UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4603
Thrivent Series Fund, Inc.
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
Rebecca A. Paulzine
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 844-5168
Date of fiscal year end: December 31
Date of reporting period: December 31, 2011
| Item 1. | Report to Stockholders |
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 Dear Member: | ||
The financial markets entered 2011 on an uptrend, but a slew of negative developments slowed their momentum as the year progressed. In this letter I will provide a review of the period, as well as our outlook for the coming year.
A brief review of the economy
After starting the year on an upswing, U.S. economic growth slowed to an anemic pace. Final U.S. gross domestic product (GDP) growth rates for the first and second quarters of 2011 were revised downward to 0.4% and 1.3%, respectively.1 A number of issues eroded consumer confidence and diminished the pace of the recovery, raising concerns of a potential “double-dip” recession. Those factors included rising energy and food prices, continued job and housing market weakness, supply chain disruptions from the Japanese tsunami disaster, prolonged congressional debt-ceiling debates, and the resulting downgrade of the U.S. credit rating by Standard & Poor’s. Overseas, the European debt crisis resurfaced, and investors worried about the consequences to world economies. Although U.S. GDP grew at an estimated 2.0% annual rate in the third quarter of 2011, that was still lackluster by historical standards.
Unemployment figures improved over the course of the year, falling to 8.5% by year-end from 10.1% at year-end 2010, but they continued to weigh heavily on consumer sentiment.2 Companies slowly stepped up their pace of hiring as they looked for more signs of strength in the recovery. The housing market also continued to struggle as the backlog of distressed properties weighed on prices, which remained near mid-2003 levels.3
While rising energy and food prices affected consumers, overall inflation remained in check throughout the period, as measured by the core Consumer Price Index (CPI), which rose slightly more than 2% for the year.4 This metric is viewed as a worthy long-term gauge of inflation because it does not include volatile food and energy prices. It also is the measure the Federal Reserve focuses on when setting monetary policy.
The optimistic tone that characterized Federal Reserve meetings early in the year turned decidedly more pessimistic as 2011 unfolded. When the Fed’s second phase of quantitative easing, also known as QE2, wound down in June, it appeared that no more economic stimulus would be forthcoming. However, as conditions softened, the Fed committed to keep its target federal funds rate at the low level of 0% to 0.25% through mid- 2013. In late September, it announced another stimulus program called Operation Twist in which it began replacing shorter-maturity Treasuries on its balance sheet with longer-maturity Treasuries. The Fed’s goal was to drive long-term rates lower in the hope that individuals and companies would borrow and spend more money.
A brief review of the markets
Despite the economic and political uncertainty, corporate earnings and sales growth remained strong. Year-over-year sales for companies in the S&P 500 Index grew by more than 10% in the third quarter, for example, and net income grew by more than 14%. Nevertheless, the unsettled environment led to volatile financial markets. After gaining double-digit returns in the first half of the fiscal year, equities declined sharply late in the summer. Stocks traded down for much of August and September, then gained back some of their losses in the fourth quarter as economic growth improved and the situation in Europe appeared to be stabilizing. Ultimately, U.S. equities finished the year with lackluster results. Large-capitalization stocks, as measured by the S&P 500 Index, produced a total return of 2.11%, while smaller stocks, as tracked by the Russell 2000® Index, lost 4.18%.
Weighed down by concerns about the European debt situation and slowing global growth, foreign stocks underperformed their U.S. counterparts. The most commonly quoted benchmark for large, high-quality international stocks—the Morgan Stanley Capital International Europe, Australasia and Far East (MSCI EAFE) Index—earned a total return of -11.73%. Emerging markets were hit even harder, with the MSCI Emerging Markets Index registering a total return of -18.17%.
Fixed-income markets earned 7.84% overall, as measured by the Barclays Capital U.S. Aggregate Bond Index. Similar to the equity markets, fixed-income markets were characterized by two distinctly different investment environments. In the earliest months of the fiscal year, interest rates rose as Treasury bond prices fell, with the longest maturity bonds selling off the most. Yields on 10-year Treasuries started the year at 3.30% and by early February were at 3.75%, while yields on two-year Treasuries rose from 0.61% to 0.86% over the same time period. Nongovernment sectors outpaced Treasuries. High-yield bonds performed particularly well, benefiting from the Federal Reserve’s liquidity measures, strong
2
corporate earnings and a quest by investors for more yield.
The tide turned in the third quarter as growing concerns about Europe’s debt woes triggered a flight to quality and sent interest rates tumbling, especially among longer-maturity Treasury securities. Yields on 10-year Treasuries fell as low as 1.72% before ending the year at 1.89%, while yields on two-year Treasuries ended at 0.25%. Treasuries, particularly longer maturities, strongly outpaced nongovernment bonds for the year, with the Barclays Capital 20+ Year Treasury Index generating a total return of 33.84%. The risk-averse environment that characterized the second half of the year, particularly the third quarter, also helped renew investor interest in higher-quality municipal bonds, which continued to benefit from significantly lower supply and low default rates. The Barclays Capital Municipal Bond Index posted a total return of 10.70% for the year.
Our outlook
Although it seems that economic data and leading indicators do not point to a “double-dip” recession in the U.S., we believe the global economy and political environment remain fragile. The U.S. economy grew at a faster pace in the second half of 2011 than it did in the first, and we expect it to expand at a 2% to 2.5% rate in the first half of 2012. That would still be below the normal rate of roughly 3% though, and well below the 4%-plus rate necessary for the U.S. economy to begin catching up to its potential and significantly improve the employment situation.
We expect the U.S. housing market to remain sluggish until the backlog of foreclosures subsides. Nationally, home values are likely to remain near their current levels, which is roughly where they have been for the past two and a half years. Housing construction also is likely to remain at historically low levels for the next year or two.
The economic outlook overseas is mixed. In Europe, we expect a modest recession next year as policies are implemented to rein in the continent’s debt problems. In China, the second-biggest economy in the world after the U.S., we expect economic growth to continue at about a 9% rate. International economies are important for U.S. investors because a significant share of the earnings of U.S. corporations comes from overseas—about 40% in the case of companies in the S&P 500.
The Federal Reserve has indicated that it expects to maintain short-term interest rates at current historically low levels through mid-2013, and we see no reason to doubt this. Further, it has recently implemented policies designed to reduce long-term interest rates. The resulting low-yield environment creates a dilemma for conservative, risk-averse investors whose portfolios are geared to generating income.
On a more positive note, corporate sales and earnings have strengthened since the beginning of the recovery, as have corporate balance sheets. Still, stock prices have not kept pace and remain below their peak 2007 levels. We expect corporate sales and earnings to continue to grow, although at a slower pace than the last couple of years.
Stock valuations remain attractive given this outlook, but fiscal and monetary policy risks remain significant both domestically and abroad. Until these issues are resolved, they will remain headwinds for the economy and the stock market, and contribute to market volatility. Investors should carefully evaluate their tolerance for risk.
While it is difficult to predict short-term market direction, history has taught us the best time to stay invested is often when things look the worst. Thrivent Series Fund portfolio managers focus on long-term returns.
We encourage you to approach your portfolio with a similar long-term view. If you have concerns about volatility, the value of your nest egg, or your portfolio’s yield, we urge you to meet with your Thrivent Financial representative to learn more about the broad spectrum of investment tools and products available to address your financial goals in accordance with your tolerance for risk.
As always, we appreciate the trust you have placed in Thrivent Financial’s team of investment professionals.
Sincerely,
Russell W. Swansen
President
Thrivent Series Fund, Inc.
| 1 | U.S. Bureau of Economic Analysis (3rd Quarter 2011 advance estimate released Oct. 27, 2011). |
| 2 | U.S. Bureau of Labor Statistics, “The Employment Situation—October 2011” (Nov. 4, 2011). |
| 3 | S&P/Case-Shiller Home Price Indices. |
| 4 | U.S. Bureau of Labor Statistics, “Consumer Price Index—October 2011” (Nov. 16, 2011). |
3
| Thrivent Aggressive Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. Simenstad, CFA (far right), Portfolio Co-Managers |   |
The Portfolio seeks long-term capital growth.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Aggressive Allocation Portfolio earned a return of -3.93%, compared with the median return of its peer group, the Lipper Multi Cap Core category, of -2.64%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 2.11% and 7.84%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio did not keep pace with either the S&P 500 or the Barclays Capital U.S. Aggregate Bond Index, and was below the median for its Lipper category. We attribute this to a number of factors. For example, a number of our managers in certain segments of the allocation accounts on the equity side did not keep pace with their respective benchmarks. Plus, our allocation to overseas markets did not help results as non-U.S. markets underperformed the U.S., particularly in Europe and emerging markets. Specifically, while the international segment was modestly below its median, worldwide actually did well relative to its category. So while the segments underperformed the U.S. markets, the managers were either in-line or better than their counterparts in tracking the S&P 500 index.
We invested an average of 8% of the Portfolio in fixed-income securities that were concentrated in corporate bonds. Corporate bonds did not keep pace with the strong advance in government securities that occurred in the second half of the reporting period, but did outperform many of the equity market segments. The Portfolio’s large-cap allocations, in particular, did not keep pace with their respective benchmarks. As the investment environment deteriorated in the second half of the year, investors opted for very conservative investment profiles, especially in the large-capitalization segments. Many of our managers were more aligned with an outlook that favored ongoing growth and a more constructive cyclical environment.
What is your outlook?
Confidence in the outlook for continued economic growth has been depressed by the ongoing policy and political travails, which played out through the summer and continued to year-end. While a number of indicators
4
suggest the existing economic situation is stabilizing, consumer, corporate and investor confidence in the future outlook is much more volatile. Fundamental data suggests that in the absence of policy-induced problems, economic growth has recovered from the summer slowdown. A number of leading indicators of employment have started to improve. Markets for stocks and corporate bonds have already discounted a disappointing, but not a devastating, outcome. Any constructive resolution of the policy discussions currently in the headlines would be supportive of a rally in risk assets; however, a policy error could provide the catalyst for a further correction. We believe a benign or constructive outcome is more likely, but have taken steps to seek to mitigate risk should that not be the case.
Portfolio Facts
As of December 31, 2011
Net Assets | $560,554,320 | |
NAV | $11.40 | |
NAV - High† | 4/29/2011 - $13.29 | |
NAV - Low† | 10/3/2011 - $10.03 | |
Number of Holdings: 598 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | From Inception 4/29/2005 | ||
| -3.93% | 0.24% | 4.22% |
| * | The Barclays Capital U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. |
The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented.
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
5
| Thrivent Moderately Aggressive Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. Simenstad, CFA (far right), Portfolio Co-Managers |  |
The Portfolio seeks long-term capital growth.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Moderately Aggressive Allocation Portfolio earned a return of -2.86%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of -1.93%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 2.11% and 7.84%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio did not keep pace with either the S&P 500 or the Barclays Capital U.S. Aggregate Bond Index and was moderately below the median for its Lipper category as a result of the following factors. First, a number of our managers in certain segments of the equity market, particularly large caps, did not keep pace with their respective benchmarks. As the investment environment deteriorated in the second half of the year, investors opted for very conservative investment profiles, especially in the large-capitalization segment. Many of our managers were more aligned with an outlook that favored ongoing growth and a more constructive cyclical environment. Second, our allocation to overseas markets was not helpful to results as non-U.S. markets underperformed the U.S., particularly in Europe and emerging markets. Specifically, while the international segment was modestly below its median, worldwide actually did well relative to its category. So while the segments underperformed the U.S. markets, the managers were either in-line or better than their counterparts in tracking the S&P 500 index. Third, we had an average of 22% of the Portfolio invested in fixed-income securities, with the majority concentrated in corporate bonds. Corporate bonds did not keep pace with the strong advance in U.S. government securities that occurred in the second half of the reporting period, but did outperform many of the equity market segments.
What is your outlook?
While a number of indicators suggest stabilization of the existing economic situation, consumer, corporate and investor confidence going forward will be much more volatile. Fundamental data suggests that, in the absence of
6
policy-induced problems, economic growth has recovered from the slowdown that occurred over the summer. However, employment growth is going to be the key to seeing some acceleration in activity. Markets for stocks and corporate bonds have already discounted a disappointing, but not a devastating, outcome. Any constructive resolution of the policy discussions currently in the headlines would be supportive of a rally in risk assets; however, a policy error could provide the catalyst for a further correction. We believe a benign or constructive outcome is more likely, but have taken steps to seek to mitigate risk should that not be the case.
Portfolio Facts
As of December 31, 2011
Net Assets | $2,659,601,280 | |
NAV | $11.19 | |
NAV - High† | 4/29/2011 - $12.77 | |
NAV - Low† | 10/3/2011 - $10.03 | |
Number of Holdings: 647 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
-2.86% | 0.87% | 4.30% |
| * | The Barclays Capital U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. |
The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented.
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
7
| Thrivent Moderate Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. Simenstad, CFA (far right), Portfolio Co-Managers | | |
The Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Moderate Allocation Portfolio earned a return of -1.02%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of 0.32 %. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 2.11% and 7.84%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio did not keep pace with either the S&P 500 or the Barclays Capital U.S. Aggregate Bond Index, and was moderately below the median for its Lipper category due to the following factors: a number of managers in certain segments of the allocation accounts on the equity side did not keep pace with their respective benchmarks, and our allocation to overseas markets was not helpful to results as non-U.S. markets underperformed the U.S., particularly in Europe and emerging markets. Specifically, while the international segment was modestly below its median, worldwide actually did well relative to its category. So while the segments underperformed the U.S. markets, the managers were either in-line or better than their counterparts in tracking the S&P 500 index.
An average of 42% of the Portfolio was invested in fixed-income securities that were concentrated in corporate bonds. Corporate bonds did not keep pace with the strong advance in government securities that occurred in the second half of the reporting period, but did outperform many of the equity market segments. The Portfolio’s managers in the large-cap allocations, in particular, did not keep pace with their respective benchmarks. As the investment environment deteriorated in the second half of the year, investors opted for very conservative investment profiles, especially in the large-capitalization segments. Many of our managers were more aligned with an outlook that favored ongoing growth and a more constructive cyclical environment.
What is your outlook?
Confidence in the outlook for continued economic growth has been depressed by the ongoing policy and political struggles that played out through the summer and continued into year-end. While a number of indicators suggest stabilization of the existing economic situation, consumer, corporate and investor confidence in the future outlook is much more volatile. Fundamental
8
data suggests that in the absence of policy induced problems, economic growth has improved, following the slowdown that occurred over the summer. A number of leading indicators of employment have started to improve. We believe employment growth is the key to seeing some acceleration in activity. Markets for stocks and corporate bonds have already discounted a disappointing, but not a devastating, outcome. Any constructive resolution of the policy discussions currently in the headlines would be supportive of a rally in risk assets; however, a policy error could provide the catalyst for a further correction. We believe a benign or constructive outcome is more likely, but have taken steps to seek to mitigate risk should that not be the case.
Portfolio Facts
As of December 31, 2011
Net Assets | $4,133,646,716 | |
NAV | $11.25 | |
NAV - High† | 4/29/2011 - $12.51 | |
NAV - Low† | 10/3/2011 - $10.33 | |
Number of Holdings: 655 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
-1.02% | 1.95% | 4.61% |
| * | The Barclays Capital U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
9
| Thrivent Moderately Conservative Allocation Portfolio
Russell W. Swansen (left), David C. Francis, CFA (right) and Mark L. Simenstad, CFA (far right), Portfolio Co-Managers | | |
The Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Moderately Conservative Allocation Portfolio earned a return of 0.20%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of 2.24%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, earned returns of 2.11% and 7.84%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio did not keep pace with either the S&P 500 or the Barclays Capital U.S. Aggregate Bond Index and was below the median for its Lipper category as a result of the following factors. First, a number of our managers in certain segments of the equity market, particularly large caps, did not keep pace with their respective benchmarks. As the investment environment deteriorated in the second half of the year, investors opted for very conservative investment profiles, especially in the large-capitalization segment. Many of our managers were more aligned with an outlook that favored ongoing growth and a more constructive cyclical environment. Second, our allocation to overseas markets was not helpful to results as non-U.S. markets underperformed the U.S., particularly in Europe and emerging markets. Specifically, while the international segment was modestly below its median, worldwide actually did well relative to its category. So while the segments underperformed the U.S. markets, the managers were either in-line or better than their counterparts in tracking the S&P 500 index.
Third, we had an average of 63% of the Portfolio invested in fixed-income securities with the majority concentrated in corporate bonds. Corporate bonds did not keep pace with the strong advance in U.S. government securities that occurred in the second half of the reporting period, but did outperform many of the equity market segments.
What is your outlook?
While a number of indicators suggest stabilization of the existing economic situation, consumer, corporate and investor confidence going forward may be much more volatile. Fundamental data suggests that, in the absence of
10
policy-induced problems, economic growth has recovered from the slowdown that occurred over the summer. However, we believe employment growth is going to be the key to seeing some acceleration in activity. Markets for stocks and corporate bonds have already discounted a disappointing, but not a devastating, outcome. Any constructive resolution of the policy discussions currently in the headlines would be supportive of a rally in risk assets; however, a policy error could provide the catalyst for a further correction. We believe a benign or constructive outcome is more likely, but have taken steps to seek to mitigate risk should that not be the case.
Portfolio Facts
As of December 31, 2011
Net Assets | $2,055,266,794 | |
NAV | $11.28 | |
NAV - High† | 4/29/2011 - $12.20 | |
NAV - Low† | 10/3/2011 - $10.62 | |
Number of Holdings: 505 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
0.20% | 2.78% | 4.58% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Partner Technology Portfolio earned a return of -12.83%, compared with the median return of its peer group, the Lipper Science and Technology category, of -6.49%. The Portfolio’s market benchmark, the NASDAQ Composite Index, earned a return
of -0.79%.
What factors affected the Portfolio’s performance?
The main factor in the Portfolio’s underperformance relative to its peer group and market benchmarks was stock selection. One stock which detracted from performance was RealD, Inc., a company that designs, manufactures and licenses 3-D technology. The company reported disappointing earnings results as the revenues from recently released 3-D blockbuster movies lagged those of 3-D films that were released over the past year.
Rovi Corp. also was a large detractor from returns. The company holds patents on interactive program guides (IPGs) for video delivery services and devices. Its shares fell after the company revised 2011 earnings guidance to the low end of its prior projection due to faster declines for both ACP (analog copy protection) and Roxio Software and a softer macro environment.
Dolby Laboratories was another detractor from returns during the period. Investor interest in the stock waned after Dolby Laboratories announced during the third quarter that Microsoft’s next-generation operating system, Windows 8, would not incorporate its technologies at this point.
SuccessFactors, a business execution software provider, contributed positively to relative performance during the reporting period. Its shares rose after the company agreed to be acquired by SAP at a significant premium to the previous close. Rackspace Hosting, Inc., a leading provider of hosting and cloud computing services, also contributed to performance. Its shares rose after the company announced better-than-expected earnings.
Within industrials, Iron Mountain, a leader in records
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management, data storage and online backup, contributed to performance as well. Its shares rose after management announced a strategic plan for enhancing shareholder value.
What is your outlook?
Our team continues to try to identify businesses that have strong fundamental characteristics and the ability to preserve or increase their earnings power and generate strong free cash flow and maintain healthy balance sheets, led by quality management teams. While there will no doubt continue to be surprises over the course of 2012, we remain encouraged regarding the opportunities for our growth companies. We continue to maintain our investment discipline of buying high-quality growth businesses that are trading at attractive valuations for the long term. In addition, we are increasingly cognizant of risk management at the portfolio level, particularly in a market environment where periods of extreme volatility and correlations persist.
Portfolio Facts
As of December 31, 2011
Net Assets | $29,615,410 | |
NAV | $6.20 | |
NAV - High† | 5/10/2011 - $7.44 | |
NAV - Low† | 10/3/2011 - $5.54 | |
Number of Holdings: 38 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| -12.83% | -0.42% | -0.30% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Partner Healthcare Portfolio earned a return of -3.79%, compared with the median return of its peer group, the Lipper Health/Biotechnology category, of 8.43%. The Portfolio’s market benchmark, the Morgan Stanley Capital International (MSCI) World Healthcare Index, earned a return of 10.17%.
What factors affected the Portfolio’s performance?
In the first half of 2011, the Portfolio’s underperformance was largely driven by our underweightings in pharmaceuticals and health care services. Pharmaceutical stock performance was driven by the sector’s low price/earnings (P/E) multiple, high-dividend yield, high-dividend cover and strong free cash flow generation and not by research and development (R&D) pipeline progress, which is the traditional driver of stock performance. We view this industry’s fundamentals as challenged—due to high exposure to low growth segments, government pricing pressure and austerity measures, and lackluster R&D performance—and have taken selective positions in companies whose fundamentals are strong. We do not invest in the health care services sector. Cumulatively, these two sectors contributed substantially to the index’s positive return in 2011.
The second half of 2011 saw continued pharmaceutical strength and rising risk aversion due to concerns about sovereign debt in Europe and U.S. creditworthiness. In August 2011, we implemented a “barbell” structure in the Portfolio to provide downside protection in the event of protracted risk aversion and to take advantage of some of the strong declines in mid- and small-cap, development-stage health care companies. With the barbell, we increased the Portfolio’s pharmaceutical exposure on the one hand and increased exposure to beaten-up, small- and mid-cap health care companies on the other hand. Short term, this could prove to be a riskier strategy, while over the medium to long term, we believe it should generate outperformance.
What is your outlook?
The outlook for biotechs, generics and medtechs is strong, while we remain selective in pharmaceutical names. Recently, biotechs have been incredibly productive in
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developing effective drugs that treat diseases of high unmet medical need (e.g., lupus, hepatitis C, cystic fibrosis and prostate cancer). Investor skepticism toward product launch stories has created opportunities for investment in this segment.
The outlook for generics is tied to their exposure to emerging markets, where the prescription drug industry is growing at 10% to 20% per year versus low single digits elsewhere.
With medtechs, we plan to continue focusing on companies developing innovative and disruptive technologies. In pharmaceuticals, we plan to remain selective, focusing on the few companies with strong R&D capabilities, strong pipelines, meaningful emerging-market exposure and hedges against topline erosion through genericization.
Portfolio Facts
As of December 31, 2011
Net Assets | $17,999,712 | |
NAV | $11.26 | |
NAV - High† | 5/31/2011 - $13.13 | |
NAV - Low† | 10/3/2011 - $10.07 | |
Number of Holdings: 36 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
| -3.79% | 4.74% |
| * | 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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* Effective April 2011, David C. Francis and Darren M. Bagwell became the Portfolio Co-Managers.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner Natural Resources Portfolio earned a return of -12.84%, compared with the median return of its peer group, the Lipper Natural Resources category, of -9.47%. The Portfolio’s market benchmark, the S&P North American Natural Resources Sector Index, earned a return of -7.35%.
What factors affected the Portfolio’s performance?
The most important international crude oil benchmark, Brent, averaged $111 per barrel in 2011, an increase of 39% above the 2010 average price of $79.70 per barrel. The Portfolio was aggressively positioned to capitalize on high oil prices through overweightings in exploration and production (E&P) and oilfield services companies. E&P companies’ revenues benefit directly from high oil prices, while oilfield services companies, which help drill wells to grow future production, are the recipients of E&P companies’ increased spending.
Macroeconomics and geopolitics, however, overwhelmed the bottom-up fundamentals that drive our investment process. Defensive integrated energy companies dramatically outdistanced E&P and oilfield services equities in a flight to safety. Geopolitics mattered as spending on exploration and development, particularly in the Middle East, did not meet expectations with disruptions from protests across the Arab world.
The absolute performance of materials, especially the coal group within the sector, was exceptionally poor; therefore, the Portfolio’s relative performance suffered from our overt pro-cyclical focus on coal producers. This positioning was out of sync with the growing marketplace concerns about the European crisis and its impact on global growth, which overwhelmed what we believed to be exceptional asset values in the segment.
What is your outlook?
We believe growth in new oil supplies remains constrained and that it will cost more and more to produce whatever growth is achieved. The impact on oil demand from an economic slowdown in Europe and Asia represents the primary risk to oil prices. We favor select investments in
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global oil services companies where fear of an adverse outcome is already discounted in stock prices.
We also expect continued success in development of unconventional oil fields within the United States. Finally, after four years of sharply falling prices, natural gas prices may have finally reached the point where drilling is not economical in most places. As a result, we are more sanguine about prices for this lighter-weight hydrocarbon rising in the future.
In materials and coal, we have bowed to the short-term realities of decelerating global economic prospects, the risk of a rising dollar, initial signs of declining contract prices, and poor operational execution by the domestic producers. While we continue to believe that the secular long-term thesis of strong export demand driven by developing country urbanization remains intact, we plan to continue reducing the Portfolio’s exposures until the macro environment becomes less volatile.
Portfolio Facts
As of December 31, 2011
Net Assets | $31,602,403 | |
NAV | $8.33 | |
NAV - High† | 4/29/2011 - $11.03 | |
NAV - Low† | 10/3/2011 - $6.99 | |
Number of Holdings: 35 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
| -12.84% | -4.79% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Partner Emerging Markets Portfolio earned a return of -10.83%, compared with the median return of its peer group, the Lipper Emerging Markets category, of -18.66%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index, earned a return of -18.17%.
What factors affected the Portfolio’s performance?
Among the key positive contributors at the stock level were Mexican bottler and convenience store operator FEMSA, Indonesian conglomerate Astra International and Brazilian tobacco company Souza Cruz, which all delivered healthy results. Brazilian fuels and chemicals distributor Ultrapar also rallied as the company’s controlling shareholders agreed to grant all shareholders equal voting rights and the business continued to perform well.
Conversely, the Portfolio’s holding in Brazilian retailer Lojas Renner lagged on worries that a slowing economy would translate into weaker sales, while our Turkish holding Akbank was dragged down by the difficult operating environment. Concerns over the credit quality of loans made to state governments also weighed on our Mexican bank stock Banorte.
Performance was dragged down by the Portfolio’s overweighting to Turkey and India. Both countries struggled with stubborn inflation, current account deficits and weaker currencies, while India’s situation was compounded by seeming policy paralysis. The Portfolio’s underweighting to Korea was also negative as the market proved relatively resilient. Performance there was led by some of its global companies such as Hyundai Motors, which did well at the Japanese automakers’ expense. On a brighter note, losses were pared by the Portfolio’s nonbenchmark position in Hong Kong and overweighting to Thailand, which shrugged off concerns over the country’s recent severe flooding.
What is your outlook?
We believe a difficult year lies ahead as the fundamental problems that have beset the global economy and equity markets still prevail. Europe’s debt crisis remains unresolved, while the region’s austerity measures will have consequences on global growth, as will the deleveraging in the U.S., despite tentative signs of economic recovery. Further complicating the picture are Europe’s banks, which may roll back the credit extended—especially to Eastern Europe—when faced with
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a capital shortage. Developing economies will not be immune as slowing global growth would dampen demand for exports and commodities. There are also concerns over a potential hard landing in China and stubborn inflation in countries such as India and Turkey. Political events may fuel uncertainty with key elections in India’s major states, Taiwan, Mexico, Russia and the U.S., as well as the leadership handover in China, all slated for 2012.
Despite these challenges, emerging markets’ long-term prospects remain intact. Most developing countries are fiscally sound, which will enable them to implement stimulus if the external environment deteriorates further. Corporate and household balance sheets are healthy and the potential for increasing demand from a growing middle class is also positive.
Portfolio Facts
As of December 31, 2011
Net Assets | $38,853,572 | |
NAV | $10.92 | |
NAV - High† | 4/8/2011 -$12.78 | |
NAV - Low† | 10/3/2011 -$10.05 | |
Number of Holdings: 56 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | FromInception 4/30/2008 | |
-10.83% | 3.11% |
| * | 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 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 12-month period ended December 31, 2011?
Thrivent Real Estate Securities Portfolio earned a return of 8.83%, compared with the median return of its peer group, the Lipper U.S. Real Estate category, of 6.02%. The Portfolio’s market benchmark, the FTSE NAREIT All Equity REITs Index, earned a return of 8.28%.
What factors affected the Portfolio’s performance?
REIT stocks performed well during 2011 as the demand for equities with attractive dividend yields proved compelling in an environment of historically low interest rates. Fundamentally, occupancy rates held steady for most property types, and improved meaningfully for apartments. The national vacancy rate for apartments ended the year at 5.2%, the lowest level since 2001.
Investment demand for high-quality institutional real estate also remained strong, which allowed REITs to generate sale proceeds that they were able to use to pay down debt or reinvest in other investment properties.
The best-performing sectors in the Portfolio were regional mall, self-storage and apartment REITs. The Portfolio’s largest positive contributors to performance were Simon Property Group, which develops, acquires and manages regional malls, outlet centers and community shopping centers in the U.S. and internationally, and Public Storage, which develops, acquires and manages self-storage facilities in the United States and Europe.
What is your outlook?
New construction supply is limited for most property types, which will allow occupancy rates to gradually increase as existing vacant space is absorbed. Multifamily is the only property sector that has seen an increase in construction starts, which we expect to result in delivery of new apartment units over the next 12 to 24 months. However, with apartment occupancy rates averaging 95% nationwide, these new units are being built to satisfy current and expected demand. Most other property types, including office, shopping centers and industrial properties, have historically high vacancy rates, which should mitigate the risk of competitive supply from new construction.
We believe that the commercial real estate market is likely to experience an improvement in occupancy and rental rates in 2012. The Portfolio has exposure to companies within each property sector, with the largest holdings
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being in large-capitalization REITs with experienced management teams and institutional-quality real estate portfolios. In addition, the Portfolio currently maintains exposure in mid- and small-capitalization REITs that offer attractive relative value and favorable long-term prospects.
We continuously look for opportunities to add value, and will make any adjustments that we expect to be beneficial to Portfolio performance during the year.
Portfolio Facts
As of December 31, 2011
Net Assets | $107,965,999 | |
NAV | $15.77 | |
NAV - High† | 7/22/2011 - $16.87 | |
NAV - Low† | 10/3/2011 - $13.02 | |
Number of Holdings: 116 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | From Inception 4/30/2003 | ||
| 8.83% | -1.32% | 11.13% |
| * | 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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| * | Effective April 2011, Darren M. Bagwell became the Portfolio Manager. |
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner Utilities Portfolio earned a return of 9.08%, compared with the median return of its peer group, the Lipper Utility category, of 6.65%. The Portfolio’s market benchmarks, the S&P 500 Utilities Index and the S&P 500 Telecommunications Services Index, earned returns of 19.91% and 6.27%, respectively.
What factors affected the Portfolio’s performance?
The utility sector performed very well in 2011, particularly in the second half of the year due to the defensive nature of the industry. Concerns over a weak economic environment and the ongoing euro crisis caused interest rates to drop significantly throughout the year. Given this backdrop, investors focused on defensive stocks with stable earnings growth and high dividend yields. Thus, domestic large-cap regulated utilities outperformed all other segments of the utility sector.
During the year, the Portfolio underperformed its benchmark primarily due to an overweighted position on the higher-growth small- to mid-cap regulated utilities, and an underweighted position on large-cap utilities. Additionally, as power markets improved throughout the year, the Portfolio’s underweighting of nonregulated hybrid utilities were a drag on performance.
The Portfolio’s telecommunications and cable exposure was another relative drag on performance in 2011, as the market favored more-conservative and higher-yielding sectors such as utilities. Unfortunately, a well-placed focus on towers and alternative business carriers within telecommunications—as demand for capacity and wireless services held up nicely—was overwhelmed by the dramatic underperformance of our emerging-market exposure in wireless providers.
Despite solid operational performance, cable additionally suffered from concerns with respect to competitive content delivery models and general consumer health.
What is your outlook?
While regulated utilities are trading at the high end of their historical valuation range, utilities’ lofty dividend yields continue to be attractive in the current environment. The regulatory backdrop remains constructive, allowing for solid rate base growth opportunities. Regulated utilities are projected to grow earnings at a mid-single-digit rate over the next several years. Nonregulated utilities are currently negatively impacted by low power prices and a weak natural gas market. Recently enacted environmental regulations are
22
expected to help improve power prices, but may not have an impact for several years.
Despite the relative underperformance in 2011, we expect the telecom and cable exposures of the Portfolio to generate incremental returns for the Portfolio going forward, especially as the yield advantage of utilities moderates and investors recognize the secular demand attributes of alternative carriers, as well as the better-than-appreciated competitive positions, benign regulatory environments, and outlying free cash flow yields of the cable industry.
Portfolio Facts
As of December 31, 2011
Net Assets | $11,118,547 | |
NAV | $8.65 | |
NAV - High† | 5/10/2011 - $8.84 | |
NAV - Low† | 8/8/2011 - $7.37 | |
Number of Holdings: 36 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
9.08% | -2.30% |
| * | The S&P 500 Utilities Index is a capitalization-weighted index of utilities sector securities. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Telecommunications Services Index is a capitalization-weighted index of telecommunications sector securities. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
| *** | 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 Growth Portfolio |
Subadvised by Turner Investments, L.P.
Thrivent Partner Small Cap Growth Portfolio seeks long-term capital growth.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner Small Cap Growth Portfolio earned a return of -3.85%, compared with the median return of its peer group, the Lipper Small Cap Growth category, of -2.28%. The Portfolio’s market benchmark, the Russell 2000® Growth Index, earned a return of -2.91%.
What factors affected the Portfolio’s performance?
The consumer discretionary sector was an area of underperformance for the Portfolio. Shares of Limelight Networks Inc., the second-largest global content delivery service company, traded lower as the stock retreated on news that larger competitor Akamai Technologies Inc. reported subpar results. However, this was due to Limelight taking market share away from Akamai. We believe Limelight is well-positioned to capture further growth as demand for Internet traffic continues to grow.
Staffing company Kforce Inc. also detracted from results in part due to its exposure to the U.S. government along with the “risk on, risk off” trade. Kforce was negatively impacted by the cutback in government jobs as the company has roughly 10% of its revenues tied to the U.S. government labor market. Additionally, staffing companies are generally highly sensitive to the “risk on, risk off” trade, especially when there are concerns of an economic slowdown.
The health care sector was an area of strength for the Portfolio. Biopharmaceutical company Amarin Corp. soared after the company reported positive results in its trial for a fish-oil treatment aimed at lowering the risk of heart disease. The study showed that the drug actually lowered LDL (bad cholesterol), whereas most triglyceride-lowering drugs often end up raising LDL levels. Pharmasset Inc. also contributed strongly to results. Although the clinical-stage pharmaceutical company currently has no active products on the market, the cure rate for its hepatitis C experimental drug study has far surpassed expectations. With the company inching closer to FDA approval, we believe it will become the main choice of drug for hepatitis C treatments once that occurs.
What is your outlook?
For 2012, we think Europe will do whatever it takes to avoid a complete financial meltdown, which should alleviate at least some of the concerns that held investors
24
back in much of 2011. Also, we expect that the fourth year of the U.S. presidential-election cycle will have Washington focused on stimulating economic growth, which should boost the U.S. economy.
Finally, corporate profitability remains strong, with the S&P 500 companies expected to post record earnings per share of $107, according to S&P Capital IQ. So even though 2011 was modestly rewarding for stocks, we think the bias for the market is up in the new year.
Portfolio Facts
As of December 31, 2011
Net Assets | $197,490,426 | |
NAV | $12.42 | |
NAV - High† | 4/29/2011 - $15.03 | |
NAV - Low† | 10/3/2011 - $10.23 | |
Number of Holdings: 191 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| -3.85% | 0.56% | 3.47% |
| * | The Russell 2000® Growth Index is an index comprised of small capitalization companies with a greater than average growth orientation. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
25
| 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 12-month period ended December 31, 2011?
Thrivent Partner Small Cap Value Portfolio earned a return of -1.99%, compared with the median return of its peer group, the Lipper Small Cap Value category, of -4.46%. The Portfolio’s market benchmark, the Russell 2000® Value Index, earned a return of -5.50%.
What factors affected the Portfolio’s performance?
The Portfolio outperformed its benchmark index over the past 12 months due to stock selection; sector allocation also provided a headwind. Stock selection was especially helpful in industrials and business services. Kirby Corp., the largest domestic tank barge operator in the U.S., was a top absolute contributor for the Portfolio. The firm handles about a third of inland traffic transporting bulk liquids, such as petrochemicals and agricultural chemicals. Recently announced plans for two acquisitions should provide diversification because Kirby is expected to begin handling more varied cargo and add coastal routes as a result.
Our materials stocks outpaced those in the index. The sector has performed well recently, but was weak earlier in the year when economic prospects looked bleaker. Arch Chemicals was among the Portfolio’s leading contributors. The share price of the global biocides company surged on news that a large Swiss chemical manufacturer would acquire the firm.
The consumer discretionary sector was another area of outperformance for the Portfolio. Our holdings in Aaron’s, a rent-to-own retailer, proved beneficial. The energy sector detracted from results versus the index, hindered by Penn Virginia, a natural gas and oil exploration and production company. Recent drilling results from acreage in the Marcellus Shale have been disappointing. We believe the firm has other attractive prospects, including acreage in the Eagle Ford and Granite Wash shales.
What is your outlook?
We believe that slow economic growth in the U.S. and the crisis in Europe are likely to continue. We expect the same conditions that concerned us throughout much of the past year to be with us at least during the early part of 2012.
Balanced against these negatives, corporate earnings in the U.S. appear healthy, although their rate of growth
26
could moderate. Stock valuations look quite attractive, and consumer sentiment seems to be improving. In addition, cash invested in fixed-income assets could be redirected into stocks once interest rates finally begin to rise.
Beneficial developments in the labor and housing markets could provide support for stocks in the coming months. We continue to see attractive opportunities to invest in small companies that we believe are undervalued.
Portfolio Facts
As of December 31, 2011
Net Assets | $250,381,150 | |
NAV | $18.64 | |
NAV - High† | 4/29/2011 - $20.72 | |
NAV - Low† | 10/3/2011 - $14.89 | |
Number of Holdings: 164 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | From Inception 4/30/2003 | ||
| -1.99% | 2.61% | 11.18% |
| * | The Russell 2000® Value Index measures the performance of small cap value stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
27
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Small Cap Stock Portfolio earned a return of -5.31%, compared with the median return of its peer group, the Lipper Small Cap Core category, of -3.92%. The Portfolio’s market benchmark, the Russell 2000® Index, earned a return of -4.18.
What factors affected the Portfolio’s performance?
Overall, our total performance was below benchmark due to our pro-cyclical tilts and poor security selection in the commodity-driven energy sector. However, our focus on niche software providers in the secularly growing and consolidating areas of data analysis, eCommerce and storage was well-placed as strong enterprise spending in these areas resulted in better earnings, and several of our holdings were bought out.
In the consumer sector, a defensive posture paid meaningful dividends as we tilted toward staples versus discretionary. Stock selection was notable in this group as well, especially within the areas of packaged foods, apparel and home furnishings, where focusing on situations with new managements and business strategies paid dividends.
Finally, and unfortunately, our energy positioning in 2011 was poor. Our emphasis on pick-and-shovel oilfield equipment and services providers hurt our performance. Further, the companies we did invest in generally executed poorly, amplifying the penalty. We began the year optimistic that high oil prices would spur a recovery in international oil drilling. Instead, macroeconomic and political risks kept large oil companies by and large standing with their hands in their pockets—a condition we were slow to recognize.
What is your outlook?
We believe the domestic economy will have a difficult time growing better than 2.0% to 2.5%, largely due to less-than-anticipated global growth as a result of a European recession spurred by that region’s debt and currency crises. Exports to that region should deteriorate, and we expect the U.S. will not be able to escape the impact. We look for federal fund rates to remain where they are throughout 2012, and broad rates and inflation to also hover near historical lows. We are concerned, however, about market rates starting to rise after the presidential
28
elections (more likely in 2013) as investors may become increasingly uncomfortable with the lack of progress in addressing the U.S. fiscal problems.
The key issue for 2012 will likely be the tug-of-war between the favorable rate environment for risky assets versus the negative earnings (and solvency) implications of weak global economic growth. China’s slowing growth and our fear of post-election rate concerns being drawn forward tilt us to a cautious and defensive outlook for the coming year.
Portfolio Facts
As of December 31, 2011
Net Assets | $263,838,002 | |
NAV | $11.99 | |
NAV - High† | 4/29/2011 - $14.04 | |
NAV - Low† | 10/3/2011 - $9.65 | |
Number of Holdings: 81 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -5.31% | -1.11% | 4.58% |
| * | The Russell 2000® Index measures the performance of small cap stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
29
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Small Cap Index Portfolio earned a return of 0.53%, compared with the median return of its peer group, the Lipper Small Cap Core category, of -3.92%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of 1.02%.
What factors affected the Portfolio’s performance?
The Portfolio is managed to virtually replicate the performance of the S&P SmallCap 600 Index, a prime measure of small stock performance. We seek to maintain a fully invested position with limited transactions to minimize costs. As typically occurs with an index portfolio, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses and minor differences in portfolio composition.
Small-cap stocks outperformed mid-cap stocks and underperformed large-cap stocks for the last 12 months. Four sectors sported a positive return. Utilities and health care had the most positive returns.
The stocks of telecommunication services and materials were the weakest performers, posting the most negative returns. Investors were seeking dividends and cash flow, and these sectors tend to offer less exposure to these factors.
What is your outlook?
The Portfolio will remain fully invested in stocks designed to track the performance of the S&P SmallCap 600 Index. This offers individuals a way to take advantage of the growth potential of the broad, diversified marketplace of small-cap stocks.
Smaller-cap stocks have underperformed larger-cap issues in the past year. Over the last six months, investors seemed to become more risk-averse, providing an environment that tends to favor larger-capitalized companies. Small-cap companies, particularly those exposed to the domestic markets and U.S. consumers, tend to pay smaller dividends and have less positive cash flow, which were the factors that investors were seeking.
The financial markets appear to be resolving some of the uncertainty and ambiguity that has surrounded them. At
30
a minimum, global growth is slowing and the prices of risk assets have adjusted significantly, reflecting the increased uncertainty. We are more than three years into the current cycle. As mentioned a year ago, as a new economic cycle matures, investors begin to favor larger-cap issues over smaller-cap issues, which is what we saw for 2011.
We still believe there is solid opportunity in the small-cap arena, but the premium return for small stocks is likely to be limited in the future as the new cycle continues to mature.
Portfolio Facts
As of December 31, 2011
Net Assets | $188,990,316 | |
NAV | $12.77 | |
NAV - High† | 4/29/2011 - $14.55 | |
NAV - Low† | 10/3/2011 - $10.36 | |
Number of Holdings: 604 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 0.53% | 1.69% | 6.75% |
| * | The S&P SmallCap 600 Index is an index that represents the average performance of a group of 600 small capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses and taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
31
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Mid Cap Growth Portfolio II earned a return of -4.32%, compared with the median return of its peer group, the Lipper Mid Cap Growth category, of -5.91%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of -1.65%.
What factors affected the Portfolio’s performance?
The Portfolio lagged its competitors and the benchmark over the period as we increased our defensive positioning too early 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 into these names and were willing to pay enormous premiums for select growth names for much of the year. Our late-cycle industrial names lagged as investors opted for high-beta, high-growth names. Our energy stock picks did not fare well over the period, particularly our coal stocks. Our individual stock picks in the technology sector did perform well over the period. As we approached the back half of 2011, our defensive positioning helped us close some, but not all, of the performance gap compared with our competitors.
What is your outlook?
As we enter 2012, many of the same problems that have plagued the economy for the past three years remain unsolved. The U.S. economy remains in a state of subpar growth, due primarily to the lackluster job market. Also contributing to the economic malaise is the floundering housing market. Recent pricing data is showing signs that it may be entering another downturn. Turmoil in the European markets also remains a significant risk to the U.S. and world economies. As such, we will continue to follow a disciplined process and will remain wary of the multiples we are willing to pay for stocks.
We believe the market volatility that we have seen in the past few months will likely continue. Europe’s debt problems are likely to remain in the forefront of the news, but investors will soon turn their attention to the U.S. debt problem. We strongly believe that—ultimately—the Fed will again print money and continue to monetize the debt. When this happens, the value of the dollar will likely decline and inflation is likely to increase as more money is pumped into the system.
In this environment, we intend to remain invested in companies that have definable product cycles that should
32
grow despite economic cyclicality. We also seek to remain invested in companies that have hard assets that will benefit from commodity inflation, especially in the energy and materials sectors. We remain cautious on high multiple consumer discretionary stocks.
Portfolio Facts
As of December 31, 2011
Net Assets | $16,971,847 | |
NAV | $9.17 | |
NAV - High† | 4/29/2011 - $10.77 | |
NAV - Low† | 10/3/2011 - $8.03 | |
Number of Holdings: 77 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -4.32% | 4.65% | 3.16% |
| * | The Russell Midcap® Growth Index measures the performance of mid cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
33
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Mid Cap Growth Portfolio earned a return of -5.43%, compared with the median return of its peer group, the Lipper Mid Cap Growth category, of -5.91%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of -1.65%.
What factors affected the Portfolio’s performance?
The Portfolio lagged its competitors and the benchmark over the period as we increased our defensive positioning too early 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 into these companies and were willing to pay enormous premiums for select growth names for much of the year. Our late-cycle industrial names lagged the market as well. Our energy stock picks did not fare well over the period, particularly our coal stocks. Individual stock picks in the technology sector performed well over the period. As we approached the back half of 2011, our defensive positioning helped us close some, but not all, of the performance gap.
What is your outlook?
As we enter 2012, many of the same problems that have plagued the economy for the past three years remain unsolved. The U.S. economy remains in a state of subpar growth, due primarily to the lackluster job market. Also contributing to the economic malaise is the floundering housing market. Recent pricing data is showing signs that it may be entering another downturn. Turmoil in the European markets also remains a significant risk to the U.S. and world economies. As such, we will continue to follow a disciplined process and remain cautious of the multiples we are willing to pay for stocks.
We believe the market volatility that we have seen in the past few months will likely continue. Europe’s debt problems are likely to remain in the forefront of the news, but investors will soon turn their attention to the U.S. debt problem. We strongly believe that—ultimately—the Fed will again print money and continue to monetize the debt. When this happens, the value of the U.S. dollar will likely decline, and inflation is likely to increase as more money is pumped into the system.
In this environment, we intend to remain invested in companies that have definable product cycles that should grow despite economic cyclicality. We also seek to remain invested in companies that have hard assets that will benefit from commodity inflation, especially in the energy and materials sectors. We remain cautious on high multiple consumer discretionary stocks.
34
Portfolio Facts
As of December 31, 2011
Net Assets | $348,833,514 | |
NAV | $17.50 | |
NAV - High† | 7/7/2011 - $20.10 | |
NAV - Low† | 10/3/2011 - $15.34 | |
Number of Holdings: 79 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| -5.43% | 5.40% | 5.81% |
| * | The Russell Midcap® Growth Index measures the performance of mid cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
35
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner Mid Cap Value Portfolio earned a return of -6.33%, compared with the median return of its peer group, the Lipper Mid Cap Value category, of -5.89%. The Portfolio’s market benchmark, the Russell Midcap® Value Index, earned a return of -1.38%.
What factors affected the Portfolio’s performance?
Reflecting on 2011, we attribute our underperformance to challenged stock selection that was out of sync with market dynamics. For the year, materials was the bottom-performing sector in the Portfolio, largely driven by Stillwater Mining Company. Our holding in Stillwater Mining was hurt by the ongoing fears of a global economic slowdown.
At the stock level, Sprint Nextel Corp. was the largest detractor within the Portfolio for the year. In an environment in which turnaround stocks underperformed, shares of Sprint Nextel fell due to concerns regarding whether the company has sufficient liquidity to fund two large investments—the iPhone and Network Vision, both of which we believe will be substantial long-term drivers of value creation.
On the positive side during the year, the Portfolio benefited from strong performance of our investments in industrials. For the year, Kansas City Southern was a top performer, as pricing remained strong and rail volume growth outpaced the industry. The company has a unique position in Mexico and is benefiting from increased cross-border activity and growth at the Port of Lazaro. Management has been focused on improving productivity, which drove higher operating ratios, and both free cash flow and return on capital increased this year.
For the year, our top-performing stock in the Portfolio was a take-out. Shares of Kinetic Concepts Inc., a producer of medical technology dealing with wound care, benefited from the announcement that it agreed to be acquired at a premium by a group of private equity firms led by Apax Partners.
What is your outlook?
In 2011, macro concerns and swings in sentiment overshadowed the strength of individual company
36
fundamentals, resulting in a volatile year and a difficult one for active managers. While risks remain over strains in Europe, emerging-market inflation, slowing global growth and political uncertainty, we remain cautiously optimistic about the U.S. equity market going forward.
Company fundamentals remain strong, as well-capitalized corporations have more than $1 trillion on their balance sheets and are beginning to redeploy cash, signaling confidence in the economy. In our view, earnings should remain resilient given companies’ exposures to secular and global growth, as well as increased financial and operational flexibility, which allows management to be better prepared and anticipatory. Finally, we believe that fundamentals will be rewarded more as there is more dispersion at the stock level, which should bode well for an active approach.
Portfolio Facts
As of December 31, 2011
Net Assets | $215,830,063 | |
NAV | $12.51 | |
NAV - High† | 5/2/2011 - $14.58 | |
NAV - Low† | 10/3/2011 - $10.80 | |
Number of Holdings: 110 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | From Inception 4/29/2005 | ||
| -6.33% | 0.70% | 4.98% |
| * | The Russell Midcap® Value Index is an index comprised of mid-cap companies with lower than average price-to-book ratios and lower forecasted growth values. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
37
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Mid Cap Stock Portfolio earned a return of -6.29%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of -2.46%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of -1.55%.
What factors affected the Portfolio’s performance?
The Portfolio had a difficult year in 2011. Poor stock selection within the energy, industrials and financials sectors was responsible for the majority of the underperformance. Solid returns within the information technology and consumer discretionary sectors offset some of the underperformance. In the energy sector, exploration and production and coal investments accounted for the underperformance as lower-than-expected production and cost overruns weighed on operations at Whiting Petroleum, Forest Oil, Alpha Natural Resources and Arch Coal.
Within the industrial sector, Shaw Group also was hurt by cost overruns in many of its engineering and construction projects. Oshkosh Corporation suffered from a money-losing government contract and low government spending. Finally, The Manitowoc Company declined due to a lack of margin leverage and fears of an economic slowdown. Zions Bancorporation and Northern Trust Corporation held back the financial sector’s performance. However, unlike the energy investments, the companies suffered from a poor macro backdrop versus poor execution. Zions’ results improved throughout the year. However, the fear of stricter government capital requirements weighed on the stock’s performance. Northern Trust is highly leveraged to a rising interest-rate environment, and with rates continuing to decline during the period, results were lackluster. Fund performance was bolstered by solid stock selection across the information technology sector, including timely investments within the services and software industries. Stellar execution by the management of Panera Bread Company benefited this holding within the consumer discretionary sector. Finally, Netflix management’s solid execution early in the year combined with the Portfolio’s disciplined stock exit strategy during the year also contributed to the discretionary sector returns.
What is your outlook?
The Portfolio is positioned more aggressively as a slowly improving macro picture combined with an attractive micro backdrop favorably tilt risk/reward. While Europe will continue to be a weight on the global economy, two
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other forces may provide a tailwind. First, the U.S. economy is slowly improving as housing is no longer a significant drag on the GDP. Construction employment actually increased, albeit slightly, in 2011. Second, China may follow many other emerging-market economies in easing monetary or fiscal policy as their inflation rate declines. The aforementioned factors—combined with attractive valuations, strong corporate cash flow and balance sheets, and negative sentiment toward equities—provide the foundation for a more aggressive portfolio position. The information technology, health care, financial and energy sectors are all overweighted within the Portfolio at this time to take advantage of the improving macro backdrop and negative market sentiment.
Portfolio Facts
As of December 31, 2011
Net Assets | $457,025,418 | |
NAV | $11.48 | |
NAV - High† | 4/29/2011 - $13.61 | |
NAV - Low† | 10/3/2011 - $9.67 | |
Number of Holdings: 70 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| -6.29% | 0.50% | 5.90% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Mid Cap Index Portfolio earned a return of -2.23%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of -2.46%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of -1.73%.
What factors affected the Portfolio’s performance?
Because it is designed to invest in a way that reflects its benchmark, the S&P MidCap 400 Index, the only changes made to the Portfolio are done to reconcile with any alterations in the composition of the index itself. As typically occurs with an index fund, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses and minor differences in portfolio composition.
Mid-cap indexes underperformed both large-cap stocks and small-cap stocks. Only four sectors posted positive returns. Consumer staples and utilities posted the most positive returns. This was a trend reversion, as these sectors had underperformed during the previous six- month period. Information technology and telecommunication services underperformed. Investors showed a preference for dividends and cash flow, and consumer staples and utilities typically have high dividends and cash flows, while information technology and telecommunication services stocks typically do not.
What is your outlook?
The Portfolio will remain fully invested in a way that tracks the performance of the S&P MidCap 400 Index. This is an attractive way for individuals to take advantage of the investment potential of the broad, diversified marketplace for mid-cap stocks.
Over the last 12 months, investors went from being risk-seeking to risk-averse, providing an environment that tends to favor larger companies. Mid-cap companies, particularly those with low to no dividends, underperformed their large-cap counterparts.
Global growth is slowing and the prices of risk assets have adjusted significantly, reflecting the increased uncertainty. Typically, as a new economic cycle matures,
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investors begin to favor large- and mid-cap issues over small-cap issues. We believe that attractive opportunities are available in the mid-cap marketplace in the months ahead. At the same time, we are realistic in our expectations that the premium return to the mid-cap sector is likely to be reduced in the future as the economic cycle continues.
Portfolio Facts
As of December 31, 2011
Net Assets | $78,114,022 | |
NAV | $11.79 | |
NAV - High† | 4/29/2011 - $14.48 | |
NAV - Low† | 10/3/2011 - $9.97 | |
Number of Holdings: 402 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -2.23% | 2.90% | 6.60% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Partner Worldwide Allocation Portfolio earned a return of -12.13%, compared with the median return of its peer group, the Lipper International Core category, of -12.79%. The Portfolio’s market benchmark, the MSCI All Country World ex-USA Index, returned -13.33%.
What factors affected the Portfolio’s performance?
Portfolio performance was limited by below-average results from the large-cap value segment of the account. Those results were negatively impacted by exposure in the financial sector in Europe and some more cyclically sensitive segments. The large-cap growth segment modestly outperformed its benchmark and offset the sub-benchmark performance of the value portion.
The portion of the account allocated to emerging-markets performed quite well versus its benchmark, significantly outpacing both the emerging market and the developed market indexes. Our small-cap Europe, Australasia, Far East (EAFE) manager performed in line with the benchmark, but that segment did not perform as well as the developed markets. Finally, the allocation to emerging-market debt aided results as debt markets dramatically outperformed equity markets in the period.
What is your outlook?
As often happens during times of heightened uncertainty and fear, many stocks are sold down regardless of fundamentals. In developed markets, while the crisis in Europe has intensified, political and economic developments toward the end of 2011 were significant positive steps. The European Central Bank’s provision of unlimited three-year funding to banks and the purchase of southern European government debt in the secondary market simultaneously began to address both the banking and sovereign aspects of the crisis and helped to dampen the negative interplay between them. In addition, discussions on fiscal integration being led by France and Germany are a major move in the right direction for the longer term. That these actions have arrived late means the risk of economic recession in Europe has grown.
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China has been another area of concern in 2011. Policy actions had been taken to dampen inflation risks and investors became concerned those steps would impair growth not only in China but also other emerging-market economies that are dependent on or impacted by Chinese demand. While growth in China has slowed, at year-end there appeared to a consensus developing that a hard landing was unlikely.
While risks appear to be diminishing from the elevated levels that prevailed in mid-2011, we do not want to become overly sanguine about the outlook. Macro risks remain both overseas and in the U.S. Many of those risks are discounted in current prices, but we believe some measure of conservatism remains appropriate.
Portfolio Facts
As of December 31, 2011
Net Assets | $495,586,412 | |
NAV | $7.39 | |
NAV - High† | 5/2/2011 - $9.41 | |
NAV - Low† | 10/3/2011 - $7.28 | |
Number of Holdings: 501 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
| -12.13% | -5.92% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The 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 12-month period ended December 31, 2011?
Thrivent Partner International Stock Portfolio earned a return of -13.91%, compared with the median return of its peer group, the Lipper International Core category, of -12.79%. The Portfolio’s market benchmark, the MSCI EAFE Index, earned a return of -11.73%.
What factors affected the Portfolio’s performance?
Performance in the Portfolio was below the benchmark’s as a function of subpar stock selection. Sector allocations mitigated some of the results from stock selection, but were not sufficient to offset trading.
Exposures in the financial sector had the most significant negative effect on returns. Financial stocks, particularly eurozone-based banking institutions, came under severe pressure owing to the re-emergence of sovereign debt issues. Investors were concerned that select defaults or write-downs of impaired debt obligations in their holdings in Greek, Italian, Spanish and Portuguese debt would create capital shortfalls requiring equity issuance, diluting existing shareholders.
Further, the lack of a cohesive plan to deal with the weakness in the structure of the European Monetary Union seemed to weigh heavily on the markets. While the Portfolio benefited from an underweighting in the category, our holdings performed poorly relative to the group.
Holdings in the industrial segment also did not perform well relative to its category or the broader market. This was also true in the materials sector as commodity prices declined in the period. Generally, our holdings were biased toward continued global growth and that outlook was quite shaken over the course of 2011. Positions in the consumer staples, utilities and consumer discretionary portions of the Portfolio performed well and mitigated some of the impact of the more poorly performing segments.
What is your outlook?
As often happens during times of heightened uncertainly and fear, many stocks are sold down regardless of
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fundamentals. While the crisis in Europe has intensified, political and economic developments toward the end of 2011 were significant positive steps. The European Central Bank’s provision of unlimited three-year funding to banks and the purchase of southern European government debt in the secondary market simultaneously began to address both the banking and sovereign aspects of the crisis, helping to dampen the negative interplay between them. In addition, discussions about fiscal integration being led by France and Germany are a major move in the right direction for the longer term. The late nature of these actions, however, means the risk of economic recession in Europe has grown.
While risks appear to be diminishing from the elevated levels that prevailed in mid-2011, we do not want to become overly sanguine about the outlook. Macro risks remain both overseas and in the U.S. Many of those risks are discounted in current prices, but we believe some measure of conservatism remains appropriate.
Portfolio Facts
As of December 31, 2011
Net Assets | $709,827,505 | |
NAV | $9.18 | |
NAV - High† | 5/2/2011 - $11.65 | |
NAV - Low† | 11/25/2011 - $8.65 | |
Number of Holdings: 209 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| -13.91% | -5.31% | 2.80% |
| * | 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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How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner Socially Responsible Stock Portfolio earned a return of -1.82%, compared with the median return of its peer group, the Lipper Large Cap Core category, of -1.60%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 2.11%.
What factors affected the Portfolio’s performance?
Perhaps befitting the up-and-down nature of the market in 2011, we had both big winners and big losers in the Portfolio. Clearly our highest-profile, if not highest- impact, disappointment was Netflix. We’ve reported for more than two years about Netflix’s big positive contribution to our performance. That changed in September, when the company reported weaker-than-expected subscriber growth. This was a self-inflicted wound caused by a big price increase. We sold all of our stock before the final leg down in October.
Despite extremely low valuations, our modest positions in several bank stocks did not perform as we had anticipated they would. The stocks continue to underperform the market on a variety of growth and regulatory challenges.
By far the most problematic sector for us in 2011 was energy. Our collection of holdings, including Noble Corp., QEP and especially Suncor, each fell 10% to 20%.
On the positive side of the ledger, Starbucks and Chipotle Mexican Grill each climbed more than 40%, benefiting from strong execution. They may have become a bit more popular with investors because of their negligible exposure to Europe. We sold Chipotle in the late summer on valuation concerns.
We also did very well during the time we owned Amazon. Amazon has continued to gain share of retail sales and the stock sailed through the initial market downturn. Like Chipotle, we sold the stock on a very full valuation in October. Since then, the stock has come under pressure. Allergan, the maker of several ophthalmic drugs and Botox, also had a great year, rising more than 30%. Because we hold a large position, it was a strong contributor.
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What is your outlook?
The investment environment remains unsettled as 2012 gets under way. On the one hand, the U.S. economy logged some of its best growth of the last two years in the closing months of 2011. Consumer confidence is up and the jobs situation has a bit of positive momentum. It’s tough right now to find appreciable evidence of economic deterioration. Earnings growth is moderating but still looks solidly positive for both the fourth quarter and 2012.
A wide variety of reasonable outcomes are possible for the stock market in 2012. Assuming Europe holds the monetary union together without a lot of drama, most of those forecasts would be positive. Earnings are solid, valuations are quite reasonable, and the odds favor global growth being higher in 2013 than 2012. As things return to “normal,” we believe that the market will once again come to favor the sort of sustainable growth stocks that populate the Portfolio.
Portfolio Facts
As of December 31, 2011
Net Assets | $6,146,291 | |
NAV | $10.16 | |
NAV - High† | 7/7/2011 - $11.68 | |
NAV - Low† | 10/3/2011 - $9.27 | |
Number of Holdings: 50 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
| -1.82% | 0.66% |
| * | 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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 |
Subadvised by Calamos Advisors LLC
Thrivent Partner All Cap Growth Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner All Cap Growth Portfolio earned a return of -7.13%, compared with the median return of its peer group, the Lipper Multi Cap Growth category, of -3.92%. The Portfolio’s market benchmark, the Russell 3000® Growth Index, earned a return of 2.18%.
What factors affected the Portfolio’s performance?
Within the Portfolio, our relative security selection in the information technology and energy sectors detracted the most from performance during 2011. Within technology, holdings from the IT consulting and communications equipment industries hampered results. Within energy, companies in the oil and gas exploration and production industry lagged and our absence of holdings in the integrated oils industry hurt returns as this industry held up well in the face of volatility. We believe continued global stimulus and accommodative policies will help boost the value of the energy sector, as global demand for energy resources remains high.
The Portfolio’s significant underweighting in the consumer staples sector hurt results, yet strong security selection within the sector more than made up for the positioning. Portfolio holdings in the personal products and soft drink industries did particularly well. The market environment during the year was largely defined by the more defensive “risk-off” trade. The consumer staples sector performed very well relative to other areas of the market as investors flocked to its relatively defensive “safe-haven” securities.
What is your outlook?
The Portfolio’s largest allocations remain in information technology and consumer discretionary. We continue to favor technology due to its higher growth potential, higher cash flows and lower debt levels, as well as attractive valuations. The sector also continues to profit from long-term themes we have identified, including the increased appetite and demand for information and entertainment. In consumer discretionary, we remain attracted to companies that demonstrate global business plans and diversified revenues, as well as those servicing a rapidly expanding consumer base within the emerging-markets. Specifically, select companies within the Internet retailing industry have proven worthy investments, as many of these firms operate with global footprints and cater to a more cost-conscious consumer. We continue to take a long-term approach to the Portfolio’s construction, striving to be undistracted by short-term volatility. We are positioning the Portfolio
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more cyclically to take advantage of improved valuations and long-term opportunities that we see. We seek to invest in businesses poised to benefit from increased capital spending in technologies, the global infrastructure build-out and the rise of emerging-market consumers. We are avoiding companies most affected by government debt and a confusing regulatory environment, such as financials, utilities and many areas of health care.
Portfolio Facts
As of December 31, 2011
Net Assets | $12,709,501 | |
NAV | $9.35 | |
NAV - High† | 7/7/2011 - $11.21 | |
NAV - Low† | 10/3/2011 - $8.48 | |
Number of Holdings: 67 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
| -7.13% | -1.82% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Partner All Cap Value Portfolio earned a return of -10.16%, compared with the median return of its peer group, the Lipper Multi Cap Value category, of -3.40%. The Portfolio’s market benchmark, the Russell 3000® Value Index, earned a return of -0.10%.
What factors affected the Portfolio’s performance?
Talbots Inc. within consumer discretionary sector, was the most significant detractor from Portfolio performance this period, followed closely by Goldman Sachs Group Inc. in the financials sector. Goldman Sachs’ stock price declined primarily due to proposed increased regulation in the financial industry and uncertainty over its eventual implementation. The Portfolio also experienced declines from its investment in information technology stock Research In Motion Ltd. The company issued a weak performance outlook and quarterly results, and also announced a delay in its next generation of BlackBerry smartphones. We exited our position in Research In Motion by period end. Materials holding The Mosaic Company and utilities stock GenOn Energy Inc. also declined for the Portfolio.
During the reporting period, the Portfolio’s strongest contributor to overall performance was health care sector holding Humana Inc. A number of energy sector holdings also produced positive results, including Chevron Corp. and Halliburton Co. We exited our position in Halliburton by period end. Within consumer staples, household products manufacturer Church & Dwight Co. performed well as the market reacted positively to its solid increase in profits and plan to raise prices on selected products. Lastly, information technology stock National Semiconductor Corp. contributed significantly to performance as it was acquired by Texas Instruments during the period.
At period end, the Portfolio was substantially overweighted relative to the index in consumer staples, materials, energy and information technology and largely underweighted in financials, consumer discretionary and telecommunication services.
What is your outlook?
As we begin 2012, investors generally remain wary of risk. Weak GDP numbers in multiple regions of the globe have raised questions whether the fragile global economic recovery has reversed course and begun a slide back into
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recession. Concerns exist that slow or negative growth will negatively impact consumer sentiment and spending habits, leading to further weakness in the global economy and the markets. While current global political and economic conditions are causing significant market fluctuations, we have not changed our long-term approach to investing. We continue to believe that reacting strongly to short-term market gyrations is rarely warranted or a prudent investment strategy.
Portfolio Facts
As of December 31, 2010
Net Assets | $6,705,714 | |
NAV | $8.12 | |
NAV - High† | 5/2/2011 - $9.95 | |
NAV - Low† | 10/3/2011 - $7.18 | |
Number of Holdings: 42 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
| -10.16% | -4.60% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Partner All Cap Portfolio earned a return of -4.83%, compared with the median return of its peer group, the Lipper Multi Cap Core category, of -2.64%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 1.03%.
What factors affected the Portfolio’s performance?
In the energy sector, our overweighting in oil and gas exploration and production company Forest Oil and underweighting in integrated oil company Exxon Mobil detracted from performance. Forest Oil shares declined after the company announced first-quarter earnings that came in lower than analysts’ estimates, due to lower natural gas prices. Exxon Mobil shares rose due to several factors: crude oil futures gained 8% during the year because of geopolitical unrest in the Middle East; reports showed that U.S. oil supplies dropped; and a Canadian pipeline company announced it would ship oil away from a key delivery point in the Midwest.
Among financials, the Portfolio’s overweightings in diversified financial services firms Citigroup and JPMorgan Chase hurt performance. Both firms’ shares fell significantly as a result of investor fears of U.S. banks’ exposure to European sovereign debt and worries of a slowing global economy. In the consumer discretionary sector, the Portfolio’s overweighting in automaker Ford Motor Company was a significant detractor. Ford shares fell significantly, largely due to investor fears that European sovereign debt problems could cause a double-dip recession and dampen global auto demand.
What is your outlook?
The outlook for the market remains balanced. Corporate earnings seem to continue to signal that global economic activity and growth will be positive and supportive of risk assets. Corporate profits continue to be healthy, corporate balance sheets are on solid footing, and business momentum, although varied across industries, remains positive. However, persistently high unemployment levels and political and fiscal uncertainty at home, in conjunction with turmoil overseas, do add to the increased macro focus of the markets and remain a risk for investors.
Given this backdrop, our portfolio managers believe there are areas of opportunity within their sectors. As we have mentioned in the past, we continue to be keenly focused
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on risk management. While the market volatility will continue to be impacted by macroeconomic events, our focus will remain on identifying good companies with strong operating models.
Portfolio Facts
As of December 31, 2011
Net Assets | $51,368,102 | |
NAV | $8.44 | |
NAV - High† | 4/29/2011 - $9.59 | |
NAV - Low† | 10/3/2011 - $7.33 | |
Number of Holdings: 101 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -4.83% | -0.45% | 1.46% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Large Cap Growth Portfolio II earned a return of -6.25%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of -1.71%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 2.64%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed its benchmark largely due to stock selection. The Portfolio generally had a more pro-cyclical bias. In the middle of the year, growth expectations deteriorated significantly and the equity market experienced a sharp correction. Our relative performance results were most negatively impacted in that period. We did see relative performance recover in the fourth quarter, but it was not sufficient to offset the weakness in prior quarters.
Stock selection in the financial sector was a major detractor from performance. More specifically, holdings in the banking sector, like Citigroup and JP Morgan Chase, did not perform well. Energy stocks in the Portfolio did not keep pace with the market or other energy stocks in the group. Occidental Petroleum performed well in the Portfolio, but was more than offset by weak returns to our holdings in coal companies Arch Coal and Peabody Energy. In health care, our holding in
McKesson performed well, but we did not have exposure to the largest companies within the sector. Investors preferred the balance sheet safety and yields from those companies as market volatility increased in the second half of the year. We were underweighted in the strong performance achieved in the consumer staples sector, a group that also became an investment refuge in the uncertain investment environment that prevailed in late summer. Specialty retail and a position in Ford Motors also did not perform well, and NII Holdings underperformed both its sector and the overall market. Holdings in CF Industries and Monsanto performed well in the materials sector.
What is your outlook?
Volatility will likely remain high as a number of significant fiscal and monetary challenges remain to be addressed over the next 12 months. While the economy hit a soft growth patch over the summer, recent data suggests economic momentum has improved and will be sustained. We do not expect a robust recovery, but enough growth to mitigate the risk of falling back into a second recession. Stocks appear to be discounting a rather pessimistic outlook. Any progress on the sovereign debt issues in Europe will likely result in a rally for risk assets. Earnings have recovered sharply and companies are generally in good financial shape. We believe a
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constructive resolution is the most likely outcome, and are positioned to benefit, although we acknowledge that risks to that outlook have increased with the uncertainty outside the U.S.
Portfolio Facts
As of December 31, 2011
Net Assets | $12,906,986 | |
NAV | $6.37 | |
NAV - High† | 4/29/2011 - $7.46 | |
NAV - Low† | 10/3/2011 - $5.59 | |
Number of Holdings: 48 | ||
† For the year ended December 31, 2011 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -6.25% | -0.80% | 0.63% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Large Cap Growth Portfolio earned a return of -5.42%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of -1.71%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 2.64%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed its benchmark largely due to stock selection. The Portfolio generally had a more pro-cyclical bias. In the middle of the year, growth expectations deteriorated significantly and the equity market experienced a sharp correction. Our relative performance results were most negatively impacted in that period. We saw a recovery in relative performance in the fourth quarter, but it was not sufficient to offset the weakness in prior quarters.
Stock selection in the financial sector was a major detractor from performance. More specifically, holdings in the banking sector, like Citigroup and JP Morgan Chase, did not perform well. The Portfolio’s energy stocks also failed to keep pace with the market and other energy stocks in the group. Occidental Petroleum performed well in the Portfolio but was more than offset by weak returns to our holdings in coal companies Arch Coal and Peabody Energy. In health care, our holding in McKesson performed well, but we did not have exposure to largest companies within the sector. Investors preferred the balance sheet safety and yields from those companies as market volatility increased in the second half of the year. We were underweighted in the consumer staples sector, which was a strong performer, as well as a group that became an investment refuge in the uncertain investment environment that prevailed in late summer. Specialty retail and a position in Ford Motors did not perform well, and NII Holdings underperformed both its sector and the overall market. Holdings in CF Industries and Monsanto performed well in the period in the materials sector.
What is your outlook?
Volatility will likely remain high as a number of significant fiscal and monetary challenges remain to be addressed over the next 12 months. While the economy hit a soft growth patch over the summer, recent data suggests economic momentum has improved and will be sustained. We do not expect a robust recovery but enough growth to mitigate the risk of falling back into a second recession. Stocks appear to be discounting a rather pessimistic outlook. Any progress on the sovereign debt issues in Europe will likely result in a rally for risk assets.
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Earnings have recovered sharply and companies are generally in good financial shape. We believe a constructive resolution is the most likely outcome and are positioned to benefit, although we acknowledge that risks to that outlook have increased with the uncertainty outside the U.S.
Portfolio Facts
As of December 31, 2011
Net Assets | $805,283,132 | |
NAV | $15.96 | |
NAV - High† | 7/22/2011 - $18.27 | |
NAV - Low† | 10/3/2011 - $14.10 | |
Number of Holdings: 59 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -5.42% | 0.09% | 1.21% |
| * | 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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 | Thrivent Partner Growth Stock Portfolio |
Subadvised by T. Rowe Price Associates, Inc.
Thrivent Partner Growth Stock Portfolio seeks long-term growth of capital and, secondarily, to increase dividend income.
Stocks, in general, are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Partner Growth Stock Portfolio earned a return of -1.49%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of -1.71%. The Portfolio’s market benchmark, the S&P 500/Citigroup Growth Index, earned a return of 4.69%.
What factors affected the Portfolio’s performance?
Growth-style investing outperformed value across all market caps, as measured by S&P indexes, while large-cap stocks outperformed small and mid caps.
Health care was the leading detractor to the Portfolio’s performance due to stock selection in the sector. Human Genome Sciences reported disappointing sales of Benlysta, its innovative treatment for lupus. The drug was approved by U.S. and European regulators, but the launch has been slower than expected.
Consumer discretionary also underperformed because of stock selection. A main factor was the Portfolio’s overweighting in Internet retailer Amazon.com, whose shares fell sharply in the fourth quarter due to lower-than-expected operating cash flow and profit margins, despite strong sales of its Kindle eReader.
Energy contributed negatively to performance primarily due to stock selection. Coal companies were hurt by falling prices and concerns about slowing growth in emerging-markets. Peabody Energy, the world’s largest private-sector coal company, continued to slide amid these concerns, although it successfully completed an acquisition of Australia’s MacArthur Coal Limited in December.
The financial sector was the leading outperformer due to positive stock selection and a significant underweighting in what was the worst-performing sector in the S&P index. American Express benefited from increased consumer spending and improvement in consumer credit. Information technology outperformed primarily due to stock selection. MasterCard reported impressive transaction volume growth in its global payment network, particularly outside the United States where more consumer spending is shifting to electronic payments. An increase in consumer spending leading into the holiday season also helped to boost its stock price. Apple, the Portfolio’s top contributor, continued to report strong growth. The company released an upgraded version of its iPhone and expanded its availability to additional carriers.
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What is your outlook?
We anticipate a continuation of slow economic growth in the United States and sovereign debt challenges in Europe that could be exacerbated by difficult policy choices and general elections in 2012. Balanced against these potential negatives, earnings for U.S. companies are healthy, although their rate of growth going forward could moderate. Also, stock valuations are attractive and consumer sentiment has been improving. If the U.S. unemployment rate continues to fall and the housing market stabilizes, it could provide support for stocks. On balance, we believe the positives will outweigh the negatives and remain cautiously optimistic about the prospects for stocks.
Portfolio Facts
As of December 31, 2011
Net Assets | $51,099,815 | |
NAV | $11.41 | |
NAV - High† | 7/7/2011 - $12.61 | |
NAV - Low† | 10/3/2011 - $10.07 | |
Number of Holdings: 118 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -1.49% | 0.79% | 3.31% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Large Cap Value Portfolio earned a return of -3.08%, compared with the median return of its peer group, the Lipper Large Cap Value category, of -1.99%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of 0.39%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed the Russell 1000® Value Index due to poor stock selection in the health care, financials, consumer discretionary and industrials sectors. Conversely, stock selection was strong in the consumer staples and telecommunications services sectors. In health care, pharmaceutical stock selection was poor. In financials, positions in insurers Principal Financial Group and Unum hurt performance. Principal has been sold as pressure on 401(k) plan fees does not appear to be reversing.
In consumer discretionary, favoring Disney and cable TV companies over other media companies hurt relative performance. And in the industrial sector, positions in diversified manufacturing companies Textron and SPX Corp. hurt relative performance. Both of these companies remain in the portfolio as the longer-term outlook is still attractive and valuations are low.
Strong stock selection in consumer staples came from positions in distiller Diageo, Kraft Foods and Philip Morris International. All of these positions are held in the portfolio.
What is your outlook?
Market and company valuations are attractive. Investors remain concerned about government debt in Europe and the U.S., and the pace and sustainability of economic activity. Volatility continues to be severe as sentiment swings from optimism to pessimism. Our focus is on companies with solid, competitive positions that are attractively valued. Long term, owning good companies in good businesses should benefit shareholders as earning growth drives a company’s stock price. Warren Buffett aptly pointed out that in the short run, the market is a
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voting machine. However, in the long run, it is a weighing machine. Said another way, in the short run, sentiment can drive stock prices, but in the long run quality and value will prove to be important.
Portfolio Facts
As of December 31, 2011
Net Assets | $752,054,276 | |
NAV | $10.39 | |
NAV - High† | 4/29/2011 - $11.65 | |
NAV - Low† | 10/3/2011 - $8.85 | |
Number of Holdings: 70 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -3.08% | -1.89% | 2.59% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Large Cap Stock Portfolio earned a return of -4.58%, compared with the median return of its peer group, the Lipper Large Cap Core category, of -1.60%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 2.11%.
What factors affected the Portfolio’s performance?
The Portfolio’s underperformance relative to its benchmark was primarily a function of poor stock selection, particularly in the third quarter of the reporting period. With the re-emergence of the European debt crisis, the debt ceiling debate in the U.S., as well as the downgrade of U.S. credit ratings, equity markets fell sharply. Companies most directly tied to economic growth were the most negatively impacted. The Portfolio’s lack of exposure to holdings that would be more defensive was a disadvantage in the period. This was particularly evident by our underweighting in the large-cap, high-quality but low-growth segment of the pharmaceutical industry.
We also did not have positions in some of the better-performing sectors of health care, like biotechnology. In energy, we did not have adequate exposure to the large defensive companies, like Exxon Mobil, but instead held positions in the more cyclically sensitive coal companies, like Peabody Energy. In the oil service industry, we owned Baker Hughes, and that performed well. In the consumer staples sector, our position in Phillip Morris International performed well. Again, we were underexposed in a number of the more stable companies that investors turn to in times of heightened uncertainty.
Industrial stocks fell back as investors became concerned about economic growth and we were overweighted in the group. In particular, our holdings in Boeing and Emerson Electric did not perform well. Our position in Goldman Sachs underperformed as trading results deteriorated with the decline in risk-oriented assets in the third quarter.
What is your outlook?
We believe investors have discounted the risks that are inherent in the market as the reporting period draws to a close. We acknowledge that uncertainty will remain high,
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suggesting volatility will remain elevated as well. We lean to the likelihood of a continued economic recovery, albeit subpar when compared to past periods. Over the next 12 to 18 months, important policy issues must be decided in an environment that remains highly politicized. The corporate sector remains in relatively good shape. We believe long-term investors can find quite attractive companies at good prices in the current environment.
Portfolio Facts
As of December 31, 2011
Net Assets | $565,849,587 | |
NAV | $8.11 | |
NAV - High† | 4/29/2011 - $9.14 | |
NAV - Low† | 10/3/2011 - $7.05 | |
Number of Holdings: 116 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| -4.58% | -1.98% | 0.85% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Large Cap Index Portfolio earned a return of 1.71%, compared with the median return of its peer group, the S&P 500 Index Objective category, of 1.73%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 2.11%.
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.
Seven of the sectors posted positive returns for the year. Utilities, consumer staples and health care were the best-performing sectors in the market over the past 12 months, posting the most-positive returns. Large cap stocks outperformed small- and mid-cap stocks over the reporting period, as large-cap stocks tend to outperform small- and mid-cap groups during volatile market periods. Financials, materials and industrials delivered negative returns for the 12-month period. Financials fell the most, due to concerns of links to European sovereign debt and banking issues, while materials were affected by the pull back in commodity prices.
What is your outlook?
The financial markets appear to be adjusting to the uncertainty and ambiguity that has surrounded the debt challenges in Europe. At a minimum, global growth is slowing and the prices of risk assets have adjusted significantly, reflecting the increased uncertainty.
Large-cap stocks outperformed both small- and mid-cap stocks in 2011. If European concerns are proven to be overly discounted, that could lead to a recovery in the prices of risk assets globally. Volatility will likely remain high. While opportunities for small- and mid-cap stocks exist, our view is that as the cycle matures, large-cap companies should outperform their small- and mid-cap counterparts.
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Portfolio Facts
As of December 31, 2011
Net Assets | $291,285,301 | |
NAV | $17.71 | |
NAV - High† | 4/29/2011 - $19.29 | |
NAV - Low† | 10/3/2011 - $15.41 | |
Number of Holdings: 501 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 1.71% | -0.54% | 2.63% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Equity Income Plus Portfolio earned a return of -2.46%, compared with the median return of its peer group, the Lipper Equity Income category, of 0.66%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 2.11%.
What factors affected the Portfolio’s performance?
The Portfolio is constructed as a multi-asset-class product—similar to an asset allocation fund—with separate investment strategies for domestic and international dividend equity, domestic and international REITs, preferreds and an options buy-write strategy. Together, these asset classes should provide greater diversification than any one asset class alone. However, as a multi-asset-class product, the Portfolio does not fit well into a single-style peer group category or domestic-only benchmark, and this year performance versus its single-style benchmarks was weak.
In the first half of the year, the Portfolio continued its strong performance from 2010. However, after the European debt crisis and U.S. debt downgrade negatively impacted markets, the Portfolio lost relative performance. The Portfolio’s investment process includes a momentum-based factor model. Factor models struggle when markets become highly volatile and stock correlations increase substantially, as they did in the second half of the year, which is when the Portfolio underperformed.
The Portfolio’s domestic dividend equity, representing 60% of the Portfolio, underperformed its benchmark. Both sector allocation and stock selection contributed to underperformance. The Portfolio’s strategic allocation to international markets is nearly 18% of Portfolio assets. In 2011, international markets significantly underperformed domestic markets, contributing to the Portfolio’s relative weakness in 2011 compared to a domestic benchmark and peer group. Preferred stocks and the buy-write strategy also underperformed relative to the Portfolio’s benchmark and peer group.
What is your outlook?
As in 2011, we approach 2012 with cautious optimism. The Portfolio continues a more conservative approach to dividend equity that includes an emphasis on dividend
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coverage, improved operating performance and quality balance sheets, in addition to attractive valuations. As economic indicators, including job growth, continue to show improvement, equities appear to provide relative value when compared to historical valuations, which may provide an opportunity for outperformance for the year. At the sector level, the Portfolio remains overweight in pro-cyclical sectors, but has reduced these overweights and continues to underweight financials. Additionally, the Portfolio is underweight in international markets. However, if Europe shows improvement, the Portfolio may rebalance to its neutral strategic international weight.
Portfolio Facts
As of December 31, 2011
Net Assets | $88,077,819 | |
NAV | $8.81 | |
NAV - High† | 4/29/2011 - $9.98 | |
NAV - Low† | 10/3/2011 - $7.79 | |
Number of Holdings: 232 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
1-Year | From Inception 4/30/2008 | |
-2.46% | -1.91% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Balanced Portfolio earned a total return of 4.18%. The Portfolio’s benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 2.11% and 7.84%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio allocated roughly two-thirds of its assets to equities in 2011 and the remainder to fixed-income securities. The equity portion of the Portfolio closely tracked the performance of the S&P 500, outperforming the large-cap benchmark by nearly 13 basis points. The index itself was volatile, affected by shifting economic reports and concern about the debt crises facing several European countries, notably Greece.
Financial stocks were the market’s worst performers, posting a loss of 16.69%. Because they represent about 15% of the index, they had an oversized impact on the Portfolio’s results. The top-performing sectors were utilities, up 19.93%, consumer staples, up 13.89%, and health care, up 12.73%. Investors favored companies in those industries for their generally stable revenues, healthy balance sheets and, in many cases, secure dividends.
The fixed-income portion of the Portfolio modestly outperformed its benchmark index. Almost all of its outperformance was attributable to the Portfolio’s securitized holdings, including asset-backed securities, commercial mortgage-backed securities, conventional residential mortgage-backed securities and floating-rate mortgage-backed securities. These securities, which traditionally boast high credit ratings, suffered liquidity, ratings and pricing pressure during the financial crisis 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-crisis levels.
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What is your outlook?
Economists generally expect Europe to slide into a recession in 2012 as it continues to wrestle with the debt woes of its economically weaker nations. Assuming some spillover effect on the U.S. economy, we anticipate continued slow economic growth at home, with unemployment levels continuing to ease but remaining unusually high. With the Federal Reserve planning to keep short-term interest rates low, at least into 2013, we anticipate modest but positive returns on fixed-income assets. We anticipate continued volatility in the equity markets, with the utilities, energy and health care sectors likely to generate some of the better returns.
Portfolio Facts
As of December 31, 2011
Net Assets | $240,522,040 | |
NAV | $14.48 | |
NAV - High† | 4/29/2011 - $15.69 | |
NAV - Low† | 10/3/2011 - $13.19 | |
Number of Holdings: 751 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| 4.18% | 2.30% | 4.07% |
| * | 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 12-month period ended December 31, 2011?
Thrivent High Yield Portfolio earned a return of 4.71%, compared with the median return of its peer group, the Lipper U.S. High Current Yield Funds category, of 3.85%. The Portfolio’s market benchmark, the Barclays Capital U.S. Corporate High Yield Bond Index, earned a return of 4.98%.
What factors affected the Portfolio’s performance?
The bulk of the Portfolio’s gains were attributable to coupon returns, offset by a modest decline in securities prices. Those declines, concentrated in the second half of the year, were driven by lingering concerns about sovereign debt woes in Europe and contentious debates in Washington, D.C., over how to rein in U.S. federal debt. Amid this uncertainty, investors shied away from risk assets, including high-yield debt, and flocked to the safety of U.S. Treasury securities, which sent their prices soaring. The Portfolio outperformed its peer group due largely to a higher allocation to BB-rated securities, which are the highest-rated bonds in the sector, and a lower allocation to CCC-rated bonds, which have the lowest credit rating. BB-rated bonds are generally more sensitive to changes in Treasury bond prices and produced a total return of 6.84% for the year, versus 1.18% for CCC-rated bonds.
The Portfolio also benefited from a low allocation to cash relative to its peers. Security selection had little impact on performance, as solid gains in the media, wireless communications, and energy exploration and production sectors were largely offset by underperformance in the financing, shipping and building materials sectors. The Portfolio lagged its benchmark largely because the index had an even higher allocation to BB-rated securities and because the index does not incur management expenses or trading costs.
What is your outlook?
The outlook for the high-yield market was positive heading into 2012, despite continued uncertainty over the European debt crisis. Spreads between yields on Treasuries and high-yield securities were high at nearly 700 basis points, while default rates on high-yield debt were low at under 2%. If the economy continues to expand at least modestly in 2012—at a 1% annual rate or
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better—it should allow corporate profits to remain healthy and high-yield default rates to remain low. We believe that should lead to tightening spreads between high-yield securities and Treasuries, generating gains for high-yield investors. We nonetheless anticipate some price volatility over the course of the year as Europe and the U.S. sort out their debt problems.
Portfolio Facts
As of December 31, 2011
Net Assets | $778,526,281 | |
NAV | $4.66 | |
NAV - High† | 5/11/2011 - $4.95 | |
NAV - Low† | 10/4/2011 - $4.34 | |
Number of Holdings: 248 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
1-Year | 5-Year | 10-Year | ||
| 4.71% | 6.89% | 7.51% |
| * | 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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How did the Portfolio perform during the 12-month period ended December 31, 2011?
Thrivent Diversified Income Plus Portfolio earned a total return of 2.32%. By comparison, the Portfolio’s broad market benchmarks, the S&P 500 Dividend Aristocrats Index and the Barclays Capital U.S. Aggregate Bond Index, returned 8.33% and 7.84%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio lagged its benchmark indexes, though we note that the S&P 500 Index was up only 2.1%. The Portfolio’s lagging performance was due principally to its higher allocation to higher-risk fixed-income securities, including a 10% stake in nonagency mortgage-backed securities, which was down 2% for the year. Given the uncertain environment, cash was maintained at approximately 5% of the Portfolio, which also detracted from performance, as did a 13% allocation to preferred stocks and alternative income investments.
With the European debt crisis weighing on the global financial markets, many investors pulled money out of risk assets and instead invested in long-term U.S. Treasury securities. As Treasuries rallied—30-year Treasury bonds notched total returns exceeding 35%—risk assets failed to keep pace.
The Portfolio’s high-yield bond segment performed well under the circumstances, earning about 5% for the year. Its portfolio of preferred stocks and other alternative income investments lost 1.5%. However, with yields averaging about 7%, these investments generated income that was helpful in supporting the Portfolio’s dividend. Over the course of the year, the Portfolio pared its equity holdings to about 28% of assets from 35%, investing the difference in corporate bonds and preferred stocks to take advantage of relatively high yields.
Collectively, the bond portion of the Portfolio earned 4% for the year, as did the equity portion. Equity returns were led by utility stocks, which earned 31.59%, consumer staples, which earned 16.1%, and consumer discretionary stocks, which returned 15.95%. Materials stocks were the
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Portfolio’s worst equity performers, losing 19.23%, followed by industrials, which lost 13.21%, and financials, which were off 10.44%.
What is your outlook?
We are cautiously optimistic about the Portfolio’s prospects for 2012. Assuming continued moderate economic growth and strong corporate profits, the risk sectors of the fixed-income market, including high-yield bonds, preferred stocks and certain mortgage-backed securities, should perform well. We expect to maintain our underweighting in equities early in the year and will continue to monitor that decision. However, our allocation to higher-risk fixed-income sectors is somewhat of a proxy for equity risk. The potential failure by European politicians to resolve the continent’s debt crisis remains the biggest known risk to both equity and fixed-income markets heading into 2012.
Portfolio Facts
As of December 31, 2011
Net Assets | $118,392,924 | |
NAV | $6.56 | |
NAV - High† | 4/29/2011 - $7.15 | |
NAV - Low† | 10/4/2011 - $6.10 | |
Number of Holdings: 275 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1,2
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 2.32% | 3.69% | 6.79% |
| * | 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, as a high yield fund, 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 12-month period ended December 31, 2011?
Thrivent Partner Socially Responsible Bond Portfolio earned a return of 6.70%, compared with the median return of its peer group, the Lipper Corporate Debt BBB-Rated category, of 6.78%. The Portfolio’s market benchmark, the Barclays Capital U.S. Credit Index, earned a return of 8.35%.
What factors affected the Portfolio’s performance?
The Portfolio’s short relative duration accounted for most of its relative underperformance in 2011 as interest rates generally fell during the reporting period. The Portfolio benefited from its defensive position in higher-quality names as the turmoil and uncertainty in Europe pushed spreads wider during the second half of the year. The option adjusted spread, or OAS, for the benchmark index widened from 140 basis points on June 30 to 217 basis points on December 30. We also selectively added corporate bonds that appeared to be undervalued during the second half of the year.
What is your outlook?
With the considerable uncertainty about the eurozone debt crisis, we believe that the fixed-income markets will continue to be volatile in 2012. We plan to actively seek opportunities to take advantage of volatility in the market.
We also believe that U.S. corporate bonds in general appear to be inexpensive, and we anticipate adding to the Portfolio’s holdings of corporates in 2012. U.S. corporations are relatively healthy. We think they have kept their overall debt levels reasonable, and they carry large cash balances.
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Portfolio Facts
As of December 31, 2011
Net Assets | $10,230,363 | |
NAV | $10.71 | |
NAV - High† | 9/22/2011 - $10.74 | |
NAV - Low† | 2/8/2011 - $10.20 | |
Number of Holdings: 133 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | From Inception 4/30/2008 | |
| 6.70% | 7.72% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Income Portfolio earned a return of 5.96%, compared with the median return of its peer group, the Lipper Corporate Debt BBB-Rated Funds category, of 6.78%. The Portfolio’s market benchmark, the Barclays Capital U.S. Aggregate Bond Index, earned a return of 7.84%.
What factors affected the Portfolio’s performance?
The Portfolio’s performance relative to its peer group and benchmark was hurt by the poor returns generated by its securitized assets, particularly nonagency mortgage-backed securities. That sector of the market suffered from the general flight to Treasury bonds, weak housing fundamentals and selling pressure generated by the Federal Reserve, which disposed of some of the mortgage-backed securities it had acquired from insurance company American International Group Inc. during the 2007 to 2009 credit crisis.
The Portfolio’s U.S. Treasury securities earned 17.01% for the year; however, relative returns were hurt somewhat by a relatively modest 5% allocation to those bonds. U.S. Treasuries rose in value as investors flocked to these securities because of concerns about the European debt crisis.
The corporate bonds that make up the bulk of the Portfolio performed well at the start of the year, when economic indicators were largely positive, but lost steam over the ensuing months amid concern that Europe’s debt woes could drag down the global economy. Nonetheless, investment-grade corporates, which accounted for about 60% of the Portfolio’s total holdings, generated a healthy 12-month total return of 7.73%, with some of the best returns coming from bonds issued by industrial companies. The Portfolio’s high-yield bonds, which accounted for nearly 20% of total holdings, fared nearly as well, earning 5.85%.
What is your outlook?
Fixed-income markets will continue to be influenced by European debt woes in 2012, which could lead to volatile trading as politicians seek to arrive at a solution agreeable to their diverse constituents. With the Federal Reserve committed to maintaining short-term interest rates at extraordinarily low levels in the U.S. at least into 2013, we see the greatest opportunities in the corporate bond market at this time.
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Moderate economic growth combined with strong corporate profits should lead to a narrowing of the yield spread between Treasuries and corporate bonds. In the meantime, we plan to continue paring the Portfolio’s holdings of nonagency mortgage debt as opportunities to do so present themselves.
Portfolio Facts
As of December 31, 2011
Net Assets | $1,463,069,461 | |
NAV | $10.09 | |
NAV - High† | 8/4/2011 - $10.30 | |
NAV - Low† | 10/11/2011 - $9.85 | |
Number of Holdings: 516 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 5.96% | 5.81% | 5.57% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Bond Index Portfolio earned a return of 8.23%, compared with a 7.84% 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 across a broad range of the fixed-income markets. The best-performing sector in those markets was by far the U.S. Treasury sector, where 30-year bonds generated returns exceeding 35%, and 10-year bonds earned just over 17%. Investors, worried about potential fallout from the debt woes of several European countries, flocked to the perceived safety of Treasury securities in 2011. They did so even after Standard & Poor’s, one of the major credit rating agencies, downgraded U.S. debt from AAA to AA+ for the first time in history.
Relative to its benchmark, the Portfolio benefited from holding securities with a slightly longer average duration and from the performance of its securitized holdings, including asset-backed securities, commercial mortgage-backed securities, conventional residential mortgage-backed securities and floating-rate mortgage-backed securities. These securities, which traditionally boast high credit ratings, suffered liquidity, ratings and pricing pressure during the volatile financial crisis of 2008. Because we believed they were being unfairly penalized at that time, we elected to keep them in the Portfolio rather than sell them at distressed levels. Their prices have since recovered to nearly pre-crisis levels.
What is your outlook?
We anticipate that the U.S. economy will continue to grow slowly in 2012, pressured by the debt problems in Europe. While the Federal Reserve has already indicated it plans to keep short-term interest rates low in a bid to stem further economic weakness at home, we would not be surprised if it undertakes a third round of quantitative easing in which it buys Treasury bonds to stimulate the economy and job growth. Treasury yields are likely to remain low by historical standards as a result. In this environment, we would anticipate modest but positive returns for the Portfolio in 2012.
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While the percentage of Portfolio assets allocated to Treasuries continues to increase as the U.S. government issues more debt, we intend to maintain a well-diversified mix of securities as part of our effort to track the performance of our benchmark index.
Portfolio Facts
As of December 31, 2011
Net Assets | $164,462,335 | |
NAV | $11.21 | |
NAV - High† | 9/22/2011 - $11.27 | |
NAV - Low† | 2/8/2011 - $10.59 | |
Number of Holdings: 268 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 8.23% | 6.09% | 5.37% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Limited Maturity Bond Portfolio returned 0.90%, compared with a median return for its peer group, the Lipper Short Intermediate Investment Grade Debt category, of 1.26%. The Portfolio’s market benchmark, the Barclays Capital Government/Credit 1-3 Year Bond Index, earned a return of 1.59%.
What factors affected the Portfolio’s performance?
The Portfolio earned strong returns on its Treasury note holdings, which rallied when investors, worried by the financial problems facing the eurozone, sought safety in dollar-denominated U.S. government debt. The Portfolio underperformed its benchmark index, however, as a consequence of its modest 20% allocation to Treasuries and other U.S. government-backed securities. By contrast, the index had about 80% of its assets allocated to Treasuries and government agency securities.
The Portfolio’s performance tracked the performance of its peer group more closely, underperforming by 36 basis points due to a modest allocation to nonagency mortgage-backed securities. Amid the market’s “flight to quality,” those bonds failed to keep pace with the returns generated by U.S. government-backed debt. The Portfolio was helped relative to its peer group by a slight overweighting toward the longer end of the one- to three-year maturity spectrum in which it normally invests. It also benefited from a higher allocation to Treasury Inflation-Protected Securities, or TIPS, which slightly outperformed comparable-maturity Treasuries.
What is your outlook?
The Federal Reserve has disclosed that it plans to keep short-term interest rates low at least into 2013, which will help to dampen returns for the Portfolio and its peers in 2012. Nonetheless, we see an opportunity for modestly positive returns for the sector. We expect to maintain our overweighted position in corporate bonds and nonagency mortgages, which offer a sizeable yield advantage relative to Treasury securities. Over the long-term, we believe this will yield benefits for our investors, especially if the economy begins to grow more rapidly.
In the event the economy does slow and the Treasury
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market continues to rally, we plan to maintain our neutral duration stance and our overweighted position in the longer end of the one- to three-year yield curve.
Portfolio Facts
As of December 31, 2011
Net Assets | $1,497,832,401 | |
NAV | $9.67 | |
NAV - High† | 6/1/2011 - $9.87 | |
NAV - Low† | 12/23/2011 - $9.66 | |
Number of Holdings: 336 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 0.90% | 3.33% | 3.53% |
| * | The Barclays Capital Government/Credit 1-3 Year Bond Index is an index that measures the performance of government and corporate fixed-rate debt securities with maturities of 1-3 years. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit 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 12-month period ended December 31, 2011?
Thrivent Mortgage Securities Portfolio earned a total return of 4.53%, compared with a median return for its peer group, the Lipper U.S. Mortgage Funds category, of 5.53%. The Portfolio’s market benchmark, the Barclays Capital Mortgage-Backed Securities Index, earned a return of 6.23%.
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%. They subsequently relinquished much of their price gains amid a slew of negative developments, including news that the economy had actually been growing slower than first reported, and the destruction of vast swaths of Japan by a devastating earthquake and tsunami. The market also had to contend with selling pressure from the Federal Reserve, which unloaded billions of dollars of mortgage securities acquired in its bailout of insurance company American International Group Inc.
Market sentiment continued to deteriorate in the second half of the year amid concerns about an increasingly urgent debt crisis across Europe and its potential to slow global economies and curb bank lending. In that unsettled environment, nervous investors flocked to Treasury securities and sold mortgage securities and other spread products.
The Portfolio underperformed its benchmark and peer group due to its larger holdings of nonagency, or nongovernment-backed, mortgage securities that produced outsized gains in 2009 and 2010. As investors piled into bonds with government backing, nonagency securities earned only about 1.8% for the year, versus 6.2% for agency mortgage securities. The Portfolio had about 30% of its assets allocated to nonagencies, versus a 0% allocation by its market benchmark and, we estimate, only about a 20% to 25% allocation by its Lipper peer group.
What is your outlook?
We are cautiously optimistic. Entering the new year, yields on our nonagency securities ranged as high as 7% to 15%, a substantial premium over the 2.5% to 3% yields available on
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agency mortgage securities. We expect demand for nonagency mortgage bonds to improve as investors seek yields higher than those available in the Treasury market. We also anticipate further stabilization in the housing market over the next 12 to 24 months, which should further improve investor demand for mortgage securities and boost the Portfolio’s performance.
Portfolio Facts
As of December 31, 2011
Net Assets | $32,422,328 | |
NAV | $10.45 | |
NAV - High† | 6/7/2011 - $10.54 | |
NAV - Low† | 2/10/2011 - $10.26 | |
Number of Holdings: 52 | ||
| ||
| † | For the year ended December 31, 2011 |
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | From Inception 4/30/2003 | ||
| 4.53% | 5.75% | 4.76% |
| * | 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 12-month period ended December 31, 2011?
Thrivent Money Market Portfolio produced a 0.00% return during the period, which was in line with the median net return reported by its peer group, the Lipper Money Market category, of 0.01%
What factors affected the Portfolio’s performance?
Money 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 to ensure that investors would not experience a negative return.
We continued to structure the Portfolio conservatively to maintain credit quality and liquidity. In recognition of the ongoing concern that debt woes in Greece and a number of other European countries could weaken the value of European bank debt and cause a liquidity crunch in that market, we eliminated virtually all of our exposure to such debt by year-end.
We also reduced our holdings of U.S. government-supported securities to about 22%, down from 40% at the end of 2010. 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. Prices have since recovered, and we continue to reduce our exposure to them as they mature.
Selling our U.S. government-supported securities allowed us to invest the proceeds in other conservative securities issued by banks, municipalities and corporate issuers offering slightly higher yields.
What is your outlook?
With the U.S. economy continuing to grow slowly, the Federal Reserve has indicated that it plans to keep short-term interest rates low, at least into the first half of 2013. Low inflation expectations, combined with the significant sovereign debt burdens of Europe and the United States, are making it easier for the Fed to maintain this interest-rate stance. The Fed’s actions will continue to exert pressure on money market returns,
An investment in the Thrivent Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
Quoted Portfolio Composition is subject to change.
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and we do not expect a material uptick in money market yields until the Fed moves to raise short-term interest rates.
On a more positive note, we expect money market credit quality to remain sound in this environment as the industry prepares for the possibility of additional regulation and works to minimize market instability.
Portfolio Facts
As of December 31, 2011
Net Assets | $170,459,881 | |
NAV | $1.00 | |
Number of Holdings: 82 | ||
Average Annual Total Returns1
As of December 31, 2011
| 1-Year | 5-Year | 10-Year | ||
| 0.00% | 1.69% | 1.94% |
Money Market Portfolio Yields *
As of December 31, 2011
| Portfolio | ||||
7-Day Yield | 0.00 | % | ||
7-Day Yield Gross of Waivers | -0.21 | % | ||
7-Day Effective Yield | 0.00 | % | ||
7-Day Effective Yield Gross of Waivers | -0.21 | % | ||
| * | 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 July 1, 2011 through December 31, 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 7/1/2011 | Ending Account Value 12/31/2011 | Expenses Paid During Period 7/1/2011 - 12/31/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 912 | $ | 2.19 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.32 | 0.45 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 929 | $ | 1.69 | 0.35 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.78 | 0.35 | % | ||||||||
Thrivent Moderate Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 952 | $ | 1.53 | 0.31 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.58 | 0.31 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 971 | $ | 1.61 | 0.32 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.66 | 0.32 | % | ||||||||
Thrivent Partner Technology Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 871 | $ | 5.44 | 1.15 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 5.87 | 1.15 | % | ||||||||
Thrivent Partner Healthcare Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 912 | $ | 6.02 | 1.25 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 6.36 | 1.25 | % | ||||||||
Thrivent Partner Natural Resources Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 798 | $ | 5.06 | 1.12 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.68 | 1.12 | % | ||||||||
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| Beginning Account Value 7/1/2011 | Ending Account Value 12/31/2011 | Expenses Paid During Period 7/1/2011 - 12/31/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Emerging Markets Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 877 | $ | 6.62 | 1.40 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.12 | 1.40 | % | ||||||||
Thrivent Real Estate Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 982 | $ | 4.41 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.50 | 0.88 | % | ||||||||
Thrivent Partner Utilities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,013 | $ | 4.57 | 0.90 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.59 | 0.90 | % | ||||||||
Thrivent Partner Small Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 869 | $ | 4.72 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.10 | 1.00 | % | ||||||||
Thrivent Partner Small Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 943 | $ | 4.30 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.47 | 0.88 | % | ||||||||
Thrivent Small Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 889 | $ | 3.64 | 0.76 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.89 | 0.76 | % | ||||||||
Thrivent Small Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 937 | $ | 2.23 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.33 | 0.46 | % | ||||||||
Thrivent Mid Cap Growth Portfolio II |
| |||||||||||||||
Actual | $ | 1,000 | $ | 903 | $ | 3.53 | 0.74 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.75 | 0.74 | % | ||||||||
Thrivent Mid Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 896 | $ | 2.21 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.35 | 0.46 | % | ||||||||
Thrivent Partner Mid Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 883 | $ | 3.99 | 0.84 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.28 | 0.84 | % | ||||||||
Thrivent Mid Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 886 | $ | 3.46 | 0.73 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.70 | 0.73 | % | ||||||||
Thrivent Mid Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 903 | $ | 2.58 | 0.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.74 | 0.54 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 843 | $ | 4.60 | 0.99 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.05 | 0.99 | % | ||||||||
Thrivent Partner International Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 820 | $ | 3.81 | 0.83 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.23 | 0.83 | % | ||||||||
Thrivent Partner Socially Responsible Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 904 | $ | 4.71 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.00 | 0.98 | % | ||||||||
Thrivent Partner All Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 862 | $ | 4.69 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.08 | 1.00 | % | ||||||||
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| Beginning Account Value 7/1/2011 | Ending Account Value 12/31/2011 | Expenses Paid During Period 7/1/2011 - 12/31/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner All Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 857 | $ | 4.57 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.97 | 0.98 | % | ||||||||
Thrivent Partner All Cap Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 919 | $ | 5.13 | 1.06 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.39 | 1.06 | % | ||||||||
Thrivent Large Cap Growth Portfolio II |
| |||||||||||||||
Actual | $ | 1,000 | $ | 904 | $ | 3.47 | 0.72 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.68 | 0.72 | % | ||||||||
Thrivent Large Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 915 | $ | 2.14 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.26 | 0.44 | % | ||||||||
Thrivent Partner Growth Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 939 | $ | 4.72 | 0.97 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.92 | 0.97 | % | ||||||||
Thrivent Large Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 930 | $ | 3.14 | 0.65 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.29 | 0.65 | % | ||||||||
Thrivent Large Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 919 | $ | 3.35 | 0.69 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.53 | 0.69 | % | ||||||||
Thrivent Large Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 961 | $ | 2.08 | 0.42 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.14 | 0.42 | % | ||||||||
Thrivent Equity Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 919 | $ | 4.00 | 0.83 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.22 | 0.83 | % | ||||||||
Thrivent Balanced Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 992 | $ | 2.21 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.24 | 0.44 | % | ||||||||
Thrivent High Yield Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,001 | $ | 2.24 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.27 | 0.44 | % | ||||||||
Thrivent Diversified Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 984 | $ | 2.73 | 0.55 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.79 | 0.55 | % | ||||||||
Thrivent Partner Socially Responsible Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,045 | $ | 3.50 | 0.68 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.46 | 0.68 | % | ||||||||
Thrivent Income Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,023 | $ | 2.23 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.23 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,048 | $ | 2.38 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.35 | 0.46 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 994 | $ | 2.17 | 0.43 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.20 | 0.43 | % | ||||||||
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| Beginning Account Value 7/1/2011 | Ending Account Value 12/31/2011 | Expenses Paid During Period 7/1/2011 - 12/31/2011* | Annualized Expense Ratio | |||||||||||||
Thrivent Mortgage Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,015 | $ | 4.52 | 0.89 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.53 | 0.89 | % | ||||||||
Thrivent Money Market Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.52 | 0.30 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.54 | 0.30 | % | ||||||||
| * | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. |
| ** | Assuming 5% annualized total return before expenses. |
89
 | Report of Independent Registered Public Accounting Firm |
To the Board of Directors and Shareholders
of the Thrivent Series Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the forty-one funds constituting the Thrivent Series Fund, Inc. ( hereafter referred to as the “Funds”) at December 31, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
February 16, 2012
PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402
T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us
90
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Mutual Funds (49.6%) | Value | ||||||
| Equity Mutual Funds (47.5%) | |||||||
| 3,498,692 | Thrivent Partner Small Cap Growth Portfolioa | $ | 43,458,307 | |||||
| 771,998 | Thrivent Partner Small Cap Value Portfolio | 14,393,204 | ||||||
| 1,708,411 | Thrivent Small Cap Stock Portfolioa | 20,485,040 | ||||||
| 1,561,519 | Thrivent Partner Mid Cap Value Portfolio | 19,535,065 | ||||||
| 2,495,827 | Thrivent Mid Cap Stock Portfolio | 28,649,596 | ||||||
| 3,091,020 | Thrivent Partner Worldwide Allocation Portfolio | 22,849,130 | ||||||
| 6,481,456 | Thrivent Partner International Stock Portfolio | 59,536,061 | ||||||
| 2,683,031 | Thrivent Large Cap Value Portfolio | 27,887,419 | ||||||
| 3,058,684 | Thrivent Large Cap Stock Portfolio | 24,807,764 | ||||||
| 530,968 | Thrivent Equity Income Plus Portfolio | 4,678,836 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 266,280,422 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (2.1%) | |||||||
| 1,216,126 | Thrivent High Yield Portfolio | 5,669,944 | ||||||
| 598,089 | Thrivent Income Portfolio | 6,032,325 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 11,702,269 | |||||||
|
| |||||||
Total Mutual Funds (cost $337,622,686) | 277,982,691 | |||||||
|
| |||||||
Common Stock (38.2%) | ||||||||
| Consumer Discretionary (4.8%) | |||||||
| 7,842 | Abercrombie & Fitch Company | 383,003 | ||||||
| 13,456 | Amazon.com, Inc.a | 2,329,234 | ||||||
| 4,963 | Autoliv, Inc. | 265,471 | ||||||
| 700 | Bayerische Motoren Werke AG | 33,047 | ||||||
| 2,200 | Benesse Holdings, Inc. | 106,352 | ||||||
| 25,500 | Big Lots, Inc.a | 962,880 | ||||||
| 8,905 | British Sky Broadcasting Group plc | 101,317 | ||||||
| 13,085 | Buffalo Wild Wings, Inc.a | 883,368 | ||||||
| 5,330 | CBS Corporation | 144,656 | ||||||
| 4,700 | Charter Communications, Inc.a | 267,618 | ||||||
| 17,000 | Coach, Inc. | 1,037,680 | ||||||
| 68,498 | Comcast Corporation | 1,624,087 | ||||||
| 35,000 | ComfortDelGro Corporation, Ltd | 38,187 | ||||||
| 2,000 | Daihatsu Motor Company, Ltd. | 35,566 | ||||||
| 1,100 | Daito Trust Construction Company, Ltd. | 94,189 | ||||||
| 7,250 | Darden Restaurants, Inc. | 330,455 | ||||||
| 38,682 | Discovery Communications, Inc.a | 1,584,801 | ||||||
| 19,010 | Dollar Tree, Inc.a | 1,579,921 | ||||||
| 1,800 | FamilyMart Company, Ltd. | 72,689 | ||||||
| 17,600 | Fiat SPA | 80,322 | ||||||
| 44,865 | Foot Locker, Inc. | 1,069,582 | ||||||
| 512 | Gaylord Entertainment Companya | 12,360 | ||||||
| 8,408 | Gentex Corporation | 248,793 | ||||||
| 6,880 | Harley-Davidson, Inc. | 267,425 | ||||||
| 33,900 | Home Depot, Inc. | 1,425,156 | ||||||
| 1,800 | Kabel Deutschland Holding AGa | 91,245 | ||||||
| 37,560 | Las Vegas Sands Corporationa | 1,604,939 | ||||||
| 1,700 | Lawson, Inc. | 105,919 | ||||||
| 19,700 | Life Time Fitness, Inc.a | 920,975 | ||||||
| 19,719 | Limited Brands, Inc. | 795,662 | ||||||
| 13,706 | Macy’s, Inc. | 441,059 | ||||||
| 765 | Marriott International, Inc. | 22,315 | ||||||
| 76 | Marriott Vacations Worldwide Corporationa | 1,304 | ||||||
| 5,400 | McDonald’s Corporation | 541,782 | ||||||
| 27,510 | News Corporation | 500,132 | ||||||
| 9,360 | Omnicom Group, Inc. | 417,269 | ||||||
| 8,268 | O’Reilly Automotive, Inc.a | 661,027 | ||||||
| 1,782 | Panera Bread Companya | 252,064 | ||||||
| 13,992 | PetSmart, Inc. | 717,650 | ||||||
| 90,268 | Pier 1 Imports, Inc.a | 1,257,433 | ||||||
| 1,200 | Sankyo Company, Ltd. | 60,669 | ||||||
| 4,200 | SES Global SA | 100,611 | ||||||
| 18,645 | Signet Jewelers, Ltd. | 819,634 | ||||||
| 1,374 | Starwood Hotels & Resorts Worldwide, Inc. | 65,911 | ||||||
| 9,880 | Target Corporation | 506,054 | ||||||
| 4,300 | Time Warner Cable, Inc. | 273,351 | ||||||
| 8,773 | Tractor Supply Company | 615,426 | ||||||
| 1,900 | United Internet AG | 33,865 | ||||||
| 910 | USS Company, Ltd. | 82,244 | ||||||
| 3,526 | VF Corporation | 447,767 | ||||||
| 17,755 | Williams-Sonoma, Inc. | 683,567 | ||||||
| 10,236 | WMS Industries, Inc.a | 210,043 | ||||||
| 319 | Wyndham Worldwide Corporation | 12,068 | ||||||
|
| |||||||
| Total Consumer Discretionary | 27,220,144 | |||||||
|
| |||||||
| Consumer Staples (3.3%) | |||||||
| 66,763 | Altria Group, Inc. | 1,979,523 | ||||||
| 27,230 | Anheuser-Busch InBev NV ADR | 1,660,758 | ||||||
| 5,400 | Autogrill SPA | 52,489 | ||||||
| 1,900 | British American Tobacco plc | 90,139 | ||||||
| 19,817 | British American Tobacco plc ADR | 1,880,237 | ||||||
| 5,839 | Clorox Company | 388,644 | ||||||
| 23,646 | Coca-Cola Company | 1,654,511 | ||||||
| 20,400 | ConAgra Foods, Inc. | 538,560 | ||||||
| 37,372 | Corn Products International, Inc. | 1,965,393 | ||||||
| 6,920 | CVS Caremark Corporation | 282,198 | ||||||
| 7,040 | Diageo plc ADR | 615,437 | ||||||
| 2,500 | Imperial Tobacco Group plc | 94,603 | ||||||
| 2,500 | Kao Corporation | 68,215 | ||||||
| 8,300 | Koninklijke (Royal) Ahold NV | 111,549 | ||||||
| 19,480 | Kraft Foods, Inc. | 727,773 | ||||||
| 900 | Nestle SA | 51,681 | ||||||
| 19,986 | Philip Morris International, Inc. | 1,568,501 | ||||||
| 15,383 | TreeHouse Foods, Inc.a | 1,005,740 | ||||||
| 48,724 | Wal-Mart Stores, Inc. | 2,911,746 | ||||||
| 11,857 | Whole Foods Market, Inc. | 825,010 | ||||||
|
| |||||||
| Total Consumer Staples | 18,472,707 | |||||||
|
| |||||||
| Energy (3.9%) | |||||||
| 23,991 | Alpha Natural Resources, Inc.a | 490,136 | ||||||
| 17,971 | Apache Corporation | 1,627,813 | ||||||
| 42,124 | Arch Coal, Inc. | 611,219 | ||||||
| 23,034 | Baker Hughes, Inc. | 1,120,374 | ||||||
| 5,000 | Cameron International Corporationa | 245,950 | ||||||
| 7,910 | Chevron Corporation | 841,624 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
91
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (38.2%) | Value | ||||||
| Energy (3.9%) - continued | |||||||
| 5,298 | Concho Resources, Inc.a | $ | 496,688 | |||||
| 11,520 | ConocoPhillips | 839,462 | ||||||
| 3,900 | Eni SPA | 80,403 | ||||||
| 62,499 | ENSCO International plc ADR | 2,932,453 | ||||||
| 5,900 | EOG Resources, Inc. | 581,209 | ||||||
| 10,300 | Exxon Mobil Corporation | 873,028 | ||||||
| 65,133 | Helix Energy Solutions Group, Inc.a | 1,029,102 | ||||||
| 19,000 | Marathon Oil Corporation | 556,130 | ||||||
| 4,764 | National Oilwell Varco, Inc. | 323,904 | ||||||
| 5,400 | Neste Oil OYJ | 54,305 | ||||||
| 4,300 | Newfield Exploration Companya | 162,239 | ||||||
| 2,870 | Occidental Petroleum Corporation | 268,919 | ||||||
| 22,867 | Oil States International, Inc.a | 1,746,353 | ||||||
| 68,723 | Patriot Coal Corporationa | 582,084 | ||||||
| 45,910 | Peabody Energy Corporation | 1,520,080 | ||||||
| 65,172 | Petroleum Geo-Services ASAa | 710,271 | ||||||
| 3,357 | Range Resources Corporation | 207,933 | ||||||
| 1,199 | Royal Dutch Shell plc, Class A | 43,991 | ||||||
| 4,400 | Royal Dutch Shell plc, Class B | 167,370 | ||||||
| 800 | RWE AG | 28,081 | ||||||
| 5,800 | Southwestern Energy Companya | 185,252 | ||||||
| 25,262 | Swift Energy Companya | 750,787 | ||||||
| 189,338 | Weatherford International, Ltd.a | 2,771,908 | ||||||
| 3,200 | Woodside Petroleum, Ltd. | 100,171 | ||||||
|
| |||||||
Total Energy | 21,949,239 | |||||||
|
| |||||||
| Financials (5.9%) | |||||||
| 1,948 | Acadia Realty Trust | 39,233 | ||||||
| 9,050 | ACE, Ltd. | 634,586 | ||||||
| 16,241 | Affiliated Managers Group, Inc.a | 1,558,324 | ||||||
| 2,680 | Alexandria Real Estate Equities, Inc. | 184,840 | ||||||
| 1,312 | American Assets Trust, Inc. | 26,909 | ||||||
| 3,196 | American Campus Communities, Inc. | 134,104 | ||||||
| 1,077 | American Capital Agency Corporation | 30,242 | ||||||
| 8,360 | Aon Corporation | 391,248 | ||||||
| 4,670 | Apartment Investment & Management Company | 106,990 | ||||||
| 351 | Apollo Commercial Real Estate Finance, Inc. | 4,609 | ||||||
| 3,193 | Ashford Hospitality Trust, Inc. | 25,544 | ||||||
| 4,100 | Assicurazioni Generali SPA | 61,542 | ||||||
| 1,355 | Associated Estates Realty Corporation | 21,612 | ||||||
| 3,100 | ASX, Ltd. | 96,766 | ||||||
| 6,100 | Atlantia SPA | 97,358 | ||||||
| 3,550 | AvalonBay Communities, Inc. | 463,630 | ||||||
| 23,800 | Banco de Valencia SAa | 18,878 | ||||||
| 5,097 | BioMed Realty Trust, Inc. | 92,154 | ||||||
| 5,605 | Boston Properties, Inc. | 558,258 | ||||||
| 5,158 | Brandywine Realty Trust | 49,001 | ||||||
| 2,587 | BRE Properties, Inc. | 130,592 | ||||||
| 583 | Brookfield Asset Management, Inc. | 16,021 | ||||||
| 3,760 | Brookfield Office Properties, Inc. | 58,806 | ||||||
| 3,097 | Camden Property Trust | 192,757 | ||||||
| 1,444 | Campus Crest Communities, Inc. | 14,527 | ||||||
| 13,102 | CBL & Associates Properties, Inc. | 205,701 | ||||||
| 813 | CBRE Group, Inc.a | 12,374 | ||||||
| 724 | Chatham Lodging Trust | 7,805 | ||||||
| 1,305 | Chesapeake Lodging Trust | 20,175 | ||||||
| 20,141 | Citigroup, Inc. | 529,910 | ||||||
| 2,325 | CME Group, Inc. | 566,533 | ||||||
| 1,531 | Cogdell Spencer, Inc. | 6,507 | ||||||
| 400 | Cohen & Steers Quality Income Realty Fund, Inc. | 3,388 | ||||||
| 2,563 | Colonial Properties Trust | 53,464 | ||||||
| 754 | Colony Financial, Inc. | 11,845 | ||||||
| 1,099 | CommonWealth REIT | 18,287 | ||||||
| 587 | Coresite Realty Corporation | 10,460 | ||||||
| 2,476 | Corporate Office Properties Trust | 52,640 | ||||||
| 470 | CreXus Investment Corporation | 4,879 | ||||||
| 2,542 | CubeSmart | 27,047 | ||||||
| 7,916 | DCT Industrial Trust, Inc. | 40,530 | ||||||
| 9,769 | DDR Corporation | 118,889 | ||||||
| 6,856 | DiamondRock Hospitality Company | 66,092 | ||||||
| 4,511 | Digital Realty Trust, Inc. | 300,748 | ||||||
| 40,782 | Discover Financial Services | 978,768 | ||||||
| 5,271 | Douglas Emmett, Inc. | 96,143 | ||||||
| 22,382 | Duke Realty Corporation | 269,703 | ||||||
| 2,416 | DuPont Fabros Technology, Inc. | 58,516 | ||||||
| 1,002 | EastGroup Properties, Inc. | 43,567 | ||||||
| 2,186 | Education Realty Trust, Inc. | 22,363 | ||||||
| 5,100 | Endurance Specialty Holdings, Ltd. | 195,075 | ||||||
| 1,765 | Entertainment Properties Trust | 77,148 | ||||||
| 1,690 | Equity Lifestyle Properties, Inc. | 112,706 | ||||||
| 14,352 | Equity One, Inc. | 243,697 | ||||||
| 10,789 | Equity Residential | 615,297 | ||||||
| 1,604 | Essex Property Trust, Inc. | 225,378 | ||||||
| 817 | Excel Trust, Inc. | 9,804 | ||||||
| 1,200 | Experian plc | 16,311 | ||||||
| 3,936 | Extra Space Storage, Inc. | 95,369 | ||||||
| 2,254 | Federal Realty Investment Trust | 204,550 | ||||||
| 3,352 | FelCor Lodging Trust, Inc.a | 10,224 | ||||||
| 39,800 | Fifth Third Bancorp | 506,256 | ||||||
| 1,656 | First Industrial Realty Trust, Inc.a | 16,941 | ||||||
| 1,293 | First Potomac Realty Trust | 16,874 | ||||||
| 2,411 | Forest City Enterprises, Inc.a | 28,498 | ||||||
| 12,622 | General Growth Properties, Inc. | 189,582 | ||||||
| 3,513 | Glimcher Realty Trust | 32,320 | ||||||
| 2,680 | Goldman Sachs Group, Inc. | 242,352 | ||||||
| 1,078 | Government Properties Income Trust | 24,309 | ||||||
| 1,873 | Hannover Rueckversicherung AG | 92,802 | ||||||
| 13,227 | HCC Insurance Holdings, Inc. | 363,742 | ||||||
| 12,045 | HCP, Inc. | 499,024 | ||||||
| 5,595 | Health Care REIT, Inc. | 305,095 | ||||||
| 1,814 | Healthcare Realty Trust, Inc. | 33,722 | ||||||
| 5,654 | Hersha Hospitality Trust | 27,592 | ||||||
| 2,279 | Highwoods Properties, Inc. | 67,618 | ||||||
| 1,614 | Home Properties, Inc. | 92,918 | ||||||
| 2,586 | Hospitality Properties Trust | 59,426 | ||||||
| 43,876 | Host Hotels & Resorts, Inc. | 648,049 | ||||||
| 29,600 | Hudson City Bancorp, Inc. | 185,000 | ||||||
| 261 | Hudson Pacific Properties, Inc. | 3,696 | ||||||
| 1,607 | Inland Real Estate Corporation | 12,229 | ||||||
| 5,211 | IntercontinentalExchange, Inc.a | 628,186 | ||||||
| 2,415 | Invesco Mortgage Capital, Inc. | 33,931 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
92
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (38.2%) | Value | ||||||
| Financials (5.9%) - continued | |||||||
| 50,416 | J.P. Morgan Chase & Company | $ | 1,676,332 | |||||
| 1,100 | Julius Baer Group, Ltd.a | 42,848 | ||||||
| 2,419 | Kilroy Realty Corporation | 92,091 | ||||||
| 12,329 | Kimco Realty Corporation | 200,223 | ||||||
| 4,900 | Kinnevik Investment AB | 95,238 | ||||||
| 2,231 | Kite Realty Group Trust | 10,062 | ||||||
| 25,220 | KKR & Company, LP | 323,573 | ||||||
| 2,863 | LaSalle Hotel Properties | 69,313 | ||||||
| 6,731 | Lazard, Ltd. | 175,746 | ||||||
| 2,040 | Lexington Realty Trust | 15,280 | ||||||
| 3,794 | Liberty Property Trust | 117,159 | ||||||
| 1,400 | London Stock Exchange Group plc | 17,218 | ||||||
| 520 | LTC Properties, Inc. | 16,047 | ||||||
| 4,500 | M&T Bank Corporation | 343,530 | ||||||
| 5,017 | Macerich Company | 253,860 | ||||||
| 2,941 | Mack-Cali Realty Corporation | 78,495 | ||||||
| 2,256 | Medical Properties Trust, Inc. | 22,267 | ||||||
| 1,166 | Mid-America Apartment Communities, Inc. | 72,933 | ||||||
| 2,450 | MSCI, Inc.a | 80,678 | ||||||
| 900 | Muenchener Rueckversicherungs - Gesellschaft AG | 110,281 | ||||||
| 9,800 | NASDAQ OMX Group, Inc.a | 240,198 | ||||||
| 2,858 | National Retail Properties, Inc. | 75,394 | ||||||
| 5,300 | Northern Trust Corporation | 210,198 | ||||||
| 67,386 | Ocwen Financial Corporationa | 975,749 | ||||||
| 2,773 | Omega Healthcare Investors, Inc. | 53,658 | ||||||
| 500 | Pargesa Holding SA | 32,661 | ||||||
| 1,581 | Pebblebrook Hotel Trust | 30,324 | ||||||
| 642 | Pennsylvania Real Estate Investment Trust | 6,702 | ||||||
| 809 | Piedmont Office Realty Trust, Inc. | 13,785 | ||||||
| 810 | Plum Creek Timber Company, Inc. | 29,614 | ||||||
| 470,118 | Popular, Inc.a | 653,464 | ||||||
| 1,573 | Post Properties, Inc. | 68,772 | ||||||
| 10,960 | Principal Financial Group, Inc. | 269,616 | ||||||
| 10,520 | Progressive Corporation | 205,245 | ||||||
| 15,489 | Prologis, Inc. | 442,831 | ||||||
| 10,643 | Prudential plc | 105,306 | ||||||
| 613 | PS Business Parks, Inc. | 33,979 | ||||||
| 5,053 | Public Storage, Inc. | 679,426 | ||||||
| 1,551 | Ramco-Gershenson Properties Trust | 15,246 | ||||||
| 1,219 | Rayonier, Inc. REIT | 54,404 | ||||||
| 962 | Realty Income Corporation | 33,632 | ||||||
| 4,113 | Regency Centers Corporation | 154,731 | ||||||
| 25,169 | Resolution, Ltd. | 98,116 | ||||||
| 653 | Retail Opportunity Investments Corporation | 7,732 | ||||||
| 958 | RLJ Lodging Trust | 16,123 | ||||||
| 673 | Sabra Healthcare REIT, Inc. | 8,137 | ||||||
| 248 | Saul Centers, Inc. | 8,784 | ||||||
| 5,296 | Senior Housing Property Trust | 118,842 | ||||||
| 11,210 | Simon Property Group, Inc. | 1,445,417 | ||||||
| 20,000 | Singapore Exchange, Ltd. | 94,529 | ||||||
| 3,263 | SL Green Realty Corporation | 217,446 | ||||||
| 360 | Sovran Self Storage, Inc. | 15,361 | ||||||
| 476 | Starwood Property Trust, Inc. | 8,811 | ||||||
| 9,970 | State Street Corporation | 401,891 | ||||||
| 29,000 | Stockland | 94,736 | ||||||
| 2,984 | Strategic Hotel Capital, Inc.a | 16,024 | ||||||
| 3,900 | Sumitomo Mitsui Financial Group, Inc. | 108,158 | ||||||
| 1,332 | Summit Hotel Properties, Inc. | 12,574 | ||||||
| 223 | Sun Communities, Inc. | 8,146 | ||||||
| 3,983 | Sunstone Hotel Investors, Inc.a | 32,461 | ||||||
| 6,350 | SVB Financial Groupa | 302,831 | ||||||
| 4,000 | Svenska Handelsbanken AB | 104,821 | ||||||
| 3,703 | Tanger Factory Outlet Centers, Inc. | 108,572 | ||||||
| 2,155 | Taubman Centers, Inc. | 133,825 | ||||||
| 21,665 | TD Ameritrade Holding Corporation | 339,057 | ||||||
| 35,710 | Texas Capital Bancshares, Inc.a | 1,093,083 | ||||||
| 900 | Tryg A/S | 49,854 | ||||||
| 5,984 | Two Harbors Investment Corporation | 55,292 | ||||||
| 8,000 | U.S. Bancorp | 216,400 | ||||||
| 6,089 | UDR, Inc. | 152,834 | ||||||
| 8,000 | United Overseas Land, Ltd. | 24,641 | ||||||
| 24,230 | Unum Group | 510,526 | ||||||
| 3,550 | Vanguard REIT ETF | 205,900 | ||||||
| 8,881 | Ventas, Inc. | 489,610 | ||||||
| 6,247 | Vornado Realty Trust | 480,144 | ||||||
| 12,586 | W.R. Berkley Corporation | 432,833 | ||||||
| 1,222 | Washington Real Estate Investment Trust | 33,422 | ||||||
| 3,445 | Weingarten Realty Investors | 75,170 | ||||||
| 69,792 | Wells Fargo & Company | 1,923,468 | ||||||
| 12,700 | Westfield Group | 101,326 | ||||||
| 303 | Winthrop Realty Trust | 3,082 | ||||||
| 58,615 | Zions Bancorporation | 954,252 | ||||||
| 300 | Zurich Financial Services AGa | 67,592 | ||||||
|
| |||||||
| Total Financials | 33,220,518 | |||||||
|
| |||||||
| Health Care (4.5%) |
| ||||||
| 10,707 | Alexion Pharmaceuticals, Inc.a | 765,551 | ||||||
| 52,500 | Align Technology, Inc.a | 1,245,563 | ||||||
| 16,080 | AmerisourceBergen Corporation | 598,015 | ||||||
| 25,273 | Amgen, Inc. | 1,622,779 | ||||||
| 3,100 | AstraZeneca plc | 143,198 | ||||||
| 30,478 | Baxter International, Inc. | 1,508,051 | ||||||
| 3,800 | BioMarin Pharmaceutical, Inc.a | 130,644 | ||||||
| 20,870 | Bristol-Myers Squibb Company | 735,459 | ||||||
| 2,758 | C.R. Bard, Inc. | 235,809 | ||||||
| 12,130 | CIGNA Corporation | 509,460 | ||||||
| 20,417 | Covance, Inc.a | 933,465 | ||||||
| 6,647 | Coventry Health Care, Inc.a | 201,869 | ||||||
| 10,000 | Covidien plc | 450,100 | ||||||
| 3,200 | CSL, Ltd. | 104,330 | ||||||
| 26,900 | Eli Lilly and Company | 1,117,964 | ||||||
| 10,300 | Gilead Sciences, Inc.a | 421,579 | ||||||
| 40,094 | Health Net, Inc.a | 1,219,660 | ||||||
| 7,100 | Johnson & Johnson | 465,618 | ||||||
| 18,298 | McKesson Corporation | 1,425,597 | ||||||
| 6,200 | Medtronic, Inc. | 237,150 | ||||||
| 18,380 | Merck & Company, Inc. | 692,926 | ||||||
| 1,354 | Mettler-Toledo International, Inc.a | 199,999 | ||||||
| 77,563 | Mylan, Inc.a | 1,664,502 | ||||||
| 600 | Novartis AG | 34,256 | ||||||
| 100 | Novo Nordisk AS | 11,488 | ||||||
| 4,683 | Onyx Pharmaceuticals, Inc.a | 205,818 | ||||||
| 71,344 | Pfizer, Inc. | 1,543,884 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (38.2%) | Value | ||||||
| Health Care (4.5%) - continued | |||||||
| 38,662 | PSS World Medical, Inc.a | $ | 935,234 | |||||
| 200 | Roche Holding AG | 33,824 | ||||||
| 9,818 | SXC Health Solutions Corporationa | 554,521 | ||||||
| 8,200 | Thoratec Corporationa | 275,192 | ||||||
| 25,040 | United Therapeutics Corporationa | 1,183,140 | ||||||
| 49,685 | UnitedHealth Group, Inc. | 2,518,036 | ||||||
| 2,633 | Varian Medical Systems, Inc.a | 176,753 | ||||||
| 2,200 | Waters Corporationa | 162,910 | ||||||
| 12,779 | Watson Pharmaceuticals, Inc.a | 771,085 | ||||||
| 3,020 | Zimmer Holdings, Inc.a | 161,328 | ||||||
|
| |||||||
| Total Health Care | 25,196,757 | |||||||
|
| |||||||
| Industrials (4.8%) | |||||||
| 5,500 | 3M Company | 449,515 | ||||||
| 8 | A P Moller - Maersk AS | 52,621 | ||||||
| 6,200 | Abertis Infraestructuras SA | 98,522 | ||||||
| 9,000 | All Nippon Airways Company, Ltd. | 25,148 | ||||||
| 5,860 | AMETEK, Inc. | 246,706 | ||||||
| 21,796 | BE Aerospace, Inc.a | 843,723 | ||||||
| 17,155 | Boeing Company | 1,258,319 | ||||||
| 3,100 | Bouygues SA | 97,491 | ||||||
| 6,479 | Caterpillar, Inc. | 586,997 | ||||||
| 13 | Central Japan Railway Company | 109,711 | ||||||
| 24,556 | Chicago Bridge and Iron Company | 928,217 | ||||||
| 5,700 | Cobham plc | 16,231 | ||||||
| 36,155 | CSX Corporation | 761,424 | ||||||
| 3,400 | Cummins, Inc. | 299,268 | ||||||
| 36,544 | Deluxe Corporation | 831,741 | ||||||
| 1,200 | Deutsche Lufthansa AG | 14,272 | ||||||
| 1,800 | East Japan Railway Company | 114,729 | ||||||
| 1,000 | Eiffage SA | 24,092 | ||||||
| 35,324 | EMCOR Group, Inc. | 947,036 | ||||||
| 4,562 | Expeditors International of Washington, Inc. | 186,860 | ||||||
| 4,127 | Flowserve Corporation | 409,894 | ||||||
| 3,900 | Fluor Corporation | 195,975 | ||||||
| 32,735 | FTI Consulting, Inc.a | 1,388,619 | ||||||
| 25,800 | GATX Corporation | 1,126,428 | ||||||
| 51,590 | General Electric Company | 923,977 | ||||||
| 17,554 | Honeywell International, Inc. | 954,060 | ||||||
| 8,600 | Jacobs Engineering Group, Inc.a | 348,988 | ||||||
| 17,180 | JB Hunt Transport Services, Inc. | 774,303 | ||||||
| 13,118 | Kansas City Southerna | 892,155 | ||||||
| 1,100 | Koninklijke Boskalis Westminster NV | 40,287 | ||||||
| 4,600 | L-3 Communications Holdings, Inc. | 306,728 | ||||||
| 124,818 | Manitowoc Company, Inc. | 1,147,077 | ||||||
| 3,400 | Manpower, Inc. | 121,550 | ||||||
| 10,525 | Oshkosh Corporationa | 225,024 | ||||||
| 13,952 | Parker Hannifin Corporation | 1,063,840 | ||||||
| 12,892 | Pentair, Inc. | 429,175 | ||||||
| 15,100 | PostNL NV | 47,907 | ||||||
| 9,361 | Precision Castparts Corporation | 1,542,599 | ||||||
| 6,500 | Republic Services, Inc. | 179,075 | ||||||
| 9,732 | Roper Industries, Inc. | 845,419 | ||||||
| 19,700 | Ryanair Holdings plca | 92,139 | ||||||
| 38,473 | Shaw Group, Inc.a | 1,034,924 | ||||||
| 16,324 | SPX Corporation | 983,847 | ||||||
| 5,981 | Stericycle, Inc.a | 466,040 | ||||||
| 11,572 | Teledyne Technologies, Inc.a | 634,724 | ||||||
| 10,770 | Textron, Inc. | 199,137 | ||||||
| 5,400 | Tyco International, Ltd. | 252,234 | ||||||
| 11,557 | Union Pacific Corporation | 1,224,349 | ||||||
| 13,778 | United Technologies Corporation | 1,007,034 | ||||||
| 2,580 | WESCO International, Inc.a | 136,766 | ||||||
| 400 | West Japan Railway Company | 17,381 | ||||||
| 23,000 | Yangzijiang Shipbuilding Holdings, Ltd. | 16,095 | ||||||
|
| |||||||
| Total Industrials | 26,920,373 | |||||||
|
| |||||||
| Information Technology (8.5%) | |||||||
| 23,600 | ADTRAN, Inc. | 711,776 | ||||||
| 41,558 | Akamai Technologies, Inc.a | 1,341,492 | ||||||
| 4,100 | Alliance Data Systems Corporationa | 425,744 | ||||||
| 4,090 | Altera Corporation | 151,739 | ||||||
| 11,735 | ANSYS, Inc.a | 672,181 | ||||||
| 12,602 | Apple, Inc.a | 5,103,810 | ||||||
| 141,277 | Atmel Corporationa | 1,144,344 | ||||||
| 3,811 | Baidu.com, Inc. ADRa | 443,867 | ||||||
| 40,606 | Broadcom Corporationa | 1,192,192 | ||||||
| 1,100 | Cap Gemini SA | 34,197 | ||||||
| 31,960 | Cisco Systems, Inc. | 577,837 | ||||||
| 19,435 | Cognizant Technology Solutions Corporationa | 1,249,865 | ||||||
| 1,900 | Computershare, Ltd. | 15,531 | ||||||
| 36,416 | eBay, Inc.a | 1,104,497 | ||||||
| 33,908 | Electronic Arts, Inc.a | 698,505 | ||||||
| 52,898 | EMC Corporationa | 1,139,423 | ||||||
| 17,094 | F5 Networks, Inc.a | 1,814,015 | ||||||
| 12,751 | Fortinet, Inc.a | 278,099 | ||||||
| 3,923 | Google, Inc.a | 2,533,866 | ||||||
| 27,300 | Intel Corporation | 662,025 | ||||||
| 3,003 | International Business Machines Corporation | 552,192 | ||||||
| 5,698 | Itron, Inc.a | 203,817 | ||||||
| 9,013 | Ixiaa | 94,727 | ||||||
| 10,810 | Juniper Networks, Inc.a | 220,632 | ||||||
| 7,400 | KLA-Tencor Corporation | 357,050 | ||||||
| 11,341 | Lam Research Corporationa | 419,844 | ||||||
| 43,838 | Marvell Technology Group, Ltd.a | 607,156 | ||||||
| 7,053 | Mercadolibre, Inc. | 560,996 | ||||||
| 80,564 | Microsoft Corporation | 2,091,441 | ||||||
| 88,109 | Monster Worldwide, Inc.a | 698,704 | ||||||
| 13,332 | NetApp, Inc.a | 483,552 | ||||||
| 6,375 | Nice Systems, Ltd. ADRa | 219,619 | ||||||
| 18,400 | Nokia Oyj | 88,695 | ||||||
| 10 | NTT Data Corporation | 31,842 | ||||||
| 32,893 | Nuance Communications, Inc.a | 827,588 | ||||||
| 64,668 | NVIDIA Corporationa | 896,298 | ||||||
| 88,533 | Oracle Corporation | 2,270,871 | ||||||
| 29,266 | Plantronics, Inc. | 1,043,040 | ||||||
| 31,701 | Plexus Corporationa | 867,973 | ||||||
| 33,420 | QUALCOMM, Inc. | 1,828,074 | ||||||
| 42,095 | Quest Software, Inc.a | 782,967 | ||||||
| 10,830 | Red Hat, Inc.a | 447,171 | ||||||
| 7,002 | Salesforce.com, Inc.a | 710,423 | ||||||
| 20,311 | SuccessFactors, Inc.a | 809,800 | ||||||
| 28,323 | Symantec Corporationa | 443,255 | ||||||
| 21,496 | Teradata Corporationa | 1,042,771 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (38.2%) | Value | ||||||
| Information Technology (8.5%) - continued | |||||||
| 97,756 | Teradyne, Inc.a | $ | 1,332,414 | |||||
| 21,030 | Texas Instruments, Inc. | 612,183 | ||||||
| 54,588 | TIBCO Software, Inc.a | 1,305,199 | ||||||
| 11,184 | ValueClick, Inc.a | 182,187 | ||||||
| 48,146 | VeriFone Systems, Inc.a | 1,710,146 | ||||||
| 11,209 | VMware, Inc.a | 932,477 | ||||||
| 45,184 | Xilinx, Inc. | 1,448,599 | ||||||
|
| |||||||
| Total Information Technology | 47,418,708 | |||||||
|
| |||||||
| Materials (1.3%) | |||||||
| 4,388 | Albemarle Corporation | 226,026 | ||||||
| 2,100 | Amcor, Ltd. | 15,459 | ||||||
| 1,600 | Bayer AG | 102,175 | ||||||
| 4,500 | BHP Billiton plc | 131,563 | ||||||
| 2,300 | BHP Billiton, Ltd. | 81,187 | ||||||
| 15,318 | Celanese Corporation | 678,128 | ||||||
| 8,139 | E.I. du Pont de Nemours and Company | 372,603 | ||||||
| 4,916 | FMC Corporation | 422,973 | ||||||
| 56,521 | Freeport-McMoRan Copper & Gold, Inc. | 2,079,408 | ||||||
| 2,500 | Metso Corporation | 92,326 | ||||||
| 7,024 | Newmont Mining Corporation | 421,510 | ||||||
| 16,841 | Pan American Silver Corporation | 367,302 | ||||||
| 1,242 | Rio Tinto plc | 60,669 | ||||||
| 3,884 | Sigma-Aldrich Corporation | 242,595 | ||||||
| 6,266 | Silgan Holdings, Inc. | 242,118 | ||||||
| 12,553 | Silver Wheaton Corporation | 363,535 | ||||||
| 17,970 | Steel Dynamics, Inc. | 236,306 | ||||||
| 100 | Syngenta AGa | 29,385 | ||||||
| 800 | Wacker Chemie AG | 64,256 | ||||||
| 16,786 | Walter Energy, Inc. | 1,016,560 | ||||||
| 1,224 | Yara International ASA | 48,861 | ||||||
|
| |||||||
| Total Materials | 7,294,945 | |||||||
|
| |||||||
| Telecommunications Services (0.4%) |
| ||||||
| 2,000 | Deutsche Telekom AG | 22,940 | ||||||
| 9,097 | Inmarsat plc | 56,972 | ||||||
| 2,600 | Koninklijke (Royal) KPN NV | 31,034 | ||||||
| 1,800 | Nippon Telegraph & Telephone Corporation | 91,638 | ||||||
| 39 | NTT DoCoMo, Inc. | 71,605 | ||||||
| 7,476 | SBA Communications Corporationa | 321,169 | ||||||
| 8,100 | Telekom Austria AG | 96,896 | ||||||
| 3,343 | Telenor ASA | 54,704 | ||||||
| 23,400 | Telstra Corporation, Ltd. | 79,584 | ||||||
| 34,275 | TW Telecom, Inc.a | 664,250 | ||||||
| 22,668 | Verizon Communications, Inc. | 909,440 | ||||||
|
| |||||||
| Total Telecommunications Services | 2,400,232 | |||||||
|
| |||||||
| Utilities (0.8%) |
| ||||||
| 12,100 | CMS Energy Corporation | 267,168 | ||||||
| 8,500 | Electricidade de Portugal SA | 26,249 | ||||||
| 15,810 | Exelon Corporation | 685,680 | ||||||
| 3,500 | Hokuriku Electric Power Company | 65,365 | ||||||
| 22,640 | NiSource, Inc. | 539,058 | ||||||
| 16,388 | NV Energy, Inc. | 267,944 | ||||||
| 52,000 | PNM Resources, Inc. | 947,960 | ||||||
| 2,600 | Shikoku Electric Power Company | 74,588 | ||||||
| 23,478 | Southwest Gas Corporation | 997,580 | ||||||
| 7,000 | The Kansai Electric Power Company, Inc. | 107,528 | ||||||
| 3,700 | Tohoku Electric Power Company, Inc. | 35,548 | ||||||
| 13,000 | Tokyo Electric Power Company, Inc.a | 31,198 | ||||||
| 7,575 | UGI Corporation | 222,705 | ||||||
|
| |||||||
| Total Utilities | 4,268,571 | |||||||
|
| |||||||
Total Common Stock (cost $212,025,375) | 214,362,194 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (8.3%) | |||||||
| Asset-Backed Securities (0.2%) | |||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| $1,000,000 | 5.461%, 10/25/2036 | 764,165 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 650,000 | 6.011%, 5/25/2036 | 254,542 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 1,018,707 | |||||||
|
| |||||||
| Basic Materials (0.1%) | |||||||
| ArcelorMittal | ||||||||
| 100,000 | 7.000%, 10/15/2039 | 92,931 | ||||||
| Arch Coal, Inc. | ||||||||
| 140,000 | 7.000%, 6/15/2019b | 142,800 | ||||||
| Dow Chemical Company | ||||||||
| 100,000 | 4.250%, 11/15/2020 | 103,944 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 130,000 | 7.000%, 11/1/2015b | 131,300 | ||||||
| Novelis, Inc. | ||||||||
| 140,000 | 8.375%, 12/15/2017 | 148,750 | ||||||
|
| |||||||
| Total Basic Materials | 619,725 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
| Bombardier, Inc. | ||||||||
| 140,000 | 7.750%, 3/15/2020b | 152,600 | ||||||
| Case New Holland, Inc. | ||||||||
| 120,000 | 7.875%, 12/1/2017 | 135,600 | ||||||
| Danaher Corporation | ||||||||
| 40,000 | 0.817%, 6/21/2013c | 40,058 | ||||||
|
| |||||||
| Total Capital Goods | 328,258 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (<0.1%) |
| ||||||
| Sequoia Mortgage Trust | ||||||||
| 149,017 | 5.352%, 9/20/2046 | 45,091 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 107,669 | 5.836%, 9/25/2036 | 72,254 | ||||||
| 158,919 | 5.933%, 10/25/2036 | 108,784 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 226,129 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.1%) |
| ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 250,000 | 5.509%, 9/15/2039 | 233,925 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Principal Amount | Long-Term Fixed Income (8.3%) | Value | ||||||
| Commercial Mortgage-Backed Securities (0.1%) - continued | ||||||||
Government National Mortgage Association | ||||||||
| $180,079 | 2.164%, 3/16/2033 | $ | 182,545 | |||||
| 160,336 | 3.214%, 1/16/2040 | 166,969 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 583,439 | |||||||
|
| |||||||
| Communications Services (0.3%) | ||||||||
Cablevision Systems Corporation | ||||||||
| 140,000 | 8.625%, 9/15/2017 | 155,050 | ||||||
CBS Corporation | ||||||||
| 50,000 | 7.875%, 7/30/2030 | 63,610 | ||||||
| 50,000 | 5.900%, 10/15/2040 | 56,129 | ||||||
CCO Holdings, LLC | ||||||||
| 130,000 | 7.000%, 1/15/2019 | 135,525 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 140,000 | 9.250%, 12/15/2017 | 151,200 | ||||||
Cox Communications, Inc. | ||||||||
| 100,000 | 6.950%, 6/1/2038b | 114,192 | ||||||
EH Holding Corporation | ||||||||
| 140,000 | 6.500%, 6/15/2019b | 145,950 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 140,000 | 7.250%, 4/1/2019b | 142,100 | ||||||
NII Capital Corporation | ||||||||
| 90,000 | 7.625%, 4/1/2021 | 89,325 | ||||||
Sprint Nextel Corporation | ||||||||
| 130,000 | 9.000%, 11/15/2018b | 136,500 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 140,000 | 7.250%, 11/15/2021b | 141,750 | ||||||
|
| |||||||
| Total Communications Services | 1,331,331 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
Chrysler Group, LLC | ||||||||
| 200,000 | 8.000%, 6/15/2019b | 183,000 | ||||||
Home Depot, Inc. | ||||||||
| 100,000 | 5.875%, 12/16/2036 | 125,488 | ||||||
Lennar Corporation | ||||||||
| 140,000 | 12.250%, 6/1/2017 | 166,600 | ||||||
MGM Resorts International | ||||||||
| 110,000 | 11.125%, 11/15/2017 | 125,400 | ||||||
Rite Aid Corporation | ||||||||
| 140,000 | 7.500%, 3/1/2017 | 139,825 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 130,000 | 6.750%, 5/15/2018 | 146,900 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 140,000 | 8.500%, 12/1/2017 | 144,900 | ||||||
West Corporation | ||||||||
| 80,000 | 7.875%, 1/15/2019 | 79,400 | ||||||
WMG Acquisition Corporation | ||||||||
| 140,000 | 11.500%, 10/1/2018b | 138,950 | ||||||
|
| |||||||
| Total Consumer Cyclical | 1,250,463 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | ||||||||
Altria Group, Inc. | ||||||||
| 100,000 | 9.950%, 11/10/2038 | 152,098 | ||||||
Anheuser-Busch Companies, Inc. | ||||||||
| 50,000 | 6.450%, 9/1/2037 | 66,947 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 70,000 | 0.761%, 7/14/2014c | 69,663 | ||||||
| 50,000 | 8.200%, 1/15/2039 | 78,829 | ||||||
Community Health Systems, Inc. | ||||||||
| 134,000 | 8.875%, 7/15/2015 | 138,355 | ||||||
HCA, Inc. | ||||||||
| 120,000 | 7.500%, 2/15/2022 | 122,700 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 120,000 | 11.625%, 5/1/2014 | 136,050 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc. | ||||||||
| 130,000 | 10.500%, 11/1/2018b | 127,400 | ||||||
Kraft Foods, Inc. | ||||||||
| 50,000 | 5.375%, 2/10/2020 | 57,693 | ||||||
| 50,000 | 7.000%, 8/11/2037 | 66,797 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 130,000 | 6.875%, 2/15/2021b | 129,350 | ||||||
Tenet Healthcare Corporation | ||||||||
| 130,000 | 8.875%, 7/1/2019 | 145,925 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 50,000 | 6.875%, 2/15/2038 | 67,053 | ||||||
| 50,000 | 5.700%, 10/15/2040 | 59,863 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 140,000 | 6.875%, 12/1/2018b | 139,650 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 1,558,373 | |||||||
|
| |||||||
| Energy (0.1%) | ||||||||
Chesapeake Energy Corporation | ||||||||
| 100,000 | 9.500%, 2/15/2015 | 114,500 | ||||||
Denbury Resources, Inc. | ||||||||
| 110,000 | 6.375%, 8/15/2021 | 114,950 | ||||||
Harvest Operations Corporation | ||||||||
| 140,000 | 6.875%, 10/1/2017b | 144,900 | ||||||
Linn Energy, LLC | ||||||||
| 130,000 | 7.750%, 2/1/2021 | 135,200 | ||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 140,000 | 6.500%, 8/15/2021 | 145,775 | ||||||
Weatherford International, Ltd. | ||||||||
| 100,000 | 6.750%, 9/15/2040 | 113,438 | ||||||
|
| |||||||
| Total Energy | 768,763 | |||||||
|
| |||||||
| Financials (0.5%) | ||||||||
Achmea Hypotheekbank NV | ||||||||
| 205,000 | 3.200%, 11/3/2014b | 215,137 | ||||||
Ally Financial, Inc. | ||||||||
| 140,000 | 8.000%, 3/15/2020 | 143,500 | ||||||
AXA SA | ||||||||
| 100,000 | 6.379%, 12/29/2049b,d | 65,000 | ||||||
Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013b | 227,605 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 50,000 | 5.919%, 12/29/2049d | 33,102 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (8.3%) | Value | ||||||
| Financials (0.5%) - continued | ||||||||
Canadian Imperial Bank of Commerce | ||||||||
| $205,000 | 2.600%, 7/2/2015b | $ | 212,021 | |||||
Cie de Financement Foncier | ||||||||
| 225,000 | 2.250%, 3/7/2014b | 221,173 | ||||||
CIT Group, Inc. | ||||||||
| 140,000 | 7.000%, 5/1/2017 | 140,000 | ||||||
Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014b | 204,455 | ||||||
General Electric Capital Corporation | ||||||||
| 100,000 | 6.750%, 3/15/2032 | 117,094 | ||||||
HCP, Inc. | ||||||||
| 100,000 | 6.750%, 2/1/2041 | 113,051 | ||||||
Health Care REIT, Inc. | ||||||||
| 40,000 | 6.500%, 3/15/2041 | 40,078 | ||||||
Icahn Enterprises, LP | ||||||||
| 70,000 | 8.000%, 1/15/2018 | 72,800 | ||||||
International Bank for Reconstruction & Development | ||||||||
| 210,000 | 2.375%, 5/26/2015 | 221,549 | ||||||
International Lease Finance Corporation | ||||||||
| 140,000 | 5.750%, 5/15/2016 | 129,856 | ||||||
MetLife Capital Trust IV | ||||||||
| 100,000 | 7.875%, 12/15/2037b | 103,750 | ||||||
Prudential Financial, Inc. | ||||||||
| 100,000 | 6.200%, 11/15/2040 | 104,641 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 50,000 | 6.750%, 12/15/2065 | 43,346 | ||||||
Royal Bank of Canada | ||||||||
| 160,000 | 3.125%, 4/14/2015b | 167,875 | ||||||
Toronto-Dominion Bank | ||||||||
| 205,000 | 2.200%, 7/29/2015b | 209,911 | ||||||
XL Group plc | ||||||||
| 100,000 | 6.250%, 5/15/2027 | 101,333 | ||||||
| 50,000 | 6.500%, 12/29/2049d | 39,125 | ||||||
|
| |||||||
| Total Financials | 2,926,402 | |||||||
|
| |||||||
| Foreign Government (0.1%) | ||||||||
Bank Nederlandse Gemeenten | ||||||||
| 300,000 | 4.375%, 2/16/2021b | 319,773 | ||||||
Kommunalbanken AS | ||||||||
| 225,000 | 2.750%, 5/5/2015b | 233,475 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 55,000 | 0.295%, 6/17/2013c | 54,974 | ||||||
|
| |||||||
| Total Foreign Government | 608,222 | |||||||
|
| |||||||
| Mortgage-Backed Securities (2.4%) | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 3,125,000 | 3.000%, 1/1/2027e | 3,227,050 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 6,875,000 | 4.000%, 1/1/2042e | 7,221,974 | ||||||
| 1,400,000 | 4.500%, 1/1/2042e | 1,489,688 | ||||||
| 1,037,500 | 5.000%, 1/1/2042e | 1,120,825 | ||||||
| $312,500 | 6.000%, 1/1/2042e | 344,092 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 13,403,629 | |||||||
|
| |||||||
| Technology (<0.1%) | ||||||||
Seagate HDD Cayman | ||||||||
| 120,000 | 7.750%, 12/15/2018b | 127,650 | ||||||
|
| |||||||
| Total Technology | 127,650 | |||||||
|
| |||||||
| Transportation (<0.1%) | ||||||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | ||||||||
| 140,000 | 8.250%, 1/15/2019 | 138,950 | ||||||
|
| |||||||
| Total Transportation | 138,950 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.8%) | ||||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 85,000 | Zero Coupon, 1/7/2012b | 84,984 | ||||||
| 85,000 | Zero Coupon, 1/7/2014b | 83,398 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 210,000 | 2.125%, 9/15/2015 | 217,424 | ||||||
Federal Home Loan Banks | ||||||||
| 1,300,000 | 5.000%, 11/17/2017 | 1,560,130 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 1,300,000 | 0.750%, 3/28/2013 | 1,307,244 | ||||||
| 400,000 | 2.500%, 1/7/2014 | 416,438 | ||||||
| 580,000 | 4.875%, 6/13/2018 | 698,854 | ||||||
Federal National Mortgage Association | ||||||||
| 715,000 | 1.250%, 2/27/2014 | 725,337 | ||||||
| 255,000 | 4.375%, 10/15/2015 | 288,147 | ||||||
| 860,000 | 1.375%, 11/15/2016 | 867,596 | ||||||
| 210,000 | 6.250%, 5/15/2029 | 295,652 | ||||||
Tennessee Valley Authority | ||||||||
| 165,000 | 5.250%, 9/15/2039 | 210,624 | ||||||
U.S. Treasury Bonds | ||||||||
| 300,000 | 4.375%, 5/15/2041 | 390,891 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 57,620 | 2.125%, 2/15/2040 | 77,324 | ||||||
U.S. Treasury Notes | ||||||||
| 1,975,000 | 0.750%, 6/15/2014 | 1,996,447 | ||||||
| 2,150,000 | 2.500%, 4/30/2015 | 2,294,454 | ||||||
| 465,000 | 2.000%, 1/31/2016 | 490,575 | ||||||
| 625,000 | 2.625%, 2/29/2016 | 675,586 | ||||||
| 1,500,000 | 3.250%, 3/31/2017 | 1,679,532 | ||||||
| 2,715,000 | 3.125%, 5/15/2021 | 3,031,466 | ||||||
| 420,000 | 7.625%, 2/15/2025 | 679,087 | ||||||
| 550,000 | 4.375%, 5/15/2040 | 714,484 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 267,798 | 3.375%, 1/15/2012 | 267,882 | ||||||
| 361,514 | 2.000%, 1/15/2014 | 382,837 | ||||||
| 260,891 | 1.625%, 1/15/2015 | 281,376 | ||||||
| 308,237 | 0.500%, 4/15/2015 | 322,517 | ||||||
| 241,075 | 0.125%, 4/15/2016 | 251,320 | ||||||
| 327,762 | 2.625%, 7/15/2017 | 390,165 | ||||||
| 258,780 | 1.125%, 1/15/2021 | 288,600 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (8.3%) | Value | ||||||
| U.S. Government and Agencies (3.8%) - continued | ||||||||
| $ 66,070 | 2.375%, 1/15/2025 | $ | 84,002 | |||||
|
| |||||||
| Total U.S. Government and Agencies | 21,054,373 | |||||||
|
| |||||||
| Utilities (0.1%) | ||||||||
AES Corporation | ||||||||
| 120,000 | 7.375%, 7/1/2021b | 129,300 | ||||||
Dominion Resources, Inc. | ||||||||
| 50,000 | 2.879%, 9/30/2066c | 42,019 | ||||||
Energy Transfer Partners, LP | ||||||||
| 28,000 | 6.625%, 10/15/2036 | 29,442 | ||||||
| 50,000 | 7.500%, 7/1/2038 | 57,086 | ||||||
Southern Union Company | ||||||||
| 100,000 | 3.447%, 11/1/2066c | 93,250 | ||||||
|
| |||||||
| Total Utilities | 351,097 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $44,384,163) | 46,295,511 | |||||||
|
| |||||||
Short-Term Investments (3.0%)f | ||||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 5,000,000 | 0.010%, 2/17/2012g | 4,999,935 | ||||||
| 3,000,000 | 0.032%, 2/22/2012g | 2,999,861 | ||||||
| 5,000,000 | 0.015%, 3/2/2012g | 4,999,915 | ||||||
| 3,508,000 | 0.015%, 3/7/2012g | 3,507,904 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 100,000 | 0.105%, 2/22/2012g,h | 99,985 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 16,607,600 | |||||||
|
| |||||||
Total Investments (cost $610,639,824) 99.1% | $ | 555,247,996 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.9% | 5,306,324 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 560,554,320 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $4,575,949 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 December 31, 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 | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| g | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| h | At December 31, 2011, $99,985 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 | $ | 17,939,923 | ||
Gross unrealized depreciation | (74,359,877 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (56,419,954 | ) | |
Cost for federal income tax purposes | $ | 611,667,950 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 266,280,422 | 266,280,422 | — | — | ||||||||||||
Fixed Income Mutual Funds | 11,702,269 | 11,702,269 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 27,220,144 | 26,183,922 | 1,036,222 | — | ||||||||||||
Consumer Staples | 18,472,707 | 18,004,031 | 468,676 | — | ||||||||||||
Energy | 21,949,239 | 20,764,647 | 1,184,592 | — | ||||||||||||
Financials | 33,220,518 | 31,689,536 | 1,530,982 | — | ||||||||||||
Health Care | 25,196,757 | 24,869,661 | 327,096 | — | ||||||||||||
Industrials | 26,920,373 | 26,153,747 | 766,626 | — | ||||||||||||
Information Technology | 47,418,708 | 47,248,443 | 170,265 | — | ||||||||||||
Materials | 7,294,945 | 6,669,064 | 625,881 | — | ||||||||||||
Telecommunications Services | 2,400,232 | 1,894,859 | 505,373 | — | ||||||||||||
Utilities | 4,268,571 | 3,928,095 | 340,476 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 1,018,707 | — | 1,018,707 | — | ||||||||||||
Basic Materials | 619,725 | — | 619,725 | — | ||||||||||||
Capital Goods | 328,258 | — | 328,258 | — | ||||||||||||
Collateralized Mortgage Obligations | 226,129 | — | 226,129 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 583,439 | — | 583,439 | — | ||||||||||||
Communications Services | 1,331,331 | — | 1,331,331 | — | ||||||||||||
Consumer Cyclical | 1,250,463 | — | 1,250,463 | — | ||||||||||||
Consumer Non-Cyclical | 1,558,373 | — | 1,558,373 | — | ||||||||||||
Energy | 768,763 | — | 768,763 | — | ||||||||||||
Financials | 2,926,402 | — | 2,926,402 | — | ||||||||||||
Foreign Government | 608,222 | — | 608,222 | — | ||||||||||||
Mortgage-Backed Securities | 13,403,629 | — | 13,403,629 | — | ||||||||||||
Technology | 127,650 | — | 127,650 | — | ||||||||||||
Transportation | 138,950 | — | 138,950 | — | ||||||||||||
U.S. Government and Agencies | 21,054,373 | — | 21,054,373 | — | ||||||||||||
Utilities | 351,097 | — | 351,097 | — | ||||||||||||
Short-Term Investments | 16,607,600 | — | 16,607,600 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 555,247,996 | $ | 485,388,696 | $ | 69,859,300 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 2,226,640 | 2,226,640 | — | — | ||||||||||||
Credit Default Swaps | 3,247 | — | 3,247 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 2,229,887 | $ | 2,226,640 | $ | 3,247 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,402,521 | 1,402,521 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,402,521 | $ | 1,402,521 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Number of | Notional | |||||||||||||||||||
| Contracts | Expiration | Principal | Unrealized | |||||||||||||||||
Futures Contracts | Long/(Short) | Date | Amount | Value | Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Note Futures | (15 | ) | March 2012 | ($3,306,986 | ) | ($3,308,204 | ) | ($1,218 | ) | |||||||||||
10-Yr. U.S. Treasury Note Futures | (20 | ) | March 2012 | (2,581,033 | ) | (2,622,500 | ) | (41,467 | ) | |||||||||||
Russell 2000 Index Mini-Futures | (783 | ) | March 2012 | (57,131,125 | ) | (57,848,040 | ) | (716,915 | ) | |||||||||||
S&P 400 Index Mini-Futures | (698 | ) | March 2012 | (60,592,619 | ) | (61,235,540 | ) | (642,921 | ) | |||||||||||
S&P 500 Index Futures | 382 | March 2012 | 117,396,660 | 119,623,300 | 2,226,640 | |||||||||||||||
Total Futures Contracts | $ | 824,119 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; Bank of America | Sell | 12/20/2016 | $ | 735,000 | $ | 54,888 | ($ | 51,641 | ) | $ | 3,247 | |||||||||||||
Total Credit Default Swaps | ($ | 51,641 | ) | $ | 3,247 | |||||||||||||||||||
| 1 | As the buyer of protection, Aggressive Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Aggressive Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Aggressive Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 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. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity's credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity's credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,226,640 | ||||
Total Equity Contracts | 2,226,640 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 3,247 | ||||
Total Credit Contracts | 3,247 | |||||
|
| |||||
Total Asset Derivatives | $ | 2,229,887 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 42,685 | ||||
Total Interest Rate Contracts | 42,685 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,359,836 | ||||
Total Equity Contracts | 1,359,836 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,402,521 | ||||
|
| |||||
| * | 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.
100
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 6,321,977 | ||||
Total Equity Contracts | 6,321,977 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (83,755 | ) | |||
Total Foreign Exchange Contracts | (83,755 | ) | ||||
Interest Rate Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 813 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (646,738 | ) | |||
Total Interest Rate Contracts | (645,925 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 127,472 | ||||
Total Credit Contracts | 127,472 | |||||
|
| |||||
Total | $ | 5,719,769 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (42,685 | ) | |||
Total Interest Rate Contracts | (42,685 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 889,648 | ||||
Total Equity Contracts | 889,648 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 3,247 | ||||
Total Credit Contracts | 3,247 | |||||
|
| |||||
Total | $ | 850,210 | ||||
|
| |||||
The following table presents Aggressive Allocation Portfolio's average volume of derivative activity during the period ended December 31, 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 | $ | 199,006,533 | 33.9 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 8,483,396 | 1.4 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 374,914 | 0.1 | N/A | N/A | |||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 1,672,504 | 0.3 | % | ||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 11,741,196 | $ | — | $ | 11,301,247 | — | $ | — | $ | — | |||||||||||||
Partner Small Cap Growth | 45,198,556 | — | — | 3,498,692 | 43,458,307 | — | ||||||||||||||||||
Partner Small Cap Value | 14,685,240 | 31,505 | — | 771,998 | 14,393,204 | 31,505 | ||||||||||||||||||
Small Cap Stock | 24,387,985 | — | 3,000,000 | 1,708,411 | 20,485,040 | — | ||||||||||||||||||
Mid Cap Growth II | 44,227,632 | 1,649,320 | 44,150,963 | — | — | 45,644 | ||||||||||||||||||
Partner Mid Cap Value | 20,855,810 | 45,216 | — | 1,561,519 | 19,535,065 | 45,216 | ||||||||||||||||||
Mid Cap Stock | 33,298,998 | 13,942 | 3,000,000 | 2,495,827 | 28,649,596 | 13,942 | ||||||||||||||||||
Partner Worldwide Allocation | 24,071,806 | 2,942,371 | — | 3,091,020 | 22,849,130 | 513,781 | ||||||||||||||||||
Partner International Stock | 76,818,979 | 25,405 | 8,000,000 | 6,481,456 | 59,536,061 | 25,405 | ||||||||||||||||||
Large Cap Growth II | 25,486,458 | 516,745 | 23,260,509 | — | — | 36,418 | ||||||||||||||||||
Large Cap Value | 28,774,412 | 6,474 | — | 2,683,031 | 27,887,419 | 6,474 | ||||||||||||||||||
Large Cap Stock | 29,249,553 | 3,457 | 3,000,000 | 3,058,684 | 24,807,764 | 3,457 | ||||||||||||||||||
Equity Income Plus | 4,796,661 | 13,438 | — | 530,968 | 4,678,836 | 13,438 | ||||||||||||||||||
High Yield | 6,259,496 | 931,947 | 1,347,763 | 1,216,126 | 5,669,944 | 455,661 | ||||||||||||||||||
Income | — | 6,011,026 | — | 598,089 | 6,032,325 | 11,008 | ||||||||||||||||||
Total Value and Income Earned | 389,852,782 | 277,982,691 | 1,201,949 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Mutual Funds (57.0%) | Value | ||||||
| Equity Mutual Funds (42.2%) | |||||||
| 5,056,075 | Thrivent Partner Small Cap Growth Portfolioa | $ | 62,803,020 | |||||
| 3,436,858 | Thrivent Partner Small Cap Value Portfolio | 64,077,118 | ||||||
| 4,528,335 | Thrivent Small Cap Stock Portfolioa | 54,297,906 | ||||||
| 6,158,169 | Thrivent Partner Mid Cap Value Portfolio | 77,040,544 | ||||||
| 14,071,209 | Thrivent Mid Cap Stock Portfolio | 161,523,408 | ||||||
| 18,437,323 | Thrivent Partner Worldwide Allocation Portfolio | 136,290,534 | ||||||
| 19,477,076 | Thrivent Partner International Stock Portfolio | 178,908,630 | ||||||
| 18,430,656 | Thrivent Large Cap Value Portfolio | 191,568,241 | ||||||
| 21,658,100 | Thrivent Large Cap Stock Portfolio | 175,660,184 | ||||||
| 2,223,952 | Thrivent Equity Income Plus Portfolio | 19,597,241 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 1,121,766,826 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (14.8%) | |||||||
| 22,545,368 | Thrivent High Yield Portfolio | 105,113,270 | ||||||
| 18,204,967 | Thrivent Income Portfolio | 183,615,301 | ||||||
| 10,810,810 | Thrivent Limited Maturity Bond Portfolio | 104,562,151 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 393,290,722 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,714,659,265) | 1,515,057,548 | |||||||
|
| |||||||
Common Stock (25.2%) | ||||||||
| Consumer Discretionary (2.9%) | |||||||
| 11,871 | Abercrombie & Fitch Company | 579,780 | ||||||
| 52,492 | Amazon.com, Inc.a | 9,086,365 | ||||||
| 14,334 | Autoliv, Inc. | 766,726 | ||||||
| 1,800 | Bayerische Motoren Werke AG | 84,978 | ||||||
| 5,500 | Benesse Holdings, Inc. | 265,880 | ||||||
| 51,100 | Big Lots, Inc.a | 1,929,536 | ||||||
| 23,378 | British Sky Broadcasting Group plc | 265,984 | ||||||
| 26,070 | Buffalo Wild Wings, Inc.a | 1,759,986 | ||||||
| 12,430 | CBS Corporation | 337,350 | ||||||
| 13,600 | Charter Communications, Inc.a | 774,384 | ||||||
| 99,300 | Coach, Inc. | 6,061,272 | ||||||
| 265,436 | Comcast Corporation | 6,293,488 | ||||||
| 92,000 | ComfortDelGro Corporation, Ltd | 100,376 | ||||||
| 5,000 | Daihatsu Motor Company, Ltd. | 88,914 | ||||||
| 2,800 | Daito Trust Construction Company, Ltd. | 239,755 | ||||||
| 10,974 | Darden Restaurants, Inc. | 500,195 | ||||||
| 108,911 | Discovery Communications, Inc.a | 4,462,084 | ||||||
| 32,888 | Dollar Tree, Inc.a | 2,733,322 | ||||||
| 4,700 | FamilyMart Company, Ltd. | 189,800 | ||||||
| 46,600 | Fiat SPA | 212,670 | ||||||
| 89,688 | Foot Locker, Inc. | 2,138,162 | ||||||
| 3,290 | Gaylord Entertainment Companya | 79,421 | ||||||
| 12,679 | Gentex Corporation | 375,172 | ||||||
| 16,050 | Harley-Davidson, Inc. | 623,863 | ||||||
| 155,800 | Home Depot, Inc. | 6,549,832 | ||||||
| 4,700 | Kabel Deutschland Holding AGa | 238,252 | ||||||
| 145,677 | Las Vegas Sands Corporationa | 6,224,778 | ||||||
| 4,500 | Lawson, Inc. | 280,374 | ||||||
| 39,300 | Life Time Fitness, Inc.a | 1,837,275 | ||||||
| 29,849 | Limited Brands, Inc. | 1,204,407 | ||||||
| 31,892 | Macy’s, Inc. | 1,026,285 | ||||||
| 4,911 | Marriott International, Inc. | 143,254 | ||||||
| 491 | Marriott Vacations Worldwide Corporationa | 8,426 | ||||||
| 31,700 | McDonald's Corporation | 3,180,461 | ||||||
| 64,150 | News Corporation | 1,166,247 | ||||||
| 25,490 | Omnicom Group, Inc. | 1,136,344 | ||||||
| 12,613 | O’Reilly Automotive, Inc.a | 1,008,409 | ||||||
| 5,218 | Panera Bread Companya | 738,086 | ||||||
| 21,180 | PetSmart, Inc. | 1,086,322 | ||||||
| 180,388 | Pier 1 Imports, Inc.a | 2,512,805 | ||||||
| 3,300 | Sankyo Company, Ltd. | 166,839 | ||||||
| 11,100 | SES Global SA | 265,900 | ||||||
| 37,175 | Signet Jewelers, Ltd. | 1,634,213 | ||||||
| 8,825 | Starwood Hotels & Resorts Worldwide, Inc. | 423,335 | ||||||
| 23,050 | Target Corporation | 1,180,621 | ||||||
| 10,020 | Time Warner Cable, Inc. | 636,971 | ||||||
| 13,280 | Tractor Supply Company | 931,592 | ||||||
| 5,000 | United Internet AG | 89,120 | ||||||
| 2,400 | USS Company, Ltd. | 216,908 | ||||||
| 5,338 | VF Corporation | 677,873 | ||||||
| 37,911 | Williams-Sonoma, Inc. | 1,459,573 | ||||||
| 29,853 | WMS Industries, Inc.a | 612,584 | ||||||
| 2,050 | Wyndham Worldwide Corporation | 77,551 | ||||||
|
| |||||||
| Total Consumer Discretionary | 76,664,100 | |||||||
|
| |||||||
| Consumer Staples (2.4%) | |||||||
| 240,268 | Altria Group, Inc. | 7,123,946 | ||||||
| 105,535 | Anheuser-Busch InBev NV ADR | 6,436,580 | ||||||
| 14,300 | Autogrill SPA | 138,999 | ||||||
| 5,000 | British American Tobacco plc | 237,207 | ||||||
| 77,063 | British American Tobacco plc ADR | 7,311,738 | ||||||
| 8,839 | Clorox Company | 588,324 | ||||||
| 125,390 | Coca-Cola Company | 8,773,538 | ||||||
| 119,000 | ConAgra Foods, Inc. | 3,141,600 | ||||||
| 75,003 | Corn Products International, Inc. | 3,944,408 | ||||||
| 16,140 | CVS Caremark Corporation | 658,189 | ||||||
| 16,420 | Diageo plc ADR | 1,435,436 | ||||||
| 6,400 | Imperial Tobacco Group plc | 242,184 | ||||||
| 6,700 | Kao Corporation | 182,816 | ||||||
| 22,000 | Koninklijke (Royal) Ahold NV | 295,672 | ||||||
| 45,390 | Kraft Foods, Inc. | 1,695,770 | ||||||
| 2,100 | Nestle SA | 120,589 | ||||||
| 102,895 | Philip Morris International, Inc. | 8,075,200 | ||||||
| 35,555 | TreeHouse Foods, Inc.a | 2,324,586 | ||||||
| 178,020 | Wal-Mart Stores, Inc. | 10,638,475 | ||||||
| 17,948 | Whole Foods Market, Inc. | 1,248,822 | ||||||
|
| |||||||
| Total Consumer Staples | 64,614,079 | |||||||
|
| |||||||
| Energy (2.4%) | |||||||
| 52,943 | Alpha Natural Resources, Inc.a | 1,081,626 | ||||||
| 69,598 | Apache Corporation | 6,304,187 | ||||||
| 84,273 | Arch Coal, Inc. | 1,222,801 | ||||||
| 82,726 | Baker Hughes, Inc. | 4,023,793 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (25.2%) | Value | ||||||
| Energy (2.4%) - continued | |||||||
| 7,600 | Cameron International Corporationa | $ | 373,844 | |||||
| 18,430 | Chevron Corporation | 1,960,952 | ||||||
| 8,060 | Concho Resources, Inc.a | 755,625 | ||||||
| 26,870 | ConocoPhillips | 1,958,017 | ||||||
| 10,400 | Eni SPA | 214,408 | ||||||
| 185,207 | ENSCO International plc ADR | 8,689,912 | ||||||
| 13,770 | EOG Resources, Inc. | 1,356,483 | ||||||
| 60,200 | Exxon Mobil Corporation | 5,102,552 | ||||||
| 118,984 | Helix Energy Solutions Group, Inc.a | 1,879,947 | ||||||
| 110,900 | Marathon Oil Corporation | 3,246,043 | ||||||
| 13,638 | National Oilwell Varco, Inc. | 927,248 | ||||||
| 14,200 | Neste Oil OYJ | 142,803 | ||||||
| 12,500 | Newfield Exploration Companya | 471,625 | ||||||
| 6,710 | Occidental Petroleum Corporation | 628,727 | ||||||
| 40,928 | Oil States International, Inc.a | 3,125,671 | ||||||
| 137,260 | Patriot Coal Corporationa | 1,162,592 | ||||||
| 143,321 | Peabody Energy Corporation | 4,745,358 | ||||||
| 130,232 | Petroleum Geo-Services ASAa | 1,419,322 | ||||||
| 5,082 | Range Resources Corporation | 314,779 | ||||||
| 3,066 | Royal Dutch Shell plc, Class A | 112,492 | ||||||
| 11,700 | Royal Dutch Shell plc, Class B | 445,052 | ||||||
| 2,100 | RWE AG | 73,712 | ||||||
| 17,000 | Southwestern Energy Companya | 542,980 | ||||||
| 50,433 | Swift Energy Companya | 1,498,869 | ||||||
| 608,357 | Weatherford International, Ltd.a | 8,906,347 | ||||||
| 8,400 | Woodside Petroleum, Ltd. | 262,947 | ||||||
|
| |||||||
| Total Energy | 62,950,714 | |||||||
|
| |||||||
| Financials (5.1%) | |||||||
| 12,510 | Acadia Realty Trust | 251,951 | ||||||
| 21,110 | ACE, Ltd. | 1,480,233 | ||||||
| 29,173 | Affiliated Managers Group, Inc.a | 2,799,149 | ||||||
| 17,212 | Alexandria Real Estate Equities, Inc. | 1,187,112 | ||||||
| 8,427 | American Assets Trust, Inc. | 172,838 | ||||||
| 20,525 | American Campus Communities, Inc. | 861,229 | ||||||
| 6,913 | American Capital Agency Corporation | 194,117 | ||||||
| 19,500 | Aon Corporation | 912,600 | ||||||
| 29,990 | Apartment Investment & Management Company | 687,071 | ||||||
| 2,253 | Apollo Commercial Real Estate Finance, Inc. | 29,582 | ||||||
| 20,507 | Ashford Hospitality Trust, Inc. | 164,056 | ||||||
| 10,800 | Assicurazioni Generali SPA | 162,110 | ||||||
| 8,701 | Associated Estates Realty Corporation | 138,781 | ||||||
| 8,200 | ASX, Ltd. | 255,962 | ||||||
| 16,000 | Atlantia SPA | 255,364 | ||||||
| 22,800 | AvalonBay Communities, Inc. | 2,977,680 | ||||||
| 62,800 | Banco de Valencia SAa | 49,813 | ||||||
| 32,735 | BioMed Realty Trust, Inc. | 591,849 | ||||||
| 35,992 | Boston Properties, Inc. | 3,584,803 | ||||||
| 33,122 | Brandywine Realty Trust | 314,659 | ||||||
| 16,610 | BRE Properties, Inc. | 838,473 | ||||||
| 3,746 | Brookfield Asset Management, Inc. | 102,940 | ||||||
| 24,149 | Brookfield Office Properties, Inc. | 377,690 | ||||||
| 19,891 | Camden Property Trust | 1,238,016 | ||||||
| 9,273 | Campus Crest Communities, Inc. | 93,286 | ||||||
| 54,212 | CBL & Associates Properties, Inc. | 851,128 | ||||||
| 5,220 | CBRE Group, Inc.a | 79,448 | ||||||
| 4,647 | Chatham Lodging Trust | 50,095 | ||||||
| 8,383 | Chesapeake Lodging Trust | 129,601 | ||||||
| 78,167 | Citigroup, Inc. | 2,056,574 | ||||||
| 9,034 | CME Group, Inc. | 2,201,315 | ||||||
| 9,834 | Cogdell Spencer, Inc. | 41,795 | ||||||
| 2,567 | Cohen & Steers Quality Income Realty Fund, Inc. | 21,742 | ||||||
| 16,461 | Colonial Properties Trust | 343,376 | ||||||
| 4,839 | Colony Financial, Inc. | 76,021 | ||||||
| 7,057 | CommonWealth REIT | 117,428 | ||||||
| 3,767 | Coresite Realty Corporation | 67,128 | ||||||
| 15,902 | Corporate Office Properties Trust | 338,077 | ||||||
| 3,016 | CreXus Investment Corporation | 31,306 | ||||||
| 16,324 | CubeSmart | 173,687 | ||||||
| 50,838 | DCT Industrial Trust, Inc. | 260,291 | ||||||
| 62,734 | DDR Corporation | 763,473 | ||||||
| 44,029 | DiamondRock Hospitality Company | 424,440 | ||||||
| 28,970 | Digital Realty Trust, Inc. | 1,931,430 | ||||||
| 115,959 | Discover Financial Services | 2,783,016 | ||||||
| 33,852 | Douglas Emmett, Inc. | 617,460 | ||||||
| 90,324 | Duke Realty Corporation | 1,088,404 | ||||||
| 15,516 | DuPont Fabros Technology, Inc. | 375,798 | ||||||
| 6,437 | EastGroup Properties, Inc. | 279,881 | ||||||
| 14,041 | Education Realty Trust, Inc. | 143,639 | ||||||
| 15,800 | Endurance Specialty Holdings, Ltd. | 604,350 | ||||||
| 11,332 | Entertainment Properties Trust | 495,322 | ||||||
| 10,850 | Equity Lifestyle Properties, Inc. | 723,587 | ||||||
| 45,350 | Equity One, Inc. | 770,043 | ||||||
| 69,288 | Equity Residential | 3,951,495 | ||||||
| 10,298 | Essex Property Trust, Inc. | 1,446,972 | ||||||
| 5,247 | Excel Trust, Inc. | 62,964 | ||||||
| 3,200 | Experian plc | 43,497 | ||||||
| 25,278 | Extra Space Storage, Inc. | 612,486 | ||||||
| 14,475 | Federal Realty Investment Trust | 1,313,606 | ||||||
| 21,527 | FelCor Lodging Trust, Inc.a | 65,657 | ||||||
| 232,400 | Fifth Third Bancorp | 2,956,128 | ||||||
| 10,632 | First Industrial Realty Trust, Inc.a | 108,765 | ||||||
| 8,303 | First Potomac Realty Trust | 108,354 | ||||||
| 15,481 | Forest City Enterprises, Inc.a | 182,985 | ||||||
| 81,055 | General Growth Properties, Inc. | 1,217,446 | ||||||
| 22,558 | Glimcher Realty Trust | 207,534 | ||||||
| 6,210 | Goldman Sachs Group, Inc. | 561,570 | ||||||
| 6,925 | Government Properties Income Trust | 156,159 | ||||||
| 4,854 | Hannover Rueckversicherung AG | 240,503 | ||||||
| 37,672 | HCC Insurance Holdings, Inc. | 1,035,980 | ||||||
| 77,353 | HCP, Inc. | 3,204,735 | ||||||
| 35,931 | Health Care REIT, Inc. | 1,959,317 | ||||||
| 11,651 | Healthcare Realty Trust, Inc. | 216,592 | ||||||
| 36,307 | Hersha Hospitality Trust | 177,178 | ||||||
| 14,637 | Highwoods Properties, Inc. | 434,280 | ||||||
| 10,364 | Home Properties, Inc. | 596,655 | ||||||
| 16,605 | Hospitality Properties Trust | 381,583 | ||||||
| 216,050 | Host Hotels & Resorts, Inc. | 3,191,059 | ||||||
| 172,600 | Hudson City Bancorp, Inc. | 1,078,750 | ||||||
| 1,679 | Hudson Pacific Properties, Inc. | 23,775 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
104
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (25.2%) | Value | ||||||
| Financials (5.1%) - continued | |||||||
| 10,322 | Inland Real Estate Corporation | $ | 78,550 | |||||
| 9,673 | IntercontinentalExchange, Inc.a | 1,166,080 | ||||||
| 15,508 | Invesco Mortgage Capital, Inc. | 217,887 | ||||||
| 159,919 | J.P. Morgan Chase & Company | 5,317,307 | ||||||
| 2,900 | Julius Baer Group, Ltd.a | 112,962 | ||||||
| 15,534 | Kilroy Realty Corporation | 591,379 | ||||||
| 79,176 | Kimco Realty Corporation | 1,285,818 | ||||||
| 12,800 | Kinnevik Investment AB | 248,785 | ||||||
| 14,327 | Kite Realty Group Trust | 64,615 | ||||||
| 58,790 | KKR & Company, LP | 754,276 | ||||||
| 18,389 | LaSalle Hotel Properties | 445,198 | ||||||
| 19,350 | Lazard, Ltd. | 505,229 | ||||||
| 13,101 | Lexington Realty Trust | 98,126 | ||||||
| 24,362 | Liberty Property Trust | 752,299 | ||||||
| 3,700 | London Stock Exchange Group plc | 45,505 | ||||||
| 3,337 | LTC Properties, Inc. | 102,980 | ||||||
| 13,200 | M&T Bank Corporation | 1,007,688 | ||||||
| 32,217 | Macerich Company | 1,630,180 | ||||||
| 18,887 | Mack-Cali Realty Corporation | 504,094 | ||||||
| 14,489 | Medical Properties Trust, Inc. | 143,006 | ||||||
| 7,488 | Mid-America Apartment Communities, Inc. | 468,374 | ||||||
| 3,697 | MSCI, Inc.a | 121,742 | ||||||
| 2,300 | Muenchener Rueckversicherungs - Gesellschaft AG | 281,829 | ||||||
| 28,500 | NASDAQ OMX Group, Inc.a | 698,535 | ||||||
| 18,356 | National Retail Properties, Inc. | 484,231 | ||||||
| 15,600 | Northern Trust Corporation | 618,696 | ||||||
| 134,705 | Ocwen Financial Corporationa | 1,950,528 | ||||||
| 17,808 | Omega Healthcare Investors, Inc. | 344,585 | ||||||
| 1,400 | Pargesa Holding SA | 91,450 | ||||||
| 200 | Partners Group Holding AG | 34,842 | ||||||
| 10,155 | Pebblebrook Hotel Trust | 194,773 | ||||||
| 4,124 | Pennsylvania Real Estate Investment Trust | 43,055 | ||||||
| 5,197 | Piedmont Office Realty Trust, Inc. | 88,557 | ||||||
| 5,199 | Plum Creek Timber Company, Inc. | 190,075 | ||||||
| 939,366 | Popular, Inc.a | 1,305,719 | ||||||
| 10,102 | Post Properties, Inc. | 441,659 | ||||||
| 25,542 | Principal Financial Group, Inc. | 628,333 | ||||||
| 24,550 | Progressive Corporation | 478,971 | ||||||
| 99,466 | Prologis, Inc. | 2,843,733 | ||||||
| 28,002 | Prudential plc | 277,063 | ||||||
| 3,933 | PS Business Parks, Inc. | 218,006 | ||||||
| 32,453 | Public Storage, Inc. | 4,363,630 | ||||||
| 9,961 | Ramco-Gershenson Properties Trust | 97,917 | ||||||
| 7,831 | Rayonier, Inc. REIT | 349,498 | ||||||
| 6,180 | Realty Income Corporation | 216,053 | ||||||
| 26,414 | Regency Centers Corporation | 993,695 | ||||||
| 66,340 | Resolution, Ltd. | 258,612 | ||||||
| 4,196 | Retail Opportunity Investments Corporation | 49,681 | ||||||
| 6,150 | RLJ Lodging Trust | 103,505 | ||||||
| 4,323 | Sabra Healthcare REIT, Inc. | 52,265 | ||||||
| 1,596 | Saul Centers, Inc. | 56,530 | ||||||
| 34,008 | Senior Housing Property Trust | 763,140 | ||||||
| 71,992 | Simon Property Group, Inc. | 9,282,648 | ||||||
| 53,000 | Singapore Exchange, Ltd. | 250,503 | ||||||
| 20,954 | SL Green Realty Corporation | 1,396,375 | ||||||
| 2,312 | Sovran Self Storage, Inc. | 98,653 | ||||||
| 3,059 | Starwood Property Trust, Inc. | 56,622 | ||||||
| 23,250 | State Street Corporation | 937,208 | ||||||
| 76,300 | Stockland | 249,253 | ||||||
| 19,162 | Strategic Hotel Capital, Inc.a | 102,900 | ||||||
| 10,200 | Sumitomo Mitsui Financial Group, Inc. | 282,874 | ||||||
| 8,551 | Summit Hotel Properties, Inc. | 80,721 | ||||||
| 1,430 | Sun Communities, Inc. | 52,238 | ||||||
| 25,579 | Sunstone Hotel Investors, Inc.a | 208,469 | ||||||
| 14,790 | SVB Financial Groupa | 705,335 | ||||||
| 10,400 | Svenska Handelsbanken AB | 272,536 | ||||||
| 23,780 | Tanger Factory Outlet Centers, Inc. | 697,230 | ||||||
| 13,839 | Taubman Centers, Inc. | 859,402 | ||||||
| 32,795 | TD Ameritrade Holding Corporation | 513,242 | ||||||
| 71,496 | Texas Capital Bancshares, Inc.a | 2,188,493 | ||||||
| 2,300 | Tryg A/S | 127,406 | ||||||
| 38,429 | Two Harbors Investment Corporation | 355,084 | ||||||
| 18,650 | U.S. Bancorp | 504,482 | ||||||
| 39,104 | UDR, Inc. | 981,510 | ||||||
| 22,000 | United Overseas Land, Ltd. | 67,764 | ||||||
| 56,760 | Unum Group | 1,195,933 | ||||||
| 8,280 | Vanguard REIT ETF | 480,240 | ||||||
| 57,033 | Ventas, Inc. | 3,144,229 | ||||||
| 40,115 | Vornado Realty Trust | 3,083,239 | ||||||
| 36,096 | W.R. Berkley Corporation | 1,241,341 | ||||||
| 7,848 | Washington Real Estate Investment Trust | 214,643 | ||||||
| 22,123 | Weingarten Realty Investors | 482,724 | ||||||
| 216,834 | Wells Fargo & Company | 5,975,945 | ||||||
| 33,500 | Westfield Group | 267,277 | ||||||
| 1,943 | Winthrop Realty Trust | 19,760 | ||||||
| 128,231 | Zions Bancorporation | 2,087,601 | ||||||
| 700 | Zurich Financial Services AGa | 157,715 | ||||||
|
| |||||||
| Total Financials | 135,900,085 | |||||||
|
| |||||||
| Health Care (2.9%) | |||||||
| 19,525 | Alexion Pharmaceuticals, Inc.a | 1,396,037 | ||||||
| 105,000 | Align Technology, Inc.a | 2,491,125 | ||||||
| 24,340 | AmerisourceBergen Corporation | 905,205 | ||||||
| 97,887 | Amgen, Inc. | 6,285,324 | ||||||
| 7,900 | AstraZeneca plc | 364,925 | ||||||
| 110,437 | Baxter International, Inc. | 5,464,423 | ||||||
| 5,800 | BioMarin Pharmaceutical, Inc.a | 199,404 | ||||||
| 92,610 | Bristol-Myers Squibb Company | 3,263,576 | ||||||
| 8,487 | C.R. Bard, Inc. | 725,639 | ||||||
| 18,362 | CIGNA Corporation | 771,204 | ||||||
| 44,130 | Covance, Inc.a | 2,017,624 | ||||||
| 19,198 | Coventry Health Care, Inc.a | 583,043 | ||||||
| 23,330 | Covidien plc | 1,050,083 | ||||||
| 8,500 | CSL, Ltd. | 277,126 | ||||||
| 156,800 | Eli Lilly and Company | 6,516,608 | ||||||
| 60,200 | Gilead Sciences, Inc.a | 2,463,986 | ||||||
| 86,841 | Health Net, Inc.a | 2,641,703 | ||||||
| 16,540 | Johnson & Johnson | 1,084,693 | ||||||
| 70,793 | McKesson Corporation | 5,515,483 | ||||||
| 36,100 | Medtronic, Inc. | 1,380,825 | ||||||
| 42,860 | Merck & Company, Inc. | 1,615,822 | ||||||
| 2,050 | Mettler-Toledo International, Inc.a | 302,805 | ||||||
| 300,394 | Mylan, Inc.a | 6,446,455 | ||||||
| 1,400 | Novartis AG | 79,930 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
105
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (25.2%) | Value | ||||||
| Health Care (2.9%) - continued | |||||||
| 400 | Novo Nordisk AS | $ | 45,953 | |||||
| 7,089 | Onyx Pharmaceuticals, Inc.a | 311,562 | ||||||
| 239,147 | Pfizer, Inc. | 5,175,141 | ||||||
| 77,238 | PSS World Medical, Inc.a | 1,868,387 | ||||||
| 700 | Roche Holding AG | 118,383 | ||||||
| 14,862 | SXC Health Solutions Corporationa | 839,406 | ||||||
| 23,400 | Thoratec Corporationa | 785,304 | ||||||
| 53,867 | United Therapeutics Corporationa | 2,545,216 | ||||||
| 199,728 | UnitedHealth Group, Inc. | 10,122,215 | ||||||
| 8,254 | Varian Medical Systems, Inc.a | 554,091 | ||||||
| 7,200 | Waters Corporationa | 533,160 | ||||||
| 19,344 | Watson Pharmaceuticals, Inc.a | 1,167,217 | ||||||
| 9,123 | Zimmer Holdings, Inc.a | 487,351 | ||||||
|
| |||||||
| Total Health Care | 78,396,434 | |||||||
|
| |||||||
| Industrials (2.7%) | |||||||
| 32,200 | 3M Company | 2,631,706 | ||||||
| 23 | A P Moller - Maersk AS | 151,287 | ||||||
| 16,400 | Abertis Infraestructuras SA | 260,607 | ||||||
| 23,000 | All Nippon Airways Company, Ltd. | 64,267 | ||||||
| 8,813 | AMETEK, Inc. | 371,027 | ||||||
| 32,939 | BE Aerospace, Inc.a | 1,275,069 | ||||||
| 66,481 | Boeing Company | 4,876,381 | ||||||
| 8,200 | Bouygues SA | 257,878 | ||||||
| 25,108 | Caterpillar, Inc. | 2,274,785 | ||||||
| 32 | Central Japan Railway Company | 270,057 | ||||||
| 45,089 | Chicago Bridge and Iron Company | 1,704,364 | ||||||
| 15,100 | Cobham plc | 42,997 | ||||||
| 132,384 | CSX Corporation | 2,788,007 | ||||||
| 19,900 | Cummins, Inc. | 1,751,598 | ||||||
| 73,094 | Deluxe Corporation | 1,663,619 | ||||||
| 3,300 | Deutsche Lufthansa AG | 39,249 | ||||||
| 4,700 | East Japan Railway Company | 299,570 | ||||||
| 2,400 | Eiffage SA | 57,821 | ||||||
| 70,614 | EMCOR Group, Inc. | 1,893,161 | ||||||
| 13,337 | Expeditors International of Washington, Inc. | 546,283 | ||||||
| 6,236 | Flowserve Corporation | 619,360 | ||||||
| 15,200 | Fluor Corporation | 763,800 | ||||||
| 70,591 | FTI Consulting, Inc.a | 2,994,470 | ||||||
| 51,500 | GATX Corporation | 2,248,490 | ||||||
| 120,260 | General Electric Company | 2,153,857 | ||||||
| 57,781 | Honeywell International, Inc. | 3,140,397 | ||||||
| 13,000 | Jacobs Engineering Group, Inc.a | 527,540 | ||||||
| 26,006 | JB Hunt Transport Services, Inc. | 1,172,090 | ||||||
| 19,856 | Kansas City Southerna | 1,350,407 | ||||||
| 2,800 | Koninklijke Boskalis Westminster NV | 102,548 | ||||||
| 26,600 | L-3 Communications Holdings, Inc. | 1,773,688 | ||||||
| 271,504 | Manitowoc Company, Inc. | 2,495,122 | ||||||
| 10,500 | Manpower, Inc. | 375,375 | ||||||
| 30,466 | Oshkosh Corporationa | 651,363 | ||||||
| 46,232 | Parker Hannifin Corporation | 3,525,190 | ||||||
| 19,515 | Pentair, Inc. | 649,654 | ||||||
| 39,800 | PostNL NV | 126,271 | ||||||
| 30,796 | Precision Castparts Corporation | 5,074,873 | ||||||
| 18,900 | Republic Services, Inc. | 520,695 | ||||||
| 14,732 | Roper Industries, Inc. | 1,279,769 | ||||||
| 51,800 | Ryanair Holdings plca | 242,274 | ||||||
| 77,043 | Shaw Group, Inc.a | 2,072,457 | ||||||
| 36,517 | SPX Corporation | 2,200,880 | ||||||
| 9,053 | Stericycle, Inc.a | 705,410 | ||||||
| 23,074 | Teledyne Technologies, Inc.a | 1,265,609 | ||||||
| 25,090 | Textron, Inc. | 463,914 | ||||||
| 15,900 | Tyco International, Ltd. | 742,689 | ||||||
| 44,517 | Union Pacific Corporation | 4,716,131 | ||||||
| 58,857 | United Technologies Corporation | 4,301,858 | ||||||
| 6,000 | WESCO International, Inc.a | 318,060 | ||||||
| 1,000 | West Japan Railway Company | 43,451 | ||||||
| 59,000 | Yangzijiang Shipbuilding Holdings, Ltd. | 41,288 | ||||||
|
| |||||||
| Total Industrials | 71,878,713 | |||||||
|
| |||||||
| Information Technology (5.4%) | |||||||
| 47,200 | ADTRAN, Inc. | 1,423,552 | ||||||
| 129,622 | Akamai Technologies, Inc.a | 4,184,198 | ||||||
| 12,500 | Alliance Data Systems Corporationa | 1,298,000 | ||||||
| 6,192 | Altera Corporation | 229,723 | ||||||
| 17,764 | ANSYS, Inc.a | 1,017,522 | ||||||
| 52,378 | Apple, Inc.a | 21,213,090 | ||||||
| 259,902 | Atmel Corporationa | 2,105,206 | ||||||
| 14,702 | Baidu.com, Inc. ADRa | 1,712,342 | ||||||
| 110,044 | Broadcom Corporationa | 3,230,892 | ||||||
| 3,000 | Cap Gemini SA | 93,264 | ||||||
| 74,520 | Cisco Systems, Inc. | 1,347,322 | ||||||
| 75,085 | Cognizant Technology Solutions Corporationa | 4,828,716 | ||||||
| 5,000 | Computershare, Ltd. | 40,870 | ||||||
| 134,025 | eBay, Inc.a | 4,064,978 | ||||||
| 51,328 | Electronic Arts, Inc.a | 1,057,357 | ||||||
| 205,177 | EMC Corporationa | 4,419,513 | ||||||
| 40,775 | F5 Networks, Inc.a | 4,327,043 | ||||||
| 19,301 | Fortinet, Inc.a | 420,955 | ||||||
| 14,973 | Google, Inc.a | 9,671,061 | ||||||
| 159,000 | Intel Corporation | 3,855,750 | ||||||
| 7,001 | International Business Machines Corporation | 1,287,344 | ||||||
| 16,667 | Itron, Inc.a | 596,179 | ||||||
| 18,017 | Ixiaa | 189,359 | ||||||
| 30,827 | Juniper Networks, Inc.a | 629,179 | ||||||
| 42,900 | KLA-Tencor Corporation | 2,069,925 | ||||||
| 18,193 | Lam Research Corporationa | 673,505 | ||||||
| 66,359 | Marvell Technology Group, Ltd.a | 919,072 | ||||||
| 10,676 | Mercadolibre, Inc. | 849,169 | ||||||
| 394,375 | Microsoft Corporation | 10,237,975 | ||||||
| 176,152 | Monster Worldwide, Inc.a | 1,396,885 | ||||||
| 51,769 | NetApp, Inc.a | 1,877,662 | ||||||
| 9,651 | Nice Systems, Ltd. ADRa | 332,477 | ||||||
| 48,600 | Nokia Oyj | 234,270 | ||||||
| 28 | NTT Data Corporation | 89,158 | ||||||
| 49,791 | Nuance Communications, Inc.a | 1,252,741 | ||||||
| 122,169 | NVIDIA Corporationa | 1,693,262 | ||||||
| 370,849 | Oracle Corporation | 9,512,277 | ||||||
| 58,504 | Plantronics, Inc. | 2,085,082 | ||||||
| 63,441 | Plexus Corporationa | 1,737,015 | ||||||
| 129,511 | QUALCOMM, Inc. | 7,084,252 | ||||||
| 84,054 | Quest Software, Inc.a | 1,563,404 | ||||||
| 16,427 | Red Hat, Inc.a | 678,271 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (25.2%) | Value | ||||||
| Information Technology (5.4%) - continued | |||||||
| 27,344 | Salesforce.com, Inc.a | $ | 2,774,322 | |||||
| 30,746 | SuccessFactors, Inc.a | 1,225,843 | ||||||
| 42,873 | Symantec Corporationa | 670,962 | ||||||
| 32,539 | Teradata Corporationa | 1,578,467 | ||||||
| 222,308 | Teradyne, Inc.a | 3,030,058 | ||||||
| 49,030 | Texas Instruments, Inc. | 1,427,263 | ||||||
| 121,453 | TIBCO Software, Inc.a | 2,903,941 | ||||||
| 32,485 | ValueClick, Inc.a | 529,181 | ||||||
| 93,499 | VeriFone Systems, Inc.a | 3,321,084 | ||||||
| 43,064 | VMware, Inc.a | 3,582,494 | ||||||
| 140,628 | Xilinx, Inc. | 4,508,534 | ||||||
|
| |||||||
| Total Information Technology | 143,081,966 | |||||||
|
| |||||||
| Materials (0.8%) | |||||||
| 13,633 | Albemarle Corporation | 702,236 | ||||||
| 5,500 | Amcor, Ltd. | 40,489 | ||||||
| 4,300 | Bayer AG | 274,594 | ||||||
| 11,800 | BHP Billiton plc | 344,987 | ||||||
| 5,900 | BHP Billiton, Ltd. | 208,263 | ||||||
| 23,187 | Celanese Corporation | 1,026,489 | ||||||
| 18,974 | E.I. du Pont de Nemours and Company | 868,630 | ||||||
| 7,533 | FMC Corporation | 648,139 | ||||||
| 264,203 | Freeport-McMoRan Copper & Gold, Inc. | 9,720,028 | ||||||
| 200 | Geberit AGa | 38,444 | ||||||
| 6,700 | Metso Corporation | 247,435 | ||||||
| 10,633 | Newmont Mining Corporation | 638,086 | ||||||
| 25,493 | Pan American Silver Corporation | 556,002 | ||||||
| 3,103 | Rio Tinto plc | 151,574 | ||||||
| 8,946 | Sigma-Aldrich Corporation | 558,767 | ||||||
| 18,110 | Silgan Holdings, Inc. | 699,771 | ||||||
| 19,002 | Silver Wheaton Corporation | 550,298 | ||||||
| 51,520 | Steel Dynamics, Inc. | 677,488 | ||||||
| 400 | Syngenta AGa | 117,540 | ||||||
| 2,100 | Wacker Chemie AG | 168,672 | ||||||
| 29,986 | Walter Energy, Inc. | 1,815,952 | ||||||
| 3,226 | Yara International ASA | 128,780 | ||||||
|
| |||||||
| Total Materials | 20,182,664 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | |||||||
| 5,300 | Deutsche Telekom AG | 60,791 | ||||||
| 24,069 | Inmarsat plc | 150,739 | ||||||
| 6,700 | Koninklijke (Royal) KPN NV | 79,973 | ||||||
| 4,600 | Nippon Telegraph & Telephone Corporation | 234,186 | ||||||
| 104 | NTT DoCoMo, Inc. | 190,946 | ||||||
| 11,316 | SBA Communications Corporationa | 486,135 | ||||||
| 21,400 | Telekom Austria AG | 255,997 | ||||||
| 8,807 | Telenor ASA | 144,115 | ||||||
| 61,700 | Telstra Corporation, Ltd. | 209,844 | ||||||
| 51,883 | TW Telecom, Inc.a | 1,005,493 | ||||||
| 83,409 | Verizon Communications, Inc. | 3,346,369 | ||||||
|
| |||||||
| Total Telecommunications Services | 6,164,588 | |||||||
|
| |||||||
| Utilities (0.4%) | |||||||
| 34,200 | CMS Energy Corporation | 755,136 | ||||||
| 22,400 | Electricidade de Portugal SA | 69,174 | ||||||
| 36,880 | Exelon Corporation | 1,599,486 | ||||||
| 9,200 | Hokuriku Electric Power Company | 171,816 | ||||||
| 52,770 | NiSource, Inc. | 1,256,454 | ||||||
| 46,369 | NV Energy, Inc. | 758,133 | ||||||
| 104,000 | PNM Resources, Inc. | 1,895,920 | ||||||
| 6,900 | Shikoku Electric Power Company | 197,946 | ||||||
| 46,818 | Southwest Gas Corporation | 1,989,297 | ||||||
| 18,500 | The Kansai Electric Power Company, Inc. | 284,181 | ||||||
| 9,600 | Tohoku Electric Power Company, Inc. | 92,232 | ||||||
| 34,200 | Tokyo Electric Power Company, Inc.a | 82,074 | ||||||
| 22,234 | UGI Corporation | 653,680 | ||||||
|
| |||||||
| Total Utilities | 9,805,529 | |||||||
|
| |||||||
Total Common Stock (cost $652,243,469) | 669,638,872 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (11.3%) | |||||||
| Asset-Backed Securities (0.3%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,688,188 | 0.444%, 8/25/2036b | 1,260,610 | ||||||
| GSAMP Trust | ||||||||
| 1,427,114 | 0.474%, 2/25/2036b | 1,111,610 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 3,800,000 | 5.461%, 10/25/2036 | 2,903,827 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,472,557 | 0.444%, 2/25/2037b | 822,329 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 1,803,349 | 5.746%, 5/25/2036 | 814,782 | ||||||
| 2,800,000 | 6.011%, 5/25/2036 | 1,096,489 | ||||||
| 1,320,362 | 5.580%, 11/25/2036 | 743,645 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 8,753,292 | |||||||
|
| |||||||
| Basic Materials (0.2%) | |||||||
| ArcelorMittal | ||||||||
| 1,350,000 | 7.000%, 10/15/2039 | 1,254,574 | ||||||
| Arch Coal, Inc. | ||||||||
| 540,000 | 7.000%, 6/15/2019c | 550,800 | ||||||
| Dow Chemical Company | ||||||||
| 1,350,000 | 4.250%, 11/15/2020 | 1,403,242 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 540,000 | 7.000%, 11/1/2015c | 545,400 | ||||||
| Novelis, Inc. | ||||||||
| 540,000 | 8.375%, 12/15/2017 | 573,750 | ||||||
|
| |||||||
| Total Basic Materials | 4,327,766 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
| Bombardier, Inc. | ||||||||
| 540,000 | 7.750%, 3/15/2020c | 588,600 | ||||||
| Case New Holland, Inc. | ||||||||
| 550,000 | 7.875%, 12/1/2017 | 621,500 | ||||||
| Danaher Corporation | ||||||||
| 540,000 | 0.817%, 6/21/2013b | 540,787 | ||||||
|
| |||||||
| Total Capital Goods | 1,750,887 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
107
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (11.3%) | Value | ||||||
| Collateralized Mortgage Obligations (0.4%) | |||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| $ | 724,917 | 5.500%, 11/25/2035 | $ | 612,609 | ||||
CitiMortgage Alternative Loan Trust | ||||||||
| 2,537,019 | 5.750%, 4/25/2037 | 1,651,092 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 499,991 | 6.000%, 1/25/2037 | 328,413 | ||||||
| 2,310,247 | 5.500%, 5/25/2037 | 1,572,045 | ||||||
| 2,002,580 | 7.000%, 10/25/2037 | 1,144,280 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 1,339,734 | 5.750%, 4/25/2037 | 1,119,453 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 465,950 | 5.500%, 10/25/2021 | 445,573 | ||||||
| 874,342 | 6.000%, 10/25/2021 | 767,931 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 3,079,226 | 2.221%, 4/25/2037 | 1,644,276 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 217,930 | 2.772%, 10/25/2036 | 158,877 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 561,198 | 6.500%, 7/25/2034 | 586,638 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
| 572,466 | 6.000%, 3/25/2037 | 403,894 | ||||||
Sequoia Mortgage Trust | ||||||||
| 794,759 | 5.352%, 9/20/2046 | 240,487 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 391,524 | 5.836%, 9/25/2036 | 262,740 | ||||||
| 778,704 | 5.933%, 10/25/2036 | 533,042 | ||||||
| 2,935,788 | 2.312%, 11/25/2036 | 2,084,953 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 13,556,303 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.0%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 2,800,000 | 5.633%, 4/10/2049 | 2,992,548 | ||||||
| 3,675,000 | 5.622%, 6/10/2049 | 3,940,688 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,710,000 | 5.331%, 2/11/2044 | 1,800,668 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,900,000 | 5.322%, 12/11/2049 | 4,136,547 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 2,800,000 | 5.542%, 1/15/2049 | 2,964,018 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,350,000 | 5.509%, 9/15/2039 | 3,134,598 | ||||||
Government National Mortgage Association | ||||||||
| 408,473 | 2.164%, 3/16/2033 | 414,066 | ||||||
| 363,688 | 3.214%, 1/16/2040 | 378,734 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 1,750,000 | 5.867%, 12/10/2049 | 1,552,267 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,300,000 | 5.740%, 2/12/2049 | 1,233,172 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 900,000 | 5.406%, 3/15/2044 | 838,615 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,100,000 | 5.603%, 10/15/2048 | 2,020,074 | ||||||
|
| |||||||
Total Commercial Mortgage- Backed Securities | 25,405,995 | |||||||
|
| |||||||
| Communications Services (0.3%) | ||||||||
Cablevision Systems Corporation | ||||||||
| 540,000 | 8.625%, 9/15/2017 | 598,050 | ||||||
CBS Corporation | ||||||||
| 675,000 | 7.875%, 7/30/2030 | 858,733 | ||||||
| 675,000 | 5.900%, 10/15/2040 | 757,736 | ||||||
CCO Holdings, LLC | ||||||||
| 530,000 | 7.000%, 1/15/2019 | 552,525 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 540,000 | 9.250%, 12/15/2017 | 583,200 | ||||||
Cox Communications, Inc. | ||||||||
| 1,350,000 | 6.950%, 6/1/2038c | 1,541,593 | ||||||
EH Holding Corporation | ||||||||
| 540,000 | 6.500%, 6/15/2019c | 562,950 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 540,000 | 7.250%, 4/1/2019c | 548,100 | ||||||
NII Capital Corporation | ||||||||
| 580,000 | 7.625%, 4/1/2021 | 575,650 | ||||||
Sprint Nextel Corporation | ||||||||
| 540,000 | 9.000%, 11/15/2018c | 567,000 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 540,000 | 7.250%, 11/15/2021c | 546,750 | ||||||
|
| |||||||
Total Communications Services | 7,692,287 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
Chrysler Group, LLC | ||||||||
| 530,000 | 8.000%, 6/15/2019c | 484,950 | ||||||
Home Depot, Inc. | ||||||||
| 1,350,000 | 5.875%, 12/16/2036 | 1,694,091 | ||||||
Lennar Corporation | ||||||||
| 540,000 | 12.250%, 6/1/2017 | 642,600 | ||||||
MGM Resorts International | ||||||||
| 450,000 | 11.125%, 11/15/2017 | 513,000 | ||||||
Rite Aid Corporation | ||||||||
| 540,000 | 7.500%, 3/1/2017 | 539,325 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 540,000 | 6.750%, 5/15/2018 | 610,200 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 540,000 | 8.500%, 12/1/2017 | 558,900 | ||||||
West Corporation | ||||||||
| 300,000 | 7.875%, 1/15/2019 | 297,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (11.3%) | Value | ||||||
| Consumer Cyclical (0.2%) - continued | |||||||
WMG Acquisition Corporation | ||||||||
| $ | 540,000 | 11.500%, 10/1/2018c | $ | 535,950 | ||||
|
| |||||||
Total Consumer Cyclical | 5,876,766 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.5%) | ||||||||
Altria Group, Inc. | ||||||||
| 1,350,000 | 9.950%, 11/10/2038 | 2,053,326 | ||||||
Anheuser-Busch Companies, Inc. | ||||||||
| 675,000 | 6.450%, 9/1/2037 | 903,784 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 945,000 | 0.761%, 7/14/2014b | 940,445 | ||||||
| 675,000 | 8.200%, 1/15/2039 | 1,064,186 | ||||||
Community Health Systems, Inc. | ||||||||
| 545,000 | 8.875%, 7/15/2015 | 562,712 | ||||||
HCA, Inc. | ||||||||
| 550,000 | 7.500%, 2/15/2022 | 562,375 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 450,000 | 11.625%, 5/1/2014 | 510,188 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc. | ||||||||
| 540,000 | 10.500%, 11/1/2018c | 529,200 | ||||||
Kraft Foods, Inc. | ||||||||
| 675,000 | 5.375%, 2/10/2020 | 778,849 | ||||||
| 675,000 | 7.000%, 8/11/2037 | 901,764 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 550,000 | 6.875%, 2/15/2021c | 547,250 | ||||||
Tenet Healthcare Corporation | ||||||||
| 550,000 | 8.875%, 7/1/2019 | 617,375 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 675,000 | 6.875%, 2/15/2038 | 905,218 | ||||||
| 675,000 | 5.700%, 10/15/2040 | 808,151 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 540,000 | 6.875%, 12/1/2018c | 538,650 | ||||||
|
| |||||||
Total Consumer Non-Cyclical | 12,223,473 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
Chesapeake Energy Corporation | ||||||||
| 500,000 | 9.500%, 2/15/2015 | 572,500 | ||||||
Denbury Resources, Inc. | ||||||||
| 550,000 | 6.375%, 8/15/2021 | 574,750 | ||||||
Harvest Operations Corporation | ||||||||
| 540,000 | 6.875%, 10/1/2017c | 558,900 | ||||||
Linn Energy, LLC | ||||||||
| 540,000 | 7.750%, 2/1/2021 | 561,600 | ||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 540,000 | 6.500%, 8/15/2021 | 562,275 | ||||||
Weatherford International, Ltd. | ||||||||
| 1,345,000 | 6.750%, 9/15/2040 | 1,525,741 | ||||||
|
| |||||||
Total Energy | 4,355,766 | |||||||
|
| |||||||
| Financials (0.7%) | ||||||||
Achmea Hypotheekbank NV | ||||||||
| 283,000 | 3.200%, 11/3/2014c | 296,993 | ||||||
Ally Financial, Inc. | ||||||||
| 540,000 | 8.000%, 3/15/2020 | 553,500 | ||||||
AXA SA | ||||||||
| 1,350,000 | 6.379%, 12/29/2049c,d | 877,500 | ||||||
Bank of Nova Scotia | ||||||||
| 450,000 | 1.450%, 7/26/2013c | 455,210 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 675,000 | 5.919%, 12/29/2049d | 446,871 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 465,000 | 2.600%, 7/2/2015c | 480,927 | ||||||
Cie de Financement Foncier | ||||||||
| 450,000 | 2.250%, 3/7/2014c | 442,347 | ||||||
CIT Group, Inc. | ||||||||
| 540,000 | 7.000%, 5/1/2017 | 540,000 | ||||||
Dexia Credit Local SA | ||||||||
| 450,000 | 2.750%, 4/29/2014c | 408,910 | ||||||
General Electric Capital Corporation | ||||||||
| 1,350,000 | 6.750%, 3/15/2032 | 1,580,770 | ||||||
HCP, Inc. | ||||||||
| 1,350,000 | 6.750%, 2/1/2041 | 1,526,190 | ||||||
Health Care REIT, Inc. | ||||||||
| 540,000 | 6.500%, 3/15/2041 | 541,059 | ||||||
Icahn Enterprises, LP | ||||||||
| 630,000 | 8.000%, 1/15/2018 | 655,200 | ||||||
International Bank for Reconstruction & Development | ||||||||
| 465,000 | 2.375%, 5/26/2015 | 490,573 | ||||||
International Lease Finance Corporation | ||||||||
| 540,000 | 5.750%, 5/15/2016 | 500,873 | ||||||
MetLife Capital Trust IV | ||||||||
| 1,350,000 | 7.875%, 12/15/2037c | 1,400,625 | ||||||
Prudential Financial, Inc. | ||||||||
| 1,350,000 | 6.200%, 11/15/2040 | 1,412,647 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 1,350,000 | 7.250%, 5/24/2041c | 1,188,726 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 675,000 | 6.750%, 12/15/2065 | 585,172 | ||||||
Royal Bank of Canada | ||||||||
| 400,000 | 3.125%, 4/14/2015c | 419,688 | ||||||
Toronto-Dominion Bank | ||||||||
| 465,000 | 2.200%, 7/29/2015c | 476,139 | ||||||
XL Group plc | ||||||||
| 1,350,000 | 6.250%, 5/15/2027 | 1,368,000 | ||||||
| 675,000 | 6.500%, 12/29/2049d | 528,187 | ||||||
XLIT, Ltd. | ||||||||
| 675 | 3.526%, 10/29/2049b,e | 469,336 | ||||||
|
| |||||||
Total Financials | 17,645,443 | |||||||
|
| |||||||
| Foreign Government (<0.1%) | ||||||||
Bank Nederlandse Gemeenten | ||||||||
| 660,000 | 4.375%, 2/16/2021c | 703,501 | ||||||
Kommunalbanken AS | ||||||||
| 450,000 | 2.750%, 5/5/2015c | 466,949 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 205,000 | 0.295%, 6/17/2013b | 204,903 | ||||||
|
| |||||||
Total Foreign Government | 1,375,353 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (11.3%) | Value | ||||||
| Mortgage-Backed Securities (4.7%) | |||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| $ | 33,300,000 | 3.000%, 1/1/2027f | $ | 34,387,445 | ||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 54,187,500 | 4.000%, 1/1/2042f | 56,922,289 | ||||||
| 17,400,000 | 4.500%, 1/1/2042f | 18,514,696 | ||||||
| 9,281,250 | 5.000%, 1/1/2042f | 10,026,655 | ||||||
| 4,031,250 | 6.000%, 1/1/2042f | 4,438,785 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 124,289,870 | |||||||
|
| |||||||
| Technology (<0.1%) | |||||||
Seagate HDD Cayman | ||||||||
| 540,000 | 7.750%, 12/15/2018c | 574,425 | ||||||
|
| |||||||
Total Technology | 574,425 | |||||||
|
| |||||||
| Transportation (<0.1%) | |||||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | ||||||||
| 540,000 | 8.250%, 1/15/2019 | 535,950 | ||||||
|
| |||||||
Total Transportation | 535,950 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.6%) | |||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 185,000 | Zero Coupon, 1/7/2012c | 184,967 | ||||||
| 185,000 | Zero Coupon, 1/7/2014c | 181,513 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 465,000 | 2.125%, 9/15/2015 | 481,440 | ||||||
Federal Home Loan Banks | ||||||||
| 2,750,000 | 5.000%, 11/17/2017 | 3,300,275 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 2,830,000 | 0.750%, 3/28/2013 | 2,845,769 | ||||||
| 920,000 | 2.500%, 1/7/2014 | 957,808 | ||||||
| 1,400,000 | 4.875%, 6/13/2018 | 1,686,889 | ||||||
Federal National Mortgage Association | ||||||||
| 1,725,000 | 1.250%, 2/27/2014 | 1,749,940 | ||||||
| 735,000 | 4.375%, 10/15/2015 | 830,542 | ||||||
| 1,870,000 | 1.375%, 11/15/2016 | 1,886,516 | ||||||
| 505,000 | 6.250%, 5/15/2029 | 710,973 | ||||||
Tennessee Valley Authority | ||||||||
| 390,000 | 5.250%, 9/15/2039 | 497,839 | ||||||
U.S. Treasury Bonds | ||||||||
| 5,000,000 | 6.500%, 11/15/2026 | 7,585,940 | ||||||
| 755,000 | 4.375%, 5/15/2041 | 983,742 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 136,193 | 2.125%, 2/15/2040 | 182,765 | ||||||
U.S. Treasury Notes | ||||||||
| 4,315,000 | 0.750%, 6/15/2014 | 4,361,856 | ||||||
| 9,000,000 | 2.500%, 4/30/2015 | 9,604,692 | ||||||
| 1,035,000 | 2.000%, 1/31/2016 | 1,091,925 | ||||||
| 1,390,000 | 2.625%, 2/29/2016 | 1,502,504 | ||||||
| 3,350,000 | 3.250%, 3/31/2017 | 3,750,955 | ||||||
| 7,000,000 | 1.500%, 8/31/2018 | 7,102,263 | ||||||
| 8,210,000 | 3.125%, 5/15/2021 | 9,166,974 | ||||||
| 950,000 | 7.625%, 2/15/2025 | 1,536,031 | ||||||
| 2,250,000 | 4.375%, 5/15/2040 | 2,922,889 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 624,863 | 3.375%, 1/15/2012 | 625,058 | ||||||
| 821,065 | 2.000%, 1/15/2014 | 869,495 | ||||||
| 616,652 | 1.625%, 1/15/2015 | 665,069 | ||||||
| 689,614 | 0.500%, 4/15/2015 | 721,563 | ||||||
| 553,959 | 0.125%, 4/15/2016 | 577,502 | ||||||
| 732,002 | 2.625%, 7/15/2017 | 871,368 | ||||||
| 569,316 | 1.125%, 1/15/2021 | 634,920 | ||||||
| 162,172 | 2.375%, 1/15/2025 | 206,186 | ||||||
|
| |||||||
Total U.S. Government and Agencies | 70,278,168 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
AES Corporation | ||||||||
| 550,000 | 7.375%, 7/1/2021c | 592,625 | ||||||
Dominion Resources, Inc. | ||||||||
| 675,000 | 2.879%, 9/30/2066b | 567,250 | ||||||
Energy Transfer Partners, LP | ||||||||
| 375,000 | 6.625%, 10/15/2036 | 394,312 | ||||||
| 675,000 | 7.500%, 7/1/2038 | 770,663 | ||||||
Southern Union Company | ||||||||
| 1,350,000 | 3.447%, 11/1/2066b | 1,258,875 | ||||||
|
| |||||||
Total Utilities | 3,583,725 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $297,874,185) | 302,225,469 | |||||||
|
| |||||||
Short-Term Investments (9.8%)g | ||||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 5,000,000 | 0.020%, 1/4/2012h | 4,999,992 | ||||||
| 20,000,000 | 0.020%, 1/6/2012h | 19,999,944 | ||||||
| 31,000,000 | 0.015%, 1/20/2012h | 30,999,755 | ||||||
| 4,000,000 | 0.030%, 2/3/2012h | 3,999,890 | ||||||
| 10,000,000 | 0.030%, 2/8/2012h | 9,999,815 | ||||||
| 6,000,000 | 0.020%, 2/10/2012h | 5,999,867 | ||||||
| 25,000,000 | 0.005%, 2/15/2012h | 24,999,844 | ||||||
| 15,000,000 | 0.010%, 2/17/2012h | 14,999,804 | ||||||
| 13,000,000 | 0.032%, 2/22/2012h | 12,999,717 | ||||||
| 25,000,000 | 0.015%, 3/2/2012h | 24,999,407 | ||||||
| 20,000,000 | 0.015%, 3/7/2012h | 19,999,450 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 6,000,000 | 0.030%, 1/3/2012h | 5,999,990 | ||||||
| 6,000,000 | 0.010%, 2/17/2012h,i | 5,999,961 | ||||||
| 3,000,000 | 0.015%, 3/5/2012h | 2,999,920 | ||||||
| 27,900,000 | 0.015%, 3/7/2012h | 27,899,233 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 5,000,000 | 0.010%, 1/9/2012h | 4,999,989 | ||||||
| 18,400,000 | 0.105%, 2/22/2012h,j | 18,397,255 | ||||||
Straight-A Funding, LLC | ||||||||
| 8,000,000 | 0.190%, 2/9/2012c,h | 7,998,353 | ||||||
| 5,000,000 | 0.190%, 2/21/2012c,h | 4,998,654 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Short-Term Investments (9.8%)g | Value | ||||||
U.S. Treasury Bills | ||||||||
| 6,000,000 | 0.045%, 2/9/2012j | $ | 5,999,709 | |||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 259,290,549 | |||||||
|
| |||||||
Total Investments (cost $2,924,067,468) 103.3% | $ | 2,746,212,438 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (3.3%) | (86,611,158 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 2,659,601,280 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011, the value of these investments was $30,794,145 or 1.2% 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 | This security is displayed in shares. |
| f | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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 December 31, 2011, $1,429,991 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| j | At December 31, 2011, $23,797,053 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 | $ | 70,399,720 | ||
Gross unrealized depreciation | (251,340,114 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (180,940,394 | ) | |
Cost for federal income tax purposes | $ | 2,927,152,832 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 1,121,766,826 | 1,121,766,826 | — | — | ||||||||||||
Fixed Income Mutual Funds | 393,290,722 | 393,290,722 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 76,664,100 | 73,958,350 | 2,705,750 | — | ||||||||||||
Consumer Staples | 64,614,079 | 63,396,612 | 1,217,467 | — | ||||||||||||
Energy | 62,950,714 | 60,279,978 | 2,670,736 | — | ||||||||||||
Financials | 135,900,085 | 131,866,460 | 4,033,625 | — | ||||||||||||
Health Care | 78,396,434 | 77,510,117 | 886,317 | — | ||||||||||||
Industrials | 71,878,713 | 69,879,148 | 1,999,565 | — | ||||||||||||
Information Technology | 143,081,966 | 142,624,404 | 457,562 | — | ||||||||||||
Materials | 20,182,664 | 18,461,886 | 1,720,778 | — | ||||||||||||
Telecommunications Services | 6,164,588 | 4,837,997 | 1,326,591 | — | ||||||||||||
Utilities | 9,805,529 | 8,908,106 | 897,423 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 8,753,292 | — | 8,753,292 | — | ||||||||||||
Basic Materials | 4,327,766 | — | 4,327,766 | — | ||||||||||||
Capital Goods | 1,750,887 | — | 1,750,887 | — | ||||||||||||
Collateralized Mortgage Obligations | 13,556,303 | — | 13,556,303 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 25,405,995 | — | 25,405,995 | — | ||||||||||||
Communications Services | 7,692,287 | — | 7,692,287 | — | ||||||||||||
Consumer Cyclical | 5,876,766 | — | 5,876,766 | — | ||||||||||||
Consumer Non-Cyclical | 12,223,473 | — | 12,223,473 | — | ||||||||||||
Energy | 4,355,766 | — | 4,355,766 | — | ||||||||||||
Financials | 17,645,443 | — | 17,645,443 | — | ||||||||||||
Foreign Government | 1,375,353 | — | 1,375,353 | — | ||||||||||||
Mortgage-Backed Securities | 124,289,870 | — | 124,289,870 | — | ||||||||||||
Technology | 574,425 | — | 574,425 | — | ||||||||||||
Transportation | 535,950 | — | 535,950 | — | ||||||||||||
U.S. Government and Agencies | 70,278,168 | — | 70,278,168 | — | ||||||||||||
Utilities | 3,583,725 | — | 3,583,725 | — | ||||||||||||
Short-Term Investments | 259,290,549 | — | 259,290,549 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,746,212,438 | $ | 2,166,780,606 | $ | 579,431,832 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 4,806,286 | 4,806,286 | — | — | ||||||||||||
Credit Default Swaps | 153,504 | — | 153,504 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 4,959,790 | $ | 4,806,286 | $ | 153,504 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 2,617,835 | 2,617,835 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 2,617,835 | $ | 2,617,835 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Note Futures | (110 | ) | March 2012 | ($24,251,227 | ) | ($24,260,157 | ) | ($8,930 | ) | |||||||||||
10-Yr. U.S. Treasury Note Futures | (155 | ) | March 2012 | (20,003,004 | ) | (20,324,375 | ) | (321,371 | ) | |||||||||||
MSCI EAFE Index Mini-Futures | 59 | March 2012 | 4,119,484 | 4,157,730 | 38,246 | |||||||||||||||
Russell 2000 Index Mini-Futures | (1,257 | ) | March 2012 | (91,716,251 | ) | (92,867,160 | ) | (1,150,909 | ) | |||||||||||
S&P 400 Index Mini-Futures | (1,234 | ) | March 2012 | (107,122,195 | ) | (108,258,820 | ) | (1,136,625 | ) | |||||||||||
S&P 500 Index Futures | 818 | March 2012 | 251,388,660 | 256,156,700 | 4,768,040 | |||||||||||||||
Total Futures Contracts | $ | 2,188,451 | ||||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; Bank of America | Sell | 12/20/2016 | $ | 9,310,000 | $ | 695,258 | ($654,123 | ) | $ | 41,135 | ||||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Sell | 12/20/2016 | 6,860,000 | 594,355 | (481,986 | ) | 112,369 | |||||||||||||||
Total Credit Default Swaps | ($1,136,109 | ) | $ | 153,504 | ||||||||||||||||||
| 1 | As the buyer of protection, Moderately Aggressive Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderately Aggressive Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderately Aggressive Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The 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. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity's credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
113
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 4,806,286 | |||
Total Equity Contracts | 4,806,286 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 153,504 | ||||
Total Credit Contracts | 153,504 | |||||
|
| |||||
Total Asset Derivatives | $ | 4,959,790 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 330,301 | ||||
Total Interest Rate Contracts | 330,301 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,287,534 | ||||
Total Equity Contracts | 2,287,534 | |||||
|
| |||||
Total Liability Derivatives | $ | 2,617,835 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 10,633,745 | ||||
Total Equity Contracts | 10,633,745 | |||||
Foreign Exchange Contracts | ||||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (255,676 | ) | |||
Total Foreign Exchange Contracts | (255,676 | ) | ||||
Interest Rate Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 2,031 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (5,200,525 | ) | |||
Total Interest Rate Contracts | (5,198,494 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 1,654,393 | ||||
Total Credit Contracts | 1,654,393 | |||||
|
| |||||
Total | $ | 6,833,968 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
114
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (330,301 | ) | |||
Total Interest Rate Contracts | (330,301 | ) | ||||
Equity Contracts | ||||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 2,073,668 | ||||
Total Equity Contracts | 2,073,668 | |||||
Credit Contracts | ||||||
| Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 153,504 | ||||
Total Credit Contracts | 153,504 | |||||
|
| |||||
Total | $ | 1,896,871 | ||||
|
| |||||
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 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 | $ | 512,154,123 | 19.4 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 67,565,627 | 2.6 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 975,357 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 21,987,461 | 0.8 | % | ||||||||||||||||
| * | 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.
115
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 75,400,485 | $ | — | $ | 72,575,191 | — | $ | — | $ | — | |||||||||||||
Partner Small Cap Growth | 65,317,912 | — | — | 5,056,075 | 62,803,020 | — | ||||||||||||||||||
Partner Small Cap Value | 65,377,232 | 140,257 | — | 3,436,858 | 64,077,118 | 140,257 | ||||||||||||||||||
Small Cap Stock | 57,345,023 | — | — | 4,528,335 | 54,297,906 | — | ||||||||||||||||||
Mid Cap Growth II | 66,948,352 | 2,496,613 | 66,832,296 | — | — | 69,092 | ||||||||||||||||||
Partner Mid Cap Value | 82,249,173 | 178,319 | — | 6,158,169 | 77,040,544 | 178,318 | ||||||||||||||||||
Mid Cap Stock | 172,344,241 | 78,604 | — | 14,071,209 | 161,523,408 | 78,604 | ||||||||||||||||||
Partner Worldwide Allocation | 144,480,301 | 16,621,055 | — | 18,437,323 | 136,290,534 | 3,064,604 | ||||||||||||||||||
Partner International Stock | 207,790,968 | 76,343 | — | 19,477,076 | 178,908,630 | 76,343 | ||||||||||||||||||
Large Cap Growth II | 155,203,606 | 3,146,799 | 141,648,360 | — | — | 221,775 | ||||||||||||||||||
Large Cap Value | 197,661,302 | 44,473 | — | 18,430,656 | 191,568,241 | 44,473 | ||||||||||||||||||
Large Cap Stock | 184,085,048 | 21,757 | — | 21,658,100 | 175,660,184 | 21,757 | ||||||||||||||||||
Equity Income Plus | 20,090,748 | 56,284 | — | 2,223,952 | 19,597,241 | 56,284 | ||||||||||||||||||
High Yield | 103,387,730 | 18,110,013 | 13,195,337 | 22,545,368 | 105,113,270 | 8,017,337 | ||||||||||||||||||
Income | 172,852,335 | 22,670,389 | 14,151,897 | 18,204,967 | 183,615,301 | 8,397,678 | ||||||||||||||||||
Limited Maturity Bond | 94,786,105 | 12,404,204 | 1,229,655 | 10,810,810 | 104,562,151 | 2,248,678 | ||||||||||||||||||
Total Value and Income Earned | 1,865,320,561 | 1,515,057,548 | 22,615,200 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
Schedule of Investments as of December 31, 2011
| Shares | Mutual Funds (61.6%) | Value | ||||||
| Equity Mutual Funds (29.1%) | ||||||||
| 4,491,902 | Thrivent Partner Small Cap Growth Portfolioa | $ | 55,795,259 | |||||
| 4,235,223 | Thrivent Partner Small Cap Value Portfolio | 78,961,913 | ||||||
| 3,596,908 | Thrivent Small Cap Stock Portfolioa | 43,129,445 | ||||||
| 5,853,149 | Thrivent Partner Mid Cap Value Portfolio | 73,224,646 | ||||||
| 11,623,612 | Thrivent Mid Cap Stock Portfolio | 133,427,441 | ||||||
| 27,446,563 | Thrivent Partner Worldwide Allocation Portfolio | 202,887,736 | ||||||
| 17,546,838 | Thrivent Partner International Stock Portfolio | 161,178,231 | ||||||
| 25,642,869 | Thrivent Large Cap Value Portfolio | 266,531,978 | ||||||
| 20,069,137 | Thrivent Large Cap Stock Portfolio | 162,772,741 | ||||||
| 2,930,787 | Thrivent Equity Income Plus Portfolio | 25,825,801 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 1,203,735,191 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (32.5%) | ||||||||
| 35,222,521 | Thrivent High Yield Portfolio | 164,217,962 | ||||||
| 59,317,844 | Thrivent Income Portfolio | 598,279,774 | ||||||
| 59,808,619 | Thrivent Limited Maturity Bond Portfolio | 578,468,960 | ||||||
|
| |||||||
Total Fixed Income Mutual Funds | 1,340,966,696 | |||||||
|
| |||||||
Total Mutual Funds (cost $2,738,177,009) | 2,544,701,887 | |||||||
|
| |||||||
Common Stock (17.5%) | ||||||||
| Consumer Discretionary (1.9%) | ||||||||
| 4,989 | Abercrombie & Fitch Company | 243,663 | ||||||
| 58,792 | Amazon.com, Inc.a | 10,176,895 | ||||||
| 13,080 | Autoliv, Inc. | 699,649 | ||||||
| 1,600 | Bayerische Motoren Werke AG | 75,536 | ||||||
| 5,000 | Benesse Holdings, Inc. | 241,709 | ||||||
| 54,600 | Big Lots, Inc.a | 2,061,696 | ||||||
| 21,152 | British Sky Broadcasting Group plc | 240,658 | ||||||
| 27,888 | Buffalo Wild Wings, Inc.a | 1,882,719 | ||||||
| 18,050 | CBS Corporation | 489,877 | ||||||
| 12,400 | Charter Communications, Inc.a | 706,056 | ||||||
| 106,300 | Coach, Inc. | 6,488,552 | ||||||
| 297,394 | Comcast Corporation | 7,051,212 | ||||||
| 84,000 | ComfortDelGro Corporation, Ltd | 91,648 | ||||||
| 5,000 | Daihatsu Motor Company, Ltd. | 88,914 | ||||||
| 2,600 | Daito Trust Construction Company, Ltd. | 222,629 | ||||||
| 4,612 | Darden Restaurants, Inc. | 210,215 | ||||||
| 103,734 | Discovery Communications, Inc.a | 4,249,982 | ||||||
| 18,090 | Dollar Tree, Inc.a | 1,503,460 | ||||||
| 4,300 | FamilyMart Company, Ltd. | 173,647 | ||||||
| 42,200 | Fiat SPA | 192,590 | ||||||
| 95,826 | Foot Locker, Inc. | 2,284,492 | ||||||
| 4,338 | Gaylord Entertainment Companya | 104,719 | ||||||
| 5,291 | Gentex Corporation | 156,561 | ||||||
| 23,390 | Harley-Davidson, Inc. | 909,169 | ||||||
| 171,100 | Home Depot, Inc. | 7,193,044 | ||||||
| 4,200 | Kabel Deutschland Holding AGa | 212,906 | ||||||
| 163,165 | Las Vegas Sands Corporationa | 6,972,040 | ||||||
| 4,100 | Lawson, Inc. | 255,452 | ||||||
| 42,000 | Life Time Fitness, Inc.a | 1,963,500 | ||||||
| 12,545 | Limited Brands, Inc. | 506,191 | ||||||
| 46,602 | Macy’s, Inc. | 1,499,652 | ||||||
| 6,475 | Marriott International, Inc. | 188,876 | ||||||
| 647 | Marriott Vacations Worldwide Corporationa | 11,103 | ||||||
| 34,000 | McDonald’s Corporation | 3,411,220 | ||||||
| 93,490 | News Corporation | 1,699,648 | ||||||
| 27,810 | Omnicom Group, Inc. | 1,239,770 | ||||||
| 5,333 | O’Reilly Automotive, Inc.a | 426,373 | ||||||
| 4,791 | Panera Bread Companya | 677,687 | ||||||
| 8,902 | PetSmart, Inc. | 456,584 | ||||||
| 192,872 | Pier 1 Imports, Inc.a | 2,686,707 | ||||||
| 3,000 | Sankyo Company, Ltd. | 151,672 | ||||||
| 10,000 | SES Global SA | 239,550 | ||||||
| 39,589 | Signet Jewelers, Ltd. | 1,740,332 | ||||||
| 11,637 | Starwood Hotels & Resorts Worldwide, Inc. | 558,227 | ||||||
| 33,590 | Target Corporation | 1,720,480 | ||||||
| 14,610 | Time Warner Cable, Inc. | 928,758 | ||||||
| 5,581 | Tractor Supply Company | 391,507 | ||||||
| 4,600 | United Internet AG | 81,990 | ||||||
| 2,180 | USS Company, Ltd. | 197,025 | ||||||
| 2,243 | VF Corporation | 284,839 | ||||||
| 27,561 | Williams-Sonoma, Inc. | 1,061,098 | ||||||
| 27,091 | WMS Industries, Inc.a | 555,907 | ||||||
| 2,699 | Wyndham Worldwide Corporation | 102,103 | ||||||
|
| |||||||
Total Consumer Discretionary | 77,960,489 | |||||||
|
| |||||||
| Consumer Staples (1.7%) | ||||||||
| 278,502 | Altria Group, Inc. | 8,257,584 | ||||||
| 118,184 | Anheuser-Busch InBev NV ADR | 7,208,042 | ||||||
| 13,000 | Autogrill SPA | 126,363 | ||||||
| 4,500 | British American Tobacco plc | 213,486 | ||||||
| 86,445 | British American Tobacco plc ADR | 8,201,902 | ||||||
| 3,715 | Clorox Company | 247,270 | ||||||
| 135,550 | Coca-Cola Company | 9,484,433 | ||||||
| 127,500 | ConAgra Foods, Inc. | 3,366,000 | ||||||
| 69,496 | Corn Products International, Inc. | 3,654,795 | ||||||
| 23,520 | CVS Caremark Corporation | 959,146 | ||||||
| 23,920 | Diageo plc ADR | 2,091,086 | ||||||
| 5,800 | Imperial Tobacco Group plc | 219,479 | ||||||
| 6,100 | Kao Corporation | 166,445 | ||||||
| 19,900 | Koninklijke (Royal) Ahold NV | 267,448 | ||||||
| 66,222 | Kraft Foods, Inc. | 2,474,054 | ||||||
| 1,900 | Nestle SA | 109,105 | ||||||
| 113,670 | Philip Morris International, Inc. | 8,920,822 | ||||||
| 35,561 | TreeHouse Foods, Inc.a | 2,324,978 | ||||||
| 205,122 | Wal-Mart Stores, Inc. | 12,258,091 | ||||||
| 7,543 | Whole Foods Market, Inc. | 524,842 | ||||||
|
| |||||||
Total Consumer Staples | 71,075,371 | |||||||
|
| |||||||
| Energy (1.6%) | ||||||||
| 38,513 | Alpha Natural Resources, Inc.a | 786,821 | ||||||
| 77,988 | Apache Corporation | 7,064,153 | ||||||
| 90,099 | Arch Coal, Inc. | 1,307,336 | ||||||
| 96,020 | Baker Hughes, Inc. | 4,670,413 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (17.5%) | Value | ||||||
| Energy (1.6%) - continued | ||||||||
| 3,200 | Cameron International Corporationa | $ | 157,408 | |||||
| 26,860 | Chevron Corporation | 2,857,904 | ||||||
| 3,425 | Concho Resources, Inc.a | 321,094 | ||||||
| 39,060 | ConocoPhillips | 2,846,302 | ||||||
| 9,400 | Eni SPA | 193,792 | ||||||
| 198,110 | ENSCO International plc ADR | 9,295,321 | ||||||
| 20,070 | EOG Resources, Inc. | 1,977,096 | ||||||
| 64,500 | Exxon Mobil Corporation | 5,467,020 | ||||||
| 71,566 | Helix Energy Solutions Group, Inc.a | 1,130,743 | ||||||
| 118,700 | Marathon Oil Corporation | 3,474,349 | ||||||
| 12,583 | National Oilwell Varco, Inc. | 855,518 | ||||||
| 12,900 | Neste Oil OYJ | 129,729 | ||||||
| 11,300 | Newfield Exploration Companya | 426,349 | ||||||
| 9,760 | Occidental Petroleum Corporation | 914,512 | ||||||
| 33,844 | Oil States International, Inc.a | 2,584,666 | ||||||
| 146,732 | Patriot Coal Corporationa | 1,242,820 | ||||||
| 145,187 | Peabody Energy Corporation | 4,807,141 | ||||||
| 139,237 | Petroleum Geo-Services ASAa | 1,517,462 | ||||||
| 2,136 | Range Resources Corporation | 132,304 | ||||||
| 2,740 | Royal Dutch Shell plc, Class A | 100,531 | ||||||
| 10,600 | Royal Dutch Shell plc, Class B | 403,210 | ||||||
| 1,900 | RWE AG | 66,692 | ||||||
| 15,600 | Southwestern Energy Companya | 498,264 | ||||||
| 53,879 | Swift Energy Companya | 1,601,284 | ||||||
| 644,992 | Weatherford International, Ltd.a | 9,442,683 | ||||||
| 7,600 | Woodside Petroleum, Ltd. | 237,905 | ||||||
|
| |||||||
| Total Energy | 66,510,822 | |||||||
|
| |||||||
| Financials (4.0%) | ||||||||
| 16,496 | Acadia Realty Trust | 332,229 | ||||||
| 30,700 | ACE, Ltd. | 2,152,684 | ||||||
| 24,479 | Affiliated Managers Group, Inc.a | 2,348,760 | ||||||
| 22,696 | Alexandria Real Estate Equities, Inc. | 1,565,343 | ||||||
| 11,112 | American Assets Trust, Inc. | 227,907 | ||||||
| 27,065 | American Campus Communities, Inc. | 1,135,647 | ||||||
| 9,116 | American Capital Agency Corporation | 255,977 | ||||||
| 28,420 | Aon Corporation | 1,330,056 | ||||||
| 39,545 | Apartment Investment & Management Company | 905,976 | ||||||
| 2,971 | Apollo Commercial Real Estate Finance, Inc. | 39,009 | ||||||
| 27,041 | Ashford Hospitality Trust, Inc. | 216,328 | ||||||
| 9,700 | Assicurazioni Generali SPA | 145,599 | ||||||
| 11,474 | Associated Estates Realty Corporation | 183,010 | ||||||
| 7,400 | ASX, Ltd. | 230,990 | ||||||
| 14,500 | Atlantia SPA | 231,424 | ||||||
| 30,064 | AvalonBay Communities, Inc. | 3,926,358 | ||||||
| 56,900 | Banco de Valencia SAa | 45,133 | ||||||
| 43,165 | BioMed Realty Trust, Inc. | 780,423 | ||||||
| 47,459 | Boston Properties, Inc. | 4,726,916 | ||||||
| 43,675 | Brandywine Realty Trust | 414,913 | ||||||
| 21,902 | BRE Properties, Inc. | 1,105,613 | ||||||
| 4,940 | Brookfield Asset Management, Inc. | 135,751 | ||||||
| 31,843 | Brookfield Office Properties, Inc. | 498,025 | ||||||
| 26,228 | Camden Property Trust | 1,632,431 | ||||||
| 12,228 | Campus Crest Communities, Inc. | 123,014 | ||||||
| 61,024 | CBL & Associates Properties, Inc. | 958,077 | ||||||
| 6,883 | CBRE Group, Inc.a | 104,759 | ||||||
| 6,128 | Chatham Lodging Trust | 66,060 | ||||||
| 11,054 | Chesapeake Lodging Trust | 170,895 | ||||||
| 87,617 | Citigroup, Inc. | 2,305,203 | ||||||
| 10,091 | CME Group, Inc. | 2,458,874 | ||||||
| 12,967 | Cogdell Spencer, Inc. | 55,110 | ||||||
| 3,385 | Cohen & Steers Quality Income Realty Fund, Inc. | 28,671 | ||||||
| 21,706 | Colonial Properties Trust | 452,787 | ||||||
| 6,381 | Colony Financial, Inc. | 100,246 | ||||||
| 9,305 | CommonWealth REIT | 154,835 | ||||||
| 4,967 | Coresite Realty Corporation | 88,512 | ||||||
| 20,968 | Corporate Office Properties Trust | 445,780 | ||||||
| 3,976 | CreXus Investment Corporation | 41,271 | ||||||
| 21,525 | CubeSmart | 229,026 | ||||||
| 67,035 | DCT Industrial Trust, Inc. | 343,219 | ||||||
| 82,721 | DDR Corporation | 1,006,715 | ||||||
| 58,057 | DiamondRock Hospitality Company | 559,669 | ||||||
| 38,200 | Digital Realty Trust, Inc. | 2,546,794 | ||||||
| 96,429 | Discover Financial Services | 2,314,296 | ||||||
| 44,637 | Douglas Emmett, Inc. | 814,179 | ||||||
| 101,741 | Duke Realty Corporation | 1,225,979 | ||||||
| 20,460 | DuPont Fabros Technology, Inc. | 495,541 | ||||||
| 8,487 | EastGroup Properties, Inc. | 369,015 | ||||||
| 18,515 | Education Realty Trust, Inc. | 189,408 | ||||||
| 14,200 | Endurance Specialty Holdings, Ltd. | 543,150 | ||||||
| 14,943 | Entertainment Properties Trust | 653,159 | ||||||
| 14,307 | Equity Lifestyle Properties, Inc. | 954,134 | ||||||
| 44,673 | Equity One, Inc. | 758,548 | ||||||
| 91,364 | Equity Residential | 5,210,489 | ||||||
| 13,580 | Essex Property Trust, Inc. | 1,908,126 | ||||||
| 6,919 | Excel Trust, Inc. | 83,028 | ||||||
| 2,900 | Experian plc | 39,419 | ||||||
| 33,331 | Extra Space Storage, Inc. | 807,610 | ||||||
| 19,087 | Federal Realty Investment Trust | 1,732,145 | ||||||
| 28,385 | FelCor Lodging Trust, Inc.a | 86,574 | ||||||
| 248,900 | Fifth Third Bancorp | 3,166,008 | ||||||
| 14,020 | First Industrial Realty Trust, Inc.a | 143,425 | ||||||
| 10,949 | First Potomac Realty Trust | 142,884 | ||||||
| 20,413 | Forest City Enterprises, Inc.a | 241,282 | ||||||
| 106,879 | General Growth Properties, Inc. | 1,605,323 | ||||||
| 29,744 | Glimcher Realty Trust | 273,645 | ||||||
| 9,100 | Goldman Sachs Group, Inc. | 822,913 | ||||||
| 9,132 | Government Properties Income Trust | 205,927 | ||||||
| 4,488 | Hannover Rueckversicherung AG | 222,368 | ||||||
| 34,163 | HCC Insurance Holdings, Inc. | 939,483 | ||||||
| 101,998 | HCP, Inc. | 4,225,777 | ||||||
| 47,379 | Health Care REIT, Inc. | 2,583,577 | ||||||
| 15,364 | Healthcare Realty Trust, Inc. | 285,617 | ||||||
| 47,874 | Hersha Hospitality Trust | 233,625 | ||||||
| 19,301 | Highwoods Properties, Inc. | 572,661 | ||||||
| 13,666 | Home Properties, Inc. | 786,752 | ||||||
| 21,896 | Hospitality Properties Trust | 503,170 | ||||||
| 262,824 | Host Hotels & Resorts, Inc. | 3,881,910 | ||||||
| 184,800 | Hudson City Bancorp, Inc. | 1,155,000 | ||||||
| 2,213 | Hudson Pacific Properties, Inc. | 31,336 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (17.5%) | Value | ||||||
| Financials (4.0%) - continued | ||||||||
| 13,611 | Inland Real Estate Corporation | $ | 103,580 | |||||
| 5,885 | IntercontinentalExchange, Inc.a | 709,437 | ||||||
| 20,449 | Invesco Mortgage Capital, Inc. | 287,308 | ||||||
| 197,227 | J.P. Morgan Chase & Company | 6,557,798 | ||||||
| 2,600 | Julius Baer Group, Ltd.a | 101,276 | ||||||
| 20,483 | Kilroy Realty Corporation | 779,788 | ||||||
| 104,401 | Kimco Realty Corporation | 1,695,472 | ||||||
| 11,600 | Kinnevik Investment AB | 225,462 | ||||||
| 18,892 | Kite Realty Group Trust | 85,203 | ||||||
| 85,690 | KKR & Company, LP | 1,099,403 | ||||||
| 24,248 | LaSalle Hotel Properties | 587,044 | ||||||
| 17,607 | Lazard, Ltd. | 459,719 | ||||||
| 17,276 | Lexington Realty Trust | 129,397 | ||||||
| 32,124 | Liberty Property Trust | 991,989 | ||||||
| 3,400 | London Stock Exchange Group plc | 41,815 | ||||||
| 4,401 | LTC Properties, Inc. | 135,815 | ||||||
| 11,900 | M&T Bank Corporation | 908,446 | ||||||
| 42,481 | Macerich Company | 2,149,539 | ||||||
| 24,904 | Mack-Cali Realty Corporation | 664,688 | ||||||
| 19,105 | Medical Properties Trust, Inc. | 188,566 | ||||||
| 9,874 | Mid-America Apartment Communities, Inc. | 617,619 | ||||||
| 1,530 | MSCI, Inc.a | 50,383 | ||||||
| 2,100 | Muenchener Rueckversicherungs - Gesellschaft AG | 257,322 | ||||||
| 25,900 | NASDAQ OMX Group, Inc.a | 634,809 | ||||||
| 24,204 | National Retail Properties, Inc. | 638,502 | ||||||
| 14,200 | Northern Trust Corporation | 563,172 | ||||||
| 144,100 | Ocwen Financial Corporationa | 2,086,568 | ||||||
| 23,481 | Omega Healthcare Investors, Inc. | 454,357 | ||||||
| 1,300 | Pargesa Holding SA | 84,918 | ||||||
| 200 | Partners Group Holding AG | 34,842 | ||||||
| 13,391 | Pebblebrook Hotel Trust | 256,839 | ||||||
| 5,438 | Pennsylvania Real Estate Investment Trust | 56,773 | ||||||
| 6,853 | Piedmont Office Realty Trust, Inc. | 116,775 | ||||||
| 6,856 | Plum Creek Timber Company, Inc. | 250,655 | ||||||
| 1,004,295 | Popular, Inc.a | 1,395,970 | ||||||
| 13,321 | Post Properties, Inc. | 582,394 | ||||||
| 37,222 | Principal Financial Group, Inc. | 915,661 | ||||||
| 35,770 | Progressive Corporation | 697,873 | ||||||
| 131,156 | Prologis, Inc. | 3,749,750 | ||||||
| 25,373 | Prudential plc | 251,050 | ||||||
| 5,187 | PS Business Parks, Inc. | 287,515 | ||||||
| 42,792 | Public Storage, Inc. | 5,753,812 | ||||||
| 13,135 | Ramco-Gershenson Properties Trust | 129,117 | ||||||
| 10,326 | Rayonier, Inc. REIT | 460,849 | ||||||
| 8,149 | Realty Income Corporation | 284,889 | ||||||
| 34,829 | Regency Centers Corporation | 1,310,267 | ||||||
| 60,123 | Resolution, Ltd. | 234,376 | ||||||
| 5,532 | Retail Opportunity Investments Corporation | 65,499 | ||||||
| 8,110 | RLJ Lodging Trust | 136,491 | ||||||
| 5,700 | Sabra Healthcare REIT, Inc. | 68,913 | ||||||
| 2,104 | Saul Centers, Inc. | 74,524 | ||||||
| 44,843 | Senior Housing Property Trust | 1,006,277 | ||||||
| 94,929 | Simon Property Group, Inc. | 12,240,145 | ||||||
| 48,000 | Singapore Exchange, Ltd. | 226,870 | ||||||
| 27,630 | SL Green Realty Corporation | 1,841,263 | ||||||
| 3,049 | Sovran Self Storage, Inc. | 130,101 | ||||||
| 4,034 | Starwood Property Trust, Inc. | 74,669 | ||||||
| 33,890 | State Street Corporation | 1,366,106 | ||||||
| 69,100 | Stockland | 225,732 | ||||||
| 25,267 | Strategic Hotel Capital, Inc.a | 135,684 | ||||||
| 9,200 | Sumitomo Mitsui Financial Group, Inc. | 255,142 | ||||||
| 11,275 | Summit Hotel Properties, Inc. | 106,436 | ||||||
| 1,886 | Sun Communities, Inc. | 68,896 | ||||||
| 33,729 | Sunstone Hotel Investors, Inc.a | 274,891 | ||||||
| 21,550 | SVB Financial Groupa | 1,027,720 | ||||||
| 9,400 | Svenska Handelsbanken AB | 246,331 | ||||||
| 31,356 | Tanger Factory Outlet Centers, Inc. | 919,358 | ||||||
| 18,248 | Taubman Centers, Inc. | 1,133,201 | ||||||
| 13,783 | TD Ameritrade Holding Corporation | 215,704 | ||||||
| 76,382 | Texas Capital Bancshares, Inc.a | 2,338,053 | ||||||
| 2,100 | Tryg A/S | 116,327 | ||||||
| 50,672 | Two Harbors Investment Corporation | 468,209 | ||||||
| 27,170 | U.S. Bancorp | 734,949 | ||||||
| 51,562 | UDR, Inc. | 1,294,206 | ||||||
| 20,000 | United Overseas Land, Ltd. | 61,604 | ||||||
| 82,520 | Unum Group | 1,738,696 | ||||||
| 12,050 | Vanguard REIT ETF | 698,900 | ||||||
| 75,204 | Ventas, Inc. | 4,145,997 | ||||||
| 52,896 | Vornado Realty Trust | 4,065,587 | ||||||
| 32,534 | W.R. Berkley Corporation | 1,118,844 | ||||||
| 10,348 | Washington Real Estate Investment Trust | 283,018 | ||||||
| 29,171 | Weingarten Realty Investors | 636,511 | ||||||
| 270,173 | Wells Fargo & Company | 7,445,968 | ||||||
| 30,300 | Westfield Group | 241,746 | ||||||
| 2,562 | Winthrop Realty Trust | 26,056 | ||||||
| 131,583 | Zions Bancorporation | 2,142,171 | ||||||
| 600 | Zurich Financial Services AGa | 135,184 | ||||||
|
| |||||||
| Total Financials | 166,604,283 | |||||||
|
| |||||||
| Health Care (2.0%) | ||||||||
| 11,548 | Alexion Pharmaceuticals, Inc.a | 825,682 | ||||||
| 112,200 | Align Technology, Inc.a | 2,661,945 | ||||||
| 10,229 | AmerisourceBergen Corporation | 380,417 | ||||||
| 109,700 | Amgen, Inc. | 7,043,837 | ||||||
| 7,200 | AstraZeneca plc | 332,590 | ||||||
| 127,699 | Baxter International, Inc. | 6,318,547 | ||||||
| 2,400 | BioMarin Pharmaceutical, Inc.a | 82,512 | ||||||
| 106,750 | Bristol-Myers Squibb Company | 3,761,870 | ||||||
| 7,801 | C.R. Bard, Inc. | 666,985 | ||||||
| 7,717 | CIGNA Corporation | 324,114 | ||||||
| 45,797 | Covance, Inc.a | 2,093,839 | ||||||
| 17,448 | Coventry Health Care, Inc.a | 529,896 | ||||||
| 34,130 | Covidien plc | 1,536,191 | ||||||
| 7,700 | CSL, Ltd. | 251,043 | ||||||
| 167,900 | Eli Lilly and Company | 6,977,924 | ||||||
| 64,500 | Gilead Sciences, Inc.a | 2,639,985 | ||||||
| 89,124 | Health Net, Inc.a | 2,711,152 | ||||||
| 24,100 | Johnson & Johnson | 1,580,478 | ||||||
| 79,357 | McKesson Corporation | 6,182,704 | ||||||
| 38,700 | Medtronic, Inc. | 1,480,275 | ||||||
| 62,460 | Merck & Company, Inc. | 2,354,742 | ||||||
| 861 | Mettler-Toledo International, Inc.a | 127,178 | ||||||
| 336,612 | Mylan, Inc.a | 7,223,694 | ||||||
| 1,300 | Novartis AG | 74,221 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (17.5%) | Value | ||||||
| Health Care (2.0%) - continued | ||||||||
| 300 | Novo Nordisk AS | $ | 34,465 | |||||
| 2,979 | Onyx Pharmaceuticals, Inc.a | 130,927 | ||||||
| 301,542 | Pfizer, Inc. | 6,525,369 | ||||||
| 82,541 | PSS World Medical, Inc.a | 1,996,667 | ||||||
| 700 | Roche Holding AG | 118,383 | ||||||
| 6,246 | SXC Health Solutions Corporationa | 352,774 | ||||||
| 21,500 | Thoratec Corporationa | 721,540 | ||||||
| 55,580 | United Therapeutics Corporationa | 2,626,155 | ||||||
| 228,127 | UnitedHealth Group, Inc. | 11,561,476 | ||||||
| 7,610 | Varian Medical Systems, Inc.a | 510,859 | ||||||
| 6,300 | Waters Corporationa | 466,515 | ||||||
| 8,130 | Watson Pharmaceuticals, Inc.a | 490,564 | ||||||
| 8,382 | Zimmer Holdings, Inc.a | 447,766 | ||||||
|
| |||||||
| Total Health Care | 84,145,281 | |||||||
|
| |||||||
| Industrials (1.8%) | ||||||||
| 34,500 | 3M Company | 2,819,685 | ||||||
| 20 | A P Moller - Maersk AS | 131,554 | ||||||
| 14,900 | Abertis Infraestructuras SA | 236,771 | ||||||
| 21,000 | All Nippon Airways Company, Ltd. | 58,678 | ||||||
| 3,656 | AMETEK, Inc. | 153,918 | ||||||
| 13,875 | BE Aerospace, Inc.a | 537,101 | ||||||
| 74,460 | Boeing Company | 5,461,641 | ||||||
| 7,400 | Bouygues SA | 232,719 | ||||||
| 28,158 | Caterpillar, Inc. | 2,551,115 | ||||||
| 29 | Central Japan Railway Company | 244,739 | ||||||
| 27,225 | Chicago Bridge and Iron Company | 1,029,105 | ||||||
| 13,700 | Cobham plc | 39,011 | ||||||
| 143,397 | CSX Corporation | 3,019,941 | ||||||
| 21,300 | Cummins, Inc. | 1,874,826 | ||||||
| 78,140 | Deluxe Corporation | 1,778,466 | ||||||
| 2,900 | Deutsche Lufthansa AG | 34,492 | ||||||
| 4,200 | East Japan Railway Company | 267,701 | ||||||
| 2,200 | Eiffage SA | 53,002 | ||||||
| 75,481 | EMCOR Group, Inc. | 2,023,646 | ||||||
| 12,182 | Expeditors International of Washington, Inc. | 498,975 | ||||||
| 2,616 | Flowserve Corporation | 259,821 | ||||||
| 17,100 | Fluor Corporation | 859,275 | ||||||
| 72,790 | FTI Consulting, Inc.a | 3,087,752 | ||||||
| 55,100 | GATX Corporation | 2,405,666 | ||||||
| 175,270 | General Electric Company | 3,139,086 | ||||||
| 69,962 | Honeywell International, Inc. | 3,802,435 | ||||||
| 5,500 | Jacobs Engineering Group, Inc.a | 223,190 | ||||||
| 10,930 | JB Hunt Transport Services, Inc. | 492,615 | ||||||
| 8,345 | Kansas City Southerna | 567,543 | ||||||
| 2,500 | Koninklijke Boskalis Westminster NV | 91,561 | ||||||
| 28,400 | L-3 Communications Holdings, Inc. | 1,893,712 | ||||||
| 278,083 | Manitowoc Company, Inc. | 2,555,583 | ||||||
| 9,500 | Manpower, Inc. | 339,625 | ||||||
| 27,758 | Oshkosh Corporationa | 593,466 | ||||||
| 52,668 | Parker Hannifin Corporation | 4,015,935 | ||||||
| 8,202 | Pentair, Inc. | 273,045 | ||||||
| 36,100 | PostNL NV | 114,532 | ||||||
| 32,163 | Precision Castparts Corporation | 5,300,141 | ||||||
| 17,100 | Republic Services, Inc. | 471,105 | ||||||
| 6,192 | Roper Industries, Inc. | 537,899 | ||||||
| 46,900 | Ryanair Holdings plca | 219,356 | ||||||
| 82,327 | Shaw Group, Inc.a | 2,214,596 | ||||||
| 39,479 | SPX Corporation | 2,379,399 | ||||||
| 3,805 | Stericycle, Inc.a | 296,486 | ||||||
| 24,645 | Teledyne Technologies, Inc.a | 1,351,778 | ||||||
| 36,580 | Textron, Inc. | 676,364 | ||||||
| 14,500 | Tyco International, Ltd. | 677,295 | ||||||
| 49,833 | Union Pacific Corporation | 5,279,308 | ||||||
| 68,397 | United Technologies Corporation | 4,999,137 | ||||||
| 8,750 | WESCO International, Inc.a | 463,837 | ||||||
| 900 | West Japan Railway Company | 39,106 | ||||||
| 54,000 | Yangzijiang Shipbuilding Holdings, Ltd. | 37,789 | ||||||
|
| |||||||
| Total Industrials | 72,705,524 | |||||||
|
| |||||||
| Information Technology (3.5%) | ||||||||
| 50,500 | ADTRAN, Inc. | 1,523,080 | ||||||
| 131,154 | Akamai Technologies, Inc.a | 4,233,651 | ||||||
| 11,100 | Alliance Data Systems Corporationa | 1,152,624 | ||||||
| 2,602 | Altera Corporation | 96,534 | ||||||
| 7,466 | ANSYS, Inc.a | 427,652 | ||||||
| 58,107 | Apple, Inc.a | 23,533,335 | ||||||
| 232,404 | Atmel Corporationa | 1,882,472 | ||||||
| 16,467 | Baidu.com, Inc. ADRa | 1,917,912 | ||||||
| 102,167 | Broadcom Corporationa | 2,999,623 | ||||||
| 2,700 | Cap Gemini SA | 83,938 | ||||||
| 108,610 | Cisco Systems, Inc. | 1,963,669 | ||||||
| 84,176 | Cognizant Technology Solutions Corporationa | 5,413,359 | ||||||
| 4,500 | Computershare, Ltd. | 36,783 | ||||||
| 145,229 | eBay, Inc.a | 4,404,796 | ||||||
| 21,572 | Electronic Arts, Inc.a | 444,383 | ||||||
| 229,849 | EMC Corporationa | 4,950,947 | ||||||
| 34,440 | F5 Networks, Inc.a | 3,654,773 | ||||||
| 8,112 | Fortinet, Inc.a | 176,923 | ||||||
| 16,784 | Google, Inc.a | 10,840,786 | ||||||
| 170,300 | Intel Corporation | 4,129,775 | ||||||
| 10,201 | International Business Machines Corporation | 1,875,760 | ||||||
| 15,193 | Itron, Inc.a | 543,454 | ||||||
| 19,269 | Ixiaa | 202,517 | ||||||
| 28,424 | Juniper Networks, Inc.a | 580,134 | ||||||
| 46,000 | KLA-Tencor Corporation | 2,219,500 | ||||||
| 8,914 | Lam Research Corporationa | 329,996 | ||||||
| 27,889 | Marvell Technology Group, Ltd.a | 386,263 | ||||||
| 4,487 | Mercadolibre, Inc. | 356,896 | ||||||
| 435,925 | Microsoft Corporation | 11,316,613 | ||||||
| 188,355 | Monster Worldwide, Inc.a | 1,493,655 | ||||||
| 58,040 | NetApp, Inc.a | 2,105,111 | ||||||
| 4,056 | Nice Systems, Ltd. ADRa | 139,729 | ||||||
| 44,000 | Nokia Oyj | 212,096 | ||||||
| 26 | NTT Data Corporation | 82,789 | ||||||
| 20,926 | Nuance Communications, Inc.a | 526,498 | ||||||
| 75,906 | NVIDIA Corporationa | 1,052,057 | ||||||
| 414,195 | Oracle Corporation | 10,624,102 | ||||||
| 62,566 | Plantronics, Inc. | 2,229,852 | ||||||
| 67,813 | Plexus Corporationa | 1,856,720 | ||||||
| 145,092 | QUALCOMM, Inc. | 7,936,532 | ||||||
| 89,891 | Quest Software, Inc.a | 1,671,973 | ||||||
| 6,917 | Red Hat, Inc.a | 285,603 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (17.5%) | Value | ||||||
| Information Technology (3.5%) - continued | ||||||||
| 30,635 | Salesforce.com, Inc.a | $ | 3,108,227 | |||||
| 12,922 | SuccessFactors, Inc.a | 515,200 | ||||||
| 18,019 | Symantec Corporationa | 281,997 | ||||||
| 13,675 | Teradata Corporationa | 663,374 | ||||||
| 223,434 | Teradyne, Inc.a | 3,045,405 | ||||||
| 71,420 | Texas Instruments, Inc. | 2,079,036 | ||||||
| 123,480 | TIBCO Software, Inc.a | 2,952,407 | ||||||
| 29,590 | ValueClick, Inc.a | 482,021 | ||||||
| 81,063 | VeriFone Systems, Inc.a | 2,879,358 | ||||||
| 48,235 | VMware, Inc.a | 4,012,670 | ||||||
| 141,593 | Xilinx, Inc. | 4,539,472 | ||||||
|
| |||||||
| Total Information Technology | 146,454,032 | |||||||
|
| |||||||
| Materials (0.5%) | ||||||||
| 12,104 | Albemarle Corporation | 623,477 | ||||||
| 5,000 | Amcor, Ltd. | 36,808 | ||||||
| 3,800 | Bayer AG | 242,664 | ||||||
| 10,700 | BHP Billiton plc | 312,828 | ||||||
| 5,400 | BHP Billiton, Ltd. | 190,614 | ||||||
| 9,745 | Celanese Corporation | 431,411 | ||||||
| 27,654 | E.I. du Pont de Nemours and Company | 1,266,000 | ||||||
| 3,146 | FMC Corporation | 270,682 | ||||||
| 289,407 | Freeport-McMoRan Copper & Gold, Inc. | 10,647,284 | ||||||
| 200 | Geberit AGa | 38,444 | ||||||
| 6,000 | Metso Corporation | 221,583 | ||||||
| 4,469 | Newmont Mining Corporation | 268,185 | ||||||
| 10,714 | Pan American Silver Corporation | 233,672 | ||||||
| 2,807 | Rio Tinto plc | 137,115 | ||||||
| 13,617 | Sigma-Aldrich Corporation | 850,518 | ||||||
| 16,622 | Silgan Holdings, Inc. | 642,274 | ||||||
| 7,986 | Silver Wheaton Corporation | 231,275 | ||||||
| 47,430 | Steel Dynamics, Inc. | 623,704 | ||||||
| 300 | Syngenta AGa | 88,155 | ||||||
| 1,900 | Wacker Chemie AG | 152,608 | ||||||
| 24,553 | Walter Energy, Inc. | 1,486,930 | ||||||
| 2,921 | Yara International ASA | 116,604 | ||||||
|
| |||||||
| Total Materials | 19,112,835 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | ||||||||
| 4,800 | Deutsche Telekom AG | 55,056 | ||||||
| 21,717 | Inmarsat plc | 136,009 | ||||||
| 6,100 | Koninklijke (Royal) KPN NV | 72,811 | ||||||
| 4,200 | Nippon Telegraph & Telephone Corporation | 213,822 | ||||||
| 94 | NTT DoCoMo, Inc. | 172,586 | ||||||
| 4,756 | SBA Communications Corporationa | 204,318 | ||||||
| 19,400 | Telekom Austria AG | 232,072 | ||||||
| 7,973 | Telenor ASA | 130,467 | ||||||
| 55,800 | Telstra Corporation, Ltd. | 189,778 | ||||||
| 21,805 | TW Telecom, Inc.a | 422,581 | ||||||
| 101,776 | Verizon Communications, Inc. | 4,083,253 | ||||||
|
| |||||||
| Total Telecommunications Services | 5,912,753 | |||||||
|
| |||||||
| Utilities (0.3%) | ||||||||
| 31,100 | CMS Energy Corporation | 686,688 | ||||||
| 20,300 | Electricidade de Portugal SA | 62,689 | ||||||
| 53,750 | Exelon Corporation | 2,331,137 | ||||||
| 8,300 | Hokuriku Electric Power Company | 155,008 | ||||||
| 76,730 | NiSource, Inc. | 1,826,941 | ||||||
| 42,073 | NV Energy, Inc. | 687,894 | ||||||
| 111,200 | PNM Resources, Inc. | 2,027,176 | ||||||
| 6,200 | Shikoku Electric Power Company | 177,865 | ||||||
| 50,061 | Southwest Gas Corporation | 2,127,092 | ||||||
| 16,800 | The Kansai Electric Power Company, Inc. | 258,067 | ||||||
| 8,700 | Tohoku Electric Power Company, Inc. | 83,585 | ||||||
| 31,000 | Tokyo Electric Power Company, Inc.a | 74,395 | ||||||
| 19,842 | UGI Corporation | 583,355 | ||||||
|
| |||||||
| Total Utilities | 11,081,892 | |||||||
|
| |||||||
Total Common Stock (cost $702,648,933) | 721,563,282 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (12.0%) | Value | ||||||
| Asset-Backed Securities (0.4%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| $4,220,470 | 0.444%, 8/25/2036b | 3,151,526 | ||||||
| GSAMP Trust | ||||||||
| 3,924,562 | 0.474%, 2/25/2036b | 3,056,928 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 5,300,000 | 5.461%, 10/25/2036 | 4,050,075 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 4,281,042 | 0.444%, 2/25/2037b | 2,390,688 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 6,500,000 | 6.011%, 5/25/2036 | 2,545,420 | ||||||
| 3,961,085 | 5.580%, 11/25/2036 | 2,230,934 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 17,425,571 | |||||||
|
| |||||||
| Basic Materials (0.2%) | ||||||||
| ArcelorMittal | ||||||||
| 3,500,000 | 7.000%, 10/15/2039 | 3,252,599 | ||||||
| Arch Coal, Inc. | ||||||||
| 740,000 | 7.000%, 6/15/2019c | 754,800 | ||||||
| Dow Chemical Company | ||||||||
| 3,500,000 | 4.250%, 11/15/2020 | 3,638,036 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 740,000 | 7.000%, 11/1/2015c | 747,400 | ||||||
| Novelis, Inc. | ||||||||
| 740,000 | 8.375%, 12/15/2017 | 786,250 | ||||||
|
| |||||||
| Total Basic Materials | 9,179,085 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
| Bombardier, Inc. | ||||||||
| 740,000 | 7.750%, 3/15/2020c | 806,600 | ||||||
| Case New Holland, Inc. | ||||||||
| 730,000 | 7.875%, 12/1/2017 | 824,900 | ||||||
| Danaher Corporation | ||||||||
| 1,400,000 | 0.817%, 6/21/2013b | 1,402,041 | ||||||
|
| |||||||
| Total Capital Goods | 3,033,541 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
121
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (12.0%) | Value | ||||||
| Collateralized Mortgage Obligations (0.7%) | ||||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| $1,691,472 | 5.500%, 11/25/2035 | $ | 1,429,421 | |||||
CitiMortgage Alternative Loan Trust | ||||||||
| 5,798,900 | 5.750%, 4/25/2037 | 3,773,924 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 2,429,458 | 6.000%, 4/25/2036 | 1,574,906 | ||||||
| 1,166,645 | 6.000%, 1/25/2037 | 766,297 | ||||||
| 6,700,359 | 5.500%, 5/25/2037 | 4,559,366 | ||||||
| 5,801,591 | 7.000%, 10/25/2037 | 3,315,046 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 3,014,402 | 5.750%, 4/25/2037 | 2,518,768 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 1,087,216 | 5.500%, 10/25/2021 | 1,039,671 | ||||||
| 2,010,435 | 6.000%, 10/25/2021 | 1,765,755 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 3,018,104 | 0.484%, 8/25/2046b | 2,262,588 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,557,744 | 2.221%, 4/25/2037 | 1,365,810 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 1,570,273 | 2.783%, 6/25/2036 | 1,169,969 | ||||||
| 508,504 | 2.772%, 10/25/2036 | 370,713 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 1,303,428 | 6.500%, 7/25/2034 | 1,362,515 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
| 1,335,753 | 6.000%, 3/25/2037 | 942,421 | ||||||
Sequoia Mortgage Trust | ||||||||
| 2,006,768 | 5.352%, 9/20/2046 | 607,230 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 548,134 | 5.836%, 9/25/2036 | 367,837 | ||||||
| 1,938,813 | 5.933%, 10/25/2036 | 1,327,166 | ||||||
| 2,935,788 | 2.312%, 11/25/2036 | 2,084,953 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 32,604,356 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.3%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 7,200,000 | 5.633%, 4/10/2049 | 7,695,122 | ||||||
| 4,975,000 | 5.622%, 6/10/2049 | 5,334,673 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,685,577 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,181,959 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 7,200,000 | 5.542%, 1/15/2049 | 7,621,762 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 8,875,000 | 5.509%, 9/15/2039 | 8,304,346 | ||||||
Government National Mortgage Association | ||||||||
| 535,846 | 2.164%, 3/16/2033 | 543,183 | ||||||
| 477,097 | 3.214%, 1/16/2040 | 496,834 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 4,650,000 | 5.867%, 12/10/2049 | 4,124,596 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 3,650,000 | 5.740%, 2/12/2049 | 3,462,368 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 2,650,000 | 5.406%, 3/15/2044 | 2,469,257 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 5,400,000 | 5.603%, 10/15/2048 | 5,194,476 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 52,114,153 | |||||||
|
| |||||||
| Communications Services (0.4%) | ||||||||
Cablevision Systems Corporation | ||||||||
| 740,000 | 8.625%, 9/15/2017 | 819,550 | ||||||
CBS Corporation | ||||||||
| 1,750,000 | 7.875%, 7/30/2030 | 2,226,345 | ||||||
| 1,750,000 | 5.900%, 10/15/2040 | 1,964,499 | ||||||
CCO Holdings, LLC | ||||||||
| 710,000 | 7.000%, 1/15/2019 | 740,175 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 740,000 | 9.250%, 12/15/2017 | 799,200 | ||||||
Cox Communications, Inc. | ||||||||
| 3,500,000 | 6.950%, 6/1/2038c | 3,996,724 | ||||||
EH Holding Corporation | ||||||||
| 740,000 | 6.500%, 6/15/2019c | 771,450 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 740,000 | 7.250%, 4/1/2019c | 751,100 | ||||||
NII Capital Corporation | ||||||||
| 730,000 | 7.625%, 4/1/2021 | 724,525 | ||||||
Sprint Nextel Corporation | ||||||||
| 740,000 | 9.000%, 11/15/2018c | 777,000 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 740,000 | 7.250%, 11/15/2021c | 749,250 | ||||||
|
| |||||||
| Total Communications Services | 14,319,818 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
Chrysler Group, LLC | ||||||||
| 695,000 | 8.000%, 6/15/2019c | 635,925 | ||||||
Home Depot, Inc. | ||||||||
| 3,500,000 | 5.875%, 12/16/2036 | 4,392,087 | ||||||
Lennar Corporation | ||||||||
| 740,000 | 12.250%, 6/1/2017 | 880,600 | ||||||
MGM Resorts International | ||||||||
| 630,000 | 11.125%, 11/15/2017 | 718,200 | ||||||
Rite Aid Corporation | ||||||||
| 740,000 | 7.500%, 3/1/2017 | 739,075 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 740,000 | 6.750%, 5/15/2018 | 836,200 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 740,000 | 8.500%, 12/1/2017 | 765,900 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (12.0%) | Value | ||||||
| Consumer Cyclical (0.2%) - continued | ||||||||
West Corporation | ||||||||
| $ 410,000 | 7.875%, 1/15/2019 | $ | 406,925 | |||||
WMG Acquisition Corporation | ||||||||
| 740,000 | 11.500%, 10/1/2018c | 734,450 | ||||||
|
| |||||||
| Total Consumer Cyclical | 10,109,362 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.7%) | ||||||||
Altria Group, Inc. | ||||||||
| 3,500,000 | 9.950%, 11/10/2038 | 5,323,437 | ||||||
Anheuser-Busch Companies, Inc. | ||||||||
| 1,750,000 | 6.450%, 9/1/2037 | 2,343,144 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2,450,000 | 0.761%, 7/14/2014b | 2,438,191 | ||||||
| 1,750,000 | 8.200%, 1/15/2039 | 2,759,001 | ||||||
Community Health Systems, Inc. | ||||||||
| 746,000 | 8.875%, 7/15/2015 | 770,245 | ||||||
HCA, Inc. | ||||||||
| 730,000 | 7.500%, 2/15/2022 | 746,425 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 620,000 | 11.625%, 5/1/2014 | 702,925 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc. | ||||||||
| 740,000 | 10.500%, 11/1/2018c | 725,200 | ||||||
Kraft Foods, Inc. | ||||||||
| 1,750,000 | 5.375%, 2/10/2020 | 2,019,239 | ||||||
| 1,750,000 | 7.000%, 8/11/2037 | 2,337,907 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 730,000 | 6.875%, 2/15/2021c | 726,350 | ||||||
Tenet Healthcare Corporation | ||||||||
| 750,000 | 8.875%, 7/1/2019 | 841,875 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 1,750,000 | 6.875%, 2/15/2038 | 2,346,860 | ||||||
| 1,750,000 | 5.700%, 10/15/2040 | 2,095,205 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 740,000 | 6.875%, 12/1/2018c | 738,150 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 26,914,154 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
Chesapeake Energy Corporation | ||||||||
| 670,000 | 9.500%, 2/15/2015 | 767,150 | ||||||
Denbury Resources, Inc. | ||||||||
| 740,000 | 6.375%, 8/15/2021 | 773,300 | ||||||
Harvest Operations Corporation | ||||||||
| 740,000 | 6.875%, 10/1/2017c | 765,900 | ||||||
Linn Energy, LLC | ||||||||
| 730,000 | 7.750%, 2/1/2021 | 759,200 | ||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 740,000 | 6.500%, 8/15/2021 | 770,525 | ||||||
Weatherford International, Ltd. | ||||||||
| 3,500,000 | 6.750%, 9/15/2040 | 3,970,330 | ||||||
|
| |||||||
| Total Energy | 7,806,405 | |||||||
|
| |||||||
| Financials (0.9%) | ||||||||
Achmea Hypotheekbank NV | ||||||||
| 371,000 | 3.200%, 11/3/2014c | 389,345 | ||||||
Ally Financial, Inc. | ||||||||
| 740,000 | 8.000%, 3/15/2020 | 758,500 | ||||||
AXA SA | ||||||||
| 3,500,000 | 6.379%, 12/29/2049c,d | 2,275,000 | ||||||
Bank of Nova Scotia | ||||||||
| 600,000 | 1.450%, 7/26/2013c | 606,946 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 1,750,000 | 5.919%, 12/29/2049d | 1,158,554 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 610,000 | 2.600%, 7/2/2015c | 630,893 | ||||||
Cie de Financement Foncier | ||||||||
| 600,000 | 2.250%, 3/7/2014c | 589,796 | ||||||
CIT Group, Inc. | ||||||||
| 740,000 | 7.000%, 5/1/2017 | 740,000 | ||||||
Dexia Credit Local SA | ||||||||
| 600,000 | 2.750%, 4/29/2014c | 545,214 | ||||||
General Electric Capital Corporation | ||||||||
| 3,500,000 | 6.750%, 3/15/2032 | 4,098,294 | ||||||
HCP, Inc. | ||||||||
| 3,500,000 | 6.750%, 2/1/2041 | 3,956,788 | ||||||
Health Care REIT, Inc. | ||||||||
| 1,400,000 | 6.500%, 3/15/2041 | 1,402,745 | ||||||
Icahn Enterprises, LP | ||||||||
| 770,000 | 8.000%, 1/15/2018 | 800,800 | ||||||
International Bank for Reconstruction & Development | ||||||||
| 600,000 | 2.375%, 5/26/2015 | 632,997 | ||||||
International Lease Finance Corporation | ||||||||
| 740,000 | 5.750%, 5/15/2016 | 686,381 | ||||||
MetLife Capital Trust IV | ||||||||
| 3,500,000 | 7.875%, 12/15/2037c | 3,631,250 | ||||||
Prudential Financial, Inc. | ||||||||
| 3,500,000 | 6.200%, 11/15/2040 | 3,662,418 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 3,600,000 | 7.250%, 5/24/2041c | 3,169,937 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 1,750,000 | 6.750%, 12/15/2065 | 1,517,114 | ||||||
Royal Bank of Canada | ||||||||
| 550,000 | 3.125%, 4/14/2015c | 577,070 | �� | |||||
Toronto-Dominion Bank | ||||||||
| 610,000 | 2.200%, 7/29/2015c | 624,613 | ||||||
XL Group plc | ||||||||
| 3,500,000 | 6.250%, 5/15/2027 | 3,546,665 | ||||||
| 1,750,000 | 6.500%, 12/29/2049d | 1,369,375 | ||||||
XLIT, Ltd. | ||||||||
| 1,800 | 3.526%, 10/29/2049b,e | 1,251,562 | ||||||
|
| |||||||
| Total Financials | 38,622,257 | |||||||
|
| |||||||
| Foreign Government (<0.1%) | ||||||||
Bank Nederlandse Gemeenten | ||||||||
| 850,000 | 4.375%, 2/16/2021c | 906,024 | ||||||
Kommunalbanken AS | ||||||||
| 600,000 | 2.750%, 5/5/2015c | 622,599 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 295,000 | 0.295%, 6/17/2013b | 294,860 | ||||||
|
| |||||||
| Total Foreign Government | 1,823,483 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (12.0%) | Value | ||||||
| Mortgage-Backed Securities (3.8%) | |||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| $25,300,000 | 3.000%, 1/1/2027f | $ | 26,126,197 | |||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 68,437,500 | 4.000%, 1/1/2042f | 71,891,472 | ||||||
| 23,450,000 | 4.500%, 1/1/2042f | 24,952,277 | ||||||
| 19,006,250 | 5.000%, 1/1/2042f | 20,532,699 | ||||||
| 11,406,250 | 6.000%, 1/1/2042f | 12,559,354 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 156,061,999 | |||||||
|
| |||||||
| Technology (<0.1%) | |||||||
Seagate HDD Cayman | ||||||||
| 710,000 | 7.750%, 12/15/2018c | 755,263 | ||||||
|
| |||||||
| Total Technology | 755,263 | |||||||
|
| |||||||
| Transportation (<0.1%) | |||||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | ||||||||
| 740,000 | 8.250%, 1/15/2019 | 734,450 | ||||||
|
| |||||||
| Total Transportation | 734,450 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.9%) | |||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 240,000 | Zero Coupon, 1/7/2012c | 239,956 | ||||||
| 240,000 | Zero Coupon, 1/7/2014c | 235,476 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 600,000 | 2.125%, 9/15/2015 | 621,212 | ||||||
Federal Home Loan Banks | ||||||||
| 3,500,000 | 5.000%, 11/17/2017 | 4,200,350 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 3,640,000 | 0.750%, 3/28/2013 | 3,660,282 | ||||||
| 1,200,000 | 2.500%, 1/7/2014 | 1,249,315 | ||||||
| 1,675,000 | 4.875%, 6/13/2018 | 2,018,243 | ||||||
Federal National Mortgage Association | ||||||||
| 2,250,000 | 1.250%, 2/27/2014 | 2,282,530 | ||||||
| 910,000 | 4.375%, 10/15/2015 | 1,028,290 | ||||||
| 2,400,000 | 1.375%, 11/15/2016 | 2,421,197 | ||||||
| 680,000 | 6.250%, 5/15/2029 | 957,350 | ||||||
Tennessee Valley Authority | ||||||||
| 520,000 | 5.250%, 9/15/2039 | 663,786 | ||||||
U.S. Treasury Bonds | ||||||||
| 1,020,000 | 4.375%, 5/15/2041 | 1,329,028 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 183,337 | 2.125%, 2/15/2040 | 246,030 | ||||||
U.S. Treasury Notes | ||||||||
| 5,580,000 | 0.750%, 6/15/2014 | 5,640,593 | ||||||
| 12,950,000 | 2.500%, 4/30/2015 | 13,820,085 | ||||||
| 1,225,000 | 2.000%, 1/31/2016 | 1,292,375 | ||||||
| 1,785,000 | 2.625%, 2/29/2016 | 1,929,474 | ||||||
| 4,350,000 | 3.250%, 3/31/2017 | 4,870,643 | ||||||
| 45,000,000 | 1.500%, 8/31/2018 | 45,657,405 | ||||||
| 11,235,000 | 3.125%, 5/15/2021 | 12,544,574 | ||||||
| 1,250,000 | 7.625%, 2/15/2025 | 2,021,094 | ||||||
| 2,975,000 | 4.375%, 5/15/2040 | 3,864,709 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 790,643 | 3.375%, 1/15/2012 | 790,889 | ||||||
| 1,023,267 | 2.000%, 1/15/2014 | 1,083,624 | ||||||
| 830,109 | 1.625%, 1/15/2015 | 895,286 | ||||||
| 903,813 | 0.500%, 4/15/2015 | 945,684 | ||||||
| 728,353 | 0.125%, 4/15/2016 | 759,309 | ||||||
| 945,047 | 2.625%, 7/15/2017 | 1,124,976 | ||||||
| 750,462 | 1.125%, 1/15/2021 | 836,941 | ||||||
| 204,216 | 2.375%, 1/15/2025 | 259,641 | ||||||
|
| |||||||
Total U.S. Government and Agencies | 119,490,347 | |||||||
|
| |||||||
| Utilities (0.2%) | |||||||
AES Corporation | ||||||||
| 730,000 | 7.375%, 7/1/2021c | 786,575 | ||||||
Dominion Resources, Inc. | ||||||||
| 1,750,000 | 2.879%, 9/30/2066b | 1,470,648 | ||||||
Energy Transfer Partners, LP | ||||||||
| 968,000 | 6.625%, 10/15/2036 | 1,017,851 | ||||||
| 1,750,000 | 7.500%, 7/1/2038 | 1,998,015 | ||||||
Southern Union Company | ||||||||
| 3,500,000 | 3.447%, 11/1/2066b | 3,263,750 | ||||||
|
| |||||||
| Total Utilities | 8,536,839 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $495,267,365) | 499,531,083 | |||||||
|
| |||||||
Short-Term Investments (11.7%)g | ||||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 24,000,000 | 0.020%, 1/6/2012h | 23,999,934 | ||||||
| 29,000,000 | 0.010%, 1/18/2012h | 28,999,863 | ||||||
| 14,000,000 | 0.015%, 1/20/2012h | 13,999,889 | ||||||
| 12,000,000 | 0.030%, 2/3/2012h | 11,999,670 | ||||||
| 14,000,000 | 0.015%, 2/8/2012h | 13,999,820 | ||||||
| 34,000,000 | 0.005%, 2/15/2012h | 33,999,787 | ||||||
| 15,000,000 | 0.010%, 2/17/2012h | 14,999,804 | ||||||
| 14,900,000 | 0.032%, 2/22/2012h,i | 14,899,311 | ||||||
| 20,000,000 | 0.013%, 3/2/2012h | 19,999,577 | ||||||
| 30,000,000 | 0.015%, 3/7/2012h | 29,999,175 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 8,000,000 | 0.030%, 1/3/2012h | 7,999,987 | ||||||
| 3,000,000 | 0.030%, 1/9/2012h | 2,999,980 | ||||||
| 3,000,000 | 0.010%, 1/11/2012h | 2,999,992 | ||||||
| 10,000,000 | 0.030%, 1/17/2012h | 9,999,866 | ||||||
| 37,000,000 | 0.030%, 1/23/2012h | 36,999,321 | ||||||
| 21,000,000 | 0.009%, 2/17/2012h | 20,999,758 | ||||||
| 15,000,000 | 0.015%, 3/5/2012h | 14,999,600 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 21,000,000 | 0.015%, 1/11/2012h | 20,999,934 | ||||||
| 11,000,000 | 0.020%, 1/17/2012h | 10,999,902 | ||||||
| 32,150,000 | 0.099%, 2/22/2012h,j | 32,145,469 | ||||||
| 64,334,000 | 0.015%, 3/7/2012h | 64,332,231 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Short-Term Investments (11.7%)g | Value | ||||||
Straight-A Funding, LLC | ||||||||
| 9,000,000 | 0.190%, 1/11/2012c,h | $ | 8,999,525 | |||||
| 10,000,000 | 0.190%, 1/24/2012c,h | 9,998,786 | ||||||
| 7,999,000 | 0.190%, 2/9/2012c,h | 7,997,354 | ||||||
| 5,000,000 | 0.190%, 2/21/2012c,h | 4,998,654 | ||||||
U.S. Treasury Bills | ||||||||
| 7,600,000 | 0.045%, 2/9/2012j | 7,599,632 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 10,000,000 | 0.020%, 1/10/2012c | 9,999,950 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 481,966,771 | |||||||
|
| |||||||
| Total Investments (cost $4,418,060,078) 102.8% | $ | 4,247,763,023 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.8%) | (114,116,307 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 4,133,646,716 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011, the value of these investments was $72,260,525 or 1.7% 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 | This security is displayed in shares. |
| f | Denotes investments purchased on a when-issued or delayed delivery basis. |
| 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 December 31, 2011, $5,407,750 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| j | At December 31, 2011, $39,745,101 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 | $ | 91,026,996 | ||
Gross unrealized depreciation | (265,151,909 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (174,124,913 | ) | |
Cost for federal income tax purposes | $ | 4,421,887,936 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 1,203,735,191 | 1,203,735,191 | — | — | ||||||||||||
Fixed Income Mutual Funds | 1,340,966,696 | 1,340,966,696 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 77,960,489 | 75,494,563 | 2,465,926 | — | ||||||||||||
Consumer Staples | 71,075,371 | 69,973,045 | 1,102,326 | — | ||||||||||||
Energy | 66,510,822 | 63,861,501 | 2,649,321 | — | ||||||||||||
Financials | 166,604,283 | 162,949,353 | 3,654,930 | — | ||||||||||||
Health Care | 84,145,281 | 83,334,579 | 810,702 | — | ||||||||||||
Industrials | 72,705,524 | 70,904,513 | 1,801,011 | — | ||||||||||||
Information Technology | 146,454,032 | 146,038,426 | 415,606 | — | ||||||||||||
Materials | 19,112,835 | 17,575,412 | 1,537,423 | — | ||||||||||||
Telecommunications Services | 5,912,753 | 4,710,152 | 1,202,601 | — | ||||||||||||
Utilities | 11,081,892 | 10,270,283 | 811,609 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 17,425,571 | — | 17,425,571 | — | ||||||||||||
Basic Materials | 9,179,085 | — | 9,179,085 | — | ||||||||||||
Capital Goods | 3,033,541 | — | 3,033,541 | — | ||||||||||||
Collateralized Mortgage Obligations | 32,604,356 | — | 32,604,356 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 52,114,153 | — | 52,114,153 | — | ||||||||||||
Communications Services | 14,319,818 | — | 14,319,818 | — | ||||||||||||
Consumer Cyclical | 10,109,362 | — | 10,109,362 | — | ||||||||||||
Consumer Non-Cyclical | 26,914,154 | — | 26,914,154 | — | ||||||||||||
Energy | 7,806,405 | — | 7,806,405 | — | ||||||||||||
Financials | 38,622,257 | — | 38,622,257 | — | ||||||||||||
Foreign Government | 1,823,483 | — | 1,823,483 | — | ||||||||||||
Mortgage-Backed Securities | 156,061,999 | — | 156,061,999 | — | ||||||||||||
Technology | 755,263 | — | 755,263 | — | ||||||||||||
Transportation | 734,450 | — | 734,450 | — | ||||||||||||
U.S. Government and Agencies | 119,490,347 | — | 119,490,347 | — | ||||||||||||
Utilities | 8,536,839 | — | 8,536,839 | — | ||||||||||||
Short-Term Investments | 481,966,771 | — | 481,966,771 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,247,763,023 | $ | 3,249,813,714 | $ | 997,949,309 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 5,069,603 | 5,069,603 | — | — | ||||||||||||
Credit Default Swaps | 919,550 | — | 919,550 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 5,989,153 | $ | 5,069,603 | $ | 919,550 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,315,531 | 1,315,531 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,315,531 | $ | 1,315,531 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Note Futures | (295 | ) | March 2012 | ($ | 65,037,382 | ) | ($ | 65,061,330 | ) | ($ | 23,948 | ) | ||||||||
10-Yr. U.S. Treasury Note Futures | 60 | March 2012 | 7,847,058 | 7,867,500 | 20,442 | |||||||||||||||
20-Yr. U.S. Treasury Bond Futures | 155 | March 2012 | 22,397,973 | 22,445,938 | 47,965 | |||||||||||||||
Russell 2000 Index Mini-Futures | (632 | ) | March 2012 | (46,113,501 | ) | (46,692,160 | ) | (578,659 | ) | |||||||||||
S&P 400 Index Mini-Futures | (774 | ) | March 2012 | (67,190,096 | ) | (67,903,020 | ) | (712,924 | ) | |||||||||||
S&P 500 Index Futures | 858 | March 2012 | 263,681,504 | 268,682,700 | 5,001,196 | |||||||||||||||
Total Futures Contracts | $ | 3,754,072 | ||||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; Bank of America | Sell | 12/20/2016 | $ | 26,460,000 | $ | 1,975,997 | ($ | 1,859,088 | ) | $ | 116,909 | |||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Sell | 12/20/2016 | 49,000,000 | 4,245,397 | (3,442,756 | ) | 802,641 | |||||||||||||||
Total Credit Default Swaps | ($ | 5,301,844 | ) | $ | 919,550 | |||||||||||||||||
| 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. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 68,407 | |||
Total Interest Rate Contracts | 68,407 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,001,196 | ||||
Total Equity Contracts | 5,001,196 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 919,550 | ||||
Total Credit Contracts | 919,550 | |||||
|
| |||||
Total Asset Derivatives | $ | 5,989,153 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 23,948 | ||||
Total Interest Rate Contracts | 23,948 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,291,583 | ||||
Total Equity Contracts | 1,291,583 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,315,531 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 19,297,326 | ||||
Total Equity Contracts | 19,297,326 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (201,994 | ) | |||
Total Foreign Exchange Contracts | (201,994 | ) | ||||
Interest Rate Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 2,438 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (11,237,485 | ) | |||
Total Interest Rate Contracts | (11,235,047 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 2,499,043 | ||||
Total Credit Contracts | 2,499,043 | |||||
|
| |||||
Total | $ | 10,359,328 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
128
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 44,459 | ||||
Total Interest Rate Contracts | 44,459 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 2,132,827 | ||||
Total Equity Contracts | 2,132,827 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 919,550 | ||||
Total Credit Contracts | 919,550 | |||||
|
| |||||
Total | $ | 3,096,836 | ||||
|
| |||||
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 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 | $ | 465,168,227 | 11.9 | % | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
Interest Rate | ||||||||||||||||||||||||||||
Contracts | 151,242,897 | 3.9 | N/A | N/A | N/A | N/A | 1 | |||||||||||||||||||||
Foreign Exchange | ||||||||||||||||||||||||||||
Contracts | N/A | N/A | $ | 880,255 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 34,176,840 | 0.9 | % | 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.
129
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 99,423,361 | $ | — | $ | 95,697,918 | — | $ | — | $ | — | |||||||||||||
Partner Small Cap Growth | 58,029,531 | — | — | 4,491,902 | 55,795,259 | — | ||||||||||||||||||
Partner Small Cap Value | 80,564,038 | 172,838 | — | 4,235,223 | 78,961,913 | 172,838 | ||||||||||||||||||
Small Cap Stock | 45,549,804 | — | — | 3,596,908 | 43,129,445 | — | ||||||||||||||||||
Mid Cap Growth II | 28,136,866 | 1,049,270 | 28,088,091 | — | — | 29,038 | ||||||||||||||||||
Partner Mid Cap Value | 78,175,286 | 169,486 | — | 5,853,149 | 73,224,646 | 169,486 | ||||||||||||||||||
Mid Cap Stock | 142,366,059 | 64,932 | — | 11,623,612 | 133,427,441 | 64,932 | ||||||||||||||||||
Partner Worldwide Allocation | 208,688,622 | 31,367,735 | — | 27,446,563 | 202,887,736 | 4,562,096 | ||||||||||||||||||
Partner International Stock | 187,198,240 | 68,777 | — | 17,546,838 | 161,178,231 | 68,777 | ||||||||||||||||||
Large Cap Growth II | 151,243,607 | 3,066,508 | 138,034,220 | — | — | 216,116 | ||||||||||||||||||
Large Cap Value | 275,009,351 | 61,876 | — | 25,642,869 | 266,531,978 | 61,876 | ||||||||||||||||||
Large Cap Stock | 170,579,507 | 20,161 | — | 20,069,137 | 162,772,741 | 20,161 | ||||||||||||||||||
Equity Income Plus | 26,476,160 | 74,172 | — | 2,930,787 | 25,825,801 | 74,172 | ||||||||||||||||||
High Yield | 148,465,627 | 36,128,111 | 15,388,582 | 35,222,521 | 164,217,962 | 12,048,121 | ||||||||||||||||||
Income | 494,090,978 | 98,271,228 | 598,252 | 59,317,844 | 598,279,774 | 24,935,272 | ||||||||||||||||||
Limited Maturity Bond | 511,433,385 | 85,760,536 | 10,640,984 | 59,808,619 | 578,468,960 | 12,545,328 | ||||||||||||||||||
Total Value and Income Earned | 2,705,430,422 | 2,544,701,887 | 54,968,213 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
130
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Mutual Funds (60.5%) | Value | ||||||
| Equity Mutual Funds (15.4%) | ||||||||
| 1,265,037 | Thrivent Partner Small Cap Value Portfolio | $ | 23,585,482 | |||||
| 1,614,844 | Thrivent Small Cap Stock Portfolioa | 19,363,111 | ||||||
| 2,133,199 | Thrivent Partner Mid Cap Value Portfolio | 26,686,954 | ||||||
| 2,927,221 | Thrivent Mid Cap Stock Portfolio | 33,601,569 | ||||||
| 9,309,499 | Thrivent Partner Worldwide Allocation Portfolio | 68,816,746 | ||||||
| 3,793,944 | Thrivent Partner International Stock Portfolio | 34,849,649 | ||||||
| 7,462,376 | Thrivent Large Cap Value Portfolio | 77,563,939 | ||||||
| 2,726,514 | Thrivent Large Cap Stock Portfolio | 22,113,664 | ||||||
| 1,161,468 | Thrivent Equity Income Plus Portfolio | 10,234,741 | ||||||
|
| |||||||
| Total Equity Mutual Funds | 316,815,855 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (45.1%) | ||||||||
| 17,507,627 | Thrivent High Yield Portfolio | 81,625,810 | ||||||
| 25,995,863 | Thrivent Income Portfolio | 262,194,274 | ||||||
| 60,194,464 | Thrivent Limited Maturity Bond Portfolio | 582,200,860 | ||||||
|
| |||||||
| Total Fixed Income Mutual Funds | 926,020,944 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,289,506,035) | 1,242,836,799 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (17.1%) | |||||||
| Asset-Backed Securities (0.7%) | ||||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 2,701,101 | 0.444%, 8/25/2036b | 2,016,977 | ||||||
GSAMP Trust | ||||||||
| 1,890,926 | 0.474%, 2/25/2036b | 1,472,883 | ||||||
| J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 7,500,000 | 5.461%, 10/25/2036 | 5,731,237 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 2,838,847 | 0.444%, 2/25/2037b | 1,585,315 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 5,500,000 | 6.011%, 5/25/2036 | 2,153,816 | ||||||
| 2,640,723 | 5.580%, 11/25/2036 | 1,487,290 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 14,447,518 | |||||||
|
| |||||||
| Basic Materials (0.3%) | ||||||||
| ArcelorMittal | ||||||||
| 2,300,000 | 7.000%, 10/15/2039 | 2,137,422 | ||||||
| Arch Coal, Inc. | ||||||||
| 300,000 | 7.000%, 6/15/2019c | 306,000 | ||||||
| Dow Chemical Company | ||||||||
| 2,300,000 | 4.250%, 11/15/2020 | 2,390,710 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 310,000 | 7.000%, 11/1/2015c | 313,100 | ||||||
| Novelis, Inc. | ||||||||
| 300,000 | 8.375%, 12/15/2017 | 318,750 | ||||||
|
| |||||||
| Total Basic Materials | 5,465,982 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
| Bombardier, Inc. | ||||||||
| 300,000 | 7.750%, 3/15/2020c | 327,000 | ||||||
| Case New Holland, Inc. | ||||||||
| 330,000 | 7.875%, 12/1/2017 | 372,900 | ||||||
| Danaher Corporation | ||||||||
| 920,000 | 0.817%, 6/21/2013b | 921,341 | ||||||
|
| |||||||
| Total Capital Goods | 1,621,241 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.8%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 918,228 | 5.500%, 11/25/2035 | 775,971 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 3,189,395 | 5.750%, 4/25/2037 | 2,075,658 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 633,322 | 6.000%, 1/25/2037 | 415,990 | ||||||
| 4,359,823 | 5.500%, 5/25/2037 | 2,966,711 | ||||||
| 3,769,561 | 7.000%, 10/25/2037 | 2,153,939 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 1,674,668 | 5.750%, 4/25/2037 | 1,399,316 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 590,203 | 5.500%, 10/25/2021 | 564,393 | ||||||
| 1,103,768 | 6.000%, 10/25/2021 | 969,434 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,437,800 | 2.221%, 4/25/2037 | 767,771 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 276,045 | 2.772%, 10/25/2036 | 201,244 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 742,230 | 6.500%, 7/25/2034 | 775,876 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 725,123 | 6.000%, 3/25/2037 | 511,600 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 745,087 | 5.352%, 9/20/2046 | 225,457 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 753,684 | 5.836%, 9/25/2036 | 505,775 | ||||||
| 720,433 | 5.933%, 10/25/2036 | 493,155 | ||||||
| 800,670 | 2.312%, 11/25/2036 | 568,623 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 15,370,913 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.7%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 4,600,000 | 5.633%, 4/10/2049 | 4,916,328 | ||||||
| 6,000,000 | 5.622%, 6/10/2049 | 6,433,776 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,106,044 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,700,000 | 5.322%, 12/11/2049 | 1,803,110 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 4,600,000 | 5.542%, 1/15/2049 | 4,869,459 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
131
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (17.1%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.7%) - continued | ||||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| $5,800,000 | 5.509%, 9/15/2039 | $ | 5,427,066 | |||||
| Government National Mortgage Association | ||||||||
| 193,256 | 2.164%, 3/16/2033 | 195,902 | ||||||
| 172,067 | 3.214%, 1/16/2040 | 179,186 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,100,000 | 5.867%, 12/10/2049 | 2,749,731 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 2,300,000 | 5.740%, 2/12/2049 | 2,181,766 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,750,000 | 5.406%, 3/15/2044 | 1,630,642 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 3,450,000 | 5.603%, 10/15/2048 | 3,318,693 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 35,811,703 | |||||||
|
| |||||||
| Communications Services (0.4%) | ||||||||
| Cablevision Systems Corporation | ||||||||
| 300,000 | 8.625%, 9/15/2017 | 332,250 | ||||||
| CBS Corporation | ||||||||
| 1,150,000 | 7.875%, 7/30/2030 | 1,463,026 | ||||||
| 1,150,000 | 5.900%, 10/15/2040 | 1,290,957 | ||||||
| CCO Holdings, LLC | ||||||||
| 330,000 | 7.000%, 1/15/2019 | 344,025 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 300,000 | 9.250%, 12/15/2017 | 324,000 | ||||||
| Cox Communications, Inc. | ||||||||
| 2,300,000 | 6.950%, 6/1/2038c | 2,626,418 | ||||||
| EH Holding Corporation | ||||||||
| 300,000 | 6.500%, 6/15/2019c | 312,750 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 300,000 | 7.250%, 4/1/2019c | 304,500 | ||||||
| NII Capital Corporation | ||||||||
| 410,000 | 7.625%, 4/1/2021 | 406,925 | ||||||
| Sprint Nextel Corporation | ||||||||
| 310,000 | 9.000%, 11/15/2018c | 325,500 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 300,000 | 7.250%, 11/15/2021c | 303,750 | ||||||
|
| |||||||
| Total Communications Services | 8,034,101 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | ||||||||
| Chrysler Group, LLC | ||||||||
| 200,000 | 8.000%, 6/15/2019c | 183,000 | ||||||
| Home Depot, Inc. | ||||||||
| 2,300,000 | 5.875%, 12/16/2036 | 2,886,229 | ||||||
| Lennar Corporation | ||||||||
| 300,000 | 12.250%, 6/1/2017 | 357,000 | ||||||
| MGM Resorts International | ||||||||
| 260,000 | 11.125%, 11/15/2017 | 296,400 | ||||||
| Rite Aid Corporation | ||||||||
| 300,000 | 7.500%, 3/1/2017 | 299,625 | ||||||
| Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 300,000 | 6.750%, 5/15/2018 | 339,000 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 300,000 | 8.500%, 12/1/2017 | 310,500 | ||||||
| West Corporation | ||||||||
| 160,000 | 7.875%, 1/15/2019 | 158,800 | ||||||
| WMG Acquisition Corporation | ||||||||
| 300,000 | 11.500%, 10/1/2018c | 297,750 | ||||||
|
| |||||||
| Total Consumer Cyclical | 5,128,304 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.8%) | ||||||||
| Altria Group, Inc. | ||||||||
| 2,300,000 | 9.950%, 11/10/2038 | 3,498,259 | ||||||
| Anheuser-Busch Companies, Inc. | ||||||||
| 1,150,000 | 6.450%, 9/1/2037 | 1,539,780 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,610,000 | 0.761%, 7/14/2014b | 1,602,240 | ||||||
| 1,150,000 | 8.200%, 1/15/2039 | 1,813,058 | ||||||
| Community Health Systems, Inc. | ||||||||
| 301,000 | 8.875%, 7/15/2015 | 310,782 | ||||||
| HCA, Inc. | ||||||||
| 330,000 | 7.500%, 2/15/2022 | 337,425 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 260,000 | 11.625%, 5/1/2014 | 294,775 | ||||||
| Kinetic Concepts, Inc./KCI USA, Inc. | ||||||||
| 320,000 | 10.500%, 11/1/2018c | 313,600 | ||||||
| Kraft Foods, Inc. | ||||||||
| 1,150,000 | 5.375%, 2/10/2020 | 1,326,929 | ||||||
| 1,150,000 | 7.000%, 8/11/2037 | 1,536,339 | ||||||
| Reynolds Group Issuer, Inc. | ||||||||
| 320,000 | 6.875%, 2/15/2021c | 318,400 | ||||||
| Tenet Healthcare Corporation | ||||||||
| 310,000 | 8.875%, 7/1/2019 | 347,975 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 1,150,000 | 6.875%, 2/15/2038 | 1,542,222 | ||||||
| 1,150,000 | 5.700%, 10/15/2040 | 1,376,849 | ||||||
| Valeant Pharmaceuticals International | ||||||||
| 300,000 | 6.875%, 12/1/2018c | 299,250 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 16,457,883 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
| Chesapeake Energy Corporation | ||||||||
| 310,000 | 9.500%, 2/15/2015 | 354,950 | ||||||
| Denbury Resources, Inc. | ||||||||
| 350,000 | 6.375%, 8/15/2021 | 365,750 | ||||||
| Harvest Operations Corporation | ||||||||
| 300,000 | 6.875%, 10/1/2017c | 310,500 | ||||||
| Linn Energy, LLC | ||||||||
| 300,000 | 7.750%, 2/1/2021 | 312,000 | ||||||
| Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 300,000 | 6.500%, 8/15/2021 | 312,375 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
132
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (17.1%) | Value | ||||||
| Energy (0.2%) - continued | ||||||||
| Weatherford International, Ltd. | ||||||||
| $2,300,000 | 6.750%, 9/15/2040 | $ | 2,609,074 | |||||
|
| |||||||
| Total Energy | 4,264,649 | |||||||
|
| |||||||
| Financials (1.1%) | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| 220,000 | 3.200%, 11/3/2014c | 230,878 | ||||||
| Ally Financial, Inc. | ||||||||
| 300,000 | 8.000%, 3/15/2020 | 307,500 | ||||||
| AXA SA | ||||||||
| 2,300,000 | 6.379%, 12/29/2049c,d | 1,495,000 | ||||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013c | 227,605 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 1,150,000 | 5.919%, 12/29/2049d | 761,336 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 220,000 | 2.600%, 7/2/2015c | 227,535 | ||||||
| Cie de Financement Foncier | ||||||||
| 225,000 | 2.250%, 3/7/2014c | 221,174 | ||||||
| CIT Group, Inc. | ||||||||
| 300,000 | 7.000%, 5/1/2017 | 300,000 | ||||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014c | 204,455 | ||||||
| General Electric Capital Corporation | ||||||||
| 2,300,000 | 6.750%, 3/15/2032 | 2,693,164 | ||||||
| HCP, Inc. | ||||||||
| 2,300,000 | 6.750%, 2/1/2041 | 2,600,175 | ||||||
| Health Care REIT, Inc. | ||||||||
| 920,000 | 6.500%, 3/15/2041 | 921,804 | ||||||
| Icahn Enterprises, LP | ||||||||
| 235,000 | 8.000%, 1/15/2018 | 244,400 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 225,000 | 2.375%, 5/26/2015 | 237,374 | ||||||
| International Lease Finance Corporation | ||||||||
| 300,000 | 5.750%, 5/15/2016 | 278,263 | ||||||
| MetLife Capital Trust IV | ||||||||
| 2,300,000 | 7.875%, 12/15/2037c | 2,386,250 | ||||||
| Prudential Financial, Inc. | ||||||||
| 2,300,000 | 6.200%, 11/15/2040 | 2,406,732 | ||||||
| QBE Capital Funding III, Ltd. | ||||||||
| 2,400,000 | 7.250%, 5/24/2041c | 2,113,291 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 1,150,000 | 6.750%, 12/15/2065 | 996,960 | ||||||
| Royal Bank of Canada | ||||||||
| 215,000 | 3.125%, 4/14/2015c | 225,582 | ||||||
| Toronto-Dominion Bank | ||||||||
| 220,000 | 2.200%, 7/29/2015c | 225,270 | ||||||
| XL Group plc | ||||||||
| 2,300,000 | 6.250%, 5/15/2027 | 2,330,666 | ||||||
| 1,150,000 | 6.500%, 12/29/2049d | 899,875 | ||||||
| XLIT, Ltd. | ||||||||
| 1,200 | 3.526%, 10/29/2049b,e | 834,375 | ||||||
|
| |||||||
| Total Financials | 23,369,664 | |||||||
|
| |||||||
| Foreign Government (<0.1%) | ||||||||
| Bank Nederlandse Gemeenten | ||||||||
| 315,000 | 4.375%, 2/16/2021c | 335,762 | ||||||
| Kommunalbanken AS | ||||||||
| 225,000 | 2.750%, 5/5/2015c | 233,474 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 120,000 | 0.295%, 6/17/2013b | 119,943 | ||||||
|
| |||||||
| Total Foreign Government | 689,179 | |||||||
|
| |||||||
| Mortgage-Backed Securities (8.0%) | ||||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 40,700,000 | 3.000%, 1/1/2027f | 42,029,099 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 79,000,000 | 4.000%, 1/1/2042f | 82,987,051 | ||||||
| 18,275,000 | 4.500%, 1/1/2042f | 19,445,751 | ||||||
| 11,525,000 | 5.000%, 1/1/2042f | 12,450,608 | ||||||
| 8,000,000 | 6.000%, 1/1/2042f | 8,808,752 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 165,721,261 | |||||||
|
| |||||||
| Technology (<0.1%) | ||||||||
| Seagate HDD Cayman | ||||||||
| 340,000 | 7.750%, 12/15/2018c | 361,675 | ||||||
|
| |||||||
| Total Technology | 361,675 | |||||||
|
| |||||||
| Transportation (<0.1%) | ||||||||
| Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | ||||||||
| 300,000 | 8.250%, 1/15/2019 | 297,750 | ||||||
|
| |||||||
| Total Transportation | 297,750 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.4%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 90,000 | Zero Coupon, 1/7/2012c | 89,984 | ||||||
| 90,000 | Zero Coupon, 1/7/2014c | 88,304 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 225,000 | 2.125%, 9/15/2015 | 232,955 | ||||||
| Federal Home Loan Banks | ||||||||
| 1,300,000 | 5.000%, 11/17/2017 | 1,560,130 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,355,000 | 0.750%, 3/28/2013 | 1,362,550 | ||||||
| 430,000 | 2.500%, 1/7/2014 | 447,671 | ||||||
| 595,000 | 4.875%, 6/13/2018 | 716,928 | ||||||
| Federal National Mortgage Association | ||||||||
| 710,000 | 1.250%, 2/27/2014 | 720,265 | ||||||
| 325,000 | 4.375%, 10/15/2015 | 367,247 | ||||||
| 870,000 | 1.375%, 11/15/2016 | 877,684 | ||||||
| 255,000 | 6.250%, 5/15/2029 | 359,006 | ||||||
| Tennessee Valley Authority | ||||||||
| 200,000 | 5.250%, 9/15/2039 | 255,302 | ||||||
| U.S. Treasury Bonds | ||||||||
| 375,000 | 4.375%, 5/15/2041 | 488,613 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 68,097 | 2.125%, 2/15/2040 | 91,383 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
133
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (17.1%) | Value | ||||||
| U.S. Government and Agencies (2.4%) - continued | ||||||||
U.S. Treasury Notes | ||||||||
| $2,005,000 | 0.750%, 6/15/2014 | $ | 2,026,772 | |||||
| 5,150,000 | 2.500%, 4/30/2015 | 5,496,018 | ||||||
| 475,000 | 2.000%, 1/31/2016 | 501,125 | ||||||
| 650,000 | 2.625%, 2/29/2016 | 702,610 | ||||||
| 1,550,000 | 3.250%, 3/31/2017 | 1,735,516 | ||||||
| 20,000,000 | 2.750%, 2/28/2018 | 21,928,120 | ||||||
| 4,290,000 | 3.125%, 5/15/2021 | 4,790,051 | ||||||
| 455,000 | 7.625%, 2/15/2025 | 735,678 | ||||||
| 1,275,000 | 4.375%, 5/15/2040 | 1,656,304 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 293,303 | 3.375%, 1/15/2012 | 293,394 | ||||||
| 367,641 | 2.000%, 1/15/2014 | 389,326 | ||||||
| 308,326 | 1.625%, 1/15/2015 | 332,535 | ||||||
| 318,685 | 0.500%, 4/15/2015 | 333,449 | ||||||
| 271,850 | 0.125%, 4/15/2016 | 283,404 | ||||||
| 344,150 | 2.625%, 7/15/2017 | 409,673 | ||||||
| 310,536 | 1.125%, 1/15/2021 | 346,320 | ||||||
| 78,083 | 2.375%, 1/15/2025 | 99,275 | ||||||
|
| |||||||
Total U.S. Government and Agencies | 49,717,592 | |||||||
|
| |||||||
| Utilities (0.3%) | |||||||
AES Corporation | ||||||||
| 330,000 | 7.375%, 7/1/2021c | 355,575 | ||||||
Dominion Resources, Inc. | ||||||||
| 1,150,000 | 2.879%, 9/30/2066b | 966,426 | ||||||
Energy Transfer Partners, LP | ||||||||
| 637,000 | 6.625%, 10/15/2036 | 669,805 | ||||||
| 1,150,000 | 7.500%, 7/1/2038 | 1,312,981 | ||||||
Southern Union Company | ||||||||
| 2,300,000 | 3.447%, 11/1/2066b | 2,144,750 | ||||||
|
| |||||||
Total Utilities | 5,449,537 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $349,979,968) | 352,208,952 | |||||||
|
| |||||||
| Shares | Common Stock (11.0%) | |||||||
| Consumer Discretionary (1.1%) | |||||||
| 17,756 | Amazon.com, Inc.a | 3,073,564 | ||||||
| 6,309 | Autoliv, Inc. | 337,468 | ||||||
| 15,900 | Big Lots, Inc.a | 600,384 | ||||||
| 7,996 | Buffalo Wild Wings, Inc.a | 539,810 | ||||||
| 8,870 | CBS Corporation | 240,732 | ||||||
| 6,000 | Charter Communications, Inc.a | 341,640 | ||||||
| 31,300 | Coach, Inc. | 1,910,552 | ||||||
| 89,813 | Comcast Corporation | 2,129,466 | ||||||
| 28,028 | Discovery Communications, Inc.a | 1,148,307 | ||||||
| 3,902 | Dollar Tree, Inc.a | 324,295 | ||||||
| 27,835 | Foot Locker, Inc. | 663,586 | ||||||
| 1,252 | Gaylord Entertainment Companya | 30,223 | ||||||
| 11,460 | Harley-Davidson, Inc. | 445,450 | ||||||
| 51,100 | Home Depot, Inc. | 2,148,244 | ||||||
| 49,276 | Las Vegas Sands Corporationa | 2,105,564 | ||||||
| 12,100 | Life Time Fitness, Inc.a | 565,675 | ||||||
| 22,796 | Macy’s, Inc. | 733,575 | ||||||
| 1,869 | Marriott International, Inc. | 54,519 | ||||||
| 186 | Marriott Vacations Worldwide Corporationa | 3,192 | ||||||
| 10,000 | McDonald’s Corporation | 1,003,300 | ||||||
| 45,810 | News Corporation | 832,826 | ||||||
| 13,570 | Omnicom Group, Inc. | 604,951 | ||||||
| 2,354 | Panera Bread Companya | 332,973 | ||||||
| 56,049 | Pier 1 Imports, Inc.a | 780,763 | ||||||
| 11,586 | Signet Jewelers, Ltd. | 509,321 | ||||||
| 3,359 | Starwood Hotels & Resorts Worldwide, Inc. | 161,131 | ||||||
| 16,470 | Target Corporation | 843,593 | ||||||
| 7,160 | Time Warner Cable, Inc. | 455,161 | ||||||
| 10,300 | Williams-Sonoma, Inc. | 396,550 | ||||||
| 13,161 | WMS Industries, Inc.a | 270,064 | ||||||
| 780 | Wyndham Worldwide Corporation | 29,507 | ||||||
|
| |||||||
| Total Consumer Discretionary | 23,616,386 | |||||||
|
| |||||||
| Consumer Staples (1.1%) | |||||||
| 91,711 | Altria Group, Inc. | 2,719,231 | ||||||
| 35,712 | Anheuser-Busch InBev NV ADR | 2,178,075 | ||||||
| 26,056 | British American Tobacco plc ADR | 2,472,193 | ||||||
| 40,172 | Coca-Cola Company | 2,810,835 | ||||||
| 37,500 | ConAgra Foods, Inc. | 990,000 | ||||||
| 20,888 | Corn Products International, Inc. | 1,098,500 | ||||||
| 11,520 | CVS Caremark Corporation | 469,786 | ||||||
| 11,730 | Diageo plc ADR | 1,025,437 | ||||||
| 32,429 | Kraft Foods, Inc. | 1,211,547 | ||||||
| 36,046 | Philip Morris International, Inc. | 2,828,890 | ||||||
| 13,089 | TreeHouse Foods, Inc.a | 855,759 | ||||||
| 66,408 | Wal-Mart Stores, Inc. | 3,968,542 | ||||||
|
| |||||||
| Total Consumer Staples | 22,628,795 | |||||||
|
| |||||||
| Energy (1.1%) | |||||||
| 14,461 | Alpha Natural Resources, Inc.a | 295,438 | ||||||
| 23,592 | Apache Corporation | 2,136,963 | ||||||
| 26,142 | Arch Coal, Inc. | 379,321 | ||||||
| 31,594 | Baker Hughes, Inc. | 1,536,732 | ||||||
| 13,160 | Chevron Corporation | 1,400,224 | ||||||
| 19,220 | ConocoPhillips | 1,400,561 | ||||||
| 66,613 | ENSCO International plc ADR | 3,125,482 | ||||||
| 9,830 | EOG Resources, Inc. | 968,353 | ||||||
| 19,000 | Exxon Mobil Corporation | 1,610,440 | ||||||
| 19,300 | Helix Energy Solutions Group, Inc.a | 304,940 | ||||||
| 35,000 | Marathon Oil Corporation | 1,024,450 | ||||||
| 6,009 | National Oilwell Varco, Inc. | 408,552 | ||||||
| 5,400 | Newfield Exploration Companya | 203,742 | ||||||
| 4,780 | Occidental Petroleum Corporation | 447,886 | ||||||
| 7,991 | Oil States International, Inc.a | 610,273 | ||||||
| 42,660 | Patriot Coal Corporationa | 361,330 | ||||||
| 41,042 | Peabody Energy Corporation | 1,358,901 | ||||||
| 40,458 | Petroleum Geo-Services ASAa | 440,928 | ||||||
| 7,700 | Southwestern Energy Companya | 245,938 | ||||||
| 15,681 | Swift Energy Companya | 466,039 | ||||||
| 205,931 | Weatherford International, Ltd.a | 3,014,830 | ||||||
|
| |||||||
| Total Energy | 21,741,323 | |||||||
|
| |||||||
| Financials (2.5%) | |||||||
| 4,761 | Acadia Realty Trust | 95,887 | ||||||
| 15,060 | ACE, Ltd. | 1,056,007 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (11.0%) | Value | ||||||
| Financials (2.5%) - continued | ||||||||
| 5,843 | Affiliated Managers Group, Inc.a | $ | 560,636 | |||||
| 6,550 | Alexandria Real Estate Equities, Inc. | 451,753 | ||||||
| 3,207 | American Assets Trust, Inc. | 65,776 | ||||||
| 7,811 | American Campus Communities, Inc. | 327,750 | ||||||
| 2,631 | American Capital Agency Corporation | 73,878 | ||||||
| 13,930 | Aon Corporation | 651,924 | ||||||
| 11,414 | Apartment Investment & Management Company | 261,495 | ||||||
| 857 | Apollo Commercial Real Estate Finance, Inc. | 11,252 | ||||||
| 7,805 | Ashford Hospitality Trust, Inc. | 62,440 | ||||||
| 3,311 | Associated Estates Realty Corporation | 52,810 | ||||||
| 8,677 | AvalonBay Communities, Inc. | 1,133,216 | ||||||
| 12,458 | BioMed Realty Trust, Inc. | 225,241 | ||||||
| 13,697 | Boston Properties, Inc. | 1,364,221 | ||||||
| 12,605 | Brandywine Realty Trust | 119,747 | ||||||
| 6,321 | BRE Properties, Inc. | 319,084 | ||||||
| 1,426 | Brookfield Asset Management, Inc. | 39,186 | ||||||
| 9,191 | Brookfield Office Properties, Inc. | 143,747 | ||||||
| 7,570 | Camden Property Trust | 471,157 | ||||||
| 3,529 | Campus Crest Communities, Inc. | 35,502 | ||||||
| 22,003 | CBL & Associates Properties, Inc. | 345,447 | ||||||
| 1,986 | CBRE Group, Inc.a | 30,227 | ||||||
| 1,769 | Chatham Lodging Trust | 19,070 | ||||||
| 3,190 | Chesapeake Lodging Trust | 49,317 | ||||||
| 26,498 | Citigroup, Inc. | 697,162 | ||||||
| 3,046 | CME Group, Inc. | 742,219 | ||||||
| 3,742 | Cogdell Spencer, Inc. | 15,903 | ||||||
| 977 | Cohen & Steers Quality Income Realty Fund, Inc. | 8,275 | ||||||
| 6,265 | Colonial Properties Trust | 130,688 | ||||||
| 1,842 | Colony Financial, Inc. | 28,938 | ||||||
| 2,686 | CommonWealth REIT | 44,695 | ||||||
| 1,433 | Coresite Realty Corporation | 25,536 | ||||||
| 6,052 | Corporate Office Properties Trust | 128,665 | ||||||
| 1,148 | CreXus Investment Corporation | 11,916 | ||||||
| 6,212 | CubeSmart | 66,096 | ||||||
| 19,348 | DCT Industrial Trust, Inc. | 99,062 | ||||||
| 23,875 | DDR Corporation | 290,559 | ||||||
| 16,756 | DiamondRock Hospitality Company | 161,528 | ||||||
| 11,025 | Digital Realty Trust, Inc. | 735,037 | ||||||
| 23,100 | Discover Financial Services | 554,400 | ||||||
| 12,883 | Douglas Emmett, Inc. | 234,986 | ||||||
| 37,310 | Duke Realty Corporation | 449,585 | ||||||
| 5,905 | DuPont Fabros Technology, Inc. | 143,019 | ||||||
| 2,450 | EastGroup Properties, Inc. | 106,526 | ||||||
| 5,344 | Education Realty Trust, Inc. | 54,669 | ||||||
| 6,700 | Endurance Specialty Holdings, Ltd. | 256,275 | ||||||
| 4,313 | Entertainment Properties Trust | 188,521 | ||||||
| 4,129 | Equity Lifestyle Properties, Inc. | 275,363 | ||||||
| 19,754 | Equity One, Inc. | 335,423 | ||||||
| 26,369 | Equity Residential | 1,503,824 | ||||||
| 3,919 | Essex Property Trust, Inc. | 550,659 | ||||||
| 1,997 | Excel Trust, Inc. | 23,964 | ||||||
| 9,620 | Extra Space Storage, Inc. | 233,093 | ||||||
| 5,509 | Federal Realty Investment Trust | 499,942 | ||||||
| 8,193 | FelCor Lodging Trust, Inc.a | 24,989 | ||||||
| 73,300 | Fifth Third Bancorp | 932,376 | ||||||
| 4,046 | First Industrial Realty Trust, Inc.a | 41,391 | ||||||
| 3,160 | First Potomac Realty Trust | 41,238 | ||||||
| 5,892 | Forest City Enterprises, Inc.a | 69,643 | ||||||
| 30,847 | General Growth Properties, Inc. | 463,322 | ||||||
| 8,585 | Glimcher Realty Trust | 78,982 | ||||||
| 4,450 | Goldman Sachs Group, Inc. | 402,413 | ||||||
| 2,636 | Government Properties Income Trust | 59,442 | ||||||
| 16,818 | HCC Insurance Holdings, Inc. | 462,495 | ||||||
| 29,439 | HCP, Inc. | 1,219,658 | ||||||
| 13,675 | Health Care REIT, Inc. | 745,698 | ||||||
| 4,434 | Healthcare Realty Trust, Inc. | 82,428 | ||||||
| 13,818 | Hersha Hospitality Trust | 67,432 | ||||||
| 5,571 | Highwoods Properties, Inc. | 165,292 | ||||||
| 3,944 | Home Properties, Inc. | 227,056 | ||||||
| 6,319 | Hospitality Properties Trust | 145,211 | ||||||
| 85,701 | Host Hotels & Resorts, Inc. | 1,265,804 | ||||||
| 54,400 | Hudson City Bancorp, Inc. | 340,000 | ||||||
| 639 | Hudson Pacific Properties, Inc. | 9,048 | ||||||
| 3,928 | Inland Real Estate Corporation | 29,892 | ||||||
| 1,645 | IntercontinentalExchange, Inc.a | 198,305 | ||||||
| 5,902 | Invesco Mortgage Capital, Inc. | 82,923 | ||||||
| 74,219 | J.P. Morgan Chase & Company | 2,467,782 | ||||||
| 5,912 | Kilroy Realty Corporation | 225,070 | ||||||
| 30,132 | Kimco Realty Corporation | 489,344 | ||||||
| 5,453 | Kite Realty Group Trust | 24,593 | ||||||
| 41,990 | KKR & Company, LP | 538,732 | ||||||
| 6,998 | LaSalle Hotel Properties | 169,422 | ||||||
| 8,588 | Lazard, Ltd. | 224,233 | ||||||
| 4,986 | Lexington Realty Trust | 37,345 | ||||||
| 9,272 | Liberty Property Trust | 286,319 | ||||||
| 1,270 | LTC Properties, Inc. | 39,192 | ||||||
| 5,700 | M&T Bank Corporation | 435,138 | ||||||
| 12,261 | Macerich Company | 620,407 | ||||||
| 7,188 | Mack-Cali Realty Corporation | 191,848 | ||||||
| 5,514 | Medical Properties Trust, Inc. | 54,423 | ||||||
| 2,850 | Mid-America Apartment Communities, Inc. | 178,267 | ||||||
| 12,600 | NASDAQ OMX Group, Inc.a | 308,826 | ||||||
| 6,986 | National Retail Properties, Inc. | 184,291 | ||||||
| 6,800 | Northern Trust Corporation | 269,688 | ||||||
| 41,866 | Ocwen Financial Corporationa | 606,220 | ||||||
| 6,777 | Omega Healthcare Investors, Inc. | 131,135 | ||||||
| 3,865 | Pebblebrook Hotel Trust | 74,131 | ||||||
| 1,570 | Pennsylvania Real Estate Investment Trust | 16,391 | ||||||
| 1,978 | Piedmont Office Realty Trust, Inc. | 33,705 | ||||||
| 1,979 | Plum Creek Timber Company, Inc. | 72,352 | ||||||
| 291,785 | Popular, Inc.a | 405,581 | ||||||
| 3,845 | Post Properties, Inc. | 168,103 | ||||||
| 18,246 | Principal Financial Group, Inc. | 448,852 | ||||||
| 17,530 | Progressive Corporation | 342,010 | ||||||
| 37,854 | Prologis, Inc. | 1,082,246 | ||||||
| 1,497 | PS Business Parks, Inc. | 82,979 | ||||||
| 12,351 | Public Storage, Inc. | 1,660,715 | ||||||
| 3,791 | Ramco-Gershenson Properties Trust | 37,266 | ||||||
| 2,980 | Rayonier, Inc. REIT | 132,997 | ||||||
| 2,352 | Realty Income Corporation | 82,226 | ||||||
| 10,052 | Regency Centers Corporation | 378,156 | ||||||
| 1,597 | Retail Opportunity Investments Corporation | 18,908 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (11.0%) | Value | ||||||
| Financials (2.5%) - continued | ||||||||
| 2,341 | RLJ Lodging Trust | $ | 39,399 | |||||
| 1,645 | Sabra Healthcare REIT, Inc. | 19,888 | ||||||
| 607 | Saul Centers, Inc. | 21,500 | ||||||
| 12,943 | Senior Housing Property Trust | 290,441 | ||||||
| 27,398 | Simon Property Group, Inc. | 3,532,698 | ||||||
| 7,975 | SL Green Realty Corporation | 531,454 | ||||||
| 880 | Sovran Self Storage, Inc. | 37,550 | ||||||
| 1,164 | Starwood Property Trust, Inc. | 21,546 | ||||||
| 16,610 | State Street Corporation | 669,549 | ||||||
| 7,293 | Strategic Hotel Capital, Inc.a | 39,163 | ||||||
| 3,254 | Summit Hotel Properties, Inc. | 30,718 | ||||||
| 544 | Sun Communities, Inc. | 19,872 | ||||||
| 9,735 | Sunstone Hotel Investors, Inc.a | 79,340 | ||||||
| 10,560 | SVB Financial Groupa | 503,606 | ||||||
| 9,050 | Tanger Factory Outlet Centers, Inc. | 265,346 | ||||||
| 5,267 | Taubman Centers, Inc. | 327,081 | ||||||
| 22,165 | Texas Capital Bancshares, Inc.a | 678,471 | ||||||
| 14,625 | Two Harbors Investment Corporation | 135,135 | ||||||
| 13,310 | U.S. Bancorp | 360,035 | ||||||
| 14,882 | UDR, Inc. | 373,538 | ||||||
| 40,550 | Unum Group | 854,388 | ||||||
| 5,900 | Vanguard REIT ETF | 342,200 | ||||||
| 21,705 | Ventas, Inc. | 1,196,597 | ||||||
| 15,267 | Vornado Realty Trust | 1,173,422 | ||||||
| 16,124 | W.R. Berkley Corporation | 554,504 | ||||||
| 2,987 | Washington Real Estate Investment Trust | 81,694 | ||||||
| 8,419 | Weingarten Realty Investors | 183,703 | ||||||
| 103,736 | Wells Fargo & Company | 2,858,964 | ||||||
| 739 | Winthrop Realty Trust | 7,516 | ||||||
| 44,893 | Zions Bancorporation | 730,858 | ||||||
|
| |||||||
| Total Financials | 52,197,405 | |||||||
|
| |||||||
| Health Care (1.3%) | ||||||||
| 3,000 | Alexion Pharmaceuticals, Inc.a | 214,500 | ||||||
| 32,600 | Align Technology, Inc.a | 773,435 | ||||||
| 33,074 | Amgen, Inc. | 2,123,681 | ||||||
| 41,717 | Baxter International, Inc. | 2,064,157 | ||||||
| 37,030 | Bristol-Myers Squibb Company | 1,304,937 | ||||||
| 3,472 | C.R. Bard, Inc. | 296,856 | ||||||
| 15,011 | Covance, Inc.a | 686,303 | ||||||
| 8,537 | Coventry Health Care, Inc.a | 259,269 | ||||||
| 16,670 | Covidien plc | 750,317 | ||||||
| 49,400 | Eli Lilly and Company | 2,053,064 | ||||||
| 19,000 | Gilead Sciences, Inc.a | 777,670 | ||||||
| 29,743 | Health Net, Inc.a | 904,782 | ||||||
| 11,810 | Johnson & Johnson | 774,500 | ||||||
| 24,010 | McKesson Corporation | 1,870,619 | ||||||
| 11,400 | Medtronic, Inc. | 436,050 | ||||||
| 30,600 | Merck & Company, Inc. | 1,153,620 | ||||||
| 101,606 | Mylan, Inc.a | 2,180,465 | ||||||
| 122,356 | Pfizer, Inc. | 2,647,784 | ||||||
| 23,963 | PSS World Medical, Inc.a | 579,665 | ||||||
| 10,400 | Thoratec Corporationa | 349,024 | ||||||
| 18,362 | United Therapeutics Corporationa | 867,604 | ||||||
| 74,473 | UnitedHealth Group, Inc. | 3,774,292 | ||||||
| 3,389 | Varian Medical Systems, Inc.a | 227,503 | ||||||
| 2,800 | Waters Corporationa | 207,340 | ||||||
| 3,871 | Zimmer Holdings, Inc.a | 206,789 | ||||||
|
| |||||||
| Total Health Care | 27,484,226 | |||||||
|
| |||||||
| Industrials (1.1%) | ||||||||
| 10,200 | 3M Company | 833,646 | ||||||
| 22,454 | Boeing Company | 1,647,001 | ||||||
| 8,575 | Caterpillar, Inc. | 776,895 | ||||||
| 7,503 | Chicago Bridge and Iron Company | 283,613 | ||||||
| 47,071 | CSX Corporation | 991,315 | ||||||
| 6,300 | Cummins, Inc. | 554,526 | ||||||
| 22,691 | Deluxe Corporation | 516,447 | ||||||
| 21,950 | EMCOR Group, Inc. | 588,480 | ||||||
| 5,918 | Expeditors International of Washington, Inc. | 242,401 | ||||||
| 5,100 | Fluor Corporation | 256,275 | ||||||
| 24,067 | FTI Consulting, Inc.a | 1,020,922 | ||||||
| 16,000 | GATX Corporation | 698,560 | ||||||
| 85,880 | General Electric Company | 1,538,111 | ||||||
| 25,345 | Honeywell International, Inc. | 1,377,501 | ||||||
| 8,400 | L-3 Communications Holdings, Inc. | 560,112 | ||||||
| 94,559 | Manitowoc Company, Inc. | 868,997 | ||||||
| 4,400 | Manpower, Inc. | 157,300 | ||||||
| 13,517 | Oshkosh Corporationa | 288,993 | ||||||
| 19,336 | Parker Hannifin Corporation | 1,474,370 | ||||||
| 9,306 | Precision Castparts Corporation | 1,533,536 | ||||||
| 8,400 | Republic Services, Inc. | 231,420 | ||||||
| 23,934 | Shaw Group, Inc.a | 643,825 | ||||||
| 17,447 | SPX Corporation | 1,051,531 | ||||||
| 7,152 | Teledyne Technologies, Inc.a | 392,287 | ||||||
| 17,930 | Textron, Inc. | 331,526 | ||||||
| 7,100 | Tyco International, Ltd. | 331,641 | ||||||
| 15,110 | Union Pacific Corporation | 1,600,753 | ||||||
| 24,184 | United Technologies Corporation | 1,767,609 | ||||||
| 4,290 | WESCO International, Inc.a | 227,413 | ||||||
|
| |||||||
| Total Industrials | 22,787,006 | |||||||
|
| |||||||
| Information Technology (2.2%) | ||||||||
| 14,600 | ADTRAN, Inc. | 440,336 | ||||||
| 37,086 | Akamai Technologies, Inc.a | 1,197,136 | ||||||
| 5,500 | Alliance Data Systems Corporationa | 571,120 | ||||||
| 17,512 | Apple, Inc.a | 7,092,360 | ||||||
| 59,000 | Atmel Corporationa | 477,900 | ||||||
| 4,998 | Baidu.com, Inc. ADRa | 582,117 | ||||||
| 26,987 | Broadcom Corporationa | 792,338 | ||||||
| 53,220 | Cisco Systems, Inc. | 962,218 | ||||||
| 25,381 | Cognizant Technology Solutions Corporationa | 1,632,252 | ||||||
| 47,622 | eBay, Inc.a | 1,444,375 | ||||||
| 69,392 | EMC Corporationa | 1,494,704 | ||||||
| 8,341 | F5 Networks, Inc.a | 885,147 | ||||||
| 5,069 | Google, Inc.a | 3,274,067 | ||||||
| 50,100 | Intel Corporation | 1,214,925 | ||||||
| 5,006 | International Business Machines Corporation | 920,503 | ||||||
| 7,347 | Itron, Inc.a | 262,802 | ||||||
| 5,588 | Ixiaa | 58,730 | ||||||
| 13,807 | Juniper Networks, Inc.a | 281,801 | ||||||
| 13,600 | KLA-Tencor Corporation | 656,200 | ||||||
| 1,200 | Lam Research Corporationa | 44,424 | ||||||
| 136,358 | Microsoft Corporation | 3,539,854 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (11.0%) | Value | ||||||
| Information Technology (2.2%) - continued | ||||||||
| 54,677 | Monster Worldwide, Inc.a | $ | 433,589 | |||||
| 17,457 | NetApp, Inc.a | 633,165 | ||||||
| 22,206 | NVIDIA Corporationa | 307,775 | ||||||
| 127,409 | Oracle Corporation | 3,268,041 | ||||||
| 18,157 | Plantronics, Inc. | 647,116 | ||||||
| 19,691 | Plexus Corporationa | 539,140 | ||||||
| 43,827 | QUALCOMM, Inc. | 2,397,337 | ||||||
| 26,113 | Quest Software, Inc.a | 485,702 | ||||||
| 9,257 | Salesforce.com, Inc.a | 939,215 | ||||||
| 80,045 | Teradyne, Inc.a | 1,091,013 | ||||||
| 35,010 | Texas Instruments, Inc. | 1,019,141 | ||||||
| 42,963 | TIBCO Software, Inc.a | 1,027,245 | ||||||
| 14,343 | ValueClick, Inc.a | 233,648 | ||||||
| 23,550 | VeriFone Systems, Inc.a | 836,496 | ||||||
| 14,597 | VMware, Inc.a | 1,214,324 | ||||||
| 51,041 | Xilinx, Inc. | 1,636,374 | ||||||
|
| |||||||
| Total Information Technology | 44,534,630 | |||||||
|
| |||||||
| Materials (0.3%) | ||||||||
| 5,658 | Albemarle Corporation | 291,444 | ||||||
| 13,552 | E.I. du Pont de Nemours and Company | 620,411 | ||||||
| 86,336 | Freeport-McMoRan Copper & Gold, Inc. | 3,176,301 | ||||||
| 6,542 | Sigma-Aldrich Corporation | 408,613 | ||||||
| 8,178 | Silgan Holdings, Inc. | 315,998 | ||||||
| 23,080 | Steel Dynamics, Inc. | 303,502 | ||||||
| 5,600 | Walter Energy, Inc. | 339,136 | ||||||
|
| |||||||
| Total Materials | 5,455,405 | |||||||
|
| |||||||
| Telecommunications Services (0.1%) | ||||||||
| 39,169 | Verizon Communications, Inc. | 1,571,460 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,571,460 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
| 15,200 | CMS Energy Corporation | 335,616 | ||||||
| 26,330 | Exelon Corporation | 1,141,932 | ||||||
| 37,630 | NiSource, Inc. | 895,971 | ||||||
| 20,692 | NV Energy, Inc. | 338,314 | ||||||
| 32,300 | PNM Resources, Inc. | 588,829 | ||||||
| 14,581 | Southwest Gas Corporation | 619,547 | ||||||
| 9,783 | UGI Corporation | 287,620 | ||||||
|
| |||||||
| Total Utilities | 4,207,829 | |||||||
|
| |||||||
Total Common Stock (cost $218,773,626) | 226,224,465 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (17.7%)g | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 12,000,000 | 0.020%, 1/6/2012h | 11,999,967 | ||||||
| 45,000,000 | 0.010%, 1/18/2012h | 44,999,788 | ||||||
| 32,000,000 | 0.015%, 1/20/2012h | 31,999,747 | ||||||
| 8,000,000 | 0.030%, 2/3/2012h | 7,999,780 | ||||||
| 13,000,000 | 0.011%, 2/8/2012h | 12,999,852 | ||||||
| 12,000,000 | 0.020%, 2/10/2012h | 11,999,733 | ||||||
| 15,000,000 | 0.005%, 2/15/2012h | 14,999,906 | ||||||
| 5,000,000 | 0.010%, 2/17/2012h,i | 4,999,935 | ||||||
| 11,000,000 | 0.022%, 2/22/2012h,i,j | 10,999,650 | ||||||
| 16,500,000 | 0.013%, 3/2/2012h | 16,499,636 | ||||||
| 44,000,000 | 0.015%, 3/7/2012h | 43,998,790 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 3,000,000 | 0.030%, 1/3/2012h | 2,999,995 | ||||||
| 4,000,000 | 0.030%, 1/9/2012h | 3,999,973 | ||||||
| 4,000,000 | 0.010%, 1/11/2012h | 3,999,989 | ||||||
| 13,000,000 | 0.030%, 1/17/2012h | 12,999,826 | ||||||
| 3,000,000 | 0.030%, 1/23/2012h | 2,999,945 | ||||||
| 2,500,000 | 0.005%, 2/8/2012h | 2,499,987 | ||||||
| 14,721,000 | 0.008%, 2/17/2012h | 14,720,847 | ||||||
| 3,000,000 | 0.015%, 3/5/2012h | 2,999,920 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 14,000,000 | 0.010%, 1/9/2012h | 13,999,969 | ||||||
| 3,000,000 | 0.010%, 1/11/2012h | 2,999,992 | ||||||
| 10,000,000 | 0.020%, 1/17/2012h | 9,999,911 | ||||||
| 12,600,000 | 0.099%, 2/22/2012h,j | 12,598,225 | ||||||
| 50,000,000 | 0.015%, 3/7/2012h | 49,998,625 | ||||||
U.S. Treasury Bills | ||||||||
| 4,000,000 | 0.045%, 2/9/2012j | 3,999,806 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 10,000,000 | 0.020%, 1/10/2012c | 9,999,950 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 364,313,744 | |||||||
|
| |||||||
Total Investments (cost $2,222,573,373) 106.3% | �� | $ | 2,185,583,960 | |||||
|
| |||||||
| Other Assets and Liabilities, Net (6.3%) | (130,317,166 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 2,055,266,794 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011, the value of these investments was $25,563,282 or 1.2% 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 | This security is displayed in shares. |
| f | Denotes investments purchased on a when-issued or delayed delivery basis. |
| g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
| h | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| i | At December 31, 2011, $2,971,936 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| j | At December 31, 2011, $20,097,919 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 | $ | 39,856,872 | ||
Gross unrealized depreciation | (78,086,680 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (38,229,808 | ) | |
Cost for federal income tax purposes | $ | 2,223,813,768 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 316,815,855 | 316,815,855 | — | — | ||||||||||||
Fixed Income Mutual Funds | 926,020,944 | 926,020,944 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 14,447,518 | — | 14,447,518 | — | ||||||||||||
Basic Materials | 5,465,982 | — | 5,465,982 | — | ||||||||||||
Capital Goods | 1,621,241 | — | 1,621,241 | — | ||||||||||||
Collateralized Mortgage Obligations | 15,370,913 | — | 15,370,913 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 35,811,703 | — | 35,811,703 | — | ||||||||||||
Communications Services | 8,034,101 | — | 8,034,101 | — | ||||||||||||
Consumer Cyclical | 5,128,304 | — | 5,128,304 | — | ||||||||||||
Consumer Non-Cyclical | 16,457,883 | — | 16,457,883 | — | ||||||||||||
Energy | 4,264,649 | — | 4,264,649 | — | ||||||||||||
Financials | 23,369,664 | — | 23,369,664 | — | ||||||||||||
Foreign Government | 689,179 | — | 689,179 | — | ||||||||||||
Mortgage-Backed Securities | 165,721,261 | — | 165,721,261 | — | ||||||||||||
Technology | 361,675 | — | 361,675 | — | ||||||||||||
Transportation | 297,750 | — | 297,750 | — | ||||||||||||
U.S. Government and Agencies | 49,717,592 | — | 49,717,592 | — | ||||||||||||
Utilities | 5,449,537 | — | 5,449,537 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 23,616,386 | 23,616,386 | — | — | ||||||||||||
Consumer Staples | 22,628,795 | 22,628,795 | — | — | ||||||||||||
Energy | 21,741,323 | 21,300,395 | 440,928 | — | ||||||||||||
Financials | 52,197,405 | 52,197,405 | — | — | ||||||||||||
Health Care | 27,484,226 | 27,484,226 | — | — | ||||||||||||
Industrials | 22,787,006 | 22,787,006 | — | — | ||||||||||||
Information Technology | 44,534,630 | 44,534,630 | — | — | ||||||||||||
Materials | 5,455,405 | 5,455,405 | — | — | ||||||||||||
Telecommunications Services | 1,571,460 | 1,571,460 | — | — | ||||||||||||
Utilities | 4,207,829 | 4,207,829 | — | — | ||||||||||||
Short-Term Investments | 364,313,744 | — | 364,313,744 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,185,583,960 | $ | 1,468,620,336 | $ | 716,963,624 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 5,301,215 | 5,301,215 | — | — | ||||||||||||
Credit Default Swaps | 444,540 | — | 444,540 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 5,745,755 | $ | 5,301,215 | $ | 444,540 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 317,384 | 317,384 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 317,384 | $ | 317,384 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Note Futures | (250 | ) | March 2012 | ($ | 55,116,425 | ) | ($ | 55,136,720 | ) | ($ | 20,295 | ) | ||||||||
10-Yr. U.S. Treasury Note Futures | 1,280 | March 2012 | 166,496,173 | 167,840,000 | 1,343,827 | |||||||||||||||
20-Yr. U.S. Treasury Bond Futures | 645 | March 2012 | 91,624,780 | 93,404,063 | 1,779,283 | |||||||||||||||
MSCI EAFE Index Mini-Futures | 69 | March 2012 | 4,817,701 | 4,862,429 | 44,728 | |||||||||||||||
Russell 2000 Index Mini-Futures | (77 | ) | March 2012 | (5,618,259 | ) | (5,688,760 | ) | (70,501 | ) | |||||||||||
S&P 400 Index Mini-Futures | (246 | ) | March 2012 | (21,354,992 | ) | (21,581,580 | ) | (226,588 | ) | |||||||||||
S&P 500 Index Futures | 366 | March 2012 | 112,479,523 | 114,612,900 | 2,133,377 | |||||||||||||||
Total Futures Contracts | $ | 4,983,831 | ||||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; Bank of America | Sell | 12/20/2016 | $ | 18,865,000 | $ | 1,408,813 | ($ | 1,325,461 | ) | $ | 83,352 | |||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Sell | 12/20/2016 | 22,050,000 | 1,910,428 | (1,549,240 | ) | 361,188 | |||||||||||||||
Total Credit Default Swaps | ($ | 2,874,701 | ) | $ | 444,540 | |||||||||||||||||
| 1 | As the buyer of protection, Moderately Conservative Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderately Conservative Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderately Conservative Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The 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. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 3,123,110 | |||
Total Interest Rate Contracts | 3,123,110 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,178,105 | ||||
Total Equity Contracts | 2,178,105 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 444,540 | ||||
Total Credit Contracts | 444,540 | |||||
|
| |||||
Total Asset Derivatives | $ | 5,745,755 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 20,295 | ||||
Total Interest Rate Contracts | 20,295 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 297,089 | ||||
Total Equity Contracts | 297,089 | |||||
|
| |||||
Total Liability Derivatives | $ | 317,384 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 5,927,697 | ||||
Total Equity Contracts | 5,927,697 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (3,279 | ) | |||
Total Foreign Exchange Contracts | (3,279 | ) | ||||
Interest Rate Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 813 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (5,492,545 | ) | |||
Total Interest Rate Contracts | (5,491,732 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 1,077,349 | ||||
Total Credit Contracts | 1,077,349 | |||||
|
| |||||
Total | $ | 1,510,035 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 3,102,815 | ||||
Total Interest Rate Contracts | 3,102,815 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 741,129 | ||||
Total Equity Contracts | 741,129 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 444,540 | ||||
Total Credit Contracts | 444,540 | |||||
|
| |||||
Total | $ | 4,288,484 | ||||
|
| |||||
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 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 | $ | 191,567,980 | 10.5 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 104,334,692 | 5.7 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 6,014 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 15,521,231 | 0.9 | % | ||||||||||||||||
| * | 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 Moderately Conservative Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Real Estate Securities | $ | 28,695,550 | $ | — | $ | 27,620,314 | — | $ | — | $ | — | |||||||||||||
Partner Small Cap Value | 24,064,028 | 51,626 | — | 1,265,037 | 23,585,482 | 51,626 | ||||||||||||||||||
Small Cap Stock | 20,449,739 | — | — | 1,614,844 | 19,363,111 | — | ||||||||||||||||||
Partner Mid Cap Value | 28,491,230 | 61,770 | — | 2,133,199 | 26,686,954 | 61,770 | ||||||||||||||||||
Mid Cap Stock | 35,852,618 | 16,352 | — | 2,927,221 | 33,601,569 | 16,352 | ||||||||||||||||||
Partner Worldwide Allocation | 71,557,285 | 9,838,221 | — | 9,309,499 | 68,816,746 | 1,547,401 | ||||||||||||||||||
Partner International Stock | 40,475,646 | 14,871 | — | 3,793,944 | 34,849,649 | 14,871 | ||||||||||||||||||
Large Cap Growth II | 37,077,121 | 751,749 | 33,838,862 | — | — | 52,981 | ||||||||||||||||||
Large Cap Value | 80,030,955 | 18,007 | — | 7,462,376 | 77,563,939 | 18,007 | ||||||||||||||||||
Large Cap Stock | 23,174,261 | 2,739 | — | 2,726,514 | 22,113,664 | 2,739 | ||||||||||||||||||
Equity Income Plus | 10,492,477 | 29,394 | — | 1,161,468 | 10,234,741 | 29,394 | ||||||||||||||||||
High Yield | 66,783,491 | 24,237,465 | 7,059,699 | 17,507,627 | 81,625,810 | 5,641,567 | ||||||||||||||||||
Income | 205,832,967 | 54,079,308 | 382,495 | 25,995,863 | 262,194,274 | 10,701,923 | ||||||||||||||||||
Limited Maturity Bond | 475,692,869 | 115,458,489 | 912,103 | 60,194,464 | 582,200,860 | 12,021,955 | ||||||||||||||||||
Total Value and Income Earned | 1,148,670,237 | 1,242,836,799 | 30,160,586 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (96.4%) | Value | ||||||
| Communications Equipment (8.2%) | ||||||||
| 21,423 | Juniper Networks, Inc.a | $ | 437,244 | |||||
| 36,603 | QUALCOMM, Inc. | 2,002,184 | ||||||
|
| |||||||
| Total Communications Equipment | 2,439,428 | |||||||
|
| |||||||
| Computers & Peripherals (14.8%) | ||||||||
| 7,545 | Apple, Inc.a | 3,055,725 | ||||||
| 36,315 | NetApp, Inc.a | 1,317,145 | ||||||
|
| |||||||
| Total Computers & Peripherals | 4,372,870 | |||||||
|
| |||||||
| Consumer Discretionary (8.4%) | ||||||||
| 4,269 | Amazon.com, Inc.a | 738,964 | ||||||
| 20,927 | Coinstar, Inc.a,b | 955,108 | ||||||
| 35,320 | Pandora Media, Inc.a,b | 353,553 | ||||||
| 930 | Priceline.com, Inc.a | 434,971 | ||||||
|
| |||||||
| Total Consumer Discretionary | 2,482,596 | |||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (5.8%) | ||||||||
| 28,305 | Amphenol Corporation | 1,284,764 | ||||||
| 15,961 | DTS, Inc.a | 434,778 | ||||||
|
| |||||||
| Total Electronic Equipment, Instruments & Components | 1,719,542 | |||||||
|
| |||||||
| Financials (2.7%) | ||||||||
| 6,639 | IntercontinentalExchange, Inc.a | 800,331 | ||||||
|
| |||||||
| Total Financials | 800,331 | |||||||
|
| |||||||
| Industrials (1.3%) | ||||||||
| 22,079 | DigitalGlobe, Inc.a | 377,772 | ||||||
|
| |||||||
| Total Industrials | 377,772 | |||||||
|
| |||||||
| Internet Software & Services (18.7%) | ||||||||
| 23,824 | 21Vianet Group, Inc. ADRa | 217,990 | ||||||
| 7,440 | Equinix, Inc.a | 754,416 | ||||||
| 3,304 | Google, Inc.a | 2,134,054 | ||||||
| 18,291 | Groupon, Inc.a,b | 377,343 | ||||||
| 8,194 | Opnet Technologies, Inc. | 300,474 | ||||||
| 30,444 | Rackspace Hosting, Inc.a,b | 1,309,396 | ||||||
| 11,410 | Yandex NVa | 224,777 | ||||||
| 22,736 | Zynga, Inc.a,b | 213,946 | ||||||
|
| |||||||
| Total Internet Software & Services | 5,532,396 | |||||||
|
| |||||||
| IT Consulting & Services (5.4%) | ||||||||
| 12,317 | Global Payments, Inc. | 583,579 | ||||||
| 40,192 | InterXion Holding NVa | 540,582 | ||||||
| 13,732 | VeriFone Systems, Inc.a | 487,761 | ||||||
|
| |||||||
| Total IT Consulting & Services | 1,611,922 | |||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (10.6%) | ||||||||
| 15,095 | Altera Corporation | 560,024 | ||||||
| 8,940 | Cavium, Inc.a | 254,164 | ||||||
| 19,326 | Intermolecular, Inc.a | 165,817 | ||||||
| 51,651 | NVIDIA Corporationa | 715,883 | ||||||
| 17,674 | Texas Instruments, Inc. | 514,490 | ||||||
| 29,176 | Xilinx, Inc. | 935,383 | ||||||
|
| |||||||
| Total Semiconductors & Semiconductor Equipment | 3,145,761 | |||||||
|
| |||||||
| Software (14.4%) | ||||||||
| 12,406 | Citrix Systems, Inc.a | 753,292 | ||||||
| 18,940 | Microsoft Corporation | 491,682 | ||||||
| 38,214 | Oracle Corporation | 980,189 | ||||||
| 52,165 | RealD, Inc.a,b | 414,190 | ||||||
| 21,637 | Rovi Corporationa | 531,838 | ||||||
| 10,698 | Salesforce.com, Inc.a | 1,085,419 | ||||||
|
| |||||||
| Total Software | 4,256,610 | |||||||
|
| |||||||
| Telecommunications Services (6.1%) | ||||||||
| 13,885 | American Tower Corporation | 833,239 | ||||||
| 23,093 | SBA Communications Corporationa | 992,075 | ||||||
| Total Telecommunications Services | 1,825,314 | |||||||
|
| |||||||
Total Common Stock (cost $25,902,849) | 28,564,542 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (12.5%) | ||||||||
| 3,695,344 | Thrivent Financial Securities Lending Trust | 3,695,344 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,695,344) | 3,695,344 | |||||||
|
| |||||||
Total Investments (cost $29,598,193) 108.9% | $ | 32,259,886 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.9%) | (2,644,476 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 29,615,410 | ||||||
|
| |||||||
| 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 | $ | 5,194,921 | ||
Gross unrealized depreciation | (2,879,545 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 2,315,376 | ||
Cost for federal income tax purposes | $ | 29,944,510 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
Partner Technology Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 2,439,428 | 2,439,428 | — | — | ||||||||||||
Computers & Peripherals | 4,372,870 | 4,372,870 | — | — | ||||||||||||
Consumer Discretionary | 2,482,596 | 2,482,596 | — | — | ||||||||||||
Electronic Equipment, Instruments & Components | 1,719,542 | 1,719,542 | — | — | ||||||||||||
Financials | 800,331 | 800,331 | — | — | ||||||||||||
Industrials | 377,772 | 377,772 | — | — | ||||||||||||
Internet Software & Services | 5,532,396 | 5,532,396 | — | — | ||||||||||||
IT Consulting & Services | 1,611,922 | 1,611,922 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 3,145,761 | 3,145,761 | — | — | ||||||||||||
Software | 4,256,610 | 4,256,610 | — | — | ||||||||||||
Telecommunications Services | 1,825,314 | 1,825,314 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,695,344 | 3,695,344 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 32,259,886 | $ | 32,259,886 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 5,439,525 | $ | 28,054,049 | $ | 29,798,230 | 3,695,344 | $ | 3,695,344 | $ | 159,163 | |||||||||||||
Total Value and Income Earned | 5,439,525 | 3,695,344 | 159,163 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
Schedule of Investments as of December 31, 2011
Shares | Common Stock (98.7%) | Value | ||||||
| Biotechnology (24.4%) | |||||||
| 13,171 | Algeta ASAa | $ | 335,555 | |||||
| 25,100 | Amarin Corporation plc ADRa | 187,999 | ||||||
| 8,940 | Amgen, Inc. | 574,037 | ||||||
| 30,182 | ARIAD Pharmaceuticals, Inc.a | 369,730 | ||||||
| 6,000 | Biogen Idec, Inc.a | 660,300 | ||||||
| 7,643 | BioMarin Pharmaceutical, Inc.a | 262,766 | ||||||
| 23,100 | Dendreon Corporationa | 175,560 | ||||||
| 13,950 | Incyte Corporationa | 209,390 | ||||||
| 22,900 | InterMune, Inc.a | 288,540 | ||||||
| 13,400 | Onyx Pharmaceuticals, Inc.a | 588,930 | ||||||
| 17,200 | Savient Pharmaceuticals, Inc.a | 38,356 | ||||||
| 11,345 | United Therapeutics Corporationa | 536,051 | ||||||
| 5,200 | Vertex Pharmaceuticals, Inc.a | 172,692 | ||||||
|
| |||||||
| Total Biotechnology | 4,399,906 | |||||||
|
| |||||||
| Health Care Equipment (16.3%) | |||||||
| 12,500 | Covidien plc | 562,625 | ||||||
| 14,433 | Dexcom, Inc.a | 134,371 | ||||||
| 6,463 | Edwards Lifesciences Corporationa | 456,934 | ||||||
| 9,389 | Given Imaging, Ltd.a | 163,650 | ||||||
| 2,898 | HeartWare International, Inc.a | 199,962 | ||||||
| 10,300 | Hologic, Inc.a | 180,353 | ||||||
| 11,500 | St. Jude Medical, Inc. | 394,450 | ||||||
| 8,747 | Thoratec Corporationa | 293,550 | ||||||
| 8,162 | Varian Medical Systems, Inc.a | 547,915 | ||||||
|
| |||||||
| Total Health Care Equipment | 2,933,810 | |||||||
|
| |||||||
| Health Care Supplies (3.1%) | |||||||
| 23,373 | Align Technology, Inc.a | 554,524 | ||||||
|
| |||||||
| Total Health Care Supplies | 554,524 | |||||||
|
| |||||||
| Pharmaceuticals (54.9%) | |||||||
| 37,300 | Aspen Pharmacare Holdings, Ltd.a | 446,532 | ||||||
| 533,999 | CFR Pharmaceuticals SAa | 125,508 | ||||||
| 12,600 | Eli Lilly and Company | 523,656 | ||||||
| 61,693 | GlaxoSmithKline plc | 1,405,765 | ||||||
| 42,697 | Hikma Pharmaceuticals plc | 410,605 | ||||||
| 29,900 | Merck & Company, Inc. | 1,127,230 | ||||||
| 34,900 | Mylan, Inc.a | 748,954 | ||||||
| 25,200 | Novartis AG | 1,438,745 | ||||||
| 8,540 | Novo Nordisk A/S ADR | 984,320 | ||||||
| 5,400 | Perrigo Company | 525,420 | ||||||
| 11,796 | Pharmstandard GDRa | 165,907 | ||||||
| 8,610 | Roche Holding AG | 1,456,108 | ||||||
| 5,071 | Sawai Pharmaceutical Company, Ltd. | 526,079 | ||||||
| Total Pharmaceuticals | 9,884,829 | |||||||
|
| |||||||
Total Common Stock (cost $16,231,107) | 17,773,069 | |||||||
|
| |||||||
Total Investments (cost $16,231,107) 98.7% | $ | 17,773,069 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.3% | 226,643 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 17,999,712 | ||||||
|
| |||||||
| a | Non-income producing security. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| GDR | - | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,281,838 | ||
Gross unrealized depreciation | (757,292 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 1,524,546 | ||
Cost for federal income tax purposes | $ | 16,248,523 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
Partner Healthcare Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 4,399,906 | 4,064,351 | 335,555 | — | ||||||||||||
Health Care Equipment | 2,933,810 | 2,933,810 | — | — | ||||||||||||
Health Care Supplies | 554,524 | 554,524 | — | — | ||||||||||||
Pharmaceuticals | 9,884,829 | 4,075,487 | 5,809,342 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 17,773,069 | $ | 11,628,172 | $ | 6,144,897 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (5,600 | ) | |||
Total Foreign Exchange Contracts | (5,600 | ) | ||||
|
| |||||
Total | ($ | 5,600 | ) | |||
|
| |||||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 39,558 | 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.
146
Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (93.8%) | Value | ||||||
| Coal & Consumable Fuels (12.4%) | |||||||
| 51,814 | Alpha Natural Resources, Inc.a | $ | 1,058,560 | |||||
| 67,300 | Arch Coal, Inc. | 976,523 | ||||||
| 105,977 | Patriot Coal Corporationa | 897,625 | ||||||
| 29,994 | Peabody Energy Corporation | 993,102 | ||||||
|
| |||||||
| Total Coal & Consumable Fuels | 3,925,810 | |||||||
|
| |||||||
| Consumer Staples (7.8%) | |||||||
| 28,003 | Archer-Daniels-Midland Company | 800,886 | ||||||
| 12,810 | Bunge, Ltd. | 732,732 | ||||||
| 17,495 | Corn Products International, Inc. | 920,062 | ||||||
|
| |||||||
| Total Consumer Staples | 2,453,680 | |||||||
|
| |||||||
| Financials (15.3%) | |||||||
| 9,735 | Boston Properties, Inc. | 969,606 | ||||||
| 16,186 | Equity Residential | 923,088 | ||||||
| 7,694 | Public Storage, Inc. | 1,034,535 | ||||||
| 7,679 | Simon Property Group, Inc. | 990,130 | ||||||
| 11,860 | Vornado Realty Trust | 911,560 | ||||||
|
| |||||||
| Total Financials | 4,828,919 | |||||||
|
| |||||||
| Integrated Oil & Gas (10.2%) | |||||||
| 19,195 | BP plc ADR | 820,394 | ||||||
| 7,429 | Chevron Corporation | 790,446 | ||||||
| 8,982 | Occidental Petroleum Corporation | 841,613 | ||||||
| 31,126 | Petroleo Brasileiro SA ADR | 773,481 | ||||||
|
| |||||||
| Total Integrated Oil & Gas | 3,225,934 | |||||||
|
| |||||||
| Materials (13.8%) | |||||||
| 13,100 | Cliffs Natural Resources, Inc. | 816,785 | ||||||
| 30,608 | Freeport-McMoRan Copper & Gold, Inc. | 1,126,068 | ||||||
| 9,900 | Monsanto Company | 693,693 | ||||||
| 13,700 | Mosaic Company | 690,891 | ||||||
| 17,175 | Walter Energy, Inc. | 1,040,118 | ||||||
|
| |||||||
| Total Materials | 4,367,555 | |||||||
|
| |||||||
| Oil & Gas Drilling (5.4%) | |||||||
| 17,204 | ENSCO International plc ADR | 807,212 | ||||||
| 52,000 | Nabors Industries, Ltd.a | 901,680 | ||||||
|
| |||||||
| Total Oil & Gas Drilling | 1,708,892 | |||||||
|
| |||||||
| Oil & Gas Equipment & Services (13.3%) | |||||||
| 14,191 | Baker Hughes, Inc. | 690,250 | ||||||
| 15,520 | Cameron International Corporationa | 763,429 | ||||||
| 12,801 | Dril-Quip, Inc.a | 842,562 | ||||||
| 22,695 | Global Geophysical Services, Inc.a | 152,510 | ||||||
| 12,522 | Oil States International, Inc.a | 956,305 | ||||||
| 53,200 | Weatherford International, Ltd.a | 778,848 | ||||||
|
| |||||||
| Total Oil & Gas Equipment & Services | 4,183,904 | |||||||
|
| |||||||
| Oil & Gas Exploration & Production (15.6%) | |||||||
| 8,288 | Apache Corporation | 750,727 | ||||||
| 8,500 | EOG Resources, Inc. | 837,335 | ||||||
| 17,000 | Newfield Exploration Companya | 641,410 | ||||||
| 28,799 | Plains Exploration & Production Companya | 1,057,499 | ||||||
| 30,100 | Swift Energy Companya | 894,572 | ||||||
| 25,600 | Ultra Petroleum Corporationa | 758,528 | ||||||
|
| |||||||
| Total Oil & Gas Exploration & Production | 4,940,071 | |||||||
|
| |||||||
Total Common Stock (cost $34,917,328) | 29,634,765 | |||||||
|
| |||||||
Total Investments (cost $34,917,328) 93.8% | $ | 29,634,765 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 6.2% | 1,967,638 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 31,602,403 | ||||||
|
| |||||||
| 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 | $ | 1,418,777 | ||
Gross unrealized depreciation | (6,701,340 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (5,282,563 | ) | |
Cost for federal income tax purposes | $ | 34,917,328 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Partner Natural Resources Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 3,925,810 | 3,925,810 | — | — | ||||||||||||
Consumer Staples | 2,453,680 | 2,453,680 | — | — | ||||||||||||
Financials | 4,828,919 | 4,828,919 | — | — | ||||||||||||
Integrated Oil & Gas | 3,225,934 | 3,225,934 | — | — | ||||||||||||
Materials | 4,367,555 | 4,367,555 | — | — | ||||||||||||
Oil & Gas Drilling | 1,708,892 | 1,708,892 | — | — | ||||||||||||
Oil & Gas Equipment & Services | 4,183,904 | 4,183,904 | — | — | ||||||||||||
Oil & Gas Exploration & Production | 4,940,071 | 4,940,071 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 29,634,765 | $ | 29,634,765 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Common Stock Coal & Consumable Fuels | 23,611 | — | (23,611 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 23,611 | $ | — | ($ | 23,611 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 December 31, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 23,821 | 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.
148
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (97.5%) | Value | ||||||
| Brazil (17.3%) | |||||||
| 79,072 | Banco Bradesco SA ADR | $ | 1,318,921 | |||||
| 19,821 | Lojas Renner SA | 514,413 | ||||||
| 22,000 | Multiplan Empreendimentos Imobiliarios SA | 451,370 | ||||||
| 55,500 | Petroleo Brasileiro SA PREF ADR | 1,303,695 | ||||||
| 53,902 | Souza Cruz SA | 662,036 | ||||||
| 59,400 | Ultrapar Participacoes SA | 1,019,350 | ||||||
| 71,947 | Vale SA SP PREF ADR | 1,482,108 | ||||||
|
| |||||||
| Total Brazil | 6,751,893 | |||||||
|
| |||||||
| Chile (1.7%) | |||||||
| 8,800 | Banco Santander Chile SA ADR | 666,160 | ||||||
|
| |||||||
| Total Chile | 666,160 | |||||||
|
| |||||||
| China (3.0%) | |||||||
| 931,000 | PetroChina Company, Ltd. | 1,156,144 | ||||||
|
| |||||||
| Total China | 1,156,144 | |||||||
|
| |||||||
| Hong Kong (10.9%) | |||||||
| 220,000 | AIA Group, Ltd. | 684,842 | ||||||
| 167,000 | China Mobile, Ltd. | 1,622,502 | ||||||
| 167,000 | Hang Lung Group, Ltd. | 913,937 | ||||||
| 73,000 | Swire Pacific, Ltd., Class A | 879,543 | ||||||
| 60,000 | Swire Pacific, Ltd., Class B | 140,781 | ||||||
|
| |||||||
| Total Hong Kong | 4,241,605 | |||||||
|
| |||||||
| Hungary (1.9%) | |||||||
| 5,371 | Richter Gedeon Nyrt | 753,810 | ||||||
|
| |||||||
| Total Hungary | 753,810 | |||||||
|
| |||||||
| India (12.0%) | |||||||
| 60,000 | Bharti Airtel, Ltd. | 387,697 | ||||||
| 6,500 | GlaxoSmithKline Pharmaceuticals, Ltd. | 237,732 | ||||||
| 2,200 | Grasim Industries, Ltd. | 103,024 | ||||||
| 4,350 | Grasim Industries, Ltd. GDR | 205,347 | ||||||
| 17,800 | Hero Motocorp, Ltd. | 638,249 | ||||||
| 58,000 | Hindustan Unilever, Ltd. | 444,744 | ||||||
| 81,050 | Housing Development Finance Corporation | 994,000 | ||||||
| 14,000 | ICICI Bank, Ltd. | 182,028 | ||||||
| 5,000 | ICICI Bank, Ltd. ADR | 132,150 | ||||||
| 15,000 | Infosys, Ltd. | 780,718 | ||||||
| 3,900 | Infosys, Ltd. ADR | 200,382 | ||||||
| 12,947 | Ultra Tech Cement, Ltd. | 284,191 | ||||||
| 2,484 | Ultra Tech Cement, Ltd. GDR | 54,563 | ||||||
|
| |||||||
| Total India | 4,644,825 | |||||||
|
| |||||||
| Indonesia (3.1%) | |||||||
| 146,000 | PT Astra International Tbk | 1,189,768 | ||||||
|
| |||||||
| Total Indonesia | 1,189,768 | |||||||
|
| |||||||
| Luxembourg (2.4%) | |||||||
| 25,100 | Tenaris SA ADR | 933,218 | ||||||
|
| |||||||
| Total Luxembourg | 933,218 | |||||||
|
| |||||||
| Malaysia (3.0%) | |||||||
| 320,000 | CIMB Group Holdings Berhad | 750,355 | ||||||
| 96,500 | Public Bank Berhad | 401,711 | ||||||
|
| |||||||
| Total Malaysia | 1,152,066 | |||||||
|
| |||||||
| Mexico (7.1%) | |||||||
| 17,200 | Fomento Economico Mexicano SAB de CV ADR | 1,199,012 | ||||||
| 6,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 380,392 | ||||||
| 293,128 | Grupo Financiero Banorte SAB de CV ADR | 887,490 | ||||||
| 120,300 | Organizacion Soriana SAB de CVa | 290,950 | ||||||
|
| |||||||
| Total Mexico | 2,757,844 | |||||||
|
| |||||||
| Philippines (2.4%) | |||||||
| 1,523,700 | Ayala Land, Inc. | 527,511 | ||||||
| 312,897 | Bank of the Philippine Islands | 393,864 | ||||||
|
| |||||||
| Total Philippines | 921,375 | |||||||
|
| |||||||
| Poland (1.4%) | |||||||
| 13,790 | Bank Pekao SA | 562,327 | ||||||
|
| |||||||
| Total Poland | 562,327 | |||||||
|
| |||||||
| Russia (2.8%) | |||||||
| 20,400 | Lukoil ADR | 1,079,754 | ||||||
|
| |||||||
| Total Russia | 1,079,754 | |||||||
|
| |||||||
| South Africa (3.9%) | |||||||
| 29,047 | Massmart Holdings, Ltd. | 606,956 | ||||||
| 99,800 | Truworths International, Ltd. | 911,869 | ||||||
|
| |||||||
| Total South Africa | 1,518,825 | |||||||
|
| |||||||
| South Korea (5.9%) | |||||||
| 1,670 | E-Mart Company, Ltd.a | 403,824 | ||||||
| 2,250 | Samsung Electronics Company, Ltd. | 1,304,018 | ||||||
| 1,570 | Samsung Electronics Company, Ltd. GDR | 450,130 | ||||||
| 589 | Shinsegae Company, Ltd.a | 125,400 | ||||||
|
| |||||||
| Total South Korea | 2,283,372 | |||||||
|
| |||||||
| Taiwan (5.4%) | |||||||
| 168,400 | Taiwan Mobile Company, Ltd. | 524,660 | ||||||
| 635,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 1,587,858 | ||||||
|
| |||||||
| Total Taiwan | 2,112,518 | |||||||
|
| |||||||
| Thailand (5.5%) | |||||||
| 165,000 | PTT Exploration & Production pcl | 879,964 | ||||||
| 64,400 | Siam Cement pcl | 745,970 | ||||||
| 133,600 | Siam Commercial Bank pcl | 492,397 | ||||||
|
| |||||||
| Total Thailand | 2,118,331 | |||||||
|
| |||||||
| Turkey (4.2%) | |||||||
| 262,833 | Akbank TAS | 832,897 | ||||||
| 17,799 | BIM Birlesik Magazalar AS | 492,879 | ||||||
| 101,000 | Turkiye Garanti Bankasi AS | 313,986 | ||||||
|
| |||||||
| Total Turkey | 1,639,762 | |||||||
|
| |||||||
| United Kingdom (3.6%) | |||||||
| 14,825 | SABMiller plc | 518,831 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.5%) | Value | ||||
United Kingdom (3.6%) - continued | ||||||
| 39,950 | Standard Chartered plc | $ | 873,825 | |||
|
| |||||
| Total United Kingdom | 1,392,656 | |||||
|
| |||||
Total Common Stock (cost $36,828,169) | 37,876,253 | |||||
|
| |||||
Total Investments (cost $36,828,169) 97.5% | $ | 37,876,253 | ||||
|
| |||||
| Other Assets and Liabilities, Net 2.5% | 977,319 | |||||
|
| |||||
| Total Net Assets 100.0% | $ | 38,853,572 | ||||
|
| |||||
| 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 | $ | 4,587,753 | ||
Gross unrealized depreciation | (3,574,951 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 1,012,802 | ||
Cost for federal income tax purposes | $ | 36,863,451 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 4,074,473 | — | 4,074,473 | — | ||||||||||||
Consumer Staples | 3,924,458 | 1,199,012 | 2,725,446 | — | ||||||||||||
Energy | 6,372,125 | 3,316,667 | 3,055,458 | — | ||||||||||||
Financials | 10,928,401 | 2,117,231 | 8,811,170 | — | ||||||||||||
Health Care | 991,542 | — | 991,542 | — | ||||||||||||
Industrials | 3,245,181 | 719,146 | 2,526,035 | — | ||||||||||||
Information Technology | 4,323,106 | 650,512 | 3,672,594 | — | ||||||||||||
Materials | 1,482,108 | 1,482,108 | — | — | ||||||||||||
Telecommunications Services | 2,534,859 | — | 2,534,859 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 37,876,253 | $ | 9,484,676 | $ | 28,391,577 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 254 | — | 254 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 254 | $ | — | $ | 254 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 78 | – | 78 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 78 | $ | – | $ | 78 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases | ||||||||||||||||||||||
South African Rand | SSB | 227,930 | 1/3/2012 -1/6/2012 | $ | 27,981 | $ | 28,235 | $ | 254 | |||||||||||||
Total Purchases | $ | 27,981 | $ | 28,235 | $ | 254 | ||||||||||||||||
Sales | ||||||||||||||||||||||
Brazilian Real | SSB | 33,414 | 1/3/2012 | $ | 17,836 | $ | 17,914 | ($ | 78 | ) | ||||||||||||
Total Sales | $ | 17,836 | $ | 17,914 | ($ | 78 | ) | |||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 176 | ||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Partner Emerging Markets Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2011, for Partner Emerging Markets Portfolio's investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 254 | ||||
Total Foreign Exchange Contracts | 254 | |||||
|
| |||||
Total Asset Derivatives | $ | 254 | ||||
|
| |||||
| Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 78 | ||||
Total Foreign Exchange Contracts | 78 | |||||
|
| |||||
Total Liability Derivatives | $ | 78 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 11,580 | ||||
Total Foreign Exchange Contracts | 11,580 | |||||
|
| |||||
Total | $ | 11,580 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2011, for Partner Emerging Markets Portfolio's investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
| Foreign Exchange Contracts | ||||||
| Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 176 | ||||
Total Foreign Exchange Contracts | 176 | |||||
|
| |||||
Total | $ | 176 | ||||
|
| |||||
The following table presents Partner Emerging Markets Portfolio's average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 26,768 | 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
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (99.4%) | Value | ||||||
| Diversified Real Estate Activities (0.1%) | |||||||
| 5,019 | Brookfield Asset Management, Inc. | $ | 137,922 | |||||
|
| |||||||
| Total Diversified Real Estate Activities | 137,922 | |||||||
|
| |||||||
| Diversified REITS (6.2%) | ||||||||
| 11,292 | American Assets Trust, Inc. | 231,599 | ||||||
| 22,057 | Colonial Properties Trust | 460,109 | ||||||
| 7,032 | Excel Trust, Inc. | 84,384 | ||||||
| 32,643 | Liberty Property Trust | 1,008,016 | ||||||
| 5,270 | PS Business Parks, Inc. | 292,116 | ||||||
| 13,922 | Retail Opportunity Investments Corporation | 164,836 | ||||||
| 53,750 | Vornado Realty Trust | 4,131,225 | ||||||
| 10,515 | Washington Real Estate Investment Trust | 287,585 | ||||||
| 2,603 | Winthrop Realty Trust | 26,473 | ||||||
|
| |||||||
| Total Diversified REITS | 6,686,343 | |||||||
|
| |||||||
| Hotels, Resorts & Cruise Lines (1.0%) | ||||||||
| 2,908 | Gaylord Entertainment Companya | 70,199 | ||||||
| 1,500 | Hyatt Hotels Corporationa | 56,460 | ||||||
| 6,580 | Marriott International, Inc. | 191,939 | ||||||
| 11,826 | Starwood Hotels & Resorts Worldwide, Inc. | 567,293 | ||||||
| 11,457 | Summit Hotel Properties, Inc. | 108,154 | ||||||
| 2,752 | Wyndham Worldwide Corporation | 104,108 | ||||||
|
| |||||||
| Total Hotels, Resorts & Cruise Lines | 1,098,153 | |||||||
|
| |||||||
| Industrial REITS (5.1%) | ||||||||
| 68,116 | DCT Industrial Trust, Inc. | 348,754 | ||||||
| 24,290 | DuPont Fabros Technology, Inc. | 588,304 | ||||||
| 8,624 | EastGroup Properties, Inc. | 374,971 | ||||||
| 14,246 | First Industrial Realty Trust, Inc.a | 145,737 | ||||||
| 11,126 | First Potomac Realty Trust | 145,194 | ||||||
| 135,273 | Prologis, Inc. | 3,867,455 | ||||||
|
| |||||||
| Total Industrial REITS | 5,470,415 | |||||||
|
| |||||||
| Mortgage REITS (1.0%) | |||||||
| 28,813 | American Capital Agency Corporation | 809,069 | ||||||
| 3,584 | Colony Financial, Inc. | 56,305 | ||||||
| 4,040 | CreXus Investment Corporation | 41,935 | ||||||
| 19,090 | Two Harbors Investment Corporation | 176,391 | ||||||
|
| |||||||
| Total Mortgage REITS | 1,083,700 | |||||||
|
| |||||||
| Office REITS (15.5%) | |||||||
| 24,062 | Alexandria Real Estate Equities, Inc. | 1,659,556 | ||||||
| 42,462 | BioMed Realty Trust, Inc. | 767,713 | ||||||
| 48,224 | Boston Properties, Inc. | 4,803,110 | ||||||
| 44,380 | Brandywine Realty Trust | 421,610 | ||||||
| 9,455 | CommonWealth REIT | 157,331 | ||||||
| 5,646 | Coresite Realty Corporation | 100,612 | ||||||
| 15,807 | Corporate Office Properties Trust | 336,057 | ||||||
| 35,818 | Digital Realty Trust, Inc. | 2,387,986 | ||||||
| 45,357 | Douglas Emmett, Inc. | 827,312 | ||||||
| 64,170 | Duke Realty Corporation | 773,249 | ||||||
| 7,379 | Government Properties Income Trust | 166,396 | ||||||
| 19,612 | Highwoods Properties, Inc. | 581,888 | ||||||
| 2,249 | Hudson Pacific Properties, Inc. | 31,846 | ||||||
| 20,813 | Kilroy Realty Corporation | 792,351 | ||||||
| 17,555 | Lexington Realty Trust | 131,487 | ||||||
| 25,305 | Mack-Cali Realty Corporation | 675,390 | ||||||
| 6,963 | Piedmont Office Realty Trust, Inc. | 118,650 | ||||||
| 30,777 | SL Green Realty Corporation | 2,050,979 | ||||||
|
| |||||||
| Total Office REITS | 16,783,523 | |||||||
|
| |||||||
| Real Estate Operating Companies (0.7%) | |||||||
| 32,357 | Brookfield Office Properties, Inc. | 506,064 | ||||||
| 20,743 | Forest City Enterprises, Inc.a | 245,182 | ||||||
|
| |||||||
| Total Real Estate Operating Companies | 751,246 | |||||||
|
| |||||||
| Real Estate Services (0.1%) | |||||||
| 6,993 | CBRE Group, Inc.a | 106,433 | ||||||
|
| |||||||
| Total Real Estate Services | 106,433 | |||||||
|
| |||||||
| Residential REITS (18.7%) | |||||||
| 26,503 | American Campus Communities, Inc. | 1,112,066 | ||||||
| 40,184 | Apartment Investment & Management Company | 920,616 | ||||||
| 11,659 | Associated Estates Realty Corporation | 185,961 | ||||||
| 30,549 | AvalonBay Communities, Inc. | 3,989,699 | ||||||
| 22,257 | BRE Properties, Inc. | 1,123,533 | ||||||
| 25,651 | Camden Property Trust | 1,596,518 | ||||||
| 6,626 | Campus Crest Communities, Inc. | 66,658 | ||||||
| 24,814 | Education Realty Trust, Inc. | 253,847 | ||||||
| 15,439 | Equity Lifestyle Properties, Inc. | 1,029,627 | ||||||
| 86,940 | Equity Residential | 4,958,188 | ||||||
| 11,499 | Essex Property Trust, Inc. | 1,615,725 | ||||||
| 12,887 | Home Properties, Inc. | 741,905 | ||||||
| 10,034 | Mid-America Apartment Communities, Inc. | 627,627 | ||||||
| 14,435 | Post Properties, Inc. | 631,098 | ||||||
| 1,917 | Sun Communities, Inc. | 70,028 | ||||||
| 49,894 | UDR, Inc. | 1,252,339 | ||||||
|
| |||||||
| Total Residential REITS | 20,175,435 | |||||||
|
| |||||||
| Retail REITS (24.8%) | ||||||||
| 16,763 | Acadia Realty Trust | 337,607 | ||||||
| 38,739 | CBL & Associates Properties, Inc. | 608,202 | ||||||
| 88,656 | DDR Corporation | 1,078,944 | ||||||
| 11,717 | Equity One, Inc. | 198,955 | ||||||
| 17,195 | Federal Realty Investment Trust | 1,560,446 | ||||||
| 108,605 | General Growth Properties, Inc. | 1,631,247 | ||||||
| 32,724 | Glimcher Realty Trust | 301,061 | ||||||
| 13,832 | Inland Real Estate Corporation | 105,262 | ||||||
| 106,087 | Kimco Realty Corporation | 1,722,853 | ||||||
| 19,197 | Kite Realty Group Trust | 86,578 | ||||||
| 41,166 | Macerich Company | 2,083,000 | ||||||
| 27,186 | National Retail Properties, Inc. | 717,167 | ||||||
| 5,526 | Pennsylvania Real Estate Investment Trust | 57,691 | ||||||
| 13,348 | Ramco-Gershenson Properties Trust | 131,211 | ||||||
| 8,282 | Realty Income Corporation | 289,539 | ||||||
| 25,692 | Regency Centers Corporation | 966,533 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (99.4%) | Value | ||||||
| Retail REITS (24.8%) - continued | |||||||
| 2,138 | Saul Centers, Inc. | $ | 75,728 | |||||
| 95,561 | Simon Property Group, Inc. | 12,321,635 | ||||||
| 29,863 | Tanger Factory Outlet Centers, Inc. | 875,583 | ||||||
| 15,741 | Taubman Centers, Inc. | 977,516 | ||||||
| 29,642 | Weingarten Realty Investors | 646,788 | ||||||
|
| |||||||
| Total Retail REITS | 26,773,546 | |||||||
|
| |||||||
| Specialized REITS (26.2%) | |||||||
| 3,000 | American Tower Corporation | 180,030 | ||||||
| 27,478 | Ashford Hospitality Trust, Inc. | 219,824 | ||||||
| 6,227 | Chatham Lodging Trust | 67,127 | ||||||
| 11,233 | Chesapeake Lodging Trust | 173,662 | ||||||
| 13,176 | Cogdell Spencer, Inc. | 55,998 | ||||||
| 3,438 | Cohen & Steers Quality Income Realty Fund, Inc. | 29,120 | ||||||
| 40,872 | CubeSmart | 434,878 | ||||||
| 58,995 | DiamondRock Hospitality Company | 568,712 | ||||||
| 15,183 | Entertainment Properties Trust | 663,649 | ||||||
| 33,870 | Extra Space Storage, Inc. | 820,670 | ||||||
| 28,843 | FelCor Lodging Trust, Inc.a | 87,971 | ||||||
| 103,644 | HCP, Inc. | 4,293,971 | ||||||
| 56,994 | Health Care REIT, Inc. | 3,107,883 | ||||||
| 15,612 | Healthcare Realty Trust, Inc. | 290,227 | ||||||
| 48,647 | Hersha Hospitality Trust | 237,397 | ||||||
| 22,249 | Hospitality Properties Trust | 511,282 | ||||||
| 215,940 | Host Hotels & Resorts, Inc. | 3,189,434 | ||||||
| 24,640 | LaSalle Hotel Properties | 596,535 | ||||||
| 4,472 | LTC Properties, Inc. | 138,006 | ||||||
| 19,414 | Medical Properties Trust, Inc. | 191,616 | ||||||
| 23,861 | Omega Healthcare Investors, Inc. | 461,710 | ||||||
| 13,608 | Pebblebrook Hotel Trust | 261,002 | ||||||
| 6,965 | Plum Creek Timber Company, Inc. | 254,641 | ||||||
| 39,483 | Public Storage, Inc. | 5,308,884 | ||||||
| 10,494 | Rayonier, Inc. REIT | 468,347 | ||||||
| 8,241 | RLJ Lodging Trust | 138,696 | ||||||
| 5,792 | Sabra Healthcare REIT, Inc. | 70,025 | ||||||
| 43,066 | Senior Housing Property Trust | 966,401 | ||||||
| 3,099 | Sovran Self Storage, Inc. | 132,234 | ||||||
| 30,674 | Strategic Hotel Capital, Inc.a | 164,719 | ||||||
| 34,274 | Sunstone Hotel Investors, Inc.a | 279,333 | ||||||
| 71,420 | Ventas, Inc. | 3,937,385 | ||||||
|
| |||||||
| Total Specialized REITS | 28,301,369 | |||||||
|
| |||||||
| Total Common Stock (cost $129,063,605) | 107,368,085 | |||||||
|
| |||||||
| Total Investments (cost $129,063,605) 99.4% | $ | 107,368,085 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.6% | 597,914 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 107,965,999 | ||||||
|
| |||||||
| a | Non-income producing security. |
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 | $ | 11,991,244 | ||
Gross unrealized depreciation | (33,725,036 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (21,733,792 | ) | |
Cost for federal income tax purposes | $ | 129,101,877 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 137,922 | 137,922 | — | — | ||||||||||||
Diversified REITS | 6,686,343 | 6,686,343 | — | — | ||||||||||||
Hotels, Resorts & Cruise Lines | 1,098,153 | 1,098,153 | — | — | ||||||||||||
Industrial REITS | 5,470,415 | 5,470,415 | — | — | ||||||||||||
Mortgage REITS | 1,083,700 | 1,083,700 | — | — | ||||||||||||
Office REITS | 16,783,523 | 16,783,523 | — | — | ||||||||||||
Real Estate Operating Companies | 751,246 | 751,246 | — | — | ||||||||||||
Real Estate Services | 106,433 | 106,433 | — | — | ||||||||||||
Residential REITS | 20,175,435 | 20,175,435 | — | — | ||||||||||||
Retail REITS | 26,773,546 | 26,773,546 | — | — | ||||||||||||
Specialized REITS | 28,301,369 | 28,301,369 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 107,368,085 | $ | 107,368,085 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (5 | ) | |||
Total Foreign Exchange Contracts | (5 | ) | ||||
|
| |||||
Total | ($ | 5 | ) | |||
|
| |||||
Real Estate Securities Portfolio’s average volume of derivative activity for foreign exchange contracts during the period was <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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 28,278,375 | $ | 184,152,648 | $ | 212,431,023 | — | $ | — | $ | 45,529 | |||||||||||||
Total Value and Income Earned | 28,278,375 | — | 45,529 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (81.4%) | Value | ||||||
| Alternative Carriers (2.9%) | |||||||
| 3,950 | Lumos Networks Corporation | $ | 60,593 | |||||
| 13,307 | TW Telecom, Inc.a | 257,890 | ||||||
|
| |||||||
| Total Alternative Carriers | 318,483 | |||||||
|
| |||||||
| Consumer Discretionary (4.3%) | |||||||
| 10,455 | Comcast Corporation | 247,888 | ||||||
| 3,633 | Time Warner Cable, Inc. | 230,950 | ||||||
|
| |||||||
| Total Consumer Discretionary | 478,838 | |||||||
|
| |||||||
| Electric Utilities (26.4%) | |||||||
| 3,700 | American Electric Power Company, Inc. | 152,847 | ||||||
| 7,375 | Cleco Corporation | 280,988 | ||||||
| 3,456 | Edison International, Inc. | 143,078 | ||||||
| 3,300 | Exelon Corporation | 143,121 | ||||||
| 3,200 | FirstEnergy Corporation | 141,760 | ||||||
| 14,300 | Great Plains Energy, Inc. | 311,454 | ||||||
| 9,600 | IDACORP, Inc. | 407,136 | ||||||
| 3,717 | ITC Holdings Corporation | 282,046 | ||||||
| 2,316 | NextEra Energy, Inc. | 140,998 | ||||||
| 22,740 | NV Energy, Inc. | 371,799 | ||||||
| 22,784 | PNM Resources, Inc. | 415,352 | ||||||
| 4,800 | PPL Corporation | 141,216 | ||||||
|
| |||||||
| Total Electric Utilities | 2,931,795 | |||||||
|
| |||||||
| Energy (2.4%) | |||||||
| 5,294 | Energen Corporation | 264,700 | ||||||
|
| |||||||
| Total Energy | 264,700 | |||||||
|
| |||||||
| Gas Utilities (11.0%) | |||||||
| 6,345 | AGL Resources, Inc. | 268,140 | ||||||
| 7,100 | Laclede Group, Inc. | 287,337 | ||||||
| 8,653 | Southwest Gas Corporation | 367,666 | ||||||
| 10,349 | UGI Corporation | 304,260 | ||||||
|
| |||||||
| Total Gas Utilities | 1,227,403 | |||||||
|
| |||||||
| Independent Power Producers & Energy Traders (9.9%) | |||||||
| 9,901 | AES Corporationa | 117,228 | ||||||
| 22,175 | Calpine Corporationa | 362,118 | ||||||
| 8,095 | Constellation Energy Group, Inc. | 321,128 | ||||||
| 16,500 | NRG Energy, Inc.a | 298,980 | ||||||
|
| |||||||
| Total Independent Power Producers & Energy Traders | 1,099,454 | |||||||
|
| |||||||
| Multi-Utilities (18.6%) | |||||||
| 8,578 | Alliant Energy Corporation | 378,376 | ||||||
| 11,059 | Avista Corporation | 284,769 | ||||||
| 17,383 | CMS Energy Corporation | 383,817 | ||||||
| 2,815 | Dominion Resources, Inc. | 149,420 | ||||||
| 5,269 | DTE Energy Company | 286,897 | ||||||
| 5,121 | OGE Energy Corporation | 290,412 | ||||||
| 4,100 | Public Service Enterprise Group, Inc. | 135,341 | ||||||
| 5,878 | Xcel Energy, Inc. | 162,468 | ||||||
|
| |||||||
| Total Multi-Utilities | 2,071,500 | |||||||
|
| |||||||
| Water Utilities (2.6%) | |||||||
| 9,087 | American Water Works Company, Inc. | 289,512 | ||||||
|
| |||||||
| Total Water Utilities | 289,512 | |||||||
|
| |||||||
| Wireless Telecommunication Services (3.3%) | |||||||
| 3,950 | NTELOS Holdings Corporation | 80,501 | ||||||
| 6,714 | SBA Communications Corporationa | 288,433 | ||||||
|
| |||||||
| Total Wireless Telecommunication Services | 368,934 | |||||||
|
| |||||||
Total Common Stock (cost $8,277,626) | 9,050,619 | |||||||
|
| |||||||
Total Investments (cost $8,277,626) 81.4% | $ | 9,050,619 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 18.6% | 2,067,928 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 11,118,547 | ||||||
|
| |||||||
| a | Non-income producing security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,004,163 | ||
Gross unrealized depreciation | (231,170 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 772,993 | ||
Cost for federal income tax purposes | $ | 8,277,626 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Partner Utilities Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 318,483 | 318,483 | — | — | ||||||||||||
Consumer Discretionary | 478,838 | 478,838 | — | — | ||||||||||||
Electric Utilities | 2,931,795 | 2,931,795 | — | — | ||||||||||||
Energy | 264,700 | 264,700 | — | — | ||||||||||||
Gas Utilities | 1,227,403 | 1,227,403 | — | — | ||||||||||||
Independent Power Producers & Energy Traders | 1,099,454 | 1,099,454 | — | — | ||||||||||||
Multi-Utilities | 2,071,500 | 2,071,500 | — | — | ||||||||||||
Water Utilities | 289,512 | 289,512 | — | — | ||||||||||||
Wireless Telecommunication Services | 368,934 | 368,934 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,050,619 | $ | 9,050,619 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 December 31, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 2,180 | <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.
156
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (97.8%) | Value | ||||
Consumer Discretionary (16.7%) | ||||||
11,480 | Aeropostale, Inc.a | $ | 175,070 | |||
15,320 | Ann, Inc.a | 379,630 | ||||
21,660 | Big Lots, Inc.a | 817,882 | ||||
29,450 | BJ's Restaurants, Inc.a | 1,334,674 | ||||
17,970 | Body Central Corporationa | 448,531 | ||||
56,092 | Bravo Brio Restaurant Group, Inc.a | 961,978 | ||||
45,900 | Bridgepoint Education, Inc.a,b | 1,055,700 | ||||
80,710 | Brunswick Corporation | 1,457,623 | ||||
6,900 | Buffalo Wild Wings, Inc.a | 465,819 | ||||
9,600 | Children's Place Retail Stores, Inc.a | 509,952 | ||||
9,970 | Cracker Barrel Old Country Store, Inc. | 502,588 | ||||
81,750 | Crocs, Inc.a | 1,207,448 | ||||
13,440 | Deckers Outdoor Corporationa | 1,015,661 | ||||
22,540 | DSW, Inc. | 996,493 | ||||
59,100 | Express, Inc.a | 1,178,454 | ||||
106,570 | Finish Line, Inc. | 2,055,202 | ||||
47,072 | Gaylord Entertainment Companya,b | 1,136,318 | ||||
54,010 | GNC Holdings, Inc.a,b | 1,563,589 | ||||
8,110 | Imax Corporationa,b | 148,656 | ||||
6,690 | Joseph A. Bank Clothiers, Inc.a,b | 326,204 | ||||
10,610 | Krispy Kreme Doughnuts, Inc.a | 69,389 | ||||
57,280 | Meritage Homes Corporationa | 1,328,323 | ||||
9,310 | Oxford Industries, Inc. | 420,067 | ||||
154,730 | Saks, Inc.a,b | 1,508,617 | ||||
170,360 | Scientific Games Corporationa | 1,652,492 | ||||
19,500 | Select Comfort Corporationa | 422,955 | ||||
12,770 | Skullcandy, Inc.a,b | 159,880 | ||||
11,230 | SodaStream International, Ltd.a,b | 367,109 | ||||
96,460 | Sonic Automotive, Inc.b | 1,428,573 | ||||
43,090 | Sotheby's Holdings, Inc. | 1,229,358 | ||||
44,460 | Steven Madden, Ltd.a | 1,533,870 | ||||
42,520 | Tenneco, Inc.a | 1,266,246 | ||||
46,910 | True Religion Apparel, Inc.a | 1,622,148 | ||||
6,330 | Ulta Salon Cosmetics & Fragrance, Inc.a | 410,944 | ||||
37,330 | Vera Bradley, Inc.a,b | 1,203,892 | ||||
16,750 | Vitamin Shoppe, Inc.a | 667,990 | ||||
|
| |||||
Total Consumer Discretionary | 33,029,325 | |||||
|
| |||||
Consumer Staples (2.6%) | ||||||
8,620 | B&G Foods, Inc. | 207,483 | ||||
1,340 | Boston Beer Company, Inc.a,b | 145,470 | ||||
42,080 | Hain Celestial Group, Inc.a | 1,542,653 | ||||
14,650 | TreeHouse Foods, Inc.a | 957,817 | ||||
55,950 | United Natural Foods, Inc.a | 2,238,560 | ||||
|
| |||||
Total Consumer Staples | 5,091,983 | |||||
|
| |||||
Energy (8.4%) | ||||||
22,040 | Basic Energy Services, Inc.a | 434,188 | ||||
17,860 | Berry Petroleum Company | 750,477 | ||||
7,960 | C&J Energy Services, Inc.a,b | 166,603 | ||||
70,240 | Carrizo Oil & Gas, Inc.a | 1,850,824 | ||||
48,570 | CVR Energy, Inc.a | 909,716 | ||||
23,960 | Dril-Quip, Inc.a | 1,577,047 | ||||
56,790 | Energy XXI, Ltd.a | 1,810,465 | ||||
9,850 | GeoResources, Inc.a,b | 288,704 | ||||
58,830 | Gulfport Energy Corporationa | 1,732,544 | ||||
14,960 | James River Coal Companya,b | 103,523 | ||||
121,943 | Key Energy Services, Inc.a | 1,886,458 | ||||
20,590 | Kodiak Oil & Gas Corporationa,b | 195,605 | ||||
9,550 | Lufkin Industries, Inc. | 642,810 | ||||
80,010 | Northern Oil and Gas, Inc.a,b | 1,918,640 | ||||
30,810 | Rex Energy Corporationa | 454,756 | ||||
61,957 | Swift Energy Companya | 1,841,362 | ||||
|
| |||||
Total Energy | 16,563,722 | |||||
|
| |||||
Financials (6.6%) | ||||||
34,310 | Alterra Capital Holdings, Ltd. | 810,745 | ||||
46,126 | Bank of the Ozarks, Inc.b | 1,366,713 | ||||
32,950 | Extra Space Storage, Inc. | 798,379 | ||||
4,240 | IBERIABANK Corporation | 209,032 | ||||
63,209 | Knight Capital Group, Inc.a | 747,130 | ||||
33,110 | LaSalle Hotel Properties | 801,593 | ||||
38,450 | MarketAxess Holdings, Inc. | 1,157,730 | ||||
94,210 | Ocwen Financial Corporationa | 1,364,161 | ||||
60,190 | Oritani Financial Corporation | 768,626 | ||||
20,250 | Signature Banka | 1,214,798 | ||||
7,220 | Sovran Self Storage, Inc. | 308,078 | ||||
89,020 | Symetra Financial Corporation | 807,411 | ||||
49,490 | Tanger Factory Outlet Centers, Inc. | 1,451,047 | ||||
36,130 | Texas Capital Bancshares, Inc.a | 1,105,939 | ||||
16,970 | Umpqua Holdings Corporation | 210,258 | ||||
|
| |||||
Total Financials | 13,121,640 | |||||
|
| |||||
Health Care (18.8%) | ||||||
35,420 | Acadia Healthcare Company, Inc.a | 353,137 | ||||
26,570 | Achillion Pharmaceuticals, Inc.a | 202,463 | ||||
16,190 | Air Methods Corporationa | 1,367,246 | ||||
94,854 | Akorn, Inc.a | 1,054,776 | ||||
27,590 | Align Technology, Inc.a | 654,573 | ||||
8,990 | AMERIGROUP Corporationa | 531,129 | ||||
3,100 | Analogic Corporation | 177,692 | ||||
88,590 | ARIAD Pharmaceuticals, Inc.a | 1,085,228 | ||||
27,380 | ArthroCare Corporationa | 867,398 | ||||
15,320 | Aveo Pharmaceuticals, Inc.a,b | 263,504 | ||||
39,110 | Bruker Corporationa | 485,746 | ||||
40,420 | Catalyst Health Solutions, Inc.a | 2,101,840 | ||||
51,320 | Cepheid, Inc.a | 1,765,921 | ||||
7,120 | Computer Programs and Systems, Inc. | 363,903 | ||||
56,000 | Cubist Pharmaceuticals, Inc.a | 2,218,720 | ||||
12,980 | Cyberonics, Inc.a | 434,830 | ||||
35,740 | Healthspring, Inc.a | 1,949,260 | ||||
67,771 | HMS Holdings Corporationa | 2,167,317 | ||||
45,760 | Impax Laboratories, Inc.a | 922,979 | ||||
54,120 | Incyte Corporationa,b | 812,341 | ||||
40,690 | Ironwood Pharmaceuticals, Inc.a | 487,059 | ||||
19,570 | Mednax, Inc.a | 1,409,236 | ||||
72,010 | NxStage Medical, Inc.a,b | 1,280,338 | ||||
39,390 | Onyx Pharmaceuticals, Inc.a | 1,731,191 | ||||
40,850 | Optimer Pharmaceuticals, Inc.a,b | 500,004 | ||||
9,650 | Orthofix International NVa | 339,970 | ||||
12,940 | PAREXEL International Corporationa | 268,376 | ||||
64,800 | PSS World Medical, Inc.a | 1,567,512 | ||||
4,650 | QLT, Inc.a | 33,480 | ||||
44,960 | Quality Systems, Inc. | 1,663,070 | ||||
65,790 | Questcor Pharmaceuticals, Inc.a | 2,735,548 | ||||
25,530 | Salix Pharmaceuticals, Ltd.a | 1,221,610 | ||||
24,290 | Sirona Dental Systems, Inc.a | 1,069,732 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.8%) | Value | ||||||
| Health Care (18.8%) - continued | ||||||||
| 12,280 | SXC Health Solutions Corporationa | $ | 693,574 | |||||
| 48,550 | Universal American Corporation | 617,071 | ||||||
| 33,160 | Wellcare Health Plans, Inc.a | 1,740,900 | ||||||
|
| |||||||
| Total Health Care | 37,138,674 | |||||||
|
| |||||||
| Industrials (17.7%) | ||||||||
| 16,480 | Alaska Air Group, Inc.a | 1,237,483 | ||||||
| 126,970 | Avis Budget Group, Inc.a | 1,361,118 | ||||||
| 37,380 | Belden, Inc. | 1,244,006 | ||||||
| 26,580 | Chart Industries, Inc.a | 1,437,181 | ||||||
| 51,170 | Clean Harbors, Inc.a | 3,261,064 | ||||||
| 33,700 | Copa Holdings SA | 1,977,179 | ||||||
| 12,920 | EnPro Industries, Inc.a | 426,102 | ||||||
| 6,490 | ESCO Technologies, Inc. | 186,782 | ||||||
| 49,360 | Genesee & Wyoming, Inc.a | 2,990,229 | ||||||
| 116,770 | GrafTech International, Ltd.a | 1,593,911 | ||||||
| 26,760 | Greenbrier Companies, Inc.a | 649,733 | ||||||
| 46,960 | Healthcare Services Group, Inc. | 830,722 | ||||||
| 21,600 | Heico Corporationb | 1,263,168 | ||||||
| 28,630 | Herman Miller, Inc. | 528,223 | ||||||
| 72,290 | Hexcel Corporationa | 1,750,141 | ||||||
| 58,210 | Hub Group, Inc.a | 1,887,750 | ||||||
| 18,690 | Huron Consulting Group, Inc.a | 724,051 | ||||||
| 11,080 | Kforce, Inc.a | 136,616 | ||||||
| 6,450 | Middleby Corporationa | 606,558 | ||||||
| 33,430 | Old Dominion Freight Line, Inc.a | 1,354,918 | ||||||
| 26,190 | Polypore International, Inc.a | 1,152,098 | ||||||
| 3,330 | RBC Bearings, Inc.a | 138,861 | ||||||
| 9,803 | Robbins & Myers, Inc. | 475,936 | ||||||
| 12,860 | Titan International, Inc.b | 250,256 | ||||||
| 46,140 | Triumph Group, Inc.b | 2,696,883 | ||||||
| 106,980 | TrueBlue, Inc.a | 1,484,882 | ||||||
| 32,850 | WESCO International, Inc.a | 1,741,378 | ||||||
| 40,376 | Woodward, Inc. | 1,652,590 | ||||||
|
| |||||||
| Total Industrials | 35,039,819 | |||||||
|
| |||||||
| Information Technology (22.3%) | ||||||||
| 29,830 | ADTRAN, Inc. | 899,673 | ||||||
| 36,230 | Allot Communications, Ltd.a | 550,696 | ||||||
| 34,220 | Ancestry.com, Inc.a,b | 785,691 | ||||||
| 29,360 | Anixter International, Inc.a | 1,751,030 | ||||||
| 11,000 | ANSYS, Inc.a | 630,080 | ||||||
| 69,730 | Ariba, Inc.a | 1,958,019 | ||||||
| 36,840 | Aruba Networks, Inc.a,b | 682,277 | ||||||
| 38,500 | Bankrate, Inc.a | 827,750 | ||||||
| 17,920 | Bottomline Technologies, Inc.a | 415,206 | ||||||
| 52,450 | Broadsoft, Inc.a,b | 1,583,990 | ||||||
| 65,520 | Cavium, Inc.a | 1,862,734 | ||||||
| 57,397 | Ceva, Inc.a | 1,736,833 | ||||||
| 134,920 | Cirrus Logic, Inc.a | 2,138,482 | ||||||
| 18,630 | Cognex Corporation | 666,768 | ||||||
| 6,470 | Coherent, Inc.a | 338,187 | ||||||
| 33,540 | Concur Technologies, Inc.a,b | 1,703,497 | ||||||
| 22,470 | Electronics for Imaging, Inc.a | 320,198 | ||||||
| 89,780 | Fairchild Semiconductor International, Inc.a | 1,080,951 | ||||||
| 77,180 | Finisar Corporationa,b | 1,292,379 | ||||||
| 30,100 | GSI Group, Inc.a | 307,923 | ||||||
| 31,786 | Heartland Payment Systems, Inc. | 774,307 | ||||||
| 2,220 | Hittite Microwave Corporationa | 109,624 | ||||||
| 8,580 | Imperva, Inc.a | 298,670 | ||||||
| 45,550 | Intermolecular, Inc.a | 390,819 | ||||||
| 34,530 | Jack Henry & Associates, Inc. | 1,160,553 | ||||||
| 15,630 | Kenexa Corporationa | 417,321 | ||||||
| 6,980 | Liquidity Services, Inc.a | 257,562 | ||||||
| 30,180 | MAXIMUS, Inc. | 1,247,943 | ||||||
| 64,418 | NETGEAR, Inc.a | 2,162,512 | ||||||
| 4,020 | Opnet Technologies, Inc. | 147,413 | ||||||
| 29,590 | Plexus Corporationa | 810,174 | ||||||
| 32,220 | Power Integrations, Inc.b | 1,068,415 | ||||||
| 61,310 | QLIK Technologies, Inc.a | 1,483,702 | ||||||
| 11,190 | Rofin-Sinar Technologies, Inc.a | 255,692 | ||||||
| 134,700 | Sapient Corporation | 1,697,220 | ||||||
| 57,970 | Semtech Corporationa | 1,438,815 | ||||||
| 31,260 | SuccessFactors, Inc.a | 1,246,336 | ||||||
| 67,770 | Synchronoss Technologies, Inc.a,b | 2,047,332 | ||||||
| 78,770 | Taleo Corporationa | 3,047,611 | ||||||
| 88,590 | Teradyne, Inc.a | 1,207,482 | ||||||
| 47,120 | Ultratech, Inc.a | 1,157,738 | ||||||
|
| |||||||
| Total Information Technology | 43,959,605 | |||||||
|
| |||||||
| Materials (3.9%) | ||||||||
| 41,650 | Allied Nevada Gold Corporationa | 1,261,162 | ||||||
| 108,330 | Century Aluminum Companya | 921,888 | ||||||
| 83,860 | Chemtura Corporationa | 950,973 | ||||||
| 4,730 | Domtar Corporation | 378,211 | ||||||
| 16,260 | KapStone Paper and Packaging Corporationa | 255,932 | ||||||
| 173,940 | Louisiana-Pacific Corporationa | 1,403,696 | ||||||
| 18,400 | LSB Industries, Inc.a | 515,752 | ||||||
| 18,400 | Noranda Aluminum Holding Corporation | 151,800 | ||||||
| 16,879 | Rock-Tenn Company | 973,918 | ||||||
| 141,790 | Thompson Creek Metals Company, Inc.a | 986,858 | ||||||
|
| |||||||
| Total Materials | 7,800,190 | |||||||
|
| |||||||
| Telecommunications Services (0.7%) | ||||||||
| 5,820 | AboveNet, Inc.a | 378,358 | ||||||
| 54,050 | Cogent Communications Group, Inc.a | 912,905 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,291,263 | |||||||
|
| |||||||
| Utilities (0.1%) | ||||||||
| 6,102 | Artesian Resources Corporationb | 114,901 | ||||||
|
| |||||||
| Total Utilities | 114,901 | |||||||
|
| |||||||
Total Common Stock (cost $174,363,798) | 193,151,122 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Collateral Held for Securities Loaned (10.4%) | Value | ||||||
| 20,479,131 | Thrivent Financial Securities Lending Trust | $ | 20,479,131 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $20,479,131) | 20,479,131 | |||||||
|
| |||||||
Total Investments (cost $194,842,929) 108.2% | $ | 213,630,253 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.2%) | (16,139,827 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 197,490,426 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 26,740,949 | ||
Gross unrealized depreciation | (8,664,808 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 18,076,141 | ||
Cost for federal income tax purposes | $ | 195,554,112 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 33,029,325 | 33,029,325 | — | — | ||||||||||||||
Consumer Staples | 5,091,983 | 5,091,983 | — | — | ||||||||||||||
Energy | 16,563,722 | 16,563,722 | — | — | ||||||||||||||
Financials | 13,121,640 | 13,121,640 | — | — | ||||||||||||||
Health Care | 37,138,674 | 37,138,674 | — | — | ||||||||||||||
Industrials | 35,039,819 | 35,039,819 | — | — | ||||||||||||||
Information Technology | 43,959,605 | 43,959,605 | — | — | ||||||||||||||
Materials | 7,800,190 | 7,800,190 | — | — | ||||||||||||||
Telecommunications Services | 1,291,263 | 1,291,263 | — | — | ||||||||||||||
Utilities | 114,901 | 114,901 | — | — | ||||||||||||||
Collateral Held for Securities Loaned | 20,479,131 | 20,479,131 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total | $ | 213,630,253 | $213,630,253 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 29,124,371 | $ | 143,811,858 | $ | 152,457,098 | 20,479,131 | $ | 20,479,131 | $ | 126,593 | |||||||||||||
Total Value and Income Earned | 29,124,371 | 20,479,131 | 126,593 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.1%) | Value | ||||||
| Consumer Discretionary (13.0%) | ||||||||
| 210,600 | Aaron’s, Inc. | $ | 5,618,808 | |||||
| 31,500 | Ascent Capital Group, Inc., LLCa | 1,597,680 | ||||||
| 27,000 | Brunswick Corporation | 487,620 | ||||||
| 53,500 | CSS Industries, Inc. | 1,065,720 | ||||||
| 59,100 | Dorman Products, Inc.a | 2,182,563 | ||||||
| 100,000 | Drew Industries, Inc.a | 2,453,000 | ||||||
| 60,000 | Ethan Allen Interiors, Inc.b | 1,422,600 | ||||||
| 86,300 | Fred’s, Inc.b | 1,258,254 | ||||||
| 96,000 | Haverty Furniture Companies, Inc. | 1,054,080 | ||||||
| 42,000 | Hooker Furniture Corporation | 481,740 | ||||||
| 68,000 | M/I Homes, Inc.a | 652,800 | ||||||
| 91,000 | MarineMax, Inc.a,b | 593,320 | ||||||
| 56,500 | Matthews International Corporation | 1,775,795 | ||||||
| 74,600 | Men’s Wearhouse, Inc. | 2,417,786 | ||||||
| 106,600 | Meritage Homes Corporationa | 2,472,054 | ||||||
| 212,000 | Orient-Express Hotels, Ltd.a | 1,583,640 | ||||||
| 274,600 | Sealy Corporationa,b | 472,312 | ||||||
| 150,000 | Shiloh Industries, Inc.a | 1,257,000 | ||||||
| 62,100 | Stanley Furniture Company, Inc.a | 186,300 | ||||||
| 161,000 | Stein Mart, Inc.a | 1,096,410 | ||||||
| 52,000 | Steven Madden, Ltd.a | 1,794,000 | ||||||
| 76,300 | Winnebago Industries, Inc.a | 563,094 | ||||||
|
| |||||||
| Total Consumer Discretionary | 32,486,576 | |||||||
|
| |||||||
| Consumer Staples (0.6%) | ||||||||
| 242,300 | Alliance One International, Inc.a | 659,056 | ||||||
| 28,300 | Nash Finch Company | 828,624 | ||||||
|
| |||||||
| Total Consumer Staples | 1,487,680 | |||||||
|
| |||||||
| Energy (4.7%) | ||||||||
| 8,800 | Atwood Oceanics, Inc.a | 350,152 | ||||||
| 7,900 | Carbo Ceramics, Inc. | 974,307 | ||||||
| 93,000 | Cloud Peak Energy, Inc.a | 1,796,760 | ||||||
| 66,000 | Forest Oil Corporationa | 894,300 | ||||||
| 88,000 | Gulf Island Fabrication, Inc. | 2,570,480 | ||||||
| 143,000 | Hercules Offshore, Inc.a | 634,920 | ||||||
| 38,586 | Lone Pine Resources, Inc.a | 270,488 | ||||||
| 25,900 | Overseas Shipholding Group, Inc.b | 283,087 | ||||||
| 92,000 | Penn Virginia Corporation | 486,680 | ||||||
| 63,500 | Swift Energy Companya | 1,887,220 | ||||||
| 181,000 | Tetra Technologies, Inc.a | 1,690,540 | ||||||
|
| |||||||
| Total Energy | 11,838,934 | |||||||
|
| |||||||
| Financials (22.4%) | ||||||||
| 86,300 | Alterra Capital Holdings, Ltd. | 2,039,269 | ||||||
| 197,000 | Ares Capital Corporation | 3,043,650 | ||||||
| 188,000 | CBL & Associates Properties, Inc.b | 2,951,600 | ||||||
| 141,500 | Cedar Realty Trust, Inc. | 609,865 | ||||||
| 69,900 | Columbia Banking System, Inc. | 1,346,973 | ||||||
| 35,000 | Compass Diversified Trustb | 433,650 | ||||||
| 86,000 | Cousins Properties, Inc. | 551,260 | ||||||
| 108,800 | East West Bancorp, Inc. | 2,148,800 | ||||||
| 48,500 | Employers Holdings, Inc. | 877,365 | ||||||
| 36,800 | First Opportunity Fund, Inc.a | 228,896 | ||||||
| 77,500 | First Potomac Realty Trust | 1,011,375 | ||||||
| 100,000 | Glacier Bancorp, Inc.b | 1,203,000 | ||||||
| 77,000 | Hatteras Financial Corporationb | 2,030,490 | ||||||
| 128,000 | Hercules Technology Growth Capital, Inc. | 1,208,320 | ||||||
| 81,000 | Home Bancshares, Inc. | 2,098,710 | ||||||
| 26,900 | iShares Russell 2000 Value Index Fundb | 1,765,716 | ||||||
| 56,400 | JMP Group, Inc. | 403,260 | ||||||
| 57,600 | Kilroy Realty Corporation | 2,192,832 | ||||||
| 277,000 | Kite Realty Group Trust | 1,249,270 | ||||||
| 86,000 | LaSalle Hotel Properties | 2,082,060 | ||||||
| 3,800 | Markel Corporationa | 1,575,746 | ||||||
| 103,000 | Meadowbrook Insurance Group, Inc. | 1,100,040 | ||||||
| 76,200 | National Interstate Corporation | 1,879,854 | ||||||
| 43,000 | Pebblebrook Hotel Trust | 824,740 | ||||||
| 179,000 | PennantPark Investment Corporationb | 1,806,110 | ||||||
| 25,300 | Piper Jaffray Companiesa | 511,060 | ||||||
| 39,000 | Potlatch Corporation | 1,213,290 | ||||||
| 69,300 | ProAssurance Corporation | 5,531,526 | ||||||
| 159,000 | Redwood Trust, Inc. | 1,618,620 | ||||||
| 130,000 | Safeguard Scientifics, Inc.a | 2,052,700 | ||||||
| 114,000 | Sandy Spring Bancorp, Inc. | 2,000,700 | ||||||
| 53,300 | SeaBright Holdings, Inc. | 407,745 | ||||||
| 53,000 | SVB Financial Groupa | 2,527,570 | ||||||
| 300,000 | Western Alliance Bancorpa | 1,869,000 | ||||||
| 63,000 | Wintrust Financial Corporation | 1,767,150 | ||||||
|
| |||||||
| Total Financials | 56,162,212 | |||||||
|
| |||||||
| Health Care (4.9%) | ||||||||
| 37,800 | Angiodynamics, Inc.a | 559,818 | ||||||
| 6,700 | Atrion Corporation | 1,609,541 | ||||||
| 50,700 | Infinity Pharmaceuticals, Inc.a,b | 448,188 | ||||||
| 842,100 | Lexicon Pharmaceuticals, Inc.a,b | 1,086,309 | ||||||
| 32,500 | National Healthcare Corporation | 1,361,750 | ||||||
| 110,500 | Owens & Minor, Inc. | 3,070,795 | ||||||
| 90,500 | Triple-S Management Corporationa | 1,811,810 | ||||||
| 61,100 | West Pharmaceutical Services, Inc.b | 2,318,745 | ||||||
|
| |||||||
| Total Health Care | 12,266,956 | |||||||
|
| |||||||
| Industrials (26.7%) | ||||||||
| 57,500 | A.O. Smith Corporation | 2,306,900 | ||||||
| 95,000 | Aegion Corporationa | 1,457,300 | ||||||
| 35,800 | Alaska Air Group, Inc.a | 2,688,222 | ||||||
| 38,700 | Applied Industrial Technologies, Inc. | 1,361,079 | ||||||
| 22,800 | Astec Industries, Inc.a | 734,388 | ||||||
| 148,000 | Beacon Roofing Supply, Inc.a | 2,994,040 | ||||||
| 57,000 | Belden, Inc. | 1,896,960 | ||||||
| 25,500 | Cascade Corporation | 1,202,835 | ||||||
| 19,300 | Circor International, Inc. | 681,483 | ||||||
| 31,000 | Colfax Corporationa,b | 882,880 | ||||||
| 87,200 | Comfort Systems USA, Inc. | 934,784 | ||||||
| 35,000 | Courier Corporation | 410,550 | ||||||
| 67,500 | Dolan Companya | 575,100 | ||||||
| 17,400 | Franklin Electric Company, Inc. | 757,944 | ||||||
| 22,800 | FTI Consulting, Inc.a | 967,176 | ||||||
| 63,000 | G & K Services, Inc. | 1,833,930 | ||||||
| 84,400 | Genesee & Wyoming, Inc.a | 5,112,952 | ||||||
| 107,100 | Gibraltar Industries, Inc.a | 1,495,116 | ||||||
| 113,000 | Greenbrier Companies, Inc.a | 2,743,640 | ||||||
| 64,500 | Hub Group, Inc.a | 2,091,735 | ||||||
| 54,300 | IDEX Corporation | 2,015,073 | ||||||
| 48,500 | Kaman Corporation | 1,325,020 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.1%) | Value | ||||||
| Industrials (26.7%) - continued | ||||||||
| 95,800 | Kforce, Inc.a | $ | 1,181,214 | |||||
| 84,800 | Kirby Corporationa | 5,583,232 | ||||||
| 56,000 | Kratos Defense & Security Solutions, Inc.a,b | 334,320 | ||||||
| 114,000 | McGrath Rentcorp | 3,304,860 | ||||||
| 40,800 | Mine Safety Appliances Company | 1,351,296 | ||||||
| 120,000 | Navigant Consulting, Inc.a | 1,369,200 | ||||||
| 59,000 | Nordson Corporation | 2,429,620 | ||||||
| 26,700 | Quanex Building Products Corporation | 401,034 | ||||||
| 13,900 | RBC Bearings, Inc.a | 579,630 | ||||||
| 70,800 | Robbins & Myers, Inc. | 3,437,340 | ||||||
| 96,000 | SkyWest, Inc. | 1,208,640 | ||||||
| 26,100 | Sterling Construction Company, Inc.a | 281,097 | ||||||
| 43,050 | Sun Hydraulics Corporation | 1,008,661 | ||||||
| 35,400 | Universal Forest Products, Inc. | 1,092,798 | ||||||
| 80,900 | Universal Truckload Services, Inc. | 1,468,335 | ||||||
| 92,300 | Vitran Corporation, Inc.a | 531,648 | ||||||
| 65,300 | Waste Connections, Inc. | 2,164,042 | ||||||
| 65,400 | Woodward, Inc. | 2,676,822 | ||||||
|
| |||||||
| Total Industrials | 66,872,896 | |||||||
|
| |||||||
| Information Technology (10.0%) | ||||||||
| 69,812 | Accelrys, Inc.a | 469,137 | ||||||
| 136,000 | Advanced Energy Industries, Inc.a | 1,459,280 | ||||||
| 36,500 | ATMI, Inc.a | 731,095 | ||||||
| 137,500 | Brooks Automation, Inc. | 1,412,125 | ||||||
| 24,500 | Cabot Microelectronics Corporationa | 1,157,625 | ||||||
| 65,900 | Cognex Corporation | 2,358,561 | ||||||
| 59,100 | Cohu, Inc. | 670,785 | ||||||
| 125,000 | Electro Rent Corporation | 2,143,750 | ||||||
| 38,000 | Electro Scientific Industries, Inc.a | 550,240 | ||||||
| 74,280 | Intevac, Inc.a | 549,672 | ||||||
| 56,000 | Ixiaa | 588,560 | ||||||
| 16,800 | Littelfuse, Inc. | 722,064 | ||||||
| 89,000 | Methode Electronics, Inc. | 737,810 | ||||||
| 74,900 | Monotype Imaging Holdings, Inc.a | 1,167,691 | ||||||
| 113,100 | Progress Software Corporationa | 2,188,485 | ||||||
| 156,000 | ShoreTel, Inc.a | 995,280 | ||||||
| 316,000 | Sonus Networks, Inc.a,b | 758,400 | ||||||
| 28,000 | Standard Microsystems Corporationa | 721,560 | ||||||
| 82,400 | StarTek, Inc.a | 158,208 | ||||||
| 67,000 | Synnex Corporationa | 2,040,820 | ||||||
| 75,600 | Teradyne, Inc.a | 1,030,428 | ||||||
| 66,200 | Xyratex, Ltd. | 881,784 | ||||||
| 79,500 | Zygo Corporationa | 1,403,175 | ||||||
|
| |||||||
| Total Information Technology | 24,896,535 | |||||||
|
| |||||||
| Materials (8.9%) | ||||||||
| 39,300 | AMCOL International Corporation | 1,055,205 | ||||||
| 79,000 | AptarGroup, Inc. | 4,121,430 | ||||||
| 25,900 | Carpenter Technology Corporation | 1,333,332 | ||||||
| 90,800 | Clearwater Paper Corporationa | 3,233,388 | ||||||
| 60,100 | Franco-Nevada Corporationb | 2,287,670 | ||||||
| 21,300 | Haynes International, Inc. | 1,162,980 | ||||||
| 89,800 | Innospec, Inc.a | 2,520,686 | ||||||
| 24,000 | Minerals Technologies, Inc. | 1,356,720 | ||||||
| 121,000 | Myers Industries, Inc. | 1,493,140 | ||||||
| 310,000 | North American Palladium, Ltd.a,b | 790,500 | ||||||
| 33,000 | Schnitzer Steel Industries, Inc. | 1,395,240 | ||||||
| 190,000 | Wausau Paper Corporation | 1,569,400 | ||||||
|
| |||||||
| Total Materials | 22,319,691 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | ||||||||
| 95,000 | Premiere Global Services, Inc.a | 804,650 | ||||||
|
| |||||||
| Total Telecommunications Services | 804,650 | |||||||
|
| |||||||
| Utilities (5.6%) | ||||||||
| 39,300 | Black Hills Corporationb | 1,319,694 | ||||||
| 99,800 | Cleco Corporation | 3,802,380 | ||||||
| 66,300 | El Paso Electric Company | 2,296,632 | ||||||
| 53,700 | NorthWestern Corporation | 1,921,923 | ||||||
| 31,000 | PNM Resources, Inc. | 565,130 | ||||||
| 65,400 | Southwest Gas Corporation | 2,778,846 | ||||||
| 44,600 | Vectren Corporation | 1,348,258 | ||||||
|
| |||||||
| Total Utilities | 14,032,863 | |||||||
|
| |||||||
Total Common Stock (cost $207,200,124) | 243,168,993 | |||||||
|
| |||||||
Preferred Stock (0.8%) | ||||||||
| Financials (0.5%) | ||||||||
| 820 | East West Bancorp, Inc.c | 1,185,925 | ||||||
|
| |||||||
| Total Financials | 1,185,925 | |||||||
|
| |||||||
| Health Care (0.3%) | ||||||||
| 51,400 | National Healthcare Corporation, | |||||||
| Convertiblec | 706,750 | |||||||
|
| |||||||
| Total Health Care | 706,750 | |||||||
|
| |||||||
Total Preferred Stock (cost $1,505,546) | 1,892,675 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.2%) | ||||||||
| 15,559,565 | Thrivent Financial Securities Lending Trust | 15,559,565 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $15,559,565) | 15,559,565 | |||||||
|
| |||||||
Total Investments (cost $224,265,235) 104.1% | $ | 260,621,233 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.1%) | (10,240,083 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 250,381,150 | ||||||
|
| |||||||
| 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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2011
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 61,544,745 | ||
Gross unrealized depreciation | (26,813,704 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 34,731,041 | ||
Cost for federal income tax purposes | $ | 225,890,192 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 32,486,576 | 32,486,576 | — | — | ||||||||||||
Consumer Staples | 1,487,680 | 1,487,680 | — | — | ||||||||||||
Energy | 11,838,934 | 11,838,934 | — | — | ||||||||||||
Financials | 56,162,212 | 56,162,212 | — | — | ||||||||||||
Health Care | 12,266,956 | 12,266,956 | — | — | ||||||||||||
Industrials | 66,872,896 | 66,872,896 | — | — | ||||||||||||
Information Technology | 24,896,535 | 24,896,535 | — | — | ||||||||||||
Materials | 22,319,691 | 20,032,021 | 2,287,670 | — | ||||||||||||
Telecommunications Services | 804,650 | 804,650 | — | — | ||||||||||||
Utilities | 14,032,863 | 14,032,863 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 1,185,925 | — | 1,185,925 | — | ||||||||||||
Health Care | 706,750 | 706,750 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 15,559,565 | 15,559,565 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 260,621,233 | $ | 257,147,638 | $ | 3,473,595 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 was <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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 19,198,200 | $ | 91,623,096 | $ | 95,261,731 | 15,559,565 | $ | 15,559,565 | $ | 42,334 | |||||||||||||
Total Value and Income Earned | 19,198,200 | 15,559,565 | 42,334 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (83.3%) | Value | ||||||
| Consumer Discretionary (12.5%) | ||||||||
| 132,800 | Big Lots, Inc.a | $ | 5,014,528 | |||||
| 67,671 | Buffalo Wild Wings, Inc.a | 4,568,469 | ||||||
| 13,800 | DreamWorks Animation SKG, Inc.a | 229,011 | ||||||
| 22,200 | Finish Line, Inc. | 428,127 | ||||||
| 233,331 | Foot Locker, Inc. | 5,562,611 | ||||||
| 66,200 | Knology, Inc.a | 940,040 | ||||||
| 99,400 | Life Time Fitness, Inc.a | 4,646,950 | ||||||
| 8,400 | Penn National Gaming, Inc.a | 319,788 | ||||||
| 469,462 | Pier 1 Imports, Inc.a | 6,539,606 | ||||||
| 96,664 | Signet Jewelers, Ltd. | 4,249,349 | ||||||
| 24,600 | Toll Brothers, Inc.a | 502,332 | ||||||
|
| |||||||
| Total Consumer Discretionary | 33,000,811 | |||||||
|
| |||||||
| Consumer Staples (4.5%) | ||||||||
| 124,137 | Corn Products International, Inc. | 6,528,365 | ||||||
| 82,700 | TreeHouse Foods, Inc.a | 5,406,926 | ||||||
|
| |||||||
| Total Consumer Staples | 11,935,291 | |||||||
|
| |||||||
| Energy (7.5%) | ||||||||
| 219,312 | Arch Coal, Inc. | 3,182,217 | ||||||
| 11,000 | Helix Energy Solutions Group, Inc.a | 173,800 | ||||||
| 66,912 | Oil States International, Inc.a | 5,110,069 | ||||||
| 357,343 | Patriot Coal Corporationa,b | 3,026,695 | ||||||
| 339,012 | Petroleum Geo-Services ASAa | 3,694,692 | ||||||
| 131,143 | Swift Energy Companya | 3,897,570 | ||||||
| 50,700 | Tesco Corporationa | 640,848 | ||||||
|
| |||||||
| Total Energy | 19,725,891 | |||||||
|
| |||||||
| Financials (9.1%) | ||||||||
| 48,896 | Affiliated Managers Group, Inc.a | 4,691,571 | ||||||
| 56,735 | BBCN Bancorp, Inc.a | 536,146 | ||||||
| 80,800 | Hercules Technology Growth Capital, Inc. | 762,752 | ||||||
| 350,736 | Ocwen Financial Corporationa | 5,078,657 | ||||||
| 2,445,323 | Popular, Inc.a | 3,398,999 | ||||||
| 185,984 | Texas Capital Bancshares, Inc.a | 5,692,970 | ||||||
| 238,703 | Zions Bancorporation | 3,886,085 | ||||||
|
| |||||||
| Total Financials | 24,047,180 | |||||||
|
| |||||||
| Health Care (9.7%) | ||||||||
| 273,200 | Align Technology, Inc.a | 6,481,670 | ||||||
| 88,342 | Covance, Inc.a | 4,038,996 | ||||||
| 169,511 | Health Net, Inc.a | 5,156,525 | ||||||
| 201,017 | PSS World Medical, Inc.a | 4,862,601 | ||||||
| 107,811 | United Therapeutics Corporationa | 5,094,070 | ||||||
|
| |||||||
| Total Health Care | 25,633,862 | |||||||
|
| |||||||
| Industrials (15.6%) | ||||||||
| 3,900 | Alaska Air Group, Inc.a | 292,851 | ||||||
| 190,268 | Deluxe Corporation | 4,330,500 | ||||||
| 183,904 | EMCOR Group, Inc. | 4,930,466 | ||||||
| 141,195 | FTI Consulting, Inc.a,b | 5,989,492 | ||||||
| 134,200 | GATX Corporation | 5,859,172 | ||||||
| 13,200 | Hub Group, Inc.a | 428,076 | ||||||
| 11,370 | Huron Consulting Group, Inc.a | 440,474 | ||||||
| 16,000 | Kforce, Inc.a | 197,280 | ||||||
| 26,700 | Landstar System, Inc. | 1,279,464 | ||||||
| 512,782 | Manitowoc Company, Inc. | 4,712,466 | ||||||
| 38,100 | Navigant Consulting, Inc.a | 434,721 | ||||||
| 23,400 | Old Dominion Freight Line, Inc.a | 948,402 | ||||||
| 199,872 | Shaw Group, Inc.a | 5,376,557 | ||||||
| 49,500 | Steelcase, Inc.b | 369,270 | ||||||
| 60,315 | Teledyne Technologies, Inc.a | 3,308,278 | ||||||
| 9,800 | UTI Worldwide, Inc. | 130,242 | ||||||
| 61,600 | Waste Connections, Inc. | 2,041,424 | ||||||
|
| |||||||
| Total Industrials | 41,069,135 | |||||||
|
| |||||||
| Information Technology (15.2%) | ||||||||
| 117,700 | ADTRAN, Inc. | 3,549,832 | ||||||
| 492,900 | Atmel Corporationa | 3,992,490 | ||||||
| 45,448 | Ixiaa | 477,658 | ||||||
| 458,509 | Monster Worldwide, Inc.a | 3,635,976 | ||||||
| 152,445 | Plantronics, Inc. | 5,433,140 | ||||||
| 164,986 | Plexus Corporationa | 4,517,317 | ||||||
| 209,443 | Quest Software, Inc.a | 3,895,640 | ||||||
| 355,009 | Teradyne, Inc.a | 4,838,773 | ||||||
| 210,872 | TIBCO Software, Inc.a | 5,041,949 | ||||||
| 134,100 | VeriFone Systems, Inc.a | 4,763,232 | ||||||
|
| |||||||
| Total Information Technology | 40,146,007 | |||||||
|
| |||||||
| Materials (2.0%) | ||||||||
| 15,000 | Packaging Corporation of America | 378,600 | ||||||
| 36,800 | Pan American Silver Corporation | 802,608 | ||||||
| 26,400 | Reliance Steel & Aluminum Company | 1,285,416 | ||||||
| 46,800 | Walter Energy, Inc. | 2,834,208 | ||||||
|
| |||||||
| Total Materials | 5,300,832 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | ||||||||
| 38,300 | Lumos Networks Corporation | 587,522 | ||||||
| 38,300 | NTELOS Holdings Corporation | 780,554 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,368,076 | |||||||
|
| |||||||
| Utilities (6.7%) | ||||||||
| 29,700 | AGL Resources, Inc. | 1,255,122 | ||||||
| 42,800 | Avista Corporation | 1,102,100 | ||||||
| 55,000 | Cleco Corporation | 2,095,500 | ||||||
| 15,200 | IDACORP, Inc. | 644,632 | ||||||
| 14,841 | Laclede Group, Inc. | 600,615 | ||||||
| 14,800 | NV Energy, Inc. | 241,980 | ||||||
| 270,700 | PNM Resources, Inc. | 4,934,861 | ||||||
| 121,887 | Southwest Gas Corporation | 5,178,979 | ||||||
| 53,400 | Westar Energy, Inc. | 1,536,852 | ||||||
|
| |||||||
| Total Utilities | 17,590,641 | |||||||
|
| |||||||
Total Common Stock (cost $218,290,626) | 219,817,726 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.9%) | ||||||||
| 2,316,500 | Thrivent Financial Securities | |||||||
| Lending Trust | 2,316,500 | |||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,316,500) | 2,316,500 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Short-Term Investments (11.7%)c | Value | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 5,000,000 | 0.010%, 2/22/2012d | $ | 4,999,928 | |||||
| 3,000,000 | 0.015%, 3/7/2012d,e | 2,999,918 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 15,000,000 | 0.030%, 1/23/2012d | 14,999,725 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 1,000,000 | 0.088%, 2/22/2012d,e | 999,873 | ||||||
| U.S. Treasury Bills | ||||||||
| 1,800,000 | 0.045%, 2/9/2012e | 1,799,913 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 5,000,000 | 0.020%, 1/10/2012f | 4,999,975 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 30,799,332 | |||||||
|
| |||||||
Total Investments (cost $251,406,458) 95.9% | $ | 252,933,558 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 4.1% | 10,904,444 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 263,838,002 | ||||||
|
| |||||||
| 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 December 31, 2011, $2,999,781 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $4,999,975 or 1.9% of total net 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 | $ | 24,892,245 | ||
Gross unrealized depreciation | (23,511,578 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 1,380,667 | ||
Cost for federal income tax purposes | $ | 251,552,891 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 33,000,811 | 33,000,811 | — | — | ||||||||||||
Consumer Staples | 11,935,291 | 11,935,291 | — | — | ||||||||||||
Energy | 19,725,891 | 16,031,199 | 3,694,692 | — | ||||||||||||
Financials | 24,047,180 | 24,047,180 | — | — | ||||||||||||
Health Care | 25,633,862 | 25,633,862 | — | — | ||||||||||||
Industrials | 41,069,135 | 41,069,135 | — | — | ||||||||||||
Information Technology | 40,146,007 | 40,146,007 | — | — | ||||||||||||
Materials | 5,300,832 | 5,300,832 | — | — | ||||||||||||
Telecommunications Services | 1,368,076 | 1,368,076 | — | — | ||||||||||||
Utilities | 17,590,641 | 17,590,641 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 2,316,500 | 2,316,500 | — | — | ||||||||||||
Short-Term Investments | 30,799,332 | — | 30,799,332 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 252,933,558 | $ | 218,439,534 | $ | 34,494,024 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 438,132 | 438,132 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 438,132 | $ | 438,132 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 426 | March 2012 | $ | 31,034,748 | $ | 31,472,880 | $ | 438,132 | ||||||||||||
Total Futures Contracts | $ | 438,132 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 438,132 | |||
Total Equity Contracts | 438,132 | |||||
|
| |||||
Total Asset Derivatives | $ | 438,132 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (733,975 | ) | |||
Total Equity Contracts | (733,975 | ) | ||||
| Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (27,106 | ) | |||
Total Foreign Exchange Contracts | (27,106 | ) | ||||
|
| |||||
Total | ($ | 761,081 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 Futures contracts | 9,714 | ||||
Total Equity Contracts | 9,714 | |||||
|
| |||||
Total | $ | 9,714 | ||||
|
| |||||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 26,307,462 | 9.2 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 52,670 | <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.
165
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial | ||||||||||||||||||||||||
Securities Lending Trust | $ | 13,642,150 | $ | 102,490,424 | $ | 113,816,074 | 2,316,500 | $ | 2,316,500 | $ | 53,126 | |||||||||||||
Total Value and Income Earned | 13,642,150 | 2,316,500 | 53,126 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Consumer Discretionary (15.0%) | ||||||||
| 7,300 | American Public Education, Inc.a,b | $ | 315,944 | |||||
| 11,100 | Arbitron, Inc. | 381,951 | ||||||
| 5,000 | Arctic Cat, Inc.b | 112,750 | ||||||
| 8,800 | Big 5 Sporting Goods Corporation | 91,872 | ||||||
| 615 | Biglari Holdings, Inc.b | 226,468 | ||||||
| 9,800 | BJ’s Restaurants, Inc.b | 444,136 | ||||||
| 5,500 | Blue Nile, Inc.a,b | 224,840 | ||||||
| 2,100 | Blyth, Inc. | 119,280 | ||||||
| 22,100 | Boyd Gaming Corporationa,b | 164,866 | ||||||
| 17,025 | Brown Shoe Company, Inc.a | 151,522 | ||||||
| 36,200 | Brunswick Corporation | 653,772 | ||||||
| 10,950 | Buckle, Inc.a | 447,526 | ||||||
| 7,500 | Buffalo Wild Wings, Inc.b | 506,325 | ||||||
| 17,500 | Cabela’s, Inc.b | 444,850 | ||||||
| 26,400 | Callaway Golf Companya | 145,992 | ||||||
| 5,900 | Capella Education Companyb | 212,695 | ||||||
| 24,400 | Career Education Corporationb | 194,468 | ||||||
| 20,700 | Carter’s, Inc.b | 824,067 | ||||||
| 12,000 | Cato Corporation | 290,400 | ||||||
| 7,625 | CEC Entertainment, Inc. | 262,681 | ||||||
| 10,100 | Children’s Place Retail Stores, Inc.a,b | 536,512 | ||||||
| 14,625 | Christopher & Banks Corporation | 34,223 | ||||||
| 12,500 | Coinstar, Inc.a,b | 570,500 | ||||||
| 36,100 | Coldwater Creek, Inc.b | 42,598 | ||||||
| 34,500 | Corinthian Colleges, Inc.a,b | 74,865 | ||||||
| 9,300 | Cracker Barrel Old Country Store, Inc. | 468,813 | ||||||
| 36,700 | Crocs, Inc.b | 542,059 | ||||||
| 11,200 | Digital Generation, Inc.b | 133,504 | ||||||
| 6,300 | DineEquity, Inc.b | 265,923 | ||||||
| 7,700 | Drew Industries, Inc.b | 188,881 | ||||||
| 12,633 | E.W. Scripps Companyb | 101,190 | ||||||
| 10,550 | Ethan Allen Interiors, Inc.a | 250,140 | ||||||
| 21,093 | Finish Line, Inc. | 406,779 | ||||||
| 15,650 | Fred’s, Inc.a | 228,177 | ||||||
| 9,800 | Genesco, Inc.b | 605,052 | ||||||
| 9,200 | Group 1 Automotive, Inc.a | 476,560 | ||||||
| 17,900 | Harte-Hanks, Inc. | 162,711 | ||||||
| 7,800 | Haverty Furniture Companies, Inc. | 85,644 | ||||||
| 12,800 | Helen of Troy, Ltd.b | 392,960 | ||||||
| 10,750 | Hibbett Sports, Inc.b | 485,685 | ||||||
| 25,400 | Hillenbrand, Inc. | 566,928 | ||||||
| 17,175 | Hot Topic, Inc. | 113,527 | ||||||
| 29,900 | Iconix Brand Group, Inc.b | 487,071 | ||||||
| 16,200 | Interval Leisure Group, Inc.b | 220,482 | ||||||
| 11,000 | iRobot Corporationa,b | 328,350 | ||||||
| 17,900 | Jack in the Box, Inc.b | 374,110 | ||||||
| 10,600 | JAKKS Pacific, Inc. | 149,566 | ||||||
| 11,362 | Joseph A. Bank Clothiers, Inc.a,b | 554,011 | ||||||
| 6,600 | Kirkland’s, Inc.b | 87,780 | ||||||
| 11,100 | K-Swiss, Inc.a,b | 32,412 | ||||||
| 21,100 | La-Z-Boy, Inc.b | 251,090 | ||||||
| 9,200 | Lincoln Educational Services | 72,680 | ||||||
| 8,700 | Lithia Motors, Inc. | 190,182 | ||||||
| 60,118 | Live Nation Entertainment, Inc.b | 499,581 | ||||||
| 38,500 | Liz Claiborne, Inc.a,b | 332,255 | ||||||
| 11,300 | Lumber Liquidators Holdings, Inc.a,b | 199,558 | ||||||
| 7,600 | M/I Homes, Inc.b | 72,960 | ||||||
| 9,600 | Maidenform Brands, Inc.b | 175,680 | ||||||
| 8,100 | Marcus Corporation | 102,141 | ||||||
| 9,500 | MarineMax, Inc.b | 61,940 | ||||||
| 11,000 | Marriott Vacations Worldwide Corporationa,b | 188,760 | ||||||
| 20,800 | Men’s Wearhouse, Inc. | 674,128 | ||||||
| 11,300 | Meritage Homes Corporationb | 262,047 | ||||||
| 5,900 | Midas, Inc.b | 50,681 | ||||||
| 4,700 | Monarch Casino & Resort, Inc.b | 47,893 | ||||||
| 12,550 | Monro Muffler Brake, Inc. | 486,815 | ||||||
| 7,100 | Movado Group, Inc. | 129,007 | ||||||
| 10,900 | Multimedia Games Holding Company, Inc.b | 86,546 | ||||||
| 11,400 | NutriSystem, Inc.a | 147,402 | ||||||
| 7,600 | O’Charley’s, Inc.b | 41,724 | ||||||
| 35,000 | OfficeMax, Inc.b | 158,900 | ||||||
| 5,600 | Oxford Industries, Inc. | 252,672 | ||||||
| 8,600 | P.F. Chang’s China Bistro, Inc. | 265,826 | ||||||
| 7,500 | Papa John’s International, Inc.b | 282,600 | ||||||
| 5,300 | Peet’s Coffee & Tea, Inc.a,b | 332,204 | ||||||
| 21,400 | Pep Boys - Manny, Moe & Jack | 235,400 | ||||||
| 5,100 | Perry Ellis International, Inc.b | 72,522 | ||||||
| 8,300 | PetMed Express, Inc.a | 86,154 | ||||||
| 25,300 | Pinnacle Entertainment, Inc.b | 257,048 | ||||||
| 19,412 | Pool Corporation | 584,301 | ||||||
| 49,700 | Quiksilver, Inc.b | 179,417 | ||||||
| 4,500 | Red Robin Gourmet Burgers, Inc.b | 124,650 | ||||||
| 25,400 | Ruby Tuesday, Inc.b | 175,260 | ||||||
| 6,400 | Rue21, Inc.b | 138,240 | ||||||
| 14,300 | Ruth’s Hospitality Group, Inc.b | 71,071 | ||||||
| 18,100 | Ryland Group, Inc. | 285,256 | ||||||
| 6,600 | School Specialty, Inc.b | 16,500 | ||||||
| 22,800 | Select Comfort Corporationb | 494,532 | ||||||
| 21,825 | Shuffle Master, Inc.b | 255,789 | ||||||
| 15,000 | Skechers USA, Inc.b | 181,800 | ||||||
| 14,100 | Sonic Automotive, Inc.a | 208,821 | ||||||
| 25,252 | Sonic Corporationb | 169,946 | ||||||
| 13,700 | Spartan Motors, Inc. | 65,897 | ||||||
| 12,400 | Stage Stores, Inc. | 172,236 | ||||||
| 5,100 | Stamps.com, Inc.b | 133,263 | ||||||
| 7,900 | Standard Motor Products, Inc. | 158,395 | ||||||
| 41,100 | Standard Pacific Corporationa,b | 130,698 | ||||||
| 11,000 | Stein Mart, Inc.b | 74,910 | ||||||
| 15,550 | Steven Madden, Ltd.b | 536,475 | ||||||
| 7,700 | Sturm, Ruger & Company, Inc. | 257,642 | ||||||
| 9,600 | Superior Industries International, Inc. | 158,784 | ||||||
| 24,200 | Texas Roadhouse, Inc. | 360,580 | ||||||
| 10,400 | True Religion Apparel, Inc.b | 359,632 | ||||||
| 17,300 | Tuesday Morning Corporationb | 59,685 | ||||||
| 6,000 | Universal Electronic, Inc.b | 101,220 | ||||||
| 8,700 | Universal Technical Institute, Inc.b | 111,186 | ||||||
| 11,900 | Vitamin Shoppe, Inc.b | 474,572 | ||||||
| 7,600 | VOXX International Corporationb | 64,220 | ||||||
| 11,800 | Winnebago Industries, Inc.a,b | 87,084 | ||||||
| 19,600 | Wolverine World Wide, Inc. | 698,544 | ||||||
| 10,600 | Zale Corporationb | 40,386 | ||||||
| 8,900 | Zumiez, Inc.a,b | 247,064 | ||||||
|
| |||||||
| Total Consumer Discretionary | 28,377,870 | |||||||
|
| |||||||
| Consumer Staples (4.3%) | ||||||||
| 35,500 | Alliance One International, Inc.b | 96,560 | ||||||
| 7,500 | Andersons, Inc. | 327,450 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Consumer Staples (4.3%) - continued | ||||||||
| 19,400 | B&G Foods, Inc. | $ | 466,958 | |||||
| 3,400 | Boston Beer Company, Inc.a,b | 369,104 | ||||||
| 5,100 | Calavo Growers, Inc.a | 130,968 | ||||||
| 5,800 | Cal-Maine Foods, Inc. | 212,106 | ||||||
| 15,500 | Casey’s General Stores, Inc. | 798,405 | ||||||
| 17,400 | Central Garden & Pet Companyb | 144,768 | ||||||
| 47,600 | Darling International, Inc.b | 632,604 | ||||||
| 9,000 | Diamond Foods, Inc.a | 290,430 | ||||||
| 17,900 | Hain Celestial Group, Inc.b | 656,214 | ||||||
| 6,600 | Inter Parfums, Inc. | 102,696 | ||||||
| 5,900 | J & J Snack Foods Corporation | 314,352 | ||||||
| 5,600 | Medifast, Inc.a,b | 76,832 | ||||||
| 4,900 | Nash Finch Company | 143,472 | ||||||
| 20,500 | Prestige Brands Holdings, Inc.b | 231,035 | ||||||
| 7,700 | Sanderson Farms, Inc.a | 386,001 | ||||||
| 3,700 | Seneca Foods Corporationb | 95,534 | ||||||
| 19,000 | Snyders-Lance, Inc. | 427,500 | ||||||
| 9,300 | Spartan Stores, Inc. | 172,050 | ||||||
| 14,600 | TreeHouse Foods, Inc.b | 954,548 | ||||||
| 19,800 | United Natural Foods, Inc.b | 792,198 | ||||||
| 6,470 | WD-40 Company | 261,453 | ||||||
|
| |||||||
| Total Consumer Staples | 8,083,238 | |||||||
|
| |||||||
| Energy (4.0%) | ||||||||
| 10,800 | Approach Resources, Inc.a,b | 317,628 | ||||||
| 11,900 | Basic Energy Services, Inc.b | 234,430 | ||||||
| 14,700 | Bristow Group, Inc. | 696,633 | ||||||
| 5,200 | Contango Oil & Gas Companyb | 302,536 | ||||||
| 25,200 | Exterran Holdings, Inc.b | 229,320 | ||||||
| 8,100 | GeoResources, Inc.a,b | 237,411 | ||||||
| 5,800 | Gulf Island Fabrication, Inc. | 169,418 | ||||||
| 18,100 | Gulfport Energy Corporationb | 533,045 | ||||||
| 13,800 | Hornbeck Offshore Services, Inc.b | 428,076 | ||||||
| 51,800 | ION Geophysical Corporationb | 317,534 | ||||||
| 12,400 | Lufkin Industries, Inc. | 834,644 | ||||||
| 10,500 | Matrix Service Companyb | 99,120 | ||||||
| 10,700 | Overseas Shipholding Group, Inc.a | 116,951 | ||||||
| 1,900 | OYO Geospace Corporationb | 146,927 | ||||||
| 18,600 | Penn Virginia Corporation | 98,394 | ||||||
| 9,600 | Petroleum Development Corporationb | 337,056 | ||||||
| 23,200 | PetroQuest Energy, Inc.a,b | 153,120 | ||||||
| 25,100 | Pioneer Drilling Companyb | 242,968 | ||||||
| 8,850 | SEACOR Holdings, Inc.b | 787,296 | ||||||
| 19,900 | Stone Energy Corporationb | 524,962 | ||||||
| 17,300 | Swift Energy Companyb | 514,156 | ||||||
| 31,450 | Tetra Technologies, Inc.b | 293,743 | ||||||
|
| |||||||
| Total Energy | 7,615,368 | |||||||
|
| |||||||
| Financials (19.7%) | ||||||||
| 17,328 | Acadia Realty Trust | 348,986 | ||||||
| 7,300 | Amerisafe, Inc.b | 169,725 | ||||||
| 18,800 | Bank Mutual Corporation | 59,784 | ||||||
| 11,600 | Bank of the Ozarks, Inc.a | 343,708 | ||||||
| 31,700 | BBCN Bancorp, Inc.b | 299,565 | ||||||
| 62,600 | BioMed Realty Trust, Inc. | 1,131,808 | ||||||
| 31,700 | Boston Private Financial Holdings, Inc. | 251,698 | ||||||
| 29,200 | Brookline Bancorp, Inc. | 246,448 | ||||||
| 8,200 | Calamos Asset Management, Inc. | 102,582 | ||||||
| 11,900 | Cash America International, Inc. | 554,897 | ||||||
| 22,700 | Cedar Realty Trust, Inc. | 97,837 | ||||||
| 6,000 | City Holding Companya | 203,340 | ||||||
| 35,500 | Colonial Properties Trust | 740,530 | ||||||
| 16,100 | Columbia Banking System, Inc. | 310,247 | ||||||
| 15,000 | Community Bank System, Inc.a | 417,000 | ||||||
| 42,200 | Cousins Properties, Inc. | 270,502 | ||||||
| 22,165 | Delphi Financial Group, Inc. | 981,910 | ||||||
| 68,067 | DiamondRock Hospitality Company | 656,166 | ||||||
| 11,375 | Dime Community Bancshares, Inc. | 143,325 | ||||||
| 10,900 | EastGroup Properties, Inc. | 473,932 | ||||||
| 8,200 | eHealth, Inc.a,b | 120,540 | ||||||
| 14,200 | Employers Holdings, Inc. | 256,878 | ||||||
| 8,900 | Encore Capital Group, Inc.b | 189,214 | ||||||
| 19,000 | Entertainment Properties Trust | 830,490 | ||||||
| 38,400 | Extra Space Storage, Inc. | 930,432 | ||||||
| 17,800 | EZCORP, Inc.b | 469,386 | ||||||
| 57,600 | F.N.B. Corporationa | 651,456 | ||||||
| 15,900 | Financial Engines, Inc.a,b | 355,047 | ||||||
| 8,373 | First Bancorpb | 29,222 | ||||||
| 12,200 | First Cash Financial Services, Inc.b | 428,098 | ||||||
| 42,700 | First Commonwealth Financial Corporation | 224,602 | ||||||
| 23,700 | First Financial Bancorp | 394,368 | ||||||
| 12,750 | First Financial Bankshares, Inc. | 426,232 | ||||||
| 30,312 | First Midwest Bancorp, Inc. | 307,061 | ||||||
| 14,400 | Forestar Real Estate Group, Inc.b | 217,872 | ||||||
| 29,300 | Franklin Street Properties Corporation | 291,535 | ||||||
| 11,000 | Getty Realty Corporation | 153,450 | ||||||
| 29,200 | Glacier Bancorp, Inc. | 351,276 | ||||||
| 12,762 | Hanmi Financial Corporationb | 94,439 | ||||||
| 31,700 | Healthcare Realty Trust, Inc. | 589,303 | ||||||
| 9,120 | Home Bancshares, Inc. | 236,299 | ||||||
| 16,200 | Horace Mann Educators Corporation | 222,102 | ||||||
| 8,700 | Independent Bank Corporation (MA) | 237,423 | ||||||
| 4,800 | Infinity Property & Casualty Corporation | 272,352 | ||||||
| 31,500 | Inland Real Estate Corporation | 239,715 | ||||||
| 15,800 | Interactive Brokers Group, Inc. | 236,052 | ||||||
| 16,300 | Investment Technology Group, Inc.b | 176,203 | ||||||
| 23,800 | Kilroy Realty Corporation | 906,066 | ||||||
| 25,900 | Kite Realty Group Trust | 116,809 | ||||||
| 34,100 | LaSalle Hotel Properties | 825,561 | ||||||
| 54,559 | Lexington Realty Trust | 408,647 | ||||||
| 12,300 | LTC Properties, Inc. | 379,578 | ||||||
| 20,774 | Meadowbrook Insurance Group, Inc. | 221,866 | ||||||
| 45,000 | Medical Properties Trust, Inc. | 444,150 | ||||||
| 15,400 | Mid-America Apartment Communities, Inc. | 963,270 | ||||||
| 16,800 | National Financial Partnersb | 227,136 | ||||||
| 50,000 | National Penn Bancshares, Inc.a | 422,000 | ||||||
| 4,500 | Navigators Group, Inc.b | 214,560 | ||||||
| 13,500 | NBT Bancorp, Inc. | 298,755 | ||||||
| 39,600 | Northwest Bancshares, Inc. | 492,624 | ||||||
| 38,500 | Old National Bancorp | 448,525 | ||||||
| 18,600 | Oritani Financial Corporation | 237,522 | ||||||
| 13,600 | PacWest Bancorp | 257,720 | ||||||
| 8,900 | Parkway Properties, Inc. | 87,754 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Financials (19.7%) - continued | ||||||||
| 22,600 | Pennsylvania Real Estate Investment Trust | $ | 235,944 | |||||
| 14,000 | Pinnacle Financial Partners, Inc.a,b | 226,100 | ||||||
| 6,300 | Piper Jaffray Companiesb | 127,260 | ||||||
| 7,000 | Portfolio Recovery Associates, Inc.b | 472,640 | ||||||
| 21,100 | Post Properties, Inc. | 922,492 | ||||||
| 8,700 | Presidential Life Corporation | 86,913 | ||||||
| 24,200 | PrivateBancorp, Inc. | 265,716 | ||||||
| 12,400 | ProAssurance Corporation | 989,768 | ||||||
| 44,971 | Prospect Capital Corporationa | 417,784 | ||||||
| 21,900 | Provident Financial Services, Inc. | 293,241 | ||||||
| 7,600 | PS Business Parks, Inc. | 421,268 | ||||||
| 6,800 | RLI Corporationa | 495,448 | ||||||
| 11,400 | S&T Bancorp, Inc.a | 222,870 | ||||||
| 6,200 | Safety Insurance Group, Inc. | 250,976 | ||||||
| 4,800 | Saul Centers, Inc. | 170,016 | ||||||
| 22,000 | Selective Insurance Group, Inc. | 390,060 | ||||||
| 7,000 | Simmons First National Corporation | 190,330 | ||||||
| 11,300 | Sovran Self Storage, Inc. | 482,171 | ||||||
| 12,600 | Sterling Bancorp | 108,864 | ||||||
| 7,800 | Stewart Information Services Corporation | 90,090 | ||||||
| 21,850 | Stifel Financial Corporationb | 700,292 | ||||||
| 63,700 | Susquehanna Bancshares, Inc. | 533,806 | ||||||
| 11,926 | SWS Group, Inc. | 81,932 | ||||||
| 35,300 | Tanger Factory Outlet Centers, Inc. | 1,034,996 | ||||||
| 15,200 | Texas Capital Bancshares, Inc.b | 465,272 | ||||||
| 3,340 | Tompkins Financial Corporation | 128,623 | ||||||
| 16,200 | Tower Group, Inc. | 326,754 | ||||||
| 37,982 | Trustco Bank Corporation NY | 213,079 | ||||||
| 13,100 | UMB Financial Corporation | 487,975 | ||||||
| 46,600 | Umpqua Holdings Corporation | 577,374 | ||||||
| 18,400 | United Bankshares, Inc.a | 520,168 | ||||||
| 7,675 | United Community Banks, Inc.b | 53,648 | ||||||
| 8,400 | United Fire & Casualty Company | 169,512 | ||||||
| 5,200 | Universal Health Realty Income Trust | 202,800 | ||||||
| 9,400 | Urstadt Biddle Properties, Inc. | 169,952 | ||||||
| 24,400 | Wilshire Bancorp, Inc.a,b | 88,572 | ||||||
| 14,600 | Wintrust Financial Corporationa | 409,530 | ||||||
| 5,912 | World Acceptance Corporationa,b | 434,532 | ||||||
|
| |||||||
| Total Financials | 37,146,348 | |||||||
|
| |||||||
| Health Care (11.2%) | ||||||||
| 8,800 | Abaxis, Inc.b | 243,496 | ||||||
| 28,700 | Affymetrix, Inc.b | 117,383 | ||||||
| 4,600 | Air Methods Corporationb | 388,470 | ||||||
| 27,800 | Align Technology, Inc.b | 659,555 | ||||||
| 3,400 | Almost Family, Inc.b | 56,372 | ||||||
| 11,933 | Amedisys, Inc.b | 130,189 | ||||||
| 16,500 | AMN Healthcare Services, Inc.b | 73,095 | ||||||
| 12,750 | AmSurg Corporationb | 332,010 | ||||||
| 5,000 | Analogic Corporation | 286,600 | ||||||
| 21,900 | ArQule, Inc.b | 123,516 | ||||||
| 10,100 | Bio-Reference Laboratories, Inc.b | 164,327 | ||||||
| 12,000 | Cambrex Corporationb | 86,160 | ||||||
| 5,300 | Cantel Medical Corporation | 148,029 | ||||||
| 20,500 | Centene Corporationb | 811,595 | ||||||
| 8,100 | Chemed Corporation | 414,801 | ||||||
| 4,500 | Computer Programs and Systems, Inc. | 229,995 | ||||||
| 11,350 | CONMED Corporationb | 291,355 | ||||||
| 2,600 | Corvel Corporationb | 134,446 | ||||||
| 12,700 | Cross Country Healthcare, Inc.b | 70,485 | ||||||
| 11,450 | CryoLife, Inc.b | 54,960 | ||||||
| 25,000 | Cubist Pharmaceuticals, Inc.b | 990,500 | ||||||
| 10,100 | Cyberonics, Inc.b | 338,350 | ||||||
| 10,100 | Emergent Biosolutions, Inc.b | 170,084 | ||||||
| 6,700 | Ensign Group, Inc. | 164,150 | ||||||
| 13,697 | Enzo Biochem, Inc.b | 30,681 | ||||||
| 17,800 | eResearch Technology, Inc.b | 83,482 | ||||||
| 12,500 | Gentiva Health Services, Inc.b | 84,375 | ||||||
| 9,500 | Greatbatch, Inc.b | 209,950 | ||||||
| 10,200 | Haemonetics Corporationb | 624,444 | ||||||
| 13,500 | Hanger Orthopedic Group, Inc.b | 252,315 | ||||||
| 27,300 | Healthspring, Inc.b | 1,488,942 | ||||||
| 13,500 | Healthways, Inc.b | 92,610 | ||||||
| 4,200 | Hi-Tech Pharmacal Companyb | 163,338 | ||||||
| 4,900 | ICU Medical, Inc.b | 220,500 | ||||||
| 8,100 | Integra LifeSciences Holdings Corporationb | 249,723 | ||||||
| 13,000 | Invacare Corporation | 198,770 | ||||||
| 6,700 | IPC The Hospitalist Company, Inc.b | 306,324 | ||||||
| 3,200 | Kensey Nash Corporationb | 61,408 | ||||||
| 21,200 | Kindred Healthcare, Inc.b | 249,524 | ||||||
| 3,800 | Landauer, Inc. | 195,700 | ||||||
| 6,400 | LHC Group, Inc.b | 82,112 | ||||||
| 11,400 | Magellan Health Services, Inc.b | 563,958 | ||||||
| 21,600 | Medicines Companyb | 402,624 | ||||||
| 16,800 | Meridian Bioscience, Inc.a | 316,512 | ||||||
| 17,075 | Merit Medical Systems, Inc.b | 228,463 | ||||||
| 11,500 | Molina Healthcare, Inc.b | 256,795 | ||||||
| 5,200 | MWI Veterinary Supply, Inc.b | 345,488 | ||||||
| 12,000 | Natus Medical, Inc.b | 113,160 | ||||||
| 9,550 | Neogen Corporationb | 292,612 | ||||||
| 17,200 | NuVasive, Inc.a,b | 216,548 | ||||||
| 13,500 | Omnicell, Inc.b | 223,020 | ||||||
| 7,900 | Palomar Medical Technologies, Inc.b | 73,470 | ||||||
| 14,600 | Par Pharmaceutical Companies, Inc.b | 477,858 | ||||||
| 24,100 | PAREXEL International Corporationb | 499,834 | ||||||
| 12,000 | PharMerica Corporationb | 182,160 | ||||||
| 21,400 | PSS World Medical, Inc.b | 517,666 | ||||||
| 16,000 | Quality Systems, Inc. | 591,840 | ||||||
| 25,500 | Questcor Pharmaceuticals, Inc.b | 1,060,290 | ||||||
| 24,000 | Salix Pharmaceuticals, Ltd.b | 1,148,400 | ||||||
| 28,500 | Savient Pharmaceuticals, Inc.a,b | 63,555 | ||||||
| 5,700 | SonoSite, Inc.b | 307,002 | ||||||
| 5,900 | SurModics, Inc.b | 86,494 | ||||||
| 14,800 | Symmetry Medical, Inc.b | 118,252 | ||||||
| 28,700 | Viropharma, Inc.b | 786,093 | ||||||
| 13,700 | West Pharmaceutical Services, Inc. | 519,915 | ||||||
| 9,000 | Zoll Medical Corporationb | 568,620 | ||||||
|
| |||||||
| Total Health Care | 21,034,750 | |||||||
|
| |||||||
| Industrials (15.0%) | ||||||||
| 15,800 | A.O. Smith Corporation | 633,896 | ||||||
| 7,650 | AAON, Inc.a | 156,748 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Industrials (15.0%) - continued | ||||||||
| 15,800 | AAR Corporation | $ | 302,886 | |||||
| 19,500 | ABM Industries, Inc. | 402,090 | ||||||
| 28,000 | Actuant Corporation | 635,320 | ||||||
| 15,900 | Aegion Corporationb | 243,906 | ||||||
| 7,200 | Aerovironment, Inc.b | 226,584 | ||||||
| 11,400 | Albany International Corporation | 263,568 | ||||||
| 6,100 | Allegiant Travel Companyb | 325,374 | ||||||
| 3,600 | American Science & Engineering, Inc. | 245,196 | ||||||
| 11,500 | Apogee Enterprises, Inc. | 140,990 | ||||||
| 17,050 | Applied Industrial Technologies, Inc. | 599,648 | ||||||
| 10,300 | Arkansas Best Corporation | 198,481 | ||||||
| 8,100 | Astec Industries, Inc.b | 260,901 | ||||||
| 5,100 | AZZ, Inc. | 231,744 | ||||||
| 19,100 | Barnes Group, Inc. | 460,501 | ||||||
| 18,925 | Belden, Inc. | 629,824 | ||||||
| 21,300 | Brady Corporation | 672,441 | ||||||
| 20,400 | Briggs & Stratton Corporation | 315,996 | ||||||
| 3,500 | Cascade Corporation | 165,095 | ||||||
| 5,200 | CDI Corporation | 71,812 | ||||||
| 9,850 | Ceradyne, Inc.b | 263,783 | ||||||
| 7,000 | Circor International, Inc. | 247,170 | ||||||
| 15,200 | Comfort Systems USA, Inc. | 162,944 | ||||||
| 3,600 | Consolidated Graphics, Inc.b | 173,808 | ||||||
| 6,400 | Cubic Corporation | 278,976 | ||||||
| 19,000 | Curtiss-Wright Corporation | 671,270 | ||||||
| 12,300 | Dolan Companyb | 104,796 | ||||||
| 13,700 | Dycom Industries, Inc.b | 286,604 | ||||||
| 27,100 | EMCOR Group, Inc. | 726,551 | ||||||
| 7,800 | Encore Wire Corporationa | 202,020 | ||||||
| 19,400 | EnerSysb | 503,818 | ||||||
| 8,500 | EnPro Industries, Inc.b | 280,330 | ||||||
| 10,800 | ESCO Technologies, Inc. | 310,824 | ||||||
| 5,400 | Exponent, Inc.b | 248,238 | ||||||
| 25,300 | Federal Signal Corporationb | 104,995 | ||||||
| 11,600 | Forward Air Corporation | 371,780 | ||||||
| 7,600 | Franklin Electric Company, Inc. | 331,056 | ||||||
| 7,700 | G & K Services, Inc. | 224,147 | ||||||
| 24,300 | GenCorp, Inc.a,b | 129,276 | ||||||
| 25,500 | Geo Group, Inc.b | 427,125 | ||||||
| 12,400 | Gibraltar Industries, Inc.b | 173,104 | ||||||
| 18,730 | Griffon Corporation | 171,005 | ||||||
| 27,137 | Healthcare Services Group, Inc. | 480,054 | ||||||
| 23,448 | Heartland Express, Inc. | 335,072 | ||||||
| 7,300 | Heidrick & Struggles International, Inc. | 157,242 | ||||||
| 15,300 | Hub Group, Inc.b | 496,179 | ||||||
| 22,200 | II-VI, Inc.b | 407,592 | ||||||
| 9,100 | Insperity, Inc. | 230,685 | ||||||
| 23,400 | Interface, Inc. | 270,036 | ||||||
| 11,700 | John Bean Technologies Corporation | 179,829 | ||||||
| 10,700 | Kaman Corporation | 292,324 | ||||||
| 13,100 | Kaydon Corporation | 399,550 | ||||||
| 11,500 | Kelly Services, Inc. | 157,320 | ||||||
| 23,850 | Knight Transportation, Inc. | 373,014 | ||||||
| 1,500 | Lawson Products, Inc. | 23,145 | ||||||
| 5,150 | Lindsay Manufacturing Companya | 282,684 | ||||||
| 7,000 | Lydall, Inc.b | 66,430 | ||||||
| 14,300 | Mobile Mini, Inc.b | 249,535 | ||||||
| 18,350 | Moog, Inc.b | 806,116 | ||||||
| 15,500 | Mueller Industries, Inc. | 595,510 | ||||||
| 2,000 | National Presto Industries, Inc. | 187,200 | ||||||
| 21,300 | Navigant Consulting, Inc.b | 243,033 | ||||||
| 8,060 | NCI Building Systems, Inc.b | 87,612 | ||||||
| 19,125 | Old Dominion Freight Line, Inc.b | 775,136 | ||||||
| 15,000 | On Assignment, Inc.b | 167,700 | ||||||
| 23,900 | Orbital Sciences Corporationb | 347,267 | ||||||
| 11,000 | Orion Marine Group, Inc.b | 73,150 | ||||||
| 3,600 | Powell Industries, Inc.b | 112,608 | ||||||
| 15,075 | Quanex Building Products Corporation | 226,426 | ||||||
| 18,000 | Resources Global Professionals | 190,620 | ||||||
| 18,700 | Robbins & Myers, Inc. | 907,885 | ||||||
| 16,500 | Simpson Manufacturing Company, Inc. | 555,390 | ||||||
| 20,600 | SkyWest, Inc. | 259,354 | ||||||
| 5,000 | Standard Register Company | 11,650 | ||||||
| 5,100 | Standex International Corporation | 174,216 | ||||||
| 16,100 | Sykes Enterprises, Inc.b | 252,126 | ||||||
| 15,000 | Teledyne Technologies, Inc.b | 822,750 | ||||||
| 7,600 | Tennant Company | 295,412 | ||||||
| 25,406 | Tetra Tech, Inc.b | 548,516 | ||||||
| 12,500 | Toro Company | 758,250 | ||||||
| 16,300 | TrueBlue, Inc.b | 226,244 | ||||||
| 6,200 | UniFirst Corporation | 351,788 | ||||||
| 17,400 | United Stationers, Inc. | 566,544 | ||||||
| 8,000 | Universal Forest Products, Inc. | 246,960 | ||||||
| 8,200 | Viad Corporation | 143,336 | ||||||
| 8,000 | Vicor Corporation | 63,680 | ||||||
| 11,800 | Watts Water Technologies, Inc. | 403,678 | ||||||
|
| |||||||
| Total Industrials | 28,377,469 | |||||||
|
| |||||||
| Information Technology (19.3%) | ||||||||
| 18,000 | Advanced Energy Industries, Inc.b | 193,140 | ||||||
| 6,200 | Agilysys, Inc.b | 49,290 | ||||||
| 11,300 | Anixter International, Inc.b | 673,932 | ||||||
| 47,923 | Arris Group, Inc.b | 518,527 | ||||||
| 12,900 | ATMI, Inc.b | 258,387 | ||||||
| 11,913 | Avid Technology, Inc.b | 101,618 | ||||||
| 6,100 | Badger Meter, Inc.a | 179,523 | ||||||
| 4,100 | Bel Fuse, Inc. | 76,875 | ||||||
| 23,450 | Benchmark Electronics, Inc.b | 315,872 | ||||||
| 7,200 | Black Box Corporation | 201,888 | ||||||
| 17,600 | Blackbaud, Inc. | 487,520 | ||||||
| 17,400 | Blue Coat Systems, Inc.b | 442,830 | ||||||
| 14,600 | Bottomline Technologies, Inc.b | 338,282 | ||||||
| 27,700 | Brightpoint, Inc.b | 298,052 | ||||||
| 26,307 | Brooks Automation, Inc. | 270,173 | ||||||
| 9,200 | Cabot Microelectronics Corporationb | 434,700 | ||||||
| 10,700 | CACI International, Inc.b | 598,344 | ||||||
| 17,800 | Cardtronics, Inc.b | 481,668 | ||||||
| 9,600 | Ceva, Inc.b | 290,496 | ||||||
| 16,300 | Checkpoint Systems, Inc.b | 178,322 | ||||||
| 29,400 | CIBER, Inc.b | 113,484 | ||||||
| 26,000 | Cirrus Logic, Inc.b | 412,100 | ||||||
| 17,100 | Cognex Corporation | 612,009 | ||||||
| 9,800 | Cohu, Inc. | 111,230 | ||||||
| 17,700 | CommVault Systems, Inc.b | 756,144 | ||||||
| 13,400 | comScore, Inc.b | 284,080 | ||||||
| 8,300 | Comtech Telecommunications Corporation | 237,546 | ||||||
| 13,800 | CSG Systems International, Inc.b | 202,998 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Information Technology (19.3%) - continued | ||||||||
| 14,000 | CTS Corporation | $ | 128,800 | |||||
| 12,400 | Cymer, Inc.b | 617,024 | ||||||
| 15,000 | Daktronics, Inc. | 143,550 | ||||||
| 16,900 | DealerTrack Holdings, Inc.b | 460,694 | ||||||
| 10,400 | Digi International, Inc.b | 116,064 | ||||||
| 15,700 | Digital River, Inc.b | 235,814 | ||||||
| 15,050 | Diodes, Inc.b | 320,565 | ||||||
| 9,400 | DSP Group, Inc.b | 48,974 | ||||||
| 6,800 | DTS, Inc.b | 185,232 | ||||||
| 12,700 | Ebix, Inc.a | 280,670 | ||||||
| 9,800 | Electro Scientific Industries, Inc.b | 141,904 | ||||||
| 35,300 | Entropic Communications, Inc.a,b | 180,383 | ||||||
| 12,900 | EPIQ Systems, Inc. | 155,058 | ||||||
| 18,200 | Exar Corporationb | 118,300 | ||||||
| 6,800 | FARO Technologies, Inc.b | 312,800 | ||||||
| 15,300 | FEI Companyb | 623,934 | ||||||
| 6,000 | Forrester Research, Inc.b | 203,640 | ||||||
| 51,700 | GT Advanced Technologies, Inc.a,b | 374,308 | ||||||
| 47,200 | Harmonic, Inc.b | 237,888 | ||||||
| 16,000 | Heartland Payment Systems, Inc. | 389,760 | ||||||
| 12,600 | Higher One Holdings, Inc.a,b | 232,344 | ||||||
| 11,300 | Hittite Microwave Corporationb | 557,994 | ||||||
| 12,200 | iGATE Corporationa,b | 191,906 | ||||||
| 16,000 | InfoSpace, Inc.b | 175,840 | ||||||
| 17,875 | Insight Enterprises, Inc.b | 273,309 | ||||||
| 5,800 | Interactive Intelligence Groupb | 132,936 | ||||||
| 20,800 | Intermec, Inc.b | 142,688 | ||||||
| 9,400 | Intevac, Inc.b | 69,560 | ||||||
| 19,300 | j2 Global, Inc. | 543,102 | ||||||
| 17,300 | JDA Software Group, Inc.b | 560,347 | ||||||
| 27,600 | Kopin Corporationb | 107,088 | ||||||
| 29,600 | Kulicke and Soffa Industries, Inc.b | 273,800 | ||||||
| 8,200 | Liquidity Services, Inc.b | 302,580 | ||||||
| 9,400 | Littelfuse, Inc. | 404,012 | ||||||
| 19,300 | Liveperson, Inc.b | 242,215 | ||||||
| 8,600 | LogMeIn, Inc.a,b | 331,530 | ||||||
| 8,400 | Manhattan Associates, Inc.b | 340,032 | ||||||
| 13,700 | MAXIMUS, Inc. | 566,495 | ||||||
| 6,100 | Measurement Specialties, Inc.b | 170,556 | ||||||
| 12,400 | Mercury Computer Systems, Inc.b | 164,796 | ||||||
| 15,100 | Methode Electronics, Inc. | 125,179 | ||||||
| 20,300 | Micrel, Inc. | 205,233 | ||||||
| 35,300 | Microsemi Corporationb | 591,275 | ||||||
| 3,300 | MicroStrategy, Inc.b | 357,456 | ||||||
| 21,300 | MKS Instruments, Inc. | 592,566 | ||||||
| 12,100 | Monolithic Power Systems, Inc.b | 182,347 | ||||||
| 14,600 | Monotype Imaging Holdings, Inc.b | 227,614 | ||||||
| 6,400 | MTS Systems Corporation | 260,800 | ||||||
| 6,900 | Nanometrics, Inc.b | 127,098 | ||||||
| 3,200 | NCI, Inc.b | 37,280 | ||||||
| 15,300 | NETGEAR, Inc.b | 513,621 | ||||||
| 14,000 | NetScout Systems, Inc.b | 246,400 | ||||||
| 15,300 | Newport Corporationb | 208,233 | ||||||
| 13,000 | Novatel Wireless, Inc.b | 40,690 | ||||||
| 7,800 | Oplink Communications, Inc.b | 128,466 | ||||||
| 6,000 | Opnet Technologies, Inc. | 220,020 | ||||||
| 8,000 | OSI Systems, Inc.b | 390,240 | ||||||
| 8,450 | Park Electrochemical Corporation | 216,489 | ||||||
| 7,400 | PC-Tel, Inc. | 50,616 | ||||||
| 12,400 | Perficient, Inc.b | 124,124 | ||||||
| 9,900 | Pericom Semiconductor Corporationb | 75,339 | ||||||
| 14,100 | Plexus Corporationb | 386,058 | ||||||
| 11,400 | Power Integrations, Inc. | 378,024 | ||||||
| 26,050 | Progress Software Corporationb | 504,067 | ||||||
| 16,800 | Pulse Electronics Corporation | 47,040 | ||||||
| 9,200 | RadiSys Corporationb | 46,552 | ||||||
| 10,400 | RightNow Technologies, Inc.a,b | 444,392 | ||||||
| 11,600 | Rofin-Sinar Technologies, Inc.b | 265,060 | ||||||
| 6,600 | Rogers Corporationb | 243,276 | ||||||
| 7,100 | Rubicon Technology, Inc.a,b | 66,669 | ||||||
| 13,000 | Rudolph Technologies, Inc.b | 120,380 | ||||||
| 11,100 | ScanSource, Inc.b | 399,600 | ||||||
| 13,100 | Sigma Designs, Inc.b | 78,600 | ||||||
| 11,700 | Sourcefire, Inc.b | 378,846 | ||||||
| 9,300 | Standard Microsystems Corporationb | 239,661 | ||||||
| 16,900 | STR Holdings, Inc.a,b | 139,087 | ||||||
| 8,600 | Stratasys, Inc.b | 261,526 | ||||||
| 11,200 | Super Micro Computer, Inc.b | 175,616 | ||||||
| 4,900 | Supertex, Inc.b | 92,512 | ||||||
| 17,350 | Symmetricom, Inc.b | 93,516 | ||||||
| 13,100 | Synaptics, Inc.a,b | 394,965 | ||||||
| 10,900 | Synchronoss Technologies, Inc.b | 329,289 | ||||||
| 10,500 | Synnex Corporationb | 319,830 | ||||||
| 35,250 | Take-Two Interactive Software, Inc.b | 477,637 | ||||||
| 16,900 | Taleo Corporationb | 653,861 | ||||||
| 25,100 | Tekelec, Inc.b | 274,343 | ||||||
| 10,300 | TeleTech Holdings, Inc.b | 166,860 | ||||||
| 21,000 | Tessera Technologies, Inc.b | 351,750 | ||||||
| 27,837 | THQ, Inc.a,b | 21,156 | ||||||
| 67,600 | TriQuint Semiconductor, Inc.b | 329,212 | ||||||
| 20,800 | TTM Technologies, Inc.b | 227,968 | ||||||
| 9,900 | Tyler Technologies, Inc.b | 298,089 | ||||||
| 10,500 | Ultratech, Inc.b | 257,985 | ||||||
| 36,300 | United Online, Inc. | 197,472 | ||||||
| 15,700 | Veeco Instruments, Inc.a,b | 326,560 | ||||||
| 17,200 | Viasat, Inc.a,b | 793,264 | ||||||
| 7,600 | Virtusa Corporationb | 110,048 | ||||||
| 10,000 | Volterra Semiconductor Corporationb | 256,100 | ||||||
| 15,800 | Websense, Inc.b | 295,934 | ||||||
| 15,700 | Wright Express Corporationb | 852,196 | ||||||
| 11,700 | XO Group, Inc.b | 97,578 | ||||||
|
| |||||||
| Total Information Technology | 36,491,187 | |||||||
| Materials (4.9%) | ||||||||
| 12,000 | A. Schulman, Inc. | 254,160 | ||||||
| 6,700 | A.M. Castle & Companyb | 63,382 | ||||||
| 44,800 | AK Steel Holding Corporationa | 370,048 | ||||||
| 10,200 | AMCOL International Corporation | 273,870 | ||||||
| 9,500 | American Vanguard Corporation | 126,730 | ||||||
| 11,800 | Balchem Corporation | 478,372 | ||||||
| 16,000 | Buckeye Technologies, Inc. | 535,040 | ||||||
| 23,000 | Calgon Carbon Corporationb | 361,330 | ||||||
| 22,200 | Century Aluminum Companyb | 188,922 | ||||||
| 9,300 | Clearwater Paper Corporationb | 331,173 | ||||||
| 4,400 | Deltic Timber Corporation | 265,716 | ||||||
| 18,300 | Eagle Materials, Inc. | 469,578 | ||||||
| 19,900 | H.B. Fuller Company | 459,889 | ||||||
| 3,600 | Hawkins, Inc.a | 132,696 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
171
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Materials (4.9%) - continued | ||||||||
| 4,900 | Haynes International, Inc. | $ | 267,540 | |||||
| 24,800 | Headwaters, Inc.b | 55,056 | ||||||
| 6,400 | Kaiser Aluminum Corporationa | 293,632 | ||||||
| 15,900 | KapStone Paper and Packaging Corporationb | 250,266 | ||||||
| 8,400 | Koppers Holdings, Inc. | 288,624 | ||||||
| 13,100 | Kraton Performance Polymers, Inc.b | 265,930 | ||||||
| 7,500 | LSB Industries, Inc.b | 210,225 | ||||||
| 8,300 | Materion Corporationb | 201,524 | ||||||
| 13,563 | Myers Industries, Inc. | 167,367 | ||||||
| 6,100 | Neenah Paper, Inc. | 136,152 | ||||||
| 3,700 | Olympic Steel, Inc. | 86,284 | ||||||
| 13,100 | OM Group, Inc.b | 293,309 | ||||||
| 36,900 | PolyOne Corporation | 426,195 | ||||||
| 5,200 | Quaker Chemical Corporation | 202,228 | ||||||
| 12,300 | RTI International Metals, Inc.b | 285,483 | ||||||
| 6,600 | Schweitzer-Mauduit International, Inc. | 438,636 | ||||||
| 3,400 | Stepan Company | 272,544 | ||||||
| 11,300 | Texas Industries, Inc.a | 347,814 | ||||||
| 9,500 | Tredegar Corporation | 210,995 | ||||||
| 20,000 | Wausau Paper Corporation | 165,200 | ||||||
| 8,950 | Zep, Inc. | 125,121 | ||||||
| Total Materials | 9,301,031 | |||||||
| Telecommunications Services (0.6%) | ||||||||
| 3,800 | Atlantic Tele-Network, Inc. | 148,390 | ||||||
| 12,300 | Cbeyond, Inc.b | 98,523 | ||||||
| 79,600 | Cincinnati Bell, Inc.b | 241,188 | ||||||
| 14,200 | General Communication, Inc.b | 139,018 | ||||||
| 6,000 | Lumos Networks Corporation | 92,040 | ||||||
| 12,800 | Neutral Tandem, Inc.b | 136,832 | ||||||
| 6,100 | NTELOS Holdings Corporation | 124,318 | ||||||
| 9,000 | USA Mobility, Inc. | 124,830 | ||||||
| Total Telecommunications Services | 1,105,139 | |||||||
| Utilities (4.5%) | ||||||||
| 13,133 | ALLETE, Inc. | 551,323 | ||||||
| 7,650 | American States Water Company | 266,985 | ||||||
| 23,700 | Avista Corporation | 610,275 | ||||||
| 5,500 | Central Vermont Public Service Corporation | 193,050 | ||||||
| 6,100 | CH Energy Group, Inc. | 356,118 | ||||||
| 16,400 | El Paso Electric Company | 568,096 | ||||||
| 9,100 | Laclede Group, Inc. | 368,277 | ||||||
| 16,850 | New Jersey Resources Corporation | 829,020 | ||||||
| 10,900 | Northwest Natural Gas Company | 522,437 | ||||||
| 14,700 | NorthWestern Corporation | 526,113 | ||||||
| 29,300 | Piedmont Natural Gas Company, Inc.a | 995,614 | ||||||
| 12,300 | South Jersey Industries, Inc. | 698,763 | ||||||
| 18,700 | Southwest Gas Corporation | 794,563 | ||||||
| 20,466 | UIL Holdings Corporation | 723,883 | ||||||
| 15,000 | UniSource Energy Corporation | 553,800 | ||||||
|
| |||||||
| Total Utilities | 8,558,317 | |||||||
|
| |||||||
Total Common Stock (cost $159,326,123) | 186,090,717 | |||||||
Collateral Held for Securities Loaned (8.5%) | ||||||||
| 16,002,829 | Thrivent Financial Securities Lending Trust | 16,002,829 | ||||||
Total Collateral Held for Securities Loaned (cost $16,002,829) | 16,002,829 | |||||||
| Principal Amount | Short-Term Investments (0.3%)c | �� | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.032%, 2/22/2012d,e | 99,995 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 300,000 | 0.105%, 2/22/2012d,e | 299,996 | ||||||
U.S. Treasury Bills | ||||||||
| 200,000 | 0.045%, 2/9/2012e | 199,991 | ||||||
| Total Short-Term Investments (at amortized cost) | 599,982 | |||||||
Total Investments (cost $175,928,934) 107.3% | $ 202,693,528 | |||||||
| Other Assets and Liabilities, Net (7.3%) | (13,703,212) | |||||||
| Total Net Assets 100.0% | $ 188,990,316 | |||||||
| 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. |
| e | At December 31, 2011, $599,981 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 | $ | 45,964,064 | ||
Gross unrealized depreciation | (23,855,912 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 22,108,152 | ||
Cost for federal income tax purposes | $ | 180,585,376 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 28,377,870 | 28,377,870 | — | — | ||||||||||||
Consumer Staples | 8,083,238 | 8,083,238 | — | — | ||||||||||||
Energy | 7,615,368 | 7,615,368 | — | — | ||||||||||||
Financials | 37,146,348 | 37,146,348 | — | — | ||||||||||||
Health Care | 21,034,750 | 21,034,750 | — | — | ||||||||||||
Industrials | 28,377,469 | 28,377,469 | — | — | ||||||||||||
Information Technology | 36,491,187 | 36,491,187 | — | — | ||||||||||||
Materials | 9,301,031 | 9,301,031 | — | — | ||||||||||||
Telecommunications Services | 1,105,139 | 1,105,139 | — | — | ||||||||||||
Utilities | 8,558,317 | 8,558,317 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 16,002,829 | 16,002,829 | — | — | ||||||||||||
Short-Term Investments | 599,982 | — | 599,982 | — | ||||||||||||
Total | $ | 202,693,528 | $ | 202,093,546 | $ | 599,982 | $ | — | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 59,868 | 59,868 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 59,868 | $ | 59,868 | $ | — | $ | — | ||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 44 | March 2012 | $ | 3,190,852 | $ | 3,250,720 | $ | 59,868 | ||||||||||||
Total Futures Contracts | $ | 59,868 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 59,868 | ||||
Total Equity Contracts | 59,868 | |||||
|
| |||||
Total Asset Derivatives | $ | 59,868 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (146,843 | ) | |||
Total Equity Contracts | (146,843 | ) | ||||
|
| |||||
Total | ($ | 146,843 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 23,449 | ||||
Total Equity Contracts | 23,449 | |||||
Total | $ | 23,449 | ||||
The following table presents Small Cap Index Portfolio's average volume of derivative activity during the period ended December 31,
2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,168,112 | 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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 17,693,984 | $ | 79,912,819 | $ | 81,603,974 | 16,002,829 | $ | 16,002,829 | $ | 86,384 | |||||||||||||
Total Value and Income Earned | 17,693,984 | 16,002,829 | 86,384 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (94.6%) | Value | ||||||
| Consumer Discretionary (15.5%) | |||||||
| 3,098 | Abercrombie & Fitch Company | $ | 151,306 | |||||
| 2,864 | Darden Restaurants, Inc. | 130,541 | ||||||
| 6,852 | Discovery Communications, Inc.a | 280,726 | ||||||
| 6,323 | Dollar Tree, Inc.a | 525,505 | ||||||
| 3,450 | Gentex Corporation | 102,085 | ||||||
| 7,787 | Limited Brands, Inc. | 314,205 | ||||||
| 3,386 | O’Reilly Automotive, Inc.a | 270,711 | ||||||
| 5,526 | PetSmart, Inc. | 283,429 | ||||||
| 3,466 | Tractor Supply Company | 243,140 | ||||||
| 1,393 | VF Corporation | 176,897 | ||||||
| 3,973 | Williams-Sonoma, Inc. | 152,961 | ||||||
|
| |||||||
| Total Consumer Discretionary | 2,631,506 | |||||||
|
| |||||||
| Consumer Staples (3.9%) | |||||||
| 2,307 | Clorox Company | 153,554 | ||||||
| 3,431 | Corn Products International, Inc. | 180,436 | ||||||
| 4,683 | Whole Foods Market, Inc. | 325,843 | ||||||
|
| |||||||
| Total Consumer Staples | 659,833 | |||||||
|
| |||||||
| Energy (10.7%) | ||||||||
| 5,200 | Alpha Natural Resources, Inc.a | 106,236 | ||||||
| 2,000 | Cameron International Corporationa | 98,380 | ||||||
| 2,217 | Concho Resources, Inc.a | 207,844 | ||||||
| 6,025 | ENSCO International plc ADR | 282,693 | ||||||
| 20,521 | Helix Energy Solutions Group, Inc.a | 324,232 | ||||||
| 4,021 | Oil States International, Inc.a | 307,084 | ||||||
| 5,982 | Peabody Energy Corporation | 198,064 | ||||||
| 1,325 | Range Resources Corporation | 82,070 | ||||||
| 14,735 | Weatherford International, Ltd.a | 215,720 | ||||||
|
| |||||||
| Total Energy | 1,822,323 | |||||||
|
| |||||||
| Financials (5.2%) | |||||||
| 2,719 | Affiliated Managers Group, Inc.a | 260,888 | ||||||
| 11,130 | Discover Financial Services | 267,120 | ||||||
| 1,537 | IntercontinentalExchange, Inc.a | 185,286 | ||||||
| 996 | MSCI, Inc.a | 32,798 | ||||||
| 8,557 | TD Ameritrade Holding Corporation | 133,917 | ||||||
|
| |||||||
| Total Financials | 880,009 | |||||||
|
| |||||||
| Health Care (8.3%) | ||||||||
| 3,320 | Alexion Pharmaceuticals, Inc.a | 237,380 | ||||||
| 6,351 | AmerisourceBergen Corporation | 236,194 | ||||||
| 1,500 | BioMarin Pharmaceutical, Inc.a | 51,570 | ||||||
| 4,791 | CIGNA Corporation | 201,222 | ||||||
| 535 | Mettler-Toledo International, Inc.a | 79,025 | ||||||
| 1,849 | Onyx Pharmaceuticals, Inc.a | 81,263 | ||||||
| 3,879 | SXC Health Solutions Corporationa,b | 219,086 | ||||||
| 5,047 | Watson Pharmaceuticals, Inc.a | 304,536 | ||||||
|
| |||||||
| Total Health Care | 1,410,276 | |||||||
|
| |||||||
| Industrials (15.7%) | ||||||||
| 2,355 | AMETEK, Inc. | 99,146 | ||||||
| 8,990 | BE Aerospace, Inc.a | 348,003 | ||||||
| 7,411 | Chicago Bridge and Iron Company | 280,136 | ||||||
| 1,714 | Flowserve Corporation | 170,235 | ||||||
| 3,500 | Jacobs Engineering Group, Inc.a | 142,030 | ||||||
| 6,784 | JB Hunt Transport Services, Inc. | 305,755 | ||||||
| 5,181 | Kansas City Southerna | 352,360 | ||||||
| 5,091 | Pentair, Inc. | 169,479 | ||||||
| 937 | Precision Castparts Corporation | 154,408 | ||||||
| 3,844 | Roper Industries, Inc. | 333,928 | ||||||
| 2,061 | SPX Corporation | 124,216 | ||||||
| 2,361 | Stericycle, Inc.a | 183,969 | ||||||
|
| |||||||
| Total Industrials | 2,663,665 | |||||||
|
| |||||||
| Information Technology (26.6%) | ||||||||
| 5,235 | Akamai Technologies, Inc.a | 168,986 | ||||||
| 1,616 | Altera Corporation | 59,954 | ||||||
| 4,635 | ANSYS, Inc.a | 265,493 | ||||||
| 18,317 | Atmel Corporationa | 148,368 | ||||||
| 7,899 | Broadcom Corporationa | 231,915 | ||||||
| 13,392 | Electronic Arts, Inc.a | 275,875 | ||||||
| 4,222 | F5 Networks, Inc.a | 448,039 | ||||||
| 5,036 | Fortinet, Inc.a | 109,835 | ||||||
| 4,252 | Lam Research Corporationa | 157,409 | ||||||
| 17,314 | Marvell Technology Group, Ltd.a | 239,799 | ||||||
| 2,784 | Mercadolibre, Inc. | 221,439 | ||||||
| 2,518 | Nice Systems, Ltd. ADRa | 86,745 | ||||||
| 12,990 | Nuance Communications, Inc.a | 326,828 | ||||||
| 19,046 | NVIDIA Corporationa | 263,978 | ||||||
| 4,426 | Red Hat, Inc.a | 182,749 | ||||||
| 8,021 | SuccessFactors, Inc.a | 319,797 | ||||||
| 11,185 | Symantec Corporationa | 175,045 | ||||||
| 8,490 | Teradata Corporationa | 411,850 | ||||||
| 6,592 | VeriFone Systems, Inc.a | 234,148 | ||||||
| 5,633 | Xilinx, Inc. | 180,594 | ||||||
|
| |||||||
| Total Information Technology | 4,508,846 | |||||||
|
| |||||||
| Materials (6.4%) | ||||||||
| 6,050 | Celanese Corporation | 267,833 | ||||||
| 2,005 | FMC Corporation | 172,510 | ||||||
| 2,774 | Newmont Mining Corporation | 166,468 | ||||||
| 6,652 | Pan American Silver Corporation | 145,080 | ||||||
| 4,959 | Silver Wheaton Corporation | 143,613 | ||||||
| 3,075 | Walter Energy, Inc. | 186,222 | ||||||
|
| |||||||
| Total Materials | 1,081,726 | |||||||
|
| |||||||
| Telecommunications Services (2.3%) | ||||||||
| 2,952 | SBA Communications Corporationa | 126,818 | ||||||
| 13,537 | TW Telecom, Inc.a | 262,347 | ||||||
|
| |||||||
| Total Telecommunications Services | 389,165 | |||||||
|
| |||||||
Total Common Stock (cost $15,788,418) | 16,047,349 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Mid Cap Growth Portfolio II
Schedule of Investments as of December 31, 2011
| Shares | Collateral Held for Securities Loaned (0.1%) | Value | ||||||
| 17,250 | Thrivent Financial Securities Lending Trust | $ | 17,250 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $17,250) | 17,250 | |||||||
|
| |||||||
Total Investments (cost $15,805,668) 94.7% | $ | 16,064,599 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 5.3% | 907,248 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 16,971,847 | ||||||
|
| |||||||
| 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 | $ | 1,211,543 | ||
Gross unrealized depreciation | (952,612 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 258,931 | ||
Cost for federal income tax purposes | $ | 15,805,668 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 2,631,506 | 2,631,506 | — | — | ||||||||||||
Consumer Staples | 659,833 | 659,833 | — | — | ||||||||||||
Energy | 1,822,323 | 1,822,323 | — | — | ||||||||||||
Financials | 880,009 | 880,009 | — | — | ||||||||||||
Health Care | 1,410,276 | 1,410,276 | — | — | ||||||||||||
Industrials | 2,663,665 | 2,663,665 | — | — | ||||||||||||
Information Technology | 4,508,846 | 4,508,846 | — | — | ||||||||||||
Materials | 1,081,726 | 1,081,726 | — | — | ||||||||||||
Telecommunications Services | 389,165 | 389,165 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 17,250 | 17,250 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 16,064,599 | $ | 16,064,599 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 4,709,450 | $ | 44,655,730 | $ | 49,347,930 | 17,250 | $ | 17,250 | $ | 10,908 | |||||||||||||
Total Value and Income Earned | 4,709,450 | 17,250 | 10,908 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (95.3%) | Value | ||||||
| Consumer Discretionary (14.6%) | ||||||||
| 79,600 | Abercrombie & Fitch Company | $ | 3,887,664 | |||||
| 58,500 | Darden Restaurants, Inc. | 2,666,430 | ||||||
| 143,950 | Discovery Communications, Inc.a | 5,897,632 | ||||||
| 107,400 | Dollar Tree, Inc.a | 8,926,014 | ||||||
| 69,273 | Gentex Corporation | 2,049,788 | ||||||
| 120,100 | Limited Brands, Inc. | 4,846,035 | ||||||
| 65,300 | O'Reilly Automotive, Inc.a | 5,220,735 | ||||||
| 114,900 | PetSmart, Inc. | 5,893,221 | ||||||
| 65,000 | Tractor Supply Company | 4,559,750 | ||||||
| 28,700 | VF Corporation | 3,644,613 | ||||||
| 82,100 | Williams-Sonoma, Inc. | 3,160,850 | ||||||
|
| |||||||
| Total Consumer Discretionary | 50,752,732 | |||||||
|
| |||||||
| Consumer Staples (4.0%) | ||||||||
| 51,300 | Clorox Company | 3,414,528 | ||||||
| 74,700 | Corn Products International, Inc. | 3,928,473 | ||||||
| 96,570 | Whole Foods Market, Inc. | 6,719,341 | ||||||
|
| |||||||
| Total Consumer Staples | 14,062,342 | |||||||
|
| |||||||
| Energy (10.1%) | ||||||||
| 106,000 | Alpha Natural Resources, Inc.a | 2,165,580 | ||||||
| 41,500 | Cameron International Corporationa | 2,041,385 | ||||||
| 45,800 | Concho Resources, Inc.a | 4,293,750 | ||||||
| 121,500 | ENSCO International plc ADR | 5,700,780 | ||||||
| 299,403 | Helix Energy Solutions Group, Inc.a | 4,730,567 | ||||||
| 77,900 | Oil States International, Inc.a | 5,949,223 | ||||||
| 122,700 | Peabody Energy Corporation | 4,062,597 | ||||||
| 28,300 | Range Resources Corporation | 1,752,902 | ||||||
| 301,200 | Weatherford International, Ltd.a | 4,409,568 | ||||||
|
| |||||||
| Total Energy | 35,106,352 | |||||||
|
| |||||||
| Financials (5.4%) | ||||||||
| 54,800 | Affiliated Managers Group, Inc.a | 5,258,060 | ||||||
| 244,400 | Discover Financial Services | 5,865,600 | ||||||
| 32,850 | IntercontinentalExchange, Inc.a | 3,960,067 | ||||||
| 20,835 | MSCI, Inc.a | 686,097 | ||||||
| 199,500 | TD Ameritrade Holding Corporation | 3,122,175 | ||||||
|
| |||||||
| Total Financials | 18,891,999 | |||||||
|
| |||||||
| Health Care (9.7%) | ||||||||
| 69,600 | Alexion Pharmaceuticals, Inc.a | 4,976,400 | ||||||
| 117,400 | AmerisourceBergen Corporation | 4,366,106 | ||||||
| 31,500 | BioMarin Pharmaceutical, Inc.a | 1,082,970 | ||||||
| 38,675 | C.R. Bard, Inc. | 3,306,713 | ||||||
| 105,000 | CIGNA Corporation | 4,410,000 | ||||||
| 11,300 | Mettler-Toledo International, Inc.a | 1,669,123 | ||||||
| 39,500 | Onyx Pharmaceuticals, Inc.a | 1,736,025 | ||||||
| 36,600 | Shire Pharmaceuticals Group plc ADR | 3,802,740 | ||||||
| 50,719 | SXC Health Solutions Corporationa | 2,864,609 | ||||||
| 95,600 | Watson Pharmaceuticals, Inc.a | 5,768,504 | ||||||
|
| |||||||
| Total Health Care | 33,983,190 | |||||||
|
| |||||||
| Industrials (17.1%) | ||||||||
| 53,631 | AMETEK, Inc. | 2,257,865 | ||||||
| 194,400 | BE Aerospace, Inc.a | 7,525,224 | ||||||
| 32,700 | C.H. Robinson Worldwide, Inc. | 2,281,806 | ||||||
| 149,672 | Chicago Bridge and Iron Company | 5,657,602 | ||||||
| 35,352 | Flowserve Corporation | 3,511,161 | ||||||
| 71,100 | Jacobs Engineering Group, Inc.a | 2,885,238 | ||||||
| 148,000 | JB Hunt Transport Services, Inc. | 6,670,360 | ||||||
| 111,500 | Kansas City Southerna | 7,583,115 | ||||||
| 103,575 | Pentair, Inc. | 3,448,011 | ||||||
| 20,550 | Precision Castparts Corporation | 3,386,434 | ||||||
| 81,775 | Roper Industries, Inc. | 7,103,794 | ||||||
| 48,100 | SPX Corporation | 2,898,987 | ||||||
| 55,800 | Stericycle, Inc.a | 4,347,936 | ||||||
|
| |||||||
| Total Industrials | 59,557,533 | |||||||
|
| |||||||
| Information Technology (25.4%) | ||||||||
| 107,414 | Akamai Technologies, Inc.a | 3,467,324 | ||||||
| 37,800 | Altera Corporation | 1,402,380 | ||||||
| 99,900 | ANSYS, Inc.a | 5,722,272 | ||||||
| 416,900 | Atmel Corporationa | 3,376,890 | ||||||
| 132,900 | Broadcom Corporationa | 3,901,944 | ||||||
| 263,225 | Electronic Arts, Inc.a | 5,422,435 | ||||||
| 75,375 | F5 Networks, Inc.a | 7,998,795 | ||||||
| 106,900 | Fortinet, Inc.a | 2,331,489 | ||||||
| 86,500 | Lam Research Corporationa | 3,202,230 | ||||||
| 353,100 | Marvell Technology Group, Ltd.a | 4,890,435 | ||||||
| 48,200 | Mercadolibre, Inc. | 3,833,828 | ||||||
| 60,500 | Nice Systems, Ltd. ADRa | 2,084,225 | ||||||
| 245,900 | Nuance Communications, Inc.a | 6,186,844 | ||||||
| 373,925 | NVIDIA Corporationa | 5,182,601 | ||||||
| 91,200 | Red Hat, Inc.a | 3,765,648 | ||||||
| 140,300 | SuccessFactors, Inc.a | 5,593,761 | ||||||
| 180,350 | Symantec Corporationa | 2,822,477 | ||||||
| 175,400 | Teradata Corporationa | 8,508,654 | ||||||
| 144,500 | VeriFone Systems, Inc.a | 5,132,640 | ||||||
| 112,500 | Xilinx, Inc. | 3,606,750 | ||||||
|
| |||||||
| Total Information Technology | 88,433,622 | |||||||
|
| |||||||
| Materials (6.8%) | ||||||||
| 137,375 | Celanese Corporation | 6,081,591 | ||||||
| 42,500 | FMC Corporation | 3,656,700 | ||||||
| 64,200 | Newmont Mining Corporation | 3,852,642 | ||||||
| 137,600 | Pan American Silver Corporation | 3,001,056 | ||||||
| 108,100 | Silver Wheaton Corporation | 3,130,576 | ||||||
| 65,900 | Walter Energy, Inc. | 3,990,904 | ||||||
|
| |||||||
| Total Materials | 23,713,469 | |||||||
|
| |||||||
| Telecommunications Services (2.2%) | ||||||||
| 66,600 | SBA Communications Corporationa | 2,861,136 | ||||||
| 253,600 | TW Telecom, Inc.a | 4,914,768 | ||||||
|
| |||||||
| Total Telecommunications Services | 7,775,904 | |||||||
|
| |||||||
Total Common Stock (cost $288,642,956) | 332,277,143 | |||||||
|
| |||||||
Total Investments (cost $288,642,956) 95.3% | $ | 332,277,143 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 4.7% | 16,556,371 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 348,833,514 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
| 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 | $ | 51,868,118 | ||
Gross unrealized depreciation | (8,903,928 | ) | ||
Net unrealized appreciation (depreciation) | $ | 42,964,190 | ||
|
| |||
Cost for federal income tax purposes | $ | 289,312,953 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 50,752,732 | 50,752,732 | — | — | ||||||||||||
Consumer Staples | 14,062,342 | 14,062,342 | — | — | ||||||||||||
Energy | 35,106,352 | 35,106,352 | — | — | ||||||||||||
Financials | 18,891,999 | 18,891,999 | — | — | ||||||||||||
Health Care | 33,983,190 | 33,983,190 | — | — | ||||||||||||
Industrials | 59,557,533 | 59,557,533 | — | — | ||||||||||||
Information Technology | 88,433,622 | 88,433,622 | — | — | ||||||||||||
Materials | 23,713,469 | 23,713,469 | — | — | ||||||||||||
Telecommunications Services | 7,775,904 | 7,775,904 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 332,277,143 | $ | 332,277,143 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 9,754,800 | $ | 113,424,263 | $ | 123,179,063 | — | $ | — | $ | 22,570 | |||||||||||||
Total Value and Income Earned | 9,754,800 | — | 22,570 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
178
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (96.1%) | Value | ||||||
| Consumer Discretionary (12.2%) | ||||||||
| 77,745 | Lear Corporation | $ | 3,094,251 | |||||
| 52,794 | Liberty Global, Inc.a | 2,166,138 | ||||||
| 223,721 | Liberty Interactive Corporationa | 3,627,636 | ||||||
| 91,357 | Macy’s, Inc. | 2,939,868 | ||||||
| 2,777 | NVR, Inc.a | 1,905,022 | ||||||
| 33,492 | PetSmart, Inc. | 1,717,805 | ||||||
| 36,678 | PVH Corporation | 2,585,432 | ||||||
| 31,576 | Ross Stores, Inc. | 1,500,807 | ||||||
| 82,013 | Scripps Networks Interactive | 3,478,991 | ||||||
| 43,714 | Starwood Hotels & Resorts Worldwide, Inc. | 2,096,961 | ||||||
| 36,541 | TRW Automotive Holdings Corporationa | 1,191,237 | ||||||
|
| |||||||
| Total Consumer Discretionary | 26,304,148 | |||||||
|
| |||||||
| Consumer Staples (5.5%) | ||||||||
| 38,032 | Bunge, Ltd. | 2,175,430 | ||||||
| 42,837 | Coca-Cola Enterprises, Inc. | 1,104,338 | ||||||
| 18,559 | Corn Products International, Inc. | 976,018 | ||||||
| 22,253 | Energizer Holdings, Inc.a | 1,724,162 | ||||||
| 58,803 | J.M. Smucker Company | 4,596,631 | ||||||
| 64,308 | Sara Lee Corporation | 1,216,707 | ||||||
|
| |||||||
| Total Consumer Staples | 11,793,286 | |||||||
|
| |||||||
| Energy (5.6%) | ||||||||
| 51,903 | Cameron International Corporationa | 2,553,109 | ||||||
| 40,842 | Energen Corporation | 2,042,100 | ||||||
| 67,451 | EQT Corporation | 3,695,640 | ||||||
| 35,111 | Pioneer Natural Resources Company | 3,141,732 | ||||||
| 10,424 | Range Resources Corporation | 645,663 | ||||||
|
| |||||||
| Total Energy | 12,078,244 | |||||||
|
| |||||||
| Financials (29.5%) | ||||||||
| 28,985 | Alexandria Real Estate Equities, Inc. | 1,999,095 | ||||||
| 23,454 | AvalonBay Communities, Inc. | 3,063,092 | ||||||
| 25,282 | Camden Property Trust | 1,573,552 | ||||||
| 54,622 | CIT Group, Inc.a | 1,904,669 | ||||||
| 58,093 | Comerica, Inc. | 1,498,799 | ||||||
| 86,988 | Douglas Emmett, Inc. | 1,586,661 | ||||||
| 6,130 | Essex Property Trust, Inc. | 861,326 | ||||||
| 46,567 | Everest Re Group, Ltd. | 3,915,819 | ||||||
| 178,012 | Fifth Third Bancorp | 2,264,313 | ||||||
| 39,527 | First Republic Banka | 1,209,921 | ||||||
| 132,503 | Genworth Financial, Inc.a | 867,895 | ||||||
| 53,386 | Hartford Financial Services Group, Inc. | 867,523 | ||||||
| 214,152 | Host Hotels & Resorts, Inc. | 3,163,025 | ||||||
| 102,741 | Invesco, Ltd. | 2,064,067 | ||||||
| 127,862 | Kimco Realty Corporation | 2,076,479 | ||||||
| 35,722 | Lazard, Ltd. | 932,701 | ||||||
| 22,417 | Legg Mason, Inc. | 539,129 | ||||||
| 49,668 | Liberty Property Trustb | 1,533,748 | ||||||
| 33,885 | Lincoln National Corporationb | 658,047 | ||||||
| 24,504 | M&T Bank Corporation | 1,870,635 | ||||||
| 49,116 | Marsh & McLennan Companies, Inc. | 1,553,048 | ||||||
| 255,064 | MFA Financial, Inc. | 1,714,030 | ||||||
| 105,787 | NASDAQ OMX Group, Inc.a | 2,592,839 | ||||||
| 29,895 | PartnerRe, Ltd. | 1,919,558 | ||||||
| 152,331 | Principal Financial Group, Inc. | 3,747,343 | ||||||
| 237,937 | SLM Corporation | 3,188,356 | ||||||
| 102,976 | SunTrust Banks, Inc. | 1,822,675 | ||||||
| 65,576 | Tanger Factory Outlet Centers, Inc. | 1,922,688 | ||||||
| 29,981 | Taubman Centers, Inc. | 1,861,820 | ||||||
| 50,006 | Ventas, Inc. | 2,756,831 | ||||||
| 80,096 | W.R. Berkley Corporation | 2,754,501 | ||||||
| 24,921 | Willis Group Holdings plc | 966,935 | ||||||
| 127,311 | XL Group plc | 2,516,939 | ||||||
|
| |||||||
| Total Financials | 63,768,059 | |||||||
|
| |||||||
| Health Care (6.1%) | ||||||||
| 63,347 | Aetna, Inc. | 2,672,610 | ||||||
| 505,594 | Boston Scientific Corporationa | 2,699,872 | ||||||
| 107,761 | Hologic, Inc.a | 1,886,895 | ||||||
| 61,932 | Life Technologies Corporationa | 2,409,774 | ||||||
| 36,687 | Patterson Companies, Inc. | 1,083,000 | ||||||
| 155,447 | Warner Chilcott plca | 2,351,913 | ||||||
|
| |||||||
| Total Health Care | 13,104,064 | |||||||
|
| |||||||
| Industrials (9.6%) | ||||||||
| 58,936 | BE Aerospace, Inc.a | 2,281,413 | ||||||
| 13,691 | Chicago Bridge and Iron Company | 517,520 | ||||||
| 28,446 | Cooper Industries plc | 1,540,351 | ||||||
| 14,979 | Dover Corporation | 869,531 | ||||||
| 47,547 | Eaton Corporation | 2,069,721 | ||||||
| 6,558 | Gardner Denver, Inc. | 505,359 | ||||||
| 19,499 | Kansas City Southerna | 1,326,127 | ||||||
| 115,572 | Masco Corporation | 1,211,195 | ||||||
| 19,017 | Parker Hannifin Corporation | 1,450,046 | ||||||
| 44,517 | Pentair, Inc. | 1,481,971 | ||||||
| 60,001 | Republic Services, Inc. | 1,653,027 | ||||||
| 21,103 | Rockwell Automation, Inc. | 1,548,327 | ||||||
| 114,455 | Spirit Aerosystems Holdings, Inc.a | 2,378,375 | ||||||
| 95,960 | Textron, Inc. | 1,774,300 | ||||||
|
| |||||||
| Total Industrials | 20,607,263 | |||||||
|
| |||||||
| Information Technology (9.0%) | ||||||||
| 60,278 | Adobe Systems, Inc.a | 1,704,059 | ||||||
| 34,001 | Amphenol Corporation | 1,543,305 | ||||||
| 31,154 | BMC Software, Inc.a | 1,021,228 | ||||||
| 42,092 | Cavium, Inc.a | 1,196,676 | ||||||
| 46,333 | Electronic Arts, Inc.a | 954,460 | ||||||
| 58,215 | Juniper Networks, Inc.a | 1,188,168 | ||||||
| 73,812 | Maxim Integrated Products, Inc. | 1,922,065 | ||||||
| 53,896 | NetApp, Inc.a | 1,954,808 | ||||||
| 127,811 | NVIDIA Corporationa | 1,771,461 | ||||||
| 84,132 | Parametric Technology Corporationa | 1,536,250 | ||||||
| 92,911 | Polycom, Inc.a | 1,514,449 | ||||||
| 40,959 | QLIK Technologies, Inc.a | 991,208 | ||||||
| 66,036 | Xilinx, Inc. | 2,117,114 | ||||||
|
| |||||||
| Total Information Technology | 19,415,251 | |||||||
|
| |||||||
| Materials (3.5%) | ||||||||
| 43,175 | Albemarle Corporation | 2,223,944 | ||||||
| 22,152 | Allegheny Technologies, Inc. | 1,058,866 | ||||||
| 6,976 | CF Industries Holdings, Inc. | 1,011,381 | ||||||
| 119,333 | Chemtura Corporationa | 1,353,236 | ||||||
| 24,338 | Cytec Industries, Inc. | 1,086,692 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (96.1%) | Value | ||||||
| Materials (3.5%) - continued | ||||||||
| 16,970 | Reliance Steel & Aluminum Company | $ | 826,269 | |||||
|
| |||||||
| Total Materials | 7,560,388 | |||||||
|
| |||||||
| Telecommunications Services (0.7%) | ||||||||
| 666,141 | Sprint Nextel Corporationa | 1,558,770 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,558,770 | |||||||
|
| |||||||
| Utilities (14.4%) | ||||||||
| 91,589 | AES Corporationa | 1,084,414 | ||||||
| 78,045 | CMS Energy Corporation | 1,723,233 | ||||||
| 61,694 | Edison International, Inc. | 2,554,132 | ||||||
| 242,497 | GenOn Energy, Inc.a | 632,917 | ||||||
| 35,762 | Great Plains Energy, Inc. | 778,896 | ||||||
| 54,630 | Northeast Utilities | 1,970,504 | ||||||
| 151,071 | NV Energy, Inc. | 2,470,011 | ||||||
| 10,602 | OGE Energy Corporation | 601,239 | ||||||
| 44,660 | Pinnacle West Capital Corporation | 2,151,719 | ||||||
| 151,121 | PPL Corporation | 4,445,980 | ||||||
| 38,036 | Questar Corporation | 755,395 | ||||||
| 74,636 | SCANA Corporationb | 3,363,098 | ||||||
| 59,452 | Sempra Energy | 3,269,860 | ||||||
| 194,531 | Xcel Energy, Inc. | 5,376,837 | ||||||
|
| |||||||
| Total Utilities | 31,178,235 | |||||||
|
| |||||||
Total Common Stock (cost $196,873,971) | 207,367,708 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.7%) | ||||||||
| 3,702,175 | Thrivent Financial Securities Lending Trust | 3,702,175 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,702,175) | 3,702,175 | |||||||
|
| |||||||
Total Investments (cost $200,576,146) 97.8% | $ | 211,069,883 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 2.2% | 4,760,180 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 215,830,063 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 21,512,468 | ||
Gross unrealized depreciation | (11,733,835 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 9,778,633 | ||
Cost for federal income tax purposes | $ | 201,291,250 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 26,304,148 | 26,304,148 | — | — | ||||||||||||
Consumer Staples | 11,793,286 | 11,793,286 | — | — | ||||||||||||
Energy | 12,078,244 | 12,078,244 | — | — | ||||||||||||
Financials | 63,768,059 | 63,768,059 | — | — | ||||||||||||
Health Care | 13,104,064 | 13,104,064 | — | — | ||||||||||||
Industrials | 20,607,263 | 20,607,263 | — | — | ||||||||||||
Information Technology | 19,415,251 | 19,415,251 | — | — | ||||||||||||
Materials | 7,560,388 | 7,560,388 | — | — | ||||||||||||
Telecommunications Services | 1,558,770 | 1,558,770 | — | — | ||||||||||||
Utilities | 31,178,235 | 31,178,235 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,702,175 | 3,702,175 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 211,069,883 | $ | 211,069,883 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 6,220,480 | $ | 76,344,109 | $ | 78,862,414 | 3,702,175 | $ | 3,702,175 | $ | 21,863 | |||||||||||||
Total Value and Income Earned | 6,220,480 | 3,702,175 | 21,863 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (94.9%) | Value | ||||||
| Consumer Discretionary (11.0%) | ||||||||
| 137,714 | Autoliv, Inc.a | $ | 7,366,322 | |||||
| 130,300 | Charter Communications, Inc.b | 7,419,282 | ||||||
| 82,836 | Dollar Tree, Inc.b | 6,884,500 | ||||||
| 158,200 | Omnicom Group, Inc. | 7,052,556 | ||||||
| 49,455 | Panera Bread Companyb | 6,995,410 | ||||||
| 222,600 | Williams-Sonoma, Inc. | 8,570,100 | ||||||
| 285,978 | WMS Industries, Inc.b | 5,868,268 | ||||||
|
| |||||||
| Total Consumer Discretionary | 50,156,438 | |||||||
|
| |||||||
| Consumer Staples (3.7%) | ||||||||
| 134,300 | Corn Products International, Inc. | 7,062,837 | ||||||
| 147,512 | TreeHouse Foods, Inc.b | 9,644,335 | ||||||
|
| |||||||
| Total Consumer Staples | 16,707,172 | |||||||
|
| |||||||
| Energy (9.8%) | ||||||||
| 322,592 | Alpha Natural Resources, Inc.b | 6,590,554 | ||||||
| 133,200 | ENSCO International plc ADR | 6,249,744 | ||||||
| 419,000 | Helix Energy Solutions Group, Inc.b | 6,620,200 | ||||||
| 130,206 | National Oilwell Varco, Inc. | 8,852,706 | ||||||
| 117,800 | Newfield Exploration Companyb | 4,444,594 | ||||||
| 166,600 | Southwestern Energy Companyb | 5,321,204 | ||||||
| 460,600 | Weatherford International, Ltd.b | 6,743,184 | ||||||
|
| |||||||
| Total Energy | 44,822,186 | |||||||
|
| |||||||
| Financials (18.6%) | ||||||||
| 242,700 | CBL & Associates Properties, Inc.a | 3,810,390 | ||||||
| 396,373 | Duke Realty Corporation | 4,776,295 | ||||||
| 146,571 | Endurance Specialty Holdings, Ltd. | 5,606,341 | ||||||
| 340,735 | Equity One, Inc. | 5,785,680 | ||||||
| 351,320 | HCC Insurance Holdings, Inc. | 9,661,300 | ||||||
| 495,948 | Host Hotels & Resorts, Inc. | 7,325,152 | ||||||
| 35,849 | IntercontinentalExchange, Inc.b | 4,321,597 | ||||||
| 183,224 | Lazard, Ltd. | 4,783,979 | ||||||
| 122,600 | M&T Bank Corporation | 9,359,284 | ||||||
| 272,900 | NASDAQ OMX Group, Inc.b | 6,688,779 | ||||||
| 149,633 | Northern Trust Corporation | 5,934,445 | ||||||
| 334,760 | W.R. Berkley Corporation | 11,512,396 | ||||||
| 348,372 | Zions Bancorporation | 5,671,496 | ||||||
|
| |||||||
| Total Financials | 85,237,134 | |||||||
|
| |||||||
| Health Care (12.4%) | ||||||||
| 64,000 | Alexion Pharmaceuticals, Inc.b | 4,576,000 | ||||||
| 83,182 | C.R. Bard, Inc. | 7,112,061 | ||||||
| 101,500 | Covance, Inc.b | 4,640,580 | ||||||
| 180,591 | Coventry Health Care, Inc.b | 5,484,548 | ||||||
| 209,331 | Health Net, Inc.b | 6,367,849 | ||||||
| 225,700 | Thoratec Corporationb | 7,574,492 | ||||||
| 120,000 | United Therapeutics Corporationb | 5,670,000 | ||||||
| 80,014 | Varian Medical Systems, Inc.b | 5,371,340 | ||||||
| 68,000 | Waters Corporationb | 5,035,400 | ||||||
| 89,869 | Zimmer Holdings, Inc.b | 4,800,802 | ||||||
|
| |||||||
| Total Health Care | 56,633,072 | |||||||
|
| |||||||
| Industrials (13.7%) | ||||||||
| 159,382 | Chicago Bridge and Iron Company | 6,024,640 | ||||||
| 218,293 | CSX Corporation | 4,597,251 | ||||||
| 128,148 | Expeditors International of Washington, Inc. | 5,248,942 | ||||||
| 160,700 | FTI Consulting, Inc.a,b | 6,816,894 | ||||||
| 694,086 | Manitowoc Company, Inc. | 6,378,650 | ||||||
| 99,608 | Manpower, Inc. | 3,560,986 | ||||||
| 291,834 | Oshkosh Corporationb | 6,239,411 | ||||||
| 81,282 | Parker Hannifin Corporation | 6,197,752 | ||||||
| 174,700 | Republic Services, Inc. | 4,812,985 | ||||||
| 97,532 | SPX Corporation | 5,878,254 | ||||||
| 146,788 | Tyco International, Ltd. | 6,856,467 | ||||||
|
| |||||||
| Total Industrials | 62,612,232 | |||||||
|
| |||||||
| Information Technology (17.0%) | ||||||||
| 116,500 | Alliance Data Systems Corporationa,b | 12,097,360 | ||||||
| 205,804 | eBay, Inc.b | 6,242,035 | ||||||
| 160,152 | Itron, Inc.b | 5,728,637 | ||||||
| 294,532 | Juniper Networks, Inc.b | 6,011,398 | ||||||
| 22,082 | Lam Research Corporationb | 817,476 | ||||||
| 484,166 | NVIDIA Corporationb | 6,710,541 | ||||||
| 835,746 | Teradyne, Inc.b | 11,391,218 | ||||||
| 381,900 | TIBCO Software, Inc.b | 9,131,229 | ||||||
| 311,165 | ValueClick, Inc.b | 5,068,878 | ||||||
| 162,700 | VeriFone Systems, Inc.b | 5,779,104 | ||||||
| 269,791 | Xilinx, Inc. | 8,649,499 | ||||||
|
| |||||||
| Total Information Technology | 77,627,375 | |||||||
|
| |||||||
| Materials (4.3%) | ||||||||
| 125,117 | Albemarle Corporation | 6,444,777 | ||||||
| 168,624 | Silgan Holdings, Inc. | 6,515,631 | ||||||
| 498,800 | Steel Dynamics, Inc. | 6,559,220 | ||||||
|
| |||||||
| Total Materials | 19,519,628 | |||||||
|
| |||||||
| Utilities (4.4%) | ||||||||
| 318,500 | CMS Energy Corporation | 7,032,480 | ||||||
| 431,278 | NV Energy, Inc. | 7,051,395 | ||||||
| 205,766 | UGI Corporation | 6,049,521 | ||||||
|
| |||||||
| Total Utilities | 20,133,396 | |||||||
|
| |||||||
Total Common Stock (cost $383,554,658) | 433,448,633 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (2.1%) | ||||||||
| 9,724,975 | Thrivent Financial Securities Lending Trust | 9,724,975 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $9,724,975) | 9,724,975 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (3.3%)c | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 5,000,000 | 0.015%, 1/20/2012d | 4,999,960 | ||||||
| 10,000,000 | 0.010%, 2/22/2012d | 9,999,856 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 14,999,816 | |||||||
|
| |||||||
| Total Investments (cost $408,279,449) 100.3% | $ | 458,173,424 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.3%) | (1,148,006 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 457,025,418 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Mid Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
| 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 | $ | 68,829,247 | ||
Gross unrealized depreciation | (21,142,117 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 47,687,130 | ||
Cost for federal income tax purposes | $ | 410,486,294 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 50,156,438 | 50,156,438 | — | — | ||||||||||||
Consumer Staples | 16,707,172 | 16,707,172 | — | — | ||||||||||||
Energy | 44,822,186 | 44,822,186 | — | — | ||||||||||||
Financials | 85,237,134 | 85,237,134 | — | — | ||||||||||||
Health Care | 56,633,072 | 56,633,072 | — | — | ||||||||||||
Industrials | 62,612,232 | 62,612,232 | — | — | ||||||||||||
Information Technology | 77,627,375 | 77,627,375 | — | — | ||||||||||||
Materials | 19,519,628 | 19,519,628 | — | — | ||||||||||||
Utilities | 20,133,396 | 20,133,396 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 9,724,975 | 9,724,975 | — | — | ||||||||||||
Short-Term Investments | 14,999,816 | — | 14,999,816 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 458,173,424 | $ | 443,173,608 | $ | 14,999,816 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 33,032,547 | $ | 207,756,708 | $ | 231,064,280 | 9,724,975 | $ | 9,724,975 | $ | 34,110 | |||||||||||||
Total Value and Income Earned | 33,032,547 | 9,724,975 | 34,110 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.0%) | Value | ||||||
| Consumer Discretionary (12.6%) | ||||||||
| 3,433 | 99 Cents Only Storesa | $ | 75,354 | |||||
| 5,500 | Aaron’s, Inc. | 146,740 | ||||||
| 5,200 | Advance Auto Parts, Inc. | 362,076 | ||||||
| 5,850 | Aeropostale, Inc.a | 89,213 | ||||||
| 4,100 | AMC Networks, Inc.a | 154,078 | ||||||
| 13,980 | American Eagle Outfitters, Inc. | 213,754 | ||||||
| 2,900 | American Greetings Corporation | 36,279 | ||||||
| 3,750 | Ann, Inc.a | 92,925 | ||||||
| 4,900 | Ascena Retail Group, Inc.a | 145,628 | ||||||
| 3,100 | Bally Technologies, Inc.a,b | 122,636 | ||||||
| 2,970 | Barnes & Noble, Inc.a,b | 43,006 | ||||||
| 2,110 | Bob Evans Farms, Inc. | 70,769 | ||||||
| 5,755 | Brinker International, Inc. | 154,004 | ||||||
| 3,900 | Cheesecake Factory, Inc.a | 114,465 | ||||||
| 12,100 | Chico’s FAS, Inc. | 134,794 | ||||||
| 4,400 | Collective Brands, Inc.a | 63,228 | ||||||
| 2,800 | Deckers Outdoor Corporationa | 211,596 | ||||||
| 7,000 | Dick’s Sporting Goods, Inc. | 258,160 | ||||||
| 5,100 | DreamWorks Animation SKG, Inc.a | 84,634 | ||||||
| 11,000 | Foot Locker, Inc. | 262,240 | ||||||
| 3,800 | Fossil, Inc.a | 301,568 | ||||||
| 10,320 | Gentex Corporation | 305,369 | ||||||
| 4,800 | Guess ?, Inc. | 143,136 | ||||||
| 7,000 | Hanesbrands, Inc.a | 153,020 | ||||||
| 2,900 | HSN, Inc. | 105,154 | ||||||
| 2,070 | International Speedway Corporation | 52,474 | ||||||
| 1,400 | ITT Educational Services, Inc.a,b | 79,646 | ||||||
| 3,500 | John Wiley and Sons, Inc. | 155,400 | ||||||
| 5,100 | KB Homeb | 34,272 | ||||||
| 4,200 | Lamar Advertising Companya | 115,500 | ||||||
| 3,100 | Life Time Fitness, Inc.a | 144,925 | ||||||
| 10,600 | LKQ Corporationa | 318,848 | ||||||
| 2,700 | M.D.C. Holdings, Inc. | 47,601 | ||||||
| 2,100 | Matthews International Corporation | 66,003 | ||||||
| 2,700 | Meredith Corporationb | 88,155 | ||||||
| 4,170 | Mohawk Industries, Inc.a | 249,574 | ||||||
| 8,700 | New York Times Companya,b | 67,251 | ||||||
| 400 | NVR, Inc.a | 274,400 | ||||||
| 20,200 | Office Depot, Inc.a | 43,430 | ||||||
| 2,100 | Panera Bread Companya | 297,045 | ||||||
| 8,000 | PetSmart, Inc. | 410,320 | ||||||
| 5,000 | Polaris Industries, Inc. | 279,900 | ||||||
| 4,900 | PVH Corporation | 345,401 | ||||||
| 7,200 | RadioShack Corporation | 69,912 | ||||||
| 4,200 | Regis Corporation | 69,510 | ||||||
| 4,200 | Rent-A-Center, Inc. | 155,400 | ||||||
| 11,550 | Saks, Inc.a,b | 112,613 | ||||||
| 1,810 | Scholastic Corporation | 54,246 | ||||||
| 4,100 | Scientific Games Corporationa | 39,770 | ||||||
| 16,500 | Service Corporation International | 175,725 | ||||||
| 6,300 | Signet Jewelers, Ltd. | 276,948 | ||||||
| 4,920 | Sotheby’s Holdings, Inc. | 140,368 | ||||||
| 800 | Strayer Education, Inc. | 77,752 | ||||||
| 3,200 | Thor Industries, Inc. | 87,776 | ||||||
| 10,600 | Toll Brothers, Inc.a | 216,452 | ||||||
| 5,100 | Tractor Supply Company | 357,765 | ||||||
| 4,100 | Tupperware Brands Corporation | 229,477 | ||||||
| 2,600 | Under Armour, Inc.a | 186,654 | ||||||
| 3,200 | Valassis Communications, Inc.a | 61,536 | ||||||
| 2,900 | Warnaco Group, Inc.a | 145,116 | ||||||
| 21,314 | Wendy’s Company | 114,243 | ||||||
| 7,480 | Williams-Sonoma, Inc. | 287,980 | ||||||
| 4,000 | WMS Industries, Inc.a | 82,080 | ||||||
|
| |||||||
| Total Consumer Discretionary | 9,855,294 | |||||||
|
| |||||||
| Consumer Staples (4.1%) | ||||||||
| 10,320 | Church & Dwight Company, Inc. | 472,243 | ||||||
| 5,500 | Corn Products International, Inc. | 289,245 | ||||||
| 4,850 | Energizer Holdings, Inc.a | 375,778 | ||||||
| 8,150 | Flowers Foods, Inc. | 154,687 | ||||||
| 9,400 | Green Mountain Coffee Roasters, Inc.a,b | 421,590 | ||||||
| 5,500 | Hansen Natural Corporationa | 506,770 | ||||||
| 1,440 | Lancaster Colony Corporation | 99,850 | ||||||
| 4,000 | Ralcorp Holdings, Inc.a | 342,000 | ||||||
| 3,510 | Ruddick Corporation | 149,667 | ||||||
| 11,800 | Smithfield Foods, Inc.a | 286,504 | ||||||
| 1,857 | Tootsie Roll Industries, Inc. | 43,955 | ||||||
| 1,640 | Universal Corporation | 75,374 | ||||||
|
| |||||||
| Total Consumer Staples | 3,217,663 | |||||||
|
| |||||||
| Energy (6.7%) | ||||||||
| 15,300 | Arch Coal, Inc. | 222,003 | ||||||
| 4,100 | Atwood Oceanics, Inc.a | 163,139 | ||||||
| 3,400 | Bill Barrett Corporationa | 115,838 | ||||||
| 1,400 | Carbo Ceramics, Inc. | 172,662 | ||||||
| 6,200 | Cimarex Energy Company | 383,780 | ||||||
| 3,400 | Comstock Resources, Inc.a | 52,020 | ||||||
| 5,400 | Dresser-Rand Group, Inc.a | 269,514 | ||||||
| 2,500 | Dril-Quip, Inc.a | 164,550 | ||||||
| 5,200 | Energen Corporation | 260,000 | ||||||
| 8,000 | Forest Oil Corporationa | 108,400 | ||||||
| 7,600 | Helix Energy Solutions Group, Inc.a | 120,080 | ||||||
| 14,990 | HollyFrontier Corporation | 350,766 | ||||||
| 4,600 | Northern Oil and Gas, Inc.a | 110,308 | ||||||
| 7,800 | Oceaneering International, Inc. | 359,814 | ||||||
| 3,700 | Oil States International, Inc.a | 282,569 | ||||||
| 6,600 | Patriot Coal Corporationa | 55,902 | ||||||
| 11,100 | Patterson-UTI Energy, Inc. | 221,778 | ||||||
| 10,139 | Plains Exploration & Production Companya | 372,304 | ||||||
| 8,600 | Quicksilver Resources, Inc.a,b | 57,706 | ||||||
| 4,600 | SM Energy Company | 336,260 | ||||||
| 9,000 | Southern Union Company | 378,990 | ||||||
| 5,800 | Superior Energy Services, Inc.a | 164,952 | ||||||
| 3,700 | Tidewater, Inc. | 182,410 | ||||||
| 3,000 | Unit Corporationa | 139,200 | ||||||
| 5,100 | World Fuel Services Corporation | 214,098 | ||||||
|
| |||||||
| Total Energy | 5,259,043 | |||||||
|
| |||||||
| Financials (20.0%) | ||||||||
| 3,800 | Affiliated Managers Group, Inc.a | 364,610 | ||||||
| 4,500 | Alexandria Real Estate Equities, Inc. | 310,365 | ||||||
| 5,100 | American Campus Communities, Inc. | 213,996 | ||||||
| 5,635 | American Financial Group, Inc. | 207,875 | ||||||
| 14,300 | Apollo Investment Corporation | 92,092 | ||||||
| 8,200 | Arthur J. Gallagher & Company | 274,208 | ||||||
| 5,100 | Aspen Insurance Holdings, Ltd. | 135,150 | ||||||
| 12,493 | Associated Banc-Corp | 139,547 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.0%) | Value | ||||||
| Financials (20.0%) - continued | ||||||||
| 5,970 | Astoria Financial Corporation | $ | 50,685 | |||||
| 5,300 | BancorpSouth, Inc. | 58,406 | ||||||
| 3,400 | Bank of Hawaii Corporation | 151,266 | ||||||
| 5,400 | BRE Properties, Inc. | 272,592 | ||||||
| 8,400 | Brown & Brown, Inc. | 190,092 | ||||||
| 5,100 | Camden Property Trust | 317,424 | ||||||
| 5,600 | Cathay General Bancorp | 83,608 | ||||||
| 3,420 | City National Corporation | 151,096 | ||||||
| 5,769 | Commerce Bancshares, Inc. | 219,914 | ||||||
| 5,200 | Corporate Office Properties Trust | 110,552 | ||||||
| 4,400 | Cullen/Frost Bankers, Inc. | 232,804 | ||||||
| 18,200 | Duke Realty Corporation | 219,310 | ||||||
| 10,700 | East West Bancorp, Inc. | 211,325 | ||||||
| 8,300 | Eaton Vance Corporation | 196,212 | ||||||
| 4,300 | Equity One, Inc. | 73,014 | ||||||
| 2,500 | Essex Property Trust, Inc. | 351,275 | ||||||
| 3,910 | Everest Re Group, Ltd. | 328,792 | ||||||
| 4,600 | Federal Realty Investment Trust | 417,450 | ||||||
| 15,805 | Fidelity National Financial, Inc. | 251,774 | ||||||
| 7,700 | First American Financial Corporation | 97,559 | ||||||
| 25,000 | First Niagara Financial Group, Inc. | 215,750 | ||||||
| 7,898 | FirstMerit Corporation | 119,497 | ||||||
| 14,500 | Fulton Financial Corporation | 142,245 | ||||||
| 2,100 | Greenhill & Company, Inc. | 76,377 | ||||||
| 6,100 | Hancock Holding Company | 195,017 | ||||||
| 3,270 | Hanover Insurance Group, Inc. | 114,286 | ||||||
| 8,250 | HCC Insurance Holdings, Inc. | 226,875 | ||||||
| 5,200 | Highwoods Properties, Inc. | 154,284 | ||||||
| 3,500 | Home Properties, Inc. | 201,495 | ||||||
| 8,900 | Hospitality Properties Trust | 204,522 | ||||||
| 3,800 | International Bancshares Corporation | 69,673 | ||||||
| 13,500 | Janus Capital Group, Inc. | 85,185 | ||||||
| 10,500 | Jefferies Group, Inc.b | 144,375 | ||||||
| 3,100 | Jones Lang LaSalle, Inc. | 189,906 | ||||||
| 3,700 | Kemper Corporation | 108,077 | ||||||
| 8,400 | Liberty Property Trustb | 259,392 | ||||||
| 9,468 | Macerich Company | 479,081 | ||||||
| 6,300 | Mack-Cali Realty Corporation | 168,147 | ||||||
| 2,600 | Mercury General Corporation | 118,612 | ||||||
| 8,700 | MSCI, Inc.a | 286,491 | ||||||
| 7,500 | National Retail Properties, Inc. | 197,850 | ||||||
| 31,411 | New York Community Bancorp, Inc. | 388,554 | ||||||
| 18,450 | Old Republic International Corporation | 171,031 | ||||||
| 7,400 | Omega Healthcare Investors, Inc. | 143,190 | ||||||
| 2,907 | Potlatch Corporation | 90,437 | ||||||
| 3,400 | Prosperity Bancshares, Inc. | 137,190 | ||||||
| 5,970 | Protective Life Corporation | 134,683 | ||||||
| 7,425 | Raymond James Financial, Inc. | 229,878 | ||||||
| 8,712 | Rayonier, Inc. REIT | 388,817 | ||||||
| 9,600 | Realty Income Corporationb | 335,616 | ||||||
| 6,500 | Regency Centers Corporation | 244,530 | ||||||
| 5,300 | Reinsurance Group of America, Inc. | 276,925 | ||||||
| 10,640 | SEI Investments Company | 184,604 | ||||||
| 11,800 | Senior Housing Property Trust | 264,792 | ||||||
| 3,300 | Signature Banka | 197,967 | ||||||
| 6,200 | SL Green Realty Corporation | 413,168 | ||||||
| 3,200 | StanCorp Financial Group, Inc. | 117,600 | ||||||
| 3,130 | SVB Financial Groupa | 149,270 | ||||||
| 56,600 | Synovus Financial Corporation | 79,806 | ||||||
| 4,200 | Taubman Centers, Inc. | 260,820 | ||||||
| 11,320 | TCF Financial Corporation | 116,822 | ||||||
| 4,100 | Transatlantic Holdings, Inc. | 224,393 | ||||||
| 4,700 | Trustmark Corporationb | 114,163 | ||||||
| 15,703 | UDR, Inc. | 394,145 | ||||||
| 14,104 | Valley National Bancorpb | 174,466 | ||||||
| 7,975 | W.R. Berkley Corporation | 274,260 | ||||||
| 6,140 | Waddell & Reed Financial, Inc. | 152,088 | ||||||
| 7,727 | Washington Federal, Inc. | 108,101 | ||||||
| 5,330 | Webster Financial Corporation | 108,679 | ||||||
| 8,700 | Weingarten Realty Investors | 189,834 | ||||||
| 2,120 | Westamerica Bancorporation | 93,068 | ||||||
|
| |||||||
| Total Financials | 15,639,027 | |||||||
|
| |||||||
| Health Care (9.8%) | ||||||||
| 13,700 | Allscripts Healthcare Solutions, Inc.a | 259,478 | ||||||
| 3,500 | AMERIGROUP Corporationa | 206,780 | ||||||
| 1,400 | Bio-Rad Laboratories, Inc.a | 134,456 | ||||||
| 3,600 | Catalyst Health Solutions, Inc.a | 187,200 | ||||||
| 3,600 | Charles River Laboratories International, Inc.a | 98,388 | ||||||
| 6,500 | Community Health Systems, Inc.a | 113,425 | ||||||
| 3,400 | Cooper Companies, Inc. | 239,768 | ||||||
| 4,410 | Covance, Inc.a | 201,625 | ||||||
| 8,400 | Endo Pharmaceutical Holdings, Inc.a | 290,052 | ||||||
| 3,400 | Gen-Probe, Inc.a | 201,008 | ||||||
| 18,200 | Health Management Associates, Inc.a | 134,134 | ||||||
| 5,980 | Health Net, Inc.a | 181,912 | ||||||
| 6,500 | Henry Schein, Inc.a | 418,795 | ||||||
| 4,450 | Hill-Rom Holdings, Inc. | 149,920 | ||||||
| 6,100 | HMS Holdings Corporationa | 195,078 | ||||||
| 19,000 | Hologic, Inc.a | 332,690 | ||||||
| 4,100 | IDEXX Laboratories, Inc.a | 315,536 | ||||||
| 3,500 | LifePoint Hospitals, Inc.a | 130,025 | ||||||
| 6,430 | Lincare Holdings, Inc. | 165,315 | ||||||
| 4,400 | Masimo Corporationa | 82,214 | ||||||
| 4,600 | Medicis Pharmaceutical Corporation | 152,950 | ||||||
| 3,500 | Mednax, Inc.a | 252,035 | ||||||
| 2,300 | Mettler-Toledo International, Inc.a | 339,733 | ||||||
| 8,220 | Omnicare, Inc.b | 283,179 | ||||||
| 4,550 | Owens & Minor, Inc. | 126,445 | ||||||
| 5,500 | Regeneron Pharmaceuticals, Inc.a | 304,865 | ||||||
| 10,600 | ResMed, Inc.a | 269,240 | ||||||
| 4,200 | STERIS Corporation | 125,244 | ||||||
| 2,700 | Techne Corporation | 184,302 | ||||||
| 2,940 | Teleflex, Inc. | 180,193 | ||||||
| 4,300 | Thoratec Corporationa | 144,308 | ||||||
| 3,800 | United Therapeutics Corporationa | 179,550 | ||||||
| 6,900 | Universal Health Services, Inc. | 268,134 | ||||||
| 6,300 | VCA Antech, Inc.a | 124,425 | ||||||
| 15,020 | Vertex Pharmaceuticals, Inc.a | 498,814 | ||||||
| 3,100 | Wellcare Health Plans, Inc.a | 162,750 | ||||||
|
| |||||||
| Total Health Care | 7,633,966 | |||||||
|
| |||||||
| Industrials (16.1%) | ||||||||
| 3,000 | Acuity Brands, Inc. | 159,000 | ||||||
| 8,300 | Aecom Technology Corporationa | 170,731 | ||||||
| 7,030 | AGCO Corporationa | 302,079 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.0%) | Value | ||||||
| Industrials (16.1%) - continued | ||||||||
| 2,540 | Alaska Air Group, Inc.a | $ | 190,729 | |||||
| 3,060 | Alexander & Baldwin, Inc. | 124,909 | ||||||
| 2,400 | Alliant Techsystems, Inc. | 137,184 | ||||||
| 11,555 | AMETEK, Inc. | 486,466 | ||||||
| 7,400 | BE Aerospace, Inc.a | 286,454 | ||||||
| 3,360 | Brink’s Company | 90,317 | ||||||
| 4,440 | Carlisle Companies, Inc. | 196,692 | ||||||
| 3,600 | CLARCOR, Inc. | 179,964 | ||||||
| 3,400 | Clean Harbors, Inc.a | 216,682 | ||||||
| 4,030 | Con-way, Inc. | 117,515 | ||||||
| 3,800 | Copart, Inc.a | 181,982 | ||||||
| 2,400 | Corporate Executive Board Company | 91,440 | ||||||
| 7,200 | Corrections Corporation of Americaa | 146,664 | ||||||
| 3,500 | Crane Company | 163,485 | ||||||
| 3,600 | Deluxe Corporation | 81,936 | ||||||
| 5,400 | Donaldson Company, Inc. | 367,632 | ||||||
| 2,200 | Esterline Technologies Corporationa | 123,134 | ||||||
| 13,300 | Exelis, Inc. | 120,365 | ||||||
| 11,200 | Fortune Brands Home and Security, Inc.a | 190,736 | ||||||
| 2,900 | FTI Consulting, Inc.a | 123,018 | ||||||
| 3,700 | Gardner Denver, Inc. | 285,122 | ||||||
| 3,320 | GATX Corporation | 144,951 | ||||||
| 3,800 | General Cable Corporationa | 95,038 | ||||||
| 4,300 | Graco, Inc. | 175,827 | ||||||
| 2,560 | Granite Construction, Inc. | 60,723 | ||||||
| 5,800 | Harsco Corporation | 119,364 | ||||||
| 4,190 | Herman Miller, Inc. | 77,305 | ||||||
| 3,230 | HNI Corporationb | 84,303 | ||||||
| 4,230 | Hubbell, Inc. | 282,818 | ||||||
| 3,501 | Huntington Ingalls Industries, Inc.a | 109,511 | ||||||
| 6,000 | IDEX Corporation | 222,660 | ||||||
| 6,700 | ITT Corporation | 129,511 | ||||||
| 6,440 | JB Hunt Transport Services, Inc. | 290,251 | ||||||
| 14,675 | JetBlue Airways Corporationa | 76,310 | ||||||
| 7,900 | Kansas City Southerna | 537,279 | ||||||
| 10,800 | KBR, Inc. | 300,996 | ||||||
| 5,740 | Kennametal, Inc. | 209,625 | ||||||
| 4,000 | Kirby Corporationa | 263,360 | ||||||
| 3,440 | Korn/Ferry Internationala | 58,686 | ||||||
| 3,400 | Landstar System, Inc. | 162,928 | ||||||
| 3,700 | Lennox International, Inc. | 124,875 | ||||||
| 6,100 | Lincoln Electric Holdings, Inc. | 238,632 | ||||||
| 5,870 | Manpower, Inc. | 209,853 | ||||||
| 2,200 | Mine Safety Appliances Company | 72,864 | ||||||
| 3,300 | MSC Industrial Direct Company, Inc. | 236,115 | ||||||
| 4,280 | Nordson Corporation | 176,250 | ||||||
| 6,600 | Oshkosh Corporationa | 141,108 | ||||||
| 7,160 | Pentair, Inc. | 238,356 | ||||||
| 3,000 | Regal-Beloit Corporation | 152,910 | ||||||
| 4,722 | Rollins, Inc. | 104,923 | ||||||
| 4,700 | Shaw Group, Inc.a | 126,430 | ||||||
| 3,660 | SPX Corporation | 220,588 | ||||||
| 7,900 | Terex Corporationa | 106,729 | ||||||
| 3,800 | Thomas & Betts Corporationa | 207,480 | ||||||
| 6,100 | Timken Company | 236,131 | ||||||
| 3,700 | Towers Watson & Company | 221,741 | ||||||
| 5,795 | Trinity Industries, Inc. | 174,198 | ||||||
| 3,100 | Triumph Group, Inc. | 181,195 | ||||||
| 4,498 | United Rentals, Inc.a,b | 132,916 | ||||||
| 5,800 | URS Corporationa | 203,696 | ||||||
| 7,500 | UTI Worldwide, Inc. | 99,675 | ||||||
| 1,600 | Valmont Industries, Inc. | 145,264 | ||||||
| 3,500 | Wabtec Corporation | 244,825 | ||||||
| 8,000 | Waste Connections, Inc. | 265,120 | ||||||
| 2,100 | Watsco, Inc. | 137,886 | ||||||
| 3,200 | Werner Enterprises, Inc. | 77,120 | ||||||
| 4,300 | Woodward, Inc. | 175,999 | ||||||
|
| |||||||
Total Industrials | 12,588,561 | |||||||
|
| |||||||
| Information Technology (14.9%) | ||||||||
| 2,420 | ACI Worldwide, Inc.a | 69,309 | ||||||
| 5,690 | Acxiom Corporationa | 69,475 | ||||||
| 4,580 | ADTRAN, Inc. | 138,133 | ||||||
| 2,300 | Advent Software, Inc.a | 56,028 | ||||||
| 3,600 | Alliance Data Systems Corporationa,b | 373,824 | ||||||
| 6,700 | ANSYS, Inc.a | 383,776 | ||||||
| 7,000 | AOL, Inc.a | 105,700 | ||||||
| 8,070 | Arrow Electronics, Inc.a | 301,899 | ||||||
| 33,420 | Atmel Corporationa | 270,702 | ||||||
| 10,720 | Avnet, Inc.a | 333,285 | ||||||
| 9,000 | Broadridge Financial Solutions, Inc. | 202,950 | ||||||
| 19,580 | Cadence Design Systems, Inc.a | 203,632 | ||||||
| 6,900 | Ciena Corporationa | 83,490 | ||||||
| 16,600 | Compuware Corporationa | 138,112 | ||||||
| 3,400 | Concur Technologies, Inc.a | 172,686 | ||||||
| 8,700 | Convergys Corporationa | 111,099 | ||||||
| 7,700 | CoreLogic, Inc.a | 99,561 | ||||||
| 8,300 | Cree, Inc.a,b | 182,932 | ||||||
| 11,200 | Cypress Semiconductor Corporationa | 189,168 | ||||||
| 4,530 | Diebold, Inc. | 136,217 | ||||||
| 2,410 | DST Systems, Inc. | 109,703 | ||||||
| 3,400 | Equinix, Inc.a | 344,760 | ||||||
| 3,300 | FactSet Research Systems, Inc. | 288,024 | ||||||
| 2,550 | Fair Isaac Corporation | 91,392 | ||||||
| 9,100 | Fairchild Semiconductor International, Inc.a | 109,564 | ||||||
| 6,800 | Gartner, Inc.a | 236,436 | ||||||
| 5,600 | Global Payments, Inc. | 265,328 | ||||||
| 7,700 | Informatica Corporationa | 284,361 | ||||||
| 11,100 | Ingram Micro, Inc.a | 201,909 | ||||||
| 10,350 | Integrated Device Technology, Inc.a | 56,511 | ||||||
| 4,950 | International Rectifier Corporationa | 96,129 | ||||||
| 9,100 | Intersil Corporation | 95,004 | ||||||
| 2,900 | Itron, Inc.a | 103,733 | ||||||
| 6,260 | Jack Henry & Associates, Inc. | 210,398 | ||||||
| 8,600 | Lam Research Corporationa | 318,372 | ||||||
| 6,100 | Lender Processing Services, Inc. | 91,927 | ||||||
| 1,700 | ManTech International Corporation | 53,108 | ||||||
| 16,600 | MEMC Electronic Materials, Inc.a | 65,404 | ||||||
| 6,770 | Mentor Graphics Corporationa | 91,801 | ||||||
| 5,800 | MICROS Systems, Inc.a | 270,164 | ||||||
| 9,300 | Monster Worldwide, Inc.a | 73,749 | ||||||
| 6,662 | National Instruments Corporation | 172,879 | ||||||
| 11,400 | NCR Corporationa | 187,644 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
186
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.0%) | Value | ||||||
| Information Technology (14.9%) - continued | ||||||||
| 4,700 | NeuStar, Inc.a | $ | 160,599 | |||||
| 8,400 | Parametric Technology Corporationa | 153,384 | ||||||
| 3,140 | Plantronics, Inc. | 111,909 | ||||||
| 12,740 | Polycom, Inc.a | 207,662 | ||||||
| 7,300 | QLogic Corporationa | 109,500 | ||||||
| 4,100 | Quest Software, Inc.a | 76,260 | ||||||
| 7,500 | Rackspace Hosting, Inc.a,b | 322,575 | ||||||
| 20,040 | RF Micro Devices, Inc.a | 108,216 | ||||||
| 11,200 | Riverbed Technology, Inc.a | 263,200 | ||||||
| 7,940 | Rovi Corporationa | 195,165 | ||||||
| 4,790 | Semtech Corporationa | 118,888 | ||||||
| 3,000 | Silicon Laboratories, Inc.a | 130,260 | ||||||
| 13,600 | Skyworks Solutions, Inc.a | 220,592 | ||||||
| 5,100 | Solera Holdings, Inc. | 227,154 | ||||||
| 10,380 | Synopsys, Inc.a | 282,336 | ||||||
| 2,980 | Tech Data Corporationa | 147,242 | ||||||
| 27,700 | Tellabs, Inc. | 111,908 | ||||||
| 11,600 | TIBCO Software, Inc.a | 277,356 | ||||||
| 8,900 | Trimble Navigation, Ltd.a | 386,260 | ||||||
| 6,000 | ValueClick, Inc.a | 97,740 | ||||||
| 7,600 | VeriFone Systems, Inc.a | 269,952 | ||||||
| 11,320 | Vishay Intertechnology, Inc.a | 101,767 | ||||||
| 3,800 | Zebra Technologies Corporationa | 135,964 | ||||||
|
| |||||||
Total Information Technology | 11,656,167 | |||||||
|
| |||||||
| Materials (6.6%) | ||||||||
| 6,420 | Albemarle Corporation | 330,694 | ||||||
| 4,800 | AptarGroup, Inc. | 250,416 | ||||||
| 5,600 | Ashland, Inc. | 320,096 | ||||||
| 4,590 | Cabot Corporation | 147,523 | ||||||
| 3,200 | Carpenter Technology Corporation | 164,736 | ||||||
| 8,300 | Commercial Metals Company | 114,789 | ||||||
| 2,400 | Compass Minerals International, Inc. | 165,240 | ||||||
| 3,560 | Cytec Industries, Inc. | 158,954 | ||||||
| 2,600 | Domtar Corporation | 207,896 | ||||||
| 2,200 | Greif, Inc. | 100,210 | ||||||
| 3,800 | Intrepid Potash, Inc.a | 85,994 | ||||||
| 9,800 | Louisiana-Pacific Corporationa | 79,086 | ||||||
| 3,320 | Martin Marietta Materials, Inc.b | 250,361 | ||||||
| 1,280 | Minerals Technologies, Inc. | 72,358 | ||||||
| 800 | NewMarket Corporation | 158,488 | ||||||
| 5,800 | Olin Corporation | 113,970 | ||||||
| 7,100 | Packaging Corporation of America | 179,204 | ||||||
| 5,400 | Reliance Steel & Aluminum Company | 262,926 | ||||||
| 5,100 | Rock-Tenn Company | 294,270 | ||||||
| 9,400 | RPM International, Inc. | 230,770 | ||||||
| 3,100 | Scotts Miracle-Gro Companyb | 144,739 | ||||||
| 3,630 | Sensient Technologies Corporation | 137,577 | ||||||
| 3,600 | Silgan Holdings, Inc. | 139,104 | ||||||
| 7,180 | Sonoco Products Company | 236,653 | ||||||
| 15,800 | Steel Dynamics, Inc. | 207,770 | ||||||
| 7,900 | Temple-Inland, Inc. | 250,509 | ||||||
| 6,760 | Valspar Corporation | 263,437 | ||||||
| 3,900 | Worthington Industries, Inc. | 63,882 | ||||||
|
| |||||||
Total Materials | 5,131,652 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | ||||||||
| 6,620 | Telephone & Data Systems, Inc. | 171,392 | ||||||
| 10,800 | TW Telecom, Inc.a | 209,304 | ||||||
|
| |||||||
Total Telecommunications Services | 380,696 | |||||||
|
| |||||||
| Utilities (5.7%) | ||||||||
| 8,000 | Alliant Energy Corporation | 352,880 | ||||||
| 9,966 | Aqua America, Inc. | 219,750 | ||||||
| 6,500 | Atmos Energy Corporation | 216,775 | ||||||
| 2,800 | Black Hills Corporation | 94,024 | ||||||
| 4,300 | Cleco Corporation | 163,830 | ||||||
| 9,663 | Great Plains Energy, Inc. | 210,460 | ||||||
| 6,880 | Hawaiian Electric Industries, Inc. | 182,182 | ||||||
| 3,530 | IDACORP, Inc. | 149,707 | ||||||
| 13,625 | MDU Resources Group, Inc. | 292,393 | ||||||
| 6,000 | National Fuel Gas Company | 333,480 | ||||||
| 7,440 | NSTAR | 349,383 | ||||||
| 16,900 | NV Energy, Inc. | 276,315 | ||||||
| 7,090 | OGE Energy Corporation | 402,074 | ||||||
| 5,675 | PNM Resources, Inc. | 103,455 | ||||||
| 12,800 | Questar Corporation | 254,208 | ||||||
| 8,300 | UGI Corporation | 244,020 | ||||||
| 5,890 | Vectren Corporation | 178,055 | ||||||
| 8,420 | Westar Energy, Inc. | 242,328 | ||||||
| 3,710 | WGL Holdings, Inc. | 164,056 | ||||||
|
| |||||||
Total Utilities | 4,429,375 | |||||||
|
| |||||||
Total Common Stock (cost $65,942,971) | 75,791,444 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (4.3%) | ||||||||
| 3,326,354 | Thrivent Financial Securities Lending Trust | 3,326,354 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,326,354) | 3,326,354 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.2%)c | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 200,000 | 0.105%, 2/22/2012d,e | 199,970 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 199,970 | |||||||
|
| |||||||
Total Investments (cost $69,469,295) 101.5% | $ | 79,317,768 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (1.5%) | (1,203,746 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 78,114,022 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
187
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| 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 December 31, 2011, $199,970 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 | $ | 14,651,227 | ||
Gross unrealized depreciation | (6,764,576 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 7,886,651 | ||
Cost for federal income tax purposes | $ | 71,431,117 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 9,855,294 | 9,855,294 | — | — | ||||||||||||
Consumer Staples | 3,217,663 | 3,217,663 | — | — | ||||||||||||
Energy | 5,259,043 | 5,259,043 | — | — | ||||||||||||
Financials | 15,639,027 | 15,639,027 | — | — | ||||||||||||
Health Care | 7,633,966 | 7,633,966 | — | — | ||||||||||||
Industrials | 12,588,561 | 12,588,561 | — | — | ||||||||||||
Information Technology | 11,656,167 | 11,656,167 | — | — | ||||||||||||
Materials | 5,131,652 | 5,131,652 | — | — | ||||||||||||
Telecommunications Services | 380,696 | 380,696 | — | — | ||||||||||||
Utilities | 4,429,375 | 4,429,375 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,326,354 | 3,326,354 | — | — | ||||||||||||
Short-Term Investments | 199,970 | — | 199,970 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 79,317,768 | $ | 79,117,798 | $ | 199,970 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 85,372 | 85,372 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 85,372 | $ | 85,372 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 400 Index Mini-Futures | 28 | March 2012 | $ | 2,371,067 | $ | 2,456,439 | $ | 85,372 | ||||||||||||
Total Futures Contracts | $ | 85,372 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
188
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 85,372 | |||
Total Equity Contracts | 85,372 | |||||
|
| |||||
Total Asset Derivatives | $ | 85,372 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (274,923 | ) | |||
Total Equity Contracts | (274,923 | ) | ||||
|
| |||||
Total | ($274,923 | ) | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 62,284 | ||||
Total Equity Contracts | 62,284 | |||||
|
| |||||
Total | $ | 62,284 | ||||
|
| |||||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 1,680,850 | 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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 5,212,131 | $ | 33,445,424 | $ | 35,331,201 | 3,326,354 | $ | 3,326,354 | $ | 10,959 | |||||||||||||
Total Value and Income Earned | 5,212,131 | 3,326,354 | 10,959 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
189
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (87.4%) | Value | ||||||
| Australia (3.7%) | ||||||||
| 34,879 | Ansell, Ltd. | $ | 517,877 | |||||
| 45,253 | Australia & New Zealand Banking Group, Ltd. | 947,823 | ||||||
| 162,873 | BHP Billiton, Ltd. | 5,749,233 | ||||||
| 373,328 | Boart Longyear Group | 1,062,020 | ||||||
| 114,815 | Bradken, Ltd. | 838,700 | ||||||
| 21,101 | Campbell Brothers, Ltd. | 1,056,632 | ||||||
| 210,531 | Challenger, Ltd. | 888,076 | ||||||
| 19,194 | Flight Centre, Ltd. | 316,247 | ||||||
| 94,993 | Fortescue Metals Group, Ltd. | 415,542 | ||||||
| 100,553 | GrainCorp, Ltd. | 804,702 | ||||||
| 74,453 | Iluka Resources, Ltd. | 1,179,269 | ||||||
| 257,590 | Imdex, Ltd. | 487,358 | ||||||
| 71,770 | Mineral Resources, Ltd. | 807,549 | ||||||
| 254,650 | Mount Gibson Iron, Ltd. | 291,010 | ||||||
| 213,449 | NRW Holdings, Ltd. | 563,587 | ||||||
| 28,788 | Rio Tinto, Ltd. | 1,774,771 | ||||||
| 186,823 | SAI Global, Ltd. | 860,452 | ||||||
|
| |||||||
Total Australia | 18,560,848 | |||||||
|
| |||||||
| Austria (<0.1%) | ||||||||
| 8,094 | Voestalpine AG | 226,760 | ||||||
|
| |||||||
Total Austria | 226,760 | |||||||
|
| |||||||
| Belgium (0.7%) | ||||||||
| 37,444 | Anheuser-Busch InBev NV | 2,285,175 | ||||||
| 3,402 | Bekaert SA | 108,632 | ||||||
| 17,046 | Compagnie d’ Entreprises CFE | 835,432 | ||||||
|
| |||||||
Total Belgium | 3,229,239 | |||||||
|
| |||||||
| Bermuda (0.1%) | ||||||||
| 231,880 | Archer, Ltd.a | 621,578 | ||||||
|
| |||||||
Total Bermuda | 621,578 | |||||||
|
| |||||||
| Brazil (3.3%) | ||||||||
| 148,320 | Banco Bradesco SA ADR | 2,473,978 | ||||||
| 37,849 | Lojas Renner SA | 982,292 | ||||||
| 47,168 | Multiplan Empreendimentos Imobiliarios SA | 967,737 | ||||||
| 117,550 | Petroleo Brasileiro SA ADR | 2,921,118 | ||||||
| 104,000 | Petroleo Brasileiro SA PREF ADR | 2,442,960 | ||||||
| 104,357 | Souza Cruz SA | 1,281,734 | ||||||
| 126,000 | Ultrapar Participacoes SA ADR | 2,167,200 | ||||||
| 145,000 | Vale SA SP PREF ADR | 2,987,000 | ||||||
|
| |||||||
Total Brazil | 16,224,019 | |||||||
|
| |||||||
| Canada (3.2%) | ||||||||
| 17,153 | Agrium, Inc. | 1,151,278 | ||||||
| 29,972 | Alimentation Couche-Tard, Inc. | 932,580 | ||||||
| 41,757 | Barrick Gold Corporation | 1,891,525 | ||||||
| 47,473 | Brookfield Asset Management, Inc. | 1,306,579 | ||||||
| 8,400 | Canadian National Railway Company | 660,836 | ||||||
| 33,900 | Cenovus Energy, Inc. | 1,125,674 | ||||||
| 22,180 | Finning International, Inc. | 483,527 | ||||||
| 28,470 | Goldcorp, Inc. | 1,263,377 | ||||||
| 45,229 | Neo Material Technologies, Inca | 325,411 | ||||||
| 18,700 | Pacific Rubiales Energy Corporation | 343,788 | ||||||
| 35,759 | Potash Corporation of Saskatchewan, Inc. | 1,478,025 | ||||||
| 20,571 | Shoppers Drug Mart Corporation | 830,674 | ||||||
| 13,063 | SNC-Lavalin Group, Inc. | 640,713 | ||||||
| 21,477 | Suncor Energy, Inc. | 619,350 | ||||||
| 14,398 | Tim Hortons, Inc. | 697,571 | ||||||
| 10,125 | TMX Group, Inc. | 414,322 | ||||||
| 29,917 | Trican Well Service, Ltd. | 515,355 | ||||||
| 64,582 | Yamana Gold, Inc. | 952,122 | ||||||
|
| |||||||
Total Canada | 15,632,707 | |||||||
|
| |||||||
| Cayman Islands (0.1%) | ||||||||
| 125,749 | Comba Telecom Systems Holdings, Ltd. | 100,941 | ||||||
| 561,050 | Sa Sa International Holdings, Ltd. | 309,233 | ||||||
|
| |||||||
Total Cayman Islands | 410,174 | |||||||
|
| |||||||
| Chile (0.3%) | ||||||||
| 18,200 | Banco Santander Chile SA ADR | 1,377,740 | ||||||
|
| |||||||
Total Chile | 1,377,740 | |||||||
|
| |||||||
| China (0.5%) | ||||||||
| 1,866,000 | PetroChina Company, Ltd. | 2,317,256 | ||||||
|
| |||||||
Total China | 2,317,256 | |||||||
|
| |||||||
| Denmark (0.8%) | ||||||||
| 38,923 | Christian Hansen Holding AS | 845,095 | ||||||
| 5,788 | Coloplast AS | 830,573 | ||||||
| 17,260 | Novo Nordisk AS | 1,982,885 | ||||||
| 12,861 | Vestas Wind Systemsa | 138,321 | ||||||
|
| |||||||
Total Denmark | 3,796,874 | |||||||
|
| |||||||
| Finland (0.9%) | ||||||||
| 97,417 | Amer Sports Oyj | 1,131,964 | ||||||
| 24,632 | Cargotec Oyj | 728,004 | ||||||
| 133,600 | Neste Oil OYJ | 1,343,555 | ||||||
| 26,717 | Outotec Oyj | 1,251,183 | ||||||
|
| |||||||
Total Finland | 4,454,706 | |||||||
|
| |||||||
| France (5.7%) | ||||||||
| 123,203 | Alcatel-Lucenta | 191,445 | ||||||
| 33,559 | Alten, Ltd. | 787,370 | ||||||
| 13,791 | AtoS | 602,476 | ||||||
| 235,829 | AXA SA | 3,048,167 | ||||||
| 67,705 | Beneteau SA | 706,500 | ||||||
| 11,342 | Bouygues SA | 356,690 | ||||||
| 85,900 | Cap Gemini SA | 2,670,460 | ||||||
| 7,315 | Christian Dior SA | 863,388 | ||||||
| 95,286 | Compagnie de Saint-Gobain | 3,642,127 | ||||||
| 13,819 | Compagnie Generale de Geophysique-Veritasa | 320,745 | ||||||
| 41,415 | Credit Agricole SA | 232,019 | ||||||
| 27,169 | Faurecia | 512,023 | ||||||
| 22,198 | Ingenico | 799,619 | ||||||
| 7,316 | Rallye SA | 203,925 | ||||||
| 5,199 | Remy Cointreau SA | 416,935 | ||||||
| 18,280 | Rubis | 952,724 | ||||||
| 31,201 | Safran SA | 933,034 | ||||||
| 82,902 | Total SA | 4,230,030 | ||||||
| 3,407 | Vallourec SA | 220,067 | ||||||
| 27,171 | Vinci SA | 1,182,629 | ||||||
| 5,729 | Virbac SA | 887,370 | ||||||
| 172,463 | Vivendi SA | 3,764,524 | ||||||
| 8,758 | Wendel SA | 581,325 | ||||||
|
| |||||||
Total France | 28,105,592 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
190
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (87.4%) | Value | ||||||
| Germany (5.4%) | ||||||||
| 13,280 | BASF SE | $ | 924,470 | |||||
| 18,639 | Bayerische Motoren Werke AG | 1,245,897 | ||||||
| 1,836,800 | Commerzbank AGa | 3,091,206 | ||||||
| 88,510 | Daimler AG | 3,877,224 | ||||||
| 59,450 | Deutsche Boerse AGa | 3,111,273 | ||||||
| 183,230 | Deutz AGa | 973,678 | ||||||
| 21,548 | Gerresheimer AG | 896,407 | ||||||
| 29,123 | Gerry Weber International AG | 886,399 | ||||||
| 36,200 | Metro AG | 1,319,873 | ||||||
| 9,520 | Pfeiffer Vacuum Technology AG | 831,490 | ||||||
| 20,509 | Rheinmetall AG | 908,182 | ||||||
| 15,125 | RWE AG | 530,902 | ||||||
| 36,053 | SAP AG ADR | 1,906,773 | ||||||
| 25,616 | Siemens AG | 2,450,665 | ||||||
| 38,672 | Suedzucker AG | 1,231,839 | ||||||
| 34,909 | Symrise AG | 929,618 | ||||||
| 35,375 | TUI AGa | 219,415 | ||||||
| 9,122 | Volkswagen AG | 1,363,750 | ||||||
| 2,177 | Wacker Chemie AG | 174,856 | ||||||
|
| |||||||
Total Germany | 26,873,917 | |||||||
|
| |||||||
| Hong Kong (3.7%) | ||||||||
| 414,800 | AIA Group, Ltd. | 1,291,239 | ||||||
| 208,000 | Cathay Pacific Airways, Ltd. | 355,638 | ||||||
| 340,000 | China Mobile, Ltd. | 3,303,296 | ||||||
| 66,188 | CLP Holdings, Ltd. | 562,324 | ||||||
| 629,747 | Dah Chong Hong Holdings, Ltd. | 738,910 | ||||||
| 1,552,400 | Guangzhou Automobile Group Company, Ltd. | 1,291,495 | ||||||
| 336,000 | Hang Lung Group, Ltd. | 1,838,820 | ||||||
| 304,700 | Hutchison Whampoa, Ltd. | 2,542,671 | ||||||
| 3,688,942 | New World Development Company, Ltd. | 2,961,946 | ||||||
| 312,000 | SJM Holdings, Ltd. | 506,296 | ||||||
| 153,319 | Swire Pacific, Ltd., Class A | 1,847,270 | ||||||
| 340,000 | Swire Pacific, Ltd., Class B | 797,756 | ||||||
| 108,000 | Wharf Holdings, Ltd. | 486,829 | ||||||
|
| |||||||
Total Hong Kong | 18,524,490 | |||||||
|
| |||||||
| Hungary (0.2%) | ||||||||
| 8,200 | Richter Gedeon Nyrt | 1,150,855 | ||||||
|
| |||||||
Total Hungary | 1,150,855 | |||||||
|
| |||||||
| India (1.7%) | ||||||||
| 109,000 | Bharti Airtel, Ltd. | 704,316 | ||||||
| 16,100 | GlaxoSmithKline Pharmaceuticals, Ltd. | 588,844 | ||||||
| 7,344 | Grasim Industries, Ltd. | 343,911 | ||||||
| 8,000 | Grasim Industries, Ltd. GDR | 377,650 | ||||||
| 35,500 | Hero Motocorp, Ltd. | 1,272,912 | ||||||
| 116,000 | Hindustan Unilever, Ltd. | 889,489 | ||||||
| 140,200 | Housing Development Finance Corporation | 1,719,416 | ||||||
| 25,000 | ICICI Bank, Ltd. | 325,050 | ||||||
| 10,400 | ICICI Bank, Ltd. ADR | 274,872 | ||||||
| 14,500 | Infosys, Ltd. | 754,695 | ||||||
| 16,504 | Infosys, Ltd. ADR | 847,975 | ||||||
| 20,696 | Ultra Tech Cement, Ltd. | 454,285 | ||||||
| 4,570 | Ultra Tech Cement, Ltd. GDR | 100,384 | ||||||
|
| |||||||
Total India | 8,653,799 | |||||||
|
| |||||||
| Indonesia (0.5%) | ||||||||
| 327,000 | PT Astra International Tbk | 2,664,754 | ||||||
|
| |||||||
Total Indonesia | 2,664,754 | |||||||
|
| |||||||
| Ireland (0.1%) | ||||||||
| 11,100 | Paddy Power plc | 638,935 | ||||||
|
| |||||||
Total Ireland | 638,935 | |||||||
|
| |||||||
| Israel (0.8%) | ||||||||
| 26,845 | Mellanox Technologies, Ltd.a | 872,194 | ||||||
| 76,350 | Teva Pharmaceutical Industries, Ltd. ADR | 3,081,486 | ||||||
|
| |||||||
Total Israel | 3,953,680 | |||||||
|
| |||||||
| Italy (1.8%) | ||||||||
| 99,607 | Banca Generali SPA | 925,918 | ||||||
| 72,327 | Davide Campari - Milano SPA | 480,698 | ||||||
| 166,700 | Eni SPA | 3,436,712 | ||||||
| 420,984 | Sorin SPAa | 644,688 | ||||||
| 2,722,925 | Telecom Italia SPA | 2,436,079 | ||||||
| 28,302 | UniCredit SPA | 233,423 | ||||||
| 70,753 | Yoox SPAa | 760,675 | ||||||
|
| |||||||
Total Italy | 8,918,193 | |||||||
|
| |||||||
| Japan (15.7%) | ||||||||
| 17,200 | Aisin Seiki Company, Ltd. | 487,450 | ||||||
| 97,300 | Asics Corporation | 1,093,666 | ||||||
| 139,000 | Bank of Yokohama, Ltd. | 655,800 | ||||||
| 168,700 | Bridgestone Corporation | 3,820,748 | ||||||
| 44,100 | Canon, Inc. | 1,940,723 | ||||||
| 12,400 | Capcom Company, Ltd. | 293,223 | ||||||
| 106,000 | Chiyoda Corporation | 1,076,205 | ||||||
| 33,000 | Daihatsu Motor Company, Ltd. | 586,832 | ||||||
| 177,800 | Daiichi Sankyo Company, Ltd. | 3,521,353 | ||||||
| 21,100 | Daito Trust Construction Company, Ltd. | 1,806,722 | ||||||
| 851,456 | Daiwa Securities Group, Inc. | 2,647,476 | ||||||
| 6,200 | Dena Company, Ltd. | 185,730 | ||||||
| 39,650 | East Japan Railway Company | 2,527,225 | ||||||
| 32,400 | Elpida Memory, Inc.a | 149,901 | ||||||
| 30,436 | Exedy Corporation | 873,830 | ||||||
| 11,500 | Gree, Inc. | 395,327 | ||||||
| 155,000 | Hitachi, Ltd. | 806,305 | ||||||
| 11,400 | Idemitsu Kosan Company, Ltd. | 1,174,851 | ||||||
| 364,000 | IHI Corporation | 882,505 | ||||||
| 96,300 | ITOCHU Corporation | 976,430 | ||||||
| 70,100 | Kao Corporation | 1,912,749 | ||||||
| 246,000 | Kawasaki Heavy Industries, Ltd. | 610,294 | ||||||
| 126,000 | Kawasaki Kisen Kaisha, Ltd. | 226,883 | ||||||
| 101 | KDDI Corporation | 648,653 | ||||||
| 32,400 | Komatsu, Ltd. | 755,500 | ||||||
| 238,261 | Kureha Corporation | 1,181,109 | ||||||
| 20,500 | Lawson, Inc. | 1,277,260 | ||||||
| 104,000 | Marubeni Corporation | 633,026 | ||||||
| 17,800 | Maruwa Company, Ltd. | 819,004 | ||||||
| 125,000 | Mitsubishi Electric Corporation | 1,197,980 | ||||||
| 29,100 | Mitsui & Company, Ltd. | 451,028 | ||||||
| 161,800 | Mori Seiki Company, Ltd. | 1,437,107 | ||||||
| 156,950 | MS and AD Insurance Group Holdings, Inc. | 2,897,077 | ||||||
| 49,300 | Nabtesco Corporation | 896,787 | ||||||
| 74,400 | Namco Bandai Holdings, Inc. | 1,055,925 | ||||||
| 146,450 | Nikon Corporation | 3,245,412 | ||||||
| 86,000 | Nippon Shokubai Company, Ltd. | 921,377 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
191
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (87.4%) | Value | ||||||
| Japan (15.7%) - continued | ||||||||
| 12,500 | Nippon Telegraph & Telephone Corporation | $ | 636,374 | |||||
| 127,000 | Nippon Yusen Kabushiki Kaisha | 323,707 | ||||||
| 381,700 | Nissan Motor Company, Ltd. | 3,418,159 | ||||||
| 31,203 | Pigeon Corporation | 1,271,781 | ||||||
| 23,900 | Ryohin Keikaku Company, Ltd. | 1,167,023 | ||||||
| 21,400 | Sanrio Company, Ltd. | 1,097,628 | ||||||
| 18,300 | Ship Healthcare Holdings, Inc. | 399,339 | ||||||
| 212 | So-net M3, Inc. | 954,539 | ||||||
| 33,000 | Sony Corporation | 595,023 | ||||||
| 17,300 | Start Today Company, Ltd. | 405,859 | ||||||
| 189,000 | Sumitomo Bakelite Company, Ltd | 1,054,352 | ||||||
| 289,650 | Sumitomo Corporation | 3,915,238 | ||||||
| 93,800 | Sumitomo Electric Industries, Ltd. | 1,015,544 | ||||||
| 1,186,000 | Sumitomo Mitsui Trust Holdings, Inc. | 3,477,990 | ||||||
| 373,000 | Sumitomo Osaka Cement Company, Ltd. | 1,016,003 | ||||||
| 44,500 | Sumitomo Rubber Industries, Ltd. | 534,370 | ||||||
| 30,000 | Sysmex Corporation | 975,358 | ||||||
| 157,339 | Tadano, Ltd. | 994,861 | ||||||
| 6,000 | TDK Corporation | 264,620 | ||||||
| 129,000 | Tokyu Corporation | 635,271 | ||||||
| 18,000 | Toyo Suisan Kaisha, Ltd. | 435,595 | ||||||
| 7,558 | Toyo Tanso Company, Ltd. | 310,257 | ||||||
| 34,200 | Toyota Motor Corporation | 1,130,895 | ||||||
| 20,900 | Trend Micro, Inc. | 623,228 | ||||||
| 39,600 | Unipres Corporation | 1,131,951 | ||||||
| 149,400 | UNY Company, Ltd. | 1,343,963 | ||||||
| 52,200 | Ushio, Inc. | 750,256 | ||||||
| 19,600 | West Japan Railway Company | 851,647 | ||||||
| 19,100 | Xebio Company, Ltd. | 452,844 | ||||||
| 8,720 | Yamada Denki Company, Ltd. | 594,000 | ||||||
|
| |||||||
Total Japan | 77,847,148 | |||||||
|
| |||||||
| Luxembourg (0.4%) | ||||||||
| 47,000 | Tenaris SA ADR | 1,747,460 | ||||||
|
| |||||||
Total Luxembourg | 1,747,460 | |||||||
|
| |||||||
| Malaysia (0.5%) | ||||||||
| 640,000 | CIMB Group Holdings Berhad | 1,500,709 | ||||||
| 199,400 | Public Bank Berhad | 830,064 | ||||||
|
| |||||||
Total Malaysia | 2,330,773 | |||||||
|
| |||||||
| Mexico (1.1%) | ||||||||
| 172,000 | Consorcio ARA SAB de CV | 47,454 | ||||||
| 36,500 | Fomento Economico Mexicano SAB de CV ADR | 2,544,415 | ||||||
| 13,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 755,190 | ||||||
| 483,500 | Grupo Financiero Banorte SAB de CV ADR | 1,463,871 | ||||||
| 259,000 | Organizacion Soriana SAB de CVa | 626,401 | ||||||
|
| |||||||
Total Mexico | 5,437,331 | |||||||
|
| |||||||
| Netherlands (2.2%) | ||||||||
| 797,500 | Aegon NVa | 3,187,110 | ||||||
| 34,935 | Imtech NV | 900,922 | ||||||
| 77,839 | Koninklijke DSM NV | 3,597,589 | ||||||
| 41,135 | TKH Group NV | 898,773 | ||||||
| 60,301 | Unilever NV | 2,073,217 | ||||||
|
| |||||||
Total Netherlands | 10,657,611 | |||||||
|
| |||||||
| Norway (2.1%) | ||||||||
| 27,903 | DnB NOR ASA | 271,962 | ||||||
| 166,649 | Renewable Energy Corporation ASAa | 91,891 | ||||||
| 41,300 | Schibsted ASA | 1,025,727 | ||||||
| 26,174 | Seadrill, Ltd. | 872,871 | ||||||
| 163,862 | Statoil ASA | 4,196,518 | ||||||
| 207,000 | Storebrand ASA | 1,070,866 | ||||||
| 1,036,000 | STX OSV Holdings, Ltd. | 925,140 | ||||||
| 153,958 | Tomra Systems ASA | 1,029,268 | ||||||
| 24,277 | Yara International ASA | 969,121 | ||||||
|
| |||||||
Total Norway | 10,453,364 | |||||||
|
| |||||||
| Philippines (0.3%) | ||||||||
| 2,576,000 | Ayala Land, Inc. | 891,823 | ||||||
| 658,242 | Bank of the Philippine Islands | 828,571 | ||||||
|
| |||||||
Total Philippines | 1,720,394 | |||||||
|
| |||||||
| Poland (0.3%) | ||||||||
| 31,000 | Bank Pekao SA | 1,264,115 | ||||||
|
| |||||||
Total Poland | 1,264,115 | |||||||
|
| |||||||
| Portugal (0.3%) | ||||||||
| 469,700 | Banco Espirito Santo SA | 817,887 | ||||||
| 54,643 | Jeronimo Martins SGPS SAa | 902,497 | ||||||
|
| |||||||
Total Portugal | 1,720,384 | |||||||
|
| |||||||
| Russia (0.4%) | ||||||||
| 36,500 | Lukoil ADR | 1,931,912 | ||||||
|
| |||||||
Total Russia | 1,931,912 | |||||||
|
| |||||||
| Singapore (1.4%) | ||||||||
| 966,000 | Biosenors International Group, Ltd.a | 1,063,263 | ||||||
| 457,175 | Keppel Corporation, Ltd. | 3,272,233 | ||||||
| 102,000 | Oversea-Chinese Banking Corporation, Ltd. | 615,122 | ||||||
| 511,000 | Raffles Medical Group, Ltd. | 835,383 | ||||||
| 192,000 | SembCorp Industries, Ltd. | 598,825 | ||||||
| 570,895 | Super Group, Ltd. | 578,201 | ||||||
|
| |||||||
Total Singapore | 6,963,027 | |||||||
|
| |||||||
| South Africa (0.6%) | ||||||||
| 59,584 | Massmart Holdings, Ltd. | 1,245,046 | ||||||
| 181,000 | Truworths International, Ltd. | 1,653,792 | ||||||
|
| |||||||
Total South Africa | 2,898,838 | |||||||
|
| |||||||
| South Korea (2.6%) | ||||||||
| 12,181 | BS Financial Group, Inc.a | 116,936 | ||||||
| 4,101 | E-Mart Company, Ltd.a | 991,665 | ||||||
| 12,062 | Fila Korea, Ltd.a | 815,070 | ||||||
| 44,140 | Halla Climate Control Corporationa | 836,852 | ||||||
| 9,400 | POSCO | 3,100,694 | ||||||
| 6,250 | Samsung Electronics Company, Ltd. | 3,622,275 | ||||||
| 1,448 | Shinsegae Company, Ltd.a | 308,285 | ||||||
| 3,521 | SK Telecom Company, Ltd. | 432,886 | ||||||
| 174,207 | SK Telecom Company, Ltd. ADR | 2,370,957 | ||||||
| 4,374 | Youngone Corporationa | 105,589 | ||||||
|
| |||||||
Total South Korea | 12,701,209 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
192
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (87.4%) | Value | ||||||
| Spain (1.9%) | ||||||||
| 23,091 | Abertis Infraestructuras SA | $ | 366,931 | |||||
| 399,125 | Banco Bilbao Vizcaya Argentaria SA | 3,437,888 | ||||||
| 316,028 | Banco Popular Espanol SA | 1,435,275 | ||||||
| 112,900 | Indra Sistemas SA | 1,431,245 | ||||||
| 16,657 | Industria de Diseno Textil SA (Inditex) | 1,359,700 | ||||||
| 46,058 | Repsol YPF SA | 1,409,058 | ||||||
|
| |||||||
Total Spain | 9,440,097 | |||||||
|
| |||||||
| Sweden (2.2%) | ||||||||
| 54,631 | Atlas Copco AB | 1,170,543 | ||||||
| 18,650 | Electrolux AB | 296,329 | ||||||
| 23,642 | Elekta AB | 1,022,255 | ||||||
| 45,109 | Hexpol AB | 1,315,845 | ||||||
| 31,277 | Hoganas AB | 961,502 | ||||||
| 50,331 | Husqvarna AB | 231,084 | ||||||
| 62,173 | JM AB | 1,008,564 | ||||||
| 21,746 | Kinnevik Investment AB | 422,663 | ||||||
| 4,803 | Modern Times Group AB | 228,769 | ||||||
| 58,177 | Nordea Bank AB | 448,404 | ||||||
| 24,078 | Skanska AB | 397,399 | ||||||
| 89,015 | Swedbank AB | 1,148,694 | ||||||
| 91,031 | Telefonaktiebolaget LM Ericsson | 923,103 | ||||||
| 122,932 | Volvo AB | 1,339,211 | ||||||
|
| |||||||
Total Sweden | 10,914,365 | |||||||
|
| |||||||
| Switzerland (6.6%) | ||||||||
| 42,088 | ABB, Ltd.a | 790,675 | ||||||
| 64,150 | Adecco SAa | 2,673,531 | ||||||
| 18,376 | Aryzta AG | 886,518 | ||||||
| 4,793 | Bucher Industries AG | 835,132 | ||||||
| 3,578 | Burckhardt Compression Holding AG | 890,767 | ||||||
| 138,300 | Credit Suisse Groupa | 3,241,489 | ||||||
| 3,398 | Dufry AGa | 311,877 | ||||||
| 1,866 | Galenica AG | 1,089,903 | ||||||
| 2,772 | Givaudan SAa | 2,634,033 | ||||||
| 52,782 | Holcim, Ltd.a | 2,813,545 | ||||||
| 2,354 | Kaba Holding AG | 821,473 | ||||||
| 58,557 | Nestle SA | 3,362,548 | ||||||
| 59,950 | Novartis AG | 3,422,728 | ||||||
| 43,024 | Roche Holding AG | 7,276,145 | ||||||
| 61,292 | UBS AGa | 727,086 | ||||||
| 12,720 | Zehnder Group AG | 694,440 | ||||||
|
| |||||||
Total Switzerland | 32,471,890 | |||||||
|
| |||||||
| Taiwan (0.8%) | ||||||||
| 337,300 | Taiwan Mobile Company, Ltd. | 1,050,878 | ||||||
| 1,250,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 3,125,626 | ||||||
|
| |||||||
Total Taiwan | 4,176,504 | |||||||
|
| |||||||
| Thailand (1.9%) | ||||||||
| 317,100 | Bangkok Bank pcl | 1,645,898 | ||||||
| 280,100 | PTT Exploration & Production pcl | 1,493,806 | ||||||
| 356,000 | PTT pcl | 3,581,686 | ||||||
| 150,900 | Siam Cement pcl | 1,747,932 | ||||||
| 269,200 | Siam Commercial Bank pcl | 992,165 | ||||||
|
| |||||||
Total Thailand | 9,461,487 | |||||||
|
| |||||||
| Turkey (0.6%) | ||||||||
| 473,982 | Akbank TAS | 1,502,011 | ||||||
| 37,000 | BIM Birlesik Magazalar AS | 1,024,580 | ||||||
| 151,000 | Turkiye Garanti Bankasi AS | 469,425 | ||||||
|
| |||||||
Total Turkey | 2,996,016 | |||||||
|
| |||||||
| United Kingdom (11.6%) | ||||||||
| 11,192 | Anglo American plc | 413,443 | ||||||
| 39,058 | Aveva Group plc | 868,290 | ||||||
| 95,351 | Babcock International Group plc | 1,087,837 | ||||||
| 1,024,512 | BAE Systems plc | 4,527,169 | ||||||
| 132,883 | BG Group plc | 2,838,917 | ||||||
| 54,326 | BHP Billiton plc | 1,588,287 | ||||||
| 66,467 | British American Tobacco plc | 3,153,285 | ||||||
| 432,226 | BT Group plc | 1,281,172 | ||||||
| 51,884 | Burberry Group plc | 954,040 | ||||||
| 193,281 | Carillion plc | 901,928 | ||||||
| 39,955 | Croda International plc | 1,118,541 | ||||||
| 37,793 | GlaxoSmithKline plc | 861,169 | ||||||
| 179,512 | Halma plc | 920,811 | ||||||
| 73,350 | HSBC Holdings plc ADR | 2,794,636 | ||||||
| 36,030 | IMI plc | 425,298 | ||||||
| 56,564 | Imperial Tobacco Group plc | 2,140,454 | ||||||
| 106,116 | Inchcape plc | 482,804 | ||||||
| 178,210 | Intermediate Capital Group plc | 632,716 | ||||||
| 191,520 | Kingfisher plc | 744,248 | ||||||
| 307,029 | Legal & General Group plc | 490,655 | ||||||
| 1,481,439 | Lloyds TSB Group plca | 594,968 | ||||||
| 60,167 | Mondi plc | 425,000 | ||||||
| 230,261 | Morgan Crucible Company plc | 939,425 | ||||||
| 103,700 | Pearson plc | 1,946,352 | ||||||
| 91,335 | Prudential plc | 903,704 | ||||||
| 38,854 | Rio Tinto plc | 1,897,927 | ||||||
| 15,728 | Royal Dutch Shell plc | 598,272 | ||||||
| 28,219 | SABMiller plc | 987,582 | ||||||
| 33,739 | Shire plc | 1,172,591 | ||||||
| 33,469 | Spirax-Sarco Engineering plc | 973,382 | ||||||
| 447,872 | Spirent plc | 817,493 | ||||||
| 58,717 | SSE plc | 1,175,380 | ||||||
| 79,653 | Standard Chartered plc | 1,742,247 | ||||||
| 55,860 | Tate & Lyle plc | 610,704 | ||||||
| 625,650 | Tesco plc | 3,914,611 | ||||||
| 41,201 | Ultra Electronics Holdings plc | 945,204 | ||||||
| 33,382 | Unilever plc | 1,119,461 | ||||||
| 1,148,550 | Vodafone Group plc | 3,202,348 | ||||||
| 310,270 | William Morrison Supermarkets plc | 1,569,372 | ||||||
| 335,550 | WPP plc | 3,519,080 | ||||||
|
| |||||||
Total United Kingdom | 57,280,803 | |||||||
|
| |||||||
| United States (0.4%) | ||||||||
| 40,383 | iShares MSCI EAFE Index Fund | 2,000,170 | ||||||
|
| |||||||
Total United States | 2,000,170 | |||||||
|
| |||||||
Total Common Stock (cost $458,895,533) | 432,751,014 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (9.8%) | |||||||
| Argentina (0.3%) | ||||||||
Arcos Dorados SA | ||||||||
| $73,000 | 7.500%, 10/1/2019 | 80,665 | ||||||
Argentina Government International Bond | ||||||||
| 280,000 | 7.000%, 10/3/2015 | 261,100 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
193
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (9.8%) | Value | ||||||
| Argentina (0.3%) - continued | ||||||||
| $ | 347,882 | 7.820%, 12/31/2033b | $ | 274,632 | ||||
| 498,850 | 7.820%, 12/31/2033b | 393,811 | ||||||
| 133,381 | 8.280%, 12/31/2033 | 95,034 | ||||||
| 2,090,001 | 0.000%, 12/15/2035b,c | 265,071 | ||||||
| 290,000 | 0.000%, 12/15/2035c | 33,713 | ||||||
| 100,000 | 2.260%, 12/31/2038b,d | 35,913 | ||||||
|
| |||||||
| Total Argentina | 1,439,939 | |||||||
|
| |||||||
| Belarus (0.1%) | ||||||||
Belarus Government International Bond | ||||||||
| 439,000 | 8.750%, 8/3/2015 | 384,125 | ||||||
| 100,000 | 8.950%, 1/26/2018 | 86,000 | ||||||
|
| |||||||
| Total Belarus | 470,125 | |||||||
|
| |||||||
| Belize (<0.1%) | ||||||||
Belize Government International Bond | ||||||||
| 120,000 | 6.000%, 2/20/2029d | 72,000 | ||||||
|
| |||||||
| Total Belize | 72,000 | |||||||
|
| |||||||
| Bermuda (<0.1%) | ||||||||
Noble Group, Ltd. | ||||||||
| 160,000 | 6.750%, 1/29/2020 | 137,600 | ||||||
|
| |||||||
| Total Bermuda | 137,600 | |||||||
|
| |||||||
| Brazil (0.4%) | ||||||||
Brazil Government International Bond | ||||||||
| 100,000 | 5.875%, 1/15/2019 | 118,250 | ||||||
| 570,000 | 4.875%, 1/22/2021 | 636,975 | ||||||
| 140,000 | 7.125%, 1/20/2037 | 193,200 | ||||||
| 340,000 | 5.625%, 1/7/2041 | 394,400 | ||||||
Independencia International, Ltd. | ||||||||
| 95,246 | 12.000%, 12/30/2016e,f,g | 10 | ||||||
|
| |||||||
| Total Brazil | 1,342,835 | |||||||
|
| |||||||
| Canada (0.1%) | ||||||||
PTTEP Canada International Finance, Ltd. | ||||||||
| 270,000 | 5.692%, 4/5/2021e | 282,393 | ||||||
|
| |||||||
| Total Canada | 282,393 | |||||||
|
| |||||||
| Cayman Islands (0.3%) | ||||||||
CCL Finance, Ltd. | ||||||||
| 110,000 | 9.500%, 8/15/2014 | 122,513 | ||||||
Country Garden Holdings Company | ||||||||
| 600,000 | 2.500%, 2/22/2013h | 102,479 | ||||||
ENN Energy Holdings, Ltd. | ||||||||
| 200,000 | 6.000%, 5/13/2021 | 180,602 | ||||||
Evergrande Real Estate Group, Ltd. | ||||||||
| 1,440,000 | 7.500%, 1/19/2014h | 178,375 | ||||||
TGI International, Ltd. | ||||||||
| 180,000 | 9.500%, 10/3/2017 | 193,049 | ||||||
Vale Overseas, Ltd. | ||||||||
| 110,000 | 5.625%, 9/15/2019 | 121,176 | ||||||
| 310,000 | 4.625%, 9/15/2020 | 320,572 | ||||||
|
| |||||||
| Total Cayman Islands | 1,218,766 | |||||||
|
| |||||||
| Chile (0.4%) | ||||||||
AES Gener SA | ||||||||
| 30,000 | 5.250%, 8/15/2021 | 30,150 | ||||||
| 120,000 | 5.250%, 8/15/2021e | 120,600 | ||||||
Banco del Estado de Chile | ||||||||
| 200,000 | 4.125%, 10/7/2020 | 204,500 | ||||||
| 260,000 | 4.125%, 10/7/2020e | 265,850 | ||||||
Chile Government International Bond | ||||||||
| 130,000 | 3.875%, 8/5/2020 | 140,725 | ||||||
| 350,000 | 3.250%, 9/14/2021 | 359,625 | ||||||
Corporacion Nacional del Cobre de Chile - Codelco | ||||||||
| 120,000 | 3.750%, 11/4/2020e | 121,866 | ||||||
| 300,000 | 6.150%, 10/24/2036 | 370,191 | ||||||
E-CL SA | ||||||||
| 140,000 | 5.625%, 1/15/2021e | 147,929 | ||||||
Empresa Nacional del Petroleo | ||||||||
| 100,000 | 4.750%, 12/6/2021e | 99,582 | ||||||
|
| |||||||
| Total Chile | 1,861,018 | |||||||
|
| |||||||
| China (<0.1%) | ||||||||
Sinochem Overseas Capital Company, Ltd. | ||||||||
| 130,000 | 6.300%, 11/12/2040e | 123,162 | ||||||
|
| |||||||
| Total China | 123,162 | |||||||
|
| |||||||
| Colombia (0.7%) | ||||||||
Colombia Government International Bond | ||||||||
| 30,000 | 8.250%, 12/22/2014 | 35,475 | ||||||
| 400,000 | 7.375%, 1/27/2017 | 486,000 | ||||||
| 580,000 | 7.375%, 3/18/2019 | 730,800 | ||||||
| 40,000 | 8.125%, 5/21/2024 | 55,600 | ||||||
| 860,000 | 7.375%, 9/18/2037 | 1,208,299 | ||||||
| 670,000 | 6.125%, 1/18/2041 | 827,450 | ||||||
Empresa de Energia de Bogota SA | ||||||||
| 420,000 | 6.125%, 11/10/2021e | 422,100 | ||||||
|
| |||||||
| Total Colombia | 3,765,724 | |||||||
|
| |||||||
| Costa Rica (<0.1%) | ||||||||
Costa Rica Government International Bond | ||||||||
| 27,000 | 9.995%, 8/1/2020 | 36,788 | ||||||
|
| |||||||
| Total Costa Rica | 36,788 | |||||||
|
| |||||||
| Croatia (0.1%) | ||||||||
Croatia Government International Bond | ||||||||
| 390,000 | 6.375%, 3/24/2021e | 355,875 | ||||||
|
| |||||||
| Total Croatia | 355,875 | |||||||
|
| |||||||
| Dominican Republic (0.2%) | ||||||||
Dominican Republic Government International Bond | ||||||||
| 163,947 | 9.040%, 1/23/2018 | 178,702 | ||||||
| 100,000 | 7.500%, 5/6/2021e | 98,000 | ||||||
| 521,000 | 7.500%, 5/6/2021 | 510,580 | ||||||
| 100,000 | 8.625%, 4/20/2027 | 102,000 | ||||||
|
| |||||||
| Total Dominican Republic | 889,282 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
194
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (9.8%) | Value | ||||||
| El Salvador (0.1%) | ||||||||
El Salvador Government International Bond | ||||||||
| $30,000 | 8.250%, 4/10/2032 | $ | 32,550 | |||||
| 285,000 | 7.650%, 6/15/2035 | 290,700 | ||||||
|
| |||||||
| Total El Salvador | 323,250 | |||||||
|
| |||||||
| Gabon (0.1%) | ||||||||
Gabon Government International Bond | ||||||||
| 250,000 | 8.200%, 12/12/2017 | 285,000 | ||||||
|
| |||||||
| Total Gabon | 285,000 | |||||||
|
| |||||||
| Hong Kong (<0.1%) | ||||||||
Zijin International Finance Company, Ltd. | ||||||||
| 120,000 | 4.250%, 6/30/2016 | 118,249 | ||||||
|
| |||||||
| Total Hong Kong | 118,249 | |||||||
|
| |||||||
| Hungary (0.2%) | ||||||||
Hungary Government International Bond | ||||||||
| 140,000 | 3.500%, 7/18/2016b | 146,341 | ||||||
| 450,000 | 4.375%, 7/4/2017b | 466,948 | ||||||
| 53,000 | 5.750%, 6/11/2018b | 57,472 | ||||||
| 40,000 | 6.000%, 1/11/2019b | 43,774 | ||||||
| 21,000 | 3.875%, 2/24/2020b | 19,308 | ||||||
| 506,000 | 7.625%, 3/29/2041 | 445,280 | ||||||
|
| |||||||
| Total Hungary | 1,179,123 | |||||||
|
| |||||||
| Iceland (0.1%) | ||||||||
Iceland Government International Bond | ||||||||
| 500,000 | 4.875%, 6/16/2016e | 488,690 | ||||||
|
| |||||||
| Total Iceland | 488,690 | |||||||
|
| |||||||
| Indonesia (0.8%) | ||||||||
Indonesia Government International Bond | ||||||||
| 49,000 | 6.875%, 1/17/2018 | 57,698 | ||||||
| 1,680,000 | 11.625%, 3/4/2019 | 2,482,199 | ||||||
| 590,000 | 4.875%, 5/5/2021e | 631,300 | ||||||
| 855,000 | 8.500%, 10/12/2035 | 1,231,200 | ||||||
| 160,000 | 7.750%, 1/17/2038 | 216,000 | ||||||
Perusahaan Penerbit SBSN | ||||||||
| 200,000 | 4.000%, 11/21/2018e | 203,000 | ||||||
|
| |||||||
| Total Indonesia | 4,821,397 | |||||||
|
| |||||||
| Iraq (0.1%) | ||||||||
Iraq Government International Bond | ||||||||
| 500,000 | 5.800%, 1/15/2028 | 410,000 | ||||||
|
| |||||||
| Total Iraq | 410,000 | |||||||
|
| |||||||
| Ireland (<0.1%) | ||||||||
MTS International Funding, Ltd. | ||||||||
| 100,000 | 8.625%, 6/22/2020 | 107,375 | ||||||
|
| |||||||
| Total Ireland | 107,375 | |||||||
|
| |||||||
| Ivory Coast (0.1%) | ||||||||
Ivory Coast Government International Bond | ||||||||
| 1,192,000 | 2.500%, 12/31/2032f | 596,000 | ||||||
|
| |||||||
| Total Ivory Coast | 596,000 | |||||||
|
| |||||||
| Kazakhstan (0.2%) | ||||||||
BTA Bank JSC | ||||||||
| 206,000 | 10.750%, 7/1/2018d | 33,990 | ||||||
Kazatomprom Natsionalnaya Atomnaya Kompaniya AO | ||||||||
| 110,000 | 6.250%, 5/20/2015 | 114,125 | ||||||
KazMunayGas National Company | ||||||||
| 450,000 | 11.750%, 1/23/2015 | 528,750 | ||||||
| 270,000 | 6.375%, 4/9/2021e | 274,050 | ||||||
|
| |||||||
| Total Kazakhstan | 950,915 | |||||||
|
| |||||||
| Luxembourg (0.3%) | ||||||||
Alrosa Finance SA | ||||||||
| 200,000 | 7.750%, 11/3/2020e | 199,000 | ||||||
Gaz Capital SA | ||||||||
| 200,000 | 5.999%, 1/23/2021e | 199,000 | ||||||
Gazprom Via Gaz Capital SA | ||||||||
| 430,000 | 9.250%, 4/23/2019 | 511,227 | ||||||
Gazprom Via Gazprom International, Ltd. | ||||||||
| 80,436 | 7.201%, 2/1/2020 | 84,961 | ||||||
TNK-BP Finance SA | ||||||||
| 290,000 | 7.875%, 3/13/2018 | 309,938 | ||||||
| 130,000 | 7.250%, 2/2/2020 | 133,900 | ||||||
Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||
| 100,000 | 8.250%, 5/23/2016 | 99,500 | ||||||
|
| |||||||
| Total Luxembourg | 1,537,526 | |||||||
|
| |||||||
| Mexico (0.6%) | ||||||||
Mexican Bonos | ||||||||
| 3,363,900 | 10.000%, 11/20/2036i | 298,564 | ||||||
Mexico Government International Bond | ||||||||
| 60,000 | 7.500%, 1/14/2012 | 60,144 | ||||||
| 30,000 | 5.875%, 1/15/2014 | 32,400 | ||||||
| 20,000 | 6.625%, 3/3/2015 | 22,750 | ||||||
| 100,000 | 5.625%, 1/15/2017 | 115,000 | ||||||
| 286,000 | 5.950%, 3/19/2019 | 339,911 | ||||||
| 90,000 | 8.300%, 8/15/2031 | 134,550 | ||||||
| 230,000 | 6.750%, 9/27/2034 | 299,575 | ||||||
| 370,000 | 6.050%, 1/11/2040 | 452,325 | ||||||
| 180,000 | 5.750%, 10/12/2110 | 191,700 | ||||||
Pemex Project Funding Master Trust | ||||||||
| 590,000 | 6.625%, 6/15/2035 | 668,913 | ||||||
Petroleos Mexicanos | ||||||||
| 45,000 | 8.000%, 5/3/2019 | 56,138 | ||||||
| 310,000 | 5.500%, 1/21/2021 | 336,350 | ||||||
|
| |||||||
| Total Mexico | 3,008,320 | |||||||
|
| |||||||
| Namibia (<0.1%) | ||||||||
Namibia Government International Bond | ||||||||
| 210,000 | 5.500%, 11/3/2021e | 214,200 | ||||||
|
| |||||||
| Total Namibia | 214,200 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
195
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (9.8%) | Value | ||||||
| Netherlands (<0.1%) | ||||||||
Myriad International Holding BV | ||||||||
| $140,000 | 6.375%, 7/28/2017 | $ | 149,100 | |||||
VimpelCom Holdings BV | ||||||||
| 230,000 | 7.504%, 3/1/2022e | 193,200 | ||||||
|
| |||||||
| Total Netherlands | 342,300 | |||||||
|
| |||||||
| Nigeria (0.1%) | ||||||||
Central Bank of Nigeria | ||||||||
| 200,000 | 6.750%, 1/28/2021e | 208,000 | ||||||
Nigeria Government International Bond | ||||||||
| 200,000 | 6.750%, 1/28/2021 | 208,000 | ||||||
|
| |||||||
| Total Nigeria | 416,000 | |||||||
|
| |||||||
| Pakistan (<0.1%) | ||||||||
Pakistan Government International Bond | ||||||||
| 200,000 | 6.875%, 6/1/2017 | 144,000 | ||||||
| 100,000 | 7.875%, 3/31/2036 | 63,000 | ||||||
|
| |||||||
| Total Pakistan | 207,000 | |||||||
|
| |||||||
| Panama (0.2%) | ||||||||
Panama Government International Bond | ||||||||
| 286,000 | 8.875%, 9/30/2027 | 429,000 | ||||||
| 260,000 | 9.375%, 4/1/2029 | 413,400 | ||||||
|
| |||||||
| Total Panama | 842,400 | |||||||
|
| |||||||
| Peru (0.2%) | ||||||||
Corporacion Lindley SA | ||||||||
| 70,000 | 6.750%, 11/23/2021e | 71,400 | ||||||
Peru Government International Bond | ||||||||
| 30,000 | 7.125%, 3/30/2019 | 37,725 | ||||||
| 530,000 | 7.350%, 7/21/2025 | 702,250 | ||||||
| 124,000 | 8.750%, 11/21/2033 | 189,100 | ||||||
|
| |||||||
| Total Peru | 1,000,475 | |||||||
|
| |||||||
| Philippines (0.5%) | ||||||||
Energy Development Corporation | ||||||||
| 240,000 | 6.500%, 1/20/2021 | 247,058 | ||||||
Philippines Government International Bond | ||||||||
| 100,000 | 7.500%, 9/25/2024 | 127,000 | ||||||
| 70,000 | 9.500%, 10/21/2024 | 100,800 | ||||||
| 200,000 | 5.500%, 3/30/2026 | 224,000 | ||||||
| 547,000 | 9.500%, 2/2/2030 | 840,329 | ||||||
| 100,000 | 7.750%, 1/14/2031 | 134,000 | ||||||
| 761,000 | 6.375%, 10/23/2034 | 908,443 | ||||||
|
| |||||||
| Total Philippines | 2,581,630 | |||||||
|
| |||||||
| Poland (0.2%) | ||||||||
Poland Government International Bond | ||||||||
| 730,000 | 5.000%, 3/23/2022 | 733,650 | ||||||
|
| |||||||
| Total Poland | 733,650 | |||||||
|
| |||||||
| Qatar (0.1%) | ||||||||
Qatar Government International Bond | ||||||||
| 200,000 | 4.500%, 1/20/2022e | 206,000 | ||||||
| 200,000 | 5.750%, 1/20/2042e | 215,500 | ||||||
Ras Laffan Liquefied Natural Gas Company, Ltd. II | ||||||||
| 220,300 | 5.298%, 9/30/2020 | 236,272 | ||||||
|
| |||||||
| Total Qatar | 657,772 | |||||||
|
| |||||||
| Russia (0.6%) | ||||||||
Russia Government International Bond | ||||||||
| 200,000 | 3.625%, 4/29/2015 | 201,000 | ||||||
| 2,137,600 | 7.500%, 3/31/2030 | 2,482,287 | ||||||
|
| |||||||
| Total Russia | 2,683,287 | |||||||
|
| |||||||
| Serbia (<0.1%) | ||||||||
Serbia Government International Bond | ||||||||
| 208,000 | 6.750%, 11/1/2024 | 196,560 | ||||||
|
| |||||||
| Total Serbia | 196,560 | |||||||
|
| |||||||
| South Africa (0.4%) | ||||||||
Peermont Global Proprietary, Ltd. | ||||||||
| 220,000 | 7.750%, 4/30/2014b | 227,773 | ||||||
South Africa Government International Bond | ||||||||
| 5,725,000 | 13.500%, 9/15/2015j | 863,579 | ||||||
| 3,520,000 | 7.250%, 1/15/2020j | 419,255 | ||||||
| 2,240,000 | 6.750%, 3/31/2021j | 256,033 | ||||||
| 720,000 | 10.500%, 12/21/2026j | 104,291 | ||||||
|
| |||||||
| Total South Africa | 1,870,931 | |||||||
|
| |||||||
| Sri Lanka (<0.1%) | ||||||||
Sri Lanka Government International Bond | ||||||||
| 200,000 | 6.250%, 7/27/2021e | 197,073 | ||||||
|
| |||||||
| Total Sri Lanka | 197,073 | |||||||
|
| |||||||
| Supranational (0.1%) | ||||||||
Corporacion Andina de Fomento | ||||||||
| 639,000 | 3.750%, 1/15/2016 | 648,846 | ||||||
|
| |||||||
| Total Supranational | 648,846 | |||||||
|
| |||||||
| Turkey (0.6%) | ||||||||
Export Credit Bank of Turkey | ||||||||
| 250,000 | 5.375%, 11/4/2016e | 246,250 | ||||||
Turkey Government International Bond | ||||||||
| 800,000 | Zero Coupon, 7/17/2013k | 356,388 | ||||||
| 1,160,000 | 5.625%, 3/30/2021 | 1,173,050 | ||||||
| 30,000 | 11.875%, 1/15/2030 | 49,089 | ||||||
| 90,000 | 7.250%, 3/5/2038 | 98,325 | ||||||
| 330,000 | 6.750%, 5/30/2040 | 339,900 | ||||||
|
| |||||||
| Total Turkey | 2,263,002 | |||||||
|
| |||||||
| Ukraine (0.3%) | ||||||||
Ukraine Government International Bond | ||||||||
| 130,000 | 4.950%, 10/13/2015b | 137,958 | ||||||
| 200,000 | 6.250%, 6/17/2016 | 175,500 | ||||||
| 560,000 | 6.250%, 6/17/2016e | 491,400 | ||||||
| 100,000 | 8.375%, 11/3/2017 | 83,000 | ||||||
| 200,000 | 6.750%, 11/14/2017 | 172,000 | ||||||
| 150,000 | 7.750%, 9/23/2020 | 129,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
196
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (9.8%) | Value | ||||||
| Ukraine (0.3%) - continued | ||||||||
| $290,000 | 7.950%, 2/23/2021e | $ | 254,475 | |||||
|
| |||||||
| Total Ukraine | 1,444,083 | |||||||
|
| |||||||
| United Arab Emirates (<0.1%) | ||||||||
Dolphin Energy, Ltd. | ||||||||
| 219,154 | 5.888%, 6/15/2019 | 237,782 | ||||||
|
| |||||||
| Total United Arab Emirates | 237,782 | |||||||
|
| |||||||
| United States (0.5%) | ||||||||
HSBC Bank USA | ||||||||
| 740,000 | 5.910%, 8/15/2040g,l | 911,047 | ||||||
U.S. Treasury Notes | ||||||||
| 1,200,000 | 0.375%, 7/31/2013 | 1,202,860 | ||||||
|
| |||||||
| Total United States | 2,113,907 | |||||||
|
| |||||||
| Uruguay (0.2%) | ||||||||
Uruguay Government International Bond | ||||||||
| 130,000 | 7.875%, 1/15/2033 | 181,675 | ||||||
| 548,000 | 7.625%, 3/21/2036 | 757,610 | ||||||
|
| |||||||
| Total Uruguay | 939,285 | |||||||
|
| |||||||
| Venezuela (0.6%) | ||||||||
Petroleos de Venezuela SA | ||||||||
| 331,600 | 5.250%, 4/12/2017 | 210,566 | ||||||
| 490,000 | 8.500%, 11/2/2017e | 369,460 | ||||||
| 180,000 | 5.375%, 4/12/2027 | 88,650 | ||||||
| 30,000 | 5.500%, 4/12/2037 | 14,400 | ||||||
Venezuela Government International Bond | ||||||||
| 100,000 | 13.625%, 8/15/2018 | 98,250 | ||||||
| 50,000 | 13.625%, 8/15/2018 | 49,125 | ||||||
| 600,000 | 7.750%, 10/13/2019 | 428,999 | ||||||
| 396,500 | 6.000%, 12/9/2020 | 242,361 | ||||||
| 740,000 | 9.000%, 5/7/2023 | 529,099 | ||||||
| 405,000 | 8.250%, 10/13/2024 | 266,288 | ||||||
| 660,000 | 7.650%, 4/21/2025 | 409,200 | ||||||
| 80,000 | 9.250%, 5/7/2028 | 55,400 | ||||||
| 360,000 | 11.950%, 8/5/2031 | 294,300 | ||||||
| 70,000 | 7.000%, 3/31/2038 | 40,425 | ||||||
|
| |||||||
| Total Venezuela | 3,096,523 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $47,576,733) | 48,508,058 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Germany (0.1%) | ||||||||
| 7,418 | Draegerwerk AG & Company KGaA | 601,210 | ||||||
|
| |||||||
| Total Germany | 601,210 | |||||||
|
| |||||||
Total Preferred Stock (cost $712,483) | 601,210 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (<0.1%)m | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 200,000 | 0.089%, 2/22/2012n,o | 199,979 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 199,979 | |||||||
|
| |||||||
Total Investments (cost $507,384,728) 97.3% | $ | 482,060,261 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 2.7% | 13,526,151 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 495,586,412 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Principal amount is displayed in Euros. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2011. |
| d | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2011. |
| e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $6,699,365 or 1.4% of total net assets. |
| f | Defaulted security. Interest is not being accrued. |
| g | Security is fair valued. |
| h | Principal amount is displayed in Chinese Yuan. |
| i | Principal amount is displayed in Mexican Pesos. |
| j | Principal amount is displayed in South African Rand. |
| k | Principal amount is displayed in Turkish Lira. |
| l | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. |
| m | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| n | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| o | At December 31, 2011, $199,979 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security's shares held by an issuing U.S. depository bank. | ||
| GDR | - | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 34,992,303 | ||||||
Gross unrealized depreciation | (61,647,794 | ) | ||||||
|
| |||||||
Net unrealized appreciation (depreciation) | $ | (26,655,491 | ) | |||||
Cost for federal income tax purposes | $ | 508,715,752 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
197
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 100,941 | — | 100,941 | — | ||||||||||||
Consumer Discretionary | 71,438,674 | — | 71,438,674 | — | ||||||||||||
Consumer Staples | 40,728,041 | 2,544,415 | 38,183,626 | — | ||||||||||||
Energy | 39,955,263 | 11,210,650 | 28,744,613 | — | ||||||||||||
Financials | 73,551,603 | 8,921,396 | 64,630,207 | — | ||||||||||||
Health Care | 33,737,786 | 3,081,486 | 30,656,300 | — | ||||||||||||
Industrials | 69,461,627 | 855,574 | 68,606,053 | — | ||||||||||||
Information Technology | 27,350,945 | 1,720,169 | 25,630,776 | — | ||||||||||||
Materials | 56,001,237 | 2,987,000 | 53,014,237 | — | ||||||||||||
Telecommunications Services | 16,066,959 | 2,370,957 | 13,696,002 | — | ||||||||||||
Utilities | 4,357,938 | — | 4,357,938 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 1,374,216 | — | 1,374,216 | — | ||||||||||||
Communications Services | 400,075 | — | 400,075 | — | ||||||||||||
Consumer Cyclical | 410,917 | — | 410,917 | — | ||||||||||||
Consumer Non-Cyclical | 193,923 | — | 193,913 | 10 | ||||||||||||
Energy | 4,555,824 | — | 4,555,824 | — | ||||||||||||
Financials | 1,656,362 | — | 745,315 | 911,047 | ||||||||||||
Foreign Government | 37,171,760 | — | 37,171,760 | — | ||||||||||||
Transportation | 193,049 | — | 193,049 | — | ||||||||||||
U.S. Government and Agencies | 1,202,860 | — | 1,202,860 | — | ||||||||||||
Utilities | 1,349,072 | — | 1,349,072 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Health Care | 601,210 | — | 601,210 | — | ||||||||||||
Short-Term Investments | 199,979 | — | 199,979 | — | ||||||||||||
Total | $ | 482,060,261 | $ | 33,691,647 | $ | 447,457,557 | $ | 911,057 | ||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 48,183 | 48,183 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 155,803 | — | 155,803 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 203,986 | $ | 48,183 | $ | 155,803 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 26,083 | 26,083 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 164,275 | — | 164,275 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 190,358 | $ | 26,083 | $ | 164,275 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Consumer Non-Cyclical | — | — | (1,895 | ) | — | — | 1,905 | — | 10 | |||||||||||||||||||||||
Financials | 744,761 | — | (33,589 | ) | 186,925 | 12,950 | — | — | 911,047 | |||||||||||||||||||||||
Foreign Government | 14,245 | — | (14,245 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 759,006 | $ | — | ($ | 49,729 | ) | $ | 186,925 | $ | 12,950 | $ | 1,905 | $ | — | $ | 911,057 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
* Includes the change in net unrealized appreciation/(depreciation) on Level 3 securities held on December 31, 2011 of ($124,247).
The accompanying Notes to Financial Statements are an integral part of this schedule.
198
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 4 | March 2012 | $ | 882,153 | $ | 882,187 | $ | 34 | ||||||||||||
5-Yr. U.S. Treasury Bond Futures | 24 | March 2012 | 2,946,481 | 2,958,188 | 11,707 | |||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 12 | March 2012 | 1,559,359 | 1,573,500 | 14,141 | |||||||||||||||
20-Yr. U.S. Treasury Bond Futures | 6 | March 2012 | 860,451 | 868,875 | 8,424 | |||||||||||||||
MSCI EAFE Index Mini-Futures | 21 | March 2012 | 1,465,993 | 1,479,870 | 13,877 | |||||||||||||||
Ultra Long Term U.S Treasury Bond Futures | (9 | ) | March 2012 | (1,415,605 | ) | (1,441,688 | ) | (26,083 | ) | |||||||||||
Total Futures Contracts | $ | 22,100 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
199
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases | ||||||||||||||||||||||
Brazilian Real | HSBC | 185,111 | 1/18/2012 | $ | 98,720 | $ | 98,816 | $ | 96 | |||||||||||||
Brazilian Real | MSC | 239,168 | 1/18/2012 | 128,000 | 127,673 | (327 | ) | |||||||||||||||
Chinese Yuan | MSC | 6,420,000 | 5/9/2012 | 1,008,720 | 1,018,383 | 9,663 | ||||||||||||||||
Chinese Yuan | CITI | 6,434,905 | 5/9/2012 | 1,011,459 | 1,020,747 | 9,288 | ||||||||||||||||
Chinese Yuan | JPM | 1,931,400 | 3/1/2012 | 305,408 | 306,633 | 1,225 | ||||||||||||||||
Chinese Yuan | HSBC | 15,430,186 | 1/18/2012 -5/9/2012 | 2,427,017 | 2,449,034 | 22,017 | ||||||||||||||||
Chinese Yuan | BB | 2,883,744 | 3/1/2012 | 456,000 | 457,828 | 1,828 | ||||||||||||||||
EURO | HSBC | 108,541 | 1/20/2012 | 142,148 | 140,481 | (1,667 | ) | |||||||||||||||
EURO | SSB | 51,949 | 1/3/2012 - 1/5/2012 | 67,280 | 67,231 | (49 | ) | |||||||||||||||
EURO | CSFB | 98,000 | 3/21/2012 | 127,670 | 126,917 | (753 | ) | |||||||||||||||
EURO | BB | 98,000 | 3/21/2012 | 127,917 | 126,917 | (1,000 | ) | |||||||||||||||
Indian Rupee | BB | 7,293,550 | 1/18/2012 | 144,828 | 136,816 | (8,012 | ) | |||||||||||||||
Indian Rupee | CITI | 14,168,350 | 1/18/2012 | 284,088 | 265,778 | (18,310 | ) | |||||||||||||||
Malaysian Ringgit | CITI | 400,576 | 1/18/2012 | 128,000 | 126,226 | (1,774 | ) | |||||||||||||||
Malaysian Ringgit | BB | 416,920 | 1/18/2012 | 132,512 | 131,376 | (1,136 | ) | |||||||||||||||
Malaysian Ringgit | RBS | 1,807,313 | 1/18/2012 | 576,624 | 569,505 | (7,119 | ) | |||||||||||||||
Mexican Peso | BB | 8,726,518 | 1/30/2012 - 3/21/2012 | 612,106 | 623,540 | 11,434 | ||||||||||||||||
Mexican Peso | HSBC | 892,288 | 3/21/2012 | 64,000 | 63,567 | (433 | ) | |||||||||||||||
Russian Ruble | BB | 7,961,598 | 1/10/2012 - 1/18/2012 | 247,564 | 246,766 | (798 | ) | |||||||||||||||
Russian Ruble | JPM | 5,830,650 | 1/10/2012 | 189,000 | 180,814 | (8,186 | ) | |||||||||||||||
Russian Ruble | CITI | 4,728,210 | 1/18/2012 | 146,000 | 146,471 | 471 | ||||||||||||||||
Russian Ruble | UBS | 5,758,371 | 1/10/2012 | 181,399 | 178,572 | (2,827 | ) | |||||||||||||||
Singapore Dollar | BB | 405,006 | 3/21/2012 | 312,124 | 312,392 | 268 | ||||||||||||||||
South African Rand | SSB | 343,920 | 1/3/2012 - 1/6/2012 | 42,223 | 42,604 | 381 | ||||||||||||||||
South Korea Won | CSFB | 828,424,765 | 1/18/2012 | 705,793 | 719,137 | 13,344 | ||||||||||||||||
South Korea Won | CITI | 144,774,000 | 1/18/2012 | 126,000 | 125,675 | (325 | ) | |||||||||||||||
Swiss Franc | SSB | 22,000 | 1/3/2012 - 1/5/2012 | 23,381 | 23,421 | 40 | ||||||||||||||||
Taiwan Dollar | BB | 9,216,001 | 1/18/2012 | 306,607 | 304,587 | (2,020 | ) | |||||||||||||||
Turkish Lira | JPM | 122,624 | 3/21/2012 | 64,000 | 63,614 | (386 | ) | |||||||||||||||
Total Purchases | $ | 10,186,588 | $ | 10,201,521 | $ | 14,933 | ||||||||||||||||
Sales | ||||||||||||||||||||||
Brazilian Real | CITI | 120,864 | 1/18/2012 | $ | 64,000 | $ | 64,520 | ($ | 520 | ) | ||||||||||||
Brazilian Real | HSBC | 343,451 | 1/18/2012 | 189,000 | 183,342 | 5,658 | ||||||||||||||||
Brazilian Real | BB | 1,535,210 | 1/18/2012 | 832,543 | 819,530 | 13,013 | ||||||||||||||||
Brazilian Real | SSB | 44,278 | 1/3/2012 | 23,634 | 23,738 | (104 | ) | |||||||||||||||
Brazilian Real | UBS | 120,832 | 1/18/2012 | 64,000 | 64,503 | (503 | ) | |||||||||||||||
Canadian Dollar | SSB | 7,693 | 1/3/2012 | 7,516 | 7,551 | (35 | ) | |||||||||||||||
Chinese Yuan | BB | 13,302,196 | 3/1/2012 - 5/9/2012 | 2,080,999 | 2,110,347 | (29,348 | ) | |||||||||||||||
Chinese Yuan | HSBC | 2,062,908 | 3/1/2012 | 324,000 | 327,511 | (3,511 | ) | |||||||||||||||
Chinese Yuan | RBS | 7,917,847 | 5/9/2012 | 1,239,875 | 1,255,982 | (16,107 | ) | |||||||||||||||
Chinese Yuan | DB | 1,954,976 | 3/1/2012 | 307,000 | 310,376 | (3,376 | ) | |||||||||||||||
Chinese Yuan | MSC | 1,943,918 | 3/1/2012 | 305,000 | 308,620 | (3,620 | ) | |||||||||||||||
Chinese Yuan | CITI | 3,875,895 | 1/18/2012 - 3/1/2012 | 607,461 | 615,443 | (7,982 | ) | |||||||||||||||
EURO | HSBC | 195,000 | 3/21/2012 | 255,367 | 252,539 | 2,828 | ||||||||||||||||
EURO | CITI | 421,739 | 3/21/2012 | 549,407 | 546,181 | 3,226 | ||||||||||||||||
EURO | BB | 96,000 | 3/21/2012 | 127,895 | 124,327 | 3,568 | ||||||||||||||||
EURO | JPM | 2,028,529 | 1/20/2012 | 2,631,001 | 2,625,475 | 5,526 | ||||||||||||||||
Hong Kong Dollar | SSB | 2,749,761 | 1/3/2012 - 1/4/2012 | 353,828 | 354,049 | (221 | ) | |||||||||||||||
Indian Rupee | CITI | 21,502,720 | 1/18/2012 | 428,000 | 403,360 | 24,640 | ||||||||||||||||
Japanese Yen | SSB | 9,374,433 | 1/4/2012 - 1/6/2012 | 120,736 | 121,793 | (1,057 | ) | |||||||||||||||
Malaysian Ringgit | JPM | 1,784,429 | 1/18/2012 | 563,000 | 562,294 | 706 | ||||||||||||||||
Malaysian Ringgit | BB | 201,821 | 1/18/2012 | 63,000 | 63,596 | (596 | ) | |||||||||||||||
Malaysian Ringgit | MSC | 238,716 | 1/18/2012 | 76,000 | 75,222 | 778 | ||||||||||||||||
Mexican Peso | MSC | 4,040,126 | 3/21/2012 | 291,485 | 287,822 | 3,663 | ||||||||||||||||
Norwegian Krone | SSB | 114,325 | 1/3/2012 | 19,002 | 19,115 | (113 | ) | |||||||||||||||
Russian Ruble | UBS | 5,758,371 | 1/10/2012 | 179,303 | 178,572 | 731 | ||||||||||||||||
Russian Ruble | JPM | 5,830,650 | 1/10/2012 | 181,473 | 180,814 | 659 | ||||||||||||||||
Russian Ruble | BB | 8,709,009 | 1/10/2012 - 1/18/2012 | 271,254 | 269,919 | 1,335 | ||||||||||||||||
Singapore Dollar | SSB | 28,316 | 1/3/2012 - 1/5/2012 | 21,825 | 21,829 | (4 | ) | |||||||||||||||
South African Rand | HSBC | 3,513,843 | 3/22/2012 | 420,266 | 430,345 | (10,079 | ) | |||||||||||||||
South African Rand | BB | 10,299,792 | 2/9/2012 | 1,239,073 | 1,268,895 | (29,822 | ) | |||||||||||||||
South Korea Won | JPM | 292,162,559 | 1/18/2012 | 256,000 | 253,620 | 2,380 | ||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
200
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales - continued | ||||||||||||||||||||||||
South Korea Won | SSB | 116,802,000 | 1/18/2012 | 103,000 | 101,393 | 1,607 | ||||||||||||||||||
South Korea Won | CITI | 276,826,599 | 1/18/2012 | 242,607 | 240,307 | 2,300 | ||||||||||||||||||
Taiwan Dollar | CITI | 9,216,001 | 1/18/2012 | 306,000 | 304,586 | 1,414 | ||||||||||||||||||
Turkish Lira | BB | 60,704 | 3/21/2012 | 32,000 | 31,491 | 509 | ||||||||||||||||||
Turkish Lira | HSBC | 62,493 | 3/21/2012 | 32,000 | 32,419 | (419 | ) | |||||||||||||||||
Turkish Lira | CITI | 673,974 | 3/21/2012 | 359,108 | 349,637 | 9,471 | ||||||||||||||||||
Total Sales | $ | 15,167,658 | $ | 15,191,063 | ($23,405) | |||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts |
| ($8,472) | ||||||||||||||||||||||
Counterparty | ||||||||
BB | - | Barclays Bank | ||||||
CITI | - | Citibank | ||||||
CSFB | - | CS First Boston Corporation | ||||||
DB | - | Deutsche Bank | ||||||
HSBC | - | HSBC Securities, Inc. | ||||||
JPM | - | J.P. Morgan | ||||||
MSC | - | Morgan Stanley & Company | ||||||
RBS | - | The Royal Bank of Scotland | ||||||
SSB | - | State Street Bank | ||||||
UBS | - | UBS Securities, Ltd. | ||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 34,306 | ||||
Total Interest Rate Contracts | 34,306 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 13,877 | ||||
Total Equity Contracts | 13,877 | |||||
Foreign Exchange Contracts Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 155,803 | ||||
Total Foreign Exchange Contracts | 155,803 | |||||
|
| |||||
Total Asset Derivatives | $ | 203,986 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 26,083 | ||||
Total Interest Rate Contracts | 26,083 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 164,275 | ||||
Total Foreign Exchange Contracts | 164,275 | |||||
|
| |||||
Total Liability Derivatives | $ | 190,358 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s |
The accompanying Notes to Financial Statements are an integral part of this schedule.
201
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 11,027 | ||||
Total Equity Contracts | 11,027 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (18,179 | ) | |||
Total Foreign Exchange Contracts | (18,179 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 252,248 | ||||
Interest Rate Swaps | Net realized gains/(losses) on Swap agreements | (2,150 | ) | |||
Total Interest Rate Contracts | 250,098 | |||||
|
| |||||
Total | $ | 242,946 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||
Interest Rate Contracts | ||||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 176,441 | ||||
Total Interest Rate Contracts | 176,441 | |||||
Equity Contracts | ||||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (40,313 | ) | |||
Total Equity Contracts | (40,313 | ) | ||||
Foreign Exchange Contracts | ||||||
| Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 87,952 | ||||
Total Foreign Exchange Contracts | 87,952 | |||||
|
| |||||
Total | $ | 224,080 | ||||
|
| |||||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 1,481,201 | 0.3 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 9,136,649 | 1.7 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 48,689,643 | 9.1 | |||||||||||
| * | 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.
202
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (99.1%) | Value | ||||||
| Australia (4.7%) | ||||||||
| 87,731 | Ansell, Ltd. | $ | 1,302,613 | |||||
| 115,876 | Australia & New Zealand Banking Group, Ltd. | 2,427,019 | ||||||
| 398,156 | BHP Billiton, Ltd. | 14,054,456 | ||||||
| 536,253 | Challenger, Ltd. | 2,262,059 | ||||||
| 48,277 | Flight Centre, Ltd.a | 795,427 | ||||||
| 244,260 | Fortescue Metals Group, Ltd. | 1,068,503 | ||||||
| 252,924 | GrainCorp, Ltd. | 2,024,090 | ||||||
| 192,491 | Iluka Resources, Ltd. | 3,048,887 | ||||||
| 652,358 | Mount Gibson Iron, Ltd. | 745,504 | ||||||
| 536,410 | NRW Holdings, Ltd. | 1,416,326 | ||||||
| 73,792 | Rio Tinto, Ltd. | 4,549,254 | ||||||
|
| |||||||
| Total Australia | 33,694,138 | |||||||
|
| |||||||
| Austria (0.1%) | ||||||||
| 20,491 | Voestalpine AG | 574,072 | ||||||
|
| |||||||
| Total Austria | 574,072 | |||||||
|
| |||||||
| Belgium (0.9%) | ||||||||
| 95,848 | Anheuser-Busch InBev NV | 5,849,519 | ||||||
| 8,496 | Bekaert SAa | 271,291 | ||||||
|
| |||||||
| Total Belgium | 6,120,810 | |||||||
|
| |||||||
| Brazil (1.0%) | ||||||||
| 272,250 | Petroleo Brasileiro SA ADR | 6,765,413 | ||||||
|
| |||||||
Total Brazil | 6,765,413 | |||||||
|
| |||||||
| Canada (5.6%) | ||||||||
| 44,201 | Agrium, Inc.a | 2,966,691 | ||||||
| 74,945 | Alimentation Couche-Tard, Inc. | 2,331,917 | ||||||
| 104,640 | Barrick Gold Corporation | 4,740,023 | ||||||
| 120,743 | Brookfield Asset Management, Inc. | 3,323,159 | ||||||
| 21,600 | Canadian National Railway Companya | 1,699,294 | ||||||
| 85,700 | Cenovus Energy, Inc. | 2,845,732 | ||||||
| 56,567 | Finning International, Inc. | 1,233,169 | ||||||
| 71,850 | Goldcorp, Inc. | 3,188,397 | ||||||
| 113,915 | Neo Material Technologies, Incb | 819,589 | ||||||
| 47,200 | Pacific Rubiales Energy Corporation | 867,742 | ||||||
| 90,709 | Potash Corporation of Saskatchewan, Inc.a | 3,749,269 | ||||||
| 52,233 | Shoppers Drug Mart Corporationa | 2,109,212 | ||||||
| 33,011 | SNC-Lavalin Group, Inc. | 1,619,120 | ||||||
| 54,169 | Suncor Energy, Inc. | 1,562,117 | ||||||
| 36,244 | Tim Hortons, Inc. | 1,755,991 | ||||||
| 25,619 | TMX Group, Inc. | 1,048,347 | ||||||
| 75,693 | Trican Well Service, Ltd. | 1,303,899 | ||||||
| 163,629 | Yamana Gold, Inc.a | 2,412,355 | ||||||
|
| |||||||
| Total Canada | 39,576,023 | |||||||
|
| |||||||
| Denmark (1.1%) | ||||||||
| 14,416 | Coloplast AS | 2,068,684 | ||||||
| 45,254 | Novo Nordisk AS | 5,198,924 | ||||||
| 32,115 | Vestas Wind Systemsa,b | 345,400 | ||||||
|
| |||||||
| Total Denmark | 7,613,008 | |||||||
|
| |||||||
| Finland (0.4%) | ||||||||
| 309,400 | Neste Oil OYJ | 3,111,498 | ||||||
|
| |||||||
| Total Finland | 3,111,498 | |||||||
|
| |||||||
| France (8.0%) | ||||||||
| 307,636 | Alcatel-Lucenta,b | 478,036 | ||||||
| 34,697 | AtoS | 1,515,779 | ||||||
| 541,475 | AXA SA | 6,998,741 | ||||||
| 28,731 | Bouygues SA | 903,548 | ||||||
| 197,600 | Cap Gemini SA | 6,142,989 | ||||||
| 18,805 | Christian Dior SA | 2,219,550 | ||||||
| 223,512 | Compagnie de Saint-Gobain | 8,543,325 | ||||||
| 34,504 | Compagnie Generale de Geophysique-Veritasb | 800,853 | ||||||
| 103,413 | Credit Agricole SA | 579,351 | ||||||
| 69,121 | Faurecia | 1,302,645 | ||||||
| 18,512 | Rallye SA | 516,000 | ||||||
| 13,105 | Remy Cointreau SA | 1,050,958 | ||||||
| 79,747 | Safran SA | 2,384,752 | ||||||
| 191,328 | Total SA | 9,762,408 | ||||||
| 8,507 | Vallourec SA | 549,488 | ||||||
| 68,392 | Vinci SA | 2,976,791 | ||||||
| 397,504 | Vivendi SA | 8,676,720 | ||||||
| 22,171 | Wendel SA | 1,471,633 | ||||||
|
| |||||||
| Total France | 56,873,567 | |||||||
|
| |||||||
| Germany (7.3%) | ||||||||
| 33,620 | BASF SE | 2,340,412 | ||||||
| 47,438 | Bayerische Motoren Werke AG | 3,170,924 | ||||||
| 4,204,800 | Commerzbank AGa,b | 7,076,384 | ||||||
| 205,984 | Daimler AG | 9,023,229 | ||||||
| 137,650 | Deutsche Boerse AGb | 7,203,814 | ||||||
| 82,750 | Metro AG | 3,017,114 | ||||||
| 38,271 | RWE AG | 1,343,348 | ||||||
| 90,710 | SAP AG ADR | 4,797,475 | ||||||
| 65,584 | Siemens AG | 6,274,379 | ||||||
| 98,710 | Suedzucker AG | 3,144,259 | ||||||
| 88,332 | TUI AGa,b | 547,882 | ||||||
| 23,292 | Volkswagen AG | 3,482,183 | ||||||
| 5,434 | Wacker Chemie AGa | 436,458 | ||||||
|
| |||||||
| Total Germany | 51,857,861 | |||||||
|
| |||||||
| Hong Kong (3.1%) | ||||||||
| 527,000 | Cathay Pacific Airways, Ltd. | 901,062 | ||||||
| 174,092 | CLP Holdings, Ltd. | 1,479,062 | ||||||
| 3,594,400 | Guangzhou Automobile Group Company, Ltd. | 2,990,304 | ||||||
| 690,000 | Hutchison Whampoa, Ltd. | 5,757,937 | ||||||
| 8,554,025 | New World Development Company, Ltd. | 6,868,244 | ||||||
| 808,000 | SJM Holdings, Ltd. | 1,311,177 | ||||||
| 102,932 | Swire Pacific, Ltd. | 1,240,180 | ||||||
| 273,000 | Wharf Holdings, Ltd. | 1,230,595 | ||||||
|
| |||||||
| Total Hong Kong | 21,778,561 | |||||||
|
| |||||||
| Israel (1.0%) | ||||||||
| 176,150 | Teva Pharmaceutical Industries, Ltd. ADR | 7,109,414 | ||||||
|
| |||||||
| Total Israel | 7,109,414 | |||||||
|
| |||||||
| Italy (2.2%) | ||||||||
| 181,923 | Davide Campari - Milano SPA | 1,209,092 | ||||||
| 377,800 | Eni SPA | 7,788,782 | ||||||
| 6,736,050 | Telecom Italia SPA | 6,026,442 | ||||||
| 70,671 | UniCredit SPAa | 582,864 | ||||||
|
| |||||||
| Total Italy | 15,607,180 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
203
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (99.1%) | Value | ||||||
| Japan (20.3%) | ||||||||
| 43,900 | Aisin Seiki Company, Ltd. | $ | 1,244,132 | |||||
| 348,000 | Bank of Yokohama, Ltd. | 1,641,860 | ||||||
| 387,550 | Bridgestone Corporation | 8,777,303 | ||||||
| 111,500 | Canon, Inc. | 4,906,818 | ||||||
| 31,800 | Capcom Company, Ltd. | 751,974 | ||||||
| 85,000 | Daihatsu Motor Company, Ltd. | 1,511,538 | ||||||
| 407,700 | Daiichi Sankyo Company, Ltd. | 8,074,553 | ||||||
| 51,250 | Daito Trust Construction Company, Ltd. | 4,388,365 | ||||||
| 1,931,550 | Daiwa Securities Group, Inc. | 6,005,868 | ||||||
| 16,300 | Dena Company, Ltd. | 488,290 | ||||||
| 90,900 | East Japan Railway Company | 5,793,816 | ||||||
| 81,000 | Elpida Memory, Inc.a,b | 374,754 | ||||||
| 30,800 | Gree, Inc. | 1,058,789 | ||||||
| 405,000 | Hitachi, Ltd. | 2,106,798 | ||||||
| 29,000 | Idemitsu Kosan Company, Ltd. | 2,988,655 | ||||||
| 928,000 | IHI Corporation | 2,249,904 | ||||||
| 246,600 | ITOCHU Corporation | 2,500,391 | ||||||
| 176,000 | Kao Corporation | 4,802,339 | ||||||
| 623,000 | Kawasaki Heavy Industries, Ltd. | 1,545,581 | ||||||
| 318,000 | Kawasaki Kisen Kaisha, Ltd. | 572,609 | ||||||
| 263 | KDDI Corporation | 1,689,066 | ||||||
| 80,900 | Komatsu, Ltd. | 1,886,419 | ||||||
| 52,200 | Lawson, Inc. | 3,252,341 | ||||||
| 264,000 | Marubeni Corporation | 1,606,911 | ||||||
| 318,000 | Mitsubishi Electric Corporation | 3,047,660 | ||||||
| 74,800 | Mitsui & Company, Ltd. | 1,159,343 | ||||||
| 355,100 | Mori Seiki Company, Ltd. | 3,153,997 | ||||||
| 349,295 | MS and AD Insurance Group Holdings, Inc. | 6,447,496 | ||||||
| 189,100 | Namco Bandai Holdings, Inc. | 2,683,810 | ||||||
| 328,050 | Nikon Corporation | 7,269,766 | ||||||
| 31,400 | Nippon Telegraph & Telephone Corporation | 1,598,572 | ||||||
| 327,000 | Nippon Yusen Kabushiki Kaisha | 833,483 | ||||||
| 873,850 | Nissan Motor Company, Ltd. | 7,825,408 | ||||||
| 46,200 | Ship Healthcare Holdings, Inc. | 1,008,167 | ||||||
| 82,400 | Sony Corporation | 1,485,754 | ||||||
| 43,500 | Start Today Company, Ltd. | 1,020,512 | ||||||
| 664,900 | Sumitomo Corporation | 8,987,544 | ||||||
| 236,800 | Sumitomo Electric Industries, Ltd. | 2,563,760 | ||||||
| 2,723,550 | Sumitomo Mitsui Trust Holdings, Inc. | 7,986,913 | ||||||
| 112,900 | Sumitomo Rubber Industries, Ltd. | 1,355,738 | ||||||
| 15,000 | TDK Corporation | 661,550 | ||||||
| 334,000 | Tokyu Corporation | 1,644,810 | ||||||
| 46,000 | Toyo Suisan Kaisha, Ltd. | 1,113,186 | ||||||
| 86,400 | Toyota Motor Corporation | 2,856,999 | ||||||
| 52,400 | Trend Micro, Inc. | 1,562,544 | ||||||
| 379,800 | UNY Company, Ltd. | 3,416,581 | ||||||
| 49,900 | West Japan Railway Company | 2,168,223 | ||||||
| 48,400 | Xebio Company, Ltd. | 1,147,520 | ||||||
| 22,080 | Yamada Denki Company, Ltd. | 1,504,072 | ||||||
|
| |||||||
| Total Japan | 144,722,482 | |||||||
|
| |||||||
| Netherlands (2.9%) | ||||||||
| 1,830,950 | Aegon NVb | 7,317,165 | ||||||
| 177,116 | Koninklijke DSM NV | 8,186,005 | ||||||
| 152,466 | Unilever NV | 5,241,954 | ||||||
|
| |||||||
| Total Netherlands | 20,745,124 | |||||||
|
| |||||||
| Norway (2.2%) | ||||||||
| 71,249 | DnB NOR ASA | 694,441 | ||||||
| 416,123 | Renewable Energy Corporation ASAa,b | 229,452 | ||||||
| 67,574 | Seadrill, Ltd. | 2,253,511 | ||||||
| 387,505 | Statoil ASA | 9,924,032 | ||||||
| 61,063 | Yara International ASA | 2,437,593 | ||||||
|
| |||||||
| Total Norway | 15,539,029 | |||||||
|
| |||||||
| Portugal (0.6%) | ||||||||
| 1,115,950 | Banco Espirito Santo SAa | 1,943,200 | ||||||
| 139,618 | Jeronimo Martins SGPS SAb | 2,305,965 | ||||||
|
| |||||||
| Total Portugal | 4,249,165 | |||||||
|
| |||||||
| Singapore (1.5%) | ||||||||
| 1,058,115 | Keppel Corporation, Ltd. | 7,573,463 | ||||||
| 263,000 | Oversea-Chinese Banking Corporation, Ltd. | 1,586,050 | ||||||
| 487,000 | SembCorp Industries, Ltd. | 1,518,895 | ||||||
|
| |||||||
| Total Singapore | 10,678,408 | |||||||
|
| |||||||
| South Korea (2.0%) | ||||||||
| 21,850 | POSCO | 7,207,465 | ||||||
| 25,110 | SK Telecom Company, Ltd. | 3,087,126 | ||||||
| 284,190 | SK Telecom Company, Ltd. ADR | 3,867,826 | ||||||
|
| |||||||
| Total South Korea | 14,162,417 | |||||||
|
| |||||||
| Spain (3.2%) | ||||||||
| 58,494 | Abertis Infraestructuras SA | 929,507 | ||||||
| 916,346 | Banco Bilbao Vizcaya Argentaria SA | 7,893,004 | ||||||
| 754,825 | Banco Popular Espanol SAa | 3,428,119 | ||||||
| 276,050 | Indra Sistemas SAa | 3,499,515 | ||||||
| 41,897 | Industria de Diseno Textil SA (Inditex) | 3,420,025 | ||||||
| 117,418 | Repsol YPF SA | 3,592,182 | ||||||
|
| |||||||
| Total Spain | 22,762,352 | |||||||
|
| |||||||
| Sweden (2.7%) | ||||||||
| 137,322 | Atlas Copco AB | 2,942,310 | ||||||
| 46,570 | Electrolux AB | 739,949 | ||||||
| 60,167 | Elekta AB | 2,601,557 | ||||||
| 125,996 | Husqvarna AB | 578,484 | ||||||
| 54,720 | Kinnevik Investment AB | 1,063,556 | ||||||
| 11,994 | Modern Times Group AB | 571,280 | ||||||
| 151,883 | Nordea Bank AB | 1,170,650 | ||||||
| 60,995 | Skanska AB | 1,006,702 | ||||||
| 225,161 | Swedbank AB | 2,905,591 | ||||||
| 228,967 | Telefonaktiebolaget LM Ericsson | 2,321,849 | ||||||
| 313,738 | Volvo AB | 3,417,835 | ||||||
|
| |||||||
| Total Sweden | 19,319,763 | |||||||
|
| |||||||
| Switzerland (9.8%) | ||||||||
| 108,053 | ABB, Ltd.b | 2,029,908 | ||||||
| 146,850 | Adecco SAb | 6,120,157 | ||||||
| 46,749 | Aryzta AG | 2,255,324 | ||||||
| 317,500 | Credit Suisse Groupb | 7,441,594 | ||||||
| 8,607 | Dufry AGb | 789,973 | ||||||
| 4,721 | Galenica AGa | 2,757,466 | ||||||
| 6,527 | Givaudan SAb | 6,202,140 | ||||||
| 122,136 | Holcim, Ltd.b | 6,510,461 | ||||||
| 142,859 | Nestle SA | 8,203,465 | ||||||
| 134,350 | Novartis AG | 7,670,451 | ||||||
| 103,357 | Roche Holding AG | 17,479,558 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
204
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (99.1%) | Value | ||||||
| Switzerland (9.8%) - continued | ||||||||
| 153,047 | UBS AGb | $ | 1,815,545 | |||||
|
| |||||||
| Total Switzerland | 69,276,042 | |||||||
|
| |||||||
| Thailand (1.7%) | ||||||||
| 729,325 | Bangkok Bank pcl | 3,785,539 | ||||||
| 820,550 | PTT pcl | 8,255,485 | ||||||
|
| |||||||
| Total Thailand | 12,041,024 | |||||||
|
| |||||||
| United Kingdom (16.3%) | ||||||||
| 29,201 | Anglo American plc | 1,078,714 | ||||||
| 2,395,305 | BAE Systems plc | 10,584,502 | ||||||
| 342,072 | BG Group plc | 7,308,037 | ||||||
| 140,130 | BHP Billiton plc | 4,096,871 | ||||||
| 170,516 | British American Tobacco plc | 8,089,513 | ||||||
| 1,115,030 | BT Group plc | 3,305,088 | ||||||
| 132,460 | Burberry Group plc | 2,435,668 | ||||||
| 102,614 | Croda International plc | 2,872,682 | ||||||
| 95,562 | GlaxoSmithKline plc | 2,177,519 | ||||||
| 169,350 | HSBC Holdings plc ADR | 6,452,236 | ||||||
| 93,148 | IMI plc | 1,099,520 | ||||||
| 147,360 | Imperial Tobacco Group plc | 5,576,291 | ||||||
| 267,507 | Inchcape plc | 1,217,097 | ||||||
| 449,248 | Intermediate Capital Group plc | 1,595,008 | ||||||
| 487,635 | Kingfisher plc | 1,894,953 | ||||||
| 783,950 | Legal & General Group plc | 1,252,810 | ||||||
| 3,699,196 | Lloyds TSB Group plcb | 1,485,653 | ||||||
| 152,239 | Mondi plc | 1,075,367 | ||||||
| 239,200 | Pearson plc | 4,489,560 | ||||||
| 231,721 | Prudential plc | 2,292,739 | ||||||
| 102,378 | Rio Tinto plc | 5,000,924 | ||||||
| 39,559 | Royal Dutch Shell plc | 1,504,772 | ||||||
| 88,341 | Shire plc | 3,070,272 | ||||||
| 148,017 | SSE plc | 2,962,961 | ||||||
| 141,194 | Tate & Lyle plc | 1,543,639 | ||||||
| 1,440,750 | Tesco plc | 9,014,588 | ||||||
| 86,213 | Unilever plc | 2,891,141 | ||||||
| 2,636,937 | Vodafone Group plc | 7,352,218 | ||||||
| 791,548 | William Morrison Supermarkets plc | 4,003,716 | ||||||
| 771,000 | WPP plc | 8,085,860 | ||||||
|
| |||||||
| Total United Kingdom | 115,809,919 | |||||||
|
| |||||||
| United States (0.5%) | ||||||||
| 73,601 | iShares MSCI EAFE Index Fund | 3,645,458 | ||||||
|
| |||||||
| Total United States | 3,645,458 | |||||||
|
| |||||||
Total Common Stock (cost $787,648,838) | 703,632,728 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (5.4%) | ||||||||
| 38,197,124 | Thrivent Financial Securities Lending Trust | 38,197,124 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $38,197,124) | 38,197,124 | |||||||
|
| |||||||
Total Investments (cost $825,845,962) 104.5% | $ | 741,829,852 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.5%) | (32,002,347 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 709,827,505 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | 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 and depreciation of investments, | ||||
Gross unrealized appreciation | $ | 37,732,524 | ||
Gross unrealized depreciation | (123,321,756 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (85,589,232 | ) | |
Cost for federal income tax purposes | $ | 827,419,084 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
205
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | ||||||||||||||||
Consumer Discretionary | 111,188,001 | — | 111,188,001 | — | ||||||||||||
Consumer Staples | 76,706,984 | — | 76,706,984 | — | ||||||||||||
Energy | 61,828,433 | 6,765,413 | 55,063,020 | — | ||||||||||||
Financials | 118,231,731 | 10,097,694 | 108,134,037 | — | ||||||||||||
Health Care | 59,216,565 | 7,109,414 | 52,107,151 | — | ||||||||||||
Industrials | 113,995,592 | — | 113,995,592 | — | ||||||||||||
Information Technology | 32,408,875 | — | 32,408,875 | — | ||||||||||||
Materials | 97,169,291 | — | 97,169,291 | — | ||||||||||||
Telecommunications Services | 26,926,338 | 3,867,826 | 23,058,512 | — | ||||||||||||
Utilities | 5,960,918 | — | 5,960,918 | — | ||||||||||||
Collateral Held for Securities Loaned | 38,197,124 | 38,197,124 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 741,829,852 | $ | 66,037,471 | $ | 675,792,381 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | 142 | — | 142 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 142 | $ | — | $ | 142 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales | ||||||||||||||||||||||||
Canadian Dollar | SSB | 31,542 | 1/3/2012 | $ | 30,818 | $ | 30,960 | ($ | 142 | ) | ||||||||||||||
Total Sales | $ | 30,818 | $ | 30,960 | ($ | 142 | ) | |||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($ | 142 | ) | |||||||||||||||||||||
Counterparty | ||||
SSB | - | State Street Bank |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||
Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
| Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 142 | ||||
Total Foreign Exchange Contracts | 142 | |||||
|
| |||||
Total Liability Derivatives | $ | 142 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
206
Partner International Stock Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (667,317 | ) | |||
Total Foreign Exchange Contracts | (667,317 | ) | ||||
|
| |||||
Total | ($ | 667,317 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 3,246 | ||||
Total Foreign Exchange Contracts | 3,246 | |||||
|
| |||||
Total | $ | 3,246 | ||||
|
| |||||
The following table presents Partner International Stock Portfolio's average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 9,386,157 | 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 Partner International Stock Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 7,579,024 | $ | 434,939,380 | $ | 404,321,280 | 38,197,124 | $ | 38,197,124 | $ | 901,065 | |||||||||||||
Total Value and Income Earned | 7,579,024 | 38,197,124 | 901,065 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
207
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2011
Shares | Common Stock (96.1%) | Value | ||||
| Consumer Discretionary (11.1%) | ||||||
| 5,210 | CarMax, Inc.a | $ | 158,801 | |||
| 1,030 | Darden Restaurants, Inc. | 46,947 | ||||
| 2,080 | Johnson Controls, Inc. | 65,021 | ||||
| 2,350 | Kohl’s Corporation | 115,972 | ||||
| 290 | Priceline.com, Inc.a | 135,636 | ||||
| 3,460 | Starbucks Corporation | 159,195 | ||||
|
| |||||
| Total Consumer Discretionary | 681,572 | |||||
|
| |||||
| Consumer Staples (9.3%) | ||||||
| 1,300 | Coca-Cola Company | 90,961 | ||||
| 970 | Costco Wholesale Corporation | 80,820 | ||||
| 5,300 | CVS Caremark Corporation | 216,134 | ||||
| 570 | Green Mountain Coffee Roasters, Inc.a | 25,565 | ||||
| 1,700 | PepsiCo, Inc. | 112,795 | ||||
| 720 | Procter & Gamble Company | 48,031 | ||||
|
| |||||
| Total Consumer Staples | 574,306 | |||||
|
| |||||
| Energy (10.1%) | ||||||
| 4,460 | Cameron International Corporationa | 219,388 | ||||
| 2,670 | Noble Corporationa | 80,687 | ||||
| 3,710 | QEP Resources, Inc. | 108,703 | ||||
| 7,310 | Suncor Energy, Inc. ADR | 210,747 | ||||
|
| |||||
| Total Energy | 619,525 | |||||
|
| |||||
| Financials (11.2%) | ||||||
| 900 | Aflac, Inc. | 38,934 | ||||
| 3,050 | American Express Company | 143,868 | ||||
| 950 | IntercontinentalExchange, Inc.a | 114,523 | ||||
| 5,720 | SunTrust Banks, Inc. | 101,244 | ||||
| 2,780 | T. Rowe Price Group, Inc. | 158,321 | ||||
| 4,850 | Wells Fargo & Company | 133,666 | ||||
|
| |||||
| Total Financials | 690,556 | |||||
|
| |||||
| Health Care (15.2%) | ||||||
| 3,200 | Allergan, Inc. | 280,768 | ||||
| 900 | Cerner Corporationa | 55,125 | ||||
| 1,200 | Edwards Lifesciences Corporationa | 84,840 | ||||
| 4,870 | Gilead Sciences, Inc.a | 199,329 | ||||
| 170 | Intuitive Surgical, Inc.a | 78,712 | ||||
| 2,700 | Novartis AG ADR | 154,359 | ||||
| 490 | Perrigo Company | 47,677 | ||||
| 1,010 | St. Jude Medical, Inc. | 34,643 | ||||
|
| |||||
| Total Health Care | 935,453 | |||||
|
| |||||
| Industrials (9.4%) | ||||||
| 970 | 3M Company | 79,278 | ||||
| 1,940 | C.H. Robinson Worldwide, Inc. | 135,373 | ||||
| 1,990 | Cooper Industries plc | 107,759 | ||||
| 3,150 | Danaher Corporation | 148,176 | ||||
| 2,690 | Expeditors International of Washington, Inc. | 110,182 | ||||
|
| |||||
| Total Industrials | 580,768 | |||||
|
| |||||
| Information Technology (27.2%) | ||||||
| 2,090 | Acme Packet, Inc.a | 64,602 | ||||
| 650 | Apple, Inc.a | 263,250 | ||||
| 2,750 | Cognizant Technology Solutions Corporationa | 176,853 | ||||
| 240 | Google, Inc.a | 155,016 | ||||
| 580 | Informatica Corporationa | 21,419 | ||||
| 600 | International Business Machines Corporation | 110,328 | ||||
| 2,150 | Intuit, Inc. | 113,069 | ||||
| 3,810 | Juniper Networks, Inc.a | 77,762 | ||||
| 1,280 | Mercadolibre, Inc. | 101,811 | ||||
| 2,840 | Microsoft Corporation | 73,726 | ||||
| 5,140 | QUALCOMM, Inc. | 281,158 | ||||
| 710 | Salesforce.com, Inc.a | 72,037 | ||||
| 3,130 | Texas Instruments, Inc. | 91,114 | ||||
| 800 | VMware, Inc.a | 66,552 | ||||
|
| |||||
| Total Information Technology | 1,668,697 | |||||
|
| |||||
| Materials (2.6%) | ||||||
| 2,730 | Ecolab, Inc. | 157,821 | ||||
|
| |||||
| Total Materials | 157,821 | |||||
|
| |||||
| Total Common Stock (cost $5,668,501) | 5,908,698 | |||||
|
| |||||
| Total Investments (cost $5,668,501) 96.1% | $ | 5,908,698 | ||||
|
| |||||
| Other Assets and Liabilities, Net 3.9% | 237,593 | |||||
|
| |||||
| Total Net Assets 100.0% | $ | 6,146,291 | ||||
|
| |||||
| 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 | $ | 534,556 | ||
Gross unrealized depreciation | (300,768 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 233,788 | ||
Cost for federal income tax purposes | $ | 5,674,910 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
208
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 681,572 | 681,572 | — | — | ||||||||||||
Consumer Staples | 574,306 | 574,306 | — | — | ||||||||||||
Energy | 619,525 | 619,525 | — | — | ||||||||||||
Financials | 690,556 | 690,556 | — | — | ||||||||||||
Health Care | 935,453 | 935,453 | — | — | ||||||||||||
Industrials | 580,768 | 580,768 | — | — | ||||||||||||
Information Technology | 1,668,697 | 1,668,697 | — | — | ||||||||||||
Materials | 157,821 | 157,821 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,908,698 | $ | 5,908,698 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
209
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (95.3%) | Value | ||||||
| Consumer Discretionary (10.6%) | ||||||||
| 2,055 | Amazon.com, Inc.a | $ | 355,720 | |||||
| 2,425 | Coach, Inc. | 148,022 | ||||||
| 2,150 | DIRECTVa | 91,934 | ||||||
| 850 | Priceline.com, Inc.a | 397,554 | ||||||
| 3,980 | Starbucks Corporation | 183,120 | ||||||
| 1,475 | TJX Companies, Inc. | 95,211 | ||||||
| 675 | Wynn Resorts, Ltd. | 74,581 | ||||||
|
| |||||||
| Total Consumer Discretionary | 1,346,142 | |||||||
|
| |||||||
| Consumer Staples (4.4%) | ||||||||
| 4,200 | Companhia de Bebidas das Americas ADR | 151,578 | ||||||
| 1,450 | Hansen Natural Corporationa | 133,603 | ||||||
| 3,025 | Herbalife, Ltd. | 156,301 | ||||||
| 1,675 | Mead Johnson Nutrition Company | 115,123 | ||||||
|
| |||||||
| Total Consumer Staples | 556,605 | |||||||
|
| |||||||
| Energy (10.3%) | ||||||||
| 2,025 | Apache Corporation | 183,425 | ||||||
| 3,750 | Baker Hughes, Inc. | 182,400 | ||||||
| 3,500 | Chesapeake Energy Corporation | 78,015 | ||||||
| 2,925 | Complete Production Services, Inc.a | 98,163 | ||||||
| 4,150 | Helmerich & Payne, Inc. | 242,194 | ||||||
| 4,075 | National Oilwell Varco, Inc. | 277,059 | ||||||
| 8,600 | Patterson-UTI Energy, Inc. | 171,828 | ||||||
| 1,200 | Schlumberger, Ltd. | 81,972 | ||||||
|
| |||||||
| Total Energy | 1,315,056 | |||||||
|
| |||||||
| Financials (2.9%) | ||||||||
| 1,700 | American Express Company | 80,189 | ||||||
| 750 | Franklin Resources, Inc. | 72,045 | ||||||
| 720 | IntercontinentalExchange, Inc.a | 86,796 | ||||||
| 2,400 | T. Rowe Price Group, Inc. | 136,680 | ||||||
|
| |||||||
| Total Financials | 375,710 | |||||||
|
| |||||||
| Health Care (8.9%) | ||||||||
| 3,125 | Celgene Corporationa | 211,250 | ||||||
| 5,150 | Cubist Pharmaceuticals, Inc.a | 204,043 | ||||||
| 850 | Intuitive Surgical, Inc.a | 393,558 | ||||||
| 1,950 | Novo Nordisk A/S ADR | 224,757 | ||||||
| 1,600 | Watson Pharmaceuticals, Inc.a | 96,544 | ||||||
|
| |||||||
| Total Health Care | 1,130,152 | |||||||
|
| |||||||
| Industrials (10.8%) | ||||||||
| 7,075 | ABB, Ltd. ADRa | 133,222 | ||||||
| 5,200 | Dover Corporation | 301,860 | ||||||
| 8,675 | Eaton Corporation | 377,623 | ||||||
| 3,750 | Fluor Corporation | 188,438 | ||||||
| 11,300 | Komatsu, Ltd. ADR | 266,906 | ||||||
| 1,325 | Parker Hannifin Corporation | 101,031 | ||||||
|
| |||||||
| Total Industrials | 1,369,080 | |||||||
|
| |||||||
| Information Technology (39.2%) | ||||||||
| 3,625 | Accenture plc | 192,959 | ||||||
| 2,000 | ANSYS, Inc.a | 114,560 | ||||||
| 1,470 | Apple, Inc.a | 595,350 | ||||||
| 2,675 | ASML Holding NV | 111,788 | ||||||
| 5,825 | Autodesk, Inc.a | 176,672 | ||||||
| 5,450 | Check Point Software Technologies, Ltd.a | 286,343 | ||||||
| 1,475 | Citrix Systems, Inc.a | 89,562 | ||||||
| 2,900 | Cognizant Technology Solutions Corporationa | 186,499 | ||||||
| 1,450 | CommVault Systems, Inc.a | 61,944 | ||||||
| 11,000 | EMC Corporationa | 236,940 | ||||||
| 1,750 | F5 Networks, Inc.a | 185,710 | ||||||
| 947 | Google, Inc.a | 611,667 | ||||||
| 2,000 | Informatica Corporationa | 73,860 | ||||||
| 5,325 | Intel Corporation | 129,131 | ||||||
| 3,750 | Intuit, Inc. | 197,212 | ||||||
| 425 | MasterCard, Inc. | 158,449 | ||||||
| 3,500 | Nuance Communications, Inc.a | 88,060 | ||||||
| 1,750 | Open Text Corporationa | 89,495 | ||||||
| 14,175 | Oracle Corporation | 363,589 | ||||||
| 8,050 | QUALCOMM, Inc. | 440,335 | ||||||
| 1,700 | Salesforce.com, Inc.a | 172,482 | ||||||
| 4,550 | Solarwinds, Inc.a | 127,173 | ||||||
| 1,850 | Teradata Corporationa | 89,744 | ||||||
| 2,400 | VMware, Inc.a | 199,656 | ||||||
|
| |||||||
| Total Information Technology | 4,979,180 | |||||||
|
| |||||||
| Materials (7.5%) | ||||||||
| 2,050 | Agrium, Inc. | 137,576 | ||||||
| 6,050 | Barrick Gold Corporation | 273,762 | ||||||
| 1,425 | Cliffs Natural Resources, Inc. | 88,849 | ||||||
| 5,150 | Freeport-McMoRan Copper & Gold, Inc. | 189,468 | ||||||
| 2,800 | Goldcorp, Inc. | 123,900 | ||||||
| 3,350 | Pan American Silver Corporation | 73,064 | ||||||
| 4,350 | Yamana Gold, Inc. | 63,901 | ||||||
|
| |||||||
| Total Materials | 950,520 | |||||||
|
| |||||||
| Telecommunications Services (0.7%) | ||||||||
| 3,656 | Tim Participacoes SA ADR | 94,325 | ||||||
|
| |||||||
| Total Telecommunications Services | 94,325 | |||||||
|
| |||||||
| Total Common Stock (cost $11,435,172) | 12,116,770 | |||||||
|
| |||||||
Contracts | Options Purchased (0.2%) | |||||||
| 8 | Put on Priceline.com, Inc. | $ | 22,000 | |||||
|
| |||||||
|
| |||||||
Total Options Purchased (cost $20,286) | 22,000 | |||||||
|
| |||||||
| Total Investments (cost $11,455,458) 95.5% | $ | 12,138,770 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 4.5% | 570,731 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 12,709,501 | ||||||
|
| |||||||
| 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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
210
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 1,348,969 | ||
Gross unrealized depreciation | (670,079 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 678,890 | ||
Cost for federal income tax purposes | $ | 11,459,880 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 1,346,142 | 1,346,142 | — | — | ||||||||||||
Consumer Staples | 556,605 | 556,605 | — | — | ||||||||||||
Energy | 1,315,056 | 1,315,056 | — | — | ||||||||||||
Financials | 375,710 | 375,710 | — | — | ||||||||||||
Health Care | 1,130,152 | 1,130,152 | — | — | ||||||||||||
Industrials | 1,369,080 | 1,369,080 | — | — | ||||||||||||
Information Technology | 4,979,180 | 4,979,180 | — | — | ||||||||||||
Materials | 950,520 | 950,520 | — | — | ||||||||||||
Telecommunications Services | 94,325 | 94,325 | — | — | ||||||||||||
Options Purchased | 22,000 | 22,000 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,138,770 | $ | 12,138,770 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 22,000 | ||||
Total Equity Contracts | 22,000 | |||||
|
| |||||
Total Asset Derivatives | $ | 22,000 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | (33,058 | ) | |||
Total Equity Contracts | (33,058 | ) | ||||
|
| |||||
Total | ($33,058 | ) | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
211
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 3,585 | ||||
Total Equity Contracts | 3,585 | |||||
|
| |||||
Total | $ | 3,585 | ||||
|
| |||||
The following table presents Partner All Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 64 | |||
The accompanying Notes to Financial Statements are an integral part of this schedule.
212
Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (94.8%) | Value | ||||||
| Consumer Discretionary (6.2%) | ||||||||
| 6,533 | Comcast Corporation | $ | 154,898 | |||||
| 1,844 | Mohawk Industries, Inc.a | 110,363 | ||||||
| 56,650 | Talbots, Inc.a | 150,689 | ||||||
|
| |||||||
| Total Consumer Discretionary | 415,950 | |||||||
|
| |||||||
| Consumer Staples (9.3%) | ||||||||
| 16,060 | Adecoagro SAa | 132,816 | ||||||
| 3,810 | Church & Dwight Company, Inc. | 174,346 | ||||||
| 3,430 | Coca-Cola Company | 239,997 | ||||||
| 1,310 | Wal-Mart Stores, Inc. | 78,286 | ||||||
|
| |||||||
| Total Consumer Staples | 625,445 | |||||||
|
| |||||||
| Energy (13.0%) | ||||||||
| 840 | Apache Corporation | 76,087 | ||||||
| 2,190 | Bill Barrett Corporationa | 74,613 | ||||||
| 3,050 | Chevron Corporation | 324,520 | ||||||
| 2,750 | Nabors Industries, Ltd.a | 47,685 | ||||||
| 1,548 | Noble Energy, Inc. | 146,116 | ||||||
| 4,060 | Penn West Petroleum, Ltd. | 80,388 | ||||||
| 1,630 | Royal Dutch Shell plc ADR | 119,137 | ||||||
|
| |||||||
| Total Energy | 868,546 | |||||||
|
| |||||||
| Financials (19.8%) | ||||||||
| 5,540 | CIT Group, Inc.a | 193,180 | ||||||
| 2,100 | Goldman Sachs Group, Inc. | 189,903 | ||||||
| 1,978 | J.P. Morgan Chase & Company | 65,768 | ||||||
| 3,090 | M&T Bank Corporation | 235,891 | ||||||
| 5,042 | MetLife, Inc. | 157,209 | ||||||
| 8,630 | U.S. Bancorp | 233,442 | ||||||
| 3,890 | Unum Group | 81,962 | ||||||
| 6,280 | Wells Fargo & Company | 173,077 | ||||||
|
| |||||||
| Total Financials | 1,330,432 | |||||||
|
| |||||||
| Health Care (13.2%) | ||||||||
| 4,330 | Gilead Sciences, Inc.a | 177,227 | ||||||
| 5,430 | HCA Holdings, Inc.a | 119,623 | ||||||
| 1,890 | Humana, Inc. | 165,583 | ||||||
| 7,990 | Medtronic, Inc. | 305,617 | ||||||
| 2,260 | UnitedHealth Group, Inc. | 114,537 | ||||||
|
| |||||||
| Total Health Care | 882,587 | |||||||
|
| |||||||
| Industrials (10.1%) | ||||||||
| 38,041 | AerCap Holdings NVa | 429,483 | ||||||
| 1,770 | Navistar International Corporationa | 67,048 | ||||||
| 3,920 | Tyco International, Ltd. | 183,103 | ||||||
|
| |||||||
| Total Industrials | 679,634 | |||||||
|
| |||||||
| Information Technology (10.2%) | ||||||||
| 2,490 | Hewlett-Packard Company | 64,142 | ||||||
| 6,320 | Juniper Networks, Inc.a | 128,991 | ||||||
| 8,010 | Microsoft Corporation | 207,940 | ||||||
| 4,960 | Oracle Corporation | 127,224 | ||||||
| 4,950 | Xilinx, Inc. | 158,697 | ||||||
|
| |||||||
| Total Information Technology | 686,994 | |||||||
|
| |||||||
| Materials (4.1%) | ||||||||
| 1,681 | Celanese Corporation | 74,418 | ||||||
| 2,670 | Mosaic Company | 134,648 | ||||||
| 1,170 | Rock-Tenn Company | 67,509 | ||||||
|
| |||||||
| Total Materials | 276,575 | |||||||
|
| |||||||
| Telecommunications Services (2.0%) | ||||||||
| 4,770 | Vodafone Group plc ADR | 133,703 | ||||||
|
| |||||||
| Total Telecommunications Services | 133,703 | |||||||
|
| |||||||
| Utilities (6.9%) | ||||||||
| 67,310 | GenOn Energy, Inc.a | 175,679 | ||||||
| 4,660 | Public Service Enterprise Group, Inc. | 153,826 | ||||||
| 2,880 | SCANA Corporation | 129,773 | ||||||
| Total Utilities | 459,278 | |||||||
|
| |||||||
Total Common Stock (cost $6,828,826) | 6,359,144 | |||||||
|
| |||||||
Total Investments (cost $6,828,826) 94.8% | $ | 6,359,144 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 5.2% | 346,570 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 6,705,714 | ||||||
|
| |||||||
| 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 | $ | 382,295 | ||
Gross unrealized depreciation | (853,107 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (470,812 | ) | |
Cost for federal income tax purposes | $ | 6,829,956 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
213
Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 415,950 | 415,950 | — | — | ||||||||||||
Consumer Staples | 625,445 | 625,445 | — | — | ||||||||||||
Energy | 868,546 | 868,546 | — | — | ||||||||||||
Financials | 1,330,432 | 1,330,432 | — | — | ||||||||||||
Health Care | 882,587 | 882,587 | — | — | ||||||||||||
Industrials | 679,634 | 679,634 | — | — | ||||||||||||
Information Technology | 686,994 | 686,994 | — | — | ||||||||||||
Materials | 276,575 | 276,575 | — | — | ||||||||||||
Telecommunications Services | 133,703 | 133,703 | — | — | ||||||||||||
Utilities | 459,278 | 459,278 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,359,144 | $ | 6,359,144 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (12 | ) | |||
Total Foreign Exchange Contracts | (12 | ) | ||||
|
| |||||
Total | ($12 | ) | ||||
|
| |||||
Partner All Cap Value Portfolio’s average volume of derivative activity for foreign exchange contracts during the period was <0.1% of average net assets.
The accompanying Notes to Financial Statements are an integral part of this schedule.
214
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.9%) | Value | ||||||
| Consumer Discretionary (10.6%) | ||||||||
| 3,740 | Amazon.com, Inc.a | $ | 647,394 | |||||
| 8,140 | Coach, Inc. | 496,865 | ||||||
| 23,970 | DISH Network Corporation | 682,666 | ||||||
| 13,690 | Johnson Controls, Inc. | 427,949 | ||||||
| 1,190 | Priceline.com, Inc.a | 556,575 | ||||||
| 2,330 | PVH Corporation | 164,242 | ||||||
| 9,750 | Starwood Hotels & Resorts Worldwide, Inc. | 467,707 | ||||||
| 9,010 | Time Warner Cable, Inc. | 572,766 | ||||||
| 12,620 | Viacom, Inc. | 573,074 | ||||||
| 3,240 | Wynn Resorts, Ltd. | 357,988 | ||||||
| 8,180 | Yum! Brands, Inc. | 482,702 | ||||||
|
| |||||||
| Total Consumer Discretionary | 5,429,928 | |||||||
|
| |||||||
| Consumer Staples (11.4%) | ||||||||
| 31,910 | Altria Group, Inc. | 946,132 | ||||||
| 31,250 | CVS Caremark Corporation | 1,274,375 | ||||||
| 11,380 | Dr. Pepper Snapple Group, Inc. | 449,283 | ||||||
| 4,720 | Estee Lauder Companies, Inc. | 530,150 | ||||||
| 1,190 | Green Mountain Coffee Roasters, Inc.a | 53,372 | ||||||
| 8,070 | Kellogg Company | 408,100 | ||||||
| 16,070 | Kroger Company | 389,215 | ||||||
| 4,780 | Mead Johnson Nutrition Company | 328,529 | ||||||
| 22,440 | Procter & Gamble Company | 1,496,972 | ||||||
|
| |||||||
| Total Consumer Staples | 5,876,128 | |||||||
|
| |||||||
| Energy (12.2%) | ||||||||
| 4,730 | Anadarko Petroleum Corporation | 361,041 | ||||||
| 3,800 | Apache Corporation | 344,204 | ||||||
| 21,780 | Chevron Corporation | 2,317,392 | ||||||
| 4,154 | ENSCO International plc ADR | 194,906 | ||||||
| 6,630 | Exxon Mobil Corporation | 561,959 | ||||||
| 9,190 | Halliburton Company | 317,147 | ||||||
| 8,190 | Hess Corporation | 465,192 | ||||||
| 5,140 | National Oilwell Varco, Inc. | 349,468 | ||||||
| 12,590 | Occidental Petroleum Corporation | 1,179,683 | ||||||
| 6,830 | QEP Resources, Inc. | 200,119 | ||||||
|
| |||||||
| Total Energy | 6,291,111 | |||||||
|
| |||||||
| Financials (13.3%) | ||||||||
| 13,330 | Berkshire Hathaway, Inc.a | 1,017,079 | ||||||
| 4,350 | Boston Properties, Inc. | 433,260 | ||||||
| 1,770 | CME Group, Inc. | 431,296 | ||||||
| 20,210 | First Horizon National Corporation | 161,680 | ||||||
| 4,380 | Goldman Sachs Group, Inc. | 396,083 | ||||||
| 30,900 | Invesco, Ltd. | 620,781 | ||||||
| 37,890 | J.P. Morgan Chase & Company | 1,259,843 | ||||||
| 65,700 | KeyCorp | 505,233 | ||||||
| 26,050 | MetLife, Inc. | 812,239 | ||||||
| 3,960 | Public Storage, Inc. | 532,462 | ||||||
| 100,730 | Regions Financial Corporation | 433,139 | ||||||
| 15,190 | TD Ameritrade Holding Corporation | 237,723 | ||||||
|
| |||||||
| Total Financials | 6,840,818 | |||||||
|
| |||||||
| Health Care (11.8%) | ||||||||
| 6,120 | Allergan, Inc. | 536,969 | ||||||
| 8,320 | Amgen, Inc. | 534,227 | ||||||
| 3,990 | Biogen Idec, Inc.a | 439,100 | ||||||
| 6,370 | DENTSPLY International, Inc. | 222,886 | ||||||
| 10,550 | Express Scripts, Inc.a | 471,479 | ||||||
| 5,000 | Gilead Sciences, Inc.a | 204,650 | ||||||
| 15,460 | Hologic, Inc.a | 270,705 | ||||||
| 6,050 | Hospira, Inc.a | 183,739 | ||||||
| 1,680 | Johnson & Johnson | 110,174 | ||||||
| 2,380 | Medicis Pharmaceutical Corporation | 79,135 | ||||||
| 5,550 | Omnicare, Inc. | 191,198 | ||||||
| 9,340 | Onyx Pharmaceuticals, Inc.a | 410,493 | ||||||
| 61,255 | Pfizer, Inc. | 1,325,558 | ||||||
| 3,840 | Thermo Fisher Scientific, Inc.a | 172,685 | ||||||
| 9,960 | UnitedHealth Group, Inc. | 504,773 | ||||||
| 8,263 | Valeant Pharmaceuticals International, Inc.a | 385,799 | ||||||
|
| |||||||
| Total Health Care | 6,043,570 | |||||||
|
| |||||||
| Industrials (10.5%) | ||||||||
| 8,250 | Boeing Company | 605,137 | ||||||
| 4,440 | Caterpillar, Inc. | 402,264 | ||||||
| 4,810 | Cummins, Inc. | 423,376 | ||||||
| 15,460 | Danaher Corporation | 727,238 | ||||||
| 2,640 | Flowserve Corporation | 262,205 | ||||||
| 35,090 | General Electric Company | 628,462 | ||||||
| 2,040 | Joy Global, Inc. | 152,939 | ||||||
| 2,020 | Precision Castparts Corporation | 332,876 | ||||||
| 7,500 | Republic Services, Inc. | 206,625 | ||||||
| 5,550 | Union Pacific Corporation | 587,967 | ||||||
| 6,110 | United Parcel Service, Inc. | 447,191 | ||||||
| 8,410 | United Technologies Corporation | 614,687 | ||||||
|
| |||||||
| Total Industrials | 5,390,967 | |||||||
|
| |||||||
| Information Technology (19.1%) | ||||||||
| 16,480 | Akamai Technologies, Inc.a | 531,974 | ||||||
| 5,410 | Apple, Inc.a | 2,191,050 | ||||||
| 10,900 | Avago Technologies, Ltd. | 314,574 | ||||||
| 17,380 | Broadcom Corporationa | 510,277 | ||||||
| 7,900 | Check Point Software Technologies, Ltd.a | 415,066 | ||||||
| 10,850 | Cognizant Technology Solutions Corporationa | 697,763 | ||||||
| 17,940 | EMC Corporationa | 386,428 | ||||||
| 10,210 | Fidelity National Information Services, Inc. | 271,484 | ||||||
| 2,600 | Google, Inc.a | 1,679,340 | ||||||
| 24,140 | Hewlett-Packard Company | 621,846 | ||||||
| 18,380 | Juniper Networks, Inc.a | 375,136 | ||||||
| 3,470 | Lam Research Corporationa | 128,459 | ||||||
| 25,880 | ON Semiconductor Corporationa | 199,794 | ||||||
| 11,460 | QUALCOMM, Inc. | 626,862 | ||||||
| 25,770 | Sapient Corporation | 324,702 | ||||||
| 6,290 | VMware, Inc.a | 523,265 | ||||||
|
| |||||||
| Total Information Technology | 9,798,020 | |||||||
|
| |||||||
| Materials (3.4%) | ||||||||
| 1,850 | CF Industries Holdings, Inc. | 268,213 | ||||||
| 5,490 | Ecolab, Inc. | 317,377 | ||||||
| 8,470 | Freeport-McMoRan Copper & Gold, Inc. | 311,611 | ||||||
| 10,600 | LyondellBasell Industries NV | 344,394 | ||||||
| 3,150 | PPG Industries, Inc. | 262,994 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
215
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.9%) | Value | ||||||
| Materials (3.4%) - continued | ||||||||
| 2,490 | Praxair, Inc. | $ | 266,181 | |||||
|
| |||||||
| Total Materials | 1,770,770 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | ||||||||
| 4,680 | American Tower Corporation | 280,847 | ||||||
| 11,732 | AT&T, Inc. | 354,775 | ||||||
| 12,389 | CenturyLink, Inc. | 460,871 | ||||||
| 10,180 | NII Holdings, Inc.a | 216,834 | ||||||
| 111,600 | Sprint Nextel Corporationa | 261,144 | ||||||
|
| |||||||
| Total Telecommunications Services | 1,574,471 | |||||||
|
| |||||||
| Utilities (3.5%) | ||||||||
| 15,010 | AES Corporationa | 177,718 | ||||||
| 11,590 | Edison International, Inc. | 479,826 | ||||||
| 10,050 | Exelon Corporation | 435,868 | ||||||
| 23,530 | PPL Corporation | 692,253 | ||||||
|
| |||||||
| Total Utilities | 1,785,665 | |||||||
|
| |||||||
Total Common Stock (cost $49,639,043) | 50,801,448 | |||||||
|
| |||||||
| Total Investments (cost $49,639,043) 98.9% | $ | 50,801,448 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.1% | 566,654 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 51,368,102 | ||||||
|
| |||||||
| 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 | $ | 3,876,711 | ||
Gross unrealized depreciation | (2,993,079 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 883,632 | ||
Cost for federal income tax purposes | $ | 49,917,816 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
216
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 5,429,928 | 5,429,928 | — | — | ||||||||||||
Consumer Staples | 5,876,128 | 5,876,128 | — | — | ||||||||||||
Energy | 6,291,111 | 6,291,111 | — | — | ||||||||||||
Financials | 6,840,818 | 6,840,818 | — | — | ||||||||||||
Health Care | 6,043,570 | 6,043,570 | — | — | ||||||||||||
Industrials | 5,390,967 | 5,390,967 | — | — | ||||||||||||
Information Technology | 9,798,020 | 9,798,020 | — | — | ||||||||||||
Materials | 1,770,770 | 1,770,770 | — | — | ||||||||||||
Telecommunications Services | 1,574,471 | 1,574,471 | — | — | ||||||||||||
Utilities | 1,785,665 | 1,785,665 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 50,801,448 | $ | 50,801,448 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 488,000 | $ | 11,860,107 | $ | 12,348,107 | — | $ | — | $ | 1,086 | |||||||||||||
Total Value and Income Earned | 488,000 | — | 1,086 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
217
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.5%) | Value | ||||||
| Consumer Discretionary (12.2%) | ||||||||
| 2,854 | Amazon.com, Inc.a | $ | 494,027 | |||||
| 14,859 | Comcast Corporation | 352,307 | ||||||
| 4,629 | Discovery Communications, Inc.a | 189,650 | ||||||
| 4,600 | Home Depot, Inc. | 193,384 | ||||||
| 8,150 | Las Vegas Sands Corporationa | 348,250 | ||||||
|
| |||||||
| Total Consumer Discretionary | 1,577,618 | |||||||
|
| |||||||
| Consumer Staples (13.6%) | ||||||||
| 11,896 | Altria Group, Inc. | 352,716 | ||||||
| 5,907 | Anheuser-Busch InBev NV ADR | 360,268 | ||||||
| 4,317 | British American Tobacco plc ADR | 409,597 | ||||||
| 1,360 | Coca-Cola Company | 95,159 | ||||||
| 9,066 | Wal-Mart Stores, Inc. | 541,784 | ||||||
|
| |||||||
| Total Consumer Staples | 1,759,524 | |||||||
|
| |||||||
| Energy (11.5%) | ||||||||
| 3,897 | Apache Corporation | 352,990 | ||||||
| 4,088 | Baker Hughes, Inc. | 198,841 | ||||||
| 6,863 | ENSCO International plc ADR | 322,012 | ||||||
| 6,792 | Peabody Energy Corporation | 224,883 | ||||||
| 26,327 | Weatherford International, Ltd.a | 385,427 | ||||||
|
| |||||||
| Total Energy | 1,484,153 | |||||||
|
| |||||||
| Financials (5.0%) | ||||||||
| 4,377 | Citigroup, Inc. | 115,159 | ||||||
| 504 | CME Group, Inc. | 122,809 | ||||||
| 5,968 | J.P. Morgan Chase & Company | 198,436 | ||||||
| 7,605 | Wells Fargo & Company | 209,594 | ||||||
|
| |||||||
| Total Financials | 645,998 | |||||||
|
| |||||||
| Health Care (12.5%) | ||||||||
| 5,481 | Amgen, Inc. | 351,935 | ||||||
| 5,529 | Baxter International, Inc. | 273,575 | ||||||
| 3,964 | McKesson Corporation | 308,835 | ||||||
| 16,817 | Mylan, Inc.a | 360,893 | ||||||
| 6,240 | UnitedHealth Group, Inc. | 316,243 | ||||||
|
| |||||||
| Total Health Care | 1,611,481 | |||||||
|
| |||||||
| Industrials (10.5%) | ||||||||
| 3,650 | Boeing Company | 267,727 | ||||||
| 1,430 | Caterpillar, Inc. | 129,558 | ||||||
| 6,100 | CSX Corporation | 128,466 | ||||||
| 800 | Fluor Corporation | 40,200 | ||||||
| 2,448 | Honeywell International, Inc. | 133,049 | ||||||
| 1,730 | Parker Hannifin Corporation | 131,913 | ||||||
| 1,537 | Precision Castparts Corporation | 253,282 | ||||||
| 2,568 | Union Pacific Corporation | 272,054 | ||||||
|
| |||||||
| Total Industrials | 1,356,249 | |||||||
|
| |||||||
| Information Technology (31.1%) | ||||||||
| 6,129 | Akamai Technologies, Inc.a | 197,844 | ||||||
| 2,151 | Apple, Inc.a | 871,155 | ||||||
| 822 | Baidu.com, Inc. ADRa | 95,738 | ||||||
| 4,468 | Broadcom Corporationa | 131,181 | ||||||
| 4,206 | Cognizant Technology Solutions Corporationa | 270,488 | ||||||
| 6,204 | eBay, Inc.a | 188,167 | ||||||
| 11,484 | EMC Corporationa | 247,365 | ||||||
| 1,379 | F5 Networks, Inc.a | 146,340 | ||||||
| 837 | Google, Inc.a | 540,618 | ||||||
| 4,005 | Microsoft Corporation | 103,970 | ||||||
| 2,902 | NetApp, Inc.a | 105,256 | ||||||
| 14,274 | Oracle Corporation | 366,128 | ||||||
| 7,250 | QUALCOMM, Inc. | 396,575 | ||||||
| 1,529 | Salesforce.com, Inc.a | 155,132 | ||||||
| 2,409 | VMware, Inc.a | 200,405 | ||||||
|
| |||||||
| Total Information Technology | 4,016,362 | |||||||
|
| |||||||
| Materials (2.1%) | ||||||||
| 7,254 | Freeport-McMoRan Copper & Gold, Inc. | 266,875 | ||||||
|
| |||||||
| Total Materials | 266,875 | |||||||
|
| |||||||
Total Common Stock (cost $13,586,589) | 12,718,260 | |||||||
|
| |||||||
Total Investments (cost $13,586,589) 98.5% | $ | 12,718,260 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.5% | 188,726 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 12,906,986 | ||||||
|
| |||||||
| 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 | $ | 817,797 | ||
Gross unrealized depreciation | (1,686,126 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (868,329 | ) | |
Cost for federal income tax purposes | $ | 13,586,589 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
218
Large Cap Growth Portfolio II
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 1,577,618 | 1,577,618 | — | — | ||||||||||||
Consumer Staples | 1,759,524 | 1,759,524 | — | — | ||||||||||||
Energy | 1,484,153 | 1,484,153 | — | — | ||||||||||||
Financials | 645,998 | 645,998 | — | — | ||||||||||||
Health Care | 1,611,481 | 1,611,481 | — | — | ||||||||||||
Industrials | 1,356,249 | 1,356,249 | — | — | ||||||||||||
Information Technology | 4,016,362 | 4,016,362 | — | — | ||||||||||||
Materials | 266,875 | 266,875 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,718,260 | $ | 12,718,260 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 21,183,150 | $ | 97,738,250 | $ | 118,921,400 | — | $ | — | $ | 39,168 | |||||||||||||
Total Value and Income Earned | 21,183,150 | — | 39,168 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
219
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Discretionary (13.0%) | ||||||||
| 182,500 | Amazon.com, Inc.a | $ | 31,590,750 | |||||
| 923,200 | Comcast Corporation | 21,889,072 | ||||||
| 276,563 | Discovery Communications, Inc.a | 11,330,786 | ||||||
| 289,700 | Home Depot, Inc. | 12,178,988 | ||||||
| 453,800 | Las Vegas Sands Corporationa | 19,390,874 | ||||||
| 67,900 | Time Warner Cable, Inc. | 4,316,403 | ||||||
| 91,000 | Viacom, Inc. | 4,132,310 | ||||||
|
| |||||||
| Total Consumer Discretionary | 104,829,183 | |||||||
|
| |||||||
| Consumer Staples (13.8%) | ||||||||
| 737,700 | Altria Group, Inc. | 21,872,805 | ||||||
| 342,881 | Anheuser-Busch InBev NV ADR | 20,912,312 | ||||||
| 251,458 | British American Tobacco plc ADR | 23,858,335 | ||||||
| 89,096 | Coca-Cola Company | 6,234,047 | ||||||
| 569,100 | Wal-Mart Stores, Inc. | 34,009,416 | ||||||
| 60,700 | Whole Foods Market, Inc. | 4,223,506 | ||||||
|
| |||||||
| Total Consumer Staples | 111,110,421 | |||||||
|
| |||||||
| Energy (8.2%) | ||||||||
| 181,808 | Apache Corporation | 16,468,169 | ||||||
| 256,731 | Baker Hughes, Inc. | 12,487,396 | ||||||
| 38,400 | Chevron Corporation | 4,085,760 | ||||||
| 300,746 | ENSCO International plc ADR | 14,111,002 | ||||||
| 41,000 | Occidental Petroleum Corporation | 3,841,700 | ||||||
| 167,351 | Peabody Energy Corporation | 5,540,991 | ||||||
| 54,700 | Schlumberger, Ltd. | 3,736,557 | ||||||
| 411,300 | Weatherford International, Ltd.a | 6,021,432 | ||||||
|
| |||||||
| Total Energy | 66,293,007 | |||||||
|
| |||||||
| Financials (5.3%) | ||||||||
| 85,800 | Aon Corporation | 4,015,440 | ||||||
| 208,000 | Citigroup, Inc. | 5,472,480 | ||||||
| 31,700 | CME Group, Inc. | 7,724,339 | ||||||
| 374,771 | J.P. Morgan Chase & Company | 12,461,136 | ||||||
| 477,700 | Wells Fargo & Company | 13,165,412 | ||||||
|
| |||||||
| Total Financials | 42,838,807 | |||||||
|
| |||||||
| Health Care (12.3%) | ||||||||
| 341,183 | Amgen, Inc. | 21,907,361 | ||||||
| 343,600 | Baxter International, Inc. | 17,001,328 | ||||||
| 248,900 | McKesson Corporation | 19,391,799 | ||||||
| 968,770 | Mylan, Inc.a | 20,789,804 | ||||||
| 386,200 | UnitedHealth Group, Inc. | 19,572,616 | ||||||
|
| |||||||
| Total Health Care | 98,662,908 | |||||||
|
| |||||||
| Industrials (11.0%) | ||||||||
| 230,900 | Boeing Company | 16,936,515 | ||||||
| 87,100 | Caterpillar, Inc. | 7,891,260 | ||||||
| 379,500 | CSX Corporation | 7,992,270 | ||||||
| 74,900 | Fluor Corporation | 3,763,725 | ||||||
| 147,300 | Honeywell International, Inc. | 8,005,755 | ||||||
| 104,300 | Parker Hannifin Corporation | 7,952,875 | ||||||
| 96,300 | Precision Castparts Corporation | 15,869,277 | ||||||
| 154,238 | Union Pacific Corporation | 16,339,974 | ||||||
| 51,900 | United Technologies Corporation | 3,793,371 | ||||||
|
| |||||||
| Total Industrials | 88,545,022 | |||||||
|
| |||||||
| Information Technology (32.8%) | ||||||||
| 224,828 | Akamai Technologies, Inc.a | 7,257,448 | ||||||
| 147,500 | Apple, Inc.a | 59,737,500 | ||||||
| 51,800 | Baidu.com, Inc. ADRa | 6,033,146 | ||||||
| 280,400 | Broadcom Corporationa | 8,232,544 | ||||||
| 216,500 | Cisco Systems, Inc. | 3,914,320 | ||||||
| 263,002 | Cognizant Technology Solutions Corporationa | 16,913,659 | ||||||
| 390,700 | eBay, Inc.a | 11,849,931 | ||||||
| 721,200 | EMC Corporationa | 15,534,648 | ||||||
| 86,532 | F5 Networks, Inc.a | 9,182,776 | ||||||
| 52,652 | Google, Inc.a | 34,007,927 | ||||||
| 254,100 | Microsoft Corporation | 6,596,436 | ||||||
| 180,600 | NetApp, Inc.a | 6,550,362 | ||||||
| 896,350 | Oracle Corporation | 22,991,377 | ||||||
| 455,300 | QUALCOMM, Inc. | 24,904,910 | ||||||
| 96,116 | Salesforce.com, Inc.a | 9,751,929 | ||||||
| 132,200 | Texas Instruments, Inc. | 3,848,342 | ||||||
| 151,337 | VMware, Inc.a | 12,589,725 | ||||||
| 126,300 | Xilinx, Inc. | 4,049,178 | ||||||
|
| |||||||
| Total Information Technology | 263,946,158 | |||||||
|
| |||||||
| Materials (1.5%) | ||||||||
| 320,100 | Freeport-McMoRan Copper & Gold, Inc. | 11,776,479 | ||||||
|
| |||||||
| Total Materials | 11,776,479 | |||||||
|
| |||||||
Total Common Stock (cost $776,631,318) | 788,001,985 | |||||||
|
| |||||||
| Total Investments (cost $776,631,318) 97.9% | $ | 788,001,985 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 2.1% | 17,281,147 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 805,283,132 | ||||||
|
| |||||||
| 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 | $ | 56,301,058 | ||
Gross unrealized depreciation | (46,902,151 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 9,398,907 | ||
Cost for federal income tax purposes | $ | 778,603,078 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
220
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 104,829,183 | 104,829,183 | — | — | ||||||||||||
Consumer Staples | 111,110,421 | 111,110,421 | — | — | ||||||||||||
Energy | 66,293,007 | 66,293,007 | — | — | ||||||||||||
Financials | 42,838,807 | 42,838,807 | — | — | ||||||||||||
Health Care | 98,662,908 | 98,662,908 | — | — | ||||||||||||
Industrials | 88,545,022 | 88,545,022 | — | — | ||||||||||||
Information Technology | 263,946,158 | 263,946,158 | — | — | ||||||||||||
Materials | 11,776,479 | 11,776,479 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 788,001,985 | $ | 788,001,985 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 339,935 | ||||
Total Equity Contracts | 339,935 | |||||
|
| |||||
Total | $ | 339,935 | ||||
|
| |||||
The following table presents Large Cap Growth Portfolio's average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 67 | |||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 26,672,700 | $ | 288,313,351 | $ | 314,986,051 | — | $ | — | $ | 49,988 | |||||||||||||
Total Value and Income Earned | 26,672,700 | — | 49,988 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
221
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.4%) | Value | ||||||
| Consumer Discretionary (18.5%) | |||||||
| 10,000 | Amazon.com, Inc.a | $ | 1,731,000 | |||||
| 900 | AutoZone, Inc.a | 292,473 | ||||||
| 11,100 | CarMax, Inc.a | 338,328 | ||||||
| 7,694 | Carnival plc | 253,615 | ||||||
| 1,300 | Chipotle Mexican Grill, Inc.a | 439,062 | ||||||
| 2,900 | Coach, Inc. | 177,016 | ||||||
| 7,600 | Ctrip.com International, Ltd. ADRa,b | 177,840 | ||||||
| 2,400 | Discovery Communications, Inc.a | 98,328 | ||||||
| 2,300 | Fossil, Inc.a | 182,528 | ||||||
| 5,000 | Harley-Davidson, Inc. | 194,350 | ||||||
| 6,700 | Johnson Controls, Inc. | 209,442 | ||||||
| 8,900 | Las Vegas Sands Corporationa | 380,297 | ||||||
| 11,300 | Liberty Interactive Corporationa | 183,230 | ||||||
| 14,333 | Marriott International, Inc. | 418,094 | ||||||
| 6,800 | MGM Resorts Internationala | 70,924 | ||||||
| 6,900 | NIKE, Inc. | 664,953 | ||||||
| 40,100 | Prada Holding SPAa | 180,474 | ||||||
| 2,400 | Priceline.com, Inc.a | 1,122,504 | ||||||
| 2,100 | Ralph Lauren Corporation | 289,968 | ||||||
| 5,500 | Ross Stores, Inc. | 261,415 | ||||||
| 14,900 | Starbucks Corporation | 685,549 | ||||||
| 7,000 | Starwood Hotels & Resorts Worldwide, Inc. | 335,790 | ||||||
| 11,300 | Walt Disney Company | 423,750 | ||||||
| 5,600 | Yum! Brands, Inc. | 330,456 | ||||||
|
| |||||||
| Total Consumer Discretionary | 9,441,386 | |||||||
|
| |||||||
| Consumer Staples (1.9%) | |||||||
| 4,900 | Costco Wholesale Corporation | 408,268 | ||||||
| 4,400 | CVS Caremark Corporation | 179,432 | ||||||
| 1,900 | Hansen Natural Corporationa | 175,066 | ||||||
| 2,800 | Whole Foods Market, Inc. | 194,824 | ||||||
|
| |||||||
| Total Consumer Staples | 957,590 | |||||||
|
| |||||||
| Energy (7.2%) | |||||||
| 8,400 | Cameron International Corporationa | 413,196 | ||||||
| 2,300 | Cimarex Energy Company | 142,370 | ||||||
| 5,200 | Continental Resources, Inc.a,b | 346,892 | ||||||
| 6,700 | EOG Resources, Inc. | 660,017 | ||||||
| 12,100 | FMC Technologies, Inc.a | 631,983 | ||||||
| 6,300 | Occidental Petroleum Corporation | 590,310 | ||||||
| 5,900 | Peabody Energy Corporation | 195,349 | ||||||
| 10,400 | Schlumberger, Ltd. | 710,424 | ||||||
|
| |||||||
| Total Energy | 3,690,541 | |||||||
|
| |||||||
| Financials (4.2%) | |||||||
| 14,100 | American Express Company | 665,097 | ||||||
| 2,200 | CBRE Group, Inc.a | 33,484 | ||||||
| 5,500 | Franklin Resources, Inc. | 528,330 | ||||||
| 2,800 | IntercontinentalExchange, Inc.a | 337,540 | ||||||
| 18,000 | Invesco, Ltd. | 361,620 | ||||||
| 7,500 | U.S. Bancorp | 202,875 | ||||||
|
| |||||||
| Total Financials | 2,128,946 | |||||||
|
| |||||||
| Health Care (5.9%) | |||||||
| 2,700 | Alexion Pharmaceuticals, Inc.a | 193,050 | ||||||
| 3,200 | Allergan, Inc. | 280,768 | ||||||
| 2,800 | Baxter International, Inc. | 138,544 | ||||||
| 2,400 | Biogen Idec, Inc.a | 264,120 | ||||||
| 4,000 | Celgene Corporationa | 270,400 | ||||||
| 1,600 | Covidien plc | 72,016 | ||||||
| 3,100 | Edwards Lifesciences Corporationa | 219,170 | ||||||
| 7,600 | Express Scripts, Inc.a | 339,644 | ||||||
| 11,400 | Human Genome Sciences, Inc.a | 84,246 | ||||||
| 9,100 | McKesson Corporation | 708,981 | ||||||
| 5,500 | Stryker Corporation | 273,405 | ||||||
| 4,300 | Valeant Pharmaceuticals International, Inc.a | 200,767 | ||||||
|
| |||||||
| Total Health Care | 3,045,111 | |||||||
|
| |||||||
| Industrials (15.8%) | |||||||
| 5,700 | Babcock & Wilcox Companya | 137,598 | ||||||
| 6,100 | Boeing Company | 447,435 | ||||||
| 1,600 | Caterpillar, Inc. | 144,960 | ||||||
| 4,100 | Cooper Industries plc | 222,015 | ||||||
| 2,500 | Cummins, Inc. | 220,050 | ||||||
| 31,400 | Danaher Corporation | 1,477,056 | ||||||
| 3,100 | Deere & Company | 239,785 | ||||||
| 3,800 | Emerson Electric Company | 177,042 | ||||||
| 6,500 | Expeditors International of Washington, Inc. | 266,240 | ||||||
| 18,000 | Fastenal Companyb | 784,980 | ||||||
| 9,800 | FedEx Corporation | 818,398 | ||||||
| 2,500 | Fluor Corporation | 125,625 | ||||||
| 3,300 | Joy Global, Inc. | 247,401 | ||||||
| 4,600 | Kansas City Southerna | 312,846 | ||||||
| 15,200 | McDermott International, Inc.a | 174,952 | ||||||
| 4,500 | Precision Castparts Corporation | 741,555 | ||||||
| 3,000 | Roper Industries, Inc. | 260,610 | ||||||
| 5,800 | Union Pacific Corporation | 614,452 | ||||||
| 6,200 | United Parcel Service, Inc. | 453,778 | ||||||
| 1,100 | W.W. Grainger, Inc. | 205,909 | ||||||
|
| |||||||
| Total Industrials | 8,072,687 | |||||||
|
| |||||||
| Information Technology (35.0%) | |||||||
| 10,400 | Accenture plc | 553,592 | ||||||
| 2,600 | Akamai Technologies, Inc.a | 83,928 | ||||||
| 11,600 | Apple, Inc.a | 4,698,000 | ||||||
| 6,700 | Autodesk, Inc.a | 203,211 | ||||||
| 9,500 | Baidu.com, Inc. ADRa | 1,106,465 | ||||||
| 11,000 | Broadcom Corporationa | 322,960 | ||||||
| 25,700 | Corning, Inc. | 333,586 | ||||||
| 18,000 | eBay, Inc.a | 545,940 | ||||||
| 8,000 | EMC Corporationa | 172,320 | ||||||
| 5,217 | Facebook, Inc., Class Aa,c,d | 162,494 | ||||||
| 9,948 | Facebook, Inc., Class Ba,c,d | 309,851 | ||||||
| 3,750 | Google, Inc.a | 2,422,125 | ||||||
| 10,000 | Groupon, Inc.a,b | 206,300 | ||||||
| 4,200 | Informatica Corporationa | 155,106 | ||||||
| 18,900 | Juniper Networks, Inc.a | 385,749 | ||||||
| 3,200 | LinkedIn Corporationa,b | 201,632 | ||||||
| 5,129 | Mail.ru Group, Ltd. GDRa,c | 133,354 | ||||||
| 3,950 | MasterCard, Inc. | 1,472,639 | ||||||
| 6,600 | NetApp, Inc.a | 239,382 | ||||||
| 8,400 | Nuance Communications, Inc.a | 211,344 | ||||||
| 26,600 | QUALCOMM, Inc. | 1,455,020 | ||||||
| 6,400 | Red Hat, Inc.a | 264,256 | ||||||
| 1,800 | Salesforce.com, Inc.a | 182,628 | ||||||
| 3,900 | SanDisk Corporationa | 191,919 | ||||||
| 19,200 | Tencent Holdings, Ltd. | 384,449 | ||||||
| 4,800 | Teradata Corporationa | 232,848 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
222
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.4%) | Value | ||||||
| Information Technology (35.0%) - continued | |||||||
| 5,200 | Trimble Navigation, Ltd.a | $ | 225,680 | |||||
| 2,380 | Twitter, Inc.a,c,d | 33,320 | ||||||
| 7,400 | Visa, Inc. | 751,322 | ||||||
| 14,800 | Western Union Company | 270,248 | ||||||
|
| |||||||
| Total Information Technology | 17,911,668 | |||||||
|
| |||||||
| Materials (4.4%) | |||||||
| 2,400 | Air Products and Chemicals, Inc. | 204,456 | ||||||
| 10,448 | BHP Billiton, Ltd. | 368,803 | ||||||
| 5,600 | Freeport-McMoRan Copper & Gold, Inc. | 206,024 | ||||||
| 5,200 | Potash Corporation of Saskatchewan, Inc. | 214,656 | ||||||
| 11,700 | Praxair, Inc. | 1,250,730 | ||||||
|
| |||||||
| Total Materials | 2,244,669 | |||||||
|
| |||||||
| Telecommunications Services (4.5%) | |||||||
| 18,400 | American Tower Corporation | 1,104,184 | ||||||
| 26,500 | Crown Castle International Corporationa | 1,187,200 | ||||||
|
| |||||||
| Total Telecommunications Services | 2,291,384 | |||||||
|
| |||||||
Total Common Stock (cost $34,595,982) | 49,783,982 | |||||||
|
| |||||||
Preferred Stock (0.2%) | ||||||||
| Information Technology (0.2%) | |||||||
| 4,432 | LivingSocial.com Convertiblea,c,d | 34,082 | ||||||
| 6 | Twitter, Inc., Convertible, Series Aa,c,d | 84 | ||||||
| 96 | Twitter, Inc., Convertible, Series Ba,c,d | 1,344 | ||||||
| 25 | Twitter, Inc., Convertible, Series Ca,c,d | 350 | ||||||
| 913 | Twitter, Inc., Convertible, Series Da,c,d | 12,782 | ||||||
| 3,855 | Twitter, Inc., Convertible, Series G-2a,c,d | 53,970 | ||||||
|
| |||||||
| Total Information Technology | 102,612 | |||||||
|
| |||||||
Total Preferred Stock (cost $112,861) | 102,612 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.3%) | ||||||||
| 1,659,825 | Thrivent Financial Securities Lending Trust | 1,659,825 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $1,659,825) | 1,659,825 | |||||||
|
| |||||||
| Total Investments (cost $36,368,668) 100.9% | $ | 51,546,419 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.9%) | (446,604 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 51,099,815 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| 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 Partner Growth Stock Portfolio owned as of December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Facebook, Inc., Class A | 8/12/2011 | $ | 157,818 | |||||
Facebook, Inc., Class B | 3/31/2011 | $ | 248,758 | |||||
LivingSocial.com Convertible | 11/18/2011 | $ | 34,082 | |||||
Mail.ru Group, Ltd. GDR | 11/5/2010 | $ | 181,792 | |||||
Twitter, Inc. | 9/13/2011 | $ | 38,303 | |||||
Twitter, Inc., Convertible, Series A | 9/13/2011 | $ | 97 | |||||
Twitter, Inc., Convertible, Series B | 9/13/2011 | $ | 1,545 | |||||
Twitter, Inc., Convertible, Series C | 9/13/2011 | $ | 402 | |||||
Twitter, Inc., Convertible, Series D | 9/13/2011 | $ | 14,694 | |||||
Twitter, Inc., Convertible, Series G-2 | 7/28/2011 | $ | 62,041 | |||||
| d | Security is fair valued. |
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 | $ | 16,708,711 | ||
Gross unrealized depreciation | (1,651,847 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 15,056,864 | ||
Cost for federal income tax purposes | $ | 36,489,555 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
223
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 9,441,386 | 9,007,297 | 434,089 | — | ||||||||||||
Consumer Staples | 957,590 | 957,590 | — | — | ||||||||||||
Energy | 3,690,541 | 3,690,541 | — | — | ||||||||||||
Financials | 2,128,946 | 2,128,946 | — | — | ||||||||||||
Health Care | 3,045,111 | 3,045,111 | — | — | ||||||||||||
Industrials | 8,072,687 | 8,072,687 | — | — | ||||||||||||
Information Technology | 17,911,668 | 17,021,554 | 384,449 | 505,665 | ||||||||||||
Materials | 2,244,669 | 1,875,866 | 368,803 | — | ||||||||||||
Telecommunications Services | 2,291,384 | 2,291,384 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Information Technology | 102,612 | — | — | 102,612 | ||||||||||||
Collateral Held for Securities Loaned | 1,659,825 | 1,659,825 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 51,546,419 | $ | 49,750,801 | $ | 1,187,341 | $ | 608,277 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||
Information Technology | 14,400 | 3,091 | 9,028 | 672,218 | (59,718 | ) | — | (133,354 | ) | 505,665 | ||||||||||||||||||||||
Preferred Stock | ||||||||||||||||||||||||||||||||
Information Technology | — | — | (10,248 | ) | 112,860 | — | — | — | 102,612 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 14,400 | $ | 3,091 | $ | 1,220 | $ | 785,078 | ($ | 59,718 | ) | $ | — | ($ | 133,354 | ) | $ | 608,277 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of $50,539. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 1,773 | ||||
| Total Foreign Exchange Contracts | 1,773 | |||||
|
| |||||
Total | $ | 1,773 | ||||
|
| |||||
The following table presents Partner Growth Stock Portfolio's average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 2,648 | <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.
224
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31,2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 669,650 | $ | 10,175,876 | $ | 9,185,701 | 1,659,825 | $ | 1,659,825 | $ | 9,850 | |||||||||||||
Total Value and Income Earned | 669,650 | 1,659,825 | 9,850 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
225
Schedule of Investments as of December 31, 2011
Shares | Common Stock (97.4%) | Value | ||||||
| Consumer Discretionary (9.1%) | |||||||
| 109,517 | Carnival Corporation | $ | 3,574,635 | |||||
| 146,770 | CBS Corporation | 3,983,338 | ||||||
| 194,810 | Harley-Davidson, Inc. | 7,572,265 | ||||||
| 174,660 | Lowe's Companies, Inc. | 4,432,871 | ||||||
| 371,844 | Macy's, Inc. | 11,965,940 | ||||||
| 560,620 | News Corporation | 10,192,071 | ||||||
| 96,850 | Omnicom Group, Inc. | 4,317,573 | ||||||
| 207,950 | Target Corporation | 10,651,199 | ||||||
| 121,610 | Time Warner Cable, Inc. | 7,730,747 | ||||||
| 90,580 | Viacom, Inc. | 4,113,238 | ||||||
|
| |||||||
| Total Consumer Discretionary | 68,533,877 | |||||||
|
| |||||||
| Consumer Staples (10.6%) | |||||||
| 331,080 | Altria Group, Inc. | 9,816,522 | ||||||
| 195,790 | CVS Caremark Corporation | 7,984,316 | ||||||
| 197,970 | Diageo plc ADR | 17,306,538 | ||||||
| 541,142 | Kraft Foods, Inc. | 20,217,065 | ||||||
| 108,379 | Philip Morris International, Inc. | 8,505,584 | ||||||
| 115,600 | Unilever NV ADRa | 3,973,172 | ||||||
| 197,500 | Wal-Mart Stores, Inc. | 11,802,600 | ||||||
|
| |||||||
| Total Consumer Staples | 79,605,797 | |||||||
|
| |||||||
| Energy (13.0%) | |||||||
| 117,880 | Baker Hughes, Inc. | 5,733,683 | ||||||
| 186,355 | Chevron Corporation | 19,828,172 | ||||||
| 314,942 | ConocoPhillips | 22,949,824 | ||||||
| 318,830 | ENSCO International plc ADR | 14,959,504 | ||||||
| 167,120 | EOG Resources, Inc. | 16,462,991 | ||||||
| 54,840 | Exxon Mobil Corporation | 4,648,238 | ||||||
| 79,430 | Occidental Petroleum Corporation | 7,442,591 | ||||||
| 416,330 | Weatherford International, Ltd.b | 6,095,071 | ||||||
|
| |||||||
| Total Energy | 98,120,074 | |||||||
|
| |||||||
| Financials (21.1%) | |||||||
| 250,420 | ACE, Ltd. | 17,559,450 | ||||||
| 235,050 | Aon Corporation | 11,000,340 | ||||||
| 72,810 | Goldman Sachs Group, Inc. | 6,584,208 | ||||||
| 647,216 | J.P. Morgan Chase & Company | 21,519,932 | ||||||
| 712,180 | KKR & Company, LPa | 9,137,269 | ||||||
| 309,700 | Principal Financial Group, Inc. | 7,618,620 | ||||||
| 297,050 | Progressive Corporation | 5,795,446 | ||||||
| 281,690 | State Street Corporation | 11,354,924 | ||||||
| 178,329 | SVB Financial Groupb | 8,504,510 | ||||||
| 109,843 | Travelers Companies, Inc. | 6,499,410 | ||||||
| 226,640 | U.S. Bancorp | 6,130,612 | ||||||
| 666,400 | Unum Group | 14,041,048 | ||||||
| 98,670 | Vanguard REIT ETFa | 5,722,860 | ||||||
| 982,410 | Wells Fargo & Company | 27,075,220 | ||||||
|
| |||||||
| Total Financials | 158,543,849 | |||||||
|
| |||||||
| Health Care (14.0%) | |||||||
| 141,440 | Baxter International, Inc. | 6,998,451 | ||||||
| 236,490 | Bristol-Myers Squibb Company | 8,333,908 | ||||||
| 276,460 | Covidien plc | 12,443,465 | ||||||
| 200,555 | Johnson & Johnson | 13,152,397 | ||||||
| 519,290 | Merck & Company, Inc. | 19,577,233 | ||||||
| 1,432,555 | Pfizer, Inc. | 31,000,490 | ||||||
| 267,017 | UnitedHealth Group, Inc. | 13,532,421 | ||||||
|
| |||||||
| Total Health Care | 105,038,365 | |||||||
|
| |||||||
| Industrials (10.4%) | |||||||
| 1,459,160 | General Electric Company | 26,133,556 | ||||||
| 177,990 | Honeywell International, Inc. | 9,673,756 | ||||||
| 91,660 | Parker Hannifin Corporation | 6,989,075 | ||||||
| 221,870 | SPX Corporation | 13,372,105 | ||||||
| 308,110 | Textron, Inc. | 5,696,954 | ||||||
| 167,654 | United Technologies Corporation | 12,253,831 | ||||||
| 73,670 | WESCO International, Inc.b | 3,905,247 | ||||||
|
| |||||||
| Total Industrials | 78,024,524 | |||||||
|
| |||||||
| Information Technology (9.0%) | |||||||
| 152,547 | Avnet, Inc.b | 4,742,686 | ||||||
| 904,800 | Cisco Systems, Inc. | 16,358,784 | ||||||
| 84,399 | International Business Machines Corporation | 15,519,288 | ||||||
| 316,500 | Microsoft Corporation | 8,216,340 | ||||||
| 133,770 | Oracle Corporation | 3,431,201 | ||||||
| 360,850 | Texas Instruments, Inc. | 10,504,344 | ||||||
| 277,570 | Xilinx, Inc. | 8,898,894 | ||||||
|
| |||||||
| Total Information Technology | 67,671,537 | |||||||
|
| |||||||
| Materials (2.8%) | |||||||
| 140,390 | Dow Chemical Company | 4,037,616 | ||||||
| 230,001 | E.I. du Pont de Nemours and Company | 10,529,446 | ||||||
| 104,944 | Sigma-Aldrich Corporation | 6,554,802 | ||||||
|
| |||||||
| Total Materials | 21,121,864 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | |||||||
| 262,341 | AT&T, Inc. | 7,933,192 | ||||||
| 391,724 | Verizon Communications, Inc. | 15,715,967 | ||||||
|
| |||||||
| Total Telecommunications Services | 23,649,159 | |||||||
|
| |||||||
| Utilities (4.3%) | |||||||
| 403,550 | Exelon Corporation | 17,501,964 | ||||||
| 623,450 | NiSource, Inc. | 14,844,344 | ||||||
|
| |||||||
| Total Utilities | 32,346,308 | |||||||
|
| |||||||
Total Common Stock (cost $683,473,115) | 732,655,354 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.8%) | ||||||||
| 6,250,075 | Thrivent Financial Securities Lending Trust | 6,250,075 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $6,250,075) | 6,250,075 | |||||||
|
| |||||||
Principal | Short-Term Investments (2.0%)c | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.010%, 2/22/2012d | 9,999,856 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
226
Large Cap Value Portfolio
Schedule of Investments as of December 31, 2011
Principal | Short-Term Investments (2.0%)c | Value | ||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||
5,000,000 | 0.005%, 2/8/2012d | $ | 4,999,973 | |||
|
| |||||
| Total Short-Term Investments (at amortized cost) | 14,999,829 | |||||
|
| |||||
| Total Investments (cost $704,723,019) 100.2% | $ | 753,905,258 | ||||
|
| |||||
| Other Assets and Liabilities, Net (0.2%) | (1,850,982 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 752,054,276 | ||||
|
| |||||
| 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. | ||
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 | $ | 79,451,080 | ||
Gross unrealized depreciation | (31,408,136 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 48,042,944 | ||
Cost for federal income tax purposes | $ | 705,862,314 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 68,533,877 | 68,533,877 | — | — | ||||||||||||
Consumer Staples | 79,605,797 | 79,605,797 | — | — | ||||||||||||
Energy | 98,120,074 | 98,120,074 | — | — | ||||||||||||
Financials | 158,543,849 | 158,543,849 | — | — | ||||||||||||
Health Care | 105,038,365 | 105,038,365 | — | — | ||||||||||||
Industrials | 78,024,524 | 78,024,524 | — | — | ||||||||||||
Information Technology | 67,671,537 | 67,671,537 | — | — | ||||||||||||
Materials | 21,121,864 | 21,121,864 | — | — | ||||||||||||
Telecommunications Services | 23,649,159 | 23,649,159 | — | — | ||||||||||||
Utilities | 32,346,308 | 32,346,308 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,250,075 | 6,250,075 | — | — | ||||||||||||
Short-Term Investments | 14,999,829 | — | 14,999,829 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 753,905,258 | $ | 738,905,429 | $ | 14,999,829 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011- December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 24,701,033 | $ | 201,322,965 | $ | 219,773,923 | 6,250,075 | $ | 6,250,075 | $ | 24,332 | |||||||||||||
Total Value and Income Earned | 24,701,033 | 6,250,075 | 24,332 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
227
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.6%) | Value | ||||||
| Consumer Discretionary (10.1%) | |||||||
| 57,950 | Amazon.com, Inc.a | $ | 10,031,145 | |||||
| 53,010 | CBS Corporation | 1,438,691 | ||||||
| 293,400 | Comcast Corporation | 6,956,514 | ||||||
| 91,430 | Discovery Communications, Inc.a | 3,745,887 | ||||||
| 68,670 | Harley-Davidson, Inc. | 2,669,203 | ||||||
| 92,000 | Home Depot, Inc. | 3,867,680 | ||||||
| 161,075 | Las Vegas Sands Corporationa | 6,882,735 | ||||||
| 139,920 | Macy’s, Inc. | 4,502,626 | ||||||
| 27,700 | McDonald’s Corporation | 2,779,141 | ||||||
| 274,980 | News Corporation | 4,999,136 | ||||||
| 35,350 | Omnicom Group, Inc. | 1,575,903 | ||||||
| 98,820 | Target Corporation | 5,061,560 | ||||||
| 42,920 | Time Warner Cable, Inc. | 2,728,425 | ||||||
|
| |||||||
| Total Consumer Discretionary | 57,238,646 | |||||||
|
| |||||||
| Consumer Staples (14.8%) | |||||||
| 353,190 | Altria Group, Inc. | 10,472,084 | ||||||
| 116,638 | Anheuser-Busch InBev NV ADR | 7,113,752 | ||||||
| 85,273 | British American Tobacco plc ADR | 8,090,702 | ||||||
| 60,700 | Campbell Soup Companyb,c | 2,017,668 | ||||||
| 64,025 | Coca-Cola Company | 4,479,829 | ||||||
| 26,200 | Colgate-Palmolive Company | 2,420,618 | ||||||
| 69,200 | CVS Caremark Corporation | 2,821,976 | ||||||
| 69,950 | Diageo plc ADR | 6,115,029 | ||||||
| 28,100 | Dr. Pepper Snapple Group, Inc. | 1,109,388 | ||||||
| 58,800 | General Mills, Inc. | 2,376,108 | ||||||
| 43,600 | H.J. Heinz Company | 2,356,144 | ||||||
| 62,300 | Hormel Foods Corporation | 1,824,767 | ||||||
| 34,500 | Kimberly-Clark Corporation | 2,537,820 | ||||||
| 192,844 | Kraft Foods, Inc. | 7,204,652 | ||||||
| 38,900 | PepsiCo, Inc. | 2,581,015 | ||||||
| 38,201 | Philip Morris International, Inc. | 2,998,014 | ||||||
| 39,100 | Procter & Gamble Company | 2,608,361 | ||||||
| 248,320 | Wal-Mart Stores, Inc. | 14,839,603 | ||||||
|
| |||||||
| Total Consumer Staples | 83,967,530 | |||||||
|
| |||||||
| Energy (11.3%) | |||||||
| 76,935 | Apache Corporation | 6,968,772 | ||||||
| 122,096 | Baker Hughes, Inc. | 5,938,750 | ||||||
| 78,370 | Chevron Corporation | 8,338,568 | ||||||
| 113,990 | ConocoPhillips | 8,306,451 | ||||||
| 248,017 | ENSCO International plc ADR | 11,636,958 | ||||||
| 59,040 | EOG Resources, Inc. | 5,816,031 | ||||||
| 28,620 | Occidental Petroleum Corporation | 2,681,694 | ||||||
| 134,120 | Peabody Energy Corporation | 4,440,713 | ||||||
| 666,810 | Weatherford International, Ltd.a | 9,762,098 | ||||||
|
| |||||||
| Total Energy | 63,890,035 | |||||||
|
| |||||||
| Financials (11.9%) | |||||||
| 90,080 | ACE, Ltd. | 6,316,410 | ||||||
| 83,270 | Aon Corporation | 3,897,036 | ||||||
| 86,500 | Citigroup, Inc.c | 2,275,815 | ||||||
| 10,000 | CME Group, Inc. | 2,436,700 | ||||||
| 45,900 | Genworth Financial, Inc.a | 300,645 | ||||||
| 26,580 | Goldman Sachs Group, Inc. | 2,403,629 | ||||||
| 346,564 | J.P. Morgan Chase & Company | 11,523,253 | ||||||
| 252,540 | KKR & Company, LP | 3,240,088 | ||||||
| 109,484 | Principal Financial Group, Inc. | 2,693,306 | ||||||
| 105,330 | Progressive Corporation | 2,054,988 | ||||||
| 99,890 | State Street Corporation | 4,026,566 | ||||||
| 63,010 | SVB Financial Groupa | 3,004,947 | ||||||
| 79,660 | U.S. Bancorp | 2,154,803 | ||||||
| 241,460 | Unum Group | 5,087,562 | ||||||
| 35,290 | Vanguard REIT ETF | 2,046,820 | ||||||
| 496,560 | Wells Fargo & Company | 13,685,194 | ||||||
|
| |||||||
| Total Financials | 67,147,762 | |||||||
|
| |||||||
| Health Care (14.1%) | |||||||
| 47,700 | Abbott Laboratories | 2,682,171 | ||||||
| 136,329 | Amgen, Inc. | 8,753,685 | ||||||
| 159,280 | Baxter International, Inc. | 7,881,174 | ||||||
| 145,320 | Bristol-Myers Squibb Company | 5,121,077 | ||||||
| 99,580 | Covidien plc | 4,482,096 | ||||||
| 66,700 | Eli Lilly and Company | 2,772,052 | ||||||
| 42,500 | Forest Laboratories, Inc.a | 1,286,050 | ||||||
| 70,660 | Johnson & Johnson | 4,633,883 | ||||||
| 78,254 | McKesson Corporation | 6,096,769 | ||||||
| 183,840 | Merck & Company, Inc. | 6,930,768 | ||||||
| 332,098 | Mylan, Inc.a | 7,126,823 | ||||||
| 502,525 | Pfizer, Inc. | 10,874,641 | ||||||
| 218,600 | UnitedHealth Group, Inc. | 11,078,648 | ||||||
|
| |||||||
| Total Health Care | 79,719,837 | |||||||
|
| |||||||
| Industrials (9.6%) | |||||||
| 73,350 | Boeing Company | 5,380,222 | ||||||
| 27,750 | Caterpillar, Inc. | 2,514,150 | ||||||
| 120,600 | CSX Corporation | 2,539,836 | ||||||
| 16,800 | Fluor Corporation | 844,200 | ||||||
| 514,710 | General Electric Company | 9,218,456 | ||||||
| 111,460 | Honeywell International, Inc. | 6,057,851 | ||||||
| 65,880 | Parker Hannifin Corporation | 5,023,350 | ||||||
| 30,300 | Precision Castparts Corporation | 4,993,137 | ||||||
| 78,450 | SPX Corporation | 4,728,182 | ||||||
| 107,190 | Textron, Inc. | 1,981,943 | ||||||
| 49,074 | Union Pacific Corporation | 5,198,900 | ||||||
| 60,450 | United Technologies Corporation | 4,418,290 | ||||||
| 25,450 | WESCO International, Inc.a | 1,349,105 | ||||||
|
| |||||||
| Total Industrials | 54,247,622 | |||||||
|
| |||||||
| Information Technology (18.7%) | |||||||
| 121,073 | Akamai Technologies, Inc.a | 3,908,236 | ||||||
| 46,424 | Apple, Inc.a | 18,801,720 | ||||||
| 16,300 | Baidu.com, Inc. ADRa | 1,898,461 | ||||||
| 88,150 | Broadcom Corporationa | 2,588,084 | ||||||
| 318,690 | Cisco Systems, Inc. | 5,761,915 | ||||||
| 83,032 | Cognizant Technology Solutions Corporationa | 5,339,788 | ||||||
| 123,600 | eBay, Inc.a | 3,748,788 | ||||||
| 226,800 | EMC Corporationa | 4,885,272 | ||||||
| 27,238 | F5 Networks, Inc.a | 2,890,497 | ||||||
| 16,521 | Google, Inc.a | 10,670,914 | ||||||
| 29,778 | International Business Machines Corporation | 5,475,579 | ||||||
| 9,900 | JDS Uniphase Corporationa | 103,356 | ||||||
| 192,140 | Microsoft Corporation | 4,987,954 | ||||||
| 57,300 | NetApp, Inc.a | 2,078,271 | ||||||
| 330,210 | Oracle Corporation | 8,469,887 | ||||||
| 143,150 | QUALCOMM, Inc. | 7,830,305 | ||||||
| 30,265 | Salesforce.com, Inc.a | 3,070,687 | ||||||
| 208,450 | Texas Instruments, Inc. | 6,067,979 | ||||||
| 47,606 | VMware, Inc.a | 3,960,343 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
228
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (97.6%) | Value | ||||||
| Information Technology (18.7%) - continued | |||||||
| 100,210 | Xilinx, Inc. | $ | 3,212,733 | |||||
|
| |||||||
| Total Information Technology | 105,750,769 | |||||||
|
| |||||||
| Materials (2.1%) | |||||||
| 15,900 | AK Steel Holding Corporationb | 131,334 | ||||||
| 81,017 | E.I. du Pont de Nemours and Company | 3,708,958 | ||||||
| 143,265 | Freeport-McMoRan Copper & Gold, Inc. | 5,270,720 | ||||||
| 37,396 | Sigma-Aldrich Corporation | 2,335,754 | ||||||
| 9,600 | United States Steel Corporationb | 254,016 | ||||||
|
| |||||||
| Total Materials | 11,700,782 | |||||||
|
| |||||||
| Telecommunications Services (1.4%) | |||||||
| 84,900 | AT&T, Inc. | 2,567,376 | ||||||
| 138,034 | Verizon Communications, Inc. | 5,537,924 | ||||||
|
| |||||||
| Total Telecommunications Services | 8,105,300 | |||||||
|
| |||||||
| Utilities (3.6%) | |||||||
| 42,500 | Consolidated Edison, Inc. | 2,636,275 | ||||||
| 119,700 | Duke Energy Corporation | 2,633,400 | ||||||
| 158,260 | Exelon Corporation | 6,863,736 | ||||||
| 225,200 | NiSource, Inc.b | 5,362,012 | ||||||
| 57,800 | Southern Company | 2,675,562 | ||||||
|
| |||||||
| Total Utilities | 20,170,985 | |||||||
|
| |||||||
Total Common Stock (cost $545,312,699) | 551,939,268 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.2%) | ||||||||
| 1,256,975 | Thrivent Financial Securities Lending Trust | 1,256,975 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $1,256,975) | 1,256,975 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.1%)d | |||||||
Federal National Mortgage | ||||||||
| 500,000 | 0.102%, 2/22/2012e,f | 499,926 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 499,926 | |||||||
|
| |||||||
| Total Investments (cost $547,069,600) 97.9% | $ | 553,696,169 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 2.1% | 12,153,418 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 565,849,587 | ||||||
|
| |||||||
| 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. |
| d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| e | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| f | At December 31, 2011, $499,926 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. | ||
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 | $ | 37,759,677 | ||
Gross unrealized depreciation | (33,321,137 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 4,438,540 | ||
Cost for federal income tax purposes | $ | 549,257,629 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
229
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 57,238,646 | 57,238,646 | — | — | ||||||||||||
Consumer Staples | 83,967,530 | 83,967,530 | — | — | ||||||||||||
Energy | 63,890,035 | 63,890,035 | — | — | ||||||||||||
Financials | 67,147,762 | 67,147,762 | — | — | ||||||||||||
Health Care | 79,719,837 | 79,719,837 | — | — | ||||||||||||
Industrials | 54,247,622 | 54,247,622 | — | — | ||||||||||||
Information Technology | 105,750,769 | 105,750,769 | — | — | ||||||||||||
Materials | 11,700,782 | 11,700,782 | — | — | ||||||||||||
Telecommunications Services | 8,105,300 | 8,105,300 | — | — | ||||||||||||
Utilities | 20,170,985 | 20,170,985 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,256,975 | 1,256,975 | — | — | ||||||||||||
Short-Term Investments | 499,926 | — | 499,926 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 553,696,169 | $ | 553,196,243 | $ | 499,926 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 40,802 | 40,802 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 40,802 | $ | 40,802 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Call Options Written | 7,050 | 7,050 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 7,050 | $ | 7,050 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 7 | March 2012 | $ | 2,151,248 | $ | 2,192,050 | $ | 40,802 | ||||||||||||
Total Futures Contracts | $ | 40,802 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 10 | $ | 1,265.00 | January 2012 | ($ | 8,800 | ) | ($ | 2,700 | ) | ||||||||||
S&P 500 Mini-Futures Call Option | 20 | 1,270.00 | January 2012 | (15,300 | ) | (4,350 | ) | |||||||||||||
Total Call Options Written | ($ | 24,100 | ) | ($ | 7,050 | ) | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
230
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 40,802 | |||
Total Equity Contracts | 40,802 | |||||
|
| |||||
Total Asset Derivatives | $ | 40,802 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 7,050 | ||||
Total Equity Contracts | 7,050 | |||||
|
| |||||
Total Liability Derivatives | $ | 7,050 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 34,439 | ||||
Futures | Net realized gains/(losses) on Futures contracts | 2,164,456 | ||||
Total Equity Contracts | 2,198,895 | |||||
|
| |||||
Total | $ | 2,198,895 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | (15,675 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (655,273 | ) | |||
Total Equity Contracts | (670,948 | ) | ||||
|
| |||||
Total | ($ | 670,948 | ) | |||
|
| |||||
The following table presents Large Cap Stock Portfolio's average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 15,609,331 | 2.6 | % | 49 | |||||||
| * | 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.
231
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 18,613,928 | $ | 72,475,367 | $ | 89,832,320 | 1,256,975 | $ | 1,256,975 | $ | 30,503 | |||||||||||||
Total Value and Income Earned | 18,613,928 | 1,256,975 | 30,503 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
232
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.1%) | Value | ||||||
| Consumer Discretionary (10.6%) | ||||||||
| 2,200 | Abercrombie & Fitch Company | $ | 107,448 | |||||
| 9,100 | Amazon.com, Inc.a | 1,575,210 | ||||||
| 2,900 | Apollo Group, Inc.a | 156,223 | ||||||
| 1,200 | AutoNation, Inc.a | 44,244 | ||||||
| 800 | AutoZone, Inc.a | 259,976 | ||||||
| 6,000 | Bed Bath & Beyond, Inc.a | 347,820 | ||||||
| 7,325 | Best Buy Company, Inc. | 171,185 | ||||||
| 1,700 | Big Lots, Inc.a | 64,192 | ||||||
| 2,800 | BorgWarner, Inc.a | 178,472 | ||||||
| 5,500 | Cablevision Systems Corporation | 78,210 | ||||||
| 5,600 | CarMax, Inc.a | 170,688 | ||||||
| 11,300 | Carnival Corporation | 368,832 | ||||||
| 16,472 | CBS Corporation | 447,050 | ||||||
| 800 | Chipotle Mexican Grill, Inc.a | 270,192 | ||||||
| 7,300 | Coach, Inc. | 445,592 | ||||||
| 68,315 | Comcast Corporation | 1,619,749 | ||||||
| 7,000 | D.R. Horton, Inc. | 88,270 | ||||||
| 3,350 | Darden Restaurants, Inc. | 152,693 | ||||||
| 1,600 | DeVry, Inc. | 61,536 | ||||||
| 17,700 | DIRECTVa | 756,852 | ||||||
| 6,700 | Discovery Communications, Inc.a | 274,499 | ||||||
| 3,000 | Dollar Tree, Inc.a | 249,330 | ||||||
| 2,350 | Expedia, Inc. | 68,197 | ||||||
| 2,900 | Family Dollar Stores, Inc. | 167,214 | ||||||
| 95,311 | Ford Motor Companya | 1,025,546 | ||||||
| 6,000 | Gannett Company, Inc. | 80,220 | ||||||
| 8,662 | Gap, Inc. | 160,680 | ||||||
| 4,000 | Genuine Parts Company | 244,800 | ||||||
| 6,200 | Goodyear Tire & Rubber Companya | 87,854 | ||||||
| 7,300 | H&R Block, Inc. | 119,209 | ||||||
| 5,900 | Harley-Davidson, Inc. | 229,333 | ||||||
| 1,800 | Harman International Industries, Inc. | 68,472 | ||||||
| 2,850 | Hasbro, Inc. | 90,886 | ||||||
| 38,600 | Home Depot, Inc. | 1,622,744 | ||||||
| 7,500 | International Game Technology | 129,000 | ||||||
| 11,667 | Interpublic Group of Companies, Inc. | 113,520 | ||||||
| 3,500 | J.C. Penney Company, Inc. | 123,025 | ||||||
| 17,000 | Johnson Controls, Inc. | 531,420 | ||||||
| 6,300 | Kohl’s Corporation | 310,905 | ||||||
| 3,500 | Leggett & Platt, Inc. | 80,640 | ||||||
| 4,000 | Lennar Corporation | 78,600 | ||||||
| 6,204 | Limited Brands, Inc. | 250,331 | ||||||
| 31,400 | Lowe’s Companies, Inc. | 796,932 | ||||||
| 10,468 | Macy’s, Inc. | 336,860 | ||||||
| 6,806 | Marriott International, Inc. | 198,531 | ||||||
| 8,550 | Mattel, Inc. | 237,348 | ||||||
| 25,600 | McDonald’s Corporation | 2,568,448 | ||||||
| 7,300 | McGraw-Hill Companies, Inc. | 328,281 | ||||||
| 1,300 | Netflix, Inc.a | 90,077 | ||||||
| 7,173 | Newell Rubbermaid, Inc. | 115,844 | ||||||
| 55,000 | News Corporation | 981,200 | ||||||
| 9,300 | NIKE, Inc. | 896,241 | ||||||
| 4,100 | Nordstrom, Inc. | 203,811 | ||||||
| 7,000 | Omnicom Group, Inc. | 312,060 | ||||||
| 3,300 | O’Reilly Automotive, Inc.a | 263,835 | ||||||
| 1,200 | Priceline.com, Inc.a | 561,252 | ||||||
| 8,392 | Pulte Group, Inc.a | 52,954 | ||||||
| 1,700 | Ralph Lauren Corporation | 234,736 | ||||||
| 5,900 | Ross Stores, Inc. | 280,427 | ||||||
| 2,500 | Scripps Networks Interactive | 106,050 | ||||||
| 1,032 | Sears Holdings Corporationa,b | 32,797 | ||||||
| 2,200 | Sherwin-Williams Company | 196,394 | ||||||
| 1,500 | Snap-On, Inc. | 75,930 | ||||||
| 17,475 | Staples, Inc. | 242,728 | ||||||
| 18,700 | Starbucks Corporation | 860,387 | ||||||
| 4,900 | Starwood Hotels & Resorts Worldwide, Inc. | 235,053 | ||||||
| 16,800 | Target Corporation | 860,496 | ||||||
| 3,200 | Tiffany & Company | 212,032 | ||||||
| 7,958 | Time Warner Cable, Inc. | 505,890 | ||||||
| 25,050 | Time Warner, Inc. | 905,307 | ||||||
| 9,400 | TJX Companies, Inc. | 606,770 | ||||||
| 2,350 | TripAdvisor, Inc.a | 59,243 | ||||||
| 2,800 | Urban Outfitters, Inc.a | 77,168 | ||||||
| 2,200 | VF Corporation | 279,378 | ||||||
| 13,772 | Viacom, Inc. | 625,387 | ||||||
| 45,047 | Walt Disney Company | 1,689,262 | ||||||
| 170 | Washington Post Company | 64,058 | ||||||
| 1,857 | Whirlpool Corporation | 88,115 | ||||||
| 3,872 | Wyndham Worldwide Corporation | 146,478 | ||||||
| 2,000 | Wynn Resorts, Ltd. | 220,980 | ||||||
| 11,480 | Yum! Brands, Inc. | 677,435 | ||||||
|
| |||||||
| Total Consumer Discretionary | 30,697,034 | |||||||
|
| |||||||
| Consumer Staples (11.3%) | ||||||||
| 51,600 | Altria Group, Inc. | 1,529,940 | ||||||
| 16,668 | Archer-Daniels-Midland Company | 476,705 | ||||||
| 10,800 | Avon Products, Inc. | 188,676 | ||||||
| 4,000 | Beam, Inc. | 204,920 | ||||||
| 2,625 | Brown-Forman Corporation | 211,339 | ||||||
| 4,600 | Campbell Soup Company | 152,904 | ||||||
| 3,300 | Clorox Company | 219,648 | ||||||
| 57,000 | Coca-Cola Company | 3,988,290 | ||||||
| 7,900 | Coca-Cola Enterprises, Inc. | 203,662 | ||||||
| 12,100 | Colgate-Palmolive Company | 1,117,919 | ||||||
| 10,500 | ConAgra Foods, Inc. | 277,200 | ||||||
| 4,400 | Constellation Brands, Inc.a | 90,948 | ||||||
| 10,800 | Costco Wholesale Corporation | 899,856 | ||||||
| 32,644 | CVS Caremark Corporation | 1,331,222 | ||||||
| 4,600 | Dean Foods Companya | 51,520 | ||||||
| 5,300 | Dr. Pepper Snapple Group, Inc. | 209,244 | ||||||
| 2,900 | Estee Lauder Companies, Inc. | 325,728 | ||||||
| 16,100 | General Mills, Inc. | 650,601 | ||||||
| 8,000 | H.J. Heinz Company | 432,320 | ||||||
| 3,900 | Hershey Company | 240,942 | ||||||
| 3,500 | Hormel Foods Corporation | 102,515 | ||||||
| 2,951 | J.M. Smucker Company | 230,680 | ||||||
| 6,200 | Kellogg Company | 313,534 | ||||||
| 9,892 | Kimberly-Clark Corporation | 727,655 | ||||||
| 44,252 | Kraft Foods, Inc. | 1,653,255 | ||||||
| 14,900 | Kroger Company | 360,878 | ||||||
| 3,300 | Lorillard, Inc. | 376,200 | ||||||
| 3,400 | McCormick & Company, Inc. | 171,428 | ||||||
| 5,028 | Mead Johnson Nutrition Company | 345,574 | ||||||
| 4,000 | Molson Coors Brewing Company | 174,160 | ||||||
| 39,230 | PepsiCo, Inc. | 2,602,910 | ||||||
| 43,600 | Philip Morris International, Inc. | 3,421,728 | ||||||
| 69,038 | Procter & Gamble Company | 4,605,525 | ||||||
| 8,500 | Reynolds American, Inc. | 352,070 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
233
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.1%) | Value | ||||||
| Consumer Staples (11.3%) - continued | ||||||||
| 8,500 | Safeway, Inc. | $ | 178,840 | |||||
| 14,900 | Sara Lee Corporation | 281,908 | ||||||
| 5,281 | SUPERVALU, Inc.b | 42,882 | ||||||
| 14,800 | Sysco Corporationb | 434,084 | ||||||
| 7,400 | Tyson Foods, Inc. | 152,736 | ||||||
| 22,300 | Walgreen Company | 737,238 | ||||||
| 43,800 | Wal-Mart Stores, Inc. | 2,617,488 | ||||||
| 4,100 | Whole Foods Market, Inc. | 285,278 | ||||||
|
| |||||||
| Total Consumer Staples | 32,972,150 | |||||||
|
| |||||||
| Energy (12.0%) | ||||||||
| 5,569 | Alpha Natural Resources, Inc.a | 113,775 | ||||||
| 12,472 | Anadarko Petroleum Corporation | 951,988 | ||||||
| 9,620 | Apache Corporation | 871,380 | ||||||
| 10,883 | Baker Hughes, Inc. | 529,349 | ||||||
| 2,700 | Cabot Oil & Gas Corporation | 204,930 | ||||||
| 6,200 | Cameron International Corporationa | 304,978 | ||||||
| 16,500 | Chesapeake Energy Corporation | 367,785 | ||||||
| 49,896 | Chevron Corporation | 5,308,934 | ||||||
| 33,249 | ConocoPhillips | 2,422,855 | ||||||
| 5,700 | Consol Energy, Inc. | 209,190 | ||||||
| 10,000 | Denbury Resources, Inc.a | 151,000 | ||||||
| 10,100 | Devon Energy Corporation | 626,200 | ||||||
| 1,800 | Diamond Offshore Drilling, Inc. | 99,468 | ||||||
| 19,318 | El Paso Corporation | 513,279 | ||||||
| 6,700 | EOG Resources, Inc. | 660,017 | ||||||
| 3,800 | EQT Corporation | 208,202 | ||||||
| 120,290 | Exxon Mobil Corporation | 10,195,780 | ||||||
| 6,000 | FMC Technologies, Inc.a | 313,380 | ||||||
| 23,000 | Halliburton Company | 793,730 | ||||||
| 2,700 | Helmerich & Payne, Inc. | 157,572 | ||||||
| 7,500 | Hess Corporation | 426,000 | ||||||
| 17,568 | Marathon Oil Corporation | 514,215 | ||||||
| 8,884 | Marathon Petroleum Corporation | 295,748 | ||||||
| 4,900 | Murphy Oil Corporation | 273,126 | ||||||
| 7,300 | Nabors Industries, Ltd.a | 126,582 | ||||||
| 10,600 | National Oilwell Varco, Inc. | 720,694 | ||||||
| 3,400 | Newfield Exploration Companya | 128,282 | ||||||
| 6,400 | Noble Corporationa | 193,408 | ||||||
| 4,400 | Noble Energy, Inc. | 415,316 | ||||||
| 20,300 | Occidental Petroleum Corporation | 1,902,110 | ||||||
| 6,800 | Peabody Energy Corporation | 225,148 | ||||||
| 3,100 | Pioneer Natural Resources Company | 277,388 | ||||||
| 4,500 | QEP Resources, Inc. | 131,850 | ||||||
| 4,000 | Range Resources Corporation | 247,760 | ||||||
| 3,200 | Rowan Companies, Inc.a | 97,056 | ||||||
| 33,594 | Schlumberger, Ltd. | 2,294,806 | ||||||
| 8,700 | Southwestern Energy Companya | 277,878 | ||||||
| 16,404 | Spectra Energy Corporation | 504,423 | ||||||
| 2,700 | Sunoco, Inc. | 110,754 | ||||||
| 3,600 | Tesoro Corporationa | 84,096 | ||||||
| 14,100 | Valero Energy Corporation | 296,805 | ||||||
| 14,700 | Williams Companies, Inc. | 485,394 | ||||||
|
| |||||||
| Total Energy | 35,032,631 | |||||||
|
| |||||||
| Financials (13.2%) | ||||||||
| 8,500 | ACE, Ltd. | 596,020 | ||||||
| 11,800 | Aflac, Inc. | 510,468 | ||||||
| 12,782 | Allstate Corporation | 350,355 | ||||||
| 25,300 | American Express Company | 1,193,401 | ||||||
| 10,867 | American International Group, Inc.a | 252,114 | ||||||
| 5,700 | Ameriprise Financial, Inc. | 282,948 | ||||||
| 8,125 | Aon Corporation | 380,250 | ||||||
| 2,936 | Apartment Investment & Management Company | 67,264 | ||||||
| 2,400 | Assurant, Inc. | 98,544 | ||||||
| 2,401 | AvalonBay Communities, Inc. | 313,571 | ||||||
| 254,410 | Bank of America Corporation | 1,414,520 | ||||||
| 30,352 | Bank of New York Mellon Corporation | 604,308 | ||||||
| 17,400 | BB&T Corporation | 437,958 | ||||||
| 44,069 | Berkshire Hathaway, Inc.a | 3,362,465 | ||||||
| 2,600 | BlackRock, Inc. | 463,424 | ||||||
| 3,800 | Boston Properties, Inc. | 378,480 | ||||||
| 11,473 | Capital One Financial Corporation | 485,193 | ||||||
| 8,200 | CBRE Group, Inc.a | 124,804 | ||||||
| 27,125 | Charles Schwab Corporation | 305,427 | ||||||
| 7,000 | Chubb Corporation | 484,540 | ||||||
| 4,138 | Cincinnati Financial Corporationb | 126,043 | ||||||
| 73,293 | Citigroup, Inc. | 1,928,339 | ||||||
| 1,700 | CME Group, Inc. | 414,239 | ||||||
| 5,050 | Comerica, Inc. | 130,290 | ||||||
| 13,725 | Discover Financial Services | 329,400 | ||||||
| 6,410 | E*TRADE Financial Corporationa | 51,024 | ||||||
| 7,500 | Equity Residential | 427,725 | ||||||
| 2,400 | Federated Investors, Inc.b | 36,360 | ||||||
| 22,994 | Fifth Third Bancorp | 292,484 | ||||||
| 6,581 | First Horizon National Corporation | 52,648 | ||||||
| 3,700 | Franklin Resources, Inc. | 355,422 | ||||||
| 12,400 | Genworth Financial, Inc.a | 81,220 | ||||||
| 12,300 | Goldman Sachs Group, Inc. | 1,112,289 | ||||||
| 11,200 | Hartford Financial Services Group, Inc. | 182,000 | ||||||
| 10,300 | HCP, Inc. | 426,729 | ||||||
| 4,800 | Health Care REIT, Inc. | 261,744 | ||||||
| 17,641 | Host Hotels & Resorts, Inc. | 260,558 | ||||||
| 13,200 | Hudson City Bancorp, Inc. | 82,500 | ||||||
| 21,771 | Huntington Bancshares, Inc. | 119,523 | ||||||
| 1,900 | IntercontinentalExchange, Inc.a | 229,045 | ||||||
| 11,400 | Invesco, Ltd. | 229,026 | ||||||
| 95,348 | J.P. Morgan Chase & Company | 3,170,321 | ||||||
| 24,000 | KeyCorp | 184,560 | ||||||
| 10,300 | Kimco Realty Corporation | 167,272 | ||||||
| 3,200 | Legg Mason, Inc. | 76,960 | ||||||
| 5,000 | Leucadia National Corporation | 113,700 | ||||||
| 7,594 | Lincoln National Corporation | 147,475 | ||||||
| 7,700 | Loews Corporation | 289,905 | ||||||
| 3,200 | M&T Bank Corporation | 244,288 | ||||||
| 13,600 | Marsh & McLennan Companies, Inc. | 430,032 | ||||||
| 26,532 | MetLife, Inc. | 827,268 | ||||||
| 5,000 | Moody’s Corporation | 168,400 | ||||||
| 37,250 | Morgan Stanley | 563,592 | ||||||
| 3,300 | NASDAQ OMX Group, Inc.a | 80,883 | ||||||
| 6,100 | Northern Trust Corporation | 241,926 | ||||||
| 6,600 | NYSE Euronext | 172,260 | ||||||
| 9,100 | People’s United Financial, Inc. | 116,935 | ||||||
| 4,000 | Plum Creek Timber Company, Inc. | 146,240 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
234
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.1%) | Value | ||||||
| Financials (13.2%) - continued | ||||||||
| 13,114 | PNC Financial Services Group, Inc. | $ | 756,284 | |||||
| 7,700 | Principal Financial Group, Inc. | 189,420 | ||||||
| 15,500 | Progressive Corporation | 302,405 | ||||||
| 11,496 | Prologis, Inc. | 328,671 | ||||||
| 11,800 | Prudential Financial, Inc. | 591,416 | ||||||
| 3,600 | Public Storage, Inc. | 484,056 | ||||||
| 31,577 | Regions Financial Corporation | 135,781 | ||||||
| 7,344 | Simon Property Group, Inc. | 946,935 | ||||||
| 12,700 | SLM Corporation | 170,180 | ||||||
| 12,300 | State Street Corporation | 495,813 | ||||||
| 13,400 | SunTrust Banks, Inc. | 237,180 | ||||||
| 6,368 | T. Rowe Price Group, Inc. | 362,658 | ||||||
| 2,600 | Torchmark Corporation | 112,814 | ||||||
| 10,381 | Travelers Companies, Inc. | 614,244 | ||||||
| 47,885 | U.S. Bancorp | 1,295,289 | ||||||
| 7,424 | Unum Group | 156,424 | ||||||
| 7,300 | Ventas, Inc. | 402,449 | ||||||
| 4,597 | Vornado Realty Trust | 353,325 | ||||||
| 132,340 | Wells Fargo & Company | 3,647,290 | ||||||
| 13,382 | Weyerhaeuser Company REIT | 249,842 | ||||||
| 8,100 | XL Group plc | 160,137 | ||||||
| 4,700 | Zions Bancorporation | 76,516 | ||||||
|
| |||||||
| Total Financials | 38,445,808 | |||||||
|
| |||||||
| Health Care (11.5%) | ||||||||
| 39,100 | Abbott Laboratories | 2,198,593 | ||||||
| 9,096 | Aetna, Inc. | 383,760 | ||||||
| 7,600 | Allergan, Inc. | 666,824 | ||||||
| 6,500 | AmerisourceBergen Corporation | 241,735 | ||||||
| 19,840 | Amgen, Inc. | 1,273,926 | ||||||
| 14,100 | Baxter International, Inc. | 697,668 | ||||||
| 5,400 | Becton, Dickinson and Company | 403,488 | ||||||
| 6,000 | Biogen Idec, Inc.a | 660,300 | ||||||
| 37,250 | Boston Scientific Corporationa | 198,915 | ||||||
| 42,498 | Bristol-Myers Squibb Company | 1,497,630 | ||||||
| 2,200 | C.R. Bard, Inc. | 188,100 | ||||||
| 8,675 | Cardinal Health, Inc. | 352,292 | ||||||
| 5,687 | CareFusion Corporationa | 144,507 | ||||||
| 11,200 | Celgene Corporationa | 757,120 | ||||||
| 3,700 | Cerner Corporationa | 226,625 | ||||||
| 7,200 | CIGNA Corporation | 302,400 | ||||||
| 3,700 | Coventry Health Care, Inc.a | 112,369 | ||||||
| 12,100 | Covidien plc | 544,621 | ||||||
| 2,400 | DaVita, Inc.a | 181,944 | ||||||
| 3,600 | DENTSPLY International, Inc. | 125,964 | ||||||
| 2,900 | Edwards Lifesciences Corporationa | 205,030 | ||||||
| 25,500 | Eli Lilly and Company | 1,059,780 | ||||||
| 12,200 | Express Scripts, Inc.a | 545,218 | ||||||
| 6,800 | Forest Laboratories, Inc.a | 205,768 | ||||||
| 18,800 | Gilead Sciences, Inc.a | 769,484 | ||||||
| 4,080 | Hospira, Inc.a | 123,910 | ||||||
| 4,200 | Humana, Inc. | 367,962 | ||||||
| 900 | Intuitive Surgical, Inc.a | 416,709 | ||||||
| 68,540 | Johnson & Johnson | 4,494,853 | ||||||
| 2,500 | Laboratory Corporation of America Holdingsa | 214,925 | ||||||
| 4,543 | Life Technologies Corporationa | 176,768 | ||||||
| 6,142 | McKesson Corporation | 478,523 | ||||||
| 9,686 | Medco Health Solutions, Inc.a | 541,447 | ||||||
| 26,400 | Medtronic, Inc. | 1,009,800 | ||||||
| 76,483 | Merck & Company, Inc. | 2,883,409 | ||||||
| 10,700 | Mylan, Inc.a | 229,622 | ||||||
| 2,300 | Patterson Companies, Inc. | 67,896 | ||||||
| 2,900 | PerkinElmer, Inc. | 58,000 | ||||||
| 2,400 | Perrigo Company | 233,520 | ||||||
| 192,860 | Pfizer, Inc. | 4,173,491 | ||||||
| 4,000 | Quest Diagnostics, Inc. | 232,240 | ||||||
| 8,084 | St. Jude Medical, Inc. | 277,281 | ||||||
| 8,200 | Stryker Corporation | 407,622 | ||||||
| 11,000 | Tenet Healthcare Corporationa | 56,430 | ||||||
| 9,400 | Thermo Fisher Scientific, Inc.a | 422,718 | ||||||
| 26,700 | UnitedHealth Group, Inc. | 1,353,156 | ||||||
| 2,900 | Varian Medical Systems, Inc.a | 194,677 | ||||||
| 2,300 | Waters Corporationa | 170,315 | ||||||
| 3,200 | Watson Pharmaceuticals, Inc.a | 193,088 | ||||||
| 8,700 | WellPoint, Inc. | 576,375 | ||||||
| 4,550 | Zimmer Holdings, Inc.a | 243,061 | ||||||
|
| |||||||
| Total Health Care | 33,541,859 | |||||||
|
| |||||||
| Industrials (10.5%) | ||||||||
| 17,500 | 3M Company | 1,430,275 | ||||||
| 2,600 | Avery Dennison Corporation | 74,568 | ||||||
| 18,560 | Boeing Company | 1,361,376 | ||||||
| 4,200 | C.H. Robinson Worldwide, Inc. | 293,076 | ||||||
| 16,200 | Caterpillar, Inc. | 1,467,720 | ||||||
| 2,800 | Cintas Corporation | 97,468 | ||||||
| 4,000 | Cooper Industries plc | 216,600 | ||||||
| 26,300 | CSX Corporation | 553,878 | ||||||
| 4,800 | Cummins, Inc. | 422,496 | ||||||
| 14,300 | Danaher Corporation | 672,672 | ||||||
| 10,300 | Deere & Company | 796,705 | ||||||
| 4,700 | Dover Corporation | 272,835 | ||||||
| 1,200 | Dun & Bradstreet Corporation | 89,796 | ||||||
| 8,400 | Eaton Corporation | 365,652 | ||||||
| 18,400 | Emerson Electric Company | 857,256 | ||||||
| 3,100 | Equifax, Inc. | 120,094 | ||||||
| 5,400 | Expeditors International of Washington, Inc. | 221,184 | ||||||
| 7,500 | Fastenal Companyb | 327,075 | ||||||
| 7,960 | FedEx Corporation | 664,740 | ||||||
| 1,500 | First Solar, Inc.a,b | 50,640 | ||||||
| 1,400 | Flowserve Corporation | 139,048 | ||||||
| 4,300 | Fluor Corporation | 216,075 | ||||||
| 8,900 | General Dynamics Corporation | 591,049 | ||||||
| 265,000 | General Electric Company | 4,746,150 | ||||||
| 3,100 | Goodrich Corporation | 383,470 | ||||||
| 19,375 | Honeywell International, Inc. | 1,053,031 | ||||||
| 12,100 | Illinois Tool Works, Inc. | 565,191 | ||||||
| 7,800 | Ingersoll-Rand plc | 237,666 | ||||||
| 4,700 | Iron Mountain, Inc. | 144,760 | ||||||
| 3,300 | Jacobs Engineering Group, Inc.a | 133,914 | ||||||
| 2,700 | Joy Global, Inc. | 202,419 | ||||||
| 2,600 | L-3 Communications Holdings, Inc. | 173,368 | ||||||
| 6,600 | Lockheed Martin Corporation | 533,940 | ||||||
| 9,000 | Masco Corporation | 94,320 | ||||||
| 8,500 | Norfolk Southern Corporation | 619,310 | ||||||
| 6,598 | Northrop Grumman Corporation | 385,851 | ||||||
| 9,037 | PACCAR, Inc. | 338,616 | ||||||
| 2,900 | Pall Corporation | 165,735 | ||||||
| 3,875 | Parker Hannifin Corporation | 295,469 | ||||||
| 5,000 | Pitney Bowes, Inc.b | 92,700 | ||||||
| 3,600 | Precision Castparts Corporation | 593,244 | ||||||
| 5,300 | Quanta Services, Inc.a | 114,162 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
235
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.1%) | Value | ||||||
| Industrials (10.5%) - continued | ||||||||
| 4,800 | R.R. Donnelley & Sons Company | $ | 69,264 | |||||
| 8,600 | Raytheon Company | 416,068 | ||||||
| 7,920 | Republic Services, Inc. | 218,196 | ||||||
| 3,600 | Robert Half International, Inc. | 102,456 | ||||||
| 3,600 | Rockwell Automation, Inc. | 264,132 | ||||||
| 3,800 | Rockwell Collins, Inc. | 210,406 | ||||||
| 2,500 | Roper Industries, Inc. | 217,175 | ||||||
| 1,300 | Ryder System, Inc. | 69,082 | ||||||
| 19,500 | Southwest Airlines Company | 166,920 | ||||||
| 4,300 | Stanley Black & Decker, Inc. | 290,680 | ||||||
| 2,200 | Stericycle, Inc.a | 171,424 | ||||||
| 6,900 | Textron, Inc. | 127,581 | ||||||
| 11,500 | Tyco International, Ltd. | 537,165 | ||||||
| 12,100 | Union Pacific Corporation | 1,281,874 | ||||||
| 24,200 | United Parcel Service, Inc. | 1,771,198 | ||||||
| 22,700 | United Technologies Corporation | 1,659,143 | ||||||
| 1,600 | W.W. Grainger, Inc. | 299,504 | ||||||
| 11,499 | Waste Management, Inc. | 376,132 | ||||||
| 4,700 | Xylem, Inc. | 120,743 | ||||||
|
| |||||||
| Total Industrials | 30,544,737 | |||||||
|
| |||||||
| Information Technology (18.7%) | ||||||||
| 16,000 | Accenture plc | 851,680 | ||||||
| 12,400 | Adobe Systems, Inc.a | 350,548 | ||||||
| 14,700 | Advanced Micro Devices, Inc.a | 79,380 | ||||||
| 8,715 | Agilent Technologies, Inc.a | 304,415 | ||||||
| 4,600 | Akamai Technologies, Inc.a | 148,488 | ||||||
| 8,100 | Altera Corporation | 300,510 | ||||||
| 4,200 | Amphenol Corporation | 190,638 | ||||||
| 7,500 | Analog Devices, Inc. | 268,350 | ||||||
| 23,300 | Apple, Inc.a | 9,436,500 | ||||||
| 32,800 | Applied Materials, Inc. | 351,288 | ||||||
| 5,700 | Autodesk, Inc.a | 172,881 | ||||||
| 12,300 | Automatic Data Processing, Inc. | 664,323 | ||||||
| 4,300 | BMC Software, Inc.a | 140,954 | ||||||
| 12,200 | Broadcom Corporationa | 358,192 | ||||||
| 9,312 | CA, Inc. | 188,242 | ||||||
| 134,900 | Cisco Systems, Inc. | 2,438,992 | ||||||
| 4,700 | Citrix Systems, Inc.a | 285,384 | ||||||
| 7,600 | Cognizant Technology Solutions Corporationa | 488,756 | ||||||
| 3,900 | Computer Sciences Corporation | 92,430 | ||||||
| 39,400 | Corning, Inc. | 511,412 | ||||||
| 38,300 | Dell, Inc.a | 560,329 | ||||||
| 28,800 | eBay, Inc.a | 873,504 | ||||||
| 8,400 | Electronic Arts, Inc.a | 173,040 | ||||||
| 51,186 | EMC Corporationa | 1,102,546 | ||||||
| 1,900 | F5 Networks, Inc.a | 201,628 | ||||||
| 6,100 | Fidelity National Information Services, Inc. | 162,199 | ||||||
| 3,600 | Fiserv, Inc.a | 211,464 | ||||||
| 4,000 | FLIR Systems, Inc. | 100,280 | ||||||
| 3,400 | GameStop Corporationa | 82,042 | ||||||
| 6,300 | Google, Inc.a | 4,069,170 | ||||||
| 3,000 | Harris Corporationb | 108,120 | ||||||
| 49,786 | Hewlett-Packard Company | 1,282,487 | ||||||
| 127,800 | Intel Corporation | 3,099,150 | ||||||
| 29,500 | International Business Machines Corporation | 5,424,460 | ||||||
| 7,500 | Intuit, Inc. | 394,425 | ||||||
| 4,600 | Jabil Circuit, Inc. | 90,436 | ||||||
| 5,762 | JDS Uniphase Corporationa | 60,155 | ||||||
| 13,200 | Juniper Networks, Inc.a | 269,412 | ||||||
| 4,200 | KLA-Tencor Corporation | 202,650 | ||||||
| 1,900 | Lexmark International, Inc. | 62,833 | ||||||
| 5,800 | Linear Technology Corporation | 174,174 | ||||||
| 14,200 | LSI Corporationa | 84,490 | ||||||
| 2,600 | MasterCard, Inc. | 969,332 | ||||||
| 4,800 | Microchip Technology, Inc.b | 175,824 | ||||||
| 24,800 | Micron Technology, Inc.a | 155,992 | ||||||
| 187,900 | Microsoft Corporation | 4,877,884 | ||||||
| 3,500 | Molex, Inc.b | 83,510 | ||||||
| 6,561 | Motorola Mobility Holdings, Inc.a | 254,567 | ||||||
| 7,255 | Motorola Solutions, Inc. | 335,834 | ||||||
| 9,000 | NetApp, Inc.a | 326,430 | ||||||
| 1,700 | Novellus Systems, Inc.a | 70,193 | ||||||
| 15,250 | NVIDIA Corporationa | 211,365 | ||||||
| 98,737 | Oracle Corporation | 2,532,604 | ||||||
| 8,100 | Paychex, Inc. | 243,891 | ||||||
| 42,100 | QUALCOMM, Inc. | 2,302,870 | ||||||
| 4,900 | Red Hat, Inc.a | 202,321 | ||||||
| 7,000 | SAIC, Inc.a | 86,030 | ||||||
| 3,400 | Salesforce.com, Inc.a | 344,964 | ||||||
| 6,000 | SanDisk Corporationa | 295,260 | ||||||
| 18,524 | Symantec Corporationa | 289,901 | ||||||
| 10,700 | TE Connectivity, Ltd. | 329,667 | ||||||
| 4,300 | Teradata Corporationa | 208,593 | ||||||
| 4,700 | Teradyne, Inc.a | 64,061 | ||||||
| 28,600 | Texas Instruments, Inc. | 832,546 | ||||||
| 4,100 | Total System Services, Inc. | 80,196 | ||||||
| 4,000 | VeriSign, Inc. | 142,880 | ||||||
| 12,700 | Visa, Inc. | 1,289,431 | ||||||
| 5,800 | Western Digital Corporationa | 179,510 | ||||||
| 15,580 | Western Union Company | 284,491 | ||||||
| 34,885 | Xerox Corporation | 277,685 | ||||||
| 6,600 | Xilinx, Inc. | 211,596 | ||||||
| 31,100 | Yahoo!, Inc.a | 501,643 | ||||||
|
| |||||||
| Total Information Technology | 54,573,428 | |||||||
|
| |||||||
| Materials (3.4%) | ||||||||
| 5,300 | Air Products and Chemicals, Inc. | 451,507 | ||||||
| 1,800 | Airgas, Inc. | 140,544 | ||||||
| 26,764 | Alcoa, Inc. | 231,509 | ||||||
| 2,769 | Allegheny Technologies, Inc. | 132,358 | ||||||
| 4,100 | Ball Corporation | 146,411 | ||||||
| 2,500 | Bemis Company, Inc. | 75,200 | ||||||
| 1,600 | CF Industries Holdings, Inc. | 231,968 | ||||||
| 3,600 | Cliffs Natural Resources, Inc. | 224,460 | ||||||
| 29,593 | Dow Chemical Company | 851,095 | ||||||
| 23,111 | E.I. du Pont de Nemours and Company | 1,058,021 | ||||||
| 3,500 | Eastman Chemical Company | 136,710 | ||||||
| 7,500 | Ecolab, Inc. | 433,575 | ||||||
| 1,800 | FMC Corporation | 154,872 | ||||||
| 23,792 | Freeport-McMoRan Copper & Gold, Inc. | 875,308 | ||||||
| 2,100 | International Flavors & Fragrances, Inc. | 110,082 | ||||||
| 10,971 | International Paper Company | 324,742 | ||||||
| 4,381 | MeadWestvaco Corporation | 131,211 | ||||||
| 13,378 | Monsanto Company | 937,396 | ||||||
| 7,400 | Mosaic Company | 373,182 | ||||||
| 12,348 | Newmont Mining Corporation | 741,003 | ||||||
| 7,900 | Nucor Corporation | 312,603 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
236
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (98.1%) | Value | ||||||
| Materials (3.4%) - continued | ||||||||
| 4,100 | Owens-Illinois, Inc.a | $ | 79,458 | |||||
| 3,900 | PPG Industries, Inc. | 325,611 | ||||||
| 7,500 | Praxair, Inc. | 801,750 | ||||||
| 4,952 | Sealed Air Corporation | 85,224 | ||||||
| 3,100 | Sigma-Aldrich Corporation | 193,626 | ||||||
| 2,100 | Titanium Metals Corporation | 31,458 | ||||||
| 3,600 | United States Steel Corporationb | 95,256 | ||||||
| 3,200 | Vulcan Materials Companyb | 125,920 | ||||||
|
| |||||||
| Total Materials | 9,812,060 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | ||||||||
| 9,800 | American Tower Corporation | 588,098 | ||||||
| 148,739 | AT&T, Inc. | 4,497,867 | ||||||
| 15,425 | CenturyLink, Inc. | 573,810 | ||||||
| 25,078 | Frontier Communications Corporationb | 129,152 | ||||||
| 7,400 | MetroPCS Communications, Inc.a | 64,232 | ||||||
| 75,120 | Sprint Nextel Corporationa | 175,781 | ||||||
| 70,996 | Verizon Communications, Inc. | 2,848,360 | ||||||
| 14,707 | Windstream Corporation | 172,660 | ||||||
|
| |||||||
| Total Telecommunications Services | 9,049,960 | |||||||
|
| |||||||
| Utilities (3.8%) | ||||||||
| 16,200 | AES Corporationa | 191,808 | ||||||
| 3,005 | AGL Resources, Inc. | 126,991 | ||||||
| 6,100 | Ameren Corporation | 202,093 | ||||||
| 12,160 | American Electric Power Company, Inc. | 502,330 | ||||||
| 10,773 | CenterPoint Energy, Inc. | 216,430 | ||||||
| 6,400 | CMS Energy Corporation | 141,312 | ||||||
| 7,400 | Consolidated Edison, Inc. | 459,022 | ||||||
| 5,100 | Constellation Energy Group, Inc. | 202,317 | ||||||
| 14,294 | Dominion Resources, Inc. | 758,726 | ||||||
| 4,300 | DTE Energy Company | 234,135 | ||||||
| 33,408 | Duke Energy Corporation | 734,976 | ||||||
| 8,200 | Edison International, Inc. | 339,480 | ||||||
| 4,400 | Entergy Corporation | 321,420 | ||||||
| 16,624 | Exelon Corporation | 720,983 | ||||||
| 10,434 | FirstEnergy Corporation | 462,226 | ||||||
| 2,015 | Integrys Energy Group, Inc. | 109,173 | ||||||
| 10,600 | NextEra Energy, Inc. | 645,328 | ||||||
| 7,109 | NiSource, Inc. | 169,265 | ||||||
| 4,500 | Northeast Utilities | 162,315 | ||||||
| 5,800 | NRG Energy, Inc.a | 105,096 | ||||||
| 2,600 | ONEOK, Inc. | 225,394 | ||||||
| 5,700 | Pepco Holdings, Inc. | 115,710 | ||||||
| 10,100 | PG&E Corporation | 416,322 | ||||||
| 2,800 | Pinnacle West Capital Corporation | 134,904 | ||||||
| 14,500 | PPL Corporation | 426,590 | ||||||
| 7,420 | Progress Energy, Inc. | 415,668 | ||||||
| 12,700 | Public Service Enterprise Group, Inc. | 419,227 | ||||||
| 2,900 | SCANA Corporation | 130,674 | ||||||
| 6,075 | Sempra Energy | 334,125 | ||||||
| 21,600 | Southern Company | 999,864 | ||||||
| 5,500 | TECO Energy, Inc. | 105,270 | ||||||
| 5,900 | Wisconsin Energy Corporation | 206,264 | ||||||
| 12,205 | Xcel Energy, Inc. | 337,346 | ||||||
|
| |||||||
| Total Utilities | 11,072,784 | |||||||
|
| |||||||
Total Common Stock (cost $251,214,798) | 285,742,451 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.4%) | ||||||||
| 1,237,026 | Thrivent Financial Securities Lending Trust | 1,237,026 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $1,237,026) | 1,237,026 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (0.2%)c | |||||||
| 600,000 | Federal National Mortgage Association Discount Notes | 599,911 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 599,911 | |||||||
|
| |||||||
| Total Investments (cost $253,051,735) 98.7% | $ | 287,579,388 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.3% | 3,705,913 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 291,285,301 | ||||||
|
| |||||||
| 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 December 31, 2011, $599,911 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 | $ | 59,356,104 | ||
Gross unrealized depreciation | (45,087,831 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 14,268,273 | ||
Cost for federal income tax purposes | $ | 273,311,115 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
237
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 30,697,034 | 30,697,034 | — | — | ||||||||||||
Consumer Staples | 32,972,150 | 32,972,150 | — | — | ||||||||||||
Energy | 35,032,631 | 35,032,631 | — | — | ||||||||||||
Financials | 38,445,808 | 38,445,808 | — | — | ||||||||||||
Health Care | 33,541,859 | 33,541,859 | — | — | ||||||||||||
Industrials | 30,544,737 | 30,544,737 | — | — | ||||||||||||
Information Technology | 54,573,428 | 54,573,428 | — | — | ||||||||||||
Materials | 9,812,060 | 9,812,060 | — | — | ||||||||||||
Telecommunications Services | 9,049,960 | 9,049,960 | — | — | ||||||||||||
Utilities | 11,072,784 | 11,072,784 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,237,026 | 1,237,026 | — | — | ||||||||||||
Short-Term Investments | 599,911 | — | 599,911 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 287,579,388 | $ | 286,979,477 | $ | 599,911 | $— | |||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 181,289 | 181,289 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $181,289 | $181,289 | $— | $— | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 17 | March 2012 | $ | 5,142,261 | $ | 5,323,550 | $ | 181,289 | ||||||||||||
Total Futures Contracts | $ | 181,289 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 181,289 | ||||
Total Equity Contracts | 181,289 | |||||
|
| |||||
Total Asset Derivatives | $ | 181,289 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (413,657 | ) | |||
Total Equity Contracts | (413,657 | ) | ||||
|
| |||||
Total | ($413,657 | ) | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
238
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 95,140 | ||||
Total Equity Contracts | 95,140 | |||||
|
| |||||
Total | $95,140 | |||||
|
| |||||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 4,935,887 | 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 Large Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 1,725,760 | $ | 34,453,181 | $ | 34,941,915 | 1,237,026 | $ | 1,237,026 | $ | 26,260 | |||||||||||||
Total Value and Income Earned | 1,725,760 | 1,237,026 | 26,260 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
239
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (81.7%) | Value | ||||||
| Consumer Discretionary (6.6%) | ||||||||
| 14,500 | Arbitron, Inc. | $ | 498,945 | |||||
| 10,500 | Best Buy Company, Inc.a | 245,385 | ||||||
| 3,800 | Carnival plc ADR | 125,134 | ||||||
| 16,300 | CEC Entertainment, Inc.a | 561,535 | ||||||
| 10,100 | Coach, Inc. | 616,504 | ||||||
| 37,300 | Comcast Corporation | 884,383 | ||||||
| 7,500 | Home Depot, Inc. | 315,300 | ||||||
| 9,100 | Polaris Industries, Inc. | 509,418 | ||||||
| 7,000 | Six Flags Entertainment Corporation | 288,680 | ||||||
| 600 | Starwood Hotels & Resorts Worldwide, Inc. | 28,782 | ||||||
| 5,500 | Strayer Education, Inc. | 534,545 | ||||||
| 4,900 | Tim Hortons, Inc. | 237,258 | ||||||
| 4,000 | Toyota Motor Corporation ADR | 264,520 | ||||||
| 12,000 | Yum! Brands, Inc. | 708,120 | ||||||
|
| |||||||
| Total Consumer Discretionary | 5,818,509 | |||||||
|
| |||||||
| Consumer Staples (8.1%) | ||||||||
| 4,000 | Anheuser-Busch InBev NV ADR | 243,960 | ||||||
| 11,500 | Coca-Cola Company | 804,655 | ||||||
| 5,400 | Colgate-Palmolive Company | 498,906 | ||||||
| 8,100 | Companhia de Bebidas das Americas ADR | 292,329 | ||||||
| 21,100 | CVS Caremark Corporation | 860,458 | ||||||
| 15,800 | Dr. Pepper Snapple Group, Inc. | 623,784 | ||||||
| 9,600 | Herbalife, Ltd. | 496,032 | ||||||
| 8,200 | Mead Johnson Nutrition Company | 563,586 | ||||||
| 18,200 | Philip Morris International, Inc. | 1,428,336 | ||||||
| 8,100 | Unilever plc ADR | 271,512 | ||||||
| 18,400 | Wal-Mart Stores, Inc. | 1,099,584 | ||||||
|
| |||||||
| Total Consumer Staples | 7,183,142 | |||||||
|
| |||||||
| Energy (13.1%) | ||||||||
| 4,900 | BP plc ADR | 209,426 | ||||||
| 5,200 | Cenovus Energy, Inc. | 172,640 | ||||||
| 22,700 | Chevron Corporationa | 2,415,280 | ||||||
| 700 | CNOOC, Ltd. ADR | 122,276 | ||||||
| 4,600 | Core Laboratories NV | 524,170 | ||||||
| 9,300 | Diamond Offshore Drilling, Inc. | 513,918 | ||||||
| 7,200 | Enbridge, Inc. | 269,352 | ||||||
| 33,400 | Exxon Mobil Corporationa | 2,830,984 | ||||||
| 9,800 | Helmerich & Payne, Inc. | 571,928 | ||||||
| 23,000 | Marathon Oil Corporation | 673,210 | ||||||
| 9,800 | National Oilwell Varco, Inc.a | 666,302 | ||||||
| 5,900 | Penn West Petroleum, Ltd. | 116,820 | ||||||
| 2,300 | PetroChina Company, Ltd. ADR | 285,913 | ||||||
| 10,800 | Petroleo Brasileiro SA PREF ADR | 253,692 | ||||||
| 3,400 | Royal Dutch Shell plc ADR, Class A | 248,506 | ||||||
| 4,600 | Royal Dutch Shell plc ADR, Class B | 349,646 | ||||||
| 4,700 | Suncor Energy, Inc. ADR | 135,501 | ||||||
| 4,400 | Total SA ADR | 224,884 | ||||||
| 26,900 | Valero Energy Corporation | 566,245 | ||||||
| 17,300 | W&T Offshore, Inc. | 366,933 | ||||||
|
| |||||||
| Total Energy | 11,517,626 | |||||||
|
| |||||||
| Financials (18.9%) | ||||||||
| 26,500 | Aegon NV ADRb | 106,530 | ||||||
| 14,700 | Aflac, Inc.a | 635,922 | ||||||
| 700 | Agree Realty Corporation | 17,066 | ||||||
| 400 | Alexandria Real Estate Equities, Inc. | 27,588 | ||||||
| 1,400 | American Campus Communities, Inc. | 58,744 | ||||||
| 1,000 | Ashford Hospitality Trust, Inc. | 8,000 | ||||||
| 1,600 | AvalonBay Communities, Inc. | 208,960 | ||||||
| 10,400 | Aviva plc ADR | 96,200 | ||||||
| 1,900 | BioMed Realty Trust, Inc. | 34,352 | ||||||
| 2,000 | Boston Properties, Inc. | 199,200 | ||||||
| 1,300 | Brandywine Realty Trust | 12,350 | ||||||
| 800 | BRE Properties, Inc. | 40,384 | ||||||
| 1,500 | Brookfield Office Properties, Inc. | 23,460 | ||||||
| 1,000 | Camden Property Trust | 62,240 | ||||||
| 11,300 | Cash America International, Inc. | 526,919 | ||||||
| 1,000 | CBL & Associates Properties, Inc. | 15,700 | ||||||
| 20,300 | CBOE Holdings, Inc.a | 524,958 | ||||||
| 4,300 | China Life Insurance Company, Ltd. ADR | 158,971 | ||||||
| 300 | Corporate Office Properties Trust | 6,378 | ||||||
| 4,900 | Credit Suisse Group ADR | 115,052 | ||||||
| 400 | CubeSmart | 4,256 | ||||||
| 2,200 | DCT Industrial Trust, Inc. | 11,264 | ||||||
| 800 | DDR Corporation | 9,736 | ||||||
| 2,000 | DiamondRock Hospitality Company | 19,280 | ||||||
| 1,200 | Digital Realty Trust, Inc. | 80,004 | ||||||
| 700 | Duke Realty Corporation | 8,435 | ||||||
| 700 | DuPont Fabros Technology, Inc. | 16,954 | ||||||
| 100 | EastGroup Properties, Inc. | 4,348 | ||||||
| 1,400 | Education Realty Trust, Inc. | 14,322 | ||||||
| 200 | Entertainment Properties Trust | 8,742 | ||||||
| 1,500 | Equity One, Inc. | 25,470 | ||||||
| 3,200 | Equity Residential | 182,496 | ||||||
| 600 | Essex Property Trust, Inc. | 84,306 | ||||||
| 1,500 | Federal Realty Investment Trust | 136,125 | ||||||
| 700 | First Industrial Realty Trust, Inc.b | 7,161 | ||||||
| 700 | Forest City Enterprises, Inc.b | 8,274 | ||||||
| 2,700 | Franklin Street Properties Corporation | 26,865 | ||||||
| 1,000 | Getty Realty Corporation | 13,950 | ||||||
| 1,000 | Glimcher Realty Trust | 9,200 | ||||||
| 1,500 | Government Properties Income Trust | 33,825 | ||||||
| 2,900 | HCP, Inc. | 120,147 | ||||||
| 400 | Health Care REIT, Inc. | 21,812 | ||||||
| 1,100 | Highwoods Properties, Inc. | 32,637 | ||||||
| 400 | Hospitality Properties Trust | 9,192 | ||||||
| 7,800 | Host Hotels & Resorts, Inc. | 115,206 | ||||||
| 5,600 | HSBC Holdings plc ADR | 213,360 | ||||||
| 17,800 | ING Groep NV ADRb | 127,626 | ||||||
| 1,800 | iShares Dow Jones Select Dividend Index Fund ETF | 96,750 | ||||||
| 18,750 | iShares Dow Jones U.S. Real Estate Index Fund ETF | 1,064,812 | ||||||
| 14,900 | iShares MSCI EAFE Index Fund | 737,997 | ||||||
| 10,800 | iShares S&P U.S. Preferred Stock Index Fund | 384,696 | ||||||
| 9,500 | Itau Unibanco Holding SA ADR | 176,320 | ||||||
| 600 | Kilroy Realty Corporation | 22,842 | ||||||
| 4,400 | Kimco Realty Corporation | 71,456 | ||||||
| 1,700 | Kite Realty Group Trust | 7,667 | ||||||
| 1,200 | LaSalle Hotel Properties | 29,052 | ||||||
| 800 | Lexington Realty Trust | 5,992 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
240
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (81.7%) | Value | ||||||
| Financials (18.9%) - continued | |||||||
| 1,800 | Liberty Property Trust | $ | 55,584 | |||||
| 500 | LTC Properties, Inc. | 15,430 | ||||||
| 1,100 | Macerich Company | 55,660 | ||||||
| 1,000 | Mack-Cali Realty Corporation | 26,690 | ||||||
| 8,800 | Manulife Financial Corporation | 93,456 | ||||||
| 700 | Medical Properties Trust, Inc. | 6,909 | ||||||
| 35,000 | Mitsubishi UFJ Financial Group, Inc. ADR | 146,650 | ||||||
| 1,100 | National Health Investors, Inc. | 48,378 | ||||||
| 1,700 | National Retail Properties, Inc. | 44,846 | ||||||
| 700 | Omega Healthcare Investors, Inc. | 13,545 | ||||||
| 900 | Post Properties, Inc. | 39,348 | ||||||
| 400 | Potlatch Corporation | 12,444 | ||||||
| 29,200 | PowerShares Preferred Portfolio | 399,748 | ||||||
| 4,278 | Prologis, Inc. | 122,308 | ||||||
| 13,200 | Prudential Financial, Inc. | 661,584 | ||||||
| 400 | PS Business Parks, Inc. | 22,172 | ||||||
| 1,900 | Public Storage, Inc. | 255,474 | ||||||
| 500 | Ramco-Gershenson Properties Trust | 4,915 | ||||||
| 18,700 | Raymond James Financial, Inc. | 578,952 | ||||||
| 900 | Rayonier, Inc. REIT | 40,167 | ||||||
| 700 | Realty Income Corporation | 24,472 | ||||||
| 1,500 | Regency Centers Corporation | 56,430 | ||||||
| 133,900 | Regions Financial Corporation | 575,770 | ||||||
| 2,300 | Senior Housing Property Trust | 51,612 | ||||||
| 3,100 | Simon Property Group, Inc. | 399,714 | ||||||
| 1,100 | SL Green Realty Corporation | 73,304 | ||||||
| 100 | Sovran Self Storage, Inc. | 4,267 | ||||||
| 41,300 | SPDR Dow Jones Wilshire International Real Estate ETF | 1,314,579 | ||||||
| 57,300 | Symetra Financial Corporation | 519,711 | ||||||
| 3,200 | Toronto-Dominion Bank | 239,392 | ||||||
| 30,800 | U.S. Bancorp | 833,140 | ||||||
| 700 | UDR, Inc. | 17,570 | ||||||
| 400 | Universal Health Realty Income Trust | 15,600 | ||||||
| 300 | Urstadt Biddle Properties, Inc. | 5,424 | ||||||
| 21,100 | Vanguard FTSE All-World Ex-US Index Fund ETF | 836,615 | ||||||
| 3,600 | Vanguard REIT ETF | 208,800 | ||||||
| 2,922 | Ventas, Inc. | 161,090 | ||||||
| 1,800 | Vornado Realty Trust | 138,348 | ||||||
| 200 | Washington Real Estate Investment Trust | 5,470 | ||||||
| 54,400 | Wells Fargo & Companya | 1,499,264 | ||||||
| 1,800 | Westpac Banking Corporation ADR | 184,320 | ||||||
|
| |||||||
Total Financials | 16,630,703 | |||||||
|
| |||||||
| Health Care (7.6%) | |||||||
| 13,800 | Amgen, Inc. | 886,098 | ||||||
| 6,200 | C.R. Bard, Inc.a | 530,100 | ||||||
| 9,600 | McKesson Corporation | 747,936 | ||||||
| 21,000 | Medtronic, Inc. | 803,250 | ||||||
| 5,050 | Novartis AG ADR | 288,709 | ||||||
| 1,600 | Novo Nordisk A/S ADR | 184,416 | ||||||
| 41,500 | PDL BioPharma, Inc. | 257,300 | ||||||
| 79,200 | Pfizer, Inc. | 1,713,888 | ||||||
| 7,000 | Sanofi ADR | 255,780 | ||||||
| 19,600 | UnitedHealth Group, Inc. | 993,328 | ||||||
|
| |||||||
Total Health Care | 6,660,805 | |||||||
|
| |||||||
| 8,050 | ABB, Ltd. ADRb | 151,581 | ||||||
| 3,200 | Caterpillar, Inc.a | 289,920 | ||||||
| 12,900 | Corporate Executive Board Company | 491,490 | ||||||
| 7,900 | Dun & Bradstreet Corporation | 591,157 | ||||||
| 5,200 | Emerson Electric Company | 242,268 | ||||||
| 10,900 | Fluor Corporationa | 547,725 | ||||||
| 35,200 | Knight Transportation, Inc. | 550,528 | ||||||
| 8,600 | L-3 Communications Holdings, Inc. | 573,448 | ||||||
| 11,700 | Nordson Corporation | 481,806 | ||||||
| 20,900 | Republic Services, Inc. | 575,795 | ||||||
| 2,000 | Siemens AG ADR | 191,220 | ||||||
| 3,500 | United Technologies Corporation | 255,815 | ||||||
| 16,600 | Waste Connections, Inc. | 550,124 | ||||||
|
| |||||||
Total Industrials | 5,492,877 | |||||||
|
| |||||||
| Information Technology (10.2%) | |||||||
| 12,600 | Accenture plc | 670,698 | ||||||
| 27,200 | Cisco Systems, Inc.a | 491,776 | ||||||
| 45,300 | Corning, Inc. | 587,994 | ||||||
| 54,100 | Intel Corporation | 1,311,925 | ||||||
| 6,000 | International Business Machines Corporation | 1,103,280 | ||||||
| 19,900 | j2 Global, Inc. | 559,986 | ||||||
| 28,900 | Lender Processing Services, Inc. | 435,523 | ||||||
| 10,500 | Linear Technology Corporation | 315,315 | ||||||
| 76,400 | Microsoft Corporation | 1,983,344 | ||||||
| 19,500 | Nokia OYJ ADR | 93,990 | ||||||
| 38,100 | Oracle Corporation | 977,265 | ||||||
| 3,700 | SAP AG ADR | 195,915 | ||||||
| 18,000 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 232,380 | ||||||
|
| |||||||
Total Information Technology | 8,959,391 | |||||||
|
| |||||||
| Materials (4.1%) | |||||||
| 1,800 | Barrick Gold Corporation | 81,450 | ||||||
| 2,300 | BHP Billiton plc ADR | 134,297 | ||||||
| 3,700 | BHP Billiton, Ltd. ADR | 261,331 | ||||||
| 4,200 | CF Industries Holdings, Inc. | 608,916 | ||||||
| 8,600 | Cliffs Natural Resources, Inc.a | 536,210 | ||||||
| 6,900 | Domtar Corporation | 551,724 | ||||||
| 18,600 | Freeport-McMoRan Copper & Gold, Inc. | 684,294 | ||||||
| 90,200 | Hecla Mining Company | 471,746 | ||||||
| 1,400 | POSCO ADR | 114,940 | ||||||
| 9,500 | Vale SA SP PREF ADR | 195,700 | ||||||
|
| |||||||
Total Materials | 3,640,608 | |||||||
|
| |||||||
| Telecommunications Services (3.0%) | |||||||
| 8,700 | America Movil SAB de CV ADR | 196,620 | ||||||
| 23,700 | AT&T, Inc. | 716,688 | ||||||
| 6,300 | China Mobile, Ltd. ADR | 305,487 | ||||||
| 9,000 | Nippon Telegraph & Telephone Corporation ADR | 227,970 | ||||||
| 13,000 | NTT DOCOMO, INC. ADR | 238,550 | ||||||
| 9,200 | Telefonica SA ADR | 158,148 | ||||||
| 15,200 | Verizon Communications, Inc.a | 609,824 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
241
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (81.7%) | Value | ||||||
| Telecommunications Services (3.0%) - continued | |||||||
| 6,300 | Vodafone Group plc ADR | $ | 176,589 | |||||
|
| |||||||
| Total Telecommunications Services | 2,629,876 | |||||||
|
| |||||||
| Utilities (3.9%) | |||||||
| 16,000 | American Electric Power Company, Inc.a | 660,960 | ||||||
| 4,600 | Consolidated Edison, Inc. | 285,338 | ||||||
| 13,600 | Laclede Group, Inc. | 550,392 | ||||||
| 4,100 | National Grid plc ADR | 198,768 | ||||||
| 21,900 | Portland General Electric Company | 553,851 | ||||||
| 8,300 | Public Service Enterprise Group, Inc. | 273,983 | ||||||
| 28,600 | Questar Corporation | 567,996 | ||||||
| 19,200 | TECO Energy, Inc. | 367,488 | ||||||
|
| |||||||
| Total Utilities | 3,458,776 | |||||||
|
| |||||||
Total Common Stock (cost $71,671,785) | 71,992,313 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (4.9%) | |||||||
| Energy (0.9%) | |||||||
Enbridge Energy Partners, LP | ||||||||
| 350,000 | 8.050%, 10/1/2037 | 369,810 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 425,000 | 7.034%, 1/15/2068 | 442,000 | ||||||
|
| |||||||
| Total Energy | 811,810 | |||||||
|
| |||||||
| Financials (3.6%) | |||||||
Aegon NV | ||||||||
| 500,000 | 2.397%, 7/29/2049c,d | 215,750 | ||||||
American International Group, Inc. | ||||||||
| 150,000 | 8.175%, 5/15/2058 | 133,500 | ||||||
Bank of America Corporation | ||||||||
| 305,000 | 7.625%, 6/1/2019 | 315,436 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 175,000 | 5.919%, 12/29/2049d | 115,855 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 7.900%, 4/29/2049d | 186,321 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 350,000 | 10.750%, 6/15/2058e | 439,250 | ||||||
MetLife Capital Trust IV | ||||||||
| 400,000 | 7.875%, 12/15/2037e | 415,000 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 425,000 | 6.750%, 12/15/2065 | 368,442 | ||||||
Wachovia Capital Trust III | ||||||||
| 250,000 | 5.570%, 3/15/2042c,d | 209,375 | ||||||
XL Group plc | ||||||||
| 475,000 | 6.500%, 12/29/2049d | 371,688 | ||||||
ZFS Finance USA Trust II | ||||||||
| 400,000 | 6.450%, 12/15/2065e | 364,000 | ||||||
|
| |||||||
| Total Financials | 3,134,617 | |||||||
|
| |||||||
| Utilities (0.4%) | |||||||
Dominion Resources, Inc. | ||||||||
| 375,000 | 2.879%, 9/30/2066c | 315,139 | ||||||
| Total Utilities | 315,139 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $4,420,349) | 4,261,566 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.7%) | |||||||
| Financials (0.6%) | |||||||
| 5,000 | Bank of America Corporationd | 109,800 | ||||||
| 9,500 | Citigroup Capital XII | 239,020 | ||||||
| 2,500 | J.P. Morgan Chase Capital XXIX | 63,800 | ||||||
| 3,000 | U.S. Bancorpd | 81,990 | ||||||
|
| |||||||
| Total Financials | 494,610 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| 2,870 | Xcel Energy, Inc. | 77,921 | ||||||
|
| |||||||
| Total Utilities | 77,921 | |||||||
|
| |||||||
Total Preferred Stock (cost $591,381) | 572,531 | |||||||
|
| |||||||
| Contracts | Options Purchased (<0.1%) | |||||||
Put on Caterpillar Inc. | ||||||||
| 32 | $82.50, expires 1/21/2012 | 1,984 | ||||||
Put on Chevron Corporation | ||||||||
| 176 | $95.00, expires 1/21/2012 | 4,752 | ||||||
Put on Cliffs Natural Resources, Inc. | ||||||||
| 86 | $57.50, expires 1/21/2012 | 9,804 | ||||||
Put on Exxon Mobil Corporation | ||||||||
| 270 | $77.50, expires 1/21/2012 | 5,400 | ||||||
Put on Fluor Corporation | ||||||||
| 109 | $45.00, expires 1/21/2012 | 2,725 | ||||||
Put on National Oilwell Varco, Inc. | ||||||||
| 98 | $60.00, expires 1/21/2012 | 3,234 | ||||||
|
| |||||||
Total Options Purchased (cost $127,099) | 27,899 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (4.3%)f | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.015%, 1/20/2012g | 2,999,976 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 800,000 | 0.105%, 2/22/2012g,h | 799,882 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 3,799,858 | |||||||
|
| |||||||
| Total Investments (cost $80,610,472) 91.6% | $ | 80,654,167 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 8.4% | 7,423,652 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 88,077,819 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
242
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| a | All or a portion of the security was earmarked to cover written options. |
| b | Non-income producing security. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011, the value of these investments was $1,218,250 or 1.4% of total net assets. |
| f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| g | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| h | At December 31, 2011, $799,882 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 | $ | 4,161,958 | ||
Gross unrealized depreciation | (4,242,135 | ) | ||
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Net unrealized appreciation (depreciation) | $ | (80,177 | ) | |
Cost for federal income tax purposes | $ | 80,734,344 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
243
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 5,818,509 | 5,818,509 | — | — | ||||||||||||
Consumer Staples | 7,183,142 | 7,183,142 | — | — | ||||||||||||
Energy | 11,517,626 | 11,517,626 | — | — | ||||||||||||
Financials | 16,630,703 | 16,630,703 | — | — | ||||||||||||
Health Care | 6,660,805 | 6,660,805 | — | — | ||||||||||||
Industrials | 5,492,877 | 5,492,877 | — | — | ||||||||||||
Information Technology | 8,959,391 | 8,959,391 | — | — | ||||||||||||
Materials | 3,640,608 | 3,640,608 | — | — | ||||||||||||
Telecommunications Services | 2,629,876 | 2,629,876 | — | — | ||||||||||||
Utilities | 3,458,776 | 3,458,776 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Energy | 811,810 | — | 811,810 | — | ||||||||||||
Financials | 3,134,617 | — | 3,134,617 | — | ||||||||||||
Utilities | 315,139 | — | 315,139 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 494,610 | 494,610 | — | — | ||||||||||||
Utilities | 77,921 | 77,921 | — | — | ||||||||||||
Options Purchased | 27,899 | 27,899 | — | — | ||||||||||||
Short-Term Investments | 3,799,858 | — | 3,799,858 | — | ||||||||||||
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Total | $ | 80,654,167 | $ | 72,592,743 | $ | 8,061,424 | $ | — | ||||||||
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Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 175,065 | 175,065 | — | — | ||||||||||||
Call Options Written | 22,225 | 22,225 | — | — | ||||||||||||
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Total Asset Derivatives | $ | 197,290 | $ | 197,290 | $ | — | $ | — | ||||||||
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Liability Derivatives | ||||||||||||||||
Call Options Written | 111,251 | 111,251 | — | — | ||||||||||||
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Total Liability Derivatives | $ | 111,251 | $ | 111,251 | $ | — | $ | — | ||||||||
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Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Mini-Futures | 156 | March 2012 | $ | 9,595,215 | $ | 9,770,280 | $ | 175,065 | ||||||||||||
Total Futures Contracts | $ | 175,065 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
Caterpillar, Inc. Call Option | 32 | $ | 92.50 | January 2012 | ($ | 5,728 | ) | $ | 1,599 | |||||||||||
Chevron Corporation Call Option | 176 | 105.00 | January 2012 | (58,080 | ) | (29,044 | ) | |||||||||||||
Cliffs Natural Resources, Inc. Call Option | 86 | 67.50 | January 2012 | (8,256 | ) | 13,758 | ||||||||||||||
Exxon Mobil Corporation Call Option | 270 | 82.50 | January 2012 | (81,000 | ) | (54,007 | ) | |||||||||||||
Fluor Corporation Call Option | 109 | 52.50 | January 2012 | (7,085 | ) | 3,049 | ||||||||||||||
National Oilwell Varco, Inc. Call Option | 98 | 70.00 | January 2012 | (13,916 | ) | 3,819 | ||||||||||||||
S&P 500 Mini-Futures Call Option | 80 | 1,270.00 | January 2012 | (61,200 | ) | (17,400 | ) | |||||||||||||
S&P 500 Mini-Futures Call Option | 40 | 1,265.00 | January 2012 | (35,200 | ) | (10,800 | ) | |||||||||||||
Total Call Options Written | ($ | 270,465 | ) | ($ | 89,026 | ) | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
244
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | $ | 22,225 | |||
Options Purchased | Investments in securities at value, Net Assets - Net unrealized appreciation/(depreciation) on Investments | 27,899 | ||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 175,065 | ||||
Total Equity Contracts | 225,189 | |||||
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Total Asset Derivatives | $ | 225,189 | ||||
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Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 111,251 | ||||
Total Equity Contracts | 111,251 | |||||
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Total Liability Derivatives | $ | 111,251 | ||||
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| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (187,135 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (177,087 | ) | |||
Total Equity Contracts | (364,222 | ) | ||||
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Total | ($364,222 | ) | ||||
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The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | (90,464 | ) | |||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | (99,200 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 28,994 | ||||
Total Equity Contracts | (160,670 | ) | ||||
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Total | ($160,670 | ) | ||||
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The accompanying Notes to Financial Statements are an integral part of this schedule.
245
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2011
The following table presents Equity Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 8,770,814 | 10.3 | % | 109 | |||||||
| * | 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.
246
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (65.5%) | Value | ||||||
| Consumer Discretionary (7.0%) | ||||||||
| 1,200 | Abercrombie & Fitch Company | $ | 58,608 | |||||
| 5,000 | Amazon.com, Inc.a | 865,500 | ||||||
| 1,600 | Apollo Group, Inc.a | 86,192 | ||||||
| 700 | AutoNation, Inc.a | 25,809 | ||||||
| 400 | AutoZone, Inc.a | 129,988 | ||||||
| 3,300 | Bed Bath & Beyond, Inc.a | 191,301 | ||||||
| 4,075 | Best Buy Company, Inc. | 95,233 | ||||||
| 900 | Big Lots, Inc.a | 33,984 | ||||||
| 1,500 | BorgWarner, Inc.a | 95,610 | ||||||
| 3,100 | Cablevision Systems Corporation | 44,082 | ||||||
| 3,100 | CarMax, Inc.a | 94,488 | ||||||
| 6,300 | Carnival Corporation | 205,632 | ||||||
| 9,062 | CBS Corporation | 245,943 | ||||||
| 400 | Chipotle Mexican Grill, Inc.a | 135,096 | ||||||
| 4,000 | Coach, Inc. | 244,160 | ||||||
| 37,665 | Comcast Corporation | 893,037 | ||||||
| 3,800 | D.R. Horton, Inc. | 47,918 | ||||||
| 1,800 | Darden Restaurants, Inc. | 82,044 | ||||||
| 800 | DeVry, Inc. | 30,768 | ||||||
| 9,800 | DIRECTVa | 419,048 | ||||||
| 3,700 | Discovery Communications, Inc.a | 151,589 | ||||||
| 1,600 | Dollar Tree, Inc.a | 132,976 | ||||||
| 1,300 | Expedia, Inc. | 37,726 | ||||||
| 1,600 | Family Dollar Stores, Inc. | 92,256 | ||||||
| 52,588 | Ford Motor Companya | 565,847 | ||||||
| 3,300 | Gannett Company, Inc. | 44,121 | ||||||
| 4,800 | Gap, Inc. | 89,040 | ||||||
| 2,200 | Genuine Parts Company | 134,640 | ||||||
| 3,400 | Goodyear Tire & Rubber Companya | 48,178 | ||||||
| 4,100 | H&R Block, Inc. | 66,953 | ||||||
| 3,200 | Harley-Davidson, Inc. | 124,384 | ||||||
| 1,000 | Harman International Industries, Inc. | 38,040 | ||||||
| 1,600 | Hasbro, Inc. | 51,024 | ||||||
| 21,300 | Home Depot, Inc. | 895,452 | ||||||
| 4,100 | International Game Technology | 70,520 | ||||||
| 6,389 | Interpublic Group of Companies, Inc. | 62,165 | ||||||
| 2,000 | J.C. Penney Company, Inc. | 70,300 | ||||||
| 9,400 | Johnson Controls, Inc. | 293,844 | ||||||
| 3,500 | Kohl’s Corporation | 172,725 | ||||||
| 1,900 | Leggett & Platt, Inc. | 43,776 | ||||||
| 2,200 | Lennar Corporation | 43,230 | ||||||
| 3,362 | Limited Brands, Inc. | 135,657 | ||||||
| 17,300 | Lowe’s Companies, Inc. | 439,074 | ||||||
| 5,800 | Macy’s, Inc. | 186,644 | ||||||
| 3,663 | Marriott International, Inc. | 106,850 | ||||||
| 4,725 | Mattel, Inc. | 131,166 | ||||||
| 14,200 | McDonald’s Corporation | 1,424,686 | ||||||
| 4,100 | McGraw-Hill Companies, Inc. | 184,377 | ||||||
| 800 | Netflix, Inc.a,b | 55,432 | ||||||
| 4,026 | Newell Rubbermaid, Inc. | 65,020 | ||||||
| 30,300 | News Corporation | 540,552 | ||||||
| 5,100 | NIKE, Inc. | 491,487 | ||||||
| 2,200 | Nordstrom, Inc. | 109,362 | ||||||
| 3,800 | Omnicom Group, Inc. | 169,404 | ||||||
| 1,800 | O’Reilly Automotive, Inc.a | 143,910 | ||||||
| 700 | Priceline.com, Inc.a | 327,397 | ||||||
| 4,637 | Pulte Group, Inc.a | 29,259 | ||||||
| 900 | Ralph Lauren Corporation | 124,272 | ||||||
| 3,200 | Ross Stores, Inc. | 152,096 | ||||||
| 1,300 | Scripps Networks Interactive | 55,146 | ||||||
| 580 | Sears Holdings Corporationa,b | 18,432 | ||||||
| 1,200 | Sherwin-Williams Company | 107,124 | ||||||
| 800 | Snap-On, Inc. | 40,496 | ||||||
| 9,700 | Staples, Inc. | 134,733 | ||||||
| 10,300 | Starbucks Corporation | 473,903 | ||||||
| 2,700 | Starwood Hotels & Resorts Worldwide, Inc. | 129,519 | ||||||
| 9,300 | Target Corporation | 476,346 | ||||||
| 1,800 | Tiffany & Company | 119,268 | ||||||
| 4,380 | Time Warner Cable, Inc. | 278,437 | ||||||
| 13,816 | Time Warner, Inc. | 499,310 | ||||||
| 5,200 | TJX Companies, Inc. | 335,660 | ||||||
| 1,300 | TripAdvisor, Inc.a | 32,773 | ||||||
| 1,500 | Urban Outfitters, Inc.a | 41,340 | ||||||
| 1,200 | VF Corporation | 152,388 | ||||||
| 7,662 | Viacom, Inc. | 347,931 | ||||||
| 24,887 | Walt Disney Company | 933,262 | ||||||
| 20 | Washington Post Company | 7,536 | ||||||
| 1,058 | Whirlpool Corporation | 50,202 | ||||||
| 2,132 | Wyndham Worldwide Corporation | 80,654 | ||||||
| 1,100 | Wynn Resorts, Ltd. | 121,539 | ||||||
| 6,420 | Yum! Brands, Inc. | 378,844 | ||||||
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Total Consumer Discretionary | 16,884,715 | |||||||
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| Consumer Staples (7.6%) | ||||||||
| 28,500 | Altria Group, Inc. | 845,025 | ||||||
| 9,241 | Archer-Daniels-Midland Company | 264,293 | ||||||
| 6,000 | Avon Products, Inc. | 104,820 | ||||||
| 2,200 | Beam, Inc. | 112,706 | ||||||
| 1,425 | Brown-Forman Corporation | 114,727 | ||||||
| 2,500 | Campbell Soup Company | 83,100 | ||||||
| 1,800 | Clorox Company | 119,808 | ||||||
| 31,400 | Coca-Cola Company | 2,197,058 | ||||||
| 4,300 | Coca-Cola Enterprises, Inc. | 110,854 | ||||||
| 6,700 | Colgate-Palmolive Company | 619,013 | ||||||
| 5,700 | ConAgra Foods, Inc. | 150,480 | ||||||
| 2,400 | Constellation Brands, Inc.a | 49,608 | ||||||
| 6,000 | Costco Wholesale Corporation | 499,920 | ||||||
| 18,005 | CVS Caremark Corporation | 734,244 | ||||||
| 2,500 | Dean Foods Companya | 28,000 | ||||||
| 3,000 | Dr. Pepper Snapple Group, Inc. | 118,440 | ||||||
| 1,500 | Estee Lauder Companies, Inc. | 168,480 | ||||||
| 8,900 | General Mills, Inc. | 359,649 | ||||||
| 4,450 | H.J. Heinz Company | 240,478 | ||||||
| 2,100 | Hershey Company | 129,738 | ||||||
| 1,900 | Hormel Foods Corporation | 55,651 | ||||||
| 1,555 | J.M. Smucker Company | 121,554 | ||||||
| 3,400 | Kellogg Company | 171,938 | ||||||
| 5,480 | Kimberly-Clark Corporation | 403,109 | ||||||
| 24,460 | Kraft Foods, Inc. | 913,825 | ||||||
| 8,300 | Kroger Company | 201,026 | ||||||
| 1,900 | Lorillard, Inc. | 216,600 | ||||||
| 1,800 | McCormick & Company, Inc. | 90,756 | ||||||
| 2,822 | Mead Johnson Nutrition Company | 193,956 | ||||||
| 2,200 | Molson Coors Brewing Company | 95,788 | ||||||
| 21,597 | PepsiCo, Inc. | 1,432,961 | ||||||
| 24,000 | Philip Morris International, Inc. | 1,883,520 | ||||||
| 38,079 | Procter & Gamble Company | 2,540,250 | ||||||
| 4,700 | Reynolds American, Inc. | 194,674 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
247
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (65.5%) | Value | ||||||
| Consumer Staples (7.6%) - continued | ||||||||
| 4,700 | Safeway, Inc. | $ | 98,888 | |||||
| 8,200 | Sara Lee Corporation | 155,144 | ||||||
| 2,969 | SUPERVALU, Inc. | 24,108 | ||||||
| 8,200 | Sysco Corporation | 240,506 | ||||||
| 4,000 | Tyson Foods, Inc. | 82,560 | ||||||
| 12,300 | Walgreen Company | 406,638 | ||||||
| 24,200 | Wal-Mart Stores, Inc. | 1,446,192 | ||||||
| 2,200 | Whole Foods Market, Inc. | 153,076 | ||||||
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Total Consumer Staples | 18,173,161 | |||||||
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| Energy (8.0%) | ||||||||
| 3,037 | Alpha Natural Resources, Inc.a | 62,046 | ||||||
| 6,936 | Anadarko Petroleum Corporation | 529,425 | ||||||
| 5,268 | Apache Corporation | 477,175 | ||||||
| 6,061 | Baker Hughes, Inc. | 294,807 | ||||||
| 1,400 | Cabot Oil & Gas Corporation | 106,260 | ||||||
| 3,400 | Cameron International Corporationa | 167,246 | ||||||
| 9,100 | Chesapeake Energy Corporation | 202,839 | ||||||
| 27,574 | Chevron Corporation | 2,933,873 | ||||||
| 18,382 | ConocoPhillips | 1,339,496 | ||||||
| 3,100 | Consol Energy, Inc. | 113,770 | ||||||
| 5,500 | Denbury Resources, Inc.a | 83,050 | ||||||
| 5,600 | Devon Energy Corporation | 347,200 | ||||||
| 1,000 | Diamond Offshore Drilling, Inc. | 55,260 | ||||||
| 10,686 | El Paso Corporation | 283,927 | ||||||
| 3,700 | EOG Resources, Inc. | 364,487 | ||||||
| 2,100 | EQT Corporation | 115,059 | ||||||
| 66,334 | Exxon Mobil Corporation | 5,622,470 | ||||||
| 3,300 | FMC Technologies, Inc.a | 172,359 | ||||||
| 12,700 | Halliburton Company | 438,277 | ||||||
| 1,500 | Helmerich & Payne, Inc. | 87,540 | ||||||
| 4,100 | Hess Corporation | 232,880 | ||||||
| 9,722 | Marathon Oil Corporation | 284,563 | ||||||
| 4,961 | Marathon Petroleum Corporation | 165,152 | ||||||
| 2,700 | Murphy Oil Corporation | 150,498 | ||||||
| 4,000 | Nabors Industries, Ltd.a | 69,360 | ||||||
| 5,900 | National Oilwell Varco, Inc. | 401,141 | ||||||
| 1,800 | Newfield Exploration Companya | 67,914 | ||||||
| 3,500 | Noble Corporationa | 105,770 | ||||||
| 2,400 | Noble Energy, Inc. | 226,536 | ||||||
| 11,200 | Occidental Petroleum Corporation | 1,049,440 | ||||||
| 3,700 | Peabody Energy Corporation | 122,507 | ||||||
| 1,700 | Pioneer Natural Resources Company | 152,116 | ||||||
| 2,400 | QEP Resources, Inc. | 70,320 | ||||||
| 2,200 | Range Resources Corporation | 136,268 | ||||||
| 1,700 | Rowan Companies, Inc.a | 51,561 | ||||||
| 18,525 | Schlumberger, Ltd. | 1,265,443 | ||||||
| 4,800 | Southwestern Energy Companya | 153,312 | ||||||
| 9,021 | Spectra Energy Corporation | 277,396 | ||||||
| 1,500 | Sunoco, Inc. | 61,530 | ||||||
| 2,000 | Tesoro Corporationa | 46,720 | ||||||
| 7,700 | Valero Energy Corporation | 162,085 | ||||||
| 8,200 | Williams Companies, Inc. | 270,764 | ||||||
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Total Energy | 19,319,842 | |||||||
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| Financials (8.8%) | ||||||||
| 4,700 | ACE, Ltd. | 329,564 | ||||||
| 6,500 | Aflac, Inc. | 281,190 | ||||||
| 6,996 | Allstate Corporation | 191,760 | ||||||
| 14,000 | American Express Company | 660,380 | ||||||
| 6,020 | American International Group, Inc.a | 139,664 | ||||||
| 3,140 | Ameriprise Financial, Inc. | 155,870 | ||||||
| 4,450 | Aon Corporation | 208,260 | ||||||
| 1,654 | Apartment Investment & Management Company | 37,893 | ||||||
| 1,300 | Assurant, Inc. | 53,378 | ||||||
| 1,353 | AvalonBay Communities, Inc. | 176,702 | ||||||
| 140,254 | Bank of America Corporation | 779,812 | ||||||
| 16,801 | Bank of New York Mellon Corporation | 334,508 | ||||||
| 9,600 | BB&T Corporation | 241,632 | ||||||
| 24,350 | Berkshire Hathaway, Inc.a | 1,857,905 | ||||||
| 1,400 | BlackRock, Inc. | 249,536 | ||||||
| 2,000 | Boston Properties, Inc. | 199,200 | ||||||
| 6,365 | Capital One Financial Corporation | 269,176 | ||||||
| 4,500 | CBRE Group, Inc.a | 68,490 | ||||||
| 14,925 | Charles Schwab Corporation | 168,055 | ||||||
| 3,800 | Chubb Corporation | 263,036 | ||||||
| 2,251 | Cincinnati Financial Corporationb | 68,565 | ||||||
| 40,438 | Citigroup, Inc. | 1,063,924 | ||||||
| 900 | CME Group, Inc. | 219,303 | ||||||
| 2,700 | Comerica, Inc. | 69,660 | ||||||
| 7,595 | Discover Financial Services | 182,280 | ||||||
| 3,530 | E*TRADE Financial Corporationa | 28,099 | ||||||
| 4,100 | Equity Residential | 233,823 | ||||||
| 1,300 | Federated Investors, Inc.b | 19,695 | ||||||
| 12,716 | Fifth Third Bancorp | 161,747 | ||||||
| 3,644 | First Horizon National Corporation | 29,152 | ||||||
| 2,000 | Franklin Resources, Inc. | 192,120 | ||||||
| 6,800 | Genworth Financial, Inc.a | 44,540 | ||||||
| 6,800 | Goldman Sachs Group, Inc. | 614,924 | ||||||
| 6,200 | Hartford Financial Services Group, Inc. | 100,750 | ||||||
| 5,600 | HCP, Inc. | 232,008 | ||||||
| 2,600 | Health Care REIT, Inc. | 141,778 | ||||||
| 9,747 | Host Hotels & Resorts, Inc. | 143,963 | ||||||
| 7,300 | Hudson City Bancorp, Inc. | 45,625 | ||||||
| 11,916 | Huntington Bancshares, Inc. | 65,419 | ||||||
| 1,000 | IntercontinentalExchange, Inc.a | 120,550 | ||||||
| 6,200 | Invesco, Ltd. | 124,558 | ||||||
| 52,624 | J.P. Morgan Chase & Company | 1,749,748 | ||||||
| 13,200 | KeyCorp | 101,508 | ||||||
| 5,600 | Kimco Realty Corporation | 90,944 | ||||||
| 1,700 | Legg Mason, Inc. | 40,885 | ||||||
| 2,700 | Leucadia National Corporation | 61,398 | ||||||
| 4,211 | Lincoln National Corporation | 81,778 | ||||||
| 4,200 | Loews Corporation | 158,130 | ||||||
| 1,700 | M&T Bank Corporation | 129,778 | ||||||
| 7,400 | Marsh & McLennan Companies, Inc. | 233,988 | ||||||
| 14,616 | MetLife, Inc. | 455,727 | ||||||
| 2,700 | Moody’s Corporation | 90,936 | ||||||
| 20,490 | Morgan Stanley | 310,014 | ||||||
| 1,800 | NASDAQ OMX Group, Inc.a | 44,118 | ||||||
| 3,300 | Northern Trust Corporation | 130,878 | ||||||
| 3,600 | NYSE Euronext | 93,960 | ||||||
| 5,000 | People’s United Financial, Inc. | 64,250 | ||||||
| 2,200 | Plum Creek Timber Company, Inc. | 80,432 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
248
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (65.5%) | Value | ||||||
| Financials (8.8%) - continued | ||||||||
| 7,320 | PNC Financial Services Group, Inc. | $ | 422,144 | |||||
| 4,200 | Principal Financial Group, Inc. | 103,320 | ||||||
| 8,500 | Progressive Corporation | 165,835 | ||||||
| 6,381 | Prologis, Inc. | 182,433 | ||||||
| 6,500 | Prudential Financial, Inc. | 325,780 | ||||||
| 2,000 | Public Storage, Inc. | 268,920 | ||||||
| 17,400 | Regions Financial Corporation | 74,820 | ||||||
| 4,053 | Simon Property Group, Inc. | 522,594 | ||||||
| 7,000 | SLM Corporation | 93,800 | ||||||
| 6,800 | State Street Corporation | 274,108 | ||||||
| 7,400 | SunTrust Banks, Inc. | 130,980 | ||||||
| 3,500 | T. Rowe Price Group, Inc. | 199,325 | ||||||
| 1,400 | Torchmark Corporation | 60,746 | ||||||
| 5,725 | Travelers Companies, Inc. | 338,748 | ||||||
| 26,421 | U.S. Bancorp | 714,688 | ||||||
| 4,058 | Unum Group | 85,502 | ||||||
| 4,000 | Ventas, Inc. | 220,520 | ||||||
| 2,570 | Vornado Realty Trust | 197,530 | ||||||
| 72,982 | Wells Fargo & Company | 2,011,384 | ||||||
| 7,440 | Weyerhaeuser Company REIT | 138,905 | ||||||
| 4,400 | XL Group plc | 86,988 | ||||||
| 2,600 | Zions Bancorporation | 42,328 | ||||||
|
| |||||||
Total Financials | 21,148,364 | |||||||
|
| |||||||
| Health Care (7.7%) | ||||||||
| 21,600 | Abbott Laboratories | 1,214,568 | ||||||
| 5,056 | Aetna, Inc. | 213,313 | ||||||
| 4,200 | Allergan, Inc. | 368,508 | ||||||
| 3,600 | AmerisourceBergen Corporation | 133,884 | ||||||
| 10,952 | Amgen, Inc. | 703,228 | ||||||
| 7,800 | Baxter International, Inc. | 385,944 | ||||||
| 3,000 | Becton, Dickinson and Company | 224,160 | ||||||
| 3,330 | Biogen Idec, Inc.a | 366,467 | ||||||
| 20,450 | Boston Scientific Corporationa | 109,203 | ||||||
| 23,405 | Bristol-Myers Squibb Company | 824,792 | ||||||
| 1,200 | C.R. Bard, Inc. | 102,600 | ||||||
| 4,775 | Cardinal Health, Inc. | 193,913 | ||||||
| 3,087 | CareFusion Corporationa | 78,441 | ||||||
| 6,100 | Celgene Corporationa | 412,360 | ||||||
| 2,000 | Cerner Corporationa | 122,500 | ||||||
| 4,000 | CIGNA Corporation | 168,000 | ||||||
| 1,950 | Coventry Health Care, Inc.a | 59,221 | ||||||
| 6,700 | Covidien plc | 301,567 | ||||||
| 1,300 | DaVita, Inc.a | 98,553 | ||||||
| 2,000 | DENTSPLY International, Inc. | 69,980 | ||||||
| 1,600 | Edwards Lifesciences Corporationa | 113,120 | ||||||
| 14,100 | Eli Lilly and Company | 585,996 | ||||||
| 6,700 | Express Scripts, Inc.a | 299,423 | ||||||
| 3,700 | Forest Laboratories, Inc.a | 111,962 | ||||||
| 10,400 | Gilead Sciences, Inc.a | 425,672 | ||||||
| 2,230 | Hospira, Inc.a | 67,725 | ||||||
| 2,300 | Humana, Inc. | 201,503 | ||||||
| 500 | Intuitive Surgical, Inc.a | 231,505 | ||||||
| 37,806 | Johnson & Johnson | 2,479,317 | ||||||
| 1,400 | Laboratory Corporation of America Holdingsa | 120,358 | ||||||
| 2,437 | Life Technologies Corporationa | 94,824 | ||||||
| 3,380 | McKesson Corporation | 263,336 | ||||||
| 5,310 | Medco Health Solutions, Inc.a | 296,829 | ||||||
| 14,600 | Medtronic, Inc. | 558,450 | ||||||
| 42,127 | Merck & Company, Inc. | 1,588,188 | ||||||
| 5,900 | Mylan, Inc.a | 126,614 | ||||||
| 1,300 | Patterson Companies, Inc. | 38,376 | ||||||
| 1,600 | PerkinElmer, Inc. | 32,000 | ||||||
| 1,300 | Perrigo Company | 126,490 | ||||||
| 106,355 | Pfizer, Inc. | 2,301,522 | ||||||
| 2,200 | Quest Diagnostics, Inc. | 127,732 | ||||||
| 4,380 | St. Jude Medical, Inc. | 150,234 | ||||||
| 4,500 | Stryker Corporation | 223,695 | ||||||
| 6,050 | Tenet Healthcare Corporationa | 31,036 | ||||||
| 5,200 | Thermo Fisher Scientific, Inc.a | 233,844 | ||||||
| 14,800 | UnitedHealth Group, Inc. | 750,064 | ||||||
| 1,600 | Varian Medical Systems, Inc.a | 107,408 | ||||||
| 1,200 | Waters Corporationa | 88,860 | ||||||
| 1,800 | Watson Pharmaceuticals, Inc.a | 108,612 | ||||||
| 4,800 | WellPoint, Inc. | 318,000 | ||||||
| 2,490 | Zimmer Holdings, Inc.a | 133,016 | ||||||
|
| |||||||
Total Health Care | 18,486,913 | |||||||
|
| |||||||
| Industrials (7.0%) | ||||||||
| 9,700 | 3M Company | 792,781 | ||||||
| 1,500 | Avery Dennison Corporation | 43,020 | ||||||
| 10,328 | Boeing Company | 757,559 | ||||||
| 2,300 | C.H. Robinson Worldwide, Inc. | 160,494 | ||||||
| 8,900 | Caterpillar, Inc. | 806,340 | ||||||
| 1,500 | Cintas Corporation | 52,215 | ||||||
| 2,200 | Cooper Industries plc | 119,130 | ||||||
| 14,500 | CSX Corporation | 305,370 | ||||||
| 2,700 | Cummins, Inc. | 237,654 | ||||||
| 7,900 | Danaher Corporation | 371,616 | ||||||
| 5,700 | Deere & Company | 440,895 | ||||||
| 2,600 | Dover Corporation | 150,930 | ||||||
| 700 | Dun & Bradstreet Corporation | 52,381 | ||||||
| 4,600 | Eaton Corporation | 200,238 | ||||||
| 10,200 | Emerson Electric Company | 475,218 | ||||||
| 1,700 | Equifax, Inc. | 65,858 | ||||||
| 2,900 | Expeditors International of Washington, Inc. | 118,784 | ||||||
| 4,100 | Fastenal Companyb | 178,801 | ||||||
| 4,340 | FedEx Corporation | 362,433 | ||||||
| 800 | First Solar, Inc.a | 27,008 | ||||||
| 800 | Flowserve Corporation | 79,456 | ||||||
| 2,300 | Fluor Corporation | 115,575 | ||||||
| 4,900 | General Dynamics Corporation | 325,409 | ||||||
| 146,100 | General Electric Company | 2,616,651 | ||||||
| 1,700 | Goodrich Corporation | 210,290 | ||||||
| 10,737 | Honeywell International, Inc. | 583,556 | ||||||
| 6,700 | Illinois Tool Works, Inc. | 312,957 | ||||||
| 4,300 | Ingersoll-Rand plc | 131,021 | ||||||
| 2,600 | Iron Mountain, Inc. | 80,080 | ||||||
| 1,800 | Jacobs Engineering Group, Inc.a | 73,044 | ||||||
| 1,500 | Joy Global, Inc. | 112,455 | ||||||
| 1,400 | L-3 Communications Holdings, Inc. | 93,352 | ||||||
| 3,700 | Lockheed Martin Corporation | 299,330 | ||||||
| 5,000 | Masco Corporation | 52,400 | ||||||
| 4,700 | Norfolk Southern Corporation | 342,442 | ||||||
| 3,606 | Northrop Grumman Corporation | 210,879 | ||||||
| 4,950 | PACCAR, Inc. | 185,477 | ||||||
| 1,600 | Pall Corporation | 91,440 | ||||||
| 2,050 | Parker Hannifin Corporation | 156,312 | ||||||
| 2,800 | Pitney Bowes, Inc.b | 51,912 | ||||||
| 2,000 | Precision Castparts Corporation | 329,580 | ||||||
| 2,900 | Quanta Services, Inc.a | 62,466 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
249
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (65.5%) | Value | ||||||
| Industrials (7.0%) - continued | ||||||||
| 2,600 | R.R. Donnelley & Sons Company | $ | 37,518 | |||||
| 4,800 | Raytheon Company | 232,224 | ||||||
| 4,405 | Republic Services, Inc. | 121,358 | ||||||
| 2,000 | Robert Half International, Inc. | 56,920 | ||||||
| 2,000 | Rockwell Automation, Inc. | 146,740 | ||||||
| 2,100 | Rockwell Collins, Inc. | 116,277 | ||||||
| 1,300 | Roper Industries, Inc. | 112,931 | ||||||
| 700 | Ryder System, Inc. | 37,198 | ||||||
| 10,780 | Southwest Airlines Company | 92,277 | ||||||
| 2,300 | Stanley Black & Decker, Inc. | 155,480 | ||||||
| 1,200 | Stericycle, Inc.a | 93,504 | ||||||
| 3,800 | Textron, Inc. | 70,262 | ||||||
| 6,400 | Tyco International, Ltd. | 298,944 | ||||||
| 6,700 | Union Pacific Corporation | 709,798 | ||||||
| 13,400 | United Parcel Service, Inc. | 980,746 | ||||||
| 12,500 | United Technologies Corporation | 913,625 | ||||||
| 800 | W.W. Grainger, Inc. | 149,752 | ||||||
| 6,330 | Waste Management, Inc. | 207,054 | ||||||
| 2,600 | Xylem, Inc. | 66,794 | ||||||
|
| |||||||
| Total Industrials | 16,834,211 | |||||||
|
| |||||||
| Information Technology (12.5%) | ||||||||
| 8,900 | Accenture plc | 473,747 | ||||||
| 6,800 | Adobe Systems, Inc.a | 192,236 | ||||||
| 8,100 | Advanced Micro Devices, Inc.a | 43,740 | ||||||
| 4,763 | Agilent Technologies, Inc.a | 166,372 | ||||||
| 2,500 | Akamai Technologies, Inc.a | 80,700 | ||||||
| 4,400 | Altera Corporation | 163,240 | ||||||
| 2,300 | Amphenol Corporation | 104,397 | ||||||
| 4,100 | Analog Devices, Inc. | 146,698 | ||||||
| 12,900 | Apple, Inc.a | 5,224,500 | ||||||
| 18,100 | Applied Materials, Inc. | 193,851 | ||||||
| 3,100 | Autodesk, Inc.a | 94,023 | ||||||
| 6,800 | Automatic Data Processing, Inc. | 367,268 | ||||||
| 2,400 | BMC Software, Inc.a | 78,672 | ||||||
| 6,750 | Broadcom Corporationa | 198,180 | ||||||
| 5,075 | CA, Inc. | 102,591 | ||||||
| 74,400 | Cisco Systems, Inc. | 1,345,152 | ||||||
| 2,600 | Citrix Systems, Inc.a | 157,872 | ||||||
| 4,200 | Cognizant Technology Solutions Corporationa | 270,102 | ||||||
| 2,100 | Computer Sciences Corporation | 49,770 | ||||||
| 21,700 | Corning, Inc. | 281,666 | ||||||
| 21,100 | Dell, Inc.a | 308,693 | ||||||
| 15,900 | eBay, Inc.a | 482,247 | ||||||
| 4,600 | Electronic Arts, Inc.a | 94,760 | ||||||
| 28,224 | EMC Corporationa | 607,945 | ||||||
| 1,100 | F5 Networks, Inc.a | 116,732 | ||||||
| 3,400 | Fidelity National Information Services, Inc. | 90,406 | ||||||
| 1,950 | Fiserv, Inc.a | 114,543 | ||||||
| 2,200 | FLIR Systems, Inc. | 55,154 | ||||||
| 1,900 | GameStop Corporationa | 45,847 | ||||||
| 3,500 | Google, Inc.a | 2,260,650 | ||||||
| 1,600 | Harris Corporation | 57,664 | ||||||
| 27,461 | Hewlett-Packard Company | 707,395 | ||||||
| 70,500 | Intel Corporation | 1,709,625 | ||||||
| 16,300 | International Business Machines Corporation | 2,997,244 | ||||||
| 4,100 | Intuit, Inc. | 215,619 | ||||||
| 2,500 | Jabil Circuit, Inc. | 49,150 | ||||||
| 3,200 | JDS Uniphase Corporationa | 33,408 | ||||||
| 7,300 | Juniper Networks, Inc.a | 148,993 | ||||||
| 2,300 | KLA-Tencor Corporation | 110,975 | ||||||
| 1,000 | Lexmark International, Inc. | 33,070 | ||||||
| 3,200 | Linear Technology Corporation | 96,096 | ||||||
| 7,800 | LSI Corporationa | 46,410 | ||||||
| 1,500 | MasterCard, Inc. | 559,230 | ||||||
| 2,600 | Microchip Technology, Inc.b | 95,238 | ||||||
| 13,700 | Micron Technology, Inc.a | 86,173 | ||||||
| 103,600 | Microsoft Corporation | 2,689,456 | ||||||
| 1,850 | Molex, Inc.b | 44,141 | ||||||
| 3,677 | Motorola Mobility Holdings, Inc.a | 142,668 | ||||||
| 3,917 | Motorola Solutions, Inc. | 181,318 | ||||||
| 5,000 | NetApp, Inc.a | 181,350 | ||||||
| 900 | Novellus Systems, Inc.a | 37,161 | ||||||
| 8,450 | NVIDIA Corporationa | 117,117 | ||||||
| 54,459 | Oracle Corporation | 1,396,873 | ||||||
| 4,450 | Paychex, Inc. | 133,989 | ||||||
| 23,300 | QUALCOMM, Inc. | 1,274,510 | ||||||
| 2,700 | Red Hat, Inc.a | 111,483 | ||||||
| 3,800 | SAIC, Inc.a | 46,702 | ||||||
| 1,900 | Salesforce.com, Inc.a | 192,774 | ||||||
| 3,300 | SanDisk Corporationa | 162,393 | ||||||
| 10,172 | Symantec Corporationa | 159,192 | ||||||
| 5,900 | TE Connectivity, Ltd. | 181,779 | ||||||
| 2,300 | Teradata Corporationa | 111,573 | ||||||
| 2,500 | Teradyne, Inc.a | 34,075 | ||||||
| 15,800 | Texas Instruments, Inc. | 459,938 | ||||||
| 2,200 | Total System Services, Inc. | 43,032 | ||||||
| 2,200 | VeriSign, Inc. | 78,584 | ||||||
| 7,000 | Visa, Inc. | 710,710 | ||||||
| 3,200 | Western Digital Corporationa | 99,040 | ||||||
| 8,562 | Western Union Company | 156,342 | ||||||
| 19,183 | Xerox Corporation | 152,697 | ||||||
| 3,600 | Xilinx, Inc. | 115,416 | ||||||
| 17,200 | Yahoo!, Inc.a | 277,436 | ||||||
|
| |||||||
| Total Information Technology | 30,149,793 | |||||||
|
| |||||||
| Materials (2.3%) | ||||||||
| 2,900 | Air Products and Chemicals, Inc. | 247,051 | ||||||
| 900 | Airgas, Inc. | 70,272 | ||||||
| 14,764 | Alcoa, Inc. | 127,709 | ||||||
| 1,481 | Allegheny Technologies, Inc. | 70,792 | ||||||
| 2,200 | Ball Corporation | 78,562 | ||||||
| 1,400 | Bemis Company, Inc. | 42,112 | ||||||
| 900 | CF Industries Holdings, Inc. | 130,482 | ||||||
| 2,000 | Cliffs Natural Resources, Inc. | 124,700 | ||||||
| 16,377 | Dow Chemical Company | 471,002 | ||||||
| 12,819 | E.I. du Pont de Nemours and Company | 586,854 | ||||||
| 1,900 | Eastman Chemical Company | 74,214 | ||||||
| 4,200 | Ecolab, Inc. | 242,802 | ||||||
| 1,000 | FMC Corporation | 86,040 | ||||||
| 13,088 | Freeport-McMoRan Copper & Gold, Inc. | 481,507 | ||||||
| 1,100 | International Flavors & Fragrances, Inc. | 57,662 | ||||||
| 6,021 | International Paper Company | 178,222 | ||||||
| 2,380 | MeadWestvaco Corporation | 71,281 | ||||||
| 7,366 | Monsanto Company | 516,136 | ||||||
| 4,100 | Mosaic Company | 206,763 | ||||||
| 6,817 | Newmont Mining Corporation | 409,088 | ||||||
| 4,400 | Nucor Corporation | 174,108 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
250
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (65.5%) | Value | ||||||
| Materials (2.3%) - continued | ||||||||
| 2,300 | Owens-Illinois, Inc.a | $ | 44,574 | |||||
| 2,100 | PPG Industries, Inc. | 175,329 | ||||||
| 4,100 | Praxair, Inc. | 438,290 | ||||||
| 2,628 | Sealed Air Corporation | 45,228 | ||||||
| 1,700 | Sigma-Aldrich Corporation | 106,182 | ||||||
| 1,100 | Titanium Metals Corporation | 16,478 | ||||||
| 2,000 | United States Steel Corporationb | 52,920 | ||||||
| 1,800 | Vulcan Materials Companyb | 70,830 | ||||||
|
| |||||||
| Total Materials | 5,397,190 | |||||||
|
| |||||||
| Telecommunications Services (2.1%) | ||||||||
| 5,400 | American Tower Corporation | 324,054 | ||||||
| 81,979 | AT&T, Inc. | 2,479,045 | ||||||
| 8,594 | CenturyLink, Inc. | 319,697 | ||||||
| 13,810 | Frontier Communications Corporationb | 71,122 | ||||||
| 4,100 | MetroPCS Communications, Inc.a | 35,588 | ||||||
| 41,469 | Sprint Nextel Corporationa | 97,037 | ||||||
| 39,170 | Verizon Communications, Inc. | 1,571,500 | ||||||
| 8,017 | Windstream Corporation | 94,120 | ||||||
|
| |||||||
| Total Telecommunications Services | 4,992,163 | |||||||
|
| |||||||
| Utilities (2.5%) | ||||||||
| 8,900 | AES Corporationa | 105,376 | ||||||
| 1,586 | AGL Resources, Inc. | 67,024 | ||||||
| 3,400 | Ameren Corporation | 112,642 | ||||||
| 6,640 | American Electric Power Company, Inc. | 274,299 | ||||||
| 5,924 | CenterPoint Energy, Inc. | 119,013 | ||||||
| 3,500 | CMS Energy Corporation | 77,280 | ||||||
| 4,100 | Consolidated Edison, Inc. | 254,323 | ||||||
| 2,800 | Constellation Energy Group, Inc. | 111,076 | ||||||
| 7,930 | Dominion Resources, Inc. | 420,925 | ||||||
| 2,300 | DTE Energy Company | 125,235 | ||||||
| 18,442 | Duke Energy Corporation | 405,724 | ||||||
| 4,500 | Edison International, Inc. | 186,300 | ||||||
| 2,400 | Entergy Corporation | 175,320 | ||||||
| 9,174 | Exelon Corporation | 397,876 | ||||||
| 5,767 | FirstEnergy Corporation | 255,478 | ||||||
| 1,107 | Integrys Energy Group, Inc. | 59,977 | ||||||
| 5,800 | NextEra Energy, Inc. | 353,104 | ||||||
| 3,934 | NiSource, Inc. | 93,669 | ||||||
| 2,400 | Northeast Utilities | 86,568 | ||||||
| 3,200 | NRG Energy, Inc.a | 57,984 | ||||||
| 1,400 | ONEOK, Inc. | 121,366 | ||||||
| 3,100 | Pepco Holdings, Inc. | 62,930 | ||||||
| 5,600 | PG&E Corporation | 230,832 | ||||||
| 1,500 | Pinnacle West Capital Corporation | 72,270 | ||||||
| 8,000 | PPL Corporation | 235,360 | ||||||
| 4,091 | Progress Energy, Inc. | 229,178 | ||||||
| 7,000 | Public Service Enterprise Group, Inc. | 231,070 | ||||||
| 1,600 | SCANA Corporation | 72,096 | ||||||
| 3,287 | Sempra Energy | 180,785 | ||||||
| 11,900 | Southern Company | 550,851 | ||||||
| 3,000 | TECO Energy, Inc. | 57,420 | ||||||
| 3,200 | Wisconsin Energy Corporation | 111,872 | ||||||
| 6,710 | Xcel Energy, Inc. | 185,464 | ||||||
|
| |||||||
| Total Utilities | 6,080,687 | |||||||
|
| |||||||
Total Common Stock (cost $136,522,983) | 157,467,039 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (36.3%) | |||||||
| Asset-Backed Securities (1.5%) | ||||||||
Countrywide Asset-Backed Certificates | ||||||||
| $ 284,460 | 5.549%, 8/25/2021c | 249,668 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 451,327 | 6.085%, 6/25/2021c | 306,276 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 306,375 | 5.501%, 12/25/2036 | 198,701 | ||||||
First Horizon ABS Trust | ||||||||
| 440,371 | 0.424%, 10/25/2026c,d | 321,647 | ||||||
| 789,817 | 0.454%, 10/25/2034c,d | 500,503 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,225,441 | 0.474%, 8/25/2035c,d | 765,325 | ||||||
| 745,102 | 0.474%, 12/25/2036c,d | 461,427 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 389,570 | 0.464%, 10/25/2036c,d | 71,240 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 927,388 | 0.434%, 7/25/2037c,d,e | 671,444 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 3,546,231 | |||||||
|
| |||||||
| Basic Materials (0.1%) | ||||||||
Alcoa, Inc. | ||||||||
| 250,000 | 5.400%, 4/15/2021 | 250,466 | ||||||
|
| |||||||
| Total Basic Materials | 250,466 | |||||||
|
| |||||||
| Capital Goods (0.3%) | ||||||||
Boeing Capital Corporation | ||||||||
| 225,000 | 2.125%, 8/15/2016 | 229,848 | ||||||
Danaher Corporation | ||||||||
| 225,000 | 2.300%, 6/23/2016 | 233,862 | ||||||
United Technologies Corporation | ||||||||
| 225,000 | 6.050%, 6/1/2036 | 285,581 | ||||||
|
| |||||||
| Total Capital Goods | 749,291 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.3%) | ||||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 193,885 | 0.574%, 8/25/2036d | 54,867 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 810,754 | 2.612%, 6/25/2035 | 647,973 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 702,840 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (3.0%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 600,000 | 5.622%, 6/10/2049 | 643,378 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
251
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (36.3%) | Value | ||||||
| Commercial Mortgage-Backed Securities (3.0%) - continued | ||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| $1,148,248 | 0.428%, 3/15/2022d,f | $ | 1,116,181 | |||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 2,000,000 | 0.408%, 12/15/2020d,f | 1,823,888 | ||||||
| 750,000 | 5.306%, 12/10/2046 | 813,307 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 848,743 | 0.448%, 10/15/2021d,f | 782,319 | ||||||
| 700,000 | 5.467%, 9/15/2039 | 744,459 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 108,202 | 4.641%, 3/10/2040 | 110,700 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 1,000,000 | 1.317%, 3/6/2020d,f | 991,145 | ||||||
Morgan Stanley Capital I | ||||||||
| 225,000 | 3.224%, 7/15/2049 | 232,942 | ||||||
|
| |||||||
| Total Commercial Mortgage-Backed Securities | 7,258,319 | |||||||
|
| |||||||
| Communications Services (0.5%) | ||||||||
AT&T, Inc. | ||||||||
| 200,000 | 6.400%, 5/15/2038 | 247,076 | ||||||
CBS Corporation | ||||||||
| 200,000 | 7.875%, 9/1/2023 | 249,650 | ||||||
Cox Communications, Inc. | ||||||||
| 115,000 | 6.450%, 12/1/2036f | 123,760 | ||||||
Crown Castle Towers, LLC | ||||||||
| 250,000 | 4.174%, 8/15/2017f | 256,037 | ||||||
News America, Inc. | ||||||||
| 225,000 | 6.400%, 12/15/2035 | 246,553 | ||||||
Time Warner Cable, Inc. | ||||||||
| 200,000 | 7.300%, 7/1/2038 | 243,031 | ||||||
|
| |||||||
| Total Communications Services | 1,366,107 | |||||||
|
| |||||||
| Consumer Cyclical (0.8%) | ||||||||
California Institute of Technology | ||||||||
| 175,000 | 4.700%, 11/1/2111 | 181,708 | ||||||
Harley-Davidson Financial Services, Inc. | ||||||||
| 250,000 | 3.875%, 3/15/2016f | 258,978 | ||||||
University of Southern California | ||||||||
| 150,000 | 5.250%, 10/1/2111 | 188,205 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 450,000 | 7.550%, 2/15/2030 | 657,119 | ||||||
Walt Disney Company | ||||||||
| 500,000 | 5.625%, 9/15/2016 | 592,248 | ||||||
|
| |||||||
| Total Consumer Cyclical | 1,878,258 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.0%) | ||||||||
AmerisourceBergen Corporation | ||||||||
| 300,000 | 4.875%, 11/15/2019 | 336,387 | ||||||
Boston Scientific Corporation | ||||||||
| 225,000 | 7.000%, 11/15/2035 | 259,185 | ||||||
Colgate-Palmolive Company | ||||||||
| 250,000 | 1.250%, 5/1/2014 | 253,386 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
| 200,000 | 6.375%, 5/15/2038 | 267,610 | ||||||
Kellogg Company | ||||||||
| 400,000 | 4.250%, 3/6/2013 | 415,342 | ||||||
Philip Morris International, Inc. | ||||||||
| 200,000 | 6.375%, 5/16/2038 | 260,739 | ||||||
Wyeth | ||||||||
| 450,000 | 6.000%, 2/15/2036 | 574,943 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 2,367,592 | |||||||
|
| |||||||
| Energy (0.5%) | ||||||||
BP Capital Markets plc | ||||||||
| 250,000 | 4.742%, 3/11/2021 | 283,163 | ||||||
Cameron International Corporation | ||||||||
| 100,000 | 4.500%, 6/1/2021 | 107,349 | ||||||
Energy Transfer Partners, LP | ||||||||
| 300,000 | 6.700%, 7/1/2018 | 332,828 | ||||||
Petrobras International Finance Company | ||||||||
| 175,000 | 5.375%, 1/27/2021 | 183,855 | ||||||
Petro-Canada | ||||||||
| 200,000 | 6.800%, 5/15/2038 | 258,235 | ||||||
|
| |||||||
| Total Energy | 1,165,430 | |||||||
|
| |||||||
| Financials (2.7%) | ||||||||
BAC Capital Trust XI | ||||||||
| 225,000 | 6.625%, 5/23/2036 | 197,339 | ||||||
Barclays Bank plc | ||||||||
| 200,000 | 5.000%, 9/22/2016 | 207,133 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 250,000 | 4.650%, 7/2/2018 | 255,580 | ||||||
BNP Paribas SA | ||||||||
| 657,000 | 3.313%, 12/20/2014d | 618,616 | ||||||
Chubb Corporation | ||||||||
| 400,000 | 6.500%, 5/15/2038 | 514,356 | ||||||
Citigroup, Inc. | ||||||||
| 250,000 | 1.302%, 4/1/2014d | 235,581 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 150,000 | 4.750%, 1/15/2020f | 159,535 | ||||||
Danske Bank AS | ||||||||
| 250,000 | 3.875%, 4/14/2016f | 232,072 | ||||||
Fifth Third Bancorp | ||||||||
| 175,000 | 3.625%, 1/25/2016 | 177,554 | ||||||
FUEL Trust | ||||||||
| 100,000 | 4.207%, 4/15/2016f | 100,849 | ||||||
| 200,000 | 3.984%, 6/15/2016f | 199,973 | ||||||
General Electric Capital Corporation | ||||||||
| 225,000 | 5.875%, 1/14/2038 | 238,407 | ||||||
HCP, Inc. | ||||||||
| 175,000 | 3.750%, 2/1/2016 | 178,057 | ||||||
Health Care REIT, Inc. | ||||||||
| 300,000 | 6.125%, 4/15/2020 | 310,834 | ||||||
HSBC Holdings plc | ||||||||
| 200,000 | 6.800%, 6/1/2038 | 207,149 | ||||||
ING Bank NV | ||||||||
| 250,000 | 4.000%, 3/15/2016f | 241,561 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 250,000 | 3.450%, 3/1/2016 | 253,988 | ||||||
Lloyds TSB Bank plc | ||||||||
| 150,000 | 5.800%, 1/13/2020f | 142,407 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
252
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (36.3%) | Value | ||||||
| Financials (2.7%) - continued | ||||||||
Marsh & McLennan Companies, Inc. | ||||||||
| $ 225,000 | 4.800%, 7/15/2021 | $ | 246,278 | |||||
MetLife, Inc. | ||||||||
| 150,000 | 5.000%, 6/15/2015 | 163,409 | ||||||
Northern Trust Corporation | ||||||||
| 250,000 | 3.450%, 11/4/2020 | 257,431 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 1,004,612 | 0.746%, 12/22/2036d,e | 401,845 | ||||||
Prudential Financial, Inc. | ||||||||
| 225,000 | 5.700%, 12/14/2036 | 223,392 | ||||||
SSIF Nevada, LP | ||||||||
| 250,000 | 1.101%, 4/14/2014d,f | 246,035 | ||||||
Wachovia Bank NA | ||||||||
| 425,000 | 4.875%, 2/1/2015 | 450,312 | ||||||
Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013g | 50 | ||||||
|
| |||||||
| Total Financials | 6,459,743 | |||||||
|
| |||||||
| Foreign Government (1.7%) | ||||||||
Bank Nederlandse Gemeenten | ||||||||
| 500,000 | 4.375%, 2/16/2021f | 532,955 | ||||||
Chile Government International Bond | ||||||||
| 150,000 | 3.875%, 8/5/2020 | 162,375 | ||||||
Finland Government International Bond | ||||||||
| 250,000 | 2.250%, 3/17/2016f | 261,375 | ||||||
Italy Government International Bond | ||||||||
| 750,000 | 4.375%, 6/15/2013 | 737,671 | ||||||
| 300,000 | 5.375%, 6/12/2017 | 277,763 | ||||||
Newfoundland Government Notes | ||||||||
| 500,000 | 8.650%, 10/22/2022 | 742,372 | ||||||
Province of British Columbia | ||||||||
| 375,000 | 2.650%, 9/22/2021 | 385,875 | ||||||
Province of New Brunswick | ||||||||
| 250,000 | 2.750%, 6/15/2018 | 261,333 | ||||||
Quebec Government Notes | ||||||||
| 600,000 | 4.875%, 5/5/2014b | 654,380 | ||||||
|
| |||||||
| Total Foreign Government | 4,016,099 | |||||||
|
| |||||||
| Mortgage-Backed Securities (10.4%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 746 | 6.000%, 5/1/2012 | 809 | ||||||
| 585 | 7.000%, 8/1/2012 | 596 | ||||||
| 1,532 | 6.500%, 11/1/2012 | 1,574 | ||||||
| 11,273 | 6.000%, 2/1/2014 | 12,225 | ||||||
| 22,869 | 5.500%, 4/1/2014 | 24,758 | ||||||
| 11,272 | 6.000%, 4/1/2014 | 12,225 | ||||||
| 4,806 | 6.000%, 4/1/2014 | 5,212 | ||||||
| 11,569 | 6.500%, 6/1/2014 | 12,299 | ||||||
| 9,377 | 7.500%, 9/1/2014 | 10,102 | ||||||
| 348,904 | 5.500%, 12/1/2017 | 378,375 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 14,988 | 6.500%, 4/1/2024 | 16,783 | ||||||
| 23,827 | 9.000%, 11/1/2024 | 29,107 | ||||||
| 1,349 | 9.000%, 4/1/2025 | 1,651 | ||||||
| 1,926 | 7.000%, 9/1/2025 | 2,222 | ||||||
| 1,243 | 8.500%, 9/1/2025 | 1,490 | ||||||
| 728 | 6.500%, 5/1/2026 | 832 | ||||||
| 9,291 | 6.000%, 7/1/2026 | 10,332 | ||||||
| 1,201 | 7.500%, 7/1/2026 | 1,392 | ||||||
| 2,206 | 8.000%, 11/1/2026 | 2,614 | ||||||
| 2,076 | 7.500%, 1/1/2027 | 2,408 | ||||||
| 4,079 | 6.500%, 2/1/2027 | 4,673 | ||||||
| 5,606 | 7.000%, 2/1/2027 | 6,506 | ||||||
| 17,730 | 8.000%, 3/1/2027 | 21,010 | ||||||
| 3,665 | 7.500%, 4/1/2027 | 4,258 | ||||||
| 10,063 | 8.000%, 6/1/2027 | 11,947 | ||||||
| 2,959 | 8.500%, 7/1/2027 | 3,565 | ||||||
| 4,119 | 7.000%, 9/1/2027 | 4,779 | ||||||
| 6,866 | 8.000%, 10/1/2027 | 8,151 | ||||||
| 6,036 | 7.500%, 11/1/2027 | 7,013 | ||||||
| 3,163 | 7.500%, 12/1/2027 | 3,675 | ||||||
| 19,581 | 6.500%, 6/1/2028 | 22,436 | ||||||
| 10,551 | 7.000%, 10/1/2028 | 12,273 | ||||||
| 58,316 | 6.500%, 11/1/2028 | 66,820 | ||||||
| 33,918 | 6.000%, 3/1/2029 | 37,783 | ||||||
| 18,195 | 6.500%, 4/1/2029 | 20,848 | ||||||
| 31,025 | 6.000%, 5/1/2029 | 34,560 | ||||||
| 36,167 | 7.000%, 5/1/2029 | 42,156 | ||||||
| 12,904 | 6.500%, 7/1/2029 | 14,785 | ||||||
| 18,284 | 6.500%, 8/1/2029 | 20,950 | ||||||
| 6,310 | 7.000%, 9/1/2029 | 7,354 | ||||||
| 6,873 | 7.000%, 10/1/2029 | 8,011 | ||||||
| 6,563 | 7.500%, 11/1/2029 | 7,651 | ||||||
| 8,596 | 7.000%, 1/1/2030 | 9,954 | ||||||
| 14,536 | 7.500%, 1/1/2030 | 16,970 | ||||||
| 5,666 | 8.000%, 8/1/2030 | 6,725 | ||||||
| 18,736 | 6.000%, 3/1/2031 | 20,871 | ||||||
| 76,011 | 6.000%, 6/1/2031 | 84,672 | ||||||
| 75,922 | 6.000%, 1/1/2032 | 84,572 | ||||||
| 6,000,000 | 5.000%, 1/1/2042h | 6,447,186 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 634 | 6.500%, 5/1/2012 | 651 | ||||||
| 594 | 6.500%, 7/1/2012 | 610 | ||||||
| 2,029 | 7.000%, 10/1/2012 | 2,067 | ||||||
| 9,659 | 6.000%, 11/1/2013 | 10,428 | ||||||
| 28,589 | 5.500%, 12/1/2013 | 31,039 | ||||||
| 14,835 | 6.000%, 12/1/2013 | 16,016 | ||||||
| 2,660 | 7.500%, 4/1/2015 | 2,924 | ||||||
| 4,400,000 | 3.000%, 1/1/2027h | 4,543,686 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 3,973 | 10.500%, 8/1/2020 | 4,614 | ||||||
| 5,213 | 9.500%, 4/1/2025 | 6,278 | ||||||
| 980 | 7.500%, 9/1/2025 | 1,135 | ||||||
| 1,719 | 8.500%, 11/1/2025 | 2,015 | ||||||
| 4,656 | 6.500%, 2/1/2026 | 5,318 | ||||||
| 3,000 | 7.000%, 3/1/2026 | 3,474 | ||||||
| 3,795 | 6.500%, 4/1/2026 | 4,335 | ||||||
| 1,458 | 8.500%, 5/1/2026 | 1,713 | ||||||
| 1,648 | 7.500%, 7/1/2026 | 1,915 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
253
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (36.3%) | Value | ||||||
| Mortgage-Backed Securities (10.4%) - continued | ||||||||
| $ | 9,732 | 7.500%, 8/1/2026 | $ | 11,308 | ||||
| 1,729 | 8.000%, 8/1/2026 | 2,021 | ||||||
| 5,648 | 7.000%, 11/1/2026 | 6,540 | ||||||
| 1,942 | 8.000%, 11/1/2026 | 2,271 | ||||||
| 605 | 7.500%, 12/1/2026 | 702 | ||||||
| 3,287 | 7.000%, 3/1/2027 | 3,806 | ||||||
| 3,457 | 7.500%, 5/1/2027 | 4,027 | ||||||
| 7,691 | 6.500%, 7/1/2027 | 8,792 | ||||||
| 1,116 | 7.500%, 8/1/2027 | 1,300 | ||||||
| 25,933 | 8.000%, 9/1/2027 | 30,299 | ||||||
| 5,090 | 7.000%, 10/1/2027 | 5,910 | ||||||
| 3,823 | 8.000%, 12/1/2027 | 4,466 | ||||||
| 10,448 | 6.500%, 2/1/2028 | 11,943 | ||||||
| 5,787 | 7.000%, 2/1/2028 | 6,718 | ||||||
| 57,521 | 6.500%, 7/1/2028 | 65,755 | ||||||
| 25,255 | 7.000%, 8/1/2028 | 29,390 | ||||||
| 11,526 | 6.500%, 11/1/2028 | 13,177 | ||||||
| 32,401 | 6.500%, 11/1/2028 | 37,039 | ||||||
| 1,684 | 7.000%, 11/1/2028 | 1,960 | ||||||
| 49,049 | 6.000%, 12/1/2028 | 54,677 | ||||||
| 22,651 | 7.000%, 12/1/2028 | 26,360 | ||||||
| 23,706 | 6.000%, 3/1/2029 | 26,426 | ||||||
| 30,763 | 6.500%, 6/1/2029 | 35,167 | ||||||
| 33,001 | 6.000%, 7/1/2029 | 36,787 | ||||||
| 1,985 | 6.500%, 7/1/2029 | 2,269 | ||||||
| 38,156 | 7.500%, 8/1/2029 | 44,613 | ||||||
| 15,108 | 7.000%, 11/1/2029 | 17,619 | ||||||
| 27,132 | 7.000%, 11/1/2029 | 31,642 | ||||||
| 11,458 | 8.500%, 4/1/2030 | 13,507 | ||||||
| 8,351 | 7.500%, 8/1/2030 | 9,781 | ||||||
| 63,839 | 6.500%, 7/1/2031 | 72,659 | ||||||
| 26,055 | 6.500%, 10/1/2031 | 29,654 | ||||||
| 31,526 | 6.500%, 12/1/2031 | 35,882 | ||||||
| 38,797 | 6.500%, 5/1/2032 | 44,060 | ||||||
| 208,602 | 6.500%, 7/1/2032 | 236,901 | ||||||
| 6,650,000 | 4.500%, 1/1/2042h | 7,076,019 | ||||||
| 3,500,000 | 6.000%, 1/1/2042h | 3,853,829 | ||||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 275 | 7.000%, 4/15/2012 | 282 | ||||||
| 15,493 | 6.000%, 7/15/2014 | 16,936 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 4,131 | 9.500%, 1/15/2025 | 5,022 | ||||||
| 2,578 | 7.500%, 8/15/2025 | 3,008 | ||||||
| 10,032 | 7.000%, 1/15/2026 | 11,635 | ||||||
| 11,074 | 7.000%, 1/15/2026 | 12,843 | ||||||
| 10,577 | 7.000%, 4/15/2026 | 12,266 | ||||||
| 11,978 | 6.000%, 5/15/2026 | 13,622 | ||||||
| 11,190 | 7.000%, 6/15/2026 | 12,977 | ||||||
| 6,627 | 8.500%, 6/15/2026 | 7,989 | ||||||
| 2,396 | 8.500%, 7/15/2026 | 2,888 | ||||||
| 11,036 | 8.000%, 9/15/2026 | 13,039 | ||||||
| 3,514 | 7.500%, 10/15/2026 | 4,103 | ||||||
| 1,958 | 8.000%, 11/15/2026 | 2,313 | ||||||
| 1,562 | 8.500%, 11/15/2026 | 1,883 | ||||||
| 2,105 | 9.000%, 12/15/2026 | 2,546 | ||||||
| 14,960 | 7.500%, 4/15/2027 | 17,507 | ||||||
| 4,882 | 8.000%, 6/20/2027 | 5,767 | ||||||
| 466 | 8.000%, 8/15/2027 | 552 | ||||||
| 54,483 | 6.500%, 10/15/2027 | 63,164 | ||||||
| 16,301 | 7.000%, 10/15/2027 | 18,952 | ||||||
| 22,409 | 7.000%, 11/15/2027 | 26,052 | ||||||
| 1,161 | 7.000%, 11/15/2027 | 1,350 | ||||||
| 64,213 | 7.000%, 7/15/2028 | 74,817 | ||||||
| 15,891 | 7.500%, 7/15/2028 | 18,635 | ||||||
| 42,387 | 6.500%, 9/15/2028 | 49,141 | ||||||
| 46,263 | 6.000%, 12/15/2028 | 52,787 | ||||||
| 24,178 | 6.500%, 1/15/2029 | 28,031 | ||||||
| 178,999 | 6.500%, 3/15/2029 | 207,521 | ||||||
| 26,996 | 6.500%, 4/15/2029 | 31,297 | ||||||
| 18,133 | 7.000%, 4/15/2029 | 21,168 | ||||||
| 48,569 | 6.000%, 6/15/2029 | 55,418 | ||||||
| 42,048 | 7.000%, 6/15/2029 | 49,088 | ||||||
| 10,462 | 8.000%, 5/15/2030 | 12,461 | ||||||
| 31,534 | 7.000%, 9/15/2031 | 37,009 | ||||||
| 37,084 | 6.500%, 2/15/2032 | 42,993 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 25,039,716 | |||||||
|
| |||||||
| Technology (0.1%) | ||||||||
Hewlett-Packard Company | ||||||||
| 100,000 | 4.300%, 6/1/2021 | 102,543 | ||||||
Xerox Corporation | ||||||||
| 200,000 | 4.500%, 5/15/2021 | 202,693 | ||||||
|
| |||||||
| Total Technology | 305,236 | |||||||
|
| |||||||
| Transportation (<0.1%) | ||||||||
Delta Air Lines, Inc. | ||||||||
| 142,982 | 4.950%, 11/23/2019b | 145,664 | ||||||
|
| |||||||
| Total Transportation | 145,664 | |||||||
|
| |||||||
| U.S. Government and Agencies (12.4%) | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 2,000,000 | 0.625%, 12/29/2014 | 1,998,536 | ||||||
| 1,500,000 | 5.125%, 11/17/2017 | 1,806,138 | ||||||
Federal National Mortgage Association | ||||||||
| 1,500,000 | 5.625%, 4/17/2028 | 1,964,279 | ||||||
Resolution Funding Corporation | ||||||||
| 1,000,000 | 8.625%, 1/15/2021 | 1,473,268 | ||||||
Tennessee Valley Authority | ||||||||
| 150,000 | 5.250%, 9/15/2039 | 191,477 | ||||||
U.S. Treasury Bonds | ||||||||
| 1,575,000 | 4.375%, 5/15/2041 | 2,052,176 | ||||||
U.S. Treasury Notes | ||||||||
| 4,000,000 | 0.125%, 8/31/2013 | 3,992,968 | ||||||
| 5,250,000 | 2.375%, 8/31/2014 | 5,530,549 | ||||||
| 1,475,000 | 2.375%, 9/30/2014 | 1,556,240 | ||||||
| 1,400,000 | 1.250%, 10/31/2015 | 1,435,875 | ||||||
| 900,000 | 2.000%, 1/31/2016 | 949,500 | ||||||
| 1,000,000 | 2.625%, 2/29/2016 | 1,080,938 | ||||||
| 1,500,000 | 3.000%, 2/28/2017 | 1,658,907 | ||||||
| 300,000 | 2.750%, 2/28/2018 | 328,922 | ||||||
| 1,750,000 | 2.375%, 6/30/2018 | 1,875,233 | ||||||
| 1,900,000 | 1.500%, 8/31/2018 | 1,927,757 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 29,822,763 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
254
Balanced Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (36.3%) | Value | ||||||
| U.S. Municipals (0.1%) | ||||||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| $ 150,000 | 5.720%, 12/1/2038 | $ | 183,684 | |||||
|
| |||||||
| Total U.S. Municipals | 183,684 | |||||||
|
| |||||||
| Utilities (0.9%) | ||||||||
Commonwealth Edison Company | ||||||||
| 225,000 | 5.900%, 3/15/2036 | 275,928 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 200,000 | 4.150%, 3/1/2022b | 203,427 | ||||||
Oncor Electric Delivery Company | ||||||||
| 425,000 | 6.375%, 1/15/2015 | 485,640 | ||||||
ONEOK Partners, LP | ||||||||
| 225,000 | 6.650%, 10/1/2036 | 266,090 | ||||||
Progress Energy, Inc. | ||||||||
| 300,000 | 7.000%, 10/30/2031 | 398,891 | ||||||
Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 243,463 | ||||||
Xcel Energy, Inc. | ||||||||
| 225,000 | 6.500%, 7/1/2036 | 288,837 | ||||||
|
| |||||||
| Total Utilities | 2,162,276 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $86,411,089) | 87,419,715 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.7%) | |||||||
| 1,713,875 | Thrivent Financial Securities Lending Trust | 1,713,875 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $1,713,875) | 1,713,875 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (6.5%)i | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 12,000,000 | 0.015%, 1/20/2012j | 11,999,905 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 3,000,000 | 0.010%, 1/9/2012j | 2,999,993 | ||||||
| 650,000 | 0.105%, 2/22/2012j,k | 649,903 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 15,649,801 | |||||||
|
| |||||||
| Total Investments (cost $240,297,748) 109.0% | $ | 262,250,430 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (9.0%) | (21,728,390 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 240,522,040 | ||||||
|
| |||||||
| 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 December 31, 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 December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 1,004,612 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 927,388 | |||||
| f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $7,469,070 or 3.1% of total net assets. |
| g | Defaulted security. Interest is not being accrued. |
| h | Denotes investments purchased on a when-issued or delayed delivery basis. |
| i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| j | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| k | At December 31, 2011, $649,903 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 | $ | 58,348,365 | ||
Gross unrealized depreciation | (41,802,123 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 16,546,242 | ||
Cost for federal income tax purposes | $ | 245,704,188 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
255
Balanced Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 16,884,715 | 16,884,715 | — | — | ||||||||||||
Consumer Staples | 18,173,161 | 18,173,161 | — | — | ||||||||||||
Energy | 19,319,842 | 19,319,842 | — | — | ||||||||||||
Financials | 21,148,364 | 21,148,364 | — | — | ||||||||||||
Health Care | 18,486,913 | 18,486,913 | — | — | ||||||||||||
Industrials | 16,834,211 | 16,834,211 | — | — | ||||||||||||
Information Technology | 30,149,793 | 30,149,793 | — | — | ||||||||||||
Materials | 5,397,190 | 5,397,190 | — | — | ||||||||||||
Telecommunications Services | 4,992,163 | 4,992,163 | — | — | ||||||||||||
Utilities | 6,080,687 | 6,080,687 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,546,231 | — | 3,546,231 | — | ||||||||||||
Basic Materials | 250,466 | — | 250,466 | — | ||||||||||||
Capital Goods | 749,291 | — | 749,291 | — | ||||||||||||
Collateralized Mortgage Obligations | 702,840 | — | 702,840 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 7,258,319 | — | 7,258,319 | — | ||||||||||||
Communications Services | 1,366,107 | — | 1,366,107 | — | ||||||||||||
Consumer Cyclical | 1,878,258 | — | 1,878,258 | — | ||||||||||||
Consumer Non-Cyclical | 2,367,592 | — | 2,367,592 | — | ||||||||||||
Energy | 1,165,430 | — | 1,165,430 | — | ||||||||||||
Financials | 6,459,743 | — | 6,057,898 | 401,845 | ||||||||||||
Foreign Government | 4,016,099 | — | 4,016,099 | — | ||||||||||||
Mortgage-Backed Securities | 25,039,716 | — | 25,039,716 | — | ||||||||||||
Technology | 305,236 | — | 305,236 | — | ||||||||||||
Transportation | 145,664 | — | 145,664 | — | ||||||||||||
U.S. Government and Agencies | 29,822,763 | — | 29,822,763 | — | ||||||||||||
U.S. Municipals | 183,684 | — | 183,684 | — | ||||||||||||
Utilities | 2,162,276 | — | 2,162,276 | — | ||||||||||||
Collateral Held for Securities Loaned | 1,713,875 | 1,713,875 | — | — | ||||||||||||
Short-Term Investments | 15,649,801 | — | 15,649,801 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 262,250,430 | $ | 159,180,914 | $ | 102,667,671 | $ | 401,845 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 34,973 | 34,973 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 34,973 | $ | 34,973 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 | Value December 31, 2010 | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation)* | Purchases | Sales | Transfers Into Level 3 | Transfers Out of Level 3 | Value December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 821,946 | — | 18,038 | — | (168,540 | ) | — | (671,444 | ) | — | ||||||||||||||||||||||
Financials | 615,298 | — | (46,069 | ) | — | (167,384 | ) | — | — | 401,845 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 1,437,244 | $ | — | ($ | 28,031 | ) | $ | — | ($ | 335,924 | ) | $ | — | ($ | 671,444 | ) | $ | 401,845 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of ($125,576). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
256
Balanced Portfolio
Schedule of Investments as of December 31, 2011
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 6 | March 2012 | $ | 1,843,927 | $ | 1,878,900 | $ | 34,973 | ||||||||||||
Total Futures Contracts | $ | 34,973 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 34,973 | ||||
Total Equity Contracts | 34,973 | |||||
|
| |||||
Total Asset Derivatives | $ | 34,973 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 344,744 | ||||
Total Equity Contracts | 344,744 | |||||
|
| |||||
Total | $ | 344,744 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 34,547 | ||||
Total Equity Contracts | 34,547 | |||||
|
| |||||
Total | $ | 34,547 | ||||
|
| |||||
The following table presents Balanced Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 4,146,108 | 1.6 | % | ||||
| * | 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.
257
Balanced Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 962,860 | $ | 59,189,996 | $ | 58,438,981 | 1,713,875 | $ | 1,713,875 | $ | 15,437 | |||||||||||||
Total Value and Income Earned | 962,860 | 1,713,875 | 15,437 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
258
Schedule of Investments as of December 31, 2011
| Principal Amount | Bank Loans (1.4%)a | Value | ||||||
| Financials (0.5%) | ||||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| $3,605,000 | 12.500%, 7/31/2015 | $ | 3,721,261 | |||||
|
| |||||||
| Total Financials | 3,721,261 | |||||||
|
| |||||||
| Technology (0.4%) | ||||||||
First Data Corporation, Term Loan | ||||||||
| 4,280,676 | 4.294%, 3/26/2018 | 3,573,166 | ||||||
|
| |||||||
| Total Technology | 3,573,166 | |||||||
|
| |||||||
| Utilities (0.5%) | ||||||||
Texas Competitive Electric Holdings, LLC, Term Loan | ||||||||
| 5,788,562 | 4.830%, 10/10/2017b,c | 3,652,988 | ||||||
|
| |||||||
| Total Utilities | 3,652,988 | |||||||
|
| |||||||
Total Bank Loans (cost $13,134,065) | 10,947,415 | |||||||
|
| |||||||
Long-Term Fixed Income (92.0%) | ||||||||
| Asset-Backed Securities (0.5%) | ||||||||
J.P. Morgan Mortgage Acquisition Corporation | ||||||||
| 2,600,000 | 5.461%, 10/25/2036 | 1,986,829 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,657,567 | 5.746%, 5/25/2036 | 1,200,732 | ||||||
| 1,800,000 | 6.011%, 5/25/2036 | 704,885 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 3,892,446 | |||||||
|
| |||||||
| Basic Materials (7.8%) | ||||||||
AbitibiBowater, Inc. | ||||||||
| 4,823,000 | 10.250%, 10/15/2018d | 5,317,357 | ||||||
APERAM | ||||||||
| 1,570,000 | 7.750%, 4/1/2018d | 1,303,100 | ||||||
Arch Coal, Inc. | ||||||||
| 2,100,000 | 7.000%, 6/15/2019d | 2,142,000 | ||||||
| 1,650,000 | 7.250%, 10/1/2020 | 1,687,125 | ||||||
| 1,050,000 | 7.250%, 6/15/2021d | 1,078,875 | ||||||
Cascades, Inc. | ||||||||
| 1,000,000 | 7.750%, 12/15/2017 | 990,000 | ||||||
CONSOL Energy, Inc. | ||||||||
| 1,900,000 | 8.000%, 4/1/2017 | 2,080,500 | ||||||
| 2,770,000 | 8.250%, 4/1/2020 | 3,060,850 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 2,630,000 | 7.000%, 11/1/2015d | 2,656,300 | ||||||
| 3,700,000 | 6.875%, 2/1/2018d | 3,542,750 | ||||||
| 4,390,000 | 8.250%, 11/1/2019d | 4,466,825 | ||||||
Graphic Packaging International, Inc. | ||||||||
| 800,000 | 9.500%, 6/15/2017 | 876,000 | ||||||
| 1,600,000 | 7.875%, 10/1/2018 | 1,704,000 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 5,090,000 | 8.875%, 2/1/2018 | 4,771,875 | ||||||
| 3,150,000 | 9.000%, 11/15/2020 | 2,598,750 | ||||||
Lyondell Chemical Company | ||||||||
| 705,000 | 8.000%, 11/1/2017 | 770,213 | ||||||
| 1,345,965 | 11.000%, 5/1/2018 | 1,470,467 | ||||||
LyondellBasell Industries NV | ||||||||
| 1,600,000 | 6.000%, 11/15/2021d | 1,660,000 | ||||||
Midwest Vanadium Pty., Ltd. | ||||||||
| 2,630,000 | 11.500%, 2/15/2018d | 1,919,900 | ||||||
NOVA Chemicals Corporation | ||||||||
| 5,610,000 | 8.625%, 11/1/2019 | 6,185,025 | ||||||
Novelis, Inc. | ||||||||
| 3,950,000 | 8.750%, 12/15/2020 | 4,236,375 | ||||||
Ryerson Holding Corporation | ||||||||
| 4,770,000 | Zero Coupon, 2/1/2015 | 2,122,650 | ||||||
Ryerson, Inc. | ||||||||
| 2,300,000 | 12.000%, 11/1/2015 | 2,323,000 | ||||||
Severstal Columbus, LLC | ||||||||
| 1,600,000 | 10.250%, 2/15/2018 | 1,676,000 | ||||||
|
| |||||||
| Total Basic Materials | 60,639,937 | |||||||
|
| |||||||
| Capital Goods (7.6%) | ||||||||
Associated Materials, LLC | ||||||||
| 4,800,000 | 9.125%, 11/1/2017e | 4,188,000 | ||||||
BE Aerospace, Inc. | ||||||||
| 3,720,000 | 6.875%, 10/1/2020 | 4,054,800 | ||||||
Case New Holland, Inc. | ||||||||
| 5,300,000 | 7.875%, 12/1/2017 | 5,989,000 | ||||||
Cemex SAB de CV | ||||||||
| 1,550,000 | 5.579%, 9/30/2015d,f | 1,152,812 | ||||||
| 5,130,000 | 9.000%, 1/11/2018d | 4,091,175 | ||||||
Coleman Cable, Inc. | ||||||||
| 2,420,000 | 9.000%, 2/15/2018 | 2,398,825 | ||||||
EnergySolutions, Inc. | ||||||||
| 2,650,000 | 10.750%, 8/15/2018 | 2,481,063 | ||||||
Liberty Tire Recycling | ||||||||
| 2,660,000 | 11.000%, 10/1/2016d | 2,653,350 | ||||||
Manitowoc Company, Inc. | ||||||||
| 4,730,000 | 8.500%, 11/1/2020e | 4,984,237 | ||||||
Nortek, Inc. | ||||||||
| 3,160,000 | 10.000%, 12/1/2018d | 2,994,100 | ||||||
| 3,140,000 | 8.500%, 4/15/2021d,e | 2,653,300 | ||||||
Owens-Illinois, Inc. | ||||||||
| 3,470,000 | 7.800%, 5/15/2018 | 3,834,350 | ||||||
Packaging Dynamics Corporation | ||||||||
| 790,000 | 8.750%, 2/1/2016d | 790,000 | ||||||
Plastipak Holdings, Inc. | ||||||||
| 2,995,000 | 8.500%, 12/15/2015d | 3,054,900 | ||||||
| 500,000 | 10.625%, 8/15/2019d | 552,500 | ||||||
RBS Global, Inc./Rexnord Corporation | ||||||||
| 4,520,000 | 8.500%, 5/1/2018 | 4,791,200 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,580,000 | 9.000%, 4/15/2019d | 1,501,000 | ||||||
| 2,630,000 | 8.250%, 2/15/2021d | 2,327,550 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 3,120,000 | 8.250%, 2/1/2021 | 3,159,000 | ||||||
Sealed Air Corporation | ||||||||
| 1,650,000 | 8.375%, 9/15/2021d | 1,823,250 | ||||||
|
| |||||||
| Total Capital Goods | 59,474,412 | |||||||
|
| |||||||
| Communications Services (15.5%) | ||||||||
AMC Networks, Inc. | ||||||||
| 5,310,000 | 7.750%, 7/15/2021d | 5,774,625 | ||||||
Cablevision Systems Corporation | ||||||||
| 4,260,000 | 8.625%, 9/15/2017 | 4,717,950 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
259
High Yield Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (92.0%) | Value | ||||||
| Communications Services (15.5%) - continued | ||||||||
CCO Holdings, LLC | ||||||||
| $4,250,000 | 7.250%, 10/30/2017 | $ | 4,478,438 | |||||
| 2,110,000 | 7.000%, 1/15/2019 | 2,199,675 | ||||||
| 800,000 | 7.375%, 6/1/2020 | 844,000 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 6,450,000 | 9.250%, 12/15/2017 | 6,966,000 | ||||||
Cricket Communications, Inc. | ||||||||
| 3,660,000 | 7.750%, 10/15/2020e | 3,202,500 | ||||||
CSC Holdings, LLC | ||||||||
| 4,250,000 | 6.750%, 11/15/2021d | 4,473,125 | ||||||
Digicel, Ltd. | ||||||||
| 4,210,000 | 8.250%, 9/1/2017d | 4,231,050 | ||||||
Dish DBS Corporation | ||||||||
| 3,740,000 | 6.750%, 6/1/2021 | 4,029,850 | ||||||
EH Holding Corporation | ||||||||
| 4,850,000 | 6.500%, 6/15/2019d | 5,056,125 | ||||||
Frontier Communications Corporation | ||||||||
| 3,190,000 | 8.250%, 4/15/2017 | 3,261,775 | ||||||
GCI, Inc. | ||||||||
| 4,200,000 | 6.750%, 6/1/2021 | 4,095,000 | ||||||
Intelsat Bermuda, Ltd. | ||||||||
| 5,700,000 | 11.250%, 2/4/2017 | 5,514,750 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 7,180,000 | 7.250%, 10/15/2020 | 7,287,700 | ||||||
Intelsat Luxembourg SA | ||||||||
| 790,000 | 11.500%, 2/4/2017d | 762,350 | ||||||
| 2,712,153 | 11.500%, 2/4/2017 | 2,617,228 | ||||||
Level 3 Financing, Inc. | ||||||||
| 2,130,000 | 8.750%, 2/15/2017 | 2,167,275 | ||||||
| 2,120,000 | 8.125%, 7/1/2019d | 2,088,200 | ||||||
Nielsen Finance, LLC/Nielsen Finance Company | ||||||||
| 2,800,000 | 7.750%, 10/15/2018 | 3,024,000 | ||||||
NII Capital Corporation | ||||||||
| 5,330,000 | 8.875%, 12/15/2019 | 5,609,825 | ||||||
| 5,340,000 | 7.625%, 4/1/2021 | 5,299,950 | ||||||
Quebecor Media, Inc. | ||||||||
| 3,790,000 | 7.750%, 3/15/2016 | 3,894,225 | ||||||
Satmex Escrow SA de CV | ||||||||
| 5,230,000 | 9.500%, 5/15/2017 | 5,334,600 | ||||||
Sprint Nextel Corporation | ||||||||
| 6,040,000 | 9.000%, 11/15/2018d | 6,342,000 | ||||||
TW Telecom Holdings, Inc. | ||||||||
| 2,400,000 | 8.000%, 3/1/2018 | 2,556,000 | ||||||
UPC Holding BV | ||||||||
| 4,500,000 | 9.875%, 4/15/2018d | 4,798,125 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 1,600,000 | 7.250%, 11/15/2021d | 1,620,000 | ||||||
Videotron Ltee | ||||||||
| 2,290,000 | 9.125%, 4/15/2018 | 2,521,862 | ||||||
Virgin Media Finance plc | ||||||||
| 1,790,000 | 8.375%, 10/15/2019 | 1,964,525 | ||||||
XM Satellite Radio, Inc. | ||||||||
| 3,680,000 | 7.625%, 11/1/2018d | 3,864,000 | ||||||
|
| |||||||
| Total Communications Services | 120,596,728 | |||||||
|
| |||||||
| Consumer Cyclical (15.3%) | ||||||||
American Axle & Manufacturing, Inc. | ||||||||
| 2,150,000 | 5.250%, 2/11/2014e | 2,128,500 | ||||||
| 2,130,000 | 7.875%, 3/1/2017e | 2,108,700 | ||||||
Beazer Homes USA, Inc. | ||||||||
| 3,200,000 | 6.875%, 7/15/2015 | 2,392,000 | ||||||
| 2,630,000 | 9.125%, 5/15/2019 | 1,794,975 | ||||||
Bon-Ton Department Stores, Inc. | ||||||||
| 1,050,000 | 10.250%, 3/15/2014e | 673,312 | ||||||
Burlington Coat Factory Warehouse Corporation | ||||||||
| 3,650,000 | 10.000%, 2/15/2019 | 3,567,875 | ||||||
Caesars Entertainment Operating Company, Inc. | ||||||||
| 4,000,000 | 10.000%, 12/15/2018e | 2,740,000 | ||||||
Chrysler Group, LLC | ||||||||
| 3,870,000 | 8.000%, 6/15/2019d,e | 3,541,050 | ||||||
| 4,320,000 | 8.250%, 6/15/2021d | 3,931,200 | ||||||
Circus & Eldorado Joint Venture/Silver Legacy Capital Corporation | ||||||||
| 2,350,000 | 10.125%, 3/1/2012 | 1,598,000 | ||||||
DineEquity, Inc. | ||||||||
| 4,200,000 | 9.500%, 10/30/2018 | 4,509,750 | ||||||
Eldorado Resorts, LLC | ||||||||
| 2,100,000 | 8.625%, 6/15/2019d | 1,874,250 | ||||||
FireKeepers Development Authority | ||||||||
| 3,030,000 | 13.875%, 5/1/2015d | 3,439,050 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 5,320,000 | 7.000%, 4/15/2015 | 5,719,000 | ||||||
Gaylord Entertainment Company | ||||||||
| 5,060,000 | 6.750%, 11/15/2014e | 5,009,400 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 1,310,000 | 6.750%, 6/1/2018d,e | 1,336,200 | ||||||
Lear Corporation | ||||||||
| 2,200,000 | 7.875%, 3/15/2018 | 2,381,500 | ||||||
| 2,200,000 | 8.125%, 3/15/2020 | 2,420,000 | ||||||
Levi Strauss & Company | ||||||||
| 2,630,000 | 7.625%, 5/15/2020e | 2,685,888 | ||||||
Limited Brands, Inc. | ||||||||
| 1,570,000 | 6.625%, 4/1/2021 | 1,664,200 | ||||||
Marina District Finance Company, Inc. | ||||||||
| 4,760,000 | 9.500%, 10/15/2015e | 4,450,600 | ||||||
| 530,000 | 9.875%, 8/15/2018e | 483,625 | ||||||
NCL Corporation, Ltd. | ||||||||
| 2,170,000 | 11.750%, 11/15/2016 | 2,495,500 | ||||||
| 4,470,000 | 9.500%, 11/15/2018 | 4,659,975 | ||||||
Peninsula Gaming, LLC | ||||||||
| 2,170,000 | 8.375%, 8/15/2015 | 2,300,200 | ||||||
| 4,520,000 | 10.750%, 8/15/2017 | 4,734,700 | ||||||
Realogy Corporation | ||||||||
| 2,980,000 | 11.500%, 4/15/2017 | 2,324,400 | ||||||
Realogy Corporation, Convertible | ||||||||
| 1,570,000 | 11.000%, 4/15/2018g | 910,600 | ||||||
Rite Aid Corporation | ||||||||
| 2,870,000 | 7.500%, 3/1/2017 | 2,866,412 | ||||||
| 2,060,000 | 9.500%, 6/15/2017 | 1,879,750 | ||||||
ROC Finance, LLC | ||||||||
| 4,780,000 | 12.125%, 9/1/2018d | 5,030,950 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
260
High Yield Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (92.0%) | Value | ||||||
| Consumer Cyclical (15.3%) - continued | ||||||||
Seminole Indian Tribe of Florida | ||||||||
| $5,145,000 | 7.804%, 10/1/2020d | $ | 5,015,295 | |||||
Service Corporation International | ||||||||
| 2,100,000 | 6.750%, 4/1/2015 | 2,257,500 | ||||||
Seven Seas Cruises S de RL, LLC | ||||||||
| 4,210,000 | 9.125%, 5/15/2019d | 4,304,725 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
| 5,950,000 | 9.375%, 6/15/2015g | 3,361,750 | ||||||
Tunica-Biloxi Gaming Authority | ||||||||
| 4,770,000 | 9.000%, 11/15/2015g | 4,591,125 | ||||||
West Corporation | ||||||||
| 4,650,000 | 8.625%, 10/1/2018 | 4,696,500 | ||||||
| 3,940,000 | 7.875%, 1/15/2019 | 3,910,450 | ||||||
WMG Acquisition Corporation | ||||||||
| 530,000 | 9.500%, 6/15/2016d | 575,050 | ||||||
| 2,650,000 | 11.500%, 10/1/2018d | 2,630,125 | ||||||
|
| |||||||
| Total Consumer Cyclical | 118,994,082 | |||||||
|
| |||||||
| Consumer Non-Cyclical (13.1%) | ||||||||
Biomet, Inc. | ||||||||
| 2,090,000 | 10.375%, 10/15/2017 | 2,262,425 | ||||||
| 3,400,000 | 11.625%, 10/15/2017 | 3,689,000 | ||||||
Capella Healthcare, Inc. | ||||||||
| 3,960,000 | 9.250%, 7/1/2017 | 4,019,400 | ||||||
Community Health Systems, Inc. | ||||||||
| 1,644,000 | 8.875%, 7/15/2015e | 1,697,430 | ||||||
Del Monte Corporation | ||||||||
| 1,300,000 | 7.625%, 2/15/2019 | 1,248,000 | ||||||
DJO Finance, LLC/DJO Finance Corporation | ||||||||
| 1,600,000 | 9.750%, 10/15/2017e | 1,244,000 | ||||||
| 1,730,000 | 7.750%, 4/15/2018 | 1,327,775 | ||||||
Emergency Medical Services Corporation | ||||||||
| 4,320,000 | 8.125%, 6/1/2019 | 4,309,200 | ||||||
Endo Pharmaceuticals Holdings, Inc. | ||||||||
| 790,000 | 7.000%, 7/15/2019 | 841,350 | ||||||
| 2,640,000 | 7.250%, 1/15/2022 | 2,808,300 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 2,660,000 | 6.500%, 9/15/2018d,e | 2,786,350 | ||||||
Grifols, Inc. | ||||||||
| 4,380,000 | 8.250%, 2/1/2018 | 4,599,000 | ||||||
HCA, Inc. | ||||||||
| 2,710,000 | 8.500%, 4/15/2019 | 2,967,450 | ||||||
| 4,270,000 | 7.250%, 9/15/2020 | 4,504,850 | ||||||
| 5,180,000 | 7.500%, 2/15/2022 | 5,296,550 | ||||||
Health Management Associates, Inc. | ||||||||
| 3,200,000 | 7.375%, 1/15/2020d | 3,328,000 | ||||||
Ingles Markets, Inc. | ||||||||
| 1,600,000 | 8.875%, 5/15/2017 | 1,732,000 | ||||||
Jarden Corporation | ||||||||
| 1,070,000 | 7.500%, 1/15/2020 | 1,139,550 | ||||||
JBS Finance II, Ltd. | ||||||||
| 5,050,000 | 8.250%, 1/29/2018g | 4,582,875 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 3,150,000 | 11.625%, 5/1/2014 | 3,571,313 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc. | ||||||||
| 4,740,000 | 10.500%, 11/1/2018d | 4,645,200 | ||||||
Libbey Glass, Inc. | ||||||||
| 749,000 | 10.000%, 2/15/2015 | 801,430 | ||||||
Michael Foods, Inc. | ||||||||
| 4,240,000 | 9.750%, 7/15/2018 | 4,462,600 | ||||||
Mylan, Inc. | ||||||||
| 3,210,000 | 7.875%, 7/15/2020d | 3,543,037 | ||||||
Revlon Consumer Products Corporation | ||||||||
| 3,730,000 | 9.750%, 11/15/2015 | 3,967,788 | ||||||
Select Medical Corporation | ||||||||
| 1,625,000 | 7.625%, 2/1/2015 | 1,527,500 | ||||||
| 3,100,000 | 6.267%, 9/15/2015e,f | 2,604,000 | ||||||
Spectrum Brands Holdings, Inc. | ||||||||
| 930,000 | 9.500%, 6/15/2018d | 1,017,187 | ||||||
| 3,700,000 | 9.500%, 6/15/2018 | 4,046,875 | ||||||
Teleflex, Inc. | ||||||||
| 4,210,000 | 6.875%, 6/1/2019 | 4,388,925 | ||||||
Tenet Healthcare Corporation | ||||||||
| 1,400,000 | 6.250%, 11/1/2018d | 1,424,500 | ||||||
| 2,150,000 | 8.875%, 7/1/2019 | 2,413,375 | ||||||
| 1,060,000 | 8.000%, 8/1/2020 | 1,061,325 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 2,120,000 | 6.875%, 12/1/2018d | 2,114,700 | ||||||
| 1,610,000 | 6.750%, 8/15/2021d | 1,553,650 | ||||||
Visant Corporation | ||||||||
| 4,890,000 | 10.000%, 10/1/2017 | 4,474,350 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 102,001,260 | |||||||
|
| |||||||
| Energy (13.6%) | ||||||||
Chesapeake Energy Corporation | ||||||||
| 3,190,000 | 6.875%, 8/15/2018 | 3,413,300 | ||||||
Citgo Petroleum Corporation | ||||||||
| 3,550,000 | 11.500%, 7/1/2017g | 3,922,750 | ||||||
Coffeyville Resources, LLC | ||||||||
| 1,584,000 | 9.000%, 4/1/2015d | 1,679,040 | ||||||
| 3,600,000 | 10.875%, 4/1/2017d | 4,032,000 | ||||||
Concho Resources, Inc. | ||||||||
| 5,240,000 | 6.500%, 1/15/2022 | 5,475,800 | ||||||
Connacher Oil and Gas, Ltd. | ||||||||
| 4,720,000 | 8.500%, 8/1/2019d | 4,271,600 | ||||||
Denbury Resources, Inc. | ||||||||
| 800,000 | 9.750%, 3/1/2016 | 882,000 | ||||||
| 428,000 | 8.250%, 2/15/2020 | 478,290 | ||||||
| 1,710,000 | 6.375%, 8/15/2021 | 1,786,950 | ||||||
Energy XXI Gulf Coast, Inc. | ||||||||
| 2,110,000 | 9.250%, 12/15/2017 | 2,289,350 | ||||||
| 1,580,000 | 7.750%, 6/15/2019 | 1,611,600 | ||||||
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 | 5,475,150 | ||||||
Helix Energy Solutions Group, Inc. | ||||||||
| 4,000,000 | 9.500%, 1/15/2016d | 4,160,000 | ||||||
Linn Energy, LLC | ||||||||
| 2,250,000 | 8.625%, 4/15/2020 | 2,441,250 | ||||||
| 2,195,000 | 7.750%, 2/1/2021 | 2,282,800 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
261
High Yield Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (92.0%) | Value | ||||||
| Energy (13.6%) - continued | ||||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| $2,660,000 | 6.250%, 6/15/2022 | $ | 2,779,700 | |||||
McJunkin Red Man Corporation | ||||||||
| 3,230,000 | 9.500%, 12/15/2016 | 3,278,450 | ||||||
Newfield Exploration Company | ||||||||
| 3,900,000 | 6.625%, 4/15/2016 | 4,017,000 | ||||||
| 2,660,000 | 5.750%, 1/30/2022 | 2,872,800 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 2,670,000 | 7.250%, 2/1/2019 | 2,763,450 | ||||||
| 1,590,000 | 6.500%, 11/1/2021 | 1,578,075 | ||||||
Peabody Energy Corporation | ||||||||
| 3,750,000 | 6.000%, 11/15/2018d | 3,825,000 | ||||||
Petrohawk Energy Corporation | ||||||||
| 3,190,000 | 7.250%, 8/15/2018 | 3,588,750 | ||||||
Pioneer Natural Resources Company | ||||||||
| 3,200,000 | 7.500%, 1/15/2020 | 3,753,091 | ||||||
Plains Exploration & Production Company | ||||||||
| 2,500,000 | 6.750%, 2/1/2022 | 2,618,750 | ||||||
Precision Drilling Corporation | ||||||||
| 2,450,000 | 6.625%, 11/15/2020 | 2,505,125 | ||||||
| 1,060,000 | 6.500%, 12/15/2021d | 1,081,200 | ||||||
QEP Resources, Inc. | ||||||||
| 3,670,000 | 6.875%, 3/1/2021 | 3,954,425 | ||||||
SandRidge Energy, Inc. | ||||||||
| 3,680,000 | 8.000%, 6/1/2018d | 3,716,800 | ||||||
SESI, LLC | ||||||||
| 1,700,000 | 6.375%, 5/1/2019 | 1,729,750 | ||||||
| 5,200,000 | 7.125%, 12/15/2021d | 5,460,000 | ||||||
Southwestern Energy Company | ||||||||
| 2,950,000 | 7.500%, 2/1/2018 | 3,399,875 | ||||||
United Refining Company | ||||||||
| 4,710,000 | 10.500%, 2/28/2018 | 4,403,850 | ||||||
|
| |||||||
| Total Energy | 105,740,571 | |||||||
|
| |||||||
| Financials (7.3%) | ||||||||
Ally Financial, Inc. | ||||||||
| 2,080,000 | 7.500%, 12/31/2013 | 2,137,200 | ||||||
| 2,650,000 | 8.000%, 3/15/2020 | 2,716,250 | ||||||
| 5,590,000 | 7.500%, 9/15/2020 | 5,645,900 | ||||||
Aviv Healthcare Properties, LP | ||||||||
| 3,160,000 | 7.750%, 2/15/2019 | 3,096,800 | ||||||
CIT Group, Inc. | ||||||||
| 2,870,000 | 5.250%, 4/1/2014d | 2,859,238 | ||||||
| 7,400,000 | 7.000%, 5/1/2017e | 7,400,000 | ||||||
Community Choice Financial, Inc. | ||||||||
| 2,620,000 | 10.750%, 5/1/2019d | 2,593,800 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 3,190,000 | 7.875%, 9/1/2020 | 3,558,617 | ||||||
Eksportfinans ASA | ||||||||
| 2,670,000 | 2.375%, 5/25/2016 | 2,162,524 | ||||||
Harbinger Group, Inc. | ||||||||
| 2,890,000 | 10.625%, 11/15/2015e | 2,824,975 | ||||||
Icahn Enterprises, LP | ||||||||
| 4,730,000 | 7.750%, 1/15/2016 | 4,907,375 | ||||||
| 5,780,000 | 8.000%, 1/15/2018 | 6,011,200 | ||||||
International Lease Finance Corporation | ||||||||
| 2,250,000 | 8.625%, 9/15/2015 | 2,306,250 | ||||||
| 1,950,000 | 8.750%, 3/15/2017 | 2,008,500 | ||||||
| 1,600,000 | 8.875%, 9/1/2017 | 1,656,000 | ||||||
Nuveen Investments, Inc. | ||||||||
| 2,630,000 | 10.500%, 11/15/2015d | 2,583,975 | ||||||
Speedy Cash, Inc. | ||||||||
| 2,100,000 | 10.750%, 5/15/2018d | 2,110,500 | ||||||
|
| |||||||
| Total Financials | 56,579,104 | |||||||
|
| |||||||
| Technology (4.6%) | ||||||||
Advanced Micro Devices, Inc. | ||||||||
| 3,200,000 | 8.125%, 12/15/2017 | 3,320,000 | ||||||
| 930,000 | 7.750%, 8/1/2020 | 955,575 | ||||||
Amkor Technology, Inc. | ||||||||
| 10,480,000 | 6.625%, 6/1/2021e | 10,087,000 | ||||||
Equinix, Inc. | ||||||||
| 3,770,000 | 8.125%, 3/1/2018 | 4,109,300 | ||||||
| 1,050,000 | 7.000%, 7/15/2021 | 1,107,750 | ||||||
First Data Corporation | ||||||||
| 2,090,000 | 11.250%, 3/31/2016e | 1,734,700 | ||||||
| 1,850,000 | 12.625%, 1/15/2021d | 1,609,500 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 2,110,000 | 8.050%, 2/1/2020e | 1,983,400 | ||||||
| 2,400,000 | 10.750%, 8/1/2020 | 2,502,000 | ||||||
NXP BV/NXP Funding, LLC | ||||||||
| 2,660,000 | 9.750%, 8/1/2018d | 2,899,400 | ||||||
Seagate HDD Cayman | ||||||||
| 3,140,000 | 7.750%, 12/15/2018d | 3,340,175 | ||||||
Sensata Technologies BV | ||||||||
| 2,100,000 | 6.500%, 5/15/2019d | 2,073,750 | ||||||
|
| |||||||
| Total Technology | 35,722,550 | |||||||
|
| |||||||
| Transportation (3.1%) | ||||||||
American Petroleum Tankers, LLC | ||||||||
| 1,204,000 | 10.250%, 5/1/2015 | 1,228,080 | ||||||
CMA CGM SA | ||||||||
| 4,710,000 | 8.500%, 4/15/2017d | 2,084,175 | ||||||
Continental Airlines, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2015d | 2,857,500 | ||||||
Delta Air Lines, Inc. | ||||||||
| 1,246,000 | 9.500%, 9/15/2014d,e | 1,283,380 | ||||||
Hertz Corporation | ||||||||
| 5,750,000 | 6.750%, 4/15/2019 | 5,764,375 | ||||||
Navios Maritime Acquisition Corporation | ||||||||
| 2,360,000 | 8.625%, 11/1/2017 | 1,711,000 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 1,330,000 | 8.875%, 11/1/2017e | 1,266,825 | ||||||
| 3,270,000 | 8.125%, 2/15/2019 | 2,436,150 | ||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. | ||||||||
| 1,360,000 | 9.250%, 4/15/2019d | 1,088,000 | ||||||
United Air Lines, Inc. | ||||||||
| 2,045,487 | 9.750%, 1/15/2017 | 2,252,592 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
262
High Yield Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (92.0%) | Value | ||||||
| Transportation (3.1%) - continued | ||||||||
United Maritime Group, LLC/United Maritime Group Finance Corporation | ||||||||
| $2,140,000 | 11.750%, 6/15/2015 | $ | 2,177,450 | |||||
|
| |||||||
| Total Transportation | 24,149,527 | |||||||
|
| |||||||
| Utilities (3.6%) | ||||||||
AES Corporation | ||||||||
| 5,900,000 | 7.375%, 7/1/2021d,e | 6,357,250 | ||||||
Covanta Holding Corporation | ||||||||
| 2,600,000 | 7.250%, 12/1/2020 | 2,733,013 | ||||||
Crosstex Energy/Crosstex Energy Finance Corporation | ||||||||
| 3,730,000 | 8.875%, 2/15/2018 | 4,075,025 | ||||||
Holly Energy Partners, LP | ||||||||
| 2,130,000 | 8.250%, 3/15/2018 | 2,236,500 | ||||||
Inergy, LP | ||||||||
| 5,060,000 | 7.000%, 10/1/2018 | 5,135,900 | ||||||
Regency Energy Partners, LP | ||||||||
| 3,670,000 | 6.875%, 12/1/2018 | 3,899,375 | ||||||
Targa Resources Partners, LP | ||||||||
| 3,460,000 | 7.875%, 10/15/2018 | 3,650,300 | ||||||
|
| |||||||
| Total Utilities | 28,087,363 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $716,941,707) | 715,877,980 | |||||||
|
| |||||||
| Shares | Preferred Stock (1.1%) | |||||||
| Financials (1.1%) | ||||||||
| 3,381 | Ally Financial, Inc., 7.000%d,h | 2,423,649 | ||||||
| 62,690 | Ally Financial, Inc., 8.500%h | 1,152,869 | ||||||
| 104,852 | Citigroup Capital XII, 8.500% | 2,638,076 | ||||||
| 26,500 | Citigroup, Inc., Convertiblei | 2,153,125 | ||||||
|
| |||||||
| Total Financials | 8,367,719 | |||||||
|
| |||||||
Total Preferred Stock (cost $9,077,313) | 8,367,719 | |||||||
|
| |||||||
Common Stock (<0.1%) | ||||||||
| Consumer Discretionary (<0.1%) | ||||||||
| 121,520 | TVMAX Holdings, Inc.j,k | 0 | ||||||
|
| |||||||
| Total Consumer Discretionary | 0 | |||||||
|
| |||||||
Total Common Stock (cost $6,270,446) | 0 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.5%) | ||||||||
| 50,915,269 | Thrivent Financial Securities Lending Trust | 50,915,269 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $50,915,269) | 50,915,269 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (3.0%)l | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.010%, 1/18/2012m | 2,999,986 | ||||||
| 5,000,000 | 0.015%, 1/20/2012m | 4,999,961 | ||||||
| 10,000,000 | 0.005%, 2/8/2012m | 9,999,947 | ||||||
| 4,000,000 | 0.010%, 2/22/2012m | 3,999,942 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 1,600,000 | 0.077%, 2/22/2012m | 1,599,822 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 23,599,658 | |||||||
|
| |||||||
| Total Investments (cost $819,938,458) 104.0% | $ | 809,708,041 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.0%) | (31,181,760 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 778,526,281 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $208,646,245 or 26.8% of total net assets. |
| e | All or a portion of the security is on loan. |
| f | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2011. |
| g | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities High Yield Portfolio owned as of December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Citgo Petroleum Corporation | 6/18/2010 | $ | 3,508,181 | |||||
JBS Finance II, Ltd. | 7/22/2010 | 4,981,017 | ||||||
Realogy Corporation, Convertible | 3/10/2011 | 1,794,797 | ||||||
Shingle Springs Tribal Gaming Authority | 6/22/2007 | 5,786,644 | ||||||
Tunica-Biloxi Gaming Authority | 11/8/2005 | 4,750,717 | ||||||
| h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| i | Comprised of a 79.7% prepaid stock purchase contract for common stock of Citigroup, Inc. and a 20.3% amortizing note. The quarterly payments received consists of return of capital and 6.15% interest on only the portion that is the note. |
| j | Security is fair valued. |
| k | Non-income producing security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
263
High Yield Portfolio
Schedule of Investments as of December 31, 2011
| l | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| m | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| Unrealized Appreciation (Depreciation) | ||||
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 26,468,041 | ||
Gross unrealized depreciation | (36,796,071 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (10,328,030 | ) | |
Cost for federal income tax purposes | $ | 820,036,071 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 3,721,261 | — | 3,721,261 | — | ||||||||||||
Technology | 3,573,166 | — | 3,573,166 | — | ||||||||||||
Utilities | 3,652,988 | — | 3,652,988 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,892,446 | — | 3,892,446 | — | ||||||||||||
Basic Materials | 60,639,937 | — | 60,639,937 | — | ||||||||||||
Capital Goods | 59,474,412 | — | 59,474,412 | — | ||||||||||||
Communications Services | 120,596,728 | — | 120,596,728 | — | ||||||||||||
Consumer Cyclical | 118,994,082 | — | 118,994,082 | — | ||||||||||||
Consumer Non-Cyclical | 102,001,260 | — | 102,001,260 | — | ||||||||||||
Energy | 105,740,571 | — | 105,740,571 | — | ||||||||||||
Financials | 56,579,104 | — | 56,579,104 | — | ||||||||||||
Technology | 35,722,550 | — | 35,722,550 | — | ||||||||||||
Transportation | 24,149,527 | — | 24,149,527 | — | ||||||||||||
Utilities | 28,087,363 | — | 28,087,363 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 8,367,719 | 5,944,070 | 2,423,649 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | — | — | — | — | ||||||||||||
Collateral Held for Securities Loaned | 50,915,269 | 50,915,269 | — | — | ||||||||||||
Short-Term Investments | 23,599,658 | — | 23,599,658 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 809,708,041 | $ | 56,859,339 | $ | 752,848,702 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | 2,517,314 | — | (121,240 | ) | — | (143,482 | ) | — | (2,252,592 | ) | — | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||
Consumer Discretionary ^ | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Materials ^ | — | (47,568 | ) | 47,568 | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 2,517,314 | ($ | 47,568 | ) | ($ | 73,672 | ) | $ | — | ($ | 143,482 | ) | $ | — | ($ | 2,252,592 | ) | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| ^ | Securities in these sections are fair valued at $0. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
264
High Yield Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (146,283 | ) | |||
Total Foreign Exchange Contracts | (146,283 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 3,291 | ||||
Total Interest Rate Contracts | 3,291 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 397,788 | ||||
Total Credit Contracts | 397,788 | |||||
|
| |||||
| Total | $ | 254,796 | ||||
|
| |||||
The following table presents High Yield Portfolio's average volume of derivative activity during the period ended December 31, 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) | ||||||||||||||||||
Interest Rate Contracts | $ | 1,329,442 | 0.2 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 110,183 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 7,947,488 | 1.0 | % | ||||||||||||||||
| * | 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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 58,703,553 | $ | 328,813,709 | $ | 336,601,993 | 50,915,269 | $ | 50,915,269 | $ | 275,011 | |||||||||||||
Total Value and Income Earned | 58,703,553 | 50,915,269 | 275,011 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
265
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Bank Loans (6.8%)a | Value | ||||||
| Capital Goods (0.5%) | ||||||||
Reynolds Group, Term Loan | ||||||||
| $532,869 | 6.500%, 8/9/2018 | $ | 528,969 | |||||
|
| |||||||
| Total Capital Goods | 528,969 | |||||||
|
| |||||||
| Communications Services (1.8%) | ||||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,065,000 | 5.750%, 9/16/2018 | 1,042,560 | ||||||
Towerco Finance, LLC, Term Loan | ||||||||
| 538,643 | 5.250%, 2/2/2017 | 536,397 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 540,000 | 2.296%, 9/29/2014 | 514,350 | ||||||
|
| |||||||
| Total Communications Services | 2,093,307 | |||||||
|
| |||||||
| Consumer Cyclical (0.4%) | ||||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 522,375 | 6.000%, 5/24/2017 | 493,253 | ||||||
|
| |||||||
| Total Consumer Cyclical | 493,253 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.8%) | ||||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 26,286 | 2.546%, 7/25/2014 | 25,432 | ||||||
| 512,662 | 2.757%, 7/25/2014 | 496,001 | ||||||
Visant Corporation, Term Loan | ||||||||
| 496,972 | 5.260%, 12/22/2016 | 465,021 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 986,454 | |||||||
|
| |||||||
| Energy (0.5%) | ||||||||
GenOn Energy, Inc., Term Loan | ||||||||
| 538,637 | 4.250%, 9/20/2017b,c | 536,326 | ||||||
|
| |||||||
| Total Energy | 536,326 | |||||||
|
| |||||||
| Financials (0.8%) | ||||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| 525,000 | 6.013%, 5/13/2017 | 503,475 | ||||||
Springleaf Financial Funding Company, Term Loan | ||||||||
| 525,000 | 5.500%, 5/10/2017 | 455,983 | ||||||
|
| |||||||
| Total Financials | 959,458 | |||||||
|
| |||||||
| Technology (1.2%) | ||||||||
First Data Corporation, Term Loan | ||||||||
| 525,000 | 4.294%, 3/26/2018 | 438,228 | ||||||
Freescale Semiconductor, Term Loan | ||||||||
| 523,283 | 4.520%, 12/1/2016 | 499,474 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 523,684 | 5.250%, 4/2/2018 | 519,102 | ||||||
|
| |||||||
| Total Technology | 1,456,804 | |||||||
|
| |||||||
| Transportation (0.4%) | ||||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 522,375 | 5.500%, 4/20/2017 | 492,338 | ||||||
|
| |||||||
| Total Transportation | 492,338 | |||||||
|
| |||||||
| Utilities (0.4%) | ||||||||
Calpine Corporation, Term Loan | ||||||||
| 522,369 | 4.500%, 4/1/2018 | 511,049 | ||||||
|
| |||||||
| Total Utilities | 511,049 | |||||||
|
| |||||||
Total Bank Loans (cost $8,000,386) | 8,057,958 | |||||||
|
| |||||||
Long-Term Fixed Income (54.6%) | ||||||||
| Asset-Backed Securities (2.1%) | ||||||||
Carrington Mortgage Loan Trust | ||||||||
| 1,200,000 | 0.444%, 8/25/2036d | 372,231 | ||||||
GSAMP Trust | ||||||||
| 713,557 | 0.474%, 2/25/2036d | 555,805 | ||||||
| 444,427 | 0.374%, 8/25/2036d | 404,130 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 367,019 | 2.806%, 2/25/2036 | 264,209 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 512,531 | 5.746%, 5/25/2036 | 231,570 | ||||||
| 632,000 | 6.011%, 5/25/2036 | 247,493 | ||||||
| 950,000 | 5.797%, 8/25/2036 | 388,476 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 2,463,914 | |||||||
|
| |||||||
| Basic Materials (2.3%) | ||||||||
Alcoa, Inc. | ||||||||
| 190,000 | 6.150%, 8/15/2020 | 197,406 | ||||||
ArcelorMittal | ||||||||
| 85,000 | 5.500%, 3/1/2021 | 78,022 | ||||||
Arch Coal, Inc. | ||||||||
| 620,000 | 7.000%, 6/15/2019e | 632,400 | ||||||
Dow Chemical Company | ||||||||
| 400,000 | 8.550%, 5/15/2019 | 523,331 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 620,000 | 7.000%, 11/1/2015e | 626,200 | ||||||
Novelis, Inc. | ||||||||
| 620,000 | 8.375%, 12/15/2017 | 658,750 | ||||||
|
| |||||||
| Total Basic Materials | 2,716,109 | |||||||
|
| |||||||
| Capital Goods (1.8%) | ||||||||
Bombardier, Inc. | ||||||||
| 970,000 | 7.750%, 3/15/2020e,f | 1,057,300 | ||||||
Case New Holland, Inc. | ||||||||
| 620,000 | 7.875%, 12/1/2017 | 700,600 | ||||||
Textron, Inc. | ||||||||
| 300,000 | 7.250%, 10/1/2019 | 339,303 | ||||||
|
| |||||||
| Total Capital Goods | 2,097,203 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (5.5%) | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 442,792 | 2.400%, 10/25/2035d | 345,243 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 593,802 | 5.500%, 11/25/2035 | 501,807 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 869,835 | 5.750%, 4/25/2037 | 566,089 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 373,762 | 6.000%, 4/25/2036 | 242,293 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
266
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (54.6%) | Value | ||||||
| Collateralized Mortgage Obligations (5.5%) - continued | ||||||||
| $ 333,327 | 6.000%, 1/25/2037 | $ | 218,942 | |||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 291,219 | 5.500%, 10/25/2021 | 278,483 | ||||||
| 1,227,160 | 0.970%, 4/25/2047d | 704,613 | ||||||
First Horizon Mortgage Pass- Through Trust | ||||||||
| 450,737 | 5.553%, 8/25/2037 | 297,481 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 503,017 | 0.484%, 8/25/2046d | 377,098 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 496,649 | 2.221%, 4/25/2037 | 265,206 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 313,154 | 6.500%, 1/25/2035 | 309,356 | ||||||
| 232,459 | 2.772%, 10/25/2036 | 169,469 | ||||||
| 803,308 | 4.441%, 1/25/2037 | 524,061 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 349,529 | 6.500%, 7/25/2034 | 365,374 | ||||||
New York Mortgage Trust, Inc. | �� | |||||||
| 616,421 | 2.805%, 5/25/2036 | 71,664 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 494,896 | 5.394%, 9/25/2036 | 90,256 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 293,579 | 2.312%, 11/25/2036 | 208,495 | ||||||
| 189,864 | 2.567%, 8/25/2046 | 125,594 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 1,017,610 | 0.958%, 2/25/2047d | 373,011 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 494,673 | 6.000%, 7/25/2037 | 452,011 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 6,486,546 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (2.0%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 650,000 | 5.655%, 4/10/2049 | 606,696 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 650,000 | 5.867%, 12/10/2049 | 576,556 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 650,000 | 6.167%, 9/15/2045 | 611,564 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 650,000 | 0.398%, 9/15/2021d,g | 578,438 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 2,373,254 | |||||||
|
| |||||||
| Communications Services (5.3%) | ||||||||
Cablevision Systems Corporation | ||||||||
| 620,000 | 8.625%, 9/15/2017 | 686,650 | ||||||
CBS Corporation | ||||||||
| 300,000 | 8.875%, 5/15/2019 | 385,318 | ||||||
CCO Holdings, LLC | ||||||||
| 620,000 | 7.000%, 1/15/2019 | 646,350 | ||||||
CenturyLink, Inc. | ||||||||
| 350,000 | 6.450%, 6/15/2021 | 350,645 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 620,000 | 9.250%, 12/15/2017 | 669,600 | ||||||
Dish DBS Corporation | ||||||||
| 90,000 | 6.750%, 6/1/2021 | 96,975 | ||||||
EH Holding Corporation | ||||||||
| 620,000 | 6.500%, 6/15/2019e | 646,350 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 620,000 | 7.250%, 4/1/2019e | 629,300 | ||||||
News America, Inc. | ||||||||
| 175,000 | 4.500%, 2/15/2021 | 183,489 | ||||||
NII Capital Corporation | ||||||||
| 530,000 | 7.625%, 4/1/2021 | 526,025 | ||||||
Sprint Nextel Corporation | ||||||||
| 620,000 | 9.000%, 11/15/2018e | 651,000 | ||||||
Telecom Italia Capital SA | ||||||||
| 85,000 | 6.999%, 6/4/2018 | 79,466 | ||||||
Telefonica Emisiones SAU | ||||||||
| 65,000 | 5.462%, 2/16/2021 | 62,027 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 620,000 | 7.250%, 11/15/2021e | 627,750 | ||||||
|
| |||||||
| Total Communications Services | 6,240,945 | |||||||
|
| |||||||
| Consumer Cyclical (4.9%) | ||||||||
Chrysler Group, LLC | ||||||||
| 560,000 | 8.000%, 6/15/2019e | 512,400 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 350,000 | 6.625%, 8/15/2017 | 380,996 | ||||||
Home Depot, Inc. | ||||||||
| 200,000 | 3.950%, 9/15/2020 | 217,913 | ||||||
Lennar Corporation | ||||||||
| 620,000 | 12.250%, 6/1/2017 | 737,800 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 260,000 | 6.700%, 7/15/2034 | 286,980 | ||||||
MGM Resorts International | ||||||||
| 610,000 | 11.125%, 11/15/2017 | 695,400 | ||||||
Rite Aid Corporation | ||||||||
| 620,000 | 7.500%, 3/1/2017 | 619,225 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 620,000 | 6.750%, 5/15/2018h | 700,600 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 620,000 | 8.500%, 12/1/2017 | 641,700 | ||||||
Viacom, Inc. | ||||||||
| 100,000 | 3.875%, 12/15/2021 | 102,087 | ||||||
West Corporation | ||||||||
| 275,000 | 7.875%, 1/15/2019 | 272,937 | ||||||
WMG Acquisition Corporation | ||||||||
| 620,000 | 11.500%, 10/1/2018e | 615,350 | ||||||
|
| |||||||
| Total Consumer Cyclical | 5,783,388 | |||||||
|
| |||||||
| Consumer Non-Cyclical (4.4%) | ||||||||
Amgen, Inc. | ||||||||
| 80,000 | 2.500%, 11/15/2016 | 80,959 | ||||||
Beam, Inc. | ||||||||
| 175,000 | 5.375%, 1/15/2016 | 192,145 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
267
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (54.6%) | Value | ||||||
| Consumer Non-Cyclical (4.4%) - continued | ||||||||
Bunge Limited Finance Corporation | ||||||||
| $125,000 | 4.100%, 3/15/2016 | $ | 129,441 | |||||
Community Health Systems, Inc. | ||||||||
| 624,000 | 8.875%, 7/15/2015h | 644,280 | ||||||
Gilead Sciences, Inc. | ||||||||
| 85,000 | 3.050%, 12/1/2016 | 86,996 | ||||||
HCA, Inc. | ||||||||
| 620,000 | 7.500%, 2/15/2022 | 633,950 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 625,000 | 11.625%, 5/1/2014 | 708,594 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc. | ||||||||
| 620,000 | 10.500%, 11/1/2018e | 607,600 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 620,000 | 6.875%, 2/15/2021e | 616,900 | ||||||
Safeway, Inc. | ||||||||
| 85,000 | 4.750%, 12/1/2021 | 87,071 | ||||||
Tenet Healthcare Corporation | ||||||||
| 620,000 | 8.875%, 7/1/2019 | 695,950 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
| 165,000 | 3.650%, 11/10/2021 | 167,827 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 620,000 | 6.875%, 12/1/2018e | 618,450 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 5,270,163 | |||||||
|
| |||||||
| Energy (4.4%) | ||||||||
BP Capital Markets plc | ||||||||
| 175,000 | 4.750%, 3/10/2019 | 194,376 | ||||||
Chesapeake Energy Corporation | ||||||||
| 570,000 | 9.500%, 2/15/2015f | 652,650 | ||||||
Denbury Resources, Inc. | ||||||||
| 620,000 | 6.375%, 8/15/2021 | 647,900 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 600,000 | 8.050%, 10/1/2037 | 633,961 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 700,000 | 7.034%, 1/15/2068 | 728,000 | ||||||
Harvest Operations Corporation | ||||||||
| 620,000 | 6.875%, 10/1/2017e | 641,700 | ||||||
Linn Energy, LLC | ||||||||
| 620,000 | 7.750%, 2/1/2021 | 644,800 | ||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 620,000 | 6.500%, 8/15/2021 | 645,575 | ||||||
Nexen, Inc. | ||||||||
| 175,000 | 6.400%, 5/15/2037 | 185,370 | ||||||
Weatherford International, Ltd. | ||||||||
| 210,000 | 6.000%, 3/15/2018 | 233,654 | ||||||
|
| |||||||
| Total Energy | 5,207,986 | |||||||
|
| |||||||
| Financials (13.5%) | ||||||||
Abbey National Capital Trust I | ||||||||
| 525,000 | 8.963%, 12/29/2049i | 472,500 | ||||||
Abbey National Treasury Services plc | ||||||||
| 175,000 | 4.000%, 4/27/2016 | 157,002 | ||||||
ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 350,000 | 6.523%, 12/29/2049e,i | 238,437 | ||||||
Aegon NV | ||||||||
| 400,000 | 2.397%, 7/29/2049d,i | 172,600 | ||||||
Ally Financial, Inc. | ||||||||
| 620,000 | 8.000%, 3/15/2020 | 635,500 | ||||||
American Express Company | ||||||||
| 400,000 | 6.800%, 9/1/2066 | 398,000 | ||||||
American International Group, Inc. | ||||||||
| 175,000 | 8.250%, 8/15/2018 | 185,238 | ||||||
Apollo Investment Corporation, Convertible | ||||||||
| 700,000 | 5.750%, 1/15/2016e | 584,500 | ||||||
Bank of America Corporation | ||||||||
| 525,000 | 5.875%, 1/5/2021 | 499,709 | ||||||
| 240,000 | 8.000%, 12/29/2049i | 214,906 | ||||||
BB&T Capital Trust IV | ||||||||
| 200,000 | 6.820%, 6/12/2057 | 201,250 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 525,000 | 5.919%, 12/29/2049h,i | 347,566 | ||||||
BNP Paribas SA | ||||||||
| 87,000 | 3.600%, 2/23/2016 | 81,604 | ||||||
CIT Group, Inc. | ||||||||
| 620,000 | 7.000%, 5/1/2017 | 620,000 | ||||||
CNA Financial Corporation | ||||||||
| 400,000 | 7.350%, 11/15/2019 | 445,800 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 525,000 | 11.000%, 12/29/2049e,i | 614,250 | ||||||
Coventry Health Care, Inc. | ||||||||
| 85,000 | 5.450%, 6/15/2021 | 94,453 | ||||||
Credit Suisse New York, NY | ||||||||
| 87,000 | 4.375%, 8/5/2020 | 85,301 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 260,000 | 7.875%, 9/1/2020 | 290,044 | ||||||
Discover Bank | ||||||||
| 400,000 | 8.700%, 11/18/2019 | 456,074 | ||||||
Eksportfinans ASA | ||||||||
| 85,000 | 2.375%, 5/25/2016 | 68,844 | ||||||
Health Care REIT, Inc. | ||||||||
| 380,000 | 6.500%, 3/15/2041 | 380,745 | ||||||
HSBC Finance Corporation | ||||||||
| 285,000 | 6.676%, 1/15/2021 | 294,803 | ||||||
Huntington National Bank | ||||||||
| 400,000 | 6.600%, 6/15/2018 | 431,622 | ||||||
Icahn Enterprises, LP | ||||||||
| 620,000 | 8.000%, 1/15/2018 | 644,800 | ||||||
ING Bank NV | ||||||||
| 170,000 | 5.000%, 6/9/2021e | 164,739 | ||||||
International Lease Finance Corporation | ||||||||
| 530,000 | 5.750%, 5/15/2016 | 491,597 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 170,000 | 3.150%, 7/5/2016 | 170,796 | ||||||
J.P. Morgan Chase Capital XX | ||||||||
| 440,000 | 6.550%, 9/29/2036 | 440,000 | ||||||
J.P. Morgan Chase Capital XXVII | ||||||||
| 350,000 | 7.000%, 11/1/2039 | 352,188 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
268
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (54.6%) | Value | ||||||
| Financials (13.5%) - continued | ||||||||
KeyCorp | ||||||||
| $110,000 | 5.100%, 3/24/2021 | $ | 114,231 | |||||
LBG Capital No. 1 plc | ||||||||
| 380,000 | 7.875%, 11/1/2020e | 288,040 | ||||||
Lehman Brothers Holdings, Inc. | ||||||||
| 400,000 | 7.000%, 9/27/2027j | 102,500 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 525,000 | 10.750%, 6/15/2058e | 658,875 | ||||||
Lincoln National Corporation | ||||||||
| 630,000 | 6.050%, 4/20/2067 | 524,475 | ||||||
Lloyds TSB Bank plc | ||||||||
| 100,000 | 6.500%, 9/14/2020e | 83,676 | ||||||
MetLife Capital Trust IV | ||||||||
| 575,000 | 7.875%, 12/15/2037e | 596,562 | ||||||
Morgan Stanley | ||||||||
| 190,000 | 5.750%, 1/25/2021 | 177,233 | ||||||
Northern Trust Corporation | ||||||||
| 175,000 | 3.375%, 8/23/2021 | 179,374 | ||||||
Prudential Financial, Inc. | ||||||||
| 300,000 | 6.200%, 11/15/2040 | 313,922 | ||||||
Regions Bank | ||||||||
| 400,000 | 7.500%, 5/15/2018 | 396,000 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 600,000 | 6.750%, 12/15/2065 | 520,153 | ||||||
Santander Holdings USA, Inc. | ||||||||
| 90,000 | 4.625%, 4/19/2016 | 86,428 | ||||||
SLM Corporation | ||||||||
| 350,000 | 8.000%, 3/25/2020 | 353,500 | ||||||
Swiss RE Capital I, LP | ||||||||
| 420,000 | 6.854%, 5/29/2049e,i | 356,940 | ||||||
XL Group plc | ||||||||
| 600,000 | 6.500%, 12/29/2049i | 469,500 | ||||||
ZFS Finance USA Trust II | ||||||||
| 550,000 | 6.450%, 12/15/2065e | 500,500 | ||||||
|
| |||||||
| Total Financials | 15,956,777 | |||||||
|
| |||||||
| Foreign Government (2.5%) | ||||||||
Brazil Government International Bond | ||||||||
| 550,000 | 4.875%, 1/22/2021 | 614,625 | ||||||
Colombia Government International Bond | ||||||||
| 175,000 | 4.375%, 7/12/2021 | 188,125 | ||||||
Mexico Government International Bond | ||||||||
| 275,000 | 5.125%, 1/15/2020 | 314,187 | ||||||
Panama Government International Bond | ||||||||
| 175,000 | 5.200%, 1/30/2020 | 198,187 | ||||||
Peru Government International Bond | ||||||||
| 175,000 | 7.125%, 3/30/2019 | 220,062 | ||||||
Philippines Government International Bond | ||||||||
| 350,000 | 4.000%, 1/15/2021 | 358,750 | ||||||
Poland Government International Bond | ||||||||
| 170,000 | 5.000%, 3/23/2022 | 170,850 | ||||||
Russia Government International Bond | ||||||||
| 350,000 | 5.000%, 4/29/2020e | 361,078 | ||||||
Turkey Government International Bond | ||||||||
| 350,000 | 5.625%, 3/30/2021 | 353,938 | ||||||
| 200,000 | 5.125%, 3/25/2022 | 191,000 | ||||||
|
| |||||||
| Total Foreign Government | 2,970,802 | |||||||
|
| |||||||
| Mortgage-Backed Securities (2.9%) | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 3,300,000 | 3.000%, 1/1/2027c | 3,407,765 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 3,407,765 | |||||||
|
| |||||||
| Technology (0.6%) | ||||||||
Hewlett-Packard Company | ||||||||
| 85,000 | 4.650%, 12/9/2021 | 89,682 | ||||||
Seagate HDD Cayman | ||||||||
| 620,000 | 7.750%, 12/15/2018e | 659,525 | ||||||
|
| |||||||
| Total Technology | 749,207 | |||||||
|
| |||||||
| Transportation (0.9%) | ||||||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | ||||||||
| 620,000 | 8.250%, 1/15/2019 | 615,350 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
| 175,000 | 3.450%, 9/15/2021 | 180,371 | ||||||
CSX Corporation | ||||||||
| 85,000 | 4.750%, 5/30/2042 | 87,707 | ||||||
United Air Lines, Inc. | ||||||||
| 134,375 | 10.400%, 11/1/2016 | 148,645 | ||||||
|
| |||||||
| Total Transportation | 1,032,073 | |||||||
|
| |||||||
| Utilities (1.5%) | ||||||||
AES Corporation | ||||||||
| 620,000 | 7.375%, 7/1/2021e | 668,050 | ||||||
CenterPoint Energy, Inc. | ||||||||
| 140,000 | 6.500%, 5/1/2018 | 163,438 | ||||||
NiSource Finance Corporation | ||||||||
| 350,000 | 6.125%, 3/1/2022 | 402,942 | ||||||
Southern Union Company | ||||||||
| 200,000 | 3.447%, 11/1/2066d | 186,500 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
| 400,000 | 6.350%, 5/15/2067 | 401,346 | ||||||
|
| |||||||
| Total Utilities | 1,822,276 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $66,286,155) | 64,578,408 | |||||||
|
| |||||||
| Shares | Common Stock (32.1%) | Value | ||||||
| Consumer Discretionary (2.7%) | ||||||||
| 12,400 | DIRECTVk | 530,224 | ||||||
| 8,500 | Gap, Inc. | 157,675 | ||||||
| 7,600 | McDonald's Corporation | 762,508 | ||||||
| 5,900 | Strayer Education, Inc.h | 573,421 | ||||||
| 13,600 | TJX Companies, Inc. | 877,880 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
269
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (32.1%) | Value | ||||||
| Consumer Discretionary (2.7%) - continued | ||||||||
| 5,700 | Weight Watchers International, Inc. | $ | 313,557 | |||||
|
| |||||||
| Total Consumer Discretionary | 3,215,265 | |||||||
|
| |||||||
| Consumer Staples (3.3%) | ||||||||
| 6,900 | Coca-Cola Company | 482,793 | ||||||
| 4,000 | Colgate-Palmolive Company | 369,560 | ||||||
| 7,300 | Dr. Pepper Snapple Group, Inc. | 288,204 | ||||||
| 2,400 | Herbalife, Ltd. | 124,008 | ||||||
| 5,600 | Kimberly-Clark Corporation | 411,936 | ||||||
| 1,200 | Lorillard, Inc. | 136,800 | ||||||
| 7,200 | PepsiCo, Inc. | 477,720 | ||||||
| 7,500 | Philip Morris International, Inc. | 588,600 | ||||||
| 2,437 | Procter & Gamble Company | 162,572 | ||||||
| 3,900 | Walgreen Company | 128,934 | ||||||
| 12,700 | Wal-Mart Stores, Inc. | 758,952 | ||||||
|
| |||||||
| Total Consumer Staples | 3,930,079 | |||||||
|
| |||||||
| Energy (3.9%) | ||||||||
| 6,800 | Chevron Corporation | 723,520 | ||||||
| 100 | CNOOC, Ltd. ADR | 17,468 | ||||||
| 7,000 | ConocoPhillips | 510,090 | ||||||
| 3,500 | Core Laboratories NVh | 398,825 | ||||||
| 9,300 | Ecopetrol SA ADRh | 414,036 | ||||||
| 3,000 | Energen Corporation | 150,000 | ||||||
| 20,000 | Energy Income and Growth Fund | 565,000 | ||||||
| 1,900 | Exxon Mobil Corporation | 161,044 | ||||||
| 33,800 | Marathon Oil Corporation | 989,326 | ||||||
| 3,900 | Marathon Petroleum Corporation | 129,831 | ||||||
| 2,600 | Murphy Oil Corporation | 144,924 | ||||||
| 2,300 | Occidental Petroleum Corporation | 215,510 | ||||||
| 9,000 | W&T Offshore, Inc. | 190,890 | ||||||
|
| |||||||
| Total Energy | 4,610,464 | |||||||
|
| |||||||
| Financials (8.6%) | ||||||||
| 11,800 | Aflac, Inc. | 510,468 | ||||||
| 6,800 | Allstate Corporation | 186,388 | ||||||
| 4,000 | Ameriprise Financial, Inc. | 198,560 | ||||||
| 6,489 | Annaly Capital Management, Inc. | 103,564 | ||||||
| 79,500 | Anworth Mortgage Asset Corporation | 499,260 | ||||||
| 62,500 | Ares Capital Corporationf | 965,625 | ||||||
| 5,200 | Axis Capital Holdings, Ltd. | 166,192 | ||||||
| 21,630 | Commerce Bancshares, Inc. | 824,536 | ||||||
| 1,400 | Goldman Sachs Group, Inc. | 126,602 | ||||||
| 28,650 | Invesco Mortgage Capital, Inc. | 402,532 | ||||||
| 17,500 | iPath S&P 500 VIX Short-Term Futures ETNh,k | 621,775 | ||||||
| 28,500 | iShares MSCI Emerging Markets Index Fund | 1,081,290 | ||||||
| 44,400 | MFA Financial, Inc. | 298,368 | ||||||
| 7,700 | Montpelier Re Holdings, Inc. | 136,675 | ||||||
| 45,500 | NFJ Dividend Interest & Premium Strategy Fundh | 728,910 | ||||||
| 40,500 | Solar Capital, Ltd. | 894,645 | ||||||
| 3,800 | Travelers Companies, Inc. | 224,846 | ||||||
| 57,050 | Two Harbors Investment Corporation | 527,142 | ||||||
| 9,600 | U.S. Bancorp | 259,680 | ||||||
| 7,700 | Validus Holdings, Ltd. | 242,550 | ||||||
| 16,600 | Wells Fargo & Company | 457,496 | ||||||
| 36,000 | Western Asset Emerging Markets Debt Fund, Inc. | 680,400 | ||||||
|
| |||||||
| Total Financials | 10,137,504 | |||||||
|
| |||||||
| Health Care (3.3%) | ||||||||
| 10,400 | Abbott Laboratories | 584,792 | ||||||
| 1,300 | AstraZeneca plc ADR | 60,177 | ||||||
| 16,600 | Forest Laboratories, Inc.k | 502,316 | ||||||
| 5,900 | Johnson & Johnson | 386,922 | ||||||
| 16,600 | Medtronic, Inc. | 634,950 | ||||||
| 6,400 | Novo Nordisk A/S ADR | 737,664 | ||||||
| 65,800 | PDL BioPharma, Inc.h | 407,960 | ||||||
| 22,453 | Pfizer, Inc. | 485,883 | ||||||
| 3,100 | UnitedHealth Group, Inc. | 157,108 | ||||||
|
| |||||||
| Total Health Care | 3,957,772 | |||||||
|
| |||||||
| Industrials (3.3%) | ||||||||
| 3,400 | 3M Company | 277,882 | ||||||
| 80,700 | Alerian MLP ETFh | 1,341,234 | ||||||
| 6,300 | Allegiant Travel Companyk | 336,042 | ||||||
| 3,300 | Caterpillar, Inc. | 298,980 | ||||||
| 2,300 | Dun & Bradstreet Corporation | 172,109 | ||||||
| 6,300 | Emerson Electric Company | 293,517 | ||||||
| 4,600 | KBR, Inc. | 128,202 | ||||||
| 21,000 | Knight Transportation, Inc. | 328,440 | ||||||
| 10,000 | Nordson Corporation | 411,800 | ||||||
| 17,000 | Southwest Airlines Company | 145,520 | ||||||
| 4,000 | Verisk Analytics, Inc.k | 160,520 | ||||||
|
| |||||||
| Total Industrials | 3,894,246 | |||||||
|
| |||||||
| Information Technology (2.9%) | ||||||||
| 12,600 | Accenture plc | 670,698 | ||||||
| 7,200 | BMC Software, Inc.k | 236,016 | ||||||
| 9,100 | Cisco Systems, Inc. | 164,528 | ||||||
| 17,000 | Intel Corporation | 412,250 | ||||||
| 3,300 | International Business Machines Corporation | 606,804 | ||||||
| 9,300 | Lender Processing Services, Inc. | 140,151 | ||||||
| 4,900 | Linear Technology Corporation | 147,147 | ||||||
| 1,000 | MasterCard, Inc. | 372,820 | ||||||
| 20,500 | Microsoft Corporation | 532,180 | ||||||
| 11,000 | Teradyne, Inc.k | 149,930 | ||||||
|
| |||||||
| Total Information Technology | 3,432,524 | |||||||
|
| |||||||
| Materials (1.0%) | ||||||||
| 7,100 | E.I. du Pont de Nemours and Company | 325,038 | ||||||
| 4,300 | LyondellBasell Industries NV | 139,707 | ||||||
| 3,700 | Newmont Mining Corporation | 222,037 | ||||||
| 4,100 | Southern Copper Corporation | 123,738 | ||||||
| 18,800 | Vale SA SP ADR | 403,260 | ||||||
|
| |||||||
| Total Materials | 1,213,780 | |||||||
|
| |||||||
| Telecommunications Services (1.6%) | ||||||||
| 13,500 | AT&T, Inc. | 408,240 | ||||||
| 12,100 | Nippon Telegraph & Telephone Corporation ADR | 306,493 | ||||||
| 11,900 | NTT DOCOMO, INC. ADRh | 218,365 | ||||||
| 2,800 | Philippine Long Distance Telephone Company ADR | 161,336 | ||||||
| 4,835 | Telefonica Brasil SA ADR | 132,141 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
270
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Common Stock (32.1%) | Value | ||||||
| Telecommunications Services (1.6%) - continued | ||||||||
| 15,700 | Verizon Communications, Inc. | $ | 629,884 | |||||
|
| |||||||
| Total Telecommunications Services | 1,856,459 | |||||||
|
| |||||||
| Utilities (1.5%) | ||||||||
| 7,800 | Empire District Electric Company | 164,502 | ||||||
| 24,500 | Enersis SA ADR | 431,935 | ||||||
| 4,100 | Laclede Group, Inc. | 165,927 | ||||||
| 42,300 | Questar Corporation | 840,078 | ||||||
| 4,100 | Southern Company | 189,789 | ||||||
|
| |||||||
| Total Utilities | 1,792,231 | |||||||
|
| |||||||
Total Common Stock (cost $37,588,421) | 38,040,324 | |||||||
|
| |||||||
Preferred Stock (0.3%) | ||||||||
| Financials (0.3%) | ||||||||
| 12,800 | Citigroup Capital XII, 8.500% | 322,048 | ||||||
|
| |||||||
| Total Financials | 322,048 | |||||||
|
| |||||||
Total Preferred Stock (cost $339,200) | 322,048 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (4.0%) | ||||||||
| 4,748,550 | Thrivent Financial Securities Lending Trust | 4,748,550 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $4,748,550) | 4,748,550 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (1.0%)l | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
| $1,200,000 | 0.105%, 2/22/2012m,n | 1,199,821 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,199,821 | |||||||
|
| |||||||
| Total Investments (cost $118,162,533) 98.8% | $ | 116,947,109 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.2% | 1,445,815 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 118,392,924 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2011. |
| e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $14,257,872 or 12.0% of total net assets. |
| f | All or a portion of the security was earmarked to cover written options. |
| g | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Diversified Income Plus Portfolio owned as of December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Wachovia Bank Commercial Mortgage Trust | 4/25/2007 | $ | 650,000 | |||||
| h | All or a portion of the security is on loan. |
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | In bankruptcy. Interest is not being accrued. |
| k | Non-income producing security. |
| l | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| m | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| n | At December 31, 2011, $1,199,821 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. | ||
ETN | - | Exchange Traded Note. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 5,184,023 | ||
Gross unrealized depreciation | (6,478,095 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (1,294,072 | ) | |
Cost for federal income tax purposes | $ | 118,241,181 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
271
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2011, in valuing Diversified Income Plus Portfolio's assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Capital Goods | 528,969 | — | 528,969 | — | ||||||||||||
Communications Services | 2,093,307 | — | 2,093,307 | — | ||||||||||||
Consumer Cyclical | 493,253 | — | 493,253 | — | ||||||||||||
Consumer Non-Cyclical | 986,454 | — | 986,454 | — | ||||||||||||
Energy | 536,326 | — | 536,326 | — | ||||||||||||
Financials | 959,458 | — | 959,458 | — | ||||||||||||
Technology | 1,456,804 | — | 1,456,804 | — | ||||||||||||
Transportation | 492,338 | — | 492,338 | — | ||||||||||||
Utilities | 511,049 | — | 511,049 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,463,914 | — | 2,463,914 | — | ||||||||||||
Basic Materials | 2,716,109 | — | 2,716,109 | — | ||||||||||||
Capital Goods | 2,097,203 | — | 2,097,203 | — | ||||||||||||
Collateralized Mortgage Obligations | 6,486,546 | — | 6,486,546 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 2,373,254 | — | 2,373,254 | — | ||||||||||||
Communications Services | 6,240,945 | — | 6,240,945 | — | ||||||||||||
Consumer Cyclical | 5,783,388 | — | 5,783,388 | — | ||||||||||||
Consumer Non-Cyclical | 5,270,163 | — | 5,270,163 | — | ||||||||||||
Energy | 5,207,986 | — | 5,207,986 | — | ||||||||||||
Financials | 15,956,777 | — | 15,956,777 | — | ||||||||||||
Foreign Government | 2,970,802 | — | 2,970,802 | — | ||||||||||||
Mortgage-Backed Securities | 3,407,765 | — | 3,407,765 | — | ||||||||||||
Technology | 749,207 | — | 749,207 | — | ||||||||||||
Transportation | 1,032,073 | — | 883,428 | 148,645 | ||||||||||||
Utilities | 1,822,276 | — | 1,822,276 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 3,215,265 | 3,215,265 | — | — | ||||||||||||
Consumer Staples | 3,930,079 | 3,930,079 | — | — | ||||||||||||
Energy | 4,610,464 | 4,610,464 | — | — | ||||||||||||
Financials | 10,137,504 | 10,137,504 | — | — | ||||||||||||
Health Care | 3,957,772 | 3,957,772 | — | — | ||||||||||||
Industrials | 3,894,246 | 3,894,246 | — | — | ||||||||||||
Information Technology | 3,432,524 | 3,432,524 | — | — | ||||||||||||
Materials | 1,213,780 | 1,213,780 | — | — | ||||||||||||
Telecommunications Services | 1,856,459 | 1,856,459 | — | — | ||||||||||||
Utilities | 1,792,231 | 1,792,231 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 322,048 | 322,048 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 4,748,550 | 4,748,550 | — | — | ||||||||||||
Short-Term Investments | 1,199,821 | — | 1,199,821 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 116,947,109 | $ | 43,110,922 | $ | 73,687,542 | $ | 148,645 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 77,019 | 77,019 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 77,019 | $ | 77,019 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 55,199 | 55,199 | — | — | ||||||||||||
Call Options Written | 7,050 | 7,050 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 62,249 | $ | 62,249 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
272
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | 432,459 | 21,703 | (24,401 | ) | 150,500 | (431,616 | ) | — | — | 148,645 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 432,459 | $ | 21,703 | ($ | 24,401 | ) | $ | 150,500 | ($ | 431,616 | ) | $ | — | $ | — | $ | 148,645 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of ($1,363). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Note Futures | 26 | March 2012 | $ | 3,193,204 | $ | 3,204,703 | $ | 11,499 | ||||||||||||
10-Yr. U.S. Treasury Note Futures | (5 | ) | March 2012 | (645,258 | ) | (655,625 | ) | (10,367 | ) | |||||||||||
S&P 500 Index Futures | (8 | ) | March 2012 | (2,460,368 | ) | (2,505,200 | ) | (44,832 | ) | |||||||||||
S&P 500 Index Mini-Futures | 58 | March 2012 | 3,567,020 | 3,632,540 | 65,520 | |||||||||||||||
Total Futures Contracts | $ | 21,820 | ||||||||||||||||||
Call Options Written | Number of Contracts | Exercise Price | Expiration Date | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures Call Option | 10 | $ | 1,265.00 | January 2012 | ($ | 8,800 | ) | ($ | 2,700 | ) | ||||||||||
S&P 500 Mini-Futures Call Option | 20 | 1,270.00 | January 2012 | (15,300 | ) | (4,350 | ) | |||||||||||||
Total Call Options Written | ($ | 24,100 | ) | ($ | 7,050 | ) | ||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 11,499 | ||||
Total Interest Rate Contracts | 11,499 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 65,520 | ||||
Total Equity Contracts | 65,520 | |||||
|
| |||||
Total Asset Derivatives | $ | 77,019 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Options Written | Net Assets - Net unrealized appreciation/(depreciation) on Written option contracts | 7,050 | ||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 44,832 | ||||
Total Equity Contracts | 51,882 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,367 | ||||
Total Interest Rate Contracts | 10,367 | |||||
|
| |||||
Total Liability Derivatives | $ | 62,249 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
273
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (72,171 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (430,276 | ) | |||
Total Equity Contracts | (502,447 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (1,570 | ) | |||
Total Foreign Exchange Contracts | (1,570 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 126,783 | ||||
Total Interest Rate Contracts | 126,783 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (270,017 | ) | |||
Total Credit Contracts | (270,017 | ) | ||||
|
| |||||
Total | ($647,251 | ) | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | (7,913 | ) | |||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (55,600 | ) | |||
Total Equity Contracts | (63,513 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 30,430 | ||||
Total Interest Rate Contracts | 30,430 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 306,020 | ||||
Total Credit Contracts | 306,020 | |||||
|
| |||||
Total | $ | 272,937 | ||||
|
| |||||
The following table presents Diversified Income Plus Portfolio's average volume of derivative activity during the period ended December 31, 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 | $ | 9,094,301 | 7.9 | % | N/A | N/A | N/A | N/A | 21 | |||||||||||||||||||
Interest Rate Contracts | 3,770,454 | 3.3 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 398 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 3,282,602 | 2.9 | % | 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.
274
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 5,464,100 | $ | 69,357,418 | $ | 70,072,968 | 4,748,550 | $ | 4,748,550 | $ | 30,953 | |||||||||||||
Total Value and Income Earned | 5,464,100 | 4,748,550 | 30,953 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
275
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (86.5%) | Value | ||||||
| Asset-Backed Securities (7.1%) | ||||||||
Americredit Automobile Receivables Trust | ||||||||
| $ 55,014 | 5.550%, 4/7/2014a | $ | 55,568 | |||||
| 6,713 | 5.270%, 1/6/2015b | 6,889 | ||||||
CPS Auto Trust | ||||||||
| 14,735 | 6.480%, 7/15/2013a,c | 14,976 | ||||||
Dominos Pizza Master Issuer, LLC | ||||||||
| 100,000 | 5.261%, 4/25/2037a,c | 100,400 | ||||||
DT Auto Owner Trust | ||||||||
| 31,483 | 0.960%, 1/15/2014c | 31,446 | ||||||
| 46,121 | 1.400%, 12/15/2041c | 46,120 | ||||||
Franklin Auto Trust | ||||||||
| 50,000 | 7.160%, 5/20/2016c | 51,409 | ||||||
Harley Davidson Motorcycle Trust | ||||||||
| 200,000 | 6.040%, 8/15/2014 | 202,383 | ||||||
Navistar Financial Corporation Owner Trust | ||||||||
| 150,000 | 2.600%, 4/20/2015c | 150,272 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 26,620 | 1.010%, 7/15/2013c | 26,611 | ||||||
| 34,496 | 1.370%, 8/15/2013c | 34,524 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 720,598 | |||||||
|
| |||||||
| Basic Materials (1.0%) | ||||||||
Ecolab, Inc. | ||||||||
| 40,000 | 4.350%, 12/8/2021 | 42,716 | ||||||
Yara International ASA | ||||||||
| 50,000 | 7.875%, 6/11/2019c | 61,368 | ||||||
|
| |||||||
| Total Basic Materials | 104,084 | |||||||
|
| |||||||
| Capital Goods (1.3%) | ||||||||
BE Aerospace, Inc. | ||||||||
| 60,000 | 6.875%, 10/1/2020 | 65,400 | ||||||
John Deere Capital Corporation | ||||||||
| 15,000 | 1.250%, 12/2/2014 | 15,163 | ||||||
Masco Corporation | ||||||||
| 60,000 | 5.875%, 7/15/2012 | 60,890 | ||||||
|
| |||||||
| Total Capital Goods | 141,453 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.8%) | ||||||||
Countrywide Alternative Loan Trust | ||||||||
| 37,401 | 4.968%, 7/25/2035 | 37,727 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 44,014 | 2.561%, 12/25/2033 | 8,574 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 28,555 | 5.500%, 10/25/2033 | 28,953 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 5,483 | 4.701%, 7/25/2035 | 5,429 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
| 4,366 | 2.536%, 12/25/2035 | 4,271 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 84,954 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (7.5%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 7,964 | 6.186%, 6/11/2035 | 7,959 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 100,000 | 5.250%, 4/18/2016 | 117,802 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 45,011 | 5.349%, 8/11/2036 | 45,482 | ||||||
| 52,558 | 4.996%, 12/10/2037 | 53,609 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 38,974 | 6.162%, 5/12/2034 | 38,993 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 100,000 | 4.853%, 9/15/2031 | 101,569 | ||||||
Morgan Stanley Dean Witter Capital I | ||||||||
| 150,000 | 6.550%, 7/15/2033 | 148,776 | ||||||
| 147,577 | 5.740%, 12/15/2035 | 149,151 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 77,721 | 4.566%, 4/15/2035 | 79,738 | ||||||
| 28,547 | 5.230%, 7/15/2041 | 28,666 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 771,745 | |||||||
|
| |||||||
| Communications Services (7.5%) | ||||||||
American Tower Corporation | ||||||||
| 80,000 | 4.500%, 1/15/2018 | 81,381 | ||||||
| 50,000 | 5.900%, 11/1/2021 | 52,568 | ||||||
AT&T, Inc. | ||||||||
| 100,000 | 2.950%, 5/15/2016 | 104,214 | ||||||
| 50,000 | 3.875%, 8/15/2021 | 52,887 | ||||||
Crown Castle Towers, LLC | ||||||||
| 80,000 | 4.883%, 8/15/2020c | 81,763 | ||||||
SBA Tower Trust | ||||||||
| 60,000 | 4.254%, 4/15/2015c | 61,682 | ||||||
Telefonica Emisiones SAU | ||||||||
| 60,000 | 6.421%, 6/20/2016 | 62,790 | ||||||
| 70,000 | 5.134%, 4/27/2020 | 65,752 | ||||||
Time Warner Cable, Inc. | ||||||||
| 200,000 | 4.000%, 9/1/2021 | 202,346 | ||||||
|
| |||||||
| Total Communications Services | 765,383 | |||||||
|
| |||||||
| Consumer Cyclical (6.5%) | ||||||||
Darden Restaurants, Inc. | ||||||||
| 50,000 | 4.500%, 10/15/2021 | 51,299 | ||||||
Gap, Inc. | ||||||||
| 60,000 | 5.950%, 4/12/2021 | 57,228 | ||||||
Home Depot, Inc. | ||||||||
| 60,000 | 5.875%, 12/16/2036 | 75,293 | ||||||
Jones Group, Inc. | ||||||||
| 30,000 | 6.875%, 3/15/2019 | 27,000 | ||||||
Lowe’s Companies, Inc. | ||||||||
| 20,000 | 3.800%, 11/15/2021 | 20,998 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
276
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (86.5%) | Value | ||||||
| Consumer Cyclical (6.5%) - continued | ||||||||
McGuire Air Force Base/Fort Dix Privatized Military Housing Project | ||||||||
| $50,000 | 5.611%, 9/15/2051c | $ | 48,135 | |||||
Ohana Military Communities, LLC | ||||||||
| 60,000 | 5.880%, 10/1/2051c | 60,015 | ||||||
| 80,000 | 5.462%, 10/1/2026c | 85,829 | ||||||
O’Reilly Automotive, Inc. | ||||||||
| 30,000 | 4.625%, 9/15/2021 | 31,456 | ||||||
Spencer Spirit Holdings, Inc. | ||||||||
| 50,000 | 11.000%, 5/1/2017c | 49,000 | ||||||
Target Corporation | ||||||||
| 10,000 | 3.875%, 7/15/2020 | 11,048 | ||||||
Time Warner, Inc. | ||||||||
| 20,000 | 4.000%, 1/15/2022 | 20,629 | ||||||
| 30,000 | 5.375%, 10/15/2041 | 32,496 | ||||||
Volkswagen International Finance NV | ||||||||
| 100,000 | 0.982%, 4/1/2014b,c | 97,991 | ||||||
|
| |||||||
| Total Consumer Cyclical | 668,417 | |||||||
|
| |||||||
| Consumer Non-Cyclical (4.3%) | ||||||||
AmerisourceBergen Corporation | ||||||||
| 10,000 | 3.500%, 11/15/2021 | 10,269 | ||||||
Amgen, Inc. | ||||||||
| 25,000 | 2.500%, 11/15/2016 | 25,300 | ||||||
| 25,000 | 3.875%, 11/15/2021 | 25,228 | ||||||
Aristotle Holding, Inc. | ||||||||
| 20,000 | 2.750%, 11/21/2014c | 20,242 | ||||||
Becton Dickinson and Company | ||||||||
| 25,000 | 3.125%, 11/8/2021 | 25,862 | ||||||
Coca-Cola Company | ||||||||
| 70,000 | 1.800%, 9/1/2016 | 71,201 | ||||||
Colgate-Palmolive Company | ||||||||
| 25,000 | 1.300%, 1/15/2017 | 24,833 | ||||||
CVS Corporation | ||||||||
| 60,000 | 6.125%, 8/15/2016 | 69,882 | ||||||
CVS Pass-Through Trust | ||||||||
| 48,198 | 7.507%, 1/10/2032c | 55,746 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 20,000 | 3.200%, 11/15/2021 | 20,293 | ||||||
HCA, Inc. | ||||||||
| 15,000 | 8.000%, 10/1/2018 | 15,862 | ||||||
Hershey Company | ||||||||
| 10,000 | 1.500%, 11/1/2016 | 10,006 | ||||||
Kellogg Company | ||||||||
| 20,000 | 1.875%, 11/17/2016 | 20,081 | ||||||
St. Jude Medical, Inc. | ||||||||
| 40,000 | 2.500%, 1/15/2016 | 41,260 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 436,065 | |||||||
|
| |||||||
| Energy (2.3%) | ||||||||
Enterprise Products Operating, LLC | ||||||||
| 75,000 | 7.034%, 1/15/2068 | 78,000 | ||||||
Great River Energy | ||||||||
| 41,077 | 5.829%, 7/1/2017c | 46,644 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 40,000 | 5.625%, 9/1/2041 | 41,235 | ||||||
Pioneer Natural Resources Company | ||||||||
| 60,000 | 5.875%, 7/15/2016 | 65,298 | ||||||
|
| |||||||
| Total Energy | 231,177 | |||||||
|
| |||||||
| Financials (23.9%) | ||||||||
Agfirst Farm Credit Bank | ||||||||
| 120,000 | 6.585%, 6/15/2049d,e | 90,000 | ||||||
Ally Financial, Inc. | ||||||||
| 25,000 | 4.500%, 2/11/2014 | 24,125 | ||||||
American Express Bank FSB | ||||||||
| 60,000 | 0.426%, 6/12/2012b | 59,892 | ||||||
American Express Credit Corporation | ||||||||
| 25,000 | 2.800%, 9/19/2016 | 25,122 | ||||||
Bank of America Corporation | ||||||||
| 130,000 | 5.000%, 5/13/2021 | 118,409 | ||||||
Bank of Montreal | ||||||||
| 70,000 | 2.625%, 1/25/2016c | 72,259 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 100,000 | 1.700%, 11/24/2014 | 100,542 | ||||||
Bank of Nova Scotia | ||||||||
| 100,000 | 1.250%, 11/7/2014c | 99,577 | ||||||
Boston Properties, LP | ||||||||
| 50,000 | 3.700%, 11/15/2018 | 51,054 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 60,000 | 2.750%, 1/27/2016c | 62,072 | ||||||
Capital One Financial Corporation | ||||||||
| 100,000 | 4.800%, 2/21/2012 | 100,457 | ||||||
| 30,000 | 4.750%, 7/15/2021 | 30,873 | ||||||
Discover Bank | ||||||||
| 60,000 | 8.700%, 11/18/2019 | 68,411 | ||||||
ERP Operating, LP | ||||||||
| 75,000 | 6.625%, 3/15/2012 | 75,763 | ||||||
| 50,000 | 4.625%, 12/15/2021 | 50,988 | ||||||
Fifth Third Bank | ||||||||
| 60,000 | 0.576%, 5/17/2013b | 58,878 | ||||||
FUEL Trust | ||||||||
| 200,000 | 4.207%, 4/15/2016c | 201,698 | ||||||
Glitnir Banki HF | ||||||||
| 50,000 | 3.226%, 3/22/2012c,f | 13,000 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 50,000 | 5.125%, 1/15/2015 | 51,106 | ||||||
| 25,000 | 5.250%, 7/27/2021 | 24,389 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 50,000 | 4.400%, 7/22/2020 | 51,061 | ||||||
| 50,000 | 4.350%, 8/15/2021 | 50,495 | ||||||
Jefferies Group, Inc. | ||||||||
| 100,000 | 7.750%, 3/15/2012 | 101,500 | ||||||
Nationwide Health Properties, Inc. | ||||||||
| 60,000 | 6.900%, 10/1/2037 | 68,259 | ||||||
Nordea Bank AB | ||||||||
| 50,000 | 4.875%, 5/13/2021c | 42,260 | ||||||
PNC Funding Corporation | ||||||||
| 100,000 | 2.700%, 9/19/2016 | 101,797 | ||||||
Prudential Holdings, LLC | ||||||||
| 60,000 | 1.434%, 12/18/2017b,d | 56,090 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
277
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (86.5%) | Value | ||||||
| Financials (23.9%) - continued | ||||||||
Royal Bank of Canada | ||||||||
| $100,000 | 1.450%, 10/30/2014 | $ | 100,519 | |||||
Simon Property Group, LP | ||||||||
| 30,000 | 4.125%, 12/1/2021 | 31,370 | ||||||
SSIF Nevada, LP | ||||||||
| 70,000 | 1.101%, 4/14/2014b,c | 68,890 | ||||||
Stadshypotek AB | ||||||||
| 60,000 | 1.129%, 9/30/2013b,c | 59,907 | ||||||
SunTrust Bank | ||||||||
| 25,000 | 0.796%, 8/24/2015b | 23,206 | ||||||
Swedbank Hypotek AB | ||||||||
| 60,000 | 2.125%, 8/31/2016c | 59,047 | ||||||
Toronto-Dominion Bank | ||||||||
| 50,000 | 2.375%, 10/19/2016 | 50,879 | ||||||
U.S. Bank National Association | ||||||||
| 60,000 | 3.778%, 4/29/2020 | 61,786 | ||||||
US AgBank FCB | ||||||||
| 50,000 | 6.110%, 4/10/2049d,e | 30,623 | ||||||
Wachovia Capital Trust III | ||||||||
| 120,000 | 5.570%, 3/15/2042b,e | 100,500 | ||||||
|
| |||||||
| Total Financials | 2,436,804 | |||||||
|
| |||||||
| Foreign Government (1.0%) | ||||||||
Province of Ontario | ||||||||
| 100,000 | 3.000%, 7/16/2018 | 105,173 | ||||||
|
| |||||||
| Total Foreign Government | 105,173 | |||||||
|
| |||||||
| Mortgage-Backed Securities (1.7%) | ||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 50,000 | 3.500%, 12/1/2041 | 51,422 | ||||||
| 120,000 | 4.000%, 1/1/2042g | 126,056 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 177,478 | |||||||
|
| |||||||
| Technology (4.3%) | ||||||||
Dun & Bradstreet Corporation | ||||||||
| 60,000 | 2.875%, 11/15/2015 | 61,631 | ||||||
Hewlett-Packard Company | ||||||||
| 50,000 | 0.923%, 5/30/2014b | 48,342 | ||||||
International Business Machines Corporation | ||||||||
| 150,000 | 0.875%, 10/31/2014 | 150,054 | ||||||
Symantec Corporation | ||||||||
| 60,000 | 2.750%, 9/15/2015 | 60,998 | ||||||
Xerox Corporation | ||||||||
| 50,000 | 5.500%, 5/15/2012 | 50,829 | ||||||
| 60,000 | 4.500%, 5/15/2021 | 60,808 | ||||||
|
| |||||||
| Total Technology | 432,662 | |||||||
|
| |||||||
| Transportation (2.9%) | ||||||||
APL, Ltd. | ||||||||
| 50,000 | 8.000%, 1/15/2024h | 35,321 | ||||||
Asciano Finance, Ltd. | ||||||||
| 60,000 | 5.000%, 4/7/2018c | 60,165 | ||||||
Canadian National Railway Company | ||||||||
| 25,000 | 1.450%, 12/15/2016 | 24,860 | ||||||
Ryder System, Inc. | ||||||||
| 60,000 | 3.500%, 6/1/2017 | 60,713 | ||||||
Skyway Concession Company, LLC | ||||||||
| 50,000 | 0.859%, 6/30/2017b,d | 37,963 | ||||||
Toll Road Investors Partnership II, LP | ||||||||
| 800,000 | Zero Coupon, 2/15/2043d,h | 86,960 | ||||||
|
| |||||||
| Total Transportation | 305,982 | |||||||
|
| |||||||
| U.S. Government and Agencies (14.1%) | ||||||||
Federal Home Loan Banks | ||||||||
| 60,000 | 5.000%, 11/17/2017 | 72,006 | ||||||
U.S. Treasury Bonds | ||||||||
| 121,000 | 3.750%, 8/15/2041 | 142,307 | ||||||
| 210,000 | 3.125%, 11/15/2041 | 220,008 | ||||||
U.S. Treasury Notes | ||||||||
| 70,000 | 0.375%, 11/15/2014 | 70,044 | ||||||
| 70,000 | 0.875%, 11/30/2016 | 70,213 | ||||||
| 127,000 | 2.125%, 8/15/2021 | 130,254 | ||||||
| 731,000 | 2.000%, 11/15/2021 | 739,338 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 1,444,170 | |||||||
|
| |||||||
| Utilities (0.3%) | ||||||||
Consolidated Edison Company of New York, Inc. | ||||||||
| 25,000 | 4.450%, 6/15/2020 | 28,339 | ||||||
|
| |||||||
| Total Utilities | 28,339 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $8,765,240) | 8,854,484 | |||||||
|
| |||||||
Principal | Short-Term Investments (1.0%)i | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 100,000 | 0.105%, 2/22/2012j,k | 99,986 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 99,986 | |||||||
|
| |||||||
| Total Investments (cost $8,865,226) 87.5% | $ | 8,954,470 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 12.5% | 1,275,893 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 10,230,363 | ||||||
|
| |||||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011, the value of these investments was $1,863,048 or 18.2% of total net assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
278
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2011
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Socially Responsible Bond Portfolio owned as of December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Agfirst Farm Credit Bank | 7/10/2009 | $ | 47,626 | |||||
Prudential Holdings, LLC | 2/9/2011 | $ | 55,641 | |||||
Skyway Concession Company, LLC | 6/9/2008 | $ | 43,812 | |||||
Toll Road Investors Partnership II, LP | 5/14/2008 | $ | 112,512 | |||||
US AgBank FCB | 7/13/2009 | $ | 18,258 | |||||
| e | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| f | In bankruptcy. Interest is not being accrued. |
| g | Denotes investments purchased on a when-issued or delayed delivery basis. |
| h | Security is fair valued. |
| i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| j | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| k | At December 31, 2011, $99,986 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 | $ | 236,171 | ||
Gross unrealized depreciation | (152,901 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 83,270 | ||
Cost for federal income tax purposes | $ | 8,871,200 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
279
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 720,598 | — | 720,598 | — | ||||||||||||
Basic Materials | 104,084 | — | 104,084 | — | ||||||||||||
Capital Goods | 141,453 | �� | — | 141,453 | — | |||||||||||
Collateralized Mortgage Obligations | 84,954 | — | 84,954 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 771,745 | — | 771,745 | — | ||||||||||||
Communications Services | 765,383 | — | 765,383 | — | ||||||||||||
Consumer Cyclical | 668,417 | — | 668,417 | — | ||||||||||||
Consumer Non-Cyclical | 436,065 | — | 436,065 | — | ||||||||||||
Energy | 231,177 | — | 231,177 | — | ||||||||||||
Financials | 2,436,804 | — | 2,436,804 | — | ||||||||||||
Foreign Government | 105,173 | — | 105,173 | — | ||||||||||||
Mortgage-Backed Securities | 177,478 | — | 177,478 | — | ||||||||||||
Technology | 432,662 | — | 432,662 | — | ||||||||||||
Transportation | 305,982 | — | 183,701 | 122,281 | ||||||||||||
U.S. Government and Agencies | 1,444,170 | — | 1,444,170 | — | ||||||||||||
Utilities | 28,339 | — | 28,339 | — | ||||||||||||
Short-Term Investments | 99,986 | — | 99,986 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,954,470 | $ | — | $ | 8,832,189 | $ | 122,281 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 22,228 | 22,228 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 22,228 | $ | 22,228 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Transportation | 33,085 | — | (25,204 | ) | — | — | 114,400 | — | 122,281 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 33,085 | $ | — | ($ | 25,204 | ) | $ | — | $ | — | $ | 114,400 | $ | — | $ | 122,281 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of ($23,316). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
10-Yr. U.S. Treasury Note Futures | 9 | March 2012 | $ | 1,163,291 | $ | 1,180,125 | $ | 16,834 | ||||||||||||
20-Yr. U.S. Treasury Bond Futures | 2 | March 2012 | 284,231 | 289,625 | 5,394 | |||||||||||||||
Total Futures Contracts | $ | 22,228 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
280
Partner Socially Responsible Bond Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 22,228 | |||
Total Interest Rate Contracts | 22,228 | |||||
|
| |||||
Total Asset Derivatives | $ | 22,228 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (50,974 | ) | |||
Total Interest Rate Contracts | (50,974 | ) | ||||
|
| |||||
Total | ($ | 50,974 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 41,086 | ||||
Total Interest Rate Contracts | 41,086 | |||||
|
| |||||
Total | $ | 41,086 | ||||
|
| |||||
The following table presents Partner Socially Responsible Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Interest Rate Contracts (Long Position) | $ | 533,933 | 6.3 | |||||
Interest Rate Contracts (Short Position) | $ | 3,268,167 | 38.5 | |||||
| * | 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.
281
Schedule of Investments as of December 31, 2011
Principal Amount | Bank Loans (1.1%)a | Value | ||||
| Capital Goods (<0.1%) | ||||||
Transdigm Group, Inc., Term Loan | ||||||
| $ 623,700 | 4.000%, 2/14/2017 | $ | 617,856 | |||
|
| |||||
| Total Capital Goods | 617,856 | |||||
|
| |||||
| Communications Services (0.1%) | ||||||
Atlantic Broadband Finance, LLC, Term Loan | ||||||
| 1,330,582 | 4.000%, 3/8/2016 | 1,300,923 | ||||
Charter Communications Operating, LLC, Term Loan | ||||||
| 34,373 | 7.250%, 3/6/2014 | 34,250 | ||||
Lamar Media Corporation, Term Loan | ||||||
| 691,254 | 4.000%, 12/30/2016 | 689,181 | ||||
|
| |||||
| Total Communications Services | 2,024,354 | |||||
|
| |||||
| Consumer Cyclical (0.2%) | ||||||
Chrysler Group, LLC, Term Loan | ||||||
| 2,547,200 | 6.000%, 5/24/2017 | 2,405,194 | ||||
|
| |||||
| Total Consumer Cyclical | 2,405,194 | |||||
|
| |||||
| Consumer Non-Cyclical (0.1%) | ||||||
Dole Food Company, Term Loan | ||||||
| 210,700 | 5.043%, 7/8/2018 | 209,339 | ||||
Michael Foods, Inc., Term Loan | ||||||
| 1,344,667 | 4.250%, 2/25/2018 | 1,327,858 | ||||
Solvest Ltd., Term Loan | ||||||
| 391,300 | 5.029%, 7/8/2018 | 388,773 | ||||
|
| |||||
| Total Consumer Non-Cyclical | 1,925,970 | |||||
|
| |||||
| Energy (0.1%) | ||||||
MEG Energy Corporation, Term Loan | ||||||
| 1,596,000 | 4.000%, 3/18/2018 | 1,587,525 | ||||
|
| |||||
| Total Energy | 1,587,525 | |||||
|
| |||||
| Financials (0.1%) | ||||||
Springleaf Financial Funding Company, Term Loan | ||||||
| 1,625,000 | 5.500%, 5/10/2017 | 1,411,378 | ||||
|
| |||||
| Total Financials | 1,411,378 | |||||
|
| |||||
| Technology (0.3%) | ||||||
Freescale Semiconductor, Term Loan | ||||||
| 1,626,399 | 4.520%, 12/1/2016 | 1,552,398 | ||||
Intelsat Jackson Holdings SA, Term Loan | ||||||
| 1,880,550 | 5.250%, 4/2/2018 | 1,864,095 | ||||
Syniverse Holdings, Inc., Term Loan | ||||||
| 316,800 | 5.250%, 12/21/2017 | 316,141 | ||||
|
| |||||
| Total Technology | 3,732,634 | |||||
|
| |||||
| Transportation (0.2%) | ||||||
Delta Air Lines, Inc., Term Loan | ||||||
| 2,537,250 | 5.500%, 4/20/2017 | 2,391,358 | ||||
| �� | |||||
| Total Transportation | 2,391,358 | |||||
|
| |||||
Total Bank Loans (cost $16,600,216) | 16,096,269 | |||||
|
| |||||
Long-Term Fixed Income (96.0%) | ||||||
| Asset-Backed Securities (0.9%) | ||||||
Carrington Mortgage Loan Trust | ||||||
| 2,200,000 | 0.444%, 8/25/2036b | 682,425 | ||||
GMAC Mortgage Corporation Loan Trust | ||||||
| 4,901,766 | 0.474%, 8/25/2035b,c | 3,061,300 | ||||
| 5,712,450 | 0.474%, 12/25/2036b,c | 3,537,606 | ||||
GSAMP Trust | ||||||
| 4,444,274 | 0.374%, 8/25/2036b | 4,041,298 | ||||
IndyMac Seconds Asset-Backed Trust | ||||||
| 779,140 | 0.464%, 10/25/2036b,c | 142,480 | ||||
Renaissance Home Equity Loan Trust | ||||||
| 3,037,220 | 5.746%, 5/25/2036 | 1,372,264 | ||||
| 2,000,000 | 6.011%, 5/25/2036 | 783,206 | ||||
|
| |||||
| Total Asset-Backed Securities | 13,620,579 | |||||
|
| |||||
| Basic Materials (5.5%) | ||||||
AbitibiBowater, Inc. | ||||||
| 2,104,000 | 10.250%, 10/15/2018d | 2,319,660 | ||||
Alcoa, Inc. | ||||||
| 2,570,000 | 5.720%, 2/23/2019 | 2,659,012 | ||||
| 1,325,000 | 6.150%, 8/15/2020 | 1,376,643 | ||||
| 2,000,000 | 6.750%, 1/15/2028 | 2,056,514 | ||||
ArcelorMittal | ||||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,763,965 | ||||
| 3,000,000 | 6.125%, 6/1/2018 | 2,962,686 | ||||
| 2,750,000 | 5.250%, 8/5/2020 | 2,497,171 | ||||
Arch Coal, Inc. | ||||||
| 2,080,000 | 7.000%, 6/15/2019d | 2,121,600 | ||||
Celulosa Arauco y Constitucion SA | ||||||
| 2,520,000 | 5.000%, 1/21/2021 | 2,617,867 | ||||
CF Industries, Inc. | ||||||
| 4,620,000 | 6.875%, 5/1/2018 | 5,289,900 | ||||
Cliffs Natural Resources, Inc. | ||||||
| 3,200,000 | 4.875%, 4/1/2021 | 3,188,467 | ||||
CONSOL Energy, Inc. | ||||||
| 510,000 | 8.000%, 4/1/2017 | 558,450 | ||||
| 1,560,000 | 8.250%, 4/1/2020 | 1,723,800 | ||||
Domtar Corporation | ||||||
| 1,900,000 | 7.125%, 8/15/2015 | 2,090,000 | ||||
Dow Chemical Company | ||||||
| 3,250,000 | 5.900%, 2/15/2015 | 3,616,343 | ||||
| 1,870,000 | 8.550%, 5/15/2019 | 2,446,573 | ||||
| 3,850,000 | 4.250%, 11/15/2020 | 4,001,840 | ||||
| 1,620,000 | 5.250%, 11/15/2041 | 1,704,036 | ||||
Ecolab, Inc. | ||||||
| 1,575,000 | 3.000%, 12/8/2016 | 1,629,196 | ||||
FMG Resources Property, Ltd. | ||||||
| 1,890,000 | 7.000%, 11/1/2015d | 1,908,900 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
282
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Basic Materials (5.5%) - continued | ||||||
| $ 680,000 | 8.250%, 11/1/2019d | $ | 691,900 | |||
Georgia-Pacific, LLC | ||||||
| 3,480,000 | 5.400%, 11/1/2020d | 3,854,615 | ||||
International Paper Company | ||||||
| 2,500,000 | 7.500%, 8/15/2021 | 3,085,898 | ||||
| 650,000 | 4.750%, 2/15/2022 | 690,919 | ||||
| 1,250,000 | 7.300%, 11/15/2039 | 1,520,605 | ||||
Lyondell Chemical Company | ||||||
| 958,270 | 11.000%, 5/1/2018 | 1,046,910 | ||||
LyondellBasell Industries NV | ||||||
| 320,000 | 6.000%, 11/15/2021d | 332,000 | ||||
Nalco Company | ||||||
| 2,000,000 | 6.625%, 1/15/2019d | 2,315,000 | ||||
NOVA Chemicals Corporation | ||||||
| 1,250,000 | 8.625%, 11/1/2019 | 1,378,125 | ||||
Novelis, Inc. | ||||||
| 1,920,000 | 8.375%, 12/15/2017 | 2,040,000 | ||||
Rio Tinto Finance USA, Ltd. | ||||||
| 3,285,000 | 6.500%, 7/15/2018 | 3,959,433 | ||||
| 1,900,000 | 3.500%, 11/2/2020 | 1,942,000 | ||||
Teck Resources, Ltd. | ||||||
| 1,469,000 | 10.250%, 5/15/2016 | 1,689,350 | ||||
Vale Overseas, Ltd. | ||||||
| 3,125,000 | 6.875%, 11/10/2039 | 3,579,375 | ||||
Weyerhaeuser Company | ||||||
| 2,570,000 | 7.375%, 3/15/2032 | 2,697,554 | ||||
|
| |||||
| Total Basic Materials | 80,356,307 | |||||
|
| |||||
| Capital Goods (2.7%) | ||||||
BAE Systems plc | ||||||
| 3,880,000 | 4.750%, 10/11/2021d | 3,948,676 | ||||
Ball Corporation | ||||||
| 1,940,000 | 5.750%, 5/15/2021 | 2,032,150 | ||||
Boeing Capital Corporation | ||||||
| 1,600,000 | 2.125%, 8/15/2016 | 1,634,477 | ||||
Case New Holland, Inc. | ||||||
| 1,250,000 | 7.750%, 9/1/2013 | 1,328,125 | ||||
| 2,275,000 | 7.875%, 12/1/2017 | 2,570,750 | ||||
Caterpillar Financial Services Corporation | ||||||
| 2,600,000 | 1.125%, 12/15/2014 | 2,603,232 | ||||
CNH Capital, LLC | ||||||
| 450,000 | 6.250%, 11/1/2016d | 463,500 | ||||
CRH America, Inc. | ||||||
| 1,750,000 | 4.125%, 1/15/2016 | 1,747,212 | ||||
| 1,900,000 | 8.125%, 7/15/2018 | 2,167,925 | ||||
Crown Americas, LLC | ||||||
| 2,690,000 | 7.625%, 5/15/2017 | 2,935,462 | ||||
John Deere Capital Corporation | ||||||
| 3,300,000 | 5.350%, 4/3/2018 | 3,875,536 | ||||
L-3 Communications Corporation | ||||||
| 3,250,000 | 3.950%, 11/15/2016 | 3,280,300 | ||||
Lockheed Martin Corporation | ||||||
| 2,575,000 | 3.350%, 9/15/2021 | 2,561,605 | ||||
Republic Services, Inc. | ||||||
| 630,000 | 5.500%, 9/15/2019 | 727,066 | ||||
| 1,600,000 | 5.000%, 3/1/2020 | 1,796,374 | ||||
| 2,200,000 | 5.250%, 11/15/2021 | 2,494,554 | ||||
Sealed Air Corporation | ||||||
| 1,290,000 | 8.375%, 9/15/2021d | 1,425,450 | ||||
Textron, Inc. | ||||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,683,700 | ||||
|
| |||||
| Total Capital Goods | 40,276,094 | |||||
|
| |||||
| Collateralized Mortgage Obligations (1.5%) | ||||||
Banc of America Mortgage Securities, Inc. | ||||||
| 4,970,537 | 2.764%, 9/25/2035 | 3,780,098 | ||||
Bear Stearns Mortgage Funding Trust | ||||||
| 904,795 | 0.574%, 8/25/2036b | 256,048 | ||||
CitiMortgage Alternative Loan Trust | ||||||
| 3,225,638 | 5.750%, 4/25/2037 | 2,099,245 | ||||
Countrywide Alternative Loan Trust | ||||||
| 4,374,920 | 6.000%, 1/25/2037 | 2,873,614 | ||||
Deutsche Alt-A Securities, Inc. | ||||||
| 3,067,899 | 0.970%, 4/25/2047b | 1,761,532 | ||||
HomeBanc Mortgage Trust | ||||||
| 2,855,734 | 2.221%, 4/25/2037 | 1,524,933 | ||||
Merrill Lynch Mortgage Investors, Inc. | ||||||
| 4,053,773 | 2.612%, 6/25/2035 | 3,239,864 | ||||
Wachovia Mortgage Loan Trust, LLC | ||||||
| 3,471,174 | 2.790%, 5/20/2036 | 2,221,895 | ||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||
| 6,105,660 | 0.958%, 2/25/2047b | 2,238,067 | ||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||
| 872,359 | 0.584%, 10/25/2045b | 625,902 | ||||
|
| |||||
| Total Collateralized Mortgage Obligations | 20,621,198 | |||||
|
| |||||
| Commercial Mortgage-Backed Securities (2.4%) | ||||||
Banc of America Commercial Mortgage, Inc. | ||||||
| 3,200,000 | 5.655%, 4/10/2049 | 2,986,810 | ||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||
| 1,377,897 | 0.428%, 3/15/2022b,d | 1,339,417 | ||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,685,577 | ||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||
| 1,900,000 | 5.322%, 12/11/2049 | 2,015,241 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||
| 2,000,000 | 0.408%, 12/15/2020b,d | 1,823,888 | ||||
Credit Suisse First Boston Mortgage Securities | ||||||
| 3,200,000 | 5.542%, 1/15/2049 | 3,387,449 | ||||
Credit Suisse Mortgage Capital Certificates | ||||||
| 3,182,786 | 0.448%, 10/15/2021b,d | 2,933,698 | ||||
| 3,250,000 | 5.467%, 9/15/2039 | 3,456,417 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
283
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Commercial Mortgage-Backed Securities (2.4%) - continued | ||||||
LB-UBS Commercial Mortgage Trust | ||||||
| $ 3,200,000 | 6.167%, 9/15/2045 | $ | 3,010,778 | |||
Morgan Stanley Capital, Inc. | ||||||
| 3,200,000 | 5.406%, 3/15/2044 | 2,981,744 | ||||
Wachovia Bank Commercial Mortgage Trust | ||||||
| 7,500,000 | 0.398%, 9/15/2021b,e | 6,674,280 | ||||
WaMu Commercial Mortgage Securities Trust | ||||||
| 44,044 | 3.830%, 1/25/2035d | 44,177 | ||||
|
| |||||
| Total Commercial Mortgage- Backed Securities | 34,339,476 | |||||
|
| |||||
| Communications Services (8.5%) | ||||||
Alltel Corporation | ||||||
| 3,875,000 | 7.000%, 3/15/2016 | 4,593,045 | ||||
America Movil SAB de CV | ||||||
| 1,290,000 | 2.375%, 9/8/2016 | 1,286,406 | ||||
| 3,800,000 | 5.000%, 3/30/2020 | 4,198,134 | ||||
American Tower Corporation | ||||||
| 2,200,000 | 4.625%, 4/1/2015 | 2,293,086 | ||||
| 1,250,000 | 4.500%, 1/15/2018 | 1,271,579 | ||||
AT&T, Inc. | ||||||
| 5,100,000 | 4.450%, 5/15/2021 | 5,602,166 | ||||
| 2,255,000 | 5.550%, 8/15/2041 | 2,655,075 | ||||
Cablevision Systems Corporation | ||||||
| 1,300,000 | 8.625%, 9/15/2017 | 1,439,750 | ||||
| 2,000,000 | 8.000%, 4/15/2020 | 2,145,000 | ||||
CBS Corporation | ||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,210,980 | ||||
| 1,300,000 | 7.875%, 9/1/2023 | 1,622,725 | ||||
CCO Holdings, LLC | ||||||
| 1,880,000 | 7.250%, 10/30/2017 | 1,981,050 | ||||
| 1,280,000 | 7.000%, 1/15/2019 | 1,334,400 | ||||
Cellco Partnership/Verizon Wireless Capital, LLC | ||||||
| 2,600,000 | 8.500%, 11/15/2018 | 3,509,220 | ||||
CenturyLink, Inc. | ||||||
| 2,520,000 | 5.150%, 6/15/2017 | 2,497,779 | ||||
Clear Channel Worldwide Holdings, Inc. | ||||||
| 1,880,000 | 9.250%, 12/15/2017 | 2,030,400 | ||||
Comcast Corporation | ||||||
| 1,900,000 | 6.300%, 11/15/2017 | 2,247,316 | ||||
| 2,900,000 | 5.700%, 5/15/2018 | 3,337,201 | ||||
| 2,700,000 | 6.400%, 5/15/2038 | 3,243,869 | ||||
Cox Communications, Inc. | ||||||
| 1,900,000 | 9.375%, 1/15/2019d | 2,570,105 | ||||
| 2,500,000 | 8.375%, 3/1/2039d | 3,347,398 | ||||
Crown Castle Towers, LLC | ||||||
| 5,050,000 | 4.174%, 8/15/2017d | 5,171,942 | ||||
CSC Holdings, Inc. | ||||||
| 1,290,000 | 7.625%, 7/15/2018 | 1,419,000 | ||||
DIRECTV Holdings, LLC/DIRECTV Financing Company, Inc. | ||||||
| 3,875,000 | 5.000%, 3/1/2021 | 4,147,099 | ||||
Discovery Communications, LLC | ||||||
| 1,920,000 | 4.375%, 6/15/2021 | 2,026,737 | ||||
Dish DBS Corporation | ||||||
| 1,945,000 | 6.750%, 6/1/2021 | 2,095,737 | ||||
EH Holding Corporation | ||||||
| 3,220,000 | 6.500%, 6/15/2019d | 3,356,850 | ||||
Embarq Corporation | ||||||
| 2,600,000 | 7.082%, 6/1/2016 | 2,818,260 | ||||
Intelsat Jackson Holdings SA | ||||||
| 1,900,000 | 7.500%, 4/1/2021d | 1,921,375 | ||||
NBCUniversal Media, LLC | ||||||
| 3,750,000 | 5.150%, 4/30/2020 | 4,175,156 | ||||
News America, Inc. | ||||||
| 1,900,000 | 7.625%, 11/30/2028 | 2,294,784 | ||||
| 2,140,000 | 6.400%, 12/15/2035 | 2,344,995 | ||||
NII Capital Corporation | ||||||
| 1,900,000 | 8.875%, 12/15/2019 | 1,999,750 | ||||
Qwest Communications International, Inc. | ||||||
| 3,180,000 | 7.125%, 4/1/2018 | 3,307,200 | ||||
Qwest Corporation | ||||||
| 600,000 | 8.375%, 5/1/2016 | 687,224 | ||||
| 3,200,000 | 6.500%, 6/1/2017 | 3,496,000 | ||||
Rogers Communications, Inc. | ||||||
| 2,410,000 | 8.750%, 5/1/2032 | 3,264,786 | ||||
SBA Tower Trust | ||||||
| 3,500,000 | 5.101%, 4/15/2017d | 3,644,375 | ||||
Telefonica SA | ||||||
| 1,280,000 | 5.877%, 7/15/2019 | 1,264,984 | ||||
Telemar Norte Leste SA | ||||||
| 3,800,000 | 5.500%, 10/23/2020d | 3,743,000 | ||||
Time Warner Cable, Inc. | ||||||
| 2,500,000 | 8.250%, 4/1/2019 | 3,140,030 | ||||
| 2,550,000 | 6.750%, 6/15/2039 | 3,013,381 | ||||
Time Warner Entertainment Company, LP | ||||||
| 1,850,000 | 8.375%, 3/15/2023 | 2,409,444 | ||||
Verizon Communications, Inc. | ||||||
| 2,600,000 | 3.500%, 11/1/2021 | 2,706,917 | ||||
Virgin Media Finance plc | ||||||
| 2,520,000 | 9.500%, 8/15/2016 | 2,828,700 | ||||
|
| |||||
| Total Communications Services | 123,694,410 | |||||
|
| |||||
| Consumer Cyclical (5.3%) | ||||||
American Honda Finance Corporation | ||||||
| 4,400,000 | 3.875%, 9/21/2020d | 4,548,579 | ||||
Chrysler Group, LLC | ||||||
| 1,290,000 | 8.000%, 6/15/2019d,f | 1,180,350 | ||||
Daimler Finance North America, LLC | ||||||
| 2,260,000 | 3.875%, 9/15/2021d | 2,271,169 | ||||
FireKeepers Development Authority | ||||||
| 1,240,000 | 13.875%, 5/1/2015d | 1,407,400 | ||||
Ford Motor Credit Company, LLC | ||||||
| 2,130,000 | 8.000%, 6/1/2014f | 2,318,435 | ||||
| 2,600,000 | 3.875%, 1/15/2015 | 2,590,297 | ||||
| 1,930,000 | 7.000%, 4/15/2015 | 2,074,750 | ||||
| 630,000 | 6.625%, 8/15/2017 | 685,792 | ||||
Home Depot, Inc. | ||||||
| 3,900,000 | 5.875%, 12/16/2036 | 4,894,040 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
284
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Consumer Cyclical (5.3%) - continued | ||||||
Hyatt Hotels Corporation | ||||||
| $ 3,100,000 | 5.750%, 8/15/2015d | $ | 3,319,706 | |||
Hyundai Motor Manufacturing Czech | ||||||
| 2,525,000 | 4.500%, 4/15/2015d | 2,585,327 | ||||
Johnson Controls, Inc. | ||||||
| 3,150,000 | 5.250%, 12/1/2041 | 3,339,010 | ||||
KIA Motors Corporation | ||||||
| 3,260,000 | 3.625%, 6/14/2016d,f | 3,231,817 | ||||
Macy’s Retail Holdings, Inc. | ||||||
| 3,570,000 | 8.125%, 7/15/2015 | 4,121,790 | ||||
| 3,210,000 | 7.450%, 7/15/2017 | 3,747,964 | ||||
MGM Resorts International | ||||||
| 1,280,000 | 11.125%, 11/15/2017 | 1,459,200 | ||||
| 1,300,000 | 9.000%, 3/15/2020 | 1,439,750 | ||||
Peninsula Gaming, LLC | ||||||
| 480,000 | 10.750%, 8/15/2017 | 502,800 | ||||
RCI Banque SA | ||||||
| 2,225,000 | 4.600%, 4/12/2016d | 2,117,944 | ||||
Sheraton Holding Corporation | ||||||
| 1,290,000 | 7.375%, 11/15/2015 | 1,457,700 | ||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||
| 1,850,000 | 6.750%, 5/15/2018f | 2,090,500 | ||||
Time Warner, Inc. | ||||||
| 1,300,000 | 4.000%, 1/15/2022 | 1,340,912 | ||||
| 1,600,000 | 7.700%, 5/1/2032 | 2,087,496 | ||||
Toll Brothers Finance Corporation | ||||||
| 2,000,000 | 6.750%, 11/1/2019 | 2,103,442 | ||||
Toys R Us Property Company II, LLC | ||||||
| 1,920,000 | 8.500%, 12/1/2017 | 1,987,200 | ||||
Viacom, Inc. | ||||||
| 2,900,000 | 3.875%, 12/15/2021 | 2,960,520 | ||||
Wal-Mart Stores, Inc. | ||||||
| 5,000,000 | 3.250%, 10/25/2020 | 5,346,590 | ||||
| 4,000,000 | 5.250%, 9/1/2035 | 4,784,756 | ||||
West Corporation | ||||||
| 1,580,000 | 7.875%, 1/15/2019 | 1,568,150 | ||||
Wyndham Worldwide Corporation | ||||||
| 1,885,000 | 6.000%, 12/1/2016 | 2,032,784 | ||||
| 1,270,000 | 5.625%, 3/1/2021 | 1,311,358 | ||||
|
| |||||
| Total Consumer Cyclical | 76,907,528 | |||||
|
| |||||
| Consumer Non-Cyclical (6.7%) | ||||||
Altria Group, Inc. | ||||||
| 1,750,000 | 9.700%, 11/10/2018 | 2,354,473 | ||||
| 1,595,000 | 4.750%, 5/5/2021 | 1,756,156 | ||||
| 2,500,000 | 9.950%, 11/10/2038 | 3,802,455 | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||
| 2,550,000 | 5.375%, 1/15/2020 | 2,990,650 | ||||
| 2,525,000 | 5.000%, 4/15/2020 | 2,894,130 | ||||
Aristotle Holding, Inc. | ||||||
| 4,525,000 | 4.750%, 11/15/2021d | 4,682,339 | ||||
Beam, Inc. | ||||||
| 808,000 | 6.375%, 6/15/2014 | 883,499 | ||||
| 236,000 | 5.375%, 1/15/2016 | 259,121 | ||||
| 1,518,000 | 5.875%, 1/15/2036 | 1,590,456 | ||||
Biomet, Inc. | ||||||
| 2,525,000 | 10.000%, 10/15/2017 | 2,727,000 | ||||
Boston Scientific Corporation | ||||||
| 3,800,000 | 4.500%, 1/15/2015 | 3,987,769 | ||||
Bunge Limited Finance Corporation | ||||||
| 2,220,000 | 5.100%, 7/15/2015 | 2,323,601 | ||||
| 1,600,000 | 4.100%, 3/15/2016 | 1,656,840 | ||||
Cargill, Inc. | ||||||
| 1,950,000 | 3.250%, 11/15/2021d | 1,962,568 | ||||
Celgene Corporation | ||||||
| 2,500,000 | 3.950%, 10/15/2020 | 2,517,805 | ||||
Community Health Systems, Inc. | ||||||
| 1,975,000 | 8.875%, 7/15/2015f | 2,039,187 | ||||
| 1,940,000 | 8.000%, 11/15/2019d,f | 1,959,400 | ||||
DJO Finance, LLC/DJO Finance Corporation | ||||||
| 640,000 | 7.750%, 4/15/2018 | 491,200 | ||||
Endo Pharmaceuticals Holdings, Inc. | ||||||
| 1,420,000 | 7.000%, 7/15/2019 | 1,512,300 | ||||
Energizer Holdings, Inc. | ||||||
| 1,750,000 | 4.700%, 5/19/2021d | 1,841,693 | ||||
Express Scripts, Inc. | ||||||
| 2,235,000 | 3.125%, 5/15/2016 | 2,247,389 | ||||
Fresenius Medical Care US Finance, Inc. | ||||||
| 1,290,000 | 6.500%, 9/15/2018d | 1,351,275 | ||||
Gilead Sciences, Inc. | ||||||
| 810,000 | 3.050%, 12/1/2016 | 829,023 | ||||
| 875,000 | 4.400%, 12/1/2021 | 926,356 | ||||
Hasbro, Inc. | ||||||
| 3,250,000 | 6.350%, 3/15/2040 | 3,513,507 | ||||
HCA, Inc. | ||||||
| 2,490,000 | 8.500%, 4/15/2019 | 2,726,550 | ||||
| 1,270,000 | 7.250%, 9/15/2020 | 1,339,850 | ||||
| 320,000 | 7.500%, 2/15/2022 | 327,200 | ||||
Hershey Company | ||||||
| 1,600,000 | 4.125%, 12/1/2020 | 1,789,777 | ||||
JBS Finance II, Ltd. | ||||||
| 1,250,000 | 8.250%, 1/29/2018e | 1,134,375 | ||||
Kinetic Concepts, Inc./KCI USA, Inc. | ||||||
| 1,940,000 | 10.500%, 11/1/2018d | 1,901,200 | ||||
Kraft Foods, Inc. | ||||||
| 2,600,000 | 6.125%, 2/1/2018 | 3,047,621 | ||||
| 3,200,000 | 5.375%, 2/10/2020 | 3,692,323 | ||||
Life Technologies Corporation | ||||||
| 3,700,000 | 6.000%, 3/1/2020 | 4,136,008 | ||||
Mylan, Inc. | ||||||
| 3,855,000 | 7.875%, 7/15/2020d | 4,254,956 | ||||
Philip Morris International, Inc. | ||||||
| 4,525,000 | 2.900%, 11/15/2021 | 4,613,459 | ||||
Roche Holdings, Inc. | ||||||
| 3,210,000 | 6.000%, 3/1/2019d | 3,901,476 | ||||
Safeway, Inc. | ||||||
| 1,575,000 | 3.400%, 12/1/2016 | 1,615,268 | ||||
Tenet Healthcare Corporation | ||||||
| 2,070,000 | 8.875%, 7/1/2019 | 2,323,575 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
285
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Consumer Non-Cyclical (6.7%) - continued | ||||||
Teva Pharmaceutical Finance IV BV | ||||||
| $ 4,225,000 | 3.650%, 11/10/2021 | $ | 4,297,395 | |||
Tyson Foods, Inc. | ||||||
| 3,940,000 | 6.850%, 4/1/2016 | 4,324,150 | ||||
|
| |||||
| Total Consumer Non-Cyclical | 98,525,375 | |||||
|
| |||||
| Energy (10.9%) | ||||||
Anadarko Petroleum Corporation | ||||||
| 3,400,000 | 6.375%, 9/15/2017 | 3,941,056 | ||||
| 1,940,000 | 6.450%, 9/15/2036 | 2,211,796 | ||||
BG Energy Capital plc | ||||||
| 1,575,000 | 4.000%, 10/15/2021d | 1,623,460 | ||||
BP Capital Markets plc | ||||||
| 3,250,000 | 2.248%, 11/1/2016 | 3,270,725 | ||||
| 3,525,000 | 4.500%, 10/1/2020 | 3,882,333 | ||||
| 1,900,000 | 4.742%, 3/11/2021 | 2,152,043 | ||||
Canadian Natural Resources, Ltd. | ||||||
| 2,275,000 | 3.450%, 11/15/2021 | 2,371,089 | ||||
CenterPoint Energy Resources Corporation | ||||||
| 6,850,000 | 6.125%, 11/1/2017 | 7,852,655 | ||||
Chesapeake Energy Corporation | ||||||
| 1,940,000 | 9.500%, 2/15/2015 | 2,221,300 | ||||
CNPC HK Overseas Capital, Ltd. | ||||||
| 2,870,000 | 5.950%, 4/28/2041d | 3,183,892 | ||||
Concho Resources, Inc. | ||||||
| 1,280,000 | 6.500%, 1/15/2022 | 1,337,600 | ||||
Devon Energy Corporation | ||||||
| 3,840,000 | 5.600%, 7/15/2041 | 4,616,939 | ||||
El Paso Pipeline Partners Operating Company, LLC | ||||||
| 1,290,000 | 5.000%, 10/1/2021 | 1,327,686 | ||||
Enbridge Energy Partners, LP | ||||||
| 950,000 | 5.200%, 3/15/2020 | 1,055,379 | ||||
| 3,800,000 | 8.050%, 10/1/2037f | 4,015,088 | ||||
Energy Transfer Partners, LP | ||||||
| 5,120,000 | 6.700%, 7/1/2018 | 5,680,256 | ||||
| 3,500,000 | 4.650%, 6/1/2021 | 3,428,586 | ||||
Enterprise Products Operating, LLC | ||||||
| 2,600,000 | 7.034%, 1/15/2068 | 2,704,000 | ||||
| 4,000,000 | 6.300%, 9/15/2017 | 4,684,512 | ||||
EQT Corporation | ||||||
| 1,300,000 | 8.125%, 6/1/2019 | 1,524,860 | ||||
Gazprom OAO Via Gaz Capital SA | ||||||
| 3,250,000 | 4.950%, 5/23/2016d | 3,254,062 | ||||
Harvest Operations Corporation | ||||||
| 1,300,000 | 6.875%, 10/1/2017d | 1,345,500 | ||||
Inergy, LP | ||||||
| 630,000 | 6.875%, 8/1/2021f | 633,150 | ||||
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 | 1,320,446 | ||||
| 1,250,000 | 5.950%, 2/15/2018 | 1,428,055 | ||||
| 3,100,000 | 5.800%, 3/1/2021 | 3,508,183 | ||||
Linn Energy, LLC | ||||||
| 3,250,000 | 7.750%, 2/1/2021 | 3,380,000 | ||||
Marathon Oil Corporation | ||||||
| 2,364,000 | 5.900%, 3/15/2018 | 2,767,466 | ||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||
| 1,910,000 | 6.500%, 8/15/2021 | 1,988,787 | ||||
| 1,300,000 | 6.250%, 6/15/2022 | 1,358,500 | ||||
Nabors Industries, Inc. | ||||||
| 2,575,000 | 4.625%, 9/15/2021d | 2,615,440 | ||||
Newfield Exploration Company | ||||||
| 1,290,000 | 6.625%, 4/15/2016 | 1,328,700 | ||||
| 710,000 | 5.750%, 1/30/2022 | 766,800 | ||||
Nexen, Inc. | ||||||
| 1,910,000 | 7.400%, 5/1/2028 | 2,248,693 | ||||
Noble Energy, Inc. | ||||||
| 3,100,000 | 8.250%, 3/1/2019 | 4,031,218 | ||||
| 1,270,000 | 6.000%, 3/1/2041 | 1,469,337 | ||||
Odebrecht Drilling Norbe VIII/IX, Ltd. | ||||||
| 1,225,000 | 6.350%, 6/30/2021d | 1,261,750 | ||||
ONEOK Partners, LP | ||||||
| 3,250,000 | 6.850%, 10/15/2037 | 3,946,023 | ||||
Peabody Energy Corporation | ||||||
| 810,000 | 6.000%, 11/15/2018d | 826,200 | ||||
Petrobras International Finance Company | ||||||
| 2,050,000 | 5.750%, 1/20/2020 | 2,193,746 | ||||
| 3,175,000 | 5.375%, 1/27/2021 | 3,335,658 | ||||
Pioneer Natural Resources Company | ||||||
| 2,500,000 | 6.875%, 5/1/2018 | 2,827,440 | ||||
Plains All American Pipeline, LP | ||||||
| 3,150,000 | 6.500%, 5/1/2018 | 3,663,778 | ||||
Plains Exploration & Production Company | ||||||
| 1,870,000 | 8.625%, 10/15/2019 | 2,054,662 | ||||
Rowan Companies, Inc. | ||||||
| 4,450,000 | 5.000%, 9/1/2017 | 4,675,873 | ||||
SandRidge Energy, Inc. | ||||||
| 950,000 | 7.500%, 3/15/2021 | 942,875 | ||||
Schlumberger Investment SA | ||||||
| 1,935,000 | 3.300%, 9/14/2021d | 1,987,897 | ||||
Southwestern Energy Company | ||||||
| 2,000,000 | 7.500%, 2/1/2018 | 2,305,000 | ||||
Spectra Energy Partners, LP | ||||||
| 3,200,000 | 4.600%, 6/15/2021 | 3,343,859 | ||||
Statoil ASA | ||||||
| 2,600,000 | 3.150%, 1/23/2022 | 2,673,975 | ||||
Suncor Energy, Inc. | ||||||
| 4,710,000 | 6.100%, 6/1/2018 | 5,575,528 | ||||
Transocean, Inc. | ||||||
| 2,200,000 | 5.050%, 12/15/2016 | 2,246,363 | ||||
| 1,920,000 | 7.375%, 4/15/2018 | 2,066,285 | ||||
Valero Energy Corporation | ||||||
| 3,125,000 | 6.125%, 2/1/2020 | 3,476,022 | ||||
Weatherford International, Inc. | ||||||
| 2,245,000 | 6.350%, 6/15/2017 | 2,508,092 | ||||
Weatherford International, Ltd. | ||||||
| 4,500,000 | 6.000%, 3/15/2018 | 5,006,857 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
286
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Energy (10.9%) - continued | ||||||
Woodside Finance, Ltd. | ||||||
| $ 3,125,000 | 4.500%, 11/10/2014d | $ | 3,290,341 | |||
|
| |||||
| Total Energy | 158,812,816 | |||||
|
| |||||
| Financials (25.5%) | ||||||
Abbey National Capital Trust I | ||||||
| 3,090,000 | 8.963%, 12/29/2049g | 2,781,000 | ||||
Aegon NV | ||||||
| 2,600,000 | 2.397%, 7/29/2049b,g | 1,121,900 | ||||
Ally Financial, Inc. | ||||||
| 1,900,000 | 4.500%, 2/11/2014 | 1,833,500 | ||||
| 1,570,000 | 7.500%, 9/15/2020 | 1,585,700 | ||||
American Express Credit Corporation | ||||||
| 5,175,000 | 2.800%, 9/19/2016 | 5,200,358 | ||||
American International Group, Inc. | ||||||
| 3,225,000 | 4.250%, 9/15/2014 | 3,131,888 | ||||
| 3,000,000 | 6.400%, 12/15/2020 | 3,027,690 | ||||
Associated Banc Corporation | ||||||
| 3,180,000 | 5.125%, 3/28/2016 | 3,277,658 | ||||
Associates Corporation of North America | ||||||
| 3,800,000 | 6.950%, 11/1/2018 | 4,129,205 | ||||
AXA SA | ||||||
| 3,900,000 | 6.463%, 12/14/2018d,g | 2,476,500 | ||||
Axis Specialty Finance, LLC | ||||||
| 3,250,000 | 5.875%, 6/1/2020 | 3,341,328 | ||||
Banco do Brasil SA | ||||||
| 2,555,000 | 5.875%, 1/26/2022d | 2,557,555 | ||||
Bank of America Corporation | ||||||
| 3,200,000 | 6.500%, 8/1/2016 | 3,222,624 | ||||
| 2,580,000 | 5.625%, 10/14/2016 | 2,475,200 | ||||
| 3,300,000 | 5.750%, 12/1/2017 | 3,116,919 | ||||
| 3,880,000 | 7.625%, 6/1/2019 | 4,012,762 | ||||
| 2,560,000 | 5.875%, 1/5/2021 | 2,436,677 | ||||
Bank of Nova Scotia | ||||||
| 3,855,000 | 2.150%, 8/3/2016d | 3,882,185 | ||||
Barclays Bank plc | ||||||
| 5,000,000 | 2.500%, 9/21/2015d,f | 4,932,320 | ||||
BBVA International Preferred SA Unipersonal | ||||||
| 3,150,000 | 5.919%, 12/29/2049f,g | 2,085,398 | ||||
Bear Stearns Companies, LLC | ||||||
| 2,100,000 | 4.650%, 7/2/2018 | 2,146,874 | ||||
Berkshire Hathaway, Inc. | ||||||
| 3,215,000 | 3.750%, 8/15/2021 | 3,340,533 | ||||
Blackstone Holdings Finance Company, LLC | ||||||
| 3,140,000 | 5.875%, 3/15/2021d | 3,064,006 | ||||
Boston Properties, LP | ||||||
| 3,750,000 | 5.875%, 10/15/2019 | 4,223,104 | ||||
Capital One Capital V | ||||||
| 1,925,000 | 10.250%, 8/15/2039 | 1,997,188 | ||||
Capital One Financial Corporation | ||||||
| 1,500,000 | 6.150%, 9/1/2016 | 1,560,798 | ||||
| 3,210,000 | 4.750%, 7/15/2021 | 3,303,453 | ||||
CIT Group, Inc. | ||||||
| 950,000 | 5.250%, 4/1/2014d | 946,438 | ||||
| 3,304,731 | 7.000%, 5/1/2017 | 3,304,731 | ||||
Citigroup, Inc. | ||||||
| 3,125,000 | 6.010%, 1/15/2015 | 3,264,703 | ||||
| 4,800,000 | 4.750%, 5/19/2015 | 4,861,243 | ||||
| 2,700,000 | 6.125%, 5/15/2018 | 2,873,764 | ||||
| 2,550,000 | 8.500%, 5/22/2019 | 3,001,569 | ||||
| 1,940,000 | 6.125%, 8/25/2036 | 1,678,119 | ||||
CME Group Index Services, LLC | ||||||
| 2,600,000 | 4.400%, 3/15/2018d | 2,762,448 | ||||
CNA Financial Corporation | ||||||
| 3,775,000 | 7.350%, 11/15/2019 | 4,207,238 | ||||
| 1,300,000 | 5.875%, 8/15/2020 | 1,335,424 | ||||
CommonWealth REIT | ||||||
| 3,150,000 | 6.250%, 8/15/2016 | 3,339,772 | ||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||
| 1,915,000 | 5.250%, 5/24/2041 | 1,877,225 | ||||
| 1,290,000 | 11.000%, 12/29/2049d,g | 1,509,300 | ||||
Corporacion Andina de Fomento | ||||||
| 1,540,000 | 8.125%, 6/4/2019 | 1,891,587 | ||||
Credit Suisse of New York, Convertible | ||||||
| 1,280,000 | 0.500%, 6/22/2018h | 1,220,864 | ||||
Discover Bank | ||||||
| 1,875,000 | 8.700%, 11/18/2019 | 2,137,847 | ||||
| 2,200,000 | 7.000%, 4/15/2020f | 2,301,790 | ||||
DnB NOR Boligkreditt | ||||||
| 4,400,000 | 2.900%, 3/29/2016d | 4,473,022 | ||||
Eksportfinans ASA | ||||||
| 3,250,000 | 2.375%, 5/25/2016 | 2,632,286 | ||||
Fairfax Financial Holdings, Ltd. | ||||||
| 2,875,000 | 5.800%, 5/15/2021d | 2,740,441 | ||||
Fifth Third Bancorp | ||||||
| 3,210,000 | 0.983%, 12/20/2016b | 2,829,185 | ||||
| 2,800,000 | 5.450%, 1/15/2017 | 2,952,258 | ||||
Fifth Third Capital Trust IV | ||||||
| 1,950,000 | 6.500%, 4/15/2067 | 1,911,000 | ||||
FUEL Trust | ||||||
| 1,275,000 | 4.207%, 4/15/2016d | 1,285,824 | ||||
| 3,200,000 | 3.984%, 6/15/2016d | 3,199,568 | ||||
GE Capital Trust I | ||||||
| 4,500,000 | 6.375%, 11/15/2067 | 4,421,250 | ||||
General Electric Capital Corporation | ||||||
| 1,900,000 | 6.000%, 8/7/2019 | 2,182,393 | ||||
| 2,500,000 | 4.375%, 9/16/2020 | 2,554,713 | ||||
| 1,600,000 | 5.300%, 2/11/2021 | 1,710,323 | ||||
| 1,550,000 | 6.750%, 3/15/2032 | 1,814,959 | ||||
Goldman Sachs Group, Inc. | ||||||
| 3,250,000 | 6.250%, 9/1/2017 | 3,397,670 | ||||
| 2,850,000 | 5.950%, 1/18/2018 | 2,919,030 | ||||
| 3,250,000 | 5.250%, 7/27/2021 | 3,170,505 | ||||
| 1,260,000 | 6.750%, 10/1/2037 | 1,172,446 | ||||
Health Care Property Investors, Inc. | ||||||
| 3,100,000 | 5.625%, 5/1/2017 | 3,287,680 | ||||
Health Care REIT, Inc. | ||||||
| 3,200,000 | 6.125%, 4/15/2020 | 3,315,565 | ||||
| 3,150,000 | 4.950%, 1/15/2021 | 3,012,156 | ||||
HSBC USA, Inc. | ||||||
| 1,900,000 | 5.000%, 9/27/2020 | 1,795,513 | ||||
Huntington Bancshares, Inc. | ||||||
| 2,850,000 | 7.000%, 12/15/2020 | 3,229,996 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
287
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Financials (25.5%) - continued | ||||||
Hutchinson Whampoa Finance, Ltd. | ||||||
| $ 2,550,000 | 6.000%, 12/29/2049d,g | $ | 2,537,250 | |||
Icahn Enterprises, LP | ||||||
| 1,290,000 | 7.750%, 1/15/2016 | 1,338,375 | ||||
ING Bank NV | ||||||
| 3,150,000 | 2.500%, 1/14/2016d | 3,093,231 | ||||
International Lease Finance Corporation | ||||||
| 1,600,000 | 5.750%, 5/15/2016 | 1,484,067 | ||||
| 3,125,000 | 6.750%, 9/1/2016d | 3,203,125 | ||||
J.P. Morgan Chase & Company | ||||||
| 1,600,000 | 3.150%, 7/5/2016 | 1,607,488 | ||||
| 3,150,000 | 5.500%, 10/15/2040 | 3,264,058 | ||||
| 3,200,000 | 7.900%, 4/29/2049g | 3,407,008 | ||||
J.P. Morgan Chase Bank NA | ||||||
| 3,215,000 | 5.875%, 6/13/2016 | 3,480,022 | ||||
J.P. Morgan Chase Capital XXV | ||||||
| 3,100,000 | 6.800%, 10/1/2037 | 3,111,625 | ||||
KeyCorp | ||||||
| 4,575,000 | 5.100%, 3/24/2021 | 4,750,955 | ||||
Kilroy Realty, LP | ||||||
| 2,565,000 | 4.800%, 7/15/2018 | 2,533,438 | ||||
LBG Capital No. 1 plc | ||||||
| 1,900,000 | 7.875%, 11/1/2020d | 1,440,200 | ||||
Liberty Property, LP | ||||||
| 2,840,000 | 5.500%, 12/15/2016 | 3,070,713 | ||||
| 1,875,000 | 4.750%, 10/1/2020 | 1,905,328 | ||||
Marsh & McLennan Companies, Inc. | ||||||
| 1,925,000 | 4.800%, 7/15/2021 | 2,107,041 | ||||
Merrill Lynch & Company, Inc. | ||||||
| 3,050,000 | 6.875%, 4/25/2018 | 3,007,114 | ||||
| 3,000,000 | 7.750%, 5/14/2038 | 2,850,366 | ||||
MetLife Capital Trust IV | ||||||
| 700,000 | 7.875%, 12/15/2037d | 726,250 | ||||
MetLife Capital Trust X | ||||||
| 2,250,000 | 9.250%, 4/8/2038d | 2,570,625 | ||||
Morgan Stanley | ||||||
| 3,125,000 | 4.200%, 11/20/2014 | 3,013,878 | ||||
| 2,580,000 | 5.375%, 10/15/2015 | 2,520,993 | ||||
| 3,730,000 | 6.625%, 4/1/2018 | 3,683,162 | ||||
| 1,900,000 | 5.625%, 9/23/2019 | 1,759,550 | ||||
| 4,700,000 | 5.500%, 1/26/2020 | 4,278,293 | ||||
MUFG Capital Finance 1, Ltd. | ||||||
| 3,230,000 | 6.346%, 7/29/2049g | 3,280,520 | ||||
National Bank of Canada | ||||||
| 3,890,000 | 2.200%, 10/19/2016d | 3,922,205 | ||||
National City Bank | ||||||
| 5,050,000 | 5.800%, 6/7/2017 | 5,559,484 | ||||
Nationwide Building Society | ||||||
| 2,400,000 | 6.250%, 2/25/2020d | 2,381,234 | ||||
Nordea Bank AB | ||||||
| 3,170,000 | 4.875%, 5/13/2021d | 2,679,309 | ||||
ORIX Corporation | ||||||
| 4,450,000 | 5.000%, 1/12/2016 | 4,674,850 | ||||
PNC Financial Services Group, Inc. | �� | |||||
| 3,210,000 | 6.750%, 7/29/2049f,g | 3,139,155 | ||||
Preferred Term Securities XXIII, Ltd. | ||||||
| 4,688,188 | 0.746%, 12/22/2036b,e | 1,875,275 | ||||
ProLogis, LP | ||||||
| 2,550,000 | 6.250%, 3/15/2017 | $ | 2,754,798 | |||
| 1,930,000 | 6.875%, 3/15/2020 | 2,142,927 | ||||
Prudential Financial, Inc. | ||||||
| 1,250,000 | 6.200%, 1/15/2015 | 1,365,944 | ||||
| 3,125,000 | 5.375%, 6/21/2020 | 3,344,472 | ||||
| 1,120,000 | 5.700%, 12/14/2036 | 1,111,998 | ||||
| 1,425,000 | 6.200%, 11/15/2040 | 1,491,127 | ||||
QBE Capital Funding III, Ltd. | ||||||
| 2,240,000 | 7.250%, 5/24/2041d | 1,972,405 | ||||
Rabobank Capital Funding Trust II | ||||||
| 2,126,000 | 5.260%, 12/29/2049d,g | 1,994,715 | ||||
Regions Bank | ||||||
| 1,930,000 | 7.500%, 5/15/2018 | 1,910,700 | ||||
Regions Financial Corporation | ||||||
| 3,175,000 | 5.750%, 6/15/2015 | 3,032,125 | ||||
Reinsurance Group of America, Inc. | ||||||
| 3,785,000 | 5.625%, 3/15/2017 | 4,119,310 | ||||
Royal Bank of Scotland plc | ||||||
| 2,500,000 | 4.875%, 3/16/2015 | 2,390,455 | ||||
Simon Property Group, LP | ||||||
| 2,280,000 | 5.750%, 12/1/2015 | 2,550,791 | ||||
| 1,250,000 | 10.350%, 4/1/2019 | 1,715,875 | ||||
| 2,000,000 | 5.650%, 2/1/2020 | 2,292,116 | ||||
SLM Corporation | ||||||
| 3,200,000 | 5.000%, 10/1/2013 | 3,200,000 | ||||
| 3,300,000 | 5.375%, 5/15/2014 | 3,302,313 | ||||
| 3,670,000 | 6.250%, 1/25/2016 | 3,568,998 | ||||
SSIF Nevada, LP | ||||||
| 3,250,000 | 1.101%, 4/14/2014b,d | 3,198,458 | ||||
SunTrust Banks, Inc. | ||||||
| 3,170,000 | 3.600%, 4/15/2016 | 3,228,128 | ||||
Swiss RE Capital I, LP | ||||||
| 4,200,000 | 6.854%, 5/29/2049d,g | 3,569,404 | ||||
TD Ameritrade Holding Corporation | ||||||
| 3,775,000 | 5.600%, 12/1/2019 | 4,081,711 | ||||
U.S. Bank National Association | ||||||
| 3,200,000 | 3.778%, 4/29/2020 | 3,295,235 | ||||
UnitedHealth Group, Inc. | ||||||
| 2,500,000 | 6.500%, 6/15/2037 | 3,179,588 | ||||
Unum Group | ||||||
| 2,500,000 | 7.125%, 9/30/2016 | 2,852,768 | ||||
Ventas Realty, LP | ||||||
| 3,200,000 | 4.750%, 6/1/2021 | 3,088,467 | ||||
Wachovia Bank NA | ||||||
| 2,025,000 | 4.875%, 2/1/2015 | 2,145,603 | ||||
Wachovia Corporation | ||||||
| 2,500,000 | 5.250%, 8/1/2014 | 2,636,933 | ||||
WEA Finance, LLC | ||||||
| 1,500,000 | 7.125%, 4/15/2018d | 1,676,435 | ||||
WellPoint, Inc. | ||||||
| 3,215,000 | 3.700%, 8/15/2021 | 3,304,023 | ||||
Wells Fargo & Company | ||||||
| 2,520,000 | 2.625%, 12/15/2016 | 2,518,463 | ||||
| 3,815,000 | 4.600%, 4/1/2021 | 4,183,842 | ||||
Willis North America, Inc. | ||||||
| 3,500,000 | 6.200%, 3/28/2017 | 3,848,299 | ||||
| 1,900,000 | 7.000%, 9/29/2019 | 2,115,017 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
288
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| Financials (25.5%) - continued | ||||||
ZFS Finance USA Trust II | ||||||
| $ 2,500,000 | 6.450%, 12/15/2065d,f | $ | 2,275,000 | |||
|
| |||||
| Total Financials | 372,500,798 | |||||
|
| |||||
| Foreign Government (4.7%) | ||||||
Brazil Government International Bond | ||||||
| 1,930,000 | 4.875%, 1/22/2021 | 2,156,775 | ||||
Chile Government International Bond | ||||||
| 4,520,000 | 3.250%, 9/14/2021 | 4,644,300 | ||||
Export-Import Bank of Korea | ||||||
| 2,580,000 | 4.375%, 9/15/2021f | 2,550,141 | ||||
Finland Government International Bond | ||||||
| 5,100,000 | 2.250%, 3/17/2016d | 5,332,055 | ||||
Hydro Quebec | ||||||
| 3,200,000 | 2.000%, 6/30/2016 | 3,266,685 | ||||
Korea Development Bank | ||||||
| 2,500,000 | 4.375%, 8/10/2015 | 2,573,590 | ||||
Mexico Government International Bond | ||||||
| 3,150,000 | 5.125%, 1/15/2020 | 3,598,875 | ||||
| 2,230,000 | 6.050%, 1/11/2040 | 2,726,175 | ||||
Province of British Columbia | ||||||
| 3,830,000 | 2.100%, 5/18/2016 | 3,985,031 | ||||
| 3,250,000 | 2.650%, 9/22/2021 | 3,344,250 | ||||
Province of New Brunswick | ||||||
| 3,850,000 | 2.750%, 6/15/2018 | 4,024,536 | ||||
Province of Ontario | ||||||
| 10,500,000 | 2.300%, 5/10/2016 | 10,812,931 | ||||
| 3,230,000 | 1.600%, 9/21/2016 | 3,220,055 | ||||
| 8,680,000 | 3.000%, 7/16/2018 | 9,129,051 | ||||
Province of Quebec | ||||||
| 3,230,000 | 5.125%, 11/14/2016 | 3,756,613 | ||||
| 4,507,000 | 2.750%, 8/25/2021 | 4,501,984 | ||||
|
| |||||
| Total Foreign Government | 69,623,047 | |||||
|
| |||||
| Mortgage-Backed Securities (6.0%) | ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||
| 13,000,000 | 3.000%, 1/1/2027i | 13,418,444 | ||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||
| 11,375,000 | 3.000%, 1/1/2027i | 11,746,462 | ||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||
| 27,485,000 | 4.500%, 1/1/2042i | 29,245,772 | ||||
| 19,675,000 | 5.000%, 1/1/2042i | 21,255,158 | ||||
| 11,400,000 | 6.000%, 1/1/2042i | 12,552,472 | ||||
|
| |||||
| Total Mortgage-Backed Securities | 88,218,308 | |||||
|
| |||||
| Technology (1.5%) | ||||||
Amkor Technology, Inc. | ||||||
| 3,190,000 | 6.625%, 6/1/2021 | 3,070,375 | ||||
CA, Inc. | ||||||
| 3,075,000 | 5.375%, 12/1/2019 | 3,354,112 | ||||
Equinix, Inc. | ||||||
| 1,800,000 | 8.125%, 3/1/2018 | 1,962,000 | ||||
| 640,000 | 7.000%, 7/15/2021 | 675,200 | ||||
Hewlett-Packard Company | ||||||
| 3,200,000 | 2.650%, 6/1/2016 | 3,175,190 | ||||
| 1,300,000 | 4.650%, 12/9/2021 | 1,371,604 | ||||
Seagate HDD Cayman | ||||||
| 1,260,000 | 7.750%, 12/15/2018d | 1,340,325 | ||||
Texas Instruments, Inc. | ||||||
| 5,000,000 | 2.375%, 5/16/2016 | 5,208,355 | ||||
Xerox Corporation | ||||||
| 1,250,000 | 6.400%, 3/15/2016 | 1,398,670 | ||||
| 950,000 | 5.625%, 12/15/2019 | 1,037,762 | ||||
|
| |||||
| Total Technology | 22,593,593 | |||||
|
| |||||
| Transportation (2.2%) | ||||||
American Airlines Pass Through Trust | ||||||
| 1,783,373 | 10.375%, 7/2/2019 | 1,897,062 | ||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | ||||||
| 1,300,000 | 8.250%, 1/15/2019 | 1,290,250 | ||||
Burlington Northern Santa Fe, LLC | ||||||
| 3,200,000 | 5.400%, 6/1/2041 | 3,699,245 | ||||
Continental Airlines, Inc. | ||||||
| 2,200,000 | 6.750%, 9/15/2015d | 2,095,500 | ||||
| 1,042,716 | 7.250%, 11/10/2019 | 1,111,796 | ||||
CSX Corporation | ||||||
| 1,293,000 | 7.900%, 5/1/2017 | 1,610,662 | ||||
| 1,280,000 | 4.250%, 6/1/2021 | 1,367,690 | ||||
| 1,807,000 | 6.220%, 4/30/2040 | 2,213,555 | ||||
Delta Air Lines, Inc. | ||||||
| 2,478,366 | 4.950%, 11/23/2019f | 2,524,836 | ||||
ERAC USA Finance, LLC | ||||||
| 3,450,000 | 5.250%, 10/1/2020d | 3,719,600 | ||||
| 1,915,000 | 4.500%, 8/16/2021d | 1,964,108 | ||||
Kansas City Southern de Mexico SA de CV | ||||||
| 480,000 | 6.125%, 6/15/2021 | 493,200 | ||||
Navios Maritime Holdings, Inc. | ||||||
| 1,510,000 | 8.875%, 11/1/2017f | 1,438,275 | ||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. | ||||||
| 480,000 | 9.250%, 4/15/2019d | 384,000 | ||||
Railamerica, Inc. | ||||||
| 1,940,000 | 9.250%, 7/1/2017 | 2,119,450 | ||||
Union Pacific Corporation | ||||||
| 1,920,000 | 4.750%, 9/15/2041 | 2,091,752 | ||||
US Airways Group, Inc. | ||||||
| 2,128,990 | 6.250%, 4/22/2023 | 1,966,655 | ||||
|
| |||||
| Total Transportation | 31,987,636 | |||||
|
| |||||
| U.S. Government and Agencies (6.4%) | ||||||
U.S. Treasury Bonds | ||||||
| 1,500,000 | 4.375%, 5/15/2041 | 1,954,453 | ||||
U.S. Treasury Bonds, TIPS | ||||||
| 6,500,668 | 0.625%, 7/15/2021 | 6,953,709 | ||||
U.S. Treasury Notes | ||||||
| 3,400,000 | 1.500%, 6/30/2016 | 3,516,079 | ||||
| 6,500,000 | 1.000%, 8/31/2016 | 6,571,097 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
289
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (96.0%) | Value | ||||
| U.S. Government and Agencies (6.4%) - continued | ||||||
| $ 8,400,000 | 1.000%, 10/31/2016 | $ | 8,481,379 | |||
| 4,520,000 | 0.875%, 12/31/2016 | 4,528,122 | ||||
| 3,000,000 | 3.000%, 2/28/2017 | 3,317,814 | ||||
| 3,190,000 | 2.875%, 3/31/2018 | 3,522,956 | ||||
| 7,110,000 | 2.375%, 6/30/2018 | 7,618,806 | ||||
| 5,160,000 | 3.625%, 2/15/2020 | 5,984,393 | ||||
| 9,500,000 | 3.500%, 5/15/2020 | 10,928,715 | ||||
| 7,020,000 | 2.625%, 11/15/2020 | 7,557,465 | ||||
| 7,605,000 | 3.125%, 5/15/2021 | 8,491,454 | ||||
| 7,470,000 | 2.125%, 8/15/2021 | 7,661,419 | ||||
| 2,000,000 | 3.875%, 8/15/2040 | 2,397,500 | ||||
U.S. Treasury Notes, TIPS | ||||||
| 3,980,569 | 0.125%, 4/15/2016 | 4,149,461 | ||||
|
| |||||
| Total U.S. Government and Agencies | 93,634,822 | |||||
|
| |||||
| U.S. Municipals (0.5%) | ||||||
California General Obligation Bonds (Build America Bonds) | ||||||
| 1,280,000 | 7.950%, 3/1/2036 | 1,447,398 | ||||
Denver, Colorado City & County Airport Revenue Bonds | ||||||
| 2,550,000 | 5.250%, 11/15/2022 | 2,903,354 | ||||
Illinois State General Obligation Bonds | ||||||
| 3,175,000 | 5.877%, 3/1/2019 | 3,418,427 | ||||
|
| |||||
| Total U.S. Municipals | 7,769,179 | |||||
|
| |||||
| Utilities (4.8%) | ||||||
AES Corporation | ||||||
| 1,565,000 | 7.750%, 10/15/2015 | 1,701,938 | ||||
| 740,000 | 7.375%, 7/1/2021d,f | 797,350 | ||||
Ameren Illinois Company | ||||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,745,539 | ||||
Cleveland Electric Illuminating Company | ||||||
| 1,775,000 | 5.700%, 4/1/2017 | 1,952,571 | ||||
Columbus Southern Power Company | ||||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,822,827 | ||||
Comision Federal de Electricidad | ||||||
| 1,125,000 | 4.875%, 5/26/2021d | 1,158,750 | ||||
Commonwealth Edison Company | ||||||
| 1,500,000 | 6.150%, 9/15/2017 | 1,781,268 | ||||
Dolphin Subsidiary II, Inc. | ||||||
| 3,230,000 | 6.500%, 10/15/2016d | 3,439,950 | ||||
Dominion Resources, Inc. | ||||||
| 2,540,000 | 2.879%, 9/30/2066b | 2,134,540 | ||||
DTE Energy Company | ||||||
| 2,500,000 | 6.375%, 4/15/2033 | 3,027,178 | ||||
Exelon Generation Company, LLC | ||||||
| 1,050,000 | 5.200%, 10/1/2019 | 1,153,418 | ||||
| 2,500,000 | 4.000%, 10/1/2020 | 2,569,967 | ||||
Florida Power Corporation | ||||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,712,804 | ||||
ITC Holdings Corporation | ||||||
| 3,000,000 | 5.875%, 9/30/2016d | 3,415,449 | ||||
| 2,600,000 | 6.050%, 1/31/2018d | 3,033,547 | ||||
Nevada Power Company | ||||||
| 2,800,000 | 6.750%, 7/1/2037 | 3,821,535 | ||||
NiSource Finance Corporation | ||||||
| 2,800,000 | 6.400%, 3/15/2018 | 3,219,586 | ||||
| 3,200,000 | 5.450%, 9/15/2020 | 3,544,502 | ||||
NRG Energy, Inc. | ||||||
| 1,930,000 | 7.875%, 5/15/2021d | 1,881,750 | ||||
Ohio Edison Company | ||||||
| 1,550,000 | 6.875%, 7/15/2036 | 1,879,505 | ||||
Ohio Power Company | ||||||
| 2,200,000 | 5.375%, 10/1/2021 | 2,523,609 | ||||
Pennsylvania Electric Company | ||||||
| 3,700,000 | 5.200%, 4/1/2020 | 4,140,293 | ||||
Power Receivables Finance, LLC | ||||||
| 197,093 | 6.290%, 1/1/2012e,f | 197,035 | ||||
PSEG Power, LLC | ||||||
| 3,600,000 | 5.000%, 4/1/2014 | 3,855,013 | ||||
| 1,300,000 | 5.320%, 9/15/2016 | 1,449,989 | ||||
Southern Star Central Corporation | ||||||
| 1,600,000 | 6.750%, 3/1/2016 | 1,628,000 | ||||
Southwestern Public Service Company | ||||||
| 2,770,000 | 6.000%, 10/1/2036 | 3,219,687 | ||||
Union Electric Company | ||||||
| 2,900,000 | 6.400%, 6/15/2017 | 3,466,384 | ||||
|
| |||||
| Total Utilities | 70,273,984 | |||||
|
| |||||
Total Long-Term Fixed Income (cost $1,362,502,405) | 1,403,755,150 | |||||
|
| |||||
Shares | Preferred Stock (0.4%) | |||||
| Financials (0.4%) | ||||||
| 83,918 | Citigroup Capital XII, 8.500% | 2,111,377 | ||||
| 22,000 | Citigroup, Inc., Convertiblej | 1,787,500 | ||||
| 359,990 | Federal National Mortgage Association, 8.250%g,k | 496,786 | ||||
| 81,250 | HSBC Holdings plc, 8.000%g | 2,117,375 | ||||
|
| |||||
| Total Financials | 6,513,038 | |||||
|
| |||||
Total Preferred Stock (cost $13,195,804) | 6,513,038 | |||||
|
| |||||
Common Stock (<0.1%) | ||||||
| Financials (<0.1%) | ||||||
| 17,331 | CIT Group, Inc.k | 604,332 | ||||
|
| |||||
| Total Financials | 604,332 | |||||
|
| |||||
Total Common Stock (cost $554,987) | 604,332 | |||||
|
| |||||
Collateral Held for Securities Loaned (1.9%) | ||||||
| 27,407,116 | Thrivent Financial Securities Lending Trust | 27,407,116 | ||||
|
| |||||
Total Collateral Held for Securities Loaned (cost $27,407,116) | 27,407,116 | |||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
290
Income Portfolio
Schedule of Investments as of December 31, 2011
Principal | Short-Term Investments (7.0%)l | Value | ||||
Federal Home Loan Bank Discount Notes | ||||||
| $ 7,000,000 | 0.020%, 1/6/2012m | $ | 6,999,980 | |||
| 21,000,000 | 0.015%, 1/20/2012m | 20,999,834 | ||||
| 21,000,000 | 0.010%, 2/22/2012m | 20,999,697 | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||
| 5,000,000 | 0.005%, 2/8/2012m | 4,999,973 | ||||
| 10,000,000 | 0.005%, 2/17/2012m | 9,999,935 | ||||
Federal National Mortgage Association Discount Notes | ||||||
| 13,000,000 | 0.010%, 1/9/2012m | 12,999,971 | ||||
| 5,000,000 | 0.020%, 1/17/2012m | 4,999,956 | ||||
| 1,800,000 | 0.105%, 2/22/2012m,n | 1,799,731 | ||||
Straight-A Funding, LLC | ||||||
| 10,000,000 | 0.190%, 2/13/2012d,m | 9,997,731 | ||||
| 8,000,000 | 0.190%, 3/2/2012d,m | 7,997,424 | ||||
|
| |||||
| Total Short-Term Investments (at amortized cost) | 101,794,232 | |||||
|
| |||||
| Total Investments (cost $1,522,054,760) 106.4% | $ | 1,556,170,137 | ||||
|
| |||||
| Other Assets and Liabilities, Net (6.4%) | (93,100,676 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 1,463,069,461 | ||||
|
| |||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2011. |
| c | All or a portion of the security is insured or guaranteed. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $228,810,259 or 15.6% 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 Income Portfolio owned as of December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
JBS Finance II, Ltd. | 7/22/2010 | $ | 1,232,925 | |||||
Power Receivables Finance, LLC | 9/30/2003 | 197,035 | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | 4,688,188 | ||||||
Wachovia Bank Commercial Mortgage Trust | 5/2/2007 | 7,500,408 | ||||||
| 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 equity-linked structured security. This security is linked to the common stock of Berkshire Hathaway, Inc. |
| i | Denotes investments purchased on a when-issued or delayed delivery basis. |
| J | Comprised of a 79.7% prepaid stock purchase contract for common stock of Citigroup, Inc. and a 20.3% amortizing note. The quarterly payments received consists of return of capital and 6.15% interest on only the portion that is the note. |
| k | Non-income producing security. |
| l | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| m | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| n | At December 31, 2011, $1,729,742 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
REIT - Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets.
TIPS - Treasury Inflation Protected Security.
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 75,806,913 | ||
Gross unrealized depreciation | (41,704,901 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 34,102,012 | ||
Cost for federal income tax purposes | $ | 1,522,068,125 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
291
Income Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 617,856 | — | 617,856 | — | ||||||||||||
Communications Services | 2,024,354 | — | 2,024,354 | — | ||||||||||||
Consumer Cyclical | 2,405,194 | — | 2,405,194 | — | ||||||||||||
Consumer Non-Cyclical | 1,925,970 | — | 1,925,970 | — | ||||||||||||
Energy | 1,587,525 | — | 1,587,525 | — | ||||||||||||
Financials | 1,411,378 | — | 1,411,378 | — | ||||||||||||
Technology | 3,732,634 | — | 3,732,634 | — | ||||||||||||
Transportation | 2,391,358 | — | 2,391,358 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 13,620,579 | — | 13,620,579 | — | ||||||||||||
Basic Materials | 80,356,307 | — | 80,356,307 | — | ||||||||||||
Capital Goods | 40,276,094 | — | 40,276,094 | — | ||||||||||||
Collateralized Mortgage Obligations | 20,621,198 | — | 20,621,198 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 34,339,476 | — | 34,339,476 | — | ||||||||||||
Communications Services | 123,694,410 | — | 120,050,035 | 3,644,375 | ||||||||||||
Consumer Cyclical | 76,907,528 | — | 76,907,528 | — | ||||||||||||
Consumer Non-Cyclical | 98,525,375 | — | 98,525,375 | — | ||||||||||||
Energy | 158,812,816 | — | 158,812,816 | — | ||||||||||||
Financials | 372,500,798 | — | 369,404,659 | 3,096,139 | ||||||||||||
Foreign Government | 69,623,047 | — | 69,623,047 | — | ||||||||||||
Mortgage-Backed Securities | 88,218,308 | — | 88,218,308 | — | ||||||||||||
Technology | 22,593,593 | — | 22,593,593 | — | ||||||||||||
Transportation | 31,987,636 | — | 31,987,636 | — | ||||||||||||
U.S. Government and Agencies | 93,634,822 | — | 93,634,822 | — | ||||||||||||
U.S. Municipals | 7,769,179 | — | 7,769,179 | — | ||||||||||||
Utilities | 70,273,984 | — | 70,273,984 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 6,513,038 | 6,513,038 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Financials | 604,332 | 604,332 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 27,407,116 | 27,407,116 | — | — | ||||||||||||
Short-Term Investments | 101,794,232 | — | 101,794,232 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,556,170,137 | $ | 34,524,486 | $ | 1,514,905,137 | $ | 6,740,514 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 884,106 | 884,106 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 884,106 | $ | 884,106 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 3,326,675 | 3,326,675 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 3,326,675 | $ | 3,326,675 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
292
Income Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Communications Services | — | — | 5,593 | — | — | 3,638,782 | — | 3,644,375 | ||||||||||||||||||||||||
Financials | 2,871,390 | — | (274,125 | ) | 1,280,000 | (781,126 | ) | — | — | 3,096,139 | ||||||||||||||||||||||
Transportation | 12,402,746 | 605,121 | (1,067,406 | ) | — | (8,931,602 | ) | — | (3,008,859 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 15,274,136 | $ | 605,121 | ($ | 1,335,938 | ) | $ | 1,280,000 | ($ | 9,712,728 | ) | $ | 3,638,782 | ($ | 3,008,859 | ) | $ | 6,740,514 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of ($519,170). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Note Futures | 315 | March 2012 | $ | 69,473,228 | $ | 69,472,267 | ($ | 961 | ) | |||||||||||
5-Yr. U.S. Treasury Note Futures | (595 | ) | March 2012 | (72,987,954 | ) | (73,338,397 | ) | (350,443 | ) | |||||||||||
10-Yr. U.S. Treasury Note Futures | (1,435 | ) | March 2012 | (185,189,103 | ) | (188,164,374 | ) | (2,975,271 | ) | |||||||||||
20-Yr. U.S. Treasury Bond Futures | 600 | March 2012 | 86,003,394 | 86,887,500 | 884,106 | |||||||||||||||
Total Futures Contracts | ($ | 2,442,569 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 884,106 | ||||
Total Interest Rate Contracts | 884,106 | |||||
|
| |||||
Total Asset Derivatives | $ | 884,106 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,326,675 | ||||
Total Interest Rate Contracts | 3,326,675 | |||||
|
| |||||
Total Liability Derivatives | $ | 3,326,675 | ||||
|
| |||||
| * | 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.
293
Income Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (2,629 | ) | |||
Total Foreign Exchange Contracts | (2,629 | ) | ||||
Interest Rate Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | (319,650 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (3,483,681 | ) | |||
Total Interest Rate Contracts | (3,803,331 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (845,504 | ) | |||
Total Credit Contracts | (845,504 | ) | ||||
|
| |||||
Total | ($ | 4,651,464 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | 132,150 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (6,522,189 | ) | |||
Total Interest Rate Contracts | (6,390,039 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 139,943 | ||||
Total Credit Contracts | 139,943 | |||||
|
| |||||
Total | ($ | 6,250,096 | ) | |||
|
| |||||
The following table presents Income Portfolio’s average volume of derivative activity during the period ended December 31, 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) | |||||||||||||||||||||
Interest Rate Contracts | $ | 403,900,545 | 28.6 | % | N/A | N/A | N/A | N/A | 43 | |||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 5,525 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 24,558,757 | 1.7 | % | 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.
294
Income Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011- December 31, 2011 | ||||||||||||||||||
High Yield Fund | $ | 18,293,310 | $ | — | $ | 18,147,903 | — | $ | — | $ | 841,733 | |||||||||||||
Thrivent Financial Securities Lending Trust | 13,325,870 | 239,982,291 | 225,901,045 | 27,407,116 | 27,407,116 | 45,717 | ||||||||||||||||||
Total Value and Income Earned | 31,619,180 | 27,407,116 | 887,450 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
295
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (107.6%) | Value | ||||||
| Asset-Backed Securities (3.0%) | ||||||||
Countrywide Asset-Backed Certificates | ||||||||
| $ 355,574 | 5.549%, 8/25/2021a | $ | 312,086 | |||||
Countrywide Home Loans, Inc. | ||||||||
| 451,327 | 6.085%, 6/25/2021a | 306,276 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 382,968 | 5.501%, 12/25/2036 | 248,377 | ||||||
First Horizon ABS Trust | ||||||||
| 1,100,927 | 0.424%, 10/25/2026a,b | 804,116 | ||||||
| 987,272 | 0.454%, 10/25/2034a,b | 625,628 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,225,442 | 0.474%, 8/25/2035a,b | 765,325 | ||||||
| 1,490,204 | 0.474%, 12/25/2036a,b | 922,854 | ||||||
Green Tree Financial Corporation | ||||||||
| 20,588 | 6.330%, 11/1/2029 | 21,041 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 519,427 | 0.464%, 10/25/2036a,b | 94,986 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,236,517 | 0.434%, 7/25/2037a,b,c | 895,259 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 4,995,948 | |||||||
|
| |||||||
| Basic Materials (0.3%) | ||||||||
Dow Chemical Company | ||||||||
| 27,000 | 7.375%, 11/1/2029 | 34,266 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
| 500,000 | 5.200%, 1/15/2014 | 534,138 | ||||||
|
| |||||||
| Total Basic Materials | 568,404 | |||||||
|
| |||||||
| Capital Goods (1.4%) | ||||||||
Boeing Capital Corporation | ||||||||
| 375,000 | 2.125%, 8/15/2016 | 383,081 | ||||||
Danaher Corporation | ||||||||
| 375,000 | 2.300%, 6/23/2016 | 389,770 | ||||||
General Electric Company | ||||||||
| 600,000 | 5.000%, 2/1/2013 | 625,257 | ||||||
Republic Services, Inc. | ||||||||
| 500,000 | 5.250%, 11/15/2021 | 566,944 | ||||||
United Technologies Corporation | ||||||||
| 275,000 | 6.050%, 6/1/2036 | 349,043 | ||||||
|
| |||||||
| Total Capital Goods | 2,314,095 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.5%) | ||||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 193,885 | 0.574%, 8/25/2036b | 54,867 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 1,013,443 | 2.612%, 6/25/2035 | 809,966 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 864,833 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (6.0%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 645,000 | 5.622%, 6/10/2049 | 691,631 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,148,248 | 0.428%, 3/15/2022b,d | 1,116,181 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,500,000 | 0.408%, 12/15/2020b,d | 2,279,860 | ||||||
| 500,000 | 5.306%, 12/10/2046 | 542,204 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,060,929 | 0.448%, 10/15/2021b,d | 977,899 | ||||||
| 235,000 | 5.467%, 9/15/2039 | 249,926 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 432,808 | 4.641%, 3/10/2040 | 442,800 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 2,000,000 | 1.317%, 3/6/2020b,d | 1,982,290 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 900,000 | 4.786%, 10/15/2029 | 958,702 | ||||||
Morgan Stanley Capital I | ||||||||
| 500,000 | 3.224%, 7/15/2049 | 517,648 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 9,759,141 | |||||||
|
| |||||||
| Communications Services (1.5%) | ||||||||
AT&T, Inc. | ||||||||
| 300,000 | 6.400%, 5/15/2038 | 370,613 | ||||||
BellSouth Corporation | ||||||||
| 27,000 | 6.875%, 10/15/2031 | 33,647 | ||||||
CBS Corporation | ||||||||
| 350,000 | 7.875%, 9/1/2023 | 436,888 | ||||||
Cox Communications, Inc. | ||||||||
| 135,000 | 6.450%, 12/1/2036d | 145,284 | ||||||
Crown Castle Towers, LLC | ||||||||
| 500,000 | 4.174%, 8/15/2017d | 512,074 | ||||||
News America, Inc. | ||||||||
| 275,000 | 6.400%, 12/15/2035 | 301,343 | ||||||
Telecom Italia Capital SA | ||||||||
| 300,000 | 5.250%, 10/1/2015 | 275,199 | ||||||
Time Warner Cable, Inc. | ||||||||
| 300,000 | 7.300%, 7/1/2038 | 364,547 | ||||||
Verizon Global Funding Corporation | ||||||||
| 27,000 | 7.750%, 12/1/2030 | 37,603 | ||||||
|
| |||||||
| Total Communications Services | 2,477,198 | |||||||
|
| |||||||
| Consumer Cyclical (1.6%) | ||||||||
California Institute of Technology | ||||||||
| 325,000 | 4.700%, 11/1/2111 | 337,457 | ||||||
Daimler Finance North America, LLC | ||||||||
| 27,000 | 8.500%, 1/18/2031 | 37,751 | ||||||
Target Corporation | ||||||||
| 27,000 | 7.000%, 7/15/2031 | 36,419 | ||||||
Time Warner, Inc. | ||||||||
| 27,000 | 7.625%, 4/15/2031 | 34,854 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 500,000 | 1.250%, 11/17/2014 | 502,790 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
296
Bond Index Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (107.6%) | Value | ||||||
| Consumer Cyclical (1.6%) - continued | ||||||||
University of Southern California | ||||||||
| $ 275,000 | 5.250%, 10/1/2111 | $ | 345,043 | |||||
Wal-Mart Stores, Inc. | ||||||||
| 527,000 | 7.550%, 2/15/2030 | 769,559 | ||||||
Walt Disney Company | ||||||||
| 500,000 | 5.625%, 9/15/2016 | 592,248 | ||||||
|
| |||||||
| Total Consumer Cyclical | 2,656,121 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.2%) | ||||||||
AmerisourceBergen Corporation | ||||||||
| 500,000 | 4.875%, 11/15/2019 | 560,645 | ||||||
Boston Scientific Corporation | ||||||||
| 275,000 | 7.000%, 11/15/2035 | 316,782 | ||||||
Colgate-Palmolive Company | ||||||||
| 500,000 | 1.250%, 5/1/2014 | 506,771 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
| 300,000 | 6.375%, 5/15/2038 | 401,416 | ||||||
Kellogg Company | ||||||||
| 600,000 | 4.250%, 3/6/2013 | 623,013 | ||||||
| 27,000 | 7.450%, 4/1/2031 | 36,820 | ||||||
Kraft Foods, Inc. | ||||||||
| 27,000 | 6.500%, 11/1/2031 | 33,567 | ||||||
Philip Morris International, Inc. | ||||||||
| 300,000 | 6.375%, 5/16/2038 | 391,108 | ||||||
Wyeth | ||||||||
| 550,000 | 6.000%, 2/15/2036 | 702,708 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 3,572,830 | |||||||
|
| |||||||
| Energy (1.5%) | ||||||||
Anadarko Finance Company | ||||||||
| 27,000 | 7.500%, 5/1/2031 | 32,667 | ||||||
BP Capital Markets plc | ||||||||
| 350,000 | 1.153%, 12/6/2013b | 350,870 | ||||||
Cameron International Corporation | ||||||||
| 200,000 | 4.500%, 6/1/2021 | 214,698 | ||||||
ConocoPhillips Holding Company | ||||||||
| 27,000 | 6.950%, 4/15/2029 | 36,809 | ||||||
Devon Financing Corporation, ULC | ||||||||
| 27,000 | 7.875%, 9/30/2031 | 38,192 | ||||||
Energy Transfer Partners, LP | ||||||||
| 450,000 | 6.700%, 7/1/2018 | 499,241 | ||||||
Petrobras International Finance Company | ||||||||
| 325,000 | 5.375%, 1/27/2021 | 341,445 | ||||||
Petro-Canada | ||||||||
| 300,000 | 6.800%, 5/15/2038 | 387,352 | ||||||
Valero Energy Corporation | ||||||||
| 500,000 | 4.750%, 6/15/2013 | 523,387 | ||||||
|
| |||||||
| Total Energy | 2,424,661 | |||||||
|
| |||||||
| Financials (7.9%) | ||||||||
African Development Bank | ||||||||
| 250,000 | 6.875%, 10/15/2015 | 291,294 | ||||||
AXA SA | ||||||||
| 27,000 | 8.600%, 12/15/2030 | 26,592 | ||||||
BAC Capital Trust XI | ||||||||
| 275,000 | 6.625%, 5/23/2036 | 241,192 | ||||||
Barclays Bank plc | ||||||||
| 500,000 | 2.375%, 1/13/2014 | 489,388 | ||||||
| 300,000 | 5.000%, 9/22/2016 | 310,699 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 500,000 | 4.650%, 7/2/2018 | 511,161 | ||||||
BNP Paribas SA | ||||||||
| 803,000 | 3.313%, 12/20/2014b | 756,086 | ||||||
Chubb Corporation | ||||||||
| 600,000 | 6.500%, 5/15/2038 | 771,533 | ||||||
Citigroup, Inc. | ||||||||
| 500,000 | 1.302%, 4/1/2014b | 471,163 | ||||||
| 250,000 | 4.700%, 5/29/2015 | 254,138 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 350,000 | 4.750%, 1/15/2020d | 372,249 | ||||||
Danske Bank AS | ||||||||
| 500,000 | 3.875%, 4/14/2016d | 464,144 | ||||||
Fifth Third Bancorp | ||||||||
| 325,000 | 3.625%, 1/25/2016 | 329,742 | ||||||
FUEL Trust | ||||||||
| 150,000 | 4.207%, 4/15/2016d | 151,273 | ||||||
| 200,000 | 3.984%, 6/15/2016d | 199,973 | ||||||
General Electric Capital Corporation | ||||||||
| 475,000 | 5.875%, 1/14/2038 | 503,304 | ||||||
HCP, Inc. | ||||||||
| 325,000 | 3.750%, 2/1/2016 | 330,676 | ||||||
Health Care REIT, Inc. | ||||||||
| 450,000 | 6.125%, 4/15/2020 | 466,251 | ||||||
HSBC Finance Corporation | ||||||||
| 650,000 | 6.375%, 11/27/2012 | 668,551 | ||||||
HSBC Holdings plc | ||||||||
| 300,000 | 6.800%, 6/1/2038 | 310,724 | ||||||
International Lease Finance Corporation | ||||||||
| 850,000 | 5.875%, 5/1/2013 | 837,250 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 250,000 | 3.450%, 3/1/2016 | 253,988 | ||||||
Lloyds TSB Bank plc | ||||||||
| 350,000 | 5.800%, 1/13/2020d | 332,282 | ||||||
Marsh & McLennan Companies, Inc. | ||||||||
| 185,000 | 5.750%, 9/15/2015 | 204,878 | ||||||
| 375,000 | 4.800%, 7/15/2021 | 410,463 | ||||||
MetLife, Inc. | ||||||||
| 200,000 | 5.000%, 6/15/2015 | 217,879 | ||||||
Northern Trust Corporation | ||||||||
| 500,000 | 3.450%, 11/4/2020 | 514,862 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 1,004,612 | 0.746%, 12/22/2036b,c | 401,845 | ||||||
Prudential Financial, Inc. | ||||||||
| 275,000 | 5.700%, 12/14/2036 | 273,035 | ||||||
Royal Bank of Canada | ||||||||
| 500,000 | 1.128%, 10/30/2014b | 498,566 | ||||||
SSIF Nevada, LP | ||||||||
| 500,000 | 1.101%, 4/14/2014b,d | 492,071 | ||||||
Wachovia Bank NA | ||||||||
| 500,000 | 4.875%, 2/1/2015 | 529,779 | ||||||
Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013e | 50 | ||||||
|
| |||||||
| Total Financials | 12,887,081 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
297
Bond Index Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (107.6%) | Value | ||||||
| Foreign Government (3.0%) | ||||||||
Bank Nederlandse Gemeenten | ||||||||
| $ 750,000 | 4.375%, 2/16/2021d | $ | 799,432 | |||||
Chile Government International Bond | ||||||||
| 350,000 | 3.875%, 8/5/2020 | 378,875 | ||||||
Finland Government International Bond | ||||||||
| 500,000 | 2.250%, 3/17/2016d | 522,751 | ||||||
Hydro-Quebec | ||||||||
| 27,000 | 8.400%, 1/15/2022 | 39,481 | ||||||
Italy Government International Bond | ||||||||
| 200,000 | 4.375%, 6/15/2013 | 196,712 | ||||||
| 700,000 | 5.375%, 6/12/2017 | 648,114 | ||||||
Nova Scotia Government Notes | ||||||||
| 250,000 | 7.250%, 7/27/2013 | 272,693 | ||||||
Province of British Columbia | ||||||||
| 750,000 | 2.650%, 9/22/2021 | 771,750 | ||||||
Province of New Brunswick | ||||||||
| 250,000 | 2.750%, 6/15/2018 | 261,333 | ||||||
Quebec Government Notes | ||||||||
| 400,000 | 4.875%, 5/5/2014f | 436,254 | ||||||
| 400,000 | 7.500%, 7/15/2023 | 570,830 | ||||||
|
| |||||||
| Total Foreign Government | 4,898,225 | |||||||
|
| |||||||
| Mortgage-Backed Securities (31.2%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 808 | 6.500%, 10/1/2012 | 830 | ||||||
| 813 | 6.500%, 1/1/2013 | 850 | ||||||
| 978 | 6.000%, 9/1/2013 | 1,061 | ||||||
| 962 | 5.500%, 3/1/2014 | 1,042 | ||||||
| 5,800 | 6.000%, 4/1/2014 | 6,290 | ||||||
| 2,714 | 7.000%, 10/1/2014 | 2,890 | ||||||
| 5,162 | 6.500%, 3/1/2016 | 5,580 | ||||||
| 11,928 | 6.000%, 6/1/2016 | 12,958 | ||||||
| 10,980 | 6.000%, 9/1/2016 | 11,928 | ||||||
| 132,945 | 7.000%, 6/1/2017 | 144,925 | ||||||
| 174,452 | 5.500%, 12/1/2017 | 189,188 | ||||||
| 5,000,000 | 3.000%, 1/1/2027g | 5,160,940 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 4,243 | 6.500%, 4/1/2024 | 4,758 | ||||||
| 4,033 | 7.000%, 5/1/2024 | 4,637 | ||||||
| 1,195 | 7.500%, 8/1/2025 | 1,382 | ||||||
| 14,008 | 8.500%, 11/1/2025 | 16,783 | ||||||
| 1,531 | 8.000%, 1/1/2026 | 1,810 | ||||||
| 1,690 | 7.000%, 4/1/2027 | 1,962 | ||||||
| 2,532 | 7.500%, 7/1/2027 | 2,936 | ||||||
| 4,408 | 7.000%, 8/1/2027 | 5,115 | ||||||
| 2,387 | 7.500%, 10/1/2027 | 2,774 | ||||||
| 2,790 | 7.000%, 5/1/2028 | 3,245 | ||||||
| 17,417 | 6.000%, 8/1/2028 | 19,402 | ||||||
| 6,061 | 6.500%, 2/1/2029 | 6,945 | ||||||
| 16,310 | 6.000%, 3/1/2029 | 18,169 | ||||||
| 9,366 | 7.500%, 10/1/2029 | 10,918 | ||||||
| 4,081 | 7.500%, 11/1/2029 | 4,757 | ||||||
| 5,849 | 6.500%, 5/1/2031 | 6,673 | ||||||
| 25,844 | 6.000%, 6/1/2031 | 28,788 | ||||||
| 6,525 | 7.000%, 6/1/2031 | 7,491 | ||||||
| 6,923 | 7.000%, 6/1/2031 | 7,947 | ||||||
| 19,796 | 6.000%, 7/1/2031 | 22,051 | ||||||
| 7,222 | 7.000%, 9/1/2031 | 8,291 | ||||||
| 10,070 | 6.500%, 10/1/2031 | 11,488 | ||||||
| 113,812 | 6.000%, 1/1/2032 | 126,780 | ||||||
| 25,307 | 6.000%, 1/1/2032 | 28,191 | ||||||
| 15,058 | 7.000%, 5/1/2032 | 17,304 | ||||||
| 114,482 | 6.500%, 7/1/2032 | 130,316 | ||||||
| 122,786 | 6.500%, 10/1/2032 | 139,769 | ||||||
| 174,532 | 6.000%, 11/1/2032 | 194,419 | ||||||
| 11,500,000 | 5.000%, 1/1/2042g | 12,357,106 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 208 | 8.000%, 7/1/2012 | 213 | ||||||
| 433 | 6.500%, 12/1/2012 | 445 | ||||||
| 1,745 | 6.500%, 6/1/2013 | 1,822 | ||||||
| 3,538 | 6.000%, 12/1/2013 | 3,819 | ||||||
| 7,250,000 | 3.000%, 1/1/2027g | 7,486,756 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 3,973 | 10.500%, 8/1/2020 | 4,614 | ||||||
| 2,747 | 8.000%, 12/1/2024 | 3,197 | ||||||
| 3,329 | 7.000%, 10/1/2025 | 3,843 | ||||||
| 13,548 | 6.500%, 11/1/2025 | 15,129 | ||||||
| 622 | 8.500%, 12/1/2025 | 729 | ||||||
| 2,420 | 7.500%, 1/1/2026 | 2,804 | ||||||
| 3,940 | 6.500%, 5/1/2026 | 4,501 | ||||||
| 2,145 | 8.000%, 9/1/2026 | 2,508 | ||||||
| 4,806 | 7.500%, 2/1/2027 | 5,584 | ||||||
| 3,452 | 7.000%, 3/1/2027 | 3,997 | ||||||
| 4,357 | 9.000%, 11/1/2027 | 5,130 | ||||||
| 1,936 | 7.000%, 1/1/2028 | 2,248 | ||||||
| 39,413 | 7.500%, 2/1/2028 | 45,902 | ||||||
| 3,431 | 6.000%, 5/1/2028 | 3,825 | ||||||
| 1,456 | 6.500%, 9/1/2028 | 1,664 | ||||||
| 10,037 | 7.000%, 10/1/2028 | 11,681 | ||||||
| 24,944 | 7.500%, 11/1/2028 | 28,982 | ||||||
| 6,769 | 6.500%, 2/1/2029 | 7,738 | ||||||
| 21,501 | 6.000%, 3/1/2029 | 23,967 | ||||||
| 12,189 | 7.000%, 3/1/2029 | 14,214 | ||||||
| 26,637 | 6.500%, 4/1/2029 | 30,451 | ||||||
| 2,499 | 6.500%, 8/1/2029 | 2,857 | ||||||
| 7,631 | 7.500%, 8/1/2029 | 8,923 | ||||||
| 6,912 | 7.000%, 10/1/2029 | 8,061 | ||||||
| 7,018 | 7.500%, 12/1/2029 | 8,205 | ||||||
| 4,326 | 8.000%, 4/1/2030 | 5,082 | ||||||
| 1,741 | 7.500%, 12/1/2030 | 2,039 | ||||||
| 38,165 | 6.000%, 5/1/2031 | 42,543 | ||||||
| 107,667 | 6.500%, 4/1/2032 | 122,273 | ||||||
| 77,594 | 6.500%, 5/1/2032 | 88,121 | ||||||
| 63,867 | 7.000%, 5/1/2032 | 74,036 | ||||||
| 302,623 | 6.500%, 7/1/2032 | 343,676 | ||||||
| 148,871 | 6.500%, 8/1/2032 | 169,067 | ||||||
| 14,450,000 | 4.500%, 1/1/2042g | 15,375,710 | ||||||
| 7,500,000 | 6.000%, 1/1/2042g | 8,258,205 | ||||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 2,220 | 7.000%, 9/15/2013 | 2,326 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
298
Bond Index Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (107.6%) | Value | ||||||
| Mortgage-Backed Securities (31.2%) - continued | ||||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| $ 4,749 | 7.500%, 3/15/2023 | $ | 5,521 | |||||
| 1,662 | 7.000%, 1/15/2024 | 1,923 | ||||||
| 2,397 | 9.000%, 9/15/2024 | 2,876 | ||||||
| 2,556 | 8.000%, 6/15/2025 | 3,020 | ||||||
| 1,799 | 8.000%, 9/15/2026 | 2,125 | ||||||
| 7,720 | 7.500%, 10/15/2027 | 9,035 | ||||||
| 6,377 | 7.000%, 11/15/2027 | 7,414 | ||||||
| 1,530 | 7.000%, 1/15/2028 | 1,782 | ||||||
| 6,633 | 6.500%, 7/15/2028 | 7,690 | ||||||
| 5,621 | 7.000%, 8/15/2028 | 6,549 | ||||||
| 47,268 | 7.500%, 11/15/2028 | 55,429 | ||||||
| 8,021 | 6.500%, 12/15/2028 | 9,299 | ||||||
| 29,404 | 6.500%, 3/15/2029 | 34,090 | ||||||
| 2,915 | 6.500%, 4/15/2029 | 3,379 | ||||||
| 5,564 | 8.000%, 10/15/2030 | 6,627 | ||||||
| 11,007 | 7.500%, 1/15/2031 | 12,991 | ||||||
| 4,634 | 7.000%, 4/15/2031 | 5,439 | ||||||
| 14,759 | 6.500%, 6/15/2031 | 17,111 | ||||||
| 16,980 | 7.000%, 9/15/2031 | 19,928 | ||||||
| 173,340 | 6.500%, 1/15/2032 | 200,961 | ||||||
| 25,015 | 6.500%, 4/15/2032 | 29,001 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 51,399,766 | |||||||
|
| |||||||
| Technology (0.7%) | ||||||||
Hewlett-Packard Company | ||||||||
| 200,000 | 4.300%, 6/1/2021 | 205,086 | ||||||
International Business Machines Corporation | ||||||||
| 500,000 | 1.000%, 8/5/2013 | 503,936 | ||||||
Xerox Corporation | ||||||||
| 400,000 | 4.500%, 5/15/2021 | 405,386 | ||||||
|
| |||||||
| Total Technology | 1,114,408 | |||||||
|
| |||||||
| Transportation (0.5%) | ||||||||
Delta Air Lines, Inc. | ||||||||
| 285,965 | 4.950%, 11/23/2019f | 291,327 | ||||||
Union Pacific Corporation | ||||||||
| 437,000 | 4.163%, 7/15/2022 | 474,307 | ||||||
|
| |||||||
| Total Transportation | 765,634 | |||||||
|
| |||||||
| U.S. Government and Agencies (44.2%) | ||||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 1,000,000 | 2.125%, 9/15/2015 | 1,035,354 | ||||||
Federal Home Loan Banks | ||||||||
| 1,000,000 | 3.625%, 5/29/2013 | 1,045,959 | ||||||
| 5,000,000 | 0.310%, 9/16/2013b | 5,002,420 | ||||||
| 850,000 | 4.500%, 9/16/2013 | 909,100 | ||||||
| 1,000,000 | 3.625%, 10/18/2013 | 1,056,879 | ||||||
| 3,750,000 | 5.000%, 11/17/2017 | 4,500,375 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 500,000 | 3.750%, 6/28/2013 | 525,646 | ||||||
| 1,000,000 | 5.125%, 11/17/2017 | 1,204,092 | ||||||
| 350,000 | 6.750%, 3/15/2031 | 526,143 | ||||||
Federal National Mortgage Association | ||||||||
| 1,000,000 | 0.625%, 10/30/2014 | 998,182 | ||||||
| 500,000 | 5.960%, 9/11/2028 | 686,463 | ||||||
| 100,000 | 6.250%, 5/15/2029 | 140,787 | ||||||
Resolution Funding Corporation | ||||||||
| 200,000 | 8.125%, 10/15/2019 | 290,870 | ||||||
Tennessee Valley Authority | ||||||||
| 250,000 | 6.000%, 3/15/2013 | 267,160 | ||||||
| 350,000 | 5.250%, 9/15/2039 | 446,779 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,500,000 | 5.250%, 11/15/2028 | 3,446,875 | ||||||
| 3,975,000 | 4.375%, 5/15/2041 | 5,179,302 | ||||||
U.S. Treasury Notes | ||||||||
| 3,500,000 | 0.375%, 8/31/2012 | 3,506,153 | ||||||
| 3,000,000 | 0.250%, 11/30/2013f | 3,000,351 | ||||||
| 2,750,000 | 2.000%, 11/30/2013 | 2,840,772 | ||||||
| 1,500,000 | 2.250%, 5/31/2014 | 1,569,258 | ||||||
| 2,000,000 | 4.250%, 8/15/2014 | 2,203,124 | ||||||
| 3,000,000 | 2.375%, 8/31/2014 | 3,160,314 | ||||||
| 375,000 | 2.375%, 9/30/2014 | 395,654 | ||||||
| 600,000 | 1.250%, 10/31/2015 | 615,375 | ||||||
| 3,150,000 | 2.000%, 1/31/2016 | 3,323,250 | ||||||
| 4,000,000 | 2.625%, 2/29/2016 | 4,323,752 | ||||||
| 500,000 | 1.500%, 6/30/2016 | 517,071 | ||||||
| 1,500,000 | 1.000%, 10/31/2016 | 1,514,532 | ||||||
| 3,250,000 | 3.000%, 2/28/2017 | 3,594,298 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 1,066,875 | ||||||
| 1,250,000 | 2.750%, 2/28/2018 | 1,370,507 | ||||||
| 4,500,000 | 2.375%, 6/30/2018 | 4,822,029 | ||||||
| 3,250,000 | 1.500%, 8/31/2018 | 3,297,479 | ||||||
| 3,300,000 | 3.125%, 5/15/2021 | 3,684,655 | ||||||
| 500,000 | 3.500%, 2/15/2039 | 562,422 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 72,630,257 | |||||||
|
| |||||||
| U.S. Municipals (0.2%) | ||||||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| 350,000 | 5.720%, 12/1/2038 | 428,596 | ||||||
|
| |||||||
| Total U.S. Municipals | 428,596 | |||||||
|
| |||||||
| Utilities (1.9%) | ||||||||
CenterPoint Energy Houston Electric, LLC | ||||||||
| 400,000 | 5.600%, 7/1/2023 | 488,553 | ||||||
Commonwealth Edison Company | ||||||||
| 275,000 | 5.900%, 3/15/2036 | 337,246 | ||||||
FirstEnergy Corporation | ||||||||
| 27,000 | 7.375%, 11/15/2031 | 33,204 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 300,000 | 4.150%, 3/1/2022f | 305,141 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 27,000 | 8.000%, 3/1/2032 | 38,017 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
299
Bond Index Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (107.6%) | Value | ||||||
| Utilities (1.9%) - continued | ||||||||
Oncor Electric Delivery Company | ||||||||
| $ 475,000 | 6.375%, 1/15/2015 | $ | 542,774 | |||||
ONEOK Partners, LP | ||||||||
| 275,000 | 6.650%, 10/1/2036 | 325,221 | ||||||
Progress Energy, Inc. | ||||||||
| 400,000 | 7.000%, 10/30/2031 | 531,854 | ||||||
Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 243,463 | ||||||
Xcel Energy, Inc. | ||||||||
| 275,000 | 6.500%, 7/1/2036 | 353,023 | ||||||
|
| |||||||
| Total Utilities | 3,198,496 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $172,583,010) | 176,955,694 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (2.5%) | |||||||
| 4,114,838 | Thrivent Financial Securities Lending Trust | 4,114,838 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $4,114,838) | 4,114,838 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (20.1%)h | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.010%, 1/18/2012i | 2,999,986 | ||||||
| 4,000,000 | 0.015%, 1/20/2012i | 3,999,969 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 7,000,000 | 0.030%, 1/23/2012i | 6,999,871 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 19,000,000 | 0.010%, 1/11/2012i | 18,999,947 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 32,999,773 | |||||||
|
| |||||||
| Total Investments (cost $209,697,621) 130.2% | $ | 214,070,305 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (30.2%) | (49,607,970 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 164,462,335 | ||||||
|
| |||||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 1,004,612 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 1,236,517 | |||||
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $10,347,763 or 6.3% of total net assets. |
| e | Defaulted security. Interest is not being accrued. |
| f | All or a portion of the security is on loan. |
| 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. |
| i | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
Definitions:
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
| Unrealized Appreciation (Depreciation) | ||||
| Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows: | ||||
Gross unrealized appreciation | $ | 9,146,134 | ||
Gross unrealized depreciation | (4,838,429 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 4,307,705 | ||
Cost for federal income tax purposes | $ | 209,762,600 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
300
Bond Index Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 4,995,948 | — | 4,995,948 | — | ||||||||||||
Basic Materials | 568,404 | — | 568,404 | — | ||||||||||||
Capital Goods | 2,314,095 | — | 2,314,095 | — | ||||||||||||
Collateralized Mortgage Obligations | 864,833 | — | 864,833 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 9,759,141 | — | 9,759,141 | — | ||||||||||||
Communications Services | 2,477,198 | — | 2,477,198 | — | ||||||||||||
Consumer Cyclical | 2,656,121 | — | 2,656,121 | — | ||||||||||||
Consumer Non-Cyclical | 3,572,830 | — | 3,572,830 | — | ||||||||||||
Energy | 2,424,661 | — | 2,424,661 | — | ||||||||||||
Financials | 12,887,081 | — | 12,485,236 | 401,845 | ||||||||||||
Foreign Government | 4,898,225 | — | 4,898,225 | — | ||||||||||||
Mortgage-Backed Securities | 51,399,766 | — | 51,399,766 | — | ||||||||||||
Technology | 1,114,408 | — | 1,114,408 | — | ||||||||||||
Transportation | 765,634 | — | 765,634 | — | ||||||||||||
U.S. Government and Agencies | 72,630,257 | — | 72,630,257 | — | ||||||||||||
U.S. Municipals | 428,596 | — | 428,596 | — | ||||||||||||
Utilities | 3,198,496 | — | 3,198,496 | — | ||||||||||||
Collateral Held for Securities Loaned | 4,114,838 | 4,114,838 | — | — | ||||||||||||
Short-Term Investments | 32,999,773 | — | 32,999,773 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 214,070,305 | $ | 4,114,838 | $ | 209,553,622 | $ | 401,845 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 1,095,928 | — | 24,051 | — | (224,720) | — | (895,259) | — | ||||||||||||||||||||||||
Financials | 615,298 | — | (46,069) | — | (167,384) | — | — | 401,845 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $1,711,226 | $— | ($22,018) | $— | ($392,104) | $— | ($895,259) | $401,845 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of ($125,576). |
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 December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
Thrivent Financial Securities Lending Trust | $ | 357,000 | $ | 50,137,813 | $ | 46,379,975 | 4,114,838 | $ | 4,114,838 | $ | 4,186 | |||||||||||||
Total Value and Income Earned | 357,000 | 4,114,838 | 4,186 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
301
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (99.6%) | Value | ||||||
| Asset-Backed Securities (11.1%) | ||||||||
Avis Budget Rental Car Funding | ||||||||
| $5,500,000 | 2.370%, 11/20/2014a | $ | 5,491,585 | |||||
Bank of America Auto Trust | ||||||||
| 2,984,136 | 1.390%, 3/15/2014a | 2,991,519 | ||||||
Carrington Mortgage Loan Trust | ||||||||
| 1,400,000 | 0.444%, 8/25/2036b | 434,270 | ||||||
Chrysler Financial Auto Securitization | ||||||||
| 2,048,048 | 2.820%, 1/15/2016 | 2,061,776 | ||||||
Citibank Omni Master Trust | ||||||||
| 6,000,000 | 4.900%, 11/15/2018a | 6,525,804 | ||||||
CNH Equipment Trust | ||||||||
| 2,958,972 | 7.210%, 12/16/2013 | 3,012,237 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
| 711,149 | 5.549%, 8/25/2021c | 624,171 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 2,707,961 | 6.085%, 6/25/2021c | 1,837,655 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 1,838,248 | 5.501%, 12/25/2036 | 1,192,209 | ||||||
Discover Card Master Trust | ||||||||
| 9,500,000 | 0.928%, 9/15/2015b | 9,562,795 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
| 6,500,000 | 1.430%, 10/20/2016a | 6,489,665 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
| 215,069 | 5.500%, 3/25/2036d,e | 2 | ||||||
First Horizon ABS Trust | ||||||||
| 726,009 | 0.424%, 9/25/2029b,c | 528,860 | ||||||
First National Master Note Trust | ||||||||
| 7,500,000 | 1.628%, 7/15/2015b | 7,530,525 | ||||||
Ford Credit Auto Owner Trust | ||||||||
| 473,031 | 3.960%, 5/15/2013 | 474,202 | ||||||
Fosse Master Issuer plc | ||||||||
| 6,500,000 | 1.805%, 10/18/2054a,b | 6,475,228 | ||||||
GE Capital Credit Card Master Note Trust | ||||||||
| 7,000,000 | 3.690%, 7/15/2015 | 7,110,243 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,470,530 | 0.474%, 8/25/2035b,c | 918,390 | ||||||
| 2,218,301 | 5.750%, 10/25/2036c | 1,438,834 | ||||||
| 3,477,144 | 0.474%, 12/25/2036b,c | 2,153,325 | ||||||
GSAMP Trust | ||||||||
| 2,854,227 | 0.474%, 2/25/2036b | 2,223,220 | ||||||
| 2,977,663 | 0.374%, 8/25/2036b | 2,707,670 | ||||||
Harley-Davidson Motorcycle Trust | ||||||||
| 380,225 | 3.190%, 11/15/2013 | 380,964 | ||||||
John Deere Owner Trust | ||||||||
| 3,500,000 | 3.960%, 5/16/2016 | 3,540,205 | ||||||
Mortgage Equity Conversion Asset Trust | ||||||||
| 6,003,303 | 0.610%, 1/25/2042b,d | 5,312,923 | ||||||
| 5,931,795 | 0.590%, 2/25/2042b,d | 5,249,639 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
| 1,503,149 | 4.280%, 6/16/2014 | 1,505,284 | ||||||
| 6,000,000 | 4.740%, 8/17/2015 | 6,144,774 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 3,809,834 | 5.608%, 5/25/2036 | 1,687,886 | ||||||
| 1,250,000 | 5.285%, 1/25/2037 | 440,148 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 3,186,242 | 0.950%, 8/15/2013 | 3,185,917 | ||||||
SLM Student Loan Trust | ||||||||
| 12,000,000 | 0.488%, 4/27/2020b | 11,916,072 | ||||||
| 11,580,203 | 0.488%, 4/25/2022b | 11,485,697 | ||||||
| 6,542,207 | 0.498%, 4/25/2023b | 6,521,612 | ||||||
| 3,709,006 | 0.694%, 3/25/2025b | 3,673,429 | ||||||
| 10,211,251 | 0.814%, 3/25/2026b | 10,224,444 | ||||||
USAA Auto Owner Trust | ||||||||
| 5,500,000 | 4.770%, 9/15/2014 | 5,611,139 | ||||||
Volkswagen Auto Loan Enhanced Trust | ||||||||
| 1,377,223 | 1.310%, 1/20/2014 | 1,380,165 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,545,647 | 0.434%, 7/25/2037b,c,d | 1,119,074 | ||||||
Wachovia Student Loan Trust | ||||||||
| 8,264,721 | 0.528%, 7/27/2020b | 8,215,687 | ||||||
World Omni Auto Receivables Trust | ||||||||
| 2,565,715 | 1.340%, 12/16/2013 | 2,569,797 | ||||||
| 4,000,000 | 1.330%, 1/15/2018 | 3,989,680 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 165,938,721 | |||||||
|
| |||||||
| Basic Materials (0.7%) | ||||||||
ArcelorMittal | ||||||||
| 2,500,000 | 9.000%, 2/15/2015 | 2,763,965 | ||||||
| 3,250,000 | 3.750%, 8/5/2015 | 3,106,925 | ||||||
Dow Chemical Company | ||||||||
| 2,500,000 | 4.850%, 8/15/2012 | 2,557,690 | ||||||
| 2,000,000 | 2.500%, 2/15/2016 | 2,008,702 | ||||||
|
| |||||||
| Total Basic Materials | 10,437,282 | |||||||
|
| |||||||
| Capital Goods (1.8%) | ||||||||
Caterpillar Financial Services Corporation | ||||||||
| 4,000,000 | 2.050%, 8/1/2016 | 4,106,204 | ||||||
Caterpillar, Inc. | ||||||||
| 4,500,000 | 1.375%, 5/27/2014 | 4,552,605 | ||||||
CRH America, Inc. | ||||||||
| 2,000,000 | 4.125%, 1/15/2016 | 1,996,814 | ||||||
Danaher Corporation | ||||||||
| 2,000,000 | 0.817%, 6/21/2013b | 2,002,916 | ||||||
Eaton Corporation | ||||||||
| 3,000,000 | 0.885%, 6/16/2014b | 2,998,713 | ||||||
Hutchinson Whampoa Finance, Ltd. | ||||||||
| 3,300,000 | 4.625%, 9/11/2015a | 3,493,017 | ||||||
John Deere Capital Corporation | ||||||||
| 5,000,000 | 0.791%, 10/4/2013b | 5,018,930 | ||||||
Textron, Inc. | ||||||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,898,396 | ||||||
|
| |||||||
| Total Capital Goods | 27,067,595 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
302
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (99.6%) | Value | ||||||
| Collateralized Mortgage Obligations (3.6%) | ||||||||
American Home Mortgage Assets Trust | ||||||||
| $3,428,860 | 1.128%, 11/25/2046b | $ | 1,254,236 | |||||
Banc of America Mortgage Securities, Inc. | ||||||||
| 1,449,740 | 2.764%, 9/25/2035 | 1,102,529 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 1,857,955 | 2.400%, 10/25/2035b | 1,448,638 | ||||||
Chase Mortgage Finance Corporation | ||||||||
| 445,843 | 5.255%, 1/25/2036 | 31,524 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 1,410,879 | 5.500%, 11/25/2035 | 1,329,795 | ||||||
| 1,193,380 | 5.500%, 2/25/2036 | 822,505 | ||||||
| 2,083,295 | 6.000%, 1/25/2037 | 1,368,388 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 2,689,762 | 2.700%, 3/20/2036 | 1,101,269 | ||||||
| 2,589,055 | 2.778%, 9/20/2036 | 1,294,978 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 4,295,059 | 0.970%, 4/25/2047b | 2,466,146 | ||||||
Federal National Mortgage Association | ||||||||
| 10,336,295 | 2.250%, 6/25/2025 | 10,545,904 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 3,581,483 | 0.484%, 8/25/2046b | 2,684,938 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 1,986,598 | 2.221%, 4/25/2037 | 1,060,823 | ||||||
Impac CMB Trust | ||||||||
| 1,056,884 | 0.814%, 4/25/2035b | 828,380 | ||||||
| 752,914 | 0.934%, 8/25/2035b | 439,788 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 4,149,935 | 2.661%, 3/25/2036 | 2,156,775 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 7,224 | 5.477%, 6/25/2036 | 7,151 | ||||||
| 604,393 | 2.772%, 10/25/2036 | 440,619 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 2,229,575 | 2.612%, 6/25/2035 | 1,781,925 | ||||||
Permanent Master plc | ||||||||
| 10,000,000 | 1.880%, 7/15/2042b,d | 9,973,370 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 1,818,076 | 3.610%, 9/25/2035 | 1,070,176 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 2,103,742 | 2.790%, 5/20/2036 | 1,346,603 | ||||||
WaMu Mortgage Pass-Through Certificates | ||||||||
| 3,705,652 | 1.088%, 10/25/2046b | 1,862,979 | ||||||
| 3,590,036 | 1.028%, 12/25/2046b | 1,842,001 | ||||||
| 3,812,468 | 0.948%, 1/25/2047b | 1,872,284 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
| 3,546,949 | 1.128%, 9/25/2046b | 1,200,242 | ||||||
| 5,223,732 | 0.958%, 2/25/2047b | 1,914,790 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
| 1,246,227 | 0.584%, 10/25/2045b | 894,146 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 556,971 | 2.666%, 3/25/2036 | 429,958 | ||||||
| 1,530,931 | 2.689%, 3/25/2036 | 1,217,032 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 55,789,892 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (6.6%) | ||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 6,074,085 | 5.613%, 6/11/2050 | 6,282,669 | ||||||
| 1,837,197 | 0.428%, 3/15/2022a,b | 1,785,889 | ||||||
| 1,563,951 | 5.663%, 6/11/2040 | 1,601,589 | ||||||
| 250,243 | 5.205%, 2/11/2044 | 250,273 | ||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,106,044 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,181,959 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 1,500,000 | 5.306%, 12/10/2046 | 1,626,613 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 2,000,000 | 2.600%, 5/27/2016a | 2,026,778 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 6,205,974 | 4.691%, 4/15/2037 | 6,414,433 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 4,000,000 | 5.467%, 9/15/2039 | 4,254,052 | ||||||
Government National Mortgage Association | ||||||||
| 5,437,439 | 2.870%, 3/16/2051 | 5,618,245 | ||||||
| 9,662,797 | 2.164%, 3/16/2033 | 9,795,100 | ||||||
| 8,603,381 | 3.214%, 1/16/2040 | 8,959,294 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,000,000 | 5.074%, 1/5/2036 | 3,095,343 | ||||||
| 5,500,000 | 5.224%, 4/10/2037 | 5,888,757 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 6,500,000 | 5.429%, 12/12/2043 | 6,972,739 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 3,656,837 | 5.303%, 2/15/2040 | 3,666,905 | ||||||
| 2,400,000 | 6.167%, 9/15/2045 | 2,258,083 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 2,400,000 | 5.406%, 3/15/2044 | 2,236,308 | ||||||
| 4,251,218 | 5.601%, 4/12/2049 | 4,341,743 | ||||||
NCUA Guaranteed Notes | ||||||||
| 5,000,000 | 2.900%, 10/29/2020 | 5,279,060 | ||||||
Network Rail Infrastructure Finance plc | ||||||||
| 9,000,000 | 1.500%, 1/13/2014a | 9,091,170 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,500,000 | 5.765%, 7/15/2045 | 2,766,245 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
303
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (99.6%) | Value | ||||||
| Commercial Mortgage-Backed Securities (6.6%) - continued | ||||||||
WaMu Commercial Mortgage Securities Trust | ||||||||
| $ | 91,942 | 3.830%, 1/25/2035a | $ | 92,220 | ||||
|
| |||||||
| Total Commercial Mortgage-Backed Securities | 99,591,511 | |||||||
|
| |||||||
| Communications Services (2.2%) | ||||||||
Alltel Corporation | ||||||||
| 2,675,000 | 7.000%, 7/1/2012 | 2,756,205 | ||||||
CBS Corporation | ||||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,210,980 | ||||||
Crown Castle Towers, LLC | ||||||||
| 3,250,000 | 4.523%, 1/15/2015a | 3,389,558 | ||||||
| 2,500,000 | 3.214%, 8/15/2015a | 2,527,935 | ||||||
| 1,650,000 | 4.174%, 8/15/2017a | 1,689,843 | ||||||
GTP Acquisition Partners I, LLC | ||||||||
| 2,000,000 | 4.347%, 6/15/2016a | 1,991,488 | ||||||
Qwest Communications International, Inc. | ||||||||
| 2,000,000 | 7.125%, 4/1/2018 | 2,080,000 | ||||||
SBA Tower Trust | ||||||||
| 4,500,000 | 4.254%, 4/15/2015a | 4,626,149 | ||||||
Telecom Italia Capital SA | ||||||||
| 4,000,000 | 4.950%, 9/30/2014 | 3,712,816 | ||||||
Telemar Norte Leste SA | ||||||||
| 1,000,000 | 5.500%, 10/23/2020a | 985,000 | ||||||
Time Warner Cable, Inc. | ||||||||
| 2,400,000 | 5.400%, 7/2/2012 | 2,454,115 | ||||||
| 3,350,000 | 7.500%, 4/1/2014 | 3,750,844 | ||||||
|
| |||||||
| Total Communications Services | 33,174,933 | |||||||
|
| |||||||
| Consumer Cyclical (1.8%) | ||||||||
American Honda Finance Corporation | ||||||||
| 5,000,000 | 1.850%, 9/19/2014a | 5,023,425 | ||||||
Daimler Finance North America, LLC | ||||||||
| 4,000,000 | 1.184%, 3/28/2014a,b | 3,860,220 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 2,750,000 | 7.000%, 4/15/2015 | 2,956,250 | ||||||
Harley-Davidson Financial Services, Inc. | ||||||||
| 1,250,000 | 3.875%, 3/15/2016a | 1,294,890 | ||||||
KIA Motors Corporation | ||||||||
| 2,000,000 | 3.625%, 6/14/2016a | 1,982,710 | ||||||
RCI Banque SA | ||||||||
| 1,500,000 | 4.600%, 4/12/2016a | 1,427,827 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 6,100,000 | 1.250%, 11/17/2014 | 6,134,032 | ||||||
Volkswagen International Finance NV | ||||||||
| 4,000,000 | 1.875%, 4/1/2014a,f | 4,009,852 | ||||||
|
| |||||||
| Total Consumer Cyclical | 26,689,206 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.1%) | ||||||||
Altria Group, Inc. | ||||||||
| 4,000,000 | 4.125%, 9/11/2015 | 4,342,388 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2,500,000 | 0.972%, 1/27/2014b | 2,504,655 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 1,500,000 | 4.100%, 3/15/2016 | 1,553,287 | ||||||
Cargill, Inc. | ||||||||
| 2,146,000 | 4.307%, 5/14/2021a | 2,332,623 | ||||||
Celgene Corporation | ||||||||
| 2,500,000 | 2.450%, 10/15/2015 | 2,532,695 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
| 3,000,000 | 2.000%, 8/19/2016 | 2,981,832 | ||||||
Express Scripts, Inc. | ||||||||
| 2,000,000 | 3.125%, 5/15/2016 | 2,011,086 | ||||||
General Mills, Inc. | ||||||||
| 2,000,000 | 0.811%, 5/16/2014b | 1,992,996 | ||||||
Kraft Foods, Inc. | ||||||||
| 2,500,000 | 4.125%, 2/9/2016 | 2,714,318 | ||||||
Lorillard Tobacco Company | ||||||||
| 2,000,000 | 3.500%, 8/4/2016 | 2,022,966 | ||||||
Quest Diagnostics, Inc. | ||||||||
| 3,000,000 | 1.424%, 3/24/2014b | 3,015,276 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
| 3,000,000 | 1.067%, 3/21/2014b | 2,982,576 | ||||||
|
| |||||||
| Total Consumer Non-Cyclical | 30,986,698 | |||||||
|
| |||||||
| Energy (3.0%) | ||||||||
BP Capital Markets plc | ||||||||
| 5,000,000 | 1.153%, 12/6/2013b | 5,012,425 | ||||||
| 4,000,000 | 1.140%, 3/11/2014b | 3,997,976 | ||||||
Cameron International Corporation | ||||||||
| 3,000,000 | 1.459%, 6/2/2014b | 3,011,925 | ||||||
Cenovus Energy, Inc. | ||||||||
| 2,000,000 | 4.500%, 9/15/2014 | 2,154,564 | ||||||
CNPC HK Overseas Capital, Ltd. | ||||||||
| 2,750,000 | 3.125%, 4/28/2016a,f | 2,850,931 | ||||||
Energy Transfer Partners, LP | ||||||||
| 2,000,000 | 6.000%, 7/1/2013 | 2,105,450 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 4,000,000 | 3.200%, 2/1/2016 | 4,141,120 | ||||||
International Petroleum Investment Company, Ltd. | ||||||||
| 2,000,000 | 3.125%, 11/15/2015a | 1,995,000 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,250,000 | 3.500%, 3/1/2016 | 1,299,651 | ||||||
Nabors Industries, Inc. | ||||||||
| 1,000,000 | 4.625%, 9/15/2021a | 1,015,705 | ||||||
Occidental Petroleum Corporation | ||||||||
| 3,000,000 | 1.450%, 12/13/2013 | 3,052,014 | ||||||
Petrobras International Finance Company | ||||||||
| 3,000,000 | 3.875%, 1/27/2016 | 3,090,633 | ||||||
Rowan Companies, Inc. | ||||||||
| 1,500,000 | 5.000%, 9/1/2017 | 1,576,137 | ||||||
Schlumberger SA | ||||||||
| 3,500,000 | 2.650%, 1/15/2016a | 3,637,595 | ||||||
Statoil ASA | ||||||||
| 3,214,000 | 5.125%, 4/30/2014a | 3,499,519 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
304
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (99.6%) | Value | ||||||
| Energy (3.0%) - continued | ||||||||
Valero Energy Corporation | ||||||||
| $ | 650,000 | 6.125%, 2/1/2020 | $ | 723,013 | ||||
Weatherford International, Ltd. | ||||||||
| 1,500,000 | 6.000%, 3/15/2018 | 1,668,952 | ||||||
|
| |||||||
| Total Energy | 44,832,610 | |||||||
|
| |||||||
| Financials (28.0%) | ||||||||
Abbey National Treasury Services plc | ||||||||
| 3,000,000 | 3.875%, 11/10/2014a | 2,815,521 | ||||||
ABN Amro Bank NV | ||||||||
| 6,500,000 | 2.198%, 1/30/2014a,b | 6,339,632 | ||||||
Achmea Hypotheekbank NV | ||||||||
| 6,079,000 | 3.200%, 11/3/2014a | 6,379,588 | ||||||
Ally Financial, Inc. | ||||||||
| 1,750,000 | 4.500%, 2/11/2014 | 1,688,750 | ||||||
American International Group, Inc. | ||||||||
| 2,000,000 | 5.050%, 10/1/2015 | 1,936,454 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 6,500,000 | 2.400%, 11/23/2016a | 6,438,621 | ||||||
Bank of America Corporation | ||||||||
| 3,000,000 | 1.848%, 1/30/2014b | 2,708,466 | ||||||
| 2,000,000 | 5.625%, 10/14/2016 | 1,918,760 | ||||||
Bank of Montreal | ||||||||
| 6,000,000 | 2.625%, 1/25/2016a | 6,193,596 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 2,500,000 | 1.345%, 11/24/2014b | 2,496,160 | ||||||
| 2,500,000 | 1.700%, 11/24/2014f | 2,513,558 | ||||||
Bank of Nova Scotia | ||||||||
| 3,000,000 | 1.250%, 11/7/2014a | 2,987,325 | ||||||
| 4,000,000 | 2.150%, 8/3/2016a | 4,028,208 | ||||||
Barclays Bank plc | ||||||||
| 1,800,000 | 2.375%, 1/13/2014 | 1,761,795 | ||||||
| 6,000,000 | 2.500%, 9/21/2015a,f | 5,918,784 | ||||||
Barclays Bank plc, Convertible | ||||||||
| 4,500,000 | 1.000%, 6/25/2017g | 4,662,900 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 2,500,000 | 6.400%, 10/2/2017 | 2,793,073 | ||||||
| 2,200,000 | 4.650%, 7/2/2018 | 2,249,106 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 3,250,000 | 0.523%, 1/13/2012b | 3,250,000 | ||||||
| 3,000,000 | 2.450%, 12/15/2015 | 3,110,256 | ||||||
Caisse centrale Desjardins du Quebec | ||||||||
| 4,000,000 | 2.550%, 3/24/2016a | 4,107,336 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 6,500,000 | 0.900%, 9/19/2014a,f | 6,434,058 | ||||||
Capital One Financial Corporation | ||||||||
| 4,000,000 | 1.553%, 7/15/2014b | 3,872,284 | ||||||
CDP Financial, Inc. | ||||||||
| 6,000,000 | 3.000%, 11/25/2014a | 6,239,496 | ||||||
Cie de Financement Foncier | ||||||||
| 7,500,000 | 2.250%, 3/7/2014a | 7,372,448 | ||||||
Citigroup, Inc. | ||||||||
| 5,000,000 | 6.000%, 12/13/2013 | 5,173,795 | ||||||
| 4,600,000 | 1.302%, 4/1/2014b | 4,334,695 | ||||||
CME Group Index Services, LLC | ||||||||
| 3,000,000 | 4.400%, 3/15/2018a | 3,187,440 | ||||||
CNA Financial Corporation | ||||||||
| 3,000,000 | 6.500%, 8/15/2016 | 3,244,962 | ||||||
Commonwealth Bank of Australia | ||||||||
| 6,700,000 | 2.500%, 12/10/2012a | 6,813,310 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 3,000,000 | 2.125%, 10/13/2015 | 2,939,700 | ||||||
Credit Agricole Home Loan SFH | ||||||||
| 6,000,000 | 1.162%, 7/21/2014a,b | 5,764,326 | ||||||
Credit Suisse of New York, Convertible | ||||||||
| 1,600,000 | 0.500%, 6/22/2018h | 1,526,080 | ||||||
Credit Suisse Securities USA, LLC | ||||||||
| 5,500,000 | 1.000%, 4/28/2017g | 5,203,000 | ||||||
Danske Bank AS | ||||||||
| 4,500,000 | 3.875%, 4/14/2016a | 4,177,300 | ||||||
Dexia Credit Local SA | ||||||||
| 9,500,000 | 2.750%, 4/29/2014a | 8,632,555 | ||||||
DnB NOR Boligkreditt | ||||||||
| 6,500,000 | 2.900%, 3/29/2016a | 6,607,874 | ||||||
Eksportfinans ASA | ||||||||
| 2,450,000 | 2.375%, 5/25/2016 | 1,984,338 | ||||||
Fifth Third Bancorp | ||||||||
| 550,000 | 3.625%, 1/25/2016 | 558,026 | ||||||
Fifth Third Bank | ||||||||
| 4,165,000 | 0.576%, 5/17/2013b | 4,087,106 | ||||||
FUEL Trust | ||||||||
| 2,000,000 | 4.207%, 4/15/2016a | 2,016,978 | ||||||
| 2,300,000 | 3.984%, 6/15/2016a | 2,299,689 | ||||||
GATX Corporation | ||||||||
| 2,000,000 | 4.750%, 10/1/2012 | 2,040,382 | ||||||
| 2,000,000 | 4.750%, 5/15/2015 | 2,131,732 | ||||||
General Electric Capital Corporation | ||||||||
| 5,000,000 | 0.806%, 9/15/2014b | 4,796,610 | ||||||
| 4,500,000 | 3.350%, 10/17/2016 | 4,686,296 | ||||||
Goldman Sachs Group, Inc., Convertible | ||||||||
| 102,940 | 2.600%, 3/16/2012a,i | 980,915 | ||||||
| 2,006 | 0.500%, 3/30/2012a,j | 1,253,826 | ||||||
| 97,190 | 0.250%, 11/9/2012a,k | 2,539,089 | ||||||
HCP, Inc. | ||||||||
| 2,000,000 | 2.700%, 2/1/2014 | 1,997,092 | ||||||
Health Care REIT, Inc. | ||||||||
| 750,000 | 6.125%, 4/15/2020 | 777,086 | ||||||
HSBC Bank plc | ||||||||
| 4,500,000 | 1.625%, 8/12/2013a | 4,432,725 | ||||||
| 6,000,000 | 1.625%, 7/7/2014a,f | 5,930,394 | ||||||
ING Bank NV | ||||||||
| 9,500,000 | 2.500%, 1/14/2016a | 9,328,791 | ||||||
| 2,500,000 | 4.000%, 3/15/2016a | 2,415,608 | ||||||
International Lease Finance Corporation | ||||||||
| 1,100,000 | 8.625%, 9/15/2015 | 1,127,500 | ||||||
Irish Life & Permanent plc | ||||||||
| 8,000,000 | 3.600%, 1/14/2013a | 6,996,608 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 4,000,000 | 1.329%, 9/30/2013b | 3,958,484 | ||||||
| 750,000 | 3.150%, 7/5/2016 | 753,510 | ||||||
| 600,000 | 4.350%, 8/15/2021 | 605,944 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
305
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (99.6%) | Value | ||||||
| Financials (28.0%) - continued | ||||||||
J.P. Morgan Chase Bank NA | ||||||||
| $1,800,000 | 5.875%, 6/13/2016 | $ | 1,948,379 | |||||
Landwirtschaftliche Rentenbank | ||||||||
| 7,000,000 | 0.746%, 3/15/2016a,b | 6,981,828 | ||||||
Lehman Brothers Holdings E- Capital Trust I | ||||||||
| 3,500,000 | 1.259%, 8/19/2065b,l | 350 | ||||||
Lloyds TSB Bank plc | ||||||||
| 5,500,000 | 4.375%, 1/12/2015a | 5,294,608 | ||||||
| 300,000 | 6.500%, 9/14/2020a | 251,028 | ||||||
MetLife, Inc. | ||||||||
| 3,500,000 | 1.685%, 8/6/2013b | 3,513,282 | ||||||
Metropolitan Life Global Funding I | ||||||||
| 2,680,000 | 5.125%, 4/10/2013a | 2,799,616 | ||||||
| 3,250,000 | 3.650%, 6/14/2018a | 3,373,490 | ||||||
Morgan Stanley | ||||||||
| 3,000,000 | 4.750%, 4/1/2014 | 2,955,261 | ||||||
| 2,000,000 | 4.200%, 11/20/2014 | 1,928,882 | ||||||
National Australia Bank, Ltd. | ||||||||
| 3,500,000 | 1.372%, 7/25/2014a,b | 3,477,422 | ||||||
National Bank of Canada | ||||||||
| 3,000,000 | 1.650%, 1/30/2014a | 3,031,674 | ||||||
| 2,750,000 | 2.200%, 10/19/2016a | 2,772,767 | ||||||
Nationwide Building Society | ||||||||
| 4,000,000 | 4.650%, 2/25/2015a | 3,966,620 | ||||||
NCUA Guaranteed Notes | ||||||||
| 3,974,485 | 0.624%, 12/7/2020b | 3,976,758 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 6,500,000 | 1.375%, 5/16/2014a | 6,485,173 | ||||||
| 3,000,000 | 1.250%, 10/20/2014a | 2,976,786 | ||||||
New York Life Global Funding | ||||||||
| 6,000,000 | 3.000%, 5/4/2015a | 6,283,890 | ||||||
Nordea Eiendomskreditt AS | ||||||||
| 6,000,000 | 1.875%, 4/7/2014a | 6,005,424 | ||||||
Oesterreichische Kontrollbank AG | ||||||||
| 9,000,000 | 2.000%, 6/3/2016 | 8,970,471 | ||||||
ORIX Corporation | ||||||||
| 4,000,000 | 5.000%, 1/12/2016 | 4,202,112 | ||||||
Private Export Funding Corporation | ||||||||
| 5,000,000 | 2.125%, 7/15/2016 | 5,198,560 | ||||||
ProLogis LP, Convertible | ||||||||
| 2,000,000 | 2.250%, 4/1/2037 | 1,995,000 | ||||||
Prudential Financial, Inc. | ||||||||
| 3,000,000 | 5.100%, 9/20/2014 | 3,226,668 | ||||||
| 2,000,000 | 6.100%, 6/15/2017 | 2,195,700 | ||||||
Rabobank Capital Funding Trust II | ||||||||
| 1,856,000 | 5.260%, 12/29/2049a,m | 1,741,388 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 2,500,000 | 6.450%, 11/15/2019 | 2,808,618 | ||||||
Royal Bank of Canada | ||||||||
| 5,000,000 | 1.128%, 10/30/2014b | 4,985,655 | ||||||
| 6,500,000 | 3.125%, 4/14/2015a,f | 6,819,924 | ||||||
Santander US Debt SA Unipersonal | ||||||||
| 1,750,000 | 2.991%, 10/7/2013a | 1,673,023 | ||||||
SLM Corporation | ||||||||
| 1,500,000 | 8.000%, 3/25/2020 | 1,515,000 | ||||||
SSIF Nevada, LP | ||||||||
| 5,000,000 | �� | 1.101%, 4/14/2014a,b | 4,920,705 | |||||
Stadshypotek AB | ||||||||
| 6,000,000 | 1.129%, 9/30/2013a,b | 5,990,682 | ||||||
State Street Capital Trust III | ||||||||
| 2,000,000 | 5.536%, 3/15/2042b,m | 1,967,460 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
| 4,000,000 | 1.366%, 7/22/2014a,b,f | 4,015,348 | ||||||
Svenske Exportkredit AB | ||||||||
| 5,000,000 | 3.250%, 9/16/2014 | 5,165,785 | ||||||
Swedbank AB | ||||||||
| 5,000,000 | 2.800%, 2/10/2012a | 4,997,700 | ||||||
Swedbank Hypotek AB | ||||||||
| 7,000,000 | 1.024%, 3/28/2014a,b | 6,880,489 | ||||||
Toronto-Dominion Bank | ||||||||
| 4,000,000 | 0.600%, 7/26/2013b | 3,994,196 | ||||||
| 3,000,000 | 2.200%, 7/29/2015a,f | 3,071,865 | ||||||
U.S. Bank National Association | ||||||||
| 4,000,000 | 3.778%, 4/29/2020 | 4,119,044 | ||||||
U.S. Central Federal Credit Union | ||||||||
| 6,500,000 | 1.900%, 10/19/2012 | 6,590,681 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 2,000,000 | 5.500%, 11/15/2012 | 2,077,146 | ||||||
Vestjysk Bank AS | ||||||||
| 9,500,000 | 1.109%, 6/17/2013a,b | 9,543,073 | ||||||
Wachovia Corporation | ||||||||
| 4,000,000 | 5.250%, 8/1/2014 | 4,219,092 | ||||||
WEA Finance, LLC/WT Finance Australia, Pty, Ltd. | ||||||||
| 3,350,000 | 5.750%, 9/2/2015a | 3,560,755 | ||||||
Wells Fargo & Company | ||||||||
| 4,500,000 | 2.625%, 12/15/2016 | 4,497,255 | ||||||
Westpac Banking Corporation | ||||||||
| 5,000,000 | 1.309%, 3/31/2014a,b | 5,014,340 | ||||||
|
| |||||||
| Total Financials | 419,500,914 | |||||||
|
| |||||||
| Foreign Government (5.1%) | ||||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 6,500,000 | 1.500%, 3/28/2014a | 6,498,551 | ||||||
| 7,500,000 | 1.000%, 11/17/2014a,f | 7,386,465 | ||||||
Corporacion Andina de Fomento | ||||||||
| 4,500,000 | 5.750%, 1/12/2017 | 4,921,821 | ||||||
European Investment Bank | ||||||||
| 9,000,000 | 1.250%, 2/14/2014f | 8,996,607 | ||||||
Finland Government International Bond | ||||||||
| 5,500,000 | 2.250%, 3/17/2016a | 5,750,256 | ||||||
Hydro Quebec | ||||||||
| 3,000,000 | 2.000%, 6/30/2016 | 3,062,517 | ||||||
Kommunalbanken AS | ||||||||
| 7,500,000 | 2.750%, 5/5/2015a | 7,782,487 | ||||||
Korea Housing Finance Corporation | ||||||||
| 3,000,000 | 3.500%, 12/15/2016a | 3,021,954 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 10,000,000 | 0.295%, 6/17/2013b | 9,995,270 | ||||||
Mexico Government International Bond | ||||||||
| 1,250,000 | 5.125%, 1/15/2020 | 1,428,125 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
306
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (99.6%) | Value | ||||
| Foreign Government (5.1%) - continued | ||||||
Poland Government International Bond | ||||||
| $2,000,000 | 5.125%, 4/21/2021 | $ | 2,035,000 | |||
Province of British Columbia | ||||||
| 6,500,000 | 2.100%, 5/18/2016 | 6,763,107 | ||||
| 575,000 | 2.650%, 9/22/2021 | 591,675 | ||||
Province of New Brunswick | ||||||
| 3,000,000 | 2.750%, 6/15/2018 | 3,136,002 | ||||
Province of Ontario | ||||||
| 5,000,000 | 1.600%, 9/21/2016 | 4,984,605 | ||||
|
| |||||
| Total Foreign Government | 76,354,442 | |||||
|
| |||||
| Mortgage-Backed Securities (2.6%) | ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||
| 4,550,000 | 3.000%, 1/1/2027n | 4,696,455 | ||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||
| 3,332,875 | 6.500%, 9/1/2037 | 3,739,709 | ||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||
| 8,250,000 | 3.000%, 1/1/2027n | 8,519,412 | ||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||
| 4,267,328 | 5.830%, 9/1/2037b | 4,623,842 | ||||
| 2,182,481 | 5.618%, 10/1/2037b | 2,356,719 | ||||
| 13,000,000 | 6.000%, 1/1/2042n | 14,314,222 | ||||
|
| |||||
| Total Mortgage-Backed Securities | 38,250,359 | |||||
|
| |||||
| Technology (0.9%) | ||||||
Affiliated Computer Services, Inc. | ||||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,146,996 | ||||
Hewlett-Packard Company | ||||||
| 3,000,000 | 0.923%, 5/30/2014b | 2,900,541 | ||||
Symantec Corporation | ||||||
| 1,000,000 | 2.750%, 9/15/2015 | 1,016,627 | ||||
Texas Instruments, Inc. | ||||||
| 3,000,000 | 0.637%, 5/15/2013b,f | 3,006,021 | ||||
| 2,000,000 | 2.375%, 5/16/2016 | 2,083,342 | ||||
Xerox Corporation | ||||||
| 3,000,000 | 1.281%, 5/16/2014b | 2,955,945 | ||||
|
| |||||
| Total Technology | 14,109,472 | |||||
|
| |||||
| Transportation (0.9%) | ||||||
Continental Airlines, Inc. | ||||||
| 2,650,000 | 6.750%, 9/15/2015a | 2,524,125 | ||||
CSX Corporation | ||||||
| 2,500,000 | 6.250%, 4/1/2015 | 2,856,525 | ||||
Delta Air Lines, Inc. | ||||||
| 1,750,000 | 6.750%, 5/23/2017 | 1,612,188 | ||||
Erac USA Finance Company | ||||||
| 4,500,000 | 2.750%, 7/1/2013a | 4,575,910 | ||||
US Airways Group, Inc. | ||||||
| 1,838,673 | 6.250%, 4/22/2023 | 1,698,474 | ||||
|
| |||||
| Total Transportation | 13,267,222 | |||||
|
| |||||
| U.S. Government and Agencies (28.4%) | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||
| 8,000,000 | Zero Coupon, 1/7/2013a | 7,957,040 | ||||
Federal Agricultural Mortgage Corporation | ||||||
| 8,000,000 | 1.250%, 12/6/2013 | 8,113,296 | ||||
| 3,500,000 | 2.000%, 7/27/2016 | 3,595,550 | ||||
Federal Farm Credit Bank | ||||||
| 10,000,000 | 1.375%, 6/25/2013 | 10,163,180 | ||||
| 17,950,000 | 0.516%, 9/23/2013b | 17,974,197 | ||||
Federal Home Loan Banks | ||||||
| 10,000,000 | 0.324%, 2/10/2012b | 9,995,330 | ||||
| 10,000,000 | 0.310%, 9/16/2013b | 10,004,840 | ||||
Federal Home Loan Mortgage Corporation | ||||||
| 14,000,000 | 0.235%, 6/17/2013b | 14,005,992 | ||||
| 16,500,000 | 0.625%, 12/29/2014 | 16,487,922 | ||||
Federal National Mortgage Association | ||||||
| 7,000,000 | 5.125%, 1/2/2014 | 7,569,100 | ||||
| 11,600,000 | 0.625%, 10/30/2014 | 11,578,911 | ||||
| 10,500,000 | 1.375%, 11/15/2016 | 10,592,736 | ||||
U.S. Treasury Bonds | ||||||
| 8,375,000 | 4.375%, 5/15/2041 | 10,912,365 | ||||
U.S. Treasury Notes | ||||||
| 8,500,000 | 0.625%, 12/31/2012 | 8,539,848 | ||||
| 41,000,000 | 0.250%, 11/30/2013f | 41,004,797 | ||||
| 12,000,000 | 1.500%, 12/31/2013 | 12,298,128 | ||||
| 25,800,000 | 2.250%, 5/31/2014 | 26,991,238 | ||||
| 52,550,000 | 0.750%, 6/15/2014 | 53,120,640 | ||||
| 18,700,000 | 2.375%, 9/30/2014 | 19,729,959 | ||||
| 51,400,000 | 2.000%, 1/31/2016 | 54,227,000 | ||||
| 10,000,000 | 1.500%, 6/30/2016 | 10,341,410 | ||||
| 3,875,000 | 2.750%, 2/28/2018 | 4,248,573 | ||||
| 8,250,000 | 2.375%, 6/30/2018 | 8,840,387 | ||||
| 4,500,000 | 1.500%, 8/31/2018 | 4,565,741 | ||||
U.S. Treasury Notes, TIPS | ||||||
| 11,284,350 | 0.125%, 4/15/2016 | 11,763,935 | ||||
| 10,711,050 | 1.875%, 7/15/2019 | 12,619,791 | ||||
| 15,526,800 | 1.125%, 1/15/2021 | 17,316,015 | ||||
|
| |||||
| Total U.S. Government and Agencies | 424,557,921 | |||||
|
| |||||
| Utilities (0.8%) | ||||||
Commonwealth Edison Company | ||||||
| 3,300,000 | 1.625%, 1/15/2014 | 3,323,935 | ||||
National Rural Utilities Cooperative Finance Corporation | ||||||
| 2,650,000 | 5.500%, 7/1/2013 | 2,834,273 | ||||
Oncor Electric Delivery Company, LLC | ||||||
| 2,700,000 | 5.750%, 9/30/2020 | 3,051,138 | ||||
ONEOK Partners, LP | ||||||
| 650,000 | 8.625%, 3/1/2019 | 834,397 | ||||
Power Receivables Finance, LLC | ||||||
| 31,120 | 6.290%, 1/1/2012d | 31,111 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
307
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
Principal | Long-Term Fixed Income (99.6%) | Value | ||||
| Utilities (0.8%) - continued | ||||||
Virginia Electric & Power Company | ||||||
| $1,360,000 | 5.100%, 11/30/2012 | $ | 1,412,637 | |||
|
| |||||
| Total Utilities | 11,487,491 | |||||
|
| |||||
Total Long-Term Fixed Income (cost $1,511,889,071) | 1,492,036,269 | |||||
|
| |||||
Shares | Mutual Funds (1.3%) | |||||
| Fixed Income Mutual Funds (1.3%) | ||||||
| 4,208,125 | Thrivent High Yield Fund | 19,694,026 | ||||
|
| |||||
| Total Fixed Income Mutual Funds | 19,694,026 | |||||
|
| |||||
Total Mutual Funds (cost $15,500,000) | 19,694,026 | |||||
|
| |||||
Preferred Stock (0.2%) | ||||||
| Financials (0.2%) | ||||||
| 18,750 | Citigroup, Inc., Convertibleo | 1,523,437 | ||||
| 148,505 | Federal National Mortgage Association, 8.250%m,p | 204,937 | ||||
| 66,000 | HSBC Holdings plc, 8.000%m | 1,719,960 | ||||
|
| |||||
| Total Financials | 3,448,334 | |||||
|
| |||||
Total Preferred Stock (cost $6,626,911) | 3,448,334 | |||||
|
| |||||
Collateral Held for Securities Loaned (5.9%) | ||||||
| 88,106,653 | Thrivent Financial Securities Lending Trust | 88,106,653 | ||||
|
| |||||
| Total Collateral Held for Securities Loaned (cost $88,106,653) | 88,106,653 | |||||
|
| |||||
Principal | Short-Term Investments (0.2%)q | |||||
Federal National Mortgage Association Discount Notes | ||||||
| 2,800,000 | 0.105%, 2/22/2012r,s | 2,799,582 | ||||
|
| |||||
| Total Short-Term Investments (at amortized cost) | 2,799,582 | |||||
|
| |||||
| Total Investments (cost $1,624,922,217) 107.2% | $ | 1,606,084,864 | ||||
|
| |||||
| Other Assets and Liabilities, Net (7.2%) | (108,252,463 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 1,497,832,401 | ||||
|
| |||||
| a | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $388,661,592 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 December 31, 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 December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | 4/19/2006 | $ | 214,738 | |||||
Mortgage Equity Conversion Asset Trust | 2/14/2007 | $ | 5,931,795 | |||||
Mortgage Equity Conversion Asset Trust | 1/18/2007 | $ | 6,003,302 | |||||
Permanent Master plc | 10/26/2011 | $ | 10,000,000 | |||||
Power Receivables Finance, LLC | 9/30/2003 | $ | 31,111 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 1,545,647 | |||||
| e | Defaulted security. Interest is not being accrued. |
| f | All or a portion of the security is on loan. |
| g | Denotes equity-linked structured security. This security is linked to the S&P 500 Index. |
| h | Denotes equity-linked structured security. This security is linked to the common stock of Berkshire Hathaway, Inc. |
| i | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of RadioShack Corporation. |
| j | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of Kubota Corporation. |
| k | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of Microsoft 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 | Denotes investments purchased on a when-issued or delayed delivery basis. |
| o | Comprised of a 79.7% prepaid stock purchase contract for common stock of Citigroup, Inc. and a 20.3% amortizing note. The quarterly payments received consists of return of capital and 6.15% interest on only the portion that is the note. |
| p | Non-income producing security. |
| q | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| r | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| s | At December 31, 2011, $2,799,582 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
308
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 31,854,687 | ||
Gross unrealized depreciation | (50,964,813 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (19,110,126 | ) | |
Cost for federal income tax purposes | $ | 1,625,194,990 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 165,938,721 | — | 155,376,159 | 10,562,562 | ||||||||||||
Basic Materials | 10,437,282 | — | 10,437,282 | — | ||||||||||||
Capital Goods | 27,067,595 | — | 27,067,595 | — | ||||||||||||
Collateralized Mortgage Obligations | 55,789,892 | — | 55,789,892 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 106,090,062 | — | 106,090,062 | — | ||||||||||||
Communications Services | 33,174,933 | — | 33,174,933 | — | ||||||||||||
Consumer Cyclical | 26,689,206 | — | 26,689,206 | — | ||||||||||||
Consumer Non-Cyclical | 30,986,698 | — | 30,986,698 | — | ||||||||||||
Energy | 44,832,610 | — | 44,832,610 | — | ||||||||||||
Financials | 426,887,379 | — | 410,721,569 | 16,165,810 | ||||||||||||
Foreign Government | 62,469,426 | — | 62,469,426 | — | ||||||||||||
Mortgage-Backed Securities | 38,250,359 | — | 38,250,359 | — | ||||||||||||
Technology | 14,109,472 | — | 14,109,472 | — | ||||||||||||
Transportation | 13,267,222 | — | 13,267,222 | — | ||||||||||||
U.S. Government and Agencies | 424,557,921 | — | 424,557,921 | — | ||||||||||||
Utilities | 11,487,491 | — | 11,487,491 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 19,694,026 | 19,694,026 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 3,448,334 | 3,448,334 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 88,106,653 | 88,106,653 | — | — | ||||||||||||
Short-Term Investments | 2,799,582 | — | 2,799,582 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,606,084,864 | $ | 111,249,013 | $ | 1,468,107,479 | $ | 26,728,372 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 7,368 | 7,368 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 7,368 | $ | 7,368 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,984,090 | 1,984,090 | — | — | ||||||||||||
Credit Default Swaps | 731,073 | — | 731,073 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 2,715,163 | $ | 1,984,090 | $ | 731,073 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
309
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 13,112,902 | — | (714,237 | ) | — | (717,029 | ) | — | (1,119,074 | ) | 10,562,562 | |||||||||||||||||||||
Financials | 18,030,517 | 24,783 | (1,545,737 | ) | 7,238,428 | (3,605,423 | ) | — | (3,976,758 | ) | 16,165,810 | |||||||||||||||||||||
Transportation | 11,511,420 | 753,355 | (939,701 | ) | — | (11,325,074 | ) | — | — | — | ||||||||||||||||||||||
U.S. Government and Agencies | 6,714,931 | 3,638 | — | — | (6,718,569 | ) | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 49,369,770 | $ | 781,776 | ($ | 3,199,675 | ) | $ | 7,238,428 | ($ | 22,366,095 | ) | $ | — | ($ | 5,095,832 | ) | $ | 26,728,372 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
| * | Includes the change in net unrealized appreciation/(depreciation) on level 3 securities held on December 31, 2011 of ($2,231,498). |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Note Futures | (55 | ) | March 2012 | ($ | 12,125,614 | ) | ($ | 12,130,079 | ) | ($ | 4,465 | ) | ||||||||
5-Yr. U.S. Treasury Note Futures | (1,865 | ) | March 2012 | (228,777,368 | ) | (229,875,815 | ) | (1,098,447 | ) | |||||||||||
10-Yr. U.S. Treasury Note Futures | (425 | ) | March 2012 | (54,846,947 | ) | (55,728,125 | ) | (881,178 | ) | |||||||||||
20-Yr. U.S. Treasury Bond Futures | 5 | March 2012 | 716,695 | 724,063 | 7,368 | |||||||||||||||
Total Futures Contracts | ($ | 1,976,722 | ) | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 17, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2016 | $ | 11,515,000 | ($ | 1,309,754 | ) | $ | 809,048 | ($ | 500,706 | ) | ||||||||||
CDX IG, Series 17, 5 Year, at 1.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2016 | 23,500,000 | (445,089 | ) | 214,722 | (230,367 | ) | ||||||||||||||
Total Credit Default Swaps | $ | 1,023,770 | ($ | 731,073 | ) | |||||||||||||||||
| 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. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity's credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity's credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
310
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 7,368 | |||
Total Interest Rate Contracts | 7,368 | |||||
|
| |||||
Total Asset Derivatives | $ | 7,368 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,984,090 | ||||
Total Interest Rate Contracts | 1,984,090 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 731,073 | ||||
Total Credit Contracts | 731,073 | |||||
|
| |||||
Total Liability Derivatives | $ | 2,715,163 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (864,971 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | (16,483,488 | ) | |||
Total Interest Rate Contracts | (17,348,459 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 1,049,461 | ||||
Total Credit Contracts | 1,049,461 | |||||
|
| |||||
Total | ($16,298,998 | ) | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2011, for Limited Maturity Bond Portfolio's investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | 41,025 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (6,820,686 | ) | |||
Total Interest Rate Contracts | (6,779,661 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (518,321 | ) | |||
Total Credit Contracts | (518,321 | ) | ||||
|
| |||||
Total | ($ | 7,297,982 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
311
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2011
The following table presents Limited Maturity Bond Portfolio's average volume of derivative activity during the period ended December 31, 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 | $ | 291,626,529 | 20.2 | % | N/A | N/A | 220 | |||||||||||||
Credit Contracts | N/A | N/A | $ | 49,100,486 | 3.4 | % | N/A | |||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio's holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2010 | Gross Purchases | Gross Sales | Shares Held at December 31, 2011 | Value December 31, 2011 | Income Earned January 1, 2011 - December 31, 2011 | ||||||||||||||||||
High Yield Fund | $ | 20,367,326 | $ | — | $ | — | 4,208,125 | $ | 19,694,026 | $ | 1,570,420 | |||||||||||||
Thrivent Financial Securities Lending Trust | 10,590,250 | 534,402,376 | 456,885,973 | 88,106,653 | 88,106,653 | 48,944 | ||||||||||||||||||
Total Value and Income Earned | 30,957,576 | 107,800,679 | 1,619,364 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
312
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (105.4%) | Value | ||||||
| Asset-Backed Securities (8.1%) | ||||||||
Carrington Mortgage Loan Trust | ||||||||
| $ 200,000 | 0.444%, 8/25/2036a | $ | 62,039 | |||||
Countrywide Asset-Backed Certificates | ||||||||
| 195,000 | 5.859%, 10/25/2046 | 99,864 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 122,550 | 5.501%, 12/25/2036 | 79,481 | ||||||
First Horizon ABS Trust | ||||||||
| 440,371 | 0.424%, 10/25/2026a,b | 321,646 | ||||||
| 789,817 | 0.454%, 10/25/2034a,b | 500,502 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 980,353 | 0.474%, 8/25/2035a,b | 612,260 | ||||||
GSAMP Trust | ||||||||
| 296,285 | 0.374%, 8/25/2036a | 269,420 | ||||||
Popular ABS Mortgage Pass- Through Trust | ||||||||
| 100,000 | 5.297%, 11/25/2035 | 67,271 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 250,000 | 5.797%, 8/25/2036 | 102,230 | ||||||
| 200,000 | 5.285%, 1/25/2037 | 70,424 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 618,259 | 0.434%, 7/25/2037a,b,c | 447,630 | ||||||
|
| |||||||
| Total Asset-Backed Securities | 2,632,767 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (10.3%) | ||||||||
Banc of America Mortgage Securities, Inc. | ||||||||
| 414,211 | 2.764%, 9/25/2035 | 315,008 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 228,332 | 5.750%, 4/25/2037 | 148,598 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 105,702 | 5.500%, 10/25/2035 | 97,772 | ||||||
| 119,338 | 5.500%, 2/25/2036 | 82,250 | ||||||
| 166,664 | 6.000%, 1/25/2037 | 109,471 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 28,494 | 1.034%, 5/25/2034a | 24,781 | ||||||
Federal National Mortgage Association | ||||||||
| 387,611 | 2.250%, 6/25/2025 | 395,471 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 61,620 | 0.484%, 8/25/2046a | 46,194 | ||||||
Impac CMB Trust | ||||||||
| 352,295 | 0.814%, 4/25/2035a | 276,127 | ||||||
| 62,814 | 0.934%, 8/25/2035a | 36,691 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 177,454 | 6.500%, 1/25/2035 | 175,302 | ||||||
| 688 | 5.477%, 6/25/2036 | 681 | ||||||
| 82,087 | 2.772%, 10/25/2036 | 59,844 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
| 638,469 | 2.612%, 6/25/2035 | 510,279 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
| 197,064 | 0.954%, 8/25/2029a | 167,161 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 143,396 | 5.500%, 12/25/2034 | 145,018 | ||||||
| 204,534 | 3.610%, 9/25/2035 | 120,395 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 105,946 | 5.933%, 10/25/2036 | 72,523 | ||||||
| 63,288 | 2.567%, 8/25/2046 | 41,865 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 401,019 | 2.666%, 3/25/2036 | 309,570 | ||||||
| 109,922 | 2.696%, 4/25/2036 | 89,635 | ||||||
| 121,195 | 6.000%, 7/25/2037 | 110,743 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations | 3,335,379 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (7.5%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 75,000 | 5.655%, 4/10/2049 | 70,003 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 46,918 | 5.663%, 6/11/2040 | 48,048 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 250,000 | 5.306%, 12/10/2046 | 271,102 | ||||||
Government National Mortgage Association | ||||||||
| 263,531 | 2.164%, 3/16/2033 | 267,139 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 300,000 | 4.786%, 10/15/2029 | 319,567 | ||||||
| 130,804 | 5.303%, 2/15/2040 | 131,164 | ||||||
| 100,000 | 5.866%, 9/15/2045 | 109,681 | ||||||
Morgan Stanley Capital I | ||||||||
| 100,000 | 3.224%, 7/15/2049 | 103,530 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 1,250,000 | 0.398%, 9/15/2021a,c | 1,112,380 | ||||||
|
| |||||||
| Total Commercial Mortgage- Backed Securities | 2,432,614 | |||||||
|
| |||||||
| Mortgage-Backed Securities (75.8%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||
| 122,120 | 5.500%, 9/1/2024 | 133,860 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 3,000,000 | 5.000%, 1/1/2042d | 3,223,593 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 8,000,000 | 3.000%, 1/1/2027d | 8,261,248 | ||||||
Federal National Mortgage Association Conventional 20- Yr. Pass Through | ||||||||
| 791,779 | 6.000%, 8/1/2024 | 883,007 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
313
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2011
| Principal Amount | Long-Term Fixed Income (105.4%) | Value | ||||||
| Mortgage-Backed Securities (75.8%) - continued | ||||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| $8,750,000 | 4.500%, 1/1/2042d | $ | 9,310,552 | |||||
| 2,500,000 | 6.000%, 1/1/2042d | 2,752,735 | ||||||
|
| |||||||
| Total Mortgage-Backed Securities | 24,564,995 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.7%) | ||||||||
U.S. Treasury Notes | ||||||||
| 1,125,000 | 2.250%, 7/31/2018 | 1,196,543 | ||||||
|
| |||||||
| Total U.S. Government and Agencies | 1,196,543 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $35,482,225) | 34,162,298 | |||||||
|
| |||||||
| Principal Amount | Short-Term Investments (62.0%)e | Value | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.020%, 1/6/2012f | 2,999,992 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 17,000,000 | 0.030%, 1/23/2012f | 16,999,688 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 100,000 | 0.090%, 2/22/2012f,g | 99,987 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 20,099,667 | |||||||
|
| |||||||
| Total Investments (cost $55,581,892) 167.4% | $ | 54,261,965 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (67.4%) | (21,839,637 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 32,422,328 | ||||||
|
| |||||||
| a | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2011. |
Security | Acquisition Date | Cost | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 618,259 | |||||
Wachovia Bank Commercial | ||||||||
Mortgage Trust | 2/28/2007 | 1,250,101 | ||||||
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| e | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| f | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| g | At December 31, 2011, $99,987 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 | $ | 463,878 | ||
Gross unrealized depreciation | (1,783,805 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (1,319,927 | ) | |
Cost for federal income tax purposes | $ | 55,581,892 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
314
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 2,632,767 | — | 2,632,767 | — | ||||||||||||
Collateralized Mortgage Obligations | 3,335,379 | — | 3,335,379 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 2,432,614 | — | 2,432,614 | — | ||||||||||||
Mortgage-Backed Securities | 24,564,995 | — | 24,564,995 | — | ||||||||||||
U.S. Government and Agencies | 1,196,543 | — | 1,196,543 | — | ||||||||||||
Short-Term Investments | 20,099,667 | — | 20,099,667 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 54,261,965 | $ | — | $ | 54,261,965 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 5,688 | 5,688 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 5,688 | $ | 5,688 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 December 31, 2011 | ||||||||||||||||||||||||
Long-Term Fixed Income | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | 547,964 | — | 12,026 | — | (112,360 | ) | — | (447,630 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 547,964 | $ | — | $ | 12,026 | $ | — | ($ | 112,360 | ) | $ | — | ($ | 447,630 | ) | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Transfers into or out of Level 3 represent the beginning value or ending value, respectively, of any security or instrument where a change in the valuation level occurred from the beginning to the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
10-Yr. U.S. Treasury Note Futures | 5 | March 2012 | $ | 649,937 | $ | 655,625 | $5,688 | |||||||||||||
Total Futures Contracts | $5,688 | |||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,688 | ||||
Total Interest Rate Contracts | 5,688 | |||||
|
| |||||
Total Asset Derivatives | $ | 5,688 | ||||
|
| |||||
| * | 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.
315
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2011
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 1,016 | ||||
Options Purchased | Net realized gains/(losses) on Investments | (5,811 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 54,331 | ||||
Total Interest Rate Contracts | 49,536 | |||||
|
| |||||
Total | $ | 49,536 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 21,406 | ||||
Total Interest Rate Contracts | 21,406 | |||||
|
| |||||
Total | $ | 21,406 | ||||
|
| |||||
The following table presents Mortgage Securities Portfolio’s average volume of derivative activity during the period ended December 31, 2011.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Interest Rate Contracts | $ | 627,461 | 1.9 | % | 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.
316
Schedule of Investments as of December 31, 2011
| Principal Amount | Asset Backed Commercial Paper (18.2%)a | Value | ||||||
Chariot Funding, LLC | ||||||||
| $1,720,000 | 0.250%, 4/13/2012b,c | $ | 1,718,770 | |||||
| 1,720,000 | 0.300%, 5/29/2012b,c | 1,717,864 | ||||||
Dealers Capital Access | ||||||||
| 1,000,000 | 0.500%, 1/20/2012b | 999,736 | ||||||
| 1,700,000 | 0.550%, 1/27/2012b | 1,699,325 | ||||||
| 1,720,000 | 0.600%, 2/15/2012b | 1,718,710 | ||||||
| 1,720,000 | 0.580%, 2/28/2012b | 1,718,393 | ||||||
| 1,710,000 | 0.520%, 3/22/2012b | 1,707,999 | ||||||
Golden Funding Corporation | ||||||||
| 1,735,000 | 0.500%, 2/22/2012b,c | 1,733,747 | ||||||
| 1,710,000 | 0.600%, 3/8/2012b,c | 1,708,091 | ||||||
| 1,700,000 | 0.510%, 3/9/2012b,c | 1,698,362 | ||||||
Jupiter Securitization Company, LLC | ||||||||
| 1,710,000 | 0.220%, 2/22/2012b,c | 1,709,457 | ||||||
Kells Funding, LLC | ||||||||
| 2,450,000 | 0.420%, 1/17/2012b,c | 2,449,542 | ||||||
| 1,840,000 | 0.410%, 1/25/2012b,c | 1,839,497 | ||||||
Nieuw Amsterdam Receivables Corporation | ||||||||
| 1,850,000 | 0.450%, 2/14/2012b,c | 1,848,983 | ||||||
Sydney Capital Corporation | ||||||||
| 1,730,000 | 0.350%, 2/16/2012b,c | 1,729,226 | ||||||
| 1,725,000 | 0.350%, 3/15/2012b,c | 1,723,759 | ||||||
Thunder Bay Funding, LLC | ||||||||
| 1,710,000 | 0.240%, 1/17/2012b,c | 1,709,818 | ||||||
| 1,770,000 | 0.250%, 2/15/2012b,c | 1,769,447 | ||||||
|
| |||||||
| Total Asset Backed Commercial Paper | 31,200,726 | |||||||
|
| |||||||
Financial Company Commercial Paper (23.0%)a | ||||||||
AllianceBernstein, LP | ||||||||
| 1,725,000 | 0.250%, 1/18/2012c | 1,724,796 | ||||||
Bank of Nova Scotia | ||||||||
| 1,890,000 | 0.300%, 2/10/2012 | 1,890,000 | ||||||
Bank of Nova Scotia/Houston | ||||||||
| 780,000 | 0.493%, 6/11/2012d | 780,000 | ||||||
| 1,580,000 | 0.740%, 9/12/2012d | 1,581,337 | ||||||
Barclays Bank plc | ||||||||
| 1,570,000 | 1.327%, 3/5/2012b,c,d | 1,572,291 | ||||||
| 1,455,000 | 0.671%, 4/10/2012b,c,d | 1,456,067 | ||||||
General Electric Capital Corporation | ||||||||
| 910,000 | 0.511%, 2/15/2012b | 915,947 | ||||||
| 1,600,000 | 0.660%, 6/12/2012b,d | 1,600,016 | ||||||
| 1,375,000 | 0.568%, 6/15/2012b | 1,408,837 | ||||||
| 1,600,000 | 0.592%, 7/27/2012b,d | 1,601,587 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 1,770,000 | 0.578%, 2/22/2012d | 1,770,193 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 795,000 | 0.435%, 5/18/2012d | 795,000 | ||||||
Prudential Funding, LLC | ||||||||
| 875,000 | 0.410%, 2/21/2012b | 874,492 | ||||||
Royal Bank of Canada | ||||||||
| 1,570,000 | 0.265%, 4/5/2012d | 1,570,000 | ||||||
| 1,550,000 | 0.401%, 7/9/2012d | 1,550,000 | ||||||
Royal Bank of Canada, New York | ||||||||
| 1,770,000 | 0.471%, 5/16/2012d | 1,770,249 | ||||||
| 1,000,000 | 1.184%, 6/18/2012d | 1,003,396 | ||||||
Toronto-Dominion Bank NY | ||||||||
| 850,000 | 0.356%, 1/12/2012d | 850,000 | ||||||
Financial Company Commercial Paper (23.0%)a | ||||||||
| 1,890,000 | 0.300%, 2/10/2012 | 1,890,000 | ||||||
| 885,000 | 0.426%, 10/19/2012d | 885,000 | ||||||
US Bank NA | ||||||||
| 1,785,000 | 0.310%, 3/30/2012 | 1,783,632 | ||||||
| 1,770,000 | 0.340%, 4/16/2012 | 1,768,228 | ||||||
US Bank NA Caymans | ||||||||
| 4,000,000 | 0.020%, 1/3/2012 | 4,000,000 | ||||||
Wells Fargo & Company | ||||||||
| 1,700,000 | 0.506%, 1/24/2012d | 1,700,079 | ||||||
Westpac Banking Corporation | ||||||||
| 780,000 | 0.610%, 1/10/2012c,d | 780,005 | ||||||
| 1,810,000 | 0.470%, 3/16/2012c | 1,808,228 | ||||||
|
| |||||||
| Total Financial Company Commercial Paper | 39,329,380 | |||||||
|
| |||||||
Government Agency Debt (19.5%)a | ||||||||
Federal Farm Credit Bank | ||||||||
| 900,000 | 0.170%, 8/8/2012b,d | 899,935 | ||||||
Federal Home Loan Banks | ||||||||
| 2,000,000 | 0.170%, 3/20/2012b,d | 1,999,953 | ||||||
| 1,570,000 | 0.190%, 1/25/2013b,d | 1,570,084 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 2,000,000 | 0.070%, 1/25/2012b,d | 1,999,686 | ||||||
| 1,130,000 | 0.210%, 10/12/2012b,d | 1,130,541 | ||||||
| 930,000 | 0.270%, 9/3/2013b,d | 929,662 | ||||||
Federal National Mortgage Association | ||||||||
| 3,570,000 | 0.270%, 9/13/2012b,d | 3,571,965 | ||||||
| 2,000,000 | 0.315%, 9/17/2012b,d | 2,000,000 | ||||||
| 900,000 | 0.240%, 11/23/2012b,d | 899,840 | ||||||
| 850,000 | 0.310%, 10/28/2013b,d | 849,843 | ||||||
Overseas Private Investment Corporation | ||||||||
| 1,896,551 | 0.090%, 1/4/2012b,d | 1,896,551 | ||||||
| 5,435,000 | 0.489%, 12/9/2012b | 5,436,710 | ||||||
| 2,115,000 | 0.500%, 12/9/2012b | 2,115,665 | ||||||
| 3,515,000 | 0.500%, 12/9/2012b | 3,516,106 | ||||||
| 1,280,000 | 0.500%, 12/9/2012b | 1,280,359 | ||||||
Straight-A Funding, LLC | ||||||||
| 3,060,000 | 0.090%, 1/18/2012b,c | 3,059,870 | ||||||
|
| |||||||
| Total Government Agency Debt | 33,156,770 | |||||||
|
| |||||||
| Shares | Investment Company (6.7%) | Value | ||||||
AIM Investments Institutional Government and Agency Portfolio | ||||||||
| 15,000 | 0.020% | 15,000 | ||||||
BlackRock Cash Funds | ||||||||
| 7,533,000 | 0.150% | 7,533,000 | ||||||
Dreyfus Institutional Cash Advantage Fund | ||||||||
| 3,780,000 | 0.060% | 3,780,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
317
Money Market Portfolio
Schedule of Investments as of December 31, 2011
| Shares | Investment Company (6.7%) | Value | ||||||
DWS Money Market Series | ||||||||
| 150,029 | 0.090% | $ | 150,029 | |||||
|
| |||||||
| Total Investment Company | 11,478,029 | |||||||
|
| |||||||
| Principal Amount | Other Commercial Paper (7.7%)a | |||||||
Caisse D’Amortissement de la Dette Sociale | ||||||||
| $1,600,000 | 0.537%, 6/22/2012b,c,d | 1,600,000 | ||||||
Erste Abwicklungsanstalt | ||||||||
| 850,000 | 0.530%, 1/23/2012b,c | 849,725 | ||||||
Georgia Transmission Corporation | ||||||||
| 1,140,000 | 0.310%, 1/27/2012c | 1,139,745 | ||||||
| 860,000 | 0.400%, 4/12/2012c | 859,025 | ||||||
Louis Dreyfus Commodities, LLC | ||||||||
| 2,000,000 | 0.500%, 1/3/2012b | 1,999,944 | ||||||
Nestle Capital Corporation | ||||||||
| 1,000,000 | 0.210%, 2/6/2012b,c | 999,790 | ||||||
Reckitt Benckiser Treasury Services plc | ||||||||
| 1,850,000 | 0.460%, 3/8/2012b,c | 1,848,416 | ||||||
| 1,810,000 | 0.470%, 3/14/2012b,c | 1,808,275 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 1,850,000 | 0.420%, 2/27/2012b | 1,848,770 | ||||||
|
| |||||||
| Total Other Commercial Paper | 12,953,690 | |||||||
|
| |||||||
Other Municipal Debt (0.5%)a | ||||||||
County of Hamilton, Tennessee | ||||||||
| 850,000 | 0.430%, 1/27/2012b | 850,000 | ||||||
|
| |||||||
| Total Other Municipal Debt | 850,000 | |||||||
|
| |||||||
Variable Rate Demand Note (10.6%)a | ||||||||
Andrew W. Mellon Foundation | ||||||||
| 2,230,000 | 0.180%, 1/6/2012d | 2,230,000 | ||||||
Denver, Colorado Airport System Revenue Bonds | ||||||||
| 5,200,000 | 0.100%, 1/6/2012b,d | 5,200,000 | ||||||
Douglas County, Nebraska Hospital Authority No. 2 Health Facilities Revenue Refunding Bonds (Children’s Hospital) | ||||||||
| 1,600,000 | 0.070%, 1/3/2012b,d | 1,600,000 | ||||||
Lancaster County, Nebraska Hospital Authority No. 1 Hospital Revenue Refunding Bonds (BryanLGH Medical Center) | ||||||||
| 1,910,000 | 0.100%, 1/6/2012b,d | 1,910,000 | ||||||
Louisiana Housing Finance Agency Qualified Gulf Opportunity Zone Bonds (Canterbury House Apartments - Sherwood) | ||||||||
| 2,000,000 | 0.120%, 1/6/2012b,d | 2,000,000 | ||||||
Pitney Road Partners, LLC | ||||||||
| 1,400,000 | 0.250%, 1/6/2012b,c,d | 1,400,000 | ||||||
St. Cloud, Minnesota Health Care Refunding Revenue Bonds (CentraCare Health System) | ||||||||
| $2,050,000 | 0.070%, 1/6/2012b,d | 2,050,000 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Prohealth Care Inc. | ||||||||
| 1,565,000 | 0.070%, 1/3/2012b,d | 1,565,000 | ||||||
|
| |||||||
| Total Variable Rate Demand Note | 17,955,000 | |||||||
|
| |||||||
| Total Investments (at amortized cost) 86.2% | $ | 146,923,595 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 13.8% | 23,536,286 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 170,459,881 | ||||||
|
| |||||||
| a | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2011, the value of these investments was $44,262,796 or 26.0% of total net assets. |
| c | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2011. |
Cost for federal income tax purposes | $ | 146,923,595 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
318
Money Market Portfolio
Schedule of Investments as of December 31, 2011
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 31,200,726 | — | 31,200,726 | — | ||||||||||||
Financial Company Commercial Paper | 39,329,380 | — | 39,329,380 | — | ||||||||||||
Government Agency Debt | 33,156,770 | — | 33,156,770 | — | ||||||||||||
Investment Company | 11,478,029 | 11,478,029 | — | — | ||||||||||||
Other Commercial Paper | 12,953,690 | — | 12,953,690 | — | ||||||||||||
Other Municipal Debt | 850,000 | — | 850,000 | — | ||||||||||||
Variable Rate Demand Note | 17,955,000 | — | 17,955,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 146,923,595 | $ | 11,478,029 | $ | 135,445,566 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
319
Statement of Assets and Liabilities
As of December 31, 2011 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 610,639,824 | $ | 2,924,067,468 | $ | 4,418,060,078 | $ | 2,222,573,373 | ||||||||
Investments in securities at value | 277,265,305 | 1,231,154,890 | 1,703,061,136 | 942,747,161 | ||||||||||||
Investments in affiliates at value | 277,982,691 | 1,515,057,548 | 2,544,701,887 | 1,242,836,799 | ||||||||||||
Investments at Value | 555,247,996 | 2,746,212,438 | 4,247,763,023 | 2,185,583,960 | ||||||||||||
Cash | 18,370,223 | 36,475,646 | 41,605,382 | 34,054,585 | ||||||||||||
Dividends and interest receivable | 485,351 | 2,341,532 | 3,893,263 | 2,000,402 | ||||||||||||
Prepaid expenses | 1,814 | 4,765 | 6,152 | 3,027 | ||||||||||||
Receivable for investments sold | 22,369 | 60,583 | 65,722 | 30,328 | ||||||||||||
Receivable for fund shares sold | 260,549 | 1,152,983 | 3,018,955 | 2,408,167 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable from affiliate | — | — | — | — | ||||||||||||
Receivable for variation margin | 456,560 | 791,875 | 505,433 | 690,568 | ||||||||||||
Total Assets | 574,844,862 | 2,787,039,822 | 4,296,857,930 | 2,224,771,037 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 26,637 | 41,969 | 50,341 | 30,896 | ||||||||||||
Payable for investments purchased | 13,358,066 | 123,856,928 | 155,458,312 | 165,160,363 | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | — | — | ||||||||||||
Payable for fund shares redeemed | 162,501 | 467,060 | 139,191 | 367,033 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Swap agreements, at value | 51,641 | 1,136,109 | 5,301,844 | 2,874,701 | ||||||||||||
Payable for variation margin | 465,197 | 1,033,788 | 1,052,648 | 458,733 | ||||||||||||
Payable to affiliate | 222,343 | 874,749 | 1,168,959 | 591,547 | ||||||||||||
Mortgage dollar roll deferred revenue | 4,157 | 27,939 | 39,919 | 20,970 | ||||||||||||
Total Liabilities | 14,290,542 | 127,438,542 | 163,211,214 | 169,504,243 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 588,022,679 | 2,771,379,332 | 4,204,860,716 | 2,039,024,879 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 3,736,236 | 34,451,457 | 74,101,970 | 38,926,840 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 23,360,227 | 29,284,500 | 20,308,304 | 8,876,117 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 4,248,167 | 21,746,687 | 23,178,066 | 9,679,824 | ||||||||||||
Affiliated investments | (59,639,995 | ) | (199,601,717 | ) | (193,475,121 | ) | (46,669,237 | ) | ||||||||
Futures contracts | 824,119 | 2,188,451 | 3,754,072 | 4,983,831 | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (360 | ) | (934 | ) | (841 | ) | — | |||||||||
Swap agreements | 3,247 | 153,504 | 919,550 | 444,540 | ||||||||||||
Total Net Assets | $ | 560,554,320 | $ | 2,659,601,280 | $ | 4,133,646,716 | $ | 2,055,266,794 | ||||||||
Sharesof beneficial interest outstanding | 49,162,058 | 237,665,015 | 367,386,708 | 182,172,883 | ||||||||||||
Net asset value per share | $ | 11.40 | $ | 11.19 | $ | 11.25 | $ | 11.28 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
320
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 | ||||||||||||||||||||
| $ | 29,598,193 | $ | 16,231,107 | $ | 34,917,328 | $ | 36,828,169 | $ | 129,063,605 | $ | 8,277,626 | $ | 194,842,929 | |||||||||||||
| 28,564,542 | 17,773,069 | 29,634,765 | 37,876,253 | 107,368,085 | 9,050,619 | 193,151,122 | ||||||||||||||||||||
| 3,695,344 | — | — | — | — | — | 20,479,131 | ||||||||||||||||||||
| 32,259,886 | 17,773,069 | 29,634,765 | 37,876,253 | 107,368,085 | 9,050,619 | 213,630,253 | ||||||||||||||||||||
| 1,063,175 | 142,291 | 1,950,340 | 1,010,547 | (a) | 334,428 | 2,038,433 | 4,601,969 | |||||||||||||||||||
| 23,593 | 52,618 | 22,223 | 33,684 | 407,453 | 18,624 | 34,346 | ||||||||||||||||||||
| 917 | 888 | 901 | 899 | 1,392 | 872 | 1,183 | ||||||||||||||||||||
| — | 47,189 | — | 36,825 | — | — | 90,132 | ||||||||||||||||||||
| 2,797 | 2,084 | 29,974 | 1,974 | 933 | 17,775 | 1,119 | ||||||||||||||||||||
| — | — | — | 254 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | 1,481 | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 33,350,368 | 18,018,139 | 31,638,203 | 38,960,436 | 108,112,291 | 11,127,804 | 218,359,002 | ||||||||||||||||||||
| 14,197 | 9,261 | 8,908 | 21,114 | 40,745 | 8,713 | 25,960 | ||||||||||||||||||||
| — | — | — | 28,235 | — | — | 208,567 | ||||||||||||||||||||
| 3,695,344 | — | — | — | — | — | 20,479,131 | ||||||||||||||||||||
| 5,940 | 969 | 6,021 | 25,956 | 32,027 | 544 | 618 | ||||||||||||||||||||
| — | — | — | 78 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 19,477 | 8,197 | 20,871 | 31,481 | 73,520 | — | 154,300 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 3,734,958 | 18,427 | 35,800 | 106,864 | 146,292 | 9,257 | 20,868,576 | ||||||||||||||||||||
| 33,969,745 | 16,177,843 | 32,775,209 | 37,355,786 | 130,852,908 | 10,981,244 | 190,692,805 | ||||||||||||||||||||
| (11,463 | ) | 32,857 | 71,401 | 221,915 | 4,269,528 | 189,443 | (21,909 | ) | ||||||||||||||||||
| (7,004,565 | ) | 247,722 | 4,038,356 | 228,549 | (5,460,821 | ) | (825,115 | ) | (11,967,794 | ) | ||||||||||||||||
| 2,661,693 | 1,541,962 | (5,282,563 | ) | 1,048,084 | (21,695,520 | ) | 772,993 | 18,787,324 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | 176 | — | — | — | ||||||||||||||||||||
| — | (672 | ) | — | (938 | ) | (96 | ) | (18 | ) | — | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| $ | 29,615,410 | $ | 17,999,712 | $ | 31,602,403 | $ | 38,853,572 | $ | 107,965,999 | $ | 11,118,547 | $ | 197,490,426 | |||||||||||||
| 4,776,439 | 1,598,488 | 3,794,545 | 3,556,844 | 6,846,011 | 1,285,525 | 15,899,277 | ||||||||||||||||||||
| $ | 6.20 | $ | 11.26 | $ | 8.33 | $ | 10.92 | $ | 15.77 | $ | 8.65 | $ | 12.42 | |||||||||||||
| (a) | Includes foreign currency holdings of $26,871 (cost $27,021). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
321
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2011 | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 224,265,235 | $ | 251,406,458 | $ | 175,732,350 | $ | 15,805,668 | ||||||||
Investments in securities at value | 245,061,668 | 250,617,058 | 186,690,699 | 16,047,349 | ||||||||||||
Investments in affiliates at value | 15,559,565 | 2,316,500 | 16,002,829 | 17,250 | ||||||||||||
Investments at Value | 260,621,233 | 252,933,558 | 202,693,528 | 16,064,599 | ||||||||||||
Cash | 5,250,129 | 13,427,614 | 2,607,231 | 953,416 | ||||||||||||
Dividends and interest receivable | 343,008 | 114,658 | 212,835 | 6,307 | ||||||||||||
Prepaid expenses | 1,313 | 1,353 | 1,244 | 1,106 | ||||||||||||
Receivable for investments sold | 8,109 | — | 12,235 | 4,647 | ||||||||||||
Receivable for fund shares sold | 1,075 | 6,706 | 11,963 | 320 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable from affiliate | — | — | — | — | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 266,224,867 | 266,483,889 | 205,539,036 | 17,030,395 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 31,075 | 45,546 | 50,259 | 19,477 | ||||||||||||
Payable for investments purchased | 70,602 | — | 343,533 | — | ||||||||||||
Payable upon return of collateral for securities loaned | 15,559,565 | 2,316,500 | 16,002,829 | 17,250 | ||||||||||||
Payable for fund shares redeemed | 9,623 | 7,277 | 80,675 | 12,733 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | — | 119,280 | 12,292 | — | ||||||||||||
Payable to affiliate | 172,852 | 157,284 | 59,132 | 9,088 | ||||||||||||
Total Liabilities | 15,843,717 | 2,645,887 | 16,548,720 | 58,548 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 216,350,058 | 299,079,432 | 149,733,026 | 14,429,012 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 886,760 | (42,048 | ) | 1,250,358 | (16,096 | ) | ||||||||||
Accumulated undistributed net realized gain/(loss) | (3,211,666 | ) | (37,164,614 | ) | 10,985,886 | 2,300,000 | ||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 36,355,998 | 1,527,100 | 26,961,178 | 258,931 | ||||||||||||
Futures contracts | — | 438,132 | 59,868 | — | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 250,381,150 | $ | 263,838,002 | $ | 188,990,316 | $ | 16,971,847 | ||||||||
Shares of beneficial interest outstanding | 13,429,501 | 22,003,520 | 14,800,318 | 1,849,840 | ||||||||||||
Net asset value per share | $ | 18.64 | $ | 11.99 | $ | 12.77 | $ | 9.17 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
322
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 | ||||||||||||||||||||
| $ | 288,642,956 | $ | 200,576,146 | $ | 408,279,449 | $ | 69,469,295 | $ | 507,384,728 | $ | 825,845,962 | $ | 5,668,501 | |||||||||||||
| 332,277,143 | 207,367,708 | 448,448,449 | 75,991,414 | 482,060,261 | 703,632,728 | 5,908,698 | ||||||||||||||||||||
| — | 3,702,175 | 9,724,975 | 3,326,354 | — | 38,197,124 | — | ||||||||||||||||||||
| 332,277,143 | 211,069,883 | 458,173,424 | 79,317,768 | 482,060,261 | 741,829,852 | 5,908,698 | ||||||||||||||||||||
| 16,592,060 | 8,084,290 | 8,398,059 | 2,250,939 | 11,892,627 | (a) | 5,340,289 | (b) | 351,112 | ||||||||||||||||||
| 143,354 | 475,574 | 424,363 | 79,877 | 1,610,518 | 1,497,069 | 4,224 | ||||||||||||||||||||
| 1,553 | 1,234 | 1,691 | 1,025 | 1,451 | 2,436 | 867 | ||||||||||||||||||||
| 84,239 | 268,343 | 318,120 | 40,750 | 630,309 | — | — | ||||||||||||||||||||
| 5,414 | 442 | 2,955 | 505 | 237 | 7,879 | 106 | ||||||||||||||||||||
| — | — | — | — | 152,667 | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | 4,933 | ||||||||||||||||||||
| — | — | — | — | 16,833 | — | — | ||||||||||||||||||||
| 349,103,763 | 219,899,766 | 467,318,612 | 81,690,864 | 496,364,903 | 748,677,525 | 6,269,940 | ||||||||||||||||||||
| 63,953 | 23,233 | 51,394 | 19,475 | 52,277 | 127,703 | 9,163 | ||||||||||||||||||||
| — | 203,822 | 229,719 | 162,852 | 165,719 | — | 114,392 | ||||||||||||||||||||
| — | 3,702,175 | 9,724,975 | 3,326,354 | — | 38,197,124 | — | ||||||||||||||||||||
| 80,072 | 557 | 19,367 | 34,096 | 16,473 | 46,393 | 94 | ||||||||||||||||||||
| — | — | — | — | 161,139 | 142 | — | ||||||||||||||||||||
| — | — | — | 9,520 | 5,062 | — | — | ||||||||||||||||||||
| 126,224 | 139,916 | 267,739 | 24,545 | 377,821 | 478,658 | — | ||||||||||||||||||||
| 270,249 | 4,069,703 | 10,293,194 | 3,576,842 | 778,491 | 38,850,020 | 123,649 | ||||||||||||||||||||
| 333,038,070 | 207,457,577 | 465,145,568 | 62,734,386 | 525,232,470 | 1,024,414,105 | 6,304,040 | ||||||||||||||||||||
| 699,790 | 1,893,645 | 1,068,813 | 620,714 | (97,092 | ) | 19,809,786 | (5,140 | ) | ||||||||||||||||||
| (28,538,533 | ) | (4,014,896 | ) | (59,082,938 | ) | 4,825,077 | (4,218,911 | ) | (250,371,602 | ) | (392,806 | ) | ||||||||||||||
| 43,634,187 | 10,493,737 | 49,893,975 | 9,848,473 | (25,324,467 | ) | (84,016,110 | ) | 240,197 | ||||||||||||||||||
| — | — | — | 85,372 | 22,100 | — | — | ||||||||||||||||||||
| — | — | — | — | (8,472 | ) | (142 | ) | — | ||||||||||||||||||
| — | — | — | — | (19,216 | ) | (8,532 | ) | — | ||||||||||||||||||
| $ | 348,833,514 | $ | 215,830,063 | $ | 457,025,418 | $ | 78,114,022 | $ | 495,586,412 | $ | 709,827,505 | $ | 6,146,291 | |||||||||||||
| 19,933,836 | 17,252,233 | 39,813,988 | 6,625,001 | 67,048,254 | 77,286,224 | 604,748 | ||||||||||||||||||||
| $ | 17.50 | $ | 12.51 | $ | 11.48 | $ | 11.79 | $ | 7.39 | $ | 9.18 | $ | 10.16 | |||||||||||||
| (a) | Includes foreign currency holdings of $71,944 (cost $72,175). |
| (b) | Includes foreign currency holdings of $32,099 (cost $31,925). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
323
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2011 | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 11,455,458 | $ | 6,828,826 | $ | 49,639,043 | $ | 13,586,589 | ||||||||
Investments in securities at value | 12,138,770 | 6,359,144 | 50,801,448 | 12,718,260 | ||||||||||||
Investments in affiliates at value | — | — | — | — | ||||||||||||
Investments at Value | 12,138,770 | 6,359,144 | 50,801,448 | 12,718,260 | ||||||||||||
Cash | 571,876 | 412,780 | 543,799 | 212,350 | ||||||||||||
Dividends and interest receivable | 2,327 | 10,371 | 64,748 | 16,750 | ||||||||||||
Prepaid expenses | 876 | 871 | 976 | 1,533 | ||||||||||||
Receivable for investments sold | 96,324 | — | 110,726 | — | ||||||||||||
Receivable for fund shares sold | 5,278 | — | 663 | 311 | ||||||||||||
Receivable from affiliate | — | 4,370 | — | — | ||||||||||||
Total Assets | 12,815,451 | 6,787,536 | 51,522,360 | 12,949,204 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 8,993 | 9,164 | 15,852 | 31,470 | ||||||||||||
Payable for investments purchased | 95,670 | 67,404 | 95,974 | — | ||||||||||||
Payable upon return of collateral for securities loaned | — | — | — | — | ||||||||||||
Payable for fund shares redeemed | 235 | 5,254 | 9,057 | 3,325 | ||||||||||||
Open options written, at value | — | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 1,052 | — | 33,375 | 7,423 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 105,950 | 81,822 | 154,258 | 42,218 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 12,133,538 | 7,568,889 | 64,341,628 | 9,459,802 | ||||||||||||
Accumulated undistributed net investment income/(loss) | (6,326 | ) | 38,289 | 284,934 | 242,609 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (101,023 | ) | (431,782 | ) | (14,420,865 | ) | 4,072,904 | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 683,312 | (469,682 | ) | 1,162,405 | (868,329 | ) | ||||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Total Net Assets | $ | 12,709,501 | $ | 6,705,714 | $ | 51,368,102 | $ | 12,906,986 | ||||||||
Shares of beneficial interest outstanding | 1,359,607 | 825,628 | 6,085,163 | 2,025,271 | ||||||||||||
Net asset value per share | $ | 9.35 | $ | 8.12 | $ | 8.44 | $ | 6.37 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
324
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 | ||||||||||||||||||||
| $ | 776,631,318 | $ | 36,368,668 | $ | 704,723,019 | $ | 547,069,600 | $ | 253,051,735 | $ | 80,610,472 | $ | 240,297,748 | |||||||||||||
| 788,001,985 | 49,886,594 | 747,655,183 | 552,439,194 | 286,342,362 | 80,654,167 | 260,536,555 | ||||||||||||||||||||
| — | 1,659,825 | 6,250,075 | 1,256,975 | 1,237,026 | — | 1,713,875 | ||||||||||||||||||||
| 788,001,985 | 51,546,419 | 753,905,258 | 553,696,169 | 287,579,388 | 80,654,167 | 262,250,430 | ||||||||||||||||||||
| 17,005,650 | 1,200,854 | 3,595,600 | 13,054,054 | 4,685,904 | 7,613,945 | 1,272,393 | ||||||||||||||||||||
| 1,094,744 | 42,381 | 1,314,040 | 811,928 | 437,990 | 153,455 | 708,528 | ||||||||||||||||||||
| 2,733 | 971 | 2,276 | 2,003 | 1,478 | 970 | 1,373 | ||||||||||||||||||||
| — | 34,765 | — | — | 45,760 | — | 24,960 | ||||||||||||||||||||
| 44,018 | 11,993 | 13,665 | 8,942 | 14,808 | 24,964 | 10,218 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 806,149,130 | 52,837,383 | 758,830,839 | 567,573,096 | 292,765,328 | 88,447,501 | 264,267,902 | ||||||||||||||||||||
| 196,927 | 15,674 | 87,681 | 84,328 | 77,065 | 10,241 | 69,951 | ||||||||||||||||||||
| — | 25,724 | — | — | — | — | 21,816,420 | ||||||||||||||||||||
| — | 1,659,825 | 6,250,075 | 1,256,975 | 1,237,026 | — | 1,713,875 | ||||||||||||||||||||
| 379,418 | 4,934 | 47,151 | 32,459 | 56,192 | 1,795 | 49,526 | ||||||||||||||||||||
| — | — | — | 24,100 | — | 270,465 | — | ||||||||||||||||||||
| — | — | — | 8,400 | 20,400 | 37,423 | 7,200 | ||||||||||||||||||||
| 289,653 | 31,411 | 391,656 | 317,247 | 89,344 | 49,758 | 75,446 | ||||||||||||||||||||
| — | — | — | — | — | — | 13,444 | ||||||||||||||||||||
| 865,998 | 1,737,568 | 6,776,563 | 1,723,509 | 1,480,027 | 369,682 | 23,745,862 | ||||||||||||||||||||
| 1,145,033,219 | 39,377,117 | 827,849,977 | 664,030,620 | 276,118,031 | 93,701,322 | 212,115,057 | ||||||||||||||||||||
| 74,149 | (11,999 | ) | 13,258,241 | 5,991,140 | 5,168,346 | 1,497,783 | 5,214,816 | |||||||||||||||||||
| (351,194,903 | ) | (3,443,054 | ) | (138,236,181 | ) | (110,832,494 | ) | (24,710,018 | ) | (7,251,020 | ) | 1,204,512 | ||||||||||||||
| 11,370,667 | 15,177,751 | 49,182,239 | 6,626,569 | 34,527,653 | 43,695 | 21,952,682 | ||||||||||||||||||||
| — | — | — | (7,050 | ) | — | (89,026 | ) | — | ||||||||||||||||||
| — | — | — | 40,802 | 181,289 | 175,065 | 34,973 | ||||||||||||||||||||
| $ | 805,283,132 | $ | 51,099,815 | $ | 752,054,276 | $ | 565,849,587 | $ | 291,285,301 | $ | 88,077,819 | $ | 240,522,040 | |||||||||||||
| 50,445,809 | 4,479,057 | 72,354,692 | 69,766,364 | 16,445,505 | 9,995,282 | 16,608,053 | ||||||||||||||||||||
| $ | 15.96 | $ | 11.41 | $ | 10.39 | $ | 8.11 | $ | 17.71 | $ | 8.81 | $ | 14.48 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
325
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2011 | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 819,938,458 | $ | 118,162,533 | $ | 8,865,226 | $ | 1,522,054,760 | ||||||||
Investments in securities at value | 758,792,772 | 112,198,559 | 8,954,470 | 1,528,763,021 | ||||||||||||
Investments in affiliates at value | 50,915,269 | 4,748,550 | — | 27,407,116 | ||||||||||||
Investments at Value | 809,708,041 | 116,947,109 | 8,954,470 | 1,556,170,137 | ||||||||||||
Cash | 5,024,731 | 9,088,477 | 1,370,737 | 11,939,758 | ||||||||||||
Dividends and interest receivable | 14,543,124 | 1,060,385 | 67,141 | 15,775,146 | ||||||||||||
Prepaid expenses | 2,263 | 1,025 | 871 | 3,240 | ||||||||||||
Receivable for investments sold | 710,747 | 4,467 | — | 65,680 | ||||||||||||
Receivable for fund shares sold | 28,567 | 59,627 | 17,687 | 58,428 | ||||||||||||
Swap agreements, at value | — | — | — | — | ||||||||||||
Receivable from affiliate | — | — | 3,670 | — | ||||||||||||
Receivable for variation margin | — | 14,069 | 3,156 | 212,111 | ||||||||||||
Total Assets | 830,017,473 | 127,175,159 | 10,417,732 | 1,584,224,500 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 93,332 | 19,920 | 9,155 | 136,242 | ||||||||||||
Payable for investments purchased | — | 3,915,328 | 176,483 | 92,410,938 | ||||||||||||
Payable upon return of collateral for securities loaned | 50,915,269 | 4,748,550 | — | 27,407,116 | ||||||||||||
Payable for fund shares redeemed | 207,460 | 15,702 | 1,731 | 123,240 | ||||||||||||
Open options written, at value | — | 24,100 | — | — | ||||||||||||
Payable for variation margin | — | 15,309 | — | 505,857 | ||||||||||||
Payable to affiliate | 275,131 | 41,746 | — | 518,807 | ||||||||||||
Mortgage dollar roll deferred revenue | — | 1,580 | — | 52,839 | ||||||||||||
Total Liabilities | 51,491,192 | 8,782,235 | 187,369 | 121,155,039 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 920,072,598 | 130,481,817 | 9,814,861 | 1,456,253,953 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 431,283 | 5,453,179 | (849 | ) | 117,953 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (131,747,183 | ) | (16,341,418 | ) | 304,879 | (24,975,253 | ) | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (10,230,417 | ) | (1,215,424 | ) | 89,244 | 34,115,377 | ||||||||||
Affiliated investments | — | — | — | — | ||||||||||||
Written option contracts | — | (7,050 | ) | — | — | |||||||||||
Futures contracts | — | 21,820 | 22,228 | (2,442,569 | ) | |||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Total Net Assets | $ | 778,526,281 | $ | 118,392,924 | $ | 10,230,363 | $ | 1,463,069,461 | ||||||||
Shares of beneficial interest outstanding | 166,983,768 | 18,055,186 | 955,411 | 145,059,373 | ||||||||||||
Net asset value per share | $ | 4.66 | $ | 6.56 | $ | 10.71 | $ | 10.09 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
326
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||
| $ | 209,697,621 | $ | 1,624,922,217 | $ | 55,581,892 | $ | 146,923,595 | |||||||
| 209,955,467 | 1,498,284,185 | 54,261,965 | 146,923,595 | |||||||||||
| 4,114,838 | 107,800,679 | — | — | |||||||||||
| 214,070,305 | 1,606,084,864 | 54,261,965 | 146,923,595 | (a) | ||||||||||
| 2,123,315 | 30,170 | 1,667,137 | 20,086,527 | |||||||||||
| 861,702 | 7,281,489 | 34,496 | 51,853 | |||||||||||
| 1,147 | 2,954 | 918 | 1,258 | |||||||||||
| — | 24,698 | — | 3,418,924 | |||||||||||
| 147,692 | 66,845 | 1,357 | 172,405 | |||||||||||
| — | 1,023,770 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | 1,563 | 1,406 | — | |||||||||||
| 217,204,161 | 1,614,516,353 | 55,967,279 | 170,654,562 | |||||||||||
| 38,035 | 107,952 | 13,849 | 3,526 | |||||||||||
| 48,429,487 | 27,419,711 | 23,498,701 | — | |||||||||||
| 4,114,838 | 88,106,653 | — | — | |||||||||||
| 65,252 | 56,649 | 4,242 | 159,566 | |||||||||||
| — | — | — | — | |||||||||||
| — | 444,366 | — | — | |||||||||||
| 51,385 | 529,364 | 14,292 | 31,589 | |||||||||||
| 42,829 | 19,257 | 13,867 | — | |||||||||||
| 52,741,826 | 116,683,952 | 23,544,951 | 194,681 | |||||||||||
| 158,107,030 | 1,533,909,346 | 32,939,471 | 170,459,881 | |||||||||||
| 28,355 | (327,345 | ) | 1,082 | — | ||||||||||
| 1,954,266 | (14,204,452 | ) | 796,014 | — | ||||||||||
| 4,372,684 | (23,031,380 | ) | (1,319,927 | ) | — | |||||||||
| — | 4,194,027 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| — | (1,976,722 | ) | 5,688 | — | ||||||||||
| — | (731,073 | ) | — | — | ||||||||||
| $ | 164,462,335 | $ | 1,497,832,401 | $ | 32,422,328 | $ | 170,459,881 | |||||||
| 14,667,623 | 154,862,611 | 3,103,892 | 170,459,881 | |||||||||||
| $ | 11.21 | $ | 9.67 | $ | 10.45 | $ | 1.00 | |||||||
| (a) | Securities held by this fund are valued on the basis of amortized cost, which approximates market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
327
Statement of Operations
For the year ended December 31, 2011 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 2,727,290 | $ | 7,902,378 | $ | 9,013,465 | $ | 3,009,529 | ||||||||
Interest | 1,336,581 | 9,787,584 | 19,526,578 | 10,875,563 | ||||||||||||
Income from mortgage dollar rolls | 103,259 | 710,563 | 982,292 | 646,714 | ||||||||||||
Income from securities loaned | — | — | — | — | ||||||||||||
Income from affiliated investments | 1,201,949 | 22,615,200 | 54,968,213 | 30,160,586 | ||||||||||||
Foreign tax withholding | (46,035 | ) | (113,431 | ) | (115,993 | ) | (19,597 | ) | ||||||||
Total Investment Income | 5,323,044 | 40,902,294 | 84,374,555 | 44,672,795 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 2,190,801 | 7,781,800 | 10,373,411 | 5,091,906 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 197,390 | 607,003 | 863,541 | 443,692 | ||||||||||||
Audit and legal fees | 26,090 | 56,888 | 74,098 | 42,340 | ||||||||||||
Custody fees | 91,804 | 111,819 | 119,430 | 65,540 | ||||||||||||
Insurance expenses | 6,850 | 19,101 | 26,094 | 13,388 | ||||||||||||
Directors’ fees | 11,987 | 30,291 | 41,180 | 23,319 | ||||||||||||
Other expenses | 25,344 | 28,274 | 29,334 | 18,537 | ||||||||||||
Total Expenses Before Reimbursement | 2,550,266 | 8,635,176 | 11,527,088 | 5,698,722 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (83,194 | ) | — | — | — | |||||||||||
Custody earnings credit | (342 | ) | (138 | ) | (115 | ) | (126 | ) | ||||||||
Total Net Expenses | 2,466,730 | 8,635,038 | 11,526,973 | 5,698,596 | ||||||||||||
Net Investment Income/(Loss) | 2,856,314 | 32,267,256 | 72,847,582 | 38,974,199 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 8,027,155 | 17,000,724 | 15,901,155 | 10,760,400 | ||||||||||||
Affiliated investments | 8,590,870 | 1,192,103 | (8,951,111 | ) | (3,366,805 | ) | ||||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
Distributions of realized capital gains from affiliated investments | 2,512,593 | 7,908,996 | 7,676,263 | 1,989,590 | ||||||||||||
Written option contracts | 813 | 2,031 | 2,438 | 813 | ||||||||||||
Futures contracts | 5,675,239 | 5,433,220 | 8,059,841 | 435,152 | ||||||||||||
Foreign currency transactions | (40,422 | ) | (109,687 | ) | (100,276 | ) | (952 | ) | ||||||||
Swap agreements | 127,472 | 1,654,393 | 2,499,043 | 1,077,349 | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (16,351,058 | ) | (28,738,622 | ) | (30,310,436 | ) | (15,799,899 | ) | ||||||||
Affiliated investments | (35,591,325 | ) | (117,867,488 | ) | (119,605,006 | ) | (37,213,151 | ) | ||||||||
Futures contracts | 846,963 | 1,743,367 | 2,177,286 | 3,843,944 | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (360 | ) | (934 | ) | (841 | ) | — | |||||||||
Swap agreements | 3,247 | 153,504 | 919,550 | 444,540 | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | (26,198,813 | ) | (111,628,393 | ) | (121,732,094 | ) | (37,829,019 | ) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (23,342,499 | ) | $ | (79,361,137 | ) | $ | (48,884,512 | ) | $ | 1,145,180 | |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
328
Thrivent Series Fund, Inc.
Statement of Operations – continued
Partner | Partner Healthcare Portfolio | Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | ||||||||||||||||||||
| $ | 148,344 | $ | 297,955 | $ | 444,177 | $ | 1,191,323 | $ | 6,815,495 | $ | 277,889 | $ | 647,845 | |||||||||||||
| 111 | — | 540 | 23 | 8,659 | — | 3,595 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 159,163 | — | — | — | 45,529 | — | 126,593 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (19,169 | ) | (5,720 | ) | (93,838 | ) | (8,147 | ) | (310 | ) | — | |||||||||||||||
| 307,618 | 278,786 | 438,997 | 1,097,508 | 6,861,536 | 277,579 | 778,033 | ||||||||||||||||||||
| 100,349 | 54,521 | 225,886 | 186,805 | 2,346,960 | 60,909 | 782,654 | ||||||||||||||||||||
| 150,523 | 118,128 | 30,164 | 301,077 | — | 7,727 | 1,328,003 | ||||||||||||||||||||
| 86,690 | 83,635 | 86,828 | 88,132 | 138,674 | 81,830 | 122,213 | ||||||||||||||||||||
| 17,261 | 16,964 | 17,136 | 37,003 | 22,188 | 16,805 | 20,025 | ||||||||||||||||||||
| 7,542 | 8,416 | 6,164 | 42,781 | 17,721 | 4,140 | 37,771 | ||||||||||||||||||||
| 3,399 | 3,294 | 3,401 | 3,430 | 5,234 | 3,235 | 4,556 | ||||||||||||||||||||
| 4,809 | 4,580 | 4,580 | 4,580 | 17,266 | 4,580 | 12,306 | ||||||||||||||||||||
| 7,826 | 8,756 | 8,063 | 12,649 | 10,638 | 8,141 | 10,526 | ||||||||||||||||||||
| 378,399 | 298,294 | 382,222 | 676,457 | 2,558,681 | 187,367 | 2,318,054 | ||||||||||||||||||||
| — | (62,556 | ) | — | (93,320 | ) | — | (104,613 | ) | (211,066 | ) | ||||||||||||||||
| (195 | ) | (172 | ) | (772 | ) | (538 | ) | (24 | ) | (248 | ) | (836 | ) | |||||||||||||
| 378,204 | 235,566 | 381,450 | 582,599 | 2,558,657 | 82,506 | 2,106,152 | ||||||||||||||||||||
| (70,586 | ) | 43,220 | 57,547 | 514,909 | 4,302,879 | 195,073 | (1,328,119 | ) | ||||||||||||||||||
| 3,927,971 | 248,326 | 4,348,045 | 1,076,613 | 14,742,097 | 129,974 | 30,411,991 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | 32,083,911 | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (5,117 | ) | (7,499 | ) | (8,387 | ) | (494 | ) | (231 | ) | — | |||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| (8,364,415 | ) | (993,415 | ) | (9,582,100 | ) | (6,285,582 | ) | (49,731,717 | ) | 487,001 | (37,113,124 | ) | ||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | 176 | — | — | — | ||||||||||||||||||||
| — | (2,714 | ) | (131 | ) | (2,874 | ) | 639 | (90 | ) | — | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| (4,436,444 | ) | (752,920 | ) | (5,241,685 | ) | (5,220,054 | ) | (2,905,564 | ) | 616,654 | (6,701,133 | ) | ||||||||||||||
| $ | (4,507,030 | ) | $ | (709,700 | ) | $ | (5,184,138 | ) | $ | (4,705,145 | ) | $ | 1,397,315 | $ | 811,727 | $ | (8,029,252 | ) | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
329
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2011 | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 3,532,186 | $ | 1,819,294 | $ | 2,128,198 | $ | 815,558 | ||||||||
Interest | 2,907 | 19,526 | 1,324 | 6,054 | ||||||||||||
Income from securities loaned | 42,334 | 53,126 | 86,384 | 10,908 | ||||||||||||
Foreign tax withholding | (3,549 | ) | (138 | ) | — | (1,132 | ) | |||||||||
Total Investment Income | 3,573,878 | 1,891,808 | 2,215,906 | 831,388 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 513,515 | 1,953,949 | 713,450 | 1,271,796 | ||||||||||||
Sub-Adviser fees | 1,540,545 | — | — | — | ||||||||||||
Administrative service fees | 131,351 | 137,045 | 120,769 | 108,262 | ||||||||||||
Audit and legal fees | 20,973 | 21,530 | 20,203 | 19,254 | ||||||||||||
Custody fees | 15,021 | 20,920 | 34,630 | 13,674 | ||||||||||||
Insurance expenses | 4,852 | 5,076 | 4,518 | 4,167 | ||||||||||||
Directors’ fees | 14,170 | 15,719 | 13,119 | 10,277 | ||||||||||||
Other expenses | 10,339 | 10,131 | 16,002 | 9,143 | ||||||||||||
Total Expenses Before Reimbursement | 2,250,766 | 2,164,370 | 922,691 | 1,436,573 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | — | (423,932 | ) | |||||||||||
Custody earnings credit | (251 | ) | (107 | ) | (229 | ) | (128 | ) | ||||||||
Total Net Expenses | 2,250,515 | 2,164,263 | 922,462 | 1,012,513 | ||||||||||||
Net Investment Income/(Loss) | 1,323,363 | (272,455 | ) | 1,293,444 | (181,125 | ) | ||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 3,364,198 | 39,441,336 | 16,005,145 | 6,198,365 | ||||||||||||
In-kind redemptions | — | — | — | 31,095,319 | ||||||||||||
Futures contracts | — | (733,975 | ) | (146,843 | ) | — | ||||||||||
Foreign currency transactions | (124 | ) | (8,424 | ) | — | — | ||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (9,846,842 | ) | (52,971,169 | ) | (15,822,439 | ) | (38,135,402 | ) | ||||||||
Futures contracts | — | 9,714 | 23,449 | — | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | (6,482,768 | ) | (14,262,518 | ) | 59,312 | (841,718 | ) | |||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (5,159,405 | ) | $ | (14,534,973 | ) | $ | 1,352,756 | $ | (1,022,843 | ) | |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
330
Thrivent Series Fund, Inc.
Statement of Operations – continued
Mid Cap Growth | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | ||||||||||||||||||||
| $2,588,966 | $ | 3,820,929 | $ | 4,736,554 | $ | 1,089,367 | $ | 15,222,367 | $ | 28,491,788 | $ | 55,361 | ||||||||||||||
| 11,615 | 3,121 | 16,601 | 854 | 3,434,500 | 8,153 | — | ||||||||||||||||||||
| 22,570 | 21,863 | 34,110 | 10,959 | — | 901,065 | — | ||||||||||||||||||||
| (5,457) | (103 | ) | (3,430 | ) | — | (1,273,136 | ) | (2,404,457 | ) | (1,179 | ) | |||||||||||||||
| 2,617,694 | 3,845,810 | 4,783,835 | 1,101,180 | 17,383,731 | 26,996,549 | 54,182 | ||||||||||||||||||||
| 1,571,119 | 620,883 | 3,317,962 | 307,814 | 1,995,791 | 4,010,441 | 16,461 | ||||||||||||||||||||
| — | 1,094,224 | — | — | 2,696,768 | 2,875,041 | 27,436 | ||||||||||||||||||||
| 158,556 | 125,737 | 179,014 | 97,589 | 187,472 | 245,887 | 81,098 | ||||||||||||||||||||
| 23,424 | 20,406 | 24,885 | 18,190 | 32,435 | 31,031 | 16,750 | ||||||||||||||||||||
| 18,167 | 28,255 | 20,269 | 20,180 | 312,735 | 257,187 | 6,779 | ||||||||||||||||||||
| 5,705 | 4,630 | 6,434 | 3,763 | 6,328 | 8,422 | 3,214 | ||||||||||||||||||||
| 20,236 | 12,818 | 23,065 | 5,036 | 22,948 | 37,316 | 4,580 | ||||||||||||||||||||
| 10,760 | 9,470 | 10,939 | 12,933 | 64,913 | 33,657 | 7,857 | ||||||||||||||||||||
| 1,807,967 | 1,916,423 | 3,582,568 | 465,505 | 5,319,390 | 7,498,982 | 164,175 | ||||||||||||||||||||
| — | — | — | — | — | (692,700 | ) | (110,272 | ) | ||||||||||||||||||
| (160) | (237 | ) | (109 | ) | (443 | ) | (2,110 | ) | (326 | ) | (77 | ) | ||||||||||||||
| 1,807,807 | 1,916,186 | 3,582,459 | 465,062 | 5,317,280 | 6,805,956 | 53,826 | ||||||||||||||||||||
| 809,887 | 1,929,624 | 1,201,376 | 636,118 | 12,066,451 | 20,190,593 | 356 | ||||||||||||||||||||
| 17,854,603 | 19,848,018 | 31,255,555 | 7,706,917 | 16,835,029 | 39,196,279 | (a) | 217,579 | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | (274,923 | ) | 263,275 | — | — | |||||||||||||||||||
| — | — | — | — | (395,141 | ) | (406,656 | ) | — | ||||||||||||||||||
| — | — | — | — | (2,150 | ) | — | — | |||||||||||||||||||
| (38,786,888) | (36,357,876 | ) | (62,951,078 | ) | (9,589,245 | ) | (98,990,540 | ) | (174,309,362 | ) | (398,153 | ) | ||||||||||||||
| — | — | — | 62,284 | 136,128 | — | — | ||||||||||||||||||||
| — | — | — | — | 87,952 | 3,246 | — | ||||||||||||||||||||
| — | — | — | — | (45,555 | ) | (118,385 | ) | — | ||||||||||||||||||
| (20,932,285) | (16,509,858 | ) | (31,695,523 | ) | (2,094,967 | ) | (82,111,002 | ) | (135,634,878 | ) | (180,574 | ) | ||||||||||||||
|
$(20,122,398) |
| $ | (14,580,234 | ) | $ | (30,494,147 | ) | $ | (1,458,849 | ) | $ | (70,044,551 | ) | $ | (115,444,285 | ) | $ | (180,218 | ) | ||||||
| (a) | Includes foreign capital gain taxes paid of $14,610. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
331
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2011 | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio II | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 100,716 | $ | 117,781 | $ | 925,770 | $ | 3,551,088 | ||||||||
Interest | — | — | — | 9,599 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | — | — | 1,086 | 39,168 | ||||||||||||
Foreign tax withholding | (2,004 | ) | (1,772 | ) | (8,190 | ) | (129,414 | ) | ||||||||
Total Investment Income | 98,712 | 116,009 | 918,666 | 3,470,441 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 40,219 | 22,213 | 201,422 | 2,750,520 | ||||||||||||
Sub-Adviser fees | 87,141 | 33,320 | 345,296 | — | ||||||||||||
Administrative service fees | 82,681 | 81,481 | 91,510 | 148,763 | ||||||||||||
Audit and legal fees | 16,866 | 16,796 | 17,679 | 22,851 | ||||||||||||
Custody fees | 5,596 | 9,386 | 36,938 | 22,187 | ||||||||||||
Insurance expenses | 3,267 | 3,232 | 3,556 | 5,550 | ||||||||||||
Directors’ fees | 4,581 | 4,581 | 4,791 | 18,120 | ||||||||||||
Other expenses | 8,272 | 7,832 | 8,918 | 10,011 | ||||||||||||
Total Expenses Before Reimbursement | 248,623 | 178,841 | 710,110 | 2,978,002 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (114,415 | ) | (106,150 | ) | (115,098 | ) | (644,955 | ) | ||||||||
Custody earnings credit | (202 | ) | (182 | ) | (260 | ) | (125 | ) | ||||||||
Total Net Expenses | 134,006 | 72,509 | 594,752 | 2,332,922 | ||||||||||||
Net Investment Income/(Loss) | (35,294 | ) | 43,500 | 323,914 | 1,137,519 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 992,252 | 591,455 | 5,397,966 | 17,210,060 | ||||||||||||
In-kind redemptions | — | — | — | (3,957,731 | ) | |||||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | 35 | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (2,010,738 | ) | (1,408,253 | ) | (8,435,631 | ) | (47,505,736 | ) | ||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | (1,018,486 | ) | (816,763 | ) | (3,037,665 | ) | (34,253,407 | ) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (1,053,780 | ) | $ | (773,263 | ) | $ | (2,713,751 | ) | $ | (33,115,888 | ) | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
332
Thrivent Series Fund, Inc.
Statement of Operations – continued
Large Cap | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | ||||||||||||||||||||
| $ | 9,109,247 | $ | 426,050 | $ | 18,487,757 | $ | 10,304,736 | $ | 6,509,901 | $ | 1,897,540 | $ | 3,457,216 | |||||||||||||
| 7,040 | 36 | 8,400 | 29,896 | 4,869 | 362,158 | 2,225,596 | ||||||||||||||||||||
| — | — | — | — | — | — | 714,766 | ||||||||||||||||||||
| 49,988 | 9,850 | 24,332 | 30,503 | 26,260 | — | 15,437 | ||||||||||||||||||||
| (162,928 | ) | (1,227 | ) | (118,411 | ) | (128,354 | ) | — | (30,904 | ) | — | |||||||||||||||
| 9,003,347 | 434,709 | 18,402,078 | 10,236,781 | 6,541,030 | 2,228,794 | 6,413,015 | ||||||||||||||||||||
| 3,635,164 | 228,592 | 4,718,767 | 3,857,242 | 1,064,255 | 555,413 | 891,758 | ||||||||||||||||||||
| — | 228,593 | — | — | — | — | — | ||||||||||||||||||||
| 261,758 | 91,430 | 237,292 | 201,122 | 142,617 | 97,090 | 131,260 | ||||||||||||||||||||
| 32,408 | 17,664 | 29,664 | 26,734 | 24,176 | 19,682 | 22,178 | ||||||||||||||||||||
| 47,708 | 19,565 | 27,664 | 40,264 | 32,794 | 15,739 | 35,754 | ||||||||||||||||||||
| 9,011 | 3,547 | 8,196 | 7,011 | 5,171 | 3,698 | 4,772 | ||||||||||||||||||||
| 43,293 | 4,848 | 34,365 | 28,098 | 17,883 | 4,607 | 15,711 | ||||||||||||||||||||
| 14,050 | 9,519 | 12,557 | 12,117 | 15,653 | 11,621 | 24,493 | ||||||||||||||||||||
| 4,043,392 | 603,758 | 5,068,505 | 4,172,588 | 1,302,549 | 707,850 | 1,125,926 | ||||||||||||||||||||
| — | (57,148 | ) | — | — | — | — | — | |||||||||||||||||||
| (110 | ) | (124 | ) | (102 | ) | (274 | ) | (162 | ) | (736 | ) | (290 | ) | |||||||||||||
| 4,043,282 | 546,486 | 5,068,403 | 4,172,314 | 1,302,387 | 707,114 | 1,125,636 | ||||||||||||||||||||
| 4,960,065 | (111,777 | ) | 13,333,675 | 6,064,467 | 5,238,643 | 1,521,680 | 5,287,379 | |||||||||||||||||||
| 95,643,198 | 6,716,623 | 46,625,093 | 41,261,604 | 4,192,361 | 3,228,434 | 6,989,930 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 339,935 | — | — | 34,439 | — | (187,135 | ) | — | |||||||||||||||||||
| — | — | — | 2,164,456 | (413,657 | ) | (177,087 | ) | 344,744 | ||||||||||||||||||
| — | (996 | ) | — | — | — | — | — | |||||||||||||||||||
| (147,794,994 | ) | (7,257,902 | ) | (84,034,835 | ) | (76,328,882 | ) | (3,224,336 | ) | (6,795,261 | ) | (1,997,826 | ) | |||||||||||||
| — | — | — | (15,675 | ) | — | (90,464 | ) | — | ||||||||||||||||||
| — | — | — | (655,273 | ) | 95,140 | 28,994 | 34,547 | |||||||||||||||||||
| — | 392 | — | — | — | — | — | ||||||||||||||||||||
| (51,811,861 | ) | (541,883 | ) | (37,409,742 | ) | (33,539,331 | ) | 649,508 | (3,992,519 | ) | 5,371,395 | |||||||||||||||
| $ | (46,851,796 | ) | $ | (653,660 | ) | $ | (24,076,067 | ) | $ | (27,474,864 | ) | $ | 5,888,151 | $ | (2,470,839 | ) | $ | 10,658,774 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
333
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2011 | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | Income Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 683,853 | $ | 1,691,678 | $ | — | $ | 560,657 | ||||||||
Interest | 63,448,730 | 4,622,063 | 290,453 | 66,588,027 | ||||||||||||
Income from mortgage dollar rolls | — | 9,166 | — | 2,175,003 | ||||||||||||
Income from securities loaned | 275,011 | 30,953 | — | 45,717 | ||||||||||||
Income from affiliated investments | — | — | — | 841,733 | ||||||||||||
Foreign tax withholding | — | (23,973 | ) | — | — | |||||||||||
Total Investment Income | 64,407,594 | 6,329,887 | 290,453 | 70,211,137 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 3,119,514 | 458,207 | 25,491 | 5,653,792 | ||||||||||||
Sub-Adviser fees | — | — | 33,988 | — | ||||||||||||
Administrative service fees | 235,976 | 102,910 | 81,699 | 362,690 | ||||||||||||
Audit and legal fees | 29,275 | 18,385 | 16,820 | 38,009 | ||||||||||||
Custody fees | 25,360 | 18,279 | 7,094 | 48,811 | ||||||||||||
Insurance expenses | 7,787 | 3,862 | 3,230 | 11,245 | ||||||||||||
Directors’ fees | 34,554 | 8,799 | 4,580 | 57,348 | ||||||||||||
Other expenses | 22,862 | 17,022 | 11,321 | 39,107 | ||||||||||||
Total Expenses Before Reimbursement | 3,475,328 | 627,464 | 184,223 | 6,211,002 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | (126,121 | ) | (42,463 | ) | ||||||||||
Custody earnings credit | (157 | ) | (763 | ) | (227 | ) | (148 | ) | ||||||||
Total Net Expenses | 3,475,171 | 626,701 | 57,875 | 6,168,391 | ||||||||||||
Net Investment Income/(Loss) | 60,932,423 | 5,703,186 | 232,578 | 64,042,746 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 20,765,705 | 3,770,932 | 366,809 | 27,266,316 | ||||||||||||
Affiliated investments | — | — | — | 4,847,903 | ||||||||||||
Written option contracts | — | (72,171 | ) | — | — | |||||||||||
Futures contracts | 3,291 | (303,493 | ) | (50,974 | ) | (3,483,681 | ) | |||||||||
Foreign currency transactions | (167,342 | ) | (1,459 | ) | — | (22,823 | ) | |||||||||
Swap agreements | 397,788 | (270,017 | ) | — | (845,504 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (45,857,753 | ) | (6,657,456 | ) | (38,458 | ) | 129,613 | |||||||||
Affiliated investments | — | — | — | (4,993,310 | ) | |||||||||||
Written option contracts | — | (7,913 | ) | — | — | |||||||||||
Futures contracts | — | (25,170 | ) | 41,086 | (6,522,189 | ) | ||||||||||
Swap agreements | — | 306,020 | — | 139,943 | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | (24,858,311 | ) | (3,260,727 | ) | 318,463 | 16,516,268 | ||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 36,074,112 | $ | 2,442,459 | $ | 551,041 | $ | 80,559,014 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
334
Thrivent Series Fund, Inc.
Statement of Operations – continued
Bond Index | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||
| $ | — | $ | 316,576 | $ | — | $ | 13,332 | |||||||
| 3,748,677 | 36,988,438 | 588,735 | 479,918 | |||||||||||
| 1,451,520 | 596,493 | 662,768 | — | |||||||||||
| 4,186 | 48,944 | — | — | |||||||||||
| — | 1,570,420 | — | — | |||||||||||
| — | — | — | — | |||||||||||
| 5,204,383 | 39,520,871 | 1,251,503 | 493,250 | |||||||||||
| 552,188 | 5,763,592 | 165,474 | 669,639 | |||||||||||
| — | — | — | — | |||||||||||
| 111,553 | 368,180 | 86,619 | 113,482 | |||||||||||
| 19,295 | 37,976 | 17,221 | 19,056 | |||||||||||
| 16,942 | 46,356 | 9,627 | 17,189 | |||||||||||
| 4,086 | 11,330 | 3,378 | 4,121 | |||||||||||
| 11,150 | 56,766 | 4,795 | 12,862 | |||||||||||
| 17,809 | 28,050 | 9,249 | 9,478 | |||||||||||
| 733,023 | 6,312,250 | 296,363 | 845,827 | |||||||||||
| — | (77,877 | ) | — | (349,498 | ) | |||||||||
| (330 | ) | (131 | ) | (513 | ) | (29 | ) | |||||||
| 732,693 | 6,234,242 | 295,850 | 496,300 | |||||||||||
| 4,471,690 | 33,286,629 | 955,653 | (3,050 | ) | ||||||||||
| 2,271,157 | 13,397,540 | 892,579 | 3,050 | |||||||||||
| — | — | — | — | |||||||||||
| — | — | 1,016 | — | |||||||||||
| — | (16,483,488 | ) | 54,331 | — | ||||||||||
| — | — | — | — | |||||||||||
| — | 1,049,461 | — | — | |||||||||||
| 5,624,220 | (11,888,274 | ) | (460,143 | ) | — | |||||||||
| — | (673,300 | ) | — | — | ||||||||||
| — | — | — | — | |||||||||||
| — | (6,820,686 | ) | 21,406 | — | ||||||||||
| — | (518,321 | ) | — | — | ||||||||||
| 7,895,377 | (21,937,068 | ) | 509,189 | 3,050 | ||||||||||
$ |
12,367,067 |
| $ | 11,349,561 | $ | 1,464,842 | $ | — | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
335
Statement of Changes in Net Assets
| Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 2,856,314 | $ | 4,932,595 | $ | 32,267,256 | $ | 39,949,882 | ||||||||
Net realized gains/(losses) | 24,893,720 | 12,868,104 | 33,081,780 | 54,407,266 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (51,092,533 | ) | 69,017,762 | (144,710,173 | ) | 231,966,142 | ||||||||||
Net Change in Net Assets Resulting From Operations | (23,342,499 | ) | 86,818,461 | (79,361,137 | ) | 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 | 54,562,284 | 49,645,698 | 339,804,960 | 298,120,172 | ||||||||||||
Distributions reinvested | 17,479,144 | 12,321,615 | 83,583,242 | 82,045,060 | ||||||||||||
Redeemed | (57,770,507 | ) | (46,935,716 | ) | (106,396,856 | ) | (101,856,910 | ) | ||||||||
Total Capital Stock Transactions | 14,270,921 | 15,031,597 | 316,991,346 | 278,308,322 | ||||||||||||
Net Increase/(Decrease) in Net Assets | (26,550,722 | ) | 89,528,443 | 154,046,967 | 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 | $ | 560,554,320 | $ | 587,105,042 | $ | 2,659,601,280 | $ | 2,505,554,313 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 3,736,236 | $ | 7,673,941 | $ | 34,451,457 | $ | 52,006,434 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 4,497,044 | 4,524,218 | 28,933,351 | 27,140,256 | ||||||||||||
Distributions reinvested | 1,452,649 | 1,191,980 | 7,154,139 | 7,946,176 | ||||||||||||
Redeemed | (4,814,726 | ) | (4,349,806 | ) | (9,153,921 | ) | (9,392,696 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 1,134,967 | 1,366,392 | 26,933,569 | 25,693,736 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
336
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | |||||||||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||||||||
| $ | 72,847,582 | $ | 76,087,432 | $ | 38,974,199 | $ | 36,500,892 | $ | (70,586 | ) | $ | (178,783 | ) | $ | 43,220 | $ | (23,805 | ) | ||||||||||||
| 25,087,353 | 73,544,508 | 10,895,547 | 24,333,345 | 3,927,971 | 3,132,366 | 243,209 | 616,981 | |||||||||||||||||||||||
| (146,819,447 | ) | 257,696,702 | (48,724,566 | ) | 86,495,720 | (8,364,415 | ) | 4,253,477 | (996,129 | ) | 1,033,839 | |||||||||||||||||||
| (48,884,512 | ) | 407,328,642 | 1,145,180 | 147,329,957 | (4,507,030 | ) | 7,207,060 | (709,700 | ) | 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 | ) | |||||||||||||||||
| 735,610,343 | 614,351,156 | 524,415,702 | 427,186,569 | 4,028,249 | 4,407,853 | 3,532,995 | 5,259,908 | |||||||||||||||||||||||
| 142,852,885 | 122,452,842 | 62,338,411 | 51,138,422 | — | — | 593,771 | 285,849 | |||||||||||||||||||||||
| (122,448,401 | ) | (110,836,145 | ) | (61,611,570 | ) | (58,578,795 | ) | (6,210,837 | ) | (6,258,515 | ) | (2,691,766 | ) | (2,317,699 | ) | |||||||||||||||
| 756,014,827 | 625,967,853 | 525,142,543 | 419,746,196 | (2,182,588 | ) | (1,850,662 | ) | 1,435,000 | 3,228,058 | |||||||||||||||||||||
| 564,277,430 | 910,843,653 | 463,949,312 | 515,937,731 | (6,689,618 | ) | 5,356,398 | 131,529 | 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 | |||||||||||||||||||||||
| $ | 4,133,646,716 | $ | 3,569,369,286 | $ | 2,055,266,794 | $ | 1,591,317,482 | $ | 29,615,410 | $ | 36,305,028 | $ | 17,999,712 | $ | 17,868,183 | |||||||||||||||
| $ | 74,101,970 | $ | 86,827,001 | $ | 38,926,840 | $ | 38,931,043 | $ | (11,463 | ) | $ | (10,525 | ) | $ | 32,857 | $ | (5,246 | ) | ||||||||||||
| 62,941,549 | 55,461,086 | 45,578,099 | 38,370,189 | 588,137 | 724,915 | 299,511 | 455,646 | |||||||||||||||||||||||
| 12,349,397 | 11,646,203 | 5,439,794 | 4,793,583 | — | — | 49,636 | 26,100 | |||||||||||||||||||||||
| (10,622,664 | ) | (10,069,318 | ) | (5,337,581 | ) | (5,244,829 | ) | (915,838 | ) | (1,059,465 | ) | (229,385 | ) | (203,825 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 6 4,668,282 | 57,037,971 | 45,680,312 | 37,918,943 | (327,701 | ) | (334,550 | ) | 119,762 | 277,921 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
337
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Natural Resources Portfolio | Partner Emerging Markets Portfolio | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 57,547 | $ | (12,343 | ) | $ | 514,909 | $ | 190,917 | |||||||
Net realized gains/(losses) | 4,340,546 | (7,377 | ) | 1,068,226 | (19,638 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) | (9,582,231 | ) | 3,874,560 | (6,288,280 | ) | 6,533,560 | ||||||||||
Net Change in Net Assets Resulting From Operations | (5,184,138 | ) | 3,854,840 | (4,705,145 | ) | 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 | 12,752,094 | 7,563,833 | 12,171,485 | 22,150,878 | ||||||||||||
Distributions reinvested | 24,409 | 19,477 | 432,330 | — | ||||||||||||
Redeemed | (4,664,964 | ) | (3,851,104 | ) | (9,556,440 | ) | (5,338,930 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
Total Capital Stock Transactions | 8,111,539 | 3,732,206 | 3,047,375 | 16,811,948 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 2,902,992 | 7,567,569 | (2,090,100 | ) | 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 | $ | 31,602,403 | $ | 28,699,411 | $ | 38,853,572 | $ | 40,943,672 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 71,401 | $ | (16,267 | ) | $ | 221,915 | $ | 147,723 | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,293,529 | 912,419 | 1,023,676 | 2,019,483 | ||||||||||||
Distributions reinvested | 2,450 | 2,527 | 35,959 | — | ||||||||||||
Redeemed | (502,842 | ) | (482,071 | ) | (810,480 | ) | (504,508 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 793,137 | 432,875 | 249,155 | 1,514,975 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
338
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Real Estate Securities Portfolio | Partner Utilities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | |||||||||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||||||||
| $ | 4,302,879 | $ | 4,836,890 | $ | 195,073 | $ | 195,676 | $ | (1,328,119 | ) | $ | (1,082,589 | ) | $ | 1,323,363 | $ | 1,842,784 | |||||||||||||
| 46,825,514 | 7,698,310 | 129,743 | (295,153 | ) | 30,411,991 | 22,505,875 | 3,364,074 | 6,589,551 | ||||||||||||||||||||||
| (49,731,078 | ) | 60,495,701 | 486,911 | 605,367 | (37,113,124 | ) | 25,265,662 | (9,846,842 | ) | 44,504,600 | ||||||||||||||||||||
| 1,397,315 | 73,030,901 | 811,727 | 505,890 | (8,029,252 | ) | 46,688,948 | (5,159,405 | ) | 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 | ) | ||||||||||||||||||
| 10,492,356 | 22,234,058 | 3,664,291 | 2,299,675 | 5,269,479 | 9,014,114 | 4,001,480 | 12,437,630 | |||||||||||||||||||||||
| — | 8,680,000 | 188,302 | 150,229 | — | — | 560,137 | 2,402,557 | |||||||||||||||||||||||
| (26,179,966 | ) | (31,217,013 | ) | (1,264,285 | ) | (1,275,037 | ) | (8,274,466 | ) | (7,664,976 | ) | (15,399,807 | ) | (24,782,056 | ) | |||||||||||||||
| (207,194,357 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||
| (222,881,967 | ) | (302,955 | ) | 2,588,308 | 1,174,867 | (3,004,987 | ) | 1,349,138 | (10,838,190 | ) | (9,941,869 | ) | ||||||||||||||||||
| (221,484,652 | ) | 64,047,946 | 3,211,733 | 1,530,528 | (11,034,239 | ) | 48,038,086 | (16,557,732 | ) | 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 | |||||||||||||||||||||||
| $ | 107,965,999 | $ | 329,450,651 | $ | 11,118,547 | $ | 7,906,814 | $ | 197,490,426 | $ | 208,524,665 | $ | 250,381,150 | $ | 266,938,882 | |||||||||||||||
| $ | 4,269,528 | $ | (32,857 | ) | $ | 189,443 | $ | 190,394 | $ | (21,909 | ) | $ | (210,701 | ) | $ | 886,760 | $ | 13,432 | ||||||||||||
| 686,920 | 1,766,561 | 438,639 | 302,294 | 389,293 | 850,994 | 213,874 | 758,747 | |||||||||||||||||||||||
| — | 598,464 | 22,572 | 20,755 | — | — | 29,458 | 130,058 | |||||||||||||||||||||||
| (1,720,834 | ) | (2,377,533 | ) | (152,395 | ) | (167,856 | ) | (631,342 | ) | (718,272 | ) | (816,570 | ) | (1,410,305 | ) | |||||||||||||||
| (14,854,346 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (15,888,260 | ) | (12,508 | ) | 308,816 | 155,193 | (242,049 | ) | 132,722 | (573,238 | ) | (521,500 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
339
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Small Cap Stock Portfolio | Small Cap Index Portfolio | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | (272,455 | ) | $ | (291,640 | ) | $ | 1,293,444 | $ | 1,743,657 | ||||||
Net realized gains/(losses) | 38,698,937 | 55,417,334 | 15,858,302 | 13,215,131 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (52,961,455 | ) | 6,615,584 | (15,798,990 | ) | 32,309,249 | ||||||||||
Net Change in Net Assets Resulting From Operations | (14,534,973 | ) | 61,741,278 | 1,352,756 | 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 | 9,883,221 | 13,439,189 | 3,467,541 | 3,643,585 | ||||||||||||
Distributions reinvested | — | 107,303 | 7,668,104 | 1,688,689 | ||||||||||||
Redeemed | (34,747,549 | ) | (30,435,902 | ) | (35,931,155 | ) | (34,729,940 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
Total Capital Stock Transactions | (24,864,328 | ) | (16,889,410 | ) | (24,795,510 | ) | (29,397,666 | ) | ||||||||
Net Increase/(Decrease) in Net Assets | (39,399,301 | ) | 44,744,565 | (31,110,858 | ) | 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 | $ | 263,838,002 | $ | 303,237,303 | $ | 188,990,316 | $ | 220,101,174 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (42,048 | ) | $ | (38,794 | ) | $ | 1,250,358 | $ | 1,708,671 | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 817,829 | 1,298,393 | 266,080 | 318,673 | ||||||||||||
Distributions reinvested | — | 10,599 | 585,316 | 155,052 | ||||||||||||
Redeemed | (2,759,965 | ) | (2,886,516 | ) | (2,742,693 | ) | (3,081,494 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (1,942,136 | ) | (1,577,524 | ) | (1,891,297 | ) | (2,607,769 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
340
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Mid Cap Growth Portfolio II | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||||||||
| $ | (181,125 | ) | $ | 158,648 | $ | 809,887 | $ | 1,258,925 | $ | 1,929,624 | $ | 1,465,614 | $ | 1,201,376 | $ | 2,039,361 | ||||||||||||||
| 37,293,684 | 17,017,642 | 17,854,603 | 34,366,352 | 19,848,018 | 19,361,980 | 31,255,555 | 36,061,225 | |||||||||||||||||||||||
| (38,135,402 | ) | 18,083,987 | (38,786,888 | ) | 62,196,129 | (36,357,876 | ) | 25,881,479 | (62,951,078 | ) | 69,833,782 | |||||||||||||||||||
| (1,022,843 | ) | 35,260,277 | (20,122,398 | ) | 97,821,406 | (14,580,234 | ) | 46,709,073 | (30,494,147 | ) | 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 | ) | |||||||||||||||
| 1,181,655 | 4,127,514 | 14,564,553 | 12,318,445 | 3,149,836 | 10,033,281 | 4,514,214 | 16,381,052 | |||||||||||||||||||||||
| 5,926,927 | 12,175,789 | 1,271,495 | 947,099 | 501,793 | 1,688,800 | 227,230 | 2,143,045 | |||||||||||||||||||||||
| (9,586,659 | )d | (5,002,263 | ) | (65,517,978 | ) | (55,446,013 | ) | (4,902,288 | ) | (8,283,642 | ) | (28,471,182 | ) | (56,361,371 | ) | |||||||||||||||
| (133,828,325 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||
| (136,306,402 | ) | 11,301,040 | (49,681,930 | ) | (42,180,469 | ) | (1,250,659 | ) | 3,438,439 | (23,729,738 | ) | (37,837,274 | ) | |||||||||||||||||
| (143,256,172 | ) | 34,385,528 | (71,075,823 | ) | 54,693,838 | (16,332,686 | ) | 48,458,712 | (54,451,115 | ) | 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 | |||||||||||||||||||||||
| $ | 16,971,847 | $ | 160,228,019 | $ | 348,833,514 | $ | 419,909,337 | $ | 215,830,063 | $ | 232,162,749 | $ | 457,025,418 | $ | 511,476,533 | |||||||||||||||
| $ | (16,096 | ) | $ | 127,388 | $ | 699,790 | $ | 1,151,918 | $ | 1,893,645 | $ | 476,775 | $ | 1,068,813 | $ | 138,855 | ||||||||||||||
| 119,495 | 478,499 | 778,985 | 780,913 | 238,184 | 903,936 | 364,509 | 1,646,930 | |||||||||||||||||||||||
| 605,165 | 1,262,455 | 67,592 | 63,855 | 36,760 | 136,786 | 18,241 | 180,466 | |||||||||||||||||||||||
| (993,586 | ) | (563,662 | ) | (3,532,552 | ) | (3,557,867 | ) | (368,342 | ) | (680,225 | ) | (2,306,482 | ) | (5,350,949 | ) | |||||||||||||||
| (13,980,645 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (14,249,571 | ) | 1,177,292 | (2,685,975 | ) | (2,713,099 | ) | (93,398 | ) | 360,497 | (1,923,732 | ) | (3,523,553 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
341
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 636,118 | $ | 710,547 | $ | 12,066,451 | $ | 6,499,765 | ||||||||
Net realized gains/(losses) | 7,431,994 | 6,190,215 | 16,701,013 | 5,131,016 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (9,526,961 | ) | 13,514,870 | (98,812,015 | ) | 46,651,811 | ||||||||||
Net Change in Net Assets Resulting From Operations | (1,458,849 | ) | 20,415,632 | (70,044,551 | ) | 58,282,592 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (714,334 | ) | (915,779 | ) | (11,145,255 | ) | (6,741,083 | ) | ||||||||
From net realized gains | (5,251,300 | ) | — | (9,296,969 | ) | — | ||||||||||
Total Distributions to Shareholders | (5,965,634 | ) | (915,779 | ) | (20,442,224 | ) | (6,741,083 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,054,967 | 3,692,861 | 51,510,070 | 215,387,135 | ||||||||||||
Distributions reinvested | 5,965,634 | 915,779 | 20,442,224 | 6,741,083 | ||||||||||||
Redeemed | (17,658,888 | ) | (16,864,029 | ) | (8,484,281 | ) | (5,936,398 | ) | ||||||||
Total Capital Stock Transactions | (8,638,287 | ) | (12,255,389 | ) | 63,468,013 | 216,191,820 | ||||||||||
Net Increase/(Decrease) in Net Assets | (16,062,770 | ) | 7,244,464 | (27,018,762 | ) | 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 | $ | 78,114,022 | $ | 94,176,792 | $ | 495,586,412 | $ | 522,605,174 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 620,714 | $ | 698,930 | $ | (97,092 | ) | $ | (925,747 | ) | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 240,808 | 330,237 | 5,715,846 | 27,030,292 | ||||||||||||
Distributions reinvested | 472,525 | 86,004 | 2,759,006 | 768,871 | ||||||||||||
Redeemed | (1,381,798 | ) | (1,506,899 | ) | (997,461 | ) | (757,779 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (668,465 | ) | (1,090,658 | ) | 7,477,391 | 27,041,384 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
342
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner International Stock Portfolio | Partner Socially Responsible Stock Portfolio | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | |||||||||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||||||||
| $ | 20,190,593 | $ | 16,436,338 | $ | 356 | $ | 2,201 | $ | (35,294 | ) | $ | (14,613 | ) | $ | 43,500 | $ | 24,879 | |||||||||||||
| 38,789,623 | 7,284,176 | 217,579 | (9,014 | ) | 992,252 | 156,516 | 591,490 | 439,956 | ||||||||||||||||||||||
| (174,424,501 | ) | 46,575,330 | (398,153 | ) | 709,608 | (2,010,738 | ) | 1,970,797 | (1,408,253 | ) | 630,686 | |||||||||||||||||||
| (115,444,285 | ) | 70,295,844 | (180,218 | ) | 702,795 | (1,053,780 | ) | 2,112,700 | (773,263 | ) | 1,095,521 | |||||||||||||||||||
| (312,749 | ) | (16,065,985 | ) | (45 | ) | (4,433 | ) | — | — | (44,465 | ) | — | ||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (312,749 | ) | (16,065,985 | ) | (45 | ) | (4,433 | ) | — | — | (44,465 | ) | — | ||||||||||||||||||
| 7,217,381 | 4,983,579 | 2,616,339 | 1,834,566 | 4,620,594 | 4,249,755 | 1,688,814 | 2,323,618 | |||||||||||||||||||||||
| 312,749 | 16,065,985 | 45 | 4,433 | — | — | 44,465 | — | |||||||||||||||||||||||
| (71,285,023 | ) | (68,883,073 | ) | (717,117 | ) | (2,240,089 | ) | (2,615,700 | ) | (2,700,508 | ) | (1,567,521 | ) | (1,584,915 | ) | |||||||||||||||
| (63,754,893 | ) | (47,833,509 | ) | 1,899,267 | (401,090 | ) | 2,004,894 | 1,549,247 | 165,758 | 738,703 | ||||||||||||||||||||
| (179,511,927 | ) | 6,396,350 | 1,719,004 | 297,272 | 951,114 | 3,661,947 | (651,970 | ) | 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 | |||||||||||||||||||||||
| $ | 709,827,505 | $ | 889,339,432 | $ | 6,146,291 | $ | 4,427,287 | $ | 12,709,501 | $ | 11,758,387 | $ | 6,705,714 | $ | 7,357,684 | |||||||||||||||
| $ | 19,809,786 | $ | (589,578 | ) | $ | (5,140 | ) | $ | (5,207 | ) | $ | (6,326 | ) | $ | (5,260 | ) | $ | 38,289 | $ | 39,887 | ||||||||||
| 683,763 | 514,732 | 245,680 | 201,950 | 448,817 | 490,313 | 188,169 | 289,627 | |||||||||||||||||||||||
| 29,241 | 1,508,576 | 4 | 428 | — | — | 4,853 | — | |||||||||||||||||||||||
| (6,757,650 | ) | (7,059,463 | ) | (68,601 | ) | (246,241 | ) | (257,354 | ) | (330,236 | ) | (176,547 | ) | (202,448 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (6,044,646 | ) | (5,036,155 | ) | 177,083 | (43,863 | ) | 191,463 | 160,077 | 16,475 | 87,179 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
343
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner All Cap Portfolio | Large Cap Growth Portfolio II | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 323,914 | $ | 284,298 | $ | 1,137,519 | $ | 1,138,069 | ||||||||
Net realized gains/(losses) | 5,397,966 | 5,317,492 | 13,252,329 | 42,707,448 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (8,435,631 | ) | 3,419,746 | (47,505,736 | ) | (14,270,355 | ) | |||||||||
Net Change in Net Assets Resulting From Operations | (2,713,751 | ) | 9,021,536 | (33,115,888 | ) | 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 | 2,630,190 | 2,965,952 | 683,861 | 13,054,152 | ||||||||||||
Distributions reinvested | 361,337 | 425,206 | 7,787,181 | 47,454,722 | ||||||||||||
Redeemed | (10,971,976 | ) | (12,178,664 | ) | (4,428,415 | ) | (14,902,948 | ) | ||||||||
In-kind redemptions | — | — | (335,344,769 | ) | — | |||||||||||
Total Capital Stock Transactions | (7,980,449 | ) | (8,787,506 | ) | (331,302,142 | ) | 45,605,926 | |||||||||
Net Increase/(Decrease) in Net Assets | (11,055,537 | ) | (191,176 | ) | (372,205,211 | ) | 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 | $ | 51,368,102 | $ | 62,423,639 | $ | 12,906,986 | $ | 385,112,197 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 284,934 | $ | 277,270 | $ | 242,609 | $ | 520,973 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 292,227 | 373,560 | 98,054 | 1,814,296 | ||||||||||||
Distributions reinvested | 41,168 | 56,045 | 1,155,762 | 6,959,263 | ||||||||||||
Redeemed | (1,242,268 | ) | (1,537,172 | ) | (669,723 | ) | (2,072,421 | ) | ||||||||
In-kind redemptions | — | — | (54,050,379 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (908,873 | ) | (1,107,567 | ) | (53,466,286 | ) | 6,701,138 | |||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
344
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||||||||
| $ | 4,960,065 | $ | 5,398,474 | $ | (111,777 | ) | $ | (111,541 | ) | $ | 13,333,675 | $ | 10,379,540 | $ | 6,064,467 | $ | 4,398,244 | |||||||||||||
| 95,983,133 | 74,005,891 | 6,715,627 | 3,250,837 | 46,625,093 | 34,506,203 | 43,460,499 | 49,849,838 | |||||||||||||||||||||||
| (147,794,994 | ) | 17,421,764 | (7,257,510 | ) | 5,778,826 | (84,034,835 | ) | 46,319,560 | (76,999,830 | ) | 7,449,282 | |||||||||||||||||||
| (46,851,796 | ) | 96,826,129 | (653,660 | ) | 8,918,122 | (24,076,067 | ) | 91,205,303 | (27,474,864 | ) | 61,697,364 | |||||||||||||||||||
| (4,952,199 | ) | (5,477,772 | ) | — | (10,928 | ) | (178,536 | ) | (10,382,197 | ) | (72,332 | ) | (4,434,436 | ) | ||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (4,952,199 | ) | (5,477,772 | ) | — | (10,928 | ) | (178,536 | ) | (10,382,197 | ) | (72,332 | ) | (4,434,436 | ) | ||||||||||||||||
| 31,961,443 | 14,875,050 | 2,771,906 | 2,657,012 | 5,504,321 | 26,733,249 | 4,646,041 | 13,368,032 | |||||||||||||||||||||||
| 4,952,199 | 5,477,772 | — | 10,928 | 178,536 | 10,382,197 | 72,332 | 4,434,436 | |||||||||||||||||||||||
| (163,129,043 | ) | (153,711,612 | ) | (12,445,518 | ) | (11,486,072 | ) | (40,657,075 | ) | (39,675,311 | ) | (39,602,993 | ) | (64,056,535 | ) | |||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (126,215,401 | ) | (133,358,790 | ) | (9,673,612 | ) | (8,818,132 | ) | (34,974,218 | ) | (2,559,865 | ) | (34,884,620 | ) | (46,254,067 | ) | |||||||||||||||
| (178,019,396 | ) | (42,010,433 | ) | (10,327,272 | ) | 89,062 | (59,228,821 | ) | 78,263,241 | (62,431,816 | ) | 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 | |||||||||||||||||||||||
| $ | 805,283,132 | $ | 983,302,528 | $ | 51,099,815 | $ | 61,427,087 | $ | 752,054,276 | $ | 811,283,097 | $ | 565,849,587 | $ | 628,281,403 | |||||||||||||||
| $ | 74,149 | $ | 137,213 | $ | (11,999 | ) | $ | (11,051 | ) | $ | 13,258,241 | $ | 131,811 | $ | 5,991,140 | $ | 11,693 | |||||||||||||
| 1,852,307 | 965,096 | 234,864 | 255,064 | 512,876 | 2,762,528 | 549,110 | 1,738,095 | |||||||||||||||||||||||
| 308,812 | 325,518 | — | 1,117 | 16,597 | 968,598 | 8,524 | 522,294 | |||||||||||||||||||||||
| (9,617,541 | ) | (9,972,843 | ) | (1,060,071 | ) | (1,127,792 | ) | (3,805,123 | ) | (4,067,316 | ) | (4,701,845 | ) | (8,255,951 | ) | |||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (7,456,422 | ) | (8,682,229 | ) | (825,207 | ) | (871,611 | ) | (3,275,650 | ) | (336,190 | ) | (4,144,211 | ) | (5,995,562 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
345
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Index Portfolio | Equity Income Plus Portfolio | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 5,238,643 | $ | 5,292,660 | $ | 1,521,680 | $ | 1,257,472 | ||||||||
Net realized gains/(losses) | 3,778,704 | 2,484,140 | 2,864,212 | 1,748,795 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (3,129,196 | ) | 35,968,282 | (6,856,731 | ) | 6,746,238 | ||||||||||
Net Change in Net Assets Resulting From Operations | 5,888,151 | 43,745,082 | (2,470,839 | ) | 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 | 6,327,864 | 4,998,559 | 17,179,648 | 12,697,884 | ||||||||||||
Distributions reinvested | 5,204,623 | 6,071,009 | 238,167 | 1,091,095 | ||||||||||||
Redeemed | (52,460,205 | ) | (55,384,625 | ) | (2,933,661 | ) | (1,126,810 | ) | ||||||||
Total Capital Stock Transactions | (40,927,718 | ) | (44,315,057 | ) | 14,484,154 | 12,662,169 | ||||||||||
Net Increase/(Decrease) in Net Assets | (40,244,190 | ) | (6,640,984 | ) | 11,775,148 | 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 | $ | 291,285,301 | $ | 331,529,491 | $ | 88,077,819 | $ | 76,302,671 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 5,168,346 | $ | 5,235,385 | $ | 1,497,783 | $ | 232,290 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 356,181 | 312,434 | 1,868,977 | 1,490,262 | ||||||||||||
Distributions reinvested | 294,086 | 396,951 | 25,758 | 121,252 | ||||||||||||
Redeemed | (2,925,178 | ) | (3,450,988 | ) | (322,694 | ) | (139,940 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (2,274,911 | ) | (2,741,603 | ) | 1,572,041 | 1,471,574 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
346
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Balanced Portfolio | High Yield Portfolio | Diversified Income Plus Portfolio | Partner Socially Responsible Bond Portfolio | |||||||||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||||||||
| $ | 5,287,379 | $ | 5,784,781 | $ | 60,932,423 | $ | 64,037,035 | $ | 5,703,186 | $ | 5,935,878 | $ | 232,578 | $ | 221,472 | |||||||||||||||
| 7,334,674 | 9,675,197 | 20,999,442 | 18,724,722 | 3,123,792 | 2,684,198 | 315,835 | 242,800 | |||||||||||||||||||||||
| (1,963,279 | ) | 18,180,722 | (45,857,753 | ) | 23,998,230 | (6,384,519 | ) | 5,500,594 | 2,628 | 11,620 | ||||||||||||||||||||
| 10,658,774 | 33,640,700 | 36,074,112 | 106,759,987 | 2,442,459 | 14,120,670 | 551,041 | 475,892 | |||||||||||||||||||||||
| (5,741,540 | ) | (7,030,465 | ) | (60,572,233 | ) | (64,046,375 | ) | (5,830,693 | ) | (4,650,351 | ) | (232,005 | ) | (221,596 | ) | |||||||||||||||
| (8,517,319 | ) | (1,826,310 | ) | — | — | — | — | — | (275,856 | ) | ||||||||||||||||||||
| (14,258,859 | ) | (8,856,775 | ) | (60,572,233 | ) | (64,046,375 | ) | (5,830,693 | ) | (4,650,351 | ) | (232,005 | ) | (497,452 | ) | |||||||||||||||
| 8,642,974 | 5,772,338 | 80,264,421 | 80,573,299 | 26,678,361 | 17,961,894 | 3,646,516 | 5,658,903 | |||||||||||||||||||||||
| 14,258,859 | 8,856,775 | 60,572,233 | 64,046,375 | 5,830,693 | 4,650,351 | 232,005 | 497,432 | |||||||||||||||||||||||
| (49,372,777 | ) | (49,978,166 | ) | (120,800,753 | ) | (160,313,331 | ) | (16,736,539 | ) | (13,225,573 | ) | (2,769,272 | ) | (3,516,635 | ) | |||||||||||||||
| (26,470,944 | ) | (35,349,053 | ) | 20,035,901 | (15,693,657 | ) | 15,772,515 | 9,386,672 | 1,109,249 | 2,639,700 | ||||||||||||||||||||
| (30,071,029 | ) | (10,565,128 | ) | (4,462,220 | ) | 27,019,955 | 12,384,281 | 18,856,991 | 1,428,285 | 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 | |||||||||||||||||||||||
| $ | 240,522,040 | $ | 270,593,069 | $ | 778,526,281 | $ | 782,988,501 | $ | 118,392,924 | $ | 106,008,643 | $ | 10,230,363 | $ | 8,802,078 | |||||||||||||||
| $ | 5,214,816 | $ | 5,723,736 | $ | 431,283 | $ | 529,058 | $ | 5,453,179 | $ | 5,812,376 | $ | (849 | ) | $ | (1,422 | ) | |||||||||||||
| 582,865 | 421,740 | 16,614,795 | 17,296,149 | 3,954,790 | 2,825,605 | 346,053 | 530,437 | |||||||||||||||||||||||
| 999,857 | 670,373 | 12,711,981 | 13,795,413 | 888,202 | 770,104 | 22,178 | 47,873 | |||||||||||||||||||||||
| (3,360,829 | ) | (3,631,342 | ) | (25,047,046 | ) | (34,205,099 | ) | (2,502,061 | ) | (2,084,239 | ) | (266,171 | ) | (333,345 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (1,778,107 | ) | (2,539,229 | ) | 4,279,730 | (3,113,537 | ) | 2,340,931 | 1,511,470 | 102,060 | 244,965 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
347
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Income Portfolio | Bond Index Portfolio | |||||||||||||||
For the periods ended | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 64,042,746 | $ | 64,673,260 | $ | 4,471,690 | $ | 5,102,426 | ||||||||
Net realized gains/(losses) | 27,762,211 | 39,392,671 | 2,271,157 | 2,020,684 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (11,245,943 | ) | 35,474,734 | 5,624,220 | 7,104,007 | |||||||||||
Net Change in Net Assets Resulting From Operations | 80,559,014 | 139,540,665 | 12,367,067 | 14,227,117 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (63,413,810 | ) | (64,435,842 | ) | (4,452,733 | ) | (5,092,427 | ) | ||||||||
From net realized gains | — | — | (996,560 | ) | — | |||||||||||
Total Distributions to Shareholders | (63,413,810 | ) | (64,435,842 | ) | (5,449,293 | ) | (5,092,427 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 165,217,508 | 155,625,675 | 23,741,777 | 20,751,109 | ||||||||||||
Distributions reinvested | 63,413,810 | 64,435,842 | 5,449,293 | 5,092,427 | ||||||||||||
Redeemed | (104,919,017 | ) | (251,110,099 | ) | (33,033,339 | ) | (30,119,545 | ) | ||||||||
Total Capital Stock Transactions | 123,712,301 | (31,048,582 | ) | (3,842,269 | ) | (4,276,009 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 140,857,505 | 44,056,241 | 3,075,505 | 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 | $ | 1,463,069,461 | $ | 1,322,211,956 | $ | 164,462,335 | $ | 161,386,830 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 117,953 | $ | 393,275 | $ | 28,355 | $ | 9,363 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 16,387,092 | 15,895,157 | 2,152,749 | 1,954,827 | ||||||||||||
Distributions reinvested | 6,298,371 | 6,592,114 | 498,530 | 481,492 | ||||||||||||
Redeemed | (10,426,939 | ) | (25,853,912 | ) | (3,029,092 | ) | (2,841,577 | ) | ||||||||
|
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|
|
| |||||||||
Total Capital Stock Share Transactions | 12,258,524 | (3,366,641 | ) | (377,813 | ) | (405,258 | ) | |||||||||
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The accompanying Notes to Financial Statements are an integral part of this schedule.
348
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | ||||||||||||||||||||
| 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | |||||||||||||||||
| $ | 33,286,629 | $ | 39,553,618 | $ | 955,653 | $ | 1,134,436 | $ | (3,050 | ) | $ | (16,636 | ) | |||||||||
| (2,036,487 | ) | 9,160,097 | 947,926 | 54,666 | 3,050 | 16,636 | ||||||||||||||||
| (19,900,581 | ) | 11,950,491 | (438,737 | ) | 2,547,643 | — | — | |||||||||||||||
| 11,349,561 | 60,664,206 | 1,464,842 | 3,736,745 | — | — | |||||||||||||||||
| (32,036,799 | ) | (39,165,559 | ) | (954,571 | ) | (1,134,436 | ) | — | — | |||||||||||||
| — | — | (126,365 | ) | (314,976 | ) | — | — | |||||||||||||||
| (32,036,799 | ) | (39,165,559 | ) | (1,080,936 | ) | (1,449,412 | ) | — | — | |||||||||||||
| 235,573,770 | 239,166,783 | 4,387,941 | 5,167,343 | 111,357,087 | 61,776,705 | |||||||||||||||||
| 32,036,799 | 39,165,559 | 1,080,936 | 1,449,412 | — | — | |||||||||||||||||
| (67,825,943 | ) | (86,736,588 | ) | (6,958,496 | ) | (6,929,109 | ) | (112,663,789 | ) | (136,018,196 | ) | |||||||||||
| 199,784,626 | 191,595,754 | (1,489,619 | ) | (312,354 | ) | (1,306,702 | ) | (74,241,491 | ) | |||||||||||||
| 179,097,388 | 213,094,401 | (1,105,713 | ) | 1,974,979 | (1,306,702 | ) | (74,241,491 | ) | ||||||||||||||
| 1,318,735,013 | 1,105,640,612 | 33,528,041 | 31,553,062 | 171,766,583 | 246,008,074 | |||||||||||||||||
| $ | 1,497,832,401 | $ | 1,318,735,013 | $ | 32,422,328 | $ | 33,528,041 | $ | 170,459,881 | $ | 171,766,583 | |||||||||||
| $ | (327,345 | ) | $ | (141,600 | ) | $ | 1,082 | $ | — | $ | — | $ | — | |||||||||
| 23,994,742 | 24,480,712 | 421,586 | 507,606 | 111,357,087 | 61,776,705 | |||||||||||||||||
| 3,270,092 | 4,010,919 | 103,802 | 142,609 | — | — | |||||||||||||||||
| (6,938,394 | ) | (8,886,056 | ) | (668,997 | ) | (681,460 | ) | (112,663,789 | ) | (136,018,196 | ) | |||||||||||
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|
|
|
|
|
| |||||||||||
| 20,326,440 | 19,605,575 | (143,609 | ) | (31,245 | ) | (1,306,702 | ) | (74,241,491 | ) | |||||||||||||
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|
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|
|
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|
| |||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
349
Notes to Financial Statements
As of December 31, 2011
(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.
Financial Accounting Standards Board (FASB) guidelines require increased fair value disclosure intended to improve the consistency and comparability of fair value measurements used in financial reporting. The guidelines define fair value, establish a framework for measuring fair value in U.S. Generally Accepted Accounting Principles (“GAAP”) and expand disclosures about fair value requirements. The various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels: Level 1 includes quoted prices in active markets for identical securities, typically categorized in this level are U.S. equity securities, futures and options; Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically categorized in this level are fixed income securities, international equity securities, swaps and forward contracts; and Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith under procedures established by the Board of Directors. As of December 31, 2011, the following Portfolios held these types of Level 3 securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Worldwide Allocation | 2 | 0.18 | % | |||||
Partner Growth Stock | 9 | 1.19 | % | |||||
High Yield | 1 | 0.00 | % | |||||
Partner Socially Responsible Bond | 2 | 1.20 | % | |||||
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
350
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
securities to reflect the fair value as of the close of the U.S. markets. The Board of Directors has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board of Directors.
(B) Foreign Currency Translation – The accounting records of each Portfolio are maintained in U.S. dollars. 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 change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and the Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio. During the year ended December 31, 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, High Yield Portfolio, Diversified Income Plus Portfolio and Income Portfolio engaged in this type of investment.
(D) Foreign Denominated Investments – Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.
(E) Federal Income Taxes – No provision has been made for income taxes because each Portfolio’s policy is to qualify as a regulated investment company under the Internal Revenue Code and distribute substantially all investment company taxable income and net capital gain on a timely basis. It is also the intention of each Portfolio to distribute an amount sufficient to avoid imposition of any federal excise tax. The Portfolios, accordingly, anticipate paying no federal taxes and no federal tax provision was recorded. Each Portfolio is treated as a separate taxable entity for federal income tax purposes. Certain Portfolios may utilize earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction.
Foreign Income Taxes – 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.
GAAP requires 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.
351
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
Management of the Portfolios analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Portfolios include U.S. Federal, Minnesota, and Wisconsin, as well as certain foreign countries. As of December 31, 2011, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2008, through 2011. Additionally, as of December 31, 2011, the tax year ended December 31, 2007, is open for Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
As of December 31, 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 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.
For certain securities, including real estate investment trusts, the Fund records distributions received in excess of income as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available. Actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Fund adjusts the estimated amounts of the components of distributions as adjustments to investment income, unrealized appreciation/depreciation and realized gain/loss on investments as necessary, once the issuers provide information about the actual composition of the distributions.
(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
352
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. During the year ended December 31, 2011, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio and Mortgage Securities Porfolio engaged in over-the-counter options. 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 exchange-traded options.
(J) Futures Contracts – Certain Portfolios may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. The futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default. During the year ended December 31, 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, High Yield 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. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses on the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also 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
353
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations. Refer to the credit default swap tables located within the Portfolios’ Schedules of Investments for additional information as of December 31, 2011. During the year ended December 31, 2011, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Partner Worldwide 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 transfer mortgage securities to a counterparty and simultaneously agree to the return of 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 agreed upon price (including accrued interest) for such dollar rolls. The value of the securities that the Portfolios are required to accept on return may decline below the agreed upon price of those securities.
During the term of the agreement, the Portfolios forgo principal and interest paid on the mortgage securities transferred. The Portfolios are compensated from negotiated fees paid by brokers offered as an inducement to the Portfolios to "roll over" their commitments, thus enhancing the yield. Mortgage dollar rolls may be renewed with a new return date and agreed upon 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. The recognition of the gains/losses are deferred until the closing of the roll and are included in Net realized gains/(losses) in the Statement of Operations. During the year ended December 31, 2011, Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Balanced Portfolio, Diversified Income Plus Portfolio, Income Portfolio, Bond Index Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio engaged in this type of transaction.
(M) Securities Lending – The Fund has entered into a Securities Lending Agreement (the “Agreement”) with Deutsche Bank AG (“Deutsche”). The Agreement authorizes Deutsche to lend securities to authorized borrowers on behalf of the Portfolios. Pursuant to the Agreement, all loaned securities are initially collateralized by cash equal to at least 102% of the value of the loaned securities. All cash collateral received is invested in Thrivent Financial Securities Lending Trust. The Portfolios receive dividends and interest that would have been earned on the securities loaned while simultaneously seeking to earn income on the investment of cash collateral. Amounts earned on investments in Thrivent Financial Securities Lending Trust, net of rebates, fees paid to Deutsche for services provided and any other securities lending expenses, are included in Income from securities loaned on the Statement of Operations. By investing any cash collateral it receives in these transactions, a Portfolio could realize additional gains or losses. If the borrower fails to return the securities or the invested collateral has declined in value, the Portfolio could lose money.
During the year ended December 31, 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 December 31, 2011, the value of securities on loan is as follows:
Portfolio | Securities on Loan | |||
Partner Technology | $ | 3,578,307 | ||
Partner Small Cap Growth | 19,839,850 | |||
Partner Small Cap Value | 14,374,031 | |||
Small Cap Stock | 2,294,584 | |||
Small Cap Index | 15,456,976 | |||
Mid Cap Growth II | 16,944 | |||
Partner Mid Cap Value | 3,592,368 | |||
Mid Cap Stock | 9,539,944 | |||
Mid Cap Index | 3,225,956 | |||
Partner International Stock | 35,131,290 | |||
Partner Growth Stock | 1,598,368 | |||
Large Cap Value | 6,047,947 | |||
Large Cap Stock | 1,228,527 | |||
Large Cap Index | 1,201,566 | |||
354
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
Portfolio | Securities on Loan | |||
Balanced | 1,669,833 | |||
High Yield | 48,860,126 | |||
Diversified Income Plus | 4,604,450 | |||
Income | 26,506,868 | |||
Bond Index | 4,032,722 | |||
Limited Maturity Bond | 86,022,268 | |||
(N) When Issued and Delayed Delivery Transactions – Certain Portfolios may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Portfolio will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Portfolio has sold a security on a delayed delivery basis, a Portfolio does not participate in future gains and losses with respect to the security.
(O) Treasury Inflation Protected Securities – Certain Portfolios may invest in treasury inflation protected securities (TIPS). These securities are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate is generally fixed at issuance. Interest is paid based on the principal value, which is adjusted for inflation. Any increase in the principal amount will be included as taxable interest in the Statement of Operations and received upon maturity or sale of the security. During the year ended December 31, 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 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 uses a third-party custodian to maintain the collateral. 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 year ended December 31, 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 year ended December 31, 2011, High Yield Porfolio, 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 receivable on defaulted securities is monitored for the ability to collect payments in default and adjusted accordingly.
(S) Accounting Estimates – The preparation of financial statements in conformity with GAAP require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
(T) 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
355
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. Loan commitments often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the remaining maturity may be considerably less than the stated maturity shown in the Schedule of Investments.
All or a portion of these loan commitments may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. Therefore, the Portfolio must have funds sufficient to cover its contractual obligation. These unfunded loan commitments, which are marked-to-market daily, are presented in the Schedule of Investments.
(U) Loss Contingencies – 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. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
Balanced Portfolio and Large Cap Index Portfolio are named in a class of over 3,000 shareholder defendants in an adversary action filed in federal court 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. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
Balanced Portfolio and Large Cap Index Portfolio are defendants in an adversary action filed in the state of Minnesota 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. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
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. Mid Cap Index Portfolio owned shares of Lyondell stock before the merger. On December 21, 2007, Mid Cap Index Portfolio tendered its shares of Lyondell for $1,542,720.
(V) Litigation – Awards from class action litigation are recorded as a reduction of cost if the Portfolio still owns the applicable securities on the payment date. If the Portfolio no longer owns the applicable securities, the proceeds are recorded as realized gains.
(W) Recent Accounting Pronouncements – 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. Management is currently evaluating the application of ASU 2011-04 and its impact, if any, on the Fund’s financial statements.
356
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
(X) In-kind Redemptions – During the year ended December 31, 2011, the Thrivent Asset Allocation Portfolios, as the shareholders of underlying Thrivent Series Funds (the “underlying portfolios”), redeemed their shares in-kind (“in-kind redemption”). The underlying portfolios distributed portfolio securities rather than cash as payment for the redemption of these fund shares. For financial reporting purposes, the underlying funds recognize gain on these transactions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; they recognize a loss if the cost exceeds the value. Gains or losses on in-kind redemptions are not recognized for tax purposes. The realized gains or losses below are included in the Statement of Operations of the underlying portfolios as net realized gains/losses on in-kind redemptions. The in-kind amounts and shares redeemed are included in the Capital Stock Transactions of the Statement of Changes in Net Assets of the underlying portfolios. These in-kind transactions were conducted at market value. The transactions were as follows:
Underlying Portfolio | Underlying Shares Redeemed | Date | In-kind Amount | Realized Gain/(Loss) | ||||||||||||
Aggressive Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 810,212 | 10/17/2011 | $ | 11,301,165 | ($ | 1,195,433 | ) | |||||||||
Mid Cap Growth II | 4,438,418 | 11/11/2011 | 42,486,309 | 6,007,001 | ||||||||||||
Large Cap Growth II | 3,733,062 | 11/21/2011 | 23,161,040 | (1,897,783 | ) | |||||||||||
Moderately Aggressive Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 5,203,112 | 10/17/2011 | $ | 72,575,081 | $ | 1,481,061 | ||||||||||
Mid Cap Growth II | 6,718,565 | 11/11/2011 | 64,312,796 | 16,763,029 | ||||||||||||
Large Cap Growth II | 22,733,298 | 11/21/2011 | 141,044,198 | (6,185,156 | ) | |||||||||||
Moderate Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 6,860,851 | 10/17/2011 | $ | 95,697,896 | $ | 21,151,702 | ||||||||||
Mid Cap Growth II | 2,823,662 | 11/11/2011 | 27,029,220 | 8,325,290 | ||||||||||||
Large Cap Growth II | 22,153,231 | 11/21/2011 | 137,445,293 | 2,311,946 | ||||||||||||
Moderately Conservative Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 1,980,171 | 10/17/2011 | $ | 27,620,215 | $ | 10,646,581 | ||||||||||
Large Cap Growth II | 5,430,788 | 11/21/2011 | 33,694,238 | 1,813,262 | ||||||||||||
(Y) Other – For financial statement purposes, investment security transactions are accounted for on the trade date. Realized gains and losses from investment transactions are determined on a specific cost identification basis, which is the same basis used for federal income tax purposes.
357
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
(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 | 0.900 | % | 0.900 | % | 0.900 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | ||||||||||||||||||||||
Partner International Stock | 0.850 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.800 | % | 0.800 | % | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Partner Socially Responsible Stock | 0.800 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | ||||||||||||||||||||||
Partner All Cap Growth | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Partner All Cap Value | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Partner All Cap | 0.950 | % | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Large Cap Growth II | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Large Cap Growth | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Partner Growth Stock | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Large Cap Value | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||||||||||||||
Large Cap Stock | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.575 | % | 0.550 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | ||||||||||||||||||||||
Large Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Equity Income Plus | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||||||||||||||
Balanced | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | ||||||||||||||||||||||
High Yield | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Diversified Income Plus | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
358
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
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 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 invested in companies that have market capitalizations that fall within the bottom half of the Russell 2000® Growth Index (the “microcap portion”), 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 and Thrivent Partner International Stock Portfolio 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 and Thrivent Partner International Stock Portfolio 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
359
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
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, 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. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Victory.
The fee payable for GSAM is equal to 0.55% of the first $50 million of average daily net assets managed by GSAM, 0.50% of the next $200 million and 0.45% of average daily net assets over $250 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by GSAM.
Partner International Stock Portfolio
The Adviser has entered into subadvisory agreements with Principal and Mercator for the performance of subadvisory services.
The fee payable for Mercator is equal to 0.75% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.55% of the next $25 million, 0.50% of the next $225 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Thrivent Partner International Stock Fund, Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Mercator.
The fee payable for Principal is equal to 0.35% of the first $500 million of average daily net assets managed by Principal, 0.30% of the next $500 million and 0.25% of average daily net assets over $1 billion. Thrivent Partner International Stock Fund, Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Principal.
Partner Socially Responsible Stock Portfolio
The Adviser has entered into a subadvisory agreement with Calvert 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 the next $50 million, 0.325% of the next $100 million and 0.30% for assets over $250 million.
(C) Expense Reimbursements – As of December 31, 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 | %1 | N/A | |||||
Partner Growth Stock | 0.10 | % | N/A | |||||
Money Market | 0.21 | %2 | N/A | |||||
| 1 | Prior expense reimbursement of 0.25% expired on April 30, 2011. |
| 2 | Thrivent Asset Mgt. has voluntarily agreed to reimburse certain portfolio level expenses of Thrivent Money Market Portfolio to the extent necessary in order to maintain a minimum annualized net yield of 0.00%. |
360
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
As of December 31, 2011, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Aggressive Allocation | 0.89 | %1 | 5/15/2011 | |||||
Partner Healthcare | 1.25 | %2 | 4/30/2012 | |||||
Partner Natural Resources | 1.19 | % | 4/30/2012 | |||||
Partner Emerging Markets | 1.40 | %3 | 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 | |||||
| 1 | All direct and indirect expenses are subject to the contractual expense limit. |
| 2 | Prior contractual expense limit of 1.39% expired on April 30, 2011. |
| 3 | Prior contractual expense limit of 1.50% expired on April 30, 2011. |
Thrivent does not recoup amounts previously reimbursed or waived in prior fiscal years.
Each equity, hybrid and fixed income Portfolio may invest cash in High Yield Fund and Money Market Portfolio, subject to certain limitations. During the year ended December 31, 2011, Income Portfolio and Limited Maturity Bond Portfolio invested in High Yield Fund. During the year ended December 31, 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 year ended December 31, 2011, the Adviser received aggregate fees for accounting and administrative personnel and services of $7,402,519 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 $565,382 in fees from the Fund for the year ended December 31, 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.
On the Statement of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows [Increase (Decrease)]:
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | |||||||||
Aggressive Allocation | $ | 830,953 | $ | (830,953 | ) $ | — | ||||||
Moderately Aggressive Allocation | 2,078,608 | (2,078,608 | ) | — | ||||||||
Moderate Allocation | 1,159,142 | (1,159,142 | ) | — | ||||||||
Moderately Conservative Allocation | (72,828 | ) | 72,828 | — | ||||||||
Partner Technology | 69,648 | — | (69,648 | ) | ||||||||
Partner Healthcare | (5,117 | ) | 5,117 | — | ||||||||
Partner Natural Resources | 54,530 | (54,530 | ) | — | ||||||||
Partner Emerging Markets | (8,387 | ) | 8,387 | — | ||||||||
Real Estate Securities | (494 | ) | (32,924,296 | ) | 32,924,790 | |||||||
Partner Utilities | (7,722 | ) | 7,722 | — | ||||||||
361
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | |||||||||
Partner Small Cap Growth | 1,516,911 | (1,284,051 | ) | (232,860 | ) | |||||||
Partner Small Cap Value | 110,102 | (110,102 | ) | — | ||||||||
Small Cap Stock | 269,201 | 8,424 | (277,625 | ) | ||||||||
Small Cap Index | (13,041 | ) | 13,041 | — | ||||||||
Mid Cap Growth II | 201,665 | (34,805,106 | ) | 34,603,441 | ||||||||
Mid Cap Growth | 9,480 | (9,480 | ) | — | ||||||||
Partner Mid Cap Value | (10,961 | ) | 10,961 | — | ||||||||
Mid Cap Stock | (44,188 | ) | 44,188 | — | ||||||||
Partner Worldwide Allocation | (92,541 | ) | 92,541 | — | ||||||||
Partner International Stock | 521,520 | (521,520 | ) | — | ||||||||
Partner Socially Responsible Stock | (244 | ) | 244 | — | ||||||||
Partner All Cap Growth | 34,228 | — | (34,228 | ) | ||||||||
Partner All Cap Value | (633 | ) | 633 | — | ||||||||
Partner All Cap | 45,087 | (45,087 | ) | — | ||||||||
Large Cap Growth II | (867,071 | ) | (9,153,017 | ) | 10,020,088 | |||||||
Large Cap Growth | (70,930 | ) | 109,531,404 | (109,460,474 | ) | |||||||
Partner Growth Stock | 110,829 | 996 | (111,825 | ) | ||||||||
Large Cap Value | (28,709 | ) | 28,709 | — | ||||||||
Large Cap Stock | (12,688 | ) | 12,688 | — | ||||||||
Large Cap Index | (101,059 | ) | 101,059 | — | ||||||||
Equity Income Plus | (18,020 | ) | 18,220 | (200 | ) | |||||||
Balanced | (54,759 | ) | 54,759 | — | ||||||||
High Yield | (457,965 | ) | 344,085,464 | (343,627,499 | ) | |||||||
Diversified Income Plus | (231,690 | ) | 73,690 | 158,000 | ||||||||
Income | (904,258 | ) | 904,258 | — | ||||||||
Bond Index | 35 | (35 | ) | — | ||||||||
Limited Maturity Bond | (1,435,575 | ) | 1,435,575 | — | ||||||||
Money Market | 3,050 | (3,050 | ) | — | ||||||||
At December 31, 2011, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | ||||||
Aggressive Allocation | $ | 8,474,435 | $ | 20,858,286 | ||||
Moderately Aggressive Allocation | 42,258,689 | 29,976,332 | ||||||
Moderate Allocation | 80,123,575 | 25,316,658 | ||||||
Moderately Conservative Allocation | 44,927,476 | 11,650,410 | ||||||
Partner Healthcare | 55,995 | 248,326 | ||||||
Partner Natural Resources | 77,727 | 4,038,356 | ||||||
Partner Emerging Markets | 252,692 | 239,345 | ||||||
Real Estate Securities | 4,306,245 | — | ||||||
Partner Utilities | 195,769 | — | ||||||
Partner Small Cap Value | 1,706,505 | — | ||||||
Small Cap Index | 1,510,323 | 15,713,467 | ||||||
Mid Cap Growth II | — | 2,300,000 | ||||||
Mid Cap Growth | 760,026 | — | ||||||
Partner Mid Cap Value | 1,912,517 | — | ||||||
Mid Cap Stock | 1,116,616 | — | ||||||
Mid Cap Index | 712,523 | 7,728,514 | ||||||
Partner Worldwide Allocation | 182,626 | — | ||||||
Partner International Stock | 19,917,035 | — | ||||||
Partner Socially Responsible Stock | 1,186 | — | ||||||
Partner All Cap Value | 44,615 | — | ||||||
Partner All Cap | 295,655 | — | ||||||
Large Cap Growth II | 2,703,926 | 1,639,164 | ||||||
Large Cap Growth | 265,318 | — | ||||||
Large Cap Value | 13,341,407 | — | ||||||
Large Cap Stock | 6,069,916 | — | ||||||
Large Cap Index | 5,240,636 | — | ||||||
Equity Income Plus | 1,504,441 | — | ||||||
Balanced | 7,073,128 | 5,504,467 | ||||||
High Yield | 520,280 | — | ||||||
Diversified Income Plus | 5,482,226 | — | ||||||
Partner Socially Responsible Bond | 269,930 | 72,641 | ||||||
Income | 250,591 | — | ||||||
Bond Index | 1,693,768 | 397,118 | ||||||
Limited Maturity Bond | 179,322 | — | ||||||
Mortgage Securities | 539,659 | 273,995 | ||||||
At December 31, 2011, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Partner Technology | $ | 4,459,684 | 2016 | |||||
| 2,198,564 | 2017 | |||||||
|
| |||||||
| $ | 6,658,248 | |||||||
|
| |||||||
Real Estate Securities | 5,422,551 | 2017 | ||||||
|
| |||||||
| $ | 5,422,551 | |||||||
|
| |||||||
Partner Utilities | 243,838 | 2016 | ||||||
| 285,260 | 2017 | |||||||
| 296,017 | 2018 | |||||||
|
| |||||||
| $ | 825,115 | |||||||
|
| |||||||
Partner Small Cap Growth | 11,257,434 | 2017 | ||||||
|
| |||||||
| $ | 11,257,434 | |||||||
|
| |||||||
Partner Small Cap Value | 2,378,572 | 2017 | ||||||
|
| |||||||
| $ | 2,378,572 | |||||||
|
| |||||||
Small Cap Stock | 36,568,210 | 2017 | ||||||
|
| |||||||
| $ | 36,568,210 | |||||||
|
| |||||||
Mid Cap Growth | 27,868,536 | 2017 | ||||||
|
| |||||||
| $ | 27,868,536 | |||||||
|
| |||||||
362
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Partner Mid Cap Value | 3,299,792 | 2017 | ||||||
|
| |||||||
| $ | 3,299,792 | |||||||
|
| |||||||
Mid Cap Stock | 28,879,374 | 2016 | ||||||
| 27,996,719 | 2017 | |||||||
|
| |||||||
| $ | 56,876,093 | |||||||
|
| |||||||
Partner International Stock | 62,173,678 | 2016 | ||||||
| 186,079,623 | 2017 | |||||||
|
| |||||||
| $ | 248,253,301 | |||||||
|
| |||||||
Partner Socially Responsible Stock | 372,232 | 2017 | ||||||
| 14,165 | 2018 | |||||||
|
| |||||||
| $ | 386,397 | |||||||
|
| |||||||
Partner All Cap Growth | 96,601 | 2017 | ||||||
|
| |||||||
| $ | 96,601 | |||||||
|
| |||||||
Partner All Cap Value | 430,652 | 2017 | ||||||
|
| |||||||
| $ | 430,652 | |||||||
|
| |||||||
Partner All Cap | 2,829,972 | 2016 | ||||||
| 11,312,120 | 2017 | |||||||
|
| |||||||
| $ | 14,142,092 | |||||||
|
| |||||||
Large Cap Growth | 163,432,783 | 2016 | ||||||
| 185,657,815 | 2017 | |||||||
|
| |||||||
| $ | 349,090,598 | |||||||
|
| |||||||
Partner Growth Stock | 3,322,166 | 2017 | ||||||
|
| |||||||
| $ | 3,322,166 | |||||||
|
| |||||||
Large Cap Value | 137,096,888 | 2017 | ||||||
|
| |||||||
| $ | 137,096,888 | |||||||
|
| |||||||
Large Cap Stock | 10,258,437 | 2016 | ||||||
| 98,352,276 | 2017 | |||||||
|
| |||||||
| $ | 108,610,713 | |||||||
|
| |||||||
Large Cap Index | 3,715,464 | 2017 | ||||||
|
| |||||||
| $ | 3,715,464 | |||||||
|
| |||||||
Equity Income Plus | 1,483,204 | 2016 | ||||||
| 5,497,079 | 2017 | |||||||
|
| |||||||
| $ | 6,980,283 | |||||||
|
| |||||||
High Yield | 30,516,064 | 2012 | ||||||
| 10,993,224 | 2013 | |||||||
| 560,014 | 2014 | |||||||
| 42,742,264 | 2016 | |||||||
| 46,838,004 | 2017 | |||||||
|
| |||||||
| $ | 131,649,570 | |||||||
|
| |||||||
Diversified Income Plus | 6,851,449 | 2016 | ||||||
| 9,354,607 | 2017 | |||||||
|
| |||||||
| $ | 16,206,056 | |||||||
|
| |||||||
Income | 17,759,581 | 2017 | ||||||
|
| |||||||
| $ | 17,759,581 | |||||||
|
| |||||||
Limited Maturity Bond | 2,169,430 | 2016 | ||||||
| 6,959,975 | 2017 | |||||||
|
| |||||||
| $ | 9,129,405 | |||||||
|
| |||||||
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 and later, will be subject to the provisions of the Regulated Investment Company Modernization Act of 2010 (the Act). The Act made several changes to the tax rules that impact the Portfolios. Under the Act, 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 carryovers listed with noted expiration dates in the table above, which may make them more likely to expire unused. No new capital losses were generated during the year ending December 31, 2011.
During the fiscal year 2011, capital loss carryovers utilized by the Portfolios were as follows:
| Capital Loss | ||||
Portfolio | Carryover | |||
Partner Technology | 3,776,166 | |||
Partner Natural Resources | 245,911 | |||
Partner Emerging Markets | 836,629 | |||
Real Estate Securities | 13,507,120 | |||
Partner Utilities | 131,326 | |||
Partner Small Cap Growth | 29,195,487 | |||
Partner Small Cap Value | 3,243,122 | |||
Small Cap Stock | 38,446,602 | |||
Mid Cap Growth | 14,619,993 | |||
Partner Mid Cap Value | 19,555,967 | |||
Mid Cap Stock | 29,902,527 | |||
Partner Worldwide Allocation | 10,601,730 | |||
Partner International Stock | 36,957,830 | |||
Partner Socially Responsible Stock | 220,068 | |||
Partner All Cap Growth | 991,013 | |||
Partner All Cap Value | 588,160 | |||
Partner All Cap | 5,275,378 | |||
Large Cap Growth | 88,825,021 | |||
Partner Growth Stock | 6,686,142 | |||
Large Cap Value | 46,283,016 | |||
Large Cap Stock | 40,979,562 | |||
Large Cap Index | 788,145 | |||
Equity Income Plus | 2,955,420 | |||
High Yield | 21,298,636 | |||
Diversified Income Plus | 3,036,854 | |||
Income | 34,772,686 | |||
Limited Maturity Bond | 728,793 | |||
363
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
In addition, the following capital loss carryovers expired during the fiscal year 2011: Large Cap Growth Portfolio, $109,531,404; High Yield Portfolio, $343,627,499. The following Portfolios deferred, on a tax basis, the following Post-October 2011 losses:
Portfolio | Post-October Loss | |||
Partner Worldwide Allocation | $ | 3,057,155 | ||
These amounts are deferred for tax purposes, deemed to occur in the next fiscal year, and are subject to the provisions of the Regulated Investment Company Modernization Act of 2010. If the losses are not reduced by gains during the next fiscal year, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained.
The tax character of distributions paid during the years ended December 31, 2011 and 2010 was as follows:
| Ordinary Income | Long-Term Capital Gain | Return of Capital | ||||||||||||||||||||||
Portfolio | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | 12/31/2011 | 12/31/2010 | ||||||||||||||||||
Aggressive Allocation | $ | 14,282,959 | $ | 12,321,615 | $ | 3,196,185 | $ | — | $ | — | $ | — | ||||||||||||
Moderately Aggressive Allocation | 68,387,593 | 82,045,060 | 15,195,649 | — | — | — | ||||||||||||||||||
Moderate Allocation | 111,192,082 | 122,452,842 | 31,660,803 | — | — | — | ||||||||||||||||||
Moderately Conservative Allocation | 48,557,013 | 48,468,152 | 13,781,398 | 2,670,270 | — | — | ||||||||||||||||||
Partner Healthcare | 58,257 | 285,849 | 535,514 | — | — | — | ||||||||||||||||||
Partner Natural Resources | 24,409 | 19,477 | — | — | — | — | ||||||||||||||||||
Partner Emerging Markets | 432,330 | — | — | — | — | — | ||||||||||||||||||
Real Estate Securities | — | 8,680,000 | — | — | — | — | ||||||||||||||||||
Partner Utilities | 188,302 | 150,229 | — | — | — | — | ||||||||||||||||||
Partner Small Cap Value | 560,137 | 2,402,557 | — | — | — | — | ||||||||||||||||||
Small Cap Stock | — | 107,303 | — | — | — | — | ||||||||||||||||||
Small Cap Index | 1,738,716 | 1,688,689 | 5,929,388 | — | — | — | ||||||||||||||||||
Mid Cap Growth II | 2,445,054 | 3,887,907 | 3,481,873 | 8,287,882 | — | — | ||||||||||||||||||
Mid Cap Growth | 1,271,495 | 947,099 | — | — | — | — | ||||||||||||||||||
Partner Mid Cap Value | 501,793 | 1,688,800 | — | — | — | — | ||||||||||||||||||
Mid Cap Stock | 227,230 | 2,143,045 | — | — | — | — | ||||||||||||||||||
Mid Cap Index | 714,334 | 915,779 | 5,251,300 | — | — | — | ||||||||||||||||||
Partner Worldwide Allocation | 11,145,255 | 6,741,083 | 9,296,969 | — | — | — | ||||||||||||||||||
Partner International Stock | 312,749 | 16,065,985 | — | — | — | — | ||||||||||||||||||
Partner Socially Responsible Stock | 45 | 4,433 | — | — | — | — | ||||||||||||||||||
Partner All Cap Value | 44,465 | — | — | — | — | — | ||||||||||||||||||
Partner All Cap | 361,337 | 425,206 | — | — | — | — | ||||||||||||||||||
Large Cap Growth II | 6,076,312 | 28,106,422 | 1,710,869 | 19,348,300 | — | — | ||||||||||||||||||
Large Cap Growth | 4,952,199 | 5,477,772 | — | — | — | — | ||||||||||||||||||
Partner Growth Stock | — | 10,928 | — | — | — | — | ||||||||||||||||||
Large Cap Value | 178,536 | 10,382,197 | — | — | — | — | ||||||||||||||||||
Large Cap Stock | 72,332 | 4,434,436 | — | — | — | — | ||||||||||||||||||
Large Cap Index | 5,204,623 | 6,071,009 | — | — | — | — | ||||||||||||||||||
Equity Income Plus | 238,167 | 1,091,095 | — | — | — | — | ||||||||||||||||||
Balanced | 6,991,678 | 8,856,775 | 7,267,181 | — | — | — | ||||||||||||||||||
High Yield | 60,572,233 | 64,046,375 | — | — | — | — | ||||||||||||||||||
Diversified Income Plus | 5,830,693 | 4,650,351 | — | — | — | — | ||||||||||||||||||
Partner Socially Responsible Bond | 232,005 | 380,002 | — | 117,450 | — | — | ||||||||||||||||||
Income | 63,413,810 | 64,435,842 | — | — | — | — | ||||||||||||||||||
Bond Index | 4,585,471 | 5,092,427 | 863,822 | — | — | — | ||||||||||||||||||
Limited Maturity Bond | 32,036,799 | 39,165,559 | — | — | — | — | ||||||||||||||||||
Mortgage Securities | 1,080,936 | 1,389,516 | — | 59,896 | — | — | ||||||||||||||||||
364
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities – For the year ended December 31, 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 | $ | 358,279 | $ | 451,728 | ||||
Moderately Aggressive Allocation | 1,137,944 | 1,344,489 | ||||||
Moderate Allocation | 1,521,064 | 1,469,204 | ||||||
Moderately Conservative Allocation | 630,916 | 467,843 | ||||||
Partner Technology | 18,541 | 21,733 | ||||||
Partner Healthcare | 13,100 | 12,010 | ||||||
Partner Natural Resources | 46,513 | 37,668 | ||||||
Partner Emerging Markets | 5,971 | 2,403 | ||||||
Real Estate Securities | 45,075 | 51,284 | ||||||
Partner Utilities | 8,831 | 7,803 | ||||||
Partner Small Cap Growth | 210,087 | 214,365 | ||||||
Partner Small Cap Value | 24,541 | 33,910 | ||||||
Small Cap Stock | 221,496 | 259,968 | ||||||
Small Cap Index | 26,526 | 55,838 | ||||||
Mid Cap Growth II | 108,611 | 108,695 | ||||||
Mid Cap Growth | 254,459 | 299,469 | ||||||
Partner Mid Cap Value | 171,659 | 173,724 | ||||||
Mid Cap Stock | 169,673 | 191,547 | ||||||
Mid Cap Index | 13,561 | 27,720 | ||||||
Partner Worldwide Allocation | 392,191 | 335,188 | ||||||
Partner International Stock | 606,441 | 640,506 | ||||||
Partner Socially Responsible Stock | 4,098 | 2,420 | ||||||
Partner All Cap Growth | 11,499 | 9,914 | ||||||
Partner All Cap Value | 9,791 | 9,783 | ||||||
Partner All Cap | 71,502 | 79,848 | ||||||
Large Cap Growth II | 549,729 | 537,814 | ||||||
Large Cap Growth | 1,953,153 | 2,076,858 | ||||||
Partner Growth Stock | 15,012 | 25,417 | ||||||
Large Cap Value | 568,431 | 589,152 | ||||||
Large Cap Stock | 814,952 | 804,143 | ||||||
Large Cap Index | 12,574 | 51,282 | ||||||
Equity Income Plus | 161,780 | 149,147 | ||||||
Balanced | 17,434 | 40,804 | ||||||
High Yield | 428,537 | 428,266 | ||||||
Diversified Income Plus | 140,130 | 129,289 | ||||||
Partner Socially Responsible Bond | 8,548 | 8,474 | ||||||
Income | 895,534 | 891,654 | ||||||
Bond Index | 22,157 | 22,504 | ||||||
Limited Maturity Bond | 687,476 | 642,375 | ||||||
Mortgage Securities | 282 | 3,052 | ||||||
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 72,038 | $ | 60,872 | ||||
Moderately Aggressive Allocation | 468,696 | 335,800 | ||||||
Moderate Allocation | 655,926 | 462,484 | ||||||
Moderately Conservative Allocation | 460,569 | 276,679 | ||||||
Partner Worldwide Allocation | 1,200 | — | ||||||
Balanced | 356,860 | 367,813 | ||||||
Diversified Income Plus | 8,085 | 4,714 | ||||||
Partner Socially Responsible Bond | 11,662 | 11,387 | ||||||
Income | 1,171,254 | 1,069,600 | ||||||
Bond Index | 681,984 | 687,232 | ||||||
Limited Maturity Bond | 832,530 | 639,735 | ||||||
Mortgage Securities | 296,294 | 294,878 | ||||||
(B) Investments in Restricted Securities – Certain Portfolios may own restricted securities that have been deemed illiquid and were purchased in private placement transactions without registration under the Securities Act of 1933. Unless such securities subsequently become registered, they generally may be resold only in privately negotiated transactions with a limited number of purchasers. As of December 31, 2011, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Growth Stock | 10 | 1.45 | % | |||||
Balanced | 2 | 0.45 | % | |||||
High Yield | 5 | 2.23 | % | |||||
Diversified Income Plus | 1 | 0.49 | % | |||||
Partner Socially Responsible Bond | 5 | 2.95 | % | |||||
Income | 4 | 0.68 | % | |||||
Bond Index | 2 | 0.79 | % | |||||
Limited Maturity Bond | 6 | 1.45 | % | |||||
Mortgage Securities | 2 | 4.81 | % | |||||
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.
365
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
(E) Written Option Contracts – The number of contracts and premium amounts associated with covered call option contracts written during the year ended December 31, 2011, were as follows:
| Number of Contracts | Premium Amount | |||||||
Aggressive Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 3 | 9,313 | ||||||
Closed | — | — | ||||||
Expired | (1 | ) | (813 | ) | ||||
Exercised | (2 | ) | (8,500 | ) | ||||
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| |||||
Balance at December 31, 2011 | — | $ | — | |||||
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| |||||
Moderately Aggressive Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 6 | 23,281 | ||||||
Closed | — | — | ||||||
Expired | (1 | ) | (2,031 | ) | ||||
Exercised | (5 | ) | (21,250 | ) | ||||
|
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|
| |||||
Balance at December 31, 2011 | — | $ | — | |||||
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| |||||
Moderate Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 7 | 27,938 | ||||||
Closed | — | — | ||||||
Expired | (1 | ) | (2,438 | ) | ||||
Exercised | (6 | ) | (25,500 | ) | ||||
|
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|
| |||||
Balance at December 31, 2011 | — | $ | — | |||||
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| |||||
Moderately Conservative Allocation | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 3 | 9,313 | ||||||
Closed | — | — | ||||||
Expired | (1 | ) | (813 | ) | ||||
Exercised | (2 | ) | (8,500 | ) | ||||
|
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| |||||
Balance at December 31, 2011 | — | $ | — | |||||
|
|
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| |||||
Large Cap Growth | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 4,520 | 681,226 | ||||||
Closed | (1,746 | ) | (309,961 | ) | ||||
Expired | (2,376 | ) | (307,358 | ) | ||||
Exercised | (398 | ) | (63,907 | ) | ||||
|
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|
| |||||
Balance at December 31, 2011 | — | $ | — | |||||
|
|
|
| |||||
Large Cap Stock | ||||||||
Balance at December 31, 2010 | 300 | $ | 126,750 | |||||
Opened | 3,315 | 1,407,023 | ||||||
Closed | (3,490 | ) | (1,489,020 | ) | ||||
Expired | (95 | ) | (27,703 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2011 | 30 | $ | 17,050 | |||||
|
|
|
| |||||
Equity Income Plus | ||||||||
Balance at December 31, 2010 | 50 | $ | 21,125 | |||||
Opened | 3,552 | 1,394,772 | ||||||
Closed | (2,601 | ) | (1,198,918 | ) | ||||
Expired | (110 | ) | (35,540 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2011 | 891 | $ | 181,439 | |||||
|
|
|
| |||||
Diversified Income Plus | ||||||||
Balance at December 31, 2010 | 30 | $ | 12,675 | |||||
Opened | 1,380 | 645,058 | ||||||
Closed | (1,320 | ) | (623,042 | ) | ||||
Expired | (60 | ) | (17,641 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2011 | 30 | $ | 17,050 | |||||
|
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| |||||
Mortgage Securities | ||||||||
Balance at December 31, 2010 | — | $ | — | |||||
Opened | 3 | 11,641 | ||||||
Closed | — | — | ||||||
Expired | (1 | ) | (1,016 | ) | ||||
Exercised | (2 | ) | (10,625 | ) | ||||
|
|
|
| |||||
Balance at December 31, 2011 | — | $ | — | |||||
|
|
|
| |||||
(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 executed at the current market price. Pursuant to these procedures, during the year ended December 31, 2011, the Portfolios engaged in purchases and sales of securities of $19,583,679 and $22,354,851 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.
366
Thrivent Series Fund, Inc.
Notes to Financial Statements
As of December 31, 2011
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 | 550,000,000 | 0.01 | ||||||
Moderate Allocation | 850,000,000 | 0.01 | ||||||
Moderately Conservative Allocation | 600,000,000 | 0.01 | ||||||
Partner Technology | 100,000,000 | 0.01 | ||||||
Partner Healthcare | 50,000,000 | 0.01 | ||||||
Partner Natural Resources | 200,000,000 | 0.01 | ||||||
Partner Emerging Markets | 150,000,000 | 0.01 | ||||||
Real Estate Securities | 200,000,000 | 0.01 | ||||||
Partner Utilities | 150,000,000 | 0.01 | ||||||
Partner Small Cap Growth | 50,000,000 | 0.01 | ||||||
Partner Small Cap Value | 150,000,000 | 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 | 50,000,000 | 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 | 100,000,000 | 0.01 | ||||||
Partner All Cap Growth | 200,000,000 | 0.01 | ||||||
Partner All Cap Value | 50,000,000 | 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 | 100,000,000 | 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 | 50,000,000 | 0.01 | ||||||
Income | 300,000,000 | 0.01 | ||||||
Bond Index | 200,000,000 | 0.01 | ||||||
Limited Maturity Bond | 450,000,000 | 0.01 | ||||||
Mortgage Securities | 50,000,000 | 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.
367
Financial Highlights
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 12.22 | $ | 0.06 | $ | (0.52 | ) | $ | (0.46 | ) | $ | (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 | ) | ||||||||||||||||
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MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 11.89 | 0.12 | (0.45 | ) | (0.33 | ) | (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 | ) | ||||||||||||||||
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MODERATE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 11.79 | 0.17 | (0.28 | ) | (0.11 | ) | (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 | ) | ||||||||||||||||
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 11.66 | 0.18 | (0.16 | ) | 0.02 | (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 | ) | ||||||||||||||||
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PARTNER TECHNOLOGY PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 7.11 | (0.01 | ) | (0.90 | ) | (0.91 | ) | — | — | |||||||||||||||
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 | ) | ||||||||||||||||
| (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
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 | ||||||||||||||||||||||||||
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| $ | (0.36) | $ | 11.40 | (3.93 | )% | $ | 560.6 | 0.42 | % | 0.49 | % | 0.43 | % | 0.47 | % | 74 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.37) | 11.19 | (2.86 | )% | 2,659.6 | 0.33 | % | 1.22 | % | 0.33 | % | 1.22 | % | 64 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.43) | 11.25 | (1.02 | )% | 4,133.6 | 0.29 | % | 1.86 | % | 0.29 | % | 1.86 | % | 53 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.40) | 11.28 | 0.20 | % | 2,055.3 | 0.31 | % | 2.14 | % | 0.31 | % | 2.14 | % | 46 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 6.20 | (12.83 | )% | 29.6 | 1.13 | % | (0.21 | )% | 1.13 | % | (0.21 | )% | 56 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | Return of Capital | ||||||||||||||||||||||
PARTNER HEALTHCARE PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 12.08 | $ | 0.03 | $ | (0.46 | ) | $ | (0.43 | ) | $ | — | $ | (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 | ||||||||||||||||||||||||||||
Year Ended 12/31/2011 | 9.56 | 0.02 | (1.24 | ) | (1.22 | ) | (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 | ||||||||||||||||||||||||||||
Year Ended 12/31/2011 | 12.38 | 0.15 | (1.48 | ) | (1.33 | ) | (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 | ||||||||||||||||||||||||||||
Year Ended 12/31/2011 (d) | 14.49 | 0.22 | 1.06 | 1.28 | — | — | — | |||||||||||||||||||||
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 | ) | — | |||||||||||||||||
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PARTNER UTILITIES PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2011 | 8.10 | 0.13 | 0.60 | 0.73 | (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 | ||||||||||||||||||||||||||||
Year Ended 12/31/2011 | 12.92 | (0.08 | ) | (0.42 | ) | (0.50 | ) | — | — | — | ||||||||||||||||||
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 | ) | — | |||||||||||||||||||
| (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. |
| (d) | Per share amounts have been calculated using the average shares outstanding method. |
| * | 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
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 | ||||||||||||||||||||||||||
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| $ | (0.39) | $ | 11.26 | (3.79 | )% | $ | 18.0 | 1.30 | % | 0.24 | % | 1.64 | % | (0.11 | )% | 66 | % | |||||||||||||||||
| (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) | 8.33 | (12.84 | )% | 31.6 | 1.12 | % | 0.17 | % | 1.12 | % | 0.17 | % | 118 | % | ||||||||||||||||||||
| (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) | 10.92 | (10.83 | )% | 38.9 | 1.43 | % | 1.27 | % | 1.66 | % | 1.04 | % | 6 | % | ||||||||||||||||||||
| — | 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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| — | 15.77 | 8.83 | % | 108.0 | 0.87 | % | 1.47 | % | 0.87 | % | 1.47 | % | 16 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.18) | 8.65 | 9.08 | % | 11.1 | 0.90 | % | 2.13 | % | 2.05 | % | 0.99 | % | 92 | % | ||||||||||||||||||||
| (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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| — | 12.42 | (3.85 | )% | 197.5 | 1.00 | % | (0.63 | )% | 1.10 | % | (0.73 | )% | 101 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
PARTNER SMALL CAP VALUE PORTFOLIO |
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Year Ended 12/31/2011 | $ | 19.06 | $ | 0.10 | $ | (0.48 | ) | $ | (0.38 | ) | $ | (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 | ) | ||||||||||||||
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SMALL CAP STOCK PORTFOLIO |
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Year Ended 12/31/2011 | 12.66 | (0.01 | ) | (0.66 | ) | (0.67 | ) | — | — | |||||||||||||||
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 | ) | ||||||||||||||||
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SMALL CAP INDEX PORTFOLIO |
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Year Ended 12/31/2011 | 13.19 | 0.10 | (0.02 | ) | 0.08 | (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 | ) | |||||||||||||||
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MID CAP GROWTH PORTFOLIO II |
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Year Ended 12/31/2011 (c) | 9.95 | (0.01 | ) | (0.40 | ) | (0.41 | ) | (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 | ) | ||||||||||||||||
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MID CAP GROWTH PORTFOLIO |
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Year Ended 12/31/2011 | 18.56 | 0.04 | (1.04 | ) | (1.00 | ) | (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 | ) | ||||||||||||||||
| (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) | Per share amounts have been calculated using the average shares outstanding method. |
| * | 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
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) | $ | 18.64 | (1.99 | )% | $ | 250.4 | 0.88 | % | 0.52 | % | 0.88 | % | 0.52 | % | 10 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 11.99 | (5.31 | )% | 263.8 | 0.76 | % | (0.10 | )% | 0.76 | % | (0.10 | )% | 88 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
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| (0.50) | 12.77 | 0.53 | % | 189.0 | 0.45 | % | 0.63 | % | 0.45 | % | 0.63 | % | 13 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.37) | 9.17 | (4.32 | )% | 17.0 | 0.72 | % | (0.13 | )% | 1.02 | % | (0.43 | )% | 83 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.06) | 17.50 | (5.43 | )% | 348.8 | 0.46 | % | 0.21 | % | 0.46 | % | 0.21 | % | 67 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
PARTNER MID CAP VALUE PORTFOLIO |
| |||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 13.38 | $ | 0.11 | $ | (0.95 | ) | $ | (0.84 | ) | $ | (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 | ) | |||||||||||||||||
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MID CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 12.25 | 0.03 | (0.79 | ) | (0.76 | ) | (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 | ) | ||||||||||||||||
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MID CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 12.91 | 0.10 | (0.33 | ) | (0.23 | ) | (0.11 | ) | (0.78 | ) | ||||||||||||||
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 | ) | ||||||||||||||||
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 8.77 | 0.19 | (1.26 | ) | (1.07 | ) | (0.17 | ) | (0.14 | ) | ||||||||||||||
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 | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 10.67 | 0.26 | (1.75 | ) | (1.49 | ) | — | — | ||||||||||||||||
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 | ) | ||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
| $ | (0.03) | $ | 12.51 | (6.33 | )% | $ | 215.8 | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | 76 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.01) | 11.48 | (6.29 | )% | 457.0 | 0.72 | % | 0.24 | % | 0.72 | % | 0.24 | % | 35 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.89) | 11.79 | (2.23 | )% | 78.1 | 0.53 | % | 0.72 | % | 0.53 | % | 0.72 | % | 16 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.31) | 7.39 | (12.13 | )% | 495.6 | 0.99 | % | 2.25 | % | 0.99 | % | 2.25 | % | 64 | % | ||||||||||||||||||||
| (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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| — | 9.18 | (13.91 | )% | 709.8 | 0.82 | % | 2.43 | % | 0.90 | % | 2.35 | % | 73 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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
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 PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 10.35 | $ | — | $ | (0.19 | ) | $ | (0.19 | ) | $ | — | $ | — | ||||||||||
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 | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 10.07 | (0.03 | ) | (0.69 | ) | (0.72 | ) | — | — | |||||||||||||||
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 | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 9.09 | 0.05 | (0.97 | ) | (0.92 | ) | (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 | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 8.93 | 0.06 | (0.49 | ) | (0.43 | ) | (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 | ) | ||||||||||||||||
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LARGE CAP GROWTH PORTFOLIO II | ||||||||||||||||||||||||
Year Ended 12/31/2011 (d) | 6.94 | 0.02 | (0.45 | ) | (0.43 | ) | (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 | ) | ||||||||||||||||
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LARGE CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 16.98 | 0.10 | (1.02 | ) | (0.92 | ) | (0.10 | ) | — | |||||||||||||||
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 | ) | — | |||||||||||||||||
| (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. |
| (d) | Per share amounts have been calculated using the average shares outstanding method. |
| * | 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
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 | ||||||||||||||||||||||||||
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| $ | — | $ | 10.16 | (1.82 | )% | $ | 6.1 | 0.98 | % | 0.01 | % | 2.99 | % | (2.00 | )% | 45 | % | |||||||||||||||||
| (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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| — | 9.35 | (7.13 | )% | 12.7 | 1.00 | % | (0.26 | )% | 1.85 | % | (1.12 | )% | 76 | % | ||||||||||||||||||||
| — | 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) | 8.12 | (10.16 | )% | 6.7 | 0.98 | % | 0.59 | % | 2.42 | % | (0.85 | )% | 139 | % | ||||||||||||||||||||
| — | 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) | 8.44 | (4.83 | )% | 51.4 | 1.03 | % | 0.56 | % | 1.23 | % | 0.36 | % | 124 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.14) | 6.37 | (6.25 | )% | 12.9 | 0.68 | % | 0.33 | % | 0.87 | % | 0.14 | % | 169 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.10) | 15.96 | (5.42 | )% | 805.3 | 0.44 | % | 0.55 | % | 0.44 | % | 0.55 | % | 216 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
PARTNER GROWTH STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 11.58 | $ | (0.03 | ) | $ | (0.14 | ) | $ | (0.17 | ) | $ | — | $ | — | |||||||||
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 | ) | ||||||||||||||||
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LARGE CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 10.73 | 0.18 | (0.52 | ) | (0.34 | ) | — | — | ||||||||||||||||
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 | ) | ||||||||||||||||
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LARGE CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 8.50 | 0.09 | (0.48 | ) | (0.39 | ) | — | — | ||||||||||||||||
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 | ) | ||||||||||||||||
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LARGE CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 17.71 | 0.34 | (0.04 | ) | 0.30 | (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 | ) | ||||||||||||||||
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EQUITY INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 9.06 | 0.15 | (0.37 | ) | (0.22 | ) | (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 | ) | — | |||||||||||||||
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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.
378
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 | ||||||||||||||||||||||||||
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| $ | — | $ | 11.41 | (1.49 | )% | $ | 51.1 | 0.96 | % | (0.20 | )% | 1.06 | % | (0.30 | )% | 26 | % | |||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
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| — | 10.39 | (3.08 | )% | 752.1 | 0.64 | % | 1.70 | % | 0.64 | % | 1.70 | % | 73 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 8.11 | (4.58 | )% | 565.8 | 0.69 | % | 1.00 | % | 0.69 | % | 1.00 | % | 139 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.30) | 17.71 | 1.71 | % | 291.3 | 0.42 | % | 1.67 | % | 0.42 | % | 1.67 | % | 4 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.03) | 8.81 | (2.46 | )% | 88.1 | 0.83 | % | 1.78 | % | 0.83 | % | 1.78 | % | 195 | % | ||||||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
BALANCED PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 14.72 | $ | 0.34 | $ | 0.26 | $ | 0.60 | $ | (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 | ) | — | |||||||||||||||||
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HIGH YIELD PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 4.81 | 0.37 | (0.15 | ) | 0.22 | (0.37 | ) | — | ||||||||||||||||
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 | ) | — | ||||||||||||||||
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DIVERSIFIED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 6.75 | 0.29 | (0.13 | ) | 0.16 | (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 | ) | — | |||||||||||||||
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PARTNER SOCIALLY RESPONSIBLE BOND PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 10.31 | 0.29 | 0.40 | 0.69 | (0.29 | ) | — | |||||||||||||||||
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 | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 9.96 | 0.46 | 0.12 | 0.58 | (0.45 | ) | — | |||||||||||||||||
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 | ) | — | ||||||||||||||||
| (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
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 | ||||||||||||||||||||||||||
| $ | (0.84) | $ | 14.48 | 4.18 | % | $ | 240.5 | 0.44 | % | 2.06 | % | 0.44 | % | 2.06 | % | 143 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.37) | 4.66 | 4.71 | % | 778.5 | 0.45 | % | 7.81 | % | 0.45 | % | 7.81 | % | 58 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.35) | 6.56 | 2.32 | % | 118.4 | 0.55 | % | 4.98 | % | 0.55 | % | 4.98 | % | 127 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.29) | 10.71 | 6.70 | % | 10.2 | 0.68 | % | 2.73 | % | 2.17 | % | 1.25 | % | 254 | % | ||||||||||||||||||||
| (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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| (0.45) | 10.09 | 5.96 | % | 1,463.1 | 0.44 | % | 4.53 | % | 0.44 | % | 4.53 | % | 142 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
BOND INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | $ | 10.73 | $ | 0.31 | $ | 0.55 | $ | 0.86 | $ | (0.31 | ) | $ | (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 | ) | — | |||||||||||||||||
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LIMITED MATURITY BOND PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 9.80 | 0.23 | (0.14 | ) | 0.09 | (0.22 | ) | — | ||||||||||||||||
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 | ) | — | ||||||||||||||||
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MORTGAGE SECURITIES PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 10.32 | 0.30 | 0.17 | 0.47 | (0.30 | ) | (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 | ) | — | ||||||||||||||||
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MONEY MARKET PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2011 | 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 | ) | — | |||||||||||||||||
| (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
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 | ||||||||||||||||||||||||||
| $ | (0.38) | $ | 11.21 | 8.23 | % | $ | 164.5 | 0.46 | % | 2.83 | % | 0.46 | % | 2.83 | % | 415 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.22) | 9.67 | 0.90 | % | 1,497.8 | 0.43 | % | 2.31 | % | 0.44 | % | 2.30 | % | 91 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.34) | 10.45 | 4.53 | % | 32.4 | 0.90 | % | 2.89 | % | 0.90 | % | 2.89 | % | 854 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 1.00 | 0.00 | % | 170.5 | 0.30 | % | 0.00 | % | 0.51 | % | (0.21 | )% | N/A | |||||||||||||||||||||
| — | 1.00 | 0.00 | % | 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 | |||||||||||||||||||||
| (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
(unaudited)
Proxy Voting
The policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities are attached to the Fund’s Statement of Additional Information. You may request a free copy of the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 by calling 1-800-847-4836. You also may review the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 at Thrivent.com or www.sec.gov.
Quarterly Schedule of Portfolio Holdings
The Fund files its Schedule of Portfolio Holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. You may request a free copy of the Fund’s Forms N-Q by calling 1-800-847-4836. The Fund’s most recent Form N-Q Schedule of Investments also is available at Thrivent.com or www.sec.gov. You also may review and copy the Forms N-Q for the Fund at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling 1-800-SEC-0330.
Board Approval of Investment Advisory Agreement and Subadvisory Agreements
Both the Investment Company Act of 1940 (the “Investment Company Act”) and the terms of the Investment Advisory and Subadvisory Agreements of the Thrivent Series Fund, Inc. (the “Fund”) require that these agreements be approved annually by the Board of Directors (the “Board”), including a majority of the Directors who are not “interested persons” of the Fund, as defined in the Investment Company Act (the “Independent Directors”).
At its meeting on November 29, 2011, the Board voted unanimously to renew the existing Investment Advisory Agreement between the Fund and Thrivent Financial for Lutherans (the “Adviser”) for each series (each, a “Portfolio”) of the Fund. The Board also unanimously approved the Subadvisory Agreements for each of the Portfolios for which there is an investment subadviser (each a “Subadviser”). The Adviser and Subadvisers are referred to, collectively, as the “Advisory Organizations.” In connection with its evaluation of the agreements with the Advisory Organizations, the Board reviewed a broad range of information requested for this purpose and considered a variety of factors, including the following:
| 1. | The nature, extent, and quality of the services provided by the Advisory Organizations; |
| 2. | The performance of the Portfolios; |
| 3. | The advisory fee and net operating expense ratio of each Portfolio compared to a peer group; |
| 4. | The cost of services provided and profit realized by the Adviser; |
| 5. | The extent to which economies of scale may be realized as the Portfolios grow; |
| 6. | Whether the breakpoint levels reflect these economies of scale for the benefit of shareholders; |
| 7. | Other benefits realized by the Adviser from its relationship with the Fund; and |
| 8. | Any other factors that the Board deemed relevant to its consideration. |
In connection with the renewal process, the Contracts Committee of the Board (consisting of each of the Independent Directors) met on six occasions from March 8 to November 29, 2011 to consider information relevant to the renewal process. The Independent Directors also retained the services of Management Practice, Inc. (“MPI”) as an independent consultant to assist in the compilation, organization, and evaluation of relevant information. This information included statistical comparisons of the advisory fees, total operating expenses and performance of each of the Portfolios in comparison to a peer group of comparable funds; detailed information prepared by management with respect to the cost of services provided to the Portfolios and fees charged, including effective advisory fees that take into account breakpoints and fee waivers by the Adviser; profit realized by the Adviser and its affiliates that provide services to the Portfolios; and information regarding the types of services furnished to the Portfolios, the personnel providing the services, changes in staff and systems improvements. The Board also received reports from the Adviser’s investment management staff with respect to the performance of the Portfolios. In addition to its review of the information
384
Additional Information
(unaudited)
presented to the Board during the contract renewal process, the Board also considered information obtained from management throughout the course of the year.
The Independent Directors were represented by independent counsel throughout the review process and during executive sessions without management present to consider reapproval of the agreements. Each Independent Director relied on his or her own business judgment in determining the weight to be given to each factor considered in evaluating the materials that were presented. The Contract Committee’s and Board’s review and conclusions were based on a comprehensive consideration of all information presented to them and were not the result of any single controlling factor. In addition, each Director may have weighed individual factors differently. The key factors considered and the conclusions reached are described below.
Nature, Extent and Quality of Services
At each of the Board’s regular quarterly meetings, management presented information describing the services furnished to the Portfolios by the Adviser and, as appropriate, the Subadvisers. During these meetings, management reported on the investment management, portfolio trading and compliance services provided to the Portfolios under the Advisory and Subadvisory Agreements. During the renewal process, the Board considered the specific services provided under the Advisory Agreement. The Board also considered information relating to the investment experience and qualifications of the Adviser’s portfolio managers and those of the Subadvisers.
The Board received reports at each of its quarterly meetings from the Adviser’s Directors of Equity and Fixed Income Investments, as supplemented by the Adviser’s Chief Investment Officer, who was also present at all of the meetings. At each quarterly meeting, the Directors of Equity and Fixed Income Investments presented information about each of the Portfolios. These reports and presentations gave the Board the opportunity to evaluate the portfolio managers’ abilities and the quality of services they provide to the Portfolios. Information was also presented to the Board describing the portfolio compliance functions performed by the Adviser and the Adviser’s oversight of the Subadvisers to the Fund. The Independent Directors also met in-person with and received quarterly reports from the Fund’s Chief Compliance Officer.
The Board considered the adequacy of the Advisory Organizations’ resources used to provide services to the Fund pursuant to the Advisory and Subadvisory Agreements. The Adviser reviewed with the Board the Adviser’s ongoing program to enhance portfolio management capabilities, including recruitment and retention of portfolio managers, research analysts, and other personnel, and investment in additional and updated technology systems and applications to improve investment research, trading, portfolio compliance, and investment reporting functions. The Adviser also discussed improved risk controls. The Board viewed these actions as a positive factor in reapproving the existing Advisory Agreement, as they demonstrated the Adviser’s commitment to provide the Portfolios with quality service and competitive investment performance. The Board concluded that, within the context of its full deliberations, the nature, extent and quality of the investment advisory services provided to the Portfolios by the Adviser and Subadvisers supported renewal of the Advisory Agreement and Subadvisory Agreements.
Performance of the Portfolios
In connection with each of its regular quarterly meetings, the Board received information on the performance of each Portfolio, including net performance, relative performance rankings within each Portfolio’s Lipper peer group, Morningstar ratings, and performance as compared to benchmark index returns. At each quarterly Board meeting, the Directors of Equities and Fixed Income Investments reviewed with the Board the economic and market environment, risk management, and style consistency in connection with management of the Portfolios. The Board considered investment performance for each Portfolio, to the extent applicable, over the one-, three-, five-, and ten-year periods. When evaluating investment performance, the Board considered longer-term performance and the trend of performance, and focused particularly upon the three-year performance record.
For the three-year period ended June 30, 2011, the Board noted the average ranking of the Portfolios against their Lipper categories was 44% (with 1% being the best) and that 61% of the Portfolios performed in the top two quartiles. The Board concluded that the performance of each individual Portfolio was either satisfactory compared to its peer group or that the Adviser had taken appropriate actions in an effort to improve performance.
Advisory Fees and Fund Expenses
385
Additional Information
(unaudited)
The Board reviewed information prepared by MPI comparing each Portfolio’s advisory fee with the advisory fee of its peer group. The Board considered both the contractual and effective advisory fees for each of the Portfolios. The Board noted that the majority of the Portfolios’ advisory fees were at or below the medians of their peer groups. More specifically, the Board observed that 57.8% of the Portfolios comprising 72.8% of the Fund’s assets had gross advisory fees below their peer group medians. The Board also considered advisory fees after the voluntary and contractual fee waivers and expense reimbursements provided by the Adviser for several of the Portfolios, noting that 68.9% of the Portfolios, representing 75.3% of total Fund assets, had effective advisory fees at or below their peer group medians. The Board viewed favorably the Adviser’s proposal to continue or extend fee waivers for certain Portfolios and considered the effect of the waivers in lowering the Portfolios’ expenses.
On the basis of its review, the Board concluded that the advisory fees charged to the Portfolios for investment management services were not excessive.
The Board also reviewed information prepared by MPI comparing each Portfolio’s overall expense ratio with the expense ratio of its peer group. The Board noted that approximately 85% of the Portfolios had net operating expenses at or below the median of their peer groups.
Cost of Services and Profitability
The Board considered the Adviser’s estimates of its profitability, which included allocations by the Adviser of its costs in providing advisory services to the Portfolios. The internal audit department (i.e., Business Risk Management) of the Adviser conducted a review of such allocations and a department representative reported to the Board his views regarding the reasonableness and consistency of these allocations. The Board considered the profitability of the Adviser both overall and on a Portfolio-by-Portfolio basis. The Board also considered the expense reimbursements and waivers in effect. Based on its review of the data prepared by MPI and expense and profit information provided by the Adviser, the Board concluded that the profits earned by the Adviser from the Advisory Agreement were not excessive in light of the nature, extent and quality of services provided to the Portfolios.
With respect to fees paid to Subadvisers under the Subadvisory Agreements, the Board did not consider profitability information with respect to the Subadvisers, which are not affiliated with the Adviser. The Board considered that those contracts had been negotiated on an arm’s-length basis between the Adviser and each Subadviser, and that each Subadviser’s separate profitability from its relationship with the Portfolios was not a material factor in determining whether to renew the agreement.
Economies of Scale and Breakpoints
The Board considered information regarding the extent to which economies of scale may be realized as a Portfolio’s assets increase and whether the fee levels reflect these economies of scale for the benefit of shareholders. The Adviser explained its general goal with respect to the employment of fee waivers, expense reimbursements and breakpoints. The Board considered information provided by the Adviser related to advisory fee rates, breakpoints in the advisory fee rates and fee waivers provided by the Adviser. The Board also considered management’s view that it is difficult to generalize as to whether, or to what extent, economies in the advisory function may be realized as a Portfolio’s assets increase. The Board noted that expected economies of scale, where they exist, may be shared through the use of fee breakpoints, fee waivers by the Adviser, and/or a lower overall fee rate.
Other Benefits to the Adviser and its Affiliates
The Board considered information regarding potential “fall-out” or ancillary benefits that the Adviser and its affiliates may receive as a result of their relationship with the Fund, both tangible and intangible, such as their ability to leverage investment professionals who manage other portfolios, reputational benefits in the investment advisory community and the engagement of affiliates as service providers to the Portfolios. The Board noted that such benefits were difficult to quantify but were consistent with benefits received by other mutual fund advisers.
The Board also considered other potential benefits to the Adviser and its affiliates derived from its relationship with the Fund, including, among other things, research received by the Adviser generated from commission dollars spent on the
386
Additional Information
(unaudited)
Portfolios’ portfolio trading. The Board reviewed with the Adviser these arrangements and the reasonableness of the costs relative to the services performed.
Based on the factors discussed above, the Contracts Committee unanimously recommended approval of the Advisory Agreement and the Subadvisory Agreements, and the Board, including all of the Independent Directors voting separately, approved each of the agreements.
387
Board of Directors and Officers
The following table provides information about the Directors and Officers of the Fund. Each Director oversees each of the 41 series of the Fund and also serves as:
| • | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 25 funds that offer Class A and Institutional Class shares. |
| • | Trustee of Thrivent Financial Securities Lending Trust, a registered investment company consisting of one portfolio that serves as a cash collateral fund for a securities lending program sponsored by Thrivent Financial. |
The 41 series of the Fund, the 25 funds of Thrivent Mutual Funds and Thrivent Financial Securities Lending Trust are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Directors and is available, without charge, by calling 1-800-847-4836.
Interested Director (1)
Name, Address and Age | Position with Trust and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation During the Past 5 Years | Other Directorships Held Currently and Within Past 5 Years | ||||
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 54 | President since 2008; Trustee since 2009; Vice President from 2004 until 2008 | 67 | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003 | None | ||||
Independent Directors (3)
| ||||||||
Name, Address and Age | Position with Trust and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation During the Past 5 Years | Other Directorships Held Currently and Within Past 5 Years | ||||
F. Gregory Campbell 625 Fourth Avenue South Minneapolis, MN Age 72 | Trustee from 1992 until December 2011 | 67 | President, Carthage College | Currently, Director of Optique Funds, Inc., an investment company consisting of one portfolio; Kenosha Hospital and Medical Center, Prairie School Board and United Health Systems Board. Previously, Director of the National Association of Independent Colleges and Universities | ||||
388
Board of Directors and Officers
Name, Address and Age | Position with Trust and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation During the Past 5 Years | Other Directorships Held Past 5 Years | ||||
Janice B. Case 625 Fourth Avenue South Minneapolis, MN Age 59 | Trustee since 2011 | 67 | Independent Trustee of North American Electric Reliability Corporation (self-regulatory organization) since 2008; Independent Director of Western Electricity Coordinating Council (nonprofit corporation coordinating and promoting bulk electric system reliability) from 2002 through 2008; Independent Director/Trustee of three affiliated family of funds (AEGON/Transamerica Series Trust (consisted of 40 funds), Transamerica IDEX Funds (consisted of 53 funds) and Transamerica Income Shares, Inc. (consisted of one fund)) from 2001 through 2007; Independent Director of Central Vermont Public Service Corporation (electric utility) from 2001 through 2007; Advisory Board Director of AmSouth Bank, N.A. from 1997 through 2007 | Please see principal occupation during the past 5 years | ||||
Richard L. Gady 625 Fourth Avenue South Minneapolis, MN Age 68 | Trustee since 1987 | 67 | Retired | None | ||||
Richard A. Hauser 625 Fourth Avenue South Minneapolis, MN Age 68 | Trustee since 2004 | 67 | Vice President and Assistant General Counsel, Boeing Company since 2007; President, National Legal Center for the Public Interest from 2004 to 2007 | Previously, Director of Washington Hospital Center | ||||
Marc S. Joseph 625 Fourth Avenue South Minneapolis, MN Age 51 | Trustee since 2011 | 67 | Managing Director of GraniteRidgeLLP (consulting and advisory firm) since 2009; Managing Director of MJosephLLC (private investing and consulting firm) since 2004 | None | ||||
389
Board of Directors and Officers
Name, Address and Age | Position with Trust and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation During the Past 5 Years | Other Directorships Held Past 5 Years | ||||
Paul R. Laubscher 625 Fourth Avenue South Minneapolis, MN Age 55 | Trustee since 2009 | 67 | Portfolio Manager for U.S. and international equity portfolios and private real estate portfolios of IBM Retirement Funds | None | ||||
Connie M. Levi 625 Fourth Avenue South Minneapolis, MN Age 72 | Chair from 2009 until December 2011; Trustee from 2004 until December 2011 | 67 | Retired | None | ||||
James A. Nussle 625 Fourth Avenue South Minneapolis, MN Age 51 | Trustee since 2011 | 67 | President and Chief Operating Officer of Growth Energy (trade association) since 2010; Advisory Board member of AVISTA Capital Partners (private equity firm) since 2010; Contributor on CNBC (media) since 2010; CEO of The Nussle Group LLC (consulting firm) since 2009; Director of the Office of Management and Budget from 2007 through 2009; CEO of The Nussle Group, Navigating Strategies LLC (consulting firm) from January 2007 through September 2007; and Member of Congress in U.S. House of Representatives from 1991 through 2007 | Currently, Advisory Board member of AVISTA Capital Partners | ||||
Douglas D. Sims 625 Fourth Avenue South Minneapolis, MN Age 65 | Trustee since 2006 | 67 | Retired | Currently, Director of Keystone Neighbourhood Company, Keystone Center and Keystone Science School. Previously, Director of the Center for Corporate Excellence | ||||
390
Board of Directors and Officers
Name, Address and Age | Position with Trust and Length of Service (2) | Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation During the Past 5 Years | Other Directorships Held Past 5 Years | ||||
Constance L. Souders 625 Fourth Avenue South Minneapolis, MN Age 61 | Trustee since 2007 | 67 | Retired; previously Director from 1983 to 2007, Executive Vice President from 2001 to 2007 and AML Compliance Officer from 2003 to 2007 of Harbor Capital Advisors, Inc.; Director from 1992 to 2007, President from 2000 to 2007 and AML Compliance Officer from 2003 to 2007 of Harbor Services Group, Inc.; Director from 1992 to 2007, Executive Vice President from 2001 to 2007, Chief Compliance Officer from 2004 to 2007, AML Compliance Officer from 2003 to 2007, Supervisory Registered Principal from 2000 to 2007, of Harbor Funds Distributors, Inc.; Vice President from 2000 to 2007 of Harbor Funds | None |
391
Board of Directors and Officers
Executive Officers
Name, Address and Age | Position with Trust and Length of Service (2) | Principal Occupation During the Past 5 Years | ||
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 54 | President since 2008; Trustee since 2009; Vice President from 2004 until 2008 | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003 | ||
David S. Royal 625 Fourth Avenue South Minneapolis, MN Age 40 | Secretary and Chief Legal Officer since 2006 | Vice President and Managing Counsel, since 2006 and Interim Investment Company and Investment Adviser Chief Compliance Officer from May 2010 until December 2010, Thrivent Financial | ||
Gerard V. Vaillancourt 625 Fourth Avenue South Minneapolis, MN Age 44 | Treasurer and Principal Accounting Officer since 2005 | Vice President, Mutual Fund Accounting, Thrivent Financial since 2006 | ||
Ted S. Dryden 625 Fourth Avenue South Minneapolis, MN Age 46 | Chief Compliance Officer since 2010 | Investment Company and Investment Adviser Chief Compliance Officer, Thrivent Financial since December 2010; Chief Compliance Officer, OptumHealth Financial Services from 2009 to 2010; Vice President, Asset Management Compliance, Ameriprise Financial from 2006 to 2009 | ||
Janice M. Guimond 625 Fourth Avenue South Minneapolis, MN Age 47 | Vice President since 2005 | Vice President, Investment Operations, Thrivent Financial since 2004 | ||
Karl D. Anderson 625 Fourth Avenue South Minneapolis, MN Age 50 | Vice President since 2006 | Vice President, Products, Thrivent Financial since 2005 | ||
Kathleen M. Koelling 4321 North Ballard Road Appleton, WI Age 34 | Anti-Money Laundering Officer since 2011 | Privacy and Anti-Money Laundering Officer, Thrivent Financial since 2010; Senior Counsel, Thrivent Financial since 2002 | ||
Mark D. Anema 625 Fourth Avenue South Minneapolis, MN Age 50 | Assistant Vice President since 2007 | Vice President, Accumulation and Retirement Income Solutions, Thrivent Financial since 2007; Vice President, Strategic Planning, Thrivent Financial from 2004 to 2007 | ||
James M. Odland 625 Fourth Avenue South Minneapolis, MN Age 56 | Assistant Secretary since 2006 | Vice President and Managing Counsel, Thrivent Financial since 2005 | ||
Rebecca A. Paulzine 625 Fourth Avenue South Minneapolis, MN Age 32 | Assistant Secretary since 2010 | Counsel, Thrivent Financial since January 2010; Associate, Faegre & Benson LLP from 2005 to December 2009 | ||
John L. Sullivan 625 Fourth Avenue South Minneapolis, MN Age 41 | Assistant Secretary since 2007 | Senior Counsel, Thrivent Financial since 2007; Senior Counsel, Division of Investment Management of the SEC from 2000 to 2007 | ||
392
Board of Directors and Officers
Name, Address and Age | Position with Trust and Length of Service (2) | Principal Occupation During the Past 5 Years | ||
Todd J. Kelly 4321 North Ballard Road Appleton, WI Age 42 | Assistant Treasurer since 1999 | Director, Fund Accounting Operations, Thrivent Financial since 2002 | ||
Sarah L. Bergstrom 625 Fourth Avenue South Minneapolis, MN Age 34 | Assistant Treasurer since 2007 | Director, Fund Accounting Administration, Thrivent Financial since 2007; Manager, Fund Accounting Administration, Thrivent Financial from 2005 to 2007 | ||
| (1) | “Interested person” of the Fund as defined in the Investment Company Act of 1940 by virtue of positions with Thrivent Financial. Mr. Swansen is considered an interested person because of his principal occupation with Thrivent Financial. |
| (2) | Each Director generally serves an indefinite term until her or his successor is duly elected and qualified. Officers serve at the discretion of the board until their successors are duly appointed and qualified. |
| (3) | The Directors other than Mr. Swansen are not “interested persons” of the Fund and are referred to as “Independent Directors.” |
393
Supplement to Prospectus dated April 30, 2011
With respect to
Thrivent Partner Technology Portfolio
The summary section of the prospectus of Thrivent Partner Technology Portfolio is amended. The following is added to the description under “Portfolio Manager(s)”:
GSAM uses its Growth Investment Team to manage the Portfolio. Steven M. Barry, David G. Shell, CFA, Scott Kolar, CFA, and Jeff Rabinowitz, CFA are portfolio managers to the Portfolio. Mr. Barry and Mr. Shell are both Managing Directors, Chief Investment Officers and Senior Portfolio Managers at GSAM; they have been with GSAM since the respective years of 1999 and 1997 and have been portfolio managers of this Portfolio since 2009. Mr. Kolar and Mr. Rabinowitz are both Managing Directors and Senior Portfolio Managers. They have been with GSAM since 1997 and 1999, respectively, and have been portfolio managers of this Portfolio since the respective years of 2010 and 2011.
The “Portfolio Management” section of the prospectus is also amended. The description under Thrivent Partner Technology Portfolio is deleted and replaced with the following:
GSAM uses its Growth Investment Team to manage the Portfolio. Steven M. Barry, David G. Shell, CFA, Scott Kolar, CFA, and Jeff Rabinowitz, CFA are portfolio managers to the Portfolio. Mr. Barry and Mr. Shell are both Managing Directors, Chief Investment Officers and Senior Portfolio Managers at GSAM; they have been with GSAM since the respective years of 1999 and 1997 and have been portfolio managers of this Portfolio since 2009. Mr. Kolar and Mr. Rabinowitz are both Managing Directors and Senior Portfolio Managers. They have been with GSAM since 1997 and 1999, respectively, and have been portfolio managers of this Portfolio since the respective years of 2010 and 2011.
Effective December 31, 2011, Mr. Shell will retire and will no longer have portfolio management responsibilities with respect to the Portfolio. All references to Mr. Shell in the Prospectus are deleted as of that date.
The date of this Supplement is November 22, 2011.
Please include this Supplement with your Prospectus.
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| Item 2. | Code of Ethics |
As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of
Form N-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert |
Registrant’s Board of Directors has determined that Constance L. Souders, an independent director, is the Audit Committee Financial Expert.
| Item 4. | Principal Accountant Fees and Services |
| (a) | Audit Fees |
The aggregate fees billed by registrant’s independent public accountants, PricewaterhouseCoopers LLP (“PwC”), for each of the last two complete fiscal years and the fiscal period covered by this report for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $556,733 for the year ended December 31, 2010 and $568,000 for the year ended December 31, 2011.
| (b) | Audit-Related Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services which are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the fiscal year ended December 31, 2010 and $0 for the fiscal year ended December 31, 2011. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2010 and $0 for the year ended December 31, 2011.
| (c) | Tax Fees |
The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice, and tax planning services were $139,492 for the year ended December 31, 2010 and $147,062 for the year ended December 31, 2011. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2010 and $0 for the year ended December 31, 2011.
| (d) | All Other Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $0 for the year ended December 31, 2010 and $0 for the year ended December 31, 2011. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $1,500 for the year ended December 31, 2010 and $1,800 for the year ended December 31, 2011. These payments were for access to a PwC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards. These $1,800 figures are also reported in response to item 4(g) below.
| (e) | Registrant’s audit committee charter, adopted in February 2010, provides that the audit committee (comprised of the independent Directors of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee also is responsible for pre-approval (subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of all non-auditing services performed for the registrant or for any service affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee to pre-approve, between meetings, one or more audit or non-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committee pre-approved all fees described above that PwC billed to registrant. |
| (f) | Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended December 31, 2011, were for work performed by persons other than full-time, permanent employees of PwC. |
| (g) | The aggregate non-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending December 31, 2010 and December 31, 2011 were $1,500 and $1,800, respectively. These $1,800 figures are also reported in response to item 4(d) above. |
| (h) | Registrant’s audit committee has considered the non-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence. |
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
| Item 6. | Schedule of Investments |
| (a) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
| (b) | Not applicable to this filing. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
| Item 8. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 9. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of trustees.
| Item 10. | Controls and Procedures |
(a)(i) Registrant’s President and Treasurer have concluded that registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) Registrant’s President and Treasurer are aware of no change in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant’s internal control over financial reporting.
| Item 11. | Exhibits |
| (a) | The code of ethics pursuant to Item 2 is attached hereto. |
| (b) | Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Date: February 27, 2012 | THRIVENT SERIES FUND, INC. | |||||
| By: | /s/ Russell W. Swansen | |||||
| Russell W. Swansen | ||||||
| President | ||||||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| Date: February 27, 2012 | By: | /s/ Russell W. Swansen | ||||
| Russell W. Swansen | ||||||
| President |
| Date: February 27, 2012 | By: | /s/ Gerard V. Vaillancourt | ||||
| Gerard V. Vaillancourt | ||||||
| Treasurer |