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: 811-07874
JPMorgan Insurance Trust
(Exact name of registrant as specified in charter)
1111 Polaris Parkway
Columbus, Ohio 43271-0211
(Address of principal executive offices) (Zip code)
John Fitzgerald
245 Park Avenue
New York, NY 10167
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: December 31
Date of reporting period: January 1, 2007 through December 31, 2007
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||
Portfolio Commentary | 2 | |||||
Schedule of Portfolio Investments | 4 | |||||
Financial Statements | 12 | |||||
Financial Highlights | 16 | |||||
Notes to Financial Statements | 18 | |||||
Report of Independent Registered Public Accounting Firm | 23 | |||||
Trustees | 24 | |||||
Officers | 26 | |||||
Schedule of Shareholder Expenses | 27 | |||||
Board Approval of Investment Advisory Agreement | 28 | |||||
Tax Letter | 31 |
JANUARY 14, 2008 (Unaudited)
“Initial equity market optimism that followed the Fed’s 50-basis-point rate cut in September gave way to renewed risk aversion in the fourth quarter, as it became increasingly clear that more credit-related difficulties lay ahead.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
Portfolio Inception | August 1, 1994 | |||||
Fiscal Year End | December 31 | |||||
Net Assets as of 12/31/2007 | $72,709,861 | |||||
Primary Benchmarks | S&P 500 Index, Lehman Brothers U.S. Aggregate Bond Index* |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Balanced Portfolio, which seeks to provide total return while preserving capital,** returned 6.13%*** (Class 1 Shares) for the 12 months ended December 31, 2007. Because the Portfolio invests in both equity and fixed income securities, the Portfolio’s performance is compared to both broad-based equity and fixed income benchmarks. The Portfolio’s equity benchmark, the S&P 500 Index, returned 5.49%, while the Portfolio’s fixed income benchmark, the Lehman Brothers U.S. Aggregate Bond Index, returned 6.97%. The Portfolio’s customized benchmark returned 6.22%. The customized benchmark is a blend of equity and fixed income benchmarks that correspond to the Portfolio’s model allocation, consisting of 60% S&P 500 Index and 40% Lehman Brothers U.S. Aggregate Bond Index. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | While the Portfolio underperformed its custom benchmark, it outperformed its equity benchmark, the S&P 500 Index, which returned 5.49% for the period. Equity performance was helped by stock selection in the media, telecommunications and systems hardware sectors, while insurance, capital markets and retail detracted. Specific contributors to performance included recently acquired Canadian aluminum producer Alcan Inc., the pharmaceutical company Merck & Co., Inc. and Internet firm Google, Inc. Detracting from performance were bond insurers Ambac Financial Group, Inc. and MBIA Inc. as well as pharmaceutical company Sepracor Inc. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | The Portfolio invests in a combination of equity, fixed income and money market instruments. At December 31, 2007, the Portfolio was neutral to the benchmark in its allocation to equities compared to fixed income. Within equity, high-quality names were given the largest portfolio weighting, a strategy which worked well. In fixed income, the Portfolio continued its bias toward strong credit-quality names, helping to minimize individual security exposure. In addition, an emphasis on individual security analysis rather than large macro bets provided for low portfolio turnover. |
1. | JPMorgan International Opportunities Fund, Institutional Class | 7.0 | % | |||||
2. | JPMorgan Small Cap Equity Fund, Select Class | 3.8 | ||||||
3. | JPMorgan International Equity Fund, Select Class | 3.2 | ||||||
4. | JPMorgan Emerging Markets Equity Fund, Institutional Class | 2.0 | ||||||
5. | Exxon Mobil Corp. | 1.8 | ||||||
6. | Microsoft Corp. | 1.5 | ||||||
7. | Procter & Gamble Co. | 1.2 | ||||||
8. | AT&T, Inc. | 1.1 | ||||||
9. | Merck & Co., Inc. | 1.1 | ||||||
10. | General Electric Co. | 1.0 |
Collateralized Mortgage Obligations | 17.5 | % | ||||
Investment Companies | 16.1 | |||||
Financials | 11.7 | |||||
Information Technology | 9.2 | |||||
Energy | 6.3 | |||||
Health Care | 6.1 | |||||
Industrials | 5.9 | |||||
Consumer Staples | 5.3 | |||||
Consumer Discretionary | 4.2 | |||||
U.S. Treasury Obligations | 4.1 | |||||
Utilities | 2.7 | |||||
Telecommunication Services | 2.5 | |||||
Materials | 2.0 | |||||
Mortgage Pass-Through Securities | 2.0 | |||||
Asset-Backed Securities | 1.0 | |||||
Other (less than 1.0%) | 0.8 | |||||
Short-Term Investment | 2.6 |
* | Effective May 1, 2007, the Portfolio’s fixed income benchmark changed from the Lehman Brothers Intermediate Government/Credit Bond Index to the Lehman Brothers U.S. Aggregate Bond Index. |
** | The advisor seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
**** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BALANCED PORTFOLIO | 8/01/94 | 6.13 | % | 8.39 | % | 5.25 | % |
AS OF DECEMBER 31, 2007
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 97.4% | |||||||||||
Common Stocks — 50.5% | |||||||||||
Aerospace & Defense — 1.9% | |||||||||||
2,700 | Boeing Co. | 236,142 | |||||||||
200 | General Dynamics Corp. | 17,798 | |||||||||
2,608 | Goodrich Corp. | 184,151 | |||||||||
3,900 | Northrop Grumman Corp. | 306,696 | |||||||||
8,331 | United Technologies Corp. | 637,655 | |||||||||
1,382,442 | |||||||||||
Air Freight & Logistics — 0.1% | |||||||||||
500 | United Parcel Service, Inc., Class B | 35,360 | |||||||||
Auto Components — 0.5% | |||||||||||
9,246 | Johnson Controls, Inc. | 333,226 | |||||||||
Automobiles — 0.0% (g) | |||||||||||
500 | Harley-Davidson, Inc. | 23,355 | |||||||||
Beverages — 0.3% | |||||||||||
3,623 | Coca-Cola Co. (The) | 222,343 | |||||||||
Biotechnology — 1.0% | |||||||||||
5,846 | Amgen, Inc. (a) | 271,488 | |||||||||
5,334 | Celgene Corp. (a) | 246,484 | |||||||||
3,802 | Gilead Sciences, Inc. (a) | 174,930 | |||||||||
692,902 | |||||||||||
Capital Markets — 1.8% | |||||||||||
1,000 | Bank of New York Mellon Corp. (The) | 48,760 | |||||||||
700 | Goldman Sachs Group, Inc. (The) | 150,535 | |||||||||
3,327 | Lehman Brothers Holdings, Inc. | 217,719 | |||||||||
1,500 | Merrill Lynch & Co., Inc. | 80,520 | |||||||||
6,371 | Morgan Stanley | 338,364 | |||||||||
3,858 | State Street Corp. | 313,269 | |||||||||
9,436 | TD AMERITRADE Holding Corp. (a) | 189,286 | |||||||||
1,338,453 | |||||||||||
Chemicals — 1.2% | |||||||||||
200 | Air Products & Chemicals, Inc. | 19,726 | |||||||||
5,800 | Dow Chemical Co. (The) | 228,636 | |||||||||
300 | EI Du Pont de Nemours & Co. | 13,227 | |||||||||
1,421 | PPG Industries, Inc. | 99,797 | |||||||||
900 | Praxair, Inc. | 79,839 | |||||||||
7,419 | Rohm & Haas Co. | 393,726 | |||||||||
834,951 | |||||||||||
Commercial Banks — 1.7% | |||||||||||
600 | Colonial BancGroup, Inc. (The) (c) | 8,124 | |||||||||
400 | Comerica, Inc. | 17,412 | |||||||||
6,943 | Huntington Bancshares, Inc. (c) | 102,479 | |||||||||
7,500 | Regions Financial Corp. | 177,375 | |||||||||
200 | SunTrust Banks, Inc. | 12,498 | |||||||||
6,244 | TCF Financial Corp. | 111,955 | |||||||||
10,871 | U.S. Bancorp | 345,045 | |||||||||
1,900 | Wachovia Corp. | 72,257 | |||||||||
10,039 | Wells Fargo & Co. | 303,077 | |||||||||
1,188 | Zions Bancorp (c) | 55,468 | |||||||||
1,205,690 | |||||||||||
Communications Equipment — 1.8% | |||||||||||
22,483 | Cisco Systems, Inc. (a) | 608,615 | |||||||||
12,219 | Corning, Inc. | 293,134 | |||||||||
1,700 | Juniper Networks, Inc. (a) | 56,440 | |||||||||
8,969 | QUALCOMM, Inc. | 352,930 | |||||||||
1,700 | Tellabs, Inc. (a) | 11,118 | |||||||||
1,322,237 | |||||||||||
Computers & Peripherals — 2.4% | |||||||||||
2,738 | Apple, Inc. (a) | 542,343 | |||||||||
2,400 | EMC Corp. (a) | 44,472 | |||||||||
10,204 | Hewlett-Packard Co. | 515,098 | |||||||||
5,354 | International Business Machines Corp. | 578,767 | |||||||||
1,500 | SanDisk Corp. (a) | 49,755 | |||||||||
1,730,435 | |||||||||||
Consumer Finance — 0.3% | |||||||||||
1,500 | American Express Co. | 78,030 | |||||||||
2,561 | Capital One Financial Corp. | 121,033 | |||||||||
199,063 | |||||||||||
Diversified Financial Services — 2.3% | |||||||||||
17,953 | Bank of America Corp. | 740,741 | |||||||||
5,871 | CIT Group, Inc. | 141,080 | |||||||||
18,505 | Citigroup, Inc. | 544,787 | |||||||||
385 | CME Group, Inc. | 264,110 | |||||||||
1,690,718 | |||||||||||
Diversified Telecommunication Services — 1.9% | |||||||||||
19,149 | AT&T, Inc. | 795,833 | |||||||||
14,018 | Verizon Communications, Inc. | 612,446 | |||||||||
1,408,279 | |||||||||||
Electric Utilities — 1.5% | |||||||||||
5,728 | American Electric Power Co., Inc. | 266,696 | |||||||||
8,036 | Edison International | 428,881 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Electric Utilities — Continued | |||||||||||
2,942 | FirstEnergy Corp. | 212,824 | |||||||||
300 | FPL Group, Inc. | 20,334 | |||||||||
2,500 | Northeast Utilities | 78,275 | |||||||||
6,700 | Sierra Pacific Resources | 113,766 | |||||||||
1,120,776 | |||||||||||
Electronic Equipment & Instruments — 0.3% | |||||||||||
5,628 | Tyco Electronics Ltd. (Bermuda) | 208,968 | |||||||||
Energy Equipment & Services — 1.0% | |||||||||||
400 | Baker Hughes, Inc. | 32,440 | |||||||||
1,500 | BJ Services Co. | 36,390 | |||||||||
700 | Halliburton Co. | 26,537 | |||||||||
1,882 | Nabors Industries Ltd. (Bermuda) (a) | 51,548 | |||||||||
1,200 | Patterson-UTI Energy, Inc. | 23,424 | |||||||||
5,478 | Schlumberger Ltd. | 538,871 | |||||||||
200 | Weatherford International Ltd. (a) | 13,720 | |||||||||
722,930 | |||||||||||
Food & Staples Retailing — 1.3% | |||||||||||
7,007 | CVS Caremark Corp. | 278,528 | |||||||||
9,806 | Safeway, Inc. | 335,463 | |||||||||
1,300 | SUPERVALU, Inc. | 48,776 | |||||||||
5,451 | SYSCO Corp. | 170,126 | |||||||||
3,066 | Wal-Mart Stores, Inc. | 145,727 | |||||||||
978,620 | |||||||||||
Food Products — 1.2% | |||||||||||
3,000 | Campbell Soup Co. | 107,190 | |||||||||
5,100 | General Mills, Inc. | 290,700 | |||||||||
2,900 | Kellogg Co. | 152,047 | |||||||||
9,309 | Kraft Foods, Inc., Class A | 303,753 | |||||||||
853,690 | |||||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||||
1,700 | Baxter International, Inc. | 98,685 | |||||||||
1,800 | Covidien Ltd. (Bermuda) | 79,722 | |||||||||
1,429 | CR Bard, Inc. | 135,469 | |||||||||
854 | Medtronic, Inc. | 42,931 | |||||||||
200 | Zimmer Holdings, Inc. (a) | 13,230 | |||||||||
370,037 | |||||||||||
Health Care Providers & Services — 1.2% | |||||||||||
5,696 | Aetna, Inc. | 328,830 | |||||||||
1,900 | Cigna Corp. | 102,087 | |||||||||
1,984 | McKesson Corp. | 129,972 | |||||||||
700 | UnitedHealth Group, Inc. | 40,740 | |||||||||
3,039 | WellPoint, Inc. (a) | 266,611 | |||||||||
868,240 | |||||||||||
Hotels, Restaurants & Leisure — 0.7% | |||||||||||
1,300 | Carnival Corp. | 57,837 | |||||||||
2,217 | International Game Technology | 97,393 | |||||||||
900 | McDonald’s Corp. | 53,019 | |||||||||
2,511 | Royal Caribbean Cruises Ltd. (c) | 106,567 | |||||||||
4,008 | Starwood Hotels & Resorts Worldwide, Inc. | 176,472 | |||||||||
1,900 | Wyndham Worldwide Corp. | 44,764 | |||||||||
536,052 | |||||||||||
Household Durables — 0.1% | |||||||||||
4,205 | Toll Brothers, Inc. (a) (c) | 84,352 | |||||||||
Household Products — 1.3% | |||||||||||
1,033 | Colgate-Palmolive Co. | 80,533 | |||||||||
11,401 | Procter & Gamble Co. | 837,061 | |||||||||
917,594 | |||||||||||
Industrial Conglomerates — 1.3% | |||||||||||
1,921 | 3M Co. | 161,979 | |||||||||
20,567 | General Electric Co. | 762,418 | |||||||||
300 | Textron, Inc. | 21,390 | |||||||||
945,787 | |||||||||||
Insurance — 2.1% | |||||||||||
3,728 | Aflac, Inc. | 233,485 | |||||||||
4,073 | AMBAC Financial Group, Inc. (c) | 104,961 | |||||||||
3,267 | American International Group, Inc. | 190,466 | |||||||||
200 | Assurant, Inc. (c) | 13,380 | |||||||||
3,500 | Axis Capital Holdings Ltd. (Bermuda) | 136,395 | |||||||||
300 | Chubb Corp. | 16,374 | |||||||||
3,100 | Genworth Financial, Inc. | 78,895 | |||||||||
2,166 | Hartford Financial Services Group, Inc. | 188,853 | |||||||||
500 | Lincoln National Corp. | 29,110 | |||||||||
3,955 | MBIA, Inc. (c) | 73,682 | |||||||||
2,300 | MetLife, Inc. | 141,726 | |||||||||
2,360 | Protective Life Corp. | 96,807 | |||||||||
1,882 | RenaissanceRe Holdings Ltd. (Bermuda) | 113,372 | |||||||||
1,200 | Travelers Cos., Inc. (The) | 64,560 | |||||||||
1,900 | Unum Group | 45,201 | |||||||||
200 | XL Capital Ltd., Class A (Bermuda) | 10,062 | |||||||||
1,537,329 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Internet Software & Services — 1.6% | |||||||||||
5,700 | eBay, Inc. (a) | 189,183 | |||||||||
994 | Google, Inc., Class A (a) | 687,331 | |||||||||
11,606 | Yahoo!, Inc. (a) | 269,956 | |||||||||
1,146,470 | |||||||||||
IT Services — 0.3% | |||||||||||
2,184 | Affiliated Computer Services, Inc., Class A (a) | 98,498 | |||||||||
1,814 | Cognizant Technology Solutions Corp., Class A (a) | 61,567 | |||||||||
2,654 | Genpact Ltd. (Bermuda) (a) (c) | 40,421 | |||||||||
992 | Infosys Technologies Ltd. ADR (India) (c) | 44,997 | |||||||||
245,483 | |||||||||||
Machinery — 1.4% | |||||||||||
4,084 | Caterpillar, Inc. | 296,335 | |||||||||
2,498 | Danaher Corp. (c) | 219,175 | |||||||||
4,981 | Dover Corp. | 229,574 | |||||||||
1,200 | Eaton Corp. | 116,340 | |||||||||
1,300 | Illinois Tool Works, Inc. | 69,602 | |||||||||
1,000 | Ingersoll-Rand Co., Ltd., Class A (Bermuda) | 46,470 | |||||||||
200 | Paccar, Inc. | 10,896 | |||||||||
988,392 | |||||||||||
Media — 0.8% | |||||||||||
2,344 | Comcast Corp., Class A (a) | 42,802 | |||||||||
17,327 | News Corp., Class A | 355,030 | |||||||||
6,600 | Walt Disney Co. (The) | 213,048 | |||||||||
610,880 | |||||||||||
Metals & Mining — 0.4% | |||||||||||
200 | Freeport-McMoRan Copper & Gold, Inc. | 20,488 | |||||||||
1,975 | United States Steel Corp. | 238,797 | |||||||||
259,285 | |||||||||||
Multi-Utilities — 0.5% | |||||||||||
11,533 | CMS Energy Corp. | 200,444 | |||||||||
600 | SCANA Corp. | 25,290 | |||||||||
5,200 | Xcel Energy, Inc. | 117,364 | |||||||||
343,098 | |||||||||||
Multiline Retail — 0.3% | |||||||||||
1,900 | Family Dollar Stores, Inc. (c) | 36,537 | |||||||||
2,927 | Kohl’s Corp. (a) | 134,057 | |||||||||
1,152 | Target Corp. | 57,600 | |||||||||
228,194 | |||||||||||
Oil, Gas & Consumable Fuels — 5.3% | |||||||||||
900 | Apache Corp. | 96,786 | |||||||||
3,329 | Chevron Corp. | 310,696 | |||||||||
5,865 | ConocoPhillips | 517,879 | |||||||||
2,763 | Devon Energy Corp. | 245,658 | |||||||||
13,852 | Exxon Mobil Corp. | 1,297,794 | |||||||||
300 | Hess Corp. | 30,258 | |||||||||
6,008 | Marathon Oil Corp. | 365,647 | |||||||||
6,134 | Occidental Petroleum Corp. | 472,257 | |||||||||
3,406 | Sunoco, Inc. | 246,731 | |||||||||
100 | Valero Energy Corp. | 7,003 | |||||||||
5,412 | XTO Energy, Inc. | 277,960 | |||||||||
3,868,669 | |||||||||||
Paper & Forest Products — 0.3% | |||||||||||
28,582 | Domtar Corp. (Canada) (a) | 219,796 | |||||||||
100 | International Paper Co. | 3,238 | |||||||||
223,034 | |||||||||||
Personal Products — 0.1% | |||||||||||
1,100 | Estee Lauder Cos., Inc. (The), Class A | 47,971 | |||||||||
Pharmaceuticals — 3.4% | |||||||||||
9,728 | Abbott Laboratories | 546,227 | |||||||||
100 | Eli Lilly & Co. | 5,339 | |||||||||
2,000 | Johnson & Johnson | 133,400 | |||||||||
13,316 | Merck & Co., Inc. | 773,793 | |||||||||
10,400 | Pfizer, Inc. | 236,392 | |||||||||
19,328 | Schering-Plough Corp. | 514,898 | |||||||||
2,000 | Sepracor, Inc. (a) | 52,500 | |||||||||
4,600 | Wyeth | 203,274 | |||||||||
2,465,823 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | |||||||||||
1,131 | Alexandria Real Estate Equities, Inc. (c) | 114,989 | |||||||||
1,200 | Apartment Investment & Management Co. (c) | 41,676 | |||||||||
800 | Duke Realty Corp. | 20,864 | |||||||||
3,900 | Hospitality Properties Trust | 125,658 | |||||||||
1,100 | Host Hotels & Resorts, Inc. | 18,744 | |||||||||
1,100 | ProLogis | 69,718 | |||||||||
200 | Public Storage | 14,682 | |||||||||
1,300 | UDR, Inc. (c) | 25,805 | |||||||||
432,136 | |||||||||||
Road & Rail — 0.8% | |||||||||||
1,620 | Burlington Northern Santa Fe Corp. | 134,833 | |||||||||
8,664 | Norfolk Southern Corp. | 437,012 | |||||||||
100 | Union Pacific Corp. | 12,562 | |||||||||
584,407 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Semiconductors & Semiconductor Equipment — 1.1% | |||||||||||
2,800 | Altera Corp. | 54,096 | |||||||||
3,778 | Broadcom Corp., Class A (a) | 98,757 | |||||||||
1,700 | Intel Corp. | 45,322 | |||||||||
400 | Linear Technology Corp. | 12,732 | |||||||||
1,800 | LSI Corp. (a) | 9,558 | |||||||||
900 | National Semiconductor Corp. | 20,376 | |||||||||
826 | Tessera Technologies, Inc. (a) (c) | 34,362 | |||||||||
3,700 | Texas Instruments, Inc. | 123,580 | |||||||||
17,891 | Xilinx, Inc. | 391,276 | |||||||||
790,059 | |||||||||||
Software — 1.7% | |||||||||||
31,401 | Microsoft Corp. | 1,117,875 | |||||||||
4,789 | Oracle Corp. (a) | 108,136 | |||||||||
1,226,011 | |||||||||||
Specialty Retail — 0.7% | |||||||||||
1,272 | Abercrombie & Fitch Co. | 101,722 | |||||||||
2,826 | Advance Auto Parts, Inc. | 107,359 | |||||||||
4,057 | CarMax, Inc. (a) (c) | 80,126 | |||||||||
800 | Dick’s Sporting Goods, Inc. (a) (c) | 22,208 | |||||||||
1,000 | Home Depot, Inc. | 26,940 | |||||||||
200 | Office Depot, Inc. (a) | 2,782 | |||||||||
8,426 | Staples, Inc. | 194,388 | |||||||||
535,525 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||
3,655 | Coach, Inc. (a) | 111,770 | |||||||||
2,700 | Nike, Inc., Class B | 173,448 | |||||||||
474 | Polo Ralph Lauren Corp. | 29,288 | |||||||||
314,506 | |||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||
3,100 | Countrywide Financial Corp. (c) | 27,714 | |||||||||
200 | Fannie Mae | 7,996 | |||||||||
100 | Freddie Mac | 3,407 | |||||||||
400 | MGIC Investment Corp. (c) | 8,972 | |||||||||
1,500 | Sovereign Bancorp, Inc. (c) | 17,100 | |||||||||
1,100 | Washington Mutual, Inc. (c) | 14,971 | |||||||||
80,160 | |||||||||||
Tobacco — 1.0% | |||||||||||
9,966 | Altria Group, Inc. | 753,230 | |||||||||
Wireless Telecommunication Services — 0.0% (g) | |||||||||||
2,400 | Sprint Nextel Corp. | 31,512 | |||||||||
Total Common Stocks (Cost $34,232,276) | 36,738,674 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 1.0% | ||||||||||
100,000 | American Express Credit Account Master Trust, Series 2004-3, Class A, 4.35%, 12/15/11 | 100,223 | ||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||
25,000 | Series 2003-B5, Class B5, 4.79%, 08/15/13 | 24,902 | ||||||||
100,000 | Series 2005-A2, Class A2, 4.05%, 02/15/11 | 99,802 | ||||||||
75,000 | Capital One Prime Auto Receivables Trust, Series 2006-2, Class A3, 4.98%, 09/15/10 | 75,147 | ||||||||
7,904 | Carmax Auto Owner Trust, Series 2005-1, Class A3, 4.13%, 05/15/09 | 7,903 | ||||||||
24,224 | CNH Equipment Trust, Series 2003-B, Class A4B, 3.38%, 02/15/11 | 24,215 | ||||||||
55,242 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.51%, 08/25/32 | 55,024 | ||||||||
260,000 | Ford Credit Auto Owner Trust, Series 2006-B, Class A4, 5.25%, 09/15/11 | 263,035 | ||||||||
100,000 | Household Automotive Trust, Series 2005-1, Class A4, 4.35%, 06/18/12 | 99,560 | ||||||||
Total Asset-Backed Securities (Cost $746,003) | 749,811 | |||||||||
Commercial Mortgage-Backed Securities — 0.3% | ||||||||||
180,000 | Banc of America Commercial Mortgage, Inc., Series 2005-6, Class ASB, VAR, 5.18%, 09/10/47 | 179,756 | ||||||||
30,000 | TIAA Seasoned Commercial Mortgage Trust (Cayman Islands), Series 2007-C4, Class A3, VAR, 6.10%, 08/15/39 | 30,895 | ||||||||
Total Commercial Mortgage-Backed Securities (Cost $210,621) | 210,651 | |||||||||
Collateralized Mortgage Obligations — 17.5% | ||||||||||
Agency CMO — 16.5% | ||||||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||||
18,176 | Series 85, Class C, 8.60%, 01/15/21 | 19,295 | ||||||||
92,492 | Series 168, Class G, 6.50%, 07/15/21 | 92,259 | ||||||||
10,090 | Series 189, Class D, 6.50%, 10/15/21 | 10,045 | ||||||||
19,381 | Series 1047, Class H, 6.00%, 02/15/21 | 19,350 | ||||||||
10,715 | Series 1062, Class H, 6.50%, 04/15/21 | 11,087 | ||||||||
10,245 | Series 1116, Class I, 5.50%, 08/15/21 | 10,229 | ||||||||
23,645 | Series 1120, Class L, 8.00%, 07/15/21 | 25,173 | ||||||||
10,007 | Series 1191, Class E, 7.00%, 01/15/22 (m) | 9,972 | ||||||||
4,030 | Series 1240, Class M, 6.50%, 02/15/22 | 4,018 | ||||||||
39,583 | Series 1254, Class N, 8.00%, 04/15/22 | 39,518 | ||||||||
219,947 | Series 1617, Class PM, 6.50%, 11/15/23 | 229,753 | ||||||||
28,422 | Series 1668, Class D, 6.50%, 02/15/14 | 29,304 | ||||||||
28,477 | Series 1708, Class E, 6.00%, 03/15/09 | 28,429 | ||||||||
97,388 | Series 1710, Class GH, 8.00%, 04/15/24 | 101,918 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
150,410 | Series 1714, Class K, 7.00%, 04/15/24 | 157,691 | |||||||||
20,908 | Series 1753, Class D, 8.50%, 09/15/24 | 22,220 | |||||||||
5,535 | Series 1819, Class E, 6.00%, 02/15/11 | 5,537 | |||||||||
149,304 | Series 1843, Class Z, 7.00%, 04/15/26 | 156,809 | |||||||||
205,352 | Series 2115, Class PE, 6.00%, 01/15/14 (m) | 211,213 | |||||||||
2,735 | Series 2136, Class PE, 6.00%, 01/15/28 | 2,731 | |||||||||
77,147 | Series 2178, Class PB, 7.00%, 08/15/29 | 80,625 | |||||||||
103,464 | Series 2391, Class QR, 5.50%, 12/15/16 | 105,258 | |||||||||
279,056 | Series 2394, Class MC, 6.00%, 12/15/16 (m) | 288,433 | |||||||||
334,927 | Series 2405, Class JF, 6.00%, 01/15/17 (m) | 346,693 | |||||||||
143,054 | Series 2425, Class OB, 6.00%, 03/15/17 | 147,826 | |||||||||
296,450 | Series 2457, Class PE, 6.50%, 06/15/32 | 307,249 | |||||||||
316,744 | Series 2473, Class JZ, 6.50%, 07/15/32 | 331,634 | |||||||||
125,000 | Series 2522, Class AH, 5.25%, 02/15/32 | 119,889 | |||||||||
650,000 | Series 2522, Class GD, 5.50%, 11/15/17 (m) | 661,947 | |||||||||
100,000 | Series 2549, Class PD, 5.50%, 06/15/31 | 99,450 | |||||||||
127,739 | Series 2557, Class WJ, 5.00%, 07/15/14 | 127,763 | |||||||||
119,887 | Series 2628, Class AB, 4.50%, 06/15/18 | 115,419 | |||||||||
244,799 | Series 2636, Class Z, 4.50%, 06/15/18 | 235,676 | |||||||||
304,856 | Series 2651, Class VZ, 4.50%, 07/15/18 | 294,081 | |||||||||
117,640 | Series 2695, Class NB, 4.00%, 10/15/18 | 110,656 | |||||||||
250,000 | Series 2701, Class OD, 5.00%, 09/15/18 | 251,014 | |||||||||
131,993 | Series 2756, Class NA, 5.00%, 02/15/24 | 131,670 | |||||||||
200,000 | Series 2764, Class UC, 5.00%, 05/15/27 | 200,960 | |||||||||
119,000 | Series 2808, Class PG, 5.50%, 04/15/33 | 118,519 | |||||||||
150,000 | Series 2809, Class UB, 4.00%, 09/15/17 | 146,104 | |||||||||
175,000 | Series 2835, Class HB, 5.50%, 08/15/24 | 175,531 | |||||||||
113,090 | Series 2837, Class ED, 5.00%, 08/15/19 | 112,066 | |||||||||
245,000 | Series 2850, Class DN, 5.00%, 08/15/19 | 244,656 | |||||||||
228,113 | Series 2875, Class EB, 4.50%, 10/15/19 | 219,883 | |||||||||
300,000 | Series 2929, Class PE, 5.00%, 05/15/33 | 293,238 | |||||||||
139,876 | Series 2930, Class DE, 4.50%, 02/15/20 | 134,687 | |||||||||
116,000 | Series 2938, Class JB, 4.50%, 02/15/20 | 111,083 | |||||||||
265,000 | Series 2959, Class PE, 5.50%, 11/15/30 | 268,019 | |||||||||
400,000 | Series 3082, Class PR, 5.50%, 02/15/33 | 404,986 | |||||||||
100,000 | Series 3334, Class MB, 5.00%, 09/15/29 | 99,601 | |||||||||
100,000 | Series 3334, Class MC, 5.00%, 04/15/33 | 98,157 | |||||||||
170,544 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-54, Class 2A, 6.50%, 02/25/43 | 174,754 | |||||||||
Federal Home Loan Mortgage Corp. — Government National Mortgage Association, | |||||||||||
141,000 | Series 13, Class LL, 6.85%, 06/25/23 | 147,399 | |||||||||
213,166 | Series 31, Class Z, 8.00%, 04/25/24 | 226,206 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
60,766 | Series 1988-4, Class Z, 9.25%, 03/25/18 | 66,315 | |||||||||
11,032 | Series 1989-21, Class G, 10.45%, 04/25/19 | 12,141 | |||||||||
54,716 | Series 1989-37, Class G, 8.00%, 07/25/19 | 59,611 | |||||||||
9,981 | Series 1989-86, Class E, 8.75%, 11/25/19 | 10,748 | |||||||||
13,498 | Series 1990-30, Class E, 6.50%, 03/25/20 | 14,182 | |||||||||
23,390 | Series 1990-105, Class J, 6.50%, 09/25/20 | 24,474 | |||||||||
14,925 | Series 1991-129, Class G, 8.75%, 09/25/21 | 16,368 | |||||||||
49,013 | Series 1993-119, Class H, 6.50%, 07/25/23 | 51,159 | |||||||||
105,143 | Series 1993-140, Class J, 6.65%, 06/25/13 | 106,154 | |||||||||
6,830 | Series 1993-197, Class SC, IF, 8.30%, 10/25/08 | 6,836 | |||||||||
107,921 | Series 1993-225, Class UB, 6.50%, 12/25/23 | 113,197 | |||||||||
210,000 | Series 1994-81, Class LL, 7.50%, 02/25/24 | 225,680 | |||||||||
480,266 | Series 1997-42, Class PG, 7.00%, 07/18/12 | 496,796 | |||||||||
5,119 | Series 1997-49, Class B, 10.00%, 06/17/27 | 5,870 | |||||||||
124,972 | Series 1998-37, Class VZ, 6.00%, 06/17/28 | 128,916 | |||||||||
86,145 | Series 1998-66, Class B, 6.50%, 12/25/28 | 89,795 | |||||||||
250,000 | Series 2002-18, Class PC, 5.50%, 04/25/17 | 254,909 | |||||||||
300,000 | Series 2002-24, Class AJ, 6.00%, 04/25/17 | 312,568 | |||||||||
350,000 | Series 2003-47, Class PE, 5.75%, 06/25/33 | 348,178 | |||||||||
150,000 | Series 2003-55, Class CD, 5.00%, 06/25/23 | 147,414 | |||||||||
128,298 | Series 2003-74, Class PJ, 3.50%, 08/25/33 | 114,867 | |||||||||
150,000 | Series 2003-86, Class PX, 4.50%, 02/25/17 | 149,729 | |||||||||
300,000 | Series 2004-76, Class CL, 4.00%, 10/25/19 | 284,516 | |||||||||
200,000 | Series 2005-21, Class MC, 5.00%, 05/25/32 | 198,458 | |||||||||
150,000 | Series 2005-59, Class PC, 5.50%, 03/25/31 | 151,613 | |||||||||
200,000 | Series 2007-47, Class PC, 5.00%, 07/25/33 | 196,922 | |||||||||
250,000 | Series 2007-79, Class PC, 5.00%, 01/25/32 | 245,632 | |||||||||
13,165 | Series G-29, Class O, 8.50%, 09/25/21 | 14,045 | |||||||||
9,431 | Government National Mortgage Association, Series 1995-4, Class CQ, 8.00%, 06/20/25 | 10,352 | |||||||||
11,975,128 | |||||||||||
Non-Agency CMO — 1.0% | |||||||||||
77,111 | Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.25%, 09/25/33 | 73,051 | |||||||||
121,191 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 2A2, 5.00%, 08/25/19 | 119,642 | |||||||||
42,883 | First Horizon Asset Securities, Inc., Series 2004-AR7, Class 2A1, FRN, 4.91%, 02/25/35 | 43,112 | |||||||||
36,800 | MASTR Asset Securitization Trust, Series 2003-4, Class 2A2, 5.00%, 05/25/18 | 36,799 | |||||||||
90,000 | Residential Accredit Loans, Inc., Series 2004-QS8, Class A12, 5.00%, 06/25/34 | 88,429 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
99,397 | Series 2004-7, Class 2A2, 5.00%, 07/25/19 | 99,117 | |||||||||
93,135 | Series 2004-EE, Class 3A1, FRN, 4.00%, 12/25/34 | 92,003 | |||||||||
175,000 | Series 2004-S, Class A5, FRN, 3.54%, 09/25/34 | 173,287 | |||||||||
725,440 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $12,444,939) | 12,700,568 | ||||||||||
Corporate Bonds — 5.3% | |||||||||||
Airlines — 0.1% | |||||||||||
70,000 | Continental Airlines, Inc., 7.06%, 09/15/09 | 70,875 | |||||||||
Automobiles — 0.1% | |||||||||||
70,000 | Daimler Finance North America LLC, 7.20%, 09/01/09 | 72,183 | |||||||||
Capital Markets — 0.8% | |||||||||||
75,000 | Bear Stearns Cos., Inc. (The), 5.70%, 11/15/14 | 71,122 | |||||||||
120,000 | Credit Suisse USA, Inc., 6.50%, 01/15/12 | 126,505 | |||||||||
200,000 | Goldman Sachs Group, Inc. (The), 4.75%, 07/15/13 | 195,898 | |||||||||
100,000 | Lehman Brothers Holdings, Inc., 6.63%, 01/18/12 | 103,860 | |||||||||
100,000 | Morgan Stanley, 5.75%, 10/18/16 | 98,677 | |||||||||
596,062 | |||||||||||
Chemicals — 0.2% | |||||||||||
120,000 | Dow Capital BV (Netherlands), 8.50%, 06/08/10 | 131,116 | |||||||||
Commercial Banks — 1.0% | |||||||||||
100,000 | BankAmerica Corp., 7.13%, 10/15/11 | 107,432 | |||||||||
100,000 | Branch Banking & Trust Co., 4.88%, 01/15/13 | 98,013 | |||||||||
110,000 | National City Corp., 4.90%, 01/15/15 | 100,515 | |||||||||
125,000 | SunTrust Banks, Inc., 5.00%, 09/01/15 (c) | 119,741 | |||||||||
25,000 | UnionBanCal Corp., 5.25%, 12/16/13 | 24,210 | |||||||||
200,000 | Wachovia Corp., 6.61%, 10/01/25 | 198,838 | |||||||||
60,000 | Wells Fargo Bank N.A., 7.55%, 06/21/10 | 64,128 | |||||||||
712,877 | |||||||||||
Commercial Services & Supplies — 0.1% | |||||||||||
50,000 | Pitney Bowes, Inc., 3.88%, 06/15/13 | 47,173 | |||||||||
Consumer Finance — 0.2% | |||||||||||
120,000 | American General Finance Corp., 4.00%, 03/15/11 | 116,462 | |||||||||
50,000 | HSBC Finance Corp., 8.00%, 07/15/10 | 53,294 | |||||||||
169,756 | |||||||||||
Diversified Financial Services — 0.4% | |||||||||||
190,000 | Citigroup, Inc., 5.00%, 09/15/14 | 181,041 | |||||||||
100,000 | General Electric Capital Corp., 8.63%, 06/15/08 | 101,553 | |||||||||
282,594 | |||||||||||
Diversified Telecommunication Services — 0.5% | |||||||||||
75,000 | BellSouth Corp., 6.00%, 10/15/11 (c) | 77,681 | |||||||||
300,000 | Nynex Capital Funding Co., SUB, 8.23%, 10/15/09 | 319,891 | |||||||||
397,572 | |||||||||||
Electric Utilities — 0.6% | |||||||||||
50,000 | Carolina Power & Light Co., 5.13%, 09/15/13 | 50,096 | |||||||||
40,000 | CenterPoint Energy Houston Electric LLC, 5.75%, 01/15/14 | 40,335 | |||||||||
175,000 | Duke Carolinas LLC, 6.25%, 01/15/12 | 184,530 | |||||||||
100,000 | Exelon Corp., 6.75%, 05/01/11 | 104,515 | |||||||||
50,000 | PSEG Power LLC, 7.75%, 04/15/11 | 53,796 | |||||||||
433,272 | |||||||||||
Food & Staples Retailing — 0.1% | |||||||||||
50,000 | Kroger Co. (The), 8.05%, 02/01/10 | 53,229 | |||||||||
Insurance — 0.1% | |||||||||||
50,000 | ACE INA Holdings, Inc., 5.88%, 06/15/14 | 51,209 | |||||||||
Media — 0.4% | |||||||||||
50,000 | Comcast Cable Communications Holdings, Inc., 8.38%, 03/15/13 | 56,094 | |||||||||
50,000 | COX Communications, Inc., 7.75%, 11/01/10 (c) | 53,332 | |||||||||
100,000 | Historic TW, Inc., 9.13%, 01/15/13 | 113,608 | |||||||||
100,000 | News America, Inc., 6.75%, 01/09/38 | 109,121 | |||||||||
332,155 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
60,000 | Dominion Resources, Inc., 6.25%, 06/30/12 (c) | 62,862 | |||||||||
Real Estate Investment Trusts (REITs) — 0.0% (g) | |||||||||||
20,000 | HRPT Properties Trust, 6.65%, 01/15/18 | 19,358 | |||||||||
Road & Rail — 0.4% | |||||||||||
150,000 | Norfolk Southern Corp., 7.05%, 05/01/37 | 162,561 | |||||||||
100,000 | Union Pacific Corp., 6.65%, 01/15/11 | 103,959 | |||||||||
266,520 | |||||||||||
Software — 0.0% (g) | |||||||||||
20,000 | Oracle Corp. and Ozark Holding, Inc., 5.25%, 01/15/16 | 19,961 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||
100,000 | Countrywide Home Loans, Inc., 4.00%, 03/22/11 | 72,205 | |||||||||
125,000 | Washington Mutual, Inc., 4.63%, 04/01/14 | 97,663 | |||||||||
169,868 | |||||||||||
Total Corporate Bonds (Cost $3,913,140) | 3,888,642 | ||||||||||
Mortgage Pass-Through Securities — 2.0% | |||||||||||
15,487 | Federal Home Loan Mortgage Corp. Conventional Pool, 8.00%, 04/01/17 | 16,391 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, | |||||||||||
232,971 | 4.00%, 08/01/18 | 224,330 | |||||||||
17,006 | 6.00%, 03/01/13 | 17,421 | |||||||||
29,211 | 6.50%, 03/01/13 – 06/01/13 | 30,245 | |||||||||
210,025 | 6.50%, 11/01/22 – 03/01/26 | 217,321 | |||||||||
18,320 | 7.00%, 06/01/13 | 19,064 | |||||||||
56,074 | 7.00%, 12/01/14 – 03/01/16 | 57,826 | |||||||||
3,494 | 8.00%, 10/01/10 | 3,600 | |||||||||
15,108 | 8.00%, 09/01/26 | 16,161 | |||||||||
Federal National Mortgage Association, Various Pools, | |||||||||||
55,560 | 4.50%, 04/01/19 | 54,645 | |||||||||
166,527 | 5.50%, 12/01/33 | 166,650 | |||||||||
54,275 | 6.00%, 08/01/13 – 12/01/13 | 55,644 | |||||||||
44,583 | 6.50%, 04/01/13 | 46,164 | |||||||||
40,352 | 7.00%, 06/01/13 | 42,027 | |||||||||
16,369 | 7.50%, 08/01/09 | 16,702 | |||||||||
8,221 | 7.50%, 10/01/27 | 8,796 | |||||||||
49 | 8.00%, 09/01/08 | 49 | |||||||||
71,843 | 8.00%, 05/01/17 | 76,394 | |||||||||
28,902 | 8.50%, 11/01/18 | 30,763 | |||||||||
13,695 | 9.00%, 12/01/17 | 14,742 | |||||||||
Government National Mortgage Association Pools, | |||||||||||
52,814 | 6.50%, 09/15/13 | 54,725 | |||||||||
13,367 | 7.00%, 07/15/08 – 02/15/11 | 13,533 | |||||||||
26,645 | 7.00%, 04/15/28 – 06/15/28 | 28,276 | |||||||||
10,756 | 7.50%, 05/15/26 – 01/20/27 | 11,455 | |||||||||
15,893 | 8.00%, 12/20/10 | 16,398 | |||||||||
93,855 | 8.00%, 11/15/16 – 09/15/27 | 100,968 | |||||||||
23,303 | 8.50%, 10/15/11 | 25,085 | |||||||||
51,665 | 8.50%, 12/15/22 | 56,063 | |||||||||
Total Mortgage Pass-Through Securities (Cost $1,391,593) | 1,421,438 | ||||||||||
U.S. Government Agency Securities — 0.6% | |||||||||||
415,000 | Federal Home Loan Bank System, 5.89%, 03/30/09 (Cost $413,209) | 425,120 | |||||||||
U.S. Treasury Obligations — 4.1% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
1,100,000 | 7.13%, 02/15/23 (c) | 1,419,516 | |||||||||
700,000 | 7.88%, 02/15/21 (c) | 941,500 | |||||||||
800,000 | U.S. Treasury Bond Principal STRIPS, 02/15/15 (c) | 605,060 | |||||||||
Total U.S. Treasury Obligations (Cost $2,747,809) | 2,966,076 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investment Companies — 16.1% | |||||||||||
57,280 | JPMorgan Emerging Markets Equity Fund, Institutional Class (b) | 1,465,220 | |||||||||
73,313 | JPMorgan International Equity Fund, Select Class (b) | 2,340,158 | |||||||||
291,907 | JPMorgan International Opportunities Fund, Institutional Class (b) | 5,082,094 | |||||||||
89,284 | JPMorgan Small Cap Equity Fund, Select Class (b) | 2,794,585 | |||||||||
Total Investment Companies (Cost $12,592,440) | 11,682,057 | ||||||||||
Total Long-Term Investments (Cost $68,692,030) | 70,783,037 | ||||||||||
Short-Term Investment — 2.6% | |||||||||||
Investment Company — 2.6% | |||||||||||
1,882,144 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m) (Cost $1,882,144) | 1,882,144 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 6.0% | |||||||||||
Certificate of Deposit — 0.5% | |||||||||||
400,000 | Deutsche Bank, New York (Germany), FRN, 4.60%, 01/22/08 | 400,000 | |||||||||
Corporate Notes — 2.6% | |||||||||||
400,000 | American Express Credit Corp., FRN, 5.04%, 01/15/08 | 400,000 | |||||||||
500,000 | Banque Federative Du Credit Mutuel (France), FRN, 5.21%, 08/01/08 | 498,404 | |||||||||
500,000 | Macquarie Bank Ltd. (Australia), FRN, 4.95%, 08/20/08 | 499,743 | |||||||||
500,000 | Unicredito Italiano Bank plc (Ireland), FRN, 5.26%, 08/08/08 | 498,864 | |||||||||
1,897,011 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — Continued | |||||||||||
Repurchase Agreements — 2.9% | |||||||||||
687,211 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $687,387, collateralized by U.S. Government Agency Mortgages | 687,211 | |||||||||
648,782 | Barclays Capital, 4.75%, dated 12/31/07, due 01/02/08, repurchase price $648,953, collateralized by U.S. Government Agency Mortgages | 648,782 | |||||||||
750,000 | Lehman Brothers, Inc., 4.49%, dated 12/31/07, due 01/02/08, repurchase price $750,187, collateralized by U.S. Government Agency Mortgages | 750,000 | |||||||||
2,085,993 | |||||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $4,383,004) | 4,383,004 | ||||||||||
Total Investments — 106.0% (Cost $74,957,178) | 77,048,185 | ||||||||||
Liabilities in Excess of Other Assets — (6.0)% | (4,338,324 | ) | |||||||||
NET ASSETS — 100.0% | $ | 72,709,861 |
(a) | — | Non-income producing security. |
(b) | — | Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc. |
(c) | — | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(g) | — | Amount rounds to less than 0.1%. |
(m) | — | All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
ADR | — | American Depositary Receipt |
CMO | — | Collateralized Mortgage Obligation |
FRN | — | Floating Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
IF | — | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of December 31, 2007. The rate may be subject to a cap and floor. |
REMICS | — | Real Estate Mortgage Investment Conduits |
STRIPS | — | Separate Trading of Registered Interest and Principal Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB | — | Step-Up Bond. The interest rate shown is the rate in effect as of December 31, 2007. |
VAR | — | Variable Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
AS OF DECEMBER 31, 2007
| Balanced Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 63,483,984 | ||||
Investments in affiliates, at value | 13,564,201 | |||||
Total investment securities, at value | 77,048,185 | |||||
Cash | 229 | |||||
Receivables: | ||||||
Investment securities sold | 410,375 | |||||
Portfolio shares sold | 2,690 | |||||
Interest and dividends | 269,852 | |||||
Total Assets | 77,731,331 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Investment securities purchased | 423,609 | |||||
Collateral for securities lending program | 4,383,004 | |||||
Portfolio shares redeemed | 91,382 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 21,191 | |||||
Administration fees | 6,123 | |||||
Custodian and accounting fees | 18,721 | |||||
Trustees’ and Chief Compliance Officer’s fees | 140 | |||||
Other | 77,300 | |||||
Total Liabilities | 5,021,470 | |||||
Net Assets | $ | 72,709,861 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 60,400,090 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 2,185,038 | |||||
Accumulated net realized gains (losses) | 8,033,726 | |||||
Net unrealized appreciation (depreciation) | 2,091,007 | |||||
Total Net Assets | $ | 72,709,861 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value) | 4,406,653 | |||||
Net asset value, offering and redemption price per share | $ | 16.50 | ||||
Cost of investments in non-affiliates | $ | 60,482,594 | ||||
Cost of investments in affiliates | 14,474,584 | |||||
Market value of securities on loan | 4,341,384 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Balanced Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Interest income | $ | 1,622,889 | ||||
Dividend income | 888,327 | |||||
Dividend income from affiliates (a) | 251,417 | |||||
Income from securities lending (net) | 14,551 | |||||
Foreign taxes withheld | (114 | ) | ||||
Total investment income | 2,777,070 | |||||
EXPENSES: | ||||||
Investment advisory fees | 474,202 | |||||
Administration fees | 85,520 | |||||
Custodian and accounting fees | 99,738 | |||||
Interest expense | 1,824 | |||||
Professional fees | 46,981 | |||||
Trustees’ and Chief Compliance Officer’s fees | 1,140 | |||||
Printing and mailing costs | 62,559 | |||||
Transfer agent fees | 6,842 | |||||
Other | 15,607 | |||||
Total expenses | 794,413 | |||||
Less amounts waived | (119,574 | ) | ||||
Less earnings credits | (504 | ) | ||||
Net expenses | 674,335 | |||||
Net investment income (loss) | 2,102,735 | |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from: | ||||||
Investments | 8,470,231 | |||||
Investments in affiliates | 24,063 | |||||
Distributions of realized gains by investment company affiliates | 671,800 | |||||
Net realized gain (loss) | 9,166,094 | |||||
Change in net unrealized appreciation (depreciation) of: | ||||||
Investments | (4,942,474 | ) | ||||
Investments in affiliates | (910,383 | ) | ||||
Change in net unrealized appreciation (depreciation) | (5,852,857 | ) | ||||
Net realized/unrealized gains (losses) | 3,313,237 | |||||
Change in net assets resulting from operations | $ | 5,415,972 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Balanced Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 2,102,735 | $ | 2,825,316 | |||||||
Net realized gain (loss) | 9,166,094 | 5,062,856 | |||||||||
Change in net unrealized appreciation (depreciation) | (5,852,857 | ) | 3,365,998 | ||||||||
Change in net assets resulting from operations | 5,415,972 | 11,254,170 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
From net investment income | (2,818,911 | ) | (3,384,873 | ) | |||||||
From net realized gains | (535,816 | ) | — | ||||||||
Total distributions to shareholders | (3,354,727 | ) | (3,384,873 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Proceeds from shares issued | 1,029,668 | 1,516,307 | |||||||||
Dividends and distributions reinvested | 3,354,727 | 3,384,873 | |||||||||
Cost of shares redeemed | (32,027,702 | ) | (45,905,927 | ) | |||||||
Change in net assets from capital transactions | (27,643,307 | ) | (41,004,747 | ) | |||||||
NET ASSETS: | |||||||||||
Change in net assets | (25,582,062 | ) | (33,135,450 | ) | |||||||
Beginning of period | 98,291,923 | 131,427,373 | |||||||||
End of period | $ | 72,709,861 | $ | 98,291,923 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,185,038 | $ | 2,814,357 | |||||||
SHARE TRANSACTIONS: | |||||||||||
Issued | 62,867 | 100,602 | |||||||||
Reinvested | 212,324 | 227,020 | |||||||||
Redeemed | (1,950,384 | ) | (3,035,801 | ) | |||||||
Change in shares | (1,675,193 | ) | (2,708,179 | ) |
FOR THE PERIODS INDICATED
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Total distributions | ||||||||||||||||||
Balanced Portfolio | |||||||||||||||||||||||||||||||
Year Ended December 31, 2007 | $ | 16.16 | $ | 0.52 | $ | 0.43 | $ | 0.95 | $ | (0.51 | ) | $ | (0.10 | ) | $ | (0.61 | ) | ||||||||||||||
Year Ended December 31, 2006 | 14.95 | 0.50 | 1.13 | 1.63 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
Year Ended December 31, 2005 | 14.98 | 0.40 | (0.04 | ) | 0.36 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||||
Year Ended December 31, 2004 | 14.49 | 0.36 | 0.45 | 0.81 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||||
Year Ended December 31, 2003 | 12.77 | 0.32 | 1.80 | 2.12 | (0.40 | ) | — | (0.40 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Represents only expenses of the Portfolio, not of the Underlying Funds. |
| | Ratios/Supplemental data | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (a) | | Net assets end of period (000’s) | | Net expenses (b) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits (b) | | Portfolio turnover rate | |||||||||||||||
$ 16.50 | 6.00 | % | $ | 72,710 | 0.78 | % | 2.44 | % | 0.92 | % | 69 | % | |||||||||||||||
16.16 | 11.12 | 98,292 | 0.78 | 2.51 | 0.91 | 45 | |||||||||||||||||||||
14.95 | 2.50 | 131,427 | 0.87 | 2.27 | 0.92 | 41 | |||||||||||||||||||||
14.98 | 5.73 | 166,027 | 0.88 | 2.29 | 0.89 | 52 | |||||||||||||||||||||
14.49 | 17.20 | 179,240 | 0.88 | 2.37 | 0.89 | 36 |
AS OF DECEMBER 31, 2007
| Class Offered | |||||
---|---|---|---|---|---|---|
Balanced Portfolio | Class 1 |
Affiliate | | Value at December 31, 2006 | | Purchase Cost | | Sales Proceeds | | Realized Gain/(Loss) | | Dividend Income | | Shares at December 31, 2007 | | Value at December 31, 2007 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Emerging Markets Equity Fund, Institutional Class | — | $ | 1,500,899 | $ | 260,000 | $ | 53,216 | $ | 4,899 | 57,280 | $ | 1,465,220 | ||||||||||||||||||
JPMorgan International Equity Fund, Select Class | — | 3,309,686 | 924,570 | 505,877 | 26,115 | 73,313 | 2,340,158 | |||||||||||||||||||||||
JPMorgan International Opportunities Fund, Institutional Class | — | 6,271,475 | 1,075,000 | (3,013 | ) | 99,475 | 291,907 | 5,082,094 | ||||||||||||||||||||||
JPMorgan Small Cap Equity Fund, Select Class | — | 3,790,317 | 716,230 | 139,783 | 18,088 | 89,284 | 2,794,585 |
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 4,341,384 | $ | 4,383,004 | $ | 3,604 |
AS OF DECEMBER 31, 2007 (continued)
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | — | $ | 86,857 | $ | (86,857 | ) |
The custodian fees may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations.
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 52,923,122 | $ | 73,067,505 | $ | 5,200,666 | $ | 11,404,573 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 75,846,486 | $ | 5,145,757 | $ | 3,944,058 | $ | 1,201,699 |
AS OF DECEMBER 31, 2007 (continued)
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
$ | 2,804,556 | $ | 550,171 | $ | 3,354,727 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | Total Distributions Paid | | |||||||
$ | 3,384,873 | $3,384,873 |
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 4,625,181 | $ | 6,485,325 | $ | 1,201,699 |
Shareholders of JPMorgan Insurance Trust Balanced Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
(Unaudited)
| Beginning Account Value, July 1, 2007 | | Ending Account Value, December 31, 2007 | | Expenses Paid During July 1, 2007 to December 31, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.70 | $ | 3.94 | 0.78 | % | ||||||||||
Hypothetical | 1,000.00 | 1,021.27 | 3.97 | 0.78 |
* | 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). |
(Unaudited)
that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular advisor, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of the Investment Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
(Unaudited) (continued)
(Unaudited)
© JPMorgan Chase & Co., 2007 All rights reserved. December 2007. | AN-JPMITBP-1207 |
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||
Portfolio Commentary | 2 | |||||
Schedule of Portfolio Investments | 4 | |||||
Financial Statements | 16 | |||||
Financial Highlights | 20 | |||||
Notes to Financial Statements | 22 | |||||
Report of Independent Registered Public Accounting Firm | 27 | |||||
Trustees | 28 | |||||
Officers | 30 | |||||
Schedule of Shareholder Expenses | 31 | |||||
Board Approval of Investment Advisory Agreement | 32 | |||||
Tax Letter | 35 |
JANUARY 14, 2008 (Unaudited)
“In a year marked by mounting volatility, disarray in the credit and sub-prime mortgage markets, and decelerating economic growth, the bond market outperformed the U.S. stock market.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
Portfolio Inception | May 1, 1997 | |||||
Fiscal Year End | December 31 | |||||
Net Assets as of 12/31/2007 | $191,778,372 | |||||
Primary Benchmark | Lehman Brothers U.S. | |||||
Aggregate | ||||||
Bond Index | ||||||
Average Credit Quality | AAA | |||||
Duration | 4.71 Years |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Core Bond Portfolio, which seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities,* returned 6.31%** (Class 1 Shares) over the 12 months ended December 31, 2007, compared to the 6.97% return for the Lehman Brothers U.S. Aggregate Bond Index over the same period. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | The Portfolio underperformed its benchmark for the period due primarily to an underweight in U.S. Treasuries, which were the fixed income market’s best performers for the one-year period. In addition, our allocation to non-agency mortgage securities underperformed, trailing straight pass-through mortgage securities. The Portfolio’s exposure to mortgage derivatives (principal-only, inverse-floater securities) also detracted due to excessive spread widening in this sector relative to the pass-through mortgage sector. When spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration Treasuries. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | In terms of maturity structure, we maintained an overweight in the three- to seven-year segment and an underweight in the 30-year portion of the yield curve. Although no single sector of the market appeared particularly compelling, we believed we still might find pockets of relative value in the seasoned pool segment of the mortgage market, which saw spreads widen significantly during the final six months of the year. New issue corporate securities traded considerably wider than current outstanding debt, offering significant value in the market. We continue to examine the Treasury STRIP market for value, focusing on the 2014-2018 segment of the Treasury STRIP curve. |
Collateralized Mortgage Obligations | 54.0 | % | ||||
Corporate Bonds | 13.8 | |||||
U.S. Treasury Obligations | 12.9 | |||||
Mortgage Pass-Through Securities | 11.9 | |||||
Commercial Mortgage-Backed Securities | 1.5 | |||||
Asset-Backed Securities | 1.3 | |||||
Other (Less than 1.0%) | 0.5 | |||||
Short-Term Investment | 4.1 |
* | The advisor seeks to achieve the Portfolio’s objectives. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS 1 SHARES | 5/01/97 | 6.31 | % | 4.16 | % | 5.84 | % | |||||||||||
CLASS 2 SHARES | 8/16/06 | 6.02 | 4.09 | 5.80 |
AS OF DECEMBER 31, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 95.7% | |||||||||||
Asset-Backed Securities — 1.3% | |||||||||||
150,000 | American Express Credit Account Master Trust, Series 2004-3, Class A, 4.35%, 12/15/11 | 150,335 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
300,000 | Series 2006-BG, Class A3, 5.21%, 10/06/11 | 299,706 | |||||||||
400,000 | Series 2006-BG, Class A4, 5.21%, 09/06/13 | 401,277 | |||||||||
65,886 | Bear Stearns Asset Backed Securities Trust, Inc., Series 2006-SD1, FRN, Class A, 5.24%, 04/25/36 | 59,791 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
450,000 | Series 2002-C2, Class C2, 6.95%, 02/18/14 | 460,044 | |||||||||
250,000 | Series 2005-B1, Class B1, 4.40%, 09/15/10 | 249,238 | |||||||||
39,970 | CNH Equipment Trust, Series 2003-B, Class A4B, 3.38%, 02/15/11 | 39,954 | |||||||||
132,049 | Countrywide Asset-Backed Certificates, Series 2004-AB2, Class A2, FRN, 5.14%, 05/25/36 | 131,974 | |||||||||
175,000 | Household Automotive Trust, Series 2005-1 Class A4, 4.35%, 06/18/12 | 174,230 | |||||||||
MBNA Credit Card Master Note Trust, | |||||||||||
200,000 | Series 2002-C1, Class C1, 6.80%, 07/15/14 | 202,907 | |||||||||
75,000 | Series 2003-C1, Class C1, FRN, 6.73%, 06/15/12 | 74,766 | |||||||||
240,000 | MBNA Master Credit Card Trust, Series 1999-J, Class C, 7.85%, 02/15/12 (e) | 249,710 | |||||||||
Total Asset-Backed Securities (Cost $2,481,412) | 2,493,932 | ||||||||||
Collateralized Mortgage Obligations — 53.8% | |||||||||||
Agency CMO — 31.5% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
18,393 | Series 11, Class D, 9.50%, 07/15/19 | 19,337 | |||||||||
11,295 | Series 22, Class C, 9.50%, 04/15/20 | 11,918 | |||||||||
3,051 | Series 47, Class F, 10.00%, 06/15/20 | 3,255 | |||||||||
2,012 | Series 99, Class Z, 9.50%, 01/15/21 | 2,136 | |||||||||
2,372 | Series 1065, Class J, 9.00%, 04/15/21 | 2,508 | |||||||||
351,766 | Series 1113, Class J, 8.50%, 06/15/21 | 350,707 | |||||||||
19,906 | Series 1250, Class J, 7.00%, 05/15/22 | 19,874 | |||||||||
33,229 | Series 1316, Class Z, 8.00%, 06/15/22 | 34,820 | |||||||||
57,943 | Series 1324, Class Z, 7.00%, 07/15/22 | 57,884 | |||||||||
39,440 | Series 1343, Class LA, 8.00%, 08/15/22 | 43,002 | |||||||||
45,968 | Series 1343, Class LB, 7.50%, 08/15/22 | 45,892 | |||||||||
35,696 | Series 1394, Class ID, IF, 9.57%, 10/15/22 | 35,806 | |||||||||
31,990 | Series 1395, Class G, 6.00%, 10/15/22 | 31,938 | |||||||||
68 | Series 1465, Class SA, IF, IO, 3.94%, 02/15/08 | 17 | |||||||||
23,018 | Series 1505, Class Q, 7.00%, 05/15/23 | 23,844 | |||||||||
45,169 | Series 1518, Class G, IF, 5.83%, 05/15/23 | 44,546 | |||||||||
47,986 | Series 1541, Class O, FRN, 3.27%, 07/15/23 | 47,246 | |||||||||
4,098 | Series 1561, Class TA, PO, 08/15/08 | 4,014 | |||||||||
53,192 | Series 1596, Class D, 6.50%, 10/15/13 | 54,392 | |||||||||
20,160 | Series 1607, Class SA, IF, 9.73%, 10/15/13 | 21,681 | |||||||||
43,947 | Series 1609, Class LG, IF, 6.36%, 11/15/23 | 45,922 | |||||||||
13,227 | Series 1625, Class SD, IF, 8.50%, 12/15/08 | 13,268 | |||||||||
500,000 | Series 1638, Class H, 6.50%, 12/15/23 | 525,748 | |||||||||
2,387 | Series 1671, Class QC, IF, 10.00%, 02/15/24 | 2,697 | |||||||||
9,174 | Series 1685, Class Z, 6.00%, 11/15/23 | 9,232 | |||||||||
2,188 | Series 1689, Class SD, IF, 10.22%, 10/15/23 | 2,196 | |||||||||
24,470 | Series 1700, Class GA, PO, 02/15/24 | 24,444 | |||||||||
1,910,171 | Series 1732, Class K, 6.50%, 05/15/24 | 1,999,526 | |||||||||
117,439 | Series 1798, Class F, 5.00%, 05/15/23 | 115,708 | |||||||||
255,474 | Series 1863, Class Z, 6.50%, 07/15/26 | 264,371 | |||||||||
4,027 | Series 1865, Class D, PO, 02/15/24 | 2,505 | |||||||||
17,747 | Series 1900, Class T, PO, 08/15/08 | 17,449 | |||||||||
4,840 | Series 1967, Class PC, PO, 10/15/08 | 4,815 | |||||||||
78,040 | Series 1981, Class Z, 6.00%, 05/15/27 | 79,126 | |||||||||
96,338 | Series 1987, Class PE, 7.50%, 09/15/27 | 98,211 | |||||||||
58,098 | Series 2025, Class PE, 6.30%, 01/15/13 | 59,092 | |||||||||
26,049 | Series 2033, Class SN, IF, IO, 12.42%, 03/15/24 | 11,139 | |||||||||
43,870 | Series 2038, Class PN, IO, 7.00%, 03/15/28 | 8,826 | |||||||||
117,251 | Series 2054, Class PV, 7.50%, 05/15/28 | 124,309 | |||||||||
82,781 | Series 2055, Class OE, 6.50%, 05/15/13 | 85,218 | |||||||||
190,331 | Series 2064, Class TE, 7.00%, 06/15/28 | 200,523 | |||||||||
162,813 | Series 2075, Class PH, 6.50%, 08/15/28 | 169,874 | |||||||||
125,420 | Series 2102, Class TU, 6.00%, 12/15/13 | 129,010 | |||||||||
265,541 | Series 2115, Class PE, 6.00%, 01/15/14 | 273,120 | |||||||||
18,740 | Series 2132, Class PD, 6.00%, 11/15/27 | 18,780 | |||||||||
33,447 | Series 2132, Class SB, IF, 7.91%, 03/15/29 | 37,849 | |||||||||
71,826 | Series 2134, Class PI, IO, 6.50%, 03/15/19 | 11,588 | |||||||||
16,622 | Series 2135, Class UK, IO, 6.50%, 03/15/14 | 1,591 | |||||||||
18,681 | Series 2143, Class CD, 6.00%, 02/15/28 | 18,734 | |||||||||
829,000 | Series 2172, Class QC, 7.00%, 07/15/29 | 863,435 | |||||||||
281,657 | Series 2182, Class ZB, 8.00%, 09/15/29 | 302,101 | |||||||||
50,143 | Series 2247, Class Z, 7.50%, 08/15/30 | 52,419 | |||||||||
18,747 | Series 2261, Class ZY, 7.50%, 10/15/30 | 19,074 | |||||||||
178,924 | Series 2283, Class K, 6.50%, 12/15/23 | 189,154 | |||||||||
29,302 | Series 2306, Class K, PO, 05/15/24 | 25,295 | |||||||||
70,324 | Series 2306, Class SE, IF, IO, 6.56%, 05/15/24 | 8,306 | |||||||||
92,173 | Series 2325, Class PM, 7.00%, 06/15/31 | 98,999 | |||||||||
550,631 | Series 2344, Class ZD, 6.50%, 08/15/31 | 566,934 | |||||||||
91,083 | Series 2344, Class ZJ, 6.50%, 08/15/31 | 95,269 | |||||||||
62,166 | Series 2345, Class NE, 6.50%, 08/15/31 | 64,765 | |||||||||
535,462 | Series 2345, Class PQ, 6.50%, 08/15/16 | 557,596 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
197,968 | Series 2355, Class BP, 6.00%, 09/15/16 | 204,171 | |||||||||
169,787 | Series 2359, Class ZB, 8.50%, 06/15/31 | 197,631 | |||||||||
23,891 | Series 2362, Class PD, 6.50%, 06/15/20 | 24,035 | |||||||||
344,880 | Series 2391, Class QR, 5.50%, 12/15/16 | 350,859 | |||||||||
314,019 | Series 2392, Class PV, 6.00%, 12/15/20 | 316,548 | |||||||||
279,056 | Series 2394, Class MC, 6.00%, 12/15/16 | 288,433 | |||||||||
114,676 | Series 2410, Class OE, 6.38%, 02/15/32 | 119,160 | |||||||||
170,686 | Series 2410, Class QS, IF, 6.43%, 02/15/32 | 182,410 | |||||||||
110,049 | Series 2410, Class QX, IF, IO, 3.62%, 02/15/32 | 12,501 | |||||||||
75,952 | Series 2412, Class SE, IF, 5.66%, 02/15/09 | 76,037 | |||||||||
100,000 | Series 2412, Class SP, IF, 6.05%, 02/15/32 | 104,784 | |||||||||
234,311 | Series 2423, Class MC, 7.00%, 03/15/32 | 247,328 | |||||||||
373,358 | Series 2423, Class MT, 7.00%, 03/15/32 | 394,100 | |||||||||
227,841 | Series 2435, Class CJ, 6.50%, 04/15/32 | 239,558 | |||||||||
470,000 | Series 2435, Class VH, 6.00%, 07/15/19 | 481,520 | |||||||||
158,191 | Series 2444, Class ES, IF, IO, 2.92%, 03/15/32 | 14,361 | |||||||||
105,461 | Series 2450, Class SW, IF, IO, 2.97%, 03/15/32 | 10,499 | |||||||||
73,926 | Series 2454, Class BG, 6.50%, 08/15/31 | 74,790 | |||||||||
300,000 | Series 2455, Class GK, 6.50%, 05/15/32 | 313,995 | |||||||||
277,965 | Series 2460, Class VZ, 6.00%, 11/15/29 | 281,910 | |||||||||
213,101 | Series 2484, Class LZ, 6.50%, 07/15/32 | 224,298 | |||||||||
427,370 | Series 2498, Class UD, 5.50%, 06/15/16 | 429,748 | |||||||||
790,000 | Series 2500, Class MC, 6.00%, 09/15/32 | 799,578 | |||||||||
78,647 | Series 2500, Class TD, 5.50%, 02/15/16 | 78,694 | |||||||||
144,364 | Series 2503, Class BH, 5.50%, 09/15/17 | 146,753 | |||||||||
147,962 | Series 2513, Class YO, PO, 02/15/32 | 132,755 | |||||||||
497,693 | Series 2515, Class DE, 4.00%, 03/15/32 | 473,214 | |||||||||
500,000 | Series 2535, Class BK, 5.50%, 12/15/22 | 507,910 | |||||||||
300,000 | Series 2543, Class YX, 6.00%, 12/15/32 | 304,438 | |||||||||
500,000 | Series 2544, Class HC, 6.00%, 12/15/32 | 503,772 | |||||||||
260,631 | Series 2565, Class MB, 6.00%, 05/15/30 | 263,584 | |||||||||
500,000 | Series 2575, Class ME, 6.00%, 02/15/33 | 506,714 | |||||||||
148,141 | Series 2586, Class WI, IO, 6.50%, 03/15/33 | 35,242 | |||||||||
183,104 | Series 2594, Class VA, 6.00%, 03/15/14 | 185,940 | |||||||||
400,000 | Series 2594, Class VQ, 6.00%, 08/15/20 | 407,277 | |||||||||
395,097 | Series 2597, Class DS, IF, IO, 2.52%, 02/15/33 | 26,122 | |||||||||
552,669 | Series 2599, Class DS, IF, IO, 1.97%, 02/15/33 | 30,861 | |||||||||
641,792 | Series 2610, Class DS, IF, IO, 2.07%, 03/15/33 | 45,492 | |||||||||
868,479 | Series 2611, Class SH, IF, IO, 2.62%, 10/15/21 | 63,285 | |||||||||
500,000 | Series 2617, Class GR, 4.50%, 05/15/18 | 484,826 | |||||||||
824,535 | Series 2626, Class NS, IF, IO, 1.52%, 06/15/23 | 56,949 | |||||||||
500,000 | Series 2628, Class WA, 4.00%, 07/15/28 | 487,095 | |||||||||
500,000 | Series 2631, Class LC, 4.50%, 06/15/18 | 485,124 | |||||||||
611,998 | Series 2636, Class Z, 4.50%, 06/15/18 | 589,191 | |||||||||
199,277 | Series 2638, Class DS, IF, 3.57%, 07/15/23 | 174,811 | |||||||||
37,603 | Series 2643, Class HI, IO, 4.50%, 12/15/16 | 2,733 | |||||||||
86,211 | Series 2656, Class SH, IF, 6.52%, 02/15/25 | 84,633 | |||||||||
349,177 | Series 2668, Class SB, IF, 2.73%, 10/15/15 | 330,380 | |||||||||
500,000 | Series 2675, Class CK, 4.00%, 09/15/18 | 474,935 | |||||||||
231,574 | Series 2682, Class YS, IF, 1.16%, 10/15/33 | 155,430 | |||||||||
274,714 | Series 2684, Class TO, PO, 10/15/33 | 132,827 | |||||||||
212,724 | Series 2686, Class GB, 5.00%, 05/15/20 | 213,648 | |||||||||
184,441 | Series 2691, Class WS, IF, 1.46%, 10/15/33 | 135,352 | |||||||||
138,460 | Series 2705, Class SC, IF, 1.46%, 11/15/33 | 104,183 | |||||||||
211,357 | Series 2705, Class SD, IF, 2.54%, 11/15/33 | 176,090 | |||||||||
1,000,000 | Series 2716, Class UN, 4.50%, 12/15/23 | 945,112 | |||||||||
750,000 | Series 2727, Class BS, IF, 1.53%, 01/15/34 | 469,695 | |||||||||
13,556 | Series 2733, Class GF, FRN, 0.00%, 09/15/33 | 13,387 | |||||||||
500,000 | Series 2743, Class HD, 4.50%, 08/15/17 | 495,337 | |||||||||
209,330 | Series 2744, Class FE, FRN, 0.00%, 02/15/34 | 193,670 | |||||||||
500,000 | Series 2744, Class PD, 5.50%, 08/15/33 | 509,489 | |||||||||
144,668 | Series 2753, Class S, IF, 1.94%, 02/15/34 | 109,462 | |||||||||
182,606 | Series 2755, Class SA, IF, 4.14%, 05/15/30 | 176,495 | |||||||||
151,690 | Series 2766, Class SX, IF, FRN, 0.82%, 03/15/34 | 128,049 | |||||||||
59,746 | Series 2769, Class PO, PO, 03/15/34 | 39,189 | |||||||||
476,978 | Series 2776, Class SK, IF, 1.53%, 04/15/34 | 391,927 | |||||||||
46,917 | Series 2778, Class BS, IF, 3.18%, 04/15/34 | 40,211 | |||||||||
268,151 | Series 2780, Class JG, 4.50%, 04/15/19 | 255,833 | |||||||||
702,000 | Series 2809, Class UB, 4.00%, 09/15/17 | 683,766 | |||||||||
135,305 | Series 2827, Class SQ, IF, 7.50%, 01/15/19 | 138,693 | |||||||||
26,184 | Series 2841, Class GO, PO, 08/15/34 | 15,694 | |||||||||
123,775 | Series 2846, Class PO, PO, 08/15/34 | 69,960 | |||||||||
500,000 | Series 2899, Class KB, 4.50%, 03/15/19 | 481,623 | |||||||||
500,000 | Series 2931, Class QC, 4.50%, 01/15/19 | 491,129 | |||||||||
116,763 | Series 2958, Class KB, 5.50%, 04/15/35 | 117,469 | |||||||||
100,000 | Series 2975, Class KO, PO, 05/15/35 | 56,744 | |||||||||
132,135 | Series 2989, Class PO, PO, 06/15/23 | 96,248 | |||||||||
300,000 | Series 3047, Class OD, 5.50%, 10/15/35 | 298,982 | |||||||||
163,752 | Series 3101, Class EA, 6.00%, 06/15/20 | 163,105 | |||||||||
254,890 | Series 3117, Class EO, PO, 02/15/36 | 196,396 | |||||||||
422,728 | Series 3260, Class CS, IF, IO, 1.11%, 01/15/37 | 18,862 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | |||||||||||
32,043 | Series T-41, Class 3A, VAR, 7.50%, 07/25/32 | 33,951 | |||||||||
213,180 | Series T-54, Class 2A, 6.50%, 02/25/43 | 218,443 | |||||||||
98,035 | Series T-54, Class 3A, 7.00%, 02/25/43 | 103,502 | |||||||||
58,635 | Series T-58, Class A, PO, 09/25/43 | 50,094 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
459,417 | Federal Home Loan Mortgage Corp. — Government National Mortgage Association, Series 8, Class ZA, 7.00%, 03/25/23 | 472,372 | |||||||||
Federal National Mortgage Association, REMICS | |||||||||||
14,297 | Series 1989-83, Class H, 8.50%, 11/25/19 | 15,653 | |||||||||
3,145 | Series 1990-1, Class D, 8.80%, 01/25/20 | 3,456 | |||||||||
14,308 | Series 1990-10, Class L, 8.50%, 02/25/20 | 15,691 | |||||||||
3,000 | Series 1990-93, Class G, 5.50%, 08/25/20 | 3,028 | |||||||||
50 | Series 1990-140, Class K, HB, 652.15%, 12/25/20 | 734 | |||||||||
5,501 | Series 1990-143, Class J, 8.75%, 12/25/20 | 6,028 | |||||||||
84,728 | Series 1992-101, Class J, 7.50%, 06/25/22 | 86,282 | |||||||||
36,969 | Series 1992-143, Class MA, 5.50%, 09/25/22 | 37,658 | |||||||||
12,128 | Series 1993-164, Class SA, IF, 9.35%, 09/25/08 | 12,213 | |||||||||
17,375 | Series 1993-164, Class SC, IF, 9.35%, 09/25/08 | 17,497 | |||||||||
8,660 | Series 1993-165, Class SD, IF, 5.87%, 09/25/23 | 9,032 | |||||||||
43,184 | Series 1993-165, Class SK, IF, 12.50%, 09/25/23 | 41,055 | |||||||||
48,748 | Series 1993-167, Class GA, 7.00%, 09/25/23 | 50,310 | |||||||||
7,101 | Series 1993-175, Class SA, IF, 13.35%, 09/25/08 | 7,234 | |||||||||
5,873 | Series 1993-190, Class S, IF, 7.02%, 10/25/08 | 5,900 | |||||||||
1,207 | Series 1993-196, Class FA, FRN, 5.13%, 10/25/08 | 1,203 | |||||||||
1,810 | Series 1993-196, Class SB, IF, 9.25%, 10/25/08 | 1,821 | |||||||||
411,655 | Series 1993-203, Class PL, 6.50%, 10/25/23 | 429,027 | |||||||||
18,860 | Series 1993-205, Class H, PO, 09/25/23 | 15,512 | |||||||||
276,720 | Series 1993-225, Class UB, 6.50%, 12/25/23 | 290,249 | |||||||||
7,348 | Series 1993-230, Class FA, FRN, 5.47%, 12/25/23 | 7,446 | |||||||||
22,910 | Series 1993-233, Class SB, IF, 8.21%, 12/25/08 | 23,122 | |||||||||
400,252 | Series 1993-250, Class Z, 7.00%, 12/25/23 | 420,387 | |||||||||
126,887 | Series 1993-257, Class C, PO, 06/25/23 | 114,579 | |||||||||
3,332 | Series 1994-13, Class SK, IF, 9.36%, 02/25/09 | 3,343 | |||||||||
11,795 | Series 1994-33, Class FA, FRN, 5.23%, 03/25/09 | 11,766 | |||||||||
58,750 | Series 1995-2, Class Z, 8.50%, 01/25/25 | 62,909 | |||||||||
83,206 | Series 1995-19, Class Z, 6.50%, 11/25/23 | 90,004 | |||||||||
2,546 | Series 1996-20, Class L, PO, 09/25/08 | 2,499 | |||||||||
5,429 | Series 1996-39, Class J, PO, 09/25/08 | 5,323 | |||||||||
15,859 | Series 1996-59, Class J, 6.50%, 08/25/22 | 16,270 | |||||||||
144,107 | Series 1996-59, Class K, 6.50%, 07/25/23 | 147,689 | |||||||||
529,007 | Series 1997-20, Class IB, IF, IO, 1.84%, 03/25/27 | 22,184 | |||||||||
48,003 | Series 1997-39, Class PD, 7.50%, 05/20/27 | 51,050 | |||||||||
112,884 | Series 1997-46, Class PL, 6.00%, 07/18/27 | 116,090 | |||||||||
293,150 | Series 1997-61, Class ZC, 7.00%, 02/25/23 | 311,976 | |||||||||
136,213 | Series 1998-36, Class ZB, 6.00%, 07/18/28 | 136,180 | |||||||||
142,160 | Series 1998-43, Class SA, IF, IO, 13.64%, 04/25/23 | 38,418 | |||||||||
20,847 | Series 2000-52, Class IO, IO, 8.50%, 01/25/31 | 5,815 | |||||||||
273,851 | Series 2001-30, Class PM, 7.00%, 07/25/31 | 287,377 | |||||||||
275,149 | Series 2001-33, Class ID, IO, 6.00%, 07/25/31 | 52,823 | |||||||||
442,528 | Series 2001-36, Class DE, 7.00%, 08/25/31 | 464,211 | |||||||||
53,234 | Series 2001-44, Class PD, 7.00%, 09/25/31 | 56,464 | |||||||||
26,877 | Series 2001-50, Class VB, 6.50%, 12/25/16 | 26,839 | |||||||||
244,585 | Series 2001-52, Class XN, 6.50%, 11/25/15 | 255,781 | |||||||||
538,262 | Series 2001-61, Class Z, 7.00%, 11/25/31 | 569,261 | |||||||||
385,408 | Series 2001-69, Class PG, 6.00%, 12/25/16 | 398,447 | |||||||||
243,307 | Series 2001-71, Class QE, 6.00%, 12/25/16 | 251,490 | |||||||||
122,755 | Series 2001-80, Class PE, 6.00%, 07/25/29 | 124,828 | |||||||||
132,153 | Series 2002-1, Class HC, 6.50%, 02/25/22 | 138,474 | |||||||||
35,190 | Series 2002-1, Class SA, IF, 9.38%, 02/25/32 | 40,126 | |||||||||
418,581 | Series 2002-3, Class OG, 6.00%, 02/25/17 | 432,590 | |||||||||
48,727 | Series 2002-8, Class SR, IF, 6.02%, 03/25/09 | 48,857 | |||||||||
762,583 | Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32 | 35,696 | |||||||||
392,385 | Series 2002-28, Class PK, 6.50%, 05/25/32 | 410,495 | |||||||||
663,896 | Series 2002-62, Class ZE, 5.50%, 11/25/17 | 658,387 | |||||||||
131,758 | Series 2002-73, Class S, IF, 4.09%, 11/25/09 | 130,994 | |||||||||
356,157 | Series 2002-74, Class VB, 6.00%, 11/25/31 | 359,120 | |||||||||
147,636 | Series 2002-77, Class S, IF, 5.56%, 12/25/32 | 150,719 | |||||||||
33,829 | Series 2002-91, Class UH, IO, 5.50%, 06/25/22 | 4,732 | |||||||||
312,384 | Series 2002-93, Class PD, 3.50%, 02/25/29 | 306,282 | |||||||||
500,000 | Series 2002-94, Class BK, 5.50%, 01/25/18 | 513,049 | |||||||||
293,000 | Series 2003-22, Class UD, 4.00%, 04/25/33 | 239,490 | |||||||||
250,000 | Series 2003-41, Class PE, 5.50%, 05/25/23 | 257,912 | |||||||||
100,000 | Series 2003-47, Class PE, 5.75%, 06/25/33 | 99,479 | |||||||||
72,389 | Series 2003-64, Class SX, IF, 0.69%, 07/25/33 | 58,132 | |||||||||
222,043 | Series 2003-66, Class PA, 3.50%, 02/25/33 | 204,276 | |||||||||
647,059 | Series 2003-68, Class LC, 3.00%, 07/25/22 | 555,597 | |||||||||
575,687 | Series 2003-68, Class QP, 3.00%, 07/25/22 | 541,384 | |||||||||
137,818 | Series 2003-71, Class DS, IF, 0.50%, 08/25/33 | 96,914 | |||||||||
904,350 | Series 2003-73, Class GA, 3.50%, 05/25/31 | 860,186 | |||||||||
1,008,840 | Series 2003-80, Class SY, IF, IO, 2.79%, 06/25/23 | 100,073 | |||||||||
500,000 | Series 2003-83, Class PG, 5.00%, 06/25/23 | 499,809 | |||||||||
112,618 | Series 2003-91, Class SD, IF, 4.39%, 09/25/33 | 106,959 | |||||||||
250,000 | Series 2003-106, Class US, IF, 1.78%, 11/25/23 | 174,260 | |||||||||
500,000 | Series 2003-106, Class WE, 4.50%, 11/25/22 | 483,871 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
841,618 | Series 2003-116, Class SB, IF, IO, 2.73%, 11/25/33 | 72,874 | |||||||||
600,000 | Series 2003-117, Class JB, 3.50%, 06/25/33 | 549,182 | |||||||||
500,000 | Series 2003-128, Class KE, 4.50%, 01/25/14 | 501,222 | |||||||||
500,000 | Series 2003-128, Class NG, 4.00%, 01/25/19 | 471,306 | |||||||||
142,082 | Series 2003-130, Class SX, IF, 4.22%, 01/25/34 | 134,513 | |||||||||
225,081 | Series 2003-132, Class OA, PO, 08/25/33 | 177,044 | |||||||||
700,000 | Series 2004-1, Class AC, 4.00%, 02/25/19 | 662,221 | |||||||||
333,167 | Series 2004-4, Class QM, IF, 4.47%, 06/25/33 | 329,450 | |||||||||
217,647 | Series 2004-10, Class SC, IF, 9.14%, 02/25/34 | 249,702 | |||||||||
164,907 | Series 2004-14, Class SD, IF, 1.78%, 03/25/34 | 124,576 | |||||||||
174,232 | Series 2004-21, Class CO, PO, 04/25/34 | 74,982 | |||||||||
178,833 | Series 2004-22, Class A, 4.00%, 04/25/19 | 164,970 | |||||||||
414,788 | Series 2004-36, Class SA, IF, 6.15%, 05/25/34 | 434,433 | |||||||||
86,321 | Series 2004-51, Class SY, IF, 4.51%, 07/25/34 | 85,230 | |||||||||
150,029 | Series 2004-61, Class SK, IF, 8.50%, 11/25/32 | 161,830 | |||||||||
200,000 | Series 2004-76, Class CL, 4.00%, 10/25/19 | 189,677 | |||||||||
1,000,000 | Series 2004-81, Class AC, 4.00%, 11/25/19 | 945,178 | |||||||||
226,413 | Series 2004-92, Class JO, PO, 12/25/34 | 203,069 | |||||||||
763,619 | Series 2005-28, Class JA, 5.00%, 04/25/35 | 698,666 | |||||||||
800,227 | Series 2005-40, Class YA, 5.00%, 09/25/20 | 805,241 | |||||||||
464,711 | Series 2005-47, Class AN, 5.00%, 12/25/16 | 466,323 | |||||||||
600,690 | Series 2005-52, Class PA, 6.50%, 06/25/35 | 624,248 | |||||||||
853,000 | Series 2005-68, Class BC, 5.25%, 06/25/35 | 816,021 | |||||||||
1,000,000 | Series 2005-84, Class XM, 5.75%, 10/25/35 | 1,020,897 | |||||||||
1,000,000 | Series 2005-109, Class PC, 6.00%, 12/25/35 | 1,023,808 | |||||||||
700,000 | Series 2005-110, Class MN, 5.50%, 06/25/35 | 707,747 | |||||||||
213,233 | Series 2006-22, Class AO, PO, 04/25/36 | 155,279 | |||||||||
501,189 | Series 2006-59, Class QO, PO, 01/25/33 | 412,117 | |||||||||
540,617 | Series 2006-110, Class PO, PO, 11/25/36 | 408,881 | |||||||||
1,185,332 | Series 2007-7, Class SG, IF, IO, 1.64%, 08/25/36 | 64,829 | |||||||||
42,776 | Series G92-15, Class Z, 7.00%, 01/25/22 | 43,813 | |||||||||
6,814 | Series G92-42, Class Z, 7.00%, 07/25/22 | 7,253 | |||||||||
144,601 | Series G92-44, Class ZQ, 8.00%, 07/25/22 | 155,290 | |||||||||
84,877 | Series G92-54, Class ZQ, 7.50%, 09/25/22 | 91,349 | |||||||||
5,312 | Series G92-59, Class F, FRN, 4.93%, 10/25/22 | 5,272 | |||||||||
13,608 | Series G92-61, Class Z, 7.00%, 10/25/22 | 14,385 | |||||||||
144,514 | Series G92-66, Class KB, 7.00%, 12/25/22 | 153,419 | |||||||||
42,361 | Series G93-1, Class KA, 7.90%, 01/25/23 | 46,144 | |||||||||
44,012 | Series G93-17, Class SI, IF, 6.00%, 04/25/23 | 44,051 | |||||||||
Federal National Mortgage Association Interest STRIPS, | |||||||||||
114,742 | Series 329, Class 1, PO, 01/01/33 | 86,849 | |||||||||
147,320 | Series 340, Class 1, PO, 09/01/33 | 106,846 | |||||||||
15 | Series 2004-92, Class JO, HB, 256.68%, 11/01/08 | 23 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
151,286 | Series 2003-W1, Class 1A1, 6.50%, 12/25/42 | 156,405 | |||||||||
93,424 | Series 2003-W1, Class 2A, 7.50%, 12/25/42 | 98,308 | |||||||||
153,420 | Series 2004-W2, Class 2A2, 7.00%, 02/25/44 | 163,264 | |||||||||
Government National Mortgage Association, | |||||||||||
121,148 | Series 1994-3, Class PQ, 7.49%, 07/16/24 | 128,775 | |||||||||
500,000 | Series 1994-7, Class PQ, 6.50%, 10/16/24 | 527,470 | |||||||||
126,851 | Series 1996-16, Class E, 7.50%, 08/16/26 | 133,182 | |||||||||
119,175 | Series 1997-8, Class PN, 7.50%, 05/16/27 | 126,129 | |||||||||
143,870 | Series 1998-26, Class K, 7.50%, 09/17/25 | 153,188 | |||||||||
124,508 | Series 1999-41, Class Z, 8.00%, 11/16/29 | 131,609 | |||||||||
73,491 | Series 1999-44, Class PC, 7.50%, 12/20/29 | 77,751 | |||||||||
91,109 | Series 1999-44, Class ZG, 8.00%, 12/20/29 | 96,355 | |||||||||
64,364 | Series 2000-6, Class Z, 7.50%, 02/20/30 | 66,985 | |||||||||
108,442 | Series 2000-14, Class PD, 7.00%, 02/16/30 | 114,276 | |||||||||
397,436 | Series 2000-21, Class Z, 9.00%, 03/16/30 | 443,723 | |||||||||
51,220 | Series 2000-26, Class Z, 7.75%, 09/20/30 | 51,102 | |||||||||
7,176 | Series 2000-36, Class IK, IO, 9.00%, 11/16/30 | 1,291 | |||||||||
800,000 | Series 2000-36, Class PB, 7.50%, 11/16/30 | 845,693 | |||||||||
96,307 | Series 2000-37, Class B, 8.00%, 12/20/30 | 99,805 | |||||||||
25,063 | Series 2000-38, Class AH, 7.15%, 12/20/30 | 25,574 | |||||||||
56,428 | Series 2001-4, Class SJ, IF, IO, 3.18%, 01/19/30 | 6,277 | |||||||||
186,163 | Series 2001-36, Class S, IF, IO, 3.02%, 08/16/31 | 18,435 | |||||||||
200,000 | Series 2001-64, Class MQ, 6.50%, 12/20/31 | 207,350 | |||||||||
34,619 | Series 2002-24, Class SB, IF, 4.38%, 04/16/32 | 33,841 | |||||||||
182,709 | Series 2002-54, Class GB, 6.50%, 08/20/32 | 191,410 | |||||||||
208,465 | Series 2003-4, Class NI, IO, 5.50%, 01/20/32 | 28,473 | |||||||||
22,701 | Series 2003-24, Class PO, PO, 03/16/33 | 18,472 | |||||||||
515,147 | Series 2003-76, Class LS, IF, IO, 2.25%, 09/20/31 | 36,960 | |||||||||
827,126 | Series 2004-11, Class SW, IF, IO, 0.55%, 02/20/34 | 43,672 | |||||||||
88,289 | Series 2004-28, Class S, IF, 5.84%, 04/16/34 | 92,655 | |||||||||
Vendee Mortgage Trust, | |||||||||||
136,315 | Series 1994-1, Class 1, VAR, 5.63%, 02/15/24 | 138,829 | |||||||||
313,303 | Series 1996-1, Class 1Z, 6.75%, 02/15/26 | 334,737 | |||||||||
174,990 | Series 1996-2, Class 1Z, 6.75%, 06/15/26 | 185,679 | |||||||||
644,960 | Series 1997-1, Class 2Z, 7.50%, 02/15/27 | 699,543 | |||||||||
178,273 | Series 1998-1, Class 2E, 7.00%, 09/15/27 | 188,015 | |||||||||
60,503,898 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — 22.3% | |||||||||||
500,000 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, FRN, 4.85%, 09/25/35 | 482,148 | |||||||||
Banc of America Funding Corp., | |||||||||||
233,407 | Series 2003-1, Class A, PO, 05/20/33 | 161,901 | |||||||||
495,667 | Series 2003-3, Class 1A33, 5.50%, 10/25/33 | 489,728 | |||||||||
138,850 | Series 2004-1, Class PO, PO, 03/25/34 | 102,737 | |||||||||
1,000,000 | Series 2005-6, Class 2A7, 5.50%, 10/25/35 | 989,343 | |||||||||
224,252 | Series 2005-7, Class 30, PO, 11/25/35 | 142,270 | |||||||||
749,070 | Series 2005-E, Class 4A1, FRN, 4.11%, 03/20/35 | 742,076 | |||||||||
Banc of America Mortgage Securities, Inc., | |||||||||||
114,491 | Series 2002-10, Class A, PO, 11/25/32 | 104,329 | |||||||||
68,018 | Series 2003-8 Class A, PO, 11/25/33 | 50,384 | |||||||||
72,951 | Series 2004-4, Class A, PO, 05/25/34 | 54,285 | |||||||||
486,919 | Series 2004-5, Class 2A2, 5.50%, 06/25/34 | 433,888 | |||||||||
250,000 | Series 2004-6, Class 2A5, PO, 07/25/34 | 106,030 | |||||||||
230,716 | Series 2004-6, Class A, PO, 07/25/34 | 159,387 | |||||||||
289,581 | Series 2004-7 Class 1A19, PO, 08/25/34 | 159,407 | |||||||||
200,000 | Series 2004-E, Class 2A5, FRN, 4.11%, 06/25/34 | 196,452 | |||||||||
578,483 | Series 2004-J, Class 3A1, FRN, 5.07%, 11/25/34 | 575,083 | |||||||||
Bank of America Alternative Loan Trust, | |||||||||||
314,167 | Series 2004-5, Class 3A3, PO, 06/25/34 | 167,578 | |||||||||
137,395 | Series 2004-6, Class 15, PO, 07/25/19 | 106,095 | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust, | |||||||||||
400,747 | Series 2003-7, Class 3A, VAR, 4.95%, 10/25/33 | 401,595 | |||||||||
50,347 | Series 2004-4, Class A4, VAR, 3.54%, 06/25/34 | 49,968 | |||||||||
997,744 | Series 2006-1, Class A1, FRN, 4.63%, 02/25/36 | 982,724 | |||||||||
Citicorp Mortgage Securities, Inc., | |||||||||||
1,348,614 | Series 2004-1, Class 3A1, 4.75%, 01/25/34 | 1,327,827 | |||||||||
671,694 | Series 2004-5, Class 2A5, 4.50%, 08/25/34 | 656,145 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
79,983 | Series 2003-UP3, Class A3, 7.00%, 09/25/33 | 81,832 | |||||||||
98,910 | Series 2003-UST1, Class 1, PO, 12/25/18 | 76,852 | |||||||||
55,299 | Series 2003-UST1, Class 3, PO, 12/25/18 | 43,772 | |||||||||
211,361 | Series 2003-UST1, Class A1, 5.50%, 12/25/18 | 212,484 | |||||||||
301,123 | Series 2005-1, Class 2A1A, VAR, 5.74%, 04/25/35 | 299,565 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
309,476 | Series 2002-8, Class A4, 6.50%, 07/25/32 | 310,472 | |||||||||
103,323 | Series 2003-J1, Class PO, PO, 10/25/33 | 80,766 | |||||||||
1,377,094 | Series 2004-2CB, Class 1A9, 5.75%, 03/25/34 | 1,255,047 | |||||||||
369,713 | Series 2005-5R, Class A1, 5.25%, 12/25/18 | 370,433 | |||||||||
2,500,767 | Series 2005-22T1, Class A2, IF, IO, 0.20%, 06/25/35 | 34,217 | |||||||||
255,006 | Series 2005-26CB, Class A10, IF, 4.23%, 07/25/35 | 254,177 | |||||||||
1,181,600 | Series 2005-28CB, Class 1A4, 5.50%, 08/25/35 | 1,114,938 | |||||||||
600,000 | Series 2005-54CB, Class 1A11, 5.50%, 11/25/35 | 557,040 | |||||||||
2,387,076 | Series 2005-J1, Class 1A4, IF, IO, 0.24%, 02/25/35 | 35,889 | |||||||||
200,000 | Series 2007-21CB, Class 1A5, 6.00%, 09/25/37 | 175,688 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | |||||||||||
710,200 | Series 2003-26, Class 1A6, 3.50%, 08/25/33 | 619,334 | |||||||||
74,470 | Series 2003-34, Class A11, 5.25%, 09/25/33 | 66,720 | |||||||||
186,364 | Series 2003-44, Class A6, PO, 10/25/33 | 143,679 | |||||||||
236,671 | Series 2003-J7, Class 4A3, IF, 3.52%, 08/25/18 | 227,668 | |||||||||
221,941 | Series 2004-7 Class 2A1, FRN, 4.04%, 06/25/34 | 222,720 | |||||||||
151,956 | Series 2004-HYB1, Class 2A, VAR, 4.22%, 05/20/34 | 150,041 | |||||||||
196,812 | Series 2004-HYB3, Class 2A, VAR, 4.07%, 06/20/34 | 195,278 | |||||||||
122,066 | Series 2004-J8, Class A, PO, 11/25/19 | 95,788 | |||||||||
747,701 | Series 2004-J8, Class 1A2, 4.75%, 11/25/19 | 737,604 | |||||||||
500,000 | Series 2005-16, Class A23, 5.50%, 09/25/35 | 488,712 | |||||||||
684,576 | Series 2005-22, Class 2A1, FRN, 5.26%, 11/25/35 | 684,908 | |||||||||
131,421 | CS First Boston Mortgage Securities Corp., Series 2004-5, Class 5P, PO, 08/25/19 | 96,996 | |||||||||
288,510 | First Horizon Alternative Mortgage Securities, Series 2005-FA8, Class 1A19, 5.50%, 11/25/35 | 281,355 | |||||||||
First Horizon Asset Securities, Inc., | |||||||||||
500,000 | Series 2003-3, Class 1A4, 3.90%, 05/25/33 | 463,083 | |||||||||
557,479 | Series 2004-AR7, Class 2A1, FRN, 4.91%, 02/25/35 | 560,452 | |||||||||
300,000 | Series 2004-AR7, Class 2A2, FRN, 4.91%, 02/25/35 | 303,839 | |||||||||
469,675 | Series 2005-AR1, Class 2A2, FRN, 5.01%, 04/25/35 | 473,076 | |||||||||
650,000 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 3A4, VAR, 4.85%, 06/19/35 | 647,025 | |||||||||
GSR Mortgage Loan Trust, | |||||||||||
454,389 | Series 2004-6F, Class 1A2, 5.00%, 05/25/34 | 376,919 | |||||||||
1,000,000 | Series 2004-6F, Class 3A4, 6.50%, 05/25/34 | 1,021,215 | |||||||||
572,188 | Series 2004-10F, Class 2A1, 5.00%, 08/25/19 | 571,832 | |||||||||
58,951 | Series 2004-13F, Class 3A3, 6.00%, 11/25/34 | 56,108 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
3,074,563 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, FRN, IO, 0.72%, 08/25/35 | 40,984 | |||||||||
MASTR Adjustable Rate Mortgages Trust, | |||||||||||
386,179 | Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34 | 382,263 | |||||||||
1,100,000 | Series 2004-13, Class 3A6, FRN, 3.79%, 11/21/34 | 1,087,596 | |||||||||
MASTR Alternative Loans Trust, | |||||||||||
439,170 | Series 2003-9, Class 8A1, 6.00%, 01/25/34 | 423,887 | |||||||||
1,183,711 | Series 2004-4, Class 10A1, 5.00%, 05/25/24 | 1,118,389 | |||||||||
494,793 | Series 2004-6, Class 7A1, 6.00%, 07/25/34 | 499,122 | |||||||||
69,512 | Series 2004-7, Class 30, PO, 08/25/34 | 50,351 | |||||||||
509,670 | Series 2004-8, Class 6A1, 5.50%, 09/25/19 | 503,085 | |||||||||
647,539 | Series 2004-10, Class 1A1, 4.50%, 09/25/19 | 633,374 | |||||||||
MASTR Asset Securitization Trust, | |||||||||||
122,665 | Series 2003-4, Class 2A2, 5.00%, 05/25/18 | 122,664 | |||||||||
226,686 | Series 2003-11, Class 6A2, 4.00%, 12/25/33 | 224,678 | |||||||||
267,828 | Series 2003-12, Class 15, PO, 12/25/18 | 212,418 | |||||||||
314,423 | Series 2004-8, Class PO, PO, 08/25/19 | 241,436 | |||||||||
555,095 | Series 2004-10, Class 15, PO, 10/25/19 | 419,910 | |||||||||
321,116 | Series 2004-6, Class 15, PO, 05/25/19 | 254,164 | |||||||||
1,015,419 | MASTR Resecuritization Trust, Series 2005-PO, Class 3, PO, 05/28/35 (e) | 649,868 | |||||||||
164,264 | MortgageIT Trust, Series 2005-1, Class 1A1, FRN, 5.18%, 02/25/35 | 159,726 | |||||||||
121,580 | Nomura Asset Acceptance Corp., Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e) | 122,301 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
336,998 | Series 2002-QS8, Class A5, 6.25%, 06/25/17 | 335,285 | |||||||||
758,362 | Series 2003-QR19, Class CB4, 5.75%, 10/25/33 | 729,790 | |||||||||
77,032 | Series 2003-QS3, Class A2, IF, 5.80%, 02/25/18 | 80,872 | |||||||||
270,546 | Series 2003-QS3, Class A8, IF, IO, 2.73%, 02/25/18 | 22,107 | |||||||||
599,663 | Series 2003-QS9, Class A3, IF, IO, 2.68%, 05/25/18 | 55,813 | |||||||||
719,979 | Series 2003-QS14, Class A1, 5.00%, 07/25/18 | 717,054 | |||||||||
215,801 | Series 2003-QS18, Class A1, 5.00%, 09/25/18 | 215,059 | |||||||||
95,425 | Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.75%, 02/25/19 | 93,963 | |||||||||
Residential Funding Mortgage Securities I, | |||||||||||
438,635 | Series 2003-S7, Class A17, 4.00%, 05/25/33 | 404,987 | |||||||||
258,002 | Series 2003-S11, Class 4A5, 2.50%, 06/25/18 | 250,791 | |||||||||
165,000 | Series 2003-S12, Class 4A5, 4.50%, 12/25/32 | 158,501 | |||||||||
430,970 | Series 2005-SA4, Class 1A1, VAR, 4.94%, 09/25/35 | 438,803 | |||||||||
30,670 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP2, Class 1, PO, 12/25/18 | 25,352 | |||||||||
400,000 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.97%, 06/25/34 | 384,694 | |||||||||
Structured Asset Securities Corp., | |||||||||||
500,000 | Series 2003-8, Class 1A2, 5.00%, 04/25/18 | 494,299 | |||||||||
311,720 | Series 2004-20, Class 1A3, 5.25%, 11/25/34 | 304,152 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | |||||||||||
3,248,300 | Series 2005-2, Class 1A4, IF, IO, 0.19%, 04/25/35 | 60,945 | |||||||||
1,088,416 | Series 2005-2, Class 2A3, IF, IO, 0.14%, 04/25/35 | 20,380 | |||||||||
800,000 | Series 2005-4, Class CB7, 5.50%, 06/25/35 | 760,193 | |||||||||
115,958 | Series 2005-4, Class DP, PO, 06/25/20 | 87,931 | |||||||||
328,291 | Series 2005-6, Class 2A4, 5.50%, 08/25/35 | 320,658 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, | |||||||||||
125,572 | Series 2003-AR4, Class A6, VAR, 3.42%, 05/25/33 | 125,548 | |||||||||
88,882 | Series 2003-AR8, Class A, FRN, 4.03%, 08/25/33 | 88,213 | |||||||||
316,035 | Series 2003-S4, Class 3A, 5.50%, 06/25/33 | 316,594 | |||||||||
452,456 | Series 2003-S8, Class A4, 4.50%, 09/25/18 | 436,623 | |||||||||
877,057 | Series 2003-S10, Class A5, 5.00%, 10/25/18 | 868,151 | |||||||||
67,466 | Series 2003-S10, Class A6, PO, 10/25/18 | 40,279 | |||||||||
132,142 | Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34 | 130,861 | |||||||||
905,378 | Series 2004-S3, Class 2A3, IF, 5.46%, 07/25/34 | 901,903 | |||||||||
222,921 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS12, Class A, 6.50%, 05/25/32 | 222,915 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
150,000 | Series 2003-8, Class A9, 4.50%, 08/25/18 | 144,692 | |||||||||
87,770 | Series 2003-11, Class 1A, PO, 10/25/18 | 72,550 | |||||||||
663,000 | Series 2003-11, Class 1A4, 4.75%, 10/25/18 | 658,502 | |||||||||
146,798 | Series 2003-17, Class 2A4, 5.50%, 01/25/34 | 146,185 | |||||||||
572,108 | Series 2003-K, Class 1A2, FRN, 4.49%, 11/25/33 | 553,736 | |||||||||
331,322 | Series 2004-7, Class 2A2, 5.00%, 07/25/19 | 330,390 | |||||||||
620,897 | Series 2004-EE, Class 3A1, FRN, 4.00%, 12/25/34 | 613,355 | |||||||||
721,940 | Series 2004-P, Class 2A1, FRN, 4.23%, 09/25/34 | 707,179 | |||||||||
600,000 | Series 2004-S, Class A5, FRN, 3.54%, 09/25/34 | 594,127 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
350,682 | Series 2005-AR10, Class 2A4, FRN, 4.11%, 06/25/35 | 346,774 | |||||||||
292,090 | Series 2005-AR16, Class 2A1, VAR, 4.94%, 10/25/35 | 294,589 | |||||||||
42,729,915 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $104,001,001) | 103,233,813 | ||||||||||
Commercial Mortgage-Backed Securities — 1.5% | |||||||||||
550,000 | Banc of America Commercial Mortgage, Inc., Series 2005-6, Class ASB, VAR, 5.18%, 09/10/47 | 549,256 | |||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
24,405 | Series 2000-WF1, Class A1, VAR, 7.64%, 02/15/32 | 24,608 | |||||||||
3,104 | Series 2004-T16, Class A2, 3.70%, 02/13/46 | 3,098 | |||||||||
250,000 | Series 2005-PWR9, Class AAB, 4.80%, 09/11/42 | 245,862 | |||||||||
360,000 | Series 2006-PW11, Class A4, VAR, 5.46%, 03/11/39 | 365,366 | |||||||||
225,149 | Series 2006-PW14, Class A1, 5.04%, 12/11/38 | 225,026 | |||||||||
167,410 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.72%, 03/15/49 | 169,734 | |||||||||
94,695 | DLJ Commercial Mortgage Corp., Series 1999-CG2, Class A1B, VAR, 7.30%, 06/10/32 | 97,337 | |||||||||
330,000 | Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43 | 322,991 | |||||||||
Morgan Stanley Capital I, | |||||||||||
216,186 | Series 2006-IQ12, Class A1, 5.26%, 12/15/43 | 216,984 | |||||||||
78,832 | Series 2006-T23, Class A1, 5.68%, 08/12/41 | 79,940 | |||||||||
200,000 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.10%, 08/15/39 | 205,963 | |||||||||
450,000 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.04%, 10/15/41 | 445,036 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $2,970,010) | 2,951,201 | ||||||||||
Corporate Bonds — 13.8% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
135,000 | Northrop Grumman Corp., 7.13%, 02/15/11 | 143,876 | |||||||||
54,861 | Systems 2001 AT LLC (Cayman Islands), 7.16%, 12/15/11 (c) (e) | 57,115 | |||||||||
200,991 | |||||||||||
Airlines — 0.1% | |||||||||||
85,000 | American Airlines, Inc., Series 1999-1, 7.02%, 10/15/09 | 85,318 | |||||||||
United Airlines, Inc., | |||||||||||
120,196 | Series 2001-1, 6.07%, 03/01/13 | 120,647 | |||||||||
76,770 | Series 2001-1, 6.20%, 09/01/08 | 76,386 | |||||||||
282,351 | |||||||||||
Automobiles — 0.2% | |||||||||||
350,000 | DaimlerChrysler NA Holding Corp., 7.20%, 09/01/09 | 360,914 | |||||||||
Capital Markets — 2.6% | |||||||||||
Bear Stearns Cos., Inc. (The), | |||||||||||
100,000 | 3.25%, 03/25/09 (c) | 96,831 | |||||||||
100,000 | 5.70%, 11/15/14 | 94,830 | |||||||||
250,000 | 6.40%, 10/02/17 | 241,540 | |||||||||
Credit Suisse First Boston USA, Inc., | |||||||||||
50,000 | 4.88%, 01/15/15 | 48,881 | |||||||||
150,000 | 5.50%, 08/15/13 | 152,670 | |||||||||
500,000 | 6.13%, 11/15/11 | 520,270 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
200,000 | 3.88%, 01/15/09 | 197,952 | |||||||||
375,000 | 4.75%, 07/15/13 | 367,310 | |||||||||
150,000 | 5.25%, 10/15/13 | 150,051 | |||||||||
100,000 | 5.50%, 11/15/14 | 100,874 | |||||||||
150,000 | 6.25%, 09/01/17 | 156,045 | |||||||||
70,000 | 6.75%, 10/01/37 | 68,584 | |||||||||
200,000 | 6.88%, 01/15/11 | 212,121 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
100,000 | 4.00%, 01/22/08 | 99,866 | |||||||||
100,000 | 5.75%, 05/17/13 | 100,554 | |||||||||
175,000 | 6.63%, 01/18/12 | 181,755 | |||||||||
200,000 | Series G, 4.80%, 03/13/14 | 186,139 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
100,000 | 4.79%, 08/04/10 | 99,088 | |||||||||
150,000 | 5.45%, 07/15/14 (c) | 147,472 | |||||||||
120,000 | 6.40%, 08/28/17 (c) | 121,915 | |||||||||
200,000 | Series B, 3.70%, 04/21/08 | 198,555 | |||||||||
200,000 | Series C, 4.13%, 01/15/09 | 197,394 | |||||||||
Morgan Stanley, | |||||||||||
400,000 | 4.75%, 04/01/14 | 374,742 | |||||||||
300,000 | 6.60%, 04/01/12 | 315,217 | |||||||||
450,000 | 6.75%, 04/15/11 | 471,664 | |||||||||
150,000 | State Street Corp., 7.65%, 06/15/10 | 160,079 | |||||||||
5,062,399 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Chemicals — 0.3% | |||||||||||
Dow Chemical Co. (The), | |||||||||||
110,000 | 6.00%, 10/01/12 | 114,348 | |||||||||
150,000 | 6.13%, 02/01/11 | 155,625 | |||||||||
30,000 | 7.38%, 11/01/29 | 32,998 | |||||||||
80,000 | Monsanto Co., 7.38%, 08/15/12 | 87,221 | |||||||||
50,000 | Potash Corp. of Saskatchewan (Canada), 4.88%, 03/01/13 | 49,483 | |||||||||
90,000 | Praxair, Inc., 5.25%, 11/15/14 | 90,696 | |||||||||
530,371 | |||||||||||
Commercial Banks — 1.6% | |||||||||||
Barclays Bank plc (United Kingdom), | |||||||||||
100,000 | 5.45%, 09/12/12 | 102,499 | |||||||||
150,000 | 6.05%, 12/04/17 (e) | 151,143 | |||||||||
75,000 | Branch Banking & Trust Co., 4.88%, 01/15/13 | 73,510 | |||||||||
250,000 | Firstar Bank N.A., 7.13%, 12/01/09 | 262,715 | |||||||||
50,000 | HSBC Holdings plc (United Kingdom), 7.35%, 11/27/32 | 52,838 | |||||||||
250,000 | Huntington National Bank (The), 8.00%, 04/01/10 | 267,221 | |||||||||
200,000 | KeyCorp, Series G, 4.70%, 05/21/09 | 199,533 | |||||||||
75,000 | Marshall & Ilsley Corp., 5.35%, 04/01/11 | 75,804 | |||||||||
50,000 | PNC Funding Corp., 5.25%, 11/15/15 | 48,460 | |||||||||
75,000 | Popular North America, Inc., 4.25%, 04/01/08 | 74,840 | |||||||||
50,000 | Regions Financial Corp., 7.38%, 12/10/37 | 50,153 | |||||||||
190,000 | Royal Bank of Canada (Canada), 3.88%, 05/04/09 | 188,718 | |||||||||
250,000 | SunTrust Bank, 6.38%, 04/01/11 | 260,533 | |||||||||
100,000 | US Bancorp, 7.50%, 06/01/26 | 114,002 | |||||||||
200,000 | US Bank N.A., 6.50%, 02/01/08 | 200,046 | |||||||||
Wachovia Bank N.A., | |||||||||||
250,000 | 6.60%, 01/15/38 | 251,255 | |||||||||
100,000 | 7.80%, 08/18/10 | 107,772 | |||||||||
Wachovia Corp., | |||||||||||
240,000 | 3.50%, 08/15/08 | 237,215 | |||||||||
150,000 | 3.63%, 02/17/09 | 146,896 | |||||||||
260,000 | Wells Fargo & Co., 3.13%, 04/01/09 | 254,914 | |||||||||
3,120,067 | |||||||||||
Communications Equipment — 0.0% (g) | |||||||||||
80,000 | Cisco Systems, Inc., 5.50%, 02/22/16 | 81,358 | |||||||||
Computers & Peripherals — 0.1% | |||||||||||
International Business Machines Corp., | |||||||||||
150,000 | 5.39%, 01/22/09 | 151,308 | |||||||||
50,000 | 6.22%, 08/01/27 | 52,077 | |||||||||
203,385 | |||||||||||
Consumer Finance — 0.9% | |||||||||||
Capital One Financial Corp., | |||||||||||
65,000 | 5.70%, 09/15/11 | 62,794 | |||||||||
185,000 | 6.25%, 11/15/13 | 177,885 | |||||||||
HSBC Finance Corp., | |||||||||||
150,000 | 5.00%, 06/30/15 | 143,058 | |||||||||
150,000 | 5.25%, 01/15/14 | 148,043 | |||||||||
200,000 | 6.40%, 06/17/08 | 200,933 | |||||||||
500,000 | 6.50%, 11/15/08 | 505,489 | |||||||||
International Lease Finance Corp., | |||||||||||
60,000 | 4.50%, 05/01/08 | 59,794 | |||||||||
40,000 | 5.88%, 05/01/13 | 40,662 | |||||||||
SLM Corp., | |||||||||||
150,000 | 4.00%, 01/15/10 | 138,154 | |||||||||
100,000 | Series A, 5.38%, 01/15/13 | 89,455 | |||||||||
100,000 | Toyota Motor Credit Corp., 2.88%, 08/01/08 | 98,682 | |||||||||
100,000 | Washington Mutual Financial Corp., 6.88%, 05/15/11 | 105,349 | |||||||||
1,770,298 | |||||||||||
Diversified Financial Services — 1.9% | |||||||||||
250,000 | Associates Corp. of North America, 8.55%, 07/15/09 | 262,219 | |||||||||
Bank of America Corp., | |||||||||||
200,000 | 3.88%, 01/15/08 (c) | 199,873 | |||||||||
200,000 | 5.25%, 12/01/15 | 195,366 | |||||||||
570,000 | 7.80%, 02/15/10 | 604,087 | |||||||||
150,000 | CIT Group, Inc., 7.63%, 11/30/12 | 152,041 | |||||||||
Citigroup, Inc., | |||||||||||
150,000 | 4.70%, 05/29/15 | 141,832 | |||||||||
300,000 | 5.63%, 08/27/12 | 303,894 | |||||||||
General Electric Capital Corp., | |||||||||||
500,000 | 7.38%, 01/19/10 | 529,976 | |||||||||
150,000 | Series A, 3.50%, 05/01/08 | 149,352 | |||||||||
390,000 | Series A, 5.88%, 02/15/12 | 406,343 | |||||||||
110,000 | Series A, 6.00%, 06/15/12 | 115,317 | |||||||||
200,000 | Series A, 6.75%, 03/15/32 | 227,077 | |||||||||
165,000 | Genworth Global Funding Trusts, 5.20%, 10/08/10 | 167,368 | |||||||||
130,000 | Textron Financial Corp., 5.13%, 02/03/11 | 133,510 | |||||||||
3,588,255 | |||||||||||
Diversified Telecommunication Services — 1.3% | |||||||||||
100,000 | Bell Telephone Co. of Pennsylvania, 8.35%, 12/15/30 | 119,699 | |||||||||
100,000 | BellSouth Corp., 5.20%, 09/15/14 | 99,802 | |||||||||
275,175 | Bellsouth Telecommunications, Inc., 6.30%, 12/15/15 | 288,332 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
400,000 | British Telecommunications plc (United Kingdom), 8.63%, 12/15/10 | 438,940 | |||||||||
180,000 | France Telecom S.A. (France), 7.75%, 03/01/11 | 193,469 | |||||||||
150,000 | Nynex Capital Funding Co., Series B, SUB, 8.23%, 10/15/09 | 159,945 | |||||||||
Sprint Capital Corp., | |||||||||||
100,000 | 8.38%, 03/15/12 | 108,302 | |||||||||
60,000 | 8.75%, 03/15/32 | 67,632 | |||||||||
130,000 | Telecom Italia Capital S.A. (Luxembourg), 5.25%, 11/15/13 | 128,483 | |||||||||
115,000 | TELUS Corp. (Canada), 8.00%, 06/01/11 | 124,599 | |||||||||
650,000 | Verizon Global Funding Corp., 7.25%, 12/01/10 | 696,755 | |||||||||
100,000 | Verizon Virginia, Inc., Series A, 4.63%, 03/15/13 | 96,591 | |||||||||
2,522,549 | |||||||||||
Electric Utilities — 0.5% | |||||||||||
100,000 | Carolina Power & Light Co., 5.13%, 09/15/13 | 100,193 | |||||||||
100,000 | CenterPoint Energy Houston Electric LLC, Series M2, 5.75%, 01/15/14 | 100,838 | |||||||||
150,000 | Exelon Generation Co. LLC, 6.95%, 06/15/11 | 156,505 | |||||||||
30,000 | Florida Power & Light Co., 5.95%, 10/01/33 (c) | 30,345 | |||||||||
75,000 | Pacific Gas & Electric Co., 5.63%, 11/30/17 | 75,227 | |||||||||
75,000 | Potomac Electric Power, 6.50%, 11/15/37 | 75,866 | |||||||||
65,000 | PSEG Power LLC, 7.75%, 04/15/11 | 69,935 | |||||||||
175,000 | Public Service Co. of Oklahoma, Series G, 6.63%, 11/15/37 | 177,570 | |||||||||
Virginia Electric and Power Co., | |||||||||||
140,000 | 5.10%, 11/30/12 | 140,602 | |||||||||
70,000 | 5.95%, 09/15/17 | 72,156 | |||||||||
999,237 | |||||||||||
Food & Staples Retailing — 0.1% | |||||||||||
150,000 | Kroger Co. (The), 8.05%, 02/01/10 | 159,689 | |||||||||
Food Products — 0.1% | |||||||||||
Kraft Foods, Inc., | |||||||||||
165,000 | 6.13%, 02/01/18 | 166,261 | |||||||||
100,000 | 6.88%, 02/01/38 | 103,819 | |||||||||
270,080 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
25,000 | CenterPoint Energy Resources Corp., 6.13%, 11/01/17 | 25,442 | |||||||||
80,000 | KeySpan Gas East Corp., 7.88%, 02/01/10 | 84,916 | |||||||||
50,000 | TransCanada Pipelines Ltd. (Canada), 4.00%, 06/15/13 | 47,746 | |||||||||
158,104 | |||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
250,000 | General Electric Co., 5.00%, 02/01/13 | 253,181 | |||||||||
Insurance — 1.4% | |||||||||||
130,000 | American International Group, Inc., 4.25%, 05/15/13 | 123,665 | |||||||||
300,000 | ASIF Global Financing XIX, 4.90%, 01/17/13 (e) | 293,541 | |||||||||
250,000 | ASIF Global Financing XXIII, 3.90%, 10/22/08 (e) | 247,117 | |||||||||
200,000 | Jackson National Life Global Funding, 6.13%, 05/30/12 (e) | 213,679 | |||||||||
John Hancock Global Funding II, | |||||||||||
100,000 | 3.50%, 01/30/09 (c) (e) | 98,608 | |||||||||
100,000 | 7.90%, 07/02/10 (e) | 109,046 | |||||||||
200,000 | MassMutual Global Funding II, 3.50%, 03/15/10 (e) | 198,006 | |||||||||
100,000 | Metropolitan Life Global Funding I, 5.20%, 09/18/13 (e) | 103,355 | |||||||||
150,000 | Monumental Global Funding II, 4.38%, 07/30/09 (e) | 150,633 | |||||||||
100,000 | Nationwide Financial Services, 6.25%, 11/15/11 | 105,197 | |||||||||
New York Life Global Funding, | |||||||||||
75,000 | 3.88%, 01/15/09 (e) | 74,565 | |||||||||
250,000 | 5.38%, 09/15/13 (e) | 250,105 | |||||||||
145,000 | Pacific Life Global Funding, 3.75%, 01/15/09 (e) | 143,300 | |||||||||
300,000 | Principal Life Global Funding I, 6.25%, 02/15/12 (e) | 319,601 | |||||||||
Protective Life Secured Trust, | |||||||||||
85,000 | 4.00%, 10/07/09 | 85,275 | |||||||||
200,000 | 4.00%, 04/01/11 | 200,414 | |||||||||
2,716,107 | |||||||||||
Media — 0.5% | |||||||||||
125,000 | Comcast Cable Communications Holdings, Inc., 7.13%, 06/15/13 | 133,633 | |||||||||
335,000 | Comcast Cable Holding LLC, 9.80%, 02/01/12 | 386,941 | |||||||||
Comcast Corp., | |||||||||||
100,000 | 5.50%, 03/15/11 | 100,956 | |||||||||
50,000 | 5.90%, 03/15/16 | 50,304 | |||||||||
100,000 | Historic TW, Inc., 9.15%, 02/01/23 | 122,346 | |||||||||
Time Warner Entertainment Co. LP, | |||||||||||
50,000 | 8.38%, 03/15/23 | 58,895 | |||||||||
150,000 | 10.15%, 05/01/12 | 176,319 | |||||||||
1,029,394 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Metals & Mining — 0.1% | |||||||||||
100,000 | Alcoa, Inc., 5.55%, 02/01/17 | 97,017 | |||||||||
Multi-Utilities — 0.2% | |||||||||||
130,000 | DTE Energy Co., Series A, 6.65%, 04/15/09 | 133,078 | |||||||||
150,000 | Duke Energy Carolinas LLC, 5.63% 11/30/12 | 155,683 | |||||||||
288,761 | |||||||||||
Oil, Gas & Consumable Fuels — 0.2% | |||||||||||
75,000 | ConocoPhillips Canada Funding Co. (Canada), 5.63%, 10/15/16 (c) | 77,324 | |||||||||
125,000 | ConocoPhillips Co., 8.75%, 05/25/10 | 136,945 | |||||||||
150,000 | Marathon Oil Corp., 6.00%, 10/01/17 | 152,750 | |||||||||
367,019 | |||||||||||
Paper & Forest Products — 0.2% | |||||||||||
International Paper Co., | |||||||||||
55,000 | 4.25%, 01/15/09 | 54,443 | |||||||||
165,000 | 4.00%, 04/01/10 | 163,371 | |||||||||
Weyerhaeuser Co., | |||||||||||
100,000 | 6.75%, 03/15/12 | 105,014 | |||||||||
322,828 | |||||||||||
Personal Products — 0.1% | |||||||||||
95,158 | Procter & Gamble Co., Series A, 9.36%, 01/01/21 | 121,267 | |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
100,000 | HRPT Properties Trust, 6.65%, 01/15/18 | 96,788 | |||||||||
Real Estate Management & Development — 0.0% (g) | |||||||||||
30,000 | ERP Operating LP, 4.75%, 06/15/09 | 29,598 | |||||||||
Road & Rail — 0.1% | |||||||||||
Burlington Northern Santa Fe Corp., | |||||||||||
60,000 | 6.13%, 03/15/09 | 60,791 | |||||||||
150,000 | 7.13%, 12/15/10 | 159,102 | |||||||||
219,893 | |||||||||||
Software — 0.0% (g) | |||||||||||
50,000 | Oracle Corp. and Ozark Holding, Inc., 5.25%, 01/15/16 | 49,902 | |||||||||
Thrifts & Mortgage Finance — 0.5% | |||||||||||
Countrywide Home Loans, Inc., | |||||||||||
50,000 | 3.25%, 05/21/08 (c) | 45,183 | |||||||||
250,000 | Series L, 4.00%, 03/22/11 | 180,513 | |||||||||
250,000 | Washington Mutual Bank FA, 5.65%, 08/15/14 | 220,650 | |||||||||
Washington Mutual, Inc., | |||||||||||
90,000 | 4.20%, 01/15/10 | 80,403 | |||||||||
50,000 | 7.25%, 11/01/17 | 44,037 | |||||||||
World Savings Bank FSB, | |||||||||||
300,000 | 4.50%, 06/15/09 | 300,111 | |||||||||
870,897 | |||||||||||
Water Utilities — 0.1% | |||||||||||
100,000 | American Water Capital Corp., 6.09%, 10/15/17 (e) | 99,663 | |||||||||
Wireless Telecommunication Services — 0.3% | |||||||||||
150,000 | New Cingular Wireless Services, Inc., 7.88%, 03/01/11 | 162,445 | |||||||||
400,000 | Sprint Nextel Corp., 6.00%, 12/01/16 | 383,117 | |||||||||
545,562 | |||||||||||
Total Corporate Bonds (Cost $26,100,772) | 26,417,925 | ||||||||||
Foreign Government Securities — 0.4% | |||||||||||
400,000 | Province of Quebec (Canada), 5.75%, 02/15/09 | 407,248 | |||||||||
United Mexican States (Mexico), | |||||||||||
150,000 | 4.63%, 10/08/08 | 149,775 | |||||||||
100,000 | 6.63%, 03/03/15 | 108,380 | |||||||||
Total Foreign Government Securities (Cost $650,340) | 665,403 | ||||||||||
Mortgage Pass-Through Securities — 11.9% | |||||||||||
Federal Home Loan Mortgage Corp. Conventional Pools, | |||||||||||
57,881 | 10.00%, 01/01/20-09/01/20 | 66,134 | |||||||||
5,915 | 12.00%, 07/01/19 | 6,755 | |||||||||
402,446 | ARM, 4.13%, 04/01/34 | 398,895 | |||||||||
270,586 | ARM, 4.63%, 03/01/35 | 269,111 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, | |||||||||||
1,394,158 | 4.00%, 05/01/14 – 05/01/19 | 1,358,221 | |||||||||
442,609 | 4.00%, 09/01/35 | 408,349 | |||||||||
688,878 | 4.50%, 08/01/18 – 05/01/19 | 677,144 | |||||||||
295,148 | 5.50%, 10/01/33 | 295,063 | |||||||||
139,081 | 6.00%, 12/01/22 | 141,987 | |||||||||
301,058 | 6.00%, 01/01/34 | 306,014 | |||||||||
587,295 | 6.50%, 10/01/17 – 02/01/19 | 607,956 | |||||||||
259,533 | 6.50%, 11/01/22 | 268,548 | |||||||||
352,872 | 7.00%, 01/01/17 | 367,134 | |||||||||
305,014 | 7.00%, 07/01/29 | 315,369 | |||||||||
6,848 | 7.50%, 09/01/10 | 6,925 | |||||||||
49,477 | 8.50%, 11/01/15 | 54,545 | |||||||||
3,452 | 9.00%, 06/01/10 | 3,630 |
AS OF DECEMBER 31, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Mortgage Pass-Through Securities — Continued | |||||||||||
Federal National Mortgage Association Pools, | |||||||||||
390,542 | 3.00%, 09/01/31 | 343,445 | |||||||||
678,438 | 3.50%, 09/01/18 – 06/01/19 | 635,948 | |||||||||
422,625 | 4.00%, 09/01/13 | 419,386 | |||||||||
3,651,711 | 4.00%, 07/01/18 – 12/01/18 | 3,514,413 | |||||||||
699,709 | 4.50%, 07/01/18 – 12/01/19 | 688,258 | |||||||||
935,704 | 4.50%, 11/01/14 – 01/01/25 | 927,581 | |||||||||
921,489 | 4.50%, 08/01/33 – 02/01/35 | 872,769 | |||||||||
75,114 | 5.00%, 06/01/18 | 75,302 | |||||||||
467,815 | 5.00%, 09/01/35 | 456,715 | |||||||||
177,943 | 5.50%, 09/01/33 | 178,075 | |||||||||
789,310 | 5.50%, 12/01/33 – 01/01/34 | 789,895 | |||||||||
39,579 | 6.00%, 05/01/09 | 39,877 | |||||||||
606,590 | 6.00%, 03/01/18 – 07/01/19 | 621,527 | |||||||||
1,490,282 | 6.00%, 01/01/29 – 09/01/33 | 1,519,747 | |||||||||
1,023,368 | 6.50%, 03/01/19 – 10/01/35 | 1,055,777 | |||||||||
190,889 | 6.50%, 08/01/20 | 197,112 | |||||||||
10,788 | 7.00%, 08/01/32 | 11,353 | |||||||||
67,961 | 8.00%, 11/01/12 | 70,300 | |||||||||
285,291 | 8.00%, 03/01/27 – 11/01/28 | 305,875 | |||||||||
92,794 | 8.50%, 10/01/26 – 08/01/27 | 99,695 | |||||||||
24,544 | 8.50%, 06/01/30 | 26,398 | |||||||||
110,437 | 9.00%, 04/01/25 | 119,746 | |||||||||
6,448 | 10.00%, 08/01/21 | 7,382 | |||||||||
490,715 | ARM, 3.87%, 07/01/33 | 501,813 | |||||||||
423,513 | ARM, 4.15%, 01/01/34 | 421,921 | |||||||||
262,720 | ARM, 4.19%, 10/01/34 | 261,097 | |||||||||
388,951 | ARM, 4.65%, 05/01/35 | 390,741 | |||||||||
121,663 | ARM, 4.76%, 04/01/34 | 123,327 | |||||||||
716,297 | ARM, 4.79%, 08/01/34 | 718,698 | |||||||||
881,811 | ARM, 4.83%, 01/01/35 | 888,772 | |||||||||
338,016 | ARM, 4.89%, 04/01/33 | 340,922 | |||||||||
16,541 | ARM, 5.63%, 03/01/29 | 16,645 | |||||||||
6,327 | ARM, 6.71%, 03/01/19 | 6,338 | |||||||||
Freddie Mac Gold Pools, | |||||||||||
200,703 | 6.50%, 11/01/34 | 206,855 | |||||||||
193,223 | 7.00%, 04/01/35 | 202,729 | |||||||||
Government National Mortgage Association Pools, | |||||||||||
17,565 | 6.50%, 10/15/28 | 18,231 | |||||||||
36,263 | 7.00%, 06/15/33 | 38,734 | |||||||||
14,368 | 7.50%, 09/15/28 | 15,339 | |||||||||
61,475 | 8.00%, 01/15/16 | 65,069 | |||||||||
51,134 | 8.00%, 09/15/22 – 05/15/28 | 55,126 | |||||||||
4,976 | 8.50%, 05/20/25 | 5,413 | |||||||||
Total Mortgage Pass-Through Securities (Cost $22,792,503) | 22,806,126 | ||||||||||
Municipal Bond — 0.1% | |||||||||||
250,000 | State of Illinois, Taxable Pension, GO, 5.10%, 06/01/33 (Cost $250,000) | 240,773 | |||||||||
Supranational — 0.0% (g) | |||||||||||
50,000 | Corp. Andina de Fomento, 5.20%, 05/21/13 (Cost $49,875) | 49,930 | |||||||||
U.S. Treasury Obligations — 12.9% | |||||||||||
U.S. Treasury Bonds Coupon STRIPS, | |||||||||||
705,000 | 11/15/12 (c) | 596,489 | |||||||||
4,000,000 | 02/15/14 (m) | 3,182,396 | |||||||||
5,750,000 | 05/15/14 (m) | 4,515,205 | |||||||||
825,000 | 02/15/15 (m) | 623,968 | |||||||||
360,000 | 08/15/15 (c) | 265,995 | |||||||||
3,085,000 | 11/15/15 (c) | 2,243,026 | |||||||||
4,500,000 | 02/15/16 (m) | 3,228,592 | |||||||||
1,215,000 | 05/15/16 (c) | 860,030 | |||||||||
200,000 | 08/15/16 | 140,116 | |||||||||
2,900,000 | 11/15/16 (c) | 2,002,102 | |||||||||
4,600,000 | 05/15/17 (m) | 3,090,211 | |||||||||
2,900,000 | 11/15/17 | 1,901,745 | |||||||||
1,750,000 | 02/15/19 (c) | 1,069,124 | |||||||||
100,000 | 02/15/22 (c) | 51,889 | |||||||||
500,000 | 02/15/23 (c) | 248,033 | |||||||||
195,000 | U.S. Treasury Note Principal STRIPS, 11/15/12 | 165,303 | |||||||||
387,564 | U.S. Treasury Inflation Indexed Bonds, 3.63%, 04/15/28 (c) | 490,995 | |||||||||
Total U.S. Treasury Obligations (Cost $23,307,578) | 24,675,219 | ||||||||||
Total Long-Term Investments (Cost $182,603,491) | 183,534,322 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 4.1% | |||||||||||
Investment Company — 4.1% | |||||||||||
7,750,727 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (Cost $7,750,727) | 7,750,727 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 4.0% | |||||||||||
Certificate of Deposit — 0.5% | |||||||||||
1,000,000 | Deutsche Bank, New York, FRN, 4.60%, 01/22/08 | 1,000,000 | |||||||||
Corporate Notes — 1.9% | |||||||||||
750,000 | Banque Federative du Credit Mutuel (France), FRN, 5.21%, 08/01/08 | 747,605 | |||||||||
100,000 | Beta Finance, Inc., FRN, 4.37%, 01/15/08 (i) (s) | 100,000 | |||||||||
1,000,000 | CDC Financial Products, Inc., FRN, 4.65%, 01/31/08 | 1,000,000 | |||||||||
750,000 | Macquarie Bank Ltd. (Australia), FRN, 4.95%, 08/20/08 | 749,615 | |||||||||
1,000,000 | Unicredito Italiano Bank plc, FRN, 5.26%, 08/08/08 | 997,727 | |||||||||
3,594,947 | |||||||||||
Repurchase Agreements — 1.6% | |||||||||||
594,477 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $594,629, collateralized by U.S. Government Agency Mortgages | 594,477 | |||||||||
1,250,000 | Barclays Capital, 4.75%, dated 12/31/07, due 01/02/08, repurchase price $1,250,330, collateralized by U.S. Government Agency Mortgages | 1,250,000 | |||||||||
1,250,000 | Lehman Brothers, Inc., 4.49%, dated 12/31/07, due 01/02/08, repurchase price $1,250,312, collateralized by U.S. Government Agency Mortgages | 1,250,000 | |||||||||
3,094,477 | |||||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $7,689,424) | 7,689,424 | ||||||||||
Total Investments — 103.8% (Cost $198,043,642) | 198,974,473 | ||||||||||
Liabilities in Excess of Other Assets — (3.8)% | (7,196,101 | ) | |||||||||
NET ASSETS — 100.0% | $ | 191,778,372 |
(b) — | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. |
(c) — | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(e) — | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g) — | Amount rounds to less than 0.1%. |
(i) — | Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
(m) — | All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
(s) — | These holdings represent investments in structured investment vehicles (SIVs). The value of SIVs may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market’s assessment thereof, factors concerning interests in and structure of the issuer or the originator of the receivables, or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. These holdings were previously determined to be liquid at the time of acquisition of such investments and have since been deemed to be illiquid due to the changes in market conditions. |
ARM — | Adjustable rate Mortgage |
CMO — | Collateralized Mortgage Obligation |
FRN — | Floating Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
GO — | General Obligation |
HB — | High Coupon Bonds (aka “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit and allocating them to the small principal of the HB class. |
IF — | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of December 31, 2007. The rate may be subject to a cap and floor. |
IO — | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
PO — | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market values of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REMICS — | Real Estate Mortgage Investment Conduits |
STRIPS — | Separate Trading of Registered Interest and Principal Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB — | Step-Up Bond. The interest rate shown is the rate in effect as of December 31, 2007. |
VAR — | Variable Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
AS OF DECEMBER 31, 2007
| Core Bond Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 191,223,746 | ||||
Investments in affiliates, at value | 7,750,727 | |||||
Total investment securities, at value | 198,974,473 | |||||
Cash | 2,880 | |||||
Receivables: | ||||||
Investment securities sold | 28,250 | |||||
Portfolio shares sold | 104,100 | |||||
Interest and dividends | 1,004,473 | |||||
Total Assets | 200,114,176 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Collateral for securities lending program | 7,689,424 | |||||
Portfolio shares redeemed | 452,082 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 50,747 | |||||
Administration fees | 18,337 | |||||
Distribution fees | 3 | |||||
Custodian and accounting fees | 20,915 | |||||
Trustees’ and Chief Compliance Officer’s fees | 447 | |||||
Other | 103,849 | |||||
Total Liabilities | 8,335,804 | |||||
Net Assets | $ | 191,778,372 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 183,389,634 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 9,891,156 | |||||
Accumulated net realized gains (losses) | (2,433,249 | ) | ||||
Net unrealized appreciation (depreciation) | 930,831 | |||||
Total Net Assets | $ | 191,778,372 | ||||
Net Assets: | ||||||
Class 1 | $ | 191,761,981 | ||||
Class 2 | 16,391 | |||||
Total | $ | 191,778,372 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value): | ||||||
Class 1 | 16,808,130 | |||||
Class 2 | 1,440 | |||||
Net asset value, offering and redemption price per share | ||||||
Class 1 | $ | 11.41 | ||||
Class 2 | 11.38 | |||||
Cost of investments in non-affiliates | $ | 190,292,915 | ||||
Cost of investments in affiliates | 7,750,727 | |||||
Market value of securities on loan | 7,658,777 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Core Bond Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Interest income | $ | 10,437,349 | ||||
Dividend income from affiliates (a) | 730,001 | |||||
Income from securities lending (net) | 29,700 | |||||
Total investment income | 11,197,050 | |||||
EXPENSES: | ||||||
Investment advisory fees | 858,485 | |||||
Administration fees | 213,089 | |||||
Distribution fees — Class 2 | 40 | |||||
Custodian and accounting fees | 103,682 | |||||
Professional fees | 63,634 | |||||
Trustees’ and Chief Compliance Officer’s fees | 2,984 | |||||
Printing and mailing costs | 104,647 | |||||
Transfer agent fees | 20,828 | |||||
Other | 29,887 | |||||
Total expenses | 1,397,276 | |||||
Less amounts waived | (108,757 | ) | ||||
Less earnings credits | (742 | ) | ||||
Net expenses | 1,287,777 | |||||
Net investment income (loss) | 9,909,273 | |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from investments | 181,031 | |||||
Change in net unrealized appreciation (depreciation) of investments | 2,902,437 | |||||
Net realized/unrealized gains (losses) | 3,083,468 | |||||
Change in net assets resulting from operations | $ | 12,992,741 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Core Bond Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 9,909,273 | $ | 12,636,176 | |||||||
Net realized gain (loss) | 181,031 | (1,458,598 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 2,902,437 | (1,931,371 | ) | ||||||||
Change in net assets resulting from operations | 12,992,741 | 9,246,207 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class 1 | |||||||||||
From net investment income | (12,615,792 | ) | (12,776,052 | ) | |||||||
Class 2 (a) | |||||||||||
From net investment income | (761 | ) | — | ||||||||
Total distributions to shareholders | (12,616,553 | ) | (12,776,052 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Change in net assets from capital transactions: | (60,753,465 | ) | (71,653,539 | ) | |||||||
NET ASSETS: | |||||||||||
Change in net assets | (60,377,277 | ) | (75,183,384 | ) | |||||||
Beginning of period | 252,155,649 | 327,339,033 | |||||||||
End of period | $ | 191,778,372 | $ | 252,155,649 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 9,891,156 | $ | 12,598,436 | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Class 1 | |||||||||||
Proceeds from shares issued | $ | 24,555,906 | $ | 64,392,680 | |||||||
Dividends and distributions reinvested | 12,615,792 | 12,776,052 | |||||||||
Cost of shares redeemed | (97,925,924 | ) | (148,837,346 | ) | |||||||
Change in net assets from Class 1 capital transactions | $ | (60,754,226 | ) | $ | (71,668,614 | ) | |||||
Class 2 (a) | |||||||||||
Proceeds from shares issued | $ | — | $ | 15,075 | |||||||
Dividends and distributions reinvested | 761 | — | |||||||||
Change in net assets from Class 2 capital transactions | $ | 761 | $ | 15,075 | |||||||
Total change in net assets from capital transactions | $ | (60,753,465 | ) | $ | (71,653,539 | ) | |||||
SHARE TRANSACTIONS: | |||||||||||
Class 1 | |||||||||||
Issued | 2,208,976 | 5,824,077 | |||||||||
Reinvested | 1,156,351 | 1,187,366 | |||||||||
Redeemed | (8,880,045 | ) | (13,769,215 | ) | |||||||
Change in Class 1 Shares | (5,514,718 | ) | (6,757,772 | ) | |||||||
Class 2 (a) | |||||||||||
Issued | — | 1,370 | |||||||||
Reinvested | 70 | — | |||||||||
Change in Class 2 Shares | 70 | 1,370 |
(a) | Commencement of offering of class of shares effective August 16, 2006. |
FOR THE PERIODS INDICATED
| | | Per share operating performance | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | |||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | ||||||||||||||||
Class 1 | ||||||||||||||||||||||||||
Year Ended December 31, 2007 | $ | 11.30 | $ | 0.51 | (e) | $ | 0.17 | $ | 0.68 | $ | (0.57 | ) | ||||||||||||||
Year Ended December 31, 2006 | 11.26 | 0.54 | (0.08 | ) | 0.46 | (0.42 | ) | |||||||||||||||||||
Year Ended December 31, 2005 | 11.45 | 0.40 | (0.14 | ) | 0.26 | (0.45 | ) | |||||||||||||||||||
Year Ended December 31, 2004 | 11.58 | 0.46 | 0.01 | 0.47 | (0.60 | ) | ||||||||||||||||||||
Year Ended December 31, 2003 | 11.83 | 0.59 | (0.15 | ) | 0.44 | (0.69 | ) | |||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||
Year Ended December 31, 2007 | 11.29 | 0.49 | (e) | 0.16 | 0.65 | (0.56 | ) | |||||||||||||||||||
August 16, 2006 (d) through December 31, 2006 | 11.00 | 0.18 | 0.11 | 0.29 | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Commencement of offering of class of shares. |
(e) | Calculated based upon average shares outstanding. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate | |||||||||||||||
$ 11.41 | 6.21 | % | $ | 191,762 | 0.60 | % | 4.62 | % | 0.65 | % | 4 | % | |||||||||||||||
11.30 | 4.23 | 252,140 | 0.65 | 4.52 | 0.70 | 13 | |||||||||||||||||||||
11.26 | 2.39 | 327,339 | 0.74 | 4.54 | 0.79 | 17 | |||||||||||||||||||||
11.45 | 4.13 | 234,961 | 0.75 | 4.79 | 0.79 | 15 | |||||||||||||||||||||
11.58 | 3.87 | 189,747 | 0.75 | 5.50 | 0.81 | 21 | |||||||||||||||||||||
11.38 | 5.93 | 16 | 0.85 | 4.36 | 0.91 | 4 | |||||||||||||||||||||
11.29 | 2.64 | 15 | 0.84 | 4.29 | 0.87 | 13 |
AS OF DECEMBER 31, 2007
| Classes Offered | |||||
---|---|---|---|---|---|---|
Core Bond Portfolio | Class 1 and Class 2 |
| Market Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
$ | 100,000 | 0.1 | % |
interest. During the term of the loan, the Portfolio receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral in accordance with investment guidelines contained in the Securities Lending Agreement. For loans secured by cash, the Portfolio retains the interest on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. For loans secured by U.S. government securities, the borrower pays a borrower fee to the lending agent on behalf of the Portfolio. The net income earned on the securities lending (after payment of rebates and the lending agent’s fee) is included in the Statement of Operations as Income from securities lending (net). Information on the investment of cash collateral is shown in the Schedule of Portfolio Investments.
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 7,658,777 | $ | 7,689,424 | $ | 6,879 |
AS OF DECEMBER 31, 2007 (continued)
tax years as of the date of effectiveness. Based on Management’s analysis, the determination has been made that the adoption of the Interpretation did not have an impact to the Portfolio’s financial statements.
| Class 1 | | Class 2 | | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0.60 | % | 0.85 | % |
associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statement of Operations.
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 7,720,972 | $ | 43,646,123 | $ | 408,927 | $ | 18,111,216 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 198,043,663 | $ | 3,574,263 | $ | 2,643,453 | $ | 930,810 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | |||||||
$ | 12,616,553 | $ | 12,616,553 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | Total Distributions Paid | | |||||||
$12,776,052 | $12,776,052 |
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 9,897,039 | $ | (2,433,194 | ) | $ | 930,810 |
| 2011 | | 2012 | | 2014 | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 218,867 | $ | 224,214 | $ | 1,990,113 | $ | 2,433,194 |
AS OF DECEMBER 31, 2007 (continued)
Shareholders of JPMorgan Insurance Trust Core Bond Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (continued) (3) | |||||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. | ||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
(Unaudited)
| Beginning Account Value, July 1, 2007 | | Ending Account Value, December 31, 2007 | | Expenses Paid During July 1, 2007 to December 31, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 | ||||||||||||||||||
Actual | $ | 1,000.00 | $1,053.60 | $3.11 | 0.60 | % | ||||||||||||
Hypothetical | 1,000.00 | 1,022.18 | 3.06 | 0.60 | ||||||||||||||
Class 2 | ||||||||||||||||||
Actual | 1,000.00 | 1,051.80 | 4.40 | 0.85 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.92 | 4.33 | 0.85 |
* | 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). |
(Unaudited)
numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of the Investment Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
(Unaudited) (continued)
expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking waivers and reimbursements into account. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The attention that was given to the Lipper reports and the Trustees’ determination as a result of the review of the Portfolio’s advisory fees and expense ratios is summarized below:
(Unaudited)
© JPMorgan Chase & Co., 2007 All rights reserved. December 2007. | AN-JPMITCBP-1207 |
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||
Portfolio Commentary | 2 | |||||
Schedule of Portfolio Investments | 4 | |||||
Financial Statements | 8 | |||||
Financial Highlights | 12 | |||||
Notes to Financial Statements | 14 | |||||
Report of Independent Registered Public Accounting Firm | 19 | |||||
Trustees | 20 | |||||
Officers | 22 | |||||
Schedule of Shareholder Expenses | 23 | |||||
Board Approval of Investment Advisory Agreement | 24 | |||||
Tax Letter | 27 |
JANUARY 14, 2008 (Unaudited)
“U.S. stocks encountered several roadblocks during 2007, but none were as significant as the weak housing market coupled with the sub-prime mortgage market meltdown and ensuing credit crisis.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
PORTFOLIO FACTS | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Portfolio Inception | March 30, 1995 | |||||||||
Fiscal Year End | December 31 | |||||||||
Net Assets as of 12/31/2007 | $290,251,108 | |||||||||
Primary Benchmark | S&P 500 Index |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Diversified Equity Portfolio, which seeks to provide high total return from a portfolio of selected equity securities*, returned 10.45%** (Class 1 Shares) for the 12 months ended December 31, 2007, compared to the 5.49% return for the S&P 500 Index over the same period. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | The Portfolio outperformed its benchmark in the period due primarily to sector selection in auto and transportation, media and financials, while utilities, semiconductors and capital markets detracted from results. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | Overall, the Portfolio continues to be managed with the foresight that there are three distinct macroeconomic scenarios (inflation, soft landing or recession) that could play out in the near-term, with the risk of the recession scenario having increased in the fourth quarter. With that in mind, the Portfolio has been constructed to provide downside protection while positioning it to outperform on the back of strong stock selection. The Portfolio is positioned to take advantage of a secular shift to high-quality growth names and continues to be overweight in the technology sector. |
1. | Exxon Mobil Corp. | 3.7 | % | |||||||
2. | Cisco Systems, Inc. | 3.6 | ||||||||
3. | AT&T, Inc. | 2.7 | ||||||||
4. | Microsoft Corp. | 2.6 | ||||||||
5. | Merck & Co., Inc. | 2.5 | ||||||||
6. | Norfolk Southern Corp. | 2.4 | ||||||||
7. | Bank of America Corp. | 2.3 | ||||||||
8. | General Electric Co. | 2.3 | ||||||||
9. | Procter & Gamble Co. | 2.3 | ||||||||
10. | Schlumberger Ltd. | 1.9 |
Information Technology | 20.2 | % | ||||
Financials | 16.4 | |||||
Energy | 12.3 | |||||
Health Care | 11.2 | |||||
Consumer Staples | 10.5 | |||||
Industrials | 9.8 | |||||
Consumer Discretionary | 6.6 | |||||
Telecommunication Services | 4.5 | |||||
Materials | 3.8 | |||||
Utilities | 3.5 | |||||
Short-Term Investment | 1.0 | |||||
Other (less than 1.0%) | 0.2 |
* | The advisor seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS 1 SHARES | 3/30/95 | 10.45 | % | 12.09 | % | 3.60 | % | |||||||||||
CLASS 2 SHARES | 8/16/06 | 10.12 | 12.00 | 3.55 |
AS OF DECEMBER 31, 2007
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 98.9% | |||||||||||
Common Stocks — 98.9% | |||||||||||
Aerospace & Defense — 2.5% | |||||||||||
27,900 | Boeing Co. | 2,440,134 | |||||||||
61,570 | United Technologies Corp. | 4,712,568 | |||||||||
7,152,702 | |||||||||||
Auto Components — 1.7% | |||||||||||
132,700 | Johnson Controls, Inc. | 4,782,508 | |||||||||
Beverages — 0.6% | |||||||||||
9,540 | Coca-Cola Co. (The) | 585,470 | |||||||||
16,500 | PepsiCo, Inc. | 1,252,350 | |||||||||
1,837,820 | |||||||||||
Biotechnology — 1.9% | |||||||||||
61,208 | Amgen, Inc. (a) | 2,842,499 | |||||||||
35,400 | Celgene Corp. (a) | 1,635,834 | |||||||||
21,800 | Gilead Sciences, Inc. (a) | 1,003,018 | |||||||||
5,481,351 | |||||||||||
Capital Markets — 3.6% | |||||||||||
9,400 | Ameriprise Financial, Inc. | 518,034 | |||||||||
4,700 | Goldman Sachs Group, Inc. (The) | 1,010,735 | |||||||||
5,400 | Lazard Ltd., Class A (Bermuda) | 219,672 | |||||||||
17,900 | Lehman Brothers Holdings, Inc. | 1,171,376 | |||||||||
9,100 | Merrill Lynch & Co., Inc. | 488,488 | |||||||||
47,432 | Morgan Stanley | 2,519,113 | |||||||||
35,700 | State Street Corp. | 2,898,840 | |||||||||
78,500 | TD AMERITRADE Holding Corp. (a) | 1,574,710 | |||||||||
10,400,968 | |||||||||||
Chemicals — 1.9% | |||||||||||
10,900 | Monsanto Co. | 1,217,421 | |||||||||
17,760 | Praxair, Inc. | 1,575,490 | |||||||||
50,900 | Rohm & Haas Co. | 2,701,263 | |||||||||
5,494,174 | |||||||||||
Commercial Banks — 3.8% | |||||||||||
1,500 | Fifth Third Bancorp | 37,695 | |||||||||
20,300 | Huntington Bancshares, Inc. | 299,628 | |||||||||
10,600 | SunTrust Banks, Inc. | 662,394 | |||||||||
15,900 | TCF Financial Corp. | 285,087 | |||||||||
87,220 | U.S. Bancorp | 2,768,363 | |||||||||
41,800 | Wachovia Corp. | 1,589,654 | |||||||||
168,516 | Wells Fargo & Co. | 5,087,498 | |||||||||
8,200 | Zions Bancorp | 382,858 | |||||||||
11,113,177 | |||||||||||
Communications Equipment — 6.5% | |||||||||||
382,000 | Cisco Systems, Inc. (a) | 10,340,740 | |||||||||
216,900 | Corning, Inc. | 5,203,431 | |||||||||
50,300 | Motorola, Inc. | 806,812 | |||||||||
64,900 | QUALCOMM, Inc. | 2,553,815 | |||||||||
18,904,798 | |||||||||||
Computers & Peripherals — 4.9% | |||||||||||
17,810 | Apple, Inc. (a) | 3,527,805 | |||||||||
38,100 | Dell, Inc. (a) | 933,831 | |||||||||
44,800 | EMC Corp. (a) | 830,144 | |||||||||
84,770 | Hewlett-Packard Co. | 4,279,190 | |||||||||
36,952 | International Business Machines Corp. | 3,994,511 | |||||||||
25,100 | Network Appliance, Inc. (a) | 626,496 | |||||||||
4,100 | SanDisk Corp. (a) | 135,997 | |||||||||
14,327,974 | |||||||||||
Consumer Finance — 0.7% | |||||||||||
24,200 | American Express Co. | 1,258,884 | |||||||||
15,400 | Capital One Financial Corp. | 727,804 | |||||||||
1,986,688 | |||||||||||
Diversified Financial Services — 3.8% | |||||||||||
165,337 | Bank of America Corp. | 6,821,805 | |||||||||
14,900 | CIT Group, Inc. | 358,047 | |||||||||
114,734 | Citigroup, Inc. | 3,377,769 | |||||||||
759 | CME Group, Inc. | 520,674 | |||||||||
11,078,295 | |||||||||||
Diversified Telecommunication Services — 4.3% | |||||||||||
188,963 | AT&T, Inc. | 7,853,302 | |||||||||
107,492 | Verizon Communications, Inc. | 4,696,326 | |||||||||
12,549,628 | |||||||||||
Electric Utilities — 2.7% | |||||||||||
1,800 | American Electric Power Co., Inc. | 83,808 | |||||||||
66,000 | Edison International | 3,522,420 | |||||||||
40,800 | FirstEnergy Corp. | 2,951,472 | |||||||||
7,600 | FPL Group, Inc. | 515,128 | |||||||||
44,200 | Sierra Pacific Resources | 750,516 | |||||||||
7,823,344 | |||||||||||
Electronic Equipment & Instruments — 0.0% (g) | |||||||||||
3,500 | Tyco Electronics Ltd. (Bermuda) | 129,955 | |||||||||
Energy Equipment & Services ��� 2.2% | |||||||||||
6,200 | Baker Hughes, Inc. | 502,820 | |||||||||
22,500 | Nabors Industries Ltd. (Bermuda) (a) | 616,275 | |||||||||
54,800 | Schlumberger Ltd. | 5,390,676 | |||||||||
6,509,771 | |||||||||||
Food & Staples Retailing — 3.9% | |||||||||||
67,700 | CVS/Caremark Corp. | 2,691,075 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Food & Staples Retailing — Continued | |||||||||||
141,300 | Safeway, Inc. | 4,833,873 | |||||||||
1,500 | SUPERVALU, Inc. | 56,280 | |||||||||
65,370 | SYSCO Corp. | 2,040,198 | |||||||||
34,000 | Wal-Mart Stores, Inc. | 1,616,020 | |||||||||
11,237,446 | |||||||||||
Food Products — 1.1% | |||||||||||
19,300 | General Mills, Inc. | 1,100,100 | |||||||||
59,358 | Kraft Foods, Inc., Class A | 1,936,851 | |||||||||
3,036,951 | |||||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||||
900 | CR Bard, Inc. | 85,320 | |||||||||
24,300 | Medtronic, Inc. | 1,221,561 | |||||||||
1,306,881 | |||||||||||
Health Care Providers & Services — 2.8% | |||||||||||
39,220 | Aetna, Inc. | 2,264,171 | |||||||||
23,100 | Cardinal Health, Inc. | 1,334,025 | |||||||||
7,300 | Cigna Corp. | 392,229 | |||||||||
1,200 | UnitedHealth Group, Inc. | 69,840 | |||||||||
44,920 | WellPoint, Inc. (a) | 3,940,831 | |||||||||
8,001,096 | |||||||||||
Hotels, Restaurants & Leisure — 0.8% | |||||||||||
28,500 | International Game Technology | 1,252,005 | |||||||||
16,600 | Starwood Hotels & Resorts Worldwide, Inc. | 730,898 | |||||||||
10,100 | Yum! Brands, Inc. | 386,527 | |||||||||
2,369,430 | |||||||||||
Household Products — 2.9% | |||||||||||
23,300 | Colgate-Palmolive Co. | 1,816,468 | |||||||||
91,507 | Procter & Gamble Co. | 6,718,444 | |||||||||
8,534,912 | |||||||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||||
5,800 | Constellation Energy Group, Inc. | 594,674 | |||||||||
Industrial Conglomerates — 2.3% | |||||||||||
182,175 | General Electric Co. | 6,753,227 | |||||||||
Insurance — 3.7% | |||||||||||
25,600 | Aflac, Inc. | 1,603,328 | |||||||||
63,630 | AMBAC Financial Group, Inc. (c) | 1,639,745 | |||||||||
35,900 | American International Group, Inc. | 2,092,970 | |||||||||
15 | Berkshire Hathaway, Inc., Class B (a) | 71,040 | |||||||||
23,970 | Hartford Financial Services Group, Inc. | 2,089,944 | |||||||||
1,700 | MBIA, Inc. (c) | 31,671 | |||||||||
15,800 | MetLife, Inc. | 973,596 | |||||||||
7,500 | Principal Financial Group, Inc. | 516,300 | |||||||||
2,100 | Protective Life Corp. | 86,142 | |||||||||
25,218 | RenaissanceRe Holdings Ltd. (Bermuda) | 1,519,133 | |||||||||
10,623,869 | |||||||||||
Internet Software & Services — 3.0% | |||||||||||
7,760 | Google, Inc., Class A (a) | 5,365,885 | |||||||||
149,200 | Yahoo!, Inc. (a) | 3,470,392 | |||||||||
8,836,277 | |||||||||||
IT Services — 0.0% (g) | |||||||||||
1,200 | Infosys Technologies Ltd. ADR (India) (c) | 54,432 | |||||||||
Machinery — 2.6% | |||||||||||
37,600 | Caterpillar, Inc. | 2,728,256 | |||||||||
33,300 | Danaher Corp. (c) | 2,921,742 | |||||||||
15,000 | Deere & Co. | 1,396,800 | |||||||||
10,900 | Dover Corp. | 502,381 | |||||||||
900 | Joy Global, Inc. | 59,238 | |||||||||
7,608,417 | |||||||||||
Media — 2.6% | |||||||||||
58,250 | Comcast Corp., Class A (a) | 1,063,645 | |||||||||
217,460 | News Corp., Class A | 4,455,755 | |||||||||
61,600 | Walt Disney Co. (The) | 1,988,448 | |||||||||
7,507,848 | |||||||||||
Metals & Mining — 1.5% | |||||||||||
8,700 | Freeport-McMoRan Copper & Gold, Inc. | 891,228 | |||||||||
27,700 | United States Steel Corp. | 3,349,207 | |||||||||
4,240,435 | |||||||||||
Multi-Utilities — 0.6% | |||||||||||
106,000 | CMS Energy Corp. | 1,842,280 | |||||||||
Multiline Retail — 0.8% | |||||||||||
8,300 | J.C. Penney Co., Inc. | 365,117 | |||||||||
40,180 | Kohl’s Corp. (a) | 1,840,244 | |||||||||
2,205,361 | |||||||||||
Oil, Gas & Consumable Fuels — 10.1% | |||||||||||
21,300 | Apache Corp. | 2,290,602 | |||||||||
500 | Chevron Corp. | 46,665 | |||||||||
33,200 | ConocoPhillips | 2,931,560 | |||||||||
19,900 | Devon Energy Corp. | 1,769,309 | |||||||||
113,309 | Exxon Mobil Corp. | 10,615,920 | |||||||||
6,300 | Hess Corp. | 635,418 | |||||||||
41,800 | Marathon Oil Corp. | 2,543,948 | |||||||||
60,200 | Occidental Petroleum Corp. | 4,634,798 | |||||||||
14,300 | Sunoco, Inc. | 1,035,892 | |||||||||
54,375 | XTO Energy, Inc. | 2,792,700 | |||||||||
29,296,812 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Paper & Forest Products — 0.4% | |||||||||||
166,800 | Domtar Corp. (Canada) (a) | 1,282,692 | |||||||||
Personal Products — 0.2% | |||||||||||
12,500 | Estee Lauder Cos., Inc. (The), Class A | 545,125 | |||||||||
Pharmaceuticals — 6.1% | |||||||||||
60,600 | Abbott Laboratories | 3,402,690 | |||||||||
8,400 | Johnson & Johnson | 560,280 | |||||||||
123,300 | Merck & Co., Inc. | 7,164,963 | |||||||||
199,900 | Schering-Plough Corp. | 5,325,336 | |||||||||
30,250 | Wyeth | 1,336,747 | |||||||||
17,790,016 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||
6,600 | Alexandria Real Estate Equities, Inc. (c) | 671,022 | |||||||||
20,453 | Apartment Investment & Management Co. | 710,333 | |||||||||
1,381,355 | |||||||||||
Road & Rail — 2.4% | |||||||||||
138,900 | Norfolk Southern Corp. | 7,006,116 | |||||||||
Semiconductors & Semiconductor Equipment — 3.0% | |||||||||||
85,700 | Altera Corp. | 1,655,724 | |||||||||
1,900 | Broadcom Corp., Class A (a) | 49,666 | |||||||||
29,300 | KLA-Tencor Corp. | 1,411,088 | |||||||||
16,600 | Linear Technology Corp. | 528,378 | |||||||||
225,900 | Xilinx, Inc. | 4,940,433 | |||||||||
8,585,289 | |||||||||||
Software — 2.6% | |||||||||||
213,305 | Microsoft Corp. | 7,593,658 | |||||||||
2,200 | Oracle Corp. (a) | 49,676 | |||||||||
7,643,334 | |||||||||||
Specialty Retail — 0.8% | |||||||||||
26,800 | CarMax, Inc. (a) (c) | 529,300 | |||||||||
76,520 | Staples, Inc. | 1,765,316 | |||||||||
2,294,616 | |||||||||||
Thrifts & Mortgage Finance — 0.4% | |||||||||||
10,700 | Fannie Mae | 427,786 | |||||||||
19,300 | Freddie Mac | 657,551 | |||||||||
1,085,337 | |||||||||||
Tobacco — 1.8% | |||||||||||
68,558 | Altria Group, Inc. | 5,181,614 | |||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
43,500 | Sprint Nextel Corp. | 571,155 | |||||||||
Total Long-Term Investments (Cost $281,469,540) | 286,990,150 | ||||||||||
Short-Term Investments — 1.2% | |||||||||||
Investment Company — 1.1% | |||||||||||
3,032,804 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m) (Cost $3,032,804) | 3,032,804 | |||||||||
PRINCIPAL AMOUNT ($) | | | |||||||||
U.S. Treasury Obligation — 0.1% | |||||||||||
440,000 | U.S. Treasury Note, 5.13%, 06/30/08 (c) (k) (Cost $441,553) | 443,644 | |||||||||
Total Short-Term Investments (Cost $3,474,357) | 3,476,448 | ||||||||||
Investments of Cash Collateral for Securities on Loan — 1.1% | |||||||||||
Repurchase Agreements — 1.1% | |||||||||||
640,000 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $640,164, collateralized by U.S. Government Agency Mortgages | 640,000 | |||||||||
640,000 | Barclays Capital, 4.75%, dated 12/31/07, due 01/02/08, repurchase price $640,169, collateralized by U.S. Government Agency Mortgages | 640,000 | |||||||||
606,996 | Bear Stearns Cos., Inc., 4.50%, dated 12/31/07, due 01/02/08, repurchase price $607,148, collateralized by U.S. Government Agency Mortgages | 606,996 | |||||||||
640,000 | Credit Suisse (USA) LLC, 4.51%, dated 12/31/07, due 01/02/08, repurchase price $640,160, collateralized by U.S. Government Agency Mortgages | 640,000 | |||||||||
640,000 | Lehman Brothers, Inc., 4.49%, dated 12/31/07, due 01/02/08, repurchase price $640,160, collateralized by U.S. Government Agency Mortgages | 640,000 | |||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $3,166,996) | 3,166,996 | ||||||||||
Total Investments — 101.2% (Cost $288,110,893) | 293,633,594 | ||||||||||
Liabilities in Excess of Other Assets — (1.2)% | (3,382,486 | ) | |||||||||
NET ASSETS — 100.0% | $ | 290,251,108 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 12/31/07 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
2 | S&P 500 Index | March, 2008 | $ | 738,600 | $10,440 |
(a) | — Non-income producing security. |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. |
(c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(g) | — Amount rounds to less than 0.1%. |
(k) | — Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
(m) | — All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
ADR | — American Depositary Receipt. |
AS OF DECEMBER 31, 2007
| Diversified Equity Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 290,600,790 | ||||
Investments in affiliates, at value | 3,032,804 | |||||
Total investment securities, at value | 293,633,594 | |||||
Cash | 801 | |||||
Receivables: | ||||||
Investment securities sold | 161,060 | |||||
Portfolio shares sold | 70,572 | |||||
Interest and dividends | 487,302 | |||||
Total Assets | 294,353,329 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Investment securities purchased | 467,150 | |||||
Collateral for securities lending program | 3,166,996 | |||||
Portfolio shares redeemed | 233,568 | |||||
Variation margin on futures contracts | 4,150 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 137,525 | |||||
Administration fees | 23,720 | |||||
Distribution fees | 4 | |||||
Custodian and accounting fees | 9,256 | |||||
Trustees’ and Chief Compliance Officer’s fees | 1,051 | |||||
Other | 58,801 | |||||
Total Liabilities | 4,102,221 | |||||
Net Assets | $ | 290,251,108 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 260,803,856 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 2,693,101 | |||||
Accumulated net realized gains (losses) | 21,221,010 | |||||
Net unrealized appreciation (depreciation) | 5,533,141 | |||||
Total Net Assets | $ | 290,251,108 | ||||
Net Assets: | ||||||
Class 1 | $ | 290,232,687 | ||||
Class 2 | 18,421 | |||||
Total | $ | 290,251,108 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value): | ||||||
Class 1 | 15,829,046 | |||||
Class 2 | 1,008 | |||||
Net asset value, offering and redemption price per share: | ||||||
Class 1 | $ | 18.34 | ||||
Class 2 | 18.28 | |||||
Cost of investments in non-affiliates | $ | 285,078,089 | ||||
Cost of investments in affiliates | 3,032,804 | |||||
Market value of securities on loan | 3,135,345 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Diversified Equity Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Dividend income | $ | 4,342,503 | ||||
Dividend income from affiliates (a) | 219,304 | |||||
Interest income | 6,144 | |||||
Income from securities lending (net) | 10,072 | |||||
Foreign taxes withheld | (732 | ) | ||||
Total investment income | 4,577,291 | |||||
EXPENSES: | ||||||
Investment advisory fees | 1,357,172 | |||||
Administration fees | 243,728 | |||||
Distribution fees — Class 2 | 45 | |||||
Custodian and accounting fees | 56,461 | |||||
Interest expense | 260 | |||||
Professional fees | 50,279 | |||||
Trustees’ and Chief Compliance Officer’s fees | 3,338 | |||||
Printing and mailing costs | 57,010 | |||||
Transfer agent fees | 17,005 | |||||
Other | 20,151 | |||||
Total expenses | 1,805,449 | |||||
Less amounts waived | (964 | ) | ||||
Less earnings credits | (374 | ) | ||||
Net expenses | 1,804,111 | |||||
Net investment income (loss) | 2,773,180 | |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from: | ||||||
Investments | 23,058,331 | |||||
Futures | (215,047 | ) | ||||
Net realized gain (loss) | 22,843,284 | |||||
Change in net unrealized appreciation (depreciation) of: | ||||||
Investments | (8,536,604 | ) | ||||
Futures | 10,440 | |||||
Change in net unrealized appreciation (depreciation) | (8,526,164 | ) | ||||
Net realized/unrealized gains (losses) | 14,317,120 | |||||
Change in net assets resulting from operations | $ | 17,090,300 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Diversified Equity Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 2,773,180 | $ | 1,550,322 | |||||||
Net realized gain (loss) | 22,843,284 | 15,873,849 | |||||||||
Change in net unrealized appreciation (depreciation) | (8,526,164 | ) | 4,700,047 | ||||||||
Change in net assets resulting from operations | 17,090,300 | 22,124,218 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class 1 | |||||||||||
From net investment income | (1,547,500 | ) | (1,258,754 | ) | |||||||
From net realized gains | (6,576,752 | ) | — | ||||||||
Class 2 (a) | |||||||||||
From net investment income | (168 | ) | — | ||||||||
From net realized gains | (779 | ) | — | ||||||||
Total distributions to shareholders | (8,125,199 | ) | (1,258,754 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Change in net assets from capital transactions | 133,194,409 | (23,906,621 | ) | ||||||||
NET ASSETS: | |||||||||||
Change in net assets | 142,159,510 | (3,041,157 | ) | ||||||||
Beginning of period | 148,091,598 | 151,132,755 | |||||||||
End of period | $ | 290,251,108 | $ | 148,091,598 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,693,101 | $ | 1,544,948 | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Class 1 | |||||||||||
Proceeds from shares issued | $ | 166,204,299 | $ | 5,342,152 | |||||||
Dividends and distributions reinvested | 8,124,252 | 1,258,754 | |||||||||
Cost of shares redeemed | (41,135,089 | ) | (30,522,602 | ) | |||||||
Change in net assets from Class 1 capital transactions | $ | 133,193,462 | $ | (23,921,696 | ) | ||||||
Class 2 (a) | |||||||||||
Proceeds from shares issued | $ | — | $ | 15,075 | |||||||
Dividends and distributions reinvested | 947 | — | |||||||||
Change in net assets from Class 2 capital transactions | $ | 947 | $ | 15,075 | |||||||
Total change in net assets from capital transactions | $ | 133,194,409 | $ | (23,906,621 | ) | ||||||
SHARE TRANSACTIONS: | |||||||||||
Class 1 | |||||||||||
Issued | 9,200,592 | 335,901 | |||||||||
Reinvested | 481,580 | 79,719 | |||||||||
Redeemed | (2,264,103 | ) | (1,897,498 | ) | |||||||
Change in Class 1 Shares | 7,418,069 | (1,481,878 | ) | ||||||||
Class 2 (a) | |||||||||||
Issued | — | 952 | |||||||||
Reinvested | 56 | — | |||||||||
Change in Class 2 Shares | 56 | 952 |
(a) | Commencement of offering of class of shares effective August 16, 2006. |
FOR THE PERIODS INDICATED
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Total distributions | ||||||||||||||||||
Class 1 | |||||||||||||||||||||||||||||||
Year Ended December 31, 2007 | $17.60 | $0.18 | $1.57 | $1.75 | $ | (0.19 | ) | $ | (0.82 | ) | $(1.01 | ) | |||||||||||||||||||
Year Ended December 31, 2006 | 15.28 | 0.19 | 2.26 | 2.45 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
Year Ended December 31, 2005 | 15.08 | 0.13 | 0.21 | 0.34 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||
Year Ended December 31, 2004 | 14.19 | 0.14 | 0.85 | 0.99 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
Year Ended December 31, 2003 | 11.35 | 0.10 | 2.82 | 2.92 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
Class 2 | |||||||||||||||||||||||||||||||
Year Ended December 31, 2007 | 17.58 | 0.16 | 1.54 | 1.70 | (0.18 | ) | (0.82 | ) | (1.00 | ) | |||||||||||||||||||||
August 16, 2006 (d) to December 31, 2006 | 15.84 | 0.05 | 1.69 | 1.74 | — | �� | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Commencement of offering of class of shares. |
| | Ratios/Supplemental data | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate | |||||||||||||||
$ 18.34 | 10.45 | % | $ | 290,233 | 0.73 | % | 1.12 | % | 0.73 | % | 116 | % | |||||||||||||||
17.60 | 16.15 | 148,075 | 0.85 | 1.05 | 0.87 | 129 | |||||||||||||||||||||
15.28 | 2.33 | 151,133 | 0.94 | 0.78 | 0.95 | 74 | |||||||||||||||||||||
15.08 | 7.05 | 178,123 | 0.91 | 1.01 | 0.92 | 84 | |||||||||||||||||||||
14.19 | 25.93 | 161,287 | 0.91 | 0.85 | 0.93 | 32 | |||||||||||||||||||||
18.28 | 10.12 | 18 | 0.99 | 0.85 | 0.99 | 116 | |||||||||||||||||||||
17.58 | 10.98 | 17 | 1.05 | 0.82 | 1.07 | 129 |
AS OF DECEMBER 31, 2007
| Classes Offered | |||||
---|---|---|---|---|---|---|
Diversified Equity Portfolio | Class 1 and Class 2 |
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 3,135,345 | $ | 3,166,996 | $ | 3,219 |
AS OF DECEMBER 31, 2007 (continued)
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | — | $ | (77,359 | ) | $ | 77,359 |
| | Class 1 | | Class 2 | ||||||
---|---|---|---|---|---|---|---|---|---|---|
0.80 | % | 1.05 | % |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | |||||||
---|---|---|---|---|---|---|---|---|---|---|
$ | 398,424,676 | $ | 274,558,941 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 290,232,447 | $ | 20,490,215 | $ | 17,089,068 | $ | 3,401,147 |
AS OF DECEMBER 31, 2007 (continued)
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
$ | 2,954,618 | $ | 5,170,581 | $ | 8,125,199 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | |||||||
$1,258,754 | $1,258,754 |
| Current Distributable Ordinary Income | | Current Distributable Long-term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 16,310,499 | $9,738,610 | $ | 3,401,147 |
JPMorgan Insurance Trust Diversified Equity Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
(Unaudited)
| Beginning Account Value, July 1, 2007 | | Ending Account Value, December 31, 2007 | | Expenses Paid During July 1, 2007 to December 31, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.10 | $3.59 | 0.71 | % | |||||||||||
Hypothetical | 1,000.00 | 1,021.63 | 3.62 | 0.71 | ||||||||||||||
Class 2 | ||||||||||||||||||
Actual | 1,000.00 | 1,005.50 | 4.85 | 0.96 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.37 | 4.89 | 0.96 |
* | 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). |
(Unaudited)
(Unaudited) (continued)
(Unaudited)
© JPMorgan Chase & Co., 2007 All rights reserved. December 2007. | AN-JPMITDEP-1207 |
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||||||
Portfolio Commentary | 2 | |||||||||
Schedule of Portfolio Investments | 4 | |||||||||
Financial Statements | 7 | |||||||||
Financial Highlights | 10 | |||||||||
Notes to Financial Statements | 12 | |||||||||
Report of Independent Registered Public Accounting Firm | 17 | |||||||||
Trustees | 18 | |||||||||
Officers | 20 | |||||||||
Schedule of Shareholder Expenses | 21 | |||||||||
Board Approval of Investment Advisory Agreement | 22 | |||||||||
Tax Letter | 25 |
JANUARY 14, 2008 (Unaudited)
“U.S. stocks encountered several roadblocks during 2007, but none were as significant as the weak housing market coupled with the sub-prime mortgage market meltdown and ensuing credit crisis.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
Portfolio Inception | August 1, 1994 | |||||
Fiscal Year End | December 31 | |||||
Net Assets as of 12/31/2007 | $150,297,586 | |||||
Primary Benchmark | Russell Midcap Growth Index |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Diversified Mid Cap Growth Portfolio, which seeks growth of capital and secondarily, current income by investing primarily in equity securities,* returned 17.24%** (Class 1 Shares) over the 12 months ended December 31, 2007, compared to the 11.43% return for the Russell Midcap Growth Index over the same period. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | The Portfolio outperformed its benchmark for the period due primarily to stock selection in the consumer discretionary, producer durables and healthcare sectors. At the individual stock level, General Cable Corp., a manufacturer and distributor of wire and cable products, contributed to performance. The company experienced strong sales from its global electrical infrastructure and electric utility businesses. GameStop Corp., a video game retailer, also helped returns. The company’s third-quarter profit nearly tripled due to increased revenues, solid same-store sales growth and strong market share. In addition, the company’s new video hardware sales more than doubled, compared to the same 13-week period a year earlier. Also aiding results was Amphenol Corp., a manufacturer of electrical and fiber optic connectors. The company lifted its annual outlook after posting strong third-quarter results, citing strong sales to the military, commercial aerospace, automotive and mobile device markets. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | Employing a bottom-up approach to stock selection, the portfolio management team focused on company fundamentals, quantitative screening and proprietary fundamental analysis. The team looked for dominant franchises, with predictable business models deemed capable of achieving sustained above-average growth. Potential investments were subjected to rigorous financial analysis and a disciplined approach to valuation. By avoiding large allocations contingent on macroeconomic or sector trends, the Portfolio maintained sector diversification. |
1. | Amphenol Corp., Class A | 2.5 | % | |||||||
2. | MasterCard, Inc., Class A | 1.7 | ||||||||
3. | Roper Industries, Inc. | 1.6 | ||||||||
4. | Time Warner Telecom, Inc., Class A | 1.6 | ||||||||
5. | Southwestern Energy Co. | 1.6 | ||||||||
6. | General Cable Corp. | 1.6 | ||||||||
7. | Forest Oil Corp. | 1.5 | ||||||||
8. | VCA Antech, Inc. | 1.5 | ||||||||
9. | ANSYS, Inc. | 1.4 | ||||||||
10. | Cabot Oil & Gas Corp. | 1.4 |
Information Technology | 21.1 | % | ||||
Consumer Discretionary | 18.0 | |||||
Industrials | 16.5 | |||||
Health Care | 14.6 | |||||
Energy | 11.5 | |||||
Financials | 8.7 | |||||
Materials | 3.3 | |||||
Telecommunication Services | 2.5 | |||||
Consumer Staples | 1.5 | |||||
Utilities | 1.1 | |||||
Short-Term Investment | 1.2 |
* | The advisor seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS 1 SHARES | 8/01/94 | 17.24 | % | 15.75 | % | 10.57 | % | |||||||||||
CLASS 2 SHARES | 8/16/06 | 16.98 | 15.67 | 10.53 |
AS OF DECEMBER 31, 2007
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 99.0% | |||||||||||
Common Stocks — 99.0% | |||||||||||
Aerospace & Defense — 2.5% | |||||||||||
12,750 | Precision Castparts Corp. | 1,768,425 | |||||||||
26,850 | Rockwell Collins, Inc. | 1,932,395 | |||||||||
3,700,820 | |||||||||||
Auto Components — 3.8% | |||||||||||
35,600 | BorgWarner, Inc. | 1,723,396 | |||||||||
117,200 | Gentex Corp. | 2,082,644 | |||||||||
38,500 | WABCO Holdings, Inc. | 1,928,465 | |||||||||
5,734,505 | |||||||||||
Biotechnology — 0.6% | |||||||||||
20,850 | Celgene Corp. (a) | 963,479 | |||||||||
Capital Markets — 6.0% | |||||||||||
12,870 | Affiliated Managers Group, Inc. (a) (c) | 1,511,710 | |||||||||
36,650 | Investment Technology Group, Inc. (a) | 1,744,174 | |||||||||
33,637 | Lazard Ltd., Class A (Bermuda) | 1,368,353 | |||||||||
14,200 | Northern Trust Corp. | 1,087,436 | |||||||||
27,500 | T. Rowe Price Group, Inc. | 1,674,200 | |||||||||
77,600 | TD AMERITRADE Holding Corp. (a) | 1,556,656 | |||||||||
8,942,529 | |||||||||||
Chemicals — 2.6% | |||||||||||
41,400 | Ecolab, Inc. | 2,120,094 | |||||||||
52,500 | Rockwood Holdings, Inc. (a) | 1,744,050 | |||||||||
3,864,144 | |||||||||||
Commercial Services & Supplies — 3.7% | |||||||||||
65,000 | Corrections Corp. of America (a) | 1,918,150 | |||||||||
33,200 | Stericycle, Inc. (a) | 1,972,080 | |||||||||
56,200 | Waste Connections, Inc. (a) | 1,736,580 | |||||||||
5,626,810 | |||||||||||
Communications Equipment — 1.1% | |||||||||||
26,500 | Harris Corp. | 1,661,020 | |||||||||
Computers & Peripherals — 0.7% | |||||||||||
42,900 | Seagate Technology (Cayman Islands) | 1,093,950 | |||||||||
Construction & Engineering — 1.5% | |||||||||||
30,800 | Quanta Services, Inc. (a) (c) | 808,192 | |||||||||
23,100 | Shaw Group, Inc. (The) (a) | 1,396,164 | |||||||||
2,204,356 | |||||||||||
Diversified Consumer Services — 1.5% | |||||||||||
19,600 | Apollo Group, Inc., Class A (a) | 1,374,940 | |||||||||
9,800 | ITT Educational Services, Inc. (a) | 835,646 | |||||||||
2,210,586 | |||||||||||
Diversified Financial Services — 1.2% | |||||||||||
54,000 | Interactive Brokers Group, Inc. (a) | 1,745,280 | |||||||||
Diversified Telecommunication Services — 1.6% | |||||||||||
121,900 | Time Warner Telecom, Inc., Class A (a) | 2,473,351 | |||||||||
Electrical Equipment — 3.8% | |||||||||||
3,400 | First Solar, Inc. (a) | 908,276 | |||||||||
32,300 | General Cable Corp. (a) | 2,366,944 | |||||||||
39,650 | Roper Industries, Inc. | 2,479,711 | |||||||||
5,754,931 | |||||||||||
Electronic Equipment & Instruments — 4.3% | |||||||||||
82,200 | Amphenol Corp., Class A | 3,811,614 | |||||||||
26,700 | Dolby Laboratories, Inc., Class A (a) | 1,327,524 | |||||||||
43,900 | Flir Systems, Inc. (a) | 1,374,070 | |||||||||
6,513,208 | |||||||||||
Energy Equipment & Services — 6.3% | |||||||||||
32,200 | Cameron International Corp. (a) | 1,549,786 | |||||||||
17,500 | Exterran Holdings, Inc. (a) | 1,431,500 | |||||||||
34,300 | Helmerich & Payne, Inc. | 1,374,401 | |||||||||
15,900 | National Oilwell Varco, Inc. (a) | 1,168,014 | |||||||||
23,900 | Noble Corp. | 1,350,589 | |||||||||
23,300 | Oceaneering International, Inc. (a) | 1,569,255 | |||||||||
19,200 | W-H Energy Services, Inc. (a) | 1,079,232 | |||||||||
9,522,777 | |||||||||||
Food & Staples Retailing — 0.7% | |||||||||||
24,600 | Whole Foods Market, Inc. (c) | 1,003,680 | |||||||||
Food Products — 0.8% | |||||||||||
21,700 | Wm. Wrigley, Jr., Co. | 1,270,535 | |||||||||
Gas Utilities — 1.0% | |||||||||||
29,100 | Questar Corp. | 1,574,310 | |||||||||
Health Care Equipment & Supplies — 3.9% | |||||||||||
13,900 | Beckman Coulter, Inc. | 1,011,920 | |||||||||
27,800 | Dentsply International, Inc. | 1,251,556 | |||||||||
28,520 | Hologic, Inc. (a) | 1,957,613 | |||||||||
26,900 | IDEXX Laboratories, Inc. (a) | 1,577,147 | |||||||||
5,798,236 | |||||||||||
Health Care Providers & Services — 5.2% | |||||||||||
20,100 | Coventry Health Care, Inc. (a) | 1,190,925 | |||||||||
30,400 | DaVita, Inc. (a) | 1,713,040 | |||||||||
15,800 | Humana, Inc. (a) | 1,189,898 | |||||||||
39,700 | Lincare Holdings, Inc. (a) | 1,395,852 | |||||||||
51,400 | VCA Antech, Inc. (a) | 2,273,422 | |||||||||
7,763,137 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Technology — 1.0% | |||||||||||
27,300 | Cerner Corp. (a) (c) | 1,539,720 | |||||||||
Hotels, Restaurants & Leisure — 2.2% | |||||||||||
71,400 | Burger King Holdings, Inc. | 2,035,614 | |||||||||
34,800 | Panera Bread Co., Class A (a) (c) | 1,246,536 | |||||||||
3,282,150 | |||||||||||
Household Durables — 1.0% | |||||||||||
15,100 | Garmin Ltd. (Cayman Islands) | 1,464,700 | |||||||||
Industrial Conglomerates — 1.1% | |||||||||||
27,200 | McDermott International, Inc. (a) | 1,605,616 | |||||||||
Insurance — 1.6% | |||||||||||
28,900 | National Financial Partners Corp. (c) | 1,318,129 | |||||||||
28,700 | Philadelphia Consolidated Holding Co. (a) | 1,129,345 | |||||||||
2,447,474 | |||||||||||
Internet Software & Services — 0.6% | |||||||||||
25,847 | DealerTrack Holdings, Inc. (a) | 865,099 | |||||||||
IT Services — 3.5% | |||||||||||
71,000 | Genpact Ltd. (Bermuda) (a) | 1,081,330 | |||||||||
12,000 | MasterCard, Inc., Class A | 2,582,400 | |||||||||
70,000 | VeriFone Holdings, Inc. (a) (c) | 1,627,500 | |||||||||
5,291,230 | |||||||||||
Life Sciences Tools & Services — 1.7% | |||||||||||
21,000 | Covance, Inc. (a) | 1,819,020 | |||||||||
12,400 | Illumina, Inc. (a) (c) | 734,824 | |||||||||
2,553,844 | |||||||||||
Machinery — 3.2% | |||||||||||
7,700 | Bucyrus International, Inc. | 765,303 | |||||||||
10,000 | Cummins, Inc. | 1,273,700 | |||||||||
22,200 | Kaydon Corp. (c) | 1,210,788 | |||||||||
38,400 | Pall Corp. | 1,548,288 | |||||||||
4,798,079 | |||||||||||
Media — 1.2% | |||||||||||
37,900 | DreamWorks Animation SKG, Inc., Class A (a) | 967,966 | |||||||||
10,800 | Morningstar, Inc. (a) (c) | 839,700 | |||||||||
1,807,666 | |||||||||||
Metals & Mining — 0.7% | |||||||||||
20,300 | Century Aluminum Co. (a) | 1,094,982 | |||||||||
Multiline Retail — 0.9% | |||||||||||
64,500 | Saks, Inc. (a) (c) | 1,339,020 | |||||||||
Office Electronics — 1.1% | |||||||||||
47,500 | Zebra Technologies Corp., Class A (a) | 1,648,250 | |||||||||
Oil, Gas & Consumable Fuels — 5.2% | |||||||||||
53,500 | Cabot Oil & Gas Corp. | 2,159,795 | |||||||||
45,200 | Forest Oil Corp. (a) | 2,297,968 | |||||||||
24,400 | SandRidge Energy, Inc. (a) (c) | 874,984 | |||||||||
43,450 | Southwestern Energy Co. (a) | 2,421,034 | |||||||||
7,753,781 | |||||||||||
Pharmaceuticals — 2.2% | |||||||||||
22,800 | Allergan, Inc. | 1,464,672 | |||||||||
26,700 | Shire plc ADR (United Kingdom) | 1,840,965 | |||||||||
3,305,637 | |||||||||||
Road & Rail — 0.8% | |||||||||||
44,000 | J.B. Hunt Transport Services, Inc. | 1,212,200 | |||||||||
Semiconductors & Semiconductor Equipment — 5.0% | |||||||||||
33,600 | Broadcom Corp., Class A (a) | 878,304 | |||||||||
24,450 | KLA-Tencor Corp. | 1,177,512 | |||||||||
23,200 | MEMC Electronic Materials, Inc. (a) | 2,052,968 | |||||||||
62,300 | NVIDIA Corp. (a) | 2,119,446 | |||||||||
31,100 | Tessera Technologies, Inc. (a) | 1,293,760 | |||||||||
7,521,990 | |||||||||||
Software — 4.8% | |||||||||||
37,350 | Amdocs Ltd. (United Kingdom) (a) | 1,287,454 | |||||||||
52,100 | ANSYS, Inc. (a) | 2,160,066 | |||||||||
31,600 | Autodesk, Inc. (a) | 1,572,416 | |||||||||
19,700 | NAVTEQ Corp. (a) | 1,489,320 | |||||||||
38,900 | Nuance Communications, Inc. (a) | 726,652 | |||||||||
7,235,908 | |||||||||||
Specialty Retail — 7.5% | |||||||||||
44,100 | AnnTaylor Stores Corp. (a) | 1,127,196 | |||||||||
49,000 | Barnes & Noble, Inc. | 1,688,050 | |||||||||
22,000 | Best Buy Co., Inc. | 1,158,300 | |||||||||
28,900 | GameStop Corp., Class A (a) | 1,794,979 | |||||||||
30,600 | J Crew Group, Inc. (a) (c) | 1,475,226 | |||||||||
60,100 | Penske Auto Group, Inc. | 1,049,346 | |||||||||
56,600 | PetSmart, Inc. | 1,331,798 | |||||||||
60,300 | Urban Outfitters, Inc. (a) | 1,643,777 | |||||||||
11,268,672 | |||||||||||
Wireless Telecommunication Services — 0.9% | |||||||||||
28,400 | Rogers Communications, Inc., Class B (Canada) | 1,285,100 | |||||||||
Total Long-Term Investments (Cost $129,546,534) | 148,742,762 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 1.1% | |||||||||||
Investment Company — 1.1% | |||||||||||
1,734,088 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m) (Cost $1,734,088) | 1,734,088 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 6.2% | |||||||||||
Certificate of Deposit — 0.9% | |||||||||||
1,400,000 | Deutsche Bank AG, New York (Germany), FRN, 4.60%, 01/22/08 | 1,400,000 | |||||||||
Corporate Notes — 3.8% | |||||||||||
1,500,000 | American Express Credit Corp., FRN, 5.04%, 01/15/08 | 1,500,000 | |||||||||
750,000 | Banque Federative du Credit Mutuel, FRN, 5.21%, 08/01/08 | 747,605 | |||||||||
1,000,000 | CDC Financial Products, Inc., FRN, 4.65%, 01/31/08 | 1,000,000 | |||||||||
1,000,000 | Monumental Global Funding, FRN, 5.07%, 05/24/10 | 995,150 | |||||||||
1,500,000 | Unicredito Italiano Bank plc (Ireland), FRN, 5.26%, 08/08/08 | 1,496,591 | |||||||||
5,739,346 | |||||||||||
Repurchase Agreements — 1.5% | |||||||||||
697,416 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $697,594, collateralized by U.S. Government Agency Mortgages | 697,416 | |||||||||
500,000 | Barclays Capital, Inc., 4.75%, dated 12/31/07, due 01/02/08, repurchase price $500,132, collateralized by U.S. Government Agency Mortgages | 500,000 | |||||||||
500,000 | Bear Stearns Cos., Inc., 4.50%, dated 12/31/07, due 01/02/08, repurchase price $500,125, collateralized by U.S. Government Agency Mortgages | 500,000 | |||||||||
500,000 | Lehman Brothers, Inc., 4.49%, dated 12/31/07, due 01/02/08, repurchase price $500,125, collateralized by U.S. Government Agency Mortgages | 500,000 | |||||||||
2,197,416 | |||||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $9,336,762) | 9,336,762 | ||||||||||
Total Investments — 106.3% (Cost $140,617,384) | 159,813,612 | ||||||||||
Liabilities in Excess of Other Assets — (6.3)% | (9,516,026 | ) | |||||||||
NET ASSETS — 100.0% | $ | 150,297,586 |
(a)— | Non-income producing security. |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. |
(c)— | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(m)— | All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
ADR— | American Depositary Receipt |
FRN— | Floating Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
AS OF DECEMBER 31, 2007
| Diversified Mid Cap Growth Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 158,079,524 | ||||
Investments in affiliates, at value | 1,734,088 | |||||
Total investment securities, at value | 159,813,612 | |||||
Cash | 10,275 | |||||
Receivables: | ||||||
Portfolio shares sold | 112,116 | |||||
Interest and dividends | 38,290 | |||||
Total Assets | 159,974,293 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Collateral for securities lending program | 9,336,762 | |||||
Portfolio shares redeemed | 155,374 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 84,225 | |||||
Administration fees | 13,264 | |||||
Distribution fees | 4 | |||||
Custodian and accounting fees | 8,249 | |||||
Trustees’ and Chief Compliance Officer’s fees | 539 | |||||
Other | 78,290 | |||||
Total Liabilities | 9,676,707 | |||||
Net Assets | $ | 150,297,586 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 108,572,728 | ||||
Accumulated undistributed (distributions in excess of) net investment income | (3,506 | ) | ||||
Accumulated net realized gains (losses) | 22,532,136 | |||||
Net unrealized appreciation (depreciation) | 19,196,228 | |||||
Total Net Assets | $ | 150,297,586 | ||||
Net Assets: | ||||||
Class 1 | $ | 150,278,599 | ||||
Class 2 | 18,987 | |||||
Total | $ | 150,297,586 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value): | ||||||
Class 1 | 7,261,786 | |||||
Class 2 | 921 | |||||
Net asset value, offering and redemption price per share: | ||||||
Class 1 | $ | 20.69 | ||||
Class 2 | 20.62 | |||||
Cost of investments in non-affiliates | $ | 138,883,296 | ||||
Cost of investments in affiliates | 1,734,088 | |||||
Market value of securities on loan | 9,078,303 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Diversified Mid Cap Growth Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Dividend income | $ | 589,133 | ||||
Dividend income from affiliates (a) | 67,607 | |||||
Income from securities lending (net) | 98,128 | |||||
Foreign taxes withheld | (1,804 | ) | ||||
Total investment income | 753,064 | |||||
EXPENSES: | ||||||
Investment advisory fees | 1,046,029 | |||||
Administration fees | 159,528 | |||||
Distribution fees — Class 2 | 45 | |||||
Custodian and accounting fees | 49,820 | |||||
Interest expense | 4,715 | |||||
Professional fees | 46,601 | |||||
Trustees’ and Chief Compliance Officer’s fees | 2,334 | |||||
Printing and mailing costs | 49,442 | |||||
Transfer agent fees | 53,543 | |||||
Other | 19,589 | |||||
Total expenses | 1,431,646 | |||||
Less amounts waived | (1,438 | ) | ||||
Less earnings credits | (59 | ) | ||||
Net expenses | 1,430,149 | |||||
Net investment income (loss) | (677,085 | ) | ||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from investments | 23,633,630 | |||||
Change in net unrealized appreciation (depreciation) of investments | 3,022,628 | |||||
Net realized/unrealized gains (losses) | 26,656,258 | |||||
Change in net assets resulting from operations | $ | 25,979,173 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Diversified Mid Cap Growth Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | (677,085 | ) | $ | (120,715 | ) | |||||
Net realized gain (loss) | 23,633,630 | 27,439,721 | |||||||||
Change in net unrealized appreciation (depreciation) | 3,022,628 | (8,286,579 | ) | ||||||||
Change in net assets resulting from operations | 25,979,173 | 19,032,427 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class 1 | |||||||||||
From net realized gains | (27,362,385 | ) | (5,397,317 | ) | |||||||
Class 2 (a) | |||||||||||
From net realized gains | (2,855 | ) | — | ||||||||
Total distributions to shareholders | (27,365,240 | ) | (5,397,317 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Change in net assets from capital transactions | (13,288,086 | ) | (33,137,300 | ) | |||||||
NET ASSETS: | |||||||||||
Change in net assets | (14,674,153 | ) | (19,502,190 | ) | |||||||
Beginning of period | 164,971,739 | 184,473,929 | |||||||||
End of period | $ | 150,297,586 | $ | 164,971,739 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (3,506 | ) | $ | (3,255 | ) | |||||
CAPITAL TRANSACTIONS: | |||||||||||
Class 1 | |||||||||||
Proceeds from shares issued | $ | 9,433,616 | $ | 11,536,714 | |||||||
Dividends and distributions reinvested | 27,362,385 | 5,397,317 | |||||||||
Cost of shares redeemed | (50,086,942 | ) | (50,086,406 | ) | |||||||
Change in net assets from Class 1 capital transactions | $ | (13,290,941 | ) | $ | (33,152,375 | ) | |||||
Class 2 (a) | |||||||||||
Proceeds from shares issued | $ | — | $ | 15,075 | |||||||
Dividends and distributions reinvested | 2,855 | — | |||||||||
Change in net assets from Class 2 capital transactions | $ | 2,855 | $ | 15,075 | |||||||
Total change in net assets from capital transactions | $ | (13,288,086 | ) | $ | (33,137,300 | ) | |||||
SHARE TRANSACTIONS: | |||||||||||
Class 1 | |||||||||||
Issued | 453,775 | 565,124 | |||||||||
Reinvested | 1,500,130 | 256,161 | |||||||||
Redeemed | (2,449,499 | ) | (2,463,347 | ) | |||||||
Change in Class 1 Shares | (495,594 | ) | (1,642,062 | ) | |||||||
Class 2 (a) | |||||||||||
Issued | — | 765 | |||||||||
Reinvested | 156 | — | |||||||||
Change in Class 2 Shares | 156 | 765 |
(a) | Commencement of offering of class of shares effective August 16, 2006. |
FOR THE PERIODS INDICATED
Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | |||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net realized gains | | Total distributions | ||||||||||||||||
Class 1 | |||||||||||||||||||||||||||
Year Ended December 31, 2007 | $ | 21.26 | $ | (0.09 | ) | $ | 3.25 | $ | 3.16 | $ | (3.73 | ) | $ | (3.73 | ) | ||||||||||||
Year Ended December 31, 2006 | 19.63 | (0.02 | ) | 2.25 | 2.23 | (0.60 | ) | (0.60 | ) | ||||||||||||||||||
Year Ended December 31, 2005 | 17.67 | (0.07 | ) | 2.03 | 1.96 | — | — | ||||||||||||||||||||
Year Ended December 31, 2004 | 15.69 | (0.06 | ) | 2.04 | 1.98 | — | — | ||||||||||||||||||||
Year Ended December 31, 2003 | 12.34 | (0.04 | ) | 3.39 | 3.35 | — | — | ||||||||||||||||||||
Class 2 | |||||||||||||||||||||||||||
Year Ended December 31, 2007 | 21.24 | (0.13 | ) | 3.24 | 3.11 | (3.73 | ) | (3.73 | ) | ||||||||||||||||||
August 16, 2006 (d) through December 31, 2006 | 19.71 | (0.05 | ) | 1.58 | 1.53 | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Commencement of offering of class of shares |
| Ratios/Supplemental data | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | | Total return (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate | ||||||||||||||
$20.69 | 17.24 | % | $ | 150,279 | 0.89 | % | (0.42 | )% | 0.89 | % | 107 | % | ||||||||||||||
21.26 | 11.39 | 164,955 | 0.91 | (0.07 | ) | 0.92 | 115 | |||||||||||||||||||
19.63 | 11.09 | 184,474 | 0.88 | (0.36 | ) | 0.88 | 113 | |||||||||||||||||||
17.67 | 12.62 | 196,842 | 0.85 | (0.35 | ) | 0.86 | 74 | |||||||||||||||||||
15.69 | 27.15 | 195,606 | 0.84 | (0.27 | ) | 0.86 | 69 | |||||||||||||||||||
20.62 | 16.98 | 19 | 1.14 | (0.67 | ) | 1.14 | 107 | |||||||||||||||||||
21.24 | 7.76 | 16 | 1.15 | (0.60 | ) | 1.19 | 115 |
AS OF DECEMBER 31, 2007
| Classes Offered | |||||
---|---|---|---|---|---|---|
Diversified Mid Cap Growth Portfolio | Class 1 and Class 2 |
borrower fee to the lending agent on behalf of the Portfolio. The net income earned on the securities lending (after payment of rebates and the lending agent’s fee) is included in the Statement of Operations as Income from securities lending (net). Information on the investment of cash collateral is shown in the Schedule of Portfolio Investments.
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 9,078,303 | $ | 9,336,762 | $ | 9,797 |
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | — | $ | 676,834 | $ | (676,834 | ) |
AS OF DECEMBER 31, 2007 (continued)
| Class 1 | | Class 2 | |||||||
---|---|---|---|---|---|---|---|---|---|---|
0.90 | % | 1.15 | % |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | |||||||
---|---|---|---|---|---|---|---|---|---|---|
$ | 170,493,185 | $ | 212,062,868 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 140,801,080 | $ | 23,049,752 | $ | 4,037,220 | $ | 19,012,532 |
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
$ | 3,919,791 | $ | 23,445,449 | $ | 27,365,240 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | |||||||
$5,397,317 | $5,397,317 |
AS OF DECEMBER 31, 2007 (continued)
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 9,246,371 | $13,469,465 | $ | 19,012,532 |
JPMorgan Insurance Trust Diversified Mid Cap Growth Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
(Unaudited)
| Beginning Account Value, July 1, 2007 | | Ending Account Value, December 31, 2007 | | Expenses Paid During July 1, 2007 to December 31, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 | ||||||||||||||||||
Actual | $1,000.00 | $1,048.10 | $4.59 | 0.89 | % | |||||||||||||
Hypothetical | 1,000.00 | 1,020.72 | 4.53 | 0.89 | ||||||||||||||
Class 2 | ||||||||||||||||||
Actual | 1,000.00 | 1,047.20 | 5.88 | 1.14 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.46 | 5.80 | 1.14 |
* | 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). |
(Unaudited)
(Unaudited) (continued)
(Unaudited)
© JPMorgan Chase & Co., 2007 All rights reserved. December 2007. | AN-JPMITDMCGP-1207 |
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||
Portfolio Commentary | 2 | |||||
Schedule of Portfolio Investments | 4 | |||||
Financial Statements | 7 | |||||
Financial Highlights | 10 | |||||
Notes to Financial Statements | 12 | |||||
Report of Independent Registered Public Accounting Firm | 17 | |||||
Trustees | 18 | |||||
Officers | 20 | |||||
Schedule of Shareholder Expenses | 21 | |||||
Board Approval of Investment Advisory Agreement | 22 | |||||
Tax Letter | 25 |
JANUARY 14, 2008 (Unaudited)
“U.S. stocks encountered several roadblocks during 2007, but none were as significant as the weak housing market coupled with the sub-prime mortgage market meltdown and ensuing credit crisis.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
Portfolio Inception | May 1, 1997 | |||||
Fiscal Year End | December 31 | |||||
Net Assets as of 12/31/2007 | $52,236,582 | |||||
Primary Benchmark | Russell Midcap Value Index |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio, which seeks capital appreciation with the secondary goal of achieving current income by investing primarily in equity securities,* returned 0.92%** (Class 1 Shares) over the 12 months ended December 31, 2007, compared to the –1.42% return for the Russell Midcap Value Index over the same period. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | The Portfolio outperformed its benchmark for the period due primarily to stock selection in the financial and consumer discretionary sectors. At the individual stock level, Devon Energy Corp., an oil and gas exploration and production company, contributed to performance. The company reported impressive results throughout the year, citing increased production and higher margins for natural gas liquids. Alliant Technology, a technology infrastructure service provider, also helped returns. The company’s shares were boosted by strong sales of its ammunition, military technology and space equipment. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | The portfolio management team employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals, quantitative screening and proprietary fundamental analysis. The team looked for undervalued companies that had the potential to grow intrinsic value per share. The research process was designed in an effort to find quality companies that generally have a sustainable competitive position, low business cyclicality, high returns on invested capital and strong management. Potential investments were subjected to rigorous financial analysis and a disciplined approach to valuation. |
1. | Synovus Financial Corp. | 1.7 | % | |||||||
2. | Devon Energy Corp. | 1.4 | ||||||||
3. | PG&E Corp. | 1.4 | ||||||||
4. | AutoZone, Inc. | 1.4 | ||||||||
5. | American Electric Power Co., Inc. | 1.3 | ||||||||
6. | V.F. Corp. | 1.3 | ||||||||
7. | Loews Corp. | 1.3 | ||||||||
8. | Spirit Aerosystems Holdings, Inc., Class A | 1.3 | ||||||||
9. | Brown-Forman Corp., Class B | 1.3 | ||||||||
10. | CMS Energy Corp. | 1.2 |
Financials | 23.6 | % | ||||
Consumer Discretionary | 20.5 | |||||
Utilities | 12.0 | |||||
Industrials | 9.0 | |||||
Consumer Staples | 8.5 | |||||
Energy | 7.8 | |||||
Materials | 5.7 | |||||
Information Technology | 4.5 | |||||
Health Care | 4.0 | |||||
Telecommunication Services | 2.5 | |||||
Short-Term Investment | 1.9 |
* | The advisor seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
DIVERSIFIED MID CAP VALUE PORTFOLIO | 5/1/97 | 0.92 | % | 14.64 | % | 8.18 | % |
AS OF DECEMBER 31, 2007
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 97.8% | |||||||||||
Common Stocks — 97.8% | |||||||||||
Aerospace & Defense — 2.5% | |||||||||||
5,550 | Alliant Techsystems, Inc. (a) (c) | 631,368 | |||||||||
19,550 | Spirit Aerosystems Holdings, Inc., Class A (a) | 674,475 | |||||||||
1,305,843 | |||||||||||
Auto Components — 0.6% | |||||||||||
6,500 | WABCO Holdings, Inc. | 325,585 | |||||||||
Beverages — 2.6% | |||||||||||
8,870 | Brown-Forman Corp., Class B | 657,356 | |||||||||
12,780 | Constellation Brands, Inc., Class A (a) | 302,119 | |||||||||
11,000 | Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 419,870 | |||||||||
1,379,345 | |||||||||||
Building Products — 0.6% | |||||||||||
16,420 | Owens Corning, Inc. (a) | 332,012 | |||||||||
Capital Markets — 2.7% | |||||||||||
2,550 | Affiliated Managers Group, Inc. (a) (c) | 299,523 | |||||||||
3,520 | Bear Stearns Cos., Inc. (The) | 310,640 | |||||||||
8,700 | Charles Schwab Corp. (The) | 222,285 | |||||||||
3,900 | Northern Trust Corp. | 298,662 | |||||||||
4,800 | T. Rowe Price Group, Inc. | 292,224 | |||||||||
1,423,334 | |||||||||||
Chemicals — 3.7% | |||||||||||
10,844 | Albemarle Corp. | 447,315 | |||||||||
5,800 | Lubrizol Corp. | 314,128 | |||||||||
6,050 | PPG Industries, Inc. | 424,891 | |||||||||
5,900 | Rohm & Haas Co. | 313,113 | |||||||||
7,650 | Sigma-Aldrich Corp. | 417,690 | |||||||||
1,917,137 | |||||||||||
Commercial Banks — 5.0% | |||||||||||
5,600 | City National Corp. (c) | 333,480 | |||||||||
7,950 | Cullen/Frost Bankers, Inc. | 402,747 | |||||||||
6,400 | East West Bancorp, Inc. | 155,072 | |||||||||
5,350 | M&T Bank Corp. | 436,399 | |||||||||
36,650 | Synovus Financial Corp. | 882,532 | |||||||||
17,780 | United Community Banks, Inc. (c) | 280,924 | |||||||||
2,900 | Zions Bancorp | 135,401 | |||||||||
2,626,555 | |||||||||||
Commercial Services & Supplies — 0.6% | |||||||||||
10,900 | Republic Services, Inc. | 341,715 | |||||||||
Computers & Peripherals — 0.8% | |||||||||||
16,050 | NCR Corp. (a) | 402,855 | |||||||||
Construction Materials — 0.8% | |||||||||||
7,200 | Cemex S.A.B. de C.V. ADR (Mexico) (a) | 186,120 | |||||||||
2,850 | Vulcan Materials Co. | 225,407 | |||||||||
411,527 | |||||||||||
Containers & Packaging — 0.9% | |||||||||||
6,830 | Ball Corp. | 307,350 | |||||||||
7,300 | Temple-Inland, Inc. | 152,205 | |||||||||
459,555 | |||||||||||
Distributors — 0.8% | |||||||||||
8,600 | Genuine Parts Co. | 398,180 | |||||||||
Diversified Financial Services — 0.1% | |||||||||||
2,433 | Guaranty Financial Group, Inc. (a) | 38,933 | |||||||||
Diversified Telecommunication Services — 2.1% | |||||||||||
6,250 | CenturyTel, Inc. | 259,125 | |||||||||
52,320 | Qwest Communications International, Inc. (a) | 366,763 | |||||||||
34,969 | Windstream Corp. | 455,297 | |||||||||
1,081,185 | |||||||||||
Electric Utilities — 4.4% | |||||||||||
14,680 | American Electric Power Co., Inc. | 683,501 | |||||||||
9,440 | Edison International | 503,813 | |||||||||
7,560 | FirstEnergy Corp. | 546,890 | |||||||||
20,900 | Westar Energy, Inc. | 542,146 | |||||||||
2,276,350 | |||||||||||
Electrical Equipment — 0.8% | |||||||||||
9,190 | Ametek, Inc. | 430,460 | |||||||||
Electronic Equipment & Instruments — 1.7% | |||||||||||
6,600 | Amphenol Corp., Class A | 306,042 | |||||||||
15,050 | Arrow Electronics, Inc. (a) | 591,164 | |||||||||
897,206 | |||||||||||
Energy Equipment & Services — 1.3% | |||||||||||
11,500 | Helix Energy Solutions Group, Inc. (a) | 477,250 | |||||||||
4,450 | Unit Corp. (a) | 205,813 | |||||||||
683,063 | |||||||||||
Food & Staples Retailing — 2.7% | |||||||||||
9,500 | Great Atlantic & Pacific Tea Co., Inc. (a) (c) | 297,635 | |||||||||
17,800 | Safeway, Inc. | 608,938 | |||||||||
13,400 | SUPERVALU, Inc. | 502,768 | |||||||||
1,409,341 | |||||||||||
Food Products — 1.6% | |||||||||||
10,200 | Archer-Daniels-Midland Co. | 473,586 | |||||||||
8,100 | Dean Foods Co. | 209,466 | |||||||||
2,380 | Wm. Wrigley, Jr., Co. | 139,349 | |||||||||
822,401 | |||||||||||
Gas Utilities — 3.2% | |||||||||||
8,000 | Energen Corp. | 513,840 | |||||||||
10,200 | ONEOK, Inc. | 456,654 | |||||||||
5,600 | Questar Corp. | 302,960 | |||||||||
14,700 | UGI Corp. | 400,575 | |||||||||
1,674,029 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Equipment & Supplies — 0.3% | |||||||||||
2,350 | Beckman Coulter, Inc. | 171,080 | |||||||||
Health Care Providers & Services — 2.4% | |||||||||||
8,900 | Community Health Systems, Inc. (a) | 328,054 | |||||||||
8,240 | Coventry Health Care, Inc. (a) | 488,220 | |||||||||
2,503 | Henry Schein, Inc. (a) | 153,684 | |||||||||
8,280 | Lincare Holdings, Inc. (a) | 291,125 | |||||||||
1,261,083 | |||||||||||
Hotels, Restaurants & Leisure — 3.0% | |||||||||||
14,750 | Burger King Holdings, Inc. | 420,523 | |||||||||
17,450 | Marriott International, Inc., Class A | 596,441 | |||||||||
300 | MGM Mirage (a) | 25,206 | |||||||||
9,850 | Vail Resorts, Inc. (a) (c) | 530,028 | |||||||||
1,572,198 | |||||||||||
Household Durables — 1.8% | |||||||||||
8,400 | Fortune Brands, Inc. | 607,824 | |||||||||
14,350 | Jarden Corp. (a) | 338,804 | |||||||||
946,628 | |||||||||||
Household Products — 0.7% | |||||||||||
5,900 | Clorox Co. | 384,503 | |||||||||
Industrial Conglomerates — 0.7% | |||||||||||
9,310 | Carlisle Cos., Inc. | 344,749 | |||||||||
Insurance — 9.4% | |||||||||||
2,150 | AMBAC Financial Group, Inc. (c) | 55,405 | |||||||||
9,100 | Assurant, Inc. (c) | 608,790 | |||||||||
13,796 | Cincinnati Financial Corp. | 545,494 | |||||||||
4,100 | Everest Re Group Ltd. (Bermuda) | 411,640 | |||||||||
5,550 | IPC Holdings Ltd. (Bermuda) | 160,228 | |||||||||
13,500 | Loews Corp. | 679,590 | |||||||||
41,112 | Old Republic International Corp. | 633,536 | |||||||||
20,800 | OneBeacon Insurance Group Ltd. | 447,200 | |||||||||
6,240 | Principal Financial Group, Inc. | 429,562 | |||||||||
7,400 | ProAssurance Corp. (a) (c) | 406,408 | |||||||||
5,100 | Protective Life Corp. | 209,202 | |||||||||
10,800 | W.R. Berkley Corp. | 321,948 | |||||||||
4,909,003 | |||||||||||
IT Services — 1.0% | |||||||||||
8,022 | Fidelity National Information Services, Inc. | 333,635 | |||||||||
7,900 | Western Union Co. (The) | 191,812 | |||||||||
525,447 | |||||||||||
Leisure Equipment & Products — 0.5% | |||||||||||
12,900 | Mattel, Inc. | �� | 245,616 | ||||||||
Machinery — 3.2% | |||||||||||
10,330 | Dover Corp. | 476,110 | |||||||||
4,500 | Harsco Corp. | 288,315 | |||||||||
3,100 | Joy Global, Inc. | 204,042 | |||||||||
6,800 | Kennametal, Inc. | 257,448 | |||||||||
9,300 | Oshkosh Truck Corp. | 439,518 | |||||||||
1,665,433 | |||||||||||
Media — 3.9% | |||||||||||
13,000 | Cablevision Systems Corp., Class A (a) | 318,500 | |||||||||
11,780 | Clear Channel Communications, Inc. | 406,646 | |||||||||
10,537 | Clear Channel Outdoor Holdings, Inc., Class A (a) (c) | 291,453 | |||||||||
9,460 | Grupo Televisa S.A. ADR (Mexico) | 224,864 | |||||||||
5,200 | Lamar Advertising Co., Class A | 249,964 | |||||||||
6,500 | Omnicom Group, Inc. | 308,945 | |||||||||
330 | Washington Post Co. (The), Class B | 261,172 | |||||||||
2,061,544 | |||||||||||
Metals & Mining — 0.4% | |||||||||||
2,500 | Carpenter Technology Corp. | 187,925 | |||||||||
Multi-Utilities — 4.4% | |||||||||||
36,600 | CMS Energy Corp. (c) | 636,108 | |||||||||
9,830 | MDU Resources Group, Inc. | 271,406 | |||||||||
8,300 | NSTAR | 300,626 | |||||||||
16,500 | PG&E Corp. | 710,985 | |||||||||
16,000 | Xcel Energy, Inc. | 361,120 | |||||||||
2,280,245 | |||||||||||
Oil, Gas & Consumable Fuels — 6.4% | |||||||||||
5,800 | CVR Energy, Inc. (a) | 144,652 | |||||||||
8,124 | Devon Energy Corp. | 722,305 | |||||||||
6,283 | Kinder Morgan Management LLC (a) | 332,622 | |||||||||
5,700 | Murphy Oil Corp. | 483,588 | |||||||||
5,950 | Newfield Exploration Co. (a) | 313,565 | |||||||||
8,700 | Penn Virginia Corp. | 379,581 | |||||||||
9,600 | Teekay Corp. (Bahamas) (c) | 510,816 | |||||||||
13,300 | Williams Cos., Inc. | 475,874 | |||||||||
3,363,003 | |||||||||||
Pharmaceuticals — 1.3% | |||||||||||
18,600 | Biovail Corp. (Canada) | 250,356 | |||||||||
22,900 | Warner Chilcott Ltd. (Bermuda), Class A (a) (c) | 406,017 | |||||||||
656,373 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Real Estate Investment Trusts (REITs) — 3.4% | |||||||||||
8,250 | Cousins Properties, Inc. (c) | 182,325 | |||||||||
12,400 | Host Hotels & Resorts, Inc. | 211,296 | |||||||||
4,650 | Kimco Realty Corp. | 169,260 | |||||||||
7,050 | PS Business Parks, Inc., Class A | 370,478 | |||||||||
2,840 | Public Storage | 208,484 | |||||||||
6,150 | Rayonier, Inc. (c) | 290,526 | |||||||||
3,840 | Vornado Realty Trust | 337,728 | |||||||||
1,770,097 | |||||||||||
Real Estate Management & Development — 1.1% | |||||||||||
21,300 | Brookfield Properties Corp. (Canada) | 410,025 | |||||||||
2,350 | Forest City Enterprises, Inc., Class A | 104,434 | |||||||||
2,433 | Forestar Real Estate Group, Inc. (a) | 57,402 | |||||||||
571,861 | |||||||||||
Road & Rail — 0.5% | |||||||||||
5,100 | Norfolk Southern Corp. | 257,244 | |||||||||
Software — 1.0% | |||||||||||
6,000 | Jack Henry & Associates, Inc. | 146,040 | |||||||||
23,150 | Symantec Corp. (a) | 373,641 | |||||||||
519,681 | |||||||||||
Specialty Retail — 6.6% | |||||||||||
4,900 | Abercrombie & Fitch Co., Class A | 391,853 | |||||||||
5,900 | AutoZone, Inc. (a) | 707,469 | |||||||||
4,900 | Bed Bath & Beyond, Inc. (a) | 144,011 | |||||||||
15,500 | Limited Brands, Inc. | 293,415 | |||||||||
6,960 | Sherwin-Williams Co. (The) (c) | 403,959 | |||||||||
25,860 | Staples, Inc. | 596,590 | |||||||||
9,440 | Tiffany & Co. | 434,523 | |||||||||
17,000 | TJX Cos., Inc. | 488,410 | |||||||||
3,460,230 | |||||||||||
Textiles, Apparel & Luxury Goods — 3.1% | |||||||||||
14,000 | Coach, Inc. (a) | 428,120 | |||||||||
6,050 | Columbia Sportswear Co. (c) | 266,744 | |||||||||
7,100 | Phillips-Van Heusen Corp. | 261,706 | |||||||||
9,950 | V.F. Corp. | 683,167 | |||||||||
1,639,737 | |||||||||||
Thrifts & Mortgage Finance — 1.9% | |||||||||||
6,200 | FirstFed Financial Corp. (a) (c) | 222,084 | |||||||||
17,800 | Hudson City Bancorp, Inc. | 267,356 | |||||||||
27,300 | People’s United Financial, Inc. | 485,940 | |||||||||
975,380 | |||||||||||
Tobacco — 0.8% | |||||||||||
4,900 | Loews Corp. — Carolina Group | 417,970 | |||||||||
Wireless Telecommunication Services — 0.5% | |||||||||||
4,300 | Telephone & Data Systems, Inc. Class S | 247,680 | |||||||||
Total Long-Term Investments (Cost $49,491,840) | 51,071,321 | ||||||||||
Short-Term Investment — 1.9% | |||||||||||
Investment Company — 1.9% | |||||||||||
988,194 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m) (Cost $988,194) | 988,194 | |||||||||
PRINCIPAL AMOUNT($) | |||||||||||
Investments of Cash Collateral for Securities on Loan — 5.6% | |||||||||||
Corporate Notes — 3.8% | |||||||||||
1,000,000 | American Express Credit Corp., FRN, 5.04%, 01/15/08 | 1,000,000 | |||||||||
1,000,000 | Unicredito Italiano Bank plc, FRN, 5.26%, 08/08/08 | 997,727 | |||||||||
1,997,727 | |||||||||||
Repurchase Agreements — 1.8% | |||||||||||
439,567 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $439,680, collateralized by U.S. Government Agency Mortgages | 439,567 | |||||||||
500,000 | Barclays Capital, 4.75%, dated 12/31/07, due 01/02/08, repurchase price $500,132, collateralized by U.S. Government Agency Mortgages | 500,000 | |||||||||
939,567 | |||||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $2,937,294) | 2,937,294 | ||||||||||
Total Investments — 105.3% (Cost $53,417,328) | 54,996,809 | ||||||||||
Liabilities in Excess of Other Assets — (5.3)% | (2,760,227 | ) | |||||||||
NET ASSETS — 100.0% | $ | 52,236,582 |
(a)— | Non-income producing security. |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. |
(c)— | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(m)— | All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities and reverse repurchase agreements. |
ADR— | American Depositary Receipt |
FRN— | Floating Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
AS OF DECEMBER 31, 2007
| Diversified Mid Cap Value Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 54,008,615 | ||||
Investments in affiliates, at value | 988,194 | |||||
Total investment securities, at value | 54,996,809 | |||||
Cash | 2,483 | |||||
Receivables: | ||||||
Investment securities sold | 106,312 | |||||
Portfolio shares sold | 192,758 | |||||
Interest and dividends | 75,948 | |||||
Total Assets | 55,374,310 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Investment securities purchased | 68,231 | |||||
Collateral for securities lending program | 2,937,294 | |||||
Portfolio shares redeemed | 15,542 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 20,616 | |||||
Administration fees | 4,181 | |||||
Custodian and accounting fees | 10,087 | |||||
Trustees’ and Chief Compliance Officer’s fees | 732 | |||||
Other | 81,045 | |||||
Total Liabilities | 3,137,728 | |||||
Net Assets | $ | 52,236,582 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 40,675,400 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 614,776 | |||||
Accumulated net realized gains (losses) | 9,366,925 | |||||
Net unrealized appreciation (depreciation) | 1,579,481 | |||||
Total Net Assets | $ | 52,236,582 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value) | 5,787,987 | |||||
Net asset value, offering and redemption price per share | $ | 9.03 | ||||
Cost of investments in non-affiliates | $ | 52,429,134 | ||||
Cost of investments in affiliates | 988,194 | |||||
Market value of securities on loan | 2,873,800 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Diversified Mid Cap Value Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Dividend income | $ | 1,148,028 | ||||
Dividend income from affiliates (a) | 50,765 | |||||
Income from securities lending (net) | 24,111 | |||||
Foreign taxes withheld | (5,335 | ) | ||||
Total investment income | 1,217,569 | |||||
EXPENSES: | ||||||
Investment advisory fees | 411,816 | |||||
Administration fees | 62,853 | |||||
Custodian and accounting fees | 52,435 | |||||
Interest expense | 690 | |||||
Professional fees | 44,726 | |||||
Trustees’ and Chief Compliance Officer’s fees | 941 | |||||
Printing and mailing costs | 80,745 | |||||
Transfer agent fees | 3,673 | |||||
Other | 12,498 | |||||
Total expenses | 670,377 | |||||
Less amounts waived | (99,196 | ) | ||||
Less earnings credits | (284 | ) | ||||
Net expenses | 570,897 | |||||
Net investment income (loss) | 646,672 | |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from investments | 9,494,179 | |||||
Change in net unrealized appreciation (depreciation) of investments | (8,410,792 | ) | ||||
Net realized/unrealized gains (losses) | 1,083,387 | |||||
Change in net assets resulting from operations | $ | 1,730,059 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Diversified Mid Cap Value Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 646,672 | $ | 1,317,434 | |||||||
Net realized gain (loss) | 9,494,179 | 30,214,814 | |||||||||
Change in net unrealized appreciation (depreciation) | (8,410,792 | ) | (7,777,329 | ) | |||||||
Change in net assets resulting from operations | 1,730,059 | 23,754,919 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
From net investment income | (1,272,339 | ) | (1,830,573 | ) | |||||||
From net realized gains | (30,228,688 | ) | (23,354,076 | ) | |||||||
Total distributions to shareholders | (31,501,027 | ) | (25,184,649 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Proceeds from shares issued | 2,735,771 | 30,251,933 | |||||||||
Dividends and distributions reinvested | 31,501,027 | 25,184,649 | |||||||||
Cost of shares redeemed | (33,790,544 | ) | (186,962,795 | ) | |||||||
Change in net assets from capital transactions | 446,254 | (131,526,213 | ) | ||||||||
NET ASSETS: | |||||||||||
Change in net assets | (29,324,714 | ) | (132,955,943 | ) | |||||||
Beginning of period | 81,561,296 | 214,517,239 | |||||||||
End of period | $ | 52,236,582 | $ | 81,561,296 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 614,776 | $ | 1,268,704 | |||||||
SHARE TRANSACTIONS: | |||||||||||
Issued | 242,298 | 1,893,161 | |||||||||
Reinvested | 3,398,165 | 1,663,451 | |||||||||
Redeemed | (2,758,021 | ) | (12,139,215 | ) | |||||||
Change in shares | 882,442 | (8,582,603 | ) |
FOR THE PERIODS INDICATED
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Total distributions | ||||||||||||||||||
Diversified Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||
Year Ended December 31, 2007 | $ | 16.63 | $ | 0.18 | $ | 0.20 | $ | 0.38 | $ | (0.32 | ) | $ | (7.66 | ) | $ | (7.98 | ) | ||||||||||||||
Year Ended December 31, 2006 | 15.90 | 0.26 | 2.23 | 2.49 | (0.13 | ) | (1.63 | ) | (1.76 | ) | |||||||||||||||||||||
Year Ended December 31, 2005 | 15.82 | 0.14 | 1.29 | 1.43 | (0.11 | ) | (1.24 | ) | (1.35 | ) | |||||||||||||||||||||
Year Ended December 31, 2004 | 13.78 | 0.11 | 2.00 | 2.11 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
Year Ended December 31, 2003 | 10.45 | 0.07 | 3.33 | 3.40 | (0.07 | ) | — | (0.07 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| Ratios/Supplemental data | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (a) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate | |||||||||||||||
$ 9.03 | 1.03 | % | $ | 52,237 | 0.90 | % | 1.02 | % | 1.06 | % | 65 | % | |||||||||||||||
16.63 | 16.72 | 81,561 | 0.93 | 0.91 | 0.98 | 51 | |||||||||||||||||||||
15.90 | 9.75 | 214,517 | 0.94 | 1.05 | 0.94 | 55 | |||||||||||||||||||||
15.82 | 15.40 | 138,171 | 0.92 | 0.81 | 0.93 | 75 | |||||||||||||||||||||
13.78 | 32.75 | 112,372 | 0.93 | 0.65 | 0.97 | 54 |
AS OF DECEMBER 31, 2007
| Class Offered | |||||
---|---|---|---|---|---|---|
Diversified Mid Cap Value Portfolio | Class 1 |
the lending agent’s fee) is included in the Statement of Operations as Income from securities lending (net). Information on the investment of cash collateral is shown in the Schedule of Portfolio Investments.
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 2,873,800 | $ | 2,937,294 | $ | 2,433 |
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | — | $ | (28,261 | ) | $ | 28,261 |
AS OF DECEMBER 31, 2007 (continued)
| | Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 41,048,120 | $ | 71,736,032 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 53,535,998 | $ | 5,298,159 | $ | 3,837,348 | $ | 1,460,811 |
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
$ | 10,847,654 | $ | 20,653,373 | $ | 31,501,027 |
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
$ | 7,108,137 | $ | 18,076,512 | $ | 25,184,649 |
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 2,332,708 | $7,771,385 | $ | 1,460,811 |
AS OF DECEMBER 31, 2007 (continued)
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
(Unaudited)
| Beginning Account Value, July 1, 2007 | | Ending Account Value, December 31, 2007 | | Expenses Paid During July 1, 2007 to December 31, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 | ||||||||||||||||||
Actual | $1,000.00 | $935.80 | $4.39 | 0.90 | % | |||||||||||||
Hypothetical | 1,000.00 | 1,020.67 | 4.58 | 0.90 |
* | 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). |
(Unaudited)
(Unaudited) (continued)
rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee rate and the administration fee. The Trustees also considered the fee waiver and/or expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking waivers and reimbursements into account. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The attention that was given to the Lipper reports and the Trustees’ determination as a result of the review of the Portfolio’s advisory fees and expense ratios is summarized below:
(Unaudited)
© JPMorgan Chase & Co., 2007 All rights reserved. December 2007. | AN-JPMITDMCVP-1207 |
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||
Portfolio Commentary | 2 | |||||
Schedule of Portfolio Investments | 4 | |||||
Financial Statements | 13 | |||||
Financial Highlights | 16 | |||||
Notes to Financial Statements | 18 | |||||
Report of Independent Registered Public Accounting Firm | 23 | |||||
Trustees | 24 | |||||
Officers | 26 | |||||
Schedule of Shareholder Expenses | 27 | |||||
Board Approval of Investment Advisory Agreement | 28 | |||||
Tax Letter | 31 |
JANUARY 14, 2008 (Unaudited)
“U.S. stocks encountered several roadblocks during 2007, but none were as significant as the weak housing market coupled with the sub-prime mortgage market meltdown and ensuing credit crisis.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
PORTFOLIO FACTS | | |||||
---|---|---|---|---|---|---|
Portfolio Inception | May 1, 1998 | |||||
Fiscal Year End | December 31 | |||||
Net Assets as of 12/31/2007 | $132,032,146 | |||||
Primary Benchmark | S&P 500 Index |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Equity Index Portfolio, which seeks investment results that correspond to the aggregate price and dividend performance of securities in the S&P 500 Index,* returned 5.10%** (Class 1 Shares) for the 12 months ended December 31, 2007, compared with 5.49% for the S&P 500 Index during the same period. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | Consistent with its indexing strategy, the Portfolio met its objective by producing returns comparable to that of its benchmark. In 2007, U.S. large-cap equities provided investors with positive — yet far from impressive — returns. Key themes driving the market included weakness in the housing market, bad mortgages and global credit tightening. One positive note in the first half of the year was merger and acquisition activity, which had a broad-based sector impact. However this activity cooled considerably during the second half of 2007, due in part to reduced financing for leveraged deals. Another key theme that affected the overall market in the last six months was the Federal Reserve’s response to the economic environment. The fed funds target rate was cut on three occasions, to end the year at 4.25%. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | Regardless of the market outlook, the Portfolio is managed in strict conformity with its full replication index strategy, which holds the same stocks in the same proportions as its benchmark. The Portfolio seeks to always be nearly 100% invested by using exchange-traded funds and index futures contracts at the margin to invest and divest daily cash flows. To lessen their impact on performance, the transaction costs for the strategy’s implementation are minimized. In addition, through securities lending, there is potential for additional income generation. |
1. | Exxon Mobil Corp. | 4.0 | % | |||||
2. | General Electric Co. | 2.9 | ||||||
3. | Microsoft Corp. | 2.2 | ||||||
4. | AT&T, Inc. | 1.9 | ||||||
5. | Procter & Gamble Co. | 1.8 | ||||||
6. | Chevron Corp. | 1.5 | ||||||
7. | Johnson & Johnson | 1.5 | ||||||
8. | Bank of America Corp. | 1.4 | ||||||
9. | Apple, Inc. | 1.3 | ||||||
10. | Cisco Systems, Inc. | 1.3 |
Financials | 17.5 | % | ||||
Information Technology | 16.6 | |||||
Energy | 12.8 | |||||
Healthcare | 11.9 | |||||
Industrials | 11.5 | |||||
Consumer Staples | 10.2 | |||||
Consumer Discretionary | 8.5 | |||||
Telecommunication Services | 3.6 | |||||
Utilities | 3.6 | |||||
Materials | 3.3 | |||||
Short-Term Investments | 0.5 |
* | “S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor, and is in no way affiliated with the Portfolio. The advisor seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. | |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. | |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EQUITY INDEX PORTFOLIO | 5/01/98 | 5.10% | 12.34% | 4.09% |
AS OF DECEMBER 31, 2007
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 99.5% | |||||||||||
Common Stocks — 99.5% | |||||||||||
Aerospace & Defense — 2.8% | |||||||||||
7,907 | Boeing Co. | 691,546 | |||||||||
4,105 | General Dynamics Corp. | 365,304 | |||||||||
1,274 | Goodrich Corp. | 89,957 | |||||||||
7,618 | Honeywell International, Inc. | 469,040 | |||||||||
1,283 | L-3 Communications Holdings, Inc. | 135,921 | |||||||||
3,540 | Lockheed Martin Corp. | 372,621 | |||||||||
3,452 | Northrop Grumman Corp. | 271,465 | |||||||||
1,409 | Precision Castparts Corp. | 195,428 | |||||||||
4,379 | Raytheon Co. | 265,805 | |||||||||
1,662 | Rockwell Collins, Inc. | 119,614 | |||||||||
10,084 | United Technologies Corp. | 771,830 | |||||||||
3,748,531 | |||||||||||
Air Freight & Logistics — 0.9% | |||||||||||
1,732 | CH Robinson Worldwide, Inc. | 93,736 | |||||||||
2,174 | Expeditors International of Washington, Inc. | 97,134 | |||||||||
3,155 | FedEx Corp. | 281,331 | |||||||||
10,720 | United Parcel Service, Inc., Class B | 758,119 | |||||||||
1,230,320 | |||||||||||
Airlines — 0.1% | |||||||||||
7,488 | Southwest Airlines Co. | 91,354 | |||||||||
Auto Components — 0.2% | |||||||||||
2,447 | Goodyear Tire & Rubber Co. (The) (a) | 69,055 | |||||||||
6,058 | Johnson Controls, Inc. | 218,330 | |||||||||
287,385 | |||||||||||
Automobiles — 0.3% | |||||||||||
21,527 | Ford Motor Co. (a) | 144,876 | |||||||||
5,774 | General Motors Corp. (c) | 143,715 | |||||||||
2,463 | Harley-Davidson, Inc. | 115,047 | |||||||||
403,638 | |||||||||||
Beverages — 2.4% | |||||||||||
7,486 | Anheuser-Busch Cos., Inc. | 391,817 | |||||||||
881 | Brown-Forman Corp., Class B | 65,291 | |||||||||
20,274 | Coca-Cola Co. (The) | 1,244,215 | |||||||||
2,919 | Coca-Cola Enterprises, Inc. | 75,982 | |||||||||
1,978 | Constellation Brands, Inc., Class A (a) | 46,760 | |||||||||
1,394 | Molson Coors Brewing Co., Class B | 71,958 | |||||||||
1,415 | Pepsi Bottling Group, Inc. | 55,836 | |||||||||
16,421 | PepsiCo, Inc. | 1,246,354 | |||||||||
3,198,213 | |||||||||||
Biotechnology — 1.1% | |||||||||||
11,095 | Amgen, Inc. (a) | 515,252 | |||||||||
2,993 | Biogen Idec, Inc. (a) | 170,362 | |||||||||
3,936 | Celgene Corp. (a) | 181,882 | |||||||||
2,713 | Genzyme Corp. (a) | 201,956 | |||||||||
9,495 | Gilead Sciences, Inc. (a) | 436,865 | |||||||||
1,506,317 | |||||||||||
Building Products — 0.1% | |||||||||||
3,762 | Masco Corp. | 81,297 | |||||||||
1,748 | Trane, Inc. | 81,649 | |||||||||
162,946 | |||||||||||
Capital Markets — 3.3% | |||||||||||
1,956 | American Capital Strategies Ltd. (c) | 64,470 | |||||||||
2,366 | Ameriprise Financial, Inc. | 130,390 | |||||||||
11,616 | Bank of New York Mellon Corp. (The) | 566,396 | |||||||||
1,178 | Bear Stearns Cos., Inc. (The) | 103,959 | |||||||||
9,556 | Charles Schwab Corp. (The) | 244,156 | |||||||||
4,323 | E*Trade Financial Corp. (a) (c) | 15,347 | |||||||||
882 | Federated Investors, Inc., Class B | 36,303 | |||||||||
1,650 | Franklin Resources, Inc. | 188,809 | |||||||||
4,057 | Goldman Sachs Group, Inc. (The) | 872,458 | |||||||||
1,565 | Janus Capital Group, Inc. | 51,410 | |||||||||
1,370 | Legg Mason, Inc. | 100,216 | |||||||||
5,407 | Lehman Brothers Holdings, Inc. | 353,834 | |||||||||
8,733 | Merrill Lynch & Co., Inc. | 468,787 | |||||||||
10,826 | Morgan Stanley | 574,969 | |||||||||
1,952 | Northern Trust Corp. | 149,484 | |||||||||
3,940 | State Street Corp. | 319,928 | |||||||||
2,694 | T. Rowe Price Group, Inc. | 164,011 | |||||||||
4,404,927 | |||||||||||
Chemicals — 1.8% | |||||||||||
2,197 | Air Products & Chemicals, Inc. | 216,690 | |||||||||
572 | Ashland, Inc. | 27,130 | |||||||||
9,634 | Dow Chemical Co. (The) | 379,772 | |||||||||
827 | Eastman Chemical Co. | 50,522 | |||||||||
1,782 | Ecolab, Inc. | 91,256 | |||||||||
9,171 | El du Pont de Nemours & Co. | 404,349 | |||||||||
1,180 | Hercules, Inc. | 22,833 | |||||||||
830 | International Flavors & Fragrances, Inc. | 39,948 | |||||||||
5,578 | Monsanto Co. | 623,007 | |||||||||
1,670 | PPG Industries, Inc. | 117,284 | |||||||||
3,223 | Praxair, Inc. | 285,912 | |||||||||
1,278 | Rohm & Haas Co. | 67,824 | |||||||||
1,326 | Sigma-Aldrich Corp. | 72,400 | |||||||||
2,398,927 | |||||||||||
Commercial Banks — 3.0% | |||||||||||
5,605 | BB&T Corp. | 171,905 | |||||||||
1,541 | Comerica, Inc. | 67,080 | |||||||||
1,988 | Commerce Bancorp, Inc. | 75,822 | |||||||||
5,433 | Fifth Third Bancorp | 136,531 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
1,289 | First Horizon National Corp. (c) | 23,395 | |||||||||
3,733 | Huntington Bancshares, Inc. | 55,099 | |||||||||
3,966 | KeyCorp | 93,003 | |||||||||
762 | M&T Bank Corp. | 62,156 | |||||||||
2,623 | Marshall & Ilsley Corp. | 69,457 | |||||||||
6,463 | National City Corp. (c) | 106,381 | |||||||||
3,566 | PNC Financial Services Group, Inc. | 234,108 | |||||||||
7,091 | Regions Financial Corp. | 167,702 | |||||||||
3,563 | SunTrust Banks, Inc. | 222,652 | |||||||||
3,351 | Synovus Financial Corp. | 80,692 | �� | ||||||||
17,614 | U.S. Bancorp | 559,069 | |||||||||
20,151 | Wachovia Corp. | 766,343 | |||||||||
34,422 | Wells Fargo & Co. | 1,039,200 | |||||||||
1,102 | Zions Bancorp | 51,453 | |||||||||
3,982,048 | |||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||
2,953 | Allied Waste Industries, Inc. (a) | 32,542 | |||||||||
1,086 | Avery Dennison Corp. (c) | 57,710 | |||||||||
1,377 | Cintas Corp. | 46,295 | |||||||||
1,345 | Equifax, Inc. | 48,904 | |||||||||
1,305 | Monster Worldwide, Inc. (a) | 42,282 | |||||||||
2,213 | Pitney Bowes, Inc. | 84,182 | |||||||||
2,189 | R.R. Donnelley & Sons Co. | 82,613 | |||||||||
1,643 | Robert Half International, Inc. | 44,427 | |||||||||
5,186 | Waste Management, Inc. | 169,427 | |||||||||
608,382 | |||||||||||
Communications Equipment — 2.5% | |||||||||||
877 | Ciena Corp. (a) (c) | 29,915 | |||||||||
61,890 | Cisco Systems, Inc. (a) | 1,675,362 | |||||||||
16,075 | Corning, Inc. | 385,639 | |||||||||
2,239 | JDS Uniphase Corp. (a) (c) | 29,779 | |||||||||
5,321 | Juniper Networks, Inc. (a) | 176,657 | |||||||||
23,303 | Motorola, Inc. | 373,780 | |||||||||
16,694 | QUALCOMM, Inc. | 656,909 | |||||||||
4,480 | Tellabs, Inc. (a) | 29,299 | |||||||||
3,357,340 | |||||||||||
Computers & Peripherals — 4.5% | |||||||||||
8,931 | Apple, Inc. (a) | 1,769,052 | |||||||||
22,860 | Dell, Inc. (a) | 560,299 | |||||||||
21,404 | EMC Corp. (a) | 396,616 | |||||||||
26,299 | Hewlett-Packard Co. | 1,327,573 | |||||||||
14,057 | International Business Machines Corp. | 1,519,562 | |||||||||
966 | Lexmark International, Inc., Class A (a) | 33,675 | |||||||||
3,511 | Network Appliance, Inc. (a) | 87,635 | |||||||||
1,396 | QLogic Corp. (a) | 19,823 | |||||||||
2,328 | SanDisk Corp. (a) | 77,220 | |||||||||
8,453 | Sun Microsystems, Inc. (a) | 153,253 | |||||||||
1,847 | Teradata Corp. (a) | 50,626 | |||||||||
5,995,334 | |||||||||||
Construction & Engineering — 0.2% | |||||||||||
902 | Fluor Corp. | 131,440 | |||||||||
1,233 | Jacobs Engineering Group, Inc. (a) | 117,887 | |||||||||
249,327 | |||||||||||
Construction Materials — 0.1% | |||||||||||
1,104 | Vulcan Materials Co. (c) | 87,315 | |||||||||
Consumer Finance — 0.8% | |||||||||||
11,929 | American Express Co. | 620,546 | |||||||||
3,987 | Capital One Financial Corp. | 188,426 | |||||||||
4,872 | Discover Financial Services | 73,470 | |||||||||
5,262 | SLM Corp. | 105,977 | |||||||||
988,419 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
1,025 | Ball Corp. | 46,125 | |||||||||
1,026 | Bemis Co. | 28,092 | |||||||||
1,331 | Pactiv Corp. (a) | 35,444 | |||||||||
1,648 | Sealed Air Corp. | 38,135 | |||||||||
147,796 | |||||||||||
Distributors — 0.1% | |||||||||||
1,713 | Genuine Parts Co. | 79,312 | |||||||||
Diversified Consumer Services — 0.1% | |||||||||||
1,395 | Apollo Group, Inc., Class A (a) | 97,859 | |||||||||
3,316 | H&R Block, Inc. (c) | 61,578 | |||||||||
159,437 | |||||||||||
Diversified Financial Services — 4.4% | |||||||||||
45,276 | Bank of America Corp. | 1,868,088 | |||||||||
1,934 | CIT Group, Inc. | 46,474 | |||||||||
50,927 | Citigroup, Inc. | 1,499,291 | |||||||||
559 | CME Group, Inc. | 383,474 | |||||||||
710 | IntercontinentalExchange, Inc. (a) | 136,675 | |||||||||
34,266 | JPMorgan Chase & Co. (q) | 1,495,711 | |||||||||
1,725 | Leucadia National Corp. (c) | 81,247 | |||||||||
2,188 | Moody’s Corp. (c) | 78,112 | |||||||||
2,703 | NYSE Euronext | 237,242 | |||||||||
5,826,314 | |||||||||||
Diversified Telecommunication Services — 3.2% | |||||||||||
61,867 | AT&T, Inc. | 2,571,193 | |||||||||
1,126 | CenturyTel, Inc. | 46,684 | |||||||||
3,343 | Citizens Communications Co. | 42,556 | |||||||||
1,559 | Embarq Corp. | 77,217 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
16,018 | Qwest Communications International, Inc. (a) (c) | 112,286 | |||||||||
29,485 | Verizon Communications, Inc. | 1,288,200 | |||||||||
4,868 | Windstream Corp. | 63,381 | |||||||||
4,201,517 | |||||||||||
Electric Utilities — 2.1% | |||||||||||
1,696 | Allegheny Energy, Inc. (c) | 107,883 | |||||||||
4,081 | American Electric Power Co., Inc. | 190,011 | |||||||||
12,864 | Duke Energy Corp. | 259,467 | |||||||||
3,324 | Edison International | 177,402 | |||||||||
1,983 | Entergy Corp. | 237,008 | |||||||||
6,732 | Exelon Corp. | 549,601 | |||||||||
3,110 | FirstEnergy Corp. | 224,977 | |||||||||
4,153 | FPL Group, Inc. | 281,490 | |||||||||
2,043 | Pepco Holdings, Inc. | 59,921 | |||||||||
1,024 | Pinnacle West Capital Corp. (c) | 43,428 | |||||||||
3,797 | PPL Corp. | 197,786 | |||||||||
2,644 | Progress Energy, Inc. | 128,049 | |||||||||
7,748 | Southern Co. (The) | 300,235 | |||||||||
2,757,258 | |||||||||||
Electrical Equipment — 0.5% | |||||||||||
1,837 | Cooper Industries Ltd., Class A | 97,141 | |||||||||
8,031 | Emerson Electric Co. | 455,036 | |||||||||
1,522 | Rockwell Automation, Inc. | 104,957 | |||||||||
657,134 | |||||||||||
Electronic Equipment & Instruments — 0.3% | |||||||||||
3,943 | Agilent Technologies, Inc. (a) | 144,866 | |||||||||
2,122 | Jabil Circuit, Inc. | 32,403 | |||||||||
1,444 | Molex, Inc. | 39,421 | |||||||||
5,072 | Tyco Electronics Ltd. (Bermuda) | 188,323 | |||||||||
405,013 | |||||||||||
Energy Equipment & Services — 2.6% | |||||||||||
3,246 | Baker Hughes, Inc. | 263,251 | |||||||||
2,987 | BJ Services Co. | 72,465 | |||||||||
1,478 | ENSCO International, Inc. | 88,118 | |||||||||
8,989 | Halliburton Co. | 340,773 | |||||||||
2,889 | Nabors Industries Ltd. (Bermuda) (a) | 79,130 | |||||||||
3,638 | National Oilwell Varco, Inc. (a) | 267,247 | |||||||||
2,734 | Noble Corp. | 154,498 | |||||||||
1,135 | Rowan Cos., Inc. | 44,787 | |||||||||
12,199 | Schlumberger Ltd. | 1,200,016 | |||||||||
2,043 | Smith International, Inc. | 150,875 | |||||||||
3,244 | Transocean, Inc. | 464,389 | |||||||||
3,441 | Weatherford International Ltd. (a) | 236,053 | |||||||||
3,361,602 | |||||||||||
Food & Staples Retailing — 2.4% | |||||||||||
4,428 | Costco Wholesale Corp. | 308,897 | |||||||||
15,066 | CVS/Caremark Corp. | 598,873 | |||||||||
6,949 | Kroger Co. (The) | 185,608 | |||||||||
4,513 | Safeway, Inc. | 154,390 | |||||||||
2,157 | SUPERVALU, Inc. | 80,931 | |||||||||
6,204 | SYSCO Corp. | 193,627 | |||||||||
24,103 | Wal-Mart Stores, Inc. | 1,145,615 | |||||||||
10,115 | Walgreen Co. | 385,179 | |||||||||
1,422 | Whole Foods Market, Inc. (c) | 58,018 | |||||||||
3,111,138 | |||||||||||
Food Products — 1.5% | |||||||||||
6,558 | Archer-Daniels-Midland Co. | 304,488 | |||||||||
2,270 | Campbell Soup Co. | 81,107 | |||||||||
4,971 | ConAgra Foods, Inc. | 118,260 | |||||||||
1,342 | Dean Foods Co. | 34,704 | |||||||||
3,444 | General Mills, Inc. | 196,308 | |||||||||
3,233 | H.J. Heinz Co. | 150,916 | |||||||||
1,714 | Hershey Co. (The) | 67,532 | |||||||||
2,692 | Kellogg Co. | 141,142 | |||||||||
15,783 | Kraft Foods, Inc., Class A | 514,999 | |||||||||
1,303 | McCormick & Co., Inc. (Non-Voting) | 49,397 | |||||||||
7,388 | Sara Lee Corp. | 118,651 | |||||||||
2,793 | Tyson Foods, Inc., Class A | 42,817 | |||||||||
2,222 | Wm. Wrigley, Jr., Co. | 130,098 | |||||||||
1,950,419 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
460 | Nicor, Inc. (c) | 19,481 | |||||||||
1,762 | Questar Corp. | 95,324 | |||||||||
114,805 | |||||||||||
Health Care Equipment & Supplies — 1.7% | |||||||||||
6,468 | Baxter International, Inc. | 375,467 | |||||||||
2,488 | Becton, Dickinson & Co. | 207,947 | |||||||||
13,687 | Boston Scientific Corp. (a) | 159,180 | |||||||||
5,079 | Covidien Ltd. (Bermuda) | 224,949 | |||||||||
1,039 | CR Bard, Inc. | 98,497 | |||||||||
1,607 | Hospira, Inc. (a) | 68,523 | |||||||||
11,534 | Medtronic, Inc. | 579,814 | |||||||||
3,492 | St. Jude Medical, Inc. (a) | 141,915 | |||||||||
2,429 | Stryker Corp. | 181,495 | |||||||||
1,276 | Varian Medical Systems, Inc. (a) | 66,556 | |||||||||
2,395 | Zimmer Holdings, Inc. (a) | 158,429 | |||||||||
2,262,772 | |||||||||||
Health Care Providers & Services — 2.4% | |||||||||||
5,105 | Aetna, Inc. | 294,712 | |||||||||
1,713 | AmerisourceBergen Corp. | 76,862 | |||||||||
3,688 | Cardinal Health, Inc. | 212,982 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Providers & Services — Continued | |||||||||||
2,848 | Cigna Corp. | 153,023 | |||||||||
1,580 | Coventry Health Care, Inc. (a) | 93,615 | |||||||||
2,571 | Express Scripts, Inc. (a) | 187,683 | |||||||||
1,728 | Humana, Inc. (a) | 130,136 | |||||||||
1,175 | Laboratory Corp. of America Holdings (a) | 88,748 | |||||||||
2,952 | McKesson Corp. | 193,385 | |||||||||
2,728 | Medco Health Solutions, Inc. (a) | 276,619 | |||||||||
1,426 | Patterson Cos., Inc. (a) | 48,413 | |||||||||
1,600 | Quest Diagnostics, Inc. | 84,640 | |||||||||
4,837 | Tenet Healthcare Corp. (a) (c) | 24,572 | |||||||||
13,181 | UnitedHealth Group, Inc. | 767,134 | |||||||||
5,828 | WellPoint, Inc. (a) | 511,290 | |||||||||
3,143,814 | |||||||||||
Health Care Technology — 0.0% (g) | |||||||||||
1,979 | IMS Health, Inc. | 45,596 | |||||||||
Hotels, Restaurants & Leisure — 1.4% | |||||||||||
4,456 | Carnival Corp. | 198,248 | |||||||||
1,447 | Darden Restaurants, Inc. | 40,096 | |||||||||
1,913 | Harrah’s Entertainment, Inc. | 169,779 | |||||||||
3,218 | International Game Technology | 141,367 | |||||||||
3,189 | Marriott International, Inc., Class A | 109,000 | |||||||||
12,065 | McDonald’s Corp. | 710,749 | |||||||||
7,451 | Starbucks Corp. (a) | 152,522 | |||||||||
2,032 | Starwood Hotels & Resorts Worldwide, Inc. | 89,469 | |||||||||
891 | Wendy’s International, Inc. | 23,023 | |||||||||
1,815 | Wyndham Worldwide Corp. | 42,761 | |||||||||
5,188 | Yum! Brands, Inc. | 198,545 | |||||||||
1,875,559 | |||||||||||
Household Durables — 0.4% | |||||||||||
638 | Black & Decker Corp. | 44,437 | |||||||||
1,240 | Centex Corp. | 31,322 | |||||||||
2,828 | D.R. Horton, Inc. | 37,245 | |||||||||
1,558 | Fortune Brands, Inc. | 112,737 | |||||||||
617 | Harman International Industries, Inc. | 45,479 | |||||||||
786 | KB Home (c) | 16,978 | |||||||||
1,735 | Leggett & Platt, Inc. (c) | 30,258 | |||||||||
1,422 | Lennar Corp., Class A (c) | 25,440 | |||||||||
2,849 | Newell Rubbermaid, Inc. | 73,732 | |||||||||
2,168 | Pulte Homes, Inc. | 22,851 | |||||||||
587 | Snap-On, Inc. | 28,317 | |||||||||
838 | Stanley Works (The) | 40,626 | |||||||||
788 | Whirlpool Corp. (c) | 64,324 | |||||||||
573,746 | |||||||||||
Household Products — 2.4% | |||||||||||
1,413 | Clorox Co. | 92,085 | |||||||||
5,200 | Colgate-Palmolive Co. | 405,392 | |||||||||
4,316 | Kimberly-Clark Corp. | 299,272 | |||||||||
31,681 | Procter & Gamble Co. | 2,326,019 | |||||||||
3,122,768 | |||||||||||
Independent Power Producers & Energy Traders — 0.3% | |||||||||||
6,827 | AES Corp. (The) (a) | 146,029 | |||||||||
1,843 | Constellation Energy Group, Inc. | 188,963 | |||||||||
5,058 | Dynegy, Inc., Class A (a) | 36,114 | |||||||||
371,106 | |||||||||||
Industrial Conglomerates — 3.7% | |||||||||||
7,276 | 3M Co. | 613,512 | |||||||||
103,094 | General Electric Co. | 3,821,695 | |||||||||
2,543 | Textron, Inc. | 181,316 | |||||||||
5,048 | Tyco International Ltd. (Bermuda) | 200,153 | |||||||||
4,816,676 | |||||||||||
Insurance — 4.3% | |||||||||||
3,362 | ACE Ltd. (Bermuda) | 207,704 | |||||||||
4,976 | Aflac, Inc. | 311,647 | |||||||||
5,822 | Allstate Corp. (The) | 304,083 | |||||||||
1,036 | AMBAC Financial Group, Inc. (c) | 26,698 | |||||||||
25,872 | American International Group, Inc. | 1,508,338 | |||||||||
2,995 | AON Corp. | 142,831 | |||||||||
974 | Assurant, Inc. (c) | 65,161 | |||||||||
3,915 | Chubb Corp. | 213,681 | |||||||||
1,693 | Cincinnati Financial Corp. | 66,941 | |||||||||
4,475 | Genworth Financial, Inc., Class A | 113,889 | |||||||||
3,202 | Hartford Financial Services Group, Inc. | 279,182 | |||||||||
2,746 | Lincoln National Corp. | 159,872 | |||||||||
4,484 | Loews Corp. | 225,725 | |||||||||
5,306 | Marsh & McLennan Cos., Inc. | 140,450 | |||||||||
1,281 | MBIA, Inc. (c) | 23,865 | |||||||||
7,555 | MetLife, Inc. | 465,539 | |||||||||
2,669 | Principal Financial Group, Inc. | 183,734 | |||||||||
7,121 | Progressive Corp. (The) | 136,438 | |||||||||
4,631 | Prudential Financial, Inc. | 430,868 | |||||||||
964 | Safeco Corp. | 53,675 | |||||||||
940 | Torchmark Corp. | 56,898 | |||||||||
6,579 | Travelers Cos., Inc. (The) | 353,950 | |||||||||
3,681 | Unum Group | 87,571 | |||||||||
1,818 | XL Capital Ltd., Class A (Bermuda) | 91,464 | |||||||||
5,650,204 | |||||||||||
Internet & Catalog Retail — 0.3% | |||||||||||
3,134 | Amazon.com, Inc. (a) | 290,334 | |||||||||
2,119 | Expedia, Inc. (a) (c) | 67,003 | |||||||||
1,881 | IAC/InterActive Corp. (a) | 50,636 | |||||||||
407,973 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Internet Software & Services — 1.9% | |||||||||||
1,695 | Akamai Technologies, Inc. (a) (c) | 58,647 | |||||||||
11,598 | eBay, Inc. (a) | 384,938 | |||||||||
2,362 | Google, Inc., Class A (a) | 1,633,276 | |||||||||
2,254 | VeriSign, Inc. (a) | 84,773 | |||||||||
13,633 | Yahoo!, Inc. (a) | 317,103 | |||||||||
2,478,737 | |||||||||||
IT Services — 0.8% | |||||||||||
1,025 | Affiliated Computer Services, Inc., Class A (a) | 46,228 | |||||||||
5,368 | Automatic Data Processing, Inc. | 239,037 | |||||||||
2,962 | Cognizant Technology Solutions Corp., Class A (a) | 100,530 | |||||||||
1,775 | Computer Sciences Corp. (a) | 87,809 | |||||||||
1,329 | Convergys Corp. (a) | 21,875 | |||||||||
5,224 | Electronic Data Systems Corp. | 108,294 | |||||||||
1,741 | Fidelity National Information Services, Inc. | 72,408 | |||||||||
1,679 | Fiserv, Inc. (a) | 93,168 | |||||||||
3,402 | Paychex, Inc. | 123,220 | |||||||||
397 | Total System Services, Inc. | 11,116 | |||||||||
3,549 | Unisys Corp. (a) | 16,787 | |||||||||
7,660 | Western Union Co. (The) | 185,985 | |||||||||
1,106,457 | |||||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
897 | Brunswick Corp. | 15,294 | |||||||||
2,938 | Eastman Kodak Co. (c) | 64,254 | |||||||||
1,500 | Hasbro, Inc. | 38,370 | |||||||||
3,742 | Mattel, Inc. | 71,248 | |||||||||
189,166 | |||||||||||
Life Sciences Tools & Services — 0.4% | |||||||||||
1,716 | Applera Corp. — Applied Biosystems Group | 58,207 | |||||||||
557 | Millipore Corp. (a) | 40,761 | |||||||||
1,209 | PerkinElmer, Inc. | 31,458 | |||||||||
4,304 | Thermo Fisher Scientific, Inc. (a) | 248,255 | |||||||||
1,024 | Waters Corp. (a) | 80,968 | |||||||||
459,649 | |||||||||||
Machinery — 1.9% | |||||||||||
6,487 | Caterpillar, Inc. | 470,697 | |||||||||
1,042 | Cummins, Inc. | 132,720 | |||||||||
2,583 | Danaher Corp. (c) | 226,632 | |||||||||
4,527 | Deere & Co. | 421,554 | |||||||||
2,027 | Dover Corp. | 93,425 | |||||||||
1,494 | Eaton Corp. | 144,843 | |||||||||
4,217 | Illinois Tool Works, Inc. | 225,778 | |||||||||
2,779 | Ingersoll-Rand Co., Ltd., Class A (Bermuda) | 129,140 | |||||||||
1,849 | ITT Corp. | 122,108 | |||||||||
1,324 | Manitowoc Co., Inc. (The) (c) | 64,651 | |||||||||
3,757 | PACCAR, Inc. | 204,681 | |||||||||
1,250 | Pall Corp. | 50,400 | |||||||||
1,716 | Parker Hannifin Corp. | 129,232 | |||||||||
1,047 | Terex Corp. (a) | 68,652 | |||||||||
2,484,513 | |||||||||||
Media — 2.8% | |||||||||||
6,988 | CBS Corp., Class B | 190,423 | |||||||||
5,079 | Clear Channel Communications, Inc. | 175,327 | |||||||||
31,350 | Comcast Corp., Class A (a) | 572,451 | |||||||||
7,324 | DIRECTV Group, Inc. (The) (a) | 169,331 | |||||||||
914 | E.W. Scripps Co., Class A | 41,139 | |||||||||
2,368 | Gannett Co., Inc. | 92,352 | |||||||||
4,809 | Interpublic Group of Companies, Inc. (The) (a) (c) | 39,001 | |||||||||
3,356 | McGraw-Hill Cos., Inc. (The) | 147,026 | |||||||||
387 | Meredith Corp. | 21,277 | |||||||||
1,467 | New York Times Co. (The), Class A (c) | 25,717 | |||||||||
23,597 | News Corp., Class A | 483,503 | |||||||||
3,335 | Omnicom Group, Inc. | 158,513 | |||||||||
36,873 | Time Warner, Inc. | 608,773 | |||||||||
6,694 | Viacom, Inc., Class B (a) | 294,000 | |||||||||
19,418 | Walt Disney Co. (The) | 626,813 | |||||||||
97 | Washington Post Co. (The), Class B | 76,769 | |||||||||
3,722,415 | |||||||||||
Metals & Mining — 1.0% | |||||||||||
8,652 | Alcoa, Inc. | 316,231 | |||||||||
1,043 | Allegheny Technologies, Inc. | 90,115 | |||||||||
3,896 | Freeport-McMoRan Copper & Gold, Inc. | 399,106 | |||||||||
4,609 | Newmont Mining Corp. | 225,057 | |||||||||
2,937 | Nucor Corp. | 173,929 | |||||||||
893 | Titanium Metals Corp. (c) | 23,620 | |||||||||
1,205 | United States Steel Corp. | 145,697 | |||||||||
1,373,755 | |||||||||||
Multi-Utilities — 1.1% | |||||||||||
2,122 | Ameren Corp. (c) | 115,034 | |||||||||
3,277 | CenterPoint Energy, Inc. | 56,135 | |||||||||
2,296 | CMS Energy Corp. | 39,904 | |||||||||
2,770 | Consolidated Edison, Inc. (c) | 135,314 | |||||||||
5,966 | Dominion Resources, Inc. | 283,087 | |||||||||
1,670 | DTE Energy Co. (c) | 73,413 | |||||||||
778 | Integrys Energy Group, Inc. | 40,215 | |||||||||
2,797 | NiSource, Inc. | 52,835 | |||||||||
3,612 | PG&E Corp. | 155,641 | |||||||||
2,594 | Public Service Enterprise Group, Inc. | 254,835 | |||||||||
2,667 | Sempra Energy | 165,034 | |||||||||
2,149 | TECO Energy, Inc. | 36,984 | |||||||||
4,284 | Xcel Energy, Inc. | 96,690 | |||||||||
1,505,121 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Multiline Retail — 0.8% | |||||||||||
922 | Big Lots, Inc. (a) (c) | 14,743 | |||||||||
583 | Dillard’s, Inc., Class A (c) | 10,949 | |||||||||
1,433 | Family Dollar Stores, Inc. (c) | 27,557 | |||||||||
2,262 | J.C. Penney Co., Inc. | 99,505 | |||||||||
3,200 | Kohl’s Corp. (a) | 146,560 | |||||||||
4,417 | Macy’s, Inc. | 114,268 | |||||||||
1,918 | Nordstrom, Inc. | 70,448 | |||||||||
744 | Sears Holdings Corp. (a) (c) | 75,925 | |||||||||
8,475 | Target Corp. | 423,750 | |||||||||
983,705 | |||||||||||
Office Electronics — 0.1% | |||||||||||
9,430 | Xerox Corp. | 152,672 | |||||||||
Oil, Gas & Consumable Fuels — 10.2% | |||||||||||
4,757 | Anadarko Petroleum Corp. | 312,487 | |||||||||
3,378 | Apache Corp. | 363,270 | |||||||||
4,633 | Chesapeake Energy Corp. | 181,614 | |||||||||
21,539 | Chevron Corp. | 2,010,235 | |||||||||
16,317 | ConocoPhillips | 1,440,791 | |||||||||
1,851 | Consol Energy, Inc. | 132,384 | |||||||||
4,539 | Devon Energy Corp. | 403,562 | |||||||||
7,146 | El Paso Corp. | 123,197 | |||||||||
2,509 | EOG Resources, Inc. | 223,928 | |||||||||
55,735 | Exxon Mobil Corp. | 5,221,812 | |||||||||
2,835 | Hess Corp. | 285,938 | |||||||||
7,246 | Marathon Oil Corp. | 440,992 | |||||||||
1,919 | Murphy Oil Corp. | 162,808 | |||||||||
1,751 | Noble Energy, Inc. | 139,239 | |||||||||
8,453 | Occidental Petroleum Corp. | 650,796 | |||||||||
2,701 | Peabody Energy Corp. | 166,490 | |||||||||
1,522 | Range Resources Corp. | 78,170 | |||||||||
6,450 | Spectra Energy Corp. | 166,539 | |||||||||
1,199 | Sunoco, Inc. | 86,856 | |||||||||
1,397 | Tesoro Corp. | 66,637 | |||||||||
5,615 | Valero Energy Corp. | 393,218 | |||||||||
6,055 | Williams Cos., Inc. | 216,648 | |||||||||
4,933 | XTO Energy, Inc. | 253,359 | |||||||||
13,520,970 | |||||||||||
Paper & Forest Products — 0.3% | |||||||||||
4,367 | International Paper Co. | 141,403 | |||||||||
1,885 | MeadWestvaco Corp. | 59,001 | |||||||||
2,137 | Weyerhaeuser Co. | 157,582 | |||||||||
357,986 | |||||||||||
Personal Products — 0.2% | |||||||||||
4,377 | Avon Products, Inc. | 173,023 | |||||||||
1,162 | Estee Lauder Cos., Inc. (The), Class A | 50,675 | |||||||||
223,698 | |||||||||||
Pharmaceuticals — 6.3% | |||||||||||
15,764 | Abbott Laboratories | 885,149 | |||||||||
3,132 | Allergan, Inc. | 201,200 | |||||||||
1,099 | Barr Pharmaceuticals, Inc. (a) | 58,357 | |||||||||
20,183 | Bristol-Myers Squibb Co. | 535,253 | |||||||||
10,067 | Eli Lilly & Co. | 537,477 | |||||||||
3,181 | Forest Laboratories, Inc. (a) | 115,947 | |||||||||
29,193 | Johnson & Johnson | 1,947,173 | |||||||||
2,493 | King Pharmaceuticals, Inc. (a) | 25,528 | |||||||||
22,203 | Merck & Co., Inc. | 1,290,216 | |||||||||
3,084 | Mylan Laboratories, Inc. (c) | 43,361 | |||||||||
69,672 | Pfizer, Inc. | 1,583,645 | |||||||||
16,523 | Schering-Plough Corp. | 440,173 | |||||||||
1,057 | Watson Pharmaceuticals, Inc. (a) | 28,687 | |||||||||
13,661 | Wyeth | 603,680 | |||||||||
8,295,846 | |||||||||||
Real Estate Investment Trusts (REITs) — 1.0% | |||||||||||
975 | Apartment Investment & Management Co. (c) | 33,862 | |||||||||
803 | AvalonBay Communities, Inc. | 75,594 | |||||||||
1,217 | Boston Properties, Inc. (c) | 111,733 | |||||||||
1,253 | Developers Diversified Realty Corp. | 47,977 | |||||||||
2,765 | Equity Residential | 100,840 | |||||||||
2,487 | General Growth Properties, Inc. | 102,415 | |||||||||
5,329 | Host Hotels & Resorts, Inc. | 90,806 | |||||||||
2,578 | Kimco Realty Corp. | 93,839 | |||||||||
1,757 | Plum Creek Timber Co., Inc. (c) | 80,892 | |||||||||
2,627 | ProLogis | 166,499 | |||||||||
1,270 | Public Storage | 93,231 | |||||||||
2,275 | Simon Property Group, Inc. (c) | 197,606 | |||||||||
1,367 | Vornado Realty Trust | 120,228 | |||||||||
1,315,522 | |||||||||||
Real Estate Management & Development — 0.0% (g) | |||||||||||
2,019 | CB Richard Ellis Group, Inc., Class A (a) (c) | 43,509 | |||||||||
Road & Rail — 0.8% | |||||||||||
3,040 | Burlington Northern Santa Fe Corp. | 253,019 | |||||||||
4,289 | CSX Corp. | 188,630 | |||||||||
3,950 | Norfolk Southern Corp. | 199,238 | |||||||||
592 | Ryder System, Inc. | 27,830 | |||||||||
2,679 | Union Pacific Corp. | 336,536 | |||||||||
1,005,253 | |||||||||||
Semiconductors & Semiconductor Equipment — 2.7% | |||||||||||
6,158 | Advanced Micro Devices, Inc. (a) (c) | 46,185 | |||||||||
3,426 | Altera Corp. | 66,190 | |||||||||
3,095 | Analog Devices, Inc. | 98,112 | |||||||||
14,058 | Applied Materials, Inc. | 249,670 | |||||||||
4,800 | Broadcom Corp., Class A (a) | 125,472 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Semiconductors & Semiconductor Equipment — Continued | |||||||||||
59,646 | Intel Corp. | 1,590,162 | |||||||||
1,858 | KLA-Tencor Corp. | 89,481 | |||||||||
2,280 | Linear Technology Corp. | 72,573 | |||||||||
7,201 | LSI Corp. (a) | 38,237 | |||||||||
2,337 | MEMC Electronic Materials, Inc. (a) | 206,801 | |||||||||
2,186 | Microchip Technology, Inc. | 68,684 | |||||||||
7,758 | Micron Technology, Inc. (a) | 56,246 | |||||||||
2,397 | National Semiconductor Corp. | 54,268 | |||||||||
1,185 | Novellus Systems, Inc. (a) | 32,671 | |||||||||
5,667 | NVIDIA Corp. (a) | 192,791 | |||||||||
1,771 | Teradyne, Inc. (a) | 18,312 | |||||||||
14,263 | Texas Instruments, Inc. | 476,384 | |||||||||
2,999 | Xilinx, Inc. | 65,588 | |||||||||
3,547,827 | |||||||||||
Software — 3.7% | |||||||||||
5,853 | Adobe Systems, Inc. (a) | 250,099 | |||||||||
2,355 | Autodesk, Inc. (a) | 117,185 | |||||||||
1,997 | BMC Software, Inc. (a) | 71,173 | |||||||||
3,998 | CA, Inc. | 99,750 | |||||||||
1,935 | Citrix Systems, Inc. (a) | 73,549 | |||||||||
2,919 | Compuware Corp. (a) | 25,921 | |||||||||
3,213 | Electronic Arts, Inc. (a) | 187,671 | |||||||||
3,394 | Intuit, Inc. (a) | 107,284 | |||||||||
82,075 | Microsoft Corp. | 2,921,870 | |||||||||
3,568 | Novell, Inc. (a) | 24,512 | |||||||||
40,227 | Oracle Corp. (a) | 908,326 | |||||||||
8,847 | Symantec Corp. (a) | 142,791 | |||||||||
4,930,131 | |||||||||||
Specialty Retail — 1.5% | |||||||||||
879 | Abercrombie & Fitch Co., Class A | 70,294 | |||||||||
1,408 | AutoNation, Inc. (a) | 22,049 | |||||||||
450 | AutoZone, Inc. (a) | 53,959 | |||||||||
2,702 | Bed Bath & Beyond, Inc. (a) | 79,412 | |||||||||
3,580 | Best Buy Co., Inc. | 188,487 | |||||||||
1,719 | Circuit City Stores, Inc. (c) | 7,220 | |||||||||
1,622 | GameStop Corp., Class A (a) | 100,742 | |||||||||
4,751 | Gap, Inc. (The) | 101,101 | |||||||||
17,215 | Home Depot, Inc. | 463,772 | |||||||||
3,170 | Limited Brands, Inc. | 60,008 | |||||||||
14,920 | Lowe’s Cos., Inc. | 337,490 | |||||||||
2,784 | Office Depot, Inc. (a) | 38,725 | |||||||||
769 | OfficeMax, Inc. | 15,888 | |||||||||
1,338 | RadioShack Corp. (c) | 22,559 | |||||||||
1,063 | Sherwin-Williams Co. (The) (c) | 61,697 | |||||||||
7,213 | Staples, Inc. | 166,404 | |||||||||
1,384 | Tiffany & Co. | 63,706 | |||||||||
4,458 | TJX Cos., Inc. | 128,078 | |||||||||
1,981,591 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||
3,755 | Coach, Inc. (a) | 114,828 | |||||||||
870 | Jones Apparel Group, Inc. | 13,911 | |||||||||
1,015 | Liz Claiborne, Inc. (c) | 20,655 | |||||||||
3,917 | Nike, Inc., Class B | 251,628 | |||||||||
601 | Polo Ralph Lauren Corp. | 37,136 | |||||||||
898 | V.F. Corp. | 61,657 | |||||||||
499,815 | |||||||||||
Thrifts & Mortgage Finance — 0.7% | |||||||||||
5,903 | Countrywide Financial Corp. (c) | 52,773 | |||||||||
9,978 | Fannie Mae | 398,921 | |||||||||
6,749 | Freddie Mac | 229,938 | |||||||||
5,309 | Hudson City Bancorp, Inc. | 79,741 | |||||||||
835 | MGIC Investment Corp. (c) | 18,729 | |||||||||
3,677 | Sovereign Bancorp, Inc. (c) | 41,918 | |||||||||
8,862 | Washington Mutual, Inc. (c) | 120,612 | |||||||||
942,632 | |||||||||||
Tobacco — 1.4% | |||||||||||
21,487 | Altria Group, Inc. | 1,623,988 | |||||||||
1,745 | Reynolds American, Inc. (c) | 115,100 | |||||||||
1,598 | UST, Inc. (c) | 87,570 | |||||||||
1,826,658 | |||||||||||
Trading Companies & Distributors — 0.1% | |||||||||||
687 | W.W. Grainger, Inc. | 60,126 | |||||||||
Wireless Telecommunication Services — 0.4% | |||||||||||
4,129 | American Tower Corp., Class A (a) | 175,895 | |||||||||
29,013 | Sprint Nextel Corp. | 380,941 | |||||||||
556,836 | |||||||||||
Total Common Stocks (Cost $107,476,875) | 131,307,272 | ||||||||||
Investment Company — 0.0% (g) | |||||||||||
270 | SPDR Trust Series I (Cost $39,633) | 39,477 | |||||||||
Total Long-Term Investments (Cost $107,516,508) | 131,346,749 | ||||||||||
Short-Term Investments — 0.5% | |||||||||||
Investment Company — 0.5% | |||||||||||
661,723 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m) | 661,723 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — Continued | |||||||||||
U.S. Treasury Obligations — 0.0% (g) | |||||||||||
U.S. Treasury Bill, | |||||||||||
30,000 | 3.13%, 02/28/08 (k) (n) | 29,862 | |||||||||
30,000 | 3.74%, 01/17/08 (k) (n) | 29,957 | |||||||||
59,819 | |||||||||||
Total Short-Term Investments (Cost $721,524) | 721,542 | ||||||||||
Investments of Cash Collateral for Securities on Loan — 2.3% | |||||||||||
Corporate Notes — 0.5% | |||||||||||
500,000 | American Express Credit Corp., FRN, 5.04%, 01/15/08 | 500,000 | |||||||||
200,000 | Banque Federative du Credit Mutuel (France), FRN, 5.21%, 08/01/08 | 199,361 | |||||||||
699,361 | |||||||||||
Repurchase Agreements — 1.8% | |||||||||||
628,866 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $629,028, collateralized by U.S. Government Agency Mortgages | 628,866 | |||||||||
500,000 | Barclays Capital, 4.75%, dated 12/31/07, due 01/02/08, repurchase price $500,132, collateralized by U.S. Government Agency Mortgages | 500,000 | |||||||||
600,000 | Bear Stearns Cos., Inc., 4.50%, dated 12/31/07, due 01/02/08, repurchase price $600,150, collateralized by U.S. Government Agency Mortgages | 600,000 | |||||||||
600,000 | Lehman Brothers, Inc., 4.49%, dated 12/31/07, due 01/02/08, repurchase price $600,150, collateralized by U.S. Government Agency Mortgages | 600,000 | |||||||||
2,328,866 | |||||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $3,028,227) | 3,028,227 | ||||||||||
Total Investments — 102.3% (Cost $111,266,259) | 135,096,518 | ||||||||||
Liabilities in Excess of Other Assets — (2.3)% | (3,064,372 | ) | |||||||||
NET ASSETS — 100.0% | $ | 132,032,146 |
AS OF DECEMBER 31, 2007 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 12/31/07 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
9 | E-mini S&P 500 Index | March, 2008 | $664,740 | ($9,170 | ) |
(a) | — Non-income producing security. |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. |
(c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(g) | — Amount rounds to less than 0.1%. |
(k) | — Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for future contracts. |
(m) | — All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
(n) | — The rate shown is the effective yield at the date of purchase. |
(q) | — Investment in affiliate. This security is included in an index in which the Portfolio, as an index fund, invests. |
FRN | — Floating Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
SPDR | — Standard & Poor’s Depositary Receipt |
AS OF DECEMBER 31, 2007
| Equity Index Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 132,939,084 | ||||
Investments in affiliates, at value | 2,157,434 | |||||
Total investment securities, at value | 135,096,518 | |||||
Cash | 50 | |||||
Receivables: | ||||||
Investment securities sold | 73,550 | |||||
Portfolio shares sold | 68,969 | |||||
Interest and dividends | 195,893 | |||||
Total Assets | 135,434,980 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Collateral for securities lending program | 3,028,227 | |||||
Investment securities purchased | 143,000 | |||||
Portfolio shares redeemed | 111,618 | |||||
Variation margin on futures contracts | 4,840 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 2,446 | |||||
Administration fees | 12,839 | |||||
Custodian and accounting fees | 28,805 | |||||
Trustees’ and Chief Compliance Officer’s fees | 536 | |||||
Other | 70,523 | |||||
Total Liabilities | 3,402,834 | |||||
Net Assets | $ | 132,032,146 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 110,071,780 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 2,159,496 | |||||
Accumulated net realized gains (losses) | (4,020,219 | ) | ||||
Net unrealized appreciation (depreciation) | 23,821,089 | |||||
Total Net Assets | $ | 132,032,146 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value) | 10,262,440 | |||||
Net asset value, offering and redemption price per share | $ | 12.87 | ||||
Cost of investments in non-affiliates | $ | 109,452,210 | ||||
Cost of investments in affiliates | 1,814,049 | |||||
Market value of securities on loan | 2,946,091 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Equity Index Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Dividend income | $ | 2,693,470 | ||||
Dividend income from affiliates (a) | 85,227 | |||||
Interest income | 43 | |||||
Income from securities lending (net) | 9,312 | |||||
Total investment income | 2,788,052 | |||||
EXPENSES: | ||||||
Investment advisory fees | 356,224 | |||||
Administration fees | 141,257 | |||||
Custodian and accounting fees | 122,228 | |||||
Interest expense | 146 | |||||
Professional fees | 46,702 | |||||
Trustees’ and Chief Compliance Officer’s fees | 2,069 | |||||
Printing and mailing costs | 56,258 | |||||
Transfer agent fees | 12,539 | |||||
Other | 18,954 | |||||
Total expenses | 756,377 | |||||
Less amounts waived | (185,714 | ) | ||||
Less earnings credits | (559 | ) | ||||
Net expenses | 570,104 | |||||
Net investment income (loss) | 2,217,948 | |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from: | ||||||
Investments in non-affiliates | 2,491,509 | |||||
Investments in affiliates | 23,461 | |||||
Futures | 48,560 | |||||
Net realized gain (loss) | 2,563,530 | |||||
Change in net unrealized appreciation (depreciation) of: | ||||||
Investments in non-affiliates | 2,907,143 | |||||
Investments in affiliates | (185,268 | ) | ||||
Futures | (6,392 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,715,483 | |||||
Net realized/unrealized gains (losses) | 5,279,013 | |||||
Change in net assets resulting from operations | $ | 7,496,961 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Equity Index Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 2,217,948 | $ | 2,122,599 | |||||||
Net realized gain (loss) | 2,563,530 | (689,615 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 2,715,483 | 18,398,123 | |||||||||
Change in net assets resulting from operations | 7,496,961 | 19,831,107 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
From net investment income | (2,109,157 | ) | (1,915,411 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Proceeds from shares issued | 10,839,601 | 12,563,313 | |||||||||
Dividends and distributions reinvested | 2,109,157 | 1,915,411 | |||||||||
Cost of shares redeemed | (30,401,787 | ) | (25,225,710 | ) | |||||||
Change in net assets from capital transactions | (17,453,029 | ) | (10,746,986 | ) | |||||||
NET ASSETS: | |||||||||||
Change in net assets | (12,065,225 | ) | 7,168,710 | ||||||||
Beginning of period | 144,097,371 | 136,928,661 | |||||||||
End of period | $ | 132,032,146 | $ | 144,097,371 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,159,496 | $ | 2,106,671 | |||||||
SHARE TRANSACTIONS: | |||||||||||
Issued | 845,544 | 1,104,904 | |||||||||
Reinvested | 171,337 | 170,107 | |||||||||
Redeemed | (2,349,903 | ) | (2,213,906 | ) | |||||||
Change in shares | (1,333,022 | ) | (938,895 | ) |
FOR THE PERIODS INDICATED
Class 1
| | | Per share operating performance | | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Total distributions | ||||||||||||||||
Equity Index Portfolio | |||||||||||||||||||||||||||
Year Ended December 31, 2007 | $ | 12.43 | $ | 0.22 | $ | 0.41 | $ | 0.63 | $ | (0.19 | ) | $ | (0.19 | ) | |||||||||||||
Year Ended December 31, 2006 | 10.92 | 0.19 | 1.48 | 1.67 | (0.16 | ) | (0.16 | ) | |||||||||||||||||||
Year Ended December 31, 2005 | 10.61 | 0.15 | 0.31 | 0.46 | (0.15 | ) | (0.15 | ) | |||||||||||||||||||
Year Ended December 31, 2004 | 9.72 | 0.15 | 0.85 | 1.00 | (0.11 | ) | (0.11 | ) | |||||||||||||||||||
Year Ended December 31, 2003 | 7.69 | 0.11 | 2.01 | 2.12 | (0.09 | ) | (0.09 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| | Ratios/Supplemental data | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (a) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate | |||||||||||||||
$12.87 | 5.10 | % | $ | 132,032 | 0.40 | % | 1.56 | % | 0.53 | % | 6 | % | |||||||||||||||
12.43 | 15.42 | 144,097 | 0.40 | 1.54 | 0.57 | 7 | |||||||||||||||||||||
10.92 | 4.46 | 136,929 | 0.46 | 1.41 | 0.51 | 12 | |||||||||||||||||||||
10.61 | 10.34 | 137,197 | 0.50 | 1.53 | 0.51 | 14 | |||||||||||||||||||||
9.72 | 27.98 | 126,733 | 0.50 | 1.32 | 0.51 | 1 |
AS OF DECEMBER 31, 2007
| Class Offered | |||||
---|---|---|---|---|---|---|
Equity Index Portfolio | Class 1 |
Affiliate | | Value at 12/31/2006 | | Purchase Cost | | Sales Proceeds | | Realized Gain/Loss | | Dividend Income | | Shares at 12/31/2007 | | Value at 12/31/2007 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | $ | 1,883,990 | $ | 1,269 | $ | 227,742 | $ | 23,461 | $ | 54,036 | 34,266 | $ | 1,495,711 |
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 2,946,091 | $ | 3,028,227 | $ | 2,780 |
AS OF DECEMBER 31, 2007 (continued)
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | — | $ | (55,966 | ) | $ | 55,966 |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | |||||||
---|---|---|---|---|---|---|---|---|---|---|
$ | 8,744,144 | $ | 25,908,958 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 112,758,315 | $ | 37,639,901 | $ | 15,301,698 | $ | 22,338,203 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | |||||||
$2,109,157 | $ | 2,109,157 |
Total Distributions Paid From: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | |||||||
$1,915,411 | $ | 1,915,411 |
AS OF DECEMBER 31, 2007 (continued)
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 2,162,128 | $ | (2,537,331 | ) | $ | 22,338,203 |
| 2010 | | 2014 | | Total | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 2,248,160 | $ | 289,171 | $ | 2,537,331 |
Shareholders of JPMorgan Insurance Trust Equity Index Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (continued) (3) | |||||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
(Unaudited)
| Beginning Account Value, July 1, 2007 | | Ending Account Value, December 31, 2007 | | Expenses Paid During July 1, 2007 to December 31, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 | ||||||||||||||||||
Actual | $ | 1,000.00 | $ 984.70 | $2.00 | 0.40 | % | ||||||||||||
Hypothetical | 1,000.00 | 1,023.19 | 2.04 | 0.40 |
* | 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). |
(Unaudited)
developed by the Advisor. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular advisor, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of the Investment Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
(Unaudited) (continued)
(Unaudited)
© JPMorgan Chase & Co., 2007 All rights reserved. December 2007. | AN-JPMITEIP-1207 |
This material must be preceded or accompanied by a current prospectus.
President’s Letter | 1 | |||||
Portfolio Commentary | 2 | |||||
Schedule of Portfolio Investments | 4 | |||||
Financial Statements | 7 | |||||
Financial Highlights | 10 | |||||
Notes to Financial Statements | 12 | |||||
Report of Independent Registered Public Accounting Firm | 17 | |||||
Trustees | 18 | |||||
Officers | 20 | |||||
Schedule of Shareholder Expenses | 21 | |||||
Board Approval of Investment Advisory Agreement | 22 | |||||
Tax Letter | 25 |
JANUARY 14, 2008 (Unaudited)
“In a year marked by mounting volatility, disarray in the credit and sub-prime mortgage markets, and decelerating economic growth, the bond market outperformed the U.S. stock market.” |
President
JPMorgan Funds
AS OF DECEMBER 31, 2007 (Unaudited)
Portfolio Inception | August 1, 1994 | |||||
Fiscal Year End | December 31 | |||||
Net Assets as of 12/31/2007 | $153,176,417 | |||||
Primary Benchmark | Lehman Brothers Government Bond Index | |||||
Average Credit Quality | AAA | |||||
Duration | 5.51 Years |
Q: | HOW DID THE PORTFOLIO PERFORM? |
A: | The JPMorgan Insurance Trust Government Bond Portfolio, which seeks a high level of current income with liquidity and safety of principal*, returned 7.49%** (Class 1 Shares) over the 12 months ended December 31, 2007, compared to the 8.66% return for the Lehman Brothers Government Bond Index over the same period. |
Q: | WHY DID THE PORTFOLIO PERFORM THIS WAY? |
A: | The Portfolio underperformed its benchmark for the period due primarily to an underweight in U.S. Treasuries, which were the fixed income market’s best performers as result of a flight to quality in the second half of the year. The Treasury curve steepened sharply, with the spread between two- and 10-year Treasury yields rising 110 basis points (bps). The two-year Treasury yield fell 177 bps to 3.05%, while the 10-year yield fell 67 bps to 4.04%. The Portfolio’s allocation in spread products (bonds with higher yields than U.S. Treasuries due to credit or structure risk), particularly mortgage securities, also detracted from performance due to unprecedented spread widening in the market during the second half of the year. In the mortgage market, the Portfolio’s exposure to principal-only securities and inverse floaters had a negative influence on performance, as spreads on these securities widened considerably. |
Q: | HOW WAS THE PORTFOLIO MANAGED? |
A: | We continued to focus on security selection as our primary strategy, looking for attractively valued securities that fit our low turnover investment philosophy. We maintained an overweight in mortgages in general and well-structured, collateralized mortgage obligations in particular. We also held underweights in agency securities and Treasury notes, and an overweight in separate trading of registered interest and principal securities (STRIPS). As rates rallied during the second half of the year, the Portfolio’s duration shortened slightly, ending the year at 5.51 years, compared to 5.41 years on December 31, 2006. |
Collateralized Mortgage Obligations | 47.6 | % | ||||
U.S. Treasury Obligations | 22.9 | |||||
U.S. Government Agency Securities | 15.3 | |||||
Mortgage Pass-Through Securities | 11.4 | |||||
Short-Term Investment | 2.8 |
* | The advisor seeks to achieve the Portfolio’s objectives. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based on total investments (excluding Investments of Cash Collateral for Securities on Loan) as of December 31, 2007. The Portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GOVERNMENT BOND PORTFOLIO | 8/1/94 | 7.49 | % | 4.23 | % | 5.78 | % |
AS OF DECEMBER 31, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 96.9% | |||||||||||
Collateralized Mortgage Obligations — 47.4% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS | |||||||||||
183,870 | Series 1343, Class LA, 8.00%, 08/15/22 | 200,477 | |||||||||
12,294 | Series 1561, Class TA, PO, 08/15/08 | 12,043 | |||||||||
399,959 | Series 1577, Class PV, 6.50%, 09/15/23 | �� | 410,217 | ||||||||
946,630 | Series 1584, Class L, 6.50%, 09/15/23 | 988,354 | |||||||||
15,085 | Series 1604, Class MB, IF, 6.82%, 11/15/08 | 15,101 | |||||||||
33,068 | Series 1625, Class SC, IF, 7.00%, 12/15/08 | 33,144 | |||||||||
952,409 | Series 1633, Class Z, 6.50%, 12/15/23 | 995,663 | |||||||||
201,000 | Series 1694, Class PK, 6.50%, 03/15/24 | 211,615 | |||||||||
411,551 | Series 1999, Class PU, 7.00%, 10/15/27 | 432,858 | |||||||||
700,787 | Series 2031, Class PG, 7.00%, 02/15/28 (m) | 726,230 | |||||||||
587,619 | Series 2035, Class PC, 6.95%, 03/15/28 | 616,180 | |||||||||
681,952 | Series 2095, Class PE, 6.00%, 11/15/28 | 699,775 | |||||||||
37,480 | Series 2132, Class PD, 6.00%, 11/15/27 | 37,559 | |||||||||
209,108 | Series 2178, Class PB, 7.00%, 08/15/29 | 218,536 | |||||||||
365,418 | Series 2259, Class ZC, 7.35%, 10/15/30 | 375,577 | |||||||||
557,772 | Series 2345, Class PQ, 6.50%, 08/15/16 | 580,830 | |||||||||
164,959 | Series 2366, Class VG, 6.00%, 06/15/11 | 165,016 | |||||||||
815,458 | Series 2367, Class ME, 6.50%, 10/15/31 | 850,679 | |||||||||
80,890 | Series 2390, Class DO, PO, 12/15/31 | 66,630 | |||||||||
883,000 | Series 2527, Class BP, 5.00%, 11/15/17 | 883,476 | |||||||||
5,000,000 | Series 2543, Class YX, 6.00%, 12/15/32 (m) | 5,073,968 | |||||||||
3,230,000 | Series 2578, Class PG, 5.00%, 02/15/18 | 3,213,219 | |||||||||
1,756,384 | Series 2626, Class KA, 3.00%, 03/15/30 | 1,664,002 | |||||||||
650,000 | Series 2631, Class TE, 4.50%, 02/15/28 | 636,411 | |||||||||
590,854 | Series 2647, Class A, 3.25%, 04/15/32 | 542,459 | |||||||||
3,048,559 | Series 2651, Class VZ, 4.50%, 07/15/18 | 2,940,806 | |||||||||
2,438,000 | Series 2656, Class BG, 5.00%, 10/15/32 | 2,414,236 | |||||||||
410,000 | Series 2682, Class LC, 4.50%, 07/15/32 | 397,278 | |||||||||
2,500,000 | Series 2684, Class PD, 5.00%, 03/15/29 | 2,507,267 | |||||||||
1,250,000 | Series 2749, Class TD, 5.00%, 06/15/21 | 1,251,306 | |||||||||
650,000 | Series 2773, Class TB, 4.00%, 04/15/19 | 603,626 | |||||||||
625,000 | Series 2827, Class DG, 4.50%, 07/15/19 | 601,062 | |||||||||
758,999 | Series 2927, Class GA, 5.50%, 10/15/34 | 772,462 | |||||||||
1,250,000 | Series 2929, Class PC, 5.00%, 01/15/28 | 1,259,101 | |||||||||
785,312 | Series 3085, Class VS, IF, 8.61%, 12/15/35 | 906,691 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | |||||||||||
639,540 | Series T-54, Class 2A, 6.50%, 02/25/43 | 655,329 | |||||||||
389,302 | Series T-56, Class A, PO, 05/25/43 | 331,530 | |||||||||
Federal National Mortgage Association, REMICS | |||||||||||
26,218 | Series 1988-16, Class B, 9.50%, 06/25/18 | 29,086 | |||||||||
113,381 | Series 1993-146, Class E, PO, 05/25/23 | 97,330 | |||||||||
245,000 | Series 1993-155, Class PJ, 7.00%, 09/25/23 | 261,334 | |||||||||
17,075 | Series 1993-197, Class SC, IF, 8.30%, 10/25/08 | 17,090 | |||||||||
18,860 | Series 1993-205, Class H, PO, 09/25/23 | 15,512 | |||||||||
52,110 | Series 1993-221, Class SG, IF, 4.65%, 12/25/08 | 51,239 | |||||||||
1,982,583 | Series 1993-223, Class PZ, 6.50%, 12/25/23 | 2,093,791 | |||||||||
560,352 | Series 1993-250, Class Z, 7.00%, 12/25/23 | 588,541 | |||||||||
3,332 | Series 1994-13, Class SM, IF, 10.24%, 02/25/09 | 3,351 | |||||||||
161,635 | Series 1994-28, Class K, 6.50%, 08/25/23 | 162,190 | |||||||||
954,860 | Series 1994-37, Class L, 6.50%, 03/25/24 | 992,939 | |||||||||
6,388,638 | Series 1994-72, Class K, 6.00%, 04/25/24 | 6,574,875 | |||||||||
9,752 | Series 1994-76, Class H, 5.00%, 02/25/24 | 9,732 | |||||||||
173,447 | Series 1998-46, Class GZ, 6.50%, 08/18/28 | 179,674 | |||||||||
443,829 | Series 1998-58, Class PC, 6.50%, 10/25/28 | 459,293 | |||||||||
884,804 | Series 1999-39, Class JH, IO, 6.50%, 08/25/29 | 190,555 | |||||||||
376,099 | Series 2001-4, Class PC, 7.00%, 03/25/21 | 400,593 | |||||||||
1,375,744 | Series 2001-33, Class ID, IO, 6.00%, 07/25/31 | 264,115 | |||||||||
364,852 | Series 2002-2, Class UC, 6.00%, 02/25/17 | 374,748 | |||||||||
2,000,000 | Series 2003-35, Class MD, 5.00%, 11/25/16 | 2,006,232 | |||||||||
1,250,000 | Series 2003-70, Class BE, 3.50%, 12/25/25 | 1,227,962 | |||||||||
3,600,000 | Series 2003-81, Class MC, 5.00%, 12/25/32 | 3,565,232 | |||||||||
600,000 | Series 2003-82, Class VB, 5.50%, 08/25/33 | 599,633 | |||||||||
2,901,667 | Series 2003-128, Class DY, 4.50%, 01/25/24 | 2,737,931 | |||||||||
1,850,000 | Series 2004-2, Class OE, 5.00%, 05/25/23 | 1,835,821 | |||||||||
1,376,732 | Series 2004-75, Class VK, 4.50%, 09/25/22 | 1,329,103 | |||||||||
70,092 | Series G92-44, Class ZQ, 8.00%, 07/25/22 | 75,274 | |||||||||
30,555 | Series G92-66, Class KA, 6.00%, 12/25/22 | 31,378 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
728,914 | Series 1999-W4, Class A9, 6.25%, 02/25/29 | 754,483 | |||||||||
1,138,773 | Series 2002-W7, Class A4, 6.00%, 06/25/29 | 1,167,866 | |||||||||
605,142 | Series 2003-W1, Class 1A1, 6.50%, 12/25/42 | 625,618 | |||||||||
572,879 | Series 2005-W1, Class 1A2, 6.50%, 10/25/44 | 585,529 | |||||||||
Government National Mortgage Association, | |||||||||||
321,146 | Series 1998-22, Class PD, 6.50%, 09/20/28 | 335,823 | |||||||||
102,797 | Series 1999-17, Class L, 6.00%, 05/20/29 | 105,296 | |||||||||
140,838 | Series 2001-6, Class PM, 6.50%, 06/16/30 | 141,168 | |||||||||
2,500,000 | Series 2001-10, Class PE, 6.50%, 03/16/31 (m) | 2,638,250 | |||||||||
1,000,000 | Series 2001-64, Class PB, 6.50%, 12/20/31 | 1,046,459 | |||||||||
6,567,893 | Series 2003-59, Class XA, IO, VAR, 1.69%, 06/16/34 | 430,668 | |||||||||
2,759,774 | Series 2003-75, Class BE, 6.00%, 04/16/28 | 2,824,841 | |||||||||
1,508,290 | Series 2004-62, Class VA, 5.50%, 07/20/15 | 1,534,091 | |||||||||
Total Collateralized Mortgage Obligations (Cost $72,198,625) | 72,655,359 | ||||||||||
Mortgage Pass-Through Securities — 11.4% | |||||||||||
Federal Home Loan Mortgage Corp., Conventional Pools, | |||||||||||
20,585 | 9.00%, 12/01/09 | 21,196 | |||||||||
192,117 | ARM, 6.93%, 01/01/27 | 194,112 | |||||||||
49,644 | ARM, 7.07%, 04/01/30 | 50,129 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Mortgage Pass-Through Securities — Continued | |||||||||||
Federal Home Loan Mortgage Corp., Gold Pools, | |||||||||||
321,158 | �� | 5.00%, 12/01/13 – 04/01/14 | 323,130 | ||||||||
95,092 | 5.50%, 03/01/14 | 96,317 | |||||||||
30,895 | 6.00%, 04/01/14 | 31,649 | |||||||||
231,160 | 6.00%, 04/01/26 – 02/01/32 | 235,955 | |||||||||
73,395 | 6.50%, 06/01/14 – 09/01/14 | 76,056 | |||||||||
1,290,561 | 6.50%, 11/01/25 – 04/01/32 | 1,335,935 | |||||||||
22,314 | 7.00%, 02/01/11 | 22,904 | |||||||||
14,381 | 7.50%, 09/01/10 | 14,542 | |||||||||
1,185 | 8.50%, 12/01/09 | 1,230 | |||||||||
15,899 | 8.50%, 07/01/28 | 17,087 | |||||||||
Federal National Mortgage Association Pool, Various Pools, | |||||||||||
1,249,323 | 5.00%, 11/01/23 | 1,232,998 | |||||||||
2,012,135 | 5.00%, 11/01/33 | 1,966,266 | |||||||||
743,521 | 5.50%, 11/01/16 | 755,005 | |||||||||
5,670,868 | 5.50%, 05/01/33 – 01/01/34 | 5,675,073 | |||||||||
149,126 | 6.00%, 04/01/13 – 08/01/14 | 152,356 | |||||||||
1,596,445 | 6.00%, 03/01/22 – 09/01/28 | 1,631,616 | |||||||||
70,166 | 6.50%, 11/01/11 – 05/01/13 | 72,657 | |||||||||
442,471 | 6.50%, 09/01/25 – 04/01/32 | 458,190 | |||||||||
86,192 | 7.50%, 02/01/13 | 90,476 | |||||||||
53,327 | 7.50%, 03/01/30 – 08/01/30 | 56,920 | |||||||||
294,519 | 8.00%, 11/01/12 – 01/01/16 | 305,725 | |||||||||
Government National Mortgage Association I Pools, | |||||||||||
24,852 | 6.50%, 03/15/28 – 09/15/28 | 25,794 | |||||||||
62,298 | 7.00%, 12/15/25 – 06/15/28 | 66,128 | |||||||||
29,255 | 7.50%, 05/15/23 – 09/15/25 | 31,205 | |||||||||
47,448 | 8.00%, 10/15/27 | 51,312 | |||||||||
15,389 | 9.00%, 11/15/24 | 16,649 | |||||||||
Government National Mortgage Association II Pools, | |||||||||||
8,363 | 7.50%, 12/20/26 | 8,898 | |||||||||
140,811 | 8.00%, 11/20/26 | 151,736 | |||||||||
788,338 | ARM, 4.50%, 07/20/34 | 794,186 | |||||||||
1,393,894 | ARM, 5.50%, 09/20/34 | 1,404,328 | |||||||||
11,570 | ARM, 5.63%, 07/20/27 | 11,630 | |||||||||
Total Mortgage Pass-Through Securities (Cost $17,396,914) | 17,379,390 | ||||||||||
U.S. Government Agency Securities — 15.3% | |||||||||||
1,500,000 | Federal Farm Credit Bank, 6.75%, 07/07/09 | 1,568,597 | |||||||||
1,000,000 | Federal Home Loan Bank System, | ||||||||||
5.90%, 03/26/09 (c) | 1,024,610 | ||||||||||
Federal National Mortgage Association, | |||||||||||
3,000,000 | Zero Coupon, 10/09/19 | 1,681,257 | |||||||||
630,000 | Zero Coupon, 03/23/28 | 231,522 | |||||||||
6,000,000 | Federal National Mortgage Association Interest STRIPS, 09/23/20 | 3,212,694 | |||||||||
Financing Corp., Principal STRIPS | |||||||||||
2,000,000 | 11/02/18 | 1,209,480 | |||||||||
8,000,000 | 12/06/18 | 4,812,232 | |||||||||
4,000,000 | Residual Funding Corp., Principal STRIPS 07/15/20 | 2,230,904 | |||||||||
Resolution Funding Corp., Interest STRIPS | |||||||||||
1,000,000 | 10/15/17 | 651,065 | |||||||||
2,000,000 | 01/15/20 | 1,144,654 | |||||||||
Tennessee Valley Authority, | |||||||||||
2,000,000 | 6.00%, 03/15/13 | 2,174,258 | |||||||||
5,000,000 | Zero Coupon, 07/15/16 | 3,420,220 | |||||||||
Total U.S. Government Agency Securities (Cost $20,353,834) | 23,361,493 | ||||||||||
U.S. Treasury Obligations — 22.8% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
650,000 | 6.13%, 11/15/27 (c) | 787,160 | |||||||||
2,700,000 | 7.25%, 05/15/16 (c) | 3,320,158 | |||||||||
1,250,000 | 8.13%, 08/15/19 (c) | 1,684,961 | |||||||||
2,000,000 | 9.13%, 05/15/18 (c) | 2,828,282 | |||||||||
600,273 | U.S. Treasury Inflation Indexed Bonds, | ||||||||||
3.50%, 01/15/11 (c) | 645,574 | ||||||||||
U.S. Treasury Notes, | |||||||||||
2,250,000 | 4.25%, 08/15/13 (c) | 2,332,089 | |||||||||
2,500,000 | 4.50%, 09/30/11 (c) | 2,608,202 | |||||||||
200,000 | 6.00%, 08/15/09 (c) | 209,141 | |||||||||
U.S. Treasury Bonds Coupon STRIPS, | |||||||||||
2,500,000 | 08/15/14 (c) | 1,944,602 | |||||||||
2,000,000 | 11/15/14 (c) | 1,535,810 | |||||||||
1,750,000 | 02/15/15 (c) | 1,323,569 | |||||||||
500,000 | 05/15/15 (c) | 373,123 | |||||||||
750,000 | 08/15/15 (c) | 554,156 | |||||||||
3,000,000 | 11/15/15 (c) | 2,181,225 | |||||||||
400,000 | 05/15/16 (c) | 283,138 | |||||||||
U.S. Treasury Bonds Principal STRIPS, | |||||||||||
4,000,000 | 11/15/09 (c) | 3,779,964 | |||||||||
15,000,000 | 05/15/20 (c) | 8,565,930 | |||||||||
Total U.S. Treasury Obligations (Cost $32,081,364) | 34,957,084 | ||||||||||
Total Long-Term Investments (Cost $142,030,737) | 148,353,326 |
AS OF DECEMBER 31, 2007 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 2.8% | |||||||||||
Investment Company — 2.8% | |||||||||||
4,357,546 | JPMorgan U.S. Government Money Market Fund, Institutional Shares (b) (Cost $4,357,546) | 4,357,546 |
PRINCIPAL AMOUNT($) | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 23.9% | |||||||||||
Repurchase Agreements — 23.9% | |||||||||||
8,000,000 | Banc of America Securities LLC, 4.60%, dated 12/31/07, due 01/02/08, repurchase price $8,002,044, collateralized by U.S. Government Agency Mortgages | 8,000,000 | |||||||||
8,000,000 | Barclays Capital, 4.75%, dated 12/31/07, due 01/02/08, repurchase price $8,002,111, collateralized by U.S. Government Agency Mortgages | 8,000,000 | |||||||||
7,837,900 | Bear Stearns Cos., Inc., 4.50%, dated 12/31/07, due 01/02/08, repurchase price $7,839,859, collateralized by U.S. Government Agency Mortgages | 7,837,900 | |||||||||
6,400,000 | Credit Suisse First Boston LLC, 4.51%, dated 12/31/07, due 01/02/08, repurchase price $6,401,604, collateralized by U.S. Government Agency Mortgages | 6,400,000 | |||||||||
6,400,000 | Lehman Brothers Inc., 4.49%, dated 12/31/07, due 01/02/08, repurchase price $6,401,596, collateralized by U.S. Government Agency Mortgages | 6,400,000 | |||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $36,637,900) | 36,637,900 | ||||||||||
Total Investments — 123.6% (Cost $183,026,183) | 189,348,772 | ||||||||||
Liabilities in Excess of Other Assets — (23.6)% | (36,172,355 | ) | |||||||||
NET ASSETS — 100.0% | $ | 153,176,417 |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. |
(c)— | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(m)— | All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
ARM— | Adjustable Rate Mortgage |
IF— | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of December 31, 2007. The rate may be subject to a cap and floor. |
IO— | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
PO— | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REMICS— | Real Estate Mortgage Investment Conduits |
STRIPS— | Separate Trading of Registered Interest and Principal Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
VAR— | Variable Rate Note. The interest rate shown is the rate in effect as of December 31, 2007. |
AS OF DECEMBER 31, 2007
| Government Bond Portfolio | |||||
---|---|---|---|---|---|---|
ASSETS: | ||||||
Investments in non-affiliates, at value | $ | 148,353,326 | ||||
Investments in affiliates, at value | 4,357,546 | |||||
Repurchase agreements, at value | 36,637,900 | |||||
Total investment securities, at value | 189,348,772 | |||||
Cash | 802 | |||||
Receivables: | ||||||
Investment securities sold | 3,167 | |||||
Portfolio shares sold | 52,275 | |||||
Interest and dividends | 717,484 | |||||
Total Assets | 190,122,500 | |||||
LIABILITIES: | ||||||
Payables: | ||||||
Collateral for securities lending program | 36,637,900 | |||||
Portfolio shares redeemed | 163,039 | |||||
Accrued liabilities: | ||||||
Investment advisory fees | 50,064 | |||||
Administration fees | 13,209 | |||||
Custodian and accounting fees | 6,880 | |||||
Trustees’ and Chief Compliance Officer’s fees | 428 | |||||
Other | 74,563 | |||||
Total Liabilities | 36,946,083 | |||||
Net Assets | $ | 153,176,417 | ||||
NET ASSETS: | ||||||
Paid in capital | $ | 139,666,938 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 7,915,854 | |||||
Accumulated net realized gains (losses) | (728,964 | ) | ||||
Net unrealized appreciation (depreciation) | 6,322,589 | |||||
Total Net Assets | $ | 153,176,417 | ||||
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value) | 13,433,241 | |||||
Net asset value, offering and redemption price per share | $ | 11.40 | ||||
Cost of investments in non-affiliates | $ | 178,668,637 | ||||
Cost of investments in affiliates | 4,357,546 | |||||
Market value of securities on loan | 36,170,828 |
FOR THE YEAR ENDED DECEMBER 31, 2007
| Government Bond Portfolio | |||||
---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||
Dividend income from affiliates (a) | $ | 159,521 | ||||
Interest income | 8,658,012 | |||||
Income from securities lending (net) | 58,270 | |||||
Total investment income | 8,875,803 | |||||
EXPENSES: | ||||||
Investment advisory fees | 638,932 | |||||
Administration fees | 158,376 | |||||
Custodian and accounting fees | 37,671 | |||||
Interest expense | 195 | |||||
Professional fees | 57,949 | |||||
Trustees’ and Chief Compliance Officer’s fees | 2,205 | |||||
Printing and mailing costs | 47,846 | |||||
Transfer agent fees | 11,279 | |||||
Other | 19,971 | |||||
Total expenses | 974,424 | |||||
Less amounts waived | (20,273 | ) | ||||
Less earnings credits | (33 | ) | ||||
Net expenses | 954,118 | |||||
Net investment income (loss) | 7,921,685 | |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||
Net realized gain (loss) on transactions from investments | (393,634 | ) | ||||
Change in net unrealized appreciation (depreciation) of investments | 3,952,892 | |||||
Net realized/unrealized gains (losses) | 3,559,258 | |||||
Change in net assets resulting from operations | $ | 11,480,943 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
FOR THE PERIODS INDICATED
Government Bond Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 12/31/2007 | | Year Ended 12/31/2006 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 7,921,685 | $ | 8,699,203 | |||||||
Net realized gain (loss) | (393,634 | ) | (204,711 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 3,952,892 | (2,576,988 | ) | ||||||||
Change in net assets resulting from operations | 11,480,943 | 5,917,504 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
From net investment income | (8,687,295 | ) | (9,635,666 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Proceeds from shares issued | 17,096,670 | 10,413,453 | |||||||||
Dividends and distributions reinvested | 8,687,295 | 9,635,666 | |||||||||
Cost of shares redeemed | (42,972,345 | ) | (44,573,739 | ) | |||||||
Change in net assets from capital transactions | (17,188,380 | ) | (24,524,620 | ) | |||||||
NET ASSETS: | �� | ||||||||||
Change in net assets | (14,394,732 | ) | (28,242,782 | ) | |||||||
Beginning of period | 167,571,149 | 195,813,931 | |||||||||
End of period | $ | 153,176,417 | $ | 167,571,149 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 7,915,854 | $ | 8,681,464 | |||||||
SHARE TRANSACTIONS: | |||||||||||
Issued | 1,558,153 | 944,256 | |||||||||
Reinvested | 805,871 | 900,529 | |||||||||
Redeemed | (3,889,615 | ) | (4,055,922 | ) | |||||||
Change in shares | (1,525,591 | ) | (2,211,137 | ) |
FOR THE PERIODS INDICATED
| Per share operating performance | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net asset value end of period | ||||||||||||||||
Government Bond Portfolio | |||||||||||||||||||||||||||
Year Ended December 31, 2007 | $ | 11.20 | $ | 0.55 | (b) | $ | 0.25 | $ | 0.80 | $ | (0.60 | ) | $ | 11.40 | |||||||||||||
Year Ended December 31, 2006 | 11.40 | 0.60 | (0.22 | ) | 0.38 | (0.58 | ) | 11.20 | |||||||||||||||||||
Year Ended December 31, 2005 | 11.63 | 0.58 | (0.25 | ) | 0.33 | (0.56 | ) | 11.40 | |||||||||||||||||||
Year Ended December 31, 2004 | 11.67 | 0.54 | (0.01 | ) | 0.53 | (0.57 | ) | 11.63 | |||||||||||||||||||
Year Ended December 31, 2003 | 11.92 | 0.56 | (0.26 | ) | 0.30 | (0.55 | ) | 11.67 |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Calculated based upon average shares outstanding. |
(c) | Amount rounds to less than 1%. |
| Ratios/Supplemental data | | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets | |||||||||||||||||||||||
Total return (a) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate | |||||||||||||
7.49 | % | $ | 153,176 | 0.60 | % | 4.96 | % | 0.61 | % | — | %(c) | ||||||||||||
3.56 | 167,571 | 0.63 | 4.82 | 0.65 | 3 | ||||||||||||||||||
3.08 | 195,814 | 0.65 | 4.70 | 0.65 | 10 | ||||||||||||||||||
4.64 | 213,326 | 0.62 | 4.65 | 0.63 | 14 | ||||||||||||||||||
2.54 | 211,642 | 0.62 | 4.76 | 0.63 | 23 |
AS OF DECEMBER 31, 2007
| Class Offered | |||||
---|---|---|---|---|---|---|
Government Bond Portfolio | Class 1 |
| Market Value of Loaned Securities | | Market Value of Collateral | | Lending Agent Fees Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 36,170,828 | $ | 36,637,900 | $ | 14,646 |
AS OF DECEMBER 31, 2007 (continued)
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 340,018 | $ | 11,841,391 | $ | 196,472 | $ | 9,232,197 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 183,026,183 | $ | 7,374,882 | $ | 1,052,293 | $ | 6,322,589 |
Total Distributions Paid From: | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | ||||||||
$ | 8,687,295 | $ | 8,687,295 |
Total Distributions Paid From: | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Total Distributions Paid | ||||||||
$ | 9,635,666 | $ | 9,635,666 |
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 7,919,474 | $ | (336,103 | ) | $ | 6,322,589 |
| 2012 | | 2014 | | 2015 | Total | | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$ | 130,619 | $ | 204,642 | $ | 842 | $336,103 |
AS OF DECEMBER 31, 2007 (continued)
Shareholders of JPMorgan Insurance Trust Government Bond Portfolio:
New York, New York
February 13, 2008
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 144 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 144 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 144 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 144 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 144 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 144 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 144 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 144 | Director, American University in Cairo. |
Name (Year of Birth); Positions With the Portfolio (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 144 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 144 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 144 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 144 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (144 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary (2005)* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer (2005)* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
(Unaudited)
| Beginning |
---|