetic Concepts, Inc.a | 3,035,603 | ||||||
| 36,687 | Patterson Companies, Inc. | 1,206,635 | ||||||
| 126,831 | Warner Chilcott plc | 3,060,432 | ||||||
|
| |||||||
| Total Health Care | 15,762,833 | |||||||
|
| |||||||
| Industrials (10.3%) | ||||||||
| 49,082 | BE Aerospace, Inc.a | 2,003,036 | ||||||
| 28,446 | Cooper Industries plc | 1,697,373 | ||||||
| 22,829 | Eaton Corporation | 1,174,552 | ||||||
| 57,681 | GrafTech International, Ltd.a | 1,169,194 | ||||||
| 279,567 | JetBlue Airways Corporationa,b | 1,705,359 | ||||||
| 30,609 | Kansas City Southern, Inc.a | 1,816,032 | ||||||
| 204,311 | Masco Corporation | 2,457,861 | ||||||
| 27,881 | Parker Hannifin Corporation | 2,502,041 | ||||||
| 79,977 | Pentair, Inc. | 3,227,872 | ||||||
| 60,001 | Republic Services, Inc. | 1,851,031 | ||||||
| 24,512 | Ryder System, Inc. | 1,393,507 | ||||||
| 95,572 | Spirit Aerosystems Holdings, Inc.a | 2,102,584 | ||||||
| 95,960 | Textron, Inc. | 2,265,615 | ||||||
|
| |||||||
| Total Industrials | 25,366,057 | |||||||
|
| |||||||
| Information Technology (7.6%) | ||||||||
| 31,053 | Amphenol Corporation | 1,676,552 | ||||||
| 29,787 | BMC Software, Inc.a | 1,629,349 | ||||||
| 267,314 | Brocade Communicationsa | 1,726,848 | ||||||
| 26,236 | Check Point Software Technologies, Ltd.a | 1,491,517 | ||||||
| 60,222 | Electronic Arts, Inc.a | 1,421,239 | ||||||
| 45,317 | Maxim Integrated Products, Inc. | 1,158,303 | ||||||
| 173,888 | ON Semiconductor Corporationa | 1,820,607 | ||||||
| 93,238 | Parametric Technology Corporationa | 2,137,947 | ||||||
| 22,230 | Polycom, Inc.a | 1,429,389 | ||||||
| 68,223 | Quest Software, Inc.a | 1,550,709 | ||||||
| 73,155 | Xilinx, Inc. | 2,667,963 | ||||||
|
| |||||||
| Total Information Technology | 18,710,423 | |||||||
|
| |||||||
| Materials (4.0%) | ||||||||
| 12,628 | Albemarle Corporation | 873,857 | ||||||
| 127,404 | Chemtura Corporationa | 2,318,753 | ||||||
| 32,378 | Cytec Industries, Inc. | 1,851,698 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.5%) | Value | ||||||
| Materials (4.0%) - continued | ||||||||
| 115,036 | Huntsman Corporation | $ | 2,168,429 | |||||
| 83,865 | Stillwater Mining Companya | 1,845,869 | ||||||
| 64,937 | Thompson Creek Metals Company, Inc.a | 648,071 | ||||||
|
| |||||||
| Total Materials | 9,706,677 | |||||||
|
| |||||||
| Telecommunications Services (3.3%) | ||||||||
| 75,979 | CenturyLink, Inc. | 3,071,831 | ||||||
| 184,475 | Clearwire Corporationa,b | 697,316 | ||||||
| 780,652 | Sprint Nextel Corporationa | 4,207,714 | ||||||
|
| |||||||
| Total Telecommunications Services | 7,976,861 | |||||||
|
| |||||||
| Utilities (11.2%) | ||||||||
| 67,378 | AES Corporationa | 858,396 | ||||||
| 111,428 | CMS Energy Corporation | 2,194,017 | ||||||
| 41,207 | Edison International, Inc. | 1,596,771 | ||||||
| 35,170 | Great Plains Energy, Inc. | 729,074 | ||||||
| 62,867 | Northeast Utilities | 2,211,032 | ||||||
| 126,382 | NV Energy, Inc. | 1,939,964 | ||||||
| 40,189 | Pinnacle West Capital Corporation | 1,791,626 | ||||||
| 163,220 | PPL Corporation | 4,542,413 | ||||||
| 38,036 | Questar Corporation | 673,617 | ||||||
| 65,808 | SCANA Corporationb | 2,590,861 | ||||||
| 53,962 | Sempra Energy | 2,853,511 | ||||||
| 43,991 | Westar Energy, Inc. | 1,183,798 | ||||||
| 177,843 | Xcel Energy, Inc. | 4,321,585 | ||||||
|
| |||||||
| Total Utilities | 27,486,665 | |||||||
|
| |||||||
Total Common Stock (cost $204,192,571) | 241,648,934 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (2.8%) | ||||||||
| 6,860,898 | Thrivent Financial Securities Lending Trust | 6,860,898 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $6,860,898) | 6,860,898 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.8%)c | |||||||
| Thunder Bay Funding, LLC | ||||||||
| 2,000,000 | 0.130%, 7/21/2011 | 1,999,856 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,999,856 | |||||||
|
| |||||||
| Total Investments (cost $213,053,325) 102.1% | $ | 250,509,688 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.1%) | (5,050,329 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 245,459,359 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or 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 | $ | 39,625,117 | ||
Gross unrealized depreciation | (3,196,080 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 36,429,037 | ||
Cost for federal income tax purposes | $ | 214,080,651 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Mid Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 35,851,407 | 35,851,407 | — | — | ||||||||||||
Consumer Staples | 12,714,002 | 12,714,002 | — | — | ||||||||||||
Energy | 17,218,565 | 17,218,565 | — | — | ||||||||||||
Financials | 70,855,444 | 70,855,444 | — | — | ||||||||||||
Health Care | 15,762,833 | 15,762,833 | — | — | ||||||||||||
Industrials | 25,366,057 | 25,366,057 | — | — | ||||||||||||
Information Technology | 18,710,423 | 18,710,423 | — | — | ||||||||||||
Materials | 9,706,677 | 9,706,677 | — | — | ||||||||||||
Telecommunications Services | 7,976,861 | 7,976,861 | — | — | ||||||||||||
Utilities | 27,486,665 | 27,486,665 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,860,898 | 6,860,898 | — | — | ||||||||||||
Short-Term Investments | 1,999,856 | — | 1,999,856 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 250,509,688 | $ | 248,509,832 | $ | 1,999,856 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 6,220,480 | $ | 50,698,628 | $ | 50,058,210 | 6,860,898 | $ | 6,860,898 | $ | 18,445 | |||||||||||||
Total Value and Income Earned | 6,220,480 | 6,860,898 | 18,445 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
178
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (96.4%) | Value | ||||||
| Consumer Discretionary (9.1%) | ||||||||
| 134,814 | Autoliv, Inc.a | $ | 10,576,158 | |||||
| 90,900 | Charter Communications, Inc.b | 4,932,234 | ||||||
| 103,036 | Dollar Tree, Inc.b | 6,864,259 | ||||||
| 154,800 | Omnicom Group, Inc. | 7,455,168 | ||||||
| 83,155 | Panera Bread Companyb | 10,449,257 | ||||||
| 211,000 | Williams-Sonoma, Inc. | 7,699,390 | ||||||
|
| |||||||
| Total Consumer Discretionary | 47,976,466 | |||||||
|
| |||||||
| Consumer Staples (4.0%) | ||||||||
| 131,400 | Corn Products International, Inc. | 7,263,792 | ||||||
| 245,460 | Flowers Foods, Inc.a | 5,409,939 | ||||||
| 152,912 | TreeHouse Foods, Inc.b | 8,350,524 | ||||||
|
| |||||||
| Total Consumer Staples | 21,024,255 | |||||||
|
| |||||||
| Energy (11.0%) | ||||||||
| 113,392 | Alpha Natural Resources, Inc.b | 5,152,533 | ||||||
| 204,400 | Arch Coal, Inc. | 5,449,304 | ||||||
| 109,000 | ENSCO International plc ADR | 5,809,700 | ||||||
| 410,000 | Helix Energy Solutions Group, Inc.b | 6,789,600 | ||||||
| 153,506 | National Oilwell Varco, Inc. | 12,005,704 | ||||||
| 163,000 | Southwestern Energy Companyb | 6,989,440 | ||||||
| 450,800 | Weatherford International, Ltd.b | 8,452,500 | ||||||
| 128,200 | Whiting Petroleum Corporationb | 7,295,862 | ||||||
|
| |||||||
| Total Energy | 57,944,643 | |||||||
|
| |||||||
| Financials (18.4%) | ||||||||
| 387,873 | Duke Realty Corporation | 5,434,101 | ||||||
| 143,471 | Endurance Specialty Holdings, Ltd. | 5,929,656 | ||||||
| 333,435 | Equity One, Inc.a | 6,215,228 | ||||||
| 343,820 | HCC Insurance Holdings, Inc. | 10,830,330 | ||||||
| 448,348 | Host Hotels & Resorts, Inc. | 7,599,499 | ||||||
| 44,749 | IntercontinentalExchange, Inc.b | 5,580,648 | ||||||
| 136,624 | Lazard, Ltd. | 5,068,750 | ||||||
| 119,900 | M&T Bank Corporation | 10,545,205 | ||||||
| 208,000 | NASDAQ OMX Group, Inc.b | 5,262,400 | ||||||
| 225,033 | Northern Trust Corporation | 10,342,517 | ||||||
| 2,048,700 | Popular, Inc.b | 5,654,412 | ||||||
| 327,660 | W.R. Berkley Corporation | 10,629,290 | ||||||
| 315,172 | Zions Bancorporation | 7,567,280 | ||||||
|
| |||||||
| Total Financials | 96,659,316 | |||||||
|
| |||||||
| Health Care (13.6%) | ||||||||
| 153,800 | Alexion Pharmaceuticals, Inc.b | 7,233,214 | ||||||
| 81,382 | C.R. Bard, Inc. | 8,940,626 | ||||||
| 99,400 | Covance, Inc.b | 5,901,378 | ||||||
| 212,291 | Coventry Health Care, Inc.b | 7,742,253 | ||||||
| 204,831 | Health Net, Inc.b | 6,579,172 | ||||||
| 99,100 | Quest Diagnostics, Inc. | 5,856,810 | ||||||
| 203,400 | Thoratec Corporationb | 6,675,588 | ||||||
| 78,314 | Varian Medical Systems, Inc.b | 5,483,546 | ||||||
| 105,175 | Vertex Pharmaceuticals, Inc.b | 5,468,048 | ||||||
| 66,500 | Waters Corporationb | 6,366,710 | ||||||
| 87,969 | Zimmer Holdings, Inc.b | 5,559,641 | ||||||
|
| |||||||
| Total Health Care | 71,806,986 | |||||||
|
| |||||||
| Industrials (15.8%) | ||||||||
| 138,582 | Chicago Bridge and Iron Company | 5,390,840 | ||||||
| 251,793 | CSX Corporation | 6,602,012 | ||||||
| 109,448 | Expeditors International of Washington, Inc. | 5,602,643 | ||||||
| 157,200 | FTI Consulting, Inc.a,b | 5,964,168 | ||||||
| 679,286 | Manitowoc Company, Inc. | 11,439,176 | ||||||
| 97,508 | Manpower, Inc. | 5,231,304 | ||||||
| 327,534 | Oshkosh Corporationb | 9,478,834 | ||||||
| 57,982 | Parker Hannifin Corporation | 5,203,305 | ||||||
| 171,000 | Republic Services, Inc. | 5,275,350 | ||||||
| 267,100 | Shaw Group, Inc.b | 8,069,091 | ||||||
| 95,432 | SPX Corporation | 7,888,409 | ||||||
| 143,688 | Tyco International, Ltd. | 7,102,498 | ||||||
|
| |||||||
| Total Industrials | 83,247,630 | |||||||
|
| |||||||
| Information Technology (15.5%) | ||||||||
| 114,000 | Alliance Data Systems Corporationa,b | 10,723,980 | ||||||
| 201,404 | eBay, Inc.b | 6,499,307 | ||||||
| 202,432 | Juniper Networks, Inc.b | 6,376,608 | ||||||
| 114,982 | Lam Research Corporationb | 5,091,403 | ||||||
| 177,600 | SuccessFactors, Inc.b | 5,221,440 | ||||||
| 780,646 | Teradyne, Inc.b | 11,553,561 | ||||||
| 396,100 | TIBCO Software, Inc.b | 11,494,822 | ||||||
| 433,900 | ValueClick, Inc.b | 7,202,740 | ||||||
| 190,500 | VeriFone Systems, Inc.b | 8,448,675 | ||||||
| 249,691 | Xilinx, Inc. | 9,106,230 | ||||||
|
| |||||||
| Total Information Technology | 81,718,766 | |||||||
|
| |||||||
| Materials (5.4%) | ||||||||
| 114,617 | Albemarle Corporation | 7,931,497 | ||||||
| 165,024 | Silgan Holdings, Inc. | 6,761,033 | ||||||
| 488,200 | Steel Dynamics, Inc. | 7,933,250 | ||||||
| 192,200 | Temple-Inland, Inc. | 5,716,028 | ||||||
|
| |||||||
| Total Materials | 28,341,808 | |||||||
|
| |||||||
| Utilities (3.6%) | ||||||||
| 311,700 | CMS Energy Corporation | 6,137,373 | ||||||
| 422,078 | NV Energy, Inc. | 6,478,897 | ||||||
| 201,366 | UGI Corporation | 6,421,562 | ||||||
|
| |||||||
| Total Utilities | 19,037,832 | |||||||
|
| |||||||
Total Common Stock (cost $390,736,755) | 507,757,702 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (5.5%) | ||||||||
| 28,931,425 | Thrivent Financial Securities Lending Trust | 28,931,425 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $28,931,425) | 28,931,425 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (3.3%)c | |||||||
| Barton Capital LLC | ||||||||
| 7,220,000 | 0.070%, 7/1/2011d | 7,220,000 | ||||||
| Chariot Funding, LLC | ||||||||
| 5,000,000 | 0.130%, 7/25/2011 | 4,999,567 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
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Mid Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Short-Term Investments (3.3%)c | Value | ||||||
| Thunder Bay Funding, LLC | ||||||||
| 5,000,000 | 0.130%, 7/20/2011 | $ | 4,999,657 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 17,219,224 | |||||||
|
| |||||||
| Total Investments (cost $436,887,404) 105.2% | $ | 553,908,351 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.2%) | (27,259,117 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 526,649,234 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or 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 | $ | 118,450,641 | ||
Gross unrealized depreciation | (5,079,534 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 113,371,107 | ||
Cost for federal income tax purposes | $ | 440,537,244 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Mid Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 47,976,466 | 47,976,466 | — | — | ||||||||||||
Consumer Staples | 21,024,255 | 21,024,255 | — | — | ||||||||||||
Energy | 57,944,643 | 57,944,643 | — | — | ||||||||||||
Financials | 96,659,316 | 96,659,316 | — | — | ||||||||||||
Health Care | 71,806,986 | 71,806,986 | — | — | ||||||||||||
Industrials | 83,247,630 | 83,247,630 | — | — | ||||||||||||
Information Technology | 81,718,766 | 81,718,766 | — | — | ||||||||||||
Materials | 28,341,808 | 28,341,808 | — | — | ||||||||||||
Utilities | 19,037,832 | 19,037,832 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 28,931,425 | 28,931,425 | — | — | ||||||||||||
Short-Term Investments | 17,219,224 | — | 17,219,224 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 553,908,351 | $ | 536,689,127 | $ | 17,219,224 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 33,032,547 | $ | 151,426,021 | $ | 155,527,143 | 28,931,425 | $ | 28,931,425 | $ | 26,046 | |||||||||||||
Total Value and Income Earned | 33,032,547 | 28,931,425 | 26,046 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.8%) | Value | ||||||
| Consumer Discretionary (13.4%) | ||||||||
| 3,533 | 99 Cents Only Storesa | $ | 71,508 | |||||
| 5,500 | Aaron’s, Inc. | 155,430 | ||||||
| 5,900 | Advance Auto Parts, Inc. | 345,091 | ||||||
| 6,150 | Aeropostale, Inc.a | 107,625 | ||||||
| 4,100 | AMC Networks, Inc.a | 178,350 | ||||||
| 14,680 | American Eagle Outfitters, Inc. | 187,170 | ||||||
| 3,100 | American Greetings Corporationb | 74,524 | ||||||
| 4,050 | Ann, Inc.a | 105,705 | ||||||
| 5,300 | Ascena Retail Group, Inc.a | 180,465 | ||||||
| 3,400 | Bally Technologies, Inc.a,b | 138,312 | ||||||
| 3,070 | Barnes & Noble, Inc. | 50,901 | ||||||
| 2,410 | Bob Evans Farms, Inc. | 84,278 | ||||||
| 8,420 | BorgWarner, Inc.a | 680,252 | ||||||
| 6,455 | Brinker International, Inc. | 157,889 | ||||||
| 4,800 | Career Education Corporationa | 101,520 | ||||||
| 4,400 | Cheesecake Factory, Inc.a | 138,028 | ||||||
| 13,400 | Chico’s FAS, Inc. | 204,082 | ||||||
| 4,600 | Collective Brands, Inc.a | 67,574 | ||||||
| 3,000 | Deckers Outdoor Corporationa | 264,420 | ||||||
| 7,100 | Dick’s Sporting Goods, Inc.a | 272,995 | ||||||
| 9,440 | Dollar Tree, Inc.a | 628,893 | ||||||
| 5,500 | DreamWorks Animation SKG, Inc.a | 110,550 | ||||||
| 20,000 | Eastman Kodak Companya,b | 71,600 | ||||||
| 11,800 | Foot Locker, Inc. | 280,368 | ||||||
| 3,900 | Fossil, Inc.a | 459,108 | ||||||
| 11,020 | Gentex Corporation | 333,134 | ||||||
| 5,000 | Guess ?, Inc. | 210,300 | ||||||
| 7,500 | Hanesbrands, Inc.a | 214,125 | ||||||
| 2,270 | International Speedway Corporation | 64,491 | ||||||
| 1,800 | ITT Educational Services, Inc.a,b | 140,832 | ||||||
| 3,600 | John Wiley and Sons, Inc. | 187,236 | ||||||
| 5,300 | KB Home | 51,834 | ||||||
| 4,400 | Lamar Advertising Companya | 120,428 | ||||||
| 3,300 | Life Time Fitness, Inc.a | 131,703 | ||||||
| 11,100 | LKQ Corporationa | 289,599 | ||||||
| 2,900 | M.D.C. Holdings, Inc. | 71,456 | ||||||
| 2,300 | Matthews International Corporation | 92,345 | ||||||
| 2,900 | Meredith Corporation | 90,277 | ||||||
| 4,370 | Mohawk Industries, Inc.a | 262,156 | ||||||
| 8,700 | New York Times Companya | 75,864 | ||||||
| 500 | NVR, Inc.a | 362,740 | ||||||
| 20,700 | Office Depot, Inc.a | 87,354 | ||||||
| 2,400 | Panera Bread Companya | 301,584 | ||||||
| 8,700 | PetSmart, Inc. | 394,719 | ||||||
| 5,200 | Phillips-Van Heusen Corporation | 340,444 | ||||||
| 2,700 | Polaris Industries, Inc. | 300,159 | ||||||
| 8,300 | RadioShack Corporation | 110,473 | ||||||
| 4,200 | Regis Corporation | 64,344 | ||||||
| 4,800 | Rent-A-Center, Inc. | 146,688 | ||||||
| 3,300 | Ryland Group, Inc. | 54,549 | ||||||
| 12,150 | Saks, Inc.a,b | 135,715 | ||||||
| 1,810 | Scholastic Corporation | 48,146 | ||||||
| 4,600 | Scientific Games Corporationa | 47,564 | ||||||
| 17,800 | Service Corporation International | 207,904 | ||||||
| 5,220 | Sotheby’s Holdings, Inc. | 227,070 | ||||||
| 1,000 | Strayer Education, Inc.b | 126,390 | ||||||
| 3,300 | Thor Industries, Inc. | 95,172 | ||||||
| 3,100 | Timberland Companya | 133,207 | ||||||
| 11,100 | Toll Brothers, Inc.a | 230,214 | ||||||
| 5,600 | Tractor Supply Company | 374,528 | ||||||
| 4,900 | Tupperware Brands Corporation | 330,505 | ||||||
| 2,800 | Under Armour, Inc.a,b | 216,468 | ||||||
| 3,400 | Warnaco Group, Inc.a | 177,650 | ||||||
| 23,214 | Wendy’s/Arby’s Group, Inc. | 117,695 | ||||||
| 8,080 | Williams-Sonoma, Inc. | 294,839 | ||||||
| 4,500 | WMS Industries, Inc.a | 138,240 | ||||||
|
| |||||||
| Total Consumer Discretionary | 12,516,779 | |||||||
|
| |||||||
| Consumer Staples (4.1%) | ||||||||
| 4,240 | BJ’s Wholesale Club, Inc.a | 213,484 | ||||||
| 11,020 | Church & Dwight Company, Inc. | 446,751 | ||||||
| 5,900 | Corn Products International, Inc. | 326,152 | ||||||
| 5,350 | Energizer Holdings, Inc.a | 387,126 | ||||||
| 8,550 | Flowers Foods, Inc. | 188,442 | ||||||
| 9,600 | Green Mountain Coffee Roasters, Inc.a | 856,896 | ||||||
| 5,400 | Hansen Natural Corporationa | 437,130 | ||||||
| 1,540 | Lancaster Colony Corporation | 93,663 | ||||||
| 4,200 | Ralcorp Holdings, Inc.a | 363,636 | ||||||
| 3,310 | Ruddick Corporation | 144,117 | ||||||
| 12,700 | Smithfield Foods, Inc.a | 277,749 | ||||||
| 1,757 | Tootsie Roll Industries, Inc. | 51,410 | ||||||
| 1,840 | Universal Corporation | 69,313 | ||||||
|
| |||||||
| Total Consumer Staples | 3,855,869 | |||||||
|
| |||||||
| Energy (7.6%) | ||||||||
| 16,300 | Arch Coal, Inc. | 434,558 | ||||||
| 4,400 | Atwood Oceanics, Inc.a | 194,172 | ||||||
| 3,700 | Bill Barrett Corporationa | 171,495 | ||||||
| 1,500 | Carbo Ceramics, Inc. | 244,425 | ||||||
| 6,600 | Cimarex Energy Company | 593,472 | ||||||
| 3,700 | Comstock Resources, Inc.a | 106,523 | ||||||
| 6,200 | Dresser-Rand Group, Inc.a | 333,250 | ||||||
| 2,700 | Dril-Quip, Inc.a | 183,141 | ||||||
| 5,600 | Energen Corporation | 316,400 | ||||||
| 4,878 | Exterran Holdings, Inc.a | 96,731 | ||||||
| 8,700 | Forest Oil Corporationa | 232,377 | ||||||
| 8,200 | Frontier Oil Corporation | 264,942 | ||||||
| 8,100 | Helix Energy Solutions Group, Inc.a | 134,136 | ||||||
| 7,800 | Holly Corporation | 541,320 | ||||||
| 4,200 | Northern Oil and Gas, Inc.a,b | 93,030 | ||||||
| 8,400 | Oceaneering International, Inc. | 340,200 | ||||||
| 4,000 | Oil States International, Inc.a | 319,640 | ||||||
| 2,000 | Overseas Shipholding Group, Inc.b | 53,880 | ||||||
| 7,000 | Patriot Coal Corporationa | 155,820 | ||||||
| 11,800 | Patterson-UTI Energy, Inc. | 372,998 | ||||||
| 10,739 | Plains Exploration & Production Companya | 409,370 | ||||||
| 8,900 | Quicksilver Resources, Inc.a | 131,364 | ||||||
| 4,900 | SM Energy Company | 360,052 | ||||||
| 9,500 | Southern Union Company | 381,425 | ||||||
| 6,200 | Superior Energy Services, Inc.a | 230,268 | ||||||
| 3,900 | Tidewater, Inc. | 209,859 | ||||||
| 3,100 | Unit Corporationa | 188,883 | ||||||
|
| |||||||
| Total Energy | 7,093,731 | |||||||
|
| |||||||
| Financials (18.6%) | ||||||||
| 4,000 | Affiliated Managers Group, Inc.a | 405,800 | ||||||
| 4,800 | Alexandria Real Estate Equities, Inc. | 371,616 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.8%) | Value | ||||||
| Financials (18.6%) - continued | ||||||||
| 5,835 | American Financial Group, Inc. | $ | 208,251 | |||||
| 14,200 | Apollo Investment Corporation | 144,982 | ||||||
| 8,100 | Arthur J. Gallagher & Company | 231,174 | ||||||
| 5,200 | Aspen Insurance Holdings, Ltd. | 133,796 | ||||||
| 12,693 | Associated Banc-Corp | 176,433 | ||||||
| 6,270 | Astoria Financial Corporation | 80,193 | ||||||
| 5,300 | BancorpSouth, Inc.b | 65,773 | ||||||
| 3,700 | Bank of Hawaii Corporation | 172,124 | ||||||
| 5,700 | BRE Properties, Inc. | 284,316 | ||||||
| 9,100 | Brown & Brown, Inc. | 233,506 | ||||||
| 5,300 | Camden Property Trust | 337,186 | ||||||
| 5,800 | Cathay General Bancorp | 95,062 | ||||||
| 3,720 | City National Corporation | 201,810 | ||||||
| 5,985 | Commerce Bancshares, Inc. | 257,355 | ||||||
| 5,300 | Corporate Office Properties Trust | 164,883 | ||||||
| 7,088 | Cousins Properties, Inc. | 60,532 | ||||||
| 4,800 | Cullen/Frost Bankers, Inc. | 272,880 | ||||||
| 18,800 | Duke Realty Corporation | 263,388 | ||||||
| 11,300 | East West Bancorp, Inc. | 228,373 | ||||||
| 9,000 | Eaton Vance Corporation | 272,070 | ||||||
| 4,200 | Equity One, Inc. | 78,288 | ||||||
| 2,600 | Essex Property Trust, Inc. | 351,754 | ||||||
| 4,210 | Everest Re Group, Ltd. | 344,167 | ||||||
| 4,800 | Federal Realty Investment Trust | 408,864 | ||||||
| 16,305 | Fidelity National Financial, Inc. | 256,641 | ||||||
| 7,600 | First American Financial Corporation | 118,940 | ||||||
| 22,100 | First Niagara Financial Group, Inc. | 291,720 | ||||||
| 8,098 | FirstMerit Corporation | 133,698 | ||||||
| 14,600 | Fulton Financial Corporation | 156,366 | ||||||
| 2,000 | Greenhill & Company, Inc. | 107,640 | ||||||
| 6,500 | Hancock Holding Company | 201,370 | ||||||
| 3,470 | Hanover Insurance Group, Inc. | 130,854 | ||||||
| 8,650 | HCC Insurance Holdings, Inc. | 272,475 | ||||||
| 5,600 | Highwoods Properties, Inc. | 185,528 | ||||||
| 9,300 | Hospitality Properties Trust | 225,525 | ||||||
| 3,800 | International Bancshares Corporation | 63,574 | ||||||
| 10,800 | Jefferies Group, Inc. | 220,320 | ||||||
| 3,400 | Jones Lang LaSalle, Inc. | 320,620 | ||||||
| 8,900 | Liberty Property Trust | 289,962 | ||||||
| 9,968 | Macerich Company | 533,288 | ||||||
| 6,600 | Mack-Cali Realty Corporation | 217,404 | ||||||
| 2,700 | Mercury General Corporation | 106,623 | ||||||
| 9,300 | MSCI, Inc.a | 350,424 | ||||||
| 9,700 | Nationwide Health Properties, Inc. | 401,677 | ||||||
| 32,711 | New York Community Bancorp, Inc. | 490,338 | ||||||
| 18,250 | Old Republic International Corporation | 214,437 | ||||||
| 7,500 | Omega Healthcare Investors, Inc. | 157,575 | ||||||
| 3,107 | Potlatch Corporation | 109,584 | ||||||
| 3,700 | Prosperity Bancshares, Inc. | 162,134 | ||||||
| 6,370 | Protective Life Corporation | 147,338 | ||||||
| 7,825 | Raymond James Financial, Inc. | 251,574 | ||||||
| 6,308 | Rayonier, Inc. REIT | 412,228 | ||||||
| 9,600 | Realty Income Corporationb | 321,504 | ||||||
| 6,900 | Regency Centers Corporation | 303,393 | ||||||
| 5,700 | Reinsurance Group of America, Inc. | 346,902 | ||||||
| 10,940 | SEI Investments Company | 246,259 | ||||||
| 11,800 | Senior Housing Property Trust | 276,238 | ||||||
| 6,300 | SL Green Realty Corporation | 522,081 | ||||||
| 3,500 | StanCorp Financial Group, Inc. | 147,665 | ||||||
| 3,330 | SVB Financial Groupa | 198,834 | ||||||
| 57,800 | Synovus Financial Corporation | 120,224 | ||||||
| 4,300 | Taubman Centers, Inc. | 254,560 | ||||||
| 12,120 | TCF Financial Corporation | 167,256 | ||||||
| 4,800 | Transatlantic Holdings, Inc. | 235,248 | ||||||
| 4,100 | Trustmark Corporation | 95,981 | ||||||
| 14,503 | UDR, Inc. | 356,049 | ||||||
| 3,700 | Unitrin, Inc. | 109,779 | ||||||
| 12,104 | Valley National Bancorpb | 164,735 | ||||||
| 8,575 | W.R. Berkley Corporation | 278,173 | ||||||
| 6,640 | Waddell & Reed Financial, Inc. | 241,364 | ||||||
| 8,027 | Washington Federal, Inc. | 131,884 | ||||||
| 5,530 | Webster Financial Corporation | 116,241 | ||||||
| 9,200 | Weingarten Realty Investorsb | 231,472 | ||||||
| 2,320 | Westamerica Bancorporation | 114,260 | ||||||
|
| |||||||
| Total Financials | 17,354,535 | |||||||
|
| |||||||
| Health Care (10.8%) | ||||||||
| 14,700 | Allscripts Healthcare Solutions, Inc.a | 285,474 | ||||||
| 1,600 | Bio-Rad Laboratories, Inc.a | 190,976 | ||||||
| 3,900 | Catalyst Health Solutions, Inc.a | 217,698 | ||||||
| 4,000 | Charles River Laboratories International, Inc.a | 162,600 | ||||||
| 7,200 | Community Health Systems, Inc.a | 184,896 | ||||||
| 3,700 | Cooper Companies, Inc. | 293,188 | ||||||
| 4,710 | Covance, Inc.a | 279,633 | ||||||
| 9,000 | Endo Pharmaceutical Holdings, Inc.a | 361,530 | ||||||
| 3,700 | Gen-Probe, Inc.a | 255,855 | ||||||
| 19,100 | Health Management Associates, Inc.a | 205,898 | ||||||
| 6,980 | Health Net, Inc.a | 224,198 | ||||||
| 7,100 | Henry Schein, Inc.a | 508,289 | ||||||
| 4,850 | Hill-Rom Holdings, Inc. | 223,294 | ||||||
| 19,900 | Hologic, Inc.a | 401,383 | ||||||
| 4,500 | IDEXX Laboratories, Inc.a,b | 349,020 | ||||||
| 5,200 | Immucor, Inc.a | 106,184 | ||||||
| 4,000 | Kindred Healthcare, Inc.a | 85,880 | ||||||
| 4,800 | Kinetic Concepts, Inc.a | 276,624 | ||||||
| 4,100 | LifePoint Hospitals, Inc.a | 160,228 | ||||||
| 7,230 | Lincare Holdings, Inc. | 211,622 | ||||||
| 4,600 | Masimo Corporation | 136,528 | ||||||
| 4,800 | Medicis Pharmaceutical Corporation | 183,216 | ||||||
| 3,700 | Mednax, Inc.a | 267,103 | ||||||
| 2,500 | Mettler-Toledo International, Inc.a | 421,675 | ||||||
| 8,820 | Omnicare, Inc.b | 281,270 | ||||||
| 4,950 | Owens & Minor, Inc. | 170,725 | ||||||
| 6,450 | Perrigo Company | 566,761 | ||||||
| 8,800 | Pharmaceutical Product Development, Inc. | 236,192 | ||||||
| 11,800 | ResMed, Inc.a,b | 365,210 | ||||||
| 4,500 | STERIS Corporation | 157,410 | ||||||
| 2,900 | Techne Corporation | 241,773 | ||||||
| 3,140 | Teleflex, Inc. | 191,728 | ||||||
| 4,500 | Thoratec Corporationa | 147,690 | ||||||
| 4,000 | United Therapeutics Corporationa | 220,400 | ||||||
| 7,500 | Universal Health Services, Inc. | 386,475 | ||||||
| 6,500 | VCA Antech, Inc.a | 137,800 | ||||||
| 15,820 | Vertex Pharmaceuticals, Inc.a | 822,482 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.8%) | Value | ||||||
| Health Care (10.8%) - continued | ||||||||
| 3,300 | Wellcare Health Plans, Inc.a | $ | 169,653 | |||||
|
| |||||||
| Total Health Care | 10,088,561 | |||||||
|
| |||||||
| Industrials (15.4%) | ||||||||
| 3,400 | Acuity Brands, Inc. | 189,652 | ||||||
| 9,100 | Aecom Technology Corporationa | 248,794 | ||||||
| 7,330 | AGCO Corporationa | 361,809 | ||||||
| 2,840 | Alaska Air Group, Inc.a | 194,426 | ||||||
| 3,260 | Alexander & Baldwin, Inc. | 157,002 | ||||||
| 2,500 | Alliant Techsystems, Inc. | 178,325 | ||||||
| 12,355 | AMETEK, Inc. | 554,739 | ||||||
| 8,000 | BE Aerospace, Inc.a | 326,480 | ||||||
| 3,660 | Brink’s Company | 109,178 | ||||||
| 6,300 | Bucyrus International, Inc. | 577,458 | ||||||
| 4,740 | Carlisle Companies, Inc. | 233,350 | ||||||
| 1,800 | Clean Harbors, Inc.a | 185,850 | ||||||
| 4,330 | Con-way, Inc. | 168,047 | ||||||
| 4,600 | Copart, Inc.a | 214,360 | ||||||
| 2,700 | Corporate Executive Board Company | 117,855 | ||||||
| 8,100 | Corrections Corporation of Americaa | 175,365 | ||||||
| 3,600 | Crane Company | 177,876 | ||||||
| 3,900 | Deluxe Corporation | 96,369 | ||||||
| 5,900 | Donaldson Company, Inc. | 358,012 | ||||||
| 3,300 | FTI Consulting, Inc.a,b | 125,202 | ||||||
| 4,100 | Gardner Denver, Inc. | 344,605 | ||||||
| 3,520 | GATX Corporation | 130,662 | ||||||
| 4,700 | Graco, Inc. | 238,102 | ||||||
| 2,560 | Granite Construction, Inc.b | 62,797 | ||||||
| 6,100 | Harsco Corporation | 198,860 | ||||||
| 4,390 | Herman Miller, Inc. | 119,496 | ||||||
| 3,430 | HNI Corporationb | 86,162 | ||||||
| 4,630 | Hubbell, Inc. | 300,718 | ||||||
| 3,701 | Huntington Ingalls Industries, Inc.a | 127,685 | ||||||
| 6,400 | IDEX Corporation | 293,440 | ||||||
| 6,740 | JB Hunt Transport Services, Inc. | 317,387 | ||||||
| 14,775 | JetBlue Airways Corporationa,b | 90,127 | ||||||
| 8,500 | Kansas City Southern, Inc.a | 504,305 | ||||||
| 11,700 | KBR, Inc. | 440,973 | ||||||
| 6,340 | Kennametal, Inc. | 267,611 | ||||||
| 4,200 | Kirby Corporationa | 238,014 | ||||||
| 3,540 | Korn/Ferry Internationala | 77,845 | ||||||
| 3,700 | Landstar System, Inc. | 171,976 | ||||||
| 3,500 | Lennox International, Inc. | 150,745 | ||||||
| 6,500 | Lincoln Electric Holdings, Inc. | 233,025 | ||||||
| 6,370 | Manpower, Inc. | 341,750 | ||||||
| 2,400 | Mine Safety Appliances Company | 89,616 | ||||||
| 3,500 | MSC Industrial Direct Company, Inc. | 232,085 | ||||||
| 5,280 | Nordson Corporation | 289,608 | ||||||
| 7,000 | Oshkosh Corporationa | 202,580 | ||||||
| 7,560 | Pentair, Inc. | 305,122 | ||||||
| 3,000 | Regal-Beloit Corporation | 200,310 | ||||||
| 4,422 | Rollins, Inc. | 90,120 | ||||||
| 5,600 | Shaw Group, Inc.a | 169,176 | ||||||
| 3,960 | SPX Corporation | 327,334 | ||||||
| 8,400 | Terex Corporationa | 238,980 | ||||||
| 4,100 | Thomas & Betts Corporationa | 220,785 | ||||||
| 6,300 | Timken Company | 317,520 | ||||||
| 3,500 | Towers Watson & Company | 229,985 | ||||||
| 6,195 | Trinity Industries, Inc. | 216,082 | ||||||
| 1,500 | Triumph Group, Inc. | 149,370 | ||||||
| 4,798 | United Rentals, Inc.a,b | 121,869 | ||||||
| 6,100 | URS Corporationa | 272,914 | ||||||
| 7,700 | UTI Worldwide, Inc. | 151,613 | ||||||
| 1,700 | Valmont Industries, Inc. | 163,863 | ||||||
| 3,800 | Wabtec Corporation | 249,736 | ||||||
| 8,700 | Waste Connections, Inc. | 276,051 | ||||||
| 2,200 | Watsco, Inc. | 149,578 | ||||||
| 3,500 | Werner Enterprises, Inc. | 87,675 | ||||||
| 4,500 | Woodward, Inc. | 156,870 | ||||||
|
| |||||||
| Total Industrials | 14,395,276 | |||||||
|
| |||||||
| Information Technology (15.7%) | ||||||||
| 2,620 | ACI Worldwide, Inc.a | 88,477 | ||||||
| 5,990 | Acxiom Corporationa | 78,529 | ||||||
| 4,980 | ADTRAN, Inc. | 192,776 | ||||||
| 2,400 | Advent Software, Inc.a | 67,608 | ||||||
| 3,900 | Alliance Data Systems Corporationa,b | 366,873 | ||||||
| 7,100 | ANSYS, Inc.a | 388,157 | ||||||
| 8,300 | AOL, Inc.a,b | 164,838 | ||||||
| 8,970 | Arrow Electronics, Inc.a | 372,255 | ||||||
| 34,920 | Atmel Corporationa | 491,324 | ||||||
| 11,720 | Avnet, Inc.a | 373,634 | ||||||
| 9,400 | Broadridge Financial Solutions, Inc. | 226,258 | ||||||
| 19,980 | Cadence Design Systems, Inc.a | 210,989 | ||||||
| 7,200 | Ciena Corporationa,b | 132,336 | ||||||
| 3,700 | Concur Technologies, Inc.a,b | 185,259 | ||||||
| 9,000 | Convergys Corporationa | 122,760 | ||||||
| 8,300 | CoreLogic, Inc.a | 138,693 | ||||||
| 8,500 | Cree, Inc.a,b | 285,515 | ||||||
| 12,800 | Cypress Semiconductor Corporationa | 270,592 | ||||||
| 4,930 | Diebold, Inc. | 152,879 | ||||||
| 3,100 | Digital River, Inc.a | 99,696 | ||||||
| 2,710 | DST Systems, Inc. | 143,088 | ||||||
| 3,700 | Equinix, Inc.a | 373,774 | ||||||
| 3,600 | FactSet Research Systems, Inc. | 368,352 | ||||||
| 3,150 | Fair Isaac Corporation | 95,130 | ||||||
| 9,700 | Fairchild Semiconductor International, Inc.a | 162,087 | ||||||
| 6,700 | Gartner, Inc.a | 269,943 | ||||||
| 6,200 | Global Payments, Inc. | 316,200 | ||||||
| 8,200 | Informatica Corporationa | 479,126 | ||||||
| 12,100 | Ingram Micro, Inc.a | 219,494 | ||||||
| 10,750 | Integrated Device Technology, Inc.a | 84,495 | ||||||
| 5,350 | International Rectifier Corporationa | 149,639 | ||||||
| 9,400 | Intersil Corporation | 120,790 | ||||||
| 3,200 | Itron, Inc.a | 154,112 | ||||||
| 6,560 | Jack Henry & Associates, Inc. | 196,866 | ||||||
| 9,600 | Lam Research Corporationa | 425,088 | ||||||
| 6,500 | Lender Processing Services, Inc. | 135,915 | ||||||
| 1,800 | ManTech International Corporation | 79,956 | ||||||
| 8,170 | Mentor Graphics Corporationa | 104,658 | ||||||
| 6,300 | MICROS Systems, Inc.a | 313,173 | ||||||
| 6,762 | National Instruments Corporation | 200,764 | ||||||
| 12,000 | NCR Corporationa | 226,680 | ||||||
| 5,600 | NeuStar, Inc.a | 146,720 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.8%) | Value | ||||||
| Information Technology (15.7%) - continued | ||||||||
| 8,900 | Parametric Technology Corporationa | $ | 204,077 | |||||
| 3,740 | Plantronics, Inc. | 136,622 | ||||||
| 6,820 | Polycom, Inc.a | 438,526 | ||||||
| 7,900 | QLogic Corporationa | 125,768 | ||||||
| 4,600 | Quest Software, Inc.a | 104,558 | ||||||
| 7,700 | Rackspace Hosting, Inc.a,b | 329,098 | ||||||
| 20,440 | RF Micro Devices, Inc.a | 125,093 | ||||||
| 11,800 | Riverbed Technology, Inc.a | 467,162 | ||||||
| 8,740 | Rovi Corporationa | 501,326 | ||||||
| 4,990 | Semtech Corporationa | 136,427 | ||||||
| 3,500 | Silicon Laboratories, Inc.a | 144,410 | ||||||
| 14,300 | Skyworks Solutions, Inc.a | 328,614 | ||||||
| 5,500 | Solera Holdings, Inc. | 325,380 | ||||||
| 3,400 | SRA International, Inc.a | 105,128 | ||||||
| 11,080 | Synopsys, Inc.a | 284,867 | ||||||
| 3,580 | Tech Data Corporationa | 175,026 | ||||||
| 12,300 | TIBCO Software, Inc.a | 356,946 | ||||||
| 9,500 | Trimble Navigation, Ltd.a | 376,580 | ||||||
| 5,900 | ValueClick, Inc.a | 97,940 | ||||||
| 5,800 | Varian Semiconductor Equipment Associates, Inc.a | 356,352 | ||||||
| 12,520 | Vishay Intertechnology, Inc.a | 188,301 | ||||||
| 4,200 | Zebra Technologies Corporationa | 177,114 | ||||||
|
| |||||||
| Total Information Technology | 14,660,813 | |||||||
|
| |||||||
| Materials (7.3%) | ||||||||
| 7,120 | Albemarle Corporation | 492,704 | ||||||
| 5,200 | AptarGroup, Inc. | 272,168 | ||||||
| 6,100 | Ashland, Inc. | 394,182 | ||||||
| 5,090 | Cabot Corporation | 202,938 | ||||||
| 3,300 | Carpenter Technology Corporation | 190,344 | ||||||
| 8,500 | Commercial Metals Company | 121,975 | ||||||
| 2,500 | Compass Minerals International, Inc. | 215,175 | ||||||
| 3,860 | Cytec Industries, Inc. | 220,753 | ||||||
| 3,100 | Domtar Corporation | 293,632 | ||||||
| 2,400 | Greif, Inc. | 156,072 | ||||||
| 3,500 | Intrepid Potash, Inc.a | 113,750 | ||||||
| 9,700 | Louisiana-Pacific Corporationa | 78,958 | ||||||
| 4,960 | Lubrizol Corporation | 665,979 | ||||||
| 3,520 | Martin Marietta Materials, Inc.b | 281,495 | ||||||
| 1,480 | Minerals Technologies, Inc. | 98,109 | ||||||
| 800 | NewMarket Corporation | 136,568 | ||||||
| 6,200 | Olin Corporation | 140,492 | ||||||
| 7,600 | Packaging Corporation of America | 212,724 | ||||||
| 5,800 | Reliance Steel & Aluminum Company | 287,970 | ||||||
| 5,300 | Rock-Tenn Company | 351,602 | ||||||
| 9,900 | RPM International, Inc. | 227,898 | ||||||
| 3,500 | Scotts Miracle-Gro Company | 179,585 | ||||||
| 3,830 | Sensient Technologies Corporation | 141,978 | ||||||
| 3,700 | Silgan Holdings, Inc. | 151,589 | ||||||
| 7,480 | Sonoco Products Company | 265,839 | ||||||
| 16,500 | Steel Dynamics, Inc. | 268,125 | ||||||
| 8,300 | Temple-Inland, Inc. | 246,842 | ||||||
| 7,260 | Valspar Corporation | 261,796 | ||||||
| 4,100 | Worthington Industries, Inc. | 94,710 | ||||||
|
| |||||||
| Total Materials | 6,765,952 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | ||||||||
| 7,020 | Telephone & Data Systems, Inc. | 218,182 | ||||||
| 11,400 | TW Telecom, Inc.a | 234,042 | ||||||
|
| |||||||
| Total Telecommunications Services | 452,224 | |||||||
|
| |||||||
| Utilities (5.4%) | ||||||||
| 5,980 | AGL Resources, Inc.b | 243,446 | ||||||
| 8,500 | Alliant Energy Corporation | 345,610 | ||||||
| 10,166 | Aqua America, Inc. | 223,449 | ||||||
| 6,800 | Atmos Energy Corporation | 226,100 | ||||||
| 3,100 | Black Hills Corporation | 93,279 | ||||||
| 4,600 | Cleco Corporation | 160,310 | ||||||
| 8,830 | DPL, Inc. | 266,313 | ||||||
| 10,363 | Great Plains Energy, Inc. | 214,825 | ||||||
| 7,080 | Hawaiian Electric Industries, Inc. | 170,345 | ||||||
| 3,730 | IDACORP, Inc. | 147,335 | ||||||
| 14,125 | MDU Resources Group, Inc. | 317,813 | ||||||
| 6,400 | National Fuel Gas Company | 465,920 | ||||||
| 7,940 | NSTAR | 365,081 | ||||||
| 17,000 | NV Energy, Inc. | 260,950 | ||||||
| 7,590 | OGE Energy Corporation | 381,929 | ||||||
| 6,375 | PNM Resources, Inc. | 106,717 | ||||||
| 13,400 | Questar Corporation | 237,314 | ||||||
| 8,300 | UGI Corporation | 264,687 | ||||||
| 6,190 | Vectren Corporation | 172,453 | ||||||
| 8,520 | Westar Energy, Inc. | 229,273 | ||||||
| 3,910 | WGL Holdings, Inc. | 150,496 | ||||||
|
| |||||||
| Total Utilities | 5,043,645 | |||||||
|
| |||||||
Total Common Stock (cost $69,906,804) | 92,227,385 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (4.6%) | ||||||||
| 4,291,667 | Thrivent Financial Securities Lending Trust | 4,291,667 | ||||||
Total Collateral Held for Securities Loaned (cost $4,291,667) | 4,291,667 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.3%)c | |||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.160%, 8/29/2011d | 299,921 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 299,921 | |||||||
|
| |||||||
| Total Investments (cost $74,498,392) 103.7% | $ | 96,818,973 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.7%) | (3,492,112 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 93,326,861 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At June 30, 2011, $299,921 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 | $ | 24,643,248 | ||
Gross unrealized depreciation | (4,484,327 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 20,158,921 | ||
Cost for federal income tax purposes | $ | 76,660,052 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Mid Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 12,516,779 | 12,516,779 | — | — | ||||||||||||
Consumer Staples | 3,855,869 | 3,855,869 | — | — | ||||||||||||
Energy | 7,093,731 | 7,093,731 | — | — | ||||||||||||
Financials | 17,354,535 | 17,354,535 | — | — | ||||||||||||
Health Care | 10,088,561 | 10,088,561 | — | — | ||||||||||||
Industrials | 14,395,276 | 14,395,276 | — | — | ||||||||||||
Information Technology | 14,660,813 | 14,660,813 | — | — | ||||||||||||
Materials | 6,765,952 | 6,765,952 | — | — | ||||||||||||
Telecommunications Services | 452,224 | 452,224 | — | — | ||||||||||||
Utilities | 5,043,645 | 5,043,645 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 4,291,667 | 4,291,667 | — | — | ||||||||||||
Short-Term Investments | 299,921 | — | 299,921 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 96,818,973 | $ | 96,519,052 | $ | 299,921 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 65,600 | 65,600 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 65,600 | $ | 65,600 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 400 Index Mini-Futures | 20 | September 2011 | $ | 1,887,400 | $ | 1,953,000 | $ | 65,600 | ||||||||||||
Total Futures Contracts | $ | 65,600 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | $ | 65,600 | |||
Total Equity Contracts | 65,600 | |||||
|
| |||||
Total Asset Derivatives | $ | 65,600 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 45,960 | ||||
Total Equity Contracts | 45,960 | |||||
|
| |||||
Total | $ | 45,960 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | 42,512 | ||||
Total Equity Contracts | 42,512 | |||||
|
| |||||
Total | $ | 42,512 | ||||
|
| |||||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
��
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 1,804,186 | 1.9 | % | ||||
| * | 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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities | $ | 5,212,131 | $ | 17,536,140 | $ | 18,456,604 | 4,291,667 | $ | 4,291,667 | $ | 5,313 | |||||||||||||
Total Value and Income Earned | 5,212,131 | 4,291,667 | 5,313 | |||||||||||||||||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (87.2%) | Value | ||||||
| Australia (4.0%) | ||||||||
| 8,226 | Ansell, Ltd. | $ | 125,073 | |||||
| 42,081 | Australia & New Zealand Banking Group, Ltd. | 997,474 | ||||||
| 175,107 | BHP Billiton, Ltd. | 8,275,327 | ||||||
| 231,412 | Boart Longyear Group | 995,340 | ||||||
| 71,358 | Brambles, Ltd. | 554,794 | ||||||
| 24,628 | Campbell Brothers, Ltd. | 1,212,834 | ||||||
| 195,854 | Challenger, Ltd. | 1,031,720 | ||||||
| 5,930 | Flight Centre, Ltd. | 138,151 | ||||||
| 88,308 | Fortescue Metals Group, Ltd. | 605,891 | ||||||
| 19,265 | GrainCorp, Ltd. | 172,181 | ||||||
| 69,184 | Iluka Resources, Ltd. | 1,251,426 | ||||||
| 23,923 | JB Hi-Fi, Ltd. | 439,456 | ||||||
| 93,424 | Mineral Resources, Ltd. | 1,156,598 | ||||||
| 236,796 | Mount Gibson Iron, Ltd.a | 470,824 | ||||||
| 15,869 | Ramsay Health Care, Ltd. | 310,009 | ||||||
| 26,768 | Rio Tinto, Ltd. | 2,395,859 | ||||||
| 220,752 | SAI Global, Ltd. | 1,124,760 | ||||||
| 65,099 | United Group, Ltd. | 972,820 | ||||||
| 44,263 | Wesfarmer, Ltd. | 1,516,900 | ||||||
|
| |||||||
Total Australia | 23,747,437 | |||||||
|
| |||||||
| Austria (0.5%) | ||||||||
| 10,126 | Andritz AG | 1,044,052 | ||||||
| 223,722 | IMMOFINANZ AGa | 953,836 | ||||||
| 54,851 | Wienerberger AG | 1,010,377 | ||||||
|
| |||||||
Total Austria | 3,008,265 | |||||||
|
| |||||||
| Belgium (0.7%) | ||||||||
| 34,820 | Anheuser-Busch InBev NV | 2,020,812 | ||||||
| 12,518 | Bekaert SA | 953,174 | ||||||
| 13,358 | Compagnie d’ Entreprises CFE | 968,533 | ||||||
|
| |||||||
Total Belgium | 3,942,519 | |||||||
|
| |||||||
| Bermuda (0.2%) | ||||||||
| 165,373 | Archer, Ltd.a | 1,000,017 | ||||||
|
| |||||||
Total Bermuda | 1,000,017 | |||||||
|
| |||||||
| Brazil (2.9%) | ||||||||
| 139,320 | Banco Bradesco SA ADR | 2,854,667 | ||||||
| 37,849 | Lojas Renner SA | 1,443,195 | ||||||
| 47,168 | Multiplan Empreendimentos Imobiliarios SA | 1,034,208 | ||||||
| 42,900 | Petroleo Brasileiro SA ADR | 1,452,594 | ||||||
| 101,000 | Petroleo Brasileiro SA PREF ADR | 3,098,680 | ||||||
| 122,500 | Souza Cruz SA | 1,546,261 | ||||||
| 126,000 | Ultrapar Participacoes SA ADR | 2,284,380 | ||||||
| 123,000 | Vale SA SP PREF ADR | 3,562,080 | ||||||
|
| |||||||
Total Brazil | 17,276,065 | |||||||
|
| |||||||
| Canada (2.8%) | ||||||||
| 12,553 | Agrium, Inc. | 1,102,243 | ||||||
| 38,557 | Barrick Gold Corporation | 1,750,556 | ||||||
| 143,256 | Bombardier, Inc. | 1,032,275 | ||||||
| 43,773 | Brookfield Asset Management, Inc. | 1,456,377 | ||||||
| 20,580 | Finning International, Inc. | 610,252 | ||||||
| 26,270 | Goldcorp, Inc. | 1,270,602 | ||||||
| 10,561 | Open Text Corporationa | 677,021 | ||||||
| 17,307 | Pacific Rubiales Energy Corporation | 463,853 | ||||||
| 32,959 | Potash Corporation of Saskatchewan, Inc. | 1,882,199 | ||||||
| 20,926 | Saputo, Inc. | 1,009,091 | ||||||
| 18,971 | Shoppers Drug Mart Corporation | 780,870 | ||||||
| 64,777 | Suncor Energy, Inc. | 2,538,694 | ||||||
| 13,298 | Tim Hortons, Inc. | 649,251 | ||||||
| 27,617 | Trican Well Service, Ltd. | 648,835 | ||||||
| 59,582 | Yamana Gold, Inc. | 695,587 | ||||||
|
| |||||||
| Total Canada | 16,567,706 | |||||||
|
| |||||||
| Cayman Islands (0.2%) | ||||||||
| 844,646 | Greatview Aseptic Packaging Company, Ltd.a | 512,712 | ||||||
| 1,119,190 | Kingboard Laminates Holdings, Ltd. | 880,889 | ||||||
|
| |||||||
| Total Cayman Islands | 1,393,601 | |||||||
|
| |||||||
| Chile (0.3%) | ||||||||
| 18,200 | Banco Santander Chile SA ADR | 1,707,342 | ||||||
|
| |||||||
| Total Chile | 1,707,342 | |||||||
|
| |||||||
| China (1.1%) | ||||||||
| 5,627,550 | Bank of China, Ltd. | 2,754,439 | ||||||
| 1,688,486 | Huaneng Power International, Inc. | 893,595 | ||||||
| 1,866,000 | PetroChina Company, Ltd. | 2,740,742 | ||||||
|
| |||||||
| Total China | 6,388,776 | |||||||
|
| |||||||
| Denmark (0.7%) | ||||||||
| 46,189 | Christian Hansen Holding AS | 1,097,491 | ||||||
| 42,705 | DSV AS | 1,025,119 | ||||||
| 16,021 | Novo Nordisk AS | 2,007,101 | ||||||
|
| |||||||
| Total Denmark | 4,129,711 | |||||||
|
| |||||||
| Finland (1.4%) | ||||||||
| 8,929 | Amer Sports Oyj | 148,623 | ||||||
| 24,632 | Cargotec Oyj | 1,264,122 | ||||||
| 20,375 | Kesko Oyj | 947,565 | ||||||
| 57,550 | Neste Oil Oyj | 902,799 | ||||||
| 24,740 | Outotec Oyj | 1,408,175 | ||||||
| 29,648 | Sampo Oyj | 957,150 | ||||||
| 44,871 | UPM-Kymmene Oyj | 820,945 | ||||||
| 21,741 | Wartsila Corporation | 735,155 | ||||||
| 43,028 | YIT Oyj | 1,077,079 | ||||||
|
| |||||||
| Total Finland | 8,261,613 | |||||||
|
| |||||||
| France (6.2%) | ||||||||
| 33,559 | Alten, Ltd. | 1,335,318 | ||||||
| 27,491 | April | 772,985 | ||||||
| 215,779 | AXA SA | 4,898,083 | ||||||
| 49,568 | Beneteau SA | 1,068,673 | ||||||
| 67,250 | Cap Gemini SA | 3,937,910 | ||||||
| 6,800 | Christian Dior SA | 1,068,555 | ||||||
| 45,492 | Compagnie de Saint-Gobain | 2,948,627 | ||||||
| 15,899 | Faurecia | 681,815 | ||||||
| 46,328 | Ingenico | 2,254,331 | ||||||
| 9,140 | Rubis | 1,157,142 | ||||||
| 21,089 | Safran SA | 899,861 | ||||||
| 11,314 | Schneider Electric SA | 1,889,074 | ||||||
| 91,320 | Total SA | 5,279,398 | ||||||
| 6,429 | Valeo SA | 439,782 | ||||||
| 25,299 | Vinci SA | 1,623,586 | ||||||
| 5,729 | Virbac SA | 980,298 | ||||||
| 153,644 | Vivendi SA | 4,282,403 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (87.2%) | Value | ||||||
| France (6.2%) - continued | ||||||||
| 8,151 | Wendel SA | $ | 1,000,941 | |||||
|
| |||||||
| Total France | 36,518,782 | |||||||
|
| |||||||
| Germany (5.0%) | ||||||||
| 37,978 | Aixtron SE | 1,296,214 | ||||||
| 12,359 | BASF SE | 1,211,417 | ||||||
| 12,710 | Bayerische Motoren Werke AG | 1,269,177 | ||||||
| 75,282 | Daimler AG | 5,676,989 | ||||||
| 50,100 | Deutsche Boerse AG | 3,803,975 | ||||||
| 129,238 | Deutz AGa | 1,277,031 | ||||||
| 34,725 | ElringKlinger AG | 1,232,194 | ||||||
| 12,718 | Henkel AG & Company KGaA | 884,364 | ||||||
| 54,399 | Kloeckner & Company SE | 1,638,738 | ||||||
| 9,046 | Pfeiffer Vacuum Technology AG | 1,136,101 | ||||||
| 16,175 | Rheinmetall AG | 1,430,850 | ||||||
| 23,821 | Siemens AG | 3,273,425 | ||||||
| 27,439 | Stada Arzneimittel AG | 1,073,969 | ||||||
| 35,969 | Suedzucker AG | 1,280,717 | ||||||
| 34,909 | Symrise AG | 1,111,636 | ||||||
| 8,484 | Volkswagen AG | 1,754,414 | ||||||
|
| |||||||
| Total Germany | 29,351,211 | |||||||
|
| |||||||
| Guernsey (0.1%) | ||||||||
| 130,348 | Resolution, Ltd. | 614,441 | ||||||
|
| |||||||
| Total Guernsey | 614,441 | |||||||
|
| |||||||
| Hong Kong (3.3%) | ||||||||
| 414,800 | AIA Group, Ltd.a | 1,443,930 | ||||||
| 340,000 | China Mobile, Ltd. | 3,165,325 | ||||||
| 115,500 | CLP Holdings, Ltd. | 1,024,610 | ||||||
| 235,000 | Galaxy Entertainment Group, Ltd.a | 505,505 | ||||||
| 320,000 | Hang Lung Group, Ltd. | 2,031,897 | ||||||
| 341,600 | Hutchison Whampoa, Ltd. | 3,701,218 | ||||||
| 1,127,000 | International Mining Machinery Holdings, Ltd. | 1,084,913 | ||||||
| 2,069,378 | New World Development Company, Ltd. | 3,141,762 | ||||||
| 290,000 | SJM Holdings, Ltd. | 689,874 | ||||||
| 131,819 | Swire Pacific, Ltd., Class A | 1,940,761 | ||||||
| 340,000 | Swire Pacific, Ltd., Class B | 972,205 | ||||||
|
| |||||||
| Total Hong Kong | 19,702,000 | |||||||
|
| |||||||
| Hungary (0.3%) | ||||||||
| 8,200 | Richter Gedeon Nyrt | 1,619,559 | ||||||
|
| |||||||
| Total Hungary | 1,619,559 | |||||||
|
| |||||||
| India (1.9%) | ||||||||
| 109,000 | Bharti Airtel, Ltd. | 965,084 | ||||||
| 16,100 | GlaxoSmithKline Pharmaceuticals, Ltd. | 846,427 | ||||||
| 7,344 | Grasim Industries, Ltd. | 344,694 | ||||||
| 8,000 | Grasim Industries, Ltd. GDR | 374,728 | ||||||
| 40,000 | Hero Honda Motors, Ltd. | 1,681,957 | ||||||
| 170,000 | Hindustan Unilever, Ltd. | 1,308,688 | ||||||
| 140,200 | Housing Development Finance Corporation | 2,222,544 | ||||||
| 25,000 | ICICI Bank, Ltd. | 614,480 | ||||||
| 10,400 | ICICI Bank, Ltd. ADR | 512,720 | ||||||
| 14,500 | Infosys, Ltd. | 945,988 | ||||||
| 16,504 | Infosys, Ltd. ADR | 1,076,556 | ||||||
| 20,696 | Ultra Tech Cement, Ltd.a | 431,403 | ||||||
| 4,570 | Ultra Tech Cement, Ltd. GDRa | 95,065 | ||||||
|
| |||||||
| Total India | 11,420,334 | |||||||
|
| |||||||
| Indonesia (0.7%) | ||||||||
| 327,000 | PT Astra International Tbk | 2,430,744 | ||||||
| 1,945,076 | Telekomunikasi Indonesia Tbk PT | 1,674,920 | ||||||
| 7,300 | Telekomunikasi Indonesia Tbk PT ADR | 251,850 | ||||||
|
| |||||||
| Total Indonesia | 4,357,514 | |||||||
|
| |||||||
| Ireland (0.1%) | ||||||||
| 16,856 | Kerry Group plc | 694,425 | ||||||
|
| |||||||
| Total Ireland | 694,425 | |||||||
|
| |||||||
| Israel (0.6%) | ||||||||
| 76,350 | Teva Pharmaceutical Industries, | |||||||
| Ltd. ADR | 3,681,597 | |||||||
|
| |||||||
| Total Israel | 3,681,597 | |||||||
|
| |||||||
| Italy (2.3%) | ||||||||
| 28,906 | Davide Campari - Milano SPA | 237,360 | ||||||
| 24,629 | DiaSorin SPA | 1,182,025 | ||||||
| 297,550 | Enel SPA | 1,944,172 | ||||||
| 157,900 | Eni SPA | 3,741,973 | ||||||
| 68,578 | MARR SPA | 883,081 | ||||||
| 357,100 | Sorin SPAa | 1,012,318 | ||||||
| 2,722,925 | Telecom Italia SPA | 3,167,532 | ||||||
| 58,473 | Yoox SPAa | 1,076,307 | ||||||
|
| |||||||
| Total Italy | 13,244,768 | |||||||
|
| |||||||
| Japan (15.2%) | ||||||||
| 16,000 | Aisin Seiki Company, Ltd. | 619,129 | ||||||
| 17,568 | Anritsu Corporation | 153,762 | ||||||
| 61,000 | Asahi Diamond Industrial Company, Ltd. | 1,333,623 | ||||||
| 68,000 | Asics Corporation | 1,014,989 | ||||||
| 129,000 | Bank of Yokohama, Ltd. | 644,877 | ||||||
| 196,350 | Bridgestone Corporation | 4,524,007 | ||||||
| 41,000 | Canon, Inc. | 1,950,219 | ||||||
| 19,700 | Capcom Company, Ltd. | 454,461 | ||||||
| 106,000 | Chiyoda Corporation | 1,221,862 | ||||||
| 31,000 | Daihatsu Motor Company, Ltd. | 527,578 | ||||||
| 177,800 | Daiichi Sankyo Company, Ltd. | 3,474,400 | ||||||
| 50,500 | Daito Trust Construction Company, Ltd. | 4,287,445 | ||||||
| 752,056 | Daiwa Securities Group, Inc. | 3,313,479 | ||||||
| 10,300 | Dena Company, Ltd. | 442,967 | ||||||
| 58,300 | East Japan Railway Company | 3,338,889 | ||||||
| 30,400 | Elpida Memory, Inc.a | 358,073 | ||||||
| 25,736 | Exedy Corporation | 882,446 | ||||||
| 39,164 | Fuji Machine Manufacturing Company, Ltd. | 841,530 | ||||||
| 19,100 | Gree, Inc. | 417,540 | ||||||
| 20,700 | Hamamatsu Photonics KK | 895,004 | ||||||
| 144,000 | Hitachi, Ltd. | 854,640 | ||||||
| 11,400 | Honda Motor Company, Ltd. | 439,207 | ||||||
| 10,600 | Idemitsu Kosan Company, Ltd. | 1,131,265 | ||||||
| 338,000 | IHI Corporation | 873,376 | ||||||
| 89,500 | ITOCHU Corporation | 930,876 | ||||||
| 127,000 | Kawasaki Heavy Industries, Ltd. | 506,003 | ||||||
| 192 | KDDI Corporation | 1,381,427 | ||||||
| 12,700 | Kyocera Corporation | 1,293,089 | ||||||
| 19,100 | Lawson, Inc. | 1,002,005 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (87.2%) | Value | ||||||
| Japan (15.2%) - continued | ||||||||
| 116,000 | Mitsubishi Electric Corporation | $ | 1,347,469 | |||||
| 27,200 | Mitsui & Company, Ltd. | 470,291 | ||||||
| 141,900 | Mori Seiki Company, Ltd. | 1,879,103 | ||||||
| 124,600 | MS and AD Insurance Group Holdings, Inc. | 2,916,494 | ||||||
| 6,300 | Murata Manufacturing Company, Ltd. | 421,208 | ||||||
| 39,400 | Nabtesco Corporation | 954,474 | ||||||
| 69,200 | Namco Bandai Holdings, Inc. | 832,988 | ||||||
| 58,500 | Nichicon Corporation | 968,869 | ||||||
| 162,800 | Nikon Corporation | 3,849,953 | ||||||
| 23,000 | Nippon Meat Packers, Inc. | 329,933 | ||||||
| 11,600 | Nippon Telegraph & Telephone Corporation | 559,489 | ||||||
| 118,000 | Nippon Yusen KK | 438,409 | ||||||
| 517,300 | Nissan Motor Company, Ltd. | 5,436,416 | ||||||
| 31,203 | Pigeon Corporation | 1,025,610 | ||||||
| 172,700 | Pioneer Corporationa | 775,038 | ||||||
| 4,400 | Pola Orbis Holdings, Inc. | 115,525 | ||||||
| 32,000 | Sanrio Company, Ltd. | 1,248,062 | ||||||
| 117,240 | Sanyo Chemical Industries, Ltd. | 928,410 | ||||||
| 29,600 | Secom Company, Ltd. | 1,419,219 | ||||||
| 28,700 | Sega Sammy Holdings, Inc. | 554,792 | ||||||
| 30,478 | SHO-BOND Holdings Company, Ltd. | 735,247 | ||||||
| 174 | So-net M3, Inc. | 1,266,743 | ||||||
| 289,650 | Sumitomo Corporation | 3,940,474 | ||||||
| 87,300 | Sumitomo Electric Industries, Ltd. | 1,273,327 | ||||||
| 1,186,000 | Sumitomo Mitsui Trust Holdings, Inc. | 4,128,150 | ||||||
| 341,000 | Sumitomo Osaka Cement Company, Ltd. | 957,725 | ||||||
| 101,800 | Sumitomo Rubber Industries, Ltd. | 1,231,894 | ||||||
| 30,000 | Sysmex Corporation | 1,128,356 | ||||||
| 137,962 | Tadano, Ltd. | 835,809 | ||||||
| 19,800 | Takeda Pharmaceutical Company, Ltd. | 915,095 | ||||||
| 203,000 | Tokyu Corporation | 843,964 | ||||||
| 22,410 | Toyo Tanso Company, Ltd. | 1,142,469 | ||||||
| 19,400 | Trend Micro, Inc. | 602,706 | ||||||
| 139,000 | UNY Company, Ltd. | 1,291,662 | ||||||
| 52,200 | Ushio, Inc. | 1,032,114 | ||||||
| 26,600 | West Japan Railway Company | 1,038,437 | ||||||
| 8,110 | Yamada Denki Company, Ltd. | 660,799 | ||||||
|
| |||||||
| Total Japan | 88,604,891 | |||||||
|
| |||||||
| Jersey (0.1%) | ||||||||
| 21,920 | Wolseley plc | 715,469 | ||||||
|
| |||||||
| Total Jersey | 715,469 | |||||||
|
| |||||||
| Luxembourg (0.3%) | ||||||||
| 38,000 | Tenaris SA ADR | 1,737,740 | ||||||
|
| |||||||
| Total Luxembourg | 1,737,740 | |||||||
|
| |||||||
| Malaysia (0.5%) | ||||||||
| 640,000 | CIMB Group Holdings Berhad | 1,895,604 | ||||||
| 199,400 | Public Bank Berhad | 876,257 | ||||||
|
| |||||||
| Total Malaysia | 2,771,861 | |||||||
|
| |||||||
| Mexico (1.1%) | ||||||||
| 172,000 | Consorcio ARA SAB de CV | 86,966 | ||||||
| 43,500 | Fomento Economico Mexicano SAB de CV ADR | 2,892,315 | ||||||
| 13,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 795,690 | ||||||
| 460,500 | Grupo Financiero Banorte SAB de CV ADR | 2,090,804 | ||||||
| 259,000 | Organizacion Soriana SAB de CV | 776,657 | ||||||
| �� |
|
| ||||||
| Total Mexico | 6,642,432 | |||||||
|
| |||||||
| Netherlands (1.5%) | ||||||||
| 574,650 | Aegon NVa | 3,915,553 | ||||||
| 76,961 | Koninklijke DSM NV | 4,994,374 | ||||||
|
| |||||||
| Total Netherlands | 8,909,927 | |||||||
|
| |||||||
| Norway (2.3%) | ||||||||
| 24,029 | Cermaq ASAa | 384,606 | ||||||
| 25,952 | DnB NOR ASA | 361,547 | ||||||
| 727,354 | Marine Harvest | 583,452 | ||||||
| 41,300 | Schibsted ASA | 1,317,244 | ||||||
| 24,324 | Seadrill, Ltd. | 855,195 | ||||||
| 218,598 | Statoil ASA | 5,533,975 | ||||||
| 141,400 | Storebrand ASA | 1,202,626 | ||||||
| 996,000 | STX OSV Holdings, Ltd. | 1,132,552 | ||||||
| 145,068 | Tomra Systems ASA | 1,262,606 | ||||||
| 17,198 | Yara International ASA | 966,265 | ||||||
|
| |||||||
| Total Norway | 13,600,068 | |||||||
|
| |||||||
| Philippines (0.3%) | ||||||||
| 2,576,000 | Ayala Land, Inc. | 929,904 | ||||||
| 658,242 | Bank of the Philippine Islands | 890,844 | ||||||
|
| |||||||
| Total Philippines | 1,820,748 | |||||||
|
| |||||||
| Poland (0.2%) | ||||||||
| 23,000 | Bank Pekao SA | 1,360,907 | ||||||
|
| |||||||
| Total Poland | 1,360,907 | |||||||
|
| |||||||
| Portugal (0.7%) | ||||||||
| 2,518,665 | Banco Comercial Portugues SAa | 1,497,831 | ||||||
| 469,700 | Banco Espirito Santo SA | 1,750,954 | ||||||
| 50,820 | Jeronimo Martins SGPS SA | 976,008 | ||||||
|
| |||||||
| Total Portugal | 4,224,793 | |||||||
|
| |||||||
| Russia (0.4%) | ||||||||
| 36,500 | LUKOIL ADR | 2,325,141 | ||||||
|
| |||||||
| Total Russia | 2,325,141 | |||||||
|
| |||||||
| Singapore (1.3%) | ||||||||
| 345,125 | Keppel Corporation, Ltd. | 3,122,562 | ||||||
| 1,747,000 | Midas Holding, Ltd. | 927,191 | ||||||
| 95,000 | Oversea-Chinese Banking Corporation, Ltd. | 725,637 | ||||||
| 470,000 | Raffles Medical Group, Ltd. | 896,953 | ||||||
| 178,000 | SembCorp Industries, Ltd. | 724,854 | ||||||
| 829,000 | Super Group, Ltd. | 967,290 | ||||||
|
| |||||||
| Total Singapore | 7,364,487 | |||||||
|
| |||||||
| South Africa (0.5%) | ||||||||
| 59,584 | Massmart Holdings, Ltd. | 1,233,675 | ||||||
| 181,000 | Truworths International, Ltd. | 1,963,940 | ||||||
|
| |||||||
| Total South Africa | 3,197,615 | |||||||
|
| |||||||
| South Korea (2.5%) | ||||||||
| 12,181 | BS Financial Group, Inc.a | 172,278 | ||||||
| 4,101 | E-Mart Company, Ltd.a | 939,160 | ||||||
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 June 30, 2011
(unaudited)
| Shares | Common Stock (87.2%) | Value | ||||||
| South Korea (2.5%) - continued | ||||||||
| 15,132 | Fila Korea, Ltd. | $ | 1,265,318 | |||||
| 8,500 | POSCO | 3,692,876 | ||||||
| 6,250 | Samsung Electronics Company, Ltd. | 3,287,755 | ||||||
| 1,448 | Shinsegae Company, Ltd. | 460,447 | ||||||
| 3,521 | SK Telecom Company, Ltd. | 532,610 | ||||||
| 174,207 | SK Telecom Company, Ltd. ADR | 3,257,671 | ||||||
| 25,461 | Technosemichem Company, Ltd. | 1,017,641 | ||||||
|
| |||||||
| Total South Korea | 14,625,756 | |||||||
|
| |||||||
| Spain (1.6%) | ||||||||
| 327,188 | Banco Bilbao Vizcaya Argentaria SA | 3,840,664 | ||||||
| 312,028 | Banco Popular Espanol SA | 1,755,565 | ||||||
| 312,028 | Banco Popular Espanol SA Rightsa | 22,624 | ||||||
| 112,900 | Indra Sistemas SA | 2,328,824 | ||||||
| 42,843 | Repsol YPF SA | 1,485,992 | ||||||
|
| |||||||
| Total Spain | 9,433,669 | |||||||
|
| |||||||
| Sweden (1.6%) | ||||||||
| 50,871 | Atlas Copco AB | 1,339,756 | ||||||
| 21,995 | Elekta AB | 1,041,817 | ||||||
| 31,277 | Hoganas AB | 1,250,586 | ||||||
| 15,235 | JM AB | 359,375 | ||||||
| 54,018 | Nordea Bank AB | 580,153 | ||||||
| 82,850 | Swedbank AB | 1,393,199 | ||||||
| 84,762 | Telefonaktiebolaget LM Ericsson | 1,220,192 | ||||||
| 114,342 | Volvo AB | 2,001,703 | ||||||
|
| |||||||
| Total Sweden | 9,186,781 | |||||||
|
| |||||||
| Switzerland (7.2%) | ||||||||
| 39,130 | ABB, Ltd.a | 1,016,626 | ||||||
| 58,850 | Adecco SAa | 3,777,081 | ||||||
| 11,317 | Aryzta AG | 607,776 | ||||||
| 3,938 | Bucher Industries AG | 868,346 | ||||||
| 3,937 | Burckhardt Compression Holding AG | 1,199,320 | ||||||
| 23,626 | Compagnie Financiere Richemont SA | 1,548,192 | ||||||
| 88,250 | Credit Suisse Groupa | 3,439,095 | ||||||
| 691 | Forbo Holding AGa | 525,047 | ||||||
| 1,737 | Galenica AG | 1,113,288 | ||||||
| 2,772 | Givaudan SAa | 2,932,232 | ||||||
| 49,532 | Holcim, Ltd.a | 3,745,635 | ||||||
| 15,221 | Huber & Suhner AG | 1,002,906 | ||||||
| 2,354 | Kaba Holding AG | 1,022,291 | ||||||
| 80,597 | Nestle SA | 5,015,130 | ||||||
| 68,350 | Novartis AG | 4,188,722 | ||||||
| 33,593 | Roche Holding AG | 5,623,830 | ||||||
| 58 | Sika AG | 139,999 | ||||||
| 318 | Zehnder Group AG | 983,349 | ||||||
| 13,700 | Zurich Financial Services AGa | 3,466,437 | ||||||
|
| |||||||
| Total Switzerland | 42,215,302 | |||||||
|
| |||||||
| Taiwan (0.7%) | ||||||||
| 443,000 | Taiwan Mobile Company, Ltd. | 1,201,622 | ||||||
| 1,250,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 3,152,718 | ||||||
|
| |||||||
| Total Taiwan | 4,354,340 | |||||||
|
| |||||||
| Thailand (1.6%) | ||||||||
| 185,000 | Bangkok Bank pcl | 957,376 | ||||||
| 280,100 | PTT Exploration & Production pcl | 1,564,333 | ||||||
| 356,000 | PTT pcl | 3,895,123 | ||||||
| 150,900 | Siam Cement pcl | 2,007,175 | ||||||
| 230,400 | Siam Commercial Bank pcl | 835,513 | ||||||
|
| |||||||
| Total Thailand | 9,259,520 | |||||||
|
| |||||||
| Turkey (0.7%) | ||||||||
| 473,982 | Akbank TAS | 2,192,641 | ||||||
| 37,000 | BIM Birlesik Magazalar AS | 1,202,557 | ||||||
| 113,704 | Turkiye Garanti Bankasi AS | 515,963 | ||||||
|
| |||||||
| Total Turkey | 3,911,161 | |||||||
|
| |||||||
| United Kingdom (11.2%) | ||||||||
| 430,132 | Aegis Group plc | 1,104,496 | ||||||
| 10,393 | Anglo American plc | 515,407 | ||||||
| 8,546 | AstraZeneca plc | 427,120 | ||||||
| 115,340 | Babcock International Group plc | 1,318,885 | ||||||
| 891,336 | BAE Systems plc | 4,559,532 | ||||||
| 123,518 | BG Group plc | 2,804,459 | ||||||
| 50,489 | BHP Billiton plc | 1,983,810 | ||||||
| 78,734 | British American Tobacco plc | 3,452,456 | ||||||
| 247,750 | BT Group plc | 803,249 | ||||||
| 48,257 | Burberry Group plc | 1,122,148 | ||||||
| 275,452 | Carillion plc | 1,662,703 | ||||||
| 37,146 | Croda International plc | 1,124,991 | ||||||
| 59,069 | Drax Group plc | 477,178 | ||||||
| 179,512 | Halma plc | 1,193,981 | ||||||
| 284,611 | HSBC Holdings plc | 2,821,673 | ||||||
| 73,350 | HSBC Holdings plc ADR | 3,639,627 | ||||||
| 33,480 | IMI plc | 565,968 | ||||||
| 52,529 | Imperial Tobacco Group plc | 1,748,741 | ||||||
| 98,792 | Inchcape plc | 663,370 | ||||||
| 371,038 | Intermediate Capital Group plc | 1,922,300 | ||||||
| 178,170 | Kingfisher plc | 765,293 | ||||||
| 285,566 | Legal & General Group plc | 540,930 | ||||||
| 103,700 | Pearson plc | 1,961,629 | ||||||
| 84,991 | Prudential plc | 981,318 | ||||||
| 36,051 | Rio Tinto plc | 2,602,968 | ||||||
| 45,511 | Rotork plc | 1,230,492 | ||||||
| 14,645 | Royal Dutch Shell plc | 522,598 | ||||||
| 984 | SABMiller plc | 35,657 | ||||||
| 54,664 | Scottish & Southern Energy plc | 1,222,531 | ||||||
| 61,262 | Shire plc | 1,915,364 | ||||||
| 33,469 | Spirax-Sarco Engineering plc | 1,076,132 | ||||||
| 420,563 | Spirent plc | 1,007,232 | ||||||
| 79,653 | Standard Chartered plc | 2,092,198 | ||||||
| 625,650 | Tesco plc | 4,042,075 | ||||||
| 38,223 | Ultra Electronics Holdings plc | 1,052,651 | ||||||
| 31,022 | Unilever plc | 1,000,909 | ||||||
| 1,546,200 | Vodafone Group plc | 4,099,626 | ||||||
| 288,599 | William Morrison Supermarkets plc | 1,380,282 | ||||||
| 371,450 | WPP plc | 4,653,229 | ||||||
|
| |||||||
| Total United Kingdom | 66,095,208 | |||||||
|
| |||||||
| United States (0.4%) | ||||||||
| 38,888 | iShares MSCI EAFE Index Fund | 2,338,724 | ||||||
| Total United States | 2,338,724 | |||||||
|
| |||||||
| Total Common Stock (cost $449,230,894) | 513,324,223 | |||||||
|
| |||||||
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 June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| Argentina (0.3%) | ||||||||
| Arcos Dorados SA | ||||||||
| $73,000 | 7.500%, 10/1/2019 | $ | 79,000 | |||||
| Argentina Government International Bond | ||||||||
| 525,443 | 7.820%, 12/31/2033b | 550,511 | ||||||
| 493,008 | 7.820%, 12/31/2033b | 516,529 | ||||||
| 131,728 | 8.280%, 12/31/2033 | 116,250 | ||||||
| 2,730,000 | Zero Coupon, 12/15/2035b | 564,132 | ||||||
| 290,000 | Zero Coupon, 12/15/2035 | 49,010 | ||||||
| 100,000 | 2.260%, 12/31/2038b,c | 49,666 | ||||||
|
| |||||||
| Total Argentina | 1,925,098 | |||||||
|
| |||||||
| Belarus (0.1%) | ||||||||
| Belarus Government International Bond | ||||||||
| 439,000 | 8.750%, 8/3/2015 | 395,100 | ||||||
| 100,000 | 8.950%, 1/26/2018 | 87,750 | ||||||
|
| |||||||
| Total Belarus | 482,850 | |||||||
|
| |||||||
| Belize (<0.1%) | ||||||||
| Belize Government International Bond | ||||||||
| 120,000 | 6.000%, 2/20/2029c | 78,000 | ||||||
|
| |||||||
| Total Belize | 78,000 | |||||||
|
| |||||||
| Bermuda (0.1%) | ||||||||
| Digicel, Ltd. | ||||||||
| 100,000 | 8.250%, 9/1/2017 | 103,750 | ||||||
| Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC | ||||||||
| 200,000 | 7.748%, 2/2/2021d | 206,000 | ||||||
|
| |||||||
| Total Bermuda | 309,750 | |||||||
|
| |||||||
| Brazil (0.6%) | ||||||||
| Banco Votorantim SA | ||||||||
| 300,000 | 6.250%, 5/16/2016e,f | 197,988 | ||||||
| BFF International, Ltd. | ||||||||
| 260,000 | 7.250%, 1/28/2020 | 278,850 | ||||||
| Brazil Government International Bond | ||||||||
| 100,000 | 5.875%, 1/15/2019 | 115,750 | ||||||
| 930,000 | 4.875%, 1/22/2021 | 994,635 | ||||||
| 140,000 | 7.125%, 1/20/2037 | 172,900 | ||||||
| 290,000 | 5.625%, 1/7/2041 | 297,975 | ||||||
| Hypermarcas SA | ||||||||
| 180,000 | 6.500%, 4/20/2021e | 179,775 | ||||||
| Independencia International, Ltd. | ||||||||
| 95,246 | 12.000%, 12/30/2016d,g,h | 10 | ||||||
| Telemar Norte Leste SA | ||||||||
| 194,000 | 5.500%, 10/23/2020d | 191,575 | ||||||
|
| |||||||
| Total Brazil | 2,429,458 | |||||||
|
| |||||||
| Bulgaria (0.1%) | ||||||||
| Bulgaria Government International Bond | ||||||||
| 330,000 | 8.250%, 1/15/2015 | 385,704 | ||||||
|
| |||||||
| Total Bulgaria | 385,704 | |||||||
|
| |||||||
| Canada (<0.1%) | ||||||||
| PTTEP Canada International Finance, Ltd. | ||||||||
| 270,000 | 5.692%, 4/5/2021d | 269,109 | ||||||
|
| |||||||
| Total Canada | 269,109 | |||||||
|
| |||||||
| Cayman Islands (0.1%) | ||||||||
| Country Garden Holdings Company | ||||||||
| 600,000 | 2.500%, 2/22/2013i | 104,264 | ||||||
| Evergrande Real Estate Group, Ltd. | ||||||||
| 1,440,000 | 7.500%, 1/19/2014i | 213,360 | ||||||
| TGI International, Ltd. | ||||||||
| 180,000 | 9.500%, 10/3/2017 | 202,275 | ||||||
|
| |||||||
| Total Cayman Islands | 519,899 | |||||||
|
| |||||||
| Chile (0.2%) | ||||||||
| Banco Central de Chile | ||||||||
| 205,000,001 | 6.000%, 5/1/2015j | 441,108 | ||||||
| Banco del Estado de Chile | ||||||||
| 200,000 | 4.125%, 10/7/2020 | 191,323 | ||||||
| 260,000 | 4.125%, 10/7/2020d | 248,720 | ||||||
| Chile Government International Bond | ||||||||
| 130,000 | 3.875%, 8/5/2020 | 130,780 | ||||||
| Corporacion Nacional del Cobre de Chile - Codelco | ||||||||
| 120,000 | 3.750%, 11/4/2020d | 114,009 | ||||||
| 200,000 | 6.150%, 10/24/2036 | 217,079 | ||||||
| E-CL SA | ||||||||
| 140,000 | 5.625%, 1/15/2021d | 143,809 | ||||||
|
| |||||||
| Total Chile | 1,486,828 | |||||||
|
| |||||||
| China (<0.1%) | ||||||||
| Sinochem Overseas Capital Company, Ltd. | ||||||||
| 130,000 | 6.300%, 11/12/2040d | 128,802 | ||||||
|
| |||||||
| Total China | 128,802 | |||||||
|
| |||||||
| Colombia (0.8%) | ||||||||
| Colombia Government International Bond | ||||||||
| 30,000 | 8.250%, 12/22/2014 | 36,315 | ||||||
| 400,000 | 7.375%, 1/27/2017 | 490,800 | ||||||
| 1,470,000 | 7.375%, 3/18/2019 | 1,832,355 | ||||||
| 40,000 | 8.125%, 5/21/2024 | 52,780 | ||||||
| 860,000 | 7.375%, 9/18/2037 | 1,083,600 | ||||||
| 420,000 | 6.125%, 1/18/2041 | 456,750 | ||||||
|
| |||||||
| Total Colombia | 3,952,600 | |||||||
|
| |||||||
| Costa Rica (<0.1%) | ||||||||
| Costa Rica Government International Bond | ||||||||
| 103,000 | 9.995%, 8/1/2020 | 141,625 | ||||||
|
| |||||||
| Total Costa Rica | 141,625 | |||||||
|
| |||||||
| Croatia (0.1%) | ||||||||
| Croatia Government International Bond | ||||||||
| 590,000 | 6.375%, 3/24/2021d | 613,600 | ||||||
|
| |||||||
| Total Croatia | 613,600 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
191
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| Dominican Republic (0.1%) | ||||||||
| Dominican Republic Government International Bond | ||||||||
| $163,947 | 9.040%, 1/23/2018 | $ | 184,440 | |||||
| 460,000 | 7.500%, 5/6/2021 | 478,400 | ||||||
| 100,000 | 8.625%, 4/20/2027 | 109,000 | ||||||
|
| |||||||
| Total Dominican Republic | 771,840 | |||||||
|
| |||||||
| El Salvador (0.1%) | ||||||||
| El Salvador Government International Bond | ||||||||
| 30,000 | 8.250%, 4/10/2032 | 33,525 | ||||||
| 375,000 | 7.650%, 6/15/2035 | 388,125 | ||||||
|
| |||||||
| Total El Salvador | 421,650 | |||||||
|
| |||||||
| Gabon (<0.1%) | ||||||||
| Gabon Government International Bond | ||||||||
| 150,000 | 8.200%, 12/12/2017 | 175,875 | ||||||
|
| |||||||
| Total Gabon | 175,875 | |||||||
|
| |||||||
| Georgia (<0.1%) | ||||||||
| Georgia Government International Bond | ||||||||
| 200,000 | 6.875%, 4/12/2021d | 204,500 | ||||||
|
| |||||||
| Total Georgia | 204,500 | |||||||
|
| |||||||
| Ghana (<0.1%) | ||||||||
| Ghana Government International Bond | ||||||||
| 100,000 | 8.500%, 10/4/2017 | 113,250 | ||||||
|
| |||||||
| Total Ghana | 113,250 | |||||||
|
| |||||||
| Hungary (0.2%) | ||||||||
| Hungary Government International Bond | ||||||||
| 890,000 | 6.375%, 3/29/2021 | 938,950 | ||||||
| 410,000 | 7.625%, 3/29/2041 | 442,288 | ||||||
|
| |||||||
| Total Hungary | 1,381,238 | |||||||
|
| |||||||
| Iceland (0.1%) | ||||||||
| Iceland Government International Bond | ||||||||
| 700,000 | 4.875%, 6/16/2016d | 703,668 | ||||||
|
| |||||||
| Total Iceland | 703,668 | |||||||
|
| |||||||
| Indonesia (0.9%) | ||||||||
| Indonesia Government International Bond | ||||||||
| 49,000 | 6.875%, 1/17/2018 | 57,330 | ||||||
| 1,580,000 | 11.625%, 3/4/2019 | 2,328,524 | ||||||
| 590,000 | 4.875%, 5/5/2021e | 604,013 | ||||||
| 755,000 | 8.500%, 10/12/2035 | 1,013,588 | ||||||
| 480,000 | 7.750%, 1/17/2038 | 601,800 | ||||||
|
| |||||||
| Total Indonesia | 4,605,255 | |||||||
|
| |||||||
| Iraq (0.1%) | ||||||||
| Iraq Government International Bond | ||||||||
| 500,000 | 5.800%, 1/15/2028 | 451,250 | ||||||
|
| |||||||
| Total Iraq | 451,250 | |||||||
|
| |||||||
| Ivory Coast (0.1%) | ||||||||
| Ivory Coast Government International Bond | ||||||||
| 1,092,000 | 2.500%, 12/31/2032g | 576,030 | ||||||
|
| |||||||
| Total Ivory Coast | 576,030 | |||||||
|
| |||||||
| Kazakhstan (0.3%) | ||||||||
| Development Bank of Kazakhstan JSC | ||||||||
| 200,000 | 5.500%, 12/20/2015d | 206,000 | ||||||
| Halyk Savings Bank of Kazakhstan JSC | ||||||||
| 280,000 | 7.250%, 5/3/2017 | 282,800 | ||||||
| Kazatomprom Natsionalnaya Atomnaya Kompaniya AO | ||||||||
| 110,000 | 6.250%, 5/20/2015 | 118,250 | ||||||
| KazMunayGas National Company | ||||||||
| 820,000 | 11.750%, 1/23/2015 | 1,018,850 | ||||||
| 270,000 | 6.375%, 4/9/2021d | 285,822 | ||||||
|
| |||||||
| Total Kazakhstan | 1,911,722 | |||||||
|
| |||||||
| Lebanon (0.1%) | ||||||||
| Lebanon Government International Bond | ||||||||
| 130,000 | 9.000%, 3/20/2017 | 152,750 | ||||||
| 234,000 | 4.000%, 12/31/2017 | 226,044 | ||||||
| 380,000 | 6.375%, 3/9/2020 | 392,350 | ||||||
| 20,000 | 8.250%, 4/12/2021 | 23,075 | ||||||
|
| |||||||
| Total Lebanon | 794,219 | |||||||
|
| |||||||
| Lithuania (0.1%) | ||||||||
| Lithuania Government International Bond | ||||||||
| 620,000 | 6.125%, 3/9/2021d | 658,750 | ||||||
|
| |||||||
| Total Lithuania | 658,750 | |||||||
|
| |||||||
| Luxembourg (0.2%) | ||||||||
| Alrosa Finance SA | ||||||||
| 200,000 | 7.750%, 11/3/2020d | 217,500 | ||||||
| 200,000 | 7.750%, 11/3/2020 | 217,500 | ||||||
| Gazprom Via Gaz Capital SA | ||||||||
| 320,000 | 9.250%, 4/23/2019 | 399,600 | ||||||
| Gazprom Via Gazprom International, Ltd. | ||||||||
| 160,430 | 7.201%, 2/1/2020 | 176,072 | ||||||
| TNK-BP Finance SA | ||||||||
| 130,000 | 7.875%, 3/13/2018 | 149,175 | ||||||
| 130,000 | 7.250%, 2/2/2020 | 143,650 | ||||||
| Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||
| 100,000 | 8.250%, 5/23/2016 | 109,875 | ||||||
|
| |||||||
| Total Luxembourg | 1,413,372 | |||||||
|
| |||||||
| Malaysia (0.2%) | ||||||||
| Malaysia Government International Bond | ||||||||
| 280,000 | 7.500%, 7/15/2011 | 280,271 | ||||||
| Petronas Capital, Ltd. | ||||||||
| 170,000 | 5.250%, 8/12/2019 | 183,105 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
192
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| Malaysia (0.2%) - continued | ||||||||
| Wakala Global Sukuk Bhd | ||||||||
| $ | 640,000 | 4.646%, 7/6/2021d,k | $ | 641,959 | ||||
|
| |||||||
| Total Malaysia | 1,105,335 | |||||||
|
| |||||||
| Mexico (0.6%) | ||||||||
| Mexican Bonos | ||||||||
| 424,000 | 6.500%, 6/10/2021l | 34,805 | ||||||
| Mexico Government International Bond | ||||||||
| 60,000 | 7.500%, 1/14/2012 | 62,010 | ||||||
| 30,000 | 5.875%, 1/15/2014 | 33,240 | ||||||
| 20,000 | 6.625%, 3/3/2015 | 23,220 | ||||||
| 286,000 | 5.950%, 3/19/2019 | 328,185 | ||||||
| 4,480,900 | 10.000%, 12/5/2024l | 471,637 | ||||||
| 90,000 | 8.300%, 8/15/2031 | 123,750 | ||||||
| 450,000 | 6.750%, 9/27/2034 | 523,125 | ||||||
| 1,501,500 | 8.500%, 11/18/2038l | 133,687 | ||||||
| 130,000 | 6.050%, 1/11/2040 | 138,320 | ||||||
| 110,000 | 5.750%, 10/12/2110 | 102,575 | ||||||
| Pemex Project Funding Master Trust | ||||||||
| 545,000 | 5.750%, 3/1/2018 | 597,596 | ||||||
| 590,000 | 6.625%, 6/15/2035 | 621,874 | ||||||
| Petroleos Mexicanos | ||||||||
| 275,000 | 8.000%, 5/3/2019 | 339,075 | ||||||
| 170,000 | 5.500%, 1/21/2021 | 178,245 | ||||||
|
| |||||||
| Total Mexico | 3,711,344 | |||||||
|
| |||||||
| Netherlands (<0.1%) | ||||||||
| VimpelCom Holdings BV | ||||||||
| 230,000 | 7.504%, 3/1/2022d | 230,230 | ||||||
|
| |||||||
| Total Netherlands | 230,230 | |||||||
|
| |||||||
| Nigeria (0.1%) | ||||||||
| Central Bank of Nigeria | ||||||||
| 200,000 | 6.750%, 1/28/2021d | 209,500 | ||||||
| Nigeria Government International Bond | ||||||||
| 200,000 | 6.750%, 1/28/2021 | 209,500 | ||||||
|
| |||||||
| Total Nigeria | 419,000 | |||||||
|
| |||||||
| Pakistan (<0.1%) | ||||||||
| Pakistan Government International Bond | ||||||||
| 200,000 | 6.875%, 6/1/2017 | 162,000 | ||||||
| 100,000 | 7.875%, 3/31/2036 | 69,658 | ||||||
|
| |||||||
| Total Pakistan | 231,658 | |||||||
|
| |||||||
| Panama (0.1%) | ||||||||
| Panama Government International Bond | ||||||||
| 11,000 | 7.250%, 3/15/2015 | 12,958 | ||||||
| 193,000 | 8.875%, 9/30/2027 | 273,578 | ||||||
| 210,000 | 9.375%, 4/1/2029 | 311,850 | ||||||
|
| |||||||
| Total Panama | 598,386 | |||||||
|
| |||||||
| Peru (0.1%) | ||||||||
| Peru Government International Bond | ||||||||
| 430,000 | 7.350%, 7/21/2025 | 525,245 | ||||||
| 224,000 | 8.750%, 11/21/2033 | 305,424 | ||||||
|
| |||||||
| Total Peru | 830,669 | |||||||
|
| |||||||
| Philippines (0.4%) | ||||||||
| Energy Development Corporation | ||||||||
| 240,000 | 6.500%, 1/20/2021 | 244,275 | ||||||
| Philippines Government International Bond | ||||||||
| 100,000 | 7.500%, 9/25/2024 | 122,500 | ||||||
| 40,000 | 9.500%, 10/21/2024 | 56,000 | ||||||
| 200,000 | 5.500%, 3/30/2026 | 205,250 | ||||||
| 547,000 | 9.500%, 2/2/2030 | 793,861 | ||||||
| 100,000 | 7.750%, 1/14/2031 | 125,750 | ||||||
| 851,000 | 6.375%, 10/23/2034 | 929,717 | ||||||
| Quezon Power Philippines LC | ||||||||
| 59,000 | 8.860%, 6/15/2017 | 64,015 | ||||||
|
| |||||||
| Total Philippines | 2,541,368 | |||||||
|
| |||||||
| Qatar (0.2%) | ||||||||
| Qatar Government International Bond | ||||||||
| 520,000 | 4.000%, 1/20/2015 | 544,700 | ||||||
| Ras Laffan Liquefied Natural Gas Company, Ltd. II | ||||||||
| 460,850 | 5.298%, 9/30/2020 | 490,805 | ||||||
|
| |||||||
| Total Qatar | 1,035,505 | |||||||
|
| |||||||
| Russia (0.8%) | ||||||||
| Russia Government International Bond | ||||||||
| 200,000 | 3.625%, 4/29/2015 | 205,500 | ||||||
| 3,321,599 | 7.500%, 3/31/2030c | 3,915,335 | ||||||
|
| |||||||
| Total Russia | 4,120,835 | |||||||
|
| |||||||
| Serbia (<0.1%) | ||||||||
| Serbia Government International Bond | ||||||||
| 135,000 | 6.750%, 11/1/2024 | 135,675 | ||||||
|
| |||||||
| Total Serbia | 135,675 | |||||||
|
| |||||||
| South Africa (0.4%) | ||||||||
| Peermont Global Proprietary, Ltd. | ||||||||
| 320,000 | 7.750%, 4/30/2014b | 406,032 | ||||||
| South Africa Government International Bond | ||||||||
| 1,750,000 | 7.250%, 1/15/2020m | 239,680 | ||||||
| 5,615,000 | 6.750%, 3/31/2021m | 734,900 | ||||||
| 4,690,000 | 10.500%, 12/21/2026m | 802,429 | ||||||
|
| |||||||
| Total South Africa | 2,183,041 | |||||||
|
| |||||||
| South Korea (<0.1%) | ||||||||
| South Korea Government International Bond | ||||||||
| 130,000 | 7.125%, 4/16/2019 | 156,067 | ||||||
|
| |||||||
| Total South Korea | 156,067 | |||||||
|
| |||||||
| Turkey (0.6%) | ||||||||
| Akbank TAS | ||||||||
| 290,000 | 5.125%, 7/22/2015 | 288,550 | ||||||
| Turkey Government International Bond | ||||||||
| 2,180,000 | 5.625%, 3/30/2021 | 2,278,100 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
193
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.4%) | Value | ||||||
| Turkey (0.6%) - continued | ||||||||
| $ | 50,000 | 7.375%, 2/5/2025 | $ | 59,275 | ||||
| 310,000 | 7.250%, 3/5/2038 | 354,950 | ||||||
| Turkiye Garanti Bankasi AS | ||||||||
| 240,000 | 6.250%, 4/20/2021e | 232,800 | ||||||
|
| |||||||
| Total Turkey | 3,213,675 | |||||||
|
| |||||||
| Ukraine (0.4%) | ||||||||
| Ukraine Government International Bond | ||||||||
| 560,000 | 6.250%, 6/17/2016d | 558,690 | ||||||
| 250,000 | 6.580%, 11/21/2016 | 251,775 | ||||||
| 100,000 | 8.375%, 11/3/2017 | 104,500 | ||||||
| 200,000 | 6.750%, 11/14/2017 | 201,750 | ||||||
| 840,000 | 7.750%, 9/23/2020 | 871,500 | ||||||
| 490,000 | 7.950%, 2/23/2021d | 510,825 | ||||||
|
| |||||||
| Total Ukraine | 2,499,040 | |||||||
|
| |||||||
| United Arab Emirates (<0.1%) | ||||||||
| Dolphin Energy, Ltd. | ||||||||
| 229,736 | 5.888%, 6/15/2019 | 247,541 | ||||||
| ICICI Bank, Ltd./Dubai | ||||||||
| 220,000 | 4.750%, 11/25/2016e | 219,503 | ||||||
|
| |||||||
| Total United Arab Emirates | 467,044 | |||||||
|
| |||||||
| United States (0.2%) | ||||||||
| Cemex Finance, LLC | ||||||||
| 340,000 | 9.500%, 12/14/2016 | 351,475 | ||||||
| HSBC Bank USA | ||||||||
| 590,000 | 5.910%, 8/15/2040h,n | 791,754 | ||||||
|
| |||||||
| Total United States | 1,143,229 | |||||||
|
| |||||||
| Uruguay (0.1%) | ||||||||
| Uruguay Government International Bond | ||||||||
| 140,000 | 9.250%, 5/17/2017 | 184,800 | ||||||
| 130,754 | 8.000%, 11/18/2022 | 169,196 | ||||||
| 40,000 | 7.875%, 1/15/2033 | 50,500 | ||||||
| 488,000 | 7.625%, 3/21/2036 | 614,880 | ||||||
|
| |||||||
| Total Uruguay | 1,019,376 | |||||||
|
| |||||||
| Venezuela (0.5%) | ||||||||
| Petroleos de Venezuela SA | ||||||||
| 271,600 | 5.250%, 4/12/2017 | 170,429 | ||||||
| 490,000 | 8.500%, 11/2/2017d | 363,335 | ||||||
| 460,000 | 5.375%, 4/12/2027 | 232,300 | ||||||
| 30,000 | 5.500%, 4/12/2037 | 14,850 | ||||||
| Venezuela Government International Bond | ||||||||
| 50,000 | 13.625%, 8/15/2018 | 49,750 | ||||||
| 100,000 | 13.625%, 8/15/2018 | 99,500 | ||||||
| 570,000 | 7.750%, 10/13/2019 | 411,825 | ||||||
| 396,500 | 6.000%, 12/9/2020 | 246,821 | ||||||
| 450,000 | 9.000%, 5/7/2023 | 325,125 | ||||||
| 805,000 | 8.250%, 10/13/2024 | 547,400 | ||||||
| 610,000 | 7.650%, 4/21/2025 | 396,500 | ||||||
| 70,000 | 7.000%, 3/31/2038 | 40,600 | ||||||
| Total Venezuela | 2,898,435 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $53,396,141) | 55,445,854 | |||||||
|
| |||||||
Short-Term Investments (0.5%)o | ||||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.160%, 8/29/2011p | 299,923 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 2,500,000 | 0.010%, 7/8/2011 | 2,499,995 | ||||||
| U.S. Treasury Bills | ||||||||
| 200,000 | 0.227%, 10/20/2011q | 199,861 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 2,999,779 | |||||||
|
| |||||||
| Total Investments (cost $505,626,814) 97.1% | $ | 571,769,856 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 2.9% | 16,836,475 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 588,606,331 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Principal amount is displayed in Euros. |
| c | 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $6,706,413 or 1.1% of total net assets. |
| 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 Worldwide Allocation Portfolio owned as of June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Banco Votorantim SA | 5/9/2011 | $ | 185,334 | |||||
Hypermarcas SA | 4/14/2011 | 176,765 | ||||||
ICICI Bank, Ltd./Dubai | 5/19/2011 | 219,263 | ||||||
Indonesia Government International Bond | 4/27/2011 | 588,283 | ||||||
Turkiye Garanti Bankasi AS | 4/21/2011 | 238,872 | ||||||
| f | Principal amount is displayed in Brazilian Real. |
| g | Defaulted security. Interest is not being accrued. |
| h | Security is fair valued. |
| i | Principal amount is displayed in Chinese Yuan. |
| j | Principal amount is displayed in Chilean Pesos. |
| k | Denotes investments purchased on a when-issued or delayed delivery basis. |
| l | Principal amount is displayed in Mexican Pesos. |
| m | Principal amount is displayed in South African Rand. |
| n | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. |
| o | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| p | At June 30, 2011, $299,923 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.
194
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| q | 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. | ||
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 | $ | 74,739,467 | ||
Gross unrealized depreciation | (10,927,989 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 63,811,478 | ||
Cost for federal income tax purposes | $ | 507,958,378 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
195
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Worldwide Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 559,489 | — | 559,489 | — | ||||||||||||
Consumer Discretionary | 80,448,215 | — | 80,448,215 | — | ||||||||||||
Consumer Staples | 40,388,011 | 2,892,315 | 37,495,696 | — | ||||||||||||
Energy | 44,069,068 | 10,898,535 | 33,170,533 | — | ||||||||||||
Financials | 94,069,726 | 11,053,080 | 83,016,646 | — | ||||||||||||
Health Care | 35,951,105 | 3,681,597 | 32,269,508 | — | ||||||||||||
Industrials | 88,144,698 | 890,755 | 87,253,943 | — | ||||||||||||
Information Technology | 33,107,345 | 1,076,556 | 32,030,789 | — | ||||||||||||
Materials | 66,844,707 | 3,562,080 | 63,282,627 | — | ||||||||||||
Telecommunications Services | 21,657,584 | 3,509,521 | 18,148,063 | — | ||||||||||||
Utilities | 8,084,275 | — | 8,084,275 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 894,890 | — | 894,890 | — | ||||||||||||
Communications Services | 841,430 | — | 841,430 | — | ||||||||||||
Consumer Cyclical | 485,032 | — | 485,032 | — | ||||||||||||
Consumer Non-Cyclical | 458,635 | — | 458,625 | 10 | ||||||||||||
Energy | 5,332,806 | — | 5,332,806 | — | ||||||||||||
Financials | 2,888,494 | — | 2,096,740 | 791,754 | ||||||||||||
Foreign Government | 43,223,316 | — | 43,223,316 | — | ||||||||||||
Transportation | 202,275 | — | 202,275 | — | ||||||||||||
Utilities | 1,118,976 | — | 1,118,976 | — | ||||||||||||
Short-Term Investments | 2,999,779 | — | 2,999,779 | — | ||||||||||||
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|
|
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|
| |||||||||
Total | $ | 571,769,856 | $ | 37,564,439 | $ | 533,413,653 | $ | 791,764 | ||||||||
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| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 21,876 | 21,876 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 260,815 | — | 260,815 | — | ||||||||||||
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| |||||||||
Total Asset Derivatives | $ | 282,691 | $ | 21,876 | $ | 260,815 | $ | — | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 40,498 | 40,498 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 419,034 | — | 419,034 | — | ||||||||||||
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|
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| |||||||||
Total Liability Derivatives | $ | 459,532 | $ | 40,498 | $ | 419,034 | $ | — | ||||||||
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| |||||||||
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, 2010 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Consumer Non-Cyclical | — | — | (1,895 | ) | — | — | 1,905 | — | 10 | |||||||||||||||||||||||
Financials | 744,761 | — | 46,993 | — | — | — | — | 791,754 | ||||||||||||||||||||||||
Foreign Government | 14,245 | — | (1,295 | ) | — | (12,950 | ) | — | — | — | ||||||||||||||||||||||
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Total | $ | 759,006 | $ | — | $ | 43,803 | $ | — | ($ | 12,950 | ) | $ | 1,905 | $ | — | $ | 791,764 | |||||||||||||||
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| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $55,265. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
196
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 11 | September 2011 | $ | 2,408,501 | $ | 2,412,782 | $ | 4,281 | ||||||||||||
5-Yr. U.S. Treasury Bond Futures | 2 | September 2011 | 240,851 | 238,390 | (2,461 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 15 | September 2011 | 1,849,725 | 1,834,921 | (14,804 | ) | ||||||||||||||
20-Yr. U.S. Treasury Bond Futures | 12 | September 2011 | 1,492,636 | 1,476,375 | (16,261 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 5 | September 2011 | 411,380 | 428,975 | 17,595 | |||||||||||||||
Ultra Long Term U.S Treasury Bond Futures | 2 | September 2011 | 259,472 | 252,500 | (6,972 | ) | ||||||||||||||
Total Futures Contracts | ($ | 18,622 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
197
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||
Purchases | ||||||||||||||||||||
Australian Dollar | SSB | 914,498 | 7/5/2011 | $ | 981,532 | $ | 980,801 | ($ | 731 | ) | ||||||||||
Brazilian Real | BB | 453,590 | 7/14/2011 | 273,000 | 289,722 | 16,722 | ||||||||||||||
British Pound | SSB | 588,057 | 7/5/2011 | 944,414 | 943,759 | (655 | ) | |||||||||||||
Canadian Dollar | SSB | 465,581 | 7/6/2011 | 483,018 | 482,717 | (301 | ) | |||||||||||||
Chinese Yuan | BB | 3,836,349 | 9/30/2011 | 594,000 | 595,378 | 1,378 | ||||||||||||||
Chinese Yuan | JPM | 639,744 | 7/7/2011 | 98,000 | 98,963 | 963 | ||||||||||||||
Chinese Yuan | HSBC | 10,254,567 | 9/30/2011 - 5/9/2012 | 1,601,138 | 1,599,132 | (2,006 | ) | |||||||||||||
Chinese Yuan | CITI | 26,781,057 | 7/7/2011 - 5/9/2012 | 4,127,645 | 4,153,729 | 26,084 | ||||||||||||||
Chinese Yuan | MSC | 6,420,000 | 5/9/2012 | 1,008,720 | 1,004,031 | (4,689 | ) | |||||||||||||
Euro | UBS | 134,000 | 9/21/2011 | 190,119 | 193,823 | 3,704 | ||||||||||||||
Euro | SSB | 412,870 | 7/1/2011 | 598,817 | 598,708 | (109 | ) | |||||||||||||
Euro | BB | 61,000 | 9/21/2011 | 88,829 | 88,233 | (596 | ) | |||||||||||||
Euro | HSBC | 203,321 | 9/21/2011 | 287,800 | 294,091 | 6,291 | ||||||||||||||
Hungarian Forint | BB | 127,413,234 | 7/1/2011 - 9/21/2011 | 677,364 | 690,847 | 13,483 | ||||||||||||||
Hungarian Forint | CITI | 54,783,335 | 9/21/2011 | 299,150 | 296,314 | (2,836 | ) | |||||||||||||
Indian Rupee | RBS | 26,745,600 | 7/14/2011 | 597,000 | 596,807 | (193 | ) | |||||||||||||
Indian Rupee | CITI | 24,424,140 | 7/14/2011 | 543,483 | 545,005 | 1,522 | ||||||||||||||
Indian Rupee | HSBC | 24,684,000 | 7/14/2011 | 544,000 | 550,804 | 6,804 | ||||||||||||||
Indian Rupee | MSC | 24,449,620 | 7/14/2011 | 540,443 | 545,574 | 5,131 | ||||||||||||||
Indian Rupee | DB | 12,468,480 | 7/14/2011 | 272,000 | 278,224 | 6,224 | ||||||||||||||
Israeli Shekel | JPM | 3,046,789 | 9/21/2011 | 899,209 | 891,768 | (7,441 | ) | |||||||||||||
Israeli Shekel | CITI | 516,598 | 9/21/2011 | 149,000 | 151,204 | 2,204 | ||||||||||||||
Japanese Yen | SSB | 118,269,769 | 7/5/2011 | 1,469,372 | 1,469,099 | (273 | ) | |||||||||||||
Malaysian Ringgit | DB | 1,789,843 | 7/14/2011 | 595,000 | 592,258 | (2,742 | ) | |||||||||||||
Malaysian Ringgit | CITI | 2,529,223 | 7/14/2011 | 834,555 | 836,919 | 2,364 | ||||||||||||||
Malaysian Ringgit | BB | 1,650,449 | 7/14/2011 | 543,000 | 546,132 | 3,132 | ||||||||||||||
Malaysian Ringgit | RBS | 1,789,217 | 7/14/2011 | 594,000 | 592,051 | (1,949 | ) | |||||||||||||
Mexican Peso | CSFB | 4,884,085 | 7/26/2011 | 416,234 | 416,247 | 13 | ||||||||||||||
Mexican Peso | CITI | 3,563,109 | 9/21/2011 | 297,000 | 302,058 | 5,058 | ||||||||||||||
Mexican Peso | MSC | 794,820 | 7/26/2011 | 68,345 | 67,739 | (606 | ) | |||||||||||||
Mexican Peso | HSBC | 3,501,482 | 9/21/2011 | 297,000 | 296,834 | (166 | ) | |||||||||||||
Mexican Peso | JPM | 5,335,657 | 7/26/2011 | 448,348 | 454,732 | 6,384 | ||||||||||||||
Norwegian Krone | SSB | 5,365,347 | 7/5/2011 | 996,073 | 994,467 | (1,606 | ) | |||||||||||||
Philippines Peso | DB | 23,521,174 | 7/14/2011 | 542,000 | 542,133 | 133 | ||||||||||||||
Philippines Peso | JPM | 502,922 | 7/14/2011 | 11,585 | 11,592 | 7 | ||||||||||||||
Philippines Peso | CITI | 11,789,626 | 7/14/2011 | 272,341 | 271,736 | (605 | ) | |||||||||||||
Polish Zloty | JPM | 1,687,078 | 9/21/2011 | 616,352 | 610,251 | (6,101 | ) | |||||||||||||
Russian Ruble | BB | 15,411,698 | 7/14/2011 | 543,000 | 551,151 | 8,151 | ||||||||||||||
Russian Ruble | UBS | 15,520,170 | 7/14/2011 | 542,000 | 555,030 | 13,030 | ||||||||||||||
Russian Ruble | CITI | 49,996,890 | 7/14/2011 | 1,787,000 | 1,787,981 | 981 | ||||||||||||||
Singapore Dollar | HSBC | 732,924 | 9/21/2011 | 597,000 | 596,922 | (78 | ) | |||||||||||||
Singapore Dollar | SSB | 44,042 | 7/5/2011 | 35,863 | 35,856 | (7 | ) | |||||||||||||
South African Rand | DB | 3,459,471 | 9/21/2011 | 505,158 | 506,043 | 885 | ||||||||||||||
South Korea Won | CITI | 2,069,833,685 | 7/14/2011 | 1,893,484 | 1,939,190 | 45,706 | ||||||||||||||
South Korea Won | RBS | 1,253,157,700 | 7/14/2011 | 1,136,000 | 1,174,061 | 38,061 | ||||||||||||||
Swedish Krona | SSB | 13,040,390 | 7/5/2011 | 2,065,103 | 2,061,656 | (3,447 | ) | |||||||||||||
Taiwan Dollar | HSBC | 17,155,314 | 7/25/2011 | 594,000 | 597,665 | 3,665 | ||||||||||||||
Taiwan Dollar | CITI | 33,522,500 | 7/14/2011 | 1,159,346 | 1,167,522 | 8,176 | ||||||||||||||
Total Purchases | $ | 34,657,840 | $ | 34,846,959 | $ | 189,119 | ||||||||||||||
Sales | ||||||||||||||||||||
Australian Dollar | SSB | 284,405 | 7/5/2011 | $ | 305,252 | $ | 305,024 | $ | 228 | |||||||||||
Brazilian Real | CITI | 702,525 | 7/14/2011 | 435,000 | 448,726 | (13,726 | ) | |||||||||||||
Brazilian Real | UBS | 304,446 | 7/14/2011 | 185,355 | 194,459 | (9,104 | ) | |||||||||||||
Brazilian Real | DB | 960,800 | 7/14/2011 | 596,486 | 613,695 | (17,209 | ) | |||||||||||||
British Pound | SSB | 2,537,310 | 7/5/2011 | 4,076,692 | 4,072,072 | 4,620 | ||||||||||||||
Canadian Dollar | SSB | 295,509 | 7/6/2011 | 306,577 | 306,386 | 191 | ||||||||||||||
Chilean Peso | CITI | 206,746,012 | 7/14/2011 | 430,631 | 441,674 | (11,043 | ) | |||||||||||||
Chinese Yuan | CITI | 8,545,592 | 7/7/2011 - 8/22/2011 | 1,319,654 | 1,322,130 | (2,476 | ) | |||||||||||||
Chinese Yuan | MSC | 6,420,000 | 7/7/2011 | 990,741 | 993,116 | (2,375 | ) | |||||||||||||
Chinese Yuan | HSBC | 6,420,000 | 7/7/2011 | 989,519 | 993,116 | (3,597 | ) | |||||||||||||
Chinese Yuan | RBS | 7,917,847 | 5/9/2012 | 1,239,876 | 1,238,281 | 1,595 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
198
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||
Chinese Yuan | BB | 11,357,058 | 5/9/2012 | $ | 1,776,000 | $ | 1,776,145 | ($ | 145 | ) | ||||||||||
Chinese Yuan | DB | 1,710,991 | 7/7/2011 | 262,000 | 264,675 | (2,675 | ) | |||||||||||||
Euro | MSC | 418,000 | 9/21/2011 | 592,335 | 604,612 | (12,277 | ) | |||||||||||||
Euro | SSB | 2,070,529 | 7/1/2011 - 7/5/2011 | 2,998,943 | 3,002,506 | (3,563 | ) | |||||||||||||
Euro | DB | 1,453,547 | 7/27/2011 | 2,075,872 | 2,105,889 | (30,017 | ) | |||||||||||||
Euro | BB | 667,345 | 7/1/2011 - 9/21/2011 | 951,069 | 965,428 | (14,359 | ) | |||||||||||||
Euro | CITI | 521,660 | 9/21/2011 | 758,312 | 754,550 | 3,762 | ||||||||||||||
Hong Kong Dollar | SSB | 945,584 | 7/5/2011 | 121,485 | 121,514 | (29 | ) | |||||||||||||
Hungarian Forint | BB | 35,692,686 | 8/23/2011 | 191,639 | 193,662 | (2,023 | ) | |||||||||||||
Hungarian Forint | HSBC | 54,900,626 | 9/21/2011 | 287,800 | 296,949 | (9,149 | ) | |||||||||||||
Hungarian Forint | DB | 10,754,314 | 7/1/2011 | 57,741 | 58,678 | (937 | ) | |||||||||||||
Hungarian Forint | SSB | 55,467,510 | 9/21/2011 | 291,000 | 300,015 | (9,015 | ) | |||||||||||||
Hungarian Forint | CSFB | 24,938,371 | 7/1/2011 | 135,335 | 136,069 | (734 | ) | |||||||||||||
Indian Rupee | CITI | 66,282,830 | 7/14/2011 | 1,472,000 | 1,479,048 | (7,048 | ) | |||||||||||||
Indian Rupee | DB | 7,175,670 | 7/14/2011 | 159,000 | 160,119 | (1,119 | ) | |||||||||||||
Indian Rupee | UBS | 13,360,550 | 7/14/2011 | 295,000 | 298,130 | (3,130 | ) | |||||||||||||
Indian Rupee | BB | 13,476,880 | 7/14/2011 | 296,000 | 300,726 | (4,726 | ) | |||||||||||||
Israeli Shekel | MSC | 1,566,824 | 9/21/2011 | 447,000 | 458,596 | (11,596 | ) | |||||||||||||
Japanese Yen | SSB | 217,463,439 | 7/1/2011 - 7/5/2011 | 2,695,562 | 2,701,242 | (5,680 | ) | |||||||||||||
Malaysian Ringgit | BB | 3,621,332 | 7/14/2011 | 1,195,604 | 1,198,297 | (2,693 | ) | |||||||||||||
Mexican Peso | CITI | 6,801,013 | 7/26/2011 | 573,485 | 579,617 | (6,132 | ) | |||||||||||||
Mexican Peso | JPM | 1,338,278 | 9/21/2011 | 112,482 | 113,451 | (969 | ) | |||||||||||||
Philippines Peso | BB | 10,870,398 | 7/14/2011 | 253,000 | 250,549 | 2,451 | ||||||||||||||
Philippines Peso | CITI | 6,310,269 | 7/14/2011 | 147,000 | 145,444 | 1,556 | ||||||||||||||
Philippines Peso | HSBC | 12,463,530 | 7/14/2011 | 291,000 | 287,269 | 3,731 | ||||||||||||||
Polish Zloty | UBS | 539,436 | 9/21/2011 | 190,119 | 195,125 | (5,006 | ) | |||||||||||||
Polish Zloty | MSC | 1,094,784 | 9/21/2011 | 387,000 | 396,006 | (9,006 | ) | |||||||||||||
Russian Ruble | HSBC | 16,798,320 | 7/14/2011 | 594,000 | 600,739 | (6,739 | ) | |||||||||||||
Russian Ruble | ML | 23,490,874 | 7/14/2011 | 820,871 | 840,077 | (19,206 | ) | |||||||||||||
Russian Ruble | CITI | 33,058,363 | 7/14/2011 | 1,167,000 | 1,182,228 | (15,228 | ) | |||||||||||||
Russian Ruble | DB | 7,632,640 | 7/14/2011 | 266,988 | 272,957 | (5,969 | ) | |||||||||||||
Singapore Dollar | BB | 740,476 | 9/21/2011 | 596,000 | 603,073 | (7,073 | ) | |||||||||||||
South African Rand | HSBC | 3,541,955 | 9/21/2011 | 508,000 | 518,109 | (10,109 | ) | |||||||||||||
South African Rand | DB | 5,388,758 | 7/7/2011 | 766,238 | 797,342 | (31,104 | ) | |||||||||||||
South African Rand | SSB | 4,134,537 | 9/21/2011 | 594,000 | 604,790 | (10,790 | ) | |||||||||||||
South African Rand | BB | 2,428,437 | 7/7/2011 | 347,019 | 359,321 | (12,302 | ) | |||||||||||||
South Korea Won | HSBC | 532,832,657 | 7/14/2011 | 486,650 | 499,201 | (12,551 | ) | |||||||||||||
South Korea Won | CITI | 515,160,000 | 7/14/2011 | 477,000 | 482,644 | (5,644 | ) | |||||||||||||
South Korea Won | BB | 354,202,528 | 7/14/2011 | 323,414 | 331,846 | (8,432 | ) | |||||||||||||
South Korea Won | RBS | 1,282,177,501 | 7/14/2011 | 1,185,000 | 1,201,249 | (16,249 | ) | |||||||||||||
Swedish Krona | SSB | 330,320 | 7/1/2011 | 51,262 | 52,223 | (961 | ) | |||||||||||||
Swiss Franc | SSB | 736,691 | 7/5/2011 | 878,976 | 876,178 | 2,798 | ||||||||||||||
Taiwan Dollar | RBS | 33,409,341 | 7/14/2011 | 1,159,000 | 1,163,580 | (4,580 | ) | |||||||||||||
Turkish Lira | DB | 18,371 | 9/21/2011 | 11,372 | 11,147 | 225 | ||||||||||||||
Total Sales | $ | 40,122,356 | $ | 40,469,694 | ($ | 347,338 | ) | |||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($ | 158,219 | ) | |||||||||||||||||
| Counterparty | ||||
BB | - | Barclays Bank | ||
CITI | - | Citibank | ||
CSFB | - | CS First Boston Corporation | ||
DB | - | Deutsche Bank | ||
HSBC | - | HSBC Securities, Inc. | ||
JPM | - | J.P. Morgan | ||
ML | - | Merrill Lynch | ||
MSC | - | Morgan Stanley & Company | ||
RBS | - | The Royal Bank of Scotland | ||
SSB | - | State Street Bank | ||
UBS | - | UBS Securities, Ltd. | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
199
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 17,595 | |||
Total Equity Contracts | 17,595 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,281 | ||||
Total Interest Rate Contracts | 4,281 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 260,815 | ||||
Total Foreign Exchange Contracts | 260,815 | |||||
|
| |||||
Total Asset Derivatives | $ | 282,691 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 40,498 | ||||
Total Interest Rate Contracts | 40,498 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 419,034 | ||||
Total Foreign Exchange Contracts | 419,034 | |||||
|
| |||||
Total Liability Derivatives | $ | 459,532 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 175,715 | ||||
Total Equity Contracts | 175,715 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (89,962 | ) | |||
Total Foreign Exchange Contracts | (89,962 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,392 | ||||
Total Interest Rate Contracts | 1,392 | |||||
|
| |||||
Total | $ | 87,145 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
200
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (36,595 | ) | |||
Total Equity Contracts | (36,595 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 132,001 | ||||
Total Interest Rate Contracts | 132,001 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | (61,795 | ) | |||
Total Foreign Exchange Contracts | (61,795 | ) | ||||
|
| |||||
Total | $ | 33,611 | ||||
|
| |||||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 1,972,749 | 0.4 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 8,641,173 | 1.6 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 50,804,598 | 9.2 | |||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
201
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Australia (5.6%) | ||||||||
| 23,406 | Ansell, Ltd. | $ | 355,878 | |||||
| 122,052 | Australia & New Zealand Banking Group, Ltd. | 2,893,080 | ||||||
| 450,787 | BHP Billiton, Ltd. | 21,303,602 | ||||||
| 203,035 | Brambles, Ltd. | 1,578,556 | ||||||
| 564,834 | Challenger, Ltd. | 2,975,435 | ||||||
| 16,873 | Flight Centre, Ltd. | 393,090 | ||||||
| 257,278 | Fortescue Metals Group, Ltd. | 1,765,213 | ||||||
| 54,815 | GrainCorp, Ltd. | 489,909 | ||||||
| 202,751 | Iluka Resources, Ltd. | 3,667,436 | ||||||
| 68,850 | JB Hi-Fi, Ltd. | 1,264,746 | ||||||
| 687,127 | Mount Gibson Iron, Ltd.a | 1,366,221 | ||||||
| 46,662 | Ramsay Health Care, Ltd. | 911,565 | ||||||
| 77,725 | Rio Tinto, Ltd. | 6,956,746 | ||||||
| 127,601 | Wesfarmer, Ltd. | 4,372,907 | ||||||
|
| |||||||
| Total Australia | 50,294,384 | |||||||
|
| |||||||
| Austria (0.3%) | ||||||||
| 639,855 | IMMOFINANZ AGa | 2,728,013 | ||||||
|
| |||||||
| Total Austria | 2,728,013 | |||||||
|
| |||||||
| Belgium (1.0%) | ||||||||
| 100,957 | Anheuser-Busch InBev NV | 5,859,137 | ||||||
| 36,262 | Bekaert SAb | 2,761,144 | ||||||
|
| |||||||
| Total Belgium | 8,620,281 | |||||||
|
| |||||||
| Brazil (0.4%) | ||||||||
| 96,900 | Petroleo Brasileiro SA ADR | 3,281,034 | ||||||
|
| |||||||
| Total Brazil | 3,281,034 | |||||||
|
| |||||||
| Canada (5.4%) | ||||||||
| 36,801 | Agrium, Inc. | 3,231,391 | ||||||
| 110,640 | Barrick Gold Corporation | 5,023,251 | ||||||
| 412,253 | Bombardier, Inc. | 2,970,615 | ||||||
| 127,643 | Brookfield Asset Management, Inc. | 4,246,826 | ||||||
| 1 | Enerplus Corporationb | 0 | ||||||
| 59,667 | Finning International, Inc. | 1,769,286 | ||||||
| 75,950 | Goldcorp, Inc. | 3,673,476 | ||||||
| 30,331 | Open Text Corporationa | 1,944,392 | ||||||
| 50,195 | Pacific Rubiales Energy Corporation | 1,345,299 | ||||||
| 95,909 | Potash Corporation of Saskatchewan, Inc. | 5,477,106 | ||||||
| 60,577 | Saputo, Inc. | 2,921,136 | ||||||
| 55,133 | Shoppers Drug Mart Corporationb | 2,269,342 | ||||||
| 186,969 | Suncor Energy, Inc. | 7,327,556 | ||||||
| 38,244 | Tim Hortons, Inc.b | 1,867,195 | ||||||
| 79,993 | Trican Well Service, Ltd. | 1,879,359 | ||||||
| 172,829 | Yamana Gold, Inc. | 2,017,682 | ||||||
|
| |||||||
| Total Canada | 47,963,912 | |||||||
|
| |||||||
| China (0.9%) | ||||||||
| 12,663,800 | Bank of China, Ltd. | 6,198,374 | ||||||
| 3,840,300 | Huaneng Power International, Inc. | 2,032,397 | ||||||
|
| |||||||
| Total China | 8,230,771 | |||||||
|
| |||||||
| Denmark (0.7%) | ||||||||
| 47,666 | Novo Nordisk AS | 5,971,564 | ||||||
|
| |||||||
| Total Denmark | 5,971,564 | |||||||
|
| |||||||
| Finland (1.4%) | ||||||||
| 58,643 | Kesko Oyj | 2,727,265 | ||||||
| 132,250 | Neste Oil Oyj | 2,074,634 | ||||||
| 86,832 | Sampo Oyjb | 2,803,266 | ||||||
| 130,304 | UPM-Kymmene Oyj | 2,384,000 | ||||||
| 63,359 | Wartsila Corporation | 2,142,436 | ||||||
|
| |||||||
| Total Finland | 12,131,601 | |||||||
|
| |||||||
| France (8.1%) | ||||||||
| 493,325 | AXA SA | 11,198,248 | ||||||
| 154,100 | Cap Gemini SA | 9,023,520 | ||||||
| 19,808 | Christian Dior SA | 3,112,636 | ||||||
| 103,050 | Compagnie de Saint-Gobainb | 6,679,333 | ||||||
| 46,035 | Faureciab | 1,974,171 | ||||||
| 47,719 | Ingenico | 2,322,018 | ||||||
| 61,384 | Safran SA | 2,619,235 | ||||||
| 32,747 | Schneider Electric SA | 5,467,695 | ||||||
| 1 | Societe Generale | 0 | ||||||
| 216,942 | Total SA | 12,541,865 | ||||||
| 72,037 | Vinci SA | 4,623,039 | ||||||
| 368,651 | Vivendi SA | 10,275,131 | ||||||
| 23,353 | Wendel SAb | 2,867,742 | ||||||
|
| |||||||
| Total France | 72,704,633 | |||||||
|
| |||||||
| Germany (5.7%) | ||||||||
| 35,413 | BASF SE | 3,471,147 | ||||||
| 36,750 | Bayerische Motoren Werke AG | 3,669,729 | ||||||
| 188,447 | Daimler AG | 14,210,723 | ||||||
| 113,900 | Deutsche Boerse AG | 8,648,158 | ||||||
| 37,711 | Henkel AG & Company KGaA | 2,622,287 | ||||||
| 1 | Metro AG | 0 | ||||||
| 69,079 | Siemens AG | 9,492,673 | ||||||
| 103,972 | Suedzucker AG | 3,702,043 | ||||||
| 24,534 | Volkswagen AG | 5,073,408 | ||||||
|
| |||||||
| Total Germany | 50,890,168 | |||||||
|
| |||||||
| Guernsey (0.2%) | ||||||||
| 378,098 | Resolution, Ltd. | 1,782,297 | ||||||
|
| |||||||
| Total Guernsey | 1,782,297 | |||||||
|
| |||||||
| Hong Kong (2.5%) | ||||||||
| 337,000 | CLP Holdings, Ltd. | 2,989,555 | ||||||
| 781,950 | Hutchison Whampoa, Ltd. | 8,472,385 | ||||||
| 4,845,600 | New World Development Company, Ltd. | 7,356,667 | ||||||
| 851,000 | SJM Holdings, Ltd. | 2,024,424 | ||||||
| 108,432 | Swire Pacific, Ltd. | 1,596,436 | ||||||
|
| |||||||
| Total Hong Kong | 22,439,467 | |||||||
|
| |||||||
| Indonesia (0.5%) | ||||||||
| 4,371,800 | Telekomunikasi Indonesia Tbk PT | 3,764,591 | ||||||
| 24,400 | Telekomunikasi Indonesia Tbk PT ADRb | 841,800 | ||||||
|
| |||||||
| Total Indonesia | 4,606,391 | |||||||
|
| |||||||
| Ireland (0.2%) | ||||||||
| 48,382 | Kerry Group plc | 1,993,218 | ||||||
|
| |||||||
| Total Ireland | 1,993,218 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
202
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Israel (0.9%) | ||||||||
| 174,800 | Teva Pharmaceutical Industries, Ltd. ADR | $ | 8,428,856 | |||||
|
| |||||||
| Total Israel | 8,428,856 | |||||||
|
| |||||||
| Italy (2.8%) | ||||||||
| 82,248 | Davide Campari - Milano SPA | 675,374 | ||||||
| 70,837 | DiaSorin SPAb | 3,399,693 | ||||||
| 677,200 | Enel SPA | 4,424,779 | ||||||
| 361,100 | Eni SPA | 8,557,484 | ||||||
| 6,911,850 | Telecom Italia SPA | 8,040,438 | ||||||
|
| |||||||
| Total Italy | 25,097,768 | |||||||
|
| |||||||
| Japan (20.0%) | ||||||||
| 46,300 | Aisin Seiki Company, Ltd. | 1,791,604 | ||||||
| 52,013 | Anritsu Corporation | 455,237 | ||||||
| 367,000 | Bank of Yokohama, Ltd. | 1,834,649 | ||||||
| 446,200 | Bridgestone Corporation | 10,280,682 | ||||||
| 117,500 | Canon, Inc. | 5,589,044 | ||||||
| 56,500 | Capcom Company, Ltd. | 1,303,404 | ||||||
| 90,000 | Daihatsu Motor Company, Ltd. | 1,531,679 | ||||||
| 404,700 | Daiichi Sankyo Company, Ltd. | 7,908,268 | ||||||
| 120,400 | Daito Trust Construction Company, Ltd. | 10,221,947 | ||||||
| 1,727,400 | Daiwa Securities Group, Inc. | 7,610,741 | ||||||
| 29,800 | Dena Company, Ltd. | 1,281,593 | ||||||
| 132,600 | East Japan Railway Company | 7,594,111 | ||||||
| 87,600 | Elpida Memory, Inc.a | 1,031,817 | ||||||
| 55,900 | Gree, Inc. | 1,222,015 | ||||||
| 59,200 | Hamamatsu Photonics KK | 2,559,624 | ||||||
| 427,000 | Hitachi, Ltd. | 2,534,246 | ||||||
| 35,000 | Honda Motor Company, Ltd. | 1,348,443 | ||||||
| 30,600 | Idemitsu Kosan Company, Ltd. | 3,265,728 | ||||||
| 978,000 | IHI Corporation | 2,527,106 | ||||||
| 259,800 | ITOCHU Corporation | 2,702,142 | ||||||
| 369,000 | Kawasaki Heavy Industries, Ltd. | 1,470,197 | ||||||
| 554 | KDDI Corporation | 3,985,995 | ||||||
| 38,500 | Kyocera Corporation | 3,919,993 | ||||||
| 54,900 | Lawson, Inc. | 2,880,108 | ||||||
| 335,000 | Mitsubishi Electric Corporation | 3,891,396 | ||||||
| 78,700 | Mitsui & Company, Ltd. | 1,360,733 | ||||||
| 322,900 | Mori Seiki Company, Ltd. | 4,275,985 | ||||||
| 283,945 | MS and AD Insurance Group Holdings, Inc. | 6,646,259 | ||||||
| 17,800 | Murata Manufacturing Company, Ltd. | 1,190,080 | ||||||
| 199,200 | Namco Bandai Holdings, Inc. | 2,397,849 | ||||||
| 370,300 | Nikon Corporation | 8,756,988 | ||||||
| 65,000 | Nippon Meat Packers, Inc. | 932,420 | ||||||
| 33,100 | Nippon Telegraph & Telephone Corporation | 1,596,473 | ||||||
| 344,000 | Nippon Yusen KK | 1,278,075 | ||||||
| 1,218,500 | Nissan Motor Company, Ltd. | 12,805,477 | ||||||
| 12,600 | Pola Orbis Holdings, Inc. | 330,822 | ||||||
| 67,250 | Secom Company, Ltd. | 3,224,407 | ||||||
| 83,400 | Sega Sammy Holdings, Inc. | 1,612,184 | ||||||
| 660,000 | Sumitomo Corporation | 8,978,811 | ||||||
| 249,400 | Sumitomo Electric Industries, Ltd. | 3,637,659 | ||||||
| 2,703,300 | Sumitomo Mitsui Trust Holdings, Inc. | 9,409,465 | ||||||
| 291,200 | Sumitomo Rubber Industries, Ltd. | 3,523,846 | ||||||
| 58,500 | Takeda Pharmaceutical Company, Ltd. | 2,703,690 | ||||||
| 586,000 | Tokyu Corporation | 2,436,271 | ||||||
| 55,200 | Trend Micro, Inc. | 1,714,915 | ||||||
| 400,000 | UNY Company, Ltd. | 3,717,014 | ||||||
| 76,800 | West Japan Railway Company | 2,998,195 | ||||||
| 23,260 | Yamada Denki Company, Ltd. | 1,895,215 | ||||||
|
| |||||||
| Total Japan | 178,164,602 | |||||||
|
| |||||||
| Jersey (0.2%) | ||||||||
| 63,301 | Wolseley plc | 2,066,146 | ||||||
|
| |||||||
| Total Jersey | 2,066,146 | |||||||
|
| |||||||
| Netherlands (2.3%) | ||||||||
| 1,307,800 | Aegon NVa | 8,911,094 | ||||||
| 177,776 | Koninklijke DSM NV | 11,536,750 | ||||||
|
| |||||||
| Total Netherlands | 20,447,844 | |||||||
|
| |||||||
| Norway (2.4%) | ||||||||
| 68,786 | Cermaq ASAa | 1,100,981 | ||||||
| 75,047 | DnB NOR ASA | 1,045,509 | ||||||
| 2,103,739 | Marine Harvest | 1,687,530 | ||||||
| 71,176 | Seadrill, Ltd. | 2,502,441 | ||||||
| 504,279 | Statoil ASA | 12,766,207 | ||||||
| 48,933 | Yara International ASA | 2,749,287 | ||||||
|
| |||||||
| Total Norway | 21,851,955 | |||||||
|
| |||||||
| Portugal (1.2%) | ||||||||
| 5,825,717 | Banco Comercial Portugues SAa,b | 3,464,511 | ||||||
| 1,079,500 | Banco Espirito Santo SAb | 4,024,174 | ||||||
| 147,062 | Jeronimo Martins SGPS SA | 2,824,354 | ||||||
|
| |||||||
| Total Portugal | 10,313,039 | |||||||
|
| |||||||
| Singapore (1.3%) | ||||||||
| 789,415 | Keppel Corporation, Ltd. | 7,142,332 | ||||||
| 275,000 | Oversea-Chinese Banking Corporation, Ltd. | 2,100,527 | ||||||
| 514,000 | SembCorp Industries, Ltd. | 2,093,118 | ||||||
|
| |||||||
| Total Singapore | 11,335,977 | |||||||
|
| |||||||
| South Korea (1.9%) | ||||||||
| 19,200 | POSCO | 8,341,554 | ||||||
| 25,110 | SK Telecom Company, Ltd. | 3,798,309 | ||||||
| 274,540 | SK Telecom Company, Ltd. ADRb | 5,133,898 | ||||||
|
| |||||||
| Total South Korea | 17,273,761 | |||||||
|
| |||||||
| Spain (2.6%) | ||||||||
| 757,228 | Banco Bilbao Vizcaya Argentaria SA | 8,888,645 | ||||||
| 720,983 | Banco Popular Espanol SAb | 4,056,470 | ||||||
| 720,983 | Banco Popular Espanol SA Rightsa | 52,275 | ||||||
| 283,300 | Indra Sistemas SAb | 5,843,720 | ||||||
| 123,677 | Repsol YPF SAb | 4,289,687 | ||||||
|
| |||||||
| Total Spain | 23,130,797 | |||||||
|
| |||||||
| Sweden (2.4%) | ||||||||
| 144,643 | Atlas Copco AB | 3,809,367 | ||||||
| 63,374 | Elekta AB | 3,001,779 | ||||||
| 159,979 | Nordea Bank AB | 1,718,173 | ||||||
| 237,165 | Swedbank AB | 3,988,150 | ||||||
| 241,174 | Telefonaktiebolaget LM Ericsson | 3,471,821 | ||||||
| 330,464 | Volvo AB | 5,785,194 | ||||||
|
| |||||||
| Total Sweden | 21,774,484 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
203
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Switzerland (10.0%) | ||||||||
| 113,813 | ABB, Ltd.a | $ | 2,956,945 | |||||
| 123,700 | Adecco SAa | 7,939,251 | ||||||
| 32,693 | Aryzta AG | 1,755,767 | ||||||
| 69,865 | Compagnie Financiere | |||||||
| Richemont SA | 4,578,194 | |||||||
| 201,750 | Credit Suisse Groupa | 7,862,179 | ||||||
| 1,977 | Forbo Holding AGa | 1,502,196 | ||||||
| 4,973 | Galenica AG | 3,187,323 | ||||||
| 6,477 | Givaudan SAa | 6,851,394 | ||||||
| 113,486 | Holcim, Ltd.a | 8,581,866 | ||||||
| 203,711 | Nestle SA | 12,675,873 | ||||||
| 155,000 | Novartis AG | 9,498,930 | ||||||
| 81,510 | Roche Holding AG | 13,645,654 | ||||||
| 31,450 | Zurich Financial Services AGa | 7,957,625 | ||||||
|
| |||||||
| Total Switzerland | 88,993,197 | |||||||
|
| |||||||
| Thailand (1.3%) | ||||||||
| 446,725 | Bangkok Bank pcl | 2,311,804 | ||||||
| 814,600 | PTT pcl | 8,912,829 | ||||||
|
| |||||||
| Total Thailand | 11,224,633 | |||||||
|
| |||||||
| United Kingdom (16.0%) | ||||||||
| 30,758 | Anglo American plc | 1,525,342 | ||||||
| 25,181 | AstraZeneca plc | 1,258,521 | ||||||
| 2,171,467 | BAE Systems plc | 11,107,902 | ||||||
| 360,307 | BG Group plc | 8,180,721 | ||||||
| 147,601 | BHP Billiton plc | 5,799,528 | ||||||
| 227,420 | British American Tobacco plc | 9,972,282 | ||||||
| 733,635 | BT Group plc | 2,378,574 | ||||||
| 139,521 | Burberry Group plc | 3,244,361 | ||||||
| 292,100 | Carillion plc | 1,763,195 | ||||||
| 108,084 | Croda International plc | 3,273,396 | ||||||
| 168,471 | Drax Group plc | 1,360,962 | ||||||
| 824,954 | HSBC Holdings plc | 8,178,709 | ||||||
| 168,150 | HSBC Holdings plc ADR | 8,343,603 | ||||||
| 98,113 | IMI plc | 1,658,568 | ||||||
| 155,217 | Imperial Tobacco Group plc | 5,167,324 | ||||||
| 281,767 | Inchcape plc | 1,892,013 | ||||||
| 473,195 | Intermediate Capital Group plc | 2,451,562 | ||||||
| 513,629 | Kingfisher plc | 2,206,189 | ||||||
| 825,740 | Legal & General Group plc | 1,564,148 | ||||||
| 237,450 | Pearson plc | 4,491,696 | ||||||
| 244,074 | Prudential plc | 2,818,113 | ||||||
| 107,835 | Rio Tinto plc | 7,785,943 | ||||||
| 41,668 | Royal Dutch Shell plc | 1,486,896 | ||||||
| 155,908 | Scottish & Southern Energy plc | 3,486,799 | ||||||
| 177,579 | Shire plc | 5,552,029 | ||||||
| 1,430,100 | Tesco plc | 9,239,305 | ||||||
| 90,808 | Unilever plc | 2,929,873 | ||||||
| 3,524,537 | Vodafone Group plc | 9,345,029 | ||||||
| 833,742 | William Morrison Supermarkets plc | 3,987,537 | ||||||
| 849,900 | WPP plc | 10,646,870 | ||||||
|
| |||||||
| Total United Kingdom | 143,096,990 | |||||||
|
| |||||||
| Total Common Stock (cost $804,696,374) | 876,837,783 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (4.5%) | ||||||||
| 39,846,936 | Thrivent Financial Securities Lending Trust | 39,846,936 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $39,846,936) | 39,846,936 | |||||||
|
| |||||||
| Total Investments (cost $844,543,310) 102.7% | $ | 916,684,719 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.7%) | (24,179,311 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 892,505,408 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
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 | $ | 101,026,168 | ||||
Gross unrealized depreciation | (33,115,903 | ) | ||||
|
|
| ||||
Net unrealized appreciation (depreciation) | $ | 67,910,265 | ||||
Cost for federal income tax purposes | $ | 848,774,454 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
204
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner International Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 1,596,473 | — | 1,596,473 | — | ||||||||||||
Consumer Discretionary | 132,012,057 | — | 132,012,057 | — | ||||||||||||
Consumer Staples | 80,959,406 | — | 80,959,406 | — | ||||||||||||
Energy | 72,881,598 | 3,281,034 | 69,600,564 | — | ||||||||||||
Financials | 154,564,511 | 8,343,603 | 146,220,908 | — | ||||||||||||
Health Care | 65,467,872 | 8,428,856 | 57,039,016 | — | ||||||||||||
Industrials | 140,819,832 | — | 140,819,832 | — | ||||||||||||
Information Technology | 47,921,536 | — | 47,921,536 | — | ||||||||||||
Materials | 127,843,979 | — | 127,843,979 | — | ||||||||||||
Telecommunications Services | 37,743,871 | 5,975,698 | 31,768,173 | — | ||||||||||||
Utilities | 15,026,648 | — | 15,026,648 | — | ||||||||||||
Collateral Held for Securities Loaned | 39,846,936 | 39,846,936 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 916,684,719 | $ | 65,876,127 | $ | 850,808,592 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 16,588 | – | 16,588 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 16,588 | $ | – | $ | 16,588 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 20,843 | – | 20,843 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 20,843 | $ | – | $ | 20,843 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||
Purchases | ||||||||||||||||||||
Australian Dollar | SSB | 2,602,043 | 7/5/2011 | $ | 2,792,774 | $ | 2,790,694 | ($ | 2,080 | ) | ||||||||||
British Pound | SSB | 922,684 | 7/5/2011 | 1,482,476 | 1,480,796 | (1,680 | ) | |||||||||||||
Canadian Dollar | SSB | 1,296,008 | 7/6/2011 | 1,344,546 | 1,343,710 | (836 | ) | |||||||||||||
Euro | SSB | 925,328 | 7/1/2011 | 1,341,816 | 1,341,832 | 16 | ||||||||||||||
Japanese Yen | SSB | 335,989,819 | 7/5/2011 | 4,174,306 | 4,173,528 | (778 | ) | |||||||||||||
Norwegian Krone | SSB | 15,265,876 | 7/5/2011 | 2,834,099 | 2,829,528 | (4,571 | ) | |||||||||||||
Swedish Krona | SSB | 30,613,871 | 7/5/2011 | 4,848,953 | 4,839,984 | (8,969 | ) | |||||||||||||
Total Purchases | $ | 18,818,970 | $ | 18,800,072 | ($ | 18,898 | ) | |||||||||||||
Sales | ||||||||||||||||||||
Australian Dollar | SSB | 1,000,165 | 7/5/2011 | $ | 1,073,477 | $ | 1,072,680 | $ | 797 | |||||||||||
British Pound | SSB | 7,653,171 | 7/5/2011 | 12,296,353 | 12,282,415 | 13,938 | ||||||||||||||
Canadian Dollar | SSB | 1,051,607 | 7/6/2011 | 1,090,991 | 1,090,310 | 681 | ||||||||||||||
Danish Krone | SSB | 138,804 | 7/5/2011 | 27,019 | 26,987 | 32 | ||||||||||||||
Euro | SSB | 3,108,006 | 7/5/2011 | 4,506,917 | 4,506,970 | (53 | ) | |||||||||||||
Hong Kong Dollar | SSB | 2,308,428 | 7/5/2011 | 296,580 | 296,648 | (68 | ) | |||||||||||||
Japanese Yen | SSB | 413,985,424 | 7/1/2011 -7/5/2011 | 5,141,579 | 5,142,358 | (779 | ) | |||||||||||||
Norwegian Krone | SSB | 223,407 | 7/5/2011 | 41,476 | 41,408 | 68 | ||||||||||||||
Singapore Dollar | SSB | 33,556 | 7/5/2011 | 27,333 | 27,319 | 14 | ||||||||||||||
Swedish Krona | SSB | 433,474 | 7/5/2011 | 68,658 | 68,531 | 127 | ||||||||||||||
Swiss Franc | SSB | 89,979 | 7/5/2011 | 106,900 | 107,014 | (114 | ) | |||||||||||||
Total Sales | $ | 24,677,283 | $ | 24,662,640 | $ | 14,643 | ||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($ | 4,255 | ) | |||||||||||||||||
Counterparty | ||
| SSB - State Street Bank |
The accompanying Notes to Financial Statements are an integral part of this schedule.
205
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, for Partner International Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 16,588 | ||||
Total Foreign Exchange Contracts | 16,588 | |||||
|
| |||||
Total Asset Derivatives | $ | 16,588 | ||||
|
| |||||
Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 20,843 | ||||
Total Foreign Exchange Contracts | 20,843 | |||||
|
| |||||
Total Liability Derivatives | $ | 20,843 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | (449,660 | ) | |||
Total Foreign Exchange Contracts | (449,660 | ) | ||||
|
| |||||
Total | ($ | 449,660 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (874 | ) | |||
Total Foreign Exchange Contracts | (874 | ) | ||||
|
| |||||
Total | ($ | 874 | ) | |||
|
| |||||
The following table presents Partner International Stock Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 12,655,632 | 1.4 | |||||
| * | 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.
206
Table of Contents
Partner International Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 7,579,024 | $ | 292,171,442 | $ | 259,903,530 | 39,846,936 | $ | 39,846,936 | $ | 747,267 | |||||||||||||
Total Value and Income Earned | 7,579,024 | 39,846,936 | 747,267 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
207
Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Shares | Common Stock (96.1%) | Value | ||||||
| Consumer Discretionary (18.8%) | ||||||||
| 740 | Amazon.com, Inc.a | $ | 151,323 | |||||
| 3,540 | CarMax, Inc.a | 117,068 | ||||||
| 320 | Chipotle Mexican Grill, Inc.a | 98,621 | ||||||
| 1,500 | Darden Restaurants, Inc. | 74,640 | ||||||
| 2,090 | Johnson Controls, Inc. | 87,069 | ||||||
| 1,950 | Kohl’s Corporation | 97,519 | ||||||
| 980 | Netflix, Inc.a | 257,436 | ||||||
| 200 | Priceline.com, Inc.a | 102,386 | ||||||
| 2,730 | Starbucks Corporation | 107,808 | ||||||
|
| |||||||
| Total Consumer Discretionary | 1,093,870 | |||||||
|
| |||||||
| Consumer Staples (8.2%) | ||||||||
| 790 | Costco Wholesale Corporation | 64,180 | ||||||
| 3,650 | CVS Caremark Corporation | 137,167 | ||||||
| 1,580 | Green Mountain Coffee Roasters, Inc.a | 141,031 | ||||||
| 1,420 | PepsiCo, Inc. | 100,010 | ||||||
| 570 | Procter & Gamble Company | 36,235 | ||||||
|
| |||||||
| Total Consumer Staples | 478,623 | |||||||
|
| |||||||
| Energy (9.5%) | ||||||||
| 3,730 | Cameron International Corporationa | 187,582 | ||||||
| 2,070 | Noble Corporation | 81,579 | ||||||
| 2,390 | QEP Resources, Inc. | 99,973 | ||||||
| 4,640 | Suncor Energy, Inc. | 181,424 | ||||||
|
| |||||||
| Total Energy | 550,558 | |||||||
|
| |||||||
| Financials (14.1%) | ||||||||
| 780 | Aflac, Inc. | 36,410 | ||||||
| 2,380 | American Express Company | 123,046 | ||||||
| 4,030 | Charles Schwab Corporation | 66,293 | ||||||
| 440 | Franklin Resources, Inc. | 57,768 | ||||||
| 3,920 | J.P. Morgan Chase & Company | 160,485 | ||||||
| 4,090 | SunTrust Banks, Inc. | 105,522 | ||||||
| 1,990 | T. Rowe Price Group, Inc. | 120,077 | ||||||
| 4,450 | Wells Fargo & Company | 124,867 | ||||||
| 1,220 | Zions Bancorporation | 29,292 | ||||||
|
| |||||||
| Total Financials | 823,760 | |||||||
|
| |||||||
| Health Care (10.7%) | ||||||||
| 2,860 | Allergan, Inc. | 238,095 | ||||||
| 330 | Edwards Lifesciences Corporationa | 28,769 | ||||||
| 3,520 | Gilead Sciences, Inc.a | 145,763 | ||||||
| 2,190 | Novartis AG ADR | 133,831 | ||||||
| 1,660 | St. Jude Medical, Inc. | 79,149 | ||||||
| Total Health Care | 625,607 | |||||||
|
| |||||||
| Industrials (10.0%) | ||||||||
| 1,770 | 3M Company | 167,884 | ||||||
| 1,610 | C.H. Robinson Worldwide, Inc. | 126,932 | ||||||
| 1,660 | Cooper Industries plc | 99,052 | ||||||
| 2,120 | Danaher Corporation | 112,339 | ||||||
| 1,440 | Expeditors International of Washington, Inc. | 73,714 | ||||||
|
| |||||||
| Total Industrials | 579,921 | |||||||
|
| |||||||
| Information Technology (22.8%) | ||||||||
| 1,230 | Acme Packet, Inc.a | 86,260 | ||||||
| 680 | Apple, Inc.a | 228,255 | ||||||
| 1,870 | Cognizant Technology Solutions Corporationa | 137,146 | ||||||
| 190 | Google, Inc.a | 96,212 | ||||||
| 1,800 | Hewlett-Packard Company | 65,520 | ||||||
| 690 | International Business Machines Corporation | 118,369 | ||||||
| 1,070 | Mercadolibre, Inc. | 84,894 | ||||||
| 2,130 | Microsoft Corporation | 55,380 | ||||||
| 4,130 | QUALCOMM, Inc. | 234,543 | ||||||
| 870 | Salesforce.com, Inc.a | 129,613 | ||||||
| 890 | VMware, Inc.a | 89,205 | ||||||
|
| |||||||
| Total Information Technology | 1,325,397 | |||||||
|
| |||||||
| Materials (2.0%) | ||||||||
| 2,120 | Ecolab, Inc. | 119,526 | ||||||
|
| |||||||
| Total Materials | 119,526 | |||||||
|
| |||||||
Total Common Stock (cost $4,608,782) | 5,597,262 | |||||||
|
| |||||||
| Total Investments (cost $4,608,782) 96.1% | $ | 5,597,262 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 3.9% | 226,826 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 5,824,088 | ||||||
|
| |||||||
| 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 | $ | 1,078,799 | ||
Gross unrealized depreciation | (94,489 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 984,310 | ||
Cost for federal income tax purposes | $ | 4,612,952 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
208
Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Socially Responsible Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 1,093,870 | 1,093,870 | — | — | ||||||||||||
Consumer Staples | 478,623 | 478,623 | — | — | ||||||||||||
Energy | 550,558 | 550,558 | — | — | ||||||||||||
Financials | 823,760 | 823,760 | — | — | ||||||||||||
Health Care | 625,607 | 625,607 | — | — | ||||||||||||
Industrials | 579,921 | 579,921 | — | — | ||||||||||||
Information Technology | 1,325,397 | 1,325,397 | — | — | ||||||||||||
Materials | 119,526 | 119,526 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,597,262 | $ | 5,597,262 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
209
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Shares | Common Stock (98.0%) | Value | ||||||
| Consumer Discretionary (16.0%) | ||||||||
| 1,925 | Abercrombie & Fitch Company | $ | 128,821 | |||||
| 2,630 | Amazon.com, Inc.a | 537,809 | ||||||
| 2,425 | Coach, Inc. | 155,030 | ||||||
| 1,225 | Deckers Outdoor Corporationa | 107,972 | ||||||
| 1,075 | Fossil, Inc.a | 126,549 | ||||||
| 4,550 | Imax Corporationa | 147,556 | ||||||
| 650 | Netflix, Inc.a | 170,749 | ||||||
| 1,100 | Priceline.com, Inc.a | 563,123 | ||||||
| 7,305 | Starbucks Corporation | 288,474 | ||||||
| 1,675 | Tupperware Brands Corporation | 112,979 | ||||||
|
| |||||||
| Total Consumer Discretionary | 2,339,062 | |||||||
|
| |||||||
| Consumer Staples (4.6%) | ||||||||
| 3,425 | Companhia de Bebidas das Americas ADR | 115,525 | ||||||
| 1,775 | Hansen Natural Corporationa | 143,686 | ||||||
| 5,200 | Herbalife, Ltd. | 299,728 | ||||||
| 1,675 | Mead Johnson Nutrition Company | 113,147 | ||||||
|
| |||||||
| Total Consumer Staples | 672,086 | |||||||
|
| |||||||
| Energy (11.1%) | ||||||||
| 2,025 | Apache Corporation | 249,865 | ||||||
| 1,975 | Baker Hughes, Inc. | 143,306 | ||||||
| 3,500 | Chesapeake Energy Corporation | 103,915 | ||||||
| 200 | CNOOC, Ltd. ADR | 47,186 | ||||||
| 3,575 | Complete Production Services, Inc.a | 119,262 | ||||||
| 2,100 | EQT Corporation | 110,292 | ||||||
| 3,825 | Frontier Oil Corporation | 123,586 | ||||||
| 2,325 | Helmerich & Payne, Inc. | 153,729 | ||||||
| 2,875 | National Oilwell Varco, Inc. | 224,854 | ||||||
| 2,250 | Noble Corporation | 88,672 | ||||||
| 5,225 | Patterson-UTI Energy, Inc. | 165,162 | ||||||
| 1,200 | Schlumberger, Ltd. | 103,680 | ||||||
|
| |||||||
| Total Energy | 1,633,509 | |||||||
|
| |||||||
| Financials (3.7%) | ||||||||
| 750 | Franklin Resources, Inc. | 98,467 | ||||||
| 720 | IntercontinentalExchange, Inc.a | 89,791 | ||||||
| 2,725 | Moody’s Corporation | 104,504 | ||||||
| 2,400 | T. Rowe Price Group, Inc. | 144,816 | ||||||
| 3,000 | Waddell & Reed Financial, Inc. | 109,050 | ||||||
|
| |||||||
| Total Financials | 546,628 | |||||||
|
| |||||||
| Health Care (11.9%) | ||||||||
| 5,850 | Bruker Corporationa | 119,106 | ||||||
| 600 | C.R. Bard, Inc. | 65,916 | ||||||
| 1,800 | Cerner Corporationa | 109,998 | ||||||
| 1,925 | Covidien plc | 102,468 | ||||||
| 1,575 | Gen-Probe, Inc.a | 108,911 | ||||||
| 2,025 | Illumina, Inc.a | 152,179 | ||||||
| 850 | Intuitive Surgical, Inc.a | 316,294 | ||||||
| 1,150 | Laboratory Corporation of America Holdingsa | 111,308 | ||||||
| 1,950 | Novo Nordisk A/S ADR | 244,296 | ||||||
| 2,025 | St. Jude Medical, Inc. | 96,552 | ||||||
| 2,000 | Valeant Pharmaceuticals International, Inc. | 103,920 | ||||||
| 1,975 | Vertex Pharmaceuticals, Inc.a | 102,680 | ||||||
| 1,200 | Waters Corporationa | 114,888 | ||||||
|
| |||||||
| Total Health Care | 1,748,516 | |||||||
|
| |||||||
| Industrials (7.2%) | ||||||||
| 3,525 | Dover Corporation | 238,995 | ||||||
| 2,975 | Eaton Corporation | 153,064 | ||||||
| 3,300 | Fluor Corporation | 213,378 | ||||||
| 6,525 | Komatsu, Ltd. ADR | 204,885 | ||||||
| 1,325 | Parker Hannifin Corporation | 118,906 | ||||||
| 1,375 | United Technologies Corporation | 121,701 | ||||||
|
| |||||||
| Total Industrials | 1,050,929 | |||||||
|
| |||||||
| Information Technology (38.3%) | ||||||||
| 2,825 | Accenture plc | 170,687 | ||||||
| 2,100 | Agilent Technologies, Inc.a | 107,331 | ||||||
| 3,150 | Altera Corporation | 146,002 | ||||||
| 1,795 | Apple, Inc.a | 602,528 | ||||||
| 5,200 | ARM Holdings plc ADR | 147,836 | ||||||
| 2,600 | ASML Holding NV | 96,096 | ||||||
| 4,225 | Autodesk, Inc.a | 163,085 | ||||||
| 2,570 | Baidu.com, Inc. ADRa | 360,134 | ||||||
| 4,350 | Check Point Software Technologies, Ltd.a | 247,298 | ||||||
| 5,700 | EMC Corporationa | 157,035 | ||||||
| 6,200 | Fortinet, Inc.a | 169,198 | ||||||
| 947 | Google, Inc.a | 479,542 | ||||||
| 2,000 | Informatica Corporationa | 116,860 | ||||||
| 5,325 | Intel Corporation | 118,002 | ||||||
| 1,750 | Intuit, Inc.a | 90,755 | ||||||
| 5,400 | Jabil Circuit, Inc. | 109,080 | ||||||
| 2,275 | Mercadolibre, Inc. | 180,498 | ||||||
| 2,525 | Netlogic Microsystems, Inc.a | 102,060 | ||||||
| 3,900 | NVIDIA Corporationa | 62,147 | ||||||
| 4,450 | OmniVision Technologies, Inc.a | 154,904 | ||||||
| 1,750 | Open Text Corporationa | 112,035 | ||||||
| 8,950 | Oracle Corporation | 294,544 | ||||||
| 3,025 | Polycom, Inc.a | 194,508 | ||||||
| 8,050 | QUALCOMM, Inc. | 457,159 | ||||||
| 6,200 | Riverbed Technology, Inc.a | 245,458 | ||||||
| 4,550 | Solarwinds, Inc.a | 118,937 | ||||||
| 3,000 | Taleo Corporationa | 111,090 | ||||||
| 1,850 | Teradata Corporationa | 111,370 | ||||||
| 1,750 | Veeco Instruments, Inc.a | 84,718 | ||||||
| 2,400 | VeriFone Systems, Inc.a | 106,440 | ||||||
|
| |||||||
| Total Information Technology | 5,617,337 | |||||||
|
| |||||||
| Materials (4.5%) | ||||||||
| 2,050 | Agrium, Inc. | 179,908 | ||||||
| 3,750 | Barrick Gold Corporation | 169,837 | ||||||
| 1,425 | Cliffs Natural Resources, Inc. | 131,741 | ||||||
| 1,950 | Freeport-McMoRan Copper & Gold, Inc. | 103,155 | ||||||
| 2,575 | Pan American Silver Corporation | 79,542 | ||||||
|
| |||||||
| Total Materials | 664,183 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
210
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Shares | Common Stock (98.0%) | Value | ||||||
| Telecommunications Services (0.7%) | ||||||||
| 2,175 | Tim Participacoes SA ADR | $ | 107,032 | |||||
|
| |||||||
| Total Telecommunications Services | 107,032 | |||||||
|
| |||||||
Total Common Stock (cost $11,446,680) | 14,379,282 | |||||||
|
| |||||||
Contracts | Options Purchased (0.1%) | |||||||
| Baidu.com, Inc. Put Option | ||||||||
| 23 | $120.00, expires 9/17/2011 | $ | 9,085 | |||||
| Fossil, Inc. Put Option | ||||||||
| 7 | $80.00, expires 12/17/2011 | 1,120 | ||||||
|
| |||||||
Total Options Purchased (cost $17,612) | 10,205 | |||||||
|
| |||||||
| Total Investments (cost $11,464,292) 98.1% | $ | 14,389,487 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.9% | 276,720 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 14,666,207 | ||||||
|
| |||||||
| 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 | $ | 3,050,484 | ||
Gross unrealized depreciation | (130,512 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 2,919,972 | ||
Cost for federal income tax purposes | $ | 11,469,515 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner All Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 2,339,062 | 2,339,062 | — | — | ||||||||||||
Consumer Staples | 672,086 | 672,086 | — | — | ||||||||||||
Energy | 1,633,509 | 1,633,509 | — | — | ||||||||||||
Financials | 546,628 | 546,628 | — | — | ||||||||||||
Health Care | 1,748,516 | 1,748,516 | — | — | ||||||||||||
Industrials | 1,050,929 | 1,050,929 | — | — | ||||||||||||
Information Technology | 5,617,337 | 5,617,337 | — | — | ||||||||||||
Materials | 664,183 | 664,183 | — | — | ||||||||||||
Telecommunications Services | 107,032 | 107,032 | — | — | ||||||||||||
Options Purchased | 10,205 | 10,205 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 14,389,487 | $ | 14,389,487 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 value, Net Assets - Net unrealized appreciation/(depreciation) on Investments | 10,205 | ||||
Total Equity Contracts | 10,205 | |||||
|
| |||||
Total Asset Derivatives | $ | 10,205 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
211
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (5,536 | ) | |||
Total Equity Contracts | (5,536 | ) | ||||
|
| |||||
Total | ($ | 5,536 | ) | |||
|
| |||||
The following table presents Partner All Cap Growth Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 116 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
212
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (91.6%) | Value | ||||||
| Consumer Discretionary (11.6%) | ||||||||
| 6,873 | Comcast Corporation | $ | 174,162 | |||||
| 13,890 | Ford Motor Companya | 191,543 | ||||||
| 1,460 | Lear Corporation | 78,080 | ||||||
| 1,994 | Mohawk Industries, Inc.a | 119,620 | ||||||
| 55,070 | Talbots, Inc.a | 183,934 | ||||||
| 3,675 | Viacom, Inc. | 187,425 | ||||||
|
| |||||||
| Total Consumer Discretionary | 934,764 | |||||||
|
| |||||||
| Consumer Staples (6.4%) | ||||||||
| 14,060 | Adecoagro SAa | 156,910 | ||||||
| 3,860 | Church & Dwight Company, Inc. | 156,484 | ||||||
| 3,010 | Coca-Cola Company | 202,543 | ||||||
|
| |||||||
| Total Consumer Staples | 515,937 | |||||||
|
| |||||||
| Energy (12.6%) | ||||||||
| 730 | Apache Corporation | 90,075 | ||||||
| 4,580 | Bill Barrett Corporationa | 212,283 | ||||||
| 2,670 | Chevron Corporation | 274,583 | ||||||
| 2,118 | Noble Energy, Inc. | 189,836 | ||||||
| 3,200 | Penn West Petroleum, Ltd. | 73,856 | ||||||
| 2,440 | Royal Dutch Shell plc ADR | 173,557 | ||||||
|
| |||||||
| Total Energy | 1,014,190 | |||||||
|
| |||||||
| Financials (19.3%) | ||||||||
| 4,860 | CIT Group, Inc.a | 215,104 | ||||||
| 5,758 | E*TRADE Financial Corporationa | 79,460 | ||||||
| 1,840 | Goldman Sachs Group, Inc. | 244,886 | ||||||
| 3,638 | J.P. Morgan Chase & Company | 148,940 | ||||||
| 1,940 | M&T Bank Corporation | 170,623 | ||||||
| 5,552 | MetLife, Inc. | 243,566 | ||||||
| 2,220 | PNC Financial Services Group, Inc. | 132,334 | ||||||
| 4,310 | State Street Corporation | 194,338 | ||||||
| 5,010 | U.S. Bancorp | 127,805 | ||||||
|
| |||||||
| Total Financials | 1,557,056 | |||||||
|
| |||||||
| Health Care (10.0%) | ||||||||
| 4,110 | Gilead Sciences, Inc.a | 170,195 | ||||||
| 3,930 | Humana, Inc. | 316,522 | ||||||
| 4,940 | Medtronic, Inc. | 190,338 | ||||||
| 4,570 | NPS Pharmaceuticals, Inc.a | 43,187 | ||||||
| 3,600 | Warner Chilcott plc | 86,868 | ||||||
|
| |||||||
| Total Health Care | 807,110 | |||||||
|
| |||||||
| Industrials (12.2%) | ||||||||
| 32,411 | AerCap Holdings NVa | 421,667 | ||||||
| 3,330 | General Cable Corporationa | 141,791 | ||||||
| 23,360 | Great Lakes Dredge & Dock Company | 130,349 | ||||||
| 3,380 | Ingersoll-Rand plc | 153,486 | ||||||
| 6,130 | United Continental Holdings, Inc.a | 138,722 | ||||||
|
| |||||||
| Total Industrials | 986,015 | |||||||
|
| |||||||
| Information Technology (7.2%) | ||||||||
| 8,350 | Microsoft Corporation | 217,100 | ||||||
| 4,960 | Oracle Corporation | 163,234 | ||||||
| 5,390 | Xilinx, Inc. | 196,573 | ||||||
|
| |||||||
| Total Information Technology | 576,907 | |||||||
|
| |||||||
| Materials (7.2%) | ||||||||
| 4,501 | Celanese Corporation | $ | 239,948 | |||||
| 1,190 | Mosaic Company | 80,599 | ||||||
| 3,870 | Rock-Tenn Company | 256,736 | ||||||
|
| |||||||
| Total Materials | 577,283 | |||||||
|
| |||||||
| Telecommunications Services (1.0%) | ||||||||
| 2,970 | Vodafone Group plc ADR | 79,358 | ||||||
|
| |||||||
| Total Telecommunications Services | 79,358 | |||||||
|
| |||||||
| Utilities (4.1%) | ||||||||
| 4,062 | Edison International, Inc. | 157,403 | ||||||
| 44,020 | GenOn Energy, Inc.a | 169,917 | ||||||
|
| |||||||
| Total Utilities | 327,320 | |||||||
|
| |||||||
Total Common Stock (cost $6,943,191) | 7,375,940 | |||||||
|
| |||||||
| Total Investments (cost $6,943,191) 91.6% | $ | 7,375,940 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 8.4% | 675,848 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 8,051,788 | ||||||
|
| |||||||
| 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 | $ | 755,441 | ||
Gross unrealized depreciation | (327,117 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 428,324 | ||
Cost for federal income tax purposes | $ | 6,947,616 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
213
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner All Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 934,764 | 934,764 | — | — | ||||||||||||
Consumer Staples | 515,937 | 515,937 | — | — | ||||||||||||
Energy | 1,014,190 | 1,014,190 | — | — | ||||||||||||
Financials | 1,557,056 | 1,557,056 | — | — | ||||||||||||
Health Care | 807,110 | 807,110 | — | — | ||||||||||||
Industrials | 986,015 | 986,015 | — | — | ||||||||||||
Information Technology | 576,907 | 576,907 | — | — | ||||||||||||
Materials | 577,283 | 577,283 | — | — | ||||||||||||
Telecommunications Services | 79,358 | 79,358 | — | — | ||||||||||||
Utilities | 327,320 | 327,320 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,375,940 | $ | 7,375,940 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (1 | ) | |||
Total Foreign Exchange Contracts | (1 | ) | ||||
|
| |||||
Total | ($ | 1 | ) | |||
|
| |||||
Partner All Cap Value Portfolio’s average volume of derivative activity for foreign exchange contracts during the period were <0.1% of average net assets.
The accompanying Notes to Financial Statements are an integral part of this schedule.
214
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Consumer Discretionary (10.6%) | ||||||||
| 3,420 | Amazon.com, Inc.a | $ | 699,356 | |||||
| 6,840 | Coach, Inc. | 437,281 | ||||||
| 33,950 | Comcast Corporation | 860,293 | ||||||
| 51,680 | Ford Motor Companya | 712,667 | ||||||
| 10,140 | Home Depot, Inc. | 367,271 | ||||||
| 14,850 | Marriott International, Inc. | 527,027 | ||||||
| 23,510 | MGM Resorts Internationala | 310,567 | ||||||
| 23,730 | News Corporation | 420,021 | ||||||
| 7,310 | NIKE, Inc. | 657,754 | ||||||
| 31,420 | Saks, Inc.a,b | 350,961 | ||||||
| 25,070 | Staples, Inc. | 396,106 | ||||||
| 13,570 | Target Corporation | 636,569 | ||||||
|
| |||||||
| Total Consumer Discretionary | 6,375,873 | |||||||
|
| |||||||
| Consumer Staples (10.1%) | ||||||||
| 2,500 | Archer-Daniels-Midland Company | 75,375 | ||||||
| 27,210 | ConAgra Foods, Inc. | 702,290 | ||||||
| 39,350 | CVS Caremark Corporation | 1,478,773 | ||||||
| 10,140 | Dr. Pepper Snapple Group, Inc. | 425,170 | ||||||
| 2,880 | Estee Lauder Companies, Inc. | 302,947 | ||||||
| 8,570 | Kellogg Company | 474,093 | ||||||
| 17,310 | Kroger Company | 429,288 | ||||||
| 1,550 | Mead Johnson Nutrition Company | 104,703 | ||||||
| 18,230 | Procter & Gamble Company | 1,158,881 | ||||||
| 22,390 | Walgreen Company | 950,679 | ||||||
|
| |||||||
| Total Consumer Staples | 6,102,199 | |||||||
|
| |||||||
| Energy (12.7%) | ||||||||
| 7,010 | Alpha Natural Resources, Inc.a | 318,534 | ||||||
| 12,130 | Chevron Corporation | 1,247,449 | ||||||
| 10,754 | ENSCO International plc ADR | 573,188 | ||||||
| 8,270 | Exxon Mobil Corporation | 673,013 | ||||||
| 12,030 | Forest Oil Corporationa | 321,321 | ||||||
| 12,610 | Halliburton Company | 643,110 | ||||||
| 10,510 | National Oilwell Varco, Inc. | 821,987 | ||||||
| 12,330 | Newfield Exploration Companya | 838,687 | ||||||
| 2,860 | Occidental Petroleum Corporation | 297,554 | ||||||
| 4,070 | Peabody Energy Corporation | 239,764 | ||||||
| 10,860 | Rowan Companies, Inc.a | 421,477 | ||||||
| 11,500 | Schlumberger, Ltd. | 993,600 | ||||||
| 3,690 | Transocean, Ltd. | 238,226 | ||||||
|
| |||||||
| Total Energy | 7,627,910 | |||||||
|
| |||||||
| Financials (14.9%) | ||||||||
| 28,000 | Aegon NV ADRa | 190,400 | ||||||
| 26,916 | Bank of New York Mellon Corporation | 689,588 | ||||||
| 23,420 | CB Richard Ellis Group, Inc.a | 588,076 | ||||||
| 25,210 | Charles Schwab Corporation | 414,704 | ||||||
| 35,175 | Citigroup, Inc. | 1,464,687 | ||||||
| 2,910 | CME Group, Inc. | 848,527 | ||||||
| 7,920 | Interactive Brokers Group, Inc. | 123,948 | ||||||
| 27,600 | Invesco, Ltd. | 645,840 | ||||||
| 41,350 | J.P. Morgan Chase & Company | 1,692,869 | ||||||
| 21,220 | KeyCorp | 176,763 | ||||||
| 11,730 | Lincoln National Corporation | 334,188 | ||||||
| 17,850 | Morgan Stanley | 410,729 | ||||||
| 2,940 | Public Storage, Inc. | 335,189 | ||||||
| 87,570 | Regions Financial Corporation | 542,934 | ||||||
| 26,420 | TD Ameritrade Holding Corporation | 515,454 | ||||||
|
| |||||||
| Total Financials | 8,973,896 | |||||||
|
| |||||||
| Health Care (11.7%) | ||||||||
| 6,510 | Allergan, Inc. | 541,958 | ||||||
| 12,900 | Amarin Corporation plc ADRa | 186,663 | ||||||
| 7,880 | Baxter International, Inc. | 470,357 | ||||||
| 6,500 | Biogen Idec, Inc.a | 694,980 | ||||||
| 37,800 | Boston Scientific Corporationa | 261,198 | ||||||
| 6,280 | DENTSPLY International, Inc. | 239,142 | ||||||
| 8,720 | Hospira, Inc.a | 494,075 | ||||||
| 1,930 | Johnson & Johnson | 128,384 | ||||||
| 2,360 | Medicis Pharmaceutical Corporation | 90,081 | ||||||
| 19,744 | Merck & Company, Inc. | 696,766 | ||||||
| 5,680 | Omnicare, Inc. | 181,135 | ||||||
| 7,340 | Onyx Pharmaceuticals, Inc.a | 259,102 | ||||||
| 63,745 | Pfizer, Inc. | 1,313,147 | ||||||
| 7,610 | Thermo Fisher Scientific, Inc.a | 490,008 | ||||||
| 14,110 | UnitedHealth Group, Inc. | 727,794 | ||||||
| 4,563 | Valeant Pharmaceuticals International, Inc.b | 237,093 | ||||||
|
| |||||||
| Total Health Care | 7,011,883 | |||||||
|
| |||||||
| Industrials (11.2%) | ||||||||
| 5,230 | Caterpillar, Inc. | 556,786 | ||||||
| 4,100 | CNH Global NVa | 158,465 | ||||||
| 27,620 | CSX Corporation | 724,196 | ||||||
| 6,970 | Cummins, Inc. | 721,325 | ||||||
| 17,780 | Danaher Corporation | 942,162 | ||||||
| 4,770 | Deere & Company | 393,287 | ||||||
| 3,480 | Fluor Corporation | 225,017 | ||||||
| 23,610 | General Electric Company | 445,285 | ||||||
| 2,130 | Joy Global, Inc. | 202,861 | ||||||
| 4,840 | Rockwell Automation, Inc. | 419,918 | ||||||
| 23,470 | Swift Transportation Companya,b | 318,019 | ||||||
| 5,690 | Union Pacific Corporation | 594,036 | ||||||
| 11,780 | United Technologies Corporation | 1,042,648 | ||||||
|
| |||||||
| Total Industrials | 6,744,005 | |||||||
|
| |||||||
| Information Technology (17.5%) | ||||||||
| 6,390 | Apple, Inc.a | 2,144,931 | ||||||
| 8,700 | Avago Technologies, Ltd. | 330,600 | ||||||
| 9,590 | Broadcom Corporationa | 322,607 | ||||||
| 4,400 | Check Point Software Technologies, Ltd.a | 250,140 | ||||||
| 4,640 | Cognizant Technology Solutions Corporationa | 340,298 | ||||||
| 29,270 | Dell, Inc.a | 487,931 | ||||||
| 24,190 | EMC Corporationa | 666,434 | ||||||
| 2,890 | Google, Inc.a | 1,463,438 | ||||||
| 31,450 | Microsoft Corporation | 817,700 | ||||||
| 28,690 | Oracle Corporation | 944,188 | ||||||
| 16,330 | QUALCOMM, Inc. | 927,381 | ||||||
| 8,900 | SanDisk Corporationa | 369,350 | ||||||
| 10,720 | Sapient Corporationa | 161,122 | ||||||
| 6,800 | Solarwinds, Inc.a | 177,752 | ||||||
| 7,740 | Visa, Inc. | 652,172 | ||||||
| 5,600 | VistaPrint NVa | 267,960 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
215
Table of Contents
Partner All Cap Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Information Technology (17.5%) - continued | |||||||
| 6,480 | Western Digital Corporationa | $ | 235,743 | |||||
|
| |||||||
| Total Information Technology | 10,559,747 | |||||||
|
| |||||||
| Materials (3.5%) | ||||||||
| 1,960 | CF Industries Holdings, Inc. | 277,673 | ||||||
| 4,350 | Cliffs Natural Resources, Inc. | 402,158 | ||||||
| 4,290 | Ecolab, Inc. | 241,870 | ||||||
| 5,930 | Freeport-McMoRan Copper & Gold, Inc. | 313,697 | ||||||
| 14,300 | LyondellBasell Industries NV | 550,836 | ||||||
| 2,830 | Praxair, Inc. | 306,744 | ||||||
|
| |||||||
| Total Materials | 2,092,978 | |||||||
|
| |||||||
| Telecommunications Services (3.0%) | ||||||||
| 10,320 | American Tower Corporationa | 539,736 | ||||||
| 12,672 | AT&T, Inc. | 398,028 | ||||||
| 7,879 | CenturyLink, Inc. | 318,548 | ||||||
| 12,740 | NII Holdings, Inc.a | 539,921 | ||||||
|
| |||||||
| Total Telecommunications Services |
| 1,796,233 |
| |||||
|
| |||||||
| Utilities (3.2%) | ||||||||
| 21,080 | AES Corporationa | 268,559 | ||||||
| 15,820 | American Electric Power Company, Inc. | 596,098 | ||||||
| 2,370 | American Water Works Company, Inc. | 69,796 | ||||||
| 5,540 | CMS Energy Corporation | 109,083 | ||||||
| 9,500 | PG&E Corporation | 399,285 | ||||||
| 16,650 | PPL Corporation | 463,369 | ||||||
|
| |||||||
| Total Utilities | 1,906,190 | |||||||
|
| |||||||
Total Common Stock (cost $52,043,477) | 59,190,914 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.4%) | ||||||||
| 880,875 | Thrivent Financial Securities Lending Trust | 880,875 | ||||||
|
| |||||||
| Total Collateral Held for | ||||||||
Securities Loaned (cost $880,875) | 880,875 | |||||||
|
| |||||||
| Total Investments (cost $52,924,352) 99.8% | $ | 60,071,789 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.2% | 98,793 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 60,170,582 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
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 | $ | 8,224,521 | ||
Gross unrealized depreciation | (1,507,725 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 6,716,796 | ||
Cost for federal income tax purposes | $ | 53,354,993 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
216
Table of Contents
Partner All Cap Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner All Cap Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 6,375,873 | 6,375,873 | — | — | ||||||||||||
Consumer Staples | 6,102,199 | 6,102,199 | — | — | ||||||||||||
Energy | 7,627,910 | 7,627,910 | — | — | ||||||||||||
Financials | 8,973,896 | 8,973,896 | — | — | ||||||||||||
Health Care | 7,011,883 | 7,011,883 | — | — | ||||||||||||
Industrials | 6,744,005 | 6,744,005 | — | — | ||||||||||||
Information Technology | 10,559,747 | 10,559,747 | — | — | ||||||||||||
Materials | 2,092,978 | 2,092,978 | — | — | ||||||||||||
Telecommunications Services | 1,796,233 | 1,796,233 | — | — | ||||||||||||
Utilities | 1,906,190 | 1,906,190 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 880,875 | 880,875 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 60,071,789 | $ | 60,071,789 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial | $ | 488,000 | $ | 7,429,825 | $ | 7,036,950 | 880,875 | $ | 880,875 | $ | 829 | |||||||||||||
Total Value and Income Earned | 488,000 | 880,875 | 829 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
217
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (97.3%) | Value | ||||||
| Consumer Discretionary (13.1%) | ||||||||
| 50,900 | Amazon.com, Inc.a | $ | 10,408,541 | |||||
| 165,036 | Carnival Corporation | 6,210,305 | ||||||
| 147,500 | Darden Restaurants, Inc. | 7,339,600 | ||||||
| 171,660 | Discovery Communications, Inc.a | 7,031,193 | ||||||
| 869,600 | Ford Motor Companya | 11,991,784 | ||||||
| 138,300 | Phillips-Van Heusen Corporation | 9,054,501 | ||||||
|
| |||||||
| Total Consumer Discretionary | 52,035,924 | |||||||
|
| |||||||
| Consumer Staples (3.8%) | ||||||||
| 177,106 | Anheuser-Busch InBev NV ADR | 10,273,919 | ||||||
| 73,450 | Philip Morris International, Inc. | 4,904,257 | ||||||
|
| |||||||
| Total Consumer Staples | 15,178,176 | |||||||
|
| |||||||
| Energy (13.0%) | ||||||||
| 81,873 | Apache Corporation | 10,102,310 | ||||||
| 101,634 | Baker Hughes, Inc. | 7,374,563 | ||||||
| 129,908 | ENSCO International plc ADR | 6,924,096 | ||||||
| 185,746 | Peabody Energy Corporation | 10,942,297 | ||||||
| 64,837 | Schlumberger, Ltd. | 5,601,917 | ||||||
| 574,200 | Weatherford International, Ltd.a | 10,766,250 | ||||||
|
| |||||||
| Total Energy | 51,711,433 | |||||||
|
| |||||||
| Financials (5.7%) | ||||||||
| 42,650 | BlackRock, Inc. | 8,180,696 | ||||||
| 354,502 | J.P. Morgan Chase & Company | 14,513,312 | ||||||
|
| |||||||
| Total Financials | 22,694,008 | |||||||
|
| |||||||
| Health Care (10.7%) | ||||||||
| 38,915 | Celgene Corporationa | 2,347,353 | ||||||
| 159,000 | McKesson Corporation | 13,300,350 | ||||||
| 529,537 | Mylan, Inc.a | 13,063,678 | ||||||
| 214,083 | Thermo Fisher Scientific, Inc.a | 13,784,804 | ||||||
|
| |||||||
| Total Health Care | 42,496,185 | |||||||
|
| |||||||
| Industrials (7.2%) | ||||||||
| 125,600 | Boeing Company | 9,285,608 | ||||||
| 69,550 | Caterpillar, Inc. | 7,404,293 | ||||||
| 215,350 | Emerson Electric Company | 12,113,438 | ||||||
|
| |||||||
| Total Industrials | 28,803,339 | |||||||
|
| |||||||
| Information Technology (35.5%) | ||||||||
| 133,128 | Akamai Technologies, Inc.a | 4,189,538 | ||||||
| 99,016 | Apple, Inc.a | 33,236,701 | ||||||
| 209,271 | Broadcom Corporationa | 7,039,876 | ||||||
| 76,772 | Cognizant Technology Solutions Corporationa | 5,630,458 | ||||||
| 393,950 | EMC Corporationa | 10,853,323 | ||||||
| 76,806 | F5 Networks, Inc.a | 8,467,862 | ||||||
| 37,703 | Google, Inc.a | 19,092,045 | ||||||
| 245,359 | NXP Semiconductors NVa | 6,558,446 | ||||||
| 492,450 | Oracle Corporation | 16,206,529 | ||||||
| 226,300 | QUALCOMM, Inc. | 12,851,577 | ||||||
| 40,212 | Salesforce.com, Inc.a | 5,990,784 | ||||||
| 111,300 | VMware, Inc.a | 11,155,599 | ||||||
|
| |||||||
| Total Information Technology | 141,272,738 | |||||||
|
| |||||||
| Materials (4.8%) | ||||||||
| 52,399 | CF Industries Holdings, Inc. | 7,423,366 | ||||||
| 222,950 | Freeport-McMoRan Copper & Gold, Inc. | 11,794,055 | ||||||
|
| |||||||
| Total Materials | 19,217,421 | |||||||
|
| |||||||
| Telecommunications Services (3.5%) | ||||||||
| 324,700 | NII Holdings, Inc.a | 13,760,786 | ||||||
|
| |||||||
| Total Telecommunications Services | 13,760,786 | |||||||
|
| |||||||
Total Common Stock (cost $350,468,641) | 387,170,010 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (1.7%)b | |||||||
Barton Capital LLC | ||||||||
| 6,900,000 | 0.070%, 7/1/2011c | 6,900,000 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 6,900,000 | |||||||
|
| |||||||
Total Investments (cost $357,368,641) 99.0% | $ | 394,070,010 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 1.0% | 3,982,922 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 398,052,932 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| c | 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 | $ | 45,112,862 | ||
Gross unrealized depreciation | (8,441,776 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 36,671,086 | ||
Cost for federal income tax purposes | $ | 357,398,924 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
218
Table of Contents
Large Cap Growth Portfolio II
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Large Cap Growth Portfolio II’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 52,035,924 | 52,035,924 | — | — | ||||||||||||
Consumer Staples | 15,178,176 | 15,178,176 | — | — | ||||||||||||
Energy | 51,711,433 | 51,711,433 | — | — | ||||||||||||
Financials | 22,694,008 | 22,694,008 | — | — | ||||||||||||
Health Care | 42,496,185 | 42,496,185 | — | — | ||||||||||||
Industrials | 28,803,339 | 28,803,339 | — | — | ||||||||||||
Information Technology | 141,272,738 | 141,272,738 | — | — | ||||||||||||
Materials | 19,217,421 | 19,217,421 | — | — | ||||||||||||
Telecommunications Services | 13,760,786 | 13,760,786 | — | — | ||||||||||||
Short-Term Investments | 6,900,000 | — | 6,900,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 394,070,010 | $ | 387,170,010 | $ | 6,900,000 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial | $ | 21,183,150 | $ | 62,700,350 | $ | 83,883,500 | — | $ | — | $ | 38,446 | |||||||||||||
Total Value and Income Earned | 21,183,150 | — | 38,446 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
219
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.3%) | Value | ||||||
| Consumer Discretionary (16.8%) | ||||||||
| 119,800 | Amazon.com, Inc.a | $ | 24,497,902 | |||||
| 148,000 | Best Buy Company, Inc.b | 4,648,680 | ||||||
| 264,568 | Carnival Corporation | 9,955,694 | ||||||
| 190,400 | Comcast Corporation | 4,824,736 | ||||||
| 209,900 | Darden Restaurants, Inc. | 10,444,624 | ||||||
| 69,100 | DIRECTVa | 3,511,662 | ||||||
| 206,721 | Discovery Communications, Inc.a | 8,467,292 | ||||||
| 1,321,000 | Ford Motor Companya | 18,216,590 | ||||||
| 104,900 | Harley-Davidson, Inc. | 4,297,753 | ||||||
| 653,200 | Interpublic Group of Companies, Inc. | 8,165,000 | ||||||
| 115,100 | Johnson Controls, Inc. | 4,795,066 | ||||||
| 129,200 | Las Vegas Sands Corporationa | 5,453,532 | ||||||
| 160,400 | Macy’s, Inc. | 4,690,096 | ||||||
| 81,000 | NIKE, Inc.c | 7,288,380 | ||||||
| 134,200 | Nordstrom, Inc. | 6,299,348 | ||||||
| 191,750 | OfficeMax, Inc.a,b | 1,505,238 | ||||||
| 147,700 | Phillips-Van Heusen Corporation | 9,669,919 | ||||||
| 15,100 | Priceline.com, Inc.a | 7,730,143 | ||||||
| 85,700 | Starwood Hotels & Resorts Worldwide, Inc. | 4,802,628 | ||||||
| 244,700 | Walt Disney Company | 9,553,088 | ||||||
|
| |||||||
| Total Consumer Discretionary | 158,817,371 | |||||||
|
| |||||||
| Consumer Staples (2.4%) | ||||||||
| 210,381 | Anheuser-Busch InBev NV ADRb | 12,204,202 | ||||||
| 146,200 | PepsiCo, Inc. | 10,296,866 | ||||||
|
| |||||||
| Total Consumer Staples | 22,501,068 | |||||||
|
| |||||||
| Energy (11.5%) | ||||||||
| 124,708 | Apache Corporation | 15,387,720 | ||||||
| 205,300 | Arch Coal, Inc. | 5,473,298 | ||||||
| 170,131 | �� | Baker Hughes, Inc. | 12,344,705 | |||||
| 213,146 | ENSCO International plc ADR | 11,360,682 | ||||||
| 66,001 | Forest Oil Corporationa | 1,762,887 | ||||||
| 112,650 | Occidental Petroleum Corporation | 11,720,106 | ||||||
| 184,451 | Peabody Energy Corporation | 10,866,008 | ||||||
| 183,700 | Petrohawk Energy Corporationa | 4,531,879 | ||||||
| 59,700 | Pioneer Natural Resources Company | 5,347,329 | ||||||
| 187,300 | Schlumberger, Ltd. | 16,182,720 | ||||||
| 737,800 | Weatherford International, Ltd.a | 13,833,750 | ||||||
|
| |||||||
| Total Energy | 108,811,084 | |||||||
|
| |||||||
| Financials (6.0%) | ||||||||
| 83,300 | American Express Company | 4,306,610 | ||||||
| 55,900 | BlackRock, Inc. | 10,722,179 | ||||||
| 154,735 | Citigroup, Inc. | 6,443,165 | ||||||
| 265,200 | E*TRADE Financial Corporationa | 3,659,760 | ||||||
| 52,281 | IntercontinentalExchange, Inc.a | 6,519,964 | ||||||
| 307,971 | J.P. Morgan Chase & Company | 12,608,333 | ||||||
| 178,943 | Jefferies Group, Inc. | 3,650,437 | ||||||
| 187,400 | Lincoln National Corporation | 5,339,026 | ||||||
| 56,600 | T. Rowe Price Group, Inc. | 3,415,244 | ||||||
|
| |||||||
| Total Financials | 56,664,718 | |||||||
|
| |||||||
| Health Care (10.4%) | ||||||||
| 77,850 | Allergan, Inc. | 6,481,013 | ||||||
| 76,400 | Amgen, Inc.a | 4,457,940 | ||||||
| 722,219 | Boston Scientific Corporationa | 4,990,533 | ||||||
| 108,300 | Celgene Corporationa | 6,532,656 | ||||||
| 118,300 | Dendreon Corporationa,c | 4,665,752 | ||||||
| 146,650 | Express Scripts, Inc.a | 7,916,167 | ||||||
| 161,700 | McKesson Corporation | 13,526,205 | ||||||
| 458,150 | Mylan, Inc.a | 11,302,560 | ||||||
| 46,900 | Stryker Corporation | 2,752,561 | ||||||
| 280,858 | Thermo Fisher Scientific, Inc.a | 18,084,447 | ||||||
| 131,000 | UnitedHealth Group, Inc. | 6,756,980 | ||||||
| 62,200 | Varian Medical Systems, Inc.a | 4,355,244 | ||||||
| 56,900 | Watson Pharmaceuticals, Inc.a | 3,910,737 | ||||||
| 29,000 | WellPoint, Inc. | 2,284,330 | ||||||
|
| |||||||
| Total Health Care | 98,017,125 | |||||||
|
| |||||||
| Industrials (10.7%) | ||||||||
| 174,700 | Boeing Company | 12,915,571 | ||||||
| 141,700 | Caterpillar, Inc. | 15,085,382 | ||||||
| 205,200 | CSX Corporation | 5,380,344 | ||||||
| 72,800 | Cummins, Inc. | 7,534,072 | ||||||
| 108,600 | Danaher Corporation | 5,754,714 | ||||||
| 245,900 | Emerson Electric Company | 13,831,875 | ||||||
| 25,800 | FedEx Corporation | 2,447,130 | ||||||
| 94,549 | Fluor Corporation | 6,113,538 | ||||||
| 147,600 | General Electric Company | 2,783,736 | ||||||
| 7,350 | Joy Global, Inc. | 700,014 | ||||||
| 50,541 | Kansas City Southern, Inc.a | 2,998,597 | ||||||
| 116,400 | KBR, Inc. | 4,387,116 | ||||||
| 46,400 | Precision Castparts Corporation | 7,639,760 | ||||||
| 25,628 | Siemens AG ADRb | 3,524,619 | ||||||
| 70,371 | United Continental Holdings, Inc.a | 1,592,496 | ||||||
| 96,200 | United Technologies Corporation | 8,514,662 | ||||||
|
| |||||||
| Total Industrials | 101,203,626 | |||||||
|
| |||||||
| Information Technology (34.3%) | ||||||||
| 66,432 | Accenture plc | 4,013,821 | ||||||
| 225,750 | Akamai Technologies, Inc.a | 7,104,352 | ||||||
| 46,000 | Amdocs, Ltd.a | 1,397,940 | ||||||
| 37,000 | Analog Devices, Inc. | 1,448,180 | ||||||
| 209,000 | Apple, Inc.a | 70,155,030 | ||||||
| 41,300 | Baidu.com, Inc. ADRa | 5,787,369 | ||||||
| 398,500 | Broadcom Corporationa | 13,405,540 | ||||||
| 150,902 | Cognizant Technology Solutions Corporationa | 11,067,153 | ||||||
| 183,200 | eBay, Inc.a | 5,911,864 | ||||||
| 51,200 | Electronic Arts, Inc.a | 1,208,320 | ||||||
| 908,500 | EMC Corporationa | 25,029,175 | ||||||
| 141,205 | F5 Networks, Inc.a | 15,567,851 | ||||||
| 70,552 | Google, Inc.a | 35,726,122 | ||||||
| 252,900 | Micron Technology, Inc.a | 1,891,692 | ||||||
| 300,500 | Microsoft Corporation | 7,813,000 | ||||||
| 54,200 | NetApp, Inc.a | 2,860,676 | ||||||
| 343,800 | NXP Semiconductors NVa | 9,189,774 | ||||||
| 1,055,750 | Oracle Corporation | 34,744,733 | ||||||
| 499,200 | QUALCOMM, Inc. | 28,349,568 | ||||||
| 86,316 | Salesforce.com, Inc.a | 12,859,358 | ||||||
| 245,300 | Symantec Corporationa | 4,837,316 | ||||||
| 208,200 | VMware, Inc.a | 20,867,886 | ||||||
| 93,200 | Western Digital Corporationa | 3,390,616 | ||||||
|
| |||||||
| Total Information Technology | 324,627,336 | |||||||
|
| |||||||
| Materials (4.8%) | ||||||||
| 209,900 | Alcoa, Inc. | 3,329,014 | ||||||
| 76,636 | CF Industries Holdings, Inc. | 10,857,022 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
220
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.3%) | Value | ||||||
| Materials (4.8%) - continued | ||||||||
| 16,700 | Cliffs Natural Resources, Inc. | $ | 1,543,915 | |||||
| 370,100 | Freeport-McMoRan Copper & Gold, Inc. | 19,578,290 | ||||||
| 114,800 | Monsanto Company | 8,327,592 | ||||||
| 36,200 | Potash Corporation of Saskatchewan, Inc. | 2,063,038 | ||||||
|
| |||||||
| Total Materials | 45,698,871 | |||||||
|
| |||||||
| Telecommunications Services (2.4%) | ||||||||
| 123,800 | Crown Castle International Corporationa | 5,049,802 | ||||||
| 417,700 | NII Holdings, Inc.a | 17,702,126 | ||||||
|
| |||||||
| Total Telecommunications Services | 22,751,928 | |||||||
|
| |||||||
Total Common Stock (cost $825,300,544) | 939,093,127 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (1.5%) | Value | ||||||
| 14,440,500 | Thrivent Financial Securities Lending Trust | 14,440,500 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $14,440,500) | 14,440,500 | |||||||
|
| |||||||
| Total Investments (cost $839,741,044) 100.8% | $ | 953,533,627 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.8%) | (8,015,175 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 945,518,452 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | All or a portion of the security was earmarked to cover written options. |
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 | $ | 125,082,045 | ||
Gross unrealized depreciation | (14,634,553 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 110,447,492 | ||
Cost for federal income tax purposes | $ | 843,086,135 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
221
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Large Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 158,817,371 | 158,817,371 | — | — | ||||||||||||
Consumer Staples | 22,501,068 | 22,501,068 | — | — | ||||||||||||
Energy | 108,811,084 | 108,811,084 | — | — | ||||||||||||
Financials | 56,664,718 | 56,664,718 | — | — | ||||||||||||
Health Care | 98,017,125 | 98,017,125 | — | — | ||||||||||||
Industrials | 101,203,626 | 101,203,626 | — | — | ||||||||||||
Information Technology | 324,627,336 | 324,627,336 | — | — | ||||||||||||
Materials | 45,698,871 | 45,698,871 | — | — | ||||||||||||
Telecommunications Services | 22,751,928 | 22,751,928 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 14,440,500 | 14,440,500 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 953,533,627 | $ | 953,533,627 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Call Options Written | 115,413 | 115,413 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 115,413 | $ | 115,413 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Number of | Exercise | Expiration | Unrealized | |||||||||||||||||
Call Options Written | Contracts | Price | Date | Value | Gain/(Loss) | |||||||||||||||
Dendreon Corp Call Option | 187 | $ | 41.00 | July 2011 | ($ | 19,635 | ) | ($ | 592 | ) | ||||||||||
NIKE, Inc. Call Option | 320 | 85.00 | July 2011 | (163,520 | ) | (114,821 | ) | |||||||||||||
Total Call Options Written | ($ | 183,155 | ) | ($ | 115,413 | ) | ||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 115,413 | ||||
Total Equity Contracts | 115,413 | |||||
|
| |||||
Total Liability Derivatives | $ | 115,413 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | 260,570 | ||||
Total Equity Contracts | 260,570 | |||||
|
| |||||
Total | $ | 260,570 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
222
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (115,413 | ) | |||
| Total Equity Contracts | (115,413 | ) | ||||
|
| |||||
| Total | ($ | 115,413 | ) | |||
|
| |||||
The following table presents Large Cap Growth Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Options (Contracts) | |
Equity Contracts | 81 |
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 26,672,700 | $ | 151,159,751 | $ | 163,391,951 | 14,440,500 | $ | 14,440,500 | $ | 44,896 | |||||||||||||
Total Value and Income Earned | 26,672,700 | 14,440,500 | 44,896 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
223
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.6%) | Value | ||||||
| Consumer Discretionary (17.6%) | ||||||||
| 11,100 | Amazon.com, Inc.a | $ | 2,269,839 | |||||
| 500 | AutoZone, Inc.a | 147,425 | ||||||
| 13,200 | CarMax, Inc.a | 436,524 | ||||||
| 8,400 | Carnival plc | 325,468 | ||||||
| 1,300 | Chipotle Mexican Grill, Inc.a | 400,647 | ||||||
| 7,100 | Coach, Inc. | 453,903 | ||||||
| 8,000 | Ctrip.com International, Ltd. ADRa | 344,640 | ||||||
| 3,800 | Discovery Communications, Inc.a | 155,648 | ||||||
| 2,500 | Fossil, Inc.a | 294,300 | ||||||
| 6,900 | General Motors Corporationa | 209,484 | ||||||
| 6,000 | Johnson Controls, Inc. | 249,960 | ||||||
| 7,500 | Las Vegas Sands Corporationa | 316,575 | ||||||
| 14,100 | Liberty Media Corporation - Interactivea | 236,457 | ||||||
| 16,133 | Marriott International, Inc. | 572,560 | ||||||
| 5,600 | MGM Resorts Internationala | 73,976 | ||||||
| 100 | Netflix, Inc.a | 26,269 | ||||||
| 7,600 | NIKE, Inc. | 683,848 | ||||||
| 2,800 | O’Reilly Automotive, Inc.a | 183,428 | ||||||
| 1,500 | Polo Ralph Lauren Corporation | 198,915 | ||||||
| 30,500 | Prada Holding SPAa | 184,018 | ||||||
| 1,300 | Priceline.com, Inc.a | 665,509 | ||||||
| 3,200 | Ross Stores, Inc. | 256,384 | ||||||
| 6,400 | Royal Caribbean Cruises, Ltd.a | 240,896 | ||||||
| 16,100 | Starbucks Corporation | 635,789 | ||||||
| 8,000 | Starwood Hotels & Resorts Worldwide, Inc. | 448,320 | ||||||
| 12,300 | Walt Disney Company | 480,192 | ||||||
|
| |||||||
| Total Consumer Discretionary | 10,490,974 | |||||||
|
| |||||||
| Consumer Staples (2.1%) | ||||||||
| 5,700 | Costco Wholesale Corporation | 463,068 | ||||||
| 4,600 | Green Mountain Coffee Roasters, Inc.a | 410,596 | ||||||
| 2,200 | Hansen Natural Corporationa | 178,090 | ||||||
| 3,000 | Whole Foods Market, Inc. | 190,350 | ||||||
|
| |||||||
| Total Consumer Staples | 1,242,104 | |||||||
|
| |||||||
| Energy (8.1%) | ||||||||
| 3,100 | Alpha Natural Resources, Inc.a | 140,864 | ||||||
| 8,400 | Cameron International Corporationa | 422,436 | ||||||
| 1,900 | Cimarex Energy Company | 170,848 | ||||||
| 5,100 | Continental Resources, Inc.a | 331,041 | ||||||
| 5,600 | EOG Resources, Inc. | 585,480 | ||||||
| 12,400 | FMC Technologies, Inc.a | 555,396 | ||||||
| 6,400 | Occidental Petroleum Corporation | 665,856 | ||||||
| 6,400 | Peabody Energy Corporation | 377,024 | ||||||
| 11,500 | Schlumberger, Ltd. | 993,600 | ||||||
| 15,300 | Suncor Energy, Inc. | 598,230 | ||||||
|
| |||||||
| Total Energy | 4,840,775 | |||||||
|
| |||||||
| Financials (6.7%) | ||||||||
| 17,100 | American Express Company | 884,070 | ||||||
| 11,500 | CB Richard Ellis Group, Inc.a | 288,765 | ||||||
| 7,200 | Franklin Resources, Inc. | 945,288 | ||||||
| 3,900 | IntercontinentalExchange, Inc.a | 486,369 | ||||||
| 20,400 | Invesco, Ltd. | 477,360 | ||||||
| 10,600 | J.P. Morgan Chase & Company | 433,964 | ||||||
| 5,500 | Northern Trust Corporation | 252,780 | ||||||
| 8,500 | U.S. Bancorp | 216,835 | ||||||
|
| |||||||
| Total Financials | 3,985,431 | |||||||
|
| |||||||
| Health Care (6.8%) | ||||||||
| 2,000 | Alexion Pharmaceuticals, Inc.a | 94,060 | ||||||
| 3,600 | Allergan, Inc. | 299,700 | ||||||
| 4,700 | AmerisourceBergen Corporation | 194,580 | ||||||
| 600 | Biogen Idec, Inc.a | 64,152 | ||||||
| 4,000 | Celgene Corporationa | 241,280 | ||||||
| 1,600 | Covidien plc | 85,168 | ||||||
| 1,900 | Dendreon Corporationa | 74,936 | ||||||
| 3,900 | Edwards Lifesciences Corporationa | 340,002 | ||||||
| 14,300 | Express Scripts, Inc.a | 771,914 | ||||||
| 11,400 | Human Genome Sciences, Inc.a | 279,756 | ||||||
| 2,600 | Illumina, Inc.a | 195,390 | ||||||
| 9,100 | McKesson Corporation | 761,215 | ||||||
| 6,500 | Stryker Corporation | 381,485 | ||||||
| 4,700 | Valeant Pharmaceuticals International, Inc. | 244,212 | ||||||
|
| |||||||
| Total Health Care | 4,027,850 | |||||||
|
| |||||||
| Industrials (17.1%) | ||||||||
| 5,200 | 3M Company | 493,220 | ||||||
| 5,700 | Babcock & Wilcox Companya | 157,947 | ||||||
| 6,800 | Boeing Company | 502,724 | ||||||
| 2,400 | Caterpillar, Inc. | 255,504 | ||||||
| 4,000 | Cooper Industries plc | 238,680 | ||||||
| 2,600 | Cummins, Inc. | 269,074 | ||||||
| 34,700 | Danaher Corporation | 1,838,753 | ||||||
| 3,400 | Deere & Company | 280,330 | ||||||
| 5,400 | Emerson Electric Company | 303,750 | ||||||
| 7,500 | Expeditors International of Washington, Inc. | 383,925 | ||||||
| 19,800 | Fastenal Companyb | 712,602 | ||||||
| 11,000 | FedEx Corporation | 1,043,350 | ||||||
| 2,800 | Fluor Corporation | 181,048 | ||||||
| 3,400 | Joy Global, Inc. | 323,816 | ||||||
| 10,600 | McDermott International, Inc.a | 209,986 | ||||||
| 7,000 | PACCAR, Inc. | 357,630 | ||||||
| 4,900 | Precision Castparts Corporation | 806,785 | ||||||
| 3,200 | Roper Industries, Inc. | 266,560 | ||||||
| 6,800 | Textron, Inc. | 160,548 | ||||||
| 6,500 | Union Pacific Corporation | 678,600 | ||||||
| 7,000 | United Parcel Service, Inc. | 510,510 | ||||||
| 1,400 | W.W. Grainger, Inc. | 215,110 | ||||||
|
| |||||||
| Total Industrials | 10,190,452 | |||||||
|
| |||||||
| Information Technology (31.9%) | ||||||||
| 11,700 | Accenture plc | 706,914 | ||||||
| 12,800 | Apple, Inc.a | 4,296,576 | ||||||
| 3,000 | Autodesk, Inc.a | 115,800 | ||||||
| 10,500 | Baidu.com, Inc. ADRa | 1,471,365 | ||||||
| 12,900 | Broadcom Corporationa | 433,956 | ||||||
| 45,600 | Corning, Inc. | 827,640 | ||||||
| 9,000 | Dolby Laboratories, Inc.a | 382,140 | ||||||
| 18,700 | eBay, Inc.a | 603,449 | ||||||
| 8,700 | EMC Corporationa | 239,685 | ||||||
| 9,948 | Facebook, Inc.a,c,d | 281,979 | ||||||
| 3,850 | Google, Inc.a | 1,949,563 | ||||||
| 18,100 | Juniper Networks, Inc.a | 570,150 | ||||||
| 6,988 | Mail.ru Group, Ltd. GDRa,d | 216,891 | ||||||
| 3,850 | MasterCard, Inc. | 1,160,159 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
224
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.6%) | Value | ||||||
| Information Technology (31.9%) - continued | ||||||||
| 6,400 | NetApp, Inc.a | $ | 337,792 | |||||
| 8,700 | Nuance Communications, Inc.a | 186,789 | ||||||
| 7,600 | NXP Semiconductors NVa | 203,148 | ||||||
| 29,500 | QUALCOMM, Inc. | 1,675,305 | ||||||
| 4,600 | Red Hat, Inc.a | 211,140 | ||||||
| 6,800 | Rovi Corporationa | 390,048 | ||||||
| 1,900 | Salesforce.com, Inc.a | 283,062 | ||||||
| 202 | Samsung Electronics Company, Ltd. | 157,000 | ||||||
| 4,700 | SanDisk Corporationa | 195,050 | ||||||
| 22,000 | Tencent Holdings, Ltd. | 600,432 | ||||||
| 5,900 | Trimble Navigation, Ltd.a | 233,876 | ||||||
| 6,200 | VeriFone Systems, Inc.a | 274,970 | ||||||
| 7,100 | Visa, Inc. | 598,246 | ||||||
| 18,700 | Western Union Company | 374,561 | ||||||
| 500 | Yandex NVa | 17,755 | ||||||
|
| |||||||
| Total Information Technology | 18,995,441 | |||||||
|
| |||||||
| Materials (5.5%) | ||||||||
| 2,800 | Agnico-Eagle Mines, Ltd. | 176,764 | ||||||
| 2,800 | Air Products and Chemicals, Inc. | 267,624 | ||||||
| 12,684 | BHP Billiton, Ltd. | 599,429 | ||||||
| 6,100 | Freeport-McMoRan Copper & Gold, Inc. | 322,690 | ||||||
| 6,200 | Potash Corporation of Saskatchewan, Inc. | 353,338 | ||||||
| 13,000 | Praxair, Inc. | 1,409,070 | ||||||
| 1,400 | Walter Energy, Inc. | 162,120 | ||||||
|
| |||||||
| Total Materials | 3,291,035 | |||||||
|
| |||||||
| Telecommunications Services (3.8%) | ||||||||
| 20,500 | American Tower Corporationa | 1,072,150 | ||||||
| 28,200 | Crown Castle International Corporationa | 1,150,278 | ||||||
|
| |||||||
| Total Telecommunications Services | 2,222,428 | |||||||
|
| |||||||
Total Common Stock (cost $39,028,317) | 59,286,490 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (1.2%) | Value | ||||||
| 727,650 | Thrivent Financial Securities Lending Trust | 727,650 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $727,650) | 727,650 | |||||||
|
| |||||||
| Total Investments (cost $39,755,967) 100.8% | $ | 60,014,140 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.8%) | (501,748 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 59,512,392 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | Security is fair valued. |
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Growth Stock Portfolio owned as of June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Facebook, Inc. | 3/31/2011 | $ | 248,758 | |||||
Mail.ru Group, Ltd. GDR | 11/5/2010 | $ | 238,419 | |||||
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 | $ | 20,700,104 | ||||
Gross unrealized depreciation | (593,299 | ) | ||||
|
| |||||
Net unrealized appreciation (depreciation) | $ | 20,106,805 | ||||
Cost for federal income tax purposes | $ | 39,907,335 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
225
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Growth Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 10,490,974 | 9,981,488 | 509,486 | — | ||||||||||||
Consumer Staples | 1,242,104 | 1,242,104 | — | — | ||||||||||||
Energy | 4,840,775 | 4,840,775 | — | — | ||||||||||||
Financials | 3,985,431 | 3,985,431 | — | — | ||||||||||||
Health Care | 4,027,850 | 4,027,850 | — | — | ||||||||||||
Industrials | 10,190,452 | 10,190,452 | — | — | ||||||||||||
Information Technology | 18,995,441 | 17,956,030 | 757,432 | 281,979 | ||||||||||||
Materials | 3,291,035 | 2,691,606 | 599,429 | — | ||||||||||||
Telecommunications Services | 2,222,428 | 2,222,428 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 727,650 | 727,650 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 60,014,140 | $ | 57,865,814 | $ | 1,866,347 | $ | 281,979 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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.
Investments in Securities | Value December 31, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Common Stock Information Technology | 14,400 | — | 8,373 | 476,097 | — | — | (216,891 | ) | 281,979 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 14,400 | $ | — | $ | 8,373 | $ | 476,097 | $ | — | $ | — | ($ | 216,891 | ) | $ | 281,979 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $33,221. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | 1,452 | ||||
Total Foreign Exchange Contracts | 1,452 | |||||
|
| |||||
Total | $ | 1,452 | ||||
|
| |||||
The following table presents Partner Growth Stock Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 2,512 | <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.
226
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 669,650 | $ | 4,044,700 | $ | 3,986,700 | 727,650 | $ | 727,650 | $ | 610 | |||||||||||||
Total Value and Income Earned | 669,650 | 727,650 | 610 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
227
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (99.5%) | Value | ||||||
| Consumer Discretionary (8.7%) | ||||||||
| 107,987 | Carnival Corporation | $ | 4,063,551 | |||||
| 144,710 | CBS Corporation | 4,122,788 | ||||||
| 344,770 | Lowe’s Companies, Inc. | 8,036,589 | ||||||
| 366,634 | Macy’s, Inc. | 10,720,378 | ||||||
| 95,490 | Omnicom Group, Inc. | 4,598,798 | ||||||
| 405,610 | Staples, Inc. | 6,408,638 | ||||||
| 201,850 | Time Warner Cable, Inc. | 15,752,374 | ||||||
| 178,050 | Viacom, Inc. | 9,080,550 | ||||||
| 234,245 | Walt Disney Company | 9,144,925 | ||||||
|
| |||||||
| Total Consumer Discretionary | 71,928,591 | |||||||
|
| |||||||
| Consumer Staples (9.6%) | ||||||||
| 326,450 | Altria Group, Inc. | 8,621,544 | ||||||
| 107,480 | Diageo plc ADR | 8,799,388 | ||||||
| 533,572 | Kraft Foods, Inc. | 18,797,742 | ||||||
| 253,729 | Philip Morris International, Inc. | 16,941,485 | ||||||
| 113,980 | Unilever NV ADRa | 3,744,243 | ||||||
| 531,522 | Walgreen Company | 22,568,424 | ||||||
|
| |||||||
| Total Consumer Staples | 79,472,826 | |||||||
|
| |||||||
| Energy (13.7%) | ||||||||
| 123,878 | Apache Corporation | 15,285,306 | ||||||
| 245,750 | Baker Hughes, Inc. | 17,831,620 | ||||||
| 125,980 | BP plc ADR | 5,579,654 | ||||||
| 258,095 | Chevron Corporation | 26,542,490 | ||||||
| 310,532 | ConocoPhillips | 23,348,901 | ||||||
| 228,190 | ENSCO International plc ADR | 12,162,527 | ||||||
| 54,070 | Exxon Mobil Corporation | 4,400,217 | ||||||
| 78,320 | Occidental Petroleum Corporation | 8,148,413 | ||||||
|
| |||||||
| Total Energy | 113,299,128 | |||||||
|
| |||||||
| Financials (22.4%) | ||||||||
| 246,910 | ACE, Ltd. | 16,251,616 | ||||||
| 112,142 | Allstate Corporation | 3,423,695 | ||||||
| 160,510 | Aon Corporation | 8,234,163 | ||||||
| 862,297 | Bank of America Corporation | 9,450,775 | ||||||
| 173,880 | Capital One Financial Corporation | 8,984,380 | ||||||
| 166,409 | Citigroup, Inc. | 6,929,271 | ||||||
| 71,790 | Goldman Sachs Group, Inc. | 9,554,531 | ||||||
| 758,316 | J.P. Morgan Chase & Company | 31,045,457 | ||||||
| 628,070 | KKR & Company, LP | 10,250,102 | ||||||
| 182,350 | MetLife, Inc. | 7,999,695 | ||||||
| 399,000 | Principal Financial Group, Inc. | 12,137,580 | ||||||
| 222,080 | State Street Corporation | 10,013,587 | ||||||
| 110,319 | SVB Financial Groupa,b | 6,587,148 | ||||||
| 108,313 | Travelers Companies, Inc. | 6,323,313 | ||||||
| 657,080 | Unum Group | 16,742,398 | ||||||
| 97,290 | Vanguard REIT ETFa | 5,847,129 | ||||||
| 545,950 | Wells Fargo & Company | 15,319,357 | ||||||
|
| |||||||
| Total Financials | 185,094,197 | |||||||
|
| |||||||
| Health Care (11.6%) | ||||||||
| 157,980 | Baxter International, Inc. | 9,429,826 | ||||||
| 75,400 | C.R. Bard, Inc. | 8,283,444 | ||||||
| 272,590 | Covidien plc | 14,509,966 | ||||||
| 257,200 | HCA Holdings, Inc.b | 8,487,600 | ||||||
| 123,845 | Johnson & Johnson | 8,238,169 | ||||||
| 1,187,695 | Pfizer, Inc. | 24,466,517 | ||||||
| 263,287 | UnitedHealth Group, Inc. | 13,580,344 | ||||||
| 142,220 | Zimmer Holdings, Inc.b | 8,988,304 | ||||||
|
| |||||||
| Total Health Care | 95,984,170 | |||||||
|
| |||||||
| Industrials (12.9%) | ||||||||
| 105,740 | Boeing Company | 7,817,358 | ||||||
| 84,420 | Caterpillar, Inc. | 8,987,353 | ||||||
| 1,181,040 | General Electric Company | 22,274,414 | ||||||
| 216,860 | Harsco Corporation | 7,069,636 | ||||||
| 175,510 | Honeywell International, Inc. | 10,458,641 | ||||||
| 90,380 | Parker Hannifin Corporation | 8,110,701 | ||||||
| 103,590 | SPX Corporation | 8,562,750 | ||||||
| 338,210 | Textron, Inc.a | 7,985,138 | ||||||
| 165,314 | United Technologies Corporation | 14,631,942 | ||||||
| 197,910 | WESCO International, Inc.b | 10,704,952 | ||||||
|
| |||||||
| Total Industrials | 106,602,885 | |||||||
|
| |||||||
| Information Technology (7.9%) | ||||||||
| 150,417 | Avnet, Inc.b | 4,795,294 | ||||||
| 602,670 | Corning, Inc. | 10,938,460 | ||||||
| 106,269 | International Business Machines Corporation | 18,230,447 | ||||||
| 433,410 | Microsoft Corporation | 11,268,660 | ||||||
| 131,890 | Oracle Corporation | 4,340,500 | ||||||
| 159,751 | TE Connectivity, Ltd. | 5,872,447 | ||||||
| 273,690 | Xilinx, Inc. | 9,981,474 | ||||||
|
| |||||||
| Total Information Technology | 65,427,282 | |||||||
|
| |||||||
| Materials (4.8%) | ||||||||
| 231,670 | Dow Chemical Company | 8,340,120 | ||||||
| 437,671 | E.I. du Pont de Nemours and Company | 23,656,118 | ||||||
| 103,484 | Sigma-Aldrich Corporation | 7,593,656 | ||||||
|
| |||||||
| Total Materials | 39,589,894 | |||||||
|
| |||||||
| Telecommunications Services (3.8%) | ||||||||
| 386,861 | AT&T, Inc. | 12,151,304 | ||||||
| 515,434 | Verizon Communications, Inc. | 19,189,608 | ||||||
|
| |||||||
| Total Telecommunications Services | 31,340,912 | |||||||
|
| |||||||
| Utilities (4.1%) | ||||||||
| 213,930 | American Electric Power Company, Inc. | 8,060,883 | ||||||
| 303,860 | Exelon Corporation | 13,017,362 | ||||||
| 614,720 | NiSource, Inc. | 12,448,080 | ||||||
|
| |||||||
| Total Utilities | 33,526,325 | |||||||
|
| |||||||
Total Common Stock (cost $701,849,136) | 822,266,210 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (1.7%) | Value | ||||||
| 13,737,450 | Thrivent Financial Securities Lending Trust | 13,737,450 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $13,737,450) | 13,737,450 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
228
Table of Contents
Large Cap Value Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Short-Term Investments (0.6%)c | Value | ||||||
Thunder Bay Funding, LLC | ||||||||
| 5,000,000 | 0.130%, 7/20/2011 | $ | 4,999,657 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 4,999,657 | |||||||
|
| |||||||
| Total Investments (cost $720,586,243) 101.8% | $ | 841,003,317 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.8%) | (14,741,074 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 826,262,243 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
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 | $ | 129,874,198 | ||
Gross unrealized depreciation | (10,938,496 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 118,935,702 | ||
Cost for federal income tax purposes | $ | 722,067,615 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Large Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 71,928,591 | 71,928,591 | — | — | ||||||||||||
Consumer Staples | 79,472,826 | 79,472,826 | — | — | ||||||||||||
Energy | 113,299,128 | 113,299,128 | — | — | ||||||||||||
Financials | 185,094,197 | 185,094,197 | — | — | ||||||||||||
Health Care | 95,984,170 | 95,984,170 | — | — | ||||||||||||
Industrials | 106,602,885 | 106,602,885 | — | — | ||||||||||||
Information Technology | 65,427,282 | 65,427,282 | — | — | ||||||||||||
Materials | 39,589,894 | 39,589,894 | — | — | ||||||||||||
Telecommunications Services | 31,340,912 | 31,340,912 | — | — | ||||||||||||
Utilities | 33,526,325 | 33,526,325 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 13,737,450 | 13,737,450 | — | — | ||||||||||||
Short-Term Investments | 4,999,657 | — | 4,999,657 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 841,003,317 | $ | 836,003,660 | $ | 4,999,657 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 24,701,033 | $ | 131,408,670 | $ | 142,372,253 | 13,737,450 | $ | 13,737,450 | $ | 12,220 | |||||||||||||
Total Value and Income Earned | 24,701,033 | 13,737,450 | 12,220 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
229
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (96.6%) | Value | ||||||
| Consumer Discretionary (10.2%) | ||||||||
| 36,750 | Amazon.com, Inc.a | $ | 7,515,007 | |||||
| 118,890 | Carnival Corporation | 4,473,831 | ||||||
| 50,160 | CBS Corporation | 1,429,058 | ||||||
| 106,500 | Darden Restaurants, Inc. | 5,299,440 | ||||||
| 123,609 | Discovery Communications, Inc.a | 5,063,025 | ||||||
| 624,900 | Ford Motor Companya | 8,617,371 | ||||||
| 119,880 | Lowe’s Companies, Inc. | 2,794,403 | ||||||
| 132,390 | Macy’s, Inc. | 3,871,084 | ||||||
| 40,000 | McDonald’s Corporation | 3,372,800 | ||||||
| 33,450 | Omnicom Group, Inc. | 1,610,952 | ||||||
| 99,450 | Phillips-Van Heusen Corporation | 6,510,991 | ||||||
| 141,520 | Staples, Inc. | 2,236,016 | ||||||
| 69,910 | Time Warner Cable, Inc. | 5,455,776 | ||||||
| 61,720 | Viacom, Inc. | 3,147,720 | ||||||
| 81,200 | Walt Disney Company | 3,170,048 | ||||||
|
| |||||||
| Total Consumer Discretionary | 64,567,522 | |||||||
|
| |||||||
| Consumer Staples (8.0%) | ||||||||
| 647,552 | Altria Group, Inc. | 17,101,848 | ||||||
| 127,238 | Anheuser-Busch InBev NV ADR | 7,381,077 | ||||||
| 37,190 | Diageo plc ADR | 3,044,745 | ||||||
| 182,464 | Kraft Foods, Inc. | 6,428,207 | ||||||
| 141,291 | Philip Morris International, Inc. | 9,434,000 | ||||||
| 181,813 | Walgreen Company | 7,719,780 | ||||||
|
| |||||||
| Total Consumer Staples | 51,109,657 | |||||||
|
| |||||||
| Energy (12.0%) | ||||||||
| 101,875 | Apache Corporation | 12,570,356 | ||||||
| 157,586 | Baker Hughes, Inc. | 11,434,440 | ||||||
| 44,255 | BP plc ADR | 1,960,054 | ||||||
| 99,280 | Chevron Corporation | 10,209,955 | ||||||
| 107,860 | ConocoPhillips | 8,109,994 | ||||||
| 172,507 | ENSCO International plc ADR | 9,194,623 | ||||||
| 27,090 | Occidental Petroleum Corporation | 2,818,444 | ||||||
| 133,820 | Peabody Energy Corporation | 7,883,336 | ||||||
| 46,650 | Schlumberger, Ltd. | 4,030,560 | ||||||
| 413,700 | Weatherford International, Ltd.a | 7,756,875 | ||||||
|
| |||||||
| Total Energy | 75,968,637 | |||||||
|
| |||||||
| Financials (13.7%) | ||||||||
| 85,230 | ACE, Ltd. | 5,609,839 | ||||||
| 252,570 | Aon Corporation | 12,956,841 | ||||||
| 298,890 | Bank of America Corporation | 3,275,834 | ||||||
| 30,700 | BlackRock, Inc. | 5,888,567 | ||||||
| 60,420 | Capital One Financial Corporation | 3,121,901 | ||||||
| 56,889 | Citigroup, Inc. | 2,368,858 | ||||||
| 25,150 | Goldman Sachs Group, Inc. | 3,347,214 | ||||||
| 515,704 | J.P. Morgan Chase & Company | 21,112,922 | ||||||
| 217,290 | KKR & Company, LP | 3,546,173 | ||||||
| 63,020 | MetLife, Inc. | 2,764,687 | ||||||
| 136,594 | Principal Financial Group, Inc. | 4,155,190 | ||||||
| 76,220 | State Street Corporation | 3,436,760 | ||||||
| 38,240 | SVB Financial Groupa | 2,283,310 | ||||||
| 228,480 | Unum Group | 5,821,670 | ||||||
| 33,390 | Vanguard REIT ETF | 2,006,739 | ||||||
| 186,930 | Wells Fargo & Company | 5,245,256 | ||||||
|
| |||||||
| Total Financials | 86,941,761 | |||||||
|
| |||||||
| Health Care (11.5%) | ||||||||
| 54,160 | Baxter International, Inc. | 3,232,810 | ||||||
| 26,070 | C.R. Bard, Inc. | 2,864,050 | ||||||
| 28,150 | Celgene Corporationa | 1,698,008 | ||||||
| 94,220 | Covidien plc | 5,015,331 | ||||||
| 87,950 | HCA Holdings, Inc.a | 2,902,350 | ||||||
| 42,360 | Johnson & Johnson | 2,817,787 | ||||||
| 114,250 | McKesson Corporation | 9,557,012 | ||||||
| 381,598 | Mylan, Inc.a | 9,414,023 | ||||||
| 558,985 | Pfizer, Inc. | 11,515,091 | ||||||
| 153,900 | Thermo Fisher Scientific, Inc.a | 9,909,621 | ||||||
| 210,270 | UnitedHealth Group, Inc. | 10,845,727 | ||||||
| 49,160 | Zimmer Holdings, Inc.a | 3,106,912 | ||||||
|
| |||||||
| Total Health Care | 72,878,722 | |||||||
|
| |||||||
| Industrials (10.2%) | ||||||||
| 127,820 | Boeing Company | 9,449,733 | ||||||
| 79,650 | Caterpillar, Inc. | 8,479,539 | ||||||
| 154,800 | Emerson Electric Company | 8,707,500 | ||||||
| 90,000 | General Dynamics Corporation | 6,706,800 | ||||||
| 409,640 | General Electric Company | 7,725,810 | ||||||
| 75,210 | Harsco Corporation | 2,451,846 | ||||||
| 61,080 | Honeywell International, Inc. | 3,639,757 | ||||||
| 30,920 | Parker Hannifin Corporation | 2,774,761 | ||||||
| 35,910 | SPX Corporation | 2,968,321 | ||||||
| 116,140 | Textron, Inc. | 2,742,065 | ||||||
| 57,200 | United Technologies Corporation | 5,062,772 | ||||||
| 70,950 | WESCO International, Inc.a | 3,837,685 | ||||||
|
| |||||||
| Total Industrials | 64,546,589 | |||||||
|
| |||||||
| Information Technology (21.7%) | ||||||||
| 95,881 | Akamai Technologies, Inc.a,b | 3,017,375 | ||||||
| 71,224 | Apple, Inc.a | 23,907,760 | ||||||
| 150,450 | Broadcom Corporationa | 5,061,138 | ||||||
| 55,332 | Cognizant Technology Solutions Corporationa | 4,058,049 | ||||||
| 206,060 | Corning, Inc. | 3,739,989 | ||||||
| 283,100 | EMC Corporationa | 7,799,405 | ||||||
| 55,234 | F5 Networks, Inc.a | 6,089,548 | ||||||
| 27,121 | Google, Inc.a | 13,733,532 | ||||||
| 175,000 | Hewlett-Packard Company | 6,370,000 | ||||||
| 37,078 | International Business Machines Corporation | 6,360,731 | ||||||
| 148,960 | Microsoft Corporation | 3,872,960 | ||||||
| 176,585 | NXP Semiconductors NVa | 4,720,117 | ||||||
| 590,600 | Oracle Corporation | 19,436,646 | ||||||
| 162,650 | QUALCOMM, Inc. | 9,236,893 | ||||||
| 28,865 | Salesforce.com, Inc.a | 4,300,308 | ||||||
| 119,110 | TE Connectivity, Ltd. | 4,378,484 | ||||||
| 80,350 | VMware, Inc.a | 8,053,481 | ||||||
| 94,820 | Xilinx, Inc. | 3,458,085 | ||||||
|
| |||||||
| Total Information Technology | 137,594,501 | |||||||
|
| |||||||
| Materials (4.3%) | ||||||||
| 37,729 | CF Industries Holdings, Inc. | 5,345,068 | ||||||
| 80,430 | Dow Chemical Company | 2,895,480 | ||||||
| 151,927 | E.I. du Pont de Nemours and Company | 8,211,654 | ||||||
| 160,150 | Freeport-McMoRan Copper & Gold, Inc. | 8,471,935 | ||||||
| 35,376 | Sigma-Aldrich Corporation | 2,595,891 | ||||||
|
| |||||||
| Total Materials | 27,520,028 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
230
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (96.6%) | Value | ||||||
| Telecommunications Services (3.2%) | ||||||||
| 134,020 | AT&T, Inc. | $ | 4,209,568 | |||||
| 234,350 | NII Holdings, Inc.a | 9,931,753 | ||||||
| 176,254 | Verizon Communications, Inc. | 6,561,937 | ||||||
|
| |||||||
| Total Telecommunications Services | 20,703,258 | |||||||
|
| |||||||
| Utilities (1.8%) | ||||||||
| 74,160 | American Electric Power Company, Inc.b | 2,794,349 | ||||||
| 105,330 | Exelon Corporation | 4,512,337 | ||||||
| 213,090 | NiSource, Inc. | 4,315,072 | ||||||
|
| |||||||
| Total Utilities | 11,621,758 | |||||||
|
| |||||||
Total Common Stock (cost $552,647,782) | 613,452,433 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (2.7%)c | |||||||
| Alliancebernstein LP | 5,950,000 | |||||||
| 5,950,000 | 0.100%, 7/1/2011 | |||||||
| BNP Paribas Canada | 2,999,967 | |||||||
| 3,000,000 | 0.100%, 7/5/2011 | |||||||
| Federal Home Loan Bank Discount Notes | 3,999,981 | |||||||
| 4,000,000 | 0.033%, 7/6/2011 | |||||||
| 1,000,000 | 0.050%, 7/15/2011 | 999,981 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 1,000,000 | 0.050%, 7/15/2011 | 999,981 | ||||||
| 2,500,000 | 0.160%, 8/29/2011d | 2,499,356 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 17,449,266 | |||||||
|
| |||||||
| Total Investments (cost $570,097,048) 99.3% | $ | 630,901,699 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.7% | 4,144,758 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 635,046,457 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security was earmarked to cover written options. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At June 30, 2011, $2,499,356 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 66,959,468 | ||
Gross unrealized depreciation | (10,152,835 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 56,806,633 | ||
Cost for federal income tax purposes | $ | 574,095,066 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
231
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Large Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 64,567,522 | 64,567,522 | — | — | ||||||||||||
Consumer Staples | 51,109,657 | 51,109,657 | — | — | ||||||||||||
Energy | 75,968,637 | 75,968,637 | — | — | ||||||||||||
Financials | 86,941,761 | 86,941,761 | — | — | ||||||||||||
Health Care | 72,878,722 | 72,878,722 | — | — | ||||||||||||
Industrials | 64,546,589 | 64,546,589 | — | — | ||||||||||||
Information Technology | 137,594,501 | 137,594,501 | — | — | ||||||||||||
Materials | 27,520,028 | 27,520,028 | — | — | ||||||||||||
Telecommunications Services | 20,703,258 | 20,703,258 | — | — | ||||||||||||
Utilities | 11,621,758 | 11,621,758 | — | — | ||||||||||||
Short-Term Investments | 17,449,266 | — | 17,449,266 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 630,901,699 | $ | 613,452,433 | $ | 17,449,266 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 137,110 | 137,110 | — | — | ||||||||||||
Call Options Written | 300 | 300 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 137,410 | $ | 137,410 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Call Options Written | 5,325 | 5,325 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 5,325 | $ | 5,325 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 16 | September 2011 | $ | 5,124,890 | $ | 5,262,000 | $ | 137,110 | ||||||||||||
Total Futures Contracts | $ | 137,110 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 30 | $ | 1,345.00 | August 2011 | ($ | 20,250 | ) | $ | 300 | |||||||||||
S&P 500 Mini-Futures Call Option | 30 | 1,325.00 | July 2011 | (13,500 | ) | (5,325 | ) | |||||||||||||
Total Call Options Written | ($ | 33,750 | ) | ($ | 5,025 | ) | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
232
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | $ | 137,110 | |||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 300 | ||||
Total Equity Contracts | 137,410 | |||||
|
| |||||
Total Asset Derivatives | $ | 137,410 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 5,325 | ||||
Total Equity Contracts | 5,325 | |||||
|
| |||||
Total Liability Derivatives | $ | 5,325 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | 36,979 | ||||
Futures | Net realized gains/(losses) on Futures contracts | 1,622,922 | ||||
Total Equity Contracts | 1,659,901 | |||||
|
| |||||
Total | $ | 1,659,901 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (13,650 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (558,965 | ) | |||
Total Equity Contracts | (572,615 | ) | ||||
|
| |||||
Total | ($ | 572,615 | ) | |||
|
| |||||
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 26,506,894 | 4.1 | % | 65 | |||||||
| * | 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.
233
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011- June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 18,613,928 | $ | 54,597,788 | $ | 73,211,716 | — | $ | — | $ | 28,265 | |||||||||||||
Total Value and Income Earned | 18,613,928 | — | 28,265 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
234
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Consumer Discretionary (10.5%) | ||||||||
| 2,300 | Abercrombie & Fitch Company | $ | 153,916 | |||||
| 9,400 | Amazon.com, Inc.a | 1,922,206 | ||||||
| 3,200 | Apollo Group, Inc.a | 139,776 | ||||||
| 1,700 | AutoNation, Inc.a,b | 62,237 | ||||||
| 700 | AutoZone, Inc.a | 206,395 | ||||||
| 6,600 | Bed Bath & Beyond, Inc.a | 385,242 | ||||||
| 8,525 | Best Buy Company, Inc.b | 267,770 | ||||||
| 2,000 | Big Lots, Inc.a | 66,300 | ||||||
| 6,200 | Cablevision Systems Corporation | 224,502 | ||||||
| 6,100 | CarMax, Inc.a | 201,727 | ||||||
| 11,500 | Carnival Corporation | 432,745 | ||||||
| 17,672 | CBS Corporation | 503,475 | ||||||
| 800 | Chipotle Mexican Grill, Inc.a | 246,552 | ||||||
| 7,800 | Coach, Inc. | 498,654 | ||||||
| 73,615 | Comcast Corporation | 1,865,404 | ||||||
| 7,700 | D.R. Horton, Inc. | 88,704 | ||||||
| 3,550 | Darden Restaurants, Inc. | 176,648 | ||||||
| 1,600 | DeVry, Inc. | 94,608 | ||||||
| 20,300 | DIRECTVa | 1,031,646 | ||||||
| 7,400 | Discovery Communications, Inc.a | 303,104 | ||||||
| 5,300 | Expedia, Inc. | 153,647 | ||||||
| 3,200 | Family Dollar Stores, Inc. | 168,192 | ||||||
| 100,911 | Ford Motor Companya | 1,391,563 | ||||||
| 4,100 | Fortune Brands, Inc. | 261,457 | ||||||
| 6,500 | Gannett Company, Inc. | 93,080 | ||||||
| 10,562 | Gap, Inc. | 191,172 | ||||||
| 4,100 | Genuine Parts Company | 223,040 | ||||||
| 6,600 | Goodyear Tire & Rubber Companya | 110,682 | ||||||
| 8,200 | H&R Block, Inc. | 131,528 | ||||||
| 6,200 | Harley-Davidson, Inc. | 254,014 | ||||||
| 1,800 | Harman International Industries, Inc. | 82,026 | ||||||
| 3,550 | Hasbro, Inc. | 155,952 | ||||||
| 42,300 | Home Depot, Inc. | 1,532,106 | ||||||
| 8,100 | International Game Technology | 142,398 | ||||||
| 13,167 | Interpublic Group of Companies, Inc. | 164,587 | ||||||
| 5,600 | J.C. Penney Company, Inc. | 193,424 | ||||||
| 18,000 | Johnson Controls, Inc. | 749,880 | ||||||
| 7,400 | Kohl’s Corporation | 370,074 | ||||||
| 3,900 | Leggett & Platt, Inc. | 95,082 | ||||||
| 4,400 | Lennar Corporation | 79,860 | ||||||
| 6,804 | Limited Brands, Inc. | 261,614 | ||||||
| 34,700 | Lowe’s Companies, Inc. | 808,857 | ||||||
| 11,368 | Macy’s, Inc. | 332,400 | ||||||
| 7,506 | Marriott International, Inc. | 266,388 | ||||||
| 9,350 | Mattel, Inc. | 257,031 | ||||||
| 27,500 | McDonald’s Corporation | 2,318,800 | ||||||
| 8,000 | McGraw-Hill Companies, Inc. | 335,280 | ||||||
| 1,100 | Netflix, Inc.a | 288,959 | ||||||
| 7,973 | Newell Rubbermaid, Inc. | 125,814 | ||||||
| 61,000 | News Corporation | 1,079,700 | ||||||
| 10,000 | NIKE, Inc. | 899,800 | ||||||
| 4,500 | Nordstrom, Inc. | 211,230 | ||||||
| 7,400 | Omnicom Group, Inc. | 356,384 | ||||||
| 3,600 | O’Reilly Automotive, Inc.a | 235,836 | ||||||
| 1,700 | Polo Ralph Lauren Corporation | 225,437 | ||||||
| 1,300 | Priceline.com, Inc.a | 665,509 | ||||||
| 9,392 | Pulte Group, Inc.a | 71,943 | ||||||
| 3,100 | Ross Stores, Inc. | 248,372 | ||||||
| 2,400 | Scripps Networks Interactive | 117,312 | ||||||
| 1,232 | Sears Holdings Corporationa,b | 88,014 | ||||||
| 2,300 | Sherwin-Williams Company | 192,901 | ||||||
| 1,500 | Snap-On, Inc. | 93,720 | ||||||
| 19,075 | Staples, Inc. | 301,385 | ||||||
| 19,900 | Starbucks Corporation | 785,851 | ||||||
| 5,100 | Starwood Hotels & Resorts Worldwide, Inc. | 285,804 | ||||||
| 18,400 | Target Corporation | 863,144 | ||||||
| 3,400 | Tiffany & Company | 266,968 | ||||||
| 8,958 | Time Warner Cable, Inc. | 699,082 | ||||||
| 28,350 | Time Warner, Inc. | 1,031,090 | ||||||
| 10,200 | TJX Companies, Inc. | 535,806 | ||||||
| 3,300 | Urban Outfitters, Inc.a | 92,895 | ||||||
| 2,300 | VF Corporation | 249,688 | ||||||
| 15,472 | Viacom, Inc. | 789,072 | ||||||
| 50,247 | Walt Disney Company | 1,961,643 | ||||||
| 70 | Washington Post Company | 29,327 | ||||||
| 1,957 | Whirlpool Corporation | 159,143 | ||||||
| 4,572 | Wyndham Worldwide Corporation | 153,848 | ||||||
| 2,000 | Wynn Resorts, Ltd. | 287,080 | ||||||
| 12,280 | Yum! Brands, Inc. | 678,347 | ||||||
|
| |||||||
| Total Consumer Discretionary | 34,066,849 | |||||||
|
| |||||||
| Consumer Staples (10.5%) | ||||||||
| 55,600 | Altria Group, Inc. | 1,468,396 | ||||||
| 18,068 | Archer-Daniels-Midland Company | 544,750 | ||||||
| 11,500 | Avon Products, Inc. | 322,000 | ||||||
| 2,725 | Brown-Forman Corporation | 203,530 | ||||||
| 4,900 | Campbell Soup Companyb | 169,295 | ||||||
| 3,500 | Clorox Company | 236,040 | ||||||
| 60,700 | Coca-Cola Company | 4,084,503 | ||||||
| 8,700 | Coca-Cola Enterprises, Inc. | 253,866 | ||||||
| 12,900 | Colgate-Palmolive Company | 1,127,589 | ||||||
| 11,000 | ConAgra Foods, Inc. | 283,910 | ||||||
| 4,800 | Constellation Brands, Inc.a | 99,936 | ||||||
| 11,600 | Costco Wholesale Corporation | 942,384 | ||||||
| 36,044 | CVS Caremark Corporation | 1,354,534 | ||||||
| 4,900 | Dean Foods Companya | 60,123 | ||||||
| 5,800 | Dr. Pepper Snapple Group, Inc. | 243,194 | ||||||
| 3,000 | Estee Lauder Companies, Inc. | 315,570 | ||||||
| 17,000 | General Mills, Inc. | 632,740 | ||||||
| 8,600 | H.J. Heinz Company | 458,208 | ||||||
| 4,000 | Hershey Company | 227,400 | ||||||
| 3,700 | Hormel Foods Corporation | 110,297 | ||||||
| 3,051 | J.M. Smucker Company | 233,218 | ||||||
| 6,700 | Kellogg Company | 370,644 | ||||||
| 10,392 | Kimberly-Clark Corporation | 691,692 | ||||||
| 46,752 | Kraft Foods, Inc. | 1,647,073 | ||||||
| 16,200 | Kroger Company | 401,760 | ||||||
| 3,900 | Lorillard, Inc. | 424,593 | ||||||
| 3,500 | McCormick & Company, Inc. | 173,495 | ||||||
| 5,528 | Mead Johnson Nutrition Company | 373,416 | ||||||
| 4,200 | Molson Coors Brewing Company | 187,908 | ||||||
| 41,930 | PepsiCo, Inc. | 2,953,130 | ||||||
| 47,300 | Philip Morris International, Inc. | 3,158,221 | ||||||
| 74,038 | Procter & Gamble Company | 4,706,596 | ||||||
| 8,900 | Reynolds American, Inc. | 329,745 | ||||||
| 9,500 | Safeway, Inc. | 222,015 | ||||||
| 15,800 | Sara Lee Corporation | 300,042 | ||||||
| 5,881 | SUPERVALU, Inc.b | 55,340 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
235
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Consumer Staples (10.5%) - continued | ||||||||
| 15,600 | Sysco Corporation | $ | 486,408 | |||||
| 8,200 | Tyson Foods, Inc. | 159,244 | ||||||
| 24,300 | Walgreen Company | �� | 1,031,778 | |||||
| 50,700 | Wal-Mart Stores, Inc. | 2,694,198 | ||||||
| 3,900 | Whole Foods Market, Inc. | 247,455 | ||||||
|
| |||||||
| Total Consumer Staples | 33,986,236 | |||||||
|
| |||||||
| Energy (12.4%) | ||||||||
| 5,969 | Alpha Natural Resources, Inc.a | 271,231 | ||||||
| 13,172 | Anadarko Petroleum Corporation | 1,011,083 | ||||||
| 10,120 | Apache Corporation | 1,248,707 | ||||||
| 11,483 | Baker Hughes, Inc. | 833,206 | ||||||
| 2,700 | Cabot Oil & Gas Corporation | 179,037 | ||||||
| 6,500 | Cameron International Corporationa | 326,885 | ||||||
| 17,500 | Chesapeake Energy Corporation | 519,575 | ||||||
| 53,396 | Chevron Corporation | 5,491,245 | ||||||
| 37,449 | ConocoPhillips | 2,815,790 | ||||||
| 6,000 | CONSOL Energy, Inc. | 290,880 | ||||||
| 10,700 | Denbury Resources, Inc.a | 214,000 | ||||||
| 11,200 | Devon Energy Corporation | 882,672 | ||||||
| 1,800 | Diamond Offshore Drilling, Inc.b | 126,738 | ||||||
| 20,518 | El Paso Corporation | 414,464 | ||||||
| 7,100 | EOG Resources, Inc. | 742,305 | ||||||
| 3,900 | EQT Corporation | 204,828 | ||||||
| 130,690 | Exxon Mobil Corporation | 10,635,552 | ||||||
| 6,300 | FMC Technologies, Inc.a | 282,177 | ||||||
| 24,300 | Halliburton Company | 1,239,300 | ||||||
| 2,800 | Helmerich & Payne, Inc. | 185,136 | ||||||
| 8,000 | Hess Corporation | 598,080 | ||||||
| 18,968 | Marathon Oil Corporation | 999,234 | ||||||
| 5,100 | Murphy Oil Corporation | 334,866 | ||||||
| 7,700 | Nabors Industries, Ltd.a | 189,728 | ||||||
| 11,200 | National Oilwell Varco, Inc. | 875,952 | ||||||
| 3,500 | Newfield Exploration Companya | 238,070 | ||||||
| 6,700 | Noble Corporation | 264,047 | ||||||
| 4,600 | Noble Energy, Inc. | 412,298 | ||||||
| 21,500 | Occidental Petroleum Corporation | 2,236,860 | ||||||
| 7,100 | Peabody Energy Corporation | 418,261 | ||||||
| 3,100 | Pioneer Natural Resources Company | 277,667 | ||||||
| 4,700 | QEP Resources, Inc. | 196,601 | ||||||
| 4,200 | Range Resources Corporation | 233,100 | ||||||
| 3,300 | Rowan Companies, Inc.a | 128,073 | ||||||
| 35,994 | Schlumberger, Ltd. | 3,109,882 | ||||||
| 9,200 | Southwestern Energy Companya | 394,496 | ||||||
| 17,404 | Spectra Energy Corporation | 477,044 | ||||||
| 3,200 | Sunoco, Inc. | 133,472 | ||||||
| 3,900 | Tesoro Corporationa | 89,349 | ||||||
| 15,200 | Valero Energy Corporation | 388,664 | ||||||
| 15,700 | Williams Companies, Inc. | 474,925 | ||||||
|
| |||||||
| Total Energy | 40,385,480 | |||||||
|
| |||||||
| Financials (14.8%) | ||||||||
| 8,900 | ACE, Ltd. | 585,798 | ||||||
| 12,400 | Aflac, Inc. | 578,832 | ||||||
| 13,982 | Allstate Corporation | 426,870 | ||||||
| 27,800 | American Express Company | 1,437,260 | ||||||
| 11,667 | American International Group, Inc.a | 342,076 | ||||||
| 2,384 | American International Group, Inc. Warrants, $45.00, expires 1/20/2021a,b | 24,317 | ||||||
| 6,400 | Ameriprise Financial, Inc. | 369,152 | ||||||
| 8,725 | Aon Corporation | 447,593 | ||||||
| 3,236 | Apartment Investment & Management Company | 82,615 | ||||||
| 2,500 | Assurant, Inc. | 90,675 | ||||||
| 2,301 | AvalonBay Communities, Inc. | 295,448 | ||||||
| 269,710 | Bank of America Corporation | 2,956,022 | ||||||
| 33,152 | Bank of New York Mellon | |||||||
| Corporation | 849,354 | |||||||
| 18,600 | BB&T Corporation | 499,224 | ||||||
| 45,969 | Berkshire Hathaway, Inc.a | 3,557,541 | ||||||
| 2,500 | BlackRock, Inc. | 479,525 | ||||||
| 3,900 | Boston Properties, Inc. | 414,024 | ||||||
| 12,273 | Capital One Financial Corporation | 634,146 | ||||||
| 7,800 | CB Richard Ellis Group, Inc.a | 195,858 | ||||||
| 27,125 | Charles Schwab Corporationb | 446,206 | ||||||
| 7,700 | Chubb Corporation | 482,097 | ||||||
| 4,238 | Cincinnati Financial Corporation | 123,665 | ||||||
| 77,593 | Citigroup, Inc. | 3,230,973 | ||||||
| 1,700 | CME Group, Inc. | 495,703 | ||||||
| 4,750 | Comerica, Inc. | 164,208 | ||||||
| 14,725 | Discover Financial Services | 393,894 | ||||||
| 6,810 | E*TRADE Financial Corporationa | 93,978 | ||||||
| 7,900 | Equity Residential | 474,000 | ||||||
| 2,600 | Federated Investors, Inc.b | 61,984 | ||||||
| 24,794 | Fifth Third Bancorp | 316,123 | ||||||
| 7,481 | First Horizon National Corporation | 71,369 | ||||||
| 3,800 | Franklin Resources, Inc. | 498,902 | ||||||
| 13,300 | Genworth Financial, Inc.a | 136,724 | ||||||
| 13,800 | Goldman Sachs Group, Inc. | 1,836,642 | ||||||
| 11,900 | Hartford Financial Services Group, Inc. | 313,803 | ||||||
| 10,700 | Health Care Property Investors, Inc. | 392,583 | ||||||
| 4,700 | Health Care REIT, Inc. | 246,421 | ||||||
| 18,641 | Host Hotels & Resorts, Inc. | 315,965 | ||||||
| 14,900 | Hudson City Bancorp, Inc. | 122,031 | ||||||
| 24,071 | Huntington Bancshares, Inc. | 157,906 | ||||||
| 1,900 | IntercontinentalExchange, Inc.a | 236,949 | ||||||
| 12,400 | Invesco, Ltd. | 290,160 | ||||||
| 105,548 | J.P. Morgan Chase & Company | 4,321,135 | ||||||
| 5,500 | Janus Capital Group, Inc. | 51,920 | ||||||
| 26,000 | KeyCorp | 216,580 | ||||||
| 11,100 | Kimco Realty Corporation | 206,904 | ||||||
| 3,900 | Legg Mason, Inc. | 127,764 | ||||||
| 5,300 | Leucadia National Corporation | 180,730 | ||||||
| 8,294 | Lincoln National Corporation | 236,296 | ||||||
| 8,300 | Loews Corporation | 349,347 | ||||||
| 3,300 | M&T Bank Corporation | 290,235 | ||||||
| 14,700 | Marsh & McLennan Companies, Inc. | 458,493 | ||||||
| 14,600 | Marshall & Ilsley Corporation | 116,362 | ||||||
| 28,132 | MetLife, Inc. | 1,234,151 | ||||||
| 5,300 | Moody’s Corporation | 203,255 | ||||||
| 41,350 | Morgan Stanley | 951,463 | ||||||
| 4,100 | NASDAQ OMX Group, Inc.a | 103,730 | ||||||
| 6,400 | Northern Trust Corporation | 294,144 | ||||||
| 6,900 | NYSE Euronext | 236,463 | ||||||
| 10,400 | People’s United Financial, Inc. | 139,776 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
236
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Financials (14.8%) - continued | ||||||||
| 4,300 | Plum Creek Timber Company, Inc.b | $ | 174,322 | |||||
| 13,914 | PNC Financial Services Group, Inc. | 829,414 | ||||||
| 8,600 | Principal Financial Group, Inc. | 261,612 | ||||||
| 17,700 | Progressive Corporation | 378,426 | ||||||
| 12,196 | Prologis, Inc. | 437,105 | ||||||
| 12,900 | Prudential Financial, Inc. | 820,311 | ||||||
| 3,700 | Public Storage, Inc. | 421,837 | ||||||
| 34,277 | Regions Financial Corporation | 212,517 | ||||||
| 7,744 | Simon Property Group, Inc. | 900,085 | ||||||
| 14,100 | SLM Corporation | 237,021 | ||||||
| 13,300 | State Street Corporation | 599,697 | ||||||
| 14,300 | SunTrust Banks, Inc. | 368,940 | ||||||
| 6,868 | T. Rowe Price Group, Inc. | 414,415 | ||||||
| 2,000 | Torchmark Corporation | 128,280 | ||||||
| 11,181 | Travelers Companies, Inc. | 652,747 | ||||||
| 51,485 | U.S. Bancorp | 1,313,382 | ||||||
| 8,424 | Unum Group | 214,644 | ||||||
| 4,300 | Ventas, Inc. | 226,653 | ||||||
| 4,397 | Vornado Realty Trust | 409,712 | ||||||
| 140,540 | Wells Fargo & Company | 3,943,552 | ||||||
| 8,400 | XL Group plc | 184,632 | ||||||
| 4,900 | Zions Bancorporation | 117,649 | ||||||
|
| |||||||
| Total Financials | 48,134,317 | |||||||
|
| |||||||
| Health Care (11.3%) | ||||||||
| 41,200 | Abbott Laboratories | 2,167,944 | ||||||
| 9,996 | Aetna, Inc. | 440,724 | ||||||
| 8,100 | Allergan, Inc. | 674,325 | ||||||
| 7,200 | AmerisourceBergen Corporation | 298,080 | ||||||
| 24,740 | Amgen, Inc.a | 1,443,579 | ||||||
| 15,100 | Baxter International, Inc. | 901,319 | ||||||
| 5,800 | Becton, Dickinson and Company | 499,786 | ||||||
| 6,500 | Biogen Idec, Inc.a | 694,980 | ||||||
| 41,250 | Boston Scientific Corporationa | 285,037 | ||||||
| 45,298 | Bristol-Myers Squibb Company | 1,311,830 | ||||||
| 2,200 | C.R. Bard, Inc. | 241,692 | ||||||
| 9,275 | Cardinal Health, Inc. | 421,270 | ||||||
| 5,987 | CareFusion Corporationa | 162,667 | ||||||
| 12,200 | Celgene Corporationa | 735,904 | ||||||
| 2,000 | Cephalon, Inc.a | 159,800 | ||||||
| 3,800 | Cerner Corporationa | 232,218 | ||||||
| 7,100 | CIGNA Corporation | 365,153 | ||||||
| 3,900 | Coventry Health Care, Inc.a | 142,233 | ||||||
| 13,100 | Covidien plc | 697,313 | ||||||
| 2,600 | DaVita, Inc.a | 225,186 | ||||||
| 3,700 | DENTSPLY International, Inc. | 140,896 | ||||||
| 3,000 | Edwards Lifesciences Corporationa | 261,540 | ||||||
| 27,100 | Eli Lilly and Company | 1,017,063 | ||||||
| 14,000 | Express Scripts, Inc.a | 755,720 | ||||||
| 7,600 | Forest Laboratories, Inc.a | 298,984 | ||||||
| 20,900 | Gilead Sciences, Inc.a | 865,469 | ||||||
| 4,380 | Hospira, Inc.a | 248,171 | ||||||
| 4,400 | Humana, Inc. | 354,376 | ||||||
| 1,000 | Intuitive Surgical, Inc.a | 372,110 | ||||||
| 72,740 | Johnson & Johnson | 4,838,665 | ||||||
| 2,600 | Laboratory Corporation of America Holdingsa | 251,654 | ||||||
| 4,743 | Life Technologies Corporationa | 246,968 | ||||||
| 6,642 | McKesson Corporation | 555,603 | ||||||
| 10,586 | Medco Health Solutions, Inc.a | 598,321 | ||||||
| 28,400 | Medtronic, Inc. | 1,094,252 | ||||||
| 81,983 | Merck & Company, Inc. | 2,893,180 | ||||||
| 11,800 | Mylan, Inc.a | 291,106 | ||||||
| 2,600 | Patterson Companies, Inc. | 85,514 | ||||||
| 3,000 | PerkinElmer, Inc. | 80,730 | ||||||
| 210,160 | Pfizer, Inc. | 4,329,296 | ||||||
| 4,100 | Quest Diagnostics, Inc. | 242,310 | ||||||
| 8,684 | St. Jude Medical, Inc. | 414,053 | ||||||
| 8,800 | Stryker Corporation | 516,472 | ||||||
| 13,400 | Tenet Healthcare Corporationa | 83,616 | ||||||
| 10,100 | Thermo Fisher Scientific, Inc.a | 650,339 | ||||||
| 28,700 | UnitedHealth Group, Inc. | 1,480,346 | ||||||
| 3,100 | Varian Medical Systems, Inc.a | 217,062 | ||||||
| 2,400 | Waters Corporationa | 229,776 | ||||||
| 3,300 | Watson Pharmaceuticals, Inc.a | 226,809 | ||||||
| 9,700 | WellPoint, Inc. | 764,069 | ||||||
| 5,050 | Zimmer Holdings, Inc.a | 319,160 | ||||||
|
| |||||||
| Total Health Care | 36,824,670 | |||||||
|
| |||||||
| Industrials (11.1%) | ||||||||
| 18,800 | 3M Company | 1,783,180 | ||||||
| 2,800 | Avery Dennison Corporation | 108,164 | ||||||
| 19,660 | Boeing Company | 1,453,464 | ||||||
| 4,300 | C.H. Robinson Worldwide, Inc. | 339,012 | ||||||
| 17,200 | Caterpillar, Inc. | 1,831,112 | ||||||
| 3,500 | Cintas Corporation | 115,605 | ||||||
| 29,500 | CSX Corporation | 773,490 | ||||||
| 5,200 | Cummins, Inc. | 538,148 | ||||||
| 14,400 | Danaher Corporation | 763,056 | ||||||
| 11,200 | Deere & Company | 923,440 | ||||||
| 4,900 | Dover Corporation | 332,220 | ||||||
| 1,300 | Dun & Bradstreet Corporation | 98,202 | ||||||
| 9,000 | Eaton Corporation | 463,050 | ||||||
| 19,900 | Emerson Electric Company | 1,119,375 | ||||||
| 3,300 | Equifax, Inc. | 114,576 | ||||||
| 5,600 | Expeditors International of Washington, Inc. | 286,664 | ||||||
| 7,800 | Fastenal Companyb | 280,722 | ||||||
| 8,360 | FedEx Corporation | 792,946 | ||||||
| 1,400 | First Solar, Inc.a,b | 185,178 | ||||||
| 1,400 | Flowserve Corporation | 153,846 | ||||||
| 4,600 | Fluor Corporation | 297,436 | ||||||
| 9,800 | General Dynamics Corporation | 730,296 | ||||||
| 281,600 | General Electric Company | 5,310,976 | ||||||
| 3,300 | Goodrich Corporation | 315,150 | ||||||
| 20,875 | Honeywell International, Inc. | 1,243,941 | ||||||
| 13,200 | Illinois Tool Works, Inc. | 745,668 | ||||||
| 8,800 | Ingersoll-Rand plc | 399,608 | ||||||
| 5,300 | Iron Mountain, Inc. | 180,677 | ||||||
| 4,800 | ITT Corporation | 282,864 | ||||||
| 3,300 | Jacobs Engineering Group, Inc.a | 142,725 | ||||||
| 2,700 | Joy Global, Inc. | 257,148 | ||||||
| 2,800 | L-3 Communications Holdings, Inc. | 244,860 | ||||||
| 7,500 | Lockheed Martin Corporationb | 607,275 | ||||||
| 9,700 | Masco Corporation | 116,691 | ||||||
| 9,300 | Norfolk Southern Corporation | 696,849 | ||||||
| 7,698 | Northrop Grumman Corporation | 533,856 | ||||||
| 9,637 | PACCAR, Inc. | 492,354 | ||||||
| 3,000 | Pall Corporation | 168,690 | ||||||
| 4,275 | Parker Hannifin Corporation | 383,639 | ||||||
| 5,500 | Pitney Bowes, Inc.b | 126,445 | ||||||
| 3,800 | Precision Castparts Corporation | 625,670 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
237
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Industrials (11.1%) - continued | ||||||||
| 5,800 | Quanta Services, Inc.a | $ | 117,160 | |||||
| 5,100 | R.R. Donnelley & Sons Company | 100,011 | ||||||
| 9,400 | Raytheon Company | 468,590 | ||||||
| 8,120 | Republic Services, Inc. | 250,502 | ||||||
| 4,000 | Robert Half International, Inc. | 108,120 | ||||||
| 3,800 | Rockwell Automation, Inc. | 329,688 | ||||||
| 4,000 | Rockwell Collins, Inc. | 246,760 | ||||||
| 2,500 | Roper Industries, Inc. | 208,250 | ||||||
| 1,300 | Ryder System, Inc. | 73,905 | ||||||
| 21,500 | Southwest Airlines Company | 245,530 | ||||||
| 4,400 | Stanley Black & Decker, Inc. | 317,020 | ||||||
| 2,200 | Stericycle, Inc.a | 196,064 | ||||||
| 7,400 | Textron, Inc. | 174,714 | ||||||
| 12,400 | Tyco International, Ltd. | 612,932 | ||||||
| 13,000 | Union Pacific Corporation | 1,357,200 | ||||||
| 26,100 | United Parcel Service, Inc. | 1,903,473 | ||||||
| 24,300 | United Technologies Corporation | 2,150,793 | ||||||
| 1,500 | W.W. Grainger, Inc. | 230,475 | ||||||
| 12,599 | Waste Management, Inc. | 469,565 | ||||||
|
| |||||||
| Total Industrials | 35,919,020 | |||||||
|
| |||||||
| Information Technology (17.6%) | ||||||||
| 13,400 | Adobe Systems, Inc.a | 421,430 | ||||||
| 15,700 | Advanced Micro Devices, Inc.a | 109,743 | ||||||
| 9,215 | Agilent Technologies, Inc.a | 470,979 | ||||||
| 4,900 | Akamai Technologies, Inc.a | 154,203 | ||||||
| 8,500 | Altera Corporation | 393,975 | ||||||
| 4,600 | Amphenol Corporation | 248,354 | ||||||
| 8,000 | Analog Devices, Inc. | 313,120 | ||||||
| 24,500 | Apple, Inc.a | 8,223,915 | ||||||
| 35,600 | Applied Materials, Inc. | 463,156 | ||||||
| 6,100 | Autodesk, Inc.a | 235,460 | ||||||
| 13,200 | Automatic Data Processing, Inc. | 695,376 | ||||||
| 4,700 | BMC Software, Inc.a | 257,090 | ||||||
| 12,700 | Broadcom Corporationa | 427,228 | ||||||
| 10,212 | CA, Inc. | 233,242 | ||||||
| 146,200 | Cisco Systems, Inc. | 2,282,182 | ||||||
| 5,000 | Citrix Systems, Inc.a | 400,000 | ||||||
| 8,000 | Cognizant Technology Solutions Corporationa | 586,720 | ||||||
| 4,200 | Computer Sciences Corporation | 159,432 | ||||||
| 6,200 | Compuware Corporationa | 60,512 | ||||||
| 41,900 | Corning, Inc. | 760,485 | ||||||
| 43,800 | Dell, Inc.a | 730,146 | ||||||
| 30,300 | eBay, Inc.a | 977,781 | ||||||
| 8,800 | Electronic Arts, Inc.a | 207,680 | ||||||
| 54,686 | EMC Corporationa | 1,506,599 | ||||||
| 2,100 | F5 Networks, Inc.a | 231,525 | ||||||
| 7,200 | Fidelity National Information Services, Inc. | 221,688 | ||||||
| 3,900 | Fiserv, Inc.a | 244,257 | ||||||
| 4,200 | FLIR Systems, Inc. | 141,582 | ||||||
| 3,700 | GameStop Corporationa,b | 98,679 | ||||||
| 6,600 | Google, Inc.a | 3,342,108 | ||||||
| 3,300 | Harris Corporation | 148,698 | ||||||
| 55,086 | Hewlett-Packard Company | 2,005,130 | ||||||
| 141,000 | Intel Corporation | 3,124,560 | ||||||
| 32,200 | International Business Machines Corporation | 5,523,910 | ||||||
| 7,200 | Intuit, Inc.a | 373,392 | ||||||
| 5,300 | Jabil Circuit, Inc. | 107,060 | ||||||
| 6,062 | JDS Uniphase Corporationa | 100,993 | ||||||
| 14,100 | Juniper Networks, Inc.a | 444,150 | ||||||
| 4,400 | KLA-Tencor Corporation | 178,112 | ||||||
| 2,200 | Lexmark International, Inc.a | 64,372 | ||||||
| 6,100 | Linear Technology Corporation | 201,422 | ||||||
| 16,600 | LSI Corporationa | 118,192 | ||||||
| 2,500 | MasterCard, Inc. | 753,350 | ||||||
| 6,400 | MEMC Electronic Materials, Inc.a | 54,592 | ||||||
| 5,100 | Microchip Technology, Inc.b | 193,341 | ||||||
| 23,300 | Micron Technology, Inc.a | 174,284 | ||||||
| 197,200 | Microsoft Corporation | 5,127,200 | ||||||
| 3,800 | Molex, Inc.b | 97,926 | ||||||
| 3,500 | Monster Worldwide, Inc.a | 51,310 | ||||||
| 7,861 | Motorola Mobility Holdings, Inc.a | 173,257 | ||||||
| 9,055 | Motorola Solutions, Inc.a | 416,892 | ||||||
| 6,500 | National Semiconductor Corporation | 159,965 | ||||||
| 9,700 | NetApp, Inc.a | 511,966 | ||||||
| 2,300 | Novellus Systems, Inc.a | 83,122 | ||||||
| 15,950 | NVIDIA Corporationa | 254,163 | ||||||
| 103,537 | Oracle Corporation | 3,407,403 | ||||||
| 8,600 | Paychex, Inc. | 264,192 | ||||||
| 44,400 | QUALCOMM, Inc. | 2,521,476 | ||||||
| 5,100 | Red Hat, Inc.a | 234,090 | ||||||
| 7,900 | SAIC, Inc.a | 132,878 | ||||||
| 3,200 | Salesforce.com, Inc.a | 476,736 | ||||||
| 6,300 | SanDisk Corporationa | 261,450 | ||||||
| 20,224 | Symantec Corporationa | 398,817 | ||||||
| 10,300 | Tellabs, Inc. | 47,483 | ||||||
| 4,400 | Teradata Corporationa | 264,880 | ||||||
| 5,100 | Teradyne, Inc.a | 75,480 | ||||||
| 30,800 | Texas Instruments, Inc. | 1,011,164 | ||||||
| 4,500 | Total System Services, Inc. | 83,610 | ||||||
| 4,400 | VeriSign, Inc. | 147,224 | ||||||
| 12,700 | Visa, Inc. | 1,070,102 | ||||||
| 6,200 | Western Digital Corporationa | 225,556 | ||||||
| 16,880 | Western Union Company | 338,107 | ||||||
| 37,785 | Xerox Corporation | 393,342 | ||||||
| 7,100 | Xilinx, Inc. | 258,937 | ||||||
| 34,800 | Yahoo!, Inc.a | 523,392 | ||||||
|
| |||||||
| Total Information Technology | 57,176,325 | |||||||
|
| |||||||
| Materials (3.6%) | ||||||||
| 5,600 | Air Products and Chemicals, Inc. | 535,248 | ||||||
| 1,800 | Airgas, Inc. | 126,072 | ||||||
| 3,000 | AK Steel Holding Corporation | 47,280 | ||||||
| 28,564 | Alcoa, Inc. | 453,025 | ||||||
| 2,769 | Allegheny Technologies, Inc. | 175,748 | ||||||
| 4,500 | Ball Corporation | 173,070 | ||||||
| 2,900 | Bemis Company, Inc. | 97,962 | ||||||
| 1,900 | CF Industries Holdings, Inc. | 269,173 | ||||||
| 3,800 | Cliffs Natural Resources, Inc. | 351,310 | ||||||
| 31,293 | Dow Chemical Company | 1,126,548 | ||||||
| 24,611 | E.I. du Pont de Nemours and Company | 1,330,225 | ||||||
| 1,800 | Eastman Chemical Company | 183,726 | ||||||
| 6,100 | Ecolab, Inc. | 343,918 | ||||||
| 1,900 | FMC Corporation | 163,438 | ||||||
| 25,092 | Freeport-McMoRan Copper & Gold, Inc. | 1,327,367 | ||||||
| 2,100 | International Flavors & Fragrances, Inc. | 134,904 | ||||||
| 11,671 | International Paper Company | 348,029 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
238
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (98.2%) | Value | ||||||
| Materials (3.6%) - continued | ||||||||
| 4,481 | MeadWestvaco Corporation | $ | 149,262 | |||||
| 14,178 | Monsanto Company | 1,028,472 | ||||||
| 13,148 | Newmont Mining Corporation | 709,598 | ||||||
| 8,400 | Nucor Corporation | 346,248 | ||||||
| 4,400 | Owens-Illinois, Inc.a | 113,564 | ||||||
| 4,300 | PPG Industries, Inc. | 390,397 | ||||||
| 8,000 | Praxair, Inc. | 867,120 | ||||||
| 4,352 | Sealed Air Corporation | 103,534 | ||||||
| 3,200 | Sigma-Aldrich Corporation | 234,816 | ||||||
| 2,500 | Titanium Metals Corporation | 45,800 | ||||||
| 3,900 | United States Steel Corporationb | 179,556 | ||||||
| 3,400 | Vulcan Materials Companyb | 131,002 | ||||||
| 14,482 | Weyerhaeuser Company | 316,576 | ||||||
|
| |||||||
| Total Materials | 11,802,988 | |||||||
|
| |||||||
| Telecommunications Services (3.0%) | ||||||||
| 10,500 | American Tower Corporationa | 549,150 | ||||||
| 157,439 | AT&T, Inc. | 4,945,159 | ||||||
| 15,925 | CenturyLink, Inc. | 643,848 | ||||||
| 27,778 | Frontier Communications Corporation | 224,168 | ||||||
| 7,100 | MetroPCS Communications, Inc.a | 122,191 | ||||||
| 80,320 | Sprint Nextel Corporationa | 432,925 | ||||||
| 75,196 | Verizon Communications, Inc. | 2,799,547 | ||||||
| 13,607 | Windstream Corporation | 176,347 | ||||||
|
| |||||||
| Total Telecommunications Services | 9,893,335 | |||||||
|
| |||||||
| Utilities (3.4%) | ||||||||
| 17,800 | AES Corporationa | 226,772 | ||||||
| 6,500 | Ameren Corporation | 187,460 | ||||||
| 12,860 | American Electric Power Company, Inc. | 484,565 | ||||||
| 11,373 | CenterPoint Energy, Inc. | 220,068 | ||||||
| 6,800 | CMS Energy Corporation | 133,892 | ||||||
| 7,700 | Consolidated Edison, Inc. | 409,948 | ||||||
| 5,300 | Constellation Energy Group, Inc. | 201,188 | ||||||
| 15,394 | Dominion Resources, Inc. | 743,068 | ||||||
| 4,500 | DTE Energy Company | 225,090 | ||||||
| 35,908 | Duke Energy Corporation | 676,148 | ||||||
| 8,700 | Edison International, Inc. | 337,125 | ||||||
| 4,800 | Entergy Corporation | 327,744 | ||||||
| 17,624 | Exelon Corporation | 755,012 | ||||||
| 11,034 | FirstEnergy Corporation | 487,151 | ||||||
| 2,115 | Integrys Energy Group, Inc. | 109,642 | ||||||
| 11,300 | NextEra Energy, Inc. | 649,298 | ||||||
| 1,200 | Nicor, Inc. | 65,688 | ||||||
| 7,709 | NiSource, Inc. | 156,107 | ||||||
| 4,700 | Northeast Utilities | 165,299 | ||||||
| 6,500 | NRG Energy, Inc.a,b | 159,770 | ||||||
| 2,800 | ONEOK, Inc. | 207,228 | ||||||
| 6,300 | Pepco Holdings, Inc. | 123,669 | ||||||
| 10,600 | PG&E Corporation | 445,518 | ||||||
| 2,900 | Pinnacle West Capital Corporation | 129,282 | ||||||
| 15,400 | PPL Corporation | 428,582 | ||||||
| 7,920 | Progress Energy, Inc. | 380,239 | ||||||
| 13,500 | Public Service Enterprise Group, Inc. | 440,640 | ||||||
| 3,100 | SCANA Corporation | 122,047 | ||||||
| 6,375 | Sempra Energy | 337,110 | ||||||
| 22,600 | Southern Company | 912,588 | ||||||
| 6,100 | TECO Energy, Inc. | 115,229 | ||||||
| 6,300 | Wisconsin Energy Corporation | 197,505 | ||||||
| 13,205 | Xcel Energy, Inc. | 320,881 | ||||||
|
| |||||||
| Total Utilities | 10,881,553 | |||||||
|
| |||||||
Total Common Stock (cost $264,936,820) | 319,070,773 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.8%) | ||||||||
| 2,814,305 | Thrivent Financial Securities Lending Trust | 2,814,305 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,814,305) | 2,814,305 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.3%)c | |||||||
| 900,000 | Federal Home Loan Mortgage Corporation Discount Notes 0.153%, 8/29/2011d | 899,775 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 899,775 | |||||||
|
| |||||||
| Total Investments (cost $268,650,900) 99.3% | $ | 322,784,853 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.7% | 2,229,522 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 325,014,375 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At June 30, 2011, $899,775 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 | $ | 67,402,471 | ||
Gross unrealized depreciation | (36,935,404 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 30,467,067 | ||
Cost for federal income tax purposes | $ | 292,317,786 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
239
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Large Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
| Common Stock | ||||||||||||||||
Consumer Discretionary | 34,066,849 | 34,066,849 | — | — | ||||||||||||
Consumer Staples | 33,986,236 | 33,986,236 | — | — | ||||||||||||
Energy | 40,385,480 | 40,385,480 | — | — | ||||||||||||
Financials | 48,134,317 | 48,134,317 | — | — | ||||||||||||
Health Care | 36,824,670 | 36,824,670 | — | — | ||||||||||||
Industrials | 35,919,020 | 35,919,020 | — | — | ||||||||||||
Information Technology | 57,176,325 | 57,176,325 | — | — | ||||||||||||
Materials | 11,802,988 | 11,802,988 | — | — | ||||||||||||
Telecommunications Services | 9,893,335 | 9,893,335 | — | — | ||||||||||||
Utilities | 10,881,553 | 10,881,553 | — | — | ||||||||||||
| Collateral Held for Securities Loaned | 2,814,305 | 2,814,305 | — | — | ||||||||||||
| Short-Term Investments | 899,775 | — | 899,775 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 322,784,853 | $ | 321,885,078 | $ | 899,775 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 150,677 | 150,677 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 150,677 | $ | 150,677 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 18 | September 2011 | $ | 5,769,073 | $ | 5,919,750 | $ | 150,677 | ||||||||||||
Total Futures Contracts | $ | 150,677 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | 150,677 | ||||
Total Equity Contracts | 150,677 | |||||
|
| |||||
Total Asset Derivatives | $ | 150,677 | ||||
|
| |||||
| * | 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.
240
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | 287,446 | ||||
Total Equity Contracts | 287,446 | |||||
|
| |||||
Total | $ | 287,446 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | 64,528 | ||||
Total Equity Contracts | 64,528 | |||||
|
| |||||
Total | $ | 64,528 | ||||
|
| |||||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 6,043,385 | 1.8 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Large Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 1,725,760 | $ | 8,205,995 | $ | 7,117,450 | 2,814,305 | $ | 2,814,305 | $ | 14,992 | |||||||||||||
Total Value and Income Earned | 1,725,760 | 2,814,305 | 14,992 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
241
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (81.9%) | Value | ||||||
| Consumer Discretionary (6.0%) | ||||||||
| 21,200 | American Eagle Outfitters, Inc. | $ | 270,300 | |||||
| 3,700 | Carnival plc ADR | 143,708 | ||||||
| 5,000 | Coach, Inc. | 319,650 | ||||||
| 5,400 | Darden Restaurants, Inc. | 268,704 | ||||||
| 41,700 | Gap, Inc. | 754,770 | ||||||
| 7,200 | Guess ?, Inc. | 302,832 | ||||||
| 8,000 | Limited Brands, Inc. | 307,600 | ||||||
| 6,800 | McGraw-Hill Companies, Inc. | 284,988 | ||||||
| 6,300 | PetSmart, Inc. | 285,831 | ||||||
| 3,200 | Polaris Industries, Inc. | 355,744 | ||||||
| 5,400 | Ross Stores, Inc. | 432,648 | ||||||
| 3,200 | Sherwin-Williams Company | 268,384 | ||||||
| 600 | Starwood Hotels & Resorts Worldwide, Inc. | 33,624 | ||||||
| 5,600 | Target Corporation | 262,696 | ||||||
| 4,800 | Tim Hortons, Inc. | 234,288 | ||||||
| 7,500 | TJX Companies, Inc. | 393,975 | ||||||
| 3,000 | Toyota Motor Corporation ADR | 247,260 | ||||||
| 5,100 | Yum! Brands, Inc. | 281,724 | ||||||
|
| |||||||
| Total Consumer Discretionary | 5,448,726 | |||||||
|
| |||||||
| Consumer Staples (9.6%) | ||||||||
| 4,000 | Anheuser-Busch InBev NV ADR | 232,040 | ||||||
| 18,500 | Campbell Soup Company | 639,175 | ||||||
| 8,400 | Clorox Company | 566,496 | ||||||
| 10,300 | Coca-Cola Companya | 693,087 | ||||||
| 4,600 | Colgate-Palmolive Company | 402,086 | ||||||
| 8,000 | Companhia de Bebidas das Americas ADR | 269,840 | ||||||
| 9,500 | Herbalife, Ltd. | 547,580 | ||||||
| 5,300 | Mead Johnson Nutrition Company | 358,015 | ||||||
| 4,100 | PepsiCo, Inc. | 288,763 | ||||||
| 23,400 | Philip Morris International, Inc. | 1,562,418 | ||||||
| 11,700 | Procter & Gamble Company | 743,769 | ||||||
| 8,100 | Unilever plc ADR | 262,359 | ||||||
| 18,600 | Vector Group, Ltd. | 330,894 | ||||||
| 6,700 | Walgreen Company | 284,482 | ||||||
| 28,600 | Wal-Mart Stores, Inc. | 1,519,804 | ||||||
|
| |||||||
| Total Consumer Staples | 8,700,808 | |||||||
|
| |||||||
| Energy (12.3%) | ||||||||
| 3,700 | Baker Hughes, Inc. | 268,472 | ||||||
| 4,800 | BP plc ADR | 212,592 | ||||||
| 5,300 | Cenovus Energy, Inc. | 199,598 | ||||||
| 15,400 | Chevron Corporationa | 1,583,736 | ||||||
| 700 | CNOOC, Ltd. ADR | 165,151 | ||||||
| 22,100 | ConocoPhillips | 1,661,699 | ||||||
| 3,800 | Core Laboratories NV | 423,852 | ||||||
| 7,200 | Enbridge, Inc. | 233,712 | ||||||
| 19,900 | Exxon Mobil Corporation | 1,619,462 | ||||||
| 5,100 | Holly Corporation | 353,940 | ||||||
| 5,100 | Marathon Oil Corporation | 268,668 | ||||||
| 4,400 | Murphy Oil Corporation | 288,904 | ||||||
| 4,900 | National Oilwell Varco, Inc. | 383,229 | ||||||
| 3,900 | Occidental Petroleum Corporation | 405,756 | ||||||
| 5,900 | Penn West Petroleum, Ltd. | 136,172 | ||||||
| 3,200 | PetroChina Company, Ltd. ADR | 467,296 | ||||||
| 10,600 | Petroleo Brasileiro SA PREF ADR | 325,208 | ||||||
| 8,300 | Royal Dutch Shell plc ADR | 595,525 | ||||||
| 4,700 | Suncor Energy, Inc. | 183,770 | ||||||
| 4,100 | Total SA ADR | 237,144 | ||||||
| 14,200 | Valero Energy Corporation | 363,094 | ||||||
| 28,900 | W&T Offshore, Inc. | 754,868 | ||||||
|
| |||||||
| Total Energy | 11,131,848 | |||||||
|
| |||||||
| Financials (19.7%) | ||||||||
| 29,300 | Aflac, Inc.a | 1,367,724 | ||||||
| 700 | Agree Realty Corporation | 15,631 | ||||||
| 400 | Alexandria Real Estate Equities, Inc. | 30,968 | ||||||
| 1,400 | American Campus Communities, Inc. | 49,728 | ||||||
| 22,500 | Artio Global Investors, Inc. | 254,250 | ||||||
| 1,000 | Ashford Hospitality Trust | 12,450 | ||||||
| 1,600 | AvalonBay Communities, Inc. | 205,440 | ||||||
| 10,400 | Aviva plc ADR | 147,992 | ||||||
| 18,500 | Banco Santander SA ADR | 212,935 | ||||||
| 32,800 | Bank of America Corporation | 359,488 | ||||||
| 6,300 | Barclays plc ADR | 103,509 | ||||||
| 1,900 | BioMed Realty Trust, Inc. | 36,556 | ||||||
| 2,000 | Boston Properties, Inc. | 212,320 | ||||||
| 1,300 | Brandywine Realty Trust | 15,067 | ||||||
| 800 | BRE Properties, Inc. | 39,904 | ||||||
| 1,500 | Brookfield Office Properties, Inc. | 28,920 | ||||||
| 1,000 | Camden Property Trust | 63,620 | ||||||
| 84,900 | Capitol Federal Financial, Inc.a | 998,424 | ||||||
| 1,000 | CBL & Associates Properties, Inc. | 18,130 | ||||||
| 19,400 | Charles Schwab Corporation | 319,130 | ||||||
| 300 | Corporate Office Properties Trust | 9,333 | ||||||
| 4,100 | Credit Suisse Group ADR | 159,982 | ||||||
| 2,200 | DCT Industrial Trust, Inc. | 11,506 | ||||||
| 2,700 | Deutsche Bank AG ADR | 159,948 | ||||||
| 800 | Developers Diversified Realty Corporation | 11,280 | ||||||
| 2,000 | DiamondRock Hospitality Company | 21,460 | ||||||
| 1,200 | Digital Realty Trust, Inc. | 74,136 | ||||||
| 700 | Duke Realty Corporation | 9,807 | ||||||
| 700 | DuPont Fabros Technology, Inc. | 17,640 | ||||||
| 100 | EastGroup Properties, Inc. | 4,251 | ||||||
| 1,400 | Education Realty Trust, Inc. | 11,998 | ||||||
| 200 | Entertainment Properties Trust | 9,340 | ||||||
| 1,500 | Equity One, Inc. | 27,960 | ||||||
| 3,200 | Equity Residential | 192,000 | ||||||
| 600 | Essex Property Trust, Inc. | 81,174 | ||||||
| 1,500 | Federal Realty Investment Trust | 127,770 | ||||||
| 700 | First Industrial Realty Trust, Inc.b | 8,015 | ||||||
| 700 | Forest City Enterprises, Inc.b | 13,069 | ||||||
| 2,900 | Franklin Resources, Inc. | 380,741 | ||||||
| 2,700 | Franklin Street Properties Corporation | 34,857 | ||||||
| 1,000 | Getty Realty Corporation | 25,230 | ||||||
| 1,000 | Glimcher Realty Trust | 9,500 | ||||||
| 2,300 | Goldman Sachs Group, Inc. | 306,107 | ||||||
| 1,500 | Government Properties Income Trust | 40,530 | ||||||
| 2,900 | Health Care Property Investors, Inc. | 106,401 | ||||||
| 400 | Health Care REIT, Inc. | 20,972 | ||||||
| 1,100 | Highwoods Properties, Inc. | 36,443 | ||||||
| 400 | Hospitality Properties Trust | 9,700 | ||||||
| 7,800 | Host Hotels & Resorts, Inc. | 132,210 | ||||||
| 5,600 | HSBC Holdings plc ADR | 277,872 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
242
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (81.9%) | Value | ||||||
| Financials (19.7%) - continued | ||||||||
| 500 | iShares Dow Jones Select Dividend Index Fund ETF | $ | 26,460 | |||||
| 17,150 | iShares Dow Jones U.S. Real Estate Index Fund ETF | 1,034,145 | ||||||
| 8,300 | iShares MSCI EAFE Index Fund | 499,162 | ||||||
| 9,500 | Itau Unibanco Holding SA ADR | 223,725 | ||||||
| 600 | Kilroy Realty Corporation | 23,694 | ||||||
| 4,400 | Kimco Realty Corporation | 82,016 | ||||||
| 1,700 | Kite Realty Group Trust | 8,466 | ||||||
| 1,200 | LaSalle Hotel Properties | 31,608 | ||||||
| 800 | Lexington Realty Trust | 7,304 | ||||||
| 1,800 | Liberty Property Trust | 58,644 | ||||||
| 32,500 | Lloyds Banking Group plc ADRb | 101,400 | ||||||
| 500 | LTC Properties, Inc. | 13,910 | ||||||
| 1,100 | Macerich Company | 58,850 | ||||||
| 1,000 | Mack-Cali Realty Corporation | 32,940 | ||||||
| 8,800 | Manulife Financial Corporation | 155,408 | ||||||
| 700 | Medical Properties Trust, Inc. | 8,050 | ||||||
| 33,000 | Mitsubishi UFJ Financial Group, Inc. ADR | 159,390 | ||||||
| 7,600 | Moody’s Corporation | 291,460 | ||||||
| 11,800 | Morgan Stanley | 271,518 | ||||||
| 1,100 | National Health Investors, Inc. | 48,873 | ||||||
| 1,700 | National Retail Properties, Inc. | 41,667 | ||||||
| 1,300 | Nationwide Health Properties, Inc. | 53,833 | ||||||
| 13,200 | Northern Trust Corporation | 606,672 | ||||||
| 700 | Omega Healthcare Investors, Inc. | 14,707 | ||||||
| 900 | Post Properties, Inc. | 36,684 | ||||||
| 400 | Potlatch Corporation | 14,108 | ||||||
| 9,800 | Principal Financial Group, Inc. | 298,116 | ||||||
| 4,278 | Prologis, Inc. | 153,324 | ||||||
| 400 | PS Business Parks, Inc. | 22,040 | ||||||
| 1,900 | Public Storage, Inc. | 216,619 | ||||||
| 500 | Ramco-Gershenson Properties Trust | 6,190 | ||||||
| 600 | Rayonier, Inc. REIT | 39,210 | ||||||
| 700 | Realty Income Corporation | 23,443 | ||||||
| 1,500 | Regency Centers Corporation | 65,955 | ||||||
| 8,600 | Royal Bank of Scotland Group plc ADRb | 107,070 | ||||||
| 2,300 | Senior Housing Property Trust | 53,843 | ||||||
| 3,100 | Simon Property Group, Inc. | 360,313 | ||||||
| 1,100 | SL Green Realty Corporation | 91,157 | ||||||
| 100 | Sovran Self Storage, Inc. | 4,100 | ||||||
| 41,300 | SPDR Dow Jones Wilshire International Real Estate ETF | 1,667,694 | ||||||
| 9,100 | Torchmark Corporation | 583,674 | ||||||
| 3,300 | Toronto-Dominion Bank | 280,170 | ||||||
| 700 | UDR, Inc. | 17,185 | ||||||
| 400 | Universal Health Realty Income Trust | 15,992 | ||||||
| 300 | Urstadt Biddle Properties, Inc. | 5,433 | ||||||
| 400 | U-Store-It Trust | 4,208 | ||||||
| 15,500 | Vanguard FTSE All-World Ex-US Index Fund ETF | 772,055 | ||||||
| 7,100 | Vanguard MSCI Emerging Markets ETF | 345,202 | ||||||
| 1,900 | Ventas, Inc. | 100,149 | ||||||
| 1,800 | Vornado Realty Trust | 167,724 | ||||||
| 7,200 | Waddell & Reed Financial, Inc. | 261,720 | ||||||
| 200 | Washington Real Estate Investment Trust | 6,504 | ||||||
| 41,600 | Wells Fargo & Company | 1,167,296 | ||||||
| 1,800 | Westpac Banking Corporation ADR | 216,288 | ||||||
|
| |||||||
| Total Financials | 17,780,786 | |||||||
|
| |||||||
| Health Care (7.7%) | ||||||||
| 6,700 | Abbott Laboratories | 352,554 | ||||||
| 9,500 | AmerisourceBergen Corporation | 393,300 | ||||||
| 4,500 | Amgen, Inc.b | 262,575 | ||||||
| 8,600 | Cardinal Health, Inc. | 390,612 | ||||||
| 4,900 | Covidien plc | 260,827 | ||||||
| 8,700 | Johnson & Johnson | 578,724 | ||||||
| 4,700 | McKesson Corporation | 393,155 | ||||||
| 37,700 | Medtronic, Inc. | 1,452,581 | ||||||
| 8,800 | Merck & Company, Inc. | 310,552 | ||||||
| 5,050 | Novartis AG ADR | 308,605 | ||||||
| 1,700 | Novo Nordisk A/S ADR | 212,976 | ||||||
| 64,600 | Pfizer, Inc. | 1,330,760 | ||||||
| 7,150 | Sanofi ADR | 287,216 | ||||||
| 8,700 | UnitedHealth Group, Inc. | 448,746 | ||||||
|
| |||||||
| Total Health Care | 6,983,183 | |||||||
|
| |||||||
| Industrials (7.8%) | ||||||||
| 2,900 | 3M Company | 275,065 | ||||||
| 8,050 | ABB, Ltd. ADRb | 208,897 | ||||||
| 2,700 | Caterpillar, Inc. | 287,442 | ||||||
| 19,400 | Cintas Corporation | 640,782 | ||||||
| 18,000 | Joy Global, Inc. | 1,714,320 | ||||||
| 7,000 | Lockheed Martin Corporation | 566,790 | ||||||
| 7,100 | Nordson Corporation | 389,435 | ||||||
| 6,500 | Pall Corporation | 365,495 | ||||||
| 12,300 | Raytheon Company | 613,155 | ||||||
| 8,300 | Rockwell Collins, Inc. | 512,027 | ||||||
| 2,000 | Siemens AG ADR | 275,060 | ||||||
| 8,100 | Toro Company | 490,050 | ||||||
| 5,800 | United Parcel Service, Inc. | 422,994 | ||||||
| 3,200 | United Technologies Corporation | 283,232 | ||||||
|
| |||||||
| Total Industrials | 7,044,744 | |||||||
|
| |||||||
| Information Technology (8.4%) | ||||||||
| 7,100 | Accenture plc | 428,982 | ||||||
| 6,300 | Advantest Corporation ADR | 116,172 | ||||||
| 8,900 | Altera Corporation | 412,515 | ||||||
| 8,700 | Analog Devices, Inc. | 340,518 | ||||||
| 17,000 | Cisco Systems, Inc. | 265,370 | ||||||
| 15,700 | Comtech Telecommunications Corporation | 440,228 | ||||||
| 3,700 | FactSet Research Systems, Inc. | 378,584 | ||||||
| 8,600 | Hewlett-Packard Company | 313,040 | ||||||
| 72,400 | Intel Corporation | 1,604,384 | ||||||
| 2,200 | International Business Machines Corporation | 377,410 | ||||||
| 67,500 | Microsoft Corporation | 1,755,000 | ||||||
| 11,900 | Oracle Corporation | 391,629 | ||||||
| 3,700 | SAP AG ADR | 224,405 | ||||||
| 19,000 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 239,590 | ||||||
| 9,400 | Virnetx Holding Corporationb | 272,036 | ||||||
|
| |||||||
| Total Information Technology | 7,559,863 | |||||||
|
| |||||||
| Materials (4.3%) | ||||||||
| 3,600 | Barrick Gold Corporation | 163,044 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
243
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (81.9%) | Value | ||||||
| Materials (4.3%) - continued | ||||||||
| 5,000 | BHP Billiton plc ADR | $ | 392,150 | |||||
| 4,300 | BHP Billiton, Ltd. ADR | 406,909 | ||||||
| 5,500 | Freeport-McMoRan Copper & Gold, Inc. | 290,950 | ||||||
| 8,600 | Mesabi Trust | 287,928 | ||||||
| 18,700 | Mosaic Company | 1,266,551 | ||||||
| 1,400 | POSCO ADR | 152,068 | ||||||
| 2,400 | Potash Corporation of Saskatchewan, Inc. | 136,776 | ||||||
| 3,700 | Rio Tinto plc ADR | 267,584 | ||||||
| 9,300 | Vale SA SP PREF ADR | 269,328 | ||||||
| 2,300 | Walter Energy, Inc. | 266,340 | ||||||
|
| |||||||
| Total Materials | 3,899,628 | |||||||
|
| |||||||
| Telecommunications Services (2.6%) | ||||||||
| 4,300 | America Movil SAB de CV ADR | 231,684 | ||||||
| 22,400 | AT&T, Inc.a | 703,584 | ||||||
| 6,200 | China Mobile, Ltd. ADR | 290,036 | ||||||
| 9,500 | IDT Corporation | 256,690 | ||||||
| 9,000 | Nippon Telegraph & Telephone Corporation ADR | 217,620 | ||||||
| 12,000 | NTT DOCOMO, INC. ADR | 214,920 | ||||||
| 6,300 | Telefonica SA ADR | 154,287 | ||||||
| 7,600 | Verizon Communications, Inc. | 282,948 | ||||||
|
| |||||||
| Total Telecommunications Services | 2,351,769 | |||||||
|
| |||||||
| Utilities (3.5%) | ||||||||
| 21,900 | Ameren Corporationa | 631,596 | ||||||
| 10,900 | DTE Energy Company | 545,218 | ||||||
| 6,600 | Entergy Corporation | 450,648 | ||||||
| 7,600 | Exelon Corporation | 325,584 | ||||||
| 4,100 | National Grid plc ADR | 202,663 | ||||||
| 16,400 | Northeast Utilities | 576,788 | ||||||
| 23,200 | Questar Corporation | 410,872 | ||||||
|
| |||||||
| Total Utilities | 3,143,369 | |||||||
|
| |||||||
Total Common Stock (cost $70,590,229) | 74,044,724 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (6.3%) | |||||||
| Consumer Cyclical (0.4%) | ||||||||
CVS Caremark Corporation | ||||||||
| 400,000 | 6.302%, 6/1/2037 | 389,500 | ||||||
|
| |||||||
| Total Consumer Cyclical | 389,500 | |||||||
|
| |||||||
| Energy (0.9%) | ||||||||
Enbridge Energy Partners, LP | ||||||||
| 350,000 | 8.050%, 10/1/2037 | 379,731 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 425,000 | 7.034%, 1/15/2068 | 446,781 | ||||||
|
| |||||||
| Total Energy | 826,512 | |||||||
|
| |||||||
| Financials (4.6%) | ||||||||
Aegon NV | ||||||||
| 500,000 | 3.698%, 7/29/2049c,d | 349,225 | ||||||
American International Group, Inc. | ||||||||
| 150,000 | 8.175%, 5/15/2058 | 163,890 | ||||||
BAC Capital Trust VI | ||||||||
| 350,000 | 5.625%, 3/8/2035 | 301,536 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 175,000 | 5.919%, 12/29/2049d | 144,880 | ||||||
ING Capital Funding Trust III | ||||||||
| 350,000 | 3.846%, 12/31/2049c,d | 330,532 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 7.900%, 4/29/2049d | 187,966 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 350,000 | 10.750%, 6/15/2058e | 464,625 | ||||||
MetLife, Inc. | ||||||||
| 400,000 | 7.875%, 12/15/2037e | 417,883 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 425,000 | 6.750%, 12/15/2065 | 406,023 | ||||||
Wachovia Capital Trust III | ||||||||
| 250,000 | 5.570%, 3/15/2042c,d | 228,750 | ||||||
Wells Fargo Capital XIII | ||||||||
| 275,000 | 7.700%, 12/29/2049d | 280,500 | ||||||
XL Capital, Ltd. | ||||||||
| 475,000 | 6.500%, 12/31/2049d | 435,812 | ||||||
ZFS Finance USA Trust II | ||||||||
| 400,000 | 6.450%, 12/15/2065e | 406,000 | ||||||
|
| |||||||
| Total Financials | 4,117,622 | |||||||
|
| |||||||
| Utilities (0.4%) | ||||||||
Dominion Resources, Inc. | ||||||||
| 375,000 | 6.300%, 9/30/2066 | 366,094 | ||||||
|
| |||||||
| Total Utilities | 366,094 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $5,396,217) | 5,699,728 | |||||||
|
| |||||||
| Shares | Preferred Stock (1.0%) | |||||||
| Financials (0.9%) | ||||||||
| 5,000 | Bank of America Corporationd | 131,750 | ||||||
| 9,500 | Citigroup Capital XII, 8.500% | 245,290 | ||||||
| 2,500 | JPMorgan Chase Capital XXIX | 63,550 | ||||||
| 300 | SG Preferred Capital II, LLC, 6.302%d,e | 291,844 | ||||||
| 3,000 | U.S. Bancorpd | 82,920 | ||||||
|
| |||||||
| Total Financials | 815,354 | |||||||
|
| |||||||
| Utilities (0.1%) | ||||||||
| 2,870 | Xcel Energy, Inc. | 78,925 | ||||||
|
| |||||||
| Total Utilities | 78,925 | |||||||
|
| |||||||
Total Preferred Stock (cost $883,882) | 894,279 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (7.4%)f | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 6,000,000 | 0.050%, 7/15/2011 | 5,999,883 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
244
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Short-Term Investments (7.4%)f | Value | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 700,000 | 0.160%, 8/29/2011g | $ | 699,820 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 6,699,703 | |||||||
|
| |||||||
| Total Investments (cost $83,570,031) 96.6% | $ | 87,338,434 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 3.4% | 3,083,776 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 90,422,210 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $1,580,352 or 1.7% of total net assets. |
| f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| g | At June 30, 2011, $699,820 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 6,182,283 | ||
Gross unrealized depreciation | (2,464,120 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 3,718,163 | ||
Cost for federal income tax purposes | $ | 83,620,271 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
245
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Equity Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 5,448,726 | 5,448,726 | — | — | ||||||||||||
Consumer Staples | 8,700,808 | 8,700,808 | — | — | ||||||||||||
Energy | 11,131,848 | 11,131,848 | — | — | ||||||||||||
Financials | 17,780,786 | 17,780,786 | — | — | ||||||||||||
Health Care | 6,983,183 | 6,983,183 | — | — | ||||||||||||
Industrials | 7,044,744 | 7,044,744 | — | — | ||||||||||||
Information Technology | 7,559,863 | 7,559,863 | — | — | ||||||||||||
Materials | 3,899,628 | 3,899,628 | — | — | ||||||||||||
Telecommunications Services | 2,351,769 | 2,351,769 | — | — | ||||||||||||
Utilities | 3,143,369 | 3,143,369 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Consumer Cyclical | 389,500 | — | 389,500 | — | ||||||||||||
Energy | 826,512 | — | 826,512 | — | ||||||||||||
Financials | 4,117,622 | — | 4,117,622 | — | ||||||||||||
Utilities | 366,094 | — | 366,094 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 815,354 | 523,510 | 291,844 | — | ||||||||||||
Utilities | 78,925 | 78,925 | — | — | ||||||||||||
Short-Term Investments | 6,699,703 | — | 6,699,703 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 87,338,434 | $ | 74,647,159 | $ | 12,691,275 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 242,187 | 242,187 | — | — | ||||||||||||
Call Options Written | 400 | 400 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 242,587 | $ | 242,587 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Call Options Written | 7,100 | 7,100 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 7,100 | $ | 7,100 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Mini-Futures | 144 | September 2011 | $ | 9,229,413 | $ | 9,471,600 | $ | 242,187 | ||||||||||||
Total Futures Contracts | $ | 242,187 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 40 | $ | 1,345.00 | August 2011 | ($ | 27,000 | ) | $ | 400 | |||||||||||
S&P 500 Mini-Futures Call Option | 40 | 1,325.00 | July 2011 | (18,000 | ) | (7,100 | ) | |||||||||||||
Total Call Options Written | ($ | 45,000 | ) | ($ | 6,700 | ) | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
246
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | $ | 242,187 | |||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 400 | ||||
Total Equity Contracts | 242,587 | |||||
|
| |||||
Total Asset Derivatives | $ | 242,587 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 7,100 | ||||
Total Equity Contracts | 7,100 | |||||
|
| |||||
Total Liability Derivatives | $ | 7,100 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | (6,291 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 293,688 | ||||
Total Equity Contracts | 287,397 | |||||
|
| |||||
Total | $ | 287,397 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (8,138 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 96,116 | ||||
Total Equity Contracts | 87,978 | |||||
|
| |||||
Total | $ | 87,978 | ||||
|
| |||||
The following table presents Equity Income Plus Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 8,550,192 | 10.0 | % | 21 | |||||||
| * | 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.
247
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (63.0%) | Value | ||||||
| Consumer Discretionary (6.7%) | ||||||||
| 1,200 | Abercrombie & Fitch Company | $ | 80,304 | |||||
| 4,900 | Amazon.com, Inc.a | 1,002,001 | ||||||
| 1,600 | Apollo Group, Inc.a | 69,888 | ||||||
| 800 | AutoNation, Inc.a,b | 29,288 | ||||||
| 400 | AutoZone, Inc.a | 117,940 | ||||||
| 3,400 | Bed Bath & Beyond, Inc.a | 198,458 | ||||||
| 4,375 | Best Buy Company, Inc. | 137,419 | ||||||
| 1,000 | Big Lots, Inc.a | 33,150 | ||||||
| 3,100 | Cablevision Systems Corporation | 112,251 | ||||||
| 3,200 | CarMax, Inc.a | 105,824 | ||||||
| 5,900 | Carnival Corporation | 222,017 | ||||||
| 9,162 | CBS Corporation | 261,025 | ||||||
| 400 | Chipotle Mexican Grill, Inc.a | 123,276 | ||||||
| 4,000 | Coach, Inc. | 255,720 | ||||||
| 38,265 | Comcast Corporation | 969,635 | ||||||
| 4,100 | D.R. Horton, Inc. | 47,232 | ||||||
| 1,800 | Darden Restaurants, Inc. | 89,568 | ||||||
| 800 | DeVry, Inc. | 47,304 | ||||||
| 10,500 | DIRECTVa | 533,610 | ||||||
| 3,800 | Discovery Communications, Inc.a | 155,648 | ||||||
| 2,700 | Expedia, Inc. | 78,273 | ||||||
| 1,600 | Family Dollar Stores, Inc. | 84,096 | ||||||
| 52,488 | Ford Motor Companya | 723,810 | ||||||
| 2,100 | Fortune Brands, Inc. | 133,917 | ||||||
| 3,400 | Gannett Company, Inc. | 48,688 | ||||||
| 5,500 | Gap, Inc. | 99,550 | ||||||
| 2,100 | Genuine Parts Company | 114,240 | ||||||
| 3,400 | Goodyear Tire & Rubber Companya | 57,018 | ||||||
| 4,300 | H&R Block, Inc. | 68,972 | ||||||
| 3,300 | Harley-Davidson, Inc. | 135,201 | ||||||
| 900 | Harman International Industries, Inc. | 41,013 | ||||||
| 1,800 | Hasbro, Inc. | 79,074 | ||||||
| 22,000 | Home Depot, Inc. | 796,840 | ||||||
| 4,300 | International Game Technology | 75,594 | ||||||
| 6,989 | Interpublic Group of Companies, Inc. | 87,363 | ||||||
| 2,900 | J.C. Penney Company, Inc. | 100,166 | ||||||
| 9,300 | Johnson Controls, Inc. | 387,438 | ||||||
| 3,800 | Kohl’s Corporation | 190,038 | ||||||
| 2,000 | Leggett & Platt, Inc. | 48,760 | ||||||
| 2,300 | Lennar Corporation | 41,745 | ||||||
| 3,562 | Limited Brands, Inc. | 136,959 | ||||||
| 18,000 | Lowe’s Companies, Inc. | 419,580 | ||||||
| 5,900 | Macy’s, Inc. | 172,516 | ||||||
| 3,863 | Marriott International, Inc. | 137,098 | ||||||
| 4,925 | Mattel, Inc. | 135,388 | ||||||
| 14,200 | McDonald’s Corporation | 1,197,344 | ||||||
| 4,200 | McGraw-Hill Companies, Inc. | 176,022 | ||||||
| 600 | Netflix, Inc.a | 157,614 | ||||||
| 4,226 | Newell Rubbermaid, Inc. | 66,686 | ||||||
| 31,800 | News Corporation | 562,860 | ||||||
| 5,200 | NIKE, Inc. | 467,896 | ||||||
| 2,400 | Nordstrom, Inc. | 112,656 | ||||||
| 3,800 | Omnicom Group, Inc. | 183,008 | ||||||
| 1,900 | O’Reilly Automotive, Inc.a | 124,469 | ||||||
| 800 | Polo Ralph Lauren Corporation | 106,088 | ||||||
| 600 | Priceline.com, Inc.a | 307,158 | ||||||
| 5,137 | Pulte Group, Inc.a | 39,349 | ||||||
| 1,600 | Ross Stores, Inc. | 128,192 | ||||||
| 1,200 | Scripps Networks Interactive | 58,656 | ||||||
| 680 | Sears Holdings Corporationa,b | 48,579 | ||||||
| 1,200 | Sherwin-Williams Company | 100,644 | ||||||
| 800 | Snap-On, Inc. | 49,984 | ||||||
| 9,900 | Staples, Inc. | 156,420 | ||||||
| 10,300 | Starbucks Corporation | 406,747 | ||||||
| 2,600 | Starwood Hotels & Resorts Worldwide, Inc. | 145,704 | ||||||
| 9,500 | Target Corporation | 445,645 | ||||||
| 1,700 | Tiffany & Company | 133,484 | ||||||
| 4,680 | Time Warner Cable, Inc. | 365,227 | ||||||
| 14,716 | Time Warner, Inc. | 535,221 | ||||||
| 5,300 | TJX Companies, Inc. | 278,409 | ||||||
| 1,700 | Urban Outfitters, Inc.a | 47,855 | ||||||
| 1,200 | VF Corporation | 130,272 | ||||||
| 8,062 | Viacom, Inc. | 411,162 | ||||||
| 25,987 | Walt Disney Company | 1,014,532 | ||||||
| 20 | Washington Post Company | 8,379 | ||||||
| 1,058 | Whirlpool Corporation | 86,037 | ||||||
| 2,432 | Wyndham Worldwide Corporation | 81,837 | ||||||
| 1,000 | Wynn Resorts, Ltd. | 143,540 | ||||||
| 6,420 | Yum! Brands, Inc. | 354,641 | ||||||
|
| |||||||
| Total Consumer Discretionary | 17,617,212 | |||||||
|
| |||||||
| Consumer Staples (6.7%) | ||||||||
| 28,900 | Altria Group, Inc. | 763,249 | ||||||
| 9,441 | Archer-Daniels-Midland Company | 284,646 | ||||||
| 6,000 | Avon Products, Inc. | 168,000 | ||||||
| 1,425 | Brown-Forman Corporation | 106,433 | ||||||
| 2,500 | Campbell Soup Companyb | 86,375 | ||||||
| 1,800 | Clorox Company | 121,392 | ||||||
| 31,600 | Coca-Cola Company | 2,126,364 | ||||||
| 4,400 | Coca-Cola Enterprises, Inc. | 128,392 | ||||||
| 6,700 | Colgate-Palmolive Company | 585,647 | ||||||
| 5,700 | ConAgra Foods, Inc. | 147,117 | ||||||
| 2,600 | Constellation Brands, Inc.a | 54,132 | ||||||
| 6,000 | Costco Wholesale Corporation | 487,440 | ||||||
| 18,605 | CVS Caremark Corporation | 699,176 | ||||||
| 2,600 | Dean Foods Companya | 31,902 | ||||||
| 3,000 | Dr. Pepper Snapple Group, Inc. | 125,790 | ||||||
| 1,500 | Estee Lauder Companies, Inc. | 157,785 | ||||||
| 8,800 | General Mills, Inc. | 327,536 | ||||||
| 4,450 | H.J. Heinz Company | 237,096 | ||||||
| 2,100 | Hershey Company | 119,385 | ||||||
| 2,100 | Hormel Foods Corporation | 62,601 | ||||||
| 1,555 | J.M. Smucker Company | 118,864 | ||||||
| 3,400 | Kellogg Company | 188,088 | ||||||
| 5,380 | Kimberly-Clark Corporation | 358,093 | ||||||
| 24,160 | Kraft Foods, Inc. | 851,157 | ||||||
| 8,500 | Kroger Company | 210,800 | ||||||
| 1,900 | Lorillard, Inc. | 206,853 | ||||||
| 1,800 | McCormick & Company, Inc. | 89,226 | ||||||
| 2,922 | Mead Johnson Nutrition Company | 197,381 | ||||||
| 2,100 | Molson Coors Brewing Company | 93,954 | ||||||
| 21,797 | PepsiCo, Inc. | 1,535,163 | ||||||
| 24,400 | Philip Morris International, Inc. | 1,629,188 | ||||||
| 38,379 | Procter & Gamble Company | 2,439,753 | ||||||
| 4,600 | Reynolds American, Inc. | 170,430 | ||||||
| 5,000 | Safeway, Inc. | 116,850 | ||||||
| 8,400 | Sara Lee Corporation | 159,516 | ||||||
| 3,269 | SUPERVALU, Inc.b | 30,761 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
248
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (63.0%) | Value | ||||||
| Consumer Staples (6.7%) - continued | ||||||||
| 8,100 | Sysco Corporation | $ | 252,558 | |||||
| 4,300 | Tyson Foods, Inc. | 83,506 | ||||||
| 12,600 | Walgreen Company | 534,996 | ||||||
| 26,300 | Wal-Mart Stores, Inc. | 1,397,582 | ||||||
| 2,000 | Whole Foods Market, Inc. | 126,900 | ||||||
|
| |||||||
| Total Consumer Staples | 17,612,077 | |||||||
|
| |||||||
| Energy (8.0%) | ||||||||
| 3,037 | Alpha Natural Resources, Inc.a | 138,001 | ||||||
| 6,836 | Anadarko Petroleum Corporation | 524,731 | ||||||
| 5,268 | Apache Corporation | 650,019 | ||||||
| 5,961 | Baker Hughes, Inc. | 432,530 | ||||||
| 1,400 | Cabot Oil & Gas Corporation | 92,834 | ||||||
| 3,300 | Cameron International Corporationa | 165,957 | ||||||
| 9,000 | Chesapeake Energy Corporation | 267,210 | ||||||
| 27,774 | Chevron Corporation | 2,856,278 | ||||||
| 19,482 | ConocoPhillips | 1,464,852 | ||||||
| 3,100 | CONSOL Energy, Inc. | 150,288 | ||||||
| 5,600 | Denbury Resources, Inc.a | 112,000 | ||||||
| 5,800 | Devon Energy Corporation | 457,098 | ||||||
| 900 | Diamond Offshore Drilling, Inc.b | 63,369 | ||||||
| 10,686 | El Paso Corporation | 215,857 | ||||||
| 3,700 | EOG Resources, Inc. | 386,835 | ||||||
| 2,000 | EQT Corporation | 105,040 | ||||||
| 67,834 | Exxon Mobil Corporation | 5,520,331 | ||||||
| 3,300 | FMC Technologies, Inc.a | 147,807 | ||||||
| 12,700 | Halliburton Company | 647,700 | ||||||
| 1,400 | Helmerich & Payne, Inc. | 92,568 | ||||||
| 4,100 | Hess Corporation | 306,516 | ||||||
| 9,722 | Marathon Oil Corporation | 512,155 | ||||||
| 2,600 | Murphy Oil Corporation | 170,716 | ||||||
| 4,000 | Nabors Industries, Ltd.a | 98,560 | ||||||
| 5,900 | National Oilwell Varco, Inc. | 461,439 | ||||||
| 1,800 | Newfield Exploration Companya | 122,436 | ||||||
| 3,400 | Noble Corporation | 133,994 | ||||||
| 2,400 | Noble Energy, Inc. | 215,112 | ||||||
| 11,200 | Occidental Petroleum Corporation | 1,165,248 | ||||||
| 3,700 | Peabody Energy Corporation | 217,967 | ||||||
| 1,600 | Pioneer Natural Resources Company | 143,312 | ||||||
| 2,400 | QEP Resources, Inc. | 100,392 | ||||||
| 2,200 | Range Resources Corporation | 122,100 | ||||||
| 1,700 | Rowan Companies, Inc.a | 65,977 | ||||||
| 18,625 | Schlumberger, Ltd. | 1,609,200 | ||||||
| 4,700 | Southwestern Energy Companya | 201,536 | ||||||
| 9,021 | Spectra Energy Corporation | 247,266 | ||||||
| 1,600 | Sunoco, Inc. | 66,736 | ||||||
| 2,000 | Tesoro Corporationa | 45,820 | ||||||
| 7,900 | Valero Energy Corporation | 202,003 | ||||||
| 8,100 | Williams Companies, Inc. | 245,025 | ||||||
|
| |||||||
| Total Energy | 20,944,815 | |||||||
|
| |||||||
| Financials (9.5%) | ||||||||
| 4,600 | ACE, Ltd. | 302,772 | ||||||
| 6,400 | Aflac, Inc. | 298,752 | ||||||
| 7,296 | Allstate Corporation | 222,747 | ||||||
| 14,500 | American Express Company | 749,650 | ||||||
| 5,920 | American International Group, Inc.a | 173,574 | ||||||
| 1,238 | American International Group, Inc. Warrants, $45.00, expires 1/20/2021a,b | 12,628 | ||||||
| 3,340 | Ameriprise Financial, Inc. | 192,651 | ||||||
| 4,550 | Aon Corporation | 233,415 | ||||||
| 1,754 | Apartment Investment & Management Company | 44,780 | ||||||
| 1,400 | Assurant, Inc. | 50,778 | ||||||
| 1,153 | AvalonBay Communities, Inc. | 148,045 | ||||||
| 139,554 | Bank of America Corporation | 1,529,512 | ||||||
| 17,201 | Bank of New York Mellon Corporation | 440,690 | ||||||
| 9,700 | BB&T Corporation | 260,348 | ||||||
| 23,750 | Berkshire Hathaway, Inc.a | 1,838,012 | ||||||
| 1,300 | BlackRock, Inc. | 249,353 | ||||||
| 2,100 | Boston Properties, Inc. | 222,936 | ||||||
| 6,365 | Capital One Financial Corporation | 328,879 | ||||||
| 4,000 | CB Richard Ellis Group, Inc.a | 100,440 | ||||||
| 14,225 | Charles Schwab Corporation | 234,001 | ||||||
| 4,000 | Chubb Corporation | 250,440 | ||||||
| 2,451 | Cincinnati Financial Corporation | 71,520 | ||||||
| 40,238 | Citigroup, Inc. | 1,675,510 | ||||||
| 900 | CME Group, Inc. | 262,431 | ||||||
| 2,400 | Comerica, Inc. | 82,968 | ||||||
| 7,495 | Discover Financial Services | 200,491 | ||||||
| 3,730 | E*TRADE Financial Corporationa | 51,474 | ||||||
| 4,100 | Equity Residential | 246,000 | ||||||
| 1,200 | Federated Investors, Inc.b | 28,608 | ||||||
| 13,216 | Fifth Third Bancorp | 168,504 | ||||||
| 4,244 | First Horizon National Corporation | 40,488 | ||||||
| 1,900 | Franklin Resources, Inc. | 249,451 | ||||||
| 7,100 | Genworth Financial, Inc.a | 72,988 | ||||||
| 7,200 | Goldman Sachs Group, Inc. | 958,248 | ||||||
| 6,200 | Hartford Financial Services Group, Inc. | 163,494 | ||||||
| 5,500 | Health Care Property Investors, Inc. | 201,795 | ||||||
| 2,400 | Health Care REIT, Inc. | 125,832 | ||||||
| 9,847 | Host Hotels & Resorts, Inc. | 166,907 | ||||||
| 8,200 | Hudson City Bancorp, Inc. | 67,158 | ||||||
| 12,916 | Huntington Bancshares, Inc. | 84,729 | ||||||
| 1,000 | IntercontinentalExchange, Inc.a | 124,710 | ||||||
| 6,500 | Invesco, Ltd. | 152,100 | ||||||
| 54,724 | J.P. Morgan Chase & Company | 2,240,401 | ||||||
| 3,000 | Janus Capital Group, Inc. | 28,320 | ||||||
| 13,900 | KeyCorp | 115,787 | ||||||
| 5,800 | Kimco Realty Corporation | 108,112 | ||||||
| 2,000 | Legg Mason, Inc. | 65,520 | ||||||
| 2,700 | Leucadia National Corporation | 92,070 | ||||||
| 4,411 | Lincoln National Corporation | 125,669 | ||||||
| 4,400 | Loews Corporation | 185,196 | ||||||
| 1,700 | M&T Bank Corporation | 149,515 | ||||||
| 7,700 | Marsh & McLennan Companies, Inc. | 240,163 | ||||||
| 7,800 | Marshall & Ilsley Corporation | 62,166 | ||||||
| 14,616 | MetLife, Inc. | 641,204 | ||||||
| 2,700 | Moody’s Corporation | 103,545 | ||||||
| 21,490 | Morgan Stanley | 494,485 | ||||||
| 2,200 | NASDAQ OMX Group, Inc.a | 55,660 | ||||||
| 3,300 | Northern Trust Corporation | 151,668 | ||||||
| 3,600 | NYSE Euronext | 123,372 | ||||||
| 5,800 | People’s United Financial, Inc. | 77,952 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
249
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (63.0%) | Value | ||||||
| Financials (9.5%) - continued | ||||||||
| 2,200 | Plum Creek Timber Company, Inc. | $ | 89,188 | |||||
| 7,220 | PNC Financial Services Group, Inc. | 430,384 | ||||||
| 4,400 | Principal Financial Group, Inc. | 133,848 | ||||||
| 9,400 | Progressive Corporation | 200,972 | ||||||
| 6,281 | Prologis, Inc. | 225,111 | ||||||
| 6,700 | Prudential Financial, Inc. | 426,053 | ||||||
| 1,900 | Public Storage, Inc. | 216,619 | ||||||
| 18,100 | Regions Financial Corporation | 112,220 | ||||||
| 3,953 | Simon Property Group, Inc. | 459,457 | ||||||
| 7,400 | SLM Corporation | 124,394 | ||||||
| 6,900 | State Street Corporation | 311,121 | ||||||
| 7,400 | SunTrust Banks, Inc. | 190,920 | ||||||
| 3,500 | T. Rowe Price Group, Inc. | 211,190 | ||||||
| 1,000 | Torchmark Corporation | 64,140 | ||||||
| 5,725 | Travelers Companies, Inc. | 334,225 | ||||||
| 26,721 | U.S. Bancorp | 681,653 | ||||||
| 4,558 | Unum Group | 116,138 | ||||||
| 2,200 | Ventas, Inc. | 115,962 | ||||||
| 2,270 | Vornado Realty Trust | 211,519 | ||||||
| 72,882 | Wells Fargo & Company | 2,045,069 | ||||||
| 4,500 | XL Group plc | 98,910 | ||||||
| 2,600 | Zions Bancorporation | 62,426 | ||||||
|
| |||||||
| Total Financials | 25,002,133 | |||||||
|
| |||||||
| Health Care (7.3%) | ||||||||
| 21,400 | Abbott Laboratories | 1,126,068 | ||||||
| 5,156 | Aetna, Inc. | 227,328 | ||||||
| 4,200 | Allergan, Inc. | 349,650 | ||||||
| 3,700 | AmerisourceBergen Corporation | 153,180 | ||||||
| 12,852 | Amgen, Inc.a | 749,914 | ||||||
| 7,800 | Baxter International, Inc. | 465,582 | ||||||
| 3,000 | Becton, Dickinson and Company | 258,510 | ||||||
| 3,430 | Biogen Idec, Inc.a | 366,736 | ||||||
| 21,750 | Boston Scientific Corporationa | 150,292 | ||||||
| 23,605 | Bristol-Myers Squibb Company | 683,601 | ||||||
| 1,100 | C.R. Bard, Inc. | 120,846 | ||||||
| 4,775 | Cardinal Health, Inc. | 216,881 | ||||||
| 3,187 | CareFusion Corporationa | 86,591 | ||||||
| 6,300 | Celgene Corporationa | 380,016 | ||||||
| 1,000 | Cephalon, Inc.a | 79,900 | ||||||
| 2,100 | Cerner Corporationa | 128,331 | ||||||
| 3,700 | CIGNA Corporation | 190,291 | ||||||
| 2,050 | Coventry Health Care, Inc.a | 74,763 | ||||||
| 6,800 | Covidien plc | 361,964 | ||||||
| 1,400 | DaVita, Inc.a | 121,254 | ||||||
| 1,900 | DENTSPLY International, Inc. | 72,352 | ||||||
| 1,500 | Edwards Lifesciences Corporationa | 130,770 | ||||||
| 14,100 | Eli Lilly and Company | 529,173 | ||||||
| 7,200 | Express Scripts, Inc.a | 388,656 | ||||||
| 3,900 | Forest Laboratories, Inc.a | 153,426 | ||||||
| 10,800 | Gilead Sciences, Inc.a | 447,228 | ||||||
| 2,230 | Hospira, Inc.a | 126,352 | ||||||
| 2,300 | Humana, Inc. | 185,242 | ||||||
| 500 | Intuitive Surgical, Inc.a | 186,055 | ||||||
| 37,706 | Johnson & Johnson | 2,508,203 | ||||||
| 1,300 | Laboratory Corporation of America Holdingsa | 125,827 | ||||||
| 2,437 | Life Technologies Corporationa | 126,895 | ||||||
| 3,480 | McKesson Corporation | 291,102 | ||||||
| 5,510 | Medco Health Solutions, Inc.a | 311,425 | ||||||
| 14,700 | Medtronic, Inc. | 566,391 | ||||||
| 42,427 | Merck & Company, Inc. | 1,497,249 | ||||||
| 6,100 | Mylan, Inc.a | 150,487 | ||||||
| 1,300 | Patterson Companies, Inc. | 42,757 | ||||||
| 1,600 | PerkinElmer, Inc. | 43,056 | ||||||
| 108,955 | Pfizer, Inc. | 2,244,473 | ||||||
| 2,100 | Quest Diagnostics, Inc. | 124,110 | ||||||
| 4,480 | St. Jude Medical, Inc. | 213,606 | ||||||
| 4,600 | Stryker Corporation | 269,974 | ||||||
| 7,250 | Tenet Healthcare Corporationa | 45,240 | ||||||
| 5,200 | Thermo Fisher Scientific, Inc.a | 334,828 | ||||||
| 15,000 | UnitedHealth Group, Inc. | 773,700 | ||||||
| 1,600 | Varian Medical Systems, Inc.a | 112,032 | ||||||
| 1,200 | Waters Corporationa | 114,888 | ||||||
| 1,700 | Watson Pharmaceuticals, Inc.a | 116,841 | ||||||
| 5,000 | WellPoint, Inc. | 393,850 | ||||||
| 2,590 | Zimmer Holdings, Inc.a | 163,688 | ||||||
|
| |||||||
| Total Health Care | 19,081,574 | |||||||
|
| |||||||
| Industrials (7.1%) | ||||||||
| 9,700 | 3M Company | 920,045 | ||||||
| 1,500 | Avery Dennison Corporation | 57,945 | ||||||
| 10,228 | Boeing Company | 756,156 | ||||||
| 2,200 | C.H. Robinson Worldwide, Inc. | 173,448 | ||||||
| 8,900 | Caterpillar, Inc. | 947,494 | ||||||
| 1,800 | Cintas Corporation | 59,454 | ||||||
| 15,300 | CSX Corporation | 401,166 | ||||||
| 2,700 | Cummins, Inc. | 279,423 | ||||||
| 7,500 | Danaher Corporation | 397,425 | ||||||
| 5,800 | Deere & Company | 478,210 | ||||||
| 2,500 | Dover Corporation | 169,500 | ||||||
| 600 | Dun & Bradstreet Corporation | 45,324 | ||||||
| 4,700 | Eaton Corporation | 241,815 | ||||||
| 10,300 | Emerson Electric Company | 579,375 | ||||||
| 1,800 | Equifax, Inc. | 62,496 | ||||||
| 2,900 | Expeditors International of Washington, Inc. | 148,451 | ||||||
| 4,000 | Fastenal Companyb | 143,960 | ||||||
| 4,340 | FedEx Corporation | 411,649 | ||||||
| 700 | First Solar, Inc.a,b | 92,589 | ||||||
| 700 | Flowserve Corporation | 76,923 | ||||||
| 2,400 | Fluor Corporation | 155,184 | ||||||
| 5,100 | General Dynamics Corporation | 380,052 | ||||||
| 146,400 | General Electric Company | 2,761,104 | ||||||
| 1,700 | Goodrich Corporation | 162,350 | ||||||
| 10,937 | Honeywell International, Inc. | 651,736 | ||||||
| 6,900 | Illinois Tool Works, Inc. | 389,781 | ||||||
| 4,500 | Ingersoll-Rand plc | 204,345 | ||||||
| 2,800 | Iron Mountain, Inc. | 95,452 | ||||||
| 2,500 | ITT Corporation | 147,325 | ||||||
| 1,700 | Jacobs Engineering Group, Inc.a | 73,525 | ||||||
| 1,400 | Joy Global, Inc. | 133,336 | ||||||
| 1,400 | L-3 Communications Holdings, Inc. | 122,430 | ||||||
| 3,900 | Lockheed Martin Corporation | 315,783 | ||||||
| 5,100 | Masco Corporation | 61,353 | ||||||
| 4,800 | Norfolk Southern Corporation | 359,664 | ||||||
| 4,006 | Northrop Grumman Corporation | 277,816 | ||||||
| 4,950 | PACCAR, Inc. | 252,895 | ||||||
| 1,600 | Pall Corporation | 89,968 | ||||||
| 2,150 | Parker Hannifin Corporation | 192,941 | ||||||
| 2,900 | Pitney Bowes, Inc. | 66,671 | ||||||
| 1,900 | Precision Castparts Corporation | 312,835 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
250
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (63.0%) | Value | ||||||
| Industrials (7.1%) - continued | ||||||||
| 2,900 | Quanta Services, Inc.a | $ | 58,580 | |||||
| 2,700 | R.R. Donnelley & Sons Company | 52,947 | ||||||
| 4,900 | Raytheon Company | 244,265 | ||||||
| 4,105 | Republic Services, Inc. | 126,639 | ||||||
| 2,000 | Robert Half International, Inc. | 54,060 | ||||||
| 1,900 | Rockwell Automation, Inc. | 164,844 | ||||||
| 2,100 | Rockwell Collins, Inc. | 129,549 | ||||||
| 1,300 | Roper Industries, Inc. | 108,290 | ||||||
| 700 | Ryder System, Inc. | 39,795 | ||||||
| 11,380 | Southwest Airlines Company | 129,960 | ||||||
| 2,300 | Stanley Black & Decker, Inc. | 165,715 | ||||||
| 1,100 | Stericycle, Inc.a | 98,032 | ||||||
| 3,800 | Textron, Inc. | 89,718 | ||||||
| 6,400 | Tyco International, Ltd. | 316,352 | ||||||
| 6,700 | Union Pacific Corporation | 699,480 | ||||||
| 13,500 | United Parcel Service, Inc. | 984,555 | ||||||
| 12,700 | United Technologies Corporation | 1,124,077 | ||||||
| 800 | W.W. Grainger, Inc. | 122,920 | ||||||
| 6,630 | Waste Management, Inc. | 247,100 | ||||||
|
| |||||||
| Total Industrials | 18,606,272 | |||||||
|
| |||||||
| Information Technology (11.3%) | ||||||||
| 6,900 | Adobe Systems, Inc.a | 217,005 | ||||||
| 8,300 | Advanced Micro Devices, Inc.a | 58,017 | ||||||
| 4,763 | Agilent Technologies, Inc.a | 243,437 | ||||||
| 2,500 | Akamai Technologies, Inc.a | 78,675 | ||||||
| 4,400 | Altera Corporation | 203,940 | ||||||
| 2,400 | Amphenol Corporation | 129,576 | ||||||
| 4,100 | Analog Devices, Inc. | 160,474 | ||||||
| 12,700 | Apple, Inc.a | 4,263,009 | ||||||
| 18,500 | Applied Materials, Inc. | 240,685 | ||||||
| 3,100 | Autodesk, Inc.a | 119,660 | ||||||
| 6,900 | Automatic Data Processing, Inc. | 363,492 | ||||||
| 2,400 | BMC Software, Inc.a | 131,280 | ||||||
| 6,550 | Broadcom Corporationa | 220,342 | ||||||
| 5,375 | CA, Inc. | 122,765 | ||||||
| 75,900 | Cisco Systems, Inc. | 1,184,799 | ||||||
| 2,500 | Citrix Systems, Inc.a | 200,000 | ||||||
| 4,100 | Cognizant Technology Solutions Corporationa | 300,694 | ||||||
| 2,100 | Computer Sciences Corporation | 79,716 | ||||||
| 3,400 | Compuware Corporationa | 33,184 | ||||||
| 21,800 | Corning, Inc. | 395,670 | ||||||
| 22,800 | Dell, Inc.a | 380,076 | ||||||
| 15,800 | eBay, Inc.a | 509,866 | ||||||
| 4,600 | Electronic Arts, Inc.a | 108,560 | ||||||
| 28,424 | EMC Corporationa | 783,081 | ||||||
| 1,100 | F5 Networks, Inc.a | 121,275 | ||||||
| 3,800 | Fidelity National Information Services, Inc. | 117,002 | ||||||
| 2,050 | Fiserv, Inc.a | 128,391 | ||||||
| 2,200 | FLIR Systems, Inc. | 74,162 | ||||||
| 2,000 | GameStop Corporationa,b | 53,340 | ||||||
| 3,500 | Google, Inc.a | 1,772,330 | ||||||
| 1,700 | Harris Corporation | 76,602 | ||||||
| 28,561 | Hewlett-Packard Company | 1,039,620 | ||||||
| 73,100 | Intel Corporation | 1,619,896 | ||||||
| 16,700 | International Business Machines Corporation | 2,864,885 | ||||||
| 3,700 | Intuit, Inc.a | 191,882 | ||||||
| 2,800 | Jabil Circuit, Inc. | 56,560 | ||||||
| 3,100 | JDS Uniphase Corporationa | 51,646 | ||||||
| 7,300 | Juniper Networks, Inc.a | 229,950 | ||||||
| 2,300 | KLA-Tencor Corporation | 93,104 | ||||||
| 1,200 | Lexmark International, Inc.a | 35,112 | ||||||
| 3,100 | Linear Technology Corporation | 102,362 | ||||||
| 8,900 | LSI Corporationa | 63,368 | ||||||
| 1,300 | MasterCard, Inc. | 391,742 | ||||||
| 3,400 | MEMC Electronic Materials, Inc.a | 29,002 | ||||||
| 2,600 | Microchip Technology, Inc.b | 98,566 | ||||||
| 12,300 | Micron Technology, Inc.a | 92,004 | ||||||
| 102,400 | Microsoft Corporation | 2,662,400 | ||||||
| 1,950 | Molex, Inc.b | 50,252 | ||||||
| 1,800 | Monster Worldwide, Inc.a | 26,388 | ||||||
| 4,077 | Motorola Mobility Holdings, Inc.a | 89,857 | ||||||
| 4,717 | Motorola Solutions, Inc.a | 217,171 | ||||||
| 3,300 | National Semiconductor Corporation | 81,213 | ||||||
| 5,000 | NetApp, Inc.a | 263,900 | ||||||
| 1,200 | Novellus Systems, Inc.a | 43,368 | ||||||
| 8,350 | NVIDIA Corporationa | 133,057 | ||||||
| 53,559 | Oracle Corporation | 1,762,627 | ||||||
| 4,550 | Paychex, Inc. | 139,776 | ||||||
| 22,900 | QUALCOMM, Inc. | 1,300,491 | ||||||
| 2,600 | Red Hat, Inc.a | 119,340 | ||||||
| 4,200 | SAIC, Inc.a | 70,644 | ||||||
| 1,600 | Salesforce.com, Inc.a | 238,368 | ||||||
| 3,200 | SanDisk Corporationa | 132,800 | ||||||
| 10,472 | Symantec Corporationa | 206,508 | ||||||
| 5,600 | Tellabs, Inc. | 25,816 | ||||||
| 2,300 | Teradata Corporationa | 138,460 | ||||||
| 2,700 | Teradyne, Inc.a | 39,960 | ||||||
| 16,000 | Texas Instruments, Inc. | 525,280 | ||||||
| 2,500 | Total System Services, Inc. | 46,450 | ||||||
| 2,300 | VeriSign, Inc. | 76,958 | ||||||
| 6,600 | Visa, Inc. | 556,116 | ||||||
| 3,200 | Western Digital Corporationa | 116,416 | ||||||
| 8,862 | Western Union Company | 177,506 | ||||||
| 19,783 | Xerox Corporation | 205,941 | ||||||
| 3,700 | Xilinx, Inc. | 134,939 | ||||||
| 18,100 | Yahoo!, Inc.a | 272,224 | ||||||
|
| |||||||
| Total Information Technology | 29,685,030 | |||||||
|
| |||||||
| Materials (2.3%) | ||||||||
| 2,900 | Air Products and Chemicals, Inc. | 277,182 | ||||||
| 900 | Airgas, Inc. | 63,036 | ||||||
| 1,600 | AK Steel Holding Corporation | 25,216 | ||||||
| 14,964 | Alcoa, Inc. | 237,329 | ||||||
| 1,381 | Allegheny Technologies, Inc. | 87,652 | ||||||
| 2,300 | Ball Corporation | 88,458 | ||||||
| 1,600 | Bemis Company, Inc. | 54,048 | ||||||
| 900 | CF Industries Holdings, Inc. | 127,503 | ||||||
| 2,000 | Cliffs Natural Resources, Inc. | 184,900 | ||||||
| 16,277 | Dow Chemical Company | 585,972 | ||||||
| 12,719 | E.I. du Pont de Nemours and Company | 687,462 | ||||||
| 900 | Eastman Chemical Company | 91,863 | ||||||
| 3,200 | Ecolab, Inc. | 180,416 | ||||||
| 900 | FMC Corporation | 77,418 | ||||||
| 12,988 | Freeport-McMoRan Copper & Gold, Inc. | 687,065 | ||||||
| 1,100 | International Flavors & Fragrances, Inc. | 70,664 | ||||||
| 6,121 | International Paper Company | 182,528 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
251
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (63.0%) | Value | ||||||
| Materials (2.3%) - continued | ||||||||
| 2,380 | MeadWestvaco Corporation | $ | 79,278 | |||||
| 7,366 | Monsanto Company | 534,330 | ||||||
| 6,717 | Newmont Mining Corporation | 362,517 | ||||||
| 4,400 | Nucor Corporation | 181,368 | ||||||
| 2,300 | Owens-Illinois, Inc.a | 59,363 | ||||||
| 2,100 | PPG Industries, Inc. | 190,659 | ||||||
| 4,200 | Praxair, Inc. | 455,238 | ||||||
| 2,428 | Sealed Air Corporation | 57,762 | ||||||
| 1,600 | Sigma-Aldrich Corporation | 117,408 | ||||||
| 1,400 | Titanium Metals Corporation | 25,648 | ||||||
| 1,900 | United States Steel Corporationb | 87,476 | ||||||
| 1,700 | Vulcan Materials Companyb | 65,501 | ||||||
| 7,540 | Weyerhaeuser Company | 164,824 | ||||||
|
| |||||||
| Total Materials | 6,090,084 | |||||||
|
| |||||||
| Telecommunications Services (1.9%) | ||||||||
| 5,400 | American Tower Corporationa | 282,420 | ||||||
| 81,579 | AT&T, Inc. | 2,562,396 | ||||||
| 8,194 | CenturyLink, Inc. | 331,284 | ||||||
| 14,910 | Frontier Communications Corporation | 120,324 | ||||||
| 3,700 | MetroPCS Communications, Inc.a | 63,677 | ||||||
| 42,169 | Sprint Nextel Corporationa | 227,291 | ||||||
| 38,970 | Verizon Communications, Inc. | 1,450,853 | ||||||
| 7,117 | Windstream Corporation | 92,236 | ||||||
|
| |||||||
| Total Telecommunications Services | 5,130,481 | |||||||
|
| |||||||
| Utilities (2.2%) | ||||||||
| 9,400 | AES Corporationa | 119,756 | ||||||
| 3,400 | Ameren Corporation | 98,056 | ||||||
| 6,740 | American Electric Power Company, Inc. | 253,963 | ||||||
| 6,124 | CenterPoint Energy, Inc. | 118,499 | ||||||
| 3,800 | CMS Energy Corporation | 74,822 | ||||||
| 4,000 | Consolidated Edison, Inc. | 212,960 | ||||||
| 2,800 | Constellation Energy Group, Inc. | 106,288 | ||||||
| 8,030 | Dominion Resources, Inc. | 387,608 | ||||||
| 2,300 | DTE Energy Company | 115,046 | ||||||
| 18,942 | Duke Energy Corporation | 356,678 | ||||||
| 4,600 | Edison International, Inc. | 178,250 | ||||||
| 2,500 | Entergy Corporation | 170,700 | ||||||
| 9,074 | Exelon Corporation | 388,730 | ||||||
| 5,767 | FirstEnergy Corporation | 254,613 | ||||||
| 1,007 | Integrys Energy Group, Inc. | 52,203 | ||||||
| 5,900 | NextEra Energy, Inc. | 339,014 | ||||||
| 600 | Nicor, Inc. | 32,844 | ||||||
| 4,134 | NiSource, Inc. | 83,714 | ||||||
| 2,500 | Northeast Utilities | 87,925 | ||||||
| 3,400 | NRG Energy, Inc.a | 83,572 | ||||||
| 1,400 | ONEOK, Inc. | 103,614 | ||||||
| 3,400 | Pepco Holdings, Inc. | 66,742 | ||||||
| 5,600 | PG&E Corporation | 235,368 | ||||||
| 1,500 | Pinnacle West Capital Corporation | 66,870 | ||||||
| 8,200 | PPL Corporation | 228,206 | ||||||
| 3,991 | Progress Energy, Inc. | 191,608 | ||||||
| 6,900 | Public Service Enterprise Group, Inc. | 225,216 | ||||||
| 1,500 | SCANA Corporation | 59,055 | ||||||
| 3,287 | Sempra Energy | 173,817 | ||||||
| 11,700 | Southern Company | 472,446 | ||||||
| 3,300 | TECO Energy, Inc. | 62,337 | ||||||
| 3,300 | Wisconsin Energy Corporation | 103,455 | ||||||
| 7,010 | Xcel Energy, Inc. | 170,343 | ||||||
|
| |||||||
| Total Utilities | 5,674,318 | |||||||
|
| |||||||
Total Common Stock (cost $136,536,827) | 165,443,996 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (37.7%) | |||||||
| Asset-Backed Securities (1.6%) | ||||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 369,800 | 5.549%, 8/25/2021c | 334,232 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 499,209 | 6.085%, 6/25/2021c | 330,893 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 317,604 | 5.501%, 12/25/2036 | 216,748 | ||||||
| First Horizon ABS Trust | ||||||||
| 493,830 | 0.316%, 10/25/2026c,d | 400,927 | ||||||
| 866,678 | 0.346%, 10/25/2034c,d | 486,255 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,324,654 | 0.366%, 8/25/2035c,d | 865,276 | ||||||
| 806,434 | 0.366%, 12/25/2036c,d | 529,570 | ||||||
| IndyMac Seconds Asset-Backed Trust | ||||||||
| 416,806 | 0.356%, 10/25/2036c,d | 82,630 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 998,073 | 0.326%, 7/25/2037c,d,e | 773,114 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 4,019,645 | |||||||
|
| |||||||
| Basic Materials (0.1%) | ||||||||
| Alcoa, Inc. | ||||||||
| 250,000 | 5.400%, 4/15/2021 | 250,772 | ||||||
|
| |||||||
| Total Basic Materials | 250,772 | |||||||
|
| |||||||
| Capital Goods (0.2%) | ||||||||
| Danaher Corporation | ||||||||
| 225,000 | 2.300%, 6/23/2016 | 224,820 | ||||||
| United Technologies Corporation | ||||||||
| 225,000 | 6.050%, 6/1/2036 | 252,916 | ||||||
|
| |||||||
| Total Capital Goods | 477,736 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.4%) | ||||||||
| Bear Stearns Mortgage Funding Trust | ||||||||
| 227,985 | 0.466%, 8/25/2036d | 67,698 | ||||||
| Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 858,335 | 2.624%, 6/25/2035 | 733,576 | ||||||
| Thornburg Mortgage Securities Trust | ||||||||
| 339,756 | 0.296%, 11/25/2046d | 335,509 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 1,136,783 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
252
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (37.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (3.4%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| $ | 600,000 | 5.802%, 6/10/2049 | $ | 645,612 | ||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,322,584 | 0.337%, 3/15/2022d,e | 2,236,929 | ||||||
| Commercial Mortgage Pass-Through Certificates | ||||||||
| 2,000,000 | 0.317%, 12/15/2020d,e | 1,841,718 | ||||||
| 750,000 | 5.306%, 12/10/2046 | 803,138 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,535,422 | 0.357%, 10/15/2021d,f | 1,447,805 | ||||||
| 700,000 | 5.467%, 9/15/2039 | 754,920 | ||||||
| General Electric Commercial Mortgage Corporation | ||||||||
| 146,543 | 4.641%, 3/10/2040 | 151,291 | ||||||
| GS Mortgage Securities Corporation II | ||||||||
| 1,000,000 | 1.317%, 3/6/2020d,f | 981,745 | ||||||
|
| |||||||
| Total Commercial Mortgage-Backed Securities | 8,863,158 | |||||||
|
| |||||||
| Communications Services (0.7%) | ||||||||
| AT&T, Inc. | ||||||||
| 200,000 | 6.400%, 5/15/2038 | 214,533 | ||||||
| CBS Corporation | ||||||||
| 200,000 | 7.875%, 9/1/2023 | 235,069 | ||||||
| Cox Communications, Inc. | ||||||||
| 115,000 | 6.450%, 12/1/2036f | 123,805 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 250,000 | 4.174%, 8/15/2017f | 254,006 | ||||||
| News America, Inc. | ||||||||
| 225,000 | 6.400%, 12/15/2035 | 235,297 | ||||||
| Telecom Italia Capital SA | ||||||||
| 550,000 | 5.250%, 11/15/2013 | 577,375 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 200,000 | 7.300%, 7/1/2038 | 232,483 | ||||||
|
| |||||||
| Total Communications Services | 1,872,568 | |||||||
|
| |||||||
| Consumer Cyclical (0.6%) | ||||||||
| Harley-Davidson Financial Services, Inc. | ||||||||
| 250,000 | 3.875%, 3/15/2016f | 254,261 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 450,000 | 7.550%, 2/15/2030 | 575,548 | ||||||
| Walt Disney Company | ||||||||
| 500,000 | 5.625%, 9/15/2016 | 579,274 | ||||||
|
| |||||||
| Total Consumer Cyclical | 1,409,083 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.8%) | ||||||||
| AmerisourceBergen Corporation | ||||||||
| 300,000 | 4.875%, 11/15/2019 | 320,502 | ||||||
| Boston Scientific Corporation | ||||||||
| 225,000 | 7.000%, 11/15/2035 | 240,970 | ||||||
| Colgate-Palmolive Company | ||||||||
| 250,000 | 1.250%, 5/1/2014 | 251,586 | ||||||
| GlaxoSmithKline Capital, Inc. | ||||||||
| 200,000 | 6.375%, 5/15/2038 | 230,627 | ||||||
| Kellogg Company | ||||||||
| 400,000 | 4.250%, 3/6/2013 | 422,149 | ||||||
| Philip Morris International, Inc. | ||||||||
| 200,000 | 6.375%, 5/16/2038 | 226,566 | ||||||
| Wyeth | ||||||||
| 450,000 | 6.000%, 2/15/2036 | 486,559 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 2,178,959 | |||||||
|
| |||||||
| Energy (0.4%) | ||||||||
| BP Capital Markets plc | ||||||||
| 250,000 | 4.742%, 3/11/2021 | 257,900 | ||||||
| Cameron International Corporation | ||||||||
| 100,000 | 4.500%, 6/1/2021 | 99,059 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 300,000 | 6.700%, 7/1/2018 | 338,077 | ||||||
| Petrobras International Finance Company | ||||||||
| 175,000 | 5.375%, 1/27/2021 | 179,691 | ||||||
| Petro-Canada | ||||||||
| 200,000 | 6.800%, 5/15/2038 | 225,586 | ||||||
|
| |||||||
| Total Energy | 1,100,313 | |||||||
|
| |||||||
| Financials (2.6%) | ||||||||
| BAC Capital Trust XI | ||||||||
| 225,000 | 6.625%, 5/23/2036 | 217,176 | ||||||
| Barclays Bank plc | ||||||||
| 200,000 | 5.000%, 9/22/2016 | 215,148 | ||||||
| Bear Stearns Companies, LLC | ||||||||
| 250,000 | 4.650%, 7/2/2018 | 258,927 | ||||||
| BNP Paribas SA | ||||||||
| 900,000 | 5.186%, 6/29/2049f,g | 828,450 | ||||||
| Chubb Corporation | ||||||||
| 400,000 | 6.500%, 5/15/2038 | 444,346 | ||||||
| Citigroup, Inc. | ||||||||
| 250,000 | 1.235%, 4/1/2014d | 246,462 | ||||||
| Cooperative Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 150,000 | 4.750%, 1/15/2020f | 157,416 | ||||||
| Danske Bank AS | ||||||||
| 250,000 | 3.875%, 4/14/2016f | 247,391 | ||||||
| Fifth Third Bancorp | ||||||||
| 175,000 | 3.625%, 1/25/2016 | 176,520 | ||||||
| FUEL Trust | ||||||||
| 100,000 | 4.207%, 4/15/2016f | 100,381 | ||||||
| 200,000 | 3.984%, 6/15/2016f | 198,375 | ||||||
| General Electric Capital Corporation | ||||||||
| 225,000 | 5.875%, 1/14/2038 | 227,603 | ||||||
| HCP, Inc. | ||||||||
| 175,000 | 3.750%, 2/1/2016 | 177,962 | ||||||
| Health Care REIT, Inc. | ||||||||
| 300,000 | 6.125%, 4/15/2020 | 321,333 | ||||||
| HSBC Holdings plc | ||||||||
| 200,000 | 6.800%, 6/1/2038 | 213,433 | ||||||
| ING Bank NV | ||||||||
| 250,000 | 4.000%, 3/15/2016f | 253,010 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 250,000 | 3.450%, 3/1/2016 | 254,659 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 150,000 | 5.800%, 1/13/2020f | 150,217 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
253
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (37.7%) | Value | ||||||
| Financials (2.6%) - continued | ||||||||
| Merrill Lynch & Company, Inc. | ||||||||
| $ | 450,000 | 5.000%, 2/3/2014 | $ | 484,476 | ||||
| MetLife, Inc. | ||||||||
| 150,000 | 5.000%, 6/15/2015 | 163,655 | ||||||
| Northern Trust Corporation | ||||||||
| 250,000 | 3.450%, 11/4/2020 | 242,656 | ||||||
| Preferred Term Securities XXIII, Ltd. | ||||||||
| 1,128,776 | 0.447%, 12/22/2036d,e | 620,827 | ||||||
| Prudential Financial, Inc. | ||||||||
| 225,000 | 5.700%, 12/14/2036 | 216,552 | ||||||
| Wachovia Bank NA | ||||||||
| 425,000 | 4.875%, 2/1/2015 | 456,301 | ||||||
| Washington Mutual Bank FA | ||||||||
| 500,000 | 5.500%, 1/15/2013h | 625 | ||||||
|
| |||||||
| Total Financials | 6,873,901 | |||||||
|
| |||||||
| Foreign Government (1.3%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 500,000 | 4.375%, 2/16/2021f | 518,948 | ||||||
| Chile Government International Bond | ||||||||
| 150,000 | 3.875%, 8/5/2020 | 150,900 | ||||||
| Finland Government International Bond | ||||||||
| 250,000 | 2.250%, 3/17/2016f | 254,389 | ||||||
| Italy Government International Bond | ||||||||
| 750,000 | 4.375%, 6/15/2013 | 791,179 | ||||||
| 300,000 | 5.375%, 6/12/2017 | 325,642 | ||||||
| Newfoundland Government Notes | ||||||||
| 500,000 | 8.650%, 10/22/2022 | 687,058 | ||||||
| Province of New Brunswick | ||||||||
| 250,000 | 2.750%, 6/15/2018 | 246,585 | ||||||
| Quebec Government Notes | ||||||||
| 600,000 | 4.875%, 5/5/2014 | 662,947 | ||||||
|
| |||||||
| Total Foreign Government | 3,637,648 | |||||||
|
| |||||||
| Mortgage-Backed Securities (11.0%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 1,834 | 6.000%, 5/1/2012 | 2,000 | ||||||
| 1,248 | 7.000%, 8/1/2012 | 1,292 | ||||||
| 3,237 | 6.500%, 11/1/2012 | 3,325 | ||||||
| 14,963 | 6.000%, 2/1/2014 | 16,322 | ||||||
| 28,831 | 5.500%, 4/1/2014 | 31,180 | ||||||
| 15,249 | 6.000%, 4/1/2014 | 16,635 | ||||||
| 8,955 | 6.000%, 4/1/2014 | 9,769 | ||||||
| 15,193 | 6.500%, 6/1/2014 | 16,136 | ||||||
| 11,506 | 7.500%, 9/1/2014 | 12,488 | ||||||
| 425,085 | 5.500%, 12/1/2017 | 460,516 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 15,787 | 6.500%, 4/1/2024 | 17,935 | ||||||
| 24,570 | 9.000%, 11/1/2024 | 30,193 | ||||||
| 1,444 | 9.000%, 4/1/2025 | 1,776 | ||||||
| 2,170 | 7.000%, 9/1/2025 | 2,505 | ||||||
| 2,770 | 8.500%, 9/1/2025 | 3,336 | ||||||
| 1,978 | 8.000%, 1/1/2026 | 2,351 | ||||||
| 746 | 6.500%, 5/1/2026 | 845 | ||||||
| 9,606 | 6.000%, 7/1/2026 | 10,636 | ||||||
| 1,222 | 7.500%, 7/1/2026 | 1,423 | ||||||
| 2,243 | 8.000%, 11/1/2026 | 2,669 | ||||||
| 2,270 | 7.500%, 1/1/2027 | 2,643 | ||||||
| 4,195 | 6.500%, 2/1/2027 | 4,754 | ||||||
| 6,179 | 7.000%, 2/1/2027 | 7,148 | ||||||
| 18,005 | 8.000%, 3/1/2027 | 21,424 | ||||||
| 4,241 | 7.500%, 4/1/2027 | 4,944 | ||||||
| 11,525 | 8.000%, 6/1/2027 | 13,728 | ||||||
| 4,352 | 8.500%, 7/1/2027 | 5,259 | ||||||
| 4,543 | 7.000%, 9/1/2027 | 5,256 | ||||||
| 7,245 | 8.000%, 10/1/2027 | 8,631 | ||||||
| 6,494 | 7.500%, 11/1/2027 | 7,570 | ||||||
| 3,211 | 7.500%, 12/1/2027 | 3,744 | ||||||
| 21,717 | 6.500%, 6/1/2028 | 24,610 | ||||||
| 10,707 | 7.000%, 10/1/2028 | 12,399 | ||||||
| 59,229 | 6.500%, 11/1/2028 | 67,120 | ||||||
| 38,444 | 6.000%, 3/1/2029 | 42,664 | ||||||
| 18,698 | 6.500%, 4/1/2029 | 21,190 | ||||||
| 34,758 | 6.000%, 5/1/2029 | 38,573 | ||||||
| 46,416 | 7.000%, 5/1/2029 | 53,801 | ||||||
| 13,833 | 6.500%, 7/1/2029 | 15,676 | ||||||
| 18,539 | 6.500%, 8/1/2029 | 21,010 | ||||||
| 6,871 | 7.000%, 9/1/2029 | 7,964 | ||||||
| 7,012 | 7.000%, 10/1/2029 | 8,128 | ||||||
| 6,645 | 7.500%, 11/1/2029 | 7,761 | ||||||
| 8,708 | 7.000%, 1/1/2030 | 10,101 | ||||||
| 14,746 | 7.500%, 1/1/2030 | 17,234 | ||||||
| 6,097 | 8.000%, 8/1/2030 | 7,245 | ||||||
| 23,093 | 6.000%, 3/1/2031 | 25,628 | ||||||
| 90,082 | 6.000%, 6/1/2031 | 99,969 | ||||||
| 81,721 | 6.000%, 1/1/2032 | 90,690 | ||||||
| 9,000,000 | 5.000%, 7/1/2041i | 9,548,442 | ||||||
| 1,550,000 | 6.000%, 7/1/2041i | 1,702,336 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 2,415 | 6.500%, 5/1/2012 | 2,479 | ||||||
| 1,161 | 6.500%, 7/1/2012 | 1,191 | ||||||
| 4,682 | 7.000%, 10/1/2012 | 4,836 | ||||||
| 1,181 | 6.500%, 6/1/2013 | 1,232 | ||||||
| 14,135 | 6.000%, 11/1/2013 | 15,429 | ||||||
| 35,577 | 5.500%, 12/1/2013 | 38,593 | ||||||
| 18,260 | 6.000%, 12/1/2013 | 19,930 | ||||||
| 3,920 | 7.500%, 4/1/2015 | 4,334 | ||||||
| 4,350,000 | 4.000%, 7/1/2026i | 4,530,795 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 4,376 | 10.500%, 8/1/2020 | 5,040 | ||||||
| 5,341 | 9.500%, 4/1/2025 | 6,470 | ||||||
| 999 | 7.500%, 9/1/2025 | 1,165 | ||||||
| 1,781 | 8.500%, 11/1/2025 | 2,100 | ||||||
| 4,779 | 6.500%, 2/1/2026 | 5,439 | ||||||
| 3,064 | 7.000%, 3/1/2026 | 3,535 | ||||||
| 4,315 | 6.500%, 4/1/2026 | 4,911 | ||||||
| 1,483 | 8.500%, 5/1/2026 | 1,752 | ||||||
| 1,681 | 7.500%, 7/1/2026 | 1,963 | ||||||
| 11,186 | 7.500%, 8/1/2026 | 13,066 | ||||||
| 1,769 | 8.000%, 8/1/2026 | 2,080 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
254
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (37.7%) | Value | ||||||
| Mortgage-Backed Securities (11.0%) - continued | ||||||||
| $ | 5,838 | 7.000%, 11/1/2026 | $ | 6,736 | ||||
| 2,015 | 8.000%, 11/1/2026 | 2,369 | ||||||
| 615 | 7.500%, 12/1/2026 | 718 | ||||||
| 870 | 7.500%, 2/1/2027 | 1,017 | ||||||
| 3,861 | 7.000%, 3/1/2027 | 4,455 | ||||||
| 4,717 | 7.500%, 5/1/2027 | 5,518 | ||||||
| 8,014 | 6.500%, 7/1/2027 | 9,120 | ||||||
| 9,194 | 7.000%, 7/1/2027 | 10,625 | ||||||
| 1,161 | 7.500%, 8/1/2027 | 1,358 | ||||||
| 27,328 | 8.000%, 9/1/2027 | 32,069 | ||||||
| 6,827 | 7.000%, 10/1/2027 | 7,890 | ||||||
| 3,883 | 8.000%, 12/1/2027 | 4,557 | ||||||
| 10,726 | 6.500%, 2/1/2028 | 12,207 | ||||||
| 5,912 | 7.000%, 2/1/2028 | 6,833 | ||||||
| 62,048 | 6.500%, 7/1/2028 | 70,613 | ||||||
| 29,601 | 7.000%, 8/1/2028 | 34,251 | ||||||
| 15,855 | 6.500%, 11/1/2028 | 18,044 | ||||||
| 33,911 | 6.500%, 11/1/2028 | 38,592 | ||||||
| 2,103 | 7.000%, 11/1/2028 | 2,433 | ||||||
| 49,878 | 6.000%, 12/1/2028 | 55,329 | ||||||
| 23,392 | 7.000%, 12/1/2028 | 27,067 | ||||||
| 26,439 | 6.000%, 3/1/2029 | 29,328 | ||||||
| 32,203 | 6.500%, 6/1/2029 | 36,648 | ||||||
| 38,660 | 6.000%, 7/1/2029 | 42,885 | ||||||
| 2,016 | 6.500%, 7/1/2029 | 2,295 | ||||||
| 42,751 | 7.500%, 8/1/2029 | 50,136 | ||||||
| 25,315 | 6.000%, 11/1/2029 | 28,081 | ||||||
| 18,102 | 7.000%, 11/1/2029 | 20,949 | ||||||
| 27,595 | 7.000%, 11/1/2029 | 31,934 | ||||||
| 12,920 | 8.500%, 4/1/2030 | 15,273 | ||||||
| 8,450 | 7.500%, 8/1/2030 | 9,919 | ||||||
| 66,517 | 6.500%, 7/1/2031 | 75,698 | ||||||
| 28,899 | 6.500%, 10/1/2031 | 32,888 | ||||||
| 34,166 | 6.500%, 12/1/2031 | 38,882 | ||||||
| 41,952 | 6.500%, 5/1/2032 | 47,743 | ||||||
| 236,364 | 6.500%, 7/1/2032 | 268,990 | ||||||
| 4,650,000 | 4.500%, 7/1/2041i | 4,810,569 | ||||||
| 4,500,000 | 5.500%, 7/1/2041i | 4,865,625 | ||||||
| Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 1,206 | 7.000%, 4/15/2012 | 1,248 | ||||||
| 18,621 | 6.000%, 7/15/2014 | 20,421 | ||||||
| Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 3,767 | 9.500%, 12/15/2024 | 4,583 | ||||||
| 4,673 | 9.500%, 1/15/2025 | 5,701 | ||||||
| 2,630 | 7.500%, 8/15/2025 | 3,080 | ||||||
| 10,263 | 7.000%, 1/15/2026 | 11,926 | ||||||
| 12,290 | 7.000%, 1/15/2026 | 14,282 | ||||||
| 10,793 | 7.000%, 4/15/2026 | 12,543 | ||||||
| 13,009 | 6.000%, 5/15/2026 | 14,582 | ||||||
| 3,484 | 7.500%, 5/15/2026 | 4,081 | ||||||
| 14,299 | 7.000%, 6/15/2026 | 16,617 | ||||||
| 6,748 | 8.500%, 6/15/2026 | 8,157 | ||||||
| 2,441 | 8.500%, 7/15/2026 | 2,951 | ||||||
| 11,818 | 8.000%, 9/15/2026 | 14,003 | ||||||
| 3,604 | 7.500%, 10/15/2026 | 4,221 | ||||||
| 2,112 | 8.000%, 11/15/2026 | 2,502 | ||||||
| 1,617 | 8.500%, 11/15/2026 | 1,955 | ||||||
| 2,151 | 9.000%, 12/15/2026 | 2,608 | ||||||
| 15,280 | 7.500%, 4/15/2027 | 17,919 | ||||||
| 5,261 | 8.000%, 6/20/2027 | 6,227 | ||||||
| 494 | 8.000%, 8/15/2027 | 586 | ||||||
| 69,673 | 6.500%, 10/15/2027 | 79,536 | ||||||
| 17,537 | 7.000%, 10/15/2027 | 20,410 | ||||||
| 1,189 | 7.000%, 11/15/2027 | 1,384 | ||||||
| 22,793 | 7.000%, 11/15/2027 | 26,528 | ||||||
| 80,714 | 7.000%, 7/15/2028 | 94,061 | ||||||
| 16,127 | 7.500%, 7/15/2028 | 18,936 | ||||||
| 43,424 | 6.500%, 9/15/2028 | 49,544 | ||||||
| 51,320 | 6.000%, 12/15/2028 | 57,609 | ||||||
| 27,346 | 6.500%, 1/15/2029 | 31,200 | ||||||
| 183,040 | 6.500%, 3/15/2029 | 208,837 | ||||||
| 31,802 | 6.500%, 4/15/2029 | 36,284 | ||||||
| 18,423 | 7.000%, 4/15/2029 | 21,492 | ||||||
| 63,505 | 6.000%, 6/15/2029 | 71,288 | ||||||
| 42,650 | 7.000%, 6/15/2029 | 49,756 | ||||||
| 22,889 | 8.000%, 5/15/2030 | 27,253 | ||||||
| 33,254 | 7.000%, 9/15/2031 | 38,943 | ||||||
| 43,148 | 6.500%, 2/15/2032 | 49,229 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 29,029,441 | |||||||
|
| |||||||
| Technology (0.3%) | ||||||||
| Hewlett-Packard Company | ||||||||
| 100,000 | 4.300%, 6/1/2021 | 100,978 | ||||||
| International Business Machines Corporation | ||||||||
| 500,000 | 7.500%, 6/15/2013 | 563,467 | ||||||
| Xerox Corporation | ||||||||
| 200,000 | 4.500%, 5/15/2021 | 197,827 | ||||||
|
| |||||||
| Total Technology | 862,272 | |||||||
|
| |||||||
| Transportation (0.1%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 147,852 | 4.950%, 11/23/2019 | 147,852 | ||||||
|
| |||||||
| Total Transportation | 147,852 | |||||||
|
| |||||||
| U.S. Government and Agencies (13.4%) | ||||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 2,500,000 | 5.125%, 11/17/2017 | 2,870,415 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,000,000 | 1.125%, 6/27/2014 | 1,005,551 | ||||||
| 1,500,000 | 5.625%, 4/17/2028 | 1,694,256 | ||||||
| Resolution Funding Corporation | ||||||||
| 1,000,000 | 8.625%, 1/15/2021 | 1,432,585 | ||||||
| Tennessee Valley Authority | ||||||||
| 150,000 | 5.250%, 9/15/2039 | 158,821 | ||||||
| U.S. Treasury Bonds | ||||||||
| 1,500,000 | 4.625%, 2/15/2040 | 1,563,984 | ||||||
| U.S. Treasury Notes | ||||||||
| 1,500,000 | 0.375%, 8/31/2012 | 1,501,992 | ||||||
| 1,500,000 | 0.625%, 12/31/2012 | 1,506,153 | ||||||
| 1,250,000 | 0.750%, 3/31/2013 | 1,257,325 | ||||||
| 750,000 | 2.000%, 11/30/2013 | 774,961 | ||||||
| 5,750,000 | 0.750%, 6/15/2014 | 5,743,261 | ||||||
| 750,000 | 4.250%, 8/15/2014 | 828,926 | ||||||
| 4,500,000 | 2.375%, 8/31/2014 | 4,708,476 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
255
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (37.7%) | Value | ||||||
| U.S. Government and Agencies (13.4%) - continued | ||||||||
| $1,900,000 | 2.000%, 1/31/2016 | $ | 1,936,961 | |||||
| 1,000,000 | 2.625%, 2/29/2016 | 1,046,562 | ||||||
| 1,500,000 | 3.000%, 2/28/2017 | 1,578,282 | ||||||
| 1,500,000 | 3.250%, 3/31/2017 | 1,597,500 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 997,109 | ||||||
| 300,000 | 2.750%, 2/28/2018 | 307,195 | ||||||
| 2,500,000 | 3.625%, 2/15/2021 | 2,606,835 | ||||||
| 150,000 | 3.125%, 5/15/2021 | 149,578 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 35,266,728 | |||||||
|
| |||||||
| U.S. Municipals (0.1%) | ||||||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| 150,000 | 5.720%, 12/1/2038 | 155,778 | ||||||
|
| |||||||
| Total U.S. Municipals | 155,778 | |||||||
|
| |||||||
| Utilities (0.7%) | ||||||||
| Commonwealth Edison Company | ||||||||
| 225,000 | 5.900%, 3/15/2036 | 235,837 | ||||||
| Oncor Electric Delivery Company | ||||||||
| 425,000 | 6.375%, 1/15/2015 | 483,514 | ||||||
| ONEOK Partners, LP | ||||||||
| 225,000 | 6.650%, 10/1/2036 | 244,205 | ||||||
| Progress Energy, Inc. | ||||||||
| 300,000 | 7.000%, 10/30/2031 | 349,781 | ||||||
| Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 245,966 | ||||||
| Xcel Energy, Inc. | ||||||||
| 225,000 | 6.500%, 7/1/2036 | 256,396 | ||||||
|
| |||||||
| Total Utilities | 1,815,699 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $99,463,961) | 99,098,336 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.3%) | |||||||
| 814,745 | Thrivent Financial Securities Lending Trust | 814,745 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $814,745) | 814,745 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (8.7%)j | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 9,270,000 | 0.047%, 7/15/2011 | 9,269,831 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 650,000 | 0.160%, 8/29/2011k | 649,833 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.020%, 8/8/2011 | 4,999,895 | ||||||
| Windmill Funding Corporation | ||||||||
| 7,975,000 | 0.070%, 7/1/2011 | 7,975,000 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 22,894,559 | |||||||
|
| |||||||
| Total Investments (cost $259,710,092) 109.7% | $ | 288,251,636 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (9.7%) | (25,534,807 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 262,716,829 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| 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 June 30, 2011. |
| 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 June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 2,322,584 | |||||
Commercial Mortgage Pass-Through Certificates | 10/18/2006 | 2,000,000 | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 1,128,776 | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 998,073 | ||||||
| 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 June 30, 2011, the value of these investments was $5,770,199 or 2.2% 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 the discount rate at the date of purchase. |
| k | At June 30, 2011, $649,833 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.
256
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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 | $ | 61,018,199 | ||
Gross unrealized depreciation | (38,285,282 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 22,732,917 | ||
Cost for federal income tax purposes | $ | 265,518,719 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
257
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Balanced Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 17,617,212 | 17,617,212 | — | — | ||||||||||||
Consumer Staples | 17,612,077 | 17,612,077 | — | — | ||||||||||||
Energy | 20,944,815 | 20,944,815 | — | — | ||||||||||||
Financials | 25,002,133 | 25,002,133 | — | — | ||||||||||||
Health Care | 19,081,574 | 19,081,574 | — | — | ||||||||||||
Industrials | 18,606,272 | 18,606,272 | — | — | ||||||||||||
Information Technology | 29,685,030 | 29,685,030 | — | — | ||||||||||||
Materials | 6,090,084 | 6,090,084 | — | — | ||||||||||||
Telecommunications Services | 5,130,481 | 5,130,481 | — | — | ||||||||||||
Utilities | 5,674,318 | 5,674,318 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,019,645 | — | 4,019,645 | — | ||||||||||||
Basic Materials | 250,772 | — | 250,772 | — | ||||||||||||
Capital Goods | 477,736 | — | 477,736 | — | ||||||||||||
Collateralized Mortgage Obligations | 1,136,783 | — | 1,136,783 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 8,863,158 | — | 8,863,158 | — | ||||||||||||
Communications Services | 1,872,568 | — | 1,872,568 | — | ||||||||||||
Consumer Cyclical | 1,409,083 | — | 1,409,083 | — | ||||||||||||
Consumer Non-Cyclical | 2,178,959 | — | 2,178,959 | — | ||||||||||||
Energy | 1,100,313 | — | 1,100,313 | — | ||||||||||||
Financials | 6,873,901 | — | 6,253,074 | 620,827 | ||||||||||||
Foreign Government | 3,637,648 | — | 3,637,648 | — | ||||||||||||
Mortgage-Backed Securities | 29,029,441 | — | 29,029,441 | — | ||||||||||||
Technology | 862,272 | — | 862,272 | — | ||||||||||||
Transportation | 147,852 | — | 147,852 | — | ||||||||||||
U.S. Government and Agencies | 35,266,728 | — | 35,266,728 | — | ||||||||||||
U.S. Municipals | 155,778 | — | 155,778 | — | ||||||||||||
Utilities | 1,815,699 | — | 1,815,699 | — | ||||||||||||
Collateral Held for Securities Loaned | 814,745 | 814,745 | — | — | ||||||||||||
Short-Term Investments | 22,894,559 | — | 22,894,559 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 288,251,636 | $ | 166,258,741 | $ | 121,372,068 | $ | 620,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 186,556 | 186,556 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 186,556 | $ | 186,556 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 821,946 | — | 49,023 | — | (97,855 | ) | — | (773,114 | ) | — | ||||||||||||||||||||||
Financials | 615,298 | — | 48,749 | — | (43,220 | ) | — | — | 620,827 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 1,437,244 | $ | — | $ | 97,772 | $ | — | ($ | 141,075 | ) | $ | — | ($ | 773,114 | ) | $ | 620,827 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $28,219. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
258
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 17 | September 2011 | $ | 5,404,319 | $ | 5,590,875 | $ | 186,556 | ||||||||||||
Total Futures Contracts | $ | 186,556 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | 186,556 | ||||
Total Equity Contracts | 186,556 | |||||
|
| |||||
Total Asset Derivatives | $ | 186,556 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | (72,019 | ) | |||
Total Equity Contracts | (72,019 | ) | ||||
|
| |||||
Total | ($ | 72,019 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | 186,130 | ||||
Total Equity Contracts | 186,130 | |||||
|
| |||||
Total | $ | 186,130 | ||||
|
| |||||
The following table presents Balanced Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 3,164,897 | 1.2 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
259
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 962,860 | $ | 32,741,576 | $ | 32,889,691 | 814,745 | $ | 814,745 | $ | 8,561 | |||||||||||||
Total Value and Income Earned | 962,860 | 814,745 | 8,561 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
260
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Bank Loans (1.9%)a | Value | ||||||
| Financials (0.5%) | ||||||||
| Nuveen Investments, Inc., Term Loan | ||||||||
| $ | 3,605,000 | 12.500%, 7/31/2015 | $ | 3,834,819 | ||||
|
| |||||||
| Total Financials | 3,834,819 | |||||||
|
| |||||||
| Technology (0.3%) | ||||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 2,680,676 | 4.186%, 3/24/2018 | 2,464,560 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 285,278 | 2.936%, 9/24/2014 | 263,991 | ||||||
|
| |||||||
| Total Technology | 2,728,551 | |||||||
|
| |||||||
| Utilities (1.1%) | ||||||||
| Texas Competitive Electric Holdings, LLC, Term Loan | ||||||||
| 10,708,562 | 4.768%, 10/10/2017 | 8,367,563 | ||||||
|
| |||||||
| Total Utilities | 8,367,563 | |||||||
|
| |||||||
Total Bank Loans (cost $16,052,986) | 14,930,933 | |||||||
|
| |||||||
Long-Term Fixed Income (91.5%) | ||||||||
| Asset-Backed Securities (0.6%) | ||||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 85,086 | 0.296%, 6/25/2021b,c | 84,009 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 2,600,000 | 5.461%, 10/25/2036 | 2,003,929 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 2,659,059 | 5.746%, 5/25/2036 | 1,739,615 | ||||||
| 1,800,000 | 6.011%, 5/25/2036 | 997,607 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 4,825,160 | |||||||
|
| |||||||
| Basic Materials (7.1%) | ||||||||
| AbitibiBowater, Inc. | ||||||||
| 2,100,000 | 10.250%, 10/15/2018d | 2,273,250 | ||||||
| APERAM | ||||||||
| 1,570,000 | 7.750%, 4/1/2018d | 1,581,775 | ||||||
| Arch Coal, Inc. | ||||||||
| 2,100,000 | 7.000%, 6/15/2019d | 2,094,750 | ||||||
| 1,650,000 | 7.250%, 10/1/2020 | 1,678,875 | ||||||
| 1,050,000 | 7.250%, 6/15/2021d | 1,051,313 | ||||||
| Cascades, Inc. | ||||||||
| 1,000,000 | 7.750%, 12/15/2017 | 1,042,500 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 1,900,000 | 8.000%, 4/1/2017 | 2,071,000 | ||||||
| 2,770,000 | 8.250%, 4/1/2020 | 3,019,300 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 2,630,000 | 7.000%, 11/1/2015d | 2,682,600 | ||||||
| 2,630,000 | 6.875%, 2/1/2018d | 2,669,450 | ||||||
| Graphic Packaging International, Inc. | ||||||||
| 800,000 | 9.500%, 6/15/2017 | 876,000 | ||||||
| 1,600,000 | 7.875%, 10/1/2018 | 1,696,000 | ||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 5,090,000 | 8.875%, 2/1/2018 | 5,293,600 | ||||||
| 3,150,000 | 9.000%, 11/15/2020 | 3,228,750 | ||||||
| Lyondell Chemical Company | ||||||||
| 2,104,000 | 8.000%, 11/1/2017d | 2,340,700 | ||||||
| 2,696,790 | 11.000%, 5/1/2018 | 3,020,405 | ||||||
| Midwest Vanadium Pty., Ltd. | ||||||||
| 2,630,000 | 11.500%, 2/15/2018d | 2,623,425 | ||||||
| NOVA Chemicals Corporation | ||||||||
| 5,610,000 | 8.625%, 11/1/2019 | 6,248,137 | ||||||
| Novelis, Inc. | ||||||||
| 3,950,000 | 8.750%, 12/15/2020 | 4,266,000 | ||||||
| Ryerson Holding Corporation | ||||||||
| 4,770,000 | Zero Coupon, 2/1/2015 | 2,480,400 | ||||||
| Ryerson, Inc. | ||||||||
| 2,300,000 | 12.000%, 11/1/2015 | 2,443,750 | ||||||
| Severstal Columbus, LLC | ||||||||
| 1,600,000 | 10.250%, 2/15/2018 | 1,768,000 | ||||||
|
| |||||||
| Total Basic Materials | 56,449,980 | |||||||
|
| |||||||
| Capital Goods (8.8%) | ||||||||
| Abengoa Finance SAU | ||||||||
| 5,280,000 | 8.875%, 11/1/2017d | 5,392,200 | ||||||
| Associated Materials, LLC | ||||||||
| 4,800,000 | 9.125%, 11/1/2017d,e | 4,788,000 | ||||||
| BE Aerospace, Inc. | ||||||||
| 3,720,000 | 6.875%, 10/1/2020 | 3,896,700 | ||||||
| Case New Holland, Inc. | ||||||||
| 5,300,000 | 7.875%, 12/1/2017d | 5,830,000 | ||||||
| Cemex SAB de CV | ||||||||
| 2,610,000 | 5.246%, 9/30/2015c,d | 2,518,650 | ||||||
| 3,810,000 | 9.000%, 1/11/2018d | 3,876,675 | ||||||
| Coleman Cable, Inc. | ||||||||
| 2,420,000 | 9.000%, 2/15/2018 | 2,528,900 | ||||||
| EnergySolutions, Inc. | ||||||||
| 2,650,000 | 10.750%, 8/15/2018 | 2,795,750 | ||||||
| Graham Packaging Company, LP/GPC Capital Corporation I | ||||||||
| 2,550,000 | 8.250%, 1/1/2017 | 2,843,250 | ||||||
| 1,060,000 | 8.250%, 10/1/2018 | 1,179,250 | ||||||
| Liberty Tire Recycling | ||||||||
| 2,660,000 | 11.000%, 10/1/2016d | 2,779,700 | ||||||
| Manitowoc Company, Inc. | ||||||||
| 4,730,000 | 8.500%, 11/1/2020 | 5,049,275 | ||||||
| Nortek, Inc. | ||||||||
| 3,160,000 | 10.000%, 12/1/2018d | 3,160,000 | ||||||
| 3,140,000 | 8.500%, 4/15/2021d | 2,904,500 | ||||||
| Owens-Illinois, Inc. | ||||||||
| 3,470,000 | 7.800%, 5/15/2018 | 3,747,600 | ||||||
| Packaging Dynamics Corporation | ||||||||
| 790,000 | 8.750%, 2/1/2016d | 801,850 | ||||||
| Plastipak Holdings, Inc. | ||||||||
| 2,995,000 | 8.500%, 12/15/2015d | 3,069,875 | ||||||
| 500,000 | 10.625%, 8/15/2019d | 562,500 | ||||||
| RBS Global, Inc./Rexnord Corporation | ||||||||
| 4,520,000 | 8.500%, 5/1/2018 | 4,774,250 | ||||||
| Reynolds Group Issuer, Inc. | ||||||||
| 1,580,000 | 9.000%, 4/15/2019d,e | 1,560,250 | ||||||
| 2,630,000 | 8.250%, 2/15/2021d | 2,459,050 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
261
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Capital Goods (8.8%) - continued | ||||||||
| RSC Equipment Rental, Inc. | ||||||||
| $ | 2,272,000 | 9.500%, 12/1/2014 | $ | 2,328,800 | ||||
| 950,000 | 8.250%, 2/1/2021 | 945,250 | ||||||
|
| |||||||
| Total Capital Goods | 69,792,275 | |||||||
|
| |||||||
| Communications Services (16.5%) | ||||||||
| AMC Networks, Inc. | ||||||||
| 2,650,000 | 7.750%, 7/15/2021d | 2,769,250 | ||||||
| CCO Holdings, LLC | ||||||||
| 4,250,000 | 7.250%, 10/30/2017 | 4,404,063 | ||||||
| 2,110,000 | 7.000%, 1/15/2019 | 2,173,300 | ||||||
| Citadel Broadcasting Corporation | ||||||||
| 3,260,000 | 7.750%, 12/15/2018d | 3,463,750 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 6,450,000 | 9.250%, 12/15/2017 | 7,030,500 | ||||||
| Cricket Communications, Inc. | ||||||||
| 5,620,000 | 7.750%, 10/15/2020e | 5,507,600 | ||||||
| 2,100,000 | 7.750%, 10/15/2020d | 2,052,750 | ||||||
| CSC Holdings, Inc. | ||||||||
| 3,450,000 | 8.500%, 6/15/2015 | 3,726,000 | ||||||
| Digicel, Ltd. | ||||||||
| 4,210,000 | 8.250%, 9/1/2017d | 4,367,875 | ||||||
| Dish DBS Corporation | ||||||||
| 4,200,000 | 6.750%, 6/1/2021d | 4,305,000 | ||||||
| EH Holding Corporation | ||||||||
| 4,850,000 | 6.500%, 6/15/2019d | 4,934,875 | ||||||
| Frontier Communications Corporation | ||||||||
| 3,190,000 | 8.250%, 4/15/2017 | 3,469,125 | ||||||
| GCI, Inc. | ||||||||
| 4,200,000 | 6.750%, 6/1/2021d | 4,200,000 | ||||||
| Intelsat Bermuda, Ltd. | ||||||||
| 5,700,000 | 11.250%, 2/4/2017 | 6,120,375 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 4,520,000 | 7.250%, 10/15/2020d | 4,497,400 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 10,177,153 | 11.500%, 2/4/2017 | 10,940,439 | ||||||
| 790,000 | 11.500%, 2/4/2017d | 849,250 | ||||||
| LBI Media, Inc. | ||||||||
| 2,090,000 | 9.250%, 4/15/2019d | 2,069,100 | ||||||
| Nielsen Finance, LLC/Nielsen Finance Company | ||||||||
| 975,000 | 11.500%, 5/1/2016 | 1,140,750 | ||||||
| 2,800,000 | 7.750%, 10/15/2018d | 2,940,000 | ||||||
| NII Capital Corporation | ||||||||
| 5,330,000 | 8.875%, 12/15/2019 | 5,882,987 | ||||||
| 2,090,000 | 7.625%, 4/1/2021 | 2,184,050 | ||||||
| Ono Finance II plc | ||||||||
| 3,400,000 | 10.875%, 7/15/2019d | 3,621,000 | ||||||
| Quebecor Media, Inc. | ||||||||
| 3,790,000 | 7.750%, 3/15/2016 | 3,917,913 | ||||||
| Satmex Escrow SA de CV | ||||||||
| 5,230,000 | 9.500%, 5/15/2017d,e | 5,334,600 | ||||||
| TW Telecom Holdings, Inc. | ||||||||
| 2,400,000 | 8.000%, 3/1/2018 | 2,559,000 | ||||||
| Univision Communications, Inc. | ||||||||
| 3,530,000 | 6.875%, 5/15/2019d | 3,494,700 | ||||||
| UPC Holding BV | ||||||||
| 4,500,000 | 9.875%, 4/15/2018d | 4,995,000 | ||||||
| Videotron Ltee | ||||||||
| 2,290,000 | 9.125%, 4/15/2018 | 2,556,213 | ||||||
| VimpelCom Holdings BV | ||||||||
| 6,880,000 | 7.504%, 3/1/2022d | 6,886,880 | ||||||
| Virgin Media Finance plc | ||||||||
| 1,790,000 | 8.375%, 10/15/2019 | 1,995,850 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 2,495,000 | 7.250%, 2/15/2018d | 2,594,800 | ||||||
| XM Satellite Radio, Inc. | ||||||||
| 3,680,000 | 7.625%, 11/1/2018d | 3,845,600 | ||||||
|
| |||||||
| Total Communications Services | 130,829,995 | |||||||
|
| |||||||
| Consumer Cyclical (16.8%) | ||||||||
| American Axle & Manufacturing, Inc. | ||||||||
| 2,150,000 | 5.250%, 2/11/2014 | 2,123,125 | ||||||
| 2,130,000 | 7.875%, 3/1/2017e | 2,130,000 | ||||||
| Beazer Homes USA, Inc. | ||||||||
| 3,200,000 | 6.875%, 7/15/2015 | 2,840,000 | ||||||
| 2,630,000 | 9.125%, 5/15/2019d,e | 2,261,800 | ||||||
| Bon-Ton Department Stores, Inc. | ||||||||
| 2,120,000 | 10.250%, 3/15/2014e | 2,120,000 | ||||||
| Burlington Coat Factory Warehouse Corporation | ||||||||
| 3,650,000 | 10.000%, 2/15/2019d | 3,613,500 | ||||||
| Caesars Entertainment Operating Company, Inc. | ||||||||
| 3,700,000 | 10.000%, 12/15/2018 | 3,339,250 | ||||||
| Chrysler Group, LLC | ||||||||
| 2,540,000 | 8.000%, 6/15/2019d,e | 2,495,550 | ||||||
| 2,990,000 | 8.250%, 6/15/2021d,e | 2,930,200 | ||||||
| Circus & Eldorado Joint Venture/Silver Legacy Capital Corporation | ||||||||
| 2,510,000 | 10.125%, 3/1/2012 | 2,359,400 | ||||||
| DineEquity, Inc. | ||||||||
| 4,200,000 | 9.500%, 10/30/2018d | 4,557,000 | ||||||
| Eldorado Resorts, LLC | ||||||||
| 2,100,000 | 8.625%, 6/15/2019d | 1,953,000 | ||||||
| FireKeepers Development Authority | ||||||||
| 3,030,000 | 13.875%, 5/1/2015d | 3,499,650 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 3,500,000 | 8.000%, 6/1/2014 | 3,839,650 | ||||||
| 5,320,000 | 7.000%, 4/15/2015 | 5,746,446 | ||||||
| Gaylord Entertainment Company | ||||||||
| 6,650,000 | 6.750%, 11/15/2014 | 6,733,125 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| 3,190,000 | 8.250%, 8/15/2020e | 3,445,200 | ||||||
| Lear Corporation | ||||||||
| 2,200,000 | 7.875%, 3/15/2018 | 2,365,000 | ||||||
| 2,200,000 | 8.125%, 3/15/2020 | 2,370,500 | ||||||
| Levi Strauss & Company | ||||||||
| 2,630,000 | 7.625%, 5/15/2020e | 2,630,000 | ||||||
| Limited Brands, Inc. | ||||||||
| 1,570,000 | 6.625%, 4/1/2021 | 1,605,325 | ||||||
| Marina District Finance Company, Inc. | ||||||||
| 4,760,000 | 9.500%, 10/15/2015d,e | 4,950,400 | ||||||
| 530,000 | 9.875%, 8/15/2018d,e | 549,875 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
262
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High Yield Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Consumer Cyclical (16.8%) - continued | ||||||||
| NCL Corporation, Ltd. | ||||||||
| $ | 2,170,000 | 11.750%, 11/15/2016 | $ | 2,500,925 | ||||
| 4,470,000 | 9.500%, 11/15/2018d | 4,760,550 | ||||||
| Peninsula Gaming, LLC | ||||||||
| 2,170,000 | 8.375%, 8/15/2015e | 2,278,500 | ||||||
| 530,000 | 10.750%, 8/15/2017d | 579,025 | ||||||
| 3,990,000 | 10.750%, 8/15/2017 | 4,359,075 | ||||||
| Pittsburgh Glass Works, LLC | ||||||||
| 1,700,000 | 8.500%, 4/15/2016d | 1,746,750 | ||||||
| Realogy Corporation | ||||||||
| 2,980,000 | 11.500%, 4/15/2017e | 3,024,700 | ||||||
| Realogy Corporation, Convertible | ||||||||
| 1,570,000 | 11.000%, 4/15/2018d | 1,648,500 | ||||||
| Rite Aid Corporation | ||||||||
| 2,870,000 | 7.500%, 3/1/2017 | 2,848,475 | ||||||
| 2,060,000 | 9.500%, 6/15/2017 | 1,879,750 | ||||||
| Sears Holdings Corporation | ||||||||
| 3,600,000 | 6.625%, 10/15/2018d | 3,339,000 | ||||||
| Seminole Indian Tribe of Florida | ||||||||
| 1,970,000 | 7.750%, 10/1/2017d | 2,038,950 | ||||||
| 5,540,000 | 7.804%, 10/1/2020d | 5,444,712 | ||||||
| Service Corporation International | ||||||||
| 2,100,000 | 6.750%, 4/1/2015 | 2,252,250 | ||||||
| Seven Seas Cruises S de RL, LLC | ||||||||
| 2,620,000 | 9.125%, 5/15/2019d | 2,698,600 | ||||||
| Shingle Springs Tribal Gaming Authority | ||||||||
| 5,950,000 | 9.375%, 6/15/2015d,e | 4,105,500 | ||||||
| Tunica-Biloxi Gaming Authority | ||||||||
| 4,770,000 | 9.000%, 11/15/2015f | 4,877,325 | ||||||
| Universal City Development Partners, Ltd. | ||||||||
| 930,000 | 8.875%, 11/15/2015 | 1,034,625 | ||||||
| 2,670,000 | 10.875%, 11/15/2016 | 3,177,300 | ||||||
| West Corporation | ||||||||
| 4,650,000 | 8.625%, 10/1/2018d | 4,696,500 | ||||||
| 3,940,000 | 7.875%, 1/15/2019d | 3,821,800 | ||||||
|
| |||||||
| Total Consumer Cyclical | 133,570,808 | |||||||
|
| |||||||
| Consumer Non-Cyclical (10.3%) | ||||||||
| Biomet, Inc. | ||||||||
| 2,090,000 | 10.375%, 10/15/2017 | 2,304,225 | ||||||
| 1,810,000 | 11.625%, 10/15/2017 | 2,004,575 | ||||||
| Blue Merger Sub, Inc. | ||||||||
| 1,300,000 | 7.625%, 2/15/2019d | 1,313,000 | ||||||
| Capella Healthcare, Inc. | ||||||||
| 3,960,000 | 9.250%, 7/1/2017d | 4,177,800 | ||||||
| CDRT Merger Sub, Inc. | ||||||||
| 2,620,000 | 8.125%, 6/1/2019d | 2,620,000 | ||||||
| Community Health Systems, Inc. | ||||||||
| 3,140,000 | 8.875%, 7/15/2015 | 3,234,200 | ||||||
| Diversey Holdings, Inc. | ||||||||
| 2,761,171 | 10.500%, 5/15/2020 | 3,410,046 | ||||||
| Diversey, Inc. | ||||||||
| 1,580,000 | 8.250%, 11/15/2019 | 1,852,550 | ||||||
| DJO Finance, LLC/DJO Finance Corporation | ||||||||
| 2,700,000 | 9.750%, 10/15/2017d | 2,740,500 | ||||||
| 1,730,000 | 7.750%, 4/15/2018d,e | 1,723,512 | ||||||
| Endo Pharmaceuticals Holdings, Inc. | ||||||||
| 790,000 | 7.000%, 7/15/2019d | 809,750 | ||||||
| 2,640,000 | 7.250%, 1/15/2022d | 2,679,600 | ||||||
| Giant Funding Corporation | ||||||||
| 1,050,000 | 8.250%, 2/1/2018d | 1,094,625 | ||||||
| HCA, Inc. | ||||||||
| 2,710,000 | 8.500%, 4/15/2019 | 2,994,550 | ||||||
| 4,270,000 | 7.250%, 9/15/2020 | 4,584,913 | ||||||
| Ingles Markets, Inc. | ||||||||
| 1,600,000 | 8.875%, 5/15/2017 | 1,712,000 | ||||||
| Jarden Corporation | ||||||||
| 1,070,000 | 7.500%, 1/15/2020 | 1,112,800 | ||||||
| JBS Finance II, Ltd. | ||||||||
| 5,050,000 | 8.250%, 1/29/2018d | 5,151,000 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 3,150,000 | 11.625%, 5/1/2014 | 3,622,500 | ||||||
| Libbey Glass, Inc. | ||||||||
| 749,000 | 10.000%, 2/15/2015 | 812,665 | ||||||
| Michael Foods, Inc. | ||||||||
| 4,240,000 | 9.750%, 7/15/2018d | 4,536,800 | ||||||
| Mylan, Inc. | ||||||||
| 3,210,000 | 7.875%, 7/15/2020d | 3,522,975 | ||||||
| Revlon Consumer Products Corporation | ||||||||
| 3,730,000 | 9.750%, 11/15/2015 | 4,009,750 | ||||||
| Select Medical Corporation | ||||||||
| 1,625,000 | 7.625%, 2/1/2015 | 1,608,750 | ||||||
| 3,100,000 | 6.211%, 9/15/2015c,e | 2,960,500 | ||||||
| Spectrum Brands, Inc. | ||||||||
| 3,700,000 | 9.500%, 6/15/2018d | 4,051,500 | ||||||
| STHI Holding Corporation | ||||||||
| 1,570,000 | 8.000%, 3/15/2018d | 1,593,550 | ||||||
| Teleflex, Inc. | ||||||||
| 4,210,000 | 6.875%, 6/1/2019 | 4,262,625 | ||||||
| Visant Corporation | ||||||||
| 4,890,000 | 10.000%, 10/1/2017 | 5,061,150 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 81,562,411 | |||||||
|
| |||||||
| Energy (11.8%) | ||||||||
| Chesapeake Energy Corporation | ||||||||
| 3,190,000 | 6.875%, 8/15/2018e | 3,349,500 | ||||||
| Citgo Petroleum Corporation | ||||||||
| 3,550,000 | 11.500%, 7/1/2017d | 4,118,000 | ||||||
| Coffeyville Resources, LLC | ||||||||
| 1,584,000 | 9.000%, 4/1/2015d | 1,718,640 | ||||||
| 3,600,000 | 10.875%, 4/1/2017d | 4,086,000 | ||||||
| Concho Resources, Inc. | ||||||||
| 5,240,000 | 6.500%, 1/15/2022 | 5,253,100 | ||||||
| Connacher Oil and Gas, Ltd. | ||||||||
| 4,720,000 | 8.500%, 8/1/2019d | 4,484,000 | ||||||
| Denbury Resources, Inc. | ||||||||
| 800,000 | 9.750%, 3/1/2016 | 894,000 | ||||||
| 428,000 | 8.250%, 2/15/2020 | 466,520 | ||||||
| 1,710,000 | 6.375%, 8/15/2021 | 1,710,000 | ||||||
| Energy XXI Gulf Coast, Inc. | ||||||||
| 2,110,000 | 9.250%, 12/15/2017d | 2,247,150 | ||||||
| 1,580,000 | 7.750%, 6/15/2019d,e | 1,572,100 | ||||||
| Forest Oil Corporation | ||||||||
| 4,130,000 | 7.250%, 6/15/2019 | 4,212,600 | ||||||
| Harvest Operations Corporation | ||||||||
| 5,290,000 | 6.875%, 10/1/2017d | 5,461,925 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
263
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High Yield Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Energy (11.8%) - continued | ||||||||
| Helix Energy Solutions Group, Inc. | ||||||||
| $ | 4,000,000 | 9.500%, 1/15/2016d | $ | 4,120,000 | ||||
| Linn Energy, LLC | ||||||||
| 2,250,000 | 8.625%, 4/15/2020 | 2,441,250 | ||||||
| 2,195,000 | 7.750%, 2/1/2021d | 2,282,800 | ||||||
| McJunkin Red Man Corporation | ||||||||
| 4,290,000 | 9.500%, 12/15/2016d | 4,365,075 | ||||||
| Newfield Exploration Company | ||||||||
| 3,900,000 | 6.625%, 4/15/2016 | 4,026,750 | ||||||
| Oasis Petroleum, Inc. | ||||||||
| 2,670,000 | 7.250%, 2/1/2019d | 2,649,975 | ||||||
| Petrohawk Energy Corporation | ||||||||
| 850,000 | 10.500%, 8/1/2014 | 956,250 | ||||||
| 3,190,000 | 7.250%, 8/15/2018 | 3,273,737 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 3,200,000 | 7.500%, 1/15/2020 | 3,605,782 | ||||||
| Plains Exploration & Production Company | ||||||||
| 1,670,000 | 7.750%, 6/15/2015 | 1,730,538 | ||||||
| 4,270,000 | 10.000%, 3/1/2016 | 4,803,750 | ||||||
| Precision Drilling Corporation | ||||||||
| 2,450,000 | 6.625%, 11/15/2020 | 2,480,625 | ||||||
| QEP Resources, Inc. | ||||||||
| 3,670,000 | 6.875%, 3/1/2021 | 3,871,850 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 3,680,000 | 8.000%, 6/1/2018d,e | 3,753,600 | ||||||
| SESI, LLC | ||||||||
| 1,700,000 | 6.375%, 5/1/2019d | 1,683,000 | ||||||
| Southwestern Energy Company | ||||||||
| 2,950,000 | 7.500%, 2/1/2018 | 3,355,625 | ||||||
| United Refining Company | ||||||||
| 4,710,000 | 10.500%, 2/28/2018 | 4,710,000 | ||||||
|
| |||||||
| Total Energy | 93,684,142 | |||||||
|
| |||||||
| Financials (7.6%) | ||||||||
| Ally Financial, Inc. | ||||||||
| 2,080,000 | 7.500%, 12/31/2013 | 2,223,000 | ||||||
| 2,650,000 | 8.000%, 3/15/2020 | 2,815,625 | ||||||
| 5,590,000 | 7.500%, 9/15/2020 | 5,841,550 | ||||||
| Aviv Healthcare Properties, LP | ||||||||
| 3,160,000 | 7.750%, 2/15/2019d | 3,231,100 | ||||||
| Bank of America Corporation | ||||||||
| 3,660,000 | 8.125%, 12/29/2049e,g | 3,822,175 | ||||||
| CIT Group, Inc. | ||||||||
| 2,870,000 | 5.250%, 4/1/2014d | 2,855,650 | ||||||
| 7,400,000 | 7.000%, 5/1/2017 | 7,381,500 | ||||||
| Community Choice Financial, Inc. | ||||||||
| 2,620,000 | 10.750%, 5/1/2019d | 2,659,300 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 3,190,000 | 7.875%, 9/1/2020 | 3,657,546 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 1,310,000 | 6.750%, 6/1/2018d,e | 1,313,275 | ||||||
| Harbinger Group, Inc. | ||||||||
| 790,000 | 10.625%, 11/15/2015d | 802,837 | ||||||
| 2,100,000 | 10.625%, 11/15/2015e | 2,168,250 | ||||||
| Icahn Enterprises, LP | ||||||||
| 4,730,000 | 7.750%, 1/15/2016 | 4,854,162 | ||||||
| 5,780,000 | 8.000%, 1/15/2018 | 5,866,700 | ||||||
| International Lease Finance Corporation | ||||||||
| 2,250,000 | 8.625%, 9/15/2015e | 2,438,438 | ||||||
| 1,950,000 | 8.750%, 3/15/2017 | 2,132,812 | ||||||
| 1,600,000 | 8.875%, 9/1/2017e | 1,760,000 | ||||||
| Nuveen Investments, Inc. | ||||||||
| 2,630,000 | 10.500%, 11/15/2015d | 2,662,875 | ||||||
| Speedy Cash, Inc. | ||||||||
| 2,100,000 | 10.750%, 5/15/2018d | 2,147,250 | ||||||
|
| |||||||
| Total Financials | 60,634,045 | |||||||
|
| |||||||
| Technology (4.9%) | ||||||||
| Advanced Micro Devices, Inc. | ||||||||
| 3,200,000 | 8.125%, 12/15/2017 | 3,344,000 | ||||||
| 930,000 | 7.750%, 8/1/2020 | 957,900 | ||||||
| Amkor Technology, Inc. | ||||||||
| 10,480,000 | 6.625%, 12/1/2011d,e | 10,087,000 | ||||||
| Equinix, Inc. | ||||||||
| 3,770,000 | 8.125%, 3/1/2018 | 4,104,588 | ||||||
| First Data Corporation | ||||||||
| 2,090,000 | 11.250%, 3/31/2016e | 2,058,650 | ||||||
| 1,040,000 | 7.375%, 6/15/2019d,e | 1,047,800 | ||||||
| 1,850,000 | 12.625%, 1/15/2021d,e | 1,979,500 | ||||||
| Freescale Semiconductor, Inc. | ||||||||
| 2,110,000 | 8.050%, 2/1/2020d,e | 2,120,550 | ||||||
| 4,530,000 | 10.750%, 8/1/2020d | 5,118,900 | ||||||
| NXP BV/NXP Funding, LLC | ||||||||
| 2,660,000 | 9.750%, 8/1/2018d | 2,979,200 | ||||||
| Seagate HDD Cayman | ||||||||
| 3,140,000 | 7.750%, 12/15/2018d | 3,297,000 | ||||||
| Sensata Technologies BV | ||||||||
| 2,100,000 | 6.500%, 5/15/2019d | 2,094,750 | ||||||
|
| |||||||
| Total Technology | 39,189,838 | |||||||
|
| |||||||
| Transportation (3.6%) | ||||||||
| American Petroleum Tankers LLC | ||||||||
| 1,204,000 | 10.250%, 5/1/2015 | 1,258,180 | ||||||
| CMA CGM SA | ||||||||
| 4,710,000 | 8.500%, 4/15/2017d | 3,956,400 | ||||||
| Continental Airlines, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2015d | 3,015,000 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 1,410,000 | 9.500%, 9/15/2014d | 1,503,413 | ||||||
| Hertz Corporation | ||||||||
| 5,750,000 | 6.750%, 4/15/2019d | 5,692,500 | ||||||
| Navios Maritime Acquisition Corporation | ||||||||
| 1,050,000 | 8.625%, 11/1/2017 | 1,034,250 | ||||||
| 1,310,000 | 8.625%, 11/1/2017d | 1,290,350 | ||||||
| Navios Maritime Holdings, Inc. | ||||||||
| 1,330,000 | 8.875%, 11/1/2017 | 1,369,900 | ||||||
| 3,270,000 | 8.125%, 2/15/2019d | 3,139,200 | ||||||
| Navios South American Logistics, | ||||||||
| Inc./Navios Logistics Finance US, Inc. | ||||||||
| 1,360,000 | 9.250%, 4/15/2019d | 1,370,200 | ||||||
| United Air Lines, Inc. | ||||||||
| 2,122,559 | 9.750%, 1/15/2017 | 2,409,104 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
264
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Transportation (3.6%) - continued | ||||||||
United Maritime Group, LLC/United Maritime Group Finance Corporation | ||||||||
| $ | 2,140,000 | 11.750%, 6/15/2015 | $ | 2,236,300 | ||||
|
| |||||||
| Total Transportation | 28,274,797 | |||||||
|
| |||||||
| Utilities (3.5%) | ||||||||
| AES Corporation | ||||||||
| 5,900,000 | 7.375%, 7/1/2021d,e | 5,988,500 | ||||||
| Covanta Holding Corporation | ||||||||
| 2,600,000 | 7.250%, 12/1/2020 | 2,719,441 | ||||||
| Crosstex Energy/Crosstex Energy Finance Corporation | ||||||||
| 3,730,000 | 8.875%, 2/15/2018 | 3,972,450 | ||||||
| Holly Energy Partners, LP | ||||||||
| 2,130,000 | 8.250%, 3/15/2018 | 2,257,800 | ||||||
| Inergy, LP | ||||||||
| 5,060,000 | 7.000%, 10/1/2018 | 5,110,600 | ||||||
| Regency Energy Partners, LP | ||||||||
| 3,670,000 | 6.875%, 12/1/2018 | 3,798,450 | ||||||
| Targa Resources Partners, LP | ||||||||
| 3,460,000 | 7.875%, 10/15/2018d | 3,650,300 | ||||||
|
| |||||||
| Total Utilities | 27,497,541 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $700,711,150) | 726,310,992 | |||||||
|
| |||||||
| Shares | Preferred Stock (1.9%) | Value | ||||||
| Financials (1.9%) | ||||||||
| 3,381 | Ally Financial, Inc., 7.000%d,g | 3,177,506 | ||||||
| 62,690 | Ally Financial, Inc., 8.500%g | 1,569,131 | ||||||
| 104,852 | Citigroup Capital XII, 8.500% | 2,707,278 | ||||||
| 26,500 | Citigroup, Inc., Convertible, 7.500% | 3,183,975 | ||||||
| 45,250 | GMAC Capital Trust I, 8.125%h | 1,158,400 | ||||||
| 3,000 | Wells Fargo & Company, Convertible, 7.500%g | 3,180,000 | ||||||
|
| |||||||
| Total Financials | 14,976,290 | |||||||
|
| |||||||
Total Preferred Stock (cost $11,959,663) | 14,976,290 | |||||||
|
| |||||||
Common Stock (<0.1%) | ||||||||
| Consumer Discretionary (<0.1%) | ||||||||
| 121,520 | TVMAX Holdings, Inc.h,i | 0 | ||||||
|
| |||||||
| Total Consumer Discretionary | 0 | |||||||
|
| |||||||
Total Common Stock (cost $6,270,446) | 0 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (8.4%) | ||||||||
| 66,440,480 | Thrivent Financial Securities Lending Trust | 66,440,480 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $66,440,480) | 66,440,480 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (2.6%)j | Value | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.045%, 7/15/2011 | 9,999,825 | ||||||
| 5,000,000 | 0.010%, 7/18/2011 | 4,999,976 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.050%, 7/15/2011 | 4,999,903 | ||||||
| 820,000 | 0.160%, 8/29/2011 | 819,787 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 20,819,491 | |||||||
|
| |||||||
| Total Investments (cost $822,254,216) 106.3% | $ | 843,478,186 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.3%) | (49,737,845 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 793,740,341 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $341,670,438 or 43.0% of total net assets. |
| e | All or a portion of the security is on loan. |
| 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 High Yield Portfolio owned as of June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Tunica-Biloxi Gaming Authority | 11/8/2005 | $ | 4,748,878 | |||||
| g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| h | Non-income producing security. |
| i | Security is fair valued. |
| j | The interest rate shown reflects the yield, coupon rate or 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 | $ | 35,729,713 | ||
Gross unrealized depreciation | (14,761,820 | ) | ||
Net unrealized appreciation (depreciation) | $ | 20,967,893 | ||
|
| |||
Cost for federal income tax purposes | $ | 822,510,293 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
265
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing High Yield Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Financials | 3,834,819 | — | 3,834,819 | — | ||||||||||||
Technology | 2,728,551 | — | 2,728,551 | — | ||||||||||||
Utilities | 8,367,563 | — | 8,367,563 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,825,160 | — | 4,825,160 | — | ||||||||||||
Basic Materials | 56,449,980 | — | 56,449,980 | — | ||||||||||||
Capital Goods | 69,792,275 | — | 69,792,275 | — | ||||||||||||
Communications Services | 130,829,995 | — | 130,829,995 | — | ||||||||||||
Consumer Cyclical | 133,570,808 | — | 133,570,808 | — | ||||||||||||
Consumer Non-Cyclical | 81,562,411 | — | 81,562,411 | — | ||||||||||||
Energy | 93,684,142 | — | 93,684,142 | — | ||||||||||||
Financials | 60,634,045 | — | 60,634,045 | — | ||||||||||||
Technology | 39,189,838 | — | 39,189,838 | — | ||||||||||||
Transportation | 28,274,797 | — | 28,274,797 | — | ||||||||||||
Utilities | 27,497,541 | — | 27,497,541 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 14,976,290 | 11,798,784 | 3,177,506 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | — | — | — | — | ||||||||||||
Collateral Held for Securities Loaned | 66,440,480 | 66,440,480 | — | — | ||||||||||||
Short-Term Investments | 20,819,491 | — | 20,819,491 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $843,478,186 | $ | 78,239,264 | $ | 765,238,922 | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | 2,517,314 | — | (41,800 | ) | — | (66,410 | ) | — | (2,409,104 | ) | — | |||||||||||||||||||||
Common Stock Consumer | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Materials | — | (47,568 | ) | 47,568 | — | — | — | — | — | |||||||||||||||||||||||
|
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|
|
|
|
| |||||||||||||||||
Total | $ | 2,517,314 | ) | ($ | 47,568 | $ | 5,768 | $ | — | ($ | 66,410 | ) | $ | — | ($ | 2,409,104 | ) | $ | — | |||||||||||||
|
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|
|
|
|
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| |||||||||||||||||
| ^ | Securities in these sections are fair valued at $0. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
266
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | 48,334 | ||||
Total Credit Contracts | 48,334 | |||||
|
| |||||
Total | $ | 48,334 | ||||
|
| |||||
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||
Credit Contracts | $12,672,854 | 1.6 | % | |||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in High Yield Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 58,703,553 | $ | 157,476,012 | $ | 149,739,085 | 66,440,480 | $ | 66,440,480 | $ | 121,241 | |||||||||||||
Total Value and Income Earned | 58,703,553 | 66,440,480 | 121,241 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
267
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (53.2%) | Value | ||||||
| Asset-Backed Securities (2.6%) | ||||||||
Carrington Mortgage Loan Trust | ||||||||
| $1,200,000 | 0.336%, 8/25/2036a | $ | 387,280 | |||||
Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 528,373 | 0.266%, 8/25/2036a | 484,857 | ||||||
GSAMP Trust | ||||||||
| 794,184 | 0.366%, 2/25/2036a | 656,876 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 442,998 | 2.739%, 2/25/2036 | 388,567 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 512,819 | 5.746%, 5/25/2036 | 335,497 | ||||||
| 632,000 | 6.011%, 5/25/2036 | 350,271 | ||||||
| 950,000 | 5.797%, 8/25/2036 | 429,055 | ||||||
|
| |||||||
Total Asset-Backed Securities | 3,032,403 | |||||||
|
| |||||||
| Basic Materials (3.2%) | ||||||||
Alcoa, Inc. | ||||||||
| 190,000 | 6.150%, 8/15/2020 | 201,283 | ||||||
| 175,000 | 5.400%, 4/15/2021 | 175,540 | ||||||
Allegheny Technologies, Inc., Convertible | ||||||||
| 103,000 | 4.250%, 6/1/2014 | 170,465 | ||||||
ArcelorMittal | ||||||||
| 380,000 | 5.500%, 3/1/2021 | 380,593 | ||||||
Arch Coal, Inc. | ||||||||
| 530,000 | 7.000%, 6/15/2019b | 528,675 | ||||||
Dow Chemical Company | ||||||||
| 400,000 | 8.550%, 5/15/2019 | 515,778 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 530,000 | 7.000%, 11/1/2015b | 540,600 | ||||||
Georgia-Pacific, LLC | ||||||||
| 530,000 | 8.000%, 1/15/2024 | 629,398 | ||||||
Newmont Mining Corporation, Convertible | ||||||||
| 112,000 | 3.000%, 2/15/2012 | 137,200 | ||||||
Novelis, Inc. | ||||||||
| 530,000 | 8.375%, 12/15/2017 | 565,775 | ||||||
|
| |||||||
Total Basic Materials | 3,845,307 | |||||||
|
| |||||||
| Capital Goods (1.4%) | ||||||||
Alliant Techsystems, Inc. Convertible | ||||||||
| 121,000 | 3.000%, 8/15/2024 | 134,461 | ||||||
Bombardier, Inc. | ||||||||
| 350,000 | 7.750%, 3/15/2020b | 393,750 | ||||||
Case New Holland, Inc. | ||||||||
| 530,000 | 7.875%, 12/1/2017b | 583,000 | ||||||
Owens-Brockway Glass Container, Inc., Convertible | ||||||||
| 150,000 | 3.000%, 6/1/2015b | 147,750 | ||||||
Textron, Inc. | ||||||||
| 300,000 | 7.250%, 10/1/2019c | 352,702 | ||||||
|
| |||||||
Total Capital Goods | 1,611,663 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (7.4%) | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 467,673 | 2.560%, 10/25/2035a | 408,298 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 625,533 | 5.500%, 11/25/2035 | 543,671 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 902,868 | 5.750%, 4/25/2037 | 659,111 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 406,804 | 6.000%, 4/25/2036 | 306,828 | ||||||
| 345,303 | 6.000%, 1/25/2037 | 242,519 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 327,387 | 5.500%, 10/25/2021 | 304,099 | ||||||
| 1,280,771 | 1.050%, 4/25/2047a | 820,548 | ||||||
First Horizon Mortgage Pass- Through Trust | ||||||||
| 493,939 | 5.698%, 8/25/2037 | 367,000 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 571,673 | 0.376%, 8/25/2046a | 465,782 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 504,876 | 2.234%, 4/25/2037 | 311,168 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 39,341 | 0.256%, 11/25/2036a | 38,215 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities | ||||||||
| 878,915 | 5.518%, 1/25/2037 | 646,716 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 321,931 | 6.500%, 1/25/2035 | 314,804 | ||||||
| 266,993 | 5.346%, 10/25/2036 | 220,737 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 865,529 | 6.500%, 5/25/2034 | 897,966 | ||||||
| 365,501 | 6.500%, 7/25/2034 | 383,224 | ||||||
New York Mortgage Trust, Inc. | ||||||||
| 719,416 | 2.820%, 5/25/2036 | 176,567 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 514,266 | 5.454%, 9/25/2036 | 111,612 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 397,201 | 5.387%, 11/25/2036 | 349,182 | ||||||
| 217,190 | 5.565%, 8/25/2046 | 174,913 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 1,060,496 | 1.028%, 2/25/2047a | 512,087 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 303,964 | 5.511%, 9/25/2036 | 11,707 | ||||||
| 543,117 | 6.000%, 7/25/2037 | 526,808 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 8,793,562 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (2.5%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 650,000 | 5.833%, 4/10/2049 | 615,434 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 500,000 | 0.367%, 6/15/2022a,d | 455,490 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
268
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (53.2%) | Value | ||||||
| Commercial Mortgage-Backed Securities (2.5%) - continued | ||||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| $650,000 | 5.867%, 12/10/2049 | $ | 594,337 | |||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 650,000 | 6.375%, 9/15/2045 | 638,865 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 650,000 | 0.307%, 9/15/2021a,d | 606,521 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 2,910,647 | |||||||
|
| |||||||
| Communications Services (5.6%) | ||||||||
| CBS Corporation | ||||||||
| 300,000 | 8.875%, 5/15/2019 | 382,428 | ||||||
| CCO Holdings, LLC | ||||||||
| 530,000 | 7.000%, 1/15/2019 | 545,900 | ||||||
| CenturyLink, Inc. | ||||||||
| 350,000 | 6.450%, 6/15/2021 | 345,999 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 530,000 | 9.250%, 12/15/2017 | 577,700 | ||||||
| Cricket Communications, Inc. | ||||||||
| 465,000 | 7.750%, 10/15/2020c | 455,700 | ||||||
| DirecTV Holdings, LLC/DirecTV Financing Company, Inc. | ||||||||
| 380,000 | 6.375%, 3/1/2041 | 405,718 | ||||||
| Dish DBS Corporation | ||||||||
| 530,000 | 6.750%, 6/1/2021b | 543,250 | ||||||
| EH Holding Corporation | ||||||||
| 530,000 | 6.500%, 6/15/2019b | 539,275 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 530,000 | 11.500%, 2/4/2017b | 569,750 | ||||||
| NII Capital Corporation | ||||||||
| 530,000 | 7.625%, 4/1/2021 | 553,850 | ||||||
| SBA Communications Corporation, Convertible | ||||||||
| 260,000 | 1.875%, 5/1/2013 | 285,675 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 190,000 | 5.134%, 4/27/2020 | 188,341 | ||||||
| Telefonica SA | ||||||||
| 175,000 | 5.877%, 7/15/2019 | 183,767 | ||||||
| Virgin Media Finance plc | ||||||||
| 470,000 | 9.500%, 8/15/2016 | 531,100 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 530,000 | 7.250%, 2/15/2018b | 551,200 | ||||||
|
| |||||||
| Total Communications Services | 6,659,653 | |||||||
|
| |||||||
| Consumer Cyclical (4.2%) | ||||||||
| Chrysler Group, LLC | ||||||||
| 470,000 | 8.000%, 6/15/2019b,c | 461,775 | ||||||
| CVS Caremark Corporation | ||||||||
| 500,000 | 6.302%, 6/1/2037 | 486,875 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 350,000 | 6.625%, 8/15/2017 | 372,064 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| 530,000 | 8.250%, 8/15/2020c | 572,400 | ||||||
| Home Depot, Inc. | ||||||||
| 200,000 | 3.950%, 9/15/2020 | 197,878 | ||||||
| Lennar Corporation, Convertible | ||||||||
| 150,000 | 2.000%, 12/1/2020b | 150,563 | ||||||
| MGM Resorts International | ||||||||
| 520,000 | 11.125%, 11/15/2017 | 594,100 | ||||||
| Rite Aid Corporation | ||||||||
| 530,000 | 7.500%, 3/1/2017 | 526,025 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 530,000 | 6.750%, 5/15/2018 | 586,975 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 530,000 | 8.500%, 12/1/2017 | 553,850 | ||||||
| West Corporation | ||||||||
| 495,000 | 7.875%, 1/15/2019b | 480,150 | ||||||
|
| |||||||
| Total Consumer Cyclical | 4,982,655 | |||||||
|
| |||||||
| Consumer Non-Cyclical (3.3%) | ||||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 285,000 | 4.375%, 2/15/2021 | 291,432 | ||||||
| Archer-Daniels-Midland Company, Convertible | ||||||||
| 140,000 | 0.875%, 2/15/2014 | 147,700 | ||||||
| Beckman Coulter, Inc., Convertible | ||||||||
| 131,000 | 2.500%, 12/15/2036 | 156,381 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 125,000 | 4.100%, 3/15/2016 | 130,209 | ||||||
| Charles River Laboratories International, Inc., Convertible | ||||||||
| 140,000 | 2.250%, 6/15/2013 | 146,825 | ||||||
| Community Health Systems, Inc. | ||||||||
| 530,000 | 8.875%, 7/15/2015 | 545,900 | ||||||
| Gilead Sciences, Inc., Convertible | ||||||||
| 113,000 | 0.625%, 5/1/2013 | 134,046 | ||||||
| HCA, Inc. | ||||||||
| 530,000 | 7.250%, 9/15/2020 | 569,088 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 535,000 | 11.625%, 5/1/2014 | 615,250 | ||||||
| Molson Coors Brewing Company, Convertible | ||||||||
| 140,000 | 2.500%, 7/30/2013 | 153,650 | ||||||
| Mylan, Inc. | ||||||||
| 490,000 | 7.875%, 7/15/2020b | 537,775 | ||||||
| Reynolds Group Holdings, Ltd. | ||||||||
| 530,000 | 6.875%, 2/15/2021b | 516,750 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 3,945,006 | |||||||
|
| |||||||
| Energy (4.5%) | ||||||||
| Chesapeake Energy Corporation, Convertible | ||||||||
| 130,000 | 2.750%, 11/15/2035 | 143,813 | ||||||
| Denbury Resources, Inc. | ||||||||
| 530,000 | 9.750%, 3/1/2016 | 592,275 | ||||||
| Enbridge Energy Partners, LP | ||||||||
| 600,000 | 8.050%, 10/1/2037c | 650,966 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 700,000 | 7.034%, 1/15/2068 | 735,875 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
269
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (53.2%) | Value | ||||||
| Energy (4.5%) - continued | ||||||||
| Linn Energy, LLC | ||||||||
| $530,000 | 7.750%, 2/1/2021b | $ | 551,200 | |||||
| Nexen, Inc. | ||||||||
| 380,000 | 6.400%, 5/15/2037 | 379,056 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 605,000 | 7.500%, 1/15/2020 | 681,718 | ||||||
| Plains Exploration & Production Company | ||||||||
| 520,000 | 7.625%, 6/1/2018 | 546,000 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 530,000 | 8.000%, 6/1/2018b | 540,600 | ||||||
| Transocean, Inc. | ||||||||
| 400,000 | 7.375%, 4/15/2018 | 465,767 | ||||||
|
| |||||||
| Total Energy | 5,287,270 | |||||||
|
| |||||||
| Financials (13.6%) | ||||||||
| Abbey National Treasury Services plc | ||||||||
| 175,000 | 4.000%, 4/27/2016e | 173,655 | ||||||
| ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 350,000 | 6.523%, 12/29/2049b,f | 323,750 | ||||||
| Aegon NV | ||||||||
| 400,000 | 3.698%, 7/29/2049a,f | 279,380 | ||||||
| American Express Company | ||||||||
| 400,000 | 6.800%, 9/1/2066e | 411,000 | ||||||
| American International Group, Inc. | ||||||||
| 400,000 | 8.250%, 8/15/2018 | 459,451 | ||||||
| 285,000 | 6.400%, 12/15/2020 | 306,770 | ||||||
| Apollo Investment Corporation, Convertible | ||||||||
| 350,000 | 5.750%, 1/15/2016b,e | 344,750 | ||||||
| Bank of America Corporation | ||||||||
| 700,000 | 5.875%, 1/5/2021 | 734,632 | ||||||
| 240,000 | 8.000%, 12/29/2049f | 250,634 | ||||||
| BB&T Capital Trust IV | ||||||||
| 200,000 | 6.820%, 6/12/2057 | 202,500 | ||||||
| BBVA Bancomer SA/Texas | ||||||||
| 190,000 | 6.500%, 3/10/2021b | 193,800 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 350,000 | 5.919%, 12/29/2049f | 289,761 | ||||||
| CNA Financial Corporation | ||||||||
| 400,000 | 7.350%, 11/15/2019 | 455,975 | ||||||
| Coventry Health Care, Inc. | ||||||||
| 85,000 | 5.450%, 6/15/2021 | 86,973 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 475,000 | 7.875%, 9/1/2020 | 544,619 | ||||||
| Discover Bank | ||||||||
| 400,000 | 8.700%, 11/18/2019 | 482,544 | ||||||
| General Electric Capital Corporation | ||||||||
| 190,000 | 5.300%, 2/11/2021 | 197,703 | ||||||
| Goldman Sachs Group, Inc., Convertible | ||||||||
| 447 | 0.500%, 3/30/2012b,g | 319,361 | ||||||
| HCP, Inc. | ||||||||
| 300,000 | 6.700%, 1/30/2018 | 335,382 | ||||||
| 150,000 | 5.375%, 2/1/2021 | 154,714 | ||||||
| Health Care REIT, Inc. | ||||||||
| 380,000 | 6.500%, 3/15/2041 | 372,175 | ||||||
| HSBC Finance Corporation | ||||||||
| 285,000 | 6.676%, 1/15/2021b | 292,414 | ||||||
| Huntington Bancshares, Inc. | ||||||||
| 200,000 | 7.000%, 12/15/2020 | 225,501 | ||||||
| Huntington National Bank | ||||||||
| 400,000 | 6.600%, 6/15/2018 | 445,140 | ||||||
| Icahn Enterprises, LP | ||||||||
| 530,000 | 8.000%, 1/15/2018 | 537,950 | ||||||
| ING Capital Funding Trust III | ||||||||
| 400,000 | 3.846%, 12/31/2049a,f | 377,751 | ||||||
| International Lease Finance Corporation | ||||||||
| 440,000 | 5.750%, 5/15/2016 | 433,275 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 170,000 | 3.150%, 7/5/2016 | 171,040 | ||||||
| J.P. Morgan Chase Capital XX | ||||||||
| 440,000 | 6.550%, 9/29/2036 | 441,081 | ||||||
| KeyCorp | ||||||||
| 110,000 | 5.100%, 3/24/2021 | 112,034 | ||||||
| LBG Capital No. 1 plc | ||||||||
| 380,000 | 7.875%, 11/1/2020b | 355,300 | ||||||
| Lehman Brothers Holdings, Inc. | ||||||||
| 400,000 | 7.000%, 9/27/2027 | 104,500 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 350,000 | 10.750%, 6/15/2058b | 464,625 | ||||||
| Lincoln National Corporation | ||||||||
| 630,000 | 6.050%, 4/20/2067 | 606,375 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 100,000 | 6.500%, 9/14/2020b | 94,328 | ||||||
| MetLife, Inc. | ||||||||
| 450,000 | 7.875%, 12/15/2037b | 470,118 | ||||||
| Morgan Stanley | ||||||||
| 380,000 | 5.750%, 1/25/2021 | 384,495 | ||||||
| Prudential Financial, Inc. | ||||||||
| 300,000 | 6.200%, 11/15/2040 | 306,576 | ||||||
| Regions Bank | ||||||||
| 400,000 | 7.500%, 5/15/2018 | 418,282 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 600,000 | 6.750%, 12/15/2065 | 573,209 | ||||||
| 175,000 | 5.000%, 6/1/2021 | 173,133 | ||||||
| Royal Bank of Scotland plc | ||||||||
| 175,000 | 6.125%, 1/11/2021 | 179,395 | ||||||
| Santander Holdings USA, Inc. | ||||||||
| 90,000 | 4.625%, 4/19/2016 | 90,447 | ||||||
| SLM Corporation | ||||||||
| 350,000 | 8.000%, 3/25/2020 | 375,831 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 420,000 | 6.854%, 5/29/2049b,f | 403,824 | ||||||
| XL Capital, Ltd. | ||||||||
| 600,000 | 6.500%, 12/31/2049c,f | 550,500 | ||||||
| ZFS Finance USA Trust II | ||||||||
| 550,000 | 6.450%, 12/15/2065b | 558,250 | ||||||
|
| |||||||
| Total Financials | 16,064,903 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (53.2%) | Value | ||||||
| Foreign Government (0.2%) | ||||||||
| Brazil Government International Bond | ||||||||
| $200,000 | 4.875%, 1/22/2021 | $ | 213,900 | |||||
|
| |||||||
| Total Foreign Government | 213,900 | |||||||
|
| |||||||
| Technology (1.4%) | ||||||||
| EMC Corporation, Convertible | ||||||||
| 112,000 | 1.750%, 12/1/2013 | 196,280 | ||||||
| Freescale Semiconductor, Inc. | ||||||||
| 530,000 | 9.250%, 4/15/2018b | 571,075 | ||||||
| Intel Corporation, Convertible | ||||||||
| 140,000 | 3.250%, 8/1/2039 | 170,800 | ||||||
| International Game Technology, Convertible | ||||||||
| 112,000 | 3.250%, 5/1/2014 | 133,560 | ||||||
| Seagate HDD Cayman | ||||||||
| 530,000 | 7.750%, 12/15/2018b | 556,500 | ||||||
|
| |||||||
| Total Technology | 1,628,215 | |||||||
|
| |||||||
| Transportation (1.0%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 500,000 | 9.500%, 9/15/2014b | 533,125 | ||||||
| 177,617 | 7.750%, 12/17/2019 | 194,722 | ||||||
| Hertz Corporation | ||||||||
| 530,000 | 6.750%, 4/15/2019b | 524,700 | ||||||
|
| |||||||
| Total Transportation | 1,252,547 | |||||||
|
| |||||||
| Utilities (2.3%) | ||||||||
| AES Corporation | ||||||||
| 530,000 | 7.375%, 7/1/2021b,c | 537,950 | ||||||
| CenterPoint Energy, Inc. | ||||||||
| 140,000 | 6.500%, 5/1/2018 | 160,179 | ||||||
| CMS Energy Corporation, Convertible | ||||||||
| 112,000 | 5.500%, 6/15/2029 | 161,700 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 350,000 | 4.650%, 6/1/2021 | 342,416 | ||||||
| Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 530,000 | 6.500%, 8/15/2021 | 526,025 | ||||||
| NiSource Finance Corporation | ||||||||
| 350,000 | 6.125%, 3/1/2022 | 385,594 | ||||||
| Southern Union Company | ||||||||
| 200,000 | 7.200%, 11/1/2066c | 186,000 | ||||||
| TransCanada PipeLines, Ltd. | ||||||||
| 400,000 | 6.350%, 5/15/2067 | 402,106 | ||||||
|
| |||||||
| Total Utilities | 2,701,970 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $62,217,651) | 62,929,701 | |||||||
|
| |||||||
| Shares | Common Stock (36.9%) | |||||||
| Consumer Discretionary (3.4%) | ||||||||
| 3,700 | Amazon.com, Inc.h | 756,613 | ||||||
| 15,400 | DIRECTVh | 782,628 | ||||||
| 13,600 | Ford Motor Companyh | 187,544 | ||||||
| 10,700 | Gap, Inc. | 193,670 | ||||||
| 6,500 | McDonald’s Corporation | 548,080 | ||||||
| 19,800 | TJX Companies, Inc. | 1,040,094 | ||||||
| 7,000 | Weight Watchers International, Inc. | 528,290 | ||||||
|
| |||||||
| Total Consumer Discretionary | 4,036,919 | |||||||
|
| |||||||
| Consumer Staples (4.5%) | ||||||||
| 8,400 | Coca-Cola Company | 565,236 | ||||||
| 4,900 | Colgate-Palmolive Company | 428,309 | ||||||
| 8,800 | Dr. Pepper Snapple Group, Inc. | 368,984 | ||||||
| 6,200 | Herbalife, Ltd. | 357,368 | ||||||
| 6,700 | Kimberly-Clark Corporation | 445,952 | ||||||
| 8,400 | PepsiCo, Inc. | 591,612 | ||||||
| 16,500 | Philip Morris International, Inc. | 1,101,705 | ||||||
| 2,937 | Procter & Gamble Company | 186,705 | ||||||
| 4,500 | Walgreen Company | 191,070 | ||||||
| 19,400 | Wal-Mart Stores, Inc. | 1,030,916 | ||||||
|
| |||||||
| Total Consumer Staples | 5,267,857 | |||||||
|
| |||||||
| Energy (5.4%) | ||||||||
| 10,400 | Chevron Corporation | 1,069,536 | ||||||
| 4,600 | CNOOC, Ltd. ADRc | 1,085,278 | ||||||
| 8,700 | ConocoPhillips | 654,153 | ||||||
| 4,500 | Core Laboratories NVc | 501,930 | ||||||
| 3,200 | Energen Corporation | 180,800 | ||||||
| 4,000 | Eni SPA ADRc | 190,200 | ||||||
| 11,000 | Kayne Anderson MLP Investment Company | 332,750 | ||||||
| 10,800 | Marathon Oil Corporation | 568,944 | ||||||
| 3,400 | Murphy Oil Corporation | 223,244 | ||||||
| 3,000 | Occidental Petroleum Corporation | 312,120 | ||||||
| 24,800 | StatoilHydro ASA Sponsor ADRc | 631,160 | ||||||
| 2,900 | Transocean, Ltd. | 187,224 | ||||||
| 15,400 | W&T Offshore, Inc.c | 402,248 | ||||||
|
| |||||||
| Total Energy | 6,339,587 | |||||||
|
| |||||||
| Financials (7.1%) | ||||||||
| 15,000 | Aflac, Inc.e | 700,200 | ||||||
| 8,500 | Allstate Corporation | 259,505 | ||||||
| 5,100 | Ameriprise Financial, Inc. | 294,168 | ||||||
| 62,689 | Annaly Capital Management, Inc.e | 1,130,910 | ||||||
| 79,500 | Anworth Mortgage Asset Corporation | 597,045 | ||||||
| 40,000 | Ares Capital Corporation | 642,800 | ||||||
| 5,900 | Axis Capital Holdings, Ltd. | 182,664 | ||||||
| 1,400 | Goldman Sachs Group, Inc. | 186,326 | ||||||
| 28,650 | Invesco Mortgage Capital, Inc. | 605,374 | ||||||
| 11,446 | Manulife Financial Corporation | 202,693 | ||||||
| 44,400 | MFA Financial, Inc. | 356,976 | ||||||
| 11,100 | Morgan Stanley | 255,411 | ||||||
| 23,000 | Solar Capital, Ltd. | 567,870 | ||||||
| 4,700 | Travelers Companies, Inc. | 274,386 | ||||||
| 57,050 | Two Harbors Investment Corporation | 613,288 | ||||||
| 12,300 | U.S. Bancorp | 313,773 | ||||||
| 9,300 | Validus Holdings, Ltd. | 287,835 | ||||||
| 22,700 | Wells Fargo & Company | 636,962 | ||||||
| 18,000 | Western Asset Emerging Markets Debt Fund, Inc. | 343,620 | ||||||
|
| |||||||
| Total Financials | 8,451,806 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Common Stock (36.9%) | Value | ||||||
| Health Care (3.2%) | ||||||||
| 11,700 | Abbott Laboratoriese | $ | 615,654 | |||||
| 15,200 | AstraZeneca plc ADR | 761,064 | ||||||
| 4,600 | Gilead Sciences, Inc.h | 190,486 | ||||||
| 9,800 | Johnson & Johnson | 651,896 | ||||||
| 20,000 | Medtronic, Inc. | 770,600 | ||||||
| 28,253 | Pfizer, Inc. | 582,012 | ||||||
| 3,900 | UnitedHealth Group, Inc. | 201,162 | ||||||
|
| |||||||
| Total Health Care | 3,772,874 | |||||||
|
| |||||||
| Industrials (3.9%) | ||||||||
| 4,200 | 3M Company | 398,370 | ||||||
| 7,300 | ABB, Ltd. ADRh | 189,435 | ||||||
| 49,950 | Alerian MLP ETFc | 801,198 | ||||||
| 4,000 | Caterpillar, Inc. | 425,840 | ||||||
| 2,400 | Dun & Bradstreet Corporation | 181,296 | ||||||
| 8,000 | Emerson Electric Company | 450,000 | ||||||
| 3,400 | Honeywell International, Inc. | 202,606 | ||||||
| 9,600 | Joy Global, Inc. | 914,304 | ||||||
| 5,000 | KBR, Inc. | 188,450 | ||||||
| 12,500 | Nordson Corporation | 685,625 | ||||||
| 16,200 | Southwest Airlines Company | 185,004 | ||||||
|
| |||||||
| Total Industrials | 4,622,128 | |||||||
|
| |||||||
| Information Technology (4.1%) | ||||||||
| 19,100 | Accenture plc | 1,154,022 | ||||||
| 600 | Apple, Inc.h | 201,402 | ||||||
| 8,900 | BMC Software, Inc.h | 486,830 | ||||||
| 12,200 | Cisco Systems, Inc. | 190,442 | ||||||
| 1,700 | F5 Networks, Inc.h | 187,425 | ||||||
| 8,600 | Intel Corporation | 190,576 | ||||||
| 4,000 | International Business Machines Corporation | 686,200 | ||||||
| 5,900 | Linear Technology Corporation | 194,818 | ||||||
| 1,900 | MasterCard, Inc. | 572,546 | ||||||
| 21,400 | Micron Technology, Inc.h | 160,072 | ||||||
| 26,000 | Microsoft Corporation | 676,000 | ||||||
| 12,700 | Teradyne, Inc.h | 187,960 | ||||||
|
| |||||||
| Total Information Technology | 4,888,293 | |||||||
|
| |||||||
| Materials (1.7%) | ||||||||
| 2,200 | BASF SE ADR | 215,732 | ||||||
| 9,000 | E.I. du Pont de Nemours and Company | 486,450 | ||||||
| 4,600 | LyondellBasell Industries NV | 177,192 | ||||||
| 6,100 | Mesabi Trustc | 204,228 | ||||||
| 5,300 | Southern Copper Corporation | 174,211 | ||||||
| 24,100 | Vale SA SP ADR | 769,995 | ||||||
|
| |||||||
| Total Materials | 2,027,808 | |||||||
|
| |||||||
| Telecommunications Services (2.2%) | ||||||||
| 28,800 | AT&T, Inc.e | 904,608 | ||||||
| 8,600 | China Unicom (Hong Kong), Ltd. ADRc | 174,322 | ||||||
| 8,000 | Nippon Telegraph & Telephone Corporation ADR | 193,440 | ||||||
| 20,235 | Telecomunicacoes de Sao Paulo SA ADRc | 600,979 | ||||||
| 18,700 | Verizon Communications, Inc. | 696,201 | ||||||
|
| |||||||
| Total Telecommunications Services | 2,569,550 | |||||||
|
| |||||||
| Utilities (1.4%) | ||||||||
| 15,900 | Enersis SA ADR | 367,290 | ||||||
| 3,900 | National Grid plc ADR | 192,777 | ||||||
| 53,900 | Questar Corporation | 954,569 | ||||||
| 4,900 | Southern Company | 197,862 | ||||||
|
| |||||||
| Total Utilities | 1,712,498 | |||||||
|
| |||||||
Total Common Stock (cost $42,001,695) | 43,689,320 | |||||||
|
| |||||||
Preferred Stock (1.7%) | ||||||||
| Energy (0.2%) | ||||||||
| 4,000 | Apache Corporation, Convertible, 6.000% | 263,680 | ||||||
|
| |||||||
| Total Energy | 263,680 | |||||||
|
| |||||||
| Financials (1.5%) | ||||||||
| 565 | Ally Financial, Inc., 7.000%b,f | 530,994 | ||||||
| 3,360 | AMG Capital Trust I, Convertible, 5.100% | 158,340 | ||||||
| 12,800 | Citigroup Capital XII, 8.500% | 330,496 | ||||||
| 1,800 | Citigroup, Inc., Convertible, 7.500% | 216,270 | ||||||
| 500 | SG Preferred Capital II, LLC, 6.302%b,f | 486,406 | ||||||
|
| |||||||
| Total Financials | 1,722,506 | |||||||
|
| |||||||
Total Preferred Stock (cost $1,847,576) | 1,986,186 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.8%) | ||||||||
| 7,988,325 | Thrivent Financial Securities Lending Trust | 7,988,325 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $7,988,325) | 7,988,325 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (5.4%)i | |||||||
| Alliancebernstein LP | ||||||||
| 2,000,000 | 0.130%, 7/1/2011 | 2,000,000 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 1,450,000 | 0.157%, 8/29/2011j | 1,449,631 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 3,000,000 | 0.010%, 7/8/2011 | 2,999,994 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 6,449,625 | |||||||
|
| |||||||
| Total Investments (cost $120,504,872) 104.0% | $ | 123,043,157 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.0%) | (4,758,923 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 118,284,234 | ||||||
|
| |||||||
| 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 June 30, 2011. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| 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 June 30, 2011, the value of these investments was $15,197,333 or 12.8% of total net assets. |
| c | All or a portion of the security is on loan. |
| 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 Diversified Income Plus Portfolio owned as of June 30, 2011. |
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 | ||||||
| e | All or a portion of the security was earmarked to cover written options. |
| f | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| g | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of Kubota Corporation. |
| h | Non-income producing security. |
| i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| j | At June 30, 2011, $1,199,694 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 5,816,360 | ||
Gross unrealized depreciation | (3,526,781 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 2,289,579 | ||
Cost for federal income tax purposes | $ | 120,753,578 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
273
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Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Diversified Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,032,403 | — | 3,032,403 | — | ||||||||||||
Basic Materials | 3,845,307 | — | 3,845,307 | — | ||||||||||||
Capital Goods | 1,611,663 | — | 1,611,663 | — | ||||||||||||
Collateralized Mortgage Obligations | 8,793,562 | — | 8,793,562 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 2,910,647 | — | 2,910,647 | — | ||||||||||||
Communications Services | 6,659,653 | — | 6,659,653 | — | ||||||||||||
Consumer Cyclical | 4,982,655 | — | 4,982,655 | — | ||||||||||||
Consumer Non-Cyclical | 3,945,006 | — | 3,945,006 | — | ||||||||||||
Energy | 5,287,270 | — | 5,287,270 | — | ||||||||||||
Financials | 16,064,903 | — | 15,745,542 | 319,361 | ||||||||||||
Foreign Government | 213,900 | — | 213,900 | — | ||||||||||||
Technology | 1,628,215 | — | 1,628,215 | — | ||||||||||||
Transportation | 1,252,547 | — | 1,252,547 | — | ||||||||||||
Utilities | 2,701,970 | — | 2,701,970 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 4,036,919 | 4,036,919 | — | — | ||||||||||||
Consumer Staples | 5,267,857 | 5,267,857 | — | — | ||||||||||||
Energy | 6,339,587 | 6,339,587 | — | — | ||||||||||||
Financials | 8,451,806 | 8,249,113 | 202,693 | — | ||||||||||||
Health Care | 3,772,874 | 3,772,874 | — | — | ||||||||||||
Industrials | 4,622,128 | 4,622,128 | — | — | ||||||||||||
Information Technology | 4,888,293 | 4,888,293 | — | — | ||||||||||||
Materials | 2,027,808 | 2,027,808 | — | — | ||||||||||||
Telecommunications Services | 2,569,550 | 2,569,550 | — | — | ||||||||||||
Utilities | 1,712,498 | 1,712,498 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Energy | 263,680 | 263,680 | — | — | ||||||||||||
Financials | 1,722,506 | 546,766 | 1,175,740 | — | ||||||||||||
Collateral Held for Securities Loaned | 7,988,325 | 7,988,325 | — | — | ||||||||||||
Short-Term Investments | 6,449,625 | — | 6,449,625 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 123,043,157 | $ | 52,285,398 | $ | 70,438,398 | $ | 319,361 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 181,375 | 181,375 | — | — | ||||||||||||
Call Options Written | 250 | 250 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 181,625 | $ | 181,625 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 169,391 | 169,391 | — | — | ||||||||||||
Call Options Written | 4,438 | 4,438 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 173,829 | $ | 173,829 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
274
Table of Contents
Diversified Income plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income |
| |||||||||||||||||||||||||||||||
Financials | — | — | (30,542 | ) | 349,903 | — | — | 319,361 | ||||||||||||||||||||||||
Transportation | 432,459 | 17,415 | (13,586 | ) | — | (241,566 | ) | — | (194,722 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 432,459 | $ | 17,415 | ($ | 44,128 | ) | $ | 349,903 | ($ | 241,566 | ) | $ | — | ($ | 194,722 | ) | $ | 319,361 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of ($30,542). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | 26 | September 2011 | $ | 3,093,064 | $ | 3,099,078 | $ | 6,014 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (5 | ) | September 2011 | (608,852 | ) | (611,641 | ) | (2,789 | ) | |||||||||||
S&P 500 Index Futures | (13 | ) | September 2011 | (4,108,772 | ) | (4,275,374 | ) | (166,602 | ) | |||||||||||
S&P 500 Index Mini-Futures | 105 | September 2011 | 6,731,014 | 6,906,375 | 175,361 | |||||||||||||||
Total Futures Contracts | $ | 11,984 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 25 | $ | 1,345.00 | August 2011 | ($ | 16,875 | ) | $ | 250 | |||||||||||
S&P 500 Mini-Futures Call Option | 25 | 1,325.00 | July 2011 | (11,250 | ) | (4,438 | ) | |||||||||||||
Total Call Options Written | ($ | 28,125 | ) | ($ | 4,188 | ) | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
275
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Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 6,014 | |||
Total Interest Rate Contracts | 6,014 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 175,361 | ||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 250 | ||||
Total Equity Contracts | 175,611 | |||||
|
| |||||
Total Asset Derivatives | $ | 181,625 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 4,438 | ||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 166,602 | ||||
Total Equity Contracts | 171,040 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,789 | ||||
Total Interest Rate Contracts | 2,789 | |||||
|
| |||||
Total Liability Derivatives | $ | 173,829 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | (3,862 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (52,440 | ) | |||
Total Equity Contracts | (56,302 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 38,090 | ||||
Total Interest Rate Contracts | 38,090 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (348,663 | ) | |||
Total Credit Contracts | (348,663 | ) | ||||
|
| |||||
Total | ($366,875 | ) | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
276
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | (5,051 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (67,529 | ) | |||
Total Equity Contracts | (72,580 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 32,523 | ||||
Total Interest Rate Contracts | 32,523 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 306,020 | ||||
Total Credit Contracts | 306,020 | |||||
|
| |||||
Total | $ | 265,963 | ||||
|
| |||||
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | $ | 10,027,463 | 8.8 | % | N/A | N/A | 13 | |||||||||||||
Interest Rate | ||||||||||||||||||||
Contracts | 3,714,427 | 3.3 | N/A | N/A | N/A | |||||||||||||||
Credit Contracts | N/A | N/A | $ | 6,553,960 | 5.8 | % | 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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial | $ | 5,464,100 | $ | 29,449,366 | $ | 26,925,141 | 7,988,325 | $ | 7,988,325 | $ | 15,426 | |||||||||||||
Total Value and Income Earned | 5,464,100 | 7,988,325 | 15,426 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
277
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.2%) | Value | ||||||
| Asset-Backed Securities (0.8%) | ||||||||
| Americredit Automobile Receivables Trust | ||||||||
| $26,670 | 5.190%, 1/6/2015a | $ | 27,164 | |||||
| Citi Financial Auto Issuance Trust Class A2 | ||||||||
| 12,892 | 1.830%, 11/15/2012b | 12,907 | ||||||
| CPS Auto Trust | ||||||||
| 27,016 | 6.480%, 7/15/2013b,c | 27,775 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 67,846 | |||||||
|
| |||||||
| Basic Materials (0.8%) | ||||||||
| Yara International ASA | ||||||||
| 50,000 | 7.875%, 6/11/2019b | 61,119 | ||||||
|
| |||||||
| Total Basic Materials | 61,119 | |||||||
|
| |||||||
| Capital Goods (1.6%) | ||||||||
| BE Aerospace, Inc. | ||||||||
| 60,000 | 6.875%, 10/1/2020 | 62,850 | ||||||
| Masco Corporation | ||||||||
| 60,000 | 5.875%, 7/15/2012 | 62,062 | ||||||
|
| |||||||
| Total Capital Goods | 124,912 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (2.2%) | ||||||||
| Countrywide Alternative Loan Trust | ||||||||
| 45,335 | 4.968%, 7/25/2035 | 46,006 | ||||||
| Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 44,514 | 2.750%, 12/25/2033 | 12,381 | ||||||
| First Union National Bank | ||||||||
| 54,927 | 6.223%, 12/12/2033 | 55,157 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 40,260 | 5.500%, 10/25/2033 | 41,068 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 12,832 | 5.277%, 7/25/2035 | 12,445 | ||||||
| Merrill Lynch Mortgage Investors Trust | ||||||||
| 8,419 | 2.656%, 12/25/2035 | 8,292 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 175,349 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (6.6%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 57,063 | 6.186%, 6/11/2035 | 57,817 | ||||||
| 31,314 | 4.161%, 12/10/2042 | 31,366 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 100,000 | 5.250%, 4/18/2016 | 115,174 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 60,000 | 6.162%, 5/12/2034 | 61,166 | ||||||
| 7,607 | 6.429%, 4/15/2035 | 7,600 | ||||||
| 26,974 | 5.857%, 10/12/2035 | 27,016 | ||||||
| 46,207 | 6.465%, 11/15/2035 | 46,525 | ||||||
| Morgan Stanley Dean Witter Capital I | ||||||||
| 150,000 | 6.550%, 7/15/2033 | 151,885 | ||||||
| PNC Mortgage Securities Corporation | ||||||||
| 1,502 | 6.360%, 3/12/2034 | 1,507 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 32,913 | 5.230%, 7/15/2041 | 33,139 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 533,195 | |||||||
|
| |||||||
| Communications Services (4.3%) | ||||||||
| American Tower Corporation | ||||||||
| 80,000 | 4.500%, 1/15/2018 | 79,963 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 80,000 | 4.883%, 8/15/2020b | 80,442 | ||||||
| DISH DBS Corporation | ||||||||
| 50,000 | 6.375%, 10/1/2011 | 50,437 | ||||||
| SBA Tower Trust | ||||||||
| 60,000 | 4.254%, 4/15/2015b | 63,122 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 70,000 | 5.134%, 4/27/2020 | 69,389 | ||||||
|
| |||||||
| Total Communications Services | 343,353 | |||||||
|
| |||||||
| Consumer Cyclical (8.4%) | ||||||||
| CVS Corporation | ||||||||
| 60,000 | 6.125%, 8/15/2016 | 68,784 | ||||||
| CVS Pass-Through Trust | ||||||||
| 48,715 | 7.507%, 1/10/2032b | 57,720 | ||||||
| GameStop Corporation | ||||||||
| 29,000 | 8.000%, 10/1/2012 | 29,435 | ||||||
| Gap, Inc. | ||||||||
| 60,000 | 5.950%, 4/12/2021 | 57,642 | ||||||
| Jones Group, Inc. | ||||||||
| 30,000 | 6.875%, 3/15/2019 | 28,950 | ||||||
| Massachusetts Institute of Technology | ||||||||
| 50,000 | 5.600%, 7/1/2111 | 51,090 | ||||||
| McGuire Air Force Base/Fort Dix Privatized Military Housing Project | ||||||||
| 50,000 | 5.611%, 9/15/2051b | 43,758 | ||||||
| Ohana Military Communities, LLC | ||||||||
| 60,000 | 5.880%, 10/1/2051b | 55,111 | ||||||
| 80,000 | 5.462%, 10/1/2026b | 83,158 | ||||||
| Spencer Spirit Holdings, Inc. | ||||||||
| 50,000 | 11.000%, 5/1/2017b | 51,250 | ||||||
| Time Warner, Inc. | ||||||||
| 50,000 | 6.250%, 3/29/2041 | 51,939 | ||||||
| Volkswagen International Finance NV | ||||||||
| 100,000 | 0.917%, 4/1/2014a,b | 100,340 | ||||||
|
| |||||||
| Total Consumer Cyclical | 679,177 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.5%) | ||||||||
| Corn Products International, Inc. | ||||||||
| 100,000 | 4.625%, 11/1/2020 | 100,876 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
278
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.2%) | Value | ||||||
| Consumer Non-Cyclical (2.5%) - continued | ||||||||
| Express Scripts, Inc. | ||||||||
| $60,000 | 3.125%, 5/15/2016 | $ | 60,370 | |||||
| St. Jude Medical, Inc. | ||||||||
| 40,000 | 2.500%, 1/15/2016 | 40,054 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 201,300 | |||||||
|
| |||||||
| Energy (4.1%) | ||||||||
| Enterprise Products Operating, LLC | ||||||||
| 75,000 | 7.034%, 1/15/2068 | 78,844 | ||||||
| Great River Energy | ||||||||
| 48,685 | 5.829%, 7/1/2017b | 53,978 | ||||||
| OPTI Canada, Inc. | ||||||||
| 85,000 | 9.750%, 8/15/2013b | 84,362 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 110,000 | 5.875%, 7/15/2016 | 116,141 | ||||||
|
| |||||||
| Total Energy | 333,325 | |||||||
|
| |||||||
| Financials (21.5%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 60,000 | 0.623%, 11/3/2014a,b | 59,706 | ||||||
| Agfirst Farm Credit Bank | ||||||||
| 120,000 | 6.585%, 6/15/2049b,d | 101,547 | ||||||
| Ally Financial, Inc. | ||||||||
| 25,000 | 4.500%, 2/11/2014 | 25,000 | ||||||
| American Express Bank FSB | ||||||||
| 60,000 | 0.340%, 6/12/2012a | 59,866 | ||||||
| Australia and New Zealand Banking Group, Ltd. | ||||||||
| 50,000 | 0.574%, 10/21/2011a,b | 50,043 | ||||||
| Bank of America Corporation | ||||||||
| 100,000 | 8.000%, 12/29/2049d | 104,431 | ||||||
| Bank of Montreal | ||||||||
| 70,000 | 2.625%, 1/25/2016b | 71,232 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 60,000 | 2.750%, 1/27/2016b | 61,389 | ||||||
| Credit Suisse USA, Inc. | ||||||||
| 50,000 | 0.461%, 8/16/2011a | 49,890 | ||||||
| Discover Bank | ||||||||
| 60,000 | 8.700%, 11/18/2019 | 72,382 | ||||||
| DnB NOR Boligkreditt | ||||||||
| 70,000 | 2.100%, 10/14/2015b | 69,180 | ||||||
| Fifth Third Bank | ||||||||
| 60,000 | 0.371%, 5/17/2013a | 59,062 | ||||||
| General Motors Acceptance Corporation, LLC | ||||||||
| 60,000 | 6.875%, 9/15/2011 | 60,450 | ||||||
| Glitnir Banki HF | ||||||||
| 50,000 | 3.226%, 9/22/2011e,f | 13,875 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 50,000 | 5.125%, 1/15/2015 | 53,655 | ||||||
| HCP, Inc. | ||||||||
| 60,000 | 5.950%, 9/15/2011 | 60,583 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 40,000 | 7.900%, 4/29/2049d | 42,964 | ||||||
| National Australia Bank, Ltd. | ||||||||
| 60,000 | 1.010%, 4/11/2014a,b | 59,935 | ||||||
| Nationwide Health Properties, Inc. | ||||||||
| 60,000 | 6.900%, 10/1/2037 | 61,002 | ||||||
| Private Export Funding Corporation | ||||||||
| 75,000 | 3.050%, 10/15/2014 | 79,525 | ||||||
| Prudential Holdings, LLC | ||||||||
| 60,000 | 1.122%, 12/18/2017a,e | 55,788 | ||||||
| SSIF Nevada, LP | ||||||||
| 30,000 | 0.981%, 4/14/2014a,b | 30,000 | ||||||
| Stadshypotek AB | ||||||||
| 60,000 | 0.796%, 9/30/2013a,b | 59,940 | ||||||
| State Street Bank and Trust Company | ||||||||
| 70,000 | 0.447%, 9/15/2011a | 70,052 | ||||||
| SunTrust Bank | ||||||||
| 25,000 | 0.548%, 8/24/2015a | 23,636 | ||||||
| TD Ameritrade Holding Corporation | ||||||||
| 70,000 | 4.150%, 12/1/2014 | 74,120 | ||||||
| U.S. Bank National Association | ||||||||
| 60,000 | 3.778%, 4/29/2020 | 62,119 | ||||||
| US AgBank FCB | ||||||||
| 50,000 | 6.110%, 4/10/2049d,e | 33,299 | ||||||
| Wachovia Capital Trust III | ||||||||
| 120,000 | 5.570%, 3/15/2042a,d | 109,800 | ||||||
|
| |||||||
| Total Financials | 1,734,471 | |||||||
|
| |||||||
| Technology (3.5%) | |||||||
| Amphenol Corporation | ||||||||
| 50,000 | 4.750%, 11/15/2014 | 54,477 | ||||||
| Dun & Bradstreet Corporation | ||||||||
| 60,000 | 2.875%, 11/15/2015 | 60,016 | ||||||
| Hewlett-Packard Company | ||||||||
| 50,000 | 0.654%, 5/30/2014a | 50,231 | ||||||
| Symantec Corporation | ||||||||
| 60,000 | 2.750%, 9/15/2015 | 59,440 | ||||||
| Xerox Corporation | ||||||||
| 60,000 | 4.500%, 5/15/2021 | 59,348 | ||||||
|
| |||||||
| Total Technology | 283,512 | |||||||
|
| |||||||
| Transportation (4.1%) | ||||||||
| APL, Ltd. | ||||||||
| 50,000 | 8.000%, 1/15/2024g | 32,874 | ||||||
| Asciano Finance, Ltd. | ||||||||
| 60,000 | 5.000%, 4/7/2018b | 61,478 | ||||||
| Ryder System, Inc. | ||||||||
| 60,000 | 3.500%, 6/1/2017 | 60,518 | ||||||
| Skyway Concession Company, LLC | ||||||||
| 50,000 | 0.526%, 6/30/2017a,e | 35,503 | ||||||
| Toll Road Investors Partnership II, LP | ||||||||
| 800,000 | Zero Coupon, 2/15/2043e | 113,736 | ||||||
| 150,089 | Zero Coupon, 2/15/2045e | 22,585 | ||||||
|
| |||||||
| Total Transportation | 326,694 | |||||||
|
| |||||||
| U.S. Government and Agencies (29.3%) | ||||||||
| Federal Home Loan Banks | ||||||||
| 60,000 | 5.000%, 11/17/2017 | 68,923 | ||||||
| Federal National Mortgage Association | ||||||||
| 100,000 | 1.250%, 6/22/2012 | 100,897 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
279
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.2%) | Value | ||||||
| U.S. Government and Agencies (29.3%) - continued | ||||||||
| U.S. Department of Housing & Urban Development | ||||||||
| $1,000,000 | 3.440%, 8/1/2011 | $ | 1,000,000 | |||||
| U.S. Treasury Bonds | ||||||||
| 47,000 | 4.250%, 11/15/2040 | 45,942 | ||||||
| 420,000 | 4.750%, 2/15/2041 | 446,447 | ||||||
| 265,000 | 4.375%, 5/15/2041 | 264,587 | ||||||
| U.S. Treasury Notes | ||||||||
| 91,000 | 1.750%, 5/31/2016 | 91,142 | ||||||
| 343,000 | 3.125%, 5/15/2021 | 342,036 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 2,359,974 | |||||||
|
| |||||||
| U.S. Municipals (0.5%) | ||||||||
| Oakland, California Redevelopment Agency Tax Allocation Bonds (Central District Redevelopment) (NATL-RE Insured) | ||||||||
| 40,000 | 5.252%, 9/1/2016h | 40,046 | ||||||
|
| |||||||
| Total U.S. Municipals | 40,046 | |||||||
|
| |||||||
| Utilities (1.0%) | ||||||||
| Kinder Morgan Finance Company, LLC | ||||||||
| 80,000 | 6.000%, 1/15/2018b | 83,000 | ||||||
|
| |||||||
| Total Utilities | 83,000 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $7,229,221) | 7,347,273 | |||||||
|
| |||||||
Short-Term Investments (1.2%)i | ||||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 100,000 | 0.160%, 8/29/2011j | 99,975 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 99,975 | |||||||
|
| |||||||
| Total Investments (cost $7,329,196) 92.4% | $ | 7,447,248 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 7.6% | 613,075 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 8,060,323 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $1,482,492 or 18.4% of total net assets. |
| c | All or a portion of the security is insured or guaranteed. |
| 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 June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Glitnir Banki HF | 5/1/2008 | $ | 50,000 | |||||
Prudential Holdings, LLC | 2/9/2011 | $ | 55,308 | |||||
Skyway Concession Company, LLC | 6/9/2008 | $ | 43,303 | |||||
Toll Road Investors Partnership II, LP | 6/29/2009 | $ | 10,507 | |||||
Toll Road Investors Partnership II, LP | 5/14/2008 | $ | 109,144 | |||||
US AgBank FCB | 7/13/2009 | $ | 18,253 | |||||
| f | In bankruptcy. Interest is not being accrued. |
| g | Security is fair valued. |
| 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 the discount rate at the date of purchase. |
| j | At June 30, 2011, $99,975 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 | $ | 212,831 | ||
Gross unrealized depreciation | (98,820 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 114,011 | ||
Cost for federal income tax purposes | $ | 7,333,237 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
280
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Partner Socially Responsible Bond Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 67,846 | — | 67,846 | — | ||||||||||||
Basic Materials | 61,119 | — | 61,119 | — | ||||||||||||
Capital Goods | 124,912 | — | 124,912 | — | ||||||||||||
Collateralized Mortgage Obligations | 175,349 | — | 175,349 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 533,195 | — | 533,195 | — | ||||||||||||
Communications Services | 343,353 | — | 343,353 | — | ||||||||||||
Consumer Cyclical | 679,177 | — | 679,177 | — | ||||||||||||
Consumer Non-Cyclical | 201,300 | — | 201,300 | — | ||||||||||||
Energy | 333,325 | — | 333,325 | — | ||||||||||||
Financials | 1,734,471 | — | 1,734,471 | — | ||||||||||||
Technology | 283,512 | — | 283,512 | — | ||||||||||||
Transportation | 326,694 | — | 293,820 | 32,874 | ||||||||||||
U.S. Government and Agencies | 2,359,974 | — | 2,359,974 | — | ||||||||||||
U.S. Municipals | 40,046 | — | 40,046 | — | ||||||||||||
Utilities | 83,000 | — | 83,000 | — | ||||||||||||
Short-Term Investments | 99,975 | — | 99,975 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,447,248 | $ | — | $ | 7,414,374 | $ | 32,874 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 2,247 | 2,247 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 2,247 | $ | 2,247 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 8,054 | 8,054 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 8,054 | $ | 8,054 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation / (Depreciation) * | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | 33,085 | — | (211 | ) | — | — | — | — | 32,874 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 33,085 | $ | — | ($ | 211 | ) | $ | — | $ | — | $ | — | $ | — | $ | 32,874 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of ($211). |
Futures Contracts | Number of Contracts Long/ (Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (18 | ) | September 2011 | ($ | 3,941,056 | ) | ($ | 3,948,187 | ) | ($ | 7,131 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | (3 | ) | September 2011 | (359,833 | ) | (357,586 | ) | 2,247 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | 1 | September 2011 | 123,251 | 122,328 | (923 | ) | ||||||||||||||
Total Futures Contracts | ($ | 5,807 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
281
Table of Contents
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | $ | 2,247 | |||
Total Interest Rate Contracts | 2,247 | |||||
|
| |||||
Total Asset Derivatives | $ | 2,247 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 8,054 | ||||
Total Interest Rate Contracts | 8,054 | |||||
|
| |||||
Total Liability Derivatives | $ | 8,054 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | (20,643 | ) | |||
Total Interest Rate Contracts | (20,643 | ) | ||||
|
| |||||
Total | ($ | 20,643 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | 13,051 | ||||
Total Interest Rate Contracts | 13,051 | |||||
|
| |||||
Total | $ | 13,051 | ||||
|
| |||||
The following table presents Partner Socially Responsible Bond Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Interest Rate Contracts (Long Position) | $ | 546,292 | 6.8 | |||||
Interest Rate Contracts (Short Position) | $ | 3,826,338 | 47.8 | |||||
| * | 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.
282
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Bank Loans (1.3%)a | Value | ||||||
| Capital Goods (0.1%) | ||||||||
| Transdigm Group, Inc., Term Loan | ||||||||
| $ | 626,850 | 4.000%, 2/14/2017 | $ | 627,872 | ||||
|
| |||||||
| Total Capital Goods | 627,872 | |||||||
|
| |||||||
| Communications Services (0.3%) | ||||||||
| Atlantic Broadband Finance, LLC, Term Loan | ||||||||
| 1,434,038 | 4.000%, 3/8/2016 | 1,434,339 | ||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 34,551 | 7.250%, 3/6/2014 | 34,617 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,890,000 | 5.250%, 4/2/2018 | 1,893,931 | ||||||
| Lamar Media Corporation, Term Loan | ||||||||
| 876,037 | 4.000%, 12/31/2016 | 878,595 | ||||||
|
| |||||||
| Total Communications Services | 4,241,482 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | ||||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 2,560,000 | 6.000%, 5/24/2017 | 2,499,993 | ||||||
| Universal City Development Partners, Ltd., Term Loan | ||||||||
| 1,115,288 | 5.500%, 11/6/2014 | 1,115,634 | ||||||
|
| |||||||
| Total Consumer Cyclical | 3,615,627 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.1%) | ||||||||
| Dole Food Company, Term Loan | ||||||||
| 605,026 | 5.050%, 3/3/2017 | 604,772 | ||||||
| Michael Foods, Inc., Term Loan | ||||||||
| 1,396,500 | 4.250%, 2/25/2018 | 1,395,257 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 2,000,029 | |||||||
|
| |||||||
| Energy (0.1%) | ||||||||
| MEG Energy Corporation, Term Loan | ||||||||
| 1,600,000 | 4.000%, 3/18/2018 | 1,597,824 | ||||||
|
| |||||||
| Total Energy | 1,597,824 | |||||||
|
| |||||||
| Financials (0.1%) | ||||||||
| AGFS Funding Company, Term Loan | ||||||||
| 1,625,000 | 5.500%, 4/28/2017 | 1,590,875 | ||||||
|
| |||||||
| Total Financials | 1,590,875 | |||||||
|
| |||||||
| Technology (0.1%) | ||||||||
| Freescale Semiconductor, Term Loan | ||||||||
| 1,637,072 | 4.441%, 12/1/2016 | 1,625,825 | ||||||
| Syniverse Holdings, Inc., Term Loan | ||||||||
| 318,400 | 5.250%, 12/21/2017 | 319,728 | ||||||
|
| |||||||
| Total Technology | 1,945,553 | |||||||
|
| |||||||
| Transportation (0.2%) | ||||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 2,550,000 | 5.500%, 3/29/2017 | 2,522,919 | ||||||
|
| |||||||
| Total Transportation | 2,522,919 | |||||||
|
| |||||||
Total Bank Loans (cost $18,108,291) | 18,142,181 | |||||||
|
| |||||||
Long-Term Fixed Income (94.7%) | ||||||||
| Asset-Backed Securities (1.2%) | ||||||||
| Capitalsource Commercial Loan Trust | ||||||||
| 261,047 | 0.316%, 3/20/2017b,c | 259,055 | ||||||
| Carrington Mortgage Loan Trust | ||||||||
| 2,200,000 | 0.336%, 8/25/2036c | 710,013 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 5,298,617 | 0.366%, 8/25/2035c,d | 3,461,104 | ||||||
| 6,182,664 | 0.366%, 12/25/2036c,d | 4,060,038 | ||||||
| Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 5,283,732 | 0.266%, 8/25/2036c | 4,848,569 | ||||||
| IndyMac Seconds Asset-Backed Trust | ||||||||
| 833,613 | 0.356%, 10/25/2036c,d | 165,260 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 3,038,924 | 5.746%, 5/25/2036 | 1,988,131 | ||||||
| 2,000,000 | 6.011%, 5/25/2036 | 1,108,452 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 16,600,622 | |||||||
|
| |||||||
| Basic Materials (5.5%) | ||||||||
| AbitibiBowater, Inc. | ||||||||
| 995,000 | 10.250%, 10/15/2018e | 1,077,088 | ||||||
| Alcoa, Inc. | ||||||||
| 1,270,000 | 5.550%, 2/1/2017f | 1,351,267 | ||||||
| 3,125,000 | 6.150%, 8/15/2020 | 3,310,575 | ||||||
| ArcelorMittal | ||||||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,983,975 | ||||||
| 4,350,000 | 6.125%, 6/1/2018 | 4,659,189 | ||||||
| 2,750,000 | 5.250%, 8/5/2020 | 2,719,016 | ||||||
| 1,270,000 | 6.750%, 3/1/2041 | 1,258,771 | ||||||
| Arch Coal, Inc. | ||||||||
| 2,080,000 | 7.000%, 6/15/2019e | 2,074,800 | ||||||
| Celulosa Arauco y Constitucion SA | ||||||||
| 2,520,000 | 5.000%, 1/21/2021 | 2,499,585 | ||||||
| CF Industries, Inc. | ||||||||
| 1,920,000 | 6.875%, 5/1/2018 | 2,176,800 | ||||||
| Cliffs Natural Resources, Inc. | ||||||||
| 3,200,000 | 4.875%, 4/1/2021 | 3,208,835 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 510,000 | 8.000%, 4/1/2017 | 555,900 | ||||||
| 1,560,000 | 8.250%, 4/1/2020 | 1,700,400 | ||||||
| Domtar Corporation | ||||||||
| 1,900,000 | 7.125%, 8/15/2015 | 2,123,250 | ||||||
| Dow Chemical Company | ||||||||
| 3,250,000 | 5.900%, 2/15/2015 | 3,650,780 | ||||||
| 1,870,000 | 8.550%, 5/15/2019 | 2,411,260 | ||||||
| 3,850,000 | 4.250%, 11/15/2020 | 3,757,423 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
283
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Basic Materials (5.5%) - continued | ||||||||
| FMG Resources Property, Ltd. | ||||||||
| $1,890,000 | 7.000%, 11/1/2015e | $ | 1,927,800 | |||||
| Georgia-Pacific, LLC | ||||||||
| 3,480,000 | 5.400%, 11/1/2020e | 3,546,579 | ||||||
| International Paper Company | ||||||||
| 2,500,000 | 7.500%, 8/15/2021 | 2,922,110 | ||||||
| 1,250,000 | 7.300%, 11/15/2039 | 1,359,867 | ||||||
| Lyondell Chemical Company | ||||||||
| 1,920,000 | 11.000%, 5/1/2018 | 2,150,400 | ||||||
| Nalco Company | ||||||||
| 2,000,000 | 6.625%, 1/15/2019e | 2,050,000 | ||||||
| Noble Group, Ltd. | ||||||||
| 1,250,000 | 4.875%, 8/5/2015e | 1,306,250 | ||||||
| 3,150,000 | 6.750%, 1/29/2020e | 3,307,500 | ||||||
| NOVA Chemicals Corporation | ||||||||
| 1,250,000 | 8.625%, 11/1/2019 | 1,392,188 | ||||||
| Novelis, Inc. | ||||||||
| 1,920,000 | 8.375%, 12/15/2017 | 2,049,600 | ||||||
| Rio Tinto Finance USA, Ltd. | ||||||||
| 3,285,000 | 6.500%, 7/15/2018 | 3,836,578 | ||||||
| 1,900,000 | 3.500%, 11/2/2020 | 1,818,313 | ||||||
| Teck Resources, Ltd. | ||||||||
| 1,469,000 | 10.250%, 5/15/2016 | 1,755,455 | ||||||
| 1,250,000 | 4.500%, 1/15/2021 | 1,260,000 | ||||||
| 2,115,000 | 4.750%, 1/15/2022 | 2,126,506 | ||||||
| Vale Overseas, Ltd. | ||||||||
| 3,125,000 | 6.875%, 11/10/2039 | 3,396,188 | ||||||
|
| |||||||
| Total Basic Materials | 77,724,248 | |||||||
|
| |||||||
| Capital Goods (1.6%) | ||||||||
| Bombardier, Inc. | ||||||||
| 950,000 | 7.750%, 3/15/2020e | 1,068,750 | ||||||
| Case New Holland, Inc. | ||||||||
| 1,250,000 | 7.750%, 9/1/2013 | 1,353,125 | ||||||
| 1,550,000 | 7.875%, 12/1/2017e | 1,705,000 | ||||||
| Cemex SAB de CV | ||||||||
| 1,270,000 | 5.246%, 9/30/2015c,e | 1,225,550 | ||||||
| 1,710,000 | 9.000%, 1/11/2018e | 1,739,925 | ||||||
| CRH America, Inc. | ||||||||
| 1,750,000 | 4.125%, 1/15/2016 | 1,790,451 | ||||||
| 1,900,000 | 8.125%, 7/15/2018 | 2,253,259 | ||||||
| John Deere Capital Corporation | ||||||||
| 3,300,000 | 5.350%, 4/3/2018 | 3,691,357 | ||||||
| Republic Services, Inc. | ||||||||
| 630,000 | 5.500%, 9/15/2019 | 686,776 | ||||||
| 1,600,000 | 5.000%, 3/1/2020 | 1,691,023 | ||||||
| 2,200,000 | 5.250%, 11/15/2021 | 2,324,458 | ||||||
| Textron, Inc. | ||||||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,773,898 | ||||||
| Waste Management, Inc. | ||||||||
| 1,050,000 | 4.750%, 6/30/2020 | 1,089,730 | ||||||
|
| |||||||
| Total Capital Goods | 23,393,302 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.7%) | ||||||||
| Banc of America Mortgage Securities, Inc. | ||||||||
| 5,393,383 | 3.199%, 9/25/2035 | 4,419,608 | ||||||
| Bear Stearns Mortgage Funding Trust | ||||||||
| 1,063,931 | 0.466%, 8/25/2036c | 315,922 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 3,348,136 | 5.750%, 4/25/2037 | 2,444,206 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 4,532,108 | 6.000%, 1/25/2037 | 3,183,063 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 3,201,927 | 1.050%, 4/25/2047c | 2,051,369 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 2,903,036 | 2.234%, 4/25/2037 | 1,789,214 | ||||||
| Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 4,291,674 | 2.624%, 6/25/2035 | 3,667,879 | ||||||
| Wachovia Mortgage Loan Trust, LLC | ||||||||
| 3,623,776 | 2.937%, 5/20/2036 | 2,590,931 | ||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 6,362,975 | 1.028%, 2/25/2047c | 3,072,522 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates | ||||||||
| 917,470 | 0.476%, 10/25/2045c | 751,080 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 24,285,794 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (3.4%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 3,200,000 | 5.833%, 4/10/2049 | 3,029,827 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,787,100 | 0.337%, 3/15/2022b,c | 2,684,315 | ||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,696,742 | ||||||
| Citigroup Commercial Mortgage Trust | ||||||||
| 5,000,000 | 0.327%, 4/15/2022c,e | 4,762,445 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,900,000 | 5.322%, 12/11/2049 | 2,015,982 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,000,000 | 0.317%, 12/15/2020b,c | 1,841,718 | ||||||
| 4,750,000 | 0.367%, 6/15/2022b,c | 4,327,150 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 3,200,000 | 5.542%, 1/15/2049 | 3,343,011 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 5,757,833 | 0.357%, 10/15/2021c,e | 5,429,268 | ||||||
| 3,250,000 | 5.467%, 9/15/2039 | 3,504,985 | ||||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 3,200,000 | 6.375%, 9/15/2045 | 3,145,181 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 3,200,000 | 5.406%, 3/15/2044 | 3,001,696 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 7,500,000 | 0.307%, 9/15/2021b,c | 6,998,325 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
284
Table of Contents
Income portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (3.4%) - continued | ||||||||
| WaMu Commercial Mortgage Securities Trust | ||||||||
| $ | 174,538 | 3.830%, 1/25/2035e | $ | 175,682 | ||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 47,956,327 | |||||||
|
| |||||||
| Communications Services (9.0%) | ||||||||
| Alltel Corporation | ||||||||
| 3,875,000 | 7.000%, 3/15/2016 | 4,573,151 | ||||||
| America Movil SAB de CV | ||||||||
| 3,800,000 | 5.000%, 3/30/2020 | 3,964,156 | ||||||
| American Tower Corporation | ||||||||
| 2,200,000 | 4.625%, 4/1/2015 | 2,316,054 | ||||||
| 1,250,000 | 4.500%, 1/15/2018 | 1,249,419 | ||||||
| AT&T, Inc. | ||||||||
| 5,100,000 | 4.450%, 5/15/2021 | 5,190,117 | ||||||
| Cablevision Systems Corporation | ||||||||
| 2,000,000 | 8.000%, 4/15/2020 | 2,145,000 | ||||||
| CBS Corporation | ||||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,186,902 | ||||||
| 1,300,000 | 7.875%, 9/1/2023 | 1,527,945 | ||||||
| CCO Holdings, LLC | ||||||||
| 1,880,000 | 7.250%, 10/30/2017 | 1,948,150 | ||||||
| 1,280,000 | 7.000%, 1/15/2019 | 1,318,400 | ||||||
| Cellco Partnership/Verizon Wireless Capital, LLC | ||||||||
| 2,600,000 | 8.500%, 11/15/2018 | 3,376,264 | ||||||
| CenturyLink, Inc. | ||||||||
| 2,520,000 | 5.150%, 6/15/2017 | 2,524,138 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 1,880,000 | 9.250%, 12/15/2017 | 2,049,200 | ||||||
| Comcast Corporation | ||||||||
| 1,900,000 | 6.300%, 11/15/2017 | 2,202,343 | ||||||
| 2,900,000 | 5.700%, 5/15/2018 | 3,235,701 | ||||||
| 2,700,000 | 6.400%, 5/15/2038 | 2,880,940 | ||||||
| Cox Communications, Inc. | ||||||||
| 1,900,000 | 9.375%, 1/15/2019e | 2,525,281 | ||||||
| 2,500,000 | 8.375%, 3/1/2039e | 3,268,977 | ||||||
| Cricket Communications, Inc. | ||||||||
| 1,890,000 | 7.750%, 5/15/2016 | 2,003,400 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 5,050,000 | 4.174%, 8/15/2017e | 5,130,916 | ||||||
| DIRECTV Holdings, LLC/DIRECTV Financing Company, Inc. | ||||||||
| 5,075,000 | 5.000%, 3/1/2021 | 5,256,370 | ||||||
| Discovery Communications, LLC | ||||||||
| 1,920,000 | 4.375%, 6/15/2021 | 1,901,211 | ||||||
| Dish DBS Corporation | ||||||||
| 2,560,000 | 6.750%, 6/1/2021e | 2,624,000 | ||||||
| EH Holding Corporation | ||||||||
| 1,920,000 | 6.500%, 6/15/2019e | 1,953,600 | ||||||
| Embarq Corporation | ||||||||
| 2,600,000 | 7.082%, 6/1/2016 | 2,890,212 | ||||||
| Frontier Communications Corporation | ||||||||
| 1,250,000 | 7.875%, 4/15/2015 | 1,356,250 | ||||||
| 1,580,000 | 8.250%, 4/15/2017 | 1,718,250 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 1,900,000 | 7.500%, 4/1/2021e | 1,888,125 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 930,000 | 11.500%, 2/4/2017e | 999,750 | ||||||
| MetroPCS Wireless, Inc. | ||||||||
| 1,880,000 | 7.875%, 9/1/2018f | 1,990,450 | ||||||
| NBC Universal, Inc. | ||||||||
| 3,750,000 | 5.150%, 4/30/2020e | 3,959,632 | ||||||
| News America, Inc. | ||||||||
| 1,900,000 | 7.625%, 11/30/2028 | 2,258,220 | ||||||
| 2,140,000 | 6.400%, 12/15/2035 | 2,237,939 | ||||||
| NII Capital Corporation | ||||||||
| 1,900,000 | 8.875%, 12/15/2019 | 2,097,125 | ||||||
| Qwest Communications International, Inc. | ||||||||
| 3,180,000 | 7.125%, 4/1/2018 | 3,414,525 | ||||||
| Qwest Corporation | ||||||||
| 600,000 | 8.375%, 5/1/2016 | 708,000 | ||||||
| 3,200,000 | 6.500%, 6/1/2017 | 3,472,000 | ||||||
| Rogers Communications, Inc. | ||||||||
| 2,410,000 | 8.750%, 5/1/2032 | 3,133,333 | ||||||
| SBA Tower Trust | ||||||||
| 3,500,000 | 5.101%, 4/15/2017e | 3,648,750 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 3,800,000 | 5.462%, 2/16/2021 | 3,857,673 | ||||||
| Telefonica SA | ||||||||
| 1,280,000 | 5.877%, 7/15/2019 | 1,344,122 | ||||||
| Telemar Norte Leste SA | ||||||||
| 3,800,000 | 5.500%, 10/23/2020e | 3,752,500 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 2,500,000 | 8.250%, 4/1/2019 | 3,118,003 | ||||||
| 2,550,000 | 6.750%, 6/15/2039 | 2,789,481 | ||||||
| Time Warner Entertainment Company, LP | ||||||||
| 1,850,000 | 8.375%, 3/15/2023 | 2,348,664 | ||||||
| Univision Communications, Inc. | ||||||||
| 1,280,000 | 6.875%, 5/15/2019e | 1,267,200 | ||||||
| VimpelCom Holdings BV | ||||||||
| 2,560,000 | 6.255%, 3/1/2017e | 2,555,418 | ||||||
| Virgin Media Finance plc | ||||||||
| 2,520,000 | 9.500%, 8/15/2016 | 2,847,600 | ||||||
|
| |||||||
| Total Communications Services | 128,004,857 | |||||||
|
| |||||||
| Consumer Cyclical (5.2%) | ||||||||
| American Honda Finance Corporation | ||||||||
| 4,400,000 | 3.875%, 9/21/2020e | 4,322,529 | ||||||
| Chrysler Group, LLC | ||||||||
| 1,920,000 | 8.000%, 6/15/2019e,f | 1,886,400 | ||||||
| CVS Caremark Corporation | ||||||||
| 2,500,000 | 6.302%, 6/1/2037 | 2,434,375 | ||||||
| FireKeepers Development Authority | ||||||||
| 1,240,000 | 13.875%, 5/1/2015e | 1,432,200 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 2,130,000 | 8.000%, 6/1/2014 | 2,336,702 | ||||||
| 1,930,000 | 7.000%, 4/15/2015 | 2,084,707 | ||||||
| 630,000 | 6.625%, 8/15/2017 | 669,716 | ||||||
| 2,550,000 | 5.000%, 5/15/2018f | 2,541,282 | ||||||
| Goodyear Tire & Rubber Company | ||||||||
| 1,375,000 | 8.250%, 8/15/2020f | 1,485,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Consumer Cyclical (5.2%) - continued | ||||||||
| Home Depot, Inc. | ||||||||
| $ | 625,000 | 3.950%, 9/15/2020 | $ | 618,369 | ||||
| 3,900,000 | 5.875%, 12/16/2036 | 3,991,455 | ||||||
| Hyatt Hotels Corporation | ||||||||
| 3,100,000 | 5.750%, 8/15/2015e | 3,259,371 | ||||||
| Hyundai Motor Manufacturing Czech | ||||||||
| 2,525,000 | 4.500%, 4/15/2015e | 2,634,615 | ||||||
| J.C. Penney Company, Inc. | ||||||||
| 1,950,000 | 5.650%, 6/1/2020 | 1,930,500 | ||||||
| KIA Motors Corporation | ||||||||
| 3,260,000 | 3.625%, 6/14/2016e | 3,224,779 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 1,630,000 | 8.125%, 7/15/2015 | 1,933,587 | ||||||
| 1,920,000 | 7.450%, 7/15/2017 | 2,269,597 | ||||||
| MGM Resorts International | ||||||||
| 1,300,000 | 9.000%, 3/15/2020 | 1,423,500 | ||||||
| Peninsula Gaming, LLC | ||||||||
| 480,000 | 10.750%, 8/15/2017e | 524,400 | ||||||
| RCI Banque SA | ||||||||
| 2,225,000 | 4.600%, 4/12/2016e | 2,272,889 | ||||||
| Rite Aid Corporation | ||||||||
| 1,250,000 | 10.375%, 7/15/2016 | 1,328,125 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 1,850,000 | 6.750%, 5/15/2018 | 2,048,875 | ||||||
| Time Warner, Inc. | ||||||||
| 1,600,000 | 7.700%, 5/1/2032 | 1,931,762 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 2,000,000 | 6.750%, 11/1/2019 | 2,069,376 | ||||||
| Toys R Us Property Company I, LLC | ||||||||
| 1,900,000 | 10.750%, 7/15/2017 | 2,113,750 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 1,920,000 | 8.500%, 12/1/2017 | 2,006,400 | ||||||
| Universal City Development Partners, Ltd. | ||||||||
| 1,270,000 | 8.875%, 11/15/2015 | 1,412,875 | ||||||
| Volkswagen International Finance NV | ||||||||
| 3,820,000 | 2.875%, 4/1/2016e | 3,846,560 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 5,000,000 | 3.250%, 10/25/2020 | 4,756,545 | ||||||
| 3,825,000 | 5.625%, 4/15/2041 | 3,946,241 | ||||||
| West Corporation | ||||||||
| 1,580,000 | 7.875%, 1/15/2019e | 1,532,600 | ||||||
| Wyndham Worldwide Corporation | ||||||||
| 1,885,000 | 6.000%, 12/1/2016 | 2,001,830 | ||||||
| 1,270,000 | 5.625%, 3/1/2021 | 1,266,810 | ||||||
|
| |||||||
| Total Consumer Cyclical | 73,537,722 | |||||||
|
| |||||||
| Consumer Non-Cyclical (5.3%) | ||||||||
| Altria Group, Inc. | ||||||||
| 1,750,000 | 9.700%, 11/10/2018 | 2,299,712 | ||||||
| 1,595,000 | 4.750%, 5/5/2021 | 1,593,907 | ||||||
| 2,500,000 | 9.950%, 11/10/2038 | 3,512,615 | ||||||
| Amgen, Inc. | ||||||||
| 3,200,000 | 4.100%, 6/15/2021 | 3,174,752 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,900,000 | 6.875%, 11/15/2019 | 2,310,662 | ||||||
| 2,550,000 | 5.375%, 1/15/2020 | 2,809,075 | ||||||
| 2,525,000 | 5.000%, 4/15/2020 | 2,712,294 | ||||||
| Biomet, Inc. | ||||||||
| 2,525,000 | 10.000%, 10/15/2017e | 2,752,250 | ||||||
| Boston Scientific Corporation | ||||||||
| 3,800,000 | 4.500%, 1/15/2015 | 4,006,617 | ||||||
| 1,250,000 | 5.125%, 1/12/2017 | 1,321,081 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 2,220,000 | 5.100%, 7/15/2015 | 2,387,039 | ||||||
| 1,600,000 | 4.100%, 3/15/2016 | 1,666,672 | ||||||
| Celgene Corporation | ||||||||
| 2,500,000 | 3.950%, 10/15/2020 | 2,413,280 | ||||||
| Community Health Systems, Inc. | ||||||||
| 2,000,000 | 8.875%, 7/15/2015 | 2,060,000 | ||||||
| DJO Finance, LLC/DJO Finance Corporation | ||||||||
| 640,000 | 7.750%, 4/15/2018e,f | 637,600 | ||||||
| Endo Pharmaceuticals Holdings, Inc. | ||||||||
| 130,000 | 7.000%, 7/15/2019e | 133,250 | ||||||
| Energizer Holdings, Inc. | ||||||||
| 1,750,000 | 4.700%, 5/19/2021e | 1,728,430 | ||||||
| Express Scripts, Inc. | ||||||||
| 2,235,000 | 3.125%, 5/15/2016 | 2,248,772 | ||||||
| Fortune Brands, Inc. | ||||||||
| 2,500,000 | 6.375%, 6/15/2014 | 2,779,305 | ||||||
| 1,300,000 | 5.375%, 1/15/2016 | 1,408,642 | ||||||
| Hasbro, Inc. | ||||||||
| 3,250,000 | 6.350%, 3/15/2040 | 3,359,525 | ||||||
| HCA, Inc. | ||||||||
| 2,490,000 | 8.500%, 4/15/2019 | 2,751,450 | ||||||
| 1,270,000 | 7.250%, 9/15/2020 | 1,363,663 | ||||||
| Hershey Company | ||||||||
| 1,600,000 | 4.125%, 12/1/2020 | 1,637,053 | ||||||
| JBS Finance II, Ltd. | ||||||||
| 1,250,000 | 8.250%, 1/29/2018e | 1,275,000 | ||||||
| Kraft Foods, Inc. | ||||||||
| 2,600,000 | 6.125%, 2/1/2018 | 2,991,131 | ||||||
| 5,700,000 | 5.375%, 2/10/2020 | 6,231,229 | ||||||
| Mylan, Inc. | ||||||||
| 2,525,000 | 7.875%, 7/15/2020e | 2,771,188 | ||||||
| Reynolds Group Holdings, Ltd. | ||||||||
| 1,910,000 | 6.875%, 2/15/2021e | 1,862,250 | ||||||
| Sanofi-Aventis SA | ||||||||
| 3,180,000 | 4.000%, 3/29/2021 | 3,180,353 | ||||||
| Tyson Foods, Inc. | ||||||||
| 3,940,000 | 6.850%, 4/1/2016 | 4,353,700 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 75,732,497 | |||||||
|
| |||||||
| Energy (9.2%) | ||||||||
| Anadarko Petroleum Corporation | ||||||||
| 4,600,000 | 6.375%, 9/15/2017 | 5,273,136 | ||||||
| BP Capital Markets plc | ||||||||
| 3,525,000 | 4.500%, 10/1/2020 | 3,594,774 | ||||||
| 1,900,000 | 4.742%, 3/11/2021 | 1,960,044 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Energy (9.2%) - continued | ||||||||
| CenterPoint Energy Resources Corporation | ||||||||
| $ | 6,850,000 | 6.125%, 11/1/2017 | $ | 7,854,011 | ||||
| CNPC HK Overseas Capital, Ltd. | ||||||||
| 2,870,000 | 5.950%, 4/28/2041e | 2,841,271 | ||||||
| Concho Resources, Inc. | ||||||||
| 1,920,000 | 6.500%, 1/15/2022 | 1,924,800 | ||||||
| Denbury Resources, Inc. | ||||||||
| 1,469,000 | 8.250%, 2/15/2020 | 1,601,210 | ||||||
| El Paso Corporation | ||||||||
| 2,000,000 | 7.250%, 6/1/2018 | 2,246,446 | ||||||
| Enbridge Energy Partners, LP | ||||||||
| 950,000 | 5.200%, 3/15/2020 | 1,007,298 | ||||||
| 3,800,000 | 8.050%, 10/1/2037f | 4,122,787 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 5,120,000 | 6.700%, 7/1/2018 | 5,769,846 | ||||||
| Ensco plc | ||||||||
| 3,800,000 | 4.700%, 3/15/2021 | 3,838,695 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 2,600,000 | 7.034%, 1/15/2068f | 2,733,250 | ||||||
| 4,000,000 | 6.300%, 9/15/2017 | 4,587,932 | ||||||
| EQT Corporation | ||||||||
| 1,300,000 | 8.125%, 6/1/2019 | 1,590,241 | ||||||
| Key Energy Services, Inc. | ||||||||
| 2,075,000 | 6.750%, 3/1/2021 | 2,075,000 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 1,270,000 | 3.500%, 3/1/2016 | 1,307,548 | ||||||
| 1,250,000 | 5.950%, 2/15/2018 | 1,392,719 | ||||||
| 2,550,000 | 5.300%, 9/15/2020 | 2,682,597 | ||||||
| 3,100,000 | 5.800%, 3/1/2021 | 3,367,480 | ||||||
| Linn Energy, LLC | ||||||||
| 2,550,000 | 7.750%, 2/1/2021e | 2,652,000 | ||||||
| Marathon Oil Corporation | ||||||||
| 2,364,000 | 5.900%, 3/15/2018 | 2,678,930 | ||||||
| Nexen, Inc. | ||||||||
| 1,910,000 | 7.400%, 5/1/2028 | 2,187,015 | ||||||
| Noble Energy, Inc. | ||||||||
| 3,100,000 | 8.250%, 3/1/2019 | 3,963,765 | ||||||
| 1,270,000 | 6.000%, 3/1/2041 | 1,309,460 | ||||||
| Odebrecht Drilling Norbe VIII/IX, Ltd. | ||||||||
| 1,250,000 | 6.350%, 6/30/2021e | 1,318,750 | ||||||
| ONEOK Partners, LP | ||||||||
| 3,250,000 | 6.850%, 10/15/2037 | 3,617,718 | ||||||
| Petrobras International Finance Company | ||||||||
| 3,175,000 | 5.375%, 1/27/2021 | 3,260,119 | ||||||
| Petrohawk Energy Corporation | ||||||||
| 2,200,000 | 10.500%, 8/1/2014 | 2,475,000 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 2,500,000 | 6.875%, 5/1/2018 | 2,699,212 | ||||||
| Plains All American Pipeline, LP | ||||||||
| 3,150,000 | 6.500%, 5/1/2018 | 3,567,939 | ||||||
| Plains Exploration & Production Company | ||||||||
| 1,870,000 | 8.625%, 10/15/2019 | 2,038,300 | ||||||
| QEP Resources, Inc. | ||||||||
| 630,000 | 6.875%, 3/1/2021 | 664,650 | ||||||
| Rowan Companies, Inc. | ||||||||
| 4,450,000 | 5.000%, 9/1/2017 | 4,761,193 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 1,270,000 | 8.000%, 6/1/2018e | 1,295,400 | ||||||
| 950,000 | 7.500%, 3/15/2021e | 961,875 | ||||||
| SESI, LLC | ||||||||
| 480,000 | 6.375%, 5/1/2019e | 475,200 | ||||||
| Southwestern Energy Company | ||||||||
| 2,000,000 | 7.500%, 2/1/2018 | 2,275,000 | ||||||
| Spectra Energy Partners, LP | ||||||||
| 3,200,000 | 4.600%, 6/15/2021 | 3,160,179 | ||||||
| Suncor Energy, Inc. | ||||||||
| 3,210,000 | 6.100%, 6/1/2018 | 3,650,688 | ||||||
| Transocean, Inc. | ||||||||
| 2,200,000 | 4.950%, 11/15/2015 | 2,379,854 | ||||||
| 1,920,000 | 7.375%, 4/15/2018 | 2,235,683 | ||||||
| Valero Energy Corporation | ||||||||
| 3,125,000 | 6.125%, 2/1/2020f | 3,434,175 | ||||||
| Weatherford International, Inc. | ||||||||
| 2,245,000 | 6.350%, 6/15/2017 | 2,540,961 | ||||||
| Weatherford International, Ltd. | ||||||||
| 3,100,000 | 6.000%, 3/15/2018 | 3,398,124 | ||||||
| Williams Partners, LP | ||||||||
| 2,500,000 | 4.125%, 11/15/2020 | 2,399,733 | ||||||
| Woodside Finance, Ltd. | ||||||||
| 3,125,000 | 4.500%, 11/10/2014e | 3,348,150 | ||||||
|
| |||||||
| Total Energy | 130,520,158 | |||||||
|
| |||||||
| Financials (29.5%) | ||||||||
| Abbey National Capital Trust I | ||||||||
| 3,090,000 | 8.963%, 12/29/2049g | 3,414,450 | ||||||
| Aegon NV | ||||||||
| 2,600,000 | 3.698%, 7/29/2049c,g | 1,815,970 | ||||||
| Ally Financial, Inc. | ||||||||
| 1,300,000 | 7.500%, 12/31/2013 | 1,389,375 | ||||||
| 1,900,000 | 4.500%, 2/11/2014 | 1,900,000 | ||||||
| 1,300,000 | 8.300%, 2/12/2015 | 1,452,750 | ||||||
| 1,570,000 | 7.500%, 9/15/2020 | 1,640,650 | ||||||
| American International Group, Inc. | ||||||||
| 3,000,000 | 6.400%, 12/15/2020 | 3,229,155 | ||||||
| Associated Banc Corporation | ||||||||
| 3,180,000 | 5.125%, 3/28/2016 | 3,318,244 | ||||||
| Associates Corporation of North America | ||||||||
| 3,800,000 | 6.950%, 11/1/2018 | 4,286,905 | ||||||
| AXA SA | ||||||||
| 3,900,000 | 6.463%, 12/31/2049e,g | 3,373,500 | ||||||
| Axis Specialty Finance, LLC | ||||||||
| 3,250,000 | 5.875%, 6/1/2020 | 3,332,849 | ||||||
| BAC Capital Trust VI | ||||||||
| 1,900,000 | 5.625%, 3/8/2035 | 1,636,909 | ||||||
| BAC Capital Trust XIV | ||||||||
| 3,190,000 | 1.054%, 6/1/2056c | 2,217,104 | ||||||
| Banco BTG Pactual SA | ||||||||
| 3,200,000 | 4.875%, 7/8/2016e,h,i | 3,182,496 | ||||||
| Banco do Brasil SA | ||||||||
| 3,845,000 | 5.875%, 1/26/2022e | 3,802,705 | ||||||
| Bank of America Corporation | ||||||||
| 3,200,000 | 6.500%, 8/1/2016 | 3,568,813 | ||||||
| 3,300,000 | 5.750%, 12/1/2017 | 3,508,814 | ||||||
| 1,500,000 | 5.875%, 1/5/2021 | 1,574,213 | ||||||
| 1,900,000 | 8.000%, 12/29/2049g | 1,984,189 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Financials (29.5%) - continued | ||||||||
| Barclays Bank plc | ||||||||
| $ | 5,000,000 | 2.500%, 9/21/2015e | $ | 4,958,990 | ||||
| 2,110,000 | 5.140%, 10/14/2020 | 2,001,151 | ||||||
| 3,350,000 | 7.434%, 9/15/2049e,g | 3,417,000 | ||||||
| BBVA Bancomer SA/Texas | ||||||||
| 2,540,000 | 6.500%, 3/10/2021e | 2,590,800 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 3,150,000 | 5.919%, 12/29/2049f,g | 2,607,847 | ||||||
| Bear Stearns Companies, LLC | ||||||||
| 2,100,000 | 4.650%, 7/2/2018 | 2,174,985 | ||||||
| Blackstone Holdings Finance Company, LLC | ||||||||
| 3,140,000 | 5.875%, 3/15/2021e | 3,143,806 | ||||||
| BNP Paribas Home Loan Covered Bonds SA | ||||||||
| 4,400,000 | 2.200%, 11/2/2015e | 4,299,838 | ||||||
| Boston Properties, LP | ||||||||
| 3,750,000 | 5.875%, 10/15/2019 | 4,108,643 | ||||||
| Caisse centrale Desjardins du Quebec | ||||||||
| 2,500,000 | 2.550%, 3/24/2016e | 2,517,190 | ||||||
| Camden Property Trust | ||||||||
| 2,240,000 | 4.625%, 6/15/2021 | 2,207,769 | ||||||
| Capital One Capital V | ||||||||
| 1,925,000 | 10.250%, 8/15/2039 | 2,040,500 | ||||||
| Capital One Financial Corporation | ||||||||
| 1,500,000 | 6.150%, 9/1/2016 | 1,654,830 | ||||||
| CIT Group, Inc. | ||||||||
| 950,000 | 5.250%, 4/1/2014e | 945,250 | ||||||
| 3,304,731 | 7.000%, 5/1/2017 | 3,296,469 | ||||||
| Citigroup, Inc. | ||||||||
| 3,150,000 | 1.235%, 4/1/2014c,f | 3,105,418 | ||||||
| 3,125,000 | 6.010%, 1/15/2015 | 3,438,869 | ||||||
| 2,500,000 | 4.750%, 5/19/2015 | 2,643,905 | ||||||
| 2,700,000 | 6.125%, 5/15/2018 | 2,973,321 | ||||||
| 2,550,000 | 8.500%, 5/22/2019 | 3,161,120 | ||||||
| CME Group Index Services, LLC | ||||||||
| 2,600,000 | 4.400%, 3/15/2018e | 2,735,795 | ||||||
| CNA Financial Corporation | ||||||||
| 3,775,000 | 7.350%, 11/15/2019 | 4,303,266 | ||||||
| 1,300,000 | 5.875%, 8/15/2020 | 1,351,657 | ||||||
| CommonWealth REIT | ||||||||
| 3,150,000 | 6.250%, 8/15/2016 | 3,449,026 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 3,205,000 | 5.250%, 5/24/2041 | 3,176,626 | ||||||
| Corporacion Andina de Fomento | ||||||||
| 2,000,000 | 8.125%, 6/4/2019 | 2,439,520 | ||||||
| Credit Suisse New York, New York, Convertible | ||||||||
| 1,280,000 | 0.500%, 6/22/2018 | 1,270,784 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 2,540,000 | 4.750%, 4/15/2018 | 2,503,815 | ||||||
| Discover Bank | ||||||||
| 1,875,000 | 8.700%, 11/18/2019 | 2,261,925 | ||||||
| 2,200,000 | 7.000%, 4/15/2020f | 2,443,520 | ||||||
| DnB NOR Boligkreditt | ||||||||
| 4,400,000 | 2.900%, 3/29/2016e | 4,478,566 | ||||||
| Duke Realty, LP | ||||||||
| 3,100,000 | 5.950%, 2/15/2017 | 3,400,353 | ||||||
| Fairfax Financial Holdings, Ltd. | ||||||||
| 2,875,000 | 5.800%, 5/15/2021e | 2,785,038 | ||||||
| Fifth Third Bancorp | ||||||||
| 1,900,000 | 3.625%, 1/25/2016 | 1,916,505 | ||||||
| 2,800,000 | 5.450%, 1/15/2017 | 2,999,142 | ||||||
| FUEL Trust | ||||||||
| 1,275,000 | 4.207%, 4/15/2016e | 1,279,862 | ||||||
| 3,200,000 | 3.984%, 6/15/2016e | 3,174,000 | ||||||
| GE Capital Trust I | ||||||||
| 4,500,000 | 6.375%, 11/15/2067 | 4,606,875 | ||||||
| General Electric Capital Corporation | ||||||||
| 1,900,000 | 6.000%, 8/7/2019 | 2,103,794 | ||||||
| 2,500,000 | 4.375%, 9/16/2020 | 2,471,348 | ||||||
| 1,600,000 | 5.300%, 2/11/2021 | 1,664,867 | ||||||
| 1,550,000 | 6.750%, 3/15/2032 | 1,722,131 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 3,250,000 | 6.250%, 9/1/2017 | 3,586,070 | ||||||
| 2,850,000 | 5.950%, 1/18/2018 | 3,071,938 | ||||||
| 3,200,000 | 6.750%, 10/1/2037 | 3,199,946 | ||||||
| HCP, Inc. | ||||||||
| 950,000 | 3.750%, 2/1/2016 | 966,078 | ||||||
| Health Care Property Investors, Inc. | ||||||||
| 3,100,000 | 5.625%, 5/1/2017 | 3,366,733 | ||||||
| Health Care REIT, Inc. | ||||||||
| 3,200,000 | 6.125%, 4/15/2020 | 3,427,549 | ||||||
| 3,150,000 | 4.950%, 1/15/2021 | 3,069,114 | ||||||
| HSBC USA, Inc. | ||||||||
| 3,150,000 | 5.000%, 9/27/2020 | 3,115,854 | ||||||
| Huntington Bancshares, Inc. | ||||||||
| 2,850,000 | 7.000%, 12/15/2020 | 3,213,386 | ||||||
| Hutchinson Whampoa Finance, Ltd. | ||||||||
| 2,550,000 | 6.000%, 12/29/2049e,g | 2,613,750 | ||||||
| Icahn Enterprises, LP | ||||||||
| 1,890,000 | 7.750%, 1/15/2016 | 1,939,612 | ||||||
| ING Bank NV | ||||||||
| 3,150,000 | 2.500%, 1/14/2016e | 3,094,714 | ||||||
| 3,200,000 | 5.000%, 6/9/2021e | 3,170,771 | ||||||
| ING Capital Funding Trust III | ||||||||
| 3,200,000 | 3.846%, 12/31/2049c,g | 3,022,006 | ||||||
| International Lease Finance Corporation | ||||||||
| 1,600,000 | 5.750%, 5/15/2016 | 1,575,547 | ||||||
| 3,125,000 | 6.750%, 9/1/2016e | 3,328,125 | ||||||
| Itau Unibanco Holding SA | ||||||||
| 1,920,000 | 6.200%, 12/21/2021e | 1,953,600 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 1,600,000 | 3.150%, 7/5/2016 | 1,609,789 | ||||||
| 3,150,000 | 5.500%, 10/15/2040f | 3,132,007 | ||||||
| 3,200,000 | 7.900%, 4/29/2049g | 3,437,088 | ||||||
| J.P. Morgan Chase Bank NA | ||||||||
| 1,920,000 | 6.000%, 10/1/2017 | 2,133,642 | ||||||
| J.P. Morgan Chase Capital XXV | ||||||||
| 3,100,000 | 6.800%, 10/1/2037 | 3,066,281 | ||||||
| Jefferies Group, Inc. | ||||||||
| 4,500,000 | 5.125%, 4/13/2018 | 4,509,077 | ||||||
| JPMorgan Chase Bank NA | ||||||||
| 1,275,000 | 5.875%, 6/13/2016 | 1,411,331 | ||||||
| KeyCorp | ||||||||
| 4,575,000 | 5.100%, 3/24/2021 | 4,659,605 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
288
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Financials (29.5%) - continued | ||||||||
| Kilroy Realty, LP | ||||||||
| $ | 2,565,000 | 4.800%, 7/15/2018h | $ | 2,521,623 | ||||
| LBG Capital No. 1 plc | ||||||||
| 3,100,000 | 7.875%, 11/1/2020e | 2,898,500 | ||||||
| Liberty Property, LP | ||||||||
| 2,840,000 | 5.500%, 12/15/2016 | 3,094,629 | ||||||
| 1,875,000 | 4.750%, 10/1/2020 | 1,881,144 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 3,165,000 | 4.875%, 1/21/2016 | 3,237,070 | ||||||
| 2,400,000 | 5.800%, 1/13/2020e | 2,403,475 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 2,550,000 | 6.050%, 5/16/2016 | 2,673,394 | ||||||
| 3,050,000 | 6.875%, 4/25/2018 | 3,374,575 | ||||||
| 3,000,000 | 7.750%, 5/14/2038 | 3,325,602 | ||||||
| MetLife Capital Trust X | ||||||||
| 2,250,000 | 9.250%, 4/8/2038e | 2,745,000 | ||||||
| MetLife, Inc. | ||||||||
| 700,000 | 7.875%, 12/15/2037e | 731,295 | ||||||
| Morgan Stanley | ||||||||
| 3,125,000 | 4.200%, 11/20/2014 | 3,245,347 | ||||||
| 3,125,000 | 4.000%, 7/24/2015 | 3,180,284 | ||||||
| 3,190,000 | 3.800%, 4/29/2016 | 3,152,958 | ||||||
| 1,900,000 | 5.450%, 1/9/2017 | 2,009,298 | ||||||
| 3,730,000 | 6.625%, 4/1/2018 | 4,108,942 | ||||||
| 1,900,000 | 5.625%, 9/23/2019 | 1,949,683 | ||||||
| 4,700,000 | 5.500%, 1/26/2020 | 4,761,246 | ||||||
| MUFG Capital Finance 1, Ltd. | ||||||||
| 3,230,000 | 6.346%, 7/29/2049g | 3,282,588 | ||||||
| National City Bank | ||||||||
| 5,050,000 | 5.800%, 6/7/2017 | 5,638,037 | ||||||
| Nationwide Building Society | ||||||||
| 4,400,000 | 6.250%, 2/25/2020e | 4,575,648 | ||||||
| New York Life Insurance Company | ||||||||
| 2,500,000 | 6.750%, 11/15/2039e | 2,847,807 | ||||||
| Nordea Bank AB | ||||||||
| 4,470,000 | 4.875%, 5/13/2021e | 4,292,858 | ||||||
| ORIX Corporation | ||||||||
| 4,450,000 | 5.000%, 1/12/2016 | 4,617,845 | ||||||
| Preferred Term Securities XXIII, Ltd. | ||||||||
| 5,267,622 | 0.447%, 12/22/2036b,c | 2,897,192 | ||||||
| ProLogis | ||||||||
| 2,550,000 | 6.250%, 3/15/2017 | 2,817,623 | ||||||
| Prudential Financial, Inc. | ||||||||
| 1,250,000 | 6.200%, 1/15/2015 | 1,399,419 | ||||||
| 3,200,000 | 3.000%, 5/12/2016 | 3,171,805 | ||||||
| 3,125,000 | 5.375%, 6/21/2020 | 3,292,194 | ||||||
| 1,120,000 | 5.700%, 12/14/2036 | 1,077,950 | ||||||
| 1,425,000 | 6.200%, 11/15/2040 | 1,456,235 | ||||||
| QBE Capital Funding III, Ltd. | ||||||||
| 2,240,000 | 7.250%, 5/24/2041e | 2,247,558 | ||||||
| Rabobank Capital Funding Trust II | ||||||||
| 2,126,000 | 5.260%, 12/29/2049e,g | 2,107,142 | ||||||
| Regency Centers, LP | ||||||||
| 2,500,000 | 5.875%, 6/15/2017 | 2,771,143 | ||||||
| Regions Financial Corporation | ||||||||
| 3,175,000 | 5.750%, 6/15/2015 | 3,127,375 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 4,785,000 | 5.625%, 3/15/2017 | 5,160,082 | ||||||
| 1,120,000 | 5.000%, 6/1/2021f | 1,108,052 | ||||||
| Resona Bank, Ltd. | ||||||||
| 3,133,000 | 5.850%, 9/29/2049e,g | 3,126,618 | ||||||
| Royal Bank of Scotland plc | ||||||||
| 2,500,000 | 4.875%, 3/16/2015 | 2,594,570 | ||||||
| 3,175,000 | 4.375%, 3/16/2016 | 3,202,727 | ||||||
| Simon Property Group, LP | ||||||||
| 2,280,000 | 5.750%, 12/1/2015 | 2,559,341 | ||||||
| 1,250,000 | 10.350%, 4/1/2019 | 1,730,264 | ||||||
| 2,000,000 | 5.650%, 2/1/2020 | 2,160,798 | ||||||
| SLM Corporation | ||||||||
| 3,200,000 | 5.000%, 10/1/2013 | 3,328,000 | ||||||
| 3,300,000 | 5.375%, 5/15/2014 | 3,435,726 | ||||||
| 3,670,000 | 6.250%, 1/25/2016 | 3,807,625 | ||||||
| Standard Chartered plc | ||||||||
| 3,775,000 | 3.850%, 4/27/2015e | 3,907,857 | ||||||
| SunTrust Banks, Inc. | ||||||||
| 3,170,000 | 3.600%, 4/15/2016 | 3,200,755 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 4,200,000 | 6.854%, 5/29/2049e,f,g | 4,038,237 | ||||||
| TD Ameritrade Holding Corporation | ||||||||
| 3,775,000 | 5.600%, 12/1/2019 | 4,046,872 | ||||||
| U.S. Bank National Association | ||||||||
| 3,200,000 | 3.778%, 4/29/2020 | 3,312,998 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 2,500,000 | 6.500%, 6/15/2037 | 2,733,498 | ||||||
| Unum Group | ||||||||
| 2,500,000 | 7.125%, 9/30/2016 | 2,869,588 | ||||||
| Ventas Realty, LP | ||||||||
| 3,200,000 | 4.750%, 6/1/2021 | 3,123,696 | ||||||
| Wachovia Bank NA | ||||||||
| 2,025,000 | 4.875%, 2/1/2015 | 2,174,141 | ||||||
| Wachovia Corporation | ||||||||
| 2,500,000 | 5.250%, 8/1/2014 | 2,679,663 | ||||||
| WEA Finance, LLC | ||||||||
| 1,500,000 | 7.125%, 4/15/2018e | 1,750,671 | ||||||
| Wells Fargo & Company | ||||||||
| 3,815,000 | 4.600%, 4/1/2021 | 3,836,181 | ||||||
| Willis North America, Inc. | ||||||||
| 4,600,000 | 6.200%, 3/28/2017 | 5,015,559 | ||||||
| 1,900,000 | 7.000%, 9/29/2019 | 2,105,291 | ||||||
| ZFS Finance USA Trust II | ||||||||
| 2,500,000 | 6.450%, 12/15/2065e | 2,537,500 | ||||||
|
| |||||||
| Total Financials | 420,589,614 | |||||||
|
| |||||||
| Foreign Government (2.4%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 4,450,000 | 4.375%, 2/16/2021e | 4,618,637 | ||||||
| British Columbia Government Notes | ||||||||
| 3,830,000 | 2.100%, 5/18/2016 | 3,848,204 | ||||||
| Finland Government International Bond | ||||||||
| 5,100,000 | 2.250%, 3/17/2016e | 5,189,536 | ||||||
| Hydro Quebec | ||||||||
| 3,200,000 | 2.000%, 6/30/2016 | 3,152,806 | ||||||
| Korea Development Bank/Republic of Korea | ||||||||
| 2,500,000 | 4.375%, 8/10/2015 | 2,624,055 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
289
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Foreign Government (2.4%) - continued | ||||||||
Mexico Government International Bond | ||||||||
| $3,150,000 | 5.125%, 1/15/2020 | $ | 3,402,000 | |||||
| 2,230,000 | 6.050%, 1/11/2040 | 2,372,720 | ||||||
Province of New Brunswick | ||||||||
| 3,850,000 | 2.750%, 6/15/2018 | 3,797,413 | ||||||
Province of Ontario | ||||||||
| 5,000,000 | 2.300%, 5/10/2016 | 5,025,770 | ||||||
|
| |||||||
| Total Foreign Government | 34,031,141 | |||||||
|
| |||||||
| Mortgage-Backed Securities (5.9%) | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 15,225,000 | 4.000%, 7/1/2026h | 15,857,781 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 27,985,000 | 4.500%, 7/1/2041h | 28,951,350 | ||||||
| 17,425,000 | 5.000%, 7/1/2041h | 18,514,063 | ||||||
| 15,600,000 | 5.500%, 7/1/2041h | 16,867,500 | ||||||
| 4,200,000 | 6.000%, 7/1/2041h | 4,613,440 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 84,804,134 | |||||||
|
| |||||||
| Technology (1.7%) | ||||||||
Amkor Technology, Inc. | ||||||||
| 3,190,000 | 6.625%, 12/1/2011e,f | 3,070,375 | ||||||
CA, Inc. | ||||||||
| 3,075,000 | 5.375%, 12/1/2019 | 3,277,135 | ||||||
Equinix, Inc. | ||||||||
| 1,800,000 | 8.125%, 3/1/2018 | 1,959,750 | ||||||
Hewlett-Packard Company | ||||||||
| 3,200,000 | 2.650%, 6/1/2016 | 3,213,443 | ||||||
Seagate HDD Cayman | ||||||||
| 1,910,000 | 7.750%, 12/15/2018e | 2,005,500 | ||||||
Texas Instruments, Inc. | ||||||||
| 5,000,000 | 2.375%, 5/16/2016 | 5,001,540 | ||||||
Xerox Corporation | ||||||||
| 1,250,000 | 6.400%, 3/15/2016 | 1,430,691 | ||||||
| 950,000 | 5.625%, 12/15/2019 | 1,040,553 | ||||||
| 2,550,000 | 4.500%, 5/15/2021 | 2,522,292 | ||||||
|
| |||||||
| Total Technology | 23,521,279 | |||||||
|
| |||||||
| Transportation (2.5%) | ||||||||
American Airlines Pass Through Trust | ||||||||
| 1,861,098 | 10.375%, 7/2/2019 | 2,175,158 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
| 3,200,000 | 5.400%, 6/1/2041 | 3,144,240 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,200,000 | 6.750%, 9/15/2015e | 2,211,000 | ||||||
| 1,070,907 | 7.250%, 11/10/2019 | 1,157,864 | ||||||
| 2,036,086 | 5.983%, 4/19/2022 | 2,094,522 | ||||||
CSX Corporation | ||||||||
| 1,293,000 | 7.900%, 5/1/2017 | 1,591,095 | ||||||
| 1,280,000 | 4.250%, 6/1/2021 | 1,274,006 | ||||||
| 1,807,000 | 6.220%, 4/30/2040 | 1,950,888 | ||||||
Delta Air Lines, Inc. | ||||||||
| 1,123,000 | 9.500%, 9/15/2014e | 1,197,399 | ||||||
| 2,562,763 | 4.950%, 11/23/2019f | 2,562,763 | ||||||
| 3,225,158 | 7.750%, 12/17/2019 | 3,535,741 | ||||||
ERAC USA Finance, LLC | ||||||||
| 3,450,000 | 5.250%, 10/1/2020e | 3,659,380 | ||||||
| 1,915,000 | 4.500%, 8/16/2021e | 1,903,422 | ||||||
Hertz Corporation | ||||||||
| 1,900,000 | 6.750%, 4/15/2019e | 1,881,000 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 480,000 | 6.125%, 6/15/2021e | 480,000 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 1,510,000 | 8.875%, 11/1/2017 | 1,555,300 | ||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. | ||||||||
| 480,000 | 9.250%, 4/15/2019e | 483,600 | ||||||
US Airways Group, Inc. | ||||||||
| 2,200,000 | 6.250%, 4/22/2023 | 2,134,000 | ||||||
|
| |||||||
| Total Transportation | 34,991,378 | |||||||
|
| |||||||
| U.S. Government and Agencies (4.5%) | ||||||||
U.S. Treasury Bonds | ||||||||
| 3,920,000 | 4.750%, 2/15/2037 | 4,193,788 | ||||||
| 1,920,000 | 4.625%, 2/15/2040 | 2,001,900 | ||||||
U.S. Treasury Notes | ||||||||
| 3,150,000 | 1.250%, 10/31/2015 | 3,123,420 | ||||||
| 3,000,000 | 3.000%, 2/28/2017 | 3,156,564 | ||||||
| 3,150,000 | 2.625%, 1/31/2018 | 3,205,862 | ||||||
| 3,190,000 | 2.875%, 3/31/2018 | 3,286,198 | ||||||
| 2,560,000 | 3.625%, 2/15/2020 | 2,708,201 | ||||||
| 9,500,000 | 3.500%, 5/15/2020 | 9,917,810 | ||||||
| 7,000,000 | 2.625%, 8/15/2020 | 6,775,783 | ||||||
| 7,020,000 | 2.625%, 11/15/2020 | 6,761,138 | ||||||
| 3,485,000 | 3.625%, 2/15/2021 | 3,633,928 | ||||||
| 4,355,000 | 3.125%, 5/15/2021 | 4,342,762 | ||||||
| 2,000,000 | 3.875%, 8/15/2040 | 1,831,250 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 9,279,540 | 1.250%, 7/15/2020 | 9,816,009 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 64,754,613 | |||||||
|
| |||||||
| U.S. Municipals (0.5%) | ||||||||
California General Obligation Bonds (Build America Bonds) | ||||||||
| 1,280,000 | 7.950%, 3/1/2036 | 1,394,611 | ||||||
Denver, Colorado City & County Airport Revenue Bonds | ||||||||
| 2,550,000 | 5.250%, 11/15/2022 | 2,728,628 | ||||||
Illinois State General Obligation Bonds | ||||||||
| 3,175,000 | 5.877%, 3/1/2019 | 3,263,487 | ||||||
|
| |||||||
| Total U.S. Municipals | 7,386,726 | |||||||
|
| |||||||
| Utilities (5.6%) | ||||||||
AES Corporation | ||||||||
| 1,565,000 | 7.750%, 10/15/2015 | 1,670,637 | ||||||
| 740,000 | 7.375%, 7/1/2021e,f | 751,100 | ||||||
Ameren Illinois Company | ||||||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,655,965 | ||||||
Cleveland Electric Illuminating Company | ||||||||
| 1,775,000 | 5.700%, 4/1/2017 | 1,940,828 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
290
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (94.7%) | Value | ||||||
| Utilities (5.6%) - continued | ||||||||
CMS Energy Corporation | ||||||||
| $2,510,000 | 4.250%, 9/30/2015 | $ | 2,581,666 | |||||
Columbus Southern Power Company | ||||||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,737,361 | ||||||
Comision Federal de Electricidad | ||||||||
| 1,125,000 | 4.875%, 5/26/2021e | 1,123,425 | ||||||
Commonwealth Edison Company | ||||||||
| 1,500,000 | 6.150%, 9/15/2017 | 1,736,006 | ||||||
Consolidated Natural Gas Company | ||||||||
| 1,550,000 | 5.000%, 12/1/2014 | 1,709,194 | ||||||
Dominion Resources, Inc. | ||||||||
| 2,540,000 | 6.300%, 9/30/2066 | 2,479,675 | ||||||
DTE Energy Company | ||||||||
| 2,500,000 | 6.375%, 4/15/2033 | 2,686,223 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
| 3,200,000 | 5.900%, 12/1/2021e | 3,173,334 | ||||||
Energy Transfer Partners, LP | ||||||||
| 3,500,000 | 4.650%, 6/1/2021f | 3,424,155 | ||||||
Exelon Generation Company, LLC | ||||||||
| 1,050,000 | 5.200%, 10/1/2019 | 1,095,783 | ||||||
| 2,500,000 | 4.000%, 10/1/2020 | 2,359,545 | ||||||
Florida Power Corporation | ||||||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,310,740 | ||||||
Inergy, LP | ||||||||
| 630,000 | 6.875%, 8/1/2021e | 630,000 | ||||||
ITC Holdings Corporation | ||||||||
| 3,000,000 | 5.875%, 9/30/2016e | 3,412,050 | ||||||
| 2,600,000 | 6.050%, 1/31/2018e | 2,903,800 | ||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 1,910,000 | 6.500%, 8/15/2021 | 1,895,675 | ||||||
Nevada Power Company | ||||||||
| 2,800,000 | 6.750%, 7/1/2037 | 3,281,387 | ||||||
NiSource Finance Corporation | ||||||||
| 2,800,000 | 6.400%, 3/15/2018 | 3,171,949 | ||||||
| 3,200,000 | 5.450%, 9/15/2020 | 3,370,390 | ||||||
NRG Energy, Inc. | ||||||||
| 1,930,000 | 7.875%, 5/15/2021e | 1,925,175 | ||||||
Ohio Edison Company | ||||||||
| 1,550,000 | 6.875%, 7/15/2036 | 1,699,088 | ||||||
Ohio Power Company | ||||||||
| 2,200,000 | 5.375%, 10/1/2021 | 2,369,829 | ||||||
Pennsylvania Electric Company | ||||||||
| 3,700,000 | 5.200%, 4/1/2020 | 3,896,585 | ||||||
Petrobras International Finance Company | ||||||||
| 2,050,000 | 5.750%, 1/20/2020 | 2,186,848 | ||||||
Power Receivables Finance, LLC | ||||||||
| 587,220 | 6.290%, 1/1/2012b | 588,072 | ||||||
PSEG Power, LLC | ||||||||
| 4,800,000 | 5.000%, 4/1/2014 | 5,149,555 | ||||||
Southern Star Central Corporation | ||||||||
| 1,600,000 | 6.750%, 3/1/2016 | 1,608,000 | ||||||
Southwestern Public Service Company | ||||||||
| 2,770,000 | 6.000%, 10/1/2036 | 2,930,491 | ||||||
Union Electric Company | ||||||||
| 2,900,000 | 6.400%, 6/15/2017 | 3,361,552 | ||||||
|
| |||||||
| Total Utilities | 79,816,083 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,309,728,332) | 1,347,650,495 | |||||||
|
| |||||||
| Shares | Mutual Funds (0.9%) | |||||||
| Fixed Income Mutual Funds (0.9%) | ||||||||
| 2,655,395 | Thrivent High Yield Fund | 12,931,776 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 12,931,776 | |||||||
|
| |||||||
Total Mutual Funds (cost $9,387,735) | 12,931,776 | |||||||
|
| |||||||
Preferred Stock (0.9%) | ||||||||
| Financials (0.9%) | ||||||||
| 167 | Ally Financial, Inc., 7.000%e,g | 156,949 | ||||||
| 83,918 | Citigroup Capital XII, 8.500% | 2,166,763 | ||||||
| 22,000 | Citigroup, Inc., Convertible, 7.500% | 2,643,300 | ||||||
| 359,990 | Federal National Mortgage Association, 8.250%g,j | 773,978 | ||||||
| 55,250 | GMAC Capital Trust I, 8.125%j | 1,414,400 | ||||||
| 81,250 | HSBC Holdings plc, 8.000%g | 2,209,187 | ||||||
| 3,190 | SG Preferred Capital II, LLC, 6.302%e,g | 3,103,272 | ||||||
|
| |||||||
| Total Financials | 12,467,849 | |||||||
|
| |||||||
Total Preferred Stock (cost $17,889,313) | 12,467,849 | |||||||
|
| |||||||
Common Stock (0.1%) | ||||||||
| Financials (0.1%) | ||||||||
| 17,331 | CIT Group, Inc.j | 767,070 | ||||||
|
| |||||||
| Total Financials | 767,070 | |||||||
|
| |||||||
Total Common Stock (cost $554,987) | 767,070 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (2.2%) | ||||||||
| 31,818,993 | Thrivent Financial Securities Lending Trust | 31,818,993 | ||||||
| Total Collateral Held for Securities Loaned (cost $31,818,993) | 31,818,993 | |||||||
| Principal Amount | Short-Term Investments (8.0%)k | |||||||
BNP Paribas Canada | ||||||||
| 6,930,000 | 0.100%, 7/1/2011 | 6,930,000 | ||||||
| 5,000,000 | 0.100%, 7/5/2011 | 4,999,944 | ||||||
Chariot Funding, LLC | ||||||||
| 25,000,000 | 0.130%, 7/25/2011 | 24,997,833 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 15,000,000 | 0.040%, 7/13/2011 | 14,999,800 | ||||||
| 10,000,000 | 0.050%, 7/15/2011 | 9,999,806 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
291
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Short-Term Investments (8.0%)k | Value | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 8,551,000 | 0.060%, 8/1/2011 | $ | 8,550,558 | |||||
| 2,730,000 | 0.160%, 8/29/2011l,m | 2,729,296 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.010%, 7/8/2011 | 4,999,990 | ||||||
Liberty Street Funding, LLC | ||||||||
| 20,000,000 | 0.140%, 7/14/2011 | 19,998,989 | ||||||
Proctor & Gamble International Funding SCA | ||||||||
| 10,985,000 | 0.080%, 7/11/2011 | 10,984,756 | ||||||
Thunder Bay Funding, LLC | ||||||||
| 5,000,000 | 0.130%, 7/20/2011 | 4,999,657 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 114,190,629 | |||||||
|
| |||||||
| Total Investments (cost $1,501,678,280) 108.1% | $ | 1,537,968,993 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.1%) | (115,354,331 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,422,614,662 | ||||||
|
| |||||||
| 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 June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 2,787,100 | |||||
Capitalsource Commercial Loan Trust | 4/5/2007 | 261,046 | ||||||
Commercial Mortgage Pass- Through Certificates | 10/18/2006 | 2,000,000 | ||||||
Commercial Mortgage Pass- Through Certificates | 5/2/2007 | 4,750,000 | ||||||
Power Receivables Finance, LLC | 9/30/2003 | 587,048 | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 5,267,622 | ||||||
Wachovia Bank Commercial Mortgage Trust | 5/2/2007 | 7,500,430 | ||||||
| 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $258,894,659 or 18.2% of total net assets. |
| f | All or a portion of the security is on loan. |
| 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 | Security is fair valued. |
| j | Non-income producing security. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At June 30, 2011, $1,729,553 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| m | At June 30, 2011, $269,930 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Definitions:
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 | $ | 66,834,370 | ||
Gross unrealized depreciation | (30,718,773 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 36,115,597 | ||
Cost for federal income tax purposes | $ | 1,501,853,396 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
292
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Income Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Capital Goods | 627,872 | — | 627,872 | — | ||||||||||||
Communications Services | 4,241,482 | — | 4,241,482 | — | ||||||||||||
Consumer Cyclical | 3,615,627 | — | 3,615,627 | — | ||||||||||||
Consumer Non-Cyclical | 2,000,029 | — | 2,000,029 | — | ||||||||||||
Energy | 1,597,824 | — | 1,597,824 | — | ||||||||||||
Financials | 1,590,875 | — | 1,590,875 | — | ||||||||||||
Technology | 1,945,553 | — | 1,945,553 | — | ||||||||||||
Transportation | 2,522,919 | — | 2,522,919 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 16,600,622 | — | 16,600,622 | — | ||||||||||||
Basic Materials | 77,724,248 | — | 77,724,248 | — | ||||||||||||
Capital Goods | 23,393,302 | — | 23,393,302 | — | ||||||||||||
Collateralized Mortgage Obligations | 24,285,794 | — | 24,285,794 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 47,956,327 | — | 47,956,327 | — | ||||||||||||
Communications Services | 128,004,857 | — | 124,356,107 | 3,648,750 | ||||||||||||
Consumer Cyclical | 73,537,722 | — | 73,537,722 | — | ||||||||||||
Consumer Non-Cyclical | 75,732,497 | — | 75,732,497 | — | ||||||||||||
Energy | 130,520,158 | — | 130,520,158 | — | ||||||||||||
Financials | 420,589,614 | — | 413,239,142 | 7,350,472 | ||||||||||||
Foreign Government | 34,031,141 | — | 34,031,141 | — | ||||||||||||
Mortgage-Backed Securities | 84,804,134 | — | 84,804,134 | — | ||||||||||||
Technology | 23,521,279 | — | 23,521,279 | — | ||||||||||||
Transportation | 34,991,378 | — | 34,991,378 | — | ||||||||||||
U.S. Government and Agencies | 64,754,613 | — | 64,754,613 | — | ||||||||||||
U.S. Municipals | 7,386,726 | — | 7,386,726 | — | ||||||||||||
Utilities | 79,816,083 | — | 79,816,083 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 12,931,776 | 12,931,776 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 12,467,849 | 9,207,628 | 3,260,221 | — | ||||||||||||
Common Stock | ||||||||||||||||
Financials | 767,070 | 767,070 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 31,818,993 | 31,818,993 | — | — | ||||||||||||
Short-Term Investments | 114,190,629 | — | 114,190,629 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,537,968,993 | $ | 54,725,467 | $ | 1,472,244,304 | $ | 10,999,222 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 92,553 | 92,553 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 92,553 | $ | 92,553 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 2,070,481 | 2,070,481 | — | — | ||||||||||||
Credit Default Swaps | 181,432 | — | 181,432 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 2,251,913 | $ | 2,070,481 | $ | 181,432 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
293
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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, 2010 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed | ||||||||||||||||||||||||||||||||
Income | ||||||||||||||||||||||||||||||||
Communications Services | — | — | 9,968 | — | — | 3,638,782 | — | 3,648,750 | ||||||||||||||||||||||||
Financials | 2,871,390 | — | 218,278 | 4,462,496 | (201,692 | ) | — | — | 7,350,472 | |||||||||||||||||||||||
Transportation | 12,402,746 | 419,997 | (566,040 | ) | — | (3,293,418 | ) | — | (8,963,285 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 15,274,136 | $ | 419,997 | ($ | 337,794 | ) | $ | 4,462,496 | ($ | 3,495,110 | ) | $ | 3,638,782 | ($ | 8,963,285 | ) | $ | 10,999,222 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $269,839. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 315 | September 2011 | $ | 69,000,728 | $ | 69,093,281 | $ | 92,553 | ||||||||||||
5-Yr. U.S. Treasury Bond Futures | (595 | ) | September 2011 | (70,463,851 | ) | (70,921,209 | ) | (457,358 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (1,435 | ) | September 2011 | (174,740,510 | ) | (175,540,867 | ) | (800,357 | ) | |||||||||||
20-Yr. U.S. Treasury Bond Futures | 600 | September 2011 | 74,631,516 | 73,818,750 | (812,766 | ) | ||||||||||||||
Total Futures Contracts | ($ | 1,977,928 | ) | |||||||||||||||||
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%; Barclays Capital | Buy | 12/20/2015 | $ | 3,150,000 | $ | 96,747 | ($ | 11,929 | ) | ($ | 108,676 | ) | ||||||||||
CDX IG, Series 16, 5 Year, at 1.00%; Bank of America | Buy | 6/20/2016 | 19,200,000 | — | (72,756 | ) | (72,756 | ) | ||||||||||||||
Total Credit Default Swaps | ($ | 84,685 | ) | ($ | 181,432 | ) | ||||||||||||||||
| 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 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 value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The 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.
294
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | $ | 92,553 | |||
Total Interest Rate Contracts | 92,553 | |||||
|
| |||||
Total Asset Derivatives | $ | 92,553 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,070,481 | ||||
Total Interest Rate Contracts | 2,070,481 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 181,432 | ||||
Total Credit Contracts | 181,432 | |||||
|
| |||||
Total Liability Derivatives | $ | 2,251,913 | ||||
|
| |||||
| * | 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 June 30, 2011, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | (319,650 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 221,031 | ||||
Total Interest Rate Contracts | (98,619 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (585,746 | ) | |||
Total Credit Contracts | (585,746 | ) | ||||
|
| |||||
Total | ($684,365 | ) | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
295
Table of Contents
Income Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (6,057,548 | ) | |||
Purchased Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | 132,150 | ||||
Total Interest Rate Contracts | (5,925,398 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (41,489 | ) | |||
Total Credit Contracts | (41,489 | ) | ||||
|
| |||||
Total | ($5,966,887 | ) | ||||
|
| |||||
The following table presents Income Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Interest Rate Contracts | $ | 397,857,963 | 28.9 | % | N/A | N/A | 87 | |||||||||||||
Credit Contracts | N/A | N/A | $ | 27,102,921 | 2.0 | % | 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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
High Yield Fund | $ | 18,293,310 | $ | — | $ | 5,500,000 | 2,655,395 | $ | 12,931,776 | $ | 687,726 | |||||||||||||
Thrivent Financial Securities Lending Trust | 13,325,870 | 120,908,037 | 102,414,914 | 31,818,993 | 31,818,993 | 12,864 | ||||||||||||||||||
Total Value and Income Earned | 31,619,180 | 44,750,769 | 700,590 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
296
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.4%) | Value | ||||||
| Asset-Backed Securities (3.7%) | ||||||||
| Countrywide Asset-Backed Certificates | ||||||||
| $ | 462,249 | 5.549%, 8/25/2021a | $ | 417,791 | ||||
| Countrywide Home Loans, Inc. | ||||||||
| 499,209 | 6.085%, 6/25/2021a | 330,893 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 397,005 | 5.501%, 12/25/2036 | 270,935 | ||||||
| First Horizon ABS Trust | ||||||||
| 1,234,576 | 0.316%, 10/25/2026a,b | 1,002,317 | ||||||
| 1,083,347 | 0.346%, 10/25/2034a,b | 607,818 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,324,654 | 0.366%, 8/25/2035a,b | 865,276 | ||||||
| 1,612,869 | 0.366%, 12/25/2036a,b | 1,059,140 | ||||||
| Green Tree Financial Corporation | ||||||||
| 22,625 | 6.330%, 11/1/2029 | 23,037 | ||||||
| IndyMac Seconds Asset-Backed Trust | ||||||||
| 555,742 | 0.356%, 10/25/2036a,b | 110,174 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 1,330,763 | 0.326%, 7/25/2037a,b,c | 1,030,819 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 5,718,200 | |||||||
|
| |||||||
| Basic Materials (0.4%) | ||||||||
| Dow Chemical Company | ||||||||
| 27,000 | 7.375%, 11/1/2029 | 33,094 | ||||||
| Rio Tinto Alcan, Inc. | ||||||||
| 500,000 | 5.200%, 1/15/2014 | 543,227 | ||||||
|
| |||||||
| Total Basic Materials | 576,321 | |||||||
|
| |||||||
| Capital Goods (1.2%) | ||||||||
| Danaher Corporation | ||||||||
| 375,000 | 2.300%, 6/23/2016 | 374,701 | ||||||
| General Electric Company | ||||||||
| 600,000 | 5.000%, 2/1/2013 | 636,840 | ||||||
| Republic Services, Inc. | ||||||||
| 500,000 | 5.250%, 11/15/2021 | 528,286 | ||||||
| United Technologies Corporation | ||||||||
| 275,000 | 6.050%, 6/1/2036 | 309,119 | ||||||
|
| |||||||
| Total Capital Goods | 1,848,946 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.2%) | ||||||||
| Bear Stearns Mortgage Funding Trust | ||||||||
| 227,985 | 0.466%, 8/25/2036b | 67,698 | ||||||
| Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 1,072,919 | 2.624%, 6/25/2035 | 916,970 | ||||||
| Thornburg Mortgage Securities Trust | ||||||||
| 849,390 | 0.296%, 11/25/2046b | 838,771 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 1,823,439 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (7.6%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 645,000 | 5.802%, 6/10/2049 | 694,033 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,322,583 | 0.337%, 3/15/2022b,c | 2,236,929 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,500,000 | 0.317%, 12/15/2020b,c | 2,302,147 | ||||||
| 500,000 | 5.306%, 12/10/2046 | 535,425 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,919,278 | 0.357%, 10/15/2021b,d | 1,809,756 | ||||||
| 235,000 | 5.467%, 9/15/2039 | 253,437 | ||||||
| General Electric Commercial Mortgage Corporation | ||||||||
| 586,172 | 4.641%, 3/10/2040 | 605,167 | ||||||
| GS Mortgage Securities Corporation II | ||||||||
| 2,000,000 | 1.317%, 3/6/2020b,d | 1,963,490 | ||||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 900,000 | 4.786%, 10/15/2029 | 957,387 | ||||||
| 314,587 | 4.553%, 7/15/2030 | 314,944 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 11,672,715 | |||||||
|
| |||||||
| Communications Services (1.9%) | ||||||||
| AT&T, Inc. | ||||||||
| 300,000 | 6.400%, 5/15/2038 | 321,799 | ||||||
| BellSouth Corporation | ||||||||
| 27,000 | 6.875%, 10/15/2031 | 30,330 | ||||||
| CBS Corporation | ||||||||
| 350,000 | 7.875%, 9/1/2023 | 411,370 | ||||||
| Cox Communications, Inc. | ||||||||
| 135,000 | 6.450%, 12/1/2036d | 145,337 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 500,000 | 4.174%, 8/15/2017d | 508,012 | ||||||
| News America, Inc. | ||||||||
| 275,000 | 6.400%, 12/15/2035 | 287,586 | ||||||
| Telecom Italia Capital SA | ||||||||
| 800,000 | 5.250%, 10/1/2015 | 831,699 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 300,000 | 7.300%, 7/1/2038 | 348,724 | ||||||
| Verizon Global Funding Corporation | ||||||||
| 27,000 | 7.750%, 12/1/2030 | 33,743 | ||||||
|
| |||||||
| Total Communications Services | 2,918,600 | |||||||
|
| |||||||
| Consumer Cyclical (0.9%) | ||||||||
| Daimler Finance NA, LLC | ||||||||
| 27,000 | 8.500%, 1/18/2031 | 36,508 | ||||||
| Target Corporation | ||||||||
| 27,000 | 7.000%, 7/15/2031 | 32,363 | ||||||
| Time Warner, Inc. | ||||||||
| 27,000 | 7.625%, 4/15/2031 | 32,394 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 527,000 | 7.550%, 2/15/2030 | 674,030 | ||||||
| Walt Disney Company | ||||||||
| 500,000 | 5.625%, 9/15/2016 | 579,274 | ||||||
|
| |||||||
| Total Consumer Cyclical | 1,354,569 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
297
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.4%) | Value | ||||||
| Consumer Non-Cyclical (2.1%) | ||||||||
| AmerisourceBergen Corporation | ||||||||
| $ | 500,000 | 4.875%, 11/15/2019 | $ | 534,170 | ||||
| Boston Scientific Corporation | ||||||||
| 275,000 | 7.000%, 11/15/2035 | 294,519 | ||||||
| Colgate-Palmolive Company | ||||||||
| 500,000 | 1.250%, 5/1/2014 | 503,172 | ||||||
| GlaxoSmithKline Capital, Inc. | ||||||||
| 300,000 | 6.375%, 5/15/2038 | 345,940 | ||||||
| Kellogg Company | ||||||||
| 600,000 | 4.250%, 3/6/2013 | 633,223 | ||||||
| 27,000 | 7.450%, 4/1/2031 | 34,091 | ||||||
| Kraft Foods, Inc. | ||||||||
| 27,000 | 6.500%, 11/1/2031 | 30,747 | ||||||
| Philip Morris International, Inc. | ||||||||
| 300,000 | 6.375%, 5/16/2038 | 339,850 | ||||||
| Wyeth | ||||||||
| 550,000 | 6.000%, 2/15/2036 | 594,684 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 3,310,396 | |||||||
|
| |||||||
| Energy (1.3%) | ||||||||
| Anadarko Finance Company | ||||||||
| 27,000 | 7.500%, 5/1/2031 | 31,187 | ||||||
| Cameron International Corporation | ||||||||
| 200,000 | 4.500%, 6/1/2021 | 198,118 | ||||||
| Conoco, Inc. | ||||||||
| 27,000 | 6.950%, 4/15/2029 | 32,793 | ||||||
| Devon Financing Corporation, ULC | ||||||||
| 27,000 | 7.875%, 9/30/2031 | 34,821 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 450,000 | 6.700%, 7/1/2018 | 507,115 | ||||||
| Petrobras International Finance Company | ||||||||
| 325,000 | 5.375%, 1/27/2021 | 333,713 | ||||||
| Petro-Canada | ||||||||
| 300,000 | 6.800%, 5/15/2038 | 338,378 | ||||||
| Valero Energy Corporation | ||||||||
| 500,000 | 4.750%, 6/15/2013 | 531,651 | ||||||
|
| |||||||
| Total Energy | 2,007,776 | |||||||
|
| |||||||
| Financials (8.2%) | ||||||||
| African Development Bank | ||||||||
| 250,000 | 6.875%, 10/15/2015 | 296,598 | ||||||
| AXA SA | ||||||||
| 27,000 | 8.600%, 12/15/2030 | 32,168 | ||||||
| BAC Capital Trust XI | ||||||||
| 275,000 | 6.625%, 5/23/2036 | 265,438 | ||||||
| Barclays Bank plc | ||||||||
| 500,000 | 2.375%, 1/13/2014 | 505,938 | ||||||
| 300,000 | 5.000%, 9/22/2016 | 322,723 | ||||||
| Bear Stearns Companies, LLC | ||||||||
| 500,000 | 4.650%, 7/2/2018 | 517,854 | ||||||
| BNP Paribas SA | ||||||||
| 1,100,000 | 5.186%, 6/29/2049d,e | 1,012,550 | ||||||
| Chubb Corporation | ||||||||
| 600,000 | 6.500%, 5/15/2038 | 666,520 | ||||||
| Citigroup, Inc. | ||||||||
| 500,000 | 1.235%, 4/1/2014b | 492,923 | ||||||
| 250,000 | 4.700%, 5/29/2015 | 263,973 | ||||||
| Cooperative Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 350,000 | 4.750%, 1/15/2020d | 367,304 | ||||||
| Danske Bank AS | ||||||||
| 500,000 | 3.875%, 4/14/2016d | 494,781 | ||||||
| Fifth Third Bancorp | ||||||||
| 325,000 | 3.625%, 1/25/2016 | 327,823 | ||||||
| FUEL Trust | ||||||||
| 150,000 | 4.207%, 4/15/2016d | 150,572 | ||||||
| 200,000 | 3.984%, 6/15/2016d | 198,375 | ||||||
| General Electric Capital Corporation | ||||||||
| 475,000 | 5.875%, 1/14/2038 | 480,495 | ||||||
| HCP, Inc. | ||||||||
| 325,000 | 3.750%, 2/1/2016 | 330,500 | ||||||
| Health Care REIT, Inc. | ||||||||
| 450,000 | 6.125%, 4/15/2020 | 481,999 | ||||||
| HSBC Finance Corporation | ||||||||
| 650,000 | 6.375%, 11/27/2012 | 695,384 | ||||||
| HSBC Holdings plc | ||||||||
| 300,000 | 6.800%, 6/1/2038 | 320,150 | ||||||
| International Lease Finance Corporation | ||||||||
| 850,000 | 5.875%, 5/1/2013 | 870,187 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 250,000 | 3.450%, 3/1/2016 | 254,659 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 350,000 | 5.800%, 1/13/2020d | 350,507 | ||||||
| Marsh & McLennan Companies, Inc. | ||||||||
| 185,000 | 5.750%, 9/15/2015 | 203,305 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 475,000 | 5.000%, 2/3/2014 | 511,391 | ||||||
| MetLife, Inc. | ||||||||
| 200,000 | 5.000%, 6/15/2015 | 218,207 | ||||||
| Northern Trust Corporation | ||||||||
| 500,000 | 3.450%, 11/4/2020 | 485,311 | ||||||
| Preferred Term Securities XXIII, Ltd. | ||||||||
| 1,128,776 | 0.447%, 12/22/2036b,c | 620,827 | ||||||
| Prudential Financial, Inc. | ||||||||
| 275,000 | 5.700%, 12/14/2036 | 264,675 | ||||||
| Wachovia Bank NA | ||||||||
| 500,000 | 4.875%, 2/1/2015 | 536,825 | ||||||
| Washington Mutual Bank FA | ||||||||
| 500,000 | 5.500%, 1/15/2013f | 625 | ||||||
|
| |||||||
| Total Financials | 12,540,587 | |||||||
|
| |||||||
| Foreign Government (2.7%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 750,000 | 4.375%, 2/16/2021d | 778,422 | ||||||
| Chile Government International Bond | ||||||||
| 350,000 | 3.875%, 8/5/2020 | 352,100 | ||||||
| Finland Government International Bond | ||||||||
| 500,000 | 2.250%, 3/17/2016d | 508,778 | ||||||
| Hydro-Quebec | ||||||||
| 27,000 | 8.400%, 1/15/2022 | 37,242 | ||||||
| Italy Government International Bond | ||||||||
| 200,000 | 4.375%, 6/15/2013 | 210,981 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
298
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Bond Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.4%) | Value | ||||||
| Foreign Government (2.7%) - continued | ||||||||
| $ | 700,000 | 5.375%, 6/12/2017 | $ | 759,831 | ||||
| Nova Scotia Government Notes | ||||||||
| 250,000 | 7.250%, 7/27/2013 | 281,451 | ||||||
| Province of New Brunswick | ||||||||
| 250,000 | 2.750%, 6/15/2018 | 246,585 | ||||||
| Quebec Government Notes | ||||||||
| 400,000 | 4.875%, 5/5/2014 | 441,964 | ||||||
| 400,000 | 7.500%, 7/15/2023 | 529,979 | ||||||
|
| |||||||
| Total Foreign Government | 4,147,333 | |||||||
|
| |||||||
| Mortgage-Backed Securities (33.4%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 1,380 | 6.500%, 10/1/2012 | 1,417 | ||||||
| 1,196 | 6.500%, 1/1/2013 | 1,250 | ||||||
| 1,238 | 6.000%, 9/1/2013 | 1,351 | ||||||
| 1,574 | 5.500%, 3/1/2014 | 1,703 | ||||||
| 7,847 | 6.000%, 4/1/2014 | 8,560 | ||||||
| 3,404 | 7.000%, 10/1/2014 | 3,650 | ||||||
| 5,963 | 6.500%, 3/1/2016 | 6,438 | ||||||
| 13,384 | 6.000%, 6/1/2016 | 14,626 | ||||||
| 13,570 | 6.000%, 9/1/2016 | 14,829 | ||||||
| 165,963 | 7.000%, 6/1/2017 | 182,504 | ||||||
| 212,542 | 5.500%, 12/1/2017 | 230,258 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 4,366 | 6.500%, 4/1/2024 | 4,965 | ||||||
| 4,525 | 7.000%, 5/1/2024 | 5,216 | ||||||
| 1,222 | 7.500%, 8/1/2025 | 1,422 | ||||||
| 14,315 | 8.500%, 11/1/2025 | 17,236 | ||||||
| 1,584 | 8.000%, 1/1/2026 | 1,881 | ||||||
| 1,905 | 7.000%, 4/1/2027 | 2,204 | ||||||
| 2,703 | 7.500%, 7/1/2027 | 3,148 | ||||||
| 4,503 | 7.000%, 8/1/2027 | 5,209 | ||||||
| 2,593 | 7.500%, 10/1/2027 | 3,022 | ||||||
| 3,047 | 7.000%, 5/1/2028 | 3,529 | ||||||
| 18,216 | 6.000%, 8/1/2028 | 20,215 | ||||||
| 6,574 | 6.500%, 2/1/2029 | 7,450 | ||||||
| 16,568 | 6.000%, 3/1/2029 | 18,387 | ||||||
| 10,110 | 7.000%, 7/1/2029 | 11,719 | ||||||
| 10,204 | 7.500%, 10/1/2029 | 11,916 | ||||||
| 4,134 | 7.500%, 11/1/2029 | 4,828 | ||||||
| 5,922 | 6.500%, 5/1/2031 | 6,711 | ||||||
| 30,628 | 6.000%, 6/1/2031 | 33,989 | ||||||
| 7,073 | 7.000%, 6/1/2031 | 8,211 | ||||||
| 7,771 | 7.000%, 6/1/2031 | 9,021 | ||||||
| 23,191 | 6.000%, 7/1/2031 | 25,736 | ||||||
| 8,218 | 7.000%, 9/1/2031 | 9,540 | ||||||
| 10,235 | 6.500%, 10/1/2031 | 11,599 | ||||||
| 27,240 | 6.000%, 1/1/2032 | 30,230 | ||||||
| 129,301 | 6.000%, 1/1/2032 | 143,492 | ||||||
| 15,308 | 7.000%, 5/1/2032 | 17,782 | ||||||
| 139,889 | 6.500%, 7/1/2032 | 158,527 | ||||||
| 130,914 | 6.500%, 10/1/2032 | 148,357 | ||||||
| 198,484 | 6.000%, 11/1/2032 | 220,269 | ||||||
| 11,500,000 | 5.000%, 7/1/2041g | 12,200,787 | ||||||
| 2,250,000 | 6.000%, 7/1/2041g | 2,471,132 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 461 | 8.000%, 7/1/2012 | 477 | ||||||
| 822 | 6.500%, 12/1/2012 | 844 | ||||||
| 2,433 | 6.500%, 6/1/2013 | 2,540 | ||||||
| 5,388 | 6.000%, 12/1/2013 | 5,882 | ||||||
| 10,000,000 | 4.000%, 7/1/2026g | 10,415,620 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 4,376 | 10.500%, 8/1/2020 | 5,040 | ||||||
| 3,117 | 8.000%, 12/1/2024 | 3,656 | ||||||
| 3,401 | 7.000%, 10/1/2025 | 3,918 | ||||||
| 15,326 | 6.500%, 11/1/2025 | 17,464 | ||||||
| 753 | 8.500%, 12/1/2025 | 888 | ||||||
| 2,482 | 7.500%, 1/1/2026 | 2,894 | ||||||
| 4,657 | 6.500%, 5/1/2026 | 5,299 | ||||||
| 3,011 | 8.000%, 9/1/2026 | 3,540 | ||||||
| 4,889 | 7.500%, 2/1/2027 | 5,710 | ||||||
| 3,511 | 7.000%, 3/1/2027 | 4,052 | ||||||
| 5,834 | 6.500%, 8/1/2027 | 6,640 | ||||||
| 4,459 | 9.000%, 11/1/2027 | 5,282 | ||||||
| 1,967 | 7.000%, 1/1/2028 | 2,273 | ||||||
| 42,358 | 7.500%, 2/1/2028 | 49,553 | ||||||
| 3,765 | 6.000%, 5/1/2028 | 4,176 | ||||||
| 1,480 | 6.500%, 9/1/2028 | 1,685 | ||||||
| 10,339 | 7.000%, 10/1/2028 | 11,963 | ||||||
| 25,556 | 7.500%, 11/1/2028 | 29,849 | ||||||
| 7,648 | 6.500%, 2/1/2029 | 8,704 | ||||||
| 24,351 | 6.000%, 3/1/2029 | 27,012 | ||||||
| 12,436 | 7.000%, 3/1/2029 | 14,391 | ||||||
| 29,072 | 6.500%, 4/1/2029 | 33,085 | ||||||
| 2,538 | 6.500%, 8/1/2029 | 2,888 | ||||||
| 8,550 | 7.500%, 8/1/2029 | 10,027 | ||||||
| 7,341 | 7.000%, 10/1/2029 | 8,495 | ||||||
| 7,558 | 7.500%, 12/1/2029 | 8,863 | ||||||
| 4,554 | 8.000%, 4/1/2030 | 5,362 | ||||||
| 2,137 | 7.500%, 12/1/2030 | 2,508 | ||||||
| 38,650 | 6.000%, 5/1/2031 | 42,874 | ||||||
| 116,200 | 6.500%, 4/1/2032 | 132,239 | ||||||
| 83,904 | 6.500%, 5/1/2032 | 95,486 | ||||||
| 64,518 | 7.000%, 5/1/2032 | 74,561 | ||||||
| 361,373 | 6.500%, 7/1/2032 | 411,254 | ||||||
| 172,977 | 6.500%, 8/1/2032 | 196,854 | ||||||
| 11,950,000 | 4.500%, 7/1/2041g | 12,362,645 | ||||||
| 10,000,000 | 5.500%, 7/1/2041g | 10,812,500 | ||||||
| Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 7,166 | 7.000%, 9/15/2013 | 7,558 | ||||||
| Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 4,910 | 7.500%, 3/15/2023 | 5,741 | ||||||
| 1,819 | 7.000%, 1/15/2024 | 2,114 | ||||||
| 2,453 | 9.000%, 9/15/2024 | 2,957 | ||||||
| 6,028 | 8.000%, 6/15/2025 | 7,150 | ||||||
| 1,829 | 8.000%, 9/15/2026 | 2,167 | ||||||
| 7,839 | 7.500%, 10/15/2027 | 9,194 | ||||||
| 6,668 | 7.000%, 11/15/2027 | 7,761 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
299
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.4%) | Value | ||||||
| Mortgage-Backed Securities (33.4%) - continued | ||||||||
| $ | 3,585 | 7.000%, 1/15/2028 | $ | 4,178 | ||||
| 7,353 | 6.500%, 7/15/2028 | 8,389 | ||||||
| 5,711 | 7.000%, 8/15/2028 | 6,655 | ||||||
| 47,921 | 7.500%, 11/15/2028 | 56,268 | ||||||
| 8,160 | 6.500%, 12/15/2028 | 9,310 | ||||||
| 30,396 | 6.500%, 3/15/2029 | 34,680 | ||||||
| 2,978 | 6.500%, 4/15/2029 | 3,398 | ||||||
| 6,597 | 8.000%, 10/15/2030 | 7,854 | ||||||
| 11,130 | 7.500%, 1/15/2031 | 13,125 | ||||||
| 4,693 | 7.000%, 4/15/2031 | 5,496 | ||||||
| 16,520 | 6.500%, 6/15/2031 | 18,848 | ||||||
| 17,906 | 7.000%, 9/15/2031 | 20,969 | ||||||
| 186,137 | 6.500%, 1/15/2032 | 212,370 | ||||||
| 28,207 | 6.500%, 4/15/2032 | 32,182 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 51,401,673 | |||||||
|
| |||||||
| Technology (0.7%) | ||||||||
| Hewlett-Packard Company | ||||||||
| 200,000 | 4.300%, 6/1/2021 | 201,955 | ||||||
| International Business Machines Corporation | ||||||||
| 500,000 | 1.000%, 8/5/2013 | 501,439 | ||||||
| Xerox Corporation | ||||||||
| 400,000 | 4.500%, 5/15/2021 | 395,654 | ||||||
|
| |||||||
| Total Technology | 1,099,048 | |||||||
|
| |||||||
| Transportation (0.5%) | ||||||||
| Delta Air Lines, Inc. | ||||||||
| 295,704 | 4.950%, 11/23/2019 | 295,704 | ||||||
| Union Pacific Corporation | ||||||||
| 437,500 | 4.163%, 7/15/2022d | 433,091 | ||||||
|
| |||||||
| Total Transportation | 728,795 | |||||||
|
| |||||||
| U.S. Government and Agencies (39.7%) | ||||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 1,000,000 | 2.125%, 9/15/2015 | 1,017,873 | ||||||
| Federal Home Loan Banks | ||||||||
| 1,000,000 | 3.625%, 5/29/2013 | 1,059,340 | ||||||
| 850,000 | 4.500%, 9/16/2013 | 922,407 | ||||||
| 1,000,000 | 3.625%, 10/18/2013 | 1,067,314 | ||||||
| 3,750,000 | 5.000%, 11/17/2017 | 4,307,659 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 500,000 | 3.750%, 6/28/2013 | 532,895 | ||||||
| 1,000,000 | 5.125%, 11/17/2017 | 1,148,166 | ||||||
| 350,000 | 6.750%, 3/15/2031 | 448,548 | ||||||
| Federal National Mortgage Association | ||||||||
| 2,000,000 | 1.125%, 6/27/2014 | 2,011,102 | ||||||
| 500,000 | 5.960%, 9/11/2028 | 578,327 | ||||||
| 100,000 | 6.250%, 5/15/2029 | 121,410 | ||||||
| Resolution Funding Corporation | ||||||||
| 200,000 | 8.125%, 10/15/2019 | 275,789 | ||||||
| Tennessee Valley Authority | ||||||||
| 250,000 | 6.000%, 3/15/2013 | 272,708 | ||||||
| 350,000 | 5.250%, 9/15/2039 | 370,583 | ||||||
| U.S. Treasury Bonds | ||||||||
| 2,500,000 | 5.250%, 11/15/2028 | 2,885,155 | ||||||
| 2,275,000 | 4.625%, 2/15/2040 | 2,372,042 | ||||||
| U.S. Treasury Notes | ||||||||
| 3,500,000 | 0.375%, 8/31/2012 | 3,504,648 | ||||||
| 2,750,000 | 2.000%, 11/30/2013 | 2,841,523 | ||||||
| 1,500,000 | 2.250%, 5/31/2014 | 1,563,633 | ||||||
| 3,500,000 | 0.750%, 6/15/2014 | 3,495,898 | ||||||
| 2,000,000 | 4.250%, 8/15/2014 | 2,210,468 | ||||||
| 3,000,000 | 2.375%, 8/31/2014 | 3,138,984 | ||||||
| 4,400,000 | 2.000%, 1/31/2016 | 4,485,593 | ||||||
| 4,000,000 | 2.625%, 2/29/2016 | 4,186,248 | ||||||
| 750,000 | 2.750%, 11/30/2016 | 781,934 | ||||||
| 4,250,000 | 3.000%, 2/28/2017 | 4,471,799 | ||||||
| 1,750,000 | 3.250%, 3/31/2017 | 1,863,750 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 997,109 | ||||||
| 1,250,000 | 2.750%, 2/28/2018 | 1,279,980 | ||||||
| 5,525,000 | 3.625%, 2/15/2021 | 5,761,105 | ||||||
| 550,000 | 3.125%, 5/15/2021 | 548,455 | ||||||
| 500,000 | 3.500%, 2/15/2039 | 429,375 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 60,951,820 | |||||||
|
| |||||||
| U.S. Municipals (0.2%) | ||||||||
| Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| 350,000 | 5.720%, 12/1/2038 | 363,482 | ||||||
|
| |||||||
| Total U.S. Municipals | 363,482 | |||||||
|
| |||||||
| Utilities (1.7%) | ||||||||
| CenterPoint Energy Houston Electric, LLC | ||||||||
| 400,000 | 5.600%, 7/1/2023 | 424,856 | ||||||
| Commonwealth Edison Company | ||||||||
| 275,000 | 5.900%, 3/15/2036 | 288,245 | ||||||
| FirstEnergy Corporation | ||||||||
| 27,000 | 7.375%, 11/15/2031 | 30,743 | ||||||
| National Rural Utilities Cooperative Finance Corporation | ||||||||
| 27,000 | 8.000%, 3/1/2032 | 35,191 | ||||||
| Oncor Electric Delivery Company | ||||||||
| 475,000 | 6.375%, 1/15/2015 | 540,398 | ||||||
| ONEOK Partners, LP | ||||||||
| 275,000 | 6.650%, 10/1/2036 | 298,473 | ||||||
| Progress Energy, Inc. | ||||||||
| 400,000 | 7.000%, 10/30/2031 | 466,375 | ||||||
| Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 245,966 | ||||||
| Xcel Energy, Inc. | ||||||||
| 275,000 | 6.500%, 7/1/2036 | 313,373 | ||||||
|
| |||||||
| Total Utilities | 2,643,620 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $164,932,986) | 165,107,320 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
300
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Short-Term Investments (22.3%)h | Value | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 4,100,000 | 0.050%, 7/15/2011 | $ | 4,099,920 | |||||
| 10,000,000 | 0.010%, 7/22/2011 | 9,999,942 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 18,100,000 | 0.005%, 7/8/2011 | 18,099,982 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 2,000,000 | 0.040%, 7/21/2011 | 1,999,956 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 34,199,800 | |||||||
|
| |||||||
| Total Investments (cost $199,132,786) 129.7% | $ | 199,307,120 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (29.7%) | (45,673,790 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 153,633,330 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 2,322,584 | |||||
Commercial Mortgage Pass- Through Certificates | 10/18/2006 | 2,500,000 | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 1,128,776 | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,330,763 | ||||||
| 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 June 30, 2011, the value of these investments was $8,720,975 or 5.7% 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 | Denotes investments purchased on a when-issued or delayed delivery basis. |
| h | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 4,943,283 | ||
Gross unrealized depreciation | (4,835,154 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 108,129 | ||
Cost for federal income tax purposes | $ | 199,198,991 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
301
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Bond Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 5,718,200 | — | 5,718,200 | — | ||||||||||||
Basic Materials | 576,321 | — | 576,321 | — | ||||||||||||
Capital Goods | 1,848,946 | — | 1,848,946 | — | ||||||||||||
Collateralized Mortgage Obligations | 1,823,439 | — | 1,823,439 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 11,672,715 | — | 11,672,715 | — | ||||||||||||
Communications Services | 2,918,600 | — | 2,918,600 | — | ||||||||||||
Consumer Cyclical | 1,354,569 | — | 1,354,569 | — | ||||||||||||
Consumer Non-Cyclical | 3,310,396 | — | 3,310,396 | — | ||||||||||||
Energy | 2,007,776 | — | 2,007,776 | — | ||||||||||||
Financials | 12,540,587 | — | 11,919,760 | 620,827 | ||||||||||||
Foreign Government | 4,147,333 | — | 4,147,333 | — | ||||||||||||
Mortgage-Backed Securities | 51,401,673 | — | 51,401,673 | — | ||||||||||||
Technology | 1,099,048 | — | 1,099,048 | — | ||||||||||||
Transportation | 728,795 | — | 728,795 | — | ||||||||||||
U.S. Government and Agencies | 60,951,820 | — | 60,951,820 | — | ||||||||||||
U.S. Municipals | 363,482 | — | 363,482 | — | ||||||||||||
Utilities | 2,643,620 | — | 2,643,620 | — | ||||||||||||
Short-Term Investments | 34,199,800 | — | 34,199,800 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 199,307,120 | $ | — | $ | 198,686,293 | $ | 620,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation / (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 1,095,928 | — | 65,365 | — | (130,474 | ) | — | (1,030,819 | ) | — | ||||||||||||||||||||||
Financials | 615,298 | — | 48,749 | — | (43,220 | ) | — | — | 620,827 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 1,711,226 | $ | — | $ | 114,114 | $ | — | ($ | 173,694 | ) | $ | — | ($ | 1,030,819 | ) | $ | 620,827 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $28,240. |
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, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 357,000 | $ | 30,483,669 | $ | 30,840,669 | — | $ | — | $ | 2,118 | |||||||||||||
Total Value and Income Earned | 357,000 | — | 2,118 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
302
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.9%) | Value | ||||||
| Asset-Backed Securities (14.4%) | |||||||
| Avis Budget Rental Car Funding | ||||||||
| $ | 5,500,000 | 2.370%, 11/20/2014a | $ | 5,536,229 | ||||
| Bank of America Auto Trust | ||||||||
| 5,509,943 | 1.390%, 3/15/2014a | 5,536,010 | ||||||
| Carrington Mortgage Loan Trust | ||||||||
| 1,400,000 | 0.336%, 8/25/2036b | 451,826 | ||||||
| Chrysler Financial Auto Securitization | ||||||||
| 3,904,250 | 2.820%, 1/15/2016 | 3,952,287 | ||||||
| CIT Equipment | ||||||||
| 1,457,150 | 3.070%, 8/15/2016a | 1,464,922 | ||||||
| Citibank Omni Master Trust | ||||||||
| 6,000,000 | 2.287%, 5/16/2016a,b | 6,072,216 | ||||||
| CNH Equipment Trust | ||||||||
| 3,350,000 | 7.210%, 12/16/2013 | 3,503,651 | ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 924,499 | 5.549%, 8/25/2021c | 835,582 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 2,995,251 | 6.085%, 6/25/2021c | 1,985,358 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 1,905,623 | 5.501%, 12/25/2036 | 1,300,488 | ||||||
| Discover Card Master Trust | ||||||||
| 9,500,000 | 0.837%, 9/15/2015b | 9,577,140 | ||||||
| Enterprise Fleet Financing, LLC | ||||||||
| 6,500,000 | 1.430%, 10/20/2016a | 6,499,350 | ||||||
| First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
| 215,069 | 5.500%, 3/25/2036d,e | 2 | ||||||
| First Horizon ABS Trust | ||||||||
| 813,790 | 0.316%, 9/25/2029b,c | 633,887 | ||||||
| First National Master Note Trust | ||||||||
| 7,500,000 | 1.537%, 7/15/2015b | 7,558,628 | ||||||
| Ford Credit Auto Owner Trust | ||||||||
| 2,329,379 | 3.960%, 5/15/2013 | 2,351,505 | ||||||
| Fosse Master Issuer plc | ||||||||
| 6,500,000 | 1.619%, 10/18/2054a,b | 6,511,564 | ||||||
| GE Capital Credit Card Master Note Trust | ||||||||
| 7,800,000 | 2.540%, 9/15/2014 | 7,832,339 | ||||||
| 7,000,000 | 3.690%, 7/15/2015 | 7,199,122 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,589,585 | 0.366%, 8/25/2035b,c | 1,038,331 | ||||||
| 2,462,475 | 5.750%, 10/25/2036c | 1,615,470 | ||||||
| 3,763,361 | 0.366%, 12/25/2036b,c | 2,471,328 | ||||||
| Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 3,540,100 | 0.266%, 8/25/2036b | 3,248,541 | ||||||
| GSAMP Trust | ||||||||
| 3,176,736 | 0.366%, 2/25/2036b | 2,627,504 | ||||||
| Harley-Davidson Motorcycle Trust | ||||||||
| 1,703,880 | 3.190%, 11/15/2013 | 1,718,065 | ||||||
| Household Home Equity Loan Trust | ||||||||
| 721,278 | 5.320%, 3/20/2036 | 720,302 | ||||||
| John Deere Owner Trust | ||||||||
| 3,500,000 | 3.960%, 5/16/2016 | 3,598,368 | ||||||
| Mortgage Equity Conversion Asset Trust | ||||||||
| 6,098,968 | 0.640%, 1/25/2042b,d | 5,840,372 | ||||||
| 6,018,868 | 0.730%, 2/25/2042b,d | 5,766,678 | ||||||
| Nissan Auto Receivables Owner Trust | ||||||||
| 3,067,034 | 4.280%, 6/16/2014 | 3,109,626 | ||||||
| 6,000,000 | 4.740%, 8/17/2015 | 6,258,678 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 3,836,390 | 5.608%, 5/25/2036 | 2,749,986 | ||||||
| 1,250,000 | 5.285%, 1/25/2037 | 900,626 | ||||||
| Santander Drive Auto Receivables Trust | ||||||||
| 6,103,164 | 0.950%, 8/15/2013 | 6,108,925 | ||||||
| SLM Student Loan Trust | ||||||||
| 12,000,000 | 0.344%, 4/27/2020b | 11,915,556 | ||||||
| 12,000,000 | 0.344%, 4/25/2022b | 11,905,284 | ||||||
| 7,591,228 | 0.354%, 4/25/2023b | 7,573,867 | ||||||
| 4,069,315 | 0.586%, 3/25/2025b | 4,063,032 | ||||||
| 10,691,147 | 0.706%, 3/25/2026b | 10,700,759 | ||||||
| USAA Auto Owner Trust | ||||||||
| 5,500,000 | 4.770%, 9/15/2014 | 5,723,201 | ||||||
| Volkswagen Auto Lease Trust | ||||||||
| 1,433,757 | 3.410%, 4/16/2012 | 1,438,078 | ||||||
| Volkswagen Auto Loan Enhanced Trust | ||||||||
| 2,454,753 | 1.310%, 1/20/2014 | 2,466,162 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 1,663,454 | 0.326%, 7/25/2037b,c,d | 1,288,523 | ||||||
| Wachovia Student Loan Trust | ||||||||
| 9,000,000 | 0.384%, 7/27/2020b | 8,948,223 | ||||||
| World Financial Network Credit Card | ||||||||
| 9,000,000 | 4.600%, 9/15/2015 | 9,125,469 | ||||||
| World Omni Auto Receivables Trust | ||||||||
| 4,500,000 | 1.340%, 12/16/2013 | 4,518,243 | ||||||
| 2,000,000 | 5.120%, 5/15/2014 | 2,092,236 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 208,333,539 | |||||||
|
| |||||||
| Basic Materials (0.9%) | |||||||
| ArcelorMittal | ||||||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,983,975 | ||||||
| 3,250,000 | 3.750%, 8/5/2015 | 3,323,183 | ||||||
| Dow Chemical Company | ||||||||
| 2,500,000 | 4.850%, 8/15/2012 | 2,611,138 | ||||||
| 2,000,000 | 2.500%, 2/15/2016 | 1,985,578 | ||||||
| Noble Group, Ltd. | ||||||||
| 2,000,000 | 4.875%, 8/5/2015a | 2,090,000 | ||||||
|
| |||||||
| Total Basic Materials | 12,993,874 | |||||||
|
| |||||||
| Capital Goods (1.4%) | |||||||
| Caterpillar, Inc. | ||||||||
| 4,500,000 | 1.375%, 5/27/2014 | 4,518,221 | ||||||
| CRH America, Inc. | ||||||||
| 2,000,000 | 4.125%, 1/15/2016 | 2,046,230 | ||||||
| Danaher Corporation | ||||||||
| 2,000,000 | 0.497%, 6/21/2013b | 2,002,754 | ||||||
| Eaton Corporation | ||||||||
| 3,000,000 | 0.575%, 6/16/2014b | 3,003,507 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
303
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.9%) | Value | ||||||
| Capital Goods (1.4%) - continued | |||||||
| Hutchinson Whampoa Finance, Ltd. | ||||||||
| $ | 3,300,000 | 4.625%, 9/11/2015a | $ | 3,506,824 | ||||
| Textron, Inc. | ||||||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,995,809 | ||||||
| Waste Management, Inc. | ||||||||
| 2,350,000 | 6.375%, 3/11/2015 | 2,688,957 | ||||||
|
| |||||||
| Total Capital Goods | 20,762,302 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (4.0%) | |||||||
| American Home Mortgage Assets Trust | ||||||||
| 3,558,697 | 1.198%, 11/25/2046b | 1,649,534 | ||||||
| Banc of America Mortgage Securities, Inc. | ||||||||
| 1,573,070 | 3.199%, 9/25/2035 | 1,289,052 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 1,962,358 | 2.560%, 10/25/2035b | 1,713,217 | ||||||
| Chase Mortgage Finance Corporation | ||||||||
| 1,146,351 | 5.354%, 1/25/2036 | 152,975 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 2,080,550 | 5.500%, 11/25/2035 | 1,973,323 | ||||||
| 1,439,232 | 5.500%, 2/25/2036 | 1,188,745 | ||||||
| 2,158,147 | 6.000%, 1/25/2037 | 1,515,744 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 2,850,613 | 2.727%, 3/20/2036 | 1,583,923 | ||||||
| 2,719,645 | 4.757%, 9/20/2036 | 1,546,559 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 4,482,697 | 1.050%, 4/25/2047b | 2,871,916 | ||||||
| Federal National Mortgage Association | ||||||||
| 11,777,661 | 2.250%, 6/25/2025 | 11,959,932 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 4,070,310 | 0.376%, 8/25/2046b | 3,316,371 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 2,019,503 | 2.234%, 4/25/2037 | 1,244,671 | ||||||
| Impac CMB Trust | ||||||||
| 1,110,465 | 0.706%, 4/25/2035b | 918,211 | ||||||
| 782,936 | 0.506%, 8/25/2035b | 575,365 | ||||||
| J.P. Morgan Alternative Loan Trust | ||||||||
| 4,360,012 | 2.711%, 3/25/2036 | 2,877,852 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 856,487 | 5.646%, 6/25/2036 | 846,842 | ||||||
| 694,182 | 5.346%, 10/25/2036 | 573,917 | ||||||
| Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 2,360,421 | 2.624%, 6/25/2035 | 2,017,334 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 1,872,460 | 3.807%, 9/25/2035 | 1,233,256 | ||||||
| Thornburg Mortgage Securities Trust | ||||||||
| 1,189,146 | 0.296%, 11/25/2046b | 1,174,280 | ||||||
| Wachovia Mortgage Loan Trust, LLC | ||||||||
| 2,196,228 | 2.937%, 5/20/2036 | 1,570,261 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 3,906,682 | 1.158%, 10/25/2046b | 2,515,180 | ||||||
| 3,783,893 | 1.098%, 12/25/2046b | 2,345,586 | ||||||
| 3,993,547 | 1.018%, 1/25/2047b | 2,231,578 | ||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 3,674,772 | 1.198%, 9/25/2046b | 1,692,200 | ||||||
| 5,443,879 | 1.028%, 2/25/2047b | 2,628,713 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates | ||||||||
| 1,310,671 | 0.476%, 10/25/2045b | 1,072,972 | ||||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 596,973 | 2.756%, 3/25/2036 | 532,517 | ||||||
| 1,597,914 | 2.819%, 3/25/2036 | 1,345,463 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 58,157,489 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (7.8%) | |||||||
| Banc of America Large Loan, Inc. | ||||||||
| 405,200 | 0.297%, 10/15/2019a,b | 401,603 | ||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 6,500,000 | 1.500%, 3/28/2014a | 6,553,885 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 6,750,000 | 5.613%, 6/11/2050 | 6,961,646 | ||||||
| 3,716,134 | 0.337%, 3/15/2022b,d | 3,579,086 | ||||||
| 1,742,510 | 5.853%, 6/11/2040 | 1,800,884 | ||||||
| 2,749,367 | 5.205%, 2/11/2044 | 2,790,616 | ||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,112,424 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,183,129 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 4,000,000 | 0.367%, 6/15/2022b,d | 3,643,916 | ||||||
| 1,500,000 | 5.306%, 12/10/2046 | 1,606,276 | ||||||
| Credit Suisse AG Guernsey | ||||||||
| 2,000,000 | 2.600%, 5/27/2016a | 1,995,240 | ||||||
| Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 6,393,071 | 4.691%, 4/15/2037 | 6,504,463 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 4,000,000 | 5.467%, 9/15/2039 | 4,313,828 | ||||||
| Government National Mortgage Association | ||||||||
| 5,488,701 | 2.870%, 3/16/2051 | 5,655,300 | ||||||
| 10,765,352 | 2.164%, 3/16/2033 | 10,931,945 | ||||||
| 9,779,369 | 3.214%, 1/16/2040 | 10,153,655 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,000,000 | 5.074%, 1/5/2036 | 3,103,635 | ||||||
| 5,500,000 | 5.224%, 4/10/2037 | 5,905,455 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
304
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.9%) | Value | ||||||
| Commercial Mortgage-Backed Securities (7.8%) - continued | ||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| $6,500,000 | 5.429%, 12/12/2043 | $ | 7,014,755 | |||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 7,864,959 | 5.303%, 2/15/2040 | 8,023,288 | ||||||
| 2,400,000 | 6.375%, 9/15/2045 | 2,358,886 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 2,400,000 | 5.406%, 3/15/2044 | 2,251,272 | ||||||
| 4,348,695 | 5.776%, 4/12/2049 | 4,414,139 | ||||||
| NCUA Guaranteed Notes | ||||||||
| 5,000,000 | 2.900%, 10/29/2020 | 4,990,660 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,500,000 | 5.765%, 7/15/2045 | 2,739,378 | ||||||
| WaMu Commercial Mortgage Securities Trust | ||||||||
| 364,349 | 3.830%, 1/25/2035a | 366,737 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 113,356,101 | |||||||
|
| |||||||
| Communications Services (2.7%) | ||||||||
| Alltel Corporation | ||||||||
| 2,675,000 | 7.000%, 7/1/2012 | 2,837,720 | ||||||
| CBS Corporation | ||||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,186,903 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 3,250,000 | 4.523%, 1/15/2015a | 3,396,790 | ||||||
| 2,500,000 | 3.214%, 8/15/2015a | 2,538,467 | ||||||
| 1,650,000 | 4.174%, 8/15/2017a | 1,676,438 | ||||||
| GTP Acquisition Partners I, LLC | ||||||||
| 2,000,000 | 4.347%, 6/15/2016a,f | 2,009,920 | ||||||
| Qwest Communications International, Inc. | ||||||||
| 2,000,000 | 7.125%, 4/1/2018 | 2,147,500 | ||||||
| Qwest Corporation | ||||||||
| 5,000,000 | 8.875%, 3/15/2012 | 5,262,500 | ||||||
| SBA Tower Trust | ||||||||
| 4,500,000 | 4.254%, 4/15/2015a | 4,734,126 | ||||||
| Telecom Italia Capital SA | ||||||||
| 4,000,000 | 4.950%, 9/30/2014 | 4,170,672 | ||||||
| Telemar Norte Leste SA | ||||||||
| 1,000,000 | 5.500%, 10/23/2020a | 987,500 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 2,400,000 | 5.400%, 7/2/2012 | 2,508,900 | ||||||
| 3,350,000 | 7.500%, 4/1/2014 | 3,859,384 | ||||||
|
| |||||||
| Total Communications Services | 39,316,820 | |||||||
|
| |||||||
| Consumer Cyclical (1.1%) | ||||||||
| Daimler Finance North America, LLC | ||||||||
| 4,000,000 | 0.856%, 3/28/2014a,b | 4,001,668 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 2,750,000 | 7.000%, 4/15/2015 | 2,970,437 | ||||||
| Harley-Davidson Financial Services, Inc. | ||||||||
| 1,250,000 | 3.875%, 3/15/2016a | 1,271,307 | ||||||
| KIA Motors Corporation | ||||||||
| 2,000,000 | 3.625%, 6/14/2016a | 1,978,392 | ||||||
| RCI Banque SA | ||||||||
| 1,500,000 | 4.600%, 4/12/2016a | 1,532,285 | ||||||
| Volkswagen International Finance NV | ||||||||
| 4,000,000 | 1.875%, 4/1/2014a | 4,025,012 | ||||||
|
| |||||||
| Total Consumer Cyclical | 15,779,101 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.8%) | ||||||||
| Altria Group, Inc. | ||||||||
| 4,000,000 | 4.125%, 9/11/2015 | 4,238,748 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2,500,000 | 0.824%, 1/27/2014b | 2,508,970 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 1,500,000 | 4.100%, 3/15/2016 | 1,562,505 | ||||||
| Cargill, Inc. | ||||||||
| 2,146,000 | 4.307%, 5/14/2021a | 2,162,728 | ||||||
| Celgene Corporation | ||||||||
| 2,500,000 | 2.450%, 10/15/2015 | 2,485,072 | ||||||
| Express Scripts, Inc. | ||||||||
| 2,000,000 | 3.125%, 5/15/2016 | 2,012,324 | ||||||
| General Mills, Inc. | ||||||||
| 2,000,000 | 0.611%, 5/16/2014b | 2,008,270 | ||||||
| Kraft Foods, Inc. | ||||||||
| 2,500,000 | 4.125%, 2/9/2016 | 2,673,243 | ||||||
| Quest Diagnostics, Inc. | ||||||||
| 3,000,000 | 1.096%, 3/24/2014b | 3,025,419 | ||||||
| Teva Pharmaceutical Finance III BV | ||||||||
| 3,000,000 | 0.747%, 3/21/2014b | 3,011,688 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 25,688,967 | |||||||
|
| |||||||
| Energy (3.3%) | ||||||||
| Anadarko Petroleum Corporation | ||||||||
| 1,500,000 | 6.375%, 9/15/2017 | 1,719,501 | ||||||
| BP Capital Markets plc | ||||||||
| 4,000,000 | 0.850%, 3/11/2014b | 4,019,600 | ||||||
| Cameron International Corporation | ||||||||
| 3,000,000 | 1.183%, 6/2/2014b | 3,012,057 | ||||||
| Cenovus Energy, Inc. | ||||||||
| 2,000,000 | 4.500%, 9/15/2014 | 2,170,610 | ||||||
| CNPC HK Overseas Capital, Ltd. | ||||||||
| 2,750,000 | 3.125%, 4/28/2016a | 2,718,543 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 2,000,000 | 6.000%, 7/1/2013 | 2,161,402 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 4,000,000 | 3.200%, 2/1/2016 | 4,063,304 | ||||||
| International Petroleum Investment Company, Ltd. | ||||||||
| 2,000,000 | 3.125%, 11/15/2015a | 1,980,000 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 1,250,000 | 3.500%, 3/1/2016 | 1,286,956 | ||||||
| Occidental Petroleum Corporation | ||||||||
| 3,000,000 | 1.450%, 12/13/2013 | 3,032,766 | ||||||
| ONEOK Partners, LP | ||||||||
| 3,650,000 | 3.250%, 2/1/2016 | 3,712,557 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
305
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.9%) | Value | ||||||
| Energy (3.3%) - continued | ||||||||
| Rowan Companies, Inc. | ||||||||
| $1,500,000 | 5.000%, 9/1/2017 | $ | 1,604,897 | |||||
| Schlumberger SA | ||||||||
| 3,500,000 | 2.650%, 1/15/2016a | 3,542,252 | ||||||
| Statoil ASA | ||||||||
| 3,214,000 | 5.125%, 4/30/2014a | 3,550,040 | ||||||
| Transocean, Inc., Convertible | ||||||||
| 2,900,000 | 1.500%, 12/15/2037 | 2,896,375 | ||||||
| Valero Energy Corporation | ||||||||
| 2,000,000 | 4.500%, 2/1/2015 | 2,135,012 | ||||||
| 650,000 | 6.125%, 2/1/2020 | 714,308 | ||||||
| Williams Partners, LP | ||||||||
| 3,000,000 | 3.800%, 2/15/2015 | 3,142,485 | ||||||
|
| |||||||
| Total Energy | 47,462,665 | |||||||
|
| |||||||
| Financials (28.6%) | ||||||||
| Abbey National Treasury Services plc | ||||||||
| 3,000,000 | 3.875%, 11/10/2014a | 3,055,053 | ||||||
| ABN Amro Bank NV | ||||||||
| 6,500,000 | 2.043%, 1/30/2014a,b | 6,634,940 | ||||||
| Achmea Hypotheekbank NV | ||||||||
| 10,000,000 | 3.200%, 11/3/2014a | 10,496,020 | ||||||
| Ally Financial, Inc. | ||||||||
| 1,750,000 | 4.500%, 2/11/2014 | 1,750,000 | ||||||
| American International Group, Inc. | ||||||||
| 2,000,000 | 5.050%, 10/1/2015 | 2,087,540 | ||||||
| Banco BTG Pactual SA | ||||||||
| 4,000,000 | 4.875%, 7/8/2016a,f,g | 3,978,120 | ||||||
| Banco do Brasil SA | ||||||||
| 700,000 | 5.875%, 1/26/2022a | 692,300 | ||||||
| Bank of America Corporation | ||||||||
| 3,000,000 | 1.693%, 1/30/2014b | 3,006,912 | ||||||
| Bank of Montreal | ||||||||
| 6,000,000 | 2.625%, 1/25/2016a | 6,105,624 | ||||||
| Bank of Nova Scotia | ||||||||
| 4,500,000 | 1.450%, 7/26/2013a | 4,551,660 | ||||||
| Barclays Bank plc | ||||||||
| 1,800,000 | 2.375%, 1/13/2014 | 1,821,377 | ||||||
| 6,000,000 | 2.500%, 9/21/2015a | 5,950,788 | ||||||
| Barclays Bank plc, Convertible | ||||||||
| 4,500,000 | 1.000%, 6/25/2017h | 5,056,650 | ||||||
| Bear Stearns Companies, LLC | ||||||||
| 2,500,000 | 6.400%, 10/2/2017 | 2,852,335 | ||||||
| 2,200,000 | 4.650%, 7/2/2018 | 2,278,555 | ||||||
| Berkshire Hathaway Finance Corporation | ||||||||
| 3,250,000 | 0.408%, 1/13/2012b | 3,252,291 | ||||||
| 3,000,000 | 2.450%, 12/15/2015 | 3,037,377 | ||||||
| BNP Paribas Home Loan Covered Bonds SA | ||||||||
| 8,500,000 | 2.200%, 11/2/2015a | 8,306,506 | ||||||
| Caisse centrale Desjardins du Quebec | ||||||||
| 4,000,000 | 2.550%, 3/24/2016a | 4,027,504 | ||||||
| CalEnergy Capital Trust III, Convertible, 6.500% | ||||||||
| 40,000 | 6.500%, 9/1/2027 | 2,012,000 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 6,500,000 | 2.000%, 2/4/2013a | 6,622,018 | ||||||
| Capital One Bank USA NA | ||||||||
| 1,000,000 | 8.800%, 7/15/2019 | 1,227,241 | ||||||
| CDP Financial, Inc. | ||||||||
| 6,000,000 | 3.000%, 11/25/2014a | 6,241,446 | ||||||
| Cie de Financement Foncier | ||||||||
| 7,500,000 | 2.250%, 3/7/2014a | 7,581,615 | ||||||
| Citigroup, Inc. | ||||||||
| 5,000,000 | 6.000%, 12/13/2013 | 5,436,395 | ||||||
| 4,600,000 | 1.235%, 4/1/2014b,i | 4,534,896 | ||||||
| CME Group Index Services, LLC | ||||||||
| 3,000,000 | 4.400%, 3/15/2018a | 3,156,687 | ||||||
| CNA Financial Corporation | ||||||||
| 3,000,000 | 6.500%, 8/15/2016 | 3,348,108 | ||||||
| Commonwealth Bank of Australia | ||||||||
| 6,700,000 | 2.500%, 12/10/2012a | 6,870,595 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 3,000,000 | 2.125%, 10/13/2015 | 2,971,842 | ||||||
| Credit Agricole Home Loan SFH | ||||||||
| 6,000,000 | 1.024%, 7/21/2014a,b | 6,001,872 | ||||||
| Credit Suisse New York, New York, Convertible | ||||||||
| 1,600,000 | 0.500%, 6/22/2018 | 1,588,480 | ||||||
| Credit Suisse Securities USA, LLC, Convertible | ||||||||
| 5,500,000 | 1.000%, 4/28/2017h | 5,598,450 | ||||||
| Danske Bank AS | ||||||||
| 4,500,000 | 3.875%, 4/14/2016a | 4,453,029 | ||||||
| Dexia Credit Local SA | ||||||||
| 9,500,000 | 2.750%, 4/29/2014a | 9,629,200 | ||||||
| DnB NOR Boligkreditt | ||||||||
| 6,500,000 | 2.900%, 3/29/2016a | 6,616,064 | ||||||
| Fifth Third Bancorp | ||||||||
| 550,000 | 3.625%, 1/25/2016 | 554,778 | ||||||
| Fifth Third Bank | ||||||||
| 4,165,000 | 0.371%, 5/17/2013b | 4,099,880 | ||||||
| FUEL Trust | ||||||||
| 2,000,000 | 4.207%, 4/15/2016a | 2,007,626 | ||||||
| 2,300,000 | 3.984%, 6/15/2016a | 2,281,312 | ||||||
| GATX Corporation | ||||||||
| 2,000,000 | 4.750%, 10/1/2012 | 2,081,174 | ||||||
| 2,000,000 | 4.750%, 5/15/2015 | 2,121,938 | ||||||
| General Electric Capital Corporation | ||||||||
| 5,000,000 | 0.507%, 9/15/2014b | 4,914,210 | ||||||
| 4,500,000 | 2.950%, 5/9/2016 | 4,524,781 | ||||||
| Goldman Sachs Group, Inc., Convertible | ||||||||
| 102,940 | 2.600%, 3/16/2012a,j | 1,381,352 | ||||||
| 2,006 | 0.500%, 3/30/2012a,k | 1,433,195 | ||||||
| HCP, Inc. | ||||||||
| 2,000,000 | 2.700%, 2/1/2014 | 2,028,840 | ||||||
| Health Care REIT, Inc. | ||||||||
| 750,000 | 6.125%, 4/15/2020 | 803,332 | ||||||
| HSBC Bank plc | ||||||||
| 4,500,000 | 1.625%, 8/12/2013a | 4,516,673 | ||||||
| 6,000,000 | 1.625%, 7/7/2014a,f | 5,994,360 | ||||||
| ING Bank NV | ||||||||
| 9,500,000 | 2.500%, 1/14/2016a | 9,333,265 | ||||||
| 2,500,000 | 4.000%, 3/15/2016a | 2,530,095 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
306
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.9%) | Value | ||||||
| Financials (28.6%) - continued | ||||||||
| International Lease Finance Corporation | ||||||||
| $1,100,000 | 8.625%, 9/15/2015i | $ | 1,192,125 | |||||
| Irish Life & Permanent plc | ||||||||
| 8,000,000 | 3.600%, 1/14/2013a | 6,725,672 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 4,000,000 | 0.996%, 9/30/2013b | 4,027,188 | ||||||
| 750,000 | 3.150%, 7/5/2016 | 754,589 | ||||||
| Jefferies Group, Inc. | ||||||||
| 2,000,000 | 5.125%, 4/13/2018 | 2,004,034 | ||||||
| JPMorgan Chase Bank NA | ||||||||
| 1,800,000 | 5.875%, 6/13/2016 | 1,992,467 | ||||||
| KeyCorp | ||||||||
| 3,000,000 | 3.750%, 8/13/2015 | 3,097,080 | ||||||
| Landwirtschaftliche Rentenbank | ||||||||
| 7,000,000 | 0.447%, 3/15/2016a,b | 6,984,635 | ||||||
| Lehman Brothers Holdings E- Capital Trust I | ||||||||
| 3,500,000 | 1.040%, 8/19/2065i,l | 350 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 5,500,000 | 4.375%, 1/12/2015a | 5,581,972 | ||||||
| 300,000 | 6.500%, 9/14/2020a | 282,985 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 2,000,000 | 6.050%, 5/16/2016 | 2,096,780 | ||||||
| MetLife, Inc. | ||||||||
| 3,500,000 | 1.520%, 8/6/2013b | 3,537,002 | ||||||
| Metropolitan Life Global Funding | ||||||||
| 2,680,000 | 5.125%, 4/10/2013a | 2,851,595 | ||||||
| 3,250,000 | 3.650%, 6/14/2018a | 3,218,475 | ||||||
| Morgan Stanley | ||||||||
| 3,000,000 | 4.750%, 4/1/2014 | 3,127,158 | ||||||
| 2,000,000 | 4.200%, 11/20/2014 | 2,077,022 | ||||||
| 3,500,000 | 3.800%, 4/29/2016 | 3,459,358 | ||||||
| National Bank of Canada | ||||||||
| 3,000,000 | 1.650%, 1/30/2014a | 3,042,576 | ||||||
| Nationwide Building Society | ||||||||
| 4,000,000 | 4.650%, 2/25/2015a | 4,142,200 | ||||||
| NCUA Guaranteed Notes | ||||||||
| 4,342,314 | 0.540%, 12/7/2020b | 4,350,497 | ||||||
| Nederlandse Waterschapsbank NV | ||||||||
| 6,500,000 | 1.375%, 5/16/2014a | 6,508,138 | ||||||
| Network Rail Infrastructure Finance plc | ||||||||
| 9,000,000 | 1.500%, 1/13/2014a | 9,123,203 | ||||||
| New York Life Global Funding | ||||||||
| 6,000,000 | 3.000%, 5/4/2015a | 6,205,422 | ||||||
| Nordea Eiendomskreditt AS | ||||||||
| 6,000,000 | 1.875%, 4/7/2014a | 6,060,786 | ||||||
| Oesterreichische Kontrollbank AG | ||||||||
| 9,000,000 | 2.000%, 6/3/2016 | 8,984,448 | ||||||
| ORIX Corporation | ||||||||
| 4,000,000 | 5.000%, 1/12/2016 | 4,150,872 | ||||||
| Private Export Funding Corporation | ||||||||
| 5,000,000 | 2.125%, 7/15/2016 | 4,995,375 | ||||||
| ProLogis Convertible | ||||||||
| 2,000,000 | 2.250%, 4/1/2037 | 1,992,500 | ||||||
| Prudential Financial, Inc. | ||||||||
| 3,000,000 | 5.100%, 9/20/2014 | 3,261,537 | ||||||
| 2,000,000 | 6.100%, 6/15/2017 | 2,246,280 | ||||||
| Rabobank Capital Funding Trust II | ||||||||
| 1,856,000 | 5.260%, 12/29/2049a,m | 1,839,537 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 2,500,000 | 6.450%, 11/15/2019 | 2,715,107 | ||||||
| Royal Bank of Canada | ||||||||
| 6,500,000 | 3.125%, 4/14/2015a | 6,757,127 | ||||||
| Santander US Debt SA Unipersonal | ||||||||
| 1,750,000 | 2.991%, 10/7/2013a | 1,746,019 | ||||||
| SLM Corporation | ||||||||
| 1,500,000 | 8.000%, 3/25/2020 | 1,610,706 | ||||||
| Societe Generale | ||||||||
| 4,000,000 | 1.326%, 4/11/2014a,b | 3,962,252 | ||||||
| Stadshypotek AB | ||||||||
| 6,000,000 | 0.796%, 9/30/2013a,b | 5,994,000 | ||||||
| Standard Chartered plc | ||||||||
| 2,000,000 | 3.850%, 4/27/2015a | 2,070,388 | ||||||
| State Street Capital Trust III | ||||||||
| 2,000,000 | 5.237%, 3/15/2042b,m | 2,000,880 | ||||||
| Svenske Exportkredit AB | ||||||||
| 5,000,000 | 3.250%, 9/16/2014 | 5,297,595 | ||||||
| Swedbank AB | ||||||||
| 5,000,000 | 2.800%, 2/10/2012a | 5,072,205 | ||||||
| Swedbank Hypotek AB | ||||||||
| 7,000,000 | 0.696%, 3/28/2014a,b | 7,038,591 | ||||||
| Toronto-Dominion Bank | ||||||||
| 3,000,000 | 2.200%, 7/29/2015a,i | 3,039,906 | ||||||
| U.S. Bank National Association | ||||||||
| 4,000,000 | 3.778%, 4/29/2020 | 4,141,248 | ||||||
| U.S. Central Federal Credit Union | ||||||||
| 6,500,000 | 1.900%, 10/19/2012 | 6,615,447 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 2,000,000 | 5.500%, 11/15/2012 | 2,121,070 | ||||||
| Vestjysk Bank AS | ||||||||
| 9,500,000 | 0.795%, 6/17/2013a,b | 9,564,572 | ||||||
| Wachovia Corporation | ||||||||
| 4,000,000 | 5.250%, 8/1/2014i | 4,287,460 | ||||||
| WEA Finance, LLC/WT Finance Australia, Pty, Ltd. | ||||||||
| 3,350,000 | 5.750%, 9/2/2015a | 3,721,535 | ||||||
| Westpac Banking Corporation | ||||||||
| 5,000,000 | 0.976%, 3/31/2014a,b | 5,005,395 | ||||||
|
| |||||||
| Total Financials | 416,113,662 | |||||||
|
| |||||||
| Foreign Government (3.9%) | ||||||||
| British Columbia Government Notes | ||||||||
| 6,500,000 | 2.100%, 5/18/2016 | 6,530,895 | ||||||
| Corporacion Andina de Fomento | ||||||||
| 4,500,000 | 5.750%, 1/12/2017 | 4,952,493 | ||||||
| European Investment Bank | ||||||||
| 9,000,000 | 1.250%, 2/14/2014 | 9,058,491 | ||||||
| Finland Government International Bond | ||||||||
| 5,500,000 | 2.250%, 3/17/2016a | 5,596,558 | ||||||
| Hydro Quebec | ||||||||
| 3,000,000 | 2.000%, 6/30/2016 | 2,955,756 | ||||||
| Kommunalbanken AS | ||||||||
| 7,500,000 | 2.750%, 5/5/2015a | 7,823,760 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
307
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.9%) | Value | ||||||
| Foreign Government (3.9%) - continued | ||||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| $10,000,000 | 0.195%, 6/17/2013b | $ | 9,994,180 | |||||
| Mexico Government International Bond | ||||||||
| 1,250,000 | 5.125%, 1/15/2020 | 1,350,000 | ||||||
| Petrobras International Finance Company - Pifco | ||||||||
| 3,000,000 | 3.875%, 1/27/2016 | 3,054,954 | ||||||
| Poland Government International Bond | ||||||||
| 2,000,000 | 5.125%, 4/21/2021 | 2,067,500 | ||||||
| Province of New Brunswick | ||||||||
| 3,000,000 | 2.750%, 6/15/2018 | 2,959,023 | ||||||
|
| |||||||
| Total Foreign Government | 56,343,610 | |||||||
|
| |||||||
| Mortgage-Backed Securities (2.5%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 3,844,341 | 6.500%, 9/1/2037 | 4,334,921 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 12,000,000 | 4.000%, 7/1/2026f | 12,498,744 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 4,835,093 | 5.871%, 9/1/2037b | 5,250,017 | ||||||
| 2,391,826 | 5.746%, 10/1/2037b | 2,597,889 | ||||||
| 10,500,000 | 5.500%, 7/1/2041f | 11,353,125 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 36,034,696 | |||||||
|
| |||||||
| Technology (1.0%) | ||||||||
| Affiliated Computer Services, Inc. | ||||||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,182,662 | ||||||
| Hewlett-Packard Company | ||||||||
| 3,000,000 | 0.654%, 5/30/2014b | 3,013,869 | ||||||
| Symantec Corporation | ||||||||
| 1,000,000 | 2.750%, 9/15/2015 | 990,664 | ||||||
| Texas Instruments, Inc. | ||||||||
| 3,000,000 | 0.439%, 5/15/2013b | 3,008,409 | ||||||
| 2,000,000 | 2.375%, 5/16/2016 | 2,000,616 | ||||||
| Xerox Corporation | ||||||||
| 3,000,000 | 1.081%, 5/16/2014b | 3,014,457 | ||||||
|
| |||||||
| Total Technology | 14,210,677 | |||||||
|
| |||||||
| Transportation (0.9%) | ||||||||
| Continental Airlines, Inc. | ||||||||
| 2,650,000 | 6.750%, 9/15/2015a | 2,663,250 | ||||||
| CSX Corporation | ||||||||
| 2,500,000 | 6.250%, 4/1/2015 | 2,862,400 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 1,750,000 | 6.750%, 5/23/2017 | 1,680,000 | ||||||
| Erac USA Finance Company | ||||||||
| 4,500,000 | 2.750%, 7/1/2013a | 4,590,891 | ||||||
| US Airways Group, Inc. | ||||||||
| 1,900,000 | 6.250%, 4/22/2023 | 1,843,000 | ||||||
|
| |||||||
| Total Transportation | 13,639,541 | |||||||
|
| |||||||
| U.S. Government and Agencies (20.7%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 8,000,000 | Zero Coupon, 1/7/2013a | 7,881,920 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 8,000,000 | 1.250%, 12/6/2013 | 8,085,816 | ||||||
| Federal Farm Credit Bank | ||||||||
| 10,000,000 | 1.375%, 6/25/2013 | 10,183,030 | ||||||
| Federal Home Loan Banks | ||||||||
| 10,000,000 | 0.147%, 2/10/2012b | 10,000,520 | ||||||
| Federal National Mortgage Association | ||||||||
| 7,000,000 | 5.125%, 1/2/2014 | 7,681,793 | ||||||
| 11,600,000 | 1.125%, 6/27/2014 | 11,664,392 | ||||||
| U.S. Treasury Bonds | ||||||||
| 175,000 | 4.625%, 2/15/2040 | 182,465 | ||||||
| 3,500,000 | 4.375%, 5/15/2041 | 3,494,540 | ||||||
| U.S. Treasury Notes | ||||||||
| 8,500,000 | 0.625%, 12/31/2012 | 8,534,867 | ||||||
| 6,000,000 | 0.750%, 12/15/2013 | 6,019,686 | ||||||
| 19,500,000 | 1.500%, 12/31/2013 | 19,918,938 | ||||||
| 25,800,000 | 2.250%, 5/31/2014 | 26,894,487 | ||||||
| 52,550,000 | 0.750%, 6/15/2014 | 52,488,411 | ||||||
| 17,500,000 | 2.375%, 9/30/2014 | 18,314,835 | ||||||
| 51,750,000 | 2.000%, 1/31/2016 | 52,756,693 | ||||||
| 7,750,000 | 2.000%, 4/30/2016 | 7,867,490 | ||||||
| 4,750,000 | 1.750%, 5/31/2016 | 4,757,410 | ||||||
| 1,875,000 | 2.750%, 2/28/2018 | 1,919,970 | ||||||
| 500,000 | 3.125%, 5/15/2021 | 498,595 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 11,301,314 | 2.500%, 7/15/2016 | 12,932,942 | ||||||
| 10,636,411 | 1.875%, 7/15/2019 | 11,895,326 | ||||||
| 15,418,650 | 1.125%, 1/15/2021 | 16,011,312 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 299,985,438 | |||||||
|
| |||||||
| Utilities (0.9%) | ||||||||
| CMS Energy Corporation | ||||||||
| 2,000,000 | 4.250%, 9/30/2015 | 2,057,104 | ||||||
| Commonwealth Edison Company | ||||||||
| 3,300,000 | 1.625%, 1/15/2014 | 3,323,268 | ||||||
| National Rural Utilities Cooperative Finance Corporation | ||||||||
| 2,650,000 | 5.500%, 7/1/2013 | 2,886,939 | ||||||
| Oncor Electric Delivery Company | ||||||||
| 2,700,000 | 5.750%, 9/30/2020 | 2,929,557 | ||||||
| ONEOK Partners, LP | ||||||||
| 650,000 | 8.625%, 3/1/2019 | 826,356 | ||||||
| Power Receivables Finance, LLC | ||||||||
| 92,719 | 6.290%, 1/1/2012d | 92,854 | ||||||
| Virginia Electric & Power Company | ||||||||
| 1,360,000 | 5.100%, 11/30/2012 | 1,440,362 | ||||||
|
| |||||||
| Total Utilities | 13,556,440 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,399,429,682) | 1,391,734,922 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
308
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
| Shares | Mutual Funds (1.4%) | Value | ||||||
| Fixed Income Mutual Funds (1.4%) | ||||||||
| 4,208,125 | Thrivent High Yield Fund | $ | 20,493,570 | |||||
|
| |||||||
| Total Fixed Income Mutual Funds | 20,493,570 | |||||||
|
| |||||||
Total Mutual Funds (cost $15,500,000) | 20,493,570 | |||||||
|
| |||||||
Preferred Stock (0.5%) | ||||||||
| Financials (0.5%) | ||||||||
| 18,750 | Citigroup, Inc., Convertible, 7.500% | 2,252,812 | ||||||
| 148,505 | Federal National Mortgage Association, 8.250%m,n | 319,286 | ||||||
| 97,190 | Goldman Sachs Group, Inc. Reverse Convertiblea,n,o | 2,508,960 | ||||||
| 66,000 | HSBC Holdings plc, 8.000%m | 1,794,540 | ||||||
|
| |||||||
| Total Financials | 6,875,598 | |||||||
|
| |||||||
Total Preferred Stock (cost $9,237,484) | 6,875,598 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.6%) | ||||||||
| 8,973,458 | Thrivent Financial Securities Lending Trust | 8,973,458 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $8,973,458) | 8,973,458 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (3.3%)p | |||||||
| Barton Capital LLC | ||||||||
| 7,660,000 | 0.070%, 7/1/2011q | 7,660,000 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.050%, 7/15/2011 | 9,999,805 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 4,170,000 | 0.159%, 8/29/2011r,s | 4,168,929 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 10,000,000 | 0.040%, 7/13/2011 | 9,999,867 | ||||||
| Proctor & Gamble International Funding SCA | ||||||||
| 9,295,000 | 0.080%, 7/11/2011 | 9,294,794 | ||||||
| Thunder Bay Funding, LLC | ||||||||
| 7,000,000 | 0.130%, 7/21/2011 | 6,999,494 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 48,122,889 | |||||||
|
| |||||||
| Total Investments (cost $1,481,263,513) 101.7% | $ | 1,476,200,437 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.7%) | (24,251,002 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,451,949,435 | ||||||
|
| |||||||
| 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 June 30, 2011, the value of these investments was $376,693,492 or 25.9% 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 June 30, 2011. |
| 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 June 30, 2011. |
| Acquisition | Amortized | |||||||
Security | Date | Cost | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | 3/30/2007 | $ | 3,716,134 | |||||
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 | $ | 6,018,868 | |||||
Mortgage Equity Conversion Asset Trust | 1/18/2007 | $ | 6,098,968 | |||||
Power Receivables Finance, LLC | 9/30/2003 | $ | 92,692 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 1,663,454 | |||||
| e | Defaulted security. Interest is not being accrued. |
| f | Denotes investments purchased on a when-issued or delayed delivery basis. |
| g | Security is fair valued. |
| h | Denotes equity-linked structured securities. These securities are linked to the S&P 500 Index. |
| i | All or a portion of the security is on loan. |
| j | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of RadioShack Corporation. |
| k | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of Kubota Corporation. |
| l | In bankruptcy. Interest is not being accrued. |
| m | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| n | Non-income producing security. |
| o | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of Microsoft Corporation. |
| p | The interest rate shown reflects the yield, coupon rate or 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 June 30, 2011, $2,799,281 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| s | At June 30, 2011, $469,879 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
309
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
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 | $ | 33,078,759 | ||
Gross unrealized depreciation | (38,953,964 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (5,875,205 | ) | |
Cost for federal income tax purposes | $ | 1,482,075,642 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
310
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Limited Maturity Bond Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 208,333,539 | — | 190,227,139 | 18,106,400 | ||||||||||||
Basic Materials | 12,993,874 | — | 12,993,874 | — | ||||||||||||
Capital Goods | 20,762,302 | — | 20,762,302 | — | ||||||||||||
Collateralized Mortgage Obligations | 58,157,489 | — | 58,157,489 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 113,356,101 | — | 113,356,101 | — | ||||||||||||
Communications Services | 39,316,820 | — | 39,316,820 | — | ||||||||||||
Consumer Cyclical | 15,779,101 | — | 15,779,101 | — | ||||||||||||
Consumer Non-Cyclical | 25,688,967 | — | 25,688,967 | — | ||||||||||||
Energy | 47,462,665 | — | 47,462,665 | — | ||||||||||||
Financials | 416,113,662 | — | 397,077,415 | 19,036,247 | ||||||||||||
Foreign Government | 56,343,610 | — | 56,343,610 | — | ||||||||||||
Mortgage-Backed Securities | 36,034,696 | — | 36,034,696 | — | ||||||||||||
Technology | 14,210,677 | — | 14,210,677 | — | ||||||||||||
Transportation | 13,639,541 | — | 13,639,541 | — | ||||||||||||
U.S. Government and Agencies | 299,985,438 | — | 299,985,438 | — | ||||||||||||
Utilities | 13,556,440 | — | 13,556,440 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 20,493,570 | 20,493,570 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 6,875,598 | 4,366,638 | — | 2,508,960 | ||||||||||||
Collateral Held for Securities Loaned | 8,973,458 | 8,973,458 | — | — | ||||||||||||
Short-Term Investments | 48,122,889 | — | 48,122,889 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,476,200,437 | $ | 33,833,666 | $ | 1,402,715,164 | $ | 39,651,607 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Credit Default Swaps | 75,528 | — | 75,528 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 75,528 | $ | — | $ | 75,528 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,744,780 | 1,744,780 | — | — | ||||||||||||
Credit Default Swaps | 45,730 | — | 45,730 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,790,510 | $ | 1,744,780 | $ | 45,730 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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, 2010 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed | ||||||||||||||||||||||||||||||||
Income Asset-Backed | (416,482 | ) | ||||||||||||||||||||||||||||||
Securities | 13,112,902 | — | 198,786 | 6,499,717 | — | (1,288,523 | ) | 18,106,400 | ||||||||||||||||||||||||
Financials | 18,030,517 | 24,783 | (138,549 | ) | 11,216,548 | (3,237,595 | ) | — | (4,350,497 | ) | 21,545,207 | |||||||||||||||||||||
Transportation | 11,511,420 | 753,355 | (939,701 | ) | — | (11,325,074 | ) | — | — | — | ||||||||||||||||||||||
U.S. Government and Agencies | 6,714,931 | 3,637 | 1 | — | (6,718,569 | ) | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 49,369,770 | $ | 781,775 | ($ | 879,463 | ) | $ | 17,716,265 | ($ | 21,697,720 | ) | $ | 0 | ($ | 5,639,020 | ) | $ | 39,651,607 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $61,743. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (55 | ) | September 2011 | ($ | 12,037,098 | ) | ($ | 12,063,906 | ) | ($ | 26,808 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | (1,865 | ) | September 2011 | (220,821,968 | ) | (222,299,253 | ) | (1,477,285 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (425 | ) | September 2011 | (51,752,416 | ) | (51,989,455 | ) | (237,039 | ) | |||||||||||
20-Yr. U.S. Treasury Bond Futures | 5 | September 2011 | 618,804 | 615,156 | (3,648 | ) | ||||||||||||||
Total Futures Contracts | ($ | 1,744,780 | ) | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 16, 5 Year, at 5.00%; Bank of America | Buy | 6/20/2016 | $ | 23,500,000 | $ | 447,338 | ($ | 371,810 | ) | $ | 75,528 | |||||||||||
CDX IG, Series 16, 5 Year, at 1.00%; J.P. Morgan Chase and Co. | Buy | 6/20/2016 | 23,500,000 | 43,319 | (89,049 | ) | (45,730 | ) | ||||||||||||||
Total Credit Default Swaps | ($ | 460,859 | ) | $ | 29,798 | |||||||||||||||||
| 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 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 value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The 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 June 30, 2011, 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 | ||||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 75,528 | ||||
Total Credit Contracts | 75,528 | |||||
|
| |||||
Total Asset Derivatives | $ | 75,528 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,744,780 | ||||
Total Interest Rate Contracts | 1,744,780 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 45,730 | ||||
Total Credit Contracts | 45,730 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,790,510 | ||||
|
| |||||
| * | 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.
312
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 30, 2011, 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 | (574,408 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (2,125,978 | ) | |||
Total Interest Rate Contracts | (2,700,386 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (736,390 | ) | |||
Total Credit Contracts | (736,390 | ) | ||||
|
| |||||
Total | ($ | 3,436,776 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | (6,588,744 | ) | |||
Purchased Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | 41,025 | ||||
Total Interest Rate Contracts | (6,547,719 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 242,550 | ||||
Total Credit Contracts | 242,550 | |||||
|
| |||||
Total | ($ | 6,305,169 | ) | |||
|
| |||||
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Interest Rate | ||||||||||||||||||||
Contracts | $ | 287,407,178 | 20.8 | % | N/A | N/A | 337 | |||||||||||||
Credit Contracts | N/A | N/A | $ | 54,359,914 | 3.9 | % | N/A | |||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at June 30, 2011 | Value June 30, 2011 | Income Earned January 1, 2011 - June 30, 2011 | ||||||||||||||||||
High Yield Fund | $ | 20,367,326 | $ | — | $ | — | 4,208,125 | $ | 20,493,570 | $ | 789,510 | |||||||||||||
Thrivent Financial Securities Lending Trust | 10,590,250 | 157,369,266 | 158,986,058 | 8,973,458 | 8,973,458 | 10,707 | ||||||||||||||||||
Total Value and Income Earned | 30,957,576 | 29,467,028 | 800,217 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
313
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Long-Term Fixed Income (104.1%) | Value | ||||||
| Asset-Backed Securities (9.0%) | ||||||||
| Carrington Mortgage Loan Trust | ||||||||
| $200,000 | 0.336%, 8/25/2036a | $ | 64,546 | |||||
| Countrywide Asset-Backed Certificates | ||||||||
| 195,000 | 5.859%, 10/25/2046 | 107,233 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 127,041 | 5.501%, 12/25/2036 | 86,699 | ||||||
| First Horizon ABS Trust | ||||||||
| 493,830 | 0.316%, 10/25/2026a,b | 400,927 | ||||||
| 866,678 | 0.346%, 10/25/2034a,b | 486,255 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,059,723 | 0.366%, 8/25/2035a,b | 692,221 | ||||||
| Goldman Sachs Alternative Mortgage Products Trust | ||||||||
| 352,249 | 0.266%, 8/25/2036a | 323,238 | ||||||
| Popular ABS Mortgage Pass- Through Trust | ||||||||
| 100,000 | 5.297%, 11/25/2035 | 84,684 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 250,000 | 5.797%, 8/25/2036 | 112,909 | ||||||
| 200,000 | 5.285%, 1/25/2037 | 144,100 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 665,382 | 0.326%, 7/25/2037a,b,c | 515,409 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 3,018,221 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (12.9%) | ||||||||
| Banc of America Mortgage Securities, Inc. | ||||||||
| 449,448 | 3.199%, 9/25/2035 | 368,301 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 237,003 | 5.750%, 4/25/2037 | 173,017 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 146,165 | 5.500%, 10/25/2035 | 135,192 | ||||||
| 143,923 | 5.500%, 2/25/2036 | 118,875 | ||||||
| 172,652 | 6.000%, 1/25/2037 | 121,260 | ||||||
| Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 29,151 | 0.926%, 5/25/2034a | 26,609 | ||||||
| Federal National Mortgage Association | ||||||||
| 441,662 | 2.250%, 6/25/2025 | 448,497 | ||||||
| GSAA Home Equity Trust | ||||||||
| 31,609 | 4.316%, 11/25/2034 | 31,666 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 70,030 | 0.376%, 8/25/2046a | 57,058 | ||||||
| Impac CMB Trust | ||||||||
| 370,155 | 0.706%, 4/25/2035a | 306,070 | ||||||
| 65,319 | 0.506%, 8/25/2035a | 48,002 | ||||||
| J.P. Morgan Alternative Loan Trust | ||||||||
| 27,893 | 0.256%, 11/25/2036a | 27,095 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 182,427 | 6.500%, 1/25/2035 | 178,389 | ||||||
| 81,570 | 5.646%, 6/25/2036 | 80,652 | ||||||
| 94,282 | 5.346%, 10/25/2036 | 77,948 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 247,294 | 6.500%, 5/25/2034 | 256,562 | ||||||
| Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 675,939 | 2.624%, 6/25/2035 | 577,691 | ||||||
| MLCC Mortgage Investors, Inc. | ||||||||
| 198,577 | 0.516%, 8/25/2029a | 180,987 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 163,008 | 5.500%, 12/25/2034 | 164,941 | ||||||
| 210,652 | 3.807%, 9/25/2035 | 138,741 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 137,238 | 5.936%, 10/25/2036 | 127,699 | ||||||
| 72,397 | 5.565%, 8/25/2046 | 58,304 | ||||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 429,821 | 2.756%, 3/25/2036 | 383,412 | ||||||
| 144,283 | 2.872%, 4/25/2036 | 131,579 | ||||||
| 133,064 | 6.000%, 7/25/2037 | 129,068 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 4,347,615 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (8.9%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 75,000 | 5.833%, 4/10/2049 | 71,012 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 52,275 | 5.853%, 6/11/2040 | 54,027 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 250,000 | 5.306%, 12/10/2046 | 267,713 | ||||||
| Government National Mortgage Association | ||||||||
| 293,601 | 2.164%, 3/16/2033 | 298,144 | ||||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 300,000 | 4.786%, 10/15/2029 | 319,129 | ||||||
| 419,449 | 4.553%, 7/15/2030 | 419,925 | ||||||
| 281,327 | 5.303%, 2/15/2040 | 286,990 | ||||||
| 100,000 | 5.866%, 9/15/2045 | 108,735 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 1,250,000 | 0.307%, 9/15/2021a,c | 1,166,387 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 2,992,062 | |||||||
|
| |||||||
| Mortgage-Backed Securities (69.9%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||
| 141,008 | 5.500%, 9/1/2024 | 153,709 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,000,000 | 5.000%, 7/1/2041d | 2,121,876 | ||||||
| 1,200,000 | 6.000%, 7/1/2041d | 1,317,937 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
314
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Principal | Long-Term Fixed Income (104.1%) | Value | ||||||
| Mortgage-Backed Securities (69.9%) - continued | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| $ | 7,300,000 | 4.000%, 7/1/2026d | $ | 7,603,403 | ||||
Federal National Mortgage Association Conventional 20- Yr. Pass Through | ||||||||
| 877,350 | 6.000%, 8/1/2024 | 971,633 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 6,000,000 | 4.500%, 7/1/2041d,e | 6,207,186 | ||||||
| 4,750,000 | 5.500%, 7/1/2041d | 5,135,937 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 23,511,681 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.4%) | ||||||||
U.S. Treasury Notes, TIPS | ||||||||
| 361,865 | 2.500%, 7/15/2016 | 414,109 | ||||||
| 315,933 | 1.875%, 7/15/2019 | 353,326 | ||||||
| 337,941 | 1.375%, 1/15/2020 | 362,390 | ||||||
Total U.S. Government and Agencies | 1,129,825 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $35,880,127) | 34,999,404 | |||||||
|
| |||||||
Short-Term Investments (60.5%)f | ||||||||
Chariot Funding, LLC | ||||||||
| 1,250,000 | 0.130%, 7/8/2011 | 1,249,968 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 17,000,000 | 0.040%, 7/15/2011 | 16,999,736 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 2,000,000 | 0.005%, 7/8/2011 | 1,999,998 | ||||||
| 100,000 | 0.100%, 8/17/2011g | 99,987 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 20,349,689 | |||||||
|
| |||||||
Total Investments (cost $56,229,816) 164.6% | $ | 55,349,093 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (64.6%) | (21,717,991 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 33,631,102 | ||||||
|
| |||||||
| 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 June 30, 2011. |
| 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 June 30, 2011. |
Security | Acquisition Date | Amortized Cost | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 665,382 | |||||
Wachovia Bank Commercial Mortgage Trust | 2/28/2007 | $ | 1,250,107 | |||||
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| e | All or a portion of the security was earmarked to cover written options. |
| f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| g | At June 30, 2011, $99,987 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 628,555 | ||
Gross unrealized depreciation | (1,509,278 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (880,723 | ) | |
Cost for federal income tax purposes | $ | 56,229,816 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
315
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Mortgage Securities Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,018,221 | — | 3,018,221 | — | ||||||||||||
Collateralized Mortgage Obligations | 4,347,615 | — | 4,347,615 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 2,992,062 | — | 2,992,062 | — | ||||||||||||
Mortgage-Backed Securities | 23,511,681 | — | 23,511,681 | — | ||||||||||||
U.S. Government and Agencies | 1,129,825 | — | 1,129,825 | — | ||||||||||||
Short-Term Investments | 20,349,689 | — | 20,349,689 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 55,349,093 | $ | — | $ | 55,349,093 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Call Options Written | 898 | — | — | 898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 898 | $ | — | $ | — | $ | 898 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 250 | 250 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 250 | $ | 250 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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.
Investments in Securities | Value December 31, 2010 | Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) * | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value June 30, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 547,964 | — | 32,682 | — | (65,237 | ) | — | (515,409 | ) | — | ||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Call Options Written | — | — | (898 | ) | — | — | — | — | (898 | ) | ||||||||||||||||||||||
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| |||||||||||||||||
Total | $ | 547,964 | $ | — | $ | 31,784 | $ | — | ($ | 65,237 | ) | $ | — | ($ | 515,409 | ) | ($ | 898 | ) | |||||||||||||
|
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|
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|
|
|
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| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on June 30, 2011 of $898. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 5 | September 2011 | $ | 611,890 | $ | 611,640 | ($ | 250 | ) | |||||||||||
Total Futures Contracts | ($ | 250 | ) | |||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
Federal National Mortgage Association | ||||||||||||||||||||
Conventional 30 Yr. Pass Through | 1 | $ | 104.45 | July 2011 | ($117 | ) | $ | 898 | ||||||||||||
Total Call Options Written | ($117 | ) | $ | 898 | ||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
316
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 30, 2011, 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 | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 898 | |||
Total Interest Rate Contracts | 898 | |||||
|
| |||||
Total Asset Derivatives | $ | 898 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 250 | ||||
Total Interest Rate Contracts | 250 | |||||
|
| |||||
Total Liability Derivatives | $ | 250 | ||||
|
| |||||
| * | 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 June 30, 2011, 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 | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 8,064 | ||||
Total Interest Rate Contracts | 8,064 | |||||
|
| |||||
Total | $ | 8,064 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 30, 2011, 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 | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 898 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 15,468 | ||||
Total Interest Rate Contracts | 16,366 | |||||
|
| |||||
Total | $ | 16,366 | ||||
|
| |||||
The following table presents Mortgage Securities Portfolio’s average volume of derivative activity during the period ended June 30, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Interest Rate Contracts | $ | 610,449 | 1.8 | % | ||||
| * | 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.
317
Table of Contents
Schedule of Investments as of June 30, 2011
(unaudited)
| Principal Amount | Asset Backed Commercial Paper (22.5%)a | Value | ||||||
Amsterdam Funding Corporation | ||||||||
| $ | 2,000,000 | 0.150%, 7/13/2011b | $ | 1,999,900 | ||||
Barton Capital LLC | ||||||||
| 7,275,000 | 0.090%, 7/1/2011b | 7,275,000 | ||||||
Dealers Capital Access | ||||||||
| 1,570,000 | 0.310%, 7/5/2011b | 1,569,946 | ||||||
| 1,000,000 | 0.320%, 7/7/2011b | 999,947 | ||||||
| 775,000 | 0.320%, 7/25/2011b | 774,835 | ||||||
| 1,400,000 | 0.320%, 7/28/2011b | 1,399,664 | ||||||
| 1,200,000 | 0.380%, 9/8/2011b | 1,199,126 | ||||||
| 1,580,000 | 0.330%, 9/21/2011b | 1,578,812 | ||||||
Golden Funding Corporation | ||||||||
| 1,500,000 | 0.200%, 7/6/2011b | 1,499,958 | ||||||
| 1,500,000 | 0.200%, 7/7/2011b | 1,499,950 | ||||||
| 1,410,000 | 0.290%, 8/25/2011b | 1,409,376 | ||||||
| 1,575,000 | 0.340%, 9/27/2011b | 1,573,691 | ||||||
Kells Funding, LLC | ||||||||
| 1,650,000 | 0.400%, 8/10/2011b | 1,649,266 | ||||||
| 1,590,000 | 0.340%, 8/17/2011b | 1,589,295 | ||||||
Liberty Street Funding, LLC | ||||||||
| 1,560,000 | 0.150%, 7/22/2011b | 1,559,864 | ||||||
Nieuw Amsterdam Receivables Corporation | ||||||||
| 1,570,000 | 0.190%, 9/12/2011b | 1,569,395 | ||||||
Sydney Cap Corporation | ||||||||
| 1,560,000 | 0.290%, 7/11/2011b | 1,559,874 | ||||||
| 1,560,000 | 0.330%, 9/12/2011b | 1,558,956 | ||||||
| 1,575,000 | 0.330%, 9/16/2011b | 1,573,888 | ||||||
Thunder Bay Funding, Inc. | ||||||||
| 1,560,000 | 0.180%, 9/19/2011b | 1,559,376 | ||||||
|
| |||||||
Total Asset Backed Commercial Paper | 35,400,119 | |||||||
|
| |||||||
Financial Company Commercial Paper (19.9%)a | ||||||||
Alliancebernstein LP | ||||||||
| 5,000,000 | 0.130%, 7/1/2011 | 5,000,000 | ||||||
Bank of Nova Scotia/Houston | ||||||||
| 780,000 | 0.301%, 6/11/2012c | 780,000 | ||||||
| 1,580,000 | 0.450%, 6/11/2012c | 1,582,815 | ||||||
Barclays Bank plc | ||||||||
| 1,455,000 | 0.551%, 4/10/2012c,d | 1,457,950 | ||||||
BNP Paribas Finance, Inc. | ||||||||
| 1,550,000 | 0.390%, 11/23/2011b | 1,547,565 | ||||||
General Electric Capital Corporation | ||||||||
| 1,590,000 | 0.602%, 8/22/2011 | 1,594,933 | ||||||
| 1,700,000 | 0.596%, 9/28/2011c | 1,701,497 | ||||||
| 1,600,000 | 0.370%, 6/12/2012c | 1,600,042 | ||||||
Rabobank Nederland NV | ||||||||
| 1,360,000 | 0.472%, 8/5/2011c,d | 1,360,241 | ||||||
Rabobank Nederland NV/NY | ||||||||
| 1,800,000 | 0.270%, 12/6/2011b,c | 1,800,000 | ||||||
Rabobank USA Finance Corporation | ||||||||
| 1,650,000 | 0.360%, 7/26/2011b | 1,649,587 | ||||||
Santander CP SA | ||||||||
| 750,000 | 0.390%, 7/12/2011b | 749,911 | ||||||
| 1,550,000 | 0.620%, 9/15/2011b | 1,547,971 | ||||||
Skandi ENSK Bank | ||||||||
| 1,560,000 | 0.300%, 9/12/2011 | 1,559,051 | ||||||
Svenska Handelsbanken NY | ||||||||
| 1,650,000 | 0.350%, 8/3/2011 | 1,650,007 | ||||||
Toronto-Dominion Bank NY | ||||||||
| 900,000 | 0.256%, 10/28/2011c | 900,000 | ||||||
| 850,000 | 0.270%, 1/12/2012c | 850,000 | ||||||
Wells Fargo & Company | ||||||||
| 1,330,000 | 0.482%, 8/26/2011 | 1,339,927 | ||||||
| 1,700,000 | 0.364%, 1/24/2012c | 1,700,697 | ||||||
Westpac Banking Corporation | ||||||||
| 780,000 | 0.320%, 1/10/2012c,d | 780,112 | ||||||
|
| |||||||
Total Financial Company Commercial Paper | 31,152,306 | |||||||
|
| |||||||
Government Agency Debt (20.3%)a | ||||||||
Caisse D’Amortissement de la Dette Sociale | ||||||||
| 1,560,000 | 0.200%, 9/19/2011 | 1,559,307 | ||||||
| 1,600,000 | 0.263%, 6/22/2012c,d | 1,600,000 | ||||||
Federal Farm Credit Bank | ||||||||
| 900,000 | 0.170%, 8/8/2012b,c | 899,880 | ||||||
Federal Home Loan Banks | ||||||||
| 1,960,000 | 0.150%, 9/20/2011b,c | 1,960,000 | ||||||
| 2,000,000 | 0.200%, 3/20/2012b,c | 1,999,851 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 3,840,000 | 0.146%, 9/19/2011b,c | 3,839,560 | ||||||
| 2,100,000 | 0.136%, 12/21/2011b,c | 2,099,489 | ||||||
| 2,000,000 | 0.070%, 1/25/2012b,c | 1,997,318 | ||||||
| 1,130,000 | 0.210%, 10/12/2012b,c | 1,130,880 | ||||||
Federal National Mortgage Association | ||||||||
| 2,200,000 | 0.146%, 9/19/2011b,c | 2,199,802 | ||||||
| 2,000,000 | 0.300%, 9/13/2012b,c | 2,000,486 | ||||||
| 2,000,000 | 0.215%, 9/17/2012b,c | 2,000,000 | ||||||
| 900,000 | 0.270%, 11/23/2012b,c | 899,752 | ||||||
Overseas Private Investment Corporation | ||||||||
| 575,000 | 0.503%, 12/9/2011b | 598,729 | ||||||
| 2,170,000 | 0.650%, 12/9/2011b | 2,170,000 | ||||||
U.S. Central Federal Credit Union | ||||||||
| 4,750,000 | 0.275%, 10/19/2011b,c | 4,750,000 | ||||||
|
| |||||||
Total Government Agency Debt | 31,705,054 | |||||||
|
| |||||||
Shares | Investment Company (6.4%) | |||||||
AIM Investments Institutional Government and Agency Portfolio | ||||||||
| 15,000 | 0.020% | 15,000 | ||||||
BlackRock Cash Funds | ||||||||
| 4,238,000 | 0.140% | 4,238,000 | ||||||
Dreyfus Institutional Cash Advantage Fund | ||||||||
| 5,590,000 | 0.150% | 5,590,000 | ||||||
DWS Money Market Series | ||||||||
| 150,000 | 0.060% | 150,000 | ||||||
|
| |||||||
Total Investment Company | 9,993,000 | |||||||
|
| |||||||
Principal | Other Commercial Paper (2.6%)a | |||||||
Georgia Transmission Corporation | ||||||||
| 999,000 | 0.350%, 9/12/2011 | 998,291 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
318
Table of Contents
Money Market Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Principal | Other Commercial Paper (2.6%)a | Value | ||||||
| $ | 1,560,000 | 0.300%, 9/15/2011 | $ | 1,559,012 | ||||
| 1,560,000 | 0.300%, 9/20/2011 | 1,558,947 | ||||||
|
| |||||||
Total Other Commercial Paper | 4,116,250 | |||||||
|
| |||||||
Other Municipal Debt (12.4%)a | ||||||||
Alaska Housing Finance Corporation | ||||||||
| 1,570,000 | 0.210%, 8/15/2011 | 1,569,588 | ||||||
County of Hamilton, TN | ||||||||
| 750,000 | 0.530%, 8/5/2011b | 750,000 | ||||||
New York, New York City Municipal Water Finance | ||||||||
| 1,560,000 | 0.340%, 8/1/2011b | 1,560,000 | ||||||
State of Wisconsin | ||||||||
| 1,250,000 | 0.360%, 11/5/2011 | 1,250,000 | ||||||
| 1,610,000 | 0.360%, 11/12/2011 | 1,610,000 | ||||||
| 1,595,000 | 0.360%, 1/14/2012 | 1,595,000 | ||||||
| 1,595,000 | 0.360%, 1/15/2012 | 1,595,000 | ||||||
| 1,575,000 | 0.260%, 3/3/2012 | 1,575,000 | ||||||
Suffolk County, New York Tax Antic Notes | ||||||||
| 1,590,000 | 0.537%, 8/11/2011 | 1,594,469 | ||||||
| 1,590,000 | 0.552%, 9/13/2011 | 1,594,707 | ||||||
Texas Public Finance Authority | ||||||||
| 1,590,000 | 0.300%, 7/12/2011b | 1,590,000 | ||||||
| 1,585,000 | 0.290%, 7/13/2011b | 1,585,000 | ||||||
| 1,585,000 | 0.290%, 7/14/2011b | 1,585,000 | ||||||
|
| |||||||
Total Other Municipal Debt | 19,453,764 | |||||||
|
| |||||||
Other Note (0.5%)a | ||||||||
J.P. Morgan Chase Bank NA | ||||||||
| 795,000 | 0.304%, 5/18/2012c | 795,000 | ||||||
|
| |||||||
Total Other Note | 795,000 | |||||||
|
| |||||||
Variable Rate Demand Note (14.0%)a | ||||||||
Andrew W. Mellon Foundation | ||||||||
| 2,230,000 | 0.150%, 7/7/2011c | 2,230,000 | ||||||
Denver, Colorado Airport System Revenue Bonds | ||||||||
| 5,200,000 | 0.080%, 7/7/2011b,c | 5,200,000 | ||||||
Douglas County, Nebraska Hospital Authority No. 2 Health Facilities Revenue Refunding Bonds (Children’s Hospital) | ||||||||
| 1,600,000 | 0.070%, 7/1/2011b,c | 1,600,000 | ||||||
Lancaster County, Nebraska Hospital Authority No. 1 Hospital Revenue Refunding Bonds (BryanLGH Medical Center) | ||||||||
| 970,000 | 0.080%, 7/7/2011b,c | 970,000 | ||||||
Louisiana Housing Finance Agency Qualified Gulf Opportunity Zone Bonds (Canterbury House Apartments - Sherwood) | ||||||||
| 2,000,000 | 0.080%, 7/7/2011b,c | 2,000,000 | ||||||
Olathe, Kansas Health Facilities Revenue Bonds (Olathe Medical Center) | ||||||||
| $2,900,000 | 0.100%, 7/1/2011b,c | $ | 2,900,000 | |||||
Overseas Private Investment Corporation | ||||||||
| 2,068,965 | 0.090%, 7/6/2011b,c | 2,068,965 | ||||||
Pitney Road Partners, LLC | ||||||||
| 1,480,000 | 0.280%, 7/7/2011b,c,d | 1,480,000 | ||||||
St. Cloud, Minnesota Health Care Refunding Revenue Bonds (CentraCare Health System) | ||||||||
| 2,050,000 | 0.070%, 7/7/2011b,c | 2,050,000 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Prohealth Care Inc. | ||||||||
| 1,600,000 | 0.070%, 7/1/2011b,c | 1,600,000 | ||||||
|
| |||||||
Total Variable Rate Demand Note | 22,098,965 | |||||||
|
| |||||||
Total Investments (at amortized cost) 98.6% | $ | 154,714,458 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 1.4% | 2,153,701 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 156,868,159 | ||||||
|
| |||||||
| a | The interest rate shown reflects the yield, coupon rate or 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 June 30, 2011. |
| 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 June 30, 2011, the value of these investments was $6,678,303 or 4.3% of total net assets. |
Cost for federal income tax purposes | $ | 154,714,458 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
319
Table of Contents
Money Market Portfolio
Schedule of Investments as of June 30, 2011
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 30, 2011, in valuing Money Market Portfolio’s assets carried at fair value or amortized cost, which approximates fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Backed Commercial Paper | 35,400,119 | — | 35,400,119 | — | ||||||||||||
Financial Company Commercial Paper | 31,152,306 | — | 31,152,306 | — | ||||||||||||
Government Agency Debt | 31,705,054 | — | 31,705,054 | — | ||||||||||||
Investment Company | 9,993,000 | 9,993,000 | — | — | ||||||||||||
Other Commercial Paper | 4,116,250 | — | 4,116,250 | — | ||||||||||||
Other Municipal Debt | 19,453,764 | — | 19,453,764 | — | ||||||||||||
Other Note | 795,000 | — | 795,000 | — | ||||||||||||
Variable Rate Demand Note | 22,098,965 | — | 22,098,965 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 154,714,458 | $ | 9,993,000 | $ | 144,721,458 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
320
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
321
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities
As of June 30, 2011 (unaudited) | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 604,961,200 | $ | 2,746,383,093 | $ | 4,031,778,480 | $ | 1,831,674,436 | ||||||||
Investments in securities at value | 217,699,379 | 800,103,633 | 1,136,183,216 | 573,153,687 | ||||||||||||
Investments in affiliates at value | 400,194,088 | 1,981,337,860 | 2,948,435,568 | 1,290,763,972 | ||||||||||||
Investments at Value | 617,893,467 | 2,781,441,493 | 4,084,618,784 | 1,863,917,659 | ||||||||||||
Cash | 8,692,947 | 5,500,259 | 5,332,909 | 5,494,171 | ||||||||||||
Dividends and interest receivable | 440,341 | 1,859,153 | 3,081,808 | 1,602,381 | ||||||||||||
Prepaid expenses | 5,401 | 14,184 | 18,307 | 9,006 | ||||||||||||
Receivable for investments sold | 3,983,475 | 8,725,850 | 11,213,627 | 4,209,875 | ||||||||||||
Receivable for fund shares sold | 134,854 | 1,523,983 | 2,100,831 | 2,101,600 | ||||||||||||
Receivable for variation margin | 1,270,258 | 3,550,248 | 3,553,037 | 1,590,411 | ||||||||||||
Total Assets | 632,420,743 | 2,802,615,170 | 4,109,919,303 | 1,878,925,103 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 34,517 | 57,323 | 70,087 | 43,162 | ||||||||||||
Payable for investments purchased | 5,834,493 | 20,793,162 | 27,144,732 | 19,493,152 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | — | — | ||||||||||||
Payable for fund shares redeemed | 162,336 | 451,967 | 169,979 | 224,707 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Open options written, at value | 94 | 235 | 281 | 94 | ||||||||||||
Swap agreements, at value | 101,733 | 1,314,708 | 1,909,457 | 845,170 | ||||||||||||
Payable for variation margin | 929,720 | 1,731,990 | 1,245,860 | 339,230 | ||||||||||||
Payable to affiliate | 198,165 | 679,931 | 904,736 | 439,751 | ||||||||||||
Mortgage dollar roll deferred revenue | 1,778 | 13,303 | 17,033 | 17,416 | ||||||||||||
Total Liabilities | 7,262,836 | 25,042,619 | 31,462,165 | 21,402,682 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 597,671,711 | 2,693,628,938 | 3,954,537,904 | 1,790,308,123 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 1,363,967 | 15,197,056 | 34,880,802 | 19,038,906 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 15,011,355 | 34,598,920 | 34,153,096 | 13,927,371 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 17,054,042 | 41,094,780 | 42,764,117 | 18,551,989 | ||||||||||||
Affiliated investments | (4,121,775 | ) | (6,036,380 | ) | 10,076,187 | 13,691,234 | ||||||||||
Written option contracts | 719 | 1,797 | 2,156 | 719 | ||||||||||||
Futures contracts | (1,838,614 | ) | (1,138,757 | ) | 1,728,499 | 1,862,879 | ||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | 43 | 114 | 93 | — | ||||||||||||
Swap agreements | 16,459 | 226,083 | 314,284 | 141,200 | ||||||||||||
Total Net Assets | $ | 625,157,907 | $ | 2,777,572,551 | $ | 4,078,457,138 | $ | 1,857,522,421 | ||||||||
Shares of beneficial interest outstanding | 49,992,372 | 230,538,494 | 344,975,821 | 159,897,120 | ||||||||||||
Net asset value per share | $ | 12.51 | $ | 12.05 | $ | 11.82 | $ | 11.62 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
322
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 | ||||||||||||||||||||
| $ | 32,365,176 | $ | 16,291,276 | $ | 35,632,869 | $ | 34,694,735 | $ | 330,322,814 | $ | 8,171,724 | $ | 220,726,669 | |||||||||||||
| 34,980,673 | 19,329,676 | 37,456,365 | 41,828,396 | 356,694,471 | 8,848,849 | 227,989,527 | ||||||||||||||||||||
| 5,471,335 | — | — | — | 24,983,560 | — | 38,839,394 | ||||||||||||||||||||
| 40,452,008 | 19,329,676 | 37,456,365 | 41,828,396 | 381,678,031 | 8,848,849 | 266,828,921 | ||||||||||||||||||||
| 504,956 | 203,095 | 995,762 | 1,331,567 | (a) | 591,313 | 519,378 | 4,838,960 | |||||||||||||||||||
| 12,922 | 45,644 | 24,168 | 167,921 | 1,073,911 | 22,479 | 49,897 | ||||||||||||||||||||
| 2,732 | 2,645 | 2,684 | 2,676 | 4,146 | 2,596 | 3,521 | ||||||||||||||||||||
| — | 4,454 | — | — | 599,400 | — | 525,067 | ||||||||||||||||||||
| 21,359 | 63,505 | 116,206 | 20,883 | 1,212 | 15,187 | 3,791 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 40,993,977 | 19,649,019 | 38,595,185 | 43,351,443 | 383,948,013 | 9,408,489 | 272,250,157 | ||||||||||||||||||||
| 19,398 | 13,470 | 13,737 | 31,358 | 47,916 | 13,604 | 32,051 | ||||||||||||||||||||
| 28,667 | — | — | — | 1,092,618 | — | 2,982,341 | ||||||||||||||||||||
| 5,471,335 | — | — | — | 24,983,560 | — | 38,839,394 | ||||||||||||||||||||
| 19,995 | 5,782 | 2,353 | 52,374 | 73,645 | 578 | 21,581 | ||||||||||||||||||||
| — | 34 | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 28,423 | 16,456 | 30,286 | 41,469 | 244,131 | 3,790 | 173,329 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 5,567,818 | 35,742 | 46,376 | 125,201 | 26,441,870 | 17,972 | 42,048,696 | ||||||||||||||||||||
| 35,304,964 | 16,057,927 | 31,804,259 | 36,333,325 | 313,647,192 | 9,423,504 | 193,480,569 | ||||||||||||||||||||
| (106,984 | ) | 56,613 | (14,945 | ) | 92,190 | 3,105,842 | 111,193 | (1,002,450 | ) | |||||||||||||||||
| (7,858,653 | ) | 458,618 | 4,935,999 | (335,945 | ) | (10,601,803 | ) | (821,315 | ) | (8,378,910 | ) | |||||||||||||||
| 8,086,832 | 3,038,400 | 1,823,496 | 7,133,661 | 51,355,217 | 677,125 | 46,102,252 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (34 | ) | — | — | — | — | — | |||||||||||||||||||
| — | 1,753 | — | 3,011 | (305 | ) | 10 | — | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| $ | 35,426,159 | $ | 19,613,277 | $ | 38,548,809 | $ | 43,226,242 | $ | 357,506,143 | $ | 9,390,517 | $ | 230,201,461 | |||||||||||||
| 4,974,796 | 1,587,722 | 3,693,307 | 3,469,121 | 22,269,413 | 1,100,217 | 16,108,105 | ||||||||||||||||||||
| $ | 7.12 | $ | 12.35 | $ | 10.44 | $ | 12.46 | $ | 16.05 | $ | 8.54 | $ | 14.29 | |||||||||||||
| (a) | Includes foreign currency holdings of $43,169 (cost $40,804). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
323
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of June 30, 2011 (unaudited) | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 241,587,833 | $ | 278,955,995 | $ | 193,369,970 | $ | 129,109,628 | ||||||||
Investments in securities at value | 269,275,172 | 307,952,113 | 215,711,243 | 165,022,850 | ||||||||||||
Investments in affiliates at value | 25,258,400 | 7,774,221 | 26,079,363 | 3,056,775 | ||||||||||||
Investments at Value | 294,533,572 | 315,726,334 | 241,790,606 | 168,079,625 | ||||||||||||
Cash | 1,248,512 | 3,649 | 351,445 | 1,592,061 | ||||||||||||
Dividends and interest receivable | 329,497 | 177,551 | 200,504 | 54,429 | ||||||||||||
Prepaid expenses | 3,912 | 4,028 | 3,706 | 3,294 | ||||||||||||
Receivable for investments sold | 838,072 | 2,705,893 | 1,351,939 | 2,331,583 | ||||||||||||
Receivable for fund shares sold | 9,667 | 3,821 | 10,281 | 1,056 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable for variation margin | — | 217,100 | 4,550 | — | ||||||||||||
Total Assets | 296,963,232 | 318,838,376 | 243,713,031 | 172,062,048 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 38,308 | 53,847 | 58,480 | 24,821 | ||||||||||||
Payable for investments purchased | 158,977 | 2,520,260 | 777,429 | 505,243 | ||||||||||||
Payable upon return of collateral for securities loaned | 25,258,400 | 7,774,221 | 26,079,363 | 3,056,775 | ||||||||||||
Payable for fund shares redeemed | 40,603 | 122,939 | 110,331 | 6,593 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 182,895 | 179,532 | 70,259 | 89,623 | ||||||||||||
Total Liabilities | 25,679,183 | 10,650,799 | 27,095,862 | 3,683,055 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 221,543,848 | 309,423,323 | 163,156,360 | 120,669,924 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 114,397 | (248,629 | ) | 535,877 | (104,487 | ) | ||||||||||
Accumulated undistributed net realized gain/(loss) | (3,319,935 | ) | (39,014,198 | ) | 4,476,127 | 8,843,559 | ||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 52,945,739 | 36,770,339 | 48,420,636 | 38,969,997 | ||||||||||||
Futures contracts | — | 1,256,742 | 28,169 | — | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 271,284,049 | $ | 308,187,577 | $ | 216,617,169 | $ | 168,378,993 | ||||||||
Shares of beneficial interest outstanding | 13,716,959 | 22,839,675 | 15,892,133 | 16,568,924 | ||||||||||||
Net asset value per share | $ | 19.78 | $ | 13.49 | $ | 13.63 | $ | 10.16 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
324
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | ||||||||||||||||||||
| $ | 342,838,665 | $ | 213,053,325 | $ | 436,887,404 | $ | 74,498,392 | $ | 505,626,814 | $ | 844,543,310 | $ | 4,608,782 | |||||||||||||
| 411,719,217 | 243,648,790 | 524,976,926 | 92,527,306 | 571,769,856 | 876,837,783 | 5,597,262 | ||||||||||||||||||||
| 7,549,846 | 6,860,898 | 28,931,425 | 4,291,667 | — | 39,846,936 | — | ||||||||||||||||||||
| 419,269,063 | 250,509,688 | 553,908,351 | 96,818,973 | 571,769,856 | 916,684,719 | 5,597,262 | ||||||||||||||||||||
| 338,036 | 2,297,906 | 912 | 1,637,980 | 10,880,260 | (a) | 5,710,380 | (b) | 194,468 | ||||||||||||||||||
| 132,794 | 320,952 | 405,813 | 70,091 | 2,718,533 | 3,026,236 | 4,461 | ||||||||||||||||||||
| 4,625 | 3,675 | 5,036 | 3,053 | 4,318 | 7,259 | 2,583 | ||||||||||||||||||||
| 6,166,833 | 427,463 | 4,171,572 | 55,042 | 12,638,669 | 25,910,142 | — | ||||||||||||||||||||
| 171,969 | 241 | 1,193 | 1,801 | 1,998 | 19,406 | 41,280 | ||||||||||||||||||||
| — | — | — | — | 238,272 | 15,663 | — | ||||||||||||||||||||
| — | — | — | 10,800 | 6,475 | — | — | ||||||||||||||||||||
| 426,083,320 | 253,559,925 | 558,492,877 | 98,597,740 | 598,258,381 | 951,373,805 | 5,840,054 | ||||||||||||||||||||
| 73,591 | 29,659 | 60,591 | 26,177 | 67,416 | 147,805 | 13,309 | ||||||||||||||||||||
| 833,875 | 1,044,700 | 2,518,062 | 858,187 | 8,709,416 | 18,129,157 | — | ||||||||||||||||||||
| 7,549,846 | 6,860,898 | 28,931,425 | 4,291,667 | — | 39,846,936 | — | ||||||||||||||||||||
| 531,102 | 7,645 | 35,942 | 60,619 | 32,151 | 172,191 | 1,758 | ||||||||||||||||||||
| — | — | — | — | 396,491 | 19,925 | — | ||||||||||||||||||||
| — | — | — | — | 17,058 | — | — | ||||||||||||||||||||
| 147,030 | 157,664 | 297,623 | 34,229 | 429,518 | 552,383 | 899 | ||||||||||||||||||||
| 9,135,444 | 8,100,566 | 31,843,643 | 5,270,879 | 9,652,050 | 58,868,397 | 15,966 | ||||||||||||||||||||
| 358,082,299 | 208,411,208 | 474,923,350 | 68,828,754 | 505,360,416 | 1,048,187,169 | 5,392,960 | ||||||||||||||||||||
| 243,918 | 749,873 | 492,927 | 313,263 | 6,952,147 | 14,221,367 | (3,200 | ) | |||||||||||||||||||
| (17,808,739 | ) | (1,158,085 | ) | (65,787,990 | ) | 1,798,663 | 10,300,752 | (242,074,545 | ) | (554,152 | ) | |||||||||||||||
| 76,430,398 | 37,456,363 | 117,020,947 | 22,320,581 | 66,143,042 | 72,141,409 | 988,480 | ||||||||||||||||||||
| — | — | — | 65,600 | (18,622 | ) | — | — | |||||||||||||||||||
| — | — | — | — | (158,219 | ) | (4,262 | ) | — | ||||||||||||||||||
| — | — | — | — | 26,815 | 34,270 | — | ||||||||||||||||||||
| $ | 416,947,876 | $ | 245,459,359 | $ | 526,649,234 | $ | 93,326,861 | $ | 588,606,331 | $ | 892,505,408 | $ | 5,824,088 | |||||||||||||
| 21,338,842 | 17,325,808 | 40,667,499 | 7,143,817 | 64,369,671 | 79,711,061 | 517,754 | ||||||||||||||||||||
| $ | 19.54 | $ | 14.17 | $ | 12.95 | $ | 13.06 | $ | 9.14 | $ | 11.20 | $ | 11.25 | |||||||||||||
| (a) | Includes foreign currency holdings $197,716 (cost $190,360). |
| (b) | Includes foreign currency holdings $41,095 (cost $40,940). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
325
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of June 30, 2011 (unaudited) | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 11,464,292 | $ | 6,943,191 | $ | 52,924,352 | $ | 357,368,641 | ||||||||
Investments in securities at value | 14,389,487 | 7,375,940 | 59,190,914 | 394,070,010 | ||||||||||||
Investments in affiliates at value | — | — | 880,875 | — | ||||||||||||
Investments at Value | 14,389,487 | 7,375,940 | 60,071,789 | 394,070,010 | ||||||||||||
Cash | 245,105 | 578,643 | 500,755 | 70,827 | ||||||||||||
Dividends and interest receivable | 4,165 | 8,150 | 47,357 | 109,423 | ||||||||||||
Prepaid expenses | 2,611 | 2,595 | 2,908 | 4,566 | ||||||||||||
Receivable for investments sold | 152,388 | 284,480 | 1,151,451 | 7,659,644 | ||||||||||||
Receivable for fund shares sold | 12,709 | 4,329 | 1,381 | 293 | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 14,806,465 | 8,254,137 | 61,775,641 | 401,914,763 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 13,304 | 13,923 | 20,842 | 38,936 | ||||||||||||
Payable for investments purchased | 118,433 | 184,269 | 633,445 | 3,584,283 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | 880,875 | — | ||||||||||||
Payable for fund shares redeemed | 197 | 1,152 | 25,808 | 19,325 | ||||||||||||
Open options written, at value | — | — | — | — | ||||||||||||
Payable to affiliate | 8,324 | 3,005 | 44,089 | 219,287 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 140,258 | 202,349 | 1,605,059 | 3,861,831 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 12,104,964 | 7,780,632 | 68,256,623 | 337,390,772 | ||||||||||||
Accumulated undistributed net investment income/(loss) | (26,153 | ) | 4,039 | 22,860 | 916,893 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (337,799 | ) | (165,632 | ) | (15,256,338 | ) | 23,043,898 | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 2,925,195 | 432,749 | 7,147,437 | 36,701,369 | ||||||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Total Net Assets | $ | 14,666,207 | $ | 8,051,788 | $ | 60,170,582 | $ | 398,052,932 | ||||||||
Shares of beneficial interest outstanding | 1,352,592 | 849,820 | 6,553,714 | 56,486,783 | ||||||||||||
Net asset value per share | $ | 10.84 | $ | 9.47 | $ | 9.18 | $ | 7.05 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
326
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – 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 | ||||||||||||||||||||
| $ | 839,741,044 | $ | 39,755,967 | $ | 720,586,243 | $ | 570,097,048 | $ | 268,650,900 | $ | 83,570,031 | $ | 259,710,092 | |||||||||||||
| 939,093,127 | 59,286,490 | 827,265,867 | 630,901,699 | 319,970,548 | 87,338,434 | 287,436,891 | ||||||||||||||||||||
| 14,440,500 | 727,650 | 13,737,450 | — | 2,814,305 | — | 814,745 | ||||||||||||||||||||
| 953,533,627 | 60,014,140 | 841,003,317 | 630,901,699 | 322,784,853 | 87,338,434 | 288,251,636 | ||||||||||||||||||||
| 2,856,316 | 204,928 | 2,880,582 | 2,263,299 | 4,925,974 | 2,775,325 | 285 | ||||||||||||||||||||
| 270,058 | 33,377 | 1,030,713 | 678,191 | 411,699 | 184,337 | 731,882 | ||||||||||||||||||||
| 8,147 | 2,893 | 6,785 | 5,970 | 4,403 | 2,888 | 4,091 | ||||||||||||||||||||
| 16,365,033 | 32,712 | 11,581,838 | 9,860,798 | 39,930 | 27,400 | 7,860,138 | ||||||||||||||||||||
| 170,557 | 39,649 | 2,083 | 10,207 | 8,869 | 148,763 | 43,703 | ||||||||||||||||||||
| — | — | — | 45,546 | 50,400 | 80,265 | 47,600 | ||||||||||||||||||||
| 973,203,738 | 60,327,699 | 856,505,318 | 643,765,710 | 328,226,128 | 90,557,412 | 296,939,335 | ||||||||||||||||||||
| 219,575 | 21,582 | 99,707 | 96,322 | 88,455 | 14,941 | 80,673 | ||||||||||||||||||||
| 11,719,911 | 15,947 | 15,900,565 | 8,151,239 | — | 19,100 | 33,052,336 | ||||||||||||||||||||
| 14,440,500 | 727,650 | 13,737,450 | — | 2,814,305 | — | 814,745 | ||||||||||||||||||||
| 797,426 | 9,376 | 86,734 | 96,897 | 208,491 | 1,055 | 160,190 | ||||||||||||||||||||
| 183,155 | — | — | 33,750 | — | 45,000 | — | ||||||||||||||||||||
| 324,719 | 40,752 | 418,619 | 341,045 | 100,502 | 55,106 | 85,071 | ||||||||||||||||||||
| — | — | — | — | — | — | 29,491 | ||||||||||||||||||||
| 27,685,286 | 815,307 | 30,243,075 | 8,719,253 | 3,211,753 | 135,202 | 34,222,506 | ||||||||||||||||||||
| 1,310,044,843 | 44,290,431 | 844,077,873 | 681,577,868 | 296,681,997 | 88,743,061 | 231,778,881 | ||||||||||||||||||||
| 2,354,872 | (80,058 | ) | 6,079,511 | 2,883,161 | 2,614,989 | 755,974 | 2,719,162 | |||||||||||||||||||
| (480,558,433 | ) | (4,956,154 | ) | (144,312,215 | ) | (110,351,308 | ) | (28,567,241 | ) | (3,080,715 | ) | (509,314 | ) | |||||||||||||
| 113,792,583 | 20,258,173 | 120,417,074 | 60,804,651 | 54,133,953 | 3,768,403 | 28,541,544 | ||||||||||||||||||||
| (115,413 | ) | — | — | (5,025 | ) | — | (6,700 | ) | — | |||||||||||||||||
| — | — | — | 137,110 | 150,677 | 242,187 | 186,556 | ||||||||||||||||||||
| $ | 945,518,452 | $ | 59,512,392 | $ | 826,262,243 | $ | 635,046,457 | $ | 325,014,375 | $ | 90,422,210 | $ | 262,716,829 | |||||||||||||
| 53,858,445 | 4,896,635 | 73,953,043 | 71,938,524 | 17,635,050 | 9,429,902 | 17,999,990 | ||||||||||||||||||||
| $ | 17.56 | $ | 12.15 | $ | 11.17 | $ | 8.83 | $ | 18.43 | $ | 9.59 | $ | 14.60 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
327
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of June 30, 2011 (unaudited) | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 822,254,216 | $ | 120,504,872 | $ | 7,329,196 | $ | 1,501,678,280 | ||||||||
Investments in securities at value | 777,037,706 | 115,054,832 | 7,447,248 | 1,493,218,224 | ||||||||||||
Investments in affiliates at value | 66,440,480 | 7,988,325 | — | 44,750,769 | ||||||||||||
Investments at Value | 843,478,186 | 123,043,157 | 7,447,248 | 1,537,968,993 | ||||||||||||
Cash | 1,786,778 | 3,401,532 | 505,512 | 2,124 | ||||||||||||
Dividends and interest receivable | 13,148,775 | 943,222 | 79,387 | 15,075,167 | ||||||||||||
Prepaid expenses | 6,746 | 3,054 | 2,594 | 9,656 | ||||||||||||
Receivable for investments sold | 6,173,567 | 17,125 | 154,583 | 8,337,289 | ||||||||||||
Receivable for fund shares sold | 283,213 | 33,359 | 18,158 | 603,296 | ||||||||||||
Receivable for variation margin | — | 61,003 | 1,319 | 921,205 | ||||||||||||
Total Assets | 864,877,265 | 127,502,452 | 8,208,801 | 1,562,917,730 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 106,184 | 24,969 | 14,102 | 153,209 | ||||||||||||
Payable for investments purchased | 4,157,475 | 1,051,027 | 131,732 | 107,063,800 | ||||||||||||
Payable upon return of collateral for securities loaned | 66,440,480 | 7,988,325 | — | 31,818,993 | ||||||||||||
Payable for fund shares redeemed | 153,210 | 34,560 | 1,354 | 277,078 | ||||||||||||
Open options written, at value | — | 28,125 | — | — | ||||||||||||
Swap agreements, at value | — | — | — | 84,684 | ||||||||||||
Payable for variation margin | — | 44,322 | 516 | 323,674 | ||||||||||||
Payable to affiliate | 279,575 | 46,890 | 774 | 493,446 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | 88,184 | ||||||||||||
Total Liabilities | 71,136,924 | 9,218,218 | 148,478 | 140,303,068 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 1,248,984,762 | 128,387,468 | 7,918,441 | 1,417,931,934 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 855,295 | 2,854,554 | (1,422 | ) | 691,034 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (477,323,686 | ) | (15,503,869 | ) | 31,059 | (30,139,659 | ) | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 21,223,970 | 2,538,285 | 118,052 | 32,746,673 | ||||||||||||
Affiliated investments | — | — | — | 3,544,040 | ||||||||||||
Written option contracts | — | (4,188 | ) | — | — | |||||||||||
Futures contracts | — | 11,984 | (5,807 | ) | (1,977,928 | ) | ||||||||||
Swap agreements | — | — | — | (181,432 | ) | |||||||||||
Total Net Assets | $ | 793,740,341 | $ | 118,284,234 | $ | 8,060,323 | $ | 1,422,614,662 | ||||||||
Shares of beneficial interest outstanding | 163,810,622 | 17,751,997 | 776,480 | 141,272,992 | ||||||||||||
Net asset value per share | $ | 4.85 | $ | 6.66 | $ | 10.38 | $ | 10.07 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
328
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 | |||||||||||
| $ | 199,132,786 | $ | 1,481,263,513 | $ | 56,229,816 | $ | 154,714,458 | |||||||
| 199,307,120 | 1,446,733,409 | 55,349,093 | 154,714,458 | |||||||||||
| — | 29,467,028 | — | — | |||||||||||
| 199,307,120 | 1,476,200,437 | 55,349,093 | 154,714,458 | |||||||||||
| 1,815,378 | 1,992 | 921,661 | 5,009 | |||||||||||
| 875,344 | 7,084,023 | 38,272 | 150,163 | |||||||||||
| 3,418 | 8,797 | 2,734 | 3,750 | |||||||||||
| 9,451,108 | 76,399,759 | 5,358,641 | — | |||||||||||
| 4,361 | 979,399 | 1,338 | 2,152,658 | |||||||||||
| — | 788,245 | — | — | |||||||||||
| 211,45729 | 1,561,462,652 | 61,671,739 | 157,026,038 | |||||||||||
| 45,112 | 122,726 | 18,691 | 9,199 | |||||||||||
| 57,639,134 | 99,325,390 | 27,972,988 | — | |||||||||||
| — | 8,973,458 | — | — | |||||||||||
| 19,539 | 110,275 | 3,386 | 119,469 | |||||||||||
| — | — | 117 | — | |||||||||||
| — | 460,859 | — | — | |||||||||||
| — | 2,656 | 2,578 | — | |||||||||||
| 53,517 | 497,486 | 21,035 | 29,211 | |||||||||||
| 66,097 | 20,367 | 21,842 | — | |||||||||||
| 57,823,399 | 109,513,217 | 28,040,637 | 157,879 | |||||||||||
| 152,717,180 | 1,464,839,847 | 34,214,657 | 156,868,159 | |||||||||||
| (637 | ) | 451,222 | — | (3,914 | ) | |||||||||
| 742,453 | (6,563,576 | ) | 296,520 | 3,914 | ||||||||||
| 174,334 | (10,056,646 | ) | (880,723 | ) | — | |||||||||
| — | 4,993,570 | — | — | |||||||||||
| — | — | 898 | — | |||||||||||
| — | (1,744,780 | ) | (250 | ) | — | |||||||||
| — | 29,798 | — | — | |||||||||||
| $ | 153,633,330 | $ | 1,451,949,435 | $ | 33,631,102 | $ | 156,868,159 | |||||||
| 14,182,285 | 147,828,341 | 3,226,287 | 156,868,159 | |||||||||||
| $ | 10.83 | $ | 9.82 | $ | 10.42 | $ | 1.00 | |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
329
Table of Contents
Thrivent Series Fund, Inc.
For the six months ended June 30, 2011 (unaudited) | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 1,330,843 | $ | 3,576,052 | $ | 3,943,124 | $ | 1,290,380 | ||||||||
Interest | 708,928 | 5,085,028 | 9,996,763 | 5,574,856 | ||||||||||||
Income from mortgage dollar rolls | 30,682 | 163,146 | 210,357 | 189,270 | ||||||||||||
Income from securities loaned | — | — | — | — | ||||||||||||
Income from affiliated investments | 467,189 | 10,435,173 | 26,041,421 | 14,553,254 | ||||||||||||
Foreign dividend tax withholding | (39,847 | ) | (97,349 | ) | (101,516 | ) | (19,216 | ) | ||||||||
Total Investment Income | 2,497,795 | 19,162,050 | 40,090,149 | 21,588,544 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 1,086,835 | 3,651,080 | 4,748,832 | 2,283,009 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 100,869 | 305,008 | 422,140 | 211,209 | ||||||||||||
Audit and legal fees | 12,511 | 27,483 | 36,066 | 20,628 | ||||||||||||
Custody fees | 44,802 | 51,542 | 53,730 | 33,569 | ||||||||||||
Insurance expenses | 3,204 | 9,520 | 13,720 | 7,297 | ||||||||||||
Directors’ fees | 5,685 | 12,347 | 15,964 | 9,296 | ||||||||||||
Other expenses | 12,314 | 13,660 | 14,190 | 10,150 | ||||||||||||
Total Expenses Before Reimbursement | 1,266,220 | 4,070,640 | 5,304,642 | 2,575,158 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (83,194 | ) | — | — | — | |||||||||||
Custody earnings credit | (229 | ) | (53 | ) | (49 | ) | (51 | ) | ||||||||
Total Net Expenses | 1,182,797 | 4,070,587 | 5,304,593 | 2,575,107 | ||||||||||||
Net Investment Income/(Loss) | 1,314,998 | 15,091,463 | 34,785,556 | 19,013,437 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 12,213,748 | 30,966,530 | 32,451,762 | 14,782,923 | ||||||||||||
Affiliated investments | 407,273 | 22,118 | 33,070 | 14,590 | ||||||||||||
Distributions of realized capital gains from affiliated investments | 2,084,004 | 5,352,544 | 3,870,624 | 698,769 | ||||||||||||
Futures contracts | 1,081,719 | 676,568 | 2,395,536 | 930,884 | ||||||||||||
Foreign currency transactions | (24,031 | ) | (66,252 | ) | (60,498 | ) | (959 | ) | ||||||||
Swap agreements | (48,818 | ) | (633,916 | ) | (917,491 | ) | (406,578 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (3,545,183 | ) | (9,390,529 | ) | (10,724,385 | ) | (6,927,734 | ) | ||||||||
Affiliated investments | 19,926,895 | 75,697,849 | 83,946,302 | 23,147,320 | ||||||||||||
Written option contracts | 719 | 1,797 | 2,156 | 719 | ||||||||||||
Futures contracts | (1,815,770 | ) | (1,583,841 | ) | 151,713 | 722,992 | ||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | 43 | 114 | 93 | — | ||||||||||||
Swap agreements | 16,459 | 226,083 | 314,284 | 141,200 | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 30,297,058 | 101,269,065 | 111,463,166 | 33,104,126 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 31,612,056 | $ | 116,360,528 | $ | 146,248,722 | $ | 52,117,563 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
330
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Partner Technology Portfolio | Partner Healthcare Portfolio | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | ||||||||||||||||||||
| $ | 80,073 | $ | 204,699 | $ | 222,968 | $ | 748,785 | $ | 4,587,665 | $ | 147,874 | $ | 267,818 | |||||||||||||
| 32 | — | 478 | 22 | 6,537 | — | 1,970 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 22,513 | — | — | — | 35,567 | — | 48,669 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (18,223 | ) | (3,659 | ) | (70,364 | ) | (4,936 | ) | (289 | ) | — | |||||||||||||||
| 102,618 | 186,476 | 219,787 | 678,443 | 4,624,833 | 147,585 | 318,457 | ||||||||||||||||||||
| 53,787 | 27,893 | 100,079 | 94,077 | 1,374,983 | 24,343 | 421,105 | ||||||||||||||||||||
| 80,680 | 60,435 | 30,164 | 152,988 | — | 7,727 | 694,750 | ||||||||||||||||||||
| 43,586 | 41,860 | 43,473 | 44,118 | 74,374 | 40,855 | 62,317 | ||||||||||||||||||||
| 8,234 | 8,089 | 8,167 | 22,015 | 10,689 | 8,014 | 9,566 | ||||||||||||||||||||
| 3,908 | 2,759 | 4,060 | 19,008 | 8,188 | 3,307 | 20,073 | ||||||||||||||||||||
| 1,556 | 1,509 | 1,589 | 1,624 | 2,436 | 1,483 | 2,179 | ||||||||||||||||||||
| 2,767 | 2,230 | 2,230 | 2,230 | 9,406 | 2,230 | 6,363 | ||||||||||||||||||||
| 4,684 | 5,161 | 4,940 | 7,049 | 6,067 | 5,063 | 6,024 | ||||||||||||||||||||
| 199,202 | 149,936 | 194,702 | 343,109 | 1,486,143 | 93,022 | 1,222,377 | ||||||||||||||||||||
| — | (25,156 | ) | — | (41,034 | ) | — | (54,365 | ) | (111,585 | ) | ||||||||||||||||
| (125 | ) | (163 | ) | (646 | ) | (429 | ) | (9 | ) | (173 | ) | (586 | ) | |||||||||||||
| 199,077 | 124,617 | 194,056 | 301,646 | 1,486,134 | 38,484 | 1,110,206 | ||||||||||||||||||||
| (96,459 | ) | 61,859 | 25,731 | 376,797 | 3,138,699 | 109,101 | (791,749 | ) | ||||||||||||||||||
| 3,073,883 | 459,476 | 5,191,158 | 514,180 | 8,760,411 | 141,495 | 32,716,824 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
|
| — |
| — | — | — | — | — | — | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (254 | ) | (7,499 | ) | (2,061 | ) | (175 | ) | (230 | ) | — | |||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| (2,939,276 | ) | 503,023 | (2,476,041 | ) | (200,005 | ) | 23,319,020 | 391,133 | (9,798,196 | ) | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (34 | ) | — | — | — | — | — | |||||||||||||||||||
| — | (289 | ) | (131 | ) | 1,075 | 430 | (62 | ) | — | |||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 134,607 | 961,922 | 2,707,487 | 313,189 | 32,079,686 | 532,336 | 22,918,628 | ||||||||||||||||||||
| $ | 38,148 |
| $ | 1,023,781 | $ | 2,733,218 | $ | 689,986 | $ | 35,218,385 | $ | 641,437 | $ | 22,126,879 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
331
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the six months ended June 30, 2011 (unaudited) | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 1,829,505 | $ | 912,654 | $ | 1,021,309 | $ | 492,126 | ||||||||
Interest | 1,650 | 14,687 | 789 | 4,436 | ||||||||||||
Income from securities loaned | 12,252 | 23,516 | 32,977 | 10,242 | ||||||||||||
Foreign dividend tax withholding | (1,385 | ) | — | — | (342 | ) | ||||||||||
Total Investment Income | 1,842,022 | 950,857 | 1,055,075 | 506,462 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 269,849 | 1,049,923 | 381,576 | 736,370 | ||||||||||||
Sub-Adviser fees | 809,546 | — | — | — | ||||||||||||
Administrative service fees | 66,985 | 70,780 | 61,804 | 56,364 | ||||||||||||
Audit and legal fees | 10,083 | 10,270 | 9,656 | 9,209 | ||||||||||||
Custody fees | 8,775 | 12,068 | 16,781 | 5,411 | ||||||||||||
Insurance expenses | 2,212 | 2,358 | 2,018 | 1,944 | ||||||||||||
Directors’ fees | 7,694 | 9,550 | 8,822 | 5,163 | ||||||||||||
Other expenses | 5,904 | 5,788 | 8,673 | 5,370 | ||||||||||||
Total Expenses Before Reimbursement | 1,181,048 | 1,160,737 | 489,330 | 819,831 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | — | (245,457 | ) | |||||||||||
Custody earnings credit | (128 | ) | (45 | ) | (177 | ) | (61 | ) | ||||||||
Total Net Expenses | 1,180,920 | 1,160,692 | 489,153 | 574,313 | ||||||||||||
Net Investment Income/(Loss) | 661,102 | (209,835 | ) | 565,922 | (67,851 | ) | ||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 3,145,827 | 36,050,453 | 9,223,386 | 9,032,137 | ||||||||||||
Futures contracts | — | 815,494 | 138,198 | — | ||||||||||||
Foreign currency transactions | (124 | ) | (8,170 | ) | — | — | ||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 6,742,899 | (17,727,930 | ) | 5,637,019 | 575,664 | |||||||||||
Futures contracts | — | 828,324 | (8,250 | ) | — | |||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 9,888,602 | 19,958,171 | 14,990,353 | 9,607,801 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 10,549,704 | $ | 19,748,336 | $ | 15,556,275 | $ | 9,539,950 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
332
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 | ||||||||||||||||||||
| $ | 1,296,363 | $ | 1,758,163 | $ | 2,448,245 | $ | 570,391 | $ | 10,330,793 | $ | 19,917,520 | $ | 27,962 | |||||||||||||
| 8,071 | 2,146 | 12,343 | 499 | 1,576,060 | 4,855 | — | ||||||||||||||||||||
| 20,494 | 18,445 | 26,046 | 5,313 | — | 747,267 | — | ||||||||||||||||||||
| (861 | ) | — | (1,039 | ) | — | (1,019,230 | ) | (1,937,943 | ) | (980 | ) | |||||||||||||||
| 1,324,067 | 1,778,754 | 2,485,595 | 576,203 | 10,887,623 | 18,731,699 | 26,982 | ||||||||||||||||||||
| 837,215 | 328,040 | 1,767,298 | 166,127 | 1,032,703 | 2,178,916 | 7,631 | ||||||||||||||||||||
| — | 572,958 | — | — | 1,363,150 | 1,503,031 | 12,719 | ||||||||||||||||||||
| 81,861 | 64,027 | 92,853 | 49,493 | 94,915 | 128,950 | 40,509 | ||||||||||||||||||||
| 11,259 | 9,762 | 11,953 | 8,693 | 13,919 | 14,841 | 7,987 | �� | |||||||||||||||||||
| 8,830 | 15,269 | 10,247 | 11,398 | 162,580 | 137,434 | 2,631 | ||||||||||||||||||||
| 2,585 | 2,150 | 3,035 | 1,703 | 3,408 | 3,527 | 1,471 | ||||||||||||||||||||
| 12,750 | 6,325 | 12,752 | 3,272 | 9,654 | 23,080 | 2,231 | ||||||||||||||||||||
| 6,183 | 5,468 | 6,223 | 7,175 | 34,111 | 18,385 | 4,694 | ||||||||||||||||||||
| 960,683 | 1,003,999 | 1,904,361 | 247,861 | 2,714,440 | 4,008,164 | 79,873 | ||||||||||||||||||||
| — | — | — | — | — | (399,934 | ) | (54,890 | ) | ||||||||||||||||||
| (111 | ) | (136 | ) | (68 | ) | (325 | ) | (1,487 | ) | (225 | ) | (53 | ) | |||||||||||||
| 960,572 | 1,003,863 | 1,904,293 | 247,536 | 2,712,953 | 3,608,005 | 24,930 | ||||||||||||||||||||
| 363,495 | 774,891 | 581,302 | 328,667 | 8,174,670 | 15,123,694 | 2,052 | ||||||||||||||||||||
| 28,574,917 | 22,715,790 | 24,594,691 | 4,359,620 | 22,021,543 | 46,646,010 | (a) | 56,477 | |||||||||||||||||||
| — | — | — | 45,960 | 177,107 | — | — | ||||||||||||||||||||
| — | — | — | — | (182,402 | ) | (80,850 | ) | — | ||||||||||||||||||
| (5,990,677 | ) | (9,395,250 | ) | 4,175,894 | 2,882,863 | (7,523,031 | ) | (18,151,843 | ) | 350,130 | ||||||||||||||||
| — | — | — | 42,512 | 95,406 | — | — | ||||||||||||||||||||
| — | — | — | — | (61,795 | ) | (874 | ) | — | ||||||||||||||||||
| — | — | — | — | 476 | (75,583 | ) | — | |||||||||||||||||||
| 22,584,240 | 13,320,540 | 28,770,585 | 7,330,955 | 14,527,304 | 28,336,860 | 406,607 | ||||||||||||||||||||
| $22,947,735 |
| $ | 14,095,431 | $ | 29,351,887 | $ | 7,659,622 | $ | 22,701,974 | $ | 43,460,554 | $ | 408,659 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
333
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the six months ended June 30, 2011 (unaudited) | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 47,418 | $ | 47,967 | $ | 420,388 | $ | 2,295,305 | ||||||||
Interest | — | — | — | 7,527 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | — | — | 829 | 38,446 | ||||||||||||
Foreign dividend tax withholding | (1,289 | ) | (931 | ) | (187 | ) | (129,483 | ) | ||||||||
Total Investment Income | 46,129 | 47,036 | 421,030 | 2,211,795 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 20,107 | 11,761 | 108,719 | 1,570,915 | ||||||||||||
Sub-Adviser fees | 43,564 | 17,642 | 186,375 | — | ||||||||||||
Administrative service fees | 41,340 | 40,784 | 46,213 | 79,273 | ||||||||||||
Audit and legal fees | 8,038 | 8,006 | 8,438 | 10,955 | ||||||||||||
Custody fees | 2,585 | 5,716 | 17,147 | 12,520 | ||||||||||||
Insurance expenses | 1,505 | 1,481 | 1,594 | 2,470 | ||||||||||||
Directors’ fees | 2,231 | 2,231 | 2,691 | 9,012 | ||||||||||||
Other expenses | 4,917 | 4,705 | 5,265 | 5,763 | ||||||||||||
Total Expenses Before Reimbursement | 124,287 | 92,326 | 376,442 | 1,690,908 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (57,098 | ) | (53,775 | ) | (62,125 | ) | (423,779 | ) | ||||||||
Custody earnings credit | (167 | ) | (132 | ) | (214 | ) | (66 | ) | ||||||||
Total Net Expenses | 67,022 | 38,419 | 314,103 | 1,267,063 | ||||||||||||
Net Investment Income/(Loss) | (20,893 | ) | 8,617 | 106,927 | 944,732 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 755,476 | 858,262 | 4,517,406 | 23,070,306 | ||||||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | 11 | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 231,145 | (505,822 | ) | (2,450,599 | ) | (9,936,038 | ) | |||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 986,621 | 352,451 | 2,066,807 | 13,134,268 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 965,728 | $ | 361,068 | $ | 2,173,734 | $ | 14,079,000 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
334
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 | ||||||||||||||||||||
| $ | 4,737,339 | $ | 218,224 | $ | 8,884,729 | $ | 5,197,035 | $ | 3,248,086 | $ | 951,704 | $ | 1,710,690 | |||||||||||||
| 5,599 | — | 5,055 | 25,176 | 3,619 | 179,463 | 1,192,654 | ||||||||||||||||||||
| — | — | — | — | — | — | 410,137 | ||||||||||||||||||||
| 44,896 | 610 | 12,220 | 28,265 | 14,992 | — | 8,561 | ||||||||||||||||||||
| (157,100 | ) | (934 | ) | (107,585 | ) | (128,469 | ) | — | (19,837 | ) | — | |||||||||||||||
| 4,630,734 | 217,900 | 8,794,419 | 5,122,007 | 3,266,697 | 1,111,330 | 3,322,042 | ||||||||||||||||||||
| 1,937,009 | 121,092 | 2,487,363 | 2,013,370 | 558,387 | 274,740 | 461,994 | ||||||||||||||||||||
| — | 121,092 | — | — | — | — | — | ||||||||||||||||||||
| 136,850 | 46,055 | 122,912 | 103,562 | 73,093 | 48,454 | 66,669 | ||||||||||||||||||||
| 15,683 | 8,441 | 14,192 | 12,829 | 10,547 | 8,523 | 10,122 | ||||||||||||||||||||
| 26,288 | 10,658 | 13,163 | 21,532 | 16,863 | 7,690 | 19,986 | ||||||||||||||||||||
| 3,520 | 1,595 | 3,619 | 2,985 | 2,202 | 1,749 | 2,013 | ||||||||||||||||||||
| 33,710 | 2,823 | 19,938 | 17,249 | 12,973 | 2,298 | 11,475 | ||||||||||||||||||||
| 7,879 | 5,533 | 7,053 | 6,785 | 8,527 | 6,606 | 13,022 | ||||||||||||||||||||
| 2,160,939 | 317,289 | 2,668,240 | 2,178,312 | 682,592 | 350,060 | 585,281 | ||||||||||||||||||||
| — | (30,273 | ) | — | — | — | — | — | |||||||||||||||||||
| (63 | ) | (109 | ) | (57 | ) | (105 | ) | (122 | ) | (581 | ) | (205 | ) | |||||||||||||
| 2,160,876 | 286,907 | 2,668,183 | 2,178,207 | 682,470 | 349,479 | 585,076 | ||||||||||||||||||||
| 2,469,858 | (69,007 | ) | 6,126,236 | 2,943,800 | 2,584,227 | 761,851 | 2,736,966 | |||||||||||||||||||
| 75,890,437 | 5,203,804 | 40,577,768 | 42,294,472 | (264,906 | ) | 6,765,340 | 5,747,626 | |||||||||||||||||||
| 260,570 | — | — | 36,979 | — | (6,291 | ) | — | |||||||||||||||||||
| — | — | — | 1,622,922 | 287,446 | 293,688 | (72,019 | ) | |||||||||||||||||||
| — | (281 | ) | — | — | — | — | — | |||||||||||||||||||
| (45,373,078 | ) | (2,177,480 | ) | (12,800,000 | ) | (22,150,800 | ) | 16,381,964 | (3,070,553 | ) | 4,591,036 | |||||||||||||||
| (115,413 | ) | — | — | (13,650 | ) | — | (8,138 | ) | — | |||||||||||||||||
| — | — | — | (558,965 | ) | 64,528 | 96,116 | 186,130 | |||||||||||||||||||
| — | 392 | — | — | — | — | — | ||||||||||||||||||||
| 30,662,516 | 3,026,435 | 27,777,768 | 21,230,958 | 16,469,032 | 4,070,162 | 10,452,773 | ||||||||||||||||||||
| $ | 33,132,374 |
| $ | 2,957,428 | $ | 33,904,004 | $ | 24,174,758 | $ | 19,053,259 | $ | 4,832,013 | $ | 13,189,739 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
335
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the six months ended June 30, 2011 (unaudited) | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 405,484 | $ | 896,056 | $ | — | $ | 326,730 | ||||||||
Interest | 31,765,562 | 2,286,113 | 146,604 | 33,432,034 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | 1,120,559 | ||||||||||||
Income from securities loaned | 121,241 | 15,426 | — | 12,864 | ||||||||||||
Income from affiliated investments | — | — | — | 687,726 | ||||||||||||
Foreign dividend tax withholding | — | (15,429 | ) | — | — | |||||||||||
Total Investment Income | 32,292,287 | 3,182,166 | 146,604 | 35,579,913 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 1,567,228 | 226,027 | 11,919 | 2,729,016 | ||||||||||||
Sub-Adviser fees | — | — | 15,892 | — | ||||||||||||
Administrative service fees | 118,361 | 51,301 | 40,794 | 176,451 | ||||||||||||
Audit and legal fees | 14,294 | 8,804 | 8,687 | 18,846 | ||||||||||||
Custody fees | 13,114 | 8,374 | 3,181 | 24,262 | ||||||||||||
Insurance expenses | 3,239 | 1,801 | 1,479 | 4,735 | ||||||||||||
Directors’ fees | 19,928 | 4,553 | 2,230 | 30,612 | ||||||||||||
Other expenses | 12,346 | 8,996 | 6,338 | 20,345 | ||||||||||||
Total Expenses Before Reimbursement | 1,748,510 | 309,856 | 90,520 | 3,004,267 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | (63,395 | ) | (34,550 | ) | ||||||||||
Custody earnings credit | (128 | ) | (561 | ) | (110 | ) | (114 | ) | ||||||||
Total Net Expenses | 1,748,382 | 309,295 | 27,015 | 2,969,603 | ||||||||||||
Net Investment Income/(Loss) | 30,543,905 | 2,872,871 | 119,589 | 32,610,310 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 19,460,069 | 4,403,312 | 62,658 | 22,279,043 | ||||||||||||
Affiliated investments | — | — | — | 1,587,735 | ||||||||||||
Written option contracts | — | (3,862 | ) | — | — | |||||||||||
Futures contracts | — | (14,350 | ) | (20,643 | ) | 221,031 | ||||||||||
Foreign currency transactions | — | (1,406 | ) | — | — | |||||||||||
Swap agreements | 48,334 | (348,663 | ) | — | (585,746 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (14,403,366 | ) | (2,903,747 | ) | (9,650 | ) | (1,239,091 | ) | ||||||||
Affiliated investments | — | — | — | (1,449,270 | ) | |||||||||||
Written option contracts | — | (5,051 | ) | — | — | |||||||||||
Futures contracts | — | (35,006 | ) | 13,051 | (6,057,548 | ) | ||||||||||
Swap agreements | — | 306,020 | — | (41,489 | ) | |||||||||||
Net Realized and Unrealized Gains/(Losses) | 5,105,037 | 1,397,247 | 45,416 | 14,714,665 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 35,648,942 | $ | 4,270,118 | $ | 165,005 | $ | 47,324,975 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
336
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||
| $ | — | $ | 216,961 | $ | — | $ | 7,917 | |||||||
| 1,935,497 | 19,590,413 | 332,278 | 219,353 | |||||||||||
| 807,181 | 288,533 | 354,340 | — | |||||||||||
| 2,118 | 10,707 | — | — | |||||||||||
| — | 789,510 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| 2,744,796 | 20,896,124 | 686,618 | 227,270 | |||||||||||
| 269,531 | 2,745,354 | 82,444 | 317,457 | |||||||||||
| — | — | — | — | |||||||||||
| 55,402 | 177,268 | 43,298 | 55,873 | |||||||||||
| 9,331 | 18,769 | 8,233 | 9,237 | |||||||||||
| 8,385 | 22,907 | 4,654 | 8,326 | |||||||||||
| 1,780 | 5,391 | 1,533 | 1,594 | |||||||||||
| 6,965 | 27,740 | 2,706 | 5,971 | |||||||||||
| 9,655 | 14,592 | 5,441 | 5,615 | |||||||||||
| 361,049 | 3,012,021 | 148,309 | 404,073 | |||||||||||
| — | (39,578 | ) | — | (172,886 | ) | |||||||||
| (232 | ) | (72 | ) | (395 | ) | (3 | ) | |||||||
| 360,817 | 2,972,371 | 147,914 | 231,184 | |||||||||||
| 2,383,979 | 17,923,753 | 538,704 | (3,914 | ) | ||||||||||
| 1,059,309 | 9,902,332 | 440,368 | 3,914 | |||||||||||
| — | — | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | (2,125,978 | ) | 8,064 | — | ||||||||||
| — | — | — | — | |||||||||||
| — | (736,390 | ) | — | — | ||||||||||
| 1,425,870 | 1,086,460 | (20,939 | ) | — | ||||||||||
| — | 126,243 | — | — | |||||||||||
| — | — | 898 | — | |||||||||||
| — | (6,588,744 | ) | 15,468 | — | ||||||||||
| — | 242,550 | — | — | |||||||||||
| 2,485,179 | 1,906,473 | 443,859 | 3,914 | |||||||||||
$ | 4,869,158 |
| $ | 19,830,226 | $ | 982,563 | $ | — | ||||||
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
| Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | |||||||||||||||
For the periods ended | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 1,314,998 | $ | 4,932,595 | $ | 15,091,463 | $ | 39,949,882 | ||||||||
Net realized gains/(losses) | 15,713,895 | 12,868,104 | 36,317,592 | 54,407,266 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 14,583,163 | 69,017,762 | 64,951,473 | 231,966,142 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 31,612,056 | 86,818,461 | 116,360,528 | 326,323,290 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (7,624,972 | ) | (7,662,901 | ) | (51,900,841 | ) | (49,859,905 | ) | ||||||||
From net realized gains | (9,854,172 | ) | (4,658,714 | ) | (31,682,401 | ) | (32,185,155 | ) | ||||||||
Total Distributions to Shareholders | (17,479,144 | ) | (12,321,615 | ) | (83,583,242 | ) | (82,045,060 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 33,624,606 | 49,645,698 | 198,180,989 | 298,120,172 | ||||||||||||
Distributions reinvested | 17,479,144 | 12,321,615 | 83,583,242 | 82,045,060 | ||||||||||||
Redeemed | (27,183,797 | ) | (46,935,716 | ) | (42,523,279 | ) | (101,856,910 | ) | ||||||||
Capital Stock Transactions | 23,919,953 | 15,031,597 | 239,240,952 | 278,308,322 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 38,052,865 | 89,528,443 | 272,018,238 | 522,586,552 | ||||||||||||
Net Assets, Beginning of Period | 587,105,042 | 497,576,599 | 2,505,554,313 | 1,982,967,761 | ||||||||||||
Net Assets, End of Period | $ | 625,157,907 | $ | 587,105,042 | $ | 2,777,572,551 | $ | 2,505,554,313 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 1,363,967 | $ | 7,673,941 | $ | 15,197,056 | $ | 52,006,434 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 2,655,918 | 4,524,218 | 16,114,366 | 27,140,256 | ||||||||||||
Distributions reinvested | 1,452,649 | 1,191,980 | 7,154,139 | 7,946,176 | ||||||||||||
Redeemed | (2,143,286 | ) | (4,349,806 | ) | (3,461,457 | ) | (9,392,696 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 1,965,281 | 1,366,392 | 19,807,048 | 25,693,736 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
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
| Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | |||||||||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||||||||
| $ | 34,785,556 | $ | 76,087,432 | $ | 19,013,437 | $ | 36,500,892 | $ | (96,459 | ) | $ | (178,783 | ) | $ | 61,859 | $ | (23,805 | ) | ||||||||||||
| 37,773,003 | 73,544,508 | 16,019,629 | 24,333,345 | 3,073,883 | 3,132,366 | 459,222 | 616,981 | |||||||||||||||||||||||
| 73,690,163 | 257,696,702 | 17,084,497 | 86,495,720 | (2,939,276 | ) | 4,253,477 | 502,700 | 1,033,839 | ||||||||||||||||||||||
| 146,248,722 | 407,328,642 | 52,117,563 | 147,329,957 | 38,148 | 7,207,060 | 1,023,781 | 1,627,015 | |||||||||||||||||||||||
| (86,731,755 | ) | (76,890,890 | ) | (38,905,574 | ) | (31,302,287 | ) | — | — | — | (23,542 | ) | ||||||||||||||||||
| (56,121,130 | ) | (45,561,952 | ) | (23,432,837 | ) | (19,836,135 | ) | — | — | (593,771 | ) | (262,307 | ) | |||||||||||||||||
| (142,852,885 | ) | (122,452,842 | ) | (62,338,411 | ) | (51,138,422 | ) | — | — | (593,771 | ) | (285,849 | ) | |||||||||||||||||
| 410,949,509 | 614,351,156 | 242,106,224 | 427,186,569 | 2,624,367 | 4,407,853 | 2,066,075 | 5,259,908 | |||||||||||||||||||||||
| 142,852,885 | 122,452,842 | 62,338,411 | 51,138,422 | — | — | 593,771 | 285,849 | |||||||||||||||||||||||
| (48,110,379 | ) | (110,836,145 | ) | (28,018,848 | ) | (58,578,795 | ) | (3,541,384 | ) | (6,258,515 | ) | (1,344,762 | ) | (2,317,699 | ) | |||||||||||||||
| 505,692,015 | 625,967,853 | 276,425,787 | 419,746,196 | (917,017 | ) | (1,850,662 | ) | 1,315,084 | 3,228,058 | |||||||||||||||||||||
| 509,087,852 | 910,843,653 | 266,204,939 | 515,937,731 | (878,869 | ) | 5,356,398 | 1,745,094 | 4,569,224 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||||
| $ | 4,078,457,138 | $ | 3,569,369,286 | $ | 1,857,522,421 | $ | 1,591,317,482 | $ | 35,426,159 | $ | 36,305,028 | $ | 19,613,277 | $ | 17,868,183 | |||||||||||||||
| $ | 34,880,802 |
| $ | 86,827,001 | $ | 19,038,906 | $ | 38,931,043 | $ | (106,984 | ) | $ | (10,525 | ) | $ | 56,613 | $ | (5,246 | ) | |||||||||||
| 33,876,879 | 55,461,086 | 20,316,049 | 38,370,189 | 365,604 | 724,915 | 167,424 | 455,646 | |||||||||||||||||||||||
| 12,349,397 | 11,646,203 | 5,439,794 | 4,793,583 | — | — | 49,636 | 26,100 | |||||||||||||||||||||||
| (3,968,881 | ) | (10,069,318 | ) | (2,351,294 | ) | (5,244,829 | ) | (494,948 | ) | (1,059,465 | ) | (108,064 | ) | (203,825 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 42,257,395 | 57,037,971 | 23,404,549 | 37,918,943 | (129,344 | ) | (334,550 | ) | 108,996 | 277,921 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
339
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | |||||||||||||||
For the periods ended | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 25,731 | $ | (12,343 | ) | $ | 376,797 | $ | 190,917 | |||||||
Net realized gains/(losses) | 5,183,659 | (7,377 | ) | 512,119 | (19,638 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) | (2,476,172 | ) | 3,874,560 | (198,930 | ) | 6,533,560 | ||||||||||
Net Change in Net Assets Resulting From Operations | 2,733,218 | 3,854,840 | 689,986 | 6,704,839 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (24,409 | ) | (19,477 | ) | (432,330 | ) | — | |||||||||
Total Distributions to Shareholders | (24,409 | ) | (19,477 | ) | (432,330 | ) | — | |||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 8,969,010 | 7,563,833 | 7,249,020 | 22,150,878 | ||||||||||||
Distributions reinvested | 24,409 | 19,477 | 432,330 | — | ||||||||||||
Redeemed | (1,852,830 | ) | (3,851,104 | ) | (5,656,436 | ) | (5,338,930 | ) | ||||||||
Capital Stock Transactions | 7,140,589 | 3,732,206 | 2,024,914 | 16,811,948 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 9,849,398 | 7,567,569 | 2,282,570 | 23,516,787 | ||||||||||||
Net Assets, Beginning of Period | 28,699,411 | 21,131,842 | 40,943,672 | 17,426,885 | ||||||||||||
Net Assets, End of Period | $ | 38,548,809 | $ | 28,699,411 | $ | 43,226,242 | $ | 40,943,672 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (14,945 | ) | $ | (16,267 | ) | $ | 92,190 | $ | 147,723 | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 869,695 | 912,419 | 596,141 | 2,019,483 | ||||||||||||
Distributions reinvested | 2,450 | 2,527 | 35,959 | — | ||||||||||||
Redeemed | (180,246 | ) | (482,071 | ) | (470,668 | ) | (504,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 691,899 | 432,875 | 161,432 | 1,514,975 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
340
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 | |||||||||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||||||||
| $ | 3,138,699 | $ | 4,836,890 | $ | 109,101 | $ | 195,676 | $ | (791,749 | ) | $ | (1,082,589 | ) | $ | 661,102 | $ | 1,842,784 | |||||||||||||
| 8,760,236 | 7,698,310 | 141,265 | (295,153 | ) | 32,716,824 | 22,505,875 | 3,145,703 | 6,589,551 | ||||||||||||||||||||||
| 23,319,450 | 60,495,701 | 391,071 | 605,367 | (9,798,196 | ) | 25,265,662 | 6,742,899 | 44,504,600 | ||||||||||||||||||||||
| 35,218,385 | 73,030,901 | 641,437 | 505,890 | 22,126,879 | 46,688,948 | 10,549,704 | 52,936,935 | |||||||||||||||||||||||
| — | (8,680,000 | ) | (188,302 | ) | (150,229 | ) | — | — | (560,137 | ) | (2,402,557 | ) | ||||||||||||||||||
| — | (8,680,000 | ) | (188,302 | ) | (150,229 | ) | — | — | (560,137 | ) | (2,402,557 | ) | ||||||||||||||||||
| 5,310,035 | 22,234,058 | 1,497,267 | 2,299,675 | 3,982,790 | 9,014,114 | 2,475,294 | 12,437,630 | |||||||||||||||||||||||
| — | 8,680,000 | 188,302 | 150,229 | — | — | 560,137 | 2,402,557 | |||||||||||||||||||||||
| (12,472,928 | ) | (31,217,013 | ) | (655,001 | ) | (1,275,037 | ) | (4,432,873 | ) | (7,664,976 | ) | (8,679,831 | ) | (24,782,056 | ) | |||||||||||||||
| (7,162,893 | ) | (302,955 | ) | 1,030,568 | 1,174,867 | (450,083 | ) | 1,349,138 | (5,644,400 | ) | (9,941,869 | ) | ||||||||||||||||||
| 28,055,492 | 64,047,946 | 1,483,703 | 1,530,528 | 21,676,796 | 48,038,086 | 4,345,167 | 40,592,509 | |||||||||||||||||||||||
| 329,450,651 | 265,402,705 | 7,906,814 | 6,376,286 | 208,524,665 | 160,486,579 | 266,938,882 | 226,346,373 | |||||||||||||||||||||||
| $ | 357,506,143 | $ | 329,450,651 | $ | 9,390,517 | $ | 7,906,814 | $ | 230,201,461 | $ | 208,524,665 | $ | 271,284,049 | $ | 266,938,882 | |||||||||||||||
| $ | 3,105,842 | $ | (32,857 | ) | $ | 111,193 | $ | 190,394 | $ | (1,002,450 | ) | $ | (210,701 | ) | $ | 114,397 | $ | 13,432 | ||||||||||||
| 346,519 | 1,766,561 | 178,976 | 302,294 | 287,387 | 850,994 | 126,908 | 758,747 | |||||||||||||||||||||||
| — | 598,464 | 22,572 | 20,755 | — | — | 29,458 | 130,058 | |||||||||||||||||||||||
| (811,377 | ) | (2,377,533 | ) | (78,040 | ) | (167,856 | ) | (320,608 | ) | (718,272 | ) | (442,146 | ) | (1,410,305 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (464,858 | ) | (12,508 | ) | 123,508 | 155,193 | (33,221 | ) | 132,722 | (285,780 | ) | (521,500 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
341
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 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | (209,835 | ) | $ | (291,640 | ) | $ | 565,922 | $ | 1,743,657 | ||||||
Net realized gains/(losses) | 36,857,777 | 55,417,334 | 9,361,584 | 13,215,131 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (16,899,606 | ) | 6,615,584 | 5,628,769 | 32,309,249 | |||||||||||
Net Change in Net Assets Resulting From Operations | 19,748,336 | 61,741,278 | 15,556,275 | 47,268,037 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | — | (107,303 | ) | (1,738,716 | ) | (1,688,689 | ) | |||||||||
From net realized gains | — | — | (5,929,388 | ) | — | |||||||||||
Total Distributions to Shareholders | — | (107,303 | ) | (7,668,104 | ) | (1,688,689 | ) | |||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 4,801,386 | 13,439,189 | 1,575,667 | 3,643,585 | ||||||||||||
Distributions reinvested | — | 107,303 | 7,668,104 | 1,688,689 | ||||||||||||
Redeemed | (19,599,448 | ) | (30,435,902 | ) | (20,615,947 | ) | (34,729,940 | ) | ||||||||
Capital Stock Transactions | (14,798,062 | ) | (16,889,410 | ) | (11,372,176 | ) | (29,397,666 | ) | ||||||||
Net Increase/(Decrease) in Net Assets | 4,950,274 | 44,744,565 | (3,484,005 | ) | 16,181,682 | |||||||||||
Net Assets, Beginning of Period | 303,237,303 | 258,492,738 | 220,101,174 | 203,919,492 | ||||||||||||
Net Assets, End of Period | $ | 308,187,577 | $ | 303,237,303 | $ | 216,617,169 | $ | 220,101,174 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (248,629 | ) | $ | (38,794 | ) | $ | 535,877 | $ | 1,708,671 | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 365,163 | 1,298,393 | 114,102 | 318,673 | ||||||||||||
Distributions reinvested | — | 10,599 | 585,316 | 155,052 | ||||||||||||
Redeemed | (1,471,144 | ) | (2,886,516 | ) | (1,498,900 | ) | (3,081,494 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (1,105,981 | ) | (1,577,524 | ) | (799,482 | ) | (2,607,769 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
342
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 | |||||||||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||||||||
| $ | (67,851 | ) | $ | 158,648 | $ | 363,495 | $ | 1,258,925 | $ | 774,891 | $ | 1,465,614 | $ | 581,302 | $ | 2,039,361 | ||||||||||||||
| 9,032,137 | 17,017,642 | 28,574,917 | 34,366,352 | 22,715,790 | 19,361,980 | 24,594,691 | 36,061,225 | |||||||||||||||||||||||
| 575,664 | 18,083,987 | (5,990,677 | ) | 62,196,129 | (9,395,250 | ) | 25,881,479 | 4,175,894 | 69,833,782 | |||||||||||||||||||||
| 9,539,950 | 35,260,277 | 22,947,735 | 97,821,406 | 14,095,431 | 46,709,073 | 29,351,887 | 107,934,368 | |||||||||||||||||||||||
| (164,024 | ) | — | (1,271,495 | ) | (947,099 | ) | (501,793 | ) | (1,688,800 | ) | (227,230 | ) | (2,143,045 | ) | ||||||||||||||||
| (5,762,903 | ) | (12,175,789 | ) | — | — | — | — | — | — | |||||||||||||||||||||
| (5,926,927 | ) | (12,175,789 | ) | (1,271,495 | ) | (947,099 | ) | (501,793 | ) | (1,688,800 | ) | (227,230 | ) | (2,143,045 | ) | |||||||||||||||
| 844,243 | 4,127,514 | 10,851,859 | 12,318,445 | 1,992,355 | 10,033,281 | 3,043,514 | 16,381,052 | |||||||||||||||||||||||
| 5,926,927 | 12,175,789 | 1,271,495 | 947,099 | 501,793 | 1,688,800 | 227,230 | 2,143,045 | |||||||||||||||||||||||
| (2,233,219 | ) | (5,002,263 | ) | (36,761,055 | ) | (55,446,013 | ) | (2,791,176 | ) | (8,283,642 | ) | (17,222,700 | ) | (56,361,371 | ) | |||||||||||||||
| 4,537,951 | 11,301,040 | (24,637,701 | ) | (42,180,469 | ) | (297,028 | ) | 3,438,439 | (13,951,956 | ) | (37,837,274 | ) | ||||||||||||||||||
| 8,150,974 | 34,385,528 | (2,961,461 | ) | 54,693,838 | 13,296,610 | 48,458,712 | 15,172,701 | 67,954,049 | ||||||||||||||||||||||
| 160,228,019 | 125,842,491 | 419,909,337 | 365,215,499 | 232,162,749 | 183,704,037 | 511,476,533 | 443,522,484 | |||||||||||||||||||||||
| $ | 168,378,993 | $ | 160,228,019 | $ | 416,947,876 | $ | 419,909,337 | $ | 245,459,359 | $ | 232,162,749 | $ | 526,649,234 | $ | 511,476,533 | |||||||||||||||
| $ | (104,487 | ) | $ | 127,388 | $ | 243,918 | $ | 1,151,918 | $ | 749,873 | $ | 476,775 | $ | 492,927 | $ | 138,855 | ||||||||||||||
| 82,412 | 478,499 | 566,289 | 780,913 | 143,627 | 903,936 | 234,727 | 1,646,930 | |||||||||||||||||||||||
| 605,165 | 1,262,455 | 67,592 | 63,855 | 36,760 | 136,786 | 18,241 | 180,466 | |||||||||||||||||||||||
| (218,064 | ) | (563,662 | ) | (1,914,850 | ) | (3,557,867 | ) | (200,210 | ) | (680,225 | ) | (1,323,189 | ) | (5,350,949 | ) | |||||||||||||||
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|
| |||||||||||||||
| 469,513 | 1,177,292 | (1,280,969 | ) | (2,713,099 | ) | (19,823 | ) | 360,497 | (1,070,221 | ) | (3,523,553 | ) | ||||||||||||||||||
|
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|
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|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
343
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 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 328,667 | $ | 710,547 | $ | 8,174,670 | $ | 6,499,765 | ||||||||
Net realized gains/(losses) | 4,405,580 | 6,190,215 | 22,016,248 | 5,131,016 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 2,925,375 | 13,514,870 | (7,488,944 | ) | 46,651,811 | |||||||||||
Net Change in Net Assets Resulting From Operations | 7,659,622 | 20,415,632 | 22,701,974 | 58,282,592 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (714,334 | ) | (915,779 | ) | (296,776 | ) | (6,741,083 | ) | ||||||||
From net realized gains | (5,251,300 | ) | — | — | — | |||||||||||
Total Distributions to Shareholders | (5,965,634 | ) | (915,779 | ) | (296,776 | ) | (6,741,083 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 1,723,808 | 3,692,861 | 47,834,854 | 215,387,135 | ||||||||||||
Distributions reinvested | 5,965,634 | 915,779 | 296,776 | 6,741,083 | ||||||||||||
Redeemed | (10,233,361 | ) | (16,864,029 | ) | (4,535,671 | ) | (5,936,398 | ) | ||||||||
Capital Stock Transactions | (2,543,919 | ) | (12,255,389 | ) | 43,595,959 | 216,191,820 | ||||||||||
Net Increase/(Decrease) in Net Assets | (849,931 | ) | 7,244,464 | 66,001,157 | 267,733,329 | |||||||||||
Net Assets, Beginning of Period | 94,176,792 | 86,932,328 | 522,605,174 | 254,871,845 | ||||||||||||
Net Assets, End of Period | $ | 93,326,861 | $ | 94,176,792 | $ | 588,606,331 | $ | 522,605,174 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 313,263 | $ | 698,930 | $ | 6,952,147 | $ | (925,747 | ) | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 126,088 | 330,237 | 5,271,777 | 27,030,292 | ||||||||||||
Distributions reinvested | 472,525 | 86,004 | 33,776 | 768,871 | ||||||||||||
Redeemed | (748,262 | ) | (1,506,899 | ) | (506,745 | ) | (757,779 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (149,649 | ) | (1,090,658 | ) | 4,798,808 | 27,041,384 | ||||||||||
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|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
344
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 | |||||||||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||||||||
| $ | 15,123,694 | $ | 16,436,338 | $ | 2,052 | $ | 2,201 | $ | (20,893 | ) | $ | (14,613 | ) | $ | 8,617 | $ | 24,879 | |||||||||||||
| 46,565,160 | 7,284,176 | 56,477 | (9,014 | ) | 755,476 | 156,516 | 858,273 | 439,956 | ||||||||||||||||||||||
| (18,228,300 | ) | 46,575,330 | 350,130 | 709,608 | 231,145 | 1,970,797 | (505,822 | ) | 630,686 | |||||||||||||||||||||
| 43,460,554 | 70,295,844 | 408,659 | 702,795 | 965,728 | 2,112,700 | 361,068 | 1,095,521 | |||||||||||||||||||||||
| (312,749 | ) | (16,065,985 | ) | (45 | ) | (4,433 | ) | — | — | (44,465 | ) | — | ||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (312,749 | ) | (16,065,985 | ) | (45 | ) | (4,433 | ) | — | — | (44,465 | ) | — | ||||||||||||||||||
| 5,154,475 | 4,983,579 | 1,335,588 | 1,834,566 | 3,283,053 | 4,249,755 | 1,153,237 | 2,323,618 | |||||||||||||||||||||||
| 312,749 | 16,065,985 | 45 | 4,433 | — | — | 44,465 | — | |||||||||||||||||||||||
| (45,449,053 | ) | (68,883,073 | ) | (347,446 | ) | (2,240,089 | ) | (1,340,961 | ) | (2,700,508 | ) | (820,201 | ) | (1,584,915 | ) | |||||||||||||||
| (39,981,829 | ) | (47,833,509 | ) | 988,187 | (401,090 | ) | 1,942,092 | 1,549,247 | 377,501 | 738,703 | ||||||||||||||||||||
| 3,165,976 | 6,396,350 | 1,396,801 | 297,272 | 2,907,820 | 3,661,947 | 694,104 | 1,834,224 | |||||||||||||||||||||||
| 889,339,432 | 882,943,082 | 4,427,287 | 4,130,015 | 11,758,387 | 8,096,440 | 7,357,684 | 5,523,460 | |||||||||||||||||||||||
| $ | 892,505,408 | $ | 889,339,432 | $ | 5,824,088 | $ | 4,427,287 | $ | 14,666,207 | $ | 11,758,387 | $ | 8,051,788 | $ | 7,357,684 | |||||||||||||||
| $ | 14,221,367 | $ | (589,578 | ) | $ | (3,200 | ) | $ | (5,207 | ) | $ | (26,153 | ) | $ | (5,260 | ) | $ | 4,039 | $ | 39,887 | ||||||||||
| 468,186 | 514,732 | 122,134 | 201,950 | 311,562 | 490,313 | 122,356 | 289,627 | |||||||||||||||||||||||
| 29,241 | 1,508,576 | 4 | 428 | — | — | 4,853 | — | |||||||||||||||||||||||
| (4,117,236 | ) | (7,059,463 | ) | (32,049 | ) | (246,241 | ) | (127,114 | ) | (330,236 | ) | (86,542 | ) | (202,448 | ) | |||||||||||||||
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| |||||||||||||||
| (3,619,809 | ) | (5,036,155 | ) | 90,089 | (43,863 | ) | 184,448 | 160,077 | 40,667 | 87,179 | ||||||||||||||||||||
|
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|
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| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
345
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 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 106,927 | $ | 284,298 | $ | 944,732 | $ | 1,138,069 | ||||||||
Net realized gains/(losses) | 4,517,406 | 5,317,492 | 23,070,306 | 42,707,448 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (2,450,599 | ) | 3,419,746 | (9,936,038 | ) | (14,270,355 | ) | |||||||||
Net Change in Net Assets Resulting From Operations | 2,173,734 | 9,021,536 | 14,079,000 | �� | 29,575,162 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (361,337 | ) | (425,206 | ) | (548,812 | ) | (1,062,853 | ) | ||||||||
From net realized gains | — | — | (7,238,369 | ) | (46,391,869 | ) | ||||||||||
Total Distributions to Shareholders | (361,337 | ) | (425,206 | ) | (7,787,181 | ) | (47,454,722 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 1,971,937 | 2,965,952 | 514,326 | 13,054,152 | ||||||||||||
Distributions reinvested | 361,337 | 425,206 | 7,787,181 | 47,454,722 | ||||||||||||
Redeemed | (6,398,728 | ) | (12,178,664 | ) | (1,652,591 | ) | (14,902,948 | ) | ||||||||
Capital Stock Transactions | (4,065,454 | ) | (8,787,506 | ) | 6,648,916 | 45,605,926 | ||||||||||
Net Increase/(Decrease) in Net Assets | (2,253,057 | ) | (191,176 | ) | 12,940,735 | 27,726,366 | ||||||||||
Net Assets, Beginning of Period | 62,423,639 | 62,614,815 | 385,112,197 | 357,385,831 | ||||||||||||
Net Assets, End of Period | $ | 60,170,582 | $ | 62,423,639 | $ | 398,052,932 | $ | 385,112,197 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 22,860 | $ | 277,270 | $ | 916,893 | $ | 520,973 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 214,145 | 373,560 | 71,780 | 1,814,296 | ||||||||||||
Distributions reinvested | 41,168 | 56,045 | 1,155,762 | 6,959,263 | ||||||||||||
Redeemed | (695,635 | ) | (1,537,172 | ) | (232,316 | ) | (2,072,421 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (440,322 | ) | (1,107,567 | ) | 995,226 | 6,701,138 | ||||||||||
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|
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|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
346
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 | |||||||||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||||||||
| $ | 2,469,858 | $ | 5,398,474 | $ | (69,007 | ) | $ | (111,541 | ) | $ | 6,126,236 | $ | 10,379,540 | $ | 2,943,800 | $ | 4,398,244 | |||||||||||||
| 76,151,007 | 74,005,891 | 5,203,523 | 3,250,837 | 40,577,768 | 34,506,203 | 43,954,373 | 49,849,838 | |||||||||||||||||||||||
| (45,488,491 | ) | 17,421,764 | (2,177,088 | ) | 5,778,826 | (12,800,000 | ) | 46,319,560 | (22,723,415 | ) | 7,449,282 | |||||||||||||||||||
| 33,132,374 | 96,826,129 | 2,957,428 | 8,918,122 | 33,904,004 | 91,205,303 | 24,174,758 | 61,697,364 | |||||||||||||||||||||||
| (252,199 | ) | (5,477,772 | ) | — | (10,928 | ) | (178,536 | ) | (10,382,197 | ) | (72,332 | ) | (4,434,436 | ) | ||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (252,199 | ) | (5,477,772 | ) | — | (10,928 | ) | (178,536 | ) | (10,382,197 | ) | (72,332 | ) | (4,434,436 | ) | ||||||||||||||||
| 24,901,151 | 14,875,050 | 1,927,029 | 2,657,012 | 3,850,845 | 26,733,249 | 2,843,063 | 13,368,032 | |||||||||||||||||||||||
| 252,199 | 5,477,772 | — | 10,928 | 178,536 | 10,382,197 | 72,332 | 4,434,436 | |||||||||||||||||||||||
| (95,817,601 | ) | (153,711,612 | ) | (6,799,152 | ) | (11,486,072 | ) | (22,775,703 | ) | (39,675,311 | ) | (20,252,767 | ) | (64,056,535 | ) | |||||||||||||||
| (70,664,251 | ) | (133,358,790 | ) | (4,872,123 | ) | (8,818,132 | ) | (18,746,322 | ) | (2,559,865 | ) | (17,337,372 | ) | (46,254,067 | ) | |||||||||||||||
| (37,784,076 | ) | (42,010,433 | ) | (1,914,695 | ) | 89,062 | 14,979,146 | 78,263,241 | 6,765,054 | 11,008,861 | ||||||||||||||||||||
| 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 | |||||||||||||||||||||||
| $ | 945,518,452 | $ | 983,302,528 | $ | 59,512,392 | $ | 61,427,087 | $ | 826,262,243 | $ | 811,283,097 | $ | 635,046,457 | $ | 628,281,403 | |||||||||||||||
| $ | 2,354,872 | $ | 137,213 | $ | (80,058 | ) | $ | (11,051 | ) | $ | 6,079,511 | $ | 131,811 | $ | 2,883,161 | $ | 11,693 | |||||||||||||
| 1,415,005 | 965,096 | 160,200 | 255,064 | 343,686 | 2,762,528 | 323,711 | 1,738,095 | |||||||||||||||||||||||
| 15,074 | 325,518 | — | 1,117 | 16,597 | 968,598 | 8,524 | 522,294 | |||||||||||||||||||||||
| (5,473,865 | ) | (9,972,843 | ) | (567,829 | ) | (1,127,792 | ) | (2,037,582 | ) | (4,067,316 | ) | (2,304,286 | ) | (8,255,951 | ) | |||||||||||||||
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| |||||||||||||||
| (4,043,786 | ) | (8,682,229 | ) | (407,629 | ) | (871,611 | ) | (1,677,299 | ) | (336,190 | ) | (1,972,051 | ) | (5,995,562 | ) | |||||||||||||||
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|
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|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
347
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 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 2,584,227 | $ | 5,292,660 | $ | 761,851 | $ | 1,257,472 | ||||||||
Net realized gains/(losses) | 22,540 | 2,484,140 | 7,052,737 | 1,748,795 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 16,446,492 | 35,968,282 | (2,982,575 | ) | 6,746,238 | |||||||||||
Net Change in Net Assets Resulting From Operations | 19,053,259 | 43,745,082 | 4,832,013 | 9,752,505 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (5,204,623 | ) | (6,071,009 | ) | (238,167 | ) | (1,091,095 | ) | ||||||||
From net realized gains | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (5,204,623 | ) | (6,071,009 | ) | (238,167 | ) | (1,091,095 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,151,335 | 4,998,559 | 10,571,696 | 12,697,884 | ||||||||||||
Distributions reinvested | 5,204,623 | 6,071,009 | 238,167 | 1,091,095 | ||||||||||||
Redeemed | (28,719,710 | ) | (55,384,625 | ) | (1,284,170 | ) | (1,126,810 | ) | ||||||||
Capital Stock Transactions | (20,363,752 | ) | (44,315,057 | ) | 9,525,693 | 12,662,169 | ||||||||||
Net Increase/(Decrease) in Net Assets | (6,515,116 | ) | (6,640,984 | ) | 14,119,539 | 21,323,579 | ||||||||||
Net Assets, Beginning of Period | 331,529,491 | 338,170,475 | 76,302,671 | 54,979,092 | ||||||||||||
Net Assets, End of Period | $ | 325,014,375 | $ | 331,529,491 | $ | 90,422,210 | $ | 76,302,671 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 2,614,989 | $ | 5,235,385 | $ | 755,974 | $ | 232,290 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 170,282 | 312,434 | 1,116,285 | 1,490,262 | ||||||||||||
Distributions reinvested | 294,086 | 396,951 | 25,758 | 121,252 | ||||||||||||
Redeemed | (1,549,734 | ) | (3,450,988 | ) | (135,382 | ) | (139,940 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (1,085,366 | ) | (2,741,603 | ) | 1,006,661 | 1,471,574 | ||||||||||
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|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
348
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 | |||||||||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||||||||
| $ | 2,736,966 | $ | 5,784,781 | $ | 30,543,905 | $ | 64,037,035 | $ | 2,872,871 | $ | 5,935,878 | $ | 119,589 | $ | 221,472 | |||||||||||||||
| 5,675,607 | 9,675,197 | 19,508,403 | 18,724,722 | 4,035,031 | 2,684,198 | 42,015 | 242,800 | |||||||||||||||||||||||
| 4,777,166 | 18,180,722 | (14,403,366 | ) | 23,998,230 | (2,637,784 | ) | 5,500,594 | 3,401 | 11,620 | |||||||||||||||||||||
| 13,189,739 | 33,640,700 | 35,648,942 | 106,759,987 | 4,270,118 | 14,120,670 | 165,005 | 475,892 | |||||||||||||||||||||||
| (5,741,540 | ) | (7,030,465 | ) | (30,217,668 | ) | (64,046,375 | ) | (5,830,693 | ) | (4,650,351 | ) | (119,589 | ) | (221,596 | ) | |||||||||||||||
| (8,517,319 | ) | (1,826,310 | ) | — | — | — | — | — | (275,856 | ) | ||||||||||||||||||||
| (14,258,859 | ) | (8,856,775 | ) | (30,217,668 | ) | (64,046,375 | ) | (5,830,693 | ) | (4,650,351 | ) | (119,589 | ) | (497,452 | ) | |||||||||||||||
| 4,972,674 | 5,772,338 | 55,938,102 | 80,573,299 | 15,885,013 | 17,961,894 | 1,091,086 | 5,658,903 | |||||||||||||||||||||||
| 14,258,859 | 8,856,775 | 30,217,668 | 64,046,375 | 5,830,693 | 4,650,351 | 119,589 | 497,432 | |||||||||||||||||||||||
| (26,038,653 | ) | (49,978,166 | ) | (80,835,204 | ) | (160,313,331 | ) | (7,879,540 | ) | (13,225,573 | ) | (1,997,846 | ) | (3,516,635 | ) | |||||||||||||||
| (6,807,120 | ) | (35,349,053 | ) | 5,320,566 | (15,693,657 | ) | 13,836,166 | 9,386,672 | (787,171 | ) | 2,639,700 | |||||||||||||||||||
| (7,876,240 | ) | (10,565,128 | ) | 10,751,840 | 27,019,955 | 12,275,591 | 18,856,991 | (741,755 | ) | 2,618,140 | ||||||||||||||||||||
| 270,593,069 | 281,158,197 | 782,988,501 | 755,968,546 | 106,008,643 | 87,151,652 | 8,802,078 | 6,183,938 | |||||||||||||||||||||||
| $ | 262,716,829 | $ | 270,593,069 | $ | 793,740,341 | $ | 782,988,501 | $ | 118,284,234 | $ | 106,008,643 | $ | 8,060,323 | $ | 8,802,078 | |||||||||||||||
| $ | 2,719,162 | $ | 5,723,736 | $ | 855,295 | $ | 529,058 | $ | 2,854,554 | $ | 5,812,376 | $ | (1,422 | ) | $ | (1,422 | ) | |||||||||||||
| 325,291 | 421,740 | 11,406,331 | 17,296,149 | 2,280,234 | 2,825,605 | 105,034 | 530,437 | |||||||||||||||||||||||
| 999,857 | 670,373 | 6,165,120 | 13,795,413 | 888,202 | 770,104 | 11,554 | 47,873 | |||||||||||||||||||||||
| (1,711,318 | ) | (3,631,342 | ) | (16,464,867 | ) | (34,205,099 | ) | (1,130,694 | ) | (2,084,239 | ) | (193,459 | ) | (333,345 | ) | |||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (386,170 | ) | (2,539,229 | ) | 1,106,584 | (3,113,537 | ) | 2,037,742 | 1,511,470 | (76,871 | ) | 244,965 | |||||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
349
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Income Portfolio | Bond Index Portfolio | |||||||||||||||
For the periods ended | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 32,610,310 | $ | 64,673,260 | $ | 2,383,979 | $ | 5,102,426 | ||||||||
Net realized gains/(losses) | 23,502,063 | 39,392,671 | 1,059,309 | 2,020,684 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (8,787,398 | ) | 35,474,734 | 1,425,870 | 7,104,007 | |||||||||||
Net Change in Net Assets Resulting From Operations | 47,324,975 | 139,540,665 | 4,869,158 | 14,227,117 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (32,312,551 | ) | (64,435,842 | ) | (2,393,979 | ) | (5,092,427 | ) | ||||||||
From net realized gains | — | — | (996,560 | ) | — | |||||||||||
Total Distributions to Shareholders | (32,312,551 | ) | (64,435,842 | ) | (3,390,539 | ) | (5,092,427 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 105,916,422 | 155,625,675 | 6,379,514 | 20,751,109 | ||||||||||||
Distributions reinvested | 32,312,551 | 64,435,842 | 3,390,539 | 5,092,427 | ||||||||||||
Redeemed | (52,838,691 | ) | (251,110,099 | ) | (19,002,172 | ) | (30,119,545 | ) | ||||||||
Capital Stock Transactions | 85,390,282 | (31,048,582 | ) | (9,232,119 | ) | (4,276,009 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 100,402,706 | 44,056,241 | (7,753,500 | ) | 4,858,681 | |||||||||||
Net Assets, Beginning of Period | 1,322,211,956 | 1,278,155,715 | 161,386,830 | 156,528,149 | ||||||||||||
Net Assets, End of Period | $ | 1,422,614,662 | $ | 1,322,211,956 | $ | 153,633,330 | $ | 161,386,830 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 691,034 | $ | 393,275 | $ | (637 | ) | $ | 9,363 | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 10,516,694 | 15,895,157 | 588,756 | 1,954,827 | ||||||||||||
Distributions reinvested | 3,208,202 | 6,592,114 | 312,930 | 481,492 | ||||||||||||
Redeemed | (5,252,753 | ) | (25,853,912 | ) | (1,764,837 | ) | (2,841,577 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 8,472,143 | (3,366,641 | ) | (863,151 | ) | (405,258 | ) | |||||||||
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|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
350
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | ||||||||||||||||||||
| 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | 6/30/2011 (unaudited) | 12/31/2010 | |||||||||||||||||
| $ | 17,923,753 | $ | 39,553,618 | $ | 538,704 | $ | 1,134,436 | $ | (3,914 | ) | $ | (16,636 | ) | |||||||||
| 7,039,964 | 9,160,097 | 448,432 | 54,666 | 3,914 | 16,636 | |||||||||||||||||
| (5,133,491 | ) | 11,950,491 | (4,573 | ) | 2,547,643 | — | — | |||||||||||||||
| 19,830,226 | 60,664,206 | 982,563 | 3,736,745 | — | — | |||||||||||||||||
| (17,330,931 | ) | (39,165,559 | ) | (538,704 | ) | (1,134,436 | ) | — | — | |||||||||||||
| — | — | (126,365 | ) | (314,976 | ) | — | — | |||||||||||||||
| (17,330,931 | ) | (39,165,559 | ) | (665,069 | ) | (1,449,412 | ) | — | — | |||||||||||||
| 143,019,445 | 239,166,783 | 2,381,234 | 5,167,343 | 39,632,598 | 61,776,705 | |||||||||||||||||
| 17,330,931 | 39,165,559 | 665,069 | 1,449,412 | — | — | |||||||||||||||||
| (29,635,249 | ) | (86,736,588 | ) | (3,260,736 | ) | (6,929,109 | ) | (54,531,022 | ) | (136,018,196 | ) | |||||||||||
| 130,715,127 | 191,595,754 | (214,433 | ) | (312,354 | ) | (14,898,424 | ) | (74,241,491 | ) | |||||||||||||
| 133,214,422 | 213,094,401 | 103,061 | 1,974,979 | (14,898,424 | ) | (74,241,491 | ) | |||||||||||||||
| 1,318,735,013 | 1,105,640,612 | 33,528,041 | 31,553,062 | 171,766,583 | 246,008,074 | |||||||||||||||||
| $ | 1,451,949,435 | $ | 1,318,735,013 | $ | 33,631,102 | $ | 33,528,041 | $ | 156,868,159 | $ | 171,766,583 | |||||||||||
$ | 451,222 |
| $ | (141,600 | ) | $ | — | $ | — | $ | (3,914 | ) | $ | — | ||||||||
| 14,543,502 | 24,480,712 | 228,801 | 507,606 | 39,632,598 | 61,776,705 | |||||||||||||||||
| 1,762,388 | 4,010,919 | 63,911 | 142,609 | — | — | |||||||||||||||||
| (3,013,720 | ) | (8,886,056 | ) | (313,926 | ) | (681,460 | ) | (54,531,022 | ) | (136,018,196 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 13,292,170 | 19,605,575 | (21,214 | ) | (31,245 | ) | (14,898,424 | ) | (74,241,491 | ) | |||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
351
Table of Contents
Thrivent Series Fund, Inc.
As of June 30, 2011
(unaudited)
(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 June 30, 2011, the following Portfolios held these types of securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Natural Resources | 1 | 0.00 | % | |||||
Partner Worldwide Allocation | 2 | 0.13 | % | |||||
Partner Growth Stock | 1 | 0.47 | % | |||||
High Yield | 1 | 0.00 | % | |||||
Partner Socially Responsible Bond | 1 | 0.41 | % | |||||
Income | 1 | 0.22 | % | |||||
Limited Maturity Bond | 1 | 0.27 | % | |||||
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
352
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of June 30, 2011
(unaudited)
make fair valuation determinations pursuant to policies approved by the Board of Directors.
(B) Foreign Currency Translation – The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.
Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from sales of foreign currency, exchange gains or losses between the trade date and settlement dates on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations. 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 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 six months ended June 30, 2011, 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, Real Estate Securities Portfolio, Partner Utilities Portfolio, Partner Small Cap Value Portfolio, Small Cap Stock Portfolio, Partner Worldwide Allocation Portfolio, Partner International Stock Portfolio, Partner All Cap Value Portfolio, Partner Growth Stock Portfolio and Diversified Income Plus 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
353
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of June 30, 2011
(unaudited)
examination by taxing authorities. Major jurisdictions for the Portfolios include U.S. Federal, Minnesota, and Wisconsin, as well as certain foreign countries. As of June 30, 2011, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2007, through 2010. Additionally, as of June 30, 2011, the tax year ended December 31, 2006, is open for Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
As of June 30, 2011, management of the Portfolios has reviewed all open tax years and major jurisdictions and concluded that there is no effect to the Portfolios’ tax liability, financial position or results of operations. There is no tax liability resulting from unrecognized tax benefits related to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
(F) Expenses and Income – Estimated expenses are accrued daily. The Portfolios are charged for those expenses that are directly attributable to them. Expenses that are not directly attributable to a Portfolio are allocated among all appropriate Portfolios in proportion to their respective net assets, number of shareholder accounts or other reasonable basis.
Interest income is accrued daily and is determined on the basis of interest or discount earned on all debt securities, including accretion of market discount and original issue discount and amortization of premium. Paydown gains and losses on mortgage- and asset-backed securities are recorded as components of interest income. Dividend income is recorded on the ex-dividend date.
(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 six months ended June 30, 2011, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner All Cap Growth Portfolio, 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.
354
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of June 30, 2011
(unaudited)
(J) Futures Contracts – Certain Portfolios may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. The futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default. During the six months ended June 30, 2011, 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, 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
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
the credit default swap tables located within the Portfolios’ Schedules of Investments for additional information as of June 30, 2011. During the six months ended June 30, 2011, 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.
(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 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 six months ended June 30, 2011, 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 six months ended June 30, 2011, 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 June 30, 2011, the value of securities on loan is as follows:
Portfolio | Securities on Loan | |||
Partner Technology | $ | 5,452,740 | ||
Real Estate Securities | 24,245,441 | |||
Partner Small Cap Growth | 38,106,334 | |||
Partner Small Cap Value | 24,941,864 | |||
Small Cap Stock | 7,283,539 | |||
Small Cap Index | 25,606,096 | |||
Mid Cap Growth II | 3,067,724 | |||
Mid Cap Growth | 7,560,995 | |||
Partner Mid Cap Value | 6,687,673 | |||
Mid Cap Stock | 28,516,099 | |||
Mid Cap Index | 4,185,069 | |||
Partner International Stock | 34,771,627 | |||
Partner All Cap | 859,031 | |||
Large Cap Growth | 14,122,417 | |||
Partner Growth Stock | 712,602 | |||
Large Cap Value | 13,585,833 | |||
Large Cap Index | 2,767,930 | |||
Balanced | 802,661 | |||
High Yield | 64,391,193 | |||
Diversified Income Plus | 7,643,595 | |||
Income | 30,799,022 | |||
Limited Maturity Bond | 8,653,136 | |||
(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
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Portfolio has sold a security on a delayed delivery basis, a Portfolio does not participate in future gains and losses with respect to the security.
(O) Treasury Inflation Protected Securities – Certain Portfolios may invest in treasury inflation protected securities (TIPS). These securities are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate is generally fixed at issuance. Interest is paid based on the principal value, which is adjusted for inflation. Any increase in the principal amount will be included as taxable interest in the Statement of Operations and received upon maturity or sale of the security. During the six months ended June 30, 2011, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Income Portfolio and Limited Maturity Bond 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 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 six months ended June 30, 2011, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Real Estate Securities Portfolio, Partner International Stock Portfolio, Large Cap Growth Portfolio, Large Cap Value Portfolio, Large Cap Stock Portfolio, High Yield Portfolio, Income Portfolio and Limited Maturity Bond Portfolio engaged in this type of investment.
(Q) Equity-Linked Structured Securities – Certain Portfolios may invest in equity-linked structured notes. Equity-linked structured notes are debt securities which combine the characteristics of common stock and the sale of an option. The return component is based upon the performance of a single equity security, a basket of equity securities, or an equity index and the sale of an option. There is no guaranteed return of principal with these securities. The appreciation potential of these securities may be limited by a maximum payment or call right and can be influenced by many unpredictable factors. In addition to the performance of the equity, the nature and credit of the issuer may also impact return. During the six months ended June 30, 2011, High Yield Portfolio, Diversified Income Plus Portfolio, Income Portfolio and 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
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
obligation. These unfunded loan commitments, which are marked-to-market daily, are presented in the Schedule of Investments.
(U) Unfunded Loan Commitment – The following Portfolio entered into a loan commitment with Level 3 Communications, Inc. and Level 3 Financing, Inc. on April 17, 2011. Maturity of the loan will be 12 months from the closing date; no close date has been set. The coupon rate will be 14.00%. The Fund is obligated to fund this loan commitment.
Portfolio | Unfunded Commitment | |||
High Yield | $ | 6,500,000 | ||
(V) Loss Contingencies – High Yield Portfolio and Income Portfolio are defendants in an adversary action filed on July 31, 2009 by the Official Committee of Unsecured Creditors of Motors Liquidation Company, formerly known as General Motors Corporation (GM), against prior and current holders of term loan debt of GM. The suit seeks to determine whether GM’s term loan facility was secured at the time it entered bankruptcy. High Yield Portfolio at one time held term loans in an 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.
Balanced Portfolio and 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. Balanced Portfolio and 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.
Balanced Portfolio and Large Cap Index Portfolio are defendants in an adversary action filed on June 2, 2011 by the successor trustees of certain series of debt securities issued by 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 holders of certain notes issued by Tribune prior to the LBO Transaction. Balanced Portfolio and 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.
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.
(W) Recent Accounting Pronouncements
FASB ASU 2011-04: Fair Value Measurements and Disclosures
In May 2011, FASB released Accounting Standards Update 2011-04 (ASU 2011-04), Fair Value Measurement (Topic 820), Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (IFRSs). This updated standard is a collaboration between FASB and International Accounting Standards Board (IASB) to ensure that fair value has the same meaning in U.S. GAAP and in IFRSs and that their respective fair value measurement and disclosure requirements are materially the same. The amendments adopted include additional disclosures about transfers between Level 1 and Level 2 of the fair value hierarchy and information about the sensitivity of the fair value measurement of the Level 3 assets to changes in unobservable inputs and any interrelationships between those unobservable inputs. The disclosures required by ASU 2011-04 will be in effective for any reporting period (annual or quarterly interim) beginning after December 15, 2011.
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
(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 than underlying Thrivent Portfolios) held directly by the Asset Allocation Portfolios, each Asset Allocation Portfolio will pay an additional advisory fee. The annual rates of fees as a percentage of average daily net assets under the Investment Advisory Agreement 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 | % | ||||||||||||||||||||||
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 | % | ||||||||||||||||||||||
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
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 | |||||||||||||||||||||||||||||||||
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 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 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
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
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. Effective May 31, 2011, two additional breakpoints were added. Therefore, the new fee schedule payable for Victory is equal to 0.95% of the first $25 million of average daily net assets, 0.85% of the next $75 million, 0.80% of the next $50 million, 0.75% of the next $100 million and 0.70% of average daily net assets over $250 million.
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 Investment Management, Inc. (formally Calvert Asset Management Company, Inc.) (“Calvert”) for the performance of subadvisory services. The fee payable is equal to 0.50% of average daily net assets for the first $50 million, 0.475% for the next $50 million, 0.45% for the next $50 million, 0.425% of the next $100 million and 0.40% for assets over $250 million.
Partner All Cap Growth Portfolio
The Adviser has entered into a subadvisory agreement with Calamos Advisors LLC for the performance of subadvisory services. The fee payable is equal to 0.65% of average daily net assets.
Partner All Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with OppenheimerFunds, Inc. for the performance of subadvisory services. The fee payable is equal to 0.45% of the first $50 million of average daily net assets, 0.40% of the next $200 million and 0.35% of average daily net assets over $250 million.
Partner All Cap Portfolio
The Adviser has entered into a subadvisory agreement with Pyramis Global Advisors, LLC (“Pyramis Advisors”) for the performance of subadvisory services. Pyramis Advisors is a wholly owned subsidiary of Fidelity Management & Research Corporation. The fee payable is equal to 0.60% of average daily net assets for the first $100 million, 0.55% for the next $400 million, 0.50% for the next $250 million and 0.45% for assets over $750 million.
Partner Growth Stock Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. The fee payable is equal to 0.40% of average daily net assets for the first $500 million and 0.35% for assets over $500 million.
Partner Socially Responsible Bond Portfolio
The Adviser has entered into a subadvisory agreement with Calvert for the performance of subadvisory services. The fee payable is equal to 0.40% of average daily net assets for the first $50 million, 0.375% for the next $50 million, 0.35% for
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
the next $50 million, 0.325% of the next $100 million and 0.30% for assets over $250 million.
(C) Expense Reimbursements – As of June 30, 2011, 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 | 0.08 | % | N/A | |||||
Partner All Cap | 0.20 | % | N/A | |||||
Large Cap Growth II | 0.15 | % | N/A | |||||
Partner Growth Stock | 0.10 | % | N/A | |||||
Money Market | 0.22 | % | N/A | |||||
As of June 30, 2011, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Partner Healthcare | 1.25 | % | 4/30/2012 | |||||
Partner Natural Resources | 1.19 | % | 4/30/2012 | |||||
Partner Emerging Markets | 1.40 | % | 4/30/2012 | |||||
Partner Utilities | 0.90 | % | 4/30/2012 | |||||
Partner Worldwide Allocation | 1.00 | % | 4/30/2012 | |||||
Partner Socially Responsible Stock | 0.98 | % | 4/30/2012 | |||||
Partner All Cap Growth | 1.00 | % | 4/30/2012 | |||||
Partner All Cap Value | 0.98 | % | 4/30/2012 | |||||
Equity Income Plus | 0.85 | % | 4/30/2012 | |||||
Partner Socially Responsible Bond | 0.68 | % | 4/30/2012 | |||||
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 six months ended June 30, 2011, Income Portfolio and Limited Maturity Bond Portfolio invested in High Yield Fund. During the six months ended June 30, 2011, 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 six months ended June 30, 2011, the Adviser received aggregate fees for accounting and administrative personnel and services of $3,722,300 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 Assets and Liabilities, is unsecured.
Those Directors not participating in the above plan received $232,379 in fees from the Fund for the six months ended June 30, 2011. 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. At fiscal year-end, the character and amount of distributions, on a tax-basis, and components of distributable earnings, are finalized. Therefore, as of June 30, 2011, tax-basis balances have not yet been determined.
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 | |||||||
|
| |||||||
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Notes to Financial Statements
As of June 30, 2011
(unaudited)
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
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 | 490,661 | 2016 | ||||||
| 18,439,010 | 2017 | |||||||
|
| |||||||
| $ | 18,929,671 | |||||||
|
| |||||||
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 | 5,621,694 | 2017 | ||||||
|
| |||||||
| $ | 5,621,694 | |||||||
|
| |||||||
Small Cap Stock | 5,875,219 | 2016 | ||||||
| 69,139,593 | 2017 | |||||||
|
| |||||||
| $ | 75,014,812 | |||||||
|
| |||||||
Mid Cap Growth | 42,488,529 | 2017 | ||||||
|
| |||||||
| $ | 42,488,529 | |||||||
|
| |||||||
Partner Mid Cap Value | 22,855,759 | 2017 | ||||||
|
| |||||||
| $ | 22,855,759 | |||||||
|
| |||||||
Mid Cap Stock | 58,781,901 | 2016 | ||||||
| 27,996,719 | 2017 | |||||||
|
| |||||||
| $ | 86,778,620 | |||||||
|
| |||||||
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 | 501,036 | 2016 | ||||||
| 586,578 | 2017 | |||||||
|
| |||||||
| $ | 1,087,614 | |||||||
|
| |||||||
Partner All Cap Value | 133,740 | 2016 | ||||||
| 885,072 | 2017 | |||||||
|
| |||||||
| $ | 1,018,812 | |||||||
|
| |||||||
Partner All Cap | 8,105,350 | 2016 | ||||||
| 11,312,120 | 2017 | |||||||
|
| |||||||
| $ | 19,417,470 | |||||||
|
| |||||||
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 | 44,071,420 | 2016 | ||||||
| 139,308,484 | 2017 | |||||||
|
| |||||||
| $ | 183,379,904 | |||||||
|
| |||||||
Large Cap Stock | 51,237,999 | 2016 | ||||||
| 98,352,276 | 2017 | |||||||
|
| |||||||
| $ | 149,590,275 | |||||||
|
| |||||||
Large Cap Index | 4,503,609 | 2017 | ||||||
|
| |||||||
| $ | 4,503,609 | |||||||
|
| |||||||
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 year ending December 31, 2011, will be subject to the provisions of the Regulated Investment Company Modernization Act of 2010. If the losses are not reduced by gains, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained. Additionally, these capital losses must be fully utilized before those capital loss
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of June 30, 2011
(unaudited)
carryovers listed with noted expiration dates in the table above.
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 | 630,047 | |||
Mortgage Securities | 167,630 | |||
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities – For the six months ended June 30, 2011, 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 | $ | 191,145 | $ | 192,000 | ||||
Moderately Aggressive Allocation | 620,511 | 543,168 | ||||||
Moderate Allocation | 888,509 | 633,557 | ||||||
Moderately Conservative Allocation | 383,333 | 232,729 | ||||||
Partner Technology | 11,684 | 13,045 | ||||||
Partner Healthcare | 5,800 | 4,865 | ||||||
Partner Natural Resources | 32,595 | 26,392 | ||||||
Partner Emerging Markets | 3,270 | 1,279 | ||||||
Real Estate Securities | 33,087 | 34,272 | ||||||
Partner Utilities | 7,123 | 6,213 | ||||||
Partner Small Cap Growth | 108,131 | 109,201 | ||||||
Partner Small Cap Value | 14,718 | 16,630 | ||||||
Small Cap Stock | 152,439 | 168,982 | ||||||
Small Cap Index | 14,003 | 28,781 | ||||||
Mid Cap Growth II | 33,828 | 35,524 | ||||||
Mid Cap Growth | 83,182 | 107,007 | ||||||
Partner Mid Cap Value | 91,400 | 89,152 | ||||||
Mid Cap Stock | 97,547 | 105,944 | ||||||
Mid Cap Index | 7,687 | 14,622 | ||||||
Partner Worldwide Allocation | 249,554 | 201,463 | ||||||
Partner International Stock | 416,918 | 441,385 | ||||||
Partner Socially Responsible Stock | 1,681 | 900 | ||||||
Partner All Cap Growth | 6,587 | 4,745 | ||||||
Partner All Cap Value | 5,872 | 6,017 | ||||||
Partner All Cap | 29,938 | 35,028 | ||||||
Large Cap Growth II | 308,530 | 304,964 | ||||||
Large Cap Growth | 1,072,408 | 1,128,577 | ||||||
Partner Growth Stock | 9,790 | 14,396 | ||||||
Large Cap Value | 319,224 | 315,751 | ||||||
Large Cap Stock | 422,694 | 405,798 | ||||||
Large Cap Index | 7,513 | 28,088 | ||||||
Equity Income Plus | 93,216 | 83,980 | ||||||
Balanced | 9,233 | 29,986 | ||||||
High Yield | 289,984 | 298,506 | ||||||
Diversified Income Plus | 84,414 | 76,894 | ||||||
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 year ending December 31, 2011, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained.
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Partner Socially Responsible Bond | $ | 3,228 | $ | 4,433 | ||||
Income | 564,741 | 566,000 | ||||||
Bond Index | 8,069 | 12,927 | ||||||
Limited Maturity Bond | 486,300 | 462,205 | ||||||
Mortgage Securities | 181 | 1,435 | ||||||
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 23,493 | $ | 23,880 | ||||
Moderately Aggressive Allocation | 90,749 | 84,238 | ||||||
Moderate Allocation | 117,035 | 109,003 | ||||||
Moderately Conservative Allocation | 85,516 | 74,111 | ||||||
Balanced | 183,705 | 183,075 | ||||||
Partner Socially Responsible Bond | 4,424 | 4,119 | ||||||
Income | 581,068 | 504,243 | ||||||
Bond Index | 337,562 | 344,859 | ||||||
Limited Maturity Bond | 467,724 | 360,533 | ||||||
Mortgage Securities | 144,722 | 143,893 | ||||||
(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 June 30, 2011, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Worldwide Allocation | 5 | 0.24 | % | |||||
Partner Growth Stock | 1 | 0.36 | % | |||||
Balanced | 4 | 2.08 | % | |||||
High Yield | 1 | 0.61 | % | |||||
Diversified Income Plus | 2 | 0.90 | % | |||||
Partner Socially Responsible Bond | 6 | 3.41 | % | |||||
Income | 7 | 1.38 | % | |||||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
As of June 30, 2011
(unaudited)
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Bond Index | 4 | 4.03 | % | |||||
Limited Maturity Bond | 7 | 1.39 | % | |||||
Mortgage Securities | 2 | 5.00 | % | |||||
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 six months ended June 30, 2011, were as follows:
| Number of Contracts | Premium Amount | |||||||
Aggressive Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 2 | 8,344 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (1 | ) | (7,531 | ) | ||||
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| |||||
Balance at June 30, 2011 | 1 | $ | 813 | |||||
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| |||||
Moderately Aggressive Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 5 | 20,859 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (4 | ) | (18,828 | ) | ||||
|
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| |||||
Balance at June 30, 2011 | 1 | $ | 2,031 | |||||
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| |||||
Moderate Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 6 | 25,031 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (5 | ) | (22,594 | ) | ||||
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| |||||
Balance at June 30, 2011 | 1 | $ | 2,437 | |||||
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| |||||
Moderately Conservative Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 2 | 8,344 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (1 | ) | (7,531 | ) | ||||
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| |||||
Balance at June 30, 2011 | 1 | $ | 813 | |||||
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| |||||
Large Cap Growth | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 3,346 | 475,478 | ||||||
Closed | (934 | ) | (171,785 | ) | ||||
Expired | (1,827 | ) | (220,742 | ) | ||||
Exercised | (78 | ) | (15,209 | ) | ||||
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| |||||
Balance at June 30, 2011 | 507 | $ | 67,742 | |||||
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| |||||
Large Cap Stock | ||||||||
Balance at December 31, 2010 | 300 | $ | 126,750 | |||||
Opened | 2,425 | 935,326 | ||||||
Closed | (2,665 | ) | (1,033,351 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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| |||||
Balance at June 30, 2011 | 60 | $ | 28,725 | |||||
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| |||||
Equity Income Plus | ||||||||
Balance at December 31, 2010 | 50 | $ | 21,125 | |||||
Opened | 1,005 | 385,943 | ||||||
Closed | (975 | ) | (368,768 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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| |||||
Balance at June 30, 2011 | 80 | $ | 38,300 | |||||
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| |||||
Diversified Income Plus | ||||||||
Balance at December 31, 2010 | 30 | $ | 12,675 | |||||
Opened | 620 | 241,254 | ||||||
Closed | (600 | ) | (229,992 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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| |||||
Balance at June 30, 2011 | 50 | $ | 23,937 | |||||
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Mortgage Securities | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 3 | 10,430 | ||||||
Closed | — | — | ||||||
Expired | — | — | ||||||
Exercised | (2 | ) | (9,414 | ) | ||||
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| |||||
Balance at June 30, 2011 | 1 | $ | 1,016 | |||||
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365
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of June 30, 2011
(unaudited)
(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 six months ended June 30, 2011, the Portfolios engaged in purchases and sales of securities of $5,404,656 and $8,224,015, 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 | ||||||
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.
366
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
367
Table of Contents
Thrivent Series Fund, Inc.
| 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 | |||||||||||||||||||
AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 12.22 | $ | 0.03 | $ | 0.62 | $ | 0.65 | $ | (0.16 | ) | $ | (0.20 | ) | ||||||||||
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 | — | — | ||||||||||||||||||
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MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 11.89 | 0.05 | 0.48 | 0.53 | (0.23 | ) | (0.14 | ) | ||||||||||||||||
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 | — | — | ||||||||||||||||||
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MODERATE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 11.79 | 0.08 | 0.38 | 0.46 | (0.26 | ) | (0.17 | ) | ||||||||||||||||
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 | — | — | ||||||||||||||||||
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 11.66 | 0.08 | 0.28 | 0.36 | (0.25 | ) | (0.15 | ) | ||||||||||||||||
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 | — | — | ||||||||||||||||||
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PARTNER TECHNOLOGY PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 7.11 | (0.02 | ) | 0.03 | 0.01 | — | — | |||||||||||||||||
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.
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 | ||||||||||||||||||||||||||
| $ | (0.36 | ) | $ | 12.51 | 5.37 | % | $ | 625.2 | 0.39 | % | 0.43 | % | 0.42 | % | 0.40 | % | 35 | % | ||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.37 | ) | 12.05 | 4.58 | % | 2,777.6 | 0.31 | % | 1.14 | % | 0.31 | % | 1.14 | % | 25 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.43 | ) | 11.82 | 4.00 | % | 4,078.5 | 0.28 | % | 1.82 | % | 0.28 | % | 1.82 | % | 20 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.40 | ) | 11.62 | 3.18 | % | 1,857.5 | 0.30 | % | 2.22 | % | 0.30 | % | 2.22 | % | 20 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 7.12 | 0.12 | % | 35.4 | 1.11 | % | (0.54 | )% | 1.11 | % | (0.54 | )% | 33 | % | ||||||||||||||||||||
| — | 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.
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 | Return of Capital | ||||||||||||||||||||||
PARTNER HEALTHCARE PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 12.08 | $ | 0.04 | $ | 0.62 | $ | 0.66 | $ | — | $ | (0.39 | ) | $ | — | |||||||||||||
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 | ) | — | — | ||||||||||||||||||
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PARTNER NATURAL RESOURCES PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 9.56 | 0.01 | 0.88 | 0.89 | (0.01 | ) | — | — | ||||||||||||||||||||
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 | ) | — | — | ||||||||||||||||||
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PARTNER EMERGING MARKETS PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 12.38 | 0.11 | 0.10 | 0.21 | (0.13 | ) | — | — | ||||||||||||||||||||
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 | ) | — | — | ||||||||||||||||||
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REAL ESTATE SECURITIES PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 14.49 | 0.14 | 1.42 | 1.56 | — | — | — | |||||||||||||||||||||
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 | ) | — | |||||||||||||||||||
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PARTNER UTILITIES PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 8.10 | 0.08 | 0.54 | 0.62 | (0.18 | ) | — | — | ||||||||||||||||||||
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 | ) | — | — | ||||||||||||||||||
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PARTNER SMALL CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 12.92 | (0.05 | ) | 1.42 | 1.37 | — | — | — | ||||||||||||||||||||
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.
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 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 | ||||||||||||||||||||||||||
| $ | (0.39 | ) | $ | 12.35 | 5.54 | % | $ | 19.6 | 1.34 | % | 0.66 | % | 1.61 | % | 0.39 | % | 26 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.01 | ) | 10.44 | 9.23 | % | 38.5 | 1.12 | % | 0.14 | % | 1.12 | % | 0.14 | % | 81 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.13 | ) | 12.46 | 1.72 | % | 43.2 | 1.47 | % | 1.83 | % | 1.67 | % | 1.63 | % | 3 | % | |||||||||||||||||||
| — | 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 | % | |||||||||||||||||||
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| — | 16.05 | 10.78 | % | 357.5 | 0.86 | % | 1.83 | % | 0.86 | % | 1.83 | % | 9 | % | ||||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.18 | ) | 8.54 | 7.64 | % | 9.4 | 0.90 | % | 2.55 | % | 2.18 | % | 1.28 | % | 75 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 14.29 | 10.62 | % | 230.2 | 1.00 | % | (0.71 | )% | 1.10 | % | (0.81 | )% | 49 | % | ||||||||||||||||||||
| — | 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.
371
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 | |||||||||||||||||||
PARTNER SMALL CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 19.06 | $ | 0.05 | $ | 0.71 | $ | 0.76 | $ | (0.04 | ) | $ | — | |||||||||||
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 | ) | ||||||||||||||||
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SMALL CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 12.66 | (0.01 | ) | 0.84 | 0.83 | — | — | |||||||||||||||||
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 | ) | ||||||||||||||||
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SMALL CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 13.19 | 0.04 | 0.90 | 0.94 | (0.11 | ) | (0.39 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
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MID CAP GROWTH PORTFOLIO II | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 9.95 | — | 0.58 | 0.58 | (0.01 | ) | (0.36 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
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MID CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 18.56 | 0.02 | 1.02 | 1.04 | (0.06 | ) | — | |||||||||||||||||
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.
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 | 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 | ||||||||||||||||||||||||||
| $ | (0.04 | ) | $ | 19.78 | 3.97 | % | $ | 271.3 | 0.88 | % | 0.49 | % | 0.88 | % | 0.49 | % | 5 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 13.49 | 6.55 | % | 308.2 | 0.75 | % | (0.14 | )% | 0.75 | % | (0.14 | )% | 55 | % | ||||||||||||||||||||
| — | 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 | % | |||||||||||||||||||
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| (0.50 | ) | 13.63 | 7.31 | % | 216.6 | 0.45 | % | 0.52 | % | 0.45 | % | 0.52 | % | 6 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.37 | ) | 10.16 | 5.98 | % | 168.4 | 0.70 | % | (0.08 | )% | 1.00 | % | (0.38 | )% | 21 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.06 | ) | 19.54 | 5.59 | % | 416.9 | 0.46 | % | 0.17 | % | 0.46 | % | 0.17 | % | 20 | % | |||||||||||||||||||
| (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.
373
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 | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 13.38 | $ | 0.04 | $ | 0.78 | $ | 0.82 | $ | (0.03 | ) | $ | — | |||||||||||
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 | ) | ||||||||||||||||
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| MID CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 12.25 | 0.01 | 0.70 | 0.71 | (0.01 | ) | — | |||||||||||||||||
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 | ) | ||||||||||||||||
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| MID CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 12.91 | 0.06 | 0.99 | 1.05 | (0.11 | ) | (0.79 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 8.77 | 0.13 | 0.24 | 0.37 | — | — | ||||||||||||||||||
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 | ) | — | |||||||||||||||
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PARTNER INTERNATIONAL STOCK PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 10.67 | 0.19 | 0.34 | 0.53 | — | — | ||||||||||||||||||
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 | ) | — | |||||||||||||||||
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| (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.
374
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 | ||||||||||||||||||||||||||
| $ | (0.03 | ) | $ | 14.17 | 6.07 | % | $ | 245.5 | 0.84 | % | 0.64 | % | 0.84 | % | 0.64 | % | 37 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.01 | ) | 12.95 | 5.73 | % | 526.6 | 0.72 | % | 0.22 | % | 0.72 | % | 0.22 | % | 19 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.90 | ) | 13.06 | 8.32 | % | 93.3 | 0.52 | % | 0.69 | % | 0.52 | % | 0.69 | % | 8 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 9.14 | 4.29 | % | 588.6 | 0.99 | % | 2.98 | % | 0.99 | % | 2.98 | % | 37 | % | ||||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 11.20 | 4.95 | % | 892.5 | 0.81 | % | 3.40 | % | 0.90 | % | 3.31 | % | 47 | % | ||||||||||||||||||||
| (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 | % | |||||||||||||||||||
| (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.
375
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 SOCIALLY RESPONSIBLE STOCK |
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Period Ended 6/30/2011 (unaudited) | $ | 10.35 | $ | 0.01 | $ | 0.89 | $ | 0.90 | $ | — | $ | — | ||||||||||||
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 | ) | — | |||||||||||||||
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PARTNER ALL CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 10.07 | (0.01 | ) | 0.78 | 0.77 | — | — | |||||||||||||||||
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 | ) | — | — | |||||||||||||||
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PARTNER ALL CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 9.09 | 0.01 | 0.42 | 0.43 | (0.05 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||
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PARTNER ALL CAP PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 8.93 | 0.02 | 0.29 | 0.31 | (0.06 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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LARGE CAP GROWTH PORTFOLIO II | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 6.94 | 0.02 | 0.23 | 0.25 | (0.01 | ) | (0.13 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
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LARGE CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 16.98 | 0.05 | 0.53 | 0.58 | — | — | ||||||||||||||||||
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.
376
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 | ||||||||||||||||||||||||||
| $ | — | $ | 11.25 | 8.66 | % | $ | 5.8 | 0.98 | % | 0.08 | % | 3.14 | % | (2.08 | )% | 18 | % | |||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 10.84 | 7.72 | % | 14.7 | 1.00 | % | (0.31 | )% | 1.85 | % | (1.17 | )% | 35 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
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| (0.05 | ) | 9.47 | 4.80 | % | 8.1 | 0.98 | % | 0.22 | % | 2.36 | % | (1.16 | )% | 77 | % | |||||||||||||||||||
| — | 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 | % | |||||||||||||||||||
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| (0.06 | ) | 9.18 | 3.51 | % | 60.2 | 1.01 | % | 0.34 | % | 1.21 | % | 0.14 | % | 48 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.14 | ) | 7.05 | 3.66 | % | 398.1 | 0.65 | % | 0.48 | % | 0.86 | % | 0.27 | % | 79 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 17.56 | 3.57 | % | 945.5 | 0.45 | % | 0.51 | % | 0.45 | % | 0.51 | % | 110 | % | ||||||||||||||||||||
| (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.
377
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 | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 11.58 | $ | (0.01 | ) | $ | 0.58 | $ | 0.57 | $ | — | $ | — | |||||||||||
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 | ) | ||||||||||||||||
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LARGE CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 10.73 | 0.08 | 0.36 | 0.44 | — | — | ||||||||||||||||||
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 | ) | ||||||||||||||||
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LARGE CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 8.50 | 0.04 | 0.29 | 0.33 | — | — | ||||||||||||||||||
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 | ) | ||||||||||||||||
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LARGE CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 17.71 | 0.17 | 0.85 | 1.02 | (0.30 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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EQUITY INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 9.06 | 0.08 | 0.48 | 0.56 | (0.03 | ) | — | |||||||||||||||||
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.
378
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 | ||||||||||||||||||||||||||
| $ | — | $ | 12.15 | 4.95 | % | $ | 59.5 | 0.95 | % | (0.23 | )% | 1.05 | % | (0.33 | )% | 16 | % | |||||||||||||||||
| — | 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 | % | |||||||||||||||||||
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| — | 11.17 | 4.18 | % | 826.3 | 0.64 | % | 1.48 | % | 0.64 | % | 1.48 | % | 38 | % | ||||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 8.83 | 3.86 | % | 635.0 | 0.69 | % | 0.93 | % | 0.69 | % | 0.93 | % | 68 | % | ||||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.30 | ) | 18.43 | 5.83 | % | 325.0 | 0.41 | % | 1.56 | % | 0.41 | % | 1.56 | % | 2 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.03 | ) | 9.59 | 6.14 | % | 90.4 | 0.83 | % | 1.80 | % | 0.83 | % | 1.80 | % | 110 | % | |||||||||||||||||||
| (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.
379
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
BALANCED PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 14.72 | $ | 0.18 | $ | 0.54 | $ | 0.72 | $ | (0.34 | ) | $ | (0.50 | ) | ||||||||||
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 | ) | — | |||||||||||||||||
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HIGH YIELD PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 4.81 | 0.19 | 0.04 | 0.23 | (0.19 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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DIVERSIFIED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 6.75 | 0.14 | 0.12 | 0.26 | (0.35 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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PARTNER SOCIALLY RESPONSIBLE |
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Period Ended 6/30/2011 (unaudited) | 10.31 | 0.15 | 0.07 | 0.22 | (0.15 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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INCOME PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 9.96 | 0.24 | 0.11 | 0.35 | (0.24 | ) | — | |||||||||||||||||
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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
380
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 | ||||||||||||||||||||||||||
| $ | (0.84 | ) | $ | 14.60 | 4.99 | % | $ | 262.7 | 0.44 | % | 2.05 | % | 0.44 | % | 2.05 | % | 70 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.19 | ) | 4.85 | 4.62 | % | 793.7 | 0.45 | % | 7.80 | % | 0.45 | % | 7.80 | % | 38 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.35 | ) | 6.66 | 3.97 | % | 118.3 | 0.55 | % | 5.08 | % | 0.55 | % | 5.08 | % | 73 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.15 | ) | 10.38 | 2.15 | % | 8.1 | 0.68 | % | 3.01 | % | 2.28 | % | 1.41 | % | 101 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.24 | ) | 10.07 | 3.54 | % | 1,422.6 | 0.44 | % | 4.78 | % | 0.44 | % | 4.77 | % | 79 | % | |||||||||||||||||||
| (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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
381
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 | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | $ | 10.73 | $ | 0.17 | $ | 0.17 | $ | 0.34 | $ | (0.17 | ) | $ | (0.07 | ) | ||||||||||
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 | ) | — | ||||||||||||||||
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LIMITED MATURITY BOND PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 9.80 | 0.13 | 0.01 | 0.14 | (0.12 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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MORTGAGE SECURITIES PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 10.32 | 0.17 | 0.14 | 0.31 | (0.17 | ) | (0.04 | ) | ||||||||||||||||
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 | ) | — | ||||||||||||||||
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MONEY MARKET PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/30/2011 (unaudited) | 1.00 | — | — | — | — | — | ||||||||||||||||||
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.
382
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Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total 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 | ||||||||||||||||||||||||||
| $ | (0.24 | ) | $ | 10.83 | 3.23 | % | $ | 153.6 | 0.47 | % | 3.10 | % | 0.47 | % | 3.10 | % | 205 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.12 | ) | 9.82 | 1.46 | % | 1,451.9 | 0.43 | % | 2.61 | % | 0.44 | % | 2.61 | % | 61 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.21 | ) | 10.42 | 3.00 | % | 33.6 | 0.90 | % | 3.26 | % | 0.90 | % | 3.26 | % | 414 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 1.00 | — | 156.9 | 0.29 | % | 0.00 | % | 0.51 | % | (0.22 | )% | N/A | ||||||||||||||||||||||
| — | 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.
383
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.
384
Table of Contents
Thrivent Series Fund, Inc.
Supplements to Prospectus dated April 30, 2011
With respect to Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner International Stock Portfolio
The summary sections of the prospectus for Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner International Stock Portfolio are amended, effective July 1, 2011. The descriptions pertaining to Mercator Asset Management, LP under “Portfolio Manager(s)” are deleted and replaced with the following:
James E. Chaney serves as portfolio manager for the Mercator portion of the Portfolio. Mr. Chaney is a General Partner of Mercator and has been with Mercator since 2000.
The “Portfolio Management” section of the prospectus is also amended, effective July 1, 2011. The descriptions under Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner International Stock Portfolio pertaining to Mercator Asset Management, LP are deleted and replaced with the following:
Mercator was founded in 1984 and manages international equity funds for institutional clients, including retirement plans, endowments, and foundations. As of December 31, 2010, Mercator managed approximately $7.3 billion in assets. James E. Chaney serves as portfolio manager for the Mercator portion of the Portfolio. Mr. Chaney is a General Partner of Mercator and has been with Mercator since 2000.
The date of this Supplement is June 30, 2011.
Please include this Supplement with your Prospectus.
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388
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Table of Contents
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Choose eDelivery.
By signing below, I request electronic delivery of the following documents regarding my Thrivent Mutual Funds and variable insurance products issued by Thrivent Financial for Lutherans and Thrivent Life Insurance Company (including Thrivent Series Fund, Inc.):
Prospectus
Annual and semiannual reports
Annual privacy notices
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A link to a printable copy of the annual privacy notice will be sent to me by electronic means at the email I provide. I will continue to receive any daily confirmations and Thrivent Financial health privacy notice and/or Notice of Insurance Information Practices by regular mail.
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Table of Contents
| Item 2. | Code of Ethics |
Not applicable to semiannual report
| Item 3. | Audit Committee Financial Expert |
Not applicable to semiannual report
| Item 4. | Principal Accountant Fees and Services |
Not applicable to semiannual report
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
| Item 6. | Schedule of Investments |
| (1) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
| (2) | Not applicable to this filing. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of directors.
| Item 11. | 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 12. | Exhibits |
| (a) | 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: August 26, 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: August 26, 2011 | By: | /s/ Russell W. Swansen | ||||
| Russell W. Swansen | ||||||
| President | ||||||
| Date: August 26, 2011 | By: | /s/ Gerard V. Vaillancourt | ||||
| Gerard V. Vaillancourt | ||||||
| Treasurer | ||||||