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: 811-8894
JNL Series Trust
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(Exact Name of Registrant as specified in charter)
1 Corporate Way, Lansing, Michigan 48951
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(Address of principal executive offices) (Zip code)
Susan S. Rhee
Jackson National Asset Management,LLC
1 Corporate Way
Lansing, Michigan 48951
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(Name and address of agent for service)
Registrant's telephone number, including area code: 517-381-5500
Date of Fiscal Year End: December 31
Date of Reporting period: December 31, 2003
Item 1. Report to Shareholders
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JNL/AIM LARGE CAP GROWTH FUND
A I M CAPITAL MANAGEMENT INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/AIM Large Cap Growth Fund seeks as its investment objective long-term
capital growth by investing primarily in securities of large companies with
market capitalizations in the top 50% of the Russell 1000 Index at the time of
purchase.
MONEY MANAGER COMMENTARY:
The financial markets experienced volatility in the first half of 2003 as
geopolitical tensions escalated and combat began in Iraq; however, by the second
half, the major market indices began a steep advance, and managed to finish the
year with significant gains. For the first time in three years, the major equity
indices posted gains: the Dow Jones Industrial average was up 28.27%, the NASDAQ
was up 50.01%, and the S&P was up 28.67%. Small cap stocks outperformed large
caps, and large cap value slightly outperformed large cap growth.
For 2003, the JNL/AIM Large Cap Growth Fund posted a return of 30.02%
outperforming its benchmark, the Russell 1000 Index, which returned 29.89%.
Portfolio managers concentrated positions in the Consumer Discretionary, Health
Care and Information Technology sectors, while holding underweight positions in
the Industrials, Consumer Staples, and Energy sectors, relative to the Russell
1000 index. Stock selection in the Health Care sector was the largest positive
contributor to the fund's performance as companies in the Health Care Equipment
and Supplies industry performed particularly well during 2003. Stock selection
in the Consumer Discretionary sector also benefited the fund's performance as
Internet Retailers performed well. A relatively small weight in the Industrials
sector detracted from the fund's performance as these stocks performed well
during the year. During 2003, portfolio managers decreased the number of
holdings in the fund, bringing the total to 62 by the end of the year. In
addition, managers decreased exposure to the Consumer Staples and Financials
sectors and increased positions in the Information Technology and Consumer
Discretionary sectors during the year.
As the market improved throughout 2003, more economically sensitive stocks began
to qualify as purchase candidates. Fund managers moved away from more defensive
stocks, such as pharmaceuticals, and into quality companies in the Information
Technology sector. While low quality stocks led for much of the year, portfolio
managers continued to focus on their selection criteria: high quality companies
with positive earnings and sustainable growth characteristics. The Fund managers
believe that the key to outperformance is playing good defense. The unique
selection process is especially effective in steering the portfolio away from
upcoming earnings misses, and it should continue to reward the fund in the
coming year.
JNL/AIM LARGE CAP GROWTH FUND
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Date JNL/AIM Large Cap Growth Fund Russell 1000 Index
10/29/2001 10,000.00 10,000
10/31/2001 10,080.00 9,832.00
11/30/2001 10,870.00 10,589.00
12/31/2001 10,970.00 10,701.00
01/31/2002 10,850.00 10566.29
02/28/2002 10,240.00 10355.67
03/31/2002 10,790.00 10781.42
04/30/2002 10,060.00 10163.63
05/31/2002 9,840.00 10075.00
06/30/2002 9,230.00 9331.93
07/31/2002 8,610.00 8641.43
08/31/2002 8,620.00 8686.13
09/30/2002 8,040.00 7753.28
10/31/2002 8,480.00 8397.43
11/30/2002 8,540.00 8887.46
12/31/2002 8,176.13 8384.37
01/31/2003 8015.82 8,181.24
02/28/2003 8075.93 8,054.64
03/31/2003 8246.27 8,137.66
04/30/2003 8707.18 8,794.68
05/31/2003 9198.15 9,296.24
06/30/2003 9268.29 9,418.61
07/31/2003 9468.68 9,606.25
08/31/2003 9779.3 9,801.15
09/30/2003 9588.92 9,700.81
10/31/2003 10330.38 10,269.95
11/30/2003 10540.8 10,392.98
12/31/2003 10630.98 10,890.64
AVERAGE ANNUAL TOTAL RETURN
1 Year 30.02%
Since Inception 2.85%
(Inception date October 29, 2001)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
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JNL/AIM PREMIER EQUITY II FUND
A I M CAPITAL MANAGEMENT INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/AIM Premier Equity II Fund seeks as its investment objective long-term
growth of capital by investing in stocks with strong earnings and attractive
valuations with a focus on mid and large-cap stocks.
MONEY MANAGER COMMENTARY:
The financial markets experienced volatility in the first half of 2003 as
geopolitical tensions escalated and combat began in Iraq; however, by the second
half, the major market indices began a steep advance, and managed to finish the
year with significant gains. For the first time in three years, the major equity
indices posted gains: the Dow Jones Industrial average was up 28.27%, the NASDAQ
was up 50.01%, and the S&P was up 28.67%. Small cap stocks outperformed large
caps, and small cap growth outperformed small cap value.
Since January 1, 2003, the JNL/AIM Premier Equity II fund posted a return of
22.66% under performing its benchmark index, the S&P 500, which returned 28.67%.
Portfolio managers held overweight positions in the Consumer Discretionary,
Information Technology, and Financials sectors, relative to the S&P 500, and
under weight positions in the Consumer Staples and Health Care sectors. During
the year, portfolio managers increased the total number of holdings in the fund,
and they significantly increased exposure to the Industrials sector. While the
fund's overall return was very positive for the year, a lack of exposure to more
volatile, lower quality stocks detracted from performance when compared to the
benchmark index. The fund's relative underperformance was largely due to stock
selection in the Information Technology and Consumer Staples sectors. Although
Information Technology detracted from performance on a relative basis, this
sector had a positive impact on the fund's overall return. Selections in
Semiconductors & Semiconductor Equipment stocks performed especially well.
Companies in the Consumer Discretionary sector, particularly Media stocks,
positively contributed to performance on both an absolute basis, and relative to
the S&P 500.
The JNL/AIM Premier Equity II Fund maintained a multidisciplinary approach
focused on earnings growth, value of earnings, and earnings momentum. Analyst
specialization has allowed managers to access a broader range of investment
options. Managers continued to look for stocks with below-target price-earnings
ratios, and stocks with above-average earnings growth. They believe that above
average earnings growth will produce above-average stock price increases.
JNL/AIM PREMIER EQUITY II FUND
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Date JNL/AIM Premier Equity II Fund S&P 500 Index
10/29/2001 10,000.00 10000
10/31/2001 9,980.00 9830
11/30/2001 10,710.00 10584.04
12/31/2001 11050 10676.93
01/31/2002 10600 10527.45
02/28/2002 10320 10324.44
03/31/2002 10920 10712.73
04/30/2002 10290 10063.24
05/31/2002 10050 9989.1
06/30/2002 9120 9277.6
07/31/2002 8290 8554.33
08/31/2002 8210 8610.45
09/30/2002 7560 7674.66
10/31/2002 7980 8350.17
11/30/2002 8380 8841.65
12/31/2002 7930.5 8317.49
01/31/2003 7669.5 8,099.60
02/28/2003 7539 7,978.07
03/31/2003 7609.27 8,055.54
04/30/2003 8131.27 8,719.10
05/31/2003 8502.7 9,178.49
06/30/2003 8562.93 9,295.53
07/31/2003 8753.67 9,459.45
08/31/2003 8864.09 9,643.90
09/30/2003 8793.82 9,541.55
10/31/2003 9305.79 10,081.23
11/30/2003 9335.91 10,169.92
12/31/2003 9727.41 10,703.36
AVERAGE ANNUAL TOTAL RETURN:
1 Year 22.66%
Since inception -1.26%
(Inception date October 29, 2001)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
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JNL/AIM SMALL CAP GROWTH FUND
A I M CAPITAL MANAGEMENT INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/AIM Small Cap Growth Fund seeks as its investment objective long-term
capital growth by investing in U.S. small-cap companies.
MONEY MANAGER COMMENTARY:
The financial markets experienced volatility in the first half of 2003 as
geopolitical tensions escalated and combat began in Iraq; however, by the second
half, the major market indices began a steep advance, and managed to finish the
year with significant gains. For the first time in three years, the major equity
indices posted gains: the Dow Jones Industrial average was up 28.27%, the NASDAQ
was up 50.01%, and the S&P was up 28.67%. Small cap stocks outperformed large
caps, and small cap growth outperformed small cap value.
Since January 1, 2003, the JNL/AIM Small Cap Growth Fund posted a return of
38.43%, under performing its benchmark, the Russell 2000 Index, which posted a
return of 47.25%. Portfolio managers concentrated the fund in the Consumer
Discretionary, Health Care, and Information Technology sectors. Portfolio
managers reduced exposure to the Materials and Industrials sectors, but added a
number of new names to the fund, most of which were Information Technology
stocks. While the fund's overall return was very strong for the year, a lack of
exposure to more volatile, lower quality stocks detracted from performance when
compared to the benchmark index. The fund's relative underperformance was
largely due to stock selection in the Health Care sector. Although Health Care
detracted from performance on a relative basis, this sector had a positive
impact on the fund's overall return. Selections in Biotechnology and
Pharmaceuticals stocks performed especially well. Companies in the Consumer
Discretionary sector, particularly Specialty Retail stocks, also positively
contributed to performance on an absolute basis, and relative to the Russell
2000 Growth. Underweight positions in the Financials and Industrials sectors,
relative to the Russell 2000 negatively affected the fund's relative
performance.
During much of 2003, low quality stocks led the market, and companies with
negative earnings revisions and poor profitability have been the best
performers. Portfolio managers, however, are encouraged, as they believe this
period is coming to an end. Once again, investors are beginning to reward high
quality companies with positive revisions and sustainable growth
characteristics. Fund managers are hopeful that the strong economic and
financial data of the fourth quarter will continue to gain momentum in the new
year.
JNL/AIM SMALL CAP GROWTH FUND
[GRAPH OMITTED]
Date JNL/AIM Small Cap Growth Fund Russell 2000 Index
10/29/2001 10,000.00 10,000.00
10/31/2001 10,100.00 9,972.64
11/30/2001 10,810.00 10,745.17
12/31/2001 11,600.00 11,409.17
01/31/2002 11270 11291.21
02/28/2002 10490 10982.24
03/31/2002 11290 11865.66
04/30/2002 11050 11973.58
05/31/2002 10530 11442.3
06/30/2002 9720 10873.6
07/31/2002 8410 9231.18
08/31/2002 8420 9207.56
09/30/2002 7960 8546.15
10/31/2002 8330 8819.99
11/30/2002 9010 9606.92
12/31/2002 8430.78 9072.9
01/31/2003 8190.75 8,822.85
02/28/2003 7970.73 8,556.35
03/31/2003 8090.74 8,666.48
04/30/2003 8680.8 9,487.81
05/31/2003 9510.87 10,505.87
06/30/2003 9790.9 10,696.86
07/31/2003 10240.94 11,365.69
08/31/2003 10871 11,887.12
09/30/2003 10520.97 11,668.04
10/31/2003 11351.04 12,647.58
11/30/2003 11671.07 13,096.36
12/31/2003 11671.07 13,363.65
AVERAGE ANNUAL TOTAL RETURN
1 Year 38.43%
Since inception 7.36%
(Inception date October 29, 2001)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
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JNL/ALGER GROWTH FUND
FRED ALGER MANAGEMENT, INC.
FRED M. ALGER III, DAN C. CHUNG, DAVID HYUN
OBJECTIVE:
JNL/Alger Growth Fund seeks as its investment objective long-term capital
appreciation by investing in a diversified, actively managed portfolio of equity
securities, primarily of companies with total market capitalization of $1
billion or greater.
MONEY MANAGER COMMENTARY:
The twelve months ending December 31st, 2003 brought great relief from all the
selling experienced over the past few years. During the first two months of the
year, most equity indices lost ground, as fears about a war with Iraq began to
trump economic fundamentals. However, with the outbreak of war in March, the
negative trend was reversed. Preferring war to the pre-combat uncertainty,
investors pushed most indices higher during the final month of the quarter. The
second quarter saw a continuation of the positive momentum. Reassured by the
swift and decisive allied victory in Iraq, better-than expected first quarter
profits and a 25 basis point rate cute on June 25th, investors found good reason
to get back into the Market.
The second half of the 2003 picked up right where the first half left off.
Upbeat earnings news in the tech sector, a bullish outlook from the Fed and the
highest GDP growth in 20 years all proved encouraging to investors during the
six-month period. The capture of Saddam Hussein on December 13th helped to
solidify the gains. Stock prices moved higher in five of the final six months of
the year, with small cap stocks leading the way. As equity markets headed into
the New Year, low interest rates, minimal inflation and solid economic
fundamentals appeared to eclipse fear and uncertainty.
For the year ended December 31, 2003, the Alger Growth Fund returned 35.29%,
beating the S&P 500 Index return of 28.68%. Over the same time period, the
Russell 1000 Growth Index and the Lipper Large-Cap Growth Fund Index returned
29.75% and 26.96%, respectively. Throughout the period, the Portfolio benefited
from an overweighting in the strong Technology sector and solid security
selection in the Consumer Discretionary and Financials sectors. At the stock
level, positions in eBay Inc., Cisco Systems Inc. and Yahoo Inc. contributed
most positively to portfolio performance during the twelve-month period.
Conversely, positions in General Dynamics Corp., Accenture Ltd. and HCA Inc.
detracted most from fund value. As of December 31, 2003, the Portfolio remained
well diversified, with information technology, consumer discretionary and health
care representing the top three sectors. The Portfolio held 61 stocks
representing 98.5% of the $244.6 million in total net assets.
At the end of last year, many observers remarked that the markets had been down
for three years in a row between 2000 and 2002 and that a fourth year in a row
would be very unlikely. 2003 was rather spectacular for the markets, with the
S&P 500 up 28.7%, and the Nasdaq up 50.0%. We strongly feel that this is more
than the proverbial "dead cat bounce," and that the combination of improved
fundamentals, low inflation, low interest rates, and steadily increasing demand
will mean continued improvement in corporate earnings. When that fact is
juxtaposed to an election year and the low-yield on bonds, we see significant
upside in equities in 2004. We also take the capture of Saddam Hussein as an
indication that a stable, democratic future is possible for Iraq, and that we
may see a lessening of international tension. That is our hope for the New Year.
Looking ahead, we will continue to seek out and invest in companies that we
believe will grow their earnings rapidly and consistently. Should market
conditions remain favorable, we expect that the Portfolio should outperform most
of its peers.
JNL/ALGER GROWTH FUND
[GRAPH OMITTED]
Date JNL/Alger Growth Fund S&P 500 Index
10/16/1995 10,000.00 10,000.00
10/31/1995 10,170.00 9,979.00
11/30/1995 10,050.00 10,417.00
12/31/1995 9,840.00 10,617.00
1/31/1996 10,140.00 10,978.00
2/29/1996 10,470.00 11,080.00
3/31/1996 10,380.00 11,187.00
4/30/1996 10,580.00 11,352.00
5/31/1996 10,620.00 11,643.00
6/30/1996 10,430.00 11,687.00
7/31/1996 9,660.00 11,171.00
8/31/1996 10,070.00 11,407.00
9/30/1996 10,760.00 12,048.00
10/31/1996 10,830.00 12,380.00
11/30/1996 11,490.00 13,315.00
12/31/1996 11,160.00 13,051.00
1/31/1997 11,980.00 13,865.38
2/28/1997 11,560.00 13,973.53
3/31/1997 11,140.00 13,400.62
4/30/1997 11,600.00 14,199.29
5/31/1997 12,330.00 15,062.61
6/30/1997 13,030.00 15,737.42
7/31/1997 14,350.00 16,988.54
8/31/1997 13,840.00 16,037.18
9/30/1997 14,560.00 16,916.02
10/31/1997 13,860.00 16,351.03
11/30/1997 14,060.00 17,108.08
12/31/1997 14,083.59 17,401.72
1/31/1998 14,270.54 17,594.17
2/28/1998 15,319.54 18,863.16
3/31/1998 16,160.82 19,902.23
4/30/1998 16,347.77 20,083.34
5/31/1998 16,160.82 19,705.77
6/30/1998 17,625.26 20,482.18
7/31/1998 18,082.25 20,264.64
8/31/1998 15,007.96 17,337.55
9/30/1998 16,327.00 18,448.26
10/31/1998 17,064.41 19,947.54
11/30/1998 18,341.91 21,156.02
12/31/1998 20,514.70 22,374.35
1/31/1999 22,084.43 23,309.98
2/28/1999 21,402.41 22,585.78
3/31/1999 22,853.05 23,489.42
4/30/1999 22,831.40 24,399.07
5/31/1999 21,813.79 23,822.91
6/30/1999 23,870.67 25,145.03
7/31/1999 23,047.92 24,359.88
8/31/1999 22,788.10 24,239.42
9/30/1999 22,636.54 23,574.87
10/31/1999 23,968.10 25,066.74
11/30/1999 25,353.79 25,576.32
12/31/1999 27,447.85 27,082.64
1/31/2000 26,633.16 25,721.95
2/29/2000 27,975.00 25,235.01
3/31/2000 30,431.05 27,703.77
4/30/2000 28,837.62 26,870.31
5/31/2000 27,088.43 26,318.98
6/30/2000 28,693.85 26,967.80
7/31/2000 27,843.22 26,546.15
8/31/2000 30,167.48 28,195.04
9/30/2000 27,663.51 26,706.49
10/31/2000 26,273.74 26,593.60
11/30/2000 23,602.04 24,496.98
12/31/2000 23,758.13 24,616.85
1/31/2001 24,972.89 25,490.23
2/28/2001 22,914.20 23,165.95
3/31/2001 21,008.94 21,698.37
4/30/2001 23,348.95 23,384.55
5/31/2001 23,770.92 23,541.25
6/30/2001 22,607.31 22,968.28
7/31/2001 21,980.75 22,742.13
8/31/2001 20,113.86 21,318.47
9/30/2001 18,413.19 19,596.96
10/31/2001 19,103.69 19,970.64
11/30/2001 20,829.93 21,502.55
12/31/2001 20,915 21691.25
1/31/2002 20,121 21387.58
2/28/2002 19,173 20975.14
3/31/2002 20,172 21763.99
4/30/2002 18,892 20444.48
5/31/2002 18,315 20293.87
6/30/2002 17,022 18848.38
7/31/2002 15,024 17378.98
8/31/2002 14,947 17493
9/30/2002 13,602 15591.84
10/31/2002 14,435 16964.22
11/30/2002 15,011 17962.7
12/31/2002 13,973 16897.82
01/31/2003 13691.65 16,455.15
02/28/2003 13653.22 16,208.25
03/31/2003 13922.19 16,365.64
04/30/2003 15100.51 17,713.74
05/31/2003 16061.11 18,647.02
06/30/2003 16342.88 18,884.81
07/31/2003 16688.69 19,217.83
08/31/2003 17136.97 19,592.55
09/30/2003 16868 19,384.62
10/31/2003 17969.48 20,481.03
11/30/2003 18289.68 20,661.22
12/31/2003 18904.46 21,744.97
AVERAGE ANNUAL TOTAL RETURN
1 Year 35.29%
5 Year -1.62%
Since inception 8.06%
(Inception date October 16, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
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JNL/ALLIANCE CAPITAL GROWTH FUND
ALLIANCE CAPITAL MANAGEMENT L.P.
SYED HASNAIN, JIM REILLY
OBJECTIVE:
JNL/Alliance Capital Growth Fund seeks as its investment objective long-term
growth of capital by investing primarily in common stocks or securities with
common stock characteristics which demonstrate the potential for appreciation.
MONEY MANAGER COMMENTARY:
After three years of historic correction, the U.S. equity market staged a strong
recovery in calendar year 2003. Economic growth, as demonstrated by the third
quarter GDP figure of 8.2% which is likely to be over 5% in the fourth quarter,
is more robust than most anticipated. Inventory levels as measured by the
inventory to sales ratio are at historically low levels. Further, the weakness
of the U.S. dollar should support strong profit gains for U.S. domiciled
multinational companies. As the economy shifts from losing jobs to creating
jobs, economic growth should be sustained into the future. The Institute for
Supply Management reported that the nation's manufacturing sector completed the
year with its most robust month of growth in over twenty years, providing
encouragement that economic growth was continuing to gain momentum. Unemployment
claims as defined by the number of Americans filing first-time applications for
state unemployment benefits declined to the lowest level in almost three years
in the final week of the year. The Conference Board reported that its consumer
confidence index slipped from its 14-month high of 92.5 to 91.3, but still
reflected a relatively strong attitude towards the economy. Investors remained
divided on whether the Federal Reserve would alter its accommodative stance
while the dollar continued to come under pressure, sinking to another round of
multi-year lows. Other notable news during the month included the discovery of a
case of mad cow disease in the Pacific Northwest, triggering some concerns among
meat, food and restaurant companies and causing Japanese officials to impose a
ban on U.S. beef imports. On the international front, an investigation into the
collapse of Parmalat in Italy unveiled potentially $11 billion in liabilities.
Technology stocks finished the year on a strong note as the NASDAQ composite
surged over 50 percent, recording its third best year ever and the highest level
since January 2001. Upbeat sentiment for the sector was supported by continued
expectations for growth in information-technology spending. Gartner and
SoundView Technology Group's survey of 600 executives reported that
technology-spending budgets will increase 1.6 percent in 2004 and that the
majority of respondents feel "positive or slightly positive" about their
organization's outlook next year, with 44 percent expecting their IT budgets to
increase in the upcoming year. In the PC arena, research firm IDC revised its
forecast for growth of shipments from 10.2 percent to 11.4 percent to predict
larger increases for 2004 sales growth. The firm credited the consumer rather
than business purchases for the upswing yet stated that overall growth shows the
market in mid-recovery and that they expect greater business participation in
2004.
Financial stocks also rallied during the month as investors remained confident
the Federal Reserve would stay committed to low interest rates until the
economic rebound solidifies. Stocks of investment banks reached 52-week highs
during the month as the low interest rates fueled bond issuance and recovering
stocks convinced more companies to raise capital. Stock and bond underwriting
concluded 2003 by topping $5.3 trillion, about 25 percent more than in 2002,
according to market research firm Thomson Financial.
The retail sector completed a strong year of performance as the S&P Retail Index
ran up 42 percent for 2003. Yet, early in the final month of the year the index
stumbled as investors became wary that holiday sales would not meet the
heightened expectations. In late November, many retailers warned that their
holiday and fourth-quarter results might not match analysts and investors
estimates.
Despite any significant change in fundamentals for the sector, healthcare stocks
lifted during December. Investors appeared to lock in year-end gains in the
higher-beta sectors, rotating into areas such as the larger pharmaceutical
companies. The Amex Pharmaceutical Index welcomed the lift after closing the
year up 12 percent, lagging the strong performance seen in the broader market
indexes because of the industry pressures on concerns about competition from
lower priced generics and lack of new blockbuster drugs. However, the Amex
Biotechnology Index was among the sector's leading groups, ending the year with
gains of over 45 percent. While some analysts argue that this arena within
healthcare has peaked above its trading range, others contend that there is
further optimism for these stocks in 2004, noting that pharmaceutical companies
are endorsing the value of the biotech industry's groundbreaking science.
OUTLOOK
Our forecast for U.S. economic growth and equity markets for 2004 remains
slightly ahead of consensus estimates reflecting our generally optimistic view
for the upcoming year. First, consumers are largely upbeat about the economy and
job market. This was confirmed by the University of Michigan's recent poll
indicating that, "by more than a two-to-one margin consumers anticipate a higher
rate of economic growth in 2004 than in 2003, and more consumers expected
declines in the unemployment rate than at anytime during the past twenty years."
Second, business confidence continues to grow, driven by soaring operating
profits and rising optimism about growth and sales. The inventory-rebuilding
cycle will likely soon ramp up with the new orders component of the ISM
manufacturing index jumping almost ten points in November, to its highest
reading in twenty years. In our opinion, we feel that this inventory-rebuilding
cycle will likely prove to be long and sustained as inventories are at all-time
lows relative to final demand, and, final sales are expected to keep growing at
a relatively fast pace given the strength in profits and job growth. Third,
optimism within the investment community is clearly growing. This was
represented by the UBS/Gallop poll of individual investors which was conducted
in November and showed that 64 percent felt that it was a good time to invest
and that roughly 60 percent expressed optimism about the stock market over the
next year. Finally, we would note that a considerable amount remains in the
fiscal pipeline which will come due in 2004. The Federal Reserve reduced
official rates by 25 basis points less than six months ago and it takes at least
12 months for the incremental monetary stimulus to be fully felt in the economy.
Consumers will also receive the second installment of last year's tax cut early
in the year which should reinforce the positive tone.
PORTFOLIO POSITIONING
Reflecting this optimism from an investment standpoint, we are continuing our
commitment towards slowly increasing the aggressiveness in the Fund at the
stock-specific level. True to our S=F+P philosophy which we have consistently
applied for over 25 years, we believe that successful investing stems from the
correct marriage of fundamentals, gleaned from company specific research, and
price. We continue to focus on the factors that in this equation have proven
relatively trustworthy in determining a company's ability to sustain exceptional
growth over the long term, such as an emphasis on research and development,
talented and experienced management, and a strong balance sheet. That said, in
the Fund we are currently continuing to take advantage of price strengths
particularly in some of our financial positions, trimming them back on a
stock-by-stock basis. As the positive data continues to reveal strength in
capital spending in the technology arena, we continue to seek opportunities to
add to existing names which we feel are competitively positioned in their
respective markets, where our conviction in the fundamentals is strong and where
valuations remain attractive. We are also continuing to look for opportunities
to add to existing positions as well as initiate new positions in the internet
space where we are finding continued strong media matrix and activity. Although
last year's market rally was led by the smaller-capitalization, low quality,
high-beta stocks, we have not veered from our investment discipline in owning
only high quality, large capitalization companies. We feel that these companies
continue to display healthy and sustainable fundamentals and are selling at
unusually attractive relative valuations even though they have met or beat
earnings expectations over the course of the past year. With the likely
transition from a liquidity-driven rally to a more enduring earnings-driven
rally, we remain confident that the Fund is well positioned to benefit as
investors become more discerning about fundamentals.
JNL/ALLIANCE CAPITAL GROWTH FUND
[GRAPH OMITTED]
Date JNL/Alliance Capital Growth Fund S&P 500 Index
3/2/1998 10,000.00 10,000
3/31/1998 10,410.00 10,551
4/30/1998 10,680.00 10,647
5/31/1998 10,540.00 10,447
6/30/1998 11,280.00 10,858
7/31/1998 11,530.00 10,743
8/31/1998 9,360.00 9,191
9/30/1998 10,060.00 9,780
10/31/1998 11,050.00 10,575
11/30/1998 11,770.00 11,216
12/31/1998 13,280.00 11,861
1/31/1999 14,670.00 12,357
2/28/1999 13,930.00 11,973
3/31/1999 14,650.00 12,453
4/30/1999 14,480.00 12,935
5/31/1999 14,030.00 12,629
6/30/1999 15,280.00 13,330
7/31/1999 14,880.00 12,914
8/31/1999 14,690.00 12,850
9/30/1999 14,470.00 12,498
10/31/1999 15,600.00 13,289
11/30/1999 15,900.00 13,559
12/31/1999 17,029.43 14,357
1/31/2000 16,169.77 13,636
2/29/2000 16,046.96 13,378
3/31/2000 17,919.79 14,687
4/30/2000 17,285.28 14,245
5/31/2000 16,875.92 13,953
6/30/2000 17,387.62 14,297
7/31/2000 17,254.57 14,073
8/31/2000 18,165.40 14,947
9/30/2000 16,353.98 14,158
10/31/2000 15,924.15 14,098
11/30/2000 14,194.60 12,987
12/31/2000 14,033.34 13,050
1/31/2001 15,193.29 13,513
2/28/2001 12,894.10 12,281
3/31/2001 11,889.50 11,503
4/30/2001 13,298.02 12,397
5/31/2001 13,235.88 12,480
6/30/2001 12,583.40 12,176
7/31/2001 12,293.41 12,056
8/31/2001 11,257.74 11,302
9/30/2001 10,325.64 10,389
10/31/2001 10,781.34 10,587
11/30/2001 11,858.43 11,399
12/31/2001 11988.76 11499.27
1/31/2002 11367.05 11338.28
2/28/2002 10838.59 11119.63
3/31/2002 11304.88 11537.83
4/30/2002 10393.03 10838.31
5/31/2002 10185.79 10758.47
6/30/2002 9460.45 9992.16
7/31/2002 8755.84 9213.18
8/31/2002 8931.99 9273.63
9/30/2002 8061.59 8265.76
10/31/2002 8745.48 8993.31
11/30/2002 8963.08 9522.64
12/31/2002 8268.83 8958.11
01/31/2003 7999.42 8,723.43
02/28/2003 7875.07 8,592.54
03/31/2003 8144.48 8,675.98
04/30/2003 8890.54 9,390.65
05/31/2003 9170.32 9,885.42
06/30/2003 9139.23 10,011.48
07/31/2003 9481.18 10,188.02
08/31/2003 9636.6 10,386.68
09/30/2003 9450.09 10,276.44
10/31/2003 9988.91 10,857.69
11/30/2003 9957.82 10,953.21
12/31/2003 10279.04 11,527.74
AVERAGE ANNUAL TOTAL RETURN
1 Year 24.31%
Since inception 0.47%
(Inception date March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND
(FORMERLY JNL/JPMOREGAN ENHANCED S&P 500 STOCK INDEX FUND)*
CURIAN CAPITAL LLC
TEAM MANAGEMENT
OBJECTIVE:
JNL/Curian Enhanced S&P 500 Stock Index Fund seeks as its investment objective
to provide high total return by investing in a broadly diversified portfolio of
equity securities.
MONEY MANAGER COMMENTARY:
In 2003, the S&P 500 Index soared 28.7%. Investors responded enthusiastically to
lower quality, higher beta investments, bidding up price/earnings multiples for
the most beaten- down stocks, particularly in the Technology, Financial and
Industrial sectors. On the flip side of this same coin, the stocks of stable,
dividend-paying, high-quality companies did not fare as well overall. A benign
interest rate environment, supported by steady corporate profit improvement, put
a floor on valuation. However, uncertainty surrounding employment growth and
consumer spending remained, nagging reminders that potential pitfalls remain in
today's euphoric market environment. As for ourselves, we spent the past year
wondering when and/or if corporate capital spending would ever kick in to take
some of the pressure off consumer spending, which thus far has kept the economic
recovery chugging along. The end of the year finished with a real New Year's
bang. Instead of the portfolio window dressing that one would expect from a
normally quiet December, investors responded to positive economic data, the
capture of Saddam Hussein and other good news by driving major indices ever
higher.
PORTFOLIO REVIEW
For the full year 2003, the Fund was supported by strong stock selection across
a number of sectors. The top contributors were stocks identified by our dividend
discount methodology as having strong potential, but low valuations. Examples
included Countrywide and Capital One in the Financial Services sector, Guidant
in the Healthcare sector, and PG&E in the Utilities sector. Guidant outperformed
its peers on the back of significant market share gains and a strong 2004 EPS
forecast. Countrywide outpaced the company's financial peers as it benefited
from various bullish analyst reports, increased 2003 and 2004 earnings guidance,
market share gains and continued low interest rates.
On the other hand, an overweight in retailer Kohl's detracted from results, as
it fell on disappointing same-store sales. We remain overweight the stock,
however, believing that the company's struggling women's apparel area will show
improvement over the next few quarters. We also feel that the company's pricing
as a whole will stabilize and that its inventory strategy will be more
efficient. An overweight position in media concern Viacom and an underweight in
wireless service provider Nextel Communications also detracted from results.
OUTLOOK
As 2004 begins to unfold, investors still appear to be optimistic, with many
anticipating a continuation of the present low interest rate environment, while
awaiting fourth-quarter earnings releases and further improvement in the
corporate economy. For our part, we continue to seek to outperform the S&P 500
through strong stock selection, grounded in the proprietary insights of our
fundamental research analysts.
Our outlook for equities in 2004 remains rather optimistic, despite 2003's
run-up. At this point, we are in the midst of a "Goldilocks" economy, one where
things are not too hot and not too cold, but just right.The question at hand is
how the markets will respond if the economy becomes too hot, causing inflation
fears to grow and interest rates to rise. If, however, we can remain in this
"sweet spot," enjoying strong earnings and low inflation, 2004 is likely to be
another good year for equity investors.
JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND
[GRAPH OMITTED]
Date JNL/Curian Enhanced S&P 500 Stock Index Fund S&P 500 Index
05/16/1999 10,000.00 10,000.00
05/31/1999 9,770.00 9,723.48
06/30/1999 10,240.00 10,263.11
07/31/1999 9,910.00 9,942.65
08/31/1999 9,840.00 9,893.48
09/30/1999 9,570.00 9,622.24
10/31/1999 10,080.00 10,231.16
11/30/1999 10,240.00 10,439.15
12/31/1999 10,685.25 11,053.96
01/31/2000 10,119.68 10,498.59
02/29/2000 9,897.49 10,299.84
03/31/2000 10,877.14 11,307.48
04/30/2000 10,483.26 10,967.30
05/31/2000 10,240.87 10,742.27
06/30/2000 10,483.26 11,007.09
07/31/2000 10,331.77 10,834.99
08/31/2000 10,978.13 11,508.00
09/30/2000 10,271.17 10,900.43
10/31/2000 10,250.97 10,854.35
11/30/2000 9,392.52 9,998.61
12/31/2000 9,469.07 10,047.53
01/31/2001 9,864.46 10,404.01
02/28/2001 8,921.61 9,455.34
03/31/2001 8,333.59 8,856.33
04/30/2001 9,053.40 9,544.56
05/31/2001 9,154.79 9,608.52
06/30/2001 8,941.88 9,374.66
07/31/2001 8,850.64 9,282.35
08/31/2001 8,282.90 8,701.28
09/30/2001 7,502.26 7,998.63
10/31/2001 7,664.47 8,151.15
11/30/2001 8,272.76 8,776.41
12/31/2001 8353.88 8853.43
01/31/2002 8160.55 8729.48
02/28/2002 7967.22 8561.14
03/31/2002 8272.48 8883.12
04/30/2002 7712.84 8344.55
05/31/2002 7641.61 8283.08
06/30/2002 7041.27 7693.09
07/31/2002 6491.81 7093.35
08/31/2002 6532.51 7139.89
09/30/2002 5789.72 6363.92
10/31/2002 6278.13 6924.06
11/30/2002 6664.79 7331.6
12/31/2002 6270.21 6896.96
01/31/2003 6107.35 6,716.28
02/28/2003 6015.74 6,615.51
03/31/2003 6076.82 6,679.74
04/30/2003 6575.58 7,229.98
05/31/2003 6952.2 7,610.91
06/30/2003 7023.45 7,707.96
07/31/2003 7104.89 7,843.88
08/31/2003 7227.03 7,996.83
09/30/2003 7145.6 7,911.96
10/31/2003 7573.12 8,359.47
11/30/2003 7674.91 8,433.02
12/31/2003 8094.11 8,875.35
AVERAGE ANNUAL TOTAL RETURN
1 Year 20.09%
Since inception -4.46%
(Inception date May 16, 1999)
*PRIOR TO 12/15/03, THE FUND WAS MANAGED BY JP MORGAN INVESTMENT MANAGEMENT,
INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/CURIAN S&P 400 MIDCAP INDEX FUND
(FORMERLY JNL/MELLON CAPITAL MANAGEMENT S&P 400 MID CAP INDEX FUND)*
CURIAN CAPITAL LLC
TEAM MANAGEMENT
OBJECTIVE:
JNL/Curian S&P 400 MidCap Index Fund seeks as its investment objective long-term
capital growth by investing in equity securities of medium capitalization
weighted domestic corporations and matching the performance of the S&P 400
Index.
MONEY MANAGER COMMENTARY:
Stocks were strong in 2003, as the S&P 500 Index gained 28.7%. This marked the
index's highest return since it gained 33.3% in 1997. More than 90 percent of
the stocks in the S&P 500 rallied in 2003, the benchmark's broadest advance in
at least 23 years. The 10 biggest S&P 500 companies, led by General Electric
Co., Microsoft Corp. and Exxon Mobil Corp., climbed, and all 10 industry groups
increased. Also, 459 of the 500 companies rose, the most since at least 1980,
according to S&P, as investors bet the economy's surge would extend into 2004.
The rally contrasts with 1999, the last year the market advanced, when about
half of the S&P 500 members rose and the increases were concentrated in the
largest companies' shares and technology stocks. The breadth of this year's
advance speaks to the strength in the economy. Technology companies led the
gains last year, as they did in 1999. An index of 83 computer related companies
in the S&P 500 rose 47%. Telecommunications stocks added 3.3%, the smallest
increase among the 10 industry groups. Among the 10 largest companies in the
index, Intel Corp. had the biggest gain. Shares of the world's No. 1
semiconductor producer more than doubled. Cisco Systems Inc., the biggest maker
of computer networking equipment rose 85%.
The war in Iraq took center stage during the first quarter of 2003 as markets
finished lower. At the beginning of the quarter, despite some strong gains,
investors were uncertain as to the timing and potential length of the war, and
were loathe to make large commitments in the markets. Trading volume during the
quarter was consistently lower than the recent norm. Prior to the start of the
war on March 19, with military action all but assured, equities rallied sharply
over an eight-day period, with the S&P 500 gaining nearly 12%. Once the war
began in earnest, equity markets hung one very item of news about the military
campaign, eschewing the typical indicators that drive investment in stocks. The
performance for the rest of March was volatile, depending on news reports of
success or failure on the battlefield. For the quarter, the S&P 500 fell 3.2%
and the Russell 3000 lost 3.0%.
The U.S. equity markets surged in the second quarter as investor sentiment
improved. A quick end to the war in Iraq and first quarter earnings results that
outpaced expectations gave investors encouragement for the remainder of 2003.
Combined with the lowest interest rates in nearly half a century, a weaker U.S.
dollar, and a $350 billion tax stimulus package, investors rushed into stocks in
the hope that the long-awaited recovery in the economy had arrived. Though the
rally slackened toward the end of the quarter as investors questioned the
evidence of a pickup in the economy, the S&P 500 returned 15.4%, the best
quarterly result since the fourth quarter of 1998.
Stocks extended their gains in the third quarter of 2003, with the positive
sentiment inspired by better-than-expected economic growth and corporate
earnings. The broad market posted its second quarterly advance in a row -- a
first since the beginning of 2000. Through August, the S&P 500 rose for six
straight months and the Nasdaq Composite advanced for seven, their longest
streaks since 1998 and 1995, respectively. Though the streaks ended in
September,the major indices still posted gains for the second straight quarter.
The S&P 500 Index delivered a 2.7% total return in the quarter.
Stocks finished the year in grand fashion, as the broad S&P 500 gained 12.2%.
Stocks forged ahead as the anticipated strength in corporate earnings and
economic data continued to materialize. The positive news during the quarter
- -bullish reports on corporate profits, GDP growth and productivity - exceeded
the expectations of investors and provided support for the gains.
MID CAP STOCKS
Mid cap stocks outperformed large capitalization stocks, as the S&P 400(R) Index
rose 35.6%.
JNL/CURIAN S&P 400 MIDCAP INDEX FUND
[GRAPH OMITTED]
Date JNL/Curian S&P 400 MidCap Index Fund S&P 400 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 10,080.00 10,031.85
2/28/2002 10,090.00 10,044.17
3/31/2002 10,800.00 10,762.20
4/30/2002 10740 10,711.87
5/31/2002 10,560.00 10,531.22
6/30/2002 9,780.00 9,760.38
7/31/2002 8,830.00 8,814.76
8/31/2002 8,870.00 8,859.21
9/30/2002 8,150.00 8,145.51
10/31/2002 8,500.00 8,498.39
11/30/2002 8,980.00 8,989.94
12/31/2002 8606.01 8,624.99
1/31/2003 8344.31 8,372.96
2/28/2003 8143 8,173.54
3/31/2003 8213.46 8,242.47
4/30/2003 8797.26 8,840.74
5/31/2003 9521.97 9,573.53
6/30/2003 9642.76 9,695.41
7/31/2003 9974.92 10,039.59
8/31/2003 10417.8 10,494.82
9/30/2003 10256.75 10,334.16
10/31/2003 11021.73 11,115.65
11/30/2003 11394.16 11,502.98
12/31/2003 11579.61 11,697.07
AVERAGE ANNUAL TOTAL RETURN
1 Year 34.55%
Since inception 7.76%
(Inception date January 15, 2002)
*PRIOR TO 12/15/03, THE FUND WAS MANAGED BY MELLON CAPITAL MANAGEMENT.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/CURIAN S&P 500 INDEX FUND
(FORMERLY JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND)*
CURIAN CAPITAL LLC
TEAM MANAGEMENT
OBJECTIVE:
JNL/Curian S&P 500 Index Fund seeks as its investment objective long-term
capital growth by matching the performance of the S&P 500 Index.
MONEY MANAGER COMMENTARY:
Stocks were strong in 2003, as the S&P 500 Index gained 28.7%. This marked the
index's highest return since it gained 33.3% in 1997. More than 90 percent of
the stocks in the S&P 500 rallied in 2003, the benchmark's broadest advance in
at least 23 years. The 10 biggest S&P 500 companies, led by General Electric
Co., Microsoft Corp. and Exxon Mobil Corp., climbed, and all 10 industry groups
increased. Also, 459 of the 500 companies rose, the most since at least 1980,
according to S&P, as investors bet the economy's surge would extend into 2004.
The rally contrasts with 1999, the last year the market advanced, when about
half of the S&P 500 members rose and the increases were concentrated in the
largest companies' shares and technology stocks. The breadth of this year's
advance speaks to the strength in the economy. Technology companies led the
gains last year, as they did in 1999. An index of 83 computer related companies
in the S&P 500 rose 47%. Telecommunications stocks added 3.3%, the smallest
increase among the 10 industry groups. Among the 10 largest companies in the
index, Intel Corp. had the biggest gain. Shares of the world's No. 1
semiconductor producer more than doubled. Cisco Systems Inc., the biggest maker
of computer networking equipment rose 85%.
The war in Iraq took center stage during the first quarter of 2003 as markets
finished lower. At the beginning of the quarter, despite some strong gains,
investors were uncertain as to the timing and potential length of the war, and
were loathe to make large commitments in the markets. Trading volume during the
quarter was consistently lower than the recent norm. Prior to the start of the
war on March 19, with military action all but assured, equities rallied sharply
over an eight-day period, with the S&P 500 gaining nearly 12%. Once the war
began in earnest, equity markets hung one very item of news about the military
campaign, eschewing the typical indicators that drive investment in stocks. The
performance for the rest of March was volatile, depending on news reports of
success or failure on the battlefield. For the quarter, the S&P 500 fell 3.2%
and the Russell 3000 lost 3.0%.
The U.S. equity markets surged in the second quarter as investor sentiment
improved. A quick end to the war in Iraq and first quarter earnings results that
outpaced expectations gave investors encouragement for the remainder of 2003.
Combined with the lowest interest rates in nearly half a century, a weaker U.S.
dollar, and a $350 billion tax stimulus package, investors rushed into stocks in
the hope that the long-awaited recovery in the economy had arrived. Though the
rally slackened toward the end of the quarter as investors questioned the
evidence of a pickup in the economy, the S&P 500 returned 15.4%, the best
quarterly result since the fourth quarter of 1998.
Stocks extended their gains in the third quarter of 2003, with the positive
sentiment inspired by better-than-expected economic growth and corporate
earnings. The broad market posted its second quarterly advance in a row -- a
first since the beginning of 2000. Through August, the S&P 500 rose for six
straight months and the Nasdaq Composite advanced for seven, their longest
streaks since 1998 and 1995, respectively. Though the streaks ended in
September,the major indices still posted gains for the second straight quarter.
The S&P 500 Index delivered a 2.7% total return in the quarter.
Stocks finished the year in grand fashion, as the broad S&P 500 gained 12.2%.
Stocks forged ahead as the anticipated strength in corporate earnings and
economic data continued to materialize. The positive news during the quarter
- -bullish reports on corporate profits, GDP growth and productivity - exceeded
the expectations of investors and provided support for the gains.
JNL/CURIAN S&P 500 INDEX FUND
[GRAPH OMITTED]
Date JNL/Curian S&P 500 Index Fund S&P 500 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 9,920.00 9,865.00
2/28/2002 9,720.00 9,674.76
3/31/2002 10,080.00 10,038.62
4/30/2002 9460 9,430.00
5/31/2002 9,380.00 9,360.53
6/30/2002 8,710.00 8,693.80
7/31/2002 8,040.00 8,016.04
8/31/2002 8,090.00 8,068.63
9/30/2002 7,210.00 7,191.72
10/31/2002 7,830.00 7,824.73
11/30/2002 8,280.00 8,285.28
12/31/2002 7790 7,794.10
1/31/2003 7580 7,589.92
2/28/2003 7470 7,476.04
3/31/2003 7530 7,548.64
4/30/2003 8140 8,170.45
5/31/2003 8570 8,600.92
6/30/2003 8670 8,710.60
7/31/2003 8820 8,864.20
8/31/2003 8990 9,037.05
9/30/2003 8890 8,941.14
10/31/2003 9390 9,446.86
11/30/2003 9460 9,529.97
12/31/2003 9955.13 10,029.85
AVERAGE ANNUAL TOTAL RETURN
1 Year 27.79%
Since inception -0.23%
(Inception date January 15, 2002)
*PRIOR TO 12/15/2003, THE FUND WAS MANAGED BY MELLON CAPITAL MANAGEMENT.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/CURIAN SMALL CAP INDEX FUND
(FORMERLY JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND)*
CURIAN CAPITAL LLC
TEAM MANAGEMENT
OBJECTIVE:
JNL/Curian Small Cap Index Fund seeks as its investment objective long-term
capital growth by investing in equity securities of small to mid-size domestic
companies matching the performance of the Russell 2000 Index.
MONEY MANAGER COMMENTARY:
Stocks were strong in 2003, as the S&P 500 Index gained 28.7%. This marked the
index's highest return since it gained 33.3% in 1997. More than 90 percent of
the stocks in the S&P 500 rallied in 2003, the benchmark's broadest advance in
at least 23 years. The 10 biggest S&P 500 companies, led by General Electric
Co., Microsoft Corp. and Exxon Mobil Corp., climbed, and all 10 industry groups
increased. Also, 459 of the 500 companies rose, the most since at least 1980,
according to S&P, as investors bet the economy's surge would extend into 2004.
The rally contrasts with 1999, the last year the market advanced, when about
half of the S&P 500 members rose and the increases were concentrated in the
largest companies' shares and technology stocks. The breadth of this year's
advance speaks to the strength in the economy. Technology companies led the
gains last year, as they did in 1999. An index of 83 computer related companies
in the S&P 500 rose 47%. Telecommunications stocks added 3.3%, the smallest
increase among the 10 industry groups. Among the 10 largest companies in the
index, Intel Corp. had the biggest gain. Shares of the world's No. 1
semiconductor producer more than doubled. Cisco Systems Inc., the biggest maker
of computer networking equipment rose 85%.
The war in Iraq took center stage during the first quarter of 2003 as markets
finished lower. At the beginning of the quarter, despite some strong gains,
investors were uncertain as to the timing and potential length of the war, and
were loathe to make large commitments in the markets. Trading volume during the
quarter was consistently lower than the recent norm. Prior to the start of the
war on March 19, with military action all but assured, equities rallied sharply
over an eight-day period, with the S&P 500 gaining nearly 12%. Once the war
began in earnest, equity markets hung one very item of news about the military
campaign, eschewing the typical indicators that drive investment in stocks. The
performance for the rest of March was volatile, depending on news reports of
success or failure on the battlefield. For the quarter, the S&P 500 fell 3.2%
and the Russell 3000 lost 3.0%.
The U.S. equity markets surged in the second quarter as investor sentiment
improved. A quick end to the war in Iraq and first quarter earnings results that
outpaced expectations gave investors encouragement for the remainder of 2003.
Combined with the lowest interest rates in nearly half a century, a weaker U.S.
dollar, and a $350 billion tax stimulus package, investors rushed into stocks in
the hope that the long-awaited recovery in the economy had arrived. Though the
rally slackened toward the end of the quarter as investors questioned the
evidence of a pickup in the economy, the S&P 500 returned 15.4%, the best
quarterly result since the fourth quarter of 1998.
Stocks extended their gains in the third quarter of 2003, with the positive
sentiment inspired by better-than-expected economic growth and corporate
earnings. The broad market posted its second quarterly advance in a row -- a
first since the beginning of 2000. Through August, the S&P 500 rose for six
straight months and the Nasdaq Composite advanced for seven, their longest
streaks since 1998 and 1995, respectively. Though the streaks ended in
September,the major indices still posted gains for the second straight quarter.
The S&P 500 Index delivered a 2.7% total return in the quarter.
Stocks finished the year in grand fashion, as the broad S&P 500 gained 12.2%.
Stocks forged ahead as the anticipated strength in corporate earnings and
economic data continued to materialize. The positive news during the quarter
- -bullish reports on corporate profits, GDP growth and productivity - exceeded
the expectations of investors and provided support for the gains
SMALL CAP STOCKS
Small cap stocks were solid performers in 2003, as the Russell 2000(R) surged
47.3%.
JNL/CURIAN SMALL CAP INDEX FUND
[GRAPH OMITTED]
Date JNL/Curian Small Cap Index Fund Russell 2000 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 10,010.00 9,965.00
2/28/2002 9,740.00 9,692.32
3/31/2002 10,520.00 10,471.98
4/30/2002 10630 10,567.22
5/31/2002 10,150.00 10,098.34
6/30/2002 9,670.00 9,596.44
7/31/2002 8,220.00 8,146.93
8/31/2002 8,190.00 8,126.08
9/30/2002 7,600.00 7,542.36
10/31/2002 7,830.00 7,784.03
11/30/2002 8,500.00 8,478.54
12/31/2002 8,021.44 8,007.24
1/31/2003 7789.08 7,786.56
2/28/2003 7566.82 7,551.36
3/31/2003 7647.65 7,648.56
4/30/2003 8364.93 8,373.42
5/31/2003 9233.75 9,271.90
6/30/2003 9405.49 9,440.46
7/31/2003 9981.34 10,030.73
8/31/2003 10435.95 10,490.92
9/30/2003 10244.01 10,297.57
10/31/2003 11092.62 11,162.05
11/30/2003 11476.52 11,558.13
12/31/2003 11701.89 11,794.02
AVERAGE ANNUAL TOTAL RETURN
1 Year 45.88%
Since inception 8.34%
(Inception date January 15, 2002)
*PRIOR TO 12/15/2003, THE FUND WAS MANAGED BY MELLON CAPITAL MANAGEMENT.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
THE EAGLE/JNL CORE EQUITY FUND
EAGLE ASSET MANAGEMENT, INC.
TEAM MANAGEMENT
OBJECTIVE:
The Eagle/JNL Core Equity Fund ("the Fund") is invested in a diversified
portfolio of common stocks and its primary objective is long-term capital
appreciation with current income being a secondary objective.
The Fund consists of three separately managed constituent portfolios (all
managed by different investment teams at sub-advisor Eagle Asset Management,
Inc.): (i) the Growth Equity portfolio (40% of Funds' assets comprised of mostly
large cap growth companies); (ii) the Value Equity portfolio (40% of Funds'
assets comprised of mostly mid and large cap value companies); and (iii) Equity
Income portfolio (20% of Funds' assets comprised of mostly mid and large cap
companies paying a steady or rising dividend).
The Fund is designed to be a core large cap equity holding around which
investors can build a diversified equity portfolio.
MONEY MANAGER COMMENTARY:
The U.S. economy is starting to show the beginning phases of a recovery period.
Monetary and fiscal stimuli appear to have set the stage for a sustainable
recovery. The federal funds rate remains at a historic trough of 1%. The low
borrowing costs allow corporations to spend on capital equipment and new
projects. The dollar continues to weaken while economies outside the United
States begin recovering. U.S. multinational companies that generate revenues and
profits overseas garnered a near-term competitive advantage from the currency
translation. Increased government spending has also aided the recovery, pumping
more money into the economy. Tax cuts and an improving employment picture have
bolstered the consumer over the course of the year, sustaining the recovery
throughout its early and current stages. On the corporate level, increased
productivity has led to profit growth. An improving real gross domestic product
has reflected these positive developments throughout the year.
PERFORMANCE DISCUSSION
The Fund was up 24.54% in calendar year 2003 while the benchmark S&P 500 Index
was up 28.69%. The Fund has a 40 percent value allocation and a 20 percent
equity income allocation. Thus, 60 percent of its assets are in relatively
conservative strategies that have served investors very well in the rocky
markets of 2000, 2001 and 2002. In general, the market recovery of 2003 was led
by lower-quality, higher-priced stocks in the technology and telecommunications
sectors that don't tend to be areas heavily represented in the Fund's overall
portfolio. In such an environment, it is not surprising that the Fund slightly
lagged the market. As the economic recovery continues, however, we believe other
more traditional sectors will also begin to participate in the improving equity
markets as well. This broadening of the market recovery in 2004 should benefit
many of the Fund's holdings that were laggards in 2003.
PORTFOLIO POSITIONING
Below is a brief overview of contributions made by the three constituent
portfolios in 2003:
GROWTH EQUITY
There were mostly winning sectors in 2003 for the Growth Equity portion of the
Fund with the financial services, consumer/retail and technology sectors all
contributing nicely on the upside. Our financial services sector performance
benefited from strong showings by Lehman Brothers, Goldman Sachs and Citigroup.
Some of the most significant portfolio moves this year came in the
consumer/retail sector where we shifted money from consumer staples names and
into more discretionary names. We sold positions in Colgate-Palmolive,
Anheuser-Busch and Coca-Cola and added several media names including Time
Warner, Univision and Lamar Advertising. Some media names, including Viacom and
Westwood One, detracted from performance while the sector has dealt with
softer-than-expected local advertising sales but we are seeing strength in
national advertising and believe the pending economic recovery may lead to a
stronger local ad environment in 2004. Technology's performance improved as the
year progressed with consumer spending as the principal driver. Technology
holdings Intel, Taiwan Semiconductor and Fairchild Semiconductor benefited
performance, while LSI Logic and Lockheed Martin hurt performance.
Our healthcare sector performance was hurt due to the lagging performance of
some large-cap pharmaceutical stocks such as MedImmune and Merck. Merck suffered
from pipeline concerns and MedImmune's nasally inhaled FluMist flu vaccine had a
slower-than-expected sales. Positions in Baxter and St. Jude, both beneficiaries
of having new products out, did aid the sector's performance. Now that the
long-awaited prescription drug legislation has been enacted, we believe much of
the uncertainty that held back the large pharmaceutical stocks in 2003 is gone
and we believe it is a sector that holds much promise in 2004.
VALUE EQUITY
During 2003, top-performing sectors in the Value Equity portion of the Fund were
telecommunications, financials and consumer cyclicals. BellSouth, SBC
Communications and Verizon Communications reported losing fewer hard-wired
telephone customers, which should allow the growth in high-speed Internet,
wireless and South America to more than offset those losses. Major banks and
brokerage houses moderately outperformed the market during 2003. The solid
performance of US Bancorp, Wells Fargo, Lehman Brothers Holdings, JP Morgan
Chase and Citigroup was driven by solid earnings growth, improving credit
quality and defensive posturing. There was also a reduction in loan-loss
pressure that had been prevalent during 2002. An improving cyclical economy and
better revenues drove Federated Department Stores and Gannett shares higher.
Honda continues to take market share in the North American marketplace from
domestic manufacturers.
While all major sectors were positive for the year, there were individual stocks
held in the Value Equity portion of the Fund that had disappointing returns.
Shares of some defense manufacturers, including Lockheed Martin, faded since the
end of the conflict in Iraq. We continue to hold the stock, as the long-term
outlook for defense spending remains solid and we find the stock's valuation
compelling. TECO had become highly levered to several power plants it is
building and was struggling to pay for them before they became operational. It
then suffered from a ratings downgrade, which took up nearly all the slack that
was left in the company's financial position and we sold the stock.
EQUITY INCOME
The Equity Income portion of the Fund had a rewarding 2003, though the safer,
large-capitalization dividend-paying stocks we like in this portfolio tended to
lag behind the riskier segments of the market that seemed to be most in favor
with investors. This portfolio benefited in several ways from a renewed focus on
dividends. First, there's the tax break on dividends that was part of the 2003
tax law. Second, many of the stocks we hold have increased their dividends
substantially, which is equivalent to an unexpected raise for shareholders.
Third, and most important from a long-term perspective, a variety of companies
have lifted their dividend payouts high enough that their stocks now meet our
yield criteria for inclusion in the portfolio. This has broadened our choices
among stocks, which has created opportunities to add high-quality stocks that we
would not have considered at lower yields.
Top-performing sectors in the Equity Income portion of the Fund included
healthcare, capital goods and financials. Pfizer recovered from weak
third-quarter results, when blockbuster anti-cholesterol drug Lipitor faced new
competition. Pfizer shares also responded favorably to Congress' passage of the
Medicare drug reimbursement bill. In the capital goods sector, Deere & Co.
benefited from improved farmer cash flow, tax incentives and favorable crop
conditions that have supported higher farm-equipment demand. Cooper Industries
traded up on cost-cutting initiatives and better sales numbers. 3M reported
better-than-expected earnings, revenues and order numbers. Performance of
financials was driven by solid earnings growth, improving credit quality and
defensive posturing. Also up for the year were REIT holdings, boosted by an
improving economic outlook.
Down for the year were consumer staples stocks Newell Rubbermaid and Kraft
Foods. The restructuring effort of Newell's commodity business is taking longer
than the company projected. Kraft suffered from disappointing sales and
increased competition in private-label dairy products.
OUTLOOK
U.S. economic fundamentals continue to improve. We believe tax cuts, government
spending, low interest rates and easing credit will likely continue to boost
corporate growth into the first half of 2004. The Fed's accommodative monetary
policy has been influential in the recovery of the economy and businesses appear
to be taking advantage of the low-rate environment by cleaning up their balance
sheets and making capital investments. The economy should continue to benefit
from historically low interest rates, even if the rates themselves start to ease
upward. We look forward now to an increase in corporate spending, which would
further bolster the recovery. On the consumer side, spending remains steady as
the employment picture stabilizes.
All of these factors point, in our view, to a favorable 2004 as more sectors
begin to participate in the market's recovery. We believe the Fund, with its
diversified approach, should be well positioned to capitalize in the broadening
market environment we expect in the coming year.
JNL/EAGLE CORE EQUITY FUND
[GRAPH OMITTED]
Date JNL/Eagle Core Equity Fund S&P 500 Index
09/16/96 10,000.00 10000.00
09/30/96 10,060.00 10054.00
10/31/96 10,250.00 10332.00
11/30/96 10,810.00 11112.00
12/31/96 10,647.07 10892.00
01/31/97 11,158.37 11571.66
02/28/97 11,288.70 11661.92
03/31/97 10,807.48 11183.78
04/30/97 11,328.80 11850.33
05/31/97 12,040.61 12570.83
06/30/97 12,642.14 13134.01
07/31/97 13,634.67 14178.16
08/31/97 13,083.26 13384.18
09/30/97 13,694.82 14117.64
10/31/97 13,424.13 13646.11
11/30/97 13,795.07 14277.92
12/31/97 14,091.34 14522.99
01/31/98 14,122.09 14683.47
02/28/98 15,064.93 15741.94
03/31/98 15,628.58 16609.84
04/30/98 15,536.35 16760.99
05/31/98 15,259.64 16445.88
06/30/98 15,577.34 17093.85
07/31/98 15,290.39 16912.30
08/31/98 13,158.75 14469.43
09/30/98 13,865.88 15396.40
10/31/98 14,839.47 16647.65
11/30/98 15,495.35 17656.21
12/31/98 16,421.70 18673.00
01/31/99 16,659.09 19453.85
02/28/99 16,246.23 18849.46
03/31/99 17,020.35 19603.61
04/30/99 17,773.83 20362.77
05/31/99 17,402.25 19881.93
06/30/99 18,393.13 20985.34
07/31/99 17,949.30 20330.07
08/31/99 17,908.01 20229.54
09/30/99 17,226.78 19674.92
10/31/99 18,331.20 20919.99
11/30/99 19,187.89 21345.27
12/31/99 20,288.39 22602.40
01/31/00 19,673.26 21466.81
02/29/00 19,695.23 21060.43
03/31/00 21,518.66 23120.79
04/30/00 20,804.66 22425.20
05/31/00 20,354.30 21965.08
06/30/00 21,024.35 22506.56
07/31/00 21,035.34 22154.67
08/31/00 22,683.01 23530.79
09/30/00 21,738.35 22288.48
10/31/00 21,364.87 22194.27
11/30/00 19,596.37 20444.49
12/31/00 20,344.67 20544.53
01/31/01 21,085.16 21273.43
02/28/01 19,453.57 19333.65
03/31/01 18,211.05 18108.85
04/30/01 19,754.79 19516.08
05/31/01 19,880.29 19646.86
06/30/01 19,403.37 19168.68
07/31/01 19,240.21 18979.94
08/31/01 18,035.34 17791.80
09/30/01 16,290.80 16355.07
10/31/01 16,893.23 16666.93
11/30/01 18,098.09 17945.42
12/31/01 18,345.35 18102.91
01/31/02 18130.71 17849.47
02/28/02 18004.45 17505.26
03/31/02 18787.25 18163.61
04/30/02 17764.56 17062.39
05/31/02 17562.54 16936.69
06/30/02 16451.47 15730.33
07/31/02 15113.13 14504
08/31/02 15340.4 14599.17
09/30/02 13711.66 13012.51
10/31/02 14620.72 14157.86
11/30/02 15491.91 14991.17
12/31/02 14578.72 14102.44
01/31/03 14260.41 13,733.00
02/28/03 14018.49 13,526.95
03/31/03 14094.89 13,658.30
04/30/03 15202.62 14,783.39
05/31/03 15890.17 15,562.28
06/30/03 16081.16 15,760.73
07/31/03 16323.08 16,038.66
08/31/03 16577.73 16,351.39
09/30/03 16323.08 16,177.86
10/31/03 17099.76 17,092.89
11/30/03 17328.95 17,243.27
12/31/03 18156.21 18,147.74
AVERAGE ANNUAL TOTAL RETURN
1 Year 24.54%
5 Year 2.03%
Since inception 8.52%
(Inception date September 16, 1996)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/EAGLE SMALLCAP EQUITY FUND
EAGLE ASSET MANAGEMENT, INC.
BERT L. BOKSEN
OBJECTIVE:
The JNL/Eagle SmallCap Equity Fund ("the Fund") is designed to capture the
significant long-term capital appreciation potential of dynamic small companies
whose market capitalization at time of purchase is generally between $100
million and $1.25 billion. Using extensive fundamental research, Eagle attempts
to locate those small, rapidly growing, under-researched growth companies that
it believes will enable the Fund to outperform the Russell 2000 Index.
MONEY MANAGER COMMENTARY:
The Russell 2000 Index was up 47.3% for the year, outpacing the 28.7% return of
the S&P 500 Index. This pattern is a continuation of several years of
outperformance of small-cap stocks over large caps. This is consistent with
prior economic cycles when small-cap stocks outperformed large caps following
recessionary periods. Leaders of the strong outperformance during the year were
nonearners, micro caps, and technology stocks.
PERFORMANCE DISCUSSION
The Fund had an excellent absolute return of 39.97% for the year but trailed the
benchmark Russell 2000 Index which was up 47.3%.
Positive sectors for the fund during 2003 included the consumer discretionary
and financial services sectors, primarily due to improving sales and solid
earnings growth respectively. Individual winners included Eclipsys, a healthcare
information technology company; Multimedia Games, a supplier of interactive
electronic games; and Integrated Silicon Solution, a provider of computer-memory
products.
On the down side, materials and processing and health care were the lagging
sectors for 2003. Materials and processing underperformance is due primarily to
Hughes Supply, a wholesale distributor of construction materials. While positive
for the year, our healthcare holdings lagged the benchmark due to the market's
focus on micro-cap companies, which we typically do not own. Some holdings
notable for their underperformance include SurModics, a provider of coating
technologies for medical devices such as stents; and Hilb Rogal and Hamilton,
the seventh-largest insurance broker in the United States
PRESENT POSITIONING
Relative to the Russell 2000 Index, we continue to overweight the consumer
discretionary sector due to our holdings in gaming-equipment suppliers, an area
that we believe still has tremendous potential. We also are overweight in
technology and healthcare because those sectors are currently populated with the
types of growth-at-a-reasonable-price characteristics we tend to find most
attractive. We have underweighted financial services, industrials and utilities
because they are, in our view, less growth-oriented sectors in the near to
intermediate term.
OUTLOOK
The recent market rebound has been fueled by the improving economy and upward
revisions of earnings estimates. Small-cap stocks typically lead coming out of a
recession, a trend that historically has lasted up to six years. If this holds
true again, we are only about two-thirds of the way through this cycle. We
remain positive on the market coming into the new year because first-half
earnings comparisons will be relatively easy. Of future concern, the economic
recovery and increased government spending will put pressure on interest rates,
which could mute the market's recovery.
JNL/EAGLE SMALLCAP EQUITY FUND
[GRAPH OMITTED]
Date JNL/Eagle SmallCap Equity Fund Russell 2000 Index
9/16/1996 10,000.00 10,000.00
9/30/1996 10,360.00 10,120.00
10/31/1996 10,420.00 9,964.00
11/30/1996 11,110.00 10,372.00
12/31/1996 11,540.00 10,639.00
1/31/1997 11,810.00 10,849.65
2/28/1997 11,550.00 10,587.09
3/31/1997 11,340.00 10,090.56
4/30/1997 11,460.00 10,115.78
5/31/1997 12,740.00 11,243.69
6/30/1997 13,490.00 11,721.55
7/31/1997 14,410.00 12,268.95
8/31/1997 14,720.00 12,546.22
9/30/1997 16,120.00 13,462.10
10/31/1997 14,980.00 12,864.38
11/30/1997 14,590.00 12,780.76
12/31/1997 14,730.00 13,004.43
1/31/1998 14,860.00 12,806.37
2/28/1998 15,830.00 13,766.97
3/31/1998 17,140.00 14,345.79
4/30/1998 17,480.00 14,274.10
5/31/1998 16,450.00 13,497.59
6/30/1998 15,970.00 13,520.35
7/31/1998 14,350.00 12,416.30
8/31/1998 11,300.00 10,009.25
9/30/1998 12,150.00 10,783.77
10/31/1998 12,930.00 11,226.14
11/30/1998 14,330.00 11,818.87
12/31/1998 14,904.22 12,556.73
1/31/1999 15,879.73 12,719.66
2/28/1999 13,717.52 11,693.89
3/31/1999 13,134.22 11,874.21
4/30/1999 14,260.58 12,936.98
5/31/1999 16,161.33 13,128.01
6/30/1999 16,996.04 13,717.31
7/31/1999 16,553.54 13,339.26
8/31/1999 15,316.55 12,848.24
9/30/1999 14,984.68 12,848.04
10/31/1999 14,753.37 12,902.64
11/30/1999 15,930.02 13,688.15
12/31/1999 17,775.67 15,237.75
1/31/2000 16,581.55 14,990.24
2/29/2000 20,352.46 17,468.17
3/31/2000 18,875.52 16,318.63
4/30/2000 17,031.96 15,336.23
5/31/2000 16277.78 14,440.72
6/30/2000 18299.41 15,702.99
7/31/2000 17545.22 15,211.63
8/31/2000 19210.71 16366.44
9/30/2000 17765.19 15881.71
10/31/2000 16696.77 15174.12
11/30/2000 14842.73 13615.62
12/31/2000 15421.29 14792.96
1/31/2001 17332.66 15563.24
2/28/2001 15899.13 14542.39
3/31/2001 15214.94 13831.48
4/30/2001 16322.67 14913.09
5/31/2001 16865.67 15278.54
6/30/2001 17006.85 15799.99
7/31/2001 16561.59 14966.24
8/31/2001 16040.31 14482.68
9/30/2001 13727.12 12531.5
10/31/2001 14585.06 13266.07
11/30/2001 15844.83 14293.73
12/31/2001 17116.94 15177.01
1/31/2002 17612.29 15020.1
2/28/2002 16896.79 14609.09
3/31/2002 18514.92 15784.26
4/30/2002 18217.71 15927.81
5/31/2002 16984.85 15221.08
6/30/2002 15586.87 14464.58
7/31/2002 13231.23 12279.75
8/31/2002 12967.05 12248.32
9/30/2002 11833.26 11368.49
10/31/2002 12471.7 11732.76
11/30/2002 13484.41 12779.58
12/31/2002 13220.22 12069.2
1/31/2003 12460.69 11,736.57
2/28/2003 11954.34 11,382.06
3/31/2003 12493.72 11,528.56
4/30/2003 13825.65 12,621.13
5/31/2003 14761.3 13,975.40
6/30/2003 15157.58 14,229.46
7/31/2003 16324.39 15,119.17
8/31/2003 17458.18 15,812.81
9/30/2003 16830.74 15,521.38
10/31/2003 17854.46 16,824.40
11/30/2003 18580.96 17,421.40
12/31/2003 18503.91 17,776.95
AVERAGE ANNUAL TOTAL RETURN
1 Year 39.97%
5 Year 4.42%
Since inception 8.80%
(Inception date September 16, 1996)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/JPMORGAN INTERNATIONAL VALUE FUND
JPMORGAN INVESTMENT MANAGEMENT INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/JPMorgan International Value Fund seeks as its investment objective to
provide high total return by investing in equity securities of foreign companies
in developed and, to a lesser extent, developing markets.
MONEY MANAGER COMMENTARY:
Following the outbreak of war in Iraq in mid-March, international equity markets
rallied with increasing strength. Low interest rates throughout the developed
world and U.S. Congress's approval of a $350-billion package of tax cuts
successfully boosted economic activity everywhere. By year-end, there was a
clear trend of recovering global growth, with economic data and corporate
profits improving across the world. The weak U.S. dollar bolstered U.S. dollar
returns from foreign markets.
PORTFOLIO REVIEW
During the 12 months leading to December 31, 2003, the Fund matched its Salomon
Smith Barney PMI Value Index benchmark, rallying by 39.43% compared with the
Index's 42.1% rise. Strong stock picking drove performance. Reliance Industries,
an Indian conglomerate with interests ranging from bulk chemicals to mobile
phones, made the greatest contribution. As demand for raw materials increased,
Reliance was able to lift its chemicals prices at a time when sales were also
growing.
In oil and gas, the strategy of holding second-tier companies rather than the
more expensive large caps added to performance. The Portfolio did not own BP or
Royal Dutch/Shell, choosing instead to buy TotalFinaElf, ENI and Lukoil.
From a negative perspective, the Portfolio suffered from holding Aegon and
Bayer, two European companies that experienced unforeseen crises.
MARKET OUTLOOK
In spite of the substantial rise in equities since the giveaway valuations of
March, the combination of an appreciation in bond yields and abundant liquidity
(which has kept short rates low), means equities still look attractive. We do
not anticipate any valuation appreciation in 2004, so stock gains will depend on
genuine earnings progression. As always, we remain confident in our ability to
pick stocks at reasonable prices. We do not expect the low-quality momentum
rally that dominated parts of 2003 to continue into 2004.
JNL/JPMORGAN INTERNATIONAL VALUE FUND
[GRAPH OMITTED]
MSCI All Country
Date JNL/JPMorgan International Value Fund World (ex U.S.) Index
03/02/98 10,000.00 10,000.00
03/31/98 10,490.00 10,172.92
04/30/98 10,750.00 10,230.45
05/31/98 10,320.00 10,028.23
06/30/98 10,230.00 9,976.11
07/31/98 10,270.00 10,055.23
08/31/98 8,560.00 8,621.46
09/30/98 8,140.00 8,424.36
10/31/98 9,200.00 9,292.85
11/30/98 9,600.00 9,778.49
12/31/98 9,875.81 10,099.37
1/31/1999 10,046.77 10,074.91
2/28/1999 9,745.07 9,835.63
3/31/1999 10,278.08 10,294.95
4/30/1999 10,750.75 10,794.99
05/31/99 10,408.82 10,270.82
06/30/99 11,022.29 10,737.95
07/31/99 11,384.33 10,974.69
08/31/99 11,535.18 10,998.39
09/30/99 11,565.35 11,057.82
10/31/99 11,927.40 11,455.15
11/30/99 12,460.41 11,899.54
12/31/99 13,630.84 13,020.00
01/31/00 12,801.59 12,298.12
02/29/00 13,247.31 12,616.88
03/31/00 13,371.70 13,076.18
04/30/00 12,780.86 12,331.10
05/31/00 12,594.28 11,999.28
06/30/00 13,216.22 12,491.85
07/31/00 12,791.22 11,984.42
08/31/00 13,040.00 12,118.22
09/30/00 12,376.60 11,431.90
10/31/00 11,785.76 11,055.79
11/30/00 11,153.45 10,546.89
12/31/00 11,524.73 10,893.00
01/31/01 11,583.59 11,051.34
02/28/01 10,677.15 10,167.69
03/31/01 9,652.99 9,418.28
04/30/01 10,347.54 10,033.84
05/31/01 10,218.04 9,721.21
06/30/01 9,923.75 9,330.13
07/31/01 9,523.50 9,115.73
08/31/01 9,488.18 8,871.90
09/30/01 8,428.71 7,916.70
10/31/01 8,675.92 8,136.17
11/30/01 9040.85 8,501.08
12/31/01 9182.28 8,607.35
01/31/02 8660.96 8212.27
02/28/02 8613.57 8260.78
03/31/02 9075.64 8680.94
04/30/02 9182.28 8679.99
05/31/02 9241.52 8739.77
06/30/02 8566.18 8345.48
07/31/02 7464.3 7524.28
08/31/02 7322.13 7505.93
09/30/02 6445.37 6697.93
10/31/02 6706.02 7051.8
11/30/02 7014.08 7381.73
12/31/02 6740.64 7137.97
01/31/2003 6522.42 6,882.47
02/28/2003 6292.08 6,728.46
03/31/2003 6122.35 6,565.95
04/30/2003 6728.52 7,165.37
05/31/2003 7104.35 7,588.58
06/30/2003 7371.06 7,777.42
07/31/2003 7540.79 7,974.32
08/31/2003 7807.51 8,190.91
09/30/2003 7965.11 8,405.20
10/31/2003 8547.04 8,943.15
11/30/2003 8716.77 9,123.55
12/31/2003 9398.67 9,814.63
AVERAGE ANNUAL TOTAL RETURN
1 Year 39.43%
5 Year -0.98%
Since inception -1.06%
(Inception date March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/JANUS AGGRESSIVE GROWTH FUND
JANUS CAPITAL MANAGEMENT, LLC
SCOTT SCHOELZEL
OBJECTIVE:
JNL/Janus Aggressive Growth Fund seeks as its investment objective long-term
growth of capital by investing primarily in common stocks of issuers of any
size, including larger, well-established companies and smaller, emerging growth
companies.
MONEY MANAGER COMMENTARY:
MARKET OVERVIEW
Broadly speaking, many equity investors enjoyed positive performance in 2003 as
the major U.S. stock market indices ended the fiscal year with gains for the
first time since 1999. The Dow Jones Industrial Average added 28.27%, and the
broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the
technology-dominated Nasdaq Composite Index surged 50.01% for the period.
Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes
of the stock market.
The period began with a brief rally that was quickly overcome by worries of a
looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs
and soaring oil prices also were causes for concern. After hitting a trough in
the months leading up to the war, however, both the market and consumer
confidence bounced back sharply by the time the hostilities began in mid-March.
Later, signs that the manufacturing sector was emerging from a two-year slump
and a tax-cut-driven increase in consumer spending also helped to lift
investors' spirits. But the health of the economy still was in doubt as job
losses mounted. The Federal Reserve acknowledged the mixed picture, cutting its
benchmark federal funds rate to a 45-year low of 1% in an attempt to spur
corporate investment and hiring. As the fiscal year came to a close, however,
stocks added to their gains. Feelings of cautious optimism, fueled by an
acceleration of quarterly earnings and better-than-expected economic growth,
prevailed despite questions about whether the positive momentum could be
sustained.
MANAGER'S OVERVIEW
Q. How did you manage the Portfolio in this environment?
Similar to post-bear market trends throughout history, the equity markets spent
much of 2003 bidding up small-capitalization stocks while dismissing large-cap
issues. The Portfolio's charter allows us to invest in securities across a
variety of market capitalizations. This flexibility enhanced our performance,
which exceeded the benchmark, and was exceptionally rewarding.
While enduring the whims of the market, we worked diligently and monitored the
volatility that naturally occurs within a concentrated Portfolio. By exploring a
larger universe and investing in a broader array of industries, we're striving
for more consistent returns through the market's ups and downs.
Q. Which individual holdings had the greatest positive impact on performance?
Among the leaders of the broader technology rally were a trio of the Portfolio's
pacesetters - Internet search giant Yahoo!, which continued to expand its
fee-based offerings, global online marketplace leader Amazon.com and business
software developer Computer Associates International. Other standouts included
health insurance interest UnitedHealth Group, which launched an acquisition of
health maintenance organization operator Mid-Atlantic Medical Services, and
videogame creator Electronic Arts.
Q. Which holdings had the greatest negative impact on performance?
Detractors included apparel and housewares retailer Kohl's, which slumped amid
concerns over the continued purchasing power of consumers. Elsewhere, networking
gear manufacturer Ciena underperformed in light of extended woes within its
primary market, the telecommunications industry. Also lagging was mortgage
reseller Freddie Mac, which was pressured by the cooling home loan business, as
well as defense contractor Lockheed Martin and personal finance software
developer Intuit.
Q. Which sectors had the greatest impact on performance?
While my investment decisions remain rooted in extensive company-level research,
sector analysis offers some insight into the Portfolio's performance. Powered by
companies such as Yahoo!, the information technology sector led all others on an
absolute basis. The consumer discretionary sector followed as standouts such as
Amazon.com helped compensate for the Kohl's setback. Aiding performance was the
Portfolio's overweight position in both sectors, relative to the S&P 500 Index.
No sectors generated negative returns on an absolute basis, although holdings in
the industrials group, represented by companies such as conglomerate 3M, and the
consumer staples sector, featuring companies such as Procter & Gamble, provided
the smallest lift. Notably, while the Portfolio's underweight position in the
industrials sector hindered returns, its underweight position in the consumer
staples group actually enhanced gains on a relative basis.
Q. How will you manage the Portfolio in the months ahead?
Looking ahead, I am genuinely optimistic about the prospects for the Portfolio.
I believe we have invested in some of the world's truly outstanding companies,
each capable of experiencing real profit growth as the economy expands. We
continue to aim for 100% investment, although we remain disciplined in
refraining from a purchase until we're certain a company is truly worthy of your
investment dollars.
Finally, in light of the trying times facing the mutual fund industry, I would
like to reiterate my pledge to conducting myself in a trustworthy manner while
managing your money. As an investor in Janus' investment offerings, I found
recent revelations unsettling. I have a keen interest in maintaining the
Portfolio's integrity as well as striving for outstanding performance, and my
commitment to acting in the best interests of investors has not wavered.
JNL/JANUS AGGRESSIVE GROWTH FUND
[GRAPH OMITTED]
Date JNL/Janus Aggressive Growth Fund S&P 500 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,130.00 10,130.00
6/30/1995 10,860.00 10,356.00
7/31/1995 11,860.00 10,694.00
8/31/1995 11,870.00 10,726.00
9/30/1995 12,190.00 11,179.00
10/31/1995 11,910.00 11,139.00
11/30/1995 12,490.00 11,627.00
12/31/1995 12,409.00 11,851.00
1/31/1996 12,760.58 12,254.00
2/29/1996 13,401.72 12,368.00
3/31/1996 13,577.51 12,487.00
4/30/1996 14,125.57 12,671.00
5/31/1996 14,446.14 12,996.00
6/30/1996 14,022.17 13,046.00
7/31/1996 13,029.45 12,469.00
8/31/1996 13,773.99 12,732.00
9/30/1996 14,601.25 13,448.00
10/31/1996 14,528.87 13,819.00
11/30/1996 14,901.14 14,862.00
12/31/1996 14,760.95 14,568.00
1/31/1997 15,356.68 15,477.04
2/28/1997 14,783.01 15,597.76
3/31/1997 14,010.77 14,958.26
4/30/1997 14,275.54 15,849.77
5/31/1997 15,113.98 16,813.43
6/30/1997 15,665.58 17,566.68
7/31/1997 17,022.53 18,963.23
8/31/1997 16,261.32 17,901.29
9/30/1997 17,232.14 18,882.28
10/31/1997 16,746.73 18,251.61
11/30/1997 16,702.60 19,096.66
12/31/1997 16,630.60 19,424.43
1/31/1998 17,191.44 19,639.25
2/28/1998 18,713.72 21,055.75
3/31/1998 19,595.04 22,133.99
4/30/1998 20,373.35 22,417.75
5/31/1998 19,766.72 21,996.30
6/30/1998 21,620.93 22,862.95
7/31/1998 21,563.70 22,620.12
8/31/1998 18,038.42 19,352.80
9/30/1998 20,201.66 20,592.62
10/31/1998 20,934.19 22,266.16
11/30/1998 22,319.12 23,615.11
12/31/1998 26,219.85 24,975.06
1/31/1999 29782.32 26,019.44
2/28/1999 28832.33 25,211.07
3/31/1999 32477.93 26,219.74
4/30/1999 34199.8 27235.12086
5/31/1999 32311.68 26591.99072
6/30/1999 34829.17 28067.79
7/31/1999 33368.55 27191.38
8/31/1999 34294.8 27056.91
9/30/1999 35992.91 26315.12
10/31/1999 38688.52 27980.4
11/30/1999 42726 28549.21
12/31/1999 50979.82 30230.62
1/31/2000 50928.8 28711.77
2/29/2000 57191.27 28168.23
3/31/2000 57994.8 30923.95
4/30/2000 52867.49 29993.6
5/31/2000 48275.86 29378.2
6/30/2000 49615.08 30102.43
7/31/2000 48964.6 29631.78
8/31/2000 52561.38 31472.32
9/30/2000 50291.07 29810.74
10/31/2000 48020.77 29684.73
11/30/2000 40329.79 27344.42
12/31/2000 40288.56 27478.21
1/31/2001 42178.27 28453.11
2/28/2001 34150.79 25858.67
3/31/2001 30613.26 24220.5
4/30/2001 35586.97 26102.68
5/31/2001 34634.56 26277.59
6/30/2001 33289.09 25638.02
7/31/2001 31338.91 25385.59
8/31/2001 28239.79 23796.45
9/30/2001 25488.37 21874.84
10/31/2001 25866.32 22291.95
11/30/2001 27574.61 24001.92
12/31/2001 28127.61 24212.56
1/31/2002 27202.66 23873.58
2/28/2002 25398.24 23413.21
3/31/2002 26580.97 24293.75
4/30/2002 24412.64 22820.87
5/31/2002 23927.42 22652.75
6/30/2002 21637.79 21039.24
7/31/2002 19969.84 19399.04
8/31/2002 20060.82 19526.32
9/30/2002 18832.61 17404.18
10/31/2002 20060.82 18936.08
11/30/2002 21228.38 20050.62
12/31/2002 19757.56 18861.96
1/31/2003 19530.11 18,367.83
2/28/2003 19181.36 18,092.24
3/31/2003 19712.07 18,267.91
4/30/2003 21304.2 19,772.72
5/31/2003 22759.86 20,814.48
6/30/2003 23245.08 21,079.91
7/31/2003 23745.46 21,451.63
8/31/2003 24458.13 21,869.92
9/30/2003 23912.26 21,637.81
10/31/2003 25322.43 22,861.67
11/30/2003 25656.02 23,062.80
12/31/2003 26762.92 24,272.52
AVERAGE ANNUAL TOTAL RETURN
1 Year 35.46%
5 Year 0.41%
Since inception 12.07%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/JANUS BALANCED FUND
JANUS CAPITAL MANAGEMENT, LLC
KAREN L. REIDY
OBJECTIVE:
JNL/Janus Balanced Fund seeks as its investment objective long-term capital
growth, consistent with preservation of capital and balanced by current income.
The Fund normally invests 40-60% of its assets in securities selected primarily
for their income potential.
MONEY MANAGER COMMENTARY:
PERFORMANCE OVERVIEW
For the 12 months ended December 31, 2003, JNL/Janus Balanced Fund advanced
13.73%, while the S&P 500 Index, the benchmark for the equity portion of the
Portfolio, gained 28.67%. The Lehman Brothers Government/Credit Index, the
Portfolio's fixed-income benchmark, returned 4.67%.
MARKET OVERVIEW
For the first time since 1999, the major U.S. stock market indices ended the
fiscal year with gains. The Dow Jones Industrial Average added 28.27% and the
broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the
technology-dominated Nasdaq Composite Index surged 50.01% for the period.
Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes
of the stock market.
The period began with a brief rally that was quickly overcome by worries of a
looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs
and soaring oil prices also were causes for concern. After hitting a trough in
the months leading up to the war, however, both the market and consumer
confidence bounced back sharply by the time the hostilities began in mid-March.
The Treasury market surged in early March on fears about the war, only to back
up sharply as equity markets rebounded. Later, signs that the manufacturing
sector was emerging from a two-year slump and a tax-cut-driven increase in
consumer spending also helped to lift investors' spirits. But the health of the
economy still was in doubt as job losses mounted and the Treasury market
exceeded its March highs, peaking in June on economic concerns. The Federal
Reserve acknowledged the mixed picture, cutting its benchmark federal funds rate
to a 45-year low of 1% in an attempt to protect against deflation. But, the bond
market again backed up sharply in July/August when unemployment showed early
signs of improvement. As the fiscal year came to a close, stocks added to their
gains. Feelings of cautious optimism, fueled by an acceleration of quarterly
earnings and better-than-expected economic growth, prevailed despite questions
about whether the positive momentum could be sustained.
MANAGER'S OVERVIEW
Q.How did you manage the Portfolio in this environment?
In addition to feeling the lingering effects of an economic slowdown, the
consequences of war and SARS also weighed heavily on investors last year. This
kept a lid on business travel and capital spending in 2003. As such, I felt it
prudent to keep the Portfolio defensively positioned. This was apparent in our
relatively high fixed-income weighting and, on the equity side of the Portfolio,
a preference for companies with lower but more consistent growth profiles. I
also focused on companies that were generating high rates of cash flow and using
it to reduce debt or pay dividends. However, this strategy held back performance
as the equity market focused on higher-growth opportunities in anticipation of a
robust economic recovery.
Q. Which individual holdings had the greatest positive impact on performance?
Industrial conglomerate Tyco International emerged as our single biggest
contributor to performance as the once-troubled company continued to reinvent
itself under a new management team. Online media giant Yahoo! also aided results
by registering a large gain during the year as investors displayed renewed
interest in Internet-based firms that have survived the industry's recent
turmoil in stronger competitive shape. Another technology-related holding,
chipmaker Texas Instruments, also advanced. Meanwhile, financial services
conglomerate Citigroup and industrial powerhouse 3M Company rounded out our list
of top performers.
Q. Which individual holdings had the greatest negative impact on performance?
Automatic Data Processing was our single biggest disappointment as a lackluster
employment environment worked against the company's payroll processing and tax
processing business. Transportation company CNF also worked against us as a
sustained slowdown in global ground and air freight volumes exacted a toll on
the company. Information technology consulting firm Accenture was another
disappointment, as was our investment in insurer American International Group,
or AIG. Finally, grocery chain Kroger also ranked among our worst-performing
positions.
Q. Which sectors had the greatest impact on the Portfolio's performance?
While maintaining our bottom-up approach to building the Portfolio one security
at a time, certain sectors did have a material impact on the Portfolio. As a
group, our consumer discretionary stocks had the biggest positive influence on
performance. We carried nearly twice the weighting of our benchmark, the S&P 500
Index, in this top-performing category, a fact that certainly helped results
this year. Meanwhile, information technology - another area of the market that
performed extremely well in 2003 - also aided results. However, our individual
stock picks in technology tended to be somewhat conservative, and we carried
slightly less exposure to this group than the S&P 500. As a result, while
information technology was a strong positive contributor to absolute returns,
the group held back results when viewed side-by-side with the returns of our
benchmark. Only two sectors - telecommunications services and utilities - turned
in net negative contributions to performance. We maintained only a very small
exposure to both of these sectors during the year, and the negative contribution
made by each was minimal.
While the equity portion of the Portfolio represents a larger portion of assets
and therefore has a bigger impact on overall performance, we are pleased to
report that our fixed-income holdings also aided results. In fact, viewed by
itself, the fixed-income portion of the Portfolio outpaced the return of its
benchmark, the Lehman Brothers Government/Credit Index. Digging deeper into
those returns, both credit selection and a shorter than benchmark duration
position aided results. Meanwhile, we continued to collect a healthy income
return and benefited from strong bond selection as a number of individual
holdings gained in price.
Q. How will you manage the Portfolio in the months ahead?
Given the recent decline in initial jobless claims and renewed strength
in capital spending, I have become increasingly confident in the durability of
the economic expansion. Put another way, my "full-court press" defense has given
way to a strategy emphasizing a bit more offense. For example, I intend to
maintain a fixed-income allocation of around 40%, but have repositioned the
equity portion of the Portfolio by investing in a mix of stocks I believe will
benefit most from an acceleration of economic activity. I believe many of these
companies possess a high degree of operating leverage and accelerating revenue
growth, traits that should work to their advantage as the economy continues to
improve.
On a more personal note, I want to express my disappointment in this year's
performance, a period when I was clearly too cautious on the economy. My
shareholders deserve to participate in the best possible opportunities available
in both the stock and bond markets, and not a day goes by when I don't stop to
think about the responsibility and trust you have placed in me and the entire
Janus team. We appreciate your confidence and will continue to work hard to
maintain it through our actions and performance.
JNL/JANUS BALANCED FUND
[GRAPH OMITTED]
Date JNL/Janus Balanced Fund S&P 500 Index Lehman Brothers Government/Corporate Bond Index
5/1/2000 10,000.00 10,000.00 10,000.00
5/31/2000 9,640.00 9,689.28 10,016.00
6/30/2000 9,980.00 9,928.14 10,220.33
7/31/2000 9,900.00 9,772.91 10,328.66
8/31/2000 10,250.00 10,379.95 10,474.30
9/30/2000 9,980.00 9,831.94 10,514.10
10/31/2000 9,890.00 9,790.38 10,580.34
11/30/2000 9,580.00 9,018.52 10,761.26
12/31/2000 9,800.06 9,062.64 10,973.26
1/31/2001 9,891.08 9,384.18 10,973.26
2/28/2001 9,557.33 8,528.50 10,973.26
3/31/2001 9,264.04 7,988.21 11,324.40
4/30/2001 9,567.45 8,608.97 11,324.40
5/31/2001 9,557.33 8,666.66 11,324.40
6/30/2001 9,435.97 8,455.73 11,358.38
7/31/2001 9,425.86 8,372.47 11,358.38
8/31/2001 9,253.93 7,848.35 11,358.38
9/30/2001 8,920.18 7,214.58 11,899.03
10/31/2001 9,112.34 7,352.15 11,899.03
11/30/2001 9,314.61 7,916.12 11,899.03
12/31/2001 9360.14 7985.59 11,906.17
1/31/2002 9287.74 7873.79 11993.09
2/28/2002 9360.14 7721.96 12095.03
3/31/2002 9473.91 8012.37 11849.5
4/30/2002 9349.8 7526.6 12079.38
5/31/2002 9360.14 7471.15 12190.51
6/30/2002 9070.55 6938.99 12294.13
7/31/2002 8801.64 6398.04 12441.66
8/31/2002 8874.04 6440.01 12720.35
9/30/2002 8563.76 5740.11 12993.84
10/31/2002 8780.95 6245.34 12869.1
11/30/2002 8894.72 6612.93 12876.82
12/31/2002 8744.9 6220.9 13218.06
1/31/2003 8628.44 6,057.93 13,218.06
2/28/2003 8596.68 5,967.04 13,453.34
3/31/2003 8670.79 6,024.98 13,435.85
4/30/2003 9009.57 6,521.28 13,579.61
5/31/2003 9274.25 6,864.86 13,965.27
6/30/2003 9274.25 6,952.41 13,909.41
7/31/2003 9168.38 7,075.00 13,326.61
8/31/2003 9316.6 7,212.96 13,414.56
9/30/2003 9316.6 7,136.41 13,839.81
10/31/2003 9570.68 7,540.05 13,664.04
11/30/2003 9697.73 7,606.39 13,700.93
12/31/2003 9945.96 8,005.37 13,836.57
AVERAGE ANNUAL TOTAL RETURN
1 Year 13.73%
Since inception -0.15%
(Inception date May 1, 2000)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/JANUS CAPITAL GROWTH FUND
JANUS CAPITAL MANAGEMENT, LLC
JONATHAN COLEMAN
OBJECTIVE:
JNL/Janus Capital Growth Fund is a non-diversified Fund that seeks as its
investment objective long-term growth of capital by emphasizing investments in
common stocks of medium-sized companies. Although the Fund expects to emphasize
such securities, it may also invest in smaller or larger companies.
MONEY MANAGER COMMENTARY:
MARKET OVERVIEW
The Portfolio's gain was set against a backdrop of a marketwide advance as the
major U.S. stock market indices ended the fiscal year with gains for the first
time since 1999. The Dow Jones Industrial Average added 28.27%, and the
broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the
technology-dominated Nasdaq Composite Index surged 50.01% for the period.
Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes
of the stock market.
The period began with a brief rally that was quickly overcome by worries of a
looming conflict with Iraq. Rising unemployment, a persistent lack of new job
growth and soaring oil prices also were causes for concern. After hitting a
trough in the months leading up to the war the market bounced back sharply by
the time the hostilities began in mid-March. This was quickly followed by
improving consumer confidence. Later in the summer, signs that the manufacturing
sector was emerging from a two-year slump and a tax-cut-driven increase in
consumer spending also helped to lift investors' spirits. But the health of the
economy still was in doubt as job losses mounted. The Federal Reserve
acknowledged the mixed picture, cutting its benchmark federal funds rate to a
45-year low of 1% in an attempt to spur corporate investment and hiring. As the
fiscal year came to a close stocks added to their gains. Feelings of cautious
optimism, fueled by an acceleration of quarterly earnings and
better-than-expected economic growth, prevailed despite questions about whether
the positive momentum could be sustained.
MANAGER'S OVERVIEW
Q. How did you manage the Portfolio in this environment?
Certainly, conditions made for a pleasant year for stock investors as
significant gains were experienced. However, one must understand that such
periods are far from the norm. While enjoying this broad runup, we steadfastly
adhered to our commitment to preserving and growing shareholder capital by
maintaining a balanced Portfolio consisting of what we see as innovative
companies from across many industries. We increased our holdings of stocks
poised to benefit from an improving economy as our fundamental research
supported such a thesis.
Q. Which individual holdings had the greatest positive impact on performance?
Top performers were National Semiconductor, manufacturer of analog
microprocessor chips for electronic devices such as wireless phones, and
International Game Technology, a world-leading producer of slot machines for
casinos. Also contributing significantly was InterActiveCorp, formerly USA
Interactive, an online retailer focused heavily on travel markets, and natural
gas pipeline owner and operator Kinder Morgan. St. Jude Medical, a medical
device manufacture for cardiac disorders, rounded out the Portfolio's list of
top-five contributors.
Q. Which holdings had the greatest negative impact on performance?
Medical insurer First Health Group proved the biggest drag on returns, followed
by toolmaker Stanley Works and AutoZone, an automotive parts and accessories
retailer with more than 3,000 stores. The largest radio network in the country,
Westwood One, also lost ground, as did biotechnology concern Enzon
Pharmaceuticals.
Q. Which sectors had the greatest impact on performance?
Although we build our portfolios from the bottom up, investing in one company at
a time, sector weightings do have an impact on performance. During this
particular period, the two sectors that had the least positive impact on our
absolute results were our positions in the telecommunication services and
consumer staples areas, which still managed to contribute positively to the
Portfolio's performance despite representing a relatively small share of its
assets. Leading the way on an absolute basis were our consumer discretionary
holdings, in which the Portfolio's weighting significantly exceeded the index,
and the information technology sector.
Q. How will you manage the Portfolio in the months ahead?
We will continue to search for exciting mid-cap investment ideas across many
industries that we feel will provide the best opportunity to balance risk,
represented by the preservation of capital, and reward, represented by positive
absolute returns. That said, we refuse to limit our quest for quality companies
to any particular segment of the economy and we further attempt to spread some
of our risk by keeping position sizes manageable. While seeking to maximize
returns, we also realize that patience is sometimes required for an idea to play
out. As long as there's no change in our original thesis, we're willing to wait
for the performance to come to us.
On a personal note, I want to reassure you that I assume my obligation of trust
with the utmost seriousness, and that I work every day to support the confidence
you have placed in me, and in Janus. The news of discretionary frequent trading
relationships at Janus greatly distressed me, and I am encouraged that the
frequent trading relationships have been terminated. Furthermore, I believe
Janus is taking the appropriate steps so this does not happen again. I write
this not only as your portfolio manager, but as an investor with a financial
interest in the midcap growth products I manage.
JNL/JANUS CAPITAL GROWTH FUND
[GRAPH OMITTED]
Date JNL/Janus Capital Growth Fund S&P Midcap 400 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,020.00 10,009.00
6/30/1995 10,910.00 10,417.00
7/31/1995 11,560.00 10,959.00
8/31/1995 11,930.00 11,161.00
9/30/1995 12,480.00 11,432.00
10/31/1995 12,090.00 11,138.00
11/30/1995 12,580.00 11,622.00
12/31/1995 13,352.64 11,593.00
1/31/1996 13,160.51 11,761.00
2/29/1996 13,768.91 12,160.00
3/31/1996 14,793.57 12,306.00
4/30/1996 15,284.55 12,683.00
5/31/1996 15,892.95 12,854.00
6/30/1996 15,626.11 12,661.00
7/31/1996 14,110.46 11,807.00
8/31/1996 15,273.88 12,489.00
9/30/1996 16,330.56 13,034.00
10/31/1996 15,924.97 13,072.00
11/30/1996 16,074.40 13,807.00
12/31/1996 15,600.01 12,823.00
1/31/1997 15,254.78 13,303.86
2/28/1997 14,952.71 13,194.77
3/31/1997 13,819.93 12,632.67
4/30/1997 13,992.54 12,959.86
5/31/1997 15,567.65 14,092.55
6/30/1997 16,344.41 14,488.55
7/31/1997 16,441.51 15,921.47
8/31/1997 16,463.08 15,902.36
9/30/1997 17,595.86 16,816.75
10/31/1997 17,045.66 16,085.22
11/30/1997 17,326.15 16,323.28
12/31/1997 17,941.01 17,994.00
1/31/1998 17,582.19 17,651.52
2/28/1998 19,039.22 19,113.60
3/31/1998 20,039.57 20,011.93
4/30/1998 20,224.41 20,376.61
5/31/1998 19,376.29 19,440.60
6/30/1998 21,029.04 19,545.58
7/31/1998 20,496.25 18,787.52
8/31/1998 16,299.14 15,293.12
9/30/1998 17,864.90 16,720.17
10/31/1998 19,289.31 18,211.69
11/30/1998 20,768.08 19,120.52
12/31/1998 24,249.15 21,428.83
1/31/1999 26155.86 20,592.31
2/28/1999 25126.47 19,514.00
3/31/1999 28495.38 20,059.26
4/30/1999 30460.58 21641.48
5/31/1999 30051.16 21735.31
6/30/1999 31712.22 22899.17
7/31/1999 31267.71 22408.51
8/31/1999 32893.68 21640.24
9/30/1999 34180.42 20972.12
10/31/1999 39409.25 22040.81
11/30/1999 43702.27 23197.56
12/31/1999 54365.09 24576.05
1/31/2000 55785.91 23883.77
2/29/2000 67950.13 25555.51
3/31/2000 58041.77 27694.33
4/30/2000 50339.43 26726.25
5/31/2000 46189.14 26394.71
6/30/2000 53542.51 26782.32
7/31/2000 51199.4 27205.48
8/31/2000 57817.43 30243.02
9/30/2000 52059.37 30035.95
10/31/2000 45628.29 29017.49
11/30/2000 34386.36 26827.13
12/31/2000 35477.63 28879.54
1/31/2001 37375.79 29523.93
2/28/2001 29150.41 27839.03
3/31/2001 23862.66 25769.37
4/30/2001 27327.57 28612.09
5/31/2001 27011.2 29278.43
6/30/2001 25821.08 29160.15
7/31/2001 24389.93 28725.75
8/31/2001 22220.59 27786.19
9/30/2001 18620.11 24329.92
10/31/2001 19704.77 25406.91
11/30/2001 21000.35 27297.36
12/31/2001 21219.78 28705.85
1/31/2002 19363.24 28547.97
2/28/2002 18396.62 28583.02
3/31/2002 19393.93 30626.34
4/30/2002 18872.26 30483.13
5/31/2002 18350.59 29969.03
6/30/2002 16985.03 27775.45
7/31/2002 15343.3 25084.45
8/31/2002 15343.3 25210.95
9/30/2002 14591.48 23179.96
10/31/2002 15021.09 24184.16
11/30/2002 15742.23 25582.97
12/31/2002 15021.09 24544.41
1/31/2003 14852.31 23,827.22
2/28/2003 14744.91 23,259.70
3/31/2003 15021.09 23,455.87
4/30/2003 16049.09 25,158.37
5/31/2003 17291.9 27,243.72
6/30/2003 17537.39 27,590.54
7/31/2003 17997.69 28,570.00
8/31/2003 18856.92 29,865.45
9/30/2003 18335.24 29,408.27
10/31/2003 19654.77 31,632.18
11/30/2003 20007.66 32,734.41
12/31/2003 20375.9 33,286.73
AVERAGE ANNUAL TOTAL RETURN
1 Year 35.65%
5 Year -3.42%
Since inception 8.59%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/JANUS GLOBAL EQUITIES FUND
JANUS CAPITAL MANAGEMENT, LLC
LAURENCE CHANG
OBJECTIVE:
JNL/Janus Global Equities Fund seeks as its investment objective long-term
growth of capital by investing primarily in common stocks of foreign and
domestic issuers of any size. This Fund normally invests in issuers from at
least five different countries including the United States.
MONEY MANAGER COMMENTARY:
PERFORMANCE OVERVIEW
For the 12 months ended December 31, 2003, JNL/Janus Global Equities Fund
advanced 23.97%, while its benchmark, the MSCI World Index, gained 33.11%.
MARKET OVERVIEW
As 2003 began, the march toward military conflict between the U.S. and Iraq
dominated action in markets around the world, pressuring stocks and delaying any
potential progress in the tepid global economic recovery. Later, equity markets
bounced back handsomely as major hostilities in Iraq came to an end. Markets in
Europe were further aided by the European Central Bank's decision in June to cut
its key lending rate by a half-point to 2%, the third reduction since November
2002. At the conclusion of the period, signs of a worldwide economic rebound
continued to emerge and markets built on earlier gains. Meanwhile, the U.S.
dollar weakened against a number of foreign currencies, most notably the euro
and Japanese yen, which remained a source of volatility despite the brighter
economic outlook.
Turning to individual countries, Japan joined other industrialized markets in a
broad recovery as the country's long-moribund economy gained momentum and reform
efforts seemed finally to take root. Germany also registered a substantial gain,
while markets in France and the United Kingdom followed with healthy returns of
their own. In the U.S., the Nasdaq Composite led a strong recovery that came as
welcome relief after three years of persistent losses. None, however, performed
as well as less-developed markets. In particular, emerging market stocks in
Latin America, Europe and Asia climbed significantly higher.
MANAGER'S OVERVIEW
Q. How did you manage the Portfolio in this environment?
Over the past year, investor focus has swung radically from concerns over global
deflation and economic stagnation to widely shared anticipation of strong and
globally synchronized economic growth. Not surprisingly, companies with the most
to gain in this environment - such as cyclical and technology businesses -
performed well. But perhaps more than anything, 2003 was characterized by the
massive outperformance of smaller-cap and "lower-quality" stocks such as those
with high financial leverage and relatively low returns on equity. Our
traditional emphasis on strong franchises with historically high consistency of
results was therefore out of synch with investor preferences. More recently, I
have begun to position the Portfolio more aggressively. For example, I have
actively sought out select technology firms that have emerged from the massive
industry shake-out in a stronger competitive position and have looked for firms
that are benefiting from growth in new end markets such as digital photography
and high-functioning cellular phones. I also increased our weighting in Japan in
response to fundamental improvements economically and have increased our
exposure to emerging markets in an effort to participate in the enormous
economic growth taking place in areas such as India. One particularly noteworthy
theme is our desire to invest in companies with leverage to China's continued
development as a world economic power through investments that, for example,
utilize its low-cost production base or supply the raw materials that fuel the
country's economic engine.
Q. Which individual holdings had the greatest negative impact on performance?
Japanese consumer electronics and media company Sony Corp. was our single
biggest detractor, followed by Dutch publishing company Wolters Kluwer. Hon Hai
Precision, a company that manufactures cable and other connectivity products for
personal computers, also slipped. Elsewhere in Asia, Japan's Yamanouchi
Pharmaceuticals worked against us. Swedish lock maker Assa Abloy also turned in
a disappointing performance.
Q. Which individual holdings had the greatest positive impact on performance?
Indian industrial conglomerate Reliance Industries, which produces goods across
a wide range of sectors including energy, chemicals and textiles, was our top
performer during the year. Reliance has also been successful in its efforts to
capitalize on the opportunities presented by India's fast-growing wireless
communications market. Swiss drugmaker Roche Holdings also performed well, as
did South Korean electronics producer Samsung Electronics. Meanwhile, U.S.-based
Citigroup gained as global financial markets finally turned higher after a long
period of lagging performance. Finally, Bermuda-based conglomerate Tyco rounded
out our list of top performers.
Q. Which sectors had the greatest impact on the Portfolio's performance?
Our exposure to the financial services and information technology sectors
provided the greatest boost to performance as those sectors benefited from a
general improvement in worldwide markets. When viewed as a group, however, the
strong performance of our individual picks within the technology sector wasn't
enough to keep pace with the rapid rise of the technology stocks represented in
our benchmark. That made information technology our weakest-performing sector
when viewed on a relative basis.
Meanwhile, although no single sector contributed negatively to absolute
performance, our investments in the consumer staples and telecommunication
services areas turned in only a modestly positive performance. That made those
two sectors our biggest laggards.
Q. Which countries had the greatest impact on the Portfolio's performance?
More than 37% of the Fund's average assets were invested in the United States
during the year, making the U.S. by far the largest geographic exposure in the
Portfolio. That, together with the relatively strong performance of U.S.
markets, naturally made the U.S. the single biggest contributor to overall
performance. Our exposure to Switzerland - characterized by top-performing
holdings such as Roche Holdings and UBS - made that country our second biggest
contributor. Only two countries detracted from performance during the year -
Taiwan and Finland.
Q. How will you manage the Portfolio in the months ahead?
I have steadfastly maintained the basic philosophy and approach that has
governed the Portfolio throughout its history and will continue to do so in the
future. More specifically, everyone on our team will continue to work diligently
to produce the best possible returns for the Portfolio while never taking what
we believe to be unacceptable risks. More importantly, we will always strive to
place your interests first and to treat all shareholders fairly. To act
otherwise would be to betray the trust you have placed in us by hiring us to
manage your money.
Looking ahead, I have become very mindful of valuations and believe that some
areas of the market are approaching levels that suggest only limited upside. In
addition, I believe that while chasing historical performance is easy on an
emotional level, it is almost always a recipe for poor returns. Thus, while I
have positioned the Portfolio more aggressively in recent months, I don't
believe it would be wise to move toward lower-quality companies just to chase
what has been working. Most important of all, I believe it is vital to remain
true to my investment approach. Although that requires me to maintain a certain
amount of flexibility, my emphasis will remain on finding great business
franchises with strong growth prospects.
JNL/JANUS GLOBAL EQUITIES FUND
[INSERT GRAPH]
date JNL/Janus Global Equities Fund MSCI World Index
5/15/1995 10,000.00 10000
5/31/1995 10,180.00 10046
6/30/1995 10,680.00 10026
7/31/1995 11,600.00 10511
8/31/1995 11,910.00 10260
9/30/1995 12,240.00 10543
10/31/1995 12,150.00 10360
11/30/1995 12,470.00 10703
12/31/1995 12,926.00 10999
1/31/1996 13,317.07 11182
2/29/1996 13,512.61 11233
3/31/1996 14,150.68 11402
4/30/1996 14,613.79 11588
5/31/1996 15,210.69 11581
6/30/1996 15,735.55 11623
7/31/1996 15,220.98 11194
8/31/1996 15,838.46 11305
9/30/1996 16,064.88 11730
10/31/1996 16,260.41 11794
11/30/1996 17,104.31 12437
12/31/1996 16,979.84 12221
1/31/1997 17,638.93 12370.34
2/28/1997 18,041.08 12514.7
3/31/1997 17,974.06 12269.29
4/30/1997 17,951.72 12672.46
5/31/1997 19,001.79 13456.88
6/30/1997 19,996.00 14130.27
7/31/1997 20,967.87 14783.23
8/31/1997 19,638.53 13796.44
9/30/1997 21,146.61 14548.21
10/31/1997 20,029.51 13784.72
11/30/1997 19,951.32 14030.78
12/31/1997 20,226.96 14203.92
1/31/1998 20,944.40 14581.5
2/28/1998 22,633.83 15549.2
3/31/1998 23,698.41 16335.68
4/30/1998 24,219.13 16476.17
5/31/1998 25,063.85 16250.44
6/30/1998 25,630.85 16463.94
7/31/1998 25,885.42 16418.5
8/31/1998 22,008.97 14209.9
9/30/1998 21,291.54 14443.56
10/31/1998 22,286.69 15729.83
11/30/1998 23756.27 16646.03
12/31/1998 25661 17439.66
1/31/1999 27320.67 17801.99
2/28/1999 26299.33 17308.85
3/31/1999 27332.27 18009.78
4/30/1999 27761.7 18699.98
5/31/1999 27030.51 17996.98
6/30/1999 28678.57 18816.67
7/31/1999 28690.18 18740.1
8/31/1999 28806.24 18686.41
9/30/1999 29525.82 18485.25
10/31/1999 31789 19426.21
11/30/1999 36501.06 19952.95
12/31/1999 42231.98 21565.48
1/31/2000 41794.16 20328.04
2/29/2000 48609.96 20215.74
3/31/2000 47367.5 21786.57
4/30/2000 43415.28 20862.88
5/31/2000 40504.36 20332.21
6/30/2000 42681.63 21014.32
7/31/2000 41545.66 20420.22
8/31/2000 43663.77 21081.94
9/30/2000 40125.7 19958.48
10/31/2000 38575.58 19621.62
11/30/2000 34729.86 18427.88
12/31/2000 34509.84 18723.52
1/31/2001 35798.81 19084.08
2/28/2001 31108.03 17469.13
3/31/2001 28383.92 16318.77
4/30/2001 31174.47 17521.69
5/31/2001 30789.11 17293.37
6/30/2001 29579.87 16749.11
7/31/2001 28144.73 16525.24
8/31/2001 26124.9 15729.6
9/30/2001 23507.09 14341.48
10/31/2001 24251.24 14615.33
11/30/2001 25792.69 15477.75
12/31/2001 26,398.46 15573.48
1/31/2002 25,124.61 15100.09
2/28/2002 24,880.68 14967.29
3/31/2002 26,113.88 15626.6
4/30/2002 24,636.75 15095.45
5/31/2002 24,447.03 15120.61
6/30/2002 22,820.84 14200.57
7/31/2002 20,639.04 13002.35
8/31/2002 20,855.87 13024.56
9/30/2002 18,565.65 11590.56
10/31/2002 19,527.81 12444.6
11/30/2002 20,246.05 13113.67
12/31/2002 19,240.51 12476.53
1/31/2003 18378.38 12096.32
2/28/2003 17913.1 11884.62
3/31/2003 17639.41 11845.39
4/30/2003 18980.5 12895.1
5/31/2003 20143.69 13629.27
6/30/2003 20513.17 13863.44
7/31/2003 20923.71 14143.34
8/31/2003 21197.4 14447.17
9/30/2003 21060.55 14534.11
10/31/2003 22292.16 15395.14
11/30/2003 22524.8 15627.82
12/31/2003 23852.21 16607.06
AVERAGE ANNUAL TOTAL RETURN
1 Year 23.97%
5 Year -1.45%
Since inception 10.59%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/JANUS GROWTH & INCOME FUND
JANUS CAPITAL MANAGEMENT, LLC
DAVID CORKINS
OBJECTIVE:
JNL/Janus Growth & Income Fund seeks as its investment objective long-term
growth of capital and growth of income through investments in equity securities
that are considered to have favorable prospects for capital appreciation and/or
dividend paying ability.
MONEY MANAGER COMMENTARY:
PERFORMANCE OVERVIEW
For the 12 months ended December 31, 2003, the Portfolio gained 24.68%, while
its benchmark, the S&P 500 Index, advanced 28.67%.
MARKET OVERVIEW
For the first time since 1999, the major U.S. stock market indices ended the
fiscal year with gains. The Dow Jones Industrial Average added 28.27% and the
broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the
technology-dominated Nasdaq Composite Index surged 50.01% for the period.
Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes
of the stock market.
The period began with a brief rally that was quickly overcome by worries of a
looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs
and soaring oil prices also were causes for concern. After hitting a trough in
the months leading up to the war, however, both the market and consumer
confidence bounced back sharply by the time the hostilities began in mid-March.
Later, signs that the manufacturing sector was emerging from a two-year slump
and a tax-cut-driven increase in consumer spending also helped to lift
investors' spirits. But the health of the economy still was in doubt as job
losses mounted. The Federal Reserve acknowledged the mixed picture, cutting its
benchmark federal funds rate to a 45-year low of 1% in an attempt to spur
corporate investment and hiring. As the fiscal year came to a close, however,
stocks added to their gains. Feelings of cautious optimism, fueled by an
acceleration of quarterly earnings and better-than-expected economic growth,
prevailed despite questions about whether the positive momentum could be
sustained.
MANAGER'S OVERVIEW
Q. How did you manage the Portfolio in this environment?
I'd like to begin by saying that nothing is more important to me than the
integrity of your investment. I take the recent investigation into mutual fund
trading practices very personally and am committed to doing what is necessary to
prove to you that, despite the issues we are facing today, Janus continues to
stand for integrity and will act in the best interest of its shareholders -
always.
Now that you know my view on integrity, I want to briefly state my overall
investment approach, which holds true regardless of economic environment. First,
I manage the Portfolio for shareholders who want long-term exposure to the stock
market yet some potential downside protection in difficult times. "Growth and
Income" is an apt description in practicality. Common growth stocks usually
represent 80-90% of the holdings, while fixed-income and convertible securities
represent between 10-20%. When the market is strong, the growth stocks should
potentially drive performance, and during periods of weakness, the more
income-oriented investments are designed to lend support.
I tend to gravitate toward larger, established companies that I believe have
sustainable competitive advantages. Because of their stability and solid growth
prospects, these often end up to be core, long-term holdings like Citigroup.
There are also a smaller amount of investments in companies undergoing
significant change or encountering what we believe are short-term dislocations
such as Tyco International. Meanwhile, holdings in fixed income and convertibles
are based on company fundamentals rather than interest rate bets. That said, I
consider the appropriate risk/reward tradeoff in evaluating the free cash flow
and return on invested capital for all of our investments.
Q. Which individual holdings had the greatest negative impact on performance?
Keeping our overall investment approach in mind, some stocks did experience
setbacks during the period. Among the most significant were Stanley Works, which
manufactures tools and doors, and defense contractor General Dynamics. SBC
Communications, a diversified telecommunications company, also weighed on
results. Our list of top five detractors was rounded out by the world's largest
discount broker Charles Schwab and German car maker Bayerishe Motoren-Werke,
better known as BMW.
Q. Which individual holdings had the greatest positive impact on performance?
Our best performer during the period was global financial services powerhouse
and longtime holding Citigroup. Tyco International, the Bermuda-based holding
company with a range of businesses including electronic security services,
fiber-optic networks and medical products, also helped boost the Portfolio's
returns as did analog- and mixed-signal circuit maker Maxim Integrated Products.
Other top contributors were cable giant Comcast, along with commercial and
consumer lender CIT Group.
Q. Which sectors had the greatest impact on the Portfolio's performance?
I adhere to a bottom-up process of selecting stocks, meaning I invest in what I
believe are outstanding companies without regard to the sectors in which they
fall. However, sector weightings can and often do have an impact on performance.
For instance, our telecommunications services position proved to be a detractor
from absolute performance, though our underweighting versus the benchmark aided
relative performance. Materials was our second-weakest sector, yet it actually
contributed on an absolute basis. On the positive end were the financial and
information technology categories. However, a deeper inspection reveals that
although our weighting in the latter sector was closely aligned with that of our
benchmark, the Portfolio's individual technology stocks fell short, which
ultimately detracted from relative performance.
Q. How will you manage the Portfolio in the months ahead?
After a very fulfilling experience as manager of the Portfolio, I have decided
that the time is right to transition my responsibilities to my assistant
portfolio manager and longtime colleague Minyoung (Min) Sohn, effective January
1, 2004. In the five years that I have worked with Min, initially in his role as
a research analyst and more recently in an assistant portfolio manager capacity,
he has demonstrated an exceptional ability to generate new ideas among large-cap
companies across a broad range of industries, including the financial, retail,
consumer, Internet and energy sectors. His strong research skills combined with
his demonstrated analytic abilities have helped the Portfolio deliver solid
long-term performance. As portfolio manager, Min will continue to look for
consistent, well-established companies selected for their growth potential,
while seeking to minimize downside risk by investing in select income-generating
securities.
Moreover, he will be supported by a research team that is deeper and, in my
opinion, more experienced than any in Janus' 30-year history. Over the last
year, we have hired a solid combination of new and seasoned analytical talent,
many of whom are making an instant difference in the quality of our information.
I am highly confident that Min, with support from our expanded research team,
will continue to deliver the results that our shareholders expect. In fact,
given my experience working with Min over the past several years, I believe that
allowing him to put his full energies and talent to work is the right decision
for shareholders.
JNL/JANUS GROWTH & INCOME FUND
[GRAPH OMITTED]
Date JNL/Janus Growth & Income Fund S&P 500 Index
3/2/1998 10,000.00 10,000.00
3/31/1998 10,270.00 10,550.84
4/30/1998 10,160.00 10,646.86
5/31/1998 9,880.00 10,446.70
6/30/1998 9,740.00 10,858.30
7/31/1998 9,240.00 10,742.97
8/31/1998 7,940.00 9,191.22
9/30/1998 8,440.00 9,780.05
10/31/1998 8,910.00 10,574.83
11/30/1998 9,110.00 11,215.52
12/31/1998 9,068.92 11,861.40
1/31/1999 9,159.61 12,357.41
2/28/1999 8,867.39 11,973.49
3/31/1999 9,199.92 12,452.54
4/30/1999 9,764.21 12,934.77
5/31/1999 9,814.59 12,629.33
6/30/1999 9,975.81 13,330.23
7/31/1999 9,572.75 12,914.00
8/31/1999 9,209.99 12,850.14
9/30/1999 8,786.78 12,497.84
10/31/1999 9,129.38 13,288.73
11/30/1999 9,240.22 13,558.87
12/31/1999 9,520.97 14,357.42
1/31/2000 9,093.75 13,636.08
2/29/2000 8,829.28 13,377.93
3/31/2000 9,693.90 14,686.71
4/30/2000 9,164.95 14,244.86
5/31/2000 9,164.95 13,952.58
6/30/2000 9,368.39 14,296.54
7/31/2000 9,256.50 14,073.02
8/31/2000 9,653.21 14,947.15
9/30/2000 9,256.50 14,158.01
10/31/2000 9,348.05 14,098.17
11/30/2000 8,636.01 12,986.68
12/31/2000 8,705.53 13,050.22
1/31/2001 8,972.76 13,513.23
2/28/2001 8,119.68 12,281.06
3/31/2001 7,677.72 11,503.04
4/30/2001 8,294.40 12,396.94
5/31/2001 8,284.12 12,480.01
6/30/2001 8,088.84 12,176.26
7/31/2001 7,811.33 12,056.37
8/31/2001 7,461.88 11,301.64
9/30/2001 6,876.03 10,389.01
10/31/2001 6,999.37 10,587.11
11/30/2001 7,400.21 11,399.23
12/31/2001 7,529.14 11499.27
1/31/2002 7,249.52 11338.28
2/28/2002 7,208.09 11119.63
3/31/2002 7,498.07 11537.83
4/30/2002 7,166.66 10838.31
5/31/2002 7,145.95 10758.47
6/30/2002 6,731.69 9992.16
7/31/2002 6,141.37 9213.18
8/31/2002 6,141.37 9273.63
9/30/2002 5,602.84 8265.76
10/31/2002 5,975.67 8993.31
11/30/2002 6,224.23 9522.64
12/31/2002 5,893.02 8958.11
1/31/2003 5779.1 8,723.43
2/28/2003 5685.89 8,592.54
3/31/2003 5779.1 8,675.98
4/30/2003 6214.09 9,390.65
5/31/2003 6441.94 9,885.42
6/30/2003 6441.94 10,011.48
7/31/2003 6576.57 10,188.02
8/31/2003 6700.86 10,386.68
9/30/2003 6545.5 10,276.44
10/31/2003 6876.92 10,857.69
11/30/2003 7021.92 10,953.21
12/31/2003 7347.67 11,527.74
AVERAGE ANNUAL TOTAL RETURN
1 Year 24.68%
5 Year -4.12%
Since inception -5.14%
(Inception date March 2, 1998). Prior to May 1, 2000 the Fund was managed by
Goldman Sachs Asset Management.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/LAZARD MID CAP VALUE FUND
LAZARD ASSET MANAGEMENT
TEAM MANAGEMENT
OBJECTIVE:
JNL/Lazard Mid Cap Value Fund is a non-diversified Fund that seeks as its
investment objective capital appreciation by investing primarily in equity
securities of U.S. companies with market capitalizations in the range of
companies represented in the Russell Midcap(R) Index that the subadviser
considers undervalued based on their return on equity.
MONEY MANAGER COMMENTARY:
The first two-and-a-half months of 2003, which saw a continuation of the
previous year's bear market, proved an anomaly in an otherwise bull market year.
In mid-March, just before the start of the second Gulf War, sentiment swung
abruptly from very negative to very positive. Investors rotated into stocks that
stood to gain the most from an improving economy; the stocks that benefited from
this change in sentiment included highly leveraged and economically sensitive
companies. In fact, many of the greatest beneficiaries were those same
lower-quality companies whose business models had been most questioned during
the bear market. This trend benefited smaller companies (as they tend to be more
sensitive to swings in the economy than larger companies), and as a result, mid
cap stocks outperformed during the year. Overall, 2003 proved to be a reversal
of 2002, in that the S&P 500 rose in the last 12 months by roughly the same
amount that it had fallen in 2002. In addition, the technology sector, which led
2002's decline, proved to be 2003's strongest performer. However, late in the
year there were signs that the rebound in lower-quality stocks had begun to fade
as investors began to focus once again on individual companies' fundamentals.
During the year, the Portfolio benefited from stock selection in the consumer
staples sector. For instance, Pepsi Bottling Group, which manufactures and
distributes Pepsi Cola products, is benefiting from an improving pricing
environment and new product introductions. Conversely, the Portfolio was hurt by
stock selection in the technology sector: BMC Software, Inc. reported
disappointing results, and the company anticipates some layoffs and
restructuring to improve financial performance. We sold our position, based on
concerns about the health and visibility of future cash flows as a result of the
increased securitization of receivables. Stock selection in the producer
manufacturing sector has also detracted from returns. Although our holdings rose
strongly, many of the more inconsistently profitable and economically sensitive
stocks in the index rose dramatically on optimism over a robust economic
recovery.
In the past, market recoveries have frequently seen a period during which
lower-quality, more cyclical stocks have outperformed. During these initial
stages of upswing, investors tend to seek out those companies that stand to gain
the most from an improvement in the economic landscape. Frequently, these
companies are the most volatile, debt-ridden, and cyclical stocks available. As
we may already be seeing, however, investors tend to turn their attention back
to the fundamentals underpinning stocks, including a company's ability to
generate strong returns on its capital. We remain confident in our Portfolio's
holdings, as they feature this sort of history of strong profitability, which
over the long term is a key determinant of a stock's performance.
JNL/LAZARD MID CAP VALUE FUND
[GRAPH OMITTED]
Date JNL/Lazard Mid Cap Value Fund Russell Midcap Index
3/2/1998 10,000.00 10000
3/31/1998 10,420.00 10461.08
4/30/1998 10,410.00 10475.92
5/31/1998 9,880.00 10137.84
6/30/1998 9,670.00 10261.03
7/31/1998 9,000.00 9765.6
8/31/1998 7,460.00 8190.45
9/30/1998 7,890.00 8695.03
10/31/1998 8,300.00 9282.97
11/30/1998 8,790.00 9710.71
12/31/1998 9,235.56 10264.29
1/31/1999 9,125.25 10239.89
2/28/1999 8,904.64 9882.09
3/31/1999 9,024.98 10176.87
4/30/1999 9,757.00 10921.35
5/31/1999 9,877.33 10876.63
6/30/1999 10,107.97 11245.01
7/31/1999 9,726.92 10925.63
8/31/1999 9,145.31 10625.56
9/30/1999 8,794.34 10236.65
10/31/1999 9,145.31 10713.79
11/30/1999 9,355.89 11003.9
12/31/1999 9,677.21 11955.33
1/31/2000 8,913.48 11551.78
2/29/2000 9,425.98 12426.77
3/31/2000 10,330.39 13110.66
4/30/2000 10,229.90 12486.74
5/31/2000 10,380.64 12133.81
6/30/2000 10,360.54 12472.5
7/31/2000 10,340.44 12328.77
8/31/2000 11,204.66 13489.6
9/30/2000 11,275.00 13277.15
10/31/2000 11,777.45 13065.92
11/30/2000 11,425.74 11872.36
12/31/2000 12,132.36 12759.35
1/31/2001 12,597.00 12954.31
2/28/2001 12,452.44 12148.64
3/31/2001 11,998.13 11379.57
4/30/2001 12,751.88 12345.03
5/31/2001 13,381.73 12553.83
6/30/2001 13,288.80 12421.69
7/31/2001 13,040.99 12055.55
8/31/2001 13,164.90 11573.53
9/30/2001 11,533.48 10162.85
10/31/2001 12,173.66 10555.62
11/30/2001 13092.62 11423.49
12/31/2001 13738.58 11862.61
1/31/2002 13899.26 11782.92
2/28/2002 14071.43 11643.06
3/31/2002 14473.14 12324.92
4/30/2002 14105.86 12077.3
5/31/2002 13991.08 11923.81
6/30/2002 13199.14 11111.02
7/31/2002 11948.09 10016.47
8/31/2002 11971.04 10056.31
9/30/2002 11075.8 9115.65
10/31/2002 11569.33 9565.76
11/30/2002 12372.76 10212.65
12/31/2002 11803.87 9793.45
1/31/2003 11526.94 9,588.52
2/28/2003 11365.4 9,445.61
3/31/2003 11400.02 9,523.47
4/30/2003 12080.79 10,206.35
5/31/2003 12784.64 11,122.20
6/30/2003 12969.25 11,219.58
7/31/2003 13500.02 11,578.40
8/31/2003 13996.18 12,063.47
9/30/2003 13696.18 11,895.75
10/31/2003 14503.87 12,792.70
11/30/2003 14757.72 13,132.82
12/31/2003 15214.14 13,502.83
AVERAGE ANNUAL TOTAL RETURN
1 Year 28.89%
5 Year 10.49%
Since inception 7.45%
(Inception date March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/LAZARD SMALL CAP VALUE FUND
LAZARD ASSET MANAGEMENT
TEAM MANAGEMENT
OBJECTIVE:
JNL/Lazard Small Cap Value Fund is a non-diversified Fund that seeks as its
investment objective capital appreciation by investing primarily in equity
securities of U.S. companies with market capitalizations in the range of
companies represented by the Russell 2000 Index that the subadviser believes are
undervalued based on their return on equity.
MONEY MANAGER COMMENTARY:
The first two-and-a-half months of 2003, which saw a continuation of the
previous year's bear market, proved an anomaly in an otherwise bull market year.
In mid-March, just before the start of the second Gulf War, sentiment swung
abruptly from very negative to very positive. Investors rotated into stocks that
stood to gain the most from an improving economy; the stocks that benefited from
this change in sentiment included highly leveraged and economically sensitive
companies. In fact, many of the greatest beneficiaries were those same
lower-quality companies whose business models had been most questioned during
the bear market. This trend benefited smaller companies (as they tend to be more
sensitive to swings in the economy than larger companies), and small cap stocks
significantly outperformed during the year. Overall, 2003 proved to be a
reversal of 2002, in that the S&P 500 rose in the last 12 months by roughly the
same amount that it had fallen in 2002. In addition, the technology sector,
which led 2002's decline, proved to be 2003's strongest performer. However, late
in the year there were signs that the rebound in lower-quality stocks had begun
to fade as investors began to focus once again on individual companies'
fundamentals.
During the year, the Portfolio was helped by stock selection in technology. For
example, Microsemi performed well. The company is in transition from being a
legacy military/aerospace integrated circuit provider to pursuing leading-edge
opportunities in the consumer, communications and auto markets. Microsemi has
assembled a portfolio of key technologies that will enable it to leverage its
existing competency into new, higher-growth markets. The Portfolio also
benefited from stock selection in health care, where aaiPharma continues to
benefit from its transition to a specialty pharmaceutical company. Its R&D
platform has provided value added product formulation and drug life cycle
management programs to many of the major pharmaceutical companies for the past
20 years, and R&D is still the engine that is driving product extensions through
new formulations, dosing, etc. Conversely, the Portfolio was hurt by stock
selection in commercial services. Tier Technologies saw its shares fall after
the company reduced profit and revenue forecasts at the beginning of 2003.
However, given the company's high long-term growth, which is increasingly taking
the form of recurring payment-processing revenue, we believe there is an
opportunity both for margin expansion and for earnings upside. Our overweight
position in the energy sector also detracted from returns, as did stock
selection in the group: Lone Star Technologies shares declined, as the company
was hurt by weaker-than-expected sales and higher steel costs. We believe that
the company's problems are temporary and not representative of any fundamental
problems with management or the company. Lone Star Technologies is a
well-managed company that is expected to participate in an industry upturn.
In the past, market recoveries have frequently seen a period during which
lower-quality, more cyclical stocks have outperformed. During these initial
stages of upswing, investors tend to seek out those companies that stand to gain
the most from an improvement in the economic landscape. Frequently, these
companies are the most volatile, debt-ridden, and cyclical stocks available. As
we may already be seeing, however, investors tend to turn their attention back
to the fundamentals underpinning stocks, including a company's ability to
generate strong returns on its capital. We remain confident in our Portfolio's
holdings, as they feature this sort of history of strong profitability, which
over the long term is a key determinant of a stock's performance.
JNL/LAZARD SMALL CAP VALUE FUND
Date JNL/Lazard Small Cap Value Fund Russell 2000 Index
03/02/1998 10,000.00 10,000.00
03/31/1998 10,350.00 10,420.44
04/30/1998 10,360.00 10,368.36
05/31/1998 9,820.00 9,804.33
06/30/1998 9,640.00 9,820.86
07/31/1998 8,860.00 9,018.90
08/31/1998 7,340.00 7,270.48
09/30/1998 7,480.00 7,833.07
10/31/1998 7,960.00 8,154.40
11/30/1998 8,370.00 8,584.94
12/31/1998 8,707.85 9,120.91
01/31/1999 8,587.74 9,239.25
02/28/1999 7,917.13 8,494.16
03/31/1999 7,937.15 8,625.14
04/30/1999 8,867.99 9,397.11
05/31/1999 9,278.36 9,535.87
06/30/1999 9,538.60 9,963.92
07/31/1999 9,418.49 9,689.32
08/31/1999 8,968.08 9,332.65
09/30/1999 8,787.92 9,332.51
10/31/1999 8,377.55 9,372.17
11/30/1999 8,537.69 9,942.75
12/31/1999 8,876.77 11,068.33
01/31/2000 8,605.65 10,888.55
02/29/2000 8,645.82 12,688.46
03/31/2000 9,348.73 11,853.46
04/30/2000 9,378.85 11,139.87
05/31/2000 9,288.48 10,489.39
06/30/2000 9,338.69 11,406.28
07/31/2000 9,398.94 11,049.36
08/31/2000 9,890.98 11,888.19
09/30/2000 9,770.48 11,536.10
10/31/2000 9,901.02 11,022.12
11/30/2000 9,499.35 9,890.06
12/31/2000 10,349.96 10,745.25
01/31/2001 10,631.86 11,304.77
02/28/2001 10,410.36 10,563.24
03/31/2001 10,007.64 10,046.86
04/30/2001 10,511.04 10,832.51
05/31/2001 11,105.06 11,097.96
06/30/2001 11,366.83 11,476.74
07/31/2001 11,266.15 10,871.12
08/31/2001 11,316.49 10,519.87
09/30/2001 10,198.93 9,102.58
10/31/2001 10,662.06 9,636.16
11/30/2001 11397.03 10,382.62
12/31/2001 12144.92 11024.22
01/31/2002 12208.84 10910.24
02/28/2002 12155.58 10611.69
03/31/2002 13071.77 11465.31
04/30/2002 13125.04 11569.58
05/31/2002 12507.14 11056.23
06/30/2002 11867.93 10506.72
07/31/2002 10152.73 8919.71
08/31/2002 10493.64 8896.89
09/30/2002 9620.06 8257.8
10/31/2002 10120.77 8522.4
11/30/2002 10664.09 9282.78
12/31/2002 10053.6 8766.78
01/31/2003 9850.39 8,525.17
02/28/2003 9572.31 8,267.65
03/31/2003 9572.31 8,374.07
04/30/2003 10288.9 9,167.69
05/31/2003 11198 10,151.40
06/30/2003 11337.04 10,335.94
07/31/2003 12096.41 10,982.20
08/31/2003 12449.35 11,486.05
09/30/2003 12203.36 11,274.36
10/31/2003 13058.99 12,220.84
11/30/2003 13572.36 12,654.49
12/31/2003 13957.39 12,912.75
AVERAGE ANNUAL TOTAL RETURN
1 Year 38.83%
5 Year 9.88%
Since inception 5.88%
(Since inception March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
MELLON CAPITAL MANAGEMENT CORP.
TEAM MANAGEMENT
OBJECTIVE:
JNL/Mellon Capital Management Bond Index Fund seeks as its investment objective
a moderate rate of income by investing in domestic fixed income investments,
matching the performance of the Lehman Brothers Aggregate Index.
MONEY MANAGER COMMENTARY:
U.S. FIXED INCOME MARKETS
Bonds were able to post moderate gains in 2003, but it came amid volatility. For
the year, the Lehman Aggregate Index gained 4.1%, its lowest annual return since
1999. The bond market outperformed equities during the first quarter, though
there was a great deal of volatility caused by the war in Iraq. The Lehman
Aggregate Index returned 1.4% for the quarter, while the Lehman
Government/Credit Index gained 1.6%. Interest rates staged a strong flight to
quality rally as a result of the war, but by the end of the quarter this flight
to quality had dissipated and the yield curve found itself essentially unchanged
from the beginning of the quarter. Along the Treasury yield curve, the strongest
gains were made in the 7-10 year duration sector, while the weakest performers
were those under two years. Longer duration benchmarks outperformed shorter
duration benchmarks.
In the second quarter, the broad U.S. fixed income market finished with another
positive quarter. The Lehman Aggregate Index gained 2.5% while the Lehman
Government/Credit Index returned 3.5%. Treasury yields all along the curve were
lower this quarter. The spread between the yield on the 2-year note and the
30-year bond flattened by 8 basis points. Along the Treasury yield curve, the
strongest gains were made in the +10 year duration sector, while the weakest
performers were those in the 1-3 year sector. Longer duration benchmarks
outperformed shorter duration benchmarks. Investors were willing to take on more
risk, as the performance of lower quality investment grade outpaced higher
quality credits. In mid-June, Treasury yields hit 45-year lows following Federal
Reserve comments concerning the risks of deflation, with the yield on the
10-year note hitting a low of 3.12% on June 13.
The broad U.S. fixed income market finished lower in the third quarter, hurt
mainly by weak performance in July. Despite a rally in September, when the
Lehman Aggregate gained 2.7%, the index still fell 0.2% for the quarter. The
Index fell 3.4% in July, its worst monthly performance since 1981. The Lehman
Government/Credit Index fell 0.5%. Yields were higher across the Treasury curve,
but rose more sharply in the longer maturities. The 1-3 year bucket was the
strongest performer and the only positive gainer among Treasury duration
sectors, rising 0.4%, while the 20+ sector was the worst performer, falling
3.3%. Longer duration benchmarks sharply underperformed shorter duration
benchmarks. The three-month yield rose by 9 bps, the 10-year yield rose by 42
bps. The spread between the 2-year note and the 30-year bond steepened by 30
basis points.
Bonds finished the year with small gains. They were lower in October, as
continuing positive economic data placed downward pressure on prices, and as
investors sold out their positions in favor of equities. Bonds then picked up
during the quarter as investors were assured by the Fed's neutral stance on
interest rates. The Lehman Aggregate Index managed to recover from a 0.9% loss
in October to finish the fourth quarter with a gain of 0.3%. Shorter duration
benchmarks outperformed longer duration benchmarks. Treasuries underperformed
other spread sectors, as credits were the top performers.
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
[GRAPH OMITTED]
JNL/Mellon Capital Management Lehman Brothers
Date Bond Index Fund Aggregate Index
1/15/2002 10,000.00 10,000.00
1/31/2002 9,940.00 10,080.00
2/28/2002 10,040.00 10,177.78
3/31/2002 9,860.00 10,008.82
4/30/2002 10030 10,203.00
5/31/2002 10,130.00 10,289.72
6/30/2002 10,230.00 10,379.24
7/31/2002 10,390.00 10,504.83
8/31/2002 10,550.00 10,682.36
9/30/2002 10,720.00 10,855.42
10/31/2002 10,670.00 10,805.48
11/30/2002 10,640.00 10,802.24
12/31/2002 10,855.18 11,025.85
1/31/2003 10,855.18 11,035.77
2/28/2003 11,000.20 11,188.06
3/31/2003 10,979.48 11,179.11
4/30/2003 11,041.63 11,271.90
5/31/2003 11,238.43 11,481.56
6/30/2003 11207.36 11,458.59
7/31/2003 10824.11 11,073.59
8/31/2003 10875.9 11,146.67
9/30/2003 11165.92 11,442.06
10/31/2003 11041.63 11,335.65
11/30/2003 11062.34 11,362.85
12/31/2003 11166.4 11,478.75
AVERAGE ANNUAL TOTAL RETURN
1 Year 2.87%
Since inception 5.79%
(Inception date January 15, 2002)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
MELLON CAPITAL MANAGEMENT CORP.
TEAM MANAGEMENT
OBJECTIVE:
JNL/Mellon Capital Management International Index Fund seeks as its investment
objective long-term capital growth by investing in international equity
securities attempting to match the characteristics of each country within the
MSCI E.A.FE. Index.
MONEY MANAGER COMMENTARY:
In a year that began under the auspice of war, global economic weakness, and a
fatal flu outbreak, world equities generated the highest annual return in 17
years, rising 35.3% as measured by the MSCI EAFE(R) Index. International markets
continued to rally into December, with the MSCI EAFE Index advancing 7.8%. The
Euro hit an all time high against the U.S. dollar, translating into higher base
currency performance for U.S. investors. The Japanese government sold a record
level of Yen to stem foreign exchange strength. Dollar weakness and industrial
production have supported steady gains in commodity prices sending material and
energy companies higher. Gold prices rose to over $400, base metals remained
firm, and energy stocks rallied with oil prices. Market averages around the
world finished the year with solid performance. International stocks rallied for
their best annual return in over a decade, as the MSCI EAFE gained 38.6% in
dollar terms. The returns were even better for U.S. investors as a weak dollar
helped returns.
International stocks suffered along with the U.S.during the first quarter as the
impending war in Iraq caused uncertainty. The MSCI EAFE lost 8.2% in local
terms. Economic indicators remained weak while employment in the major markets
has yet to recover. German unemployment was 10.5%, France 9.1% and Japan 5.5%.
Equity markets were extremely volatile. The German government's plan to
gradually reform labor practices and the bloated social welfare system did
little to shore up business confidence. The MSCI Germany Index fell 15.9% while
the MSCI France lost 14.9%. Japanese equities fell as banks struggle to repair
fragile balance sheets, causing a 7.9% loss for Japanese equities. Noticeable
domestic economic growth led to smaller losses in Australia and New Zealand.
International equity markets rallied sharply during the second quarter, as the
MSCI EAFE Index gained 19.3% is U.S. dollar terms, and 15.6% in local
currencies. Regionally, Europe was the strongest performer, gaining 22.4% in
U.S. dollar terms, followed by Asia ex Japan (15.1%) and Japan (11.7%). In
Europe, the two top performing countries were Germany, which surged 38.8%, and
France, which rose 26.3%. The strong gains in the second quarter have pushed all
developed international equity markets into the black year-to-date, with the
EAFE up 9.5%. The quarter's rally came after the first quarter's two causes of
uncertainty, SARS and the Iraq war, did not fulfill investors' worst fears.
Lower global interest rates also helped international stocks, which bested U.S.
equity returns.
International equity markets rose during the third quarter, as the MSCI EAFE
Index gained 8.13% is U.S. dollar terms. Within the MSCI EAFE Index, most
markets posted positive returns in U.S.-dollar terms. The best-performing
countries were Japan (+21.9%), Hong Kong (+18.9%), and Bermuda (+16.6%), while
Finland (-0.9%), Spain (-0.3%), and Italy (+0.6%) posted the lowest returns.
International equity markets continued to rally during the fourth quarter, as
the MSCI EAFE Index gained 9.0% in local terms and 17.1% is U.S. dollar terms.
The effects of the weaker dollar versus the euro and yen boosted returns to U.S.
investors. Within the MSCI EAFE Index, all markets posted positive returns in
both local terms and in U.S. dollar terms. The best-performing countries in U.S.
dollar terms were Germany (31.3%), Norway (26.7%) and Spain (25.7%). The lowest
performers were Hong Kong (5.2%) and Japan (8.3%).
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
[GRAPH OMITTED]
JNL/Mellon Capital Management
Date International Index Fund MSCI E.A.F.E. Index
1/15/2002 10,000.00 10,000
1/31/2002 9,790.00 9,778
2/28/2002 9,860.00 9,847
3/31/2002 10,440.00 10,379
4/30/2002 10450 10,448
5/31/2002 10,600.00 10,580
6/30/2002 10,170.00 10,159.21
7/31/2002 9,170.00 9,156.29
8/31/2002 9,130.00 9,135.51
9/30/2002 8,140.00 8,154.41
10/31/2002 8,580.00 8,592.67
11/30/2002 8,960.00 8,982.65
12/31/2002 8,639.59 8,680.61
1/31/2003 8,271.08 8,318.21
2/28/2003 8,076.58 8,127.31
3/31/2003 7,933.27 7,967.62
4/30/2003 8,690.77 8,748.54
5/31/2003 9,212.83 9,278.64
6/30/2003 9427.8 9,502.87
7/31/2003 9612.05 9,732.90
8/31/2003 9878.2 9,967.94
9/30/2003 10164.82 10,275.21
10/31/2003 10789.25 10,915.65
11/30/2003 11024.69 11,158.33
12/31/2003 11862.72 12,030.07
AVERAGE ANNUAL TOTAL RETURN
1 Year 37.31%
Since inception 9.10%
(Inception date January 15, 2002)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/OPPENHEIMER GLOBAL GROWTH FUND
OPPENHEIMERFUNDS, INC.
WILLIAM L. WILBY
OBJECTIVE:
JNL/Oppenheimer Global Growth Fund seeks as its investment objective capital
appreciation.
MONEY MANAGER COMMENTARY:
Against a backdrop of market volatility and global uncertainty, the Fund
performed very well during its past fiscal year. Despite global uncertainties
during the period, we remained committed to our theme-based global approach,
which focuses on companies that are poised to capitalize on the far-reaching
growth trends of mass affluence, new technologies, corporate restructuring and
aging populations. Within each trend, we looked for reasonably priced companies
with strong growth prospects. We also maintained our "barbell strategy,"
combining aggressive positions with more defensive holdings, enabling us to
uncover what we believe are good companies in good businesses at good prices the
world over.
During the first half of 2003, signs of a worldwide economic recovery appeared
to stall amid corporate governance scandals and the events leading up to the
Iraqi war. The buildup to military action produced considerable uncertainty
early in the year, which exerted significant pressure on global markets.
In the U.S., the economy moved from recovery to expansion, with the third
quarter showing particularly strong growth in Gross Domestic Product (GDP), and
profit growth in the second half up strongly. This strength should also benefit
the global economy, providing a boost to the major export economies in the
developed world, as well as emerging markets. Assuming that the U.S. economy
continues to grow at a reasonable and sustainable pace, we would also expect
continuing strength in the global equity markets.
The Fund benefited from its selective investments in the technology and consumer
staples sectors. KDDI Corp., the number two wireless carrier in Japan, was the
Fund's best performing stock during the period on strong demand for wireless
products. National Semiconductor Corp. remained a strong contributor to
performance throughout the year. Two companies in particular detracted from the
Fund's overall return. Although we had sold most of our position, Sony Corp.
detracted from performance due to management's inability to turn around a slide
in brand quality and reputation. Tandberg ASA, a carrier in videoconferencing,
had disappointing earnings during the year.
From a country perspective, the United States was the biggest contributor to
performance as most of the Fund's technology holdings were based there. The Fund
also did well in Japan, where solid stock selection led to good performance
versus the benchmark.
Please remember country, sector and market capitalization weightings were the
result of individual stock selection, not predetermined target allocations. The
Fund's holdings, allocations, management, and strategies are subject to change.
Investing in foreign securities poses additional risks, such as currency
fluctuations and higher expenses.
Although we continue to be optimistic about U.S. growth potential, the Fund does
not currently hold an overweight allocation in the U.S. versus its benchmark.
U.S. equity valuations are fairly high relative to the rest of the world, so
investors are paying a premium for growth in the U.S. Having said that, we think
there are opportunities to buy into solid domestic growth companies. We think
that the market will continue to appreciate, but not at the pace that we saw
this past year.
JNL/OPPENHEIMER GLOBAL GROWTH FUND
[GRAPH OMITTED]
Date JNL/Oppenheimer Global Growth Fund MSCI World Index
5/1/2001 10,000.00 10000
5/31/2001 9,820.00 9722
6/30/2001 9,670.00 9416.03
7/31/2001 9,480.00 9290.17
8/31/2001 9,160.00 8842.88
9/30/2001 8,010.00 8062.51
10/31/2001 8,390.00 8216.46
11/30/2001 9,080.00 8701.3
12/31/2001 9270 8755.11
1/31/2002 8990 8488.98
2/28/2002 8890 8414.32
3/31/2002 9400 8784.97
4/30/2002 9170 8486.37
5/31/2002 9120 8500.52
6/30/2002 8550 7983.29
7/31/2002 7600 7309.67
8/31/2002 7690 7322.16
9/30/2002 6970 6515.99
10/31/2002 7260 6996.11
11/30/2002 7660 7372.25
12/31/2002 7200 7014.06
1/31/2003 6920 6800.32
2/28/2003 6,730.00 6681.31
3/31/2003 6,640.00 6659.25
4/30/2003 7,180.00 7249.38
5/31/2003 7,790.00 7662.12
6/30/2003 8,000.00 7793.76
7/31/2003 8,290.00 7951.12
8/31/2003 8,610.00 8121.92
9/30/2003 8,720.00 8170.8
10/31/2003 9,350.00 8654.85
11/30/2003 9,530.00 8785.66
12/31/2003 10,120.00 9336.17
AVERAGE ANNUAL TOTAL RETURN
1 Year 40.56%
Since inception 0.45%
(Inception date May 1, 2001)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/OPPENHEIMER GROWTH FUND
OPPENHEIMERFUNDS, INC.
BRUCE BARTLETT
OBJECTIVE:
JNL/Oppenheimer Growth Fund seeks as its investment objective capital
appreciation.
MONEY MANAGER COMMENTARY:
Oppenheimer Growth Fund underperformed its peer group and its benchmark over the
calendar year. The Fund underperformed due to our focus on relatively defensive,
quality growth companies while the market generally favored more cyclical and
speculative issues. We generally avoided highly speculative stocks of companies
with weak underlying fundamentals despite steadily improving U.S. economic
prospects as our disciplined focus on top line revenue growth kept us invested
in more steadily growing companies. It should be noted that a management change
over the quarter has not changed our pure growth investment style.
While the dramatic rise in the market partly reflects improved fundamentals, we
believe many investors have been paying higher prices for speculative growth
where earnings have yet to materialize. Prices of such stocks were driven
sharply higher as speculators sought to benefit from the market's upward
momentum with little regard for each company's underlying business fundamentals.
As such, the Fund's stock selection within technology, healthcare and consumer
discretionary sectors proved to detract from performance. Additionally, the
Funds underweight within the markets more cyclical sectors, energy, materials
and utilities hurt performance.
Largest contributors to performance included many technology related stocks
including Yahoo! Inc. which benefited from improving operating fundamentals
while Symantec Corp., benefited from increased demand for Internet security
software. However, not all technology related stocks contributed to returns. For
example, Scientific-Atlanta, a digital set-top box manufacturer, sold-off in the
quarter despite strong long-term fundamentals and an important new customer win.
Select holdings within the high tech healthcare area proved accretive to returns
with long-time holdings Genentech, Inc., and Varian Medical Systems being among
top contributors to performance. However, we continue to like the prospects of
this fast growing company as fundamentals continue to be strong. While the
portfolio's investment philosophy hasn't changed, the fund's new manager has
increased the weighted average market cap of the portfolio to bring it more in
line with the benchmark and diversified the Fund's holdings so as not to take on
any undue company risk.
We remain optimistic regarding the overall economic and business environment.
Employment figures have improved on the margin while other economic indicators
continue to show signs of a sustainable recovery. These developments are
supported by a favorable monetary policy and fiscal stimulus. Furthermore,
despite the recent run-up in stock prices, we believe that many growth-oriented
growth stocks continue to sell at compelling valuations, offering attractive
investment opportunities. While our fundamental, bottom-up stock selection
process has proven itself over an extended market cycle, we fully recognize that
it will be at odds with the market from time to time.
JNL/OPPENHEIMER GROWTH FUND
[GRAPH OMITTED]
Date JNL/Oppenheimer Growth Fund S&P 500 Index
5/1/2001 10,000.00 10,000
5/31/2001 9,910.00 9,931
6/30/2001 9,730.00 9,689
7/31/2001 9,560.00 9,594
8/31/2001 8,990.00 8,993
9/30/2001 8,740.00 8,267
10/31/2001 8,820.00 8,425
11/30/2001 9,290.00 9,071
12/31/2001 9418.39 9,151
1/31/2002 9128.14 9022.46
2/28/2002 8827.87 8848.47
3/31/2002 9088.1 9181.26
4/30/2002 8747.8 8624.61
5/31/2002 8577.64 8561.08
6/30/2002 8197.31 7951.29
7/31/2002 7586.76 7331.41
8/31/2002 7596.77 7379.52
9/30/2002 7266.48 6577.5
10/31/2002 7506.69 7156.45
11/30/2002 7326.53 7577.66
12/31/2002 7036.27 7128.43
1/31/2003 6856.11 6,941.69
2/28/2003 6,816.07 6,837.54
3/31/2003 7,056.29 6,903.93
4/30/2003 7,316.52 7,472.64
5/31/2003 7,676.84 7,866.35
6/30/2003 7,736.90 7,966.66
7/31/2003 8,087.21 8,107.14
8/31/2003 8,097.22 8,265.22
9/30/2003 7,877.02 8,177.50
10/31/2003 8,187.30 8,640.03
11/30/2003 8,107.23 8,716.05
12/31/2003 8,287.39 9,173.23
AVERAGE ANNUAL TOTAL RETURN
1 Year 17.78%
Since inception -6.79%
(Inception date May 1, 2001)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PIMCO TOTAL RETURN BOND FUND
PACIFIC INVESTMENT MANAGEMENT COMPANY
WILLIAM H. GROSS
OBJECTIVE:
JNL/PIMCO Total Return Bond Fund seeks as its investment objective to realize
maximum total return, consistent with preservation of capital and prudent
investment management through investment in a diversified portfolio of fixed
income securities of varying maturities. The average portfolio duration will
normally vary within a three to six year time frame based on the sub-adviser's
forecast for interest rates.
MONEY MANAGER COMMENTARY:
Bonds gained ground in 2003 despite volatile interest rates, led by higher
yielding corporate and emerging market assets. Interest rates fell in the first
half of year as markets were anxious about deflation, but reversed course in the
second half as the mood swung toward optimism about faster growth. Inflation was
well behaved even in the face of surging commodity prices and a falling U.S.
dollar; low inflation helped to mitigate the rise in interest rates. Global
overcapacity, weak labor markets and faster growth in productivity kept
inflation well contained during the period.
Active management across a wide spectrum of strategies - "rolling down" a steep
yield curve, select mortgages and corporates, TIPs, municipals, Eurozone issues
and emerging markets - added value amid volatile markets in 2003. Interest rate
strategies had minimal impact for the quarter; below-index duration helped as
rates rose; an intermediate maturity focus was negative as the yield curve
steepened. A mortgage underweight detracted from returns as lower volatility
caused yield premiums in this sector to tighten. A corporate underweight was
negative as profit growth and margins improved, but positive security selection
of pipeline and telecom issues more than offset this impact. Emerging market
bonds helped returns as credit fundamentals within the asset class continued to
improve.
A defensive posture focused on diversified sources of safe yield will add value
in a challenging environment for bonds. Target below-index duration to protect
relative returns against the risk of upward pressure on rates. Take modest
exposure to short/intermediate maturities; the Fed will anchor this end of the
yield curve in 2004 while longer maturities are more vulnerable to secular
inflation risk. Underweight expensive mortgage and corporate bonds in order to
exploit more attractively priced bonds. Emphasize TIPS, which hedge against
secular inflation risk and are less volatile than nominal bonds when rates rise.
Hold high yielding emerging market bonds, which have potential for solid returns
as fundamentals keep improving; they also offer better value than similarly
rated corporates. Take modest exposure to short maturity Eurozone issues, where
prospects for central bank tightening are more remote than in the U.S; in light
of expectations for stronger growth in Japan, employ strategies that gain when
Japanese rates rise.
JNL/PIMCO TOTAL RETURN BOND FUND
[GRAPH OMITTED]
Lehman Brothers
Date JNL/PIMCO Total Return Bond Fund Aggregate Bond Index
3/2/1998 10,000.00 10,000.00
3/31/1998 9,940.00 9,917.91
4/30/1998 9,970.00 9,968.48
5/31/1998 10,200.00 10,064.19
6/30/1998 10,330.00 10,147.81
7/31/1998 10,290.00 10,169.17
8/31/1998 10,440.00 10,329.56
9/30/1998 10,650.00 10,577.07
10/31/1998 10,540.00 10,577.58
11/30/1998 10,510.00 10,581.19
12/31/1998 10,569.69 10,613.03
1/31/1999 10,694.53 10,688.84
2/28/1999 10,465.66 10,502.21
3/31/1999 10,600.90 10,560.48
4/30/1999 10,559.29 10,593.95
5/31/1999 10,476.06 10,501.12
6/30/1999 10,434.45 10,467.58
7/31/1999 10,413.64 10,423.11
8/31/1999 10,434.45 10,417.82
9/30/1999 10,538.48 10,538.71
10/31/1999 10,569.69 10,577.58
11/30/1999 10,590.50 10,576.53
12/31/1999 10,542.19 10,525.53
1/31/2000 10,509.38 10,490.79
2/29/2000 10,629.68 10,617.73
3/31/2000 10,793.71 10,757.88
4/30/2000 10,739.03 10,726.69
5/31/2000 10,749.97 10,721.32
6/30/2000 10,946.82 10,944.33
7/31/2000 11,034.30 11,043.92
8/31/2000 11,209.28 11,204.06
9/30/2000 11,263.96 11,274.64
10/31/2000 11,362.38 11,349.06
11/30/2000 11,581.10 11,535.18
12/31/2000 11,780.85 11,749.73
1/31/2001 11,952.58 11,749.73
2/28/2001 12,067.07 11,749.73
3/31/2001 12,147.21 12,105.75
4/30/2001 12,044.17 12,105.75
5/31/2001 12,078.52 12,105.75
6/30/2001 12,124.31 12,173.54
7/31/2001 12,502.12 12,173.54
8/31/2001 12,650.96 12,173.54
9/30/2001 12,868.48 12,734.74
10/31/2001 13,143.26 12,734.74
11/30/2001 12960.08 12,734.74
12/31/2001 12902.91 12,741.11
1/31/2002 13072.36 12843.04
2/28/2002 13253.92 12967.62
3/31/2002 13011.84 12752.35
4/30/2002 13253.92 12999.75
5/31/2002 13314.44 13110.25
6/30/2002 13290.24 13224.31
7/31/2002 13338.65 13384.32
8/31/2002 13604.94 13610.52
9/30/2002 13713.88 13831.01
10/31/2002 13713.88 13767.38
11/30/2002 13774.4 13763.25
12/31/2002 14044.21 14048.15
1/31/2003 14116.86 14,060.80
2/28/2003 14334.78 14,254.84
3/31/2003 14322.68 14,243.43
4/30/2003 14492.17 14,361.65
5/31/2003 14734.32 14,628.78
6/30/2003 14722.21 14,599.52
7/31/2003 14153.18 14,108.98
8/31/2003 14274.25 14,202.10
9/30/2003 14649.57 14,578.45
10/31/2003 14540.6 14,442.87
11/30/2003 14564.82 14,477.54
12/31/2003 14715.77 14,625.21
AVERAGE ANNUAL TOTAL RETURN
1 Year 4.78%
5 Year 6.83%
Since inception 6.84%
(Inception March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PPM AMERICA BALANCED FUND
PPM AMERICA, INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/PPM America Balanced Fund seeks as its investment objective reasonable
income, long-term capital growth and preservation of capital. It is intended
that this Fund will invest in common stocks and fixed income securities which
appear to have some potential for capital enhancement.
MONEY MANAGER COMMENTARY:
The S&P 500 Index increased 12.18% in the fourth quarter. After three
consecutive years of disappointing results, the Index return of positive 28.69%
for the year was a welcome sight. Every sector in the S&P 500 Index increased in
2003 with the information technology and materials sectors increasing in excess
of 38% for the year while the telecom services sector, the poorest performing
sector, increased almost 7%. Fixed income returns were positive for the quarter,
with the Lehman Brothers Aggregate Index returning 1.02%, Credit Index 1.11%,
and Government Index 0.89%. For the full year, fixed income returns were carried
by the Credit Index which returned 7.70%. The Aggregate Index ended up posting a
4.10% return for 2003.
The equity markets have rebounded strongly over the past year. Investors were
relieved that the resolution of the conflict in Iraq was quick and decisive.
With significant tax cuts in place, including a lower tax rate on dividend
income and the earnings outlook improving, the equity markets seem poised for a
second consecutive year of gains. Deflation fears have all but disappeared and
evidence for a slow turn in pricing power is mounting. PPM America uses a
value-oriented strategy in managing the Fund. This value strategy has
successfully outperformed the market over the past four years. With the market's
strong rebound during the past year, the S&P 500 Index is now above historical
median valuation levels but nowhere near past extremes.
While the credit rally is well positioned to carry into the 2004, it will
certainly not be as robust as 2003 and with more limited breadth. We remain
constructive on the investment grade market, but are cognizant that market has
already priced in a very rosy earnings and growth forecast to current
valuations.
The stock selection philosophy that guides the management of the equity
component of the Fund is relative valuation based. Therefore, despite the market
returning to a more normal valuation level, PPM America will continue to focus
on relatively attractive priced sectors and securities. The equity portion of
the Fund's assets has a lower-than-market price/earnings ratio and a
higher-than-market dividend yield (compared to the S&P 500 Index). The equity
component of the Fund is overweight (relative to the S&P 500 Index) in stocks of
apparel, telecommunications, utilities, energy, banks, autos, and insurance. The
Fund is underweight (relative to the S&P 500 Index) in stocks of healthcare and
media and significantly underweight in technology companies. The security
selection and sector weighting process that guide the fixed income portion of
the Fund is also relative valuation based. Weightings are selected based on
attractive pricing and potential for out-performance versus the benchmark. The
fixed income allocation's overall level of interest rate risk is generally
constructed to be close to the benchmark duration. The fixed income portion of
the Fund is positioned with over weights in the ABS, CMBS and Corporate bond
sectors. The Fund maintains an underweight to the Agency Debenture, MBS and U.S.
Treasury sectors. Going forward, the Fund will focus on sectors with attractive
valuations and finding securities with potential for relative out-performance.
JNL/PPM AMERICA BALANCED FUND
[GRAPH OMITTED]
Date JNL/PPM America Balanced Fund S&P 500 Index Lehman Brothers Aggregate Bond Index
5/15/1995 10,000.00 10,000.00 10,000.00
5/31/1995 10,070.00 10,130.00 10,070.00
6/30/1995 10,210.00 10,356.00 10,210.00
7/31/1995 10,460.00 10,694.00 10,245.00
8/31/1995 10,660.00 10,726.00 10,368.00
9/30/1995 10,840.00 11,179.00 10,469.00
10/31/1995 10,890.00 11,139.00 10,605.00
11/30/1995 11,270.00 11,627.00 10,764.00
12/31/1995 11,544.72 11,851.00 10,915.00
1/31/1996 11,711.73 12,254.00 10,988.00
2/29/1996 11,711.73 12,368.00 10,797.00
3/31/1996 11,659.54 12,487.00 10,722.00
4/30/1996 11,649.10 12,671.00 10,662.00
5/31/1996 11,878.74 12,996.00 10,588.00
6/30/1996 11,983.12 13,046.00 10,404.00
7/31/1996 11,555.15 12,469.00 10,472.00
8/31/1996 11,732.60 12,732.00 10,619.00
9/30/1996 12,264.96 13,448.00 10,778.00
10/31/1996 12,588.54 13,819.00 11,017.00
11/30/1996 13,089.58 14,862.00 11,206.00
12/31/1996 12792.44 14,568.00 11,102.00
1/31/1997 13,339.76 15,477.04 11,105.44
2/28/1997 13,200.25 15,597.76 11,133.21
3/31/1997 12,738.78 14,958.26 11,009.63
4/30/1997 13,125.13 15,849.77 11,174.77
5/31/1997 13,640.26 16,813.43 11,280.93
6/30/1997 13,983.68 17,566.68 11,415.17
7/31/1997 14,638.33 18,963.23 11,723.38
8/31/1997 14,370.03 17,901.29 11,623.74
9/30/1997 14,810.04 18,882.28 11,795.77
10/31/1997 14,573.93 18,251.61 11,966.81
11/30/1997 14,938.82 19,096.66 12,021.85
12/31/1997 15,150.04 19,424.43 12,143.27
1/31/1998 15,126.84 19,639.25 12,361.85
2/28/1998 15,869.27 21,055.75 12,434.79
3/31/1998 16,391.28 22,133.99 12,332.71
4/30/1998 16,414.48 22,417.75 12,396.84
5/31/1998 16,414.48 21,996.30 12,514.61
6/30/1998 16,344.88 22,862.95 12,618.59
7/31/1998 16,112.87 22,620.12 12,645.14
8/31/1998 14,987.64 19,352.80 12,844.59
9/30/1998 15,440.05 20,592.62 13,152.36
10/31/1998 16,101.27 22,266.16 13,153.00
11/30/1998 16,658.09 23,615.11 13,157.48
12/31/1998 16,674.14 24,975.06 13,197.07
1/31/1999 16735.99 26,019.44 13,291.34
2/28/1999 16476.23 25,211.07 13,059.27
3/31/1999 16562.81 26,219.74 13,131.73
4/30/1999 17515.27 27235.12086 13173.35
5/31/1999 17403.94 26591.99072 13057.92
6/30/1999 17626.59 28067.79 13016.21
7/31/1999 17255.51 27191.38 12960.92
8/31/1999 16909.16 27056.91 12954.33
9/30/1999 16612.29 26315.12 13104.65
10/31/1999 16735.99 27980.4 13153
11/30/1999 16698.88 28549.21 13151.68
12/31/1999 16656.75 30230.62 13088.26
1/31/2000 16048.64 28711.77 13045.07
2/29/2000 15281.9 28168.23 13202.92
3/31/2000 16498.11 30923.95 13377.2
4/30/2000 16471.67 29993.6 13338.4
5/31/2000 16564.21 29378.2 13331.73
6/30/2000 16114.74 30102.43 13609.03
7/31/2000 16101.52 29631.78 13732.88
8/31/2000 16802.16 31472.32 13932
9/30/2000 16855.04 29810.74 14019.77
10/31/2000 17397.05 29684.73 14112.3
11/30/2000 17211.97 27344.42 14343.75
12/31/2000 18030.77 27478.21 14610.54
1/31/2001 18827.26 28453.11 14610.54
2/28/2001 18923.39 25858.67 14610.54
3/31/2001 18635 24220.5 15053.24
4/30/2001 19211.77 26102.68 15053.24
5/31/2001 19527.62 26277.59 15053.24
6/30/2001 19651.21 25638.02 15137.54
7/31/2001 19953.32 25385.59 15137.54
8/31/2001 19761.07 23796.45 15137.54
9/30/2001 18786.06 21874.84 15835.38
10/31/2001 19088.18 22291.95 15835.38
11/30/2001 19719.87 24001.92 15835.38
12/31/2001 19936.87 24212.56 15843.3
1/31/2002 20264.4 23873.58 15970.04
2/28/2002 20378.33 23413.21 16124.95
3/31/2002 20734.34 24293.75 15857.28
4/30/2002 20648.9 22820.87 16164.91
5/31/2002 21019.16 22652.75 16302.31
6/30/2002 20421.05 21039.24 16444.14
7/31/2002 19409.97 19399.04 16643.11
8/31/2002 19623.57 19526.32 16924.38
9/30/2002 18142.55 17404.18 17198.56
10/31/2002 18996.99 18936.08 17119.44
11/30/2002 19908.39 20050.62 17114.31
12/31/2002 19551.43 18861.96 17468.58
1/31/2003 19224.08 18,367.83 17,484.30
2/28/2003 18986.01 18,092.24 17,725.58
3/31/2003 19030.65 18,267.91 17,711.40
4/30/2003 20176.36 19,772.72 17,858.40
5/31/2003 21277.43 20,814.48 18,190.57
6/30/2003 21441.1 21,079.91 18,154.19
7/31/2003 21441.1 21,451.63 17,544.21
8/31/2003 21753.57 21,869.92 17,660.00
9/30/2003 21798.2 21,637.81 18,127.99
10/31/2003 22661.2 22,861.67 17,959.40
11/30/2003 22854.64 23,062.80 18,002.50
12/31/2003 23768.83 24,272.52 18,186.13
AVERAGE ANNUAL TOTAL RETURN
1 Year 21.57%
5 Year 7.34%
Since inception 10.54%
(Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by the
Phoenix Investment Counsel, Inc.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PPM AMERICA HIGH YIELD BOND FUND
PPM AMERICA, INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/PPM America High Yield Bond Fund seeks as its investment objective a high
level of current income; its secondary objective is capital appreciation, by
investing in fixed income securities, with emphasis on higher-yielding,
higher-risk, lower-rated or unrated corporate bonds.
MONEY MANAGER COMMENTARY:
The U.S. high yield market experienced a remarkable turnaround in 2003.
Investors looked past the war in Iraq and some continued economic concerns to
drive the market up 28.97% as measured by the Lehman High Yield Index. This
performance represents one of the best years on record, and is second only to
the 46% return achieved in 1991. While all segments of the market performed
well, there was significant outperformance by the lowest credit quality segments
of the market, as well as from distressed industry sectors that had dramatically
underperformed in 2002. High yield was distinguished as the best performing
asset class for all of 2003, generating 2,642 basis points of excess return
versus comparable Treasury securities.
Underpinning the dramatic rally in high yield in 2003 was the unprecedented
level of cash that moved into the market, including record mutual fund inflows,
as well as significant demand from hedge funds, pension funds and insurance
companies. The very strong technical environment supporting the asset class
continues. While we were pleased with the turnaround in the U.S. high yield
market in 2003, especially after the five-year period where the asset class
failed to earn even its coupon return, we believe this was an unusual year. We
expect 2004 to be a more normal year, with the market earning at least its
coupon return, but certainly nothing like the nearly 29% return in 2003.
Further, while credit fundamentals are improving, which is clearly supportive of
the asset class, it is difficult to get overly excited at current yield levels.
Nevertheless, the high yield market should continue to perform well on a
relative basis versus other fixed income asset classes.
Throughout 2003, PPM America reduced the defensive positioning of the Fund, in
line with our view that the U.S. high yield market would perform well, boosted
by very strong technical market conditions. Nonetheless, the Fund remained
significantly more conservative than its benchmark, the Lehman Brothers High
Yield Index, principally due to its lower exposure to Caa and below-rated
securities. Significant downgrades, fundamental deterioration and defaults over
the past couple of years have caused the benchmark to migrate towards a much
lower quality emphasis, including a greater than 18% allocation to Caa and
below-rated securities. The Fund's exposure to Caa and below-rated securities,
in contrast, was less than half this throughout the year. Although we ended the
year at a higher percentage of Caa-rated securities than at the beginning of the
year, it was mostly due to downgraded names that we decided to continue to hold
rather than new purchases. This positioning was in line with our long-standing
philosophy away from investing in distressed securities for the portfolio,
specifically companies in or near default, considering their very speculative
risk profiles.
JNL/PPM AMERICA HIGH YIELD BOND FUND
[GRAPH OMITTED]
JNL/PPM America
Date High Yield Bond Fund Lehman Brothers High Yield Index
5/15/1995 10,000.00 10,000.00
5/31/1995 9,970.00 10,140.00
6/30/1995 9,930.00 10,207.00
7/31/1995 10,120.00 10,333.00
8/31/1995 10,120.00 10,365.00
9/30/1995 10,230.00 10,493.00
10/31/1995 10,360.00 10,557.00
11/30/1995 10,430.00 10,650.00
12/31/1995 10,624.15 10,818.00
1/31/1996 10,792.79 11,008.00
2/29/1996 10,866.56 11,017.00
3/31/1996 10,782.25 11,009.00
4/30/1996 10,771.71 11,034.00
5/31/1996 10,866.56 11,100.00
6/30/1996 10,887.64 11,192.00
7/31/1996 11,003.58 11,243.00
8/31/1996 11,182.76 11,365.00
9/30/1996 11,425.18 11,639.00
10/31/1996 11,551.65 11,728.00
11/30/1996 11,804.61 11,959.00
12/31/1996 11,994.15 12,046.00
1/31/1997 12,129.04 12,164.05
2/28/1997 12,387.58 12,364.76
3/31/1997 12,106.56 12,180.52
4/30/1997 12,263.93 12,308.42
5/31/1997 12,612.40 12,571.82
6/30/1997 12,792.26 12,746.57
7/31/1997 13,174.45 13,097.10
8/31/1997 13,230.66 13,066.97
9/30/1997 13,522.92 13,325.70
10/31/1997 13,466.72 13,337.69
11/30/1997 13,612.85 13,349.70
12/31/1997 13,799.65 13,670.00
1/31/1998 14,064.10 13,916.06
2/28/1998 14,232.39 13,998.16
3/31/1998 14,388.66 14,129.75
4/30/1998 14,424.72 14,179.20
5/31/1998 14,508.86 14,196.11
6/30/1998 14,508.86 14,277.49
7/31/1998 14,653.11 14,277.49
8/31/1998 13,943.90 13,566.54
9/30/1998 13,847.73 13,627.86
10/31/1998 13,499.13 13,625.00
11/30/1998 14,340.58 13,621.68
12/31/1998 14,329.32 13,918.14
1/31/1999 14408.27 14,125.52
2/28/1999 14237.22 14,042.17
3/31/1999 14434.59 14,175.58
4/30/1999 14684.6 14450.58
5/31/1999 14487.22 14255.5
6/30/1999 14474.06 14225.56
7/31/1999 14513.54 14282.83
8/31/1999 14395.11 14124.94
9/30/1999 14289.85 14023.29
10/31/1999 14263.53 13930.15
11/30/1999 14355.64 14094.53
12/31/1999 14485.16 14252.39
1/31/2000 14413.66 14191.1
2/29/2000 14456.56 14218.06
3/31/2000 14213.47 13919.48
4/30/2000 14242.07 13941.76
5/31/2000 14056.18 13798.16
6/30/2000 14270.67 14079.64
7/31/2000 14256.37 14186.64
8/31/2000 14413.66 14283.11
9/30/2000 14327.87 14158.85
10/31/2000 13898.89 13705.77
11/30/2000 13355.52 13163.02
12/31/2000 13671.03 13417.06
1/31/2001 14513.55 13417.06
2/28/2001 14688.41 13417.06
3/31/2001 14449.96 14270.39
4/30/2001 14338.69 14270.39
5/31/2001 14465.86 14270.39
6/30/2001 14179.72 13943.6
7/31/2001 14402.27 13943.6
8/31/2001 14545.34 13943.6
9/30/2001 13686.93 13359.36
10/31/2001 14100.24 13359.36
11/30/2001 14545.34 13359.36
12/31/2001 14445.54 14131.53
1/31/2002 14445.54 14223.39
2/28/2002 14393.26 14024.26
3/31/2002 14584.94 14362.24
4/30/2002 14724.34 14586.3
5/31/2002 14689.49 14510.45
6/30/2002 14131.89 13441.03
7/31/2002 13835.66 12853.65
8/31/2002 14114.46 13219.98
9/30/2002 14027.33 13046.8
10/31/2002 14114.46 12933.29
11/30/2002 14706.92 13733.86
12/31/2002 14741.95 13926.14
1/31/2003 14931.19 14,389.88
2/28/2003 15101.51 14,566.87
3/31/2003 15461.07 14,986.40
4/30/2003 16066.65 15,875.09
5/31/2003 16047.72 16,038.61
6/30/2003 16407.28 16,500.52
7/31/2003 16085.57 16,319.01
8/31/2003 16293.74 16,506.68
9/30/2003 16634.37 16,957.32
10/31/2003 16956.08 17,299.85
11/30/2003 17107.48 17,562.81
12/31/2003 17494.11 17,959.73
AVERAGE ANNUAL TOTAL RETURN
1 Year 18.67%
5 Year 4.07%
Since inception 6.69%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PPM AMERICA VALUE FUND
PPM AMERICA, INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/PPM America Value Fund seeks as its investment objective long term growth of
capital
MONEY MANAGER COMMENTARY:
The S&P 500 Index increased 12.18% in the fourth quarter. After three
consecutive years of disappointing results, the Index return of positive 28.69%
for the year was a welcome sight. Every sector in the S&P 500 Index increased in
2003 with the information technology and materials sectors increasing in excess
of 38% for the year while the telecom services sector, the poorest performing
sector, increased almost 7%.
The equity markets have rebounded strongly over the past year. Investors were
relieved that the resolution of the conflict in Iraq was quick and decisive.
With significant tax cuts in place, including a lower tax rate on dividend
income and the earnings outlook improving, the equity markets seem poised for a
second consecutive year of gains. Deflation fears have all but disappeared and
evidence for a slow turn in pricing power is mounting. PPM America uses a
value-oriented strategy in managing the Fund. This value strategy has
successfully outperformed the market over the past four years. With the market's
strong rebound during the past year, the S&P 500 Index is now above historical
median valuation levels but nowhere near past extremes.
The stock selection philosophy that guides the management of the Fund is
relative valuation based. Therefore, despite the market returning to a more
normal valuation level, PPM America will continue to focus on relatively
attractive priced sectors and securities. The Fund's assets have a
lower-than-market price/earnings ratio and a higher-than-market dividend yield
(compared to the S&P 500 Index). The Fund is overweight (relative to the S&P 500
Index) in stocks of apparel, telecommunication, utilities, energy, banks, autos,
and insurance. The Fund is underweight (relative to the S&P 500 Index) in stocks
of healthcare and media and significantly underweight in technology companies.
Looking forward, the Fund will continue to focus on sectors with attractive
valuations and finding securities with potential for relative out-performance.
JNL/PPM AMERICA VALUE FUND
[GRAPH OMITTED]
Date JNL/PPM America Value Fund S&P Mid 400 Barra Value Index Russell 1000 Value
9/30/2002 10,000.00 10,000.00 10,000.00
10/31/2002 10,620.00 10,407.00 10,830.82
11/30/2002 11,450.00 11,075.03 11,462.84
12/31/2002 10970 10,654.77 10,813.98
1/31/2003 10,670.00 10,285.96 10,551.98
2/28/2003 10,350.00 10,068.65 10,388.69
3/31/2003 10,390.00 10,036.43 10,495.77
4/30/2003 11,370.00 10,851.28 11,343.18
5/31/2003 12280 11,911.42 11,990.08
6/30/2003 12450 11,960.74 12,147.90
7/31/2003 12770 12,320.32 12,389.93
8/31/2003 13030 12,948.28 12,641.31
9/30/2003 12850 12,821.33 12,511.88
10/31/2003 13,780.00 13,871.23 13,245.94
11/30/2003 13,950.00 14,418.87 13,404.63
12/31/2003 14,787.36 14,936.28 14,046.50
AVERAGE ANNUAL TOTAL RETURN
1 Year 34.80%
Since inception 36.58%
(Inception date September 30, 2002)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PUTNAM EQUITY FUND
PUTNAM INVESTMENT MANAGEMENT, LLC
U.S. CORE EQUITY TEAM
OBJECTIVE:
JNL/Putnam Equity Fund seeks as its investment objective long-term growth of
capital by investing primarily in the common stocks of domestic,
large-capitalization companies believed to have the opportunity for capital
growth.
MONEY MANAGER COMMENTARY:
During the year, the portfolio performed relatively in line with its benchmark.
Good results in the financial and utilities sectors were offset by unfavorable
results in technology and consumer cyclicals. Over the period, the U.S. equity
market rebounded from three declining years and registered its strongest
performance since 1997.
The financial sector had the largest positive impact on performance. Stock
selection in the sector was particularly helpful, especially an overweight to
Capital One, a consumer finance company that benefited from increased consumer
spending. Holdings in the banking industry also added to relative performance,
as credit and balance sheets improved.
Careful stock selection in the utilities sector aided relative outperformance.
Our overweights to Edison International and PG&E were especially helpful.
Despite the portfolio's overweight to technology - the strongest performer in
the benchmark - stock selection within the sector offset gains. Semiconductors
registered the strongest advances, and the portfolio's underweight or lack of
holdings in firms such as Intel and Texas Instruments hindered performance.
Small-cap and lower quality names were the star performers during the year, and
our emphasis on names such as Microsoft also dragged on returns.
Stock selection in consumer cyclicals also had a negative impact on relative
performance, especially an overweight to TJX (retail) and an underweight to
eBay. Overweight exposure to the sector was helpful, however, as cyclicals
outperformed the benchmark as investors anticipated economic recovery.
Financials remain the largest overweight in the fund, followed by technology. We
continue to favor consumer finance companies MBNA and Capital One. Within
technology, we favor software companies Microsoft and BMC Software, as we
anticipate increased corporate technology spending for 2004. We are maintaining
the largest underweight in consumer staples, as this defensive sector should lag
the broad market as the economy continues to recover. We find few appealing
investment opportunities in the basic materials sector.
JNL/PUTNAM EQUITY FUND
[GRAPH OMITTED]
Date JNL/Putnam Equity Fund S&P 500 Index
05/15/1995 10,000.00 10,000.00
05/31/1995 10,030.00 10,130.00
06/30/1995 10,540.00 10,356.00
07/31/1995 11,490.00 10,694.00
08/31/1995 11,640.00 10,726.00
09/30/1995 12,080.00 11,179.00
10/31/1995 11,880.00 11,139.00
11/30/1995 12,560.00 11,627.00
12/31/1995 12,733.84 11,851.00
01/31/1996 13,284.61 12,254.00
02/29/1996 13,692.18 12,368.00
03/31/1996 13,769.29 12,487.00
04/30/1996 14,826.77 12,671.00
05/31/1996 15,344.49 12,996.00
06/30/1996 15,355.51 13,046.00
07/31/1996 14,463.26 12,469.00
08/31/1996 15,091.14 12,732.00
09/30/1996 15,520.74 13,448.00
10/31/1996 15,719.02 13,819.00
11/30/1996 16,578.22 14,862.00
12/31/1996 16,147.97 14,568.00
01/31/1997 17,307.08 15,477.04
02/28/1997 16,909.35 15,597.76
03/31/1997 15,886.61 14,958.26
04/30/1997 16,284.34 15,849.77
05/31/1997 16,784.35 16,813.43
06/30/1997 17,613.91 17,566.68
07/31/1997 19,125.29 18,963.23
08/31/1997 17,977.55 17,901.29
09/30/1997 19,057.11 18,882.28
10/31/1997 18,625.28 18,251.61
11/30/1997 19,466.21 19,096.66
12/31/1997 19,681.74 19,424.43
01/31/1998 19,878.68 19,639.25
02/28/1998 21,500.48 21,055.75
03/31/1998 22,890.60 22,133.99
04/30/1998 22,994.86 22,417.75
05/31/1998 22,485.15 21,996.30
06/30/1998 24,141.70 22,862.95
07/31/1998 23,875.26 22,620.12
08/31/1998 19,878.68 19,352.80
09/30/1998 21,245.62 20,592.62
10/31/1998 22,380.89 22,266.16
11/30/1998 23875.26 23,615.11
12/31/1998 26555.72 24,975.06
01/31/1999 27786.01 26,019.44
02/28/1999 26811.06 25,211.07
03/31/1999 27960.11 26,219.74
04/30/1999 28018.14 27235.12086
05/31/1999 26857.49 26591.99072
06/30/1999 29051.12 28067.79
07/31/1999 28215.45 27191.38
08/31/1999 27704.76 27056.91
09/30/1999 27588.7 26315.12
10/31/1999 29515.38 27980.4
11/30/1999 30710.85 28549.21
12/31/1999 34364.67 30230.62
01/31/2000 32311.24 28711.77
02/29/2000 32782.32 28168.23
03/31/2000 35463.86 30923.95
04/30/2000 33217.17 29993.6
05/31/2000 31840.16 29378.2
06/30/2000 33531.22 30102.43
07/31/2000 33011.83 29631.78
08/31/2000 35584.65 31472.32
09/30/2000 33084.3 29810.74
10/31/2000 31707.3 29684.73
11/30/2000 27805.79 27344.42
12/31/2000 28231.33 27478.21
01/31/2001 27763.07 28453.11
02/28/2001 24645.42 25858.67
03/31/2001 22525.91 24220.5
04/30/2001 24571.48 26102.68
05/31/2001 24583.81 26277.59
06/30/2001 23918.38 25638.02
07/31/2001 23018.82 25385.59
08/31/2001 21207.38 23796.45
09/30/2001 19235.75 21874.84
10/31/2001 19654.72 22291.95
11/30/2001 21219.71 24001.92
12/31/2001 21170.42 24212.56
01/31/2002 20504.99 23873.58
02/28/2002 19531.5 23413.21
03/31/2002 20381.76 24293.75
04/30/2002 19346.65 22820.87
05/31/2002 19198.78 22652.75
06/30/2002 17843.28 21039.24
07/31/2002 16438.5 19399.04
08/31/2002 16611.01 19526.32
09/30/2002 14935.12 17404.18
10/31/2002 16278.3 18936.08
11/30/2002 16968.37 20050.62
12/31/2002 16068.81 18861.96
01/31/2003 15563.58 18,367.83
02/28/2003 15230.87 18,092.24
03/31/2003 15366.42 18,267.91
04/30/2003 16635.66 19,772.72
05/31/2003 17547.54 20,814.48
06/30/2003 17757.03 21,079.91
07/31/2003 18003.48 21,451.63
08/31/2003 18373.16 21,869.92
09/30/2003 18311.55 21,637.81
10/31/2003 19371.3 22,861.67
11/30/2003 19469.88 23,062.80
12/31/2003 20443.64 24,272.52
AVERAGE ANNUAL TOTAL RETURN
1 Year 27.23%
5 Year -5.09%
Since inception 8.63%
(Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by
Phoenix Investment Counsel, Inc.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/Putnam International Equity Fund
PUTNAM INVESTMENT MANAGEMENT, LLC
CORE INTERNATIONAL EQUITY TEAM
OBJECTIVE:
JNL/Putnam International Equity Fund seeks as its investment objective long-term
growth of capital through investments primarily in common stocks of established,
non-U.S. companies.
MONEY MANAGER COMMENTARY:
The portfolio trailed its benchmark for the year as rebounding equity markets
favored small, lower-quality companies. During the first quarter, the equity
markets responded negatively to the almost universally bad economic news,
including the prospect of war in Iraq and the outbreak of the SARS virus. To aid
recovery, governments responded with massive liquidity infusions. In March,
after the SARS crisis diminished and the Iraq situation became clearer, equity
markets rallied for the remainder of the year.
The portfolio's defensive stance, focusing on high quality, cash-generative
companies, hurt performance. The rally was strongest in companies with weaker
balance sheets and less sound business models - companies that fared worst
during the weak economy of late 2002/early 2003. Small companies also performed
well, so our large cap focus also hurt relative performance.
Going forward, the portfolio is positioned for a market rotation back to a focus
on earnings and business fundamentals. Although the U.S. presidential election
may hinder a rise in interest rates that would hasten such a transition, we
believe valuations no longer support the low-margin, highly leveraged, and
generally unprofitable companies that fared well in 2003.
The portfolio is currently underweight to Japan, the United Kingdom, Australia,
and the Netherlands. Although Asian countries should benefit most from China's
robust economic growth, valuations in Japan are not as attractive as they were
six months ago. Nor do we find compelling valuations in Europe. Overall, the
portfolio's current underweights to Europe and Asia are offset by a sizable
emerging markets allocation.
JNL/PUTNAM INTERNATIONAL EQUITY FUND
[GRAPH OMITTED]
JNL/Putnam
Date International Equity Fund MSCI E.A.FE. Index
5/15/1995 10,000.00 10,000
5/31/1995 9,990.00 9,999
6/30/1995 9,950.00 9,810
7/31/1995 10,530.00 10,407
8/31/1995 10,250.00 9,997
9/30/1995 10,430.00 10,178
10/31/1995 10,240.00 9,981
11/30/1995 10,360.00 10,153
12/31/1995 10,720.00 10,548
1/31/1996 10,970.00 10,578
2/29/1996 11,050.00 10,600
3/31/1996 11,250.00 10,811
4/30/1996 11,570.00 11,112
5/31/1996 11,500.00 10,893
6/30/1996 11,630.00 10,940
7/31/1996 11,280.00 10,606
8/31/1996 11,440.00 10,614
9/30/1996 11,710.00 10,882
10/31/1996 11,640.00 10,756
11/30/1996 12,220.00 11,169
12/31/1996 12,210.72 11,010
1/31/1997 12,069.20 10,627
2/28/1997 12,220.83 10,804
3/31/1997 12,190.50 10,845
4/30/1997 12,311.80 10,906
5/31/1997 13,069.92 11,618
6/30/1997 13,625.87 12,261
7/31/1997 14,009.98 12,462
8/31/1997 12,706.02 11,534
9/30/1997 13,565.22 12,183
10/31/1997 12,513.96 11,249
11/30/1997 12,473.53 11,137
12/31/1997 12,534.44 11,236
1/31/1998 12,959.51 11,736
2/28/1998 13,737.08 12,474
3/31/1998 14,213.99 12,843
4/30/1998 14,328.04 12,929
5/31/1998 14,234.73 12,851
6/30/1998 14,224.36 12,933
7/31/1998 14,431.71 13,049
8/31/1998 12,596.65 11,417
9/30/1998 12,306.35 11,051
10/31/1998 13,436.42 12,188
11/30/1998 13,892.60 12,796
12/31/1998 14,343.24 13,285
1/31/1999 14185.27 13,231
2/28/1999 13911.46 12,900
3/31/1999 14501.2 13,422
4/30/1999 15048.81 13,950
5/31/1999 14353.77 13,216
6/30/1999 14869.79 13,716
7/31/1999 15122.53 14,107
8/31/1999 15312.09 14,143
9/30/1999 15375.27 14,269
10/31/1999 15849.17 14,787
11/30/1999 16881.21 15,286
12/31/1999 18948.66 16,649
1/31/2000 17842.66 15,579
2/29/2000 18779.37 15,948
3/31/2000 18993.8 16,631
4/30/2000 17944.23 15,762
5/31/2000 17030.09 15,395
6/30/2000 18102.23 16,001
7/31/2000 17504.09 15,324
8/31/2000 17842.66 15,462
9/30/2000 16702.81 14,707
10/31/2000 16115.95 14,351
11/30/2000 15483.95 13,806
12/31/2000 16298.55 14,290
1/31/2001 15965.39 14,282
2/28/2001 15045.84 13,212
3/31/2001 13979.71 12,331
4/30/2001 14872.6 13,188
5/31/2001 14499.45 12,722
6/30/2001 14059.67 12,202
7/31/2001 13713.17 11,980
8/31/2001 13380.01 11,676
9/30/2001 12073.99 10,494
10/31/2001 12287.22 10,763
11/30/2001 12753.65 11,159
12/31/2001 12992.22 11,226
1/31/2002 12360.09 10,629
2/28/2002 12481.14 10,704
3/31/2002 13140.16 11,283
4/30/2002 13005.67 11,357
5/31/2002 13032.57 11,501
6/30/2002 12440.79 11,043.52
7/31/2002 11001.69 9,953.30
8/31/2002 10867.2 9,930.71
9/30/2002 9629.84 8,864.21
10/31/2002 10248.52 9,340.62
11/30/2002 10705.8 9,764.54
12/31/2002 10318.32 9,436.21
1/31/2003 9815.32 9,042.27
2/28/2003 9584.21 8,834.75
3/31/2003 9421.07 8,661.16
4/30/2003 10331.91 9,510.06
5/31/2003 10862.1 10,086.30
6/30/2003 10957.26 10,330.05
7/31/2003 11120.4 10,580.10
8/31/2003 11365.1 10,835.60
9/30/2003 11582.62 11,169.61
10/31/2003 12140 11,865.80
11/30/2003 12398.29 12,129.60
12/31/2003 13261.8 13,077.23
AVERAGE ANNUAL TOTAL RETURN
1 Year 28.53%
5 Year -1.55%
Since inception 3.32%
(Inception date May 15, 1995). Prior to May 1, 2000, the Fund was managed by
Rowe-Price Fleming International, Inc.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PUTNAM MIDCAP GROWTH FUND
PUTNAM INVESTMENT MANAGEMENT, LLC
MIDCAP EQUITY GROWTH TEAM
OBJECTIVE:
JNL/Putnam Midcap Growth Fund seeks as its investment objective capital
appreciation. The Fund invests mainly in common stocks of U.S. companies with a
focus on growth stocks whose earnings the sub-adviser believes are likely to
grow faster than the economy as a whole.
MONEY MANAGER COMMENTARY:
The portfolio trailed its benchmark for the year, as relative strength in the
capital goods, transportation, and consumer staples sectors could not offset
unfavorable stock selection in technology, consumer cyclicals, and health care.
Strong stock selection and favorable underweight positions in office equipment &
supplies and aerospace & defense made the capital goods sector the portfolio's
largest relative contributor.
Avoiding stocks in the shipping industry boosted relative returns in the
transportation sector. In consumer staples, favorable stock selection in
consumer goods and an underweight to restaurants had a positive relative impact
on portfolio performance.
Unrewarded stock selection in the technology sector had the largest negative
relative impact on the portfolio. Specifically, selection in electronics and
software, and an underweight to communications equipment hurt relative
performance.
Stock selection also hindered performance in the retail-cyclicals and commercial
& consumer services industries within the consumer cyclicals sector. Within the
health-care sector, negative relative contributions came from the
pharmaceuticals, health-care services, and medical technology industries.
We anticipate that dividend payout will be an important determinant of relative
investment performance across the capitalization tiers. Low-quality stocks
outperformed the rest of the market by a much narrower margin in the final
months in 2003 than in earlier quarters. We expect a rotation toward
higher-quality assets driven by an emphasis on yield, solid balance sheets, and
margin growth.
Capital goods is the portfolio's largest overweight along with overweights to
financial and health care. The portfolio's largest underweight is the consumer
staples sector. The portfolio has no representation in transportation and
conglomerates, as attractive growth opportunities in these sectors are scarce.
JNL/PUTNAM MIDCAP GROWTH FUND
[GRAPH OMITTED]
Date JNL/Putnam Midcap Growth Fund S&P Midcap 400 Index
5/1/2000 10,000.00 10,000.00
5/31/2000 9,410.00 9,742.07
6/30/2000 10,150.00 9,885.13
7/31/2000 9,810.00 10,041.32
8/31/2000 10,840.00 11,162.45
9/30/2000 10,790.00 11,086.02
10/31/2000 10,320.00 10,710.12
11/30/2000 8,960.00 9,901.67
12/31/2000 9,900.00 10,659.20
1/31/2001 9,950.00 10,897.04
2/28/2001 7,620.00 10,275.16
3/31/2001 8,810.00 9,511.26
4/30/2001 8,710.00 10,560.49
5/31/2001 8,540.00 10,806.43
6/30/2001 7,760.00 10,762.77
7/31/2001 7,130.00 10,602.44
8/31/2001 5,790.00 10,255.65
9/30/2001 6,310.00 8,979.97
10/31/2001 6,980.00 9,377.48
11/30/2001 7,260.00 10,075.23
12/31/2001 7,230.00 10,595.09
1/31/2002 7,010.00 10,536.82
2/28/2002 6,610.00 10,549.76
3/31/2002 7,060.00 11,303.93
4/30/2002 6,780.00 11,251.07
5/31/2002 6,570.00 11,061.32
6/30/2002 5,850.00 10,251.69
7/31/2002 5,340.00 9,258.47
8/31/2002 5,270.00 9,305.16
9/30/2002 4,830.00 8,555.53
10/31/2002 5,210.00 8,926.17
11/30/2002 5,500.00 9,442.46
12/31/2002 5,110.00 9,059.14
1/31/2003 5,080.00 8,794.43
2/28/2003 4,980.00 8,584.96
3/31/2003 5,050.00 8,657.37
4/30/2003 5,370.00 9,285.75
5/31/2003 5,820.00 10,055.43
6/30/2003 5,890.00 10,183.44
7/31/2003 6,080.00 10,544.95
8/31/2003 6,400.00 11,023.09
9/30/2003 6,240.00 10,854.35
10/31/2003 6,730.00 11,675.18
11/30/2003 6,860.00 12,082.00
12/31/2003 6,820.00 12,285.86
AVERAGE ANNUAL TOTAL RETURN
1 Year 33.46%
Since inception -9.90%
(Inception date May 1, 2000)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/PUTNAM VALUE EQUITY FUND
PUTNAM INVESTMENT MANAGEMENT, LLC
LARGE CAP VALUE TEAM
OBJECTIVE:
JNL/Putnam Value Equity Fund seeks as its investment objective capital growth,
with income as a secondary objective, by investing primarily in common stocks
which the sub-adviser believes to be undervalued relative to underlying assets
value or earnings potential at the time of purchase.
MONEY MANAGER COMMENTARY:
The portfolio underperformed its benchmark during the quarter. Positive stock
selection results in utilities and consumer staples were undercut by individual
holdings in health care and technology.
PG&E - California's largest utility - led all contributors in the utilities
sector, as a resolution of its bankruptcy proceedings was reached. Edison
International also rose in anticipation of a similar settlement.
An overweight to Altria added to results in consumer staples. A massive court
judgment caused volatility during the year but favorable news in September
allowed investors to focus on the tobacco company's fundamentals. Our overweight
to Fortune Brands (consumer goods) also contributed to performance.
Negative stock selection in health care was led by an overweight to Merck
(pharmaceuticals), which was hampered by concerns over generic competition and a
lack of new drugs in the pipeline. An overweight to Cardinal Health also a
detracted from relative performance as the company experienced slowing profit
growth.
Within technology not owning Cisco (network equipment) detracted from
performance, as shares rose in anticipation of higher GDP growth and increased
telecommunications spending. Not owning Texas Instruments also hurt relative
results as the semiconductor maker posted strong gains.
The fourth-quarter equity market rally may prove more durable than those of
earlier months. Credit markets are healthy, and economic reports are improving.
Geopolitical concerns and uncertainty about profits and spending may temper
these influences.
The portfolio remains most overweight to the financial sector. We find
compelling valuations in diversified financials and banking and attractive
valuations in energy, capital goods, and conglomerates.
We maintain a large underweight to the consumer cyclicals area, primarily via
underweights to the commercial & consumer services, broadcasting, and automotive
industries. We are cautious on technology, as valuations remain high compared to
historical levels.
JNL/PUTNAM VALUE EQUITY FUND
[GRAPH OMITTED]
Date JNL/Putnam Value Equity Fund S&P 500 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,210.00 10,130.00
6/30/1995 10,340.00 10,356.00
7/31/1995 10,720.00 10,694.00
8/31/1995 10,850.00 10,726.00
9/30/1995 11,380.00 11,179.00
10/31/1995 11,350.00 11,139.00
11/30/1995 11,980.00 11,627.00
12/31/1995 12,261.70 11,851.00
1/31/1996 12,734.09 12,254.00
2/29/1996 12,888.13 12,368.00
3/31/1996 13,114.06 12,487.00
4/30/1996 13,309.18 12,671.00
5/31/1996 13,668.61 12,996.00
6/30/1996 13,617.26 13,046.00
7/31/1996 13,052.45 12,469.00
8/31/1996 13,452.95 12,732.00
9/30/1996 13,904.81 13,448.00
10/31/1996 14,253.97 13,819.00
11/30/1996 15,342.53 14,862.00
12/31/1996 15,244.39 14,568.00
1/31/1997 15,738.51 15,477.04
2/28/1997 16,295.72 15,597.76
3/31/1997 15,580.81 14,958.26
4/30/1997 16,095.97 15,849.77
5/31/1997 16,758.31 16,813.43
6/30/1997 17,357.57 17,566.68
7/31/1997 18,493.02 18,963.23
8/31/1997 17,715.03 17,901.29
9/30/1997 18,619.18 18,882.28
10/31/1997 17,778.11 18,251.61
11/30/1997 18,377.37 19,096.66
12/31/1997 18,570.63 19,424.43
1/31/1998 18,647.91 19,639.25
2/28/1998 19,718.87 21,055.75
3/31/1998 20,602.13 22,133.99
4/30/1998 20,646.30 22,417.75
5/31/1998 20,116.34 21,996.30
6/30/1998 20,127.38 22,862.95
7/31/1998 19,796.15 22,620.12
8/31/1998 16,991.79 19,352.80
9/30/1998 17,908.18 20,592.62
10/31/1998 19,354.52 22,266.16
11/30/1998 20,403.40 23,615.11
12/31/1998 20,888.30 24,975.06
1/31/1999 21254.76 26,019.44
2/28/1999 20888.3 25,211.07
3/31/1999 21655.58 26,219.74
4/30/1999 22972.55 27235.12086
5/31/1999 22743.51 26591.99072
6/30/1999 23144.33 28067.79
7/31/1999 22239.63 27191.38
8/31/1999 21506.71 27056.91
9/30/1999 20430.23 26315.12
10/31/1999 21460.9 27980.4
11/30/1999 21048.63 28549.21
12/31/1999 20671.2 30230.62
1/31/2000 19919.74 28711.77
2/29/2000 18367.55 28168.23
3/31/2000 20153.8 30923.95
4/30/2000 20190.76 29993.6
5/31/2000 20511.05 29378.2
6/30/2000 20338.59 30102.43
7/31/2000 20042.93 29631.78
8/31/2000 21422.65 31472.32
9/30/2000 21237.87 29810.74
10/31/2000 21903.09 29684.73
11/30/2000 21237.87 27344.42
12/31/2000 22109.91 27478.21
1/31/2001 22383.49 28453.11
2/28/2001 21749.29 25858.67
3/31/2001 20804.21 24220.5
4/30/2001 21960.69 26102.68
5/31/2001 22420.79 26277.59
6/30/2001 21873.64 25638.02
7/31/2001 21649.81 25385.59
8/31/2001 20742.03 23796.45
9/30/2001 19162.75 21874.84
10/31/2001 19249.8 22291.95
11/30/2001 20443.58 24001.92
12/31/2001 20712.4 24212.56
1/31/2002 20360.92 23873.58
2/28/2002 20109.86 23413.21
3/31/2002 20976.01 24293.75
4/30/2002 19846.25 22820.87
5/31/2002 19959.22 22652.75
6/30/2002 18365 21039.24
7/31/2002 16896.3 19399.04
8/31/2002 17059.49 19526.32
9/30/2002 15176.54 17404.18
10/31/2002 16406.73 18936.08
11/30/2002 17486.29 20050.62
12/31/2002 16597.82 18861.96
1/31/2003 16140.3 18,367.83
2/28/2003 15733.62 18,092.24
3/31/2003 15657.36 18,267.91
4/30/2003 16915.55 19,772.72
5/31/2003 18008.51 20,814.48
6/30/2003 18377.07 21,079.91
7/31/2003 18478.74 21,451.63
8/31/2003 18720.21 21,869.92
9/30/2003 18491.45 21,637.81
10/31/2003 19381.07 22,861.67
11/30/2003 19559 23,062.80
12/31/2003 20673.16 24,272.52
AVERAGE ANNUAL TOTAL RETURN
1 Year 24.55%
5 Year -0.21%
Since inception 8.77%
(Inception date Mary 15, 1995). Prior to May 1, 1997, the Fund was managed by
PPM America, Inc.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/S&P
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, PETER K. TSUI, JOSH HARARI
Money Manager Commentary:
JNL/S&P Aggressive Growth Fund
JNL/S&P Aggressive Growth Fund I
JNL/S&P Aggressive Growth Fund II
JNL/S&P Conservative Growth Fund
JNL/S&P Conservative Growth Fund I
JNL/S&P Conservative Growth Fund II
JNL/S&P Core Index 100 Fund
JNL/S&P Core Index 50 Fund
JNL/S&P Core Index 75 Fund
JNL/S&P Equity Aggressive Growth Fund I
JNL/S&P Equity Aggressive Growth Fund II
JNL/S&P Equity Growth Fund I
JNL/S&P Equity Growth Fund II
JNL/S&P Moderate Growth Fund
JNL/S&P Moderate Growth Fund I
JNL/S&P Moderate Growth Fund II
JNL/S&P Very Aggressive Growth Fund I
JNL/S&P Very Aggressive Growth Fund II
As we enter 2004, economic data point to solid growth following a steep
acceleration in business activity in the second half of 2003. Although the 8.2%
third quarter advance in GDP is unlikely to be repeated, we expect GDP growth in
2004 of about 4.7%.
Despite the strong growth, the risk of a quick rise in short-term interest rates
that could jeopardize economic expansion is small. Inflation is still in check
and employment growth is only at a level that matches expansion in the labor
force. Until the Fed sees either acceleration in inflation or sustained
employment gains, interest rates should remain near recent generational lows.
While a hike in interest rates is possible in the early part of 2004, the Fed is
likely to stay on hold until after the November Presidential elections. Two wild
cards are the large Federal budget deficit and the weakening of the U.S. dollar,
which could prompt interest rate hikes to limit future inflationary pressures or
to stabilize the currency.
While rising equity prices resulted in positive returns in all market sectors in
2003, small and mid-cap value stocks did better than large caps. Mid-cap value
and small-cap value were up over 40% for the year while large-cap growth rose
about 26%. Despite the 2003 advance, we think the markets will continue to rise
in 2004 driven by growth in corporate earnings and heightened interest in
dividend paying stocks.
While the Funds remain positioned to participate in further stock market
advances; our outlook for the fixed income markets is cautious. Standard &
Poor's expects the U.S. economy to continue its expansion through the
Presidential election year and into 2005. Long-term bond yields should remain
stable in the first half of 2004, and begin to rise in the second half in
anticipation of Fed tightening after the elections.
JNL/S&P AGGRESSIVE GROWTH FUND
[GRAPH OMITTED]
Date JNL/S&P Aggressive Growth Fund S&P 500 Index Lehman Brothers Aggregate Bond Index
1/6/2000 10,000.00 10,000.00 10,000
1/31/2000 10,360.00 9,939.60 9,967
2/29/2000 10,880.00 9,751.43 10,088
3/31/2000 11,580.00 10,705.43 10,221
4/30/2000 10,990.00 10,383.35 10,191
5/31/2000 10,510.00 10,170.31 10,186
6/30/2000 10,850.00 10,421.03 10,398
7/31/2000 10,690.00 10,258.09 10,493
8/31/2000 11,420.00 10,895.26 10,645
9/30/2000 10,740.00 10,320.05 10,712
10/31/2000 10,490.00 10,276.43 10,782
11/30/2000 9,320.00 9,466.24 10,959
12/31/2000 9,470.00 9,512.56 11,163
1/31/2001 9,920.00 9,850.06 11,163
2/28/2001 8,730.00 8,951.90 11,163
3/31/2001 8,020.00 8,384.79 11,501
4/30/2001 8,900.00 9,036.37 11,501
5/31/2001 8,920.00 9,096.92 11,501
6/30/2001 8,690.00 8,875.51 11,566
7/31/2001 8,460.00 8,788.12 11,566
8/31/2001 7,920.00 8,237.99 11,566
9/30/2001 7,070.00 7,572.75 12,099
10/31/2001 7,290.00 7,717.15 12,099
11/30/2001 7,840.00 8,309.12 12,099
12/31/2001 7,967.68 8,382.04 12,105
1/31/2002 7,743.39 8259.23 12,201.80
2/28/2002 7,508.42 8099.96 12320.16
3/31/2002 7,828.84 8404.59 12115.65
4/30/2002 7,412.29 7895.03 12350.69
5/31/2002 7,294.81 7836.87 12455.67
6/30/2002 6,771.46 7278.67 12564.03
7/31/2002 6,237.44 6711.23 12716.06
8/31/2002 6,301.52 6755.26 12930.96
9/30/2002 5,778.17 6021.09 13140.44
10/31/2002 6,162.67 6551.06 13080
11/30/2002 6,472.41 6936.65 13076.07
12/31/2002 6,095.89 6525.42 13346.75
1/31/2003 5956.12 6,358.68 13,358.76
2/28/2003 5870.11 6,263.27 13,543.11
3/31/2003 5966.87 6,324.09 13,532.28
4/30/2003 6429.17 6,845.03 13,644.59
5/31/2003 6773.21 7,205.67 13,898.38
6/30/2003 6848.46 7,297.56 13,870.59
7/31/2003 7009.73 7,426.24 13,404.53
8/31/2003 7171 7,571.05 13,493.00
9/30/2003 7084.99 7,490.70 13,850.57
10/31/2003 7493.53 7,914.38 13,721.76
11/30/2003 7579.54 7,984.01 13,754.69
12/31/2003 7869.04 8,402.79 13,894.99
AVERAGE ANNUAL TOTAL RETURN
1 Year 29.09%
Since inception -5.83%
(Inception date January 6, 2000)
JNL/S&P AGGRESSIVE GROWTH FUND I
[GRAPH OMITTED]
Date JNL/S&P Aggressive Growth Fund I S&P 500 Index Lehman Brothers Aggregate Bond Index
4/8/1998 10,000.00 10,000.00 10,000.00
4/30/1998 10,020.00 10,096.95 10,050.99
5/31/1998 9,830.00 9,923.39 10,147.49
6/30/1998 10,230.00 10,326.45 10,231.80
7/31/1998 10,080.00 10,216.50 10,253.34
8/31/1998 8,520.00 8,739.41 10,415.06
9/30/1998 8,960.00 9,299.29 10,664.62
10/31/1998 9,420.00 10,055.71 10,665.13
11/30/1998 9,960.00 10,665.17 10,668.77
12/31/1998 10,880.00 11,279.76 10,700.87
1/31/1999 11,470.00 11,751.44 10,777.31
2/28/1999 11,020.00 11,386.35 10,589.14
3/31/1999 11,630.00 11,841.90 10,647.89
4/30/1999 11,990.00 12,300.49 10,681.64
5/31/1999 11,750.00 12,010.03 10,588.04
6/30/1999 12,470.00 12,676.56 10,554.22
7/31/1999 12,150.00 12,280.74 10,509.38
8/31/1999 12,010.00 12,220.01 10,504.05
9/30/1999 11,990.00 11,884.99 10,625.93
10/31/1999 12,650.00 12,637.09 10,665.13
11/30/1999 13,390.00 12,893.99 10,664.07
12/31/1999 14,729.10 13,653.38 10,612.65
1/31/2000 14,318.01 12,967.41 10,577.62
2/29/2000 15,220.41 12,721.92 10,705.61
3/31/2000 15,822.01 13,966.52 10,846.93
4/30/2000 14,949.69 13,546.34 10,815.47
5/31/2000 14,348.09 13,268.39 10,810.06
6/30/2000 14,889.53 13,595.49 11,034.91
7/31/2000 14,668.95 13,382.92 11,135.33
8/31/2000 15,681.63 14,214.19 11,296.79
9/30/2000 14,879.50 13,463.75 11,367.96
10/31/2000 14,458.39 13,406.84 11,442.99
11/30/2000 13,074.71 12,349.86 11,630.66
12/31/2000 13,348.41 12,410.28 11,846.99
1/31/2001 13,784.36 12,850.59 11,846.99
2/28/2001 12,663.34 11,678.83 11,846.99
3/31/2001 11,812.20 10,938.97 12,205.95
4/30/2001 12,777.52 11,789.04 12,205.95
5/31/2001 12,870.94 11,868.03 12,205.95
6/30/2001 12,559.55 11,579.18 12,274.30
7/31/2001 12,331.19 11,465.17 12,274.30
8/31/2001 11,718.78 10,747.45 12,274.30
9/30/2001 10,649.66 9,879.57 12,840.15
10/31/2001 10,971.44 10,067.96 12,840.15
11/30/2001 11,729.16 10,840.25 12,840.15
12/31/2001 11,936.09 10,935.38 12,846.57
1/31/2002 11753.34 10782.29 12,949
2/28/2002 11604.85 10574.36 13,075
3/31/2002 12107.43 10972.05 12,858
4/30/2002 11684.81 10306.84 13,107
5/31/2002 11547.74 10230.91 13,219
6/30/2002 10771.04 9502.18 13,334
7/31/2002 9868.69 8761.4 13,495
8/31/2002 9994.34 8818.88 13,723
9/30/2002 9194.79 7860.44 13,945
10/31/2002 9685.94 8552.31 13,881
11/30/2002 10199.94 9055.68 13,877
12/31/2002 9756.84 8518.83 14,164
1/31/2003 9560.32 8,295.66 14,177.18
2/28/2003 9398.48 8,171.19 14,372.82
3/31/2003 9479.4 8,250.54 14,361.32
4/30/2003 10138.33 8,930.17 14,480.52
5/31/2003 10681.66 9,400.67 14,749.86
6/30/2003 10831.94 9,520.55 14,720.36
7/31/2003 11016.91 9,688.43 14,225.76
8/31/2003 11271.23 9,877.35 14,319.65
9/30/2003 11167.19 9,772.52 14,699.12
10/31/2003 11722.08 10,325.26 14,562.42
11/30/2003 11872.37 10,416.10 14,597.37
12/31/2003 12371.85 10,962.46 14,746.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 26.80%
5 Year 2.60%
Since inception 3.78%
(Inception date April 8, 1998)
JNL/S&P AGRESSIVE GROWTH FUND II
[GRAPH OMITTED]
Date JNL/S&P Aggressive Growth Fund II S&P 500 Index Lehman Brothers Aggregate Bond Index
4/13/1998 10,000.00 10,000 10,000.00
4/30/1998 10,010.00 10,023 10,050.99
5/31/1998 9,790.00 9,851 10,147.49
6/30/1998 9,850.00 10,251 10,231.80
7/31/1998 9,550.00 10,142 10,253.34
8/31/1998 8,120.00 8,675 10,415.06
9/30/1998 8,540.00 9,231 10,664.62
10/31/1998 9,010.00 9,982 10,665.13
11/30/1998 9,450.00 10,587 10,668.77
12/31/1998 10,050.00 11,197 10,700.87
1/31/1999 10,460.00 11,665 10,777.31
2/28/1999 10,070.00 11,303 10,589.14
3/31/1999 10,480.00 11,755 10,647.89
4/30/1999 10,930.00 12,211 10,681.64
5/31/1999 10,720.00 11,922 10,588.04
6/30/1999 11,290.00 12,584 10,554.22
7/31/1999 10,970.00 12,191 10,509.38
8/31/1999 10,830.00 12,131 10,504.05
9/30/1999 10,760.00 11,798 10,625.93
10/31/1999 11,400.00 12,545 10,665.13
11/30/1999 11,900.00 12,800 10,664.07
12/31/1999 12,930.59 13,553 10,612.65
1/31/2000 12,510.25 12,873 10,577.62
2/29/2000 12,970.63 12,629 10,705.61
3/31/2000 13,711.23 13,864 10,846.93
4/30/2000 13,030.68 13,447 10,815.47
5/31/2000 12,640.36 13,171 10,810.06
6/30/2000 12,990.64 13,496 11,034.91
7/31/2000 12,840.52 13,285 11,135.33
8/31/2000 13,601.14 14,110 11,296.79
9/30/2000 12,920.59 13,365 11,367.96
10/31/2000 12,700.41 13,309 11,442.99
11/30/2000 11,689.78 12,260 11,630.66
12/31/2000 11,762.26 12,319 11,846.99
1/31/2001 12,145.36 12,757 11,846.99
2/28/2001 10,923.58 11,593 11,846.99
3/31/2001 10,209.14 10,859 12,205.95
4/30/2001 11,099.60 11,703 12,205.95
5/31/2001 11,141.01 11,781 12,205.95
6/30/2001 10,830.39 11,494 12,274.30
7/31/2001 10,592.24 11,381 12,274.30
8/31/2001 10,022.77 10,669 12,274.30
9/30/2001 9,173.73 9,807 12,840.15
10/31/2001 9,453.29 9,994 12,840.15
11/30/2001 10,115.96 10,761 12,840.15
12/31/2001 10,262.43 10,855 12,846.57
1/31/2002 9999.87 10703.4 12949.34
2/28/2002 9725.9 10497 13074.95
3/31/2002 10125.44 10891.78 12857.91
4/30/2002 9668.83 10231.43 13107.35
5/31/2002 9554.67 10156.06 13218.76
6/30/2002 8915.41 9432.66 13333.76
7/31/2002 8241.9 8697.3 13495.1
8/31/2002 8356.06 8754.36 13723.17
9/30/2002 7716.8 7802.93 13945.49
10/31/2002 8162 8489.74 13881.34
11/30/2002 8504.46 8989.43 13877.17
12/31/2002 8069.12 8456.51 14164.43
1/31/2003 7895.21 8,234.97 14,177.18
2/28/2003 7790.87 8,111.41 14,372.82
3/31/2003 7906.81 8,190.18 14,361.32
4/30/2003 8463.3 8,864.83 14,480.52
5/31/2003 8880.67 9,331.89 14,749.86
6/30/2003 8985.01 9,450.89 14,720.36
7/31/2003 9193.69 9,617.55 14,225.76
8/31/2003 9367.6 9,805.08 14,319.65
9/30/2003 9263.25 9,701.02 14,699.12
10/31/2003 9727 10,249.72 14,562.42
11/30/2003 9819.75 10,339.90 14,597.37
12/31/2003 10176.1 10,882.26 14,746.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 26.11%
5 Year 0.25%
Since inception 0.31%
(Inception date April 13, 1998)
JNL/S&P CONSERVATIVE GROWTH FUND
[GRAPH OMITTED]
Date JNL/S&P Conservative Growth Fund S&P 500 Index Lehman Brothers Aggregate Bond Index
1/26/2000 10,000.00 10,000.00 10,000
1/31/2000 9,930.00 9,933.03 9,967
2/29/2000 10,150.00 9,744.99 10,088
3/31/2000 10,570.00 10,698.35 10,221
4/30/2000 10,220.00 10,376.49 10,191
5/31/2000 9,990.00 10,163.59 10,186
6/30/2000 10,220.00 10,414.14 10,398
7/31/2000 10,170.00 10,251.31 10,493
8/31/2000 10,540.00 10,888.06 10,645
9/30/2000 10,140.00 10,313.23 10,712
10/31/2000 10,020.00 10,269.63 10,782
11/30/2000 9,470.00 9,459.99 10,959
12/31/2000 9,540.00 9,506.27 11,163
1/31/2001 9,900.00 9,843.55 11,163
2/28/2001 9,170.00 8,945.98 11,163
3/31/2001 8,790.00 8,379.25 11,501
4/30/2001 9,280.00 9,030.40 11,501
5/31/2001 9,290.00 9,090.91 11,501
6/30/2001 9,110.00 8,869.65 11,566
7/31/2001 9,070.00 8,782.32 11,566
8/31/2001 8,750.00 8,232.54 11,566
9/30/2001 8,310.00 7,567.75 12,099
10/31/2001 8,500.00 7,712.05 12,099
11/30/2001 8,850.00 8,303.63 12,099
12/31/2001 8,910.43 8376.5 12,105
1/31/2002 8,776.52 8259.23 12,201.80
2/28/2002 8,632.31 8099.96 12320.16
3/31/2002 8,807.42 8404.59 12115.65
4/30/2002 8,539.60 7895.03 12350.69
5/31/2002 8,488.09 7836.87 12455.67
6/30/2002 8,106.95 7278.67 12564.03
7/31/2002 7,777.32 6711.23 12716.06
8/31/2002 7,880.33 6755.26 12930.96
9/30/2002 7,519.79 6021.09 13140.44
10/31/2002 7,828.82 6551.06 13080
11/30/2002 8,086.35 6936.65 13076.07
12/31/2002 7,826.92 6525.42 13346.75
1/31/2003 7732.75 6,354.47 13,358.76
2/28/2003 7690.89 6,259.13 13,543.11
3/31/2003 7785.07 6,319.91 13,532.28
4/30/2003 8193.16 6,840.50 13,644.59
5/31/2003 8475.68 7,200.91 13,898.38
6/30/2003 8538.46 7,292.74 13,870.59
7/31/2003 8569.85 7,421.34 13,404.53
8/31/2003 8695.42 7,566.04 13,493.00
9/30/2003 8684.95 7,485.75 13,850.57
10/31/2003 8988.4 7,909.15 13,721.76
11/30/2003 9051.19 7,978.73 13,754.69
12/31/2003 9345.25 8,397.24 13,894.99
AVERAGE ANNUAL TOTAL RETURN
1 Year 19.40%
Since inception -1.71%
(Inception date January 26, 2000)
JNL/S&P CONSERVATIVE GROWTH FUND I
[GRAPH OMITTED]
Date JNL/S&P Conservative Growth Fund I S&P 500 Index Lehman Brothers Aggregate Bond Index
4/9/1998 10,000.00 10,000.00 10,000.00
4/30/1998 9,970.00 10,014.80 10,050.99
5/31/1998 9,850.00 9,842.66 10,147.49
6/30/1998 10,050.00 10,242.43 10,231.80
7/31/1998 9,950.00 10,133.37 10,253.34
8/31/1998 8,920.00 8,668.30 10,415.06
9/30/1998 9,250.00 9,223.63 10,664.62
10/31/1998 9,570.00 9,973.89 10,665.13
11/30/1998 9,980.00 10,578.39 10,668.77
12/31/1998 10,470.00 11,187.98 10,700.87
1/31/1999 10,770.00 11,655.83 10,777.31
2/28/1999 10,520.00 11,293.71 10,589.14
3/31/1999 10,910.00 11,745.56 10,647.89
4/30/1999 11,200.00 12,200.42 10,681.64
5/31/1999 10,970.00 11,912.32 10,588.04
6/30/1999 11,360.00 12,573.42 10,554.22
7/31/1999 11,160.00 12,180.82 10,509.38
8/31/1999 11,070.00 12,120.59 10,504.05
9/30/1999 11,020.00 11,788.29 10,625.93
10/31/1999 11,450.00 12,534.27 10,665.13
11/30/1999 11,850.00 12,789.08 10,664.07
12/31/1999 12,513.52 13,542.30 10,612.65
1/31/2000 12,252.19 12,861.90 10,577.62
2/29/2000 12,634.13 12,618.42 10,705.61
3/31/2000 13,156.79 13,852.89 10,846.93
4/30/2000 12,784.90 13,436.12 10,815.47
5/31/2000 12,483.37 13,160.44 10,810.06
6/30/2000 12,805.00 13,484.87 11,034.91
7/31/2000 12,704.49 13,274.04 11,135.33
8/31/2000 13,297.50 14,098.54 11,296.79
9/30/2000 12,885.41 13,354.21 11,367.96
10/31/2000 12,714.54 13,297.76 11,442.99
11/30/2000 12,081.33 12,249.38 11,630.66
12/31/2000 12,319.88 12,309.31 11,846.99
1/31/2001 12,590.65 12,746.04 11,846.99
2/28/2001 11,976.22 11,583.81 11,846.99
3/31/2001 11,507.58 10,849.97 12,205.95
4/30/2001 12,049.11 11,693.12 12,205.95
5/31/2001 12,122.01 11,771.47 12,205.95
6/30/2001 11,924.14 11,484.97 12,274.30
7/31/2001 11,882.49 11,371.89 12,274.30
8/31/2001 11,559.65 10,660.01 12,274.30
9/30/2001 10,966.05 9,799.19 12,840.15
10/31/2001 11,215.99 9,986.04 12,840.15
11/30/2001 11,642.96 10,752.05 12,840.15
12/31/2001 11730.39 10,846.41 12,846.57
1/31/2002 11630.22 10694.56 12949.34
2/28/2002 11596.83 10488.33 13074.95
3/31/2002 11830.55 10882.78 12857.91
4/30/2002 11585.71 10222.98 13107.35
5/31/2002 11574.58 10147.67 13218.76
6/30/2002 11084.88 9424.87 13333.76
7/31/2002 10584.06 8690.12 13495.1
8/31/2002 10739.87 8747.13 13723.17
9/30/2002 10216.79 7796.49 13945.49
10/31/2002 10584.06 8482.72 13881.34
11/30/2002 10995.85 8982 13877.17
12/31/2002 10735.95 8449.52 14164.43
1/31/2003 10611.38 8,228.17 14,177.18
2/28/2003 10543.43 8,104.71 14,372.82
3/31/2003 10577.4 8,183.41 14,361.32
4/30/2003 11109.67 8,857.51 14,480.52
5/31/2003 11517.36 9,324.19 14,749.86
6/30/2003 11607.96 9,443.09 14,720.36
7/31/2003 11562.66 9,609.61 14,225.76
8/31/2003 11743.86 9,796.98 14,319.65
9/30/2003 11766.51 9,693.01 14,699.12
10/31/2003 12106.25 10,241.26 14,562.42
11/30/2003 12208.18 10,331.36 14,597.37
12/31/2003 12641.23 10,873.27 14,746.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 17.75%
5 Year -3.84%
Since inception 4.17%
(Inception date April 9, 1998)
JNL/S&P CONSERVATIVE GROWTH FUND II
[GRAPH OMITTED]
Date JNL/S&P Conservative Growth Fund II S&P 500 Index Lehman Brothers Aggregate Bond Index
4/13/1998 10,000.00 10,000.00 10,000.00
4/30/1998 9,970.00 10,023.08 10,050.99
5/31/1998 9,890.00 9,850.79 10,147.49
6/30/1998 9,900.00 10,250.90 10,231.80
7/31/1998 9,720.00 10,141.75 10,253.34
8/31/1998 8,720.00 8,675.47 10,415.06
9/30/1998 8,990.00 9,231.25 10,664.62
10/31/1998 9,060.00 9,982.14 10,665.13
11/30/1998 9,300.00 10,587.14 10,668.77
12/31/1998 9,540.00 11,197.23 10,700.87
1/31/1999 9,780.00 11,665.47 10,777.31
2/28/1999 9,530.00 11,303.04 10,589.14
3/31/1999 9,800.00 11,755.27 10,647.89
4/30/1999 10,030.00 12,210.50 10,681.64
5/31/1999 9,850.00 11,922.16 10,588.04
6/30/1999 10,200.00 12,583.82 10,554.22
7/31/1999 9,990.00 12,190.89 10,509.38
8/31/1999 9,880.00 12,130.61 10,504.05
9/30/1999 9,830.00 11,798.03 10,625.93
10/31/1999 10,220.00 12,544.64 10,665.13
11/30/1999 10,530.00 12,799.66 10,664.07
12/31/1999 11,079.42 13,553.49 10,612.65
1/31/2000 10,817.78 12,872.54 10,577.62
2/29/2000 11,059.29 12,628.85 10,705.61
3/31/2000 11,522.19 13,864.34 10,846.93
4/30/2000 11,119.67 13,447.23 10,815.47
5/31/2000 10,868.09 13,171.32 10,810.06
6/30/2000 11,119.67 13,496.02 11,034.91
7/31/2000 11,049.23 13,285.01 11,135.33
8/31/2000 11,522.19 14,110.20 11,296.79
9/30/2000 11,089.48 13,365.25 11,367.96
10/31/2000 10,948.60 13,308.75 11,442.99
11/30/2000 10,399.17 12,259.50 11,630.66
12/31/2000 10,440.65 12,319.49 11,846.99
1/31/2001 10,762.06 12,756.57 11,846.99
2/28/2001 10,036.29 11,593.39 11,846.99
3/31/2001 9,611.20 10,858.94 12,205.95
4/30/2001 10,139.97 11,702.79 12,205.95
5/31/2001 10,171.08 11,781.21 12,205.95
6/30/2001 9,942.98 11,494.46 12,274.30
7/31/2001 9,880.77 11,381.29 12,274.30
8/31/2001 9,538.62 10,668.82 12,274.30
9/30/2001 9,009.85 9,807.29 12,840.15
10/31/2001 9,227.58 9,994.30 12,840.15
11/30/2001 9,642.31 10,760.94 12,840.15
12/31/2001 9709.51 10,855.38 12,846.57
1/31/2002 9551.38 10703.4 12949.34
2/28/2002 9403.79 10497 13074.95
3/31/2002 9635.72 10891.78 12857.91
4/30/2002 9361.62 10231.43 13107.35
5/31/2002 9319.45 10156.06 13218.76
6/30/2002 8834.5 9432.66 13333.76
7/31/2002 8391.72 8697.3 13495.1
8/31/2002 8549.85 8754.36 13723.17
9/30/2002 8107.07 7802.93 13945.49
10/31/2002 8444.43 8489.74 13881.34
11/30/2002 8739.62 8989.43 13877.17
12/31/2002 8472.44 8456.51 14164.43
1/31/2003 8364.65 8,234.97 14,177.18
2/28/2003 8321.53 8,111.41 14,372.82
3/31/2003 8429.33 8,190.18 14,361.32
4/30/2003 8914.39 8,864.83 14,480.52
5/31/2003 9259.32 9,331.89 14,749.86
6/30/2003 9345.56 9,450.89 14,720.36
7/31/2003 9377.9 9,617.55 14,225.76
8/31/2003 9507.25 9,805.08 14,319.65
9/30/2003 9507.25 9,701.02 14,699.12
10/31/2003 9841.4 10,249.72 14,562.42
11/30/2003 9895.3 10,339.90 14,597.37
12/31/2003 10227.62 10,882.26 14,746.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 20.72%
5 Year 1.40%
Since inception 0.39%
(Inception date April 13, 1998)
JNL/S&P CORE INDEX 100 FUND
[GRAPH OMITTED]
Date JNL/S&P Core Index 100 Fund S&P 500 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 9,920.00 9,865.00
2/28/2002 9,800.00 9,674.76
3/31/2002 10,070.00 10,038.62
4/30/2002 9760 9430
5/31/2002 9700 9360.53
6/30/2002 9250 8693.8
7/31/2002 8740 8016.04
8/31/2002 8790 8068.63
9/30/2002 8200 7191.72
10/31/2002 8620 7824.73
11/30/2002 8990 8285.28
12/31/2002 8660 7794.1
1/31/2003 8480 7,589.92
2/28/2003 8400 7,476.04
3/31/2003 8,440.00 7,548.64
4/30/2003 8,940.00 8,170.45
5/31/2003 9,360.00 8,600.92
6/30/2003 9,440.00 8,710.60
7/31/2003 9,510.00 8,864.20
8/31/2003 9,680.00 9,037.05
9/30/2003 9,660.00 8,941.14
10/31/2003 10,070.00 9,446.86
11/30/2003 10,190.00 9,529.97
12/31/2003 10,571.74 10,029.85
AVERAGE ANNUAL TOTAL RETURN
1 Year 22.08%
Since inception 2.87%
(Inception date January 15, 2002)
JNL/S&P CORE INDEX 50 FUND
[GRAPH OMITTED]
Date JNL/S&P Core Index 50 Fund S&P 500 Index Lehman Brothers Aggregate Bond Index
1/15/2002 10,000.00 10,000.00 10000
1/31/2002 9,900.00 9,865.00 10080
2/28/2002 9,710.00 9,674.76 10177.78
3/31/2002 10,180.00 10,038.62 10008.82
4/30/2002 9730 9430 10203
5/31/2002 9600 9360.53 10289.72
6/30/2002 8930 8693.8 10379.24
7/31/2002 8100 8016.04 10504.83
8/31/2002 8160 8068.63 10682.36
9/30/2002 7360 7191.72 10855.42
10/31/2002 7870 7824.73 10805.48
11/30/2002 8310 8285.28 10802.24
12/31/2002 7840 7794.1 11025.85
1/31/2003 7630 7,589.92 11035.77
2/28/2003 7480 7,476.04 11188.06
3/31/2003 7,550.00 7,548.64 11179.11
4/30/2003 8,160.00 8,170.45 11271.9
5/31/2003 8,660.00 8,600.92 11481.56
6/30/2003 8,780.00 8,710.60 11458.59
7/31/2003 9,020.00 8,864.20 11073.59
8/31/2003 9,250.00 9,037.05 11146.67
9/30/2003 9,140.00 8,941.14 11442.06
10/31/2003 9,690.00 9,446.86 11335.65
11/30/2003 9,830.00 9,529.97 11362.85
12/31/2003 10,264.84 10,029.85 11478.75
AVERAGE ANNUAL TOTAL RETURN
1 Year 30.93%
Since inception 1.34%
(Inception date January 15, 2002)
JNL/S&P CORE INDEX 75 FUND
[GRAPH OMITTED]
Date JNL/S&P Core Index 75 Fund S&P 500 Index Lehman Brothers Aggregate Bond Index
1/15/2002 10,000.00 10,000.00 10000
1/31/2002 9,900.00 9,865.00 10080
2/28/2002 9,750.00 9,674.76 10177.78
3/31/2002 10,110.00 10,038.62 10008.82
4/30/2002 9720 9430 10203
5/31/2002 9630 9360.53 10289.72
6/30/2002 9070 8693.8 10379.24
7/31/2002 8400 8016.04 10504.83
8/31/2002 8460 8068.63 10682.36
9/30/2002 7770 7191.72 10855.42
10/31/2002 8240 7824.73 10805.48
11/30/2002 8650 8285.28 10802.24
12/31/2002 8250 7794.1 11025.85
1/31/2003 8050 7,589.92 11035.77
2/28/2003 7940 7,476.04 11188.06
3/31/2003 8,000.00 7,548.64 11179.11
4/30/2003 8,560.00 8,170.45 11271.9
5/31/2003 9,030.00 8,600.92 11481.56
6/30/2003 9,130.00 8,710.60 11458.59
7/31/2003 9,280.00 8,864.20 11073.59
8/31/2003 9,480.00 9,037.05 11146.67
9/30/2003 9,420.00 8,941.14 11442.06
10/31/2003 9,890.00 9,446.86 11335.65
11/30/2003 10,020.00 9,529.97 11362.85
12/31/2003 10,434.96 10,029.85 11478.75
AVERAGE ANNUAL TOTAL RETURN
1 Year 26.48%
Since inception 2.19%
(Inception date January 15, 2002)
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
[GRAPH OMITTED]
Date JNL/S&P Equity Aggressive Growth Fund I S&P 500 Index
4/15/1998 10,000.00 10,000.00
4/30/1998 9,900.00 9,936.77
5/31/1998 9,650.00 9,765.97
6/30/1998 10,070.00 10,162.63
7/31/1998 9,850.00 10,054.42
8/31/1998 8,230.00 8,600.76
9/30/1998 8,700.00 9,151.76
10/31/1998 9,170.00 9,896.18
11/30/1998 9,780.00 10,495.97
12/31/1998 10,750.00 11,100.81
1/31/1999 11,460.00 11,565.01
2/28/1999 10,970.00 11,205.71
3/31/1999 11,580.00 11,654.04
4/30/1999 11,930.00 12,105.36
5/31/1999 11,640.00 11,819.50
6/30/1999 12,500.00 12,475.46
7/31/1999 12,170.00 12,085.91
8/31/1999 12,070.00 12,026.15
9/30/1999 12,140.00 11,696.44
10/31/1999 12,880.00 12,436.61
11/30/1999 13,850.00 12,689.44
12/31/1999 15,614.85 13,436.78
1/31/2000 15,203.40 12,761.69
2/29/2000 16,487.92 12,520.10
3/31/2000 17,100.07 13,744.95
4/30/2000 15,925.94 13,331.44
5/31/2000 15,002.70 13,057.90
6/30/2000 15,805.52 13,379.81
7/31/2000 15,464.32 13,170.61
8/31/2000 16,698.66 13,988.69
9/30/2000 15,614.85 13,250.16
10/31/2000 14,922.42 13,194.15
11/30/2000 13,188.15 12,153.94
12/31/2000 13,230.19 12,213.41
1/31/2001 13,776.63 12,646.73
2/28/2001 12,326.46 11,493.56
3/31/2001 11,265.10 10,765.43
4/30/2001 12,463.07 11,602.01
5/31/2001 12,526.12 11,679.76
6/30/2001 12,168.83 11,395.48
7/31/2001 11,832.56 11,283.28
8/31/2001 11,044.42 10,576.95
9/30/2001 9,951.54 9,722.84
10/31/2001 10,319.34 9,908.24
11/30/2001 11,149.51 10,668.28
12/31/2001 11418.63 10,761.90
1/31/2002 11144.49 10611.23
2/28/2002 10918.02 10406.61
3/31/2002 11454.39 10797.99
4/30/2002 10906.1 10143.33
5/31/2002 10739.24 10068.6
6/30/2002 9952.57 9351.44
7/31/2002 8999.03 8622.41
8/31/2002 9094.38 8678.98
9/30/2002 8236.19 7735.74
10/31/2002 8772.56 8416.63
11/30/2002 9273.17 8912.02
12/31/2002 8767.84 8383.69
1/31/2003 8529.26 8,164.06
2/28/2003 8338.4 8,041.57
3/31/2003 8409.97 8,119.65
4/30/2003 9089.93 8,788.50
5/31/2003 9650.59 9,251.54
6/30/2003 9781.81 9,369.51
7/31/2003 10080.04 9,534.73
8/31/2003 10330.55 9,720.65
9/30/2003 10151.61 9,617.49
10/31/2003 10748.07 10,161.46
11/30/2003 10903.14 10,250.86
12/31/2003 11392.62 10,788.55
AVERAGE ANNUAL TOTAL RETURN
1 Year 29.94%
5 Year 1.17%
Since inception 2.31%
(Inception date April 15, 1998)
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II
[GRAPH OMITTED]
Date JNL/S&P Equity Aggressive Growth Fund II S&P 500 Index
4/13/1998 10,000.00 10,000.00
4/30/1998 10,010.00 10,023.08
5/31/1998 9,750.00 9,850.79
6/30/1998 9,920.00 10,250.90
7/31/1998 9,690.00 10,141.75
8/31/1998 8,070.00 8,675.47
9/30/1998 8,470.00 9,231.25
10/31/1998 8,990.00 9,982.14
11/30/1998 9,520.00 10,587.14
12/31/1998 10,360.00 11,197.23
1/31/1999 10,990.00 11,665.47
2/28/1999 10,540.00 11,303.04
3/31/1999 11,060.00 11,755.27
4/30/1999 11,510.00 12,210.50
5/31/1999 11,220.00 11,922.16
6/30/1999 11,970.00 12,583.82
7/31/1999 11,640.00 12,190.89
8/31/1999 11,520.00 12,130.61
9/30/1999 11,540.00 11,798.03
10/31/1999 12,280.00 12,544.64
11/30/1999 12,980.00 12,799.66
12/31/1999 14,463.72 13,553.49
1/31/2000 14,002.97 12,872.54
2/29/2000 14,784.25 12,628.85
3/31/2000 15,635.65 13,864.34
4/30/2000 14,764.22 13,447.23
5/31/2000 14,153.22 13,171.32
6/30/2000 14,583.92 13,496.02
7/31/2000 14,393.61 13,285.01
8/31/2000 15,375.22 14,110.20
9/30/2000 14,503.79 13,365.25
10/31/2000 14,153.22 13,308.75
11/30/2000 12,763.79 12,259.50
12/31/2000 12,846.27 12,319.49
1/31/2001 13,341.15 12,756.57
2/28/2001 11,877.13 11,593.39
3/31/2001 10,980.16 10,858.94
4/30/2001 12,093.64 11,702.79
5/31/2001 12,165.81 11,781.21
6/30/2001 11,835.89 11,494.46
7/31/2001 11,516.28 11,381.29
8/31/2001 10,825.51 10,668.82
9/30/2001 9,815.13 9,807.29
10/31/2001 10,145.05 9,994.30
11/30/2001 10,938.92 10,760.94
12/31/2001 11,194.97 10,855.38
1/31/2002 10854.35 10703.4
2/28/2002 10513.73 10497
3/31/2002 11001.95 10891.78
4/30/2002 10411.54 10231.43
5/31/2002 10263.94 10156.06
6/30/2002 9514.58 9432.66
7/31/2002 8685.75 8697.3
8/31/2002 8776.58 8754.36
9/30/2002 7993.16 7802.93
10/31/2002 8538.15 8489.74
11/30/2002 8912.83 8989.43
12/31/2002 8374.47 8456.51
1/31/2003 8146.84 8,234.97
2/28/2003 7991.09 8,111.41
3/31/2003 8098.92 8,190.18
4/30/2003 8733.89 8,864.83
5/31/2003 9237.08 9,331.89
6/30/2003 9344.91 9,450.89
7/31/2003 9644.42 9,617.55
8/31/2003 9836.11 9,805.08
9/30/2003 9668.38 9,701.02
10/31/2003 10219.49 10,249.72
11/30/2003 10315.34 10,339.90
12/31/2003 10729.1 10,882.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 28.12%
5 Year 0.70%
Since inception 1.24%
(Inception date April 13, 1998)
JNL/S&P EQUITY GROWTH FUND I
[GRAPH OMITTED]
Date JNL/S&P Equity Growth Fund I S&P 500 Index
4/13/1998 10,000.00 10,000.00
4/30/1998 9,990.00 10,023.08
5/31/1998 9,770.00 9,850.79
6/30/1998 9,970.00 10,250.90
7/31/1998 9,780.00 10,141.75
8/31/1998 8,170.00 8,675.47
9/30/1998 8,630.00 9,231.25
10/31/1998 9,120.00 9,982.14
11/30/1998 9,700.00 10,587.14
12/31/1998 10,640.00 11,197.23
1/31/1999 11,290.00 11,665.47
2/28/1999 10,780.00 11,303.04
3/31/1999 11,370.00 11,755.27
4/30/1999 11,750.00 12,210.50
5/31/1999 11,520.00 11,922.16
6/30/1999 12,360.00 12,583.82
7/31/1999 12,040.00 12,190.89
8/31/1999 11,920.00 12,130.61
9/30/1999 11,940.00 11,798.03
10/31/1999 12,670.00 12,544.64
11/30/1999 13,570.00 12,799.66
12/31/1999 15,235.04 13,553.49
1/31/2000 14,774.28 12,872.54
2/29/2000 15,906.14 12,628.85
3/31/2000 16,567.22 13,864.34
4/30/2000 15,455.40 13,447.23
5/31/2000 14,674.11 13,171.32
6/30/2000 15,375.27 13,496.02
7/31/2000 15,064.76 13,285.01
8/31/2000 16,246.70 14,110.20
9/30/2000 15,235.04 13,365.25
10/31/2000 14,634.05 13,308.75
11/30/2000 13,020.17 12,259.50
12/31/2000 13,092.97 12,319.49
1/31/2001 13,529.75 12,756.57
2/28/2001 12,073.82 11,593.39
3/31/2001 11,054.67 10,858.94
4/30/2001 12,219.41 11,702.79
5/31/2001 12,271.41 11,781.21
6/30/2001 11,917.83 11,494.46
7/31/2001 11,595.44 11,381.29
8/31/2001 10,836.28 10,668.82
9/30/2001 9,817.13 9,807.29
10/31/2001 10,160.31 9,994.30
11/30/2001 10,971.47 10,760.94
12/31/2001 11219.62 10855.38
1/31/2002 10954.41 10703.4
2/28/2002 10723.79 10497
3/31/2002 11265.75 10891.78
4/30/2002 10723.79 10231.43
5/31/2002 10539.3 10156.06
6/30/2002 9766.72 9432.66
7/31/2002 8821.18 8697.3
8/31/2002 8913.43 8754.36
9/30/2002 8060.14 7802.93
10/31/2002 8602.1 8489.74
11/30/2002 9109.46 8989.43
12/31/2002 8601.2 8456.51
1/31/2003 8381.84 8,234.97
2/28/2003 8174.03 8,111.41
3/31/2003 8243.3 8,190.18
4/30/2003 8924.47 8,864.83
5/31/2003 9467.1 9,331.89
6/30/2003 9594.09 9,450.89
7/31/2003 9859.63 9,617.55
8/31/2003 10102.09 9,805.08
9/30/2003 9928.91 9,701.02
10/31/2003 10506.17 10,249.72
11/30/2003 10644.71 10,339.90
12/31/2003 11142.46 10,882.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 29.55%
5 Year 0.93%
Since inception 1.91%
(Inception date April 13, 1998)
JNL/S&P EQUITY GROWTH FUND II
[GRAPH OMITTED]
Date JNL/S&P Equity Growth Fund II S&P 500 Index
4/13/1998 10,000.00 10,000.00
4/30/1998 10,000.00 10,023.08
5/31/1998 9,730.00 9,850.79
6/30/1998 9,800.00 10,250.90
7/31/1998 9,460.00 10,141.75
8/31/1998 7,910.00 8,675.47
9/30/1998 8,290.00 9,231.25
10/31/1998 8,780.00 9,982.14
11/30/1998 9,280.00 10,587.14
12/31/1998 10,040.00 11,197.23
1/31/1999 10,600.00 11,665.47
2/28/1999 10,170.00 11,303.04
3/31/1999 10,670.00 11,755.27
4/30/1999 11,140.00 12,210.50
5/31/1999 10,910.00 11,922.16
6/30/1999 11,600.00 12,583.82
7/31/1999 11,280.00 12,190.89
8/31/1999 11,130.00 12,130.61
9/30/1999 11,100.00 11,798.03
10/31/1999 11,790.00 12,544.64
11/30/1999 12,390.00 12,799.66
12/31/1999 13,683.12 13,553.49
1/31/2000 13,212.67 12,872.54
2/29/2000 13,823.26 12,628.85
3/31/2000 14,644.04 13,864.34
4/30/2000 13,873.31 13,447.23
5/31/2000 13,342.80 13,171.32
6/30/2000 13,763.20 13,496.02
7/31/2000 13,573.02 13,285.01
8/31/2000 14,503.91 14,110.20
9/30/2000 13,713.15 13,365.25
10/31/2000 13,412.86 13,308.75
11/30/2000 12,153.84 12,259.50
12/31/2000 12,267.33 12,319.49
1/31/2001 12,669.71 12,756.57
2/28/2001 11,256.23 11,593.39
3/31/2001 10,399.89 10,858.94
4/30/2001 11,462.58 11,702.79
5/31/2001 11,514.16 11,781.21
6/30/2001 11,194.32 11,494.46
7/31/2001 10,884.80 11,381.29
8/31/2001 10,193.54 10,668.82
9/30/2001 9,213.39 9,807.29
10/31/2001 9,522.91 9,994.30
11/30/2001 10,296.72 10,760.94
12/31/2001 10,503.69 10,855.38
1/31/2002 10165.95 10703.4
2/28/2002 9828.21 10497
3/31/2002 10301.04 10891.78
4/30/2002 9704.37 10231.43
5/31/2002 9580.53 10156.06
6/30/2002 8837.51 9432.66
7/31/2002 8071.96 8697.3
8/31/2002 8162.03 8754.36
9/30/2002 7385.23 7802.93
10/31/2002 7903.09 8489.74
11/30/2002 8263.35 8989.43
12/31/2002 7764.08 8456.51
1/31/2003 7553.29 8,234.97
2/28/2003 7401.05 8,111.41
3/31/2003 7494.74 8,190.18
4/30/2003 8080.27 8,864.83
5/31/2003 8548.69 9,331.89
6/30/2003 8642.37 9,450.89
7/31/2003 8900 9,617.55
8/31/2003 9063.95 9,805.08
9/30/2003 8911.71 9,701.02
10/31/2003 9403.56 10,249.72
11/30/2003 9497.24 10,339.90
12/31/2003 9872.41 10,882.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 27.15%
5 Year -0.34%
Since inception -0.22%
(Inception date April 13, 1998)
JNL/S&P MODERATE GROWTH FUND
[GRAPH OMITTED]
Date JNL/S&P Moderate Growth Fund S&P 500 Index Lehman Brothers Aggregate Bond Index
1/13/2000 10,000.00 10,000 10,000.00
1/31/2000 9,910.00 9,622 9,967.00
2/29/2000 10,240.00 9,439 10,087.60
3/31/2000 10,740.00 10,363 10,220.76
4/30/2000 10,290.00 10,051 10,191.12
5/31/2000 9,940.00 9,845 10,186.02
6/30/2000 10,210.00 10,088 10,397.89
7/31/2000 10,120.00 9,930 10,492.51
8/31/2000 10,620.00 10,547 10,644.65
9/30/2000 10,110.00 9,990 10,711.71
10/31/2000 9,930.00 9,948 10,782.41
11/30/2000 9,120.00 9,163 10,959.24
12/31/2000 9,190.00 9,208 11,163.08
1/31/2001 9,590.00 9,535 11,163.08
2/28/2001 8,720.00 8,665 11,163.08
3/31/2001 8,220.00 8,117 11,501.33
4/30/2001 8,840.00 8,747 11,501.33
5/31/2001 8,850.00 8,806 11,501.33
6/30/2001 8,660.00 8,592 11,565.73
7/31/2001 8,540.00 8,507 11,565.73
8/31/2001 8,160.00 7,974 11,565.73
9/30/2001 7,580.00 7,330 12,098.91
10/31/2001 7,800.00 7,470 12,098.91
11/30/2001 8,250.00 8,043 12,098.91
12/31/2001 8333.23 8,113.85 12,104.96
1/31/2002 8167.19 8000.25 12,201.80
2/28/2002 8001.15 7845.97 12320.16
3/31/2002 8250.21 8141.05 12115.65
4/30/2002 7928.5 7647.48 12350.69
5/31/2002 7855.86 7591.14 12455.67
6/30/2002 7388.87 7050.44 12564.03
7/31/2002 6911.49 6500.79 12716.06
8/31/2002 7004.89 6543.44 12930.96
9/30/2002 6558.66 5832.3 13140.44
10/31/2002 6911.49 6345.65 13080
11/30/2002 7212.45 6719.14 13076.07
12/31/2002 6885.58 6320.81 13346.75
1/31/2003 6769.77 6,155.22 13,358.76
2/28/2003 6706.6 6,062.87 13,543.11
3/31/2003 6790.82 6,121.74 13,532.28
4/30/2003 7243.55 6,626.01 13,644.59
5/31/2003 7590.98 6,975.12 13,898.38
6/30/2003 7664.68 7,064.07 13,870.59
7/31/2003 7769.97 7,188.63 13,404.53
8/31/2003 7917.36 7,328.80 13,493.00
9/30/2003 7864.72 7,251.02 13,850.57
10/31/2003 8243.75 7,661.15 13,721.76
11/30/2003 8338.5 7,728.55 13,754.69
12/31/2003 8638.2 8,133.94 13,894.99
AVERAGE ANNUAL TOTAL RETURN
1 Year 25.45%
Since inception -3.62%
(Inception date January 13, 2000)
JNL/S&P MODERATE GROWTH FUND I
[GRAPH OMITTED]
Date JNL/S&P Moderate Growth Fund I S&P 500 Index Lehman Brothers Aggregate Bond Index
4/8/1998 10,000.00 10,000.00 10,000.00
4/30/1998 10,010.00 10,096.95 10,050.99
5/31/1998 9,860.00 9,923.39 10,147.49
6/30/1998 10,140.00 10,326.45 10,231.80
7/31/1998 10,000.00 10,216.50 10,253.34
8/31/1998 8,720.00 8,739.41 10,415.06
9/30/1998 9,090.00 9,299.29 10,664.62
10/31/1998 9,480.00 10,055.71 10,665.13
11/30/1998 9,970.00 10,665.17 10,668.77
12/31/1998 10,630.00 11,279.76 10,700.87
1/31/1999 11,050.00 11,751.44 10,777.31
2/28/1999 10,740.00 11,386.35 10,589.14
3/31/1999 11,240.00 11,841.90 10,647.89
4/30/1999 11,590.00 12,300.49 10,681.64
5/31/1999 11,330.00 12,010.03 10,588.04
6/30/1999 11,850.00 12,676.56 10,554.22
7/31/1999 11,610.00 12,280.74 10,509.38
8/31/1999 11,490.00 12,220.01 10,504.05
9/30/1999 11,430.00 11,884.99 10,625.93
10/31/1999 11,980.00 12,637.09 10,665.13
11/30/1999 12,510.00 12,893.99 10,664.07
12/31/1999 13,472.67 13,653.38 10,612.65
1/31/2000 13,141.38 12,967.41 10,577.62
2/29/2000 13,663.42 12,721.92 10,705.61
3/31/2000 14,326.01 13,966.52 10,846.93
4/30/2000 13,783.89 13,546.34 10,815.47
5/31/2000 13,362.24 13,268.39 10,810.06
6/30/2000 13,743.73 13,595.49 11,034.91
7/31/2000 13,593.14 13,382.92 11,135.33
8/31/2000 14,386.25 14,214.19 11,296.79
9/30/2000 13,824.05 13,463.75 11,367.96
10/31/2000 13,573.07 13,406.84 11,442.99
11/30/2000 12,609.30 12,349.86 11,630.66
12/31/2000 12,887.20 12,410.28 11,846.99
1/31/2001 13,210.16 12,850.59 11,846.99
2/28/2001 12,355.88 11,678.83 11,846.99
3/31/2001 11,709.96 10,938.97 12,205.95
4/30/2001 12,460.06 11,789.04 12,205.95
5/31/2001 12,532.99 11,868.03 12,205.95
6/30/2001 12,293.37 11,579.18 12,274.30
7/31/2001 12,168.35 11,465.17 12,274.30
8/31/2001 11,709.96 10,747.45 12,274.30
9/30/2001 10,907.76 9,879.57 12,840.15
10/31/2001 11,199.47 10,067.96 12,840.15
11/30/2001 11,782.88 10,840.25 12,840.15
12/31/2001 11,941.78 10,935.38 12,846.57
1/31/2002 11819.01 10,782 12,949
2/28/2002 11752.05 10,574 13,075
3/31/2002 12120.35 10,972 12,858
4/30/2002 11819.01 10,307 13,107
5/31/2002 11752.05 10,231 13,219
6/30/2002 11149.38 9,502.18 13,333.76
7/31/2002 10435.1 8,761.40 13,495.10
8/31/2002 10569.03 8,818.88 13,723.17
9/30/2002 9910.56 7,860.44 13,945.49
10/31/2002 10334.66 8,552.31 13,881.34
11/30/2002 10803.4 9,055.68 13,877.17
12/31/2002 10461.11 8,518.83 14,164.43
1/31/2003 10302.78 8,295.66 14,177.18
2/28/2003 10178.38 8,171.19 14,372.82
3/31/2003 10223.62 8,250.54 14,361.32
4/30/2003 10823.01 8,930.17 14,480.52
5/31/2003 11309.31 9,400.67 14,749.86
6/30/2003 11422.4 9,520.55 14,720.36
7/31/2003 11490.26 9,688.43 14,225.76
8/31/2003 11716.45 9,877.35 14,319.65
9/30/2003 11693.83 9,772.52 14,699.12
10/31/2003 12134.89 10,325.26 14,562.42
11/30/2003 12270.6 10,416.10 14,597.37
12/31/2003 12734.46 10,962.46 14,746.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 21.73%
5 Year 3.67%
Since inception 4.30%
(Inception date April 8, 1998)
JNL/S&P MODERAGE GROWTH FUND II
[GRAPH OMITTED]
Date JNL/S&P Moderate Growth Fund II S&P 500 Index Lehman Brothers Aggregate Bond Index
4/13/1998 10,000.00 10,000 10,000.00
4/30/1998 9,990.00 10,023 10,050.99
5/31/1998 9,830.00 9,851 10,147.49
6/30/1998 9,910.00 10,251 10,231.80
7/31/1998 9,710.00 10,142 10,253.34
8/31/1998 8,540.00 8,675 10,415.06
9/30/1998 8,940.00 9,231 10,664.62
10/31/1998 9,330.00 9,982 10,665.13
11/30/1998 9,720.00 10,587 10,668.77
12/31/1998 10,220.00 11,197 10,700.87
1/31/1999 10,650.00 11,665 10,777.31
2/28/1999 10,320.00 11,303 10,589.14
3/31/1999 10,740.00 11,755 10,647.89
4/30/1999 11,070.00 12,211 10,681.64
5/31/1999 10,870.00 11,922 10,588.04
6/30/1999 11,340.00 12,584 10,554.22
7/31/1999 11,070.00 12,191 10,509.38
8/31/1999 10,940.00 12,131 10,504.05
9/30/1999 10,870.00 11,798 10,625.93
10/31/1999 11,380.00 12,545 10,665.13
11/30/1999 11,790.00 12,800 10,664.07
12/31/1999 12,546.88 13,553 10,612.65
1/31/2000 12,215.38 12,873 10,577.62
2/29/2000 12,577.02 12,629 10,705.61
3/31/2000 13,179.75 13,864 10,846.93
4/30/2000 12,677.47 13,447 10,815.47
5/31/2000 12,325.88 13,171 10,810.06
6/30/2000 12,637.29 13,496 11,034.91
7/31/2000 12,516.74 13,285 11,135.33
8/31/2000 13,169.70 14,110 11,296.79
9/30/2000 12,627.24 13,365 11,367.96
10/31/2000 12,466.52 13,309 11,442.99
11/30/2000 11,659.79 12,260 11,630.66
12/31/2000 11,722.48 12,319 11,846.99
1/31/2001 12,088.15 12,757 11,846.99
2/28/2001 11,116.50 11,593 11,846.99
3/31/2001 10,520.97 10,859 12,205.95
4/30/2001 11,241.88 11,703 12,205.95
5/31/2001 11,294.12 11,781 12,205.95
6/30/2001 11,012.02 11,494 12,274.30
7/31/2001 10,876.20 11,381 12,274.30
8/31/2001 10,416.50 10,669 12,274.30
9/30/2001 9,674.70 9,807 12,840.15
10/31/2001 9,956.79 9,994 12,840.15
11/30/2001 10,489.63 10,761 12,840.15
12/31/2001 10611.48 10,855 12,846.57
1/31/2002 10420.38 10703.4 12949.34
2/28/2002 10218.04 10497 13074.95
3/31/2002 10544.03 10891.78 12857.91
4/30/2002 10218.04 10231.43 13107.35
5/31/2002 10139.35 10156.06 13218.76
6/30/2002 9554.82 9432.66 13333.76
7/31/2002 8981.54 8697.3 13495.1
8/31/2002 9116.43 8754.36 13723.17
9/30/2002 8576.86 7802.93 13945.49
10/31/2002 8970.29 8489.74 13881.34
11/30/2002 9318.76 8989.43 13877.17
12/31/2002 8965.19 8456.51 14164.43
1/31/2003 8816.72 8,234.97 14,177.18
2/28/2003 8736.77 8,111.41 14,372.82
3/31/2003 8839.56 8,190.18 14,361.32
4/30/2003 9399.17 8,864.83 14,480.52
5/31/2003 9821.73 9,331.89 14,749.86
6/30/2003 9924.52 9,450.89 14,720.36
7/31/2003 10038.72 9,617.55 14,225.76
8/31/2003 10210.03 9,805.08 14,319.65
9/30/2003 10164.35 9,701.02 14,699.12
10/31/2003 10586.91 10,249.72 14,562.42
11/30/2003 10666.86 10,339.90 14,597.37
12/31/2003 11037.5 10,882.26 14,746.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 23.12%
5 Year 1.55%
Since inception 1.74%
(Inception date April 13, 1998)
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
[GRAPH OMITTED]
Date JNL/S&P Very Aggressive Growth Fund I S&P 500 Index
4/1/1998 10,000.00 10,000.00
4/30/1998 10,010.00 10,041.60
5/31/1998 9,800.00 9,868.99
6/30/1998 10,340.00 10,269.84
7/31/1998 10,220.00 10,160.49
8/31/1998 8,520.00 8,691.50
9/30/1998 9,000.00 9,248.31
10/31/1998 9,460.00 10,000.59
11/30/1998 10,110.00 10,606.70
12/31/1998 11,190.00 11,217.92
1/31/1999 12,030.00 11,687.02
2/28/1999 11,500.00 11,323.93
3/31/1999 12,200.00 11,776.99
4/30/1999 12,560.00 12,233.06
5/31/1999 12,240.00 11,944.19
6/30/1999 13,170.00 12,607.07
7/31/1999 12,800.00 12,213.42
8/31/1999 12,720.00 12,153.02
9/30/1999 12,850.00 11,819.83
10/31/1999 13,640.00 12,567.82
11/30/1999 14,710.00 12,823.31
12/31/1999 16,657.65 13,578.54
1/31/2000 16,256.51 12,896.32
2/29/2000 17,750.78 12,652.18
3/31/2000 18,232.16 13,889.96
4/30/2000 16,908.37 13,472.08
5/31/2000 15,855.36 13,195.66
6/30/2000 16,808.08 13,520.96
7/31/2000 16,386.88 13,309.56
8/31/2000 17,750.78 14,136.27
9/30/2000 16,537.31 13,389.94
10/31/2000 15,704.93 13,333.34
11/30/2000 13,777.39 12,282.16
12/31/2000 13,798.48 12,342.25
1/31/2001 14,368.15 12,780.14
2/28/2001 12,849.05 11,614.81
3/31/2001 11,794.12 10,879.00
4/30/2001 13,017.84 11,724.41
5/31/2001 13,070.58 11,802.97
6/30/2001 12,669.71 11,515.70
7/31/2001 12,332.13 11,402.32
8/31/2001 11,530.38 10,688.53
9/30/2001 10,369.96 9,825.41
10/31/2001 10,749.74 10,012.76
11/30/2001 11,625.33 10,780.82
12/31/2001 11,904.52 10,875.44
1/31/2002 11616.8 10723.18
2/28/2002 11389.02 10516.39
3/31/2002 11940.49 10911.9
4/30/2002 11377.03 10250.34
5/31/2002 11209.19 10174.82
6/30/2002 10381.99 9450.09
7/31/2002 9374.96 8713.37
8/31/2002 9470.87 8770.54
9/30/2002 8571.73 7817.35
10/31/2002 9135.19 8505.42
11/30/2002 9662.68 9006.04
12/31/2002 9143.2 8472.13
1/31/2003 8891.22 8,250.19
2/28/2003 8687.24 8,126.40
3/31/2003 8771.23 8,205.31
4/30/2003 9479.17 8,881.21
5/31/2003 10079.12 9,349.14
6/30/2003 10223.11 9,468.36
7/31/2003 10547.08 9,635.32
8/31/2003 10811.05 9,823.20
9/30/2003 10631.07 9,718.95
10/31/2003 11267.01 10,268.66
11/30/2003 11435 10,359.01
12/31/2003 11938.96 10,902.37
AVERAGE ANNUAL TOTAL RETURN
1 Year 30.58%
5 Year 1.30%
Since inception 3.13%
(Inception date April 1, 1998)
JNL/S&P VERY AGGRESIVE GROWTH FUND II
[GRAPH OMITTED]
Date JNL/S&P Very Aggressive Growth Fund II S&P 500 Index
4/13/1998 10,000.00 10,000.00
4/30/1998 10,040.00 10,023.08
5/31/1998 9,810.00 9,850.79
6/30/1998 10,150.00 10,250.90
7/31/1998 10,020.00 10,141.75
8/31/1998 8,320.00 8,675.47
9/30/1998 8,740.00 9,231.25
10/31/1998 9,290.00 9,982.14
11/30/1998 9,860.00 10,587.14
12/31/1998 10,800.00 11,197.23
1/31/1999 11,490.00 11,665.47
2/28/1999 11,010.00 11,303.04
3/31/1999 11,550.00 11,755.27
4/30/1999 11,990.00 12,210.50
5/31/1999 11,690.00 11,922.16
6/30/1999 12,500.00 12,583.82
7/31/1999 12,160.00 12,190.89
8/31/1999 12,070.00 12,130.61
9/30/1999 12,150.00 11,798.03
10/31/1999 12,940.00 12,544.64
11/30/1999 13,730.00 12,799.66
12/31/1999 15,381.48 13,553.49
1/31/2000 14,931.15 12,872.54
2/29/2000 15,911.88 12,628.85
3/31/2000 16,732.49 13,864.34
4/30/2000 15,731.74 13,447.23
5/31/2000 15,011.21 13,171.32
6/30/2000 15,491.56 13,496.02
7/31/2000 15,291.41 13,285.01
8/31/2000 16,312.18 14,110.20
9/30/2000 15,331.44 13,365.25
10/31/2000 14,921.14 13,308.75
11/30/2000 13,370.50 12,259.50
12/31/2000 13,402.80 12,319.49
1/31/2001 13,984.12 12,756.57
2/28/2001 12,476.98 11,593.39
3/31/2001 11,540.40 10,858.94
4/30/2001 12,692.29 11,702.79
5/31/2001 12,746.12 11,781.21
6/30/2001 12,380.10 11,494.46
7/31/2001 12,035.61 11,381.29
8/31/2001 11,346.63 10,668.82
9/30/2001 10,291.63 9,807.29
10/31/2001 10,657.65 9,994.30
11/30/2001 11,486.58 10,760.94
12/31/2001 11798.24 10,855.38
1/31/2002 11450.14 10703.4
2/28/2002 11089.6 10497
3/31/2002 11611.76 10891.78
4/30/2002 10990.14 10231.43
5/31/2002 10816.09 10156.06
6/30/2002 10045.29 9432.66
7/31/2002 9162.6 8697.3
8/31/2002 9249.62 8754.36
9/30/2002 8441.52 7802.93
10/31/2002 9000.98 8489.74
11/30/2002 9373.95 8989.43
12/31/2002 8810.37 8456.51
1/31/2003 8573.93 8,234.97
2/28/2003 8412.16 8,111.41
3/31/2003 8536.6 8,190.18
4/30/2003 9196.13 8,864.83
5/31/2003 9731.22 9,331.89
6/30/2003 9843.22 9,450.89
7/31/2003 10179.21 9,617.55
8/31/2003 10390.76 9,805.08
9/30/2003 10204.1 9,701.02
10/31/2003 10801.41 10,249.72
11/30/2003 10900.96 10,339.90
12/31/2003 11313.64 10,882.26
AVERAGE ANNUAL TOTAL RETURN
1 Year 28.41%
5 Year 0.93%
Since inception 2.18%
(Inception date April 13, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/SALOMON BROTHERS BALANCED FUND
SALOMON BROTHERS ASSET MANAGEMENT INC.
GEORGE WILLIAMSON
OBJECTIVE:
seeks to obtain above-average income. As a secondary objective, the Fund seeks
to take advantage of opportunities for growth of capital and income. The Fund
seeks to achieve its objective primarily through investments in a broad variety
of securities, including equity securities, fixed-income securities and
short-term obligations.
MONEY MANAGER COMMENTARY:
2003 began on a positive note with investors' building optimism about a
strengthening economy and continued robust consumer spending. Just a couple of
weeks into the year sentiment turned sour with investor focus shifting toward
geopolitical concerns mostly centered on Iraq. Very similar to the first Gulf
War, once the much anticipated fighting started the market began a steady climb
that lasted the rest of the year. The backdrop of this advance included a very
stimulative monetary stance by the Federal Reserve, a boost in consumer
liquidity with record mortgage refinancings, solid productivity gains and news
of corporate finance and governance scandals receding into the past.
On the stock side of the portfolio, we saw a return of the run up in lower
quality, more speculative names, mostly in the technology area. We attempted to
avoid getting caught in a momentum situation as investors payed increasingly
less attention to fundamentals and valuations and piled into these stocks in an
effort to participate in the continuing price gains. We stuck with our style of
holding what we believe are reasonably priced names with good growth prospects.
Stocks overall did well mostly due to a healthy economic outlook partly
justified by a pickup in manufacturing activity later in the year.
On the bond side, during the year we continued to diversify the number of
corporate issues and remain favorable on the corporate market despite much
higher valuations. We remain focused on selecting securities that offer upside
potential with improving credit metrics and seek to increase our overall
allocation to the sector. Currently the portfolio duration is slightly short
that of the benchmark as a defensive measure against rising interest rates,
however, we may tactically move towards a more neutral position should economic
growth not meet expectations. In 2004 we expect that changes in interest rates,
yield curve shifts, and sector allocation, will be greater determining factors
of overall market returns than individual security selection.
FUND PERFORMANCE
The fund's allocation to the financials sector benefited from low interest rates
and improving borrower credit quality, and its exposure to the basic materials
sector benefited as commodity prices strengthened. Areas that detracted from
performance included the fund's emphasis on consumer staples sector, and limited
exposure to the technology sector, particularly the lower-quality more volatile
names. In general, we focused on higher quality stocks when more speculative
names outperformed. Of the larger holdings, stocks that did well for us relative
to the market include JP Morgan Chase, as investors focused on rebounding
earnings in their traditional banking and securities business, and Alcoa, as the
outlook for the industrial economy improved and demand expectations from China
increased. Larger holdings that underperformed the overall market include IBM
and Pfizer. However, we believe these names are very much worth holding on to.
Names we sold on valuation concerns include Hormel and United Technologies.
Names we added to that we view as reasonably valued include Microsoft, American
International Group (the largest insurer in the U.S.), and Wal-mart Stores.
We will continue to manage the portfolio seeking to generate above average
income with capital appreciation by investing in a mix of stocks and bonds. On
the stock side we remain committed to investing in large capitalization high
quality growth companies selling at reasonable prices. On the bond side we will
continue to buy mostly investment grade corporate and government securities.
Looking down the road, we remain optimistic about the overall market. We believe
this year's upcoming Presidential election and the Federal Reserve's
aggressively stimulative monetary stance bodes well for economic growth,
corporate profits and stock prices.
JNL/SALOMON BROTHERS BALANCED FUND
[GRAPH OMITTED]
Date JNL/Salomon Brothers Balanced Fund Lehman Brothers Aggregate Bond Index S&P 500 Index
3/2/1998 10000 10,000.00 10,000.00
3/31/1998 10270 9,917.91 10,550.84
4/30/1998 10270 9,968.48 10,646.86
5/31/1998 10260 10,064.19 10,446.70
6/30/1998 10230 10,147.81 10,858.30
7/31/1998 10130 10,169.17 10,742.97
8/31/1998 9570 10,329.56 9,191.22
9/30/1998 9900 10,577.07 9,780.05
10/31/1998 10220 10,577.58 10,574.83
11/30/1998 10500 10,581.19 11,215.52
12/31/1998 10590.9 10,613.03 11,861.40
1/31/1999 10652.12 10,688.84 12,357.41
2/28/1999 10427.65 10,502.21 11,973.49
3/31/1999 10570.49 10,560.48 12,452.54
4/30/1999 10835.78 10,593.95 12,934.77
5/31/1999 10754.15 10,501.12 12,629.33
6/30/1999 11009.23 10,467.58 13,330.23
7/31/1999 10794.96 10,423.11 12,914.00
8/31/1999 10682.73 10,417.82 12,850.14
9/30/1999 10468.46 10,538.71 12,497.84
10/31/1999 10682.73 10,577.58 13,288.73
11/30/1999 10743.95 10,576.53 13,558.87
12/31/1999 10600.57 10,525.53 14,357.42
1/31/2000 10537.66 10,490.79 13,636.08
2/29/2000 10275.53 10,617.73 13,377.93
3/31/2000 10810.27 10,757.88 14,686.71
4/30/2000 10841.73 10,726.69 14,244.86
5/31/2000 10862.7 10,721.32 13,952.58
6/30/2000 10946.58 10,944.33 14,296.54
7/31/2000 10936.09 11,043.92 14,073.02
8/31/2000 11166.77 11,204.06 14,947.15
9/30/2000 11114.34 11,274.64 14,158.01
10/31/2000 11313.56 11,349.06 14,098.17
11/30/2000 11198.23 11,535.18 12,986.68
12/31/2000 11469.82 11,749.73 13,050.22
1/31/2001 11664.96 11,749.73 13,513.23
2/28/2001 11480.66 11,749.73 12,281.06
3/31/2001 11198.79 12,105.75 11,503.04
4/30/2001 11393.93 12,105.75 12,396.94
5/31/2001 11513.18 12,105.75 12,480.01
6/30/2001 11307.2 12,173.54 12,176.26
7/31/2001 11437.3 12,173.54 12,056.37
8/31/2001 11253 12,173.54 11,301.64
9/30/2001 10906.09 12,734.74 10,389.01
10/31/2001 11,090.38 12,734.74 10,587.11
11/30/2001 11328.89 12,734.74 11,399.23
12/31/2001 11410.46 12,741.11 11499.27
1/31/2002 11355.07 12843.03969 11338.28
2/28/2002 11377.23 12967.61717 11119.63
3/31/2002 11499.09 12752.35473 11537.83
4/30/2002 11399.39 12999.75041 10838.31
5/31/2002 11432.62 13110.24829 10758.47
6/30/2002 10934.1 13224.30745 9992.16
7/31/2002 10612.84 13384.32157 9213.18
8/31/2002 10690.39 13610.5166 9273.63
9/30/2002 10202.95 13831.00697 8265.76
10/31/2002 10568.53 13767.38434 8993.31
11/30/2002 10923.03 13763.25413 9522.64
12/31/2002 10579.6 14048.15349 8958.11
1/31/2003 10457.75 14,060.80 8,723.43
2/28/2003 10335.89 14,254.84 8,592.54
3/31/2003 10346.96 14,243.43 8,675.98
4/30/2003 10889.79 14,361.65 9,390.65
5/31/2003 11388.31 14,628.78 9,885.42
6/30/2003 11465.85 14,599.52 10,011.48
7/31/2003 11377.23 14,108.98 10,188.02
8/31/2003 11465.85 14,202.10 10,386.68
9/30/2003 11499.09 14,578.45 10,276.44
10/31/2003 11853.59 14,442.87 10,857.69
11/30/2003 11920.06 14,477.54 10,953.21
12/31/2003 12383.15 14,625.21 11,527.74
AVERAGE ANNUAL TOTAL RETURN
1 Year 17.05%
5 Year 3.17%
Since inception 3.73%
(Inception date March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/SALOMON BROTHERS GLOBAL BOND FUND
SALOMON BROTHERS ASSET MANAGEMENT INC.
PETER J. WILBY, DAVID J. SCOTT, ROGER LAVAN
OBJECTIVE:
JNL/Salomon Brothers Global Bond Fund seeks as its investment objective a high
level of current income. As a secondary objective, the Fund will seek capital
appreciation. The Fund seeks to achieve its objectives by investing in a
globally diverse portfolio of fixed income investments and by giving the
subadviser broad discretion to deploy the Fund's assets among certain segments
of the fixed income market that the sub-adviser believes will best contribute to
achievement of the Fund's investment objectives.
MONEY MANAGER COMMENTARY:
When the period began, concerns about a faltering economy and stock market
volatility, coupled with expectations that interest rates would drop, triggered
investor demand for fixed-income securities. Because bond prices typically move
opposite to interest rate movements, many longer-term fixed-income securities
appreciated over the first five months of the period.
The Fed proceeded to reduce its interest rate targets in June to their lowest
levels since the Eisenhower Administration. Shortly after the Fed's rate
reduction, signs suggesting that gross domestic product ("GDP") growth was
stronger than expected generated concerns that inflation could pick up. This led
investors to question whether the Fed's rate-cutting cycle had run its course,
which contributed to a decline in prices of bonds. The decline was exacerbated
due to selling from investors holding mortgage-backed securities in their
portfolios.
Prices of Treasuries bounced back to an extent in September, although rate
concerns resurfaced after the Commerce Department released preliminary
third-quarter data. According to estimates that were revised upward late in the
quarter, real GDP increased 8.2% over the third quarter.
For the fourth quarter, U.S. Treasury bonds generated slightly negative total
returns as concerns about the economy's acceleration over the third quarter
caused bond yields to rise and prices to decline, particularly during October.
Shorter-term U.S. Treasuries and U.S. agency securities held up better. In
contrast, U.S. high-yield and emerging markets bonds rallied. (Their performance
has tended to be more highly correlated to the credit strength of bond issuers
than interest rate movements.)
U.S. high-yield bonds benefited from a favorable reception to corporate earnings
results from investors, continued low default rates versus 2002, and strong
infusion of cash into the market. As of the end of the period, all the
individual markets represented by the J.P. Morgan Emerging Markets Bond Index
Plus had generated positive total returns over the 12-month period. The
sovereign debt market benefited from strong cash inflows, signs of global
economic growth and stable commodity prices, including metals, gold and oil -
important drivers of export revenues for many emerging market economies.
The portfolio's allocation to higher-yielding bonds has provided it with
favorable yields, which, in the managers' view, should continue to benefit the
portfolio over the long term if corporate earnings continue to improve and
interest rates remain within the same range seen over the fourth quarter.
JNL/SALOMON BROTHERS GLOBAL BOND FUND
[GRAPH OMITTED]
JNL/Salomon Brothers Salomon Smith Barney Broad
Date Global Bond Fund Investment-Grade Bond Index
5/15/1995 10,000.00 10,000.00
5/31/1995 9,930.00 10,194.00
6/30/1995 10,040.00 10,265.00
7/31/1995 10,070.00 10,245.00
8/31/1995 10,110.00 10,362.00
9/30/1995 10,240.00 10,459.00
10/31/1995 10,210.00 10,599.00
11/30/1995 10,420.00 10,764.00
12/31/1995 10,714.07 10,913.00
1/31/1996 11,137.56 10,987.00
2/29/1996 11,010.51 10,800.00
3/31/1996 11,074.03 10,722.00
4/30/1996 11,190.49 10,643.00
5/31/1996 11,285.77 10,637.00
6/30/1996 11,370.47 10,774.00
7/31/1996 11,433.99 10,803.00
8/31/1996 11,592.80 10,788.00
9/30/1996 11,910.41 10,976.00
10/31/1996 11,984.52 11,223.00
11/30/1996 12,175.08 11,408.00
12/31/1996 12,256.28 11,307.00
1/31/1997 12,383.11 11,351.10
2/28/1997 12,509.94 11,363.58
3/31/1997 12,325.46 11,248.81
4/30/1997 12,498.41 11,409.67
5/31/1997 12,740.54 11,516.92
6/30/1997 12,925.02 11,653.97
7/31/1997 13,213.27 11,969.79
8/31/1997 13,178.68 11,866.85
9/30/1997 13,432.33 12,041.30
10/31/1997 13,190.21 12,214.69
11/30/1997 13,386.21 12,272.10
12/31/1997 13,562.83 12,397.28
1/31/1998 13,672.60 12,556.62
2/28/1998 13,770.18 12,547.55
3/31/1998 13,867.75 12,597.05
4/30/1998 13,892.14 12,661.93
5/31/1998 13,916.54 12,783.01
6/30/1998 13,904.34 12,888.32
7/31/1998 13,965.32 12,915.54
8/31/1998 13,062.76 13,113.73
9/30/1998 13,526.24 13,422.75
10/31/1998 13,550.63 13,362.02
11/30/1998 13,855.55 13,435.75
12/31/1998 13,896.64 13,477.51
1/31/1999 13883.62 13,577.16
2/28/1999 13766.4 13,339.11
3/31/1999 13974.78 13,415.41
4/30/1999 14157.12 13460.04
5/31/1999 13818.5 13336.87
6/30/1999 13883.62 13290.86
7/31/1999 13857.57 13238.23
8/31/1999 13727.33 13228.56
9/30/1999 13883.62 13386.91
10/31/1999 13974.78 13427.47
11/30/1999 14026.88 13426.62
12/31/1999 14156.56 13365.47
1/31/2000 14032.26 13327.7
2/29/2000 14308.49 13483.24
3/31/2000 14391.35 13658.13
4/30/2000 14267.05 13617.58
5/31/2000 14156.56 13605.56
6/30/2000 14460.41 13889.86
7/31/2000 14598.52 14016.76
8/31/2000 14778.07 14217.03
9/30/2000 14805.69 14313.39
10/31/2000 14722.82 14404.47
11/30/2000 14860.94 14638.01
12/31/2000 15186.77 14914.83
1/31/2001 15465.02 15160.27
2/28/2001 15567.54 15294.78
3/31/2001 15582.18 15374.9
4/30/2001 15538.25 15302.74
5/31/2001 15611.47 15402.96
6/30/2001 15640.76 15453.85
7/31/2001 15875.08 15810.88
8/31/2001 16050.82 15985.47
9/30/2001 15948.31 16182.53
10/31/2001 16299.78 16509.13
11/30/2001 16167.98 16280.84
12/31/2001 16206.43 16185.45
1/31/2002 16362.12 16312.93
2/28/2002 16517.8 16468.9
3/31/2002 16502.23 16196.37
4/30/2002 16782.45 16503.62
5/31/2002 16782.45 16643.88
6/30/2002 16486.66 16766.41
7/31/2002 16268.71 16965.95
8/31/2002 16766.89 17263.09
9/30/2002 16798.02 17537.83
10/31/2002 16860.3 17458.72
11/30/2002 17233.93 17455.89
12/31/2002 17564.25 17818.33
1/31/2003 17729.48 17,831.94
2/28/2003 18059.95 18,085.58
3/31/2003 18258.22 18,068.60
4/30/2003 18853.06 18,228.00
5/31/2003 19299.19 18,564.36
6/30/2003 19332.24 18,531.78
7/31/2003 18753.92 17,904.74
8/31/2003 18968.73 18,027.73
9/30/2003 19464.42 18,500.20
10/31/2003 19497.47 18,329.78
11/30/2003 19613.13 18,383.57
12/31/2003 19941.24 18,567.39
AVERAGE ANNUAL TOTAL RETURN
1 Year 13.53%
5 Year 7.48%
Since inception 8.32%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
SALOMON BROTHERS ASSET MANAGEMENT INC.
PETER J. WILBY
OBJECTIVE:
JNL/Salomon Brothers High Yield Bond Fund seeks to maximize current income. As a
secondary objective, the Fund seeks capital appreciation. The Fund seeks to
achieve its objectives by investing primarily in a diversified portfolio of
high-yield, high-risk fixed-income securities of U.S. issuers rated in medium to
lower rating categories.
MONEY MANAGER COMMENTARY:
Declining default rates, signs of improving corporate earnings, the end of major
hostilities in Iraq and relatively favorable yields available through high-yield
bonds in the low interest rate environment contributed to the strong demand for
high-yield bonds earlier this year. These factors, coupled with expectations
that the Fed would likely cut its short-term interest rate targets, all helped
buoy high-yield securities through mid-June.
In June, the Fed cut its target for the federal funds rate to a four-decade low
of 1% to trigger a more accommodative borrowing environment. Treasury bond
prices (which move opposite to yields) subsequently fell, particularly during
July, amid stronger-than-anticipated economic data. Likewise, the high-yield
market lost ground from the end of June into the middle of August as the yield
on 10-year U.S. Treasuries soared from the low 3% range in mid-June to almost
4.5% by the middle of August. These rising yields, the subsequent outflows of
cash from high-yield bond funds, and the abundant quantity of new issues on the
market (which created supply pressures) caused the high-yield market to move
lower. However, the market reversed course and rallied through the end of the
year, sparking the return of mutual fund inflows, due to stronger-than-expected
economic data and earnings that were in line with expectations.
Over 2003, airlines, cable, communications towers, energy, technology,
telecommunications, and utilities were the top-performing sectors within the
high-yield bond universe. Airlines recovered as some companies avoided
bankruptcy by renegotiating union contracts and experiencing
better-than-expected traffic volumes following the resolution of the major
hostilities in Iraq. The cable sector outperformed many others. The
communications towers sector benefited from better-than-expected earnings
results, asset sales, new financing, and increasing free cash flow. The energy
and utilities sectors benefited as companies added additional financing through
the use of senior debt and sold assets to reduce total debt. Technology moved
higher due to strong earning and improved liquidity. Wireless telecommunications
bonds outperformed due to better-than-expected operating results,
debt-for-equity swaps, and debt refinancing. Wireline telecommunications
benefited as well. The most significant underperforming sectors included
healthcare and textiles.
Within this environment, the U.S. high-yield debt component of the fund
benefited during the year from its overweighting in the cable and communications
towers sectors. The fund was adversely affected by its underweighting in the
airlines, technology, and utilities sectors, and by its overweighting in the
healthcare sector.
As of the end of the period, all the individual markets represented by the J.P.
Morgan Emerging Markets Bond Index Plus had generated positive total returns
over the 12-month period. The sovereign debt market benefited from strong cash
inflows, signs of global economic growth and stable commodity prices, including
metals, gold and oil - important drivers of export revenues for many emerging
market economies.
YIELDS REMAINED COMPETITIVE
High-yield bonds categorically offer very competitive yields relative to their
higher-rated brethren (although they also are subject to additional risks such
as the increased risk of default because of the lower credit quality of the
issues.) The market responded positively to recent economic data indicating that
the U.S. economy has shown signs of improvement, as a stronger corporate
earnings environment is favorable for high-yield bond issuers.
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
[GRAPH OMITTED]
JNL/Salomon Brothers Salomon Smith Barney
Date High Yield Bond Fund High Yield Market Index
3/2/1998 10,000.00 10,000.00
3/31/1998 10,050.00 10,107.96
4/30/1998 10,080.00 10,163.00
5/31/1998 10,110.00 10,190.16
6/30/1998 10,140.00 10,212.74
7/31/1998 10,190.00 10,294.59
8/31/1998 9,760.00 9,604.50
9/30/1998 9,830.00 9,723.05
10/31/1998 9,690.00 9,589.33
11/30/1998 10,160.00 10,070.56
12/31/1998 10,132.37 10,063.26
1/31/1999 10,248.59 10,214.00
2/28/1999 10,195.77 10,128.18
3/31/1999 10,290.86 10,213.81
4/30/1999 10,428.21 10,427.72
5/31/1999 10,311.99 10,263.87
6/30/1999 10,164.07 10,240.84
7/31/1999 10,111.24 10,263.07
8/31/1999 9,910.50 10,140.95
9/30/1999 9,942.19 10,064.35
10/31/1999 9,783.71 9,995.66
11/30/1999 9,857.67 10,152.26
12/31/1999 9,953.95 10,237.63
1/31/2000 9,839.67 10,152.97
2/29/2000 9,816.82 10,177.15
3/31/2000 9,633.96 9,970.11
4/30/2000 9,599.68 10,009.71
5/31/2000 9,485.40 9,870.49
6/30/2000 9,611.11 10,092.11
7/31/2000 9,702.53 10,201.71
8/31/2000 9,793.96 10,277.69
9/30/2000 9,736.82 10,167.46
10/31/2000 9,508.25 9,866.47
11/30/2000 9,359.69 9,463.01
12/31/2000 9,489.58 9,656.46
1/31/2001 9,848.38 10,307.02
2/28/2001 9,996.85 10,430.08
3/31/2001 9,972.11 10,240.58
4/30/2001 10,009.22 10,090.06
5/31/2001 10,083.46 10,251.79
6/30/2001 9,972.11 9,969.84
7/31/2001 10,095.83 10,157.72
8/31/2001 10,194.81 10,296.33
9/30/2001 9,613.31 9,554.98
10/31/2001 9,860.75 9,872.45
11/30/2001 10046.34 10,247.74
12/31/2001 9995.81 10,181.90
1/31/2002 10090.11 10225.49
2/28/2002 10036.22 10114.27
3/31/2002 10224.82 10383.5
4/30/2002 10386.48 10553.42
5/31/2002 10346.07 10422.52
6/30/2002 9874.57 9504.59
7/31/2002 9591.67 9074.88
8/31/2002 9914.98 9420.24
9/30/2002 9847.62 9234.97
10/31/2002 9780.27 9203.5
11/30/2002 10399.95 9905.79
12/31/2002 10571.08 10027.6
1/31/2003 10767.97 10,401.01
2/28/2003 10919.42 10,540.50
3/31/2003 11146.59 10,895.10
4/30/2003 11691.8 11,572.19
5/31/2003 11843.25 11,648.98
6/30/2003 12131 12,011.22
7/31/2003 11994.7 11,833.67
8/31/2003 12115.86 11,955.12
9/30/2003 12403.61 12,309.32
10/31/2003 12721.65 12,595.53
11/30/2003 12918.53 12,770.49
12/31/2003 13297.21 13,098.34
AVERAGE ANNUAL TOTAL RETURN
1 Year 25.79%
5 Year 5.58%
Since inception 5.00%
(Inception date March 2, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
SALOMON BROTHERS ASSET MANAGEMENT INC.
ROGER LAVAN
OBJECTIVE:
JNL/Salomon Brothers U.S. Government & Quality Bond Fund seeks as its investment
objective a high level of current income, by investing primarily in debt
obligations and mortgage-backed securities issued or guaranteed by the U.S.
Government, its agencies or instrumentalities including collateralized mortgage
obligations backed by such securities. The Fund may also invest a portion of its
assets in investment-grade bonds.
MONEY MANAGER COMMENTARY:
When the period began, concerns about a faltering economy and stock market
volatility, coupled with expectations that interest rates would drop, triggered
investor demand for higher-rated fixed-income securities. Because bond prices
typically move opposite to interest rate movements, many longer-term
fixed-income securities appreciated over the first five months of the period.
The Fed proceeded to reduce its interest rate targets in June to their lowest
levels since the Eisenhower Administration. Given the combination of past rate
cuts and a significant tax-cut package passed by lawmakers in 2003, it seemed
that the U.S. government was going to throw "everything but the kitchen sink" at
the economy in an attempt to revive its growth.
Shortly after the Fed's rate reduction, signs suggesting that gross domestic
product ("GDP") growth was stronger than expected generated concerns that
inflation could pick up. This led investors to question whether the Fed's
rate-cutting cycle had run its course, which contributed to a decline in prices
of bonds. The decline was exacerbated due to selling from investors holding
mortgage-backed securities ("MBS") in their portfolios. Many institutional
investors who had previously bought U.S. Treasuries when long-term yields were
dropping to help hedge their portfolios' exposure to MBS sold Treasuries as
long-term rates rose to help lower their portfolios' duration, a common gauge of
the price sensitivity of a fixed income asset or portfolio to a change in
interest rates, to better preserve their value against a further rise in
long-term rates.
Prices of Treasuries bounced back to an extent in September. Rate concerns
resurfaced after the Commerce Department released preliminary third-quarter data
stating that the economy grew at its fastest pace in almost 20 years. According
to estimates that were revised higher later in the quarter, real GDP increased
8.2% over the quarter. However, selling in the Treasury markets was more
contained than it was in July as some of this growth was attributable to
one-time factors, such as the tax cuts and the end of major combat in Iraq, and
many analysts and investors felt that the Fed appeared to be in a holding
pattern from adjusting its rate targets.
PORTFOLIO ALLOCATION APPROACH
As of the period's close, we continued to allocate investment capital primarily
between mortgage-backed fixed-income securities and U.S. Treasuries through the
end of the period, while maintaining the ability to add exposure to other
sectors when opportunities arise. Given that certain fixed-income sectors
exhibited more volatility than others during periods throughout 2003, our
diversified approach to fixed-income investing reduced overall portfolio
volatility yet enabled us to capture competitive yields. Although interest rate
fluctuations can be unpredictable, as of the end of the year we maintained a
relatively defensive posture in terms of the portfolio's exposure to interest
rate risk versus prior periods.
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
[GRAPH OMITTED]
JNL/Salomon Brothers Salomon Smith Barney
Date U.S. Government & Quality Bond Fund Treasury Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,030.00 10,199.00
6/30/1995 10,140.00 10,277.00
7/31/1995 10,060.00 10,242.00
8/31/1995 10,180.00 10,356.00
9/30/1995 10,270.00 10,449.00
10/31/1995 10,410.00 10,612.00
11/30/1995 10,560.00 10,784.00
12/31/1995 10,693.64 10,934.00
1/31/1996 10,766.24 11,005.00
2/29/1996 10,548.43 10,786.00
3/31/1996 10,465.45 10,691.00
4/30/1996 10,423.96 10,608.00
5/31/1996 10,392.84 10,606.00
6/30/1996 10,506.94 10,737.00
7/31/1996 10,527.68 10,761.00
8/31/1996 10,527.68 10,740.00
9/30/1996 10,693.64 10,916.00
10/31/1996 10,901.08 11,161.00
11/30/1996 11,098.15 11,348.00
12/31/1996 10,969.35 11,232.00
1/31/1997 11,001.61 11,248.85
2/28/1997 11,023.12 11,254.47
3/31/1997 10,904.82 11,141.93
4/30/1997 11,044.63 11,295.69
5/31/1997 11,130.66 11,393.96
6/30/1997 11,227.45 11,521.57
7/31/1997 11,560.83 11,852.24
8/31/1997 11,431.78 11,730.16
9/30/1997 11,603.85 11,910.81
10/31/1997 11,797.42 12,118.05
11/30/1997 11,840.44 12,145.93
12/31/1997 11,973.66 12,249.17
1/31/1998 12,152.87 12,437.58
2/28/1998 12,130.47 12,397.93
3/31/1998 12,152.87 12,435.32
4/30/1998 12,208.87 12,490.09
5/31/1998 12,320.88 12,617.81
6/30/1998 12,421.69 12,764.34
7/31/1998 12,444.09 12,784.17
8/31/1998 12,735.31 13,127.89
9/30/1998 13,149.74 13,494.11
10/31/1998 13,037.73 13,447.72
11/30/1998 13,037.73 13,449.29
12/31/1998 13,099.34 13,474.66
1/31/1999 13,169.83 13,557.28
2/28/1999 12,887.87 13,214.42
3/31/1999 12,970.11 13,266.72
4/30/1999 13,005.36 13296.35
5/31/1999 12,840.88 13177.45
6/30/1999 12,758.64 13145.13
7/31/1999 12,711.65 13134.01
8/31/1999 12,711.65 13136.67
9/30/1999 12,864.38 13238.88
10/31/1999 12,887.87 13254.7
11/30/1999 12,852.63 13229.91
12/31/1999 12,771.53 13144.7
1/31/2000 12,685.23 13175.77
2/29/2000 12,870.15 13373.88
3/31/2000 13,055.07 13638.51
4/30/2000 13,018.08 13598.26
5/31/2000 13,005.76 13618.37
6/30/2000 13,239.98 13848.25
7/31/2000 13,338.60 13989.35
8/31/2000 13,535.85 14193.18
9/30/2000 13,609.81 14205.98
10/31/2000 13,720.76 14343.93
11/30/2000 13,967.32 14637.08
12/31/2000 14,240.76 14916.94
1/31/2001 14,409.67 15033.01
2/28/2001 14,526.61 15216.34
3/31/2001 14,591.58 15266.32
4/30/2001 14,435.66 15078.3
5/31/2001 14,474.64 15128.89
6/30/2001 14,526.61 15207.83
7/31/2001 14,903.42 15584.43
8/31/2001 15,072.33 15785.74
9/30/2001 15,436.15 16039.75
10/31/2001 15,851.94 16475.68
11/30/2001 15,423.15 16074.63
12/31/2001 15225.85 15921.05
1/31/2002 15362.16 16025.22
2/28/2002 15525.73 16173.63
3/31/2002 15157.69 15779.71
4/30/2002 15552.99 16166.15
5/31/2002 15648.41 16259.56
6/30/2002 15839.25 16488.81
7/31/2002 16166.39 16876.64
8/31/2002 16493.53 17233.55
9/30/2002 16875.2 17697.61
10/31/2002 16725.26 17496.16
11/30/2002 16575.32 17329.3
12/31/2002 16972.77 17774.18
1/31/2003 16,944.22 17,718.12
2/28/2003 17,229.72 18,024.04
3/31/2003 17,144.07 17,947.47
4/30/2003 17,243.99 18,031.09
5/31/2003 17,700.79 18,555.02
6/30/2003 17,572.32 18,438.21
7/31/2003 16,587.35 17,630.82
8/31/2003 16,744.38 17,734.26
9/30/2003 17,158.35 18,267.34
10/31/2003 16,987.05 17,991.35
11/30/2003 17,044.15 18,017.35
12/31/2003 17,172.69 18,177.11
AVERAGE ANNUAL TOTAL RETURN
1 Year 1.18%
5 Year 5.56%
Since inception 6.46%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND
T. ROWE PRICE ASSOCIATES, INC.
INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
JNL/T. Rowe Price Established Growth Fund seeks as its investment objective
long-term growth of capital and increasing dividend income through investment
primarily in common stocks of well-established growth companies.
MONEY MANAGER COMMENTARY:
U.S. stocks rose sharply in the 12 months ended December 31, 2003. The S&P 500
Index sprinted more than 12% in the final quarter, boosting full-year results to
more than 28%, and marked the first positive year for stocks since 1999.
Investors bid up equities - large and small, growth and value, and nearly
everything in between - buoyed by favorable economic data, stronger earnings
growth, signs of job market stabilization, and rising global demand. In the
large-cap universe, value shares edged growth. The market sectors with the
strongest gains were information technology, consumer discretionary, and
materials. The telecom services and consumer staples sectors posted positive
results but lagged other sectors for the year.
For the 12-month period, the portfolio posted a strong gain that outperformed
the S&P 500 Index, the style-specific Russell 1000 Growth Index, and our Lipper
peer group average. Superior stock selection in the telecom services sector
produced the strongest contribution to the portfolio's relative results versus
the S&P 500. Vodafone and Nextel Communications were top absolute and relative
performance contributors. We were significantly overweight in Nextel (up more
than 140% for the year) versus the index. Vodafone released positive earnings
results and news that diminished the threat of competition from Hutchinson
Whampoa.
Boosted by strong stock selection, the health care sector also contributed to
relative returns despite our overweight position, which limited gains. Strength
came mostly from pharmaceuticals and biotechs during the period. Large-cap
pharmaceuticals rallied sharply in the fourth quarter as investors sought their
perceived safety near year end. Not owning Merck and eliminating Schering-Plough
early in the year aided relative performance. After posting strong gains for
much of 2003, biotechnology holdings, Gilead Sciences and Genentech struggled as
the year progressed, but posted solid 12-month contributions.
The information technology sector was the largest drag on relative results due
to stock selection in IT services and semiconductors. In general, the stocks
that we held generated positive absolute returns, but lagged the technology
group. Affiliated Computer Services was the tech sector's largest detractor to
relative performance after struggling most of the year with contract disputes.
The economic landscape continues to improve, but we believe that there will not
be dramatic gains in the U.S. or on a global basis. Demand for technology
products should rebound with the economy but not enough to justify the recent
tremendous gains in some of these stocks. Business conditions for advertising
and media companies, as well as selected financial and retail stocks whose
business strategies protect them from rising interest rates, look promising. We
think investors will begin to focus on larger growth companies with attractive
valuations that can report consistent and sustainable 10% to 13% earnings gains
- - these are the companies that can flourish in a modestly growing economy.
JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND
[GRAPH OMITTED]
JNL/T.Rowe Price
Date Established Growth Fund S&P 500 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,230.00 10,130.00
6/30/1995 10,760.00 10,356.00
7/31/1995 11,210.00 10,694.00
8/31/1995 11,230.00 10,726.00
9/30/1995 11,720.00 11,179.00
10/31/1995 11,570.00 11,139.00
11/30/1995 11,820.00 11,627.00
12/31/1995 12,145.59 11,851.00
1/31/1996 12,766.41 12,254.00
2/29/1996 12,834.14 12,368.00
3/31/1996 12,822.85 12,487.00
4/30/1996 13,116.33 12,671.00
5/31/1996 13,387.24 12,996.00
6/30/1996 13,375.95 13,046.00
7/31/1996 12,879.29 12,469.00
8/31/1996 13,240.50 12,732.00
9/30/1996 14,019.35 13,448.00
10/31/1996 14,166.09 13,819.00
11/30/1996 15,080.39 14,862.00
12/31/1996 14,889.64 14,568.00
1/31/1997 15,589.08 15,477.04
2/28/1997 15,612.78 15,597.76
3/31/1997 14,948.92 14,958.26
4/30/1997 15,636.49 15,849.77
5/31/1997 16,691.57 16,813.43
6/30/1997 17,509.55 17,566.68
7/31/1997 18,706.89 18,963.23
8/31/1997 17,711.09 17,901.29
9/30/1997 18,730.60 18,882.28
10/31/1997 18,185.28 18,251.61
11/30/1997 18,849.15 19,096.66
12/31/1997 19,277.00 19,424.43
1/31/1998 19,597.87 19,639.25
2/28/1998 21,189.89 21,055.75
3/31/1998 22,226.56 22,133.99
4/30/1998 22,399.33 22,417.75
5/31/1998 21,856.32 21,996.30
6/30/1998 22,596.79 22,862.95
7/31/1998 22,374.65 22,620.12
8/31/1998 18,906.76 19,352.80
9/30/1998 19,968.11 20,592.62
10/31/1998 21,621.83 22,266.16
11/30/1998 22,967.03 23,615.11
12/31/1998 24,632.53 24,975.06
1/31/1999 24,955.63 26,019.44
2/28/1999 24,309.44 25,211.07
3/31/1999 25,188.25 26,219.74
4/30/1999 26,041.22 27235.12086
5/31/1999 25,317.49 26591.99072
6/30/1999 26,713.25 28067.79
7/31/1999 25,950.75 27191.38
8/31/1999 25,692.28 27056.91
9/30/1999 25,162.40 26315.12
10/31/1999 26,687.40 27980.4
11/30/1999 27,682.52 28549.21
12/31/1999 29,994.80 30230.62
1/31/2000 28,944.29 28711.77
2/29/2000 30,050.09 28168.23
3/31/2000 32,482.85 30923.95
4/30/2000 31,404.70 29993.6
5/31/2000 30,354.19 29378.2
6/30/2000 32,344.63 30102.43
7/31/2000 31,888.48 29631.78
8/31/2000 34,348.89 31472.32
9/30/2000 32,648.72 29810.74
10/31/2000 32,220.22 29684.73
11/30/2000 29,027.23 27344.42
12/31/2000 29,894.16 27478.21
1/31/2001 30,835.33 28453.11
2/28/2001 27,820.39 25858.67
3/31/2001 25,395.68 24220.5
4/30/2001 28,059.67 26102.68
5/31/2001 28,298.95 26277.59
6/30/2001 27,597.06 25638.02
7/31/2001 27,038.74 25385.59
8/31/2001 25,299.97 23796.45
9/30/2001 23,497.38 21874.84
10/31/2001 24,406.65 22291.95
11/30/2001 26,336.85 24001.92
12/31/2001 26834.73 24212.56
1/31/2002 25891.19 23873.58
2/28/2002 25347.46 23413.21
3/31/2002 26450.92 24293.75
4/30/2002 24931.67 22820.87
5/31/2002 24547.86 22652.75
6/30/2002 22468.89 21039.24
7/31/2002 20805.71 19399.04
8/31/2002 21237.5 19526.32
9/30/2002 19030.59 17404.18
10/31/2002 20821.7 18936.08
11/30/2002 21845.19 20050.62
12/31/2002 20574.57 18861.96
1/31/2003 20206.31 18,367.83
2/28/2003 19918.11 18,092.24
3/31/2003 20206.31 18,267.91
4/30/2003 21887.5 19,772.72
5/31/2003 23104.36 20,814.48
6/30/2003 23472.62 21,079.91
7/31/2003 23920.94 21,451.63
8/31/2003 24321.23 21,869.92
9/30/2003 24049.03 21,637.81
10/31/2003 25217.86 22,861.67
11/30/2003 25538.09 23,062.80
12/31/2003 26857.91 24,272.52
AVERAGE ANNUAL TOTAL RETURN
1 Year 30.54%
5 Year 1.74%
Since inception 12.12%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
T. ROWE PRICE ASSOCIATES, INC.
INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
JNL/T.Rowe Price Mid-Cap Growth Fund seeks as its investment objective long-term
growth of capital by investing primarily in the common stock of companies with
medium-sized market capitalizations ("mid-cap") and the potential for above
average growth.
MONEY MANAGER COMMENTARY:
U.S. stocks bounced back from a three-year bear market in 2003, with several
major indexes finishing the year at their highest levels in nearly two years.
After a dismal first quarter blanketed by concern about a double-dip recession
and pending war with Iraq, the market began to climb in late March in the midst
of the war. A new round of tax cuts and a late-June reduction in the fed funds
target rate encouraged investors that the economy would begin to improve. The
rally accelerated as the year progressed, aided by stronger corporate earnings
growth, mounting evidence of a self-sustaining economic recovery, and repeated
assurances from Federal Reserve officials that short-term interest rates could
remain low "for a considerable period" due to low inflation. Rising commodity
prices were a boon for energy and various industrial and materials companies.
Small- and mid-cap shares outperformed large-caps by a substantial margin for
the year, and growth outperformed value for the first time in years, led by
technology stocks.
JNL/T. Rowe Price Mid-Cap Growth Fund posted a very strong return for the year,
outpacing the broad S&P MidCap 400 Index but modestly trailing the
aggressive-growth-oriented Russell Midcap Growth Index.
Omnicare, the undisputed leader in pharmacy services for long-term care
institutions such as nursing homes, rose steadily throughout the year as the
company continued to execute well. Omnicare has gained market share and is
assimilating recent acquisitions, which should soon begin boosting earnings.
Wireless communications service provider Nextel Communications, which continues
to show business strength with new subscriber additions and the success of its
Nationwide Direct Connect product. Discount consumer electronics leader Best
Buy, which bounced back from depressed levels early in the year on the strength
of robust demand for the latest products, such as computers and digital cameras.
Shares of weight loss services provider Weight Watchers fell due to a lack of
near-term visibility for the company's new program innovation in North America
and the emerging popularity of low-carbohydrate diets. As the new program gains
traction, it is expected to drive growth. Data processor and insurance
wholesaler BISYS Group, which delivered a series of earnings disappointments and
warnings, causing a serious loss of confidence in management. We eliminated our
position. Biotechnology company Vertex Pharmaceuticals, which fell sharply on
the news that it had voluntarily halted trials on its promising experimental
rheumatoid arthritis treatment.
The U.S. economy has made significant progress clearing through the debris left
by the collapse of the late 1990s bubble and building a new foundation from
which to grow. We expect strong GDP growth in 2004, though at a slower pace than
in the last half of 2003. Enormous productivity gains (the third quarter
increase was the largest in 20 years), continued low inflation, a rebound in
business capital spending, and recent job gains are all favorable for growth and
for the financial markets. However, imbalances from the bubble years remain, and
new concerns are cropping up: profligate fiscal and monetary policies, a weak
U.S. dollar, and the prospect that these factors, along with stronger economic
growth, will create upward pressure on interest rates. Overall, prospects for
equities in 2004 are favorable. Mid-caps have outperformed large-caps for nearly
five years and no longer trade at a substantial valuation discount as in 1999.
We believe the current mid-cap outperformance cycle could last three to four
more years and drive mid-cap valuations to a significant premium over
large-caps. Yet with the dollar slipping on the heels of a strong run for
mid-caps in 2003, a pause in the superior performance of mid-caps should not be
unexpected.
JNL/T. ROWE PRICE MID-CAP GROWTH FUND
[GRAPH OMITTED]
JNL/T.Rowe Price
Date Mid-Cap Growth Fund S&P MidCap 400 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,020.00 10,009.00
6/30/1995 10,740.00 10,417.00
7/31/1995 11,460.00 10,959.00
8/31/1995 11,780.00 11,161.00
9/30/1995 12,230.00 11,432.00
10/31/1995 12,120.00 11,138.00
11/30/1995 12,580.00 11,622.00
12/31/1995 12,921.52 11,593.00
1/31/1996 12,921.52 11,761.00
2/29/1996 13,672.41 12,160.00
3/31/1996 14,006.13 12,306.00
4/30/1996 14,433.72 12,683.00
5/31/1996 14,850.88 12,854.00
6/30/1996 14,496.30 12,661.00
7/31/1996 13,724.55 11,807.00
8/31/1996 14,548.44 12,489.00
9/30/1996 15,236.75 13,034.00
10/31/1996 15,007.32 13,072.00
11/30/1996 15,737.35 13,807.00
12/31/1996 15,954.83 12,823.00
1/31/1997 16,094.13 13,303.86
2/28/1997 15,847.68 13,194.77
3/31/1997 14,904.75 12,632.67
4/30/1997 15,001.18 12,959.86
5/31/1997 16,372.72 14,092.55
6/30/1997 16,929.91 14,488.55
7/31/1997 17,819.26 15,921.47
8/31/1997 17,819.26 15,902.36
9/30/1997 18,901.49 16,816.75
10/31/1997 17,947.84 16,085.22
11/30/1997 18,065.71 16,323.28
12/31/1997 18,860.33 17,994.00
1/31/1998 18,882.04 17,651.52
2/28/1998 20,630.18 19,113.60
3/31/1998 21,900.57 20,011.93
4/30/1998 21,857.13 20,376.61
5/31/1998 20,934.20 19,440.60
6/30/1998 21,998.29 19,545.58
7/31/1998 21,031.93 18,787.52
8/31/1998 16,916.75 15,293.12
9/30/1998 18,035.12 16,720.17
10/31/1998 19,663.82 18,211.69
11/30/1998 20,467.31 19,120.52
12/31/1998 22,913.72 21,428.83
1/31/1999 23261.4 20,592.31
2/28/1999 21769.71 19,514.00
3/31/1999 22745.48 20,059.26
4/30/1999 23553.01 21641.48
5/31/1999 24282.03 21735.31
6/30/1999 25504.55 22899.17
7/31/1999 25583.06 22408.51
8/31/1999 24248.39 21640.24
9/30/1999 23676.38 20972.12
10/31/1999 24573.64 22040.81
11/30/1999 25549.41 23197.56
12/31/1999 28415.01 24576.05
1/31/2000 27204.59 23883.77
2/29/2000 29217.97 25555.51
3/31/2000 31219.36 27694.33
4/30/2000 29697.34 26726.25
5/31/2000 29026.22 26394.71
6/30/2000 29984.97 26782.32
7/31/2000 29529.56 27205.48
8/31/2000 32681.46 30243.02
9/30/2000 31686.75 30035.95
10/31/2000 31423.1 29017.49
11/30/2000 28247.23 26827.13
12/31/2000 30450.59 28879.54
1/31/2001 31657.19 29523.93
2/28/2001 29243.98 27839.03
3/31/2001 26389.64 25769.37
4/30/2001 29905.67 28612.09
5/31/2001 30294.9 29278.43
6/30/2001 30268.95 29160.15
7/31/2001 29905.67 28725.75
8/31/2001 28283.89 27786.19
9/30/2001 24754.89 24329.92
10/31/2001 26259.9 25406.91
11/30/2001 28530.4 27297.36
12/31/2001 29996.49 28705.85
1/31/2002 28971.52 28547.97
2/28/2002 28231.99 28583.02
3/31/2002 30165.15 30626.34
4/30/2002 29334.8 30483.13
5/31/2002 29269.93 29969.03
6/30/2002 26752.92 27775.45
7/31/2002 23794.79 25084.45
8/31/2002 23626.13 25210.95
9/30/2002 21524.3 23179.96
10/31/2002 22990.39 24184.16
11/30/2002 24612.17 25582.97
12/31/2002 23418.54 24544.41
1/31/2003 23029.31 23,827.22
2/28/2003 22601.16 23,259.70
3/31/2003 23081.21 23,455.87
4/30/2003 24845.71 25,158.37
5/31/2003 26986.46 27,243.72
6/30/2003 27687.07 27,590.54
7/31/2003 28776.91 28,570.00
8/31/2003 29814.85 29,865.45
9/30/2003 28867.73 29,408.27
10/31/2003 31112.28 31,632.18
11/30/2003 31799.91 32,734.41
12/31/2003 32457.63 33,286.73
AVERAGE ANNUAL TOTAL RETURN
1 Year 38.60%
5 Year 7.20%
Since inception 14.60%
(Inception date May 15, 1995)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
[INSERT LOGO]
THE JNL/T.ROWE PRICE VALUE FUND
T. ROWE PRICE ASSOCIATES, INC.
INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
The JNL/T.Rowe Price Value Fund seeks as its investment objective to provide
long-term capital appreciation by investing in common stocks believed to be
undervalued. Income is a secondary objective.
MONEY MANAGER COMMENTARY:
U.S. stocks bounced back from a three-year bear market in 2003, with several
major indexes finishing the year at their highest levels in nearly two years.
After a dismal first quarter blanketed by concern about a double-dip recession
and pending war with Iraq, the market began to climb in late March in the midst
of the war. A new round of tax cuts and a late-June reduction in the fed funds
target rate encouraged investors that the economy would begin to improve. The
rally accelerated as the year progressed, aided by stronger corporate earnings
growth, mounting evidence of a self-sustaining economic recovery, and repeated
assurances from Federal Reserve officials that short-term interest rates could
remain low "for a considerable period" due to low inflation. Rising commodity
prices were a boon for energy and various industrial and materials companies.
Small- and mid-cap shares outperformed large-caps by a substantial margin for
the year. Though growth outperformed value substantially among small- and
mid-caps, value edged out growth for the year among large-caps. Most S&P 500
sectors rose strongly, led by information technology, consumer discretionary,
and materials. Consumer staples, telecommunications services, and health care
gained more modestly.
The fund posted a strong result for 2003, in line with the Russell 1000 Value
Index. Positive stock selection, particularly in financials and information
technology, aided results. Overweighting the strong industrials sector and
underweighting telecommunications services was also positive. Overweighting
pharmaceuticals detracted from results versus the benchmark.
Bank stocks were among our top contributors for the year, led by FleetBoston
Financial (which agreed to be acquired by BankAmerica at a significant premium),
U.S. Bancorp, and Comerica. In the strong industrials sector, results were
boosted by gains in Cooper Industries, which posted better-than-expected sales
in the final period of the year, and Rockwell Automation and Honeywell
International, which were helped by a better outlook for defense spending and
improved sentiment toward the aerospace industry.
Stock selection in technology was aided by Motorola, which was boosted by the
resignation of the founder's grandson as CEO, and Texas Instruments, which
nearly doubled for the year on strong results in its semiconductor division.
Continued concern about generic competition and limited product pipelines
weighed on Merck and Schering-Plough, which detracted from results. We believe
these pharmaceutical leaders have good business models and attractive valuations
relative to the market, as well as strong and safe dividend yields.
The positive impact of overweighting consumer discretionary was partially offset
by negative stock selection. Eastman Kodak, despite a strong fourth quarter, was
a detractor for the year, as was Sony, which posted disappointing earnings.
Insurer UnumProvident was a notable detractor for the year after a first quarter
setback. However, company performance and the share price recovered somewhat
during the year, ending down just 8%.
Last year was a recovery year for the stock market, characterized by significant
expansion of price/earnings multiples. We believe that some stocks have gotten
ahead of themselves, and anticipate that some will pull back in 2004 as they
play "catch up" with their valuations.
We are rotating into more defensive names, increasing exposure to steady growth
multinationals as well as to health care and energy stocks. However, the
portfolio retains a significant amount of economic sensitivity. We are
optimistic for 2004, but we do not expect the magnitude of positive returns that
we saw in 2003
JNL/T. ROWE PRICE VALUE FUND
[GRAPH OMITTED]
Date JNL/T.Rowe Price Value Fund Russell 1000 Value Index
5/1/2000 10,000.00 10,000
5/31/2000 10,160.00 9,975
6/30/2000 9,650.00 9,492
7/31/2000 9,740.00 9,606
8/31/2000 10,370.00 10,119
9/30/2000 10,210.00 10,197
10/31/2000 10,780.00 10,436
11/30/2000 10,600.00 10,028
12/31/2000 11,253.68 10,517
1/31/2001 11,799.19 10,542
2/28/2001 11,526.44 10,228
3/31/2001 11,102.15 9,857
4/30/2001 11,718.38 10,327
5/31/2001 12,031.54 10,537
6/30/2001 11,738.58 10,292
7/31/2001 11,698.17 10,257
8/31/2001 11,374.91 9,823
9/30/2001 10,192.97 9,120
10/31/2001 10,243.48 9,028
11/30/2001 11,112.26 9,532
12/31/2001 11340.93 9,740
1/31/2002 11289.89 9,649
2/28/2002 11371.56 9,644
3/31/2002 11902.36 10,089
4/30/2002 11453.22 9,729
5/31/2002 11555.3 9,758
6/30/2002 10595.76 9,183
7/31/2002 9462.69 8,314
8/31/2002 9605.6 8,354
9/30/2002 8595.02 7,412
10/31/2002 9074.79 7,942
11/30/2002 9942.46 8,419
12/31/2002 9431.59 8,036
1/31/2003 9,145.16 7,826.97
2/28/2003 8,756.44 7,597.78
3/31/2003 8,746.21 7,595.84
4/30/2003 9,533.88 8,247.79
5/31/2003 10,178.34 8,757.47
6/30/2003 10,311.33 8,852.50
7/31/2003 10,526.15 8,963.74
8/31/2003 10,894.41 9,082.92
9/30/2003 10,700.05 8,977.85
10/31/2003 11,364.96 9,506.75
11/30/2003 11,487.72 9,613.23
12/31/2003 12,258.49 10,184.27
AVERAGE ANNUAL TOTAL RETURN
1 Year 29.97%
Since inception 5.70%
(Inception date May 1, 2000)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY
BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
JNL/AIM Large Cap Growth Fund
Common Stocks - 96.3%
SHARES VALUE
Aerospace & Defense - 1.1%
United Technologies Corp. 4 398
Apparel - 2.3%
Coach Inc. (b) 16 589
NIKE Inc. 4 240
829
Banks - 0.2%
Popular Inc. 2 85
Biotechnology - 2.0%
Genentech Inc. (b) 8 729
Commercial Services - 5.2%
Accenture Ltd. (b) 12 326
Apollo Group Inc. (b) 8 510
Cendant Corp. (b) 48 1,060
1,896
Computers - 5.6%
Dell Inc. (b) 25 859
EMC Corp. (b) 67 862
Network Appliance Inc. (b) 15 302
2,023
Cosmetics & Personal Care - 1.7%
Avon Products Inc. 9 627
Diversified Financial Services - 6.8%
American Express Co. 8 395
Ameritrade Holding Corp. (b) 22 310
Capital One Financial Corp. 4 215
Citigroup Inc. 15 733
MBNA Corp. 9 219
SLM Corp. 16 588
2,460
Entertainment - 2.5%
International Game Technology 26 924
Healthcare - 14.0%
Alcon Inc. 5 285
Boston Scientific Corp. (b) 27 1,000
Guidant Corp. 12 740
St. Jude Medical Inc. (b) 4 258
Stryker Corp. 5 400
UnitedHealth Group Inc. 26 1,485
Zimmer Holdings Inc. (b) 13 936
5,104
Household Products - 1.8%
Fortune Brands Inc. 9 643
Internet - 6.1%
Amazon.Com Inc. (b) 17 908
Symantec Corp. (b) 11 374
Yahoo! Inc. (b) 21 945
2,227
Machinery - 1.8%
Rockwell Automation Inc. 19 662
Manufacturing - 2.2%
3M Co. 7 578
Dover Corp. 6 235
813
Pharmaceuticals - 2.5%
Caremark Rx Inc. (b) 13 339
Mylan Laboratories Inc. 15 366
Teva Pharmaceutical Industries Ltd. - ADR 4 221
926
Retail - 9.2%
AutoNation Inc. (b) 12 219
Bed Bath & Beyond Inc. (b) 8 355
Dollar General Corp. 14 296
Gap Inc. 27 631
Home Depot Inc. 14 493
Lowe's Cos. Inc. 9 521
Staples Inc. (b) 22 600
Starbucks Corp. (b) 7 235
3,350
Savings & Loans - 3.1%
Golden West Financial Corp. 6 579
New York Community Bancorp. Inc. 14 529
1,108
Semiconductors - 7.9%
Altera Corp. (b) 12 268
Analog Devices Inc. (b) 7 297
Applied Materials Inc. (b) 17 370
Intel Corp. 54 1,732
QLogic Corp. (b) 4 212
2,879
Software - 11.1%
Adobe Systems Inc. 9 369
Electronic Arts Inc. (b) 5 239
IMS Health Inc. 22 539
Microsoft Corp. 46 1,261
Oracle Corp. (b) 18 239
SAP AG - ADR 10 395
Veritas Software Corp. (b) 27 985
4,027
Telecommunications Equipment - 6.4%
Cisco Systems Inc. (b) 69 1,667
Corning Inc. (b) 25 264
Juniper Networks Inc. (b) 22 402
2,333
Wireless Telecommunications - 2.8%
Nextel Communications Inc. (b) 36 1,019
Total Common Stocks (cost $30,889) 35,062
Short Term Investments - 6.6%
Money Market Funds - 6.6%
Dreyfus Cash Management Plus, 0.898% (a) 1,797 1,797
Dreyfus Government Cash Management, 0.893% (a) 611 611
Total Short Term Investments (cost $2,408) 2,408
Total Investments - 102.9% (cost $33,297) 37,470
Other Assets and Liabilities, Net - (2.9%) -1,049
Total Net Assets - 100% 36,421
JNL/AIM Premier Equity II Fund
Common Stocks - 96.1%
Advertising - 1.6%
Omnicom Group Inc. 4 376
Aerospace & Defense - 1.4%
Lockheed Martin Corp. 4 181
United Technologies Corp. 2 142
323
Airlines - 0.5%
Ryanair Holdings Plc - ADR (b) 2 122
Apparel - 1.3%
Coach Inc. (b) 9 321
Banks - 4.9%
Bank of America Corp. 6 483
Bank of New York Co. Inc. 9 295
US Bancorp. 4 104
Wells Fargo & Co. 5 277
1,159
Beverages - 3.1%
Anheuser-Busch Cos. Inc. 4 216
Coca-Cola Co. 6 289
PepsiCo Inc. 5 224
729
Biotechnology - 1.5%
Amgen Inc. (b) 6 352
Building Materials - 0.5%
American Standard Cos. Inc. (b) 1 126
Chemicals - 0.9%
Dow Chemical Co. 2 87
E.I. du Pont de Nemours & Co. 3 133
220
Commercial Services - 3.4%
Accenture Ltd. (b) 9 234
Cendant Corp. (b) 10 214
Paychex Inc. 4 156
Robert Half International Inc. (b) 9 203
807
Computers - 4.9%
Affiliated Computer Services Inc. - Class A (b) 3 174
Dell Inc. (b) 13 441
Diebold Inc. 3 162
International Business Machines Corp. 4 389
1,166
Cosmetics & Personal Care - 2.5%
Colgate-Palmolive Co. 3 125
Procter & Gamble Co. 5 469
594
Distribution & Wholesale - 1.4%
CDW Corp. 6 329
Diversified Financial Services - 11.9%
American Express Co. 4 198
Citigroup Inc. 16 772
Fannie Mae 7 525
Freddie Mac 2 117
Goldman Sachs Group Inc. 4 365
Merrill Lynch & Co. Inc. 6 369
Morgan Stanley 7 382
SLM Corp. 3 94
2,822
Electronics - 1.3%
Agilent Technologies Inc. (b) 7 193
Fisher Scientific International (b) 3 120
313
Engineering & Construction - 1.4%
Jacobs Engineering Group Inc. (b) 7 331
Environmental Control - 1.0%
Waste Management Inc. 8 228
Healthcare - 2.8%
Anthem Inc. (b) 4 315
Guidant Corp. 2 108
HCA Inc. 3 142
St. Jude Medical Inc. (b) 2 110
675
Household Products - 0.8%
Clorox Co. 4 180
Insurance - 4.4%
AMBAC Financial Group Inc. 2 146
American International Group Inc. 8 530
Chubb Corp. 2 143
Willis Group Holdings Ltd. 7 235
1,054
Lodging - 0.5%
Starwood Hotels & Resorts Worldwide Inc. 3 108
Manufacturing - 8.0%
Danaher Corp. 5 459
Dover Corp. 2 72
General Electric Co. 27 824
Ingersoll-Rand Co. - Class A 2 129
SPX Corp. (b) 2 94
Tyco International Ltd. 12 315
1,893
Media - 4.5%
Clear Channel Communications Inc. 2 108
Comcast Corp. - Special Class A (b) 13 404
COX Communications Inc. (b) 3 114
Univision Communications Inc. (b) 5 194
Viacom Inc. - Class B 5 240
1,060
Mining - 0.4%
Alcoa Inc. 2 84
Oil & Gas Producers - 4.1%
BP Plc - ADR 5 257
ConocoPhillips 3 177
Exxon Mobil Corp. 12 492
GlobalSantaFe Corp. 2 50
976
Oil & Gas Services - 1.0%
BJ Services Co. (b) 2 68
Halliburton Co. 4 112
Schlumberger Ltd. 1 60
240
Packaging & Containers - 1.5%
Pactiv Corp. (b) 15 347
Pharmaceuticals - 5.6%
Allergan Inc. 2 169
Eli Lilly & Co. 1 91
Pfizer Inc. 20 717
Teva Pharmaceutical Industries Ltd. - ADR 2 108
Wyeth 6 242
1,327
Retail - 6.9%
Advance Auto Parts (b) 3 228
Home Depot Inc. 5 192
McDonald's Corp. 4 107
Staples Inc. (b) 4 120
Target Corp. 4 165
Wal-Mart de Mexico SA de CV - Series C 118 314
Wal-Mart Stores Inc. 5 249
Williams-Sonoma Inc. (b) 4 129
Yum! Brands Inc. (b) 4 144
1,648
Semiconductors - 4.0%
Analog Devices Inc. (b) 6 283
Intel Corp. 15 477
Microchip Technology Inc. 6 190
950
Software - 6.6%
BEA Systems Inc. (b) 11 134
Computer Associates International Inc. 6 164
Microsoft Corp. 28 782
Oracle Corp. (b) 7 95
SAP AG - ADR 6 237
Veritas Software Corp. (b) 5 167
1,579
Telecommunications Equipment - 1.0%
Cisco Systems Inc. (b) 10 248
Textiles - 0.3%
Cintas Corp. 1 70
Transportation - 0.4%
FedEx Corp. 1 84
Total Common Stocks (cost $20,219) 22,841
Short Term Investments - 5.4%
Money Market Funds - 4.8%
Dreyfus Cash Management Plus, 0.898% (a) 1,140 1,140
U.S. Treasury Bills - 0.6%
U.S. Treasury Bill, 0.885%, 03/18/04 (l) 150 150
Total Short Term Investments (cost $1,290) 1,290
Total Investments - 101.5% (cost $21,509) 24,131
Other Assets and Liabilities, Net - (1.5%) -354
Total Net Assets - 100% 23,777
JNL/AIM Small Cap Growth Fund
Common Stocks - 90.4%
Advertising - 0.6%
Getty Images Inc. (b) 6 286
Aerospace & Defense - 0.5%
Engineered Support Systems Inc. 4 238
Airlines - 0.3%
Frontier Airlines Inc. (b) 10 140
Apparel - 0.3%
Quiksilver Inc. (b) 6 112
Banks - 2.9%
East-West Bancorp. Inc. 4 215
Greater Bay Bancorp. 5 130
Investors Financial Services Corp. 3 123
PrivateBancorp Inc. 3 146
Prosperity Bancshares Inc. 6 128
Silicon Valley Bancshares (b) 5 188
Southwest Bancorp. of Texas Inc. 4 159
UCBH Holdings Inc. 5 195
1,284
Biotechnology - 3.4%
Affymetrix Inc. (b) 5 130
Charles River Laboratories International Inc. (b) 5 175
Ciphergen Biosystems Inc. (b) 10 117
Digene Corp. (b) 6 233
Genencor International Inc. (b) 7 109
Harvard Bioscience Inc. (b) 14 123
Integra LifeSciences Holdings Corp. (b) 5 146
Invitrogen Corp. (b) 4 252
Martek Biosciences Corp. (b) 4 227
1,512
Building Materials - 0.3%
Trex Co. Inc. (b) 4 141
Chemicals - 0.3%
Spartech Corp. 5 111
Commercial Services - 7.2%
Administaff Inc. (b) 12 200
Advisory Board Co. (b) 5 175
Alliance Data Systems Corp. (b) 5 133
Charles River Associates Inc. (b) 5 154
Corinthian Colleges Inc. (b) 4 200
Corporate Executive Board Co. (b) 6 270
CoStar Group Inc. (b) 7 279
Education Management Corp. (b) 6 189
Euronet Worldwide Inc. (b) 14 248
Forrester Research Inc. (b) 8 134
Icon Plc - ADR (b) 5 227
Iron Mountain Inc. (b) 3 117
Kroll Inc. (b) 5 130
PDI Inc. (b) 6 150
Steiner Leisure Ltd. (b) 6 83
Strayer Education Inc. 2 174
Sylvan Learning Systems Inc. (b) 5 150
Wireless Facilities Inc. (b) 9 134
3,147
Computers - 3.9%
Anteon International Corp. (b) 5 187
CACI International Inc. - Class A (b) 4 185
Cognizant Technology Solutions Corp. (b) 5 205
Cray Inc. (b) 9 90
Kronos Inc. (b) 3 109
Lexar Media Inc. (b) 10 176
Magma Design Automation Inc. (b) 6 135
M-Systems Flash Disk Pioneers Ltd. (b) 8 130
Neoware Systems Inc. (b) 6 85
NetScreen Technologies Inc. (b) 6 156
Sandisk Corp. (b) 2 135
Stratasys Inc. (b) 4 120
1,713
Distribution & Wholesale - 1.1%
Fastenal Co. 2 110
ScanSource Inc. (b) 4 173
Tech Data Corp. (b) 5 183
466
Diversified Financial Services - 1.7%
Affiliated Managers Group Inc. (b) 2 160
Doral Financial Corp. 4 123
eSPEED Inc. (b) 8 176
Jefferies Group Inc. 5 172
Knight Trading Group Inc. (b) 8 116
747
Electrical Components & Equipment - 0.5%
Wilson Greatbatch Technologies Inc. (b) 5 216
Electronics - 6.3%
Cymer Inc. (b) 5 240
Daktronics Inc. (b) 7 164
FEI Co. (b) 8 182
Fisher Scientific International (b) 3 124
Flir Systems Inc. (b) 6 212
Ii-Vi Inc. (b) 6 150
Imax Corp. (b) 18 142
Keithley Instruments Inc. 8 154
PerkinElmer Inc. 8 142
Photon Dynamics Inc. (b) 7 262
Tektronix Inc. 6 202
Trimble Navigation Ltd. (b) 9 320
TTM Technologies Inc. (b) 11 189
Varian Inc. (b) 7 271
2,754
Entertainment - 1.7%
Alliance Gaming Corp. (b) 8 202
Macrovision Corp. (b) 9 199
Penn National Gaming Inc. (b) 6 134
Shuffle Master Inc. (b) 6 197
732
Environmental Control - 1.4%
Stericycle Inc. (b) 5 238
Tetra Tech Inc. (b) 9 214
Waste Connections Inc. (b) 5 170
622
Food - 1.6%
Performance Food Group Co. (b) 5 188
SunOpta Inc. (b) 12 112
United Natural Foods Inc. (b) 7 262
Whole Foods Market Inc. 2 154
716
Healthcare - 8.6%
Advanced Neuromodulation Systems Inc. (b) 4 186
American Medical Systems Holdings Inc. (b) 4 83
Amsurg Corp. (b) 3 129
Bruker BioSciences Corp. (b) 15 68
Closure Medical Corp. (b) 6 187
Covance Inc. (b) 6 169
Cyberonics Inc. (b) 5 166
Cytyc Corp. (b) 13 172
DaVita Inc. (b) 4 144
Diagnostic Products Corp. 3 115
Gen-Probe Inc. (b) 6 219
ICU Medical Inc. (b) 4 120
LifePoint Hospitals Inc. (b) 7 211
Odyssey HealthCare Inc. (b) 7 217
OraSure Technologies Inc. (b) 15 116
Pediatrix Medical Group Inc. (b) 3 138
ResMed Inc. (b) 4 170
Steris Corp. (b) 7 156
Techne Corp. (b) 5 178
Therasense Inc. (b) 10 210
Triad Hospitals Inc. (b) 5 170
VISX Inc. (b) 8 188
Wright Medical Group Inc. (b) 5 137
Zoll Medical Corp. (b) 4 135
3,784
Home Builders - 0.3%
Toll Brothers Inc. (b) 3 127
Home Furnishings - 0.3%
Tivo Inc. (b) 18 132
Household Products - 0.3%
Fossil Inc. (b) 4 122
Insurance - 0.9%
HCC Insurance Holdings Inc. 5 162
Navigators Group Inc. (b) 4 123
ProAssurance Corp. (b) 4 122
407
Internet - 4.3%
Aquantive Inc. (b) 14 141
Avocent Corp. (b) 6 215
CNET Networks Inc. (b) 14 94
Digital Insight Corp. (b) 6 157
DoubleClick Inc. (b) 13 130
eResearch Technology Inc. (b) 5 135
Internet Security Systems Inc. (b) 9 164
Interwoven Inc. (b) 9 114
Macromedia Inc. (b) 12 205
Netease.com - ADR (b) 2 85
Netegrity Inc. (b) 14 142
Network Associates Inc. (b) 9 136
Websense Inc. (b) 6 175
1,893
Iron & Steel - 0.3%
Gibraltar Steel Corp. 5 113
Lodging - 1.1%
Kerzner International Ltd. (b) 4 148
Mandalay Resort Group 3 148
Station Casinos Inc. 6 178
474
Machinery - 0.3%
AGCO Corp. (b) 7 139
Manufacturing - 0.7%
Applied Films Corp. (b) 10 320
Media - 1.6%
COX Radio Inc. (b) 5 131
Cumulus Media Inc. - Class A (b) 7 147
Entravision Communications Corp. (b) 13 139
Radio One Inc. (b) 6 115
Radio One Inc. - Class D (b) 9 178
710
Oil & Gas Producers - 3.2%
Chesapeake Energy Corp. 11 152
Evergreen Resources Inc. (b) 5 169
Grey Wolf Inc. (b) 30 112
Newfield Exploration Co. (b) 4 169
Patterson-UTI Energy Inc. (b) 5 168
Pride International Inc. (b) 8 157
Quicksilver Resources Inc. (b) 5 149
Spinnaker Exploration Co. (b) 7 216
Ultra Petroleum Corp. (b) 5 113
1,405
Oil & Gas Services - 2.7%
CAL Dive International Inc. (b) 11 270
FMC Technologies Inc. (b) 9 200
Key Energy Services Inc. (b) 14 142
National-Oilwell Inc. (b) 8 168
Tetra Technologies Inc. (b) 5 127
Universal Compression Holdings Inc. (b) 6 144
Varco International Inc. (b) 8 155
1,206
Pharmaceuticals - 5.1%
aaiPharma Inc. (b) 10 255
Accredo Health Inc. (b) 8 237
American Pharmaceutical Partners Inc. (b) 6 188
Angiotech Pharmaceuticals Inc. (b) 4 179
Cephalon Inc. (b) 2 82
Connetics Corp. (b) 8 136
Medicis Pharmaceutical Corp. - Class A 4 257
NBTY Inc. (b) 7 180
Priority Healthcare Corp. (b) 6 152
Salix Pharmaceuticals Ltd. (b) 5 113
Taro Pharmaceuticals Industries Ltd. (b) 4 252
VCA Antech Inc. (b) 6 192
2,223
Retail - 9.3%
99 Cents Only Stores (b) 6 158
Bebe Stores Inc. (b) 5 122
Bombay Co. Inc. (b) 15 120
Carmax Inc. (b) 6 176
Chico's FAS Inc. (b) 7 259
Claire's Stores Inc. 7 136
Fred's Inc. 7 218
GameStop Corp. (b) 8 126
Hollywood Entertainment Corp. (b) 9 124
HOT Topic Inc. (b) 9 252
Insight Enterprises Inc. (b) 12 216
Jos. A. Banks Clothiers Inc. (b) 4 139
Krispy Kreme Doughnuts Inc. (b) 3 110
MSC Industrial Direct Co. Inc. 8 215
Pacific Sunwear of California (b) 8 165
Panera Bread Co. - Class A (b) 5 190
PF Chang's China Bistro Inc. (b) 5 265
Rare Hospitality International Inc. (b) 9 226
Select Comfort Corp. (b) 7 176
Sonic Corp. (b) 6 182
Tractor Supply Co. (b) 6 249
Urban Outfitters Inc. (b) 8 285
4,109
Semiconductors - 9.2%
Actel Corp. (b) 8 183
ASE Test Ltd. (b) 15 225
Asyst Technologies Inc. (b) 11 189
ChipPAC Inc. (b) 28 209
Entegris Inc. (b) 13 163
Exar Corp. (b) 8 138
Integrated Circuit Systems Inc. (b) 8 219
Intersil Corp. 5 118
Micrel Inc. (b) 9 140
Microsemi Corp. (b) 5 125
Mykrolis Corp. (b) 15 248
Nvidia Corp. (b) 6 130
O2Micro International Ltd. (b) 10 222
Omnivision Technologies Inc. (b) 4 193
Pixelworks Inc. (b) 11 124
Power Integrations Inc. (b) 4 130
Semtech Corp. (b) 8 189
Skyworks Solutions Inc. (b) 16 137
Tripath Technology Inc. (b) 20 135
Ultratech Inc. (b) 5 147
Varian Semiconductor Equipment Associates Inc. (b) 6 249
Veeco Instruments Inc. (b) 5 130
Xicor Inc. (b) 15 170
Zoran Corp. (b) 6 108
4,021
Software - 4.4%
Activision Inc. (b) 10 184
Autodesk Inc. 6 157
Avid Technology Inc. (b) 3 163
Business Objects SA - ADR (b) 5 159
Cognos Inc. (b) 5 153
Micromuse Inc. (b) 19 133
National Instruments Corp. 5 205
Pinnacle Systems Inc. (b) 14 116
Pixar Inc. (b) 2 152
Red Hat Inc. (b) 21 402
Take-Two Interactive Software Inc. (b) 4 112
1,936
Telecommunications - 0.3%
Intrado Inc. (b) 7 147
Telecommunications Equipment - 2.2%
Adtran Inc. 3 105
Aeroflex Inc. (b) 15 171
Plantronics Inc. (b) 5 170
Polycom Inc. (b) 6 113
SafeNet Inc. (b) 8 243
UTStarcom Inc. (b) 5 171
973
Toys & Hobbies - 0.7%
Leapfrog Enterprises Inc. (b) 4 106
Marvel Enterprises Inc. (b) 7 201
307
Transportation - 0.3%
Gulfmark Offshore Inc. (b) 8 111
Wireless Telecommunications - 0.3%
REMEC Inc. (b) 14 116
Total Common Stocks (cost $33,077) 39,712
Mutual Funds - 0.3%
iShares Nasdaq Biotechnology Index Fund 2 115
Total Mutual Funds (cost $122) 115
Short Term Investments - 10.5%
Money Market Funds - 10.0%
Dreyfus Cash Management Plus, 0.898% (a) 2,197 2,197
Dreyfus Government Cash Management, 0.893% (a) 2,198 2,198
4,395
Repurchase Agreement - 0.3%
Repurchase Agreement with Mellon Trust, 0.40%,
(Collateralized by $152 Federal Home Loan Mortgage
Corp., 3.50%, due 06/15/23, market value $144)
acquired on 12/31/03, due 01/02/04 at $134 134 134
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 0.885%, 03/18/04 (l) 100 100
Total Short Term Investments (cost $4,629) 4,629
Total Investments - 101.2% (cost $37,828) 44,456
Other Assets and Liabilities, Net - (1.2%) -516
Total Net Assets - 100% 43,940
JNL/Alger Growth Fund
Common Stocks - 98.2%
Banks - 0.8%
US Bancorp. 65 1,921
Biotechnology - 5.3%
Amgen Inc. (b) 79 4,890
Chiron Corp. (b) 25 1,425
Genentech Inc. (b) 71 6,672
12,987
Computers - 6.1%
EMC Corp. (b) 261 3,369
Hewlett-Packard Co. 158 3,634
Seagate Technology (b) 155 2,920
Synopsys Inc. (b) 146 4,932
14,855
Diversified Financial Services - 4.8%
Affiliated Managers Group Inc. (b) 22 1,503
American Express Co. 38 1,823
Capital One Financial Corp. 30 1,826
Citigroup Inc. 61 2,952
T. Rowe Price Group Inc. 77 3,670
11,774
Entertainment - 1.2%
International Game Technology 85 3,020
Healthcare - 6.2%
Boston Scientific Corp. (b) 180 6,620
Medtronic Inc. 78 3,787
UnitedHealth Group Inc. 64 3,744
Varian Medical Systems Inc. (b) 17 1,182
15,333
Insurance - 2.1%
American International Group Inc. 79 5,229
Internet - 10.3%
Amazon.Com Inc. (b) 120 6,319
eBay Inc. (b) 124 7,990
NetFlix Inc. (b) 63 3,448
Yahoo! Inc. (b) 166 7,519
25,276
Lodging - 1.5%
Starwood Hotels & Resorts Worldwide Inc. 100 3,581
Manufacturing - 5.7%
General Electric Co. 206 6,369
Tyco International Ltd. 287 7,594
13,963
Media - 4.5%
Fox Entertainment Group Inc. (b) 91 2,658
Hughes Electronics Corp. (b) 206 3,415
Walt Disney Co. 124 2,886
XM Satellite Radio Holdings Inc. - Class A (b) 76 1,993
10,952
Oil & Gas Producers - 1.9%
Devon Energy Corp. 81 4,628
Oil & Gas Services - 0.9%
BJ Services Co. (b) 61 2,199
Pharmaceuticals - 10.3%
Abbott Laboratories 25 1,168
Allergan Inc. 32 2,473
Caremark Rx Inc. (b) 128 3,250
GlaxoSmithKline Plc - ADR 103 4,802
Medco Health Solutions Inc. (b) 95 3,215
Novartis AG - ADR 104 4,786
Teva Pharmaceutical Industries Ltd. - ADR 58 3,298
Watson Pharmaceuticals Inc. (b) 48 2,195
25,187
Retail - 7.6%
Best Buy Co. Inc. 53 2,790
Gap Inc. 193 4,478
Home Depot Inc. 156 5,522
Target Corp. 117 4,500
TJX Cos. Inc. 65 1,435
18,725
Semiconductors - 12.1%
Analog Devices Inc. (b) 127 5,777
Applied Materials Inc. (b) 139 3,109
Intel Corp. 184 5,918
Teradyne Inc. (b) 244 6,202
Texas Instruments Inc. 141 4,134
Xilinx Inc. (b) 114 4,416
29,556
Software - 7.5%
Microsoft Corp. 349 9,605
PeopleSoft Inc. (b) 225 5,125
Veritas Software Corp. (b) 96 3,556
18,286
Telecommunications Equipment - 6.2%
Cisco Systems Inc. (b) 321 7,790
Corning Inc. (b) 440 4,584
Nokia Oyj - ADR 163 2,763
15,137
Transportation - 1.0%
United Parcel Service Inc. 32 2,382
Wireless Telecommunications - 2.2%
Nextel Communications Inc. (b) 48 1,344
Vodafone Group Plc - ADR 160 4,006
5,350
Total Common Stocks (cost $201,507) 240,341
Preferred Stocks - 0.3%
Media - 0.3%
News Corp. Ltd. - ADR 23 698
Total Preferred Stocks (cost $578) 698
Short Term Investments - 1.5%
Money Market Funds - 1.5%
Dreyfus Cash Management Plus, 0.898% (a) 3,525 3,525
Total Short Term Investments (cost $3,525) 3,525
Total Investments - 100.0% (cost $205,610) 244,564
Other Assets and Liabilities, Net - 0.0% 103
Total Net Assets - 100% 244,667
JNL/Alliance Capital Growth Fund
Common Stocks - 99.3%
Banks - 0.5%
Bank One Corp. 14 643
Biotechnology - 2.6%
Amgen Inc. (b) 54 3,331
Computers - 4.7%
Dell Inc. (b) 131 4,435
EMC Corp. (b) 122 1,580
6,015
Cosmetics & Personal Care - 2.9%
Avon Products Inc. 26 1,741
Colgate-Palmolive Co. 6 315
Procter & Gamble Co. 17 1,708
3,764
Diversified Financial Services - 15.1%
Citigroup Inc. 117 5,674
Fannie Mae 26 1,944
Franklin Resources Inc. 5 260
Goldman Sachs Group Inc. 7 691
JPMorgan Chase & Co. 17 610
Lehman Brothers Holdings Inc. 17 1,336
MBNA Corp. 160 3,964
Merrill Lynch & Co. Inc. 38 2,246
Morgan Stanley 45 2,622
19,347
Healthcare - 6.9%
Alcon Inc. 11 684
Boston Scientific Corp. (b) 32 1,191
Medtronic Inc. 69 3,369
UnitedHealth Group Inc. 54 3,165
Zimmer Holdings Inc. (b) 6 444
8,853
Insurance - 6.9%
ACE Ltd. 27 1,110
American International Group Inc. 78 5,143
Progressive Corp. 32 2,675
8,928
Internet - 4.7%
eBay Inc. (b) 39 2,525
Symantec Corp. (b) 26 908
Yahoo! Inc. (b) 56 2,543
5,976
Manufacturing - 4.2%
General Electric Co. 176 5,437
Media - 9.5%
Clear Channel Communications Inc. 40 1,873
Comcast Corp. - Special Class A (b) 95 2,962
E.W. Scripps Co. 9 819
Liberty Media Corp. (b) 56 669
Time Warner Inc. (b) 61 1,097
Viacom Inc. - Class B 109 4,851
12,271
Pharmaceuticals - 5.5%
Forest Laboratories Inc. (b) 6 383
Gilead Sciences Inc. (b) 14 814
Pfizer Inc. 166 5,868
7,065
Retail - 11.1%
Bed Bath & Beyond Inc. (b) 24 1,058
Family Dollar Stores Inc. 11 409
Kohl's Corp. (b) 23 1,038
Lowe's Cos. Inc. 62 3,440
Target Corp. 50 1,916
Walgreen Co. 50 1,823
Wal-Mart Stores Inc. 87 4,637
14,321
Semiconductors - 11.5%
Applied Materials Inc. (b) 100 2,254
Broadcom Corp. (b) 31 1,067
Intel Corp. 184 5,922
Marvell Technology Group Ltd. (b) 29 1,100
Maxim Integrated Products Inc. 36 1,768
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (b) 179 1,829
Texas Instruments Inc. 28 820
14,760
Software - 8.7%
Electronic Arts Inc. (b) 43 2,069
Microsoft Corp. 265 7,306
Veritas Software Corp. (b) 47 1,758
11,133
Telecommunications Equipment - 4.5%
Cisco Systems Inc. (b) 183 4,445
Nokia Oyj - ADR 80 1,367
5,812
Total Common Stocks (cost $120,092) 127,656
Short Term Investments - 2.3%
Money Market Funds - 2.3%
Dreyfus Cash Management Plus, 0.898% (a) 2,939 2,939
Total Short Term Investments (cost $2,939) 2,939
Total Investments - 101.6% (cost $123,031) 130,595
Other Assets and Liabilities, Net - (1.6%) -2,077
Total Net Assets - 100% 128,518
JNL/Curian Enhanced S&P 500 Stock Index Fund
Common Stocks - 96.4%
Advertising - 0.2%
Interpublic Group of Cos. Inc. (b) 4 59
Omnicom Group Inc. 2 156
215
Aerospace & Defense - 1.6%
Boeing Co. 8 341
General Dynamics Corp. 2 171
Lockheed Martin Corp. 4 223
Northrop Grumman Corp. 2 163
Raytheon Co. 4 118
United Technologies Corp. 5 431
1,447
Airlines - 0.1%
Southwest Airlines Co. 7 119
Apparel - 0.2%
NIKE Inc. 3 172
Auto Manufacturers - 0.7%
Ford Motor Co. 18 282
General Motors Corp. 5 285
PACCAR Inc. 1 94
661
Auto Parts & Equipment - 0.1%
Johnson Controls Inc. 1 104
Banks - 6.6%
Bank of America Corp. 14 1,146
Bank of New York Co. Inc. 7 248
Bank One Corp. 11 486
BB&T Corp. 5 206
Comerica Inc. 2 96
Fifth Third Bancorp. 5 318
FleetBoston Financial Corp. 10 437
KeyCorp 4 122
Marshall & Ilsley Corp. 2 85
Mellon Financial Corp. 4 136
National City Corp. 6 196
State Street Corp. 3 164
SunTrust Banks Inc. 3 190
US Bancorp. 19 554
Wachovia Corp. 12 579
Wells Fargo & Co. 16 945
5,908
Beverages - 2.8%
Anheuser-Busch Cos. Inc. 8 408
Coca-Cola Co. 23 1,191
Coca-Cola Enterprises Inc. 4 93
PepsiCo Inc. 16 764
2,456
Biotechnology - 1.3%
Amgen Inc. (b) 12 772
Biogen Idec Inc. (b) 3 115
Chiron Corp. (b) 2 103
Genzyme Corp. (b) 2 103
Medimmune Inc. (b) 2 58
1,151
Building Materials - 0.1%
Masco Corp. 4 118
Chemicals - 1.4%
Air Products & Chemicals Inc. 2 119
Dow Chemical Co. 9 370
E.I. du Pont de Nemours & Co. 9 430
PPG Industries Inc. 2 102
Praxair Inc. 3 122
Rohm & Haas Co. 2 95
1,238
Commercial Services - 0.7%
Apollo Group Inc. (b) 2 117
Cendant Corp. (b) 10 215
Concord EFS Inc. (b) 4 62
McKesson Corp. 3 86
Paychex Inc. 4 136
616
Computers - 4.3%
Apple Computer Inc. (b) 3 73
Dell Inc. (b) 25 833
Electronic Data Systems Corp. 5 115
EMC Corp. (b) 23 301
Hewlett-Packard Co. 30 679
International Business Machines Corp. 17 1,530
Lexmark International Inc. (b) 1 96
Network Appliance Inc. (b) 3 70
Sun Microsystems Inc. (b) 31 141
3,838
Cosmetics & Personal Care - 2.6%
Avon Products Inc. 2 153
Colgate-Palmolive Co. 5 256
Gillette Co. 10 352
Kimberly-Clark Corp. 5 285
Procter & Gamble Co. 12 1,239
2,285
Diversified Financial Services - 8.5%
American Express Co. 12 601
Capital One Financial Corp. 2 138
Charles Schwab Corp. 13 150
Citigroup Inc. 49 2,374
Countrywide Financial Corp. 2 132
Fannie Mae 9 705
Franklin Resources Inc. 2 128
Freddie Mac 7 388
Goldman Sachs Group Inc. 5 447
JPMorgan Chase & Co. 19 707
Lehman Brothers Holdings Inc. 3 202
MBNA Corp. 12 303
Merrill Lynch & Co. Inc. 9 528
Morgan Stanley 10 599
SLM Corp. 4 163
7,565
Electric - 1.6%
AES Corp. (b) 6 54
American Electric Power Co. Inc. 4 112
Dominion Resources Inc. 3 197
Duke Energy Corp. 8 173
Entergy Corp. 2 128
Exelon Corp. 3 208
FirstEnergy Corp. 3 110
PG&E Corp. (b) 4 111
Public Service Enterprise Group Inc. 2 102
Southern Co. 7 212
1,407
Electrical Components & Equipment - 0.3%
American Power Conversion Corp. 2 43
Emerson Electric Co. 4 260
303
Electronics - 0.2%
Agilent Technologies Inc. (b) 5 132
Sanmina-SCI Corp. (b) 5 59
191
Entertainment - 0.1%
International Game Technology 3 115
Environmental Control - 0.2%
Waste Management Inc. 5 161
Food - 1.4%
Archer-Daniels-Midland Co. 6 93
Campbell Soup Co. 4 102
ConAgra Foods Inc. 5 139
General Mills Inc. 4 161
H.J. Heinz Co. 3 119
Kroger Co. (b) 7 132
Safeway Inc. (b) 4 89
Sara Lee Corp. 8 166
Sysco Corp. 6 235
1,236
Forest Products & Paper - 0.5%
Georgia-Pacific Corp. 3 78
International Paper Co. 5 197
Plum Creek Timber Co. Inc. 2 51
Weyerhaeuser Co. 2 138
464
Healthcare - 4.5%
Aetna Inc. 1 97
Anthem Inc. (b) 1 95
Baxter International Inc. 6 176
Boston Scientific Corp. (b) 8 289
Guidant Corp. 3 176
HCA Inc. 5 200
Johnson & Johnson 28 1,446
Medtronic Inc. 12 571
St. Jude Medical Inc. (b) 2 103
Stryker Corp. 2 163
Tenet Healthcare Corp. (b) 4 71
UnitedHealth Group Inc. 6 323
WellPoint Health Networks Inc. (b) 1 138
Zimmer Holdings Inc. (b) 2 162
4,010
Home Furnishings - 0.1%
Whirlpool Corp. 1 52
Insurance - 4.1%
ACE Ltd. 3 114
AFLAC Inc. 5 181
Allstate Corp. 7 289
American International Group Inc. 25 1,656
Chubb Corp. 2 121
Hartford Financial Services Group Inc. 3 163
Loews Corp. 2 89
Marsh & McLennan Cos. Inc. 5 241
MetLife Inc. 7 247
Progressive Corp. 2 169
Prudential Financial Inc. 5 220
Travelers Property Casualty Corp. 9 159
3,649
Internet - 0.9%
eBay Inc. (b) 6 398
Symantec Corp. (b) 3 104
Yahoo! Inc. (b) 6 287
789
Leisure Time - 0.4%
Carnival Corp. 6 239
Harley-Davidson Inc. 3 136
375
Lodging - 0.1%
Marriott International Inc. - Class A 2 102
Machinery - 0.5%
Caterpillar Inc. 3 280
Deere & Co. 2 147
427
Manufacturing - 5.6%
3M Co. 7 637
Danaher Corp. 1 136
Eastman Kodak Co. 3 70
General Electric Co. 97 3,008
Honeywell International Inc. 8 274
Illinois Tool Works Inc. 3 247
Ingersoll-Rand Co. - Class A 2 111
Tyco International Ltd. 19 496
4,979
Media - 4.0%
Clear Channel Communications Inc. 6 273
Comcast Corp. - Class A (b) 21 702
Gannett Co. Inc. 3 230
McGraw-Hill Cos. Inc. 2 129
Time Warner Inc. (b) 44 785
Tribune Co. 3 156
Univision Communications Inc. (b) 3 126
Viacom Inc. - Class B 17 741
Walt Disney Co. 19 447
3,589
Mining - 0.6%
Alcoa Inc. 8 317
Newmont Mining Corp. 4 196
513
Office & Business Equipment - 0.1%
Xerox Corp. (b) 8 107
Oil & Gas Producers - 5.2%
Anadarko Petroleum Corp. 2 127
Apache Corp. 2 127
ChevronTexaco Corp. 10 872
ConocoPhillips 6 425
Devon Energy Corp. 2 126
Exxon Mobil Corp. 63 2,592
Marathon Oil Corp. 3 95
Occidental Petroleum Corp. 4 155
Unocal Corp. 3 93
4,612
Oil & Gas Services - 0.5%
Halliburton Co. 4 106
Schlumberger Ltd. 6 303
409
Pharmaceuticals - 7.8%
Abbott Laboratories 15 700
Bristol-Myers Squibb Co. 19 539
Cardinal Health Inc. 4 250
Eli Lilly & Co. 11 768
Forest Laboratories Inc. (b) 3 216
Medco Health Solutions Inc. (b) 3 88
Merck & Co. Inc. 21 989
Pfizer Inc. 72 2,555
Schering-Plough Corp. 14 243
Wyeth 12 530
6,878
Real Estate - 0.1%
Equity Office Properties Trust 4 110
Retail - 6.9%
Bed Bath & Beyond Inc. (b) 3 120
Best Buy Co. Inc. 3 162
Costco Wholesale Corp. (b) 4 162
CVS Corp. 4 140
Dollar General Corp. 3 70
Federated Department Stores Inc. 2 78
Gap Inc. 9 198
Home Depot Inc. 22 773
Kohl's Corp. (b) 3 142
Limited Brands Inc. 5 93
Lowe's Cos. Inc. 8 420
May Department Stores Co. 3 78
McDonald's Corp. 12 300
Sears Roebuck & Co. 2 111
Staples Inc. (b) 5 132
Starbucks Corp. (b) 4 121
Target Corp. 9 331
TJX Cos. Inc. 5 105
Walgreen Co. 10 355
Wal-Mart Stores Inc. 42 2,222
6,113
Savings & Loans - 0.4%
Washington Mutual Inc. 9 343
Semiconductors - 4.4%
Altera Corp. (b) 4 85
Analog Devices Inc. (b) 4 164
Applied Materials Inc. (b) 16 356
Broadcom Corp. (b) 3 102
Intel Corp. 63 2,031
KLA-Tencor Corp. (b) 2 106
Linear Technology Corp. 3 122
Maxim Integrated Products Inc. 3 155
Micron Technology Inc. (b) 6 83
National Semiconductor Corp. (b) 2 68
Texas Instruments Inc. 17 496
Xilinx Inc. (b) 3 130
3,898
Software - 5.5%
Adobe Systems Inc. 2 85
Automatic Data Processing Inc. 6 226
Computer Associates International Inc. 6 156
Electronic Arts Inc. (b) 3 139
First Data Corp. 7 285
Intuit Inc. (b) 2 105
Microsoft Corp. 104 2,875
Oracle Corp. (b) 51 669
PeopleSoft Inc. (b) 3 78
Siebel Systems Inc. (b) 5 66
Veritas Software Corp. (b) 4 154
4,838
Telecommunications - 3.1%
Alltel Corp. 3 136
AT&T Corp. 7 149
BellSouth Corp. 18 498
Qwest Communications International Inc. (b) 18 76
SBC Communications Inc. 32 833
Sprint Corp. - FON Group 8 139
Verizon Communications Inc. 26 923
2,754
Telecommunications Equipment - 2.1%
Cisco Systems Inc. (b) 66 1,603
Corning Inc. (b) 13 134
Lucent Technologies Inc. (b) 41 115
1,852
Textiles - 0.1%
Cintas Corp. 2 85
Tobacco - 1.2%
Altria Group Inc. 19 1,049
RJ Reynolds Tobacco Holdings Inc. 1 50
1,099
Transportation - 1.3%
FedEx Corp. 3 196
Union Pacific Corp. 2 172
United Parcel Service Inc. 11 798
1,166
Wireless Telecommunications - 1.4%
AT&T Wireless Services Inc. (b) 26 210
Motorola Inc. 22 313
Nextel Communications Inc. (b) 11 299
Qualcomm Inc. 8 416
1,238
Total Common Stocks (cost $79,306) 85,757
Government Securities - 0.1%
U.S. Treasury Securities - 0.1%
U.S. Treasury Note, 3.00%, 02/29/04 (l) 125 125
Total Government Securities (cost $125) 125
Short Term Investments - 3.2%
Money Market Funds - 3.2%
Reich & Tang Institutional Money Market Portfolio -
Class B, 0.957% (a) 2,830 2,830
U.S. Treasury Bills - 0.0%
U.S. Treasury Bill, 0.885%, 03/18/04 50 50
Total Short Term Investments (cost $2,880) 2,880
Total Investments - 99.7% (cost $82,312) 88,762
Other Assets and Liabilities, Net - 0.3% 306
Total Net Assets - 100% 89,068
JNL/Curian S&P 400 MidCap Index Fund
Common Stocks - 97.4%
Advertising - 0.3%
Catalina Marketing Corp. (b) 4 88
Harte-Hanks Inc. 7 155
243
Aerospace & Defense - 0.7%
L-3 Communications Holdings Inc. (b) 8 406
Sequa Corp. - Class A (b) 1 43
Titan Corp. (b) 7 145
594
Airlines - 0.3%
Alaska Air Group Inc. (b) 2 59
JetBlue Airways Corp. (b) 8 220
279
Apparel - 0.9%
Coach Inc. (b) 15 572
Timberland Co. - Class A (b) 3 145
Unifi Inc. (b) 4 28
745
Auto Parts & Equipment - 1.1%
ArvinMeritor Inc. 6 135
Bandag Inc. 2 65
BorgWarner Inc. 2 191
Lear Corp. 6 339
Modine Manufacturing Co. 3 75
Superior Industries International Inc. 2 95
900
Banks - 6.9%
Associated Banc-Corp. 6 255
Bank of Hawaii Corp. 4 190
Banknorth Group Inc. 13 429
City National Corp. 4 248
Colonial BancGroup Inc. 10 176
Commerce Bancorp. Inc. 6 326
Compass Bancshares Inc. 10 391
Cullen/Frost Bankers Inc. 4 172
FirstMerit Corp. 7 186
Greater Bay Bancorp. 4 122
Hibernia Corp. 13 298
Investors Financial Services Corp. 5 205
M&T Bank Corp. 10 964
Mercantile Bankshares Corp. 7 296
National Commerce Financial Corp. 17 457
Provident Financial Group Inc. 4 128
Silicon Valley Bancshares (b) 3 102
TCF Financial Corp. 6 298
Westamerica Bancorp. 3 133
Wilmington Trust Corp. 5 194
5,570
Beverages - 0.6%
Constellation Brands Inc. - Class A (b) 9 283
PepsiAmericas Inc. 12 202
485
Biotechnology - 1.0%
Charles River Laboratories International Inc. (b) 4 128
Millennium Pharmaceuticals Inc. (b) 25 460
Protein Design Labs Inc. (b) 8 137
Vertex Pharmaceuticals Inc. (b) 6 65
790
Building Materials - 0.4%
Martin Marietta Materials Inc. 4 188
York International Corp. 3 120
308
Chemicals - 2.4%
Airgas Inc. 6 130
Albemarle Corp. 3 101
Cabot Corp. 5 161
Cabot Microelectronics Corp. (b) 2 95
Crompton Corp. 9 65
Cytec Industries Inc. (b) 3 122
Ferro Corp. 3 92
FMC Corp. (b) 3 98
IMC Global Inc. 9 93
Lubrizol Corp. 4 137
Lyondell Chemical Co. 14 245
Minerals Technologies Inc. 2 99
Olin Corp. 5 96
RPM International Inc. 9 155
Sensient Technologies Corp. 4 75
Valspar Corp. 4 204
1,968
Commercial Services - 3.7%
Banta Corp. 2 82
Career Education Corp. (b) 8 328
ChoicePoint Inc. (b) 7 272
Corinthian Colleges Inc. (b) 4 201
DeVry Inc. (b) 6 144
Education Management Corp. (b) 6 183
First Health Group Corp. (b) 8 150
Gartner Inc. (b) 11 119
Kelly Services Inc. - Class A 3 80
Korn/Ferry International (b) 3 41
Manpower Inc. 6 300
MPS Group Inc. (b) 9 80
Plexus Corp. (b) 3 60
Quanta Services Inc. (b) 10 70
Rent-A-Center Inc. (b) 7 197
Rollins Inc. 4 83
Sotheby's Holdings Inc. - Class A (b) 5 69
Sylvan Learning Systems Inc. (b) 4 102
United Rentals Inc. (b) 6 121
Valassis Communications Inc. (b) 4 125
Viad Corp. 7 180
2,987
Computers - 4.5%
Affiliated Computer Services Inc. - Class A (b) 11 584
BISYS Group Inc. (b) 10 144
Cadence Design Systems Inc. (b) 21 386
Ceridian Corp. (b) 12 255
Diebold Inc. 6 320
DST Systems Inc. (b) 7 285
Imation Corp. 3 102
Jack Henry & Associates Inc. 7 150
McData Corp. (b) 9 90
Mentor Graphics Corp. (b) 6 81
Quantum Corp. (b) 15 45
Reynolds & Reynolds Co. 5 159
Sandisk Corp. (b) 6 396
Storage Technology Corp. (b) 9 233
Synopsys Inc. (b) 13 428
3,658
Distribution & Wholesale - 1.1%
CDW Corp. 7 393
Fastenal Co. 6 309
Tech Data Corp. (b) 5 184
886
Diversified Financial Services - 2.5%
A.G. Edwards Inc. 6 233
AmeriCredit Corp. (b) 13 204
E*TRADE Group Inc. (b) 30 378
Eaton Vance Corp. 6 206
IndyMac Bancorp. Inc. 5 135
Investment Technology Group Inc. (b) 4 62
LaBranche & Co. Inc. 5 57
Legg Mason Inc. 5 417
Raymond James Financial Inc. 4 150
Waddell & Reed Financial Inc. - Class A 7 158
2,000
Electric - 4.8%
Allete Inc. 7 217
Alliant Energy Corp. 9 225
Black Hills Corp. 3 78
DPL Inc. 10 216
Duquesne Light Holdings Inc. 6 113
Energy East Corp. 12 267
Great Plains Energy Inc. 6 180
Hawaiian Electric Industries Inc. 3 146
Idacorp Inc. 3 93
MDU Resources Group Inc. 9 220
Northeast Utilities 11 220
NSTAR 4 210
OGE Energy Corp. 7 172
Pepco Holdings Inc. 14 274
PNM Resources Inc. 3 90
Puget Energy Inc. 8 183
SCANA Corp. 9 310
Sierra Pacific Resources (b) 10 70
Westar Energy Inc. 6 120
Wisconsin Energy Corp. 10 321
WPS Resources Corp. 3 137
3,862
Electrical Components & Equipment - 0.7%
Ametek Inc. 3 132
Energizer Holdings Inc. (b) 7 259
Hubbell Inc. - Class B 5 215
606
Electronics - 1.5%
Arrow Electronics Inc. (b) 8 190
Avnet Inc. (b) 10 212
Gentex Corp. 6 277
Kemet Corp. (b) 7 97
Varian Inc. (b) 3 118
Vishay Intertechnology Inc. (b) 13 300
1,194
Engineering & Construction - 0.5%
Dycom Industries Inc. (b) 4 106
Granite Construction Inc. 3 80
Jacobs Engineering Group Inc. (b) 5 217
403
Entertainment - 0.7%
GTECH Holdings Corp. 5 239
International Speedway Corp. - Class A 4 194
Macrovision Corp. (b) 4 90
Six Flags Inc. (b) 8 57
580
Environmental Control - 0.6%
Republic Services Inc. 13 332
Stericycle Inc. (b) 3 160
492
Food - 2.5%
Dean Foods Co. (b) 13 419
Hormel Foods Corp. 11 292
Interstate Bakeries 4 52
JM Smucker Co. 4 185
Ruddick Corp. 4 68
Smithfield Foods Inc. (b) 9 187
Tootsie Roll Industries Inc. 4 152
Tyson Foods Inc. 29 379
Whole Foods Market Inc. 5 328
2,062
Forest Products & Paper - 0.8%
Bowater Inc. 5 210
Longview Fibre Co. 4 51
P.H. Glatfelter Co. 4 45
Potlatch Corp. 2 79
Rayonier Inc. 4 178
Wausau-Mosinee Paper Corp. 4 57
620
Gas - 0.7%
AGL Resources Inc. 5 153
Oneok Inc. 8 171
Vectren Corp. 6 152
WGL Holdings Inc. 4 110
586
Hand & Machine Tools - 0.1%
Kennametal Inc. 3 117
Healthcare - 6.0%
Apogent Technologies Inc. (b) 7 170
Apria Healthcare Group Inc. (b) 4 120
Beckman Coulter Inc. 5 256
Community Health Systems Inc. (b) 8 214
Covance Inc. (b) 5 136
Coventry Health Care Inc. (b) 5 316
Cytyc Corp. (b) 9 123
Dentsply International Inc. 6 292
Edwards Lifesciences Corp. (b) 5 146
Health Net Inc. (b) 9 304
Henry Schein Inc. (b) 4 241
Hillenbrand Industries Inc. 5 313
LifePoint Hospitals Inc. (b) 3 91
Lincare Holdings Inc. (b) 8 241
Oxford Health Plans (b) 7 288
Pacificare Health Systems Inc. (b) 3 231
Patterson Dental Co. (b) 6 358
Steris Corp. (b) 6 128
Triad Hospitals Inc. (b) 6 205
Universal Health Services Inc. 5 254
Varian Medical Systems Inc. (b) 6 384
VISX Inc. (b) 4 91
4,902
Holding Companies - Diversified - 0.3%
Leucadia National Corp. 6 262
Home Builders - 2.0%
DR Horton Inc. 13 555
Hovnanian Enterprises Inc. - Class A (b) 2 214
Lennar Corp. 6 618
Toll Brothers Inc. (b) 6 237
1,624
Home Furnishings - 0.2%
Furniture Brands International Inc. 5 134
Household Products - 0.8%
Blyth Inc. 4 120
Church & Dwight Co. Inc. 3 131
Dial Corp. 8 224
Scotts Co. - Class A (b) 3 155
630
Insurance - 5.1%
Allmerica Financial Corp. (b) 4 133
American Financial Group Inc. 6 158
AmerUs Group Co. 3 112
Arthur J. Gallagher & Co. 7 239
Brown & Brown Inc. 6 183
Everest Re Group Ltd. 5 385
Fidelity National Financial Inc. 12 470
First American Corp. 6 190
HCC Insurance Holdings Inc. 5 166
Horace Mann Educators Corp. 3 49
Mony Group Inc. (b) 4 121
Ohio Casualty Corp. (b) 5 86
Old Republic International Corp. 15 375
PMI Group Inc. 8 289
Protective Life Corp. 6 190
Radian Group Inc. 8 374
Stancorp Financial Group Inc. 2 150
Unitrin Inc. 6 228
W.R. Berkley Corp. 7 238
4,136
Internet - 0.9%
Avocent Corp. (b) 4 140
Checkfree Corp. (b) 7 180
Internet Security Systems Inc. (b) 4 75
Macromedia Inc. (b) 5 91
Network Associates Inc. (b) 13 198
RSA Security Inc. (b) 5 70
754
Iron & Steel - 0.1%
Carpenter Technology Corp. 2 51
Leisure Time - 0.1%
Callaway Golf Co. 6 104
Lodging - 0.9%
Boyd Gaming Corp. 5 85
Extended Stay America Inc. 8 115
Mandalay Resort Group 5 224
Park Place Entertainment Corp. (b) 25 268
692
Machinery - 1.0%
AGCO Corp. (b) 6 124
Flowserve Corp. (b) 5 94
Graco Inc. 4 151
Nordson Corp. 3 96
Tecumseh Products Co. 2 73
Zebra Technologies Corp. (b) 4 256
794
Manufacturing - 2.0%
Brink's Co. 4 100
Carlisle Cos. Inc. 3 153
Donaldson Co. Inc. 4 209
Federal Signal Corp. 4 69
Harsco Corp. 3 146
Lancaster Colony Corp. 3 132
Pentair Inc. 4 184
SPX Corp. (b) 6 366
Teleflex Inc. 3 157
Trinity Industries Inc. 4 117
1,633
Media - 2.5%
Belo Corp. - Class A 9 265
Emmis Communications Corp. (b) 4 121
Entercom Communications Corp. (b) 4 222
Lee Enterprises Inc. 4 159
Media General Inc. 2 125
Reader's Digest Association Inc. - Class A 8 119
Scholastic Corp. (b) 3 109
Washington Post 1 590
Westwood One Inc. (b) 8 279
1,989
Metal Fabrication & Hardware - 0.3%
Precision Castparts Corp. 5 230
Mining - 0.4%
Arch Coal Inc. 4 134
Peabody Energy Corp. 4 185
319
Office Furnishings - 0.4%
Herman Miller Inc. 6 145
HON Industries Inc. 5 206
351
Oil & Gas Producers - 3.9%
ENSCO International Inc. 12 333
Forest Oil Corp. (b) 4 125
Helmerich & Payne Inc. 4 114
Murphy Oil Corp. 8 490
Noble Energy Inc. 5 206
Patterson-UTI Energy Inc. (b) 7 218
Pioneer Natural Resources Co. (b) 10 308
Pogo Producing Co. 5 251
Pride International Inc. (b) 11 206
Valero Energy Corp. 10 455
XTO Energy Inc. 15 426
3,132
Oil & Gas Services - 2.1%
Cooper Cameron Corp. (b) 4 205
FMC Technologies Inc. (b) 5 126
Grant Prideco Inc. (b) 10 129
Hanover Compressor Co. (b) 6 67
National-Oilwell Inc. (b) 7 155
Smith International Inc. (b) 8 340
Tidewater Inc. 5 148
Varco International Inc. (b) 8 164
Weatherford International Ltd. (b) 11 383
1,717
Packaging & Containers - 0.5%
Packaging Corp. of America 9 188
Sonoco Products Co. 8 195
383
Pharmaceuticals - 4.8%
AdvancePCS (b) 8 399
Barr Laboratories Inc. (b) 5 422
Gilead Sciences Inc. (b) 17 962
IVAX Corp. (b) 16 383
Mylan Laboratories Inc. 22 555
Omnicare Inc. 8 338
Perrigo Co. 6 90
Pharmaceutical Resources Inc. (b) 3 181
Sepracor Inc. (b) 7 166
Sicor Inc. (b) 10 264
Valeant Pharmaceuticals International 7 171
3,931
Pipelines - 1.0%
Aquila Inc. (b) 16 54
Equitable Resources Inc. 5 218
National Fuel Gas Co. 7 163
Questar Corp. 7 238
Western Gas Resources Inc. 3 128
801
Real Estate - 1.7%
AMB Property Corp. 7 220
Highwoods Properties Inc. 4 110
Hospitality Properties Trust 5 211
Liberty Property Trust 7 255
Mack-Cali Realty Corp. 5 198
New Plan Excel Realty Trust 8 197
United Dominion Realty Trust Inc. 10 199
1,390
Retail - 6.7%
99 Cents Only Stores (b) 6 160
Abercrombie & Fitch Co. - Class A (b) 8 195
American Eagle Outfitters Inc. (b) 6 95
Applebees International Inc. 4 176
Barnes & Noble Inc. (b) 5 179
BJ's Wholesale Club Inc. (b) 6 131
Bob Evans Farms Inc. 3 93
Borders Group Inc. 6 139
Brinker International Inc. (b) 8 262
Carmax Inc. (b) 8 262
CBRL Group Inc. 4 155
Cheesecake Factory (b) 4 186
Chico's FAS Inc. (b) 7 263
Claire's Stores Inc. 4 80
Copart Inc. (b) 7 120
Dollar Tree Stores Inc. (b) 9 283
Krispy Kreme Doughnuts Inc. (b) 5 180
Longs Drug Stores Corp. 3 74
Michaels Stores Inc. 5 242
Neiman-Marcus Group Inc. - Class A (b) 4 214
O'Reilly Automotive Inc. (b) 4 170
Outback Steakhouse Inc. 6 270
Payless Shoesource Inc. (b) 6 74
Petsmart Inc. 12 278
Pier 1 Imports Inc. 7 159
Ross Stores Inc. 12 328
Ruby Tuesday Inc. 5 151
Saks Inc. (b) 11 168
Williams-Sonoma Inc. (b) 10 332
5,419
Savings & Loans - 2.8%
Astoria Financial Corp. 6 241
Greenpoint Financial Corp. 11 385
Independence Community Bank Corp. 4 160
New York Community Bancorp. Inc. 16 598
Sovereign Bancorp. Inc. 24 567
Washington Federal Inc. 6 162
Webster Financial Corp. 4 171
2,284
Semiconductors - 4.1%
Atmel Corp. (b) 39 232
Credence Systems Corp. (b) 5 68
Cree Inc. (b) 6 107
Cypress Semiconductor Corp. (b) 10 210
Fairchild Semiconductor International Inc. - Class A (b) 10 240
Integrated Circuit Systems Inc. (b) 6 168
Integrated Device Technology Inc. (b) 9 147
International Rectifier Corp. (b) 5 260
Intersil Corp. 11 282
Lam Research Corp. (b) 11 344
Lattice Semiconductor Corp. (b) 9 89
LTX Corp. (b) 4 64
Micrel Inc. (b) 8 117
Microchip Technology Inc. 17 565
Semtech Corp. (b) 6 137
Silicon Laboratories Inc. (b) 4 176
Triquint Semiconductor Inc. (b) 11 78
3,284
Software - 2.5%
Activision Inc. (b) 7 132
Acxiom Corp. (b) 7 129
Advent Software Inc. (b) 3 47
Ascential Software Corp. (b) 5 126
Certegy Inc. 5 174
CSG Systems International Inc. (b) 4 53
Dun & Bradstreet Corp. (b) 6 301
Fair Isaac Corp. 4 193
Keane Inc. (b) 5 77
National Instruments Corp. 4 193
Retek Inc. (b) 4 41
SEI Investments Co. 9 262
Sybase Inc. (b) 8 163
Transaction Systems Architects Inc. (b) 3 65
Wind River Systems Inc. (b) 7 60
2,016
Telecommunications - 0.5%
Cincinnati Bell Inc. (b) 20 101
Telephone & Data Systems Inc. 5 293
394
Telecommunications Equipment - 1.5%
3Com Corp. (b) 30 249
Adtran Inc. 6 200
Advanced Fibre Communications Inc. (b) 7 143
CommScope Inc. (b) 5 79
Harris Corp. 5 206
Newport Corp. (b) 3 53
Plantronics Inc. (b) 4 119
Polycom Inc. (b) 8 158
1,207
Textiles - 0.5%
Mohawk Industries Inc. (b) 5 383
Tobacco - 0.1%
Universal Corp. 2 87
Transportation - 1.9%
Alexander & Baldwin Inc. 3 115
C.H. Robinson Worldwide Inc. 7 261
CNF Inc. 4 138
EGL Inc. (b) 4 68
Expeditors International of Washington Inc. 9 323
GATX Corp. 4 112
J.B. Hunt Transport Services Inc. (b) 7 177
Overseas Shipholding Group Inc. 3 99
Swift Transportation Co. Inc. (b) 7 144
Werner Enterprises Inc. 7 127
1,564
Water - 0.2%
Philadelphia Suburban Corp. 8 167
Wireless Telecommunications - 0.3%
Powerwave Technologies Inc. (b) 5 39
Price Communications Corp. (b) 4 61
RF Micro Devices Inc. (b) 15 152
252
Total Common Stocks (cost $68,424) 78,951
Short Term Investments - 2.3%
Money Market Funds - 1.7%
Reich & Tang Institutional U.S. Treasury Portfolio -
Class B, 0.744% (a) 1,392 1,392
U.S. Treasury Bills - 0.6%
U.S. Treasury Bill, 0.895%, 03/11/04 (l) 500 499
Total Short Term Investments (cost $1,891) 1,891
Total Investments - 99.7% (cost $70,315) 80,842
Other Assets and Liabilities, Net - 0.3% 235
Total Net Assets - 100% 81,077
JNL/Curian S&P 500 Index Fund
Common Stocks - 97.9%
Advertising - 0.2%
Interpublic Group of Cos. Inc. (b) 8 117
Omnicom Group Inc. 3 301
418
Aerospace & Defense - 1.5%
Boeing Co. 15 642
General Dynamics Corp. 4 324
Goodrich Corp. 2 63
Lockheed Martin Corp. 8 420
Northrop Grumman Corp. 3 317
Raytheon Co. 8 227
Rockwell Collins Inc. 3 96
United Technologies Corp. 9 808
2,897
Agriculture - 0.1%
Monsanto Co. 5 137
Airlines - 0.1%
Delta Air Lines Inc. 2 27
Southwest Airlines Co. 14 230
257
Apparel - 0.3%
Jones Apparel Group Inc. 2 80
Liz Claiborne Inc. 2 70
NIKE Inc. 5 326
Reebok International Ltd. 1 40
V.F. Corp. 2 85
601
Auto Manufacturers - 0.7%
Ford Motor Co. 33 531
General Motors Corp. 10 542
Navistar International Corp. (b) 1 60
PACCAR Inc. 2 180
1,313
Auto Parts & Equipment - 0.2%
Cooper Tire & Rubber Co. 1 28
Dana Corp. 3 49
Delphi Corp. 10 104
Goodyear Tire & Rubber Co. (b) 3 25
Johnson Controls Inc. 2 190
Visteon Corp. 2 25
421
Banks - 6.8%
AmSouth Bancorp. 6 156
Bank of America Corp. 27 2,165
Bank of New York Co. Inc. 14 464
Bank One Corp. 20 924
BB&T Corp. 10 383
Charter One Financial Inc. 4 139
Comerica Inc. 3 178
Fifth Third Bancorp. 10 609
First Tennessee National Corp. 2 97
FleetBoston Financial Corp. 19 834
Huntington Bancshares Inc. 4 93
KeyCorp 8 223
Marshall & Ilsley Corp. 4 157
Mellon Financial Corp. 8 250
National City Corp. 11 374
North Fork Bancorp. Inc. 3 111
Northern Trust Corp. 4 185
PNC Financial Services Group Inc. 5 275
Regions Financial Corp. 4 150
SouthTrust Corp. 6 197
State Street Corp. 6 315
SunTrust Banks Inc. 5 365
Synovus Financial Corp. 5 158
Union Planters Corp. 3 108
US Bancorp. 35 1,041
Wachovia Corp. 24 1,118
Wells Fargo & Co. 31 1,805
Zions Bancorp. 2 96
12,970
Beverages - 2.6%
Adolph Coors Co. - Class B 1 32
Anheuser-Busch Cos. Inc. 15 778
Brown-Forman Corp. - Class B 1 103
Coca-Cola Co. 44 2,254
Coca-Cola Enterprises Inc. 8 180
Pepsi Bottling Group Inc. 5 115
PepsiCo Inc. 31 1,450
4,912
Biotechnology - 1.2%
Amgen Inc. (b) 23 1,445
Biogen Idec Inc. (b) 6 218
Chiron Corp. (b) 3 194
Genzyme Corp. (b) 4 200
Medimmune Inc. (b) 4 114
Millipore Corp. (b) 1 33
2,204
Building Materials - 0.2%
American Standard Cos. Inc. (b) 1 133
Masco Corp. 8 230
Vulcan Materials Co. 2 88
451
Chemicals - 1.5%
Air Products & Chemicals Inc. 4 218
Ashland Inc. 1 55
Dow Chemical Co. 17 693
E.I. du Pont de Nemours & Co. 18 829
Eastman Chemical Co. 1 57
Ecolab Inc. 5 128
Engelhard Corp. 2 68
Great Lakes Chemical Corp. 1 24
Hercules Inc. (b) 2 24
International Flavors & Fragrances Inc. 2 59
PPG Industries Inc. 3 197
Praxair Inc. 6 225
Rohm & Haas Co. 4 172
Sherwin-Williams Co. 3 90
Sigma-Aldrich Corp. 1 73
2,912
Commercial Services - 0.9%
Apollo Group Inc. (b) 3 217
Cendant Corp. (b) 18 409
Concord EFS Inc. (b) 8 125
Convergys Corp. (b) 3 45
Deluxe Corp. 1 37
Equifax Inc. 3 62
H&R Block Inc. 3 179
McKesson Corp. 5 170
Moody's Corp. 3 163
Paychex Inc. 7 254
R.R. Donnelley & Sons Co. 2 62
Robert Half International Inc. (b) 3 72
1,795
Computers - 4.0%
Apple Computer Inc. (b) 7 140
Computer Sciences Corp. (b) 3 150
Dell Inc. (b) 46 1,576
Electronic Data Systems Corp. 9 214
EMC Corp. (b) 44 563
Gateway Inc. (b) 6 27
Hewlett-Packard Co. 55 1,269
International Business Machines Corp. 31 2,889
Lexmark International Inc. (b) 2 183
NCR Corp. (b) 2 63
Network Appliance Inc. (b) 6 128
Sun Microsystems Inc. (b) 59 266
SunGard Data Systems Inc. (b) 5 144
Unisys Corp. (b) 6 89
7,701
Cosmetics & Personal Care - 2.3%
Alberto-Culver Co. - Class B 1 67
Avon Products Inc. 4 289
Colgate-Palmolive Co. 10 487
Gillette Co. 18 673
Kimberly-Clark Corp. 9 540
Procter & Gamble Co. 23 2,347
4,403
Distribution & Wholesale - 0.1%
Genuine Parts Co. 3 103
W.W. Grainger Inc. 2 78
181
Diversified Financial Services - 7.8%
American Express Co. 23 1,124
Bear Stearns Cos. Inc. 2 142
Capital One Financial Corp. 4 256
Charles Schwab Corp. 25 291
Citigroup Inc. 93 4,537
Countrywide Financial Corp. 3 253
Fannie Mae 18 1,321
Federated Investors Inc. 2 58
Franklin Resources Inc. 5 237
Freddie Mac 13 735
Goldman Sachs Group Inc. 9 847
Janus Capital Group Inc. 4 71
JPMorgan Chase & Co. 37 1,358
Lehman Brothers Holdings Inc. 5 380
MBNA Corp. 23 575
Merrill Lynch & Co. Inc. 17 1,005
Morgan Stanley 20 1,136
Providian Financial Corp. (b) 5 61
SLM Corp. 8 308
T. Rowe Price Group Inc. 2 107
14,802
Electric - 2.4%
AES Corp. (b) 11 106
Allegheny Energy Inc. (b) 2 30
Ameren Corp. 3 136
American Electric Power Co. Inc. 7 219
Calpine Corp. (b) 7 36
Centerpoint Energy Inc. 6 54
Cinergy Corp. 3 125
CMS Energy Corp. (b) 3 25
Consolidated Edison Inc. 4 176
Constellation Energy Group Inc. 3 119
Dominion Resources Inc. 6 375
DTE Energy Co. 3 120
Duke Energy Corp. 16 336
Edison International 6 129
Entergy Corp. 4 237
Exelon Corp. 6 393
FirstEnergy Corp. 6 210
FPL Group Inc. 3 218
NiSource Inc. 5 104
PG&E Corp. (b) 8 209
Pinnacle West Capital Corp. 2 66
PPL Corp. 3 137
Progress Energy Inc. 4 201
Public Service Enterprise Group Inc. 4 187
Southern Co. 13 401
TECO Energy Inc. 3 49
TXU Corp. 6 139
Xcel Energy Inc. 7 123
4,660
Electrical Components & Equipment - 0.4%
American Power Conversion Corp. 4 86
Emerson Electric Co. 8 494
Molex Inc. 3 120
Power-One Inc. (b) 2 16
716
Electronics - 0.6%
Agilent Technologies Inc. (b) 9 252
Applera Corp. - Applied Biosystems Group 4 78
Jabil Circuit Inc. (b) 4 103
Parker Hannifin Corp. 2 128
PerkinElmer Inc. 2 39
Sanmina-SCI Corp. (b) 9 118
Solectron Corp. (b) 15 90
Symbol Technologies Inc. 4 71
Tektronix Inc. 2 48
Thermo Electron Corp. (b) 3 74
Thomas & Betts Corp. 1 24
Waters Corp. (b) 2 73
1,098
Engineering & Construction - 0.0%
Fluor Corp. 1 59
Entertainment - 0.1%
International Game Technology 6 224
Environmental Control - 0.2%
Allied Waste Industries Inc. (b) 6 81
Waste Management Inc. 11 312
393
Food - 1.8%
Albertson's Inc. 7 151
Archer-Daniels-Midland Co. 12 178
Campbell Soup Co. 7 199
ConAgra Foods Inc. 10 257
General Mills Inc. 7 306
H.J. Heinz Co. 6 232
Hershey Foods Corp. 2 174
Kellogg Co. 7 282
Kroger Co. (b) 14 250
McCormick & Co. Inc. 3 76
Safeway Inc. (b) 8 176
Sara Lee Corp. 14 311
Supervalu Inc. 2 69
Sysco Corp. 12 437
Winn-Dixie Stores Inc. 3 25
Wm. Wrigley Jr. Co. 4 229
3,352
Forest Products & Paper - 0.6%
Boise Cascade Corp. 2 52
Georgia-Pacific Corp. 5 141
International Paper Co. 9 375
Louisiana-Pacific Corp. (b) 2 34
MeadWestvaco Corp. 4 108
Plum Creek Timber Co. Inc. 3 101
Temple-Inland Inc. 1 60
Weyerhaeuser Co. 4 255
1,126
Gas - 0.2%
KeySpan Corp. 3 106
Nicor Inc. 1 29
Peoples Energy Corp. 1 27
Sempra Energy 4 123
285
Hand & Machine Tools - 0.1%
Black & Decker Corp. 1 69
Snap-On Inc. 1 37
Stanley Works 1 56
162
Healthcare - 4.5%
Aetna Inc. 3 187
Anthem Inc. (b) 3 188
Bausch & Lomb Inc. 1 50
Baxter International Inc. 11 337
Becton Dickinson & Co. 5 189
Biomet Inc. 5 169
Boston Scientific Corp. (b) 15 546
C.R. Bard Inc. 1 72
Guidant Corp. 6 339
HCA Inc. 9 386
Health Management Associates Inc. 4 104
Humana Inc. (b) 3 67
Johnson & Johnson 54 2,778
Manor Care Inc. 2 56
Medtronic Inc. 22 1,068
Quest Diagnostics Inc. 2 138
St. Jude Medical Inc. (b) 3 192
Stryker Corp. 4 307
Tenet Healthcare Corp. (b) 8 135
UnitedHealth Group Inc. 11 618
WellPoint Health Networks Inc. (b) 3 267
Zimmer Holdings Inc. (b) 4 308
8,501
Home Builders - 0.2%
Centex Corp. 1 121
KB Home 1 57
Pulte Homes Inc. 1 105
283
Home Furnishings - 0.1%
Leggett & Platt Inc. 3 75
Maytag Corp. 1 40
Whirlpool Corp. 1 92
207
Household Products - 0.3%
American Greetings Corp. - Class A (b) 1 26
Avery Dennison Corp. 2 108
Clorox Co. 4 186
Fortune Brands Inc. 3 189
Newell Rubbermaid Inc. 5 113
Tupperware Corp. 1 19
641
Insurance - 4.7%
ACE Ltd. 5 209
AFLAC Inc. 9 336
Allstate Corp. 13 548
AMBAC Financial Group Inc. 2 134
American International Group Inc. 47 3,132
AON Corp. 6 136
Chubb Corp. 3 232
Cigna Corp. 2 142
Cincinnati Financial Corp. 3 122
Hartford Financial Services Group Inc. 5 303
Jefferson-Pilot Corp. 3 129
John Hancock Financial Services Inc. 5 197
Lincoln National Corp. 3 130
Loews Corp. 3 166
Marsh & McLennan Cos. Inc. 10 460
MBIA Inc. 3 155
MetLife Inc. 14 464
MGIC Investment Corp. 2 99
Principal Financial Group 6 194
Progressive Corp. 4 327
Prudential Financial Inc. 10 409
Safeco Corp. 3 98
St. Paul Cos. Inc. 4 164
Torchmark Corp. 2 93
Travelers Property Casualty Corp. 18 309
UnumProvident Corp. 5 85
XL Capital Ltd. 2 193
8,966
Internet - 0.8%
eBay Inc. (b) 12 756
Monster Worldwide Inc. (b) 2 45
Symantec Corp. (b) 6 193
Yahoo! Inc. (b) 12 538
1,532
Iron & Steel - 0.1%
Allegheny Technologies Inc. 1 19
Nucor Corp. 1 79
United States Steel Corp. 2 66
164
Leisure Time - 0.4%
Brunswick Corp. 2 53
Carnival Corp. 11 453
Harley-Davidson Inc. 5 261
Sabre Holdings Corp. 3 56
823
Lodging - 0.3%
Harrah's Entertainment Inc. 2 99
Hilton Hotels Corp. 7 118
Marriott International Inc. - Class A 4 194
Starwood Hotels & Resorts Worldwide Inc. 4 132
543
Machinery - 0.5%
Caterpillar Inc. 6 523
Cummins Inc. 1 36
Deere & Co. 4 283
Rockwell Automation Inc. 3 120
962
Manufacturing - 5.3%
3M Co. 14 1,209
Cooper Industries Ltd. - Class A 2 98
Crane Co. 1 31
Danaher Corp. 3 255
Dover Corp. 4 146
Eastman Kodak Co. 5 133
Eaton Corp. 1 149
General Electric Co. 182 5,636
Honeywell International Inc. 16 522
Illinois Tool Works Inc. 6 469
Ingersoll-Rand Co. - Class A 3 213
ITT Industries Inc. 2 124
Pall Corp. 2 61
Textron Inc. 2 141
Tyco International Ltd. 36 960
10,147
Media - 3.8%
Clear Channel Communications Inc. 11 522
Comcast Corp. - Class A (b) 41 1,340
Dow Jones & Co. Inc. 1 72
Gannett Co. Inc. 5 438
Knight-Ridder Inc. 1 110
McGraw-Hill Cos. Inc. 3 243
Meredith Corp. 1 42
New York Times Co. 3 129
Time Warner Inc. (b) 82 1,474
Tribune Co. 6 292
Univision Communications Inc. (b) 6 232
Viacom Inc. - Class B 32 1,407
Walt Disney Co. 37 865
7,166
Metal Fabrication & Hardware - 0.0%
Worthington Industries 2 28
Mining - 0.6%
Alcoa Inc. 16 596
Freeport-McMoRan Copper & Gold Inc. 3 139
Newmont Mining Corp. 8 381
Phelps Dodge Corp. (b) 2 118
1,234
Office & Business Equipment - 0.2%
Pitney Bowes Inc. 4 172
Xerox Corp. (b) 14 198
370
Oil & Gas Producers - 5.1%
Amerada Hess Corp. 2 87
Anadarko Petroleum Corp. 5 232
Apache Corp. 3 238
Burlington Resources Inc. 3 193
ChevronTexaco Corp. 19 1,673
ConocoPhillips 12 809
Devon Energy Corp. 4 241
EOG Resources Inc. 2 96
Exxon Mobil Corp. 120 4,910
Kerr-McGee Corp. 2 84
Marathon Oil Corp. 6 186
Nabors Industries Ltd. (b) 3 110
Noble Corp. (b) 2 87
Occidental Petroleum Corp. 7 295
Rowan Cos. Inc. (b) 2 40
Sunoco Inc. 1 72
Transocean Inc. (b) 6 139
Unocal Corp. 5 173
9,665
Oil & Gas Services - 0.6%
Baker Hughes Inc. 6 195
BJ Services Co. (b) 3 103
Halliburton Co. 8 207
Schlumberger Ltd. 11 580
1,085
Packaging & Containers - 0.1%
Ball Corp. 1 56
Bemis Co. 1 45
Pactiv Corp. (b) 3 68
Sealed Air Corp. (b) 2 83
252
Pharmaceuticals - 7.1%
Abbott Laboratories 28 1,320
Allergan Inc. 2 182
AmerisourceBergen Corp. 2 114
Bristol-Myers Squibb Co. 35 1,005
Cardinal Health Inc. 8 480
Eli Lilly & Co. 20 1,431
Express Scripts Inc. - Class A (b) 1 95
Forest Laboratories Inc. (b) 7 409
King Pharmaceuticals Inc. (b) 4 67
Medco Health Solutions Inc. (b) 5 166
Merck & Co. Inc. 40 1,863
Pfizer Inc. 138 4,885
Schering-Plough Corp. 27 463
Watson Pharmaceuticals Inc. (b) 2 90
Wyeth 24 1,024
13,594
Pipelines - 0.2%
Dynegy Inc. - Class A (b) 7 30
El Paso Corp. 11 90
Kinder Morgan Inc. 2 132
Williams Cos. Inc. 9 92
344
Real Estate - 0.4%
Apartment Investment & Management Co. 2 59
Equity Office Properties Trust 7 207
Equity Residential 5 147
ProLogis 3 105
Simon Property Group Inc. 3 161
679
Retail - 6.8%
Autonation Inc. (b) 5 92
Autozone Inc. (b) 2 136
Bed Bath & Beyond Inc. (b) 5 233
Best Buy Co. Inc. 6 306
Big Lots Inc. (b) 2 31
Circuit City Stores Inc. - Circuit City Group 4 38
Costco Wholesale Corp. (b) 8 308
CVS Corp. 7 258
Darden Restaurants Inc. 3 63
Dillard's Inc. - Class A 2 25
Dollar General Corp. 6 128
Family Dollar Stores Inc. 3 112
Federated Department Stores Inc. 3 151
Gap Inc. 16 377
Home Depot Inc. 41 1,463
J.C. Penney Co. Inc. 5 130
Kohl's Corp. (b) 6 277
Limited Brands Inc. 9 169
Lowe's Cos. Inc. 14 789
May Department Stores Co. 5 152
McDonald's Corp. 23 571
Nordstrom Inc. 2 84
Office Depot Inc. (b) 6 95
RadioShack Corp. 3 91
Sears Roebuck & Co. 5 209
Staples Inc. (b) 9 245
Starbucks Corp. (b) 7 234
Target Corp. 17 634
Tiffany & Co. 3 120
TJX Cos. Inc. 9 201
Toys "R" Us Inc. (b) 4 49
Walgreen Co. 19 676
Wal-Mart Stores Inc. 78 4,160
Wendy's International Inc. 2 81
Yum! Brands Inc. (b) 5 183
12,871
Savings & Loans - 0.5%
Golden West Financial Corp. 3 284
Washington Mutual Inc. 16 654
938
Semiconductors - 4.2%
Advanced Micro Devices Inc. (b) 6 94
Altera Corp. (b) 7 156
Analog Devices Inc. (b) 7 304
Applied Materials Inc. (b) 30 677
Applied Micro Circuits Corp. (b) 6 33
Broadcom Corp. (b) 5 187
Intel Corp. 118 3,811
KLA-Tencor Corp. (b) 4 207
Linear Technology Corp. 6 238
LSI Logic Corp. (b) 7 61
Maxim Integrated Products Inc. 6 297
Micron Technology Inc. (b) 11 149
National Semiconductor Corp. (b) 3 129
Novellus Systems Inc. (b) 3 115
Nvidia Corp. (b) 3 68
PMC - Sierra Inc. (b) 3 63
QLogic Corp. (b) 2 88
Teradyne Inc. (b) 3 88
Texas Instruments Inc. 31 921
Xilinx Inc. (b) 6 240
7,926
Software - 5.1%
Adobe Systems Inc. 4 166
Autodesk Inc. 2 52
Automatic Data Processing Inc. 11 427
BMC Software Inc. (b) 4 76
Citrix Systems Inc. (b) 3 63
Computer Associates International Inc. 10 287
Compuware Corp. (b) 7 42
Electronic Arts Inc. (b) 5 258
First Data Corp. 13 543
Fiserv Inc. (b) 4 139
IMS Health Inc. 4 108
Intuit Inc. (b) 4 190
Mercury Interactive Corp. (b) 2 79
Microsoft Corp. 196 5,395
Novell Inc. (b) 7 71
Oracle Corp. (b) 95 1,250
Parametric Technology Corp. (b) 5 19
PeopleSoft Inc. (b) 7 155
Siebel Systems Inc. (b) 9 125
Veritas Software Corp. (b) 8 288
9,733
Telecommunications - 2.8%
Alltel Corp. 6 263
AT&T Corp. 14 291
BellSouth Corp. 33 948
CenturyTel Inc. 3 85
Citizens Communications Co. (b) 5 64
Qwest Communications International Inc. (b) 32 138
SBC Communications Inc. 60 1,564
Sprint Corp. - FON Group 16 269
Verizon Communications Inc. 50 1,755
5,377
Telecommunications Equipment - 2.1%
ADC Telecommunications Inc. (b) 15 43
Andrew Corp. (b) 3 32
Avaya Inc. (b) 8 98
CIENA Corp. (b) 9 57
Cisco Systems Inc. (b) 125 3,038
Comverse Technology Inc. (b) 3 60
Corning Inc. (b) 24 251
JDS Uniphase Corp. (b) 26 95
Lucent Technologies Inc. (b) 76 216
Scientific-Atlanta Inc. 3 75
Tellabs Inc. (b) 8 64
4,029
Textiles - 0.1%
Cintas Corp. 3 155
Tobacco - 1.2%
Altria Group Inc. 37 2,003
RJ Reynolds Tobacco Holdings Inc. 2 89
UST Inc. 3 104
2,196
Toys & Hobbies - 0.1%
Hasbro Inc. 3 67
Mattel Inc. 8 150
217
Transportation - 1.5%
Burlington Northern Santa Fe Corp. 7 218
CSX Corp. 4 139
FedEx Corp. 5 365
Norfolk Southern Corp. 7 167
Ryder System Inc. 1 38
Union Pacific Corp. 5 321
United Parcel Service Inc. 20 1,519
2,767
Wireless Telecommunications - 1.3%
AT&T Wireless Services Inc. (b) 49 393
Motorola Inc. 42 594
Nextel Communications Inc. (b) 20 559
Qualcomm Inc. 14 782
Sprint Corp. - PCS Group (b) 19 105
2,433
Total Common Stocks (cost $166,794) 186,278
Short Term Investments - 1.8%
Money Market Funds - 1.3%
Reich & Tang Institutional Money Market Portfolio -
Class B, 0.957% (a) 335 335
Reich & Tang Institutional U.S. Treasury Portfolio -
Class B, 0.744% (a) 2,070 2,070
2,405
U.S. Treasury Bills - 0.5%
U.S. Treasury Bill, 0.895%, 03/11/04 (l) 1,000 998
Total Short Term Investments (cost $3,403) 3,403
Total Investments - 99.7% (cost $170,197) 189,681
Other Assets and Liabilities, Net - 0.3% 657
Total Net Assets - 100% 190,338
JNL/Curian Small Cap Index Fund
Common Stocks - 93.2%
Advertising - 0.3%
Advo Inc. 2 75
Catalina Marketing Corp. (b) 3 61
Grey Global Group Inc. - 40
R.H. Donnelley Corp. (b) 2 63
ValueVision Media Inc. - Class A (b) 2 26
265
Aerospace & Defense - 1.1%
AAR Corp. (b) 2 36
Armor Holdings Inc. (b) 2 42
Curtiss-Wright Corp. 1 60
DRS Technologies Inc. (b) 2 54
Ducommun Inc. (b) 1 16
EDO Corp. 1 28
Engineered Support Systems Inc. 1 77
Esterline Technologies Corp. (b) 2 43
GenCorp Inc. 2 25
Heico Corp. 1 21
Herley Industries Inc. (b) 1 19
Kaman Corp. - Class A 2 24
Moog Inc. - Class A (b) 1 58
MTC Technologies Inc. (b) - 15
Orbital Sciences Corp. (b) 4 48
Sequa Corp. - Class A (b) - 14
Teledyne Technologies Inc. (b) 3 49
Titan Corp. (b) 6 139
Triumph Group Inc. (b) 1 41
United Industrial Corp. 1 15
824
Agriculture - 0.2%
Alico Inc. - 14
Delta & Pine Land Co. 3 76
Maui Land & Pineapple Co. Inc. (b) - 7
Tejon Ranch Co. (b) 1 21
118
Airlines - 0.9%
Airtran Holdings Inc. (b) 6 73
Alaska Air Group Inc. (b) 2 52
America West Holdings Corp. - Class B (b) 3 32
AMR Corp. (b) 13 165
Atlantic Coast Airlines Holdings Inc. (b) 3 34
Continental Airlines Inc. (b) 5 86
ExpressJet Holdings Inc. (b) 3 39
Frontier Airlines Inc. (b) 3 39
Mair Holdings Inc. (b) 1 7
Mesa Air Group Inc. (b) 2 28
Midwest Express Holdings Inc. (b) 1 4
Northwest Airlines Corp. (b) 5 62
SkyWest Inc. 5 84
705
Alternative Energy - 0.1%
FuelCell Energy Inc. (b) 3 37
Headwaters Inc. (b) 2 45
KFX Inc. (b) 2 13
Plug Power Inc. (b) 3 18
113
Apparel - 0.9%
Cherokee Inc. 1 11
DHB Industries Inc. (b) 2 14
Guess Inc. (b) 1 8
Gymboree Corp. (b) 2 42
Kellwood Co. 2 85
K-Swiss Inc. - Class A 2 49
Maxwell Shoe Co. Inc. - Class A (b) 1 18
Oshkosh B'Gosh Inc. - Class A 1 15
Oxford Industries Inc. 1 35
Perry Ellis International Inc. (b) - 8
Phillips-Van Heusen 2 38
Quiksilver Inc. (b) 4 77
Russell Corp. 2 38
Skechers U.S.A. Inc. - Class A (b) 1 10
Steven Madden Ltd. (b) 1 15
Stride Rite Corp. 3 29
Unifi Inc. (b) 4 25
Vans Inc. (b) 2 19
Warnaco Group Inc. (b) 3 46
Weyco Group Inc. - 5
Wolverine World Wide Inc. 3 63
650
Auto Manufacturers - 0.3%
ASV Inc. (b) 1 25
Oshkosh Truck Corp. 2 122
Wabash National Corp. (b) 2 65
212
Auto Parts & Equipment - 0.8%
Aftermarket Technology Corp. (b) 1 14
Bandag Inc. 1 35
Collins & Aikman Corp. (b) 4 16
Cooper Tire & Rubber Co. 5 110
Dura Automotive Systems Inc. (b) 1 16
Goodyear Tire & Rubber Co. (b) 12 95
Keystone Automotive Industries Inc. (b) 1 22
Modine Manufacturing Co. 2 51
Raytech Corp. (b) 2 7
Spartan Motors Inc. - 4
Sports Resorts International Inc. (b) 1 4
Standard Motor Products Inc. - 3
Strattec Security Corp. (b) - 15
Superior Industries International Inc. 2 74
Tenneco Automotive Inc. (b) 3 21
Tower Automotive Inc. (b) 4 28
Visteon Corp. 10 104
619
Banks - 7.8%
1st Source Corp. 1 20
ABC Bancorp. 1 10
Alabama National Bancorp. 1 39
Allegiant Bancorp. Inc. 1 28
Amcore Financial Inc. 2 55
American National Bankshares Inc. - 10
AmericanWest Bancorp. (b) 1 21
Arrow Financial Corp. 1 23
Banc Corp. (b) 1 7
Bancfirst Corp. - 21
BancTrust Financial Group Inc. 1 13
Bank of Granite Corp. 1 22
Bank of the Ozarks Inc. 1 19
Banner Corp. 1 20
Boston Private Financial Holdings Inc. 2 42
Bryn Mawr Bank Corp. 1 15
BSB Bancorp. Inc. 1 25
C&F Financial Corp. - 10
Camden National Corp. 1 24
Capital City Bank Group Inc. 1 36
Capital Corp. of the West (b) - 18
Capitol Bancorp. Ltd. 1 26
Cascade Bancorp. 1 23
Cathay Bancorp. Inc. 2 94
Cavalry Bancorp Inc. - 5
CB Bancshares Inc. - 25
CCBT Financial Cos. Inc. 1 23
Center Bancorp Inc. - 8
Central Coast Bancorp. (b) - 5
Central Pacific Financial Corp. 1 37
Century Bancorp Inc. - Class A - 13
Chemical Financial Corp. 2 70
Chittenden Corp. 3 99
Citizens Banking Corp. 4 120
City Bank Lynnwood 1 20
City Holding Co. 1 45
CNB Financial Corp. - 7
CoBiz Inc. 1 16
Columbia Bancorp. 1 27
Columbia Banking Systems Inc. 1 22
Community Bank - 9
Community Bank System Inc. 1 46
Community Banks Inc. 1 27
Community First Bankshares Inc. 3 91
Community Trust Bancorp. Inc. 1 34
Corus Bankshares Inc. 1 37
CVB Financial Corp. 3 59
East-West Bancorp. Inc. 2 105
Farmers Capital Bank Corp. - 14
Financial Institutions Inc. 1 17
First Bancorp. 1 23
First Busey Corp. - Class A 1 23
First Charter Corp. 3 49
First Citizens BancShares Inc. - Class A 1 63
First Commonwealth Financial Corp. 5 70
First Community Bancorp. 1 38
First Community Bancshares Inc. 1 27
First Financial Bancorp. 3 42
First Financial Bankshares Inc. 1 46
First Financial Corp. 1 36
First Indiana Corp. 1 21
First M&F Corp. - 6
First Merchants Corp. 2 40
First National Corp. 1 18
First Oak Brook Bancshares Inc. 1 16
First of Long Island Corp. - 15
First Republic Bank 1 29
First South Bancorp. Inc. - 5
First State Bancorp. - 17
First United Corp. - 4
Firstbank Corp. - 9
FNB Corp. - 13
Franklin Financial Corp. - 6
Fremont General Corp. 5 84
Frontier Financial Corp. 1 36
German American Bancorp. 1 10
Glacier Bancorp. Inc. 1 46
Gold Bancorp. Inc. 3 42
Great Southern Bancorp. Inc. - 19
Greater Bay Bancorp. 4 123
Hancock Holding Co. 1 63
Hanmi Financial Corp. 1 13
Harleysville National Corp. 2 57
Heartland Financial USA Inc. 1 16
Heritage Commerce Corp. (b) 1 14
Humboldt Bancorp. 1 17
IBERIABANK Corp. 1 34
IBT Bancorp. Inc. - 16
Independent Bank Corp. 1 32
Independent Bank Corp. - MI 1 41
Integra Bank Corp. 1 22
Interchange Financial Services Corp. 1 27
Irwin Financial Corp. 1 40
Lakeland Bancorp. Inc. 1 16
Lakeland Financial Corp. - 11
LNB Bancorp. Inc. - 5
Local Financial Corp. (b) 2 31
LSB Bancshares Inc. 1 13
Macatawa Bank Corp. 1 19
Main Street Banks Inc. 1 33
MainSource Financial Group Inc. - 8
MB Financial Corp. 1 52
MBT Financial Corp. - 8
Mercantile Bank Corp. 1 23
Merchants Bancshares Inc. - 5
Mid-State Bancshares 2 44
Midwest Banc Holdings Inc. 1 20
Nara Bancorp Inc. 1 21
National Bankshares Inc. - 8
National Penn Bancshares Inc. 2 58
NBC Capital Corp. 1 14
NBT Bancorp. Inc. 3 55
Old Second Bancorp. Inc. - 23
Omega Financial Corp. 1 29
Oriental Financial Group Inc. 1 28
PAB Bankshares Inc. 1 8
Pacific Capital Bancorp. 3 108
Pacific Union Bank - 9
Peapack Gladstone Financial Corp. 1 20
Pennrock Financial Services Corp. 1 22
Penns Woods Bancorp. Inc. - 16
Peoples Bancorp. Inc. 1 29
Peoples Holding Co. 1 24
PrivateBancorp Inc. 1 24
Prosperity Bancshares Inc. 1 25
Provident Bankshares Corp. 2 57
R&G Financial Corp. - Class B 2 62
Republic Bancorp. Inc. 5 63
Republic Bancorp. Inc. - Class A 1 15
Republic Bancshares Inc. 1 24
Resource Bankshares Corp. - 8
Riggs National Corp. 1 23
Royal Bancshares of Pennsylvania - Class A - 9
S&T Bancorp. Inc. 2 66
S.Y. Bancorp. Inc. 1 17
Sandy Spring Bancorp. Inc. 1 45
Santander BanCorp. 1 13
Seacoast Banking Corp. 1 15
Second Bancorp. Inc. 1 17
Sierra Bancorp. - 7
Silicon Valley Bancshares (b) 2 89
Simmons First National Corp. - Class A 1 37
South Financial Group Inc. 4 122
Southern Financial Bancorp. Inc. - 20
Southside Bancshares Inc. 1 12
Southwest Bancorp. Inc. 1 19
Southwest Bancorp. of Texas Inc. 2 94
State Bancorp. Inc. 1 15
State Financial Services Corp. - 7
Sterling Bancorp. - NYS 1 29
Sterling Bancshares Inc. 3 40
Sterling Financial Corp. 2 43
Suffolk Bancorp. 1 35
Summit Bancshares Inc. 1 17
Sun Bancorp. Inc. (b) 1 15
Sun Bancorp. Inc. 1 13
Susquehanna Bancshares Inc. 3 83
Taylor Capital Group Inc. - 8
Texas Regional Bancshares Inc. - Class A 2 74
Tompkins Trustco Inc. 1 27
Trico Bancshares 1 16
Trust Co. of New Jersey 2 60
TrustCo Bancorp. 6 84
UCBH Holdings Inc. 4 139
UMB Financial Corp. 1 60
Umpqua Holdings Corp. 2 47
Union Bankshares Corp. 1 23
United Community Banks Inc. 1 48
United National Bancorp. 1 46
Unizan Financial Corp. 2 37
USB Holding Co. Inc. 1 22
Virginia Financial Group Inc. - 16
W Holding Co. Inc. 6 107
Washington Trust Bancorp. Inc. 1 30
Wayne Bancorp. Inc. - 9
WesBanco Inc. 1 39
West Bancorp. 1 16
West Coast Bancorp. 1 31
Wintrust Financial Corp. 2 69
Yardville National Bancorp. 1 16
5,934
Beverages - 0.1%
Boston Beer Co. Inc. - Class A (b) 1 14
Coca-Cola Bottling Co. Consolidated - 14
Farmer Bros. Co. - 12
Green Mountain Coffee Roasters Inc. (b) - 8
National Beverage Corp. (b) - 6
Peet's Coffee & Tea Inc. (b) 1 13
Robert Mondavi Corp. - Class A (b) 1 26
93
Biotechnology - 1.9%
Aclara BioSciences Inc. (b) 2 7
Aksys Ltd. (b) 3 23
Alexion Pharmaceuticals Inc. (b) 2 29
Aphton Corp. (b) 2 10
Applera Corp. - Celera Genomics Group (b) 6 79
Arena Pharmaceuticals Inc. (b) 2 10
Ariad Pharmaceuticals Inc. (b) 3 25
Avant Immunotherapeutics Inc. (b) 4 11
Cambrex Corp. 2 39
Cell Genesys Inc. (b) 3 37
Ciphergen Biosystems Inc. (b) 2 25
CryoLife Inc. (b) 1 7
CuraGen Corp. (b) 4 28
Decode Genetics Inc. (b) 3 28
Digene Corp. (b) 1 45
Diversa Corp. (b) 2 18
Embrex Inc. (b) - 4
Encysive Pharmaceuticals Inc. (b) 4 32
Enzo Biochem Inc. (b) 2 30
Enzon Pharmaceuticals Inc. (b) 4 44
Exact Sciences Corp. (b) 1 9
Exelixis Inc. (b) 4 26
Gene Logic Inc. (b) 2 11
Genencor International Inc. (b) 1 12
Geron Corp. (b) 3 25
Harvard Bioscience Inc. (b) 1 5
Immunogen Inc. (b) 3 15
Immunomedics Inc. (b) 3 13
Incyte Corp. (b) 6 44
Integra LifeSciences Holdings Corp. (b) 1 42
InterMune Inc. (b) 2 48
Interpore International (b) 1 16
Kosan Biosciences Inc. (b) 2 16
Lexicon Genetics Inc. (b) 3 18
Martek Biosciences Corp. (b) 2 118
Maxygen Inc. (b) 2 23
Myriad Genetics Inc. (b) 2 31
Nektar Therapeutics Inc. (b) 4 52
Neose Technologies Inc. (b) 1 11
Peregrine Pharmaceuticals Inc. (b) 8 18
Praecis Pharmaceuticals Inc. (b) 4 26
Regeneration Technologies Inc. (b) 2 24
Regeneron Pharmaceuticals Inc. (b) 3 43
Repligen Corp. (b) 3 14
Savient Pharmaceuticals Inc. (b) 4 20
Seattle Genetics Inc. (b) 2 18
Serologicals Corp. (b) 2 33
SuperGen Inc. (b) 3 32
Telik Inc. (b) 3 59
Third Wave Technologies Inc. (b) 3 14
Transkaryotic Therapies Inc. (b) 2 39
Vertex Pharmaceuticals Inc. (b) 6 62
Vical Inc. (b) 1 4
1,472
Building Materials - 0.9%
Aaon Inc. (b) 1 15
Apogee Enterprises Inc. 2 21
Centex Construction Products Inc. 1 30
Drew Industries Inc. (b) 1 15
ElkCorp. 2 46
Genlyte Group Inc. (b) 1 54
Lennox International Inc. 3 57
LSI Industries Inc. 1 19
NCI Building Systems Inc. (b) 2 39
Simpson Manufacturing Co. Inc. (b) 1 60
Texas Industries Inc. 2 66
Trex Co. Inc. (b) 1 21
Universal Forest Products Inc. 1 36
US Concrete Inc. (b) 1 6
USG Corp. (b) 3 50
York International Corp. 3 119
654
Chemicals - 2.1%
A. Schulman Inc. 2 52
Aceto Corp. 1 22
Albemarle Corp. 3 76
Arch Chemicals Inc. 2 41
Cabot Microelectronics Corp. (b) 1 73
Crompton Corp. 9 67
Ethyl Corp. (b) 1 30
Ferro Corp. 3 76
FMC Corp. (b) 3 95
Georgia Gulf Corp. 2 63
Great Lakes Chemical Corp. 3 76
HB Fuller Co. 2 68
Hercules Inc. (b) 7 87
IMC Global Inc. 8 84
Kronos Worldwide Inc. (b) - 8
MacDermid Inc. 2 73
Millennium Chemicals Inc. 5 64
Minerals Technologies Inc. 1 82
NL Industries 1 8
Octel Corp. 1 13
Olin Corp. 4 86
OM Group Inc. (b) 2 57
Omnova Solutions Inc. (b) 3 15
Penford Corp. - 4
PolyOne Corp. (b) 8 48
Quaker Chemical Corp. 1 19
Sensient Technologies Corp. 3 62
Solutia Inc. (b) 8 3
Spartech Corp. 2 46
Stepan Co. - 10
Symyx Technologies Inc. (b) 2 36
Valhi Inc. 2 35
W.R. Grace & Co. (b) 5 13
Wellman Inc. 2 24
1,616
Commercial Services - 3.8%
Aaron Rents Inc. 2 41
ABM Industries Inc. 3 48
Administaff Inc. (b) 1 25
Advisory Board Co. (b) 1 30
Albany Molecular Research Inc. (b) 2 31
Alderwoods Group Inc. (b) 3 27
AMN Healthcare Services Inc. (b) 1 16
Arbitron Inc. (b) 2 99
Bankrate Inc. (b) - 4
Banta Corp. 2 73
Bowne & Co. Inc. 3 38
Bright Horizons Family Solutions Inc. (b) 1 38
CDI Corp. 1 31
Central Parking Corp. 2 26
Century Business Services Inc. (b) 6 28
Charles River Associates Inc. (b) 1 23
Clark Inc. (b) 1 24
Coinstar Inc. (b) 2 36
Consolidated Graphics Inc. (b) 1 30
Cornell Cos. Inc. (b) 1 14
Corrections Corp. of America (b) 3 79
Corvel Corp. (b) - 17
CoStar Group Inc. (b) 1 42
CPI Corp. - 9
Cross Country Healthcare Inc. (b) 2 26
Dollar Thrifty Automotive Group (b) 2 47
Electro Rent Corp. (b) 2 20
Euronet Worldwide Inc. (b) 1 22
Exult Inc. (b) 2 17
First Consulting Group Inc. (b) 2 11
Forrester Research Inc. (b) 1 22
FTI Consulting Inc. (b) 3 77
Gartner Inc. (b) 5 60
Gevity HR Inc. 1 23
Healthcare Services Group 1 15
Heidrick & Struggles International Inc. (b) 1 27
Hooper Holmes Inc. 5 31
Hudson Highland Group Inc. (b) 1 15
ICT Group Inc. (b) - 6
Insurance Auto Auctions Inc. (b) 1 7
Integrated Electrical Services Inc. (b) 3 28
iPayment Holdings Inc. (b) 1 19
Kelly Services Inc. - Class A 1 35
Korn/Ferry International (b) 3 37
Kroll Inc. (b) 3 75
Labor Ready Inc. (b) 3 45
Landauer Inc. 1 24
Learning Tree International Inc. (b) 1 16
Mail-Well Inc. (b) 3 12
MAXIMUS Inc. (b) 1 52
McGrath Rentcorp. 1 16
Medical Staffing Network Holdings Inc. (b) 1 11
MedQuist Inc. (b) 1 12
Memberworks Inc. (b) 1 20
Midas Inc. (b) 1 16
Monro Muffler Brake Inc. (b) 1 14
MPS Group Inc. (b) 7 69
National Processing Inc. (b) 1 17
Navigant Consulting Inc. (b) 3 62
NCO Group Inc. (b) 2 36
Parexel International Corp. (b) 2 34
PDI Inc. (b) 1 15
Plexus Corp. (b) 3 54
Pre-Paid Legal Services Inc. (b) 1 36
PRG-Schultz International Inc. (b) 3 15
Princeton Review Inc. (b) 1 10
Proxymed Inc. (b) - 9
Quanta Services Inc. (b) 6 43
Rent-Way Inc. (b) 2 19
Resources Connection Inc. (b) 2 45
Rewards Network Inc. (b) 2 18
Right Management Consultants Inc. (b) 2 29
Rollins Inc. 2 39
Roto-Rooter Inc. 1 31
SFBC International Inc. (b) - 12
SM&A Inc. (b) 1 14
Sotheby's Holdings Inc. - Class A (b) 4 48
Source Interlink Cos. Inc. (b) 1 9
SOURCECORP Inc. (b) 1 32
Spherion Corp. (b) 5 45
Startek Inc. 1 33
Stewart Enterprises Inc. - Class A (b) 9 49
Strayer Education Inc. 1 92
Sylvan Learning Systems Inc. (b) 3 79
TeleTech Holdings Inc. (b) 3 31
United Rentals Inc. (b) 4 81
Volt Information Sciences Inc. (b) 1 15
Wackenhut Corrections Corp. (b) 1 20
Watson Wyatt & Co. Holdings (b) 2 60
Wireless Facilities Inc. (b) 2 33
2,921
Computers - 2.9%
3D Systems Corp. (b) - 2
ActivCard Corp. (b) 3 25
Advanced Digital Information Corp. (b) 5 69
Agilysys Inc. 2 23
Ansoft Corp. (b) 1 8
Anteon International Corp. (b) 2 56
CACI International Inc. - Class A (b) 2 113
CapitalSource Inc. (b) 1 5
Catapult Communications Corp. (b) 1 8
Ciber Inc. (b) 4 34
Compucom Systems Inc. (b) 1 7
Computer Horizons Corp. (b) 2 10
Cray Inc. (b) 5 56
Cyberguard Corp. (b) 1 7
Digimarc Corp. (b) 1 9
Dot Hill Systems Corp. (b) 3 42
Drexler Technology Corp. (b) 1 9
Echelon Corp. (b) 3 28
Electronics for Imaging Inc. (b) 4 91
EMC Corp. (b) 8 99
Gateway Inc. (b) 17 79
Hutchinson Technology Inc. (b) 2 56
iGate Capital Corp. (b) 2 14
InFocus Corp. (b) 3 26
Inforte Corp. (b) 1 8
Integral Systems Inc. (b) 1 17
Intergraph Corp. (b) 3 78
InterVoice Inc. (b) 3 37
Iomega Corp. (b) 5 29
Komag Inc. (b) 2 30
Kronos Inc. (b) 2 93
Lexar Media Inc. (b) 5 85
Magma Design Automation Inc. (b) 2 43
Manhattan Associates Inc. (b) 2 50
Mentor Graphics Corp. (b) 5 78
Mercury Computer Systems Inc. (b) 2 46
Micros Systems Inc. (b) 1 58
MTS Systems Corp. 2 33
Nassda Corp. (b) 1 7
Neoware Systems Inc. (b) 1 19
Netscout Systems Inc. (b) 2 14
Nuance Communications Inc. (b) 1 8
NYFIX Inc. (b) 2 16
Overland Storage Inc. (b) 1 14
PalmOne Inc. (b) 3 33
Pec Solutions Inc. (b) 1 10
Perot Systems Corp. (b) 6 78
Pomeroy Computer Resources (b) 1 13
Quantum Corp. (b) 11 35
Radiant Systems Inc. (b) 1 10
RadiSys Corp. (b) 2 28
Rainbow Technologies Inc. (b) 2 20
Sigma Designs Inc. (b) 1 10
Silicon Graphics Inc. (b) 12 17
Silicon Storage Technology Inc. (b) 6 70
SRA International Inc. - Class A (b) 1 31
Stratasys Inc. (b) 1 22
SYKES Enterprises Inc. (b) 2 15
Synaptics Inc. (b) 1 22
Synplicity Inc. (b) 1 11
Syntel Inc. 1 14
Systems & Computer Technology Corp. (b) 3 44
Talx Corp. 1 24
Tier Technologies Inc. - Class B (b) 1 11
Tyler Technologies Inc. (b) 3 29
2,185
Cosmetics & Personal Care - 0.1%
Chattem Inc. (b) 1 24
DEL Laboratories Inc. (b) 1 14
Elizabeth Arden Inc. (b) 1 26
64
Distribution & Wholesale - 0.7%
Advanced Marketing Services Inc. 1 13
Aviall Inc. (b) 2 37
Building Material Holding Corp. 1 13
Central European Distribution Corp. (b) 1 19
Handleman Co. 2 36
Hughes Supply Inc. 2 92
Owens & Minor Inc. 3 56
ScanSource Inc. (b) 1 44
SCP Pool Corp. (b) 2 76
United Stationers Inc. (b) 2 101
Watsco Inc. 2 38
WESCO International Inc. (b) 1 11
536
Diversified Financial Services - 1.2%
Accredited Home Lenders Holding Co. (b) 1 23
Advanta Corp. - Class B 2 21
Affiliated Managers Group Inc. (b) 2 119
Bay View Capital Corp. 5 10
Charter Municipal Mortgage Acceptance Co. 3 69
CompuCredit Corp. (b) 1 26
Credit Acceptance Corp. (b) 1 19
eSPEED Inc. (b) 2 46
Federal Agricultural Mortgage Corp. - Class C (b) 1 20
Financial Federal Corp. (b) 1 37
First Albany Cos. Inc. 1 8
Gabelli Asset Management Inc. - Class A - 18
Investment Technology Group Inc. (b) 4 61
Knight Trading Group Inc. (b) 6 85
Metris Cos. Inc. 2 11
New Century Financial Corp. 2 91
Portfolio Recovery Associates Inc. (b) 1 25
Sanders Morris Harris Group Inc. 1 16
Saxon Capital Inc. (b) 2 46
SoundView Technology Group Inc. (b) 1 20
SWS Group Inc. 1 23
United PanAm Financial Corp. (b) - 7
West Corp. 1 41
WFS Financial Inc. (b) 1 40
World Acceptance Corp. (b) 1 25
907
Electric - 1.5%
Allegheny Energy Inc. (b) 10 130
Avista Corp. 4 68
Black Hills Corp. 2 74
Central Vermont Public Service Corp. 1 26
CH Energy Group Inc. 1 55
Cleco Corp. 4 64
CMS Energy Corp. (b) 11 93
El Paso Electric Co. (b) 4 54
Empire District Electric Co. 2 42
Idacorp Inc. 3 92
MGE Energy Inc. 1 46
Otter Tail Corp. 2 52
PNM Resources Inc. 3 89
Sierra Pacific Resources (b) 9 68
UIL Holdings Corp. 1 44
Unisource Energy Corp. 2 59
Westar Energy Inc. 5 111
1,167
Electrical Components & Equipment - 0.8%
Advanced Energy Industries Inc. (b) 1 37
Artesyn Technologies Inc. (b) 3 22
Belden Inc. 2 40
C&D Technologies Inc. 2 35
Encore Wire Corp. (b) 1 17
Energy Conversion Devices Inc. (b) 1 11
General Cable Corp. (b) 3 21
GrafTech International Ltd. (b) 7 91
Intermagnetics General Corp. (b) 1 28
Littelfuse Inc. (b) 2 48
Magnetek Inc. (b) 1 5
Medis Technologies Ltd. (b) 1 10
Powell Industries Inc. (b) 1 10
Power-One Inc. (b) 5 55
Rayovac Corp. (b) 3 60
Research Frontiers Inc. (b) 1 11
Superconductor Technologies (b) 4 22
Universal Display Corp. (b) 1 17
Valence Technology Inc. (b) 5 18
Vicor Corp. (b) 2 20
Wilson Greatbatch Technologies Inc. (b) 2 67
645
Electronics - 2.7%
Analogic Corp. 1 24
BEI Technologies Inc. 1 19
Bel Fuse Inc. - Class B 1 28
Benchmark Electronics Inc. (b) 3 103
Brady Corp. - Class A 2 61
Checkpoint Systems Inc. (b) 3 50
Coherent Inc. (b) 2 55
CTS Corp. 3 30
Cubic Corp. 1 32
Cymer Inc. (b) 3 129
Daktronics Inc. (b) 1 30
Dionex Corp. (b) 1 61
Electro Scientific Industries Inc. (b) 2 51
Excel Technology Inc. (b) 1 28
Fargo Electronics Inc. (b) 1 12
FEI Co. (b) 2 46
Flir Systems Inc. (b) 3 94
Identix Inc. (b) 7 31
Ii-Vi Inc. (b) 1 26
Innovex Inc. (b) 1 12
Invision Technologies Inc. (b) 1 49
Itron Inc. (b) 2 28
Keithley Instruments Inc. 1 19
Kemet Corp. (b) 7 94
LeCroy Corp. (b) 1 9
Manufacturers Services Ltd. (b) 2 9
Merix Corp. (b) - 4
Methode Electronics Inc. 3 31
Metrologic Instruments Inc. (b) 1 20
Molecular Devices Corp. (b) 1 24
OSI Systems Inc. (b) 1 18
Park Electrochemical Corp. 1 38
Paxar Corp. (b) 3 34
Pemstar Inc. (b) 2 5
Photon Dynamics Inc. (b) 1 52
Planar Systems Inc. (b) 1 29
Rofin-Sinar Technologies Inc. (b) 1 32
Rogers Corp. (b) 1 56
SAFLINK Corp. (b) 2 5
SBS Technologies Inc. (b) 1 21
Sonic Solutions Inc. (b) 1 22
Stoneridge Inc. (b) 1 15
Sypris Solutions Inc. - 6
Technitrol Inc. (b) 3 66
Thomas & Betts Corp. 3 77
Trimble Navigation Ltd. (b) 3 93
TTM Technologies Inc. (b) 2 29
Varian Inc. (b) 2 97
Watts Industries Inc. 1 21
Woodhead Industries Inc. 1 14
Woodward Governor Co. 1 43
X-Rite Inc. 2 22
Zygo Corp. (b) 1 24
2,028
Engineering & Construction - 0.5%
Dycom Industries Inc. (b) 4 103
EMCOR Group Inc. (b) 1 50
Granite Construction Inc. 3 60
Insituform Technologies Inc. (b) 2 33
Perini Corp. (b) 2 14
URS Corp. (b) 1 34
Washington Group International Inc. (b) 2 64
358
Entertainment - 0.9%
Alliance Gaming Corp. (b) 4 97
AMC Entertainment Inc. (b) 3 38
Argosy Gaming Co. (b) 2 52
Carmike Cinemas Inc. (b) - 4
Championship Auto Racing Teams Inc. (b) 1 -
Churchill Downs Inc. - 15
Dover Downs Gaming & Entertainment Inc. 1 10
Dover Motorsports Inc. 2 5
Gaylord Entertainment Co. (b) 1 32
Isle of Capri Casinos Inc. (b) 1 28
Macrovision Corp. (b) 3 73
Magna Entertainment Corp. (b) 3 14
Penn National Gaming Inc. (b) 2 55
Pinnacle Entertainment Inc. (b) 2 17
Scientific Games Corp. - Class A (b) 4 65
Shuffle Master Inc. (b) 1 46
Six Flags Inc. (b) 7 53
Speedway Motorsports Inc. 1 35
Steinway Musical Instruments (b) - 9
Vail Resorts Inc. (b) 2 28
676
Environmental Control - 0.5%
BHA Group Holdings Inc. - 8
Calgon Carbon Corp. 3 20
Casella Waste Systems Inc. (b) 1 14
Clean Harbors Inc. (b) - 4
Duratek Inc. (b) 1 10
Gundle/Slt Environmental Inc. (b) - 8
Ionics Inc. (b) 1 47
Mine Safety Appliances Co. - 37
Tetra Tech Inc. (b) 4 100
TRC Cos. Inc. (b) 1 19
Waste Connections Inc. (b) 2 89
356
Food - 1.1%
American Italian Pasta Co. (b) 1 53
Arden Group Inc. - Class A - 5
Chiquita Brands International Inc. (b) 3 61
Corn Products International Inc. 3 100
Flowers Foods Inc. 2 64
Great Atlantic & Pacific Tea Co. Inc. (b) 2 14
Hain Celestial Group Inc. (b) 2 44
Horizon Organic Holding Corp. (b) 1 13
Ingles Markets Inc. - Class A - 5
International Multifoods Corp. (b) 1 25
Interstate Bakeries 4 50
J&J Snack Foods Corp. (b) - 17
John B. Sanfilippo & Son (b) 1 26
Lance Inc. 2 34
M&F Worldwide Corp. (b) 1 11
Monterey Pasta Co. (b) 1 4
Nash Finch Co. 1 18
Pathmark Stores Inc. (b) 2 15
Pilgrims Pride Corp. - Class B 1 21
Ralcorp Holdings Inc. (b) 2 71
Riviana Foods Inc. 1 17
Ruddick Corp. 3 46
Sanderson Farms Inc. 1 22
Seaboard Corp. - 8
United Natural Foods Inc. (b) 2 55
Weis Markets Inc. 1 34
Wild Oats Markets Inc. (b) 2 25
858
Forest Products & Paper - 0.7%
Buckeye Technologies Inc. (b) 2 22
Caraustar Industries Inc. (b) 2 34
Deltic Timber Corp. 1 21
Longview Fibre Co. 4 52
Louisiana-Pacific Corp. (b) 8 151
P.H. Glatfelter Co. 2 29
Pope & Talbot Inc. 2 27
Potlatch Corp. 2 73
Rock-Tenn Co. - Class A 2 32
Schweitzer-Mauduit International Inc. 1 32
Wausau-Mosinee Paper Corp. 3 41
514
Gas - 0.9%
Atmos Energy Corp. 4 93
Cascade Natural Gas Corp. 1 23
Chesapeake Utilities Corp. - 8
Energen Corp. 3 122
EnergySouth Inc. - 14
Laclede Group Inc. 1 40
New Jersey Resources Corp. 2 82
Northwest Natural Gas Co. 2 59
NUI Corp. 1 24
SEMCO Energy Inc. 2 11
South Jersey Industries Inc. 1 39
Southern Union Co. (b) 5 83
Southwest Gas Corp. 2 55
653
Hand & Machine Tools - 0.4%
Baldor Electric Co. 2 55
Franklin Electric Co. Inc. 1 35
Kennametal Inc. 3 107
Lincoln Electric Holdings Inc. 3 64
Milacron Inc. 4 15
Regal-Beloit Corp. 2 46
Starrett (L.S.) Co. - Class A - 7
329
Healthcare - 5.9%
Advanced Medical Optics Inc. (b) 2 46
Advanced Neuromodulation Systems Inc. (b) 1 66
Alaris Medical Inc. (b) 2 24
Align Technology Inc. (b) 4 58
Alliance Imaging Inc. (b) - 1
American Healthways Inc. (b) 2 52
American Medical Security Group Inc. (b) 1 24
American Medical Systems Holdings Inc. (b) 2 34
AMERIGROUP Corp. (b) 2 80
Amsurg Corp. (b) 1 53
Arrow International Inc. 2 44
Arthrocare Corp. (b) 1 35
Aspect Medical Systems Inc. (b) 1 8
Beverly Enterprises Inc. (b) 7 63
Biolase Technology Inc. (b) 1 24
Bioreliance Corp. (b) 1 25
Biosite Inc. (b) 1 28
Bruker BioSciences Corp. (b) 2 8
Candela Corp. (b) 1 13
Cantel Medical Corp. (b) 1 9
Cardiac Science Inc. (b) 4 17
Cardiodynamics International Corp. (b) 3 18
Centene Corp. (b) 1 41
Cepheid Inc. (b) 3 25
Cerus Corp. (b) 1 3
Cholestech Corp. (b) 1 8
Chronimed Inc. (b) 1 13
Closure Medical Corp. (b) - 15
Columbia Laboratories Inc. (b) 2 14
Conceptus Inc. (b) 2 18
CONMED Corp. (b) 2 59
Cooper Cos. Inc. 2 117
Covance Inc. (b) 5 132
CTI Molecular Imaging Inc. (b) 2 34
Curative Health Services Inc. (b) 1 12
Cyberonics Inc. (b) 2 52
Cytyc Corp. (b) 9 124
Dade Behring Holdings Inc. (b) 3 111
Datascope Corp. 1 33
Diagnostic Products Corp. 2 73
DJ Orthopedics Inc. (b) 1 17
Dynacq Healthcare Inc. (b) - 3
Epix Medical Inc. (b) 1 17
Exactech Inc. (b) - 7
Genesis HealthCare Corp. (b) 1 21
Gen-Probe Inc. (b) 4 138
Gentiva Health Services Inc. (b) 2 24
Haemonetics Corp. (b) 1 27
Hanger Orthopedic Group Inc. (b) 2 24
Hologic Inc. (b) 1 25
ICU Medical Inc. (b) 1 32
Igen International Inc. (b) 1 85
Immucor Inc. (b) 2 31
Inamed Corp. (b) 2 104
Intuitive Surgical Inc. (b) 2 29
Invacare Corp. 2 82
Inveresk Research Group Inc. (b) 2 59
Inverness Medical Innovations Inc. (b) 1 18
I-Stat Corp. (b) 1 19
Kensey Nash Corp. (b) 1 14
Kindred Healthcare Inc. (b) 1 50
Kyphon Inc. (b) 2 39
LabOne Inc. (b) 1 22
Laserscope (b) 1 19
Lifecore Biomedical Inc. (b) 1 5
Lifeline Systems Inc. (b) 1 13
LifePoint Hospitals Inc. (b) 3 86
Luminex Corp. (b) 2 20
Matria Healthcare Inc. (b) 1 20
Medical Action Industries Inc. (b) 1 16
Mentor Corp. 3 77
Meridian Bioscience Inc. 1 12
Merit Medical Systems Inc. (b) 2 39
Micro Therapeutics Inc. (b) 1 3
National Healthcare Corp. (b) 1 13
Novoste Corp. (b) 1 4
Oakley Inc. 2 25
Ocular Sciences Inc. (b) 2 45
Odyssey HealthCare Inc. (b) 3 74
Option Care Inc. (b) 1 10
OraSure Technologies Inc. (b) 3 26
Orthodontic Centers of America Inc. (b) 4 30
Orthologic Corp. (b) 3 18
Osteotech Inc. (b) 1 12
Palatin Technologies Inc. (b) 3 9
Pediatrix Medical Group Inc. (b) 2 102
PolyMedica Corp. 1 38
Possis Medical Inc. (b) 1 25
Prime Medical Services Inc. (b) 1 4
Province Healthcare Co. (b) 4 61
PSS World Medical Inc. (b) 6 67
Quest Diagnostics Inc. - 1
Quidel Corp. (b) 2 24
Radiologix Inc. (b) 1 2
RehabCare Group Inc. (b) 1 24
Retractable Technologies Inc. (b) 1 5
Select Medical Corp. 4 62
Sierra Health Services Inc. (b) 2 54
Sola International Inc. (b) 2 38
SonoSite Inc. (b) 1 28
Specialty Laboratories Inc. (b) 1 14
Staar Surgical Co. (b) 1 16
Sunrise Senior Living Inc. (b) 1 49
SurModics Inc. (b) 1 24
Sybron Dental Specialties Inc. (b) 3 84
Synovis Life Technologies Inc. (b) 1 19
Techne Corp. (b) 3 119
Therasense Inc. (b) 2 39
Thoratec Corp. (b) 4 49
TriPath Imaging Inc. (b) 2 15
United Surgical Partners International Inc. (b) 1 48
Urologix Inc. (b) - 3
US Oncology Inc. (b) 6 63
US Physical Therapy Inc. (b) 1 13
Ventana Medical Systems Inc. (b) 1 40
Viasys Healthcare Inc. (b) 2 49
VistaCare Inc. - Class A (b) 1 35
VISX Inc. (b) 3 71
Vital Images Inc. (b) 1 13
Vital Signs Inc. - 14
WellPoint Health Networks Inc. (b) - 10
West Pharmaceutical Services Inc. 1 30
Wright Medical Group Inc. (b) 1 41
Young Innovations Inc. - 16
Zoll Medical Corp. (b) 1 21
4,507
Holding Companies - Diversified - 0.1%
Resource America Inc. - Class A 1 15
Walter Industries Inc. 2 28
43
Home Builders - 0.9%
Beazer Homes USA Inc. 1 103
Brookfield Homes Corp. 1 34
Champion Enterprises Inc. (b) 4 31
Coachmen Industries Inc. 1 19
Dominion Homes Inc. (b) - 10
Fleetwood Enterprises Inc. (b) 3 31
M/I Schottenstein Homes Inc. 1 29
Meritage Corp. (b) 1 49
Modtech Holdings Inc. (b) 1 6
Monaco Coach Corp. (b) 2 50
Palm Harbor Homes Inc. (b) 1 24
Skyline Corp. - 16
Standard-Pacific Corp. 3 126
Technical Olympic USA Inc. (b) - 7
WCI Communities Inc. (b) 1 26
William Lyon Homes Inc. (b) - 22
Winnebago Industries 1 72
655
Home Furnishings - 0.2%
American Woodmark Corp. - 25
Applica Inc. (b) 2 13
Bassett Furniture Industries Inc. 1 17
Bush Industries Inc. - Class A (b) 1 4
Emerson Radio Corp. (b) 1 3
Hooker Furniture Corp. - 12
Kimball International Inc. - Class B 2 25
Parkervision Inc. (b) 1 5
Salton Inc. (b) - 3
Stanley Furniture Co. Inc. - 13
Tivo Inc. (b) 3 23
Universal Electronics Inc. (b) 1 14
157
Household Products - 1.0%
American Greetings Corp. - Class A (b) 5 108
Central Garden & Pet Co. (b) 1 39
CSS Industries Inc. - 15
Ennis Business Forms 2 25
Fossil Inc. (b) 2 54
Jarden Corp. (b) 2 55
John H. Harland Co. 2 60
Libbey Inc. 1 30
National Presto Industries Inc. - 13
New England Business Service Inc. 1 22
Oneida Ltd. 1 3
Playtex Products Inc. (b) 2 19
Russ Berrie & Co. Inc. 1 22
Standard Register Co. 1 18
Toro Co. 2 91
Tupperware Corp. 4 72
WD-40 Co. 1 51
Yankee Candle Co. Inc. (b) 2 67
764
Insurance - 2.2%
21st Century Insurance Group 2 23
Alfa Corp. 3 32
Allmerica Financial Corp. (b) 4 132
American Physicians Capital Inc. (b) 1 18
AmerUs Group Co. 3 114
Argonaut Group Inc. (b) 2 29
Baldwin & Lyons Inc. 1 16
Citizens Inc. (b) 3 25
CNA Surety Corp. (b) 1 11
Commerce Group Inc. 2 78
Crawford & Co. - Class B 2 12
Delphi Financial Group Inc. - Class A 2 73
Enstar Group Inc. (b) - 16
FBL Financial Group Inc. - Class A 1 22
Financial Industries Corp. 1 8
Great American Financial Resources Inc. 1 10
Harleysville Group Inc. 3 50
Hilb Rogal & Hamilton Co. 3 82
Horace Mann Educators Corp. 3 45
Independence Holding Co. - 7
Infinity Property & Casualty Corp. 1 30
Kansas City Life Insurance Co. - 13
LandAmerica Financial Group Inc. 2 79
Midland Co. 1 13
National Western Life Insurance Co. - Class A (b) - 25
Navigators Group Inc. (b) - 14
NYMAGIC Inc. - 7
Ohio Casualty Corp. (b) 4 78
Penn-America Group Inc. 1 12
Philadelphia Consolidated Holding Co. (b) 1 62
Phoenix Cos. Inc. 7 90
PMA Capital Corp. 2 8
Presidential Life Corp. 1 20
ProAssurance Corp. (b) 2 63
RLI Corp. 2 56
Safety Insurance Group Inc. 1 14
Selective Insurance Group 2 70
State Auto Financial Corp. 1 18
Stewart Information Services Corp. 1 56
Triad Guaranty Inc. (b) 1 33
UICI (b) 3 40
United Fire & Casualty Co. 1 21
Universal American Financial Corp. (b) 2 21
USI Holdings Corp. (b) 2 21
Zenith National Insurance Corp. 1 22
1,689
Internet - 3.3%
1-800 Contacts Inc. (b) 1 10
1-800-FLOWERS.COM Inc. (b) 2 18
Agile Software Corp. (b) 4 38
Akamai Technologies Inc. (b) 8 91
Alloy Inc. (b) 2 13
Aquantive Inc. (b) 4 37
Ariba Inc. (b) 21 64
AsiaInfo Holdings Inc. (b) 2 15
Ask Jeeves Inc. (b) 3 51
At Road Inc. (b) 3 33
Autobytel Inc. (b) 3 25
BroadVision Inc. (b) 3 11
Centillium Communications Inc. (b) 2 13
CMGI Inc. (b) 29 52
CNET Networks Inc. (b) 8 55
Digital Insight Corp. (b) 2 59
Digital River Inc. (b) 2 48
Digitalthink Inc. (b) 4 11
Digitas Inc. (b) 2 15
drugstore.com Inc. (b) 2 13
E.piphany Inc. (b) 4 32
Earthlink Inc. (b) 9 94
eCollege.com Inc. (b) 1 16
E-Loan Inc. (b) 4 12
Entrust Inc. (b) 3 14
eResearch Technology Inc. (b) 2 54
F5 Networks Inc. (b) 2 47
FindWhat.com (b) 1 17
Freemarkets Inc. (b) 3 17
FTD Inc. (b) - 7
GSI Commerce Inc. (b) 2 16
Harris Interactive Inc. (b) 4 31
Infospace Inc. (b) 2 47
Interland Inc. (b) 1 7
Internet Security Systems Inc. (b) 3 57
Interwoven Inc. (b) 2 24
J2 Global Communications Inc. (b) 1 35
Kana Software Inc. (b) 1 5
Keynote Systems Inc. (b) 1 16
Lionbridge Technologies Inc. (b) 3 25
LookSmart Ltd. (b) 6 9
Marketwatch.com Inc. (b) 1 6
Matrixone Inc. (b) 4 22
Neoforma Inc. (b) 1 6
Net2Phone Inc. (b) 3 18
NetBank Inc. 4 53
Netegrity Inc. (b) 2 21
NetFlix Inc. (b) 1 47
Netratings Inc. (b) 1 10
NIC Inc. (b) 2 18
Openwave Systems Inc. (b) 5 53
Opsware Inc. (b) 4 30
Overstock.com Inc. (b) 1 14
PC-Tel Inc. (b) 2 17
Portal Software Inc. (b) 2 15
Priceline.com Inc. (b) 2 33
ProQuest Co. (b) 2 55
QRS Corp. (b) 1 6
Raindance Communications Inc. (b) 4 10
Register.com (b) 2 12
RSA Security Inc. (b) 4 53
S1 Corp. (b) 5 44
Safeguard Scientifics Inc. (b) 10 42
Sapient Corp. (b) 6 33
Secure Computing Corp. (b) 3 51
Seebeyond Technology Corp. (b) 3 14
Sohu.com Inc. (b) 1 44
SonicWALL Inc. (b) 5 35
Stamps.com Inc. (b) 3 16
Stellent Inc. (b) 2 17
SupportSoft Inc. (b) 2 25
TheStreet.com Inc. (b) 1 5
TIBCO Software Inc. (b) 7 46
Trizetto Group Inc. (b) 3 20
United Online Inc. (b) 3 58
Valueclick Inc. (b) 5 49
Verity Inc. (b) 2 25
Verso Technologies Inc. (b) 9 29
Vignette Corp. (b) 16 36
Vitria Technology Inc. (b) 2 12
WatchGuard Technologies Inc. (b) 3 16
WebEx Communications Inc. (b) 2 43
webMethods Inc. (b) 4 34
Websense Inc. (b) 2 50
2,497
Investment Companies - 0.1%
Gladstone Capital Corp. 1 18
MCG Capital Corp. 2 44
Medallion Financial Corp. 2 15
77
Iron & Steel - 0.6%
AK Steel Holding Corp. (b) 7 35
Allegheny Technologies Inc. 7 92
Carpenter Technology Corp. 2 46
Cleveland-Cliffs Inc. (b) 1 34
Gibraltar Steel Corp. 1 19
Material Sciences Corp. (b) - 4
Reliance Steel & Aluminum Co. 2 66
Roanoke Electric Steel Corp. 1 8
Ryerson Tull Inc. 2 19
Schnitzer Steel Industries Inc. - Class A 1 44
Steel Dynamics Inc. (b) 3 73
440
Leisure Time - 0.6%
Ambassadors Group Inc. - 10
Ambassadors Internaitonal Inc. - 6
Arctic Cat Inc. 1 32
Bally Total Fitness Holding Corp. (b) 2 15
Callaway Golf Co. 5 87
Escalade Inc. (b) - 3
K2 Inc. (b) 2 33
Marine Products Corp. 1 11
Multimedia Games Inc. (b) 1 34
Nautilus Group Inc. 2 33
Navigant International Inc. (b) 1 18
Pegasus Solutions Inc. (b) 2 24
Thor Industries Inc. 1 80
WMS Industries Inc. (b) 2 44
430
Lodging - 0.6%
Ameristar Casinos Inc. (b) 1 19
Aztar Corp. (b) 2 49
Boca Resorts Inc. - Class A (b) 2 34
Boyd Gaming Corp. 3 44
Choice Hotels International Inc. (b) 2 56
Extended Stay America Inc. 6 82
La Quinta Corp. (b) 11 71
Marcus Corp. 1 24
MTR Gaming Group Inc. (b) 2 18
Prime Hospitality Corp. (b) 3 28
425
Machinery - 1.8%
Alamo Group Inc. - 6
Albany International Corp. 2 71
Applied Industrial Technologies Inc. 1 35
Astec Industries Inc. (b) 1 15
Briggs & Stratton Corp. 2 120
Cascade Corp. 1 19
Cognex Corp. 3 75
Flowserve Corp. (b) 4 78
Gardner Denver Inc. (b) 1 28
Gerber Scientific Inc. (b) 2 15
Global Power Equipment Group Inc. (b) 2 12
Gorman-Rupp Co. - 13
IDEX Corp. 2 92
JLG Industries Inc. 4 56
Joy Global Inc. 4 100
Kadant Inc. (b) 1 19
Lindsay Manufacturing Co. 1 28
Manitowoc Co. 2 71
NACCO Industries Inc. - Class A - 37
Nordson Corp. 2 72
Presstek Inc. (b) 2 16
Robbins & Myers Inc. 1 17
Sauer-Danfoss Inc. 1 15
Stewart & Stevenson Services Inc. 2 35
Tecumseh Products Co. 1 57
Tennant Co. 1 24
Terex Corp. (b) 3 99
Thomas Industries Inc. 1 29
UNOVA Inc. (b) 4 85
Wabtec Corp. 3 46
1,385
Manufacturing - 1.6%
Actuant Corp. - Class A (b) 2 60
Acuity Brands Inc. 3 84
Ameron International Corp. 1 17
AO Smith Corp. 1 49
Applied Films Corp. (b) 1 37
Barnes Group Inc. 1 34
Brink's Co. 4 96
Ceradyne Inc. (b) 1 24
Clarcor Inc. 2 88
Concord Camera Corp. (b) 2 17
Cuno Inc. (b) 1 50
EnPro Industries Inc. (b) 2 22
ESCO Technologies Inc. (b) 1 43
Federal Signal Corp. 4 64
Griffon Corp. (b) 2 41
Hexcel Corp. (b) 2 13
Jacuzzi Brands Inc. (b) 6 42
Lydall Inc. (b) 1 12
Matthews International Corp. - Class A 2 68
Myers Industries Inc. 2 18
Quixote Corp. 1 15
Raven Industries Inc. 1 16
Roper Industries Inc. 2 107
Standex International Corp. 1 23
Sturm Ruger & Co. Inc. 2 21
Tredegar Corp. 3 39
Trinity Industries Inc. 3 87
1,187
Media - 1.3%
4Kids Entertainment Inc. (b) 1 28
Acme Communications Inc. (b) 1 10
Beasley Broadcasting Group Inc. - Class A (b) - 3
Charter Communications Inc. (b) 21 83
Courier Corp. 1 22
Crown Media Holdings Inc. (b) 1 11
Cumulus Media Inc. - Class A (b) 3 73
Emmis Communications Corp. (b) 3 94
Fisher Communications Inc. (b) - 23
Gray Television Inc. 3 43
Gray Television Inc. - Class A 1 9
Hollinger International Inc. 3 54
Information Holdings Inc. (b) 1 20
Insight Communications Co. Inc. (b) 4 38
Journal Register Co. (b) 3 55
Liberty Corp. 1 59
Lin TV Corp. - Class A (b) 2 52
Lodgenet Entertainment Corp. (b) 1 20
Martha Stewart Living Omnimedia Inc. (b) 1 10
Mediacom Communications Corp. (b) 4 37
Paxson Communications Corp. (b) 2 8
Pegasus Communications Corp. (b) - 3
Playboy Enterprises Inc. - Class B (b) 1 19
PRIMEDIA Inc. (b) 11 32
Pulitzer Inc. - 18
Regent Communications Inc. (b) 3 21
Saga Communications Inc. (b) 1 19
Salem Communications Corp. - Class A (b) 1 17
Sinclair Broadcast Group Inc. - Class A (b) 3 48
Spanish Broadcasting System Inc. (b) 3 31
Thomas Nelson Inc. 1 17
World Wrestling Entertainment Inc. 1 17
Young Broadcasting Inc. (b) 1 21
1,015
Metal Fabrication & Hardware - 0.6%
A.M. Castle & Co. (b) 1 8
CIRCOR International Inc. 1 18
Commercial Metals Co. 2 61
Intermet Corp. 1 7
Kaydon Corp. 2 57
Lawson Products Inc. - 12
Mueller Industries Inc. (b) 3 93
NN Inc. 1 14
NS Group Inc. (b) 1 10
Penn Engineering & Manufacturing Corp. 1 18
Quanex Corp. 1 59
Shaw Group Inc. (b) 5 63
Valmont Industries Inc. 1 27
447
Mining - 0.8%
Amcol International Corp. 2 33
Arch Coal Inc. 4 116
Brush Engineered Materials Inc. (b) 1 19
Century Aluminum Co. (b) 1 24
Coeur D'alene Mines Corp. (b) 16 94
Hecla Mining Co. (b) 9 73
Liquidmetal Technologies Inc. (b) 1 3
Massey Energy Co. 5 102
Royal Gold Inc. 1 26
RTI International Metals Inc. (b) 1 25
Stillwater Mining Co. (b) 4 37
USEC Inc. 7 57
Westmoreland Coal Co. (b) - 6
615
Office & Business Equipment - 0.1%
General Binding Corp. (b) 1 12
Global Imaging Systems Inc. (b) 1 41
Imagistics International Inc. (b) 1 45
98
Office Furnishings - 0.0%
Interface Inc. (b) 3 17
Virco Manufacturing Corp. 1 4
21
Oil & Gas Producers - 2.4%
Atwood Oceanics Inc. (b) 1 19
Berry Petroleum Co. - Class A 1 29
Cabot Oil & Gas Corp. 2 59
Cimarex Energy Co. (b) 3 89
Clayton Williams Energy Inc. (b) - 12
Comstock Resources Inc. (b) 2 43
Denbury Resources Inc. (b) 3 41
Encore Acquisition Co. (b) 1 17
Energy Partners Ltd. (b) 2 27
Evergreen Resources Inc. (b) 3 104
Forest Oil Corp. (b) 4 101
Frontier Oil Corp. 2 37
Grey Wolf Inc. (b) 14 51
Harvest Natural Resources Inc. (b) 3 33
Holly Corp. 1 22
Houston Exploration Co. (b) 1 41
KCS Energy Inc. (b) 3 28
Magnum Hunter Resources Inc. (b) 6 56
McMoRan Exploration Co. (b) 1 20
Meridian Resource Corp. (b) 3 15
Nuevo Energy Co. (b) 1 35
Parker Drilling Co. (b) 7 19
Patina Oil & Gas Corp. 2 121
Penn Virginia Corp. 1 32
Petrocorp Inc. (b) - 7
Petroleum Development Corp. (b) 1 27
Plains Exploration & Production Co. (b) 3 49
Prima Energy Corp. (b) 1 25
Quicksilver Resources Inc. (b) 1 30
Range Resources Corp. (b) 5 43
Remington Oil & Gas Corp. (b) 2 32
Southwestern Energy Co. (b) 3 70
Spinnaker Exploration Co. (b) 2 64
St. Mary Land & Exploration Co. 2 62
Stone Energy Corp. (b) 2 77
Swift Energy Co. (b) 2 38
Tesoro Petroleum Corp. (b) 5 69
Tom Brown Inc. (b) 3 94
Unit Corp. (b) 3 68
Vintage Petroleum Inc. 4 49
1,855
Oil & Gas Services - 1.0%
CAL Dive International Inc. (b) 3 67
CARBO Ceramics Inc. 1 46
Dril-Quip Inc. (b) 1 9
Global Industries Ltd. (b) 7 34
Gulf Island Fabrication Inc. (b) - 6
Hanover Compressor Co. (b) 4 48
Horizon Offshore Inc. (b) 2 9
Hydril Co. (b) 1 30
Input/Output Inc. (b) 3 15
Lone Star Technologies Inc. (b) 2 34
Lufkin Industries Inc. - 12
Matrix Service Co. (b) 1 24
Maverick Tube Corp. (b) 3 64
Newpark Resources Inc. (b) 5 24
Oceaneering International Inc. (b) 2 53
Oil States International Inc. (b) 2 25
RPC Inc. 1 9
Seacor Smit Inc. (b) 1 59
Superior Energy Services Inc. (b) 4 39
Tetra Technologies Inc. (b) 1 36
Universal Compression Holdings Inc. (b) 1 39
Veritas DGC Inc. (b) 2 23
W-H Energy Services Inc. (b) 2 31
736
Packaging & Containers - 0.3%
AEP Industries Inc. (b) 1 7
Chesapeake Corp. 1 32
Crown Holdings Inc. (b) 13 119
Graphic Packaging Corp. (b) 1 4
Greif Inc. - Class A 1 38
Silgan Holdings Inc. (b) 1 41
241
Pharmaceuticals - 3.8%
aaiPharma Inc. (b) 1 26
Abgenix Inc. (b) 7 87
Able Laboratories Inc. (b) 1 25
Accredo Health Inc. (b) 4 121
Adolor Corp. (b) 3 52
Alkermes Inc. (b) 5 68
Alpharma Inc. 3 61
Alteon Inc. (b) 2 3
Antigenics Inc. (b) 2 19
Atherogenics Inc. (b) 3 46
Atrix Labs Inc. (b) 2 42
AVI BioPharma Inc. (b) 1 4
Bentley Pharmaceuticals Inc. (b) 1 12
BioMarin Pharmaceuticals Inc. (b) 5 42
Biopure Corp. (b) 2 5
Bone Care International Inc. (b) 1 9
Bradley Pharmaceuticals Inc. (b) 1 17
Cell Therapeutics Inc. (b) 2 21
Cima Labs Inc. (b) 1 39
Collagenex Pharmaceuticals Inc. (b) 1 12
Connetics Corp. (b) 2 42
Corixa Corp. (b) 4 25
Cubist Pharmaceuticals Inc. (b) 3 35
CV Therapeutics Inc. (b) 2 35
D&K Healthcare Resources Inc. 1 13
Dendreon Corp. (b) 1 5
Discovery Laboratories Inc. (b) 3 34
Dov Pharmaceutical Inc. (b) 1 12
Durect Corp. (b) 1 4
Esperion Therapeutics Inc. (b) 3 92
First Horizon Pharmaceutical Corp. (b) 1 16
Genta Inc. (b) 4 41
Guilford Pharmaceuticals Inc. (b) 2 13
HealthExtras Inc. (b) 1 19
Hi-Tech Pharmacal Co. Inc. (b) - 9
Hollis-Eden Pharmaceuticals Inc. (b) 1 11
Ilex Oncology Inc. (b) 3 63
Impax Laboratories Inc. (b) 2 34
Indevus Pharmaceuticals Inc. (b) 4 22
Inspire Pharmaceuticals Inc. (b) 2 35
Isis Pharmaceuticals Inc. (b) 4 26
Kos Pharmaceuticals Inc. (b) 1 38
KV Pharmaceutical Co. - Class A (b) 2 56
La Jolla Pharmaceutical Co. (b) 3 15
Lannett Co. Inc. (b) 1 12
Ligand Pharmaceuticals Inc. - Class B (b) 4 66
Medarex Inc. (b) 6 36
Medicines Co. (b) 3 96
MGI Pharma Inc. (b) 2 98
MIM Corp. (b) 2 11
Nabi Biopharmaceuticals (b) 4 49
Nature's Sunshine Products Inc. 1 5
NBTY Inc. (b) 4 110
NeighborCare Inc. (b) 2 37
Neopharm Inc. (b) 1 23
Neurogen Corp. (b) - 4
Noven Pharmaceuticals Inc. (b) 2 24
NPS Pharmaceuticals Inc. (b) 2 70
Onyx Pharmaceuticals Inc. (b) 2 63
OSI Pharmaceuticals Inc. (b) 3 99
Pain Therapeutics Inc. (b) 2 11
Penwest Pharmaceuticals Co. (b) 1 25
Perrigo Co. 5 74
Pharmacopeia Inc. (b) 2 26
Pozen Inc. (b) 2 17
Priority Healthcare Corp. (b) 3 66
Progenics Pharmaceuticals Inc. (b) 1 16
Salix Pharmaceuticals Ltd. (b) 1 30
Sciclone Pharmaceuticals Inc. (b) 3 23
Star Scientific Inc. (b) 1 2
Tanox Inc. (b) 2 31
Theragenics Corp. (b) 3 17
Trimeris Inc. (b) 1 21
Tularik Inc. (b) 4 59
United Therapeutics Corp. (b) 1 32
Usana Health Sciences Inc. (b) 1 21
VCA Antech Inc. (b) 2 75
Vicuron Pharmaceuticals Inc. (b) 4 66
Virbac Corp. (b) 1 4
Vivus Inc. (b) 4 15
Zymogenetics Inc. (b) 1 16
2,856
Pipelines - 0.1%
Aquila Inc. (b) 15 49
Plains Resources Inc. (b) 1 22
Transmontaigne Inc. (b) 1 7
78
Real Estate - 5.2%
Acadia Realty Trust 1 16
Alexander's Inc. (b) - 16
Alexandria Real Estate Equities Inc. 2 87
American Home Mortgage Investment Corp. 2 36
American Land Lease Inc. - 4
American Mortgage Acceptance Co. 1 14
AMLI Residential Properties 1 35
Anthracite Capital Inc. 4 42
Anworth Mortgage Asset Corp. 3 39
Associated Estates Realty 2 13
Avatar Holdings Inc. (b) - 15
Bedford Property Investors 1 34
Boykin Lodging Co. 1 11
Brandywine Realty Trust 2 52
Capital Automotive REIT 2 63
Capstead Mortgage Corp. 1 15
Colonial Properties Trust 1 57
Commercial Net Lease Realty 3 56
Consolidated-Tomoka Land Co. - 15
Cornerstone Realty Income Trust Inc. 4 31
Corporate Office Properties Trust 2 43
Correctional Properties Trust 1 29
CRIIMI MAE Inc. (b) 1 14
Eastgroup Properties Inc. 1 37
Entertainment Properties Trust 2 53
Equity Inns Inc. 4 33
Equity One Inc. 2 41
Essex Property Trust Inc. 2 100
FelCor Lodging Trust Inc. (b) 4 42
First Industrial Realty Trust Inc. 3 110
Gables Residential Trust 2 77
Getty Realty Corp. 1 37
Glenborough Realty Trust Inc. 1 25
Glimcher Realty Trust 2 54
Great Lakes Reit Inc. 1 12
Health Care REIT Inc. 4 152
Heritage Property Investment Trust 1 40
Highwoods Properties Inc. 5 115
Home Properties of NY Inc. 2 94
IMPAC Mortgage Holdings Inc. 4 73
Innkeepers USA Trust 2 16
Investors Real Estate Trust 3 33
Jones Lang LaSalle Inc. (b) 3 54
Keystone Property Trust 2 34
Kilroy Realty Corp. 2 66
Koger Equity Inc. 1 22
Kramont Realty Trust 1 23
LaSalle Hotel Properties 1 27
Lexington Corporate Properties Trust 3 53
LTC Properties Inc. 1 17
Manufactured Home Communities Inc. 1 45
Meristar Hospitality Corp. (b) 4 25
MFA Mortgage Investments Inc. 5 46
Mid-America Apartment Communities Inc. 1 48
Mission West Properties 1 15
National Health Investors Inc. 2 45
National Health Realty Inc. 1 13
Nationwide Health Properties Inc. 5 91
Newcastle Investment Corp. 2 53
Novastar Financial Inc. 2 70
Omega Healthcare Investors Inc. 2 15
Parkway Properties Inc. 1 24
Pennsylvania Real Estate Investment Trust 2 82
Post Properties Inc. 3 71
Prentiss Properties Trust 3 91
Price Legacy Corp. (b) 2 6
PS Business Parks Inc. 1 38
RAIT Investment Trust 2 44
Ramco-Gershenson Properties Trust 1 19
Reading International Inc. (b) 1 8
Reckson Associates Realty Corp. 4 97
Redwood Trust Inc. 1 56
Saul Centers Inc. 1 23
Senior Housing Properties Trust 3 60
Sizeler Property Investors Inc. 1 7
SL Green Realty Corp. 2 93
Sovran Self Storage Inc. 1 34
Summit Properties Inc. 2 47
Sun Communities Inc. 1 44
Tanger Factory Outlet Centers Inc. 1 27
Tarragon Realty Investors Inc. (b) - 7
Taubman Centers Inc. 4 75
Town & Country Trust 1 32
Trammell Crow Co. (b) 3 33
United Capital Corp. - 4
Universal Health Realty Income Trust 1 30
Urstadt Biddle Properties Inc. - Class A 2 28
US Restaurants Properties Inc. 2 32
Ventas Inc. 6 134
Washington Real Estate Investment Trust 3 86
Winston Hotels Inc. 1 14
3,989
Retail - 6.4%
7-Eleven Inc. (b) 2 30
AC Moore Arts & Crafts Inc. (b) 1 22
Aeropostale Inc. (b) 2 44
American Eagle Outfitters Inc. (b) 4 69
America's Car Mart Inc. (b) - 10
AnnTaylor Stores Corp. (b) 4 141
Asbury Automotive Group Inc. (b) 1 16
Bebe Stores Inc. (b) 1 13
Big 5 Sporting Goods Corp. (b) 1 24
BJ's Wholesale Club Inc. (b) 6 128
Blair Corp. 1 16
Blue Rhino Corp. (b) 1 16
Bob Evans Farms Inc. 3 86
Bombay Co. Inc. (b) 3 21
Brookstone Inc. (b) 1 24
Brown Shoe Co. Inc. 1 54
Buckle Inc. 1 16
Burlington Coat Factory Warehouse Corp. 2 33
California Pizza Kitchen Inc. (b) 1 24
Casey's General Stores Inc. 4 62
Cash America International Inc. 2 46
Casual Male Retail Group Inc. (b) 2 16
Cato Corp. - Class A 1 26
CEC Entertainment Inc. (b) 2 89
Charlotte Russe Holding Inc. (b) 1 13
Charming Shoppes Inc. (b) 9 46
Chicago Pizza & Brewery Inc. (b) 1 15
Children's Place Retail Stores Inc. (b) 1 25
Christopher & Banks Corp. 3 55
CKE Restaurants Inc. (b) 3 22
Coldwater Creek Inc. (b) 1 9
Cole National Corp. (b) 1 19
Copart Inc. (b) 5 90
Cost Plus Inc. (b) 2 68
CSK Auto Corp. (b) 3 52
Dave & Buster's Inc. (b) 1 15
DEB Shops Inc. - 7
Dick's Sporting Goods Inc. (b) 1 49
Dillard's Inc. - Class A 5 77
Dress Barn Inc. (b) 1 22
Duane Reade Inc. (b) 2 31
Electronics Boutique Holdings Corp. (b) 1 22
Factory 2-U Stores Inc. (b) - 1
Finish Line - Class A (b) 1 42
Finlay Enterprises Inc. (b) 1 9
Footstar Inc. (b) 2 6
Fred's Inc. 3 95
Friedman's Inc. - Class A 1 8
Galyan's Trading Co. Inc. (b) 1 9
GameStop Corp. (b) 2 29
Genesco Inc. (b) 2 29
Goody's Family Clothing Inc. 1 13
Group 1 Automotive Inc. (b) 1 50
Guitar Center Inc. (b) 1 33
Hancock Fabrics Inc. 1 20
Haverty Furniture Cos. Inc. 1 26
Hibbett Sporting Goods Inc. (b) 1 31
Hollywood Entertainment Corp. (b) 4 57
HOT Topic Inc. (b) 4 112
IHOP Corp. 2 62
Insight Enterprises Inc. (b) 4 68
Intertan Inc. (b) 2 16
J. Jill Group Inc. (b) 1 17
Jack in the Box Inc. (b) 3 59
Jo-Ann Stores Inc. (b) 1 28
Jos. A. Banks Clothiers Inc. (b) - 13
Kenneth Cole Productions Inc. - 11
Kirkland's Inc. (b) 1 14
Landry's Restaurants Inc. 2 43
Linens 'N Things Inc. (b) 4 105
Lithia Motors Inc. - Class A 1 29
Lone Star Steakhouse & Saloon Inc. 1 25
Longs Drug Stores Corp. 2 59
MarineMax Inc. (b) 1 11
Men's Wearhouse Inc. (b) 3 70
Mothers Work Inc. (b) - 8
Movado Group Inc. 1 18
Movie Gallery Inc. (b) 2 40
MSC Industrial Direct Co. Inc. - 5
Nu Skin Enterprises Inc. 2 42
O'Charleys Inc. (b) 2 32
Pacific Sunwear of California (b) 6 121
Panera Bread Co. - Class A (b) 2 88
Pantry Inc. (b) 1 12
Papa John's International Inc. (b) 1 35
Party City Corp. (b) 1 12
Payless Shoesource Inc. (b) 5 71
PC Connection Inc. (b) - 3
PEP Boys-Manny Moe & Jack 4 87
Petco Animal Supplies Inc. (b) 3 85
PF Chang's China Bistro Inc. (b) 2 103
Rare Hospitality International Inc. (b) 2 56
Red Robin Gourmet Burgers Inc. (b) 1 22
Restoration Hardware Inc. (b) 2 9
Rex Stores Corp. (b) 1 10
Ryan's Family Steak Houses Inc. (b) 3 51
School Specialty Inc. (b) 1 42
Select Comfort Corp. (b) 2 40
Sharper Image Corp. (b) 1 23
Shoe Carnival Inc. (b) - 8
ShopKo Stores Inc. (b) 2 35
Smart & Final Inc. (b) 1 8
Sonic Automotive Inc. 2 49
Sonic Corp. (b) 3 94
Stage Stores Inc. (b) 1 36
Steak N Shake Co. (b) 2 36
Stein Mart Inc. (b) 2 14
Summit America Television Inc. (b) 4 14
Systemax Inc. (b) 1 5
TBC Corp. (b) 1 36
The Sports Authority Inc. (b) 2 60
Too Inc. (b) 3 49
Tractor Supply Co. (b) 2 91
Trans World Entertainment Corp. (b) 1 6
Triarc Cos. 1 7
Triarc Cos. 2 25
Tuesday Morning Corp. (b) 1 37
Tweeter Home Entertainment Group Inc. (b) 2 16
Ultimate Electronics Inc. (b) 1 10
United Auto Group Inc. 1 43
Urban Outfitters Inc. (b) 2 74
West Marine Inc. (b) 1 25
Wet Seal Inc. (b) 2 16
Whitehall Jewellers Inc. (b) 1 11
Wilsons The Leather Experts Inc. (b) 1 4
World Fuel Services Corp. 1 28
Zale Corp. (b) 2 121
4,835
Savings & Loans - 2.7%
Anchor Bancorp. Inc. 2 43
Bank Mutual Corp. 3 34
BankAtlantic Bancorp. Inc. 3 65
BankUnited Financial Corp. - Class A (b) 2 59
Berkshire Hills Bancorp. Inc. 1 20
BostonFed Bancorp. Inc. - 5
Brookline Bancorp. Inc. 5 76
Camco Financial Corp. 1 14
CFS Bancorp. Inc. 1 11
Charter Financial Corp. - 13
Citizens First Bancorp. Inc. 1 14
Citizens South Banking Corp. - 7
Coastal Bancorp Inc. - 18
Coastal Financial Corp. 1 17
Commercial Capital Bancorp Inc. (b) 1 15
Commercial Federal Corp. 4 98
Connecticut Bancshares Inc. 1 46
Dime Community Bancshares Inc. 2 51
ESB Financial Corp. 1 13
EverTrust Financial Group Inc. - 14
Fidelity Bankshares Inc. 1 39
First Defiance Financial Corp. - 9
First Essex Bancorp. Inc. 1 29
First Federal Capital Corp. 1 33
First Financial Holdings Inc. 1 29
First Niagara Financial Group Inc. 6 88
First Place Financial Corp. 1 20
First Sentinel Bancorp. Inc. 2 36
FirstFed America Bancorp. Inc. 1 36
FirstFed Financial Corp. (b) 1 62
Flagstar Bancorp. Inc. 3 54
Florida First Bancorp Inc. - 9
Flushing Financial Corp. 1 20
GA Financial Inc. - 16
Harbor Florida Bancshares Inc. 2 51
Hawthorne Financial Corp. (b) 1 28
Heritage Financial Corp. - 6
Horizon Financial Corp. 1 18
Hudson River Bancorp. 1 49
Itla Capital Corp. (b) - 18
Klamath First Bancorp Inc. 1 14
MAF Bancorp. Inc. 2 94
MASSBANK Corp. - 15
MutualFirst Financial Inc. - 5
NASB Financial Inc. - 8
Northwest Bancorp. Inc. 1 19
OceanFirst Financial Corp. 1 15
Ocwen Financial Corp. (b) 3 26
Parkvale Financial Corp. - 9
Partners Trust Financial Group Inc. 1 19
Pennfed Financial Services Inc. - 7
PFF Bancorp. Inc. 1 39
Provident Bancorp. Inc. - 14
Provident Financial Holdings Inc. - 15
Provident Financial Services Inc. 4 77
Quaker City Bancorp. Inc. - 23
Seacoast Financial Services Corp. 2 56
Sound Federal Bancorp. Inc. 1 17
Staten Island Bancorp. Inc. 4 99
Sterling Financial Corp. (b) 1 39
TierOne Corp. (b) 2 43
Troy Financial Corp. - 15
United Community Financial Corp. 3 31
Warwick Community Bancorp Inc. - 7
Waypoint Financial Corp. 2 49
Westfield Financial Inc. - 9
Willow Grove Bancorp Inc. 1 16
WSFS Financial Corp. - 20
2,083
Semiconductors - 3.7%
Actel Corp. (b) 2 43
ADE Corp. (b) - 6
Alliance Semiconductor Corp. (b) 2 13
Artisan Components Inc. (b) 1 28
Asyst Technologies Inc. (b) 3 54
ATMI Inc. (b) 2 49
Axcelis Technologies Inc. (b) 8 80
Brooks Automation Inc. (b) 3 72
Ceva Inc. (b) 2 17
ChipPAC Inc. (b) 4 33
Cirrus Logic Inc. (b) 6 43
Cohu Inc. 2 35
Conexant Systems Inc. (b) 22 108
Credence Systems Corp. (b) 5 66
Diodes Inc. (b) 1 13
DSP Group Inc. (b) 2 57
Dupont Photomasks Inc. (b) 1 23
Entegris Inc. (b) 4 53
ESS Technology (b) 3 43
Exar Corp. (b) 3 52
Genesis Microchip Inc. (b) 3 48
GlobespanVirata Inc. (b) 8 50
Helix Technology Corp. 2 46
Integrated Silicon Solutions Inc. (b) 2 34
IXYS Corp. (b) 2 16
Kopin Corp. (b) 6 40
Kulicke & Soffa Industries Inc. (b) 4 57
Lattice Semiconductor Corp. (b) 8 77
LTX Corp. (b) 4 60
Mattson Technology Inc. (b) 2 26
Micrel Inc. (b) 4 70
Microsemi Corp. (b) 2 55
Mindspeed Technologies Inc. (b) 7 47
MKS Instruments Inc. (b) 2 59
Monolithic System Technology Inc. (b) 2 19
Mykrolis Corp. (b) 3 42
Omnivision Technologies Inc. (b) 2 105
ON Semiconductor Corp. (b) 2 13
Pericom Semiconductor Corp. (b) 2 20
Photronics Inc. (b) 2 46
Pixelworks Inc. (b) 3 32
PLX Technology Inc. (b) 1 5
Power Integrations Inc. (b) 2 69
Richardson Electronics Ltd. 1 7
Rudolph Technologies Inc. (b) 1 25
Semitool Inc. (b) 1 14
Semtech Corp. (b) 5 108
Silicon Image Inc. (b) 6 42
Siliconix Inc. (b) 1 24
Sipex Corp. (b) 2 17
Skyworks Solutions Inc. (b) 12 103
Standard Microsystems Corp. (b) 1 23
Supertex Inc. (b) 1 14
Three-Five Systems Inc. (b) 2 12
Transmeta Corp. (b) 9 30
Triquint Semiconductor Inc. (b) 11 75
Ultratech Inc. (b) 2 47
Varian Semiconductor Equipment Associates Inc. (b) 2 100
Veeco Instruments Inc. (b) 2 50
Virage Logic Corp. (b) 1 11
Vitesse Semiconductor Corp. (b) 17 97
White Electronic Designs Corp. (b) 1 13
Xicor Inc. (b) 2 21
Zoran Corp. (b) 3 57
2,814
Software - 4.0%
Activision Inc. (b) 7 128
Advent Software Inc. (b) 3 45
Allscripts Healthcare Solutions Inc. (b) 2 13
Altiris Inc. (b) 1 32
American Management Systems Inc. (b) 3 50
Ansys Inc. (b) 1 49
Ascential Software Corp. (b) 5 120
Aspen Technology Inc. (b) 3 29
Avid Technology Inc. (b) 2 115
Barra Inc. (b) 1 45
Borland Software Corp. (b) 6 54
CCC Information Services Group (b) 1 15
Cerner Corp. (b) 2 86
Computer Programs & Systems Inc. 1 11
Concord Communications Inc. (b) 1 29
Concur Technologies Inc. (b) 2 15
Concurrent Computer Corp. (b) 6 26
Convera Corp. (b) 1 4
CSG Systems International Inc. (b) 4 51
Datastream Systems Inc. (b) 1 8
Dendrite International Inc. (b) 3 39
Eclipsys Corp. (b) 3 37
eFunds Corp. (b) 4 63
Embarcadero Technologies Inc. (b) 1 18
Epicor Software Corp. (b) 3 38
EPIQ Systems Inc. (b) 1 17
FalconStor Software Inc. (b) 3 23
FILENET Corp. (b) 3 72
Group 1 Software Inc. (b) 1 11
Hyperion Solutions Corp. (b) 3 97
IDX Systems Corp. (b) 2 41
IMPAC Medical Systems Inc. (b) 1 15
Informatica Corp. (b) 5 52
infoUSA Inc. (b) 3 20
Intelidata Technologies Corp. (b) 1 2
InterCept Inc. (b) 1 16
Inter-Tel Inc. 2 41
JDA Software Group Inc. (b) 2 41
Keane Inc. (b) 4 59
Lawson Software Inc. (b) 4 31
Mantech International Corp. - Class A (b) 1 30
Manugistics Group Inc. (b) 5 33
MAPICS Inc. (b) 2 20
Micromuse Inc. (b) 5 34
MicroStrategy Inc. - Class A (b) 1 46
Midway Games Inc. (b) 2 7
Mobius Management Systems Inc. (b) 1 9
MRO Software Inc. (b) 1 20
MSC.Software Corp. (b) 2 19
NDCHealth Corp. 3 71
NETIQ Corp. (b) 4 56
Omnicell Inc. (b) 1 18
Onyx Software Corp. (b) - 1
Opnet Technologies Inc. (b) 1 14
Packeteer Inc. (b) 2 32
PalmSource Inc. (b) 1 19
Parametric Technology Corp. (b) 17 65
PDF Solutions Inc. (b) 1 15
Pegasystems Inc. (b) 1 8
Per-Se Technologies Inc. (b) 2 31
Phoenix Technologies Ltd. (b) 1 7
Pinnacle Systems Inc. (b) 4 36
Progress Software Corp. (b) 2 45
Pumatech Inc. (b) 3 12
QAD Inc. (b) 1 11
Quality Systems Inc. (b) - 12
Quest Software Inc. (b) 3 45
Renaissance Learning Inc. (b) 1 18
Retek Inc. (b) 4 40
Roxio Inc. (b) 3 13
Sanchez Computer Associates Inc. (b) 1 2
ScanSoft Inc. (b) 6 32
Schawk Inc. 1 8
Seachange International Inc. (b) 2 34
Serena Software Inc. (b) 2 37
SPSS Inc. (b) 1 16
SS&C Technologies Inc. 1 16
Sybase Inc. (b) 7 142
Take-Two Interactive Software Inc. (b) 3 95
THQ Inc. (b) 3 50
Tradestation Group Inc. (b) 1 11
Transaction Systems Architects Inc. (b) 3 61
Ulticom Inc. (b) 1 12
Vastera Inc. (b) 2 8
Verint Systems Inc. (b) 1 15
VitalWorks Inc. (b) 3 14
Wind River Systems Inc. (b) 6 54
3,052
Storage/Warehousing - 0.0%
Mobile Mini Inc. (b) 1 19
Telecommunications - 0.7%
Aspect Communications Corp. (b) 3 43
Cincinnati Bell Inc. (b) 14 69
Commonwealth Telephone Enterprises Inc. (b) 2 64
CT Communications Inc. 2 21
D&E Communications Inc. - 2
General Communication - Class A (b) 4 35
Golden Telecom Inc. (b) 1 31
Hickory Tech Corp. 1 13
Inet Technologies Inc. (b) 1 16
Intrado Inc. (b) 1 23
Lightbridge Inc. (b) 2 19
MASTEC Inc. (b) 2 25
Metro One Telecommunications Inc. (b) 1 3
Primus Telecommunications GP (b) 4 43
PTEK Holdings Inc. (b) 4 34
RMH Teleservices Inc. (b) - 1
Shenandoah Telecom Co. - 14
SureWest Communications 1 46
Talk America Holdings Inc. (b) 2 29
Time Warner Telecom Inc. (b) 3 35
Warwick Valley Telephone Co. - 3
569
Telecommunications Equipment - 2.1%
Adaptec Inc. (b) 8 74
Aeroflex Inc. (b) 4 52
Anaren Inc. (b) 2 27
Andrew Corp. (b) 12 137
Anixter International Inc. (b) 3 65
Applied Signal Technology Inc. 1 15
Arris Group Inc. (b) 5 33
Avanex Corp. (b) 6 28
Black Box Corp. 1 59
Cable Design Technologies Corp. (b) 3 29
C-COR.net Corp. (b) 3 28
CommScope Inc. (b) 4 66
Computer Network Technology Corp. (b) 2 19
Comtech Telecommunications (b) 1 31
Corvis Corp. (b) 24 40
Ditech Communications Corp. (b) 2 38
Enterasys Networks Inc. (b) 16 61
Extreme Networks Inc. (b) 8 55
Harmonic Inc. (b) 5 35
Hypercom Corp. (b) 2 11
Ixia (b) 2 20
KVH Industries Inc. (b) 1 19
MRV Communications Inc. (b) 8 30
Network Equipment Technologies Inc. (b) 2 19
New Focus Inc. (b) 5 25
Newport Corp. (b) 3 51
North Pittsburgh Systems Inc. 1 26
Oplink Communications Inc. (b) 8 18
Plantronics Inc. (b) 3 104
SafeNet Inc. (b) 1 30
Sonus Networks Inc. (b) 16 121
SR Telecom Inc. (b) - -
Stratos Lightwave Inc. (b) - 1
Sycamore Networks Inc. (b) 13 68
Symmetricom Inc. (b) 3 23
Tekelec (b) 4 63
Terayon Communication Systems Inc. (b) 5 25
Tollgrade Communications Inc. (b) 1 21
Westell Technologies Inc. (b) 4 24
1,591
Textiles - 0.1%
Angelica Corp. 1 19
G&K Services Inc. - Class A 1 49
Quaker Fabric Corp. 1 5
Unifirst Corp. 1 15
88
Tobacco - 0.2%
DIMON Inc. 3 20
Standard Commercial Corp. 1 15
Universal Corp. 2 87
Vector Group Ltd. 2 33
155
Toys & Hobbies - 0.2%
Action Performance Cos. Inc. 1 28
Boyds Collection Ltd. (b) 1 4
Department 56 Inc. (b) 1 15
Jakks Pacific Inc. (b) 2 29
RC2 Corp. (b) 1 25
Topps Co. Inc. 2 25
126
Transportation - 1.5%
Alexander & Baldwin Inc. 3 108
Arkansas Best Corp. 2 57
Covenant Transport Inc. (b) 1 12
EGL Inc. (b) 3 45
Florida East Coast Industries - Class A 1 42
Forward Air Corp. (b) 1 27
GATX Corp. 3 94
Genesee & Wyoming Inc. - Class A (b) 1 32
Greenbrier Cos. Inc. (b) 1 8
Gulfmark Offshore Inc. (b) 1 13
Heartland Express Inc. 2 59
Interpool Inc. - 5
Kansas City Southern (b) 5 69
Kirby Corp. (b) 2 54
Knight Transportation Inc. (b) 2 51
Landstar System Inc. (b) 2 88
Maritrans Inc. 1 13
Offshore Logistics Inc. (b) 1 34
Old Dominion Freight Line Inc. (b) 1 28
Overseas Shipholding Group Inc. 1 41
Pacer International Inc. (b) 2 39
PAM Transportation Services (b) - 11
Petroleum Helicopters Inc. (b) - 5
RailAmerica Inc. (b) 2 28
SCS Transportation Inc. (b) 1 18
Seabulk International Inc. (b) 1 5
US Xpress Enterprises Inc. (b) 1 7
USF Corp. 2 70
Yellow Roadway Corp. (b) 3 116
1,179
Water - 0.2%
American States Water Co. 1 28
California Water Service Group 1 39
Connecticut Water Service Inc. - 11
Middlesex Water Co. 1 13
Pico Holdings Inc. (b) - 5
SJW Corp. - 14
Southwest Water Co. 1 17
127
Wireless Telecommunications - 0.8%
Aether Systems Inc. (b) 3 14
Audiovox Corp. (b) 1 15
Boston Communications Group Inc. (b) 2 16
Centennial Communications Corp. (b) 1 7
Dobson Communications Corp. (b) 2 15
EMS Technologies Inc. (b) 1 16
NII Holdings Inc. - Class B (b) 1 80
Powerwave Technologies Inc. (b) 5 37
Price Communications Corp. (b) 3 41
Proxim Corp. - Class A (b) 5 8
REMEC Inc. (b) 5 41
RF Micro Devices Inc. (b) 14 140
SBA Communications Corp. (b) 4 16
Spectralink Corp. 1 24
Stratex Networks Inc. (b) 6 26
Triton PCS Holdings Inc. (b) 1 7
Viasat Inc. (b) 2 35
Western Wireless Corp. (b) 4 78
616
Total Common Stocks (cost $60,530) 70,933
Short Term Investments - 6.3%
Money Market Funds - 5.5%
Reich & Tang Institutional Money Market Portfolio -
Class B, 0.957% (a) 1,273 1,273
Reich & Tang Institutional U.S. Treasury Portfolio -
Class B, 0.744% (a) 2,932 2,932
4,205
U.S. Treasury Bills - 0.8%
U.S. Treasury Bill, 0.895%, 03/11/04 (l) 600 599
Total Short Term Investments (cost $4,804) 4,804
Total Investments - 99.5% (cost $65,334) 75,737
Other Assets and Liabilities, Net - 0.5% 393
Total Net Assets - 100% 76,130
JNL/Eagle Core Equity Fund
Common Stocks - 92.3%
Advertising - 0.4%
Lamar Advertising Co. (b) 26 987
Aerospace & Defense - 2.1%
Boeing Co. 25 1,070
Lockheed Martin Corp. 64 3,313
United Technologies Corp. 9 829
5,212
Airlines - 0.7%
Southwest Airlines Co. 108 1,743
Auto Manufacturers - 1.0%
Honda Motor Co. Ltd. - ADR 110 2,468
Banks - 6.2%
Bank of America Corp. 72 5,811
Bank of New York Co. Inc. 22 729
US Bancorp. 134 3,999
Wells Fargo & Co. 78 4,591
15,130
Beverages - 1.4%
Anheuser-Busch Cos. Inc. 16 843
PepsiCo Inc. 58 2,695
3,538
Biotechnology - 1.4%
Amgen Inc. (b) 14 887
Biogen Idec Inc. (b) 23 853
Genentech Inc. (b) 8 720
Genzyme Corp. (b) 11 565
Medimmune Inc. (b) 18 445
3,470
Chemicals - 3.4%
Dow Chemical Co. 26 1,064
E.I. du Pont de Nemours & Co. 40 1,852
Praxair Inc. 72 2,751
Rohm & Haas Co. 64 2,716
8,383
Commercial Services - 1.5%
Accenture Ltd. (b) 24 619
Cendant Corp. (b) 131 2,925
3,544
Computers - 3.0%
Dell Inc. (b) 74 2,511
DigitalNet Holdings Inc. (b) 7 132
EMC Corp. (b) 82 1,061
International Business Machines Corp. 39 3,573
7,277
Cosmetics & Personal Care - 1.0%
Colgate-Palmolive Co. 13 661
Procter & Gamble Co. 19 1,868
2,529
Diversified Financial Services - 9.0%
Citigroup Inc. 197 9,568
Countrywide Financial Corp. 19 1,426
Goldman Sachs Group Inc. 12 1,195
JPMorgan Chase & Co. 115 4,229
Lehman Brothers Holdings Inc. 64 4,934
Merrill Lynch & Co. Inc. 14 833
22,185
Electric - 0.2%
NiSource Inc. 20 439
Electronics - 1.6%
Agilent Technologies Inc. (b) 53 1,539
Flextronics International Ltd. (b) 44 657
Parker Hannifin Corp. 27 1,613
3,809
Entertainment - 0.4%
International Game Technology 30 1,055
Food - 2.1%
Dean Foods Co. (b) 41 1,342
General Mills Inc. 15 680
Kraft Foods Inc. 22 709
Smithfield Foods Inc. (b) 89 1,840
Sysco Corp. 19 700
5,271
Forest Products & Paper - 1.0%
International Paper Co. 60 2,565
Gas - 0.4%
UGI Corp. 27 915
Healthcare - 2.3%
HCA Inc. 44 1,869
Johnson & Johnson 61 3,149
Medtronic Inc. 16 753
5,771
Home Furnishings - 0.4%
Tempur-pedic International Inc. (b) 65 1,003
Household Products - 0.3%
Newell Rubbermaid Inc. 32 733
Insurance - 3.6%
Hartford Financial Services Group Inc. 54 3,199
Marsh & McLennan Cos. Inc. 25 1,178
MetLife Inc. 49 1,660
St. Paul Cos. Inc. 10 377
Travelers Property Casualty Corp. 6 99
Travelers Property Casualty Corp. - Class A 146 2,452
8,965
Internet - 0.2%
eBay Inc. (b) 7 426
Leisure Time - 0.2%
Carnival Corp. 13 526
Lodging - 0.5%
Harrah's Entertainment Inc. 26 1,302
Machinery - 0.5%
Deere & Co. 18 1,171
Manufacturing - 5.5%
3M Co. 22 1,896
Cooper Industries Ltd. - Class A 57 3,308
General Electric Co. 193 5,992
Harsco Corp. 26 1,139
Ingersoll-Rand Co. - Class A 17 1,174
13,509
Media - 8.1%
Clear Channel Communications Inc. 39 1,840
Comcast Corp. - Special Class A (b) 31 956
COX Radio Inc. (b) 28 696
EchoStar Communications Corp. (b) 19 660
Entercom Communications Corp. (b) 10 503
Gannett Co. Inc. 25 2,184
McGraw-Hill Cos. Inc. 12 818
Time Warner Inc. (b) 133 2,391
Univision Communications Inc. (b) 15 609
Viacom Inc. - Class A 67 2,975
Viacom Inc. - Class B 87 3,872
Walt Disney Co. 70 1,631
Westwood One Inc. (b) 22 763
19,898
Oil & Gas Producers - 4.3%
BP Plc - ADR 103 5,074
ChevronTexaco Corp. 37 3,184
Exxon Mobil Corp. 26 1,078
Pride International Inc. (b) 66 1,230
10,566
Oil & Gas Services - 2.4%
Cooper Cameron Corp. (b) 31 1,431
Halliburton Co. 167 4,352
5,783
Pharmaceuticals - 6.0%
Abbott Laboratories 24 1,095
Bristol-Myers Squibb Co. 41 1,158
Gilead Sciences Inc. (b) 12 701
Merck & Co. Inc. 21 991
Pfizer Inc. 228 8,070
Wyeth 63 2,670
14,685
Pipelines - 0.6%
Kinder Morgan Inc. 25 1,454
Real Estate - 1.4%
Boston Properties Inc. 10 482
Equity Office Properties Trust 30 860
General Growth Properties Inc. 30 832
Health Care Property Investors Inc. 18 891
Vornado Realty Trust 8 438
3,503
Retail - 4.5%
Family Dollar Stores Inc. 30 1,071
Federated Department Stores Inc. 54 2,563
Home Depot Inc. 46 1,636
Kohl's Corp. (b) 20 876
Limited Brands Inc. 34 613
Target Corp. 13 497
Wal-Mart Stores Inc. 54 2,862
Wendy's International Inc. 24 929
11,047
Semiconductors - 7.0%
Applied Materials Inc. (b) 54 1,207
ASML Holding NV - NYS (b) 36 721
Fairchild Semiconductor International Inc. - Class A (b) 75 1,867
Intel Corp. 145 4,675
International Rectifier Corp. (b) 9 420
Lam Research Corp. (b) 54 1,744
LSI Logic Corp. (b) 169 1,499
Micrel Inc. (b) 45 696
National Semiconductor Corp. (b) 38 1,498
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (b) 145 1,484
Texas Instruments Inc. 48 1,407
17,218
Software - 3.3%
First Data Corp. 43 1,763
Microsoft Corp. 146 4,026
Oracle Corp. (b) 95 1,251
Veritas Software Corp. (b) 28 1,035
8,075
Telecommunications - 1.9%
BellSouth Corp. 100 2,838
SBC Communications Inc. 50 1,293
Verizon Communications Inc. 16 558
4,689
Telecommunications Equipment - 1.8%
Cisco Systems Inc. (b) 136 3,313
JDS Uniphase Corp. (b) 287 1,047
4,360
Wireless Telecommunications - 0.7%
Sprint Corp. - PCS Group (b) 294 1,652
Total Common Stocks (cost $196,386) 226,856
Corporate Bonds - 0.8%
Healthcare - 0.2%
Community Health Systems Inc.,
4.25%, 10/15/08 (j) 575 615
Insurance - 0.3%
Loews Corp., 3.125%, 09/15/07 (j) 750 725
Media - 0.3%
Liberty Media Corp., 3.25%, 03/15/31 (j) 620 645
Total Corporate Bonds (cost $1,836) 1,985
Preferred Stocks - 0.5%
Insurance - 0.3%
Travelers Property Casualty Corp., 4.50% 31 752
Oil & Gas Services - 0.2%
Hanover Compressor Capital Trust, 7.25% 12 576
Total Preferred Stocks (cost $1,344) 1,328
Short Term Investments - 6.1%
Money Market Funds - 6.1%
Dreyfus Cash Management Plus, 0.898% (a) 12,239 12,239
Dreyfus Government Cash Management, 0.893% (a) 2,841 2,841
Total Short Term Investments (cost $15,080) 15,080
Total Investments - 99.7% (cost $214,645) 245,249
Other Assets and Liabilities, Net - 0.3% 664
Total Net Assets - 100% 245,913
JNL/Eagle SmallCap Equity Fund
Common Stocks - 95.4%
Agriculture - 2.2%
Delta & Pine Land Co. 95 2,415
Banks - 2.2%
Southwest Bancorp. of Texas Inc. 28 1,084
TrustCo Bancorp. 100 1,318
2,402
Commercial Services - 3.8%
Sylvan Learning Systems Inc. (b) 62 1,791
University of Phoenix Online (b) 35 2,378
4,169
Computers - 2.7%
Factset Research Systems Inc. 78 2,990
Distribution & Wholesale - 3.1%
SCP Pool Corp. (b) 58 1,887
Tech Data Corp. (b) 37 1,469
3,356
Electrical Components & Equipment - 2.0%
General Cable Corp. (b) 270 2,203
Electronics - 3.7%
Gentex Corp. 68 2,981
OYO Geospace Corp. (b) 70 1,112
4,093
Entertainment - 7.9%
Alliance Gaming Corp. (b) 99 2,431
GTECH Holdings Corp. 57 2,811
Lions Gate Entertainment Corp. (b) 769 3,445
8,687
Environmental Control - 1.0%
Imco Recycling Inc. (b) 113 1,119
Healthcare - 18.2%
American Medical Systems Holdings Inc. (b) 120 2,625
Cooper Cos. Inc. 71 3,367
Edwards Lifesciences Corp. (b) 87 2,621
Horizon Health Corp. (b) 140 3,025
Idexx Laboratories Inc. (b) 57 2,647
Respironics Inc. (b) 57 2,557
Steris Corp. (b) 78 1,752
Zoll Medical Corp. (b) 41 1,444
20,038
Home Furnishings - 3.4%
Universal Electronics Inc. (b) 291 3,701
Insurance - 2.4%
Direct General Corp. 81 2,672
Internet - 1.5%
Monster Worldwide Inc. (b) 73 1,609
Manufacturing - 2.2%
Actuant Corp. - Class A (b) 68 2,447
Oil & Gas Producers - 3.1%
Patterson-UTI Energy Inc. (b) 105 3,443
Pharmaceuticals - 2.6%
Medicis Pharmaceutical Corp. - Class A 40 2,823
Retail - 5.6%
Cash America International Inc. 53 1,125
Genesco Inc. (b) 159 2,399
Red Robin Gourmet Burgers Inc. (b) 9 277
Sharper Image Corp. (b) 72 2,345
6,146
Savings & Loans - 0.7%
Bank Mutual Corp. 69 781
Semiconductors - 8.8%
ASE Test Ltd. (b) 124 1,857
Integrated Device Technology Inc. (b) 243 4,179
Integrated Silicon Solutions Inc. (b) 233 3,651
9,687
Software - 13.0%
Avid Technology Inc. (b) 37 1,781
Barra Inc. (b) 39 1,380
Datastream Systems Inc. (b) 399 3,132
Eclipsys Corp. (b) 339 3,947
Global Payments Inc. 27 1,286
Netsmart Technologies Inc. (b) 167 2,560
Open Solutions Inc. (b) 14 248
14,334
Telecommunications Equipment - 2.2%
Enterasys Networks Inc. (b) 654 2,451
Wireless Telecommunications - 3.1%
EMS Technologies Inc. (b) 164 3,369
Total Common Stocks (cost $79,864) 104,935
Short Term Investments - 5.6%
Money Market Funds - 5.6%
Dreyfus Cash Management Plus, 0.898% (a) 5,530 5,530
Dreyfus Government Cash Management, 0.893% (a) 670 670
Total Short Term Investments (cost $6,200) 6,200
Total Investments - 101.1% (cost $86,064) 111,135
Other Assets and Liabilities, Net - (1.1%) -1,163
Total Net Assets - 100% 109,972
JNL/Janus Aggressive Growth Fund
Common Stocks - 98.8%
Aerospace & Defense - 2.5%
Lockheed Martin Corp. 56 2,890
Northrop Grumman Corp. 37 3,535
6,425
Apparel - 2.8%
NIKE Inc. 107 7,306
Banks - 8.5%
Bank of America Corp. 138 11,078
Fifth Third Bancorp. 44 2,577
Wells Fargo & Co. 140 8,216
21,871
Biotechnology - 5.4%
Genentech Inc. (b) 127 11,891
Invitrogen Corp. (b) 27 1,919
13,810
Computers - 3.1%
Apple Computer Inc. (b) 242 5,176
Synopsys Inc. (b) 84 2,840
8,016
Cosmetics & Personal Care - 1.3%
Procter & Gamble Co. 34 3,412
Diversified Financial Services - 5.0%
Fannie Mae 27 2,001
Goldman Sachs Group Inc. 88 8,644
SLM Corp. 56 2,097
12,742
Electrical Components & Equipment - 3.6%
Energizer Holdings Inc. (b) 51 1,901
Samsung Electronics Co. Ltd. 20 7,408
9,309
Healthcare - 11.8%
Aetna Inc. 132 8,895
Anthem Inc. (b) 46 3,480
UnitedHealth Group Inc. 286 16,648
WellPoint Health Networks Inc. (b) 15 1,486
30,509
Insurance - 5.7%
Allstate Corp. 119 5,137
Berkshire Hathaway Inc. - Class B (b) 3 9,667
14,804
Internet - 8.9%
Amazon.Com Inc. (b) 97 5,113
eBay Inc. (b) 105 6,773
Symantec Corp. (b) 98 3,397
Yahoo! Inc. (b) 170 7,699
22,982
Manufacturing - 1.1%
3M Co. 32 2,758
Media - 2.2%
EchoStar Communications Corp. (b) 45 1,528
Time Warner Inc. (b) 227 4,092
5,620
Oil & Gas Producers - 1.6%
Murphy Oil Corp. 62 4,054
Oil & Gas Services - 0.9%
BJ Services Co. (b) 67 2,419
Pharmaceuticals - 1.9%
Forest Laboratories Inc. (b) 80 4,935
Retail - 4.2%
Advance Auto Parts (b) 46 3,719
Dollar Tree Stores Inc. (b) 96 2,894
Kohl's Corp. (b) 71 3,173
Outback Steakhouse Inc. 22 967
10,753
Semiconductors - 10.1%
Applied Materials Inc. (b) 406 9,104
KLA-Tencor Corp. (b) 138 8,073
Nvidia Corp. (b) 142 3,312
Texas Instruments Inc. 193 5,673
26,162
Software - 9.1%
Electronic Arts Inc. (b) 234 11,190
Microsoft Corp. 441 12,147
23,337
Telecommunications Equipment - 3.3%
Cisco Systems Inc. (b) 244 5,935
Nokia Oyj - ADR 155 2,636
8,571
Wireless Telecommunications - 5.8%
Nextel Communications Inc. (b) 360 10,099
Vodafone Group Plc - ADR 196 4,904
15,003
Total Common Stocks (cost $202,674) 254,798
Short Term Investments - 1.4%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 36 36
U.S. Government Agencies - 1.4%
Federal Home Loan Bank Discount Note,
0.75%, 01/02/04 3,600 3,600
Total Short Term Investments (cost $3,636) 3,636
Total Investments - 100.2% (cost $206,310) 258,434
Other Assets and Liabilities, Net - (0.2%) -582
Total Net Assets - 100% 257,852
JNL/Janus Balanced Fund
Common Stocks - 53.6%
Aerospace & Defense - 0.9%
General Dynamics Corp. 4 386
Lockheed Martin Corp. 12 627
1,013
Airlines - 0.2%
Southwest Airlines Co. 17 277
Auto Manufacturers - 0.3%
Bayerische Motoren Werke AG 8 353
Auto Parts & Equipment - 0.1%
Lear Corp. 2 123
Banks - 1.6%
Bank of America Corp. 7 587
HSBC Holdings Plc 37 584
US Bancorp. 23 685
1,856
Beverages - 1.6%
Anheuser-Busch Cos. Inc. 21 1,102
PepsiCo Inc. 15 703
1,805
Chemicals - 0.8%
International Flavors & Fragrances Inc. 9 308
Potash Corp. 6 548
856
Computers - 2.0%
Dell Inc. (b) 25 859
International Business Machines Corp. 11 1,029
Lexmark International Inc. (b) 5 429
2,317
Cosmetics & Personal Care - 1.2%
Procter & Gamble Co. 13 1,307
Diversified Financial Services - 3.8%
American Express Co. 14 670
Citigroup Inc. 34 1,649
Freddie Mac 25 1,482
Goldman Sachs Group Inc. 5 508
4,309
Electrical Components & Equipment - 0.9%
Samsung Electronics Co. Ltd. - GDR (e) 2 331
Samsung Electronics Co. Ltd. 2 738
1,069
Environmental Control - 1.2%
Waste Management Inc. 45 1,328
Healthcare - 1.9%
Aetna Inc. 14 940
Medtronic Inc. 15 738
UnitedHealth Group Inc. 9 541
2,219
Holding Companies - Diversified - 1.2%
LVMH Moet Hennessy Louis Vuitton SA 19 1,394
Household Products - 0.9%
Reckitt Benckiser Plc 44 990
Insurance - 0.9%
Berkshire Hathaway Inc. - Class B (b) - 1,011
Internet - 1.8%
Amazon.Com Inc. (b) 9 490
eBay Inc. (b) 8 532
Yahoo! Inc. (b) 24 1,069
2,091
Lodging - 3.0%
Fairmont Hotels & Resorts Inc. 7 198
Marriott International Inc. - Class A 39 1,782
Starwood Hotels & Resorts Worldwide Inc. 41 1,480
3,460
Manufacturing - 6.3%
3M Co. 22 1,831
General Electric Co. 48 1,480
Honeywell International Inc. 33 1,112
Tyco International Ltd. 105 2,785
7,208
Media - 5.3%
British Sky Broadcasting Plc (b) 40 503
Comcast Corp. - Class A (b) 7 239
Dow Jones & Co. Inc. 10 490
Fox Entertainment Group Inc. (b) 13 372
Gannett Co. Inc. 15 1,315
Liberty Media Corp. (b) 25 302
Time Warner Inc. (b) 120 2,155
Viacom Inc. - Class B 16 691
6,067
Oil & Gas Producers - 1.9%
Apache Corp. 5 382
Exxon Mobil Corp. 28 1,155
Total Fina Elf SA 3 628
2,165
Pharmaceuticals - 5.0%
Barr Laboratories Inc. (b) 10 775
Caremark Rx Inc. (b) 20 497
Medco Health Solutions Inc. (b) 18 607
Neurocrine Biosciences Inc. (b) 8 449
Novartis AG - ADR 11 482
Pfizer Inc. 34 1,203
Roche Holding AG Genusschein 17 1,690
5,703
Pipelines - 0.2%
El Paso Corp. 32 259
Retail - 2.2%
Best Buy Co. Inc. 11 575
J.C. Penney Co. Inc. 27 713
Target Corp. 9 339
Wal-Mart Stores Inc. 17 892
2,519
Semiconductors - 2.9%
Applied Materials Inc. (b) 21 481
Intel Corp. 26 822
Linear Technology Corp. 7 274
Maxim Integrated Products Inc. 7 345
Texas Instruments Inc. 46 1,338
3,260
Software - 2.3%
Electronic Arts Inc. (b) 11 510
Microsoft Corp. 41 1,127
Oracle Corp. (b) 44 578
Veritas Software Corp. (b) 12 433
2,648
Telecommunications Equipment - 1.3%
Cisco Systems Inc. (b) 45 1,089
Nokia Oyj - ADR 26 441
1,530
Textiles - 0.3%
Mohawk Industries Inc. (b) 5 365
Toys & Hobbies - 0.3%
Mattel Inc. 17 336
Transportation - 1.3%
Canadian National Railway Co. 15 936
FedEx Corp. 8 547
1,483
Total Common Stocks (cost $52,797) 61,321
Corporate Bonds - 25.5%
Aerospace & Defense - 0.6%
Lockheed Martin Corp.
8.20%, 12/01/09 210 255
7.65%, 05/01/16 370 450
705
Auto Parts & Equipment - 1.5%
Dana Corp., 9.00%, 08/15/11 88 106
Delphi Corp.
6.125%, 05/01/04 240 243
6.55%, 06/15/06 338 363
Lear Corp., 7.96%, 05/15/05 510 546
Tenneco Automotive Inc., 11.625%, 10/15/09 391 422
1,680
Banks - 0.2%
First Bank National Association, 5.70%, 12/15/08 70 76
Firstar Bank NA, 7.125%, 12/01/09 180 208
284
Beverages - 2.6%
Anheuser-Busch Cos. Inc.
5.65%, 09/15/08 375 407
5.125%, 10/01/08 260 277
5.75%, 04/01/10 255 276
6.00%, 04/15/11 419 466
7.55%, 10/01/30 40 49
6.80%, 01/15/31 100 114
6.80%, 08/20/32 50 57
Coca-Cola Enterprises Inc.
5.375%, 08/15/06 200 215
4. 375%, 09/15/09 194 199
6.125%, 08/15/11 110 122
Miller Brewing Co.
4.25%, 08/15/08 (e) 205 208
5.50%, 08/15/13 (e) 620 634
3,024
Chemicals - 0.4%
International Flavors & Fragrances Inc., 6.45%, 05/15/06 425 461
Nalco Co., 7.75%, 11/15/11 (e) 53 57
518
Computers - 0.7%
Apple Computer Inc., 6.50%, 02/15/04 305 306
Hewlett-Packard Co., 3.625%, 03/15/08 333 334
Sun Microsystems Inc., 7.35%, 08/15/04 121 125
765
Diversified Financial Services - 2.6%
American Express Co., 4.875%, 07/15/13 231 231
American General Finance Corp., 5.875%, 07/14/06 175 189
Citigroup Inc.
7.25%, 10/01/10 115 134
6.625%, 06/15/32 180 195
Ford Motor Credit Co., 7.00%, 10/01/13 265 279
Gemstone Investors Ltd., 7.71%, 10/31/04 (e) 60 61
General Electric Capital Corp.
5.375%, 04/23/04 95 96
4.25%, 01/28/05 337 346
2.85%, 01/30/06 190 193
5.35%, 03/30/06 430 459
6.75%, 03/15/32 250 277
General Motors Acceptance Corp.
5.36%, 07/27/04 182 186
5.25%, 05/16/05 335 347
2,993
Electric - 1.0%
American Electric Power Co. Inc., 5.375%, 03/15/10 53 56
CMS Energy Corp.
9.875%, 10/15/07 164 183
7.50%, 01/15/09 141 145
Dominion Resources Inc.
2.80%, 02/15/05 97 98
4.125%, 02/15/08 61 62
Duke Energy Corp., 6.25%, 01/15/12 65 71
Illinova Corp., 11.50%, 12/15/10 166 199
Midamerican Energy Holdings Co., 3.50%, 05/15/08 340 334
1,148
Environmental Control - 0.3%
Allied Waste North America, 10.00%, 08/01/09 148 160
Waste Management Inc., 7.00%, 10/01/04 241 249
409
Food - 2.0%
Dean Foods Co.
6.75%, 06/15/05 48 50
8.15%, 08/01/07 950 1,050
6.625%, 05/15/09 187 196
6.90%, 10/15/17 38 39
Fred Meyer Inc. Holding Co., 7.45%, 03/01/08 52 59
General Mills Inc., 5.125%, 02/15/07 195 207
Kellogg Co.
2.875%, 06/01/08 119 115
7.45%, 04/01/31 130 154
Pepsi Bottling Holdings Inc., 5.625%, 02/17/09 (e) 385 418
2,288
Hand & Machine Tools - 0.1%
Black & Decker Corp., 7.125%, 06/01/11 106 122
Healthcare - 0.1%
UnitedHealth Group Inc., 5.20%, 01/17/07 63 67
Home Furnishings - 0.4%
Harman International Industries Inc., 7.125%, 02/15/07 425 469
Insurance - 0.6%
AIG SunAmerica Global Financing IX, 5.10%, 01/17/07 (e) 145 154
Berkshire Hathaway Inc., 3.375%, 10/15/08 (e) 305 303
Marsh & McLennan Cos. Inc., 5.375%, 03/15/07 165 176
633
Internet - 0.3%
Amazon.Com Inc., 4.75%, 02/01/09 (j) 336 340
Investment Companies - 0.2%
Credit Suisse First Boston USA Inc., 3.875%, 01/15/09 265 265
Lodging - 0.5%
John Q Hammons Hotels LP, 8.875%, 05/15/12 72 79
Mandalay Resort Group, 6.50%, 07/31/09 445 462
541
Manufacturing - 2.1%
Honeywell International Inc.
5.125%, 11/01/06 280 300
6.125%, 11/01/11 293 322
SPX Corp., 7.50%, 01/01/13 234 254
Tyco International Group SA
5.875%, 11/01/04 407 418
6.375%, 02/15/06 515 548
6.375%, 10/15/11 240 257
6.00%, 11/15/13 (e) 263 271
2,370
Media - 4.0%
AOL Time Warner Inc.
5.625%, 05/01/05 370 387
6.15%, 05/01/07 462 503
7.70%, 05/01/32 355 414
British Sky Broadcasting PLC, 6.875%, 02/23/09 307 345
Clear Channel Communications Inc.
6.00%, 11/01/06 110 119
4.625%, 01/15/08 149 154
Comcast Cable Communications
6.75%, 01/30/11 283 315
7.125%, 06/15/13 76 86
Comcast Corp.
6.50%, 01/15/15 130 141
7.05%, 03/15/33 169 184
COX Communications Inc., 7.125%, 10/01/12 50 58
Echostar DBS Corp.
5.75%, 10/01/08 (e) 264 267
9.375%, 02/01/09 243 255
TCI Communications Inc., 6.875%, 02/15/06 136 148
Tele-Communications-TCI Group, 7.875%, 08/01/13 65 77
Time Warner Inc., 9.15%, 02/01/23 458 592
Walt Disney Co., 4.875%, 07/02/04 488 496
4,541
Oil & Gas Producers - 0.4%
Burlington Resources Finance Co., 7.20%, 08/15/31 142 164
Conoco Inc., 6.95%, 04/15/29 116 131
El Paso CGP Co., 6.20%, 05/15/04 139 140
435
Oil & Gas Services - 0.1%
Hanover Equipment Trust, 8.50%, 09/01/08 67 71
Packaging & Containers - 0.9%
Ball Corp., 6.875%, 12/15/12 305 319
Owens-Illinois Inc., 7.15%, 05/15/05 235 243
Sealed Air Corp.
5.625%, 07/15/13 (e) 320 327
6.875%, 07/15/33 (e) 180 191
1,080
Pharmaceuticals - 0.2%
Medco Health Solutions Inc., 7.25%, 08/15/13 198 216
Pipelines - 0.5%
EL Paso Corp., 7.00%, 05/15/11 468 432
Sonat Inc., 6.875%, 06/01/05 138 136
568
Retail - 1.2%
Gap Inc., 6.90%, 09/15/07 150 166
Target Corp., 5.50%, 04/01/07 285 308
Wal-Mart Stores Inc.
5.45%, 08/01/06 475 511
6.875%, 08/10/09 297 342
1,327
Shipbuilding - 0.3%
Ship Finance International Ltd., 8.50%, 12/15/13 (e) 290 287
Telecommunications - 0.8%
Deutsche Telekom International Finance, 3.875%, 07/22/08 252 253
Verizon Global Funding Corp.
6.125%, 06/15/07 202 221
4.00%, 01/15/08 290 295
Verizon Maryland Inc., 5.125%, 06/15/33 127 110
879
Textiles - 0.3%
Mohawk Industries Inc., 7.20%, 04/15/12 348 395
Wireless Telecommunications - 0.6%
American Tower Corp., 9.375%, 02/01/09 250 266
AT&T Wireless Services Inc.
7.35%, 03/01/06 105 115
7.50%, 05/01/07 119 133
Nextel Communications Inc., 7.375%, 08/01/15 153 165
679
Total Corporate Bonds (cost $27,955) 29,099
Government Securities - 14.2%
U.S. Government Agencies - 5.9%
Federal Home Loan Mortgage Corp.
1.875%, 01/15/05 577 580
4.25%, 06/15/05 435 451
6.50%, 11/15/05 445 483
2.375%, 04/15/06 651 654
5.75%, 04/15/08 112 123
5.75%, 03/15/09 48 53
7.00%, 03/15/10 447 522
6.25%, 07/15/32 130 141
Federal National Mortgage Association
1.875%, 12/15/04 425 427
2.125%, 04/15/06 714 714
5.50%, 05/02/06 594 635
4.75%, 01/02/07 181 191
5.00%, 01/15/07 341 364
2.50%, 06/15/08 110 106
5.25%, 01/15/09 207 223
6.375%, 06/15/09 162 183
6.25%, 02/01/11 315 348
5.375%, 11/15/11 460 490
6,688
U.S. Treasury Securities - 8.3%
U.S. Treasury Bond
7.25%, 05/15/16 664 828
8.125%, 08/15/19 184 249
7.875%, 02/15/21 371 494
7.25%, 08/15/22 325 410
6.25%, 08/15/23 711 810
6.00%, 02/15/26 393 436
5.25%, 02/15/29 199 201
6.25%, 05/15/30 361 417
5.375%, 02/15/31 249 260
U.S. Treasury Note
6.50%, 05/15/05 210 224
4.625%, 05/15/06 394 418
3.50%, 11/15/06 471 487
2.625%, 05/15/08 916 902
5.625%, 05/15/08 531 588
6.00%, 08/15/09 556 630
6.50%, 02/15/10 8 9
5.75%, 08/15/10 545 611
5.00%, 08/15/11 651 697
4.25%, 08/15/13 350 350
4.25%, 11/15/13 505 504
9,525
Total Government Securities (cost $15,939) 16,213
Short Term Investments - 5.9%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 23 23
U.S. Government Agencies - 5.9%
Federal Home Loan Bank Discount Note,
0.75%, 01/02/04 6,700 6,700
Total Short Term Investments (cost $6,723) 6,723
Total Investments - 99.2% (cost $103,414) 113,356
Other Assets and Liabilities, Net - 0.8% 906
Total Net Assets - 100% 114,262
JNL/Janus Capital Growth Fund
Common Stocks - 96.4%
Advertising - 3.9%
Interpublic Group of Cos. Inc. (b) 69 1,069
Lamar Advertising Co. (b) 136 5,068
6,137
Airlines - 1.0%
Ryanair Holdings Plc - ADR (b) 33 1,649
Apparel - 1.0%
Liz Claiborne Inc. 21 743
Puma AG Rudolf Dassler Sport 5 866
1,609
Auto Parts & Equipment - 0.9%
Lear Corp. 23 1,392
Banks - 3.5%
Investors Financial Services Corp. 48 1,845
M&T Bank Corp. 11 1,125
Northern Trust Corp. 56 2,611
5,581
Biotechnology - 2.4%
Celgene Corp. (b) 35 1,589
Invitrogen Corp. (b) 31 2,166
3,755
Chemicals - 1.0%
Praxair Inc. 40 1,533
Commercial Services - 8.0%
Apollo Group Inc. (b) 32 2,190
Cendant Corp. (b) 100 2,234
Iron Mountain Inc. (b) 5 179
Manpower Inc. 42 1,978
Moody's Corp. 27 1,621
Paychex Inc. 70 2,586
Robert Half International Inc. (b) 82 1,908
12,696
Computers - 2.4%
Apple Computer Inc. (b) 60 1,273
BISYS Group Inc. (b) 59 878
Cadence Design Systems Inc. (b) 45 806
Synopsys Inc. (b) 25 853
3,810
Diversified Financial Services - 3.1%
CapitalSource Inc. (b) 43 927
Chicago Mercantile Exchange Holding Inc. 9 657
Lehman Brothers Holdings Inc. 13 968
T. Rowe Price Group Inc. 48 2,271
4,823
Electrical Components & Equipment - 1.1%
Ametek Inc. 37 1,788
Electronics - 1.7%
Flextronics International Ltd. (b) 113 1,679
Mettler-Toledo International Inc. (b) 25 1,036
2,715
Entertainment - 1.7%
International Game Technology 77 2,744
Food - 1.5%
Dean Foods Co. (b) 70 2,306
Healthcare - 6.6%
Anthem Inc. (b) 14 1,066
Apogent Technologies Inc. (b) 78 1,796
C.R. Bard Inc. 22 1,755
Inamed Corp. (b) 37 1,800
St. Jude Medical Inc. (b) 47 2,898
Stryker Corp. 13 1,084
10,399
Home Builders - 1.2%
NVR Inc. (b) 4 1,943
Home Furnishings - 1.2%
Harman International Industries Inc. 26 1,936
Insurance - 5.7%
Berkshire Hathaway Inc. - Class B (b) 2 5,005
MGIC Investment Corp. 31 1,743
W.R. Berkley Corp. 41 1,425
XL Capital Ltd. 11 814
8,987
Internet - 0.9%
Check Point Software Technologies Ltd. (b) 41 686
eBay Inc. (b) 11 738
1,424
Leisure Time - 0.6%
Polaris Industries Inc. 10 917
Lodging - 3.1%
Mandalay Resort Group 51 2,265
Starwood Hotels & Resorts Worldwide Inc. 73 2,635
4,900
Manufacturing - 1.5%
ITT Industries Inc. 16 1,213
SPX Corp. (b) 19 1,097
2,310
Media - 6.4%
Citadel Broadcasting Corp. (b) 60 1,333
COX Radio Inc. (b) 30 764
EchoStar Communications Corp. (b) 88 2,993
Entercom Communications Corp. (b) 17 926
Univision Communications Inc. (b) 57 2,251
Westwood One Inc. (b) 55 1,887
10,154
Oil & Gas Producers - 3.7%
EOG Resources Inc. 65 3,011
Murphy Oil Corp. 42 2,765
5,776
Oil & Gas Services - 0.5%
Smith International Inc. (b) 18 736
Packaging & Containers - 2.0%
Ball Corp. 52 3,100
Pharmaceuticals - 3.1%
Barr Laboratories Inc. (b) 32 2,440
Gilead Sciences Inc. (b) 15 858
Neurocrine Biosciences Inc. (b) 29 1,554
4,852
Pipelines - 2.9%
Kinder Morgan Inc. 79 4,656
Retail - 6.7%
Advance Auto Parts (b) 11 918
Autozone Inc. (b) 12 1,049
Darden Restaurants Inc. 56 1,180
Fred's Inc. 70 2,165
Outback Steakhouse Inc. 16 703
Pier 1 Imports Inc. 26 559
Staples Inc. (b) 78 2,129
Yum! Brands Inc. (b) 56 1,938
10,641
Semiconductors - 9.0%
Altera Corp. (b) 16 354
Emulex Corp. (b) 46 1,225
Integrated Circuit Systems Inc. (b) 33 943
Intersil Corp. 39 961
KLA-Tencor Corp. (b) 48 2,806
Marvell Technology Group Ltd. (b) 61 2,316
National Semiconductor Corp. (b) 67 2,638
Novellus Systems Inc. (b) 52 2,195
Nvidia Corp. (b) 34 780
14,218
Software - 1.9%
BMC Software Inc. (b) 76 1,420
Certegy Inc. 6 201
Citrix Systems Inc. (b) 14 290
Electronic Arts Inc. (b) 15 708
National Instruments Corp. 7 309
2,928
Telecommunications - 0.7%
Amdocs Ltd. (b) 51 1,153
Telecommunications Equipment - 0.9%
Harris Corp. 20 754
UTStarcom Inc. (b) 17 646
1,400
Textiles - 1.3%
Mohawk Industries Inc. (b) 30 2,110
Toys & Hobbies - 0.8%
Marvel Enterprises Inc. (b) 44 1,269
Transportation - 1.8%
Canadian National Railway Co. 16 991
CNF Inc. 37 1,245
Expeditors International of Washington Inc. 18 680
2,916
Wireless Telecommunications - 0.7%
Nextel Partners Inc. (b) 79 1,067
Total Common Stocks (cost $125,752) 152,330
Short Term Investments - 3.8%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 16 16
U.S. Government Agencies - 3.8%
Federal Home Loan Bank Discount Note,
0.75%, 01/02/04 6,000 6,000
Total Short Term Investments (cost $6,016) 6,016
Total Investments - 100.2% (cost $131,768) 158,346
Other Assets and Liabilities, Net - (0.2%) -333
Total Net Assets - 100% 158,013
JNL/Janus Global Equities Fund
Common Stocks - 96.4%
Aerospace & Defense - 1.6%
Boeing Co. 14 601
Northrop Grumman Corp. 13 1,275
United Technologies Corp. 16 1,561
3,437
Apparel - 0.1%
Hermes International 1 205
Auto Manufacturers - 1.4%
Honda Motor Co. Ltd. 36 1,581
Toyota Motor Corp. 35 1,172
2,753
Auto Parts & Equipment - 0.4%
Autoliv Inc. - SDR 21 793
Banks - 15.6%
Anglo Irish Bank Corp. Plc 47 748
Banca Intesa SpA 307 1,201
Bangkok Bank Public Co. (b) 43 124
Bangkok Bank Public Co. (b) 27 74
Bank of New York Co. Inc. 28 929
Credit Agricole SA 44 1,052
Credit Suisse Group 72 2,646
DBS Group Holdings Ltd. 229 1,982
Erste Bank der Oesterreichischen Sparkassen AG - 52
HSBC Holdings Plc 310 4,874
Icici Bank Ltd. 27 174
Mitsubishi Tokyo Financial Group Inc. 1 4,368
Mizuho Financial Group Inc. (b) - 1,028
Northern Trust Corp. 13 589
Principal Office Fund (b) 26 962
Standard Chartered Plc 147 2,432
Sumitomo Mitsui Financial Group Inc. - 938
UBS AG 70 4,779
Uniao de Bancos Brasileiros SA - GDR 20 506
UniCredito Italiano SpA 227 1,226
30,684
Biotechnology - 0.3%
Amgen Inc. (b) 10 648
Building Materials - 0.3%
Matsushita Electric Works Ltd. 75 674
Chemicals - 4.2%
Givaudan 2 947
JSR Corp. 29 648
Nitto Denko Corp. 28 1,500
Reliance Industries Ltd. 408 5,118
8,213
Commercial Services - 0.5%
Cendant Corp. (b) 45 993
Computers - 2.8%
Dell Inc. (b) 14 477
Hewlett-Packard Co. 48 1,093
HON HAI Precision Industry Co. Ltd. 530 2,082
Quanta Computer Inc. 454 1,117
Sandisk Corp. (b) 11 678
5,447
Cosmetics & Personal Care - 0.7%
Kao Corp. 69 1,404
Distribution & Wholesale - 0.2%
Mitsubishi Corp. 46 488
Diversified Financial Services - 5.1%
Citigroup Inc. 108 5,219
Fubon Financial Holding Co. Ltd. 544 521
Housing Development Finance Corp. 40 572
Nikko Cordial Corp. 197 1,097
Nomura Holdings Inc. 152 2,588
9,997
Electrical Components & Equipment - 3.3%
Samsung Electronics Co. Ltd. 17 6,507
Electronics - 1.1%
Fanuc Ltd. 11 629
Hirose Electric Co. Ltd. 4 459
Omron Corp. 52 1,055
2,143
Food - 2.1%
Compass Group Plc 274 1,865
Numico NV (b) 25 683
Tesco Plc 328 1,514
4,062
Gas - 0.3%
Tokyo Gas Co. Ltd. 163 581
Healthcare - 4.9%
Anthem Inc. (b) 40 2,965
Baxter International Inc. 23 716
Medtronic Inc. 59 2,886
UnitedHealth Group Inc. 53 3,105
9,672
Holding Companies - Diversified - 1.7%
LVMH Moet Hennessy Louis Vuitton SA 46 3,384
Home Furnishings - 0.6%
Pioneer Corp. 44 1,213
Household Products - 0.7%
Reckitt Benckiser Plc 58 1,304
Insurance - 1.9%
China Life Insurance Co. Ltd. (b) 1,326 1,085
ING Groep NV 54 1,267
Millea Holdings Inc. - 927
Mitsui Sumitomo Insurance Co. Ltd. 62 509
3,788
Internet - 1.3%
Check Point Software Technologies Ltd. (b) 77 1,291
eBay Inc. (b) 9 573
InterActiveCorp. (b) 22 738
2,602
Iron & Steel - 2.5%
China Steel Corp. (e) 43 714
China Steel Corp. 667 554
POSCO Inc. 18 2,508
Tata Iron & Steel Co. Ltd. 111 1,076
4,852
Machinery - 1.7%
Atlas Copco AB 40 1,414
Komatsu Ltd. 300 1,904
3,318
Manufacturing - 2.8%
Tyco International Ltd. 210 5,558
Media - 6.2%
British Sky Broadcasting Plc (b) 264 3,325
Clear Channel Communications Inc. 21 964
Grupo Televisa SA - ADR 57 2,290
Liberty Media Corp. (b) 53 631
Time Warner Inc. (b) 283 5,094
12,304
Mining - 3.8%
Caemi Mineracao e Metalurgica SA (b) 1,300 572
Cia Vale do Rio Doce - ADR 43 2,495
MMC Norilsk Nickel 24 1,534
Rio Tinto Plc 74 2,037
Vedanta Resources Plc (b) 118 780
7,418
Office & Business Equipment - 1.7%
Canon Inc. 74 3,446
Oil & Gas Producers - 4.1%
Canadian Natural Resources Ltd. 17 848
CNOOC Ltd. 663 1,299
EnCana Corp. 28 1,095
Ptt Plc-NVDR 97 451
Suncor Energy Inc. 34 853
Total Fina Elf SA 10 1,808
YUKOS - ADR 39 1,646
8,000
Oil & Gas Services - 1.1%
Lukoil-spon ADR (b) 24 2,197
Pharmaceuticals - 7.2%
Altana AG 13 802
Aventis SA 10 672
Chugai Pharmaceutical Co. Ltd. 56 804
Medco Health Solutions Inc. (b) 36 1,234
Roche Holding AG Genusschein 66 6,654
Sanofi-Synthelabo SA 30 2,224
Serono SA - Class B 1 575
Takeda Chemical Industries Ltd. 17 674
Teva Pharmaceutical Industries Ltd. - ADR 10 562
14,201
Real Estate - 0.9%
Cheung Kong Holdings Ltd. 64 509
Sun Hung Kai Properties Ltd. 153 1,266
1,775
Retail - 1.6%
Carmax Inc. (b) 21 662
McDonald's Corp. 42 1,054
Shinsegae Co. Ltd. 2 518
Wal-Mart de Mexico SA de CV 308 876
3,110
Semiconductors - 5.2%
Applied Materials Inc. (b) 42 954
KLA-Tencor Corp. (b) 23 1,328
NEC Electronics Corp. (b) 5 344
STMicroelectronics NV 116 3,148
Texas Instruments Inc. 48 1,399
Tokyo Electron Ltd. 16 1,245
United Microelectronics Corp. (b) 2,240 1,920
10,338
Software - 1.4%
Infosys Technologies Ltd. 16 1,975
SAP AG 4 707
2,682
Telecommunications - 1.0%
Amdocs Ltd. (b) 47 1,057
Deutsche Telekom AG (b) 48 883
1,940
Telecommunications Equipment - 2.4%
Cisco Systems Inc. (b) 144 3,492
Nokia Oyj 72 1,248
4,740
Wireless Telecommunications - 1.7%
China Mobile Ltd. 461 1,415
NTT DoCoMo Inc. 1 1,186
SK Telecom Co. Ltd. 5 800
3,401
Total Common Stocks (cost $160,427) 190,273
Short Term Investments - 1.4%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 7 7
U.S. Government Agencies - 1.4%
Federal Home Loan Bank Discount Note,
0.75%, 01/02/04 2,700 2,700
Total Short Term Investments (cost $2,707) 2,707
Total Investments - 97.8% (cost $163,134) 192,980
Other Assets and Liabilities, Net - 2.2% 4,308
Total Net Assets - 100% 197,288
JNL/Janus Growth & Income Fund
Common Stocks - 94.0%
Advertising - 1.1%
Lamar Advertising Co. (b) 5 178
Aerospace & Defense - 1.3%
Lockheed Martin Corp. 4 205
Airlines - 0.6%
Southwest Airlines Co. 5 87
Banks - 3.3%
Bank of America Corp. 2 157
US Bancorp. 12 359
516
Beverages - 3.2%
Anheuser-Busch Cos. Inc. 6 305
PepsiCo Inc. 4 191
496
Biotechnology - 0.3%
Amgen Inc. (b) 1 39
Chemicals - 0.6%
International Flavors & Fragrances Inc. 2 87
Computers - 3.7%
Ceridian Corp. (b) 6 122
Dell Inc. (b) 3 89
International Business Machines Corp. 3 237
Lexmark International Inc. (b) 2 126
574
Cosmetics & Personal Care - 2.4%
Procter & Gamble Co. 4 370
Diversified Financial Services - 9.2%
CIT Group Inc. 6 200
Citigroup Inc. 14 677
Fannie Mae 5 340
Goldman Sachs Group Inc. 2 214
1,431
Electrical Components & Equipment - 1.1%
Samsung Electronics Co. Ltd. - GDR (e) 1 169
Environmental Control - 1.2%
Waste Management Inc. 6 192
Food - 0.1%
Whole Foods Market Inc. - 8
Healthcare - 5.9%
Aetna Inc. 3 186
C.R. Bard Inc. 1 116
Inamed Corp. (b) - 22
Medtronic Inc. 5 252
St. Jude Medical Inc. (b) 1 46
UnitedHealth Group Inc. 5 300
922
Holding Companies - Diversified - 0.6%
LVMH Moet Hennessy Louis Vuitton SA 1 91
Insurance - 4.4%
American International Group Inc. 5 307
Berkshire Hathaway Inc. - Class B (b) - 326
MGIC Investment Corp. 1 44
677
Internet - 0.8%
Amazon.Com Inc. (b) 1 33
eBay Inc. (b) 1 36
Yahoo! Inc. (b) 1 54
123
Lodging - 2.5%
Fairmont Hotels & Resorts Inc. 6 169
Four Seasons Hotels Inc. 1 54
Starwood Hotels & Resorts Worldwide Inc. 5 166
389
Manufacturing - 8.4%
3M Co. 3 224
General Electric Co. 10 304
Honeywell International Inc. 3 106
Tyco International Ltd. 25 666
1,300
Media - 12.9%
British Sky Broadcasting Plc (b) 3 41
Clear Channel Communications Inc. 6 258
Comcast Corp. - Special Class A (b) 10 317
COX Communications Inc. (b) 6 224
Gannett Co. Inc. 2 217
Liberty Media Corp. (b) 28 337
Time Warner Inc. (b) 17 303
Viacom Inc. - Class B 5 212
Walt Disney Co. 5 113
2,022
Oil & Gas Producers - 5.2%
ConocoPhillips 2 112
EnCana Corp. 6 248
Exxon Mobil Corp. 11 440
800
Pharmaceuticals - 6.5%
Caremark Rx Inc. (b) 6 142
Medco Health Solutions Inc. (b) 5 161
Pfizer Inc. 8 289
Roche Holding AG Genusschein 4 412
1,004
Pipelines - 0.8%
Kinder Morgan Inc. 2 121
Retail - 1.0%
Autozone Inc. (b) - 36
Petsmart Inc. 2 40
Staples Inc. (b) 3 72
148
Semiconductors - 7.0%
Applied Materials Inc. (b) 7 165
Intel Corp. 7 230
Linear Technology Corp. 4 163
Maxim Integrated Products Inc. 6 312
Nvidia Corp. (b) 2 44
Texas Instruments Inc. 6 168
1,082
Software - 4.5%
Computer Associates International Inc. 4 101
Electronic Arts Inc. (b) 2 102
Microsoft Corp. 15 401
Oracle Corp. (b) 7 92
696
Telecommunications Equipment - 3.5%
Cisco Systems Inc. (b) 15 365
Nokia Oyj - ADR 11 183
548
Toys & Hobbies - 1.0%
Mattel Inc. 8 160
Transportation - 0.9%
Canadian National Railway Co. 2 147
Total Common Stocks (cost $12,574) 14,582
Corporate Bonds - 1.0%
Advertising - 0.1%
Lamar Advertising Co., 2.875%, 12/31/10 (j) 15 16
Electric - 0.1%
CMS Energy Corp., 7.625%, 11/15/04 15 16
Environmental Control - 0.1%
Allied Waste North America, 7.875%, 04/15/13 10 11
Media - 0.2%
COX Communications Inc., 7.125%, 10/01/12 22 25
Oil & Gas Producers - 0.1%
Devon Energy Corp., 3.624%, 06/27/20 (j) 45 24
Telecommunications - 0.2%
CenturyTel Inc., 8.375%, 10/15/10 20 24
Toys & Hobbies - 0.2%
Mattel Inc., 6.125%, 07/15/05 34 36
Total Corporate Bonds (cost $138) 152
Preferred Stocks - 1.5%
Auto Manufacturers - 0.8%
Porsche AG - 132
Electric - 0.5%
Centerpoint Energy Inc. Convertible Preferred, 2.00% 2 71
Environmental Control - 0.2%
Allied Waste Industries Convertible Preferred, 6.25% - 26
Total Preferred Stocks (cost $212) 229
Short Term Investments - 2.1%
Money Market Funds - 0.2%
Dreyfus Cash Management Plus, 0.898% (a) 34 34
U.S. Government Agencies - 1.9%
Federal Home Loan Bank Discount Note,
0.75%, 01/02/04 300 300
Total Short Term Investments (cost $334) 334
Total Investments - 98.6% (cost $13,259) 15,297
Other Assets and Liabilities, Net - 1.4% 223
Total Net Assets - 100% 15,520
JNL/JPMorgan International Value Fund
Common Stocks - 75.8%
Aerospace & Defense - 1.1%
BAE Systems Plc 113 340
Auto Manufacturers - 2.9%
DaimlerChrysler AG 8 389
Honda Motor Co. Ltd. 10 462
851
Banks - 17.3%
ABN Amro Holding NV 28 660
Allied Irish Banks Plc 28 446
Australia & New Zealand Banking Group Ltd. 29 380
Bayerische Hypo-und Vereinsbank AG (b) 14 319
BNP Paribas SA 13 797
Credit Suisse Group 17 608
DBS Group Holdings Ltd. 38 329
HSBC Holdings Plc 24 378
Mizuho Financial Group Inc. (b) - 424
Royal Bank of Scotland Group Plc 26 780
5,121
Beverages - 1.4%
Asahi Breweries Ltd. 46 419
Building Materials - 0.6%
Buzzi Unicem SpA 15 176
Chemicals - 2.5%
Imperial Chemical Industries Plc 65 231
Reliance Industries Ltd. - GDR (e) 17 509
740
Commercial Services - 1.3%
Vedior NV 24 380
Computers - 1.7%
Fujitsu Ltd. (b) 83 489
Diversified Financial Services - 3.2%
Aiful Corp. 5 355
Daiwa Securities Group Inc. 49 333
Grupo Financiero BBVA Bancomer - ADR (b) 16 268
956
Electric - 4.2%
CEMIG SA - ADR 21 389
Iberdrola SA 24 481
Public Power Corp. 2 41
Scottish Power Plc 50 331
1,242
Electrical Components & Equipment - 1.3%
Samsung Electronics Co. Ltd. 1 397
Electronics - 2.0%
Koninklijke Philips Electronics NV 12 364
Nippon Electric Glass Co. Ltd. 12 233
597
Food - 2.9%
Tesco Plc 134 618
Unilever Plc 25 231
849
Holding Companies - Diversified - 1.0%
Wharf Holdings Ltd. 105 291
Home Furnishings - 1.8%
SONY Corp. 15 519
Insurance - 7.3%
Aviva Plc 50 439
AXA 34 724
China Life Insurance Co. Ltd. (b) 52 43
ING Groep NV 19 451
Zurich Financial Services AG (b) 3 496
2,153
Iron & Steel - 0.4%
Acerinox SA 3 131
Leisure Time - 0.9%
TUI AG 13 262
Lodging - 0.8%
InterContinental Hotels Group Plc 25 235
Machinery - 2.2%
Kubota Corp. 90 371
MAN AG 9 281
652
Metal Fabrication & Hardware - 0.7%
SKF AB 6 222
Oil & Gas Producers - 6.1%
ENI-Ente Nazionale Idrocarburi SpA 28 538
LUKOIL - ADR 2 230
Petroleo Brasileiro SA - Petrobras - ADR 12 325
Total Fina Elf SA 4 723
1,816
Pharmaceuticals - 2.6%
GlaxoSmithKline Plc 21 471
Schering AG 6 302
773
Retail - 1.4%
Compagnie Financiere Richemont AG - Class A 17 412
Telecommunications - 4.2%
Nippon Telegraph & Telephone Corp. - 425
Royal KPN NV (b) 61 471
Singapore Telecommunications Ltd. 298 344
1,240
Tobacco - 1.0%
Imperial Tobacco Group Plc 15 294
Water - 2.0%
Veolia Environnement 22 601
Wireless Telecommunications - 1.0%
Advanced Info Service Public Company Ltd. 137 293
Total Common Stocks (cost $19,558) 22,451
Short Term Investments - 18.6%
Money Market Funds - 9.5%
Dreyfus Cash Management Plus, 0.898% (a) 1,400 1,400
Dreyfus Government Cash Management, 0.893% (a) 1,400 1,400
2,800
Repurchase Agreement - 6.8%
Repurchase Agreement with Mellon Trust, 0.40%,
(Collateralized by $2,266 Federal Home Loan Mortgage
Corporation, 3.50%, due 06/15/23, market value $2,153)
acquired on 12/31/03, due 01/02/04 at $2,000 2,000 2,000
U.S. Treasury Bills - 2.3%
U.S. Treasury Bill, 0.895%, 03/11/04 (l) 690 689
Total Short Term Investments (cost $5,489) 5,489
Total Investments - 94.4% (cost $25,047) 27,940
Other Assets and Liabilities, Net - 5.6% 1,669
Total Net Assets - 100% 29,609
JNL/Lazard Mid Cap Value Fund
Common Stocks - 97.5%
Aerospace & Defense - 2.1%
Alliant Techsystems Inc. (b) 51 2,940
Apparel - 3.7%
NIKE Inc. 36 2,437
Polo Ralph Lauren Corp. 96 2,776
5,213
Auto Parts & Equipment - 1.2%
Lear Corp. 29 1,754
Banks - 5.6%
Charter One Financial Inc. 49 1,676
City National Corp. 29 1,777
Mercantile Bankshares Corp. 57 2,580
SouthTrust Corp. 60 1,954
7,987
Beverages - 3.2%
Pepsi Bottling Group Inc. 187 4,524
Building Materials - 0.9%
American Standard Cos. Inc. (b) 13 1,339
Chemicals - 3.2%
Ashland Inc. 38 1,687
Rohm & Haas Co. 68 2,883
4,570
Commercial Services - 3.7%
Aramark Corp. 116 3,173
Arbitron Inc. (b) 10 401
Iron Mountain Inc. (b) 42 1,676
5,250
Computers - 4.7%
Apple Computer Inc. (b) 110 2,344
Lexmark International Inc. (b) 32 2,548
Storage Technology Corp. (b) 69 1,772
6,664
Distribution & Wholesale - 1.4%
CDW Corp. 35 2,033
Diversified Financial Services - 3.0%
Federated Investors Inc. 79 2,322
Student Loan Corp. 13 1,898
4,220
Electric - 1.4%
NiSource Inc. 88 1,935
Environmental Control - 2.0%
Republic Services Inc. 110 2,817
Food - 1.5%
Safeway Inc. (b) 96 2,099
Gas - 1.5%
KeySpan Corp. 58 2,127
Hand & Machine Tools - 1.5%
Black & Decker Corp. 44 2,160
Healthcare - 6.9%
Anthem Inc. (b) 22 1,650
DaVita Inc. (b) 38 1,490
Edwards Lifesciences Corp. (b) 48 1,429
Laboratory Corp. of America Holdings (b) 91 3,370
Steris Corp. (b) 89 2,009
9,948
Household Products - 1.4%
Avery Dennison Corp. 37 2,067
Insurance - 6.7%
Cigna Corp. 40 2,323
Jefferson-Pilot Corp. 39 1,960
Principal Financial Group 46 1,505
Protective Life Corp. 68 2,305
XL Capital Ltd. 21 1,590
9,683
Internet - 1.2%
WebMD Corp. (b) 196 1,762
Lodging - 2.6%
Mandalay Resort Group 84 3,743
Manufacturing - 2.2%
ITT Industries Inc. 42 3,124
Office & Business Equipment - 1.8%
Pitney Bowes Inc. 62 2,531
Oil & Gas Producers - 3.9%
GlobalSantaFe Corp. 92 2,277
Unocal Corp. 44 1,624
Valero Energy Corp. 37 1,719
5,620
Oil & Gas Services - 2.4%
Baker Hughes Inc. 57 1,820
Cooper Cameron Corp. (b) 34 1,603
3,423
Packaging & Containers - 1.5%
Ball Corp. 35 2,109
Pharmaceuticals - 4.4%
AmerisourceBergen Corp. 38 2,111
Barr Laboratories Inc. (b) 17 1,270
NBTY Inc. (b) 108 2,887
6,268
Real Estate - 5.0%
AMB Property Corp. 66 2,154
Archstone-Smith Trust 99 2,767
Health Care Property Investors Inc. 44 2,230
7,151
Retail - 5.9%
Abercrombie & Fitch Co. - Class A (b) 55 1,354
TJX Cos. Inc. 119 2,626
Toys "R" Us Inc. (b) 121 1,527
Yum! Brands Inc. (b) 83 2,862
8,369
Semiconductors - 1.4%
AMIS Holdings Inc. (b) 109 1,983
Software - 4.1%
Dun & Bradstreet Corp. (b) 29 1,491
PeopleSoft Inc. (b) 101 2,300
SEI Investments Co. 72 2,194
5,985
Telecommunications - 0.9%
MCI Inc. (b) 55 1,302
Textiles - 0.9%
Mohawk Industries Inc. (b) 18 1,263
Toys & Hobbies - 2.4%
Mattel Inc. 176 3,384
Transportation - 1.3%
Swift Transportation Co. Inc. (b) 88 1,854
Total Common Stocks (cost $120,656) 139,201
Short Term Investments - 3.5%
Money Market Funds - 3.5%
Dreyfus Cash Management Plus, 0.898% (a) 4,986 4,986
Total Short Term Investments (cost $4,986) 4,986
Total Investments - 101.0% (cost $125,642) 144,187
Other Assets and Liabilities, Net - (1.0%) -1,389
Total Net Assets - 100% 142,798
JNL/Lazard Small Cap Value Fund
Common Stocks - 96.8%
Advertising - 1.3%
Advo Inc. 33 1,058
R.H. Donnelley Corp. (b) 24 960
2,018
Aerospace & Defense - 2.0%
DRS Technologies Inc. (b) 85 2,347
Titan Corp. (b) 33 718
3,065
Agriculture - 0.9%
Delta & Pine Land Co. 55 1,389
Apparel - 2.5%
Gymboree Corp. (b) 71 1,218
Timberland Co. - Class A (b) 25 1,312
Warnaco Group Inc. (b) 97 1,544
4,074
Banks - 7.4%
Chittenden Corp. 18 592
Community First Bankshares Inc. 55 1,586
East-West Bancorp. Inc. 9 483
First Community Bancorp. 22 799
First Midwest Bancorp. Inc. 54 1,740
Hudson United Bancorp. 29 1,057
South Financial Group Inc. 18 496
Sterling Bancshares Inc. 116 1,545
United Bankshares Inc. 48 1,494
W Holding Co. Inc. 52 976
Westamerica Bancorp. 17 825
11,593
Beverages - 0.5%
Robert Mondavi Corp. - Class A (b) 21 827
Biotechnology - 0.9%
Celgene Corp. (b) 33 1,463
Building Materials - 0.4%
Florida Rock Industries Inc. 11 598
Chemicals - 3.2%
Ferro Corp. 50 1,369
Olin Corp. 42 832
PolyOne Corp. (b) 176 1,123
Spartech Corp. 65 1,607
4,931
Commercial Services - 5.4%
BearingPoint Inc. (b) 166 1,677
FTI Consulting Inc. (b) 58 1,346
Kroll Inc. (b) 63 1,641
Learning Tree International Inc. (b) 81 1,405
Plexus Corp. (b) 66 1,137
Watson Wyatt & Co. Holdings (b) 52 1,258
8,464
Computers - 2.7%
Advanced Digital Information Corp. (b) 76 1,057
Maxtor Corp. (b) 102 1,128
Mentor Graphics Corp. (b) 88 1,278
Pec Solutions Inc. (b) 39 666
4,129
Cosmetics & Personal Care - 0.7%
Elizabeth Arden Inc. (b) 57 1,139
Distribution & Wholesale - 0.7%
ScanSource Inc. (b) 23 1,045
Diversified Financial Services - 2.3%
Financial Federal Corp. (b) 46 1,399
IndyMac Bancorp. Inc. 47 1,394
WP Stewart & Co. Ltd. 35 763
3,556
Electric - 0.5%
MDU Resources Group Inc. 31 746
Electrical Components & Equipment - 0.6%
GrafTech International Ltd. (b) 68 918
Electronics - 5.1%
Coherent Inc. (b) 66 1,564
Electro Scientific Industries Inc. (b) 81 1,923
Fisher Scientific International (b) 46 1,886
Flir Systems Inc. (b) 41 1,497
Varian Inc. (b) 23 976
Zygo Corp. (b) 11 185
8,031
Engineering & Construction - 0.8%
Chicago Bridge & Iron Co. NV 41 1,196
Entertainment - 1.4%
AMC Entertainment Inc. (b) 96 1,459
Intrawest Corp. 41 754
2,213
Environmental Control - 1.1%
Waste Connections Inc. (b) 45 1,696
Food - 1.3%
American Italian Pasta Co. (b) 47 1,957
Aurora Foods Inc. (b) 1 -
1,957
Gas - 0.9%
AGL Resources Inc. 28 818
Energen Corp. 12 509
1,327
Healthcare - 4.4%
Covance Inc. (b) 45 1,212
Inamed Corp. (b) 12 598
Inveresk Research Group Inc. (b) 47 1,172
Kindred Healthcare Inc. (b) 24 1,263
LifePoint Hospitals Inc. (b) 61 1,805
Manor Care Inc. 22 775
6,825
Home Builders - 0.6%
Monaco Coach Corp. (b) 42 995
Home Furnishings - 0.9%
Tempur-pedic International Inc. (b) 90 1,401
Household Products - 3.2%
Moore Wallace Inc. (b) 78 1,452
Scotts Co. - Class A (b) 20 1,154
Toro Co. 28 1,308
Yankee Candle Co. Inc. (b) 36 986
4,900
Insurance - 3.1%
HCC Insurance Holdings Inc. 52 1,641
Max Re Capital Ltd. 43 960
Reinsurance Group of America 17 657
RLI Corp. 22 832
Stancorp Financial Group Inc. 12 773
4,863
Internet - 1.7%
ProQuest Co. (b) 46 1,349
Verity Inc. (b) 76 1,272
2,621
Leisure Time - 0.7%
Brunswick Corp. 33 1,041
Machinery - 0.8%
Nordson Corp. 38 1,312
Manufacturing - 1.6%
Federal Signal Corp. 82 1,437
Roper Industries Inc. 20 970
2,407
Media - 3.5%
Journal Register Co. (b) 71 1,468
Liberty Corp. 38 1,694
Pulitzer Inc. 16 837
Scholastic Corp. (b) 44 1,491
5,490
Metal Fabrication & Hardware - 0.8%
Shaw Group Inc. (b) 90 1,230
Office Furnishings - 1.1%
Herman Miller Inc. 68 1,643
Oil & Gas Producers - 2.0%
Helmerich & Payne Inc. 52 1,447
Newfield Exploration Co. (b) 38 1,670
3,117
Oil & Gas Services - 1.8%
CAL Dive International Inc. (b) 63 1,519
Key Energy Services Inc. (b) 117 1,206
2,725
Packaging & Containers - 0.7%
Packaging Corp. of America 48 1,056
Pharmaceuticals - 5.0%
aaiPharma Inc. (b) 86 2,148
Able Laboratories Inc. (b) 76 1,379
Andrx Corp. (b) 74 1,784
MIM Corp. (b) 172 1,208
NeighborCare Inc. (b) 62 1,214
7,733
Pipelines - 1.4%
Kinder Morgan Management LLC (b) 36 1,565
Western Gas Resources Inc. 14 661
2,226
Real Estate - 5.1%
Alexandria Real Estate Equities Inc. 11 619
Camden Property Trust 26 1,156
CarrAmerica Realty Corp. 29 870
Catellus Development Corp. 64 1,533
Healthcare Realty Trust Inc. 30 1,072
Maguire Properties Inc. 53 1,293
Mills Corp. 30 1,316
7,859
Retail - 2.5%
Guitar Center Inc. (b) 34 1,108
Jack in the Box Inc. (b) 72 1,534
Sonic Corp. (b) 41 1,252
3,894
Semiconductors - 4.9%
Actel Corp. (b) 52 1,241
AMIS Holdings Inc. (b) 75 1,373
Exar Corp. (b) 80 1,366
Lattice Semiconductor Corp. (b) 122 1,184
Microsemi Corp. (b) 48 1,185
Zoran Corp. (b) 71 1,228
7,577
Software - 1.9%
Activision Inc. (b) 75 1,371
Borland Software Corp. (b) 155 1,506
2,877
Telecommunications - 1.0%
Talk America Holdings Inc. (b) 135 1,560
Telecommunications Equipment - 2.1%
C-COR.net Corp. (b) 159 1,773
CommScope Inc. (b) 7 111
Extreme Networks Inc. (b) 188 1,354
3,238
Transportation - 2.5%
EGL Inc. (b) 50 885
Forward Air Corp. (b) 34 927
Swift Transportation Co. Inc. (b) 71 1,501
USF Corp. 17 591
3,904
Wireless Telecommunications - 0.9%
Powerwave Technologies Inc. (b) 183 1,403
Total Common Stocks (cost $124,759) 150,272
Short Term Investments - 4.8%
Money Market Funds - 4.8%
Dreyfus Cash Management Plus, 0.898% (a) 7,385 7,385
Total Short Term Investments (cost $7,385) 7,385
Total Investments - 101.6% (cost $132,144) 157,657
Other Assets and Liabilities, Net - (1.6%) -2,466
Total Net Assets - 100% 155,191
JNL/Mellon Capital Management Bond Index Fund
Corporate Bonds - 27.6%
Aerospace & Defense - 0.3%
General Dynamics Corp., 4.25%, 05/15/13 150
United Technologies Corp.
6.35%, 03/01/11 75 84
6.70%, 08/01/28 50 56
284
Alternative Energy - 0.1%
Midamerican Energy Co., 6.75%, 12/30/31 50 54
Asset Backed Securities - 5.5%
Bear Stearns Commercial Mortgage Securities,
6.80%, 09/15/08 119 126
Capital One Master Trust, 6.31%, 06/15/11 200 219
Capital One Prime Auto Receivables Trust,
2.59%, 09/15/09 150 149
Chase Manhattan Auto Owner Trust, 3.09%, 11/15/05 32 32
Chase Manhattan Bank-First Union, 7.439%, 08/15/31 50 58
Chevy Chase Auto Receivables Trust, 3.80%, 11/15/05 43 43
DaimlerChrysler Auto Trust, 3.78%, 02/06/07 400 410
DLJ Commercial Mortgage Corp.
6.93%, 08/10/09 191 208
6.46%, 03/10/32 50 56
6.88%, 06/10/32 60 65
First Union Commercial Mortgage Securities Inc.,
6.65%, 11/18/29 100 110
First Union National Bank Commercial Mortgage Trust
7.184%, 12/15/31 84 90
7.39%, 12/15/31 105 122
First Union National Bank-Bank of America
Commercial Mortgage Trust, 6.136%, 03/15/33 301 330
First Union-Lehman Brothers-Bank of America
Commercial Mortgage Trust, 6.56%, 11/18/35 250 279
GMAC Commercial Mortgage Securities Inc.,
6.42%, 05/15/35 100 111
Heller Financial Commercial Mortgage Asset Corp.,
6.50%, 05/15/31 92 100
Honda Auto Receivables Owner Trust
3.96%, 02/19/07 250 254
2.77%, 11/21/08 200 201
Household Automotive Trust, 4.37%, 12/17/08 100 103
JPMorgan Commercial Mortgage Finance Corp.,
6.507%, 10/15/35 (g) 35 39
LB Commercial Conduit Mortgage Trust
6.48%, 02/18/30 200 221
6.41%, 06/15/31 149 158
6.78%, 06/15/31 223 252
LB-UBS Commercial Mortgage Trust
5.401%, 03/15/26 111 116
5.594%, 06/15/31 75 80
Morgan Stanley Capital I, 6.52%, 03/15/30 100 111
Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 117
Mortgage Capital Funding Inc., 7.288%, 02/20/27 32 34
PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 61
Salomon Brothers Mortgage Securities VII,
6.17%, 02/13/10 100 110
Sears Credit Account Master Trust, 5.65%, 03/17/09 188 192
Toyota Auto Receivables Owner Trust, 4.72%, 09/15/08 125 128
4,685
Auto Manufacturers - 0.6%
DaimlerChrysler NA Holding Corp.
7.25%, 01/18/06 250 270
4.75%, 01/15/08 150 154
4.05%, 06/04/08 100 99
523
Banks - 3.3%
Bank of America Corp.
5.25%, 02/01/07 100 107
4.875%, 09/15/12 150 151
Bank One Corp., 6.50%, 02/01/06 200 217
Barclays Bank Plc, 6.86%, 09/15/49 (e) 50 54
BB&T Corp., 6.50%, 08/01/11 75 84
HSBC Holdings Plc, 5.25%, 12/12/12 100 102
KeyCorp, 4.625%, 05/16/05 150 156
KFW International Finance, 2.50%, 10/17/05 100 101
Korea Development Bank, 5.50%, 11/13/12 75 78
National Australia Bank Ltd., 8.60%, 05/19/10 250 310
National City Bank, 4.625%, 05/01/13 100 98
National Westminster Bank PLC, 7.375%, 10/01/09 250 292
NB Capital Trust II, 7.83%, 12/15/26 75 85
Popular North America Inc., 4.25%, 04/01/08 100 102
Province of Ontario, 6.00%, 02/21/06 200 216
Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 100 99
US Bancorp., 6.75%, 10/15/05 75 81
US Bank National Association, 6.375%, 08/01/11 100 112
Wachovia Corp., 7.55%, 08/18/05 100 109
Wells Fargo & Co., 5.00%, 11/15/14 200 199
2,753
Beverages - 0.4%
Anheuser-Busch Cos. Inc., 6.80%, 01/15/31 75 86
Coca-Cola Enterprises Inc.
6.125%, 08/15/11 75 83
7.125%, 08/01/17 100 118
Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 86
373
Chemicals - 0.4%
Dow Chemical Co.
6.125%, 02/01/11 50 54
6.00%, 10/01/12 50 53
E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 100 101
Praxair Inc., 3.95%, 06/01/13 100 94
Rohm & Haas Co., 7.85%, 07/15/29 50 61
363
Computers - 0.3%
Hewlett-Packard Co., 7.15%, 06/15/05 100 107
International Business Machines Corp.
4.75%, 11/29/12 75 75
7.00%, 10/30/45 50 58
240
Diversified Financial Services - 6.7%
Associates Corp., 6.25%, 11/01/08 300 333
Bear Stearns Co. Inc., 7.80%, 08/15/07 250 289
Boeing Capital Corp., 5.80%, 01/15/13 125 131
Citigroup Inc., 6.00%, 02/21/12 100 109
Countrywide Home Loans Inc., 5.50%, 08/01/06 75 80
Ford Motor Credit Co.
7.75%, 03/15/05 250 264
6.125%, 01/09/06 250 260
7.20%, 06/15/07 100 109
5.625%, 10/01/08 200 205
7.25%, 10/25/11 75 81
General Electric Capital Corp.
4.25%, 01/15/08 150 155
6.75%, 03/15/32 150 166
General Motors Acceptance Corp.
4.50%, 07/15/06 200 206
6.125%, 09/15/06 100 107
6.125%, 02/01/07 150 161
6.125%, 08/28/07 200 215
7.25%, 03/02/11 175 192
Goldman Sachs Group Inc.
6.65%, 05/15/09 250 283
5.25%, 04/01/13 100 101
Household Finance Corp.
6.875%, 03/01/07 100 112
7.625%, 05/17/32 150 182
International Lease Finance Corp., 5.75%, 10/15/06 250 269
JP Morgan Chase & Co.
5.625%, 08/15/06 100 108
6.625%, 03/15/12 100 112
5.75%, 01/02/13 100 105
Lehman Brothers Holdings Inc., 7.00%, 02/01/08 250 282
Merrill Lynch & Co. Inc., 7.375%, 05/15/06 100 111
Morgan Stanley Dean Witter & Co., 7.25%, 04/01/32 100 117
National Rural Utilities, 5.75%, 08/28/09 200 217
SLM Corp., 5.05%, 11/14/14 250 247
Textron Financial Corp., 7.125%, 12/09/04 50 52
Toyota Motor Credit Corp., 2.875%, 08/01/08 100 98
Wells Fargo Financial Inc., 7.60%, 05/03/05 100 108
5,567
Electric - 1.4%
Alabama Power Co., 5.875%, 12/01/22 100 102
Florida Power & Light Co., 6.00%, 06/01/08 100 110
FPL Group Capital Inc., 7.375%, 06/01/09 100 117
Hydro Quebec, 7.50%, 04/01/16 100 123
Northern States Power Co., 8.00%, 08/28/12 100 122
Ohio Power Co., 5.50%, 02/15/13 100 103
Peco Energy Co., 4.75%, 10/01/12 100 100
PPL Electric Utilities Corp., 6.25%, 08/15/09 100 110
SCANA Corp., 6.875%, 05/15/11 75 85
Virginia Electric and Power Co., 4.75%, 03/01/13 50 49
Wisconsin Energy Corp., 6.50%, 04/01/11 100 110
1,131
Food - 1.1%
Archer-Daniels-Midland Co., 8.125%, 06/01/12 75 92
HJ Heinz Finance Co., 6.625%, 07/15/11 200 226
Kraft Foods Inc.
4.625%, 11/01/06 50 52
5.25%, 06/01/07 100 106
Nabisco Inc., 7.05%, 07/15/07 200 225
Sara Lee Corp., 6.25%, 09/15/11 75 83
Unilever Capital Corp., 7.125%, 11/01/10 100 116
900
Gas - 0.1%
KeySpan Corp., 6.15%, 06/01/06 100 108
Healthcare - 0.2%
Baxter International Inc., 4.625%, 03/15/15 75 72
UnitedHealth Group Inc., 7.50%, 11/15/05 85 93
165
Insurance - 0.8%
Allstate Corp.
6.125%, 02/15/12 75 82
5.35%, 06/01/33 75 69
American International Group Inc., 4.25%, 05/15/13 (e) 100 95
Chubb Corp., 5.20%, 04/01/13 100 101
Hartford Life Inc., 7.65%, 06/15/27 75 90
Metlife Inc., 5.00%, 11/24/13 100 99
Travelers Property Casualty Corp., 6.75%, 11/15/06 100 111
647
Investment Companies - 0.4%
Credit Suisse First Boston Inc., 7.125%, 07/15/32 100 114
Credit Suisse First Boston USA Inc.
5.875%, 08/01/06 100 108
6.125%, 11/15/11 100 109
331
Machinery - 0.3%
Caterpillar Inc., 7.30%, 05/01/31 100 120
Deere & Co., 8.10%, 05/15/30 70 90
210
Media - 0.4%
AOL Time Warner Inc., 6.125%, 04/15/06 200 215
Viacom Inc., 7.875%, 07/30/30 125 156
371
Mining - 0.5%
Alcan Inc., 4.875%, 09/15/12 50 50
Alcoa Inc., 6.50%, 06/01/11 125 141
BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 200 201
392
Oil & Gas Producers - 0.8%
Apache Corp., 7.95%, 04/15/26 50 63
Conoco Funding Co., 7.25%, 10/15/31 75 88
ConocoPhillips, 6.65%, 07/15/18 75 85
Norsk Hydro ASA, 6.36%, 01/15/09 150 167
Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 83
Texaco Capital Inc., 8.625%, 11/15/31 100 142
628
Oil & Gas Services - 0.2%
Baker Hughes Inc., 6.25%, 01/15/09 150 167
Pharmaceuticals - 0.6%
Bristol-Myers Squibb Co., 5.75%, 10/01/11 100 108
Cardinal Health Inc., 6.75%, 02/15/11 75 86
Pharmacia Corp., 6.60%, 12/01/28 100 112
Schering-Plough Corp., 6.50%, 12/01/33 50 52
Wyeth, 5.25%, 03/15/13 100 102
460
Pipelines - 0.1%
Consolidated Natural Gas Co., 6.80%, 12/15/27 50 54
Retail - 1.1%
CVS Corp., 5.625%, 03/15/06 300 321
Kohl's Corp., 7.25%, 06/01/29 75 88
Lowe's Cos. Inc., 6.875%, 02/15/28 75 84
McDonald's Corp., 5.95%, 01/15/08 100 108
Target Corp.
5.50%, 04/01/07 75 81
7.00%, 07/15/31 100 113
Wal-Mart Stores Inc.
4.55%, 05/01/13 100 99
7.55%, 02/15/30 50 62
956
Software - 0.3%
First Data Corp., 5.625%, 11/01/11 200 213
Telecommunications - 1.4%
Alltel Corp., 7.875%, 07/01/32 50 61
BellSouth Corp., 6.875%, 10/15/31 200 219
GTE Corp., 6.94%, 04/15/28 50 52
SBC Communications Inc., 5.875%, 02/01/12 100 106
Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 116
Sprint Capital Corp., 6.00%, 01/15/07 150 160
Telefonica Europe BV, 8.25%, 09/15/30 100 126
Verizon Global Funding Corp.
7.25%, 12/01/10 250 288
7.75%, 12/01/30 50 59
1,187
Wireless Telecommunications - 0.3%
Vodafone Group PLC, 7.75%, 02/15/10 200 237
Total Corporate Bonds (cost $22,892) 22,999
Government Securities - 70.5%
Sovereign - 1.8%
Canadian Government, 6.75%, 08/28/06 100 111
European Bank for Reconstruction & Development,
5.375%, 06/15/06 100 108
Export Development Canada, 2.75%, 12/12/05 100 101
Inter-American Development Bank
5.375%, 01/18/06 100 109
6.125%, 03/08/06 100 109
7.375%, 01/15/10 100 120
International Finance Corp., 5.25%, 05/02/06 100 106
Province of Quebec
5.75%, 02/15/09 125 137
7.50%, 07/15/23 100 123
Republic of Italy
2.50%, 03/31/06 100 100
5.375%, 06/15/33 100 96
Spain Government International Bond, 7.00%, 07/19/05 100 108
United Mexican States, 7.50%, 04/08/33 150 155
1,483
U.S. Government Agencies - 52.5%
Federal Home Loan Mortgage Corp.
6.00%, TBA (c) 653 685
7.50%, TBA (c) 594 638
7.50%, TBA (c) 814 875
1.50%, 08/15/05 1,320 1,315
2.125%, 11/15/05 550 552
2.50%, 12/15/05 1,300 1,315
2.50%, 03/15/06 2,470 2,490
4.50%, 07/23/07 150 152
3.50%, 09/15/07 1,305 1,328
2.75%, 03/14/08 300 295
5.125%, 07/15/09 200 204
4.75%, 08/13/09 200 204
5.75%, 05/15/12 55 60
5.125%, 07/15/12 148 155
5.125%, 08/20/12 75 75
4.625%, 05/28/13 75 74
6.50%, 06/01/14 2,928 3,100
7.00%, 06/01/15 20 21
7.00%, 08/01/15 80 86
7.00%, 11/01/15 5 5
7.00%, 11/01/16 214 229
5.50%, 07/01/17 731 758
4.50%, 01/01/18 1,454 1,454
5.50%, 04/01/18 887 920
6.50%, 12/01/28 241 252
6.50%, 05/01/29 349 365
6.50%, 03/01/31 138 145
7.00%, 06/01/31 86 91
6.25%, 07/15/32 125 136
6.60%, 08/01/32 540 566
6.00%, 12/01/32 349 361
5.50%, 04/01/33 (f) 1,961 1,986
5.50%, 05/01/33 1,890 1,914
5.50%, 08/01/33 997 1,009
4.50%, 10/01/33 1,991 1,908
Federal National Mortgage Association
4.00%, TBA (c) 2,600 2,533
6.00%, TBA (c) 900 930
6.50%, TBA (c) 288 301
4.75%, 06/18/07 150 152
3.25%, 01/15/08 300 301
2.50%, 06/15/08 345 333
3.25%, 08/15/08 350 347
6.625%, 09/15/09 90 103
5.375%, 11/15/11 50 53
4.625%, 10/15/13 175 174
6.50%, 02/01/16 132 140
6.00%, 06/01/16 313 328
6.50%, 09/01/16 56 59
6.50%, 10/01/16 96 102
6.50%, 12/01/16 5 5
5.50%, 03/01/17 668 694
5.50%, 12/01/17 1,259 1,306
4.00%, 10/01/18 (f) 2,478 2,418
6.25%, 05/15/29 450 487
7.00%, 02/01/31 478 506
5.50%, 01/01/32 577 585
6.50%, 04/01/32 295 309
6.00%, 01/01/33 475 491
6.00%, 02/01/33 663 686
5.00%, 10/01/33 993 983
4.50%, 11/01/33 1,700 1,628
Government National Mortgage Association
8.00%, 04/15/30 95 103
8.50%, 06/15/30 120 130
8.50%, 12/15/30 6 7
6.50%, 01/15/32 505 533
6.00%, 10/15/32 436 454
5.50%, 07/15/33 968 986
43,890
U.S. Treasury Securities - 16.2%
U.S. Treasury Bond
11.25%, 02/15/15 500 800
8.75%, 05/15/17 545 764
8.875%, 08/15/17 100 142
8.875%, 02/15/19 855 1,222
8.00%, 11/15/21 800 1,080
7.125%, 02/15/23 605 755
6.50%, 11/15/26 210 247
6.375%, 08/15/27 150 174
5.25%, 02/15/29 100 101
U.S. Treasury Note
4.625%, 05/15/06 425 450
4.375%, 05/15/07 300 318
3.25%, 08/15/07 320 326
6.125%, 08/15/07 750 839
5.50%, 02/15/08 785 866
5.50%, 05/15/09 750 834
6.50%, 02/15/10 1,415 1,644
5.75%, 08/15/10 375 421
5.00%, 08/15/11 825 883
4.875%, 02/15/12 395 418
4.375%, 08/15/12 605 617
3.875%, 02/15/13 125 123
8.125%, 05/15/21 375 511
13,535
Total Government Securities (cost $58,393) 58,908
Municipals - 0.3%
Illinois St Taxable Pension, 5.10%, 06/01/33 200 184
New Jersey St Turnpike, 4.252%, 01/01/16 100 95
Total Municipals (cost $278) 279
Short Term Investments - 1.5%
Money Market Funds - 1.5%
Dreyfus Cash Management Plus, 0.898% (a) 1,262 1,262
Total Short Term Investments (cost $1,262) 1,262
Total Investments - 99.9% (cost $82,825) 83,448
Other Assets and Liabilities, Net - 0.1% 99
Total Net Assets - 100% 83,547
JNL/Mellon Capital Management International Index Fund
Common Stocks - 91.8%
Advertising - 0.2%
Aegis Group Plc 15 27
Asatsu-DK Inc. 1 13
Dentsu Inc. - 15
Publicis Groupe 1 35
Telefonica Publicidad e Informacion SA 1 6
WPP Group Plc 14 140
236
Aerospace & Defense - 0.4%
BAE Systems Plc 36 109
Cobham Plc 1 27
European Aeronautic Defense and Space Co. 4 85
Finmeccanica SpA 71 56
Rolls-Royce Group Plc 18 58
Sagem SA - 23
Thales SA 1 33
Zodiac SA - 14
405
Airlines - 0.2%
Air France 1 15
All Nippon Airways Co. Ltd. (b) 6 15
British Airways Plc (b) 6 24
Cathay Pacific Airways Ltd. 11 21
Deutsche Lufthansa AG 2 40
Iberia Lineas Aereas de Espana SA 6 18
Japan Airlines System Corp. 9 24
Ryanair Holdings Plc (b) 1 7
SAS AB (b) 1 12
Singapore Airlines Ltd. 7 46
222
Apparel - 0.2%
Adidas-Salomon AG - 56
Benetton Group SpA - 3
Gunze Ltd. 3 14
Hermes International - 18
Onward Kashiyama Co. Ltd. 2 24
Puma AG Rudolf Dassler Sport - 44
Tokyo Style Co. Ltd. 1 11
Wacoal Corp. 1 8
World Co. Ltd. 1 19
Yue Yuen Industrial Holdings 5 14
211
Auto Manufacturers - 3.0%
DaimlerChrysler AG 10 486
Fiat SpA (b) 6 42
Hino Motors Ltd. 3 21
Honda Motor Co. Ltd. 10 422
Nissan Motor Co. Ltd. 30 344
Peugeot SA 2 109
Renault SA 2 142
Toyota Motor Corp. 33 1,108
Volkswagen AG 3 154
Volvo AB - Class A 1 35
Volvo AB - Class B 3 83
2,946
Auto Parts & Equipment - 0.5%
Bridgestone Corp. 8 108
Compagnie Generale des Etablissements Michelin - Class B 2 73
Continental AG 1 50
Denso Corp. 6 116
GKN Plc 8 38
Koyo Seiko Co. Ltd. 1 10
NGK Spark Plug Co. Ltd. 2 16
Nokian Renkaat Oyj - 15
Pirelli & Co. SpA 20 21
Sanden Corp. 1 6
Toyoda Gosei Co. Ltd. 1 17
Valeo SA 1 33
503
Banks - 16.4%
77 Bank Ltd. 4 22
ABN Amro Holding NV 19 436
Allied Irish Banks Plc 10 164
Alpha Bank A.E. 2 63
Australia & New Zealand Banking Group Ltd. 22 290
Banca Intesa SpA 44 170
Banca Intesa SpA RNC 12 33
Banca Monte dei Paschi di Siena SpA 14 45
Banca Nazionale del Lavoro SpA (b) 17 40
Banca Popolare di Milano SCRL 4 29
Banche Popolari Unite Scrl (b) 4 69
Banco Bilbao Vizcaya Argentaria SA 37 508
Banco BPI SA 6 21
Banco Comercial Portugues SA 25 55
Banco Espirito Santo SA 1 17
Banco Popolare di Verona 5 77
Banco Popular Espanol 2 113
Banco Santander Central Hispano SA 52 616
Bank Austria Creditanstalt AG (b) 1 25
Bank of East Asia 17 53
Bank of Fukuoka Ltd. 7 29
Bank of Ireland 12 158
Bank of Yokohama Ltd. 12 56
Barclays Plc 79 709
Bayerische Hypo-und Vereinsbank AG (b) 4 102
BNP Paribas SA 10 618
BOC Hong Kong Holdings Ltd. 34 63
Capitalia SpA (b) 14 39
Chiba Bank Ltd. 7 29
Commercial Bank of Greece 1 20
Commerzbank AG 6 114
Commonwealth Bank of Australia 15 337
Credit Agricole SA 4 98
Credit Suisse Group 14 527
Danske Bank A/S 6 138
DBS Group Holdings Ltd. 13 113
Deutsche Bank AG 6 523
Dexia 8 134
DnB Holding ASA 9 63
EFG Eurobank Ergasias SA 2 47
Erste Bank der Oesterreichischen Sparkassen AG - 42
FinecoGroup SpA (b) 25 18
Fortis 13 253
Gunma Bank Ltd. 4 18
Hang Seng Bank Ltd. 9 122
HBOS Plc 47 603
Hokugin Financial Group Inc. (b) 9 12
HSBC Holdings Plc 132 2,071
Hypo Real Estate Holding Inc. (b) 2 39
Joyo Bank Ltd. 7 23
KBC Bancassurance Holding 1 52
Lloyds TSB Group Plc 68 544
Mitsubishi Tokyo Financial Group Inc. - 382
Mitsui Trust Holdings Inc. (b) 6 34
Mizuho Financial Group Inc. (b) - 234
National Australia Bank Ltd. 18 410
National Bank of Greece SA 2 58
Nordea AB 28 213
Oversea-Chinese Banking Corp. Ltd. 12 85
Piraeus Bank SA 2 18
Resona Holdings Inc. (b) 53 67
Royal Bank of Scotland Group Plc 34 998
Sanpaolo IMI SpA 12 160
Shizuoka Bank Ltd. 7 52
Singapore Post Ltd. 23 9
Skandinaviska Enskilda Banken AB 6 82
Societe Generale 4 349
Sumitomo Mitsui Financial Group Inc. - 245
Sumitomo Trust & Banking Co. Ltd. 11 65
Suncorp-Metway Ltd. 7 61
Suruga Bank Ltd. 2 13
Svenska Handelsbanken 1 14
Svenska Handelsbanken AB - Class B 7 137
UBS AG 14 983
UFJ Holdings Inc. (b) - 207
UniCredito Italiano SpA 46 247
United Overseas Bank Ltd. 14 109
Westpac Banking Corp. 22 262
16,054
Beverages - 1.3%
Asahi Breweries Ltd. 5 46
Carlsberg A/S - 14
Coca-Cola Amatil Ltd. 5 21
Coca-Cola Hellenic Bottling Co. SA 1 21
Coca-Cola West Japan Co. Ltd. - 6
Diageo Plc 38 495
Foster's Group Ltd. 27 93
Fraser & Neave Ltd. 2 13
Heineken NV 2 90
Interbrew 2 51
ITO EN Ltd. - 17
Kirin Brewery Co. Ltd. 8 68
Lion Nathan Ltd. 3 14
Pernod-Ricard 1 73
SABMiller Plc 10 100
Sapporo Holdings Ltd. 5 14
Scottish & Newcastle Plc 9 62
Southcorp Ltd. 9 18
Takara Holdings Inc. 2 19
1,235
Biotechnology - 0.1%
Novozymes A/S 1 26
Qiagen NV (b) 1 17
Sonic Healthcare Ltd. 3 17
Zeltia SA 1 10
70
Building Materials - 1.3%
Asahi Glass Co. Ltd. 9 74
Boral Ltd. 7 26
BPB Plc 5 33
Central Glass Co. Ltd. 2 13
Cie de Saint-Gobain 4 186
Cimpor Cimentos de Portugal SA 2 12
CRH Plc 6 131
CSR Ltd. 12 17
Daikin Industries Ltd. 2 46
Fletcher Building Ltd. 5 13
FLS Industries A/S (b) - 2
Geberit AG - 17
Hanson Plc 9 65
HeidelbergCement AG (b) 1 23
Holcim Ltd. 2 85
Imerys SA - 30
Italcementi SpA 1 15
James Hardie Industries NV 6 30
Lafarge SA 2 179
Matsushita Electric Works Ltd. 5 45
Nippon Sheet Glass Co. Ltd. 4 12
Pilkington Plc 12 21
Rinker Group Ltd. 10 51
RMC Group Plc 3 39
Sumitomo Osaka Cement Co. Ltd. 2 4
Taiheiyo Cement Corp. 8 23
Titan Cement Co. SA - 16
Tostem Inax Holding Corp. 3 58
Wienerberger AG - 13
1,279
Chemicals - 2.4%
Air Liquide SA 1 218
Akzo Nobel NV 3 126
Asahi Kasei Corp. 15 81
BASF AG 7 368
Bayer AG 8 232
BOC Group Plc 6 93
Ciba Specialty Chemicals AG (b) 1 63
Clariant AG (b) 1 18
Daicel Chemical Industries Ltd. 2 8
Dainippon Ink and Chemicals Inc. 8 15
Denki Kagaku Kogyo KK 5 16
DSM NV 1 46
Givaudan - 44
Hitachi Chemical Co. Ltd. 1 20
Imperial Chemical Industries Plc 15 54
Ishihara Sangyo Kaisha Ltd. (b) 1 2
Johnson Matthey Plc 3 50
JSR Corp. 2 45
Kaneka Corp. 3 22
Lonza Group AG 1 29
Mitsubishi Chemical Corp. 20 52
Mitsubishi Gas Chemical Co. Inc. 5 17
Mitsui Chemicals Inc. 7 41
Nippon Kayaku Co. Ltd. 1 5
Nippon Sanso Corp. 3 13
Nippon Shokubai Co. Ltd. 1 8
Nissan Chemical Industries Ltd. 2 18
Nitto Denko Corp. 2 106
Shin-Etsu Chemical Co. Ltd. 4 180
Showa Denko KK 13 29
Solvay SA 1 72
Sumitomo Bakelite Co. Ltd. 2 13
Sumitomo Chemical Co. Ltd. 14 58
Syngenta AG 1 88
Tosoh Corp. 6 20
Ube Industries Ltd. 9 18
2,288
Commercial Services - 1.1%
Abertis Infraestructuras SA 2 38
Adecco SA 2 96
Aggreko Plc 5 13
Autoroutes du Sud de la France 1 30
Autostrade SpA (b) 2 40
Bellsystem 24 Inc. - 10
Benesse Corp. 1 22
Brambles Industries Ltd. 11 43
Brambles Industries Plc 10 36
Brisa-Auto Estradas de Portugal SA 4 25
Bunzl Plc 6 46
Capita Group Plc 8 33
Dai Nippon Printing Co. Ltd. 7 98
Davis Service Group Plc 2 13
De La Rue Plc 3 14
Group 4 Falck A/S 1 16
Hays Plc 19 42
IHC Caland NV - 20
ISS A/S 1 30
Kamigumi Co. Ltd. 3 21
Kidde Plc 9 18
Nichii Gakkan Co. - 18
Rank Group Plc 7 33
Rentokil Initial Plc 21 73
Securicor Plc 8 14
Securitas AB 4 50
Serco Group Plc 6 18
SGS Societe Generale Surveillance Holding SA - 29
TIS Inc. 1 17
Toppan Printing Co. Ltd. 7 73
Transurban Group 4 14
Vedior NV 1 18
1,061
Computers - 0.6%
Atos Origin SA (b) - 22
Cap Gemini SA (b) 1 61
Computershare Ltd. 7 18
Creative Technology Ltd. 1 14
CSK Corp. 1 29
Fujitsu Ltd. (b) 19 112
Indra Sistemas SA 2 24
Itochu Techno-Science Corp. 1 16
LogicaCMG Plc 9 41
Logitech International SA (b) 1 26
Meitec Corp. 1 19
NET One Systems Co. Ltd. - 23
Obic Co. Ltd. - 20
TDK Corp. 1 101
Tietoenator Oyj 1 25
WM-Data AB (b) 1 2
553
Cosmetics & Personal Care - 0.6%
Aderans Co. Ltd. - 3
Beiersdorf AG - 35
Kanebo Ltd. (b) 2 2
Kao Corp. 7 142
L'Oreal SA 4 333
Shiseido Co. Ltd. 4 49
Uni-Charm Corp. 1 29
593
Distribution & Wholesale - 0.6%
Cycle & Carriage Ltd. 1 3
Esprit Holdings Ltd. 9 28
Hagemeyer NV 1 1
Itochu Corp. 16 53
Li & Fung Ltd. 18 31
Marubeni Corp. 16 31
Mitsubishi Corp. 12 127
Mitsui & Co. Ltd. 14 113
Sumitomo Corp. 8 59
Wolseley Plc 7 96
542
Diversified Financial Services - 1.5%
Acom Co. Ltd. 1 38
Aeon Credit Service Co. Ltd. - 13
Aiful Corp. 1 37
Amvescap Plc 8 60
Australian Stock Exchange Ltd. 2 20
Banca Fideuram SpA 4 23
Cattles Plc 4 25
Close Brothers Group Plc 1 19
Credit Saison Co. Ltd. 2 34
Daiwa Securities Group Inc. 14 95
Deutsche Boerse AG 1 71
Euronext NV 1 28
Hong Kong Exchanges and Clearing Ltd. 12 26
Irish Life & Permanent Plc 3 56
Macquarie Bank Ltd. 3 68
Man Group Plc 3 87
Mediobanca SpA 6 62
MLP AG (b) 1 15
Nikko Cordial Corp. 15 84
Nomura Holdings Inc. 21 358
OM AB 1 10
ORIX Corp. 1 83
Promise Co. Ltd. 1 48
Provident Financial Plc 3 33
Sampo Oyj - Class A 4 37
Schroders Plc 2 18
Singapore Exchange Ltd. 4 4
Takefuji Corp. 1 40
1,492
Electric - 3.2%
Chubu Electric Power Co. Inc. 8 159
CLP Holdings Ltd. 21 100
Contact Energy Ltd. 5 19
E.ON AG 8 494
Electrabel SA - 119
Electricidade de Portugal SA 20 53
Endesa SA 11 210
Enel SpA 29 200
Fortum Oyj 4 42
Hong Kong Electric Holdings Ltd. 17 65
Iberdrola SA 9 188
International Power Plc (b) 15 33
Kansai Electric Power Co. Inc. 8 140
Kyushu Electric Power Co. Inc. 5 84
National Grid Transco Plc 37 267
Public Power Corp. 1 27
RWE AG 6 220
Scottish & Southern Energy Plc 10 122
Scottish Power Plc 23 150
Tohoku Electric Power Co. Inc. 5 81
Tokyo Electric Power Co. Inc. 14 305
Union Fenosa SA 3 49
Verbund-Oesterreichische Elektrizitaetswirtschafts AG - 4
3,131
Electrical Components & Equipment - 1.0%
Bekaert SA - 11
Casio Computer Co. Ltd. 2 21
Fujikura Ltd. 4 24
Furukawa Electric Co. Ltd. 7 23
Hitachi Cable Ltd. 1 4
Hitachi Ltd. 35 211
Johnson Electric Holdings Ltd. 17 22
Mitsubishi Electric Corp. 21 87
NEG Micon A/S (b) - 2
Sanyo Electric Co. Ltd. 19 99
Sharp Corp. 11 174
Stanley Electric Co. Ltd. 2 39
Sumitomo Electric Industries Ltd. 7 62
Toshiba Corp. 33 125
Ushio Inc. 1 16
Vestas Wind Systems A/S 1 21
941
Electronics - 1.7%
Advantest Corp. 1 64
Alps Electric Co. Ltd. 2 29
Anritsu Corp. (b) 1 7
Barco NV - 12
Dainippon Screen Manufacturing Co. Ltd. (b) 2 14
Electrocomponents Plc 5 32
Epcos AG (b) 1 18
Fanuc Ltd. 2 102
Hirose Electric Co. Ltd. - 46
Keyence Corp. - 89
Koninklijke Philips Electronics NV 16 467
Kyocera Corp. 2 133
Mabuchi Motor Co. Ltd. - 31
Minebea Co. Ltd. 4 20
Mitsumi Electric Co. Ltd. 1 12
Murata Manufacturing Co. Ltd. 3 146
NEC Corp. 20 147
NGK Insulators Ltd. 3 22
Omron Corp. 3 51
Secom Co. Ltd. 3 93
Taiyo Yuden Co. Ltd. 1 13
Venture Corp. Ltd. 3 35
Yokogawa Electric Corp. 3 43
1,626
Engineering & Construction - 1.0%
ABB Ltd. (b) 20 101
Acciona SA - 21
ACS SA 1 64
Amec Plc 4 18
Auckland International Airport Ltd. 3 16
BAA Plc 13 115
Balfour Beatty Plc 5 21
Bouygues SA 2 85
Cheung Kong Infrastructure Holdings Ltd. 6 13
COMSYS Holdings Corp. (b) 1 6
Flughafen Wien AG - 3
Fomento de Construcciones Y Contratas SA 1 26
Grupo Ferrovial SA 1 32
Hellenic Technodomiki Tev SA - 1
JGC Corp. 2 21
Kajima Corp. 10 32
Kinden Corp. 1 5
Kobenhavns Lufthavne - 15
Leighton Holdings Ltd. 2 19
Linde AG 1 58
New World Development Co. Ltd. 19 15
Nishimatsu Construction Co. Ltd. 3 10
Obayashi Corp. 7 31
Okumura Corp. 3 13
SembCorp Industries Ltd. 19 14
Shimizu Corp. 6 23
Singapore Technologies Engineering Ltd. 17 20
Skanska AB 5 43
Taisei Corp. 10 37
Takuma Co. Ltd. 1 5
Technical Olympic SA 1 4
Toda Corp. 1 3
VA Technologie AG (b) - 1
Vinci SA 1 66
957
Entertainment - 0.3%
Aristocrat Leisure Ltd. 1 2
EMI Group Plc 9 24
Greek Organization of Football Prognostics SA 2 29
Hilton Group Plc 19 77
Oriental Land Co. Ltd. 1 43
TAB Ltd. 7 23
TABCORP Holdings Ltd. 4 38
Toho Co. Ltd. 2 19
William Hill Plc 5 35
290
Environmental Control - 0.0%
Kurita Water Industries Ltd. 1 14
Tomra Systems ASA 3 17
31
Food - 4.6%
Ajinomoto Co. Inc. 7 80
Ariake Japan Co. Ltd. - 4
Axfood AB - 9
Cadbury Schweppes Plc 25 184
Carrefour SA 7 383
Casino Guichard-Perrachon SA - 42
Colruyt SA - 19
Compass Group Plc 27 183
Danisco A/S 1 27
Delhaize Group 1 51
Fyffes Plc 6 11
Greencore Group Plc 3 13
Groupe Danone 2 250
House Foods Corp. 1 6
J Sainsbury Plc 17 94
Jeronimo Martins (b) - 3
Katokichi Co. Ltd. - 3
Kerry Group Plc 1 25
Kesko Oyj 1 14
Kikkoman Corp. 2 14
Koninklijke Ahold NV (b) 13 100
Meiji Dairies Corp. 3 13
Meiji Seika Kaisha Ltd. 3 12
Metro AG 2 79
Nestle SA 5 1,229
Nichirei Corp. 3 10
Nippon Meat Packers Inc. 2 20
Nisshin Seifun Group Inc. 2 18
Nissin Food Products Co. Ltd. 1 30
Numico NV (b) 2 49
Orkla ASA 2 54
Ostasiatiske Kompagni - 13
QP Corp. 2 13
Safeway Plc 14 69
Snow Brand Milk Products Co. Ltd. (b) 1 1
Sodexho Alliance SA 1 31
Suedzucker AG 1 10
Tate & Lyle Plc 5 28
Tesco Plc 89 409
Toyo Suisan Kaisha Ltd. 1 11
Unilever NV 7 451
Unilever Plc 34 313
Woolworths Ltd. 13 113
Yakult Honsha Co. Ltd. 1 16
Yamazaki Baking Co. Ltd. 1 8
4,515
Forest Products & Paper - 0.5%
Billerud AB 1 10
Carter Holt Harvey Ltd. 15 18
Holmen AB 1 18
Mayr-Melnhof Karton AG - 5
Nippon Unipac Holding - 52
Norske Skogindustrier ASA 1 23
OJI Paper Co. Ltd. 10 65
PaperlinX Ltd. 5 20
Stora Enso Oyj - Class R 8 102
Svenska Cellulosa AB 2 94
UPM-Kymmene Oyj 6 121
528
Gas - 0.6%
Australian Gas Light Co. Ltd. 5 47
Centrica Plc 52 195
Gas Natural SDG SA 3 60
Hong Kong & China Gas Co. Ltd. 46 70
Osaka Gas Co. Ltd. 24 65
Snam Rete Gas SpA 11 48
Tokyo Gas Co. Ltd. 31 110
595
Hand & Machine Tools - 0.5%
Fuji Electric Co. Ltd. 6 13
KCI Konecranes Oyj - 3
KONE Corp. Oyj - Class B - 23
Makita Corp. 1 10
Nidec Corp. - 38
Sandvik AB 3 90
Schindler Holding AG (b) - 19
Schneider Electric SA 3 167
SMC Corp. 1 87
Techtronic Industries Co. 6 17
THK Co. Ltd. 1 23
490
Healthcare - 0.7%
Amersham Plc 9 117
Cie Generale D'Optique Essilor International SA 1 63
Cochlear Ltd. 1 10
Coloplast A/S - 13
Fisher & Paykel Healthcare Corp. - 2
Fresenius Medical Care AG - 27
Gambro AB 4 33
Getinge AB 2 23
Hoya Corp. 1 119
Luxottica Group SpA 2 31
Nobel Biocare Holding AG - 25
Parkway Holdings Ltd. 2 1
Smith & Nephew Plc 11 95
SNIA SpA 2 4
SSL International Plc 3 18
Synthes-Stratec Inc. - 52
Terumo Corp. 2 38
William Demant Holding A/S (b) - 7
678
Holding Companies - Diversified - 0.7%
DCC Plc 1 12
Groupe Bruxelles Lambert SA 1 50
Haw Par Corp. Ltd. 1 3
Hutchison Whampoa Ltd. 26 192
Keppel Corp. Ltd. 6 22
LVMH Moet Hennessy Louis Vuitton SA 3 216
Patrick Corp. Ltd. 2 21
Swire Pacific Ltd. 11 65
Tomkins Plc 10 47
Viohalco - 2
Wharf Holdings Ltd. 14 39
669
Home Builders - 0.3%
Barratt Developments Plc 3 26
Berkeley Group Plc 2 25
Daiwa House Industry Co. Ltd. 5 53
George Wimpey Plc 4 27
Persimmon Plc 3 29
Sekisui Chemical Co. Ltd. 5 25
Sekisui House Ltd. 6 62
Taylor Woodrow Plc 6 29
276
Home Furnishings - 1.0%
Bang & Olufsen A/S - 4
Electrolux AB - Series B 4 79
Fisher & Paykel Appliances Holdings Ltd. 1 3
Matsushita Electric Industrial Co. Ltd. 25 348
MFI Furniture Group Plc 8 20
Pioneer Corp. 2 53
SONY Corp. 11 367
Thomson 3 63
Yamaha Corp. 2 33
970
Household Products - 0.3%
Henkel KGaA 1 55
Reckitt Benckiser Plc 7 166
Societe BIC SA - 21
Toto Ltd. 4 34
Waterford Wedgwood Plc 3 1
277
Insurance - 4.4%
Aegon NV 16 242
Alleanza Assicurazioni SpA 5 59
Allianz AG 4 446
Amp Limited 22 84
Assicurazioni Generali SpA 12 308
Aviva Plc 27 240
AXA 17 366
CNP Assurances 1 28
Corporacion Mapfre SA 1 15
Daido Life Insurance Co. Ltd. - 39
Friends Provident Plc 20 48
HHG Plc (b) 17 12
ING Groep NV 21 495
Insurance Australia Group Ltd. 21 66
Legal & General Group Plc 79 142
Mediolanum SpA 4 28
Millea Holdings Inc. - 235
Mitsui Sumitomo Insurance Co. Ltd. 15 123
Muenchener Rueckversicherungs AG 2 223
Pohjola Group Plc - Class D - 3
Prudential Plc 24 206
QBE Insurance Group Ltd. 8 64
Riunione Adriatica di Sicurta SpA 3 58
Royal & Sun Alliance Insurance Group Plc 32 51
Skandia Forsakrings AB 9 33
Sompo Japan Insurance Inc. 9 74
Storebrand ASA (b) 2 15
Swiss Reinsurance 4 265
Topdanmark A/S (b) - 21
Zurich Financial Services AG (b) 2 251
4,240
Internet - 0.1%
Softbank Corp. 3 76
Trend Micro Inc. (b) 1 27
Wanadoo (b) 5 38
141
Investment Companies - 0.1%
Independent Newspapers Ltd. 2 5
Macquarie Infrastructure Group 23 60
65
Iron & Steel - 0.6%
Acerinox SA 1 28
Arcelor 4 73
BHP Steel Ltd. 10 41
Boehler-Uddeholm AG - 2
JFE Holdings Inc. 5 147
Nippon Steel Corp. 66 142
OneSteel Ltd. 9 14
Rautaruukki Oyj (b) - 3
Ssab Svenskt Stal AB 1 14
Sumitomo Metal Industries Ltd. 35 35
ThyssenKrupp AG 4 72
Voestalpine AG - 10
581
Leisure Time - 0.2%
Amer Group Ltd. - 13
Carnival Plc 2 82
Kuoni Reisen Holding AG - 15
Namco Ltd. 1 16
Sankyo Co. Ltd. 1 16
Shimano Inc. 1 21
TUI AG 1 27
Yamaha Motor Co. Ltd. 1 11
201
Lodging - 0.2%
Accor SA 2 105
InterContinental Hotels Group Plc 9 82
NH Hoteles SA (b) 1 13
Overseas Union Enterprise Ltd. 1 4
Shangri-La Asia Ltd. 14 13
Sky City Entertainment Group Ltd. 7 21
238
Machinery - 0.4%
Alstom (b) 6 10
Amada Co. Ltd. 3 16
Atlas Copco AB 2 79
Ebara Corp. 3 13
Komatsu Ltd. 11 70
Komori Corp. 1 15
Kubota Corp. 12 49
MAN AG 1 33
Metso Oyj 2 20
Sumitomo Heavy Industries Ltd. (b) 7 16
Toyota Industries Corp. 2 36
357
Manufacturing - 1.8%
AGFA-Gevaert NV 1 36
Alfa Laval AB 1 12
Amano Corp. 1 7
Ansell Ltd. 3 14
BBA Group Plc 6 28
FKI Plc 9 18
Fuji Photo Film Co. Ltd. 6 194
Futuris Corp. Ltd. 2 3
IMI Plc 4 23
Invensys Plc (b) 40 13
Ishikawajima-Harima Heavy Industries Co. Ltd. 12 17
Kawasaki Heavy Industries Ltd. 13 16
Konica Corp. 5 67
Mitsubishi Heavy Industries Ltd. 33 92
Nikon Corp. (b) 3 45
NKT Holding A/S - 2
Novar Plc 6 14
Olympus Optical Co. Ltd. 3 65
Orica Ltd. 3 31
Siemens AG 10 781
Smiths Group Plc 6 76
Sulzer AG - 16
Trelleborg AB 1 20
Uponor Oyj - 13
Wartsila Oyj 1 12
Wesfarmers Ltd. 5 91
1,706
Media - 2.0%
Amoldo Mondadori Editore SpA 2 18
Antena 3 Television SA (b) - 7
British Sky Broadcasting Plc (b) 15 192
Carlton Communications Plc 7 29
Daily Mail & General Trust 4 48
EMAP Plc 3 48
Eniro AB 2 16
Fuji Television Network Inc. - 16
Granada Plc 32 69
Gruppo Editoriale L'Espresso SpA 2 14
Independent News & Media Plc 6 15
John Fairfax Holdings Ltd. 11 30
Lagardere S.C.A. 2 89
Mediaset SpA 7 87
Modern Times Group AB (b) 1 15
News Corp. Ltd. 18 163
Pearson Plc 10 106
Promotora de Informaciones SA (Prisa) 1 17
ProSieben Sat.1 Media AG 1 19
Publishing & Broadcasting Ltd. 2 17
Reed Elsevier NV 7 90
Reed Elsevier Plc 16 132
Reuters Group Plc 18 74
Schibsted ASA 1 14
SCMP Group Ltd. 4 2
Seat Pagine Gialle SpA (b) 53 45
Singapore Press Holdings Ltd. 5 56
Societe Television Francaise 1 1 52
Television Broadcasts Ltd. 3 15
Tokyo Broadcasting System Inc. - 6
United Business Media Plc 4 38
Vivendi Universal SA (b) 11 269
VNU NV 3 81
Wolters Kluwer NV 3 53
Yell Group Plc 5 28
1,970
Metal Fabrication & Hardware - 0.1%
Assa Abloy AB - Class B 3 40
Hoganas AB - 4
NSK Ltd. 5 18
NTN Corp. 6 29
SKF AB 1 39
SKF AB - Class A - 8
138
Mining - 1.5%
Alumina Ltd. 13 65
Aluminum of Greece S.A.I.C. - 2
BHP Billiton Ltd. 45 417
BHP Billiton Plc 30 262
Dowa Mining Co. Ltd. 3 16
Iluka Resources Ltd. 4 12
Mitsubishi Materials Corp. (b) 11 17
Mitsui Mining & Smelting Co. Ltd. 6 25
Newcrest Mining Ltd. 4 41
Outokumpu Oyj 1 16
Rio Tinto Ltd. 4 102
Rio Tinto Plc 13 356
Sumitomo Metal Mining Co. Ltd. 6 45
Umicore - 16
WMC Resources Ltd. (b) 14 59
1,451
Office & Business Equipment - 0.7%
Canon Inc. 10 465
OCE NV 1 19
Ricoh Co. Ltd. 8 158
Seiko Epson Corp. 1 37
679
Office Furnishings - 0.0%
Kokuyo Co. Ltd. 1 9
Oil & Gas Producers - 7.6%
BG Group Plc 43 219
BP Plc 268 2,173
ENI-Ente Nazionale Idrocarburi SpA 32 594
Hellenic Petroleum SA 2 16
Nippon Mining Holdings Inc. 6 21
Nippon Oil Corp. 15 76
Norsk Hydro ASA 2 111
OMV AG - 30
Origin Energy Ltd. 8 29
Repsol YPF SA 11 217
Royal Dutch Petroleum Co. - NYS 25 1,334
Santos Ltd. 7 38
Shell Transport & Trading Co. Plc 117 872
Showa Shell Sekiyu KK 1 8
Statoil ASA 5 61
Teikoku Oil Co. Ltd. 3 15
TonenGeneral Sekiyu KK 4 33
Total Fina Elf SA 8 1,450
Woodside Petroleum Ltd. 6 63
7,360
Oil & Gas Services - 0.0%
Aker Kvaerner ASA (b) - 2
Smedvig ASA - Class A - 2
Technip-Coflexip SA - 21
25
Packaging & Containers - 0.2%
Amcor Ltd. 10 64
Rexam Plc 7 57
Toyo Seikan Kaisha Ltd. 2 28
149
Pharmaceuticals - 7.5%
Alliance Unichem Plc 3 26
Altana AG 1 50
AstraZeneca Plc 21 993
Aventis SA 8 542
Celesio AG - 17
Celltech Group Plc (b) 3 20
Chugai Pharmaceutical Co. Ltd. 3 47
CSL Ltd. 2 28
Daiichi Pharmaceutical Co. Ltd. 3 49
Eisai Co. Ltd. 3 73
Elan Corp. Plc (b) 5 35
Fujisawa Pharmaceutical Co. Ltd. 3 64
GlaxoSmithKline Plc 72 1,656
H Lundbeck A/S 1 10
Kyowa Hakko Kogyo Co. Ltd. 4 26
Mayne Group Ltd. 10 24
Merck KGaA 1 29
Novartis AG 29 1,309
Novo-Nordisk A/S 3 126
Omega Pharma SA - 3
Orion-Yhtymae Oy - 6
Roche Holding AG Bearer - 59
Roche Holding AG Genusschein 9 864
Sankyo Co. Ltd. 4 77
Sanofi-Synthelabo SA 4 333
Schering AG 2 103
Serono SA - Class B - 54
Shionogi & Co. Ltd. 4 74
Suzuken Co. Ltd. - 10
Taisho Pharmaceutical Co. Ltd. 2 36
Takeda Chemical Industries Ltd. 10 404
UCB SA 1 37
Yamanouchi Pharmaceutical Co. Ltd. 4 115
7,299
Real Estate - 1.7%
British Land Co. Plc 6 61
Canary Wharf Group Plc (b) 5 26
CapitaLand Ltd. 16 15
Castellum AB 1 12
Centro Properties Group 8 23
CFS Gandel Retail Trust 17 17
Cheung Kong Holdings Ltd. 18 143
City Developments Ltd. 5 18
Cofinimmo SA - 14
Commonwealth Property Office Fund 9 8
Corio NV 1 21
Daito Trust Construction Co. Ltd. 1 36
Deutsche Office Trust 16 13
Drott AB 1 21
Gecina SA (b) - 31
General Property Trust 22 49
Great Portland Estates Plc 3 12
Hammerson Plc 3 38
Hang Lung Properties Ltd. 14 18
Henderson Land Development Co. Ltd. 9 40
Hopewell Holdings 8 12
Hysan Development Co. Ltd. 10 15
Immofinanz Immobilien Anlagen AG (b) 2 17
Investa Property Group 17 25
Japan Real Estate Investment Corp. - 19
Klepierre - 18
Land Securities Group Plc 5 97
Lend Lease Corp. Ltd. 5 37
Liberty International Plc 3 35
Macquarie Goodman Industrial Trust 17 22
Mirvac Group 7 24
Mitsubishi Estate Co. Ltd. 12 114
Mitsui Fudosan Co. Ltd. 8 72
Nippon Building Fund Inc. - 19
Rodamco Europe NV 1 31
Sacyr Vallehermoso SA 1 21
Sino Land Co. 10 6
Slough Estates Plc 5 38
Stockland 14 57
Sumitomo Realty & Development Co. Ltd. 4 35
Sun Hung Kai Properties Ltd. 16 132
Unibail Holding 1 47
United Overseas Land Ltd. 2 2
Wereldhave NV - 22
Westfield Holdings Ltd. 5 56
Westfield Trust (b) 1 2
Westfield Trust 26 70
1,663
Retail - 2.5%
Aeon Co. Ltd. 3 94
Aoyama Trading Co. Ltd. 1 16
Autobacs Seven Co. Ltd. - 2
Autogrill SpA (b) 2 24
Boots Group Plc 10 122
Bulgari SpA 2 19
Citizen Watch Co. Ltd. 3 28
Coles Myer Ltd. 14 78
Compagnie Financiere Richemont AG - Class A 6 152
Daimaru Inc. 3 17
D'ieteren NV - 3
Dixons Group Plc 22 54
Douglas Holding AG - 11
Enterprise Inns Plc 2 33
FamilyMart Co. Ltd. 1 18
Fast Retailing Co. Ltd. 1 43
Folli - Follie SA - 3
Giordano International Ltd. 24 11
Grafton Group Plc (b) 2 12
GUS Plc 12 170
Hankyu Department Stores Inc. 1 7
Harvey Norman Holdings Ltd. 8 18
Hellenic Duty Free Shops SA 1 10
Hennes & Mauritz AB - Class B 6 140
ID 2 21
Inditex SA 3 56
Isetan Co. Ltd. 2 22
Ito-Yokado Co. Ltd. 4 126
KarstadtQuelle AG 1 12
Kesa Electricals Plc 6 30
Kingfisher Plc 28 140
Koninklijke Vendex KBB NV 1 17
Lawson Inc. 1 27
Marks & Spencer Group Plc 27 139
Marui Co. Ltd. 4 53
Matsumotokiyoshi Co. Ltd. - 9
Mitchells & Butlers Plc 7 29
Mitsukoshi Ltd. (b) 5 20
Next Plc 4 70
Pinault-Printemps-Redoute SA 1 78
Saizeriya Co. Ltd. - 1
Seven-Eleven Japan Co. Ltd. 5 152
Shimachu Co. Ltd. 1 14
Shimamura Co. Ltd. - 20
Signet Group Plc 21 39
Skylark Co. Ltd. 1 18
Sonae SGPS SA (b) 15 13
Swatch Group AG 1 18
Swatch Group AG - Class B - 52
Takashimaya Co. Ltd. 3 21
USS Co. Ltd. - 21
Valora Holding AG - 7
Warehouse Group Ltd. 1 3
Whitbread Plc 4 47
Yamada Denki Co. Ltd. 1 27
2,387
Semiconductors - 0.8%
ARM Holdings Plc (b) 13 29
ASM Pacific Technology 1 4
ASML Holding NV (b) 6 110
Chartered Semiconductor Manufacturing Ltd. (b) 14 14
Infineon Technologies AG (b) 6 79
Rohm Co. Ltd. 1 153
ST Assembly Test Services Ltd. (b) 1 1
STMicroelectronics NV 7 192
Tokyo Electron Ltd. 2 137
Unaxis Holding AG - 23
742
Shipbuilding - 0.0%
Mitsui Engineering & Shipbuilding Co. Ltd. 10 17
SembCorp Marine Ltd. 7 4
21
Software - 0.7%
Business Objects SA (b) 1 25
Capcom Co. Ltd. - 3
Dassault Systemes SA 1 32
Hitachi Software Engineering Co. Ltd. - 10
Konami Corp. 1 26
Misys Plc 7 27
Nomura Research Institute Ltd. - 29
Oracle Corp. Japan - 21
Sage Group Plc 16 50
SAP AG 3 422
645
Storage/Warehousing - 0.0%
Mitsubishi Logistics Corp. 1 8
Telecommunications - 4.2%
BT Group Plc 105 354
Cable & Wireless Plc 29 69
Deutsche Telekom AG (b) 31 559
Elisa Communications Oyj - Class A (b) 2 24
France Telecom SA (b) 13 374
Hellenic Telecommunications Organization SA 3 39
Nippon Telegraph & Telephone Corp. - 309
PCCW Ltd. (b) 40 26
Portugal Telecom SGPS SA 11 113
PT-Multimedia - Servicos de Telecomunicacoes e Multimedia SG1S SA (b) 16
Royal KPN NV (b) 26 198
Singapore Telecommunications Ltd. 73 84
Swisscom AG - 105
TDC A/S 2 58
Tele2 AB - Class B (b) 1 64
Telecom Corp. 23 82
Telecom Italia SpA (b) 180 472
Telefonica SA 57 838
Telekom Austria AG (b) 2 30
Telenor ASA 9 56
TeliaSonera AB 19 98
Telstra Corp. Ltd. 25 91
Tiscali SpA (b) 2 15
4,074
Telecommunications Equipment - 1.7%
Alcatel SA (b) 15 190
GN Store Nord (b) 3 19
Intracom SA 1 3
Kudelski SA (b) 1 18
Nokia Oyj 58 1,005
NTT Data Corp. - 61
Oki Electric Industry Co. Ltd. (b) 7 27
Tandberg ASA (b) 2 15
Telefonaktiebolaget LM Ericsson (b) 177 317
1,655
Textiles - 0.2%
Kuraray Co. Ltd. 4 34
Mitsubishi Rayon Co. Ltd. 7 26
Nisshinbo Industries Inc. 1 6
Teijin Ltd. 10 29
Texwinca Holdings Ltd. 6 4
Toray Industries Inc. 14 59
Toyobo Co. Ltd. 7 15
173
Tobacco - 0.7%
Altadis SA 3 96
British American Tobacco Plc 19 265
Imperial Tobacco Group Plc 9 174
Japan Tobacco Inc. - 66
Swedish Match AB 4 39
640
Toys & Hobbies - 0.2%
Bandai Co. Ltd. 1 25
Nintendo Co. Ltd. 1 112
Sega Corp. (b) 2 16
153
Transportation - 1.4%
Amadeus Global Travel Distribution SA 2 15
Associated British Ports Holdings Plc 4 32
Central Japan Railway Co. - 95
ComfortDelGro Corp. Ltd. 17 8
Compagnie Maritime Belge SA - 2
Dampskibsselskabet Svendborg - 94
Deutsche Post AG 5 95
DSV De Sammensluttede Vognmaend af - 9
East Japan Railway Co. - 193
Exel Plc 4 49
Firstgroup Plc 6 27
Frontline Ltd. 1 21
Kawasaki Kisen Kaisha Ltd. 5 25
Keihin Electric Express Railway Co. Ltd. 4 23
Keio Electric Railway Co. Ltd. 6 31
Kinki Nippon Railway Co. Ltd. (b) 18 54
Mitsui O.S.K. Lines Ltd. 10 49
MTR Corp. 18 24
Neptune Orient Lines Ltd. (b) 13 17
Nippon Express Co. Ltd. 9 42
Nippon Yusen Kabushiki Kaisha 11 50
Peninsular and Oriental Steam Navigation Co. 10 41
Seino Transportation Co. Ltd. 1 8
SembCorp Logistics Ltd. 1 1
Stagecoach Group Plc 12 17
Tobu Railway Co. Ltd. 9 32
Tokyu Corp. 12 62
Toll Holdings Ltd. 3 16
TPG NV 4 92
West Japan Railway Co. - 55
Yamato Transport Co. Ltd. 5 59
1,338
Venture Capital - 0.1%
3i Group Plc 7 82
Jafco Co. Ltd. - 23
105
Water - 0.5%
Kelda Group Plc 4 36
Severn Trent Plc 4 55
Sociedad General de Aguas de Barcelona SA - 5
Suez SA 10 197
United Utilities Plc 11 80
Veolia Environnement 3 73
446
Wireless Telecommunications - 2.9%
Mobistar SA (b) - 11
NTT DoCoMo Inc. - 474
SmarTone Telecommunications Holding Ltd. 7 7
TIM SpA 46 250
Vodafone Group Plc 827 2,049
Vodafone-Panafon SA 2 17
2,808
Total Common Stocks (cost $74,555) 89,131
Preferred Stocks - 0.3%
Auto Manufacturers - 0.1%
Porsche AG - 60
Volkswagen AG 1 43
103
Cosmetics & Personal Care - 0.0%
Wella AG - 12
Healthcare - 0.0%
Fresenius Medical Care AG - 18
Media - 0.2%
News Corp. Ltd. 28 211
Total Preferred Stocks (cost $283) 344
Warrants - 0.0%
Commercial Services - 0.0%
Hopewell Highway Infrastructure, Strike Price 4.18 HKD,
Expiring 08/05/06 1 -
Machinery - 0.0%
Alstom, Strike Price 1.25 EUR, Expiring 01/09/04 1 -
Total Warrants (cost $2) -
Short Term Investments - 7.4%
Money Market Funds - 6.9%
Dreyfus Cash Management Plus, 0.898% (a) 4,818 4,818
Dreyfus Government Cash Management, 0.893% (a) 1,923 1,923
6,741
U.S. Treasury Bills - 0.5%
U.S. Treasury Bill, 0.895%, 03/11/04 (l) 450 449
Total Short Term Investments (cost $7,190) 7,190
Total Investments - 99.5% (cost $82,030) 96,665
Other Assets and Liabilities, Net - 0.5% 461
Total Net Assets - 100% 97,126
JNL/Oppenheimer Global Growth Fund
Common Stocks - 91.9%
Advertising - 0.8%
JC Decaux SA (b) 21 349
WPP Group Plc 47 465
814
Aerospace & Defense - 3.4%
Boeing Co. 12 514
Empresa Brasileira de Aeronautica SA - ADR 35 1,212
Lockheed Martin Corp. 10 529
Northrop Grumman Corp. 5 516
Raytheon Co. 25 751
3,522
Banks - 9.0%
ABN Amro Holding NV 61 1,427
Australia & New Zealand Banking Group Ltd. 34 455
Bank One Corp. 40 1,842
ICICI Bank Ltd. - ADR 75 1,293
Northern Trust Corp. 5 227
Resona Holdings Inc. (b) 242 305
Royal Bank of Scotland Group Plc 39 1,162
Societe Generale 17 1,519
Wachovia Corp. 26 1,196
9,426
Beverages - 1.6%
Cia de Bebidas das Americas - ADR 24 614
Diageo Plc 17 228
Fomento Economico Mexicano SA de CV 124 458
Grupo Modelo SA 168 401
1,701
Biotechnology - 2.2%
Affymetrix Inc. (b) 18 445
Amgen Inc. (b) 12 717
Biogen Idec Inc. (b) 3 99
Genentech Inc. (b) 3 243
Human Genome Sciences Inc. (b) 13 172
Millennium Pharmaceuticals Inc. (b) 12 232
Qiagen NV (b) 35 435
2,343
Chemicals - 0.4%
International Flavors & Fragrances Inc. 13 471
Commercial Services - 0.4%
Rentokil Initial Plc 125 426
Computers - 3.9%
Cadence Design Systems Inc. (b) 147 2,638
International Business Machines Corp. 5 438
Sandisk Corp. (b) 2 104
Synopsys Inc. (b) 26 862
4,042
Cosmetics & Personal Care - 1.1%
Gillette Co. 22 812
Shiseido Co. Ltd. 29 352
1,164
Diversified Financial Services - 3.2%
American Express Co. 18 873
Charles Schwab Corp. 38 450
Citigroup Inc. 9 422
Credit Saison Co. Ltd. 20 443
Fannie Mae 5 383
MBNA Corp. 18 451
MLP AG (b) 15 295
3,317
Electrical Components & Equipment - 1.7%
Samsung Electronics Co. Ltd. 3 961
Sharp Corp. 51 805
1,766
Electronics - 1.3%
Applera Corp. - Applied Biosystems Group 21 437
Keyence Corp. 2 437
Murata Manufacturing Co. Ltd. 9 486
1,360
Engineering & Construction - 0.3%
JGC Corp. 20 209
Leighton Holdings Ltd. 9 78
287
Entertainment - 0.9%
International Game Technology 27 950
Food - 1.4%
Cadbury Schweppes Plc 142 1,040
Carrefour SA 8 432
1,472
Gas - 0.5%
Hong Kong & China Gas Co. Ltd. 322 492
Healthcare - 2.7%
Cie Generale D'Optique Essilor International SA 8 392
Johnson & Johnson 14 702
Oxford Health Plans (b) 9 400
Quest Diagnostics Inc. 12 863
Smith & Nephew Plc 58 486
2,843
Holding Companies - Diversified - 0.4%
Hutchison Whampoa Ltd. 58 428
Household Products - 3.1%
Hindustan Lever Ltd. 176 791
Reckitt Benckiser Plc 85 1,933
Societe BIC SA 10 482
3,207
Insurance - 4.8%
ACE Ltd. 21 875
Aegon NV 71 1,046
Allianz AG 10 1,203
Berkshire Hathaway Inc. - Class B (b) - 873
Everest Re Group Ltd. 6 465
Manulife Financial Corp. 16 524
4,986
Internet - 1.2%
Symantec Corp. (b) 6 194
Trend Micro Inc. (b) 21 564
Yahoo Japan Corp. (b) - 470
1,228
Manufacturing - 0.3%
Bombardier Inc. - Class B 67 285
Media - 8.9%
Grupo Televisa SA - ADR 18 710
Pearson Plc 84 935
Reed Elsevier Plc 87 724
Singapore Press Holdings Ltd. 56 629
Sirius Satellite Radio Inc. (b) 1,027 3,246
Societe Television Francaise 1 15 528
Television Broadcasts Ltd. 191 965
Vivendi Universal SA (b) 23 564
Wolters Kluwer NV 31 492
ZEE Telefilms Ltd. 199 654
9,447
Office & Business Equipment - 0.4%
Canon Inc. 9 419
Oil & Gas Producers - 4.5%
BP Plc - ADR 18 865
Burlington Resources Inc. 7 388
ChevronTexaco Corp. 10 864
EnCana Corp. 15 604
ENI-Ente Nazionale Idrocarburi SpA 23 440
Husky Energy Inc. 57 1,042
Total Fina Elf SA 2 461
4,664
Pharmaceuticals - 10.0%
Aventis SA 12 772
Chugai Pharmaceutical Co. Ltd. 31 448
Eli Lilly & Co. 7 478
Express Scripts Inc. - Class A (b) 7 472
Gilead Sciences Inc. (b) 15 872
Mylan Laboratories Inc. 19 470
Novartis AG 17 782
Pfizer Inc. 28 1,001
Roche Holding AG Genusschein 13 1,341
Sanofi-Synthelabo SA 26 1,958
Schering-Plough Corp. 34 583
Shionogi & Co. Ltd. 51 950
Teva Pharmaceutical Industries Ltd. - ADR 8 431
10,558
Retail - 4.8%
Boots Group Plc 44 540
Circuit City Stores Inc. - Circuit City Group 55 557
Dixons Group Plc 385 957
Gap Inc. 23 522
Hennes & Mauritz AB - Class B 41 972
Panera Bread Co. - Class A (b) 5 202
RadioShack Corp. 14 423
Seven-Eleven Japan Co. Ltd. 13 394
Starbucks Corp. (b) 15 479
5,046
Semiconductors - 2.7%
Advanced Micro Devices Inc. (b) 82 1,225
National Semiconductor Corp. (b) 24 954
Novellus Systems Inc. (b) 11 441
Nvidia Corp. (b) 7 160
2,780
Software - 3.0%
BEA Systems Inc. (b) 37 458
Electronic Arts Inc. (b) 4 177
IMS Health Inc. 23 562
Infosys Technologies Ltd. 7 911
Red Hat Inc. (b) 15 274
Sybase Inc. (b) 25 505
Veritas Software Corp. (b) 7 256
3,143
Telecommunications - 4.1%
Amdocs Ltd. (b) 18 394
France Telecom SA (b) 51 1,449
KDDI Corp. - 2,492
4,335
Telecommunications Equipment - 4.1%
Alcatel SA (b) 45 575
Cisco Systems Inc. (b) 23 559
JDS Uniphase Corp. (b) 194 708
Juniper Networks Inc. (b) 14 258
Scientific-Atlanta Inc. 13 366
Tandberg ASA (b) 111 814
Telefonaktiebolaget LM Ericsson (b) 553 991
4,271
Transportation - 0.4%
Amadeus Global Travel Distribution SA 62 403
Venture Capital - 0.4%
3i Group Plc 39 428
Wireless Telecommunications - 4.0%
Qualcomm Inc. 45 2,432
SK Telecom Co. Ltd. - ADR 16 289
SK Telecom Co. Ltd. 2 294
Vodafone Group Plc 469 1,163
4,178
Total Common Stocks (cost $78,164) 96,202
Corporate Bonds - 0.2%
Biotechnology - 0.2%
Nektar Therapeutics, 3.00%, 06/30/10 (e) (j) 126 171
Cosmetics & Personal Care - 0.0%
Hindustan Lever Ltd., 9.00%, 01/01/05 INR 926 21
Total Corporate Bonds (cost $146) 192
Preferred Stocks - 2.5%
Auto Manufacturers - 1.0%
Porsche AG 2 1,084
Pharmaceuticals - 0.5%
Fresenius AG 8 563
Telecommunications - 0.9%
Tele Norte Leste Participacoes SA 58,941 928
Total Preferred Stocks (cost $1,949) 2,575
Short Term Investments - 8.8%
Money Market Funds - 8.8%
Dreyfus Cash Management Plus, 0.898% (a) 5,166 5,166
Dreyfus Government Cash Management, 0.893% (a) 4,025 4,025
Total Short Term Investments (cost $9,191) 9,191
Total Investments - 103.4% (cost $89,450) 108,160
Other Assets and Liabilities, Net - (3.4%) -3,535
Total Net Assets - 100% 104,625
JNL/Oppenheimer Growth Fund
Common Stocks - 92.4%
Beverages - 1.3%
PepsiCo Inc. 9 429
Biotechnology - 9.4%
Amgen Inc. (b) 22 1,334
Genentech Inc. (b) 18 1,667
Medimmune Inc. (b) 3 86
3,087
Computers - 5.4%
Dell Inc. (b) 40 1,373
EMC Corp. (b) 33 421
1,794
Cosmetics & Personal Care - 0.9%
Avon Products Inc. 5 304
Diversified Financial Services - 6.6%
American Express Co. 15 709
Citigroup Inc. 22 1,082
Morgan Stanley 7 385
2,176
Healthcare - 6.2%
Boston Scientific Corp. (b) 17 632
Stryker Corp. 8 652
Varian Medical Systems Inc. (b) 11 764
2,048
Insurance - 3.7%
American International Group Inc. 9 616
Radian Group Inc. 12 605
1,221
Internet - 8.2%
Amazon.Com Inc. (b) 4 184
eBay Inc. (b) 5 336
Symantec Corp. (b) 29 994
Yahoo! Inc. (b) 27 1,207
2,721
Investment Companies - 4.3%
Nasdaq-100 Index Tracking Stock 39 1,422
Leisure Time - 0.7%
Harley-Davidson Inc. 5 219
Manufacturing - 4.1%
General Electric Co. 44 1,348
Media - 6.7%
Clear Channel Communications Inc. 4 164
Comcast Corp. - Class A (b) 7 243
COX Communications Inc. (b) 9 320
EchoStar Communications Corp. (b) 15 515
Univision Communications Inc. (b) 24 953
2,195
Pharmaceuticals - 11.6%
Eli Lilly & Co. 6 411
Gilead Sciences Inc. (b) 24 1,397
Pfizer Inc. 37 1,307
Teva Pharmaceutical Industries Ltd. - ADR 13 760
3,875
Retail - 7.5%
Gap Inc. 9 216
Staples Inc. (b) 24 661
Target Corp. 13 500
Walgreen Co. 6 218
Wal-Mart Stores Inc. 16 865
2,460
Semiconductors - 3.3%
Intel Corp. 26 840
Texas Instruments Inc. 8 238
1,078
Software - 9.6%
Microsoft Corp. 64 1,749
Oracle Corp. (b) 65 862
Veritas Software Corp. (b) 15 563
3,174
Telecommunications Equipment - 2.9%
Cisco Systems Inc. (b) 21 503
Scientific-Atlanta Inc. 16 449
952
Total Common Stocks (cost $26,932) 30,503
Short Term Investments - 8.5%
Money Market Funds - 5.6%
Dreyfus Cash Management Plus, 0.898% (a) 1,661 1,661
Dreyfus Government Cash Management, 0.893% (a) 166 166
1,827
Repurchase Agreement - 2.9%
Repurchase Agreement with Mellon Trust, 0.40%,
(Collateralized by $1,090 Federal Home Loan Mortgage
Corp., 3.50%, due 06/15/23, market value $1,036)
acquired on 12/31/03, due 01/02/04 at $962 962 962
Total Short Term Investments (cost $2,789) 2,789
Total Investments - 100.9% (cost $29,721) 33,292
Other Assets and Liabilities, Net - (0.9%) -299
Total Net Assets - 100% 32,993
JNL/PIMCO Total Return Bond Fund
Corporate Bonds - 12.4%
Asset Backed Securities - 5.4%
Ameriquest Mortgage Securities Inc.,
1.69%, 08/25/32 (g) 307 307
Amortizing Residential Collateral Trust,
1.71%, 07/25/32 (g) 577 576
Bayview Financial Acquisition Trust
1.82%, 04/25/31 (e) (g) 40 40
1.70%, 07/25/31 (e) (g) 142 142
Bear Stearns Adjustable Rate Mortgage,
4.83%, 01/25/34 (g) 1,983 1,996
Bear Stearns Adjustable Rate Mortgage Trust
4.81%, 11/25/30 (g) 29 29
5.439%, 10/25/32 (g) 68 68
5.381%, 02/25/33 (g) 552 560
5.681%, 02/25/33 (g) 180 182
5.22%, 04/25/33 (g) 853 859
CDC Mortgage Capital Trust, 1.71%, 01/25/33 (g) 710 709
Chase Mortgage Finance Corp., 6.21%, 12/25/29 (g) 50 51
Countrywide Asset-Backed Certificates, 1.65%, 06/25/31 (g) 71 71
Credit-Based Asset Servicing and Securitization,
1.74%, 06/25/32 (g) 152 152
CS First Boston Mortgage Securities Corp.
2.07%, 11/25/31 (g) 49 49
1.82%, 02/25/32 (g) 142 142
Equity One ABS Inc., 1.66%, 11/25/32 (g) 588 587
First Nationwide Trust, 1.64%, 09/25/31 (g) 43 43
GSR Mortgage Loan Trust, 5.575%, 10/25/31 (g) 360 359
G-Wing Ltd., 4.09%, 11/06/11 (e) (g) 195 193
Indymac ARM Trust, 6.45%, 01/25/32 (g) 18 18
Irwin Low Balance Home Equity Loan Trust,
1.795%, 06/25/21 (e) (g) 26 26
Mellon Residential Funding Corp., 1.91%, 10/20/29 (g) 800 790
Mid-State Trust, 8.33%, 04/01/30 (g) 35 38
Morgan Stanley Capital I, 6.59%, 10/03/30 95 97
Residential Asset Securitization Trust, 7.13%, 07/25/31 (g428 434
Sequoia Mortgage Trust, 1.77%, 10/19/26 (g) 668 683
Small Business Administration Participation Certificates
6.29%, 01/01/21 85 92
5.13%, 09/01/23 100 101
Structured Asset Mortgage Investments Inc.,
1.75%, 09/19/32 (g) 865 857
Structured Asset Securities Corp.
1.87%, 06/25/17 (g) 513 514
1.90%, 03/25/31 (g) 102 102
1.87%, 05/25/31 (g) 1 1
6.50%, 10/25/31 16 17
6.26%, 02/25/32 (g) 30 31
1.71%, 01/25/33 (g) 123 123
Torrens Trust, 1.68%, 07/15/31 (e) (g) 126 126
Vendee Mortgage Trust, 6.50%, 09/15/24 1,093 1,135
Washington Mutual, 2.70%, 08/25/42 (g) 3,949 3,964
Washington Mutual Mortgage Securities Corp.,
6.01%, 01/25/31 (g) 51 51
Washington Mutual MSC Mortgage Pass-
Through Certificates, 5.39%, 02/25/31 (g) 370 378
Washington Mutual Pass-Through Certificates,
5.10%, 10/25/32 (g) 385 395
Wells Fargo Mortgage Backed Securities Trust
6.15%, 01/25/32 (g) 36 36
5.21%, 09/25/32 (g) 100 102
17,226
Auto Manufacturers - 0.3%
DaimlerChrysler NA Holding Corp., 6.90%, 09/01/04 500 516
General Motors Corp., 7.125%, 07/15/13 300 329
General Motors Corp., 8.375%, 07/05/33 EUR 100 148
993
Banks - 0.3%
Banque Centrale de Tunisie, 7.50%, 08/06/09 (e) 300 419
Fifth Third Bank, 7.75%, 08/15/10 500 539
958
Chemicals - 0.0%
Dow Chemical Co., 8.04%, 07/02/05 99 102
Diversified Financial Services - 2.2%
Atlas Reinsurance Plc, 3.65%, 01/07/05 (e) (g) 750 755
CIT Group Inc.
2.78%, 03/01/04 (g) 1,400 1,403
2.62%, 07/30/04 (g) 600 604
CS First Boston Mortgage Securities Corp.,
2.4782%, 03/25/32 (g) 677 675
Gemstone Investors Ltd., 7.71%, 10/31/04 (e) 100 101
General Motors Acceptance Corp.
2.05%, 01/20/04 (g) 2,001 2,001
1.53%, 04/05/04 (g) 100 100
2.10%, 05/04/04 (g) 500 501
1.98%, 05/10/04 (g) 100 100
1.68%, 07/21/04 (g) 100 100
8.00%, 11/01/31 200 225
UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 320
6,885
Electric - 0.7%
AEP Texas Central Co., 2.43%, 02/15/05 200 200
Appalachian Power Co., 4.80%, 06/15/05 700 728
Gulf States Utilities, 8.25%, 04/01/04 1,000 1,016
TXU Energy Co., 7.00%, 03/15/13 300 332
2,276
Electronics - 0.1%
Parker Hannifin Employee Stock Ownership Trust,
6.34%, 07/15/08 (e) 135 146
Pipelines - 1.3%
El Paso Corp.
8.05%, 10/15/30 1,000 870
7.80%, 08/01/31 1,500 1,277
7.75%, 01/15/32 900 767
Williams Cos. Inc., 8.75%, 03/15/32 1,200 1,356
4,270
Telecommunications - 2.1%
Deutsche Telekom International Finance BV,
8.75%, 06/15/30 1,100 1,405
France Telecom, 7.75%, 03/01/11 (g) 1,300 1,561
France Telecom SA, 8.50%, 03/01/31 (g) 200 266
Qwest Corp.
5.65%, 11/01/04 315 313
8.875%, 03/15/12 (e) 500 574
Sprint Capital Corp.
6.00%, 01/15/07 200 214
6.90%, 05/01/19 300 306
6.875%, 11/15/28 2,000 1,952
6,591
Total Corporate Bonds (cost $37,701) 39,447
Preferred Stocks - 0.7%
Banks - 0.7%
DG Funding Trust, 0.00% (e) - 2,109
Total Preferred Stocks (cost $2,097) 2,109
Government Securities - 25.6%
Sovereign - 2.9%
Federal Republic of Brazil
2.5625%, 04/15/06 (g) 200 198
11.50%, 03/12/08 200 232
11.00%, 01/11/12 680 789
11.00%, 08/17/40 550 605
Panama Government International Bond, 8.875%, 09/30/27 200 210
Peru Government International Bond, 9.875%, 02/06/15 600 696
Republic of Brazil, 2.1875%, 04/15/09 104 98
Republic of Panama
9.375%, 07/23/12 200 228
9.375%, 01/16/23 200 218
Republic of Peru, 9.125%, 02/21/12 600 669
Republic of South Africa, 9.125%, 05/19/09 100 120
United Mexican States
8.375%, 01/14/11 200 238
6.375%, 01/16/13 250 259
11.375%, 09/15/16 500 709
8.00%, 09/24/22 800 875
8.30%, 08/15/31 2,700 3,044
United Mexican States-Value Recovery Right
0.00%, 06/30/04 (g) 6,900 69
0.00%, 06/30/05 (g) 6,900 14
0.00%, 06/30/06 (g) 4,600 9
0.00%, 06/30/07 (g) 4,600 6
9,285
U.S. Government Agencies - 13.6%
Federal Home Loan Mortgage Corp.
6.00%, 03/01/16 275 289
6.00%, 08/01/16 111 116
5.00%, 09/15/16 (g) 281 289
5.00%, 11/01/18 996 1,016
6.25%, 08/25/22 402 409
7.00%, 05/15/23 1,493 1,576
4.77%, 07/01/27 (g) 8 9
1.87%, 11/15/30 (g) 54 54
7.50%, 03/01/32 197 197
6.50%, 08/01/32 491 515
6.00%, 10/01/32 667 689
6.00%, 03/01/33 909 939
6.00%, 08/01/33 334 345
Federal National Mortgage Association
6.00%, TBA (c) 1,000 1,033
5.50%, 11/01/13 29 31
6.00%, 06/01/14 391 411
5.50%, 03/01/16 331 343
6.00%, 04/01/16 532 560
6.00%, 05/01/16 122 128
6.00%, 06/01/16 68 71
6.00%, 07/01/16 262 275
6.00%, 08/01/16 173 181
6.00%, 09/01/16 84 88
6.00%, 11/01/16 302 317
5.50%, 12/01/16 744 773
5.50%, 01/01/17 2,311 2,398
6.00%, 02/01/17 1,020 1,071
5.50%, 03/01/17 233 241
6.00%, 04/01/17 969 1,017
5.50%, 05/01/17 300 312
6.00%, 05/01/17 459 482
6.00%, 07/01/17 259 272
5.50%, 08/01/17 737 764
6.00%, 08/01/17 314 329
5.50%, 09/01/17 154 159
6.00%, 09/01/17 255 268
5.50%, 10/01/17 955 991
6.00%, 10/01/17 255 267
5.50%, 11/01/17 585 607
6.00%, 11/01/17 305 320
5.50%, 12/01/17 593 615
5.50%, 03/01/18 1,710 1,774
5.00%, 05/01/18 37 38
5.00%, 08/01/18 2,983 3,044
5.00%, 10/01/18 828 845
6.50%, 11/01/32 501 524
6.00%, 01/01/33 1,634 1,690
6.00%, 02/01/33 1,044 1,080
6.00%, 03/01/33 3,230 3,340
5.00%, 04/25/33 3,149 3,209
6.00%, 06/01/33 146 151
6.00%, 07/01/33 2,065 2,136
6.00%, 11/01/33 500 517
3.58%, 09/01/40 (g) 138 140
6.50%, 12/25/42 394 419
FHA St. Regis Nursing Home, 7.449%, 08/01/10 69 75
Government National Mortgage Association II
5.375%, 05/20/26 (g) 366 374
5.375%, 02/20/27 (g) 35 35
5.00%, 04/20/30 (g) 95 97
4.50%, 05/20/30 (g) 74 74
3.50%, 02/20/32 (g) 842 835
4.00%, 02/20/32 (g) 520 528
Resolution Fund Corp. - Principal Only, 5.46%, 10/15/20 400 157
43,237
U.S. Treasury Securities - 9.1%
U.S. Treasury Inflation Indexed Note
3.375%, 01/15/07 701 759
3.625%, 01/15/08 9,047 10,005
3.875%, 01/15/09 5,302 5,987
4.25%, 01/15/10 220 256
3.50%, 01/15/11 2,232 2,508
3.375%, 01/15/12 1,250 1,399
3.00%, 07/15/12 5,453 5,945
1.875%, 07/15/13 201 200
3.875%, 04/15/29 1,350 1,750
28,809
Total Government Securities (cost $79,288) 81,331
Municipals - 4.8%
Brazos Texas Higer Education, 1.23%, 12/01/39 (g) 300 300
California State Revenue Anticipation Warrants-Series A,
2.00%, 06/16/04 600 601
Clark County Nevada, 5.00%, 06/01/32 1,900 1,936
Educational Funding South Inc., 1.18%, 12/01/35 (g) 500 500
Energy NW Washington Electrical, 5.50%, 07/01/14 100 114
Illinois St Taxable Pension, 5.10%, 06/01/33 4,000 3,678
La Quinta Redevelopment Agency Tax Allocation,
5.10%, 09/01/31 200 206
Lower Colorado River Authority Texas Revenue,
5.00%, 05/15/33 1,300 1,325
Lower Colorado River Authority, 5.00%, 05/15/31 300 306
New York State Dormitory Authority, 5.25%, 07/01/11 700 782
Orange County California Sanitation District,
5.00%, 02/01/33 200 205
Sussex County Municipal Utilities Authority,
5.00%, 12/01/12 1,200 1,338
Tobacco Settlement Financing Corp.
6.125%, 06/01/24 500 487
6.75%, 06/01/39 2,400 2,365
University of Texas, 5.00%, 08/15/33 200 204
Utah Student Loan Revenue, 1.18%, 05/01/41 (g) 1,000 1,000
Total Municipals (cost $15,556) 15,347
Short Term Investments - 56.3%
Commercial Paper - 16.5%
ABN Amro
1.07%, 01/14/04 4,000 3,998
1.07%, 01/26/04 1,000 999
1.075%, 02/03/04 900 899
ANZ Inc.
1.07%, 02/17/04 2,700 2,696
1.075%, 02/19/04 2,200 2,197
Barclays US Funding
1.065%, 01/20/04 2,700 2,698
1.075%, 03/09/04 1,600 1,597
Danske Corp., 1.075%, 02/09/04 6,000 5,993
European Investment Bank, 1.06%, 02/10/04 3,300 3,296
General Electric Capital Corp., 1.09%, 02/24/04 5,800 5,791
HBOS Treasury Services Plc
1.08%, 01/27/04 2,000 1,998
1.115%, 04/13/04 1,900 1,894
1.10%, 04/15/04 3,100 3,090
Royal Bank of Scotland
1.085%, 01/20/04 1,500 1,499
1.08%, 02/03/04 1,400 1,399
Shell Finance, 1.09%, 03/09/04 4,000 3,992
Westpac Capital Corp.
1.11%, 03/11/04 3,700 3,692
1.10%, 04/07/04 4,500 4,487
52,215
Money Market Funds - 0.7%
Dreyfus Cash Management Plus, 0.898% (a) 2,276 2,276
U.S. Government Agencies - 21.6%
Federal Home Loan Bank Discount Note,
1.045%, 03/19/04 1,900 1,896
Federal Home Loan Mortgage Corp. Discount Note
1.06%, 01/15/04 15,100 15,094
1.085%, 01/22/04 16,100 16,090
1.08%, 01/29/04 8,200 8,193
1.075%, 02/05/04 1,500 1,498
1.04%, 03/12/04 1,900 1,896
Federal National Mortgage Association Discount Note
1.08%, 01/28/04 1,700 1,699
1.01%, 02/03/04 1,900 1,898
1.00%, 02/04/04 3,000 2,997
1.09%, 03/24/04 13,000 12,967
1.075%, 04/01/04 4,200 4,189
68,417
U.S. Treasury Bills - 17.5%
U.S. Treasury Bill
0.925%, 03/04/04 1,390 1,388
0.885%, 03/18/04 1,375 1,372
1.0147%, 04/22/04 13,000 12,960
1.02%, 04/29/04 400 399
1.025%, 05/06/04 4,800 4,783
0.913%, 05/13/04 12,800 12,751
1.01%, 05/27/04 2,300 2,291
1.03%, 06/03/04 14,600 14,537
0.98%, 06/17/04 5,000 4,977
55,458
Total Short Term Investments (cost $178,366) 178,366
Total Investments - 99.8% (cost $313,008) 316,600
Other Assets and Liabilities, Net - 0.2% 701
Total Net Assets - 100% 317,301
JNL/PPM America Balanced Fund
Common Stocks - 60.4%
Aerospace & Defense - 1.2%
United Technologies Corp. 39 3,648
Apparel - 2.1%
Liz Claiborne Inc. 78 2,752
V.F. Corp. 82 3,528
6,280
Auto Manufacturers - 2.1%
Ford Motor Co. 215 3,442
General Motors Corp. 54 2,878
6,320
Auto Parts & Equipment - 1.0%
Delphi Corp. 298 3,047
Banks - 4.2%
Bank of America Corp. 56 4,472
Banknorth Group Inc. 83 2,687
Charter One Financial Inc. 103 3,562
KeyCorp 66 1,947
12,668
Building Materials - 1.0%
Masco Corp. 107 2,936
Chemicals - 2.0%
Ashland Inc. 85 3,727
PPG Industries Inc. 35 2,241
5,968
Computers - 1.2%
Hewlett-Packard Co. 161 3,696
Diversified Financial Services - 4.2%
Citigroup Inc. 92 4,480
Fannie Mae 60 4,496
JPMorgan Chase & Co. 101 3,695
12,671
Electric - 3.7%
Dominion Resources Inc. 51 3,255
FirstEnergy Corp. 111 3,893
NiSource Inc. 186 4,079
11,227
Food - 2.1%
Kroger Co. (b) 203 3,756
Sara Lee Corp. 126 2,733
6,489
Forest Products & Paper - 0.9%
MeadWestvaco Corp. 97 2,880
Healthcare - 2.4%
HCA Inc. 83 3,557
WellPoint Health Networks Inc. (b) 37 3,627
7,184
Home Furnishings - 0.9%
Maytag Corp. 93 2,596
Household Products - 1.2%
Fortune Brands Inc. 51 3,660
Insurance - 5.8%
American International Group Inc. 64 4,229
Cigna Corp. 40 2,283
Hartford Financial Services Group Inc. 69 4,055
Lincoln National Corp. 88 3,565
Radian Group Inc. 69 3,368
17,500
Iron & Steel - 0.9%
Nucor Corp. 46 2,598
Leisure Time - 0.9%
Brunswick Corp. 89 2,833
Manufacturing - 2.4%
Cooper Industries Ltd. - Class A 49 2,815
General Electric Co. 141 4,359
7,174
Oil & Gas Producers - 3.9%
ChevronTexaco Corp. 46 4,000
ConocoPhillips 61 3,967
Occidental Petroleum Corp. 98 4,127
12,094
Pharmaceuticals - 2.1%
AmerisourceBergen Corp. 43 2,403
Merck & Co. Inc. 88 4,070
6,473
Retail - 3.2%
Federated Department Stores Inc. 78 3,695
Home Depot Inc. 70 2,466
Sears Roebuck & Co. 76 3,453
9,614
Savings & Loans - 2.1%
Sovereign Bancorp. Inc. 121 2,881
Washington Mutual Inc. 89 3,579
6,460
Software - 1.8%
Computer Associates International Inc. 128 3,510
Compuware Corp. (b) 319 1,926
5,436
Telecommunications - 3.9%
BellSouth Corp. 95 2,680
SBC Communications Inc. 136 3,535
Sprint Corp. - FON Group 155 2,542
Verizon Communications Inc. 97 3,403
12,160
Tobacco - 1.4%
Altria Group Inc. 78 4,218
Transportation - 1.8%
Burlington Northern Santa Fe Corp. 109 3,536
CSX Corp. 58 2,074
5,610
Total Common Stocks (cost $147,241) 183,440
Corporate Bonds - 18.0%
Aerospace & Defense - 0.3%
L-3 Communications Corp., 7.625%, 06/15/12 300 325
Raytheon Co., 6.75%, 08/15/07 500 554
879
Asset Backed Securities - 2.6%
AmeriCredit Automobile Receivables Trust
4.46%, 04/12/09 570 591
3.10%, 11/06/09 500 503
Bank of America Commercial Mortgage
5.676%, 06/11/35 500 540
5.464%, 04/11/37 (g) 500 530
Bank One Issuance Trust, 4.77%, 02/16/16 500 474
Capital One Master Trust, 4.50%, 06/15/11 500 513
Commercial Mortgage Acceptance Corp.,
7.8803%, 06/15/31 (g) 500 573
CS First Boston Mortgage Securities Corp.,
6.133%, 04/15/37 500 548
GE Capital Commercial Mortgage Corp.,
6.03%, 08/11/33 (g) 1,000 1,088
MBNA Credit Master Note Trust, 6.55%, 12/15/08 500 541
MBNA Master Credit Trust, 6.65%, 08/15/11 (e) 500 543
Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 559
Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 609
World Omni Auto Receivables Trust, 2.20%, 01/15/08 500 500
8,112
Auto Manufacturers - 0.6%
DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 512
General Motors Corp., 7.20%, 01/15/11 1,250 1,374
1,886
Banks - 0.7%
Bank of America Corp., 7.40%, 01/15/11 750 880
Popular North America Inc., 3.875%, 10/01/08 500 499
Wachovia Corp., 3.50%, 08/15/08 750 747
2,126
Beverages - 0.3%
Diageo Capital Plc, 3.50%, 11/19/07 1,000 1,009
Commercial Services - 0.5%
Aramark Services Inc., 7.00%, 07/15/06 1,000 1,088
PHH Corp., 6.00%, 03/01/08 500 538
1,626
Computers - 0.5%
Computer Sciences Corp., 6.75%, 06/15/06 1,000 1,097
Hewlett-Packard Co., 5.50%, 07/01/07 500 540
1,637
Diversified Financial Services - 3.9%
American General Finance Corp., 5.375%, 10/01/12 750 773
CIT Group Inc., 7.375%, 04/02/07 500 565
Citigroup Inc.
3.50%, 02/01/08 500 502
6.00%, 02/21/12 500 546
Countrywide Home Loans Inc., 5.50%, 08/01/06 1,000 1,068
Ford Motor Credit Co.
6.50%, 01/25/07 1,000 1,065
7.00%, 10/01/13 250 264
GATX Financial Corp., 6.875%, 12/15/06 100 105
General Electric Capital Corp.
5.875%, 02/15/12 500 537
6.75%, 03/15/32 500 554
Goldman Sachs Group Inc.
4.125%, 01/15/08 500 513
6.125%, 02/15/33 500 503
Household Finance Corp.
6.375%, 11/27/12 500 549
7.35%, 11/27/32 500 586
JP Morgan Chase & Co.
4.00%, 02/01/08 750 763
6.625%, 03/15/12 500 559
Lehman Brothers Holdings Inc., 6.625%, 01/18/12 650 734
Merrill Lynch &Co. Inc., 4.50%, 11/04/10 750 757
Morgan Stanley Dean Witter & Co., 5.80%, 04/01/07 500 543
UFJ Finance Aruba AEC, 6.75%, 07/15/13 500 533
12,019
Electric - 1.4%
CenterPoint Energy Houston Electric LLC,
6.95%, 03/15/33 (e) 500 554
Centerpoint Energy Inc., 5.875%, 06/01/08 (e) 300 312
DTE Energy Co., 6.45%, 06/01/06 500 540
Exelon Generation Co. LLC, 6.95%, 06/15/11 1,000 1,123
FirstEnergy Corp., 6.45%, 11/15/11 300 311
Nisource Finance Corp., 7.625%, 11/15/05 700 765
PSEG Power LLC, 7.75%, 04/15/11 750 883
4,488
Food - 0.4%
Kraft Foods Inc., 5.25%, 06/01/07 500 532
Safeway Inc., 6.50%, 03/01/11 500 546
1,078
Forest Products & Paper - 0.4%
Abitibi-Consolidated Inc., 6.95%, 04/01/08 300 314
Weyerhaeuser Co., 7.125%, 07/15/23 750 789
1,103
Healthcare - 0.1%
Aetna Inc., 7.875%, 03/01/11 150 177
Home Builders - 0.2%
Pulte Homes Inc., 6.375%, 05/15/33 500 487
Insurance - 0.2%
Hartford Financial Services Group Inc.,
4.625%, 07/15/13 (e) 500 481
Lodging - 0.3%
Hilton Hotels Corp., 8.25%, 02/15/11 300 346
MGM Mirage, 8.50%, 09/15/10 300 344
Starwood Hotels & Resorts Worldwide Inc.,
7.375%, 05/01/07 300 324
1,014
Manufacturing - 0.1%
Tyco International Group SA, 6.375%, 10/15/11 300 321
Media - 1.3%
AOL Time Warner Inc., 7.70%, 05/01/32 500 584
Comcast Cable Communications, 7.125%, 06/15/13 500 570
Comcast Corp., 5.85%, 01/15/10 625 667
COX Communications Inc., 5.50%, 10/01/15 500 503
Echostar DBS Corp., 5.75%, 10/01/08 (e) 300 303
Liberty Media Corp.
3.50%, 09/25/06 500 503
8.25%, 02/01/30 500 598
Rogers Cable Inc., 6.25%, 06/15/13 300 302
4,030
Mining - 0.2%
Noranda Inc., 7.25%, 07/15/12 500 560
Oil & Gas Producers - 0.6%
Amerada Hess Corp., 7.30%, 08/15/31 750 774
ConocoPhillips, 3.625%, 10/15/07 500 504
Pemex Project Funding Master Trust, 7.375%, 12/15/14 500 534
1,812
Pharmaceuticals - 0.5%
Bristol-Myers Squibb Co., 4.75%, 10/01/06 1,000 1,057
Wyeth, 6.70%, 03/15/11 500 565
1,622
Real Estate - 0.4%
EOP Operating LP
7.75%, 11/15/07 750 860
7.00%, 07/15/11 250 282
1,142
Retail - 0.5%
Target Corp., 5.375%, 06/15/09 500 536
Wal-Mart Stores Inc., 4.55%, 05/01/13 500 494
Yum! Brands Inc., 7.65%, 05/15/08 300 340
1,370
Savings & Loans - 0.2%
Washington Mutual Inc., 5.625%, 01/15/07 500 539
Telecommunications - 0.9%
AT&T Corp., 6.50%, 11/15/06 500 553
SBC Communications Inc., 5.875%, 02/01/12 750 797
Sprint Capital Corp.
6.125%, 11/15/08 250 266
8.375%, 03/15/12 350 409
Verizon Global Funding Corp., 7.75%, 12/01/30 500 587
2,612
Tobacco - 0.4%
Imperial Tobacco Overseas BV, 7.125%, 04/01/09 1,000 1,111
Wireless Telecommunications - 0.5%
AT&T Wireless Services Inc., 7.875%, 03/01/11 750 868
Vodafone Group Plc, 5.375%, 01/30/15 500 504
1,372
Total Corporate Bonds (cost $53,378) 54,613
Government Securities - 20.4%
U.S. Government Agencies - 15.2%
Federal Home Loan Mortgage Corp.
2.125%, 12/15/04 870 877
4.05%, 06/21/05 576 584
2.375%, 04/15/06 2,243 2,252
5.50%, 10/01/16 853 885
6.00%, 04/01/17 579 607
6.50%, 11/01/17 245 260
6.00%, 12/01/17 865 907
5.00%, 01/01/18 247 252
5.50%, 01/01/18 3 3
4.50%, 05/01/18 271 271
5.00%, 05/01/18 356 363
4.50%, 09/01/18 291 291
5.50%, 09/01/18 854 886
4.50%, 11/01/18 199 199
7.00%, 02/01/31 263 279
7.00%, 06/01/31 296 313
5.50%, 11/01/32 1,037 1,050
6.00%, 11/01/32 2,208 2,282
6.00%, 12/01/32 178 184
5.50%, 03/01/33 1,507 1,526
5.00%, 04/01/33 464 458
5.00%, 05/01/33 473 467
4.50%, 06/01/33 247 237
5.50%, 06/01/33 370 375
5.00%, 10/01/33 373 369
Federal National Mortgage Association
2.59%, 05/05/06 1,000 1,005
2.75%, 08/11/06 1,308 1,309
3.25%, 11/15/07 176 177
2.875%, 05/19/08 298 291
7.125%, 06/15/10 2,120 2,493
6.25%, 02/01/11 144 159
4.625%, 05/01/13 1,092 1,063
5.00%, 10/01/17 1,036 1,046
5.00%, 11/01/17 234 238
6.00%, 01/01/18 156 163
5.00%, 02/01/18 1,001 1,022
4.50%, 04/01/18 622 623
4.50%, 05/01/18 1,401 1,403
4.50%, 09/01/18 596 596
6.50%, 08/01/28 65 68
7.00%, 09/01/28 90 96
6.50%, 11/01/28 83 87
6.50%, 12/01/28 161 169
6.00%, 03/01/29 517 535
7.50%, 09/01/29 249 266
7.25%, 05/15/30 335 409
7.00%, 06/01/32 113 120
6.50%, 07/01/32 2,147 2,245
6.50%, 09/01/32 1,050 1,099
6.00%, 10/01/32 611 631
5.50%, 01/01/33 136 137
6.50%, 03/01/33 765 800
7.00%, 05/01/33 821 870
5.50%, 06/01/33 2,018 2,045
5.00%, 07/01/33 457 452
5.50%, 07/01/33 658 667
5.00%, 09/01/33 2,279 2,256
5.50%, 09/01/33 744 754
Government National Mortgage Association
6.50%, 04/15/26 220 233
7.00%, 06/15/28 170 182
7.50%, 04/15/29 173 186
7.00%, 07/15/29 241 257
6.50%, 11/15/31 548 578
6.50%, 09/15/32 592 625
5.50%, 11/15/32 458 466
6.00%, 11/15/32 500 520
5.50%, 05/15/33 369 375
Government National Mortgage Association II
5.50%, 05/20/33 670 680
5.00%, 06/20/33 243 241
Tennessee Valley Authority, 6.75%, 11/01/25 402 464
46,288
U.S. Treasury Securities - 5.2%
U.S. Treasury Bond
7.25%, 05/15/16 605 755
6.25%, 08/15/23 1,418 1,616
6.25%, 05/15/30 394 455
U.S. Treasury Note
1.75%, 12/31/04 4,851 4,875
6.25%, 02/15/07 4,849 5,405
3.00%, 11/15/07 550 555
5.75%, 08/15/10 1,952 2,189
15,850
Total Government Securities (cost $61,995) 62,138
Short Term Investments - 0.7%
Money Market Funds - 0.7%
Dreyfus Cash Management Plus, 0.898% (a) 2,084 2,084
Total Short Term Investments (cost $2,084) 2,084
Total Investments - 99.5% (cost $264,698) 302,275
Other Assets and Liabilities, Net - 0.5% 1,617
Total Net Assets - 100% 303,892
JNL/PPM America High Yield Bond Fund
Common Stocks - 0.0%
Machinery - 0.0%
Terex Corp. (b) - 7
Total Common Stocks (cost $1) 7
Corporate Bonds - 95.1%
Advertising - 0.7%
RH Donnelley Finance Corp. I
8.875%, 12/15/10 (e) 550 619
10.875%, 12/15/12 (e) 1,000 1,186
1,805
Aerospace & Defense - 1.1%
Alliant Techsystems Inc., 8.50%, 05/15/11 500 550
BE Aerospace Inc.
9.50%, 11/01/08 550 535
8.50%, 10/01/10 (e) 500 536
L-3 Communications Corp., 6.125%, 07/15/13 1,000 1,007
Sequa Corp., 8.875%, 04/01/08 196 213
2,841
Airlines - 2.0%
American Airlines Inc., 7.377%, 05/23/19 918 662
Atlas Air Inc., 7.38%, 01/02/18 454 412
Continental Airlines Inc.
8.00%, 12/15/05 1,000 973
7.875%, 07/02/18 500 503
Delta Air Lines Inc.
7.779%, 11/18/05 500 460
7.90%, 12/15/09 1,400 1,132
Northwest Airlines Inc., 8.875%, 06/01/06 1,200 1,089
5,231
Alternative Energy - 0.3%
Salton SEA Funding, 8.30%, 05/30/11 666 735
Apparel - 0.2%
Russell Corp., 9.25%, 05/01/10 580 601
Auto Parts & Equipment - 1.8%
ArvinMeritor Inc., 8.75%, 03/01/12 500 572
Collins & Aikman Products, 10.75%, 12/31/11 350 344
Dana Corp.
10.125%, 03/15/10 455 530
9.00%, 08/15/11 500 603
Goodyear Tire & Rubber Co., 7.857%, 08/15/11 300 262
TRW Automotive Inc.
9.375%, 02/15/13 500 571
11.00%, 02/15/13 1,650 1,943
4,825
Beverages - 0.2%
Constellation Brands Inc., 8.125%, 01/15/12 500 547
Building Materials - 0.2%
Nortek Inc., 9.125%, 09/01/07 500 517
Chemicals - 5.1%
Equistar Chemicals LP, 10.125%, 09/01/08 1,000 1,095
Equistar Chemicals LP/Equistar Funding Corp.,
10.625%, 05/01/11 2,000 2,210
FMC Corp., 10.25%, 11/01/09 500 585
Huntsman International LLC, 9.875%, 03/01/09 2,500 2,737
IMC Global Inc., 10.875%, 06/01/08 500 550
Lyondell Chemical Co.
9.875%, 05/01/07 1,200 1,266
9.50%, 12/15/08 600 627
10.50%, 06/01/13 1,700 1,853
Millennium America Inc., 7.00%, 11/15/06 750 769
Nalco Co., 8.875%, 11/15/13 (e) 1,500 1,590
PolyOne Corp., 10.625%, 05/15/10 200 200
Union Carbide Chemical & Plastics Co. Inc.,
7.875%, 04/01/23 200 180
Union Carbide Corp.
6.70%, 04/01/09 100 99
6.79%, 06/01/25 100 99
13,860
Commercial Services - 3.9%
Coinmach Corp., 9.00%, 02/01/10 2,017 2,188
Great Lakes Dredge & Dock Corp., 7.75%, 12/15/13 (e) 1,000 1,029
Integrated Electrical Services Inc., 9.375%, 02/01/09 1,000 1,050
Service Corporation International, 7.70%, 04/15/09 500 534
Stewart Enterprises Inc., 10.75%, 07/01/08 2,000 2,260
United Rentals Inc., 9.00%, 04/01/09 750 794
United Rentals North America Inc., 7.75%, 11/15/13 (e) 1,500 1,532
Williams Scotsman Inc.
9.875%, 06/01/07 800 810
10.00%, 08/15/08 200 219
10,416
Computers - 0.4%
Unisys Corp.
7.25%, 01/15/05 370 383
8.125%, 06/01/06 630 680
1,063
Distribution & Wholesale - 0.1%
Aviall Inc., 7.625%, 07/01/11 175 182
Diversified Financial Services - 1.7%
Couche-Tard Finance Corp., 7.50%, 12/15/13 (e) 500 524
IOS Capital LLC, 7.25%, 06/30/08 1,000 1,065
KRATON Polymers LLC/Capital Corp.,
8.125%, 01/15/14 (e) 500 520
National Waterworks Inc., 10.50%, 12/01/12 1,000 1,117
Nexstar Finance LLC/Nexstar Finance Inc.,
12.00%, 04/01/08 500 564
Universal City Development Partners, 11.75%, 04/01/10 (e) 635 743
4,533
Electric - 8.0%
AES Corp.
9.50%, 06/01/09 2,700 2,994
9.00%, 05/15/15 (e) 550 621
AES Eastern Energy LP, 9.00%, 01/02/17 497 550
Allegheny Energy Supply, 8.75%, 04/15/12 (e) 750 707
Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 2,300 1,834
Calpine Corp.
8.75%, 07/15/07 500 410
8.50%, 07/15/10 (e) 1,150 1,121
8.50%, 02/15/11 500 396
8.75%, 07/15/13 (e) 750 731
Centerpoint Energy Inc., 6.85%, 06/01/15 (e) 1,500 1,542
CMS Energy Corp., 8.50%, 04/15/11 1,000 1,080
Edison International Inc., 6.875%, 09/15/04 500 514
Edison Mission Energy Corp.
10.00%, 08/15/08 200 207
9.875%, 04/15/11 250 260
Empresa Nacional de Electricidad SA
8.50%, 04/01/09 500 564
8.35%, 08/01/13 500 562
Homer City Funding LLC, 8.734%, 10/01/26 100 107
Midwest Generation LLC, 8.56%, 01/02/16 350 365
Mission Energy Holding Co., 13.50%, 07/15/08 300 294
Nevada Power Co., 9.00%, 08/15/13 (e) 500 553
Orion Power Holdings Inc., 12.00%, 05/01/10 500 608
PSEG Energy Holdings LLC
10.00%, 10/01/09 1,000 1,173
8.50%, 06/15/11 500 554
Reliant Resources Inc., 9.50%, 07/15/13 (e) 500 535
Sithe/Independence Funding, 9.00%, 12/30/13 1,000 1,128
South Point Energy Center LLC, 8.40%, 05/30/12 (e) 288 276
TECO Energy Inc.
7.50%, 06/15/10 100 107
7.00%, 05/01/12 900 927
Westar Energy Inc., 7.875%, 05/01/07 500 559
21,279
Electronics - 0.4%
Sanmina-SCI Corp., 10.375%, 01/15/10 1,000 1,170
Entertainment - 3.1%
Alliance Atlantis Communications Inc., 13.00%, 12/15/09 2,065 2,354
Argosy Gaming Co., 9.00%, 09/01/11 1,000 1,108
Capitol Records Inc., 8.375%, 08/15/09 (e) 300 315
Intrawest Corp., 7.50%, 10/15/13 (e) 500 520
Regal Cinemas Inc., 9.375%, 02/01/12 1,533 1,732
Six Flags Inc.
9.50%, 02/01/09 1,000 1,048
8.875%, 02/01/10 200 205
Steinway Musical Instruments, 8.75%, 04/15/11 1,000 1,060
8,342
Environmental Control - 2.0%
Allied Waste North America
7.875%, 01/01/09 2,000 2,085
10.00%, 08/01/09 1,500 1,620
7.875%, 04/15/13 500 541
IESI Corp., 10.25%, 06/15/12 1,000 1,111
5,357
Food - 3.2%
Ahold Finance USA Inc., 8.25%, 07/15/10 1,000 1,090
B&G Foods Inc., 9.625%, 08/01/07 500 516
Del Monte Corp.
9.25%, 05/15/11 1,000 1,105
8.625%, 12/15/12 500 547
Delhaize America Inc.
8.125%, 04/15/11 1,500 1,725
9.00%, 04/15/31 200 243
Dole Food Co., Inc., 8.875%, 03/15/11 600 658
Domino's Inc., 8.25%, 07/01/11 (e) 250 268
Great Atlantic & Pacific Tea Co., 9.125%, 12/15/11 300 275
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 1,000 1,035
Stater Brothers Holdings Inc., 10.75%, 08/15/06 1,000 1,054
8,516
Forest Products & Paper - 4.0%
Abitibi-Consolidated Inc.
8.55%, 08/01/10 2,000 2,227
8.85%, 08/01/30 500 541
Fort James Corp., 6.875%, 09/15/07 1,000 1,055
Georgia-Pacific Corp.
8.125%, 05/15/11 1,000 1,100
9.375%, 02/01/13 1,000 1,150
8.875%, 05/15/31 500 550
Millar Western Forest Products Ltd., 7.75%, 11/15/13 (e) 350 363
Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,549
Tembec Industries Inc.
8.625%, 06/30/09 43 44
8.50%, 02/01/11 1,957 2,025
10,604
Healthcare - 2.9%
Ardent Health Services, 10.00%, 08/15/13 (e) 400 436
Coventry Health Care Inc., 8.125%, 02/15/12 483 536
Genesis HealthCare Corp., 8.00%, 10/15/13 (e) 500 521
HCA Inc.
6.25%, 02/15/13 500 512
7.69%, 06/15/25 1,350 1,425
7.50%, 11/06/33 500 521
Medex Inc., 8.875%, 05/15/13 (e) 1,000 1,075
Province Healthcare Co., 7.50%, 06/01/13 1,000 1,000
Select Medical Corp., 7.50%, 08/01/13 (e) 400 424
Tenet Healthcare Corp., 6.50%, 06/01/12 1,300 1,246
7,696
Holding Companies - Diversified - 0.2%
Stena AB, 7.50%, 11/01/13 (e) 500 515
Home Builders - 2.1%
Beazer Homes USA Inc., 8.375%, 04/15/12 1,155 1,273
Meritage Corp., 9.75%, 06/01/11 300 335
Ryland Group Inc., 9.125%, 06/15/11 1,000 1,143
Schuler Homes Inc., 10.50%, 07/15/11 1,500 1,740
Toll Corp., 8.25%, 02/01/11 500 550
WCI Communities Inc., 10.625%, 02/15/11 500 565
5,606
Household Products - 1.0%
JohnsonDiversey Holdings Inc.,
(Step-Up Bond), 10.67%, 05/15/13 (d) (e) 2,000 1,530
Johnsondiversey Inc., 9.625%, 05/15/12 1,000 1,115
2,645
Insurance - 0.5%
Fairfax Financial Holdings Ltd., 8.30%, 04/15/26 1,500 1,388
Iron & Steel - 0.3%
AK Steel Corp., 7.75%, 06/15/12 300 257
United States Steel Corp., 9.75%, 05/15/10 450 506
763
Leisure Time - 0.8%
Royal Caribbean Cruises Ltd., 6.75%, 03/15/08 2,000 2,083
Lodging - 5.0%
Ameristar Casinos Inc., 10.75%, 02/15/09 2,000 2,300
Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,070
Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,152
HMH Properties Inc., 8.45%, 12/01/08 436 455
Mandalay Resort Group, 10.25%, 08/01/07 750 866
MGM Mirage, 9.75%, 06/01/07 2,000 2,280
Park Place Entertainment Corp.
8.875%, 09/15/08 1,000 1,133
8.125%, 05/15/11 1,000 1,121
Starwood Hotels & Resorts Worldwide Inc.,
7.875%, 05/01/12 1,000 1,125
Station Casinos Inc., 8.375%, 02/15/08 500 536
Venetian Casino Resort LLC, 11.00%, 06/15/10 1,000 1,160
13,198
Machinery - 1.1%
AGCO Corp., 9.50%, 05/01/08 538 589
Case Credit Corp., 6.75%, 10/21/07 250 255
Case New Holland Inc., 9.25%, 08/01/11 (e) 1,200 1,344
Manitowoc Co., 7.125%, 11/01/13 200 207
Terex Corp., 10.375%, 04/01/11 500 560
2,955
Manufacturing - 2.2%
Avondale Mills Inc., 10.25%, 07/01/13 500 315
Tyco International Group SA
6.75%, 02/15/11 1,500 1,639
7.00%, 06/15/28 3,700 3,843
5,797
Media - 9.8%
American Media Operation Inc., 8.875%, 01/15/11 425 461
CanWest Media Inc., 10.625%, 05/15/11 500 571
Charter Communications Holdings II LLC,
10.25%, 09/15/10 (e) 1,000 1,050
Charter Communications Holdings LLC,
10.00%, 04/01/09 2,000 1,780
Corus Entertainment Inc., 8.75%, 03/01/12 1,068 1,175
CSC Holdings Inc.
7.625%, 04/01/11 1,500 1,579
7.875%, 02/15/18 1,000 1,067
Dex Media East LLC
9.875%, 11/15/09 1,250 1,431
12.125%, 11/15/12 500 615
Dex Media Finance Co., 9.875%, 08/15/13 (e) 500 581
DirecTV Holdings LLC, 8.375%, 03/15/13 1,000 1,160
Echostar DBS Corp., 9.375%, 02/01/09 2,000 2,102
Hollinger International Publishing Inc., 9.00%, 12/15/101,000 1,062
Houghton Mifflin Co.
8.25%, 02/01/11 270 289
9.875%, 02/01/13 340 374
Mediacom Capital Corp., 9.50%, 01/15/13 1,982 2,101
Paxson Communications Corp., 10.75%, 07/15/08 500 546
Primedia Inc., 8.00%, 05/15/13 (e) 1,500 1,530
Rogers Cable Inc., 6.25%, 06/15/13 1,000 1,007
Rogers Cablesystems Ltd., 10.00%, 03/15/05 1,100 1,180
Shaw Communications Inc., 7.20%, 12/15/11 500 541
Sun Media Corp., 7.625%, 02/15/13 1,000 1,070
Vivendi Universal SA, 9.25%, 04/15/10 (e) 1,500 1,778
Young Broadcasting Inc., 10.00%, 03/01/11 1,000 1,078
26,128
Mining - 0.3%
Peabody Energy Corp., 6.875%, 03/15/13 250 264
USEC Inc., 6.625%, 01/20/06 500 477
741
Office & Business Equipment - 1.2%
General Binding Corp., 9.375%, 06/01/08 2,000 2,020
Xerox Corp., 9.75%, 01/15/09 (g) 1,000 1,170
3,190
Oil & Gas Producers - 3.4%
Chesapeake Energy Corp., 8.125%, 04/01/11 1,000 1,110
Denbury Resources Inc., 7.50%, 04/01/13 1,000 1,045
El Paso CGP Co., 7.75%, 06/15/10 1,500 1,416
Newfield Exploration Co., 7.625%, 03/01/11 975 1,087
Pioneer Natural Resources Co., 7.50%, 04/15/12 1,000 1,149
Premcor Refining Group Inc., 9.50%, 02/01/13 300 342
Tesoro Petroleum Corp.
8.00%, 04/15/08 150 159
9.00%, 07/01/08 2,000 2,075
Vintage Petroleum Inc., 8.25%, 05/01/12 500 544
8,927
Oil & Gas Services - 0.3%
Key Energy Services Inc., 6.375%, 05/01/13 500 508
Universal Compression Inc., 7.25%, 05/15/10 200 208
716
Packaging & Containers - 3.4%
Berry Plastics Corp.
10.75%, 07/15/12 (e) 300 345
10.75%, 07/15/12 700 806
Crown Cork & Seal Co. Inc., 7.375%, 12/15/26 1,500 1,356
Graphic Packaging International Corp.,
9.50%, 08/15/13 (e) 1,250 1,381
Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/121,000 1,085
Kappa Beheer BV, 10.625%, 07/15/09 800 856
Owens-Brockway, 8.875%, 02/15/09 1,000 1,096
Owens-Illinois Inc.
8.10%, 05/15/07 1,000 1,054
7.50%, 05/15/10 1,071 1,099
9,078
Pharmaceuticals - 1.7%
Alpharma Inc., 8.625%, 05/01/11 (e) 500 506
AmerisourceBergen Corp., 8.125%, 09/01/08 400 451
Biovail Corp., 7.875%, 04/01/10 1,000 1,020
NeighborCare Inc., 6.875%, 11/15/13 (e) 1,000 1,018
Omnicare Inc., 8.125%, 03/15/11 1,500 1,639
4,634
Pipelines - 5.1%
ANR Pipeline Co., 8.875%, 03/15/10 1,000 1,125
Aquila Inc., 14.875%, 07/01/12 400 535
Dynegy Holdings Inc., 10.125%, 07/15/13 (e) 1,500 1,725
El Paso Corp.
6.75%, 05/15/09 500 477
7.875%, 06/15/12 2,000 1,890
7.75%, 01/15/32 1,700 1,449
El Paso Production Holding Co., 7.75%, 06/01/13 (e) 500 492
Southern Natural Gas Co., 8.875%, 03/15/10 500 562
Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,774
Transmontaigne Inc., 9.125%, 06/01/10 (e) 500 536
Williams Cos. Inc.
8.625%, 06/01/10 225 253
7.125%, 09/01/11 1,000 1,058
8.125%, 03/15/12 500 555
8.75%, 03/15/32 1,000 1,130
13,561
Real Estate - 2.2%
Choctaw Resort Development Enterprise,
9.25%, 04/01/09 2,000 2,170
Felcor Lodging LP, 10.00%, 09/15/08 2,000 2,160
Host Marriott Corp., 7.875%, 08/01/08 400 416
Host Marriott LP, 7.125%, 11/01/13 (e) 550 561
Meristar Hospitality Corp., 9.125%, 01/15/11 450 477
5,784
Retail - 3.9%
Finlay Enterprises Inc., 9.00%, 05/01/08 2,075 2,124
Gap Inc., 8.80%, 12/15/08 (g) 500 616
J.C. Penney Co. Inc.
8.25%, 08/15/22 350 362
7.125%, 11/15/23 500 530
7.40%, 04/01/37 1,000 1,086
Michaels Stores Inc., 9.25%, 07/01/09 1,000 1,104
Saks Inc.
7.50%, 12/01/10 630 684
7.00%, 12/01/13 (e) 294 300
Toys R US Inc., 7.875%, 04/15/13 1,000 1,076
Tricon Global Restaurants Inc., 8.875%, 04/15/11 2,000 2,425
10,307
Semiconductors - 0.8%
Amkor Technology Inc., 7.75%, 05/15/13 1,000 1,073
Fairchild Semiconductor International Inc.,
10.50%, 02/01/09 1,000 1,115
2,188
Telecommunications - 3.6%
Insight Midwest Capital Inc., 9.75%, 10/01/09 500 529
Insight Midwest LP/Insight Capital Inc.,
10.50%, 11/01/10 (e) 500 544
PanAmSat Corp., 8.50%, 02/01/12 500 555
Qwest Corp.
5.625%, 11/15/08 1,500 1,485
7.50%, 06/15/23 1,800 1,800
Qwest Services Corp.
13.00%, 12/15/07 (e) 1,500 1,762
13.50%, 12/15/10 (e) 2,500 3,038
9,713
Telecommunications Equipment - 0.4%
Nortel Networks Ltd., 6.125%, 02/15/06 1,000 1,013
Tobacco - 1.0%
DIMON Inc., 9.625%, 10/15/11 1,820 2,029
RJ Reynolds Tobacco Holdings Inc., 7.25%, 06/01/12 700 690
2,719
Transportation - 0.5%
Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,249
Wireless Telecommunications - 3.0%
Crown Castle International Corp.
9.375%, 08/01/11 500 555
10.75%, 08/01/11 1,000 1,125
Nextel Communications Inc., 9.50%, 02/01/11 2,000 2,260
Rogers Cantel Inc.
8.80%, 10/01/07 1,000 1,028
9.75%, 06/01/16 200 241
Rogers Wireless Communications Inc., 9.625%, 05/01/11 1,000 1,195
Triton PCS Inc.
9.375%, 02/01/11 999 1,019
8.75%, 11/15/11 500 492
7,915
Total Corporate Bonds (cost $234,017) 252,933
Warrants - 0.0%
Telecommunications - 0.0%
AT&T Canada Inc., No Strike Price,
Expiring 08/15/07 (e) 1 -
Minorplanet Systems USA Inc., Strike Price $240.625,
Expiring 09/15/05 2 -
Total Warrants (cost $5) -
Short Term Investments - 2.9%
Money Market Funds - 2.9%
Dreyfus Cash Management Plus, 0.898% (a) 7,836 7,836
Total Short Term Investments (cost $7,836) 7,836
Total Investments - 98.0% (cost $241,859) 260,776
Other Assets and Liabilities, Net - 2.0% 5,405
Total Net Assets - 100% 266,181
JNL/PPM America Money Market Fund
Commercial Paper - 95.3%
Auto Manufacturers - 7.9%
BMW US Capital Corp.
0.95%, 01/02/04 2,500 2,500
1.04%, 01/15/04 6,038 6,036
Volkswagen of America
1.05%, 01/05/04 2,000 2,000
1.07%, 01/22/04 4,000 3,997
14,533
Banks - 15.1%
Bank of Nova Scotia, 1.06%, 01/26/04 9,600 9,593
Royal Bank of Scotland
1.08%, 01/09/04 4,000 3,999
1.08%, 01/20/04 1,400 1,399
1.06%, 01/22/04 1,700 1,699
1.08%, 01/22/04 300 300
1.08%, 01/27/04 1,750 1,749
UBS Finance LLC, 1.05%, 02/19/04 9,100 9,087
27,826
Beverages - 9.1%
Coca-Cola Co.
1.03%, 01/05/04 4,800 4,799
1.03%, 01/06/04 4,000 3,999
Diageo Capital Plc
1.03%, 01/26/04 2,000 1,999
1.04%, 01/26/04 1,000 999
1.06%, 02/02/04 5,000 4,995
16,791
Chemicals - 4.9%
E.I. du Pont de Nemours & Co., 1.06%, 01/21/04 9,000 8,995
Computers - 4.9%
IBM Corp., 1.00%, 01/14/04 9,000 8,997
Diversified Financial Services - 35.6%
American Express Credit Corp., 1.05%, 01/23/04 9,000 8,994
American General Finance Corp., 1.03%, 03/01/04 5,000 4,991
Citigroup Global Markets Holding Inc., 1.05%, 02/13/04 9,000 8,989
Countrywide Home Loans
1.03%, 01/02/04 200 200
1.12%, 01/09/04 9,000 8,998
General Electric Capital Corp., 1.09%, 01/06/04 8,850 8,849
Goldman Sachs Group Inc.
1.07%, 04/05/04 4,500 4,487
1.08%, 05/24/04 2,000 1,991
Household Finance Corp., 1.07%, 01/16/04 9,000 8,996
Merrill Lynch & Co. Inc., 1.02%, 01/07/04 9,200 9,199
65,694
Food - 1.6%
Sara Lee Corp., 1.05%, 01/16/04 3,000 2,999
Insurance - 1.8%
AIG Funding Inc., 1.01%, 02/17/04 3,400 3,395
Oil & Gas Producers - 4.9%
BP America Inc., 1.03%, 03/17/04 9,000 8,980
Pharmaceuticals - 4.6%
Merck & Co., 1.01%, 01/16/04 8,500 8,496
Telecommunications - 4.9%
BellSouth Corp., 1.02%, 01/09/04 9,000 8,998
Total Commercial Paper (cost $175,704) 175,704
Money Market Funds - 5.4%
Dreyfus Cash Management Plus, 0.898% (a) 9,258 9,258
Dreyfus Government Cash Management, 0.893% (a) 691 691
Total Money Market Funds (cost $9,949) 9,949
Total Investments - 100.7% (cost $185,653) 185,653
Other Assets and Liabilities, Net - (0.7%) -1,213
Total Net Assets - 100% 184,440
JNL/PPM America Value Fund
Common Stocks - 99.8%
Aerospace & Defense - 1.9%
United Technologies Corp. 11 1,024
Apparel - 3.6%
Liz Claiborne Inc. 25 876
V.F. Corp. 25 1,094
1,970
Auto Manufacturers - 3.3%
Ford Motor Co. 58 931
General Motors Corp. 17 886
1,817
Auto Parts & Equipment - 1.5%
Delphi Corp. 80 812
Banks - 6.9%
Bank of America Corp. 16 1,303
Banknorth Group Inc. 25 807
Charter One Financial Inc. 32 1,105
KeyCorp 20 572
3,787
Building Materials - 1.7%
Masco Corp. 33 913
Chemicals - 3.2%
Ashland Inc. 25 1,084
PPG Industries Inc. 10 659
1,743
Computers - 2.0%
Hewlett-Packard Co. 47 1,084
Diversified Financial Services - 6.8%
Citigroup Inc. 28 1,364
Fannie Mae 17 1,306
JPMorgan Chase & Co. 30 1,087
3,757
Electric - 6.2%
Dominion Resources Inc. 15 970
FirstEnergy Corp. 34 1,186
NiSource Inc. 55 1,200
3,357
Food - 3.5%
Kroger Co. (b) 59 1,086
Sara Lee Corp. 37 812
1,898
Forest Products & Paper - 1.5%
MeadWestvaco Corp. 27 812
Healthcare - 4.0%
HCA Inc. 25 1,087
WellPoint Health Networks Inc. (b) 11 1,086
2,173
Home Furnishings - 1.5%
Maytag Corp. 29 805
Household Products - 2.0%
Fortune Brands Inc. 15 1,101
Insurance - 9.6%
American International Group Inc. 18 1,200
Cigna Corp. 12 707
Hartford Financial Services Group Inc. 20 1,198
Lincoln National Corp. 27 1,090
Radian Group Inc. 22 1,092
5,287
Iron & Steel - 1.4%
Nucor Corp. 13 750
Leisure Time - 1.5%
Brunswick Corp. 26 812
Manufacturing - 3.9%
Cooper Industries Ltd. - Class A 14 793
General Electric Co. 43 1,317
2,110
Oil & Gas Producers - 6.4%
ChevronTexaco Corp. 13 1,140
ConocoPhillips 17 1,135
Occidental Petroleum Corp. 28 1,191
3,466
Pharmaceuticals - 3.5%
AmerisourceBergen Corp. 13 719
Merck & Co. Inc. 26 1,206
1,925
Retail - 5.5%
Federated Department Stores Inc. 24 1,140
Home Depot Inc. 22 767
Sears Roebuck & Co. 24 1,074
2,981
Savings & Loans - 3.5%
Sovereign Bancorp. Inc. 34 817
Washington Mutual Inc. 27 1,087
1,904
Software - 2.9%
Computer Associates International Inc. 37 1,022
Compuware Corp. (b) 88 534
1,556
Telecommunications - 6.6%
BellSouth Corp. 29 815
SBC Communications Inc. 40 1,040
Sprint Corp. - FON Group 47 770
Verizon Communications Inc. 28 997
3,622
Tobacco - 2.3%
Altria Group Inc. 23 1,263
Transportation - 3.1%
Burlington Northern Santa Fe Corp. 32 1,032
CSX Corp. 18 647
1,679
Total Common Stocks (cost $44,862) 54,408
Short Term Investments - 1.7%
Money Market Funds - 1.7%
Dreyfus Cash Management Plus, 0.898% (a) 951 951
Total Short Term Investments (cost $951) 951
Total Investments - 101.5% (cost $45,813) 55,359
Other Assets and Liabilities, Net - (1.5%) -827
Total Net Assets - 100% 54,532
JNL/Putnam Equity Fund
Common Stocks - 98.1%
Aerospace & Defense - 2.6%
Lockheed Martin Corp. 46 2,385
Rockwell Collins Inc. 36 1,075
United Technologies Corp. 8 765
4,225
Airlines - 0.7%
Southwest Airlines Co. 72 1,158
Apparel - 0.1%
NIKE Inc. 1 62
Auto Manufacturers - 0.1%
General Motors Corp. 2 80
Banks - 6.8%
Bank of New York Co. Inc. 47 1,556
Charter One Financial Inc. 1 35
Comerica Inc. 14 757
Commerce Bancorp. Inc. 51 2,681
Fifth Third Bancorp. 36 2,141
M&T Bank Corp. 1 49
US Bancorp. 97 2,874
Wells Fargo & Co. 17 999
11,092
Beverages - 0.3%
Anheuser-Busch Cos. Inc. 2 109
Coca-Cola Co. 3 150
Pepsi Bottling Group Inc. 2 36
PepsiCo Inc. 3 143
438
Biotechnology - 1.5%
Amgen Inc. (b) 32 1,990
Biogen Idec Inc. (b) 10 374
Genentech Inc. (b) 1 56
Invitrogen Corp. (b) 1 42
2,462
Building Materials - 0.7%
Masco Corp. 42 1,154
Chemicals - 0.4%
E.I. du Pont de Nemours & Co. 13 601
PPG Industries Inc. 1 65
666
Commercial Services - 1.8%
Accenture Ltd. (b) 28 729
ChoicePoint Inc. (b) 25 945
Iron Mountain Inc. (b) 12 463
McKesson Corp. 2 49
Rent-A-Center Inc. (b) 29 858
3,044
Computers - 4.4%
Dell Inc. (b) 51 1,731
EMC Corp. (b) 41 534
Hewlett-Packard Co. 92 2,120
International Business Machines Corp. 2 163
Lexmark International Inc. (b) 11 857
Network Appliance Inc. (b) 16 322
Sandisk Corp. (b) 11 679
Storage Technology Corp. (b) 17 425
Sun Microsystems Inc. (b) 100 447
7,278
Cosmetics & Personal Care - 2.6%
Avon Products Inc. 10 702
Colgate-Palmolive Co. 17 841
Procter & Gamble Co. 28 2,827
4,370
Diversified Financial Services - 13.9%
Capital One Financial Corp. 43 2,657
Charles Schwab Corp. 90 1,067
Citigroup Inc. 105 5,087
Countrywide Financial Corp. 7 561
Fannie Mae 6 473
Freddie Mac 107 6,240
JPMorgan Chase & Co. 51 1,878
Lehman Brothers Holdings Inc. 17 1,297
MBNA Corp. 85 2,115
Providian Financial Corp. (b) 79 917
SLM Corp. 16 607
22,899
Electric - 1.4%
Edison International 55 1,209
Entergy Corp. 9 543
Exelon Corp. 4 265
PG&E Corp. (b) 5 134
Sierra Pacific Resources (b) 14 99
2,250
Electrical Components & Equipment - 0.1%
American Power Conversion Corp. 9 218
Electronics - 0.2%
Celestica Inc. (b) 26 393
Food - 0.6%
Dean Foods Co. (b) 27 901
Kraft Foods Inc. 1 32
933
Healthcare - 5.0%
Baxter International Inc. 2 57
Boston Scientific Corp. (b) 1 37
Health Management Associates Inc. 1 34
Inamed Corp. (b) 5 245
Johnson & Johnson 103 5,337
Manor Care Inc. 1 21
Medtronic Inc. 39 1,896
St. Jude Medical Inc. (b) 1 37
Tenet Healthcare Corp. (b) 39 632
8,296
Home Builders - 1.1%
Lennar Corp. 10 979
NVR Inc. (b) 1 652
Pulte Homes Inc. 2 150
1,781
Insurance - 6.5%
ACE Ltd. 30 1,226
American International Group Inc. 72 4,788
Cigna Corp. 13 747
Everest Re Group Ltd. 22 1,844
Radian Group Inc. 23 1,105
XL Capital Ltd. 12 931
10,641
Internet - 1.2%
Checkfree Corp. (b) 24 661
eBay Inc. (b) 6 407
Symantec Corp. (b) 3 118
Yahoo! Inc. (b) 19 853
2,039
Investment Companies - 1.0%
SPDR Trust Series 1 15 1,626
Leisure Time - 0.8%
Harley-Davidson Inc. 27 1,279
Royal Caribbean Cruises Ltd. 3 111
1,390
Lodging - 0.8%
Harrah's Entertainment Inc. 25 1,265
Manufacturing - 3.1%
Dover Corp. 18 712
General Electric Co. 14 445
Illinois Tool Works Inc. 5 386
ITT Industries Inc. 14 1,054
Tyco International Ltd. 97 2,567
5,164
Media - 3.0%
Comcast Corp. - Special Class A (b) 64 1,995
EchoStar Communications Corp. (b) 9 305
Liberty Media Corp. (b) 10 114
Time Warner Inc. (b) 48 871
Viacom Inc. - Class B 37 1,663
4,948
Mining - 0.5%
BHP Billiton Plc 66 766
Office & Business Equipment - 0.7%
Xerox Corp. (b) 89 1,234
Oil & Gas Producers - 5.1%
Apache Corp. 2 129
Burlington Resources Inc. 3 155
Canadian Natural Resources Ltd. 15 779
EnCana Corp. 15 582
Exxon Mobil Corp. 125 5,140
GlobalSantaFe Corp. 47 1,162
Total SA - ADR 4 331
8,278
Oil & Gas Services - 0.4%
Halliburton Co. 25 645
Packaging & Containers - 0.1%
Sealed Air Corp. (b) 2 81
Smurfit-Stone Container Corp. (b) 3 60
141
Pharmaceuticals - 7.8%
Abbott Laboratories 34 1,574
Allergan Inc. 5 392
AstraZeneca Plc 7 314
Cardinal Health Inc. 19 1,141
Express Scripts Inc. - Class A (b) 10 644
Forest Laboratories Inc. (b) 34 2,130
Merck & Co. Inc. 5 217
Pfizer Inc. 182 6,424
Teva Pharmaceutical Industries Ltd. - ADR 1 61
12,897
Real Estate - 0.3%
Apartment Investment & Management Co. 15 531
Retail - 6.1%
Autozone Inc. (b) 21 1,763
Bed Bath & Beyond Inc. (b) 20 884
Costco Wholesale Corp. (b) 25 915
Family Dollar Stores Inc. 31 1,105
Home Depot Inc. 3 90
Kohl's Corp. (b) 14 647
Lowe's Cos. Inc. 26 1,415
McDonald's Corp. 1 25
Michaels Stores Inc. 1 34
Ross Stores Inc. 19 513
Staples Inc. (b) 4 105
TJX Cos. Inc. 26 579
Wal-Mart Stores Inc. 38 2,021
10,096
Semiconductors - 3.1%
Agere Systems Inc. (b) 29 90
Integrated Circuit Systems Inc. (b) 13 370
Intel Corp. 125 4,019
Linear Technology Corp. 15 622
5,101
Software - 6.9%
BMC Software Inc. (b) 62 1,155
Computer Associates International Inc. 35 957
First Data Corp. 23 962
Microsoft Corp. 250 6,885
Oracle Corp. (b) 38 505
Siebel Systems Inc. (b) 34 474
Veritas Software Corp. (b) 13 468
11,406
Telecommunications - 1.2%
CenturyTel Inc. 1 29
Level 3 Communications Inc. (b) 100 568
SBC Communications Inc. 22 582
Verizon Communications Inc. 23 805
1,984
Telecommunications Equipment - 2.1%
Cisco Systems Inc. (b) 115 2,789
Harris Corp. - -
Nokia Oyj - ADR 41 702
3,491
Tobacco - 1.0%
Altria Group Inc. 30 1,624
Toys & Hobbies - 0.3%
Mattel Inc. 30 576
Transportation - 1.4%
Canadian National Railway Co. 13 848
Union Pacific Corp. 21 1,481
2,329
Wireless Telecommunications - 0.5%
Nextel Communications Inc. (b) 2 48
Qualcomm Inc. 15 803
851
Total Common Stocks (cost $143,302) 161,822
Short Term Investments - 1.5%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) - -
Repurchase Agreement - 1.5%
Repurchase Agreement with Goldman Sachs and Co.,
0.99%, (Collateralized by $2,630 Federal National Mortgage
Association, 4.625%, due 05/01/13, market value $2,562)
acquired on 12/31/03, due 01/02/04 at $2,526 2,526 2,526
Total Short Term Investments (cost $2,526) 2,526
Total Investments - 99.6% (cost $145,828) 164,348
Other Assets and Liabilities, Net - 0.4% 579
Total Net Assets - 100% 164,927
JNL/Putnam International Equity Fund
Common Stocks - 97.3%
Advertising - 0.8%
WPP Group Plc 77 755
Airlines - 0.3%
Qantas Airways Ltd. 29 71
Singapore Airlines Ltd. 29 191
262
Auto Manufacturers - 4.8%
Bayerische Motoren Werke AG 27 1,258
Honda Motor Co. Ltd. 24 1,057
Toyota Motor Corp. 69 2,338
4,653
Auto Parts & Equipment - 0.3%
Bridgestone Corp. 4 54
Denso Corp. 12 236
290
Banks - 18.2%
ABN Amro Holding NV 10 232
Allied Irish Banks Plc 45 725
Australia & New Zealand Banking Group Ltd. 9 126
Banco Bilbao Vizcaya Argentaria SA 7 93
Banco Itau Holding Financeira SA - ADR 1 58
Banco Popular Espanol 1 63
Bank of Ireland 18 240
Bank of Nova Scotia 1 61
Barclays Plc 10 90
BNP Paribas SA 24 1,492
Canadian Imperial Bank of Commerce 18 873
Credit Suisse Group 36 1,314
Danske Bank A/S 30 705
DBS Group Holdings Ltd. 44 381
DnB Holding ASA 12 77
HSBC Holdings Plc 266 4,197
National Australia Bank Ltd. 3 59
Oversea-Chinese Banking Corp. Ltd. 14 99
Royal Bank of Scotland Group Plc 48 1,411
Sanpaolo IMI SpA 7 85
Societe Generale 9 805
Standard Chartered Plc 21 341
Sumitomo Mitsui Financial Group Inc. - 75
UBS AG 43 2,934
Uniao de Bancos Brasileiros SA - GDR 2 55
UniCredito Italiano SpA 107 577
United Overseas Bank Ltd. 65 505
17,673
Beverages - 3.3%
Cia de Bebidas das Americas - ADR 17 432
Diageo Plc 175 2,302
Interbrew 16 425
3,159
Building Materials - 0.8%
CRH Plc 38 789
Chemicals - 2.2%
Air Liquide SA - 81
BASF AG 28 1,573
Ciba Specialty Chemicals AG (b) 6 487
Shin-Etsu Chemical Co. Ltd. 1 29
2,170
Commercial Services - 0.5%
Securitas AB 29 386
Toppan Printing Co. Ltd. 6 58
444
Computers - 0.6%
Compal Electronics Inc. 391 536
HON HAI Precision Industry Co. Ltd. 8 33
569
Cosmetics & Personal Care - 0.5%
Kao Corp. 23 468
Distribution & Wholesale - 0.0%
Mitsui & Co. Ltd. 5 40
Diversified Financial Services - 1.5%
Acom Co. Ltd. 7 303
Credit Saison Co. Ltd. 14 310
Deutsche Boerse AG 1 38
Grupo Financiero BBVA Bancomer (b) 42 36
Nomura Holdings Inc. 21 358
ORIX Corp. 5 380
1,425
Electric - 2.1%
CLP Holdings Ltd. 9 41
E.ON AG 2 104
Electrabel SA - 30
Electricidade de Portugal SA 32 85
Iberdrola SA 64 1,258
Kansai Electric Power Co. Inc. 3 56
Korea Electric Power Corp. - ADR 26 266
Scottish & Southern Energy Plc 6 75
Scottish Power Plc 7 48
Tokyo Electric Power Co. Inc. 2 49
2,012
Electrical Components & Equipment - 3.1%
Funai Electric Co. Ltd. 1 82
Samsung Electronics Co. Ltd. 8 3,040
3,122
Electronics - 1.2%
Advantest Corp. - 24
Koninklijke Philips Electronics NV 16 481
Omron Corp. 3 61
Secom Co. Ltd. 15 560
1,126
Engineering & Construction - 0.6%
Bouygues SA 18 628
Entertainment - 0.4%
Hilton Group Plc 106 428
Food - 4.4%
Metro AG 1 38
Nestle SA 12 2,939
Tesco Plc 180 830
Unilever NV 1 50
Woolworths Ltd. 44 392
4,249
Forest Products & Paper - 0.0%
Sappi Ltd. 2 29
Gas - 0.8%
Tokyo Gas Co. Ltd. 207 739
Hand & Machine Tools - 0.1%
Schneider Electric SA 1 52
Healthcare - 0.5%
Synthes-Stratec Inc. - 445
Holding Companies - Diversified - 1.2%
LVMH Moet Hennessy Louis Vuitton SA 15 1,080
Swire Pacific Ltd. 6 37
1,117
Home Furnishings - 0.1%
SONY Corp. 2 59
Household Products - 0.6%
Reckitt Benckiser Plc 24 543
Insurance - 3.7%
Allianz AG 1 67
Cathay Financial Holding Co. Ltd. 172 259
China Life Insurance Co. Ltd. (b) 34 28
ING Groep NV 36 838
Millea Holdings Inc. - 1,058
Sun Life Financial Services of Canada Inc. 2 60
Swiss Reinsurance 15 1,031
XL Capital Ltd. 4 274
Zurich Financial Services AG (b) - 56
3,671
Iron & Steel - 0.3%
POSCO - ADR 9 298
Lodging - 0.0%
Four Seasons Hotels Inc. 1 41
Manufacturing - 2.0%
Olympus Optical Co. Ltd. 38 824
Siemens AG 13 1,081
1,905
Media - 2.9%
Mediaset SpA 85 1,014
News Corp. Ltd. - ADR 16 583
Singapore Press Holdings Ltd. 25 278
Societe Television Francaise 1 28 973
2,848
Metal Fabrication & Hardware - 0.3%
SKF AB 7 255
Mining - 2.8%
Aggregate Industries Plc 87 133
Alcan Inc. 1 47
Anglo American Plc 2 34
BHP Billiton Ltd. 36 328
BHP Billiton Plc 127 1,111
Cia Vale do Rio Doce - ADR 13 789
Rio Tinto Plc 10 285
2,727
Office & Business Equipment - 2.8%
Canon Inc. 53 2,468
Ricoh Co. Ltd. 13 256
2,724
Oil & Gas Producers - 7.8%
BG Group Plc 14 72
Canadian Natural Resources Ltd. 1 40
EnCana Corp. 4 174
ENI-Ente Nazionale Idrocarburi SpA 63 1,180
Nippon Oil Corp. 52 265
Petroleo Brasileiro SA - Petrobras - ADR 16 456
Shell Transport & Trading Co. Plc 28 211
Statoil ASA 6 65
Suncor Energy Inc. 4 94
Total Fina Elf SA 25 4,632
YUKOS - ADR 8 345
7,534
Packaging & Containers - 0.4%
Amcor Ltd. 55 343
Pharmaceuticals - 7.0%
AstraZeneca Plc 58 2,785
GlaxoSmithKline Plc 9 209
Novartis AG 54 2,436
Roche Holding AG Genusschein 4 438
Sankyo Co. Ltd. - 7
Schering AG 2 86
Takeda Chemical Industries Ltd. 1 55
Yamanouchi Pharmaceutical Co. Ltd. 24 740
6,756
Retail - 2.3%
Aeon Co. Ltd. 11 352
GUS Plc 51 700
Hennes & Mauritz AB - Class B 12 284
Pinault-Printemps-Redoute SA 3 276
Swatch Group AG 8 183
Swatch Group AG - Class B 3 408
Wal-Mart de Mexico SA de CV 14 41
2,244
Semiconductors - 0.7%
Rohm Co. Ltd. 4 516
STMicroelectronics NV 2 44
Taiwan Semiconductor Manufacturing Co. Ltd. (b) 46 87
647
Software - 0.1%
SAP AG - 49
Telecommunications - 3.0%
China Telecom Corp. Ltd. 690 284
Deutsche Telekom AG (b) 35 635
KT Corp. - ADR 33 628
Nippon Telegraph & Telephone Corp. - 251
Portugal Telecom SGPS SA 10 98
Royal KPN NV (b) 9 67
Telefonica SA 5 74
Telefonos de Mexico SA de CV - ADR 25 813
Telus Corp. 3 49
2,899
Telecommunications Equipment - 2.1%
Nokia Oyj 83 1,437
Telefonaktiebolaget LM Ericsson (b) 345 618
2,055
Tobacco - 0.5%
Altadis SA 17 474
Japan Tobacco Inc. - 44
518
Transportation - 1.7%
Canadian National Railway Co. 12 751
East Japan Railway Co. - 518
TPG NV 16 384
1,653
Venture Capital - 0.5%
3i Group Plc 45 502
Water - 0.8%
Veolia Environnement 28 747
Wireless Telecommunications - 6.7%
NTT DoCoMo Inc. 1 1,889
SK Telecom Co. Ltd. - ADR 19 349
SK Telecom Co. Ltd. 2 354
Vodafone Group Plc 1,577 3,910
6,502
Total Common Stocks (cost $77,571) 94,164
Mutual Funds - 0.5%
iShares MSCI EAFE Index Fund 4 488
Total Mutual Funds (cost $447) 488
Preferred Stocks - 0.1%
Auto Manufacturers - 0.0%
Porsche AG - 42
Diversified Financial Services - 0.0%
Singapore Press Holdings 4 46
Total Preferred Stocks (cost $69) 88
Warrants - 0.2%
Chemicals - 0.2%
Reliance Industries, No Strike Price, Expiring 09/02/04 (e)13 167
Software - 0.0%
Infosys Technologies, No Strike Price, Expiring 04/08/04 (e)- 39
Total Warrants (cost $144) 205
Short Term Investments - 2.0%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 1 1
Repurchase Agreement - 2.0%
Repurchase Agreement with Goldman Sachs and Co.,
0.99%, (Collateralized by $1,790 Federal National Mortgage
Association, 6.00%, due 05/15/08, market value $1,981)
acquired on 12/31/03, due 01/02/04 at $1,954 1,954 1,954
Total Short Term Investments (cost $1,955) 1,955
Total Investments - 100.1% (cost $80,186) 96,900
Other Assets and Liabilities, Net - (0.1%) -89
Total Net Assets - 100% 96,811
JNL/Putnam Midcap Growth Fund
Common Stocks - 98.3%
Advertising - 0.8%
Advo Inc. 3 94
Getty Images Inc. (b) 3 150
244
Aerospace & Defense - 1.3%
Rockwell Collins Inc. 7 216
United Defense Industries Inc. (b) 5 166
382
Apparel - 1.5%
Columbia Sportswear Co. (b) 2 120
Kellwood Co. 4 180
Timberland Co. - Class A (b) 3 135
435
Auto Parts & Equipment - 0.8%
Autoliv Inc. 1 45
Lear Corp. 3 200
245
Banks - 1.1%
Investors Financial Services Corp. 6 234
Zions Bancorp. 2 92
326
Biotechnology - 4.1%
Biogen Idec Inc. (b) 9 316
Celgene Corp. (b) 3 126
Genzyme Corp. (b) 5 242
Invitrogen Corp. (b) 5 378
Medimmune Inc. (b) 4 109
1,171
Commercial Services - 2.8%
Alliance Data Systems Corp. (b) 4 108
Apollo Group Inc. (b) 3 225
Career Education Corp. (b) 3 128
ChoicePoint Inc. (b) 4 141
Rent-A-Center Inc. (b) 7 218
820
Computers - 7.4%
CACI International Inc. - Class A (b) 4 204
Cognizant Technology Solutions Corp. (b) 6 255
Lexar Media Inc. (b) 8 139
Lexmark International Inc. (b) 5 362
Network Appliance Inc. (b) 16 333
Sandisk Corp. (b) 7 416
Storage Technology Corp. (b) 7 191
Sun Microsystems Inc. (b) 10 45
SunGard Data Systems Inc. (b) 7 183
2,128
Cosmetics & Personal Care - 0.4%
Alberto-Culver Co. - Class B 2 126
Distribution & Wholesale - 0.5%
CDW Corp. 3 156
Diversified Financial Services - 5.7%
Ameritrade Holding Corp. (b) 5 66
Bear Stearns Cos. Inc. 3 244
Capital One Financial Corp. 7 417
Doral Financial Corp. 3 110
Legg Mason Inc. 4 295
Nelnet Inc. (b) 4 96
Providian Financial Corp. (b) 18 206
Waddell & Reed Financial Inc. - Class A 9 218
1,652
Electric - 0.7%
Entergy Corp. 4 203
Electronics - 1.0%
Benchmark Electronics Inc. (b) 4 130
Celestica Inc. (b) 3 38
Flir Systems Inc. (b) 3 124
292
Entertainment - 2.1%
GTECH Holdings Corp. 4 198
International Game Technology 10 339
Regal Entertainment Group - Class A 3 68
605
Environmental Control - 0.5%
Stericycle Inc. (b) 3 145
Food - 0.3%
Dean Foods Co. (b) 3 92
Healthcare - 10.3%
Advanced Medical Optics Inc. (b) - -
Anthem Inc. (b) 3 248
Apria Healthcare Group Inc. (b) 8 216
Biomet Inc. 7 244
C.R. Bard Inc. 4 358
Cytyc Corp. (b) 11 146
Guidant Corp. 2 93
Health Net Inc. (b) 11 366
Inamed Corp. (b) 6 264
Quest Diagnostics Inc. 2 110
St. Jude Medical Inc. (b) 4 245
WellPoint Health Networks Inc. (b) 3 291
Zimmer Holdings Inc. (b) 5 373
2,954
Home Builders - 1.4%
NVR Inc. (b) 1 410
Home Furnishings - 1.0%
Whirlpool Corp. 4 283
Household Products - 3.0%
Dial Corp. 12 330
Toro Co. 5 214
Yankee Candle Co. Inc. (b) 12 314
858
Insurance - 1.5%
Everest Re Group Ltd. 3 220
W.R. Berkley Corp. 6 215
435
Internet - 2.9%
Symantec Corp. (b) 16 547
VeriSign Inc. (b) 17 282
829
Investment Companies - 0.4%
Nasdaq-100 Index Tracking Stock 3 117
Leisure Time - 0.5%
Harley-Davidson Inc. 3 157
Machinery - 1.6%
Briggs & Stratton Corp. 4 263
IDEX Corp. 5 195
458
Manufacturing - 0.4%
Dover Corp. 3 111
Mining - 0.4%
Freeport-McMoRan Copper & Gold Inc. 3 110
Office & Business Equipment - 0.6%
Xerox Corp. (b) 14 186
Office Furnishings - 1.0%
HON Industries Inc. 7 295
Oil & Gas Producers - 2.1%
Burlington Resources Inc. 3 166
EOG Resources Inc. 5 249
Noble Corp. (b) 5 183
598
Pharmaceuticals - 7.1%
AdvancePCS (b) 2 111
Allergan Inc. 4 330
Amylin Pharmaceuticals Inc. (b) 4 80
Barr Laboratories Inc. (b) 3 259
Caremark Rx Inc. (b) 12 309
Gilead Sciences Inc. (b) 4 233
Medicis Pharmaceutical Corp. - Class A 3 235
Mylan Laboratories Inc. 15 380
Neurocrine Biosciences Inc. (b) 2 109
2,046
Retail - 11.4%
Abercrombie & Fitch Co. - Class A (b) 6 158
Advance Auto Parts (b) 4 326
Autozone Inc. (b) 3 213
CBRL Group Inc. 3 103
Claire's Stores Inc. 16 301
Dollar General Corp. 11 237
Family Dollar Stores Inc. 2 72
Michaels Stores Inc. 4 181
Office Depot Inc. (b) 8 139
RadioShack Corp. 4 117
Ross Stores Inc. 9 233
Staples Inc. (b) 22 603
Starbucks Corp. (b) 12 407
Yum! Brands Inc. (b) 5 179
3,268
Savings & Loans - 0.1%
Brookline Bancorp. Inc. 1 17
Semiconductors - 7.8%
Agere Systems Inc. (b) 101 306
Altera Corp. (b) 11 256
Integrated Circuit Systems Inc. (b) 7 194
Integrated Device Technology Inc. (b) 8 144
International Rectifier Corp. (b) 3 148
Intersil Corp. 6 152
KLA-Tencor Corp. (b) 2 100
Lam Research Corp. (b) 7 226
Linear Technology Corp. 3 114
Marvell Technology Group Ltd. (b) 5 181
QLogic Corp. (b) 4 227
Sigmatel Inc. (b) 1 33
Silicon Laboratories Inc. (b) 4 186
2,267
Software - 8.3%
Adobe Systems Inc. 11 440
BMC Software Inc. (b) 27 500
Electronic Arts Inc. (b) 6 292
Fiserv Inc. (b) 3 119
Informatica Corp. (b) 5 49
Mercury Interactive Corp. (b) 6 302
SEI Investments Co. 5 146
Siebel Systems Inc. (b) 20 276
Veritas Software Corp. (b) 7 265
2,389
Telecommunications - 0.9%
CenturyTel Inc. 8 258
Telecommunications Equipment - 1.7%
Advanced Fibre Communications Inc. (b) 4 79
Corning Inc. (b) 12 120
Foundry Networks Inc. (b) 7 186
Juniper Networks Inc. (b) 5 93
478
Textiles - 1.0%
Mohawk Industries Inc. (b) 4 303
Toys & Hobbies - 1.9%
Marvel Enterprises Inc. (b) 8 239
Mattel Inc. 17 323
562
Total Common Stocks (cost $24,236) 28,411
Mutual Funds - 0.4%
Midcap SPDR Trust Series 1 1 127
Total Mutual Funds (cost $125) 127
Short Term Investments - 0.4%
Money Market Funds - 0.4%
Dreyfus Cash Management Plus, 0.898% (a) 108 108
Total Short Term Investments (cost $108) 108
Total Investments - 99.1% (cost $24,469) 28,646
Other Assets and Liabilities, Net - 0.9% 263
Total Net Assets - 100% 28,909
JNL/Putnam Value Equity Fund
Common Stocks - 97.2%
Aerospace & Defense - 3.0%
Boeing Co. 77 3,232
Lockheed Martin Corp. 83 4,261
Northrop Grumman Corp. 18 1,673
9,166
Apparel - 0.4%
Liz Claiborne Inc. 31 1,113
Banks - 7.3%
Bank of America Corp. 49 3,941
Bank of New York Co. Inc. 59 1,941
State Street Corp. 29 1,515
US Bancorp. 175 5,206
Wachovia Corp. 74 3,466
Wells Fargo & Co. 91 5,377
Zions Bancorp. 19 1,171
22,617
Building Materials - 0.8%
Masco Corp. 93 2,538
Chemicals - 2.3%
Dow Chemical Co. 104 4,311
PPG Industries Inc. 44 2,842
7,153
Commercial Services - 0.5%
McKesson Corp. 51 1,631
Computers - 6.8%
Dell Inc. (b) 72 2,438
Hewlett-Packard Co. 347 7,967
International Business Machines Corp. 88 8,137
Lexmark International Inc. (b) 31 2,438
20,980
Cosmetics & Personal Care - 1.4%
Procter & Gamble Co. 43 4,245
Diversified Financial Services - 11.4%
Citigroup Inc. 258 12,513
Fannie Mae 89 6,703
Freddie Mac 107 6,240
JPMorgan Chase & Co. 211 7,743
MBNA Corp. 84 2,095
35,294
Electric - 2.6%
Edison International 97 2,123
Entergy Corp. 11 623
Exelon Corp. 28 1,858
FirstEnergy Corp. 20 690
PG&E Corp. (b) 95 2,638
7,932
Electrical Components & Equipment - 0.4%
Emerson Electric Co. 17 1,107
Electronics - 0.4%
Solectron Corp. (b) 224 1,323
Environmental Control - 0.3%
Republic Services Inc. 33 838
Food - 1.3%
ConAgra Foods Inc. 89 2,341
Kraft Foods Inc. 51 1,653
3,994
Forest Products & Paper - 0.6%
Abitibi-Consolidated Inc. 219 1,759
Healthcare - 2.3%
Anthem Inc. (b) 43 3,195
C.R. Bard Inc. 21 1,690
Johnson & Johnson 44 2,268
7,153
Home Furnishings - 1.0%
Whirlpool Corp. 44 3,197
Household Products - 0.4%
Avery Dennison Corp. 22 1,210
Insurance - 5.0%
ACE Ltd. 70 2,916
American International Group Inc. 38 2,486
Berkshire Hathaway Inc. - Class B (b) 1 3,688
Cigna Corp. 19 1,104
Travelers Property Casualty Corp. 141 2,394
XL Capital Ltd. 38 2,916
15,504
Manufacturing - 4.5%
General Electric Co. 142 4,399
Ingersoll-Rand Co. - Class A 38 2,600
Tyco International Ltd. 260 6,893
13,892
Media - 1.8%
Time Warner Inc. (b) 78 1,410
Walt Disney Co. 173 4,034
5,444
Mining - 0.7%
Alcoa Inc. 60 2,261
Office & Business Equipment - 1.2%
Xerox Corp. (b) 273 3,768
Oil & Gas Producers - 5.9%
ConocoPhillips 74 4,842
Exxon Mobil Corp. 273 11,193
Total SA - ADR 24 2,248
18,283
Oil & Gas Services - 0.9%
Halliburton Co. 103 2,688
Pharmaceuticals - 8.8%
Abbott Laboratories 137 6,403
Cardinal Health Inc. 66 4,061
Express Scripts Inc. - Class A (b) 11 737
Forest Laboratories Inc. (b) 19 1,190
King Pharmaceuticals Inc. (b) 125 1,909
Medco Health Solutions Inc. (b) - -
Pfizer Inc. 280 9,906
Wyeth 73 3,116
27,322
Retail - 7.2%
Darden Restaurants Inc. 135 2,838
Home Depot Inc. 103 3,641
J.C. Penney Co. Inc. 57 1,493
Limited Brands Inc. 26 469
Lowe's Cos. Inc. 19 1,030
McDonald's Corp. 98 2,431
Office Depot Inc. (b) 203 3,394
TJX Cos. Inc. 82 1,802
Wal-Mart Stores Inc. 97 5,156
22,254
Savings & Loans - 1.3%
Washington Mutual Inc. 100 4,020
Semiconductors - 1.5%
Intel Corp. 113 3,648
Micron Technology Inc. (b) 77 1,039
4,687
Software - 4.8%
Automatic Data Processing Inc. 31 1,216
Computer Associates International Inc. 86 2,357
Fiserv Inc. (b) 42 1,647
Microsoft Corp. 292 8,053
Oracle Corp. (b) 131 1,727
15,000
Telecommunications - 4.4%
BellSouth Corp. 81 2,292
CenturyTel Inc. 38 1,249
SBC Communications Inc. 145 3,791
Verizon Communications Inc. 178 6,244
13,576
Tobacco - 3.6%
Altria Group Inc. 208 11,298
Toys & Hobbies - 0.4%
Mattel Inc. 69 1,322
Transportation - 1.8%
Canadian National Railway Co. 39 2,474
Union Pacific Corp. 49 3,370
5,844
Wireless Telecommunications - 0.3%
Motorola Inc. 56 792
Total Common Stocks (cost $267,692) 301,205
Options - 0.0%
Bellsouth Call Option, Strike Price $29.35, 04/07/04, 27 22
SBC Communication, Call Option,
Strike Price $26.74, 04/05/04 60 53
Verizon Call Option, Strike Price $36.17, 04/07/04 22 21
Total Options (cost $83) 96
Short Term Investments - 2.7%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) - -
Repurchase Agreement - 2.7%
Repurchase Agreement with Goldman Sachs and Co.,
0.99%, (Collateralized by $8,410 Federal Home Loan Bank,
3.875%, due 12/15/04 , market value $8,608) acquired
on 12/31/03, due 01/02/04 at $8,451 8,451 8,451
Total Short Term Investments (cost $8,451) 8,451
Total Investments - 100.0% (cost $276,226) 309,752
Other Assets and Liabilities, Net - 0.0% -20
Total Net Assets - 100% 309,732
JNL/S&P Aggressive Growth Fund
Mutual Funds - 100.0%
Aggressive Growth - 92.1%
JNL/Alliance Capital Growth Fund 267 2,654
JNL/Curian Enhanced S&P 500 Stock Index Fund 501 3,971
JNL/Janus Aggressive Growth Fund 96 1,689
JNL/Lazard Mid Cap Value Fund 29 375
JNL/Lazard Small Cap Value Fund 51 660
JNL/Oppenheimer Global Growth Fund 91 918
JNL/Putnam Midcap Growth Fund 95 646
JNL/T. Rowe Price Mid-Cap Growth Fund 22 555
11,468
Income - 7.9%
JNL/PIMCO Total Return Bond Fund 33 385
JNL/Salomon Brothers Global Bond Fund 9 108
JNL/Salomon Brothers High Yield Bond Fund 62 496
989
Total Investments - 100.0% (cost $12,657) 12,457
Other Assets and Liabilities, Net - 0.0% -4
Total Net Assets - 100% 12,453
JNL/S&P Aggressive Growth Fund I
Mutual Funds - 99.7%
Aggressive Growth - 31.9%
JNL/Alger Growth Fund 341 5,030
JNL/Alliance Capital Growth Fund 471 4,667
JNL/Eagle SmallCap Equity Fund 219 3,685
JNL/Lazard Mid Cap Value Fund 632 8,311
JNL/Lazard Small Cap Value Fund 804 10,488
JNL/Oppenheimer Global Growth Fund 1,044 10,566
JNL/Oppenheimer Growth Fund 516 4,272
JNL/T. Rowe Price Mid-Cap Growth Fund 216 5,364
52,383
Growth - 26.2%
JNL/AIM Premier Equity II Fund 162 1,574
JNL/Eagle Core Equity Fund 1,476 20,920
JNL/T. Rowe Price Established Growth Fund 1,211 20,312
42,806
Growth & Income - 26.7%
JNL/Janus Balanced Fund 312 2,893
JNL/PPM America Value Fund 361 5,304
JNL/Putnam Value Equity Fund 614 9,876
JNL/T. Rowe Price Value Fund 2,162 25,753
43,826
Income - 14.9%
JNL/PIMCO Total Return Bond Fund 688 8,092
JNL/PPM America High Yield Bond Fund 1,402 12,199
JNL/Salomon Brothers Global Bond Fund 256 2,923
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 113 1,294
24,508
Total Investments - 99.7% (cost $152,951) 163,523
Other Assets and Liabilities, Net - 0.3% 493
Total Net Assets - 100% 164,016
JNL/S&P Aggressive Growth Fund II
Mutual Funds - 105.2%
Aggressive Growth - 68.9%
JNL/Alliance Capital Growth Fund 112 1,107
JNL/Janus Aggressive Growth Fund 20 355
JNL/Lazard Mid Cap Value Fund 16 213
JNL/Lazard Small Cap Value Fund 27 357
JNL/Oppenheimer Global Growth Fund 26 266
JNL/Oppenheimer Growth Fund 29 243
JNL/T. Rowe Price Mid-Cap Growth Fund 6 142
2,683
Growth - 2.1%
JNL/AIM Premier Equity II Fund 8 80
Growth & Income - 19.6%
JNL/Putnam Value Equity Fund 47 763
Income - 14.6%
JNL/PIMCO Total Return Bond Fund 17 199
JNL/Salomon Brothers Global Bond Fund 6 74
JNL/Salomon Brothers High Yield Bond Fund 37 297
570
Total Investments - 105.2% (cost $3,894) 4,096
Other Assets and Liabilities, Net - (5.2%) -204
Total Net Assets - 100% 3,892
JNL/S&P Conservative Growth Fund
Mutual Funds - 100.0%
Aggressive Growth - 52.7%
JNL/Alliance Capital Growth Fund 258 2,564
JNL/Curian Enhanced S&P 500 Stock Index Fund 445 3,533
JNL/Janus Aggressive Growth Fund 81 1,434
JNL/Oppenheimer Global Growth Fund 72 730
8,261
Greater Opportunity for Stability - 12.0%
JNL/PPM America Money Market Fund 1,889 1,889
Growth & Income - 9.9%
JNL/Janus Growth & Income Fund 47 330
JNL/Salomon Brothers Balanced Fund 111 1,220
1,550
Income - 25.4%
JNL/PIMCO Total Return Bond Fund 172 2,018
JNL/Salomon Brothers Global Bond Fund 52 598
JNL/Salomon Brothers High Yield Bond Fund 170 1,367
3,983
Total Investments - 100.0% (cost $15,087) 15,683
Other Assets and Liabilities, Net - 0.0% -4
Total Net Assets - 100% 15,679
JNL/S&P Conservative Growth Fund I
Mutual Funds - 99.9%
Aggressive Growth - 5.5%
JNL/Alger Growth Fund 299 4,417
JNL/Alliance Capital Growth Fund 414 4,109
JNL/Curian Enhanced S&P 500 Index Fund 1,674 13,274
21,800
Greater Opportunity for Stability - 9.3%
JNL/PPM America Money Market Fund 37,510 37,510
Growth - 29.3%
JNL/AIM Premier Equity II Fund 429 4,158
JNL/Curian S&P 500 Stock Index Fund 2,225 21,892
JNL/Eagle Core Equity Fund 2,992 42,394
JNL/Mellon Capital Management International Index Fund 1,221 13,975
JNL/T. Rowe Price Established Growth Fund 2,121 35,567
117,986
Growth & Income - 22.0%
JNL/Janus Balanced Fund 413 3,830
JNL/PPM America Balanced Fund 270 4,195
JNL/Putnam Value Equity Fund 1,076 17,319
JNL/T. Rowe Price Value Fund 5,315 63,296
88,640
Income - 33.8%
JNL/Mellon Capital Management Bond Index Fund 1,336 14,000
JNL/PIMCO Total Return Bond Fund 3,035 35,688
JNL/PPM America High Yield Bond Fund 2,769 24,087
JNL/Salomon Brothers Global Bond Fund 3,041 34,665
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 2,395 27,476
135,916
Total Investments - 99.9% (cost $381,207) 401,852
Other Assets and Liabilities, Net - 0.1% 470
Total Net Assets - 100% 402,322
JNL/S&P Conservative Growth Fund II
Mutual Funds - 100.1%
Aggressive Growth - 36.8%
JNL/Alliance Capital Growth Fund 270 2,679
JNL/Janus Aggressive Growth Fund 45 790
JNL/Lazard Mid Cap Value Fund 35 457
JNL/Oppenheimer Global Growth Fund 48 483
JNL/Oppenheimer Growth Fund 91 754
5,163
Growth - 2.0%
JNL/AIM Premier Equity II Fund 29 285
Growth & Income - 26.9%
JNL/Putnam Value Equity Fund 150 2,421
JNL/Salomon Brothers Balanced Fund 123 1,345
3,766
Income - 34.4%
JNL/PIMCO Total Return Bond Fund 121 1,425
JNL/Salomon Brothers Global Bond Fund 139 1,583
JNL/Salomon Brothers High Yield Bond Fund 225 1,808
4,816
Total Investments - 100.1% (cost $13,100) 14,030
Other Assets and Liabilities, Net - (0.1%) -11
Total Net Assets - 100% 14,019
JNL/S&P Core Index 100 Fund
Mutual Funds - 99.7%
Aggressive Growth - 40.5%
JNL/Curian Enhanced S&P 500 Stock Index Fund 1,298 10,293
JNL/Curian S&P 400 MidCap Index Fund 171 1,962
JNL/Curian Small Cap Index Fund 218 2,498
14,753
Greater Opportunity for Stability - 8.4%
JNL/PPM America Money Market Fund 3,057 3,058
Growth - 33.6%
JNL/Curian S&P 500 Index Fund 1,036 10,196
JNL/Mellon Capital Management International Index Fund 177 2,025
12,221
Income - 17.2%
JNL/Mellon Capital Management Bond Index Fund 598 6,263
Total Investments - 99.7% (cost $32,039) 36,295
Other Assets and Liabilities, Net - 0.3% 126
Total Net Assets - 100% 36,421
JNL/S&P Core Index 50 Fund
Mutual Funds - 100.1%
Aggressive Growth - 40.3%
JNL/Alger Growth Fund 21 304
JNL/Alliance Capital Growth Fund 44 432
JNL/Curian Enhanced S&P 500 Stock Index Fund 10 76
JNL/Curian S&P 400 MidCap Index Fund 41 465
JNL/Curian Small Cap Index Fund 28 324
JNL/Eagle SmallCap Equity Fund 10 160
JNL/Janus Aggressive Growth Fund 9 153
JNL/Lazard Mid Cap Value Fund 12 151
JNL/Lazard Small Cap Value Fund 18 237
JNL/Oppenheimer Global Growth Fund 40 402
JNL/Oppenheimer Growth Fund 17 137
JNL/T. Rowe Price Mid-Cap Growth Fund 9 236
3,077
Growth - 53.7%
JNL/AIM Premier Equity II Fund 8 73
JNL/Curian S&P 500 Index Fund 261 2,566
JNL/Eagle Core Equity Fund 31 444
JNL/Mellon Capital Management International Index Fund 35 401
JNL/T. Rowe Price Established Growth Fund 36 609
4,093
Growth & Income - 6.1%
JNL/Putnam Value Equity Fund 5 75
JNL/T. Rowe Price Value Fund 33 389
464
Total Mutual Funds (cost $6,651) 7,634
Total Investments - 100.1% (cost $6,651) 7,634
Other Assets and Liabilities, Net - (0.1%) -5
Total Net Assets - 100% 7,629
JNL/S&P Core Index 75 Fund
Mutual Funds - 100.0%
Aggressive Growth - 42.5%
JNL/Alger Growth Fund 14 205
JNL/Alliance Capital Growth Fund 29 288
JNL/Curian Enhanced S&P 500 Stock Index Fund 219 1,739
JNL/Curian S&P 400 MidCap Index Fund 37 419
JNL/Curian Small Cap Index Fund 39 445
JNL/Eagle SmallCap Equity Fund 13 222
JNL/Janus Aggressive Growth Fund 6 104
JNL/Lazard Mid Cap Value Fund 8 102
JNL/Lazard Small Cap Value Fund 16 214
JNL/Oppenheimer Global Growth Fund 21 216
JNL/Oppenheimer Growth Fund 11 90
JNL/T. Rowe Price Mid-Cap Growth Fund 9 216
4,260
Growth - 41.8%
JNL/AIM Premier Equity II Fund 10 97
JNL/Curian S&P 500 Index Fund 309 3,042
JNL/Eagle Core Equity Fund 14 198
JNL/Mellon Capital Management International Index Fund 47 540
JNL/T. Rowe Price Established Growth Fund 18 308
4,185
Growth & Income - 3.1%
JNL/Putnam Value Equity Fund 6 101
JNL/T. Rowe Price Value Fund 18 209
310
Income - 12.6%
JNL/Mellon Capital Management Bond Index Fund 121 1,263
Total Investments - 100.0% (cost $8,706) 10,018
Other Assets and Liabilities, Net - 0.0% -1
Total Net Assets - 100% 10,017
JNL/S&P Equity Aggressive Growth Fund I
Mutual Funds - 99.3%
Aggressive Growth - 43.6%
JNL/Alger Growth Fund 173 2,554
JNL/Alliance Capital Growth Fund 477 4,730
JNL/Eagle SmallCap Equity Fund 101 1,691
JNL/Lazard Mid Cap Value Fund 307 4,044
JNL/Lazard Small Cap Value Fund 285 3,723
JNL/Oppenheimer Global Growth Fund 212 2,142
JNL/Oppenheimer Growth Fund 156 1,292
JNL/T. Rowe Price Mid-Cap Growth Fund 88 2,185
22,361
Growth - 29.3%
JNL/Eagle Core Equity Fund 380 5,381
JNL/Janus Global Equities Fund 110 1,919
JNL/T. Rowe Price Established Growth Fund 462 7,742
15,042
Growth & Income - 26.4%
JNL/PPM America Value Fund 220 3,235
JNL/Putnam Value Equity Fund 156 2,504
JNL/T. Rowe Price Value Fund 658 7,839
13,578
Total Investments - 99.3% (cost $47,090) 50,981
Other Assets and Liabilities, Net - 0.7% 363
Total Net Assets - 100% 51,344
JNL/S&P Equity Aggressive Growth Fund II
Mutual Funds - 97.2%
Aggressive Growth - 71.7%
JNL/Alliance Capital Growth Fund 42 417
JNL/Janus Aggressive Growth Fund 11 194
JNL/Lazard Mid Cap Value Fund 9 124
JNL/Lazard Small Cap Value Fund 12 162
JNL/Oppenheimer Global Growth Fund 6 65
JNL/Oppenheimer Growth Fund 11 88
JNL/T. Rowe Price Mid-Cap Growth Fund 3 68
1,118
Growth - 3.7%
JNL/Janus Global Equities Fund 3 57
Growth & Income - 21.8%
JNL/Putnam Value Equity Fund 21 340
Total Investments - 97.2% (cost $1,508) 1,515
Other Assets and Liabilities, Net - 2.8% 45
Total Net Assets - 100% 1,560
JNL/S&P Equity Growth Fund I
Mutual Funds - 99.9%
Aggressive Growth - 37.6%
JNL/Alger Growth Fund 595 8,783
JNL/Alliance Capital Growth Fund 1,649 16,354
JNL/Eagle SmallCap Equity Fund 229 3,847
JNL/Lazard Mid Cap Value Fund 795 10,460
JNL/Lazard Small Cap Value Fund 840 10,960
JNL/Oppenheimer Global Growth Fund 545 5,514
JNL/Oppenheimer Growth Fund 542 4,488
JNL/T. Rowe Price Mid-Cap Growth Fund 226 5,617
66,023
Growth - 28.6%
JNL/Eagle Core Equity Fund 1,313 18,612
JNL/Janus Global Equities Fund 286 4,982
JNL/T. Rowe Price Established Growth Fund 1,591 26,683
50,277
Growth & Income - 33.7%
JNL/PPM America Value Fund 757 11,122
JNL/Putnam Value Equity Fund 861 13,847
JNL/T. Rowe Price Value Fund 2,874 34,228
59,197
Total Investments - 99.9% (cost $163,898) 175,497
Other Assets and Liabilities, Net - 0.1% 121
Total Net Assets - 100% 175,618
JNL/S&P Equity Growth Fund II
Mutual Funds - 99.9%
Aggressive Growth - 63.7%
JNL/Alliance Capital Growth Fund 173 1,713
JNL/Janus Aggressive Growth Fund 31 546
JNL/Lazard Mid Cap Value Fund 20 264
JNL/Lazard Small Cap Value Fund 48 625
JNL/Oppenheimer Global Growth Fund 21 208
JNL/Oppenheimer Growth Fund 46 383
JNL/T. Rowe Price Mid-Cap Growth Fund 15 362
4,101
Growth - 6.7%
JNL/AIM Premier Equity II Fund 25 247
JNL/Janus Global Equities Fund 11 185
432
Growth & Income - 29.5%
JNL/Putnam Value Equity Fund 118 1,901
Total Investments - 99.9% (cost $6,151) 6,433
Other Assets and Liabilities, Net - 0.1% 6
Total Net Assets - 100% 6,439
JNL/S&P Moderate Growth Fund
Mutual Funds - 100.0%
Aggressive Growth - 70.0%
JNL/Alliance Capital Growth Fund 502 4,984
JNL/Curian Enhanced S&P 500 Stock Index Fund 810 6,420
JNL/Janus Aggressive Growth Fund 176 3,102
JNL/Lazard Mid Cap Value Fund 68 897
JNL/Lazard Small Cap Value Fund 97 1,261
JNL/Oppenheimer Global Growth Fund 187 1,889
JNL/Putnam Midcap Growth Fund 90 617
JNL/T. Rowe Price Mid-Cap Growth Fund 40 989
20,159
Growth & Income - 10.4%
JNL/Janus Growth & Income Fund 162 1,142
JNL/Salomon Brothers Balanced Fund 168 1,846
2,988
Income - 19.6%
JNL/PIMCO Total Return Bond Fund 238 2,796
JNL/Salomon Brothers Global Bond Fund 68 778
JNL/Salomon Brothers High Yield Bond Fund 258 2,075
5,649
Total Investments - 100.0% (cost $27,261) 28,796
Other Assets and Liabilities, Net - 0.0% 4
Total Net Assets - 100% 28,800
JNL/S&P Moderate Growth Fund I
Mutual Funds - 99.9%
Aggressive Growth - 17.2%
JNL/Alger Growth Fund 876 12,935
JNL/Alliance Capital Growth Fund 1,216 12,062
JNL/Eagle SmallCap Equity Fund 419 7,050
JNL/Lazard Mid Cap Value Fund 1,951 25,673
JNL/Lazard Small Cap Value Fund 1,548 20,206
JNL/Oppenheimer Global Growth Fund 1,345 13,607
JNL/T. Rowe Price Mid-Cap Growth Fund 551 13,709
105,242
Greater Opportunity for Stability - 5.0%
JNL/PPM America Money Market Fund 30,304 30,305
Growth - 27.3%
JNL/AIM Premier Equity II Fund 630 6,104
JNL/Curian S&P 500 Index Fund 1,305 12,842
JNL/Eagle Core Equity Fund 4,831 68,458
JNL/Mellon Capital Management International Index Fund 1,785 20,440
JNL/T. Rowe Price Established Growth Fund 3,498 58,659
166,503
Growth & Income - 26.4%
JNL/Janus Balanced Fund 1,827 16,933
JNL/PPM America Balanced Fund 793 12,328
JNL/PPM America Value Fund 462 6,797
JNL/Putnam Value Equity Fund 1,579 25,409
JNL/T. Rowe Price Value Fund 8,335 99,268
160,735
Income - 24.0%
JNL/Mellon Capital Management Bond Index Fund 1,483 15,542
JNL/PIMCO Total Return Bond Fund 3,591 42,234
JNL/PPM America High Yield Bond Fund 2,719 23,655
JNL/Salomon Brothers Global Bond Fund 3,489 39,769
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 2,217 25,433
146,633
Total Investments - 99.9% (cost $571,181) 609,418
Other Assets and Liabilities, Net - 0.1% 469
Total Net Assets - 100% 609,887
JNL/S&P Moderate Growth Fund II
Mutual Funds - 100.1%
Aggressive Growth - 47.4%
JNL/Alliance Capital Growth Fund 366 3,627
JNL/Janus Aggressive Growth Fund 72 1,278
JNL/Lazard Mid Cap Value Fund 47 617
JNL/Lazard Small Cap Value Fund 66 866
JNL/Oppenheimer Global Growth Fund 107 1,083
JNL/Oppenheimer Growth Fund 124 1,024
JNL/T. Rowe Price Mid-Cap Growth Fund 27 677
9,172
Growth - 2.0%
JNL/AIM Premier Equity II Fund 40 385
Growth & Income - 26.3%
JNL/Putnam Value Equity Fund 203 3,267
JNL/Salomon Brothers Balanced Fund 166 1,820
5,087
Income - 24.4%
JNL/PIMCO Total Return Bond Fund 124 1,453
JNL/Salomon Brothers Global Bond Fund 125 1,429
JNL/Salomon Brothers High Yield Bond Fund 228 1,828
4,710
Total Investments - 100.1% (cost $18,094) 19,354
Other Assets and Liabilities, Net - (0.1%) -22
Total Net Assets - 100% 19,332
JNL/S&P Very Aggressive Growth Fund I
Mutual Funds - 100.0%
Aggressive Growth - 47.8%
JNL/Alger Growth Fund 203 2,994
JNL/Alliance Capital Growth Fund 558 5,534
JNL/Eagle SmallCap Equity Fund 119 1,995
JNL/Lazard Mid Cap Value Fund 361 4,745
JNL/Lazard Small Cap Value Fund 334 4,362
JNL/Oppenheimer Global Growth Fund 309 3,126
JNL/Oppenheimer Growth Fund 181 1,499
JNL/T. Rowe Price Mid-Cap Growth Fund 181 4,514
28,769
Growth - 25.6%
JNL/Eagle Core Equity Fund 162 2,296
JNL/Janus Global Equities Fund 160 2,795
JNL/T. Rowe Price Established Growth Fund 617 10,343
15,434
Growth & Income - 26.6%
JNL/PPM America Value Fund 259 3,811
JNL/Putnam Value Equity Fund 183 2,947
JNL/T. Rowe Price Value Fund 774 9,214
15,972
Total Investments - 100.0% (cost $56,005) 60,176
Other Assets and Liabilities, Net - 0.0% 17
Total Net Assets - 100% 60,193
JNL/S&P Very Aggressive Growth Fund II
Mutual Funds - 100.2%
Aggressive Growth - 79.1%
JNL/Alliance Capital Growth Fund 59 582
JNL/Janus Aggressive Growth Fund 14 248
JNL/Lazard Mid Cap Value Fund 13 174
JNL/Lazard Small Cap Value Fund 18 229
JNL/Oppenheimer Global Growth Fund 11 115
JNL/Oppenheimer Growth Fund 19 160
JNL/T. Rowe Price Mid-Cap Growth Fund 7 168
1,676
Growth - 4.8%
JNL/Janus Global Equities Fund 6 101
Growth & Income - 16.3%
JNL/Putnam Value Equity Fund 21 345
Total Investments - 100.2% (cost $2,261) 2,122
Other Assets and Liabilities, Net - (0.2%) -3
Total Net Assets - 100% 2,119
JNL/Salomon Brothers Balanced Fund
Common Stocks - 61.7%
Agriculture - 0.1%
Monsanto Co. - 10
Auto Manufacturers - 0.1%
DaimlerChrysler AG 1 32
Banks - 6.2%
Bank of America Corp. 1 113
Bank of New York Co. Inc. (f) 13 431
FleetBoston Financial Corp. 5 209
Mercantile Bankshares Corp. 1 50
SunTrust Banks Inc. 1 79
Wachovia Corp. 6 275
1,157
Beverages - 3.3%
Anheuser-Busch Cos. Inc. 3 147
Coca-Cola Co. 4 198
Coca-Cola Enterprises Inc. 5 101
PepsiCo Inc. 4 163
609
Computers - 4.1%
Hewlett-Packard Co. 7 163
International Business Machines Corp. 5 436
Sun Microsystems Inc. (b) 36 163
762
Cosmetics & Personal Care - 3.0%
Colgate-Palmolive Co. 1 55
Gillette Co. 6 216
Kimberly-Clark Corp. 1 71
Procter & Gamble Co. 2 210
552
Diversified Financial Services - 5.7%
American Express Co. 4 202
JPMorgan Chase & Co. (f) 16 588
Merrill Lynch & Co. Inc. 5 276
1,066
Electric - 0.2%
American Electric Power Co. Inc. 1 40
Food - 3.4%
H.J. Heinz Co. 2 73
Kroger Co. (b) 10 176
Safeway Inc. (b) 15 322
Sara Lee Corp. 3 61
632
Healthcare - 1.5%
Bausch & Lomb Inc. 1 41
Johnson & Johnson 5 243
284
Insurance - 6.3%
Allstate Corp. 4 185
American International Group Inc. (f) 7 485
Berkshire Hathaway Inc. - Class B (b) (f) - 341
Chubb Corp. 1 75
Cigna Corp. 1 52
Horace Mann Educators Corp. 2 33
1,171
Manufacturing - 1.8%
Eastman Kodak Co. 1 33
General Electric Co. 10 304
337
Media - 2.5%
Comcast Corp. - Class A (b) 4 129
Hughes Electronics Corp. (b) 6 94
Liberty Media Corp. (b) 4 52
Time Warner Inc. (b) 11 194
469
Mining - 2.7%
Alcoa Inc. 13 502
Oil & Gas Producers - 2.7%
Amerada Hess Corp. 1 43
BP Plc - ADR 1 49
Diamond Offshore Drilling Inc. 6 113
Exxon Mobil Corp. 2 74
Royal Dutch Petroleum Co. - NYS 1 47
Transocean Inc. (b) 7 170
496
Oil & Gas Services - 0.4%
Schlumberger Ltd. 1 77
Pharmaceuticals - 6.6%
Abbott Laboratories 7 303
Bristol-Myers Squibb Co. 1 37
Merck & Co. Inc. 2 106
Novartis AG - ADR 7 298
Pfizer Inc. (f) 12 412
Wyeth 2 77
1,233
Retail - 4.5%
Costco Wholesale Corp. (b) 6 205
Federated Department Stores Inc. 4 184
Home Depot Inc. 7 245
McDonald's Corp. 5 124
Wal-Mart Stores Inc. 2 90
848
Semiconductors - 0.2%
Intel Corp. 1 32
Software - 1.5%
Microsoft Corp. 10 278
Telecommunications - 2.1%
AT&T Corp. 2 48
SBC Communications Inc. 3 78
Verizon Communications Inc. 7 261
387
Telecommunications Equipment - 0.8%
Lucent Technologies Inc. (b) 53 151
Transportation - 0.6%
Canadian National Railway Co. 1 89
United Parcel Service Inc. - 22
111
Wireless Telecommunications - 1.4%
AT&T Wireless Services Inc. (b) 13 101
Motorola Inc. 11 156
257
Total Common Stocks (cost $11,497) 11,493
Corporate Bonds - 13.0%
Asset Backed Securities - 2.3%
Atlantic City Electric Transition Funding LLC,
5.55%, 10/20/23 100 102
Capital One Master Trust, 4.60%, 08/17/09 100 105
Household Automotive Trust, 1.73%, 12/17/07 (f) 75 74
Prime Credit Card Master Trust, 6.70%, 10/15/09 (f) 125 134
415
Auto Parts & Equipment - 0.4%
Johnson Controls Inc., 5.00%, 11/15/06 50 53
Lear Corp., 8.11%, 05/15/09 25 29
82
Banks - 0.5%
Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 75 91
Building Materials - 0.1%
Masco Corp., 6.50%, 08/15/32 25 26
Chemicals - 0.1%
Potash Corp., 4.875%, 03/01/13 25 24
Diversified Financial Services - 3.3%
Capital Bank One, 5.75%, 09/15/10 25 26
CIT Group Inc., 7.75%, 04/02/12 25 30
Countrywide Home Loans Inc., 5.625%, 05/15/07 50 54
Ford Motor Credit Co., 7.875%, 06/15/10 (f) 60 67
General Electric Capital Corp., 5.00%, 06/15/07 50 54
General Motors Acceptance Corp., 6.875%, 09/15/11 (f) 65 70
Household Finance Corp., 8.00%, 07/15/10 (f) 50 60
International Lease Finance Corp., 6.375%, 03/15/09 50 55
Lehman Brothers Holdings Inc., 7.00%, 02/01/08 50 56
Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 50 56
SLM Corp., 1.34%, 09/15/06 (g) 25 25
Washington Mutual Financial Corp., 6.875%, 05/15/11 50 57
610
Electric - 0.3%
Appalachian Power Co., 5.95%, 05/15/33 25 24
Dominion Resources Inc., 6.25%, 06/30/12 25 27
51
Food - 0.5%
Kellogg Co., 6.60%, 04/01/11 30 34
Safeway Inc., 7.25%, 02/01/31 50 55
89
Forest Products & Paper - 0.1%
Domtar Inc., 5.375%, 12/01/13 25 25
Healthcare - 0.1%
WellPoint Health Networks, 6.375%, 06/15/06 25 27
Insurance - 0.2%
Unitrin Inc., 4.875%, 11/01/10 35 35
Investment Companies - 0.3%
Credit Suisse First Boston USA Inc., 4.625%, 01/15/08 50 52
Manufacturing - 0.2%
Honeywell International Inc., 6.875%, 10/03/05 35 38
Media - 1.0%
AOL Time Warner Inc., 7.625%, 04/15/31 50 58
AT&T Broadband Corp., 8.375%, 03/15/13 25 30
COX Communications Inc., 7.75%, 11/01/10 (f) 50 60
Viacom Inc., 6.625%, 05/15/11 40 45
193
Mining - 0.3%
Noranda Inc., 7.25%, 07/15/12 25 28
WMC Finance USA, 5.125%, 05/15/13 25 25
53
Oil & Gas Producers - 1.1%
Burlington Resources Finance Co., 6.50%, 12/01/11 35 39
Conoco Inc., 6.95%, 04/15/29 (f) 75 85
Devon Financing Corp. ULC, 6.875%, 09/30/11 50 57
Valero Energy Corp., 7.50%, 04/15/32 25 28
209
Pharmaceuticals - 0.2%
Wyeth, 5.25%, 03/15/13 35 36
Real Estate - 0.3%
Boston Properties Inc., 6.25%, 01/15/13 25 27
EOP Operating LP, 6.75%, 02/15/08 25 28
55
Savings & Loans - 0.3%
Greenpoint Financial Corp., 3.20%, 06/06/08 25 24
Independence Community Bank, 3.50%, 06/20/13 25 24
48
Telecommunications - 0.9%
Deutsche Telekom International Finance, 5.25%, 07/22/13 30 30
Sprint Captial Corp., 8.375%, 03/15/12 75 88
Verizon Pennsylvania Inc., 5.65%, 11/15/11 50 52
170
Tobacco - 0.1%
Universal Corp., 5.20%, 10/15/13 25 25
Water - 0.1%
United Utilities Plc, 4.55%, 06/19/18 25 22
Wireless Telecommunications - 0.3%
AT&T Wireless Services Inc., 8.75%, 03/01/31 50 62
Total Corporate Bonds (cost $2,346) 2,438
Preferred Stocks - 2.4%
Media - 2.4%
News Corp. Ltd. - ADR (f) 15 455
Total Preferred Stocks (cost $399) 455
Government Securities - 21.5%
Sovereign - 0.3%
Province of Ontario, 3.282%, 03/28/08 $ 50
U.S. Government Agencies - 14.5%
Federal Home Loan Mortgage Corp., 5.00%, TBA (c) 100 99
Federal National Mortgage Association
5.50%, TBA (c) 140 142
6.00%, TBA (c) 670 692
6.50%, TBA (c) 650 678
7.00%, TBA (c) 240 253
5.50%, 02/15/06 200 214
6.25%, 02/01/11 200 221
7.00%, 07/01/15 6 7
6.50%, 07/01/28 47 49
7.00%, 02/01/29 12 13
8.00%, 08/01/30 20 21
7.50%, 02/01/31 10 11
Government National Mortgage Association, 5.50%, TBA (c) 300 305
2,705
U.S. Treasury Securities - 6.7%
U.S. Treasury Bond, 6.125%, 08/15/29 175 198
U.S. Treasury Note
5.875%, 11/15/04 350 364
6.875%, 05/15/06 400 445
2.625%, 05/15/08 55 54
5.75%, 08/15/10 150 168
4.375%, 08/15/12 20 21
1,250
Total Government Securities (cost $3,929) 4,005
Municipals - 0.3%
Region of Lombardy, 5.804%, 10/25/32 50 51
Total Municipals (cost $50) 51
Short Term Investments - 12.3%
Money Market Funds - 10.0%
Dreyfus Cash Management Plus, 0.898% (a) 928 928
Dreyfus Government Cash Management, 0.893% (a) 928 928
1,856
Repurchase Agreement - 2.3%
Repurchase Agreement with Mellon Trust, 0.40%,
(Collateralized by $495 Federal Home Loan Mortgage
Corporation, 3.50%, due 06/15/23, market value $471)
acquired on 12/31/03, due 01/02/04 at $437 437 437
Total Short Term Investments (cost $2,293) 2,293
Total Investments - 111.2% (cost $20,514) 20,735
Other Assets and Liabilities, Net - (11.2%) -2,095
Total Net Assets - 100% 18,640
JNL/Salomon Brothers Global Bond Fund
Common Stocks - 0.6%
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 -
Food - 0.0%
VFB LLC. (b) 79 9
Household Products - 0.0%
ContinentalAFA Dispensing Co. (b) (e) 9 35
Media - 0.2%
UnitedGlobalCom Inc. (b) 45 379
Telecommunications - 0.3%
NTL Inc. (b) (f) 8 586
Wireless Telecommunications - 0.1%
Spectrasite Inc. (b) 6 207
Total Common Stocks (cost $1,050) 1,216
Corporate Bonds - 37.2%
Advertising - 0.3%
Advanstar Communications Inc.,
10.75%, 08/15/10 (e) 175 189
Interep National Radio Sales Inc., 10.00%, 07/01/08 100 89
RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 175 208
SITEL Corp., 9.25%, 03/15/06 150 147
Vertis Inc., 9.75%, 04/01/09 200 217
850
Aerospace & Defense - 0.2%
Alliant Techsystems Inc., 8.50%, 05/15/11 125 137
L-3 Communications Corp., 7.625%, 06/15/12 200 217
Sequa Corp., 9.00%, 08/01/09 200 221
575
Agriculture - 0.1%
Hines Nurseries Inc., 10.25%, 10/01/11 (e) 200 218
Airlines - 0.1%
Continental Airlines Inc.
7.25%, 11/01/05 100 95
6.541%, 09/15/08 170 160
255
Apparel - 0.2%
Levi Strauss & Co.
11.625%, 01/15/08 70 46
12.25%, 12/15/12 305 198
Tropical Sportswear International Corp., 11.00%, 06/15/08 100 81
325
Asset Backed Securities - 4.1%
Amortizing Residential Collateral Trust,
2.62%, 08/25/32 (f) (g) 750 745
Asset Backed Securities Corp. Home Equity Loan,
3.21%, 04/15/33 (f) (g) 500 504
Bayview Financial Acquisition Trust,
2.67%, 08/25/36 (e) (f) (g) 1,000 979
Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 467
Commercial Mortgage Pass-thru, 2.17%, 11/15/15 (e) (f) (g)480 480
CS First Boston Mortgage Securities Corp.,
2.26%, 09/25/31 (f) (g) 500 500
First Consumers Master Trust
5.80%, 12/15/05 (e) 91 88
1.49%, 09/15/08 (g) 326 310
Green Tree Financial Corp., 7.07%, 01/15/29 (f) 1,078 1,122
Merit Securities Corp., 2.88%, 09/28/32 (e) (f) (g) 600 532
Metris Master Trust
2.00%, 07/21/08 (g) 175 172
2.5487%, 08/20/08 (g) 200 196
2.18%, 11/20/09 (f) (g) 700 629
Mid-State Trust, 7.34%, 07/01/35 (f) 495 524
Residential Asset Securities Corp., 2.135%, 04/25/32 (f) (500 500
Sail Net 2003-13a, 6.75%, 11/27/33 (e) 194 193
Sail Net Interest Margin Notes, 7.75%, 04/27/33 (e) 124 124
8,065
Auto Parts & Equipment - 0.6%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 -
CSK Auto Inc., 12.00%, 06/15/06 275 316
Eagle-Picher Industries Inc., 9.75%, 09/01/13 (e) 200 216
Rexnord Corp., 10.125%, 12/15/12 175 191
Tenneco Automotive Inc.
11.625%, 10/15/09 125 135
10.25%, 07/15/13 100 114
TRW Automotive Inc., 9.375%, 02/15/13 200 228
1,200
Banks - 1.3%
Bank of America Corp., 4.875%, 09/15/12 525 528
Capital One Financial Corp., 7.25%, 05/01/06 (f) 800 866
Corp Andina De Fomento CAF, 6.875%, 03/15/12 (f) 550 610
Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 525 634
2,638
Beverages - 0.1%
Constellation Brands Inc., 8.125%, 01/15/12 175 192
Chemicals - 2.1%
Acetex Corp., 10.875%, 08/01/09 250 277
Airgas Inc., 7.75%, 09/15/06 250 262
Applied Extrusion Technologies Inc., 10.75%, 07/01/11 100 83
Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 140 1
Equistar Chemicals LP/Equistar Funding Corp.,
10.625%, 05/01/11 200 221
FMC Corp.
7.00%, 05/15/08 150 153
10.25%, 11/01/09 150 176
Huntsman ICI Chemicals, 10.125%, 07/01/09 250 258
Huntsman International LLC, 9.875%, 03/01/09 100 110
ISP Chemco Inc., 10.25%, 07/01/11 250 281
Lyondell Chemical Co., 11.125%, 07/15/12 225 250
Methanex Corp., 8.75%, 08/15/12 175 195
Millennium America Inc., 9.25%, 06/15/08 125 136
Noveon Inc., 11.00%, 02/28/11 225 261
Potash Corp., 4.875%, 03/01/13 425 415
Resolution Performance Products Inc., 13.50%, 11/15/10 100 87
Resolution Performance Products LLC, 9.50%, 04/15/10 100 102
Rhodia SA, 7.625%, 06/01/10 (e) 225 216
United Industries Corp., 9.875%, 04/01/09 375 393
Westlake Chemical Corp., 8.75%, 07/15/11 (e) 200 219
4,096
Commercial Services - 0.4%
Brand Services Inc., 12.00%, 10/15/12 100 116
Iron Mountain Inc., 6.625%, 01/01/16 300 292
Mail-Well I Corp., 9.625%, 03/15/12 75 83
Mail-Well Inc., 8.75%, 12/15/08 125 125
Pierce Leahy Command Co., 8.125%, 05/15/08 110 114
730
Computers - 0.2%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 125 135
Unisys Corp.
8.125%, 06/01/06 125 135
7.875%, 04/01/08 100 104
374
Cosmetics & Personal Care - 0.1%
American Safety Razor Co., 9.875%, 08/01/05 125 125
Diversified Financial Services - 3.3%
Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 247 5
Alamosa Delaware Inc., 11.00%, 07/31/10 211 229
Athena Neurosciences Finance LLC, 7.25%, 02/21/08 250 224
CIT Group Inc., 7.75%, 04/02/12 550 650
Contifinancial Corp. Liquidating Trust, 06/15/00 230 2
Ford Motor Credit Co.
7.875%, 06/15/10 375 419
7.25%, 10/25/11 75 81
General Electric Capital Corp., 3.50%, 05/01/08 700 701
General Motors Acceptance Corp., 6.875%, 09/15/11 425 458
Hollinger Participation Trust, 12.125%, 11/15/10 (e) 200 238
Household Finance Corp., 8.00%, 07/15/10 (f) 575 689
Huntsman ADV Materials, 11.00%, 07/15/10 (e) 200 221
International Lease Finance Corp., 6.375%, 03/15/09 325 358
Lehman Brothers Holdings Inc., 3.50%, 08/07/08 725 720
Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 (f) 525 586
Washington Mutual Financial Corp., 6.875%, 05/15/11 (f) 750 861
6,442
Electric - 2.4%
AES Corp.
8.375%, 08/15/07 25 25
8.50%, 11/01/07 200 203
9.375%, 09/15/10 125 139
Allegheny Energy Supply Statutory Trust 2001,
10.25%, 11/15/07 (e) 175 182
Avon Energy Partners Holdings
7.05%, 12/11/07 (e) 175 167
6.46%, 03/04/08 (e) 350 333
BRL Universal Equipment, 8.875%, 02/15/08 75 80
Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 475 379
Calpine Corp.
8.75%, 07/15/07 150 123
7.875%, 04/01/08 50 39
8.50%, 07/15/10 (e) 125 122
Duke Energy Corp., 4.20%, 10/01/08 (f) 475 477
Edison Mission Energy Corp., 9.875%, 04/15/11 (f) 500 520
Entergy Gulf States Inc., 6.20%, 07/01/33 (e) (f) 500 475
Mirant Americas Generation Inc., 9.125%, 05/01/31 (i) 250 211
Nisource Finance Corp., 7.625%, 11/15/05 (f) 450 492
NRG Energy Inc., 8.00%, 12/15/13 (e) 200 210
Reliant Resources Inc.
9.25%, 07/15/10 (e) 150 159
9.50%, 07/15/13 (e) 350 375
4,711
Electronics - 0.2%
Muzak Finance Corp., 9.875%, 03/15/09 125 121
Muzak LLC, 10.00%, 02/15/09 75 80
Sanmina-SCI Corp., 4.279%, 09/12/20 (j) 150 76
Wesco Distribution Inc., 9.125%, 06/01/08 200 207
484
Entertainment - 0.4%
Horseshoe Gaming Holding Corp., 8.625%, 05/15/09 375 396
Pinnacle Entertainment Inc., 8.75%, 10/01/13 425 433
829
Environmental Control - 0.3%
Allied Waste Inc., 9.25%, 09/01/12 100 113
Allied Waste North America
8.875%, 04/01/08 100 112
7.875%, 01/01/09 250 261
Imco Recycling Inc., 10.375%, 10/15/10 (e) 100 103
Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 1
590
Food - 1.4%
Ahold Finance USA Inc.
8.25%, 07/15/10 225 245
6.875%, 05/01/29 25 22
Ahold Lease USA Inc., 7.82%, 01/02/20 47 48
Del Monte Corp.
9.25%, 05/15/11 100 111
8.625%, 12/15/12 75 82
Doane Pet Care Co., 9.75%, 05/15/07 225 201
Dole Food Co., Inc., 8.875%, 03/15/11 200 220
Fleming Cos. Inc., 10.125%, 04/01/08 (i) 50 11
Kellogg Co., 6.60%, 04/01/11 (f) 430 482
Kraft Foods Inc., 5.625%, 11/01/11 215 227
Nash Finch Co., 8.50%, 05/01/08 225 225
Nutritional Sourcing Corp., 10.125%, 08/01/09 14 9
Premier International Foods Plc, 12.00%, 09/01/09 150 164
Safeway Inc., 7.25%, 02/01/31 350 384
Swift & Co., 10.125%, 10/01/09 200 212
United Agri Products, 8.25%, 12/15/11 (e) 125 128
2,771
Forest Products & Paper - 0.9%
Appleton Papers Inc., 12.50%, 12/15/08 200 226
Bowater Canada Finance, 7.95%, 11/15/11 150 159
Bowater Inc., 6.50%, 06/15/13 350 340
Buckeye Technologies Inc.
9.25%, 09/15/08 150 152
8.00%, 10/15/10 75 73
Domtar Inc., 5.375%, 12/01/13 (f) 500 495
Norske Skog Canada Ltd., 8.625%, 06/15/11 25 26
Tembec Industries Inc., 8.625%, 06/30/09 300 309
1,780
Healthcare - 1.1%
Ameripath Inc., 10.50%, 04/01/13 225 240
Extendicare Health Services Inc., 9.50%, 07/01/10 200 222
Genesis HealthCare Corp., 8.00%, 10/15/13 (e) 125 130
IASIS Healthcare Corp., 13.00%, 10/15/09 300 338
Insight Health Services Corp., 9.875%, 11/01/11 150 159
Psychiatric Solutions Inc., 10.625%, 06/15/13 150 168
Sybron Dental Specialites Inc., 8.125%, 06/15/12 275 299
Tenet Healthcare Corp.
7.375%, 02/01/13 175 176
6.875%, 11/15/31 75 67
Triad Hospitals Inc., 8.75%, 05/01/09 100 108
Vanguard Health Systems Inc., 9.75%, 08/01/11 200 217
2,124
Holding Companies - Diversified - 0.0%
Nebco Evans Holding Co., 12.375%, 07/15/07 (i) 350 -
Home Furnishings - 0.3%
Applica Inc., 10.00%, 07/31/08 64 64
Fedders North America Inc., 9.375%, 08/15/07 100 100
Holmes Products Corp., 9.875%, 11/15/07 150 155
Sealy Mattress Co.
9.875%, 12/15/07 200 207
10.875%, 12/15/07 125 130
656
Household Products - 0.1%
Playtex Products Inc., 9.375%, 06/01/11 225 227
Leisure Time - 0.1%
Icon Health & Fitness Corp., 11.25%, 04/01/12 100 109
Lodging - 1.8%
Ameristar Casinos Inc., 10.75%, 02/15/09 200 230
Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 83
Coast Hotels & Casinos Inc., 9.50%, 04/01/09 375 397
Courtyard by Marriott, 10.75%, 02/01/08 200 201
Herbst Gaming Inc., 10.75%, 09/01/08 175 197
John Q Hammons Hotels LP, 8.875%, 05/15/12 200 220
MGM Mirage, 9.75%, 06/01/07 275 313
Park Place Entertainment Corp.
8.875%, 09/15/08 25 28
7.875%, 03/15/10 175 194
8.125%, 05/15/11 250 280
Prime Hospitality Corp., 8.375%, 05/01/12 225 232
Starwood Hotels & Resorts Worldwide Inc.,
7.875%, 05/01/12 200 225
Station Casinos Inc.
8.875%, 12/01/08 275 285
9.875%, 07/01/10 25 28
Sun International Hotels Ltd., 8.875%, 08/15/11 175 191
Turning Stone Casino Resort Enterprise,
9.125%, 12/15/10 (e) 175 190
Venetian Casino Resort LLC, 11.00%, 06/15/10 200 232
3,526
Machinery - 0.2%
Case New Holland Inc., 9.25%, 08/01/11 (e) 25 28
Flowserve Corp., 12.25%, 08/15/10 125 145
Terex Corp., 10.375%, 04/01/11 175 196
369
Manufacturing - 0.3%
Blount Inc., 13.00%, 08/01/09 225 243
Pacifica Papers Inc., 10.00%, 03/15/09 200 212
Park-Ohio Industries Inc., 9.25%, 12/01/07 125 124
579
Media - 3.2%
AOL Time Warner Inc., 7.625%, 04/15/31 325 375
AT&T Broadband Corp., 8.375%, 03/15/13 350 428
Charter Communications Holdings LLC
8.25%, 04/01/07 125 117
8.625%, 04/01/09 50 44
10.75%, 10/01/09 50 46
(Step-Up Bond), 11.75%, 01/15/10 (d) 75 61
10.00%, 05/15/11 (f) 600 522
(Step-Up Bond), 11.75%, 05/15/11 (d) 225 151
(Step-Up Bond), 12.125%, 01/15/12 (d) 75 46
COX Communications Inc., 7.75%, 11/01/10 (f) 730 870
CSC Holdings Inc.
9.875%, 02/15/13 75 78
10.50%, 05/15/16 75 86
9.875%, 04/01/23 100 105
Dex Media Finance Co.
8.50%, 08/15/10 (e) 125 139
9.875%, 08/15/13 (e) 75 87
Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) (e) 200 141
DirecTV Holdings LLC, 8.375%, 03/15/13 200 232
EchoStar DBS Corp.
10.375%, 10/01/07 75 82
9.125%, 01/15/09 179 200
Houghton Mifflin Co.,
(Step-Up Bond), 11.50%, 10/15/13 (d) (e) 125 79
Lodgenet Entertainment Corp., 9.50%, 06/15/13 300 328
Mediacom Broadband LLC, 11.00%, 07/15/13 235 264
Mediacom Capital Corp., 9.50%, 01/15/13 25 27
Nexstar Finance Holdings LLC,
(Step-Up Bond), 11.375%, 04/01/13 (d) 325 238
Nextmedia Operating Inc., 10.75%, 07/01/11 200 227
Radio One Inc., 8.875%, 07/01/11 175 193
Viacom Inc., 6.625%, 05/15/11 220 250
Vivendi Universal SA, 9.25%, 04/15/10 (e) 200 237
Yell Finance BV, 10.75%, 08/01/11 275 322
Young Broadcasting Inc., 10.00%, 03/01/11 275 296
6,271
Metal Fabrication & Hardware - 0.1%
Wolverine Tube Inc., 7.375%, 08/01/08 (e) 225 208
Mining - 0.4%
Compass Minerals Group Inc., 10.00%, 08/15/11 125 140
Luscar Coal Ltd., 9.75%, 10/15/11 200 226
WMC Finance USA, 5.125%, 05/15/13 425 419
785
Office Furnishings - 0.1%
Interface Inc., 9.50%, 11/15/05 75 73
Tempur-Pedic Inc., 10.25%, 08/15/10 (e) 200 223
296
Oil & Gas Producers - 1.5%
Devon Financing Corp. ULC, 6.875%, 09/30/11 325 368
Forest Oil Corp., 8.00%, 12/15/11 250 273
Magnum Hunter Resources Inc., 9.60%, 03/15/12 300 340
Nuevo Energy Co., 9.375%, 10/01/10 25 27
Parker Drilling Co., 5.50%, 08/01/04 (j) 125 125
Petronas Capital Ltd., 7.00%, 05/22/12 (e) 100 114
Plains Exploration & Production Co., 8.75%, 07/01/12 200 220
Pride International Inc., 9.375%, 05/01/07 94 97
Stone Energy Corp., 8.25%, 12/15/11 300 327
Swift Energy Co.
10.25%, 08/01/09 150 163
9.375%, 05/01/12 50 55
Valero Energy Corp., 4.75%, 06/15/13 435 412
Vintage Petroleum Inc.
9.75%, 06/30/09 200 211
7.875%, 05/15/11 100 106
Westport Resources Corp., 8.25%, 11/01/11 200 220
3,058
Oil & Gas Services - 0.1%
Hanover Compressor Co., 9.00%, 03/31/07 (k) 175 129
Key Energy Services Inc., 14.00%, 01/15/09 86 92
221
Packaging & Containers - 0.8%
Anchor Glass Container Corp., 11.00%, 02/15/13 175 203
Berry Plastics Corp., 10.75%, 07/15/12 (e) 200 230
Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 100 109
Plastipak Holdings Inc., 10.75%, 09/01/11 310 345
Pliant Corp., 11.125%, 09/01/09 100 108
Radnor Holdings Corp., 11.00%, 03/15/10 225 205
Stone Container Corp., 8.375%, 07/01/12 200 217
Tekni-Plex Inc., 8.75%, 11/15/13 (e) 225 235
1,652
Pharmaceuticals - 0.6%
Aaipharma Inc., 11.00%, 04/01/10 175 199
Vicar Operating Inc., 9.875%, 12/01/09 175 194
Wyeth, 6.70%, 03/15/11 (f) 675 762
1,155
Pipelines - 1.1%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 200 225
7.125%, 05/15/18 100 86
7.625%, 10/15/26 450 389
EL Paso Corp.
7.875%, 06/15/12 100 94
7.80%, 08/01/31 75 64
7.75%, 01/15/32 375 320
Western Gas Resources Inc., 10.00%, 06/15/09 200 215
Williams Cos. Inc.
8.625%, 06/01/10 100 112
7.125%, 09/01/11 50 53
7.625%, 07/15/19 75 78
7.875%, 09/01/21 100 106
8.75%, 03/15/32 325 367
2,109
Real Estate - 1.0%
Boston Properties Inc., 6.25%, 01/15/13 (f) 450 483
EOP Operating LP, 7.50%, 04/19/29 (f) 575 643
Felcor Lodging LP
10.00%, 09/15/08 100 108
9.00%, 06/01/11 125 136
Host Marriott Corp., 7.875%, 08/01/08 300 312
Host Marriott LP, 9.50%, 01/15/07 75 83
MeriStar Hospitality Corp., 9.125%, 01/15/11 50 53
MeriStar Hospitality Operating Partnership LP,
10.50%, 06/15/09 100 109
1,927
Retail - 1.5%
Cole National Group Inc.
8.625%, 08/15/07 100 102
8.875%, 05/15/12 200 214
Eye Care Centers of America, 9.125%, 05/01/08 225 225
Finlay Fine Jewelry Corp., 8.375%, 05/01/08 350 362
Gap Inc., 8.80%, 12/15/08 (g) 140 173
Home Interiors & Gifts Inc., 10.125%, 06/01/08 300 303
Jafra Cosmetics International Inc., 10.75%, 05/15/11 200 219
Limited Brands, 6.95%, 03/01/33 (f) 475 517
Petco Animal Supplies Inc., 10.75%, 11/01/11 150 175
Petro Stopping Centers Holdings LP , 10.50%, 02/01/07 50 51
Rite Aid Corp.
7.125%, 01/15/07 25 26
11.25%, 07/01/08 125 139
Saks Inc.
7.50%, 12/01/10 100 109
9.875%, 10/01/11 75 89
Sbarro Inc., 11.00%, 09/15/09 300 237
2,941
Savings & Loans - 0.2%
Independence Community Bank, 3.50%, 06/20/13 475 458
Sovereign - 0.5%
Republic of Brazil, 12.00%, 04/15/10 (f) 810 972
Telecommunications - 1.7%
ACC Escrow Corp., 10.00%, 08/01/11 (e) 200 223
AT&T Corp., 8.00%, 11/15/31 (g) 275 321
CIncinnati Bell Inc., 8.375%, 01/15/14 (e) 225 242
Insight Midwest Capital Inc., 10.50%, 11/01/10 200 218
Qwest Corp.
8.875%, 03/15/12 (e) 300 344
8.875%, 06/01/31 25 26
Qwest Services Corp.
13.50%, 12/15/10 (e) 225 273
14.00%, 12/15/14 (e) 275 350
Sprint Capital Corp.
8.375%, 03/15/12 750 876
8.75%, 03/15/32 275 325
Telewest Communications Plc,
(Step-Up Bond), 11.375%, 02/01/10 (d) (i) 380 186
3,384
Telecommunications Equipment - 0.2%
Lucent Technologies Inc., 6.45%, 03/15/29 450 354
Tobacco - 0.1%
North Atlantic Trading Co., 11.00%, 06/15/04 125 119
Transportation - 0.1%
General Maritime Corp., 10.00%, 03/15/13 100 113
Holt Group, 9.75%, 01/15/06 (i) 200 6
119
Water - 0.3%
United Utilities Plc, 4.55%, 06/19/18 (f) 700 624
Wireless Telecommunications - 1.6%
American Tower Corp.
9.375%, 02/01/09 200 213
5.00%, 02/15/10 (j) 100 95
American Tower Escrow Corp., 8.619%, 08/01/08 145 100
AT&T Wireless Services Inc., 8.75%, 03/01/31 325 401
Centennial Cellular Operating Co., 10.125%, 06/15/13 200 219
Crown Castle International Corp.
9.375%, 08/01/11 15 17
10.75%, 08/01/11 325 366
7.50%, 12/01/13 (e) 75 75
Dobson Communications Corp., 10.875%, 07/01/10 175 191
Nextel Communications Inc.
9.375%, 11/15/09 140 153
7.375%, 08/01/15 (f) 550 591
SBA Communications Corp., 10.25%, 02/01/09 275 270
SBA Telecommunications Inc.,
(Step-Up Bond), 9.75%, 12/15/11 (d) (e) 250 176
Spectrasite Inc., 8.25%, 05/15/10 100 107
Western Wireless Corp., 9.25%, 07/15/13 200 211
3,185
Total Corporate Bonds (cost $71,366) 73,706
Preferred Stocks - 0.4%
Holding Companies - Diversified - 0.0%
TCR Holdings - Class B - -
TCR Holdings - Class C - -
TCR Holdings - Class D 1 -
TCR Holdings - Class E 1 -
-
Media - 0.3%
Cablevision Systems Corp., 11.125% (f) 5 478
Cablevision Systems Corp., 11.75% 2 182
660
Wireless Telecommunications - 0.1%
Alamosa Holdings Inc., 0.00% - 110
Total Preferred Stocks (cost $725) 770
Government Securities - 56.0%
Asset Backed Securities - 0.3%
First Union National Bank Commercial Mortgage -
Interest Only, 0.5361%, 05/17/32 12,033 393
Sovereign - 19.6%
Federal Republic of Brazil
12.00%, 04/15/10 (f) 810 972
9.25%, 10/22/10 170 183
8.00%, 04/15/14 (f) 1,114 1,092
12.25%, 03/06/30 (f) 1,025 1,276
11.00%, 08/17/40 100 110
French Treasury Note, 3.50%, 01/12/08 EUR (f) 3,900 4,948
Kingdom of Morocco, 6.8438%, 01/01/09 (f) 530 522
Malaysia, 7.50%, 07/15/2011, 7.50%, 07/15/11 325 384
Peru Government International Bond, 9.875%, 02/06/15 165 191
Republic of Argentina, 2.0625%, 03/31/23 (g) (i) 750 377
Republic of Brazil, 2.1875%, 04/15/12 (f) 2,270 2,037
Republic of Bulgaria, 8.25%, 01/15/15 550 649
Republic of Colombia
10.00%, 01/23/12 425 465
10.75%, 01/15/13 175 199
11.75%, 02/25/20 235 283
8.375%, 02/15/27 100 92
10.375%, 01/28/33 150 161
Republic of Ecuador, 6.00%, 08/15/30 (f) (h) 1,150 886
Republic of Germany
4.25%, 02/15/08 EUR (f) 3,000 3,908
4.75%, 07/04/08 EUR (f) 3,900 5,196
Republic of Panama
9.625%, 02/08/11 100 116
2.25%, 07/17/16 (g) 286 248
9.375%, 01/16/23 350 382
Republic of Peru, 4.00%, 03/07/17 400 356
Republic of Philippines
8.375%, 03/12/09 (f) 800 843
9.00%, 02/15/13 300 316
Republic of Turkey
11.50%, 01/23/12 (f) 700 891
11.00%, 01/14/13 (f) 550 689
Republic of Venezuela
2.0625%, 03/31/07 (g) 500 475
2.125%, 12/18/07 (g) 190 180
9.25%, 09/15/27 100 91
Russian Federation
8.25%, 03/31/10 (f) 1,730 1,933
11.00%, 07/24/18 175 236
5.00%, 03/31/30 (f) (h) 2,945 2,824
United Mexican States
8.375%, 01/14/11 (f) 1,550 1,841
6.375%, 01/16/13 200 208
8.30%, 08/15/31 (f) 2,700 3,044
7.50%, 04/08/33 250 259
38,863
U.S. Government Agencies - 30.2%
Federal Home Loan Mortgage Corp.
5.00%, TBA (c) 7,500 7,407
6.50%, TBA (c) 2,000 2,090
10.00%, 05/15/20 4 4
Interest Only, 1156.50%, 06/15/21 - -
Federal National Mortgage Association
5.00%, TBA (c) 11,000 10,891
5.50%, TBA (c) 18,500 18,750
6.00%, TBA (c) 8,000 8,260
6.50%, TBA (c) 2,000 2,087
7.00%, TBA (c) 7,500 7,918
7.3903%, 01/17/13 (f) (g) 987 1,046
10.40%, 04/25/19 9 10
6.50%, 02/01/26 32 34
7.50%, 08/01/29 40 43
8.00%, 08/01/29 5 5
7.50%, 09/01/29 99 106
7.50%, 03/01/30 21 23
8.00%, 04/01/30 30 32
7.50%, 07/01/30 49 52
8.00%, 07/01/30 4 4
7.50%, 05/01/30 25 27
7.50%, 06/01/30 42 44
7.50%, 08/01/30 17 18
8.00%, 08/01/30 24 26
7.50%, 09/01/30 11 11
8.00%, 10/01/30 277 299
7.50%, 11/01/30 21 22
7.50%, 12/01/30 20 21
7.50%, 01/01/31 59 63
8.00%, 01/01/31 118 127
7.50%, 02/01/31 180 192
8.00%, 02/01/31 9 10
7.50%, 03/01/31 123 131
59,753
U.S. Treasury Securities - 5.9%
U.S. Treasury Bond
6.125%, 11/15/27 100 113
5.50%, 08/15/28 70 73
5.25%, 11/15/28 1,500 1,511
5.25%, 02/15/29 500 504
6.125%, 08/15/29 1,500 1,700
5.375%, 02/15/31 750 782
U.S. Treasury Note
3.25%, 05/31/04 5,000 5,046
4.25%, 08/15/13 2,000 2,003
11,732
Total Government Securities (cost $105,695) 110,741
Municipals - 0.4%
Region of Lombardy, 5.804%, 10/25/32 (f) 750 768
Total Municipals (cost $750) 768
Rights - 0.0%
Sovereign - 0.0%
Venezuela Par Rights, 04/15/20 4 -
Total Rights (cost $ - ) -
Warrants - 0.0%
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 - -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 18
Total Warrants (cost $9) 18
Short Term Investments - 33.3%
Commercial Paper - 25.7%
Amsterdam Funding Corp., 1.09%, 01/13/04 5,367 5,365
Bryant Park Funding, 1.10%, 01/13/04 3,575 3,574
Clipper Receivables, 1.08%, 01/14/04 (f) 3,575 3,574
DaimlerChrysler NA Holdings Inc., 1.35%, 01/14/04 (f) 1,775 1,774
Edison Asset Security Corp., 1.08%, 01/14/04 (f) 3,575 3,574
Falcon Asset Securities Corp., 1.08%, 01/13/04 3,575 3,574
Four Winds Funding Corp., 1.22%, 01/14/04 (f) 1,775 1,774
General Motors Corp., 1.37%, 01/14/04 (f) 1,775 1,774
Jupiter Securites Corp., 1.09%, 01/13/04 5,350 5,348
Polonius Inc., 1.10%, 01/12/04 3,000 2,999
Scaldis Capital LLC, 1.09%, 01/12/04 1,400 1,399
Tasman Funding Inc., 1.11%, 01/13/04 5,350 5,348
Three Pillars Funding, 1.09%, 01/14/04 (f) 3,575 3,574
Variable Funding Capital Corp., 1.08%, 01/14/04 (f) 3,575 3,574
Victory Receivables Corp., 1.11%, 01/13/04 3,575 3,574
50,799
Money Market Funds - 0.3%
Dreyfus Cash Management Plus, 0.898% (a) 588 588
Repurchase Agreement - 7.3%
Repurchase Agreement with State Street Bank, 0.80%,
(Collateralized by $12,705 U.S. Treasury Bond, 6.25%,
due 08/15/23, market value $14,785) acquired on 12/31/03,
due 01/02/04 at $14,495 14,495 14,495
Total Short Term Investments (cost $65,882) 65,882
Total Investments - 127.9% (cost $245,477) 253,101
Other Assets and Liabilities, Net - (27.9%) -55,178
Total Net Assets - 100% 197,923
JNL/Salomon Brothers High Yield Bond Fund
Common Stocks - 4.6%
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 -
Food - 0.1%
VFB LLC. (b) 79 9
Home Furnishings - 0.0%
Mattress Disounter Restricted (b) 1 4
Household Products - 0.1%
ContinentalAFA Dispensing Co. (b) (e) 4 17
Media - 1.7%
UnitedGlobalCom Inc. (b) 40 340
Telecommunications - 1.9%
NTL Inc. (b) 5 366
Wireless Telecommunications - 0.8%
Spectrasite Inc. (b) 4 153
Total Common Stocks (cost $941) 889
Corporate Bonds - 91.7%
Advertising - 1.3%
RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 75 89
SITEL Corp., 9.25%, 03/15/06 150 147
236
Aerospace & Defense - 1.6%
L-3 Communications Corp., 7.625%, 06/15/12 150 163
Sequa Corp., 9.00%, 08/01/09 125 138
Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 -
301
Airlines - 0.4%
Continental Airlines Inc.
7.25%, 11/01/05 25 24
6.541%, 09/15/08 66 61
85
Apparel - 0.5%
Levi Strauss & Co., 11.625%, 01/15/08 155 101
Auto Manufacturers - 0.6%
General Motors Corp., 7.125%, 07/15/13 100 110
Auto Parts & Equipment - 2.3%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 -
CSK Auto Inc., 12.00%, 06/15/06 150 172
Keystone Automotive Operations Inc., 9.75%, 11/01/13 (e) 50 54
Rexnord Corp., 10.125%, 12/15/12 100 110
Tenneco Automotive Inc., 11.625%, 10/15/09 50 54
TRW Automotive Inc., 9.375%, 02/15/13 50 57
447
Chemicals - 9.1%
Acetex Corp., 10.875%, 08/01/09 150 166
Airgas Inc., 9.125%, 10/01/11 125 140
Applied Extrusion Technologies Inc., 10.75%, 07/01/11 150 124
Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 85 1
Equistar Chemicals LP/Equistar Funding Corp.,
10.625%, 05/01/11 100 111
FMC Corp., 7.75%, 07/01/11 100 104
Huntsman ICI Chemicals, 10.125%, 07/01/09 75 77
ISP Chemco Inc., 10.25%, 07/01/11 125 141
Lyondell Chemical Co., 11.125%, 07/15/12 100 111
Millennium America Inc., 9.25%, 06/15/08 140 153
Noveon Inc., 11.00%, 02/28/11 125 145
OM Group Inc., 9.25%, 12/15/11 50 52
Resolution Performance Products LLC/RPP Capital Co.,
8.00%, 12/15/09 (e) 100 104
Rhodia SA, 7.625%, 06/01/10 (e) 100 96
United Industries Corp., 9.875%, 04/01/09 150 157
Westlake Chemical Corp., 8.75%, 07/15/11 (e) 75 82
1,764
Commercial Services - 1.6%
Brand Services Inc., 12.00%, 10/15/12 75 87
Comforce Operating Inc., 12.00%, 12/01/07 100 65
Iron Mountain Inc., 8.625%, 04/01/13 25 27
Mail-Well I Corp., 9.625%, 03/15/12 50 55
Mail-Well Inc., 8.75%, 12/15/08 50 50
Pierce Leahy Command Co., 8.125%, 05/15/08 32 33
317
Computers - 1.8%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 200 216
Unisys Corp., 8.125%, 06/01/06 125 135
351
Diversified Financial Services - 0.8%
Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 123 2
Alamosa Delaware Inc., (Step-Up Bond), 12.00, 07/31/09 (d)102 92
Contifinancial Corp. Liquidating Trust, 06/15/00 115 1
General Motors Acceptance Corp., 6.875%, 08/28/12 50 54
149
Electric - 8.6%
AES Corp.
8.50%, 11/01/07 50 51
8.75%, 06/15/08 50 54
Allegheny Energy Supply Statutory Trust 2001,
10.25%, 11/15/07 (e) 75 78
Avon Energy Partners Holdings
7.05%, 12/11/07 (e) 75 71
6.46%, 03/04/08 (e) 200 190
BRL Universal Equipment, 8.875%, 02/15/08 150 161
Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 200 159
Calpine Corp.
8.75%, 07/15/07 100 82
8.50%, 07/15/10 (e) 100 97
Edison Mission Energy Corp.
7.73%, 06/15/09 125 119
9.875%, 04/15/11 100 104
Mirant Americas Generation Inc.
7.625%, 05/01/06 (i) 50 42
9.125%, 05/01/31 (i) 100 85
NRG Energy Inc., 8.00%, 12/15/13 (e) 75 79
Reliant Resources Inc.
9.25%, 07/15/10 (e) 125 133
9.50%, 07/15/13 (e) 150 161
1,666
Electrical Components & Equipment - 0.4%
Motors And Gears Inc., 10.75%, 11/15/06 100 85
Electronics - 0.7%
Muzak LLC, 10.00%, 02/15/09 50 53
Wesco Distribution Inc., 9.125%, 06/01/08 75 78
131
Entertainment - 0.9%
Argosy Gaming Co., 10.75%, 06/01/09 100 108
Pinnacle Entertainment Inc., 8.75%, 10/01/13 75 76
184
Environmental Control - 1.6%
Allied Waste Inc., 9.25%, 09/01/12 100 114
Allied Waste North America, 7.875%, 01/01/09 100 104
Imco Recycling Inc., 10.375%, 10/15/10 (e) 100 103
Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 -
321
Food - 1.4%
Ahold Lease USA Inc., 7.82%, 01/02/20 71 72
Fleming Cos. Inc., 10.125%, 04/01/08 (i) 50 11
Nash Finch Co., 8.50%, 05/01/08 100 100
Premier International Foods Plc, 12.00%, 09/01/09 75 82
265
Forest Products & Paper - 3.1%
Abitibi-Consolidated Inc., 8.85%, 08/01/30 100 108
Appleton Papers Inc., 12.50%, 12/15/08 75 85
Bowater Canada Finance, 7.95%, 11/15/11 200 212
Buckeye Technologies Inc.
9.25%, 09/15/08 75 76
8.00%, 10/15/10 25 25
Tembec Industries Inc., 8.625%, 06/30/09 100 103
609
Healthcare - 3.7%
Extendicare Health Services Inc., 9.50%, 07/01/10 100 111
IASIS Healthcare Corp., 13.00%, 10/15/09 125 141
Insight Health Services Corp., 9.875%, 11/01/11 75 79
Psychiatric Solutions Inc., 10.625%, 06/15/13 75 84
Sola International Inc., 6.875%, 03/15/08 75 76
Tenet Healthcare Corp., 7.375%, 02/01/13 100 100
Vanguard Health Systems Inc., 9.75%, 08/01/11 125 136
727
Home Furnishings - 1.0%
Applica Inc., 10.00%, 07/31/08 21 21
Fedders North America Inc., 9.375%, 08/15/07 75 75
Sealy Mattress Co., 10.875%, 12/15/07 100 104
200
Household Products - 0.5%
Playtex Products Inc., 9.375%, 06/01/11 100 101
Leisure Time - 1.0%
Equinox Holdings Inc., 9.00%, 12/15/09 (e) 100 103
Icon Health & Fitness Corp., 11.25%, 04/01/12 75 82
185
Lodging - 5.4%
Ameristar Casinos Inc., 10.75%, 02/15/09 100 115
Coast Hotels & Casinos Inc., 9.50%, 04/01/09 150 158
John Q Hammons Hotels LP, 8.875%, 05/15/12 100 110
MGM Mirage, 8.375%, 02/01/11 50 57
Park Place Entertainment Corp., 8.875%, 09/15/08 150 170
Prime Hospitality Corp., 8.375%, 05/01/12 50 52
Station Casinos Inc., 9.875%, 07/01/10 150 165
Sun International Hotels Ltd., 8.875%, 08/15/11 100 109
Venetian Casino Resort LLC, 11.00%, 06/15/10 100 116
1,052
Machinery - 1.3%
Case New Holland Inc., 9.25%, 08/01/11 (e) 75 84
Flowserve Corp., 12.25%, 08/15/10 75 87
NMHG Holding Co., 10.00%, 05/15/09 75 83
254
Manufacturing - 1.1%
Blount Inc., 13.00%, 08/01/09 100 108
Pacifica Papers Inc., 10.00%, 03/15/09 100 106
214
Media - 8.1%
Charter Communications Holdings LLC
10.75%, 10/01/09 75 69
10.00%, 05/15/11 350 305
CSC Holdings Inc.
10.50%, 05/15/16 125 143
9.875%, 04/01/23 75 78
Dex Media East LLC, 9.875%, 11/15/09 50 57
DirecTV Holdings LLC, 8.375%, 03/15/13 100 116
EchoStar DBS Corp.
10.375%, 10/01/07 100 110
9.125%, 01/15/09 114 128
Mediacom Broadband LLC, 11.00%, 07/15/13 100 112
Nextmedia Operating Inc., 10.75%, 07/01/11 125 142
Radio One Inc., 8.875%, 07/01/11 75 83
Rogers Cable Inc., 8.75%, 05/01/32 25 28
Vivendi Universal SA, 9.25%, 04/15/10 (e) 50 59
Yell Finance BV
10.75%, 08/01/11 100 117
(Step-Up Bond), 13.50%, 08/01/11 (d) 33 30
1,577
Metal Fabrication & Hardware - 0.5%
Wolverine Tube Inc., 7.375%, 08/01/08 (e) 100 93
Mining - 0.4%
Compass Minerals Group Inc., 10.00%, 08/15/11 75 84
Office Furnishings - 0.1%
Interface Inc., 9.50%, 11/15/05 25 24
Oil & Gas Producers - 2.3%
Magnum Hunter Resources Inc., 9.60%, 03/15/12 125 142
Nuevo Energy Co., 9.375%, 10/01/10 25 27
Pride International Inc., 9.375%, 05/01/07 54 56
Swift Energy Co., 10.25%, 08/01/09 100 108
Vintage Petroleum Inc., 9.75%, 06/30/09 25 26
Westport Resources Corp., 8.25%, 11/01/11 75 83
442
Packaging & Containers - 3.9%
Anchor Glass Container Corp., 11.00%, 02/15/13 125 145
Berry Plastics Corp., 10.75%, 07/15/12 125 144
Plastipak Holdings Inc., 10.75%, 09/01/11 150 167
Pliant Corp., 11.125%, 09/01/09 75 81
Radnor Holdings Corp., 11.00%, 03/15/10 100 91
Stone Container Corp., 9.75%, 02/01/11 125 138
766
Pharmaceuticals - 1.6%
Aaipharma Inc., 11.00%, 04/01/10 125 142
Vicar Operating Inc., 9.875%, 12/01/09 150 166
308
Pipelines - 4.7%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 100 113
7.125%, 05/15/18 25 22
7.625%, 10/15/26 125 108
El Paso Corp., 7.75%, 01/15/32 250 213
Western Gas Resources Inc., 10.00%, 06/15/09 150 161
Williams Cos. Inc.
8.625%, 06/01/10 25 28
7.625%, 07/15/19 50 52
7.875%, 09/01/21 200 211
908
Real Estate - 1.1%
Felcor Lodging LP
10.00%, 09/15/08 25 27
9.00%, 06/01/11 75 81
Host Marriott Corp., 7.875%, 08/01/08 25 26
Host Marriott LP, 8.375%, 02/15/06 50 53
Meristar Hospitality Corp., 9.125%, 01/15/11 25 27
214
Retail - 5.6%
Buffets Inc., 11.25%, 07/15/10 75 80
Cole National Group Inc., 8.625%, 08/15/07 75 77
Eye Care Centers of America, 9.125%, 05/01/08 75 75
Finlay Fine Jewelry Corp., 8.375%, 05/01/08 150 155
Gap Inc., 6.90%, 09/15/07 40 44
Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 177
Jafra Cosmetics International Inc., 10.75%, 05/15/11 100 110
Leslie's Poolmart Inc., 10.375%, 07/15/08 125 125
Rite Aid Corp., 11.25%, 07/01/08 125 139
Saks Inc.
9.875%, 10/01/11 25 30
7.375%, 02/15/19 75 76
1,088
Telecommunications - 6.5%
ACC Escrow Corp., 10.00%, 08/01/11 (e) 100 112
CIncinnati Bell Inc., 8.375%, 01/15/14 (e) 100 108
Insight Midwest Capital Inc., 9.75%, 10/01/09 75 79
Insight Midwest Capital Inc., 10.50%, 11/01/10 25 27
Pegasus Satellite Communications Inc.,
(Step-Up Bond), 13.50%, 03/01/07 (d) 150 127
Qwest Corp., 8.875%, 03/15/12 (e) 75 86
Qwest Services Corp.
13.50%, 12/15/10 (e) 225 273
14.00%, 12/15/14 (e) 125 159
Sprint Capital Corp., 8.75%, 03/15/32 125 148
Telewest Communications Plc
(Step-Up Bond), 9.25%, 04/15/09 (d) (i) 125 65
(Step-Up Bond), 11.375%, 02/01/10 (d) (i) 180 88
1,272
Telecommunications Equipment - 0.5%
Lucent Technologies Inc., 6.45%, 03/15/29 125 98
Tobacco - 0.6%
North Atlantic Trading Co., 11.00%, 06/15/04 125 119
Transportation - 0.0%
Holt Group, 9.75%, 01/15/06 (i) 125 4
Wireless Telecommunications - 5.1%
American Tower Corp., 9.375%, 02/01/09 175 187
American Tower Escrow Corp., 8.619%, 08/01/08 35 24
Crown Castle International Corp., 9.375%, 08/01/11 175 194
Nextel Communications Inc., 7.375%, 08/01/15 225 242
SBA Communications Corp., 10.25%, 02/01/09 150 147
SBA Telecommunications Inc.,
(Step-Up Bond), 9.75%, 12/15/11 (d) (e) 50 35
Spectrasite Inc., 8.25%, 05/15/10 50 53
Western Wireless Corp., 9.25%, 07/15/13 100 106
988
Total Corporate Bonds (cost $17,391) 17,840
Preferred Stocks - 1.0%
Media - 0.8%
Cablevision Systems Corp., 11.125% 1 53
Cablevision Systems Corp., 11.75% 1 96
149
Wireless Telecommunications - 0.2%
Alamosa Holdings Inc., 0.00% - 43
Total Preferred Stocks (cost $177) 192
Warrants - 0.0%
Retail - 0.0%
Mattress Discounters Corp., Strike Price $0.01,
Expiring 07/15/07 - -
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 1 -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 4
Total Warrants (cost $2) 4
Short Term Investments - 0.8%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 7 7
Repurchase Agreement - 0.8%
Repurchase Agreement with State Street Bank, 0.80%,
(Collateralized by $115 U.S. Treasury Bond, 8.50%, due
02/15/20, market value $164) acquired on 12/31/03,
due 01/02/04 at $159 159 159
Total Short Term Investments (cost $166) 166
Total Investments - 98.1% (cost $18,677) 19,091
Other Assets and Liabilities, Net - 1.9% 373
Total Net Assets - 100% 19,464
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
Corporate Bonds - 5.9%
Asset Backed Securities - 5.9%
Commercial Mortgage Acceptance Corp.,
5.45%, 07/16/34 (e) (f) 6,161 6,356
Commodore CDO I Ltd., 1.70%, 02/24/34 (e) (f) (g) 2,500 2,462
Green Tree Financial Corp., 7.07%, 01/15/29 (f) 1,011 1,052
Metris Master Trust, 1.41%, 08/20/08 (f) (g) 1,000 978
Wings Ltd., 1.79%, 11/15/35 (e) (f) (g) 4,412 4,324
Total Corporate Bonds (cost $15,122) 15,172
Government Securities - 91.7%
U.S. Government Agencies - 56.9%
Federal Home Loan Mortgage Corp.
4.50%, TBA (c) 5,000 5,005
5.00%, TBA (c) 12,000 11,851
6.00%, TBA (c) 10,000 10,322
5.80%, 09/02/08 (f) 3,500 3,854
6.00%, 09/01/10 (f) - -
7.00%, 07/01/11 (f) 9 10
6.50%, 08/01/13 (f) 69 74
8.25%, 04/01/17 (f) 5 6
8.00%, 07/01/20 (f) 144 156
6.00%, 11/01/28 (f) 1,150 1,191
7.00%, 04/01/29 (f) 521 552
8.00%, 09/01/31 (f) 1,907 2,056
7.00%, 10/01/31 (f) 24 25
7.00%, 11/01/31 (f) 46 49
7.00%, 02/01/32 (f) 485 513
7.00%, 03/01/32 (f) 496 525
7.00%, 04/01/32 (f) 499 529
4.50%, 04/15/32 (f) 2,026 2,001
7.00%, 06/01/32 (f) 67 71
7.00%, 08/01/32 (f) 25 26
Federal National Mortgage Association
5.00%, TBA (c) 5,000 4,950
5.50%, TBA (c) 42,000 42,730
6.00%, TBA (c) 20,000 20,650
6.50%, TBA (c) 22,000 22,957
7.39%, 01/17/13 (f) (g) 1,480 1,569
12.50%, 09/20/15 (f) 4 4
12.00%, 01/01/16 (f) 125 143
12.00%, 01/15/16 (f) 3 4
12.50%, 01/15/16 (f) 53 61
11.50%, 09/01/19 (f) 1 1
10.50%, 08/01/20 (f) 12 13
6.50%, 03/01/26 (f) 28 29
7.00%, 05/01/26 (f) 27 29
7.00%, 11/01/28 (f) 45 48
7.00%, 12/01/28 (f) 33 35
7.25%, 12/28/28 (f) (g) 167 186
7.00%, 03/01/29 (f) 93 98
8.00%, 07/01/29 (f) 4 4
8.00%, 11/01/29 (f) 64 69
8.00%, 12/01/29 (f) 108 116
7.00%, 01/01/30 (f) 166 175
8.00%, 01/01/30 (f) 137 148
8.00%, 02/01/30 (f) 23 25
8.00%, 05/01/30 (f) 10 10
6.53%, 05/25/30 (f) 2,250 2,450
8.00%, 09/01/30 (f) 17 19
8.00%, 10/01/30 (f) 117 126
8.00%, 11/01/30 (f) 6 6
8.00%, 01/01/31 (f) 238 257
7.50%, 02/01/31 (f) 341 365
8.00%, 02/01/31 (f) 164 177
8.00%, 03/01/31 (f) 125 136
8.00%, 04/01/31 (f) 18 19
6.00%, 01/01/33 (f) 5,554 5,743
Freddie Mac - Interest Only,
5.50%, 01/15/23 (f) 11,000 1,215
Government National Mortgage Association,
13.50%, 07/15/10 (f) 114 132
Government National Mortgage Association II,
6.50%, 11/20/32 (f) 2,708 2,849
146,364
U.S. Treasury Securities - 34.8%
U.S. Treasury Bond
6.625%, 02/15/27 (f) 2,350 2,807
6.375%, 08/15/27 (f) 1,000 1,161
5.25%, 02/15/29 (f) 2,000 2,018
6.125%, 08/15/29 (f) 1,250 1,417
5.375%, 02/15/31 17,000 17,728
U.S. Treasury Note
5.25%, 05/15/04 8,500 8,632
5.875%, 11/15/04 5,000 5,200
6.75%, 05/15/05 12,000 12,864
5.75%, 11/15/05 18,500 19,863
3.375%, 11/15/08 7,300 7,358
4.875%, 02/15/12 10,000 10,591
89,639
Total Government Securities (cost $230,942) 236,003
Short Term Investments - 47.8%
Commercial Paper - 24.6%
Amsterdam Funding Corp., 1.09%, 01/13/04 3,970 3,969
Bryant Park Funding, 1.10%, 01/13/04 7,000 6,997
Clipper Receivables, 1.08%, 01/14/04 7,500 7,497
DaimlerChrysler NA Holdings Inc., 1.3518%, 01/14/04 3,750 3,748
Four Winds Funding Corp., 1.22%, 01/14/04 3,750 3,748
General Motors Corp., 1.37%, 01/14/04 3,750 3,748
Jupiter Securities, 1.09%, 01/13/04 11,250 11,246
Tasman Funding Inc., 1.11%, 01/13/04 8,074 8,071
Variable Funding Capital Corp., 1.08%, 01/14/04 7,500 7,497
Victory Receivables Corp., 1.11%, 01/13/04 6,848 6,846
63,367
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 0.898% (a) 1 1
Repurchase Agreement - 11.5%
Repurchase Agreement with UBS Warburg Securities,
0.83%, (Collateralized by $21,098 U.S. Treasury Bond,
8.50%, due 02/15/20, market value $30,090) acquired
on 12/31/03, due 01/02/04 at $29,500 29,500 29,500
U.S. Government Agencies - 11.7%
Federal Farm Credit Bank Discount Note,
0.9705%, 01/05/04 15,000 14,998
Federal Home Loan Mortgage Corp. Discount Note,
1.0157%, 01/14/04 15,000 14,995
29,993
Total Short Term Investments (cost $122,861) 122,861
Total Investments - 145.4% (cost $368,925) 374,036
Other Assets and Liabilities, Net - (45.4%) -116,762
Total Net Assets - 100% 257,274
JNL/T. Rowe Price Established Growth Fund
Common Stocks - 96.6%
Advertising - 0.4%
Omnicom Group Inc. 18 1,563
Apparel - 0.5%
Hermes International 13 2,573
Banks - 4.9%
Credit Suisse Group 102 3,714
Mellon Financial Corp. 137 4,386
Northern Trust Corp. 82 3,783
State Street Corp. 120 6,255
US Bancorp. 164 4,896
23,034
Beverages - 1.3%
Coca-Cola Co. 90 4,557
PepsiCo Inc. 37 1,734
6,291
Biotechnology - 2.0%
Amgen Inc. (b) 101 6,261
Genentech Inc. (b) 16 1,525
Medimmune Inc. (b) 66 1,666
9,452
Commercial Services - 3.3%
Accenture Ltd. (b) 131 3,458
Adecco SA 49 3,137
Apollo Group Inc. (b) 73 4,930
Cendant Corp. (b) 181 4,022
15,547
Computers - 3.6%
Affiliated Computer Services Inc. - Class A (b) 122 6,644
Dell Inc. (b) 191 6,500
SunGard Data Systems Inc. (b) 72 2,001
Synopsys Inc. (b) 56 1,890
17,035
Cosmetics & Personal Care - 0.4%
Gillette Co. 51 1,888
Diversified Financial Services - 9.9%
American Express Co. 52 2,484
Charles Schwab Corp. 144 1,710
Citigroup Inc. 358 17,379
Fannie Mae 87 6,523
Freddie Mac 38 2,199
Goldman Sachs Group Inc. 18 1,777
MBNA Corp. 66 1,630
Merrill Lynch & Co. Inc. 99 5,830
Morgan Stanley 56 3,223
SLM Corp. 115 4,326
47,081
Electrical Components & Equipment - 0.6%
Samsung Electronics Co. Ltd. 8 2,915
Entertainment - 1.0%
International Game Technology 133 4,762
Food - 2.1%
Compass Group Plc 497 3,383
General Mills Inc. 33 1,513
Sysco Corp. 92 3,425
Unilever Plc 190 1,773
10,094
Healthcare - 6.6%
Biomet Inc. 56 2,043
Boston Scientific Corp. (b) 29 1,066
Johnson & Johnson 86 4,453
Medtronic Inc. 50 2,445
UnitedHealth Group Inc. 252 14,684
WellPoint Health Networks Inc. (b) 67 6,479
31,170
Insurance - 5.4%
ACE Ltd. 82 3,396
American International Group Inc. 173 11,440
China Life Insurance Co. Ltd. (b) 20 656
Hartford Financial Services Group Inc. 72 4,233
Marsh & McLennan Cos. Inc. 58 2,759
Travelers Property Casualty Corp. - Class A 183 3,071
25,555
Internet - 2.5%
eBay Inc. (b) 57 3,656
InterActiveCorp. (b) 93 3,152
Symantec Corp. (b) 44 1,510
Yahoo! Inc. (b) 81 3,650
11,968
Iron & Steel - 0.9%
Nucor Corp. 75 4,189
Leisure Time - 1.8%
Carnival Corp. 98 3,897
Harley-Davidson Inc. 97 4,587
8,484
Lodging - 0.4%
MGM Mirage (b) 46 1,723
Manufacturing - 3.7%
Danaher Corp. 46 4,239
General Electric Co. 212 6,561
Tyco International Ltd. 254 6,724
17,524
Media - 9.3%
British Sky Broadcasting Plc (b) 180 2,266
Clear Channel Communications Inc. 135 6,327
Comcast Corp. - Special Class A (b) 227 7,091
E.W. Scripps Co. 33 3,107
EchoStar Communications Corp. (b) 159 5,413
Liberty Media Corp. (b) 396 4,713
Time Warner Inc. (b) 183 3,298
Univision Communications Inc. (b) 139 5,513
Viacom Inc. - Class B 147 6,538
44,266
Mining - 0.5%
Rio Tinto Plc 84 2,329
Oil & Gas Producers - 1.8%
ChevronTexaco Corp. 46 4,008
Exxon Mobil Corp. 110 4,515
8,523
Oil & Gas Services - 1.9%
Baker Hughes Inc. 137 4,416
Schlumberger Ltd. 86 4,722
9,138
Pharmaceuticals - 6.7%
Abbott Laboratories 66 3,052
Cardinal Health Inc. 30 1,853
Eli Lilly & Co. 12 830
Forest Laboratories Inc. (b) 73 4,536
Gilead Sciences Inc. (b) 48 2,814
Medco Health Solutions Inc. (b) 57 1,941
Pfizer Inc. 352 12,419
Sanofi-Synthelabo SA 17 1,303
Wyeth 66 2,781
31,529
Retail - 7.7%
Best Buy Co. Inc. 69 3,618
Family Dollar Stores Inc. 50 1,776
Home Depot Inc. 156 5,545
Inditex SA 65 1,324
Kingfisher Plc 481 2,400
Kohl's Corp. (b) 42 1,906
Starbucks Corp. (b) 67 2,228
Target Corp. 181 6,966
Walgreen Co. 88 3,201
Wal-Mart de Mexico SA de CV - ADR 64 1,833
Wal-Mart de Mexico SA de CV 210 599
Wal-Mart Stores Inc. 97 5,135
36,531
Semiconductors - 2.9%
Analog Devices Inc. (b) 47 2,164
Applied Materials Inc. (b) 166 3,735
Intel Corp. 119 3,845
Maxim Integrated Products Inc. 34 1,703
Xilinx Inc. (b) 60 2,336
13,783
Software - 7.8%
Adobe Systems Inc. 61 2,409
First Data Corp. 191 7,840
Fiserv Inc. (b) 125 4,943
Intuit Inc. (b) 84 4,434
Mercury Interactive Corp. (b) 17 822
Microsoft Corp. 534 14,717
Siebel Systems Inc. (b) 147 2,033
37,198
Telecommunications Equipment - 1.6%
Cisco Systems Inc. (b) 314 7,629
Tobacco - 0.8%
Altria Group Inc. 70 3,831
Transportation - 0.3%
United Parcel Service Inc. 19 1,402
Wireless Telecommunications - 4.0%
Crown Castle International Corp. (b) 189 2,083
Nextel Communications Inc. (b) 201 5,651
NTT DoCoMo Inc. - 490
Vodafone Group Plc - ADR 130 3,255
Vodafone Group Plc 3,033 7,520
18,999
Total Common Stocks (cost $397,838) 458,006
Short Term Investments - 3.3%
Money Market Funds - 3.3%
Dreyfus Cash Management Plus, 0.898% (a) 284 284
T. Rowe Price Reserves Investment Fund, 1.138% (a) 15,284 15,284
Total Short Term Investments (cost $15,568) 15,568
Total Investments - 99.9% (cost $413,407) 473,574
Other Assets and Liabilities, Net - 0.1% 472
Total Net Assets - 100% 474,046
JNL/T. Rowe Price Mid-Cap Growth Fund
Common Stocks - 94.0%
Advertising - 1.3%
Catalina Marketing Corp. (b) 116 2,339
Lamar Advertising Co. (b) 82 3,060
5,399
Aerospace & Defense - 2.6%
Alliant Techsystems Inc. (b) 71 4,101
L-3 Communications Holdings Inc. (b) 28 1,438
Rockwell Collins Inc. 152 4,565
10,104
Airlines - 0.4%
JetBlue Airways Corp. (b) 56 1,485
Auto Manufacturers - 0.8%
Oshkosh Truck Corp. 58 2,960
Banks - 0.5%
Investors Financial Services Corp. 35 1,344
Silicon Valley Bancshares (b) 15 541
1,885
Beverages - 0.8%
Cott Corp. (b) 113 3,165
Biotechnology - 2.6%
Biogen Idec Inc. (b) 46 1,684
Human Genome Sciences Inc. (b) 75 994
Invitrogen Corp. (b) 15 1,050
Medimmune Inc. (b) 129 3,277
Millennium Pharmaceuticals Inc. (b) 56 1,046
Protein Design Labs Inc. (b) 53 949
Vertex Pharmaceuticals Inc. (b) 78 798
9,798
Building Materials - 1.0%
American Standard Cos. Inc. (b) 38 3,827
Chemicals - 1.1%
Potash Corp. 48 4,151
Commercial Services - 7.9%
Apollo Group Inc. (b) 22 1,496
BearingPoint Inc. (b) 212 2,139
ChoicePoint Inc. (b) 131 4,990
Education Management Corp. (b) 76 2,359
Hewitt Associates Inc. - Class A (b) 101 3,029
Iron Mountain Inc. (b) 83 3,282
Manpower Inc. 92 4,331
Robert Half International Inc. (b) 150 3,501
Viad Corp. 138 3,450
Weight Watchers International Inc. (b) 37 1,420
29,997
Computers - 5.6%
Affiliated Computer Services Inc. - Class A (b) 45 2,451
Cadence Design Systems Inc. (b) 160 2,877
Ceridian Corp. (b) 151 3,162
Diebold Inc. 48 2,586
DST Systems Inc. (b) 107 4,468
Lexmark International Inc. (b) 26 2,045
Research In Motion Ltd. (b) 9 601
Seagate Technology (b) 66 1,247
SunGard Data Systems Inc. (b) 64 1,773
21,210
Cosmetics & Personal Care - 0.5%
Estee Lauder Cos. Inc. 49 1,924
Distribution & Wholesale - 0.9%
CDW Corp. 47 2,715
Fastenal Co. 15 749
3,464
Diversified Financial Services - 3.2%
CapitalSource Inc. (b) 65 1,409
Charles Schwab Corp. 112 1,326
Eaton Vance Corp. 74 2,711
Franklin Resources Inc. 11 573
Legg Mason Inc. 30 2,315
Waddell & Reed Financial Inc. - Class A 158 3,707
12,041
Electrical Components & Equipment - 0.2%
Molex Inc. 26 763
Electronics - 1.4%
Garmin Ltd. 35 1,907
Jabil Circuit Inc. (b) 63 1,783
Waters Corp. (b) 52 1,724
5,414
Food - 1.1%
Whole Foods Market Inc. 64 4,296
Healthcare - 6.4%
Anthem Inc. (b) 53 3,975
DaVita Inc. (b) 54 2,106
Edwards Lifesciences Corp. (b) 46 1,384
Health Management Associates Inc. 155 3,720
Laboratory Corp. of America Holdings (b) 100 3,695
Manor Care Inc. 133 4,598
Universal Health Services Inc. 48 2,578
Wellchoice Inc. (b) 19 655
WellPoint Health Networks Inc. (b) 15 1,455
24,166
Insurance - 3.2%
Axis Capital Holdings Ltd. 59 1,728
Nationwide Financial Services Inc. - Class A 45 1,488
Principal Financial Group 78 2,579
Protective Life Corp. 62 2,098
Radian Group Inc. 41 1,999
Willis Group Holdings Ltd. 64 2,180
12,072
Internet - 3.4%
InterActiveCorp. (b) 35 1,188
Macromedia Inc. (b) 110 1,962
Monster Worldwide Inc. (b) 92 2,020
Network Associates Inc. (b) 240 3,610
VeriSign Inc. (b) 225 3,667
WebMD Corp. (b) 38 342
12,789
Iron & Steel - 1.6%
International Steel Group Inc. (b) 46 1,792
Nucor Corp. 78 4,368
6,160
Leisure Time - 1.0%
Brunswick Corp. 119 3,788
Lodging - 0.8%
Fairmont Hotels & Resorts Inc. 112 3,040
Manufacturing - 2.9%
Danaher Corp. 35 3,211
ITT Industries Inc. 47 3,517
Roper Industries Inc. 83 4,089
10,817
Media - 4.0%
Cablevision Systems Corp. (b) 97 2,269
Citadel Broadcasting Corp. (b) 122 2,729
COX Radio Inc. (b) 96 2,422
E.W. Scripps Co. 10 941
Entercom Communications Corp. (b) 22 1,165
Rogers Communications Inc. - Class B 120 1,980
Scholastic Corp. (b) 71 2,417
XM Satellite Radio Holdings Inc. - Class A (b) 53 1,397
15,320
Mining - 1.0%
Newmont Mining Corp. 75 3,646
Oil & Gas Producers - 3.7%
Devon Energy Corp. 15 859
Diamond Offshore Drilling Inc. 128 2,625
EOG Resources Inc. 86 3,971
Murphy Oil Corp. 59 3,853
XTO Energy Inc. 101 2,858
14,166
Oil & Gas Services - 3.6%
BJ Services Co. (b) 126 4,524
Cooper Cameron Corp. (b) 59 2,749
FMC Technologies Inc. (b) 108 2,516
Smith International Inc. (b) 94 3,903
13,692
Pharmaceuticals - 8.6%
Abgenix Inc. (b) 56 698
Alkermes Inc. (b) 70 945
AmerisourceBergen Corp. 60 3,358
Amylin Pharmaceuticals Inc. (b) 47 1,044
Andrx Corp. (b) 82 1,971
Barr Laboratories Inc. (b) 31 2,386
Cephalon Inc. (b) 51 2,469
Gilead Sciences Inc. (b) 60 3,488
ImClone Systems Inc. (b) 32 1,269
IVAX Corp. (b) 141 3,367
Neurocrine Biosciences Inc. (b) 30 1,636
Omnicare Inc. 185 7,472
Teva Pharmaceutical Industries Ltd. - ADR 45 2,552
32,655
Pipelines - 0.5%
Western Gas Resources Inc. 42 1,985
Retail - 7.4%
99 Cents Only Stores (b) 25 681
Best Buy Co. Inc. 63 3,291
Cheesecake Factory (b) 64 2,818
Dollar Tree Stores Inc. (b) 97 2,916
Family Dollar Stores Inc. 79 2,834
O'Reilly Automotive Inc. (b) 75 2,877
Petsmart Inc. 114 2,713
Ross Stores Inc. 135 3,568
Shoppers Drug Mart Corp. (b) 60 1,392
Starbucks Corp. (b) 67 2,215
Williams-Sonoma Inc. (b) 78 2,712
28,017
Semiconductors - 4.6%
AMIS Holdings Inc. (b) 95 1,736
ASML Holding NV - NYS (b) 101 2,025
Integrated Circuit Systems Inc. (b) 30 843
Intersil Corp. 129 3,206
Microchip Technology Inc. 116 3,870
Novellus Systems Inc. (b) 57 2,397
QLogic Corp. (b) 26 1,342
Semtech Corp. (b) 88 2,000
17,419
Software - 4.4%
Adobe Systems Inc. 65 2,554
Certegy Inc. 111 3,641
Fiserv Inc. (b) 78 3,082
Intuit Inc. (b) 56 2,963
Mercury Interactive Corp. (b) 45 2,189
Red Hat Inc. (b) 54 1,013
Siebel Systems Inc. (b) 92 1,276
16,718
Telecommunications - 0.4%
NTL Inc. (b) 20 1,395
Telecommunications Equipment - 1.3%
3Com Corp. (b) 59 482
Advanced Fibre Communications Inc. (b) 28 564
Harris Corp. 101 3,833
4,879
Transportation - 0.5%
Expeditors International of Washington Inc. 48 1,808
Wireless Telecommunications - 2.8%
Crown Castle International Corp. (b) 171 1,886
Nextel Communications Inc. (b) 146 4,097
Nextel Partners Inc. (b) 112 1,507
Triton PCS Holdings Inc. (b) 66 368
Western Wireless Corp. (b) 142 2,607
10,465
Total Common Stocks (cost $275,997) 356,880
Short Term Investments - 6.9%
Money Market Funds - 6.9%
Dreyfus Cash Management Plus, 0.898% (a) 5,846 5,846
T. Rowe Price Reserves Investment Fund, 1.138% (a) 20,386 20,386
Total Short Term Investments (cost $26,232) 26,232
Total Investments - 100.9% (cost $302,229) 383,112
Other Assets and Liabilities, Net - (0.9%) -3,571
Total Net Assets - 100% 379,541
JNL/T. Rowe Price Value Fund
Common Stocks - 95.7%
Aerospace & Defense - 3.5%
Lockheed Martin Corp. 85 4,364
Raytheon Co. 129 3,872
Rockwell Collins Inc. 182 5,459
13,695
Airlines - 0.5%
Delta Air Lines Inc. 141 1,659
Auto Manufacturers - 0.7%
Ford Motor Co. 182 2,916
Auto Parts & Equipment - 0.2%
Delphi Corp. 82 838
Banks - 7.1%
Bank of America Corp. 45 3,611
Bank One Corp. 98 4,454
Comerica Inc. 77 4,311
FleetBoston Financial Corp. 145 6,308
Mellon Financial Corp. 100 3,198
US Bancorp. 234 6,969
28,851
Beverages - 1.5%
Coca-Cola Enterprises Inc. 129 2,812
Heineken NV 90 3,416
6,228
Chemicals - 2.5%
E.I. du Pont de Nemours & Co. 96 4,401
Great Lakes Chemical Corp. 142 3,858
Hercules Inc. (b) 141 1,714
9,973
Computers - 1.9%
Electronic Data Systems Corp. 72 1,762
Hewlett-Packard Co. 253 5,807
7,569
Diversified Financial Services - 6.5%
American Express Co. 110 5,281
Citigroup Inc. 57 2,789
Franklin Resources Inc. 80 4,170
Freddie Mac 51 2,998
JPMorgan Chase & Co. 116 4,250
Morgan Stanley 118 6,811
26,299
Electric - 3.1%
FirstEnergy Corp. 114 4,024
NiSource Inc. 170 3,723
Pinnacle West Capital Corp. 64 2,569
TXU Corp. 91 2,168
12,484
Environmental Control - 1.0%
Waste Management Inc. 136 4,032
Food - 1.7%
Campbell Soup Co. 137 3,658
General Mills Inc. 24 1,074
Safeway Inc. (b) 101 2,211
6,943
Forest Products & Paper - 3.0%
Bowater Inc. 99 4,594
International Paper Co. 88 3,785
MeadWestvaco Corp. 131 3,885
12,264
Healthcare - 2.4%
Becton Dickinson & Co. 43 1,765
Johnson & Johnson 90 4,628
Medtronic Inc. 69 3,364
9,757
Home Furnishings - 0.8%
Sony Corp. - ADR 95 3,304
Household Products - 2.8%
Clorox Co. 51 2,477
Fortune Brands Inc. 66 4,733
Newell Rubbermaid Inc. 175 3,989
11,199
Insurance - 8.6%
Berkshire Hathaway Inc. - Class A (b) - 3,539
China Life Insurance Co. Ltd. (b) 19 637
Cigna Corp. 55 3,168
Hartford Financial Services Group Inc. 72 4,250
Marsh & McLennan Cos. Inc. 86 4,109
Principal Financial Group 122 4,031
Prudential Financial Inc. 68 2,849
Safeco Corp. 109 4,239
Travelers Property Casualty Corp. 297 5,040
UnumProvident Corp. 179 2,815
34,677
Iron & Steel - 1.0%
Nucor Corp. 75 4,189
Lodging - 1.8%
Fairmont Hotels & Resorts Inc. 130 3,523
Hilton Hotels Corp. 220 3,770
7,293
Machinery - 0.5%
Rockwell Automation Inc. 57 2,029
Manufacturing - 7.3%
Cooper Industries Ltd. - Class A 111 6,401
Dover Corp. 35 1,403
Eastman Kodak Co. 78 2,002
Eaton Corp. 43 4,632
General Electric Co. 33 1,010
Honeywell International Inc. 182 6,068
Pall Corp. 84 2,265
Tyco International Ltd. 219 5,801
29,582
Media - 10.3%
Cablevision Systems Corp. (b) 74 1,738
Comcast Corp. - Class A (b) 52 1,716
Comcast Corp. - Special Class A (b) 212 6,644
Dow Jones & Co. Inc. 74 3,664
Liberty Media Corp. (b) 455 5,412
New York Times Co. 85 4,053
Pearson Plc 174 1,936
Reuters Group Plc 467 1,963
Time Warner Inc. (b) 330 5,942
Viacom Inc. - Class B 85 3,751
Walt Disney Co. 216 5,032
41,851
Mining - 1.0%
Alcoa Inc. 102 3,857
Oil & Gas Producers - 5.6%
Amerada Hess Corp. 92 4,908
ChevronTexaco Corp. 33 2,850
ConocoPhillips 35 2,296
Exxon Mobil Corp. 115 4,731
Marathon Oil Corp. 53 1,767
Royal Dutch Petroleum Co. - NYS 69 3,625
Total SA - ADR 28 2,609
22,786
Oil & Gas Services - 1.7%
Baker Hughes Inc. 135 4,348
Schlumberger Ltd. 48 2,643
6,991
Pharmaceuticals - 4.5%
Bristol-Myers Squibb Co. 156 4,462
Merck & Co. Inc. 156 7,207
Schering-Plough Corp. 208 3,622
Wyeth 72 3,052
18,343
Retail - 4.9%
CVS Corp. 122 4,406
May Department Stores Co. 130 3,779
McDonald's Corp. 152 3,772
Nordstrom Inc. 55 1,897
RadioShack Corp. 91 2,783
Toys "R" Us Inc. (b) 244 3,088
19,725
Semiconductors - 0.6%
Texas Instruments Inc. 83 2,436
Software - 1.4%
Microsoft Corp. 212 5,836
Telecommunications - 1.8%
Qwest Communications International Inc. (b) 720 3,111
Sprint Corp. - FON Group 264 4,333
7,444
Telecommunications Equipment - 0.1%
Lucent Technologies Inc. (b) 171 484
Tobacco - 0.7%
Altria Group Inc. 52 2,808
Toys & Hobbies - 0.9%
Hasbro Inc. 162 3,454
Transportation - 2.5%
CNF Inc. 103 3,502
Norfolk Southern Corp. 122 2,874
Union Pacific Corp. 53 3,689
10,065
Wireless Telecommunications - 1.3%
Motorola Inc. 368 5,178
Total Common Stocks (cost $349,759) 387,039
Corporate Bonds - 0.4%
Telecommunications - 0.4%
WorldCom Inc.
8.25%, 05/15/04 (i) 1,370 459
8.00%, 05/15/06 (i) 325 109
7.75%, 04/01/07 (i) 1,300 436
8.25%, 05/15/10 (i) 285 94
7.50%, 05/15/11 (i) 375 126
6.95%, 08/15/28 (i) 1,275 427
Total Corporate Bonds (cost $1,489) 1,651
Short Term Investments - 3.8%
Money Market Funds - 3.8%
Dreyfus Cash Management Plus, 0.898% (a) 476 476
T. Rowe Price Reserves Investment Fund, 1.138% (a) 14,742 14,742
Total Short Term Investments (cost $15,218) 15,218
Total Investments - 99.9% (cost $366,466) 403,908
Other Assets and Liabilities, Net - 0.1% 562
Total Net Assets - 100% 404,470
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
December 31, 2003
- ---------------------------------------------------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is the quoted yield as of December 31, 2003.
(b) Non-income producing security.
(c) Investment purchased on a when-issued basis. As of December 31, 2003, the total cost of investments purchased on a when-issued
basis, in thousands, for the Mellon Capital Management/JNL Bond Index Fund, the PIMCO/JNL Total Return Bond Fund, the Salomon
Brothers/JNL Balanced Fund, the Salomon Brothers/JNL Global Bond Fund, and the Salomon Brothers/JNL U.S. Government & Quality
Bond Fund are: $5,947; $1,027; $2,161; $57,438 and $117,347, respectively.
(d) Deferred interest security that receives no current coupon payments until a predetermined date at which time the stated coupon
rate becomes effective.
(e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund has deemed
these securities to be liquid based on procedures approved by the Board of Trustees. As of December 31, 2003, the market
value, in thousands, of 144A or other restricted securities, in JNL/Janus Balanced Fund, JNL/Janus Global Equities Fund,
JNL/Janus Growth & Income Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Bond Index Fund,
JNL/Oppenheimer Global Growth Fund, JNL/PIMCO Total Return Fund, JNL/PPM America Balanced Fund, JNL/PPM America High Yield
Bond Fund, JNL/Putnam International Equity Fund, JNL/Salomon Brothers Balanced Fund, JNL/Salomon Brothers Global Bond Fund,
JNL/Salomon Brothers High Yield Bond Fund, and JNL/Salomon Brothers U.S. Government & Quality Bond Fund
are: $3,507; $714; $169; $509; $149; $171; $4,630; $2,194; $39,860; $205; $91; $11,077; $2,578 and $13,142, respectively.
(f) All or a portion of the security pledged as collateral for an investment purchased on a when-issued basis.
(g) Variable rate security. Rate stated is in effect as of December 31, 2003.
(h) Coupon payment periodically increases over the life of the security. Rate is in effect as of December 31, 2003.
(i) Security is in default.
(j) Convertible security.
(k) Zero coupon security. Rate stated is the effective yield as of December 31, 2003.
(l) All or portion of the security pledged to cover margin requirements on open futures contracts.
Currency Abbreviations:
AUD - Australian Dollar JPY - Japanese Yen
CHF - Swiss Franc KRW - Korean Won
DKK - Danish Krone MXN - Mexican Peso
EUR - European Currency Unit (Euro) SEK - Swedish Krona
GBP - British Pound SGD - Singapore Dollar
HKD - Hong Kong Dollar USD - United States Dollar
INR - Indian Rupee
Schedule of Options Written:
- ---------------------------------------------------------------------------------------------------------------------------
EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000'S)
JNL/AIM Small Cap Growth Fund
Nvidia Corp. Call Option 01/17/04 $ 22.50 16 $ (2)
Pixar Inc. Call Option 01/17/04 75.00 4 -
Red Hat Call Option 01/17/04 20.00 9 (1)
Sandisk Corp. Call Option 01/17/04 65.00 3 -
Sandisk Corp. Call Option 01/17/04 75.00 19 -
-------------
$ (3)
=============
JNL/PIMCO Total Return Bond Fund
U.S. 10-Year Treasury Note Future Call Option 02/21/04 $ 113.00 39 $ (46)
U.S. 10-Year Treasury Note Future Put Option 02/21/04 108.00 24 (8)
Call Swaption, 3 month LIBOR versus 3.25% fixed 03/03/04 n/a 28 (5)
Call Swaption, 3 month LIBOR versus 4.00% fixed 03/03/04 n/a 14 (1)
Call Swaption, 3 month LIBOR versus 4.00% fixed 03/03/04 n/a 14 (1)
Eurodollar Future Call Option 03/18/04 98.50 2 (1)
Eurodollar Future Put Option 03/18/04 97.25 1 -
Eurodollar Future Put Option 03/31/04 97.75 12 -
Eurodollar Future Put Option 06/14/04 98.00 70 (7)
Call Swaption, 3 month LIBOR versus 6.00% fixed 10/19/04 n/a 2 (17)
Put Swaption, 3 month LIBOR versus 6.00% fixed 10/19/04 n/a 2 (2)
Call Swaption, 3 month LIBOR versus 5.20% fixed 11/02/04 n/a 9 (44)
Put Swaption, 3 month LIBOR versus 6.70% fixed 11/02/04 n/a 9 (4)
Call Swaption, 3 month LIBOR versus 5.50% fixed 01/07/05 n/a 6 (35)
Put Swaption, 3 month LIBOR versus 7.00% fixed 01/07/05 n/a 6 (3)
-------------
$ (174)
=============
JNL Series Trust
Notes to the Schedule of Investments (in thousands)
December 31, 2003
Summary of Open Currency Contracts:
- --------------------------------------------------------------------------------------------------------------------------------
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/JPMorgan International Value Fund JNL/Oppenheimer Global Growth Fund
AUD/USD 02/23/04 1,026 AUD $ 768 $ 42 BRL/USD 01/02/04 122 BRL $ 42 $ -
CHF/USD 02/23/04 1,028 CHF 833 25 CAD/USD 01/02/07 194 CAD 150 (1)
DKK/USD 02/23/04 208 DKK 35 3 CHF/USD 01/06/04 143 CHF 116 -
EUR/JPY 02/23/04 120 EUR 151 4 EUR/USD 01/05/04 525 EUR 662 (2)
EUR/USD 02/23/04 3,077 EUR 3,875 156 EUR/USD 01/06/04 176 EUR 222 (1)
GBP/USD 02/23/04 130 GBP 232 - EUR/USD 01/07/04 24 EUR 30 -
GBP/USD 02/23/04 2,120 GBP 3,780 221 GBP/USD 01/05/04 322 GBP 576 1
HKD/USD 02/23/04 1,684 HKD 217 - MXN/USD 01/02/04 604 MXN 54 -
JPY/EUR 02/23/04 (380) JPY (478) (14) NOK/USD 01/06/04 278 NOK 42 -
JPY/USD 02/23/04 52,395 JPY 490 - SEK/USD 01/07/04 101 SEK 101 -
----------- ----------
JPY/USD 02/23/04 404,544 JPY 3,782 45 $ 1,995 $ (3)
=========== ==========
SEK/USD 02/23/04 4,337 SEK 602 45
USD/CHF 02/23/04 (428)CHF (347) (21)
USD/EUR 02/23/04 (100)EUR (126) - JNL/PIMCO Total Return Bond Fund
USD/EUR 02/23/04 (2,873)EUR (3,618) (196) JPY/USD 01/15/04 70,765 JPY $ 661 $ 4
USD/GBP 02/23/04 (1,083)GBP (1,931) (88) USD/EUR 01/07/04 (854)EUR (1,077) (48)
----------- ----------
USD/JPY 02/23/04 (298,522)JPY (2,791) (29) $ (416) $ (44)
=========== ==========
USD/SEK 02/23/04 (1,395)SEK (194) (9)
USD/SGD 02/23/04 (716)SGD (422) (7)
----------- ----------
$ 4,858 $ 177 JNL/Putnam International Equity Fund
=========== ==========
AUD/USD 03/17/04 1,884 AUD $ 1,407 $ 69
CHF/USD 01/15/04 132 CHF 106 1
JNL/Janus Global Equities Fund EUR/USD 01/02/04 227 EUR 286 3
EUR/USD 01/02/04 125 EUR $ 158 $ 3 EUR/USD 01/06/04 2 EUR 2 -
EUR/USD 01/07/04 6 EUR 8 - EUR/USD 03/17/04 1,154 EUR 1,452 36
USD/GBP 01/02/04 (5)GBP (8) - GBP/USD 03/17/04 780 GBP 1,388 74
USD/GBP 01/05/04 (98)GBP (175) (1) SGD/USD 01/02/04 3 SGD 2 -
USD/HKD 01/05/04 (2,001)HKD (258) - USD/CHF 03/17/04 (2,338)CHF (1,895) (37)
USD/JPY 01/07/04 (2,312)JPY (22) - USD/EUR 01/05/04 (86)EUR (108) (1)
----------- ----------
$ (297) $ 2 USD/EUR 01/07/04 (1) EUR (1) -
=========== ==========
USD/EUR 03/17/04 (1,154) EUR (1,452) (69)
USD/GBP 01/05/04 (33) GBP (59) -
JNL/Janus Growth & Income Fund USD/GBP 01/06/04 (20) GBP (36) -
CHF/USD 04/16/04 15 CHF $ 12 $ 2 USD/SEK 01/05/04 (910) SEK (127) (1)
EUR/USD 03/26/04 25 EUR 31 1 USD/SGD 01/05/04 (6) SGD (4) -
USD/CHF 03/26/04 (100)CHF (81) (7) ZAR/USD 01/08/04 18 ZAR 3 -
----------- ----------
USD/CHF 04/16/04 (50)CHF (40) (3) $ 964 $ 75
=========== ==========
USD/EUR 03/26/04 (140)EUR (176) (16)
----------- ----------
$ (254) $ (23)
=========== ==========
JNL/Salomon Brothers Global Bond Fund
EUR/USD 02/25/04 5,620 EUR $ 7,077 $ 337
JNL/Mellon Capital Management International Index Fund USD/EUR 02/25/04 (17,069)EU (21,494) (970)
----------- ----------
EUR/USD 03/18/04 28 EUR $ 35 $ - $(14,417) $ (633)
=========== ==========
EUR/USD 03/18/04 2,162 EUR 2,721 50
GBP/USD 03/18/04 45 GBP 80 -
GBP/USD 03/18/04 1,213 GBP 2,159 38 JNL/T. Rowe Price Established Growth Fund
JPY/USD 03/18/04 189,838 JPY 1,776 6 GBP/USD 01/02/04 142 GBP $ 254 $ 2
=========== ==========
JPY/USD 03/18/04 10,200 JPY 95 -
----------- ----------
$ 6,866 $ 94
=========== ==========
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
DECEMBER 31, 2003
SUMMARY OF INVESTMENTS BY COUNTRY:
- ------------------------------------------------------------------------------------------------------------------------------
JNL/Janus JNL/Mellon Capital JNL/
JNL/JPMorgan JNL/Janus JNL/Janus Growth & Management PPM America
International Balanced Global Income International High Yield
Value Fund Fund Equities Fund Fund Index Fund Bond Fund
- ------------------------------------------------------------------------------------------------------------------------------
Argentina - % - % - % - % - % - %
Australia 1.4 - - - 4.7 -
Austria - - - - 0.2 -
Bahamas - - - - - -
Belgium - - - - 1.0 -
Bermuda - - - - - -
Brazil 2.5 - 1.8 - - -
Bulgaria - - - - - -
Canada - 1.5 1.5 4.0 - 7.1
Cayman Islands - - - - - -
Chile - - - - - 0.4
China 0.1 - 0.6 - - -
Colombia - - - - - -
Denmark - - - - 0.7 -
Ecuador - - - - - -
Finland - 0.4 0.7 1.2 1.5 -
France 10.2 1.8 6.5 0.6 9.0 0.7
Germany 5.6 0.3 1.2 0.9 6.6 -
Greece 0.1 - - - 0.4 -
Hong Kong 1.0 - 2.3 - 1.5 -
India 1.8 - 4.6 - - -
Ireland 1.6 - 0.4 - 0.7 -
Israel - - 1.0 - - -
Italy 2.6 - 1.3 - 3.6 -
Japan 14.4 - 16.8 - 19.8 -
Liberia - - - - - 0.8
Luxembourg - 1.3 - - 0.1 2.1
Malaysia - - - - - -
Mexico 1.0 - 1.6 - - -
Morocco - - - - - -
Netherlands 8.3 0.2 1.0 - 4.8 -
New Zealand - - - - 0.2 -
Norway - - - - 0.5 -
Panama - - - - - -
Peru - - - - - -
Philippines - - - - - -
Portugal - - - - 0.3 -
Russia 0.8 - 2.8 - - -
Singapore 2.4 - 1.0 - 0.7 -
South Africa - - - - - -
South Korea 1.4 1.0 5.9 1.1 - -
Spain 2.2 - - - 3.4 -
Sweden 0.8 - 1.1 - 2.1 -
Switzerland 5.4 1.9 8.1 2.7 6.9 -
Taiwan - - 3.6 - - -
Thailand 1.1 - 0.3 - - -
Turkey - - - - - -
United Kingdom 15.6 2.1 9.4 0.3 23.9 -
United States 19.7 89.5 26.5 89.2 7.4 88.9
Venezuela - - - - - -
-----------------------------------------------------------------------------------------------------------------------
TOTAL
INVESTMENTS 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
=======================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/Salomon JNL/Salomon JNL/
JNL/Putnam Brothers Brothers T.Rowe Price JNL/
International Global Bond High Yield Established T.Rowe Price
Equity Fund Fund Bond Fund Growth Fund Value Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina - % 10.0 % - % - % - %
Australia 2.0 0.2 - - 0.5
Austria - - - - -
Bahamas - 0.1 0.6 - -
Belgium 0.5 - - - -
Bermuda 0.3 - - 0.7 -
Brazil 1.8 2.2 - - 2.5
Bulgaria - 0.3 - - -
Canada 2.3 0.9 4.6 - 2.3
Cayman Islands - - 1.1 - -
Chile - - -
China 0.3 - - 0.2 -
Colombia - 0.5 - - -
Denmark 0.7 - - - -
Ecuador - 0.3 - - -
Finland 1.5 - - - -
France 11.2 2.0 0.3 0.8 8.8
Germany 5.1 3.6 - - 2.9
Greece - - - - -
Hong Kong 0.1 - - - 1.7
India - - - - 3.4
Ireland 1.8 - - - -
Israel - - - - 0.4
Italy 2.9 0.3 - - 0.4
Japan 17.1 - - 0.1 8.1
Liberia - - - - -
Luxembourg - - - - -
Malaysia - 0.2 - - -
Mexico 0.9 2.1 - 0.5 1.4
Morocco - 0.2 - - -
Netherlands 2.1 - 0.2 - 3.1
New Zealand - - - - -
Norway 0.1 - - - 0.8
Panama - 0.3 - - -
Peru - 0.2 - - -
Philippines - 0.5 - - -
Portugal 0.2 - - - -
Russia 0.4 2.0 - - -
Singapore 1.6 - - - 0.6
South Africa - - 0.6
South Korea 5.1 - - 0.6 1.4
Spain 2.0 - - 0.3 0.4
Sweden 1.6 - - - 1.8
Switzerland 13.1 - - 1.5 2.0
Taiwan 1.0 - - - -
Thailand - - - - -
Turkey - 0.6 - - -
United Kingdom 21.6 0.8 2.2 4.8 10.5
United States 2.7 82.3 90.4 90.5 47.0
Venezuela - 0.3 - - -
-----------------------------------------------------------------------------------------------------------------------
TOTAL
INVESTMENTS 100.0% 100.0% 100.0% 100.0% 100.0%
=======================================================================================================================
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS)
DECEMBER 31, 2003
SUMMARY OF SWAP AGREEMENTS :
- -----------------------------------------------------------------------------------------------------------------
UNREALIZED
APPRECIATION/
NOTIONAL AMOUNT (DEPRECIATION)
JNL/PIMCO Total Return Bond Fund
Goldman Sachs Capital Markets, L.P.
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 06/16/09 $ 22,200 $ 89
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/17 400 (3)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/17 900 15
JPMorgan Chase Bank
Receive fixed rate equal to 4.00% and pay floating rate
based on 6 month EURIBOR, 12/21/07 6,500 (15)
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/17 100 (1)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/17 100 2
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 300 1
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 600 7
Merrill Lynch Capital Services, Inc.
Receive fixed rate equal to 4.00% and pay floating rate
based on 6 month EURIBOR, 03/15/07 5,700 3
Morgan Stanley Capital Services Inc.
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 1.07%, 06/02/12 60,000 14
UBS Warburg AG
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/17 100 (1)
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 200 (1)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 300 2
-----------
$ 112
===========
SUMMARY OF SECURITIES SOLD SHORT :
- -----------------------------------------------------------------------------------------------------------------
PAR MARKET
AMOUNT VALUE
JNL/PIMCO Total Return Bond Fund
Federal National Mortgage Association, 6.00%, TBA $ 1,000 $ (1,048)
U.S. Treasury Bond, 6.25%, 08/15/23 900 (1,026)
U.S. Treasury Bond, 5.375%, 02/15/31 1,700 (1,773)
-----------
Total (proceeds $3,797) $ (3,847)
===========
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
DECEMBER 31, 2003
SUMMARY OF WRITTEN CALL OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2003 (IN THOUSANDS EXCEPT CONTRACTS):
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CONTRACTS PREMIUMS
JNL/AIM Premier Equity II Fund
Options outstanding at December 31, 2002 - $ -
Options written during the period 13 2
Options closed during the period (4) (1)
Options exercised during the period (4) -
Options expired during the period (5) (1)
------------ ------------
Options outstanding at December 31, 2003 - $ -
============ ============
JNL/AIM Small Cap Growth Fund
Options outstanding at December 31, 2002 - $ -
Options written during the period 239 31
Options closed during the period (30) (5)
Options exercised during the period (75) (9)
Options expired during the period (83) (10)
------------ ------------
Options outstanding at December 31, 2003 51 $ 7
============ ============
JNL/PIMCO Total Return Bond Fund
Options outstanding at December 31, 2002 348 $ 303
Options written during the period 1,321 940
Options closed during the period (121) (103)
Options exercised during the period (148) (104)
Options expired during the period (1,162) (729)
------------ ------------
Options outstanding at December 31, 2003 238 $ 307
============ ============
JNL/Putnam Midcap Growth Fund
Options outstanding at December 31, 2002 - $ -
Options written during the period 8,619 4
Options closed during the period - -
Options exercised during the period (2,236) (1)
Options expired during the period (6,383) (3)
------------ ------------
Options outstanding at December 31, 2003 - $ -
============ ============
JNL/Putnam Value Equity Fund
Options outstanding at December 31, 2002 - $ -
Options written during the period 226,114 57
Options closed during the period (119,465) (29)
Options exercised during the period (99,741) (24)
Options expired during the period (6,908) (4)
------------ ------------
Options outstanding at December 31, 2003 - $ -
============ ============
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
DECEMBER 31, 2003
SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS):
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CONTRACTS UNREALIZED
LONG/ NOTIONAL APPRECIATION/
(SHORT) AMOUNT (DEPRECIATION)
JNL/AIM Premier Equity II Fund
S&P 500 E-Mini Future
Expiration March 2004 10 $ 25
=================
=================
JNL/AIM Small Cap Growth Fund
Russell 2000 Index Future
Expiration March 2004 2 $ 11
=================
=================
JNL/Curian Enhanced S&P 500 Stock Index Fund
S&P 500 Index Future
Expiration March 2004 10 $ 68
=================
=================
JNL/Curian S&P 400 MidCap Index Fund
S&P MidCap 400 Future
Expiration March 2004 5 $ (2)
=================
=================
JNL/Curian S&P 500 Index Fund
S&P 500 Future
Expiration March 2004 9 $ 24
=================
=================
JNL/Curian Small Cap Index Fund
Russell 2000 Index Future
Expiration March 2004 12 $ 34
Russell 2000 Mini Index Future
Expiration March 2004 15 35
-----------------
-----------------
$ 69
=================
=================
JNL/JPMorgan International Value Fund
Dow Jones Euro Stoxx 50 Future
Expiration March 2004 59 $ 30
FTSE 100 Index Future
Expiration March 2004 25 47
Topix Japanese Yen Future
Expiration March 2004 11 29
-----------------
-----------------
$ 106
=================
=================
JNL/Mellon Capital Management Bond Index Fund
U.S. Treasury Note Future, 2-Year, 6.00%,
Expiration March 2004 $800 $ 3
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration March 2004 100 -
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2004 (400) 1
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration March 2004 400 -
-----------------
-----------------
$ 4
=================
=================
JNL/Mellon Capital Management International Index Fund
Dow Jones Euro Stoxx 50 Future
Expiration March 2004 73 $ 43
FTSE 100 Index Future
Expiration March 2004 29 31
MSCI Pan Euro Index Future
Expiration March 2004 22 6
Topix Japanese Yen Future
Expiration March 2004 22 93
-----------------
-----------------
$ 173
=================
=================
CONTRACTS UNREALIZED
LONG/ NOTIONAL APPRECIATION/
(SHORT) AMOUNT (Depreciation)
JNL/PIMCO Total Return Fund
Euribor Interest Rate Future
Expiration December 2004 59,000 EUR $ 66
Euribor Interest Rate Future
Expiration March 2005 33,000 EUR 29
Euribor Interest Rate Future
Expiration June 2005 7,000 EUR 2
Euribor Interest Rate Future
Expiration September 2005 7,000 EUR 1
Euribor Interest Rate Future
Expiration December 2005 7,000 EUR 1
Euro BOBL Future, 5-Year, 6.00%,
Expiration March 2004 57,000 EUR 7
Eurodollar Future
Expiration June 2004 1,000 EUR 2
Eurodollar Future
Expiration September 2004 34,000 EUR 57
Eurodollar Future
Expiration December 2004 35,000 EUR 32
Eurodollar Future
Expiration March 2005 24,000 EUR 19
Eurodollar Future
Expiration June 2005 22,000 EUR 15
Eurodollar Future
Expiration September 2005 5,000 EUR -
Eurodollar Future
Expiration December 2005 6,000 EUR -
Eurodollar Future
Expiration March 2008 4,000 EUR (1)
Eurodollar Future
Expiration June 2008 4,000 EUR (1)
Eurodollar Future
Expiration September 2008 4,000 EUR (2)
Eurodollar Future
Expiration December 2008 4,000 EUR (1)
Eurodollar Future Option
Expiration March 2004 (13,000)EUR 10
Eurodollar Future Option
Expiration December 2004 (12,000)EUR 5
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2004 171 USD 65
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2004 568 USD 777
-----------------
-----------------
$ 1,083
=================
=================
JNL/Salomon Brothers Global Bond Fund
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration March 2004 (2,500) $ (32)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2004 (7,000) (102)
-----------------
-----------------
$ (134)
=================
=================
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration March 2004 (10,300) $ (130)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2004 (3,700) (54)
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration March 2004 27,200 468
-----------------
-----------------
$ 284
=================
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2003
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Premier Equity II Small Cap Growth
ASSETS Growth Fund Fund Growth Fund Fund
-------------- ---------------- ---------------- -----------------
Investments, at cost $ 33,297 $ 21,509 $ 37,828 $ 205,610
============== ================ ================ =================
Investments, at value (a) $ 37,470 $ 24,131 $ 44,456 $ 244,564
Cash - - 1 -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 6 16 6 244
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 495 28 587 203
Investment securities sold - - 42 -
Variation margin - 1 - -
Collateral for securities loaned 2,371 1,015 3,500 38,196
-------------- ---------------- ---------------- -----------------
TOTAL ASSETS 40,342 25,191 48,592 283,207
-------------- ---------------- ---------------- -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 3 2 4 20
Advisory fees 25 16 33 173
Investment securities purchased 1,491 365 1,064 -
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 28 14 37 129
12b-1 service fee (Class A) 3 2 4 22
Variation margin - - 7 -
Investment securities sold short, at value - - - -
Options written, at value (b) - - 3 -
Return of collateral for securities loaned 2,371 1,015 3,500 38,196
-------------- ---------------- ---------------- -----------------
TOTAL LIABILITIES 3,921 1,414 4,652 38,540
-------------- ---------------- ---------------- -----------------
NET ASSETS $ 36,421 $ 23,777 $ 43,940 $ 244,667
============== ================ ================ =================
NET ASSETS CONSIST OF:
Paid-in capital $ 33,473 $ 23,933 $ 39,577 $ 342,260
Undistributed (accumulated) net
investment income (loss) - 8 - -
Accumulated net realized gain (loss) (1,225) (2,811) (2,280) (136,547)
Net unrealized appreciation (depreciation) 4,173 2,647 6,643 38,954
-------------- ---------------- ---------------- -----------------
$ 36,421 $ 23,777 $ 43,940 $ 244,667
============== ================ ================ =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 3,433 2,455 3,764 16,575
============== ================ ================ =================
NET ASSET VALUE PER SHARE $ 10.61 $ 9.69 $ 11.67 $ 14.76
============== ================ ================ =================
(a) Including securities on loan of: $ 2,280 $ 982 $ 3,349 $ 36,876
(b) Premiums from options written - - 7 -
(c) Foreign currency cost - - - -
JNL/Curian
JNL/Alliance Enhanced JNL/Curian JNL/Curian
Capital Growth S&P 500 Stock S&P 400 MidCap S&P 500 Index
ASSETS Fund Index Fund Index Fund Fund
--------------- ---------------- ---------------- ---------------
Investments, at cost $ 123,031 $ 82,312 $ 70,315 $ 170,197
=============== ================ ================ ===============
Investments, at value (a) $ 130,595 $ 88,762 $ 80,842 $ 189,681
Cash - 10 13 18
Foreign currency (c) - - - -
Receivables:
Dividends and interest 85 126 55 277
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 153 275 407 754
Investment securities sold 1,176 - - -
Variation margin - 7 - 6
Collateral for securities loaned 165 - - -
--------------- ---------------- ---------------- ---------------
TOTAL ASSETS 132,174 89,180 81,317 190,736
--------------- ---------------- ---------------- ---------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 11 7 7 15
Advisory fees 69 46 25 58
Investment securities purchased 3,299 - - -
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 101 51 195 308
12b-1 service fee (Class A) 11 8 7 17
Variation margin - - 6 -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned 165 - - -
--------------- ---------------- ---------------- ---------------
TOTAL LIABILITIES 3,656 112 240 398
--------------- ---------------- ---------------- ---------------
NET ASSETS $ 128,518 $ 89,068 $ 81,077 $ 190,338
=============== ================ ================ ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 190,123 $ 87,841 $ 70,979 $ 170,609
Undistributed (accumulated) net
investment income (loss) 110 486 12 5
Accumulated net realized gain (loss) (69,279) (5,777) (439) 216
Net unrealized appreciation (depreciation) 7,564 6,518 10,525 19,508
--------------- ---------------- ---------------- ---------------
$ 128,518 $ 89,068 $ 81,077 $ 190,338
=============== ================ ================ ===============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 12,955 11,234 7,068 19,353
=============== ================ ================ ===============
NET ASSET VALUE PER SHARE $ 9.92 $ 7.93 $ 11.47 $ 9.84
=============== ================ ================ ===============
(a) Including securities on loan of: $ 160 $ - $ - $ -
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
JNL/Curian JNL/Eagle
Small Cap Core Equity
ASSETS Index Fund Fund
----------------- ----------------
Investments, at cost $ 65,334 $ 214,645
================= ================
Investments, at value (a) $ 75,737 $ 245,249
Cash 8 -
Foreign currency (c) - -
Receivables:
Dividends and interest 70 268
Forward currency contracts - -
Foreign taxes recoverable - -
Fund shares sold 467 344
Investment securities sold - 1,470
Variation margin - -
Collateral for securities loaned - 7,605
----------------- ----------------
TOTAL ASSETS 76,282 254,936
----------------- ----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 6 20
Advisory fees 23 149
Investment securities purchased - 1,125
Income payable - -
Forward currency contracts - -
Fund shares redeemed 67 102
12b-1 service fee (Class A) 7 22
Variation margin 49 -
Investment securities sold short, at value - -
Options written, at value (b) - -
Return of collateral for securities loaned - 7,605
----------------- ----------------
TOTAL LIABILITIES 152 9,023
----------------- ----------------
NET ASSETS $ 76,130 $ 245,913
================= ================
NET ASSETS CONSIST OF:
Paid-in capital $ 65,446 $ 262,415
Undistributed (accumulated) net
investment income (loss) 27 61
Accumulated net realized gain (loss) 185 (47,167)
Net unrealized appreciation (depreciation) 10,472 30,604
----------------- ----------------
$ 76,130 $ 245,913
================= ================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 6,646 17,352
================= ================
NET ASSET VALUE PER SHARE $ 11.46 $ 14.17
================= ================
(a) Including securities on loan of: $ - $ 7,288
(b) Premiums from options written - -
(c) Foreign currency cost - -
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2003
JNL/Eagle JNL/Janus JNL/Janus JNL/Janus
SmallCap Aggressive Balanced Capital
ASSETS Equity Fund Growth Fund Fund Growth Fund
----------------- ---------------- ---------------- ------------------
Investments, at cost $ 86,064 $ 206,310 $ 103,414 $ 131,768
================= ================ ================ ==================
Investments, at value (a) $ 111,135 $ 258,434 $ 113,356 $ 158,346
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 61 92 745 93
Forward currency contracts - - - -
Foreign taxes recoverable - - 3 -
Fund shares sold 189 47 363 18
Investment securities sold 301 - 136 -
Variation margin - - - -
Collateral for securities loaned 3,687 18,818 25,512 11,071
----------------- ---------------- ---------------- ------------------
TOTAL ASSETS 115,373 277,391 140,115 169,528
----------------- ---------------- ---------------- ------------------
.
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 9 21 9 13
Advisory fees 76 175 79 110
Investment securities purchased 1,569 - 84 71
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 50 502 159 236
12b-1 service fee (Class A) 10 23 10 14
Variation margin - - - -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned 3,687 18,818 25,512 11,071
----------------- ---------------- ---------------- ------------------
TOTAL LIABILITIES 5,401 19,539 25,853 11,515
----------------- ---------------- ---------------- ------------------
NET ASSETS $ 109,972 $ 257,852 $ 114,262 $ 158,013
================= ================ ================ ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 104,873 $ 571,107 $ 116,856 $ 503,233
Undistributed (accumulated) net
investment income (loss) - - 50 -
Accumulated net realized gain (loss) (19,972) (365,379) (12,586) (371,798)
Net unrealized appreciation (depreciation) 25,071 52,124 9,942 26,578
----------------- ---------------- ---------------- ------------------
$ 109,972 $ 257,852 $ 114,262 $ 158,013
================= ================ ================ ==================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 6,540 14,606 12,332 11,898
================= ================ ================ ==================
NET ASSET VALUE PER SHARE $ 16.81 $ 17.65 $ 9.27 $ 13.28
================= ================ ================ ==================
(a) Including securities on loan of: $ 3,565 $ 18,214 $ 24,903 $ 10,760
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
JNL/Janus JNL/Janus JNL/JPMorgan JNL/Lazard
Global Equities Growth & International Mid Cap
ASSETS Fund Income Fund Value Fund Value Fund
------------------ ------------------ ------------------- -----------------
Investments, at cost $ 163,134 $ 13,259 $ 25,047 $ 125,642
================== ================== =================== =================
Investments, at value (a) $ 192,980 $ 15,297 $ 27,940 $ 144,187
Cash 17 - 376 -
Foreign currency (c) 1,964 - 395 -
Receivables:
Dividends and interest 261 16 23 98
Forward currency contracts 3 3 541 -
Foreign taxes recoverable 31 1 5 -
Fund shares sold 27 1 713 598
Investment securities sold 2,569 256 - -
Variation margin - - 8 -
Collateral for securities loaned 8,422 1,029 1,501 6,172
------------------ ------------------ ------------------- -----------------
TOTAL ASSETS 206,274 16,603 31,502 151,055
------------------ ------------------ ------------------- -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 25 1 3 12
Advisory fees 143 11 18 100
Investment securities purchased 178 12 - 1,842
Income payable - - - -
Forward currency contracts 1 26 364 -
Fund shares redeemed 199 2 4 118
12b-1 service fee (Class A) 18 2 3 13
Variation margin - - - -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned 8,422 1,029 1,501 6,172
------------------ ------------------ ------------------- -----------------
TOTAL LIABILITIES 8,986 1,083 1,893 8,257
------------------ ------------------ ------------------- -----------------
NET ASSETS $ 197,288 $ 15,520 $ 29,609 $ 142,798
================== ================== =================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 352,752 $ 21,756 $ 29,287 $ 125,149
Undistributed (accumulated) net
investment income (loss) (16) 56 (30) 119
Accumulated net realized gain (loss) (185,301) (8,307) (2,828) (1,015)
Net unrealized appreciation (depreciation) 29,853 2,015 3,180 18,545
------------------ ------------------ ------------------- -----------------
$ 197,288 $ 15,520 $ 29,609 $ 142,798
================== ================== =================== =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 11,321 2,199 3,871 10,854
================== ================== =================== =================
NET ASSET VALUE PER SHARE $ 17.43 $ 7.06 $ 7.65 $ 13.16
================== ================== =================== =================
(a) Including securities on loan of: $ 8,029 $ 990 $ 1,426 $ 6,010
(b) Premiums from options written - - - -
(c) Foreign currency cost 1,960 - 392 -
JNL/Mellon
Capital
JNL/Lazard Management
Small Cap Bond Index
ASSETS Value Fund Fund
------------------ -----------------
Investments, at cost $ 132,144 $ 82,825
================== =================
Investments, at value (a) $ 157,657 $ 83,448
Cash - -
Foreign currency (c) - -
Receivables:
Dividends and interest 149 782
Forward currency contracts - -
Foreign taxes recoverable 1 -
Fund shares sold 606 405
Investment securities sold 42 3,190
Variation margin - 1
Collateral for securities loaned 7,270 24,738
------------------ -----------------
TOTAL ASSETS 165,725 112,564
------------------ -----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 13 7
Advisory fees 115 26
Investment securities purchased 2,603 4,145
Income payable - -
Forward currency contracts - -
Fund shares redeemed 519 92
12b-1 service fee (Class A) 14 8
Variation margin - 1
Investment securities sold short, at value - -
Options written, at value (b) - -
Return of collateral for securities loaned 7,270 24,738
------------------ -----------------
TOTAL LIABILITIES 10,534 29,017
------------------ -----------------
NET ASSETS $ 155,191 $ 83,547
================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 132,307 $ 82,905
Undistributed (accumulated) net
investment income (loss) 144 327
Accumulated net realized gain (loss) (2,773) (312)
Net unrealized appreciation (depreciation) 25,513 627
------------------ -----------------
$ 155,191 $ 83,547
================== =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 11,896 7,976
================== =================
NET ASSET VALUE PER SHARE $ 13.05 $ 10.47
================== =================
(a) Including securities on loan of: $ 6,975 $ 24,258
(b) Premiums from options written - -
(c) Foreign currency cost - -
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2003
JNL/Mellon
Capital JNL/
Management Oppenheimer JNL/ JNL/PIMCO
International Global Oppenheimer Total Return
ASSETS Index Fund Growth Fund Growth Fund Bond Fund
-------------------- ----------------- ---------------- ----------------
Investments, at cost $ 82,030 $ 89,450 $ 29,721 $ 313,008
==================== ================= ================ ================
Investments, at value (a) $ 96,665 $ 108,160 $ 33,292 $ 316,600
Cash 46 - 1 -
Foreign currency (c) 157 1 - 637
Receivables:
Dividends and interest 90 78 15 1,300
Forward currency contracts 94 1 - 4
Foreign taxes recoverable 21 11 - -
Fund shares sold 189 982 45 477
Investment securities sold - 246 - 3,859
Variation margin 8 - - 122
Collateral for securities loaned 4,349 7,331 3,177 60,797
-------------------- ----------------- ---------------- ----------------
TOTAL ASSETS 101,619 116,810 36,530 383,796
-------------------- ----------------- ---------------- ----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 11 12 3 26
Advisory fees 30 65 21 156
Investment securities purchased - 4,670 157 1,027
Income payable - - - -
Forward currency contracts - 4 - 48
Fund shares redeemed 94 94 176 382
12b-1 service fee (Class A) 9 9 3 29
Swaps agreements, net - - - 9
Investment securities sold short, at value (d) - - - 3,847
Options written, at value (b) - - - 174
Return of collateral for securities loaned 4,349 7,331 3,177 60,797
-------------------- ----------------- ---------------- ----------------
TOTAL LIABILITIES 4,493 12,185 3,537 66,495
-------------------- ----------------- ---------------- ----------------
NET ASSETS $ 97,126 $ 104,625 $ 32,993 $ 317,301
==================== ================= ================ ================
NET ASSETS CONSIST OF:
Paid-in capital $ 83,310 $ 97,210 $ 34,023 $ 303,620
Undistributed (accumulated) net
investment income (loss) 115 260 - 5,796
Accumulated net realized gain (loss) (1,205) (11,542) (4,601) 3,048
Net unrealized appreciation (depreciation) 14,906 18,697 3,571 4,837
-------------------- ----------------- ---------------- ----------------
$ 97,126 $ 104,625 $ 32,993 $ 317,301
==================== ================= ================ ================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 8,479 10,338 3,985 26,983
==================== ================= ================ ================
NET ASSET VALUE PER SHARE $ 11.45 $ 10.12 $ 8.28 $ 11.76
==================== ================= ================ ================
(a) Including securities on loan of: $ 4,081 $ 6,653 $ 3,068 $ 59,638
(b) Premiums from options written - - - 307
(c) Foreign currency cost 158 1 - 628
(d) Proceeds from securities sold short - - - 3,797
JNL/PPM JNL/PPM
JNL/PPM America America JNL/PPM
America High Yield Money America
ASSETS Balanced Fund Bond Fund Market Fund Value Fund
---------------- ------------------- ------------------ -----------------
Investments, at cost $ 264,698 $ 241,859 $ 185,653 $ 45,813
================ =================== ================== =================
Investments, at value (a) $ 302,275 $ 260,776 $ 185,653 $ 55,359
Cash - 20 - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 1,486 5,103 4 77
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 502 603 841 115
Investment securities sold - - - -
Variation margin - - - -
Collateral for securities loaned 39,165 62,165 - 1,665
---------------- ------------------- ------------------ -----------------
TOTAL ASSETS 343,428 328,667 186,498 57,216
---------------- ------------------- ------------------ -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 25 22 16 4
Advisory fees 146 130 67 27
Investment securities purchased - - - 891
Income payable - - 64 -
Forward currency contracts - - - -
Fund shares redeemed 172 145 1,894 92
12b-1 service fee (Class A) 28 24 17 5
Swaps agreements, net - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned 39,165 62,165 - 1,665
---------------- ------------------- ------------------ -----------------
TOTAL LIABILITIES 39,536 62,486 2,058 2,684
---------------- ------------------- ------------------ -----------------
NET ASSETS $ 303,892 $ 266,181 $ 184,440 $ 54,532
================ =================== ================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 266,732 $ 300,363 $ 184,440 $ 43,592
Undistributed (accumulated) net
investment income (loss) 376 184 - 523
Accumulated net realized gain (loss) (793) (53,283) - 871
Net unrealized appreciation (depreciation) 37,577 18,917 - 9,546
---------------- ------------------- ------------------ -----------------
$ 303,892 $ 266,181 $ 184,440 $ 54,532
================ =================== ================== =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 19,538 30,601 184,440 3,710
================ =================== ================== =================
NET ASSET VALUE PER SHARE $ 15.55 $ 8.70 $ 1.00 $ 14.70
================ =================== ================== =================
(a) Including securities on loan of: $ 38,214 $ 60,705 $ - $ 1,618
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
JNL/Putnam JNL/Putnam
Equity International
ASSETS Fund Equity Fund
----------------- ------------------
Investments, at cost $ 145,828 $ 80,186
================= ==================
Investments, at value (a) $ 164,348 $ 96,900
Cash - -
Foreign currency (c) 5 16
Receivables:
Dividends and interest 142 165
Forward currency contracts - 183
Foreign taxes recoverable 13 45
Fund shares sold 22 204
Investment securities sold 1,064 515
Variation margin - -
Collateral for securities loaned 10,644 6,687
----------------- ------------------
TOTAL ASSETS 176,238 104,715
----------------- ------------------
LIABILITIES
Cash overdraft - 348
Payables:
Administrative fees 14 12
Advisory fees 107 77
Investment securities purchased 454 587
Income payable - -
Forward currency contracts - 108
Fund shares redeemed 77 76
12b-1 service fee (Class A) 15 9
Swaps agreements, net - -
Investment securities sold short, at value (d) - -
Options written, at value (b) - -
Return of collateral for securities loaned 10,644 6,687
----------------- ------------------
TOTAL LIABILITIES 11,311 7,904
----------------- ------------------
NET ASSETS $ 164,927 $ 96,811
================= ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 287,456 $ 122,214
Undistributed (accumulated) net
investment income (loss) 695 (13)
Accumulated net realized gain (loss) (141,744) (42,185)
Net unrealized appreciation (depreciation) 18,520 16,795
----------------- ------------------
$ 164,927 $ 96,811
================= ==================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 9,970 10,075
================= ==================
NET ASSET VALUE PER SHARE $ 16.54 $ 9.61
================= ==================
(a) Including securities on loan of: $ 10,312 $ 6,372
(b) Premiums from options written - -
(c) Foreign currency cost 5 16
(d) Proceeds from securities sold short - -
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2003
JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P
Midcap Value Aggressive Aggressive
ASSETS Growth Fund Equity Fund Growth Fund Growth Fund I
----------------- ------------------ ------------------ ------------------
Investments, at cost $ 24,469 $ 276,226 $ 12,657 $ 152,951
================= ================== ================== ==================
Investments, at value (a) $ 28,646 $ 309,752 $ 12,457 $ 163,523
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 8 405 - -
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 38 316 - 668
Investment securities sold 679 147 - -
Variation margin - - - -
Collateral for securities loaned 2,505 9,262 - -
----------------- ------------------ ------------------ ------------------
TOTAL ASSETS 31,876 319,882 12,457 164,191
----------------- ------------------ ------------------ ------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 2 26 1 7
Advisory fees 20 195 2 20
Investment securities purchased 410 521 - -
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 27 118 1 148
12b-1 service fee (Class A) 3 28 - -
Variation margin - - - -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned 2,505 9,262 - -
----------------- ------------------ ------------------ ------------------
TOTAL LIABILITIES 2,967 10,150 4 175
----------------- ------------------ ------------------ ------------------
NET ASSETS $ 28,909 $ 309,732 $ 12,453 $ 164,016
================= ================== ================== ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 49,796 $ 344,005 $ 20,597 $ 184,738
Undistributed (accumulated) net
investment income (loss) - - 41 11
Accumulated net realized gain (loss) (25,064) (67,799) (7,985) (31,305)
Net unrealized appreciation (depreciation) 4,177 33,526 (200) 10,572
----------------- ------------------ ------------------ ------------------
$ 28,909 $ 309,732 $ 12,453 $ 164,016
================= ================== ================== ==================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 4,240 19,253 1,705 15,519
================= ================== ================== ==================
NET ASSET VALUE PER SHARE $ 6.82 $ 16.09 $ 7.30 $ 10.57
================= ================== ================== ==================
(a) Including securities on loan of: $ 2,350 $ 8,955 $ - $ -
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Aggressive Conservative Conservative Conservative
ASSETS Growth Fund II Growth Fund Growth Fund I Growth Fund II
-------------------- ------------------ ------------------ ------------------
Investments, at cost $ 3,894 $ 15,087 $ 381,207 $ 13,100
==================== ================== ================== ==================
Investments, at value (a) $ 4,096 $ 15,683 $ 401,852 $ 14,030
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest - 1 13 -
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold - - 633 -
Investment securities sold - - - -
Variation margin - - - -
Collateral for securities loaned - - - -
-------------------- ------------------ ------------------ ------------------
TOTAL ASSETS 4,096 15,684 402,498 14,030
-------------------- ------------------ ------------------ ------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees - 1 16 1
Advisory fees 1 2 49 2
Investment securities purchased - - - -
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 203 2 111 8
12b-1 service fee (Class A) - - - -
Variation margin - - - -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned - - - -
-------------------- ------------------ ------------------ ------------------
TOTAL LIABILITIES 204 5 176 11
-------------------- ------------------ ------------------ ------------------
NET ASSETS $ 3,892 $ 15,679 $ 402,322 $ 14,019
==================== ================== ================== ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 5,991 $ 17,248 $ 400,416 $ 15,691
Undistributed (accumulated) net
investment income (loss) 32 186 75 265
Accumulated net realized gain (loss) (2,333) (2,351) (18,814) (2,867)
Net unrealized appreciation (depreciation) 202 596 20,645 930
-------------------- ------------------ ------------------ ------------------
$ 3,892 $ 15,679 $ 402,322 $ 14,019
==================== ================== ================== ==================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 447 1,774 36,891 1,506
==================== ================== ================== ==================
NET ASSET VALUE PER SHARE $ 8.70 $ 8.84 $ 10.91 $ 9.31
==================== ================== ================== ==================
(a) Including securities on loan of: $ - $ - $ - $ -
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
JNL/S&P JNL/S&P
Core Index 100 Core Index 50
ASSETS Fund Fund
------------------ ------------------
Investments, at cost $ 32,039 $ 6,651
================== ==================
Investments, at value (a) $ 36,295 $ 7,634
Cash - -
Foreign currency (c) - -
Receivables:
Dividends and interest - -
Forward currency contracts - -
Foreign taxes recoverable - -
Fund shares sold 143 1
Investment securities sold - -
Variation margin - -
Collateral for securities loaned - -
------------------ ------------------
TOTAL ASSETS 36,438 7,635
------------------ ------------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 1 -
Advisory fees 4 1
Investment securities purchased - -
Income payable - -
Forward currency contracts - -
Fund shares redeemed 12 5
12b-1 service fee (Class A) - -
Variation margin - -
Investment securities sold short, at value - -
Options written, at value (b) - -
Return of collateral for securities loaned - -
------------------ ------------------
TOTAL LIABILITIES 17 6
------------------ ------------------
NET ASSETS $ 36,421 $ 7,629
================== ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 32,103 $ 6,844
Undistributed (accumulated) net
investment income (loss) 213 25
Accumulated net realized gain (loss) (151) (223)
Net unrealized appreciation (depreciation) 4,256 983
------------------ ------------------
$ 36,421 $ 7,629
================== ==================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 3,461 744
================== ==================
NET ASSET VALUE PER SHARE $ 10.52 $ 10.26
================== ==================
(a) Including securities on loan of: $ - $ -
(b) Premiums from options written - -
(c) Foreign currency cost - -
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2003
JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P
Core Index 75 Aggressive Aggressive Equity
ASSETS Fund Growth Fund I Growth Fund II Growth Fund I
------------------- ---------------- ------------------ -----------------
Investments, at cost $ 8,706 $ 47,090 $ 1,508 $ 163,898
=================== ================ ================== =================
Investments, at value (a) $ 10,018 $ 50,981 $ 1,515 $ 175,497
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest - - - -
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 3 388 45 179
Investment securities sold - - - -
Variation margin - - - -
Collateral for securities loaned - - - -
------------------- ---------------- ------------------ -----------------
TOTAL ASSETS 10,021 51,369 1,560 175,676
------------------- ---------------- ------------------ -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees - 2 - 7
Advisory fees 1 6 - 21
Investment securities purchased - - - -
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 3 17 - 30
12b-1 service fee (Class A) - - - -
Variation margin - - - -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned - - - -
------------------- ---------------- ------------------ -----------------
TOTAL LIABILITIES 4 25 - 58
------------------- ---------------- ------------------ -----------------
NET ASSETS $ 10,017 $ 51,344 $ 1,560 $ 175,618
=================== ================ ================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 8,773 $ 66,364 $ 3,046 $ 227,203
Undistributed (accumulated) net
investment income (loss) 49 35 1 220
Accumulated net realized gain (loss) (117) (18,946) (1,494) (63,404)
Net unrealized appreciation (depreciation) 1,312 3,891 7 11,599
------------------- ---------------- ------------------ -----------------
$ 10,017 $ 51,344 $ 1,560 $ 175,618
=================== ================ ================== =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 964 5,377 174 18,199
=================== ================ ================== =================
NET ASSET VALUE PER SHARE $ 10.39 $ 9.55 $ 8.95 $ 9.65
=================== ================ ================== =================
(a) Including securities on loan of: $ - $ - $ - $ -
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Equity Moderate Moderate Moderate
ASSETS Growth Fund II Growth Fund Growth Fund I Growth Fund II
----------------- ----------------- ----------------- -----------------
Investments, at cost $ 6,151 $ 27,261 $ 571,181 $ 18,094
================= ================= ================= =================
Investments, at value (a) $ 6,433 $ 28,796 $ 609,418 $ 19,354
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest - - 10 -
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 11 11 984 -
Investment securities sold - - - -
Variation margin - - - -
Collateral for securities loaned - - - -
----------------- ----------------- ----------------- -----------------
TOTAL ASSETS 6,444 28,807 610,412 19,354
----------------- ----------------- ----------------- -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees - 1 25 1
Advisory fees 1 3 71 2
Investment securities purchased - - - -
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 4 3 429 19
12b-1 service fee (Class A) - - - -
Variation margin - - - -
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned - - - -
----------------- ----------------- ----------------- -----------------
TOTAL LIABILITIES 5 7 525 22
----------------- ----------------- ----------------- -----------------
NET ASSETS $ 6,439 $ 28,800 $ 609,887 $ 19,332
================= ================= ================= =================
NET ASSETS CONSIST OF:
Paid-in capital $ 10,925 $ 35,664 $ 620,277 $ 22,847
Undistributed (accumulated) net
investment income (loss) 9 257 84 271
Accumulated net realized gain (loss) (4,777) (8,656) (48,711) (5,046)
Net unrealized appreciation (depreciation) 282 1,535 38,237 1,260
----------------- ----------------- ----------------- -----------------
$ 6,439 $ 28,800 $ 609,887 $ 19,332
================= ================= ================= =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 764 3,533 55,101 2,026
================= ================= ================= =================
NET ASSET VALUE PER SHARE $ 8.42 $ 8.15 $ 11.07 $ 9.54
================= ================= ================= =================
(a) Including securities on loan of: $ - $ - $ - $ -
(b) Premiums from options written - - - -
(c) Foreign currency cost - - - -
JNL/S&P Very JNL/S&P Very
Aggressive Aggressive
ASSETS Growth Fund I Growth Fund II
------------------ -----------------
Investments, at cost $ 56,005 $ 2,261
================== =================
Investments, at value (a) $ 60,176 $ 2,122
Cash - -
Foreign currency (c) - -
Receivables:
Dividends and interest - -
Forward currency contracts - -
Foreign taxes recoverable - -
Fund shares sold 45 -
Investment securities sold - -
Variation margin - -
Collateral for securities loaned - -
------------------ -----------------
TOTAL ASSETS 60,221 2,122
------------------ -----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 2 -
Advisory fees 7 -
Investment securities purchased - -
Income payable - -
Forward currency contracts - -
Fund shares redeemed 19 3
12b-1 service fee (Class A) - -
Variation margin - -
Investment securities sold short, at value - -
Options written, at value (b) - -
Return of collateral for securities loaned - -
------------------ -----------------
TOTAL LIABILITIES 28 3
------------------ -----------------
NET ASSETS $ 60,193 $ 2,119
================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 85,629 $ 3,698
Undistributed (accumulated) net
investment income (loss) 16 -
Accumulated net realized gain (loss) (29,623) (1,440)
Net unrealized appreciation (depreciation) 4,171 (139)
------------------ -----------------
$ 60,193 $ 2,119
================== =================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 6,050 233
================== =================
NET ASSET VALUE PER SHARE $ 9.95 $ 9.09
================== =================
(a) Including securities on loan of: $ - $ -
(b) Premiums from options written - -
(c) Foreign currency cost - -
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2003
JNL/Salomon
JNL/Salomon JNL/Salomon JNL/Salomon Brothers
Brothers Brothers Brothers U.S. Government
Balanced Global Bond High Yield & Quality
ASSETS Fund Fund Bond Fund Bond Fund
--------------------- ------------------ ----------------- -----------------------
Investments, at cost $ 20,514 $ 245,477 $ 18,677 $ 368,925
===================== ================== ================= =======================
Investments, at value (a) $ 20,735 $ 253,101 $ 19,091 $ 374,036
Cash - 10 1 2
Foreign currency (c) - 116 - -
Receivables:
Dividends and interest 78 2,598 427 1,415
Forward currency contracts - 337 - -
Foreign taxes recoverable - - - -
Fund shares sold 23 524 1 278
Investment securities sold 521 - - 4
Variation margin - - - 34
Collateral for securities loaned 2,321 31,238 4,020 21,711
--------------------- ------------------ ----------------- -----------------------
TOTAL ASSETS 23,678 287,924 23,540 397,480
--------------------- ------------------ ----------------- -----------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 1 16 2 22
Advisory fees 11 119 11 124
Investment securities purchased 2,695 57,539 - 117,831
Income payable - - - -
Forward currency contracts - 970 - -
Fund shares redeemed 8 87 41 476
12b-1 service fee (Class A) 2 18 2 24
Variation margin - 14 - 18
Investment securities sold short, at value - - - -
Options written, at value (b) - - - -
Return of collateral for securities loaned 2,321 31,238 4,020 21,711
--------------------- ------------------ ----------------- -----------------------
TOTAL LIABILITIES 5,038 90,001 4,076 140,206
--------------------- ------------------ ----------------- -----------------------
NET ASSETS $ 18,640 $ 197,923 $ 19,464 $ 257,274
===================== ================== ================= =======================
NET ASSETS CONSIST OF:
Paid-in capital $ 17,925 $ 190,264 $ 21,367 $ 251,848
Undistributed (accumulated) net
investment income (loss) 274 (85) 27 603
Accumulated net realized gain (loss) 220 839 (2,344) (572)
Net unrealized appreciation (depreciation) 221 6,905 414 5,395
--------------------- ------------------ ----------------- -----------------------
$ 18,640 $ 197,923 $ 19,464 $ 257,274
===================== ================== ================= =======================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 1,701 17,363 2,424 22,422
===================== ================== ================= =======================
NET ASSET VALUE PER SHARE $ 10.96 $ 11.40 $ 8.03 $ 11.47
===================== ================== ================= =======================
(a) Including securities on loan of: $ 2,277 $ 30,444 $ 3,907 $ 21,337
(b) Premiums from options written - - - -
(c) Foreign currency cost - 114 - -
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
Established Mid-Cap Value
ASSETS Growth Fund Growth Fund Fund
----------------- ------------------ --------------------
Investments, at cost $ 413,407 $ 302,229 $ 366,466
================= ================== ====================
Investments, at value (a) $ 473,574 $ 383,112 $ 403,908
Cash - - -
Foreign currency (c) 21 - -
Receivables:
Dividends and interest 423 126 714
Forward currency contracts 2 - -
Foreign taxes recoverable 6 - -
Fund shares sold 693 1,454 1,120
Investment securities sold 1,577 473 3,609
Variation margin - - -
Collateral for securities loaned 17,143 20,916 20,055
----------------- ------------------ --------------------
TOTAL ASSETS 493,439 406,081 429,406
----------------- ------------------ --------------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 39 31 32
Advisory fees 272 253 252
Investment securities purchased 1,628 5,066 4,362
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 268 240 199
12b-1 service fee (Class A) 43 34 36
Variation margin - - -
Investment securities sold short, at value - - -
Options written, at value (b) - - -
Return of collateral for securities loaned 17,143 20,916 20,055
----------------- ------------------ --------------------
TOTAL LIABILITIES 19,393 26,540 24,936
----------------- ------------------ --------------------
NET ASSETS $ 474,046 $ 379,541 $ 404,470
================= ================== ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 514,564 $ 296,736 $ 368,147
Undistributed (accumulated) net
investment income (loss) 368 (6) 2,909
Accumulated net realized gain (loss) (101,055) 1,928 (4,028)
Net unrealized appreciation (depreciation) 60,169 80,883 37,442
----------------- ------------------ --------------------
$ 474,046 $ 379,541 $ 404,470
================= ================== ====================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 28,265 15,251 33,946
================= ================== ====================
NET ASSET VALUE PER SHARE $ 16.77 $ 24.89 $ 11.92
================= ================== ====================
(a) Including securities on loan of: $ 16,565 $ 20,174 $ 19,255
(b) Premiums from options written - - -
(c) Foreign currency cost 21 - -
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Premier Equity II Small Cap Growth
Growth Fund Fund Growth Fund Fund
-------------- ----------------- ---------------- ---------------
INVESTMENT INCOME
Dividends $ 113 $ 167 $ 22 $ 1,576
Interest 10 16 25 51
Foreign taxes withheld (1) - - (25)
Securities lending 1 - 14 31
-------------- ----------------- ---------------- ---------------
TOTAL INVESTMENT INCOME 123 183 61 1,633
-------------- ----------------- ---------------- ---------------
EXPENSES
Administrative fees 18 17 23 201
Advisory fees 175 156 236 1,935
Trustees fees - - - 3
Interest expense - - - -
Legal fees - - 1 5
Distribution (12b-1) fee 14 7 9 151
12b-1 service fee (Class A) 3 2 4 22
-------------- ----------------- ---------------- ---------------
TOTAL EXPENSES 210 182 273 2,317
-------------- ----------------- ---------------- ---------------
-------------- ----------------- ---------------- ---------------
Fees paid indirectly (14) (7) (9) (151)
-------------- ----------------- ---------------- ---------------
NET EXPENSES 196 175 264 2,166
-------------- ----------------- ---------------- ---------------
-------------- ----------------- ---------------- ---------------
NET INVESTMENT INCOME (LOSS) (73) 8 (203) (533)
-------------- ----------------- ---------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 557 (415) (403) 21,391
Foreign currency related items - - - -
Futures contracts and options written (1) 125 111 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 4,253 3,945 7,948 39,835
Foreign currency related items - - - -
Futures contracts and options written - 33 15 -
Investment securities sold short - - - -
-------------- ----------------- ---------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 4,809 3,688 7,671 61,226
-------------- ----------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 4,736 $ 3,696 $ 7,468 $ 60,693
============== ================= ================ ===============
JNL/Curian
JNL/Alliance Enhanced JNL/Curian JNL/Curian
Capital Growth S&P 500 Stock S&P 400 MidCap S&P 500 Index
Fund Index Fund Index Fund Fund
-------------- ----------------- ---------------- --------------
INVESTMENT INCOME
Dividends $ 1,010 $ 959 $ 428 $ 1,738
Interest 17 14 32 72
Foreign taxes withheld (10) - - -
Securities lending 6 1 3 4
-------------- ----------------- ---------------- --------------
TOTAL INVESTMENT INCOME 1,023 974 463 1,814
-------------- ----------------- ---------------- --------------
EXPENSES
Administrative fees 104 56 37 100
Advisory fees 794 421 177 481
Trustees fees 2 1 - 1
Interest expense - - - -
Legal fees 2 1 1 2
Distribution (12b-1) fee 28 8 3 3
12b-1 service fee (Class A) 11 8 7 17
-------------- ----------------- ---------------- --------------
TOTAL EXPENSES 941 495 225 604
-------------- ----------------- ---------------- --------------
-------------- ----------------- ---------------- --------------
Fees paid indirectly (28) (8) (3) (3)
-------------- ----------------- ---------------- --------------
NET EXPENSES 913 487 222 601
-------------- ----------------- ---------------- --------------
-------------- ----------------- ---------------- --------------
NET INVESTMENT INCOME (LOSS) 110 487 241 1,213
-------------- ----------------- ---------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (5,581) 3,413 18 (161)
Foreign currency related items - - - -
Futures contracts and options written - 206 836 1,480
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 28,034 11,269 11,704 25,439
Foreign currency related items - - - -
Futures contracts and options written - 86 6 116
Investment securities sold short - - - -
-------------- ----------------- ---------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 22,453 14,974 12,564 26,874
-------------- ----------------- ---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 22,563 $ 15,461 $ 12,805 $ 28,087
============== ================= ================ ==============
JNL/Curian JNL/Eagle
Small Cap Core Equity
Index Fund Fund
--------------- --------------
INVESTMENT INCOME
Dividends $ 485 $ 3,089
Interest 43 212
Foreign taxes withheld - (16)
Securities lending 17 9
--------------- --------------
TOTAL INVESTMENT INCOME 545 3,294
--------------- --------------
EXPENSES
Administrative fees 40 183
Advisory fees 194 1,561
Trustees fees - 3
Interest expense - -
Legal fees 1 5
Distribution (12b-1) fee 5 73
12b-1 service fee (Class A) 7 22
--------------- --------------
TOTAL EXPENSES 247 1,847
--------------- --------------
--------------- --------------
Fees paid indirectly (5) (73)
--------------- --------------
NET EXPENSES 242 1,774
--------------- --------------
--------------- --------------
NET INVESTMENT INCOME (LOSS) 303 1,520
--------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 701 2,033
Foreign currency related items - -
Futures contracts and options written 1,614 -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 13,829 38,762
Foreign currency related items - -
Futures contracts and options written 82 -
Investment securities sold short - -
--------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 16,226 40,795
--------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 16,529 $ 42,315
=============== ==============
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Eagle JNL/Janus JNL/Janus JNL/Janus
SmallCap Aggressive Balanced Capital
Equity Fund Growth Fund Fund Growth Fund
--------------- --------------- ----------------- ----------------
INVESTMENT INCOME
Dividends $ 218 $ 1,715 $ 640 $ 697
Interest 39 73 1,811 64
Foreign taxes withheld - (50) (13) (2)
Securities lending 21 32 29 23
--------------- --------------- ----------------- ----------------
TOTAL INVESTMENT INCOME 278 1,770 2,467 782
--------------- --------------- ----------------- ----------------
EXPENSES
Administrative fees 90 235 91 145
Advisory fees 848 2,163 860 1,360
Trustees fees 2 4 2 2
Interest expense - - - -
Legal fees 2 6 2 4
Distribution (12b-1) fee 38 91 11 29
12b-1 service fee (Class A) 10 23 10 14
--------------- --------------- ----------------- ----------------
TOTAL EXPENSES 990 2,522 976 1,554
--------------- --------------- ----------------- ----------------
--------------- --------------- ----------------- ----------------
Fees paid indirectly (38) (91) (11) (29)
--------------- --------------- ----------------- ----------------
NET EXPENSES 952 2,431 965 1,525
--------------- --------------- ----------------- ----------------
--------------- --------------- ----------------- ----------------
NET INVESTMENT INCOME (LOSS) (674) (661) 1,502 (743)
--------------- --------------- ----------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (1,796) 3,046 (342) 443
Foreign currency related items - (951) (1) -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 33,573 68,639 11,100 44,287
Foreign currency related items - 706 - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
--------------- --------------- ----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 31,777 71,440 10,757 44,730
--------------- --------------- ----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 31,103 $ 70,779 $ 12,259 $ 43,987
=============== =============== ================= ================
JNL/Janus JNL/Janus JNL/JPMorgan JNL/Lazard
Global Equities Growth & International Mid Cap
Fund Income Fund Value Fund Value Fund
------------------ ---------------- ---------------- --------------
INVESTMENT INCOME
Dividends $ 3,762 $ 191 $ 210 $ 1,423
Interest 59 34 17 42
Foreign taxes withheld (338) (2) (26) -
Securities lending 85 1 4 7
------------------ ---------------- ---------------- --------------
TOTAL INVESTMENT INCOME 3,568 224 205 1,472
------------------ ---------------- ---------------- --------------
EXPENSES
Administrative fees 276 15 16 99
Advisory fees 1,908 137 104 956
Trustees fees 3 - - 2
Interest expense - - - -
Legal fees 5 - - 2
Distribution (12b-1) fee 86 3 - 91
12b-1 service fee (Class A) 18 2 3 13
------------------ ---------------- ---------------- --------------
TOTAL EXPENSES 2,296 157 123 1,163
------------------ ---------------- ---------------- --------------
------------------ ---------------- ---------------- --------------
Fees paid indirectly (86) (3) - (91)
------------------ ---------------- ---------------- --------------
NET EXPENSES 2,210 154 123 1,072
------------------ ---------------- ---------------- --------------
------------------ ---------------- ---------------- --------------
NET INVESTMENT INCOME (LOSS) 1,358 70 82 400
------------------ ---------------- ---------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (17,821) (787) 1,098 5,696
Foreign currency related items (2,706) (27) 192 -
Futures contracts and options written - - 185 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 58,340 3,982 2,905 20,555
Foreign currency related items 2,057 (11) 180 -
Futures contracts and options written - - 119 -
Investment securities sold short - - - -
------------------ ---------------- ---------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 39,870 3,157 4,679 26,251
------------------ ---------------- ---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 41,228 $ 3,227 $ 4,761 $ 26,651
================== ================ ================ ==============
JNL/Mellon
Capital
JNL/Lazard Management
Small Cap Bond Index
Value Fund Fund
---------------- ----------------
INVESTMENT INCOME
Dividends $ 1,225 $ -
Interest 52 2,100
Foreign taxes withheld (2) -
Securities lending 27 18
---------------- ----------------
TOTAL INVESTMENT INCOME 1,302 2,118
---------------- ----------------
EXPENSES
Administrative fees 100 54
Advisory fees 1,009 264
Trustees fees 2 1
Interest expense - -
Legal fees 3 1
Distribution (12b-1) fee 74 -
12b-1 service fee (Class A) 14 8
---------------- ----------------
TOTAL EXPENSES 1,202 328
---------------- ----------------
---------------- ----------------
Fees paid indirectly (74) -
---------------- ----------------
NET EXPENSES 1,128 328
---------------- ----------------
---------------- ----------------
NET INVESTMENT INCOME (LOSS) 174 1,790
---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 2,297 420
Foreign currency related items - -
Futures contracts and options written - (30)
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 32,326 (647)
Foreign currency related items - -
Futures contracts and options written - 17
Investment securities sold short - -
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 34,623 (240)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 34,797 $ 1,550
================ ================
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Mellon
Capital JNL/ JNL/
Management Oppenheimer Oppenheimer JNL/PIMCO
International Global Growth Total Return
Index Fund Growth Fund Fund Bond Fund
----------------- --------------- ---------------- -------------
INVESTMENT INCOME
Dividends $ 1,189 $ 1,143 $ 102 $ -
Interest 33 39 20 7,562
Foreign taxes withheld (119) (98) - -
Securities lending 27 23 2 54
----------------- --------------- ---------------- -------------
TOTAL INVESTMENT INCOME 1,130 1,107 124 7,616
----------------- --------------- ---------------- -------------
EXPENSES
Administrative fees 75 102 24 270
Advisory fees 243 603 214 1,860
Trustees fees 1 1 - 4
Interest expense - - - -
Legal fees 1 2 1 7
Distribution (12b-1) fee - - - -
12b-1 service fee (Class A) 9 9 3 29
----------------- --------------- ---------------- -------------
TOTAL EXPENSES 329 717 242 2,170
----------------- --------------- ---------------- -------------
----------------- --------------- ---------------- -------------
Fees paid indirectly - - - -
----------------- --------------- ---------------- -------------
NET EXPENSES 329 717 242 2,170
----------------- --------------- ---------------- -------------
----------------- --------------- ---------------- -------------
NET INVESTMENT INCOME (LOSS) 801 390 (118) 5,446
----------------- --------------- ---------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (64) (1,086) (447) 1,389
Foreign currency related items 399 (224) - 167
Futures contracts and options written 478 - - 3,030
Investment securities sold short - - - (778)
Net change in unrealized appreciation
(depreciation) on:
Investments 18,275 26,836 4,371 2,052
Foreign currency related items 88 77 - 331
Futures contracts and options written 173 - - 211
Investment securities sold short - - - (50)
----------------- --------------- ---------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 19,349 25,603 3,924 6,352
----------------- --------------- ---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 20,150 $ 25,993 $ 3,806 $ 11,798
================= =============== ================ =============
JNL/PPM JNL/PPM JNL/PPM
America America America JNL/PPM
Balanced High Yield Money America
Fund Bond Fund Market Fund Value Fund
--------------- --------------- ------------- --------------
INVESTMENT INCOME
Dividends $ 3,999 $ - $ - $ 765
Interest 4,014 17,184 2,285 4
Foreign taxes withheld - - - -
Securities lending 60 130 - 1
--------------- --------------- ------------- --------------
TOTAL INVESTMENT INCOME 8,073 17,314 2,285 770
--------------- --------------- ------------- --------------
EXPENSES
Administrative fees 245 209 197 29
Advisory fees 1,691 1,449 1,139 212
Trustees fees 4 4 3 -
Interest expense - - - -
Legal fees 6 5 5 1
Distribution (12b-1) fee 15 - - 8
12b-1 service fee (Class A) 28 24 17 5
--------------- --------------- ------------- --------------
TOTAL EXPENSES 1,989 1,691 1,361 255
--------------- --------------- ------------- --------------
--------------- --------------- ------------- --------------
Fees paid indirectly (15) - - (8)
--------------- --------------- ------------- --------------
NET EXPENSES 1,974 1,691 1,361 247
--------------- --------------- ------------- --------------
--------------- --------------- ------------- --------------
NET INVESTMENT INCOME (LOSS) 6,099 15,623 924 523
--------------- --------------- ------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 5,162 87 - 871
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 38,651 19,401 - 8,332
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
--------------- --------------- ------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 43,813 19,488 - 9,203
--------------- --------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 49,912 $ 35,111 $ 924 $ 9,726
=============== =============== ============= ==============
JNL/Putnam JNL/Putnam
Equity International
Fund Equity Fund
---------------- ---------------
INVESTMENT INCOME
Dividends $ 2,232 $ 2,206
Interest 10 16
Foreign taxes withheld (9) (258)
Securities lending 8 40
---------------- ---------------
TOTAL INVESTMENT INCOME 2,241 2,004
---------------- ---------------
EXPENSES
Administrative fees 154 119
Advisory fees 1,371 895
Trustees fees 3 2
Interest expense - -
Legal fees 4 2
Distribution (12b-1) fee 105 24
12b-1 service fee (Class A) 15 9
---------------- ---------------
TOTAL EXPENSES 1,652 1,051
---------------- ---------------
---------------- ---------------
Fees paid indirectly (105) (24)
---------------- ---------------
NET EXPENSES 1,547 1,027
---------------- ---------------
---------------- ---------------
NET INVESTMENT INCOME (LOSS) 694 977
---------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 1,011 (6,824)
Foreign currency related items 4 319
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 35,302 27,809
Foreign currency related items - 67
Futures contracts and options written - -
Investment securities sold short - -
---------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 36,317 21,371
---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 37,011 $ 22,348
================ ===============
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P
Midcap Value Aggressive Aggressive
Growth Fund Equity Fund Growth Fund Growth Fund I
----------------- ----------------- ---------------- ------------------
INVESTMENT INCOME
Dividends $ 112 $ 5,705 $ 64 $ 1,420
Interest 7 79 - -
Foreign taxes withheld - (14) - -
Securities lending 3 9 - -
----------------- ----------------- ---------------- ------------------
TOTAL INVESTMENT INCOME 122 5,779 64 1,420
----------------- ----------------- ---------------- ------------------
EXPENSES
Administrative fees 23 269 6 61
Advisory fees 214 2,335 17 182
Trustees fees - 5 - 2
Interest expense - - - -
Legal fees - 7 - 3
Distribution (12b-1) fee 12 131 - -
12b-1 service fee (Class A) 3 28 - -
----------------- ----------------- ---------------- ------------------
TOTAL EXPENSES 252 2,775 23 248
----------------- ----------------- ---------------- ------------------
----------------- ----------------- ---------------- ------------------
Fees paid indirectly (12) (131) - -
----------------- ----------------- ---------------- ------------------
NET EXPENSES 240 2,644 23 248
----------------- ----------------- ---------------- ------------------
----------------- ----------------- ---------------- ------------------
NET INVESTMENT INCOME (LOSS) (118) 3,135 41 1,172
----------------- ----------------- ---------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - 11 243
Investments 49 (13,318) (1,613) (1,249)
Foreign currency related items - 1 - -
Futures contracts and options written 4 - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 6,535 70,396 4,482 29,976
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ----------------- ---------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 6,588 57,079 2,880 28,970
----------------- ----------------- ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 6,470 $ 60,214 $ 2,921 $ 30,142
================= ================= ================ ==================
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Aggressive Conservative Conservative Conservative
Growth Fund II Growth Fund Growth Fund I Growth Fund II
------------------ --------------- ---------------- ---------------
INVESTMENT INCOME
Dividends $ 40 $ 215 $ 5,965 $ 293
Interest - - - -
Foreign taxes withheld - - - -
Securities lending - - - -
------------------ --------------- ---------------- ---------------
TOTAL INVESTMENT INCOME 40 215 5,965 293
------------------ --------------- ---------------- ---------------
EXPENSES
Administrative fees 2 7 149 7
Advisory fees 6 22 448 20
Trustees fees - - 5 -
Interest expense - - - -
Legal fees - - 7 -
Distribution (12b-1) fee - - - -
12b-1 service fee (Class A) - - - -
------------------ --------------- ---------------- ---------------
TOTAL EXPENSES 8 29 609 27
------------------ --------------- ---------------- ---------------
------------------ --------------- ---------------- ---------------
Fees paid indirectly - - - -
------------------ --------------- ---------------- ---------------
NET EXPENSES 8 29 609 27
------------------ --------------- ---------------- ---------------
------------------ --------------- ---------------- ---------------
NET INVESTMENT INCOME (LOSS) 32 186 5,356 266
------------------ --------------- ---------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies 5 44 1,653 46
Investments (450) (775) (823) (438)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,279 3,119 45,400 2,596
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ --------------- ---------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 834 2,388 46,230 2,204
------------------ --------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 866 $ 2,574 $ 51,586 $ 2,470
================== =============== ================ ===============
JNL/S&P JNL/S&P
Core Index 100 Core Index 50
Fund Fund
--------------- ------------
INVESTMENT INCOME
Dividends $ 261 $ 33
Interest - -
Foreign taxes withheld - -
Securities lending - -
--------------- ------------
TOTAL INVESTMENT INCOME 261 33
--------------- ------------
EXPENSES
Administrative fees 12 2
Advisory fees 35 6
Trustees fees - -
Interest expense - -
Legal fees 1 -
Distribution (12b-1) fee - -
12b-1 service fee (Class A) - -
--------------- ------------
TOTAL EXPENSES 48 8
--------------- ------------
--------------- ------------
Fees paid indirectly - -
--------------- ------------
NET EXPENSES 48 8
--------------- ------------
--------------- ------------
NET INVESTMENT INCOME (LOSS) 213 25
--------------- ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies 118 11
Investments (122) (98)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 5,077 1,243
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
--------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 5,073 1,156
--------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 5,286 $ 1,181
=============== ============
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P
Core Index 75 Aggressive Aggressive Equity
Fund Growth Fund I Growth Fund II Growth Fund I
------------------ ---------------- ---------------- ----------------
INVESTMENT INCOME
Dividends $ 61 $ 114 $ 4 $ 475
Interest - - - -
Foreign taxes withheld - - - -
Securities lending - - - -
------------------ ---------------- ---------------- ----------------
TOTAL INVESTMENT INCOME 61 114 4 475
------------------ ---------------- ---------------- ----------------
EXPENSES
Administrative fees 3 19 1 62
Advisory fees 10 58 2 187
Trustees fees - 1 - 2
Interest expense - - - -
Legal fees - 1 - 3
Distribution (12b-1) fee - - - -
12b-1 service fee (Class A) - - - -
------------------ ---------------- ---------------- ----------------
TOTAL EXPENSES 13 79 3 254
------------------ ---------------- ---------------- ----------------
------------------ ---------------- ---------------- ----------------
Fees paid indirectly - - - -
------------------ ---------------- ---------------- ----------------
NET EXPENSES 13 79 3 254
------------------ ---------------- ---------------- ----------------
------------------ ---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS) 48 35 1 221
------------------ ---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies 27 23 - 70
Investments (102) (821) (281) (3,503)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,666 11,363 621 36,661
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ ---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 1,591 10,565 340 33,228
------------------ ---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 1,639 $ 10,600 $ 341 $ 33,449
================== ================ ================ ================
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Equity Moderate Moderate Moderate
Growth Fund II Growth Fund Growth Fund I Growth Fund II
------------------ ------------------ ---------------- --------------
INVESTMENT INCOME
Dividends $ 20 $ 310 $ 6,916 $ 306
Interest - - - -
Foreign taxes withheld - - - -
Securities lending - - - -
------------------ ------------------ ---------------- --------------
TOTAL INVESTMENT INCOME 20 310 6,916 306
------------------ ------------------ ---------------- --------------
EXPENSES
Administrative fees 3 13 216 9
Advisory fees 8 39 641 26
Trustees fees - - 7 -
Interest expense - - - -
Legal fees - 1 11 -
Distribution (12b-1) fee - - - -
12b-1 service fee (Class A) - - -
------------------ ------------------ ---------------- --------------
TOTAL EXPENSES 11 53 875 35
------------------ ------------------ ---------------- --------------
------------------ ------------------ ---------------- --------------
Fees paid indirectly - - - -
------------------ ------------------ ---------------- --------------
NET EXPENSES 11 53 875 35
------------------ ------------------ ---------------- --------------
------------------ ------------------ ---------------- --------------
NET INVESTMENT INCOME (LOSS) 9 257 6,041 271
------------------ ------------------ ---------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies 2 66 1,941 47
Investments (478) (1,524) (2,635) (1,023)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,809 7,117 84,087 4,258
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ ------------------ ---------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 1,333 5,659 83,393 3,282
------------------ ------------------ ---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 1,342 $ 5,916 $ 89,434 $ 3,553
================== ================== ================ ==============
JNL/S&P Very JNL/S&P Very
Aggressive Aggressive
Growth Fund I Growth Fund II
---------------- --------------
INVESTMENT INCOME
Dividends $ 110 $ 4
Interest - -
Foreign taxes withheld - -
Securities lending - -
---------------- --------------
TOTAL INVESTMENT INCOME 110 4
---------------- --------------
EXPENSES
Administrative fees 23 1
Advisory fees 70 3
Trustees fees - -
Interest expense - -
Legal fees 1 -
Distribution (12b-1) fee - -
12b-1 service fee (Class A) - -
---------------- --------------
TOTAL EXPENSES 94 4
---------------- --------------
---------------- --------------
Fees paid indirectly - -
---------------- --------------
NET EXPENSES 94 4
---------------- --------------
---------------- --------------
NET INVESTMENT INCOME (LOSS) 16 -
---------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies 37 1
Investments (1,736) (205)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 14,557 701
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
---------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 12,858 497
---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 12,874 $ 497
================ ==============
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Salomon
JNL/Salomon JNL/Salomon JNL/Salomon Brothers
Brothers Brothers Brothers U.S. Government
Balanced Global Bond High Yield & Quality
Fund Fund Bond Fund Bond Fund
----------------- ---------------- ----------------- -----------------
INVESTMENT INCOME
Dividends $ 178 $ 57 $ 23 $ -
Interest 242 9,435 1,822 11,748
Foreign taxes withheld (2) - - -
Securities lending 3 67 12 129
----------------- ---------------- ----------------- -----------------
TOTAL INVESTMENT INCOME 421 9,559 1,857 11,877
----------------- ---------------- ----------------- -----------------
EXPENSES
Administrative fees 17 160 20 294
Advisory fees 131 1,334 157 1,960
Trustees fees - 3 - 5
Interest expense - - - -
Legal fees - 4 - 8
Distribution (12b-1) fee - - - -
12b-1 service fee (Class A) 2 18 2 24
----------------- ---------------- ----------------- -----------------
TOTAL EXPENSES 150 1,519 179 2,291
----------------- ---------------- ----------------- -----------------
----------------- ---------------- ----------------- -----------------
Fees paid indirectly - - - -
----------------- ---------------- ----------------- -----------------
NET EXPENSES 150 1,519 179 2,291
----------------- ---------------- ----------------- -----------------
----------------- ---------------- ----------------- -----------------
NET INVESTMENT INCOME (LOSS) 271 8,040 1,678 9,586
----------------- ---------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 236 5,683 282 1,988
Foreign currency related items - 65 - -
Futures contracts and options written - (196) - (891)
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,116 6,751 2,578 (6,247)
Foreign currency related items - (585) - -
Futures contracts and options written - (134) - (1,305)
Investment securities sold short - - - -
----------------- ---------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 2,352 11,584 2,860 (6,455)
----------------- ---------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 2,623 $ 19,624 $ 4,538 $ 3,131
================= ================ ================= =================
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
Established Mid-Cap Value
Growth Fund Growth Fund Fund
----------------- ---------------- ---------------
INVESTMENT INCOME
Dividends $ 3,837 $ 1,094 $ 5,576
Interest 123 165 110
Foreign taxes withheld (48) (12) (30)
Securities lending 20 14 37
----------------- ---------------- ---------------
TOTAL INVESTMENT INCOME 3,932 1,261 5,693
----------------- ---------------- ---------------
EXPENSES
Administrative fees 369 293 277
Advisory fees 2,981 2,679 2,448
Trustees fees 6 5 5
Interest expense - - -
Legal fees 9 7 7
Distribution (12b-1) fee 76 43 60
12b-1 service fee (Class A) 43 34 36
----------------- ---------------- ---------------
TOTAL EXPENSES 3,484 3,061 2,833
----------------- ---------------- ---------------
----------------- ---------------- ---------------
Fees paid indirectly (76) (43) (60)
----------------- ---------------- ---------------
NET EXPENSES 3,408 3,018 2,773
----------------- ---------------- ---------------
----------------- ---------------- ---------------
NET INVESTMENT INCOME (LOSS) 524 (1,757) 2,920
----------------- ---------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (9,452) 16,865 806
Foreign currency related items (130) (7) (12)
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 109,404 80,745 76,421
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
----------------- ---------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 99,822 97,603 77,215
----------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 100,346 $ 95,846 $ 80,135
================= ================ ===============
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Premier Equity II Small Cap Growth
OPERATIONS Growth Fund Fund Growth Fund Fund
----------------- ---------------- ----------------- -----------------
Net investment income (loss) $ (73) $ 8 $ (203) $ (533)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 557 (415) (403) 21,391
Foreign currency related items - - - -
Futures contracts and options written (1) 125 111 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 4,253 3,945 7,948 39,835
Foreign currency related items - - - -
Futures contracts and options written - 33 15 -
Investment securities sold short - - - -
----------------- ---------------- ----------------- -----------------
----------------- ---------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 4,736 3,696 7,468 60,693
----------------- ---------------- ----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - - - -
From net realized gains on
investment transactions - - - -
----------------- ---------------- ----------------- -----------------
----------------- ---------------- ----------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - -
----------------- ---------------- ----------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 36,498 12,313 37,760 63,061
Reinvestment of distributions - - - -
Cost of shares redeemed (11,670) (4,879) (14,203) (54,526)
----------------- ---------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 24,828 7,434 23,557 8,535
----------------- ---------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 29,564 11,130 31,025 69,228
NET ASSETS BEGINNING OF PERIOD 6,857 12,647 12,915 175,439
----------------- ---------------- ----------------- -----------------
NET ASSETS END OF PERIOD $ 36,421 $ 23,777 $ 43,940 $ 244,667
================= ================ ================= =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ 8 $ - $ -
================= ================ ================= =================
(1)SHARE TRANSACTIONS
Shares sold 3,870 1,430 3,751 4,871
Reinvestment of distributions - - - -
Shares redeemed (1,277) (577) (1,519) (4,374)
----------------- ---------------- ----------------- -----------------
Net increase (decrease) 2,593 853 2,232 497
================= ================ ================= =================
JNL/Curian
JNL/Alliance Enhanced JNL/Curian JNL/Curian
Capital Growth S&P 500 Stock S&P 400 MidCap S&P 500 Index
OPERATIONS Fund Index Fund Index Fund Fund
------------------ ------------------ ----------------- ----------------
Net investment income (loss) $ 110 $ 487 $ 241 $ 1,213
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (5,581) 3,413 18 (161)
Foreign currency related items - - - -
Futures contracts and options written - 206 836 1,480
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 28,034 11,269 11,704 25,439
Foreign currency related items - - - -
Futures contracts and options written - 86 6 116
Investment securities sold short - - - -
------------------ ------------------ ----------------- ----------------
------------------ ------------------ ----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 22,563 15,461 12,805 28,087
------------------ ------------------ ----------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (236) (230) (1,511)
From net realized gains on
investment transactions - - - (588)
------------------ ------------------ ----------------- ----------------
------------------ ------------------ ----------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (236) (230) (2,099)
------------------ ------------------ ----------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 60,050 57,742 63,260 144,444
Reinvestment of distributions - 236 230 2,099
Cost of shares redeemed (40,986) (26,206) (7,716) (28,969)
------------------ ------------------ ----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 19,064 31,772 55,774 117,574
------------------ ------------------ ----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 41,627 46,997 68,349 143,562
NET ASSETS BEGINNING OF PERIOD 86,891 42,071 12,728 46,776
------------------ ------------------ ----------------- ----------------
NET ASSETS END OF PERIOD $ 128,518 $ 89,068 $ 81,077 $ 190,338
================== ================== ================= ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 110 $ 486 $ 12 $ 5
================== ================== ================= ================
(1)SHARE TRANSACTIONS
Shares sold 6,822 8,328 6,347 16,481
Reinvestment of distributions - 30 20 218
Shares redeemed (4,753) (3,957) (788) (3,351)
------------------ ------------------ ----------------- ----------------
Net increase (decrease) 2,069 4,401 5,579 13,348
================== ================== ================= ================
JNL/Curian JNL/Eagle
Small Cap Core Equity
OPERATIONS Index Fund Fund
----------------- ------------
Net investment income (loss) $ 303 $ 1,520
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 701 2,033
Foreign currency related items - -
Futures contracts and options written 1,614 -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 13,829 38,762
Foreign currency related items - -
Futures contracts and options written 82 -
Investment securities sold short - -
----------------- ------------
----------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 16,529 42,315
----------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (269) (1,494)
From net realized gains on
investment transactions (498) -
----------------- ------------
----------------- ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (767) (1,494)
----------------- ------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 62,400 95,642
Reinvestment of distributions 767 1,494
Cost of shares redeemed (22,826) (41,286)
----------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 40,341 55,850
----------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS 56,103 96,671
NET ASSETS BEGINNING OF PERIOD 20,027 149,242
----------------- ------------
NET ASSETS END OF PERIOD $ 76,130 $ 245,913
================= ============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 27 $ 61
================= ============
(1)SHARE TRANSACTIONS
Shares sold 6,319 7,545
Reinvestment of distributions 68 107
Shares redeemed (2,263) (3,336)
----------------- ------------
Net increase (decrease) 4,124 4,316
================= ============
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Eagle JNL/Janus JNL/Janus JNL/Janus
SmallCap Aggressive Balanced Capital
OPERATIONS Equity Fund Growth Fund Fund Growth Fund
------------------- ----------------- ---------------- ----------------
Net investment income (loss) $ (674) $ (661) $ 1,502 $ (743)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (1,796) 3,046 (342) 443
Foreign currency related items - (951) (1) -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 33,573 68,639 11,100 44,287
Foreign currency related items - 706 - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------- ----------------- ---------------- ----------------
------------------- ----------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 31,103 70,779 12,259 43,987
------------------- ----------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - - (1,480) -
From net realized gains on
investment transactions - - - -
------------------- ----------------- ---------------- ----------------
------------------- ----------------- ---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (1,480) -
------------------- ----------------- ---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 39,769 150,530 50,666 54,295
Reinvestment of distributions - - 1,480 -
Cost of shares redeemed (37,098) (179,341) (24,254) (75,938)
------------------- ----------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 2,671 (28,811) 27,892 (21,643)
------------------- ----------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 33,774 41,968 38,671 22,344
NET ASSETS BEGINNING OF PERIOD 76,198 215,884 75,591 135,669
------------------- ----------------- ---------------- ----------------
NET ASSETS END OF PERIOD $ 109,972 $ 257,852 $ 114,262 $ 158,013
=================== ================= ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ - $ 50 $ -
=================== ================= ================ ================
(1)SHARE TRANSACTIONS
Shares sold 2,814 10,677 5,812 5,213
Reinvestment of distributions - - 162 -
Shares redeemed (2,621) (12,638) (2,792) (7,180)
------------------- ----------------- ---------------- ----------------
Net increase (decrease) 193 (1,961) 3,182 (1,967)
=================== ================= ================ ================
JNL/Janus JNL/Janus JNL/JPMorgan JNL/Lazard
Global Equities Growth & International Mid Cap
OPERATIONS Fund Income Fund Value Fund Value Fund
------------------- ----------------- ---------------- -------------
Net investment income (loss) $ 1,358 $ 70 $ 82 $ 400
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (17,821) (787) 1,098 5,696
Foreign currency related items (2,706) (27) 192 -
Futures contracts and options written - - 185 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 58,340 3,982 2,905 20,555
Foreign currency related items 2,057 (11) 180 -
Futures contracts and options written - - 119 -
Investment securities sold short - - - -
------------------- ----------------- ---------------- -------------
------------------- ----------------- ---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 41,228 3,227 4,761 26,651
------------------- ----------------- ---------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (75) (346) (266)
From net realized gains on
investment transactions - - - -
----------------- ---------------- -------------
------------------- ----------------- ---------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (75) (346) (266)
------------------- ----------------- ---------------- -------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 122,022 4,520 42,706 83,646
Reinvestment of distributions - 75 346 266
Cost of shares redeemed (172,032) (6,067) (23,500) (44,389)
------------------- ----------------- ---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (50,010) (1,472) 19,552 39,523
------------------- ----------------- ---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS (8,782) 1,680 23,967 65,908
NET ASSETS BEGINNING OF PERIOD 206,070 13,840 5,642 76,890
------------------- ----------------- ---------------- -------------
NET ASSETS END OF PERIOD $ 197,288 $ 15,520 $ 29,609 $ 142,798
=================== ================= ================ =============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (16) $ 56 $ (30) $ 119
=================== ================= ================ =============
(1)SHARE TRANSACTIONS
Shares sold 8,741 744 6,603 7,350
Reinvestment of distributions - 11 47 20
Shares redeemed (12,071) (990) (3,793) (4,029)
------------------- ----------------- ---------------- -------------
Net increase (decrease) (3,330) (235) 2,857 3,341
=================== ================= ================ =============
JNL/Mellon
Capital
JNL/Lazard Management
Small Cap Bond Index
OPERATIONS Value Fund Fund
--------------- ---------------
Net investment income (loss) $ 174 $ 1,790
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 2,297 420
Foreign currency related items - -
Futures contracts and options written - (30)
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 32,326 (647)
Foreign currency related items - -
Futures contracts and options written - 17
Investment securities sold short - -
--------------- ---------------
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 34,797 1,550
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (1,412)
From net realized gains on
investment transactions - (925)
--------------- ---------------
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,337)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 89,529 61,738
Reinvestment of distributions - 2,337
Cost of shares redeemed (43,694) (14,027)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 45,835 50,048
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 80,632 49,261
NET ASSETS BEGINNING OF PERIOD 74,559 34,286
--------------- ---------------
NET ASSETS END OF PERIOD $ 155,191 $ 83,547
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 144 $ 327
=============== ===============
(1)SHARE TRANSACTIONS
Shares sold 8,192 5,803
Reinvestment of distributions - 222
Shares redeemed (4,225) (1,320)
--------------- ---------------
Net increase (decrease) 3,967 4,705
=============== ===============
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Mellon
Capital JNL/ JNL/
Management Oppenheimer Oppenheimer JNL/PIMCO
International Global Growth Total Return
OPERATIONS Index Fund Growth Fund Fund Bond Fund
----------------- ---------------- --------------- --------------
Net investment income (loss) 801 390 (118) 5,446
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (64) (1,086) (447) 1,389
Foreign currency related items 399 (224) - 167
Futures contracts and options written 478 - - 3,030
Investment securities sold short - - - (778)
Net change in unrealized appreciation
(depreciation) on:
Investments 18,275 26,836 4,371 2,052
Foreign currency related items 88 77 - 331
Futures contracts and options written 173 - - 211
Investment securities sold short - - - (50)
----------------- ---------------- --------------- --------------
----------------- ---------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 20,150 25,993 3,806 11,798
----------------- ---------------- --------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,094) - - (4,512)
From net realized gains on
investment transactions - - - (5,677)
----------------- ---------------- --------------- --------------
----------------- ---------------- --------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,094) - - (10,189)
----------------- ---------------- --------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 59,966 105,186 22,341 217,280
Reinvestment of distributions 1,094 - - 10,189
Cost of shares redeemed (9,508) (77,076) (11,000) (123,139)
----------------- ---------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 51,552 28,110 11,341 104,330
----------------- ---------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 70,608 54,103 15,147 105,939
NET ASSETS BEGINNING OF PERIOD 26,518 50,522 17,846 211,362
----------------- ---------------- --------------- --------------
NET ASSETS END OF PERIOD $ 97,126 $ 104,625 $ 32,993 $ 317,301
================= ================ =============== ==============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 115 $ 260 $ - $ 5,796
================= ================ =============== ==============
(1)SHARE TRANSACTIONS
Shares sold 6,248 13,324 2,913 18,220
Reinvestment of distributions 98 - - 865
Shares redeemed (1,008) (10,002) (1,468) (10,317)
----------------- ---------------- --------------- --------------
Net increase (decrease) 5,338 3,322 1,445 8,768
================= ================ =============== ==============
JNL/PPM JNL/PPM
JNL/PPM America America JNL/PPM
America High Yield Money America
OPERATIONS Balanced Fund Bond Fund Market Fund Value Fund
--------------- --------------- ---------------- --------------
Net investment income (loss) 6,099 15,623 924 523
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 5,162 87 - 871
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 38,651 19,401 - 8,332
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
--------------- --------------- ---------------- --------------
--------------- --------------- ---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 49,912 35,111 924 9,726
--------------- --------------- ---------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (5,687) (15,485) (924) (96)
From net realized gains on
investment transactions (2,244) - - (207)
--------------- --------------- ---------------- --------------
--------------- --------------- ---------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,931) (15,485) (924) (303)
--------------- --------------- ---------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 91,878 140,642 591,660 34,874
Reinvestment of distributions 7,931 15,485 924 303
Cost of shares redeemed (54,911) (70,666) (622,664) (8,072)
--------------- --------------- ---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 44,898 85,461 (30,080) 27,105
--------------- --------------- ---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 86,879 105,087 (30,080) 36,528
NET ASSETS BEGINNING OF PERIOD 217,013 161,094 214,520 18,004
--------------- --------------- ---------------- --------------
NET ASSETS END OF PERIOD $ 303,892 $ 266,181 $ 184,440 $ 54,532
=============== =============== ================ ==============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 376 $ 184 $ - $ 523
=============== =============== ================ ==============
(1)SHARE TRANSACTIONS
Shares sold 6,381 16,425 591,660 2,693
Reinvestment of distributions 517 1,786 924 21
Shares redeemed (3,878) (8,294) (622,664) (645)
--------------- --------------- ---------------- --------------
Net increase (decrease) 3,020 9,917 (30,080) 2,069
=============== =============== ================ ==============
JNL/Putnam JNL/Putnam
Equity International
OPERATIONS Fund Equity Fund
--------------- --------------
Net investment income (loss) 694 977
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 1,011 (6,824)
Foreign currency related items 4 319
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 35,302 27,809
Foreign currency related items - 67
Futures contracts and options written - -
Investment securities sold short - -
--------------- --------------
--------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 37,011 22,348
--------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (486) (1,395)
From net realized gains on
investment transactions - -
--------------- --------------
--------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (486) (1,395)
--------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 49,306 137,550
Reinvestment of distributions 486 1,395
Cost of shares redeemed (74,693) (141,359)
--------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (24,901) (2,414)
--------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 11,624 18,539
NET ASSETS BEGINNING OF PERIOD 153,303 78,272
--------------- --------------
NET ASSETS END OF PERIOD $ 164,927 $ 96,811
=============== ==============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 695 $ (13)
=============== ==============
(1)SHARE TRANSACTIONS
Shares sold 3,591 17,928
Reinvestment of distributions 30 150
Shares redeemed (5,406) (18,310)
--------------- --------------
Net increase (decrease) (1,785) (232)
=============== ==============
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P
Midcap Value Aggressive Aggressive
OPERATIONS Growth Fund Equity Fund Growth Fund Growth Fund I
---------------- ------------- ------------- --------------
Net investment income (loss) (118) 3,135 41 1,172
Net realized gain (loss) on:
Distributions from investment companies - - 11 243
Investments 49 (13,318) (1,613) (1,249)
Foreign currency related items - 1 - -
Futures contracts and options written 4 - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 6,535 70,396 4,482 29,976
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
---------------- ------------- ------------- --------------
---------------- ------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 6,470 60,214 2,921 30,142
---------------- ------------- ------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (3,298) (32) (1,956)
From net realized gains on
investment transactions - - - -
---------------- ------------- ------------- --------------
---------------- ------------- ------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (3,298) (32) (1,956)
---------------- ------------- ------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 23,901 66,850 1,334 59,755
Reinvestment of distributions - 3,298 32 1,956
Cost of shares redeemed (20,109) (73,432) (3,522) (22,991)
---------------- ------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 3,792 (3,284) (2,156) 38,720
---------------- ------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 10,262 53,632 733 66,906
NET ASSETS BEGINNING OF PERIOD 18,647 256,100 11,720 97,110
---------------- ------------- ------------- --------------
NET ASSETS END OF PERIOD $ 28,909 $ 309,732 $ 12,453 $ 164,016
================ ============= ============= ==============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ - $ 41 $ 11
================ ============= ============= ==============
(1)SHARE TRANSACTIONS
Shares sold 4,195 4,659 212 6,325
Reinvestment of distributions - 210 4 189
Shares redeemed (3,601) (5,230) (579) (2,495)
---------------- ------------- ------------- --------------
Net increase (decrease) 594 (361) (363) 4,019
================ ============= ============= ==============
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Aggressive Conservative Conservative Conservative
OPERATIONS Growth Fund II Growth Fund Growth Fund I Growth Fund II
---------------- -------------- -------------- ---------------
Net investment income (loss) 32 186 5,356 266
Net realized gain (loss) on:
Distributions from investment companies 5 44 1,653 46
Investments (450) (775) (823) (438)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,279 3,119 45,400 2,596
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
---------------- -------------- -------------- ---------------
---------------- -------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 866 2,574 51,586 2,470
---------------- -------------- -------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (35) (158) (8,874) (259)
From net realized gains on
investment transactions - - - -
---------------- -------------- -------------- ---------------
---------------- -------------- -------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (35) (158) (8,874) (259)
---------------- -------------- -------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 660 2,114 185,638 3,259
Reinvestment of distributions 35 158 8,874 259
Cost of shares redeemed (1,607) (3,166) (62,735) (4,306)
---------------- -------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (912) (894) 131,777 (788)
---------------- -------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS (81) 1,522 174,489 1,423
NET ASSETS BEGINNING OF PERIOD 3,973 14,157 227,833 12,596
---------------- -------------- -------------- ---------------
NET ASSETS END OF PERIOD $ 3,892 $ 15,679 $ 402,322 $ 14,019
================ ============== ============== ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 32 $ 186 $ 75 $ 265
================ ============== ============== ===============
(1)SHARE TRANSACTIONS
Shares sold 82 260 18,230 381
Reinvestment of distributions 4 18 824 28
Shares redeemed (210) (397) (6,190) (506)
---------------- -------------- -------------- ---------------
Net increase (decrease) (124) (119) 12,864 (97)
================ ============== ============== ===============
JNL/S&P JNL/S&P
Core Index 100 Core Index 50
Fund Fund
OPERATIONS --------------- -------------
213 25
Net investment income (loss)
Net realized gain (loss) on: 118 11
Distributions from investment companies (122) (98)
Investments - -
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short
Net change in unrealized appreciation
(depreciation) on: 5,077 1,243
Investments - -
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short --------------- -------------
--------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS 5,286 1,181
FROM OPERATIONS --------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS (116) (3)
From net investment income
From net realized gains on (54) -
investment transactions --------------- -------------
--------------- -------------
(170) (3)
TOTAL DISTRIBUTIONS TO SHAREHOLDERS --------------- -------------
SHARE TRANSACTIONS(1) 21,978 5,239
Proceeds from the sale of shares 170 3
Reinvestment of distributions (5,056) (760)
Cost of shares redeemed --------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM 17,092 4,482
SHARE TRANSACTIONS --------------- -------------
22,208 5,660
NET INCREASE (DECREASE) IN NET ASSETS
14,213 1,969
NET ASSETS BEGINNING OF PERIOD --------------- -------------
$ 36,421 $ 7,629
NET ASSETS END OF PERIOD =============== =============
UNDISTRIBUTED (ACCUMULATED) NET $ 213 $ 25
INVESTMENT INCOME (LOSS) =============== =============
(1)SHARE TRANSACTIONS
Shares sold 2,336 583
Reinvestment of distributions 16 -
Shares redeemed (533) (90)
--------------- -------------
Net increase (decrease) 1,819 493
=============== =============
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P
Core Index 75 Aggressive Aggressive Equity
Fund Growth Fund I Growth Fund II Growth Fund I
OPERATIONS --------------- -------------- --------------- ---------------
48 35 1 221
Net investment income (loss)
Net realized gain (loss) on: 27 23 - 70
Distributions from investment companies (102) (821) (281) (3,503)
Investments - - - -
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short
Net change in unrealized appreciation
(depreciation) on: 1,666 11,363 621 36,661
Investments - - - -
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short --------------- -------------- --------------- ---------------
--------------- -------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 1,639 10,600 341 33,449
FROM OPERATIONS --------------- -------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS (26) (2) (1) (20)
From net investment income
From net realized gains on (14) - - -
investment transactions --------------- -------------- --------------- ---------------
--------------- -------------- --------------- ---------------
(40) (2) (1) (20)
TOTAL DISTRIBUTIONS TO SHAREHOLDERS --------------- -------------- --------------- ---------------
SHARE TRANSACTIONS(1) 6,042 16,939 289 63,227
Proceeds from the sale of shares 40 2 1 20
Reinvestment of distributions (2,124) (7,567) (580) (26,188)
Cost of shares redeemed --------------- -------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM 3,958 9,374 (290) 37,059
SHARE TRANSACTIONS --------------- -------------- --------------- ---------------
5,557 19,972 50 70,488
NET INCREASE (DECREASE) IN NET ASSETS
4,460 31,372 1,510 105,130
NET ASSETS BEGINNING OF PERIOD --------------- -------------- --------------- ---------------
$ 10,017 $ 51,344 $ 1,560 $ 175,618
NET ASSETS END OF PERIOD =============== ============== =============== ===============
UNDISTRIBUTED (ACCUMULATED) NET $ 49 $ 35 $ 1 $ 220
INVESTMENT INCOME (LOSS) =============== ============== =============== ===============
(1)SHARE TRANSACTIONS
Shares sold 654 2,047 36 7,379
Reinvestment of distributions 4 - - 2
Shares redeemed (235) (939) (78) (3,285)
--------------- -------------- --------------- ---------------
Net increase (decrease) 423 1,108 (42) 4,096
=============== ============== =============== ===============
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Equity Moderate Moderate Moderate
Growth Fund II Growth Fund Growth Fund I Growth Fund II
OPERATIONS ---------------- --------------- ---------------- ----------------
9 257 6,041 271
Net investment income (loss)
Net realized gain (loss) on: 2 66 1,941 47
Distributions from investment companies (478) (1,524) (2,635) (1,023)
Investments - - - -
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short
Net change in unrealized appreciation
(depreciation) on: 1,809 7,117 84,087 4,258
Investments - - - -
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short ---------------- --------------- ---------------- ----------------
---------------- --------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 1,342 5,916 89,434 3,553
FROM OPERATIONS ---------------- --------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS (8) (189) (9,969) (243)
From net investment income
From net realized gains on - - - -
investment transactions ---------------- --------------- ---------------- ----------------
---------------- --------------- ---------------- ----------------
(8) (189) (9,969) (243)
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ---------------- --------------- ---------------- ----------------
SHARE TRANSACTIONS(1) 1,094 3,589 280,481 3,947
Proceeds from the sale of shares 8 189 9,969 243
Reinvestment of distributions (1,444) (6,209) (91,571) (4,641)
Cost of shares redeemed ---------------- --------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM (342) (2,431) 198,879 (451)
SHARE TRANSACTIONS ---------------- --------------- ---------------- ----------------
992 3,296 278,344 2,859
NET INCREASE (DECREASE) IN NET ASSETS
5,447 25,504 331,543 16,473
NET ASSETS BEGINNING OF PERIOD ---------------- --------------- ---------------- ----------------
$ 6,439 $ 28,800 $ 609,887 $ 19,332
NET ASSETS END OF PERIOD ================ =============== ================ ================
UNDISTRIBUTED (ACCUMULATED) NET $ 9 $ 257 $ 84 $ 271
INVESTMENT INCOME (LOSS) ================ =============== ================ ================
(1)SHARE TRANSACTIONS
Shares sold 143 494 27,588 455
Reinvestment of distributions - 23 915 26
Shares redeemed (201) (885) (9,227) (554)
---------------- --------------- ---------------- ----------------
Net increase (decrease) (58) (368) 19,276 (73)
================ =============== ================ ================
JNL/S&P Very JNL/S&P Very
Aggressive Aggressive
Growth Fund I Growth Fund II
OPERATIONS ----------------- -----------------
16 -
Net investment income (loss)
Net realized gain (loss) on: 37 1
Distributions from investment companies (1,736) (205)
Investments - -
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short
Net change in unrealized appreciation
(depreciation) on: 14,557 701
Investments - -
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short ----------------- -----------------
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 12,874 497
FROM OPERATIONS ----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS - -
From net investment income
From net realized gains on - -
investment transactions ----------------- -----------------
----------------- -----------------
- -
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ----------------- -----------------
SHARE TRANSACTIONS(1) 15,980 170
Proceeds from the sale of shares - -
Reinvestment of distributions (10,789) (446)
Cost of shares redeemed ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM 5,191 (276)
SHARE TRANSACTIONS ----------------- -----------------
18,065 221
NET INCREASE (DECREASE) IN NET ASSETS
42,128 1,898
NET ASSETS BEGINNING OF PERIOD ----------------- -----------------
$ 60,193 $ 2,119
NET ASSETS END OF PERIOD ================= =================
UNDISTRIBUTED (ACCUMULATED) NET $ 16 $ -
INVESTMENT INCOME (LOSS) ================= =================
(1)SHARE TRANSACTIONS
Shares sold 1,814 21
Reinvestment of distributions - -
Shares redeemed (1,296) (56)
----------------- -----------------
Net increase (decrease) 518 (35)
================= =================
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Salomon
JNL/Salomon JNL/Salomon JNL/Salomon Brothers
Brothers Brothers Brothers U.S. Government
Balanced Global Bond High Yield & Quality
OPERATIONS Fund Fund Bond Fund Bond Fund
----------------- ----------------- ---------------- -----------------
Net investment income (loss) 271 8,040 1,678 9,586
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 236 5,683 282 1,988
Foreign currency related items - 65 - -
Futures contracts and options written - (196) - (891)
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,116 6,751 2,578 (6,247)
Foreign currency related items - (585) - -
Futures contracts and options written - (134) - (1,305)
Investment securities sold short - - - -
----------------- ----------------- ---------------- -----------------
----------------- ----------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,623 19,624 4,538 3,131
----------------- ----------------- ---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (359) (8,348) (1,671) (8,985)
From net realized gains on
investment transactions - (2,473) - (3,071)
----------------- ----------------- ---------------- -----------------
----------------- ----------------- ---------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (359) (10,821) (1,671) (12,056)
----------------- ----------------- ---------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 5,071 103,967 14,252 116,258
Reinvestment of distributions 359 10,821 1,671 12,056
Cost of shares redeemed (4,507) (51,549) (16,405) (166,380)
----------------- ----------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 923 63,239 (482) (38,066)
----------------- ----------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 3,187 72,042 2,385 (46,991)
NET ASSETS BEGINNING OF PERIOD 15,453 125,881 17,079 304,265
----------------- ----------------- ---------------- -----------------
NET ASSETS END OF PERIOD $ 18,640 $ 197,923 $ 19,464 $ 257,274
================= ================= ================ =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 274 $ (85) $ 27 $ 603
================= ================= ================ =================
(1)SHARE TRANSACTIONS
Shares sold 494 9,069 1,863 9,701
Reinvestment of distributions 34 949 209 1,046
Shares redeemed (445) (4,502) (2,095) (13,912)
----------------- ----------------- ---------------- -----------------
Net increase (decrease) 83 5,516 (23) (3,165)
================= ================= ================ =================
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
Established Mid-Cap Value
OPERATIONS Growth Fund Growth Fund Fund
--------------- ------------ ---------------
Net investment income (loss) 524 (1,757) 2,920
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (9,452) 16,865 806
Foreign currency related items (130) (7) (12)
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 109,404 80,745 76,421
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
--------------- ------------ ---------------
--------------- ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 100,346 95,846 80,135
--------------- ------------ ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (118) - (2,064)
From net realized gains on
investment transactions - (1,870) -
--------------- ------------ ---------------
--------------- ------------ ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (118) (1,870) (2,064)
--------------- ------------ ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 151,073 186,200 176,771
Reinvestment of distributions 118 1,870 2,064
Cost of shares redeemed (93,740) (150,832) (72,542)
--------------- ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 57,451 37,238 106,293
--------------- ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS 157,679 131,214 184,364
NET ASSETS BEGINNING OF PERIOD 316,367 248,327 220,106
--------------- ------------ ---------------
NET ASSETS END OF PERIOD $ 474,046 $ 379,541 $ 404,470
=============== ============ ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 368 $ (6) $ 2,909
=============== ============ ===============
(1)SHARE TRANSACTIONS
Shares sold 10,368 9,080 17,188
Reinvestment of distributions 7 77 178
Shares redeemed (6,729) (7,666) (7,283)
--------------- ------------ ---------------
Net increase (decrease) 3,646 1,491 10,083
=============== ============ ===============
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED DECEMBER 31, 2002
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Premier Equity II Small Cap Growth
OPERATIONS Growth Fund Fund Growth Fund Fund
-------------------- ------------------- ----------------------- -------------------
Net investment income (loss) $ (27) $ (53) $ (109) $ (616)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (1,780) (2,475) (2,006) (87,623)
Foreign currency related items (3) - - -
Futures contracts and options written - (43) 18 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (557) (2,527) (2,207) (14,976)
Foreign currency related items - - - -
Futures contracts and options written - (11) - -
Investment securities sold short - - - -
-------------------- ------------------- ----------------------- -------------------
-------------------- ------------------- ----------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (2,367) (5,109) (4,304) (103,215)
-------------------- ------------------- ----------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - - - -
From net realized gains on
investment transactions (13) (48) (1) -
-------------------- ------------------- ----------------------- -------------------
-------------------- ------------------- ----------------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (13) (48) (1) -
-------------------- ------------------- ----------------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 12,961 23,625 38,031 41,477
Reinvestment of distributions 13 48 1 -
Cost of shares redeemed (9,795) (19,970) (28,477) (103,985)
-------------------- ------------------- ----------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 3,179 3,703 9,555 (62,508)
-------------------- ------------------- ----------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 799 (1,454) 5,250 (165,723)
NET ASSETS BEGINNING OF PERIOD 6,058 14,101 7,665 341,162
-------------------- ------------------- ----------------------- -------------------
NET ASSETS END OF PERIOD $ 6,857 $ 12,647 $ 12,915 $ 175,439
==================== =================== ======================= ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ - $ - $ -
==================== =================== ======================= ===================
(1)SHARE TRANSACTIONS
Shares sold 1,428 2,537 3,932 3,116
Reinvestment of distributions 2 6 - -
Shares redeemed (1,142) (2,217) (3,061) (7,924)
-------------------- ------------------- ----------------------- -------------------
Net increase (decrease) 288 326 871 (4,808)
- --------------------------------------------- ==================== =================== ======================= ===================
JNL/Alliance JNL/Eagle JNL/Eagle JNL/Janus
Capital Growth Core Equity SmallCap Aggressive
OPERATIONS Fund Fund Equity Fund Growth Fund
--------------------- -------------------- --------------------- --------------------
Net investment income (loss) $ (110) $ 1,243 $ (514) $ (561)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (30,265) (25,946) (13,677) (139,117)
Foreign currency related items - - - (270)
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (11,902) (12,912) (17,086) 22,621
Foreign currency related items - - - (899)
Futures contracts and options written - - - -
Investment securities sold short - - - -
--------------------- -------------------- --------------------- --------------------
--------------------- -------------------- --------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (42,277) (37,615) (31,277) (118,226)
--------------------- -------------------- --------------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (1,248) - -
From net realized gains on
investment transactions - - - -
--------------------- -------------------- --------------------- --------------------
--------------------- -------------------- --------------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (1,248) - -
--------------------- -------------------- --------------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 125,218 72,061 79,005 416,638
Reinvestment of distributions - 1,248 - -
Cost of shares redeemed (136,561) (60,017) (84,497) (519,474)
--------------------- -------------------- --------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (11,343) 13,292 (5,492) (102,836)
--------------------- -------------------- --------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS (53,620) (25,571) (36,769) (221,062)
NET ASSETS BEGINNING OF PERIOD 140,511 174,813 112,967 436,946
--------------------- -------------------- --------------------- --------------------
NET ASSETS END OF PERIOD $ 86,891 $ 149,242 $ 76,198 $ 215,884
===================== ==================== ===================== ====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ 39 $ - $ 173
===================== ==================== ===================== ====================
(1)SHARE TRANSACTIONS
Shares sold 13,255 5,600 5,794 27,211
Reinvestment of distributions - 109 - -
Shares redeemed (14,516) (4,706) (6,712) (34,198)
--------------------- -------------------- --------------------- --------------------
Net increase (decrease) (1,261) 1,003 (918) (6,987)
- ---------------------------------------------===================== ==================== ===================== ====================
JNL/Janus JNL/Janus
Balanced Capital
OPERATIONS Fund Growth Fund
---------------------- -------------------
Net investment income (loss) $ 1,741 $ (952)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments (6,500) (92,551)
Foreign currency related items 1 -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,199) 22,172
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
---------------------- -------------------
---------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (5,957) (71,331)
---------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,740) -
From net realized gains on
investment transactions - -
---------------------- -------------------
---------------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,740) -
---------------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 42,983 152,380
Reinvestment of distributions 1,740 -
Cost of shares redeemed (33,716) (206,106)
---------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 11,007 (53,726)
---------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 3,310 (125,057)
NET ASSETS BEGINNING OF PERIOD 72,281 260,726
---------------------- -------------------
NET ASSETS END OF PERIOD $ 75,591 $ 135,669
====================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 20 $ -
====================== ===================
(1)SHARE TRANSACTIONS
Shares sold 4,853 13,362
Reinvestment of distributions 211 -
Shares redeemed (3,905) (18,349)
---------------------- -------------------
Net increase (decrease) 1,159 (4,987)
- ---------------------------------------------====================== ===================
(a) Period from January 15, 2002 (commencement of operations).
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED DECEMBER 31, 2002
JNL/Curian
JNL/Janus JNL/Janus Enhanced JNL/JPMorgan
Global Equities Growth & S&P 500 Stock International
OPERATIONS Fund Income Fund Index Fund Value Fund
------------------- ----------------- ---------------- ------------------
Net investment income (loss) $ 1,325 $ 88 $ 236 $ 65
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (79,115) (2,675) (5,274) (1,675)
Foreign currency related items (1,088) - - 97
Futures contracts and options written - - (131) (391)
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (10,380) (1,665) (4,073) 583
Foreign currency related items (3,352) (12) - (17)
Futures contracts and options written - - (22) (23)
Investment securities sold short - - - -
------------------- ----------------- ---------------- ------------------
------------------- ----------------- ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (92,610) (4,264) (9,264) (1,361)
------------------- ----------------- ---------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,992) - (15) (127)
From net realized gains on
investment transactions - - - -
------------------- ----------------- ---------------- ------------------
------------------- ----------------- ---------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,992) - (15) (127)
------------------- ----------------- ---------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 471,991 14,473 37,672 61,382
Reinvestment of distributions 1,992 - 15 127
Cost of shares redeemed (563,107) (16,715) (17,752) (61,683)
------------------- ----------------- ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (89,124) (2,242) 19,935 (174)
------------------- ----------------- ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS (183,726) (6,506) 10,656 (1,662)
NET ASSETS BEGINNING OF PERIOD 389,796 20,346 31,415 7,304
------------------- ----------------- ---------------- ------------------
NET ASSETS END OF PERIOD $ 206,070 $ 13,840 $ 42,071 $ 5,642
=================== ================= ================ ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 358 $ 88 $ 236 $ 42
=================== ================= ================ ==================
(1)SHARE TRANSACTIONS
Shares sold 27,980 2,255 5,496 9,102
Reinvestment of distributions 142 - 2 23
Shares redeemed (33,480) (2,621) (2,493) (9,053)
------------------- ----------------- ---------------- ------------------
Net increase (decrease) (5,358) (366) 3,005 72
- ---------------------------------------------=================== ================= ================ ==================
JNL/Mellon JNL/Mellon
Capital Capital
JNL/Lazard JNL/Lazard Management Management
Mid Cap Small Cap Bond Index International
OPERATIONS Value Fund Value Fund Fund (a) Index Fund (a)
-------------------- ------------------ ------------------- -----------------
Net investment income (loss) $ 249 $ (21) $ 1,129 $ 440
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (6,532) (5,040) 284 (1,619)
Foreign currency related items - - - 175
Futures contracts and options written - - (58) -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (4,083) (10,153) 1,270 (3,640)
Foreign currency related items - - - 10
Futures contracts and options written - - (13) -
Investment securities sold short - - - -
-------------------- ------------------ ------------------- -----------------
-------------------- ------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (10,366) (15,214) 2,612 (4,634)
-------------------- ------------------ ------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (240) - (1,117) (606)
From net realized gains on
investment transactions (163) (289) (66) -
-------------------- ------------------ ------------------- -----------------
-------------------- ------------------ ------------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (403) (289) (1,183) (606)
-------------------- ------------------ ------------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 109,674 120,099 49,888 46,300
Reinvestment of distributions 403 289 1,183 606
Cost of shares redeemed (49,304) (65,490) (18,214) (15,148)
-------------------- ------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 60,773 54,898 32,857 31,758
-------------------- ------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 50,004 39,395 34,286 26,518
NET ASSETS BEGINNING OF PERIOD 26,886 35,164 - -
-------------------- ------------------ ------------------- -----------------
NET ASSETS END OF PERIOD $ 76,890 $ 74,559 $ 34,286 $ 26,518
==================== ================== =================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 5 $ 17 $ 12 $ 9
==================== ================== =================== =================
(1)SHARE TRANSACTIONS
Shares sold 9,806 11,142 4,890 4,778
Reinvestment of distributions 39 31 113 72
Shares redeemed (4,579) (6,328) (1,732) (1,709)
-------------------- ------------------ ------------------- -----------------
Net increase (decrease) 5,266 4,845 3,271 3,141
- ---------------------------------------------==================== ================== =================== =================
JNL/Curian JNL/Curian
S&P 400 MidCap S&P 500 Index
OPERATIONS Index Fund (a) Fund (a)
------------------------ -------------------
Net investment income (loss) $ 83 $ 304
Net realized gain (loss) on:
Distributions from investment companies - -
Investments (1,034) (211)
Foreign currency related items - -
Futures contracts and options written (259) (305)
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,177) (5,955)
Foreign currency related items - -
Futures contracts and options written (8) (92)
Investment securities sold short - -
------------------------ -------------------
------------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (2,395) (6,259)
------------------------ -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (82) -
From net realized gains on
investment transactions - -
------------------------ -------------------
------------------------ -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (82) -
------------------------ -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 27,193 65,486
Reinvestment of distributions 82 -
Cost of shares redeemed (12,070) (12,451)
------------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 15,205 53,035
------------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS 12,728 46,776
NET ASSETS BEGINNING OF PERIOD - -
------------------------ -------------------
NET ASSETS END OF PERIOD $ 12,728 $ 46,776
======================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1 $ 304
======================== ===================
(1)SHARE TRANSACTIONS
Shares sold 2,856 7,473
Reinvestment of distributions 9 -
Shares redeemed (1,376) (1,468)
------------------------ -------------------
Net increase (decrease) 1,489 6,005
- ---------------------------------------------======================== ===================
(a) Period from January 15, 2002 (commencement of operations).
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED DECEMBER 31, 2002
JNL/ JNL/
JNL/Curian Oppenheimer Oppenheimer JNL/PIMCO
Small Cap Global Growth Total Return
OPERATIONS Index Fund (a) Growth Fund Fund Bond Fund
---------------------- --------------------- ------------------ ---------------------
Net investment income (loss) $ 204 $ 227 $ (74) $ 4,516
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (1,098) (6,274) (3,254) 2,666
Foreign currency related items - (166) - (620)
Futures contracts and options written (542) - - 3,578
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (3,426) (6,973) (1,111) 1,720
Foreign currency related items - (93) - (345)
Futures contracts and options written (13) - - 823
Investment securities sold short - - - -
---------------------- --------------------- ------------------ ---------------------
---------------------- --------------------- ------------------ ---------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (4,875) (13,279) (4,439) 12,338
---------------------- --------------------- ------------------ ---------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (203) - - (36)
From net realized gains on
investment transactions - - - (16)
---------------------- --------------------- ------------------ ---------------------
---------------------- --------------------- ------------------ ---------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (203) - - (52)
---------------------- --------------------- ------------------ ---------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 34,410 191,463 25,437 208,026
Reinvestment of distributions 203 - - 52
Cost of shares redeemed (9,508) (187,503) (16,709) (63,853)
---------------------- --------------------- ------------------ ---------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 25,105 3,960 8,728 144,225
---------------------- --------------------- ------------------ ---------------------
NET INCREASE (DECREASE) IN NET ASSETS 20,027 (9,319) 4,289 156,511
NET ASSETS BEGINNING OF PERIOD - 59,841 13,557 54,851
---------------------- --------------------- ------------------ ---------------------
NET ASSETS END OF PERIOD $ 20,027 $ 50,522 $ 17,846 $ 211,362
====================== ===================== ================== =====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1 $ 94 $ - $ 4,543
====================== ===================== ================== =====================
(1)SHARE TRANSACTIONS
Shares sold 3,651 23,066 3,240 18,825
Reinvestment of distributions 26 - - 4
Shares redeemed (1,155) (22,504) (2,141) (5,759)
---------------------- --------------------- ------------------ ---------------------
Net increase (decrease) 2,522 562 1,099 13,070
- ---------------------------------------------====================== ===================== ================== =====================
JNL/PPM JNL/PPM
JNL/PPM America America JNL/PPM
America High Yield Money America
OPERATIONS Balanced Fund Bond Fund Market Fund Value Fund (b)
---------------------- --------------------- ------------------- -------------------
Net investment income (loss) $ 6,672 $ 12,634 $ 2,441 $ 96
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 1,058 (13,057) - 207
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (14,059) 3,129 - 1,214
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
---------------------- --------------------- ------------------- -------------------
---------------------- --------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (6,329) 2,706 2,441 1,517
---------------------- --------------------- ------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (6,609) (12,768) (2,441) -
From net realized gains on
investment transactions (2,701) - - -
---------------------- --------------------- ------------------- -------------------
---------------------- --------------------- ------------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,310) (12,768) (2,441) -
---------------------- --------------------- ------------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 79,472 63,980 1,460,895 17,737
Reinvestment of distributions 9,310 12,768 2,441 -
Cost of shares redeemed (68,326) (66,373) (1,491,334) (1,250)
---------------------- --------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 20,456 10,375 (27,998) 16,487
---------------------- --------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 4,817 313 (27,998) 18,004
NET ASSETS BEGINNING OF PERIOD 212,196 160,781 242,518 -
---------------------- --------------------- ------------------- -------------------
NET ASSETS END OF PERIOD $ 217,013 $ 161,094 $ 214,520 $ 18,004
====================== ===================== =================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ 46 $ - $ 96
====================== ===================== =================== ===================
(1)SHARE TRANSACTIONS
Shares sold 5,623 7,741 1,460,895 1,759
Reinvestment of distributions 709 1,639 2,441 -
Shares redeemed (4,973) (8,084) (1,491,334) (118)
---------------------- --------------------- ------------------- -------------------
Net increase (decrease) 1,359 1,296 (27,998) 1,641
- ---------------------------------------------====================== ===================== =================== ===================
JNL/Putnam JNL/Putnam
Equity International
OPERATIONS Fund Equity Fund
-------------------- ---------------------
Net investment income (loss) $ 485 $ 772
Net realized gain (loss) on:
Distributions from investment companies - -
Investments (44,143) (15,693)
Foreign currency related items - 85
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments (18,627) (1,985)
Foreign currency related items - 14
Futures contracts and options written - -
Investment securities sold short - -
-------------------- ---------------------
-------------------- ---------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (62,285) (16,807)
-------------------- ---------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (828)
From net realized gains on
investment transactions - -
-------------------- ---------------------
-------------------- ---------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (828)
-------------------- ---------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 180,932 417,457
Reinvestment of distributions - 828
Cost of shares redeemed (247,393) (426,350)
-------------------- ---------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (66,461) (8,065)
-------------------- ---------------------
NET INCREASE (DECREASE) IN NET ASSETS (128,746) (25,700)
NET ASSETS BEGINNING OF PERIOD 282,049 103,972
-------------------- ---------------------
NET ASSETS END OF PERIOD $ 153,303 $ 78,272
==================== =====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 485 $ 86
==================== =====================
(1)SHARE TRANSACTIONS
Shares sold 12,231 48,742
Reinvestment of distributions - 110
Shares redeemed (16,889) (49,309)
-------------------- ---------------------
Net increase (decrease) (4,658) (457)
- ---------------------------------------------==================== =====================
(a) Period from January 15, 2002 (commencement of operations).
(b) Period from September 30, 2002 (commencement of operations).
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED DECEMBER 31, 2002
JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P
Midcap Value Aggressive Aggressive
OPERATIONS Growth Fund Equity Fund Growth Fund Growth Fund I
------------------- -------------------- ---------------------- --------------------
Net investment income (loss) $ (156) $ 3,136 $ 32 $ 795
Net realized gain (loss) on:
Distributions from investment companies - - 3 78
Investments (6,055) (44,166) (2,977) (12,276)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (3,441) (26,138) (1,178) (10,299)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------- -------------------- ---------------------- --------------------
------------------- -------------------- ---------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (9,652) (67,168) (4,120) (21,702)
------------------- -------------------- ---------------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (3,129) (77) (1,155)
From net realized gains on
investment transactions - - - -
------------------- -------------------- ---------------------- --------------------
------------------- -------------------- ---------------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (3,129) (77) (1,155)
------------------- -------------------- ---------------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 55,471 81,235 1,163 40,686
Reinvestment of distributions - 3,129 77 1,155
Cost of shares redeemed (56,713) (105,213) (3,710) (29,393)
------------------- -------------------- ---------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,242) (20,849) (2,470) 12,448
------------------- -------------------- ---------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS (10,894) (91,146) (6,667) (10,409)
NET ASSETS BEGINNING OF PERIOD 29,541 347,246 18,387 107,519
------------------- -------------------- ---------------------- --------------------
NET ASSETS END OF PERIOD $ 18,647 $ 256,100 $ 11,720 $ 97,110
=================== ==================== ====================== ====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ 36 $ 32 $ 795
=================== ==================== ====================== ====================
(1)SHARE TRANSACTIONS
Shares sold 9,262 5,706 175 4,282
Reinvestment of distributions - 241 13 137
Shares redeemed (9,701) (7,384) (586) (3,204)
------------------- -------------------- ---------------------- --------------------
Net increase (decrease) (439) (1,437) (398) 1,215
- ---------------------------------------------=================== ==================== ====================== ====================
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Aggressive Conservative Conservative Conservative
OPERATIONS Growth Fund II Growth Fund Growth Fund I Growth Fund II
--------------------- -------------------- ------------------- -------------------
Net investment income (loss) $ 35 $ 158 $ 3,593 $ 258
Net realized gain (loss) on:
Distributions from investment companies 2 - 315 2
Investments (1,106) (944) (8,243) (1,177)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (127) (1,229) (14,009) (972)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
--------------------- -------------------- ------------------- -------------------
--------------------- -------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (1,196) (2,015) (18,344) (1,889)
--------------------- -------------------- ------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (60) (221) (3,919) (276)
From net realized gains on
investment transactions - - - -
--------------------- -------------------- ------------------- -------------------
--------------------- -------------------- ------------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (60) (221) (3,919) (276)
--------------------- -------------------- ------------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 900 3,437 115,395 5,456
Reinvestment of distributions 60 221 3,919 276
Cost of shares redeemed (1,709) (2,760) (56,713) (4,173)
--------------------- -------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (749) 898 62,601 1,559
--------------------- -------------------- ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS (2,005) (1,338) 40,338 (606)
NET ASSETS BEGINNING OF PERIOD 5,978 15,495 187,495 13,202
--------------------- -------------------- ------------------- -------------------
NET ASSETS END OF PERIOD $ 3,973 $ 14,157 $ 227,833 $ 12,596
===================== ==================== =================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 35 $ 158 $ 3,593 $ 258
===================== ==================== =================== ===================
(1)SHARE TRANSACTIONS
Shares sold 114 424 11,553 638
Reinvestment of distributions 9 29 414 35
Shares redeemed (217) (352) (5,736) (503)
--------------------- -------------------- ------------------- -------------------
Net increase (decrease) (94) 101 6,231 170
- ---------------------------------------------===================== ==================== =================== ===================
JNL/S&P JNL/S&P
Core Index 100 Core Index 50
OPERATIONS Fund (a) Fund (a)
------------------- ----------------
Net investment income (loss) $ 116 $ 3
Net realized gain (loss) on:
Distributions from investment companies 5 1
Investments (98) (137)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments (821) (260)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
------------------- ----------------
------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (798) (393)
------------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - -
From net realized gains on
investment transactions - -
------------------- ----------------
------------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - -
------------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 19,087 3,586
Reinvestment of distributions - -
Cost of shares redeemed (4,076) (1,224)
------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 15,011 2,362
------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 14,213 1,969
NET ASSETS BEGINNING OF PERIOD - -
------------------- ----------------
NET ASSETS END OF PERIOD $ 14,213 $ 1,969
=================== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 116 $ 3
=================== ================
(1)SHARE TRANSACTIONS
Shares sold 2,071 392
Reinvestment of distributions - -
Shares redeemed (429) (141)
------------------- ----------------
Net increase (decrease) 1,642 251
- ---------------------------------------------=================== ================
(a) Period from January 15, 2002 (commencement of operations).
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED DECEMBER 31, 2002
JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P
Core Index 75 Aggressive Aggressive Equity
OPERATIONS Fund (a) Growth Fund I Growth Fund II Growth Fund I
------------------- ------------------- --------------------- ------------------
Net investment income (loss) $ 27 $ 2 $ 1 $ 19
Net realized gain (loss) on:
Distributions from investment companies 2 24 1 80
Investments (30) (6,269) (614) (25,271)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (354) (3,433) (59) (9,343)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------- ------------------- --------------------- ------------------
------------------- ------------------- --------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (355) (9,676) (671) (34,515)
------------------- ------------------- --------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (26) (2) (130)
From net realized gains on
investment transactions - - (77) -
------------------- ------------------- --------------------- ------------------
------------------- ------------------- --------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (26) (79) (130)
------------------- ------------------- --------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 5,691 10,979 231 39,071
Reinvestment of distributions - 26 79 130
Cost of shares redeemed (876) (10,969) (875) (44,839)
------------------- ------------------- --------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 4,815 36 (565) (5,638)
------------------- ------------------- --------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 4,460 (9,666) (1,315) (40,283)
NET ASSETS BEGINNING OF PERIOD - 41,038 2,825 145,413
------------------- ------------------- --------------------- ------------------
NET ASSETS END OF PERIOD $ 4,460 $ 31,372 $ 1,510 $ 105,130
=================== =================== ===================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 27 $ 2 $ 1 $ 19
=================== =================== ===================== ==================
(1)SHARE TRANSACTIONS
Shares sold 643 1,298 28 4,530
Reinvestment of distributions - 4 11 17
Shares redeemed (102) (1,317) (110) (5,385)
------------------- ------------------- --------------------- ------------------
Net increase (decrease) 541 (15) (71) (838)
- ---------------------------------------------=================== =================== ===================== ==================
JNL/S&P JNL/S&P JNL/S&P JNL/S&P
Equity Moderate Moderate Moderate
OPERATIONS Growth Fund II Growth Fund Growth Fund I Growth Fund II
-------------------- --------------------- ---------------------- ------------------
Net investment income (loss) $ 8 $ 189 $ 4,012 $ 243
Net realized gain (loss) on:
Distributions from investment companies 3 6 463 5
Investments (2,301) (4,427) (15,872) (2,225)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (20) (2,046) (32,917) (1,063)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
-------------------- --------------------- ---------------------- ------------------
-------------------- --------------------- ---------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (2,310) (6,278) (44,314) (3,040)
-------------------- --------------------- ---------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (13) (364) (4,348) (258)
From net realized gains on
investment transactions (195) - - -
-------------------- --------------------- ---------------------- ------------------
-------------------- --------------------- ---------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (208) (364) (4,348) (258)
-------------------- --------------------- ---------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 1,109 6,113 174,552 6,211
Reinvestment of distributions 208 364 4,348 258
Cost of shares redeemed (2,824) (8,648) (97,436) (4,598)
-------------------- --------------------- ---------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,507) (2,171) 81,464 1,871
-------------------- --------------------- ---------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS (4,025) (8,813) 32,802 (1,427)
NET ASSETS BEGINNING OF PERIOD 9,472 34,317 298,741 17,900
-------------------- --------------------- ---------------------- ------------------
NET ASSETS END OF PERIOD $ 5,447 $ 25,504 $ 331,543 $ 16,473
==================== ===================== ====================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 8 $ 189 $ 4,012 $ 243
==================== ===================== ====================== ==================
(1)SHARE TRANSACTIONS
Shares sold 143 823 17,377 716
Reinvestment of distributions 31 55 471 33
Shares redeemed (367) (1,249) (9,946) (546)
-------------------- --------------------- ---------------------- ------------------
Net increase (decrease) (193) (371) 7,902 203
- ---------------------------------------------==================== ===================== ====================== ==================
JNL/S&P Very JNL/S&P Very
Aggressive Aggressive
OPERATIONS Growth Fund I Growth Fund II
--------------------- -----------------
Net investment income (loss) $ (22) $ -
Net realized gain (loss) on:
Distributions from investment companies 32 1
Investments (7,349) (465)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments (6,436) (280)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
--------------------- -----------------
--------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (13,775) (744)
--------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (37) (2)
From net realized gains on
investment transactions - -
--------------------- -----------------
--------------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (37) (2)
--------------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 11,804 303
Reinvestment of distributions 37 2
Cost of shares redeemed (14,259) (820)
--------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (2,418) (515)
--------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS (16,230) (1,261)
NET ASSETS BEGINNING OF PERIOD 58,358 3,159
--------------------- -----------------
NET ASSETS END OF PERIOD $ 42,128 $ 1,898
===================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ -
===================== =================
(1)SHARE TRANSACTIONS
Shares sold 1,328 38
Reinvestment of distributions 5 -
Shares redeemed (1,678) (103)
--------------------- -----------------
Net increase (decrease) (345) (65)
- ---------------------------------------------===================== =================
(a) Period from January 15, 2002 (commencement of operations).
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED DECEMBER 31, 2002
JNL/Salomon
JNL/Salomon JNL/Salomon JNL/Salomon Brothers
Brothers Brothers Brothers U.S. Government
Balanced Global Bond High Yield & Quality
OPERATIONS Fund Fund Bond Fund Bond Fund
-------------------- ------------------- -------------------- --------------------
Net investment income (loss) $ 363 $ 7,263 $ 1,896 $ 10,347
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 215 (266) (939) 3,396
Foreign currency related items - (7) - -
Futures contracts and options written - - - 3,312
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,993) 2,601 80 8,281
Foreign currency related items - 8 - -
Futures contracts and options written - - - 1,133
Investment securities sold short - - - -
-------------------- ------------------- -------------------- --------------------
-------------------- ------------------- -------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (1,415) 9,599 1,037 26,469
-------------------- ------------------- -------------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (7,268) (1,885) (10,373)
From net realized gains on
investment transactions - - - (3,322)
-------------------- ------------------- -------------------- --------------------
-------------------- ------------------- -------------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (7,268) (1,885) (13,695)
-------------------- ------------------- -------------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 6,543 48,804 11,000 166,665
Reinvestment of distributions - 7,268 1,885 13,695
Cost of shares redeemed (7,772) (55,832) (15,178) (115,144)
-------------------- ------------------- -------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,229) 240 (2,293) 65,216
-------------------- ------------------- -------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS (2,644) 2,571 (3,141) 77,990
NET ASSETS BEGINNING OF PERIOD 18,097 123,310 20,220 226,275
-------------------- ------------------- -------------------- --------------------
NET ASSETS END OF PERIOD $ 15,453 $ 125,881 $ 17,079 $ 304,265
==================== =================== ==================== ====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 362 $ 164 $ 20 $ 70
==================== =================== ==================== ====================
(1)SHARE TRANSACTIONS
Shares sold 657 4,555 1,465 14,057
Reinvestment of distributions - 684 270 1,150
Shares redeemed (796) (5,239) (2,013) (9,870)
-------------------- ------------------- -------------------- --------------------
Net increase (decrease) (139) - (278) 5,337
- ---------------------------------------------==================== =================== ==================== ====================
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
Established Mid-Cap Value
OPERATIONS Growth Fund Growth Fund Fund
--------------------- -------------------- ----------------------
Net investment income (loss) $ 229 $ (2,076) $ 2,070
Net realized gain (loss) on:
Distributions from investment companie - - -
Investments (37,805) (4,041) (3,825)
Foreign currency related items (104) - (5)
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (71,901) (74,681) (38,779)
Foreign currency related items 2 - -
Futures contracts and options writte - - -
Investment securities sold short - - -
--------------------- -------------------- ----------------------
--------------------- -------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (109,579) (80,798) (40,539)
--------------------- -------------------- ----------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (379) - (13)
From net realized gains on
investment transactions - - (449)
--------------------- -------------------- ----------------------
--------------------- -------------------- ----------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (379) - (462)
--------------------- -------------------- ----------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 108,096 405,189 133,579
Reinvestment of distributions 379 - 462
Cost of shares redeemed (156,255) (442,092) (89,342)
--------------------- -------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (47,780) (36,903) 44,699
--------------------- -------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS (157,738) (117,701) 3,698
NET ASSETS BEGINNING OF PERIOD 474,105 366,028 216,408
--------------------- -------------------- ----------------------
NET ASSETS END OF PERIOD $ 316,367 $ 248,327 $ 220,106
===================== ==================== ======================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 92 $ - $ 2,065
===================== ==================== ======================
(1)SHARE TRANSACTIONS
Shares sold 7,455 19,747 13,297
Reinvestment of distributions 30 - 50
Shares redeemed (11,115) (21,821) (8,956)
--------------------- -------------------- ----------------------
Net increase (decrease) (3,630) (2,074) 4,391
- --------------------------------------------===================== ==================== ======================
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
12/31/03 $ 8.16 $(0.02) $ 2.47 $ 2.45 $ - $ -
12/31/02 10.97 (0.03) (2.76) (2.79) - (0.02)
10/29(a)-12/31/01 10.00 - 0.97 0.97 - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/AIM PREMIER EQUITY II FUND
12/31/03 7.90 - 1.79 1.79 - -
12/31/02 11.05 (0.03) (3.09) (3.12) - (0.03)
10/29(a)-12/31/01 10.00 - 1.05 1.05 - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
12/31/03 8.43 (0.05) 3.29 3.24 - -
12/31/02 11.60 (0.07) (3.10) (3.17) - -
10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
12/31/03 10.91 (0.03) 3.88 3.85 - -
12/31/02 16.33 (0.04) (5.38) (5.42) - -
12/31/01 18.58 (0.04) (2.18) (2.22) - (0.03)
12/31/00 22.91 (0.01) (3.08) (3.09) - (1.24)
12/31/99 18.95 (0.03) 6.42 6.39 - (2.43)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
12/31/03 7.98 0.01 1.93 1.94 - -
12/31/02 11.57 (0.01) (3.58) (3.59) - -
12/31/01 13.55 - (1.97) (1.97) (0.01) -
12/31/00 16.64 - (2.93) (2.93) - (0.16)
12/31/99 13.28 (0.01) 3.76 3.75 - (0.39)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND
12/31/03 6.16 0.03 1.76 1.79 (0.02) -
12/31/02 8.21 0.04 (2.09) (2.05) - -
12/31/01 9.34 0.03 (1.13) (1.10) (0.03) -
12/31/00 10.58 0.04 (1.24) (1.20) (0.03) (0.01)
05/16(a)-12/31/99 10.00 0.03 0.65 0.68 (0.03) (0.07)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/CURIAN S&P 400 MIDCAP INDEX FUND
12/31/03 8.55 0.03 2.92 2.95 (0.03) -
01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
12/31/03 $ - $ 10.61 30.02 % $ 36,421 140.00% 1.10%
12/31/02 - 8.16 (25.47) 6,857 180.06 1.10
10/29(a)-12/31/01 - 10.97 9.70 6,058 14.935 1.10
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/AIM PREMIER EQUITY II FUND
12/31/03 - 22.66 63.5677 1.05
12/31/02 - (28.23) 90.1447 1.05
10/29(a)-12/31/01 - 110.50 5.8101 1.05
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
12/31/03 - 138.43 30.1740 1.15
12/31/02 - (27.32) 46.2215 1.15
10/29(a)-12/31/01 - 116.00 3.8665 1.15
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
12/31/03 - 135.29 168.097 1.08
12/31/02 - (33.19) 236.639 1.08
12/31/01 - (11.97) 386.802 1.07
12/31/00 - (13.44) 488.347 1.07
12/31/99 - 233.80 122.589 1.07
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
12/31/03 - 24.31 149.698 0.88
12/31/02 - (31.03) 54.1391 0.88
12/31/01 - (14.57) 165.211 0.87
12/31/00 - (17.59) 47.0181 0.87
12/31/99 - 128.23 51.1556 0.88
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND
12/31/03 - 29.09 123.9468 0.87
12/31/02 - (24.94) 63.0871 0.89
12/31/01 - (11.78) 55.9715 0.90
12/31/00 - (11.38) 57.1422 0.90
05/16(a)-12/31/99 - 106.85 34.3941 0.90
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/CURIAN S&P 400 MIDCAP INDEX FUND
12/31/03 - 134.55 18.3477 0.60
01/15(a)-12/31/02 - (13.94) 60.0028 0.60
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
12/31/03 (0.41)% 1.18 % (0.49)%
12/31/02 (0.33) 1.15 (0.38)
10/29(a)-12/31/01 (0.26) 1.32 (0.48)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/AIM PREMIER EQUITY II FUND
12/31/03 0.05 1.09 0.01
12/31/02 (0.38) 1.09 (0.42)
10/29(a)-12/31/01 (0.04) 1.26 (0.25)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
12/31/03 (0.89) 1.19 (0.93)
12/31/02 (0.83) 1.17 (0.85)
10/29(a)-12/31/01 (0.74) 1.24 (0.83)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
12/31/03 (0.27) 1.15 (0.34)
12/31/02 (0.25) n/a n/a
12/31/01 (0.23) n/a n/a
12/31/00 (0.03) n/a n/a
12/31/99 (0.22) n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
12/31/03 0.11 0.91 0.08
12/31/02 (0.10) 0.89 (0.11)
12/31/01 0.05 0.90 0.02
12/31/00 0.01 n/a n/a
12/31/99 (0.07) n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND
12/31/03 0.87 0.89 0.85
12/31/02 0.69 0.90 0.68
12/31/01 0.44 n/a n/a
12/31/00 0.56 n/a n/a
05/16(a)-12/31/99 0.56 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/CURIAN S&P 400 MIDCAP INDEX FUND
12/31/03 0.65 0.61 0.64
01/15(a)-12/31/02 0.60 0.61 0.59
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses
that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/CURIAN S&P 500 INDEX FUND
12/31/03 $ 7.79 $ 0.03 $ 2.13 $ 2.16 $ (0.08) $ (0.03)
01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/CURIAN SMALL CAP INDEX FUND
12/31/03 7.94 0.05 3.59 3.64 (0.04) (0.08)
01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
12/31/03 11.45 0.09 2.72 2.81 (0.09) -
12/31/02 14.53 0.10 (3.08) (2.98) (0.10) -
12/31/01 16.21 0.07 (1.67) (1.60) (0.07) (0.01)
12/31/00 18.47 0.08 (0.08) - (0.09) (2.17)
12/31/99 15.91 0.11 3.63 3.74 (0.11) (1.07)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
12/31/03 12.01 (0.10) 4.90 4.80 - -
12/31/02 15.55 (0.08) (3.46) (3.54) - -
12/31/01 14.20 (0.41) 1.97 1.56 - (0.21)
12/31/00 16.97 (0.04) (2.23) (2.27) - (0.50)
12/31/99 14.82 (0.04) 2.88 2.84 - (0.69)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/JANUS AGGRESSIVE GROWTH FUND
12/31/03 13.03 (0.04) 4.66 4.62 - -
12/31/02 18.55 (0.04) (5.48) (5.52) - -
12/31/01 26.65 - (8.04) (8.04) (0.01) (0.05)
12/31/00 39.97 0.16 (8.45) (8.29) (0.51) (4.52)
12/31/99 22.09 (0.06) 20.87 20.81 - (2.93)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/JANUS BALANCED FUND
12/31/03 8.26 0.12 1.01 1.13 (0.12) -
12/31/02 9.05 0.20 (0.80) (0.60) (0.19) -
12/31/01 9.69 0.21 (0.65) (0.44) (0.20) -
05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/JANUS CAPITAL GROWTH FUND
12/31/03 9.79 (0.06) 3.55 3.49 - -
12/31/02 13.83 (0.07) (3.97) (4.04) - -
12/31/01 23.55 (0.11) (9.35) (9.46) - -
12/31/00 43.62 (0.20) (14.90) (15.10) - -
12/31/99 20.73 (0.13) 25.85 25.72 - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/CURIAN S&P 500 INDEX FUND
12/31/03 $ - $ 9.84 27.79 % $ 190,338 8.90% 0.60%
01/15(a)-12/31/02 - 7.79 (22.10) 46,776 1.89 0.60
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/CURIAN SMALL CAP INDEX FUND
12/31/03 - 11.46 45.88 76,130 38.17 0.60
01/15(a)-12/31/02 - 7.94 (19.79) 20,027 49.44 0.60
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
12/31/03 - 14.17 24.54 245,913 80.50 0.97
12/31/02 - 11.45 (20.53) 149,242 94.37 0.97
12/31/01 - 14.53 (9.83) 174,813 102.56 0.97
12/31/00 - 16.21 0.28 146,888 192.40 0.97
12/31/99 - 18.47 23.55 95,329 124.71 0.99
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
12/31/03 - 16.81 39.97 109,972 70.06 1.05
12/31/02 - 12.01 (22.77) 76,198 71.45 1.05
12/31/01 - 15.55 11.00 112,967 65.36 1.05
12/31/00 - 14.20 (13.25) 77,200 89.43 1.05
12/31/99 - 16.97 19.27 61,504 61.69 1.05
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/JANUS AGGRESSIVE GROWTH FUND
12/31/03 - 17.65 35.46 257,852 78.47 1.04
12/31/02 - 13.03 (29.76) 215,884 117.19 1.02
12/31/01 - 18.55 (30.18) 436,946 100.02 0.99
12/31/00 - 26.65 (20.97) 744,972 61.65 0.98
12/31/99 - 39.97 94.43 654,546 95.06 1.01
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/JANUS BALANCED FUND
12/31/03 - 9.27 13.73 114,262 60.48 1.05
12/31/02 - 8.26 (6.57) 75,591 90.71 1.05
12/31/01 - 9.05 (4.49) 72,281 105.66 1.05
05/01(a)-12/31/00 - 9.69 (2.00) 44,294 41.10 1.05
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/JANUS CAPITAL GROWTH FUND
12/31/03 - 13.28 35.65 158,013 31.95 1.05
12/31/02 - 9.79 (29.21) 135,669 56.03 1.04
12/31/01 - 13.83 (40.19) 260,726 96.69 1.01
12/31/00 - 23.55 (34.74) 496,830 110.81 0.99
12/31/99 - 43.62 124.19 509,086 102.26 1.03
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/CURIAN S&P 500 INDEX FUND
12/31/03 1.22 % 0.61 % 1.21 %
01/15(a)-12/31/02 1.15 0.61 1.14
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
JNL/CURIAN SMALL CAP INDEX FUND
12/31/03 0.75 0.61 0.74
01/15(a)-12/31/02 0.96 0.62 0.94
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
12/31/03 0.83 1.01 0.79
12/31/02 0.78 1.00 0.75
12/31/01 0.58 0.99 0.56
12/31/00 0.57 n/a n/a
12/31/99 0.97 n/a n/a
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
12/31/03 (0.75) 1.10 (0.80)
12/31/02 (0.49) 1.08 (0.52)
12/31/01 (0.31) 1.07 (0.33)
12/31/00 (0.30) n/a n/a
12/31/99 (0.35) n/a n/a
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
JNL/JANUS AGGRESSIVE GROWTH FUND
12/31/03 (0.28) 1.08 (0.32)
12/31/02 (0.18) 1.10 (0.26)
12/31/01 0.05 1.02 0.02
12/31/00 0.25 n/a n/a
12/31/99 (0.40) n/a n/a
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
JNL/JANUS BALANCED FUND
12/31/03 1.64 1.07 1.62
12/31/02 2.11 1.07 2.09
12/31/01 2.48 1.06 2.47
05/01(a)-12/31/00 2.42 n/a n/a
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
JNL/JANUS CAPITAL GROWTH FUND
12/31/03 (0.51) 1.07 (0.53)
12/31/02 (0.51) 1.09 (0.56)
12/31/01 (0.61) 1.03 (0.63)
12/31/00 (0.67) n/a n/a
12/31/99 (0.75) n/a n/a
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not reflect
payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/JANUS GLOBAL EQUITIES FUND
12/31/03 $ 14.06 $ 0.13 $ 3.24 $ 3.37 $ - $ -
12/31/02 19.48 0.10 (5.38) (5.28) (0.14) -
12/31/01 25.97 0.08 (6.19) (6.11) (0.35) (0.03)
12/31/00 35.69 0.07 (6.55) (6.48) (0.59) (2.65)
12/31/99 22.11 - 14.27 14.27 - (0.69)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/JANUS GROWTH & INCOME FUND
12/31/03 5.69 0.04 1.36 1.40 (0.03) -
12/31/02 7.27 0.04 (1.62) (1.58) - -
12/31/01 8.47 0.05 (1.19) (1.14) (0.06) -
12/31/00 9.36 0.09 (0.89) (0.80) (0.09) -
12/31/99 9.00 0.09 0.36 0.45 (0.09) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
12/31/03 5.56 - 2.19 2.19 (0.10) -
12/31/02 7.75 0.07 (2.13) (2.06) (0.13) -
12/31/01 9.79 0.09 (2.08) (1.99) (0.04) (0.01)
12/31/00 13.15 0.04 (2.10) (2.06) (0.06) (1.24)
12/31/99 9.82 0.06 3.67 3.73 (0.21) (0.19)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
12/31/03 10.23 0.04 2.92 2.96 (0.03) -
12/31/02 11.97 0.03 (1.72) (1.69) (0.03) (0.02)
12/31/01 11.75 0.06 1.50 1.56 (0.06) (1.28)
12/31/00 9.63 0.03 2.40 2.43 (0.03) (0.28)
12/31/99 9.21 0.02 0.42 0.44 (0.02) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
12/31/03 9.40 0.01 3.64 3.65 - -
12/31/02 11.40 - (1.96) (1.96) - (0.04)
12/31/01 10.28 0.02 1.77 1.79 (0.02) (0.65)
12/31/00 8.84 0.02 1.45 1.47 (0.03) -
12/31/99 8.70 0.03 0.14 0.17 (0.03) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
12/31/03 10.48 0.23 0.07 0.30 (0.19) (0.12)
01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36) (0.02)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
12/31/03 8.44 0.10 3.04 3.14 (0.13) -
01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20) -
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/JANUS GLOBAL EQUITIES FUND
12/31/03 $ - $ 17.43 23.97 % $ 197,288 120.39% 1.13%
12/31/02 - 14.06 (27.12) 206,070 65.19 1.07
12/31/01 - 19.48 (23.50) 389,796 93.37 1.05
12/31/00 - 25.97 (18.28) 665,187 65.56 1.03
12/31/99 - 35.69 64.58 597,241 61.60 1.06
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/JANUS GROWTH & INCOME FUND
12/31/03 - 7.06 24.68 15,520 46.15 1.05
12/31/02 - 5.69 (21.73) 13,840 52.16 1.05
12/31/01 - 7.27 (13.51) 20,346 50.42 1.05
12/31/00 - 8.47 (8.56) 23,212 160.19 1.04
12/31/99 - 9.36 4.98 7,677 120.54 1.03
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
12/31/03 - 7.65 39.43 29,609 131.90 1.12
12/31/02 - 5.56 (26.59) 5,642 146.48 1.08
12/31/01 - 7.75 (20.33) 7,304 82.18 1.07
12/31/00 - 9.79 (15.45) 9,264 120.75 1.07
12/31/99 - 13.15 38.02 7,777 66.82 1.08
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
12/31/03 - 13.16 28.89 142,798 88.62 1.08
12/31/02 - 10.23 (14.08) 76,890 98.18 1.08
12/31/01 - 11.97 13.24 26,886 143.12 1.07
12/31/00 - 11.75 25.37 15,478 134.53 1.07
12/31/99 - 9.63 4.77 6,394 118.56 1.08
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
12/31/03 - 13.05 38.83 155,191 70.95 1.13
12/31/02 - 9.40 (17.22) 74,559 94.87 1.14
12/31/01 - 11.40 17.34 35,164 78.01 1.15
12/31/00 - 10.28 16.60 14,614 58.07 1.15
12/31/99 - 8.84 1.96 6,313 53.35 1.15
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
12/31/03 - 10.47 2.87 83,547 70.57 0.60
01/15(a)-12/31/02 - 10.48 8.55 34,286 77.16 0.60
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
12/31/03 - 11.45 37.31 97,126 1.66 0.65
01/15(a)-12/31/02 - 8.44 (13.60) 26,518 32.40 0.65
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/JANUS GLOBAL EQUITIES FUND
12/31/03 0.70 % 1.18 % 0.65 %
12/31/02 0.45 1.10 0.42
12/31/01 0.42 1.06 0.41
12/31/00 0.03 n/a n/a
12/31/99 0.01 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
JNL/JANUS GROWTH & INCOME FUND
12/31/03 0.48 1.07 0.46
12/31/02 0.52 1.07 0.50
12/31/01 0.73 1.06 0.72
12/31/00 1.61 n/a n/a
12/31/99 1.17 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
12/31/03 0.75 n/a n/a
12/31/02 0.95 n/a n/a
12/31/01 1.07 n/a n/a
12/31/00 0.40 n/a n/a
12/31/99 0.53 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
12/31/03 0.40 1.17 0.31
12/31/02 0.41 1.12 0.37
12/31/01 0.65 1.20 0.52
12/31/00 0.37 n/a n/a
12/31/99 0.25 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
12/31/03 0.17 1.20 0.10
12/31/02 (0.03) 1.17 (0.06)
12/31/01 0.32 1.21 0.26
12/31/00 0.36 n/a n/a
12/31/99 0.43 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
12/31/03 3.29 n/a n/a
01/15(a)-12/31/02 4.12 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
12/31/03 1.59 n/a n/a
01/15(a)-12/31/02 1.56 n/a n/a
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
12/31/03 $ 7.20 $ 0.03 $ 2.89 $ 2.92 $ - $ -
12/31/02 9.27 0.03 (2.10) (2.07) - -
05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
12/31/03 7.03 (0.03) 1.28 1.25 - -
12/31/02 9.41 (0.03) (2.35) (2.38) - -
05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
12/31/03 11.60 0.13 0.42 0.55 (0.17) (0.22)
12/31/02 10.66 0.24 0.70 0.94 - -
12/31/01 10.29 0.30 0.68 0.98 (0.28) (0.33)
12/31/00 9.64 0.45 0.68 1.13 (0.47) (0.01)
12/31/99 10.16 0.49 (0.52) (0.03) (0.49) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA BALANCED FUND
12/31/03 13.14 0.32 2.51 2.83 (0.30) (0.12)
12/31/02 14.00 0.42 (0.69) (0.27) (0.42) (0.17)
12/31/01 13.13 0.41 0.98 1.39 (0.44) (0.08)
12/31/00 12.60 0.50 0.52 1.02 (0.46) (0.03)
12/31/99 13.48 0.44 (0.45) (0.01) (0.44) (0.43)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA HIGH YIELD BOND FUND
12/31/03 7.79 0.55 0.90 1.45 (0.54) -
12/31/02 8.29 0.66 (0.49) 0.17 (0.67) -
12/31/01 8.60 0.79 (0.30) 0.49 (0.80) -
12/31/00 10.13 0.98 (1.55) (0.57) (0.96) -
12/31/99 10.89 0.88 (0.76) 0.12 (0.88) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA MONEY MARKET FUND
12/31/03 1.00 0.01 - 0.01 (0.01) -
12/31/02 1.00 0.01 - 0.01 (0.01) -
12/31/01 1.00 0.03 - 0.03 (0.03) -
12/31/00 1.00 0.06 - 0.06 (0.06) -
12/31/99 1.00 0.05 - 0.05 (0.05) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA VALUE FUND
12/31/03 10.97 0.11 3.71 3.82 (0.03) (0.06)
09/30(a)-12/31/02 10.00 0.06 0.91 0.97 - -
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
12/31/03 $ - $ 10.12 40.56 % $ 104,625 38.02% 1.05 %
12/31/02 - 7.20 (22.33) 50,522 64.05 1.05
05/01(a)-12/31/01 - 9.27 (7.30) 59,841 44.80 1.05
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
12/31/03 - 8.28 17.78 32,993 94.02 1.00
12/31/02 - 7.03 (25.29) 17,846 55.58 1.00
05/01(a)-12/31/01 - 9.41 (5.82) 13,557 58.88 1.00
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
12/31/03 - 11.76 4.78 317,301 146.76 0.80
12/31/02 - 11.60 8.85 211,362 116.05 0.80
12/31/01 - 10.66 9.52 54,851 112.25 0.80
12/31/00 - 10.29 11.75 21,715 221.61 0.93(e)
12/31/99 - 9.64 (0.26) 9,451 91.12 0.80
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA BALANCED FUND
12/31/03 - 15.55 21.57 303,892 54.21 0.80
12/31/02 - 13.14 (1.93) 217,013 68.30 0.81
12/31/01 - 14.00 10.57 212,196 42.38 0.81
12/31/00 - 13.13 8.25 155,270 25.76 0.82
12/31/99 - 12.60 (0.11) 143,012 35.02 0.82
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA HIGH YIELD FUND
12/31/03 - 8.70 18.67 266,181 37.45 0.81
12/31/02 - 7.79 2.05 161,094 61.00 0.82
12/31/01 - 8.29 5.67 160,781 41.24 0.81
12/31/00 - 8.60 (5.62) 144,516 62.41 0.82
12/31/99 - 10.13 1.09 147,023 61.03 0.82
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA MONEY MARKET FUND
12/31/03 - 1.00 0.46 184,440 n/a 0.69
12/31/02 - 1.00 1.07 214,520 n/a 0.69
12/31/01 - 1.00 3.45 242,518 n/a 0.69
12/31/00 - 1.00 5.83 185,012 n/a 0.70
12/31/99 - 1.00 4.67 164,446 n/a 0.70
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA VALUE FUND
12/31/03 - 14.70 34.80 54,532 16.19 0.85
09/30(a)-12/31/02 - 10.97 9.70 18,004 8.64 0.85
- ------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
12/31/03 0.57 % n/a n/a
12/31/02 0.44 n/a n/a
05/01(a)-12/31/01 0.54 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
12/31/03 (0.49) n/a n/a
12/31/02 (0.49) n/a n/a
05/01(a)-12/31/01 0.17 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
12/31/03 2.02 n/a n/a
12/31/02 3.23 n/a n/a
12/31/01 4.35 n/a n/a
12/31/00 5.98 n/a n/a
12/31/99 5.41 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PPM AMERICA BALANCED FUND
12/31/03 2.49 0.81 2.48
12/31/02 2.98 0.81 2.98
12/31/01 3.28 n/a n/a
12/31/00 4.02 n/a n/a
12/31/99 3.71 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PPM AMERICA HIGH YIELD FUND
12/31/03 7.47 n/a n/a
12/31/02 7.89 n/a n/a
12/31/01 8.68 n/a n/a
12/31/00 10.06 n/a n/a
12/31/99 9.22 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PPM AMERICA MONEY MARKET FUND
12/31/03 0.47 n/a n/a
12/31/02 1.07 n/a n/a
12/31/01 3.28 n/a n/a
12/31/00 5.73 n/a n/a
12/31/99 4.63 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PPM AMERICA VALUE FUND
12/31/03 1.81 0.88 1.78
09/30(a)-12/31/02 2.24 0.98 2.11
- --------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
(e) The ratio of net operating expenses was 0.80%.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
12/31/03 $ 13.04 $ 0.08 $ 3.47 $ 3.55 $ (0.05) $ -
12/31/02 17.18 - (4.14) (4.14) - -
12/31/01 22.91 (0.01) (5.72) (5.73) - -
12/31/00 28.45 (0.05) (5.03) (5.08) - (0.46)
12/31/99 22.88 (0.04) 6.76 6.72 - (1.15)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
12/31/03 7.59 0.10 2.06 2.16 (0.14) -
12/31/02 9.66 0.08 (2.07) (1.99) (0.08) -
12/31/01 12.23 0.08 (2.56) (2.48) (0.07) (0.02)
12/31/00 16.79 0.08 (2.49) (2.41) (0.01) (2.14)
12/31/99 13.62 0.09 4.28 4.37 (0.16) (1.04)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
12/31/03 5.11 (0.03) 1.74 1.71 - -
12/31/02 7.23 (0.04) (2.08) (2.12) - -
12/31/01 9.90 (0.05) (2.62) (2.67) - -
05/01(a)-12/31/00 10.00 - (0.10) (0.10) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
12/31/03 13.06 0.16 3.04 3.20 (0.17) -
12/31/02 16.50 0.16 (3.44) (3.28) (0.16) -
12/31/01 17.78 0.15 (1.27) (1.12) (0.16) -
12/31/00 16.78 0.16 1.00 1.16 (0.16) -
12/31/99 18.24 0.19 (0.38) (0.19) (0.20) (1.07)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND
12/31/03 5.67 0.03 1.62 1.65 (0.02) -
12/31/02 7.46 0.05 (1.80) (1.75) (0.04) -
12/31/01 9.47 0.19 (1.69) (1.50) (0.16) (0.35)
01/06(a)-12/31/00 10.00 0.05 (0.58) (0.53) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND I
12/31/03 8.44 0.06 2.20 2.26 (0.13) -
12/31/02 10.45 0.06 (1.97) (1.91) (0.10) -
12/31/01 12.86 0.02 (1.38) (1.36) (0.35) (0.70)
12/31/00 14.69 (0.10) (1.28) (1.38) (0.17) (0.28)
12/31/99 10.88 (0.15) 4.00 3.85 (0.04) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND II
12/31/03 6.96 0.09 1.73 1.82 (0.08) -
12/31/02 8.99 0.08 (2.00) (1.92) (0.11) -
12/31/01 11.36 0.07 (1.51) (1.44) (0.25) (0.68)
12/31/00 12.92 (0.01) (1.16) (1.17) (0.14) (0.25)
12/31/99 10.05 (0.01) 2.89 2.88 (0.01) -
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
12/31/03 $ - $ 16.54 27.23 % $ 164,927 74.82% 1.00 %
12/31/02 - 13.04 (24.10) 153,303 123.47 0.99
12/31/01 - 17.18 (25.01) 282,049 91.77 0.96
12/31/00 - 22.91 (17.85) 497,299 77.67 0.94
12/31/99 - 28.45 29.41 454,393 74.67 0.97
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
12/31/03 - 9.61 28.53 96,811 113.94 1.23
12/31/02 - 7.59 (20.58) 78,272 134.52 1.18
12/31/01 - 9.66 (20.29) 103,972 66.42 1.17
12/31/00 - 12.23 (13.99) 126,812 138.12 1.17
12/31/99 - 16.79 132.11 105,034 26.19 1.18
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
12/31/03 - 6.82 33.46 28,909 116.81 1.05
12/31/02 - 5.11 (29.32) 18,647 116.70 1.05
12/31/01 - 7.23 (26.97) 29,541 211.61 1.05
05/01(a)-12/31/00 - 9.90 (1.00) 46,122 58.67 1.05
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
12/31/03 - 16.09 24.55 309,732 67.86 0.98
12/31/02 - 13.06 (19.87) 256,100 62.19 0.98
12/31/01 - 16.50 (6.32) 347,246 82.54 0.96
12/31/00 - 17.78 6.96 422,750 86.43 0.96
12/31/99 - 16.78 (1.04) 319,454 72.23 0.98
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND
12/31/03 - 7.30 29.09 12,453 8.59 0.20
12/31/02 - 5.67 (23.49) 11,720 22.34 0.20
12/31/01 - 7.46 (15.86) 18,387 56.62 0.20
01/06(a)-12/31/00 - 9.47 (5.30) 18,897 12.75 0.20
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND I
12/31/03 - 10.57 26.80 164,016 3.87 0.20
12/31/02 - 8.44 (18.26) 97,110 37.53 0.20
12/31/01 - 10.45 (10.58) 107,519 67.65 0.20
12/31/00 - 12.86 (9.37) 95,075 24.94 0.20
12/31/99 - 14.69 35.38 41,329 26.50 0.20
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND II
12/31/03 - 8.70 26.11 3,892 17.66 0.20
12/31/02 - 6.96 (21.37) 3,973 47.43 0.20
12/31/01 - 8.99 (12.75) 5,978 57.39 0.20
12/31/00 - 11.36 (9.04) 6,257 42.75 0.20
12/31/99 - 12.92 28.66 3,379 72.67 0.20
- ----------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
12/31/03 0.45 % 1.07 % 0.38 %
12/31/02 0.23 1.05 0.17
12/31/01 (0.07) 0.99 (0.10)
12/31/00 (0.22) 0.95 (0.23)
12/31/99 (0.21) n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
12/31/03 1.17 1.26 1.14
12/31/02 0.83 1.21 0.80
12/31/01 0.76 1.18 0.75
12/31/00 0.44 n/a n/a
12/31/99 0.63 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
12/31/03 (0.52) 1.11 (0.58)
12/31/02 (0.62) 1.10 (0.67)
12/31/01 (0.46) 1.09 (0.50)
05/01(a)-12/31/00 (0.09) 1.06 (0.10)
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
12/31/03 1.16 1.03 1.11
12/31/02 1.06 1.01 1.03
12/31/01 0.89 0.99 0.86
12/31/00 1.05 0.97 1.04
12/31/99 1.19 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND
12/31/03 0.35 n/a n/a
12/31/02 0.22 n/a n/a
12/31/01 0.42 n/a n/a
01/06(a)-12/31/00 0.99 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND I
12/31/03 0.97 n/a n/a
12/31/02 0.77 n/a n/a
12/31/01 1.16 n/a n/a
12/31/00 1.62 n/a n/a
12/31/99 1.22 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND II
12/31/03 0.85 n/a n/a
12/31/02 0.74 n/a n/a
12/31/01 1.04 n/a n/a
12/31/00 1.53 n/a n/a
12/31/99 1.26 n/a n/a
- --------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND
12/31/03 $ 7.48 $ 0.11 $ 1.34 $ 1.45 $ 1.34 $ -
12/31/02 8.65 0.20 (1.25) (1.05) (0.12) -
12/31/01 9.54 0.29 (0.92) (0.63) (0.17) (0.09)
01/26(a)-12/31/00 10.00 0.27 (0.73) (0.46) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND I
12/31/03 9.48 0.10 1.58 1.68 (0.25) -
12/31/02 10.54 0.10 (0.99) (0.89) (0.17) -
12/31/01 11.83 0.08 (0.65) (0.57) (0.34) (0.38)
12/31/00 12.45 0.11 (0.31) (0.20) (0.23) (0.19)
12/31/99 10.47 (0.06) 2.10 2.04 (0.06) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND II
12/31/03 7.86 0.19 1.44 1.63 (0.18) -
12/31/02 9.21 0.15 (1.32) (1.17) (0.18) -
12/31/01 10.07 0.12 (0.83) (0.71) (0.15) -
12/31/00 11.01 0.16 (0.80) (0.64) (0.30) -
12/31/99 9.54 0.06 1.48 1.54 (0.07) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 100 FUND
12/31/03 8.66 0.03 1.88 1.91 (0.03) (0.02)
01/15(a)-12/31/02 10.00 0.07 (1.41) (1.34) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 50 FUND
12/31/03 7.84 0.03 2.39 2.42 - -
01/15(a)-12/31/02 10.00 0.01 (2.17) (2.16) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 75 FUND
12/31/03 8.25 0.03 2.15 2.18 (0.02) (0.02)
01/15(a)-12/31/02 10.00 0.05 (1.80) (1.75) - -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
12/31/03 7.35 0.01 2.19 2.20 - -
12/31/02 9.58 - (2.22) (2.22) (0.01) -
12/31/01 12.59 (0.05) (1.67) (1.72) (0.31) (0.98)
12/31/00 15.56 (0.21) (2.17) (2.38) (0.17) (0.42)
12/31/99 10.75 (0.16) 5.02 4.86 (0.05) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II
12/31/03 6.99 0.01 1.96 1.97 (0.01) -
12/31/02 9.86 0.01 (2.50) (2.49) (0.01) (0.37)
12/31/01 12.46 0.02 (1.62) (1.60) (0.28) (0.72)
12/31/00 14.44 (0.17) (1.45) (1.62) (0.07) (0.29)
12/31/99 10.36 (0.05) 4.15 4.10 (0.02) -
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND
12/31/03 $ - $ 8.84 19.40 % $ 15,679 13.17 % 0.20 %
12/31/02 - 7.48 (12.16) 14,157 26.25 0.20
12/31/01 - 8.65 (6.60) 15,495 49.04 0.20
01/26(a)-12/31/00 - 9.54 (4.60) 8,737 18.17 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND I
12/31/03 - 10.91 17.75 402,322 2.24 0.20
12/31/02 - 9.48 (8.48) 227,833 31.43 0.20
12/31/01 - 10.54 (4.78) 187,495 49.46 0.20
12/31/00 - 11.83 (1.55) 139,701 25.30 0.20
12/31/99 - 12.45 19.52 72,998 12.96 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND II
12/31/03 - 9.31 20.72 14,019 21.86 0.20
12/31/02 - 7.86 (12.74) 12,596 38.86 0.20
12/31/01 - 9.21 (7.00) 13,202 66.63 0.20
12/31/00 - 10.07 (5.77) 9,867 25.52 0.20
12/31/99 - 11.01 16.14 6,513 55.32 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 100 FUND
12/31/03 - 10.52 22.08 36,421 6.64 0.20
01/15(a)-12/31/02 - 8.66 (13.40) 14,213 26.04 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 50 FUND
12/31/03 - 10.26 30.93 7,629 11.61 0.20
01/15(a)-12/31/02 - 7.84 (21.60) 1,969 46.56 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 75 FUND
12/31/03 - 10.39 26.48 10,017 22.32 0.20
01/15(a)-12/31/02 - 8.25 (17.50) 4,460 18.99 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
12/31/03 - 9.55 29.94 51,344 9.22 0.20
12/31/02 - 7.35 (23.21) 31,372 41.22 0.20
12/31/01 - 9.58 (13.69) 41,038 75.09 0.20
12/31/00 - 12.59 (15.27) 40,471 28.62 0.20
12/31/99 - 15.56 145.25 18,680 41.60 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II
12/31/03 - 8.95 28.12 1,560 16.30 0.20
12/31/02 - 6.99 (25.19) 1,510 22.62 0.20
12/31/01 - 9.86 (12.85) 2,825 53.36 0.20
12/31/00 - 12.46 (11.18) 3,475 17.61 0.20
12/31/99 - 14.44 139.61 946 202.45 0.20
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND
12/31/03 1.27 % n/a % n/a %
12/31/02 1.04 n/a n/a
12/31/01 1.78 n/a n/a
01/26(a)-12/31/00 4.79 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND I
12/31/03 1.79 n/a n/a
12/31/02 1.75 n/a n/a
12/31/01 2.42 n/a n/a
12/31/00 3.53 n/a n/a
12/31/99 3.97 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND II
12/31/03 2.04 n/a n/a
12/31/02 2.02 n/a n/a
12/31/01 2.47 n/a n/a
12/31/00 3.03 n/a n/a
12/31/99 3.31 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P CORE INDEX 100 FUND
12/31/03 0.90 n/a n/a
01/15(a)-12/31/02 1.87 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P CORE INDEX 50 FUND
12/31/03 0.65 n/a n/a
01/15(a)-12/31/02 0.25 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P CORE INDEX 75 FUND
12/31/03 0.76 n/a n/a
01/15(a)-12/31/02 1.30 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
12/31/03 0.09 n/a n/a
12/31/02 0.00 n/a n/a
12/31/01 0.06 n/a n/a
12/31/00 0.56 n/a n/a
12/31/99 (0.09) n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II
12/31/03 0.07 n/a n/a
12/31/02 0.04 n/a n/a
12/31/01 0.08 n/a n/a
12/31/00 0.71 n/a n/a
12/31/99 0.00 n/a n/a
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND I
12/31/03 $ 7.45 $ 0.01 $ 2.19 $ 2.20 $ - $ -
12/31/02 9.73 - (2.27) (2.27) (0.01) -
12/31/01 12.59 (0.06) (1.73) (1.79) (0.26) (0.81)
12/31/00 15.21 (0.18) (1.96) (2.14) (0.15) (0.33)
12/31/99 10.64 (0.18) 4.77 4.59 (0.02) -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND II
12/31/03 6.63 0.01 1.79 1.80 (0.01) -
12/31/02 9.33 0.01 (2.44) (2.43) (0.02) (0.25)
12/31/01 11.89 0.02 (1.72) (1.70) (0.24) (0.62)
12/31/00 13.67 (0.11) (1.31) (1.42) (0.10) (0.26)
12/31/99 10.04 (0.05) 3.69 3.64 (0.01) -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND
12/31/03 6.54 0.08 1.58 1.66 (0.05) -
12/31/02 8.03 0.14 (1.54) (1.40) (0.09) -
12/31/01 9.19 0.27 (1.12) (0.85) (0.16) (0.15)
01/13(a)-12/31/00 10.00 0.17 (0.98) (0.81) - -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND I
12/31/03 9.25 0.08 1.93 2.01 (0.19) -
12/31/02 10.70 0.08 (1.41) (1.33) (0.12) -
12/31/01 12.37 0.01 (0.92) (0.91) (0.32) (0.44)
12/31/00 13.42 0.03 (0.62) (0.59) (0.21) (0.25)
12/31/99 10.63 (0.11) 2.95 2.84 (0.05) -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND II
12/31/03 7.85 0.14 1.67 1.81 (0.12) -
12/31/02 9.44 0.11 (1.57) (1.46) (0.13) -
12/31/01 11.22 0.11 (1.18) (1.07) (0.28) (0.43)
12/31/00 12.49 0.06 (0.88) (0.82) (0.17) (0.28)
12/31/99 10.22 0.05 2.28 2.33 (0.06) -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
12/31/03 7.62 - 2.33 2.33 - -
12/31/02 9.93 - (2.30) (2.30) (0.01) -
12/31/01 13.08 (0.04) (1.76) (1.80) (0.28) (1.07)
12/31/00 16.61 (0.29) (2.56) (2.85) (0.18) (0.50)
12/31/99 11.19 (0.21) 5.68 5.47 (0.04) (0.01)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND II
12/31/03 7.08 - 2.01 2.01 - -
12/31/02 9.49 - (2.40) (2.40) (0.01) -
12/31/01 12.45 0.07 (1.56) (1.49) (0.36) (1.11)
12/31/00 15.37 (0.07) (1.91) (1.98) (0.22) (0.72)
12/31/99 10.80 (0.07) 4.65 4.58 - (0.01)
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND I
12/31/03 $ - $ 9.65 29.55 % $ 175,618 7.74 % 0.20 %
12/31/02 - 7.45 (23.34) 105,130 36.47 0.20
12/31/01 - 9.73 (14.31) 145,413 76.59 0.20
12/31/00 - 12.59 (14.06) 135,523 28.83 0.20
12/31/99 - 15.21 43.19 60,879 34.62 0.20
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND II
12/31/03 - 8.42 27.15 6,439 17.51 0.20
12/31/02 - 6.63 (26.08) 5,447 36.35 0.20
12/31/01 - 9.33 (14.38) 9,472 74.49 0.20
12/31/00 - 11.89 (10.35) 11,243 18.49 0.20
12/31/99 - 13.67 136.29 4,733 59.07 0.20
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND
12/31/03 - 8.15 25.45 28,800 12.31 0.20
12/31/02 - 6.54 (17.37) 25,504 33.35 0.20
12/31/01 - 8.03 (9.32) 34,317 40.65 0.20
01/13(a)-12/31/00 - 9.19 (8.10) 21,489 14.96 0.20
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND I
12/31/03 - 11.07 21.73 609,887 3.33 0.20
12/31/02 - 9.25 (12.40) 331,543 32.67 0.20
12/31/01 - 10.70 (7.34) 298,741 59.64 0.20
12/31/00 - 12.37 (4.35) 222,052 19.23 0.20
12/31/99 - 13.42 26.74 110,608 17.15 0.20
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND II
12/31/03 - 9.54 23.12 19,332 21.87 0.20
12/31/02 - 7.85 (15.51) 16,473 41.52 0.20
12/31/01 - 9.44 (9.48) 17,900 62.10 0.20
12/31/00 - 11.22 (6.57) 17,884 18.92 0.20
12/31/99 - 12.49 22.77 10,450 38.38 0.20
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
12/31/03 - 9.95 30.58 60,193 13.41 0.20
12/31/02 - 7.62 (23.20) 42,128 39.74 0.20
12/31/01 - 9.93 (13.73) 58,358 92.20 0.20
12/31/00 - 13.08 (17.16) 57,841 29.95 0.20
12/31/99 - 16.61 148.86 23,588 141.89 0.20
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND II
12/31/03 - 9.09 28.41 2,119 7.56 0.20
12/31/02 - 7.08 (25.32) 1,898 26.06 0.20
12/31/01 - 9.49 (11.97) 1,159 57.87 0.20
12/31/00 - 12.45 (12.86) 4,395 21.22 0.20
12/31/99 - 15.37 142.42 3,122 145.99 0.20
- -------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND I
12/31/03 0.18 % n/a % n/a %
12/31/02 0.02 n/a n/a
12/31/01 0.09 n/a n/a
12/31/00 0.52 n/a n/a
12/31/99 (0.01) n/a n/a
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND II
12/31/03 0.17 n/a n/a
12/31/02 0.11 n/a n/a
12/31/01 0.13 n/a n/a
12/31/00 0.62 n/a n/a
12/31/99 0.20 n/a n/a
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND
12/31/03 0.99 n/a n/a
12/31/02 0.62 n/a n/a
12/31/01 1.29 n/a n/a
01/13(a)-12/31/00 3.68 n/a n/a
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND I
12/31/03 1.40 n/a n/a
12/31/02 1.26 n/a n/a
12/31/01 1.66 n/a n/a
12/31/00 2.61 n/a n/a
12/31/99 2.99 n/a n/a
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND II
12/31/03 1.59 n/a n/a
12/31/02 1.38 n/a n/a
12/31/01 1.46 n/a n/a
12/31/00 2.15 n/a n/a
12/31/99 2.15 n/a n/a
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH I
12/31/03 0.03 n/a n/a
12/31/02 (0.04) n/a n/a
12/31/01 0.07 n/a n/a
12/31/00 0.54 n/a n/a
12/31/99 (0.13) n/a n/a
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH II
12/31/03 0.00 n/a n/a
12/31/02 0.02 n/a n/a
12/31/01 0.05 n/a n/a
12/31/00 0.59 n/a n/a
12/31/99 (0.07) n/a n/a
- ------------------------------------------------------------------------
- ------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
--------------------------------------------- Distributions from
Net Asset --------------------------------------------- Net Realized
Value Net Net Realized Total from Distributions from Gains on
Beginning Investment & Unrealized Investment Net Investment Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS BALANCED FUND
12/31/03 $ 9.55 $ 0.15 $ 1.48 $ 1.63 $ (0.22) $ -
12/31/02 10.30 0.02 (0.77) (0.75) - -
12/31/01 10.58 0.21 (0.26) (0.05) (0.19) (0.04)
12/31/00 10.11 0.36 0.46 0.82 (0.35) -
12/31/99 10.38 0.28 (0.27) 0.01 (0.28) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS GLOBAL BOND FUND
12/31/03 10.63 0.49 0.95 1.44 (0.52) (0.15)
12/31/02 10.41 0.65 0.22 0.87 (0.65) -
12/31/01 10.37 0.68 0.01 0.69 (0.65) -
12/31/00 10.25 0.68 0.06 0.74 (0.62) -
12/31/99 10.67 0.62 (0.42) 0.20 (0.62) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
12/31/03 6.98 0.75 1.05 1.80 (0.75) -
12/31/02 7.42 0.87 (0.44) 0.43 (0.87) -
12/31/01 7.67 0.65 (0.24) 0.41 (0.66) -
12/31/00 8.71 0.64 (1.05) (0.41) (0.63) -
12/31/99 9.59 0.71 (0.88) (0.17) (0.71) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
12/31/03 11.89 0.45 (0.31) 0.14 (0.42) (0.14)
12/31/02 11.17 0.42 0.86 1.28 (0.42) (0.14)
12/31/01 10.96 0.50 0.25 0.75 (0.49) (0.05)
12/31/00 10.36 0.60 0.59 1.19 (0.59) -
12/31/99 11.15 0.51 (0.79) (0.28) (0.51) -
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
12/31/03 12.85 0.02 3.90 3.92 - -
12/31/02 16.78 0.01 (3.92) (3.91) (0.02) -
12/31/01 18.74 0.02 (1.94) (1.92) - (0.04)
12/31/00 21.70 - (0.11) (0.11) (0.01) (2.84)
12/31/99 19.06 0.03 4.12 4.15 (0.03) (1.48)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
12/31/03 18.05 (0.12) 7.08 6.96 - (0.12)
12/31/02 23.12 (0.15) (4.92) (5.07) - -
12/31/01 23.47 (0.13) (0.22) (0.35) - -
12/31/00 23.71 (0.04) 1.67 1.63 - (1.87)
12/31/99 20.43 (0.05) 4.93 4.88 - (1.60)
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
12/31/03 9.22 0.06 2.70 2.76 (0.06) -
12/31/02 11.11 0.09 (1.96) (1.87) - (0.02)
12/31/01 11.14 0.08 0.01 0.09 (0.08) (0.04)
05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09) (0.02)
- ---------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------
---------------------------------------- Ratio of
Net Asset Net Assets, Expenses to
Return of Value, End Total End of Period Portfolio Average Net
Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS BALANCED FUND
12/31/03 $ - $ 10.96 17.05 % $ 18,640 24.48 % 0.90 %
12/31/02 - 9.55 (7.28) 15,453 29.32 0.90
12/31/01 - 10.30 (0.52) 18,097 46.03 0.93 (e)
12/31/00 - 10.58 8.20 12,597 26.67 0.90
12/31/99 - 10.11 0.09 7,517 59.53 0.90
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS GLOBAL BOND FUND
12/31/03 - 11.40 13.53 197,923 61.03 0.95
12/31/02 - 10.63 8.38 125,881 83.34 0.95
12/31/01 - 10.41 6.71 123,310 86.36 0.98 (f)
12/31/00 - 10.37 7.28 116,654 93.13 0.95
12/31/99 - 10.25 1.87 81,061 98.01 0.95
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
12/31/03 - 8.03 25.79 19,464 71.74 0.90
12/31/02 - 6.98 5.76 17,079 77.04 0.90
12/31/01 - 7.42 5.33 20,220 48.73 0.90
12/31/00 - 7.67 (4.67) 16,437 35.52 0.90
12/31/99 - 8.71 (1.76) 10,690 31.39 0.90
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
12/31/03 - 11.47 1.18 257,274 43.56 0.78
12/31/02 - 11.89 11.47 304,265 35.72 0.78
12/31/01 - 11.17 6.92 226,275 69.10 0.82 (g)
12/31/00 - 10.96 11.50 138,122 49.09 0.80
12/31/99 - 10.36 (2.50) 106,329 122.72 0.80
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
12/31/03 - 16.77 30.54 474,046 36.37 0.92
12/31/02 - 12.85 (23.33) 316,367 46.16 0.92
12/31/01 - 16.78 (10.23) 474,105 63.38 0.92
12/31/00 - 18.74 (0.34) 411,855 77.19 0.92
12/31/99 - 21.70 21.77 351,338 61.45 0.93
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
12/31/03 - 24.89 38.60 379,541 42.89 1.03
12/31/02 - 18.05 (21.93) 248,327 42.22 1.03
12/31/01 - 23.12 (1.49) 366,028 44.26 1.02
12/31/00 - 23.47 7.16 419,796 47.90 1.02
12/31/99 - 23.71 24.01 286,502 56.68 1.03
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
12/31/03 - 11.92 129.97 404,470 28.06 1.00
12/31/02 - 9.22 (16.84) 220,106 38.21 1.00
12/31/01 - 11.11 110.78 216,408 42.29 1.00
05/01(a)-12/31/00 - 11.14 112.54 26,446 44.84 1.00
- -----------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------
--------------------------------
Ratio of Net Ratio of Net
Investment Ratio of Investment
Income (Loss) Expenses to Income (Loss)
to Average Average Net to Average
Period Ended Net Assets (c) Assets (c) Net Assets (c)
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
JNL/SALOMON BROTHERS BALANCED FUND
12/31/03 1.64 % n/a % n/a %
12/31/02 2.05 n/a n/a
12/31/01 2.46 n/a n/a
12/31/00 3.91 n/a n/a
12/31/99 3.54 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/SALOMON BROTHERS GLOBAL BOND FUND
12/31/03 5.03 n/a n/a
12/31/02 6.22 n/a n/a
12/31/01 6.46 n/a n/a
12/31/00 7.42 n/a n/a
12/31/99 7.22 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
12/31/03 8.47 n/a n/a
12/31/02 8.88 n/a n/a
12/31/01 8.54 n/a n/a
12/31/00 9.17 n/a n/a
12/31/99 8.74 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
12/31/03 3.26 n/a n/a
12/31/02 4.26 n/a n/a
12/31/01 5.09 n/a n/a
12/31/00 6.06 n/a n/a
12/31/99 5.45 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
12/31/03 0.14 0.95 0.11
12/31/02 0.06 0.94 0.04
12/31/01 0.12 0.92 0.12
12/31/00 0.03 0.92 0.02
12/31/99 0.16 n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
12/31/03 (0.60) 1.04 (0.61)
12/31/02 (0.67) 1.04 (0.68)
12/31/01 (0.56) 1.03 (0.57)
12/31/00 (0.20) n/a n/a
12/31/99 (0.28) n/a n/a
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
12/31/03 1.05 1.02 1.03
12/31/02 0.97 1.02 0.95
12/31/01 0.93 1.02 0.91
05/01(a)-12/31/00 1.47 1.01 1.46
- --------------------------------------------------------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
(e) The ratio of net operating expenses was 0.90%
(f) The ratio of net operating expenses was 0.95%
(g) The ratio of net operating expenses was 0.79%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS
NOTE 1. ORGANIZATION
JNL Series Trust ("Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated June
1, 1994. The Trust, consisting of diversified and non-diversified Funds, is
registered with the Securities and Exchange Commission under the Investment
Company Act of 1940. The Trust currently offers shares in fifty-seven (57)
separate funds (the "Funds"), each with its own investment objective. JNL/AIM
Large Cap Growth Fund, JNL/AIM Premier Equity II Fund and JNL/AIM Small Cap
Growth Fund for which AIM Capital Management Inc. serves as the sub-adviser;
JNL/Alger Growth Fund, for which Fred Alger Management, Inc. serves as the
sub-adviser; JNL/Alliance Capital Growth Fund, for which Alliance Capital
Management L.P. serves as the sub-adviser; JNL/Curian Enhanced S&P 500 Stock
Index Fund, JNL/Curian S&P 400 Mid Cap Index Fund, JNL/Curian S&P 500 Index
Fund, and JNL/Curian Small Cap Index Fund, for which Curian CapitalSM LLC serves
as the sub-adviser; JNL/Eagle Core Equity Fund and JNL/Eagle SmallCap Equity
Fund, for which Eagle Asset Management, Inc. serves as the sub-adviser;
JNL/Janus Aggressive Growth Fund, JNL/Janus Balanced Fund, JNL/Janus Capital
Growth Fund, JNL/Janus Global Equities Fund and JNL/Janus Growth & Income Fund,
for which Janus Capital Management, LLC serves as the sub-adviser; JNL/JPMorgan
International Value Fund, for which JPMorgan Investment Management Inc. serves
as the sub-adviser; JNL/Mellon Capital Management Bond Index Fund, JNL/Mellon
Capital Management International Index Fund, for which Mellon Capital Management
Corp. serves as the sub-adviser; JNL/Oppenheimer Global Growth Fund and
JNL/Oppenheimer Growth Fund, for which OppenheimerFunds Inc. serves as the
sub-adviser; JNL/PIMCO Total Return Bond Fund, for which Pacific Investment
Management Company serves as the sub-adviser; JNL/PPM America Balanced Fund,
JNL/PPM America High Yield Bond Fund, JNL/PPM America Money Market Fund and the
JNL/PPM America Value Fund, for which PPM America Inc. serves as sub-adviser;
JNL/Putnam Equity Fund, JNL/Putnam International Equity Fund, JNL/Putnam Midcap
Growth Fund and JNL/Putnam Value Equity Fund, for which Putnam Investment
Management LLC serves as the sub-adviser; JNL/Lazard Mid Cap Value Fund and
JNL/Lazard Small Cap Value Fund, for which Lazard Asset Management serves as
sub-adviser; JNL/S&P Aggressive Growth Fund, JNL/S&P Aggressive Growth Fund I,
JNL/S&P Aggressive Growth Fund II, JNL/S&P Conservative Growth Fund, JNL/S&P
Conservative Growth Fund I, JNL/S&P Conservative Growth Fund II, JNL/S&P Core
Index 100 Fund, JNL/S&P Core Index 50 Fund, JNL/S&P Core Index 75 Fund, JNL/S&P
Equity Aggressive Growth Fund I, JNL/S&P Equity Aggressive Growth Fund II,
JNL/S&P Equity Growth Fund I, JNL/S&P Equity Growth Fund II, JNL/S&P Moderate
Growth Fund, JNL/S&P Moderate Growth Fund I, JNL/S&P Moderate Growth Fund II,
JNL/S&P Very Aggressive Growth Fund I, JNL/S&P Very Aggressive Growth Fund II,
(collectively the "JNL/S&P Funds") for which Standard & Poor's Investment
Advisory Services, Inc. serves as the sub-adviser; JNL/Salomon Brothers Balanced
Fund, JNL/Salomon Brothers Global Bond Fund, JNL/Salomon Brothers High Yield
Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund, for
which Salomon Brothers Asset Management Inc. serves as the sub-adviser, and
JNL/T. Rowe Established Growth Fund, JNL/T. Rowe Mid-Cap Growth Fund and JNL/T.
Rowe Value Fund, for which T. Rowe Price Associates, Inc. serves as the
sub-adviser. The JNL/S&P Funds have a fund of fund structure which invests in
other affiliated underlying funds.
Effective December 15, 2003, the JNL/JPMorgan Enhanced S&P 500 Stock Index Fund,
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund, JNL/Mellon Capital
Management S&P 500 Index Fund, and JNL/Mellon Capital Management Small Cap Index
Fund became the JNL/Curian Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400
Mid Cap Index Fund, JNL/Curian S&P 500 Index Fund, and JNL/Curian Small Cap
Index Fund, respectively, and are managed by Curian CapitalSM LLC.
Effective December 15, 2003, the Trust adopted a Multiple Class Plan which
authorizes each Fund to issue from time to time one or more classes of shares.
The Multiple Class Plan currently designates two classes of shares: Class A
which is subject to the Advisory Fee, the Administration Fee, the 12b-1 Fee and
the Brokerage Enhancement Plan fee; and Class B which is subject to the Advisory
Fee, the Administration Fee and the Brokerage Enhancement Plan fee. For the year
ended December 31, 2003, only Class A shares were offered.
Jackson National Asset Management, LLC ("JNAM L.L.C."), a wholly-owned
subsidiary of Jackson National Life Insurance Company ("Jackson National"),
serves as investment adviser ("Adviser") for all the Funds of the Trust. PPM
America, Inc. and Curian Capital LLC are affiliates of the Adviser. Shares are
presently offered to Jackson National (Jackson National Life Insurance Company
of New York) and its separate accounts to fund the benefits of variable annuity
policies. Shares are also sold to qualified plans.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed and
consistently applied by the Trust in the preparation of its financial
statements. Certain prior year amounts have been reclassified in conformity with
the current year's presentation.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increase and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates. SECURITY VALUATION --
Bonds are valued on the basis of prices furnished by pricing services which
determine prices for normal institutional size trading units of bonds or based
on quotations provided by reputable broker-dealers. Stocks are valued at the
last quoted sale price on the New York stock exchange or final bid price in
absence of a sale. Stocks not listed on a national or foreign stock exchange are
valued at the closing bid price on the over-the-counter market. If trading or
events occurring in other markets after the close of the foreign stock exchange
are expected to have a material affect on the value of the investments, or when
quotations are not readily available, securities are valued at fair market value
determined by procedures approved by the Board of Trustees. Short-term
securities maturing within 60 days of purchase, and all securities in the
JNL/PPM America Money Market Fund, are valued at amortized cost, which
approximates market value. American Depository Receipts ("ADRs") and Global
Depository Receipts ("GDRs"), which are certificates representing shares of
foreign securities deposited in domestic and foreign banks, are traded and
valued in U.S. dollars. The JNL/S&P Funds are valued at the net asset value per
share of each underlying Fund determined as of the close of the New York Stock
Exchange on the valuation date.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Dividend income, net of applicable withholding
taxes, is recorded on the ex-dividend date. Interest income, including
level-yield amortization of discounts and premiums, is accrued daily. The Fund
may place a debt obligation on non-accrual status and reduce related interest
income by ceasing current accruals and writing off interest receivables when the
collection of all or a portion of interest has become doubtful. A debt
obligation is removed from non-accrual status when the issuer resumes interest
payments or when collectibility of interest is reasonably assured. Realized
gains and losses are determined on the specific identification basis.
FOREIGN CURRENCY TRANSLATIONS -- The accounting records of each Fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S. dollars
using exchange rates in effect as of 11:00 a.m. Eastern Standard Time. Purchases
and sales of investment securities, income receipts, and expense payments are
translated into U.S. dollars at the exchange rates prevailing on the respective
dates of such transactions.
Realized gains and losses arising from selling foreign currencies and certain
non-dollar denominated fixed income securities, entering into forward foreign
currency exchange contracts, and accruing income or settling portfolio purchases
and sales denominated in a foreign currency paid or received at a later date are
recorded as net realized foreign currency related gains (losses) and are
considered ordinary income for tax purposes. Realized and unrealized gains and
losses on investments which result from changes in foreign currency exchange
rates are primarily included in net realized gains (losses) and net unrealized
appreciation (depreciation), respectively.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- A Fund may enter into forward
foreign currency exchange contracts ("contracts"), generally to hedge foreign
currency exposure between trade date and settlement date on security purchases
and sales ("spot hedges") or to minimize foreign currency risk on portfolio
securities denominated in foreign currencies ("position hedges"). All contracts
are valued at the forward currency exchange rate and are marked-to-market daily.
When the contract is open, the change in market value is recorded as net
unrealized appreciation (depreciation) on foreign currency related items. When
the contract is closed, the difference between the value of the contract at the
time it was opened and the value at the time it was closed is recorded as net
realized gain (loss) on foreign currency related items.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of the Funds' portfolio securities, but it
does establish a rate of exchange that can be achieved in the future. These
forward foreign currency contracts involve market risk in excess of the
unrealized appreciation (depreciation) of forward foreign currency contracts
reflected in the Statements of Assets and Liabilities. Although contracts limit
the risk of loss due to a decline in the value of the hedged currency, they also
limit any potential gain that might result should the value of the currency
increase. Additionally, the Fund could be exposed to the risk of a previously
hedged position becoming unhedged if the counterparties to the contracts are
unable to meet the terms of the contracts.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- A Fund may purchase securities
on a when-issued or delayed delivery basis. On the trade date, the Fund records
purchases of when-issued securities and reflect the values of such securities in
determining net asset value in the same manner as other portfolio securities.
Income is not accrued until settlement date. The Fund will segregate and
maintain, until the settlement date, liquid assets in an amount sufficient to
meet the purchase price.
UNREGISTERED SECURITIES -- A Fund may own certain investment securities which
are unregistered and thus restricted to resale. These securities are valued by
the Fund after giving due consideration to pertinent factors including recent
private sales, market conditions and the issuer's financial performance. Where
future dispositions of the securities require registration under the Securities
Act of 1933, the Funds have the right to include their securities in such
registration generally without cost to the Funds. The Funds have no right to
require registration of unregistered securities.
OPTIONS TRANSACTIONS -- A Fund may write covered call options on portfolio
securities. A Fund may buy and sell options contracts to manage its exposure to
changes in securities prices and foreign currencies and as an efficient means of
adjusting overall exposure to certain markets. Written options involve, to
varying degrees, risk of loss in excess of the option value reflected in the
Statements of Assets and Liabilities. The risk in writing a covered call option
is that the Fund may forego the opportunity of profit if the market price of the
underlying security increases and the option is exercised. Option contracts are
valued at the closing prices on their exchanges and the Fund will realize a gain
or loss upon expiration or closing of the option transaction. When a written
call option is exercised, the proceeds on the sale of the underlying security
are adjusted by the amount of premium received.
FUTURES CONTRACTS -- A Fund may utilize futures contracts to a limited extent. A
Fund may buy and sell futures contracts to manage its exposure to changes in
securities prices and foreign currencies and as an efficient means of adjusting
overall exposure to certain markets. The risks associated with the use of
futures contracts include the possibility that the value may not correlate with
the change in the value of the hedged instruments. In addition, there is the
risk that the Fund may not be able to enter into a closing transaction because
of an illiquid market. Upon entering into a futures contract, the Fund is
required to deposit with the broker an amount of cash or cash equivalents equal
to a certain percentage of the contract amount. This is known as the "initial
margin". Futures contracts are valued based upon their quoted daily settlement
prices. The Fund receives from or pays to brokers an amount of cash equal to the
daily fluctuation in the value of the contracts. Such receipts or payments,
known as the "variation margin," are recorded by the Fund as unrealized
appreciation (depreciation) until the contracts are terminated at which time
realized gains and losses are recognized. Futures contracts involve, to varying
degrees, risk of loss in excess of the futures variation margin reflected in the
Statements of Assets and Liabilities.
DOLLAR ROLL TRANSACTIONS -- A Fund may enter into dollar roll transactions with
respect to mortgage securities in which the Fund sells mortgage securities and
simultaneously agrees to repurchase similar (same type, coupon and maturity)
securities at a later date at an agreed upon price. The value of the dollar roll
transactions are reflected in the Funds' Statements of Assets and Liabilities as
investment securities purchased. During the period between the sale and
repurchase, the Fund forgoes principal and interest paid on the mortgage
securities sold. The Fund is compensated by the interest earned on the cash
proceeds of the initial sale and from negotiated fees paid by brokers offered as
an inducement to the Fund to "roll over" its purchase commitments. These fees
are accrued as income over the life of the dollar roll contract. Dollar roll
transactions involve the risk that the market value of the securities sold by
the Fund may decline below the repurchase price of those similar securities
which the Fund is obligated to purchase or that the return earned by the Fund
with the proceeds of a dollar roll may not exceed transaction costs.
REPURCHASE AGREEMENTS -- A Fund may invest in repurchase agreements. A
repurchase agreement involves the purchase of a security by a Fund and a
simultaneous agreement (generally by a bank or broker-dealer) to repurchase that
security back from the Fund at a specified price and date or upon demand.
Securities pledged as collateral for repurchase agreements are held by the
Fund's custodian bank until the maturity of the repurchase agreement. Procedures
for all repurchase agreements have been designed to assure that the daily market
value of the collateral is in excess of the repurchase agreement in the event of
default.
REVERSE REPURCHASE AGREEMENTS -- A Fund may engage in reverse repurchase
agreements to borrow short term funds. The value of the reverse repurchase
agreements that the Fund has committed to sell is reflected in the Statements of
Assets and Liabilities. A Fund pays interest on amounts borrowed which is
reflected in the Statements of Operations. The Fund will maintain securities in
segregated accounts with its custodian that at all times are in an amount equal
to their obligations under the reverse repurchase agreements. Reverse repurchase
agreements involve the risks that the market value of the securities sold by the
Fund may decline below the repurchase price and, if the proceeds from the
reverse repurchase agreement are invested in securities, that the market value
of the securities bought may decline below the repurchase price of the
securities sold.
SECURITIES LOANED -- The Trust has entered into a securities lending arrangement
with the custodian. Under the terms of the agreement, the Funds receive a fee
equal to a percentage of the net income from lending transactions. In exchange
for such fees, the custodian is authorized to loan securities on behalf of the
Funds and is required to maintain collateral at least equal in value to the
value of the securities loaned. Cash collateral is invested by the custodian in
the Mellon GSL DBT II (a pooled money market instrument approved by the
Advisor). The Funds bear the risk of any deficiency in the amount of collateral
available for return to a borrower due to a loss in an approved investment.
SECURITIES SOLD SHORT -- A Fund may enter into short sales transactions. A short
sale is a transaction in which a Fund sells securities it does not own in
anticipation of a decline in the market price of the securities. The Fund is
obligated to deliver securities at the market price at the time the short
position is closed. Potential losses from short sales may be unlimited, whereas
losses from purchases cannot exceed the total amount invested.
SWAPS -- A Fund may invest in swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Fund may enter into interest rate, total return, forward
swap spread lock and credit default swap agreements to manage its exposure to
interest rates and credit risk. Interest rate swap agreements involve the
exchange by the Fund with another party of their respective commitments to pay
or receive interest, e.g., an exchange of floating rate payments for fixed rate
payments with respect to a notional amount of principal. Total return swap
agreements involve commitments to pay interest in exchange for a market-linked
return, both based on notional amounts. To the extent the total return of the
security or index underlying the transaction exceeds or falls short of the
offsetting interest rate obligation, the Fund will receive a payment from or
make a payment to the counterparty. Forward spread lock swap agreements involve
commitments to pay or receive a settlement amount calculated as the difference
between the swap spread and a fixed spread, multiplied by the notional amount
times the duration of the swap. The swap spread is the difference between the
benchmark swap rate (market rate) and the specific Treasury rate. In a credit
default swap, one party makes a stream of payments to another party in exchange
for the right to receive a specified return in the event of a default by a third
party. The Fund may use credit default swaps to provide a measure of protection
against defaults of sovereign issuers (i.e., to reduce risk where the Fund owns
or has exposure to the sovereign issuer) or to take an active long or short
position with respect to the likelihood of a particular issuer's default. Swaps
are marked to market daily based upon quotations from market makers and vendors
and the change in value, if any, is recorded as unrealized gain or loss in the
Statement of Operations. Net periodic payments or any payments received or made
at the end of the measurement period are recorded as realized gain or loss in
the Statement of Operations. Entering into these agreements involves, to varying
degrees, elements of credit, market and documentation risk in excess of the
amounts recognized on the Statement of Assets and Liabilities. Such risks
involve the possibility that there will be no liquid market for these
agreements, that the counterparty to the agreements may default on its
obligation to perform or disagree as to the meaning of contractual terms in the
agreements, and that there may be unfavorable changes in interest rates.
INFLATION-INDEXED BONDS -- A Fund may invest in inflation-indexed bonds which
are fixed income securities whose principal value is periodically adjusted to
the rate of inflation. The interest rate on these bonds is generally fixed at
issuance at a rate lower than typical bonds. Over the life of an
inflation-indexed bond, however, interest will be paid based on a principal
value which is adjusted for inflation. Any increase in the principal amount of
an inflation-indexed bond will be considered interest income, even though
investors do not receive their principal until maturity.
DISTRIBUTIONS TO SHAREHOLDERS -- The JNL/PPM America Money Market Fund declares
dividends daily and pays dividends monthly. For all other Funds, dividends from
net investment income are declared and paid annually, but may be done more
frequently to avoid excise tax. Distributions of net realized capital gains, if
any, will be distributed at least annually.
FEDERAL INCOME TAXES -- The Trust's policy is to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute income in amounts that will avoid federal income or excise taxes for
each Fund. The Trust periodically makes reclassifications among certain of its
capital accounts as a result of the recognition and characterization of certain
income and capital gain distributions determined annually in accordance with
federal tax regulations which may differ from accounting principles generally
accepted in the United States of America.
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO FINANACIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has an investment advisory agreement with JNAM L.L.C. whereby JNAM
L.L.C. provides investment management and transfer agency services. Each Fund
paid JNAM L.L.C. an annual fee, computed daily and payable monthly, based on a
specified percentage of the average daily net assets of each Fund. A portion of
this fee is paid to sub-advisers as compensation for their services. Effective
December 15, 2003, the following is a schedule of the fees each Fund is
currently obligated to pay JNAM L.L.C. which have been revised to reflect the
0.20% reduction in the advisory fee in conjunction with the Fund's adoption of
the 12b-1 Service Fee (described below):
$0 $25 $50 $100 $150 $200 $250 $300 $350 $500 $750
TO TO TO TO TO TO TO TO TO TO TO OVER
(M - MILLIONS; B - BILLIONS) $25 M $50M M $100 M $150 M $200 M $250 M $300 M $350 M $500 M $750 M $1.5 B $1.5 B
- ---------------------------- ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----
JNL/AIM Large Cap Growth Fund .80% .80% .80% .80% .80% .80% .80% .75% .75% .75% .75% .75%
JNL/AIM Premier Equity II Fund .75 .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .70
JNL/AIM Small Cap Growth Fund .85 .85 .85 .85 .85 .85 .85 .80 .80 .80 .80 .80
JNL/Alger Growth Fund .775 .775 .775 .775 .775 .775 .775 .75 .75 .70 .70 .70
JNL/Alliance Capital Growth Fund .575 .575 .575 .575 .575 .575 .50 .50 .50 .50 .50 .50
JNL/Curian Enhanced S&P 500
Stock Index Fund (a) .57 .52 .52 .52 .52 .52 .52 .52 .52 .52 .52 .52
JNL/Curian S&P 400 MidCap Index
Fund (b) .29 .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24
JNL/Curian S&P 500 Index Fund (b) .29 .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24
JNL/Curian Small Cap Index Fund (b) .29 .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24
JNL/Eagle Core Equity Fund .70 .70 .65 .65 .65 .65 .65 .55 .55 .55 .55 .55
JNL/Eagle SmallCap Equity Fund .75 .75 .75 .75 .70 .70 .70 .70 .70 .65 .65 .65
JNL/Janus Aggressive Growth Fund .75 .75 .75 .75 .70 .70 .65 .65 .65 .65 .60 .55
JNL/Janus Balanced Fund .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .65 .60
JNL/Janus Capital Growth Fund .75 .75 .75 .75 .70 .70 .65 .65 .65 .65 .60 .55
JNL/Janus Global Equities Fund .80 .80 .80 .80 .75 .75 .75 .70 .70 .70 .70 .70
JNL/Janus Growth & Income Fund .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .65 .60
JNL/JPMorgan International Value
Fund .775 .775 .75 .75 .75 .70 .70 .70 .65 .65 .65 .65
JNL/Lazard Mid Cap Value Fund .775 .775 .775 .775 .725 .725 .725 .70 .70 .70 .70 .70
JNL/Lazard Small Cap Value Fund .85 .85 .80 .80 .775 .775 .775 .725 .725 .725 .725 .725
JNL/Mellon Capital Management Bond
Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25
JNL/Mellon Capital Management
International Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25
JNL/Oppenheimer Global Growth Fund .70 .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60
JNL/Oppenheimer Growth Fund .70 .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60
JNL/PIMCO Total Return Bond Fund .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 .50
JNL/PPM America Balanced Fund .55 .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425
JNL/PPM America High Yield Bond
Fund .55 .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425
JNL/PPM America Money Market Fund (c) .30 .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25
JNL/PPM America Value Fund .55 .55 .55 .55 .55 .55 .55 .50 .50 .45 .45 .45
JNL/Putnam Equity Fund .70 .70 .70 .70 .65 .65 .65 .60 .60 .60 .60 .60
JNL/Putnam International Equity
Fund .90 .90 .85 .85 .80 .80 .80 .75 .75 .70 .70 .70
JNL/Putnam Midcap Growth Fund .75 .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .70
JNL/Putnam Value Equity Fund .70 .70 .70 .70 .65 .65 .65 .60 .60 .60 .60 .60
JNL/S&P Funds .15 .15 .15 .15 .15 .15 .15 .15 .15 .10 .10 .10
JNL/Salomon Brothers Balanced Fund .60 .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50
JNL/Salomon Brothers Global Bond
Fund .65 .65 .65 .65 .60 .60 .60 .60 .60 .55 .55 .55
JNL/Salomon Brothers High Yield
Bond Fund .60 .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50
JNL/Salomon Brothers U.S.
Government & Quality Bond Fund .50 .50 .50 .50 .45 .45 .45 .40 .40 .35 .35 .35
JNL/T.Rowe Price Established
Growth Fund .65 .65 .65 .65 .60 .60 .60 .60 .60 .60 .60 .60
JNL/T.Rowe Price Mid-Cap Growth
Fund .75 .75 .75 .75 .70 .70 .70 .70 .70 .70 .70 .70
JNL/T.Rowe Price Value Fund .70 .70 .70 .70 .70 .70 .70 .65 .65 .65 .65 .65
(a) Prior to December 15, 2003, the advisory fees were 0.60% up to $25 million,
and 0.55% thereafter.
(b) Prior to December 15, 2003, the advisory fees were 0.30% up to $500
million, and 0.25% thereafter.
(c) Prior to December 15, 2003, the advisory fees were 0.40% up to $150
million, 0.375% between $150 million and $300 million, 0.35% between $300
million and $500 million, and 0.325% thereafter.
- --------------------------------------------------------------------------------
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
ADMINISTRATIVE FEE - The JNL/S&P Funds pay an annual Administrative Fee of 0.05%
of the average daily net assets of each Fund. All other Funds, except the
JNL/Mellon Capital Management International Index Fund and the JNL/Oppenheimer
Global Growth Fund, pay JNAM L.L.C. an annual Administrative Fee of 0.10% of the
average daily net assets of the Fund. The JNL/Mellon Capital Management
International Index Fund and the JNL/Oppenheimer Global Growth Fund pay JNAM
L.L.C. an annual Administrative Fee of 0.15% of the average daily net assets of
the Fund. Effective March 1, 2003, the JNL/Janus Global Equities Fund, the
JNL/JPMorgan International Value Fund, and the JNL/Putnam International Equity
Fund pay JNAM L.L.C. an annual Administration Fee of 0.15% of the average daily
net assets of the Funds. In return for the Administrative Fee, JNAM L.L.C.
provides or procures all necessary administrative functions and services for the
operation of the Funds. In addition, JNAM L.L.C., at its own expense, arranges
for legal, audit, fund accounting, custody, printing and mailing, and all other
services necessary for the operation of each Fund. Each Fund is responsible for
trading expenses including brokerage commissions, interest and taxes, other
non-operating expenses, and the fees and expenses of the disinterested Trustees
and of independent legal counsel to the disinterested Trustees.
During the period ended December 31, 2003, JNL/Alger Growth Fund, JNL/Curian
Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400 MidCap Index Fund,
JNL/Curian S&P 500 Index Fund, JNL/Curian Small Cap Index Fund and
JNL/Oppenheimer Growth Fund paid $852, $35, $8, $13, $12 and $1, in thousands
respectively, to affiliates of the Fund for brokerage fees on the execution of
purchases and sales of portfolio investments.
12B-1 SERVICE FEE - Effective December 15, 2003, certain Funds have adopted a
Distribution Plan under the provisions of Rule 12b-1 for the purpose of
reimbursement of certain distribution and related service expenses from the sale
and distribution of the Trust's Class A shares (through the sale of variable
insurance products funded by the Trust). Jackson National Life Distributors,
Inc. ("JNLD") is the principal underwriter of the Funds, with responsibility for
promoting sales of their shares. JNLD also is the principal underwriter of the
variable insurance products issued by Jackson National and its subsidiaries.
JNLD is a wholly-owned subsidiary of Jackson National. The maximum 12b-1 fee
allowed shall be 0.20% as a percentage of the average daily net assets
attributable to the Class A shares. Amounts charged pursuant to the Distribution
Plan are reflected in the Statement of Operations as "12b-1 service fees (Class
A)".
DISTRIBUTION (12B-1) FEE - Certain Funds have adopted a Brokerage Enhancement
Plan (the "Plan") under the provisions of Rule 12b-1 for the purpose of
utilizing the Trust's brokerage commissions to the extent available, to promote
the sale and distribution of the Trust's shares by JNLD (through the sale of
variable insurance products funded by the Trust). Commissions are reflected in
the Statements of Operations as "Distribution (12b-1) fee" and a corresponding
reduction "Fees paid indirectly". Net expenses of the Fund are unaffected by
participating in the Plan.
NOTE 4. PURCHASES AND SALES OF SECURITIES
Information with respect to purchases and proceeds from sales of long-term
securities for the period ended December 31, 2003 is as follows (in thousands):
INVESTMENT SECURITIES U.S. GOVERNMENT OBLIGATIONS
PURCHASES SALES PURCHASES SALES
---------------- --------------- ---------------- ----------------
JNL/AIM Large Cap Growth Fund $ 47,889 24,142 $ - $ -
JNL/AIM Premier Equity II Fund 17,312 9,661 - -
JNL/AIM Small Cap Growth Fund 26,994 6,305 - -
JNL/Alger Growth Fund 332,590 328,812 - -
JNL/Alliance Capital Growth Fund 70,037 50,779 - -
JNL/Curian Enhanced S&P 500 Stock Index Fund 98,110 68,566 167 -
JNL/Curian S&P 400 MidCap Index Fund 62,100 6,436 - -
JNL/Curian S&P 500 Index Fund 127,168 8,359 - -
JNL/Curian Small Cap Index Fund 51,536 13,633 - -
JNL/Eagle Core Equity Fund 185,636 138,113 - -
JNL/Eagle SmallCap Equity Fund 61,270 62,208 - -
JNL/Janus Aggressive Growth Fund 177,888 210,894 - -
JNL/Janus Balanced Fund 68,204 44,635 11,973 8,506
JNL/Janus Capital Growth Fund 44,383 64,670 - -
JNL/Janus Global Equities Fund 226,972 280,661 - -
JNL/Janus Growth & Income Fund 6,532 7,723 - 495
JNL/JPMorgan International Value Fund 26,153 12,401 - -
JNL/Lazard Mid Cap Value Fund 125,083 85,738 - -
JNL/Lazard Small Cap Value Fund 112,502 68,793 - -
JNL/Mellon Capital Management Bond Index Fund 18,501 3,366 83,088 36,006
JNL/Mellon Capital Management International Index 46,531 789 - -
Fund
JNL/Oppenheimer Global Growth Fund 50,893 24,864 - -
JNL/Oppenheimer Growth Fund 31,499 20,392 - -
JNL/PIMCO Total Return Bond Fund 267,239 291,726 221,194 193,472
JNL/PPM America Balanced Fund 112,310 65,860 82,078 67,733
JNL/PPM America High Yield Bond Fund 156,768 72,623 - -
JNL/PPM America Value Fund 32,043 4,730 - -
JNL/Putnam Equity Fund 114,499 141,422 - -
JNL/Putnam International Equity Fund 93,713 97,442 - -
JNL/Putnam Midcap Growth Fund 29,880 26,135 - -
JNL/Putnam Value Equity Fund 177,221 180,258 - -
JNL/S&P Aggressive Growth Fund 982 3,118 - -
JNL/S&P Aggressive Growth Fund I 42,438 4,692 - -
JNL/S&P Aggressive Growth Fund II 670 1,377 - -
JNL/S&P Conservative Growth Fund 1,961 2,806 - -
JNL/S&P Conservative Growth Fund I 136,192 6,683 - -
JNL/S&P Conservative Growth Fund II 2,854 3,581 - -
JNL/S&P Core Index 100 Fund 18,699 1,567 - -
JNL/S&P Core Index 50 Fund 4,975 456 - -
JNL/S&P Core Index 75 Fund 5,491 1,423 - -
JNL/S&P Equity Aggressive Growth Fund I 12,619 3,558 - -
JNL/S&P Equity Aggressive Growth Fund II 232 567 - -
JNL/S&P Equity Growth Fund I 46,829 9,709 - -
JNL/S&P Equity Growth Fund II 972 1,319 - -
JNL/S&P Moderate Growth Fund 3,202 5,410 - -
JNL/S&P Moderate Growth Fund I 210,696 14,418 - -
JNL/S&P Moderate Growth Fund II 3,726 4,082 - -
JNL/S&P Very Aggressive Growth Fund I 11,397 6,323 - -
JNL/S&P Very Aggressive Growth Fund II 148 419 - -
JNL/Salomon Brothers Balanced Fund 26,741 24,777 1,290 1,581
JNL/Salomon Brothers Global Bond Fund 537,093 481,241 11,100 5,150
JNL/Salomon Brothers High Yield Bond Fund 13,586 13,972 - -
JNL/Salomon Brothers U.S. Government & Quality Bond
Fund 1,331,147 1,302,557 55,513 96,906
JNL/T.Rowe Price Established Growth Fund 178,614 130,149 - -
JNL/T.Rowe Price Mid-Cap Growth Fund 137,578 120,438 - -
JNL/T.Rowe Price Value Fund 173,588 75,496 - -
NOTE 5. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in U.S.
companies and the U.S. Government. These risks include revaluation of currencies
and future adverse political and economic developments. Moreover, securities of
many foreign companies and foreign governments and their markets may be less
liquid and their prices more volatile than those of securities of comparable
U.S. companies and the U.S. Government.
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 6. FEDERAL INCOME TAX MATTERS
At December 31, 2003, the following Funds had accumulated net realized capital
loss carryovers, in thousands, for U.S. federal income tax purposes, which may
be used to offset future, realized capital gains (in thousands). It is the
intent of the Board of Trustees to not distribute any realized capital gains
until the accumulated net realized capital loss carryovers have been offset or
have expired.
YEAR(S) OF
AMOUNT EXPIRATION
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 1,138 2010
JNL/AIM Premier Equity II Fund 2,596 2010-2011
JNL/AIM Small Cap Growth Fund 2,129 2010-2011
JNL/Alger Growth Fund 135,067 2009-2011
JNL/Alliance Capital Growth Fund 67,051 2009-2011
JNL/Curian Enhanced S&P 500
Stock Index Fund 3,629 2010
JNL/Curian S&P 400 MidCap Index
Fund 250 2010-2011
JNL/Eagle Core Equity Fund 41,816 2009-2011
JNL/Eagle SmallCap Equity Fund 19,443 2009-2011
JNL/Janus Aggressive Growth Fund 360,968 2009-2011
JNL/Janus Balanced Fund 12,339 2008-2011
JNL/Janus Capital Growth Fund 371,570 2009-2011
JNL/Janus Global Equities Fund 182,435 2009-2011
JNL/Janus Growth & Income Fund 8,160 2006-2011
JNL/JPMorgan International
Value Fund 2,827 2009-2010
JNL/Lazard Mid Cap Value Fund 782 2010
JNL/Lazard Small Cap Value Fund 2,393 2010
JNL/Mellon Capital Management
International Index Fund 827 2010-2011
JNL/Oppenheimer Global Growth
Fund 10,140 2009-2011
JNL/Oppenheimer Growth Fund 4,494 2009-2011
JNL/PPM America High Yield Bond
Fund 53,239 2007-2010
JNL/Putnam Equity Fund 137,173 2008-2011
JNL/Putnam International Equity
Fund 38,714 2009-2011
JNL/Putnam Midcap Growth Fund 24,667 2008-2011
JNL/Putnam Value Equity Fund 61,349 2008-2011
JNL/S&P Aggressive Growth Fund 550 2009
JNL/S&P Aggressive Growth Fund I 17,885 2009-2010
JNL/S&P Aggressive Growth Fund II 632 2009-2010
JNL/S&P Conservative Growth
Fund I 6,847 2010
JNL/S&P Conservative Growth
Fund II 302 2010
JNL/S&P Equity Aggressive
Growth Fund I 9,304 2009-2010
JNL/S&P Equity Aggressive
Growth Fund II 206 2010
JNL/S&P Equity Growth Fund I 26,964 2009-2010
JNL/S&P Equity Growth Fund II $ 1,013 2010
JNL/S&P Moderate Growth Fund 34 2009
JNL/S&P Moderate Growth Fund I 18,135 2009-2010
JNL/S&P Moderate Growth Fund II 1,546 2009-2010
JNL/S&P Very Aggressive Growth
Fund I 14,798 2009-2010
JNL/S&P Very Aggressive Growth
Fund II 113 2009-2010
JNL/Salomon Brothers High Yield
Bond Fund 2,332 2008-2010
JNL/T.Rowe Price Established
Growth Fund 94,691 2009-2011
JNL/T.Rowe Price Value Fund 1,711 2010
The following represents capital and/or currency losses (in thousands) realized
after October 31, 2003, which were deferred for tax purposes to the first of the
following fiscal year.
AMOUNT
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/Eagle SmallCap Equity Fund $ 88
JNL/Janus Balanced Fund 2
JNL/Janus Global Equities Fund 1,430
JNL/Mellon Capital Management
International Index Fund 2
JNL/Mellon Capital Management Bond Index
Fund 303
JNL/Putnam Equity Fund 224
JNL/Putnam International Equity Fund 187
JNL/Salomon Brothers Global Bond Fund 965
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 269
JNL/T.Rowe Price Established Growth Fund 9
JNL/T.Rowe Price Mid-Cap Growth Fund 7
Permanent differences between book and tax basis reporting for the 2003 fiscal
year have been identified and appropriately reclassified as indicated below (in
thousands). These reclassifications have no impact on net assets.
NET INCREASE (DECREASE)
-------------------------------------------------------
ACCUMULATED ACCUMULATED
UNDISTRIBUTED NET
NET INVESTMENT REALIZED
INCOME GAIN/LOSS PAID IN CAPITAL
---------------- --------------- ----------------
JNL/AIM Large Cap Growth Fund $ 73 $ 1 $ (74)
JNL/AIM Small Cap Growth Fund 203 - (203)
JNL/Alger Growth Fund 533 - (533)
JNL/Curian Enhanced S&P 500 Stock Index Fund (1) - 1
JNL/Curian S&P 500 Index Fund (2) 2 -
JNL/Curian Small Cap Index Fund (8) 8 -
JNL/Eagle Core Equity Fund (4) 4 -
JNL/Eagle SmallCap Equity Fund 674 - (674)
JNL/Janus Aggressive Growth Fund 488 951 (1,439)
JNL/Janus Balanced Fund 8 (8) -
JNL/Janus Capital Growth Fund 743 - (743)
JNL/Janus Global Equities Fund (1,732) 2,706 (974)
JNL/Janus Growth & Income Fund (27) 27 -
JNL/JPMorgan International Value Fund 192 (192) -
JNL/Lazard Mid Cap Value Fund (20) 20 -
JNL/Lazard Small Cap Value Fund (47) 47 -
JNL/Mellon Capital Management Bond Index Fund (63) 63 -
JNL/Mellon Capital Management International
Index Fund 399 (399) -
JNL/Oppenheimer Global Growth Fund (224) 224 -
JNL/Oppenheimer Growth Fund 118 - (118)
JNL/PIMCO Total Return Bond Fund 319 (319) -
JNL/PPM America Balanced Fund (36) 36 -
JNL/Putnam Equity Fund 1 (1) -
JNL/Putnam International Equity Fund 319 (319) -
JNL/Putnam Midcap Growth Fund 118 - (118)
JNL/Putnam Value Equity Fund 127 2 (129)
JNL/Salomon Brothers Global Bond Fund 59 (59) -
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (68) 68 -
JNL/T.Rowe Price Established Growth Fund (130) 130 -
JNL/T.Rowe Price Mid-Cap Growth Fund 1,751 7 (1,758)
JNL/T.Rowe Price Value Fund (12) 12 -
As of December 31, 2003, the components of distributable earnings on a tax-basis
and the federal tax cost of investments are listed in the following table (in
thousands). Net investment income, net realized gains, and unrealized
appreciation may differ for financial statement and tax purposes primarily
because of the recognition of certain foreign currency gains as ordinary income
for tax purposes; the realization for tax purposes of unrealized gains on
certain forward foreign currency or futures contracts and unrealized gains or
losses on investments in passive foreign investment companies; the difference in
accounting for investments in Real Estate Investment Trusts; and the tax
deferral of losses on wash sale transactions.
TAX COMPONENTS OF
DISTRIBUTABLE EARNINGS
---------------------------
NET UNDISTRIBUTED ACCUMULATED
GROSS GROSS UNREALIZED NET NET
COST OF UNREALIZED UNREALIZED APPRECIATION/ INVESTMENT REALIZED
INVESTMENTS APPRECIATION DEPRECIATION DEPRECIATION INCOME GAIN/LOSS
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 33,385 $ 4,289 $ (204) 4,085 - -
JNL/AIM Premier Equity II Fund 21,698 2,766 (333) 2,433 8 -
JNL/AIM Small Cap Growth Fund 37,968 7,536 (1,048) 6,488 - -
JNL/Alger Growth Fund 207,089 40,331 (2,856) 37,475 - -
JNL/Alliance Capital Growth Fund 125,258 13,572 (8,235) 5,337 110 -
JNL/Curian Enhanced S&P 500 Stock Index Fund 84,391 6,509 (2,138) 4,371 485 -
JNL/Curian S&P 400 MidCap Index Fund 70,500 11,765 (1,424) 10,341 10 -
JNL/Curian S&P 500 Index Fund 170,248 23,270 (3,837) 19,433 5 291
JNL/Curian Small Cap Index Fund 65,392 12,955 (2,610) 10,345 6 333
JNL/Eagle Core Equity Fund 219,970 31,100 (5,821) 25,279 35 -
JNL/Eagle SmallCap Equity Fund 86,504 29,291 (4,660) 24,631 - -
JNL/Janus Aggressive Growth Fund 210,721 52,448 (4,735) 47,713 - -
JNL/Janus Balanced Fund 103,661 10,706 (1,011) 9,695 51 -
JNL/Janus Capital Growth Fund 131,995 31,606 (5,255) 26,351 - -
JNL/Janus Global Equities Fund 164,583 32,394 (3,997) 28,397 - -
JNL/Janus Growth & Income Fund 13,406 2,405 (514) 1,891 32 -
JNL/JPMorgan International Value Fund 25,107 2,897 (64) 2,833 214 -
JNL/Lazard Mid Cap Value Fund 125,851 19,306 (970) 18,336 94 -
JNL/Lazard Small Cap Value Fund 132,470 27,372 (2,185) 25,187 90 -
JNL/Mellon Capital Management Bond Index Fund 82,839 1,079 (470) 609 326 9
JNL/Mellon Capital Management International
Index Fund 82,442 15,967 (1,744) 14,223 245 -
JNL/Oppenheimer Global Growth Fund 90,882 20,057 (2,779) 17,278 289 -
JNL/Oppenheimer Growth Fund 29,827 3,809 (344) 3,465 - -
JNL/PIMCO Total Return Bond Fund 313,008 4,254 (662) 3,592 5,763 4,007
JNL/PPM America Balanced Fund 267,780 40,999 (6,504) 34,495 375 2,289
JNL/PPM America Money Market Fund 185,653 - - - - -
JNL/PPM America High Yield Bond Fund 241,903 19,312 (439) 18,873 184 -
JNL/PPM America Value Fund 45,887 9,804 (332) 9,472 523 945
JNL/Putnam Equity Fund 150,175 19,797 (5,624) 14,173 696 -
JNL/Putnam International Equity Fund 83,558 16,862 (3,520) 13,342 152 -
JNL/Putnam Midcap Growth Fund 24,866 4,366 (586) 3,780 - -
JNL/Putnam Value Equity Fund 282,676 38,136 (11,060) 27,076 - -
JNL/S&P Aggressive Growth Fund 20,091 761 (8,395) (7,634) 40 -
JNL/S&P Aggressive Growth Fund I 166,371 15,096 (17,944) (2,848) 12 -
JNL/S&P Aggressive Growth Fund II 5,596 400 (1,900) (1,500) 32 -
JNL/S&P Conservative Growth Fund 17,514 1,093 (2,924) (1,831) 185 78
JNL/S&P Conservative Growth Fund I 393,173 27,209 (18,530) 8,679 75 -
JNL/S&P Conservative Growth Fund II 15,665 1,124 (2,759) (1,635) 267 -
JNL/S&P Core Index 100 Fund 32,330 4,326 (361) 3,965 213 139
JNL/S&P Core Index 50 Fund 6,886 984 (236) 748 25 12
JNL/S&P Core Index 75 Fund 8,881 1,329 (192) 1,137 48 58
JNL/S&P Equity Aggressive Growth Fund I 56,732 5,766 (11,517) (5,751) 35 -
JNL/S&P Equity Aggressive Growth Fund II 2,797 146 (1,428) (1,282) 1 -
JNL/S&P Equity Growth Fund I 200,339 18,502 (43,344) (24,842) 220 -
JNL/S&P Equity Growth Fund II 9,913 625 (4,105) (3,480) 9 -
JNL/S&P Moderate Growth Fund 35,884 2,319 (9,407) (7,088) 257 -
JNL/S&P Moderate Growth Fund I 601,757 48,198 (40,537) 7,661 85 -
JNL/S&P Moderate Growth Fund II 21,594 1,783 (4,023) (2,240) 271 -
JNL/S&P Very Aggressive Growth Fund I 70,830 6,600 (17,254) (10,654) 14 -
JNL/S&P Very Aggressive Growth Fund II 3,588 156 (1,622) (1,466) - -
JNL/Salomon Brothers Balanced Fund 20,513 1,771 (1,549) 222 272 221
JNL/Salomon Brothers Global Bond Fund 245,517 10,478 (2,894) 7,584 249 745
JNL/Salomon Brothers High Yield Bond Fund 18,689 1,641 (1,239) 402 27 -
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 369,074 5,723 (761) 4,962 603 129
T. Rowe Price/JNL Established Growth Fund 419,772 73,558 (19,756) 53,802 379 -
T. Rowe Price/JNL Mid-Cap Growth Fund 305,124 92,675 (14,687) 77,988 - 4,824
T. Rowe Price/JNL Value Fund 368,782 57,171 (22,045) 35,126 2,908 -
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The tax character of distributions paid during the period ended December 31,
2003, were as follows (in thousands):
LONG-TERM
ORDINARY CAPITAL
INCOME GAIN
-------------------------
JNL/Curian Enhanced S&P 500 Stock
Index Fund $ 236 -
JNL/Curian S&P 400 MidCap Index
Fund 230 -
JNL/Curian S&P 500 Index Fund 1,511 588
JNL/Curian Small Cap Index Fund 269 498
JNL/Eagle Core Equity Fund 1,494 -
JNL/Janus Balanced Fund 1,480 -
JNL/Janus Growth & Income Fund 75 -
JNL/JPMorgan International Value
Fund 346 -
JNL/Lazard Mid Cap Value Fund 266 -
JNL/Mellon Capital Management Bond
Index Fund 2,128 209
JNL/Mellon Capital Management
International Index Fund 1,094 -
JNL/PIMCO Total Return Bond Fund 8,768 1,422
JNL/PPM America Balanced Fund 7,530 401
JNL/PPM America High Yield Bond
Fund 15,485 -
JNL/PPM America Money Market Fund 924 -
JNL/PPM America Value Equity Fund 303 -
JNL/Putnam Equity Fund 486 -
JNL/Putnam International Equity
Fund 1,395 -
JNL/Putnam Value Equity Fund 3,168 -
JNL/S&P Aggressive Growth Fund 32 -
JNL/S&P Aggressive Growth Fund I 1,956 -
JNL/S&P Aggressive Growth Fund II 35 -
JNL/S&P Conservative Growth Fund 158 -
JNL/S&P Conservative Growth Fund I 8,874 -
JNL/S&P Conservative Growth Fund
II 259 -
JNL/S&P Core Index 100 Fund 170 -
JNL/S&P Core Index 50 Fund 3 -
JNL/S&P Core Index 75 Fund 40 -
JNL/S&P Equity Aggressive Growth
Fund I 2 -
JNL/S&P Equity Aggressive Growth
Fund II 1 -
JNL/S&P Equity Growth Fund I 20 -
JNL/S&P Equity Growth Fund II 8 -
JNL/S&P Moderate Growth Fund 189 -
JNL/S&P Moderate Growth Fund I 9,969 -
JNL/S&P Moderate Growth Fund II 243 -
JNL/Salomon Brothers Balanced Fund 359 -
JNL/Salomon Brothers Global Bond
Fund 9,699 1,122
JNL/Salomon Brothers High Yield
Bond Fund 1,671 -
JNL/Salomon Brothers U.S.
Government & Quality Bond Fund 9,416 2,639
JNL/T.Rowe Price Established
Growth Fund 118 -
JNL/T.Rowe Price Mid-Cap Growth
Fund - 1,870
JNL/T.Rowe Price Value Fund 2,064 -
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of JNL Series Trust
We have audited the accompanying statements of assets and liabilities of each
Fund within the JNL Series Trust (the "Funds"), including the schedules of
investments, as listed in Note 1 of the financial statements as of December 31,
2003, and the related statements of operations for the year then ended, the
statements of changes in net assets for each of the years or periods in the
two-year period then ended, and the financial highlights for each of the years
or periods in the three-year period then ended. These financial statements and
financial highlights are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights presented for
each of the periods prior to 2001 were audited by other auditors, whose report
dated February 2, 2001, expressed an unqualified opinion.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 2003, by correspondence with the custodian
or by other appropriate auditing procedures. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
Fund within the JNL Series Trust as of December 31, 2003, the results of their
operations for the year then ended, the changes in their net assets for each of
the years or periods in the two-year period then ended, and the financial
highlights for each of the years or periods in the three-year period then ended,
in conformity with accounting principles generally accepted in the United States
of America.
/s/ KPMG LLP
Chicago, IL
February 20, 2004
TRUSTEES OF JNL SERIES TRUST
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
NUMBER OF
PORTFOLIOS IN
CURRENT THE FUND COMPLEX
POSITION WITH LENGTH OF PRINCIPAL OCCUPATION FOR OVERSEEN BY THE OTHER TRUSTEESHIPS
TRUSTEE (AGE) & ADDRESS THE TRUST TIME SERVED THE PAST 5 YEARS TRUSTEE HELD BY THE TRUSTEE
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Interested Trustees
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Andrew B. Hopping* (45) Trustee and 8/96 to Executive Vice President, 85 None
1 Corporate Way Chair of present Chief Financial Officer
Lansing, MI 48951 Board of and Treasurer of Jackson
Trustees National Life
Insurance
Company; Trustee
or Manager, and
Chairman of each
other investment
company in the
Fund Complex.
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Robert A. Fritts* (55) Trustee, 8/97 to Senior Vice President and 85 None
1 Corporate Way President and present Controller of Jackson
Lansing, MI 48951 Chief National Life Insurance
Executive Company (9/03 to present);
Officer Vice President and
Controller of
Jackson National
Life Insurance
Company (8/82 to
8/03); Trustee or
Manager, and
(since 12/02)
President and
Chief Executive
Officer, of each
other investment
company in the
Fund Complex.
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Disinterested Trustees
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Michael Bouchard (47) Trustee 12/03 to Sheriff, Oakland County, 85 None
1 Corporate Way present Michigan; Senator - State
Lansing, MI 48951 of Michigan (1991 - 1999);
Chairman - Financial
Services Committee (1/95 -
1/99)
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Michelle Engler (45) Trustee 12/03 to Attorney (1983 to present); 85 Director of Federal
1 Corporate Way present First Lady of the State of Home Loan Mortgage
Lansing, MI 48951 Michigan (1990 - 2002); Corporation
Michigan Community Service
Commission Chair (1991 -
2000)
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Joseph Frauenheim (69) Trustee 12/94 to Consultant (Banking) 85 None
1 Corporate Way present
Lansing, MI 48951
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Richard McLellan (61) Trustee 12/94 to Member, Dykema Gossett 85 None
1 Corporate Way present PLLC (law firm)
Lansing, MI 48951
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
Dominic D'Annunzio (65) Trustee 2/2002 to Acting Commissioner of 85 None
1 Corporate Way present Insurance for the State of
Lansing, MI 48951 Michigan (1/90 to 5/90)
(8/97 to 5/98)
- ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
* Messrs. Hopping and Fritts are "interested persons" of the Trust due to their
positions with Jackson National Life Insurance Company, which is the parent
company of the Advisor and Distributor.
The Statement of Additional Information includes additional information about
Fund Trustees and may be obtained at no charge by calling (800) 766-4683.
TRUSTEES OF JNL SERIES TRUST
Trustees and officers that are interested persons of the Trust or the Adviser do
not receive any compensation from the Trust for their services as Trustees or
officers. The following persons, who are disinterested Trustees of the Trust,
received from the Trust the compensation amounts indicated for the services as
such.
Pension or Retirement
Aggregate Benefits Accrued As Part Estimated Annual
Compensation of Benefits Upon Total Compensation from
Trustee from Trust Trust Expenses Retirement Trust
Joseph Frauenheim $30,000 $0 $0 $30,000
Richard McLellan $30,000 $0 $0 $30,000
Dominic D'Annunzio $30,000 $0 $0 $30,000
Michael Bouchard $7,500 $0 $0 $7,500
Michelle Engler $7,500 $0 $0 $7,500
As of December 11, 2003, the JNL Variable Fund, JNL Series Trust, and JNL
Investors Series Trust meet jointly as one Board.
JNL SERIES TRUST
A Special Meeting of the Shareholders of the JNL Series Trust held December 1,
2003.
The meeting involved the election of directors. The following lists the name of
each director elected at the meeting and the names of all other directors now in
office:
Elected: Michael Bouchard
Michelle Engler
Current: Dominic D'Annunzio
Joseph Frauenheim
Richard McLellan
Andrew B. Hopping
Robert A. Fritts
The following proposals were voted upon at the meeting:
1. To vote on the election of two additional Trustees to the Board of
Trustees, each of whom will serve until his or her successor is elected
and qualified:
AFFIRMATIVE AGAINST WITHHOLD
Michael Bouchard 731,887,734.540 0 19,139,505.431
Michelle Engler 731,186,337.357 0 19,840,902.614
2. To approve an amendment to the Trust's Brokerage Enhancement Plan
pursuant to Rule 12b-1 under the 1940 Act approving a 12b-1 fee for all
Funds except the S&P/JNL Funds.
FUND AFFIRMATIVE AGAINST WITHHOLD
---- ----------- ------- --------
AIM/JNL Large Cap Growth Fund 2,148,985.215 122,653.112 135,464.335
AIM/JNL Premier Equity II Fund 2,083,032.390 25,444.704 34,098.594
AIM/JNL Small Cap Growth Fund 2,551,069.316 103,961.311 122,536.936
Alger/JNL Growth Fund 14,918,172.929 512,017.097 620,447.747
Alliance Capital/JNL Growth Fund 12,138,567.652 114,367.150 148,111.823
Eagle/JNL Core Equity Fund 15,441,113.506 102,414.153 137,317.221
Eagle/JNL SmallCap Equity Fund 6,299,043.983 188,182.625 210,013.945
Janus/JNL Aggressive Growth Fund 13,951,310.256 749,013.367 635,457.904
Janus/JNL Balanced Fund 10,582,911.550 310,304.215 542,659.189
Janus/JNL Capital Growth Fund 11,222,834.911 767,763.115 537,136.580
Janus/JNL Global Equities Fund 10,995,072.136 617,315.055 721,869.585
Janus/JNL Growth & Income Fund 2,152,763.885 92,830.551 135,588.999
JPMorgan/JNL Enhanced S&P 500
Stock Index Fund 8,237,148.790 133,512.687 70,615.447
JPMorgan/JNL International Value
Fund 1,747,349.140 69,899.026 140,013.134
Lazard/JNL Mid Cap Value Fund 9,152,326.267 126,806.282 150,653.748
Lazard/JNL Small Cap Value Fund 9,791,339.376 165,589.926 126,793.429
Mellon Capital Management/JNL
S&P 500 Index Fund 13,642,810.261 352,985.341 354,964.443
Mellon Capital Management/JNL
S&P 400 Mid Cap Index Fund 4,337,592.073 320,944.543 264,203.486
Mellon Capital Management/JNL
Small Cap Index Fund 4,385,363.741 268,478.042 221,622.280
Mellon Capital Management/JNL
Bond Index Fund 5,916,692.997 93,003.078 71,427.753
Mellon Capital Management/JNL
International Index Fund 6,311,134.160 105,388.295 78,228.874
Oppenheimer/JNL Global Growth
Fund 8,919,370.639 110,994.686 150,349.559
Oppenheimer/JNL Growth Fund 3,381,686.034 27,444.437 60,651.302
PIMCO/JNL Total Return Bond Fund 23,309,410.712 362,627.688 720,765.094
PPM America/JNL Balanced Fund 16,428,470.474 719,167.335 887,084.645
PPM America/JNL High Yield Bond
Fund 24,856,847.580 439,414.153 1,088,368.017
PPM America/JNL Money Market Fund 185,786,633.257 2,796,053.635 5,727,261.233
PPM America/JNL Value Fund 2,728,261.473 9,718.234 14,880.400
Putnam/JNL Equity Fund 9,074,125.797 636,000.932 789,246.778
Putnam/JNL Value Equity Fund 18,131,434.656 499,066.859 621,184.168
Putnam/JNL International Equity
Fund 9,237,333.680 499,865.713 429,644.492
Putnam/JNL Midcap Growth Fund 3,721,239.462 115,149.272 223,619.788
Salomon Brothers/JNL Balanced
Fund 1,604,868.601 27,871.450 229,340.059
Salomon Brothers/JNL Global Bond
Fund 14,541,542.761 198,474.309 287,419.846
Salomon Brothers/JNL High Yield
Bond Fund 2,102,147.240 15,746.328 33,789.220
Salomon Brothers/JNL U.S.
Government & Quality Bond Fund 21,551,416.128 573,245.147 1,107,495.819
T. Rowe Price/JNL Established
Growth Fund 25,386,208.034 490,075.599 550,898.878
T. Rowe Price/JNL Mid-Cap Growth
Fund 13,004,681.863 584,098.364 602,307.724
T. Rowe Price/JNL Value Fund 29,239,073.778 216,709.966 327,053.344
3. To approve a change in sub-adviser and a new Investment Sub-Advisory
Agreement between Jackson National Asset Management, LLC ("JNAM"), the
Funds' adviser, and Curian Capital, LLC ("Curian"), for Curian to serve
as sub-adviser to the following Funds only: Mellon Capital
Management/JNL S&P 500 Index Fund; Mellon Capital Management/JNL S&P
400 Mid Cap Index Fund; Mellon Capital Management/JNL Small Cap Index
Fund; JPMorgan/JNL Enhanced S&P 500 Stock Index Fund.
FUND AFFIRMATIVE AGAINST WITHHOLD
JPMorgan/JNL Enhanced S&P 500
Stock Index Fund 8,312,098.685 41,172.077 88,006.162
Mellon Capital Management/JNL
S&P 500 Index Fund 13,758,136.910 251,649.101 340,974.034
Mellon Capital Management/JNL
S&P 400 Mid Cap Index Fund 4,495,096.771 199,349.486 228,293.845
Mellon Capital Management/JNL
Small Cap Index Fund 4,490,289.161 169,424.298 215,750.604
SUPPLEMENT DATED FEBRUARY 12, 2004 TO THE PROSPECTUS
DATED DECEMBER 15, 2003
JNL(R) SERIES TRUST
On January 29, 2004, Jackson National Asset Management, LLCSM recommended and
the Board of Trustees approved a change of sub-adviser for the following funds:
JNL/Janus Aggressive Growth Fund
JNL/Janus Global Equities Fund
JNL/Janus Capital Growth Fund
JNL/Janus Balanced Fund
The changes will be effective on May 3, 2004.
Beginning then, the JNL/Janus Aggressive Growth Fund and the JNL/Janus Global
Equities Fund will be sub-advised by Wellington Management Company, llp. The
names of the funds will be changed to:
JNL/Janus Aggressive Growth Fund to JNL/Select Large Cap Growth Fund
JNL/Janus Global Equities Fund to JNL/Select Global Growth Fund
The Board also approved the change of the investment objective of the JNL/Select
Global Growth Fund to long-term growth of capital.
Beginning on May 3, 2004, the JNL/Janus Capital Growth Fund and the JNL/Janus
Balanced Fund will be managed by Fidelity Management & Research Company. The
names of the funds will be changed to:
JNL/Janus Balanced Fund to JNL/FMR Balanced Fund
JNL/Janus Capital Growth Fund to JNL/FMR Capital Growth Fund
The Board also approved a change in the investment objective of the JNL/FMR
Balanced Fund to income and capital growth, consistent with reasonable risk.
The Board also approved a change in the investment objective of the JNL/ FMR
Capital Growth Fund to long-term growth of capital.
We will be sending contract holders an information statement containing
additional information on these changes and the new sub-advisers.
In addition, on January 29, 2004, Jackson National Asset Management, LLCSM
recommended and the Board of Trustees approved the following fund mergers:
- -------------------------------------------------- -----------------------------------------------
Acquiring Funds Acquired Funds
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/AIM Large Cap Growth Fund JNL/AIM Premier Equity II Fund
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/Eagle Core Equity Fund JNL/Janus Growth & Income Fund
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/S&P Conservative Growth Fund I JNL/S&P Conservative Growth Fund II
JNL/S&P Conservative Growth Fund
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/S&P Moderate Growth Fund I JNL/S&P Moderate Growth Fund II
JNL/S&P Moderate Growth Fund
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/S&P Aggressive Growth Fund I JNL/S&P Aggressive Growth Fund II
JNL/S&P Aggressive Growth Fund
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/S&P Very Aggressive Growth Fund I JNL/S&P Very Aggressive Growth Fund II
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/S&P Equity Growth Fund I JNL/S&P Equity Growth Fund II
- -------------------------------------------------- -----------------------------------------------
- -------------------------------------------------- -----------------------------------------------
JNL/S&P Equity Aggressive Growth Fund I JNL/S&P Equity Aggressive Growth Fund II
- -------------------------------------------------- -----------------------------------------------
The Acquired Funds will be merged into the Acquiring Funds effective on May 3,
2004. Shareholder approval is not required for these transactions.
On February 12, 2004, Jackson National Asset Management, LLCSM recommended and
the Board of Trustees approved a change of sub-adviser for the following funds
and the names will be changed to:
JNL/Curian Enhanced S&P 500 Stock Index Fund to JNL/Mellon Capital Management
Enhanced S&P 500 Stock Index Fund JNL/Curian S&P 500 Index Fund to JNL/ Mellon
Capital Management S&P 500 Index Fund JNL/Curian S&P 400 Mid Cap Index Fund to
JNL/ Mellon Capital Management S&P 400 Mid Cap Index Fund JNL/Curian Small Cap
Index Fund to JNL/ Mellon Capital Management Small Cap Index Fund
The fees are as follows:
MANAGEMENT ESTIMATED
AND DISTRIBUTION 12B-1 TOTAL FUND
ADMINISTRATIVE (12B-1) SERVICE OTHER ANNUAL
FEE* FEES** FEE* EXPENSES EXPENSES
- ----------------------------------------------------------------- --------------- ------------- ----------- ------------- ----------
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 0.58% 0.01% 0.20% 0% 0.79%
JNL/Mellon Capital Management S&P 500 Index Fund 0.39% 0.01% 0.20% 0% 0.60%
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund 0.39% 0.01% 0.20% 0% 0.60%
JNL/Mellon Capital Management Small Cap Index Fund 0.39% 0.02% 0.20% 0% 0.61%
- ----------------------------------------------------------------- --------------- ------------- ----------- ------------- ----------
*Effective December 15, 2003, the Trust implemented the Rule 12b-1 fee for Class
A shares as part of an amendment to the Trust's Brokerage Enhancement Plan. The
Adviser reduced the Advisory Fee by 0.20%. Rule 12b-1 Service fees may not
exceed 0.20% of average daily net assets attributable to Class A shares.
** As discussed under "Management of the Trust," the Trustees have adopted a
Brokerage Enhancement Plan (the "Plan") in accord with the provisions of Rule
12b-1 under the Investment Company Act of 1940. The Plan uses the available
brokerage commissions to promote the sale of shares of the Trust. While the
brokerage commission rates and amounts paid by the Trust are not expected to
increase as a result of the Plan, the staff of the Securities and Exchange
Commission has taken the position that commission amounts received under the
Plan should be reflected as distribution expenses of the Fund. The distribution
expense noted is an estimate in that it is not possible to determine with
accuracy actual amounts that will be received by the Distributor or its
affiliate under the Plan.
The Board also approved a change in the investment objective of the JNL/Mellon
Capital Management Enhanced S&P 500 Stock Index Fund to exceed the performance
of the S&P 500 Index by tilting towards stocks having higher expected return
while maintaining overall index characteristics.
The changes will be effective on February 18, 2004. The new sub-adviser will be
Mellon Capital Management Corporation (Mellon Capital). Mellon Capital is
located at 595 Market Street, Suite 3000, San Francisco, California 94105.
Mellon Capital is a wholly owned subsidiary of Mellon Financial Corporation, a
publicly traded financial and bank holding company.
Mellon Capital supervises and manages the investment portfolio of the Fund and
directs the purchase and sale of the Fund's investment securities. Mellon
utilizes teams of investment professionals acting together to manage the assets
of the Fund. The team meets regularly to review portfolio holdings and to
discuss purchase and sale activity. The teams adjust holdings in the portfolios
as they deem appropriate in the pursuit of the Fund's investment objectives.
Please contact us at 1-800-766-4683 if you have any questions.
This Supplement is dated February 12, 2004.
Item 2. Code of Ethics
As of the end of the period covered by this report, the Registrant has adopted 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. A copy of this code of
ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were
approved or waivers were granted to this code of ethics during the period
covered by this report.
Item 3. Audit Committee Financial Expert.
The Registrant does not have a Financial Expert on its Board. The Registrant has
determined that financials do not involve the complexities of public company
financials and that the accounting methodologies of investment companies are
well established under the Investment Company Act of 1940 and therefore, a
financial expert is not necessary.
Item 4. Principal Accountant Fees and Services.
(a)-(d)
KPMG billed the Company aggregate fees for professional services rendered for
the fiscal years ending December 31, 2003, and December 31, 2002, as follows:
- --------------------------------------------------------------------------------------------------------------------
2003
- --------------------------------------------------------------------------------------------------------------------
Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees
- -------------------------- ------------------ --------------------- ----------------- ---------------- -------------
JNL Series Trust $411,302 $26,523 $84,460 $0 $522,285
- -------------------------- ------------------ --------------------- ----------------- ---------------- -------------
- --------------------------------------------------------------------------------------------------------------------
2002
- --------------------------------------------------------------------------------------------------------------------
Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees
- -------------------------- ------------------ --------------------- ----------------- ---------------- -------------
JNL Series Trust $356,750 $25,750 $82,000 $0 $464,500
- -------------------------- ------------------ --------------------- ----------------- ---------------- -------------
(e)(1)The Audit Committee is authorized to pre-approve non-audit services
provided by the Trust's auditors, if they find it appropriate in light of their
fiduciary duties and in the exercise of their good faith business judgment and
compatible with the auditors' independence. The Chairman of the Audit Committee
is authorized to approve audit and non-audit services for newly established
funds of the Trust on the same terms as the full Audit Committee previously had
approved for the then existing funds.
(e)(2)None
(f)0%
(g) KPMG was paid $26,523 for 2003 and $25,750 for 2002 to perform an internal
control review pursuant to SAS No. 70 related to JNAM's fund accounting
procedures. For the fiscal years ended December 31, 2002 and December 31, 2003,
KPMG did not provide any other non-audit services to JNAM and its affiliates
that provide ongoing services to the Company, other then the SAS 70.
(h) The Audit Committee pre-approved the SAS No. 70 review described above when
the Audit Committee approved KPMG as Auditors for fiscal years 2003 and 2002,
and did not find provision of these services to be incompatible with maintaining
the auditors' independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable as this is not a Listed Issuer as defined in Rule 10A-3 under the
Exchange Act.
Item 6. [Reserved]
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable as this is an Open-End Management Investment Company.
Item 8. [Reserved]
Item 9. Controls and Procedures.
(a) The Registrant's principal executive officer and principal financial offer
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 10. Exhibits
a. (1) The Registrant's code of ethics pursuant to Item 2 of Form N-CSR is
attached.
(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.
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 Act and the Investment
Company Act, the Registrant has duly caused this Report to be signed on
its behalf by the undersigned, duly authorized, in the City of Lansing and the
State of Michigan on the 8th day of March 2004.
JNL SERIES TRUST
(Registrant)
By: /s/ Robert A. Fritts
--------------------------------------------------
Robert A. Fritts
President, CEO and Trustee
By: /s/ Mark D. Nerud
--------------------------------------------------
Mark D. Nerud
Chief Financial Officer
Pursuant to the requirements of the Securities Act, this Report has been
signed below by the following persons in the capacities and on the date
indicated.
/s/ Robert A. Fritts March 8, 2004
- ---------------------- ----------------
Robert A. Fritts
President, Chief Executive Officer & Trustee
/s/ Mark D. Nerud March 8, 2004
- ----------------------- ----------------
Mark D. Nerud
Chief Financial Officer