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
- --------------------------------------------------------------------------------
(Exact Name of Registrant as specified in charter)
1 Corporate Way, Lansing, Michigan 48951
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Susan S. Rhee
Jackson National Asset Management,LLC
1 Corporate Way
Lansing, Michigan 48951
- --------------------------------------------------------------------------------
(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: June 30, 2004
Item 1. Report to Shareholders
Dear Investors:
We are pleased to provide you with this report on the operations of the JNL
Series Trust and the JNL Variable Fund LLC, JNL Variable Fund III LLC, JNL
Variable Fund V LLC, and JNLNY Variable Fund I LLC (collectively, JNL Variable
Funds LLC) for the six-month period ending June 30, 2004.
The Dow Jones, S&P 500 and NASDAQ all experienced an upturn starting in late
March of 2003 and continuing during the initial start of 2004, until
subsequently drifting lower. Fear of terrorism, higher energy prices, higher
interest rates and weak job data, among other concerns, have contributed to
recent weak market performance.
Equity market indicators for the six-month period ending June 30, 2004, showed
the Dow Jones up less than 1%; the S&P 500 up just under 3.5%; the EAFE Index (a
proxy for International Stock Markets) up over 4.5%, and the NASDAQ up just
under 2.5%. Small cap stocks outpaced large caps during the first half of the
year. In addition, the industrial and energy sectors posted strong returns.
Fixed income market indicators for the six-month period ending June 30, 2004,
showed the Lehman Brothers Aggregate Bond Index nearly flat, with a gain of only
0.15% and the Lehman Brothers High Yield Index up just over 1.3%.
Some market pundits view the U.S. equity market as being fairly valued and
experiencing moderately paced growth. Stock prices have generally followed
earnings. If earnings growth continues, we expect to see stock valuation move
upward accordingly. As anticipated, the Federal Reserve Board raised the federal
funds rate to 1.25% in late June of this year and the markets anticipate further
rate hikes this year in an effort to moderate growth. The current interest rate
environment in the U.S. is still historically low as we start to move off from
some of the lowest rates in more then 40 years. Through any market environment,
we recommend that our investors maintain a disciplined, long-term investment
plan.
The JNL Series Trust and JNL Variable Funds LLC offer a wide variety of Funds,
each with its own investment objective and strategy. The performance of each
Fund is influenced by its investment objective and the investment style of its
money managers, as well as the market environment. We hope that our wide
selection of Funds affords you the opportunity to create a portfolio that meets
your investment objectives and needs.
Thank you for your continued confidence in our products and services. We strive
to provide successful investment vehicles that will help you meet your financial
goals.
Respectfully,
/s/ Robert A. Fritts
Robert A. Fritts
President & Chief Executive Officer
JNL Series Trust
JNL Variable Funds LLC
JNL SERIES TRUST (UNAUDITED)
SCHEDULE OF INVESTMENTS (IN THOUSANDS)
JUNE 30, 2004
JNL/AIM LARGE CAP GROWTH FUND
Common Stocks - 98.3%
Aerospace & Defense - 2.2%
Boeing Co. 24 $ 1,226
Rockwell Collins Inc. 26 863
United Technologies Corp. 11 961
3,050
Apparel - 3.0%
Coach Inc. (b) 62 2,806
NIKE Inc. 22 1,659
4,465
Beverages - 3.6%
Coca-Cola Enterprises Inc. 47 1,354
Pepsi Bottling Group Inc. 49 1,481
PepsiCo Inc. 47 2,554
5,389
Biotechnology - 1.7%
Genentech Inc. (b) 45 2,518
Building Materials - 1.3%
American Standard Cos. Inc. (b) 25 1,008
Masco Corp. 32 982
1,990
Commercial Services - 7.5%
Accenture Ltd. (b) 73 2,012
Apollo Group Inc. (b) (l) 50 4,450
Cendant Corp. 190 4,643
11,105
Computers - 2.7%
Dell Inc. (b) 88 3,163
Lexmark International Inc. (b) 9 859
4,022
Cosmetics & Personal Care - 6.7%
Avon Products Inc. 38 1,749
Estee Lauder Cos. Inc. 36 1,761
Gillette Co. 100 4,227
Procter & Gamble Co. 40 2,178
9,915
Diversified Financial Services - 2.6%
American Express Co. 17 848
Citigroup Inc. 26 1,204
Countrywide Financial Corp. 13 878
MBNA Corp. 35 908
3,838
Electronics - 0.7%
Waters Corp. (b) 22 1,060
Entertainment - 2.2%
International Game Technology 84 3,230
Food - 0.6%
Tyson Foods Inc. 44 922
Healthcare - 17.6%
Alcon Inc. 36 2,840
Becton Dickinson & Co. 31 1,585
C.R. Bard Inc. 19 1,048
Johnson & Johnson 39 2,172
Quest Diagnostics Inc. 18 1,495
St. Jude Medical Inc. (b) 25 1,891
Stryker Corp. 38 2,063
UnitedHealth Group Inc. 102 6,332
Varian Medical Systems Inc. (b) 27 2,135
Zimmer Holdings Inc. (b) 50 4,402
25,963
Home Furnishings - 1.5%
Harman International Industries Inc. 25 2,239
Household Products - 1.6%
Fortune Brands Inc. 31 2,361
Insurance - 1.2%
Progressive Corp. 10 818
Torchmark Corp. 17 915
1,733
Internet - 5.8%
eBay Inc. (b) 22 2,023
Symantec Corp. (b) 73 3,213
Yahoo! Inc. (b) 93 3,362
8,598
Machinery - 0.9%
Rockwell Automation Inc. 37 1,391
Manufacturing - 5.3%
3M Co. 37 3,366
Danaher Corp. (l) 19 1,001
Illinois Tool Works Inc. 15 1,477
Tyco International Ltd. 59 1,947
7,791
Retail - 12.4%
Costco Wholesale Corp. 21 862
Gap Inc. (l) 127 3,089
Home Depot Inc. 34 1,207
J.C. Penney Co. Inc. 36 1,363
Limited Brands Inc. 42 793
McDonald's Corp. 99 2,582
Nordstrom Inc. 61 2,591
RadioShack Corp. 26 747
Staples Inc. 64 1,876
Starbucks Corp. (b) 34 1,474
Yum! Brands Inc. (b) 48 1,802
18,386
Savings & Loans - 0.6%
Golden West Financial Corp. 8 851
Semiconductors - 1.8%
Altera Corp. (b) 47 1,043
Analog Devices Inc. 18 833
Intel Corp. 28 778
2,654
Software - 4.3%
Adobe Systems Inc. 26 1,218
IMS Health Inc. 87 2,028
Microsoft Corp. 80 2,271
Oracle Corp. (b) 72 860
6,377
Telecommunications - 0.7%
Amdocs Ltd. (b) 41 962
Telecommunications Equipment - 5.2%
Avaya Inc. (b) 100 1,578
Cisco Systems Inc. (b) 259 6,127
7,705
Wireless Telecommunications - 4.6%
Motorola Inc. (l) 146 2,659
Nextel Communications Inc. (b) 54 1,448
Qualcomm Inc. 36 2,634
6,741
Total Common Stocks (cost $134,770) 145,256
Short Term Investments - 3.1%
Money Market Funds - 3.1%
Dreyfus Cash Management Plus, 1.14% (a) 4,549 4,549
Total Short Term Investments (cost $4,549) 4,549
Total Investments - 101.4% (cost $139,319) 149,805
Other Assets and Liabilities, Net - (1.4%) (2,066)
Total Net Assets - 100% $147,739
JNL/AIM SMALL CAP GROWTH FUND
Common Stocks - 92.5%
Advertising - 0.7%
Getty Images Inc. (b) (l) 6 $336
Aerospace & Defense - 0.6%
Engineered Support Systems Inc. 5 265
Airlines - 0.5%
Airtran Holdings Inc. (b) 15 216
Apparel - 0.5%
Quiksilver Inc. (b) 10 243
Banks - 3.5%
East-West Bancorp. Inc. 9 282
Greater Bay Bancorp. 6 165
Investors Financial Services Corp. (l) 3 144
PrivateBancorp Inc. 6 168
Prosperity Bancshares Inc. 6 146
Silicon Valley Bancshares (b) 5 202
Southwest Bancorp. of Texas Inc. 4 190
UCBH Holdings Inc. 6 228
W Holding Co. Inc. 7 117
1,642
Biotechnology - 2.7%
Affymetrix Inc. (b) (l) 6 187
Charles River Laboratories International Inc. (b) 1 44
Digene Corp. (b) 6 216
Genencor International Inc. (b) 7 118
Harvard Bioscience Inc. (b) 9 41
Integra LifeSciences Holdings Corp. (b) 6 198
Invitrogen Corp. (b) 4 251
Martek Biosciences Corp. (b) (l) 4 201
1,256
Building Materials - 0.4%
Trex Co. Inc. (b) (l) 5 193
Chemicals - 0.3%
Spartech Corp. 6 148
Commercial Services - 7.3%
Administaff Inc. (b) 6 105
Advisory Board Co. (b) 6 203
Alliance Data Systems Corp. (b) 6 241
Charles River Associates Inc. (b) 5 155
Corporate Executive Board Co. 6 370
CoStar Group Inc. (b) 9 400
Education Management Corp. (b) 6 210
Euronet Worldwide Inc. (b) 14 332
Forrester Research Inc. (b) 8 151
Gevity HR Inc. 7 178
Icon Plc - ADR (b) 5 237
iPayment Holdings Inc. (b) 3 115
Iron Mountain Inc. (b) 4 205
Laureate Education Inc. (b) 5 206
Steiner Leisure Ltd. (b) 7 150
Strayer Education Inc. 2 179
3,437
Computers - 2.8%
Anteon International Corp. (b) 6 199
CACI International Inc. - Class A (b) 3 137
Cognizant Technology Solutions Corp. (b) 7 173
Intergraph Corp. (b) 7 176
Magma Design Automation Inc. (b) 7 131
M-Systems Flash Disk Pioneers Ltd. (b) (l) 12 185
National Instruments Corp. 7 216
PalmOne Inc. (b) 2 83
1,300
Distribution & Wholesale - 0.5%
ScanSource Inc. (b) 4 256
Diversified Financial Services - 1.7%
Affiliated Managers Group Inc. (b) (l) 4 217
eSPEED Inc. (b) 9 150
Jefferies Group Inc. 5 167
Knight Trading Group Inc. (b) 12 124
Piper Jaffray Cos. (b) 3 154
812
Electrical Components & Equipment - 0.7%
Littelfuse Inc. (b) 5 199
Wilson Greatbatch Technologies Inc. (b) 4 115
314
Electronics - 7.1%
Cymer Inc. (b) 5 202
Daktronics Inc. (b) 7 170
FEI Co. (b) 7 163
Flir Systems Inc. (b) 6 329
Ii-Vi Inc. (b) 6 184
Imax Corp. (b) 23 126
Keithley Instruments Inc. 10 210
LeCroy Corp. (b) 10 176
PerkinElmer Inc. 9 172
Photon Dynamics Inc. (b) 7 256
Rogers Corp. (b) 3 210
Taser International Inc. (b) (l) 2 104
Tektronix Inc. 6 211
Trimble Navigation Ltd. (b) 14 388
TTM Technologies Inc. (b) 17 200
Varian Inc. (b) 7 287
3,388
Entertainment - 2.0%
Lions Gate Entertainment Corp. (b) 32 226
Macrovision Corp. (b) 9 230
Penn National Gaming Inc. (b) 7 226
Shuffle Master Inc. (b) (l) 7 263
945
Environmental Control - 1.0%
Stericycle Inc. (b) 6 285
Tetra Tech Inc. (b) 11 184
469
Food - 1.1%
SunOpta Inc. (b) 13 108
United Natural Foods Inc. (b) 14 390
498
Healthcare - 9.8%
Advanced Neuromodulation Systems Inc. (b) (l) 6 185
American Healthways Inc. (b) 4 101
American Medical Systems Holdings Inc. (b) 5 172
Amsurg Corp. (b) 7 185
Closure Medical Corp. (b) 7 186
Covance Inc. (b) 5 204
Cyberonics Inc. (b) (l) 5 151
Cytyc Corp. (b) 13 331
DaVita Inc. (b) 5 162
Gen-Probe Inc. (b) 6 293
Inveresk Research Group Inc. (b) 6 179
LifePoint Hospitals Inc. (b) 8 279
NuVasive Inc. (b) (l) 10 111
Odyssey HealthCare Inc. (b) (l) 8 149
OraSure Technologies Inc. (b) 17 168
Pediatrix Medical Group Inc. (b) 3 182
Possis Medical Inc. (b) 4 150
ResMed Inc. (b) 4 219
Select Medical Corp. 12 158
Steris Corp. (b) 7 149
Techne Corp. (b) 5 213
Triad Hospitals Inc. (b) 5 197
VISX Inc. (b) 10 273
Wright Medical Group Inc. (b) 5 167
Zoll Medical Corp. (b) 3 98
4,662
Home Builders - 0.3%
Toll Brothers Inc. (b) 3 118
Household Products - 0.5%
Fossil Inc. (b) 8 213
Insurance - 1.4%
Assured Guaranty Ltd. (b) 7 115
Direct General Corp. 3 110
HCC Insurance Holdings Inc. 5 177
Navigators Group Inc. (b) 4 121
ProAssurance Corp. (b) 4 136
659
Internet - 5.6%
Ask Jeeves Inc. (b) (l) 4 156
Avocent Corp. (b) 6 228
CNET Networks Inc. (b) 16 176
Digital Insight Corp. (b) 8 164
Digitas Inc. (b) 20 223
eResearch Technology Inc. (b) (l) 8 231
Internet Security Systems Inc. (b) 8 123
Interwoven Inc. (b) 9 93
Macromedia Inc. (b) 12 294
Netegrity Inc. (b) 16 132
NetFlix Inc. (b) (l) 5 162
Network Associates Inc. (b) 9 171
Sina Corp. (b) 5 155
United Online Inc. (b) 9 158
Websense Inc. (b) 6 231
2,697
Iron & Steel - 0.4%
Gibraltar Steel Corp. 6 187
Lodging - 1.0%
Kerzner International Ltd. (b) 4 191
Station Casinos Inc. (l) 6 290
481
Machinery - 0.3%
Cognex Corp. 3 131
Manufacturing - 0.7%
Applied Films Corp. (b) 11 311
Media - 1.3%
COX Radio Inc. (b) 5 94
Cumulus Media Inc. - Class A (b) 10 173
Entravision Communications Corp. (b) 13 98
Radio One Inc. (b) 6 98
Radio One Inc. - Class D (b) 11 171
634
Oil & Gas Producers - 3.1%
Grey Wolf Inc. (b) (l) 35 147
Harvest Natural Resources Inc. (b) 12 185
Patterson-UTI Energy Inc. 5 177
Pride International Inc. (b) 9 149
Quicksilver Resources Inc. (b) 5 302
Spinnaker Exploration Co. (b) 7 264
Ultra Petroleum Corp. (b) 7 260
1,484
Oil & Gas Services - 3.3%
CAL Dive International Inc. (b) 11 343
Core Laboratories NV (b) 6 145
FMC Technologies Inc. (b) 9 259
Key Energy Services Inc. (b) 14 136
National-Oilwell Inc. (b) 6 186
Tetra Technologies Inc. (b) 6 149
Universal Compression Holdings Inc. (b) 6 175
Varco International Inc. (b) 8 170
1,563
Pharmaceuticals - 4.4%
Accredo Health Inc. (b) 8 319
American Pharmaceutical Partners Inc. (b) (l) 5 137
Angiotech Pharmaceuticals Inc. (b) 7 147
Cephalon Inc. (b) (l) 2 92
Connetics Corp. (b) 6 115
Corcept Therapeutics Inc. (b) 10 80
Medicis Pharmaceutical Corp. - Class A (l) 7 272
NBTY Inc. (b) 6 188
Salix Pharmaceuticals Ltd. (b) 7 231
Taro Pharmaceuticals Industries Ltd. (b) 4 178
VCA Antech Inc. (b) 7 309
2,068
Retail - 8.8%
Aeropostale Inc. (b) 8 218
Bebe Stores Inc. (b) 8 164
Buffalo Wild Wings Inc. (b) 5 124
Carmax Inc. (b) (l) 6 127
Chico's FAS Inc. (b) (l) 5 221
Coldwater Creek Inc. (b) 4 106
Fred's Inc. 8 187
GameStop Corp. (b) 11 172
HOT Topic Inc. (b) (l) 8 159
Insight Enterprises Inc. (b) 12 213
Jos. A. Banks Clothiers Inc. (b) (l) 6 177
Krispy Kreme Doughnuts Inc. (b) (l) 5 86
MSC Industrial Direct Co. Inc. 10 332
Pacific Sunwear of California (b) 8 151
Panera Bread Co. - Class A (b) (l) 7 244
PF Chang's China Bistro Inc. (b) 5 222
Rare Hospitality International Inc. (b) 10 238
Select Comfort Corp. (b) 8 219
Sonic Corp. (b) 8 193
Tractor Supply Co. (b) 7 276
Urban Outfitters Inc. (b) 6 383
4,212
Semiconductors - 8.6%
Actel Corp. (b) 7 126
AMIS Holdings Inc. (b) 8 134
Artisan Components Inc. (b) 5 116
ASE Test Ltd. (b) 18 129
Asyst Technologies Inc. (b) 12 122
ChipPAC Inc. (b) 30 190
Entegris Inc. (b) 14 161
Exar Corp. (b) 8 123
Formfactor Inc. (b) 9 191
Genesis Microchip Inc. (b) 7 94
Integrated Circuit Systems Inc. (b) 8 217
Intersil Corp. 5 105
Microsemi Corp. (b) 12 168
Mykrolis Corp. (b) 16 279
Nvidia Corp. (b) 6 115
O2Micro International Ltd. (b) 11 192
Omnivision Technologies Inc. (b) (l) 8 129
Pixelworks Inc. (b) (l) 12 178
Power Integrations Inc. (b) 5 129
Semtech Corp. (b) 10 226
Skyworks Solutions Inc. (b) 19 162
Tripath Technology Inc. (b) (l) 23 74
Varian Semiconductor Equipment Associates Inc. (b) 6 228
Veeco Instruments Inc. (b) 5 124
Xicor Inc. (b) 14 203
Zoran Corp. (b) 8 142
4,057
Software - 4.6%
Activision Inc. (b) 16 250
Autodesk Inc. 6 240
Avid Technology Inc. (b) 5 273
Cerner Corp. (b) 3 116
Cognos Inc. (b) 5 188
Global Payments Inc. 5 203
Micromuse Inc. (b) 20 132
Novell Inc. (b) 11 95
Pixar Inc. (b) (l) 2 139
Red Hat Inc. (b) 17 378
Take-Two Interactive Software Inc. (b) 5 137
2,151
Telecommunications - 0.2%
Intrado Inc. (b) 7 112
Telecommunications Equipment - 3.0%
Adtran Inc. 5 150
Aeroflex Inc. (b) 18 258
C-COR.net Corp. (b) 10 106
Plantronics Inc. (b) 5 227
Polycom Inc. (b) 7 166
SafeNet Inc. (b) 10 266
UTStarcom Inc. (b) (l) 4 133
WJ Communications Inc. (b) 25 88
1,394
Toys & Hobbies - 0.4%
Marvel Enterprises Inc. (b) (l) 11 212
Transportation - 0.7%
Gulfmark Offshore Inc. (b) 8 130
UTI Worldwide Inc. 3 179
309
Wireless Telecommunications - 0.7%
Powerwave Technologies Inc. (b) 16 122
Sierra Wireless Inc. (b) 3 104
Wireless Facilities Inc. (b) 11 103
329
Total Common Stocks (cost $37,626) 43,702
Mutual Funds - 0.5%
iShares Nasdaq Biotechnology Index Fund (l) 3 218
Total Mutual Funds (cost $227) 218
Short Term Investments - 7.5%
Money Market Funds - 7.3%
Dreyfus Cash Management Plus, 1.14% (a) 2,347 2,347
Dreyfus Government Cash Management, 0.96% (a) 1,083 1,083
3,430
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 1.20%, 09/16/04 $100 100
Total Short Term Investments (cost $3,529) 3,530
Total Investments - 100.5% (cost $41,382) 47,450
Other Assets and Liabilities, Net - (0.5%) (245)
Total Net Assets - 100% $47,205
JNL/ALGER GROWTH FUND
Common Stocks - 99.3%
Apparel - 0.8%
NIKE Inc. 28 $2,151
Beverages - 2.0%
Anheuser-Busch Cos. Inc. 101 5,470
Biotechnology - 4.5%
Biogen Idec Inc. (b) 111 7,033
Genentech Inc. (b) 54 3,018
Millennium Pharmaceuticals Inc. (b) 174 2,402
12,453
Chemicals - 1.2%
Dow Chemical Co. 84 3,427
Computers - 0.5%
EMC Corp. (b) 126 1,439
Diversified Financial Services - 3.2%
Affiliated Managers Group Inc. (b) (l) 28 1,398
American Express Co. 74 3,807
T. Rowe Price Group Inc. 71 3,583
8,788
Healthcare - 9.4%
Aetna Inc. 45 3,817
Anthem Inc. (b) (l) 32 2,884
Boston Scientific Corp. (b) 112 4,793
HCA Inc. 149 6,189
Medtronic Inc. 94 4,572
Pacificare Health Systems Inc. (b) 75 2,880
Stryker Corp. 13 688
25,823
Household Products - 1.2%
Fortune Brands Inc. 45 3,372
Insurance - 3.2%
AFLAC Inc. 100 4,085
American International Group Inc. 65 4,655
8,740
Internet - 9.9%
eBay Inc. (b) 91 8,378
NetFlix Inc. (b) (l) 219 7,880
Yahoo! Inc. (b) 306 11,128
27,386
Leisure Time - 3.1%
Carnival Corp. 61 2,844
Royal Caribbean Cruises Ltd. 134 5,813
8,657
Lodging - 2.0%
Starwood Hotels & Resorts Worldwide Inc. 125 5,588
Manufacturing - 5.7%
General Electric Co. 174 5,623
Tyco International Ltd. 304 10,086
15,709
Media - 5.4%
Comcast Corp. - Special Class A (b) 144 3,984
Gannett Co. Inc. 24 2,049
Viacom Inc. - Class B 53 1,891
XM Satellite Radio Holdings Inc. - Class A (b) (l) 252 6,874
14,798
Oil & Gas Producers - 1.5%
Devon Energy Corp. 44 2,899
EOG Resources Inc. 23 1,361
4,260
Pharmaceuticals - 8.2%
Abbott Laboratories 63 2,548
Caremark Rx Inc. (b) 146 4,819
ImClone Systems Inc. (b) 26 2,248
Pfizer Inc. 306 10,490
Teva Pharmaceutical Industries Ltd. - ADR 38 2,547
22,652
Retail - 7.0%
Bed Bath & Beyond Inc. (b) 54 2,072
CVS Corp. 64 2,681
Home Depot Inc. 41 1,452
Target Corp. 171 7,252
Wal-Mart Stores Inc. 109 5,767
19,224
Semiconductors - 15.2%
Advanced Micro Devices Inc. (b) (l) 195 3,105
Altera Corp. (b) 247 5,484
Analog Devices Inc. 93 4,355
Applied Materials Inc. (b) 496 9,729
Broadcom Corp. (b) (l) 80 3,737
Linear Technology Corp. 178 7,039
Maxim Integrated Products Inc. 27 1,426
Teradyne Inc. (b) (l) 308 6,998
41,873
Software - 12.1%
Automatic Data Processing Inc. 186 7,781
First Data Corp. 109 4,848
Microsoft Corp. 412 11,768
Oracle Corp. (b) 441 5,265
Veritas Software Corp. (b) 131 3,620
33,282
Telecommunications Equipment - 3.2%
Cisco Systems Inc. (b) 374 8,859
Total Common Stocks (cost $249,813) 273,951
Short Term Investments - 0.5%
Money Market Funds - 0.5%
Dreyfus Cash Management Plus, 1.14% (a) 1,460 1,460
Total Short Term Investments (cost $1,460) 1,460
Total Investments - 99.8% (cost $251,273) 275,411
Other Assets and Liabilities, Net - 0.2% 555
Total Net Assets - 100% $275,966
JNL/ALLIANCE CAPITAL GROWTH FUND
Common Stocks - 99.1%
Beverages - 1.5%
Coca-Cola Co. 20 $1,005
Biotechnology - 2.8%
Amgen Inc. (b) 36 1,948
Computers - 5.4%
Dell Inc. (b) 72 2,569
EMC Corp. (b) 98 1,119
3,688
Cosmetics & Personal Care - 3.7%
Avon Products Inc. 25 1,163
Procter & Gamble Co. 25 1,344
2,507
Diversified Financial Services - 7.9%
Citigroup Inc. 42 1,948
Franklin Resources Inc. 15 741
JPMorgan Chase & Co. 40 1,531
MBNA Corp. 40 1,042
Merrill Lynch & Co. Inc. 3 184
5,446
Food - 0.1%
Whole Foods Market Inc. 1 67
Healthcare - 9.2%
Alcon Inc. 6 472
Anthem Inc. (b) 14 1,290
Boston Scientific Corp. (b) 35 1,494
St. Jude Medical Inc. (b) 18 1,384
UnitedHealth Group Inc. (l) 21 1,307
Zimmer Holdings Inc. (b) 4 353
6,300
Insurance - 4.9%
American International Group Inc. 33 2,345
Progressive Corp. 12 998
3,343
Internet - 11.4%
Amazon.Com Inc. (b) 22 1,180
eBay Inc. (b) 26 2,379
Symantec Corp. (b) (l) 23 1,020
Yahoo! Inc. (b) 89 3,233
7,812
Leisure Time - 1.1%
Carnival Corp. 16 752
Manufacturing - 2.8%
General Electric Co. 60 1,947
Media - 4.2%
E.W. Scripps Co. 6 651
Time Warner Inc. (b) 60 1,053
Viacom Inc. - Class B 34 1,207
2,911
Oil & Gas Producers - 1.1%
Nabors Industries Ltd. (b) 16 737
Oil & Gas Services - 1.2%
Baker Hughes Inc. 9 339
Halliburton Co. 9 260
Schlumberger Ltd. 3 203
802
Pharmaceuticals - 7.3%
Caremark Rx Inc. (b) 11 352
Cephalon Inc. (b) (l) 8 437
Forest Laboratories Inc. (b) 20 1,121
Pfizer Inc. 76 2,603
Teva Pharmaceutical Industries Ltd. - ADR 7 471
4,984
Retail - 7.3%
Bed Bath & Beyond Inc. (b) 20 784
Lowe's Cos. Inc. 36 1,8978
Starbucks Corp. (b) 5 230
Target Corp. 15 620
Wal-Mart Stores Inc. 29 1,504
5,036
Semiconductors - 10.7%
Applied Materials Inc. (b) 62 1,213
Broadcom Corp. (b) 21 959
Intel Corp. 92 2,542
Marvell Technology Group Ltd. (b) (l) 45 1,212
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 173 1,435
7,361
Software - 7.7%
Electronic Arts Inc. (b) 34 1,833
Microsoft Corp. (l) 71 2,034
Oracle Corp. (b) 47 565
SAP AG - ADR 21 865
5,297
Telecommunications Equipment - 7.1%
Cisco Systems Inc. (b) 85 2,017
Corning Inc. (b) (l) 110 1,436
Juniper Networks Inc. (b) (l) 57 1,405
4,858
Wireless Telecommunications - 1.7%
Qualcomm Inc. 16 1,153
Total Common Stocks (cost $63,004) 67,954
Preferred Stocks - 0.9%
Media - 0.9%
News Corp. Ltd. - ADR 19 631
Total Preferred Stocks (cost $659) 631
Short Term Investments - 0.1%
Money Market Funds - 0.1%
Dreyfus Cash Management Plus, 1.14% (a) 81 81
Total Short Term Investments (cost $81) 81
Total Investments - 100.1% (cost $63,744) 68,666
Other Assets and Liabilities, Net - (0.1%) (64)
Total Net Assets - 100% $68,602
JNL/EAGLE CORE EQUITY FUND
Common Stocks - 91.6%
Advertising - 1.0%
Omnicom Group Inc. 43 $3,233
Aerospace & Defense - 1.2%
United Technologies Corp. 41 3,760
Banks - 3.5%
Bank of America Corp. 55 4,688
Bank of New York Co. Inc. 28 825
US Bancorp. 49 1,350
Wachovia Corp. 51 2,262
Wells Fargo & Co. 27 1,545
10,670
Beverages - 1.2%
Anheuser-Busch Cos. Inc. 20 1,080
Coca-Cola Co. 28 1,431
PepsiCo Inc. 24 1,293
3,804
Biotechnology - 1.3%
Amgen Inc. (b) 38 2,082
Genzyme Corp. (b) 40 1,893
3,975
Commercial Services - 0.7%
Cendant Corp. 61 1,500
Jackson Hewitt Tax Service Inc. (b) (l) 35 613
2,113
Computers - 3.1%
Dell Inc. (b) 216 7,752
DigitalNet Holdings Inc. (b) 7 137
EMC Corp. (b) 140 1,596
9,485
Cosmetics & Personal Care - 1.1%
Kimberly-Clark Corp. 37 2,405
Procter & Gamble Co. 20 1,088
3,493
Diversified Financial Services - 5.7%
American Express Co. 48 2,451
Citigroup Inc. 86 3,985
Fannie Mae 84 6,001
Goldman Sachs Group Inc. (l) 23 2,147
JPMorgan Chase & Co. 35 1,357
Merrill Lynch & Co. Inc. 30 1,592
17,533
Electric - 0.3%
NiSource Inc. (l) 40 825
Electrical Components & Equipment - 2.2%
Emerson Electric Co. 106 6,762
Electronics - 0.7%
Jabil Circuit Inc. (b) 84 2,121
Entertainment - 0.2%
International Game Technology 20 755
Environmental Control - 1.2%
Waste Management Inc. 122 3,733
Food - 1.3%
Dean Foods Co. (b) 41 1,523
General Mills Inc. 20 951
Kraft Foods Inc. 22 697
Sysco Corp. 27 968
4,139
Gas - 0.4%
UGI Corp. 35 1,124
Healthcare - 4.9%
Aetna Inc. 18 1,522
Baxter International Inc. 144 4,955
Guidant Corp. 66 3,665
Johnson & Johnson 47 2,590
St. Jude Medical Inc. (b) 19 1,400
Zimmer Holdings Inc. (b) 11 997
15,129
Home Furnishings - 0.7%
Tempur-Pedic International Inc. (b) 145 2,033
Household Products - 1.4%
Newell Rubbermaid Inc. 183 4,291
Insurance - 0.8%
Marsh & McLennan Cos. Inc. 28 1,271
MetLife Inc. 22 788
St. Paul Cos. Inc. 10 385
2,444
Internet - 2.9%
CheckFree Corp. (b) 35 1,052
eBay Inc. (b) 38 3,503
InterActiveCorp. (b) (l) 120 3,605
WebMD Corp. (b) (l) 74 686
8,846
Lodging - 0.6%
Harrah's Entertainment Inc. 34 1,850
Machinery - 0.6%
Caterpillar Inc. 13 1,056
Deere & Co. 12 842
1,898
Manufacturing - 6.1%
3M Co. 20 1,800
Cooper Industries Ltd. - Class A 22 1,307
General Electric Co. 200 6,495
Harsco Corp. 30 1,410
Illinois Tool Works Inc. 26 2,464
Tyco International Ltd. 164 5,448
18,924
Media - 6.8%
Clear Channel Communications Inc. 41 1,513
Comcast Corp. - Special Class A (b) (l) 135 3,740
EchoStar Communications Corp. (b) 61 1,868
Gannett Co. Inc. 28 2,359
McGraw-Hill Cos. Inc. 15 1,149
Time Warner Inc. (b) 295 5,192
Univision Communications Inc. (b) (l) 23 718
Viacom Inc. - Class B 50 1,786
Walt Disney Co. 108 2,759
21,084
Oil & Gas Producers - 2.5%
BP Plc - ADR 34 1,805
Exxon Mobil Corp. 134 5,947
7,752
Oil & Gas Services - 0.5%
Halliburton Co. 46 1,398
Pharmaceuticals - 9.0%
Abbott Laboratories 43 1,759
Allergan Inc. (l) 19 1,687
Bristol-Myers Squibb Co. 45 1,103
Caremark Rx Inc. (b) 50 1,659
Merck & Co. Inc. 74 3,515
Pfizer Inc. 316 10,818
Wyeth 201 7,252
27,793
Pipelines - 0.5%
Kinder Morgan Inc. 26 1,542
Real Estate - 1.6%
Boston Properties Inc. 13 651
Crescent Real Estate Equities Co. 31 500
Equity Office Properties Trust 35 952
General Growth Properties Inc. 35 1,035
Health Care Property Investors Inc. 48 1,154
Vornado Realty Trust 12 685
4,977
Retail - 6.4%
CVS Corp. 117 4,908
Family Dollar Stores Inc. 45 1,369
Home Depot Inc. 152 5,357
McDonald's Corp. 160 4,163
Wal-Mart Stores Inc. 58 3,047
Wendy's International Inc. 28 964
19,808
Semiconductors - 10.6%
Altera Corp. (b) 72 1,607
Applied Materials Inc. (b) 168 3,298
Applied Micro Circuits Corp. (b) 272 1,448
Cypress Semiconductor Corp. (b) 115 1,638
Entegris Inc. (b) 128 1,475
Fairchild Semiconductor International Inc. - Class A (b) 200 3,276
Intel Corp. 343 9,453
Lam Research Corp. (b) 127 3,411
Maxim Integrated Products Inc. 32 1,677
Nvidia Corp. (b) 51 1,050
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 279 2,317
Texas Instruments Inc. 50 1,203
Ultra Clean Holdings (b) 125 911
32,764
Software - 4.5%
First Data Corp. 29 1,298
Microsoft Corp. 338 9,667
Siebel Systems Inc. (b) 126 1,346
Veritas Software Corp. (b) 55 1,518
13,829
Telecommunications - 0.2%
Verizon Communications Inc. 20 724
Telecommunications Equipment - 3.6%
Cisco Systems Inc. (b) 152 3,610
JDS Uniphase Corp. (b) 435 1,648
Nokia Oyj - ADR 328 4,766
Nortel Networks Corp. (b) 241 1,202
11,226
Tobacco - 0.7%
Altria Group Inc. 42 2,102
Transportation - 1.3%
FedEx Corp. 48 3,953
Wireless Telecommunications - 0.3%
Qualcomm Inc. 15 1,076
Total Common Stocks (cost $274,177) 282,968
Preferred Stocks - 0.2%
Insurance - 0.2%
Travelers Property Casualty Corp., 4.50% 31 731
Total Preferred Stocks (cost $768) 731
Corporate Bonds - 0.6%
Healthcare - 0.2%
Community Health Systems Inc., 4.25%, 10/15/08 (j) $575 599
Insurance - 0.2%
Loews Corp., 3.125%, 09/15/07 (j) 750 717
Media - 0.2%
Liberty Media Corp., 3.25%, 03/15/31 (j) (l) 620 555
Total Corporate Bonds (cost $1,845) 1,871
Short Term Investments - 7.6%
Money Market Funds - 7.6%
Dreyfus Cash Management Plus, 1.14% (a) 15,392 15,392
Dreyfus Government Cash Management, 0.96% (a) 8,173 8,173
Total Short Term Investments (cost $23,565) 23,565
Total Investments - 100.0% (cost $300,355) 309,135
Other Assets and Liabilities, Net - 0.0% (73)
Total Net Assets - 100% $309,062
JNL/EAGLE SMALLCAP EQUITY FUND
Common Stocks - 98.2%
Agriculture - 1.8%
Delta & Pine Land Co. 108 $2,363
Apparel - 2.0%
Columbia Sportswear Co. (b) 49 2,693
Banks - 2.1%
First Bancorp. 41 1,654
TrustCo Bancorp. 100 1,313
2,967
Biotechnology - 0.7%
Decode Genetics Inc. (b) 117 993
Commercial Services - 4.1%
Laureate Education Inc. (b) 62 2,378
University of Phoenix Online (b) 40 3,504
5,882
Computers - 7.3%
Advanced Digital Information Corp. (b) 225 2,184
Electronics for Imaging Inc. (b) 84 2,384
Factset Research Systems Inc. 70 3,314
RadiSys Corp. (b) 137 2,548
10,430
Distribution & Wholesale - 1.6%
SCP Pool Corp. 49 2,203
Electrical Components & Equipment - 1.6%
General Cable Corp. (b) 270 2,311
Electronics - 5.6%
Gentex Corp. 75 2,960
OYO Geospace Corp. (b) 67 1,251
Photon Dynamics Inc. (b) 107 3,767
7,978
Entertainment - 8.0%
Alliance Gaming Corp. (b) 155 2,660
Lions Gate Entertainment Corp. (b) 769 5,367
Nevada Gold & Casinos Inc. (b) 38 510
Shuffle Master Inc. (b) (l) 77 2,796
11,333
Environmental Control - 4.4%
Imco Recycling Inc. (b) 182 2,412
Waste Connections Inc. (b) (l) 127 3,769
6,181
Healthcare - 19.5%
American Healthways Inc. (b) 125 3,323
American Medical Systems Holdings Inc. (b) 88 2,948
Biolase Technology Inc. (b) (l) 66 883
Cooper Cos. Inc. 38 2,389
Edwards Lifesciences Corp. (b) 51 1,776
Horizon Health Corp. (b) 127 2,986
Idexx Laboratories Inc. (b) 33 2,046
Inamed Corp. (b) 63 3,945
Respironics Inc. (b) 58 3,396
Steris Corp. (b) 78 1,748
Thoratec Corp. (b) (l) 213 2,280
27,720
Home Furnishings - 3.8%
Universal Electronics Inc. (b) 305 5,354
Insurance - 1.8%
Direct General Corp. 81 2,604
Internet - 0.1%
eDiets.com Inc. (b) (l) 58 165
Manufacturing - 2.0%
Actuant Corp. - Class A (b) 74 2,874
Oil & Gas Producers - 5.4%
Patterson-UTI Energy Inc. 121 4,029
Unit Corp. (b) 118 3,698
7,727
Oil & Gas Services - 3.5%
Maverick Tube Corp. (b) 115 3,023
Tetra Technologies Inc. (b) 73 1,958
4,981
Pharmaceuticals - 5.2%
Dendreon Corp. (b) 57 693
Medicis Pharmaceutical Corp. - Class A (l) 79 3,165
VCA Antech Inc. (b) 78 3,490
7,348
Retail - 2.5%
Cash America International Inc. 53 1,221
Genesco Inc. (b) 99 2,343
3,564
Savings & Loans - 0.5%
Bank Mutual Corp. 69 748
Semiconductors - 4.7%
ASE Test Ltd. (b) 119 877
Integrated Device Technology Inc. (b) 221 3,056
Integrated Silicon Solutions Inc. (b) 229 2,795
6,728
Software - 7.9%
Avid Technology Inc. (b) (l) 36 1,943
Datastream Systems Inc. (b) 498 3,228
Eclipsys Corp. (b) 164 2,505
Global Payments Inc. 43 1,922
Netsmart Technologies Inc. (b) (l) 167 1,605
11,203
Wireless Telecommunications - 2.1%
EMS Technologies Inc. (b) 156 3,028
Total Common Stocks (cost $112,175) 139,378
Short Term Investments - 1.7%
Money Market Funds - 1.7%
Dreyfus Cash Management Plus, 1.14% (a) 2,467 2,467
Total Short Term Investments (cost $2,467) 2,467
Total Investments - 99.9% (cost $114,642) 141,845
Other Assets and Liabilities, Net - 0.1% 110
Total Net Assets - 100% $141,955
JNL/FMR BALANCED FUND
Common Stocks - 67.0%
Advertising - 0.4%
Lamar Advertising Co. (b) 8 $347
Aerospace & Defense - 1.0%
Boeing Co. 3 143
DRS Technologies Inc. (b) 1 32
Empresa Brasiliera de Aeronautica SA - ADR 2 66
European Aeronautic Defense and Space Co. 6 164
Goodrich Corp. 6 200
Lockheed Martin Corp. 3 151
Northrop Grumman Corp. 3 150
Titan Corp. (b) 4 55
United Technologies Corp. - 9
970
Agriculture - 0.2%
Bunge Ltd. 5 179
Airlines - 0.8%
Airtran Holdings Inc. (b) 9 122
AMR Corp. (b) (l) 13 157
Delta Air Lines Inc. (b) 8 60
Frontier Airlines Inc. (b) 30 330
Northwest Airlines Corp. (b) 8 87
756
Apparel - 0.2%
Liz Claiborne Inc. 3 107
Perry Ellis International Inc. (b) 2 51
158
Auto Manufacturers - 0.2%
Navistar International Corp. (b) 4 159
Wabash National Corp. (b) 2 61
220
Auto Parts & Equipment - 0.1%
TRW Automotive Holdings Corp. (b) 7 136
Banks - 3.6%
Bank of America Corp. 15 1,291
Bank of New York Co. Inc. 5 142
Bank One Corp. 11 576
Banknorth Group Inc. 3 88
Boston Private Financial Holdings Inc. 1 21
East-West Bancorp. Inc. 2 46
Fifth Third Bancorp. 1 48
M&T Bank Corp. - 26
North Fork Bancorp. Inc. 3 126
Silicon Valley Bancshares (b) 3 123
Texas Capital Bancshares Inc. (b) 3 48
UCBH Holdings Inc. 2 95
US Bancorp. 1 28
W Holding Co. Inc. 8 136
Wachovia Corp. 10 445
Wells Fargo & Co. 2 132
Wintrust Financial Corp. 2 111
3,482
Beverages - 0.3%
Coca-Cola Co. 6 313
Biotechnology - 0.3%
Biogen Idec Inc. (b) 1 82
ConjuChem Inc. (b) 5 44
Enzon Pharmaceuticals Inc. (b) 3 43
Genentech Inc. (b) 2 102
271
Building Materials - 0.4%
American Standard Cos. Inc. (b) 1 59
Eagle Materials Inc. 1 99
Masco Corp. 4 109
Texas Industries Inc. 2 78
Trex Co. Inc. (b) 2 76
421
Chemicals - 1.6%
Dow Chemical Co. 9 374
Eastman Chemical Co. 1 55
Ferro Corp. 1 16
Georgia Gulf Corp. 4 129
Lyondell Chemical Co. 4 70
Millennium Chemicals Inc. (b) 15 257
Nitto Denko Corp. 2 77
Nova Chemicals Corp. 5 129
Olin Corp. 14 250
PolyOne Corp. (b) 7 53
Praxair Inc. 2 96
1,506
Commercial Services - 0.9%
BearingPoint Inc. (b) 6 51
Career Education Corp. (b) 2 100
Cendant Corp. 10 246
Central Parking Corp. 3 50
McKesson Corp. 1 17
Pharmaceutical Product Development Inc. (b) 2 73
R.R. Donnelley & Sons Co. 3 96
Robert Half International Inc. 5 143
Weight Watchers International Inc. (b) 2 78
854
Computers - 1.4%
Agilysys Inc. 2 34
BISYS Group Inc. (b) 7 97
Cadence Design Systems Inc. (b) 9 132
Ceridian Corp. (b) 9 207
Diebold Inc. 2 100
DST Systems Inc. (b) 1 43
Hutchinson Technology Inc. (b) 4 96
Lexmark International Inc. (b) 1 52
Maxtor Corp. (b) 20 129
M-Systems Flash Disk Pioneers Ltd. (b) (l) 3 49
Seagate Technology (b) 15 216
Synopsys Inc. (b) 2 68
Western Digital Corp. (b) 16 134
1,357
Cosmetics & Personal Care - 0.8%
Avon Products Inc. 2 88
Colgate-Palmolive Co. 3 163
Estee Lauder Cos. Inc. 1 68
Procter & Gamble Co. 8 432
751
Distribution & Wholesale - 0.4%
Bell Microproducts Inc. (b) 9 76
Ingram Micro Inc. - Class A (b) 18 259
Tech Data Corp. (b) 1 43
378
Diversified Financial Services - 5.5%
American Express Co. 5 259
Bear Stearns Cos. Inc. 1 118
Capital One Financial Corp. 1 89
CIT Group Inc. 3 96
Citigroup Inc. 39 1,803
Countrywide Financial Corp. 3 199
Deutsche Boerse AG 2 86
E*TRADE Group Inc. (b) 8 85
Fannie Mae 4 300
Freddie Mac 5 300
Goldman Sachs Group Inc. 2 175
JPMorgan Chase & Co. 12 455
Lehman Brothers Holdings Inc. 2 181
MBNA Corp. 5 139
Merrill Lynch & Co. Inc. 8 416
Morgan Stanley 10 533
SLM Corp. 2 61
5,295
Electric - 1.5%
AES Corp. (b) 45 443
Dominion Resources Inc. 2 101
Entergy Corp. 1 67
Exelon Corp. 1 43
FirstEnergy Corp. 6 224
PG&E Corp. (b) 5 148
PPL Corp. 2 78
Sierra Pacific Resources (b) 1 10
TXU Corp. 8 309
Westar Energy Inc. 2 48
1,471
Electrical Components & Equipment - 0.4%
LG Electronics Inc. 1 47
Molex Inc. 2 74
Samsung Electronics Co. Ltd. 1 223
344
Electronics - 2.5%
Amphenol Corp. (b) 8 273
Avnet Inc. (b) 1 32
Celestica Inc. (b) 21 412
Cymer Inc. (b) 3 127
DDi Corp. (b) 3 26
Fisher Scientific International (b) 2 110
Flextronics International Ltd. (b) 3 48
Hon Hai Precision Industry Co. Ltd. - GDR (l) 14 103
Jabil Circuit Inc. (b) 1 28
Mettler-Toledo International Inc. (b) 2 98
Sanmina-SCI Corp. (b) 19 170
Solectron Corp. (b) 25 163
Symbol Technologies Inc. 23 336
Thermo Electron Corp. (b) 5 138
Vishay Intertechnology Inc. (b) 3 46
Waters Corp. (b) 4 167
Yageo Corp. GDR (b) 37 91
2,368
Engineering & Construction - 0.8%
Dycom Industries Inc. (b) 7 202
Fluor Corp. (l) 8 376
Granite Construction Inc. 6 106
URS Corp. (b) 4 96
780
Food - 0.9%
Albertson's Inc. 3 88
Corn Products International Inc. 1 23
Dean Foods Co. (b) 6 234
Del Monte Foods Co. (b) 11 110
JM Smucker Co. 3 149
McCormick & Co. Inc. 1 44
Safeway Inc. (b) 5 124
Smithfield Foods Inc. (b) 4 121
893
Forest Products & Paper - 0.4%
Aracruz Celulose SA ADR 3 85
Boise Cascade Corp. 3 128
Bowater Inc. (l) 3 134
Buckeye Technologies Inc. (b) 3 36
Tembec Inc. (b) 6 48
429
Hand & Machine Tools - 0.2%
Techtronic Industries Co. (b) 113 180
Healthcare - 3.7%
Apogent Technologies Inc. (b) 2 70
Bausch & Lomb Inc. 2 130
Baxter International Inc. 9 325
Becton Dickinson & Co. 2 83
Community Health Systems Inc. (b) 2 64
Covance Inc. (b) 3 104
Coventry Health Care Inc. (b) 3 166
Cyberonics Inc. (b) 2 70
Cytyc Corp. (b) 3 81
Dade Behring Holdings Inc. (b) 6 286
Dentsply International Inc. 1 73
Edwards Lifesciences Corp. (b) 4 139
Epix Medical Inc. (b) 2 34
Fresenius Medical Care AG 3 65
Hanger Orthopedic Group Inc. (b) 1 7
Health Management Associates Inc. 4 83
Health Net Inc. (b) 3 85
Immucor Inc. (b) 5 156
Johnson & Johnson 2 111
Lincare Holdings Inc. (b) 4 118
Medtronic Inc. 3 151
Molina Healthcare Inc. (b) 3 95
Pacificare Health Systems Inc. (b) 7 256
Smith & Nephew Plc 6 67
Sonic Innovations Inc. (b) 2 13
St. Jude Medical Inc. (b) 2 144
Synthes Inc. 1 149
UnitedHealth Group Inc. 7 410
3,535
Home Builders - 0.7%
Beazer Homes USA Inc. - 30
Champion Enterprises Inc. (b) 13 116
DR Horton Inc. 4 114
Fleetwood Enterprises Inc. (b) 3 45
Standard-Pacific Corp. 3 158
Toll Brothers Inc. (b) 4 161
WCI Communities Inc. (b) 3 62
686
Household Products - 0.1%
Clorox Co. 1 54
Insurance - 3.4%
ACE Ltd. 7 304
AFLAC Inc. 5 212
AMBAC Financial Group Inc. 1 103
American International Group Inc. 12 863
Arch Capital Group Ltd. (b) 3 112
Assurant Inc. 2 47
Axis Capital Holdings Ltd. 1 39
Conseco Inc. (b) 8 159
Endurance Specialty Holdings Ltd. 3 115
Everest Re Group Ltd. 2 177
Fidelity National Financial Inc. 1 49
Hartford Financial Services Group Inc. 4 248
MBIA Inc. 3 183
MetLife Inc. 3 97
MGIC Investment Corp. 1 68
PartnerRe Ltd. 2 96
St. Paul Cos. Inc. 4 174
Torchmark Corp. 1 59
UnumProvident Corp. 2 37
W.R. Berkley Corp. 1 43
Willis Group Holdings Ltd. 3 97
3,282
Internet - 0.6%
Amazon.Com Inc. (b) (l) 2 109
Covad Communications Group Inc. (b) (l) 107 257
NetBank Inc. 7 78
Openwave Systems Inc. (b) 2 27
Redback Networks Inc. (b) 2 13
WebMD Corp. (b) (l) 12 109
593
Iron & Steel - 0.3%
IPSCO Inc. 3 67
Nucor Corp. 2 177
244
Leisure Time - 0.4%
Brunswick Corp. 1 37
Carnival Corp. 1 61
Harley-Davidson Inc. 1 74
Multimedia Games Inc. (b) 4 94
Royal Caribbean Cruises Ltd. 3 148
414
Lodging - 0.2%
Caesars Entertainment Inc. (b) 2 26
Kerzner International Ltd. (b) 4 166
Wyndham International Inc. (b) 37 37
229
Machinery - 0.7%
AGCO Corp. (b) 13 265
Astec Industries Inc. (b) 8 143
Cummins Inc. 1 75
Terex Corp. (b) 5 184
Weir Group Plc 10 53
720
Manufacturing - 1.9%
Actuant Corp. - Class A (b) 2 70
Bombardier Inc. - Class B 17 50
General Electric Co. 20 656
Honeywell International Inc. 8 279
Pall Corp. 6 160
SPX Corp. 2 93
Tyco International Ltd. 14 477
1,785
Media - 2.9%
Antena 3 Television SA (b) (l) 2 90
Cablevision Systems Corp. (b) 1 26
Citadel Broadcasting Corp. (b) 6 82
Clear Channel Communications Inc. 14 517
COX Radio Inc. (b) - 2
Cumulus Media Inc. - Class A (b) 3 52
EchoStar Communications Corp. (b) 10 307
Emmis Communications Corp. (b) 5 103
Fox Entertainment Group Inc. (b) 4 104
Liberty Media Corp. (b) 25 224
Liberty Media International Inc. - Class A (b) 1 50
NRJ Group 3 70
Radio One Inc. - Class D (b) 5 75
Salem Communications Corp. - Class A (b) 2 54
SBS Broadcasting SA (b) 1 43
Time Warner Inc. (b) 22 391
UnitedGlobalCom Inc. (b) 7 49
Univision Communications Inc. (b) 1 32
Viacom Inc. - Class B 6 225
Vivendi Universal SA - ADR (b) 1 28
Walt Disney Co. 11 268
2,792
Metal Fabrication & Hardware - 0.4%
Precision Castparts Corp. 2 98
Timken Co. 9 247
345
Mining - 2.3%
Aber Diamond Corp. (b) 1 35
Agnico-Eagle Mines Ltd. (b) 19 255
Alcan Inc. 8 313
Alcoa Inc. 6 195
Falconbridge Ltd. 10 247
Freeport-McMoRan Copper & Gold Inc. 12 395
Iamgold Corp. 2 10
Inco Ltd. (b) 3 86
Inmet Mining Corp. (b) 2 23
Lionore Mining International Ltd. (b) 10 46
Meridian Gold Inc. (b) 1 8
Meridian Gold Inc. (b) 14 184
Phelps Dodge Corp. (b) 4 279
Rio Tinto Plc 1 78
Stillwater Mining Co. (b) 3 39
Wheaton River Minerals Ltd. (b) 19 52
2,245
Office & Business Equipment - 0.3%
Xerox Corp. (b) 20 295
Office Furnishings - 0.2%
HNI Corp. 2 84
Interface Inc. (b) 7 65
Steelcase Inc. 1 20
169
Oil & Gas Producers - 2.9%
Apache Corp. 4 161
Chesapeake Energy Corp. 14 212
EnCana Corp. 5 198
Encore Acquisition Co. (b) 4 123
Forest Oil Corp. (b) 1 25
Grey Wolf Inc. (b) 33 139
Marathon Oil Corp. 4 140
Nabors Industries Ltd. (b) 3 118
Premcor Inc. (b) 6 206
Pride International Inc. (b) 43 738
Quicksilver Resources Inc. (b) 2 141
Range Resources Corp. 8 117
Rowan Cos. Inc. (b) 7 168
Valero Energy Corp. 5 347
2,833
Oil & Gas Services - 2.4%
BJ Services Co. (b) 8 385
Cooper Cameron Corp. (b) 4 195
Grant Prideco Inc. (b) 30 554
Halliburton Co. 4 121
National-Oilwell Inc. (b) 22 705
Trican Well Service Ltd. (b) 2 66
Varco International Inc. (b) 7 144
Weatherford International Ltd. (b) 2 88
Willbros Group Inc. (b) 3 47
2,305
Packaging & Containers - 0.6%
Anchor Glass Container Corp. 1 7
Crown Holdings Inc. (b) 1 9
Owens-Illinois Inc. (b) 14 231
Packaging Corp. of America 1 33
Pactiv Corp. (b) 5 122
Smurfit-Stone Container Corp. (b) 9 180
582
Pharmaceuticals - 3.2%
Alkermes Inc. (b) 7 90
Angiotech Pharmaceuticals Inc. (b) 3 51
Angiotech Pharmaceuticals Inc. (b) 1 14
AstraZeneca Plc - ADR 2 68
Atherogenics Inc. (b) 4 67
Barr Laboratories Inc. (b) 3 105
Caremark Rx Inc. (b) 3 106
Cipla Ltd. 14 63
CSL Ltd. 10 160
Cypress Bioscience Inc. (b) 1 19
Dendreon Corp. (b) 6 74
Endo Pharmaceuticals Holdings Inc. (b) 3 68
Forest Laboratories Inc. (b) - 23
Guilford Pharmaceuticals Inc. (b) (l) 7 31
Ligand Pharmaceuticals Inc. - Class B (b) (l) 6 96
Medarex Inc. (b) 8 55
Onyx Pharmaceuticals Inc. (b) 1 59
OSI Pharmaceuticals Inc. (b) 2 113
Pfizer Inc. 18 605
Pharmion Corp. (b) (l) 3 166
Priority Healthcare Corp. (b) 6 133
Schering-Plough Corp. 19 351
Sepracor Inc. (b) (l) 2 122
Shire Pharmaceuticals Group Plc - ADR (b) 1 37
Tanox Inc. (b) 4 76
Wyeth 8 300
3,052
Real Estate - 0.4%
Alexandria Real Estate Equities Inc. - 23
Apartment Investment & Management Co. 4 133
CarrAmerica Realty Corp. 1 15
CBL & Associates Properties Inc. 1 28
Centerpoint Properties Corp. 1 77
Correctional Properties Trust - 3
Manufactured Home Communities Inc. 1 33
Reckson Associates Realty Corp. 1 27
SL Green Realty Corp. 1 28
Vornado Realty Trust 1 29
396
Retail - 2.4%
Abercrombie & Fitch Co. - Class A 2 93
Advance Auto Parts (b) 3 119
Best Buy Co. Inc. 2 117
Brown Shoe Co. Inc. 3 106
Christopher & Banks Corp. 6 108
CVS Corp. 4 147
Foot Locker Inc. 5 127
Home Depot Inc. 5 180
J.C. Penney Co. Inc. 3 113
Linens `N Things Inc. (b) 3 88
McDonald's Corp. 12 317
Ross Stores Inc. 5 128
Saks Inc. (b) 6 92
ShopKo Stores Inc. (b) 4 55
Too Inc. (b) 2 37
Toys "R" Us Inc. (b) 9 145
Wal-Mart Stores Inc. 3 153
Wendy's International Inc. 2 80
West Marine Inc. (b) 3 81
Wet Seal Inc. (b) (l) 12 60
2,346
Savings & Loans - 0.9%
Bank Mutual Corp. 4 46
Fidelity Bankshares Inc. 2 57
First Niagara Financial Group Inc. 2 20
Golden West Financial Corp. 1 128
Greenpoint Financial Corp. 2 83
KNBT Bancorp. Inc. 2 40
New York Community Bancorp. Inc. 7 139
NewAlliance Bancshares Inc. (b) 7 95
Sovereign Bancorp. Inc. 14 303
911
Semiconductors - 3.5%
Agere Systems Inc. (b) 95 219
Agere Systems Inc. - Class B (b) 60 129
Amkor Technology Inc. (b) 5 40
Analog Devices Inc. 1 42
Asat Holdings Ltd. (b) 12 25
ASML Holding NV - NYS (b) 10 178
ATMI Inc. (b) 9 232
Axcelis Technologies Inc. (b) 12 151
Conexant Systems Inc. (b) 8 36
Credence Systems Corp. (b) 13 177
Cree Inc. (b) (l) 4 84
DSP Group Inc. (b) 2 46
Fairchild Semiconductor International Inc. - Class A (b) 20 331
Formfactor Inc. (b) 4 79
Infineon Technologies AG (b) 4 50
Integrated Circuit Systems Inc. (b) 7 198
Intel Corp. 6 177
Intersil Corp. 9 201
LSI Logic Corp. (b) 15 115
LTX Corp. (b) 27 289
National Semiconductor Corp. (b) 9 200
Nvidia Corp. (b) 11 226
PMC - Sierra Inc. (b) 2 24
QLogic Corp. (b) 2 64
Teradyne Inc. (b) 1 23
Texas Instruments Inc. 2 57
3,393
Software - 1.2%
BEA Systems Inc. (b) 13 109
Business Objects SA - ADR (b) (l) 3 60
CSG Systems International Inc. (b) 12 241
FILENET Corp. (b) 3 88
First Data Corp. 5 218
Mantech International Corp. - Class A (b) 3 55
Microsoft Corp. 9 245
NDCHealth Corp. 1 11
Take-Two Interactive Software Inc. (b) 1 15
Vastera Inc. (b) 21 63
1,105
Telecommunications - 2.5%
Amdocs Ltd. (b) (l) 3 80
BellSouth Corp. 9 238
Citizens Communications Co. (b) 4 48
PT Indonesian Satellite Corp. Tbk 2 34
KDDI Corp. - 120
MASTEC Inc. (b) 9 51
NTL Inc. (b) 8 449
Philippine Long Distance Telephone Co. ADR (b) 3 67
PT Telekomunikasi Indonesia ADR (b) 2 34
Qwest Communications International Inc. (b) 11 41
SBC Communications Inc. 26 621
Verizon Communications Inc. 17 619
2,402
Telecommunications Equipment - 1.5%
ADC Telecommunications Inc. (b) 10 28
Adtran Inc. 1 21
Alcatel SA - ADR (b) 15 228
Avaya Inc. (b) 9 145
Cisco Systems Inc. (b) 4 103
Comverse Technology Inc. (b) 7 142
Enterasys Networks Inc. (b) 28 58
Extreme Networks Inc. (b) 7 38
Finisar Corp. (b) 16 32
Juniper Networks Inc. (b) 2 49
LM Ericsson Telephone Co. (b) 1 18
Marconi Corp. Plc (b) 6 73
Nortel Networks Corp. (b) 2 9
Scientific-Atlanta Inc. 5 155
Sycamore Networks Inc. (b) 75 318
1,417
Textiles - 0.2%
Cintas Corp. 1 53
G&K Services Inc. - Class A 2 92
145
Tobacco - 0.8%
Altria Group Inc. 15 733
Transportation - 0.4%
CNF Inc. 1 54
EGL Inc. (b) 3 88
PAM Transportation Services (b) 1 10
Union Pacific Corp. 2 95
USF Corp. 1 28
UTI Worldwide Inc. 2 84
359
Wireless Telecommunications - 1.2%
American Tower Corp. (b) 29 435
Crown Castle International Corp. (b) 7 109
Motorola Inc. 15 277
Nextel Communications Inc. (b) 7 176
Nextel Partners Inc. (b) 3 46
Spectrasite Inc. (b) 3 121
1,164
Total Common Stocks (cost $61,848) 64,390
Preferred Stocks - 0.1%
Media - 0.1%
News Corp. Ltd. - ADR 3 91
Total Preferred Stocks (cost $97) 91
Corporate Bonds - 0.5%
Auto Parts & Equipment - 0.1%
Goodyear Tire & Rubber Co., 4.00%, 06/15/34 (e) (j) $23 23
Internet - 0.1%
Priceline.com Inc., 2.25%, 01/15/25 (e) (j) 100 102
Software - 0.3%
Allscripts Healthcare Solutions Inc., 3.50%, 07/15/24 (e) (j) 100 100
Novell Inc., 0.50%, 07/15/24 (e) (j) 100 101
Per-Se Technologies Inc., 3.25%, 06/30/24 (e) (j) 100 110
311
Telecommunications - 0.0%
MCI Inc.
5.908%, 05/01/07 - -
6.688%, 05/01/09 - -
7.735%, 05/01/14 - -
-
Total Corporate Bonds (cost $424) 436
Government Securities - 31.9%
U.S. Treasury Securities - 31.9%
U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,350 4,785
U.S. Treasury Note
2.25%, 04/30/06 (l) 11,650 11,570
3.25%, 01/15/09 (l) 9,000 8,827
4.25%, 11/15/13 (l) 5,675 5,524
Total Government Securities (cost $30,815) 30,706
Short Term Investments - 0.3%
Money Market Funds - 0.3%
Dreyfus Cash Management Plus, 1.14% (a) 293 293
Total Short Term Investments (cost $293) 293
Total Investments - 99.8% (cost $93,477) 95,916
Other Assets and Liabilities, Net - 0.2% 197
Total Net Assets - 100% $96,113
JNL/FMR CAPITAL GROWTH FUND
Common Stocks - 99.5%
Advertising - 1.1%
Lamar Advertising Co. (b) (l) 39 $1,686
Aerospace & Defense - 3.7%
DRS Technologies Inc. (b) - 3
Empresa Brasiliera de Aeronautica SA - ADR 198 5,655
5,658
Airlines - 1.7%
Southwest Airlines Co. 62 1,040
Westjet Airlines Ltd. (b) 156 1,594
2,634
Apparel - 0.7%
Polo Ralph Lauren Corp. 32 1,116
Beverages - 0.9%
Adolph Coors Co. - Class B (l) 18 1,309
Biotechnology - 0.6%
Millennium Pharmaceuticals Inc. (b) 53 734
Momenta Pharmaceuticals Inc. (b) 17 157
891
Chemicals - 2.1%
Lyondell Chemical Co. (l) 144 2,499
Olin Corp. 37 647
3,146
Commercial Services - 12.7%
Aramark Corp. 83 2,387
BearingPoint Inc. (b) 181 1,602
Career Education Corp. (b) 111 5,048
Cendant Corp. (l) 217 5,304
R.R. Donnelley & Sons Co. 113 3,738
Strayer Education Inc. 4 402
Universal Technical Institute Inc. (b) 24 968
19,449
Computers - 3.2%
Research In Motion Ltd. (b) 72 4,941
Diversified Financial Services - 5.7%
CapitalSource Inc. (b) 53 1,286
CIT Group Inc. 21 819
Countrywide Financial Corp. 15 1,061
First Marblehead Corp. (b) 17 684
Janus Capital Group Inc. 102 1,675
Lehman Brothers Holdings Inc. 42 3,124
8,649
Electronics - 1.7%
Celestica Inc. (b) 83 1,650
Symbol Technologies Inc. 60 877
2,527
Engineering & Construction - 0.3%
Fluor Corp. (l) 8 391
Food - 3.5%
Archer-Daniels-Midland Co. 4 69
Safeway Inc. (b) (l) 210 5,314
5,383
Forest Products & Paper - 1.2%
Boise Cascade Corp. 49 1,848
Healthcare - 9.4%
Apogent Technologies Inc. (b) 150 4,790
Baxter International Inc. 115 3,958
Cytyc Corp. (b) 104 2,649
Edwards Lifesciences Corp. (b) (l) 57 2,000
Henry Schein Inc. (b) 7 461
Kinetic Concepts Inc. (b) 8 384
Wright Medical Group Inc. (b) 4 125
14,367
Home Furnishings - 5.0%
Harman International Industries Inc. 84 7,662
Insurance - 0.4%
AMBAC Financial Group Inc. 9 676
Internet - 3.0%
At Road Inc. (b) 26 197
CNET Networks Inc. (b) (l) 55 612
NetFlix Inc. (b) (l) 52 1,880
Sina Corp. (b) 57 1,894
United Online Inc. (b) (l) 4 76
4,659
Leisure Time - 4.5%
Royal Caribbean Cruises Ltd. (l) 158 6,876
Lodging - 1.2%
Wynn Resorts Ltd. (b) (l) 47 1,804
Media - 4.6%
Cablevision Systems Corp. (b) (l) 162 3,189
EchoStar Communications Corp. (b) 70 2,147
Salem Communications Corp. - Class A (b) 23 629
The DIRECTV Group Inc. (b) 61 1,050
7,015
Mining - 2.1%
Peabody Energy Corp. 56 3,147
Oil & Gas Producers - 2.6%
GlobalSantaFe Corp. 49 1,298
Noble Corp. (b) 37 1,410
Transocean Inc. (b) (l) 46 1,340
4,048
Oil & Gas Services - 1.3%
Grant Prideco Inc. (b) 80 1,474
National-Oilwell Inc. (b) 11 359
Weatherford International Ltd. (b) 3 139
1,972
Packaging & Containers - 1.1%
Pactiv Corp. (b) 70 1,750
Pharmaceuticals - 2.4%
Barr Laboratories Inc. (b) 34 1,149
Medco Health Solutions Inc. (b) 20 731
Omnicare Inc. 41 1,734
Pharmion Corp. (b) (l) 2 108
3,722
Real Estate - 0.2%
Global Signal Inc. 12 270
Retail - 4.3%
Aeropostale Inc. (b) 6 163
Best Buy Co. Inc. 45 2,273
Linens `N Things Inc. (b) 46 1,334
Ross Stores Inc. 17 447
Saks Inc. (b) (l) 104 1,556
Wendy's International Inc. 25 885
6,658
Software - 1.4%
Autodesk Inc. (l) 51 2,170
Telecommunications - 4.2%
Citizens Communications Co. (b) 346 4,192
NTL Inc. (b) 39 2,224
6,416
Telecommunications Equipment - 1.5%
Andrew Corp. (b) (l) 118 2,361
Transportation - 2.5%
CNF Inc. 72 2,983
Tsakos Energy Navigation Ltd. 23 795
3,778
Wireless Telecommunications - 8.7%
American Tower Corp. (b) (l) 172 2,607
Nextel Communications Inc. (b) (l) 387 10,325
Spectrasite Inc. (b) 10 424
13,356
Total Common Stocks (cost $149,586) 152,335
Short Term Investments - 1.3%
Money Market Funds - 1.3%
Dreyfus Cash Management Plus, 1.14% (a) 2,032 2,032
Total Short Term Investments (cost $2,032) 2,032
Total Investments - 100.8% (cost $151,618) 154,367
Other Assets and Liabilities, Net - (0.8%) (1,289)
Total Net Assets - 100% $153,078
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Common Stocks - 92.9%
Aerospace & Defense - 0.9%
BAE Systems Plc 135 $539
Airlines - 1.0%
Cathay Pacific Airways Ltd. 267 503
Auto Manufacturers - 4.7%
Honda Motor Co. Ltd. 9 439
Peugeot SA 20 1,119
Suzuki Motor Co. Ltd. 52 921
2,479
Banks - 21.0%
Barclays Plc 89 757
Bayerische Hypo-und Vereinsbank AG (b) 57 1,013
BNP Paribas SA (l) 25 1,564
Credit Suisse Group (b) 34 1,192
DBS Group Holdings Ltd. 78 652
HSBC Holdings Plc 193 2,866
Kookmin Bank (b) 13 418
Royal Bank of Scotland Group Plc 48 1,380
Sumitomo Trust & Banking Co. Ltd. 165 1,175
11,017
Beverages - 1.2%
Asahi Breweries Ltd. (l) 55 611
Building Materials - 3.2%
BPB Plc 83 618
Buzzi Unicem SpA (l) 28 357
Holcim Ltd. 13 697
1,672
Chemicals - 3.0%
Akzo Nobel NV (l) 11 387
Mitsui Chemicals Inc. 111 555
Reliance Industries Ltd. - GDR (e) 32 652
1,594
Commercial Services - 1.9%
Rank Group Plc 117 636
Vedior NV 24 345
981
Distribution & Wholesale - 1.5%
Itochu Corp. (b) 170 763
Diversified Financial Services - 1.8%
Daiwa Securities Group Inc. 132 948
Electric - 4.1%
Iberdrola SA (l) 56 1,182
Scottish Power Plc 134 971
2,153
Electrical Components & Equipment - 2.1%
Mitsubishi Electric Corp. 143 702
Samsung Electronics Co. Ltd. 1 413
1,115
Electronics - 0.5%
Hon Hai Precision Industry Co. Ltd. - GDR (l) 32 240
Food - 3.8%
Koninklijke Ahold NV (b) 62 489
Koninklijke Wessanen NV 50 713
Tesco Plc 168 814
2,016
Holding Companies - Diversified - 1.6%
Wharf Holdings Ltd. 286 821
Home Furnishings - 3.4%
SONY Corp. 30 1,141
Thomson 32 624
1,765
Insurance - 8.3%
Aviva Plc 87 894
AXA 54 1,189
ING Groep NV 43 1,010
Zurich Financial Services AG (b) 8 1,250
4,343
Iron & Steel - 1.9%
Arcelor 58 972
Lodging - 1.2%
InterContinental Hotels Group Plc 58 613
Machinery - 1.8%
Kubota Corp. 182 967
Media - 0.9%
United Business Media Plc 53 487
Metal Fabrication & Hardware - 1.6%
SKF AB (l) 19 715
SKF AB - Class A (l) 3 111
826
Oil & Gas Producers - 7.3%
BP Plc 194 1,715
ENI-Ente Nazionale Idrocarburi SpA (l) 69 1,379
LUKOIL - ADR 4 416
Petroleo Brasileiro SA - Petrobras - ADR 12 293
3,803
Pharmaceuticals - 0.7%
Schering AG 6 344
Retail - 1.7%
Compagnie Financiere Richemont AG - Class A 34 901
Telecommunications - 7.2%
Nippon Telegraph & Telephone Corp. - 1,117
PT Telekomunikasi Indonesia (b) 675 531
Singapore Telecommunications Ltd. 599 782
Telefonica SA 59 869
Telekom Austria AG 33 500
3,799
Tobacco - 1.3%
Japan Tobacco Inc. - 676
Toys & Hobbies - 1.3%
Nintendo Co. Ltd. 6 696
Water - 2.0%
Veolia Environnement (l) 38 1,071
Total Common Stocks (cost $46,768) 48,715
Preferred Stocks - 1.8%
Media - 0.8%
News Corp. Ltd. 54 443
Pharmaceuticals - 1.0%
Fresenius AG 7 514
Total Preferred Stocks (cost $948) 957
Short Term Investments - 4.0%
Money Market Funds - 2.6%
Dreyfus Cash Management Plus, 1.14% (a) 1,385 1,385
U.S. Treasury Bills - 1.3%
U.S. Treasury Bill, 1.05%, 07/29/04 (m) $690 689
Total Short Term Investments (cost $2,074) 2,074
Total Investments - 98.7% (cost $49,790) 51,746
Other Assets and Liabilities, Net - 1.3% 681
Total Net Assets - 100% $52,427
JNL/LAZARD MID CAP VALUE FUND
Common Stocks - 95.3%
Aerospace & Defense - 1.5%
Alliant Techsystems Inc. (b) 42 $2,673
Airlines - 1.8%
Southwest Airlines Co. 184 3,092
Apparel - 4.4%
NIKE Inc. 24 1,810
Polo Ralph Lauren Corp. 82 2,839
Reebok International Ltd. 70 2,526
7,175
Auto Parts & Equipment - 1.3%
Lear Corp. 35 2,088
Banks - 5.6%
City National Corp. 36 2,339
First Horizon National Corp. 40 1,823
M&T Bank Corp. 20 1,737
Mercantile Bankshares Corp. 35 1,620
North Fork Bancorp. Inc. (l) 47 1,781
9,300
Beverages - 2.3%
Pepsi Bottling Group Inc. 123 3,753
Chemicals - 2.9%
Ashland Inc. 33 1,753
Rohm & Haas Co. 71 2,948
4,701
Commercial Services - 4.8%
Aramark Corp. 118 3,382
Arbitron Inc. (b) 63 2,290
Iron Mountain Inc. (b) 46 2,196
7,868
Computers - 5.9%
DST Systems Inc. (b) 65 3,115
Imation Corp. 48 2,024
Storage Technology Corp. (b) 100 2,912
Unisys Corp. (b) 121 1,673
9,724
Distribution & Wholesale - 0.7%
CDW Corp. 18 1,122
Diversified Financial Services - 2.5%
Federated Investors Inc. 79 2,397
Student Loan Corp. 13 1,802
4,199
Environmental Control - 2.1%
Republic Services Inc. 120 3,458
Food - 1.5%
Safeway Inc. (b) (l) 96 2,440
Gas - 1.2%
KeySpan Corp. 53 1,934
Hand & Machine Tools - 1.5%
Black & Decker Corp. 39 2,435
Healthcare - 8.4%
DaVita Inc. (b) 60 1,837
Edwards Lifesciences Corp. (b) 68 2,384
Health Net Inc. (b) 96 2,555
Laboratory Corp. of America Holdings (b) 106 4,196
VISX Inc. (b) 109 2,910
13,882
Household Products - 2.0%
Avery Dennison Corp. (l) 51 3,271
Insurance - 1.7%
Protective Life Corp. 71 2,761
Internet - 1.4%
WebMD Corp. (b) (l) 254 2,363
Iron & Steel - 0.6%
International Steel Group Inc. (b) (l) 31 931
Manufacturing - 1.5%
ITT Industries Inc. 30 2,490
Media - 1.8%
Westwood One Inc. (b) 124 2,949
Office & Business Equipment - 1.7%
Pitney Bowes Inc. 65 2,867
Oil & Gas Producers - 4.3%
GlobalSantaFe Corp. 90 2,388
Premcor Inc. (b) 22 840
Unocal Corp. 55 2,094
Valero Energy Corp. 24 1,770
7,092
Oil & Gas Services - 1.3%
Baker Hughes Inc. 59 2,206
Packaging & Containers - 3.8%
Ball Corp. 46 3,336
Pactiv Corp. (b) 118 2,948
6,284
Pharmaceuticals - 1.7%
AmerisourceBergen Corp. 33 1,997
Medco Health Solutions Inc. (b) 21 780
2,777
Real Estate - 4.7%
AMB Property Corp. 68 2,354
Archstone-Smith Trust 107 3,124
Health Care Property Investors Inc. 95 2,279
7,757
Retail - 7.6%
Abercrombie & Fitch Co. - Class A 43 1,662
Circuit City Stores Inc. - Circuit City Group (l) 213 2,765
Dollar Tree Stores Inc. (b) 118 3,242
Limited Brands Inc. 32 601
Sears Roebuck & Co. 66 2,500
Yum! Brands Inc. (b) 45 1,675
12,445
Semiconductors - 4.2%
AMIS Holdings Inc. (b) 119 2,013
Intersil Corp. 62 1,349
Novellus Systems Inc. (b) (l) 73 2,295
QLogic Corp. (b) 45 1,199
6,856
Software - 3.4%
Dun & Bradstreet Corp. (b) 30 1,617
PeopleSoft Inc. (b) 107 1,970
SEI Investments Co. 70 2,039
5,626
Telecommunications - 0.5%
MCI Inc. (b) 56 788
Toys & Hobbies - 3.5%
Leapfrog Enterprises Inc. (b) (l) 130 2,586
Mattel Inc. 178 3,256
5,842
Transportation - 1.2%
Norfolk Southern Corp. 73 1,933
Total Common Stocks (cost $140,489) 157,082
Short Term Investments - 5.6%
Money Market Funds - 5.6%
Dreyfus Cash Management Plus, 1.14% (a) 8,168 8,168
Dreyfus Government Cash Management, 0.96% (a) 1,097 1,097
Total Short Term Investments (cost $9,265) 9,265
Total Investments - 100.9% (cost $149,754) 166,347
Other Assets and Liabilities, Net - (0.9%) (1,555)
Total Net Assets - 100% $164,792
JNL/LAZARD SMALL CAP VALUE FUND
Common Stocks - 96.9%
Advertising - 1.8%
Advo Inc. 49 $1,603
R.H. Donnelley Corp. (b) 33 1,439
3,042
Aerospace & Defense - 1.5%
DRS Technologies Inc. (b) 80 2,539
Agriculture - 0.7%
Delta & Pine Land Co. 55 1,201
Airlines - 0.9%
Airtran Holdings Inc. (b) 107 1,519
Apparel - 4.5%
Gymboree Corp. (b) 100 1,542
Kellwood Co. 45 1,951
K-Swiss Inc. - Class A 84 1,687
Timberland Co. - Class A (b) 26 1,660
Warnaco Group Inc. (b) 34 732
7,572
Banks - 7.5%
First Community Bancorp. 22 850
First Midwest Bancorp. Inc. 51 1,810
First Republic Bank 22 935
Hudson United Bancorp. 20 753
South Financial Group Inc. 51 1,431
Sterling Bancshares Inc. 116 1,645
Texas Regional Bancshares Inc. - Class A 10 464
Umpqua Holdings Corp. 18 384
United Bankshares Inc. 47 1,528
W Holding Co. Inc. 73 1,251
Westamerica Bancorp. 33 1,714
12,765
Beverages - 0.5%
Robert Mondavi Corp. - Class A (b) 21 789
Building Materials - 0.4%
Florida Rock Industries Inc. 15 630
Chemicals - 3.7%
Ferro Corp. 50 1,341
Olin Corp. 108 1,903
PolyOne Corp. (b) 176 1,308
Spartech Corp. 68 1,767
6,319
Commercial Services - 4.4%
Arbitron Inc. (b) 44 1,611
BearingPoint Inc. (b) 210 1,865
Learning Tree International Inc. (b) 77 1,110
MPS Group Inc. (b) 128 1,550
Watson Wyatt & Co. Holdings 52 1,388
7,524
Computers - 3.3%
Advanced Digital Information Corp. (b) 150 1,451
BISYS Group Inc. (b) 102 1,435
Mentor Graphics Corp. (b) 71 1,101
Mercury Computer Systems Inc. (b) 46 1,151
Pec Solutions Inc. (b) (l) 44 528
5,666
Diversified Financial Services - 3.4%
eSPEED Inc. (b) 118 2,079
Financial Federal Corp. (b) 24 833
IndyMac Bancorp. Inc. 28 894
Knight Trading Group Inc. (b) 199 1,990
5,796
Electric - 0.9%
Cleco Corp. 80 1,446
Electrical Components & Equipment - 1.0%
GrafTech International Ltd. (b) 158 1,652
Electronics - 2.9%
Coherent Inc. (b) 47 1,400
Electro Scientific Industries Inc. (b) 50 1,410
Metrologic Instruments Inc. (b) 70 1,403
Varian Inc. (b) 17 704
4,917
Engineering & Construction - 1.9%
Chicago Bridge & Iron Co. NV 59 1,643
Shaw Group Inc. (b) 162 1,645
3,288
Entertainment - 2.0%
Alliance Gaming Corp. (b) 129 2,210
AMC Entertainment Inc. (b) 78 1,205
3,415
Environmental Control - 2.0%
Tetra Tech Inc. (b) 82 1,339
Waste Connections Inc. (b) (l) 70 2,064
3,403
Forest Products & Paper - 0.3%
Caraustar Industries Inc. (b) 36 512
Gas - 1.6%
AGL Resources Inc. 59 1,723
New Jersey Resources Corp. 23 948
2,671
Healthcare - 8.4%
Beverly Enterprises Inc. (b) (l) 253 2,173
DJ Orthopedics Inc. (b) 78 1,803
Inamed Corp. (b) 28 1,776
Inveresk Research Group Inc. (b) 52 1,597
Kindred Healthcare Inc. (b) 61 1,607
LifePoint Hospitals Inc. (b) 41 1,507
Odyssey HealthCare Inc. (b) 14 267
PSS World Medical Inc. (b) 119 1,332
Select Medical Corp. 141 1,890
WellCare Health Plans Inc. (b) 15 257
14,209
Home Furnishings - 0.6%
Tempur-Pedic International Inc. (b) 69 961
Household Products - 1.0%
Scotts Co. - Class A (b) 20 1,245
Toro Co. 7 505
1,750
Insurance - 3.2%
Arch Capital Group Ltd. (b) 56 2,225
Assured Guaranty Ltd. (b) 98 1,654
Max Re Capital Ltd. 43 834
Reinsurance Group of America 17 691
5,404
Internet - 2.9%
Avocent Corp. (b) 52 1,926
ProQuest Co. (b) 71 1,921
Verity Inc. (b) 79 1,071
4,918
Machinery - 0.7%
Nordson Corp. 27 1,162
Tecumseh Products Co. 3 103
1,265
Manufacturing - 0.9%
Roper Industries Inc. 27 1,525
Media - 2.3%
Journal Register Co. (b) 71 1,418
Liberty Corp. 37 1,723
Pulitzer Inc. 16 787
3,928
Office Furnishings - 0.8%
Herman Miller Inc. 48 1,398
Oil & Gas Producers - 4.0%
Denbury Resources Inc. (b) 75 1,579
Forest Oil Corp. (b) 46 1,268
Grey Wolf Inc. (b) 259 1,098
Houston Exploration Co. (b) 29 1,483
Newfield Exploration Co. (b) 24 1,343
6,771
Oil & Gas Services - 3.2%
CAL Dive International Inc. (b) 31 949
Key Energy Services Inc. (b) 293 2,765
Maverick Tube Corp. (b) 64 1,686
5,400
Packaging & Containers - 0.8%
Packaging Corp. of America 58 1,377
Pharmaceuticals - 2.9%
Able Laboratories Inc. (b) 95 1,955
MIM Corp. (b) 172 1,496
Par Pharmaceutical Cos. Inc. (b) 27 947
QLT PhotoTherapeutics Inc. (b) 29 589
4,987
Pipelines - 0.7%
Kinder Morgan Management LLC (b) 34 1,253
Real Estate - 2.8%
Alexandria Real Estate Equities Inc. 11 608
CarrAmerica Realty Corp. 48 1,451
Maguire Properties Inc. 53 1,318
Mills Corp. 30 1,382
4,759
Retail - 1.7%
Cost Plus Inc. (b) 39 1,249
Jack in the Box Inc. (b) 2 68
Sonic Corp. (b) 67 1,519
2,836
Savings & Loans - 1.0%
MAF Bancorp. Inc. 40 1,703
Semiconductors - 6.6%
AMIS Holdings Inc. (b) 75 1,271
Credence Systems Corp. (b) (l) 141 1,946
Emulex Corp. (b) (l) 58 831
Exar Corp. (b) 110 1,618
Microsemi Corp. (b) 118 1,671
Omnivision Technologies Inc. (b) 93 1,477
Semtech Corp. (b) 39 913
Zoran Corp. (b) 80 1,474
11,201
Software - 1.5%
Hyperion Solutions Corp. (b) 22 966
Take-Two Interactive Software Inc. (b) 51 1,575
2,541
Telecommunications Equipment - 2.9%
C-COR.net Corp. (b) 202 2,074
CommScope Inc. (b) 85 1,825
Extreme Networks Inc. (b) 187 1,033
4,932
Toys & Hobbies - 1.1%
Leapfrog Enterprises Inc. (b) (l) 98 1,945
Transportation - 1.7%
Forward Air Corp. (b) 26 987
Swift Transportation Co. Inc. (b) 110 1,973
2,960
Total Common Stocks (cost $148,193) 164,689
Short Term Investments - 3.8%
Money Market Funds - 3.8%
Dreyfus Cash Management Plus, 1.14% (a) 6,496 6,496
Total Short Term Investments (cost $6,496) 6,496
Total Investments - 100.7% (cost $154,689) 171,185
Other Assets and Liabilities, Net - (0.7%) (1,171)
Total Net Assets - 100% $170,014
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Corporate Bonds - 27.1%
Aerospace & Defense - 0.3%
General Dynamics Corp., 4.25%, 05/15/13 (l) $150 $140
Lockheed Martin Corp., 8.50%, 12/01/29 75 95
United Technologies Corp.
6.35%, 03/01/11 75 81
6.70%, 08/01/28 50 54
370
Agriculture - 0.1%
Bunge Ltd. Finance Corp., 5.35%, 04/15/14 (e) 75 72
Asset Backed Securities - 5.6%
AmeriCredit Automobile Receivables Trust
3.67%, 06/08/09 500 504
2.84%, 08/06/10 115 113
Bear Stearns Commercial Mortgage Securities
6.80%, 09/15/08 76 80
Capital One Auto Finance Trust, 3.18%, 09/15/10 250 246
Capital One Master Trust, 6.31%, 06/15/11 200 216
Capital One Prime Auto Receivables Trust, 2.59%, 09/15/09 150 148
Chase Manhattan Bank-First Union, 7.439%, 08/15/31 50 56
Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 64 68
CS First Boston Mortgage Securities Corp., 6.91%, 09/15/41 254 270
DaimlerChrysler Auto Trust, 3.78%, 02/06/07 400 404
DLJ Commercial Mortgage Corp.
6.93%, 08/10/09 143 152
6.46%, 03/10/32 50 54
6.88%, 06/10/32 55 58
First Union Commercial Mortgage Securities Inc.,
6.65%, 11/18/29 97 103
First Union National Bank Commercial Mortgage Trust
7.184%, 12/15/31 69 71
7.39%, 12/15/31 105 118
First Union National Bank-Bank of America Commercial,
Mortgage Trust, 6.136%, 03/15/33 301 321
First Union-Lehman Brothers-Bank of America,
Commercial Mortgage Trust, 6.56%, 11/18/35 250 270
Fleet Credit Card Master Trust II, 5.60%, 12/15/08 (l) 250 261
GMAC Commercial Mortgage Securities Inc.,
6.42%, 05/15/35 100 108
Heller Financial Commercial Mortgage Asset Corp.,
6.50%, 05/15/31 78 83
Honda Auto Receivables Owner Trust
3.96%, 02/19/07 171 172
2.77%, 11/21/08 200 198
Household Automotive Trust
2.31%, 04/17/08 350 347
4.37%, 12/17/08 100 102
3.02%, 12/17/10 365 357
JPMorgan Chase Commercial Mortgage Securities Corp.,
5.822%, 05/12/34 250 263
JPMorgan Commercial Mortgage Finance Corp.,
6.507%, 10/15/35 (g) 35 38
LB Commercial Conduit Mortgage Trust
6.48%, 02/18/30 200 215
6.41%, 06/15/31 121 126
6.78%, 06/15/31 223 244
LB-UBS Commercial Mortgage Trust
5.401%, 03/15/26 102 106
3.85%, 05/15/27 250 234
5.594%, 06/15/31 75 77
Morgan Stanley Capital I, 6.52%, 03/15/30 95 102
Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 113
Mortgage Capital Funding Inc., 7.288%, 02/20/27 21 22
PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 60
Salomon Brothers Mortgage Securities VII, 6.17%, 02/13/10 100 107
Sears Credit Account Master Trust, 5.65%, 03/17/09 113 114
Toyota Auto Receivables Owner Trust, 4.72%, 09/15/08 108 110
Wachovia Bank Commercial Mortgage Trust,
4.566%, 04/15/35 250 243
WFS Financial Owner Trust, 2.41%, 12/20/10 135 132
7,186
Auto Manufacturers - 0.4% DaimlerChrysler NA Holding Corp.
7.25%, 01/18/06 (l) 250 265
4.75%, 01/15/08 (l) 150 151
4.05%, 06/04/08 100 98
514
Banks - 3.1%
ABN Amro Bank NV, 7.55%, 06/28/06 (f) 100 108
Bank of America Corp.
5.25%, 02/01/07 100 104
4.875%, 09/15/12 (l) 150 146
Bank One Corp., 6.50%, 02/01/06 200 211
Barclays Bank Plc, 6.86%, 09/15/49 (e) 50 52
BB&T Corp., 6.50%, 08/01/11 75 81
Corp. Andina De Fomento CAF, 6.875%, 03/15/12 150 161
European Bank for Reconstruction & Development,
5.375%, 06/15/06 100 105
Fleet National Bank, 5.75%, 01/15/09 100 106
HSBC Holdings Plc, 5.25%, 12/12/12 100 99
Inter-American Development Bank, 7.375%, 01/15/10 100 116
KFW International Finance
2.50%, 10/17/05 (l) 100 100
3.25%, 03/30/09 (l) 100 97
Korea Development Bank, 5.50%, 11/13/12 (l) 75 74
National Australia Bank Ltd., 8.60%, 05/19/10 250 295
National City Bank, 4.625%, 05/01/13 100 94
National Westminster Bank Plc, 7.375%, 10/01/09 250 283
NB Capital Trust II, 7.83%, 12/15/26 75 81
Popular North America Inc.
6.125%, 10/15/06 150 158
4.25%, 04/01/08 100 100
Province of Ontario, 6.00%, 02/21/06 (l) 200 210
Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 (l) 100 96
US Bancorp., 6.75%, 10/15/05 75 79
US Bank National Association, 6.375%, 08/01/11 100 108
Wachovia Corp.
7.55%, 08/18/05 100 105
7.50%, 07/15/06 500 544
Wells Fargo & Co., 5.00%, 11/15/14 (l) 200 193
3,908
Beverages - 0.3%
Anheuser-Busch Cos. Inc., 6.80%, 01/15/31 75 83
Coca-Cola Enterprises Inc.
6.125%, 08/15/11 75 81
7.125%, 08/01/17 100 113
Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 84
361
Chemicals - 0.4%
Dow Chemical Co.
6.125%, 02/01/11 50 53
6.00%, 10/01/12 50 52
E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 100 98
PPG Industries Inc., 7.05%, 08/15/09 100 112
Praxair Inc., 3.95%, 06/01/13 (l) 100 91
Rohm & Haas Co., 7.85%, 07/15/29 50 60
466
Commercial Services - 0.1%
Hertz Corp., 7.625%, 06/01/12 100 106
Computers - 0.1%
International Business Machines Corp.
4.75%, 11/29/12 75 73
7.00%, 10/30/45 50 56
129
Diversified Financial Services - 5.7%
Associates Corp., 6.25%, 11/01/08 300 323
Bear Stearns Co. Inc.
7.80%, 08/15/07 250 279
2.875%, 07/02/08 250 237
Boeing Capital Corp.
4.75%, 08/25/08 100 102
5.80%, 01/15/13 (l) 125 128
CIT Group Inc., 7.375%, 04/02/07 250 274
Citigroup Inc., 6.00%, 02/21/12 (l) 100 106
Countrywide Home Loans Inc.
5.50%, 08/01/06 75 78
5.50%, 02/01/07 200 208
Ford Motor Credit Co.
7.75%, 03/15/05 250 258
6.125%, 01/09/06 250 258
7.75%, 02/15/07 100 108
7.20%, 06/15/07 100 106
5.625%, 10/01/08 (l) 200 202
5.80%, 01/12/09 100 101
7.25%, 10/25/11 75 78
General Electric Capital Corp.
4.25%, 01/15/08 (l) 150 152
6.75%, 03/15/32 150 161
General Motors Acceptance Corp.
6.75%, 01/15/06 250 262
4.50%, 07/15/06 200 202
6.125%, 09/15/06 100 104
6.125%, 02/01/07 (l) 150 157
6.125%, 08/28/07 200 209
5.85%, 01/14/09 (l) 150 152
7.25%, 03/02/11 (l) 175 184
Goldman Sachs Group Inc.
6.65%, 05/15/09 250 272
5.25%, 04/01/13 100 98
Household Finance Corp.
6.875%, 03/01/07 100 108
7.625%, 05/17/32 150 175
International Finance Corp., 5.25%, 05/02/06 (l) 100 104
International Lease Finance Corp., 5.75%, 10/15/06 250 263
JPMorgan Chase & Co.
5.625%, 08/15/06 (l) 100 105
6.625%, 03/15/12 100 108
5.75%, 01/02/13 100 102
Lehman Brothers Holdings Inc., 7.00%, 02/01/08 250 274
Merrill Lynch & Co. Inc., 7.375%, 05/15/06 100 108
Morgan Stanley Dean Witter & Co., 7.25%, 04/01/32 100 111
National Rural Utilities, 5.75%, 08/28/09 200 211
SLM Corp., 5.05%, 11/14/14 250 240
Textron Financial Corp.
7.125%, 12/09/04 50 51
6.00%, 11/20/09 250 269
Toyota Motor Credit Corp., 2.875%, 08/01/08 100 96
7,124
Electric - 1.7%
Alabama Power Co., 5.875%, 12/01/22 100 99
AmerenUE, 6.75%, 05/01/08 100 109
Dominion Resources Inc., 5.25%, 08/01/33 100 95
Duke Energy Corp., 5.625%, 11/30/12 150 150
Florida Power & Light Co., 6.00%, 06/01/08 100 107
FPL Group Capital Inc.
7.625%, 09/15/06 100 109
7.375%, 06/01/09 100 113
Hydro Quebec
8.00%, 02/01/13 100 120
7.50%, 04/01/16 100 119
Midamerican Energy Co., 6.75%, 12/30/31 (l) 50 53
Northern States Power Co., 8.00%, 08/28/12 100 119
Ohio Power Co., 5.50%, 02/15/13 100 100
Oncor Electric Delivery Co., 6.375%, 01/15/15 300 315
Peco Energy Co., 4.75%, 10/01/12 100 98
PPL Electric Utilities Corp., 6.25%, 08/15/09 100 108
SCANA Corp., 6.875%, 05/15/11 75 83
Southern California Edison Co., 6.00%, 01/15/34 75 72
Virginia Electric and Power Co., 4.75%, 03/01/13 50 48
Wisconsin Energy Corp., 6.50%, 04/01/11 100 108
2,125
Electrical Components & Equipment - 0.1%
Emerson Electric Co., 5.00%, 12/15/14 100 98
Food - 1.0%
Archer-Daniels-Midland Co., 8.125%, 06/01/12 75 90
Campbell Soup Co., 5.00%, 12/03/12 150 149
ConAgra Foods Inc., 7.875%, 09/15/10 200 232
HJ Heinz Finance Co., 6.625%, 07/15/11 200 221
Kraft Foods Inc.
4.625%, 11/01/06 50 51
5.25%, 06/01/07 100 104
Nabisco Inc., 7.05%, 07/15/07 200 218
Sara Lee Corp., 6.25%, 09/15/11 75 81
Unilever Capital Corp., 7.125%, 11/01/10 100 113
1,259
Gas - 0.2%
KeySpan Corp., 6.15%, 06/01/06 100 105
Sempra Energy, 4.75%, 05/15/09 200 202
307
Healthcare - 0.1%
Baxter International Inc., 4.625%, 03/15/15 75 69
UnitedHealth Group Inc., 7.50%, 11/15/05 85 90
159
Insurance - 0.9%
Aegon NV, 4.75%, 06/01/13 150 143
Allstate Corp.
6.125%, 02/15/12 75 80
5.35%, 06/01/33 75 66
American International Group Inc., 4.25%, 05/15/13 100 93
Chubb Corp., 5.20%, 04/01/13 100 98
Hartford Life Inc., 7.65%, 06/15/27 75 87
John Hancock Financial Services Inc., 5.625%, 12/01/08 250 262
Marsh & McLennan Cos Inc., 3.625%, 02/15/08 100 99
Metlife Inc., 5.00%, 11/24/13 (l) 100 97
Travelers Property Casualty Corp., 6.75%, 11/15/06 100 108
1,133
Investment Companies - 0.3%
Credit Suisse First Boston USA Inc.
5.875%, 08/01/06 100 105
6.125%, 11/15/11 100 105
7.125%, 07/15/32 100 111
321
Machinery - 0.2%
Caterpillar Inc., 7.30%, 05/01/31 100 116
Deere & Co., 8.10%, 05/15/30 70 88
204
Manufacturing - 0.1%
Honeywell International Inc., 6.125%, 11/01/11 100 107
Media - 1.1%
AOL Time Warner Inc., 6.125%, 04/15/06 200 210
AT&T Broadband Corp., 8.375%, 03/15/13 250 292
COX Communications Inc., 7.875%, 08/15/09 150 170
Liberty Media Corp., 8.50%, 07/15/29 (l) 50 58
News America Inc., 7.30%, 04/30/28 50 54
Time Warner Entertainment Co. LP, 7.25%, 09/01/08 250 275
Time Warner Inc., 6.625%, 05/15/29 100 97
Viacom Inc., 7.875%, 07/30/30 125 148
Walt Disney Co., 7.00%, 03/01/32 50 54
1,358
Mining - 0.3%
Alcan Inc., 4.875%, 09/15/12 50 49
Alcoa Inc.
6.50%, 06/01/11 125 137
5.375%, 01/15/13 50 50
BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 200 194
430
Oil & Gas Producers - 1.0%
Apache Corp., 7.95%, 04/15/26 50 60
Conoco Funding Co., 7.25%, 10/15/31 75 86
ConocoPhillips
4.75%, 10/15/12 150 146
6.65%, 07/15/18 75 82
Marathon Oil Corp., 6.125%, 03/15/12 200 211
Norsk Hydro ASA, 6.36%, 01/15/09 250 270
Pemex Project Funding Master Trust, 8.625%, 02/01/22 (l) 75 78
Suncor Energy Inc., 5.95%, 12/01/34 100 97
Texaco Capital Inc., 8.625%, 11/15/31 100 136
XTO Energy Inc., 4.90%, 02/01/14 75 71
1,237
Oil & Gas Services - 0.1%
Baker Hughes Inc., 6.25%, 01/15/09 150 162
Pharmaceuticals - 0.4%
Bristol-Myers Squibb Co.
5.75%, 10/01/11 100 104
5.25%, 08/15/13 (e) 100 99
Cardinal Health Inc., 6.75%, 02/15/11 75 83
Pharmacia Corp., 6.60%, 12/01/28 100 108
Schering-Plough Corp., 6.50%, 12/01/33 50 50
Wyeth, 5.50%, 03/15/13 100 97
541
Pipelines - 0.1%
Consolidated Natural Gas Co., 6.80%, 12/15/27 50 52
Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 (l) 75 71
123
Real Estate - 0.2%
Simon Property Group LP, 7.125%, 02/09/09 200 220
Retail - 0.8%
CVS Corp., 5.625%, 03/15/06 300 313
Federated Department Stores, 6.90%, 04/01/29 100 104
Kohl's Corp., 7.25%, 06/01/29 75 84
Lowe's Cos. Inc., 6.875%, 02/15/28 75 82
McDonald's Corp., 5.95%, 01/15/08 100 106
Target Corp.
5.50%, 04/01/07 75 79
7.00%, 07/15/31 100 112
Wal-Mart Stores Inc.
4.55%, 05/01/13 (l) 100 96
7.55%, 02/15/30 (l) 50 60
1,036
Software - 0.2%
First Data Corp., 5.625%, 11/01/11 200 209
Telecommunications - 1.4%
Alltel Corp., 7.875%, 07/01/32 (l) 50 58
BellSouth Corp., 6.875%, 10/15/31 (l) 200 208
Deutsche Telekom International Finance BV,
8.50%, 06/15/10 400 468
GTE Corp., 6.94%, 04/15/28 50 51
SBC Communications Inc., 5.875%, 02/01/12 100 103
Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 110
Sprint Capital Corp.
6.00%, 01/15/07 150 157
6.875%, 11/15/28 75 72
Telecom Italia Capital SA, 6.375%, 11/15/33 (e) (l) 50 48
Telefonica Europe BV, 8.25%, 09/15/30 (l) 100 122
Verizon Global Funding Corp.
7.25%, 12/01/10 250 279
7.75%, 12/01/30 50 56
1,732
Transportation - 0.2%
Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 150 156
Norfolk Southern Corp., 7.25%, 02/15/31 75 82
238
Wireless Telecommunications - 0.6%
AT&T Wireless Services Inc., 7.50%, 05/01/07 250 274
Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 209
Vodafone Group Plc, 7.75%, 02/15/10 200 229
712
Total Corporate Bonds (cost $34,275) 33,947
Government Securities - 71.6%
Banks - 0.2%
International Bank for Reconstruction & Development,
4.375%, 09/28/06 300 308
Sovereign - 1.8%
Canadian Government, 6.75%, 08/28/06 (l) 100 108
Chile Government International Bond, 5.50%, 01/15/13 100 100
Export Development Canada, 2.75%, 12/12/05 100 100
Financement-Quebec, 5.00%, 10/25/12 100 100
Inter-American Development Bank
5.375%, 01/18/06 100 104
6.125%, 03/08/06 100 106
Nova Scotia Province, 5.75%, 02/27/12 100 105
Province of British Columbia, 4.625%, 10/03/06 (l) 100 103
Province of Quebec
5.75%, 02/15/09 125 133
7.50%, 07/15/23 100 120
Republic of Italy
2.50%, 03/31/06 100 100
4.375%, 06/15/13 (l) 100 97
5.375%, 06/15/33 100 93
Republic of Korea, 8.875%, 04/15/08 (l) 300 348
Spain Government International Bond, 7.00%, 07/19/05 100 105
State of Israel, 4.625%, 06/15/13 75 69
United Mexican States
6.375%, 01/16/13 150 150
7.50%, 04/08/33 250 242
2,283
U.S. Government Agencies - 50.4% Federal Home Loan Mortgage Corp.
1.50%, 08/15/05 (l) 320 317
2.125%, 11/15/05 (l) 300 298
2.50%, 12/15/05 (l) 1,400 1,398
2.00%, 02/27/06 (l) 100 99
2.50%, 03/15/06 2,020 2,011
2.375%, 02/15/07 (l) 2,500 2,436
4.50%, 07/23/07 (l) 150 150
4.25%, 05/04/09 (l) 200 198
5.125%, 07/15/09 200 200
4.75%, 08/13/09 200 201
5.75%, 05/15/12 (l) 655 691
5.125%, 07/15/12 (l) 98 99
5.125%, 08/20/12 (l) 425 426
4.625%, 05/28/13 75 72
6.50%, 06/01/14 2,297 2,427
7.00%, 06/01/15 18 20
7.00%, 08/01/15 78 83
7.00%, 11/01/15 3 4
7.00%, 11/01/16 202 214
6.00%, 12/01/16 509 531
5.50%, 07/01/17 644 660
6.00%, 07/01/17 1,243 1,297
4.50%, 01/01/18 1,335 1,308
5.50%, 04/01/18 712 729
4.00%, 05/01/19 2,000 1,908
6.50%, 12/01/28 (f) 180 188
6.50%, 05/01/29 260 271
6.50%, 03/01/31 93 97
7.00%, 06/01/31 52 55
7.50%, 11/01/31 464 499
7.50%, 04/01/32 662 713
6.25%, 07/15/32 (l) 125 132
6.60%, 08/01/32 377 393
6.00%, 12/01/32 253 259
5.50%, 04/01/33 (f) 1,711 1,708
6.00%, 04/01/33 1,202 1,229
5.50%, 05/01/33 (f) 1,564 1,562
5.50%, 08/01/33 783 782
4.50%, 10/01/33 1,946 1,820
Federal National Mortgage Association
5.50%, TBA (c) 1,750 1,741
6.00%, TBA (c) 2,000 2,041
2.25%, 02/28/06 150 149
2.625%, 11/15/06 (l) 1,250 1,231
3.50%, 10/15/07 350 347
3.25%, 01/15/08 (l) 530 521
2.50%, 06/15/08 (l) 655 622
3.25%, 08/15/08 (l) 275 268
6.625%, 09/15/09 (l) 300 332
5.375%, 11/15/11 (l) 150 155
4.625%, 10/15/13 (l) 485 467
4.125%, 04/15/14 (l) 400 368
6.50%, 02/01/16 129 136
6.00%, 06/01/16 224 233
6.50%, 09/01/16 41 43
6.50%, 10/01/16 75 79
6.50%, 12/01/16 3 3
5.50%, 03/01/17 555 569
5.00%, 10/01/17 2,441 2,450
5.50%, 12/01/17 (f) 1,015 1,041
4.00%, 10/01/18 4,882 4,662
6.25%, 05/15/29 (l) 450 473
7.00%, 02/01/31 319 337
5.50%, 01/01/32 474 474
6.50%, 04/01/32 227 236
6.50%, 07/01/32 206 215
6.00%, 11/01/32 606 620
6.00%, 01/01/33 337 345
6.00%, 02/01/33 520 532
6.50%, 03/01/33 956 996
6.50%, 06/01/33 876 912
5.00%, 10/01/33 951 922
4.50%, 11/01/33 1,686 1,578
4.50%, 05/01/34 2,500 2,342
5.00%, 05/01/34 2,397 2,318
5.00%, 06/01/34 1,997 1,932
6.50%, 06/01/34 2,000 2,081
Government National Mortgage Association
8.00%, 04/15/30 76 83
8.50%, 06/15/30 98 108
8.50%, 12/15/30 4 5
6.50%, 01/15/32 378 396
6.00%, 10/15/32 301 309
5.50%, 07/15/33 814 815
62,972
U.S. Treasury Securities - 19.2% U.S. Treasury Bond
2.50%, 05/31/06 (l) 250 249
11.25%, 02/15/15 (l) 500 771
8.75%, 05/15/17 (l) 245 332
8.875%, 08/15/17 (l) 100 137
8.875%, 02/15/19 (l) (m) 355 492
8.00%, 11/15/21 (l) 980 1,284
7.125%, 02/15/23 (l) 105 127
6.875%, 08/15/25 (l) 290 345
6.75%, 08/15/26 (l) 200 235
6.50%, 11/15/26 (l) 260 297
6.375%, 08/15/27 (l) 420 474
5.25%, 02/15/29 (l) 1,695 1,662
U.S. Treasury Note
1.875%, 12/31/05 (l) 850 843
4.625%, 05/15/06 (l) 1,600 1,657
4.375%, 05/15/07 (l) 600 620
3.25%, 08/15/07 (l) 320 320
6.125%, 08/15/07 (l) 1,420 1,541
5.50%, 02/15/08 (l) 1,705 1,826
5.50%, 05/15/09 (l) 750 808
6.50%, 02/15/10 (l) 2,615 2,947
5.75%, 08/15/10 (l) 1,175 1,281
5.00%, 08/15/11 (l) 1,085 1,133
4.875%, 02/15/12 (l) 1,095 1,131
4.375%, 08/15/12 (l) 1,705 1,697
3.875%, 02/15/13 (l) 125 119
8.125%, 05/15/21 (l) 1,235 1,632
23,960
Total Government Securities (cost $90,425) 89,523
Municipals - 0.2%
Illinois St Taxable Pension, 5.10%, 06/01/33 200 177
New Jersey State Turnpike Authority, 4.252%, 01/01/16 100 93
Total Municipals (cost $278) 270
Short Term Investments - 0.9%
Money Market Funds - 0.9%
Dreyfus Cash Management Plus, 1.14% (a) (n) 1,145 1,145
Total Short Term Investments (cost $1,145) 1,145
Total Investments - 99.8% (cost $126,123) 124,885
Other Assets and Liabilities, Net - 0.2% 223
Total Net Assets - 100% $125,108
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Common Stocks - 92.4%
Advertising - 0.1%
Interpublic Group of Cos. Inc. (b) 6 $82
Aerospace & Defense - 1.4%
Lockheed Martin Corp. 24 1,237
Northrop Grumman Corp. 20 1,095
Raytheon Co. 4 141
2,473
Airlines - 0.1%
Southwest Airlines Co. 11 192
Auto Manufacturers - 1.4%
Ford Motor Co. (l) 62 974
General Motors Corp. 12 542
Navistar International Corp. (b) 17 659
PACCAR Inc. 3 172
2,347
Auto Parts & Equipment - 0.1%
Dana Corp. 6 120
Banks - 6.7%
Bank of America Corp. 33 2,802
Bank One Corp. 9 447
BB&T Corp. 8 305
Fifth Third Bancorp. 23 1,220
First Horizon National Corp. 12 564
Huntington Bancshares Inc. 40 904
Marshall & Ilsley Corp. 2 87
National City Corp. 25 875
North Fork Bancorp. Inc. 4 133
State Street Corp. 7 324
Wachovia Corp. 36 1,621
Wells Fargo & Co. 39 2,206
11,488
Beverages - 3.5%
Adolph Coors Co. - Class B 2 123
Anheuser-Busch Cos. Inc. 15 823
Brown-Forman Corp. - Class B 2 100
Coca-Cola Co. 51 2,597
Coca-Cola Enterprises Inc. 32 923
PepsiCo Inc. 26 1,384
5,950
Biotechnology - 1.0%
Amgen Inc. (b) 19 1,046
Biogen Idec Inc. (b) (l) 5 304
Chiron Corp. (b) 3 131
Genzyme Corp. (b) 4 167
Medimmune Inc. (b) 4 99
1,747
Chemicals - 2.0%
Ashland Inc. 1 37
Dow Chemical Co. 22 895
E.I. du Pont de Nemours & Co. 19 830
Eastman Chemical Co. 1 51
Ecolab Inc. 6 187
Engelhard Corp. 2 68
International Flavors & Fragrances Inc. 1 49
PPG Industries Inc. 15 955
Rohm & Haas Co. 10 417
3,489
Commercial Services - 1.1%
Apollo Group Inc. (b) 7 611
Cendant Corp. 26 640
Deluxe Corp. 1 35
H&R Block Inc. 9 416
R.R. Donnelley & Sons Co. 3 111
Robert Half International Inc. 3 74
1,887
Computers - 3.4%
Affiliated Computer Services Inc. - Class A (b) (l) 3 164
Apple Computer Inc. (b) 3 111
Dell Inc. (b) 43 1,524
EMC Corp. (b) 56 635
Gateway Inc. (b) 6 27
Hewlett-Packard Co. 9 184
International Business Machines Corp. 29 2,539
Network Appliance Inc. (b) 31 661
Sun Microsystems Inc. (b) - -
5,845
Cosmetics & Personal Care - 3.3%
Avon Products Inc. 15 680
Colgate-Palmolive Co. 21 1,240
Gillette Co. 34 1,437
Procter & Gamble Co. 42 2,265
5,622
Diversified Financial Services - 7.0%
American Express Co. 3 178
Bear Stearns Cos. Inc. 2 169
Charles Schwab Corp. 85 813
Citigroup Inc. 65 3,033
E*TRADE Group Inc. (b) 5 58
Fannie Mae 25 1,777
Franklin Resources Inc. 18 895
Freddie Mac 7 421
Goldman Sachs Group Inc. 16 1,462
JPMorgan Chase & Co. 10 386
Merrill Lynch & Co. Inc. 15 783
Morgan Stanley 16 868
SLM Corp. 26 1,041
T. Rowe Price Group Inc. 1 67
11,951
Electric - 1.6%
Ameren Corp. 11 455
Centerpoint Energy Inc. 4 51
Constellation Energy Group Inc. 6 235
Edison International 5 123
Exelon Corp. 14 475
FPL Group Inc. 2 141
PG&E Corp. (b) 6 176
Southern Co. 37 1,067
2,723
Electrical Components & Equipment - 0.1%
Molex Inc. 8 249
Electronics - 0.9%
Agilent Technologies Inc. (b) 24 714
Tektronix Inc. 26 885
1,599
Food - 0.5%
General Mills Inc. 6 266
H.J. Heinz Co. 3 128
Wm. Wrigley Jr. Co. 7 435
829
Forest Products & Paper - 0.1%
Plum Creek Timber Co. Inc. 2 81
Temple-Inland Inc. 1 54
135
Healthcare - 6.1%
Aetna Inc. 11 946
Bausch & Lomb Inc. 13 852
Biomet Inc. (b) 23 1,041
Boston Scientific Corp. (b) 16 674
Guidant Corp. 3 164
Johnson & Johnson 59 3,268
Medtronic Inc. 23 1,137
Stryker Corp. 6 326
Tenet Healthcare Corp. (b) 7 99
UnitedHealth Group Inc. 19 1,154
WellPoint Health Networks Inc. (b) 6 719
Zimmer Holdings Inc. (b) - 18
10,398
Home Builders - 0.1%
Pulte Homes Inc. 4 198
Insurance - 5.2%
AFLAC Inc. 1 29
Allstate Corp. 27 1,276
AMBAC Financial Group Inc. 1 66
American International Group Inc. 46 3,306
Chubb Corp. 3 191
Cincinnati Financial Corp. 21 907
Loews Corp. 3 168
Marsh & McLennan Cos. Inc. 25 1,132
Progressive Corp. 2 172
Prudential Financial Inc. 26 1,193
St. Paul Cos. Inc. 12 499
8,939
Internet - 0.8%
eBay Inc. (b) 5 465
Yahoo! Inc. (b) 26 942
1,407
Iron & Steel - 0.1%
Nucor Corp. 1 85
United States Steel Corp. (l) 2 63
148
Leisure Time - 0.4%
Brunswick Corp. 15 608
Lodging - 0.8%
Marriott International Inc. - Class A 11 559
Starwood Hotels & Resorts Worldwide Inc. 18 812
1,371
Machinery - 1.1%
Caterpillar Inc. 3 268
Deere & Co. 15 1,077
Rockwell Automation Inc. 16 596
1,941
Manufacturing - 5.0%
3M Co. 19 1,737
Danaher Corp. (l) 19 973
Dover Corp. 10 429
Eaton Corp. 16 1,010
General Electric Co. 126 4,097
Ingersoll-Rand Co. - Class A 2 146
Tyco International Ltd. 5 149
8,541
Media - 3.3%
Clear Channel Communications Inc. 6 216
Comcast Corp. - Class A (b) 43 1,196
McGraw-Hill Cos. Inc. - 3
Meredith Corp. (l) 15 835
Time Warner Inc. (b) 50 879
Tribune Co. 1 24
Univision Communications Inc. (b) (l) 18 581
Viacom Inc. - Class B 10 350
Walt Disney Co. 62 1,575
5,659
Metal Fabrication & Hardware - 0.0%
Worthington Industries 2 35
Mining - 0.5%
Alcoa Inc. 13 433
Freeport-McMoRan Copper & Gold Inc. 2 80
Newmont Mining Corp. 7 253
Phelps Dodge Corp. (b) (l) 1 109
875
Oil & Gas Producers - 5.5%
Apache Corp. 23 985
ChevronTexaco Corp. 25 2,314
EOG Resources Inc. 9 537
Exxon Mobil Corp. 102 4,509
Kerr-McGee Corp. 17 928
Rowan Cos. Inc. (b) (l) 6 146
Unocal Corp. - 11
9,430
Oil & Gas Services - 0.4%
Baker Hughes Inc. 12 433
Halliburton Co. 7 205
638
Packaging & Containers - 0.0%
Ball Corp. 1 72
Pharmaceuticals - 5.1%
Abbott Laboratories 23 955
AmerisourceBergen Corp. (l) 14 855
Bristol-Myers Squibb Co. - 1
Eli Lilly & Co. 20 1,393
Hospira Inc. (b) 3 86
Merck & Co. Inc. 17 788
Pfizer Inc. 113 3,870
Watson Pharmaceuticals Inc. (b) 3 75
Wyeth 20 712
8,735
Pipelines - 0.1%
El Paso Corp. 9 73
Williams Cos. Inc. 9 104
177
Real Estate - 0.3%
Apartment Investment & Management Co. 2 47
Equity Office Properties Trust 6 161
Equity Residential 4 125
ProLogis 3 89
Simon Property Group Inc. 3 144
566
Retail - 6.9%
Bed Bath & Beyond Inc. (b) 3 107
Best Buy Co. Inc. 19 989
Costco Wholesale Corp. 4 179
CVS Corp. 19 784
Gap Inc. 45 1,092
Home Depot Inc. 56 1,970
Lowe's Cos. Inc. 2 94
May Department Stores Co. 3 74
McDonald's Corp. 19 491
Nordstrom Inc. 21 890
RadioShack Corp. 2 43
Staples Inc. 36 1,062
Starbucks Corp. (b) 1 38
Walgreen Co. 15 556
Wal-Mart Stores Inc. 67 3,554
11,923
Semiconductors - 3.6%
Applied Materials Inc. (b) 64 1,254
Intel Corp. 67 1,852
KLA-Tencor Corp. (b) 2 89
National Semiconductor Corp. (b) 3 76
PMC - Sierra Inc. (b) 58 831
Teradyne Inc. (b) (l) 20 461
Texas Instruments Inc. 54 1,309
Xilinx Inc. 9 315
6,187
Software - 5.2%
Adobe Systems Inc. 21 961
BMC Software Inc. (b) 31 570
Computer Associates International Inc. 10 286
First Data Corp. 7 309
Fiserv Inc. (b) 13 490
Microsoft Corp. (l) 170 4,859
Oracle Corp. (b) 86 1,022
PeopleSoft Inc. (b) 3 63
Siebel Systems Inc. (b) 34 366
8,926
Telecommunications - 1.6%
AT&T Corp. 12 179
CenturyTel Inc. 19 578
Citizens Communications Co. (b) 4 45
Qwest Communications International Inc. (b) 27 97
SBC Communications Inc. 16 396
Verizon Communications Inc. 41 1,488
2,783
Telecommunications Equipment - 2.0%
Andrew Corp. (b) (l) 7 132
Avaya Inc. (b) 6 101
CIENA Corp. (b) 8 31
Cisco Systems Inc. (b) 68 1,606
Comverse Technology Inc. (b) 34 685
Corning Inc. (b) 15 201
Lucent Technologies Inc. (b) 134 506
Tellabs Inc. (b) 25 216
3,478
Textiles - 0.3%
Cintas Corp. 12 567
Tobacco - 1.0%
Altria Group Inc. 30 1,524
RJ Reynolds Tobacco Holdings Inc. (l) 1 92
UST Inc. 2 76
1,692
Toys & Hobbies - 0.2%
Hasbro Inc. 22 412
Transportation - 1.4%
Burlington Northern Santa Fe Corp. 6 196
CSX Corp. 3 85
FedEx Corp. 4 365
Norfolk Southern Corp. 6 156
Ryder System Inc. 1 32
Union Pacific Corp. 4 236
United Parcel Service Inc. 17 1,269
2,339
Wireless Telecommunications - 1.1%
AT&T Wireless Services Inc. (b) 41 581
Nextel Communications Inc. (b) 50 1,332
Qualcomm Inc. 1 51
1,964
Total Common Stocks (cost $153,071) 158,737
Short Term Investments - 7.4%
Money Market Funds - 7.0%
Dreyfus Cash Management Plus, 1.14% (a) (n) 8,508 8,508
Dreyfus Government Cash Management, 0.96% (a) (n) 3,504 3,504
12,012
U.S. Treasury Bills - 0.4%
U.S. Treasury Bill, 1.23%, 09/30/04 (m) $670 668
Total Short Term Investments (cost $12,680) 12,680
Total Investments - 99.8% (cost $165,751) 171,417
Other Assets and Liabilities, Net - 0.2% 326
Total Net Assets - 100% $171,743
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Common Stocks - 98.2%
Advertising - 0.3%
Aegis Group Plc 28 $46
Asatsu-DK Inc. (l) 1 21
Dentsu Inc. - 103
Publicis Groupe (l) 3 86
Telefonica Publicidad e Informacion SA 4 26
WPP Group Plc 28 283
565
Aerospace & Defense - 0.5%
BAE Systems Plc 81 321
Cobham Plc 3 76
European Aeronautic Defense and Space Co. 6 179
Finmeccanica SpA (l) 155 123
Meggitt Plc 7 34
Rolls-Royce Group Plc (b) 1,115 2
Rolls-Royce Group Plc 40 181
Sagem SA (l) 1 58
Thales SA 2 73
Zodiac SA 1 33
1,080
Airlines - 0.3%
Air France 3 59
All Nippon Airways Co. Ltd. (l) 14 46
British Airways Plc (b) 15 73
Cathay Pacific Airways Ltd. 26 49
Deutsche Lufthansa AG (b) 7 90
Iberia Lineas Aereas de Espana SA (l) 12 36
Japan Airlines System Corp. (b) (l) 17 54
Ryanair Holdings Plc (b) 1 5
SAS AB (b) (l) 2 18
Singapore Airlines Ltd. 14 91
521
Alternative Energy - 0.0%
Gamesa Corp. Tecnologica SA 3 40
Apparel - 0.3%
Adidas-Salomon AG 1 149
Benetton Group SpA (l) 1 13
Gunze Ltd. 5 26
Hermes International - 46
Onward Kashiyama Co. Ltd. 4 64
Puma AG Rudolf Dassler Sport - 106
Tokyo Style Co. Ltd. 2 23
Wacoal Corp. 3 32
World Co. Ltd. 1 27
Yue Yuen Industrial Holdings (l) 14 33
519
Auto Manufacturers - 3.5%
DaimlerChrysler AG 23 1,059
Fiat SpA (b) (l) 14 114
Hino Motors Ltd. (l) 6 43
Honda Motor Co. Ltd. 21 988
Nissan Motor Co. Ltd. 65 727
Peugeot SA 4 249
Renault SA 5 369
Scania AB - Class B 3 88
Toyota Motor Corp. 76 3,079
Volkswagen AG (l) 6 251
Volvo AB (l) 9 293
7,260
Auto Parts & Equipment - 0.8%
Aisin Seiki Co. Ltd. 4 88
Bridgestone Corp. (l) 17 319
Compagnie Generale des Etablissements Michelin - Class B 4 211
Continental AG (l) 4 173
Denso Corp. 14 325
GKN Plc 19 87
Koyo Seiko Co. Ltd. (l) 3 36
NGK Spark Plug Co. Ltd. 4 38
Nok Corp. 3 93
Nokian Renkaat Oyj - 19
Pirelli & Co. SpA (l) 47 49
Sanden Corp. 3 19
Toyoda Gosei Co. Ltd. 1 33
Valeo SA 2 79
1,569
Banks - 17.3%
77 Bank Ltd. 8 55
ABN Amro Holding NV 41 898
Allied Irish Banks Plc 22 344
Alpha Bank A.E. 5 137
Australia & New Zealand Banking Group Ltd. 48 605
Banca Antonveneta SpA (b) 6 125
Banca Intesa SpA (l) 112 411
Banca Monte dei Paschi di Siena SpA (l) 29 91
Banca Nazionale del Lavoro SpA (b) 33 76
Banca Popolare di Milano SCRL (l) 10 62
Banche Popolari Unite Scrl 9 150
Banco Bilbao Vizcaya Argentaria SA (l) 85 1,133
Banco BPI SA 10 37
Banco Comercial Portugues SA (l) 47 110
Banco Espirito Santo SA (l) 3 45
Banco Popolare di Verona (l) 10 170
Banco Popular Espanol (l) 4 234
Banco Santander Central Hispano SA (l) 113 1,171
Bank Austria Creditanstalt AG 1 58
Bank of East Asia 35 99
Bank of Fukuoka Ltd. (l) 14 83
Bank of Ireland 25 340
Bank of Yokohama Ltd. 26 163
Barclays Plc 172 1,464
Bayerische Hypo-und Vereinsbank AG (b) 15 273
BNP Paribas SA (l) 21 1,314
BOC Hong Kong Holdings Ltd. 98 166
Capitalia SpA (l) 38 118
Chiba Bank Ltd. 19 116
Commercial Bank of Greece 1 32
Commerzbank AG (b) 13 236
Commonwealth Bank of Australia 33 753
Credit Agricole SA 17 424
Credit Suisse Group (b) 30 1,060
Danske Bank A/S 12 289
DBS Group Holdings Ltd. 29 242
Depfa Bank Plc 9 131
Deutsche Bank AG 14 1,086
Dexia 17 282
DnB Holding ASA (l) 17 117
EFG Eurobank Ergasias SA 5 105
Erste Bank der Oesterreichischen Sparkassen AG (l) 1 125
FinecoGroup SpA (b) 5 30
Fortis 31 681
Gunma Bank Ltd. 10 50
Hang Seng Bank Ltd. 20 258
HBOS Plc 101 1,256
Hokugin Financial Group Inc. 21 54
HSBC Holdings Plc 289 4,300
Hypo Real Estate Holding Inc. (b) 3 97
Joyo Bank Ltd. 19 84
KBC Bancassurance Holding (l) 3 161
Lloyds TSB Group Plc 147 1,152
Mitsubishi Tokyo Financial Group Inc. - 1,101
Mitsui Trust Holdings Inc. 14 103
Mizuho Financial Group Inc. - 907
National Australia Bank Ltd. 40 824
National Bank of Greece SA 7 146
Nordea AB 58 416
Oversea-Chinese Banking Corp. Ltd. 25 176
Piraeus Bank SA 4 50
Resona Holdings Inc. (b) 120 213
Royal Bank of Scotland Group Plc 78 2,248
Sanpaolo IMI SpA (l) 25 299
Shinsei Bank Ltd. 14 89
Shizuoka Bank Ltd. 16 141
Skandinaviska Enskilda Banken AB (l) 12 179
Societe Generale 9 733
Sumitomo Mitsui Financial Group Inc. (l) - 734
Sumitomo Trust & Banking Co. Ltd. 29 207
Suncorp-Metway Ltd. 14 142
Suruga Bank Ltd. 6 46
Svenska Handelsbanken AB - Class B (l) 14 290
UBS AG 30 2,082
UFJ Holdings Inc. (b) - 442
UniCredito Italiano SpA (l) 116 572
United Overseas Bank Ltd. 31 241
Westpac Banking Corp. 46 569
36,003
Beverages - 1.4%
Asahi Breweries Ltd. (l) 10 115
Carlsberg A/S 1 44
Coca-Cola Amatil Ltd. 11 55
Coca-Cola Hellenic Bottling Co. SA 2 54
Coca-Cola West Japan Co. Ltd. (l) 1 24
Diageo Plc 81 1,086
Foster's Group Ltd. 53 174
Fraser & Neave Ltd. 5 38
Heineken NV (l) 6 211
Interbrew (l) 4 130
ITO EN Ltd. 1 38
Kirin Brewery Co. Ltd. (l) 18 178
Lion Nathan Ltd. 8 40
Pernod-Ricard 1 179
SABMiller Plc (l) 21 272
Sapporo Holdings Ltd. 7 26
Scottish & Newcastle Plc 21 168
Southcorp Ltd. (b) 17 37
Takara Holdings Inc. 4 32
2,901
Biotechnology - 0.1%
Novozymes A/S 1 63
Qiagen NV (b) 4 41
Sonic Healthcare Ltd. 7 42
Zeltia SA (b) (l) 4 25
171
Building Materials - 1.5%
Asahi Glass Co. Ltd. (l) 20 208
Boral Ltd. (l) 16 70
BPB Plc 13 95
Central Glass Co. Ltd. 5 43
Cie de Saint-Gobain (l) 8 404
Cimpor Cimentos de Portugal SA (l) 5 26
CRH Plc 14 292
CSR Ltd. 22 35
Daikin Industries Ltd. 5 134
Fletcher Building Ltd. 12 35
FLS Industries A/S (b) 1 11
Geberit AG - 60
Hanson Plc 20 135
HeidelbergCement AG (l) 2 82
Holcim Ltd. 5 261
Imerys SA 1 49
Italcementi SpA (l) 2 25
James Hardie Industries NV 12 48
Kingspan Group Plc 3 17
Lafarge SA 4 391
Matsushita Electric Works Ltd. 8 73
Nippon Sheet Glass Co. Ltd. 10 40
Pilkington Plc 27 48
Rinker Group Ltd. 26 144
Rinnai Corp. 1 27
RMC Group Plc 7 79
Sanwa Shutter Corp. 4 21
Sumitomo Osaka Cement Co. Ltd. 10 27
Taiheiyo Cement Corp. 20 50
Tenon Ltd. (b) 7 8
Titan Cement Co. SA 2 38
Tostem Inax Holding Corp. 7 151
Wienerberger AG (l) 2 59
3,186
Chemicals - 2.5%
Air Liquide SA 3 473
Akzo Nobel NV (l) 7 265
Asahi Kasei Corp. 32 166
BASF AG (l) 14 749
Bayer AG (l) 17 498
BOC Group Plc 13 219
Ciba Specialty Chemicals AG (b) 2 130
Clariant AG 6 90
Daicel Chemical Industries Ltd. 6 32
Dainippon Ink and Chemicals Inc. 17 44
Denki Kagaku Kogyo KK 11 39
DSM NV 2 100
Givaudan - 111
Hitachi Chemical Co. Ltd. 3 44
Imperial Chemical Industries Plc 31 128
Ishihara Sangyo Kaisha Ltd. (l) 6 13
Johnson Matthey Plc 6 94
JSR Corp. 5 86
Kaneka Corp. 7 66
Kansai Paint Co. Ltd. 5 31
Kingboard Chemicals Holdings 10 17
Lonza Group AG 1 56
Mitsubishi Chemical Corp. 42 112
Mitsubishi Gas Chemical Co. Inc. 9 37
Mitsui Chemicals Inc. 16 80
Nippon Kayaku Co. Ltd. 3 16
Nippon Sanso Corp. 6 32
Nippon Shokubai Co. Ltd. 3 24
Nissan Chemical Industries Ltd. 4 32
Nitto Denko Corp. 4 225
Shin-Etsu Chemical Co. Ltd. 9 336
Showa Denko KK 26 65
Solvay SA 2 132
Sumitomo Bakelite Co. Ltd. 4 28
Sumitomo Chemical Co. Ltd. 35 163
Syngenta AG (b) 3 234
Tosoh Corp. 11 40
Ube Industries Ltd. (b) 22 34
Yara International ASA (b) 5 40
Zeon Corp. (l) 4 29
5,110
Commercial Services - 1.2%
Abertis Infraestructuras SA (l) 6 111
Adecco SA (b) (l) 3 169
Aggreko Plc 8 24
Autoroutes du Sud de la France 2 75
Autostrade SpA 5 88
Bellsystem 24 Inc. - 17
Benesse Corp. 2 52
Brambles Industries Ltd. (l) 25 106
Brambles Industries Plc 20 76
Brisa-Auto Estradas de Portugal SA (l) 10 71
Bunzl Plc 12 96
Capita Group Plc 17 98
Dai Nippon Printing Co. Ltd. 17 273
Davis Service Group Plc 5 38
De La Rue Plc 4 26
Goodwill Group Inc. - 21
Group 4 Falck A/S 2 50
Hays Plc 46 102
IHC Caland NV 1 38
Intertek Group Plc 4 38
ISS A/S 1 57
Kamigumi Co. Ltd. 6 44
Kidde Plc 22 48
Nichii Gakkan Co. 1 23
Randstad Holdings NV 1 30
Rank Group Plc 15 83
Rentokil Initial Plc 49 128
Securicor Plc 15 36
Securitas AB (l) 8 97
Serco Group Plc 11 44
SGS Societe Generale Surveillance Holding SA - 58
TIS Inc. 1 39
Toppan Printing Co. Ltd. 15 170
Transurban Group 13 43
Vedior NV 5 66
2,535
Computers - 0.6%
Atos Origin SA (b) 1 74
Cap Gemini SA (b) 3 129
Computershare Ltd. 10 23
Creative Technology Ltd. 1 14
CSK Corp. 2 86
Fujitsu Ltd. 45 316
Getronics NV (b) (l) 12 33
Indra Sistemas SA (l) 3 42
Itochu Techno-Science Corp. 1 38
LogicaCMG Plc 20 66
Logitech International SA (b) 1 51
Meitec Corp. 1 36
NET One Systems Co. Ltd. - 55
Obic Co. Ltd. - 43
TDK Corp. 3 243
Tietoenator Oyj 2 66
WM-Data AB 7 16
1,331
Cosmetics & Personal Care - 0.6%
Aderans Co. Ltd. 1 15
Beiersdorf AG - 53
Kanebo Ltd. (b) (l) 7 6
Kao Corp. 14 337
L'Oreal SA 8 641
Shiseido Co. Ltd. 9 113
Uni-Charm Corp. 1 55
1,220
Distribution & Wholesale - 0.7%
Cycle & Carriage Ltd. 4 14
Esprit Holdings Ltd. 19 83
Hagemeyer NV (b) 14 29
Inchcape Plc 2 67
Itochu Corp. (b) 36 162
Li & Fung Ltd. 40 58
Marubeni Corp. 33 81
Mitsubishi Corp. 29 283
Mitsui & Co. Ltd. 33 247
Nissho Iwai-Nichimen Holdings Corp. (b) (l) 5 23
Sumitomo Corp. 21 152
Wolseley Plc 15 237
1,436
Diversified Financial Services - 1.7%
Acom Co. Ltd. 2 120
Aeon Credit Service Co. Ltd. (l) 1 41
Aiful Corp. 1 115
Amvescap Plc 19 128
Australian Stock Exchange Ltd. 3 32
Banca Fideuram SpA (l) 8 44
Cattles Plc 8 48
Close Brothers Group Plc 3 41
Credit Saison Co. Ltd. 4 105
D. Carnegie & Co. AB 1 13
Daiwa Securities Group Inc. 31 223
Deutsche Boerse AG 3 145
Euronext NV 2 69
Hitachi Capital Corp. 1 24
Hong Kong Exchanges and Clearing Ltd. 26 53
ICAP Plc 13 63
Irish Life & Permanent Plc 7 110
London Stock Exchange Plc 8 56
Macquarie Bank Ltd. 6 137
Man Group Plc 7 189
Mediobanca SpA 12 152
MLP AG 2 26
Nikko Cordial Corp. 39 189
Nomura Holdings Inc. 49 725
OM AB (b) 2 22
ORIX Corp. 2 241
Perpetual Trustees Australia Ltd. 1 29
Promise Co. Ltd. 2 153
Provident Financial Plc 7 73
Sampo Oyj - Class A 7 71
Schroders Plc 3 38
Singapore Exchange Ltd. 21 20
Takefuji Corp. (l) 2 128
Tower Ltd. (b) 8 9
3,632
Electric - 3.6%
Chubu Electric Power Co. Inc. 17 368
CLP Holdings Ltd. 48 260
Contact Energy Ltd. 7 27
E.ON AG 16 1,182
Edison SpA (b) (l) 20 33
Electrabel SA 1 231
Electricidade de Portugal SA 46 129
Endesa SA (l) 25 483
Enel SpA (l) 64 512
Fortum Oyj 9 118
Hokkaido Electric Power Co. Inc. 5 84
Hong Kong Electric Holdings Ltd. 37 153
Iberdrola SA (l) 20 426
International Power Plc (b) 30 76
Kansai Electric Power Co. Inc. 19 346
Kyushu Electric Power Co. Inc. 11 198
National Grid Transco Plc 81 625
Public Power Corp. 3 62
RWE AG 11 528
Scottish & Southern Energy Plc 23 279
Scottish Power Plc 49 353
Tohoku Electric Power Co. Inc. 11 189
Tokyo Electric Power Co. Inc. 30 685
Union Fenosa SA (l) 6 123
Verbund-Oesterreichische Elektrizitaetswirtschafts AG - 26
7,496
Electrical Components & Equipment - 1.1%
Bekaert SA - 20
Casio Computer Co. Ltd. 5 76
Fujikura Ltd. 9 51
Furukawa Electric Co. Ltd. (b) 14 60
Hitachi Cable Ltd. 4 19
Hitachi Ltd. 84 578
Johnson Electric Holdings Ltd. 41 41
Mitsubishi Electric Corp. 45 221
Sanyo Electric Co. Ltd. 39 160
Sharp Corp. 25 399
Stanley Electric Co. Ltd. 4 70
Sumitomo Electric Industries Ltd. 18 184
Toshiba Corp. 76 306
Ushio Inc. 3 54
Vestas Wind Systems A/S (b) (l) 4 63
2,302
Electronics - 1.7%
Advantest Corp. 2 121
Alps Electric Co. Ltd. 4 57
Anritsu Corp. (l) 2 13
Barco NV - 30
Dainippon Screen Manufacturing Co. Ltd. (l) 5 30
Electrocomponents Plc 12 77
Epcos AG (b) 1 25
Fanuc Ltd. 4 227
Hirose Electric Co. Ltd. 1 88
Keyence Corp. 1 187
Koninklijke Philips Electronics NV 35 932
Kyocera Corp. 4 365
Mabuchi Motor Co. Ltd. (l) 1 51
Minebea Co. Ltd. 9 42
Mitsumi Electric Co. Ltd. 2 20
Murata Manufacturing Co. Ltd. 6 336
NEC Corp. 43 303
NGK Insulators Ltd. 7 57
Omron Corp. 6 129
Premier Farnell Plc 9 39
Secom Co. Ltd. 6 233
Taiyo Yuden Co. Ltd. (l) 3 42
Venture Corp. Ltd. 6 63
Yokogawa Electric Corp. 6 80
3,547
Engineering & Construction - 1.1%
ABB Ltd. (b) 49 268
Acciona SA 1 47
ACS Actividades Cons y Serv 7 123
Amec Plc 8 39
Auckland International Airport Ltd. 7 31
BAA Plc 28 284
Balfour Beatty Plc 11 51
Bouygues SA 5 174
Cheung Kong Infrastructure Holdings Ltd. 12 29
COMSYS Holdings Corp. 3 24
Flughafen Wien AG - 15
Fomento de Construcciones Y Contratas SA (l) 1 45
Grupo Ferrovial SA 2 71
Hellenic Technodomiki Tev SA 1 5
JGC Corp. 5 48
Kajima Corp. 24 89
Kinden Corp. 3 19
Kobenhavns Lufthavne - 18
Leighton Holdings Ltd. (l) 3 20
Linde AG (l) 2 127
New World Development Co. Ltd. 59 43
Nishimatsu Construction Co. Ltd. 7 24
Obayashi Corp. 15 81
Okumura Corp. 5 26
SembCorp Industries Ltd. 29 23
Shimizu Corp. 13 59
Singapore Technologies Engineering Ltd. 35 42
Skanska AB (l) 10 86
Taisei Corp. 21 79
Takuma Co. Ltd. 2 14
Technical Olympic SA 2 10
Toda Corp. 5 20
VA Technologie AG (b) - 16
Vinci SA 2 191
2,241
Entertainment - 0.4%
Aristocrat Leisure Ltd. 9 30
EMI Group Plc 20 90
Greek Organization of Football Prognostics SA 4 79
Hilton Group Plc 42 208
Oriental Land Co. Ltd. 1 85
TAB Ltd. 13 45
TABCORP Holdings Ltd. (l) 11 105
Toho Co. Ltd. 3 49
William Hill Plc 11 114
805
Environmental Control - 0.0%
Kurita Water Industries Ltd. 3 40
Tomra Systems ASA (l) 4 19
Waste Management NZ Ltd. 2 7
66
Food - 4.9%
Ajinomoto Co. Inc. 15 181
Ariake Japan Co. Ltd. (l) - 13
Axfood AB (l) 1 18
Cadbury Schweppes Plc 54 468
Carrefour SA 15 730
Casino Guichard-Perrachon SA 1 75
Colruyt SA - 58
Compass Group Plc 57 346
Danisco A/S 1 67
Delhaize Group (l) 2 92
Fyffes Plc 9 19
Greencore Group Plc 3 11
Groupe Danone 6 551
House Foods Corp. 2 25
J Sainsbury Plc (l) 41 211
Jeronimo Martins (b) (l) 1 14
Katokichi Co. Ltd. 1 24
Kerry Group Plc 4 77
Kesko Oyj (l) 2 34
Kikkoman Corp. 4 34
Koninklijke Ahold NV (b) 41 321
Meiji Dairies Corp. 6 33
Meiji Seika Kaisha Ltd. 8 36
Metro AG (l) 4 182
Nestle SA 11 2,829
Nichirei Corp. 7 25
Nippon Meat Packers Inc. 4 49
Nisshin Seifun Group Inc. 4 41
Nissin Food Products Co. Ltd. 2 59
Numico NV (b) 4 131
Orkla ASA (l) 5 124
Ostasiatiske Kompagni 1 23
QP Corp. 3 23
Snow Brand Milk Products Co. Ltd. (b) (l) 5 15
Sodexho Alliance SA 3 69
Suedzucker AG (l) 1 26
Tate & Lyle Plc 10 61
Tesco Plc 202 975
Toyo Suisan Kaisha Ltd. 2 26
Unilever NV 15 1,026
Unilever Plc 73 714
Woolworths Ltd. 27 213
Yakult Honsha Co. Ltd. (l) 3 43
Yamazaki Baking Co. Ltd. 3 29
10,121
Forest Products & Paper - 0.5%
Billerud AB (l) 2 28
Carter Holt Harvey Ltd. 21 28
Holmen AB (l) 1 38
Mayr-Melnhof Karton AG - 18
Nippon Unipac Holding - 120
Norske Skogindustrier ASA (l) 3 46
OJI Paper Co. Ltd. 21 135
PaperlinX Ltd. 12 40
Stora Enso Oyj - Class R 16 223
Svenska Cellulosa AB (l) 5 194
UPM-Kymmene Oyj 14 263
1,133
Gas - 0.6%
Australian Gas Light Co. Ltd. 12 101
Centrica Plc 112 457
Gas Natural SDG SA (l) 4 98
Hong Kong & China Gas Co. Ltd. 97 160
Ngc Holdings Ltd. 3 5
Osaka Gas Co. Ltd. 54 150
Snam Rete Gas SpA (l) 24 102
Tokyo Gas Co. Ltd. 67 238
1,311
Hand & Machine Tools - 0.5%
Fuji Electric Co. Ltd. 12 32
KCI Konecranes Oyj - 14
KONE Corp. Oyj - Class B 1 61
Makita Corp. 3 45
Nidec Corp. 1 124
Sandvik AB (l) 6 199
Schindler Holding AG - 42
Schneider Electric SA 6 377
SMC Corp. 1 151
Techtronic Industries Co. (b) 20 32
THK Co. Ltd. 3 47
1,124
Healthcare - 0.8%
Capio AB (b) 2 17
Cie Generale D'Optique Essilor International SA 3 164
Cochlear Ltd. 1 23
Coloplast A/S - 33
Elekta AB - Class B (b) (l) 1 15
Fisher & Paykel Healthcare Corp. 2 20
Fresenius Medical Care AG (l) 1 65
Gambro AB (l) 8 73
Getinge AB 4 47
Hoya Corp. 3 305
Luxottica Group SpA (l) 4 58
Nobel Biocare Holding AG 1 86
Nobel Biocare Holding AG - 16
Parkway Holdings Ltd. 10 7
Phonak Holding AG 1 31
Smith & Nephew Plc 25 264
SSL International Plc 4 22
Strauman Holding AG - 39
Synthes Inc. 1 142
Terumo Corp. 5 113
William Demant Holding A/S (b) 1 26
1,566
Holding Companies - Diversified - 0.7%
DCC Plc 2 40
Groupe Bruxelles Lambert SA 2 115
Haw Par Corp. Ltd. 3 10
Hutchison Whampoa Ltd. 56 382
Keppel Corp. Ltd. 14 56
LVMH Moet Hennessy Louis Vuitton SA (l) 6 465
Patrick Corp. Ltd. 13 48
Swire Pacific Ltd. 25 159
Tomkins Plc 21 106
Viohalco 3 19
Wharf Holdings Ltd. 32 92
1,492
Home Builders - 0.4%
Barratt Developments Plc 7 71
Bellway Plc 3 37
Berkeley Group Plc 3 62
Daiwa House Industry Co. Ltd. 13 151
George Wimpey Plc 10 69
Persimmon Plc 7 79
Sekisui Chemical Co. Ltd. 11 93
Sekisui House Ltd. (l) 13 144
Taylor Woodrow Plc 16 74
780
Home Furnishings - 1.1%
Bang & Olufsen A/S - 18
Electrolux AB - Series B (l) 8 144
Fisher & Paykel Appliances Holdings Ltd. 7 21
Matsushita Electric Industrial Co. Ltd. 58 826
MFI Furniture Group Plc 16 44
Pioneer Corp. 4 103
SONY Corp. 24 919
Thomson 6 121
Yamaha Corp. 4 69
2,265
Household Products - 0.4%
Henkel KGaA 2 136
Pacific Brands Ltd. (b) 12 23
Reckitt Benckiser Plc 16 446
Societe BIC SA 1 39
Toto Ltd. 8 84
Waterford Wedgwood Plc (b) 28 6
734
Insurance - 4.6%
Aegon NV 36 432
Alleanza Assicurazioni SpA (l) 13 143
Allianz AG 8 878
AMP Ltd. 49 214
Assicurazioni Generali SpA (l) 25 679
Aviva Plc 59 612
AXA 35 773
AXA Asia Pacific Holdings Ltd. 17 39
CNP Assurances 1 54
Corporacion Mapfre SA 3 37
Friends Provident Plc 46 123
ING Groep NV 46 1,088
Insurance Australia Group Ltd. 43 150
Legal & General Group Plc 171 295
Mediolanum SpA (l) 7 43
Millea Holdings Inc. - 579
Mitsui Sumitomo Insurance Co. Ltd. 33 310
Muenchener Rueckversicherungs AG 5 489
Pohjola Group Plc - Class D 2 21
Prudential Plc 53 454
QBE Insurance Group Ltd. 18 159
Riunione Adriatica di Sicurta SpA 8 147
Royal & Sun Alliance Insurance Group Plc 76 113
Skandia Forsakrings AB (l) 27 111
Sompo Japan Insurance Inc. 19 194
Storebrand ASA (l) 6 39
Swiss Reinsurance 8 550
T&D Holdings Ltd. (b) 4 210
Topdanmark A/S (b) 1 30
Zurich Financial Services AG (b) 4 601
9,567
Internet - 0.3%
Rakuten Inc. (l) - 76
Softbank Corp. 6 264
Trend Micro Inc. 3 111
Yahoo Japan Corp. (b) (l) - 243
694
Investment Companies - 0.1%
Independent Newspapers Ltd. 3 10
Macquarie Infrastructure Group 51 117
127
Iron & Steel - 0.8%
Acerinox SA (l) 1 68
Arcelor 11 177
BHP Steel Ltd. 20 92
Boehler-Uddeholm AG - 20
Corus Group Plc (b) 104 75
JFE Holdings Inc. 14 340
Kobe Steel Ltd. 63 94
Nippon Steel Corp. 161 338
Nisshin Steel Co. Ltd. 18 36
OneSteel Ltd. 14 24
Rautaruukki Oyj 3 21
Ssab Svenskt Stal AB (l) 2 28
Ssab Svenskt Stal AB (l) 1 10
Sumitomo Metal Industries Ltd. 95 112
ThyssenKrupp AG 8 142
Voestalpine AG (l) 1 35
1,612
Leisure Time - 0.3%
Amer Group Ltd. (l) 1 34
Carnival Plc 4 216
Kuoni Reisen Holding AG - 29
Namco Ltd. 1 25
Sammy Corp. (l) 1 43
Sankyo Co. Ltd. 1 49
Shimano Inc. 2 45
TUI AG 3 65
Yamaha Motor Co. Ltd. 4 62
568
Lodging - 0.2%
Accor SA 5 211
Hyatt Regency SA 1 10
InterContinental Hotels Group Plc 19 204
NH Hoteles SA 2 21
Overseas Union Enterprise Ltd. 1 4
Shangri-La Asia Ltd. (l) 30 29
Sky City Entertainment Group Ltd. 12 38
517
Machinery - 0.5%
Alstom (b) 24 27
Amada Co. Ltd. 8 53
Atlas Copco AB (l) 3 111
Atlas Copco AB (l) 2 62
Ebara Corp. 6 29
Hitachi Construction Machinery Co. Ltd. (l) 3 36
Komatsu Ltd. 25 151
Komori Corp. 1 17
Kubota Corp. 28 148
MAN AG (l) 3 98
Metso Oyj 3 36
Rieter Holding AG - 35
Sumitomo Heavy Industries Ltd. (b) 14 44
Toyota Industries Corp. 5 120
967
Manufacturing - 1.7%
AGFA-Gevaert NV 2 57
Alfa Laval AB (l) 2 32
Amano Corp. 2 18
Ansell Ltd. 4 23
BBA Group Plc 11 57
Cookson Group Plc (b) 46 35
FKI Plc 17 37
Fuji Photo Film Co. Ltd. 12 376
Futuris Corp. Ltd. 11 12
IMI Plc 10 66
Invensys Plc (b) 157 51
Ishikawajima-Harima Heavy Industries Co. Ltd. (b) 28 46
Kawasaki Heavy Industries Ltd. 34 55
Konica Corp. 11 152
Mitsubishi Heavy Industries Ltd. 75 203
Nikon Corp. 7 79
NKT Holding A/S - 6
Novar Plc 13 28
Olympus Optical Co. Ltd. 6 113
Orica Ltd. 7 78
RHI AG (b) - 9
Siemens AG 21 1,515
Smiths Group Plc 15 199
Sulzer AG - 25
Trelleborg AB (l) 2 35
Uponor Oyj 1 28
Wartsila Oyj 1 20
Wesfarmers Ltd. 10 203
3,558
Media - 2.2%
Amoldo Mondadori Editore SpA (l) 3 27
Antena 3 Television SA (b) (l) 1 34
British Sky Broadcasting Plc 33 374
Daily Mail & General Trust 8 109
EMAP Plc 7 94
Eniro AB (l) 4 33
Fuji Television Network Inc. - 14
Gruppo Editoriale L'Espresso SpA (l) 5 30
Independent News & Media Plc 15 36
ITV Plc 109 229
John Fairfax Holdings Ltd. 22 58
Lagardere S.C.A. 3 204
Mediaset SpA (l) 16 177
Modern Times Group AB (b) 2 29
News Corp. Ltd. 36 317
Pearson Plc 21 257
Promotora de Informaciones SA (Prisa) 2 37
ProSieben Sat.1 Media AG (l) 2 40
Publishing & Broadcasting Ltd. 4 32
Reed Elsevier NV 18 259
Reed Elsevier Plc 33 324
Reuters Group Plc 38 252
Schibsted ASA 1 22
SCMP Group Ltd. 20 8
Seat Pagine Gialle SpA (b) 98 41
Seat-Pagine Gialle SpA (b) (l) 30 12
Singapore Press Holdings Ltd. 41 100
Sky Network Television Ltd. (b) 2 8
Societe Television Francaise 1 (l) 3 95
Sogecable SA (b) (l) 1 36
Television Broadcasts Ltd. 8 34
Tokyo Broadcasting System Inc. 1 16
Trinity Mirror Plc 8 91
United Business Media Plc 9 82
Vivendi Universal SA (b) 27 743
VNU NV 6 183
Wolters Kluwer NV 7 129
Yell Group Plc 19 116
4,682
Metal Fabrication & Hardware - 0.2%
Assa Abloy AB - Class B (l) 8 103
Hoganas AB (l) 1 17
NSK Ltd. 11 55
NTN Corp. 11 56
SKF AB (l) 2 90
321
Mining - 1.4%
Alumina Ltd. 30 109
BHP Billiton Ltd. 99 862
BHP Billiton Plc 65 563
Dowa Mining Co. Ltd. 7 42
Iluka Resources Ltd. 6 19
Mitsubishi Materials Corp. 24 54
Mitsui Mining & Smelting Co. Ltd. 14 65
Newcrest Mining Ltd. 9 83
Nippon Light Metal Co. Ltd. 10 24
Outokumpu Oyj (l) 2 38
Rio Tinto Ltd. (l) 8 205
Rio Tinto Plc 28 674
Sumitomo Metal Mining Co. Ltd. 13 85
Umicore 1 41
WMC Resources Ltd. 31 106
2,970
Office & Business Equipment - 0.8%
Canon Inc. (l) 22 1,158
OCE NV 2 36
Ricoh Co. Ltd. 18 383
Seiko Epson Corp. 3 95
1,672
Office Furnishings - 0.0%
Kokuyo Co. Ltd. 2 26
Oil & Gas Producers - 7.9%
BG Group Plc 93 572
BP Plc 580 5,120
ENI-Ente Nazionale Idrocarburi SpA (l) 68 1,359
Hellenic Petroleum SA 3 22
Lundin Petroleum AB (b) 4 21
Nippon Mining Holdings Inc. 16 79
Nippon Oil Corp. 34 214
Norsk Hydro ASA (l) 4 248
OMV AG - 68
Origin Energy Ltd. 18 71
Repsol YPF SA (l) 24 526
Royal Dutch Petroleum Co. - NYS 55 2,811
Santos Ltd. 16 76
Shell Transport & Trading Co. Plc 254 1,866
Showa Shell Sekiyu KK (l) 4 37
Statoil ASA (l) 12 147
Teikoku Oil Co. Ltd. (l) 5 27
TonenGeneral Sekiyu KK (l) 8 69
Total Fina Elf SA 15 2,923
Woodside Petroleum Ltd. 12 144
16,400
Oil & Gas Services - 0.0%
Aker Kvaerner ASA (b) (l) 1 8
Petroleum Geo-Services ASA (b) - 16
Smedvig ASA - Class A 1 7
Technip-Coflexip SA - 67
98
Packaging & Containers - 0.1%
Amcor Ltd. 23 110
Rexam Plc 14 117
Toyo Seikan Kaisha Ltd. 4 69
296
Pharmaceuticals - 7.6%
Alfresa Holdings Corp. (l) 1 28
Alliance Unichem Plc 7 79
Altana AG (l) 2 110
AstraZeneca Plc 44 1,984
Aventis SA (l) 18 1,358
Celesio AG 1 50
Celltech Group Plc (b) 8 76
Chugai Pharmaceutical Co. Ltd. (l) 7 114
CSL Ltd. 5 78
Daiichi Pharmaceutical Co. Ltd. 7 116
Eisai Co. Ltd. (l) 7 193
Elan Corp. Plc (b) 10 250
Fujisawa Pharmaceutical Co. Ltd. 8 178
GlaxoSmithKline Plc 156 3,160
H Lundbeck A/S (l) 2 44
Kaken Pharmaceutical Co. Ltd. (l) 2 12
Kuraya Sanseido Inc. (l) 2 32
Kyowa Hakko Kogyo Co. Ltd. 9 65
Mayne Group Ltd. 16 38
Merck KGaA 1 78
Novartis AG 63 2,762
Novo-Nordisk A/S 7 345
Omega Pharma SA 1 31
Orion-Yhtymae Oy 1 26
Roche Holding AG Genusschein 18 1,831
Sankyo Co. Ltd. 10 212
Sanofi-Synthelabo SA (l) 10 613
Schering AG 5 273
Serono SA - Class B - 106
Shionogi & Co. Ltd. 8 138
Suzuken Co. Ltd. 1 39
Taisho Pharmaceutical Co. Ltd. 4 89
Takeda Chemical Industries Ltd. 23 1,027
UCB SA 2 104
Yamanouchi Pharmaceutical Co. Ltd. 8 272
15,911
Real Estate - 1.9%
Allgreen Properties Ltd. 11 6
Ascendas Real Estate Investment Trust 12 10
British Land Co. Plc 13 163
CapitaLand Ltd. 24 19
CapitaMall Trust 13 13
Castellum AB (l) 1 29
Centro Properties Group 16 45
CFS Gandel Retail Trust 33 32
Cheung Kong Holdings Ltd. 40 295
City Developments Ltd. 12 38
Cofinimmo SA - 14
Commonwealth Property Office Fund 40 32
Corio NV (b) (l) 1 49
Daito Trust Construction Co. Ltd. 2 89
Deutsche Office Trust 35 28
Drott AB (b) (l) 1 12
Gecina SA 1 57
General Property Trust 55 133
Great Portland Estates Plc 4 19
Hammerson Plc 7 90
Hang Lung Properties Ltd. (l) 33 43
Henderson Land Development Co. Ltd. 20 86
Hopewell Holdings 17 34
Hysan Development Co. Ltd. 14 21
Immofinanz Immobilien Anlagen AG (b) 7 55
ING Industrial Fund 16 20
Investa Property Group 35 48
Japan Real Estate Investment Corp. (l) - 42
Japan Retail Fund Investment Corp. - 35
Keppel Land Ltd. 9 8
Kerry Properties Ltd. 12 17
Klepierre 1 41
Land Securities Group Plc 12 258
Lend Lease Corp. Ltd. 10 73
Leopalace21 Corp. 3 50
Liberty International Plc 6 86
Macquarie Goodman Industrial Trust 45 52
Metrovacesa SA (l) 1 34
Mirvac Group 20 59
Mitsubishi Estate Co. Ltd. 26 322
Mitsui Fudosan Co. Ltd. 18 215
Nippon Building Fund Inc. (l) - 43
Rodamco Europe NV (b) 1 70
Sacyr Vallehermoso SA 3 37
Singapore Land Ltd. 2 5
Sino Land Co. 24 13
Slough Estates Plc 11 88
Stockland 32 116
Sumitomo Realty & Development Co. Ltd. 10 124
Sun Hung Kai Properties Ltd. 35 287
Tokyu Land Corp. 8 26
Unibail Holding 1 122
United Overseas Land Ltd. 12 16
Wereldhave NV (b) 1 41
Westfield Holdings Ltd. 10 112
Westfield Trust (l) 55 170
Wihlborgs Fastigheter AB 1 14
Wing Tai Holdings Ltd. 14 7
4,063
Retail - 2.9%
Aeon Co. Ltd. 7 265
Aoyama Trading Co. Ltd. 2 41
Autobacs Seven Co. Ltd. (l) 1 26
Autogrill SpA (b) 3 43
Boots Group Plc 21 257
Bulgari SpA (l) 4 37
C&S Co. Ltd. (l) 1 26
Citizen Watch Co. Ltd. (l) 7 79
Coles Myer Ltd. 29 172
Compagnie Financiere Richemont AG - Class A 14 361
Daimaru Inc. (l) 5 46
D'ieteren NV - 16
Dixons Group Plc 52 155
Douglas Holding AG 1 29
Enterprise Inns Plc 9 97
FamilyMart Co. Ltd. (l) 2 52
Fast Retailing Co. Ltd. (l) 1 113
Folli - Follie SA - 10
Germanos SA 1 17
Giordano International Ltd. 34 21
Grafton Group Plc (b) 5 42
GUS Plc 27 409
Hankyu Department Stores Inc. 3 26
Harvey Norman Holdings Ltd. 12 23
Hellenic Duty Free Shops SA 1 10
Hennes & Mauritz AB - Class B (l) 13 324
HMV Group Plc 9 40
ID (l) 4 51
Inditex SA (l) 6 128
Isetan Co. Ltd. 5 68
Ito-Yokado Co. Ltd. (l) 9 385
KarstadtQuelle AG 1 15
Kesa Electricals Plc 14 75
Kingfisher Plc 61 318
Koninklijke Vendex KBB NV 2 45
Lawson Inc. (l) 2 66
Marks & Spencer Group Plc 59 390
Marui Co. Ltd. 8 110
Matsumotokiyoshi Co. Ltd. 1 30
Mitchells & Butlers Plc 14 73
Mitsukoshi Ltd. (l) 10 56
Next Plc 7 180
Nitori Co. Ltd. - 25
Pinault-Printemps-Redoute SA 2 184
Punch Taverns Plc 7 64
Ryohin Keikaku Co. Ltd. 1 31
Saizeriya Co. Ltd. (l) 1 7
Seven-Eleven Japan Co. Ltd. (l) 10 326
Shimachu Co. Ltd. (l) 1 35
Shimamura Co. Ltd. (l) 1 43
Signet Group Plc 44 91
Skylark Co. Ltd. (l) 2 34
Sonae SGPS SA 22 24
Swatch Group AG 2 47
Swatch Group AG - Class B 1 116
Takashimaya Co. Ltd. (l) 7 81
USS Co. Ltd. 1 52
Valora Holding AG - 22
Warehouse Group Ltd. 3 7
Whitbread Plc 8 118
Yamada Denki Co. Ltd. 2 75
6,109
Semiconductors - 0.8%
ARM Holdings Plc 25 55
ASM Pacific Technology (l) 5 17
ASML Holding NV (b) 13 215
Chartered Semiconductor Manufacturing Ltd. (b) (l) 23 19
Infineon Technologies AG (b) 17 224
Micronas Semiconductor Holdings (b) 1 36
NEC Electronics Corp. (l) 1 61
Rohm Co. Ltd. 3 335
Sanken Electric Co. Ltd. 3 39
ST Assembly Test Services Ltd. (b) (l) 7 6
STMicroelectronics NV 15 337
Tokyo Electron Ltd. 5 252
Unaxis Holding AG - 30
1,626
Shipbuilding - 0.0%
Mitsui Engineering & Shipbuilding Co. Ltd. 19 33
SembCorp Marine Ltd. 7 4
37
Software - 0.7%
Business Objects SA (b) 2 38
Capcom Co. Ltd. 1 13
Dassault Systemes SA 2 74
Fuji Soft ABC Inc. 1 28
Hitachi Software Engineering Co. Ltd. 1 14
Konami Corp. 2 53
Misys Plc 14 51
Nomura Research Institute Ltd. 1 64
Oracle Corp. Japan 1 44
Sage Group Plc 33 112
SAP AG (l) 5 899
1,390
Storage/Warehousing - 0.0%
Mitsubishi Logistics Corp. 3 28
Telecommunications - 4.3%
Belgacom SA (b) 4 120
BT Group Plc 227 815
Cable & Wireless Plc (b) 63 149
Deutsche Telekom AG (b) 66 1,165
Eircom Group Plc (b) 12 21
Elisa Communications Oyj - Class A (b) 3 46
France Telecom SA 29 765
Hellenic Telecommunications Organization SA 7 90
Nippon Telegraph & Telephone Corp. - 743
PCCW Ltd. (b) 90 61
Portugal Telecom SGPS SA 23 249
PT-Multimedia - Servicos de Telecomunicacoes e
Multimedia SGPS SA (l) 1 24
Royal KPN NV (l) 52 399
Singapore Telecommunications Ltd. 164 214
Swisscom AG 1 230
TDC A/S 4 114
Tele2 AB - Class B (l) 2 105
Telecom Corp. (l) 50 188
Telecom Italia SpA 369 1,011
Telefonica SA (l) 124 1,830
Telekom Austria AG 7 113
Telenor ASA (l) 22 151
TeliaSonera AB (l) 49 209
Telstra Corp. Ltd. 56 198
Tiscali SpA (b) (l) 6 26
9,037
Telecommunications Equipment - 1.8%
Alcatel SA (b) 32 495
Datacraft Asia Ltd. (b) 5 5
GN Store Nord 5 48
Intracom SA 3 12
Kudelski SA (b) 1 21
Marconi Corp. Plc (b) 6 69
Nokia Oyj 126 1,820
NTT Data Corp. - 106
Oki Electric Industry Co. Ltd. (b) 13 52
Tandberg ASA (l) 4 38
Telefonaktiebolaget LM Ericsson (b) 387 1,140
3,806
Textiles - 0.2%
Kuraray Co. Ltd. 10 82
Mitsubishi Rayon Co. Ltd. 12 47
Nisshinbo Industries Inc. 4 30
Teijin Ltd. 20 75
Texwinca Holdings Ltd. 16 13
Toray Industries Inc. 31 145
Toyobo Co. Ltd. 16 40
432
Tobacco - 0.7%
Altadis SA (l) 7 223
British American Tobacco Plc 41 632
Imperial Tobacco Group Plc 19 412
Japan Tobacco Inc. - 187
Swedish Match AB (l) 9 93
1,547
Toys & Hobbies - 0.2%
Bandai Co. Ltd. (l) 2 49
Nintendo Co. Ltd. 3 301
Sega Corp. (b) (l) 3 32
382
Transportation - 1.7%
Amadeus Global Travel Distribution SA (l) 8 55
Arriva Plc 5 35
Associated British Ports Holdings Plc 9 66
Central Japan Railway Co. - 230
ComfortDelGro Corp. Ltd. 51 36
Compagnie Maritime Belge SA - 8
Dampskibsselskabet Svendborg - 199
Deutsche Post AG 12 252
DSV De Sammensluttede Vognmaend af 1 24
East Japan Railway Co. - 499
Exel Plc 8 105
Firstgroup Plc 10 53
Frontline Ltd. (l) 1 38
Kawasaki Kisen Kaisha Ltd. (l) 12 61
Keihin Electric Express Railway Co. Ltd. (l) 10 63
Keio Electric Railway Co. Ltd. 14 80
Kinki Nippon Railway Co. Ltd. 40 152
Mitsui O.S.K. Lines Ltd. 24 126
MTR Corp. 35 52
National Express Group Plc 3 40
Neptune Orient Lines Ltd. 30 41
Nippon Express Co. Ltd. 21 123
Nippon Yusen Kabushiki Kaisha 24 111
Odakyu Electric Railway Co. Ltd. 17 92
Orient Overseas International Ltd. 5 15
Peninsular and Oriental Steam Navigation Co. 20 79
Seino Transportation Co. Ltd. 3 31
SembCorp Logistics Ltd. 5 5
Ship Finance International Ltd. - 4
Singapore Post Ltd. 42 21
SMRT Corp. Ltd. 14 6
Stagecoach Group Plc 27 45
Tobu Railway Co. Ltd. 20 88
Tokyu Corp. 25 128
Toll Holdings Ltd. 6 44
TPG NV (l) 8 189
West Japan Railway Co. - 181
Yamato Transport Co. Ltd. 11 180
3,557
Venture Capital - 0.1%
3i Group Plc 16 179
Jafco Co. Ltd. 1 53
232
Water - 0.5%
Kelda Group Plc 10 91
Severn Trent Plc 9 127
Sociedad General de Aguas de Barcelona SA (l) 1 25
Suez SA 21 440
United Utilities Plc 23 186
Veolia Environnement 8 212
1,081
Wireless Telecommunications - 2.7%
Cosmote Mobile Telecommunications SA 3 51
Mobistar SA (b) 1 42
NTT DoCoMo Inc. 1 944
SmarTone Telecommunications Holding Ltd. 7 8
TIM SpA (l) 100 566
Uniden Corp. 2 43
Vodafone Group Plc 1,780 3,899
5,553
Total Common Stocks (cost $187,504) 204,928
Preferred Stocks - 0.4%
Auto Manufacturers - 0.1%
Porsche AG - 143
Volkswagen AG (l) 3 77
220
Healthcare - 0.0%
Fresenius Medical Care AG (l) 1 37
Media - 0.3%
News Corp. Ltd. 71 581
Total Preferred Stocks (cost $754) 838
Rights - 0.0%
Jeronimo Martins - Rights, 07/09/04 - -
Total Rights (cost $0) -
Warrants - 0.0%
Commercial Services - 0.0%
Hopewell Highway Infrastructure, Strike Price 4.18 HKD,
Expiring 08/05/06 1 -
Total Warrants (cost $0) -
Short Term Investments - 5.7%
Money Market Funds - 5.4%
Dreyfus Cash Management Plus, 1.14% (a) (n) 10,448 10,448
Dreyfus Government Cash Management, 0.96% (a) (n) 794 794
11,242
U.S. Treasury Bills - 0.3%
U.S. Treasury Bill, 1.23%, 09/30/04 (m) $650 648
Total Short Term Investments (cost $11,890) 11,890
Total Investments - 104.3% (cost $200,148) 217,656
Other Assets and Liabilities, Net - (4.3%) (8,908)
Total Net Assets - 100% $208,748
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Common Stocks - 96.0%
Advertising - 0.3%
Catalina Marketing Corp. (b) 7 $131
Harte-Hanks Inc. 12 285
416
Aerospace & Defense - 1.1%
Alliant Techsystems Inc. (b) 5 323
L-3 Communications Holdings Inc. (l) 14 949
Sequa Corp. - Class A (b) 1 80
Titan Corp. (b) 11 144
1,496
Airlines - 0.4%
Airtran Holdings Inc. (b) 10 143
Alaska Air Group Inc. (b) (l) 3 82
JetBlue Airways Corp. (b) 14 401
626
Apparel - 1.0%
Coach Inc. (b) 25 1,139
Timberland Co. - Class A (b) 5 297
1,436
Auto Parts & Equipment - 1.0%
ArvinMeritor Inc. 9 178
Bandag Inc. 3 113
BorgWarner Inc. 7 327
Lear Corp. 9 544
Modine Manufacturing Co. 5 150
Superior Industries International Inc. (l) 4 118
1,430
Banks - 5.6%
Associated Banc-Corp. 15 437
Bank of Hawaii Corp. 7 325
Banknorth Group Inc. 23 748
City National Corp. 6 423
Colonial BancGroup Inc. 17 310
Commerce Bancorp. Inc. (l) 10 576
Compass Bancshares Inc. 16 704
Cullen/Frost Bankers Inc. 7 304
FirstMerit Corp. 11 299
Greater Bay Bancorp. 7 203
Hibernia Corp. 21 504
Investors Financial Services Corp. 9 384
Mercantile Bankshares Corp. 11 497
National Commerce Financial Corp. 27 887
Silicon Valley Bancshares (b) 5 184
TCF Financial Corp. 9 541
Westamerica Bancorp. 4 226
Wilmington Trust Corp. 9 330
7,882
Beverages - 0.7%
Constellation Brands Inc. - Class A (b) 14 532
PepsiAmericas Inc. (l) 18 390
922
Biotechnology - 0.9%
Charles River Laboratories International Inc. (b) 6 295
Millennium Pharmaceuticals Inc. (b) 41 563
Protein Design Labs Inc. (b) 12 237
Vertex Pharmaceuticals Inc. (b) 10 113
1,208
Building Materials - 0.4%
Martin Marietta Materials Inc. 6 285
York International Corp. 6 231
516
Chemicals - 2.5%
Airgas Inc. 10 241
Albemarle Corp. 5 172
Cabot Corp. 8 341
Cabot Microelectronics Corp. (b) 3 99
Crompton Corp. 16 99
Cytec Industries Inc. 5 233
Ferro Corp. 5 145
FMC Corp. (b) 5 211
IMC Global Inc. (l) 16 212
Lubrizol Corp. 7 255
Lyondell Chemical Co. (l) 24 415
Minerals Technologies Inc. 3 159
Olin Corp. 9 162
RPM International Inc. 16 238
Sensient Technologies Corp. 6 134
Valspar Corp. 7 347
3,463
Commercial Services - 4.3%
Alliance Data Systems Corp. (b) 10 423
Banta Corp. 3 144
Career Education Corp. (b) 14 618
ChoicePoint Inc. (b) 12 539
Corinthian Colleges Inc. (b) 12 300
DeVry Inc. (b) 9 259
Education Management Corp. (b) 10 324
First Health Group Corp. (b) 12 193
Gartner Inc. (b) 18 235
ITT Educational Services Inc. (b) 6 228
Kelly Services Inc. - Class A 5 137
Korn/Ferry International (b) 5 95
Laureate Education Inc. (b) 6 235
Manpower Inc. 12 611
MPS Group Inc. (b) 14 174
Quanta Services Inc. (b) 15 95
Rent-A-Center Inc. (b) 11 318
Rollins Inc. 6 138
Sotheby's Holdings Inc. - Class A (b) 9 137
United Rentals Inc. (b) 10 182
Valassis Communications Inc. (b) 7 211
Viad Corp. (b) 12 321
5,917
Computers - 3.9%
BISYS Group Inc. (b) 16 222
Cadence Design Systems Inc. (b) (l) 37 536
Ceridian Corp. (b) 20 442
Cognizant Technology Solutions Corp. (b) 17 440
Diebold Inc. 10 506
DST Systems Inc. (b) (l) 11 541
Imation Corp. 5 201
Jack Henry & Associates Inc. 12 245
McData Corp. (b) 16 85
Mentor Graphics Corp. (b) 10 148
National Instruments Corp. 11 324
Quantum Corp. (b) 24 73
Reynolds & Reynolds Co. 9 203
Sandisk Corp. (b) 22 470
Storage Technology Corp. (b) 15 435
Synopsys Inc. (b) 21 585
5,456
Distribution & Wholesale - 1.1%
CDW Corp. 11 710
Fastenal Co. (l) 10 578
Tech Data Corp. (b) 8 303
1,591
Diversified Financial Services - 2.1%
A.G. Edwards Inc. 11 365
AmeriCredit Corp. (b) (l) 21 411
Eaton Vance Corp. 9 342
IndyMac Bancorp. Inc. 8 254
Jefferies Group Inc. 7 226
LaBranche & Co. Inc. (l) 8 63
Legg Mason Inc. (l) 9 809
Raymond James Financial Inc. 10 255
Waddell & Reed Financial Inc. - Class A 11 247
2,972
Electric - 4.8%
Allete Inc. 12 395
Alliant Energy Corp. 15 389
Aquila Inc. (b) 27 96
Black Hills Corp. 4 139
DPL Inc. 17 329
Duquesne Light Holdings Inc. (l) 10 199
Energy East Corp. 20 476
Great Plains Energy Inc. (l) 10 290
Hawaiian Electric Industries Inc. (l) 11 280
Idacorp Inc. 5 142
MDU Resources Group Inc. 16 376
Northeast Utilities 17 334
NSTAR 7 340
OGE Energy Corp. 12 300
Pepco Holdings Inc. (l) 23 421
PNM Resources Inc. 8 171
Puget Energy Inc. 13 285
SCANA Corp. (l) 15 539
Sierra Pacific Resources (b) (l) 16 120
Westar Energy Inc. 12 230
Wisconsin Energy Corp. 16 517
WPS Resources Corp. 5 231
6,599
Electrical Components & Equipment - 0.8%
Ametek Inc. 9 280
Energizer Holdings Inc. (b) 11 493
Hubbell Inc. - Class B 8 378
1,151
Electronics - 1.4%
Arrow Electronics Inc. (b) 15 414
Avnet Inc. (b) 16 367
Gentex Corp. 10 411
Kemet Corp. (b) 11 138
Plexus Corp. (b) 6 80
Varian Inc. (b) 5 195
Vishay Intertechnology Inc. (b) 22 400
2,005
Engineering & Construction - 0.4%
Dycom Industries Inc. (b) 6 178
Granite Construction Inc. 6 105
Jacobs Engineering Group Inc. (b) 8 296
579
Entertainment - 0.7%
GTECH Holdings Corp. (l) 8 367
International Speedway Corp. - Class A 7 351
Macrovision Corp. (b) 6 161
Six Flags Inc. (b) 13 94
973
Environmental Control - 0.6%
Republic Services Inc. 21 600
Stericycle Inc. (b) 6 303
903
Food - 3.1%
Dean Foods Co. (b) 21 784
Hormel Foods Corp. 19 577
Interstate Bakeries 6 69
JM Smucker Co. 8 362
Ruddick Corp. 6 143
Smithfield Foods Inc. (b) 15 436
Tootsie Roll Industries Inc. 7 228
Tyson Foods Inc. 47 987
Whole Foods Market Inc. 8 785
4,371
Forest Products & Paper - 0.7%
Bowater Inc. (l) 7 309
Longview Fibre Co. (b) 7 101
P.H. Glatfelter Co. 6 78
Potlatch Corp. 4 168
Rayonier Inc. 7 294
950
Gas - 0.7%
AGL Resources Inc. 9 247
Oneok Inc. 14 302
Vectren Corp. 10 250
WGL Holdings Inc. 7 190
989
Hand & Machine Tools - 0.2%
Kennametal Inc. 5 227
Healthcare - 7.0%
Apogent Technologies Inc. (b) 12 384
Apria Healthcare Group Inc. (b) 7 195
Beckman Coulter Inc. 8 506
Community Health Systems Inc. (b) 13 354
Covance Inc. (b) 8 326
Coventry Health Care Inc. (b) 12 580
Cytyc Corp. (b) 15 376
Dentsply International Inc. 11 561
Edwards Lifesciences Corp. (b) (l) 8 278
Health Net Inc. (b) 15 396
Henry Schein Inc. (b) 6 376
Hillenbrand Industries Inc. 8 501
Inamed Corp. (b) 5 295
LifePoint Hospitals Inc. (b) 5 192
Lincare Holdings Inc. (b) 13 437
Oxford Health Plans 11 596
Pacificare Health Systems Inc. (b) 12 447
Patterson Dental Co. (b) 9 702
Renal Care Group Inc. (b) 9 297
Steris Corp. (b) 9 207
Triad Hospitals Inc. (b) 10 380
Universal Health Services Inc. (l) 8 356
Varian Medical Systems Inc. (b) 9 727
VISX Inc. (b) 6 170
9,639
Holding Companies - Diversified - 0.3%
Leucadia National Corp. 10 472
Home Builders - 2.2%
DR Horton Inc. 31 886
Hovnanian Enterprises Inc. - Class A (b) 8 286
Lennar Corp. (l) 21 933
Ryland Group Inc. 3 250
Thor Industries Inc. 8 253
Toll Brothers Inc. (b) 10 420
3,028
Home Furnishings - 0.7%
Furniture Brands International Inc. 7 184
Harman International Industries Inc. 9 803
987
Household Products - 0.8%
American Greetings Corp. - Class A (b) 9 206
Blyth Inc. 6 215
Church & Dwight Co. Inc. 5 245
Scotts Co. - Class A (b) 4 282
Tupperware Corp. 8 152
1,100
Insurance - 5.2%
Allmerica Financial Corp. (b) 7 243
American Financial Group Inc. 10 294
AmerUs Group Co. 5 221
Arthur J. Gallagher & Co. 12 370
Brown & Brown Inc. 9 397
Everest Re Group Ltd. 7 598
Fidelity National Financial Inc. 23 859
First American Corp. 12 302
HCC Insurance Holdings Inc. 9 290
Horace Mann Educators Corp. 6 103
Mony Group Inc. 7 206
Ohio Casualty Corp. (b) 8 163
Old Republic International Corp. 24 578
PMI Group Inc. 13 557
Protective Life Corp. 9 357
Radian Group Inc. 13 601
Stancorp Financial Group Inc. 4 251
Unitrin Inc. 9 388
W.R. Berkley Corp. 11 483
7,261
Internet - 1.0%
Avocent Corp. (b) 7 244
CheckFree Corp. (b) 11 333
Macromedia Inc. (b) 9 230
Network Associates Inc. (b) 22 401
RSA Security Inc. (b) (l) 8 171
1,379
Leisure Time - 0.1%
Callaway Golf Co. (l) 10 114
Lodging - 1.1%
Boyd Gaming Corp. 9 240
Caesars Entertainment Inc. (b) 41 617
Mandalay Resort Group 9 618
1,475
Machinery - 1.1%
AGCO Corp. (b) 12 249
Flowserve Corp. (b) 7 180
Graco Inc. 9 290
Nordson Corp. 5 211
Tecumseh Products Co. 2 102
Zebra Technologies Corp. (b) 6 555
1,587
Manufacturing - 2.0%
Brink's Co. 8 264
Carlisle Cos. Inc. 4 255
Donaldson Co. Inc. 11 332
Federal Signal Corp. 7 124
Harsco Corp. 5 254
Lancaster Colony Corp. 5 201
Pentair Inc. 13 452
SPX Corp. 10 473
Teleflex Inc. 5 271
Trinity Industries Inc. 6 197
2,823
Media - 2.3%
Belo Corp. - Class A 16 418
Emmis Communications Corp. (b) (l) 8 161
Entercom Communications Corp. (b) 7 259
Lee Enterprises Inc. 6 285
Media General Inc. 3 201
Reader's Digest Association Inc. - Class A 13 210
Scholastic Corp. (b) 5 155
Washington Post 1 1,189
Westwood One Inc. (b) 13 311
3,189
Metal Fabrication & Hardware - 0.3%
Precision Castparts Corp. 9 466
Mining - 0.5%
Arch Coal Inc. 7 264
Peabody Energy Corp. 9 479
743
Office Furnishings - 0.4%
Herman Miller Inc. 10 275
HNI Corp. 8 325
600
Oil & Gas Producers - 4.0%
ENSCO International Inc. 20 587
Forest Oil Corp. (b) 8 209
Helmerich & Payne Inc. 7 173
Murphy Oil Corp. 12 908
Newfield Exploration Co. (b) 8 424
Noble Energy Inc. 8 390
Patterson-UTI Energy Inc. 11 372
Pioneer Natural Resources Co. 16 563
Plains Exploration & Production Co. (b) 11 193
Pogo Producing Co. 9 423
Pride International Inc. (b) 18 304
XTO Energy Inc. 35 1,030
5,576
Oil & Gas Services - 2.5%
Cooper Cameron Corp. (b) 7 345
FMC Technologies Inc. (b) 9 259
Grant Prideco Inc. (b) 16 302
Hanover Compressor Co. (b) 11 126
National-Oilwell Inc. (b) 12 362
Smith International Inc. (b) (l) 14 778
Tidewater Inc. 8 238
Varco International Inc. (b) 13 281
Weatherford International Ltd. (b) 18 800
3,491
Packaging & Containers - 0.5%
Packaging Corp. of America 14 340
Sonoco Products Co. 13 334
674
Pharmaceuticals - 2.3%
Barr Laboratories Inc. (b) 14 471
Cephalon Inc. (b) (l) 8 405
IVAX Corp. (b) 26 633
Omnicare Inc. 14 594
Par Pharmaceutical Cos. Inc. (b) 4 158
Perrigo Co. 9 177
Sepracor Inc. (b) (l) 11 608
Valeant Pharmaceuticals International (l) 11 226
3,272
Pipelines - 1.0%
Equitable Resources Inc. 8 431
National Fuel Gas Co. 11 269
Questar Corp. 11 433
Western Gas Resources Inc. 10 316
1,449
Real Estate - 1.7%
AMB Property Corp. 11 384
Highwoods Properties Inc. 7 165
Hospitality Properties Trust 9 379
Liberty Property Trust 11 457
Mack-Cali Realty Corp. 8 334
New Plan Excel Realty Trust 13 314
United Dominion Realty Trust Inc. 17 338
2,371
Retail - 7.1%
99 Cents Only Stores (b) (l) 9 144
Abercrombie & Fitch Co. - Class A 13 490
American Eagle Outfitters Inc. (b) 10 279
AnnTaylor Stores Corp. (b) 9 267
Applebees International Inc. 11 251
Barnes & Noble Inc. (b) 9 314
BJ's Wholesale Club Inc. (b) 9 235
Bob Evans Farms Inc. 5 130
Borders Group Inc. 10 239
Brinker International Inc. (b) 13 442
Carmax Inc. (b) 14 297
CBRL Group Inc. 6 200
Cheesecake Factory (b) 7 278
Chico's FAS Inc. (b) (l) 12 537
Claire's Stores Inc. 13 288
Copart Inc. (b) 12 322
Dollar Tree Stores Inc. (b) 15 415
Krispy Kreme Doughnuts Inc. (b) (l) 8 160
Michaels Stores Inc. 9 504
Neiman-Marcus Group Inc. - Class A (l) 7 369
O'Reilly Automotive Inc. (b) 7 331
Outback Steakhouse Inc. (l) 10 412
Pacific Sunwear of California (b) 10 201
Payless Shoesource Inc. (b) 9 134
Petsmart Inc. 19 627
Pier 1 Imports Inc. 12 208
Regis Corp. 6 258
Ross Stores Inc. 20 532
Ruby Tuesday Inc. 9 241
Saks Inc. (b) 19 281
Williams-Sonoma Inc. (b) (l) 15 507
9,893
Savings & Loans - 2.0%
Astoria Financial Corp. 10 380
Greenpoint Financial Corp. 18 702
Independence Community Bank Corp. 11 405
New York Community Bancorp. Inc. 35 696
Washington Federal Inc. 11 255
Webster Financial Corp. 7 335
2,773
Semiconductors - 3.5%
Atmel Corp. (b) 64 377
Credence Systems Corp. (b) 13 181
Cree Inc. (b) (l) 10 226
Cypress Semiconductor Corp. (b) (l) 17 237
Fairchild Semiconductor International Inc. - Class A (b) 16 261
Integrated Circuit Systems Inc. (b) 10 264
Integrated Device Technology Inc. (b) 14 199
International Rectifier Corp. (b) 9 365
Intersil Corp. 19 407
Lam Research Corp. (b) 18 480
Lattice Semiconductor Corp. (b) 16 109
LTX Corp. (b) 8 87
Micrel Inc. (b) 12 146
Microchip Technology Inc. 28 878
Semtech Corp. (b) 10 240
Silicon Laboratories Inc. (b) 7 320
Triquint Semiconductor Inc. (b) 19 102
4,880
Software - 2.2%
Activision Inc. (b) 19 295
Acxiom Corp. 12 288
Advent Software Inc. (b) 4 77
Ascential Software Corp. (b) 8 126
Certegy Inc. 8 329
CSG Systems International Inc. (b) 7 142
Dun & Bradstreet Corp. (b) 9 510
Fair Isaac Corp. 9 309
Keane Inc. (b) 8 116
Retek Inc. (b) 8 46
SEI Investments Co. 14 402
Sybase Inc. (b) 13 237
Transaction Systems Architects Inc. (b) 5 106
Wind River Systems Inc. (b) 11 132
3,115
Telecommunications - 0.5%
Cincinnati Bell Inc. (b) 32 142
Telephone & Data Systems Inc. 8 548
690
Telecommunications Equipment - 1.9%
3Com Corp. (b) 52 327
Adtran Inc. 11 356
Advanced Fibre Communications Inc. (b) 12 240
CommScope Inc. (b) 8 179
Harris Corp. (l) 9 453
Newport Corp. (b) 5 88
Plantronics Inc. (b) 6 270
Polycom Inc. (b) 13 300
UTStarcom Inc. (b) (l) 15 460
2,673
Textiles - 0.5%
Mohawk Industries Inc. (b) 9 654
Tobacco - 0.1%
Universal Corp. 3 170
Transportation - 2.1%
Alexander & Baldwin Inc. 6 192
C.H. Robinson Worldwide Inc. 11 525
CNF Inc. 7 283
Expeditors International of Washington Inc. (l) 14 697
GATX Corp. 6 175
J.B. Hunt Transport Services Inc. 11 414
Overseas Shipholding Group Inc. 5 235
Swift Transportation Co. Inc. (b) 11 197
Werner Enterprises Inc. 10 220
2,938
Water - 0.2%
Aqua America Inc. 12 250
Wireless Telecommunications - 0.2%
Powerwave Technologies Inc. (b) 14 107
RF Micro Devices Inc. (b) (l) 24 183
290
Total Common Stocks (cost $120,126) 134,100
Short Term Investments - 4.3%
Money Market Funds - 4.1%
Dreyfus Cash Management Plus, 1.14% (a) (n) 5,740 5,740
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 1.23%, 09/30/04 (m) $330 329
Total Short Term Investments (cost $6,069) 6,069
Total Investments - 100.3% (cost $126,195) 140,169
Other Assets and Liabilities, Net - (0.3%) (365)
Total Net Assets - 100% $139,804
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Common Stocks - 95.1%
Advertising - 0.2%
Interpublic Group of Cos. Inc. (b) 11 $148
Omnicom Group Inc. 5 360
508
Aerospace & Defense - 1.6%
Boeing Co. 21 1,090
General Dynamics Corp. 5 495
Goodrich Corp. 3 92
Lockheed Martin Corp. 11 592
Northrop Grumman Corp. 9 496
Raytheon Co. 11 409
Rockwell Collins Inc. 4 147
United Technologies Corp. 13 1,191
4,512
Agriculture - 0.1%
Monsanto Co. 7 256
Airlines - 0.1%
Delta Air Lines Inc. (b) (l) 2 17
Southwest Airlines Co. 20 330
347
Apparel - 0.3%
Jones Apparel Group Inc. 3 122
Liz Claiborne Inc. 3 96
NIKE Inc. 7 512
Reebok International Ltd. 2 58
V.F. Corp. 3 139
927
Auto Manufacturers - 0.6%
Ford Motor Co. (l) 46 727
General Motors Corp. (l) 14 669
Navistar International Corp. (b) (l) 2 68
PACCAR Inc. 4 253
1,717
Auto Parts & Equipment - 0.2%
Cooper Tire & Rubber Co. 2 42
Dana Corp. 4 74
Delphi Corp. 14 151
Goodyear Tire & Rubber Co. (b) (l) 4 40
Johnson Controls Inc. 5 260
Visteon Corp. 3 38
605
Banks - 6.6%
AmSouth Bancorp. 9 223
Bank of America Corp. 52 4,365
Bank of New York Co. Inc. 20 581
Bank One Corp. 28 1,451
BB&T Corp. 14 529
Charter One Financial Inc. 6 253
Comerica Inc. 4 240
Fifth Third Bancorp. 14 753
First Horizon National Corp. (l) 3 146
Huntington Bancshares Inc. 6 132
KeyCorp 10 311
M&T Bank Corp. 3 262
Marshall & Ilsley Corp. 6 219
Mellon Financial Corp. 11 314
National City Corp. 17 596
North Fork Bancorp. Inc. (l) 4 162
Northern Trust Corp. 5 232
PNC Financial Services Group Inc. 7 383
Regions Financial Corp. 6 202
SouthTrust Corp. 8 319
State Street Corp. 9 420
SunTrust Banks Inc. 7 468
Synovus Financial Corp. 8 192
Union Planters Corp. 5 147
US Bancorp. 48 1,316
Wachovia Corp. 33 1,481
Wells Fargo & Co. 43 2,447
Zions Bancorp. 2 133
18,277
Beverages - 2.6%
Adolph Coors Co. - Class B 1 69
Anheuser-Busch Cos. Inc. 20 1,094
Brown-Forman Corp. - Class B 3 145
Coca-Cola Co. 62 3,111
Coca-Cola Enterprises Inc. 12 346
Pepsi Bottling Group Inc. 6 197
PepsiCo Inc. 43 2,328
7,290
Biotechnology - 1.1%
Amgen Inc. (b) 32 1,750
Biogen Idec Inc. (b) 9 546
Chiron Corp. (b) 5 210
Genzyme Corp. (b) 6 273
Medimmune Inc. (b) 6 145
Millipore Corp. (b) 1 65
2,989
Building Materials - 0.2%
American Standard Cos. Inc. (b) 5 216
Eagle Materials Inc. - 3
Masco Corp. (l) 11 352
Vulcan Materials Co. 3 126
697
Chemicals - 1.5%
Air Products & Chemicals Inc. 6 305
Ashland Inc. 2 92
Dow Chemical Co. 24 968
E.I. du Pont de Nemours & Co. 25 1,128
Eastman Chemical Co. 2 89
Ecolab Inc. 7 208
Engelhard Corp. 3 106
Great Lakes Chemical Corp. 1 38
Hercules Inc. (b) 3 34
International Flavors & Fragrances Inc. 2 86
PPG Industries Inc. 4 267
Praxair Inc. 8 323
Rohm & Haas Co. 6 238
Sherwin-Williams Co. 4 149
Sigma-Aldrich Corp. (l) 2 100
4,131
Commercial Services - 0.9%
Apollo Group Inc. (b) (l) 4 397
Cendant Corp. 26 635
Convergys Corp. (b) 3 52
Deluxe Corp. 1 52
Equifax Inc. 3 85
H&R Block Inc. 4 211
McKesson Corp. 7 250
Moody's Corp. 4 245
Paychex Inc. 9 320
R.R. Donnelley & Sons Co. 6 184
Robert Half International Inc. 4 128
2,559
Computers - 3.9%
Affiliated Computer Services Inc. - Class A (b) 4 185
Apple Computer Inc. (b) 10 315
Computer Sciences Corp. (b) 5 218
Dell Inc. (b) 64 2,289
Electronic Data Systems Corp. 12 230
EMC Corp. (b) 62 707
Gateway Inc. (b) 9 39
Hewlett-Packard Co. 77 1,630
International Business Machines Corp. 43 3,761
Lexmark International Inc. (b) 3 321
NCR Corp. (b) 2 116
Network Appliance Inc. (b) 9 186
Sun Microsystems Inc. (b) 85 368
SunGard Data Systems Inc. (b) 7 187
Unisys Corp. (b) 8 115
10,667
Cosmetics & Personal Care - 2.4%
Alberto-Culver Co. - Class B 2 114
Avon Products Inc. 12 552
Colgate-Palmolive Co. 14 791
Gillette Co. 25 1,078
Kimberly-Clark Corp. 13 839
Procter & Gamble Co. 65 3,539
6,913
Distribution & Wholesale - 0.1%
Genuine Parts Co. 4 178
W.W. Grainger Inc. 2 130
308
Diversified Financial Services - 7.4%
American Express Co. 32 1,665
Bear Stearns Cos. Inc. 3 226
Capital One Financial Corp. (l) 6 416
Charles Schwab Corp. 35 334
Citigroup Inc. 131 6,081
Countrywide Financial Corp. 7 502
E*TRADE Group Inc. (b) 9 101
Fannie Mae 25 1,749
Federated Investors Inc. 3 81
Franklin Resources Inc. 6 313
Freddie Mac 17 1,102
Goldman Sachs Group Inc. 12 1,156
Janus Capital Group Inc. 6 97
JPMorgan Chase & Co. 53 2,046
Lehman Brothers Holdings Inc. 7 528
MBNA Corp. 32 837
Merrill Lynch & Co. Inc. 24 1,313
Morgan Stanley 28 1,468
Providian Financial Corp. (b) 8 111
SLM Corp. 11 456
T. Rowe Price Group Inc. 3 164
20,746
Electric - 2.4%
AES Corp. (b) 16 163
Allegheny Energy Inc. (b) (l) 3 48
Ameren Corp. 5 199
American Electric Power Co. Inc. 10 315
Calpine Corp. (b) (l) 10 44
Centerpoint Energy Inc. (l) 8 88
Cinergy Corp. (l) 5 176
CMS Energy Corp. (b) 4 39
Consolidated Edison Inc. (l) 6 238
Constellation Energy Group Inc. 4 157
Dominion Resources Inc. 8 523
DTE Energy Co. (l) 4 180
Duke Energy Corp. (l) 23 472
Edison International 8 215
Entergy Corp. 6 322
Exelon Corp. 17 561
FirstEnergy Corp. 8 313
FPL Group Inc. 5 296
NiSource Inc. (l) 7 135
PG&E Corp. (b) 11 299
Pinnacle West Capital Corp. 2 91
PPL Corp. 5 208
Progress Energy Inc. (l) 6 270
Public Service Enterprise Group Inc. (l) 6 235
Southern Co. 19 547
TECO Energy Inc. 4 53
TXU Corp. 8 327
Xcel Energy Inc. 10 171
6,685
Electrical Components & Equipment - 0.3%
American Power Conversion Corp. 5 98
Emerson Electric Co. 11 681
Molex Inc. 5 156
Power-One Inc. (b) 2 19
954
Electronics - 0.6%
Agilent Technologies Inc. (b) 12 361
Applera Corp. - Applied Biosystems Group 5 106
Jabil Circuit Inc. (b) 5 126
Parker Hannifin Corp. 3 175
PerkinElmer Inc. 3 68
Sanmina-SCI Corp. (b) 13 116
Solectron Corp. (b) 24 156
Symbol Technologies Inc. 6 84
Tektronix Inc. 2 69
Thermo Electron Corp. (b) 4 128
Thomas & Betts Corp. 2 42
Waters Corp. (b) 3 144
1,575
Engineering & Construction - 0.0%
Fluor Corp. (l) 2 99
Entertainment - 0.1%
International Game Technology 9 343
Environmental Control - 0.2%
Allied Waste Industries Inc. (b) 8 109
Waste Management Inc. 15 453
562
Food - 1.8%
Albertson's Inc. 9 243
Archer-Daniels-Midland Co. 17 279
Campbell Soup Co. (l) 10 275
ConAgra Foods Inc. 13 360
General Mills Inc. 10 458
H.J. Heinz Co. 9 344
Hershey Foods Corp. 7 302
Kellogg Co. 10 431
Kroger Co. (b) 19 339
McCormick & Co. Inc. 4 123
Safeway Inc. (b) 11 289
Sara Lee Corp. 20 463
Supervalu Inc. 4 108
Sysco Corp. 16 575
Winn-Dixie Stores Inc. (l) 3 21
Wm. Wrigley Jr. Co. 6 364
4,974
Forest Products & Paper - 0.6%
Boise Cascade Corp. 2 82
Georgia-Pacific Corp. 6 233
International Paper Co. 12 550
Louisiana-Pacific Corp. 3 69
MeadWestvaco Corp. 5 145
Plum Creek Timber Co. Inc. 5 147
Temple-Inland Inc. 1 94
Weyerhaeuser Co. 6 390
1,710
Gas - 0.2%
KeySpan Corp. (l) 4 153
Nicor Inc. (l) 1 42
Peoples Energy Corp. 1 40
Sempra Energy 6 204
439
Hand & Machine Tools - 0.1%
Black & Decker Corp. 2 125
Snap-On Inc. 1 48
Stanley Works 2 94
267
Healthcare - 4.6%
Aetna Inc. 4 328
Anthem Inc. (b) 4 314
Bausch & Lomb Inc. 1 82
Baxter International Inc. 16 537
Becton Dickinson & Co. 6 326
Biomet Inc. (b) 6 281
Boston Scientific Corp. (b) 21 905
C.R. Bard Inc. 3 146
Guidant Corp. 8 443
HCA Inc. 12 515
Health Management Associates Inc. 6 136
Humana Inc. (b) 4 70
Johnson & Johnson 75 4,183
Manor Care Inc. 2 69
Medtronic Inc. 31 1,494
Quest Diagnostics Inc. 3 219
St. Jude Medical Inc. (b) 5 342
Stryker Corp. 10 557
Tenet Healthcare Corp. (b) 12 156
UnitedHealth Group Inc. 16 966
WellPoint Health Networks Inc. (b) 4 443
Zimmer Holdings Inc. (b) 6 545
13,057
Home Builders - 0.1%
Centex Corp. 3 140
KB Home 1 81
Pulte Homes Inc. 3 169
390
Home Furnishings - 0.1%
Leggett & Platt Inc. 5 132
Maytag Corp. 2 45
Whirlpool Corp. 2 121
298
Household Products - 0.3%
Avery Dennison Corp. 3 175
Clorox Co. 5 292
Fortune Brands Inc. 4 275
Newell Rubbermaid Inc. (l) 7 161
903
Insurance - 4.6%
ACE Ltd. 7 307
AFLAC Inc. 13 522
Allstate Corp. 18 831
AMBAC Financial Group Inc. 3 202
American International Group Inc. 66 4,702
AON Corp. 8 230
Chubb Corp. 5 327
Cigna Corp. 4 246
Cincinnati Financial Corp. 4 182
Hartford Financial Services Group Inc. 7 510
Jefferson-Pilot Corp. 3 176
Lincoln National Corp. 4 209
Loews Corp. 5 279
Marsh & McLennan Cos. Inc. 13 599
MBIA Inc. 4 206
MetLife Inc. 19 687
MGIC Investment Corp. 2 185
Principal Financial Group 8 277
Progressive Corp. 6 470
Prudential Financial Inc. 13 627
Safeco Corp. 4 154
St. Paul Cos. Inc. 17 687
Torchmark Corp. 3 153
UnumProvident Corp. 7 119
XL Capital Ltd. 3 263
13,150
Internet - 1.1%
eBay Inc. (b) 17 1,535
Monster Worldwide Inc. (b) 3 73
Symantec Corp. (b) 8 341
Yahoo! Inc. (b) 34 1,240
3,189
Iron & Steel - 0.1%
Allegheny Technologies Inc. 2 41
Nucor Corp. 2 155
United States Steel Corp. (l) 3 101
297
Leisure Time - 0.5%
Brunswick Corp. 2 96
Carnival Corp. (l) 16 753
Harley-Davidson Inc. (l) 8 470
Sabre Holdings Corp. 4 100
1,419
Lodging - 0.3%
Harrah's Entertainment Inc. 3 152
Hilton Hotels Corp. 10 184
Marriott International Inc. - Class A 6 284
Starwood Hotels & Resorts Worldwide Inc. 5 236
856
Machinery - 0.5%
Caterpillar Inc. 9 684
Cummins Inc. 1 65
Deere & Co. 6 445
Rockwell Automation Inc. 5 175
1,369
Manufacturing - 5.5%
3M Co. 20 1,784
Cooper Industries Ltd. - Class A 2 142
Crane Co. 1 44
Danaher Corp. (l) 8 408
Dover Corp. 5 213
Eastman Kodak Co. 7 194
Eaton Corp. 4 243
General Electric Co. 267 8,647
Honeywell International Inc. 22 799
Illinois Tool Works Inc. 8 756
Ingersoll-Rand Co. - Class A 4 297
ITT Industries Inc. 2 197
Pall Corp. 3 83
Textron Inc. 4 212
Tyco International Ltd. 51 1,684
15,703
Media - 3.2%
Clear Channel Communications Inc. 16 578
Comcast Corp. - Class A (b) 57 1,593
Dow Jones & Co. Inc. 2 94
Gannett Co. Inc. 7 586
Knight-Ridder Inc. 2 138
McGraw-Hill Cos. Inc. 5 365
Meredith Corp. 1 69
New York Times Co. 4 165
Time Warner Inc. (b) 115 2,029
Tribune Co. 8 376
Univision Communications Inc. (b) (l) 8 257
Viacom Inc. - Class B 44 1,568
Walt Disney Co. 52 1,324
9,142
Metal Fabrication & Hardware - 0.0%
Worthington Industries 2 46
Mining - 0.5%
Alcoa Inc. 22 729
Freeport-McMoRan Copper & Gold Inc. 5 153
Newmont Mining Corp. 11 435
Phelps Dodge Corp. (b) 2 190
1,507
Office & Business Equipment - 0.2%
Pitney Bowes Inc. 6 258
Xerox Corp. (b) (l) 20 297
555
Oil & Gas Producers - 5.4%
Amerada Hess Corp. 2 176
Anadarko Petroleum Corp. 6 378
Apache Corp. 8 360
Burlington Resources Inc. 10 358
ChevronTexaco Corp. 27 2,548
ConocoPhillips 17 1,322
Devon Energy Corp. 6 404
EOG Resources Inc. 3 172
Exxon Mobil Corp. 165 7,345
Kerr-McGee Corp. 4 199
Marathon Oil Corp. 9 334
Nabors Industries Ltd. (b) 4 174
Noble Corp. (b) 3 126
Occidental Petroleum Corp. 10 483
Rowan Cos. Inc. (b) 3 68
Sunoco Inc. 2 121
Transocean Inc. (b) 8 231
Unocal Corp. 7 258
Valero Energy Corp. 3 236
15,293
Oil & Gas Services - 0.6%
Baker Hughes Inc. 8 315
BJ Services Co. (b) 4 182
Halliburton Co. 11 340
Schlumberger Ltd. 15 947
1,784
Packaging & Containers - 0.1%
Ball Corp. 1 103
Bemis Co. 3 79
Pactiv Corp. (b) 4 96
Sealed Air Corp. (b) 2 114
392
Pharmaceuticals - 6.8%
Abbott Laboratories 40 1,611
Allergan Inc. (l) 3 301
AmerisourceBergen Corp. 3 169
Bristol-Myers Squibb Co. 49 1,206
Cardinal Health Inc. 11 760
Caremark Rx Inc. (b) 12 385
Eli Lilly & Co. 29 2,004
Express Scripts Inc. - Class A (b) 2 152
Forest Laboratories Inc. (b) 9 534
Gilead Sciences Inc. (b) 4 296
Hospira Inc. (b) 4 107
King Pharmaceuticals Inc. (b) 6 69
Medco Health Solutions Inc. (b) 7 259
Merck & Co. Inc. 56 2,670
Mylan Laboratories Inc. 7 136
Pfizer Inc. 193 6,616
Schering-Plough Corp. 37 692
Watson Pharmaceuticals Inc. (b) 3 71
Wyeth 34 1,223
19,261
Pipelines - 0.2%
Dynegy Inc. - Class A (b) 10 41
El Paso Corp. (l) 16 125
Kinder Morgan Inc. 3 192
Williams Cos. Inc. 13 154
512
Real Estate - 0.3%
Apartment Investment & Management Co. 3 78
Equity Office Properties Trust 10 281
Equity Residential 7 208
ProLogis 4 147
Simon Property Group Inc. 5 276
990
Retail - 6.4%
Autonation Inc. (b) 7 118
Autozone Inc. (b) 2 176
Bed Bath & Beyond Inc. (b) 7 287
Best Buy Co. Inc. 8 419
Big Lots Inc. (b) 3 43
Circuit City Stores Inc. - Circuit City Group 5 62
Costco Wholesale Corp. 12 480
CVS Corp. 10 427
Darden Restaurants Inc. 4 82
Dillard's Inc. - Class A 2 49
Dollar General Corp. 8 162
Family Dollar Stores Inc. 4 132
Federated Department Stores Inc. 4 221
Gap Inc. (l) 23 556
Home Depot Inc. 57 1,990
J.C. Penney Co. Inc. 7 274
Kohl's Corp. (b) 9 366
Limited Brands Inc. 12 218
Lowe's Cos. Inc. 20 1,047
May Department Stores Co. 7 199
McDonald's Corp. 32 829
Nordstrom Inc. 4 151
Office Depot Inc. (b) (l) 8 139
RadioShack Corp. 4 117
Sears Roebuck & Co. 5 204
Staples Inc. 12 366
Starbucks Corp. (b) 10 439
Target Corp. 23 981
Tiffany & Co. 4 135
TJX Cos. Inc. 13 302
Toys "R" Us Inc. (b) 5 86
Walgreen Co. 26 941
Wal-Mart Stores Inc. 108 5,720
Wendy's International Inc. 3 100
Yum! Brands Inc. (b) 7 273
18,091
Savings & Loans - 0.5%
Golden West Financial Corp. 4 410
Sovereign Bancorp. Inc. 6 141
Washington Mutual Inc. 22 865
1,416
Semiconductors - 3.5%
Advanced Micro Devices Inc. (b) 9 139
Altera Corp. (b) 10 212
Analog Devices Inc. 10 450
Applied Materials Inc. (b) 43 840
Applied Micro Circuits Corp. (b) 8 40
Broadcom Corp. (b) 8 374
Intel Corp. 164 4,517
KLA-Tencor Corp. (b) 5 243
Linear Technology Corp. 8 306
LSI Logic Corp. (b) 10 73
Maxim Integrated Products Inc. 8 427
Micron Technology Inc. (b) 16 240
National Semiconductor Corp. (b) 9 195
Novellus Systems Inc. (b) 4 120
Nvidia Corp. (b) 4 83
PMC - Sierra Inc. (b) 4 62
QLogic Corp. (b) 2 59
Teradyne Inc. (b) 5 115
Texas Instruments Inc. 44 1,060
Xilinx Inc. 9 297
9,852
Software - 4.9%
Adobe Systems Inc. 6 276
Autodesk Inc. 3 121
Automatic Data Processing Inc. 15 628
BMC Software Inc. (b) 6 104
Citrix Systems Inc. (b) 4 83
Computer Associates International Inc. 15 418
Compuware Corp. (b) 10 64
Electronic Arts Inc. (b) 8 420
First Data Corp. 22 983
Fiserv Inc. (b) 5 187
IMS Health Inc. 6 139
Intuit Inc. (b) (l) 5 185
Mercury Interactive Corp. (b) (l) 2 112
Microsoft Corp. (l) 273 7,798
Novell Inc. (b) 10 85
Oracle Corp. (b) 132 1,570
Parametric Technology Corp. (b) 7 34
PeopleSoft Inc. (b) 9 168
Siebel Systems Inc. (b) 13 139
Veritas Software Corp. (b) 11 306
13,820
Telecommunications - 2.6%
Alltel Corp. 8 393
AT&T Corp. 20 290
BellSouth Corp. 46 1,219
CenturyTel Inc. 3 102
Citizens Communications Co. (b) 7 90
Qwest Communications International Inc. (b) 46 165
SBC Communications Inc. 84 2,034
Sprint Corp. - FON Group (l) 36 637
Verizon Communications Inc. 70 2,538
7,468
Telecommunications Equipment - 2.0%
ADC Telecommunications Inc. (b) 19 55
Andrew Corp. (b) (l) 4 80
Avaya Inc. (b) 11 181
CIENA Corp. (b) 14 52
Cisco Systems Inc. (b) 171 4,047
Comverse Technology Inc. (b) 5 102
Corning Inc. (b) (l) 35 456
JDS Uniphase Corp. (b) 35 134
Lucent Technologies Inc. (b) 109 413
Scientific-Atlanta Inc. 4 133
Tellabs Inc. (b) 10 86
5,739
Textiles - 0.1%
Cintas Corp. 4 204
Tobacco - 1.0%
Altria Group Inc. 52 2,598
RJ Reynolds Tobacco Holdings Inc. 2 144
UST Inc. 4 155
2,897
Toys & Hobbies - 0.1%
Hasbro Inc. 5 89
Mattel Inc. 11 195
284
Transportation - 1.4%
Burlington Northern Santa Fe Corp. 9 331
CSX Corp. 5 173
FedEx Corp. 8 621
Norfolk Southern Corp. 10 259
Ryder System Inc. 2 65
Union Pacific Corp. 7 394
United Parcel Service Inc. 29 2,148
3,991
Wireless Telecommunications - 1.5%
AT&T Wireless Services Inc. (b) 69 991
Motorola Inc. (l) 59 1,085
Nextel Communications Inc. (b) 28 752
Qualcomm Inc. 20 1,496
4,324
Total Common Stocks (cost $244,378) 269,256
Short Term Investments - 4.9%
Money Market Funds - 4.3%
Dreyfus Cash Management Plus, 1.14% (a) (n) 12,303 12,303
U.S. Treasury Bills - 0.5%
U.S. Treasury Bill, 1.23%, 09/30/04 (m) $1,500 1,495
Total Short Term Investments (cost $13,799) 13,798
Total Investments - 100.0% (cost $258,177) 283,054
Other Assets and Liabilities, Net - 0.0% 131
Total Net Assets - 100% $283,185
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Common Stocks - 95.2%
Advertising - 0.4%
Advo Inc. 3 $109
APAC Customer Services Inc. (b) 2 3
Catalina Marketing Corp. (b) 6 111
Grey Global Group Inc. - 82
Marchex Inc. - Class B (b) 1 7
R.H. Donnelley Corp. (b) 3 112
Sitel Corp. (b) 6 26
ValueVision Media Inc. - Class A (b) 2 25
Ventiv Health Inc. (b) 2 36
511
Aerospace & Defense - 1.1%
AAR Corp. (b) 4 44
Armor Holdings Inc. (b) 3 106
BE Aerospace Inc. (b) 4 30
Curtiss-Wright Corp. 2 135
DRS Technologies Inc. (b) 3 83
Ducommun Inc. (b) 1 16
EDO Corp. 2 43
Engineered Support Systems Inc. 3 146
Esterline Technologies Corp. (b) 3 75
Fairchild Corp. - Class A (b) 2 7
GenCorp Inc. 5 61
Heico Corp. (l) 2 39
Heico Corp. - Class A - 2
Herley Industries Inc. (b) 1 25
Innovative Solutions & Support Inc. (b) 1 14
Kaman Corp. - Class A 3 38
Moog Inc. - Class A (b) 3 106
MTC Technologies Inc. (b) 1 21
Orbital Sciences Corp. (b) (l) 5 73
Sequa Corp. - Class A (b) 1 41
Teledyne Technologies Inc. (b) 4 70
Titan Corp. (b) 8 99
Triumph Group Inc. (b) 2 56
United Industrial Corp. 1 27
1,357
Agriculture - 0.1%
Alico Inc. - 18
Delta & Pine Land Co. 4 91
Maui Land & Pineapple Co. Inc. (b) - 14
Tejon Ranch Co. (b) (l) 1 27
150
Airlines - 0.7%
Airtran Holdings Inc. (b) 10 136
Alaska Air Group Inc. (b) (l) 3 68
America West Holdings Corp. - Class B (b) (l) 4 36
Atlantic Coast Airlines Holdings Inc. (b) 5 30
Continental Airlines Inc. (b) (l) 7 82
Delta Air Lines Inc. (b) (l) 12 88
ExpressJet Holdings Inc. (b) 4 53
Frontier Airlines Inc. (b) 4 47
Mair Holdings Inc. (b) 1 8
Mesa Air Group Inc. (b) 4 30
Midwest Express Holdings Inc. (b) (l) 1 5
Northwest Airlines Corp. (b) (l) 9 95
Pinnacle Airlines Corp. (b) - 5
Republic Airways Holdings Inc. (b) 1 7
SkyWest Inc. 6 109
799
Alternative Energy - 0.2%
Danielson Holdings Corp. (b) 2 17
FuelCell Energy Inc. (b) 5 56
Headwaters Inc. (b) 4 97
KFX Inc. (b) (l) 5 35
Plug Power Inc. (b) (l) 5 39
Syntroleum Corp. (b) 3 20
264
Apparel - 1.0%
Carter's Inc. (b) 1 20
Cherokee Inc. 1 18
Deckers Outdoor Corp. (b) 1 35
DHB Industries Inc. (b) 2 38
Guess Inc. (b) 2 25
Gymboree Corp. (b) 4 55
Hampshire Group Ltd. (b) - 6
Hartmarx Corp. (b) 2 15
Kellwood Co. 3 137
K-Swiss Inc. - Class A 3 60
Maxwell Shoe Co. Inc. - Class A (b) 2 36
Oshkosh B'Gosh Inc. - Class A 1 23
Oxford Industries Inc. 2 66
Perry Ellis International Inc. (b) 1 13
Phillips-Van Heusen 3 51
Quiksilver Inc. (b) 6 144
Russell Corp. 3 58
Skechers U.S.A. Inc. - Class A (b) 2 27
Steven Madden Ltd. (b) 1 28
Stride Rite Corp. 5 50
Unifi Inc. (b) 4 12
Vans Inc. (b) 2 42
Warnaco Group Inc. (b) 5 113
Weyco Group Inc. - 9
Wolverine World Wide Inc. 5 119
1,200
Auto Manufacturers - 0.1%
ASV Inc. (b) 1 28
Wabash National Corp. (b) 3 82
110
Auto Parts & Equipment - 1.0%
Aftermarket Technology Corp. (b) 1 21
ArvinMeritor Inc. 8 156
Bandag Inc. 1 53
Collins & Aikman Corp. (b) 4 21
Cooper Tire & Rubber Co. 8 187
Dura Automotive Systems Inc. (b) 2 16
Exide Technologies (b) 3 51
Goodyear Tire & Rubber Co. (b) (l) 17 156
Hayes Lemmerz International Inc. (b) 4 60
Keystone Automotive Industries Inc. (b) 2 46
Modine Manufacturing Co. 3 94
Noble International Ltd. 1 17
Raytech Corp. (b) 2 4
Spartan Motors Inc. - 5
Sports Resorts International Inc. (b) (l) 1 3
Standard Motor Products Inc. 1 20
Strattec Security Corp. (b) - 32
Superior Industries International Inc. (l) 2 83
Tenneco Automotive Inc. (b) 5 60
Tower Automotive Inc. (b) (l) 7 26
Visteon Corp. 15 170
1,281
Banks - 7.5%
1st Source Corp. 2 40
ABC Bancorp. 1 23
Alabama National Bancorp. 2 87
Amcore Financial Inc. 3 93
American National Bankshares Inc. (l) - 9
AmericanWest Bancorp. (b) 1 21
Arrow Financial Corp. 1 33
Bancfirst Corp. - 29
Bancorpsouth Inc. 9 195
BancTrust Financial Group Inc. 1 18
Bank of Granite Corp. 2 32
Bank of the Ozarks Inc. 1 25
Banner Corp. 1 34
Boston Private Financial Holdings Inc. 3 73
Bryn Mawr Bank Corp. (l) 1 19
BSB Bancorp. Inc. 1 32
C&F Financial Corp. (l) - 16
Camden National Corp. 1 28
Capital City Bank Group Inc. 1 41
Capital Corp. of the West 1 26
Capital Crossing Bank (b) - 6
Capitol Bancorp. Ltd. 1 31
Cascade Bancorp. 2 35
Cathay Bancorp. Inc. 2 165
Cavalry Bancorp. Inc. (l) - 5
CB Bancshares Inc. 1 59
Center Bancorp. Inc. (l) 1 11
Center Financial Corp. 1 15
Central Coast Bancorp. (b) 1 20
Central Pacific Financial Corp. 2 50
Century Bancorp. Inc. - Class A - 13
Chemical Financial Corp. 3 108
Chittenden Corp. 4 142
Citizens Banking Corp. 5 167
City Bank Lynnwood 1 29
City Holding Co. 2 64
CNB Financial Corp. (l) 1 14
Coastal Financial Corp. 1 20
CoBiz Inc. 2 23
Columbia Bancorp. 1 19
Columbia Bancorp. (l) 1 12
Columbia Banking Systems Inc. 2 38
Commercial Bankshares Inc. 1 13
Community Bank 1 7
Community Bank System Inc. 3 68
Community Banks Inc. 1 33
Community First Bankshares Inc. 4 140
Community Trust Bancorp. Inc. 2 52
Corus Bankshares Inc. 2 69
CVB Financial Corp. 4 95
Eastern Virginia Bancshares Inc. 1 12
East-West Bancorp. Inc. 6 172
Exchange National Bancshares Inc. (l) 1 15
Farmers Capital Bank Corp. (b) 1 25
Financial Institutions Inc. 1 26
First Bancorp. 4 158
First Bancorp. 1 31
First Busey Corp. - Class A 1 33
First Charter Corp. 4 79
First Citizens Banc Corp. (l) - 8
First Citizens BancShares Inc. - Class A 1 91
First Commonwealth Financial Corp. 8 103
First Community Bancorp. 2 59
First Community Bancshares Inc. 1 36
First Financial Bancorp. 4 69
First Financial Bankshares Inc. 2 71
First Financial Corp. 2 53
First Financial Service Corp. (l) - 5
First Indiana Corp. 1 27
First M&F Corp. - 12
First Merchants Corp. 2 59
First Midwest Bancorp. Inc. - 14
First National Bankshares of Florida Inc. - 8
First Oak Brook Bancshares Inc. 1 24
First of Long Island Corp. - 17
First Republic Bank 1 64
First South Bancorp. Inc. (l) 1 12
First State Bancorp. 1 24
First United Corp. 1 17
Firstbank Corp. (l) 1 18
FNB Corp. 5 108
FNB Corp. 1 25
FNB Corp. Inc. 1 10
Foothill Independent Bancorp. 1 10
Frontier Financial Corp. 2 65
GB&T Bancshares Inc. 1 19
German American Bancorp. (l) 1 18
Glacier Bancorp. Inc. 3 76
Gold Bancorp. Inc. 4 66
Great Southern Bancorp. Inc. 1 41
Greater Bay Bancorp. 6 167
Greater Community Bancorp. 1 9
Greene County Bancshares Inc. (l) 1 16
Hancock Holding Co. 3 95
Hanmi Financial Corp. 1 29
Harleysville National Corp. 3 73
Heartland Financial USA Inc. 1 22
Heritage Commerce Corp. (b) 1 18
Humboldt Bancorp. 2 37
IBERIABANK Corp. 1 49
IBT Bancorp. Inc. (l) - 13
Independent Bank Corp. 2 49
Independent Bank Corp. - MI 2 50
Integra Bank Corp. 2 42
Interchange Financial Services Corp. 1 36
International Bancshares Corp. - 3
Irwin Financial Corp. 2 50
Lakeland Bancorp. Inc. 1 23
Lakeland Financial Corp. 1 20
LNB Bancorp. Inc. (l) 1 13
LSB Bancshares Inc. (l) 1 13
Macatawa Bank Corp. 1 27
Main Street Banks Inc. 2 43
MainSource Financial Group Inc. 1 22
MB Financial Corp. 2 73
MBT Financial Corp. 2 33
Mercantile Bank Corp. 1 26
Merchants Bancshares Inc. 1 13
Mid-State Bancshares 3 66
Midwest Banc Holdings Inc. 1 26
Nara Bancorp. Inc. 2 35
National Bankshares Inc. (l) - 18
National Penn Bancshares Inc. 3 83
NBC Capital Corp. 1 21
NBT Bancorp. Inc. 4 88
Northern States Financial Corp. (l) - 11
Oak Hill Financial Inc. - 9
Old National Bancorp. 8 186
Old Point Financial Corp. - 6
Old Second Bancorp. Inc. 1 41
Omega Financial Corp. 1 35
Oriental Financial Group Inc. 2 53
PAB Bankshares Inc. (l) 1 10
Pacific Capital Bancorp. 6 155
Park National Corp. 2 192
Peapack Gladstone Financial Corp. 1 29
Pennrock Financial Services Corp. 1 29
Penns Woods Bancorp. Inc. (l) - 16
Peoples Bancorp. Inc. 1 33
Peoples Holding Co. 1 33
PrivateBancorp Inc. 2 52
Prosperity Bancshares Inc. 2 39
Provident Bankshares Corp. 4 107
R&G Financial Corp. - Class B 3 106
Republic Bancorp. Inc. 7 102
Republic Bancorp. Inc. - Class A 1 18
Riggs National Corp. 2 37
Royal Bancshares of Pennsylvania - Class A 1 14
S&T Bancorp. Inc. 3 104
S.Y. Bancorp. Inc. 1 28
Sandy Spring Bancorp. Inc. 2 61
Santander BanCorp. 1 15
SCBT Financial Corp. 1 28
Seacoast Banking Corp. 1 30
Second Bancorp. Inc. 1 28
Security Bank Corp. 1 21
Shore Bancshares Inc. (l) 1 19
Sierra Bancorp. (l) - 8
Silicon Valley Bancshares (b) 4 150
Simmons First National Corp. - Class A 2 42
Southside Bancshares Inc. 1 24
Southwest Bancorp. Inc. 1 21
Southwest Bancorp. of Texas Inc. 4 159
State Bancorp. Inc. 1 22
State Financial Services Corp. 1 18
Sterling Bancorp. - NYS 2 44
Sterling Bancshares Inc. 5 68
Sterling Financial Corp. 3 67
Suffolk Bancorp. 1 42
Summit Bancshares Inc. 1 19
Sun Bancorp. Inc. 1 16
Sun Bancorp. Inc. (b) 1 18
Susquehanna Bancshares Inc. 5 137
Taylor Capital Group Inc. 1 11
Texas Capital Bancshares Inc. (b) - 5
Texas Regional Bancshares Inc. - Class A 3 146
Tompkins Trustco Inc. 1 38
Trico Bancshares 1 25
TrustCo Bancorp. 9 123
Trustmark Corp. - 12
UMB Financial Corp. 2 103
Umpqua Holdings Corp. 3 64
Union Bankshares Corp. 1 26
United Bankshares Inc. - 13
United Community Banks Inc. 3 85
United Security Bancshares (l) 1 10
United Security Bancshares Inc. (l) 1 18
Univest Corp. of Pennsylvania (l) - 10
Unizan Financial Corp. 3 68
USB Holding Co. Inc. 1 32
Virginia Commerce Bancorp. (b) (l) 1 17
Virginia Financial Group Inc. 1 26
Washington Trust Bancorp. Inc. 2 43
Wayne Bancorp. Inc. (l) 1 19
WesBanco Inc. 2 64
West Bancorp. 2 33
West Coast Bancorp. 2 37
Westamerica Bancorp. - 16
Western Sierra Bancorp. (b) 1 24
Wilshire State Bank (b) 1 17
Wintrust Financial Corp. 2 118
Yadkin Valley Bank and Trust Co. (l) 1 9
Yardville National Bancorp. 1 26
9,318
Beverages - 0.1%
Boston Beer Co. Inc. - Class A (b) 1 16
Coca-Cola Bottling Co. Consolidated 1 34
Farmer Bros. Co. 1 20
Green Mountain Coffee Roasters Inc. (b) - 7
Hansen Natural Corp. (b) (l) 1 15
National Beverage Corp. (b) 1 8
Peet's Coffee & Tea Inc. (b) 1 36
Robert Mondavi Corp. - Class A (b) 1 42
178
Biotechnology - 2.0%
Aclara BioSciences Inc. (b) 2 10
Aksys Ltd. (b) (l) 1 6
Alexion Pharmaceuticals Inc. (b) 2 44
Aphton Corp. (b) (l) 4 15
Applera Corp. - Celera Genomics Group (b) 8 91
Arena Pharmaceuticals Inc. (b) (l) 2 9
Ariad Pharmaceuticals Inc. (b) 6 42
Avant Immunotherapeutics Inc. (b) 9 24
Axonyx Inc. (b) 5 28
Barrier Therapeutics Inc. (b) 1 10
BioCryst Pharmaceuticals Inc. (b) 2 12
Bio-Rad Laboratories Inc. - Class A (b) 2 117
Cambrex Corp. 3 70
Cell Genesys Inc. (b) 5 49
Ciphergen Biosystems Inc. (b) 3 21
Corgentech Inc. (b) 1 10
CryoLife Inc. (b) (l) 2 12
CuraGen Corp. (b) 5 29
Curis Inc. (b) (l) 4 19
Cytogen Corp. (b) 2 27
Cytokinetics Inc. (b) 1 12
Decode Genetics Inc. (b) 6 47
Digene Corp. (b) 2 59
Diversa Corp. (b) 2 25
Embrex Inc. (b) - 4
Encysive Pharmaceuticals Inc. (b) 6 53
Enzo Biochem Inc. (b) 3 42
Enzon Pharmaceuticals Inc. (b) 5 61
Exact Sciences Corp. (b) 2 13
Exelixis Inc. (b) 7 69
Genaera Corp. (b) (l) 6 24
Gene Logic Inc. (b) 4 15
Genelabs Technologies (b) 9 22
Genencor International Inc. (b) 1 19
Geron Corp. (b) (l) 5 39
GTC Biotherapeutics Inc. (b) (l) 3 4
GTx Inc. (b) 1 6
Harvard Bioscience Inc. (b) 1 3
Human Genome Sciences Inc. (b) 15 172
Illumina Inc. (b) 3 20
Immunogen Inc. (b) 4 24
Immunomedics Inc. (b) (l) 5 25
Incyte Corp. (b) 7 51
Integra LifeSciences Holdings Corp. (b) 2 82
InterMune Inc. (b) 3 47
Keryx Biopharmaceuticals Inc. (b) (l) 2 29
Kosan Biosciences Inc. (b) 2 17
Lexicon Genetics Inc. (b) 7 54
Lifecell Corp. (b) 3 34
Marshall Edwards Inc. (b) 1 6
Maxim Pharmaceuticals Inc. (b) (l) 3 29
Maxygen Inc. (b) 3 31
Myogen Inc. (b) 2 12
Myriad Genetics Inc. (b) 3 49
Nanogen Inc. (b) (l) 4 24
Neose Technologies Inc. (b) 2 16
Northfield Laboratories Inc. (b) (l) 2 26
Oscient Pharmaceuticals Corp. (b) (l) 6 33
Peregrine Pharmaceuticals Inc. (b) (l) 14 20
Praecis Pharmaceuticals Inc. (b) 5 19
Regeneration Technologies Inc. (b) 3 31
Regeneron Pharmaceuticals Inc. (b) 4 45
Repligen Corp. (b) (l) 4 9
Savient Pharmaceuticals Inc. (b) 6 15
Seattle Genetics Inc. (b) 4 29
Serologicals Corp. (b) 3 55
SuperGen Inc. (b) (l) 5 30
Telik Inc. (b) 5 118
Tercica Inc. (b) 1 7
Third Wave Technologies Inc. (b) 3 15
Transkaryotic Therapies Inc. (b) 4 55
Vertex Pharmaceuticals Inc. (b) 9 93
Vical Inc. (b) 1 5
2,489
Building Materials - 1.0%
Aaon Inc. (b) 1 20
Apogee Enterprises Inc. 3 29
Comfort Systems USA Inc. (b) 4 26
Drew Industries Inc. (b) 1 31
Eagle Materials Inc. 2 156
ElkCorp. 2 51
Genlyte Group Inc. (b) 1 85
Lennox International Inc. 5 88
LSI Industries Inc. 2 23
Mestek Inc. (b) - 7
NCI Building Systems Inc. (b) 2 73
Simpson Manufacturing Co. Inc. 2 115
Texas Industries Inc. 2 93
Trex Co. Inc. (b) 1 43
Universal Forest Products Inc. 2 61
US Concrete Inc. (b) 1 7
USG Corp. (b) (l) 4 62
York International Corp. 5 204
1,174
Chemicals - 2.5%
A. Schulman Inc. 3 70
Aceto Corp. 2 29
Airgas Inc. 7 163
Albemarle Corp. 4 116
American Vanguard Corp. (l) 1 17
Arch Chemicals Inc. 3 76
Cabot Microelectronics Corp. (b) 3 82
Crompton Corp. 12 78
Cytec Industries Inc. 4 200
Ferro Corp. 5 126
FMC Corp. (b) 4 177
Georgia Gulf Corp. (l) 3 118
Great Lakes Chemical Corp. 6 157
HB Fuller Co. 3 93
Hercules Inc. (b) 12 152
IMC Global Inc. (l) 13 174
Kronos Worldwide Inc. - 13
MacDermid Inc. 3 105
Millennium Chemicals Inc. (b) 7 129
Minerals Technologies Inc. 2 139
NewMarket Corp. (b) 2 40
NL Industries 1 11
Octel Corp. 1 32
Olin Corp. 8 136
OM Group Inc. (b) 3 107
Omnova Solutions Inc. (b) 4 25
PolyOne Corp. (b) 10 74
Quaker Chemical Corp. 1 24
Sensient Technologies Corp. 5 110
Solutia Inc. (b) (l) 9 2
Spartech Corp. 3 70
Stepan Co. 1 17
Symyx Technologies Inc. (b) 3 77
Terra Industries Inc. (b) 4 23
Valhi Inc. 1 13
W.R. Grace & Co. (b) 8 48
Wellman Inc. 4 29
3,052
Commercial Services - 4.3%
Aaron Rents Inc. 3 96
ABM Industries Inc. 4 80
ACE Cash Express Inc. (b) 1 26
Administaff Inc. (b) 2 40
Advisory Board Co. (b) 2 68
Albany Molecular Research Inc. (b) 3 42
Alderwoods Group Inc. (b) 5 55
AMN Healthcare Services Inc. (b) 1 22
Arbitron Inc. (b) 4 130
Bankrate Inc. (b) 1 7
Banta Corp. 3 126
Bowne & Co. Inc. 4 65
Bright Horizons Family Solutions Inc. (b) 1 79
CDI Corp. 1 46
Central Parking Corp. 2 39
Century Business Services Inc. (b) 8 35
Cenveo Inc. (b) 3 8
Charles River Associates Inc. (b) 1 37
Chemed Corp. 1 72
Clark Inc. (b) 2 34
Coinstar Inc. (b) (l) 2 51
Consolidated Graphics Inc. (b) 1 53
Cornell Cos. Inc. (b) 1 20
Corrections Corp. of America (b) 4 151
Corvel Corp. (b) 1 21
CoStar Group Inc. (b) 2 82
CPI Corp. 1 13
Cross Country Healthcare Inc. (b) 3 49
DiamondCluster International Inc. (b) 3 24
Dollar Thrifty Automotive Group (b) 3 77
Electro Rent Corp. (b) 2 22
Euronet Worldwide Inc. (b) 3 61
Exult Inc. (b) (l) 5 29
First Advantage Corp. - Class A (b) - 6
First Consulting Group Inc. (b) 2 12
First Health Group Corp. (b) 11 163
Forrester Research Inc. (b) 2 30
FTI Consulting Inc. (b) (l) 5 80
Gartner Inc. (b) 8 101
Geo Group Inc. (b) 1 23
Gevity HR Inc. 3 71
Greg Manning Auctions Inc. (b) (l) 1 8
Healthcare Services Group 2 24
Heidrick & Struggles International Inc. (b) 2 58
Hooper Holmes Inc. 7 41
Hudson Highland Group Inc. (b) 1 33
ICT Group Inc. (b) 1 5
Insurance Auto Auctions Inc. (b) 1 20
Integrated Electrical Services Inc. (b) 4 29
Interactive Data Corp. (b) 4 73
Intersections Inc. (b) 1 19
iPayment Holdings Inc. (b) 1 44
Kelly Services Inc. - Class A 2 60
kforce Inc. (b) 3 25
Korn/Ferry International (b) 3 67
Kroll Inc. (b) 4 150
Labor Ready Inc. (b) 4 69
Landauer Inc. 1 42
Learning Tree International Inc. (b) 1 14
LECG Corp. (b) 1 24
Magellan Health Services Inc. (b) 3 103
MAXIMUS Inc. (b) 2 77
McGrath Rentcorp. 1 31
Medical Staffing Network Holdings Inc. (b) 1 7
Memberworks Inc. (b) 1 23
Midas Inc. (b) 2 30
Monro Muffler Brake Inc. (b) 1 25
MPS Group Inc. (b) 12 144
National Processing Inc. (b) 1 27
Navigant Consulting Inc. (b) 5 106
NCO Group Inc. (b) 3 82
Newtek Business Services Inc. (b) (l) 1 6
Parexel International Corp. (b) 3 56
PDI Inc. (b) 1 31
Pre-Paid Legal Services Inc. (b) (l) 1 28
PRG-Schultz International Inc. (b) 4 24
Princeton Review Inc. (b) 2 14
Proxymed Inc. (b) 1 9
Quanta Services Inc. (b) 8 49
Rent-Way Inc. (b) 3 28
Resources Connection Inc. (b) 3 100
Rewards Network Inc. (b) 2 16
Rollins Inc. 2 52
SFBC International Inc. (b) 1 42
SM&A Inc. (b) 1 11
Sotheby's Holdings Inc. - Class A (b) 5 80
Source Interlink Cos. Inc. (b) 2 23
SOURCECORP Inc. (b) 2 52
Spherion Corp. (b) 7 66
Startek Inc. 1 43
Stewart Enterprises Inc. - Class A (b) 12 96
Strayer Education Inc. 2 192
TeleTech Holdings Inc. (b) 4 38
TNS Inc. (b) 1 11
United Rentals Inc. (b) 5 85
Universal Technical Institute Inc. (b) 2 60
Valassis Communications Inc. (b) 6 180
Volt Information Sciences Inc. (b) 1 29
Watson Wyatt & Co. Holdings 4 95
5,222
Computers - 3.0%
3D Systems Corp. (b) - 2
ActivCard Corp. (b) 5 34
Advanced Digital Information Corp. (b) 7 68
Agilysys Inc. 3 47
Ansoft Corp. (b) 1 10
Anteon International Corp. (b) 3 100
BISYS Group Inc. (b) 14 194
Brocade Communications Systems Inc. (b) 30 178
CACI International Inc. - Class A (b) 3 126
CapitalSource Inc. (b) 3 9
Carreker Corp. (b) 2 22
Catapult Communications Corp. (b) 1 13
Ciber Inc. (b) 6 46
Compucom Systems Inc. (b) 3 15
Computer Horizons Corp. (b) 4 16
Covansys Corp. (b) 2 22
Cray Inc. (b) 9 62
Cyberguard Corp. (b) 1 10
Digimarc Corp. (b) 2 22
DigitalNet Holdings Inc. (b) 1 12
Dot Hill Systems Corp. (b) 5 56
Drexler Technology Corp. (b) (l) 1 14
Echelon Corp. (b) 3 39
Electronics for Imaging Inc. (b) 6 171
Factset Research Systems Inc. 2 109
Gateway Inc. (b) 24 109
Hutchinson Technology Inc. (b) (l) 3 70
iGate Capital Corp. (b) 2 8
Imation Corp. 4 170
InFocus Corp. (b) 4 35
Integral Systems Inc. 1 18
Intergraph Corp. (b) 4 108
InterVoice Inc. (b) 4 49
Iomega Corp. (b) 6 36
Komag Inc. (b) 3 45
Kronos Inc. (b) 4 146
Lexar Media Inc. (b) (l) 8 54
Magma Design Automation Inc. (b) 3 53
Manhattan Associates Inc. (b) 3 106
Maxwell Technologies Inc. (b) 1 15
McData Corp. (b) 14 73
Mentor Graphics Corp. (b) 8 117
Mercury Computer Systems Inc. (b) 2 57
Merge Technologies Inc. (b) 1 18
Micros Systems Inc. (b) 2 83
Mobility Electronics Inc. (b) 3 22
MTS Systems Corp. 3 60
Nassda Corp. (b) 2 7
Neoware Systems Inc. (b) (l) 2 13
Netscout Systems Inc. (b) 3 19
Nuance Communications Inc. (b) 1 5
NYFIX Inc. (b) 3 15
Overland Storage Inc. (b) 1 20
PalmOne Inc. (b) (l) 5 165
Pec Solutions Inc. (b) (l) 1 12
Perot Systems Corp. (b) 9 115
Pomeroy Computer Resources (b) 1 11
Quantum Corp. (b) 20 61
Radiant Systems Inc. (b) 1 6
RadiSys Corp. (b) 2 44
SI International Inc. (b) 1 10
Sigma Designs Inc. (b) (l) 2 17
Silicon Graphics Inc. (b) (l) 28 62
Silicon Storage Technology Inc. (b) 9 90
SRA International Inc. - Class A (b) 1 58
Stratasys Inc. (b) 1 26
SYKES Enterprises Inc. (b) 3 20
Synaptics Inc. (b) 3 49
Synplicity Inc. (b) 2 9
Syntel Inc. 1 13
Talx Corp. 2 38
Tier Technologies Inc. - Class B (b) 2 18
Transact Technologies Inc. (b) 1 28
Tyler Technologies Inc. (b) 4 38
Xybernaut Corp. (b) (l) 19 31
3,849
Cosmetics & Personal Care - 0.1%
Chattem Inc. (b) 2 52
DEL Laboratories Inc. (b) 1 18
Elizabeth Arden Inc. (b) 2 49
Inter Parfums Inc. 1 13
Revlon Inc. - Class A (b) 15 45
177
Distribution & Wholesale - 0.8%
Advanced Marketing Services Inc. 2 22
Aviall Inc. (b) 3 50
Brightpoint Inc. (b) 2 28
Building Material Holding Corp. 1 27
Central European Distribution Corp. (b) (l) 1 33
Handleman Co. 3 64
LKQ Corp. (b) 2 28
Navarre Corp. (b) 2 32
Owens & Minor Inc. 4 114
ScanSource Inc. (b) 1 85
SCP Pool Corp. 4 182
United Stationers Inc. (b) 4 153
Watsco Inc. 3 73
WESCO International Inc. (b) 2 38
929
Diversified Financial Services - 1.2%
Accredited Home Lenders Holding Co. (b) (l) 1 38
Advanta Corp. - Class B 2 53
Affiliated Managers Group Inc. (b) (l) 3 139
Asta Funding Inc. - 5
Bay View Capital Corp. (b) 5 10
BKF Capital Group Inc. 1 20
Charter Municipal Mortgage Acceptance Co. 4 84
CompuCredit Corp. (b) 2 35
Credit Acceptance Corp. (b) 1 20
Education Lending Group Inc. (b) 1 23
eSPEED Inc. (b) 3 50
Federal Agricultural Mortgage Corp. - Class C (b) 1 21
Financial Federal Corp. (b) 2 70
First Albany Cos. Inc. 1 9
Gabelli Asset Management Inc. - Class A 1 34
Greenhill & Co. Inc. (b) 1 13
Investment Technology Group Inc. (b) 5 61
Knight Trading Group Inc. (b) 13 133
LaBranche & Co. Inc. (l) 6 47
Metris Cos. Inc. (b) 3 28
National Financial Partners Corp. 4 134
Nelnet Inc. (b) 1 16
New Century Financial Corp. 3 148
Piper Jaffray Cos. (b) 2 104
Portfolio Recovery Associates Inc. (b) 2 43
Sanders Morris Harris Group Inc. 1 20
Saxon Capital Inc. (b) 3 75
Stifel Financial Corp. (b) 1 16
SWS Group Inc. 2 26
United PanAm Financial Corp. (b) - 8
World Acceptance Corp. (b) 2 36
1,519
Electric - 1.5%
Aquila Inc. (b) 22 80
Avista Corp. 6 102
Black Hills Corp. 4 117
Calpine Corp. (b) (l) 47 204
Central Vermont Public Service Corp. 1 31
CH Energy Group Inc. 2 80
Cleco Corp. 5 97
CMS Energy Corp. (b) (l) 18 165
Duquesne Light Holdings Inc. 9 166
El Paso Electric Co. (b) 5 80
Empire District Electric Co. 3 55
Idacorp Inc. 4 117
MGE Energy Inc. 2 70
Otter Tail Corp. 3 84
PNM Resources Inc. 7 135
Sierra Pacific Resources (b) (l) 13 98
UIL Holdings Corp. 1 69
Unisource Energy Corp. 4 93
1,843
Electrical Components & Equipment - 0.9%
Advanced Energy Industries Inc. (b) 2 39
American Superconductor Corp. (b) (l) 3 34
Artesyn Technologies Inc. (b) 4 35
Belden Inc. 3 59
C&D Technologies Inc. 3 53
Capstone Turbine Corp. (b) 9 19
Cherokee International Corp. (b) 1 8
Encore Wire Corp. (b) 1 34
Energy Conversion Devices Inc. (b) 2 26
General Cable Corp. (b) 5 41
GrafTech International Ltd. (b) 11 114
Intermagnetics General Corp. (b) 2 62
Littelfuse Inc. (b) 2 105
Magnetek Inc. (b) 3 21
Medis Technologies Ltd. (b) (l) 2 27
Powell Industries Inc. (b) 1 15
Power-One Inc. (b) 7 82
Rayovac Corp. (b) 4 113
Research Frontiers Inc. (b) (l) 1 9
Superconductor Technologies (b) (l) 6 8
Ultralife Batteries Inc. (b) 2 29
Universal Display Corp. (b) 2 25
Valence Technology Inc. (b) (l) 6 21
Vicor Corp. (b) 2 44
Wilson Greatbatch Technologies Inc. (b) 2 68
1,091
Electronics - 2.9%
Analogic Corp. 1 40
BEI Technologies Inc. 1 39
Bel Fuse Inc. - Class B 1 55
Benchmark Electronics Inc. (b) 5 135
Brady Corp. - Class A 2 90
California Micro Devices Corp. (b) 2 25
Checkpoint Systems Inc. (b) 4 74
Coherent Inc. (b) 4 113
CTS Corp. 4 53
Cubic Corp. 2 41
Cyberoptics Corp. (b) 1 21
Cymer Inc. (b) 4 148
Daktronics Inc. (b) 2 44
DDi Corp. (b) 3 23
Dionex Corp. (b) 2 116
Electro Scientific Industries Inc. (b) 3 98
Excel Technology Inc. (b) 1 37
Fargo Electronics Inc. (b) 2 17
Faro Technologies Inc. (b) 1 28
FEI Co. (b) 3 61
Identix Inc. (b) 10 72
Ii-Vi Inc. (b) 1 39
Innovex Inc. (b) 2 10
Invision Technologies Inc. (b) 2 95
Itron Inc. (b) 2 57
Keithley Instruments Inc. 1 33
Kemet Corp. (b) 9 115
Measurement Specialties Inc. (b) 1 24
Merix Corp. (b) 2 21
Methode Electronics Inc. 4 51
Metrologic Instruments Inc. (b) 1 26
Molecular Devices Corp. (b) 2 29
OSI Systems Inc. (b) 1 29
Park Electrochemical Corp. 2 47
Paxar Corp. (b) 4 74
Pemstar Inc. (b) 4 9
Photon Dynamics Inc. (b) 2 64
Planar Systems Inc. (b) 2 24
Plexus Corp. (b) 5 66
RAE Systems Inc. (b) (l) 4 20
Rofin-Sinar Technologies Inc. (b) 2 45
Rogers Corp. (b) 2 122
SAFLINK Corp. (b) (l) 3 8
SBS Technologies Inc. (b) 2 29
Sonic Solutions Inc. (b) (l) 2 39
Spatialight Inc. (b) 3 15
Stoneridge Inc. (b) 2 31
Sypris Solutions Inc. 1 15
Taser International Inc. (b) (l) 3 126
Technitrol Inc. (b) 4 96
Thomas & Betts Corp. 7 182
Trimble Navigation Ltd. (b) 6 161
TTM Technologies Inc. (b) 4 52
Varian Inc. (b) 4 166
Viisage Technology Inc. (b) (l) 2 21
Watts Industries Inc. 3 75
Woodhead Industries Inc. 1 18
Woodward Governor Co. 1 88
X-Rite Inc. 2 36
Zygo Corp. (b) 2 22
3,510
Engineering & Construction - 0.5%
Dycom Industries Inc. (b) 5 152
EMCOR Group Inc. (b) 2 71
Granite Construction Inc. 4 72
Infrasource Services Inc. (b) 1 11
Insituform Technologies Inc. (b) 3 45
Perini Corp. (b) 1 8
Shaw Group Inc. (b) 7 75
URS Corp. (b) 4 97
Washington Group International Inc. (b) 3 98
629
Entertainment - 1.1%
Alliance Gaming Corp. (b) 6 102
AMC Entertainment Inc. (b) 3 52
Argosy Gaming Co. (b) 3 106
Bluegreen Corp. (b) 2 23
Carmike Cinemas Inc. (b) 1 32
Championship Auto Racing Teams Inc. (b) 1 -
Churchill Downs Inc. 1 37
Dover Downs Gaming & Entertainment Inc. 1 12
Dover Motorsports Inc. 2 7
Empire Resorts Inc. (b) (l) 1 13
Gaylord Entertainment Co. (b) 3 108
Isle of Capri Casinos Inc. (b) 1 26
Lakes Entertainment Inc. (b) (l) 2 19
Macrovision Corp. (b) 6 140
Magna Entertainment Corp. (b) (l) 5 28
Nevada Gold & Casinos Inc. (b) 1 11
Penn National Gaming Inc. (b) 3 114
Pinnacle Entertainment Inc. (b) 4 51
Scientific Games Corp. - Class A (b) 6 121
Shuffle Master Inc. (b) 3 91
Six Flags Inc. (b) 10 73
Speedway Motorsports Inc. 2 57
Steinway Musical Instruments (b) 1 25
Sunterra Corp. (b) (l) 2 25
Vail Resorts Inc. (b) 2 40
1,313
Environmental Control - 0.5%
BHA Group Holdings Inc. 1 20
Calgon Carbon Corp. 4 30
Casella Waste Systems Inc. (b) 1 18
Clean Harbors Inc. (b) (l) 1 9
Darling International Inc. (b) 8 32
Duratek Inc. (b) 1 19
Imco Recycling Inc. (b) 2 20
Ionics Inc. (b) 2 56
Metal Management Inc. (b) 2 38
Mine Safety Appliances Co. 2 83
Tetra Tech Inc. (b) 6 103
TRC Cos. Inc. (b) 1 21
Waste Connections Inc. (b) 5 137
586
Food - 1.3%
American Italian Pasta Co. (l) 2 56
Arden Group Inc. - Class A - 15
Cal-Maine Foods Inc. (l) 2 22
Chiquita Brands International Inc. (b) 5 98
Corn Products International Inc. 4 201
Flowers Foods Inc. 4 100
Great Atlantic & Pacific Tea Co. Inc. (b) 2 14
Hain Celestial Group Inc. (b) 3 50
Ingles Markets Inc. - Class A 1 11
Interstate Bakeries 6 60
J&J Snack Foods Corp. (b) 1 31
JM Smucker Co. - -
John B. Sanfilippo & Son (b) 1 20
Lance Inc. 3 48
M&F Worldwide Corp. (b) 1 19
MGP Ingredients Inc. (l) - 15
Monterey Pasta Co. (b) 1 4
Nash Finch Co. 1 32
Pathmark Stores Inc. (b) 3 23
Performance Food Group Co. (b) 5 139
Provide Commerce Inc. (b) 1 10
Ralcorp Holdings Inc. (b) 3 112
Riviana Foods Inc. 1 17
Ruddick Corp. 4 81
Sanderson Farms Inc. 1 62
Seaboard Corp. - 16
United Natural Foods Inc. (b) 4 129
Weis Markets Inc. 1 42
Wild Oats Markets Inc. (b) 3 49
Winn-Dixie Stores Inc. (l) 10 69
1,545
Forest Products & Paper - 0.5%
Buckeye Technologies Inc. (b) 3 38
Caraustar Industries Inc. (b) 3 44
Deltic Timber Corp. 1 46
Longview Fibre Co. (b) 6 82
P.H. Glatfelter Co. 3 49
Pope & Talbot Inc. 2 38
Potlatch Corp. 3 139
Rock-Tenn Co. - Class A 3 52
Schweitzer-Mauduit International Inc. 2 50
Wausau-Mosinee Paper Corp. 5 85
623
Gas - 1.4%
Atmos Energy Corp. 6 144
Cascade Natural Gas Corp. 1 30
Chesapeake Utilities Corp. 1 15
Energen Corp. 4 198
EnergySouth Inc. 1 21
Laclede Group Inc. 2 63
New Jersey Resources Corp. 3 125
Nicor Inc. (l) 5 170
Northwest Natural Gas Co. 3 95
NUI Corp. 2 29
Peoples Energy Corp. 4 185
Piedmont Natural Gas Co. (l) 4 184
SEMCO Energy Inc. 3 19
South Jersey Industries Inc. 1 64
Southern Union Co. (b) 7 140
Southwest Gas Corp. 4 90
WGL Holdings Inc. 6 158
1,730
Hand & Machine Tools - 0.5%
Baldor Electric Co. 4 87
Franklin Electric Co. Inc. 2 70
Kennametal Inc. 4 186
Lincoln Electric Holdings Inc. 4 141
Milacron Inc. (b) (l) 4 17
Regal-Beloit Corp. 3 63
564
Healthcare - 5.6%
Abaxis Inc. (b) 2 36
Abiomed Inc. (b) (l) 2 20
Advanced Medical Optics Inc. (b) 3 145
Advanced Neuromodulation Systems Inc. (b) 2 71
Align Technology Inc. (b) 5 102
Alliance Imaging Inc. (b) 2 7
Amedisys Inc. (b) 1 40
America Service Group Inc. (b) 1 28
American Healthways Inc. (b) 3 86
American Medical Security Group Inc. (b) 1 36
American Medical Systems Holdings Inc. (b) 2 83
AMERIGROUP Corp. (b) 3 131
Amsurg Corp. (b) 3 81
Apria Healthcare Group Inc. (b) 6 166
Arrow International Inc. 2 64
Arthrocare Corp. (b) 2 70
Aspect Medical Systems Inc. (b) 1 27
Beverly Enterprises Inc. (b) 12 105
Biolase Technology Inc. (b) (l) 2 31
Biosite Inc. (b) (l) 2 68
Bioveris Corp. (b) 3 21
Bruker BioSciences Corp. (b) 3 13
Candela Corp. (b) 2 18
Cantel Medical Corp. (b) 1 19
Cardiac Science Inc. (b) 6 15
Cardiodynamics International Corp. (b) 4 20
Centene Corp. (b) 2 83
Cepheid Inc. (b) 5 56
Cerus Corp. (b) 2 4
Cholestech Corp. (b) 2 13
Chronimed Inc. (b) 2 13
Closure Medical Corp. (b) 1 19
Columbia Laboratories Inc. (b) 4 13
Conceptus Inc. (b) (l) 2 25
CONMED Corp. (b) 3 90
CTI Molecular Imaging Inc. (b) 3 42
Cyberonics Inc. (b) (l) 2 63
Datascope Corp. 1 55
Diagnostic Products Corp. 3 114
DJ Orthopedics Inc. (b) 2 43
Encore Medical Corp. (b) 3 21
Endocardial Solutions Inc. (b) 2 24
Epix Medical Inc. (b) 2 43
Exactech Inc. (b) 1 15
Genesis HealthCare Corp. (b) 2 62
Gentiva Health Services Inc. (b) 3 44
Haemonetics Corp. (b) 2 58
Hanger Orthopedic Group Inc. (b) 3 30
Hologic Inc. (b) 2 56
ICU Medical Inc. (b) (l) 1 40
Immucor Inc. (b) 2 74
Immunicon Corp. (b) 1 7
Intuitive Surgical Inc. (b) 4 73
Invacare Corp. 3 124
Inveresk Research Group Inc. (b) 3 103
Inverness Medical Innovations Inc. (b) 1 33
IVAX Diagnostics Inc. (b) 1 6
Kensey Nash Corp. (b) (l) 1 40
Kindred Healthcare Inc. (b) 3 79
Kyphon Inc. (b) 3 76
LabOne Inc. (b) (l) 1 45
Laserscope (b) 2 59
LCA-Vision Inc. (b) 1 32
Lifecore Biomedical Inc. (b) 1 5
Lifeline Systems Inc. (b) 1 31
LifePoint Hospitals Inc. (b) 4 152
Luminex Corp. (b) 2 23
Matria Healthcare Inc. (b) 1 26
Medical Action Industries Inc. (b) 1 17
MedSource Technologies Inc. (b) 1 6
Mentor Corp. (l) 5 169
Meridian Bioscience Inc. 1 13
Merit Medical Systems Inc. (b) 3 44
Micro Therapeutics Inc. (b) 1 5
Microtek Medical Holdings Inc. (b) 5 24
Microvision Inc. (b) (l) 2 17
Molina Healthcare Inc. (b) 1 42
National Healthcare Corp. 1 20
Novoste Corp. (b) 1 3
Oakley Inc. 2 29
Ocular Sciences Inc. (b) 2 94
Odyssey HealthCare Inc. (b) 4 79
Option Care Inc. 1 23
OraSure Technologies Inc. (b) 5 46
Orthodontic Centers of America Inc. (b) (l) 5 38
Orthologic Corp. (b) 4 32
Orthovita Inc. (b) 4 22
Osteotech Inc. (b) 1 9
Palatin Technologies Inc. (b) 6 27
Palomar Medical Technologies Inc. (b) - 7
Pediatrix Medical Group Inc. (b) 3 208
PolyMedica Corp. 3 90
Possis Medical Inc. (b) 2 64
Province Healthcare Co. (b) 6 96
PSS World Medical Inc. (b) 7 82
Psychiatric Solutions Inc. (b) 1 32
Quest Diagnostics Inc. - 1
Quidel Corp. (b) 3 19
Radiologix Inc. (b) 1 3
RehabCare Group Inc. (b) 2 53
Retractable Technologies Inc. (b) (l) 1 6
Select Medical Corp. 10 140
Sierra Health Services Inc. (b) 2 111
Sola International Inc. (b) 4 61
SonoSite Inc. (b) 2 41
Specialty Laboratories Inc. (b) 1 8
Staar Surgical Co. (b) (l) 2 16
Steris Corp. (b) 8 180
Sunrise Senior Living Inc. (b) (l) 2 70
SurModics Inc. (b) (l) 2 42
Sybron Dental Specialties Inc. (b) 4 132
Symbion Inc. (b) 1 16
Synovis Life Technologies Inc. (b) (l) 1 11
Techne Corp. (b) 5 203
ThermoGenesis Corp. (b) 5 22
Thoratec Corp. (b) (l) 6 63
TriPath Imaging Inc. (b) 3 25
United Surgical Partners International Inc. (b) 3 129
Urologix Inc. (b) 2 24
US Oncology Inc. (b) 8 115
US Physical Therapy Inc. (b) 1 17
Ventana Medical Systems Inc. (b) 2 72
Viasys Healthcare Inc. (b) 3 70
VistaCare Inc. - Class A (b) 1 18
VISX Inc. (b) 6 148
Vital Images Inc. (b) 1 10
Vital Signs Inc. 1 19
West Pharmaceutical Services Inc. 1 57
Wright Medical Group Inc. (b) 3 109
Young Innovations Inc. - 12
Zila Inc. (b) 5 24
Zoll Medical Corp. (b) 1 38
6,940
Holding Companies - Diversified - 0.1%
Resource America Inc. - Class A 2 39
Walter Industries Inc. 3 36
75
Home Builders - 0.9%
Beazer Homes USA Inc. (l) 2 157
Brookfield Homes Corp. 2 42
Champion Enterprises Inc. (b) 8 72
Coachmen Industries Inc. 2 26
Dominion Homes Inc. (b) - 8
Fleetwood Enterprises Inc. (b) 6 85
Levitt Corp. - Class A (b) 2 44
M/I Schottenstein Homes Inc. 1 53
Meritage Corp. (b) 1 83
Modtech Holdings Inc. (b) 1 6
Monaco Coach Corp. 3 81
Orleans Homebuilders Inc. (b) - 4
Palm Harbor Homes Inc. (b) (l) 2 33
Skyline Corp. 1 28
Technical Olympic USA Inc. 1 23
Thor Industries Inc. 4 144
WCI Communities Inc. (b) 4 82
William Lyon Homes Inc. (b) (l) - 43
Winnebago Industries (l) 3 106
1,120
Home Furnishings - 0.6%
American Woodmark Corp. 1 41
Applica Inc. (b) 2 20
Bassett Furniture Industries Inc. 1 24
Digital Theater Systems Inc. (b) 2 47
Emerson Radio Corp. (b) 2 6
Ethan Allen Interiors Inc. 4 133
Furniture Brands International Inc. 6 147
Hooker Furniture Corp. 1 13
Kimball International Inc. - Class B 3 39
La-Z-Boy Inc. 6 108
Parkervision Inc. (b) (l) 1 3
Salton Inc. (b) (l) - 1
Stanley Furniture Co. Inc. 1 23
Tempur-Pedic International Inc. (b) 2 28
Tivo Inc. (b) (l) 5 33
Universal Electronics Inc. (b) 2 28
694
Household Products - 1.1%
American Greetings Corp. - Class A (b) 7 158
Blyth Inc. 4 124
Central Garden & Pet Co. (b) 2 68
CSS Industries Inc. 1 25
Ennis Business Forms 2 39
Jarden Corp. (b) 3 113
John H. Harland Co. 3 95
Libbey Inc. 2 43
National Presto Industries Inc. 1 24
Playtex Products Inc. (b) 4 32
Russ Berrie & Co. Inc. 1 19
Standard Register Co. 2 18
Toro Co. 3 195
Tupperware Corp. 6 116
Water Pik Technologies Inc. (b) 1 17
WD-40 Co. 2 61
Yankee Candle Co. Inc. (b) 6 165
1,312
Insurance - 2.3%
21st Century Insurance Group 2 31
Alfa Corp. 4 58
American Equity Investment Life Holding Co. (b) 2 22
American Physicians Capital Inc. (b) 1 24
AmerUs Group Co. 4 175
Argonaut Group Inc. (b) 3 56
Baldwin & Lyons Inc. 1 24
Bristol West Holdings Inc. 2 29
Citizens Inc. (b) (l) 4 30
CNA Surety Corp. (b) 2 19
Commerce Group Inc. 3 148
Crawford & Co. - Class B 2 9
Delphi Financial Group Inc. - Class A 3 121
Direct General Corp. 2 55
Donegal Group Inc. - 8
Enstar Group Inc. (b) - 19
FBL Financial Group Inc. - Class A 1 41
Fidelity National Financial Inc. - 3
Financial Industries Corp. (b) 1 9
First Acceptance Corp. (b) 2 15
FPIC Insurance Group Inc. (b) (l) 1 27
Great American Financial Resources Inc. 1 10
Harleysville Group Inc. 2 29
Hilb Rogal & Hamilton Co. 3 121
Horace Mann Educators Corp. 5 83
Independence Holding Co. - 11
Infinity Property & Casualty Corp. 2 74
Kansas City Life Insurance Co. - 17
LandAmerica Financial Group Inc. 2 82
Midland Co. 1 33
Mony Group Inc. - 13
National Western Life Insurance Co. - Class A (b) - 42
Navigators Group Inc. (b) 1 20
NYMAGIC Inc. - 12
Ohio Casualty Corp. (b) 7 137
Penn-America Group Inc. 1 14
Philadelphia Consolidated Holding Co. (b) 2 121
Phoenix Cos. Inc. 11 132
PMA Capital Corp. 3 29
Presidential Life Corp. 3 45
ProAssurance Corp. (b) 3 101
RLI Corp. 2 89
Safety Insurance Group Inc. 1 23
Selective Insurance Group 3 129
State Auto Financial Corp. 1 45
Stewart Information Services Corp. 2 64
Triad Guaranty Inc. (b) 1 64
UICI (b) 4 97
United Fire & Casualty Co. 1 50
Universal American Financial Corp. (b) 3 30
USI Holdings Corp. (b) 4 60
Vesta Insurance Group Inc. 4 25
Zenith National Insurance Corp. (l) 1 61
2,786
Internet - 3.6%
1-800 Contacts Inc. (b) 1 14
1-800-FLOWERS.COM Inc. (b) 2 17
24/7 Real Media Inc. (b) 2 13
Agile Software Corp. (b) 6 50
Alloy Inc. (b) (l) 4 25
Aquantive Inc. (b) 6 54
Ariba Inc. (b) (l) 27 54
AsiaInfo Holdings Inc. (b) 4 19
At Road Inc. (b) 4 27
Autobytel Inc. (b) 5 42
Blue Coat Systems Inc. (b) 1 40
Blue Nile Inc. (b) - 15
BroadVision Inc. (b) (l) 3 12
Centillium Communications Inc. (b) 4 13
Chordiant Software Inc. (b) 8 35
CMGI Inc. (b) 41 79
CNET Networks Inc. (b) 15 161
Corillian Corp. (b) 4 18
CyberSource Corp. (b) 3 24
Digital Insight Corp. (b) 4 79
Digital River Inc. (b) 4 118
Digitas Inc. (b) 6 63
DoubleClick Inc. (b) 14 108
drugstore.com inc. (b) (l) 4 14
E.piphany Inc. (b) 8 40
Earthlink Inc. (b) 16 162
eCollege.com Inc. (b) 2 26
E-Loan Inc. (b) (l) 4 11
Entrust Inc. (b) 5 25
Equinix Inc. (b) 1 34
eResearch Technology Inc. (b) 5 138
F5 Networks Inc. (b) 4 105
FindWhat.com (b) 2 50
Freemarkets Inc. (b) 5 30
GSI Commerce Inc. (b) 2 22
Harris Interactive Inc. (b) 5 36
HomeStore.com Inc. (b) 11 43
Infospace Inc. (b) 4 139
Interland Inc. (b) (l) 1 3
Internap Network Services Corp. (b) 25 30
Internet Capital Group Inc. (b) (l) 4 31
Internet Security Systems Inc. (b) 5 69
Interwoven Inc. (b) 5 50
Ipass Inc. (b) 5 50
iVillage Inc. (b) 3 18
J2 Global Communications Inc. (b) (l) 2 56
Jupitermedia Corp. (b) 2 24
Kana Software Inc. (b) 3 8
Keynote Systems Inc. (b) 2 27
Kintera Inc. (b) 1 6
Lionbridge Technologies Inc. (b) 5 38
LookSmart Ltd. (b) 10 22
Marimba Inc. (b) 2 16
Marketwatch.com Inc. (b) (l) 1 14
Matrixone Inc. (b) 5 37
Neoforma Inc. (b) (l) 1 12
Net2Phone Inc. (b) (l) 4 18
NetBank Inc. 5 55
Netegrity Inc. (b) 4 30
Netratings Inc. (b) 1 21
NIC Inc. (b) 3 24
Openwave Systems Inc. (b) 7 88
Opsware Inc. (b) 6 45
Overstock.com Inc. (b) (l) 1 45
PC-Tel Inc. (b) 3 31
Portal Software Inc. (b) 3 12
Priceline.com Inc. (b) 3 74
ProQuest Co. (b) 3 77
QRS Corp. (b) 1 6
Raindance Communications Inc. (b) 6 13
RealNetworks Inc. (b) 13 89
Redback Networks Inc. (b) 4 22
Register.com (b) 2 14
RSA Security Inc. (b) (l) 7 143
S1 Corp. (b) 8 77
Safeguard Scientifics Inc. (b) 13 30
Sapient Corp. (b) 9 57
Secure Computing Corp. (b) 4 49
Seebeyond Technology Corp. (b) 6 21
Sohu.com Inc. (b) (l) 2 47
SonicWALL Inc. (b) 7 57
Stamps.com Inc. (b) 2 22
Stellent Inc. (b) 2 21
SupportSoft Inc. (b) 4 37
TheStreet.com Inc. (b) (l) 1 5
Travelzoo Inc. (b) (l) - 9
Trizetto Group Inc. (b) 3 23
Tumbleweed Communications Corp. (b) 5 22
United Online Inc. (b) (l) 6 107
Valueclick Inc. (b) 9 108
Verity Inc. (b) 3 44
Verso Technologies Inc. (b) 14 25
Vignette Corp. (b) 31 51
Vitria Technology Inc. (b) 2 5
WatchGuard Technologies Inc. (b) 4 26
WebEx Communications Inc. (b) 3 72
webMethods Inc. (b) 5 46
Websense Inc. (b) 3 98
Zix Corp. (b) (l) 2 17
4,349
Investment Companies - 0.2%
Apollo Investment Corp. (b) 7 99
Gladstone Capital Corp. (l) 1 22
Harris & Harris Group Inc. (b) (l) 1 16
MCG Capital Corp. 4 58
Medallion Financial Corp. 2 13
208
Iron & Steel - 0.7%
AK Steel Holding Corp. (b) 12 63
Allegheny Technologies Inc. 9 166
Carpenter Technology Corp. 3 90
Cleveland-Cliffs Inc. (b) (l) 1 71
Gibraltar Steel Corp. 2 55
Material Sciences Corp. (b) 1 11
Oregon Steel Mills Inc. (b) 3 41
Reliance Steel & Aluminum Co. 3 131
Ryerson Tull Inc. 3 43
Schnitzer Steel Industries Inc. - Class A 2 73
Steel Dynamics Inc. (b) 4 121
Steel Technologies Inc. 1 24
889
Leisure Time - 0.5%
Ambassadors Group Inc. 1 23
Ambassadors International Inc. - 6
Arctic Cat Inc. 1 41
Bally Total Fitness Holding Corp. (b) (l) 4 19
Callaway Golf Co. 7 82
Escalade Inc. 1 19
K2 Inc. (b) 3 54
Marine Products Corp. 1 17
Multimedia Games Inc. (b) (l) 3 73
Nautilus Group Inc. (l) 3 61
Navigant International Inc. (b) (l) 2 30
Orbitz Inc. - Class A (b) 1 28
Pegasus Solutions Inc. (b) 3 37
WMS Industries Inc. (b) (l) 2 63
553
Lodging - 0.5%
Ameristar Casinos Inc. 1 40
Aztar Corp. (b) 4 110
Boca Resorts Inc. - Class A (b) 2 47
Boyd Gaming Corp. 4 102
La Quinta Corp. (b) 21 173
Marcus Corp. 2 41
MTR Gaming Group Inc. (b) 2 27
Prime Hospitality Corp. (b) 5 49
589
Machinery - 1.8%
Alamo Group Inc. 1 13
Albany International Corp. 3 102
Applied Industrial Technologies Inc. 2 56
Astec Industries Inc. (b) 2 30
Cascade Corp. 1 36
Cognex Corp. 5 176
Flowserve Corp. (b) 6 154
Gardner Denver Inc. (b) 2 67
Gerber Scientific Inc. (b) 2 14
Global Power Equipment Group Inc. (b) 4 29
Gorman-Rupp Co. 1 24
IDEX Corp. (l) 6 195
JLG Industries Inc. 5 65
Joy Global Inc. 6 174
Kadant Inc. (b) 2 36
Lindsay Manufacturing Co. 1 33
Manitowoc Co. 3 99
Middleby Corp. 1 27
NACCO Industries Inc. - Class A 1 51
Nordson Corp. 3 125
Presstek Inc. (b) 3 30
Robbins & Myers Inc. 1 30
Sauer-Danfoss Inc. 1 22
Stewart & Stevenson Services Inc. 3 57
Tecumseh Products Co. 2 81
Tennant Co. 1 33
Terex Corp. (b) 6 190
Thomas Industries Inc. 2 53
UNOVA Inc. (b) 5 104
Wabtec Corp. 5 82
2,188
Manufacturing - 1.5%
Actuant Corp. - Class A (b) 3 107
Acuity Brands Inc. 5 130
Ameron International Corp. 1 32
AO Smith Corp. 2 63
Applied Films Corp. (b) 2 48
Aptargroup Inc. 4 183
Barnes Group Inc. 2 50
Blount International Inc. (b) 1 9
Ceradyne Inc. (b) 2 65
Clarcor Inc. 3 134
Concord Camera Corp. (b) 3 9
Cuno Inc. (b) 2 96
EnPro Industries Inc. (b) 2 57
ESCO Technologies Inc. (b) 1 77
Federal Signal Corp. 6 103
Flanders Corp. (b) 1 12
Griffon Corp. (b) 3 59
Hexcel Corp. (b) 2 28
Jacuzzi Brands Inc. (b) 8 66
Lancaster Colony Corp. - 12
Lydall Inc. (b) 2 17
Matthews International Corp. - Class A 4 120
Myers Industries Inc. 2 34
Quixote Corp. 1 17
Raven Industries Inc. 1 28
Standex International Corp. 1 38
Sturm Ruger & Co. Inc. 2 29
Tredegar Corp. 3 48
Trinity Industries Inc. (l) 4 125
1,796
Media - 1.5%
4Kids Entertainment Inc. (b) 2 39
Acme Communications Inc. (b) 1 8
Beasley Broadcasting Group Inc. - Class A (b) - 7
Charter Communications Inc. (b) (l) 30 119
Courier Corp. 1 29
Crown Media Holdings Inc. (b) 1 13
Cumulus Media Inc. - Class A (b) 5 91
Emmis Communications Corp. (b) (l) 5 113
Entravision Communications Corp. (b) 5 39
Fisher Communications Inc. (b) 1 40
Gray Television Inc. 5 68
Hollinger International Inc. 6 106
Information Holdings Inc. (b) 1 35
Insight Communications Co. Inc. (b) 5 50
Journal Communications Inc. Class A 2 40
Journal Register Co. (b) 5 97
Liberty Corp. 2 79
Lin TV Corp. - Class A (b) 3 62
Lodgenet Entertainment Corp. (b) 1 22
Martha Stewart Living Omnimedia Inc. (b) (l) 2 14
Mediacom Communications Corp. (b) 6 48
Paxson Communications Corp. (b) 4 13
Pegasus Communications Corp. (b) (l) - 10
Playboy Enterprises Inc. - Class B (b) 2 26
PRIMEDIA Inc. (b) 14 40
Pulitzer Inc. 1 42
Reader's Digest Association Inc. - Class A 11 179
Regent Communications Inc. (b) 4 28
Saga Communications Inc. (b) 2 34
Salem Communications Corp. - Class A (b) 1 29
Scholastic Corp. (b) 3 102
Sinclair Broadcast Group Inc. - Class A 5 54
Spanish Broadcasting System Inc. (b) 4 40
Thomas Nelson Inc. 1 22
Value Line Inc. - 7
World Wrestling Entertainment Inc. 1 17
Young Broadcasting Inc. (b) 2 25
1,787
Metal Fabrication & Hardware - 0.5%
Ampco Pittsburgh Corp. 1 9
CIRCOR International Inc. 2 37
Commercial Metals Co. 3 103
Intermet Corp. 1 6
Kaydon Corp. 3 96
Lawson Products Inc. 1 23
Metals USA Inc. (b) 2 38
Mueller Industries Inc. 4 143
NN Inc. 1 15
NS Group Inc. (b) 2 35
Penn Engineering & Manufacturing Corp. 1 28
Quanex Corp. 2 86
Valmont Industries Inc. 2 35
654
Mining - 0.5%
Amcol International Corp. 2 44
Brush Engineered Materials Inc. (b) 2 37
Century Aluminum Co. (b) 2 48
Coeur D'alene Mines Corp. (b) (l) 23 94
Compass Minerals International Inc. 2 31
Hecla Mining Co. (b) 13 73
Liquidmetal Technologies Inc. (b) (l) 1 1
Royal Gold Inc. (l) 2 25
RTI International Metals Inc. (b) 2 34
Stillwater Mining Co. (b) 4 66
Titanium Metals Corp. (b) - 19
USEC Inc. (l) 9 80
Westmoreland Coal Co. (b) 1 15
567
Office & Business Equipment - 0.1%
General Binding Corp. (b) 1 11
Global Imaging Systems Inc. (b) 2 88
Imagistics International Inc. (b) 2 66
165
Office Furnishings - 0.0%
Compx International Inc. (b) - 6
Interface Inc. (b) 5 47
Virco Manufacturing Corp. (b) 1 4
57
Oil & Gas Producers - 2.8%
Atlas America Inc. (b) - 6
Atwood Oceanics Inc. (b) 1 50
Berry Petroleum Co. - Class A 2 57
Brigham Exploration Co. (b) 1 6
Cabot Oil & Gas Corp. 4 159
Callon Petroleum Co. (b) 1 16
Cheniere Energy Inc. (b) (l) 2 39
Cimarex Energy Co. (b) 5 142
Clayton Williams Energy Inc. (b) (l) - 10
Comstock Resources Inc. (b) 4 77
Crosstex Energy Inc. - 12
Delta Petroleum Corp. (b) 2 23
Denbury Resources Inc. (b) 6 130
Edge Petroleum Corp. (b) 1 24
Encore Acquisition Co. (b) 2 68
Energy Partners Ltd. (b) 3 43
Forest Oil Corp. (b) 5 141
Frontier Oil Corp. 3 61
FX Energy Inc. (b) (l) 3 25
Giant Industries Inc. (b) 1 24
Grey Wolf Inc. (b) 20 86
Harvest Natural Resources Inc. (b) 4 58
Helmerich & Payne Inc. 6 149
Holly Corp. 1 47
Houston Exploration Co. (b) 2 85
KCS Energy Inc. (b) 6 75
Magnum Hunter Resources Inc. (b) 7 78
McMoRan Exploration Co. (b) (l) 2 24
Meridian Resource Corp. (b) 6 41
Mission Resources Corp. (b) 4 25
Parker Drilling Co. (b) 11 41
Penn Virginia Corp. 2 71
Petroleum Development Corp. (b) 2 53
Plains Exploration & Production Co. (b) 9 160
Prima Energy Corp. (b) 1 42
Quicksilver Resources Inc. (b) 2 111
Range Resources Corp. 6 92
Remington Oil & Gas Corp. (b) 3 61
Southwestern Energy Co. (b) 4 118
Spinnaker Exploration Co. (b) 3 114
St. Mary Land & Exploration Co. 3 117
Stone Energy Corp. (b) 2 114
Swift Energy Co. (b) 3 69
Tesoro Petroleum Corp. (b) 7 205
Todco - Class A (b) 1 20
Unit Corp. (b) 4 127
Vintage Petroleum Inc. 6 98
Whiting Petroleum Corp. (b) 2 53
3,447
Oil & Gas Services - 1.3%
CAL Dive International Inc. (b) 4 128
CARBO Ceramics Inc. 1 99
Dril-Quip Inc. (b) 1 11
Global Industries Ltd. (b) 10 55
Gulf Island Fabrication Inc. 1 18
Hanover Compressor Co. (b) 8 99
Horizon Offshore Inc. (b) 2 2
Hornbeck Offshore Services Inc. (b) 1 8
Hydril Co. (b) 2 55
Input/Output Inc. (b) (l) 5 41
Key Energy Services Inc. (b) 15 141
Lone Star Technologies Inc. (b) 3 89
Lufkin Industries Inc. 1 27
Matrix Service Co. (b) 2 17
Maverick Tube Corp. (b) 5 126
Newpark Resources Inc. (b) 10 59
Oceaneering International Inc. (b) 3 98
Oil States International Inc. (b) 3 52
RPC Inc. 1 21
Seacor Smit Inc. (b) 2 92
Superior Energy Services Inc. (b) 6 59
Tetra Technologies Inc. (b) 3 68
Universal Compression Holdings Inc. (b) 2 61
Veritas DGC Inc. (b) 4 87
W-H Energy Services Inc. (b) 3 54
1,567
Packaging & Containers - 0.4%
Chesapeake Corp. 2 59
Crown Holdings Inc. (b) 20 198
Graphic Packaging Corp. (b) 8 66
Greif Inc. - Class A 2 65
Silgan Holdings Inc. 1 53
441
Pharmaceuticals - 3.7%
aaiPharma Inc. (b) (l) 2 9
Abgenix Inc. (b) 9 103
Able Laboratories Inc. (b) 2 42
Accelrys Inc. (b) 3 27
Adolor Corp. (b) 5 58
Alkermes Inc. (b) 10 138
Alpharma Inc. 4 87
Alteon Inc. (b) (l) 2 2
Antigenics Inc. (b) (l) 2 21
Array Biopharma Inc. (b) 3 20
Atherogenics Inc. (b) 4 77
Atrix Labs Inc. (b) 2 81
AVI BioPharma Inc. (b) (l) 3 6
Bentley Pharmaceuticals Inc. (b) 2 24
Bioenvision Inc. (b) 2 18
BioMarin Pharmaceuticals Inc. (b) 8 47
Biopure Corp. (b) (l) 2 2
Bone Care International Inc. (b) 2 43
Bradley Pharmaceuticals Inc. (b) (l) 1 42
Caraco Pharmaceutical Laboratories Inc. (b) 1 10
Cell Therapeutics Inc. (b) (l) 6 43
Cima Labs Inc. (b) 2 54
Collagenex Pharmaceuticals Inc. (b) 1 11
Connetics Corp. (b) 3 68
Corcept Therapeutics Inc. (b) 1 5
Corixa Corp. (b) (l) 7 31
Cubist Pharmaceuticals Inc. (b) 5 53
Curative Health Services Inc. (b) 1 11
CV Therapeutics Inc. (b) (l) 3 57
Cypress Bioscience Inc. (b) 3 43
D&K Healthcare Resources Inc. 1 17
Dendreon Corp. (b) 7 81
Depomed Inc. (b) (l) 2 11
Discovery Laboratories Inc. (b) 5 47
Dov Pharmaceutical Inc. (b) 2 23
Durect Corp. (b) (l) 3 12
Dusa Pharmaceuticals Inc. (b) (l) 2 15
Dyax Corp. (b) 3 33
Dynavax Technologies Corp. (b) 1 5
First Horizon Pharmaceutical Corp. (b) 3 58
Genta Inc. (b) 5 14
Guilford Pharmaceuticals Inc. (b) (l) 4 20
HealthExtras Inc. (b) 2 36
Hi-Tech Pharmacal Co. Inc. (b) 1 10
Hollis-Eden Pharmaceuticals Inc. (b) (l) 2 20
I-Flow Corp. (b) 2 22
Ilex Oncology Inc. (b) 5 115
Impax Laboratories Inc. (b) 6 106
Indevus Pharmaceuticals Inc. (b) 5 29
Inkine Pharmaceutical Co. (b) 5 20
Inspire Pharmaceuticals Inc. (b) 3 58
Isis Pharmaceuticals Inc. (b) 6 32
Isolagen Inc. (b) 2 25
Ista Pharmaceuticals Inc. (b) 1 8
Kos Pharmaceuticals Inc. (b) 1 43
KV Pharmaceutical Co. - Class A (b) 4 90
La Jolla Pharmaceutical Co. (b) 6 15
Lannett Co. Inc. (b) (l) 1 10
Ligand Pharmaceuticals Inc. - Class B (b) (l) 8 145
Mannatech Inc. (l) 2 14
Medarex Inc. (b) (l) 9 65
Medicines Co. (b) (l) 5 166
MIM Corp. (b) 3 22
Nabi Biopharmaceuticals (b) 6 89
Nature's Sunshine Products Inc. 1 16
NeighborCare Inc. (b) 4 133
Neopharm Inc. (b) 2 18
Neurogen Corp. (b) - 3
NitroMed Inc. (b) 1 6
Noven Pharmaceuticals Inc. (b) 2 55
NPS Pharmaceuticals Inc. (b) (l) 4 88
Nutraceutical International Corp. (b) - 4
Nuvelo Inc. (b) 3 28
Omega Protein Corp. (b) 1 11
Onyx Pharmaceuticals Inc. (b) 4 166
Pain Therapeutics Inc. (b) 3 21
Par Pharmaceutical Cos. Inc. (b) 4 137
Penwest Pharmaceuticals Co. (b) 2 24
Perrigo Co. 7 135
PetMed Express Inc. (b) (l) 1 8
Pharmacyclics Inc. (b) 2 21
Pharmion Corp. (b) 1 64
Pharmos Corp. (b) 9 38
Pozen Inc. (b) 3 17
Priority Healthcare Corp. (b) (l) 3 72
Progenics Pharmaceuticals Inc. (b) 1 21
Rigel Pharmaceuticals Inc. (b) 1 16
Salix Pharmaceuticals Ltd. (b) 3 87
Santarus Inc. (b) (l) 1 10
Sciclone Pharmaceuticals Inc. (b) 5 25
Star Scientific Inc. (b) (l) 3 12
Tanox Inc. (b) 3 55
Theragenics Corp. (b) 3 16
Trimeris Inc. (b) (l) 2 27
United Therapeutics Corp. (b) 2 54
Usana Health Sciences Inc. (b) (l) 1 38
Valeant Pharmaceuticals International (l) 10 190
Vaxgen Inc. (b) 3 35
Vicuron Pharmaceuticals Inc. (b) 5 64
Vion Pharmaceuticals Inc. (b) (l) 6 25
Virbac Corp. (b) 1 2
Vivus Inc. (b) 4 16
Zymogenetics Inc. (b) 2 32
4,499
Pipelines - 0.0%
Plains Resources Inc. (b) 3 48
Transmontaigne Inc. (b) 2 11
59
Real Estate - 6.1%
Acadia Realty Trust 3 36
Affordable Residential Communities 3 42
Alexander's Inc. (b) - 35
Alexandria Real Estate Equities Inc. 2 125
American Financial Realty Trust 12 176
American Home Mortgage Investment Corp. 4 99
American Land Lease Inc. 1 12
American Mortgage Acceptance Co. 1 13
AMLI Residential Properties 3 86
Anthracite Capital Inc. 5 66
Anworth Mortgage Asset Corp. 5 58
Arbor Realty Trust Inc. 1 14
Ashford Hospitality Trust Inc. 2 18
Associated Estates Realty 2 16
Avatar Holdings Inc. (b) (l) 1 26
Bedford Property Investors 2 48
Boykin Lodging Co. (b) 2 15
Brandywine Realty Trust 5 125
BRT Realty Trust - 8
Capital Automotive REIT 3 100
Capital Lease Funding Inc. (b) 2 25
Capital Trust Inc. - Class A 1 16
Capstead Mortgage Corp. (l) 2 23
CarrAmerica Realty Corp. 6 187
Cedar Shopping Centers Inc. 2 21
Colonial Properties Trust 2 83
Commercial Net Lease Realty 6 102
Consolidated-Tomoka Land Co. 1 25
Cornerstone Realty Income Trust Inc. 6 48
Corporate Office Properties Trust 4 91
Correctional Properties Trust 1 38
Cousins Properties Inc. 4 135
CRIIMI MAE Inc. (b) 1 17
Eastgroup Properties Inc. 2 81
Entertainment Properties Trust 3 92
Equity Inns Inc. 5 51
Equity One Inc. 4 70
Essex Property Trust Inc. 3 174
FelCor Lodging Trust Inc. (b) 5 65
First Industrial Realty Trust Inc. 5 186
Gables Residential Trust 3 114
Getty Realty Corp. 2 49
Glenborough Realty Trust Inc. 3 55
Glimcher Realty Trust 4 89
Government Properties Trust Inc. 2 22
Healthcare Realty Trust Inc. 5 184
Heritage Property Investment Trust 3 85
Highland Hospitality Corp. (b) 4 37
Highwoods Properties Inc. 6 144
Home Properties of NY Inc. 4 145
IMPAC Mortgage Holdings Inc. 7 159
Innkeepers USA Trust 4 39
Investors Real Estate Trust 5 53
Jones Lang LaSalle Inc. (b) 4 99
Keystone Property Trust 3 76
Kilroy Realty Corp. 3 112
Koger Equity Inc. (b) 3 68
Kramont Realty Trust 3 42
LaSalle Hotel Properties 3 76
Lexington Corporate Properties Trust 5 104
LNR Property Corp. 2 109
LTC Properties Inc. 2 31
Luminent Mortgage Capital Inc. 4 52
Maguire Properties Inc. 4 97
Manufactured Home Communities Inc. 2 72
Meristar Hospitality Corp. (b) 10 67
MFA Mortgage Investments Inc. 8 73
Mid-America Apartment Communities Inc. 2 77
Mission West Properties 2 23
National Health Investors Inc. 3 80
National Health Realty Inc. (l) 1 12
Nationwide Health Properties Inc. 8 143
Newcastle Investment Corp. 4 114
Novastar Financial Inc. (l) 3 106
Omega Healthcare Investors Inc. 5 50
Origen Financial Inc. (b) (l) 1 7
Parkway Properties Inc. 1 53
Pennsylvania Real Estate Investment Trust 3 117
Post Properties Inc. 5 132
Prentiss Properties Trust 5 170
Price Legacy Corp. 3 46
PS Business Parks Inc. 2 73
RAIT Investment Trust 3 66
Ramco-Gershenson Properties Trust 2 37
Reading International Inc. (b) 1 12
Realty Income Corp. (l) 5 188
Redwood Trust Inc. (l) 2 96
Saul Centers Inc. 1 38
Senior Housing Properties Trust 6 101
Sizeler Property Investors Inc. 1 12
Sovran Self Storage Inc. 2 62
Summit Properties Inc. 3 83
Sun Communities Inc. 2 65
Tanger Factory Outlet Centers Inc. 1 56
Tarragon Realty Investors Inc. (b) 1 13
Taubman Centers Inc. 6 130
Town & Country Trust (l) 2 48
Trammell Crow Co. (b) 4 54
United Capital Corp. (b) - 4
United Mobile Homes Inc. (l) 1 7
Universal Health Realty Income Trust 1 36
Urstadt Biddle Properties Inc. - Class A 2 35
US Restaurants Properties Inc. 3 43
Washington Real Estate Investment Trust 5 137
Winston Hotels Inc. 3 28
7,455
Retail - 5.6%
99 Cents Only Stores (b) 6 87
AC Moore Arts & Crafts Inc. (b) 2 45
Aeropostale Inc. (b) 6 168
America's Car Mart Inc. (b) 1 17
Asbury Automotive Group Inc. (b) 1 21
Bebe Stores Inc. (b) 1 16
Big 5 Sporting Goods Corp. (b) 2 58
Blair Corp. 1 25
Bob Evans Farms Inc. 4 109
Bombay Co. Inc. (b) 4 27
Brookstone Inc. (b) 2 43
Brown Shoe Co. Inc. 2 80
Buckle Inc. 1 27
Buffalo Wild Wings Inc. (b) 1 17
Burlington Coat Factory Warehouse Corp. 2 38
Cache Inc. (b) 1 14
California Pizza Kitchen Inc. (b) 2 39
Casey's General Stores Inc. 5 100
Cash America International Inc. 3 71
Casual Male Retail Group Inc. (b) (l) 3 25
Cato Corp. - Class A 2 48
CBRL Group Inc. 6 173
CEC Entertainment Inc. (b) 4 124
Charlotte Russe Holding Inc. (b) 1 28
Charming Shoppes Inc. (b) 13 117
Chicago Pizza & Brewery Inc. (b) 1 20
Children's Place Retail Stores Inc. (b) 2 47
Christopher & Banks Corp. 4 72
CKE Restaurants Inc. (b) 6 77
Coldwater Creek Inc. (b) 2 41
Cole National Corp. (b) 2 35
Conn's Inc. (b) 1 11
Cosi Inc. (b) (l) 2 13
Cost Plus Inc. (b) 2 77
CSK Auto Corp. (b) 5 91
Dave & Buster's Inc. (b) 1 23
DEB Shops Inc. 1 14
Dick's Sporting Goods Inc. (b) 3 110
Dress Barn Inc. (b) 2 40
Duane Reade Inc. (b) 3 44
Electronics Boutique Holdings Corp. (b) 1 33
Factory 2-U Stores Inc. (b) (l) - -
Finish Line - Class A (b) 2 65
Finlay Enterprises Inc. (b) 1 18
First Cash Financial Services Inc. (b) 1 26
Footstar Inc. (b) (l) 2 10
Fred's Inc. 4 94
Galyan's Trading Co. Inc. (b) (l) 1 13
GameStop Corp. (b) 2 25
Gander Mountain Co. (b) 1 14
Genesco Inc. (b) 3 62
Goody's Family Clothing Inc. 2 21
Group 1 Automotive Inc. (b) 2 74
Guitar Center Inc. (b) 3 117
Hancock Fabrics Inc. 2 29
Haverty Furniture Cos. Inc. 2 35
Hibbett Sporting Goods Inc. (b) 3 70
Hollywood Entertainment Corp. (b) 6 76
HOT Topic Inc. (b) (l) 6 113
IHOP Corp. 2 84
Insight Enterprises Inc. (b) 6 98
J. Jill Group Inc. (b) 2 47
Jack in the Box Inc. (b) 4 122
Jo-Ann Stores Inc. (b) 2 64
Jos. A. Banks Clothiers Inc. (b) (l) 1 31
Kenneth Cole Productions Inc. 1 29
Kirkland's Inc. (b) 1 14
Krispy Kreme Doughnuts Inc. (b) (l) 6 118
Landry's Restaurants Inc. 2 71
Linens `N Things Inc. (b) 5 149
Lithia Motors Inc. - Class A 2 40
Lone Star Steakhouse & Saloon Inc. 2 52
Longs Drug Stores Corp. 3 77
MarineMax Inc. (b) 1 36
Men's Wearhouse Inc. (b) 4 96
Mothers Work Inc. (b) - 7
Movado Group Inc. 2 31
Movie Gallery Inc. 3 58
Nu Skin Enterprises Inc. 6 150
O'Charleys Inc. (b) 2 40
Panera Bread Co. - Class A (b) (l) 3 112
Pantry Inc. (b) 1 27
Papa John's International Inc. (b) 1 38
Party City Corp. (b) 1 16
Payless Shoesource Inc. (b) 7 111
PC Connection Inc. (b) 1 7
PC Mall Inc. (b) 1 15
PEP Boys-Manny Moe & Jack 7 168
PF Chang's China Bistro Inc. (b) (l) 3 114
Rare Hospitality International Inc. (b) 4 95
Red Robin Gourmet Burgers Inc. (b) 1 37
Restoration Hardware Inc. (b) 3 19
Retail Ventures Inc. (b) 1 11
Rex Stores Corp. (b) 1 9
Rush Enterprises Inc. (b) 1 8
Ryan's Restaurant Group Inc. (b) 5 72
School Specialty Inc. (b) 2 80
Select Comfort Corp. (b) 4 117
Sharper Image Corp. (b) 1 44
Shoe Carnival Inc. (b) 1 12
ShopKo Stores Inc. (b) 3 47
Smart & Final Inc. (b) 1 17
Sonic Automotive Inc. 3 66
Sonic Corp. (b) 7 153
Stage Stores Inc. (b) 2 82
Steak N Shake Co. (b) 3 50
Stein Mart Inc. (b) 3 47
Systemax Inc. (b) 1 6
TBC Corp. (b) 2 55
The Bon-Ton Stores Inc. 1 7
The Sports Authority Inc. (b) 2 88
Too Inc. (b) 4 62
Tractor Supply Co. (b) 4 148
Trans World Entertainment Corp. (b) 3 25
Triarc Cos. 4 40
Tuesday Morning Corp. (b) 3 81
Tweeter Home Entertainment Group Inc. (b) 2 12
Ultimate Electronics Inc. (b) (l) 1 7
United Auto Group Inc. 2 66
West Marine Inc. (b) 2 42
Wet Seal Inc. (b) (l) 3 13
Whitehall Jewelers Inc. (b) 1 9
Wilsons The Leather Experts Inc. (b) 1 5
World Fuel Services Corp. 1 58
Zale Corp. (b) 6 163
7,002
Savings & Loans - 2.3%
Anchor Bancorp. Inc. 2 62
Bank Mutual Corp. 5 57
BankAtlantic Bancorp. Inc. 5 86
BankUnited Financial Corp. - Class A (b) 3 75
Berkshire Hills Bancorp. Inc. 1 22
BostonFed Bancorp. Inc. - 6
Brookline Bancorp. Inc. 7 99
Camco Financial Corp. 1 12
CFS Bancorp. Inc. 1 19
Charter Financial Corp. 1 19
Citizens First Bancorp. Inc. 1 23
Citizens South Banking Corp. 1 15
Commercial Capital Bancorp. Inc. (b) 4 68
Commercial Federal Corp. 5 127
Dime Community Bancshares Inc. 4 65
Downey Financial Corp. 2 117
ESB Financial Corp. (l) 1 11
EverTrust Financial Group Inc. 1 18
FFLC Bancorp. Inc. - 8
Fidelity Bankshares Inc. 2 54
First Defiance Financial Corp. 1 12
First Federal Capital Corp. 2 67
First Financial Holdings Inc. 2 43
First Niagara Financial Group Inc. 9 109
First Place Financial Corp. 2 28
First Sentinel Bancorp. Inc. 3 57
FirstFed Financial Corp. (b) 2 76
Flag Financial Corp. (l) 1 10
Flagstar Bancorp. Inc. (l) 4 71
Flushing Financial Corp. 2 36
FMS Financial Corp. - 5
Franklin Bank Corp. (b) - 5
Harbor Florida Bancshares Inc. 3 75
Heritage Financial Corp. 1 11
Horizon Financial Corp. 1 27
Hudson River Bancorp. 4 63
Itla Capital Corp. (b) 1 23
KNBT Bancorp. Inc. 1 11
MAF Bancorp. Inc. 3 137
MASSBANK Corp. - 13
MutualFirst Financial Inc. 1 13
NASB Financial Inc. - 12
Northwest Bancorp. Inc. 1 30
OceanFirst Financial Corp. 1 21
Ocwen Financial Corp. (b) 5 55
Oneida Financial Corp. (l) 1 5
Parkvale Financial Corp. (l) 1 15
Partners Trust Financial Group Inc. 1 15
Pennfed Financial Services Inc. - 16
PFF Bancorp. Inc. 1 54
Provident Bancorp. Inc. 2 25
Provident Financial Holdings Inc. 1 15
Provident Financial Services Inc. 6 107
Quaker City Bancorp. Inc. 1 39
Seacoast Financial Services Corp. 4 129
Sound Federal Bancorp. Inc. 1 19
Sterling Financial Corp. (b) 3 84
TierOne Corp. 2 53
United Community Financial Corp. 3 44
Warwick Community Bancorp. Inc. - 13
Waypoint Financial Corp. 4 102
Westfield Financial Inc. 1 12
Willow Grove Bancorp. Inc. 1 16
WSFS Financial Corp. 1 33
2,769
Semiconductors - 3.5%
Actel Corp. (b) 3 55
ADE Corp. (b) - 8
Alliance Semiconductor Corp. (b) 3 15
AMIS Holdings Inc. (b) 4 61
Artisan Components Inc. (b) 3 65
Asyst Technologies Inc. (b) 6 59
ATMI Inc. (b) (l) 4 97
Axcelis Technologies Inc. (b) 11 141
Brooks Automation Inc. (b) 5 97
Ceva Inc. (b) 2 14
ChipPAC Inc. (b) 7 44
Cirrus Logic Inc. (b) 10 58
Cohu Inc. 3 49
Credence Systems Corp. (b) (l) 11 151
Diodes Inc. (b) 1 17
DSP Group Inc. (b) 3 93
Dupont Photomasks Inc. (b) 1 30
Emulex Corp. (b) 9 134
Entegris Inc. (b) 5 55
ESS Technology (b) 4 41
Exar Corp. (b) 4 65
Formfactor Inc. (b) 3 72
Genesis Microchip Inc. (b) 4 52
Helix Technology Corp. 3 60
Integrated Device Technology Inc. (b) 12 165
Integrated Silicon Solutions Inc. (b) 4 52
IXYS Corp. (b) 2 15
Kopin Corp. (b) 9 44
Kulicke & Soffa Industries Inc. (b) (l) 6 61
Lattice Semiconductor Corp. (b) 12 85
LTX Corp. (b) 7 78
Mattson Technology Inc. (b) 5 55
Micrel Inc. (b) 7 90
Microsemi Corp. (b) 6 91
Mindspeed Technologies Inc. (b) 12 59
MIPS Technologies Inc. - Class A (b) 1 5
MKS Instruments Inc. (b) 4 81
Monolithic System Technology Inc. (b) 3 21
Mykrolis Corp. (b) 4 78
Omnivision Technologies Inc. (b) (l) 6 101
ON Semiconductor Corp. (b) 14 70
Pericom Semiconductor Corp. (b) 3 27
Photronics Inc. (b) 4 68
Pixelworks Inc. (b) (l) 5 72
PLX Technology Inc. (b) 2 36
Power Integrations Inc. (b) (l) 3 80
Richardson Electronics Ltd. 1 6
Rudolph Technologies Inc. (b) 1 25
Semitool Inc. (b) 2 20
Sigmatel Inc. (b) 3 81
Silicon Image Inc. (b) 8 106
Siliconix Inc. (b) 1 33
Sipex Corp. (b) 3 18
Sirf Technology Holdings Inc. (b) 1 16
Skyworks Solutions Inc. (b) 17 148
Staktek Holdings Inc. (b) 1 6
Standard Microsystems Corp. (b) 2 46
Supertex Inc. (b) 1 19
Tessera Technologies Inc. (b) 3 52
Three-Five Systems Inc. (b) 2 12
Transmeta Corp. (b) 15 33
Tripath Technology Inc. (b) 4 12
Triquint Semiconductor Inc. (b) 15 81
Ultratech Inc. (b) 2 39
Varian Semiconductor Equipment Associates Inc. (b) 4 158
Veeco Instruments Inc. (b) 3 77
Virage Logic Corp. (b) 1 11
Vitesse Semiconductor Corp. (b) 25 120
White Electronic Designs Corp. (b) 2 12
Xicor Inc. (b) 3 50
Zoran Corp. (b) 5 92
4,240
Software - 3.4%
Advent Software Inc. (b) 3 47
Allscripts Healthcare Solutions Inc. (b) 3 24
Altiris Inc. (b) 2 62
Ansys Inc. (b) 2 77
Ascential Software Corp. (b) 6 102
Aspen Technology Inc. (b) 5 33
Authentidate Holding Corp. (b) (l) 3 34
Borland Software Corp. (b) 9 79
Captaris Inc. (b) 3 22
CCC Information Services Group (b) 1 25
Cerner Corp. (b) (l) 3 152
Computer Programs & Systems Inc. 1 18
Concord Communications Inc. (b) 2 22
Concur Technologies Inc. (b) 3 31
Concurrent Computer Corp. (b) 6 13
Convera Corp. (b) (l) 1 3
CSG Systems International Inc. (b) 6 120
Datastream Systems Inc. (b) 2 14
Dendrite International Inc. (b) 4 76
Digi International Inc. (b) 2 25
Eclipsys Corp. (b) 4 66
eFunds Corp. (b) 5 96
Embarcadero Technologies Inc. (b) 2 29
Epicor Software Corp. (b) 4 58
EPIQ Systems Inc. (b) (l) 1 20
FalconStor Software Inc. (b) (l) 3 22
FILENET Corp. (b) 4 138
Group 1 Software Inc. (b) 1 33
Hyperion Solutions Corp. (b) 5 210
IDX Systems Corp. (b) 2 65
IMPAC Medical Systems Inc. (b) 1 9
Informatica Corp. (b) 9 71
infoUSA Inc. (b) 3 34
Intelidata Technologies Corp. (b) 1 1
Intellisync Corp. (b) (l) 6 17
InterCept Inc. (b) 2 33
Inter-Tel Inc. 2 59
JDA Software Group Inc. (b) 3 37
Keane Inc. (b) 5 75
Lawson Software Inc. (b) 6 46
Mantech International Corp. - Class A (b) 2 33
Manugistics Group Inc. (b) 6 20
MAPICS Inc. (b) 3 27
Micromuse Inc. (b) 8 57
MicroStrategy Inc. - Class A (b) 1 55
Midway Games Inc. (b) (l) 4 47
Mobius Management Systems Inc. (b) 1 5
MRO Software Inc. (b) 2 30
MSC.Software Corp. (b) 3 29
NDCHealth Corp. 4 90
NETIQ Corp. (b) 7 86
Omnicell Inc. (b) 2 26
Onyx Software Corp. (b) - 2
Open Solutions Inc. (b) 1 32
Opnet Technologies Inc. (b) 1 16
Packeteer Inc. (b) 4 58
PalmSource Inc. (b) 2 30
Parametric Technology Corp. (b) 30 152
PDF Solutions Inc. (b) 2 15
Pegasystems Inc. (b) 1 9
Per-Se Technologies Inc. (b) 2 36
Pinnacle Systems Inc. (b) 7 53
PLATO Learning Inc. (b) 2 24
Progress Software Corp. (b) 4 77
QAD Inc. (b) 1 15
Quality Systems Inc. (b) - 19
Quest Software Inc. (b) 5 70
Renaissance Learning Inc. (l) 1 22
Retek Inc. (b) 6 40
Roxio Inc. (b) (l) 4 19
ScanSoft Inc. (b) 10 50
Schawk Inc. 1 13
Seachange International Inc. (b) 3 48
Serena Software Inc. (b) 2 45
SPSS Inc. (b) 2 30
SS&C Technologies Inc. 1 26
SYNNEX Corp. (b) 1 11
Take-Two Interactive Software Inc. (b) 5 151
THQ Inc. (b) 4 95
Tradestation Group Inc. (b) 2 14
Transaction Systems Architects Inc. (b) 4 88
Trident Microsystems Inc. (b) 2 22
Ulticom Inc. (b) 1 16
Ultimate Software Group Inc. (b) 2 16
Vastera Inc. (b) 4 11
Verint Systems Inc. (b) 1 48
VitalWorks Inc. (b) 5 17
Wind River Systems Inc. (b) 8 91
Witness Systems Inc. (b) 2 27
4,112
Storage/Warehousing - 0.0%
Mobile Mini Inc. (b) 2 42
Telecommunications - 0.7%
Alaska Communications Systems Group Inc. (b) 1 6
Arch Wireless Inc. - Class A (b) 2 54
Aspect Communications Corp. (b) 4 63
Cincinnati Bell Inc. (b) 28 123
Commonwealth Telephone Enterprises Inc. (b) 2 112
CT Communications Inc. 2 31
D&E Communications Inc. 1 19
General Communication - Class A (b) 5 44
Golden Telecom Inc. 2 45
Hickory Tech Corp. 1 12
Hungarian Telephone & Cable (b) 1 5
Inet Technologies Inc. (b) 3 31
Infonet Services Corp. (b) 7 11
Intrado Inc. (b) 2 32
Lightbridge Inc. (b) 3 18
MASTEC Inc. (b) 2 12
Metro One Telecommunications Inc. (b) (l) 1 2
Primus Telecommunications GP (b) 8 42
PTEK Holdings Inc. (b) 6 65
Shenandoah Telecom Co. 1 21
SureWest Communications 2 53
Talk America Holdings Inc. (b) (l) 3 26
Time Warner Telecom Inc. (b) 6 25
Warwick Valley Telephone Co. 1 16
868
Telecommunications Equipment - 1.7%
Adaptec Inc. (b) (l) 12 100
Aeroflex Inc. (b) 7 103
Anaren Inc. (b) 2 38
Anixter International Inc. (b) 3 111
Applied Signal Technology Inc. 1 36
Arris Group Inc. (b) 9 56
Athero Communications Inc. (b) 1 11
Avanex Corp. (b) (l) 8 31
Black Box Corp. 2 82
Cable Design Technologies Corp. (b) (l) 5 52
C-COR.net Corp. (b) 5 47
CommScope Inc. (b) 6 131
Computer Network Technology Corp. (b) 3 19
Comtech Telecommunications (b) 2 40
Corvis Corp. (b) (l) 42 59
Ditech Communications Corp. (b) 3 72
Enterasys Networks Inc. (b) 23 48
Extreme Networks Inc. (b) 12 66
Finisar Corp. (b) (l) 18 35
Harmonic Inc. (b) 8 71
Hypercom Corp. (b) 5 46
Ixia (b) 3 26
KVH Industries Inc. (b) 2 22
MRV Communications Inc. (b) (l) 13 35
Netgear Inc. (b) 2 25
Network Equipment Technologies Inc. (b) 3 21
Newport Corp. (b) 4 68
NMS Communications Corp. (b) 5 36
North Pittsburgh Systems Inc. 2 35
Oplink Communications Inc. (b) 8 15
Optical Communication Products Inc. (b) 2 6
Paradyne Networks Corp. (b) 4 23
SafeNet Inc. (b) 3 74
Sonus Networks Inc. (b) 25 117
SR Telecom Inc. (b) - -
Stratos Lightwave Inc. (b) - 1
Sycamore Networks Inc. (b) 20 85
Symmetricom Inc. (b) 5 44
Tekelec (b) 5 98
Terayon Communication Systems Inc. (b) 7 17
TippingPoint Technologies Inc. (b) - 8
Tollgrade Communications Inc. (b) 1 14
Westell Technologies Inc. (b) 6 28
WJ Communications Inc. (b) 3 12
Zhone Technologies Inc. (b) 5 18
2,082
Textiles - 0.1%
Angelica Corp. 1 28
G&K Services Inc. - Class A 2 76
Quaker Fabric Corp. 1 5
Unifirst Corp. 1 29
138
Tobacco - 0.2%
DIMON Inc. 5 30
Standard Commercial Corp. 1 20
Universal Corp. 3 147
Vector Group Ltd. 3 40
237
Toys & Hobbies - 0.2%
Action Performance Cos. Inc. 2 29
Boyds Collection Ltd. (b) 1 4
Department 56 Inc. (b) 1 23
Jakks Pacific Inc. (b) 3 62
Leapfrog Enterprises Inc. (b) (l) 3 64
RC2 Corp. (b) 2 59
Topps Co. Inc. 4 37
278
Transportation - 2.0%
Alexander & Baldwin Inc. 5 173
Amerco Inc. (b) 1 24
Arkansas Best Corp. 3 85
Central Freight Lines Inc. (b) 1 7
Covenant Transport Inc. (b) 1 17
EGL Inc. (b) 4 109
Florida East Coast Industries - Class A 2 91
Forward Air Corp. (b) 2 88
GATX Corp. 6 153
Genesee & Wyoming Inc. - Class A (b) 2 41
Greenbrier Cos. Inc. (b) 1 10
Gulfmark Offshore Inc. (b) 2 24
Heartland Express Inc. 3 91
Hub Group Inc. - Class A (b) 1 20
Interpool Inc. - 6
Kansas City Southern (b) (l) 7 105
Kirby Corp. (b) 2 95
Knight Transportation Inc. (b) 3 77
Laidlaw International Inc. (b) 12 153
Landstar System Inc. (b) 3 176
Maritrans Inc. 1 13
Offshore Logistics Inc. (b) 2 64
Old Dominion Freight Line Inc. (b) 2 57
Overnite Corp. 3 94
Overseas Shipholding Group Inc. 3 137
Pacer International Inc. (b) 3 55
PAM Transportation Services (b) 1 14
Petroleum Helicopters Inc. (b) (l) - 4
RailAmerica Inc. (b) 4 55
SCS Transportation Inc. (b) 2 46
Seabulk International Inc. (b) 1 11
Swift Transportation Co. Inc. (b) 6 102
US Xpress Enterprises Inc. (b) 1 9
USF Corp. 3 104
Werner Enterprises Inc. 6 118
2,430
Venture Capital - 0.0%
Circle Group Holdings Inc. (b) (l) 2 11
Water - 0.2%
American States Water Co. 2 41
California Water Service Group 2 48
Connecticut Water Service Inc. 1 24
Middlesex Water Co. 1 25
Pico Holdings Inc. (b) 1 16
SJW Corp. 1 24
Southwest Water Co. (l) 2 26
204
Wireless Telecommunications - 0.8%
Aether Systems Inc. (b) 4 15
AirGate PCS Inc. (b) 1 24
Airspan Networks Inc. (b) 3 18
Alamosa Holdings Inc. (b) (l) 7 49
Audiovox Corp. (b) 2 31
Boston Communications Group Inc. (b) 2 19
Carrier Access Corp. (b) 2 25
Centennial Communications Corp. (b) 1 11
Dobson Communications Corp. (b) 12 38
EMS Technologies Inc. (b) 1 24
InterDigital Communications Corp. (b) 6 121
Metrocall Holdings Inc. (b) 1 40
Novatel Wireless Inc. (b) 2 53
Powerwave Technologies Inc. (b) 7 54
Price Communications Corp. (b) 4 65
Proxim Corp. - Class A (b) (l) 5 6
REMEC Inc. (b) 7 46
RF Micro Devices Inc. (b) (l) 21 155
SBA Communications Corp. (b) 4 20
Spectralink Corp. 2 30
Stratex Networks Inc. (b) 9 28
Triton PCS Holdings Inc. (b) (l) 4 18
Ubiquitel Inc. (b) 8 32
Viasat Inc. (b) 2 56
Wireless Facilities Inc. (b) 5 54
1,032
Total Common Stocks (cost $105,713) 116,655
Short Term Investments - 4.2%
Money Market Funds - 3.9%
Dreyfus Cash Management Plus, 1.14% (a) (n) 4,830 4,830
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 1.23%, 09/30/04 (m) $300 299
Total Short Term Investments (cost $5,129) 5,129
Total Investments - 99.4% (cost $110,842) 121,784
Other Assets and Liabilities, Net - 0.6% 713
Total Net Assets - 100% $122,497
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Common Stocks - 95.0%
Advertising - 0.8%
JC Decaux SA (b) 31 $668
WPP Group Plc 68 686
1,354
Aerospace & Defense - 3.1%
Boeing Co. 17 884
Empresa Brasiliera de Aeronautica SA - ADR 50 1,418
Lockheed Martin Corp. 15 766
Northrop Grumman Corp. 16 832
Raytheon Co. 36 1,291
5,191
Apparel - 0.3%
Coach Inc. (b) 11 484
Auto Manufacturers - 1.0%
Toyota Motor Corp. 41 1,665
Banks - 8.3%
ABN Amro Holding NV 70 1,525
Anglo Irish Bank Corp. Plc 46 728
Australia & New Zealand Banking Group Ltd. 50 631
Bank One Corp. 58 2,958
Commerce Bancorp. Inc. (l) 6 314
ICICI Bank Ltd. - ADR 73 885
Northern Trust Corp. 12 516
Resona Holdings Inc. (b) 373 663
Royal Bank of Scotland Group Plc 84 2,409
Societe Generale (l) 18 1,488
Wachovia Corp. 37 1,654
13,771
Beverages - 1.5%
Cia de Bebidas das Americas - ADR 35 702
Diageo Plc 25 342
Fomento Economico Mexicano SA de CV 177 807
Grupo Modelo SA 237 593
2,444
Biotechnology - 2.7%
Affymetrix Inc. (b) (l) 26 838
Amgen Inc. (b) 17 917
Genentech Inc. (b) (l) 16 910
Genzyme Corp. (b) 15 719
Human Genome Sciences Inc. (b) 18 214
Millennium Pharmaceuticals Inc. (b) 18 248
Qiagen NV (b) 52 613
4,459
Commercial Services - 0.4%
Nektar Therapeutics Restricted (b) 11 177
Rentokil Initial Plc 180 472
649
Computers - 1.8%
Cadence Design Systems Inc. (b) (l) 114 1,662
International Business Machines Corp. 7 593
Sun Microsystems Inc. (b) 179 777
3,032
Cosmetics & Personal Care - 1.1%
Gillette Co. 32 1,361
Shiseido Co. Ltd. 43 542
1,903
Diversified Financial Services - 3.1%
American Express Co. 26 1,326
Charles Schwab Corp. 55 527
Citigroup Inc. 13 581
Credit Saison Co. Ltd. 29 878
MBNA Corp. 60 1,537
MLP AG (l) 22 327
5,176
Electrical Components & Equipment - 1.4%
Samsung Electronics Co. Ltd. 4 1,565
Sharp Corp. 49 783
2,348
Electronics - 1.3%
Applera Corp. - Applied Biosystems Group 31 674
Keyence Corp. 3 677
Murata Manufacturing Co. Ltd. 13 747
2,098
Engineering & Construction - 0.2%
JGC Corp. 27 260
Leighton Holdings Ltd. 11 69
329
Entertainment - 0.4%
International Game Technology 18 676
Food - 1.4%
Cadbury Schweppes Plc 204 1,756
Carrefour SA 11 540
2,296
Gas - 0.5%
Gail India Ltd. 15 57
Hong Kong & China Gas Co. Ltd. 473 780
837
Healthcare - 1.8%
Cie Generale D'Optique Essilor International SA 11 719
Quest Diagnostics Inc. 17 1,444
Smith & Nephew Plc 83 889
3,052
Holding Companies - Diversified - 0.3%
Hutchison Whampoa Ltd. 82 560
Household Products - 2.8%
Hindustan Lever Ltd. 256 709
Reckitt Benckiser Plc 124 3,511
Societe BIC SA 8 363
4,583
Insurance - 4.2%
ACE Ltd. 31 1,291
Aegon NV 102 1,226
Allianz AG 14 1,481
Berkshire Hathaway Inc. - Class B (b) - 1,330
Everest Re Group Ltd. 8 635
Manulife Financial Corp. (l) 23 930
6,893
Internet - 1.9%
Amazon.Com Inc. (b) 18 952
Symantec Corp. (b) 19 849
Trend Micro Inc. 21 909
Yahoo Japan Corp. (b) - 438
3,148
Media - 7.5%
Grupo Televisa SA - ADR 26 1,159
Pearson Plc 120 1,464
Reed Elsevier Plc 88 858
Singapore Press Holdings Ltd. 359 867
Sirius Satellite Radio Inc. (b) (l) 1,499 4,615
Societe Television Francaise 1 22 686
Television Broadcasts Ltd. 285 1,221
Wolters Kluwer NV 46 829
ZEE Telefilms Ltd. 287 788
12,487
Office & Business Equipment - 0.4%
Canon Inc. (l) 13 685
Oil & Gas Producers - 6.3%
BP Plc - ADR 25 1,340
Burlington Resources Inc. 20 738
ChevronTexaco Corp. 15 1,365
EnCana Corp. 22 937
ENI-Ente Nazionale Idrocarburi SpA (l) 34 671
GlobalSantaFe Corp. 55 1,460
Husky Energy Inc. (l) 76 1,458
Oil & Natural Gas Corp. Ltd. 11 156
Total Fina Elf SA 4 675
Transocean Inc. (b) 56 1,618
10,418
Oil & Gas Services - 0.9%
Technip-Coflexip SA 11 1,460
Pharmaceuticals - 9.2%
AstraZeneca Plc 17 748
Aventis SA (l) 11 805
Chugai Pharmaceutical Co. Ltd. 46 722
Eli Lilly & Co. 10 692
Express Scripts Inc. - Class A (b) 10 800
Gilead Sciences Inc. (b) 22 1,454
Mylan Laboratories Inc. 27 549
Novartis AG 25 1,096
Pfizer Inc. 41 1,403
Roche Holding AG Genusschein 19 1,901
Sanofi-Synthelabo SA (l) 34 2,154
Schering-Plough Corp. 49 902
Shionogi & Co. Ltd. 75 1,289
Teva Pharmaceutical Industries Ltd. - ADR 11 740
15,255
Retail - 5.9%
Boots Group Plc 63 789
Circuit City Stores Inc. - Circuit City Group (l) 79 1,017
Dixons Group Plc 556 1,668
Gap Inc. 33 795
Hennes & Mauritz AB - Class B (l) 121 3,121
Panera Bread Co. - Class A (b) (l) 8 276
RadioShack Corp. 20 578
Seven-Eleven Japan Co. Ltd. 19 620
Starbucks Corp. (b) 21 896
9,760
Semiconductors - 3.0%
Advanced Micro Devices Inc. (b) (l) 119 1,894
National Semiconductor Corp. (b) 70 1,535
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 182 1,513
4,942
Shipbuilding - 0.3%
Hyundai Heavy Industries 20 479
Software - 4.4%
BEA Systems Inc. (b) 52 426
Electronic Arts Inc. (b) 5 284
IMS Health Inc. 33 774
Infosys Technologies Ltd. 11 1,342
Novell Inc. (b) 82 684
Red Hat Inc. (b) (l) 39 889
SAP AG (l) 10 1,734
Sybase Inc. (b) 35 636
Veritas Software Corp. (b) 20 543
7,312
Telecommunications - 3.0%
Amdocs Ltd. (b) 25 588
France Telecom SA 56 1,462
KDDI Corp. 1 2,962
Tele Norte Leste Participacoes SA 3 -
5,012
Telecommunications Equipment - 5.3%
Alcatel SA (b) 64 992
Cisco Systems Inc. (b) 57 1,353
JDS Uniphase Corp. (b) 280 1,063
Juniper Networks Inc. (b) 27 656
Scientific-Atlanta Inc. 20 676
Tandberg ASA (l) 160 1,689
Telefonaktiebolaget LM Ericsson (b) 796 2,345
8,774
Transportation - 0.3%
Amadeus Global Travel Distribution SA (l) 88 576
Venture Capital - 0.4%
3i Group Plc 56 623
Wireless Telecommunications - 7.6%
NTT DoCoMo Inc. 1 1,340
Qualcomm Inc. 65 4,722
SK Telecom Co. Ltd. - 30
SK Telecom Co. Ltd. - ADR (l) 46 956
Vodafone Group Plc 2,536 5,553
12,601
Total Common Stocks (cost $137,996) 157,332
Preferred Stocks - 1.7%
Auto Manufacturers - 1.1%
Porsche AG 3 1,755
Telecommunications - 0.7%
Tele Norte Leste Participacoes SA 85,798 1,086
Total Preferred Stocks (cost $2,328) 2,841
Corporate Bonds - 0.0%
Cosmetics & Personal Care - 0.0%
Hindustan Debenture, 9.00%, 01/01/05 INR 926 21
Total Corporate Bonds (cost $20) 21
Short Term Investments - 5.7%
Money Market Funds - 5.7%
Dreyfus Cash Management Plus, 1.14% (a) $8,260 8,260
Dreyfus Government Cash Management, 0.96% (a) 1,145 1,145
Total Short Term Investments (cost $9,405) 9,405
Total Investments - 102.4% (cost $149,749) 169,599
Other Assets and Liabilities, Net - (2.4%) (3,931)
Total Net Assets - 100% $165,668
JNL/OPPENHEIMER GROWTH FUND
Common Stocks - 98.4%
Beverages - 2.9%
Coca-Cola Co. 4 $187
PepsiCo Inc. 10 545
732
Biotechnology - 7.2%
Amgen Inc. (b) 14 744
Genentech Inc. (b) 14 808
Genzyme Corp. (b) 2 76
Invitrogen Corp. (b) 2 137
Medimmune Inc. (b) 3 71
1,836
Commercial Services - 0.9%
Accenture Ltd. (b) 8 228
Computers - 6.3%
Dell Inc. (b) 23 827
EMC Corp. (b) 36 412
International Business Machines Corp. 4 309
Sun Microsystems Inc. (b) 15 64
1,612
Cosmetics & Personal Care - 2.1%
Avon Products Inc. 9 423
Estee Lauder Cos. Inc. 2 112
535
Diversified Financial Services - 6.4%
American Express Co. 14 712
Citigroup Inc. 13 626
Morgan Stanley 5 285
1,623
Electronics - 0.5%
Au Optronics Corp. (b) 8 124
Food - 0.9%
Sysco Corp. 6 232
Healthcare - 7.8%
Boston Scientific Corp. (b) 12 532
Johnson & Johnson 5 251
Lincare Holdings Inc. (b) 4 138
Stryker Corp. 8 447
Varian Medical Systems Inc. (b) 7 549
Zimmer Holdings Inc. (b) 1 62
1,979
Insurance - 2.9%
AFLAC Inc. 5 188
American International Group Inc. 8 541
729
Internet - 4.7%
eBay Inc. (b) 3 319
Monster Worldwide Inc. (b) (l) 3 64
Opsware Inc. (b) 9 70
Symantec Corp. (b) 12 508
Yahoo! Inc. (b) 6 224
1,185
Leisure Time - 0.9%
Harley-Davidson Inc. (l) 4 235
Manufacturing - 4.7%
General Electric Co. 37 1,206
Media - 2.8%
Clear Channel Communications Inc. 7 250
Comcast Corp. - Class A (b) 10 269
COX Communications Inc. (b) (l) 7 206
725
Oil & Gas Services - 2.4%
BJ Services Co. (b) 6 285
Halliburton Co. 4 127
Schlumberger Ltd. 3 191
603
Pharmaceuticals - 10.1%
Elan Corp. Plc - ADR (b) 5 119
Eli Lilly & Co. 6 405
Gilead Sciences Inc. (b) 6 396
Pfizer Inc. 33 1,141
Teva Pharmaceutical Industries Ltd. - ADR 8 505
2,566
Retail - 9.1%
Cabela's Inc. - Class A (b) - 5
Costco Wholesale Corp. 5 189
Gap Inc. 10 245
McDonald's Corp. 2 55
Staples Inc. 19 560
Target Corp. 9 367
Walgreen Co. 5 176
Wal-Mart Stores Inc. 14 735
2,332
Semiconductors - 6.9%
ASML Holding NV - NYS (b) 8 135
Broadcom Corp. (b) 3 140
Intel Corp. 25 677
International Rectifier Corp. (b) 4 166
Marvell Technology Group Ltd. (b) 3 69
Silicon Laboratories Inc. (b) 5 227
Texas Instruments Inc. 15 351
1,765
Software - 12.1%
Adobe Systems Inc. 5 224
Computer Associates International Inc. 11 320
Mercury Interactive Corp. (b) 3 130
Microsoft Corp. 44 1,268
Novell Inc. (b) 11 91
Oracle Corp. (b) 28 329
SAP AG - ADR 3 130
Siebel Systems Inc. (b) 15 158
Veritas Software Corp. (b) 16 433
3,083
Telecommunications Equipment - 6.0%
Cisco Systems Inc. (b) 29 687
Corning Inc. (b) 19 243
LM Ericsson Telephone Co. (b) 6 191
Scientific-Atlanta Inc. 12 403
1,524
Transportation - 0.8%
Expeditors International of Washington Inc. 1 64
FedEx Corp. 2 131
195
Total Common Stocks (cost $24,229) 25,049
Short Term Investments - 1.9%
Money Market Funds - 1.9%
Dreyfus Cash Management Plus, 1.14% (a) 472 472
Total Short Term Investments (cost $472) 472
Total Investments - 100.3% (cost $24,701) 25,521
Other Assets and Liabilities, Net - (0.3%) (66)
Total Net Assets - 100% $25,455
JNL/PIMCO TOTAL RETURN BOND FUND
Preferred Stocks - 0.6%
Banks - 0.6%
DG Funding Trust (b) (e) - $2,139
Total Preferred Stocks (cost $2,097) 2,139
Corporate Bonds - 11.3%
Asset Backed Securities - 7.8%
Ameriquest Mortgage Securities Inc.,
1.57%, 08/25/32 (g) $151 151
Amortizing Residential Collateral Trust
1.59%, 07/25/32 (g) 308 308
1.62%, 07/25/32 536 537
Bank of America Mortgage Securities
6.50%, 10/25/31 771 771
6.50%, 02/25/33 302 309
Bear Stearns Adjustable Rate Mortgage Trust
3.86%, 11/25/30 (g) 23 23
5.29%, 10/25/32 (g) 45 45
5.38%, 02/25/33 (g) 347 350
5.64%, 02/25/33 (g) 127 127
5.15%, 04/25/33 579 580
4.80%, 01/25/34 (g) 1,578 1,573
CDC Mortgage Capital Trust, 1.59%, 01/25/33 (g) 357 357
Countrywide Asset-Backed Certificates,
1.53%, 06/25/31 (g) 44 44
Countrywide Home Loan Mortgage Pass Through Trust,
1.57%, 04/25/34 1,622 1,611
Credit-Based Asset Servicing and Securitization,
1.62%, 06/25/32 (g) 107 107
CS First Boston Mortgage Securities Corp.
1.95%, 11/25/31 (g) 17 17
1.70%, 02/25/32 (g) 41 41
Equity One ABS Inc., 1.58%, 11/25/32 (g) 422 422
First Nationwide Trust, 1.90%, 09/25/31 (g) 17 18
GSAMP Trust, 1.49%, 10/25/33 2,762 2,760
HFC Home Equity Loan Asset Backed Certificates,
1.45%, 10/20/32 1,343 1,344
IMPAC CMB Trust, 1.55%, 01/25/34 1,135 1,131
Indymac ARM Trust, 6.587%, 01/25/32 (g) 11 11
Irwin Low Balance Home Equity Loan Trust,
1.675%, 06/25/21 (e) (g) 20 21
Mellon Residential Funding Corp.
1.77%, 10/20/29 (g) 800 750
1.58%, 06/15/30 1,720 1,708
Mid-State Trust, 8.33%, 04/01/30 (g) 32 34
Morgan Stanley Capital I, 6.59%, 10/03/30 28 28
Prime Mortgage Trust
1.50%, 02/25/19 140 140
1.70%, 02/25/34 565 564
Residential Asset Mortgage Products Inc.,
1.55%, 02/25/34 2,943 2,942
Residential Asset Securitization Trust, 7.13%, 07/25/31 (g) 155 155
Sequoia Mortgage Trust, 1.63%, 10/19/26 (g) 609 609
Small Business Administration Participation Certificate
6.29%, 01/01/21 79 84
5.13%, 09/01/23 98 98
5.52%, 06/01/24 1,900 1,922
Structured Asset Investment Loan Trust, 1.42%, 06/25/33 808 808
Structured Asset Mortgage Investments Inc.,
1.61%, 09/19/32 (g) 801 803
Structured Asset Securities Corp.
1.75%, 06/25/17 (g) 283 283
1.78%, 03/25/31 (g) 69 70
6.0719%, 02/25/32 (g) 18 18
1.59%, 01/25/33 (g) 75 75
1.26%, 08/25/33 680 681
Torrens Trust, 1.50%, 07/15/31 (e) (g) 104 105
Vendee Mortgage Trust, 6.50%, 09/15/24 1,129 1,156
Washington Mutual, 2.629%, 08/25/42 (g) 3,056 3,086
Washington Mutual MSC Mortgage Pass-
Through Certificates, 5.39%, 02/25/31 (g) 256 262
Washington Mutual Pass-Through Certificates,
5.1595%, 10/25/32 (g) 239 242
Wells Fargo Mortgage Backed Securities Trust,
4.9696%, 09/25/32 (g) 67 68
29,349
Auto Manufacturers - 0.1%
DaimlerChrysler NA Holding Corp., 6.90%, 09/01/04 500 503
Banks - 0.2%
Banque Centrale de Tunisie, 7.50%, 08/06/09 (e) 300 412
Fifth Third Bank, 7.75%, 08/15/10 500 524
936
Chemicals - 0.1%
Dow Chemical Co., 8.04%, 07/02/05 69 70
Diversified Financial Services - 0.7%
Atlas Reinsurance Plc, 3.95%, 01/07/05 (e) (g) 750 755
CIT Group Inc., 2.49%, 07/30/04 (g) 600 601
CS First Boston Mortgage Securities Corp.,
2.4782%, 03/25/32 (g) 551 554
Ford Motor Credit Co., 7.50%, 03/15/05 300 310
Gemstone Investors Ltd., 7.71%, 10/31/04 (e) 100 101
General Motors Acceptance Corp., 1.50%, 07/21/04 (g) 100 100
UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 310
2,731
Electric - 1.1%
AEP Texas Central Co., 2.50%, 02/15/05 200 200
Appalachian Power Co., 4.80%, 06/15/05 700 714
Pacific Gas & Electric Co., 2.30%, 04/03/06 3,200 3,202
4,116
Electronics - 0.1%
Parker Hannifin Employee Stock Ownership Trust,
6.34%, 07/15/08 (e) 122 129
Pipelines - 0.7%
El Paso Corp.
8.05%, 10/15/30 (l) 1,000 815
7.80%, 08/01/31 1,500 1,204
7.75%, 01/15/32 (l) 800 642
2,661
Telecommunications - 0.1%
Qwest Corp., 9.1256%, 03/15/12 (e) 300 324
Sprint Capital Corp., 6.00%, 01/15/07 200 209
533
Wireless Telecommunications - 0.4%
Verizon Wireless Capital LLC, 1.19%, 05/23/05 (e) 1,400 1,399
Total Corporate Bonds (cost $41,904) 42,427
Government Securities - 25.4%
Sovereign - 3.3%
Federal Republic of Brazil
2.5625%, 04/15/06 (g) (l) 160 $158
11.50%, 03/12/08 (l) 200 214
11.00%, 01/11/12 680 684
11.00%, 08/17/40 550 518
Mexico Government International Bond, 8.125%, 12/30/19 500 535
Panama Government International Bond, 8.875%, 09/30/27 200 194
Peru Government International Bond, 9.875%, 02/06/15 (l) 600 627
Republic of Brazil, 2.1875%, 04/15/09 153 138
Republic of Germany
5.25%, 07/04/10 3,000 3,920
5.25%, 01/04/11 800 1,047
Republic of Panama
9.375%, 07/23/12 200 219
9.375%, 01/16/23 200 204
Republic of Peru, 9.125%, 02/21/12 (l) 600 615
Republic of South Africa, 9.125%, 05/19/09 100 116
United Mexican States
8.375%, 01/14/11 200 226
6.375%, 01/16/13 250 250
8.00%, 09/24/22 (l) 800 831
8.30%, 08/15/31 1,400 1,466
United Mexican States-Value Recovery Right
0.00%, 06/30/05 (g) 6,900 155
0.00%, 06/30/06 (g) 4,600 104
0.00%, 06/30/07 (g) 4,600 83
12,304
U.S. Government Agencies - 17.9%
Federal Home Loan Mortgage Corp.
6.00%, 03/01/16 226 234
6.00%, 08/01/16 87 90
5.00%, 09/15/16 225 230
5.00%, 11/01/18 882 885
6.25%, 08/25/22 213 215
7.00%, 05/15/23 1,125 1,177
3.579%, 07/01/27 (g) 7 7
1.69%, 11/15/30 (g) 33 33
7.50%, 03/01/32 196 193
6.50%, 08/01/32 347 362
6.00%, 10/01/32 517 529
6.00%, 03/01/33 718 735
6.00%, 08/01/33 288 294
Federal National Mortgage Association
5.00%, TBA (c) 31,600 30,562
5.50%, TBA (c) 4,000 3,986
0.00%, 10/01/04 2,300 2,291
5.50%, 11/01/13 23 24
6.00%, 06/01/14 16 17
5.50%, 03/01/16 261 268
6.00%, 04/01/16 398 416
6.00%, 05/01/16 104 108
6.00%, 06/01/16 41 43
6.00%, 08/01/16 131 137
6.00%, 09/01/16 63 66
6.00%, 11/01/16 238 247
5.50%, 12/01/16 603 620
5.50%, 01/01/17 1,861 1,909
6.00%, 02/01/17 66 70
5.50%, 03/01/17 190 195
6.00%, 03/01/17 366 381
6.00%, 04/01/17 442 458
5.50%, 05/01/17 268 275
6.00%, 05/01/17 60 62
5.50%, 08/01/17 629 645
5.50%, 09/01/17 126 130
5.50%, 10/01/17 834 855
6.00%, 10/01/17 182 190
5.50%, 11/01/17 490 502
5.50%, 12/01/17 486 499
5.50%, 03/01/18 1,368 1,402
5.00%, 05/01/18 25 25
5.00%, 08/01/18 2,678 2,687
5.00%, 10/01/18 760 763
6.50%, 11/01/32 370 386
6.00%, 03/01/33 117 119
5.00%, 04/25/33 2,689 2,664
5.50%, 11/01/33 980 978
5.50%, 02/01/34 1,980 1,974
5.50%, 03/01/34 989 986
3.58%, 09/01/40 (g) 109 111
6.50%, 12/25/42 319 332
1.45%, 03/25/44 2,869 2,868
FHA St. Regis Nursing Home, 7.449%, 08/01/10 52 57
Government National Mortgage Association,
3.00%, 04/20/34 500 487
Government National Mortgage Association II
4.375%, 05/20/26 (g) 289 290
3.375%, 02/20/27 (g) 28 28
4.00%, 04/20/30 (g) 78 78
3.50%, 05/20/30 (g) (l) 60 60
2.75%, 02/20/32 (g) 701 680
3.00%, 02/20/32 (g) 423 411
Resolution Fund Corp. - Principal Only, 5.753%, 10/15/20 400 159
67,485
U.S. Treasury Securities - 4.2% U.S. Treasury Inflation Indexed Note,
3.375%, 01/15/07 (l) (m) 593 635
U.S. Treasury Note
3.625%, 01/15/08 (l) 8,261 9,028
3.875%, 01/15/09 (l) 5,387 6,006
4.25%, 01/15/10 (l) 112 129
15,798
Total Government Securities (cost $94,406) 95,587
Municipals - 4.8%
Clark County Nevada, 5.00%, 06/01/32 1,900 1,864
County of Harris Texas, 5.00%, 10/01/11 700 758
Detroit Michigan Sewer Disposal, 5.00%, 07/01/32 2,800 2,767
Energy Northwest Washington Electrical, 5.50%, 07/01/14 100 110
Illinois St Taxable Pension, 5.10%, 06/01/33 4,000 3,549
La Quinta Redevelopment Agency Tax Allocation,
5.10%, 09/01/31 200 198
Lower Colorado River Authority
5.00%, 05/15/31 300 293
5.00%, 05/15/33 1,300 1,265
New York State Dormitory Authority, 5.25%, 07/01/11 700 759
Orange County Sanitation District, 5.00%, 02/01/33 200 195
State of Illinois, 5.00%, 03/01/34 200 193
State of Washington, 5.00%, 01/01/27 1,500 1,478
State of Wisconsin, 5.00%, 05/01/12 400 431
Sussex County Municipal Utilities Authority,
5.00%, 12/01/12 1,200 1,296
Tobaco Settlement Financing Corp.
6.125%, 06/01/24 500 456
6.75%, 06/01/39 2,400 2,151
University of Texas, 5.00%, 08/15/33 200 195
Total Municipals (cost $18,975) 17,958
Short Term Investments - 68.9%
Commercial Paper - 37.0%
ANZ Inc.
1.04%, 07/06/04 1,000 1,000
1.06%, 07/19/04 9,700 9,694
Bank of Ireland
1.285%, 09/03/04 (f) 8,000 7,982
1.235%, 09/08/04 (f) 3,000 2,993
Barclays US Funding
1.11%, 08/25/04 1,700 1,697
1.28%, 09/21/04 400 399
CBA Finance
1.05%, 07/13/04 1,300 1,300
1.15%, 08/10/04 (f) 4,000 3,995
CDC Commercial Paper Corp.
1.085%, 08/04/04 (f) 5,700 5,694
1.25%, 09/16/04 3,500 3,491
Danske Corp.
1.07%, 07/21/04 1,000 999
1.24%, 09/17/04 (f) 7,800 7,778
1.27%, 09/20/04 1,500 1,496
European Investment Bank, 1.03%, 07/02/04 4,100 4,100
General Electric Capital Corp.
1.04%, 07/08/04 2,600 2,599
0.00%, 09/08/04 3,200 3,192
HBOS Treasury Services Plc
1.055%, 07/16/04 4,800 4,798
1.25%, 08/25/04 100 100
1.335%, 09/09/04 1,300 1,297
1.30%, 09/30/04 400 399
1.64%, 10/26/04 3,000 2,984
ING US Funding LLC, 1.275%, 09/01/04 2,100 2,095
KFW International Finance, 1.095%, 08/10/04 1,200 1,199
Nestle Financial, 1.035%, 07/01/04 4,900 4,900
Pfizer Inc., 1.30%, 08/18/04 2,400 2,396
Rabobank USA, 1.39%, 07/01/04 1,200 1,200
Rabobank USA Financial Corp., 1.24%, 09/13/04 4,500 4,489
Royal Bank of Scotland
1.05%, 07/14/04 3,500 3,499
1.11%, 08/25/04 1,900 1,897
1.135%, 08/26/04 300 299
1.135%, 09/01/04 (f) 4,900 4,890
1.235%, 09/13/04 400 399
Svenska Handelsbank
1.075%, 07/28/04 (f) 6,000 5,995
1.09%, 08/03/04 (f) 4,600 4,595
1.295%, 09/24/04 500 498
Swedbank Discount Note, 1.145%, 09/01/04 500 499
Total Fina Elf, 1.42%, 07/01/04 10,300 10,300
UBS Finance LLC
1.42%, 07/01/04 2,100 2,100
1.04%, 07/06/04 400 400
1.055%, 07/13/04 7,000 6,998
1.07%, 07/15/04 1,300 1,299
0.00%, 09/13/04 300 298
1.27%, 09/23/04 100 100
Westpac Capital Corp.
1.03%, 07/08/04 5,900 5,898
1.385%, 09/10/04 (f) 5,100 5,086
139,316
Money Market Funds - 6.5%
Dreyfus Cash Management Plus, 1.14% (a) 18,749 18,749
Dreyfus Government Cash Management, 0.96% (a) 5,624 5,624
24,373
U.S. Government Agencies - 24.6%
Federal Home Loan Mortgage Corp. Discount Note
1.25%, 08/10/04 7,200 7,191
1.22%, 08/12/04 4,200 4,194
1.33%, 08/17/04 1,800 1,797
1.18%, 08/24/04 7,800 7,786
1.18%, 08/25/04 3,700 3,693
1.24%, 09/01/04 700 699
1.25%, 09/01/04 3,700 3,692
1.28%, 09/07/04 800 798
1.20%, 09/08/04 3,500 3,492
1.46%, 09/14/04 5,900 5,882
1.44%, 09/21/04 4,700 4,685
1.56%, 10/20/04 3,800 3,782
Federal National Mortgage Association Discount Note
0.94%, 07/14/04 900 900
1.06%, 07/21/04 19,600 19,589
1.29%, 08/11/04 3,300 3,296
1.185%, 08/25/04 3,700 3,693
1.225%, 09/01/04 10,000 9,979
1.25%, 09/01/04 3,700 3,692
1.53%, 10/18/04 3,700 3,683
92,523
U.S. Treasury Bills - 0.8% U.S. Treasury Bill
1.17%, 09/02/04 (m) 2,100 2,096
1.20%, 09/16/04 (m) 955 952
3,048
Total Short Term Investments (cost $259,261) 259,260
Total Investments - 111.0% (cost $416,643) 417,371
Other Assets and Liabilities, Net - (11.0%) (41,313)
Total Net Assets - 100% $376,058
JNL/PPM AMERICA BALANCED FUND
Common Stocks - 59.3%
Aerospace & Defense - 1.1%
United Technologies Corp. 41 $3,761
Apparel - 2.1%
Liz Claiborne Inc. 85 3,040
V.F. Corp. 82 3,969
7,009
Auto Manufacturers - 1.7%
Ford Motor Co. (l) 196 3,067
General Motors Corp. (l) 59 2,749
5,816
Auto Parts & Equipment - 0.9%
Delphi Corp. 267 2,849
Banks - 4.0%
Bank of America Corp. 55 4,620
Banknorth Group Inc. 59 1,929
Wachovia Corp. 81 3,587
Wells Fargo & Co. 49 2,804
12,940
Building Materials - 1.1%
Masco Corp. 111 3,468
Chemicals - 2.8%
Ashland Inc. 73 3,855
PPG Industries Inc. 36 2,262
Sherwin-Williams Co. 74 3,066
9,183
Computers - 1.2%
Hewlett-Packard Co. 189 3,979
Diversified Financial Services - 4.1%
Citigroup Inc. 101 4,683
Fannie Mae 65 4,603
JPMorgan Chase & Co. 103 3,986
13,272
Electric - 3.0%
Dominion Resources Inc. 56 3,532
FirstEnergy Corp. 101 3,775
NiSource Inc. 125 2,573
9,880
Food - 2.1%
Kroger Co. (b) 220 3,995
Sara Lee Corp. 124 2,844
6,839
Forest Products & Paper - 1.0%
MeadWestvaco Corp. 106 3,115
Healthcare - 2.3%
HCA Inc. 89 3,710
WellPoint Health Networks Inc. (b) 34 3,786
7,496
Home Furnishings - 0.8%
Maytag Corp. 104 2,559
Household Products - 1.2%
Fortune Brands Inc. 50 3,749
Insurance - 5.8%
American International Group Inc. 58 4,106
Cigna Corp. 37 2,539
Hartford Financial Services Group Inc. 67 4,599
Lincoln National Corp. 83 3,908
Radian Group Inc. 77 3,684
18,836
Iron & Steel - 1.0%
Nucor Corp. 41 3,124
Leisure Time - 0.9%
Brunswick Corp. 68 2,762
Manufacturing - 2.1%
Cooper Industries Ltd. - Class A 51 3,006
General Electric Co. 117 3,804
6,810
Oil & Gas Producers - 4.2%
ChevronTexaco Corp. 44 4,094
ConocoPhillips 53 4,066
Kerr-McGee Corp. 23 1,226
Occidental Petroleum Corp. 85 4,095
13,481
Pharmaceuticals - 2.2%
AmerisourceBergen Corp. (l) 50 2,959
Merck & Co. Inc. 88 4,185
7,144
Retail - 3.1%
Federated Department Stores Inc. 78 3,845
Home Depot Inc. 74 2,591
Sears Roebuck & Co. 98 3,693
10,129
Savings & Loans - 2.4%
Sovereign Bancorp. Inc. 184 4,071
Washington Mutual Inc. 93 3,601
7,672
Software - 1.1%
Computer Associates International Inc. 127 3,572
Telecommunications - 3.8%
BellSouth Corp. 108 2,832
SBC Communications Inc. 141 3,419
Sprint Corp. - FON Group 152 2,682
Verizon Communications Inc. 95 3,445
12,378
Tobacco - 1.4%
Altria Group Inc. 92 4,590
Transportation - 1.9%
Burlington Northern Santa Fe Corp. 107 3,735
CSX Corp. 72 2,343
6,078
Total Common Stocks (cost $154,789) 192,491
Corporate Bonds - 17.3%
Aerospace & Defense - 0.2%
Raytheon Co., 6.75%, 08/15/07 $750 812
Asset Backed Securities - 5.3%
AmeriCredit Automobile Receivables Trust
4.46%, 04/12/09 570 582
3.10%, 11/06/09 500 499
Banc of America Commercial Mortgage Inc.,
5.118%, 07/11/43 750 753
Bank of America Commercial Mortgage
5.676%, 06/11/35 500 525
5.464%, 04/11/37 (g) 500 516
Bank One Issuance Trust, 4.77%, 02/16/16 500 470
BMW Vehicle Owner Trust, 3.52%, 10/25/10 1,000 992
Capital One Master Trust, 4.50%, 06/15/11 500 504
Capital One Multi-Asset Execution Trust, 3.40%, 11/16/09 480 472
Commercial Mortgage Acceptance Corp.,
7.63%, 06/15/31 (g) 500 556
CS First Boston Mortgage Securities Corp.,
6.133%, 04/15/37 500 531
Discover Card Master Trust I, 3.45%, 04/16/09 1,000 1,000
GE Capital Commercial Mortgage Corp.,
6.03%, 08/11/33 (g) 1,000 1,057
Harley-Davidson Motorcycle Trust
1.89%, 02/15/11 665 658
2.00%, 11/15/11 424 418
JPMorgan Commercial Mortgage Finance Corp.
6.613%, 01/15/30 1,000 1,073
6.507%, 10/15/35 (g) 1,000 1,083
MBNA Credit Master Note Trust, 6.55%, 12/15/08 500 527
MBNA Master Credit Card Trust USA, 6.65%, 08/15/11 (e) 500 538
Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 540
Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 591
PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,079
Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,071
WFS Financial Owner Trust, 2.73%, 05/20/11 860 856
World Omni Auto Receivables Trust, 2.20%, 01/15/08 500 496
17,387
Auto Manufacturers - 0.5%
DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 504
General Motors Corp., 7.20%, 01/15/11 (l) 1,000 1,048
1,552
Banks - 0.6%
Bank of America Corp., 7.40%, 01/15/11 (l) 750 850
Popular North America Inc., 3.875%, 10/01/08 500 489
Wachovia Corp., 3.625%, 02/17/09 750 727
2,066
Beverages - 0.3%
Diageo Capital Plc, 3.50%, 11/19/07 1,000 988
Commercial Services - 0.5%
Aramark Services Inc., 7.00%, 07/15/06 1,000 1,065
PHH Corp., 6.00%, 03/01/08 500 528
1,593
Computers - 0.3%
Computer Sciences Corp., 6.75%, 06/15/06 500 533
Hewlett-Packard Co., 5.50%, 07/01/07 500 526
1,059
Diversified Financial Services - 3.3%
American Honda Finance Corp., 4.50%, 05/26/09 (e) 500 500
CIT Group Inc., 7.375%, 04/02/07 1,000 1,094
Citigroup Inc.
3.50%, 02/01/08 250 247
6.00%, 02/21/12 (l) 500 530
Countrywide Home Loans Inc., 5.50%, 08/01/06 1,000 1,042
Ford Motor Credit Co.
6.50%, 01/25/07 1,000 1,051
7.00%, 10/01/13 (l) 250 252
GATX Financial Corp., 6.875%, 12/15/06 100 105
General Electric Capital Corp.
5.875%, 02/15/12 1,000 1,049
6.75%, 03/15/32 500 538
Goldman Sachs Group Inc.
4.125%, 01/15/08 500 502
6.125%, 02/15/33 500 472
Household Finance Corp.
6.375%, 11/27/12 500 530
7.35%, 11/27/32 500 565
JPMorgan Chase & Co., 6.625%, 03/15/12 500 541
Merrill Lynch & Co. Inc., 4.50%, 11/04/10 750 739
Morgan Stanley Dean Witter & Co., 5.80%, 04/01/07 500 529
UFJ Finance Aruba AEC, 6.75%, 07/15/13 500 517
10,803
Electric - 0.7%
Centerpoint Energy Inc.
5.875%, 06/01/08 (l) 300 304
6.95%, 03/15/33 400 428
DTE Energy Co., 6.45%, 06/01/06 500 526
FirstEnergy Corp., 6.45%, 11/15/11 300 311
PSEG Power LLC, 7.75%, 04/15/11 500 566
2,135
Food - 0.4%
General Mills Inc., 6.00%, 02/15/12 500 524
Kraft Foods Inc., 6.50%, 11/01/31 350 354
Safeway Inc., 6.50%, 03/01/11 (l) 500 530
1,408
Forest Products & Paper - 0.2%
Abitibi-Consolidated Inc., 6.95%, 04/01/08 300 304
Weyerhaeuser Co., 7.125%, 07/15/23 350 370
674
Home Builders - 0.1%
Pulte Homes Inc., 6.375%, 05/15/33 450 413
Insurance - 0.3%
ASIF Global Financing Corp., 4.90%, 01/17/13 (e) 500 488
Metlife Inc., 6.50%, 12/15/32 350 358
846
Leisure Time - 0.1%
Royal Caribbean Cruises Ltd., 8.75%, 02/02/11 300 332
Lodging - 0.3%
Hilton Hotels Corp., 8.25%, 02/15/11 (l) 300 334
MGM Mirage, 8.50%, 09/15/10 300 324
Starwood Hotels & Resorts Worldwide Inc.,
7.375%, 05/01/07 300 316
974
Manufacturing - 0.1%
Tyco International Group SA, 6.375%, 10/15/11 300 319
Media - 0.9%
AOL Time Warner Inc., 7.70%, 05/01/32 500 546
Comcast Cable Communications, 7.125%, 06/15/13 500 547
Comcast Corp., 5.85%, 01/15/10 325 339
Echostar DBS Corp., 5.75%, 10/01/08 300 296
Liberty Media Corp., 8.25%, 02/01/30 500 570
Rogers Cable Inc., 6.25%, 06/15/13 300 282
Walt Disney Co., 5.375%, 06/01/07 400 417
2,997
Mining - 0.3%
Codelco Inc., 5.50%, 10/15/13 (e) 500 496
Noranda Inc., 7.25%, 07/15/12 (l) 500 502
998
Oil & Gas Producers - 0.2%
ConocoPhillips, 3.625%, 10/15/07 500 498
Pharmaceuticals - 0.6%
American Home Products Corp., 6.95%, 03/15/11 500 534
Bristol-Myers Squibb Co., 4.75%, 10/01/06 (l) 1,000 1,030
Medco Health Solutions Inc., 7.25%, 08/15/13 500 535
2,099
Real Estate - 0.3%
EOP Operating LP, 7.75%, 11/15/07 750 832
Retail - 0.3%
Target Corp., 5.375%, 06/15/09 (l) 500 521
Yum! Brands Inc., 7.65%, 05/15/08 300 335
856
Savings & Loans - 0.2%
Washington Mutual Inc., 5.625%, 01/15/07 500 523
Telecommunications - 0.6%
Sprint Capital Corp.
6.125%, 11/15/08 250 263
8.375%, 03/15/12 450 517
Verizon Global Funding Corp.
6.125%, 06/15/07 (l) 500 533
7.75%, 12/01/30 500 562
1,875
Tobacco - 0.3%
Imperial Tobacco Overseas BV, 7.125%, 04/01/09 750 816
Wireless Telecommunications - 0.4%
AT&T Wireless Services Inc., 7.875%, 03/01/11 750 853
Vodafone Group Plc, 5.375%, 01/30/15 500 492
1,345
Total Corporate Bonds (cost $56,763) 56,200
Government Securities - 22.1%
U.S. Government Agencies - 16.6%
Federal Home Loan Mortgage Corp.
2.50%, 11/15/05 (l) 425 425
2.375%, 02/15/06 1,875 1,863
2.75%, 11/15/06 (l) 875 866
3.125%, 08/15/07 (l) 1,860 1,836
6.00%, 12/01/10 662 691
5.875%, 03/21/11 (l) 504 530
5.50%, 09/15/11 (l) 896 934
5.125%, 08/20/12 (l) 1,362 1,365
5.50%, 10/01/16 638 654
6.00%, 04/01/17 458 478
6.50%, 11/01/17 200 211
5.00%, 01/01/18 180 181
5.50%, 01/01/18 2 2
5.00%, 04/01/18 244 245
4.50%, 05/01/18 254 249
5.00%, 05/01/18 346 347
4.50%, 09/01/18 271 266
4.50%, 11/01/18 552 540
5.50%, 11/01/18 246 252
4.50%, 03/01/19 1,827 1,787
7.00%, 11/01/30 527 558
7.00%, 02/01/31 223 235
7.00%, 06/01/31 179 189
7.00%, 10/01/32 386 407
6.00%, 11/01/32 770 788
5.50%, 03/01/33 1,496 1,494
4.50%, 06/01/33 241 225
5.50%, 06/01/33 335 335
5.00%, 08/01/33 1,555 1,506
6.50%, 09/01/33 260 272
6.00%, 10/01/33 2,144 2,192
5.50%, 05/01/34 199 199
Federal National Mortgage Association
6.25%, 02/01/11 1,020 1,095
5.50%, 07/18/12 (l) 1,860 1,875
6.00%, 09/01/17 581 606
5.00%, 10/01/17 464 466
5.00%, 11/01/17 202 203
6.00%, 01/01/18 151 158
5.00%, 02/01/18 880 883
4.50%, 04/01/18 576 565
4.50%, 05/01/18 1,272 1,246
5.50%, 09/01/18 544 557
5.00%, 12/01/18 1,145 1,149
5.50%, 12/01/18 241 247
4.50%, 05/01/19 2 2
6.50%, 08/01/28 38 40
7.00%, 09/01/28 70 74
6.50%, 11/01/28 82 85
6.50%, 12/01/28 105 110
6.00%, 03/01/29 477 489
7.50%, 09/01/29 191 204
7.125%, 01/15/30 810 944
7.00%, 08/01/31 223 235
7.00%, 06/01/32 320 338
6.50%, 07/01/32 1,355 1,412
6.50%, 09/01/32 1,232 1,284
6.00%, 10/01/32 541 553
6.50%, 03/01/33 545 568
7.00%, 05/01/33 428 451
5.00%, 07/01/33 430 416
5.00%, 09/01/33 2,143 2,072
6.00%, 10/03/33 535 547
4.50%, 11/01/33 282 264
5.50%, 11/01/33 2,213 2,205
4.50%, 12/01/33 511 479
6.00%, 12/01/33 290 297
5.50%, 03/01/34 810 807
5.50%, 04/01/34 3,212 3,201
5.50%, 05/01/34 250 249
6.00%, 06/01/34 580 593
Government National Mortgage Association
6.50%, 04/15/26 178 188
7.00%, 06/15/28 90 96
7.50%, 04/15/29 78 84
7.00%, 07/15/29 162 172
6.50%, 11/15/31 378 395
6.50%, 09/15/32 (l) 416 435
5.50%, 11/15/32 402 403
6.00%, 11/15/32 317 326
6.00%, 03/15/33 187 192
5.50%, 05/15/33 313 313
5.00%, 10/15/33 533 518
6.00%, 10/20/33 573 586
6.00%, 04/15/34 299 306
Government National Mortgage Association II
5.50%, 05/20/33 564 563
5.00%, 06/20/33 224 216
53,884
U.S. Treasury Securities - 5.5% U.S. Treasury Bond
7.50%, 11/15/16 (l) 4,634 5,713
6.50%, 11/15/26 2,648 3,027
U.S. Treasury Note, 2.375%, 08/15/06 (l) 9,096 9,018
17,758
Total Government Securities (cost $72,317) 71,642
Short Term Investments - 0.8%
Money Market Funds - 0.8%
Dreyfus Cash Management Plus, 1.14% (a) 2,763 2,763
Total Short Term Investments (cost $2,763) 2,763
Total Investments - 99.5% (cost $286,632) 323,096
Other Assets and Liabilities, Net - 0.5% 1,480
Total Net Assets - 100% $324,576
JNL/PPM AMERICA HIGH YIELD BOND FUND
Common Stocks - 0.0%
Machinery - 0.0%
Terex Corp. (b) - $9
Total Common Stocks (cost $1) 9
Warrants - 0.0%
Telecommunications - 0.0%
AT&T Canada Inc., No Strike Price, Expiring 08/15/07 (e) 1 25
Minorplanet Systems USA Inc.,
Strike Price $240.625, Expiring 09/15/05 2 -
Total Warrants (cost $5) 25
Corporate Bonds - 90.8%
Advertising - 0.9%
RH Donnelley Finance Corp. I,
8.875%, 12/15/10 (e) (l) $550 604
10.875%, 12/15/12 (e) (l) 1,000 1,159
Vertis Inc., 9.75%, 04/01/09 500 538
2,301
Aerospace & Defense - 1.3%
Alliant Techsystems Inc., 8.50%, 05/15/11 500 540
BE Aerospace Inc.
9.50%, 11/01/08 (l) 550 531
8.50%, 10/01/10 500 526
L-3 Communications Corp.
7.625%, 06/15/12 500 528
6.125%, 07/15/13 1,000 965
Sequa Corp., 8.875%, 04/01/08 196 206
3,296
Airlines - 1.1%
American Airlines Inc., 7.377%, 05/23/19 878 628
Atlas Air Inc., 7.38%, 01/02/18 454 430
Continental Airlines Inc., 7.875%, 07/02/18 500 470
Delta Air Lines Inc.
7.779%, 11/18/05 500 321
7.90%, 12/15/09 (l) 400 204
United AirLines Inc., 6.201%, 09/01/08 1,000 822
2,875
Alternative Energy - 0.3%
Salton SEA Funding, 8.30%, 05/30/11 641 683
Apparel - 0.2%
Russell Corp., 9.25%, 05/01/10 580 616
Auto Parts & Equipment - 2.5%
ArvinMeritor Inc., 8.75%, 03/01/12 (l) 1,000 1,085
Collins & Aikman Products, 10.75%, 12/31/11 (l) 350 352
Dana Corp.
10.125%, 03/15/10 (l) 455 515
9.00%, 08/15/11 (l) 500 585
TRW Automotive Inc.
9.375%, 02/15/13 446 503
11.00%, 02/15/13 (l) 1,650 1,946
Visteon Corp., 8.25%, 08/01/10 (l) 1,500 1,598
6,584
Beverages - 0.2%
Constellation Brands Inc., 8.125%, 01/15/12 (l) 500 533
Chemicals - 6.1%
Airgas Inc., 6.25%, 07/15/14 500 479
Equistar Chemicals LP, 10.125%, 09/01/08 (l) 1,000 1,095
Equistar Chemicals LP/Equistar Funding Corp.,
10.625%, 05/01/11 (l) 2,000 2,220
FMC Corp., 10.25%, 11/01/09 500 575
Huntsman International LLC, 9.875%, 03/01/09 (l) 2,500 2,700
IMC Global Inc., 10.875%, 06/01/08 500 581
Johnsondiversey Inc., 9.625%, 05/15/12 1,000 1,090
Lyondell Chemical Co.
9.875%, 05/01/07 (l) 1,200 1,254
9.50%, 12/15/08 (l) 600 626
10.50%, 06/01/13 1,700 1,840
Millennium America Inc., 7.00%, 11/15/06 (l) 750 771
Nalco Co., 8.875%, 11/15/13 (e) 1,500 1,570
Nova Chemicals Corp., 6.50%, 01/15/12 (l) 500 493
PolyOne Corp., 10.625%, 05/15/10 (l) 400 424
Union Carbide Chemical & Plastics Co. Inc.,
7.875%, 04/01/23 200 191
Union Carbide Corp.
6.70%, 04/01/09 (l) 100 100
6.79%, 06/01/25 100 101
16,110
Commercial Services - 3.5%
Coinmach Corp., 9.00%, 02/01/10 2,017 2,021
Integrated Electrical Services Inc., 9.375%, 02/01/09 1,000 1,033
Mail-Well I Corp., 9.625%, 03/15/12 500 538
Service Corp. International, 7.70%, 04/15/09 500 513
Stewart Enterprises Inc., 10.75%, 07/01/08 2,000 2,222
United Rentals North America Inc.
6.50%, 02/15/12 550 520
7.75%, 11/15/13 (l) 1,000 945
7.00%, 02/15/14 300 267
Williams Scotsman Inc.
9.875%, 06/01/07 800 794
10.00%, 08/15/08 200 218
9,071
Computers - 0.4%
Unisys Corp.
7.25%, 01/15/05 370 378
8.125%, 06/01/06 630 669
1,047
Distribution & Wholesale - 0.5%
Aviall Inc., 7.625%, 07/01/11 175 182
National Waterworks Inc., 10.50%, 12/01/12 1,000 1,110
1,292
Diversified Financial Services - 1.4%
Case Credit Corp., 6.75%, 10/21/07 250 248
Couche-Tard US LP, 7.50%, 12/15/13 500 500
Global Cash Access LLC, 8.75%, 03/15/12 (e) 500 520
IOS Capital LLC, 7.25%, 06/30/08 85 88
KRATON Polymers LLC/Capital Corp.,
8.125%, 01/15/14 (e) (l) 500 505
Nexstar Finance LLC/Nexstar Finance Inc.,
12.00%, 04/01/08 500 553
Universal City Development Partners, 11.75%, 04/01/10 1,135 1,313
3,727
Electric - 7.4%
AES Corp.
9.50%, 06/01/09 (l) 2,700 2,885
9.00%, 05/15/15 (e) 550 589
AES Eastern Energy LP, 9.00%, 01/02/17 634 682
Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 (l) 1,300 858
Calpine Corp.
8.75%, 07/15/07 (l) 500 355
8.50%, 07/15/10 (e) 400 331
8.50%, 02/15/11 (l) 500 326
8.75%, 07/15/13 (e) (l) 350 287
Centerpoint Energy Inc., 6.85%, 06/01/15 (l) 2,000 2,032
CMS Energy Corp., 8.50%, 04/15/11 (l) 1,000 1,020
Edison International Inc., 6.875%, 09/15/04 500 504
Edison Mission Energy, 10.00%, 08/15/08 200 214
Edison Mission Energy Corp., 9.875%, 04/15/11 (l) 250 261
Empresa Nacional de Electricidad SA
8.50%, 04/01/09 500 546
8.35%, 08/01/13 500 534
Homer City Funding LLC, 8.734%, 10/01/26 100 105
Midwest Generation LLC, 8.56%, 01/02/16 350 345
Mission Energy Holding Co., 13.50%, 07/15/08 (l) 300 336
Nevada Power Co., 9.00%, 08/15/13 500 544
NRG Energy Inc., 8.00%, 12/15/13 (e) 1,000 1,010
Orion Power Holdings Inc., 12.00%, 05/01/10 500 610
PSEG Energy Holdings LLC
10.00%, 10/01/09 (l) 1,000 1,130
8.50%, 06/15/11 500 535
Reliant Energy Inc., 9.50%, 07/15/13 (l) 500 539
Sithe/Independence Funding, 9.00%, 12/30/13 1,000 1,100
South Point Energy Center LLC, 8.40%, 05/30/12 (e) 258 223
TECO Energy Inc.
7.50%, 06/15/10 100 101
7.00%, 05/01/12 900 864
Westar Energy Inc., 7.875%, 05/01/07 500 550
19,416
Electronics - 0.6%
Fisher Scientific International, 8.00%, 09/01/13 500 535
Sanmina-SCI Corp., 10.375%, 01/15/10 1,000 1,145
1,680
Entertainment - 2.5%
Alliance Atlantis Communications Inc., 13.00%, 12/15/09 2,065 2,271
Argosy Gaming Co., 9.00%, 09/01/11 1,000 1,104
Capitol Records Inc., 8.375%, 08/15/09 (e) 300 323
Intrawest Corp., 7.50%, 10/15/13 500 489
Six Flags Inc.
9.50%, 02/01/09 (l) 1,000 1,028
8.875%, 02/01/10 (l) 200 198
Steinway Musical Instruments, 8.75%, 04/15/11 1,000 1,080
6,493
Environmental Control - 1.1%
Allied Waste North America
5.75%, 02/15/11 (e) 450 426
7.875%, 04/15/13 500 523
6.125%, 02/15/14 (e) 800 732
IESI Corp., 10.25%, 06/15/12 1,000 1,090
2,771
Food - 3.0%
Ahold Finance USA Inc., 8.25%, 07/15/10 1,000 1,055
B&G Foods Inc., 9.625%, 08/01/07 500 509
Del Monte Corp.
9.25%, 05/15/11 1,000 1,092
8.625%, 12/15/12 500 539
Delhaize America Inc.
8.125%, 04/15/11 1,500 1,636
9.00%, 04/15/31 200 220
Dole Food Co. Inc., 8.875%, 03/15/11 600 635
Great Atlantic & Pacific Tea Co., 9.125%, 12/15/11 (l) 300 255
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 1,000 965
Smithfield Foods Inc., 8.00%, 10/15/09 500 539
Stater Brothers Holdings, 8.125%, 06/15/12 (e) 400 402
7,847
Forest Products & Paper - 4.1%
Abitibi-Consolidated Inc.
8.55%, 08/01/10 (l) 2,000 2,108
8.85%, 08/01/30 500 487
Cascades Inc., 7.25%, 02/15/13 500 498
Fort James Corp., 6.875%, 09/15/07 1,000 1,050
Georgia-Pacific Corp.
8.125%, 05/15/11 (l) 1,000 1,105
9.375%, 02/01/13 (l) 1,000 1,145
8.875%, 05/15/31 500 534
Millar Western Forest Products Ltd., 7.75%, 11/15/13 350 354
Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,563
Tembec Industries Inc.
8.625%, 06/30/09 (l) 43 44
8.50%, 02/01/11 (l) 1,957 1,976
10,864
Healthcare - 2.5%
Ardent Health Services Inc., 10.00%, 08/15/13 400 428
Coventry Health Care Inc., 8.125%, 02/15/12 483 529
HCA Inc.
6.25%, 02/15/13 (l) 1,200 1,193
7.69%, 06/15/25 1,350 1,339
7.50%, 11/06/33 500 492
IASIS Healthcare LLC, 8.75%, 06/15/14 (e) 800 818
Tenet Healthcare Corp., 6.50%, 06/01/12 (l) 1,300 1,131
Triad Hospitals Inc., 7.00%, 11/15/13 (l) 600 570
6,500
Holding Companies - Diversified - 0.2%
Stena AB, 7.50%, 11/01/13 500 494
Home Builders - 2.6%
Beazer Homes USA Inc., 8.375%, 04/15/12 (l) 1,155 1,219
K Hovnanian Enterprises Inc.
7.75%, 05/15/13 (l) 500 499
6.375%, 12/15/14 (e) 1,000 915
Meritage Corp., 9.75%, 06/01/11 300 330
Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,100
Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,711
Toll Corp., 8.25%, 02/01/11 500 540
WCI Communities Inc., 10.625%, 02/15/11 500 554
6,868
Household Products - 0.6%
Johnsondiversey Holdings Inc., (Step-Up Bond),
10.67%, 05/15/13 2,000 1,540
Insurance - 0.5%
Fairfax Financial Holdings Ltd., 8.30%, 04/15/26 (l) 1,500 1,328
Iron & Steel - 0.3%
AK Steel Corp., 7.75%, 06/15/12 (l) 300 271
United States Steel Corp., 9.75%, 05/15/10 379 419
690
Leisure Time - 0.8%
Royal Caribbean Cruises Ltd., 6.75%, 03/15/08 (l) 2,000 2,070
Lodging - 4.7%
Ameristar Casinos Inc., 10.75%, 02/15/09 2,000 2,280
Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,010
Hilton Hotels Corp., 8.25%, 02/15/11 (l) 1,000 1,113
Mandalay Resort Group, 10.25%, 08/01/07 (l) 750 833
MGM MIRAGE, 9.75%, 06/01/07 (l) 2,000 2,185
Park Place Entertainment Corp.
8.875%, 09/15/08 1,000 1,085
8.125%, 05/15/11 (l) 1,000 1,060
Premier Entertainment Biloxi LLC, 10.75%, 02/01/12 (e) 600 630
Starwood Hotels & Resorts Worldwide Inc.,
7.875%, 05/01/12 1,000 1,070
Venetian Casino Resort LLC, 11.00%, 06/15/10 1,000 1,155
12,421
Machinery - 1.0%
AGCO Corp., 9.50%, 05/01/08 538 586
Case New Holland Inc., 9.25%, 08/01/11 (e) 1,200 1,260
Manitowoc Co., 7.125%, 11/01/13 (l) 200 200
Terex Corp., 10.375%, 04/01/11 (l) 500 558
2,604
Manufacturing - 2.5%
Avondale Mills Inc., 10.25%, 07/01/13 155 93
Bombardier Inc., 6.75%, 05/01/12 (e) 1,000 902
Tyco International Group SA
6.75%, 02/15/11 1,500 1,630
7.00%, 06/15/28 (l) 3,700 3,928
6,553
Media - 8.7%
American Media Operation Inc., 8.875%, 01/15/11 (l) 425 411
CanWest Media Inc., 10.625%, 05/15/11 500 561
Charter Communications Holdings LLC, 10.00%, 04/01/09 2,000 1,670
Charter Communications Operating LLC,
8.00%, 04/30/12 (e) 500 484
Corus Entertainment Inc., 8.75%, 03/01/12 1,068 1,141
CSC Holdings Inc.
7.625%, 04/01/11 2,000 2,005
7.875%, 02/15/18 1,000 952
Dex Media East LLC
9.875%, 11/15/09 1,250 1,403
12.125%, 11/15/12 (l) 500 584
Dex Media West LLC, 9.875%, 08/15/13 1,000 1,098
DIRECTV Holdings LLC, 8.375%, 03/15/13 1,000 1,106
Echostar DBS Corp., 6.375%, 10/01/11 1,000 985
Hollinger International Publishing Inc., 9.00%, 12/15/10 1,000 1,155
Houghton Mifflin Co.
8.25%, 02/01/11 270 270
9.875%, 02/01/13 340 340
Mediacom Capital Corp., 9.50%, 01/15/13 (l) 1,982 1,913
Primedia Inc., 8.00%, 05/15/13 (e) 1,500 1,410
Rogers Cable Inc., 6.25%, 06/15/13 1,000 941
Rogers Cablesystems Ltd., 10.00%, 03/15/05 1,100 1,142
Shaw Communications Inc., 7.20%, 12/15/11 500 517
Sun Media Corp., 7.625%, 02/15/13 1,000 1,020
Vivendi Universal SA, 9.25%, 04/15/10 1,500 1,773
22,881
Mining - 0.8%
Peabody Energy Corp., 6.875%, 03/15/13 (l) 750 759
USEC Inc., 6.625%, 01/20/06 500 495
Vale Overseas Ltd., 8.25%, 01/17/34 (l) 950 827
2,081
Office & Business Equipment - 1.2%
General Binding Corp., 9.375%, 06/01/08 2,000 2,068
Xerox Corp., 9.75%, 01/15/09 (g) (l) 1,000 1,137
3,205
Oil & Gas Producers - 3.9%
Chesapeake Energy Corp., 8.125%, 04/01/11 1,000 1,080
Denbury Resources Inc., 7.50%, 04/01/13 1,000 1,005
El Paso CGP Co., 7.75%, 06/15/10 (l) 1,500 1,354
El Paso Production Holding Co., 7.75%, 06/01/13 500 459
Evergreen Resources Inc., 5.875%, 03/15/12 (e) 500 505
Giant Industries Inc., 8.00%, 05/15/14 150 150
Newfield Exploration Co., 7.625%, 03/01/11 975 1,058
Parker Drilling Co., 9.625%, 10/01/13 500 519
Pioneer Natural Resources Co., 7.50%, 04/15/12 1,000 1,132
Premcor Refining Group Inc., 9.50%, 02/01/13 300 346
Tesoro Petroleum Corp.
8.00%, 04/15/08 (l) 150 160
9.00%, 07/01/08 2,000 2,060
Vintage Petroleum Inc., 8.25%, 05/01/12 500 530
10,358
Oil & Gas Services - 0.3%
Key Energy Services Inc., 6.375%, 05/01/13 500 472
Universal Compression Inc., 7.25%, 05/15/10 (l) 200 207
679
Packaging & Containers - 3.2%
Berry Plastics Corp., 10.75%, 07/15/12 1,300 1,443
Crown Cork & Seal Co. Inc., 7.375%, 12/15/26 1,500 1,245
Graphic Packaging International Corp., 9.50%, 08/15/13 1,250 1,356
Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 1,000 1,040
Kappa Beheer BV, 10.625%, 07/15/09 800 836
Owens-Brockway, 8.875%, 02/15/09 1,000 1,080
Owens-Illinois Inc., 8.10%, 05/15/07 (l) 1,000 1,030
Solo Cup Co., 8.50%, 02/15/14 (e) (l) 500 465
8,495
Pharmaceuticals - 0.8%
AmerisourceBergen Corp., 8.125%, 09/01/08 400 431
Omnicare Inc., 8.125%, 03/15/11 1,500 1,605
2,036
Pipelines - 4.7%
ANR Pipeline Co., 8.875%, 03/15/10 1,000 1,093
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 500 538
10.125%, 07/15/13 (e) (l) 1,500 1,623
El Paso Corp.
6.75%, 05/15/09 (l) 500 453
7.875%, 06/15/12 (l) 2,000 1,795
7.75%, 01/15/32 (l) 1,700 1,364
Southern Natural Gas Co., 8.875%, 03/15/10 500 546
Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,694
Transmontaigne Inc., 9.125%, 06/01/10 500 515
Williams Cos Inc.
8.625%, 06/01/10 (l) 225 248
7.125%, 09/01/11 (l) 1,000 1,015
8.125%, 03/15/12 (l) 500 534
8.75%, 03/15/32 1,000 1,000
12,418
Real Estate - 1.8%
Choctaw Resort Development Enterprise, 9.25%, 04/01/09 2,000 2,150
Felcor Lodging LP, 10.00%, 09/15/08 (l) 925 976
Host Marriott Corp., 7.875%, 08/01/08 214 219
Host Marriott LP, 7.125%, 11/01/13 1,050 1,029
Meristar Hospitality Corp., 9.125%, 01/15/11 (l) 450 455
4,829
Retail - 3.3%
Domino's Inc., 8.25%, 07/01/11 250 265
Gap Inc., 10.55%, 12/15/08 (g) (l) 500 605
J.C. Penney Co. Inc.
8.25%, 08/15/22 350 364
7.125%, 11/15/23 (l) 500 513
7.40%, 04/01/37 1,000 1,055
Michaels Stores Inc., 9.25%, 07/01/09 1,000 1,095
Petro Stopping Centers LP, 9.00%, 02/15/12 (e) (l) 500 495
Saks Inc.
7.50%, 12/01/10 630 655
7.00%, 12/01/13 294 290
Toys R US Inc., 7.875%, 04/15/13 (l) 1,000 1,004
Tricon Global Restaurants Inc., 8.875%, 04/15/11 2,000 2,413
8,754
Semiconductors - 0.8%
Amkor Technology Inc., 7.75%, 05/15/13 (l) 1,000 948
Fairchild Semiconductor International Inc.,
10.50%, 02/01/09 1,000 1,087
2,035
Telecommunications - 4.2%
Charter Communication Holdings LLC,
10.25%, 09/15/10 (l) 1,000 1,008
Inmarsat Finance Plc, 7.625%, 06/30/12 (e) 100 97
Insight Midwest Capital Inc., 9.75%, 10/01/09 (l) 500 528
Insight Midwest LP/Insight Capital Inc.,
10.50%, 11/01/10 (e) (l) 500 545
NTL Cable Plc, 8.75%, 04/15/14 (e) (l) 600 615
PanAmSat Corp., 8.50%, 02/01/12 500 568
Qwest Corp.
5.625%, 11/15/08 1,500 1,466
7.50%, 06/15/23 1,800 1,588
Qwest Services Corp.
13.00%, 12/15/07 (e) (l) 1,500 1,710
13.50%, 12/15/10 (e) 2,500 2,905
11,030
Telecommunications Equipment - 0.4%
Nortel Networks Ltd., 6.125%, 02/15/06 (l) 1,000 1,005
Tobacco - 1.0%
DIMON Inc., 9.625%, 10/15/11 1,820 1,838
RJ Reynolds Tobacco Holdings Inc., 7.25%, 06/01/12 700 679
2,517
Transportation - 0.5%
Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,217
Wireless Telecommunications - 2.4%
Crown Castle International Corp.
9.375%, 08/01/11 (l) 500 550
10.75%, 08/01/11 (l) 1,000 1,119
Nextel Communications Inc.
6.875%, 10/31/13 500 496
7.375%, 08/01/15 1,000 1,010
Rogers Cantel Inc., 9.75%, 06/01/16 200 227
Rogers Wireless Communications Inc.
9.625%, 05/01/11 1,000 1,122
6.375%, 03/01/14 (e) 500 460
Triton PCS Inc.
9.375%, 02/01/11 (l) 999 854
8.75%, 11/15/11 (l) 500 413
6,251
Total Corporate Bonds (cost $229,557) 238,065
Short Term Investments - 7.3%
Money Market Funds - 7.3%
Dreyfus Cash Management Plus, 1.14% (a) 13,091 13,091
Dreyfus Government Cash Management, 0.96% (a) 6,435 6,435
Total Short Term Investments (cost $19,526) 19,526
Total Investments - 98.1% (cost $249,089) 257,625
Other Assets and Liabilities, Net - 1.9% 4,968
Total Net Assets - 100% $262,593
JNL/PPM AMERICA MONEY MARKET FUND
Commercial Paper - 97.1%
Banks - 1.1%
Royal Bank of Scotland, 1.08%, 07/09/04 $2,000 $2,000
Diversified Financial Services - 96.0%
American Express Credit Corp., 1.03%, 07/23/04 9,500 9,494
American General Finance Corp.
1.13%, 08/02/04 1,000 999
1.29%, 08/23/04 8,400 8,384
American Honda Finance Corp., 1.20%, 07/28/04 7,500 7,493
Bank of Nova Scotia, 1.02%, 07/06/04 8,000 7,999
BMW US Capital Corp., 1.26%, 07/26/04 9,000 8,992
Chevron Texaco Corp., 1.10%, 07/16/04 8,000 7,996
Citigroup Global Markets Holding Inc.
1.03%, 07/01/04 7,900 7,900
1.04%, 07/01/04 1,000 1,000
Countrywide Home Loans, 1.32%, 07/20/04 9,000 8,994
Diageo Capital Plc, 1.23%, 09/02/04 7,400 7,384
E.I. du Pont de Nemours & Co.
1.04%, 07/16/04 1,000 1,000
1.15%, 07/19/04 1,500 1,499
Gannet Co., 1.03%, 07/19/04 9,500 9,495
General Electric Capital Corp.
1.11%, 07/21/04 8,000 7,995
1.24%, 07/21/04 1,000 999
Goldman Sachs Group Inc.
1.06%, 07/19/04 4,000 3,998
1.35%, 08/25/04 5,000 4,990
Household Finance Corp., 1.20%, 07/15/04 9,400 9,396
Merrill Lynch & Co. Inc., 1.45%, 07/01/04 9,000 9,000
Pfizer Inc.
1.05%, 07/08/04 1,000 1,000
1.05%, 07/12/04 2,000 1,999
1.06%, 07/16/04 1,000 1,000
1.09%, 07/26/04 1,000 999
1.28%, 08/25/04 3,000 2,994
Proctor & Gamble Co., 1.13%, 07/12/04 2,000 1,999
Royal Bank of Scotland
1.07%, 07/13/04 4,000 3,999
1.05%, 07/14/04 1,100 1,100
1.13%, 08/06/04 2,300 2,297
Sara Lee Corp.
1.08%, 07/01/04 3,000 3,000
1.11%, 07/02/04 3,000 3,000
1.27%, 07/02/04 1,500 1,500
Target Corp., 1.30%, 07/07/04 9,000 8,998
UBS Finance LLC
1.03%, 07/01/04 9,000 9,000
1.07%, 07/15/04 1,500 1,499
1.03%, 07/19/04 8,200 8,196
177,586
Total Commercial Paper (cost $179,586) 179,586
Money Market Funds - 4.5%
Dreyfus Cash Management Plus, 1.14% (a) 8,282 8,282
Total Money Market Funds (cost $8,282) 8,282
Total Investments - 101.6% (cost $187,868) 187,868
Other Assets and Liabilities, Net - (1.6%) (2,969)
Total Net Assets - 100% $184,899
JNL/PPM AMERICA VALUE FUND
Common Stocks - 99.7%
Aerospace & Defense - 1.8%
United Technologies Corp. 30 $2,717
Apparel - 3.6%
Liz Claiborne Inc. 64 2,317
V.F. Corp. 58 2,834
5,151
Auto Manufacturers - 3.0%
Ford Motor Co. (l) 146 2,288
General Motors Corp. (l) 44 2,031
4,319
Auto Parts & Equipment - 1.5%
Delphi Corp. 197 2,106
Banks - 6.7%
Bank of America Corp. 40 3,350
Banknorth Group Inc. 42 1,364
Wachovia Corp. 64 2,844
Wells Fargo & Co. 36 2,055
9,613
Building Materials - 1.8%
Masco Corp. (l) 80 2,507
Chemicals - 4.8%
Ashland Inc. 56 2,974
PPG Industries Inc. 27 1,687
Sherwin-Williams Co. 52 2,152
6,813
Computers - 2.0%
Hewlett-Packard Co. 133 2,800
Diversified Financial Services - 6.9%
Citigroup Inc. 77 3,561
Fannie Mae 48 3,440
JPMorgan Chase & Co. 76 2,943
9,944
Electric - 5.2%
Dominion Resources Inc. (l) 42 2,656
FirstEnergy Corp. 76 2,851
NiSource Inc. (l) 92 1,903
7,410
Food - 3.5%
Kroger Co. (b) 161 2,938
Sara Lee Corp. 91 2,087
5,025
Forest Products & Paper - 1.6%
MeadWestvaco Corp. 76 2,240
Healthcare - 4.1%
HCA Inc. (l) 71 2,940
WellPoint Health Networks Inc. (b) 26 2,890
5,830
Home Furnishings - 1.5%
Maytag Corp. 90 2,194
Household Products - 1.9%
Fortune Brands Inc. 35 2,670
Insurance - 9.6%
American International Group Inc. 43 3,072
Cigna Corp. 27 1,872
Hartford Financial Services Group Inc. 46 3,183
Lincoln National Corp. 61 2,887
Radian Group Inc. 58 2,797
13,811
Iron & Steel - 1.7%
Nucor Corp. 31 2,372
Leisure Time - 1.5%
Brunswick Corp. 53 2,162
Manufacturing - 3.5%
Cooper Industries Ltd. - Class A 37 2,204
General Electric Co. 87 2,809
5,013
Oil & Gas Producers - 7.0%
ChevronTexaco Corp. 31 2,946
ConocoPhillips 39 2,945
Kerr-McGee Corp. 17 909
Occidental Petroleum Corp. 66 3,170
9,970
Pharmaceuticals - 3.6%
AmerisourceBergen Corp. (l) 36 2,170
Merck & Co. Inc. 63 3,012
5,182
Retail - 5.3%
Federated Department Stores Inc. 58 2,833
Home Depot Inc. 56 1,971
Sears Roebuck & Co. 73 2,760
7,564
Savings & Loans - 4.0%
Sovereign Bancorp. Inc. (l) 133 2,937
Washington Mutual Inc. 74 2,852
5,789
Software - 1.8%
Computer Associates International Inc. 93 2,618
Telecommunications - 6.5%
BellSouth Corp. 81 2,132
SBC Communications Inc. 106 2,573
Sprint Corp. - FON Group 112 1,964
Verizon Communications Inc. 72 2,602
9,271
Tobacco - 2.3%
Altria Group Inc. 66 3,313
Transportation - 3.0%
Burlington Northern Santa Fe Corp. 76 2,672
CSX Corp. 51 1,678
4,350
Total Common Stocks (cost $130,191) 142,754
Short Term Investments - 0.8%
Money Market Funds - 0.8%
Dreyfus Cash Management Plus, 1.14% (a) 1,172 1,172
Total Short Term Investments (cost $1,172) 1,172
Total Investments - 100.5% (cost $131,363) 143,926
Other Assets and Liabilities, Net - (0.5%) (775)
Total Net Assets - 100% $143,151
JNL/PUTNAM EQUITY FUND
Common Stocks - 99.8%
Aerospace & Defense - 2.8%
Boeing Co. 19 $966
Lockheed Martin Corp. 55 2,864
Rockwell Collins Inc. 3 114
United Technologies Corp. 5 457
4,401
Airlines - 1.0%
Southwest Airlines Co. 92 1,540
Auto Parts & Equipment - 0.2%
Lear Corp. 6 342
Banks - 7.5%
Bank of America Corp. 9 779
Bank of New York Co. Inc. 31 907
Comerica Inc. 10 522
Commerce Bancorp. Inc. (l) 45 2,453
Fifth Third Bancorp. 45 2,410
US Bancorp. 120 3,304
Wells Fargo & Co. 12 710
Zions Bancorp. 8 473
11,558
Beverages - 0.7%
Anheuser-Busch Cos. Inc. 2 111
Coca-Cola Co. 17 861
PepsiCo Inc. 2 89
1,061
Biotechnology - 1.5%
Amgen Inc. (b) 40 2,166
Biogen Idec Inc. (b) 1 80
2,246
Building Materials - 0.7%
Masco Corp. (l) 35 1,101
Chemicals - 0.2%
E.I. du Pont de Nemours & Co. 4 187
PPG Industries Inc. 1 63
250
Commercial Services - 1.5%
ChoicePoint Inc. (b) 13 607
Iron Mountain Inc. (b) 12 555
McKesson Corp. 1 29
Rent-A-Center Inc. (b) 37 1,099
2,290
Computers - 3.4%
Dell Inc. (b) 47 1,672
EMC Corp. (b) 15 170
Hewlett-Packard Co. 81 1,702
International Business Machines Corp. 1 62
Lexmark International Inc. (b) 5 502
Sandisk Corp. (b) 49 1,061
5,169
Cosmetics & Personal Care - 0.3%
Avon Products Inc. 3 138
Colgate-Palmolive Co. 2 140
Procter & Gamble Co. 3 187
465
Diversified Financial Services - 15.3%
Bear Stearns Cos. Inc. 6 498
Capital One Financial Corp. (l) 37 2,506
Charles Schwab Corp. 47 453
Citigroup Inc. 148 6,874
Countrywide Financial Corp. 21 1,496
Fannie Mae 18 1,270
Freddie Mac 97 6,108
Lehman Brothers Holdings Inc. 9 677
MBNA Corp. 79 2,032
Providian Financial Corp. (b) 97 1,417
23,329
Electric - 0.3%
Edison International 5 121
Entergy Corp. 2 95
Exelon Corp. 4 127
PG&E Corp. (b) 4 109
Sierra Pacific Resources (b) (l) 9 68
520
Electrical Components & Equipment - 0.1%
American Power Conversion Corp. 6 120
Electronics - 0.1%
Fisher Scientific International (b) 1 29
Flextronics International Ltd. (b) 5 81
Waters Corp. (b) 1 34
144
Food - 0.7%
Dean Foods Co. (b) 28 1,030
Safeway Inc. (b) 2 48
1,078
Healthcare - 5.5%
Baxter International Inc. 2 65
Guidant Corp. - 11
HCA Inc. 15 607
Inamed Corp. (b) 1 38
Johnson & Johnson 91 5,047
Manor Care Inc. 1 20
Medtronic Inc. 30 1,437
UnitedHealth Group Inc. 19 1,164
8,389
Home Builders - 1.4%
Lennar Corp. 22 970
NVR Inc. (b) 2 1,017
Pulte Homes Inc. 2 83
2,070
Insurance - 4.2%
ACE Ltd. 55 2,325
Cigna Corp. 19 1,335
Everest Re Group Ltd. 29 2,306
XL Capital Ltd. 6 461
6,427
Internet - 0.7%
CheckFree Corp. (b) 24 723
eBay Inc. (b) 1 129
Yahoo! Inc. (b) 4 145
997
Investment Companies - 0.4%
SPDR Trust Series 1 (l) 5 607
Leisure Time - 1.1%
Harley-Davidson Inc. 20 1,226
Royal Caribbean Cruises Ltd. 12 508
1,734
Lodging - 0.9%
Harrah's Entertainment Inc. 25 1,331
Manufacturing - 3.6%
3M Co. 1 126
Dover Corp. 2 79
General Electric Co. 18 577
Illinois Tool Works Inc. (l) 8 786
ITT Industries Inc. 13 1,104
Tyco International Ltd. 86 2,859
5,531
Media - 2.4%
Comcast Corp. - Special Class A (b) (l) 6 157
EchoStar Communications Corp. (b) 34 1,050
Fox Entertainment Group Inc. (b) 3 72
Liberty Media Corp. (b) 73 658
Liberty Media International Inc. - Class A (b) 4 138
Viacom Inc. - Class B 44 1,574
3,649
Mining - 1.0%
Aggregate Industries Plc 181 269
Alcoa Inc. 15 509
BHP Billiton Plc 66 764
1,542
Office & Business Equipment - 0.7%
Xerox Corp. (b) (l) 76 1,108
Oil & Gas Producers - 5.5%
Amerada Hess Corp. 8 665
Apache Corp. 3 139
Canadian Natural Resources Ltd. (l) 23 701
Exxon Mobil Corp. 121 5,359
GlobalSantaFe Corp. 22 580
Noble Corp. (b) 25 955
8,399
Pharmaceuticals - 8.0%
Abbott Laboratories 20 822
AmerisourceBergen Corp. 10 622
Cardinal Health Inc. 18 1,230
Eli Lilly & Co. 1 85
Express Scripts Inc. - Class A (b) 13 1,038
Forest Laboratories Inc. (b) 35 1,985
Gilead Sciences Inc. (b) - 20
Merck & Co. Inc. 19 907
Pfizer Inc. 144 4,948
Teva Pharmaceutical Industries Ltd. - ADR 8 530
12,187
Real Estate - 1.1%
Equity Office Properties Trust 30 803
General Growth Properties Inc. 29 860
1,663
Retail - 7.8%
Autozone Inc. (b) 13 1,017
Bed Bath & Beyond Inc. (b) 34 1,319
Costco Wholesale Corp. 14 563
CSK Auto Corp. (b) 4 70
Family Dollar Stores Inc. 43 1,302
Home Depot Inc. 10 338
Kohl's Corp. (b) 28 1,184
Lowe's Cos. Inc. 54 2,856
Michaels Stores Inc. 1 43
Ross Stores Inc. 15 407
Staples Inc. 56 1,652
Starbucks Corp. (b) 1 52
Target Corp. 1 59
Wal-Mart Stores Inc. 22 1,139
12,001
Savings & Loans - 0.5%
Washington Mutual Inc. 18 699
Semiconductors - 3.4%
Analog Devices Inc. 6 264
Intel Corp. 150 4,150
Linear Technology Corp. 17 663
Micron Technology Inc. (b) 7 109
5,186
Software - 7.6%
Adobe Systems Inc. 14 642
BMC Software Inc. (b) 50 928
Fiserv Inc. (b) 3 97
Microsoft Corp. 295 8,431
Oracle Corp. (b) 127 1,517
Siebel Systems Inc. (b) 3 30
Veritas Software Corp. (b) 1 33
11,678
Telecommunications - 0.7%
Level 3 Communications Inc. (b) (l) 190 673
SBC Communications Inc. 9 216
Verizon Communications Inc. 6 230
1,119
Telecommunications Equipment - 3.1%
Cisco Systems Inc. (b) 169 4,005
Harris Corp. - -
Nokia Oyj - ADR 28 406
Nortel Networks Corp. (b) 81 403
4,814
Tobacco - 2.1%
Altria Group Inc. 64 3,211
Toys & Hobbies - 0.5%
Mattel Inc. 38 695
Transportation - 1.3%
Canadian National Railway Co. 19 823
Union Pacific Corp. 20 1,196
2,020
Total Common Stocks (cost $139,865) 152,671
Short Term Investments - 0.5%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.14% (a) 1 1
Repurchase Agreement - 0.5%
Repurchase Agreement with Goldman Sachs and Co.,
1.50%, (Collateralized by $745 Federal Home
Loan Bank Discount Note, due 07/28/04,
market value $933) acquired on 06/30/04, due
07/01/04 at $726 $726 726
Total Short Term Investments (cost $727) 727
Total Investments - 100.3% (cost $140,592) 153,398
Other Assets and Liabilities, Net - (0.3%) (443)
Total Net Assets - 100% $152,955
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Common Stocks - 96.1%
Advertising - 1.2%
WPP Group Plc 101 $1,024
Airlines - 0.6%
Singapore Airlines Ltd. 86 559
Auto Manufacturers - 5.2%
Bayerische Motoren Werke AG (l) 8 345
Honda Motor Co. Ltd. 25 1,205
Peugeot SA 4 233
Renault SA 9 685
Toyota Motor Corp. 54 2,183
4,651
Banks - 17.0%
Allied Irish Banks Plc 33 512
Australia & New Zealand Banking Group Ltd. 3 38
Banco Bilbao Vizcaya Argentaria SA (l) 7 90
Banco Itau Holding Financeira SA - ADR 4 173
Bank of Ireland 24 319
Barclays Plc 141 1,201
BNP Paribas SA 15 938
Canadian Imperial Bank of Commerce (l) 9 444
Credit Agricole SA 2 44
Credit Suisse Group (b) 37 1,298
Danske Bank A/S 29 687
DBS Group Holdings Ltd. 72 602
HSBC Holdings Plc 85 1,268
Mitsubishi Tokyo Financial Group Inc. - 463
Oversea-Chinese Banking Corp. Ltd. 64 450
Principal Office Fund (b) 8 262
Royal Bank of Scotland Group Plc 56 1,603
Sanpaolo IMI SpA 4 46
Societe Generale (l) 8 647
Sumitomo Mitsui Financial Group Inc. - 41
UBS AG 44 3,120
UFJ Holdings Inc. (b) - 216
UniCredito Italiano SpA (l) 94 463
14,925
Beverages - 2.9%
Diageo Plc 152 2,053
Interbrew (l) 15 493
2,546
Building Materials - 1.2%
CRH Plc 46 976
Chemicals - 2.2%
Air Liquide SA - 40
BASF AG (l) 23 1,222
Ciba Specialty Chemicals AG (b) 9 616
Shin-Etsu Chemical Co. Ltd. 1 25
1,903
Commercial Services - 1.3%
Adecco SA (b) (l) 5 252
Dai Nippon Printing Co. Ltd. 25 399
Securitas AB (l) 40 502
1,153
Computers - 0.3%
Compal Electronics Inc. 226 245
Cosmetics & Personal Care - 0.6%
Kao Corp. 23 554
Distribution & Wholesale - 0.2%
Mitsui & Co. Ltd. 5 37
Diversified Financial Services - 2.7%
Acom Co. Ltd. 5 339
Credit Saison Co. Ltd. 21 616
Nomura Holdings Inc. 63 933
ORIX Corp. 5 538
2,426
Electric - 1.6%
E.ON AG 1 47
Iberdrola SA (l) 50 1,061
Kansai Electric Power Co. Inc. 3 58
Korea Electric Power Corp. - ADR 19 171
Scottish & Southern Energy Plc 2 21
Scottish Power Plc 2 16
Tokyo Electric Power Co. Inc. 2 51
1,425
Electrical Components & Equipment - 3.3%
Samsung Electronics Co. Ltd. 7 2,890
Electronics - 0.5%
Koninklijke Philips Electronics NV 12 322
Omron Corp. 4 91
413
Food - 3.7%
Groupe Danone 1 52
Nestle SA 10 2,587
Tesco Plc 72 345
Woolworths Ltd. 36 282
3,266
Gas - 0.8%
Tokyo Gas Co. Ltd. 199 707
Hand & Machine Tools - 0.1%
Schneider Electric SA 1 55
Healthcare - 0.4%
Synthes Inc. 3 321
Holding Companies - Diversified - 0.4%
LVMH Moet Hennessy Louis Vuitton SA (l) 5 333
Swire Pacific Ltd. 6 38
371
Household Products - 0.6%
Reckitt Benckiser Plc 19 536
Insurance - 3.4%
ACE Ltd. 6 257
Aegon NV 23 277
Allianz AG 5 595
Swiss Reinsurance 17 1,084
XL Capital Ltd. 10 740
Zurich Financial Services AG (b) - 62
3,015
Iron & Steel - 0.3%
POSCO - ADR (l) 9 287
Lodging - 0.4%
Accor SA 9 378
Manufacturing - 2.3%
Olympus Optical Co. Ltd. 25 472
Siemens AG 22 1,569
2,041
Media - 2.6%
Mediaset SpA (l) 64 728
News Corp. Ltd. - ADR (l) 5 193
Singapore Press Holdings Ltd. 112 271
Societe Television Francaise 1 (l) 25 784
VNU NV 13 371
2,347
Metal Fabrication & Hardware - 0.9%
SKF AB (l) 23 827
Mining - 1.7%
Aggregate Industries Plc 179 266
BHP Billiton Plc 96 835
Rio Tinto Plc 19 447
1,548
Office & Business Equipment - 3.0%
Canon Inc. (l) 45 2,371
Ricoh Co. Ltd. 13 276
2,647
Oil & Gas Producers - 7.5%
BP Plc 178 1,571
ENI-Ente Nazionale Idrocarburi SpA (l) 3 52
Imperial Oil Ltd. 7 305
Nippon Oil Corp. 36 227
Noble Corp. (b) 7 246
Petroleo Brasileiro SA - Petrobras - ADR 11 309
Statoil ASA (l) 6 73
Total Fina Elf SA 20 3,823
YUKOS - ADR 3 104
6,710
Packaging & Containers - 0.4%
Amcor Ltd. 73 355
Pharmaceuticals - 7.8%
AstraZeneca Plc 51 2,272
GlaxoSmithKline Plc 33 659
Novartis AG 34 1,498
Roche Holding AG Genusschein 16 1,536
Sankyo Co. Ltd. - 9
Yamanouchi Pharmaceutical Co. Ltd. 29 982
6,956
Retail - 2.5%
Aeon Co. Ltd. 7 285
Hennes & Mauritz AB - Class B (l) 24 624
Lawson Inc. 4 161
Pinault-Printemps-Redoute SA 4 371
Swatch Group AG 8 205
Swatch Group AG - Class B 4 570
2,216
Semiconductors - 1.1%
Infineon Technologies AG (b) 4 56
Rohm Co. Ltd. 4 431
Taiwan Semiconductor Manufacturing Co. Ltd. 368 530
1,017
Telecommunications - 2.6%
China Telecom Corp. Ltd. 1,346 470
Deutsche Telekom AG (b) 4 79
France Telecom SA 11 292
Nippon Telegraph & Telephone Corp. - 518
TDC A/S 11 357
Telecom Italia SpA 19 59
Telefonica SA 5 75
Telefonos de Mexico SA de CV - ADR 15 500
2,350
Telecommunications Equipment - 1.9%
Nokia Oyj 37 528
Nortel Networks Corp. (b) 64 319
Telefonaktiebolaget LM Ericsson (b) 282 832
1,679
Tobacco - 1.4%
Altadis SA (l) 24 736
Japan Tobacco Inc. - 466
1,202
Transportation - 2.6%
Canadian National Railway Co. 16 688
East Japan Railway Co. - 864
TPG NV 33 757
2,309
Venture Capital - 0.7%
3i Group Plc 54 595
Water - 0.5%
Veolia Environnement (l) 17 473
Wireless Telecommunications - 6.1%
NTT DoCoMo Inc. 1 1,617
SK Telecom Co. Ltd. - ADR (l) 27 562
Vodafone Group Plc 1,500 3,285
5,464
Total Common Stocks (cost $75,367) 85,399
Preferred Stocks - 0.3%
Auto Manufacturers - 0.3%
Porsche AG - 261
Holding Companies - Diversified - 0.0%
Singapore Press Holdings Ltd. (b) 17 42
Total Preferred Stocks (cost $295) 303
Mutual Funds - 1.0%
iShares MSCI EAFE Index Fund 6 901
Total Mutual Funds (cost $861) 901
Warrants - 0.6%
Chemicals - 0.6%
Reliance Industries, No Strike Price, Expiring 09/02/04 (e) 58 540
Total Warrants (cost $591) 540
Short Term Investments - 2.0%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.14% (a) 1 1
Repurchase Agreement - 2.0%
Repurchase Agreement with Goldman Sachs and Co.,
1.50%, (Collateralized by $1,795 Federal Home
Loan Bank Discount Note, due 07/28/04,
market value $2,248) acquired on 06/30/04,
due 07/01/04 at $1,755 $1,755 1,755
Total Short Term Investments (cost $1,756) 1,756
Total Investments - 100.0% (cost $78,870) 88,899
Other Assets and Liabilities, Net - 0.0% (22)
Total Net Assets - 100% $88,877
JNL/PUTNAM MIDCAP GROWTH FUND
Common Stocks - 99.2%
Advertising - 1.2%
Getty Images Inc. (b) 5 $282
Interpublic Group of Cos. Inc. (b) 8 103
385
Aerospace & Defense - 1.1%
Rockwell Collins Inc. 3 93
United Defense Industries Inc. (b) 6 221
314
Apparel - 1.3%
Coach Inc. (b) 9 389
Auto Parts & Equipment - 1.1%
Autoliv Inc. 8 346
Biotechnology - 2.8%
Biogen Idec Inc. (b) 7 468
Charles River Laboratories International Inc. (b) 1 49
Invitrogen Corp. (b) 5 360
877
Building Materials - 1.7%
American Standard Cos. Inc. (b) 8 311
Vulcan Materials Co. 4 209
520
Commercial Services - 2.1%
Alliance Data Systems Corp. (b) 4 161
Apollo Group Inc. (b) 3 264
Career Education Corp. (b) 4 173
Corporate Executive Board Co. 1 64
662
Computers - 8.5%
CACI International Inc. - Class A (b) 4 150
Cognizant Technology Solutions Corp. (b) 7 169
Lexar Media Inc. (b) (l) 12 77
Lexmark International Inc. (b) 7 656
Network Appliance Inc. (b) 21 456
Sandisk Corp. (b) 31 672
Storage Technology Corp. (b) 17 481
2,661
Cosmetics & Personal Care - 1.1%
Alberto-Culver Co. - Class B 7 328
Distribution & Wholesale - 1.0%
CDW Corp. 3 204
SCP Pool Corp. 2 104
308
Diversified Financial Services - 5.8%
Ameritrade Holding Corp. (b) 11 119
Bear Stearns Cos. Inc. 4 346
Capital One Financial Corp. (l) 5 348
Doral Financial Corp. 5 173
Legg Mason Inc. 5 428
Nelnet Inc. (b) 11 1921
Providian Financial Corp. (b) 14 210
1,815
Electronics - 0.5%
Benchmark Electronics Inc. (b) 6 167
Entertainment - 0.4%
International Game Technology 3 127
Environmental Control - 0.7%
Stericycle Inc. (b) 5 233
Food - 0.4%
Whole Foods Market Inc. 1 124
Healthcare - 9.0%
Advanced Medical Optics Inc. (b) - -
Anthem Inc. (b) (l) 2 197
Biomet Inc. (b) 6 258
C.R. Bard Inc. 11 606
Gen-Probe Inc. (b) 5 251
Idexx Laboratories Inc. (b) 3 195
Inamed Corp. (b) 3 182
Kinetic Concepts Inc. (b) 3 125
Laboratory Corp. of America Holdings (b) 4 147
Respironics Inc. (b) 3 147
St. Jude Medical Inc. (b) 3 235
Varian Medical Systems Inc. (b) 2 150
WellPoint Health Networks Inc. (b) 2 258
Wright Medical Group Inc. (b) 2 74
2,825
Home Builders - 1.2%
NVR Inc. (b) 1 387
Home Furnishings - 2.1%
Harman International Industries Inc. 4 319
Whirlpool Corp. 5 322
641
Household Products - 3.3%
Fossil Inc. (b) 6 166
Scotts Co. - Class A (b) 3 179
Toro Co. 7 462
Yankee Candle Co. Inc. (b) 8 232
1,039
Insurance - 1.8%
Everest Re Group Ltd. 3 225
W.R. Berkley Corp. 8 337
562
Internet - 2.7%
Symantec Corp. (b) 14 595
VeriSign Inc. (b) 13 262
858
Investment Companies - 0.4%
Midcap SPDR Trust Series 1 1 56
Nasdaq-100 Index Tracking Stock (l) 2 60
116
Leisure Time - 0.5%
Harley-Davidson Inc. (l) 2 149
Machinery - 3.3%
Briggs & Stratton Corp. 5 441
Graco Inc. 1 16
IDEX Corp. (l) 9 323
Terex Corp. (b) 7 242
1,022
Manufacturing - 0.8%
ITT Industries Inc. 3 241
Media - 0.4%
XM Satellite Radio Holdings Inc. - Class A (b) 4 115
Metal Fabrication & Hardware - 0.5%
Precision Castparts Corp. 3 142
Office Furnishings - 0.9%
HNI Corp. 7 296
Oil & Gas Producers - 7.3%
Amerada Hess Corp. 7 562
Burlington Resources Inc. 7 268
Chesapeake Energy Corp. 8 116
EOG Resources Inc. 11 681
Newfield Exploration Co. (b) 4 245
Pogo Producing Co. 4 173
Sunoco Inc. 4 248
2,293
Packaging & Containers - 0.4%
Ball Corp. 2 130
Pharmaceuticals - 7.3%
Allergan Inc. (l) 2 160
Amylin Pharmaceuticals Inc. (b) 5 103
Andrx Corp. (b) 9 237
Barr Laboratories Inc. (b) 5 182
Caremark Rx Inc. (b) 2 79
Endo Pharmaceuticals Holdings Inc. (b) 11 258
Eon Labs Inc. (b) 10 405
Impax Laboratories Inc. (b) 2 37
King Pharmaceuticals Inc. (b) 14 164
Medicis Pharmaceutical Corp. - Class A (l) 8 308
Mylan Laboratories Inc. 9 188
Neurocrine Biosciences Inc. (b) 3 156
2,277
Retail - 11.4%
Abercrombie & Fitch Co. - Class A 9 345
Advance Auto Parts (b) 7 309
Aeropostale Inc. (b) 8 227
Autozone Inc. (b) 1 80
Chico's FAS Inc. (b) (l) 3 122
Claire's Stores Inc. 28 603
Michaels Stores Inc. 6 347
RadioShack Corp. 13 372
Staples Inc. 22 639
Starbucks Corp. (b) 12 509
3,553
Semiconductors - 5.4%
Agere Systems Inc. (b) (l) 115 265
Altera Corp. (b) 5 116
Integrated Device Technology Inc. (b) 9 130
International Rectifier Corp. (b) 6 261
Linear Technology Corp. 9 367
Marvell Technology Group Ltd. (b) 4 100
Omnivision Technologies Inc. (b) 5 72
Sigmatel Inc. (b) 8 227
Silicon Laboratories Inc. (b) 3 158
1,696
Software - 9.0%
Adobe Systems Inc. 16 735
Autodesk Inc. 4 167
BMC Software Inc. (b) 35 649
Citrix Systems Inc. (b) 18 362
Mercury Interactive Corp. (b) (l) 5 229
Siebel Systems Inc. (b) 33 354
Veritas Software Corp. (b) 11 313
2,809
Telecommunications Equipment - 1.7%
Corning Inc. (b) (l) 8 107
Foundry Networks Inc. (b) 12 169
Harris Corp. 5 244
520
Transportation - 0.1%
CNF Inc. 1 33
Total Common Stocks (cost $27,308) 30,960
Short Term Investments - 0.6%
Money Market Funds - 0.6%
Dreyfus Cash Management Plus, 1.14% (a) 203 203
Total Short Term Investments (cost $203) 203
Total Investments - 99.8% (cost $27,511) 31,163
Other Assets and Liabilities, Net - 0.2% 59
Total Net Assets - 100% $31,222
JNL/PUTNAM VALUE EQUITY FUND
Common Stocks - 98.7%
Aerospace & Defense - 3.1%
Boeing Co. 56 $2,846
Lockheed Martin Corp. 53 2,755
Northrop Grumman Corp. 21 1,138
6,739
Airlines - 0.3%
Southwest Airlines Co. 40 674
Apparel - 0.5%
Liz Claiborne Inc. 29 1,058
Banks - 7.7%
Bank of America Corp. 75 6,362
Bank of New York Co. Inc. 33 979
State Street Corp. 25 1,246
US Bancorp. 118 3,241
Wachovia Corp. 35 1,549
Wells Fargo & Co. 65 3,720
17,097
Beverages - 1.0%
Coca-Cola Co. 45 2,262
Biotechnology - 0.4%
Amgen Inc. (b) 18 982
Building Materials - 0.9%
Masco Corp. 64 2,008
Chemicals - 2.3%
Dow Chemical Co. 80 3,236
PPG Industries Inc. 28 1,768
5,004
Computers - 5.6%
Dell Inc. (b) 37 1,333
Hewlett-Packard Co. 266 5,617
International Business Machines Corp. 43 3,799
Lexmark International Inc. (b) 10 946
Sun Microsystems Inc. (b) 167 723
12,418
Cosmetics & Personal Care - 1.8%
Colgate-Palmolive Co. 13 766
Procter & Gamble Co. 58 3,179
3,945
Diversified Financial Services - 12.2%
Citigroup Inc. 196 9,091
Fannie Mae 79 5,637
Freddie Mac 80 5,045
JPMorgan Chase & Co. 131 5,059
MBNA Corp. 65 1,676
Morgan Stanley 10 513
27,021
Electric - 2.4%
Edison International 75 1,910
Entergy Corp. 10 555
Exelon Corp. 30 1,005
PG&E Corp. (b) 63 1,755
5,225
Electrical Components & Equipment - 0.5%
Emerson Electric Co. 17 1,068
Electronics - 0.5%
Solectron Corp. (b) 167 1,080
Food - 1.0%
ConAgra Foods Inc. 8 217
Dean Foods Co. (b) 31 1,157
General Mills Inc. 16 760
2,134
Healthcare - 3.0%
Anthem Inc. (b) 8 690
C.R. Bard Inc. 14 799
Guidant Corp. 10 552
Johnson & Johnson 74 4,122
Medtronic Inc. 11 551
6,714
Home Builders - 0.5%
Pulte Homes Inc. 21 1,113
Home Furnishings - 1.0%
Whirlpool Corp. 34 2,332
Household Products - 0.4%
Avery Dennison Corp. (l) 12 787
Insurance - 4.5%
ACE Ltd. 52 2,186
American International Group Inc. 12 848
Berkshire Hathaway Inc. - Class B (b) 1 1,832
Cigna Corp. 8 564
Radian Group Inc. 14 685
St. Paul Cos. Inc. 47 1,915
XL Capital Ltd. 26 1,970
10,000
Lodging - 0.3%
Hilton Hotels Corp. 32 592
Manufacturing - 4.9%
General Electric Co. 127 4,102
Ingersoll-Rand Co. - Class A 29 1,988
Tyco International Ltd. 143 4,722
10,812
Media - 2.4%
EchoStar Communications Corp. (b) 22 683
Fox Entertainment Group Inc. (b) 49 1,308
Time Warner Inc. (b) 32 556
Viacom Inc. - Class B 29 1,047
Walt Disney Co. 65 1,657
5,251
Mining - 0.7%
Alcoa Inc. 50 1,648
Office & Business Equipment - 1.4%
Xerox Corp. (b) (l) 207 3,004
Oil & Gas Producers - 6.7%
Amerada Hess Corp. 11 863
BP Plc - ADR 12 643
ChevronTexaco Corp. 40 3,793
Exxon Mobil Corp. 214 9,513
14,812
Oil & Gas Services - 1.3%
Halliburton Co. 73 2,215
Varco International Inc. (b) 29 639
2,854
Pharmaceuticals - 9.4%
Abbott Laboratories 103 4,206
Bristol-Myers Squibb Co. 33 806
Cardinal Health Inc. 39 2,704
Express Scripts Inc. - Class A (b) 23 1,799
Forest Laboratories Inc. (b) 23 1,322
King Pharmaceuticals Inc. (b) 107 1,219
Pfizer Inc. 254 8,704
20,760
Retail - 6.0%
Darden Restaurants Inc. 28 574
Home Depot Inc. 77 2,724
J.C. Penney Co. Inc. 28 1,072
Lowe's Cos. Inc. 30 1,598
McDonald's Corp. 75 1,942
Office Depot Inc. (b) 117 2,088
Rite Aid Corp. (b) 211 1,102
Wal-Mart Stores Inc. 39 2,074
13,174
Semiconductors - 1.7%
Intel Corp. 106 2,937
Micron Technology Inc. (b) 48 741
3,678
Software - 5.1%
Automatic Data Processing Inc. 42 1,738
Fiserv Inc. (b) 32 1,233
Microsoft Corp. 242 6,906
Oracle Corp. (b) 115 1,374
11,251
Telecommunications - 2.9%
SBC Communications Inc. 65 1,569
Verizon Communications Inc. 132 4,773
6,342
Telecommunications Equipment - 0.4%
Cisco Systems Inc. (b) 41 974
Tobacco - 2.8%
Altria Group Inc. 123 6,136
Toys & Hobbies - 0.7%
Mattel Inc. 84 1,535
Transportation - 1.4%
Canadian National Railway Co. 29 1,255
Union Pacific Corp. 33 1,944
3,199
Wireless Telecommunications - 1.0%
Motorola Inc. (l) 126 2,303
Total Common Stocks (cost $194,202) 217,986
Short Term Investments - 0.5%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.14% (a) 1 1
Repurchase Agreement - 0.5%
Repurchase Agreement with Goldman Sachs and Co.,
1.50%, (Collateralized by $1,225 Federal Home
Loan Bank Discount Note, due 07/28/04,
market value $1,534) acquired on 06/30/04,
due 07/01/04 at $1,196 $1,196 1,196
Total Short Term Investments (cost $1,197) 1,197
Total Investments - 99.2% (cost $195,399) 219,183
Other Assets and Liabilities, Net - 0.8% 1,815
Total Net Assets - 100% $220,998
JNL/S&P AGGRESSIVE GROWTH FUND I
Mutual Funds - 99.9%
Aggressive Growth - 38.1%
JNL/AIM Large Cap Growth Fund 918 $10,299
JNL/Alger Growth Fund 658 10,001
JNL/Alliance Capital Growth Fund 374 3,829
JNL/Eagle SmallCap Equity Fund 334 6,040
JNL/Lazard Mid Cap Value Fund 326 4,771
JNL/Lazard Small Cap Value Fund 513 7,102
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 1,732 14,257
JNL/Oppenheimer Global Growth Fund 1,258 13,111
JNL/Oppenheimer Growth Fund 27 229
JNL/Select Large Cap Growth Fund 115 2,216
JNL/T. Rowe Price Mid-Cap Growth Fund 415 11,112
82,967
Greater Opportunity for Stability - 0.0%
JNL/PPM America Money Market Fund 79 79
Growth - 33.6%
JNL/Eagle Core Equity Fund 1,795 25,442
JNL/Mellon Capital Management Energy Sector Fund 131 2,128
JNL/Mellon Capital Management International Index Fund 1,021 12,196
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund 172 1,991
JNL/Select Global Growth Fund 80 1,442
JNL/T. Rowe Price Established Growth Fund 1,743 29,926
73,125
Growth & Income - 17.7%
JNL/PPM America Value Fund 786 12,173
JNL/T. Rowe Price Value Fund 2,113 26,395
38,568
Income - 10.5%
JNL/PIMCO Total Return Bond Fund 1,096 12,895
JNL/PPM America High Yield Bond Fund 446 3,887
JNL/Salomon Brothers Strategic Bond Fund 524 5,971
22,753
Total Mutual Funds (cost $203,950) 217,492
Total Investments - 99.9% (cost $203,950) 217,492
Other Assets and Liabilities, Net - 0.1% 240
Total Net Assets - 100% $217,732
JNL/S&P CONSERVATIVE GROWTH FUND I
Mutual Funds - 99.9%
Aggressive Growth - 22.0%
JNL/AIM Large Cap Growth Fund 1,847 $20,718
JNL/Alger Growth Fund 1,324 20,132
JNL/Alliance Capital Growth Fund 541 5,537
JNL/Lazard Mid Cap Value Fund 37 537
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 3,524 29,006
JNL/Oppenheimer Global Growth Fund 1,079 11,244
JNL/Oppenheimer Growth Fund 97 826
JNL/Select Large Cap Growth Fund 127 2,443
JNL/T. Rowe Price Mid-Cap Growth Fund 973 26,067
116,510
Greater Opportunity for Stability - 5.1%
JNL/PPM America Money Market Fund 27,215 27,215
Growth - 28.8%
JNL/Eagle Core Equity Fund 3,823 54,169
JNL/Mellon Capital Management International Index Fund 1,285 15,340
JNL/Mellon Capital Management S&P 500 Index Fund 2,487 25,221
JNL/Select Global Growth Fund 149 2,677
JNL/T. Rowe Price Established Growth Fund 3,215 55,207
152,614
Growth & Income - 14.4%
JNL/PPM America Value Fund 1,648 25,513
JNL/T. Rowe Price Value Fund 4,089 51,068
76,581
Income - 29.6%
JNL/Mellon Capital Management Bond Index Fund 1,381 14,441
JNL/PIMCO Total Return Bond Fund 4,917 57,874
JNL/PPM America High Yield Bond Fund 2,804 24,450
JNL/Salomon Brothers Strategic Bond Fund 4,039 46,006
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 1,261 14,443
157,214
Total Mutual Funds (cost $502,288) 530,134
Total Investments - 99.9% (cost $502,288) 530,134
Other Assets and Liabilities, Net - 0.1% 298
Total Net Assets - 100% $530,432
JNL/S&P CORE INDEX 100 FUND
Mutual Funds - 99.8%
Aggressive Growth - 36.4%
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 1,318 $10,850
JNL/Mellon Capital Management S&P 400 MidCap
Index Fund 177 2,151
JNL/Mellon Capital Management Small Cap Index Fund 211 2,574
15,575
Greater Opportunity for Stability - 7.9%
JNL/PPM America Money Market Fund 3,381 3,381
Growth - 34.4%
JNL/Mellon Capital Management International Index Fund 366 4,370
JNL/Mellon Capital Management S&P 500 Index Fund 1,020 10,342
14,712
Income - 21.1%
JNL/Mellon Capital Management Bond Index Fund 865 9,047
Total Mutual Funds (cost $37,959) 42,715
Total Investments - 99.8% (cost $37,959) 42,715
Other Assets and Liabilities, Net - 0.2% 68
Total Net Assets - 100% $42,783
JNL/S&P CORE INDEX 50 FUND
Mutual Funds - 100.0%
Aggressive Growth - 43.2%
JNL/AIM Large Cap Growth Fund 30 $341
JNL/Alger Growth Fund 22 332
JNL/Eagle SmallCap Equity Fund 12 222
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 203 1,671
JNL/Mellon Capital Management S&P 400 MidCap
Index Fund 46 553
JNL/Mellon Capital Management Small Cap Index Fund 36 441
JNL/Oppenheimer Global Growth Fund 63 658
JNL/T. Rowe Price Mid-Cap Growth Fund 21 571
4,789
Growth - 47.7%
JNL/Eagle Core Equity Fund 46 649
JNL/Mellon Capital Management Communications
Sector Fund 24 106
JNL/Mellon Capital Management Consumer Brands
Sector Fund 10 108
JNL/Mellon Capital Management Energy Sector Fund 7 117
JNL/Mellon Capital Management International Index Fund 56 673
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund 9 110
JNL/Mellon Capital Management S&P 500 Index Fund 218 2,213
JNL/Mellon Capital Management Technology Sector Fund 18 110
JNL/Select Global Growth Fund 18 332
JNL/T. Rowe Price Established Growth Fund 51 881
5,299
Growth & Income - 9.1%
JNL/T. Rowe Price Value Fund 81 1,008
Total Mutual Funds (cost $10,241) 11,096
Total Investments - 100.0% (cost $10,241) 11,096
Other Assets and Liabilities, Net - 0.0% (1)
Total Net Assets - 100% $11,095
JNL/S&P CORE INDEX 75 FUND
Mutual Funds - 100.0%
Aggressive Growth - 45.5%
JNL/AIM Large Cap Growth Fund 47 $524
JNL/Alger Growth Fund 22 341
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 438 3,608
JNL/Mellon Capital Management S&P 400 MidCap
Index Fund 56 683
JNL/Mellon Capital Management Small Cap Index Fund 56 682
JNL/Oppenheimer Global Growth Fund 97 1,013
JNL/T. Rowe Price Mid-Cap Growth Fund 33 880
7,731
Growth - 40.1%
JNL/Eagle Core Equity Fund 35 501
JNL/Mellon Capital Management Energy Sector Fund 11 181
JNL/Mellon Capital Management International Index Fund 87 1,036
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund 15 169
JNL/Mellon Capital Management S&P 500 Index Fund 421 4,268
JNL/T. Rowe Price Established Growth Fund 40 679
6,834
Income - 14.4%
JNL/Mellon Capital Management Bond Index Fund 235 2,457
Total Mutual Funds (cost $15,685) 17,022
Total Investments - 100.0% (cost $15,685) 17,022
Other Assets and Liabilities, Net - 0.0% 8
Total Net Assets - 100% $17,030
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
Mutual Funds - 99.8%
Aggressive Growth - 40.3%
JNL/AIM Large Cap Growth Fund 328 $3,678
JNL/Alger Growth Fund 196 2,976
JNL/Alliance Capital Growth Fund 52 534
JNL/Eagle SmallCap Equity Fund 165 2,995
JNL/Lazard Mid Cap Value Fund 221 3,238
JNL/Lazard Small Cap Value Fund 188 2,605
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 219 1,803
JNL/Oppenheimer Global Growth Fund 291 3,032
JNL/Oppenheimer Growth Fund 14 115
JNL/Select Large Cap Growth Fund 13 255
JNL/T. Rowe Price Mid-Cap Growth Fund 142 3,790
25,021
Growth - 39.0%
JNL/Eagle Core Equity Fund 411 5,822
JNL/Mellon Capital Management Communications
Sector Fund 130 567
JNL/Mellon Capital Management Consumer Brands
Sector Fund 54 580
JNL/Mellon Capital Management Energy Sector Fund 39 633
JNL/Mellon Capital Management International Index Fund 304 3,629
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund 51 592
JNL/Mellon Capital Management Technology Sector Fund 98 595
JNL/Select Global Growth Fund 161 2,894
JNL/T. Rowe Price Established Growth Fund 519 8,903
24,215
Growth & Income - 20.5%
JNL/PPM America Value Fund 234 3,622
JNL/T. Rowe Price Value Fund 725 9,060
12,682
Total Mutual Funds (cost $56,484) 61,918
Total Investments - 99.8% (cost $56,484) 61,918
Other Assets and Liabilities, Net - 0.2% 150
Total Net Assets - 100% $62,068
JNL/S&P EQUITY GROWTH FUND I
Mutual Funds - 100.0%
Aggressive Growth - 42.1%
JNL/AIM Large Cap Growth Fund 979 $10,984
JNL/Alger Growth Fund 702 10,668
JNL/Alliance Capital Growth Fund 191 1,960
JNL/Eagle SmallCap Equity Fund 593 10,738
JNL/Lazard Mid Cap Value Fund 774 11,329
JNL/Lazard Small Cap Value Fund 674 9,316
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 1,309 10,770
JNL/Oppenheimer Global Growth Fund 1,241 12,928
JNL/Oppenheimer Growth Fund 52 439
JNL/Select Large Cap Growth Fund 34 652
JNL/T. Rowe Price Mid-Cap Growth Fund 511 13,691
93,475
Greater Opportunity for Stability - 0.1%
JNL/PPM America Money Market Fund 281 281
Growth - 39.3%
JNL/Eagle Core Equity Fund 1,915 27,137
JNL/Mellon Capital Management Energy Sector Fund 140 2,269
JNL/Mellon Capital Management International Index Fund 1,090 13,009
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund 183 2,122
JNL/Mellon Capital Management Technology Sector Fund 351 2,132
JNL/Select Global Growth Fund 490 8,818
JNL/T. Rowe Price Established Growth Fund 1,859 31,918
87,405
Growth & Income - 18.5%
JNL/PPM America Value Fund 839 12,982
JNL/T. Rowe Price Value Fund 2,254 28,149
41,131
Total Mutual Funds (cost $203,398) 222,292
Total Investments - 100.0% (cost $203,398) 222,292
Other Assets and Liabilities, Net - 0.0% 108
Total Net Assets - 100% $222,400
JNL/S&P MODERATE GROWTH FUND I
Mutual Funds - 100.1%
Aggressive Growth - 31.4%
JNL/AIM Large Cap Growth Fund 2,880 $32,313
JNL/Alger Growth Fund 2,066 31,409
JNL/Alliance Capital Growth Fund 878 8,990
JNL/Eagle SmallCap Equity Fund 873 15,807
JNL/Lazard Mid Cap Value Fund 1,222 17,895
JNL/Lazard Small Cap Value Fund 1,880 25,997
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 5,644 46,447
JNL/Oppenheimer Global Growth Fund 3,286 34,242
JNL/Oppenheimer Growth Fund 123 1,039
JNL/Select Large Cap Growth Fund 252 4,830
JNL/T. Rowe Price Mid-Cap Growth Fund 1,586 42,468
261,437
Greater Opportunity for Stability - 3.0%
JNL/PPM America Money Market Fund 24,708 24,708
Growth - 29.6%
JNL/Eagle Core Equity Fund 5,965 84,521
JNL/Mellon Capital Management International Index Fund 4,007 47,849
JNL/Mellon Capital Management S&P 500 Index Fund 1,552 15,738
JNL/Select Global Growth Fund 226 4,060
JNL/T. Rowe Price Established Growth Fund 5,472 93,951
246,119
Growth & Income - 14.4%
JNL/PPM America Value Fund 2,571 39,797
JNL/T. Rowe Price Value Fund 6,378 79,660
119,457
Income - 21.7%
JNL/Mellon Capital Management Bond Index Fund 1,437 15,027
JNL/PIMCO Total Return Bond Fund 6,159 72,497
JNL/PPM America High Yield Bond Fund 2,625 22,892
JNL/Salomon Brothers Strategic Bond Fund 4,855 55,296
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 1,313 15,029
180,741
Total Mutual Funds (cost $780,989) 832,462
Total Investments - 100.1% (cost $780,989) 832,462
Other Assets and Liabilities, Net - (0.1%) (489)
Total Net Assets - 100% $831,973
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
Mutual Funds - 99.7%
Aggressive Growth - 40.5%
JNL/AIM Large Cap Growth Fund 384 $4,307
JNL/Alger Growth Fund 229 3,483
JNL/Alliance Capital Growth Fund 59 605
JNL/Eagle SmallCap Equity Fund 116 2,103
JNL/Lazard Mid Cap Value Fund 259 3,789
JNL/Lazard Small Cap Value Fund 271 3,751
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 256 2,111
JNL/Oppenheimer Global Growth Fund 343 3,574
JNL/Oppenheimer Growth Fund 19 165
JNL/Select Large Cap Growth Fund 14 271
JNL/T. Rowe Price Mid-Cap Growth Fund 196 5,238
29,397
Growth - 38.8%
JNL/Eagle Core Equity Fund 481 6,815
JNL/Mellon Capital Management Communications
Sector Fund 152 664
JNL/Mellon Capital Management Consumer Brands
Sector Fund 63 679
JNL/Mellon Capital Management Energy Sector Fund 46 742
JNL/Mellon Capital Management International Index Fund 297 3,541
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund 60 693
JNL/Mellon Capital Management Technology Sector Fund 115 696
JNL/Select Global Growth Fund 220 3,959
JNL/T. Rowe Price Established Growth Fund 607 10,424
28,213
Growth & Income - 20.4%
JNL/PPM America Value Fund 274 4,240
JNL/T. Rowe Price Value Fund 849 10,609
14,849
Total Mutual Funds (cost $65,983) 72,459
Total Investments - 99.7% (cost $65,983) 72,459
Other Assets and Liabilities, Net - 0.3% 247
Total Net Assets - 100% $72,706
JNL/SALOMON BROTHERS BALANCED FUND
Common Stocks - 59.6%
Agriculture - 0.1%
Monsanto Co. - $10
Auto Manufacturers - 0.2%
DaimlerChrysler AG (f) 1 24
Banks - 5.9%
Bank of America Corp. 3 232
Bank of New York Co. Inc. (f) 9 262
Mercantile Bankshares Corp. 1 37
SunTrust Banks Inc. (l) 1 52
Wachovia Corp. 4 187
770
Beverages - 2.8%
Anheuser-Busch Cos. Inc. 2 103
Coca-Cola Co. 3 131
PepsiCo Inc. 2 129
363
Computers - 4.1%
Hewlett-Packard Co. 5 102
International Business Machines Corp. (f) 3 282
Sun Microsystems Inc. (b) 36 156
540
Cosmetics & Personal Care - 3.3%
Colgate-Palmolive Co. 1 47
Gillette Co. 4 170
Kimberly-Clark Corp. 1 59
Procter & Gamble Co. 3 152
428
Diversified Financial Services - 5.5%
American Express Co. 3 148
JPMorgan Chase & Co. (f) 11 423
Merrill Lynch & Co. Inc. 3 146
717
Electric - 0.2%
American Electric Power Co. Inc. 1 29
Food - 3.6%
H.J. Heinz Co. 1 51
Kroger Co. (b) 7 118
Safeway Inc. (b) (f) 10 253
Sara Lee Corp. 2 44
466
Healthcare - 1.4%
Johnson & Johnson 3 178
Insurance - 6.4%
Allstate Corp. 3 140
American International Group Inc. (f) 5 321
Berkshire Hathaway Inc. - Class B (b) - 242
Chubb Corp. 1 55
Cigna Corp. 1 48
Horace Mann Educators Corp. 2 28
834
Manufacturing - 1.8%
Eastman Kodak Co. (l) 1 24
General Electric Co. 7 217
241
Media - 2.3%
Comcast Corp. - Class A (b) 3 74
Liberty Media Corp. (b) 3 27
Liberty Media International Inc. - Class A (b) - 5
The DIRECTV Group Inc. (b) 4 66
Time Warner Inc. (b) 7 128
300
Mining - 1.1%
Alcoa Inc. 5 149
Oil & Gas Producers - 3.0%
Amerada Hess Corp. 1 40
BP Plc - ADR 1 36
Diamond Offshore Drilling Inc. (l) 4 91
Exxon Mobil Corp. 1 58
Royal Dutch Petroleum Co. - NYS 1 36
Transocean Inc. (b) 5 139
400
Oil & Gas Services - 0.5%
Schlumberger Ltd. 1 64
Pharmaceuticals - 4.5%
Abbott Laboratories 4 179
Bristol-Myers Squibb Co. 1 22
Merck & Co. Inc. 2 71
Pfizer Inc. (f) 8 274
Wyeth 1 47
593
Retail - 4.0%
Costco Wholesale Corp. 2 78
Federated Department Stores Inc. 3 128
Home Depot Inc. 5 166
McDonald's Corp. 3 88
Wal-Mart Stores Inc. 1 63
523
Semiconductors - 1.4%
Intel Corp. 1 19
Texas Instruments Inc. 7 170
189
Software - 1.5%
Microsoft Corp. 7 194
Telecommunications - 1.9%
AT&T Corp. 2 23
SBC Communications Inc. 2 49
Verizon Communications Inc. 5 183
255
Telecommunications Equipment - 1.5%
Lucent Technologies Inc. (b) 53 198
Transportation - 0.6%
Canadian National Railway Co. 1 61
United Parcel Service Inc. - 15
76
Wireless Telecommunications - 2.0%
AT&T Wireless Services Inc. (b) 9 123
Motorola Inc. (l) 8 137
260
Total Common Stocks (cost $7,382) 7,801
Preferred Stocks - 2.4%
Media - 2.4%
News Corp. Ltd. - ADR 9 310
Total Preferred Stocks (cost $236) 310
Corporate Bonds - 14.5%
Aerospace & Defense - 0.2%
Goodrich Corp., 7.50%, 04/15/08 $25 28
Asset Backed Securities - 3.1%
Atlantic City Electric Transition Funding LLC,
5.55%, 10/20/23 100 100
Capital One Master Trust, 4.60%, 08/17/09 100 102
Household Automotive Trust, 1.73%, 12/17/07 75 75
Prime Credit Card Master Trust, 6.70%, 10/15/09 125 132
409
Auto Parts & Equipment - 0.4%
Johnson Controls Inc., 5.00%, 11/15/06 50 52
Banks - 0.6%
Bank One Corp., 6.875%, 08/01/06 35 378
Standard Chartered Bank, 8.00%, 05/30/31 (e) 35 41
79
Building Materials - 0.2%
Masco Corp., 6.50%, 08/15/32 25 25
Chemicals - 0.2%
Potash Corp., 4.875%, 03/01/13 25 24
Diversified Financial Services - 3.0%
Capital Bank One, 5.75%, 09/15/10 (l) 25 26
CIT Group Inc., 7.75%, 04/02/12 (l) 25 29
Countrywide Home Loans Inc., 4.00%, 03/22/11 35 33
Ford Motor Credit Co., 7.875%, 06/15/10 50 54
General Electric Capital Corp., 1.61%, 06/22/07 35 35
General Motors Acceptance Corp., 6.875%, 09/15/11 40 41
Household Finance Corp., 8.00%, 07/15/10 35 41
International Lease Finance Corp., 4.375%, 11/01/09 35 34
Lehman Brothers Holdings Inc., 7.00%, 02/01/08 35 38
Morgan Stanley, 4.75%, 04/01/14 35 32
SLM Corp., 1.24%, 01/25/07 (l) 25 25
388
Electric - 0.2%
Dominion Resources Inc., 6.25%, 06/30/12 25 26
Food - 0.4%
Kellogg Co., 6.60%, 04/01/11 30 33
Safeway Inc., 7.25%, 02/01/31 25 26
59
Forest Products & Paper - 0.2%
Domtar Inc., 5.375%, 12/01/13 25 24
Healthcare - 0.6%
HCA Inc., 7.125%, 06/01/06 25 26
UnitedHealth Group Inc., 4.75%, 02/10/14 35 33
WellPoint Health Networks, 6.375%, 06/15/06 25 27
86
Home Builders - 0.2%
MDC Holdings Inc., 5.50%, 05/15/13 25 24
Insurance - 0.3%
Unitrin Inc., 4.875%, 11/01/10 35 35
Investment Companies - 0.3%
Credit Suisse First Boston USA Inc., 4.625%, 01/15/08 35 36
Leisure Time - 0.3%
Carnival Corp., 3.75%, 11/15/07 35 35
Media - 0.6%
AOL Time Warner Inc., 7.625%, 04/15/31 25 28
AT&T Broadband Corp., 8.375%, 03/15/13 25 29
COX Communications Inc., 7.75%, 11/01/10 25 28
85
Mining - 0.4%
Noranda Inc., 7.25%, 07/15/12 (l) 25 25
WMC Finance USA, 5.125%, 05/15/13 25 24
49
Oil & Gas Producers - 1.1%
Devon Financing Corp. ULC, 6.875%, 09/30/11 25 27
Precision Drilling Corp., 5.625%, 06/01/14 25 25
Tosco Corp., 8.125%, 02/15/30 35 43
Valero Energy Corp., 7.50%, 04/15/32 (l) 25 28
XTO Energy Inc., 4.90%, 02/01/14 (l) 25 24
147
Pharmaceuticals - 0.2%
Wyeth, 5.50%, 03/15/13 35 34
Real Estate - 0.4%
Boston Properties Inc., 6.25%, 01/15/13 25 26
EOP Operating LP, 6.75%, 02/15/08 25 27
53
Retail - 0.3%
Wal-Mart Stores Inc., 6.875%, 08/10/09 35 39
Savings & Loans - 0.2%
Independence Community Bank, 3.50%, 06/20/13 25 24
Telecommunications - 0.5%
Sprint Captial Corp., 8.375%, 03/15/12 25 29
Telecom Italia Capital SA, 5.25%, 11/15/13 (e) 35 34
63
Tobacco - 0.2%
Universal Corp., 5.20%, 10/15/13 25 24
Water - 0.2%
United Utilities Plc, 4.55%, 06/19/18 25 21
Wireless Telecommunications - 0.2%
AT&T Wireless Services Inc., 8.75%, 03/01/31 25 30
Total Corporate Bonds (cost $1,909) 1,899
Government Securities - 20.0%
Sovereign - 0.4%
Province of Ontario, 3.282%, 03/28/08 50 49
U.S. Government Agencies - 12.3%
Federal Home Loan Mortgage Corp., 5.00%, TBA (c) 100 96
Federal National Mortgage Association
4.50%, TBA (c) 50 49
5.00%, TBA (c) 225 224
5.50%, TBA (c) 240 241
6.00%, TBA (c) 260 266
6.50%, TBA (c) 125 130
7.00%, TBA (c) 140 148
6.25%, 02/01/11 150 161
7.00%, 07/01/15 6 7
6.50%, 07/01/28 28 29
7.00%, 02/01/29 9 10
8.00%, 08/01/30 14 15
7.50%, 02/01/31 7 8
Government National Mortgage Association, 5.50%, TBA (c) 225 225
1,609
U.S. Treasury Securities - 7.3% U.S. Treasury Bond
6.125%, 08/15/29 (l) 125 137
5.375%, 02/15/31 (l) 50 50
U.S. Treasury Note
5.875%, 11/15/04 (l) 350 356
6.875%, 05/15/06 (l) 340 366
3.25%, 01/15/09 (l) 40 39
4.375%, 08/15/12 (l) 5 5
953
Total Government Securities (cost $2,599) 2,611
Short Term Investments - 13.7%
Money Market Funds - 10.0%
Dreyfus Cash Management Plus, 1.14% (a) 653 653
Dreyfus Government Cash Management, 0.96% (a) 653 653
1,306
Repurchase Agreement - 3.7%
Repurchase Agreement with Mellon Trust, 0.41%, (Collateralized by $620
Federal Home Loan Mortgage Corporation, 3.50%, due 06/15/23, market
value $581) acquired on 06/30/04,
due 07/01/04 at $487 $487 487
Total Short Term Investments (cost $1,792) 1,793
Total Investments - 110.2% (cost $13,918) 14,414
Other Assets and Liabilities, Net - (10.2%) (1,334)
Total Net Assets - 100% $13,080
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Common Stocks - 4.2%
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 $-
Food - 0.1%
VFB LLC. (b) 79 9
Home Furnishings - 0.0%
Mattress Discounters Corp. Restricted (b) 1 5
Household Products - 0.1%
ContinentalAFA Dispensing Co. (b) (e) 4 13
Media - 1.0%
UnitedGlobalCom Inc. (b) (l) 18 128
Telecommunications - 1.6%
NTL Inc. (b) 4 216
Wireless Telecommunications - 1.4%
Spectrasite Inc. (b) 4 190
Total Common Stocks (cost $806) 561
Preferred Stocks - 0.6%
Wireless Telecommunications - 0.6%
Alamosa Holdings Inc., 7.50% (l) - 74
Total Preferred Stocks (cost $38) 74
Warrants - 0.1%
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 (l) 1 -
Wireless Telecommunications - 0.1%
American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 7
Total Warrants (cost $2) 7
Corporate Bonds - 93.0%
Advertising - 1.8%
RH Donnelley Finance Corp. I,
10.875%, 12/15/12 (e) (l) $75 87
SITEL Corp., 9.25%, 03/15/06 150 147
234
Aerospace & Defense - 1.8%
L-3 Communications Corp., 7.625%, 06/15/12 150 158
Sequa Corp., 9.00%, 08/01/09 75 80
Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 -
238
Airlines - 0.5%
Continental Airlines Inc.
7.25%, 11/01/05 25 21
6.541%, 09/15/08 52 45
66
Apparel - 1.1%
Levi Strauss & Co., 11.625%, 01/15/08 (l) 155 152
Auto Parts & Equipment - 0.8%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 -
Keystone Automotive Operations Inc., 9.75%, 11/01/13 (e) 50 54
TRW Automotive Inc., 9.375%, 02/15/13 45 50
104
Chemicals - 9.4%
Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (l) 150 97
Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 85 -
Compass Minerals Group Inc., 10.00%, 08/15/11 75 83
Equistar Chemicals LP/Equistar Funding Corp.,
10.625%, 05/01/11 (l) 75 83
ETHYL Corp., 8.875%, 05/01/10 95 100
FMC Corp., 7.75%, 07/01/11 75 79
Huntsman ICI Chemicals, 10.125%, 07/01/09 (l) 75 77
ISP Chemco Inc., 10.25%, 07/01/11 100 111
Lyondell Chemical Co., 11.125%, 07/15/12 (l) 100 111
Millennium America Inc., 9.25%, 06/15/08 (l) 65 70
Resolution Performance Products LLC, 8.00%, 12/15/09 (l) 100 104
Rhodia SA, 7.625%, 06/01/10 (e) (l) 100 91
United Industries Corp., 9.875%, 04/01/09 150 156
Westlake Chemical Corp., 8.75%, 07/15/11 75 81
1,243
Commercial Services - 1.2%
Brand Services Inc., 12.00%, 10/15/12 75 85
Iron Mountain Inc., 8.625%, 04/01/13 25 27
Mail-Well I Corp., 9.625%, 03/15/12 50 54
166
Distribution & Wholesale - 0.6%
Wesco Distribution Inc., 9.125%, 06/01/08 75 77
Diversified Financial Services - 1.7%
Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 123 -
Alamosa Delaware Inc.,
(Step-Up Bond), 12.00%, 07/31/09 (d) (l) 102 99
BCP Caylux Holdings Luxembourg SCA,
9.625%, 06/15/14 (e) (l) 50 52
Contifinancial Corp. Liquidating Trust, 06/15/00 115 2
Sensus Metering Systems Inc., 8.625%, 12/15/13 (e) 75 72
225
Electric - 8.3%
AES Corp.
8.75%, 06/15/08 (l) 50 51
9.375%, 09/15/10 50 52
8.875%, 02/15/11 (l) 25 26
Allegheny Energy Supply Statutory Trust 2001,
10.25%, 11/15/07 (e) 75 81
BRL Universal Equipment, 8.875%, 02/15/08 150 161
Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 (l) 75 50
Calpine Corp.
8.75%, 07/15/07 (l) 25 18
8.50%, 07/15/10 (e) (l) 100 83
Edison Mission Energy Corp., 7.73%, 06/15/09 125 122
Mirant Americas Generation Inc.
7.625%, 05/01/06 (i) 50 38
9.125%, 05/01/31 (i) 100 75
NRG Energy Inc., 8.00%, 12/15/13 (e) 175 177
Reliant Energy Inc., 9.50%, 07/15/13 (l) 150 162
1,096
Electrical Components & Equipment - 0.6%
Motors And Gears Inc., 10.75%, 11/15/06 100 85
Electronics - 0.3%
Muzak LLC, 10.00%, 02/15/09 50 44
Entertainment - 2.0%
Argosy Gaming Co., 7.00%, 01/15/14 (e) (l) 100 98
Isle of Capri Casinos Inc., 7.00%, 03/01/14 (e) 100 93
Pinnacle Entertainment Inc., 8.75%, 10/01/13 (l) 75 74
265
Environmental Control - 2.0%
Allied Waste Inc., 9.25%, 09/01/12 100 112
Allied Waste North America, 7.375%, 04/15/14 (e) (l) 75 73
Imco Recycling Inc., 10.375%, 10/15/10 75 81
Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 -
266
Food - 1.7%
Ahold Lease USA Inc., 7.82%, 01/02/20 71 70
Doane Pet Care Co., 10.75%, 03/01/10 100 105
Nash Finch Co., 8.50%, 05/01/08 (l) 50 50
225
Forest Products & Paper - 2.8%
Abitibi-Consolidated Inc., 8.85%, 08/01/30 75 73
Bowater Inc., 6.50%, 06/15/13 (l) 100 94
Buckeye Technologies Inc.
9.25%, 09/15/08 (l) 75 74
8.00%, 10/15/10 25 23
Tembec Industries Inc., 8.625%, 06/30/09 (l) 100 101
365
Healthcare - 4.5%
Ameripath Inc., 10.50%, 04/01/13 75 76
Extendicare Health Services Inc., 9.50%, 07/01/10 75 83
Insight Health Services Corp., 9.875%, 11/01/11 75 80
Psychiatric Solutions Inc., 10.625%, 06/15/13 75 85
Sola International Inc., 6.875%, 03/15/08 75 76
Tenet Healthcare Corp., 7.375%, 02/01/13 (l) 125 113
Vanguard Health Systems Inc., 9.75%, 08/01/11 75 81
594
Holding Companies - Diversified - 0.6%
JSG Funding Plc, 9.625%, 10/01/12 75 82
Home Furnishings - 0.2%
Applica Inc., 10.00%, 07/31/08 21 21
Internet - 0.5%
FTD Inc., 7.75%, 02/15/14 75 70
Iron & Steel - 1.3%
AK Steel Corp., 7.875%, 02/15/09 (l) 100 94
Ispat Inland ULC, 9.75%, 04/01/14 (e) 75 77
171
Leisure Time - 2.4%
AMF Bowling Worldwide Inc., 10.00%, 03/01/10 (e) 100 102
Icon Health & Fitness Corp., 11.25%, 04/01/12 75 82
Leslie's Poolmart Inc., 10.375%, 07/15/08 125 128
312
Lodging - 3.3%
John Q Hammons Hotels LP, 8.875%, 05/15/12 100 108
Park Place Entertainment Corp., 8.875%, 09/15/08 100 109
Prime Hospitality Corp., 8.375%, 05/01/12 50 52
Sun International Hotels Ltd., 8.875%, 08/15/11 50 53
Venetian Casino Resort LLC, 11.00%, 06/15/10 100 116
438
Machinery - 1.0%
Case New Holland Inc., 9.25%, 08/01/11 (e) 50 52
NMHG Holding Co., 10.00%, 05/15/09 75 83
135
Manufacturing - 1.2%
Blount Inc., 13.00%, 08/01/09 100 107
Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 50
157
Media - 9.8%
Cablevision Systems Corp., 8.00%, 04/15/12 (e) 50 49
Charter Communications Holdings LLC
10.75%, 10/01/09 75 64
10.00%, 05/15/11 350 277
CSC Holdings Inc., 10.50%, 05/15/16 (l) 125 140
Dex Media East LLC, 9.875%, 11/15/09 50 56
Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (e) 200 129
Dex Media West LLC, 9.875%, 08/15/13 100 110
DIRECTV Holdings LLC, 8.375%, 03/15/13 100 111
Lodgenet Entertainment Corp., 9.50%, 06/15/13 (l) 75 82
Mediacom Broadband LLC, 11.00%, 07/15/13 (l) 50 53
Nextmedia Operating Inc., 10.75%, 07/01/11 125 140
Radio One Inc., 8.875%, 07/01/11 25 27
Rogers Cable Inc., 8.75%, 05/01/32 25 26
Yell Finance BV, (Step-Up Bond), 13.50%, 08/01/11 (d) (l) 33 31
1,295
Oil & Gas Producers - 1.8%
Magnum Hunter Resources Inc., 9.60%, 03/15/12 125 137
Vintage Petroleum Inc., 7.875%, 05/15/11 100 103
240
Packaging & Containers - 5.5%
Anchor Glass Container Corp., 11.00%, 02/15/13 75 85
Berry Plastics Corp., 10.75%, 07/15/12 125 139
Plastipak Holdings Inc., 10.75%, 09/01/11 100 108
Pliant Corp., 11.125%, 09/01/09 (l) 75 80
Radnor Holdings Corp., 11.00%, 03/15/10 (l) 100 85
Stone Container Corp., 9.75%, 02/01/11 125 138
Tekni-Plex Inc., 12.75%, 06/15/10 100 96
731
Pharmaceuticals - 1.1%
aaiPharma Inc., (Step-Up Bond), 11.50%, 04/01/10 (d) (l) 75 62
Vicar Operating Inc., 9.875%, 12/01/09 75 83
145
Pipelines - 4.2%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 50 53
7.125%, 05/15/18 25 20
7.625%, 10/15/26 125 97
El Paso Corp., 7.75%, 01/15/32 (l) 150 120
Williams Cos. Inc.
8.625%, 06/01/10 (l) 25 28
7.625%, 07/15/19 (l) 50 48
7.875%, 09/01/21 200 193
559
Real Estate - 1.0%
Felcor Lodging LP, 10.00%, 09/15/08 (l) 12 13
Host Marriott Corp., 7.875%, 08/01/08 14 14
Host Marriott LP, 8.375%, 02/15/06 50 53
MeriStar Hospitality Operating Partnership LP,
10.50%, 06/15/09 (l) 50 53
133
Retail - 5.3%
Buffets Inc., 11.25%, 07/15/10 75 77
Cole National Group Inc., 8.625%, 08/15/07 75 76
Eye Care Centers of America, 9.125%, 05/01/08 75 76
Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 173
Jafra Cosmetics International Inc., 10.75%, 05/15/11 100 112
Rite Aid Corp., 11.25%, 07/01/08 (l) 75 83
Saks Inc.
9.875%, 10/01/11 25 29
7.375%, 02/15/19 75 72
698
Telecommunications - 5.1%
ACC Escrow Corp., 10.00%, 08/01/11 25 21
Cincinnati Bell Inc., 8.375%, 01/15/14 (l) 100 89
Insight Midwest Capital Inc.
9.75%, 10/01/09 (l) 75 79
10.50%, 11/01/10 25 27
Qwest Services Corp.
13.50%, 12/15/10 (e) 225 262
14.00%, 12/15/14 (e) 50 60
Telewest Communications Plc
(Step-Up Bond), 9.25%, 04/15/09 (d) (i) (l) 125 60
(Step-Up Bond), 11.375%, 02/01/10 (d) (i) (l) 180 79
677
Telecommunications Equipment - 1.4%
Lucent Technologies Inc., 6.45%, 03/15/29 (l) 175 135
Nortel Networks Ltd., 6.125%, 02/15/06 (l) 50 50
185
Transportation - 0.0%
Holt Group, 9.75%, 01/15/06 (i) 125 -
Wireless Telecommunications - 6.2%
American Tower Corp., 9.375%, 02/01/09 (l) 75 80
American Tower Escrow Corp., (Step-Up Bond)
7.767%, 08/01/08 (k) 35 25
Crown Castle International Corp., 9.375%, 08/01/11 175 192
Nextel Communications Inc., 7.375%, 08/01/15 175 177
SBA Communications Corp., 10.25%, 02/01/09 (l) 150 154
SBA Telecommunications Inc., (Step-Up Bond)
9.75%, 12/15/11 50 37
Spectrasite Inc., 8.25%, 05/15/10 50 52
UbiquiTel Operating Co., 9.875%, 03/01/11 (e) (l) 100 100
817
Total Corporate Bonds (cost $12,732) 12,311
Short Term Investments - 7.9%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.14% (a) 1 1
U.S. Government Agencies - 7.9%
Federal Home Loan Bank Discount Note, 1.25%, 07/01/04 1,042 1,042
Total Short Term Investments (cost $1,043) 1,043
Total Investments - 105.7% (cost $14,621) 13,996
Other Assets and Liabilities, Net - (5.7%) (752)
Total Net Assets - 100% $13,244
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Common Stocks - 0.5%
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 26
Media - 0.1%
UnitedGlobalCom Inc. (b) 46 334
Telecommunications - 0.2%
NTL Inc. (b) 8 485
Wireless Telecommunications - 0.1%
Spectrasite Inc. (b) 6 258
Total Common Stocks (cost $1,095) 1,112
Preferred Stocks - 0.1%
Holding Companies - Diversified - 0.0%
TCR Holdings - Class B (b) - -
TCR Holdings - Class C (b) - -
TCR Holdings - Class D (b) 1 -
TCR Holdings - Class E (b) 1 -
-
Wireless Telecommunications - 0.1%
Alamosa Holdings Inc., 7.50% (l) - 182
Total Preferred Stocks (cost $99) 182
Rights - 0.0%
Sovereign - 0.0%
Venezuela Par Rights, 04/15/20 4 -
Total Rights (cost $0) -
Warrants - 0.0%
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 (l) - -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 28
Total Warrants (cost $9) 28
Corporate Bonds - 29.0%
Advertising - 0.3%
Advanstar Communications Inc., 10.75%, 08/15/10 $175 194
Interep National Radio Sales Inc., 10.00%, 07/01/08 100 83
RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 175 203
SITEL Corp., 9.25%, 03/15/06 150 147
627
Aerospace & Defense - 0.3%
Alliant Techsystems Inc., 8.50%, 05/15/11 125 135
Argo-Tech Corp., 9.25%, 06/01/11 (e) 175 180
L-3 Communications Corp., 7.625%, 06/15/12 200 211
Sequa Corp., 9.00%, 08/01/09 125 133
659
Agriculture - 0.1%
Hines Nurseries Inc., 10.25%, 10/01/11 200 218
Airlines - 0.1%
Continental Airlines Inc.
7.25%, 11/01/05 100 85
6.541%, 09/15/08 136 117
202
Apparel - 0.1%
Levi Strauss & Co.
11.625%, 01/15/08 (l) 70 69
12.25%, 12/15/12 (l) 255 251
320
Asset Backed Securities - 5.0%
Amortizing Residential Collateral Trust, 2.62%, 08/25/32 (g) 750 754
Argent NIM Trust, 4.70%, 07/25/34 (e) 980 979
Asset Backed Securities Corp. Home Equity Loan,
3.1388%, 04/15/33 (g) 500 507
Bayview Financial Acquisition Trust, 2.55%, 08/25/36 (e) (g) 1,000 991
Bear Stearns Asset Backed Securities, 6.50%, 01/25/34 (e) 288 291
Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 452
Commercial Mortgage Pass-thru Trust,
2.10%, 11/15/15 (e) (g) 480 481
Countrywide Asset-Backed Certificates, 2.55%, 06/25/34 640 640
CS First Boston Mortgage Securities Corp.,
2.52%, 09/25/31 (g) 500 502
First Consumers Master Trust
5.80%, 12/15/05 (e) 36 35
1.41%, 09/15/08 (g) 407 374
Green Tree Financial Corp., 7.07%, 01/15/29 958 1,005
Merit Securities Corp., 2.60%, 09/28/32 (e) (g) 1,100 1,055
Metris Master Trust
2.18%, 07/21/08 (g) 375 375
2.68%, 08/20/08 (g) 200 198
2.36%, 11/20/09 (g) 700 645
Mid-State Trust, 7.34%, 07/01/35 460 483
Novastar Home Equity Loan
2.075%, 02/25/34 450 451
2.92%, 02/25/34 220 225
Residential Asset Securities Corp., 2.50%, 04/25/32 (g) 500 503
Sail Net Interest Margin Notes
6.75%, 04/27/33 (e) 135 134
7.75%, 04/27/33 (e) 71 72
5.00%, 04/27/34 (e) 647 646
11,798
Auto Parts & Equipment - 0.2%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 -
Eagle-Picher Industries Inc., 9.75%, 09/01/13 200 215
Tenneco Automotive Inc., 10.25%, 07/15/13 (l) 100 113
TRW Automotive Inc., 9.375%, 02/15/13 179 202
530
Banks - 0.7%
Bank of America Corp., 4.875%, 09/15/12 (l) 525 511
Corp. Andina De Fomento CAF, 6.875%, 03/15/12 (f) 550 591
Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 525 621
1,723
Building Materials - 0.1%
Associated Materials Inc., (Step-Up Bond),
11.25%, 03/01/14 (e) (l) 350 235
Chemicals - 1.5%
Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (l) 100 65
Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 140 -
Compass Minerals Group Inc., 10.00%, 08/15/11 150 167
Equistar Chemicals LP/Equistar Funding Corp.,
10.625%, 05/01/11 (l) 175 194
ETHYL Corp., 8.875%, 05/01/10 225 237
FMC Corp., 10.25%, 11/01/09 150 173
Huntsman ICI Chemicals, 10.125%, 07/01/09 (l) 250 255
Huntsman International LLC, 9.875%, 03/01/09 (l) 100 108
ISP Chemco Inc., 10.25%, 07/01/11 225 250
Lyondell Chemical Co., 11.125%, 07/15/12 (l) 225 249
Methanex Corp., 8.75%, 08/15/12 (l) 175 197
Millennium America Inc., 9.25%, 06/15/08 (l) 250 269
Potash Corp., 4.875%, 03/01/13 425 407
Resolution Performance Products Inc., 13.50%, 11/15/10 (l) 175 163
Resolution Performance Products LLC, 9.50%, 04/15/10 (l) 100 103
Rhodia SA, 7.625%, 06/01/10 (e) (l) 225 204
United Industries Corp., 9.875%, 04/01/09 325 338
Westlake Chemical Corp., 8.75%, 07/15/11 200 217
3,596
Commercial Services - 0.2%
Brand Services Inc., 12.00%, 10/15/12 100 114
Iron Mountain Inc., 8.625%, 04/01/13 175 186
Mail-Well I Corp.
9.625%, 03/15/12 (l) 75 80
7.875%, 12/01/13 (e) (l) 175 159
539
Computers - 0.1%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 131
Distribution & Wholesale - 0.1%
Wesco Distribution Inc., 9.125%, 06/01/08 200 206
Diversified Financial Services - 3.5%
Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 247 -
Alamosa Delaware Inc., 11.00%, 07/31/10 161 175
Athena Neurosciences Finance LLC, 7.25%, 02/21/08 125 124
BCP Caylux Holdings Luxembourg SCA,
9.625%, 06/15/14 (e) 150 155
Capital One Financial Corp., 7.25%, 05/01/06 (l) 800 849
CIT Group Inc., 7.75%, 04/02/12 (l) 550 627
Contifinancial Corp. Liquidating Trust, 06/15/00 230 5
Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 885 825
Ford Motor Credit Co., 7.875%, 06/15/10 375 408
General Electric Capital Corp., 6.00%, 06/15/12 (f) 950 1,003
General Motors Acceptance Corp., 6.875%, 09/15/11 425 436
Hollinger Participation Trust, 12.125%, 11/15/10 (e) 212 247
Household Finance Corp., 6.75%, 05/15/11 (f) 675 738
Huntsman ADV Materials, 11.00%, 07/15/10 (e) (l) 200 226
International Lease Finance Corp., 4.375%, 11/01/09 325 319
JPMorgan Chase & Co., 6.625%, 03/15/12 700 757
MBNA Corp., 4.625%, 09/15/08 (l) 675 677
Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 525 565
Sensus Metering Systems Inc., 8.625%, 12/15/13 (e) 250 240
8,377
Electric - 1.9%
AES Corp.
9.50%, 06/01/09 (l) 50 54
9.375%, 09/15/10 (l) 125 133
7.75%, 03/01/14 (l) 175 168
Allegheny Energy Supply Statutory Trust 2001,
10.25%, 11/15/07 (e) 250 269
BRL Universal Equipment, 8.875%, 02/15/08 75 80
Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 (l) 200 132
Calpine Corp.
8.75%, 07/15/07 (l) 25 18
8.50%, 07/15/10 (e) 250 207
Calpine Generating Co. LLC, 10.25%, 04/01/11 (e) (l) 125 113
Duke Energy Corp., 4.20%, 10/01/08 (l) 675 663
Edison Mission Energy Corp., 9.875%, 04/15/11 (l) 350 365
Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 553
Mirant Americas Generation Inc., 9.125%, 05/01/31 (i) 250 188
Mirant Americas Generation LLC, 8.30%, 05/01/11 (i) 300 225
NRG Energy Inc., 8.00%, 12/15/13 (e) 350 354
Pinnacle West Capital Corp., 6.40%, 04/01/06 675 709
Reliant Energy Inc., 9.50%, 07/15/13 (l) 350 377
4,608
Electronics - 0.1%
Muzak Finance Corp., 9.875%, 03/15/09 125 96
Muzak LLC, 10.00%, 02/15/09 75 66
162
Entertainment - 0.2%
Isle of Capri Casinos Inc., 7.00%, 03/01/14 (e) 250 232
Pinnacle Entertainment Inc., 8.75%, 10/01/13 (l) 175 174
406
Environmental Control - 0.3%
Allied Waste Inc., 9.25%, 09/01/12 100 111
Allied Waste North America
8.875%, 04/01/08 100 110
7.375%, 04/15/14 (e) 200 195
Imco Recycling Inc., 10.375%, 10/15/10 175 189
Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 1
606
Food - 0.7%
Ahold Lease USA Inc., 7.82%, 01/02/20 47 47
Del Monte Corp.
9.25%, 05/15/11 100 108
8.625%, 12/15/12 75 81
Doane Pet Care Co.
9.75%, 05/15/07 225 208
10.75%, 03/01/10 25 26
Kraft Foods Inc., 5.625%, 11/01/11 215 219
Nutritional Sourcing Corp., 10.125%, 08/01/09 14 9
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 175 169
Safeway Inc., 7.25%, 02/01/31 350 369
Swift & Co., 10.125%, 10/01/09 (l) 200 214
United Agri Products, 8.25%, 12/15/11 (e) 220 245
1,695
Forest Products & Paper - 0.7%
Bowater Canada Finance, 7.95%, 11/15/11 150 156
Bowater Inc., 6.50%, 06/15/13 (l) 100 94
Buckeye Technologies Inc.
9.25%, 09/15/08 (l) 150 147
8.00%, 10/15/10 75 69
Domtar Inc., 5.375%, 12/01/13 (l) 590 561
Smurfit Capital Funding Plc, 7.50%, 11/20/25 225 210
Tembec Industries Inc., 8.625%, 06/30/09 (l) 350 354
1,591
Healthcare - 1.3%
Ameripath Inc., 10.50%, 04/01/13 (l) 225 226
Extendicare Health Services Inc., 9.50%, 07/01/10 150 166
Genesis HealthCare Corp., 8.00%, 10/15/13 (e) 225 230
Humana Inc., 6.30%, 08/01/18 675 668
Insight Health Services Corp., 9.875%, 11/01/11 (l) 150 161
Medical Device Manufacturing Inc., 10.00%, 07/15/12 (e) 175 179
Psychiatric Solutions Inc., 10.625%, 06/15/13 150 171
Sybron Dental Specialites Inc., 8.125%, 06/15/12 275 294
Tenet Healthcare Corp.
7.375%, 02/01/13 (l) 250 226
9.875%, 07/01/14 (e) (l) 25 25
6.875%, 11/15/31 75 59
Vanguard Health Systems Inc., 9.75%, 08/01/11 175 189
WellPoint Health Networks, 6.375%, 01/15/12 350 375
2,969
Holding Companies - Diversified - 0.0%
Nebco Evans Holding Co., 12.375%, 07/15/07 (i) 350 -
Home Furnishings - 0.1%
Applica Inc., 10.00%, 07/31/08 64 65
Sealy Mattress Co., 8.25%, 06/15/14 (e) 175 176
241
Internet - 0.1%
FTD Inc., 7.75%, 02/15/14 175 162
Iron & Steel - 0.2%
AK Steel Corp., 7.875%, 02/15/09 (l) 300 281
Ispat Inland ULC, 9.75%, 04/01/14 (e) 175 180
461
Leisure Time - 0.1%
Equinox Holdings Inc., 9.00%, 12/15/09 (e) (l) 175 174
Icon Health & Fitness Corp., 11.25%, 04/01/12 100 109
283
Lodging - 0.6%
Boyd Gaming Corp., 8.75%, 04/15/12 225 239
Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 81
Courtyard by Marriott, 10.75%, 02/01/08 200 201
John Q Hammons Hotels LP, 8.875%, 05/15/12 (l) 200 217
Park Place Entertainment Corp., 8.125%, 05/15/11 (l) 125 133
Prime Hospitality Corp., 8.375%, 05/01/12 225 232
Turning Stone Casino Resort Enterprise,
9.125%, 12/15/10 (e) 175 183
Venetian Casino Resort LLC, 11.00%, 06/15/10 200 231
1,517
Machinery - 0.2%
Case New Holland Inc., 9.25%, 08/01/11 (e) 25 26
Flowserve Corp., 12.25%, 08/15/10 125 142
Terex Corp., 10.375%, 04/01/11 (l) 175 195
363
Manufacturing - 0.2%
Blount Inc., 13.00%, 08/01/09 275 294
Koppers Inc., 9.875%, 10/15/13 125 137
431
Media - 2.0%
AOL Time Warner Inc., 7.625%, 04/15/31 325 351
AT&T Broadband Corp., 8.375%, 03/15/13 350 411
Cablevision Systems Corp.
5.59%, 04/01/09 (e) 300 308
8.00%, 04/15/12 (e) (l) 200 197
Charter Communications Holdings LLC
8.25%, 04/01/07 (l) 125 114
8.625%, 04/01/09 (l) 50 40
10.75%, 10/01/09 50 42
(Step-Up Bond), 11.75%, 01/15/10 (d) 75 60
10.00%, 05/15/11 550 436
(Step-Up Bond), 11.75%, 05/15/11 (d) 225 146
(Step-Up Bond), 12.125%, 01/15/12 (d) 75 45
COX Communications Inc., 7.75%, 11/01/10 (f) 730 828
CSC Holdings Inc., 10.50%, 05/15/16 (l) 75 84
Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) (e) 200 129
Dex Media West LLC, 9.875%, 08/15/13 200 220
DIRECTV Holdings LLC, 8.375%, 03/15/13 200 221
Houghton Mifflin Co., (Step-Up Bond) 11.50%, 10/15/13 125 66
Lodgenet Entertainment Corp., 9.50%, 06/15/13 (l) 300 328
Mediacom Broadband LLC, 11.00%, 07/15/13 (l) 135 144
Mediacom Capital Corp., 9.50%, 01/15/13 (l) 25 24
Nexstar Finance Holdings Inc.,
(Step-Up Bond), 11.375%, 04/01/13 (d) 125 89
Nextmedia Operating Inc., 10.75%, 07/01/11 200 223
Radio One Inc., 8.875%, 07/01/11 150 164
4,670
Metal Fabrication & Hardware - 0.1%
Mueller Group Inc., 10.00%, 05/01/12 (e) 150 156
Mining - 0.2%
WMC Finance USA, 5.125%, 05/15/13 425 408
Office Furnishings - 0.1%
Tempur-Pedic Inc. and Tempur Production USA Inc.,
10.25%, 08/15/10 130 147
Oil & Gas Producers - 1.5%
Devon Financing Corp. ULC, 6.875%, 09/30/11 325 354
Forest Oil Corp., 8.00%, 12/15/11 250 268
Magnum Hunter Resources Inc., 9.60%, 03/15/12 300 330
Nexen Inc., 5.05%, 11/20/13 700 671
Parker Drilling Co., 5.50%, 08/01/04 (j) 125 124
Petronas Capital Ltd., 7.00%, 05/22/12 (e) 275 300
Precision Drilling Corp., 5.625%, 06/01/14 675 679
Stone Energy Corp., 8.25%, 12/15/11 300 313
Swift Energy Co., 9.375%, 05/01/12 50 53
Valero Energy Corp., 4.75%, 06/15/13 435 409
Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 100 103
3,604
Oil & Gas Services - 0.1%
Hanover Compressor Co., 9.00%, 03/31/07 (k) (l) 175 138
Packaging & Containers - 0.7%
Anchor Glass Container Corp., 11.00%, 02/15/13 150 172
Berry Plastics Corp., 10.75%, 07/15/12 200 222
Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 100 104
Plastipak Holdings Inc., 10.75%, 09/01/11 310 333
Pliant Corp., 11.125%, 09/01/09 (l) 100 107
Radnor Holdings Corp., 11.00%, 03/15/10 (l) 225 191
Stone Container Corp., 8.375%, 07/01/12 200 209
Tekni-Plex Inc., 8.75%, 11/15/13 (e) 225 215
1,553
Pharmaceuticals - 0.4%
aaiPharma Inc., (Step-Up Bond), 11.00%, 04/01/10 (d) (l) 175 145
American Home Products Corp., 6.95%, 03/15/11 675 721
Vicar Operating Inc., 9.875%, 12/01/09 175 193
1,059
Pipelines - 0.6%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 100 107
7.125%, 05/15/18 100 78
7.625%, 10/15/26 450 349
EL Paso Corp.
7.875%, 06/15/12 100 90
7.80%, 08/01/31 75 60
7.75%, 01/15/32 (l) 375 301
Williams Cos. Inc.
8.625%, 06/01/10 100 110
7.125%, 09/01/11 (l) 50 51
7.625%, 07/15/19 (l) 75 72
7.875%, 09/01/21 100 96
8.75%, 03/15/32 200 200
1,514
Real Estate - 0.6%
Boston Properties Inc., 6.25%, 01/15/13 450 471
EOP Operating LP, 7.50%, 04/19/29 (f) 575 612
Felcor Lodging LP, 10.00%, 09/15/08 (l) 46 49
Host Marriott Corp., 7.875%, 08/01/08 161 165
Host Marriott LP, 9.50%, 01/15/07 75 82
MeriStar Hospitality Operating Partnership LP,
10.50%, 06/15/09 (l) 100 107
1,486
Retail - 0.9%
Cole National Group, 8.875%, 05/15/12 200 214
Eye Care Centers of America, 9.125%, 05/01/08 225 227
Home Interiors & Gifts Inc., 10.125%, 06/01/08 300 297
Jafra Cosmetics International Inc., 10.75%, 05/15/11 200 223
Ltd. Brands, 6.95%, 03/01/33 475 497
Petco Animal Supplies Inc., 10.75%, 11/01/11 150 168
Rite Aid Corp., 11.25%, 07/01/08 (l) 125 138
Sbarro Inc., 11.00%, 09/15/09 (l) 300 263
VICORP Restaurants Inc., 10.50%, 04/15/11 (e) 125 124
2,151
Savings & Loans - 0.2%
Independence Community Bank, 3.50%, 06/20/13 475 452
Semiconductors - 0.1%
Amkor Technology Inc., 7.125%, 03/15/11 (e) (l) 350 328
Telecommunications - 0.9%
ACC Escrow Corp., 10.00%, 08/01/11 25 22
Cincinnati Bell Inc., 8.375%, 01/15/14 (l) 225 200
Insight Midwest Capital Inc., 10.50%, 11/01/10 200 218
Qwest Corp.
9.1256%, 03/15/12 (e) 75 81
8.875%, 06/01/31 25 24
Qwest Services Corp.
13.50%, 12/15/10 (e) 225 262
14.00%, 12/15/14 (e) 275 328
Sprint Captial Corp., 8.375%, 03/15/12 (f) 750 862
Telewest Communications Plc,
(Step-Up Bond), 11.375%, 02/01/10 (d) (i) (l) 380 167
2,164
Telecommunications Equipment - 0.1%
Lucent Technologies Inc., 6.45%, 03/15/29 (l) 450 348
Transportation - 0.2%
Holt Group, 9.75%, 01/15/06 (i) 200 -
Union Pacific Corp., 3.625%, 06/01/10 (l) 550 517
517
Water - 0.2%
United Utilities Plc, 4.55%, 06/19/18 700 598
Wireless Telecommunications - 1.1%
American Tower Corp.
9.375%, 02/01/09 100 106
7.50%, 05/01/12 (e) (l) 125 120
American Tower Escrow Corp., 7.767%, 08/01/08 (k) 145 106
AT&T Wireless Services Inc., 8.75%, 03/01/31 325 396
Centennial Cellular Operating Co., 10.125%, 06/15/13 200 207
Centennial Communications Corp., 8.125%, 02/01/14 (e) (l) 250 232
Crown Castle International Corp.
9.375%, 08/01/11 (l) 15 17
10.75%, 08/01/11 225 252
7.50%, 12/01/13 75 75
Nextel Communications Inc., 7.375%, 08/01/15 450 455
SBA Communications Corp., 10.25%, 02/01/09 (l) 275 282
SBA Telecommunications Inc., (Step-Up Bond),
9.75%, 12/15/11 250 185
Spectrasite Inc., 8.25%, 05/15/10 100 103
Western Wireless Corp., 9.25%, 07/15/13 (l) 75 77
2,613
Total Corporate Bonds (cost $68,893) 68,561
Government Securities - 63.1%
Asset Backed Securities - 0.2%
First Union National Bank Commercial Mortgage -
Interest Only, 0.5329%, 05/17/32 11,940 369
Sovereign - 21.8%
Colombia Government International Bond,
8.125%, 05/21/24 250 202
Federal Republic of Brazil
8.00%, 04/15/14 (l) 4,503 4,108
10.125%, 05/15/27 215 190
12.25%, 03/06/30 610 634
11.00%, 08/17/40 200 189
Finnish Government, 5.75%, 02/23/11 (f) 1,200 1,612
French Treasury Note, 3.50%, 01/12/08 (f) 3,900 4,777
Kingdom of Morocco, 6.8438%, 01/01/09 957 938
Malaysia Government International Bond, 7.50%, 07/15/11 325 367
Mexico Government International Bond
5.875%, 01/15/14 (l) 1,399 1,344
6.625%, 03/03/15 (l) 1,625 1,613
National Republic of Bulgaria, 2.6875%, 07/28/12 (h) 405 404
Netherlands Government, 5.00%, 07/15/11 (f) 3,600 4,637
Peru Government International Bond,
9.875%, 02/06/15 (l) 165 172
Region of Lombardy, 5.804%, 10/25/32 750 735
Republic of Argentina
2.0625%, 03/31/23 (g) (i) 500 253
6.00%, 03/31/23 500 255
Republic of Brazil, 2.1875%, 04/15/12 1,525 1,275
Republic of Bulgaria, 8.25%, 01/15/15 (l) 450 525
Republic of Colombia
10.00%, 01/23/12 (l) 375 388
10.75%, 01/15/13 175 186
8.375%, 02/15/27 (l) 225 182
10.375%, 01/28/33 200 194
Republic of Ecuador, 12.00%, 11/15/12 (l) 1,250 1,126
Republic of Germany
4.25%, 02/15/08 (f) 5,500 6,898
5.25%, 01/04/11 (f) 3,700 4,844
Republic of Panama
9.625%, 02/08/11 600 665
9.375%, 01/16/23 625 638
Republic of Peru
9.125%, 02/21/12 200 205
4.50%, 03/07/17 (h) 228 197
Republic of Philippines
8.375%, 03/12/09 (l) 800 832
10.625%, 03/16/25 (l) 525 543
Republic of Turkey
9.00%, 06/30/11 400 402
11.50%, 01/23/12 425 476
11.00%, 01/14/13 450 491
Republic of Venezuela
2.75%, 12/18/07 (g) (l) 1,000 955
5.375%, 08/07/10 450 358
9.25%, 09/15/27 (l) 100 85
9.375%, 01/13/34 250 211
Russian Federation
8.25%, 03/31/10 500 543
11.00%, 07/24/18 1,125 1,419
5.00%, 03/31/30 (h) 3,745 3,419
United Mexican States
8.375%, 01/14/11 350 396
8.30%, 08/15/31 1,575 1,650
51,533
U.S. Government Agencies - 30.2% Federal Home Loan Mortgage Corp.
5.00%, TBA (c) 7,500 7,249
6.50%, TBA (c) 2,000 2,085
Interest Only, 1156.50%, 06/15/21 - -
Federal National Mortgage Association
4.50%, TBA (c) 3,000 2,811
5.00%, TBA (c) 22,125 21,399
5.50%, TBA (c) 18,500 18,436
6.00%, TBA (c) 8,000 8,174
6.50%, TBA (c) 2,000 2,082
7.00%, TBA (c) 7,500 7,906
7.3903%, 01/17/13 (g) 398 407
10.40%, 04/25/19 8 8
6.50%, 02/01/26 24 25
7.50%, 08/01/29 40 43
8.00%, 08/01/29 4 4
7.50%, 09/01/29 83 89
7.50%, 03/01/30 15 16
8.00%, 04/01/30 22 24
7.50%, 05/01/30 12 12
7.50%, 06/01/30 30 32
7.50%, 07/01/30 33 34
8.00%, 07/01/30 3 3
7.50%, 08/01/30 5 5
8.00%, 08/01/30 17 18
7.50%, 09/01/30 9 9
8.00%, 10/01/30 210 228
7.50%, 11/01/30 15 16
7.50%, 12/01/30 16 17
7.50%, 01/01/31 39 42
8.00%, 01/01/31 75 81
7.50%, 02/01/31 136 145
8.00%, 02/01/31 6 7
7.50%, 03/01/31 37 40
71,447
U.S. Treasury Securities - 10.9% U.S. Treasury Bond
6.125%, 11/15/27 (l) (m) 100 110
5.50%, 08/15/28 (l) 70 71
5.25%, 11/15/28 (l) 1,500 1,470
5.25%, 02/15/29 (l) 500 490
6.125%, 08/15/29 (l) 1,500 1,650
5.375%, 02/15/31 (l) (m) 750 756
U.S. Treasury Note
3.125%, 04/15/09 (l) 14,500 14,088
4.00%, 02/15/14 (l) 7,350 7,005
25,640
Total Government Securities (cost $150,497) 148,989
Short Term Investments - 36.1%
Commercial Paper - 23.7%
Beethoven Funding Corp., 1.25%, 07/15/04 (f) 5,830 5,827
DaimlerChrysler NA Holdings Inc., 1.34%, 07/15/04 (f) 2,915 2,914
Four Winds Funding Corp., 1.28%, 07/15/04 (f) 2,915 2,914
Galleon Capital LLC, 1.23%, 07/14/04 (f) 1,181 1,181
General Motors Acceptance Corp., 1.35%, 07/15/04 (f) 2,915 2,913
Giro Multi Funding Corp., 1.24%, 07/14/04 (f) 5,830 5,827
Hannover Funding Co. LLC, 1.23%, 07/15/04 (f) 5,830 5,827
Nieuw Amsterdam, 1.22%, 07/15/04 (f) 5,830 5,827
Regency Markets LLC, 1.24%, 07/14/04 (f) 5,830 5,827
Surrey Funding Corp., 1.23%, 07/14/04 (f) 5,366 5,364
Tasman Funding Inc., 1.24%, 07/15/04 (f) 5,825 5,822
Victory Receivables Corp., 1.25%, 07/15/04 (f) 5,830 5,827
56,070
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.14% (a) 2 2
U.S. Government Agencies - 12.4%
Federal Home Loan Bank Discount Note,
1.25%, 07/01/04 29,163 29,163
Total Short Term Investments (cost $85,235) 85,235
Total Investments - 128.8% (cost $305,828) 304,107
Other Assets and Liabilities, Net - (28.8%) (67,956)
Total Net Assets - 100% $236,151
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Corporate Bonds - 3.7%
Asset Backed Securities - 3.7%
Commercial Mortgage Acceptance Corp.,
5.447%, 07/16/34 (e) (f) $5,990 $6,113
Green Tree Financial Corp., 7.07%, 01/15/29 (f) 899 942
Metris Master Trust, 1.40%, 08/20/08 (f) (g) 1,000 996
Total Corporate Bonds (cost $8,042) 8,051
Government Securities - 85.4%
U.S. Government Agencies - 52.3%
Federal Home Loan Mortgage Corp.
4.50%, TBA (c) 5,000 4,892
5.00%, TBA (c) 12,000 11,597
6.00%, TBA (c) 17,000 17,380
5.80%, 09/02/08 (l) 3,500 3,738
6.00%, 09/01/10 (f) - -
7.00%, 07/01/11 (f) 7 7
6.50%, 08/01/13 (f) 54 58
8.25%, 04/01/17 (f) 4 5
8.00%, 07/01/20 (f) 119 130
Interest Only, 5.50%, 01/15/23 (f) 11,000 1,115
6.00%, 11/01/28 (f) 773 793
7.00%, 04/01/29 (f) 258 273
8.00%, 09/01/31 (f) 1,186 1,288
7.00%, 10/01/31 (f) 16 17
7.00%, 11/01/31 (f) 29 31
7.00%, 02/01/32 (f) 352 373
7.00%, 03/01/32 (f) 346 366
7.00%, 04/01/32 (f) 329 348
4.50%, 04/15/32 (f) 501 502
7.00%, 06/01/32 (f) 52 55
7.00%, 08/01/32 (f) 16 17
Federal National Mortgage Association
5.50%, TBA (c) 42,000 42,054
6.00%, TBA (c) 3,000 3,065
6.50%, TBA (c) 12,000 12,490
2.88%, 02/17/09 (l) 2,000 1,989
7.3903%, 01/17/13 (f) (g) 598 611
12.50%, 09/20/15 (f) 3 3
12.00%, 01/01/16 (f) 107 122
12.00%, 01/15/16 (f) 3 3
12.50%, 01/15/16 (f) 50 57
5.00%, 02/01/19 (f) 1,378 1,383
11.50%, 09/01/19 (f) 1 1
10.50%, 08/01/20 (f) 11 12
6.50%, 03/01/26 (f) 21 22
7.00%, 05/01/26 (f) 22 23
7.00%, 11/01/28 (f) 21 23
7.00%, 12/01/28 (f) 19 20
36.70%, 12/28/28 (f) (g) 36 36
7.00%, 03/01/29 (f) 72 76
8.00%, 07/01/29 (f) 2 2
8.00%, 11/01/29 (f) 35 38
8.00%, 12/01/29 (f) 80 87
7.00%, 01/01/30 (f) 128 136
8.00%, 01/01/30 (f) 105 114
8.00%, 02/01/30 (f) 16 17
8.00%, 05/01/30 (f) 7 8
6.527%, 05/25/30 (f) 2,029 2,136
8.00%, 09/01/30 (f) 17 18
8.00%, 10/01/30 (f) 88 96
8.00%, 11/01/30 (f) 3 3
8.00%, 01/01/31 (f) 208 226
7.50%, 02/01/31 (f) 247 264
8.00%, 02/01/31 (f) 110 120
8.00%, 03/01/31 (f) 111 120
8.00%, 04/01/31 (f) 17 19
6.00%, 01/01/33 (f) 4,113 4,206
Government National Mortgage Association,
13.50%, 07/15/10 (f) 67 776
112,661
U.S. Treasury Securities - 33.1% U.S. Treasury Bond
6.625%, 02/15/27 (l) 2,350 2,727
6.375%, 08/15/27 (l) 1,000 1,129
5.25%, 02/15/29 (l) 2,000 1,961
6.125%, 08/15/29 (l) 1,250 1,375
5.375%, 02/15/31 (f) (m) 17,000 17,145
U.S. Treasury Note
5.875%, 11/15/04 (l) 5,000 5,079
6.75%, 05/15/05 (f) 12,000 12,486
5.75%, 11/15/05 (l) 8,500 8,887
3.375%, 11/15/08 (f) 7,300 7,220
3.125%, 04/15/09 (l) 3,000 2,915
4.875%, 02/15/12 (f) 10,000 10,328
71,252
Total Government Securities (cost $183,854) 183,913
Short Term Investments - 52.7%
Commercial Paper - 21.4%
Beethoven Funding Corp., 1.25%, 07/15/04 (f) 6,105 6,103
DaimlerChrysler NA Holdings Inc., 1.34%, 07/15/04 (f) 3,050 3,049
Four Winds Funding Corp., 1.28%, 07/15/04 (f) 3,050 3,048
General Motors Acceptance Corp., 1.35%, 07/15/04 (f) 3,050 3,048
Giro Multi Funding Corp., 1.24%, 07/14/04 (f) 6,100 6,097
Hannover Funding Co. LLC, 1.25%, 07/15/04 (f) 6,000 5,997
Nieuw Amsterdam, 1.22%, 07/15/04 (f) 6,105 6,102
Regency Markets LLC, 1.24%, 07/14/04 (f) 6,105 6,102
Tasman Funding Inc., 1.24%, 07/15/04 (f) 3,106 3,105
Victory Receivables Corp., 1.25%, 07/15/04 (f) 3,374 3,372
46,023
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.14% (a) 5 5
U.S. Government Agencies - 31.3%
Federal Farm Credit Discount Note
1.25%, 07/01/04 27,384 27,384
1.20%, 07/13/04 30,000 29,988
Federal Home Loan Bank Discount Note,
1.20%, 07/15/04 10,000 9,995
67,367
Total Short Term Investments (cost $113,396) 113,395
Total Investments - 141.8% (cost $305,292) 305,359
Other Assets and Liabilities, Net - (41.8%) (90,032)
Total Net Assets - 100% $215,327
JNL/SELECT GLOBAL GROWTH FUND
Common Stocks - 95.8%
Aerospace & Defense - 2.8%
European Aeronautic Defense and Space Co. 112 $3,116
Finmeccanica SpA (l) 1,803 1,432
Rolls-Royce Group Plc 220 1,004
5,552
Auto Manufacturers - 1.4%
DaimlerChrysler AG 58 2,724
Auto Parts & Equipment - 0.4%
Bridgestone Corp. (l) 40 752
Banks - 3.2%
Bank of America Corp. 33 2,758
Standard Chartered Plc 121 1,974
Sumitomo Trust & Banking Co. Ltd. 213 1,517
6,249
Beverages - 1.0%
Pernod-Ricard 16 1,995
Commercial Services - 6.0%
Apollo Group Inc. (b) (l) 28 2,454
Capita Group Plc 405 2,342
Cendant Corp. 170 4,155
McKesson Corp. 83 2,853
11,804
Computers - 6.0%
Apple Computer Inc. (b) 126 4,096
Dell Inc. (b) 12 416
Research In Motion Ltd. (b) 105 7,200
11,712
Cosmetics & Personal Care - 6.4%
Colgate-Palmolive Co. 44 2,595
Gillette Co. 149 6,301
Procter & Gamble Co. 69 3,740
12,636
Diversified Financial Services - 2.2%
Citigroup Inc. 49 2,297
Countrywide Financial Corp. 28 1,982
4,279
Electrical Components & Equipment - 1.1%
LG Electronics Inc. 30 1,413
Samsung Electronics Co. Ltd. - GDR (e) 4 801
2,214
Environmental Control - 1.5%
Waste Management Inc. 96 2,927
Food - 2.0%
Groupe Danone 33 2,853
Numico NV (b) 34 1,076
3,929
Healthcare - 2.3%
Cie Generale D'Optique Essilor International SA 41 2,650
Medtronic Inc. 37 1,827
4,477
Insurance - 4.6%
Allianz AG 34 3,726
AXA 69 1,508
Muenchener Rueckversicherungs AG 36 3,892
9,126
Internet - 5.7%
eBay Inc. (b) 40 3,696
Trend Micro Inc. 45 1,996
Yahoo! Inc. (b) 153 5,566
11,258
Manufacturing - 3.0%
Tyco International Ltd. 176 5,826
Media - 4.9%
Vivendi Universal SA (b) 187 5,187
XM Satellite Radio Holdings Inc. - Class A (b) (l) 160 4,361
9,548
Oil & Gas Producers - 2.6%
BP Plc 298 2,630
Total Fina Elf SA 11 2,126
YUKOS - ADR 12 388
5,144
Pharmaceuticals - 11.0%
Elan Corp. Plc - ADR (b) (l) 374 9,240
Medco Health Solutions Inc. (b) 109 4,103
Pfizer Inc. 46 1,563
Roche Holding AG Genusschein 27 2,694
Schering-Plough Corp. 212 3,912
21,512
Retail - 7.5%
Carphone Warehouse Group Plc 1,149 3,085
Dixons Group Plc 604 1,809
GUS Plc 148 2,269
Kingfisher Plc 284 1,475
Pinault-Printemps-Redoute SA 30 3,093
Staples Inc. 82 2,409
Starbucks Corp. (b) 12 535
14,675
Software - 3.6%
First Data Corp. 64 2,868
Microsoft Corp. 39 1,119
Red Hat Inc. (b) (l) 138 3,174
7,161
Telecommunications - 0.6%
Societe Europeenne des Satellites 62 528
Telefonica SA 50 745
1,273
Telecommunications Equipment - 8.3%
Alcatel SA (b) 427 6,591
Cisco Systems Inc. (b) 202 4,787
Telefonaktiebolaget LM Ericsson (b) 1,691 4,984
16,362
Tobacco - 2.4%
Imperial Tobacco Group Plc 123 2,649
Japan Tobacco Inc. - 2,005
4,654
Toys & Hobbies - 2.9%
Nintendo Co. Ltd. 50 5,739
Transportation - 0.5%
Canadian National Railway Co. 22 943
Wireless Telecommunications - 1.9%
Nextel Communications Inc. (b) 70 1,865
Qualcomm Inc. 11 766
Vodafone Group Plc 527 1,154
3,785
Total Common Stocks (cost $174,400) 188,256
Total Investments - 95.8% (cost $174,400) 188,256
Other Assets and Liabilities, Net - 4.2% 8,173
Total Net Assets - 100% $196,429
JNL/SELECT LARGE CAP GROWTH FUND
Common Stocks - 97.3%
Advertising - 2.2%
Omnicom Group Inc. 78 $5,916
Biotechnology - 0.7%
Genzyme Corp. (b) 39 1,863
Commercial Services - 6.0%
Apollo Group Inc. (b) 158 13,984
Moody's Corp. 41 2,630
16,614
Computers - 12.4%
Dell Inc. (b) 274 9,810
EMC Corp. (b) 224 2,559
Network Appliance Inc. (b) 278 5,987
Research In Motion Ltd. (b) 228 15,624
33,980
Distribution & Wholesale - 1.0%
CDW Corp. 41 2,635
Diversified Financial Services - 6.4%
Citigroup Inc. 106 4,912
Countrywide Financial Corp. 105 7,374
Fannie Mae 34 2,444
Franklin Resources Inc. 52 2,621
17,351
Entertainment - 1.6%
International Game Technology 114 4,388
Healthcare - 5.5%
Guidant Corp. 188 10,495
Medtronic Inc. 88 4,301
14,796
Home Builders - 1.7%
Lennar Corp. 101 4,537
Insurance - 1.0%
ACE Ltd. 62 2,610
Internet - 10.1%
eBay Inc. (b) 129 11,821
Yahoo! Inc. (b) 432 15,706
27,527
Manufacturing - 1.0%
Danaher Corp. 53 2,743
Media - 0.9%
XM Satellite Radio Holdings Inc. - Class A (b) 94 2,556
Pharmaceuticals - 13.8%
Abbott Laboratories 61 2,503
AstraZeneca Plc - ADR (l) 204 9,326
Cardinal Health Inc. 58 4,091
Eli Lilly & Co. 128 8,960
Forest Laboratories Inc. (b) 70 3,961
Gilead Sciences Inc. (b) 24 1,627
Medco Health Solutions Inc. (b) 133 4,997
Wyeth 53 1,918
37,383
Retail - 5.7%
Autozone Inc. (b) 92 7,388
Best Buy Co. Inc. 53 2,684
Lowe's Cos. Inc. 50 2,637
Starbucks Corp. (b) 62 2,676
15,385
Semiconductors - 7.5%
Analog Devices Inc. 150 7,050
KLA-Tencor Corp. (b) (l) 164 8,109
Xilinx Inc. 155 5,172
20,330
Software - 12.5%
Electronic Arts Inc. (b) 99 5,407
First Data Corp. 244 10,864
Mercury Interactive Corp. (b) (l) 114 5,661
Microsoft Corp. (l) 270 7,722
Red Hat Inc. (b) (l) 185 4,243
33,896
Telecommunications - 0.9%
Amdocs Ltd. (b) 101 2,363
Telecommunications Equipment - 6.4%
Cisco Systems Inc. (b) 308 7,303
Corning Inc. (b) 763 9,971
17,275
Total Common Stocks (cost $243,475) 264,148
Short Term Investments - 2.5%
Money Market Funds - 2.5%
Dreyfus Cash Management Plus, 1.14% (a) 6,820 6,820
Total Short Term Investments (cost $6,820) 6,820
Total Investments - 99.8% (cost $250,295) 270,968
Other Assets and Liabilities, Net - 0.2% 409
Total Net Assets - 100% $271,377
JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND
Common Stocks - 96.5%
Apparel - 0.4%
Hermes International (l) 12 $2,296
Banks - 5.2%
Credit Suisse Group (b) 122 4,317
Mellon Financial Corp. 144 4,226
Northern Trust Corp. 84 3,568
State Street Corp. 170 8,337
UBS AG 58 4,059
US Bancorp. 175 4,826
29,333
Beverages - 1.4%
Coca-Cola Co. 116 5,861
PepsiCo Inc. 37 2,004
7,865
Biotechnology - 1.4%
Amgen Inc. (b) 118 6,428
Genentech Inc. (b) 28 1,551
7,979
Commercial Services - 3.5%
Accenture Ltd. (b) 257 7,054
Apollo Group Inc. (b) (l) 69 6,083
Cendant Corp. 276 6,754
19,891
Computers - 3.7%
Affiliated Computer Services Inc. - Class A (b) (l) 130 6,876
Dell Inc. (b) 265 9,507
Research In Motion Ltd. (b) 34 2,293
SunGard Data Systems Inc. (b) 82 2,119
20,795
Cosmetics & Personal Care - 0.3%
Gillette Co. 36 1,509
Diversified Financial Services - 9.8%
American Express Co. 139 7,126
Ameritrade Holding Corp. (b) 138 1,569
Charles Schwab Corp. 144 1,388
Citigroup Inc. 427 19,862
Fannie Mae 81 5,773
Freddie Mac 43 2,741
Goldman Sachs Group Inc. 36 3,390
MBNA Corp. 53 1,377
Merrill Lynch & Co. Inc. 113 6,073
SLM Corp. 142 5,756
55,055
Electrical Components & Equipment - 0.6%
Samsung Electronics Co. Ltd. 8 3,385
Entertainment - 1.4%
International Game Technology 205 7,905
Food - 1.3%
Compass Group Plc 654 3,992
Sysco Corp. 88 3,142
7,134
Healthcare - 7.1%
Biomet Inc. (b) 59 2,604
Boston Scientific Corp. (b) 60 2,551
Guidant Corp. 46 2,543
Johnson & Johnson 111 6,155
Medtronic Inc. 89 4,351
UnitedHealth Group Inc. 212 13,178
WellPoint Health Networks Inc. (b) 76 8,479
39,861
Insurance - 4.1%
ACE Ltd. 81 3,415
American International Group Inc. 168 11,961
Hartford Financial Services Group Inc. 68 4,661
St. Paul Cos. Inc. (l) 71 2,861
22,898
Internet - 3.3%
eBay Inc. (b) 62 5,719
InterActiveCorp. (b) (l) 186 5,609
Yahoo! Inc. (b) 199 7,237
18,565
Iron & Steel - 0.8%
Nucor Corp. 59 4,498
Leisure Time - 1.9%
Carnival Corp. (l) 132 6,185
Harley-Davidson Inc. (l) 76 4,689
10,874
Lodging - 0.2%
MGM MIRAGE (b) 29 1,371
Manufacturing - 5.0%
Danaher Corp. (l) 124 6,429
General Electric Co. 420 13,615
Tyco International Ltd. (l) 245 8,123
28,167
Media - 7.6%
British Sky Broadcasting Plc 273 3,082
Clear Channel Communications Inc. 119 4,397
Comcast Corp. - Special Class A (b) (l) 205 5,649
E.W. Scripps Co. 40 4,221
EchoStar Communications Corp. (b) 202 6,212
Liberty Media Corp. (b) 646 5,807
Liberty Media International Inc. - Class A (b) 26 966
Sogecable SA (b) 51 2,049
Time Warner Inc. (b) 119 2,090
Univision Communications Inc. (b) (l) 112 3,583
Viacom Inc. - Class B 134 4,780
42,836
Mining - 0.7%
Rio Tinto Plc 167 4,006
Oil & Gas Producers - 1.9%
ChevronTexaco Corp. 48 4,489
Exxon Mobil Corp. 135 6,000
10,489
Oil & Gas Services - 2.2%
Baker Hughes Inc. 176 6,615
Schlumberger Ltd. 88 5,589
12,204
Pharmaceuticals - 4.6%
Cardinal Health Inc. 27 1,885
Forest Laboratories Inc. (b) 79 4,468
Gilead Sciences Inc. (b) 52 3,497
Pfizer Inc. 361 12,359
Teva Pharmaceutical Industries Ltd. - ADR 24 1,608
Wyeth 57 2,061
25,878
Retail - 7.9%
Best Buy Co. Inc. 113 5,711
Family Dollar Stores Inc. 109 3,316
Home Depot Inc. 214 7,538
Kingfisher Plc 307 1,592
Starbucks Corp. (b) 59 2,548
Target Corp. 226 9,594
Walgreen Co. 132 4,776
Wal-Mart de Mexico SA de CV 210 623
Wal-Mart de Mexico SA de CV - ADR 64 1,907
Wal-Mart Stores Inc. 135 7,144
44,749
Semiconductors - 3.7%
Analog Devices Inc. 55 2,585
Applied Materials Inc. (b) 145 2,843
Intel Corp. 205 5,644
Maxim Integrated Products Inc. 44 2,296
QLogic Corp. (b) 73 1,928
Semiconductor Manufacturing International Corp. (b) 12 123
STMicroelectronics NV 146 3,194
Xilinx Inc. 69 2,285
20,898
Software - 9.1%
Adobe Systems Inc. 109 5,069
First Data Corp. 101 4,484
Fiserv Inc. (b) 150 5,837
Intuit Inc. (b) 96 3,692
Mercury Interactive Corp. (b) (l) 68 3,403
Microsoft Corp. 651 18,598
Oracle Corp. (b) 83 995
Red Hat Inc. (b) 49 1,132
SAP AG 27 4,393
Veritas Software Corp. (b) 134 3,701
51,304
Telecommunications Equipment - 2.5%
Cisco Systems Inc. (b) 333 7,884
Corning Inc. (b) 223 2,908
Juniper Networks Inc. (b) 125 3,061
13,853
Tobacco - 0.6%
Altria Group Inc. 64 3,183
Transportation - 1.0%
United Parcel Service Inc. 77 5,796
Wireless Telecommunications - 3.3%
Crown Castle International Corp. (b) 225 3,319
Nextel Communications Inc. (b) 286 7,611
Qualcomm Inc. 26 1,919
Vodafone Group Plc - ADR (l) 105 2,312
Vodafone Group Plc 1,504 3,294
18,455
Total Common Stocks (cost $480,731) 543,032
Preferred Stocks - 0.8%
Media - 0.8%
News Corp. Ltd. - ADR 134 4,396
Total Preferred Stocks (cost $4,294) 4,396
Short Term Investments - 2.3%
Money Market Funds - 2.3%
Dreyfus Cash Management Plus, 1.14% (a) 1,733 1,733
T. Rowe Price Reserves Investment Fund, 1.21% (a) (n) 11,128 11,128
Total Short Term Investments (cost $12,860) 12,861
Total Investments - 99.6% (cost $497,885) 560,289
Other Assets and Liabilities, Net - 0.4% 2,339
Total Net Assets - 100% $562,628
JNL/T. ROWE PRICE MID-CAP GROWTH FUND
Common Stocks - 95.2%
Advertising - 0.9%
Catalina Marketing Corp. (b) 136 $2,487
Getty Images Inc. (b) 11 666
Harte-Hanks Inc. 1 29
Lamar Advertising Co. (b) 23 997
Omnicom Group Inc. 1 38
WPP Group Plc 2 113
4,330
Aerospace & Defense - 2.3%
Alliant Techsystems Inc. (b) 84 5,320
Empresa Brasiliera de Aeronautica SA - ADR 2 46
Rockwell Collins Inc. 173 5,758
11,124
Agriculture - 0.0%
Delta & Pine Land Co. 1 26
Airlines - 0.6%
JetBlue Airways Corp. (b) 92 2,702
SkyWest Inc. 2 28
Southwest Airlines Co. 2 29
2,759
Apparel - 0.0%
Coach Inc. (b) 1 41
Auto Manufacturers - 0.8%
Oshkosh Truck Corp. 67 3,840
Banks - 0.7%
Boston Private Financial Holdings Inc. 1 27
City National Corp. - 26
East-West Bancorp. Inc. 1 31
First Horizon National Corp. 1 27
Investors Financial Services Corp. (l) 47 2,044
Mellon Financial Corp. 4 120
North Fork Bancorp. Inc. (l) 1 42
Northern Trust Corp. 3 131
Silicon Valley Bancshares (b) 26 1,035
Synovus Financial Corp. 2 41
UCBH Holdings Inc. 1 28
3,552
Beverages - 0.8%
Cott Corp. (b) 126 4,086
Biotechnology - 3.0%
Biogen Idec Inc. (b) (l) 1 57
Celgene Corp. (b) (l) 23 1,317
Charles River Laboratories International Inc. (b) 1 29
Chiron Corp. (b) 1 27
Decode Genetics Inc. (b) 1 7
Diversa Corp. (b) 3 28
Genzyme Corp. (b) 1 43
Human Genome Sciences Inc. (b) 97 1,122
ICOS Corp. (b) (l) 38 1,134
Integra LifeSciences Holdings Corp. (b) 1 28
Invitrogen Corp. (b) (l) 35 2,520
Martek Biosciences Corp. (b) - 22
Medimmune Inc. (b) 273 6,391
Millennium Pharmaceuticals Inc. (b) 2 26
Millipore Corp. (b) 1 39
Nektar Therapeutics (b) 1 26
Protein Design Labs Inc. (b) 61 1,175
Qiagen NV (b) 2 29
Vertex Pharmaceuticals Inc. (b) 90 976
14,996
Building Materials - 0.8%
American Standard Cos. Inc. (b) 99 3,991
Trex Co. Inc. (b) 1 26
4,017
Chemicals - 1.1%
Ecolab Inc. 1 40
Engelhard Corp. 1 29
Potash Corp. 54 5,233
Praxair Inc. 1 44
Sigma-Aldrich Corp. 1 30
Symyx Technologies Inc. (b) 1 27
Valspar Corp. 1 40
5,443
Commercial Services - 7.7%
Apollo Group Inc. (b) (l) 26 2,269
Aramark Corp. 2 43
BearingPoint Inc. (b) 198 1,756
Career Education Corp. (b) 1 36
ChoicePoint Inc. (b) 166 7,580
Corinthian Colleges Inc. (b) 1 25
Corporate Executive Board Co. 1 58
DeVry Inc. (b) 1 27
Education Management Corp. (b) 98 3,207
Equifax Inc. 1 35
H&R Block Inc. 1 29
Hewitt Associates Inc. - Class A (b) 123 3,380
Iron Mountain Inc. (b) 94 4,512
ITT Educational Services Inc. (b) 1 38
Manpower Inc. 113 5,742
McKesson Corp. 1 27
Moody's Corp. 2 136
Paychex Inc. 1 37
Robert Half International Inc. 144 4,284
Universal Technical Institute Inc. (b) 1 28
University of Phoenix Online (b) 1 53
Viad Corp. (b) 159 4,297
Watson Wyatt & Co. Holdings 1 27
37,626
Computers - 5.7%
Affiliated Computer Services Inc. - Class A (b) (l) 1 42
CACI International Inc. - Class A (b) 38 1,537
Cadence Design Systems Inc. (b) (l) 203 2,968
Ceridian Corp. (b) 187 4,208
Cognizant Technology Solutions Corp. (b) 3 76
Diebold Inc. 69 3,622
DST Systems Inc. (b) (l) 117 5,646
Factset Research Systems Inc. 1 43
Jack Henry & Associates Inc. 79 1,590
Kronos Inc. (b) 1 25
Lexmark International Inc. (b) 26 2,539
Mercury Computer Systems Inc. (b) 1 30
National Instruments Corp. 1 28
Network Appliance Inc. (b) 2 43
Research In Motion Ltd. (b) 53 3,614
SunGard Data Systems Inc. (b) 76 1,976
Synopsys Inc. (b) 2 51
28,038
Cosmetics & Personal Care - 0.0%
Estee Lauder Cos. Inc. 1 29
Distribution & Wholesale - 0.7%
CDW Corp. 53 3,392
Diversified Financial Services - 3.6%
A.G. Edwards Inc. 1 25
Ameritrade Holding Corp. (b) 220 2,492
Amvescap Plc - ADR (l) 2 29
CapitalSource Inc. (b) 129 3,154
Charles Schwab Corp. 7 67
Eaton Vance Corp. 82 3,141
Federated Investors Inc. 51 1,559
Franklin Resources Inc. 3 135
Janus Capital Group Inc. 2 28
LaBranche & Co. Inc. (l) 3 25
Legg Mason Inc. (l) 32 2,876
Raymond James Financial Inc. 1 26
Waddell & Reed Financial Inc. - Class A 178 3,933
17,490
Electrical Components & Equipment - 0.0%
Littelfuse Inc. (b) 1 30
Molex Inc. 2 43
73
Electronics - 2.1%
Applera Corp. - Applied Biosystems Group 2 46
Cymer Inc. (b) 1 26
Flir Systems Inc. (b) 53 2,882
Garmin Ltd. (l) 68 2,519
Jabil Circuit Inc. (b) 77 1,936
Mettler-Toledo International Inc. (b) 1 29
Symbol Technologies Inc. 2 27
Waters Corp. (b) 59 2,829
10,294
Entertainment - 0.0%
Alliance Gaming Corp. (b) 1 20
International Game Technology 2 93
Shuffle Master Inc. (b) 1 51
164
Environmental Control - 0.0%
Stericycle Inc. (b) 1 31
Food - 1.1%
Hershey Foods Corp. 2 74
McCormick & Co. Inc. 1 27
Tootsie Roll Industries Inc. 1 26
Whole Foods Market Inc. 53 5,059
Wm. Wrigley Jr. Co. 1 69
5,255
Healthcare - 5.7%
Anthem Inc. (b) 5 431
Arthrocare Corp. (b) 1 33
Bausch & Lomb Inc. - 26
Beckman Coulter Inc. 1 43
Becton Dickinson & Co. 1 36
Biomet Inc. (b) 2 107
C.R. Bard Inc. 1 34
Community Health Systems Inc. (b) 55 1,472
Cooper Cos. Inc. (l) 1 32
Coventry Health Care Inc. (b) 44 2,156
DaVita Inc. (b) 63 1,936
Dentsply International Inc. 1 57
Edwards Lifesciences Corp. (b) 73 2,537
Health Management Associates Inc. (l) 198 4,435
Henry Schein Inc. (b) 1 38
Kinetic Concepts Inc. (b) 83 4,142
Laboratory Corp. of America Holdings (b) 115 4,550
Lincare Holdings Inc. (b) 1 39
Manor Care Inc. 157 5,127
Patterson Dental Co. (b) 1 38
Quest Diagnostics Inc. 1 68
Renal Care Group Inc. (b) 1 40
ResMed Inc. (b) 1 25
Respironics Inc. (b) 1 29
Smith & Nephew Plc 1 39
St. Jude Medical Inc. (b) 1 38
Stryker Corp. 1 61
Sybron Dental Specialties Inc. (b) 1 30
Techne Corp. (b) 1 43
Varian Medical Systems Inc. (b) 1 63
Wellchoice Inc. (b) 2 99
WellPoint Health Networks Inc. (b) 1 56
Wright Medical Group Inc. (b) 1 28
Zimmer Holdings Inc. (b) 1 97
27,985
Home Builders - 0.1%
Centex Corp. 1 60
KB Home - 28
Lennar Corp. 2 80
Pulte Homes Inc. 1 42
Thor Industries Inc. 1 33
Toll Brothers Inc. (b) 2 63
Winnebago Industries 1 34
340
Household Products - 0.0%
Avery Dennison Corp. 1 57
Clorox Co. 1 27
Jarden Corp. (b) 1 29
113
Insurance - 3.6%
AMBAC Financial Group Inc. 1 43
Arch Capital Group Ltd. (b) 1 27
Arthur J. Gallagher & Co. 1 40
Assurant Inc. 83 2,190
Axis Capital Holdings Ltd. 67 1,876
Brown & Brown Inc. 1 43
Genworth Financial Inc. - Class A (b) 80 1,836
Markel Corp. (b) - 28
MBIA Inc. 1 29
MGIC Investment Corp. 1 53
Principal Financial Group 88 3,061
Protective Life Corp. 67 2,591
Radian Group Inc. 50 2,376
RenaissanceRe Holdings Ltd. 1 43
Triad Guaranty Inc. (b) - 6
Willis Group Holdings Ltd. 98 3,663
17,905
Internet - 3.4%
Check Point Software Technologies Ltd. (b) 1 30
CheckFree Corp. (b) 49 1,470
CNET Networks Inc. (b) 59 653
F5 Networks Inc. (b) 2 45
InterActiveCorp. (b) (l) 37 1,115
Internet Security Systems Inc. (b) 2 26
Matrixone Inc. (b) 4 26
Monster Worldwide Inc. (b) (l) 106 2,731
Network Associates Inc. (b) (l) 273 4,949
Sina Corp. (b) 1 40
Symantec Corp. (b) 3 118
VeriSign Inc. (b) 253 5,033
WebMD Corp. (b) (l) 41 382
Websense Inc. (b) 1 34
16,652
Iron & Steel - 1.4%
International Steel Group Inc. (b) (l) 59 1,756
Nucor Corp. (l) 65 4,989
6,745
Leisure Time - 1.1%
Brunswick Corp. 129 5,248
Harley-Davidson Inc. 1 31
Multimedia Games Inc. (b) (l) 1 32
Polaris Industries Inc. 1 29
Royal Caribbean Cruises Ltd. 1 43
Sabre Holdings Corp. 1 30
5,413
Lodging - 0.9%
Fairmont Hotels & Resorts Inc. 152 4,096
Hilton Hotels Corp. 2 30
Marriott International Inc. - Class A 2 95
Station Casinos Inc. 2 97
Wynn Resorts Ltd. (b) 1 27
4,345
Machinery - 0.0%
IDEX Corp. 1 30
Zebra Technologies Corp. (b) 1 44
74
Manufacturing - 2.8%
Cuno Inc. (b) 1 32
Danaher Corp. (l) 75 3,868
Dover Corp. 1 29
ITT Industries Inc. 55 4,565
Pall Corp. 1 29
Roper Industries Inc. 90 5,110
13,633
Media - 3.5%
Cablevision Systems Corp. (b) (l) 102 2,004
Citadel Broadcasting Corp. (b) 260 3,784
COX Radio Inc. (b) 112 1,938
Cumulus Media Inc. - Class A (b) 1 24
E.W. Scripps Co. 1 63
Entercom Communications Corp. (b) 38 1,429
McGraw-Hill Cos. Inc. 1 38
Meredith Corp. 2 93
New York Times Co. 1 63
Radio One Inc. - Class D (b) 3 50
Regent Communications Inc. (b) 5 28
Rogers Communications Inc. - Class B 134 2,429
Salem Communications Corp. - Class A (b) 1 38
Scholastic Corp. (b) 79 2,366
Spanish Broadcasting System Inc. (b) 3 25
Univision Communications Inc. (b) (l) 2 76
Washington Post - 93
Westwood One Inc. (b) 2 36
XM Satellite Radio Holdings Inc. - Class A (b) (l) 100 2,729
17,306
Metal Fabrication & Hardware - 0.0%
Kaydon Corp. 1 31
Mining - 0.6%
Newmont Mining Corp. 79 3,062
Office Furnishings - 0.0%
HNI Corp. 1 42
Oil & Gas Producers - 3.7%
Apache Corp. 1 44
Devon Energy Corp. 1 59
Diamond Offshore Drilling Inc. (l) 151 3,603
EOG Resources Inc. 82 4,896
Murphy Oil Corp. 71 5,233
XTO Energy Inc. 144 4,275
18,110
Oil & Gas Services - 4.2%
Baker Hughes Inc. 1 45
BJ Services Co. (b) (l) 155 7,114
Cooper Cameron Corp. (b) 75 3,653
FMC Technologies Inc. (b) (l) 118 3,398
Smith International Inc. (b) 116 6,446
Weatherford International Ltd. (b) 1 27
20,683
Packaging & Containers - 0.0%
Sealed Air Corp. (b) 1 59
Pharmaceuticals - 9.1%
Abgenix Inc. (b) 80 935
Alkermes Inc. (b) 87 1,184
Allergan Inc. 1 55
AmerisourceBergen Corp. (l) 68 4,059
Amylin Pharmaceuticals Inc. (b) 58 1,327
Andrx Corp. (b) 94 2,625
Atherogenics Inc. (b) 1 21
Barr Laboratories Inc. (b) 54 1,820
Caremark Rx Inc. (b) 3 99
Cephalon Inc. (b) (l) 59 3,175
Express Scripts Inc. - Class A (b) 1 95
Gilead Sciences Inc. (b) 70 4,663
ImClone Systems Inc. (b) 41 3,517
IVAX Corp. (b) 175 4,198
Medco Health Solutions Inc. (b) 3 101
Medicines Co. (b) 1 24
Medicis Pharmaceutical Corp. - Class A 1 24
Neurocrine Biosciences Inc. (b) 35 1,799
Omnicare Inc. 204 8,746
Onyx Pharmaceuticals Inc. (b) (l) 1 25
Sepracor Inc. (b) 11 571
Taro Pharmaceuticals Industries Ltd. (b) (l) 55 2,375
Valeant Pharmaceuticals International 64 1,286
Watson Pharmaceuticals Inc. (b) 70 1,883
44,607
Pipelines - 0.7%
Western Gas Resources Inc. 104 3,378
Real Estate - 0.0%
Jones Lang LaSalle Inc. (b) 1 30
Retail - 6.7%
99 Cents Only Stores (b) (l) 2 23
Autozone Inc. (b) 1 40
Bed Bath & Beyond Inc. (b) 1 42
Best Buy Co. Inc. 74 3,755
Big Lots Inc. (b) 2 27
Cheesecake Factory (b) 72 2,853
CVS Corp. 1 29
Dollar General Corp. 5 98
Dollar Tree Stores Inc. (b) 111 3,034
Family Dollar Stores Inc. 148 4,502
Fred's Inc. 1 29
Men's Wearhouse Inc. (b) 1 26
MSC Industrial Direct Co. Inc. 17 558
O'Reilly Automotive Inc. (b) 66 2,965
Outback Steakhouse Inc. 1 25
Petsmart Inc. 157 5,082
PF Chang's China Bistro Inc. (b) 40 1,646
Ross Stores Inc. 124 3,313
Ruby Tuesday Inc. 1 25
Shoppers Drug Mart Corp. (b) 66 1,644
Staples Inc. 5 144
Starbucks Corp. (b) 1 43
Tiffany & Co. 1 44
TJX Cos. Inc. 5 130
Williams-Sonoma Inc. (b) 94 3,102
33,179
Semiconductors - 4.4%
Agere Systems Inc. (b) (l) 196 452
Agere Systems Inc. - Class B (b) 455 978
Altera Corp. (b) 6 122
AMIS Holdings Inc. (b) 116 1,954
Analog Devices Inc. 1 28
ASML Holding NV - NYS (b) 2 27
Broadcom Corp. (b) 2 112
Emulex Corp. (b) (l) 1 20
Integrated Circuit Systems Inc. (b) 93 2,526
Intersil Corp. 168 3,630
KLA-Tencor Corp. (b) (l) 1 44
Lam Research Corp. (b) 2 46
Linear Technology Corp. 3 114
Marvell Technology Group Ltd. (b) 1 32
Maxim Integrated Products Inc. 1 58
Microchip Technology Inc. 134 4,230
Microsemi Corp. (b) 2 33
National Semiconductor Corp. (b) 3 70
Novellus Systems Inc. (b) (l) 77 2,405
Power Integrations Inc. (b) 1 25
QLogic Corp. (b) 81 2,164
Semtech Corp. (b) 98 2,298
Silicon Laboratories Inc. (b) 1 23
Xilinx Inc. 3 107
21,498
Software - 5.3%
Adobe Systems Inc. 77 3,558
BMC Software Inc. (b) 3 58
Certegy Inc. 147 5,696
Citrix Systems Inc. (b) 48 969
Cognos Inc. (b) 25 918
Dun & Bradstreet Corp. (b) 1 54
Electronic Arts Inc. (b) 3 147
Fair Isaac Corp. 53 1,772
FILENET Corp. (b) 1 32
Fiserv Inc. (b) 84 3,263
Global Payments Inc. 42 1,873
IMS Health Inc. 3 63
Intuit Inc. (b) 69 2,650
Mercury Interactive Corp. (b) (l) 59 2,935
NETIQ Corp. (b) 2 26
PeopleSoft Inc. (b) 2 28
Red Hat Inc. (b) (l) 92 2,111
SEI Investments Co. 1 26
Siebel Systems Inc. (b) 4 43
Veritas Software Corp. (b) 2 44
26,266
Telecommunications Equipment - 2.0%
Comverse Technology Inc. (b) (l) 77 1,535
Corning Inc. (b) 10 124
Harris Corp. (l) 113 5,735
JDS Uniphase Corp. (b) 24 92
Juniper Networks Inc. (b) 93 2,285
Plantronics Inc. (b) 1 29
9,800
Textiles - 0.0%
Cintas Corp. 2 100
Toys & Hobbies - 0.0%
Mattel Inc. 2 27
Transportation - 1.2%
C.H. Robinson Worldwide Inc. 65 2,961
Expeditors International of Washington Inc. (l) 61 2,989
Landstar System Inc. (b) 1 42
UTI Worldwide Inc. 1 32
6,024
Wireless Telecommunications - 2.9%
American Tower Corp. (b) (l) 2 30
Crown Castle International Corp. (b) 231 3,405
Nextel Communications Inc. (b) 64 1,707
Nextel Partners Inc. (b) 188 2,985
Rogers Wireless Communications Inc. (b) 1 27
Triton PCS Holdings Inc. (b) (l) 54 235
Western Wireless Corp. (b) 206 5,955
14,344
Total Common Stocks (cost $372,917) 468,357
Short Term Investments - 4.6%
Money Market Funds - 4.6%
Dreyfus Cash Management Plus, 1.14% (a) 5,579 5,579
T. Rowe Price Reserves Investment Fund, 1.21% (a) (n) 17,143 17,143
Total Short Term Investments (cost $22,722) 22,722
Total Investments - 99.8% (cost $395,639) 491,079
Other Assets and Liabilities, Net - 0.2% 923
Total Net Assets - 100% $492,002
JNL/T. ROWE PRICE VALUE FUND
Common Stocks - 95.6%
Aerospace & Defense - 3.4%
Lockheed Martin Corp. 101 $5,255
Raytheon Co. 121 4,317
Rockwell Collins Inc. 142 4,735
14,307
Airlines - 0.2%
Delta Air Lines Inc. (b) (l) 121 858
Auto Manufacturers - 0.6%
Ford Motor Co. (l) 153 2,400
Auto Parts & Equipment - 0.2%
Delphi Corp. 66 702
Banks - 7.5%
Bank of America Corp. 81 6,892
Bank One Corp. 86 4,391
Comerica Inc. 67 3,699
Huntington Bancshares Inc. 135 3,087
Mellon Financial Corp. 132 3,877
Royal Bank of Scotland Group Plc 140 4,018
US Bancorp. 192 5,303
31,267
Beverages - 1.7%
Coca-Cola Enterprises Inc. 110 3,175
Heineken NV (l) 121 3,966
7,141
Biotechnology - 0.4%
Medimmune Inc. (b) 73 1,715
Chemicals - 2.3%
E.I. du Pont de Nemours & Co. 101 4,472
Great Lakes Chemical Corp. 137 3,705
Hercules Inc. (b) 110 1,335
9,512
Computers - 1.4%
Electronic Data Systems Corp. 60 1,153
Hewlett-Packard Co. 222 4,691
5,844
Diversified Financial Services - 5.8%
American Express Co. 97 4,984
Citigroup Inc. 54 2,533
Franklin Resources Inc. 66 3,290
Freddie Mac 66 4,146
JPMorgan Chase & Co. 99 3,823
Morgan Stanley 103 5,435
24,211
Electric - 3.1%
Duke Energy Corp. (l) 144 2,920
FirstEnergy Corp. 99 3,689
NiSource Inc. (l) 189 3,901
Pinnacle West Capital Corp. 55 2,213
12,723
Environmental Control - 1.0%
Waste Management Inc. 137 4,196
Food - 2.0%
Campbell Soup Co. (l) 121 3,258
General Mills Inc. 61 2,880
Safeway Inc. (b) (l) 82 2,088
8,226
Forest Products & Paper - 3.1%
Bowater Inc. (l) 88 3,665
International Paper Co. 111 4,966
MeadWestvaco Corp. 140 4,123
12,754
Healthcare - 2.1%
Johnson & Johnson 87 4,840
Medtronic Inc. 79 3,844
8,684
Home Furnishings - 0.8%
Sony Corp. - ADR 89 3,371
Household Products - 2.6%
Clorox Co. 44 2,355
Fortune Brands Inc. 55 4,134
Newell Rubbermaid Inc. 175 4,122
10,611
Insurance - 9.8%
Berkshire Hathaway Inc. - Class A (b) - 3,736
Cigna Corp. 44 3,000
Genworth Financial Inc. - Class A (b) 189 4,331
Hartford Financial Services Group Inc. 60 4,138
Marsh & McLennan Cos. Inc. 95 4,316
Principal Financial Group 114 3,951
Prudential Financial Inc. 53 2,444
Radian Group Inc. 76 3,631
Safeco Corp. 90 3,951
St. Paul Cos. Inc. 117 4,725
UnumProvident Corp. 153 2,437
40,660
Iron & Steel - 1.2%
Nucor Corp. 68 5,189
Leisure Time - 0.7%
Harley-Davidson Inc. 49 3,054
Lodging - 1.1%
Fairmont Hotels & Resorts Inc. 167 4,503
Manufacturing - 8.8%
Cooper Industries Ltd. - Class A 78 4,634
Eastman Kodak Co. 66 1,773
Eaton Corp. 56 3,625
General Electric Co. 351 11,379
Honeywell International Inc. 159 5,813
Illinois Tool Works Inc. (l) 20 1,879
Pall Corp. 66 1,721
Tyco International Ltd. 173 5,723
36,547
Media - 9.4%
Cablevision Systems Corp. (b) (l) 154 3,018
Comcast Corp. - Class A (b) 44 1,236
Comcast Corp. - Special Class A (b) (l) 191 5,271
Dow Jones & Co. Inc. 60 2,715
Liberty Media Corp. (b) 434 3,905
Liberty Media International Inc. - Class A (b) 22 806
New York Times Co. 92 4,118
Pearson Plc 159 1,929
Reuters Group Plc 383 2,576
Time Warner Inc. (b) 286 5,033
Viacom Inc. - Class B 107 3,833
Walt Disney Co. 182 4,632
39,072
Mining - 0.7%
Alcoa Inc. 93 3,065
Oil & Gas Producers - 6.0%
Amerada Hess Corp. 73 5,789
ChevronTexaco Corp. 17 1,580
ConocoPhillips 33 2,518
Exxon Mobil Corp. 100 4,454
Marathon Oil Corp. 38 1,453
Royal Dutch Petroleum Co. - NYS 99 5,100
Total SA - ADR 41 3,930
24,824
Oil & Gas Services - 1.7%
Baker Hughes Inc. 121 4,537
Schlumberger Ltd. 41 2,572
7,109
Pharmaceuticals - 3.9%
Bristol-Myers Squibb Co. 105 2,565
Merck & Co. Inc. 136 6,455
Schering-Plough Corp. 175 3,240
Wyeth 113 4,093
16,353
Retail - 3.8%
CVS Corp. 100 4,190
Family Dollar Stores Inc. 98 2,984
May Department Stores Co. 130 3,565
McDonald's Corp. 129 3,357
RadioShack Corp. 49 1,391
Toys "R" Us Inc. (b) 23 369
15,856
Semiconductors - 0.4%
Texas Instruments Inc. 71 1,722
Software - 1.5%
Microsoft Corp. 223 6,363
Telecommunications - 2.8%
Alltel Corp. 54 2,754
MCI Inc. (b) 72 1,013
Qwest Communications International Inc. (b) 1,013 3,637
Sprint Corp. - FON Group 234 4,111
11,515
Telecommunications Equipment - 0.5%
Nokia Oyj - ADR 132 1,924
Tobacco - 0.5%
Altria Group Inc. 43 2,172
Toys & Hobbies - 0.6%
Hasbro Inc. 124 2,360
Transportation - 3.1%
CNF Inc. 96 3,986
CSX Corp. 124 4,047
Norfolk Southern Corp. 26 692
Union Pacific Corp. 72 4,257
12,982
Wireless Telecommunications - 0.9%
Motorola Inc. (l) 199 3,630
Total Common Stocks (cost $349,453) 397,422
Preferred Stocks - 0.4%
Insurance - 0.4%
Genworth Financial Inc., 6.00% (l) 24 671
UnumProvident Corp., 7.25% 32 806
Total Preferred Stocks (cost $1,388) 1,477
Corporate Bonds - 0.2%
Airlines - 0.2%
Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) (l) $1,030 666
Total Corporate Bonds (cost $988) 666
Short Term Investments - 4.2%
Money Market Funds - 4.2%
Dreyfus Cash Management Plus, 1.14% (a) 5,539 5,539
T. Rowe Price Reserves Investment Fund, 1.21% (a) (n) 11,943 11,943
Total Short Term Investments (cost $17,482) 17,482
Total Investments - 100.4% (cost $369,311) 417,047
Other Assets and Liabilities, Net - (0.4%) (1,851)
Total Net Assets - 100% $415,196
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
June 30, 2004
- --------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2004.
(b) Non-income producing security.
(c) Investment purchased on a when-issued basis. As of June 30, 2004, the total
cost of investments purchased on a when-issued basis, in thousands, for the
JNL/Mellon Capital Management Bond Index Fund, the JNL/PIMCO Total Return
Bond Fund, the JNL/Salomon Brothers Balanced Fund, the JNL/Salomon Brothers
Strategic Bond Fund, and the JNL/Salomon Brothers U.S. Government & Quality
Bond Fund are: $3,785; $34,250; $1,387; $71,715 and $92,443, 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 June
30, 2004, the market value, in thousands, of 144A or other restricted
securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International Value
Fund, JNL/Mellon Capital Management Bond Index 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 High Yield Bond Fund, JNL/Salomon Brothers Strategic
Bond Fund, JNL/Salomon Brothers U.S. Government & Quality Bond Fund,
JNL/Select Global Growth Fund, and JNL/T.Rowe Price Value Fund are: $435;
$652; $271; $5,383; $2,023; $26,051; $540; $75; $1,906; $13,105; $6,113;
$801 and $666, 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 June 30, 2004.
(h) Coupon payment periodically increases over the life of the security. Rate
is in effect as of June 30, 2004.
(i) Security is in default.
(j) Convertible security.
(k) Zero coupon security. Rate stated is the effective yield as of June 30,
2004.
(l) All or portion of the security has been loaned.
(m) All or portion of the security pledged to cover margin requirements on open
futures contracts.
(n) Investments in affiliates. See Note 3 in the Notes to the Financial
Statements.
ABBREVIATIONS:
ADR - American Depository Receipt KRW - Korean Won
AUD - Australian Dollar MXN - Mexican Peso
BZD - Belize Dollar NOK - Norwegian Krone
CAD - Canadian Dollar NYS - New York Shares
CHF - Swiss Franc NZD - New Zealand Dollar
CLP - Chilean Peso PEN - New Sol
DKK - Danish Krone RUB - Russian Ruble
EUR - European Currency Unit (Euro) SEK - Swedish Krona
GBP - British Pound SGD - Singapore Dollar
GDR - Global Depository Receipt SKK - Slovak Koruna
HKD - Hong Kong Dollar TWD - New Taiwan Dollar
INR - Indian Rupee USD - United States Dollar
JPY - Japanese Yen ZAR - Rand
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
June 30, 2004
SCHEDULE OF OPTIONS WRITTEN:
- ----------------------------------------------------------------------------------------------------------------------------------
EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000's)
JNL/AIM SMALL CAP GROWTH FUND
Taser International Inc. Call Option 7/19/2004 $ 45.00 12 $ (3)
Urban Outfitters Inc. Call Option 7/19/2004 65.00 1 -
------------
$ (3)
============
JNL/PIMCO TOTAL RETURN BOND FUND
U.S. 5-Year Treasury Note Call Option 8/27/2004 $ 111.50 10 $ (1)
U.S. 5-Year Treasury Note Put Option 8/27/2004 107.50 15 (6)
U.S. 10-Year Treasury Note Future Call Option 8/27/2004 110.00 45 (39)
U.S. 10-Year Treasury Note Future Call Option 8/27/2004 111.00 18 (9)
U.S. 10-Year Treasury Note Future Call Option 8/27/2004 114.00 2 -
U.S. 10-Year Treasury Note Future Call Option 8/27/2004 115.00 71 (2)
U.S. 10-Year Treasury Note Future Put Option 8/27/2004 108.00 31 (21)
U.S. 10-Year Treasury Note Future Put Option 8/30/2004 105.00 45 (6)
Call Swaption, 3 month LIBOR versus 3.80% fixed 10/7/2004 n/a 15 -
Call Swaption, 3 month LIBOR versus 3.80% fixed 10/19/2004 n/a 2 (13)
Put Swaption, 3 month LIBOR versus 6.00% fixed 10/19/2004 n/a 2 -
Call Swaption, 3 month LIBOR versus 3.14% fixed 11/2/2004 n/a 9 (22)
Put Swaption, 3 month LIBOR versus 6.70% fixed 11/2/2004 n/a 9 -
Call Swaption, 3 month LIBOR versus 5.50% fixed 1/7/2005 n/a 6 (22)
Put Swaption, 3 month LIBOR versus 7.00% fixed 1/7/2005 n/a 6 -
------------
$ (141)
============
JNL/PUTNAM EQUITY FUND
Ross Stores Inc. Put Option 7/7/2004 $ 22.90 3,013 $ -
Sandisk Corp. Put Option 7/9/2004 19.62 3,540 (1)
------------
$ (1)
============
SUMMARY OF WRITTEN CALL OPTIONS FOR THE PERIOD ENDED JUNE 30, 2004 (IN THOUSANDS EXCEPT CONTRACTS):
- ----------------------------------------------------------------------------------------------------------------------------------
NUMBER OF CONTRACTS PREMIUMS
JNL/AIM SMALL CAP GROWTH FUND ---------------- ------------
Options outstanding at December 31, 2003 51 $ 7
Options written during the period 274 40
Options closed during the period (140) (22)
Options exercised during the period (99) (13)
Options expired during the period (73) (10)
---------------- -------------
Options outstanding at June 30, 2004 13 $ 2
================ =============
JNL/PIMCO TOTAL RETURN BOND FUND
Options outstanding at December 31, 2003 238 $ 307
Options written during the period 860 487
Options closed during the period (155) (47)
Options exercised during the period (228) (85)
Options expired during the period (429) (366)
---------------- -------------
Options outstanding at June 30, 2004 286 $ 296
================ =============
JNL/PUTNAM EQUITY FUND
Options outstanding at December 31, 2003 - $ -
Options written during the period 72,623 41
Options closed during the period (39,552) (25)
Options exercised during the period (2,275) (4)
Options expired during the period (24,243) (10)
---------------- -------------
Options outstanding at June 30, 2004 6,553 $ 2
================ =============
JNL/PUTNAM VALUE EQUITY FUND
Options outstanding at December 31, 2003 - $ -
Options written during the period 59,810 13
Options closed during the period - -
Options exercised during the period - -
Options expired during the period (59,810) (13)
---------------- -------------
Options outstanding at June 30, 2004 - $ -
================ =============
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS)
June 30, 2004
SUMMARY OF SWAP AGREEMENTS :
- ------------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL AMOUNT APPRECIATION/(DEPRECIATION)
JNL/PIMCO TOTAL RETURN BOND FUND
Barclay's Capital
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 12/15/06 $ 4,400 $ 4
Receive fixed rate equal to 4.00% and pay floating rate
based on 6 month EURIBOR, 06/17/10 1,100 1
Receive fixed rate equal to 5.00% and pay floating rate
based on 6 month LIBOR, 06/16/11 3,500 (142)
Citibank N.A.
Receive fixed rate equal to 4.00% and pay floating rate
based on 12 month EURIBOR, 06/17/10 500 (6)
Goldman Sachs Capital Markets, L.P.
Receive fixed rate equal to 4.00% and pay floating rate
based on 6 month EURIBOR, 06/17/08 3,200 (57)
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 16
JPMorgan Chase Bank
Receive fixed rate equal to 4.00% and pay floating rate
based on 6 month EURIBOR, 12/21/07 14,200 (62)
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/17 100 -
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 11
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) 44
Morgan Stanley Capital Services Inc.
Receive floating rate based on 1 month Lehman Brothers
ERISA-eligible CMBS Index and pay a floating rate
based on 1 month LIBOR MINUS 0.65%, 09/30/04 700 (1)
UBS Warburg AG
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 12/15/06 2,000 3
Receive fixed rate equal to 4.00% and pay floating rate
based on 6 month EURIBOR, 06/17/08 3,200 (45)
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 12/15/09 22,200 161
Receive fixed rate equal to 5.00% and pay floating rate
based on 6 month LIBOR, 06/16/11 1,900 (75)
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/17 100,000 -
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 200,000 (1)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 300,000 4
------------
$ (139)
============
SUMMARY OF SECURITIES SOLD SHORT :
- ------------------------------------------------------------------------------------------------------------------------
PAR AMOUNT MARKET VALUE
JNL/PIMCO Total Return Bond Fund
U.S. Treasury Note, 3.875%, 02/15/13 $ 800 $ (765)
U.S. Treasury Note, 4.75%, 05/15/14 1,900 (1,920)
U.S. Treasury Bond, 6.25%, 08/15/23 900 (997)
U.S. Treasury Bond, 6.25%, 05/15/30 2,100 (2,351)
U.S. Treasury Bond, 5.375%, 02/15/31 2,500 (2,521)
------------
Total (proceeds $8,387) $ (8,554)
============
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
June 30, 2004
SUMMARY OF INVESTMENTS BY COUNTRY:
- --------------------------------------
JNL/Mellon Capital JNL/
JNL/FMR JNL/JPMorgan Management Oppenheimer
Capital Growth International International Global Growth
Fund Value Fund Index Fund Fund
- -----------------------------------------------------------------------------------------------------
Argentina - % - % - % - %
Australia - 0.8 4.5 0.4
Austria - 1.0 0.3 -
Belgium - - 1.1 -
Bermuda - - - -
Brazil 3.7 0.6 - 1.9
Bulgaria - - - -
Canada 5.3 - - 2.0
Cayman Islands - - - -
Chile - - - -
China - - - -
Colombia - - - -
Denmark - - 0.7 -
Ecuador - - - -
Finland - - 1.4 -
France - 10.7 8.7 7.1
Germany - 3.6 6.4 3.1
Greece 0.5 - 0.4 -
Hong Kong - 2.5 1.5 1.5
India - 1.3 - 2.3
Indonesia - 1.0 - -
Ireland - - 0.8 0.4
Israel - - - 0.4
Italy - 3.4 3.6 0.4
Japan - 20.7 22.7 9.0
Liberia - - - -
Luxembourg - 1.9 0.1 -
Malaysia - - - -
Mexico - - - 1.5
Morocco - - - -
Netherlands - 5.7 4.7 2.5
New Zealand - - 0.2 -
Norway - - 0.5 1.0
Panama - - - -
Peru - - - -
Philippines - - - -
Portugal - - 0.3 -
Russia - 0.8 - -
Singapore - 2.8 0.7 0.5
South Africa - - - -
South Korea - 1.6 - 1.8
Spain - 4.0 3.4 0.3
Sweden - 1.6 2.3 3.2
Switzerland - 7.8 6.6 1.8
Taiwan - 0.5 - 0.9
Turkey - - - -
United Kingdom - 23.7 23.6 13.6
United States 90.5 4.0 5.5 44.4
Venezuela - - - -
------------------------------------------------------------------------------------
TOTAL
INVESTMENTS 100.0% 100.0% 100.0% 100.0%
====================================================================================
JNL/ JNL/Salomon JNL/
PPM America JNL/Putnam Brothers JNL/Select JNL/Select T.Rowe Price
High Yield International Strategic Bond Global Large Cap Established
Bond Fund Equity Fund Fund Growth Fund Growth Fund Growth Fund
- ---------------------------------------------------------------------------------------------------------------
Argentina - % - % 0.2 % - % - % - %
Australia - 1.0 0.1 - - 0.8
Austria - - - - - -
Belgium - 0.6 - - - -
Bermuda - 0.8 - - - 1.2
Brazil - 0.6 2.1 - - -
Bulgaria - - 0.3 - - -
Canada 5.6 2.0 0.9 4.3 5.8 0.4
Cayman Islands 0.3 - 0.1 - - -
Chile 0.4 - - - - -
China - 0.5 - - - -
Colombia - - 0.4 - - -
Denmark - 1.2 - - - -
Ecuador - - 0.4 - - -
Finland - 0.6 0.5 - - -
France - 10.3 1.6 13.8 - 1.0
Germany - 4.7 3.9 5.5 - 0.8
Greece - - - - - -
Hong Kong - - - - - -
India - - - - - -
Indonesia - - - - - -
Ireland - 2.0 - 4.9 - -
Israel - - - - - 0.3
Italy - 1.5 0.3 0.8 - -
Japan - 19.3 - 6.4 - -
Liberia 0.8 - - - - -
Luxembourg 2.2 - - 0.3 - -
Malaysia - - 0.2 - - -
Mexico - 0.6 1.1 - - 0.4
Morocco - - 0.3 - - -
Netherlands - 1.9 1.5 2.2 - -
New Zealand - - - - - -
Norway - 0.1 - - - -
Panama - - 0.4 - - -
Peru - - 0.2 - - -
Philippines - - 0.5 - - -
Portugal - - - - - -
Russia - 0.1 1.8 0.2 - -
Singapore - 2.1 - - - -
South Africa - - 0.1 - - -
South Korea - 4.7 - 1.2 - 0.6
Spain - 2.2 - 0.4 - 0.4
Sweden - 3.1 - 2.7 - -
Switzerland - 14.4 - 1.4 - 1.5
Taiwan - 0.9 - - - -
Turkey - - 0.3 - - -
United Kingdom - 20.2 0.5 10.8 3.4 3.3
United States 90.7 4.6 82.0 45.1 90.8 89.3
Venezuela - - 0.5 - - -
------------------------------------------------------------------------------------------------
TOTAL
INVESTMENTS 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
================================================================================================
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS)
June 30, 2004
SUMMARY OF OPEN CURRENCY CONTRACTS:
- ------------------------------------------------------------------------------------------
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/FMR BALANCED FUND
CAD/USD 7/2/2004 3 CAD $ 2 $ -
CAD/USD 7/2/2004 2 CAD 2 -
GBP/USD 7/1/2004 1 GBP 2 -
USD/CAD 7/30/2004 (23) CAD (18) -
USD/CAD 7/6/2004 (16) CAD (13) -
-------------- ---------------
$ (25) $ -
============== ===============
JNL/JPMORGAN INTERNATIONAL VALUE FUND
AUD/USD 8/19/2004 2,497 AUD $ 1,730 $ (8)
CHF/USD 8/19/2004 758 CHF 606 (4)
EUR/USD 8/19/2004 3,475 EUR 4,224 (29)
EUR/USD 8/19/2004 2,295 EUR 2,790 17
GBP/USD 7/2/2004 90 GBP 163 -
GBP/USD 8/19/2004 2,114 GBP 3,817 (35)
GBP/USD 8/19/2004 347 GBP 627 3
HDK/USD 8/19/2004 1,684 HKD 216 -
JPY/USD 7/2/2004 17,500 JPY 160 -
JPY/USD 8/19/2004 158,914 JPY 1,460 (11)
JPY/USD 8/19/2004 693,256 JPY 6,367 151
SEK/USD 8/19/2004 3,626 SEK 481 11
USD/CHF 8/19/2004 (415) CHF (332) (10)
USD/CHF 8/19/2004 (900) CHF (719) 9
USD/EUR 7/2/2004 (50) EUR (60) -
USD/EUR 8/19/2004 (4,100) EUR (4,983) (86)
USD/EUR 8/19/2004 (2,051) EUR (2,493) 27
USD/GBP 8/19/2004 (1,405) GBP (2,536) 27
USD/GBP 8/19/2004 (1228) GBP (2,216) (53)
USD/HKD 8/19/2004 (779) HKD (100) -
USD/HKD 8/19/2004 (2,414) HKD (310) -
USD/JPY 8/19/2004 (525,535) JPY (4,826) (82)
USD/JPY 8/19/2004 (131,326) JPY (1,206) 5
USD/SGD 8/19/2004 (1,377) SGD (804) 4
-------------- ---------------
$ 2,056 $ (64)
============== ===============
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
AUD/USD 7/2/2004 689 AUD $ 480 $ -
CHF/USD 7/2/2004 926 CHF 739 -
CHF/USD 7/2/2004 926 CHF 739 -
DKK/USD 7/2/2004 376 DKK 62 -
DKK/USD 7/2/2004 376 DKK 62 -
EUR/USD 7/2/2004 2,682 EUR 3,263 -
EUR/USD 9/16/2004 28 EUR 34 -
EUR/USD 9/16/2004 3,402 EUR 4,134 26
GBP/USD 7/2/2004 1,400 GBP 2,538 -
GBP/USD 9/16/2004 1,994 GBP 3,591 (15)
GBP/USD 9/16/2004 135 GBP 243 -
HKD/USD 7/2/2004 1,152 HKD 148 -
HKD/USD 7/2/2004 1,152 HKD 148 -
JPY/USD 7/2/2004 249,020 JPY 2,282 -
JPY/USD 7/2/2004 249,020 JPY 2,282 -
JPY/USD 9/16/2004 128,480 JPY 1,182 (10)
JPY/USD 9/16/2004 141,953 JPY 1,306 13
NOK/USD 7/2/2004 223 NOK 32 -
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND (CONTINUED)
NOK/USD 7/2/2004 223 NOK 32 -
NZD/USD 7/2/2004 60 NZD 38 -
NZD/USD 7/2/2004 60 NZD 38 -
SEK/USD 7/2/2004 1,934 SEK 257 -
SEK/USD 7/2/2004 1,934 SEK 257 -
SGD/USD 7/2/2004 164 SGD 95 -
SGD/USD 7/2/2004 164 SGD 95 -
USD/EUR 9/16/2004 (3,122) EUR (3,794) (31)
USD/GBP 9/16/2004 (1,766) GBP (3,181) (19)
USD/JPY 9/16/2004 (260,400) JPY (2,395) 15
----------- ----------------
$ 14,599 $ (21)
=========== ================
JNL/OPPENHEIMER GLOBAL GROWTH FUND
USD/CAD 7/2/2004 (107) CAD $ (80) $ -
USD/EUR 7/1/2004 (2) EUR (3) -
----------- ----------------
$ (83) $ -
=========== ================
JNL/PIMCO TOTAL RETURN BOND FUND
BRL/USD 7/26/2004 107 BRL $ 34 $ (1)
BRL/USD 8/24/2004 224 BRL 71 3
BRL/USD 9/17/2004 300 BRL 94 2
CLP/USD 8/6/2004 11,219 CLP 18 -
CLP/USD 0/18/04 48,728 CLP 76 -
CLP/USD 9/17/2004 60,602 CLP 95 1
HKD/USD 7/26/2004 576 HKD 74 -
CLP/USD 8/24/2004 587 HKD 75 -
HKD/USD 9/20/2004 777 HKD 100 -
INR/USD 9/21/2004 6,421 INR 139 (3)
JPY/USD 7/21/2004 478,202 JPY 4,386 26
KRW/USD 7/26/2004 85,914 KRW 74 1
KRW/USD 8/24/2004 87,920 KRW 76 2
KRW/USD 9/20/2004 118,000 KRW 102 1
MXN/USD 8/27/2004 399 MXN 34 -
MXN/USD 9/21/2004 1,121 MXN 96 (3)
PEN/USD 8/24/2004 259 PEN 74 1
PEN/USD 9/20/2004 348 PEN 100 -
RUB/USD 7/23/2004 2,106 RUB 72 1
RUB/USD 8/19/2004 2,153 RUB 74 1
RUB/USD 9/20/2004 2,854 RUB 98 1
SGD/USD 7/26/2004 125 SGD 73 (1)
SGD/USD 8/24/2004 128 SGD 74 -
SGD/USD 9/20/2004 170 SGD 99 -
SKK/USD 8/24/2004 2,457 SKK 75 2
SKK/USD 9/21/2004 3,343 SKK 102 1
TWD/USD 8/24/2004 2,500 TWD 75 -
TWD/USD 9/20/2004 3,321 TWD 99 -
USD/EUR 7/20/2004 (2,903) EUR (3,530) 41
USD/ZAR 8/24/2004 (302) ZAR (48) -
USD/ZAR 9/21/2004 (401) ZAR (64) -
ZAR/USD 8/24/2004 501 ZAR 80 7
ZAR/USD 9/21/2004 686 ZAR 109 4
----------- ----------------
$ 3,106 $ 87
=========== ================
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS)
June 30, 2004
SUMMARY OF OPEN CURRENCY CONTRACTS (CONTINUED):
- -------------------------------------------------------------------------------------------------
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/PUTNAM INTERNATIONAL EQUITY FUND
AUD/USD 9/15/2004 1,884 AUD $ 1,302 $ (11)
EUR/USD 7/1/2004 56 EUR 68 -
EUR/USD 7/2/2004 63 EUR 76 -
GBP/USD 9/15/2004 780 GBP 1,405 (8)
JPY/USD 7/1/2004 5,186 JPY 48 (1)
JPY/USD 7/2/2004 6,961 JPY 64 -
SEK/USD 7/1/2004 640 SEK 85 -
USD/CHF 9/15/2004 (2,338) CHF (1,872) 1
USD/GBP 7/1/2004 (74) GBP (135) 1
------------------ ----------------
$ 1,041 $ (18)
================== ================
JNL/SALOMON STRATEGIC BOND FUND
USD/EUR 8/25/2004 (19,070) EUR $ (23,177) $ (465)
================== ================
JNL/Select Global Growth Fund
CHF/USD 9/27/2004 800 CHF $ 641 $ 24
CHF/USD 10/15/2004 800 CHF 641 24
EUR/USD 9/27/2004 1,925 EUR 2,339 47
GBP/USD 10/15/2004 900 GBP 1,617 37
GBP/USD 11/19/2004 1,200 GBP 2,150 50
JPY/USD 7/2/2004 17,836 JPY 163 (1)
USD/CHF 9/27/2004 (800) CHF (641) (6)
USD/CHF 10/15/2004 (800) CHF (641) (25)
USD/EUR 7/1/2004 (194) EUR (236) -
USD/EUR 7/6/2004 (66) EUR (81) -
USD/EUR 9/27/2004 (400) EUR (486) (2)
USD/EUR 9/27/2004 (1,525) EUR (1,853) 14
USD/GBP 7/2/2004 (86) GBP (157) (1)
USD/GBP 7/6/2004 (469) GBP (851) 3
USD/GBP 10/15/2004 (900) GBP (1,617) (32)
USD/GBP 11/19/2004 (1,000) GBP (1,792) -
USD/GBP 11/19/2004 (200) GBP (358) -
USD/JPY 7/1/2004 (27,727) JPY (254) 3
------------------ ----------------
$ (1,416) $ 135
================== ================
JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND
USD/EUR 7/1/2004 (221) EUR $ (269) $ -
================== ================
JNL/T. ROWE PRICE VALUE FUND
EUR/USD 7/1/2004 156 EUR $ 190 $ -
GBP/USD 7/1/2004 106 GBP 193 -
------------------ ----------------
$ 383 $ -
================== ================
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
June 30, 2004
SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS):
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
CONTRACTS UNREALIZED
LONG/ NOTIONAL APPRECIATION/
(SHORT) AMOUNT (DEPRECIATION)
JNL/AIM SMALL CAP GROWTH FUND
Russell 2000 Index Future
Expiration September 2004 2 $ 24
===================
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Dow Jones Euro Stoxx 50 Future
Expiration September 2004 23 $ 1
FTSE 100 Index Future
Expiration September 2004 7 (3)
Topix Japanese Yen Future
Expiration September 2004 4 11
-------------------
$ 9
===================
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
U.S. Treasury Note Future, 2-Year, 6.00%,
Expiration September 2004 $800 $ (2)
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2004 (100) (1)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2004 (400) (2)
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration September 2004 400 7
-------------------
$ 2
===================
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Dow Jones Euro Stoxx 50 Future
Expiration September 2004 27 $ -
FTSE 100 Index Future
Expiration September 2004 11 (6)
Topix Japanese Yen Future
Expiration September 2004 5 6
-------------------
$ -
===================
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
S&P 500 Index Future
Expiration September 2004 44 $ 53
===================
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
S&P MidCap 400 E-Mini Future
Expiration September 2004 90 $ 36
===================
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
S&P 500 E-Mini Future
Expiration September 2004 15 $ 24
===================
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Russell 2000 Mini Index Future
Expiration September 2004 86 $ 129
===================
- -------------------------------------------------------------------------------------------------------
CONTRACTS UNREALIZED
LONG/ NOTIONAL APPRECIATION/
(SHORT) AMOUNT (DEPRECIATION)
JNL/PIMCO TOTAL RETURN FUND
Euribor Interest Rate Future
Expiration June 2005 $ 99,000 $ 13
Euribor Interest Rate Future
Expiration September 2005 96,000 (22)
Euribor Interest Rate Future
Expiration December 2005 135,000 (135)
Euro BOBL Future, 5-Year, 6.00%,
Expiration September 2004 8,100 14
Eurodollar Future
Expiration December 2004 29,000 1
Eurodollar Future
Expiration March 2005 27,000 (19)
Eurodollar Future
Expiration June 2005 50,000 (66)
Eurodollar Future
Expiration September 2005 30,000 (52)
Eurodollar Future
Expiration December 2005 31,000 (51)
Eurodollar Future
Expiration March 2006 20,000 (21)
Eurodollar Future Option
Expiration September 2004 (12,000) 4
Eurodollar Future Option
Expiration December 2004 (12,000) 12
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2004 37,000 181
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2004 79,000 957
-------------------
$ 816
===================
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2004 (1,300) $ (11)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2004 (16,900) $ (204)
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration September 2004 3,600 70
-------------------
$ (145)
===================
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2004 (60,300) $ (332)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2004 3,900 54
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration September 2004 22,200 433
-------------------
$ 155
===================
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/AIM JNL/AIM JNL/Alger
Large Cap Small Cap Growth
ASSETS Growth Fund Growth Fund Fund
----------------- ---------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 149,805 $ 47,450 $ 275,411
Investments - affiliated, at value and cost - - -
Cash - - 9
Foreign currency (c) - - -
Receivables:
Dividends and interest 30 5 141
Forward currency contracts - - -
Foreign taxes recoverable 3 - -
Fund shares sold 271 154 161
Investment securities sold 1,116 101 756
Variation margin - 4 -
Collateral for securities loaned 6,405 5,042 24,088
----------------- ---------------- -----------------
TOTAL ASSETS 157,630 52,756 300,566
----------------- ---------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 12 4 22
Advisory fees 88 32 173
Investment securities purchased 3,279 200 -
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 84 263 272
Swap agreements, net - - -
12b-1 service fee (Class A) 23 7 45
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - 3 -
Return of collateral for securities loaned 6,405 5,042 24,088
----------------- ---------------- -----------------
TOTAL LIABILITIES 9,891 5,551 24,600
----------------- ---------------- -----------------
NET ASSETS $ 147,739 $ 47,205 $ 275,966
================= ================ =================
NET ASSETS CONSIST OF:
Paid-in capital $ 138,001 $ 41,675 $ 366,245
Undistributed (accumulated) net
investment income (loss) (232) (229) (680)
Accumulated net realized gain (loss) (516) (332) (113,737)
Net unrealized appreciation (depreciation) 10,486 6,091 24,138
----------------- ---------------- -----------------
$ 147,739 $ 47,205 $ 275,966
================= ================ =================
CLASS A
Net assets $ 147,730 $ 47,204 $ 275,965
Shares outstanding (no par value),
unlimited shares authorized 13,171 3,910 18,160
Net asset value per share $ 11.22 $ 12.07 $ 15.20
================= ================ =================
CLASS B
Net assets $ 9 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized 1 - -
Net asset value per share $ 11.22 $ 12.08 $ 15.22
================= ================ =================
- ----------------------------------------------
(a) Including securities on loan of: $ 6,208 $ 4,843 $ 23,393
(b) Investments - unaffiliated, at cost 139,319 41,382 251,273
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - 2 -
JNL/Alliance JNL/Eagle JNL/Eagle
Capital Growth Core Equity SmallCap
ASSETS Fund Fund Equity Fund
------------------ ---------------- ----------------
Investments - unaffiliated, at value (a) (b) $ 68,666 $ 309,135 $ 141,845
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) - - -
Receivables:
Dividends and interest 35 330 22
Forward currency contracts - - -
Foreign taxes recoverable 1 2 -
Fund shares sold 17 297 440
Investment securities sold 872 1,119 -
Variation margin - - -
Collateral for securities loaned 6,023 10,495 5,623
------------------ ---------------- ----------------
TOTAL ASSETS 75,614 321,378 147,930
------------------ ---------------- ----------------
.
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 5 25 11
Advisory fees 32 163 84
Investment securities purchased 915 1,376 -
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 26 207 235
Swap agreements, net - - -
12b-1 service fee (Class A) 11 50 22
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 6,023 10,495 5,623
------------------ ---------------- ----------------
TOTAL LIABILITIES 7,012 12,316 5,975
------------------ ---------------- ----------------
NET ASSETS $ 68,602 $ 309,062 $ 141,955
================== ================ ================
NET ASSETS CONSIST OF:
Paid-in capital $ 127,760 $ 325,611 $ 128,050
Undistributed (accumulated) net
investment income (loss) 52 932 (493)
Accumulated net realized gain (loss) (64,132) (26,261) (12,805)
Net unrealized appreciation (depreciation) 4,922 8,780 27,203
------------------ ---------------- ----------------
$ 68,602 $ 309,062 $ 141,955
================== ================ ================
CLASS A
Net assets $ 68,601 $ 309,061 $ 141,954
Shares outstanding (no par value),
unlimited shares authorized 6,698 21,809 7,840
Net asset value per share $ 10.24 $ 14.17 $ 18.11
================== ================ ================
CLASS B
Net assets $ 1 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized - - -
Net asset value per share $ 10.24 $ 14.18 $ 18.13
- ---------------------------------------------- ================== ================ ================
(a) Including securities on loan of: $ 5,767 $ 10,122 $ 5,431
(b) Investments - unaffiliated, at cost 63,744 300,355 114,642
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/FMR JNL/FMR JNL/JPMorgan
Balanced Capital International
ASSETS Fund Growth Fund Value Fund
------------------- ----------------- ------------------
Investments - unaffiliated, at value (a) (b) $ 95,916 $ 154,367 $ 51,746
Investments - affiliated, at value and cost - - -
Cash - 24 -
Foreign currency (c) 11 - 522
Receivables:
Dividends and interest 353 71 49
Forward currency contracts - - 254
Foreign taxes recoverable 3 - 18
Fund shares sold 75 18 634
Investment securities sold 1,309 1,406 434
Variation margin - - 2
Collateral for securities loaned 30,948 21,916 5,882
------------------- ----------------- ------------------
TOTAL ASSETS 128,615 177,802 59,541
------------------- ----------------- ------------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 8 12 6
Advisory fees 54 87 32
Investment securities purchased 1,352 2,406 729
Income payable - - -
Forward currency contracts - - 318
Fund shares redeemed 125 278 129
Swap agreements, net - - -
12b-1 service fee (Class A) 15 25 8
Variation margin - - 10
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 30,948 21,916 5,882
------------------- ----------------- ------------------
TOTAL LIABILITIES 32,502 24,724 7,114
------------------- ----------------- ------------------
NET ASSETS $ 96,113 $ 153,078 $ 52,427
=================== ================= ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 96,091 $ 488,923 $ 50,330
Undistributed (accumulated) net
investment income (loss) 752 (190) 381
Accumulated net realized gain (loss) (3,169) (338,404) (184)
Net unrealized appreciation (depreciation) 2,439 2,749 1,900
------------------- ----------------- ------------------
$ 96,113 $ 153,078 $ 52,427
=================== ================= ==================
CLASS A
Net assets $ 96,112 $ 153,077 $ 52,426
Shares outstanding (no par value),
unlimited shares authorized 10,122 10,850 6,499
Net asset value per share $ 9.50 $ 14.11 $ 8.07
=================== ================= ==================
CLASS B
Net assets $ 1 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized - - -
Net asset value per share $ 9.50 $ 14.12 $ 8.07
- ---------------------------------------------- ================== ================= ==================
(a) Including securities on loan of: $ 30,372 $ 21,144 $ 5,596
(b) Investments - unaffiliated, at cost 93,477 151,618 49,790
(c) Foreign currency cost 12 - 524
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
JNL/Mellon
Capital
JNL/Lazard JNL/Lazard Management
Mid Cap Small Cap Bond Index
ASSETS Value Fund Value Fund Fund
------------------ ---------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 166,347 $ 171,185 $ 123,740
Investments - affiliated, at value and cost - - 1,145
Cash - 1 -
Foreign currency (c) - - -
Receivables:
Dividends and interest 93 112 1,235
Forward currency contracts - - -
Foreign taxes recoverable - 1 -
Fund shares sold 294 175 290
Investment securities sold 2,424 1,013 2,598
Variation margin - - 6
Collateral for securities loaned 15,686 6,920 39,216
------------------ ---------------- -----------------
TOTAL ASSETS 184,844 179,407 168,230
------------------ ---------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 13 13 10
Advisory fees 99 108 30
Investment securities purchased 4,144 2,223 3,790
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 85 102 52
Swap agreements, net - - -
12b-1 service fee (Class A) 25 27 20
Variation margin - - 4
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 15,686 6,920 39,216
------------------ ---------------- -----------------
TOTAL LIABILITIES 20,052 9,393 43,122
------------------ ---------------- -----------------
NET ASSETS $ 164,792 $ 170,014 $ 125,108
================== ================ =================
NET ASSETS CONSIST OF:
Paid-in capital $ 131,209 $ 137,874 $ 124,698
Undistributed (accumulated) net
investment income (loss) 296 97 2,074
Accumulated net realized gain (loss) 16,694 15,547 (428)
Net unrealized appreciation (depreciation) 16,593 16,496 (1,236)
------------------ ---------------- -----------------
$ 164,792 $ 170,014 $ 125,108
================== ================ =================
CLASS A
Net assets $ 164,781 $ 170,004 $ 125,103
Shares outstanding (no par value),
unlimited shares authorized 11,256 12,288 11,957
Net asset value per share $ 14.64 $ 13.83 $ 10.46
================== ================ =================
CLASS B
Net assets $ 11 $ 10 $ 5
Shares outstanding (no par value),
unlimited shares authorized 1 1 1
Net asset value per share $ 14.65 $ 13.84 $ 10.47
- ---------------------------------------------- ================== ================ =================
(a) Including securities on loan of: $ 14,998 $ 6,706 $ 38,503
(b) Investments - unaffiliated, at cost 149,754 154,689 124,978
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/Mellon
Capital JNL/Mellon JNL/Mellon
Management Capital Capital
Enhanced Management Management
S&P 500 Stock International S&P 400 MidCap
ASSETS Index Fund Index Fund Index Fund
------------------- ---------------- --------------------
Investments - unaffiliated, at value (a) (b) $ 159,405 $ 206,414 $ 134,429
Investments - affiliated, at value and cost 12,012 11,242 5,740
Cash - - -
Foreign currency (c) - 616 -
Receivables:
Dividends and interest 155 321 83
Forward currency contracts - 54 2
Foreign taxes recoverable - 53 -
Fund shares sold 347 324 453
Investment securities sold - 9,951 3,076
Variation margin 12,544 3 25
Collateral for securities loaned 9,384 21,698 10,439
------------------- ---------------- --------------------
TOTAL ASSETS 193,847 250,676 154,247
------------------- ---------------- --------------------
LIABILITIES
Cash overdraft - 18 -
Payables:
Administrative fees 14 25 10
Advisory fees 64 50 31
Investment securities purchased - 19,867 3,874
Income payable - - -
Forward currency contracts - 75 -
Fund shares redeemed 121 148 68
Swap agreements, net - - -
12b-1 service fee (Class A) 27 33 21
Variation margin 12,494 14 -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 9,384 21,698 10,439
------------------- ---------------- --------------------
TOTAL LIABILITIES 22,104 41,928 14,443
------------------- ---------------- --------------------
NET ASSETS $ 171,743 $ 208,748 $ 139,804
=================== ================ ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 165,077 $ 188,293 $ 123,832
Undistributed (accumulated) net
investment income (loss) 971 2,469 342
Accumulated net realized gain (loss) (24) 505 1,620
Net unrealized appreciation (depreciation) 5,719 17,481 14,010
------------------- ---------------- --------------------
$ 171,743 $ 208,748 $ 139,804
=================== ================ ====================
CLASS A
Net assets $ 171,742 $ 208,743 $ 139,773
Shares outstanding (no par value),
unlimited shares authorized 20,870 17,487 11,517
Net asset value per share $ 8.23 $ 11.94 $ 12.14
=================== ================ ====================
CLASS B
Net assets $ 1 $ 5 $ 31
Shares outstanding (no par value),
unlimited shares authorized - 1 3
Net asset value per share $ 8.24 $ 11.95 $ 12.15
- ---------------------------------------------- =================== ================ ====================
(a) Including securities on loan of: $ 8,953 $ 20,853 $ 10,079
(b) Investments - unaffiliated, at cost 153,739 188,906 120,455
(c) Foreign currency cost - 622 -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
JNL/Mellon JNL/Mellon
Capital Capital JNL/
Management Management Oppenheimer
S&P 500 Index Small Cap Global
ASSETS Fund Index Fund Growth Fund
------------------- ---------------- ---------------
Investments - unaffiliated, at value (a) (b) $ 270,751 $ 116,954 $ 169,599
Investments - affiliated, at value and cost 12,303 4,830 -
Cash - 53 -
Foreign currency (c) - - 275
Receivables:
Dividends and interest 303 105 209
Forward currency contracts - - -
Foreign taxes recoverable - - 20
Fund shares sold 496 671 254
Investment securities sold - - 92
Variation margin 13,685 32 -
Collateral for securities loaned 8,877 25,481 19,263
------------------- ---------------- ---------------
TOTAL ASSETS 306,415 148,126 189,712
------------------- ---------------- ---------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 22 9 20
Advisory fees 64 27 93
Investment securities purchased 479 - 4,415
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 114 93 227
Swap agreements, net - - -
12b-1 service fee (Class A) 44 19 26
Variation margin 13,630 - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 8,877 25,481 19,263
------------------- ---------------- ---------------
TOTAL LIABILITIES 23,230 25,629 24,044
------------------- ---------------- ---------------
NET ASSETS $ 283,185 $ 122,497 $ 165,668
=================== ================ ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 256,589 $ 106,076 $ 155,102
Undistributed (accumulated) net
investment income (loss) 1,182 315 877
Accumulated net realized gain (loss) 513 5,035 (10,158)
Net unrealized appreciation (depreciation) 24,901 11,071 19,847
------------------- ---------------- ---------------
$ 283,185 $ 122,497 $ 165,668
=================== ================ ===============
CLASS A
Net assets $ 283,105 $ 122,479 $ 165,654
Shares outstanding (no par value),
unlimited shares authorized 27,917 10,053 15,896
Net asset value per share $ 10.14 $ 12.18 $ 10.42
=================== ================ ===============
CLASS B
Net assets $ 80 $ 18 $ 14
Shares outstanding (no par value),
unlimited shares authorized 8 1 2
Net asset value per share $ 10.15 $ 12.18 $ 10.43
- ---------------------------------------------- =================== ================ ===============
(a) Including securities on loan of: $ 8,520 $ 24,186 $ 17,834
(b) Investments - unaffiliated, at cost 245,874 106,012 149,749
(c) Foreign currency cost - - 277
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/ JNL/PIMCO JNL/PPM
Oppenheimer Total Return America
ASSETS Growth Fund Bond Fund Balanced Fund
----------------- ----------------- ------------------
Investments - unaffiliated, at value (a) (b) $ 25,521 $ 417,371 $ 323,096
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) - 2,524 -
Receivables:
Dividends and interest 11 1,090 1,536
Forward currency contracts - 95 -
Foreign taxes recoverable - - -
Fund shares sold 17 385 1,074
Investment securities sold 540 8,387 697
Variation margin - 943 -
Collateral for securities loaned 500 18,815 36,944
----------------- ----------------- ------------------
TOTAL ASSETS 26,589 449,610 363,347
----------------- ----------------- ------------------
LIABILITIES
Cash overdraft - 2,064 -
Payables:
Administrative fees 2 30 26
Advisory fees 15 152 129
Investment securities purchased 567 41,774 1,373
Income payable - - -
Forward currency contracts - 8 -
Fund shares redeemed 46 1,183 247
Swap agreements, net - 770 -
12b-1 service fee (Class A) 4 61 52
Variation margin - - -
Investment securities sold short, at value (d) - 8,554 -
Options written, at value (e) - 141 -
Return of collateral for securities loaned 500 18,815 36,944
----------------- ----------------- ------------------
TOTAL LIABILITIES 1,134 73,552 38,771
----------------- ----------------- ------------------
NET ASSETS $ 25,455 $ 376,058 $ 324,576
================= ================= ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 25,930 $ 362,577 $ 277,876
Undistributed (accumulated) net
investment income (loss) (50) 8,068 3,987
Accumulated net realized gain (loss) (1,245) 3,952 6,249
Net unrealized appreciation (depreciation) 820 1,461 36,464
----------------- ----------------- ------------------
$ 25,455 $ 376,058 $ 324,576
================= ================= ==================
CLASS A
Net assets $ 25,454 $ 376,057 $ 324,575
Shares outstanding (no par value),
unlimited shares authorized 3,003 31,962 20,242
Net asset value per share $ 8.48 $ 11.77 $ 16.03
================= ================= ==================
CLASS B
Net assets $ 1 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized - - -
Net asset value per share $ 8.48 $ 11.78 $ 16.02
- ---------------------------------------------- ================= ================= ==================
(a) Including securities on loan of: $ 485 $ 18,483 $ 35,975
(b) Investments - unaffiliated, at cost 24,701 416,643 286,632
(c) Foreign currency cost - 2,509 -
(d) Proceeds from securities sold short - 8,387 -
(e) Premiums from options written - 296 -
JNL/PPM JNL/PPM
America America JNL/PPM
High Yield Money America
ASSETS Bond Fund Market Fund Value Fund
------------------ ---------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 257,625 $ 187,868 $ 143,926
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) - - -
Receivables:
Dividends and interest 4,959 5 202
Forward currency contracts - - -
Foreign taxes recoverable - - -
Fund shares sold 1,746 798 321
Investment securities sold - - 521
Variation margin - - -
Collateral for securities loaned 73,400 - 10,014
------------------ ---------------- -----------------
TOTAL ASSETS 337,730 188,671 154,984
------------------ ---------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 21 16 11
Advisory fees 106 47 62
Investment securities purchased - - 1,648
Income payable - 72 -
Forward currency contracts - - -
Fund shares redeemed 1,568 3,605 75
Swap agreements, net - - -
12b-1 service fee (Class A) 42 32 23
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 73,400 - 10,014
------------------ ---------------- -----------------
TOTAL LIABILITIES 75,137 3,772 11,833
------------------ ---------------- -----------------
NET ASSETS $ 262,593 $ 184,899 $ 143,151
================== ================ =================
NET ASSETS CONSIST OF:
Paid-in capital $ 296,303 $ 184,899 $ 126,836
Undistributed (accumulated) net
investment income (loss) 9,930 - 1,248
Accumulated net realized gain (loss) (52,176) - 2,504
Net unrealized appreciation (depreciation) 8,536 - 12,563
------------------ ---------------- -----------------
$ 262,593 $ 184,899 $ 143,151
================== ================ =================
CLASS A
Net assets $ 262,592 $ 184,898 $ 143,150
Shares outstanding (no par value),
unlimited shares authorized 30,106 184,898 9,248
Net asset value per share $ 8.72 $ 1.00 $ 15.48
================== ================ =================
CLASS B
Net assets $ 1 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized - 1 -
Net asset value per share $ 8.72 $ 1.00 $ 15.49
- ---------------------------------------------- ================== ================ =================
(a) Including securities on loan of: $ 71,713 $ - $ 9,589
(b) Investments - unaffiliated, at cost 249,089 187,868 131,363
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/Putnam JNL/Putnam JNL/Putnam
Equity International Midcap
ASSETS Fund Equity Fund Growth Fund
------------------ ----------------- ----------------
Investments - unaffiliated, at value (a) (b) $ 153,398 $ 88,899 $ 31,163
Investments - affiliated, at value and cost - - -
Cash 1 68 -
Foreign currency (c) 2 173 -
Receivables:
Dividends and interest 185 108 4
Forward currency contracts - 2 -
Foreign taxes recoverable 9 65 -
Fund shares sold 26 18 65
Investment securities sold 722 273 824
Variation margin - - -
Collateral for securities loaned 9,038 10,469 1,709
------------------ ----------------- ----------------
TOTAL ASSETS 163,381 100,075 33,765
------------------ ----------------- ----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 12 11 3
Advisory fees 84 56 19
Investment securities purchased 1,127 479 774
Income payable - - -
Forward currency contracts - 20 -
Fund shares redeemed 139 149 33
Swap agreements, net - - -
12b-1 service fee (Class A) 25 14 5
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) 1 - -
Return of collateral for securities loaned 9,038 10,469 1,709
------------------ ----------------- ----------------
TOTAL LIABILITIES 10,426 11,198 2,543
------------------ ----------------- ----------------
NET ASSETS $ 152,955 $ 88,877 $ 31,222
================== ================= ================
NET ASSETS CONSIST OF:
Paid-in capital $ 269,868 $ 113,303 $ 50,023
Undistributed (accumulated) net
investment income (loss) 977 769 (93)
Accumulated net realized gain (loss) (130,697) (35,210) (22,360)
Net unrealized appreciation (depreciation) 12,807 10,015 3,652
------------------ ----------------- ----------------
$ 152,955 $ 88,877 $ 31,222
================== ================= ================
CLASS A
Net assets $ 152,954 $ 88,876 $ 31,221
Shares outstanding (no par value),
unlimited shares authorized 8,927 9,130 4,261
Net asset value per share $ 17.13 $ 9.74 $ 7.33
================== ================= ================
CLASS B
Net assets $ 1 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized - - -
Net asset value per share $ 17.15 $ 9.74 $ 7.34
- ---------------------------------------------- ================== ================= ================
(a) Including securities on loan of: $ 8,680 $ 10,230 $ 1,632
(b) Investments - unaffiliated, at cost 140,592 78,870 27,511
(c) Foreign currency cost 2 174 -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written 2 - -
JNL/Putnam JNL/S&P JNL/S&P
Value Aggressive Conservative
ASSETS Equity Fund Growth Fund I Growth Fund I
----------------- ----------------- ------------------
Investments - unaffiliated, at value (a) (b) $ 219,183 $ 217,492 $ 530,134
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) 4 - -
Receivables:
Dividends and interest 271 - 10
Forward currency contracts - - -
Foreign taxes recoverable 3 - -
Fund shares sold 51 361 685
Investment securities sold 2,191 - -
Variation margin - - -
Collateral for securities loaned 6,318 - -
----------------- ----------------- ------------------
TOTAL ASSETS 228,021 217,853 530,829
----------------- ----------------- ------------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 18 9 21
Advisory fees 118 23 54
Investment securities purchased 372 - -
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 161 89 322
Swap agreements, net - - -
12b-1 service fee (Class A) 36 - -
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 6,318 - -
----------------- ----------------- ------------------
TOTAL LIABILITIES 7,023 121 397
----------------- ----------------- ------------------
NET ASSETS $ 220,998 $ 217,732 $ 530,432
================= ================= ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 247,930 $ 231,160 $ 516,524
Undistributed (accumulated) net
investment income (loss) 1,269 (164) (283)
Accumulated net realized gain (loss) (51,985) (26,806) (13,655)
Net unrealized appreciation (depreciation) 23,784 13,542 27,846
----------------- ----------------- ------------------
$ 220,998 $ 217,732 $ 530,432
================= ================= ==================
CLASS A
Net assets $ 220,997 $ 217,732 $ 530,432
Shares outstanding (no par value),
unlimited shares authorized 13,348 19,859 47,593
Net asset value per share $ 16.56 $ 10.96 $ 11.15
================= ================= ==================
CLASS B
Net assets $ 1 n/a n/a
Shares outstanding (no par value),
unlimited shares authorized - n/a n/a
Net asset value per share $ 16.57 n/a n/a
- ---------------------------------------------- =================
(a) Including securities on loan of: $ 6,044 $ - $ -
(b) Investments - unaffiliated, at cost 195,399 203,950 502,288
(c) Foreign currency cost 4 - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/S&P JNL/S&P JNL/S&P
Core Index 100 Core Index 50 Core Index 75
ASSETS Fund Fund Fund
-------------------- ----------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 42,715 $ 11,096 $ 17,022
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) - - -
Receivables:
Dividends and interest 1 - -
Forward currency contracts - - -
Foreign taxes recoverable - - -
Fund shares sold 91 9 14
Investment securities sold - - -
Variation margin - - -
Collateral for securities loaned - - -
-------------------- ----------------- -----------------
TOTAL ASSETS 42,807 11,105 17,036
-------------------- ----------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 2 1 -
Advisory fees 4 1 2
Investment securities purchased - - -
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 18 8 4
Swap agreements, net - - -
12b-1 service fee (Class A) - - -
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned - - -
-------------------- ----------------- -----------------
TOTAL LIABILITIES 24 10 6
-------------------- ----------------- -----------------
NET ASSETS $ 42,783 $ 11,095 $ 17,030
==================== ================= =================
NET ASSETS CONSIST OF:
Paid-in capital $ 37,460 $ 9,968 $ 15,363
Undistributed (accumulated) net
investment income (loss) 184 16 36
Accumulated net realized gain (loss) 383 256 294
Net unrealized appreciation (depreciation) 4,756 855 1,337
-------------------- ----------------- -----------------
$ 42,783 $ 11,095 $ 17,030
==================== ================= =================
CLASS A
Net assets $ 42,783 $ 11,095 $ 17,030
Shares outstanding (no par value),
unlimited shares authorized 3,961 1,041 1,585
Net asset value per share $ 10.80 $ 10.66 $ 10.74
==================== ================= =================
CLASS B
Net assets n/a n/a n/a
Shares outstanding (no par value),
unlimited shares authorized n/a n/a n/a
Net asset value per share n/a n/a n/a
- ----------------------------------------------
(a) Including securities on loan of: $ - $ - $ -
(b) Investments - unaffiliated, at cost 37,959 10,241 15,685
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
JNL/S&P Equity JNL/S&P JNL/S&P
Aggressive Equity Moderate
ASSETS Growth Fund I Growth Fund I Growth Fund I
------------------- ---------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 61,918 $ 222,292 $ 832,462
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) - - -
Receivables:
Dividends and interest - - 9
Forward currency contracts - - -
Foreign taxes recoverable - - -
Fund shares sold 196 194 299
Investment securities sold - - -
Variation margin - - -
Collateral for securities loaned - - -
------------------- ---------------- -----------------
TOTAL ASSETS 62,114 222,486 832,770
------------------- ---------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 3 9 33
Advisory fees 6 23 74
Investment securities purchased - - -
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 37 54 690
Swap agreements, net - - -
12b-1 service fee (Class A) - - -
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned - - -
------------------- ---------------- -----------------
TOTAL LIABILITIES 46 86 797
------------------- ---------------- -----------------
NET ASSETS $ 62,068 $ 222,400 $ 831,973
=================== ================ =================
NET ASSETS CONSIST OF:
Paid-in capital $ 74,598 $ 265,500 $ 817,755
Undistributed (accumulated) net
investment income (loss) (17) 37 (464)
Accumulated net realized gain (loss) (17,947) (62,031) (36,791)
Net unrealized appreciation (depreciation) 5,434 18,894 51,473
------------------- ---------------- -----------------
$ 62,068 $ 222,400 $ 831,973
=================== ================ =================
CLASS A
Net assets $ 62,068 $ 222,400 $ 831,973
Shares outstanding (no par value),
unlimited shares authorized 6,226 22,120 72,957
Net asset value per share $ 9.97 $ 10.05 $ 11.40
=================== ================ =================
CLASS B
Net assets n/a n/a n/a
Shares outstanding (no par value),
unlimited shares authorized n/a n/a n/a
Net asset value per share n/a n/a n/a
- ----------------------------------------------
(a) Including securities on loan of: $ - $ - $ -
(b) Investments - unaffiliated, at cost 56,484 203,398 780,989
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/Salomon JNL/Salomon
JNL/S&P Very Brothers Brothers
Aggressive Balanced High Yield
ASSETS Growth Fund I Fund Bond Fund
-------------------- ------------------- -------------------
Investments - unaffiliated, at value (a) (b) $ 72,459 $ 14,414 $ 13,996
Investments - affiliated, at value and cost - - -
Cash - - -
Foreign currency (c) - - -
Receivables:
Dividends and interest - 49 306
Forward currency contracts - - -
Foreign taxes recoverable - - -
Fund shares sold 276 8 -
Investment securities sold - 126 19
Variation margin - - -
Collateral for securities loaned - 1,452 4,180
-------------------- ------------------- -------------------
TOTAL ASSETS 72,735 16,049 18,501
-------------------- ------------------- -------------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 3 1 1
Advisory fees 8 6 7
Investment securities purchased - 1,494 -
Income payable - - -
Forward currency contracts - - -
Fund shares redeemed 18 14 1,067
Swap agreements, net - - -
12b-1 service fee (Class A) - 2 2
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned - 1,452 4,180
-------------------- ------------------- -------------------
TOTAL LIABILITIES 29 2,969 5,257
-------------------- ------------------- -------------------
NET ASSETS $ 72,706 $ 13,080 $ 13,244
==================== =================== ===================
NET ASSETS CONSIST OF:
Paid-in capital $ 95,337 $ 11,859 $ 15,081
Undistributed (accumulated) net
investment income (loss) (46) 405 737
Accumulated net realized gain (loss) (29,061) 320 (1,949)
Net unrealized appreciation (depreciation) 6,476 496 (625)
-------------------- ------------------- -------------------
$ 72,706 $ 13,080 $ 13,244
==================== =================== ===================
CLASS A
Net assets $ 72,706 $ 13,079 $ 13,243
Shares outstanding (no par value),
unlimited shares authorized 6,994 1,151 1,638
Net asset value per share $ 10.40 $ 11.36 $ 8.08
==================== =================== ===================
CLASS B
Net assets n/a $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized n/a - -
Net asset value per share n/a $ 11.37 $ 8.08
- ---------------------------------------------- =================== ===================
(a) Including securities on loan of: $ - $ 1,419 $ 4,057
(b) Investments - unaffiliated, at cost 65,983 13,918 14,621
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
JNL/Salomon
JNL/Salomon Brothers
Brothers U.S. Government JNL/Select
Strategic Bond & Quality Global Growth
ASSETS Fund Bond Fund Fund
------------------- ---------------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 304,107 $ 305,359 $ 188,256
Investments - affiliated, at value and cost - - -
Cash 22 2 5,154
Foreign currency (c) 528 - 113
Receivables:
Dividends and interest 2,609 1,199 80
Forward currency contracts - - 202
Foreign taxes recoverable - - 44
Fund shares sold 219 145 39
Investment securities sold 69 3 3,199
Variation margin 46 236 -
Collateral for securities loaned 51,514 30,535 9,894
------------------- ---------------------- -----------------
TOTAL ASSETS 359,114 337,479 206,981
------------------- ---------------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 19 17 24
Advisory fees 121 85 117
Investment securities purchased 70,346 90,576 274
Income payable - - -
Forward currency contracts 465 - 67
Fund shares redeemed 305 600 144
Swap agreements, net - - -
12b-1 service fee (Class A) 38 35 32
Variation margin 155 304 -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 51,514 30,535 9,894
------------------- ---------------------- -----------------
TOTAL LIABILITIES 122,963 122,152 10,552
------------------- ---------------------- -----------------
NET ASSETS $ 236,151 $ 215,327 $ 196,429
=================== ====================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 228,952 $ 209,434 $ 345,148
Undistributed (accumulated) net
investment income (loss) 5,006 5,100 511
Accumulated net realized gain (loss) 4,527 571 (163,220)
Net unrealized appreciation (depreciation) (2,334) 222 13,990
------------------- ---------------------- -----------------
$ 236,151 $ 215,327 $ 196,429
=================== ====================== =================
CLASS A
Net assets $ 236,150 $ 215,326 $ 196,428
Shares outstanding (no par value),
unlimited shares authorized 20,730 18,800 10,920
Net asset value per share $ 11.39 $ 11.45 $ 17.99
=================== ====================== =================
CLASS B
Net assets $ 1 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized - - -
Net asset value per share $ 11.40 $ 11.45 $ 18.00
- ---------------------------------------------- =================== ====================== =================
(a) Including securities on loan of: $ 50,263 $ 30,039 $ 9,496
(b) Investments - unaffiliated, at cost 305,828 305,292 174,400
(c) Foreign currency cost 526 - 113
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
Statements of Assets and Liabilities (in thousands, except net asset value per share)
June 30, 2004
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
JNL/Select Price Price Price
Large Cap Established Mid-Cap Value
ASSETS Growth Fund Growth Fund Growth Fund Fund
------------------ ------------------ ---------------- ---------------
Investments - unaffiliated, at value (a) (b) $ 270,968 $ 549,161 $ 473,936 $ 405,104
Investments - affiliated, at value and cost - 11,128 17,143 11,943
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 55 467 143 528
Forward currency contracts - - - -
Foreign taxes recoverable 1 5 - 7
Fund shares sold 436 623 1,043 622
Investment securities sold 2,608 5,205 1,537 2,399
Variation margin - - - -
Collateral for securities loaned 24,506 35,648 55,767 28,438
------------------ ------------------ ---------------- ---------------
TOTAL ASSETS 298,574 602,237 549,569 449,041
------------------ ------------------ ---------------- ---------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 22 45 39 33
Advisory fees 149 279 281 227
Investment securities purchased 2,293 3,113 726 4,756
Income payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 183 433 675 325
Swap agreements, net - - - -
12b-1 service fee (Class A) 44 91 79 66
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 24,506 35,648 55,767 28,438
------------------ ------------------ ---------------- ---------------
TOTAL LIABILITIES 27,197 39,609 57,567 33,845
------------------ ------------------ ---------------- ---------------
NET ASSETS $ 271,377 $ 562,628 $ 492,002 $ 415,196
================== ================== ================ ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 562,857 $ 591,160 $ 376,719 $ 360,289
Undistributed (accumulated) net
investment income (loss) (577) 597 (1,371) 4,411
Accumulated net realized gain (loss) (311,576) (91,533) 21,214 2,759
Net unrealized appreciation (depreciation) 20,673 62,404 95,440 47,737
------------------ ------------------ ---------------- ---------------
$ 271,377 $ 562,628 $ 492,002 $ 415,196
================== ================== ================ ===============
CLASS A
Net assets $ 271,376 $ 562,627 $ 491,997 $ 415,195
Shares outstanding (no par value),
unlimited shares authorized 14,132 32,769 18,369 33,233
Net asset value per share $ 19.20 $ 17.17 $ 26.78 $ 12.49
================== ================== ================ ===============
CLASS B
Net assets $ 1 $ 1 $ 5 $ 1
Shares outstanding (no par value),
unlimited shares authorized - - - -
Net asset value per share $ 19.22 $ 17.18 $ 26.80 $ 12.50
- ---------------------------------------------- ================== ================== ================ ===============
(a) Including securities on loan of: $ 23,665 $ 34,430 $ 53,415 $ 27,183
(b) Investments - unaffiliated, at cost 250,295 486,757 378,496 357,368
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/AIM JNL/AIM JNL/Alger
Large Cap Small Cap Growth
Growth Fund Growth Fund Fund
----------------- ---------------- -----------------
INVESTMENT INCOME
Dividends $ 259 $ 24 $ 700
Interest (a) 14 16 27
Foreign taxes withheld (5) - (8)
Securities lending 4 9 26
----------------- ---------------- -----------------
TOTAL INVESTMENT INCOME 272 49 745
----------------- ---------------- -----------------
EXPENSES
Administrative fees 47 24 132
Advisory fees 362 204 1,022
Trustees fees 1 1 4
Interest expense - - -
Legal fees 1 1 3
Distribution (12b-1) fee 29 7 97
12b-1 service fee (Class A) 93 48 264
----------------- ---------------- -----------------
TOTAL EXPENSES 533 285 1,522
----------------- ---------------- -----------------
----------------- ---------------- -----------------
Fees paid indirectly (29) (7) (97)
----------------- ---------------- -----------------
NET EXPENSES 504 278 1,425
----------------- ---------------- -----------------
----------------- ---------------- -----------------
NET INVESTMENT INCOME (LOSS) (232) (229) (680)
----------------- ---------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 709 1,913 22,810
Foreign currency related items - 12 -
Futures contracts and options written - 23 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 6,313 (560) (14,816)
Foreign currency related items - - -
Futures contracts and options written - 8 -
Investment securities sold short - - -
----------------- ---------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 7,022 1,396 7,994
----------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 6,790 $ 1,167 $ 7,314
- --------------------------------------------------- ================= ================ =================
(a) Interest from affiliated investments $ - $ - $ -
JNL/Alliance JNL/Eagle JNL/Eagle
Capital Growth Core Equity SmallCap
Fund Fund Equity Fund
------------------- ----------------- ----------------
INVESTMENT INCOME
Dividends $ 371 $ 2,078 $ 147
Interest (a) 7 126 25
Foreign taxes withheld (7) (9) -
Securities lending 4 8 5
------------------- ----------------- ----------------
TOTAL INVESTMENT INCOME 375 2,203 177
------------------- ----------------- ----------------
EXPENSES
Administrative fees 49 138 63
Advisory fees 283 910 477
Trustees fees 2 5 2
Interest expense - - -
Legal fees 1 3 1
Distribution (12b-1) fee 36 82 13
12b-1 service fee (Class A) 98 276 127
------------------- ----------------- ----------------
TOTAL EXPENSES 469 1,414 683
------------------- ----------------- ----------------
------------------- ----------------- ----------------
Fees paid indirectly (36) (82) (13)
------------------- ----------------- ----------------
NET EXPENSES 433 1,332 670
------------------- ----------------- ----------------
------------------- ----------------- ----------------
NET INVESTMENT INCOME (LOSS) (58) 871 (493)
------------------- ----------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,147 20,909 7,167
Foreign currency related items - (3) -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,642) (21,824) 2,132
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------- ----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 2,505 (918) 9,299
------------------- ----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 2,447 $ (47) $ 8,806
- --------------------------------------------------- =================== ================= ================
(a) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/FMR JNL/FMR JNL/JPMorgan
Balanced Capital International
Fund Growth Fund Value Fund
------------------ ---------------- ------------------
INVESTMENT INCOME
Dividends $ 341 $ 598 $ 671
Interest (a) 887 14 18
Foreign taxes withheld (13) (10) (69)
Securities lending 20 9 13
------------------ ---------------- ------------------
TOTAL INVESTMENT INCOME 1,235 611 633
------------------ ---------------- ------------------
EXPENSES
Administrative fees 51 77 30
Advisory fees 377 565 152
Trustees fees 2 3 1
Interest expense - - -
Legal fees 1 2 -
Distribution (12b-1) fee 10 6 -
12b-1 service fee (Class A) 102 154 39
------------------ ---------------- ------------------
TOTAL EXPENSES 543 807 222
------------------ ---------------- ------------------
------------------ ---------------- ------------------
Fees paid indirectly (10) (6) -
------------------ ---------------- ------------------
NET EXPENSES 533 801 222
------------------ ---------------- ------------------
------------------ ---------------- ------------------
NET INVESTMENT INCOME (LOSS) 702 (190) 411
------------------ ---------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 9,443 33,409 2,467
Foreign currency related items (26) (15) (49)
Futures contracts and options written - - 226
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (7,503) (23,829) (937)
Foreign currency related items - - (246)
Futures contracts and options written - - (97)
Investment securities sold short - - -
------------------ ---------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 1,914 9,565 1,364
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 2,616 $ 9,375 $ 1,775
- --------------------------------------------------- ================== ================ ==================
(a) Interest from affiliated investments $ - $ - $ -
JNL/Mellon
Capital
JNL/Lazard JNL/Lazard Management
Mid Cap Small Cap Bond Index
Value Fund Value Fund Fund
------------------- ------------------ -----------------
INVESTMENT INCOME
Dividends $ 937 $ 790 $ -
Interest (a) 26 29 2,036
Foreign taxes withheld - (2) -
Securities lending 17 40 17
------------------- ------------------ -----------------
TOTAL INVESTMENT INCOME 980 857 2,053
------------------- ------------------ -----------------
EXPENSES
Administrative fees 74 81 51
Advisory fees 576 658 152
Trustees fees 2 2 1
Interest expense - - -
Legal fees 2 1 1
Distribution (12b-1) fee 40 43 -
12b-1 service fee (Class A) 149 162 101
------------------- ------------------ -----------------
TOTAL EXPENSES 843 947 306
------------------- ------------------ -----------------
------------------- ------------------ -----------------
Fees paid indirectly (40) (43) -
------------------- ------------------ -----------------
NET EXPENSES 803 904 306
------------------- ------------------ -----------------
------------------- ------------------ -----------------
NET INVESTMENT INCOME (LOSS) 177 (47) 1,747
------------------- ------------------ -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 17,709 18,320 (113)
Foreign currency related items - - -
Futures contracts and options written - - (3)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,952) (9,017) (1,861)
Foreign currency related items - - -
Futures contracts and options written - - (2)
Investment securities sold short - - -
------------------- ------------------ -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 15,757 9,303 (1,979)
------------------- ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 15,934 $ 9,256 $ (232)
- --------------------------------------------------- =================== ================== =================
(a) Interest from affiliated investments $ - $ - $ 12
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/Mellon
Capital JNL/Mellon JNL/Mellon
Management Capital Capital
Enhanced Management Management
S&P 500 Stock International S&P 400 MidCap
Index Fund Index Fund Index Fund
-------------------- ---------------- --------------------
INVESTMENT INCOME
Dividends $ 981 $ 3,083 $ 622
Interest (a) 34 37 26
Foreign taxes withheld - (333) -
Securities lending 2 69 5
-------------------- ---------------- --------------------
TOTAL INVESTMENT INCOME 1,017 2,856 653
-------------------- ---------------- --------------------
EXPENSES
Administrative fees 68 115 54
Advisory fees 325 230 157
Trustees fees 2 2 2
Interest expense - - -
Legal fees 1 1 1
Distribution (12b-1) fee 1 - -
12b-1 service fee (Class A) 136 154 109
-------------------- ---------------- --------------------
TOTAL EXPENSES 533 502 323
-------------------- ---------------- --------------------
-------------------- ---------------- --------------------
Fees paid indirectly (1) - -
-------------------- ---------------- --------------------
NET EXPENSES 532 502 323
-------------------- ---------------- --------------------
-------------------- ---------------- --------------------
NET INVESTMENT INCOME (LOSS) 485 2,354 330
-------------------- ---------------- --------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,526 561 1,550
Foreign currency related items - 114 -
Futures contracts and options written 227 1,035 509
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (784) 2,873 3,447
Foreign currency related items - (125) -
Futures contracts and options written (15) (173) 38
Investment securities sold short - - -
-------------------- ---------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 4,954 4,285 5,544
-------------------- ---------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 5,439 $ 6,639 $ 5,874
- --------------------------------------------------- ==================== ================ ====================
(a) Interest from affiliated investments $ 25 $ 31 $ 20
JNL/Mellon JNL/Mellon
Capital Capital JNL/
Management Management Oppenheimer
S&P 500 Index Small Cap Global
Fund Index Fund Growth Fund
-------------------- ------------------- ------------
INVESTMENT INCOME
Dividends $ 1,795 $ 536 $ 1,399
Interest (a) 67 30 48
Foreign taxes withheld - - (118)
Securities lending 3 12 25
-------------------- ------------------- ------------
TOTAL INVESTMENT INCOME 1,865 578 1,354
-------------------- ------------------- ------------
EXPENSES
Administrative fees 116 49 105
Advisory fees 335 141 489
Trustees fees 4 2 2
Interest expense - - -
Legal fees 2 1 1
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) 231 97 140
-------------------- ------------------- ------------
TOTAL EXPENSES 688 290 737
-------------------- ------------------- ------------
-------------------- ------------------- ------------
Fees paid indirectly - - -
-------------------- ------------------- ------------
NET EXPENSES 688 290 737
-------------------- ------------------- ------------
-------------------- ------------------- ------------
NET INVESTMENT INCOME (LOSS) 1,177 288 617
-------------------- ------------------- ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 99 4,516 1,659
Foreign currency related items - - (275)
Futures contracts and options written 198 334 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 5,393 539 1,140
Foreign currency related items - - 10
Futures contracts and options written - 60 -
Investment securities sold short - - -
-------------------- ------------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 5,690 5,449 2,534
-------------------- ------------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 6,867 $ 5,737 $ 3,151
- --------------------------------------------------- ==================== =================== ============
(a) Interest from affiliated investments $ 48 $ 22 $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/ JNL/PPM
Oppenheimer JNL/PIMCO America
Growth Total Return Balanced
Fund Bond Fund Fund
------------------ ----------------- ---------------
INVESTMENT INCOME
Dividends $ 90 $ 28 $ 2,188
Interest (a) 5 3,625 2,641
Foreign taxes withheld (1) - -
Securities lending 2 24 33
------------------ ----------------- ---------------
TOTAL INVESTMENT INCOME 96 3,677 4,862
------------------ ----------------- ---------------
EXPENSES
Administrative fees 14 174 157
Advisory fees 102 872 773
Trustees fees 1 6 5
Interest expense - - -
Legal fees - 4 3
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) 29 349 313
------------------ ----------------- ---------------
TOTAL EXPENSES 146 1,405 1,251
------------------ ----------------- ---------------
------------------ ----------------- ---------------
Fees paid indirectly - - -
------------------ ----------------- ---------------
NET EXPENSES 146 1,405 1,251
------------------ ----------------- ---------------
------------------ ----------------- ---------------
NET INVESTMENT INCOME (LOSS) (50) 2,272 3,611
------------------ ----------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 3,356 1,348 7,042
Foreign currency related items - (226) -
Futures contracts and options written - 121 -
Investment securities sold short - (339) -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,751) (3,115) (1,113)
Foreign currency related items - 101 -
Futures contracts and options written - (245) -
Investment securities sold short - (117) -
------------------ ----------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 605 (2,472) 5,929
------------------ ----------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 555 $ (200) $ 9,540
- --------------------------------------------------- ================== ================= ===============
(a) Interest from affiliated investments $ - $ - $ -
JNL/PPM JNL/PPM
America America JNL/PPM
High Yield Money America
Bond Fund Market Fund Value Fund
------------------- --------------- ----------------
INVESTMENT INCOME
Dividends $ 9 $ - $ 1,148
Interest (a) 10,724 935 8
Foreign taxes withheld - - -
Securities lending 91 - 3
------------------- --------------- ----------------
TOTAL INVESTMENT INCOME 10,824 935 1,159
------------------- --------------- ----------------
EXPENSES
Administrative fees 134 90 51
Advisory fees 668 269 279
Trustees fees 5 3 2
Interest expense - - -
Legal fees 3 2 1
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) 268 180 101
------------------- --------------- ----------------
TOTAL EXPENSES 1,078 544 434
------------------- --------------- ----------------
------------------- --------------- ----------------
Fees paid indirectly - - -
------------------- --------------- ----------------
NET EXPENSES 1,078 544 434
------------------- --------------- ----------------
------------------- --------------- ----------------
NET INVESTMENT INCOME (LOSS) 9,746 391 725
------------------- --------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 1,107 - 1,633
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (10,381) - 3,017
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------- --------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (9,274) - 4,650
------------------- --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 472 $ 391 $ 5,375
- --------------------------------------------------- =================== =============== ================
(a) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/Putnam JNL/Putnam JNL/Putnam
Equity International Midcap
Fund Equity Fund Growth Fund
------------------- ---------------- ----------------
INVESTMENT INCOME
Dividends $ 1,060 $ 1,464 $ 60
Interest (a) 2 9 2
Foreign taxes withheld (4) (157) -
Securities lending 8 43 3
------------------- ---------------- ----------------
TOTAL INVESTMENT INCOME 1,066 1,359 65
------------------- ---------------- ----------------
EXPENSES
Administrative fees 79 72 15
Advisory fees 544 406 112
Trustees fees 1 2 1
Interest expense - - -
Legal fees 2 1 -
Distribution (12b-1) fee 36 8 7
12b-1 service fee (Class A) 158 96 30
------------------- ---------------- ----------------
TOTAL EXPENSES 820 585 165
------------------- ---------------- ----------------
------------------- ---------------- ----------------
Fees paid indirectly (36) (8) (7)
------------------- ---------------- ----------------
NET EXPENSES 784 577 158
------------------- ---------------- ----------------
------------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS) 282 782 (93)
------------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 11,044 6,901 2,704
Foreign currency related items 1 74 -
Futures contracts and options written 2 - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (5,714) (6,685) (525)
Foreign currency related items - (95) -
Futures contracts and options written 1 - -
Investment securities sold short - - -
------------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 5,334 195 2,179
------------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 5,616 $ 977 $ 2,086
- --------------------------------------------------- =================== ================ ================
(a) Interest from affiliated investments $ - $ - $ -
JNL/Putnam JNL/S&P JNL/S&P
Value Aggressive Conservative
Equity Fund Growth Fund I Growth Fund I
----------------- ----------------- --------------
INVESTMENT INCOME
Dividends $ 2,524 $ - $ -
Interest (a) 24 - 67
Foreign taxes withheld (8) - -
Securities lending 8 - -
----------------- ----------------- --------------
TOTAL INVESTMENT INCOME 2,548 - 67
----------------- ----------------- --------------
EXPENSES
Administrative fees 131 47 115
Advisory fees 877 123 298
Trustees fees 5 3 7
Interest expense - - -
Legal fees 3 2 5
Distribution (12b-1) fee 42 - -
12b-1 service fee (Class A) 263 - -
----------------- ----------------- --------------
TOTAL EXPENSES 1,321 175 425
----------------- ----------------- --------------
----------------- ----------------- --------------
Fees paid indirectly (42) - -
----------------- ----------------- --------------
NET EXPENSES 1,279 175 425
----------------- ----------------- --------------
----------------- ----------------- --------------
NET INVESTMENT INCOME (LOSS) 1,269 (175) (358)
----------------- ----------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 15,801 4,499 5,159
Foreign currency related items 1 - -
Futures contracts and options written 12 - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (9,742) 2,970 7,201
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
----------------- ----------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 6,072 7,469 12,360
----------------- ----------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 7,341 $ 7,294 $ 12,002
- --------------------------------------------------- ================= ================= ==============
(a) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/S&P JNL/S&P JNL/S&P
Core Index 100 Core Index 50 Core Index 75
Fund Fund Fund
------------------- ----------------- -----------------
INVESTMENT INCOME
Dividends $ - $ - $ -
Interest (a) 7 - -
Foreign taxes withheld - - -
Securities lending - - -
------------------- ----------------- -----------------
TOTAL INVESTMENT INCOME 7 - -
------------------- ----------------- -----------------
EXPENSES
Administrative fees 10 3 4
Advisory fees 25 6 9
Trustees fees 1 - -
Interest expense - - -
Legal fees - - -
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) - - -
------------------- ----------------- -----------------
TOTAL EXPENSES 36 9 13
------------------- ----------------- -----------------
------------------- ----------------- -----------------
Fees paid indirectly - - -
------------------- ----------------- -----------------
NET EXPENSES 36 9 13
------------------- ----------------- -----------------
------------------- ----------------- -----------------
NET INVESTMENT INCOME (LOSS) (29) (9) (13)
------------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 534 479 411
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 500 (128) 25
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 1,034 351 436
------------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 1,005 $ 342 $ 423
- --------------------------------------------------- =================== ================= =================
(a) Interest from affiliated investments $ - $ - $ -
JNL/S&P Equity JNL/S&P
Aggressive Equity
Growth Fund I Growth Fund I
------------------ ---------------
INVESTMENT INCOME
Dividends $ - $ -
Interest (a) - -
Foreign taxes withheld - -
Securities lending - -
------------------ ---------------
TOTAL INVESTMENT INCOME - -
------------------ ---------------
EXPENSES
Administrative fees 14 49
Advisory fees 37 129
Trustees fees 1 3
Interest expense - -
Legal fees - 2
Distribution (12b-1) fee - -
12b-1 service fee (Class A) - -
------------------ ---------------
TOTAL EXPENSES 52 183
------------------ ---------------
------------------ ---------------
Fees paid indirectly - -
------------------ ---------------
NET EXPENSES 52 183
------------------ ---------------
------------------ ---------------
NET INVESTMENT INCOME (LOSS) (52) (183)
------------------ ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 999 1,373
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,543 7,295
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
------------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 2,542 8,668
------------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 2,490 $ 8,485
- --------------------------------------------------- ================== ===============
(a) Interest from affiliated investments $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/Salomon
JNL/S&P JNL/S&P Very Brothers
Moderate Aggressive Balanced
Growth Fund I Growth Fund I Fund
------------------ ----------------- ------------------
INVESTMENT INCOME
Dividends $ - $ - $ 90
Interest (a) 58 - 121
Foreign taxes withheld - - (1)
Securities lending - - 2
------------------ ----------------- ------------------
TOTAL INVESTMENT INCOME 58 - 212
------------------ ----------------- ------------------
EXPENSES
Administrative fees 178 17 9
Advisory fees 409 43 53
Trustees fees 12 1 1
Interest expense - - -
Legal fees 7 1 -
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) - - 18
------------------ ----------------- ------------------
TOTAL EXPENSES 606 62 81
------------------ ----------------- ------------------
------------------ ----------------- ------------------
Fees paid indirectly - - -
------------------ ----------------- ------------------
NET EXPENSES 606 62 81
------------------ ----------------- ------------------
------------------ ----------------- ------------------
NET INVESTMENT INCOME (LOSS) (548) (62) 131
------------------ ----------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 11,920 562 100
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 13,236 2,305 275
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ----------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 25,156 2,867 375
------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 24,608 $ 2,805 $ 506
- --------------------------------------------------- ================== ================= ==================
(a) Interest from affiliated investments $ - $ - $ -
JNL/Salomon
JNL/Salomon JNL/Salomon Brothers
Brothers Brothers U.S. Government
High Yield Strategic Bond & Quality
Bond Fund Fund Bond Fund
------------------ ----------------- ------------------
INVESTMENT INCOME
Dividends $ 3 $ 7 $ -
Interest (a) 783 6,068 5,387
Foreign taxes withheld - - -
Securities lending 7 42 28
------------------ ----------------- ------------------
TOTAL INVESTMENT INCOME 793 6,117 5,415
------------------ ----------------- ------------------
EXPENSES
Administrative fees 9 109 116
Advisory fees 55 693 562
Trustees fees 1 4 4
Interest expense - - -
Legal fees - 2 3
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) 18 218 233
------------------ ----------------- ------------------
TOTAL EXPENSES 83 1,026 918
------------------ ----------------- ------------------
------------------ ----------------- ------------------
Fees paid indirectly - - -
------------------ ----------------- ------------------
NET EXPENSES 83 1,026 918
------------------ ----------------- ------------------
------------------ ----------------- ------------------
NET INVESTMENT INCOME (LOSS) 710 5,091 4,497
------------------ ----------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 395 3,142 1,701
Foreign currency related items - 565 -
Futures contracts and options written - (19) (558)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,039) (9,345) (5,044)
Foreign currency related items - 117 -
Futures contracts and options written - (11) (129)
Investment securities sold short - - -
------------------ ----------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (644) (5,551) (4,030)
------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 66 $ (460) $ 467
- --------------------------------------------------- ================== ================= ==================
(a) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Operations (in thousands)
For the Period Ended June 30, 2004
JNL/T.Rowe
JNL/Select JNL/Select Price
Global Growth Large Cap Established
Fund Growth Fund Growth Fund
------------------- ----------------- -----------------
INVESTMENT INCOME
Dividends $ 1,739 $ 729 $ 2,583
Interest (a) 13 21 72
Foreign taxes withheld (161) (20) (49)
Securities lending 35 9 23
------------------- ----------------- -----------------
TOTAL INVESTMENT INCOME 1,626 739 2,629
------------------- ----------------- -----------------
EXPENSES
Administrative fees 146 129 261
Advisory fees 753 921 1,602
Trustees fees 3 4 9
Interest expense - - -
Legal fees 2 3 6
Distribution (12b-1) fee 69 4 30
12b-1 service fee (Class A) 195 259 522
------------------- ----------------- -----------------
TOTAL EXPENSES 1,168 1,320 2,430
------------------- ----------------- -----------------
------------------- ----------------- -----------------
Fees paid indirectly (69) (4) (30)
------------------- ----------------- -----------------
NET EXPENSES 1,099 1,316 2,400
------------------- ----------------- -----------------
------------------- ----------------- -----------------
NET INVESTMENT INCOME (LOSS) 527 (577) 229
------------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 22,326 53,779 9,806
Foreign currency related items (245) 24 (210)
Futures contracts and options written - - (74)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (15,990) (31,451) 2,237
Foreign currency related items 127 - (2)
Futures contracts and options written - - -
Investment securities sold short - - -
------------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 6,218 22,352 11,757
------------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 6,745 $ 21,775 $ 11,986
- --------------------------------------------------- =================== ================= =================
(a) Interest from affiliated investments 0 $ - $ 64
JNL/T.Rowe JNL/T.Rowe
Price Price
Mid-Cap Value
Growth Fund Fund
------------------ -----------------
INVESTMENT INCOME
Dividends $ 710 $ 3,425
Interest (a) 119 105
Foreign taxes withheld (6) (46)
Securities lending 25 19
------------------ -----------------
TOTAL INVESTMENT INCOME 848 3,503
------------------ -----------------
EXPENSES
Administrative fees 216 202
Advisory fees 1,552 1,385
Trustees fees 7 6
Interest expense - -
Legal fees 5 5
Distribution (12b-1) fee 35 37
12b-1 service fee (Class A) 433 403
------------------ -----------------
TOTAL EXPENSES 2,248 2,038
------------------ -----------------
------------------ -----------------
Fees paid indirectly (35) (37)
------------------ -----------------
NET EXPENSES 2,213 2,001
------------------ -----------------
------------------ -----------------
NET INVESTMENT INCOME (LOSS) (1,365) 1,502
------------------ -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 19,411 6,816
Foreign currency related items 1 (29)
Futures contracts and options written (126) -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 14,557 10,294
Foreign currency related items - 1
Futures contracts and options written - -
Investment securities sold short - -
------------------ -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 33,843 17,082
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 32,478 $ 18,584
- --------------------------------------------------- ================== =================
(a) Interest from affiliated investments $ 106 $ 76
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/AIM JNL/AIM JNL/Alger
Large Cap Small Cap Growth
OPERATIONS Growth Fund Growth Fund Fund
---------------- ---------------- ---------------
Net investment income (loss) $ (232) $ (229) $ (680)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 709 1,913 22,810
Foreign currency related items - 12 -
Futures contracts and options written - 23 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 6,313 (560) (14,816)
Foreign currency related items - - -
Futures contracts and options written - 8 -
Investment securities sold short - - -
---------------- ---------------- ---------------
---------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 6,790 1,167 7,314
---------------- ---------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
---------------- ---------------- ---------------
---------------- ---------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
---------------- ---------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 109,109 20,816 69,361
Class B 9 1 1
Proceeds in connection with acquisition
Class A 11,871 - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (16,461) (18,719) (45,377)
Class B - - -
---------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 104,528 2,098 23,985
---------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 111,318 3,265 31,299
NET ASSETS BEGINNING OF PERIOD 36,421 43,940 244,667
---------------- ---------------- ---------------
NET ASSETS END OF PERIOD $ 147,739 $ 47,205 $ 275,966
================ ================ ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (232) $ (229) $ (680)
================ ================ ===============
(1)SHARE TRANSACTIONS
Shares sold
Class A 10,140 1,743 4,619
Class B 1 - -
Shares issued in connection with acquisition
Class A 1,111 - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (1,513) (1,597) (3,034)
Class B - - -
---------------- ---------------- ---------------
Net increase (decrease) 9,739 146 1,585
================ ================ ===============
JNL/Alliance JNL/Eagle JNL/Eagle
Capital Growth Core Equity SmallCap
OPERATIONS Fund Fund Equity Fund
----------------- ---------------- ---------------
Net investment income (loss) $ (58) $ 871 $ (493)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,147 20,909 7,167
Foreign currency related items - (3) -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,642) (21,824) 2,132
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
----------------- ---------------- ---------------
----------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,447 (47) 8,806
----------------- ---------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
----------------- ---------------- ---------------
----------------- ---------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
----------------- ---------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 23,450 81,883 42,699
Class B 1 1 1
Proceeds in connection with acquisition
Class A - 13,508 -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (85,814) (32,196) (19,523)
Class B - - -
----------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (62,363) 63,196 23,177
----------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS (59,916) 63,149 31,983
NET ASSETS BEGINNING OF PERIOD 128,518 245,913 109,972
----------------- ---------------- ---------------
NET ASSETS END OF PERIOD $ 68,602 $ 309,062 $ 141,955
================= ================ ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 52 $ 932 $ (493)
================= ================ ===============
(1)SHARE TRANSACTIONS
Shares sold
Class A 2,324 5,751 2,409
Class B - - -
Shares issued in connection with acquisition
Class A - 973 -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (8,581) (2,267) (1,109)
Class B - - -
----------------- ---------------- ---------------
Net increase (decrease) (6,257) 4,457 1,300
================= ================ ===============
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/FMR JNL/FMR JNL/JPMorgan
Balanced Capital International
OPERATIONS Fund Growth Fund Value Fund
------------------ ---------------- ------------------
Net investment income (loss) $ 702 $ (190) $ 411
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 9,443 33,409 2,467
Foreign currency related items (26) (15) (49)
Futures contracts and options written - - 226
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (7,503) (23,829) (937)
Foreign currency related items - - (246)
Futures contracts and options written - - (97)
Investment securities sold short - - -
------------------ ---------------- ------------------
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,616 9,375 1,775
------------------ ---------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------ ---------------- ------------------
------------------ ---------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------ ---------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 20,068 8,754 32,512
Class B 1 1 1
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (40,834) (23,065) (11,470)
Class B - - -
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (20,765) (14,310) 21,043
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS (18,149) (4,935) 22,818
NET ASSETS BEGINNING OF PERIOD 114,262 158,013 29,609
------------------ ---------------- ------------------
NET ASSETS END OF PERIOD $ 96,113 $ 153,078 $ 52,427
================== ================ ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 752 $ (190) $ 381
================== ================ ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 2,147 639 4,084
Class B - - -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (4,357) (1,687) (1,456)
Class B - - -
------------------ ---------------- ------------------
Net increase (decrease) (2,210) (1,048) 2,628
================== ================ ==================
JNL/Mellon
Capital
JNL/Lazard JNL/Lazard Management
Mid Cap Small Cap Bond Index
OPERATIONS Value Fund Value Fund Fund
------------------- ---------------- -----------------
Net investment income (loss) $ 177 $ (47) $ 1,747
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 17,709 18,320 (113)
Foreign currency related items - - -
Futures contracts and options written - - (3)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,952) (9,017) (1,861)
Foreign currency related items - - -
Futures contracts and options written - - (2)
Investment securities sold short - - -
------------------- ---------------- -----------------
------------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 15,934 9,256 (232)
------------------- ---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------- ---------------- -----------------
------------------- ---------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------- ---------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 61,314 49,514 62,511
Class B 14 10 10
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (55,265) (43,957) (20,723)
Class B (3) - (5)
------------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 6,060 5,567 41,793
------------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 21,994 14,823 41,561
NET ASSETS BEGINNING OF PERIOD 142,798 155,191 83,547
------------------- ---------------- -----------------
NET ASSETS END OF PERIOD $ 164,792 $ 170,014 $ 125,108
=================== ================ =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 296 $ 97 $ 2,074
=================== ================ =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 4,379 3,670 5,938
Class B 1 1 1
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (3,977) (3,278) (1,957)
Class B - - -
------------------- ---------------- -----------------
Net increase (decrease) 403 393 3,982
=================== ================ =================
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/Mellon
Capital JNL/Mellon JNL/Mellon
Management Capital Capital
Enhanced Management Management
S&P 500 Stock International S&P 400 MidCap
OPERATIONS Index Fund Index Fund Index Fund
------------------- ----------------- ------------------
Net investment income (loss) $ 485 $ 2,354 $ 330
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,526 561 1,550
Foreign currency related items - 114 -
Futures contracts and options written 227 1,035 509
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (784) 2,873 3,447
Foreign currency related items - (125) -
Futures contracts and options written (15) (173) 38
Investment securities sold short - - -
------------------- ----------------- ------------------
------------------- ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 5,439 6,639 5,874
------------------- ----------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------- ----------------- ------------------
------------------- ----------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------- ----------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 105,607 123,255 69,329
Class B 1 10 60
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (28,372) (18,277) (16,506)
Class B - (5) (30)
------------------- ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 77,236 104,983 52,853
------------------- ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 82,675 111,622 58,727
NET ASSETS BEGINNING OF PERIOD 89,068 97,126 81,077
------------------- ----------------- ------------------
NET ASSETS END OF PERIOD $ 171,743 $ 208,748 $ 139,804
=================== ================= ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 971 $ 2,469 $ 342
=================== ================= ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 13,157 10,574 5,851
Class B - 1 5
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (3,521) (1,566) (1,402)
Class B - - (2)
------------------- ----------------- ------------------
Net increase (decrease) 9,636 9,009 4,452
=================== ================= ==================
JNL/Mellon JNL/Mellon
Capital Capital JNL/
Management Management Oppenheimer
S&P 500 Index Small Cap Global
OPERATIONS Fund Index Fund Growth Fund
------------------- ---------------- -----------------
Net investment income (loss) $ 1,177 $ 288 $ 617
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 99 4,516 1,659
Foreign currency related items - - (275)
Futures contracts and options written 198 334 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 5,393 539 1,140
Foreign currency related items - - 10
Futures contracts and options written - 60 -
Investment securities sold short - - -
------------------- ---------------- -----------------
------------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 6,867 5,737 3,151
------------------- ---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------- ---------------- -----------------
------------------- ---------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------- ---------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 126,453 59,305 79,038
Class B 165 38 17
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (40,551) (18,693) (21,160)
Class B (87) (20) (3)
------------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 85,980 40,630 57,892
------------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 92,847 46,367 61,043
NET ASSETS BEGINNING OF PERIOD 190,338 76,130 104,625
------------------- ---------------- -----------------
NET ASSETS END OF PERIOD $ 283,185 $ 122,497 $ 165,668
=================== ================ =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,182 $ 315 $ 877
=================== ================ =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 12,633 4,989 7,608
Class B 17 3 2
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (4,069) (1,582) (2,050)
Class B (9) (2) -
------------------- ---------------- -----------------
Net increase (decrease) 8,572 3,408 5,560
=================== ================ =================
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/
Oppenheimer JNL/PIMCO JNL/PPM
Growth Total Return America
OPERATIONS Fund Bond Fund Balanced Fund
------------------ ------------------ ----------------
Net investment income (loss) $ (50) $ 2,272 $ 3,611
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 3,356 1,348 7,042
Foreign currency related items - (226) -
Futures contracts and options written - 121 -
Investment securities sold short - (339) -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,751) (3,115) (1,113)
Foreign currency related items - 101 -
Futures contracts and options written - (245) -
Investment securities sold short - (117) -
------------------ ------------------ ----------------
------------------ ------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 555 (200) 9,540
------------------ ------------------ ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------ ------------------ ----------------
------------------ ------------------ ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------ ------------------ ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 11,608 130,567 65,631
Class B 1 4 1
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (19,702) (71,611) (54,488)
Class B - (3) -
------------------ ------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (8,093) 58,957 11,144
------------------ ------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS (7,538) 58,757 20,684
NET ASSETS BEGINNING OF PERIOD 32,993 317,301 303,892
------------------ ------------------ ----------------
NET ASSETS END OF PERIOD $ 25,455 $ 376,058 $ 324,576
================== ================== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (50) $ 8,068 $ 3,987
================== ================== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,374 11,033 4,143
Class B - - -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (2,356) (6,054) (3,439)
Class B - - -
------------------ ------------------ ----------------
Net increase (decrease) (982) 4,979 704
================== ================== ================
JNL/PPM JNL/PPM
America America JNL/PPM
High Yield Money America
OPERATIONS Bond Fund Market Fund Value Fund
------------------ ---------------- ------------------
Net investment income (loss) $ 9,746 $ 391 $ 725
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 1,107 - 1,633
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (10,381) - 3,017
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ---------------- ------------------
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 472 391 5,375
------------------ ---------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - (391) -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------ ---------------- ------------------
------------------ ---------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (391) -
------------------ ---------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 102,972 164,772 96,498
Class B 1 1 1
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - 391 -
Class B - - -
Cost of shares redeemed
Class A (107,033) (164,705) (13,255)
Class B - - -
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (4,060) 459 83,244
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS (3,588) 459 88,619
NET ASSETS BEGINNING OF PERIOD 266,181 184,440 54,532
------------------ ---------------- ------------------
NET ASSETS END OF PERIOD $ 262,593 $ 184,899 $ 143,151
================== ================ ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 9,930 $ - $ 1,248
================== ================ ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 11,763 164,772 6,420
Class B - 1 -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - 391 -
Class B - - -
Shares redeemed
Class A (12,258) (164,705) (882)
Class B - - -
------------------ ---------------- ------------------
Net increase (decrease) (495) 459 5,538
================== ================ ==================
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/Putnam JNL/Putnam JNL/Putnam
Equity International Midcap
OPERATIONS Fund Equity Fund Growth Fund
------------------- ---------------- ---------------
Net investment income (loss) $ 282 $ 782 $ (93)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 11,044 6,901 2,704
Foreign currency related items 1 74 -
Futures contracts and options written 2 - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (5,714) (6,685) (525)
Foreign currency related items - (95) -
Futures contracts and options written 1 - -
Investment securities sold short - - -
------------------- ---------------- ---------------
------------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 5,616 977 2,086
------------------- ---------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------- ---------------- ---------------
------------------- ---------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------- ---------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 7,301 18,451 6,938
Class B 1 1 1
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (24,890) (27,363) (6,712)
Class B - - -
------------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (17,588) (8,911) 227
------------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS (11,972) (7,934) 2,313
NET ASSETS BEGINNING OF PERIOD 164,927 96,811 28,909
------------------- ---------------- ---------------
NET ASSETS END OF PERIOD $ 152,955 $ 88,877 $ 31,222
=================== ================ ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 977 $ 769 $ (93)
=================== ================ ===============
(1)SHARE TRANSACTIONS
Shares sold
Class A 431 1,877 973
Class B - - -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (1,474) (2,822) (952)
Class B - - -
------------------- ---------------- ---------------
Net increase (decrease) (1,043) (945) 21
=================== ================ ===============
JNL/Putnam JNL/S&P JNL/S&P
Value Aggressive Conservative
OPERATIONS Equity Fund Growth Fund I Growth Fund I
------------------ --------------- ----------------
Net investment income (loss) $ 1,269 $ (175) $ (358)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 15,801 4,499 5,159
Foreign currency related items 1 - -
Futures contracts and options written 12 - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (9,742) 2,970 7,201
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ --------------- ----------------
------------------ --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 7,341 7,294 12,002
------------------ --------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------ --------------- ----------------
------------------ --------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------ --------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 30,721 47,108 126,347
Class B 1 - -
Proceeds in connection with acquisition
Class A - 16,253 28,773
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (126,797) (16,939) (39,012)
Class B - - -
------------------ --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (96,075) 46,422 116,108
------------------ --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS (88,734) 53,716 128,110
NET ASSETS BEGINNING OF PERIOD 309,732 164,016 402,322
------------------ --------------- ----------------
NET ASSETS END OF PERIOD $ 220,998 $ 217,732 $ 530,432
================== =============== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,269 $ (164) $ (283)
================== =============== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,872 4,361 11,445
Class B - - -
Shares issued in connection with acquisition
Class A - 1,552 2,792
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (7,777) (1,572) (3,535)
Class B - - -
------------------ --------------- ----------------
Net increase (decrease) (5,905) 4,341 10,702
================== =============== ================
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/S&P JNL/S&P JNL/S&P
Core Index 100 Core Index 50 Core Index 75
OPERATIONS Fund Fund Fund
------------------- ------------------ ------------------
Net investment income (loss) $ (29) $ (9) $ (13)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 534 479 411
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 500 (128) 25
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------- ------------------ ------------------
------------------- ------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 1,005 342 423
------------------- ------------------ ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------- ------------------ ------------------
------------------- ------------------ ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------- ------------------ ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 9,122 4,173 7,811
Class B - - -
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (3,765) (1,049) (1,221)
Class B - - -
------------------- ------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 5,357 3,124 6,590
------------------- ------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS 6,362 3,466 7,013
NET ASSETS BEGINNING OF PERIOD 36,421 7,629 10,017
------------------- ------------------ ------------------
NET ASSETS END OF PERIOD $ 42,783 $ 11,095 $ 17,030
=================== ================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 184 $ 16 $ 36
=================== ================== ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 852 398 736
Class B - - -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (352) (101) (115)
Class B - - -
------------------- ------------------ ------------------
Net increase (decrease) 500 297 621
=================== ================== ==================
JNL/S&P Equity JNL/S&P
Aggressive Equity
OPERATIONS Growth Fund I Growth Fund I
------------------- -----------------
Net investment income (loss) $ (52) $ (183)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 999 1,373
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,543 7,295
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
------------------- -----------------
------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,490 8,485
------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - -
Class B - -
From net realized gains on
investment transactions
Class A - -
Class B - -
------------------- -----------------
------------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - -
------------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 15,058 48,474
Class B - -
Proceeds in connection with acquisition
Class A 1,843 6,813
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (8,667) (16,990)
Class B - -
------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 8,234 38,297
------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 10,724 46,782
NET ASSETS BEGINNING OF PERIOD 51,344 175,618
------------------- -----------------
NET ASSETS END OF PERIOD $ 62,068 $ 222,400
=================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (17) $ 37
=================== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,538 4,907
Class B - -
Shares issued in connection with acquisition
Class A 195 734
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (884) (1,720)
Class B - -
------------------- -----------------
Net increase (decrease) 849 3,921
=================== =================
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/Salomon
JNL/S&P JNL/S&P Very Brothers
Moderate Aggressive Balanced
OPERATIONS Growth Fund I Growth Fund I Fund
-------------------- ------------------- ----------------
Net investment income (loss) $ (548) $ (62) $ 131
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 11,920 562 100
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 13,236 2,305 275
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
-------------------- ------------------- ----------------
-------------------- ------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 24,608 2,805 506
-------------------- ------------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
-------------------- ------------------- ----------------
-------------------- ------------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
-------------------- ------------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 212,533 14,177 2,465
Class B - - 1
Proceeds in connection with acquisition
Class A 45,924 2,262 -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (60,979) (6,731) (8,532)
Class B - - -
-------------------- ------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 197,478 9,708 (6,066)
-------------------- ------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 222,086 12,513 (5,560)
NET ASSETS BEGINNING OF PERIOD 609,887 60,193 18,640
-------------------- ------------------- ----------------
NET ASSETS END OF PERIOD $ 831,973 $ 72,706 $ 13,080
==================== =================== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (464) $ (46) $ 405
==================== =================== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 18,869 1,390 218
Class B - - -
Shares issued in connection with acquisition
Class A 4,411 214 -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (5,424) (660) (768)
Class B - - -
-------------------- ------------------- ----------------
Net increase (decrease) 17,856 944 (550)
==================== =================== ================
JNL/Salomon
JNL/Salomon JNL/Salomon Brothers
Brothers Brothers U.S. Government
High Yield Strategic Bond & Quality
OPERATIONS Bond Fund Fund Bond Fund
------------------- --------------- -----------------
Net investment income (loss) $ 710 $ 5,091 $ 4,497
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 395 3,142 1,701
Foreign currency related items - 565 -
Futures contracts and options written - (19) (558)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,039) (9,345) (5,044)
Foreign currency related items - 117 -
Futures contracts and options written - (11) (129)
Investment securities sold short - - -
------------------- --------------- -----------------
------------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 66 (460) 467
------------------- --------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------- --------------- -----------------
------------------- --------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------- --------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 7,640 71,151 40,480
Class B 1 1 1
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (13,927) (32,464) (82,895)
Class B - - -
------------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (6,286) 38,688 (42,414)
------------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS (6,220) 38,228 (41,947)
NET ASSETS BEGINNING OF PERIOD 19,464 197,923 257,274
------------------- --------------- -----------------
NET ASSETS END OF PERIOD $ 13,244 $ 236,151 $ 215,327
=================== =============== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 737 $ 5,006 $ 5,100
=================== =============== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 950 6,207 3,503
Class B - - -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (1,736) (2,840) (7,125)
Class B - - -
------------------- --------------- -----------------
Net increase (decrease) (786) 3,367 (3,622)
=================== =============== =================
See Notes to the Financial Statements.
JNL SERIES TRUST (Unaudited)
Statements of Changes in Net Assets (in thousands)
For the Period Ended June 30, 2004
JNL/T.Rowe
JNL/Select JNL/Select Price
Global Growth Large Cap Established
OPERATIONS Fund Growth Fund Growth Fund
------------------ --------------- ----------------
Net investment income (loss) $ 527 $ (577) $ 229
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 22,326 53,779 9,806
Foreign currency related items (245) 24 (210)
Futures contracts and options written - - (74)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (15,990) (31,451) 2,237
Foreign currency related items 127 - (2)
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ --------------- ----------------
------------------ --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 6,745 21,775 11,986
------------------ --------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - -
Class B - - -
From net realized gains on
investment transactions
Class A - - -
Class B - - -
------------------ --------------- ----------------
------------------ --------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - -
------------------ --------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 20,304 42,321 132,438
Class B 1 1 1
Proceeds in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Cost of shares redeemed
Class A (27,909) (50,572) (55,843)
Class B - - -
------------------ --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (7,604) (8,250) 76,596
------------------ --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS (859) 13,525 88,582
NET ASSETS BEGINNING OF PERIOD 197,288 257,852 474,046
------------------ --------------- ----------------
NET ASSETS END OF PERIOD $ 196,429 $ 271,377 $ 562,628
================== =============== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 511 $ (577) $ 597
================== =============== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,166 2,270 7,790
Class B - - -
Shares issued in connection with acquisition
Class A - - -
Class B - - -
Reinvestment of distributions
Class A - - -
Class B - - -
Shares redeemed
Class A (1,567) (2,744) (3,286)
Class B - - -
------------------ --------------- ----------------
Net increase (decrease) (401) (474) 4,504
================== =============== ================
JNL/T.Rowe JNL/T.Rowe
Price Price
Mid-Cap Value
OPERATIONS Growth Fund Fund
----------------- ----------------
Net investment income (loss) $ (1,365) $ 1,502
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 19,411 6,816
Foreign currency related items 1 (29)
Futures contracts and options written (126) -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 14,557 10,294
Foreign currency related items - 1
Futures contracts and options written - -
Investment securities sold short - -
----------------- ----------------
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 32,478 18,584
----------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - -
Class B - -
From net realized gains on
investment transactions
Class A - -
Class B - -
----------------- ----------------
----------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - -
----------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 146,225 122,682
Class B 5 4
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (66,247) (130,541)
Class B - (3)
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 79,983 (7,858)
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 112,461 10,726
NET ASSETS BEGINNING OF PERIOD 379,541 404,470
----------------- ----------------
NET ASSETS END OF PERIOD $ 492,002 $ 415,196
================= ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (1,371) $ 4,411
================= ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 5,703 10,065
Class B - -
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (2,585) (10,778)
Class B - -
----------------- ----------------
Net increase (decrease) 3,118 (713)
================= ================
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/AIM JNL/AIM JNL/AIM
Large Cap Premier Equity II Small Cap
OPERATIONS Growth Fund Fund Growth Fund
------------------ ---------------- -------------------
Net investment income (loss) $ (73) $ 8 $ (203)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 557 (415) (403)
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
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
------------------ ---------------- -------------------
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
Reinvestment of distributions - - -
Cost of shares redeemed (11,670) (4,879) (14,203)
------------------ ---------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 24,828 7,434 23,557
------------------ ---------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 29,564 11,130 31,025
NET ASSETS BEGINNING OF PERIOD 6,857 12,647 12,915
------------------ ---------------- -------------------
NET ASSETS END OF PERIOD $ 36,421 $ 23,777 $ 43,940
================== ================ ===================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ - $ 8 $ -
================== ================ ===================
(1)SHARE TRANSACTIONS
Shares sold 3,870 1,430 3,751
Reinvestment of distributions - - -
Shares redeemed (1,277) (577) (1,519)
------------------ ---------------- -------------------
Net increase (decrease) 2,593 853 2,232
================== ================ ===================
JNL/Alger JNL/Alliance JNL/Eagle
Growth Capital Growth Core Equity
OPERATIONS Fund Fund Fund
------------------ ---------------- ------------------
Net investment income (loss) $ (533) $ 110 $ 1,520
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 21,391 (5,581) 2,033
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 39,835 28,034 38,762
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ---------------- ------------------
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 60,693 22,563 42,315
------------------ ---------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - - (1,494)
From net realized gains on
investment transactions - - -
------------------ ---------------- ------------------
------------------ ---------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (1,494)
------------------ ---------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 63,061 60,050 95,642
Reinvestment of distributions - - 1,494
Cost of shares redeemed (54,526) (40,986) (41,286)
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 8,535 19,064 55,850
------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 69,228 41,627 96,671
NET ASSETS BEGINNING OF PERIOD 175,439 86,891 149,242
------------------ ---------------- ------------------
NET ASSETS END OF PERIOD $ 244,667 $ 128,518 $ 245,913
================== ================ ==================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ - $ 110 $ 61
================== ================ ==================
(1)SHARE TRANSACTIONS
Shares sold 4,871 6,822 7,545
Reinvestment of distributions - - 107
Shares redeemed (4,374) (4,753) (3,336)
------------------ ---------------- ------------------
Net increase (decrease) 497 2,069 4,316
================== ================ ==================
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/Eagle JNL/FMR JNL/FMR
SmallCap Balanced Capital
OPERATIONS Equity Fund Fund Growth Fund
------------------ ---------------- ----------------
Net investment income (loss) $ (674) $ 1,502 $ (743)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (1,796) (342) 443
Foreign currency related items - (1) -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 33,573 11,100 44,287
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ---------------- ----------------
------------------ ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 31,103 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 50,666 54,295
Reinvestment of distributions - 1,480 -
Cost of shares redeemed (37,098) (24,254) (75,938)
------------------ ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 2,671 27,892 (21,643)
------------------ ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 33,774 38,671 22,344
NET ASSETS BEGINNING OF PERIOD 76,198 75,591 135,669
------------------ ---------------- ----------------
NET ASSETS END OF PERIOD $ 109,972 $ 114,262 $ 158,013
================== ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ - $ 50 $ -
================== ================ ================
(1)SHARE TRANSACTIONS
Shares sold 2,814 5,812 5,213
Reinvestment of distributions - 162 -
Shares redeemed (2,621) (2,792) (7,180)
------------------ ---------------- ----------------
Net increase (decrease) 193 3,182 (1,967)
================== ================ ================
JNL/JPMorgan JNL/Janus JNL/Lazard
International Growth & Mid Cap
OPERATIONS Value Fund Income Fund Value Fund
------------------- --------------- ---------------
Net investment income (loss) $ 82 $ 70 $ 400
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 1,098 (787) 5,696
Foreign currency related items 192 (27) -
Futures contracts and options written 185 - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,905 3,982 20,555
Foreign currency related items 180 (11) -
Futures contracts and options written 119 - -
Investment securities sold short - - -
------------------- --------------- ---------------
------------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 4,761 3,227 26,651
------------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (346) (75) (266)
From net realized gains on
investment transactions - - -
------------------- --------------- ---------------
------------------- --------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (346) (75) (266)
------------------- --------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 42,706 4,520 83,646
Reinvestment of distributions 346 75 266
Cost of shares redeemed (23,500) (6,067) (44,389)
------------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 19,552 (1,472) 39,523
------------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 23,967 1,680 65,908
NET ASSETS BEGINNING OF PERIOD 5,642 13,840 76,890
------------------- --------------- ---------------
NET ASSETS END OF PERIOD $ 29,609 $ 15,520 $ 142,798
=================== =============== ===============
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ (30) $ 56 $ 119
=================== =============== ===============
(1)SHARE TRANSACTIONS
Shares sold 6,603 744 7,350
Reinvestment of distributions 47 11 20
Shares redeemed (3,793) (990) (4,029)
------------------- --------------- ---------------
Net increase (decrease) 2,857 (235) 3,341
=================== =============== ===============
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/Mellon
JNL/Mellon Capital
Capital Management
JNL/Lazard Management Enhanced
Small Cap Bond Index S&P 500 Stock
OPERATIONS Value Fund Fund Index Fund
------------------- ---------------- -------------------
Net investment income (loss) $ 174 $ 1,790 $ 487
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 2,297 420 3,413
Foreign currency related items - - -
Futures contracts and options written - (30) 206
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 32,326 (647) 11,269
Foreign currency related items - - -
Futures contracts and options written - 17 86
Investment securities sold short - - -
------------------- ---------------- -------------------
------------------- ---------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 34,797 1,550 15,461
------------------- ---------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (1,412) (236)
From net realized gains on
investment transactions - (925) -
------------------- ---------------- -------------------
------------------- ---------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,337) (236)
------------------- ---------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 89,529 61,738 57,742
Reinvestment of distributions - 2,337 236
Cost of shares redeemed (43,694) (14,027) (26,206)
------------------- ---------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 45,835 50,048 31,772
------------------- ---------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 80,632 49,261 46,997
NET ASSETS BEGINNING OF PERIOD 74,559 34,286 42,071
------------------- ---------------- -------------------
NET ASSETS END OF PERIOD $ 155,191 $ 83,547 $ 89,068
=================== ================ ===================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 144 $ 327 $ 486
=================== ================ ===================
(1)SHARE TRANSACTIONS
Shares sold 8,192 5,803 8,328
Reinvestment of distributions - 222 30
Shares redeemed (4,225) (1,320) (3,957)
------------------- ---------------- -------------------
Net increase (decrease) 3,967 4,705 4,401
=================== ================ ===================
JNL/Mellon JNL/Mellon JNL/Mellon
Capital Capital Capital
Management Management Management
International S&P 400 MidCap S&P 500 Index
OPERATIONS Index Fund Index Fund Fund
------------------ ------------------ -----------------
Net investment income (loss) $ 801 $ 241 $ 1,213
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (64) 18 (161)
Foreign currency related items 399 - -
Futures contracts and options written 478 836 1,480
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 18,275 11,704 25,439
Foreign currency related items 88 - -
Futures contracts and options written 173 6 116
Investment securities sold short - - -
------------------ ------------------ -----------------
------------------ ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 20,150 12,805 28,087
------------------ ------------------ -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,094) (230) (1,511)
From net realized gains on
investment transactions - - (588)
------------------ ------------------ -----------------
------------------ ------------------ -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,094) (230) (2,099)
------------------ ------------------ -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 59,966 63,260 144,444
Reinvestment of distributions 1,094 230 2,099
Cost of shares redeemed (9,508) (7,716) (28,969)
------------------ ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 51,552 55,774 117,574
------------------ ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS 70,608 68,349 143,562
NET ASSETS BEGINNING OF PERIOD 26,518 12,728 46,776
------------------ ------------------ -----------------
NET ASSETS END OF PERIOD $ 97,126 $ 81,077 $ 190,338
================== ================== =================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 115 $ 12 $ 5
================== ================== =================
(1)SHARE TRANSACTIONS
Shares sold 6,248 6,347 16,481
Reinvestment of distributions 98 20 218
Shares redeemed (1,008) (788) (3,351)
------------------ ------------------ -----------------
Net increase (decrease) 5,338 5,579 13,348
================== ================== =================
See Notes to the Financial Statements.
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
Small Cap Global Growth Total Return
OPERATIONS Index Fund Growth Fund Fund Bond Fund
------------------- --------------- --------------- ---------------
Net investment income (loss) $ 303 $ 390 $ (118) $ 5,446
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 701 (1,086) (447) 1,389
Foreign currency related items - (224) - 167
Futures contracts and options written 1,614 - - 3,030
Investment securities sold short - - - (778)
Net change in unrealized appreciation
(depreciation) on:
Investments 13,829 26,836 4,371 2,052
Foreign currency related items - 77 - 331
Futures contracts and options written 82 - - 211
Investment securities sold short - - - (50)
------------------- --------------- --------------- ---------------
------------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 16,529 25,993 3,806 11,798
------------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (269) - - (4,512)
From net realized gains on
investment transactions (498) - - (5,677)
------------------- --------------- --------------- ---------------
------------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (767) - - (10,189)
------------------- --------------- --------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 62,400 105,186 22,341 217,280
Reinvestment of distributions 767 - - 10,189
Cost of shares redeemed (22,826) (77,076) (11,000) (123,139)
------------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 40,341 28,110 11,341 104,330
------------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 56,103 54,103 15,147 105,939
NET ASSETS BEGINNING OF PERIOD 20,027 50,522 17,846 211,362
------------------- --------------- --------------- ---------------
NET ASSETS END OF PERIOD $ 76,130 $ 104,625 $ 32,993 $ 317,301
=================== =============== =============== ===============
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 27 $ 260 $ - $ 5,796
=================== =============== =============== ===============
(1)SHARE TRANSACTIONS
Shares sold 6,319 13,324 2,913 18,220
Reinvestment of distributions 68 - - 865
Shares redeemed (2,263) (10,002) (1,468) (10,317)
---------------
Net increase (decrease) ------------------- --------------- --------------- ---------------
4,124 3,322 1,445 8,768
=================== =============== =============== ===============
JNL/PPM JNL/PPM
JNL/PPM America America
America High Yield Money
OPERATIONS Balanced Fund Bond Fund Market Fund
----------------- -------------- --------------
Net investment income (loss) $ 6,099 $ 15,623 $ 924
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,162 87 -
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 -
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
----------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (5,687) (15,485) (924)
From net realized gains on
investment transactions (2,244) - -
----------------- -------------- --------------
----------------- -------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,931) (15,485) (924)
----------------- -------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 91,878 140,642 591,660
Reinvestment of distributions 7,931 15,485 924
Cost of shares redeemed (54,911) (70,666) (622,664)
----------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 44,898 85,461 (30,080)
----------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 86,879 105,087 (30,080)
NET ASSETS BEGINNING OF PERIOD 217,013 161,094 214,520
----------------- -------------- --------------
NET ASSETS END OF PERIOD $ 303,892 $ 266,181 $ 184,440
================= ============== ==============
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 376 $ 184 $ -
================= ============== ==============
(1)SHARE TRANSACTIONS
Shares sold 6,381 16,425 591,660
Reinvestment of distributions 517 1,786 924
Shares redeemed (3,878) (8,294) (622,664)
----------------- -------------- --------------
Net increase (decrease) 3,020 9,917 (30,080)
================= ============== ==============
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/PPM JNL/Putnam JNL/Putnam JNL/Putnam
America Equity International Midcap
OPERATIONS Value Fund Fund Equity Fund Growth Fund
----------------- --------------- ---------------- ---------------
Net investment income (loss) $ 523 $ 694 $ 977 $ (118)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 871 1,011 (6,824) 49
Foreign currency related items - 4 319 -
Futures contracts and options written - - - 4
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 8,332 35,302 27,809 6,535
Foreign currency related items - - 67 -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- --------------- ---------------- ---------------
----------------- --------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 9,726 37,011 22,348 6,470
----------------- --------------- ---------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (96) (486) (1,395) -
From net realized gains on
investment transactions (207) - - -
----------------- --------------- ---------------- ---------------
----------------- --------------- ---------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (303) (486) (1,395) -
----------------- --------------- ---------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 34,874 49,306 137,550 23,901
Reinvestment of distributions 303 486 1,395 -
Cost of shares redeemed (8,072) (74,693) (141,359) (20,109)
----------------- --------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 27,105 (24,901) (2,414) 3,792
----------------- --------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 36,528 11,624 18,539 10,262
NET ASSETS BEGINNING OF PERIOD 18,004 153,303 78,272 18,647
----------------- --------------- ---------------- ---------------
NET ASSETS END OF PERIOD $ 54,532 $ 164,927 $ 96,811 $ 28,909
================= =============== ================ ===============
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 523 $ 695 $ (13) $ -
================= =============== ================ ===============
(1)SHARE TRANSACTIONS
Shares sold 2,693 3,591 17,928 4,195
Reinvestment of distributions 21 30 150 -
Shares redeemed (645) (5,406) (18,310) (3,601)
----------------- --------------- ---------------- ---------------
Net increase (decrease) 2,069 (1,785) (232) 594
================= =============== ================ ===============
JNL/Putnam JNL/S&P JNL/S&P
Value Aggressive Aggressive
OPERATIONS Equity Fund Growth Fund Growth Fund I
---------------- --------------- --------------
Net investment income (loss) $ 3,135 $ 41 $ 1,172
Net realized gain (loss) on:
Distributions from investment companies - 11 243
Investments (13,318) (1,613) (1,249)
Foreign currency related items 1 - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 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 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 66,850 1,334 59,755
Reinvestment of distributions 3,298 32 1,956
Cost of shares redeemed (73,432) (3,522) (22,991)
---------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (3,284) (2,156) 38,720
---------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 53,632 733 66,906
NET ASSETS BEGINNING OF PERIOD 256,100 11,720 97,110
---------------- --------------- --------------
NET ASSETS END OF PERIOD $ 309,732 $ 12,453 $ 164,016
================ =============== ==============
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ - $ 41 $ 11
================ =============== ==============
(1)SHARE TRANSACTIONS
Shares sold 4,659 212 6,325
Reinvestment of distributions 210 4 189
Shares redeemed (5,230) (579) (2,495)
---------------- --------------- --------------
Net increase (decrease) (361) (363) 4,019
================ =============== ==============
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/S&P JNL/S&P JNL/S&P
Aggressive Conservative Conservative
OPERATIONS Growth Fund II Growth Fund Growth Fund I
------------------ --------------- -----------------
Net investment income (loss) $ 32 $ 186 $ 5,356
Net realized gain (loss) on:
Distributions from investment companies 5 44 1,653
Investments (450) (775) (823)
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
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
------------------ --------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (35) (158) (8,874)
From net realized gains on
investment transactions - - -
------------------ --------------- -----------------
------------------ --------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (35) (158) (8,874)
------------------ --------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 660 2,114 185,638
Reinvestment of distributions 35 158 8,874
Cost of shares redeemed (1,607) (3,166) (62,735)
------------------ --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (912) (894) 131,777
------------------ --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS (81) 1,522 174,489
NET ASSETS BEGINNING OF PERIOD 3,973 14,157 227,833
------------------ --------------- -----------------
NET ASSETS END OF PERIOD $ 3,892 $ 15,679 $ 402,322
================== =============== =================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 32 $ 186 $ 75
================== =============== =================
(1)SHARE TRANSACTIONS
Shares sold 82 260 18,230
Reinvestment of distributions 4 18 824
Shares redeemed (210) (397) (6,190)
------------------ --------------- -----------------
Net increase (decrease) (124) (119) 12,864
================== =============== =================
JNL/S&P JNL/S&P JNL/S&P
Conservative Core Index 100 Core Index 50
OPERATIONS Growth Fund II Fund Fund
------------------ ---------------- -----------------
Net investment income (loss) $ 266 $ 213 $ 25
Net realized gain (loss) on:
Distributions from investment companies 46 118 11
Investments (438) (122) (98)
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,596 5,077 1,243
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ---------------- -----------------
------------------ ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,470 5,286 1,181
------------------ ---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (259) (116) (3)
From net realized gains on
investment transactions - (54) -
------------------ ---------------- -----------------
------------------ ---------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (259) (170) (3)
------------------ ---------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 3,259 21,978 5,239
Reinvestment of distributions 259 170 3
Cost of shares redeemed (4,306) (5,056) (760)
------------------ ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (788) 17,092 4,482
------------------ ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 1,423 22,208 5,660
NET ASSETS BEGINNING OF PERIOD 12,596 14,213 1,969
------------------ ---------------- -----------------
NET ASSETS END OF PERIOD $ 14,019 $ 36,421 $ 7,629
================== ================ =================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 265 $ 97 $ 25
================== ================ =================
(1)SHARE TRANSACTIONS
Shares sold 381 2,336 583
Reinvestment of distributions 28 16 -
Shares redeemed (506) (533) (90)
------------------ ---------------- -----------------
Net increase (decrease) (97) 1,819 493
================== ================ =================
See Notes to the Financial Statements.
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
Core Index 75 Aggressive Aggressive
OPERATIONS Fund Growth Fund I Growth Fund II
------------------- ------------------- --------------------
Net investment income (loss) $ 48 $ 35 $ 1
Net realized gain (loss) on:
Distributions from investment companies 27 23 -
Investments (102) (821) (281)
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
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------- ------------------- --------------------
------------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 1,639 10,600 341
------------------- ------------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (26) (2) (1)
From net realized gains on
investment transactions (14) - -
------------------- ------------------- --------------------
------------------- ------------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (40) (2) (1)
------------------- ------------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 6,042 16,939 289
Reinvestment of distributions 40 2 1
Cost of shares redeemed (2,124) (7,567) (580)
------------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 3,958 9,374 (290)
------------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS 5,557 19,972 50
NET ASSETS BEGINNING OF PERIOD 4,460 31,372 1,510
------------------- ------------------- --------------------
NET ASSETS END OF PERIOD $ 10,017 $ 51,344 $ 1,560
=================== =================== ====================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 49 $ 35 $ 1
=================== =================== ====================
(1)SHARE TRANSACTIONS
Shares sold 654 2,047 36
Reinvestment of distributions 4 - -
Shares redeemed (235) (939) (78)
------------------- ------------------- --------------------
Net increase (decrease) 423 1,108 (42)
=================== =================== ====================
JNL/S&P JNL/S&P JNL/S&P
Equity Equity Moderate
OPERATIONS Growth Fund I Growth Fund II Growth Fund
------------------ ------------------- -----------------
Net investment income (loss) $ 221 $ 9 $ 257
Net realized gain (loss) on:
Distributions from investment companies 70 2 66
Investments (3,503) (478) (1,524)
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 36,661 1,809 7,117
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ------------------- -----------------
------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 33,449 1,342 5,916
------------------ ------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (20) (8) (189)
From net realized gains on
investment transactions - - -
------------------ ------------------- -----------------
------------------ ------------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (20) (8) (189)
------------------ ------------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 63,227 1,094 3,589
Reinvestment of distributions 20 8 189
Cost of shares redeemed (26,188) (1,444) (6,209)
------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 37,059 (342) (2,431)
------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 70,488 992 3,296
NET ASSETS BEGINNING OF PERIOD 105,130 5,447 25,504
------------------ ------------------- -----------------
NET ASSETS END OF PERIOD $ 175,618 $ 6,439 $ 28,800
================== =================== =================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 220 $ 9 $ 257
================== =================== =================
(1)SHARE TRANSACTIONS
Shares sold 7,379 143 494
Reinvestment of distributions 2 - 23
Shares redeemed (3,285) (201) (885)
------------------ ------------------- -----------------
Net increase (decrease) 4,096 (58) (368)
================== =================== =================
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/S&P JNL/S&P JNL/S&P Very JNL/S&P Very
Moderate Moderate Aggressive Aggressive
OPERATIONS Growth Fund I Growth Fund II Growth Fund I Growth Fund II
------------------- --------------- ---------------- ----------------
Net investment income (loss) $ 6,041 $ 271 $ 16 $ -
Net realized gain (loss) on:
Distributions from investment companies 1,941 47 37 1
Investments (2,635) (1,023) (1,736) (205)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 84,087 4,258 14,557 701
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------- --------------- ---------------- ----------------
------------------- --------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 89,434 3,553 12,874 497
------------------- --------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (9,969) (243) - -
From net realized gains on
investment transactions - - - -
------------------- --------------- ---------------- ----------------
------------------- --------------- ---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,969) (243) - -
------------------- --------------- ---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 280,481 3,947 15,980 170
Reinvestment of distributions 9,969 243 - -
Cost of shares redeemed (91,571) (4,641) (10,789) (446)
------------------- --------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 198,879 (451) 5,191 (276)
------------------- --------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 278,344 2,859 18,065 221
NET ASSETS BEGINNING OF PERIOD 331,543 16,473 42,128 1,898
------------------- --------------- ---------------- ----------------
NET ASSETS END OF PERIOD $ 609,887 $ 19,332 $ 60,193 $ 2,119
=================== =============== ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 84 $ 271 $ 16 $ -
=================== =============== ================ ================
(1)SHARE TRANSACTIONS
Shares sold 27,588 455 1,814 21
Reinvestment of distributions 915 26 - -
Shares redeemed (9,227) (554) (1,296) (56)
------------------- --------------- ---------------- ----------------
Net increase (decrease) 19,276 (73) 518 (35)
=================== =============== ================ ================
JNL/Salomon JNL/Salomon JNL/Salomon
Brothers Brothers Brothers
Balanced High Yield Strategic Bond
OPERATIONS Fund Bond Fund Fund
------------------ -------------- --------------
Net investment income (loss) $ 271 $ 1,678 $ 8,040
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 236 282 5,683
Foreign currency related items - - 65
Futures contracts and options written - - (196)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,116 2,578 6,751
Foreign currency related items - - (585)
Futures contracts and options written - - (134)
Investment securities sold short - - -
------------------ -------------- --------------
------------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,623 4,538 19,624
------------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (359) (1,671) (8,348)
From net realized gains on
investment transactions - - (2,473)
------------------ -------------- --------------
------------------ -------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (359) (1,671) (10,821)
------------------ -------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 5,071 14,252 103,967
Reinvestment of distributions 359 1,671 10,821
Cost of shares redeemed (4,507) (16,405) (51,549)
------------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 923 (482) 63,239
------------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 3,187 2,385 72,042
NET ASSETS BEGINNING OF PERIOD 15,453 17,079 125,881
------------------ -------------- --------------
NET ASSETS END OF PERIOD $ 18,640 $ 19,464 $ 197,923
================== ============== ==============
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 274 $ 27 $ (85)
================== ============== ==============
(1)SHARE TRANSACTIONS
Shares sold 494 1,863 9,069
Reinvestment of distributions 34 209 949
Shares redeemed (445) (2,095) (4,502)
------------------ -------------- --------------
Net increase (decrease) 83 (23) 5,516
================== ============== ==============
See Notes to the Financial Statements.
JNL SERIES TRUST
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2003
JNL/Salomon
Brothers
U.S. Government JNL/Select JNL/Select
& Quality Global Growth Large Cap
OPERATIONS Bond Fund Fund Growth Fund
------------------- ---------------- ----------------
Net investment income (loss) $ 9,586 $ 1,358 $ (661)
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 1,988 (17,821) 3,046
Foreign currency related items - (2,706) (951)
Futures contracts and options written (891) - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (6,247) 58,340 68,639
Foreign currency related items - 2,057 706
Futures contracts and options written (1,305) - -
Investment securities sold short - - -
------------------- ---------------- ----------------
------------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 3,131 41,228 70,779
------------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (8,985) - -
From net realized gains on
investment transactions (3,071) - -
------------------- ----------------
------------------- ---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (12,056) - -
------------------- ---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 116,258 122,022 150,530
Reinvestment of distributions 12,056 - -
Cost of shares redeemed (166,380) (172,032) (179,341)
------------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (38,066) (50,010) (28,811)
------------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS (46,991) (8,782) 41,968
NET ASSETS BEGINNING OF PERIOD 304,265 206,070 215,884
------------------- ---------------- ----------------
NET ASSETS END OF PERIOD $ 257,274 $ 197,288 $ 257,852
=================== ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 603 $ (16) $ -
=================== ================ ================
(1)SHARE TRANSACTIONS
Shares sold 9,701 8,741 10,677
Reinvestment of distributions 1,046 - -
Shares redeemed (13,912) (12,071) (12,638)
------------------- ---------------- ----------------
Net increase (decrease) (3,165) (3,330) (1,961)
=================== ================ ================
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
=================== =============== ===================
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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
Class A
6/30/2004 $ 10.61 $ (0.02) $ 0.63 $ 0.61 $ - $ -
12/31/2003 8.16 (0.02) 2.47 2.45 - -
12/31/2002 10.97 (0.03) (2.76) (2.79) - (0.02)
10/29(a)-12/31/01 10.00 - 0.97 0.97 - -
Class B
03/08(a)-06/30/04 10.99 - 0.23 0.23 - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
6/30/2004 11.67 (0.06) 0.46 0.40 - -
12/31/2003 8.43 (0.05) 3.29 3.24 - -
12/31/2002 11.60 (0.07) (3.10) (3.17) - -
10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - -
Class B
03/08(a)-06/30/04 12.21 (0.02) (0.11) (0.13) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
6/30/2004 14.76 (0.04) 0.48 0.44 - -
12/31/2003 10.91 (0.03) 3.88 3.85 - -
12/31/2002 16.33 (0.04) (5.38) (5.42) - -
12/31/2001 18.58 (0.04) (2.18) (2.22) - (0.03)
12/31/2000 22.91 (0.01) (3.08) (3.09) - (1.24)
12/31/1999 18.95 (0.03) 6.42 6.39 - (2.43)
Class B
03/08(a)-06/30/04 15.41 - (0.19) (0.19) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
Class A
6/30/2004 9.92 - 0.32 0.32 - -
12/31/2003 7.98 0.01 1.93 1.94 - -
12/31/2002 11.57 (0.01) (3.58) (3.59) - -
12/31/2001 13.55 - (1.97) (1.97) (0.01) -
12/31/2000 16.64 - (2.93) (2.93) - (0.16)
12/31/1999 13.28 (0.01) 3.76 3.75 - (0.39)
Class B
03/08(a)-06/30/04 10.19 - 0.05 0.05 - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
6/30/2004 $ 11.22 5.75 % $ 147,730 52.08% 1.08 % (0.50)%
12/31/2003 10.61 30.02 36,421 140.00 1.10 (0.41)
12/31/2002 8.16 (25.47) 6,857 180.06 1.10 (0.33)
10/29(a)-12/31/01 10.97 9.70 6,058 14.93 1.10 (0.26)
Class B
03/08(a)-06/30/04 11.22 2.09 9 52.08 0.88 (0.25)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
6/30/2004 12.07 3.43 47,204 34.70 1.15 (0.95)
12/31/2003 11.67 38.43 43,936 30.17 1.15 (0.89)
12/31/2002 8.43 (27.32) 12,915 46.22 1.15 (0.83)
10/29(a)-12/31/01 11.60 16.00 7,665 3.86 1.15 (0.74)
Class B
03/08(a)-06/30/04 12.08 (1.07) 1 34.70 0.95 (0.75)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
6/30/2004 15.20 2.98 275,965 90.86 1.08 (0.51)
12/31/2003 14.76 35.29 244,667 168.09 1.08 (0.27)
12/31/2002 10.91 (33.19) 175,439 236.63 1.08 (0.25)
12/31/2001 16.33 (11.97) 341,162 86.80 1.07 (0.23)
12/31/2000 18.58 (13.44) 459,577 88.34 1.07 (0.03)
12/31/1999 22.91 33.80 400,639 122.58 1.07 (0.22)
Class B
03/08(a)-06/30/04 15.22 (1.36) 1 90.86 0.88 (0.14)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
Class A
6/30/2004 10.24 3.23 68,601 47.25 0.88 (0.12)
12/31/2003 9.92 24.31 128,518 49.69 0.88 0.11
12/31/2002 7.98 (31.03) 86,891 54.13 0.88 (0.10)
12/31/2001 11.57 (14.57) 140,511 65.21 0.87 0.05
12/31/2000 13.55 (17.59) 92,981 47.01 0.87 0.01
12/31/1999 16.64 28.23 18,256 51.15 0.88 (0.07)
Class B
03/08(a)-06/30/04 10.24 0.49 1 47.25 0.68 (0.01)
- -----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
6/30/2004 1.14 % (0.56)%
12/31/2003 1.18 (0.49)
12/31/2002 1.15 (0.38)
10/29(a)-12/31/01 1.32 (0.48)
Class B
03/08(a)-06/30/04 0.94 (0.31)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
6/30/2004 1.18 (0.98)
12/31/2003 1.19 (0.93)
12/31/2002 1.17 (0.85)
10/29(a)-12/31/01 1.24 (0.83)
Class B
03/08(a)-06/30/04 0.98 (0.78)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
6/30/2004 1.15 (0.58)
12/31/2003 1.15 (0.34)
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.95 (0.21)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
Class A
6/30/2004 0.94 (0.18)
12/31/2003 0.91 0.08
12/31/2002 0.89 (0.11)
12/31/2001 0.90 0.02
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.74 (0.07)
- ----------------------------------------------------------
- --------------------
(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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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/EAGLE CORE EQUITY FUND
Class A
6/30/2004 $ 14.17 $ 0.04 $(0.04) $ - $ - $ -
12/31/2003 11.45 0.09 2.72 2.81 (0.09) -
12/31/2002 14.53 0.10 (3.08) (2.98) (0.10) -
12/31/2001 16.21 0.07 (1.67) (1.60) (0.07) (0.01)
12/31/2000 18.47 0.08 (0.08) - (0.09) (2.17)
12/31/1999 15.91 0.11 3.63 3.74 (0.11) (1.07)
Class B
03/08(a)-06/30/04 14.68 0.02 (0.52) (0.50) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
6/30/2004 16.81 (0.06) 1.36 1.30 - -
12/31/2003 12.01 (0.10) 4.90 4.80 - -
12/31/2002 15.55 (0.08) (3.46) (3.54) - -
12/31/2001 14.20 (0.41) 1.97 1.56 - (0.21)
12/31/2000 16.97 (0.04) (2.23) (2.27) - (0.50)
12/31/1999 14.82 (0.04) 2.88 2.84 - (0.69)
Class B
03/08(a)-06/30/04 18.33 (0.02) (0.18) (0.20) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
6/30/2004 9.27 0.07 0.16 0.23 - -
12/31/2003 8.26 0.12 1.01 1.13 (0.12) -
12/31/2002 9.05 0.20 (0.80) (0.60) (0.19) -
12/31/2001 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) -
Class B
03/08(a)-06/30/04 9.52 0.04 (0.06) (0.02) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
6/30/2004 13.28 (0.02) 0.85 0.83 - -
12/31/2003 9.79 (0.06) 3.55 3.49 - -
12/31/2002 13.83 (0.07) (3.97) (4.04) - -
12/31/2001 23.55 (0.11) (9.35) (9.46) - (0.26)
12/31/2000 43.62 (0.20) (14.90) (15.10) - (4.97)
12/31/1999 20.73 (0.13) 25.85 25.72 - (2.83)
Class B
03/08(a)-06/30/04 13.97 - 0.15 0.15 - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
6/30/2004 $ 14.17 0.00 % $ 309,061 71.30% 0.96 % 0.63 %
12/31/2003 14.17 24.54 245,913 80.50 0.97 0.83
12/31/2002 11.45 (20.53) 149,242 94.37 0.97 0.78
12/31/2001 14.53 (9.83) 174,813 102.56 0.97 0.58
12/31/2000 16.21 0.28 146,888 192.40 0.97 0.57
12/31/1999 18.47 23.55 95,329 124.71 0.99 0.97
Class B
03/08(a)-06/30/04 14.18 (3.41) 1 71.30 0.76 0.72
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
6/30/2004 18.11 7.73 141,954 26.14 1.05 (0.77)
12/31/2003 16.81 39.97 109,972 70.06 1.05 (0.75)
12/31/2002 12.01 (22.77) 76,198 71.45 1.05 (0.49)
12/31/2001 15.55 11.00 112,967 65.36 1.05 (0.31)
12/31/2000 14.20 (13.25) 77,200 89.43 1.05 (0.30)
12/31/1999 16.97 19.27 61,504 61.69 1.05 (0.35)
Class B
03/08(a)-06/30/04 18.13 (1.09) 1 26.14 0.85 (0.55)
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
6/30/2004 9.50 2.48 96,112 122.52 1.04 1.37
12/31/2003 9.27 13.73 114,262 60.48 1.05 1.64
12/31/2002 8.26 (6.57) 75,591 90.71 1.05 2.11
12/31/2001 9.05 (4.49) 72,281 105.66 1.05 2.48
05/01(a)-12/31/00 9.69 (2.00) 44,294 41.10 1.05 2.42
Class B
03/08(a)-06/30/04 9.50 (0.21) 1 122.52 0.84 1.45
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
6/30/2004 14.11 6.25 153,077 147.56 1.03 (0.25)
12/31/2003 13.28 35.65 158,013 31.95 1.05 (0.51)
12/31/2002 9.79 (29.21) 135,669 56.03 1.04 (0.51)
12/31/2001 13.83 (40.19) 260,726 96.69 1.01 (0.61)
12/31/2000 23.55 (34.74) 496,830 110.81 0.99 (0.67)
12/31/1999 43.62 124.19 509,086 102.26 1.03 (0.75)
Class B
03/08(a)-06/30/04 14.12 1.07 1 147.56 0.83 0.21
- -------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
6/30/2004 1.02 % 0.57 %
12/31/2003 1.01 0.79
12/31/2002 1.00 0.75
12/31/2001 0.99 0.56
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.82 0.66
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
6/30/2004 1.07 (0.79)
12/31/2003 1.10 (0.80)
12/31/2002 1.08 (0.52)
12/31/2001 1.07 (0.33)
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.87 (0.57)
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
6/30/2004 1.06 1.35
12/31/2003 1.07 1.62
12/31/2002 1.07 2.09
12/31/2001 1.06 2.47
05/01(a)-12/31/00 n/a n/a
Class B
03/08(a)-06/30/04 0.86 1.43
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
6/30/2004 1.04 (0.26)
12/31/2003 1.07 (0.53)
12/31/2002 1.09 (0.56)
12/31/2001 1.03 (0.63)
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.84 0.20
- -------------------------------------------------------------
- -------------------------------------------------------------
- --------------------
(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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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/JPMORGAN INTERNATIONAL VALUE FUND
Class A
6/30/2004 $ 7.65 $ 0.07 $ 0.35 $ 0.42 $ - $ -
12/31/2003 5.56 - 2.19 2.19 (0.10) -
12/31/2002 7.75 0.07 (2.13) (2.06) (0.13) -
12/31/2001 9.79 0.09 (2.08) (1.99) (0.04) (0.01)
12/31/2000 13.15 0.04 (2.10) (2.06) (0.06) (1.24)
12/31/1999 9.82 0.06 3.67 3.73 (0.21) (0.19)
Class B
03/08(a)-06/30/04 8.17 - (0.10) (0.10) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
6/30/2004 13.16 0.02 1.46 1.48 - -
12/31/2003 10.23 0.04 2.92 2.96 (0.03) -
12/31/2002 11.97 0.03 (1.72) (1.69) (0.03) (0.02)
12/31/2001 11.75 0.06 1.50 1.56 (0.06) (1.28)
12/31/2000 9.63 0.03 2.40 2.43 (0.03) (0.28)
12/31/1999 9.21 0.02 0.42 0.44 (0.02) -
Class B
03/08(a)-06/30/04 14.28 0.01 0.36 0.37 - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
6/30/2004 13.05 - 0.78 0.78 - -
12/31/2003 9.40 0.01 3.64 3.65 - -
12/31/2002 11.40 - (1.96) (1.96) - (0.04)
12/31/2001 10.28 0.02 1.77 1.79 (0.02) (0.65)
12/31/2000 8.84 0.02 1.45 1.47 (0.03) -
12/31/1999 8.70 0.03 0.14 0.17 (0.03) -
Class B
03/08(a)-06/30/04 13.92 - (0.08) (0.08) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Class A
6/30/2004 10.47 0.13 (0.14) (0.01) - -
12/31/2003 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)
Class B
03/08(a)-06/30/04 10.73 0.03 (0.29) (0.26) - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
6/30/2004 $ 8.07 5.49 % $ 52,426 56.22% 1.13 % 2.09 %
12/31/2003 7.65 39.43 29,609 131.90 1.12 0.75
12/31/2002 5.56 (26.59) 5,642 146.48 1.08 0.95
12/31/2001 7.75 (20.33) 7,304 82.18 1.07 1.07
12/31/2000 9.79 (15.45) 9,264 120.75 1.07 0.40
12/31/1999 13.15 38.02 7,777 66.82 1.08 0.53
Class B
03/08(a)-06/30/04 8.07 (1.22) 1 56.22 0.93 (0.11)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
6/30/2004 14.64 11.25 164,781 58.89 1.08 0.24
12/31/2003 13.16 28.89 142,798 88.62 1.08 0.40
12/31/2002 10.23 (14.08) 76,890 98.18 1.08 0.41
12/31/2001 11.97 13.24 26,886 143.12 1.07 0.65
12/31/2000 11.75 25.37 15,478 134.53 1.07 0.37
12/31/1999 9.63 4.77 6,394 118.56 1.08 0.25
Class B
03/08(a)-06/30/04 14.65 2.59 11 58.89 0.88 0.77
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
6/30/2004 13.83 5.98 170,004 59.95 1.12 (0.06)
12/31/2003 13.05 38.83 155,191 70.95 1.13 0.17
12/31/2002 9.40 (17.22) 74,559 94.87 1.14 (0.03)
12/31/2001 11.40 17.34 35,164 78.01 1.15 0.32
12/31/2000 10.28 16.60 14,614 58.07 1.15 0.36
12/31/1999 8.84 1.96 6,313 53.35 1.15 0.43
Class B
03/08(a)-06/30/04 13.84 (0.58) 10 59.95 0.92 0.18
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANANAGEMENT BOND INDEX FUND
Class A
6/30/2004 10.46 (0.10) 125,103 34.49 0.60 3.45
12/31/2003 10.47 2.87 83,547 70.57 0.60 3.29
01/15(a)-12/31/02 10.48 8.55 34,286 77.16 0.60 4.12
Class B
03/08(a)-06/30/04 10.47 (2.42) 5 34.49 0.40 3.82
- -----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
6/30/2004 n/a % n/a %
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
6/30/2004 1.13 0.19
12/31/2003 1.17 0.31
12/31/2002 1.12 0.37
12/31/2001 1.20 0.52
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.93 0.72
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
6/30/2004 1.17 (0.11)
12/31/2003 1.20 0.10
12/31/2002 1.17 (0.06)
12/31/2001 1.21 0.26
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.97 0.13
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/MELLON CAPITAL MANANAGEMENT BOND INDEX FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
01/15(a)-12/31/02 n/a n/a
Class B
03/08(a)-06/30/04 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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
6/30/2004 $ 7.93 $ - $ 0.30 $ 0.30 $ - $ -
12/31/2003 6.16 0.03 1.76 1.79 (0.02) -
12/31/2002 8.21 0.04 (2.09) (2.05) - -
12/31/2001 9.34 0.03 (1.13) (1.10) (0.03) -
12/31/2000 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)
Class B
03/08(a)-06/30/04 8.24 0.02 (0.02) - - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
6/30/2004 11.45 0.13 0.36 0.49 - -
12/31/2003 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) -
Class B
03/08(a)-06/30/04 12.05 0.04 (0.14) (0.10) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Class A
6/30/2004 11.47 0.03 0.64 0.67 - -
12/31/2003 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) -
Class B
03/08(a)-06/30/04 12.28 0.01 (0.14) (0.13) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
6/30/2004 9.84 0.04 0.26 0.30 - -
12/31/2003 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) - -
Class B
03/08(a)-06/30/04 10.25 0.02 (0.12) (0.10) - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
6/30/2004 $ 8.23 3.78 % $ 171,742 41.69% 0.78 % 0.71 %
12/31/2003 7.93 29.09 89,068 123.94 0.87 0.87
12/31/2002 6.16 (24.94) 42,071 63.08 0.89 0.69
12/31/2001 8.21 (11.78) 31,415 55.97 0.90 0.44
12/31/2000 9.34 (11.38) 22,622 57.14 0.90 0.56
05/16(a)-12/31/99 10.58 6.85 5,341 34.39 0.90 0.56
Class B
03/08(a)-06/30/04 8.24 0.00 1 41.69 0.58 0.82
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
6/30/2004 11.94 4.28 208,743 2.22 0.65 3.05
12/31/2003 11.45 37.31 97,126 1.66 0.65 1.59
01/15(a)-12/31/02 8.44 (13.60) 26,518 32.40 0.65 1.56
Class B
03/08(a)-06/30/04 11.95 (0.83) 5 2.22 0.45 4.01
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Class A
6/30/2004 12.14 5.84 139,773 8.04 0.59 0.61
12/31/2003 11.47 34.55 81,077 18.34 0.60 0.65
01/15(a)-12/31/02 8.55 (13.94) 12,728 60.00 0.60 0.60
Class B
03/08(a)-06/30/04 12.15 (1.06) 31 8.04 0.39 0.82
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
6/30/2004 10.14 3.05 283,105 3.06 0.59 1.02
12/31/2003 9.84 27.79 190,338 8.90 0.60 1.22
01/15(a)-12/31/02 7.79 (22.10) 46,776 1.89 0.60 1.15
Class B
03/08(a)-06/30/04 10.15 (0.98) 80 3.06 0.39 1.42
- ----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
6/30/2004 n/a % n/a %
12/31/2003 0.89 0.85
12/31/2002 0.90 0.68
12/31/2001 n/a n/a
12/31/2000 n/a n/a
05/16(a)-12/31/99 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
01/15(a)-12/31/02 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Class A
6/30/2004 n/a n/a
12/31/2003 0.61 0.64
01/15(a)-12/31/02 0.61 0.59
Class B
03/08(a)-06/30/04 n/a n/a
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
6/30/2004 n/a n/a
12/31/2003 0.61 1.21
01/15(a)-12/31/02 0.61 1.14
Class B
03/08(a)-06/30/04 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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
6/30/2004 $ 11.46 $ 0.03 $ 0.69 $ 0.72 $ - $ -
12/31/2003 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) -
Class B
03/08(a)-06/30/04 12.33 0.01 (0.16) (0.15) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
6/30/2004 10.12 0.03 0.27 0.30 - -
12/31/2003 7.20 0.03 2.89 2.92 - -
12/31/2002 9.27 0.03 (2.10) (2.07) - -
05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - -
Class B
03/08(a)-06/30/04 10.71 0.01 (0.29) (0.28) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
6/30/2004 8.28 (0.02) 0.22 0.20 - -
12/31/2003 7.03 (0.03) 1.28 1.25 - -
12/31/2002 9.41 (0.03) (2.35) (2.38) - -
05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) -
Class B
03/08(a)-06/30/04 8.57 - (0.09) (0.09) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
6/30/2004 11.76 0.04 (0.03) 0.01 - -
12/31/2003 11.60 0.13 0.42 0.55 (0.17) (0.22)
12/31/2002 10.66 0.24 0.70 0.94 - -
12/31/2001 10.29 0.30 0.68 0.98 (0.28) (0.33)
12/31/2000 9.64 0.45 0.68 1.13 (0.47) (0.01)
12/31/1999 10.16 0.49 (0.52) (0.03) (0.49) -
Class B
03/08(a)-06/30/04 12.02 0.06 (0.30) (0.24) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA BALANCED FUND
Class A
6/30/2004 15.55 0.18 0.30 0.48 - -
12/31/2003 13.14 0.32 2.51 2.83 (0.30) (0.12)
12/31/2002 14.00 0.42 (0.69) (0.27) (0.42) (0.17)
12/31/2001 13.13 0.41 0.98 1.39 (0.44) (0.08)
12/31/2000 12.60 0.50 0.52 1.02 (0.46) (0.03)
12/31/1999 13.48 0.44 (0.45) (0.01) (0.44) (0.43)
Class B
03/08(a)-06/30/04 16.19 0.09 (0.26) (0.17) - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
6/30/2004 $ 12.18 6.28 % $ 122,479 18.57% 0.59 % 0.59 %
12/31/2003 11.46 45.88 76,130 38.17 0.60 0.75
01/15(a)-12/31/02 7.94 (19.79) 20,027 49.44 0.60 0.96
Class B
03/08(a)-06/30/04 12.18 (1.22) 18 18.57 0.39 0.93
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
6/30/2004 10.42 2.96 165,654 8.81 1.05 0.88
12/31/2003 10.12 40.56 104,625 38.02 1.05 0.57
12/31/2002 7.20 (22.33) 50,522 64.05 1.05 0.44
05/01(a)-12/31/01 9.27 (7.30) 59,841 44.80 1.05 0.54
Class B
03/08(a)-06/30/04 10.43 (2.61) 14 8.81 0.85 1.13
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
6/30/2004 8.48 2.42 25,454 60.93 1.00 (0.35)
12/31/2003 8.28 17.78 32,993 94.02 1.00 (0.49)
12/31/2002 7.03 (25.29) 17,846 55.58 1.00 (0.49)
05/01(a)-12/31/01 9.41 (5.82) 13,557 58.88 1.00 0.17
Class B
03/08(a)-06/30/04 8.48 (1.05) 1 60.93 0.80 (0.12)
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
6/30/2004 11.77 0.09 376,057 72.01 0.80 1.30
12/31/2003 11.76 4.78 317,301 146.76 0.80 2.02
12/31/2002 11.60 8.85 211,362 116.05 0.80 3.23
12/31/2001 10.66 9.52 54,851 112.25 0.80 4.35
12/31/2000 10.29 11.75 21,715 221.61 0.93 (e) 5.98
12/31/1999 9.64 (0.26) 9,451 91.12 0.80 5.41
Class B
03/08(a)-06/30/04 11.78 (2.00) 1 72.01 0.60 1.38
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA BALANCED FUND
Class A
6/30/2004 16.03 3.09 324,575 47.89 0.80 2.30
12/31/2003 15.55 21.57 303,892 54.21 0.80 2.49
12/31/2002 13.14 (1.93) 217,013 68.30 0.81 2.98
12/31/2001 14.00 10.57 212,196 42.38 0.81 3.28
12/31/2000 13.13 8.25 155,270 25.76 0.82 4.02
12/31/1999 12.60 (0.11) 143,012 35.02 0.82 3.71
Class B
03/08(a)-06/30/04 16.02 (1.05) 1 47.89 0.60 2.03
- ----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
6/30/2004 n/a % n/a %
12/31/2003 0.61 0.74
01/15(a)-12/31/02 0.62 0.94
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
05/01(a)-12/31/01 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
05/01(a)-12/31/01 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/PPM AMERICA BALANCED FUND
Class A
6/30/2004 n/a n/a
12/31/2003 0.81 2.48
12/31/2002 0.81 2.98
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 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.
(e) The ratio of net operating expenses was 0.80%.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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/PPM AMERICA HIGH YIELD BOND FUND
Class A
6/30/2004 $ 8.70 $ 0.32 $ (0.30) $ 0.02 $ - $ -
12/31/2003 7.79 0.55 0.90 1.45 (0.54) -
12/31/2002 8.29 0.66 (0.49) 0.17 (0.67) -
12/31/2001 8.60 0.79 (0.30) 0.49 (0.80) -
12/31/2000 10.13 0.98 (1.55) (0.57) (0.96) -
12/31/1999 10.89 0.88 (0.76) 0.12 (0.88) -
Class B
03/08(a)-06/30/04 8.82 0.19 (0.29) (0.10) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA MONEY MARKET FUND
Class A
6/30/2004 1.00 - - - - -
12/31/2003 1.00 0.01 - 0.01 (0.01) -
12/31/2002 1.00 0.01 - 0.01 (0.01) -
12/31/2001 1.00 0.03 - 0.03 (0.03) -
12/31/2000 1.00 0.06 - 0.06 (0.06) -
12/31/1999 1.00 0.05 - 0.05 (0.05) -
Class B
03/08(a)-06/30/04 1.00 - - - - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA VALUE FUND
Class A
6/30/2004 14.70 (0.01) 0.79 0.78 - -
12/31/2003 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 - -
Class B
03/08(a)-06/30/04 15.47 0.06 (0.04) 0.02 - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
6/30/2004 16.54 0.04 0.55 0.59 - -
12/31/2003 13.04 0.08 3.47 3.55 (0.05) -
12/31/2002 17.18 - (4.14) (4.14) - -
12/31/2001 22.91 (0.01) (5.72) (5.73) - -
12/31/2000 28.45 (0.05) (5.03) (5.08) - (0.46)
12/31/1999 22.88 (0.04) 6.76 6.72 - (1.15)
Class B
03/08(a)-06/30/04 17.26 0.04 (0.15) (0.11) - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA HIGH YIELD BOND FUND
Class A
6/30/2004 $ 8.72 0.23 % $ 262,592 12.16% 0.80 % 7.25 %
12/31/2003 8.70 18.67 266,181 37.45 0.81 7.47
12/31/2002 7.79 2.05 161,094 61.00 0.82 7.89
12/31/2001 8.29 5.67 160,781 41.24 0.81 8.68
12/31/2000 8.60 (5.62) 144,516 62.41 0.82 10.06
12/31/1999 10.13 1.09 147,023 61.03 0.82 9.22
Class B
03/08(a)-06/30/04 8.72 (1.13) 1 12.16 0.60 7.44
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA MONEY MARKET FUND
Class A
6/30/2004 1.00 0.22 184,898 n/a 0.60 0.44
12/31/2003 1.00 0.46 184,442 n/a 0.69 0.47
12/31/2002 1.00 1.07 214,520 n/a 0.69 1.07
12/31/2001 1.00 3.45 242,518 n/a 0.69 3.28
12/31/2000 1.00 5.83 185,012 n/a 0.70 5.73
12/31/1999 1.00 4.67 164,446 n/a 0.70 4.63
Class B
03/08(a)-06/30/04 1.00 0.14 1 n/a 0.40 0.73
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/PPM AMERICA VALUE FUND
Class A
6/30/2004 15.48 5.31 143,150 8.91 0.85 1.43
12/31/2003 14.70 34.80 54,532 16.19 0.85 1.81
09/30(a)-12/31/02 10.97 9.70 18,004 8.64 0.85 2.24
Class B
03/08(a)-06/30/04 15.49 0.13 1 8.91 0.65 1.49
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
6/30/2004 17.13 3.57 152,954 37.91 0.99 0.36
12/31/2003 16.54 27.23 164,927 74.82 1.00 0.45
12/31/2002 13.04 (24.10) 153,303 123.47 0.99 0.23
12/31/2001 17.18 (25.01) 282,049 91.77 0.96 (0.07)
12/31/2000 22.91 (17.85) 497,299 77.67 0.94 (0.22)
12/31/1999 28.45 29.41 454,393 74.67 0.97 (0.21)
Class B
03/08(a)-06/30/04 17.15 (0.64) 1 37.91 0.79 0.74
- ----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/PPM AMERICA HIGH YIELD BOND FUND
Class A
6/30/2004 n/a % n/a %
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- ---------------------------------------------------------
- ---------------------------------------------------------
JNL/PPM AMERICA MONEY MARKET FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- ---------------------------------------------------------
- ---------------------------------------------------------
JNL/PPM AMERICA VALUE FUND
Class A
6/30/2004 n/a n/a
12/31/2003 0.88 1.78
09/30(a)-12/31/02 0.98 2.11
Class B
03/08(a)-06/30/04 n/a n/a
- ---------------------------------------------------------
- ---------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
6/30/2004 1.04 0.31
12/31/2003 1.07 0.38
12/31/2002 1.05 0.17
12/31/2001 0.99 (0.10)
12/31/2000 0.95 (0.23)
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.84 0.69
- ---------------------------------------------------------
- --------------------
(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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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 INTERNATIONAL EQUITY FUND
Class A
6/30/2004 $ 9.61 $ 0.10 $ 0.02 $ 0.12 $ - $ -
12/31/2003 7.59 0.10 2.06 2.16 (0.14) -
12/31/2002 9.66 0.08 (2.07) (1.99) (0.08) -
12/31/2001 12.23 0.08 (2.56) (2.48) (0.07) (0.02)
12/31/2000 16.79 0.08 (2.49) (2.41) (0.01) (2.14)
12/31/1999 13.62 0.09 4.28 4.37 (0.16) (1.04)
Class B
03/08(a)-06/30/04 10.11 0.09 (0.46) (0.37) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
6/30/2004 6.82 (0.02) 0.53 0.51 - -
12/31/2003 5.11 (0.03) 1.74 1.71 - -
12/31/2002 7.23 (0.04) (2.08) (2.12) - -
12/31/2001 9.90 (0.05) (2.62) (2.67) - -
05/01(a)-12/31/00 10.00 - (0.10) (0.10) - -
Class B
03/08(a)-06/30/04 7.32 - 0.02 0.02 - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
6/30/2004 16.09 0.10 0.37 0.47 - -
12/31/2003 13.06 0.16 3.04 3.20 (0.17) -
12/31/2002 16.50 0.16 (3.44) (3.28) (0.16) -
12/31/2001 17.78 0.15 (1.27) (1.12) (0.16) -
12/31/2000 16.78 0.16 1.00 1.16 (0.16) -
12/31/1999 18.24 0.19 (0.38) (0.19) (0.20) (1.07)
Class B
03/08(a)-06/30/04 16.82 0.05 (0.30) (0.25) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 10.57 (0.01) 0.40 0.39 - -
12/31/2003 8.44 0.06 2.20 2.26 (0.13) -
12/31/2002 10.45 0.06 (1.97) (1.91) (0.10) -
12/31/2001 12.86 0.02 (1.38) (1.36) (0.35) (0.70)
12/31/2000 14.69 (0.10) (1.28) (1.38) (0.17) (0.28)
12/31/1999 10.88 (0.15) 4.00 3.85 (0.04) -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Class A
6/30/2004 $ 9.73 1.25 % $ 88,876 41.54% 1.20 % 1.93 %
12/31/2003 9.61 28.53 96,811 113.94 1.23 1.17
12/31/2002 7.59 (20.58) 78,272 134.52 1.18 0.83
12/31/2001 9.66 (20.29) 103,972 66.42 1.17 0.76
12/31/2000 12.23 (13.99) 126,816 138.12 1.17 0.44
12/31/1999 16.79 32.11 105,034 26.19 1.18 0.63
Class B
03/08(a)-06/30/04 9.74 (3.66) 1 41.54 1.00 2.79
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
6/30/2004 7.33 7.48 31,221 53.11 1.05 (0.62)
12/31/2003 6.82 33.46 28,909 116.81 1.05 (0.52)
12/31/2002 5.11 (29.32) 18,647 116.70 1.05 (0.62)
12/31/2001 7.23 (26.97) 29,541 211.61 1.05 (0.46)
05/01(a)-12/31/00 9.90 (1.00) 46,122 58.67 1.05 (0.09)
Class B
03/08(a)-06/30/04 7.34 0.27 1 53.11 0.85 (0.30)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY
Class A
6/30/2004 16.56 2.92 220,997 22.79 0.97 0.96
12/31/2003 16.09 24.55 309,732 67.86 0.98 1.16
12/31/2002 13.06 (19.87) 256,100 62.19 0.98 1.06
12/31/2001 16.50 (6.32) 347,246 82.54 0.96 0.89
12/31/2000 17.78 6.96 422,750 86.43 0.96 1.05
12/31/1999 16.78 (1.04) 319,454 72.23 0.98 1.19
Class B
03/08(a)-06/30/04 16.57 (1.49) 1 22.79 0.77 1.22
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 10.96 3.69 217,732 31.76 0.18 (0.18)
12/31/2003 10.57 26.80 164,016 3.87 0.20 0.97
12/31/2002 8.44 (18.26) 97,110 37.53 0.20 0.77
12/31/2001 10.45 (10.58) 107,519 67.65 0.20 1.16
12/31/2000 12.86 (9.37) 95,075 24.94 0.20 1.62
12/31/1999 14.69 35.38 41,329 26.50 0.20 1.22
- -----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Class A
6/30/2004 1.22 % 1.91 %
12/31/2003 1.26 1.14
12/31/2002 1.21 0.80
12/31/2001 1.18 0.75
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 1.02 2.77
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
6/30/2004 1.10 (0.67)
12/31/2003 1.11 (0.58)
12/31/2002 1.10 (0.67)
12/31/2001 1.09 (0.50)
05/01(a)-12/31/00 1.06 (0.10)
Class B
03/08(a)-06/30/04 0.90 (0.35)
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
6/30/2004 1.00 0.93
12/31/2003 1.03 1.11
12/31/2002 1.01 1.03
12/31/2001 0.99 0.86
12/31/2000 0.97 1.04
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.80 1.19
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/S&P AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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 I
Class A
6/30/2004 $ 10.91 $ (0.01) $ 0.25 $ 0.24 $ - $ -
12/31/2003 9.48 0.10 1.58 1.68 (0.25) -
12/31/2002 10.54 0.10 (0.99) (0.89) (0.17) -
12/31/2001 11.83 0.08 (0.65) (0.57) (0.34) (0.38)
12/31/2000 12.45 0.11 (0.31) (0.20) (0.23) (0.19)
12/31/1999 10.47 (0.06) 2.10 2.04 (0.06) -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 100 FUND
Class A
6/30/2004 10.52 (0.02) 0.30 0.28 - -
12/31/2003 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
Class A
6/30/2004 10.26 (0.02) 0.42 0.40 - -
12/31/2003 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
Class A
6/30/2004 10.39 (0.03) 0.38 0.35 - -
12/31/2003 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
Class A
6/30/2004 9.55 (0.01) 0.43 0.42 - -
12/31/2003 7.35 0.01 2.19 2.20 - -
12/31/2002 9.58 - (2.22) (2.22) (0.01) -
12/31/2001 12.59 (0.05) (1.67) (1.72) (0.31) (0.98)
12/31/2000 15.56 (0.21) (2.17) (2.38) (0.17) (0.42)
12/31/1999 10.75 (0.16) 5.02 4.86 (0.05) -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND I
Class A
6/30/2004 $ 11.15 2.20 % $ 530,432 25.94% 0.18 % (0.16)%
12/31/2003 10.91 17.75 402,322 2.24 0.20 1.79
12/31/2002 9.48 (8.48) 227,833 31.43 0.20 1.75
12/31/2001 10.54 (4.78) 187,495 49.46 0.20 2.42
12/31/2000 11.83 (1.55) 139,701 25.30 0.20 3.53
12/31/1999 12.45 19.52 72,998 12.96 0.20 3.97
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 100 FUND
Class A
6/30/2004 10.80 2.66 42,783 11.92 0.18 (0.15)
12/31/2003 10.52 22.08 36,421 6.64 0.20 0.90
01/15(a)-12/31/02 8.66 (13.40) 14,213 26.04 0.20 1.87
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 50 FUND
Class A
6/30/2004 10.66 3.90 11,095 37.41 0.19 (0.19)
12/31/2003 10.26 30.93 7,629 11.61 0.20 0.65
01/15(a)-12/31/02 7.84 (21.60) 1,969 46.56 0.20 0.25
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/S&P CORE INDEX 75 FUND
Class A
6/30/2004 10.74 3.37 17,030 20.90 0.18 (0.18)
12/31/2003 10.39 26.48 10,017 22.32 0.20 0.76
01/15(a)-12/31/02 8.25 (17.50) 4,460 18.99 0.20 1.30
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 9.97 4.40 62,068 32.85 0.18 (0.18)
12/31/2003 9.55 29.94 51,344 9.22 0.20 0.09
12/31/2002 7.35 (23.21) 31,372 41.22 0.20 0.00
12/31/2001 9.58 (13.69) 41,038 75.09 0.20 0.06
12/31/2000 12.59 (15.27) 40,471 28.62 0.20 0.56
12/31/1999 15.56 45.25 18,680 41.60 0.20 (0.09)
- ---------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/S&P CONSERVATIVE GROWTH FUND I
Class A
6/30/2004 n/a % n/a %
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/S&P CORE INDEX 100 FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
01/15(a)-12/31/02 n/a n/a
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/S&P CORE INDEX 50 FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
01/15(a)-12/31/02 n/a n/a
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/S&P CORE INDEX 75 FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
01/15(a)-12/31/02 n/a n/a
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 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.
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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
Class A
6/30/2004 $ 9.65 $ (0.01) $ 0.41 $ 0.40 $ - $ -
12/31/2003 7.45 0.01 2.19 2.20 - -
12/31/2002 9.73 - (2.27) (2.27) (0.01) -
12/31/2001 12.59 (0.06) (1.73) (1.79) (0.26) (0.81)
12/31/2000 15.21 (0.18) (1.96) (2.14) (0.15) (0.33)
12/31/1999 10.64 (0.18) 4.77 4.59 (0.02) -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND I
Class A
6/30/2004 11.07 (0.01) 0.34 0.33 - -
12/31/2003 9.25 0.08 1.93 2.01 (0.19) -
12/31/2002 10.70 0.08 (1.41) (1.33) (0.12) -
12/31/2001 12.37 0.01 (0.92) (0.91) (0.32) (0.44)
12/31/2000 13.42 0.03 (0.62) (0.59) (0.21) (0.25)
12/31/1999 10.63 (0.11) 2.95 2.84 (0.05) -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 9.95 (0.01) 0.46 0.45 - -
12/31/2003 7.62 - 2.33 2.33 - -
12/31/2002 9.93 - (2.30) (2.30) (0.01) -
12/31/2001 13.08 (0.04) (1.76) (1.80) (0.28) (1.07)
12/31/2000 16.61 (0.29) (2.56) (2.85) (0.18) (0.50)
12/31/1999 11.19 (0.21) 5.68 5.47 (0.04) (0.01)
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS BALANCED FUND
Class A
6/30/2004 10.96 0.19 0.21 0.40 - -
12/31/2003 9.55 0.15 1.48 1.63 (0.22) -
12/31/2002 10.30 0.02 (0.77) (0.75) - -
12/31/2001 10.58 0.21 (0.26) (0.05) (0.19) (0.04)
12/31/2000 10.11 0.36 0.46 0.82 (0.35) -
12/31/1999 10.38 0.28 (0.27) 0.01 (0.28) -
Class B
03/08(a)-06/30/04 11.54 0.05 (0.22) (0.17) - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND I
Class A
6/30/2004 $ 10.05 4.15 % $ 222,400 30.98% 0.18 % (0.18)%
12/31/2003 9.65 29.55 175,618 7.74 0.20 0.18
12/31/2002 7.45 (23.34) 105,130 36.47 0.20 0.02
12/31/2001 9.73 (14.31) 145,413 76.59 0.20 0.09
12/31/2000 12.59 (14.06) 135,523 28.83 0.20 0.52
12/31/1999 15.21 43.19 60,879 34.62 0.20 (0.01)
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND I
Class A
6/30/2004 11.40 2.98 831,973 27.56 0.17 (0.15)
12/31/2003 11.07 21.73 609,887 3.33 0.20 1.40
12/31/2002 9.25 (12.40) 331,543 32.67 0.20 1.26
12/31/2001 10.70 (7.34) 298,741 59.64 0.20 1.66
12/31/2000 12.37 (4.35) 222,052 19.23 0.20 2.61
12/31/1999 13.42 26.74 110,608 17.15 0.20 2.99
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 10.40 4.52 72,706 28.91 0.18 (0.18)
12/31/2003 9.95 30.58 60,193 13.41 0.20 0.03
12/31/2002 7.62 (23.20) 42,128 39.74 0.20 (0.04)
12/31/2001 9.93 (13.73) 58,358 92.20 0.20 0.07
12/31/2000 13.08 (17.16) 57,841 29.95 0.20 0.54
12/31/1999 16.61 48.86 23,588 141.89 0.20 (0.13)
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS BALANCED FUND
Class A
6/30/2004 11.36 3.65 13,079 14.96 0.90 1.47
12/31/2003 10.96 17.05 18,640 24.48 0.90 1.64
12/31/2002 9.55 (7.28) 15,453 29.32 0.90 2.05
12/31/2001 10.30 (0.52) 18,097 46.03 0.93 (e) 2.46
12/31/2000 10.58 8.20 12,597 26.67 0.90 3.91
12/31/1999 10.11 0.09 7,517 59.53 0.90 3.54
Class B
03/08(a)-06/30/04 11.37 (1.47) 1 14.96 0.70 1.47
- ----------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/S&P EQUITY GROWTH FUND I
Class A
6/30/2004 n/a % n/a %
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/S&P MODERATE GROWTH FUND I
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/S&P VERY AGGRESSIVE GROWTH FUND I
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/SALOMON BROTHERS BALANCED FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 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.
(e) The ratio of net operating expenses was 0.90%
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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 HIGH YIELD BOND FUND
Class A
6/30/2004 $ 8.03 $ 0.44 $ (0.39) $ 0.05 $ - $ -
12/31/2003 6.98 0.75 1.05 1.80 (0.75) -
12/31/2002 7.42 0.87 (0.44) 0.43 (0.87) -
12/31/2001 7.67 0.65 (0.24) 0.41 (0.66) -
12/31/2000 8.71 0.64 (1.05) (0.41) (0.63) -
12/31/1999 9.59 0.71 (0.88) (0.17) (0.71) -
Class B
03/08(a)-06/30/04 8.15 0.20 (0.27) (0.07) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
6/30/2004 11.40 0.27 (0.28) (0.01) - -
12/31/2003 10.63 0.49 0.95 1.44 (0.52) (0.15)
12/31/2002 10.41 0.65 0.22 0.87 (0.65) -
12/31/2001 10.37 0.68 0.01 0.69 (0.65) -
12/31/2000 10.25 0.68 0.06 0.74 (0.62) -
12/31/1999 10.67 0.62 (0.42) 0.20 (0.62) -
Class B
03/08(a)-06/30/04 11.60 0.22 (0.42) (0.20) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
6/30/2004 11.47 0.24 (0.26) (0.02) - -
12/31/2003 11.89 0.45 (0.31) 0.14 (0.42) (0.14)
12/31/2002 11.17 0.42 0.86 1.28 (0.42) (0.14)
12/31/2001 10.96 0.50 0.25 0.75 (0.49) (0.05)
12/31/2000 10.36 0.60 0.59 1.19 (0.59) -
12/31/1999 11.15 0.51 (0.79) (0.28) (0.51) -
Class B
03/08(a)-06/30/04 11.75 0.13 (0.43) (0.30) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
6/30/2004 17.43 0.05 0.51 0.56 - -
12/31/2003 14.06 0.13 3.24 3.37 - -
12/31/2002 19.48 0.10 (5.38) (5.28) (0.14) -
12/31/2001 25.97 0.08 (6.19) (6.11) (0.35) (0.03)
12/31/2000 35.69 0.07 (6.55) (6.48) (0.59) (2.65)
12/31/1999 22.11 - 14.27 14.27 - (0.69)
Class B
03/08(a)-06/30/04 18.37 0.06 (0.43) (0.37) - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
6/30/2004 $ 8.08 0.62 % $ 13,243 18.69% 0.90 % 7.77 %
12/31/2003 8.03 25.79 19,464 71.74 0.90 8.47
12/31/2002 6.98 5.76 17,079 77.04 0.90 8.88
12/31/2001 7.42 5.33 20,220 48.73 0.90 8.54
12/31/2000 7.67 (4.67) 16,437 35.52 0.90 9.17
12/31/1999 8.71 (1.76) 10,690 31.39 0.90 8.74
Class B
03/08(a)-06/30/04 8.08 (0.86) 1 18.69 0.70 8.17
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
6/30/2004 11.39 (0.09) 236,150 37.97 0.94 5.14
12/31/2003 11.40 13.53 197,923 61.03 0.95 5.03
12/31/2002 10.63 8.38 125,881 83.34 0.95 6.22
12/31/2001 10.41 6.71 123,310 86.36 0.98 (e) 6.46
12/31/2000 10.37 7.28 116,654 93.13 0.95 7.42
12/31/1999 10.25 1.87 81,061 98.01 0.95 7.22
Class B
03/08(a)-06/30/04 11.40 (1.72) 1 37.97 0.74 4.95
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
6/30/2004 11.45 (0.17) 215,326 6.52 0.79 3.85
12/31/2003 11.47 1.18 257,274 43.56 0.78 3.26
12/31/2002 11.89 11.47 304,265 35.72 0.78 4.26
12/31/2001 11.17 6.92 226,275 69.10 0.82 (f) 5.09
12/31/2000 10.96 11.50 138,122 49.09 0.80 6.06
12/31/1999 10.36 (2.50) 106,329 122.72 0.80 5.45
Class B
03/08(a)-06/30/04 11.45 (2.55) 1 6.52 0.59 3.89
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
6/30/2004 17.99 3.21 196,428 167.45 1.12 0.54
12/31/2003 17.43 23.97 197,288 120.39 1.13 0.70
12/31/2002 14.06 (27.12) 206,070 65.19 1.07 0.45
12/31/2001 19.48 (23.50) 389,796 93.37 1.05 0.42
12/31/2000 25.97 (18.28) 665,187 65.56 1.03 0.03
12/31/1999 35.69 64.58 597,241 61.60 1.06 0.01
Class B
03/08(a)-06/30/04 18.00 (2.01) 1 167.45 0.92 1.25
- ---------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
6/30/2004 n/a % n/a %
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/SALOMON BROTHERS U.S GOVERNMENT & QUALITY BOND FUND
Class A
6/30/2004 n/a n/a
12/31/2003 n/a n/a
12/31/2002 n/a n/a
12/31/2001 n/a n/a
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 n/a n/a
- -----------------------------------------------------------
- -----------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
6/30/2004 1.19 0.47
12/31/2003 1.18 0.65
12/31/2002 1.10 0.42
12/31/2001 1.06 0.41
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.99 1.18
- -----------------------------------------------------------
- --------------------
(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 0.95%
(f) The ratio of net operating expenses was 0.79%
See Notes to the Financial Statements.
JNL Series Trust (Unaudited)
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/SELECT LARGE CAP GROWTH FUND
Class A
6/30/2004 $ 17.65 $ (0.04) $ 1.59 $ 1.55 $ - $ -
12/31/2003 13.03 (0.04) 4.66 4.62 - -
12/31/2002 18.55 (0.04) (5.48) (5.52) - -
12/31/2001 26.65 - (8.04) (8.04) (0.01) (0.05)
12/31/2000 39.97 0.16 (8.45) (8.29) (0.51) (4.52)
12/31/1999 22.09 (0.06) 20.87 20.81 - (2.93)
Class B
03/08(a)-06/30/04 18.67 - 0.55 0.55 - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
6/30/2004 16.77 0.01 0.39 0.40 - -
12/31/2003 12.85 0.02 3.90 3.92 - -
12/31/2002 16.78 0.01 (3.92) (3.91) (0.02) -
12/31/2001 18.74 0.02 (1.94) (1.92) - (0.04)
12/31/2000 21.70 - (0.11) (0.11) (0.01) (2.84)
12/31/1999 19.06 0.03 4.12 4.15 (0.03) (1.48)
Class B
03/08(a)-06/30/04 17.44 0.01 (0.27) (0.26) - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
6/30/2004 24.89 (0.07) 1.96 1.89 - -
12/31/2003 18.05 (0.12) 7.08 6.96 - (0.12)
12/31/2002 23.12 (0.15) (4.92) (5.07) - -
12/31/2001 23.47 (0.13) (0.22) (0.35) - -
12/31/2000 23.71 (0.04) 1.67 1.63 - (1.87)
12/31/1999 20.43 (0.05) 4.93 4.88 - (1.60)
Class B
03/08(a)-06/30/04 26.20 (0.02) 0.62 0.60 - -
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
6/30/2004 11.92 0.05 0.52 0.57 - -
12/31/2003 9.22 0.06 2.70 2.76 (0.06) -
12/31/2002 11.11 0.09 (1.96) (1.87) - (0.02)
12/31/2001 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)
Class B
03/08(a)-06/30/04 12.50 0.03 (0.03) - - -
- -------------------------------------------------------------------------------------------------------------------
Supplemental Data
----------------------------------------- Ratio of Net
----------------------------------------- Ratio of Investment
Net Asset Net Assets, Expenses to Income (Loss)
Value, End Total End of Period Portfolio Average Net to Average
Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c)
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
6/30/2004 $ 19.20 8.78 % $ 271,376 102.46% 1.01 % (0.44)%
12/31/2003 17.65 35.46 257,852 78.47 1.04 (0.28)
12/31/2002 13.03 (29.76) 215,884 117.19 1.02 (0.18)
12/31/2001 18.55 (30.18) 436,946 100.02 0.99 0.05
12/31/2000 26.65 (20.97) 744,972 61.65 0.98 0.25
12/31/1999 39.97 94.43 654,546 95.06 1.01 (0.40)
Class B
03/08(a)-06/30/04 19.22 2.95 1 102.46 0.81 (0.31)
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
6/30/2004 17.17 2.39 562,627 17.07 0.92 0.09
12/31/2003 16.77 30.54 474,046 36.37 0.92 0.14
12/31/2002 12.85 (23.33) 316,367 46.16 0.92 0.06
12/31/2001 16.78 (10.23) 474,105 63.38 0.92 0.12
12/31/2000 18.74 (0.34) 411,855 77.19 0.92 0.03
12/31/1999 21.70 21.77 351,338 61.45 0.93 0.16
Class B
03/08(a)-06/30/04 17.18 (1.49) 1 17.07 0.82 0.38
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
6/30/2004 26.78 7.59 491,997 17.98 1.02 (0.63)
12/31/2003 24.89 38.60 379,541 42.89 1.03 (0.60)
12/31/2002 18.05 (21.93) 248,327 42.22 1.03 (0.67)
12/31/2001 23.12 (1.49) 366,028 44.26 1.02 (0.56)
12/31/2000 23.47 7.16 419,796 47.90 1.02 (0.20)
12/31/1999 23.71 24.01 286,502 56.68 1.03 (0.28)
Class B
03/08(a)-06/30/04 26.80 2.29 5 17.98 0.82 (0.42)
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
6/30/2004 12.49 4.78 415,195 26.21 0.99 0.74
12/31/2003 11.92 29.97 404,470 28.06 1.00 1.05
12/31/2002 9.22 (16.84) 220,106 38.21 1.00 0.97
12/31/2001 11.11 0.78 216,408 42.29 1.00 0.93
05/01(a)-12/31/00 11.14 12.54 26,446 44.84 1.00 1.47
Class B
03/08(a)-06/30/04 12.50 0.00 1 26.21 0.79 1.09
- --------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-----------------------------------
-----------------------------------
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average
Period Ended Assets (c) Net Assets (c)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
6/30/2004 1.02 % (0.45)%
12/31/2003 1.08 (0.32)
12/31/2002 1.10 (0.26)
12/31/2001 1.02 0.02
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.82 (0.32)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
6/30/2004 0.93 0.08
12/31/2003 0.95 0.11
12/31/2002 0.94 0.04
12/31/2001 0.92 0.12
12/31/2000 0.92 0.03
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.83 0.37
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
6/30/2004 1.04 (0.65)
12/31/2003 1.04 (0.61)
12/31/2002 1.04 (0.68)
12/31/2001 1.03 (0.57)
12/31/2000 n/a n/a
12/31/1999 n/a n/a
Class B
03/08(a)-06/30/04 0.84 (0.44)
- ----------------------------------------------------------
- ----------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
6/30/2004 1.01 0.72
12/31/2003 1.02 1.03
12/31/2002 1.02 0.95
12/31/2001 1.02 0.91
05/01(a)-12/31/00 1.01 1.46
Class B
03/08(a)-06/30/04 0.81 1.07
- ----------------------------------------------------------
- --------------------
(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.
See Notes to the Financial Statements.
- --------------------------------------------------------------------------------
JNL SERIES TRUST (UNAUDITED)
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 forty-six (46)
separate funds (the "Funds"), each with its own investment objective. JNL/AIM
Large Cap Growth 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/Eagle Core Equity Fund and JNL/Eagle SmallCap Equity Fund, for which Eagle
Asset Management, Inc. serves as the sub-adviser; JNL/FMR Balanced Fund and
JNL/FMR Capital Growth Fund, for which Fidelity Management & Research Co. serves
as the sub-adviser; JNL/JPMorgan International Value Fund, for which JPMorgan
Investment Management Inc. 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/Mellon Capital Management Bond Index Fund, JNL/Mellon
Capital Management Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital
Management International Index Fund, JNL/Mellon Capital Management S&P 400
MidCap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund and
JNL/Mellon Capital Management Small Cap 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/S&P Aggressive Growth Fund I,
JNL/S&P Conservative Growth Fund I, 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 Growth Fund I, JNL/S&P Moderate Growth Fund I, JNL/S&P Very
Aggressive Growth Fund I, (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 High Yield Bond Fund,
JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers U.S.
Government & Quality Bond Fund, for which Salomon Brothers Asset Management Inc.
serves as the sub-adviser; JNL/Select Large Cap Growth Fund and JNL/Select
Global Growth Fund, for which Wellington Management Co., LLP serves as the
sub-adviser; and JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price
Mid-Cap Growth Fund and JNL/T. Rowe Price 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 February 18, 2004, JNL/Curian Enhanced S&P 500 Stock Index Fund,
JNL/Curian S&P 400 MidCap Index Fund, JNL/Curian S&P 500 Index Fund, and
JNL/Curian Small Cap Index Fund became the JNL/Mellon Capital Management
Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management S&P 400 MidCap
Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund, and JNL/Mellon
Capital Management Small Cap Index Fund, respectively, and are managed by Mellon
Capital Management Corporation. For the period from December 15, 2003 to
February 18, 2004, these funds were managed by Curian CapitalSM LLC.
Effective May 1, 2004, JNL/Janus Balanced Fund and JNL/Janus Capital Growth
Fund, became JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund,
respectively, and are managed by Fidelity Management & Research Company;
JNL/Janus Aggressive Growth Fund and JNL/Janus Global Equities Fund became
JNL/Select Large Cap Growth Fund and JNL/Select Global Growth Fund,
respectively, and are managed by Wellington Management Company LLP. Prior to May
1, 2004, these funds were managed by Janus Capital Management LLC.
Effective April 30, 2004, the following acquisitions occurred: JNL/AIM Large Cap
Growth Fund acquired JNL/AIM Premier Equity II Fund; JNL/Eagle Core Equity Fund
acquired JNL/Janus Growth & Income Fund; JNL/S&P Aggressive Growth Fund I
acquired JNL/S&P Aggressive Growth Fund and JNL/S&P Aggressive Growth Fund II;
JNL/S&P Conservative Growth Fund I acquired JNL/S&P Conservative Growth Fund and
JNL/ S&P Conservative Growth Fund II; JNL/S&P Equity Aggressive Growth Fund I
acquired JNL/S&P Equity Aggressive Growth Fund II; JNL/S&P Equity Growth Fund I
acquired JNL/S&P Equity Growth Fund II; JNL/S&P Moderate Growth Fund I acquired
JNL/S&P Moderate Growth Fund and JNL/S&P Moderate Growth Fund II; JNL/S&P Very
Aggressive Growth Fund I acquired JNL/S&P Very Aggressive Growth Fund II . See
Note 7 for additional information regarding fund acquisitions.
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
and variable life 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 Delaware Business Trust Collateral Fund (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.
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 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. The following is a schedule of
the fees each Fund is currently obligated to pay JNAM L.L.C.
$0 $50 $100 $150 $200 $250 $300 $350 $500 $750
TO TO TO TO TO TO TO T0 TO TO OVER
(M - MILLIONS; B - BILLIONS) $50M $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 (a) .75% .75% .75% .75% .75% .75% .70% .70% .70% .70% .70%
JNL/AIM Small Cap Growth Fund .85 .85 .85 .85 .85 .85 .80 .80 .80 .80 .80
JNL/Alger Growth Fund .775 .775 .775 .775 .775 .775 .75 .75 .70 .70 .70
JNL/Alliance Capital Growth Fund .575 .575 .575 .575 .575 .50 .50 .50 .50 .50 .50
JNL/Eagle Core Equity Fund .70 .65 .65 .65 .65 .65 .55 .55 .55 .55 .55
JNL/Eagle SmallCap Equity Fund .75 .75 .75 .70 .70 .70 .70 .70 .65 .65 .65
JNL/FMR Balanced Fund (b) .70 .70 .70 .70 .70 .70 .70 .70 .65 .60 .60
JNL/FMR Capital Growth Fund (c) .70 .70 .70 .70 .70 .65 .65 .65 .65 .60 .55
JNL/JPMorgan International Value
Fund .775 .75 .75 .75 .70 .70 .70 .65 .65 .65 .65
JNL/Lazard Mid Cap Value Fund .775 .775 .775 .725 .725 .725 .70 .70 .70 .70 .70
JNL/Lazard Small Cap Value Fund .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 .25 .25 .25
JNL/Mellon Enhanced S&P 500
Stock Index Fund (d) .50 .45 .45 .45 .45 .45 .45 .45 .45 .45 .45
JNL/Mellon Capital Management
International Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25
JNL/Mellon S&P 400 MidCap Index
Fund .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24
JNL/Mellon S&P 500 Index Fund .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24
JNL/Mellon Small Cap Index Fund .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24
JNL/Oppenheimer Global Growth Fund .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60
JNL/Oppenheimer Growth Fund .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
JNL/PPM America Balanced Fund .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425
JNL/PPM America High Yield Bond
Fund .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425
JNL/PPM America Money Market Fund .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25
JNL/PPM America Value Fund .55 .55 .55 .55 .55 .55 .50 .50 .45 .45 .45
JNL/Putnam Equity Fund (e) .675 .675 .675 .60 .60 .60 .575 .575 .575 .575 .575
JNL/Putnam International Equity
Fund (f) .80 .75 .75 .75 .75 .75 .75 .75 .70 .70 .70
JNL/Putnam Midcap Growth Fund .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .70
JNL/Putnam Value Equity Fund (e) .675 .675 .675 .60 .60 .60 .575 .575 .575 .575 .575
JNL/S&P Funds .13 .13 .13 .13 .13 .13 .13 .13 .08 .08 .08
JNL/Salomon Brothers Balanced Fund .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50
JNL/Salomon Brothers High Yield
Bond Fund .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50
JNL/Salomon Brothers Strategic
Bond Fund .65 .65 .65 .60 .60 .60 .60 .60 .55 .55 .55
JNL/Salomon Brothers U.S.
Government & Quality Bond Fund .50 .50 .50 .45 .45 .45 .40 .40 .35 .35 .35
JNL/Select Global Growth Fund (g) .75 .75 .75 .70 .70 .70 .70 .70 .65 .60 .60
JNL/Select Large Cap Growth Fund (c) .70 .70 .70 .65 .65 .65 .65 .65 .60 .55 .55
JNL/T.Rowe Price Established
Growth Fund .65 .65 .65 .60 .60 .60 .60 .60 .60 .60 .60
JNL/T.Rowe Price Mid-Cap Growth
Fund .75 .75 .75 .70 .70 .70 .70 .70 .70 .70 .70
JNL/T.Rowe Price Value Fund .70 .70 .70 .70 .70 .70 .65 .65 .65 .65 .65
(a) Prior to May 1, 2004, the fees were 0.80% on assets up to $300 million and
0.75% over $300 million.
(b) Prior to May 1, 2004, the fees were 0.75% on assets up to $250 million,
0.70% between $250 and $750, and 0.65% between $750 million and $1billion
and 0.60% over $1.5 billion.
(c) Prior to May 1, 2004, the fees were 0.75% on assets up to $150 million,
0.70% between $150 and $250, 0.65% between $250 million and $750 million,
0.60% between $750 and $1.5 billion and 0.55% over $1.5 billion.
(d) Prior to May 1, 2004, the fees were 0.57% on assets up to $25 million and
0.52% over $25 million.
(e) Prior to May 1, 2004, the fees were 0.70% on assets up to $150 million,
0.65% between $150 million and $300 million and 0.60% over $300.
(f) Prior to May 1, 2004, the fees were 0.90% on assets up to $50 million,
0.85% between $50 million and $150 million, 0.80% between $150 and $300,
0.75% between $300 million and $$500 million and 0.70% over $500 million.
(g) Prior to May 1, 2004, the fees were 0.80% on assets up to $150 million,
0.75% between $150 million and $300 million and 0.70% over $300 million.
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/JPMorgan International Value Fund, the JNL/Mellon Capital Management
International Index Fund, the JNL/Oppenheimer Global Growth Fund, the JNL/Putnam
International Equity Fund, and the JNL/Select Global Growth Fund pay JNAM L.L.C.
an annual Administration Fee of 0.10% of the average daily net assets of the
Funds. The JNL/JPMorgan International Value Fund, the JNL/Mellon Capital
Management International Index Fund, the JNL/Oppenheimer Global Growth Fund, the
JNL/Putnam International Equity Fund, and the JNL/Select Global Growth 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, the fees and expenses of the disinterested Trustees of
independent legal counsel to the disinterested Trustees and a majority of the
cost associated with the Chief Compliance Officer.
TRANSFER AGENCY SERVICES - The Trust has an agreement with JNAM L.L.C. whereby
JNAM L.L.C. provides transfer agency services for the funds.
BROKERAGE FEES - During the period ended June 30, 2004, JNL/Alger Growth Fund,
JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund paid $364, $9, 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.
INVESTMENTS IN AFFILIATES - During the six months ended June 30, 2004, certain
funds invested in a money market fund for temporary purposes, which were managed
by an affiliate to the subadviser. The total market value and cost of such
affiliated investments is disclosed separately in the Statement of Assets and
Liabilities, and the associated income is disclosed separately in the Statement
of Operations.
NOTE 4. PURCHASES AND SALES OF SECURITIES
Information with respect to purchases and proceeds from sales of long-term
securities for the period ended June 30, 2004 is as follows (in thousands):
INVESTMENT SECURITIES U.S. GOVERNMENT OBLIGATIONS
PURCHASES SALES PURCHASES SALES
---------------- -------------- ----------------- ----------------
JNL/AIM Large Cap Growth Fund $ 164,778 84,328 $ - $ -
JNL/AIM Small Cap Growth Fund 18,072 15,318 - -
JNL/Alger Growth Fund 260,680 235,768 - -
JNL/Alliance Capital Growth Fund 45,969 107,543 - -
JNL/Eagle Core Equity Fund 243,998 202,474 - -
JNL/Eagle SmallCap Equity Fund 58,963 32,225 - -
JNL/FMR Balanced Fund 82,250 110,421 36,559 21,183
JNL/FMR Capital Growth Fund 224,887 234,448 - -
JNL/JPMorgan International Value Fund 45,606 19,934 - -
INVESTMENT SECURITIES U.S. GOVERNMENT OBLIGATIONS
PURCHASES SALES PURCHASES SALES
---------------- -------------- ----------------- ----------------
JNL/Lazard Mid Cap Value Fund $ 87,973 85,849 $ - $ -
JNL/Lazard Small Cap Value Fund 99,059 93,945 - -
JNL/Mellon Capital Management Bond Index Fund 12,082 2,823 75,436 34,029
JNL/Mellon Capital Management Enhanced S&P 500 121,549 53,398 - -
Stock Index Fund
JNL/Mellon Capital Management International Index 123,950 3,438 - -
Fund
JNL/Mellon Capital Management S&P 400 MidCap Index 59,219 8,395 - -
Fund
JNL/Mellon Capital Management S&P 500 Index Fund 84,181 6,690 - -
JNL/Mellon Capital Management Small Cap Index Fund 59,302 17,090 - -
JNL/Oppenheimer Global Growth Fund 70,275 11,693 - -
JNL/Oppenheimer Growth Fund 17,105 23,163 - -
JNL/PIMCO Total Return Bond Fund 114,521 68,105 39,795 48,712
JNL/PPM America Balanced Fund 48,973 45,449 121,180 103,518
JNL/PPM America High Yield Bond Fund 30,274 35,837 - -
JNL/PPM America Value Fund 92,691 8,994 - -
JNL/Putnam Equity Fund 59,796 73,772 - -
JNL/Putnam International Equity Fund 38,872 46,821 - -
JNL/Putnam Midcap Growth Fund 16,252 15,656 - -
JNL/Putnam Value Equity Fund 59,207 148,480 - -
JNL/S&P Aggressive Growth Fund I 107,319 60,976 - -
JNL/S&P Conservative Growth Fund I 238,623 122,084 - -
JNL/S&P Core Index 100 Fund 10,094 4,709 - -
JNL/S&P Core Index 50 Fund 6,634 3,523 - -
JNL/S&P Core Index 75 Fund 9,376 2,807 - -
JNL/S&P Equity Aggressive Growth Fund I 27,461 18,712 - -
JNL/S&P Equity Growth Fund I 101,162 62,344 - -
JNL/S&P Moderate Growth Fund I 398,484 200,038 - -
JNL/S&P Very Aggressive Growth Fund I 28,604 19,175 - -
JNL/Salomon Brothers Balanced Fund 13,188 18,783 835 1,405
JNL/Salomon Brothers High Yield Bond Fund 3,246 8,587 - -
JNL/Salomon Brothers Strategic Bond Fund 456,442 437,130 25,491 4,911
JNL/Salomon Brothers U.S. Government & Quality Bond Fund 647,598 690,040 7,613 13,061
JNL/Select Global Growth Fund 315,513 323,841
JNL/Select Large Cap Growth Fund 263,526 276,498
JNL/T.Rowe Price Established Growth Fund 164,329 86,904 - -
JNL/T.Rowe Price Mid-Cap Growth Fund 152,013 74,483 - -
JNL/T.Rowe Price Value Fund 102,203 108,439 - -
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.
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 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/Eagle Core Equity Fund 41,816 2009-2011
JNL/Eagle SmallCap Equity Fund 19,443 2009-2011
JNL/FMR Balanced Fund 12,339 2008-2011
JNL/FMR Capital Growth Fund 371,570 2009-2011
YEAR(S) OF
AMOUNT EXPIRATION
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/JPMorgan International $ 2,827 2009-2010
Value Fund
JNL/Lazard Mid Cap Value Fund 782 2010
JNL/Lazard Small Cap Value Fund 2,393 2010
JNL/Mellon Capital Management
Enhanced S&P 500 Stock Index
Fund 3,629 2010
JNL/Mellon Capital Management
International Index Fund
International Index Fund 827 2010-2011
JNL/Mellon Capital Management
S&P 400 MidCap Index Fund 250 2010-2011
YEAR(S) OF
AMOUNT EXPIRATION
- ------------------------------------------------------------
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 I 17,885 2009-2010
JNL/S&P Conservative Growth
Fund I 6,847 2010
YEAR(S) OF
AMOUNT EXPIRATION
- ------------------------------------------------------------
- ------------------------------------------------------------
JNL/S&P Equity Aggressive
Growth Fund I $ 9,304 2009-2010
JNL/S&P Equity Growth Fund I 26,964 2009-2010
JNL/S&P Moderate Growth Fund I 18,135 2009-2010
JNL/S&P Very Aggressive Growth
Fund I 14,798 2009-2010
JNL/Salomon Brothers High Yield
Bond Fund 2,332 2008-2010
JNL/Select Global Growth Fund 182,435 2009-2011
JNL/Select Large Cap Growth Fund 360,968 2009-2011
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/FMR Balanced Fund 2
JNL/Mellon Capital Management Bond Index
Fund 303
JNL/Mellon Capital Management
International Index Fund 2
JNL/Putnam Equity Fund 224
JNL/Putnam International Equity Fund 187
AMOUNT
- -------------------------------------------------------------
- -------------------------------------------------------------
JNL/Salomon Brothers Strategic Bond Fund $ 965
JNL/Salomon Brothers U.S. Government &
Quality
Bond Fund 269
JNL/Select Global Growth Fund 1,430
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). To the extent there are differences between book tax-basis and
federal tax-basis which are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis treatment;
temporary differences do not require reclassification. Permanent differences may
include but are not limited to: excise taxes paid, expired capital loss
carryforwards, foreign currency reclassifications, market discount or paydown
reclassifications, reclassifications on the sale of PFIC or REIT securities, net
operating losses and distribution adjustments. 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/Eagle Core Equity Fund (4) 4 -
JNL/Eagle SmallCap Equity Fund 674 - (674)
JNL/FMR Balanced Fund 8 (8) -
JNL/FMR Capital Growth Fund 743 - (743)
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 Enhanced S&P 500
Stock Index Fund (1) - 1
JNL/Mellon Capital Management International Index Fund 399 (399) -
JNL/Mellon Capital Management S&P 500 Index Fund (2) 2 -
JNL/Mellon Capital Management Small Cap Index Fund (8) 8 -
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 Strategic Bond Fund 59 (59) -
NET INCREASE (DECREASE)
-------------------------------------------------------
ACCUMULATED ACCUMULATED
UNDISTRIBUTED NET
NET INVESTMENT REALIZED
INCOME GAIN/LOSS PAID IN CAPITAL
---------------- --------------- ----------------
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund $ (68) $ 68 $ -
JNL/Select Global Growth Fund (1,732) 2,706 (974)
JNL/Select Large Cap Growth Fund 488 951 (1,439)
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 June 30, 2004, 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.
NET
GROSS GROSS UNREALIZED
COST OF UNREALIZED UNREALIZED APPRECIATION/
INVESTMENTS APPRECIATION DEPRECIATION DEPRECIATION
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 139,407 $ 11,959 $ (1,561) 10,398
JNL/AIM Small Cap Growth Fund 41,522 8,264 (2,336) 5,928
JNL/Alger Growth Fund 252,752 30,464 (7,805) 22,659
JNL/Alliance Capital Growth Fund 65,971 6,669 (3,974) 2,695
JNL/Eagle Core Equity Fund 305,680 15,018 (11,563) 3,455
JNL/Eagle SmallCap Equity Fund 115,082 33,046 (6,283) 26,763
JNL/FMR Balanced Fund 93,724 3,704 (1,512) 2,192
JNL/FMR Capital Growth Fund 151,845 8,660 (6,138) 2,522
JNL/JPMorgan International Value Fund 49,850 3,022 (1,126) 1,896
JNL/Lazard Mid Cap Value Fund 149,963 19,053 (2,669) 16,384
JNL/Lazard Small Cap Value Fund 155,015 21,476 (5,306) 16,170
JNL/Mellon Capital Management Bond Index Fund 126,137 556 (1,808) (1,252)
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 167,830 9,214 (5,627) 3,587
JNL/Mellon Capital Management International
Index Fund 200,560 22,435 (5,339) 17,096
JNL/Mellon Capital Management S&P 400 MidCap
Index Fund 126,380 18,548 (4,760) 13,788
JNL/Mellon Capital Management S&P 500 Index
Fund 258,228 31,407 (6,581) 24,826
JNL/Mellon Capital Management Small Cap Index
Fund 110,900 16,672 (5,788) 10,884
JNL/Oppenheimer Global Growth Fund 151,181 24,694 (6,276) 18,418
JNL/Oppenheimer Growth Fund 24,807 1,551 (838) 714
JNL/PIMCO Total Return Bond Fund 416,643 2,476 (1,748) 728
JNL/PPM America Balanced Fund 289,714 40,429 (7,047) 33,382
JNL/PPM America Money Market Fund 187,868 - - -
JNL/PPM America High Yield Bond Fund 249,133 12,154 (3,662) 8,492
JNL/PPM America Value Fund 131,437 14,564 (2,075) 12,489
JNL/Putnam Equity Fund 144,939 14,877 (6,418) 8,459
JNL/Putnam International Equity Fund 82,242 11,291 (4,634) 6,657
JNL/Putnam Midcap Growth Fund 27,908 4,581 (1,326) 3,255
JNL/Putnam Value Equity Fund 201,849 24,690 (7,356) 17,334
JNL/S&P Aggressive Growth Fund I 217,370 17,252 (17,130) 122
JNL/S&P Conservative Growth Fund I 514,254 33,297 (17,417) 15,880
JNL/S&P Core Index 100 Fund 38,250 4,897 (432) 4,465
JNL/S&P Core Index 50 Fund 10,476 866 (246) 620
JNL/S&P Core Index 75 Fund 15,860 1,381 (219) 1,162
JNL/S&P Equity Aggressive Growth Fund I 66,126 6,292 (10,500) (4,208)
JNL/S&P Equity Growth Fund I 239,839 21,623 (39,170) (17,547)
JNL/S&P Moderate Growth Fund I 811,565 59,529 (38,632) 20,897
JNL/S&P Very Aggressive Growth Fund I 80,808 7,645 (15,994) (8,349)
JNL/Salomon Brothers Balanced Fund 13,917 1,279 (782) 497
JNL/Salomon Brothers High Yield Bond Fund 14,633 757 (1,394) (637)
JNL/Salomon Brothers Strategic Bond Fund 305,868 4,596 (6,357) (1,761)
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund 305,441 2,296 (2,378) (82)
JNL/Select Global Growth Fund 175,849 14,666 (2,259) 12,407
JNL/Select Large Cap Growth Fund 254,706 25,040 (8,778) 16,262
T. Rowe Price/JNL Established Growth Fund 504,250 79,536 (23,497) 56,039
T. Rowe Price/JNL Mid-Cap Growth Fund 398,534 111,429 (18,884) 92,545
T. Rowe Price/JNL Value Fund 371,627 59,278 (13,858) 45,420
No distributions were paid for the period ending June 30, 2004. 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/Mellon Capital Management
Enhanced S&P 500 Stock Index Fund $ 236 $ -
JNL/Mellon Capital Management S&P
400 MidCap Index Fund 230 -
JNL/Mellon Capital Management S&P
500 Index Fund 1,511 588
JNL/Mellon Capital Management
Small Cap Index Fund 269 498
JNL/Eagle Core Equity Fund 1,494 -
JNL/FMR Balanced Fund 1,480 -
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 I 1,956 -
JNL/S&P Conservative Growth Fund I 8,874 -
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 Growth Fund I 20 -
JNL/S&P Moderate Growth Fund I 9,969 -
JNL/Salomon Brothers Balanced Fund 359 -
JNL/Salomon Brothers High Yield Bond Fund 1,671 -
JNL/Salomon Brothers Strategic Bond Fund 9,699 1,122
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 -
NOTE 7. FUND ACQUISITIONS
On April 30, 2004, the following acquisitions were accomplished by a tax-free or
taxable exchange of shares (in thousands) pursuant to a plan of reorganization
approved by the Board of Trustees on January 29, 2004.
UNREALIZED
SHARES APPRECIATION /
SHARES OF OUTSTANDING (DEPRECIATION)
ACQUIRING OF ACQUIRED OF ACQUIRED
FUND MERGER FUND ON FUND ON
ISSUED IN TAX ACQUISITION ACQUISITION
ACQUIRING FUND EXCHANGE STATUS ACQUIRED FUND DATE DATE
- ------------------------------------ ----------- -- -------- --------------------------------- ------------- -- ----------------
- ------------------------------------ ----------- -- -------- --------------------------------- ------------- -- ----------------
JNL/AIM Large Cap Growth Fund 1,111 Taxable JNL/AIM Premier Equity II Fund 1,249 $ (262)
JNL/Eagle Core Equity Fund 973 Taxable JNL/Janus Growth & Income Fund 1,946 (6,451)
JNL/S&P Aggressive Growth Fund I 1,191 Tax-free JNL/S&P Aggressive Growth Fund 1,728 (8,075)
JNL/S&P Aggressive Growth Fund I 361 Tax-free JNL/S&P Aggressive Growth Fund II 443 (2,383)
JNL/S&P Conservative Growth Fund I 1,432 Tax-free JNL/S&P Conservative Growth Fund 1,766 (2,427)
JNL/S&P Conservative Growth Fund I 1,353 Tax-free JNL/S&P Conservative Growth Fund II 1,580 (2,904)
JNL/S&P Equity Aggressive Growth Fund I 195 Tax-free JNL/S&P Equity Aggressive Growth Fund II 208 (1,515)
JNL/S&P Equity Growth Fund I 734 Tax-free JNL/S&P Equity Growth Fund II 844 (4,805)
JNL/S&P Moderate Growth Fund I 2,675 Tax-free JNL/S&P Moderate Growth Fund 3,655 (8,633)
JNL/S&P Moderate Growth Fund I 1,736 Tax-free JNL/S&P Moderate Growth Fund II 2,041 (5,061)
JNL/S&P Very Aggressive Growth Fund I 214 Tax-free JNL/S&P Very Aggressive Growth Fund II 235 (1,452)
The aggregate net assets (in thousands) of the acquiring and acquired funds
immediately before the acquisition were as follows:
NET
ACQUIRING FUND NET ASSETS ACQUIRED FUND ASSETS
- ----------------------------------- ---------- ------------ ---- ------------------------------------ -------------- ----------
- ----------------------------------- ---------- ------------ ---- ------------------------------------ -------------- ----------
JNL/AIM Large Cap Growth Fund $ 122,190 JNL/AIM Premier Equity II Fund $ 11,871
JNL/Eagle Core Equity Fund 278,588 JNL/Janus Growth & Income Fund 13,508
JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund 12,645
JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund II 3,833
JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund 15,985
JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund II 15,102
JNL/S&P Equity Aggressive Growth Fund I 55,884 JNL/S&P Equity Aggressive Growth Fund II 1,869
JNL/S&P Equity Growth Fund I 199,219 JNL/S&P Equity Growth Fund II 7,117
JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund 29,690
JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund II 19,273
JNL/S&P Very Aggressive Growth Fund I 65,959 JNL/S&P Very Aggressive Growth Fund II 2,146
TRUSTEES AND OFFICERS OF JNL SERIES TRUST
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
NUMBER OF
CURRENT PORTFOLIOS IN OTHER
POSITION LENGTH PRINCIPAL THE FUND COMPLEX TRUSTEESHIPS
TRUSTEE/OFFICER (AGE) WITH THE OF TIME OCCUPATION OVERSEEN BY THE HELD BY
& ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE THE TRUSTEE
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
INTERESTED TRUSTEE
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
Robert A. Fritts* (55) Trustee 8/97 to Senior Vice President (9/03 65 None
1 Corporate Way present to present) and Controller of
Lansing, MI 48951 Jackson National Life
President 12/02 to Insurance Company (9/82 to
and Chief present present); Vice President and
Executive Controller of Jackson
Officer 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 present Sheriff, Oakland County, 65 None
1 Corporate Way Michigan (1/99 to present)
Lansing, MI 48951 Senator - State of Michigan
(1991 to 1999);
Chairman - Financial Services
Committee (1/95 to 1/99)
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
Dominic D'Annunzio (65) Chairman 2/04 to Acting Commissioner of 65 None
1 Corporate Way of the present Insurance for the State of
Lansing, MI 48951 Board Michigan (1/90 to 5/90) (8/97
to 5/98)
Trustee 2/02 to
present
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
Michelle Engler (45) Trustee 12/03 to present Attorney (1983 to present); 65 Director of
1 Corporate Way First Lady of the State of Federal Home Loan
Lansing, MI 48951 Michigan (1990 to 2002); Mortgage
Michigan Community Service Corporation
Commission Chair (1991 to
2000)
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
Joseph Frauenheim (70) Trustee 12/94 to present Consultant (Banking) 65 None
1 Corporate Way
Lansing, MI 48951
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
Richard McLellan (61) Trustee 12/94 to present Member, Dykema Gossett PLLC 65 None
1 Corporate Way (Law Firm)
Lansing, MI 48951
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
NUMBER OF
CURRENT PORTFOLIOS IN OTHER
POSITION LENGTH PRINCIPAL THE FUND COMPLEX TRUSTEESHIPS
TRUSTEE/OFFICER (AGE) WITH THE OF TIME OCCUPATION OVERSEEN BY THE HELD BY
& ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE THE TRUSTEE
- ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------
- --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
OFFICERS
- --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
- --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
Mark D. Nerud (38) Vice 8/97 to Chief Financial Officer Not Applicable Not Applicable
225 West Wacker Drive, President present (11/00 to present) and
Chicago, IL 60606 Managing Board Member of the
Treasurer 12/02 to Adviser (11/00 to 11/03);
and Chief present Vice President, Treasurer,
Financial Chief Financial Officer of
Officer other Investment Companies
advised by the Adviser; Vice
President - Fund Accounting
& Administration of Jackson
National Life Insurance
Company (1/00 to present)
- --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
- --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
Susan S. Rhee (32) Vice 2/04 to Secretary of the Adviser Not Applicable Not Applicable
1 Corporate Way President, present (11/00 to present);
Lansing, MI 48951 Counsel and Assistant Vice President of
Secretary Jackson National Life
Insurance Company (8/03 to
present); Associate General
Counsel of Jackson National
Life Insurance Company (7/01
to present); Senior Attorney
of Jackson National Life
Insurance Company (1/00 to
7/01); Goldman, Sachs & Co.
(10/99 to 12/99); Van Eck
Associates Corporation (9/97
to 10/99)
- --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
The Statement of Additional Information includes additional information about
Fund Trustees and may be obtained at no charge by calling 1-800-766-4683
(Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or
1-800-777-7779 (for contracts purchased through a bank or financial
institution).
- --------
* Mr. Fritts is an "interested persons" of the Trust due to his position with
Jackson National Life Insurance Company, which is the parent company of the
Adviser and Distributor.
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 TOTAL
BENEFITS COMPENSATION
AGGREGATE ACCRUED FROM
COMPENSATION AS PART OF ESTIMATED ANNUAL TRUST AND
FROM TRUST BENEFITS FUND
TRUSTEE TRUST* EXPENSES UPON RETIREMENT COMPLEX
Joseph Frauenheim $42,500 $0 $0 $42,500
Richard McLellan $40,000 $0 $0 $40,000
Dominic D'Annunzio $43,334 $0 $0 $43,334
Michael Bouchard $40,000 $0 $0 $40,000
Michelle Engler $40,000 $0 $0 $40,000
* The fees paid to the independent Trustees are paid for combined meetings of
the funds in the fund complex. The fees are allocated to the funds and it
affiliated investment companies on a pro-rata basis based on net assets.
PROXY VOTING GUIDELINES
Jackson National Asset Management, LLC, the fund's adviser, is responsible for
exercising the voting rights associated with the securities purchased and/or
held by the funds. A description of the policies and procedures and information
on the Funds' proxy voting policies and procedures and information on how the
Funds voted proxies relating to portfolio securities during the 12 month period
ended June 30 are available without charge, upon request, by calling
1-800-766-4683 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service
Center) or 1-800-777-7779 (for contracts purchased through a bank or financial
institution). It is also available on Jackson National Life's website at JNL.com
or Jackson National Life New York's website at JNLNY.com and on the Securities
and Exchange Commission's Web site at SEC.gov.
Item 2. Code of Ethics
Not applicable to semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to semi-annual filing.
Item 6. Schedule of Investments
Included as a Part of the Report to Shareholders filed under Item 1.
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. Purchases of Equity Secruties by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable as this is an Open-End Management Investment Company.
Item 9. Submission of Matters to a Vote of Security Holders.
No material changes have been made.
Item 10. Controls and Procedures.
In order to ensure that the information that we must disclose in our
filings with the Securities and Exchange Commission is recorded, processed,
summarized and reported on a timely basis, we have adopted disclosure controls
and procedures. Our President and Chief Executive Officer, Robert A. Fritts,
and our Chief Financial Officer, Mark D. Nerud, have reviewed and evaluated our
disclosure controls and procedures as of August 24, 2004, and have concluded
that our disclosure controls and procedures are effective.
There was no change in our internal control over financial reporting
during our last fiscal half-year that has materially affected, or is reasonably
likely to materially affect, our internal control over financial reporting.
Item 11. Exhibits
a. (1) Code of Ethics - not applicable to the semi-annual filing.
(2) The certifications required by Rule 30a-2 of the Investment
Company Act of 1940, as amended, are attached hereto.
(3) Not Applicable.
b. The certification required by Rule 30a-2(b) fo the Investment Company
Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act
of 2002, is attached hereto.
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 September 2004.
JNL SERIES TRUST
(Registrant)
By: /s/ Robert A. Fritts
--------------------------------------------------
Robert A. Fritts
President, CEO and Trustee
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 September 8, 2004
- ---------------------- ----------------
Robert A. Fritts
President, Chief Executive Officer & Trustee
/s/ Mark D. Nerud September 8, 2004
- ----------------------- ----------------
Mark D. Nerud
Chief Financial Officer
EXHIBIT LIST
Exhibit 11(a)(2)(a) Certification of the Principal Executive Officer
required by Rule 30a-2(a) under the Act.
Exhibit 11(a)(2)(b) Certification of the Principal Financial Officer
required by Rule 30a-2(a) under the Act.
Exhibit 11(b) Certification required by Rule 30a-2(b) under the Act.