Item 1. Report to Shareholders
T. Rowe Price Personal Strategy Balanced Portfolio
- --------------------------------------------------------------------------------
June 30, 2004
Certified Semiannual Report
This report is certified under the Sarbanes-Oxley Act of 2002, which requires
that public companies, including mutual funds, affirm that the information
provided in their annual and semiannual shareholder reports fully and fairly
represents their financial position.
Financial Highlights
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
(Unaudited)
For a share outstanding throughout each period
- --------------------------------------------------------------------------------
6 Months Year
Ended Ended
6/30/04 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
NET ASSET VALUE
Beginning
of period $ 16.13 $ 13.22 $ 14.72 $ 15.54 $ 16.00 $ 16.16
Investment activities
Net investment
income (loss) 0.17* 0.32* 0.36 0.43 0.49 0.49
Net realized
and unrealized
gain (loss) 0.39 2.92 (1.50) (0.82) 0.35 0.80
Total from
investment
activities 0.56 3.24 (1.14) (0.39) 0.84 1.29
Distributions
Net investment
income (0.16) (0.32) (0.36) (0.43) (0.48) (0.49)
Net realized
gain -- (0.01) -- -- (0.82) (0.96)
Total
distributions (0.16) (0.33) (0.36) (0.43) (1.30) (1.45)
NET ASSET VALUE
End of
period $ 16.53 $ 16.13 $ 13.22 $ 14.72 $ 15.54 $ 16.00
-----------------------------------------------------------------
Ratios/
Supplemental Data
Total
return^ 3.48%* 24.80%* (7.80)% (2.41)% 5.41% 8.41%
Ratio of total
expenses to
average net
assets 0.86%*! 0.88%* 0.90% 0.90% 0.90% 0.90%
Ratio of net
investment
income (loss)
to average
net assets 2.03%*! 2.19%* 2.57% 2.91% 3.08% 3.03%
Portfolio
turnover
rate 73.4%! 73.8% 100.9% 81.5% 55.4% 51.3%
Net assets,
end of
period (in
thousands) $111,077 $106,206 $ 89,690 $103,413 $109,713 $ 85,259
^ Total return reflects the rate that an investor would have earned on an
investment in the fund during each period, assuming reinvestment of all
distributions.
* See Note 4. Excludes expenses permanently waived of 0.04% and 0.02% of
average net assets for the periods ended 6/30/04 and 12/31/03,
respectively, related to investments in TRP mutual funds.
! Annualized
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments (1)
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
June 30, 2004 (Unaudited)
$ Par/Shares Value
- --------------------------------------------------------------------------------
(Cost and value in $ 000s)
COMMON STOCKS 65.2%
CONSUMER DISCRETIONARY 9.4%
Auto Components 0.2%
Autoliv GDR (SEK) 2,800 $ 117
Keystone Automotive * 700 19
Koito Manufacturing (JPY) 6,000 44
Strattec Security * 300 21
201
Automobiles 1.1%
Ford Motor ss. 23,300 365
Fuji Heavy Industries (JPY) 7,000 39
Harley-Davidson 4,400 273
Honda Motor (JPY) 1,500 72
Peugeot (EUR) 1,068 60
Renault (EUR) 1,112 85
Toyota Motor (JPY) 8,000 323
Winnebago ss. 200 7
1,224
Distributors 0.0%
Cycle & Carriage (SGD) 2,501 9
9
Hotels, Restaurants & Leisure 1.3%
Applebee's 862 20
Carnival 6,000 282
CEC Entertainment * 550 16
Chicago Pizza & Brewery *ss. 400 6
Compass (GBP) 4,194 26
Hilton Group (GBP) 6,800 34
International Game Technology 8,400 324
McDonald's 3,000 78
MGM Mirage * 1,700 80
Mitchells & Butlers (GBP) 9,273 47
PF Chang's China Bistro * 500 21
Red Robin Gourmet Burgers * 300 8
Ruby Tuesday 1,200 33
Sonic * 1,537 35
Starbucks * 3,000 130
Starwood Hotels & Resorts
Worldwide 5,200 233
The Cheesecake Factory *ss. 1,000 40
Whitbread (GBP) 5,573 83
1,496
Household Durables 1.2%
Fortune Brands 1,000 75
Harman International 100 9
Jarden * 1,250 45
Newell Rubbermaid 23,700 557
Persimmon (GBP) 5,518 63
Pioneer (JPY) ss. 3,300 85
SEB (EUR) 286 34
Sony (JPY) 3,800 143
Thomson (EUR) 5,553 110
Tupperware 9,400 183
1,304
Internet & Catalog Retail 0.3%
Amazon.com * 500 27
eBay * 2,800 258
priceline.com *ss. 600 16
301
Leisure Equipment & Products 0.4%
Brunswick 1,500 61
Eastman Kodak 8,100 219
Heiwa (JPY) 1,500 24
MarineMax * 800 23
Noritsu Koki (JPY) 1,000 24
Polaris Industries ss. 500 24
SCP Pool 625 28
403
Media 2.7%
Aegis (GBP) 30,012 49
Astro All Asia, 144A (MYR) * 14,900 18
British Sky Broadcast (GBP) 8,008 90
Clear Channel Communications 3,601 133
Comcast, Class A, Common * 13,916 390
Comcast, Class A, Special * 6,800 188
Disney 13,200 336
EchoStar Communications
Class A * 5,300 163
Emmis Communications
Class A * 900 19
Entercom Communications * 300 11
Gestevision Telecino (EUR) * 600 9
Getty Images * 300 18
JC Decaux (EUR) * 2,945 63
Liberty Media, Class A * 13,876 125
Liberty Media International,
Series A * 693 25
McGraw-Hill 100 8
New York Times, Class A 8,100 362
News Corporation (AUD) 6,005 53
News Corporation ADR ss. 1,000 35
Omnicom 1,500 114
Scholastic * 1,800 54
Scripps, Class A 2,000 210
Singapore Press (SGD) 8,500 20
Time Warner * 11,000 193
Viacom, Class B 8,190 293
Washington Post, Class B 34 32
WPP Group ADR 900 46
Young Broadcasting, Class A * 500 7
3,064
Multiline Retail 0.6%
Big Lots * 800 11
Family Dollar Stores 700 21
Neiman Marcus, Class A 300 17
Nordstrom 6,400 273
Target 8,900 378
700
Specialty Retail 1.4%
AC Moore Arts & Crafts * 300 8
AnnTaylor Stores * 2,400 70
Best Buy 5,100 259
Charles Voegele (CHF) 627 26
Christopher & Banks 1,075 19
Dixons (GBP) 18,176 54
Esprit Holdings (HKD) 8,000 36
Home Depot 16,500 581
Hot Topic * 300 6
Kesa Electricals (GBP) 1,963 10
Linens 'n Things * 800 23
Monro Muffler Brake * 300 7
Nobia AB (SEK) 3,798 45
The Finish Line, Class A * 300 9
Toys "R" Us * 26,900 429
Ultimate Electronics *ss. 300 2
1,584
Textiles, Apparel, & Luxury Goods 0.2%
Adidas-Salomon (EUR) 435 52
Compagnie Financiere Richemont
Equity Units, Class A (CHF) 1,690 44
Culp * 100 1
Unifi * 1,300 4
World Company (JPY) 1,000 30
Yue Yuen Industrial (HKD) 23,400 56
187
Total Consumer Discretionary 10,473
CONSUMER STAPLES 4.8%
Beverages 0.6%
Allied Domecq (GBP) 9,067 77
Coca-Cola 3,600 182
Kirin Brewery (JPY) ss. 8,000 79
Lion Nathan (NZD) 13,900 65
PepsiCo 4,250 229
Remy Cointreau (EUR) 1,203 39
671
Food & Staples Retailing 1.6%
Carrefour (EUR) 983 48
Casey's General Stores 2,800 51
Casino Guichard-Perrachon
(EUR) ss. 1,367 123
Coles Myer (AUD) 8,557 51
CVS 13,800 580
J Sainsbury (GBP) 11,487 59
METRO (EUR) 2,128 101
Performance Food Group * 1,600 42
Sysco 2,500 90
Tesco (GBP) 16,363 79
Wal-Mart 6,600 348
Wal-Mart de Mexico (MXN) 36,100 107
Walgreen 1,100 40
Wild Oats Markets * 1,100 16
York-Benimaru (JPY) 1,400 42
1,777
Food Products 1.2%
American Italian Pasta, Class A ss. 300 9
Associated British Foods (GBP) 5,674 65
Campbell Soup 7,600 204
CSM, GDS (EUR) 1,967 46
General Mills ss. 6,960 331
Koninklijke Wessanen, GDS (EUR) 4,144 60
Nestle (CHF) 823 220
Seneca Foods, Class A * 300 6
Seneca Foods, Class B * 100 2
Unilever (GBP) 16,432 161
Unilever ADS 3,300 226
Yamazaki Baking (JPY) 2,000 20
1,350
Household Products 0.6%
Colgate-Palmolive 6,260 366
Kimberly-Clark 2,900 191
Procter & Gamble 1,400 76
633
Personal Products 0.1%
Chattem * 300 9
Gillette 1,200 51
L'Oreal (EUR) 468 37
97
Tobacco 0.7%
Altria Group 12,480 624
UST 4,630 167
791
Total Consumer Staples 5,319
ENERGY 4.5%
Energy Equipment & Services 1.5%
Atwood Oceanics * 700 29
Baker Hughes 16,200 610
BJ Services * 3,100 142
Cooper Cameron * 100 5
FMC Technologies * 2,000 58
Grant Prideco * 4,100 76
Hanover Compressor * 1,600 19
Hydril * 300 9
Key Energy Services * 800 8
Lone Star Technologies * 300 8
National Oilwell * 2,700 85
Schlumberger 4,900 311
Seacor Smit * 1,000 44
Smedvig, Series A (NOK) ss. 1,471 16
Smith International * 4,300 240
W-H Energy Services * 500 10
1,670
Oil & Gas 3.0%
BP (GBP) 11,862 105
BP ADR 12,138 650
ChevronTexaco 3,324 313
ENI (EUR) 10,639 212
ENI S.P.A. ADR ss. 100 10
Exxon Mobil 8,226 365
Forest Oil * 1,600 44
Marathon Oil 9,860 373
Noble Energy 1,000 51
Norsk Hydro (NOK) 942 61
OMV (EUR) 50 10
Petroleo Brasileiro (Petrobras) ADR 6,800 171
Shell Transport & Trading (GBP) 18,310 134
Shell Transport & Trading ADR 2,800 125
Statoil ASA (NOK) 10,433 132
Tonen General Sekiyu (JPY) ss. 3,000 26
Total, Series B (EUR) 1,352 258
Ultra Petroleum * 700 26
Unocal 6,230 237
Woodside Petroleum (AUD) 4,333 50
3,353
Total Energy 5,023
FINANCIALS 14.1%
Capital Markets 2.5%
Affiliated Managers Group *ss. 600 30
AmeriTrade * 3,400 39
Bank of New York 3,600 106
Charles Schwab 1,650 16
Credit Suisse Group (CHF) * 3,034 108
Deutsche Bank (EUR) 1,342 106
Franklin Resources 2,900 145
Goldman Sachs Group 2,400 226
Investor's Financial Services ss. 900 39
J.P. Morgan Chase 300 12
Legg Mason 2,000 182
Macquarie Bank (AUD) 3,524 83
Mellon Financial 19,280 565
Merrill Lynch 5,100 275
Morgan Stanley 3,300 174
National Financial Partners 400 14
Nomura (JPY) 4,000 59
Northern Trust 3,800 161
Piper Jaffray * 494 22
State Street 7,800 383
2,745
Commercial Banks 4.5%
ABN Amro Holdings (EUR) 4,877 107
Alliance & Leicester (GBP) 8,098 124
Anglo Irish Bank (EUR) 5,916 93
Australia & New Zealand
Banking (AUD) 12,416 158
Australia & New Zealand
Banking ADR 700 45
Banca Intesa (EUR) 20,429 80
Banco Santander
Central Hispano (EUR) ss. 11,897 124
Banco Santander Chile ADR 5,245 140
Bank Austria Creditanstalt (EUR) 1,648 97
Bank of America 7,200 609
Bank of Yokohama (JPY) 17,000 106
Bank One 5,390 275
Barclays (GBP) 31,404 267
BNP Paribas (EUR) 2,970 183
Boston Private Financial ss. 600 14
Chittenden 2,075 73
Citizens Banking ss. 1,600 50
DBS Group (SGD) 5,489 46
Dexia (EUR) ss. 3,216 53
Glacier Bancorp 552 15
Grupo Financiero Banorte (MXN) 32,600 116
HBOS (GBP) 10,141 125
HSBC (GBP) 8,448 126
Jyske (DKK) * 1,019 58
Mitsubishi Tokyo Financial (JPY) 7 65
National Australia Bank (AUD) 8,653 179
NORDEA (SEK) 22,475 162
Provident Bankshares 1,100 32
Royal Bank of Scotland
Group (GBP) 7,862 226
Sandy Spring Bancorp 500 17
SEB, Series A (SEK) 6,643 96
Signature Bank * 200 5
Southwest Bancorp 1,000 44
Sumitomo Mitsui Financial (JPY) ss. 17 116
Svenska Handelsbanken
Series A (SEK) 5,829 117
Texas Capital Bancshares * 900 15
The 77 Bank (JPY) 7,000 48
U.S. Bancorp 13,700 377
UniCredito Italiano (EUR) 16,320 81
Valley National Bancorp ss. 1,619 41
Wells Fargo 4,000 229
WestAmerica 1,100 58
4,992
Consumer Finance 0.8%
AIFUL (JPY) 700 73
American Express 12,850 660
SLM Corporation 5,100 206
939
Diversified Financial Services 0.9%
Assured Guaranty * 2,100 35
Citigroup 19,850 923
ING Groep GDS (EUR) 3,940 93
1,051
Insurance 3.4%
Allianz (EUR) 913 99
American International Group 13,698 976
Aspen Insurance Holdings 800 19
Aviva (GBP) 6,081 63
Bristol West Holdings 1,100 20
Brown and Brown 900 39
CNP Assurances (EUR) 1,857 108
Genworth Financial, Class A * 12,100 278
Hannover Rueckversicherung
(EUR) *ss. 1,257 42
Harleysville Group 400 8
Hartford Financial Services 3,300 227
Horace Mann Educators 2,300 40
Infinity Property & Casualty 1,000 33
Insurance Australia Group (AUD) 13,823 48
Markel * 130 36
Marsh & McLennan 3,500 159
Mitsui Sumitomo Insurance (JPY) 8,000 75
Nipponkoa Insurance (JPY) ss. 6,000 38
Ohio Casualty * 2,800 56
PartnerRe 800 45
QBE Insurance (AUD) ss. 10,998 98
Royal & Sun Alliance (GBP) 35,161 53
SAFECO 8,200 361
Saint Paul Companies 8,563 347
Selective Insurance 900 36
Triad Guaranty * 300 17
Unipol (EUR) ss. 18,838 72
UnumProvident 8,500 135
W. R. Berkley 725 31
XL Capital 2,600 196
3,755
Real Estate 1.2%
Arden Realty, REIT 900 27
China Overseas Land (HKD) 194,000 34
Corio (EUR) 1,148 49
EastGroup Properties, REIT 1,000 34
Essex Property Trust, REIT 100 7
Federal Realty Investment Trust
REIT 5,300 220
Gables Residential Trust, REIT 900 31
General Property Trust,
Equity Units (AUD) 37,269 90
Goldcrest (JPY) 1,080 74
LaSalle Hotel Properties, REIT 500 12
Manufactured Home Communities
REIT 300 10
Parkway Properties, REIT 700 31
Reckson Associates Realty, REIT 6,726 185
Simon Property Group, REIT 5,396 277
Sun Hung Kai Properties (HKD) 9,000 74
Washington, REIT 1,100 32
Westfield Trust, Equity Units (AUD) 24,410 75
Wheelock (HKD) 21,000 25
1,287
Thrifts & Mortgage Finance 0.8%
Bradford & Bingley (GBP) 16,476 83
Fannie Mae 7,520 537
Frankfort First 100 2
Freddie Mac 2,280 145
Hypo Real Estate (EUR) * 3,074 90
857
Total Financials 15,626
HEALTH CARE 7.2%
Biotechnology 0.8%
Abgenix * 200 2
Alexion Pharmaceutical *ss. 200 4
Alkermes *ss. 1,000 14
Amgen * 6,000 327
Amylin Pharmaceuticals *ss. 600 14
Anadys Pharmaceuticals * 700 5
Biogen Idec * 1,300 82
Cephalon *ss. 376 20
CSL Limited (AUD) 1,614 25
Cubist Pharmaceuticals *ss. 700 8
CV Therapeutics *ss. 200 3
Cytogen * 400 6
Cytokinetics *ss. 100 2
deCODE GENETICS *ss. 200 2
Dynavax Technologies * 400 3
Exelixis * 1,100 11
Genentech * 1,500 84
Gilead Sciences * 2,400 161
MedImmune * 1,400 33
Memory Pharmaceuticals * 400 4
Myriad Genetics *ss. 900 14
Neurocrine Biosciences * 500 26
NPS Pharmaceuticals *ss. 300 6
ONYX Pharmaceuticals * 600 25
OSI Pharmaceuticals * 100 7
Rigel Pharmaceuticals *ss. 300 4
Trimeris *ss. 300 4
Vertex Pharmaceuticals *ss. 1,948 21
917
Health Care Equipment & Supplies 1.1%
Advanced Neuromodulation
Systems * 600 20
Analogic 500 21
Baxter International 9,200 317
Biomet 200 9
Boston Scientific * 3,600 154
DJ Orthopedics * 600 14
Edwards Lifesciences * 800 28
Elekta, Series B (SEK) * 1,683 37
EPIX Medical * 300 6
Guidant 900 50
Integra LifeServices Holdings * 700 25
Matthews International, Class A 1,600 53
Medtronic 4,900 239
Nuvasive * 400 4
St. Jude Medical * 600 45
Steris * 1,300 29
Stryker 1,600 88
Thoratec * 700 8
Wilson Greatbatch Technologies * 600 17
1,164
Health Care Providers & Services 1.7%
Alliance UniChem (GBP) 6,092 72
AmerisourceBergen 4,800 287
Anthem * 1,000 90
Celesio (EUR) 1,194 71
Henry Schein * 900 57
Hooper Holmes 1,600 9
LabOne * 200 6
Lifeline Systems * 900 21
LifePoint Hospitals * 200 7
Medco * 495 19
Sunrise Senior Living *ss. 1,400 55
Suzuken (JPY) * 700 22
Symbion * 200 4
United Surgical Partners
International * 600 24
UnitedHealth Group 11,600 722
WellChoice * 500 21
WellPoint Health Networks * 3,200 358
1,845
Pharmaceuticals 3.6%
Abbott Laboratories 2,400 98
AstraZeneca ADR 2,500 114
Atherogenics *ss. 800 15
Aventis (EUR) ss. 1,243 94
Eisai (JPY) 2,000 57
Eli Lilly 1,400 98
Eon Labs *ss. 600 25
Forest Laboratories * 4,500 255
Galen (GBP) 4,919 62
GlaxoSmithKline (GBP) 6,401 130
GlaxoSmithKline ADR 2,400 99
Hisamitsu Pharmaceutical (JPY) 2,000 37
Inspire Phamaceuticals * 300 5
Johnson & Johnson 5,460 304
Kobayashi Pharmaceutical (JPY) 1,000 29
Medicines Company * 500 15
Merck 5,600 266
Nektar Therapeutics * 300 6
Novartis (CHF) 6,534 288
Noven Pharmaceuticals * 1,400 31
Novo Nordisk, Series B (DKK) 775 40
Pfizer 24,300 833
Sanofi-Synthelabo (EUR) ss. 2,136 136
Schering-Plough 18,300 338
Takeda Chemical Industries (JPY) 1,600 70
Teva Pharmaceutical ADR 1,500 101
Wyeth 13,880 502
4,048
Total Health Care 7,974
INDUSTRIALS & BUSINESS SERVICES 8.3%
Aerospace & Defense 0.9%
Armor Holdings * 1,700 58
European Aeronautic
Defense & Space (EUR) ss. 3,671 102
General Dynamics 1,000 99
Honeywell International 2,100 77
Lockheed Martin 12,900 672
Mercury Computer Systems * 800 20
Rockwell Collins 100 3
1,031
Air Freight & Logistics 0.4%
EGL * 1,700 45
Expeditors International
of Washington 100 5
Pacer International * 1,000 19
Ryder System 900 36
UPS, Class B 3,900 293
UTi Worldwide ss. 900 47
445
Airlines 0.0%
Frontier Airlines * 900 10
Midwest Express Holdings *ss. 900 4
Qantas Airways (AUD) 10,222 25
39
Building Products 0.1%
Pilkington (GBP) 33,986 60
Quixote 100 2
Trex *ss. 400 15
77
Commercial Services & Supplies 1.8%
Apollo Group, Class A * 3,450 305
Cendant 5,500 135
Central Parking ss. 2,000 37
ChoicePoint * 1,300 59
Consolidated Graphics * 1,300 57
Education Management * 200 7
Electro Rent 600 6
First Advantage, Class A * 300 6
G&K Services, Class A 900 36
Glory (JPY) 2,000 30
H&R Block 3,000 143
Herman Miller 1,600 46
Intersections * 100 2
Ionics *ss. 1,700 48
KForce.com * 1,600 15
Layne Christensen * 300 5
LECG * 1,000 17
R.R. Donnelley 12,300 406
Resources Connection * 1,300 51
SOURCECORP * 800 22
Tetra Tech * 1,790 29
Waste Management 15,822 485
West Corporation * 400 11
1,958
Construction & Engineering 0.3%
Acciona (EUR) 1,296 81
AMEC (GBP) 10,662 53
Balfour Beatty (GBP) 12,272 59
Insituform Technologies, Class A * 800 13
JGC (JPY) 4,000 38
NCC AB, Series B (SEK) 6,045 57
301
Electrical Equipment 0.2%
A.O. Smith 2,000 63
American Superconductor *ss. 300 4
Artesyn Technologies * 1,400 13
Belden 2,200 47
Draka (EUR) 1,193 23
PECO II * 900 1
Sumitomo Electric Industries (JPY) 5,000 51
Woodward Governor 100 7
209
Industrial Conglomerates 2.3%
3M 3,640 328
DCC (EUR) 3,386 62
GE 21,100 684
Hutchison Whampoa (HKD) 16,600 113
Sembcorp (SGD) 101,000 78
Siemens (EUR) 2,931 211
Tyco International 33,552 1,112
2,588
Machinery 1.4%
Actuant Corporation, Class A * 1,040 41
Danaher ss. 10,000 518
Deere 5,700 400
Fanuc (JPY) 1,300 77
Graco 1,150 36
Guinness Peat Group (NZD) 30,301 37
Harsco 1,400 66
IDEX 450 15
Illinois Tool Works 800 77
Lindsay Manufacturing ss. 1,200 29
Mitsubishi Heavy Industries (JPY) 20,000 54
Pall 5,500 144
Reliance Steel & Aluminum 300 12
Saurer (CHF) * 564 29
Toro 500 35
1,570
Marine 0.1%
Nippon Yusen (JPY) ss. 19,000 88
88
Road & Rail 0.7%
Arriva (GBP) 9,298 69
Burlington Northern Santa Fe 8,000 281
Genesee & Wyoming, Class A * 100 2
Heartland Express 451 12
Knight Transportation * 1,900 55
Nippon Express (JPY) 8,000 47
Norfolk Southern 11,700 310
Overnite 500 15
791
Trading Companies & Distributors 0.1%
Mitsubishi (JPY) 9,000 87
Sumitomo (JPY) 11,000 80
167
Total Industrials & Business Services 9,264
INFORMATION TECHNOLOGY 8.1%
Communications Equipment 2.1%
Black Box 900 42
Cisco Systems * 22,100 524
Corning * 50,000 653
Emulex * 1,100 16
F5 Networks * 400 11
Ixia * 700 7
Juniper Networks * 4,000 98
Lucent Technologies *ss. 83,500 316
Nokia (EUR) 3,667 53
Nokia ADR 5,100 74
Packeteer * 400 6
QLogic * 1,900 50
QUALCOMM 1,300 95
Research In Motion * 3,200 219
Riverstone Networks * 2,000 3
Sagem (EUR) 665 74
Sirf Technology Holdings * 500 6
Stratos International *ss. 117 1
Tekelec * 600 11
Uniden (JPY) 1,000 22
2,281
Computers & Peripherals 0.7%
Creative Technology (SGD) 2,400 25
Dell * 12,500 448
IBM 300 26
Lexmark International, Class A * 1,600 155
Motive* 600 6
NEC (JPY) 5,000 35
NEC Fielding (JPY) *ss. 600 18
Synaptics * 900 17
730
Electronic Equipment & Instruments 0.3%
Digital Theater Systems * 400 10
Hosiden (JPY) 2,400 29
KEMET * 2,100 26
Kyocera (JPY) 500 42
Littelfuse * 700 30
Methode Electronics 1,600 21
Newport * 800 13
Plexus * 2,200 30
Shimadzu (JPY) 13,000 66
TDK (JPY) 900 68
Technitrol * 400 9
Woodhead Industries 1,200 19
363
Internet Software & Services 0.5%
Digital Insight * 900 19
InterActiveCorp * 5,600 169
Internet Security Systems * 1,200 18
MatrixOne * 1,900 13
Netegrity * 1,200 10
Sonicwall * 100 1
Websense *ss. 400 15
Yahoo! * 9,700 352
597
IT Services 0.9%
Accenture, Class A * 1,200 33
Affiliated Computer Services
Class A * 2,800 148
Automatic Data Processing 300 13
BISYS Group * 1,300 18
CACl International, Class A * 900 36
First Data 4,968 221
Fiserv * 3,800 148
Global Payments ss. 1,000 45
Indra Sistemas (EUR) ss. 4,755 61
Iron Mountain * 1,350 65
Itochu Techno-Science (JPY) 1,900 81
Logica CMG (GBP) 7,715 26
Maximus * 1,200 42
MPS Group * 3,200 39
SunGard Data Systems * 1,800 47
1,023
Office Electronics 0.1%
Canon (JPY) 2,000 105
Neopost (EUR) 684 41
146
Semiconductor & Semiconductor Equipment 1.5%
AMIS Holdings * 500 9
Analog Devices 5,400 254
Applied Materials * 4,100 80
Artisan Components *ss. 1,000 26
Atheros Communications * 200 2
ATMI * 1,000 27
Cabot Microelectronics *ss. 700 21
Entegris * 1,700 20
Exar * 1,400 21
Intel 9,900 273
Jenoptik (EUR) *ss. 3,756 40
Lattice Semiconductor *ss. 300 2
Maxim Integrated Products 6,300 330
Microchip Technology 1,700 54
Microsemi * 1,200 17
MKS Instruments * 1,700 39
Mykrolis * 2,000 35
PDF Solutions * 800 7
Power Integrations * 200 5
Rohm (JPY) 200 24
Semiconductor Manufacturing
ADR *ss. 1,900 20
Semtech * 2,000 47
Sigmatel * 500 15
Tessera Technologies * 800 14
Texas Instruments 4,400 106
Xilinx 3,900 130
1,618
Software 2.0%
Actuate * 400 2
Adobe Systems 5,100 237
Altiris *ss. 600 17
Catapult Communications * 300 7
Concord Communications * 300 3
FactSet Research Systems 1,000 47
FileNet * 1,300 41
Intuit * 4,900 189
Jack Henry & Associates 2,600 52
Kronos * 1,800 74
Magma Design Automation *ss. 600 12
Mercury Interactive * 300 15
Microsoft 28,180 805
NEC Soft (JPY) ss. 1,100 31
NetIQ * 1,384 18
Open Solutions * 500 12
Oracle * 1,300 16
Progress Software * 1,000 22
Quest Software * 1,100 14
Red Hat * 1,000 23
RSA Security *ss. 1,300 27
SAP (EUR) 906 150
SAP ADR 3,800 159
SPSS * 800 14
Symantec * 1,600 70
Trend Micro (JPY) 1,000 44
Verisity Ltd. * 500 3
VERITAS Software * 3,375 93
Verity * 1,300 18
2,215
Total Information Technology 8,973
MATERIALS 5.1%
Chemicals 2.0%
Agrium 13,600 198
Airgas 3,700 88
Arch Chemicals ss. 1,400 40
BASF (EUR) 2,221 119
Degussa (EUR) 3,347 111
Dow Chemical 9,100 370
DuPont 7,384 328
Ferro 1,400 37
Great Lakes Chemical 4,510 122
Hercules * 11,700 143
IMC Global 2,700 36
International Flavors & Fragrances 5,200 195
Kaneka (JPY) 5,000 47
MacDermid 200 7
Material Sciences * 1,000 11
Minerals Technologies 1,100 64
Mitsubishi Gas Chemical (JPY) 9,000 37
Potash Corp./Saskatchewan 1,900 184
Symyx Technologies * 600 15
Teijin (JPY) ss. 21,000 78
Yara International (NOK) * 942 8
2,238
Construction Materials 0.4%
Aggregate (GBP) 34,417 51
Boral (AUD) 35,992 162
Cemex (MXN) 20,458 118
Heidelberger Zement (EUR) 773 39
Lafarge (EUR) 410 37
RMC (GBP) 4,583 50
457
Containers & Packaging 0.1%
Chesapeake Corp. 700 19
Smurfit-Stone Container *ss. 300 6
Toyo Seikan Kaisha (JPY) ss. 3,000 51
76
Metals & Mining 2.2%
Alcoa 7,868 260
Anglo American (GBP) 2,808 58
BHP Billiton (AUD) 6,000 52
Bluescope Steel (AUD) 32,184 151
Gibraltar Steel 300 10
Lihir Gold (AUD) *ss. 21,900 15
Meridian Gold * 2,100 27
Nippon Steel (JPY) 33,000 69
NN 300 4
Nucor 13,300 1,021
Phelps Dodge * 8,500 659
SSAB Svenskt Stal, Series A (SEK) 3,869 65
Steel Dynamics * 1,300 37
Voestalpine (EUR) 950 47
2,475
Paper & Forest Products 0.4%
Buckeye Technologies * 2,200 25
MeadWestvaco 6,400 188
Weyerhaeuser 3,800 240
453
Total Materials 5,699
TELECOMMUNICATION SERVICES 2.1%
Diversified Telecommunication Services 0.8%
Cable & Wireless (GBP) * 12,469 29
SBC Communications 4,920 119
Sprint 13,400 236
TDC (DKK) 1,805 59
Tele Norte Leste Participacoes
ADR ss. 5,800 74
Tele2 AB, Series B (SEK) 1,857 81
Telecom Italia (EUR) 29,812 93
Telenor (NOK) 13,942 97
Telmex ADR 2,400 80
868
Wireless Telecommunication Services 1.3%
America Movil ADR, Series L 3,300 120
Bouygues (EUR) 2,648 89
China Unicom (HKD) 31,000 24
Debitel AG (EUR) * 1,530 22
KDDI (JPY) 25 143
mm02 (GBP) * 87,209 147
Nextel Communications
Class A * 11,700 312
SK Telecom ADR ss. 1,750 37
Smartone Telecommunications
(HKD) 26,000 28
Spectrasite * 1,100 47
Telecom Italia Mobile (EUR) 24,845 141
Total Access Communications * 8,000 21
Vodafone ADR 16,000 354
Western Wireless, Class A * 500 14
1,499
Total Telecommunication Services 2,367
UTILITIES 1.6%
Electric Utilities 1.2%
Cleco 1,000 18
E.On (EUR) 3,248 235
El Paso Electric * 900 14
Exelon, 144A 5,750 191
FirstEnergy 6,287 235
Hong Kong Electric (HKD) 8,100 34
Iberdrola (EUR) ss. 5,062 107
TEPCO (JPY) 2,100 47
Tohoku Electric Power (JPY) 4,500 76
TXU 8,640 350
1,307
Gas Utilities 0.2%
Australian Gas Light (AUD) 7,979 67
Centrica (GBP) 29,360 120
Toho Gas (JPY) 11,000 37
224
Multi-Utilities & Unregulated Power 0.2%
Constellation Energy Group 4,000 151
RWE (EUR) 1,143 54
United Utilities (GBP) 6,275 59
264
Total Utilities 1,795
Total Common Stocks (Cost $53,960) 72,513
Preferred Stocks 0.3%
Fresenius (EUR) 625 47
News Corporation ADR 4,000 132
Porsche (EUR) 131 88
Total Preferred Stocks (Cost $211) 267
CORPORATE BONDS 5.4%
ABN Amro Bank (Chicago)
7.125%, 6/18/07 40,000 44
Ace Ina Holdings
5.875%, 6/15/14 35,000 35
AIG Sunamerica Global
Financing XII, 144A
5.30%, 5/30/07 100,000 104
Alcan, 6.125%, 12/15/33 40,000 39
Allstate Financial Global Funding
144A, 5.25%, 2/1/07 35,000 37
Amerada Hess, 7.875%, 10/1/29 30,000 32
AOL Time Warner
7.625%, 4/15/31 45,000 49
Appalachian Power
4.80%, 6/15/05 50,000 51
AT&T Broadband
8.375%, 3/15/13 50,000 59
Baker Hughes, 6.875%, 1/15/29 65,000 71
Bank of America
4.875%, 9/15/12 65,000 63
Bank One, 5.25%, 1/30/13 85,000 83
BB&T, 6.50%, 8/1/11 20,000 22
Black Hills, 6.50%, 5/15/13 40,000 40
Boeing, 8.75%, 8/15/21 25,000 31
British Telecommunications
VR, 8.375%, 12/15/10 25,000 29
Buckeye Partners, 6.75%, 8/15/33 20,000 20
Bunge Limited, 4.375%, 12/15/08 45,000 44
Canadian National Railway
4.40%, 3/15/13 40,000 37
Canadian Natural Resources
7.20%, 1/15/32 90,000 101
Capital One Bank
6.50%, 6/13/13 40,000 41
CE Electric UK Funding, 144A
6.995%, 12/30/07 35,000 37
Celulosa Arauco y Constitucion
5.125%, 7/9/13 40,000 38
Chancellor Media
8.00%, 11/1/08 25,000 28
Chevron Phillips Chemical
5.375%, 6/15/07 40,000 42
CIT Group
2.875%, 9/29/06 20,000 20
7.75%, 4/2/12 60,000 68
Citigroup, 5.625%, 8/27/12 70,000 72
Citizens Communications
9.00%, 8/15/31 25,000 24
ConocoPhillips
5.90%, 10/15/32 45,000 44
Countrywide Home Loans
5.50%, 2/1/07 35,000 37
Cox Communications
7.875%, 8/15/09 45,000 51
DaimlerChrysler
6.50%, 11/15/13 50,000 51
Deutsche Telekom International
Finance, STEP
8.75%, 6/15/30 30,000 37
Developers Diversified Realty
3.875%, 1/30/09 35,000 34
Devon Financing
7.875%, 9/30/31 40,000 46
Domtar, 5.375%, 12/1/13 45,000 43
Dow Chemical, 6.125%, 2/1/11 30,000 31
Duke Capital
4.302%, 5/18/06 25,000 26
7.50%, 10/1/09 40,000 44
Encana Holdings Finance
5.80%, 5/1/14 50,000 51
Entergy Gulf States
5.20%, 12/3/07 45,000 45
eXelon Generation, 144A
5.35%, 1/15/14 35,000 34
Falconbridge, 7.35%, 6/5/12 25,000 26
Federated Department Stores
6.625%, 4/1/11 35,000 38
First Union, 6.40%, 4/1/08 20,000 22
Ford Motor Credit
6.50%, 1/25/07 100,000 105
France Telecom, STEP
8.75%, 3/1/11 20,000 23
Franklin Resources
3.70%, 4/15/08 15,000 15
Fred Meyer, 7.45%, 3/1/08 45,000 50
Fund American Companies
5.875%, 5/15/13 45,000 45
General Electric Capital
6.00%, 6/15/12 60,000 63
6.125%, 2/22/11 45,000 48
Genworth Financial
5.75%, 6/15/14 45,000 46
Glaxosmithkline Capital
5.375%, 4/15/34 30,000 27
GM, 8.375%, 7/15/33 50,000 53
GM Acceptance, 7.25%, 3/2/11 55,000 58
Goldman Sachs Capital I
6.345%, 2/15/34 90,000 85
Halliburton, 144A, VR
1.92%, 1/26/07 45,000 45
HBOS, 144A, 6.00%, 11/1/33 40,000 38
Hearst-Argyle, 7.00%, 1/15/18 35,000 38
Hertz, 4.70%, 10/2/06 20,000 20
Highmark, 144A, 6.80%, 8/15/13 20,000 21
Hospira, 144A, 4.95%, 6/15/09 45,000 45
Household Finance
6.375%, 11/27/12 35,000 37
Hutchison Whampoa, 144A
5.45%, 11/24/10 60,000 59
IBM, 4.25%, 9/15/09 55,000 55
International Lease Finance
6.375%, 3/15/09 100,000 107
International Speedway, 144A
4.20%, 4/15/09 20,000 20
IStar Financial, 4.875%, 1/15/09 20,000 19
Jersey Central Power & Light
144A, 5.625%, 5/1/16 20,000 20
John Deere Capital
7.00%, 3/15/12 55,000 62
Kaneb Pipeline Operations
7.75%, 2/15/12 25,000 27
Kinder Morgan, 6.50%, 9/1/12 50,000 53
Kraft Foods, 5.625%, 11/1/11 45,000 46
Liberty Media, VR
3.02%, 9/17/06 45,000 46
Marsh & McLennan
3.625%, 2/15/08 20,000 20
Masco, 5.875%, 7/15/12 80,000 83
McCormick, 6.40%, 2/1/06 125,000 132
Miller Brewing, 144A
5.50%, 8/15/13 60,000 60
Morgan Stanley, 3.625%, 4/1/08 75,000 74
Motorola, 6.75%, 2/1/06 25,000 26
Nationwide Financial Services
5.90%, 7/1/12 55,000 57
Nationwide Mutual Insurance
144A, 6.60%, 4/15/34 25,000 24
NLV Financial, 144A
7.50%, 8/15/33 30,000 30
Northern Trust, 4.60%, 2/1/13 30,000 29
Office Depot, 6.25%, 8/15/13 35,000 36
Ohio Edison, 4.00%, 5/1/08 40,000 39
Panhandle Eastern Pipeline
4.80%, 8/15/08 20,000 20
Pemex Project Funding Master Trust
7.375%, 12/15/14 30,000 31
144A, VR, 2.70%, 6/15/10 45,000 45
PG&E, VR, 1.81%, 4/3/06 50,000 50
Pinnacle West Capital
6.40%, 4/1/06 45,000 47
Pioneer Natural Resources
7.50%, 4/15/12 35,000 40
Plains All American Pipeline
7.75%, 10/15/12 30,000 33
Potomac Electric Power
3.75%, 2/15/06 25,000 25
PPL Capital Funding, 144A
4.33%, 3/1/09 45,000 44
Principal Life Global Funding
144A, 5.125%, 10/15/13 45,000 44
Principal Mutual Life Insurance
144A, 8.00%, 3/1/44 45,000 46
Prudential Financial
3.75%, 5/1/08 40,000 40
PSEG Power, 3.75%, 4/1/09 35,000 33
Public Service of New Mexico
4.40%, 9/15/08 35,000 35
Pulte, 7.875%, 8/1/11 35,000 40
R.R. Donnelley, 144A
3.75%, 4/1/09 25,000 24
Reckson Operating Partnership
5.15%, 1/15/11 40,000 39
Rogers Cable, 5.50%, 3/15/14 40,000 35
Rouse, 8.43%, 4/27/05 125,000 130
SCA Coordination Center
144A, 4.50%, 7/15/15 30,000 27
Sealed Air, 144A
5.375%, 4/15/08 40,000 41
Security Benefit Life Insurance
144A, 7.45%, 10/1/33 20,000 21
Sempra Energy, 6.00%, 2/1/13 50,000 52
Simon Property Group New
3.75%, 1/30/09 45,000 43
SLM Corporation
1.37%, 1/26/08 50,000 50
VR, 2.82%, 4/1/09 35,000 34
Sprint Capital
6.875%, 11/15/28 30,000 29
7.625%, 1/30/11 50,000 55
State Street, 7.65%, 6/15/10 70,000 81
Sungard Data Systems
3.75%, 1/15/09 25,000 24
Telecom Italia, 144A
5.25%, 11/15/13 50,000 48
Telefonos De Mexico
4.50%, 11/19/08 20,000 19
Telus, 8.00%, 6/1/11 30,000 34
Transocean, 7.50%, 4/15/31 30,000 34
Tyco International
6.375%, 10/15/11 35,000 37
U.S. Bank, 2.85%, 11/15/06 40,000 40
U.S. Cellular, 6.70%, 12/15/33 25,000 24
Union Pacific, 6.50%, 4/15/12 55,000 59
UST, 6.625%, 7/15/12 70,000 76
Verizon Global Funding
7.75%, 12/1/30 45,000 50
Webster Financial
5.125%, 4/15/14 45,000 43
Wells Fargo, VR
1.62%, 3/23/07 55,000 55
Western Power Distribution
Holdings, 144A
6.875%, 12/15/07 25,000 26
Weyerhaeuser, 6.75%, 3/15/12 45,000 49
XL Capital Finance
6.50%, 1/15/12 40,000 43
XTO Energy, 4.90%, 2/1/14 35,000 33
Yum! Brands, 7.70%, 7/1/12 45,000 51
Total Corporate Bonds (Cost $5,964) 5,986
ASSET-BACKED SECURITIES 0.9%
Capital Auto Receivables Asset Trust
Series 2002-2, Class CERT
4.18%, 10/15/07 73,002 74
Chase Manhattan Auto Owner Trust
Series 2001-B, Class CTFS
3.75%, 5/15/08 33,148 33
Series 2003-A, Class A4
2.06%, 12/15/09 80,000 78
CIT RV Trust, Series 1998-A
Class A4, 6.09%, 2/15/12 69,717 70
Citibank Credit Card Issuance Trust
Series 2001-C1, Class C1
VR, 2.22%, 1/15/10 55,000 56
Series 2000-C1, Class C1
7.45%, 9/15/07 125,000 132
Hyundai Auto Receivables Trust
Class A4, 3.02%, 10/15/10 40,000 39
Series 2003-A, Class D
4.06%, 10/15/10 20,000 20
MBNA Master Credit Card Trust II
Series 2000-D, Class C
144A, 8.40%, 9/15/09 125,000 140
Morgan Stanley Auto Loan Trust
Series 2004-HB1, Class C
VR, 2.88%, 10/15/11 35,000 35
Peco Energy Transition Trust
Series 2001-A, Class A1
VR, 6.52%, 12/31/10 110,000 121
Reliant Energy Transition Bond
Series 2001-1, Class A4
5.63%, 9/15/15 100,000 104
World Financial Network
Series 2003-A, Class A2
VR, 1.61%, 5/15/12 100,000 100
Total Asset-Backed Securities (Cost $990) 1,002
FOREIGN GOVERNMENT OBLIGATIONS & AGENCY
OBLIGATIONS 1.4%
Asian Development Bank
6.25%, 6/15/11 (AUD) 295,000 207
Federal Republic of Germany
5.00%, 5/20/05 (EUR) 460,000 573
Government of Canada
5.25%, 6/1/12 (CAD) 595,000 457
Inter-American Development Bank
5.00%, 11/15/06 (AUD) 300,000 205
Republic of Chile
5.50%, 1/15/13 45,000 45
Republic of South Africa
6.50%, 6/2/14 25,000 25
United Mexican States
6.375%, 1/16/13 55,000 55
VR, 1.84%, 1/13/09 35,000 36
Total Foreign Government
Obligations & Agency Obligations
(Cost $1,395) 1,603
NON-U.S. GOVERNMENT MORTGAGE-BACKED
SECURITIES 1.7%
Banc of America Commercial Mortgage
Series 2003-1, Class A2, CMO
4.648%, 9/11/36 100,000 96
Bank of America Mortgage Securities
Series 2003-L, Class 2A2
CMO, VR, 4.356%, 1/25/34 161,055 160
Series 2004-A, Class 2A2
CMO, VR, 4.18%, 2/25/34 81,910 81
Series 2004-D, Class 2A2
CMO, VR, 4.23%, 5/25/34 57,227 57
BankBoston Home Equity Loan Trust
Series 1998-1, Class A6
6.35%, 2/25/13 80,752 82
Bear Stearns Commercial Mortgage
Securities, Series 2004-T14
Class A2, CMO
4.17%, 1/12/41 225,000 223
Centex Home Equity Loan Trust
Series 2004-C, Class M1
VR, 1.58%, 6/25/34 100,000 100
Chase Funding Mortgage Loan
Series 2003-3, Class 1M1
4.537%, 9/25/32 50,000 48
Series 2002-1, Class 1A3
5.039%, 12/25/23 71,784 72
Series 2002-2, Class 1M1
5.599%, 9/25/31 20,000 20
Countrywide Asset-Backed Certificates
Series 2004-6, Class 2A2
1.64%, 12/25/34 90,000 90
Series 2003-5, Class AF3
3.613%, 4/25/30 75,000 75
Countrywide Home Loans
Series 2003-60, Class 2A1
CMO, VR, 5.07%, 2/25/34 27,411 28
DLJ Commercial Mortgage
Series 1999-CG2, Class A1B
CMO, VR, 7.30%, 6/1/32 75,000 84
General Electric Capital
Series 2001-1, Class A2
CMO, 6.531%, 5/15/33 100,000 108
Greenwich Capital Commercial Funding
Series 2004-GGIA, Class A2
CMO, 3.835%, 6/10/36 85,000 85
J.P. Morgan Chase Commercial Mortgage
Series 2001-CIB2, Class A2
CMO, 6.244%, 4/15/35 100,000 106
Series 2001-CIBC, Class A3
CMO, 6.26%, 3/15/33 100,000 108
LB-UBS Commercial Mortgage Trust
Series 2004-C2, Class A2
CMO, 3.246%, 3/15/29 125,000 119
Series 2004-C4, Class A2, CMO
VR, 4.567%, 5/15/29 125,000 126
Washington Mutual, Series 2004-AR1
Class A, CMO, VR
4.229%, 3/25/34 55,802 55
Total Non-U.S. Government
Mortgage-Backed Securities
(Cost $1,945) 1,923
U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED
SECURITIES 6.5%
U.S. Government Agency Obligations +/- 5.2%
Federal Home Loan Mortgage
4.50%, 11/1/18 - 5/1/19 296,405 290
5.00%, 12/1/08 - 11/1/33 645,246 638
5.50%, 10/1 - 12/1/33 109,101 109
7.00%, 6/1/32 58,307 62
ARM, 4.611%, 9/1/32 49,136 49
CMO
4.50%, 3/15/16 175,000 173
5.50%, 4/15/28 200,000 200
CMO, IO
4.50%, 7/15/11 - 5/15/16 257,000 33
TBA
5.50%, 1/1/34 143,000 142
6.00%, 1/1/34 241,000 246
Federal National Mortgage Assn.
4.50%, 5/1/18 - 1/1/19 585,817 575
5.00%, 3/1 - 4/1/34 720,305 697
5.50%, 10/1/17 - 6/1/34 650,213 652
6.00%, 10/1/13 - 5/1/34 148,939 154
6.50%, 5/1/17 - 12/1/32 177,663 186
7.00%, 4/1/32 17,028 18
CMO
2.91%, 11/25/33 55,000 54
3.50%, 4/25/13 75,000 75
5.00%, 3/25/15 125,000 126
5.50%, 5/25/28 88,185 89
CMO, IO
5.50%, 11/25/28 67,431 8
6.50%, 2/1/32 41,989 10
TBA
5.50%, 1/1/19 - 1/1/34 976,000 993
6.00%, 1/1/34 171,000 175
5,754
U.S. Government Obligations 1.3%
Government National Mortgage Assn.
5.00%, 9/15/33 - 3/20/34 534,632 518
5.50%, 1/20 - 5/20/34 468,590 468
6.00%, 4/15/26 - 2/20/34 140,014 144
6.50%, 3/15/26 - 12/20/33 121,841 128
7.00%, 9/20/27 89,056 95
8.00%, 10/15/25 - 6/15/26 42,246 46
8.50%, 12/15/24 7,114 8
11.50%, 11/15/19 11,567 13
1,420
Total U.S. Government & Agency
Mortgage-Backed Securities
(Cost $7,202) 7,174
U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING
MORTGAGE-BACKED) 6.5%
U.S. Government Agency Obligations +/- 2.2%
Federal Home Loan Bank
5.75%, 5/15/12 285,000 300
Federal Home Loan Mortgage
2.75%, 3/15/08 87,000 84
4.625%, 2/15/07 620,000 783
5.125%, 7/15/12 150,000 152
Federal National Mortgage Assn.
2.50%, 6/15/06 325,000 322
4.375%, 9/15/12 100,000 96
5.125%, 1/2/14 35,000 34
6.00%, 5/15/11 310,000 333
7.125%, 1/15/30 240,000 279
2,383
U.S. Treasury Obligations 4.3%
U.S. Treasury Bonds
5.375%, 2/15/31 95,000 96
6.00%, 2/15/26 100,000 108
6.25%, 8/15/23 - 5/15/30 565,000 628
6.375%, 8/15/27 50,000 57
7.50%, 11/15/16 95,000 117
U.S. Treasury Notes
1.50%, 3/31/06 15,000 15
2.125%, 10/31/04 265,000 266
2.50%, 5/31/06 800,000 797
3.25%, 8/15/08 785,000 775
3.375%, 12/15/08 675,000 667
3.875%, 2/15/13 70,000 67
4.75%, 11/15/08 255,000 266
5.00%, 8/15/11 290,000 303
5.875%, 11/15/04 270,000 274
6.50%, 8/15/05 ++ 385,000 403
4,839
Total U.S. Government Agency
Obligations (excluding Mortgage-
Backed) (Cost $6,979) 7,222
MUNICIPAL BONDS 0.4%
California
GO, 5.25%, 4/1/34 20,000 20
Economic Recovery
5.00%, 7/1/23 (Tender 7/1/07) 20,000 21
5.00%, 7/1/23 (Tender 7/1/07) 25,000 27
Kansas Dev. Fin. Auth.
Public Employee Retirement
5.501%, 5/1/34
(FSA Insured) 30,000 28
Massachusetts, GO
5.50%, 1/1/13
(MBIA Insured) 110,000 123
North Carolina, GO 5.25%, 3/1/13 145,000 160
Oregon, GO, 5.892%, 6/1/27 15,000 15
Puerto Rico Public Fin. Corp.
5.25%, 8/1/29
(Tender 2/1/12),8/1/04
(MBIA Insured) 45,000 49
Total Municipal Bonds (Cost $452) 443
DOMESTIC BOND MUTUAL FUNDS 7.3%
T. Rowe Price Institutional
High Yield Fund, 7.88% p 753,631 8,049
Total Domestic Bond Mutual Funds
(Cost $7,925) 8,049
SHORT-TERM INVESTMENTS 5.3%
Money Market Fund 5.1%
T. Rowe Price Reserve
Investment Fund, 1.16% # 5,674,738 5,675
5,675
U.S. Treasury Obligations 0.2%
U.S. Treasury Bills, 1.07%, 8/12/04 190,000 190
190
Total Short-Term Investments
(Cost $5,865) 5,865
SECURITIES LENDING COLLATERAL 2.9%
Money Market Pooled Account 2.9%
Investment in money market pooled account managed by
JP Morgan Chase
Bank, London, 1.15% # 1,274,539 1,275
State Street Bank and Trust Company of New Hampshire,
N.A. Securities Lending Quality
Trust units, 1.22% # 1,923,161 1,923
Total Securities Lending Collateral
(Cost $3,198) 3,198
Total Investments in Securities
103.8% of Net Assets (Cost $96,086) $115,245
--------
The accompanying notes are an integral part of these financial statements.
Futures Contracts
($ 000s)
Contract Unrealized
Expiration Value Gain (Loss)
---------- ----------- ----------
Short, 4 U.S. Treasury 5 year
contracts,:$4 of 6.50% U.S.
Treasury Notes pledged as
initial margin 9/04 $ (435) $ (4)
Short, 11 U.S. Treasury
10 year contracts,:$21 of 6.50%
U.S. Treasury Notes pledged as
initial margin 9/04 (1,203) (17)
Net payments (receipts) of
variation margin to date 11
Variation margin receivable
(payable) on open futures contracts (10)
(1) Denominated in U.S. dollars unless otherwise noted
# Seven-day yield
* Non-income producing
++ All or a portion of this security is pledged to cover margin requirements
on futures contracts at June 30, 2004
p SEC Yield
144A Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may be resold in transactions exempt from registration only to
qualified institutional buyers--total of such securities at period-end
amounts to $1,098 and represents 1.0% of net assets
ss. All or a portion of this security is on loan at June 30, 2004 - See Note 2
+/- The issuer is a publicly-traded company that operates under a
congressional charter; its securities are neither issued nor guaranteed by
the U.S. government
ADR American Depository Receipts
ADS American Depository Shares
ARM Adjustable Rate Mortgage
AUD Australian dollar
CAD Canadian dollar
CHF Swiss franc
CMO Collateralized Mortgage Obligation
DKK Danish krone
EUR Euro
FSA Financial Security Assurance Inc.
GBP British pound
GDR Global Depository Receipts
GDS Global Depository Shares
GO General Obligation
HKD Hong Kong dollar
IO Interest Only security for which the fund receives interest on notional
principal (par)
JPY Japanese yen
MBIA MBIA Insurance Corp.
MXN Mexican peso
MYR Malaysian ringgit
NOK Norwegian krone
NZD New Zealand dollar
REIT Real Estate Investment Trust
SEK Swedish krona
SGD Singapore dollar
STEP Stepped coupon bond for which the coupon rate of interest will adjust on
specified future date(s)
TBA To Be Announced security was purchased on a forward commitment basis
VR Variable Rate
The accompanying notes are an integral part of these financial statements.
Statement of Assets and Liabilities
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
June 30, 2004 (Unaudited)
(Amounts in $ 000s except shares and per share amounts)
Assets
Investments in securities, at value (cost $96,086) $ 115,245
Other assets 1,537
Total assets 116,782
Liabilities
Total liabilities 5,705
NET ASSETS $ 111,077
--------------------
Net Assets Consist of:
Undistributed net investment income (loss) $ 47
Undistributed net realized gain (loss) (5,542)
Net unrealized gain (loss) 19,138
Paid-in-capital applicable to 6,717,880 shares of
$0.0001 par value capital stock outstanding;
1,000,000,000 shares of the Corporation authorized 97,434
NET ASSETS $ 111,077
--------------------
NET ASSET VALUE PER SHARE $ 16.53
--------------------
The accompanying notes are an integral part of these financial statements.
Statement of Operations
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
(Unaudited)
($ 000s)
6 Months
Ended
6/30/04
Investment Income (Loss)
Income
Dividend $ 1,022
Interest 528
Securities lending 9
Total income 1,559
Investment management and administrative expense 465
Net investment income (loss) 1,094
Realized and Unrealized Gain (Loss)
Net realized gain (loss)
Securities 1,872
Futures 9
Foreign currency transactions (8)
Net realized gain (loss) 1,873
Change in net unrealized gain (loss)
Securities 776
Futures (2)
Other assets and liabilities
denominated in foreign currencies (9)
Change in net unrealized gain (loss) 765
Net realized and unrealized gain (loss) 2,638
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS $ 3,732
--------------------
The accompanying notes are an integral part of these financial statements.
Statement of Changes in Net Assets
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
(Unaudited)
($ 000s)
6 Months Year
Ended Ended
6/30/04 12/31/03
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) $ 1,094 $ 2,067
Net realized gain (loss) 1,873 (1,616)
Change in net unrealized gain (loss) 765 20,837
Increase (decrease) in net assets
from operations 3,732 21,288
Distributions to shareholders
Net investment income (1,061) (2,097)
Net realized gain -- (65)
Decrease in net assets from distributions (1,061) (2,162)
Capital share transactions *
Shares sold 9,775 12,155
Distributions reinvested 1,061 2,163
Shares redeemed (8,636) (16,928)
Increase (decrease) in net assets from capital
share transactions 2,200 (2,610)
Net Assets
Increase (decrease) during period 4,871 16,516
Beginning of period 106,206 89,690
End of period $ 111,077 $ 106,206
--------------- ---------------
(Including undistributed net investment
income of $47 at 6/30/04 and $14 at 12/31/03)
*Share information
Shares sold 595 850
Distributions reinvested 64 149
Shares redeemed (526) (1,200)
Increase (decrease) in shares outstanding 133 (201)
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
June 30, 2004 (Unaudited)
NOTE 1 - SIGNIFICANT ACCOUNTING POLICIES
T. Rowe Price Equity Series, Inc. (the corporation) is registered under the
Investment Company Act of 1940 (the 1940 Act). The Personal Strategy Balanced
Portfolio (the fund), a diversified, open-end management investment company, is
one portfolio established by the corporation and commenced operations on
December 30, 1994. The fund seeks the highest total return over time consistent
with an emphasis on both capital appreciation and income. Shares of the fund are
currently offered only through certain insurance companies as an investment
medium for both variable annuity contracts and variable life insurance policies.
The accompanying financial statements were prepared in accordance with
accounting principles generally accepted in the United States of America, which
require the use of estimates made by fund management.
Valuation
The fund values its investments and computes its net asset value per share at
the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET, each day
that the NYSE is open for business. Equity securities listed or regularly traded
on a securities exchange or in the over-the-counter market are valued at the
last quoted sale price or, for certain markets, the official closing price at
the time the valuations are made, except for OTC Bulletin Board securities,
which are valued at the mean of the latest bid and asked prices. A security that
is listed or traded on more than one exchange is valued at the quotation on the
exchange determined to be the primary market for such security. Listed
securities not traded on a particular day are valued at the mean of the latest
bid and asked prices for domestic securities and the last quoted sale price for
international securities.
Debt securities are generally traded in the over-the-counter market. Securities
with original maturities of one year or more are valued at prices furnished by
dealers who make markets in such securities or by an independent pricing
service, which considers yield or price of bonds of comparable quality, coupon,
maturity, and type, as well as prices quoted by dealers who make markets in such
securities. Securities with original maturities of less than one year are valued
at amortized cost in local currency, which approximates fair value when combined
with accrued interest.
Investments in mutual funds are valued at the mutual fund's closing net asset
value per share on the day of valuation. Financial futures contracts are valued
at closing settlement prices.
Other investments and those for which the above valuation procedures are
inappropriate or are deemed not to reflect fair value are stated at fair value
as determined in good faith by the T. Rowe Price Valuation Committee,
established by the fund's Board of Directors.
Most foreign markets close before the close of trading on the NYSE. If the fund
determines that developments between the close of a foreign market and the close
of the NYSE will, in its judgment, materially affect the value of some or all of
its portfolio securities, which in turn will affect the fund's share price, the
fund will adjust the previous closing prices to reflect the fair value of the
securities as of the close of the NYSE, as determined in good faith by the T.
Rowe Price Valuation Committee, established by the fund's Board of Directors. A
fund may also fair value securities in other situations, such as when a
particular foreign market is closed but the fund is open. In deciding whether to
make fair value adjustments, the fund reviews a variety of factors, including
developments in foreign markets, the performance of U.S. securities markets, and
the performance of instruments trading in U. S. markets that represent foreign
securities and baskets of foreign securities. The fund uses outside pricing
services to provide it with closing market prices and information used for
adjusting those prices. The fund cannot predict how often it will use closing
prices and how often it will adjust those prices. As a means of evaluating its
fair value process, the fund routinely compares closing market prices, the next
day's opening prices in the same markets, and adjusted prices.
Currency Translation
Assets, including investments, and liabilities denominated in foreign currencies
are translated into U.S. dollar values each day at the prevailing exchange rate,
using the mean of the bid and asked prices of such currencies against U.S.
dollars as quoted by a major bank. Purchases and sales of securities, income,
and expenses are translated into U.S. dollars at the prevailing exchange rate on
the date of the transaction. The effect of changes in foreign currency exchange
rates on realized and unrealized security gains and losses is reflected as a
component of security gains and losses.
Investment Transactions, Investment Income, and Distributions
Income and expenses are recorded on the accrual basis. Premiums and discounts on
debt securities are amortized for financial reporting purposes. Dividends
received from mutual fund investments are reflected as dividend income; capital
gain distributions are reflected as realized gain/loss. Dividend income and
capital gain distributions are recorded on the ex-dividend date. Investment
transactions are accounted for on the trade
date. Realized gains and losses are reported on the identified cost basis.
Payments ("variation margin") made or received to settle the daily fluctuations
in the value of futures contracts are recorded as unrealized gains or losses
until the contracts are closed. Unrealized gains and losses on futures contracts
are included in other assets and other liabilities, respectively, and in the
change in net unrealized gain or loss in the accompanying financial statements.
Distributions to shareholders are recorded on the ex-dividend date. Income
distributions are declared and paid on a quarterly basis. Capital gain
distributions, if any, are declared and paid by the fund, typically on an annual
basis.
Other
In the normal course of business, the fund enters into contracts that provide
general indemnifications. The fund's maximum exposure under these arrangements
is dependent on claims that may be made against the fund in the future and,
therefore, cannot be estimated; however, based on experience, the risk of
material loss from such claims is considered remote.
NOTE 2 - INVESTMENT TRANSACTIONS
Consistent with its investment objective, the fund engages in the following
practices to manage exposure to certain risks or enhance performance. The
investment objective, policies, program, and risk factors of the fund are
described more fully in the fund's prospectus and Statement of Additional
Information.
Futures Contracts
During the six months ended June 30, 2004, the fund was a party to futures
contracts, which provide for the future sale by one party and purchase by
another of a specified amount of a specific financial instrument at an agreed
upon price, date, time, and place. Risks arise from possible illiquidity of the
futures market and from movements in security values and/or interest rates.
Securities Lending
The fund lends its securities to approved brokers to earn additional income. It
receives as collateral cash and U.S. government securities valued at 102% to
105% of the value of the securities on loan. Cash collateral is invested in
money market pooled accounts managed by the fund's lending agents in accordance
with investment guidelines approved by fund management. Collateral is maintained
over the life of the loan in an amount not less than the value of loaned
securities, as determined at the close of fund business each day; any additional
collateral required due to changes in security values is delivered to the fund
the next business day. Although risk is mitigated by the collateral, the fund
could experience a delay in recovering its securities and a possible loss of
income or value if the borrower fails to return the securities. Securities
lending revenue recognized by the fund consists of earnings on invested
collateral and borrowing fees, net of any rebates to the borrower and
compensation to the lending agent. At June 30, 2004, the value of loaned
securities was $3,083,000; aggregate collateral consisted of $3,198,000 in money
market pooled accounts.
Other
Purchases and sales of portfolio securities, other than short-term and U.S.
government securities, aggregated $15,960,000 and $16,327,000, respectively, for
the six months ended June 30, 2004. Purchases and sales of U.S. government
securities aggregated $23,167,000 and $22,121,000, respectively, for the six
months ended June 30, 2004.
NOTE 3 - FEDERAL INCOME TAXES
No provision for federal income taxes is required since the fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute to shareholders all of its taxable income
and gains. Federal income tax regulations differ from generally accepted
accounting principles; therefore, distributions determined in accordance with
tax regulations may differ in amount or character from net investment income and
realized gains for financial reporting purposes. Financial reporting records are
adjusted for permanent book/tax differences to reflect tax character. Financial
records are not adjusted for temporary differences. The amount and character of
tax-basis distributions and composition of net assets are finalized at fiscal
year-end; accordingly, tax-basis balances have not been determined as of June
30, 2004.
The fund intends to retain realized gains to the extent of available capital
loss carryforwards. As of December 31, 2003, the fund had $7,306,000 of unused
capital loss carryforwards, of which $1,432,000 expire in 2009, $3,361,000
expire in 2010, and $2,513,000 expire in 2011.
At June 30, 2004, the cost of investments for federal income tax purposes was
$96,086,000. Net unrealized gain aggregated $19,138,000 at period-end, of which
$20,563,000 related to appreciated investments and $1,425,000 related to
depreciated investments.
NOTE 4 - RELATED PARTY TRANSACTIONS
The fund is managed by T. Rowe Price Associates, Inc. (the manager or Price
Associates), a wholly owned subsidiary of T. Rowe Price Group, Inc. The
investment management and administrative agreement between the fund and the
manager provides for an all-inclusive annual fee equal to 0.90% of the fund's
average daily net assets. The fee is computed daily and paid monthly. The
agreement provides that investment management, shareholder servicing, transfer
agency, accounting, and custody services are provided to the fund, and interest,
taxes, brokerage commissions, directors' fees and expenses, and extraordinary
expenses are paid directly by the fund. At June 30, 2004, $92,000 was payable
under the agreement.
The fund may invest in the T. Rowe Price Reserve Investment Fund and the T. Rowe
Price Government Reserve Investment Fund (collectively, the Reserve Funds),
open-end management investment companies managed by Price Associates. The
Reserve Funds are offered as cash management options to mutual funds, trusts,
and other accounts managed by Price Associates and/or its affiliates, and are
not available for direct purchase by members of the public. The Reserve Funds
pay no investment management fees. During the six months ended June 30, 2004,
dividend income from the Reserve Funds totaled $30,000.
The fund may invest in the T. Rowe Price Institutional High Yield Fund, Inc.
(High Yield Fund), an open-end management investment company managed by Price
Associates, as a means of gaining efficient and cost-effective exposure to the
high-yield bond markets. The High Yield Fund pays an annual all-inclusive
management and administrative fee to Price Associates equal to 0.50% of average
daily net assets. Because the Personal Strategy Balanced Portfolio pays an
investment management fee to Price Associates and also indirectly bears its
proportionate share of the fee paid by High Yield Fund, Price Associates has
agreed to permanently reduce its management fee charged to the Personal Strategy
Balanced Portfolio in the amount of the fund's pro rata share of the High Yield
Fund's fee. Pursuant to this agreement, the fund's management fee was reduced by
$20,000 during the six months ended June 30, 2004. At June 30, 2004, the fund
held approximately 1.1% of the High Yield Fund's outstanding shares and, during
the six months then ended, recorded dividend income from the High Yield Fund in
the amount of $333,000.
T. Rowe Price Personal Strategy Balanced Portfolio
Certified Semiannual Report
Information on Proxy Voting
- --------------------------------------------------------------------------------
A description of the policies and procedures that the T. Rowe Price Personal
Strategy Balanced Portfolio uses to determine how to vote proxies relating to
portfolio securities is available, without charge, upon request by calling
1-800-225-5132. It also appears in the fund's Statement of Additional
Information (Form 485B), which can be found on the SEC's Web site, www.sec.gov.
Item 2. Code of Ethics.
A code of ethics, as defined in Item 2 of Form N-CSR, applicable to its
principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions is filed as an
exhibit to the registrant's annual Form N-CSR. No substantive amendments were
approved or waivers were granted to this code of ethics during the registrant's
most recent fiscal half-year.
Item 3. Audit Committee Financial Expert.
Disclosure required in registrant's annual Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Disclosure required in registrant's annual Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Not applicable. The complete schedule of investments is included in Item 1 of
this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 10. Controls and Procedures.
(a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-CSR was recorded,
processed, summarized, and reported timely.
(b) The registrant's principal executive officer and principal financial officer
are aware of no changes in the registrant's internal control over financial
reporting that occurred during the registrant's most recent fiscal half-year
that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 11. Exhibits.
(a)(1) The registrant's code of ethics pursuant to Item 2 of Form N-CSR is filed
with the registrant's annual Form N-CSR.
(2) Separate certifications by the registrant's principal executive officer
and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley
Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of
1940, are attached.
(3) Written solicitation to repurchase securities issued by closed-end
companies: not applicable.
(b) A certification by the registrant's principal executive officer and
principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940,
is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
T. Rowe Price Equity Series Inc.
By: /s/ James S. Riepe
James S. Riepe
Principal Executive Officer
Date: August 16, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James S. Riepe
James S. Riepe
Principal Executive Officer
Date: August 16, 2004
By: /s/ Joseph A. Carrier
Joseph A. Carrier
Principal Financial Officer
Date: August 16, 2004