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
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(Address of principal executive offices) (Zip code)
Susan S. Rhee
Jackson National Asset Management,LLC
1 Corporate Way
Lansing, Michigan 48951
- --------------------------------------------------------------------------------
(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, 2005
Item 1. Report to Shareholders
Dear Investors:
We are pleased to provide you with this report on the operations of the JNL
Series Trust, JNL Variable Fund LLC and JNLNY Variable Fund I LLC for the
six-month period ending June 30, 2005.
The Dow Jones, S&P 500 and NASDAQ all experienced a downturn during the first
half of the year after being up in the 2004 calendar year.
Equity market indicators for the six-month period ending June 30, 2005, showed
the Dow Jones down -3.65%; the S&P 500 down -0.81%; the EAFE Index (a proxy for
international stock markets) down -1.17%, and the NASDAQ down -5.12%. Value
oriented stocks with slightly positive returns in the first six months, led by
mid-cap value stocks, outpaced growth stocks during the first half of the year.
In addition, the energy sector continued to perform well, benefiting from higher
oil prices.
Fixed income market indicators for the six-month period ending June 30, 2005,
showed the Lehman Brothers Aggregate Bond Index up 2.51% and the Lehman Brothers
High Yield Bond Index up 1.11%.
The U.S. domestic economy seems to be doing moderately well with inflation and
gross domestic product growth at reasonable rates. Payrolls employment and
corporate profits have continued their upward trend. Stock prices have generally
followed earnings. Although market returns are somewhat flat, there is a general
feeling that stock valuations will move upward with positive earnings growth. In
late June, the Federal Reserve Board raised the federal funds rate for the ninth
consecutive time in just over a year to 3.25%. The Federal Reserve Board meets
again on August 9, 2005, and we may see another rate increase in an effort to
moderate growth. The housing market continues to perform well with mortgage
rates staying relatively low. 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 Fund LLC
JNLNY Variable Fund I LLC
JNL SERIES TRUST (UNAUDITED)
SCHEDULE OF INVESTMENTS (IN THOUSANDS)
JUNE 30, 2005
JNL/AIM Large Cap Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 34.8%
Consumer, Cyclical 19.5%
Technology 14.0%
Financial 11.3%
Energy 7.7%
Industrial 7.6%
Communications 2.7%
Money Market Investment 2.4%
100.0%
Common Stocks - 98.4%
Aerospace & Defense - 5.2%
Boeing Co. 57 $3,749
General Dynamics Corp. 22 2,454
Lockheed Martin Corp. 76 4,943
Rockwell Collins 68 3,247
United Technologies Corp. 45 2,326
16,719
Agriculture - 1.8%
Monsanto Co. 95 5,948
Apparel - 2.8%
Coach Inc. (b) 79 2,635
Nike Inc. - Class B (l) 74 6,400
9,035
Beverages - 1.0%
PepsiCo Inc. 58 3,150
Biotechnology - 0.9%
Genentech Inc. (b) 41 3,291
Commercial Services - 0.7%
Accenture Ltd. 104 2,358
Computers - 7.3%
Apple Computer Inc. (b) 106 3,883
Dell Inc. (b) 361 14,279
NCR Corp. (b) 65 2,276
Seagate Technology (b) 173 3,042
23,480
Cosmetics & Personal Care - 4.0%
Gillette Co. 164 8,308
Proctor & Gamble Co. (l) 85 4,478
12,786
Diversified Financial Services - 7.3%
Bear Stearns Cos. Inc. 28 2,952
Countrywide Financial Corp. 157 6,054
Goldman Sachs Group Inc. 32 3,285
Lehman Brothers Holdings Inc. (l) 52 5,202
SLM Corp. 119 6,060
23,553
Food - 1.0%
Hershey Foods Corp. 52 3,229
Healthcare - 19.5%
Aetna Inc. 100 8,282
Alcon Inc. 86 9,416
Becton Dickinson & Co. 64 3,337
CR Bard Inc. 34 2,261
HCA Inc. 127 7,220
Johnson & Johnson 198 12,864
Quest Diagnostics Inc. 77 4,080
UnitedHealth Group Inc. 215 11,224
WellPoint Inc. (b) 61 4,213
62,897
Home Builders - 2.0%
DR Horton Inc. 96 3,614
NVR Inc. (b) (l) 4 2,957
6,571
Household Products - 1.1%
Fortune Brands Inc. 41 3,659
Insurance - 4.1%
Allstate Corp. 82 4,888
Chubb Corp. 29 2,483
Cigna Corp. 24 2,590
MetLife Inc. 76 3,424
13,385
Internet - 1.0%
VeriSign Inc. (l) 109 3,129
Lodging - 0.7%
Marriott International Inc. - Class A 33 2,224
Machinery - 0.8%
Rockwell Automation Inc. 55 2,689
Metal Fabrication & Hardware - 1.0%
Precision Castparts Corp. 42 3,295
Oil & Gas Producers - 7.8%
Apache Corp. 40 2,584
Chevron Corp. 88 4,899
ConocoPhillips 118 6,807
Devon Energy Corp. 70 3,568
Valero Energy Corp. 92 7,254
25,112
Pharmaceuticals - 4.9%
Caremark Rx Inc. (b) 52 2,333
Express Scripts Inc. (b) 50 2,499
GlaxoSmithKline Plc - ADR 52 2,503
Medco Health Solutions Inc. (b) 65 3,468
Sanofi-Synthelabo SA - ADR 54 2,230
Shire Pharmaceuticals Group - ADR 81 2,667
15,700
Retail - 14.1%
Abercrombie & Fitch Co. - Class A 69 4,706
Best Buy Co. Inc. 37 2,536
Chico's FAS Inc. (b) (l) 85 2,900
Darden Restaurants Inc. 107 3,532
Federated Department Stores Inc. 34 2,514
Home Depot Inc. 63 2,447
J.C. Penney Co. Inc. 50 2,629
Michaels Stores Inc. 62 2,569
Nordstrom Inc. 89 6,070
Sears Holdings Corp. (b) 16 2,398
Staples Inc. 299 6,366
Yum! Brands Inc. (l) 136 7,072
45,739
Semiconductors - 2.2%
Intel Corp. 60 1,566
National Semiconductor Corp. 114 2,514
Texas Instruments Inc. 105 2,947
7,027
Software - 4.7%
Adobe Systems Inc. 177 5,074
Autodesk Inc. 106 3,657
Microsoft Corp. 173 4,297
Oracle Corp. (b) 157 2,070
15,098
Telecommunications Equipment - 1.2%
Cisco Systems Inc. (b) 199 3,801
Transportation - 0.7%
Burlington Northern Santa Fe Corp. 47 2,213
Wireless Telecommunications - 0.6%
Motorola Inc. 105 1,914
Total Common Stocks (cost $290,881) 318,001
Short Term Investments - 7.1%
Money Market Funds - 2.4%
Dreyfus Cash Management Plus Fund, 3.05% (a) 7,713 7,713
Securities Lending Collateral - 4.7%
Mellon GSL Delaware Business Trust Collateral Fund 15,313 15,313
Total Short Term Investments (cost $23,026) 23,026
Total Investments - 105.5% (cost $313,907) 341,028
Other Assets and Liabilities, Net - (5.5%) (17,656)
Total Net Assets - 100% $323,372
JNL/AIM Real Estate Fund
Percentage of Total
Industry Sector Investments (o)
Financial 88.0%
Money Market Investment 6.5%
Consumer, Cyclical 5.1%
Industrial 0.4%
100.0%
Common Stocks - 95.3%
Lodging - 5.4%
Hilton Hotels Corp. 62 $1,486
La Quinta Corp. (b) 12 113
Orient-Express Hotels Ltd. (b) 5 149
Starwood Hotels & Resorts Worldwide Inc. 21 1,235
2,983
Real Estate - 89.9%
Alexandria Real Estate Equites Inc. 10 749
AMB Property Corp. 7 291
American Campus Communities Inc. 11 252
American Financial Realty Trust (l) 26 398
Archstone-Smith Trust 46 1,769
Arden Realty Inc. (l) 11 396
Ascendas Real Estate Investment Trust 58 76
Avalonbay Communities Inc. 20 1,648
Boston Properties Inc. 33 2,303
Brandywine Realty Trust (l) 16 481
BRE Properties Inc. - Class A 1 25
Brookfield Properties Co. (b) 27 778
Camden Property Trust (l) 7 349
Capitacommercial Trust (b) 42 38
Capital & Regional Plc 17 252
Capital Automotive Reit 11 420
CapitaLand Ltd. 36 51
Capitamall Trust 31 44
Carramerica Realty Corp. (l) 15 554
Catellus Development Corp. 13 413
Centerpoint Properties Trust 36 1,523
Citycon Oyj (b) 27 101
Colonial Properties Trust 5 224
Cominar Real Estate Investment Trust (b) 6 88
Derwent Valley Holdings Plc (b) 13 284
Developers Divers Realty Corp. (l) 37 1,701
Education Realty Trust Inc. (b) 10 174
Entertainment Properties Trust 7 313
Equity Inns Inc. 17 225
Equity Residential Properties Trust 62 2,298
Essex Property Trust Inc. 13 1,063
Extra Space Storage Inc. (l) 10 136
Federal Realty Investors Trust 12 720
First Potomac Realty Trust (b) 4 97
General Growth Properties 94 3,871
GMH Communities Trust 5 71
Hang Lung Properties Ltd. 62 91
Hongkong Land Holdings Ltd. (b) 62 173
Host Marriott Corp. 118 2,058
Hysan Development Co. Ltd. 52 108
Kilroy Realty Corp. 6 261
Land Securities Group Plc 12 299
Liberty International Plc 12 200
Macerich Co. 31 2,085
Macquarie Goodman Group (b) 21 65
Mills Corp. 19 1,125
Mitsui Fudosan Co. Ltd. 12 134
Multiplex Group (b) 93 205
New Plan Excel Realty Trust 5 133
Pan Pacific Retail Properties Inc. (l) 8 518
Post Properties Inc. 4 141
Prologis (l) 76 3,046
Public Storage Inc. (l) 17 1,082
Reckson Associate Realty Corp. 11 359
Regency Centers Corp. 29 1,636
Simon Property Group Inc. 57 4,117
Singapore Land Ltd. 15 50
Sino Land Co. 48 51
Sl Green Realty Corp. (l) 29 1,858
Spirit Finance Corp. (b) 11 133
Stockland 21 88
Summit Real Estate Investment Trust 6 105
Tokyu Reit Inc. (b) - 334
Trizec Properties Inc. 66 1,351
United Dominion Realty Trust Inc. 11 273
Urstadt Biddle Properties Inc. - Class A 24 420
U-Store-It Trust 17 320
Ventas Inc. 15 458
Vornado Realty Trust 29 2,315
Westfield Group 10 135
49,903
Total Common Stocks (cost $49,791) 52,887
Preferred Stocks - 0.6%
Real Estate - 0.6%
Alexandria Real Estate Equity - Class C (b) 1 26
CBL & Associates Properties - Series D (b) 2 48
Cousins Property - Class B (b) 2 53
Eagle Hospitality Properties (b) 3 78
Entertainment Properties Trust (b) 2 38
Mills Corp. (b) 4 103
Total Preferred Stocks (cost $344) 346
Short Term Investments - 21.0%
Money Market Funds - 6.5%
Dreyfus Cash Management Plus Fund, 3.05% (a) 2,700 2,700
Dreyfus Government Cash Management, 3.00% (a) 946 946
3,646
Securities Lending Collateral - 14.5%
Mellon GSL Delaware Business Trust Collateral Fund 8,029 8,029
Total Short Term Investments (cost $11,675) 11,675
Total Investments - 116.9% (cost $61,810) 64,908
Other Assets and Liabilities, Net - (16.9%) (9,379)
Total Net Assets - 100% $55,529
JNL/AIM Small Cap Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 24.1%
Consumer, Cyclical 23.7%
Industrial 15.1%
Technology 10.6%
Communications 9.4%
Financial 7.8%
Energy 5.4%
Money Market Investment 1.8%
Basic Materials 1.6%
Diversified 0.5%
100.0%
Common Stocks - 96.6%
Aerospace & Defense - 0.9%
United Industrial Corp. 12 $ 432
Apparel - 1.3%
Warnaco Group Inc. (b) 17 400
Wolverine World Wide Inc. 12 297
697
Banks - 4.0%
Amegy Bancorp. Inc. (b) 16 360
East West Bancorp. Inc. 11 359
Privatebancorp. Inc. 7 244
SVB Financial Group (b) 9 441
Texas Capital Bancshares Inc. (b) 10 203
Texas Regional Bancshares Inc. 8 239
1,846
Biotechnology - 3.0%
Affymetrix Inc. (b) (l) 7 367
Integra Lifesciences Holdings Corp. (b) 11 318
Millipore Corp. 5 306
Myriad Genetics Inc. (b 10 158
Protein Design Labs Inc. (b) (l) 13 265
1,414
Building Materials - 1.1%
Eagle Materials Inc. 5 500
Chemicals - 0.9%
FMC Corp. (b) 7 404
Commercial Services - 5.3%
Advisory Board Co. (b) 6 273
Corporate Executive Board Co. 6 454
CoStar Group Inc. (b) 10 414
CRA International Inc. (b) 6 345
Euronet Worldwide Inc. (b) 15 445
MPS Group Inc. (b) 26 241
Steiner Leisure Ltd. (b) 8 304
2,476
Computers - 1.2%
Catapult Communications Corp. (b) 10 167
Mercury Computer Systems Inc. (b) 14 375
542
Distribution & Wholesale - 0.7%
Hughes Supply Inc. 12 329
Diversified Financial Services - 1.3%
Affiliated Managers Group Inc. (b) (l) 5 342
Jefferies Group Inc. 7 261
603
Electronics - 4.6%
Daktronics Inc. (b) 1 14
Faro Technologies Inc. (b) 14 390
Flir Systems Inc. (b) 15 436
Imax Corp. (b) 29 286
Thomas & Betts Corp. (b) 11 316
Trimble Navigation Ltd. (b) 10 399
Varian Inc. (b) 9 325
2,166
Entertainment - 2.2%
Lions Gate Entertainment Corp. (b) 41 416
Macrovision Corp. (b) 15 336
Penn National Gaming Inc. (b) 7 252
1,004
Environmental Control - 0.9%
Stericycle Inc. (b) 8 418
Food - 0.9%
United Natural Foods Inc. (b) 14 437
Healthcare - 9.7%
American Medical Systems Holdings Inc. (b) 20 411
Amsurg Corp. (b) 10 267
Centene Corp. (b) 8 259
Gen-Probe Inc. (b) 10 344
Immucor Inc. (b) 11 314
Intuitive Surgical Inc. (b) 7 345
LifePoint Hospitals Inc. (b) 11 561
Mentor Corp. 12 514
NuVasive Inc. (b) 20 329
Pediatrix Medical Group Inc. (b) 6 412
Resmed Inc. (b) (l) 6 363
Wright Medical Group Inc. (b) 15 395
4,514
Home Builders - 0.9%
Beazer Homes USA Inc. (l) 7 417
Home Furnishings - 0.9%
Tempur-Pedic International Inc. (b) 20 433
Household Products - 2.2%
Church & Dwight Co. Inc. 9 340
Scotts Miracle-Gro Co. (b) 6 420
Toro Co. 7 278
1,038
Insurance - 1.3%
HCC Insurance Holdings Inc. 8 295
Proassurance Corp. (b) 7 288
583
Internet - 5.0%
Blue Coat Systems Inc. (b) 5 140
F5 Networks Inc. (b) 5 241
Internet Security Systems (b) 19 375
Macromedia Inc. (b) 16 619
Sapient Corp. (b) 45 358
Valueclick Inc. (b) 29 359
Websense Inc. (b) 5 245
2,337
Iron & Steel - 0.7%
Carpenter Technology Corp. 7 337
Leisure Time - 1.1%
Nautilus Group Inc. 17 496
Lodging - 1.6%
Choice Hotels International Inc. 7 447
Kerzner International Ltd. (b) 5 290
737
Machinery - 2.4%
Graco Inc. 8 259
IDEX Corp. (l) 7 282
JLG Industries Inc. 20 558
1,099
Manufacturing - 0.6%
Actuant Corp. - Class A (b) 6 292
Media - 0.5%
Radio One Inc. (b) 7 87
Radio One Inc. - Class D (b) (l) 12 147
234
Oil & Gas Producers - 2.8%
Encore Acquisition Co. (b) 10 414
Range Resources Corp. 17 444
Unit Corp. (b) 10 436
1,294
Oil & Gas Services - 2.6%
Cal Dive International Inc. (b) 10 513
Core Laboratories NV (b) 12 327
FMC Technologies Inc. (b) 11 364
1,204
Pharmaceuticals - 3.3%
Amylin Pharmaceuticals Inc. (b) (l) 12 251
First Horizon Pharmaceutical Corp. (b) 16 303
MGI Pharma Inc. (b) 13 287
United Therapeutics Corp. (b) 6 284
VCA Antech Inc. (b) 18 427
1,552
Real Estate - 1.2%
BioMed Realty Trust Inc. 6 153
Pan Pacific Retail Properties Inc. 6 412
565
Retail - 12.5%
Aeropostale Inc. (b) 14 484
Bebe Stores Inc. (l) 11 288
BJ's Wholesale Club Inc. (b) 12 380
Children's Place Retail Stores Inc. (b) 9 397
GameStop Corp. (b) 11 366
Guitar Center Inc. (b) 6 344
Jack In The Box Inc. (b) 11 425
JOS A Bank Clothiers Inc. (b) (l) 14 590
MSC Industrial Direct Co. - Class A 13 435
Pacific Sunwear of California Inc. (b) 9 202
Panera Bread Co. - Class A (b) 4 236
PF Chang's China Bistro Inc. (b) (l) 8 495
Rare Hospitality International Inc. (b) 14 413
Regis Corp. 9 332
Sonic Corp. (b) 15 454
5,841
Semiconductors - 4.7%
ARM Holdings Plc 63 386
Formfactor Inc. (b) 14 380
Microsemi Corp. (b) 25 470
Semtech Corp. (b) 3 53
Sigmatel Inc. (b) 10 163
Tessera Technologies Inc. (b) 11 381
Varian Semiconductor Equipment Associates Inc. (b) 10 352
2,185
Software - 4.6%
Ansys Inc. (b) 4 124
Avid Technology Inc. (b) 6 314
Cerner Corp. (b) (l) 9 585
Epicor Software Corp. (b) 25 331
Global Payments Inc. 6 434
MicroStrategy Inc. - Class A (b) 7 371
Per-Se Technologies Inc. (b) - 4
2,163
Telecommunications - 0.2%
Neustar Inc. - Class A (b) 3 79
Telecommunications Equipment - 2.5%
Netgear Inc. (b) 19 350
Plantronics Inc. 7 251
Polycom Inc. 19 279
Safenet Inc. (b) 9 293
1,173
Toys & Hobbies - 1.5%
Marvel Enterprises Inc. (b) 20 386
Rc2 Corp. (b) 8 308
694
Transportation - 4.4%
Forward Air Corp. 12 351
Heartland Express Inc. 13 245
Kirby Corp. (b) 5 230
Knight Transportation Inc. 10 251
Old Dominion Freight Line Inc. (b) 8 223
Swift Transportation Co. Inc. (b) 18 410
UTI Worldwide Inc. 5 341
2,051
Wireless Telecommunications - 1.1%
Alamosa Holdings Inc. (b) 36 498
Total Common Stocks (cost $38,535) 45,086
Mutual Funds - 0.5%
Ishares Nasdaq Biotechnology Index Fund (l) 3 231
Total Mutual Funds (cost $244) 231
Short Term Investments - 11.5%
Money Market Funds - 1.8%
Dreyfus Cash Management Plus Fund, 3.05% (a) 822 822
Securities Lending Collateral - 9.7%
Mellon GSL Delaware Business Trust Collateral Fund 4,520 4,520
Total Short Term Investments (cost $5,342) 5,342
Total Investments - 108.6% (cost $44,121) 50,659
Other Assets and Liabilities, Net - (8.6%) (4,022)
Total Net Assets - 100% $46,637
JNL/Alger Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 29.6%
Communications 17.0%
Consumer, Cyclical 12.6%
Energy 12.1%
Technology 11.0%
Industrial 8.2%
Financial 7.3%
Money Market Investment 2.2%
100.0%
Common Stocks - 98.0%
Aerospace & Defense - 2.7%
Boeing Co. 36 $2,396
General Dynamics Corp. 32 3,549
5,945
Apparel - 1.4%
Coach Inc. (b) 60 1,997
Polo Ralph Lauren Corp. 28 1,190
3,187
Beverages - 1.2%
PepsiCo Inc. 53 2,858
Biotechnology - 3.4%
Amgen Inc. (b) 66 3,978
Genentech Inc. (b) 48 3,878
7,856
Computers - 3.6%
Apple Computer Inc. (b) 177 6,526
EMC Corp. (b) 125 1,713
8,239
Cosmetics & Personal Care - 2.2%
Avon Products Inc. 51 1,923
Gillette Co. 64 3,245
5,168
Diversified Financial Services - 2.7%
Franklin Resources Inc. 50 3,841
Merrill Lynch & Co. Inc. 43 2,349
6,190
Healthcare - 10.3%
Beckman Coulter Inc. 17 1,068
HCA Inc. 131 7,429
Health Management Associates Inc. (l) 135 3,540
Humana Inc. 59 2,329
Johnson & Johnson 27 1,749
Medtronic Inc. 56 2,913
Pacificare Health Systems Inc. (b) (l) 34 2,408
St. Jude Medical Inc. (b) 29 1,278
Varian Medical Systems Inc. (b) (l) 32 1,202
23,916
Home Builders - 1.5%
Pulte Homes Inc. 42 3,522
Insurance - 4.6%
American International Group Inc. 28 1,621
Cigna Corp. 49 5,191
Genworth Financial Inc. - Class A 48 1,439
St. Paul Travelers Cos. Inc. 61 2,399
10,650
Internet - 6.3%
Ebay Inc. (b) 112 3,681
Google Inc. - Class A (b) (l) 14 4,177
Netflex Inc. (b) (l) 179 2,939
Yahoo! Inc. (b) 112 3,876
14,673
Lodging - 2.5%
Harrah's Entertainment Inc. 49 3,531
Hilton Hotels Corp. 96 2,280
5,811
Machinery - 2.1%
Caterpillar Inc. 30 2,821
Rockwell Automation Inc. 40 1,948
4,769
Manufacturing - 3.6%
Eastman Kodak Co. (l) 128 3,439
Tyco International Ltd. 164 4,784
8,223
Media - 6.5%
News Corp. Inc. (l) 248 4,008
Sirius Satellite Radio (b) 415 2,690
Walt Disney Co. 85 2,138
XM Satellite Radio Holdings - Class A (b) (l) 181 6,096
14,932
Mining - 1.4%
Peabody Energy Corp. 61 3,154
Oil & Gas Producers - 7.3%
Canadian Natural Resources Ltd. (b) 23 844
Exxon Mobil Corp. 121 6,954
Sasol Ltd. - ADR (l) 81 2,193
Suncor Energy Inc. 44 2,058
Talisman Energy Inc. (b) 32 1,206
Transocean Inc. 69 3,721
16,976
Oil & Gas Services - 1.5%
National Oilwell Varco Inc. (b) 72 3,430
Pharmaceuticals - 11.1%
AmerisourceBergen Corp. 27 1,874
Caremark Rx Inc. (b) 80 3,573
Medco Health Solutions Inc. (b) 35 1,862
Novartis AG - ADR 44 2,092
Pfizer Inc. 190 5,246
Sanofi-synthelabo SA - ADR 53 2,160
Schering-Plough Corp. 244 4,651
Wyeth 96 4,254
25,712
Pipelines - 1.9%
Enterprise Products Partners LP (l) 58 1,561
Williams Cos. Inc. 153 2,901
4,462
Retail - 7.2%
CVS Corp. 122 3,544
Federated Department Stores Inc. (l) 34 2,499
J.C. Penney Co. Inc. 34 1,793
Lowe's Cos. Inc. 41 2,375
Saks Inc. (b) 117 2,227
Wal-Mart Stores Inc. 42 2,024
Yum! Brands Inc. 41 2,125
16,587
Semiconductors - 3.2%
Intel Corp. 148 3,850
Linear Technology Corp. (l) 47 1,741
National Semiconductor Corp. 86 1,884
7,475
Software - 4.2%
Microsoft Corp. 178 4,428
NAVTEQ Corp. (b) 53 1,959
Oracle Corp. (b) 253 3,344
9,731
Telecommunications - 1.8%
Sprint Corp. (l) 169 4,233
Telecommunications Equipment - 0.7%
Corning Inc. (b) 103 1,707
Tobacco - 1.5%
Altria Group Inc. 53 3,408
Wireless Telecommunications - 1.6%
Nextel Partners Inc. (b) (l) 70 1,764
Nokia Corp. - Class A - ADR 119 1,975
3,739
Total Common Stocks (cost $212,905) 226,553
Short Term Investments - 14.9%
Money Market Funds - 2.2%
Dreyfus Cash Management Plus Fund, 3.05% (a) 5,166 5,166
Securities Lending Collateral - 12.7%
Mellon GSL Delaware Business Trust Collateral Fund 29,375 29,375
Total Short Term Investments (cost $34,541) 34,541
Total Investments - 112.9% (cost $247,446) 261,094
Other Assets and Liabilities, Net - (12.9%) (29,763)
Total Net Assets - 100% $231,331
JNL/Eagle Core Equity Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 23.4%
Technology 15.5%
Consumer, Cyclical 14.0%
Financial 13.0%
Industrial 12.9%
Communications 11.0%
Money Market Investment 4.7%
Energy 3.8%
Utilities 1.0%
Basic Materials 0.7%
100.0%
Common Stocks - 93.1%
Advertising - 1.0%
Omnicom Group Inc. 40 $3,218
Aerospace & Defense - 3.1%
Boeing Co. 43 2,808
United Technologies Corp. 110 5,623
8,431
Banks - 4.0%
Bank of America Corp. 60 2,737
Bank of New York Co. Inc. 28 806
Fifth Third Bancorp. 12 484
US Bancorp. 49 1,431
Wachovia Corp. 42 2,088
Wells Fargo & Co. 56 3,436
10,982
Beverages - 2.1%
Coca-Cola Co. 108 4,507
PepsiCo Inc. 24 1,294
5,801
Biotechnology - 0.8%
Amgen Inc. (b) 19 1,128
Genentech Inc. (b) 7 538
Incyte Corp. (b) 59 424
2,090
Chemicals - 0.7%
Air Products & Chemicals Inc. 18 1,085
E.I. du Pont de Nemours & Co. 22 946
2,031
Commercial Services - 1.2%
Alliance Data Systems Corp. (b) 11 446
McKesson Corp. 34 1,503
R.R. Donnelley & Sons Co. 42 1,449
3,398
Computers - 2.7%
Dell Inc. (b) 191 7,527
Cosmetics & Personal Care - 1.3%
Proctor & Gamble Co. 70 3,693
Diversified Financial Services - 6.7%
American Express Co. 88 4,708
Capital One Financial Corp. 8 640
CapitalSource Inc. (b) (l) 39 762
Citigroup Inc. 128 5,936
First Marblehead Corp. (b) 15 528
Franklin Resources Inc. 10 797
Goldman Sachs Group Inc. 23 2,321
JPMorgan Chase & Co. 35 1,236
Merrill Lynch & Co. Inc. 28 1,551
18,479
Electric - 0.5%
NiSource Inc. 56 1,385
Electrical Components & Equipment - 2.2%
Emerson Electric Co. 97 6,085
Entertainment - 0.7%
International Game Technology 66 1,855
Environmental Control - 1.1%
Waste Management Inc. 109 3,095
Food - 1.2%
General Mills Inc. 30 1,404
Sysco Corp. 51 1,846
3,250
Gas - 0.5%
UGI Corp. 52 1,451
Healthcare - 5.7%
Baxter International Inc. 93 3,443
Boston Scientific Corp. (b) 16 428
Gen-Probe Inc. (b) 21 768
Guidant Corp. 56 3,735
HCA Inc. 38 2,170
Johnson & Johnson 47 3,049
UnitedHealth Group Inc. 38 1,960
15,553
Household Products - 2.2%
Kimberly-Clark Corp. 35 2,209
Newell Rubbermaid Inc. (l) 164 3,905
6,114
Insurance - 0.5%
American International Group Inc. 23 1,319
Internet - 2.1%
Ebay Inc. (b) 68 2,258
Google Inc. - Class A (b) 4 1,103
VeriSign Inc. (b) (l) 31 879
Yahoo! Inc. (b) 40 1,388
5,628
Lodging - 1.2%
Harrah's Entertainment Inc. 38 2,706
Starwood Hotels & Resorts Worldwide Inc. 11 653
3,359
Machinery - 0.3%
Deere & Co. 12 786
Manufacturing - 4.8%
3M Co. 24 1,735
Cooper Industries Ltd. - Class A 22 1,406
General Electric Corp. 132 4,581
Harsco Corp. 30 1,637
Honeywell Inernational Inc. 29 1,062
Tyco International Ltd. 93 2,704
13,125
Media - 3.6%
McGraw-Hill Cos. Inc. 30 1,328
News Corp. Inc. 105 1,697
Time Warner Inc. (b) 190 3,167
Tribune Co. 23 809
Viacom Inc. - Class B 91 2,914
9,915
Oil & Gas Producers - 1.8%
BP Plc - ADR 26 1,622
Ensco International Inc. 36 1,292
Exxon Mobil Corp. 34 1,954
4,868
Oil & Gas Services - 1.2%
Halliburton Co. 71 3,374
Pharmaceuticals - 9.0%
Cardinal Bergen Health Inc. 35 2,001
Caremark Rx Inc. (b) 41 1,805
Eli Lilly & Co. 56 3,131
Gilead Sciences Inc. 47 2,076
Pfizer Inc. 273 7,533
Rigel Pharmaceuticals Inc. (b) 25 500
Schering-Plough Corp. 78 1,481
Sepracor Inc. 17 993
Teva Pharmaceutical Industries Ltd. - ADR 36 1,129
Wyeth 91 4,058
24,707
Pipelines - 0.6%
Kinder Morgan Inc. 20 1,664
Real Estate - 1.4%
Boston Properties Inc. 11 770
Equity Office Properties Trust 35 1,159
General Growth Properties 29 1,192
Vornado Realty Trust 9 724
3,845
Retail - 10.4%
Costco Wholesale Corp. 20 887
CVS Corp. 176 5,108
Home Depot Inc. 137 5,314
Kohl's Corp. (b) 14 783
Lowe's Cos. Inc. 13 780
McDonald's Corp. 221 6,137
Outback Steakhouse Inc. 22 1,016
Target Corp. 39 2,146
Wal-Mart Stores Inc. 135 6,509
28,680
Semiconductors - 5.8%
Analog Devices Inc. 46 1,716
Applied Materials Inc. 215 3,480
ATI Technologies Inc. (b) 40 468
Broadcom Corp. - Class A (b) 23 822
Entegris Inc. (b) 74 731
Intel Corp. 110 2,876
Maxim Integrated Products Inc. 74 2,828
Sigmatel Inc. (b) 29 498
Texas Instruments Inc. 27 762
Ultra Clean Holdings (b) 117 875
Xilinx Inc. 32 817
15,873
Software - 6.8%
Electronic Arts Inc. 23 1,282
First Data Corp. 32 1,272
Microsoft Corp. 341 8,477
Oracle Corp. (b) 277 3,654
Veritas Software Corp. (b) 163 3,972
18,657
Telecommunications - 0.6%
SBC Communications Inc. 28 665
Verizon Communications 28 967
1,632
Telecommunications Equipment - 1.0%
Cisco Systems Inc. (b) 144 2,747
Tobacco - 0.8%
Altria Group Inc. 33 2,114
Transportation - 1.2%
FedEx Corp. 42 3,402
Wireless Telecommunications - 2.0%
Nextel Partners Inc. (b) (l) 34 849
Nokia Corp. - Class A - ADR 164 2,724
Qualcomm Inc. 59 1,953
5,526
Total Common Stocks (cost $242,336) 255,658
Preferred Stocks - 0.3%
Insurance - 0.3%
Travelers Property Casualty Corp., 4.50% (b) (l) 31 687
Total Preferred Stocks (cost $768) 687
Corporate Bonds - 0.6%
Healthcare - 0.2%
Community Health Systems Inc., 4.25%, 10/15/08 (j) $575 663
Media - 0.4%
Liberty Media Corp., 3.25%, 03/15/31 (j) (l) 1,330 1,017
Total Corporate Bonds (cost $1,798) 1,680
Short Term Investments - 8.2%
Money Market Funds - 4.7%
Dreyfus Cash Management Plus Fund, 3.05% (a) 12,934 12,934
Securities Lending Collateral - 3.5%
Mellon GSL Delaware Business Trust Collateral Fund 9,486 9,486
Total Short Term Investments (cost $22,420) 22,420
Total Investments - 102.2% (cost $267,322) 280,445
Other Assets and Liabilities, Net - (2.2%) (5,970)
Total Net Assets - 100% $274,475
JNL/Eagle SmallCap Equity Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 22.8%
Industrial 20.1%
Consumer, Cyclical 19.8%
Technology 14.4%
Energy 9.7%
Communications 6.7%
Money Market Investment 3.9%
Financial 2.6%
100.0%
Common Stocks - 97.2%
Agriculture - 2.0%
Delta & Pine Land Co. 125 $3,144
Alternative Energy - 1.7%
FuelCell Energy Inc. (b) (l) 48 495
Headwaters Inc. (b) 68 2,335
2,830
Biotechnology - 1.0%
deCODE genetics Inc. (b) (l) 227 2,131
Commercial Services - 1.6%
Corrections Corp. of America (b) 66 2,591
Computers - 4.5%
Factset Research Systems Inc. (l) 116 4,172
Radisys Corp. (b) 187 3,015
7,187
Distribution & Wholesale - 1.6%
SCP Pool Corp. 71 2,485
Electrical Components & Equipment - 1.5%
General Cable Corp. (b) (l) 110 1,635
Littelfuse Inc. (b) 25 687
2,322
Electronics - 2.0%
Gentex Corp. 62 1,137
OYO Geospace Corp. (b) 48 1,014
Photon Dynamics Inc. (b) 47 969
3,120
Entertainment - 7.0%
Alliance Gaming Corp. (b) (l) 147 2,065
Lions Gate Entertainment Corp. (b) 295 3,026
Neveda Gold & Casinos Inc. (b) 120 1,300
Shuffle Master Inc. (b) (l) 167 4,680
11,071
Environmental Control - 8.5%
Aleris International Inc. (b) 236 5,329
Duratek Inc. (b) 133 3,074
Waste Connections Inc. (b) (l) 139 5,193
13,596
Healthcare - 16.7%
American Healthways Inc. (b) (l) 81 3,425
American Medical Systems Holdings Inc. (b) 180 3,713
Arrow International Inc. 64 2,032
Centene Corp. (b) 50 1,672
Cooper Cos. Inc. 20 1,232
DJ Orthopedics Inc. (b) 68 1,854
Horizon Health Corp. (b) 132 3,081
Inamed Corp. (b) 48 3,240
Respironics Inc. (b) 129 4,658
Thoratec Corp. (b) 107 1,646
26,553
Home Furnishings - 5.1%
Tempur-Pedic International Inc. (b) (l) 191 4,239
Universal Electronics Inc. (b) 232 3,846
8,085
Insurance - 2.1%
Philadelphia Consolidated Holding Co. (b) (l) 39 3,331
Internet - 3.0%
Blue Nile Inc. (b) (l) 49 1,611
eCollege.com Inc. (b) (l) 68 803
Internet Capital Group Inc. (b) (l) 267 1,960
Radware Ltd. (b) 18 334
4,708
Leisure Time - 0.1%
Orange 21 Inc. (b) 23 119
Machinery - 1.8%
UNOVA Inc. (b) 108 2,873
Manufacturing - 3.6%
Actuant Corp. - Class A (b) 53 2,550
Applied Films Corp. (b) 122 3,130
5,680
Metal Fabrication & Hardware - 1.3%
NS Group Inc. (b) 61 1,993
Oil & Gas Producers - 5.7%
Patterson-UTI Energy Inc. 111 3,080
Unit Corp. (b) 138 6,051
9,131
Oil & Gas Services - 2.3%
Core Laboratories NV (b) 44 1,169
Maverick Tube Corp. (b) (l) 56 1,669
Tetra Technologies Inc. (b) 27 857
3,695
Pharmaceuticals - 1.4%
Dendreon Corp. (b) (l) 126 657
Medics Pharmaceutical Corp. (l) 51 1,615
2,272
Retail - 6.4%
Build-A-Bear Workshop Inc. (b) (l) 66 1,547
Cabela's Inc. - Class A (b) (l) 108 2,309
Cash America International Inc. 66 1,318
Genesco Inc. (b) 134 4,974
10,148
Savings & Loans - 0.5%
BankAtlantic Bancorp. Inc. 34 637
Harbor Florida Bancshares 4 158
795
Semiconductors - 2.0%
Integrated Device Technology Inc. (b) 291 3,129
Software - 8.1%
Ansys Inc. (b) 100 3,537
Datastream Systems Inc. (b) 380 2,767
Eclipsys Corp. (b) 180 2,535
Global Payments Inc. 47 3,200
Netsmart Technologies Inc. (b) 101 913
12,952
Telecommunications Equipment - 2.6%
C-COR Inc. (b) 224 1,535
Tekelec (b) 158 2,659
4,194
Transportation - 1.8%
OMI Corp. (l) 149 2,834
Wireless Telecommunications - 1.2%
EMS Technologies Inc. (b) 132 1,975
Total Common Stocks (cost $121,869) 154,945
Short Term Investments - 18.6%
Money Market Funds - 3.9%
Dreyfus Cash Management Plus Fund, 3.05% (a) 6,157 6,157
Securities Lending Collateral - 14.7%
Mellon GSL Delaware Business Trust Collateral Fund 23,398 23,398
Total Short Term Investments (cost $29,555) 29,555
Total Investments - 115.8% (cost $151,424) 184,500
Other Assets and Liabilities, Net - (15.8%) (25,214)
Total Net Assets - 100% $159,286
JNL/FMR Balanced Fund
Percentage of Total
Industry Sector Investments (o)
Government 29.4%
Financial 12.3%
Industrial 12.2%
Consumer, Non-cyclical 11.7%
Communications 7.3%
Energy 7.1%
Technology 6.7%
Consumer, Cyclical 5.9%
Basic Materials 3.3%
Money Market Investment 2.2%
Utilities 1.9%
100.0%
Common Stocks - 68.2%
Advertising - 0.3%
Advo Inc. 2 $60
Lamar Advertising Co. (b) (l) 8 338
Omnicom Group Inc. 1 104
502
Aerospace & Defense - 1.2%
BE Aerospace Inc. (b) 4 67
European Aeronautic Defense and Space Co. 5 166
Goodrich Corp. 6 246
Lockheed Martin Corp. 3 195
Northrop Grumman Corp. 3 160
Ratheon Co. 2 74
Rockwell Collins 2 110
United Technologies Corp. 7 339
1,357
Agriculture - 0.4%
Archer-Daniels-Midland Co. 1 26
Bunge Ltd. 2 133
Monsanto Co. 4 251
410
Airlines - 0.7%
Ace Aviation Holdings Inc. - Class A (b) 3 94
Airtran Holdings Inc. (b) (l) 26 239
Delta Air Lines Inc. (b) (l) 28 105
Frontier Airlines Inc. (b) 27 275
Northwest Airlines Corp. (b) 7 30
743
Auto Manufacturers - 0.1%
Wabash National Corp. 4 90
Auto Parts & Equipment - 0.3%
American Axle & Manufacturing Holdings Inc. 10 263
TRW Automotive Holdings Corp. (b) 6 135
398
Banks - 3.3%
Bank of America Corp. 35 1,575
Cathay General Bancorp. 1 24
Hdfc Bank Ltd. - ADR (b) 1 47
Nara Bancorp. Inc. 3 50
North Fork Bancorp. Inc. 7 197
Privatebancorp. Inc. - 14
R & G Financial Corp. - Class B 4 65
Signature Bank (b) 1 15
State Street Corp. 2 97
SVB Financial Group (b) 3 144
UCBH Holdings Inc. 13 208
UnionBanCal Corp. 1 87
W Holding Co. Inc. 17 170
Wachovia Corp. 14 699
Wells Fargo & Co. 3 160
Wilshire Bancorp. Inc. 6 84
Wintrust Financial Corp. 2 104
3,740
Beverages - 0.3%
Coca-Cola Co. 6 233
Coca-Cola Enterprises Inc. 2 51
Diageo Plc (b) - 6
290
Biotechnology - 0.2%
Biogen Idec Inc. (b) 2 52
Genentech Inc. (b) 2 120
Medimmune Inc. (b) 1 37
Oscient Pharmaceuticals Corp. (b) - 1
Serologicals Corp. (b) 1 28
238
Building Materials - 0.7%
American Standard Cos. 2 65
Eagle Materials Inc. (l) 2 148
Florida Rock Industrials (b) 1 37
Martin Marietta Materials Inc. 2 111
Masco Corp. 2 70
Rinker Group Ltd. 11 117
Texas Industries Inc. 2 135
Vulcan Materials Co. 1 77
760
Chemicals - 1.7%
Airgas Inc. 4 91
Albemarle Corp. 3 102
Ashland Inc. 4 266
Celanese Corp. - Class A (b) 6 95
Crompton Corp. 3 37
Cytec Industries Inc. 1 52
Dow Chemical Co. 5 223
Ferro Corp. - 8
Georgia Gulf Corp. - 3
Great Lakes Chemical Corp. 1 31
Lubrizol Corp. - 4
Lyondell Chemical Co. 17 443
Mosaic Co. (b) (l) 6 100
Nova Chemicals Corp. 7 198
Praxair Inc. 2 107
Rhodia SA (b) 29 51
Spartech Corp. 2 37
UAP Holding Corp. (b) 4 65
1,913
Commercial Services - 0.8%
BearingPoint Inc. (b) 10 75
Career Education Corp. (b) 4 146
Carriage Services Inc. (b) 5 28
Cendant Corp. 9 204
Corrections Corp. of America (b) 1 55
Education Management Corp. (b) 1 34
McKesson Corp. 7 296
Service Corp. International (b) 4 32
Wright Express Corp. (b) 2 38
908
Computers - 1.5%
Affiliated Computer Services - Class A (b) 2 92
Bisys Group Inc. (b) 2 22
Cadence Design Systems Inc. (b) (l) 9 119
Ceridian Corp. (b) 9 181
Hewlett-Packard Co. 16 364
Hutchinson Technology (b) (l) 2 81
Lexmark International Inc. (b) 1 67
Maxtor Corp. (b) 45 233
McData Corp. - Class A (b) 18 74
Seagate Technology (b) 16 281
Western Digital Corp. (b) 13 170
1,684
Cosmetics & Personal Care - 0.7%
Alberto-Culver Co. - Class B 2 69
Colgate-Palmolive Co. 5 250
Gillette Co. 1 66
Proctor & Gamble Co. 9 465
850
Distribution & Wholesale - 0.5%
Bell Microproducts Inc. (b) 9 88
Ingram Micro Inc. - Class A (b) 11 171
Tech Data Corp. 2 73
WESCO International Inc. (b) 8 254
586
Diversified Financial Services - 4.3%
American Express Co. 3 162
Capital One Financial Corp. (l) 2 176
Citigroup Inc. 29 1,331
Countrywide Financial Corp. 5 203
Doral Financial Corp. 7 114
E*trade Group Inc. (b) 10 140
Fannie Mae 3 175
Freddie Mac 8 505
Goldman Sachs Group Inc. 2 220
JPMorgan Chase & Co. 23 804
Lazard Ltd. - Class A (b) 1 33
Lehman Brothers Holdings Inc. 3 338
MBNA Corp. 2 44
Merrill Lynch & Co. Inc. 7 407
Metlife Inc. (b) 6 157
Nuveen Investments - Class A (b) 3 113
4,922
Electric - 1.9%
AES Corp. (b) 39 634
Allegheny Energy Inc. 1 25
CMS Energy Corp. (b) (l) 3 48
Dominion Resources Inc. (l) 3 183
Entergy Corp. 2 121
Exelon Corp. 6 287
Northwestern Corp. 1 16
NRG Energy Inc. (b) 1 26
PG&E Corp. 5 173
Pinnacle West Capital Corp. 1 36
PPL Corp. 2 101
TXU Corp. 7 573
2,223
Electrical Components & Equipment - 0.4%
American Power Conversion Corp. 3 73
LG Electronics Inc. 2 133
Molex Inc. 3 78
Samsung Electronics Co. Ltd. - 137
421
Electronics - 3.0%
Agilent Technologies Inc. (b) 10 239
Amphenol Corp. - Class A 8 321
Arrow Electronics Inc. (b) 4 106
Avnet Inc. (b) 5 119
Celestica Inc. (b) 21 281
Cymer Inc. (b) 5 137
Fisher Scientific International Inc. (b) (l) 2 132
Flextronics International Ltd. (b) 27 358
Hon Hai Precision Industry Co. Ltd. - GDR 14 145
Kemet Corp. (b) 4 22
Mettler Toledo International Inc. (b) 2 98
Sanmina-SCI Corp. (b) 24 129
Solectron Corp. (b) 104 393
Symbol Technologies Inc. 22 220
Tektronix Inc. 4 98
Thermo Electron Corp. (b) 6 159
Varian Inc. (b) 3 125
Vishay Intertechnology Inc. (b) 5 63
Waters Corp. (b) 5 186
Watts Water Technologies Inc. 4 131
3,462
Engineering & Construction - 1.6%
ABB Ltd. (b) 12 79
Dycom Industries Inc. (b) 11 214
Fluor Corp. 9 490
Foster Wheeler Ltd. (b) 10 189
Granite Construction Inc. 7 185
Jacobs Engineering Group Inc. (b) 2 135
Larsen & Toubro Ltd. 4 92
Shaw Group Inc. (b) 7 146
SNC-Lavalin Group Inc. - 6
URS Corp.(b) 6 232
Washington Group International Inc. (b) 1 30
1,798
Entertainment - 0.1%
Macrovision Corp. (b) 4 100
Six Flags Inc. (b) 7 31
131
Food - 0.9%
Corn Products International Inc. 7 162
Dean Foods Co. (b) 4 155
General Mills Inc. 3 117
Groupe Danone 1 70
J.M. Smucker Co. 3 133
Kellogg Co. 2 84
McCormick & Co. Inc. 4 131
Safeway Inc. (b) 5 111
Smithfield Foods Inc. (b) 2 57
1,020
Forest Products & Paper - 0.2%
Smurfit-Stone Container Enterprises Inc. (b) (l) 11 108
Tembec Inc. (b) 7 20
Votorantim Celulose e Papel SA 6 66
194
Hand & Machine Tools - 0.1%
Techtronic Industries Co. Ltd. 62 155
Healthcare - 4.0%
Aetna Inc. 2 157
Alcon Inc. 1 87
Aspect Medical Systems Inc. (b) 2 65
Bausch & Lomb Inc. 1 83
Baxter International Inc. 7 275
Beckman Coulter Inc. 1 89
Becton Dickinson & Co. 1 68
Conmed Corp. (b) 1 28
CR Bard Inc. 1 80
Cytyc Corp. (b) 1 22
Dade Behring Holdings Inc. (b) 7 429
DaVita Inc. (b) 2 82
Edwards Lifesciences Corp. (b) 4 155
Guidant Corp. 2 101
Hanger Orthopedic Group Inc. (b) 11 57
Health Net Inc. (b) 5 202
Humana Inc. 2 72
Immucor Inc. (b) - 1
Johnson & Johnson 3 163
Medtronic Inc. 4 181
Pacificare Health Systems Inc. (b) 5 379
Pediatrix Medical Group Inc. (b) 2 125
Resmed Inc. (b) (l) 2 119
Sierra Health Services Inc. 1 57
St. Jude Medical Inc. (b) 4 166
Sunrise Senior Living Inc. (b) 1 59
Synthes Inc. 1 150
UnitedHealth Group Inc. 18 921
WellPoint Inc. (b) 2 153
4,526
Home Builders - 1.1%
Champion Enterprises Inc. (b) 2 19
Coachmen Industries Inc. 3 35
DR Horton Inc. 5 204
KB Home 4 305
Ryland Group Inc. 3 212
Standard-Pacific Corp. 2 150
Toll Brothers Inc. (b) 4 376
1,301
Home Furnishings - 0.1%
Sony Corp. - ADR 2 69
Tempur-Pedic International Inc. (b) 2 46
115
Household Products - 0.1%
Spectrum Brands Inc. (b) 2 63
Insurance - 3.3%
ACE Ltd. 5 202
Aflac Inc. 5 212
AMBAC Financial Group Inc. 2 133
American International Group Inc. 24 1,406
Assurant Inc. 2 87
Conseco Inc. (b) 3 57
Endurance Specialty Holdings 4 144
Fidelity National Financial Inc. 2 61
Genworth Financial Inc. - Class A 3 94
Hartford Financial Services Group Inc. 3 239
Hilb Rogal & Hobbs Co. 2 65
MBIA Inc. (l) 4 255
MGIC Investment Corp. 1 59
Scottish Re Group Ltd. 14 335
Specialty Underwriters' Alliance Inc. (b) 5 42
St. Paul Travelers Cos. Inc. 5 190
Universal American Financial Corp. (b) 3 57
USI Holdings Corp. (b) 6 80
WR Berkley Corp. 1 42
3,760
Internet - 0.9%
Avocent Corp. (b) 3 79
Cogent Communications Group Inc. (b) - 3
Covad Communications Group Inc. (b) (l) 114 159
Ebay Inc. (b) 4 121
Macromedia Inc. (b) 3 132
Net B@nk Inc. 16 147
Symantec Corp. 1 17
TIBCO Software Inc. (b) 5 30
WebMD Corp. (b) 11 111
Yahoo! Inc. (b) 6 198
997
Iron & Steel - 0.0%
Usinas Sider Minas - Class A (b) 3 44
Leisure Time - 0.4%
Brunswick Corp. 3 134
Carnival Corp. 2 82
Royal Caribbean Cruises Ltd. (l) 4 174
WMS Industries Inc. (b) 2 61
451
Lodging - 0.2%
Kerzner International Ltd. (b) 3 177
Wyndham International Inc. (b) 9 10
187
Machinery - 0.3%
Albany International Corp. 2 55
Astec Industries Inc. (b) 1 21
Atlas Copco AB - Class B (b) 4 63
Briggs & Stratton Corp. (l) 2 80
Gardner Denver Inc. (b) 2 53
Manitowoc Co. Inc. 1 49
Weir Group Plc 10 59
380
Manufacturing - 3.2%
Acuity Brands Inc. 2 41
Blount International Inc. (b) 1 22
Cooper Industries Ltd. - Class A - 13
Danaher Corp. 1 68
Freightcar America Inc. (b) 2 34
General Electric Corp. 67 2,322
Honeywell Inernational Inc. 9 316
Smith Corp. 3 85
Smiths Group Plc 2 30
SPX Corp. 4 170
Tyco International Ltd. 19 555
3,656
Media - 1.6%
Antena 3 De Television SA (b) 6 120
DirecTV Holdings LLC (b) 7 102
EchoStar Communications Corp. 8 238
EW Scripps Co. 2 117
Gestevision Telecinco SA 4 91
Lagardere S.C.A. 2 133
Liberty Media Corp. (b) 18 187
McGraw-Hill Cos. Inc. 2 89
News Corp. Inc. 14 227
Radio One Inc. (b) (l) 4 50
Salem Communications - Class A (b) 2 43
SBS Broadcasting SA (b) 1 47
TVN SA (b) 3 45
Univision Communications Inc. - Class A (b) (l) - 11
Vivendi Universal SA - ADR (b) 3 81
Walt Disney Co. 10 252
1,833
Metal Fabrication & Hardware - 0.4%
Precision Castparts Corp. 3 234
Timken Co. 9 210
444
Mining - 1.5%
Agnico-Eagle Mines Ltd. 8 96
Alcan Aluminium Ltd. 7 210
Alcoa Inc. 7 188
Compass Minerals International 3 68
Falconbridge Ltd. 2 67
Fording Canadian Coal Trust 1 110
GoldCorp. Inc. 13 204
Inmet Mining Corp. (b) 1 9
Ivanhoe Mines Ltd. (b) 3 23
LionOre Mining International Ltd. (b) 5 28
Massey Energy Co. 2 61
Meridian Gold Inc. (b) 15 273
Noranda Inc. 4 65
Phelps Dodge Corp. 1 74
Stillwater Mining Co. (b) 10 71
Teck Cominco Ltd. (b) 3 88
Treehouse Foods Inc. (b) 1 29
1,664
Office & Business Equipment - 0.2%
Xerox Corp. (b) 17 230
Office Furnishings - 0.2%
Herman Miller Inc. (l) 3 83
Interface Inc. 15 121
Steelcase Inc. (b) 2 21
225
Oil & Gas Producers - 3.3%
Cabot Oil & Gas Corp. - Class A 2 80
Chesapeake Enegy Corp. 7 169
Encana Corp. 6 221
Giant Industries Inc. (b) - 14
Grey Wolf Inc. (b) (l) 24 180
Holly Corp. 5 216
Mariner Energy Inc. (b) 4 63
McMoRan Exploration Co. (b) (l) 2 33
Nabors Industries Ltd. (b) 2 127
Penn Virginia Corp. 2 80
Petroleum Development Corp. (b) 2 48
Plains Exploration & Production Co. (b) 3 92
Pride International Inc. (b) 35 892
Quicksilver Resources Inc. (b) (l) 5 294
Range Resources Corp. 5 145
Ultra Petroleum Corp. (b) 1 18
Valero Energy Corp. 13 1,052
3,724
Oil & Gas Services - 3.7%
BJ Services Co. 7 388
Grant Prideco Inc. (b) 29 756
Halliburton Co. 22 1,028
Maverick Tube Corp. (b) 1 27
National Oilwell Varco Inc. (b) 26 1,257
Smith International Inc. 4 242
Weatherford International Ltd. (b) (l) 8 470
4,168
Packaging & Containers - 0.6%
Owens-Illinois Inc. 14 351
Packaging Corp. of America 2 36
Pactiv Corp. (b) 15 325
712
Pharmaceuticals - 3.1%
Abbott Laboratories 2 113
Alkermes Inc. (b) 7 87
AmerisourceBergen Corp. 1 69
Angiotech Pharmaceuticals Inc. (b) 4 49
Atherogenics Inc. (b) 7 113
Barr Laboratories Inc. 3 143
Cardinal Bergen Health Inc. 8 438
Caremark Rx Inc. (b) 3 135
Cipla Ltd. 4 29
Connetics Corp. (l) 12 205
CSL Ltd. 7 174
Endo Pharmaceuticals Holdings Inc. (b) 4 102
Guilford Pharmaceuticals Inc. (b) 16 35
IVAX Corp. (b) 5 101
Medarex Inc. (b) 8 63
Medco Health Solutions Inc. (b) 2 91
Omnicare Inc. 3 106
Onyx Pharmaceuticals Inc. (b) 2 55
OSI Pharmaceuticals Inc. (b) 3 131
Pfizer Inc. 23 646
Priority Healthcare Corp. - Class B (b) (l) 3 79
Schering-Plough Corp. 15 276
Wyeth 8 343
3,583
Pipelines - 0.0%
El Paso Corp. 3 30
Real Estate - 0.7%
Alexandria Real Estate Equites Inc. - 29
CBL & Associates Properties Inc. 1 60
Centerpoint Properties Trust 2 85
Corporate Office Properties Trust SBI MD 1 24
Education Realty Trust Inc. (b) 2 27
Equity Lifestyle Properties Inc. 1 52
Equity Office Properties Trust 2 70
Equity Residential Properties Trust 4 136
General Growth Properties 3 103
Highwoods Properties Inc. 1 24
Reckson Associate Realty Corp. 2 67
Trizec Properties Inc. 3 55
Vornado Realty Trust 1 96
828
Retail - 2.2%
Aeropostale Inc. (b) 3 104
Big 5 Sporting Goods Corp. 3 94
Brinker International Inc. (b) 3 104
CVS Corp. 9 267
Dollar Tree Stores Inc. (b) 5 115
Edgars Consolidated Stores Ltd. - 17
Federated Department Stores Inc. 1 103
Foot Locker Inc. 5 142
Fred's Inc. 6 106
Home Depot Inc. 3 124
J.C. Penney Co. Inc. 2 110
Jean Coutu Group Inc. 6 91
McDonald's Corp. 10 275
Outback Steakhouse Inc. 1 59
Pacific Sunwear of California Inc. (b) 5 107
PEP Boys-Manny Moe & Jack 8 107
Rite Aid Corp. (b) 7 28
Ross Stores Inc. 3 72
Ruby Tuesday Inc. - 5
Sonic Automotive Inc. 1 17
Sports Authority Inc. (b) 1 41
Staples Inc. 2 45
Walgreen Co. 1 28
Wal-Mart Stores Inc. 8 390
2,551
Savings & Loans - 0.7%
Fidelity Bankshares Inc. 3 68
First Niagara Financial Group Inc. 2 25
Golden West Financial Corp. 1 77
Hudson City Bancorp. Inc. 8 95
KNBT Bancorp. Inc. 2 30
New York Community Bancorp. Inc. (l) 8 147
Newalliance Bancshares Inc. 6 89
Sovereign Bancorp. Inc. 12 264
795
Semiconductors - 4.0%
Advanced Micro Devices Inc. (b) 3 50
Agere Systems Inc. (b) 35 423
AMIS Holdings Inc. (b) 2 23
Amkor Technology Inc. (b) 16 70
Analog Devices Inc. 1 45
Applied Materials Inc. 2 24
Asat Holdings - ADR (b) 12 10
ASML Holding NV (b) 11 168
ATMI Inc. (b) 17 482
Axcelis Technologies Inc. (b) 25 169
Cascade Microtech Inc. (b) 3 44
Conexant Systems Inc. 15 24
Credence Systems Corp. (b) 14 126
Cypress Semiconductor Corp. (b) (l) 5 60
Fairchild Semiconductor International Inc. (b) 18 263
Formfactor Inc. (b) 4 106
Freescale Semiconductor Inc. (b) (l) 61 1,301
Integrated Device Technology Inc. (b) 3 27
Intel Corp. 2 42
Intersil Corp. 13 252
LTX Corp. (b) 31 153
Microchip Technology Inc. 2 53
National Semiconductor Corp. 16 361
ON Semiconductor Corp. (b) 10 46
PMC - Sierra Inc. (b) (l) 8 73
Silicon Laboratories Inc. (b) 4 105
Teradyne Inc. (b) 7 89
Vitesse Semiconductor Corp. (b) 14 29
4,618
Software - 0.9%
Activision Inc. (b) 2 37
BEA Systems Inc. (b) 21 185
Cerner Corp. (b) (l) 1 95
Citrix Systems Inc. (b) 2 41
Cognos Inc. (b) 2 58
Filenet Corp. (b) 2 58
Hyperion Solutions Corp. (b) 1 36
Microsoft Corp. 14 348
Take-two Interactive Software Inc. (b) (l) 3 87
Ulticom Inc. (b) - 1
Veritas Software Corp. (b) 3 81
1,027
Telecommunications - 1.9%
AT&T Corp. 4 67
BellSouth Corp. 8 221
Citizens Communications Co. (l) 3 36
Mastec Inc. (b) 12 105
NTL Inc. (b) 6 404
Philippine Long Dist - ADR 1 32
RCN Corp. (b) 1 25
SBC Communications Inc. 24 580
Societe Europeenne Des Satellites 4 62
Telewest Global Inc. (b) 6 137
Verizon Communications 16 542
2,211
Telecommunications Equipment - 0.8%
Andrew Corp. (b) 4 54
Avaya Inc. (b) 26 219
Cisco Systems Inc. (b) 4 76
Finsar Corp. (b) 1 1
Harris Corp. 3 100
Juniper Networks Inc. (b) 3 68
Liberty Global Inc. Class A (b) 5 218
Sycamore Networks Inc. (b) 63 219
955
Tobacco - 1.2%
Altria Group Inc. 21 1,351
Transportation - 0.8%
Alexander & Baldwin Inc. 3 135
Aries Maritime Transport Ltd. (b) - 4
Burlington Northern Santa Fe Corp. 4 169
EGL Inc. (b) 5 102
Laidlaw International (b) 9 219
Norfolk Southern Corp. 7 226
US Xpress Enterprises Inc. (b) - 5
UTI Worldwide Inc. 1 69
929
Wireless Telecommunications - 1.6%
American Tower Corp. (b) 22 454
Crown Castle International Corp. 8 161
Dobson Communications Corp. (b) 2 9
Motorola Inc. 12 228
MTN Group Ltd. 4 29
Nextel Communications Inc. (b) 7 213
Nextel Partners Inc. (b) (l) 10 244
NII Holdings Inc. - Class B (b) 3 173
Qualcomm Inc. 4 116
Spectrasite Inc. (b) 2 171
Wireless Facilities Inc. (b) 5 30
1,828
Total Common Stocks (cost $70,486) 77,982
Preferred Stocks - 0.1%
Diversified Financial Services - 0.0%
Lazard Ltd., 6.625%, 05/15/08 2 41
Pharmaceuticals - 0.0%
Schering-Plough Corp., 6.00%, 09/14/07 1 46
Total Preferred Stocks (cost $88) 87
Corporate Bonds - 0.0%
Auto Parts & Equipment - 0.0%
Exide Technologies, 1.91%, 09/18/13 (e) (j) $10 5
Oil & Gas Producers - 0.0%
McMoRan Exploration Co., 5.25%, 10/06/11 (e) (j) 20 27
Telecommunications - 0.0%
Level 3 Communications Inc., 5.25%, 12/15/11 (e) (j) 20 14
Total Corporate Bonds (cost $50) 46
Government Securities - 29.3%
U.S. Treasury Securities - 29.3%
U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,800 6,129
U.S. Treasury Note
2.75%, 06/30/06 (l) 11,603 11,514
3.375%, 09/15/09 (l) 7,824 7,719
4.25%, 11/15/13 (l) 7,885 8,078
Total Government Securities (cost $32,186) 33,440
Short Term Investments - 32.7%
Money Market Funds - 2.2%
Dreyfus Cash Management Plus Fund, 3.05% (a) 2,616 2,616
Securities Lending Collateral - 30.5%
Mellon GSL Delaware Business Trust Collateral Fund 34,769 34,769
Total Short Term Investments (cost $37,385) 37,385
Total Investments - 130.5% (cost $140,195) 148,940
Other Assets and Liabilities, Net - (30.5%) (34,779)
Total Net Assets - 100% $114,161
JNL/FMR Capital Growth Fund
Percentage of Total
Industry Sector Investments (o)
Communications 32.2%
Consumer, Cyclical 15.4%
Consumer, Non-cyclical 13.9%
Energy 13.5%
Industrial 9.4%
Basic Materials 7.4%
Financial 4.1%
Technology 3.5%
Money Market Investment 0.6%
100.0%
Common Stocks - 99.7%
Advertising - 3.6%
Getty Images Inc. (b) (l) 46 $3,412
Omnicom Group Inc. (l) 53 4,209
7,621
Aerospace & Defense - 1.7%
Argon St. Inc. (b) 6 203
Empresa Brasileira de Aeronautica SA - ADR 68 2,235
L-3 Communicaitons Holdings Inc. 13 1,019
3,457
Agriculture - 2.2%
Monsanto Co. 71 4,451
Airlines - 0.5%
Westjet Airlines Ltd. (b) 84 935
Auto Manufacturers - 1.4%
Renault SA 33 2,889
Beverages - 1.0%
Molson Coors Brewing Co. (l) 33 2,071
Building Materials - 1.4%
Cemex SA De Cv - ADR (b) 12 526
Martin Marietta Materials Inc. 3 200
Texas Industries Inc. 38 2,114
2,840
Chemicals - 4.2%
Ashland Inc. 7 532
Mosaic Co. (b) (l) 153 2,376
Potash Corp. Inc. 57 5,437
Wellman Inc. 20 200
8,545
Commercial Services - 3.8%
Career Education Corp. (b) 104 3,816
Devry Inc. 66 1,321
Service Corp. International (b) 33 267
Universal Technical Institute Inc. (b) 42 1,378
Wright Express Corp. (b) 55 1,007
7,789
Computers - 2.7%
Research In Motion Ltd. (b) 76 5,568
Diversified Financial Services - 4.1%
Archipelago Holdings Inc. (b) (l) 51 1,974
Calamos Asset Management Inc. 160 4,364
Greenhill & Co. Inc. 30 1,199
Lazard Ltd. - Class A (b) 42 984
8,521
Electronics - 1.0%
Agilent Technologies Inc. (b) 2 46
Flir Systems Inc. (b) - 3
Symbol Technologies Inc. 197 1,947
1,996
Engineering & Construction - 1.0%
Fluor Corp. (l) 36 2,073
Entertainment - 0.2%
Sportingbet Plc 60 350
Food - 2.8%
Safeway Inc. (b) (l) 251 5,675
Healthcare - 2.8%
Cyberonics Inc. (b) (l) 37 1,588
Cytyc Corp. (b) 172 3,788
Health Net Inc. (b) 9 347
5,723
Home Furnishings - 5.6%
Harman International Industries Inc. 143 11,602
Internet - 2.4%
Arbinet-thexchange Inc. (b) (l) 251 1,679
Cogent Communications Group Inc. (b) 22 143
Google Inc. - Class A (b) 7 2,076
Openwave Systems Inc. (b) 22 353
Sohu.com Inc. (b) 33 713
4,964
Leisure Time - 3.3%
Royal Caribbean Cruises Ltd. (l) 142 6,843
Lodging - 0.0%
Las Vegas Sands Corp. (b) 1 18
Machinery - 0.4%
Flowserve Inc. 27 802
Manufacturing - 2.2%
Eastman Kodak Co. (l) 157 4,221
Smiths Group Plc 18 290
4,511
Media - 1.5%
DirecTV Holdings LLC (b) (l) 39 601
Salem Communications - Class A (b) 128 2,545
3,146
Mining - 3.4%
Newmont Mining Corp. 98 3,817
Novelis Inc. (b) 119 3,014
Peabody Energy Corp. 2 104
6,935
Office Furnishings - 1.4%
Knoll Inc. 168 2,869
Oil & Gas Producers - 5.6%
Diamond Offshore Drilling Inc. 44 2,367
GlobalSantaFe Corp. 28 1,126
Goodrich Petroleum Corp. (b) (l) 54 1,113
Noble Corp. 30 1,833
Pioneer Natural Resources Co. 36 1,528
Tesoro Corp. (b) 77 3,582
11,549
Oil & Gas Services - 7.9%
Cooper Cameron Corp. (b) (l) 22 1,384
Grant Prideco Inc. (b) (l) 125 3,314
National Oilwell Varco Inc. (b) 100 4,771
Seacor Holdings Inc. (b) 31 1,968
Weatherford International Ltd. (b) (l) 82 4,760
16,197
Pharmaceuticals - 1.4%
Neurocrine Biosciences Inc. (b) (l) 69 2,883
Retail - 3.0%
Aeropostale Inc. (b) 28 941
Chico's FAS Inc. (b) 2 69
GameStop Corp. (b) 15 484
Tiffany & Co. (l) 142 4,649
Urban Outfitters Inc. (b) 2 113
6,256
Semiconductors - 0.8%
Nvidia Corp. (b) 10 270
Silicon Laboratories Inc. (b) (l) 26 692
Skyworks Solutions Inc. (b) 89 653
1,615
Telecommunications - 9.3%
Citizens Communications Co. (l) 344 4,621
Essex Corp. (b) 20 467
Neustar Inc. - Class A (b) 6 146
NTL Inc. (b) 73 4,968
Philippine Long Dist - ADR 61 1,784
Sprint Corp. (l) 286 7,178
19,164
Telecommunications Equipment - 0.8%
Comverse Technology Inc. (b) 54 1,275
Harris Corp. 11 343
1,618
Transportation - 1.8%
Burlington Northern Santa Fe Corp. 39 1,850
Diana Shipping Inc. (b) 28 404
Dryships Inc. (b) 14 234
Norfolk Southern Corp. 41 1,257
3,745
Venture Capital - 0.1%
Orascom Telecom - GDR (b) (l) 5 238
Wireless Telecommunications - 14.4%
American Tower Corp. (b) (l) 295 6,192
Crown Castle International Corp. 37 752
Hutchison Telecommunications International Ltd. (b) 232 3,472
Motorola Inc. 192 3,511
Nextel Communications Inc. (b) 347 11,218
Nokia Corp. - Class A - ADR 270 4,484
29,629
Total Common Stocks (cost $195,612) 205,087
Short Term Investments - 23.3%
Money Market Funds - 0.6%
Dreyfus Cash Management Plus Fund, 3.05% (a) 1,316 1,316
Securities Lending Collateral - 22.7%
Mellon GSL Delaware Business Trust Collateral Fund 46,649 46,649
Total Short Term Investments (cost $47,965) 47,965
Total Investments - 123.0% (cost $243,577) 253,055
Other Assets and Liabilities, Net - (23.0%) (47,327)
Total Net Assets - 100% $205,728
JNL/Franklin Templeton Small Cap Value Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Cyclical 29.2%
Industrial 25.3%
Basic Materials 12.0%
Money Market Investment 10.0%
Financial 7.6%
Consumer, Non-cyclical 5.5%
Energy 4.4%
Technology 4.2%
Utilities 1.0%
Communications 0.8%
100.0%
Common Stocks - 80.0%
Airlines - 1.1%
Skywest Inc. 35 $629
Apparel - 2.4%
Gymboree Corp. (b) 36 492
Russell Corp. 14 288
Timberland Co. - Class A (b) (l) 13 503
1,283
Auto Manufacturers - 1.6%
Wabash National Corp. 36 867
Auto Parts & Equipment - 0.9%
Superior Industries International Inc. 21 502
Banks - 0.6%
Chemical Financial Corp. - 7
First Indiana Corp. 7 214
Peoples Bancorp. Inc. 4 99
320
Building Materials - 3.5%
Apogee Enterprises Inc. 28 424
Genlyte Group Inc. (b) 10 478
York International Corp. (l) 25 954
1,856
Chemicals - 5.0%
Airgas Inc. 18 447
Cabot Corp. 25 822
RPM International Inc. 44 794
Westlake Chemical Corp. 24 593
2,656
Commercial Services - 1.0%
ABM Industries Inc. 7 129
Dollar Thrifty Automotive Group (b) 10 387
516
Computers - 1.0%
Reynolds & Reynolds - Class A (l) 21 557
Distribution & Wholesale - 0.3%
Hughes Supply Inc. 5 146
Diversified Financial Services - 0.1%
National Financial Partners Corp. 1 39
Electric - 0.9%
Sierra Pacific Resources (b) (l) 39 484
Electrical Components & Equipment - 0.3%
Powell Industries Inc. (b) 8 157
Electronics - 1.8%
Mettler Toledo International Inc. (b) 13 596
Watts Water Technologies Inc. 11 365
961
Engineering & Construction - 0.6%
EMCOR Group Inc. (b) 7 333
Entertainment - 0.8%
Intrawest Corp. (b) 18 443
Environmental Control - 0.3%
Mine Safety Appliances Co. 4 185
Forest Products & Paper - 1.3%
Glatfelter 38 467
Mercer International Inc. (b) 33 243
710
Hand & Machine Tools - 1.6%
Kennametal Inc. 18 825
Healthcare - 2.0%
Steris Corp. (b) 23 600
West Pharmaceutical Services Inc. 16 443
1,043
Home Builders - 4.0%
M/I Homes Inc. 11 611
Monaco Coach Corp. 37 643
Thor Industries (b) (l) 27 861
2,115
Home Furnishings - 3.2%
American Woodmark Corp. 7 207
Bassett Furniture Industries Inc. 9 162
Ethan Allen Interiors Inc. (l) 19 630
Hooker Furniture Corp. 14 252
La-Z-Boy Inc. (l) 30 431
1,682
Household Products - 0.8%
Russ Berrie & Co. Inc. 33 424
Insurance - 5.7%
Aspen Insurance Holdings Ltd. (b) 23 639
IPC Holdings Ltd. 18 725
Montpelier Re Holdings Ltd. 25 854
RLI Corp. 12 535
Stancorp. Financial Group 3 253
3,006
Internet - 0.7%
Avocent Corp. (b) 15 387
Iron & Steel - 3.8%
Gibraltar Industries Inc. 27 493
Reliance Steel & Aluminum Co. 17 619
Steel Dynamics Inc. (l) 35 919
2,031
Lodging - 2.0%
Aztar Corp. (b) 21 706
La Quinta Corp. (b) 40 369
1,075
Machinery - 4.6%
Briggs & Stratton Corp. (l) 29 994
CNH Global NV (b) 13 246
Graco Inc. 21 726
JLG Industries Inc. (b) (l) 17 464
Nordson Corp. 1 17
2,447
Manufacturing - 3.1%
Aptargroup Inc. 9 457
Carlisle Cos. Inc. (l) 3 220
Lancaster Colony Corp. 5 193
Smith Corp. 9 227
Teleflex Inc. 9 528
1,625
Metal Fabrication & Hardware - 3.8%
CIRCOR International Inc. 19 466
Mueller Industries Inc. 54 1,450
Timken Co. (l) 4 102
2,018
Oil & Gas Producers - 0.4%
Atwood Oceanics Inc. (b) 4 215
Oil & Gas Services - 3.6%
Global Industries Ltd. (b) 38 320
Lone Star Technologies Inc. (b) 14 628
Oil States International Inc. (b) (l) 14 352
Tidewater Inc. (l) 16 591
1,892
Pharmaceuticals - 1.2%
NBTY Inc. (b) 24 628
Real Estate - 0.4%
Arbor Realty Trust Inc. 8 221
Retail - 10.3%
Brown Shoe Co. Inc. 22 861
Casey's General Stores Inc. 20 388
Christopher & Banks Corp. 32 581
Dillard's Inc. - Class A 16 377
HOT Topic Inc. (b) (l) 22 413
Linens `N Things Inc. (b) 12 289
Men's Wearhouse Inc. (b) (l) 16 547
Pier 1 Imports Inc. (l) 35 490
Regis Corp. 19 731
West Marine Inc. (b) 39 710
Zale Corp. (b) 3 105
5,492
Semiconductors - 2.7%
Cohu Inc. 20 403
Omnivision Technologies Inc. (b) 78 1,055
1,458
Transportation - 2.4%
Kansas City Southern Industries Inc. (b) 19 373
Offshore Logistics (b) 10 319
OMI Corp. (l) 15 291
Overseas Shipholding Group 5 310
1,293
Total Common Stocks (cost $40,190) 42,520
Short Term Investments - 33.5%
Money Market Funds - 10.0%
Dreyfus Cash Management Plus Fund, 3.05% (a) 2,661 2,661
Dreyfus Government Cash Management, 3.00% (a) 2,661 2,661
5,322
Repurchase Agreement - 11.3%
Repurchase Agreement with Mellon Trust, 0.41%, (Collateralized by $9,337
Federal Home Mortgage Corporation, 3.50%, due 06/15/23, market value
$8,854)
acquired on 06/30/05, due 07/01/05 at $6,018 $6,018 6,018
Securities Lending Collateral - 12.2%
Mellon GSL Delaware Business Trust Collateral Fund 6,457 6,457
Total Short Term Investments (cost $17,797) 17,797
Total Investments - 113.5% (cost $57,987) 60,316
Other Assets and Liabilities, Net - (13.5%) (7,174)
Total Net Assets - 100% $53,142
JNL/Goldman Sachs Mid Cap Value Fund
Percentage of Total
Industry Sector Investments (o)
Financial 25.4%
Consumer, Cyclical 16.0%
Utilities 13.1%
Industrial 10.4%
Energy 9.7%
Consumer, Non-cyclical 9.6%
Money Market Investment 5.8%
Communications 3.8%
Basic Materials 3.7%
Technology 2.5%
100.0%
Common Stocks - 97.2%
Advertising - 1.3%
Lamar Advertising Co. (b) (l) 17 $722
Aerospace & Defense - 2.3%
Alliant Techsystems Inc. (b) 8 550
Rockwell Collins 15 707
1,257
Agriculture - 0.9%
Archer-Daniels-Midland Co. 22 467
Auto Parts & Equipment - 1.3%
Autoliv Inc. 10 417
Lear Corp. (l) 9 310
727
Banks - 7.6%
Commerce Bancshares Inc. 7 360
FirstMerit Corp. 26 691
KeyCorp. (l) 15 500
M&T Bank Corp. (l) 10 1,015
Northern Trust Corp. 12 547
Zions Bancorp. 14 1,025
4,138
Beverages - 0.4%
Pepsi Bottling Group Inc. 8 238
Biotechnology - 2.3%
Charles River Laboratories International Inc. (b) 11 530
Medimmune Inc. (b) 27 724
1,254
Building Materials - 1.3%
American Standard Cos. 17 725
Chemicals - 2.4%
Agrium Inc. 28 554
Rohm And Haas Co. 17 766
1,320
Commercial Services - 0.8%
BearingPoint Inc. (b) (l) 63 463
Distribution & Wholesale - 2.3%
CDW Corp. (l) 10 576
Ingram Micro Inc.- Class A 1 15
Tech Data Corp. 18 651
1,242
Diversified Financial Services - 2.8%
Bear Stearns Cos. Inc. 7 759
CIT Group Inc. 18 776
1,535
Electric - 11.0%
Cinergy Corp. 7 296
CMS Energy Corp. (b) (l) 8 118
Edison International Inc. 13 544
Entergy Corp. 14 1,078
Firstenergy Corp. 13 635
PG&E Corp. (l) 27 1,014
Pinnacle West Capital Corp. 1 37
PNM Resources Inc. 8 224
PPL Corp. 26 1,527
Public Service Enterprise 2 117
Wisconsin Energy Corp. 10 401
5,991
Electronics - 0.8%
Amphenol Corp. - Class A 11 438
Environmental Control - 1.1%
Republic Services Inc. - Class A 16 588
Food - 1.0%
Smithfield Foods Inc. (b) (l) 20 552
Forest Products & Paper - 1.4%
Plum Creek Timber Co. Inc. 21 770
Gas - 2.5%
AGL Resources Inc. 32 1,225
Energen Corp. 4 126
1,351
Hand & Machine Tools - 0.7%
Stanley Works (l) 9 394
Healthcare - 1.9%
Health Net Inc. (b) 27 1,023
Home Builders - 2.4%
Lennar Corp. (l) 21 1,320
Household Products - 2.6%
Clorox Co. 12 687
Newell Rubbermaid Inc. (l) 30 714
1,401
Insurance - 8.3%
AMBAC Financial Group Inc. (l) 11 784
Everest Re Group Ltd. 9 843
PartnerRe Ltd. 11 726
PMI Group Inc. (l) 10 374
Renaissancere Holdings Ltd. 14 713
Torchmark Corp. (l) 12 620
Willis Group Holdings Ltd. 15 485
4,545
Internet - 1.1%
Avocent Corp. (b) 10 272
WebMD Corp. (b) 33 339
611
Investment Companies - 0.9%
American Capital Strategies Ltd. (b) (l) 14 503
Leisure Time - 0.8%
Callaway Golf Co. (l) 27 418
Lodging - 1.9%
Harrah's Entertainment Inc. 7 519
Hilton Hotels Corp. 21 493
1,012
Machinery - 0.4%
Zebra Technologies Corp. (b) 5 223
Manufacturing - 1.8%
Carlisle Cos. Inc. (l) 6 378
Cooper Industries Ltd. - Class A 9 587
965
Media - 1.4%
Dow Jones & Co. Inc. (l) 21 758
Office & Business Equipment - 0.4%
Xerox Corp. (b) 16 220
Oil & Gas Producers - 6.6%
EOG Resources Inc. (l) 34 1,905
Frontier Oil Corp. 12 360
Noble Energy Inc. 9 692
Range Resources Corp. 24 649
3,606
Oil & Gas Services - 1.8%
BJ Services Co. 10 536
Teekay Shipping Corp. (b) 10 436
972
Packaging & Containers - 1.0%
Packaging Corp. of America (l) 25 536
Pharmaceuticals - 0.6%
IVAX Corp. (b) (l) 15 312
Pipelines - 2.4%
Western Gas Resources Inc. (l) 14 491
Williams Cos. Inc. 43 826
1,317
Real Estate - 6.4%
Apartment Investment & Management Co. 20 812
Developers Divers Realty Corp. (l) 15 705
Equity Residential Properties Trust 6 217
Healthcare Realty Trust Inc. 1 50
iStar Financial Inc. 29 1,190
Prentiss Properties Trust 14 498
3,472
Retail - 5.2%
Federated Department Stores Inc. (l) 16 1,140
J.C. Penney Co. Inc. (l) 17 910
Ross Stores Inc. 13 385
Talbots Inc. 12 396
2,831
Semiconductors - 1.0%
Freescale Semiconductor Inc. (b) (l) 10 207
Tessera Technologies Inc. (b) 10 346
553
Software - 1.2%
Activision Inc. (b) 39 652
Telecommunications Equipment - 0.1%
Ditech Communications Corp. (b) 11 72
Textiles - 1.3%
Mohawk Industries Inc. (b) (l) 9 734
Tobacco - 0.8%
Reynolds American Inc. (l) 5 419
Transportation - 0.7%
Landstar System Inc. (b) 5 151
Yellow Roadway Corp. (b) 5 243
394
Total Common Stocks (cost $49,876) 53,041
Short Term Investments - 27.2%
Money Market Funds - 5.8%
Dreyfus Cash Management Plus Fund, 3.05% (a) 2,709 2,709
Dreyfus Government Cash Management, 3.00% (a) 442 442
3,151
Securities Lending Collateral - 21.4%
Mellon GSL Delaware Business Trust Collateral Fund 11,699 11,699
Total Short Term Investments (cost $14,850) 14,850
Total Investments - 124.4% (cost $64,726) 67,891
Other Assets and Liabilities, Net - (24.4%) (13,296)
Total Net Assets - 100% $54,595
JNL/JPMorgan International Equity Fund
Percentage of Total
Industry Sector Investments (o)
Financial 25.0%
Consumer, Non-cyclical 19.2%
Industrial 12.7%
Consumer, Cyclical 10.0%
Energy 9.9%
Communications 8.7%
Basic Materials 5.2%
Technology 4.4%
Money Market Investment 2.7%
Utilities 2.2%
100.0%
Common Stocks - 97.0%
Advertising - 0.9%
WPP Group Plc 128 $1,313
Auto Manufacturers - 3.0%
Bayerische Motoren Werke AG 60 2,724
Honda Motor Co. Ltd. 51 2,507
5,231
Banks - 17.7%
ABN AMRO Holding NV 99 2,439
Banco Popular Espanol SA (b) 203 2,451
Bank of Ireland 96 1,566
Barclays Plc 302 3,008
BNP Paribas SA 38 2,631
Dexia 99 2,180
HSBC Holdings Plc 343 5,478
Mitsubishi Tokyo Financial Group Inc. - 2,632
Royal Bank of Scotland Group Plc 96 2,895
Standard Chartered Plc (b) 103 1,890
UBS AG 47 3,670
30,840
Beverages - 0.7%
Fomento Economico Mexicano, SA de C.V. (b) 22 1,287
Building Materials - 5.2%
Daikin Industries Ltd. 57 1,411
Holcim Ltd. 39 2,346
Imerys SA 13 867
Lafarge SA 17 1,527
Saint-Gobain Compagnie 51 2,818
8,969
Chemicals - 2.7%
BASF AG 20 1,301
Nitto Denko Corp. 34 1,956
Shin-etsu Chemical Co. Ltd. 38 1,420
4,677
Commercial Services - 1.2%
Adecco SA 46 2,100
Cosmetics & Personal Care - 0.7%
Kao Corp. 55 1,293
Distribution & Wholesale - 4.5%
Esprit Holdings Ltd. 117 840
Mitsubishi Corp. 124 1,674
Sumitomo Corp. 244 1,947
Wolseley Plc 158 3,336
7,797
Diversified Financial Services - 2.7%
Credit Saison Co. Ltd. 32 1,060
Fortis Group (b) 55 1,537
Nikko Cordial Corp. 259 1,133
Takefuji Corp. 14 919
4,649
Electric - 1.2%
National Grid Transco Plc 210 2,033
Electrical Components & Equipment - 0.5%
Sharp Corp. 56 872
Electronics - 3.9%
Fanuc Ltd. 18 1,165
Hirose Electric Co. 8 866
Koninklijke Philips Electronics NV 72 1,828
Samsung Electronics Co. Ltd. - GDR (b) (e) 3 598
Samsung Electronics Co. Ltd. (b) 4 993
Secom Co. Ltd. 31 1,332
6,782
Food - 5.1%
Morrison Supermarkets (b) 726 2,421
Nestle SA 12 3,185
Tesco Plc 582 3,327
8,933
Gas - 1.0%
Centrica Plc 412 1,710
Hand & Machine Tools - 0.7%
SMC Corp. 12 1,259
Healthcare - 2.1%
Hoya Corp. 18 2,058
Smith & Nephew Plc 169 1,669
3,727
Home Furnishings - 0.7%
Matsushita Electric Industrial Co. Ltd. 75 1,135
Insurance - 3.4%
AXA SA 96 2,409
ING Groep NV 60 1,685
Zurich Financial Services AG (b) 11 1,879
5,973
Lodging - 0.2%
InterContinental Hotels Group Plc (b) 32 407
Manufacturing - 1.2%
Siemens AG 28 2,010
Media - 2.3%
Mediaset SpA 79 927
Reed Elsevier NV 114 1,593
Wolters Kluwer NV 80 1,540
4,060
Mining - 2.5%
BHP Billiton - Broken Hill Propreitary Co. Ltd. 141 1,929
Cia Vale Do Rio Doce - ADR (b) 81 2,357
4,286
Office & Business Equipment - 1.7%
Canon Inc. 57 3,011
Oil & Gas Producers - 9.8%
BG Group Plc 365 3,005
ENI SpA 236 6,086
Total SA 34 7,990
17,082
Pharmaceuticals - 9.4%
Astellas Pharma Inc. 63 2,137
Chugai Pharmaceutical Co. Ltd. 56 860
GlaxoSmithKline Plc 210 5,079
Novartis AG 73 3,490
Roche Holding AG 27 3,398
Schering AG 23 1,424
16,388
Real Estate - 1.1%
British Land Co. Plc 116 1,829
Retail - 1.0%
Kingfisher Plc 391 1,722
Software - 1.7%
Dassault Systemes SA 30 1,461
SAP AG 9 1,574
3,035
Tobacco - 1.0%
Altadis SA 43 1,822
Toys & Hobbies - 0.6%
Nintendo Co. Ltd. 10 1,012
Transportation - 1.0%
Deutsche Post AG 73 1,718
Wireless Telecommunications - 5.6%
Nokia Oyj 136 2,284
Telefonaktiebolaget LM Ericsson 587 1,888
Vodafone Group Plc 2,260 5,509
9,681
Total Common Stocks (cost $165,421) 168,643
Short Term Investments - 8.3%
Money Market Funds - 2.7%
Dreyfus Cash Management Plus Fund, 3.05% (a) 4,609 4,609
Securities Lending Collateral - 5.7%
Mellon GSL Delaware Business Trust Collateral Fund 9,832 9,832
Total Short Term Investments (cost $14,441) 14,441
Total Investments - 105.3% (cost $179,862) 183,084
Other Assets and Liabilities, Net - (5.3%) (9,285)
Total Net Assets - 100% $173,799
JNL/JPMorgan International Value Fund
Percentage of Total
Industry Sector Investments (o)
Financial 35.4%
Industrial 14.1%
Energy 11.0%
Consumer, Cyclical 10.5%
Consumer, Non-cyclical 8.1%
Utilities 7.9%
Communications 7.1%
Basic Materials 3.4%
Money Market Investment 1.3%
Technology 1.2%
100.0%
Common Stocks - 98.2%
Aerospace & Defense - 1.2%
BAE Systems Plc 437 $2,250
Auto Manufacturers - 4.1%
Bayerische Motoren Werke AG 51 2,341
Honda Motor Co. Ltd. 61 2,984
Peugeot SA 34 1,988
7,313
Banks - 23.4%
Alpha Bank AE (b) 74 1,971
Australia And New Zealand Banking Group Ltd. 175 2,888
Banca Intesa SpA 276 1,266
Barclays Plc 529 5,267
BNP Paribas SA 41 2,842
Deutsche Bank AG 55 4,340
HSBC Holdings Plc 339 5,411
ICICI Bank Ltd. - ADR 13 293
Kookmin Bank - ADR 42 1,896
Royal Bank of Scotland Group Plc 168 5,078
Societe Generale - Class A 38 3,846
UFJ Holdings Inc. (b) 1 3,019
UniCredito Italiano SpA 676 3,576
41,693
Building Materials - 3.0%
BPB Plc 212 2,010
Buzzi Unicem SpA 114 1,653
JS Group Corp. 101 1,706
5,369
Chemicals - 2.3%
Bayer AG 121 4,048
Distribution & Wholesale - 2.5%
Hagemeyer NV (b) 133 317
Itochu Corp. 477 2,399
Wolseley Plc 82 1,719
4,435
Diversified Financial Services - 1.5%
Daiwa Securities Group Inc. 426 2,618
Electric - 7.8%
E.on AG 64 5,713
Iberdrola SA 124 3,280
International Power Plc (b) 756 2,793
National Grid Transco Plc 223 2,157
13,943
Electrical Components & Equipment - 1.3%
Mitsubishi Electric Corp. 444 2,345
Electronics - 1.0%
Koninklijke Philips Electronics NV 69 1,740
Entertainment - 1.0%
OPAP SA 64 1,859
Environmental Control - 0.9%
Kurita Water Industries Ltd. 106 1,632
Food - 3.3%
Cadbury Schweppes Plc 234 2,232
Koninklijke Wessanen NV 63 891
Tesco Plc 478 2,729
5,852
Insurance - 8.9%
Aviva Plc 221 2,463
AXA SA 195 4,876
ING Groep NV 185 5,228
Zurich Financial Services AG (b) 19 3,268
15,835
Iron & Steel - 1.2%
Cia Vale Do Rio Doce- Sp - ADR (b) 81 2,053
Leisure Time - 0.8%
TUI AG 60 1,487
Machinery - 4.2%
Atlas Copco AB - Class A (b) 142 2,257
Kubota Corp. 629 3,436
Metso Oyj 84 1,840
7,533
Manufacturing - 1.4%
Konica Minolta Holdings Inc. 277 2,577
Media - 2.1%
Lagardere S.c.a. 25 1,857
Prosieben Sat.1 Media AG 53 914
United Business Media Plc (b) 114 1,016
3,787
Oil & Gas Producers - 11.0%
BP Plc 662 6,890
ENI SpA 124 3,198
Lukoil Holdings - ADR 46 1,708
Nippon Mining Holdings Inc. 297 1,678
Nippon Mining Holdings Inc. (b) (e) 72 407
Petroleo Brasileiro SA - ADR 47 2,172
Total SA 15 3,450
19,503
Pharmaceuticals - 1.0%
Sankyo Co. Ltd. 97 1,856
Real Estate - 1.5%
Sun Hung Kai Properties Ltd. 266 2,615
Retail - 1.9%
Richemont-uts A Cie Finance 102 3,444
Semiconductors - 1.2%
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 230 2,101
Telecommunications - 5.0%
France Telecom SA 86 2,505
Nippon Telegraph & Telephone Corp. - 1,528
Royal KPN NV 260 2,181
Telefonica SA 160 2,622
8,836
Tobacco - 3.8%
British American Tobacco Plc 165 3,182
Japan Tobacco Inc. - 3,513
6,695
Transportation - 0.9%
Deutsche Post AG 70 1,629
Total Common Stocks (cost $169,350) 175,048
Short Term Investments - 16.6%
Money Market Funds - 1.3%
Dreyfus Cash Management Plus Fund, 3.05% (a) 2,284 2,284
Securities Lending Collateral - 15.3%
Mellon GSL Delaware Business Trust Collateral Fund 27,199 27,199
Total Short Term Investments (cost $29,483) 29,483
Total Investments - 114.8% (cost $198,833) 204,531
Other Assets and Liabilities, Net - (14.8%) (26,428)
Total Net Assets - 100% $178,103
JNL/Lazard Mid Cap Value Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Cyclical 22.4%
Financial 17.0%
Communications 15.1%
Industrial 13.9%
Consumer, Non-cyclical 12.4%
Basic Materials 5.7%
Energy 5.6%
Technology 4.9%
Money Market Investment 1.8%
Utilities 1.2%
100.0%
Common Stocks - 98.3%
Airlines - 1.0%
Southwest Airlines Co. (l) 178 $2,481
Apparel - 3.6%
Polo Ralph Lauren Corp. 62 2,681
Reebok International Ltd. 116 4,865
7,546
Auto Parts & Equipment - 1.9%
Lear Corp. (l) 111 4,038
Banks - 3.2%
City National Corp. 28 2,037
Mercantile Bankshares Corp. 38 1,953
North Fork Bancorp. Inc. 96 2,697
6,687
Beverages - 1.6%
Pepsi Bottling Group Inc. 121 3,465
Chemicals - 2.3%
Celanese Corp. - Class A (b) 168 2,670
Rohm And Haas Co. 46 2,136
4,806
Commercial Services - 3.6%
Aramark Corp. 184 4,863
Service Corp. (b) 339 2,721
7,584
Computers - 1.9%
DST Systems Inc. (b) 85 3,969
Distribution & Wholesale - 2.6%
CDW Corp. (l) 48 2,740
Ingram Micro Inc.- Class A (b) 174 2,719
5,459
Diversified Financial Services - 2.4%
Federated Investors Inc. - Class B (l) 105 3,158
First Marblehead Corp. (b) (l) 58 2,019
5,177
Electronics - 3.3%
Arrow Electronics Inc. (b) 144 3,903
Vishay Intertechnology Inc. (b) 261 3,099
7,002
Engineering & Construction - 1.2%
Jacobs Engineering Group Inc. (b) 44 2,498
Entertainment - 2.4%
GTECH Holdings Corp. 172 5,023
Environmental Control - 1.0%
Republic Services Inc. - Class A 58 2,078
Food - 0.9%
Dean Foods Co. (b) 52 1,825
Forest Products & Paper - 3.4%
Louisiana-Pacific Corp. 126 3,104
Temple-Inland Inc. 109 4,046
7,150
Gas - 1.2%
KeySpan Corp. (l) 61 2,462
Healthcare - 3.4%
Health Net Inc. (b) 87 3,320
Laboratory Corp. (b) 78 3,897
7,217
Household Products - 3.3%
Fortune Brands Inc. 42 3,712
Newell Rubbermaid Inc. (l) 135 3,226
6,938
Insurance - 7.5%
Jefferson-Pilot Corp. 41 2,052
MGIC Investment Corp. (l) 54 3,541
Protective Life Corp. 102 4,323
Renaissancere Holdings Ltd. 82 4,013
Willis Group Holdings Ltd. 57 1,855
15,784
Leisure Time - 1.8%
Royal Caribbean Cruises Ltd. (l) 80 3,883
Manufacturing - 1.2%
Dover Corp. 67 2,452
Media - 8.2%
A H Belo Corp. 183 4,391
Dex Media Inc. (l) 272 6,642
Westwood One Inc. (b) 308 6,292
17,325
Mining - 0.1%
Treehouse Foods Inc. (b) 10 295
Oil & Gas Producers - 2.0%
GlobalSantaFe Corp. 57 2,305
Valero Energy Corp. 23 1,820
4,125
Oil & Gas Services - 2.6%
Baker Hughes Inc. 45 2,277
BJ Services Co. (l) 60 3,154
5,431
Packaging & Containers - 3.4%
Ball Corp. 106 3,797
Pactiv Corp. (b) 158 3,418
7,215
Pharmaceuticals - 1.0%
Medco Health Solutions Inc. (b) 39 2,092
Pipelines - 1.1%
Williams Cos. Inc. 118 2,238
Real Estate - 2.8%
Health Care Property Investors Inc. 107 2,891
Trizec Properties Inc. 147 3,018
5,909
Retail - 6.4%
Brinker International Inc. (b) 71 2,824
Dollar Tree Stores Inc. (b) 182 4,363
MSC Industrial Direct Co. - Class A 72 2,440
Pier 1 Imports Inc. 134 1,903
Sears Holdings Corp. (b) 14 2,032
13,562
Savings & Loans - 1.1%
Hudson City Bancorp. Inc. 205 2,337
Semiconductors - 0.9%
Novellus Systems Inc. (b) 81 1,997
Software - 2.1%
BEA Systems Inc. (b) 360 3,164
Siebel Systems Inc. (b) (l) 147 1,304
4,468
Telecommunications - 3.1%
Citizens Communications Co. 237 3,180
PanAmSat Holding Corp. 169 3,460
6,640
Telecommunications Equipment - 2.3%
Avaya Inc. (b) 351 2,919
Polycom Inc. 128 1,910
4,829
Toys & Hobbies - 1.1%
Mattel Inc. 129 2,359
Transportation - 3.9%
CNF Inc. 79 3,529
Laidlaw International (b) 92 2,212
Norfolk Southern Corp. 78 2,412
8,153
Wireless Telecommunications - 1.5%
Western Wireless Corp. - Class A 77 3,244
Total Common Stocks (cost $194,808) 207,745
Short Term Investments - 13.6%
Money Market Funds - 1.8%
Dreyfus Cash Management Plus Fund, 3.05% (a) 3,769 3,769
Securities Lending Collateral - 11.8%
Mellon GSL Delaware Business Trust Collateral Fund 24,940 24,940
Total Short Term Investments (cost $28,709) 28,709
Total Investments - 111.9% (cost $223,517) 236,454
Other Assets and Liabilities, Net - (11.9%) (25,103)
Total Net Assets - 100% $211,351
JNL/Lazard Small Cap Value Fund
Percentage of Total
Industry Sector Investments (o)
Financial 19.2%
Consumer, Non-cyclical 17.4%
Industrial 16.4%
Consumer, Cyclical 11.8%
Energy 10.3%
Communications 10.0%
Technology 6.2%
Basic Materials 3.6%
Money Market Investment 2.6%
Utilities 2.5%
100.0%
Common Stocks - 98.4%
Advertising - 2.1%
Advo Inc. 69 $2,182
R.H. Donnelly Inc. (b) 30 1,847
4,029
Aerospace & Defense - 3.9%
DRS Technologies Inc. (b) 28 1,441
Engineered Support Systems Inc. 41 1,476
Esterline Technologies Inc. (b) 42 1,699
Titan Corp. (b) 56 1,278
5,894
Agriculture - 0.6%
Delta & Pine Land Co. 45 1,138
Airlines - 0.8%
Airtran Holdings Inc. (b) (l) 166 1,535
Apparel - 1.6%
Gymboree Corp. (b) 97 1,329
Timberland Co - Class A (b) (l) 42 1,642
2,971
Auto Manufacturers - 0.7%
Wabash National Corp. 55 1,321
Banks - 8.0%
Bank of the Ozarks Inc. 50 1,655
Boston Private Financial Holdings 40 1,008
First Community Bancorp. 28 1,349
First Midwest Bancorp. Inc. 36 1,266
MB Financial Inc. 42 1,685
Provident Bankshares Corp. 31 980
South Financial Group 31 875
Sterling Bancshares Inc. 94 1,460
Texas Regional Bancshares Inc. 46 1,414
Umpqua Holdings Corp. 56 1,306
United Bankshares Inc. 27 951
Westamerica Bancorp. (l) 22 1,151
15,100
Building Materials - 0.5%
Elkcorp. 35 996
Chemicals - 2.2%
Olin Corp. 75 1,364
PolyOne Corp. (b) 177 1,170
Spartech Corp. 89 1,581
4,115
Commercial Services - 6.9%
Alderwoods Group Inc. (b) 40 573
Arbitron Inc. 44 1,875
BearingPoint Inc. (b) 205 1,500
Devry Inc. 54 1,079
Learning Tree International Inc. (b) 116 1,398
MPS Group Inc. (b) 158 1,492
United Rentals Inc. 63 1,267
Watson Wyatt & Co. Holdings 71 1,825
Wright Express Corp. (b) 106 1,957
12,966
Computers - 2.0%
Bisys Group Inc. (b) 101 1,507
Dot Hill Systems Corp. (b) 224 1,172
Radisys Corp. (b) 64 1,027
3,706
Diversified Financial Services - 1.0%
Calamos Asset Management Inc. 24 656
Financial Federal Corp. 30 1,159
1,815
Electric - 0.9%
Cleco Corp. 75 1,613
Electronics - 4.8%
Benchmark Electronics Inc. (b) 47 1,415
Coherent Inc. (b) 41 1,487
Metrologic Instruments Inc. (b) 65 810
Photon Dynamics Inc. (b) 63 1,288
Plexus Corp. (b) 74 1,053
Rogers Corp. (b) 39 1,598
TTM Technologies Inc. (b) 178 1,354
9,005
Engineering & Construction - 1.6%
Chicago Bridge & Iron Co. NV 51 1,157
Shaw Group Inc. (b) (l) 85 1,833
2,990
Entertainment - 1.4%
Alliance Gaming Corp. (b) (l) 140 1,967
Carmike Cinemas Inc. 25 758
2,725
Environmental Control - 1.4%
Tetra Tech Inc. (b) 118 1,601
Waste Connections Inc. (b) 29 1,074
2,675
Food - 1.2%
Performance Food Group Co. (b) 57 1,731
Ralcorp. Holdings Inc. 14 568
2,299
Gas - 1.6%
AGL Resources Inc. 52 2,025
New Jersey Resources Corp. 22 1,057
3,082
Hand & Machine Tools - 0.3%
Kennametal Inc. 12 555
Healthcare - 4.4%
Advanced Medical Optics Inc. (b) 49 1,948
Candela Corp. (b) 48 505
Hanger Orthopedic Group Inc. (b) 159 802
Kindred Healthcare Inc. (b) 26 1,038
LifePoint Hospitals Inc. (b) 28 1,389
Molina Healthcare Inc. (b) 13 575
PSS World Medical Inc. (b) 166 2,072
8,329
Home Builders - 0.5%
Winnebago Industries 29 937
Household Products - 1.7%
Fossil Inc. (b) 54 1,221
Helen of Troy Ltd. (b) 30 771
Scotts Miracle-Gro Co. (b) 28 1,987
3,979
Insurance - 3.9%
Arch Capital Group Ltd. (b) 49 2,185
Assured Guaranty Ltd. 92 2,140
Bristol West Holdings Inc. 64 1,179
Reinsurance Group of America 21 967
Scottish Re Group Ltd. 34 834
7,305
Internet - 1.3%
Avocent Corp. (b) 41 1,069
Secure Computing Corp. (b) 125 1,356
2,425
Iron & Steel - 0.4%
Cleveland-Cliffs Inc. 13 774
Manufacturing - 1.7%
Federal Signal Corp. 56 874
Matthews International Corp. - Class A 16 619
Roper Industries Inc. 24 1,677
3,170
Media - 1.8%
Journal Register Co. (b) 106 1,854
Liberty Corp. 42 1,561
3,415
Mining - 1.6%
Foundation Coal Holdings Inc. (b) 39 1,019
RTI International Metals Inc. 63 1,976
2,995
Office Furnishings - 0.9%
Herman Miller Inc. 31 953
Knoll Inc. 45 772
1,725
Oil & Gas Producers - 4.3%
Brigham Exploration Co. (b) 109 992
Denbury Resources Inc. (b) (l) 22 879
Energy Partners Ltd. (b) 38 1,001
Forest Oil Corp. (b) (l) 30 1,247
Grey Wolf Inc. (b) (l) 180 1,333
Range Resources Corp. 52 1,401
Todco - Class A (b) 52 1,325
8,178
Oil & Gas Services - 4.2%
Key Energy Services Inc. (b) 218 2,627
Maverick Tube Corp. (b) 56 1,669
Oil States International Inc. (b) 54 1,362
Veritas DGC Inc. (b) 78 2,169
7,827
Packaging & Containers - 0.4%
Packaging Corp. of America 40 842
Pharmaceuticals - 2.3%
BioScrip Inc. (b) 203 1,218
Connetics Corp. (b) 77 1,349
First Horizon Pharmaceutical Corp. (b) 8 143
Taro Pharmaceutical Industries Ltd. (b) 58 1,677
4,387
Pipelines - 1.3%
Kinder Morgan Management LLC (b) 54 2,492
Real Estate - 5.2%
Alexandria Real Estate Equites Inc. 21 1,528
BioMed Realty Trust Inc. 41 973
Brandywine Realty Trust 39 1,205
Capital Automotive Reit 34 1,294
Carramerica Realty Corp. 28 1,024
Lexington Corporate Properties Trust 48 1,162
Mills Corp. 25 1,532
Prentiss Properties Trust 27 984
9,702
Retail - 5.9%
99 Cents Only Stores (b) (l) 80 1,018
AnnTaylor Stores Corp. (b) (l) 59 1,425
CBRL Group Inc. 35 1,345
CSK Auto Inc. (b) 84 1,408
Dick's Sporting Goods Inc. (b) 33 1,281
Finish Line - Class A 4 74
HOT Topic Inc. (b) (l) 46 876
Rush Enterprises Class A (b) 61 819
TBC Corp. (b) 56 1,508
Tractor Supply Co. (b) 29 1,414
11,168
Savings & Loans - 1.4%
BankUnited Financial Corp. (b) 36 968
MAF Bancorp. Inc. 40 1,718
2,686
Semiconductors - 3.6%
AMIS Holdings Inc. (b) 75 1,002
Brooks Automation Inc. (b) 58 855
ChipMOS Technologie Bermuda Ltd. (b) (l) 177 1,171
Exar Corp. (b) 130 1,942
Integrated Device Technology Inc. (b) 162 1,738
6,708
Software - 0.7%
Serena Software Inc. 71 1,366
Telecommunications Equipment - 4.2%
Applied Signal Technology 18 333
C-COR Inc. (b) 188 1,290
CommScope Inc. (b) 111 1,938
Foundry Networks Inc. (b) 127 1,099
Oplink Communications Inc. (b) 188 321
Polycom Inc. 99 1,482
Safenet Inc. (b) 42 1,431
7,894
Transportation - 2.7%
Forward Air Corp. 44 1,237
OMI Corp. (l) 71 1,357
Pacer International Inc. (b) 72 1,558
Swift Transportation Co. Inc. (b) (l) 42 987
5,139
Wireless Telecommunications - 0.7%
Wireless Facilities Inc. (b) 197 1,249
Total Common Stocks (cost $168,352) 185,222
Short Term Investments - 9.6%
Money Market Funds - 2.6%
Dreyfus Cash Management Plus Fund, 3.05% (a) 4,857 4,857
Securities Lending Collateral - 7.0%
Mellon GSL Delaware Business Trust Collateral Fund 13,232 13,232
Total Short Term Investments (cost $18,089) 18,089
Total Investments - 108.0% (cost $186,441) 203,311
Other Assets and Liabilities, Net - (8.0%) (15,140)
Total Net Assets - 100% $188,171
JNL/Mellon Capital Management Bond Index Fund
Percentage of Total
Industry Sector Investments (o)
Mortgage Securities 47.4%
Government 28.0%
Financial 9.1%
Money Market Investment 3.3%
Communications 3.1%
Consumer, Non-cyclical 2.0%
Asset Backed Securities 1.6%
Utilities 1.6%
Energy 1.2%
Industrial 1.2%
Consumer, Cyclical 0.7%
Basic Materials 0.6%
Technology 0.2%
100.0%
Corporate Bonds - 27.0%
Aerospace & Defense - 0.2%
Lockheed Martin Corp., 8.50%, 12/01/29 $75 $108
Northrop Grumman Corp., 7.75%, 03/01/16 150 187
Raytheon Co., 6.15%, 11/01/08 89 94
United Technologies Corp.
6.35%, 03/01/11 75 83
6.70%, 08/01/28 50 61
533
Agriculture - 0.1%
Bunge Ltd. Finance Corp., 5.35%, 04/15/14 75 78
Asset Backed Securities - 4.8%
Americredit Automobile Receivables Trust
3.67%, 06/08/09 500 499
2.84%, 08/06/10 115 113
Banc of America Commercial Mortgage Inc.,
5.118%, 07/11/43 150 156
Capital One Bank, 3.18%, 09/15/10 250 247
Capital One Master Trust, 2.59%, 09/15/09 150 148
Chase Manhattan Bank-First Union National Bank,
7.44%, 08/15/31 50 56
Commercial Conduit Mortgage Trust, 6.48%, 02/18/30 200 210
Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 39 39
DaimlerChrysler AG, 3.78%, 02/06/07 167 167
DLJ Mortgage Acceptance Corp.
6.46%, 03/10/32 50 53
6.88%, 06/10/32 42 43
6.93%, 11/10/33 85 88
First Boston Mortgage Securities Corp., 6.91%, 09/15/41 80 81
First Union Corp.
6.136%, 03/15/33 301 325
6.56%, 11/18/35 249 262
First Union-Lehman Brothers Commercial Mortgage,
6.65%, 11/18/29 70 74
Fleet Credit Card Master Trust, 5.60%, 12/15/08 250 254
Household Automotive Trust
2.31%, 04/17/08 321 319
3.02%, 12/17/10 365 359
JPMorgan Chase Commercial Mortgage Security Corp.
5.822%, 05/12/34 250 263
6.507%, 10/15/35 (g) 35 37
4.88%, 01/12/38 500 512
5.381%, 06/12/41 (g) 250 268
LB Commercial Conduit Mortgage Trust
5.401%, 03/15/26 80 81
3.85%, 05/15/27 250 243
5.594%, 06/15/31 75 80
6.41%, 06/15/31 88 89
6.78%, 06/15/31 223 241
4.166%, 05/15/32 165 162
Morgan Stanley Dean Witter Capital I, 4.80%, 01/13/41 (g)250 255
Mortgage Capital Funding, 7.29%, 07/20/27 9 9
PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 57
Salomon Brothers Mortgage Securities VII,
6.168%, 02/13/10 100 105
Wachovia Bank Commercial Mortgage Trust
4.44%, 11/15/34 200 201
5.22%, 01/15/41 100 105
5.23%, 07/15/41 (g) 250 263
4.896%, 10/15/41 500 509
WFS Financial Inc., 2.41%, 12/20/10 135 133
7,106
Auto Manufacturers - 0.3% DaimlerChrysler NA Holding Corp.
4.75%, 01/15/08 150 151
6.50%, 11/15/13 100 108
8.50%, 01/18/31 50 63
Ford Motor Co.
6.375%, 02/01/29 75 58
7.45%, 07/16/31 100 83
463
Banks - 5.5%
American General Finance Corp., 4.625%, 09/01/10 150 151
Bac Cap Trust V, 5.625%, 03/08/35 50 51
Banc of America Commercial Mortgage Inc.,
4.05%, 11/10/38 500 493
Bank of America Corp.
5.25%, 02/01/07 100 102
6.25%, 04/01/08 250 264
4.875%, 09/15/12 150 154
Barclays Bank Plc, 6.86%, 09/15/49 (e) 50 59
BB&T Corp., 6.50%, 08/01/11 75 83
Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 150 162
Capital One Bank, 4.875%, 05/15/08 150 152
ConAgra Foods Inc., 7.875%, 09/15/10 200 230
Corporacion Andina de Fomento, 6.875%, 03/15/12 150 168
Countrywide Home Loans Inc., 4.25%, 12/19/07 250 250
Duke Energy Corp., 5.625%, 11/30/12 150 159
European Investment Bank
4.625%, 03/01/07 500 506
3.125%, 10/15/07 250 247
4.625%, 05/15/14 150 156
Fifth Third Bank, 4.20%, 02/23/10 100 100
Fleet National Bank, 5.75%, 01/15/09 100 105
HSBC Holdings Plc
5.25%, 12/12/12 100 104
7.625%, 05/17/32 (e) 150 197
International Bank, 7.625%, 01/19/23 50 69
JPMorgan Chase & Co., 5.75%, 01/02/13 100 107
Key Bank National Association, 5.80%, 07/01/14 100 108
KFW International Finance
4.75%, 01/24/07 250 254
4.125%, 10/15/14 150 150
Marathon Oil Corp., 6.125%, 03/15/12 200 218
National Australia Bank Ltd., 8.60%, 05/19/10 150 178
National City Corp., 4.625%, 05/01/13 100 101
National Westminster Bank Plc, 7.375%, 10/01/09 250 281
NB Captial Trust, 7.83%, 12/15/26 75 81
Popular North America Inc.
6.125%, 10/15/06 150 153
4.25%, 04/01/08 100 100
Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 100 103
Sempra Energy, 4.75%, 05/15/09 200 202
Simon Property Group LP, 7.125%, 02/09/09 200 217
Suntrust Bank Inc., 6.375%, 04/01/11 200 221
Svensk Exportkredit AB, 4.00%, 06/15/10 (l) 200 200
Textron Financial Corp., 6.00%, 11/20/09 250 269
US Bank NA, 6.375%, 08/01/11 100 110
Wachovia Corp.
7.50%, 07/15/06 500 516
6.25%, 08/04/08 150 159
Wells Fargo & Co.
4.20%, 01/15/10 (f) 100 100
5.00%, 11/15/14 (f) 200 206
XTO Energy Inc., 4.90%, 02/01/14 75 75
8,071
Beverages - 0.3%
Anheuser-Busch Cos. Inc., 5.05%, 10/15/16 100 104
Coca-Cola Co., 7.125%, 08/01/17 100 120
Diageo Capital Plc, 4.375%, 05/03/10 50 50
Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 95
369
Biotechnology - 0.0%
Pharmacia Corp., 6.60%, 12/01/28 50 61
Building Materials - 0.0%
Toll Brothers Inc., 4.95%, 03/15/14 50 49
Chemicals - 0.2%
Dow Chemical Co.
6.125%, 02/01/11 50 54
6.00%, 10/01/12 50 55
E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 100 103
Rohm & Haas Co., 7.85%, 07/15/29 50 68
280
Commercial Services - 0.3%
Bear Stearns Adjustable Rate Mortgage Trust,
6.80%, 07/15/31 60 62
Cendant Corp., 6.25%, 01/15/08 200 209
Hertz Corp., 7.625%, 06/01/12 100 98
Waste Management Inc., 7.375%, 08/01/10 (f) 100 112
481
Computers - 0.2%
International Business Machines Corp., 5.375%,
02/01/09 (f) 300 313
Cosmetics & Personal Care - 0.1%
Proctor & Gamble Co., 4.95%, 08/15/14 150 156
Diversified Financial Services - 4.2%
Associates Corp. NA, 6.25%, 11/01/08 300 319
Bank One Corp., 2.625%, 06/30/08 250 239
Boeing Capital Corp., 5.80%, 01/15/13 125 136
CIT Group Inc., 7.375%, 04/02/07 250 263
Citigroup Inc.
3.50%, 02/01/08 500 493
6.00%, 02/21/12 100 109
Countrywide Home Loans Inc., 5.50%, 08/01/06 75 76
Credit Suisse First Boston USA Inc.
5.875%, 08/01/06 100 102
6.125%, 11/15/11 100 109
7.125%, 07/15/32 100 127
Ford Motor Credit Co.
7.20%, 06/15/07 100 101
6.625%, 06/16/08 100 99
5.80%, 01/12/09 100 95
7.375%, 10/28/09 75 73
7.25%, 10/25/11 75 72
7.00%, 10/01/13 75 72
General Electric Corp.
3.50%, 05/01/08 (f) 250 246
3.125%, 04/01/09 (f) 150 145
5.45%, 01/15/13 (f) 250 265
6.75%, 03/15/32 (f) 100 123
Goldman Sachs Group Inc.
6.65%, 05/15/09 (f) 250 271
5.25%, 04/01/13 (f) 100 103
Household Automotive Trust, 4.37%, 12/17/08 71 71
International Finance Corp., 5.75%, 10/15/06 (f) 250 255
JPMorgan Chase & Co., 6.625%, 03/15/12 100 111
Lehman Brothers Holdings Inc.
4.00%, 01/22/08 250 249
6.625%, 01/18/12 100 112
Merrill Lynch & Co. Inc., 4.125%, 09/10/09 250 249
Morgan Stanley Capital I, 6.52%, 03/15/30 62 65
Morgan Stanley Dean Witter Capital I
7.25%, 04/01/32 100 126
7.57%, 11/15/36 100 112
National Rural Utilities, 5.75%, 08/28/09 200 211
Pemex Master Trust 7.875% 2/1/09, 7.875%, 02/01/09 100 109
Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 92
Pitney Bowes Credit Corp., 5.75%, 08/15/08 300 317
SLM Corp., 5.05%, 11/14/14 250 258
Toyota Motor Credit Corp., 2.875%, 08/01/08 100 97
Verizon Global Funding Corp., 7.75%, 12/01/30 50 65
6,137
Electric - 1.1%
Alabama Power Co., 5.875%, 12/01/22 100 109
American Electric Power Co. Inc., 5.375%, 03/15/10 100 104
Constellation Energy Group Inc., 7.00%, 04/01/12 100 113
Consumers Energy, 5.50%, 08/15/16 25 26
Emerson Electric Co., 5.00%, 12/15/14 100 103
Firstenergy Corp.
5.50%, 11/15/06 25 25
6.45%, 11/15/11 25 27
7.375%, 11/15/31 25 31
FPL Group Capital Inc., 7.625%, 09/15/06 100 104
Hydro Quebec, 7.50%, 04/01/16 100 124
Midamerican Energy Co., 6.75%, 12/30/31 50 61
Midamerican Energy Holdings Co., 5.875%, 10/01/12 100 106
Nisource Finance Corp., 5.40%, 07/15/14 75 77
Northern States Power Co., 8.00%, 08/28/12 100 122
Pacific Gas & Electric Co., 6.05%, 03/01/34 100 110
PPL Electric Utilities Corp., 6.25%, 08/15/09 100 107
Progress Energy Inc., 7.75%, 03/01/31 50 62
PSEG Power LLC, 8.625%, 04/15/31 75 104
SCANA Corp., 6.875%, 05/15/11 75 84
TXU Energy Co., 7.00%, 03/15/13 25 28
1,627
Electrical Components & Equipment - 0.1%
Exelon Generation Co. LLC, 5.35%, 01/15/14 150 156
Electronics - 0.2%
Scottish Power Plc, 5.375%, 03/15/15 50 51
Southern California Edison Co., 6.00%, 01/15/34 75 84
TXU Electric Delivery Co., 6.375%, 01/15/15 150 166
301
Entertainment - 0.0%
Walt Disney Co., 7.00%, 03/01/32 50 61
Food - 0.9%
Corn Products International Inc., 8.25%, 07/15/07 100 107
General Mills Inc., 6.00%, 02/15/12 (f) 100 109
Grand Metropolitan Investment Corp., 8.00%, 09/15/22 100 133
Kellogg Co., 2.875%, 06/01/08 250 241
Kraft Foods Inc., 4.625%, 11/01/06 50 50
Kroger Co., 5.50%, 02/01/13 100 104
Nabisco Holdings Corp., 7.05%, 07/15/07 200 210
Safeway Inc., 5.80%, 08/15/12 (l) 100 105
Sara Lee Corp., 6.25%, 09/15/11 75 80
Unilever Capital Corp., 7.125%, 11/01/10 100 113
1,252
Forest Products & Paper - 0.2%
International Paper Co., 6.75%, 09/01/11 (f) 100 109
Weyerhaeuser Co., 7.375%, 03/15/32 100 118
227
Gas - 0.1%
Praxair Inc., 3.95%, 06/01/13 100 96
Healthcare - 0.2%
Baxter International Inc., 4.625%, 03/15/15 75 74
Schering-Plough Corp., 6.75%, 12/01/33 50 60
WellPoint Health Networks, 4.25%, 12/15/09 50 50
Wyeth, 6.45%, 02/01/24 100 114
298
Holding Companies - Diversified - 0.2%
Cincinnati Financial Corp., 6.125%, 11/01/34 100 110
COX Communications Inc., 4.625%, 01/15/10 100 100
Lear Corp., 5.75%, 08/01/14 50 45
News America Inc., 5.30%, 12/15/14 (l) 75 77
332
Insurance - 0.7%
Aegon AV, 4.75%, 06/01/13 150 151
Allstate Corp.
6.125%, 02/15/12 75 82
5.35%, 06/01/33 75 75
American International Group Inc., 4.25%, 05/15/13 100 97
Chubb Corp., 5.20%, 04/01/13 100 104
Hartford Life Inc., 7.65%, 06/15/27 75 97
Marsh & McLennan Cos. Inc., 3.625%, 02/15/08 100 98
MetLife Inc., 5.00%, 11/24/13 100 102
Principal Life Income Funding Trusts, 5.10%, 04/15/14 150 156
Travelers Property Casualty Corp., 6.75%, 11/15/06 100 103
1,065
Investment Companies - 0.8%
Citigroup Inc., 6.00%, 10/31/33 50 55
Goldman Sachs Group Inc.
7.35%, 10/01/09 (f) 350 390
5.125%, 01/15/15 (f) 200 204
Merrill Lynch & Co. Inc., 5.00%, 01/15/15 (l) 200 205
Merrill Lynch Mortgage Trust, 5.403%, 07/12/34 200 209
SLM Corp., 5.00%, 10/01/13 50 51
1,114
Iron & Steel - 0.0%
Alcan Inc., 4.875%, 09/15/12 50 50
Manufacturing - 0.3%
General Electric Corp., 5.00%, 02/01/13 (f) 100 103
Honeywell International Inc., 6.125%, 11/01/11 100 110
Tyco International Group SA, 6.125%, 01/15/09 (l) 150 159
372
Media - 0.4%
Comcast Corp., 6.50%, 01/15/15 50 56
News America Inc., 6.20%, 12/15/34 50 52
Time Warner Inc.
6.625%, 05/15/29 100 111
7.625%, 04/15/31 150 187
Viacom Inc., 7.875%, 07/30/30 125 147
553
Metal Fabrication & Hardware - 0.1%
Alcan Inc., 6.125%, 12/15/33 25 27
Alco Inc., 5.375%, 01/15/13 50 53
80
Mining - 0.1%
BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 100 101
Newmont Mining Corp., 5.875%, 04/01/35 50 51
152
Oil & Gas Producers - 0.6%
Alberta Energy Co. Ltd., 7.375%, 11/01/31 100 126
Amerada Hess Corp.
6.65%, 08/15/11 25 28
7.30%, 08/15/31 35 42
Anadarko Petroleum Corp., 3.25%, 05/01/08 250 243
Burlington Resources Finance Co., 7.20%, 08/15/31 100 123
ConocoPhillips, 6.65%, 07/15/18 75 88
Consolidated Natural Gas Co., 6.80%, 12/15/27 50 58
Devon Financing Corp. ULC, 7.875%, 09/30/31 100 130
Enterprise Products Partners LP
4.95%, 06/01/10 25 25
5.60%, 10/15/14 25 26
6.875%, 03/01/33 25 28
917
Oil & Gas Services - 0.2%
Conoco Funding Co., 7.25%, 10/15/31 75 98
Occidental Petroleum Corp., 6.75%, 01/15/12 50 57
Petro-Canada, 7.00%, 11/15/28 75 89
Suncor Energy Inc., 5.95%, 12/01/34 100 111
355
Pharmaceuticals - 0.1%
Wyeth, 5.50%, 03/15/13 100 105
Pipelines - 0.1%
Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 75 76
Real Estate - 0.4%
Boston Properties LP, 6.25%, 01/15/13 150 163
EOP Operating LP, 4.75%, 03/15/14 75 74
First Union Corp.
7.184%, 12/15/31 23 24
7.39%, 12/15/31 105 117
GMAC Commercial Mortgage, 6.42%, 05/15/35 99 105
Heller Financial Inc., 6.50%, 05/15/31 54 55
538
Retail - 0.4%
Federated Department Stores Inc., 6.90%, 04/01/29 (l) 100 116
May Department Stores Co., 4.80%, 07/15/09 150 152
Target Corp., 7.00%, 07/15/31 (l) 100 128
Wal-Mart Stores Inc.
4.55%, 05/01/13 (f) 100 101
7.55%, 02/15/30 (f) 50 68
565
Savings & Loans - 0.1%
Washington Mutual Inc., 4.625%, 04/01/14 100 97
Sovereign - 0.6%
Federal Home Loan Bank System, 4.00%, 03/10/08 (l) 150 150
Inter-American Development Bank, 7.375%, 01/15/10 (f) 100 114
Province of Ontario, 3.625%, 10/21/09 150 148
Republic of Italy, 2.75%, 12/15/06 200 197
Republic of Korea, 8.875%, 04/15/08 300 338
947
Storage/Warehousing - 0.2%
Union Pacific Corp., 6.625%, 02/01/08 250 264
Telecommunications - 2.3%
Alltel Corp., 7.875%, 07/01/32 50 66
AT&T Broadband Corp., 8.375%, 03/15/13 250 305
Bellsouth Capital Funding, 7.875%, 02/15/30 100 129
BellSouth Corp., 5.20%, 09/15/14 100 103
British Telecommunications Plc,
(Step-Up Bond), 8.375%, 12/15/10 (d) (g) 250 296
Clear Channel Communications Inc., 7.65%, 09/15/10 (l) 100 108
Deutsche Telekom International Finance BV,
8.50%, 06/15/10 400 464
GTE Corp., 6.94%, 04/15/28 50 58
New Cingular Wireless Services Inc., 7.50%, 05/01/07 250 265
SBC Communications Inc.
5.875%, 02/01/12 100 107
6.15%, 09/15/34 (l) 50 54
Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 116
Sprint Capital Corp.
6.00%, 01/15/07 150 154
8.375%, 03/15/12 100 120
6.875%, 11/15/28 75 86
Telecom Italia Capital SA, 6.375%, 11/15/33 50 54
Telefonica Europe BV, 8.25%, 09/15/30 100 140
TELUS Corp., 7.50%, 06/01/07 125 132
Verizon Global Funding Corp., 7.25%, 12/01/10 250 283
Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 204
Vodafone Group Plc, 5.00%, 12/16/13 150 154
3,398
Tobacco - 0.1%
Altria Group Inc., 7.75%, 01/15/27 75 90
Transportation - 0.1%
CSX Corp., 6.75%, 03/15/11 50 55
Norfolk Southern Corp., 7.25%, 02/15/31 75 96
Union Pacific Corp., 6.625%, 02/01/29 25 29
180
Wireless Telecommunications - 0.2%
Motorola Inc., 7.625%, 11/15/10 150 172
New Cingular Wireless Services Inc., 8.75%, 03/01/31 108 151
323
Total Corporate Bonds (cost $39,169) 39,688
Government Securities - 71.4%
Banks - 0.4%
International Bank For Recon & Development,
4.375%, 09/28/06 300 302
Kredit Fuer Wiederaufbau, 3.25%, 03/30/09 350 344
646
Sovereign - 1.4%
Canadian Government Bond, 6.75%, 08/28/06 100 103
European Bank, 5.375%, 06/15/06 100 101
Financement Quebec, 5.00%, 10/25/2012 100 104
Nova Scotia Province, 5.75%, 02/27/12 100 109
Province of British Columbia, 4.625%, 10/03/06 100 101
Quebec Province Co.
5.75%, 02/15/09 125 132
7.50%, 07/15/23 100 135
Republic of Chile, 5.50%, 01/15/13 100 106
Republic of Italy
4.00%, 06/16/08 250 251
4.375%, 06/15/13 100 102
5.375%, 06/15/33 100 108
State of Israel, 4.625%, 06/15/2013 75 74
United Mexican States
4.625%, 10/08/08 200 201
6.375%, 01/16/13 150 161
7.50%, 04/08/33 250 287
2,075
U.S. Government Agencies - 44.5% Federal Government Loan Mortgage Co.
6.50%, 12/01/28 125 130
6.50%, 05/01/29 45 47
5.50%, 04/01/33 216 219
Federal Home Loan Mortgage Corp.
4.00%, TBA (c) 900 880
4.50%, TBA (c) 1,800 1,792
5.50%, TBA (c) 5,600 11,299
6.50%, TBA (c) 1,200 1,242
6.00%, TBA (c) 500 517
6.50%, TBA (c) 1,200 1,242
2.75%, 08/15/06 (l) 610 603
2.95%, 09/14/06 100 99
2.75%, 10/15/06 920 908
2.625%, 10/16/06 (l) 250 246
2.375%, 02/15/07 (l) 800 782
2.875%, 05/15/07 1,500 1,475
3.30%, 09/14/07 100 99
3.375%, 09/14/07 1,075 1,065
3.25%, 11/02/07 (l) 150 148
4.125%, 09/01/09 100 100
4.125%, 02/24/11 (l) 500 495
5.50%, 09/15/11 500 538
5.75%, 05/15/12 325 356
5.125%, 07/15/12 428 454
4.625%, 05/28/13 75 74
6.50%, 06/01/14 191 199
5.25%, 06/18/14 (f) (l) 1,240 1,331
7.00%, 08/01/15 28 29
7.00%, 11/01/15 2 3
7.00%, 11/01/16 118 123
6.00%, 12/01/16 87 90
4.50%, 01/01/18 74 74
5.50%, 04/01/18 50 51
5.00%, 07/17/18 2,100 2,123
4.00%, 05/01/19 67 66
5.00%, 07/01/19 162 164
6.50%, 03/01/31 54 56
7.00%, 06/01/31 29 30
7.50%, 11/01/31 285 305
7.50%, 04/01/32 451 482
6.25%, 07/15/32 (l) 300 377
6.00%, 04/01/33 13 13
4.50%, 10/01/33 10 9
5.00%, 07/01/35 3,200 3,200
Federal National Mortgage Association
4.50%, TBA (c) 3,500 3,484
5.00%, TBA (c) 7,500 7,543
5.50%, TBA (c) 6,200 6,289
3.41%, 08/30/07 100 99
3.25%, 01/15/08 330 325
2.50%, 06/15/08 (l) 355 341
3.25%, 08/15/08 1,140 1,119
3.25%, 02/15/09 350 342
4.25%, 05/15/09 500 505
6.625%, 09/15/09 (l) 400 441
6.00%, 05/15/11 (l) 700 770
5.375%, 11/15/11 500 536
4.125%, 04/15/14 (l) 400 397
5.00%, 04/15/15 400 423
6.50%, 02/01/16 14 15
6.00%, 06/01/16 159 164
6.50%, 09/01/16 29 31
6.50%, 10/01/16 51 53
6.50%, 12/01/16 2 2
5.50%, 03/01/17 53 54
5.00%, 10/01/17 75 76
4.00%, 10/01/18 158 155
6.25%, 05/15/29 (l) 225 278
6.625%, 11/15/30 (l) 160 208
7.00%, 02/01/31 177 186
5.50%, 01/01/32 370 376
6.50%, 07/01/32 133 138
6.00%, 02/01/33 354 364
5.50%, 08/15/33 500 506
4.50%, 11/01/33 659 646
5.00%, 06/01/34 281 281
5.50%, 07/01/34 1,550 1,572
6.50%, 07/01/34 1,266 1,311
6.00%, 08/01/34 1,284 1,317
FHLMC Gold, TBA (c) 3,200 3,281
Freddie Mac, 3.00%, 09/29/06 200 198
Government National Mortgage Association
5.50%, TBA (c) 1,000 1,020
8.00%, 04/15/30 (f) 42 45
8.50%, 06/15/30 (f) 40 44
8.50%, 12/15/30 (f) 2 2
6.50%, 01/15/32 (f) 222 232
6.00%, 10/15/32 (f) 205 211
5.50%, 07/15/33 (f) 615 628
5.00%, 07/01/35 1,100 1,107
6.00%, 07/01/35 1,500 1,546
65,354
U.S. Treasury Securities - 25.1% U.S. Treasury Bond
10.375%, 11/15/12 (f) 240 276
12.00%, 08/15/13 (l) 250 310
11.25%, 02/15/15 (f) 495 781
7.25%, 05/15/16 (l) 270 346
8.75%, 05/15/17 (l) 715 1,027
8.875%, 02/15/19 (l) 645 959
8.50%, 02/15/20 (l) 100 147
8.75%, 05/15/20 (f) 180 270
8.00%, 11/15/21 (f) 1,750 2,522
7.125%, 02/15/23 (l) 735 993
6.875%, 08/15/25 (f) 390 525
6.75%, 08/15/26 (l) 200 268
6.50%, 11/15/26 (l) 360 471
6.375%, 08/15/27 (l) 120 156
5.25%, 02/15/29 (l) 895 1,024
6.25%, 05/15/30 (l) 350 456
U.S. Treasury Note
2.875%, 11/30/06 725 718
3.125%, 01/31/07 (l) 1,740 1,726
6.25%, 02/15/07 (l) 1,250 1,302
3.75%, 03/31/07 (l) 420 421
4.375%, 05/15/07 (l) 630 638
3.625%, 06/30/07 (f) 2,200 2,199
3.25%, 08/15/07 (l) 320 317
3.00%, 11/15/07 (l) 1,880 1,853
3.375%, 02/15/08 (l) 1,000 993
3.75%, 05/15/08 1,900 1,904
3.375%, 11/15/08 (l) 2,680 2,653
3.375%, 12/15/08 (l) 1,050 1,039
3.25%, 01/15/09 (l) 270 266
5.50%, 05/15/09 (l) 310 330
3.375%, 10/15/09 (l) 1,500 1,479
6.50%, 02/15/10 (l) 1,470 1,640
5.00%, 02/15/11 (l) 1,530 1,626
4.875%, 02/15/12 (l) 545 579
4.375%, 08/15/12 (l) 555 576
3.875%, 02/15/13 (l) 50 50
3.625%, 05/15/13 (l) 600 592
4.25%, 08/15/14 (l) 865 886
4.25%, 11/15/14 (l) 1,850 1,893
4.125%, 05/15/15 600 609
36,820
Total Government Securities (cost $103,941) 104,894
Municipals - 0.2%
Illinois State Taxable Pension, 5.10%, 06/01/33 (f) 200 209
New Jersey State Turnpike, 4.252%, 01/01/16 (f) 100 99
Total Municipals (cost $278) 308
Short Term Investments - 51.6%
Commercial Paper - 22.0%
ABN AMRO, 3.12%, 07/14/05 2,000 1,998
CBA Finance, 3.07%, 07/06/05 3,000 2,999
Danske Corp., 3.11%, 07/07/05 2,000 1,999
E.I. du Pont de Nemours & Co., 3.04%, 07/13/05 2,500 2,497
General Electric Corp., 3.10%, 07/13/05 4,000 3,996
Goldman Sachs Group Inc., 3.10%, 07/15/05 2,500 2,497
HBOS Treasury Services Plc, 3.05%, 07/13/05 3,500 3,496
ING US Funding LLC, 3.12%, 07/14/05 1,000 999
International Lease Finance Corp., 3.10%, 07/13/05 2,700 2,697
Lloyds TSB Bank, 3.10%, 07/05/05 3,000 2,999
Societe Generale, 3.15%, 07/15/05 2,500 2,497
UBS Finance LLC, 3.09%, 07/11/05 4,000 3,997
32,671
Diversified Financial Services - 2.0%
Dexia Delaware Inc., 3.09%, 07/08/05 3,000 2,998
Money Market Funds - 3.3%
Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 4,918 4,918
Securities Lending Collateral - 23.9%
Mellon GSL Delaware Business Trust Collateral Fund (n) 35,197 35,197
Total Short Term Investments (cost $75,784) 75,784
Total Investments - 150.2% (cost $219,172) 220,674
Other Assets and Liabilities, Net - (50.2%) (73,712)
Total Net Assets - 100% $146,962
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 21.4%
Financial 19.8%
Technology 12.6%
Industrial 10.6%
Consumer, Cyclical 10.5%
Communications 8.8%
Energy 8.2%
Basic Materials 3.8%
Utilities 2.3%
Money Market Investment 1.7%
Government 0.3%
100.0%
Common Stocks - 97.6%
Aerospace & Defense - 2.0%
Lockheed Martin Corp. 6 $405
Northrop Grumman Corp. 7 387
Ratheon Co. 9 358
1,150
Airlines - 0.1%
Southwest Airlines Co. 3 48
Apparel - 1.4%
Coach Inc. (b) 12 386
Nike Inc. - Class B 5 407
793
Auto Manufacturers - 1.5%
Ford Motor Co. 35 360
Navistar International Corp. (b) 8 253
Paccar Inc. 4 283
896
Auto Parts & Equipment - 0.0%
Cooper Tire & Rubber Co. - 6
Banks - 6.3%
Bank of America Corp. 24 1,087
Compass Bancshares Inc. 7 329
Fifth Third Bancorp. (l) 10 403
First Horizon National Corp. 1 21
National City Corp. 5 154
North Fork Bancorp. Inc. 2 42
Suntrust Bank Inc. 6 397
US Bancorp. 5 158
Wachovia Corp. 9 458
Wells Fargo & Co. 10 600
3,649
Beverages - 2.2%
Anheuser-Busch Cos. Inc. 2 112
Brown-Forman Corp. - Class B 4 221
Coca-Cola Co. 12 516
PepsiCo Inc. 8 420
1,269
Biotechnology - 1.0%
Amgen Inc. (b) 7 397
Biogen Idec Inc. (b) 2 62
Chiron Corp. 1 26
Genzyme Corp. 1 74
Medimmune Inc. (b) 1 36
595
Building Materials - 0.1%
Vulcan Materials Co. 1 32
Chemicals - 3.1%
Ashland Inc. - 22
Dow Chemical Co. 12 517
E.I. du Pont de Nemours & Co. 9 369
Eastman Chemical Co. 5 254
Engelhard Corp. 1 14
International Flavors & Fragrances Inc. - 14
PPG Industries Inc. 5 295
Rohm And Haas Co. 5 236
Sigma-Aldrich Corp. 1 67
1,788
Commercial Services - 0.5%
Cendant Corp. 5 107
Equifax Inc. 1 21
H&R Block Inc. 1 53
Paychex Inc. 3 81
R.R. Donnelley & Sons Co. 1 40
302
Computers - 4.2%
Apple Computer Inc. (b) 12 458
Dell Inc. (b) 20 779
EMC Corp. (b) 11 149
Hewlett-Packard Co. 2 48
International Business Machines Corp. 12 898
NCR Corp. (b) 1 35
Sungard Data Systems Inc. 2 53
2,420
Cosmetics & Personal Care - 3.2%
Alberto-Culver Co. - Class B 6 273
Avon Products Inc. 10 384
Gillette Co. 9 459
Proctor & Gamble Co. 14 719
1,835
Diversified Financial Services - 8.3%
American Express Co. 5 274
Charles Schwab Corp. 13 142
CIT Group Inc. 3 142
Citigroup Inc. 31 1,444
E*trade Group Inc. (b) 2 27
Fannie Mae 5 298
Goldman Sachs Group Inc. 5 524
JPMorgan Chase & Co. 10 364
Lehman Brothers Holdings Inc. 2 159
Merrill Lynch & Co. Inc. 9 494
Morgan Stanley 11 574
SLM Corp. 8 403
4,845
Electric - 2.1%
Ameren Corp. (l) 6 337
Centerpoint Energy Inc. 1 17
CMS Energy Corp. (b) (l) 1 20
Constellation Energy Group Inc. 4 248
Edison International Inc. 2 69
PG&E Corp. 2 68
Southern Co. 12 399
TXU Corp. 1 91
1,249
Electronics - 0.7%
PerkinElmer Inc. 7 138
Sanmina-SCI Corp. (b) 15 82
Solectron Corp. (b) 16 61
Thermo Electron Corp. (b) 4 116
397
Entertainment - 0.2%
International Game Technology 4 107
Environmental Control - 0.1%
Waste Management Inc. 2 65
Food - 1.9%
General Mills Inc. 3 136
H.J. Heinz Co. 9 312
Kellogg Co. 8 333
McCormick & Co. Inc. 5 163
WM Wrigley Jr Co. 2 158
1,102
Forest Products & Paper - 0.1%
MeadWestvaco Corp. 1 28
Plum Creek Timber Co. Inc. 1 36
Temple-Inland Inc. 1 21
85
Hand & Machine Tools - 0.3%
Stanley Works 3 150
Healthcare - 6.2%
Aetna Inc. 2 130
Bausch & Lomb Inc. 4 332
Biomet Inc. 3 90
Boston Scientific Corp. (b) 6 169
Guidant Corp. 4 296
HCA Inc. 7 402
Health Management Associates Inc. (l) 3 65
Humana Inc. 1 32
Johnson & Johnson 16 1,011
Manor Care Inc. 2 75
Medtronic Inc. 1 38
Stryker Corp. - 14
Tenet Healthcare Corp. (b) 2 28
UnitedHealth Group Inc. 7 349
WellPoint Inc. (b) 3 226
Zimmer Holdings Inc. (b) (l) 5 350
3,607
Home Builders - 0.2%
KB Home 2 145
Household Products - 0.0%
Avery Dennison Corp. 1 26
Insurance - 4.4%
ACE Ltd. 2 67
Aflac Inc. 3 117
Allstate Corp. 4 210
AMBAC Financial Group Inc. (l) 1 35
American International Group Inc. 14 789
AON Corp. 2 38
Chubb Corp. 1 86
Cigna Corp. (l) 1 64
Cincinnati Financial Corp. 1 30
Hartford Financial Services Group Inc. 2 120
Jefferson-Pilot Corp. 1 35
Lincoln National Corp. 1 38
Loews Corp. 1 70
Marsh & McLennan Cos. Inc. 3 79
MBIA Inc. 1 42
MetLife Inc. 4 175
MGIC Investment Corp. - 26
Progressive Corp. 1 109
Prudential Financial Inc. 3 168
Safeco Corp. 1 27
St. Paul Travelers Cos. Inc. 4 138
Torchmark Corp. 1 26
UnumProvident Corp. (l) 1 22
XL Capital Ltd. - Class A 1 52
2,563
Internet - 0.0%
Yahoo! Inc. (b) 1 18
Iron & Steel - 0.1%
Nucor Corp. 1 41
United States Steel Corp. (l) - 14
55
Leisure Time - 1.0%
Brunswick Corp. 7 308
Sabre Holdings Corp. 15 295
603
Lodging - 1.0%
Hilton Hotels Corp. 9 203
Starwood Hotels & Resorts Worldwide Inc. 6 369
572
Machinery - 0.8%
Caterpillar Inc. 3 245
Cummins Inc. - 22
Deere & Co. 1 95
Rockwell Automation Inc. 2 93
455
Manufacturing - 5.3%
3M Co. 4 303
Danaher Corp. (l) 3 145
Dover Corp. 2 87
Eaton Corp. 2 96
General Electric Corp. 47 1,644
Ingersoll-Rand Co. - Class A 3 217
Leggett & Platt Inc. 8 221
Parker Hannifin Corp. 5 329
Tyco International Ltd. 1 30
3,072
Media - 3.6%
Clear Channel Communications Inc. - 10
Comcast Corp. - Class A (b) 21 642
Meredith Corp. (l) 6 304
Time Warner Inc. (b) 14 228
Viacom Inc. - Class B 17 556
Walt Disney Co. 15 367
2,107
Mining - 0.5%
Alcoa Inc. 5 118
Freeport-McMoRan Copper & Gold Inc. (l) 1 30
Newmont Mining Corp. (l) 2 88
Phelps Dodge Corp. 1 46
282
Office & Business Equipment - 0.1%
Pitney Bowes Inc. 1 52
Oil & Gas Producers - 7.8%
Apache Corp. 2 111
Burlington Resources Inc. - 17
Chevron Corp. 11 631
ConocoPhillips 12 686
Exxon Mobil Corp. 30 1,719
Kerr-McGee Corp. 1 84
Nabors Industries Ltd. (b) 6 333
Rowan Cos. Inc. 11 321
Transocean Inc. (b) 7 399
Unocal Corp. 4 234
4,535
Oil & Gas Services - 0.2%
Halliburton Co. 3 123
Packaging & Containers - 0.0%
Ball Corp. 1 22
Pharmaceuticals - 5.1%
Abbott Laboratories 2 109
Allergan Inc. 4 349
Cardinal Bergen Health Inc. 3 196
Eli Lilly & Co. 1 51
Express Scripts Inc. (b) 3 135
Forest Laboratories Inc. (b) 10 373
Gilead Sciences Inc. 2 97
Merck & Co. Inc. 12 357
Pfizer Inc. 29 800
Schering-Plough Corp. 10 189
Wyeth 7 311
2,967
Pipelines - 0.2%
El Paso Corp. (l) 3 36
Williams Cos. Inc. 3 53
89
Real Estate - 0.5%
Apartment Investment & Management Co. - 16
Archstone-Smith Trust 1 42
Equity Office Properties Trust 2 71
Equity Residential Properties Trust 2 55
Prologis 1 40
Simon Property Group Inc. 1 87
311
Retail - 4.9%
Bed Bath & Beyond Inc. (b) 1 61
Circuit City Stores Inc. 5 78
Home Depot Inc. 19 729
Lowe's Cos. Inc. 7 425
Staples Inc. 10 208
Toys "R" Us Inc. (b) 1 29
Walgreen Co. 6 292
Wal-Mart Stores Inc. 22 1,059
2,881
Savings & Loans - 0.2%
Golden West Financial Corp. 2 116
Semiconductors - 3.7%
Intel Corp. 43 1,129
KLA-Tencor Corp. (b) (l) 8 333
LSI Logic Corp. (b) 31 267
PMC - Sierra Inc. (b) 13 123
Texas Instruments Inc. 10 283
2,135
Software - 4.6%
Fiserv Inc. (b) 3 129
Mercury Interactive Corp. (b) (l) 7 276
Microsoft Corp. 60 1,490
Oracle Corp. (b) 27 351
Parametric Technology Corp. 34 215
Veritas Software Corp. (b) 10 237
2,698
Telecommunications - 3.1%
AT&T Corp. 4 73
BellSouth Corp. 14 375
Citizens Communications Co. 2 22
Qwest Communications International Inc. (b) (l) 8 28
SBC Communications Inc. 18 438
Sprint Corp. 4 93
Verizon Communications 22 749
1,778
Telecommunications Equipment - 2.1%
Ciena Corp. (b) 2 5
Cisco Systems Inc. (b) 18 351
Comverse Technology Inc. (b) 4 96
Corning Inc. (b) 26 435
Scientific-Atlanta Inc. 10 329
1,216
Textiles - 0.0%
Cintas Corp. 1 27
Tobacco - 1.4%
Altria Group Inc. 11 715
Reynolds American Inc. (l) 1 52
UST Inc. (l) 1 41
808
Transportation - 1.4%
Burlington Northern Santa Fe Corp. 2 94
CSX Corp. 1 43
FedEx Corp. 2 126
Norfolk Southern Corp. 2 62
Union Pacific Corp. 1 83
United Parcel Service - Class B 6 385
793
Total Common Stocks (cost $54,184) 56,839
Short Term Investments - 6.4%
Money Market Funds - 1.7%
Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 1,040 1,040
Securities Lending Collateral - 4.2%
Mellon GSL Delaware Business Trust Collateral Fund (n) 2,469 2,469
U.S. Treasury Bills - 0.3%
US Treasury Bill, 2.947%, 09/08/05 (m) $200 199
Total Short Term Investments (cost $3,708) 3,708
Total Investments - 104.0% (cost $57,892) 60,547
Other Assets and Liabilities, Net - (4.0%) (2,301)
Total Net Assets - 100% $58,246
JNL/Mellon Capital Management International Index Fund
Percentage of Total
Industry Sector Investments (o)
Financial 26.0%
Consumer, Non-cyclical 16.3%
Communications 10.6%
Industrial 10.5%
Consumer, Cyclical 10.2%
Energy 8.6%
Basic Materials 5.7%
Utilities 5.2%
Money Market Investment 3.5%
Technology 2.4%
Diversified 0.8%
Government 0.2%
100.0%
Common Stocks - 95.3%
Advertising - 0.1%
Aegis Group Plc 24 $43
Asatsu-DK Inc. 1 19
Dentsu Inc. - 113
Hakuhodo Dy Holdings Inc. (b) 1 35
Pagesjaunes Groupe SA (b) 3 67
Publicis Groupe 3 96
Shohkoh Fund & Co. Ltd. (b) - 30
Telefonica Publicidad E Informacion SA 4 31
WPP Group Plc 27 280
714
Aerospace & Defense - 0.4%
BAE Systems Plc 73 377
Cobham Plc 3 68
European Aeronautic Defense and Space Co. 6 182
Finmeccanica SpA 134 126
Meggitt Plc 9 47
Rolls-Royce Group Plc (b) 36 185
Rolls-Royce Group Plc - Class B 2,703 5
Safran SA 4 82
Thales SA 2 74
Zodiac SA 1 44
1,190
Airlines - 0.2%
Air France 3 39
All Nippon Airways Co. Ltd. 11 33
British Airways Plc (b) 13 62
Cathay Pacific Airways Ltd. 22 40
Deutsche Lufthansa AG (b) 6 68
Iberia Lineas Aereas De Espana SA 10 29
Japan Airlines Corp. 14 38
Qantas Airways Ltd. 20 50
Ryanair Holdings Plc (b) 1 7
SAS AB (b) 2 20
Singapore Airlines Ord Si 12 80
466
Alternative Energy - 0.0%
Gamesa Corp. Tecnologica SA 2 32
Apparel - 0.2%
Adidas-Salomon AG 1 172
Benetton Group SpA 2 17
Billabong International Ltd. (b) 3 32
Gunze Ltd. 4 18
Hermes International - 39
Onward Kashiyama Co. Ltd. 3 38
Puma AG - 95
Tokyo Style Co. Ltd. 2 20
Wacoal Corp. 3 38
World Co. Ltd. 1 28
Yue Yuen Industrial Holdings 11 32
529
Auto Manufacturers - 2.8%
DaimlerChrysler AG 20 805
Fiat SpA (b) 12 89
Hino Motors Ltd. 6 35
Honda Motor Co. Ltd. 18 890
Nissan Motor Co. Ltd. 52 517
Peugeot SA 4 225
Renault SA 4 372
Scana Corp. - Class B 2 76
Toyota Motor Corp. 66 2,372
Voestalpine AG 7 325
Volvo AB 7 305
6,011
Auto Parts & Equipment - 0.7%
Aisin Seiki Co. Ltd. 4 93
Bridgestone Corp. 15 288
Compagnie Generale des Etablissements Michelin 3 203
Continental AG 3 218
Denso Corp. 12 277
GKN Plc 17 80
Koyo Seiko Co. Ltd. 3 40
NGK Spark Plug Co. Ltd. 4 46
NHK Spring Co. Ltd. (b) 4 34
NOK Corp. 2 64
Pirelli & Co. SpA 64 67
Sanden Corp. 3 13
Sumitomo Rubber Industries Ltd. 4 41
Toyoda Gosei Co. Ltd. 1 21
Valeo SA 2 72
1,557
Banks - 17.2%
ABN AMRO Holding NV 40 989
Allied Irish Banks Plc 20 430
Alpha Bank AE (b) 6 172
Australia And New Zealand Banking Group Ltd. 42 694
Banca Antonveneta SpA (b) 5 175
Banca Intesa SpA 96 433
Banca Monte Dei Paschi Di Siena SpA 26 91
Banca Nazionale Del Lavoro SpA (b) 34 116
Banca Popolare di Milano Scrl 9 91
Banco Bilbao Vizcaya Argentaria SA 78 1,204
Banco BPI SA 7 28
Banco Comercial Portugues SA 48 124
Banco Espirito Santo SA 2 35
Banco Popolari Unite Scrl 8 157
Banco Popular Espanol SA (b) 20 237
Banco Populare Di Verona 9 148
Banco Santander Central Hispano SA 137 1,586
Bank Austria Creditanstalt AG 1 91
Bank of East Asia Ltd. 34 100
Bank of Fukuoka Ltd. 12 71
Bank of Ireland 22 358
Bank of Kyoto Ltd. (b) 6 51
Bank of Yokohama Ltd. 27 155
Barclays Plc 148 1,478
Bayerische Hypo-und Vereinsbank AG (b) 13 342
BNP Paribas SA 18 1,257
BOC Hong Kong Holdings Ltd. 87 164
Capitalia SpA 34 188
China Bank Ltd. 16 105
Commerzbank AG (b) 10 225
Commonwealth Bank of Australia 29 846
Credit Agricole SA 15 383
Credit Suisse Group (b) 28 1,101
Danske Bank A/S 10 301
DBS Group Holdings Ltd. 26 220
Depfa Bank Plc 8 129
Deutsche Bank AG 11 876
Dexia 13 297
DNB NOR ASA 16 162
EFG Eurobank Ergasias SA 4 132
Emporiki Bank of Greece SA 1 34
Erste Bank Der Oesterreichischen Sparkassen AG 3 150
Fineco SpA (b) 3 30
Fortis 27 748
Gunma Bank Ltd. 8 48
Hang Seng Bank Ltd. 18 241
HBOS Plc 90 1,392
Hokugin Financial Group Inc. 25 76
HSBC Holdings Plc 257 4,104
Hypo Real Estate Holding AG (b) 3 114
Joyo Bank Ltd. 17 83
KBC Groupe SA 4 331
Lloyds TSB Group Plc 129 1,091
Mitsubishi Tokyo Financial Group Inc. - 953
Mitsui Trust Holding Inc. 12 122
Mizuho Financial Group Inc. - 877
National Australia Bank Ltd. 36 838
National Bank of Greece SA 6 207
Nishi-Nippon City Bank Ltd. (b) 10 43
Nordea Bank AB 49 449
Oversea-Chinese Banking Corp. 29 198
Piraeus Bank SA 4 75
Resona Holdings Inc. (b) 105 194
Royal Bank of Scotland Group Plc 73 2,205
San Paolo-imi SpA 26 352
Seventy-seven Bank 7 43
Shinsei Bank Ltd. 23 124
Shizuoka Bank Ltd. 13 111
Skandinaviska Enskilda Banken (b) 11 183
Societe Generale - Class A 8 781
Sumitomo Mitsui Financial Group - 633
Sumitomo Trust & Banking Co. Ltd. 29 176
Suncor-Metway Ltd. 13 193
Suruga Bank Ltd. 5 41
Svenska Handelsbanken 12 245
UBS AG 25 1,919
UFJ Holdings Inc. (b) - 466
UniCredito Italiano SpA 102 537
United Overseas Bank Ltd. 26 218
Westpac Banking Corp. 41 626
Wing Hang Bank Ltd. (b) 4 27
37,020
Beverages - 1.3%
Asahi Breweries Ltd. 9 105
Cargotec Corp. - Class B (b) 1 25
Carlesberg A/S 1 37
Coca-Cola Hellenic Bottling Co. SA 3 70
Coca-Cola Amatil Ltd. 12 75
Coca-Cola West Japan Co. Ltd. 1 20
Diageo Plc 69 1,020
Foster's Group Ltd. 47 189
Fraser & Neave Ltd. 4 34
Heineken NV 6 177
Interbrew Inc. 4 138
Ito En Ltd. 1 41
Kirin Brewery Co. Ltd. 18 174
Kone Oyj (b) 1 55
Lion Nathan Ltd. 6 36
Pernod-Ricard 1 184
Sabmiller Plc 20 316
Sapporo Holdings Ltd. 6 29
Scottish & Newcastle Plc 18 149
Takara Holdings Inc. 4 25
2,899
Biotechnology - 0.1%
Novozymes A/S 1 56
Qiagen NV (b) 3 41
Zeltia SA 3 22
119
Building Materials - 1.6%
Asahi Glass Co. Ltd. 23 241
Boral Ltd. 14 70
BPB Plc 12 109
Central Glass Co. 4 25
Cimpor-cimentos De Portugal 4 24
CRH Plc 12 323
CSR Ltd. 20 40
Daikin Industries Ltd. 5 135
Fletcher Building Ltd. 10 47
FLSmidth & Co. A/S (b) 1 16
Geberit AG - 56
Hanson Plc 17 165
HeidelbergCement AG 2 119
Holcim Ltd. 4 257
Imerys SA 1 47
Italcementi SpA 2 24
James Hardie Industries NV 10 56
JS Group Corp. 6 96
Kingspan Group Plc 2 29
Lafarge SA 4 356
Matsushita Electric Works Ltd. 8 67
Nippon Sheet Glass Co. Ltd. 10 39
Pilkington Plc 22 47
Rinker Group Ltd. 22 232
Rinnai Corp. 1 20
Saint-Gobain Compagnie 7 388
Sanwa Shutter Corp. 4 23
Sumitomo Osaka Cement Co. Ltd. 8 21
Taiheiyo Cement Corp. 20 53
Titan Cement Co. SA 1 38
Travis Perkins Plc (b) 3 82
Wienerberger AG 2 71
Yit-yhtyma Oyj (b) 1 46
3,362
Chemicals - 2.4%
Air Liquide 3 432
Akzo Nobel NV 6 247
Asahi Kasei Corp. 29 137
BASF AG 12 829
Bayer AG 15 505
BOC Group Plc 12 208
Ciba Specialty Chemicals AG 2 91
Clariant AG (b) 5 72
Daicel Chemical Industries Ltd. 6 31
Dainippon Ink & Chemical 14 45
Denki Kagaku Kogyo K K 11 39
DSM NV 2 119
Givaudan - 95
Hitachi Chemical Co. Ltd. 2 40
Imperial Chemical Industries Plc 27 124
Ishihara Sangyo Kaisha Ltd. 6 13
Johnson Matthey Plc 5 99
JSR Corp. 4 88
Kaneka Corp. 7 78
Kansai Paint Co. Ltd. 5 32
Kingboard Chemical Holdings Ltd. 13 41
Lonza Group AG (b) 1 45
Mitsubishi Chemical Corp. 40 117
Mitsubishi Gas Chemical Co. 9 46
Mitsui Chemicals Inc. 14 82
Nippon Kayaku Co. Ltd. 4 24
Nippon Shokubai Co. Ltd. 3 24
Nissan Chemical Industries Ltd. 4 43
Nitto Denko Corp. 4 217
Shin-etsu Chemical Co. Ltd. 8 314
Showa Denko K K 24 57
Solvay SA 1 154
Sumitomo Bakelite Co. Ltd. 4 26
Sumitomo Chemical Co. Ltd. 34 156
Syngenta AG (b) 2 254
Taiyo Nippon Sanso Corp. 6 30
Tokuyama Corp. (b) 5 35
Tosoh Corp. 12 50
Ube Industries Ltd. 18 36
Yara International ASA (b) 5 72
Zeon Corp. 4 35
5,182
Commercial Services - 1.2%
Abertis Infraestructuras SA 5 135
Adecco SA 3 133
Aggreko Plc 5 18
Autoroutes Du Sud De La France 2 93
Autostrade SpA 7 178
Benesse Corp. 1 45
Brambles Industries Ltd. 22 134
Brambles Industries Plc 17 93
Brisa-Auto Estradas de Portugal SA 8 60
Bunzl Plc (b) 8 74
Capita Group Plc 15 101
Cintra Concesiones De Infraestructuras De Transpor (b) 4 49
Dai Nippon Printing Co. Ltd. 15 241
Davis Service Group Plc 4 35
De La Rue Plc 4 29
Goodwill Group Inc. - 15
Group 4 Securicor Plc (b) 27 72
Hays Plc 40 93
Intertek Group Plc 3 42
Kamigumi Co. Ltd. 6 46
Nichii Gakkan Co. 1 12
Randstad Holding NV 1 34
Rank Group Plc 15 70
Rentokil Initial Plc (b) 41 119
Securitas AB - Class B 7 116
Serco Group Plc 10 46
SGS SA - 69
Societe Des Autoroutes Paris 1 46
TIS Inc. 1 27
Toppan Printing Co. Ltd. 13 137
Transurban Group 18 100
Vedior NV 4 50
2,512
Computers - 0.5%
Atos Origin (b) 1 85
Cap Gemini SA (b) 3 93
Computershare Ltd. 8 37
Creative Technology Ltd. 2 13
CSK Corp. 1 55
Fujitsu Ltd. 41 214
Getronics NV (b) 3 31
Indra Sistemas SA 3 62
Itochu Techno-Science Corp. 1 24
LogicaCMG Plc 16 50
Logitech International SA (b) 2 59
Meitec Corp. 1 25
NET One Systems Co. Ltd. - 28
Obic Co. Ltd. - 34
Tdk Corp. 3 184
Tietoenator Oyj 2 54
Wincor Nixdorf AG (b) - 29
WM-Data AB 7 18
1,095
Cosmetics & Personal Care - 0.5%
Aderans Co. Ltd. 1 17
Beiersdorf AG - 40
Kao Corp. 13 306
Kose Corp. (b) 1 24
L'Oreal SA 7 503
Oriflame Cosmetics SA (b) 1 23
Shiseido Co. Ltd. 8 101
Uni-charm Corp. 1 36
1,050
Distribution & Wholesale - 0.9%
Buhrmann NV (b) 3 26
Canon Sales Co. Inc. (b) 2 34
Esprit Holdings Ltd. 22 156
Hagemeyer NV (b) 11 26
Inchcape Plc 2 68
Itochu Corp. 34 171
Li & Fung Ltd. 38 79
Marubeni Corp. 32 109
Mitsubishi Corp. 27 368
Mitsui & Co. Ltd. 33 311
Sojitz Holdings Corp. (b) 4 18
Sumitomo Corp. 23 184
Toyota Tsusho Corp. (b) 4 65
Wolseley Plc 13 283
1,898
Diversified Financial Services - 1.8%
Acom Co. Ltd. 2 105
Aeon Credit Service Co. Ltd. 1 38
Aiful Corp. 1 110
Amvescap Plc 17 101
Australian Stock Exchange Ltd. 2 39
Babcock & Brown Ltd. (b) 3 36
Banca Fiduram SpA 6 30
Cattles Plc 7 39
Challenger Financial Services Group Ltd. (b) 9 22
Close Brothers Group Plc 3 43
Credit Saison Co. Ltd. 4 116
D Carnegie & Co. AB 1 11
Daiwa Securities Group Inc. 29 178
Deutsche Boerse AG 2 186
E*trade Securities Co. Ltd. (b) - 30
Euronext 2 78
Hellenic Exchanges SA (b) 1 8
Hitachi Capital Corp. 1 24
Hong Kong Exchanges And Clearing Ltd. 24 62
ICAP Plc 10 55
Irish Life & Permanent Plc 6 109
London Stock Exchange Plc 5 48
Macquarie Bank Ltd. 5 234
Man Group Plc 7 172
Marschollek Lautenschlaeger Und Partner 1 27
Matsui Securities Co. Ltd. (b) 3 27
Mediobanca SpA 11 204
Mitsubishi Securites Co. Ltd. (b) 4 35
Nikko Cordial Corp. 35 153
Nokian Renkaat Oyj (b) 2 39
Nomura Securities Co. Ltd. 41 488
OMX AB (b) 2 18
ORIX Corp. 2 284
Perpetual Trustees Australia Ltd. 1 36
Promise Co. Ltd. 2 125
Provident Financial Plc 6 79
Sampo-leonia Insurance (b) 9 139
Schroders Plc 3 36
SFE Corp. Ltd. (b) 3 25
Shinko Securities Co. Ltd. (b) 11 35
Singapore Exchange Ltd. 15 19
Takefuji Corp. 3 174
Tower Ltd. (b) 7 10
3,827
Electric - 3.9%
Chubu Electric Power Co. Inc. 13 321
CLP Holdings Ltd. 42 240
Contact Energy Ltd. 6 33
E.on AG 14 1,277
Edison SpA (b) 18 39
Electrabel 1 276
Electric Power Development Co. Ltd. 3 95
Endesa SA 22 517
Enel SpA 84 734
Energias De Portugal SA 46 116
Fortum Oyj 8 127
Hokkaido Electric Power Co. Inc. 4 86
HongKong Electric Holdings 31 141
Iberdrola SA 19 493
International Power Plc (b) 34 124
Kansai Electric Power Co. 18 358
Kyushu Electric Power Co. Inc. 9 196
National Grid Transco Plc 71 689
Public Power Corp. 3 63
Rwe AG 11 670
Scottish & Southern Energy Plc 20 355
Scottish Power Plc 42 378
Terna SpA (b) 27 70
Tohoku Electric Power Co. Inc. 10 211
Tokyo Electric Power Co. 26 629
Union Fenosa SA 5 153
Verbund - Oesterreichische Elektrizitaetswirtschafts AG - 49
8,440
Electrical Components & Equipment - 0.9%
Bekaert SA - 23
Casio Computer Co. Ltd. 5 64
Fujikura Ltd. 7 34
Furukawa Electric Co. Ltd. (b) 14 54
Hitachi Cable Ltd. 4 17
Hitachi Ltd. 74 448
Johnson Electric Holdings Ltd. 32 29
Mitsubishi Electric Corp. 44 232
Sanyo Electric Co. Ltd. 35 89
Sharp Corp. 22 343
Stanley Electric Co. Ltd. 3 52
Sumitomo Electric Industries Ltd. 17 173
Toshiba Corp. 67 266
Ushio Inc. 3 53
Vestas Wind Systems A/S (b) 4 61
1,938
Electronics - 1.4%
Advantest Corp. 2 125
Alps Electric Co. Ltd. 4 61
Anritsu Corp. 3 18
Barco NV - 18
Dainippon Screen Mfg. Co. Ltd. 5 34
Electrocomponents Plc 9 40
Epcos AG (b) 1 13
Fanuc Ltd. 4 260
Hirose Electric Co. 1 77
Ibiden Co. Ltd. (b) 2 55
Keyence Corp. 1 161
Koninklijke Philips Electronics NV 30 766
Kyocera Corp. 4 282
Mabuchi Motor Co. Ltd. 1 35
Minebea Co. Ltd. 7 28
Mitsumi Electric Co. Ltd. 1 14
Murata Manufacturing Co. Ltd. 5 243
NEC Corp. 43 231
NGK Insulators Ltd. 6 58
Nippon Electric Glass Co. Ltd. 5 75
Omron Corp. 5 106
Premier Farnell Plc 8 22
Secom Co. Ltd. 5 193
Taiyo Yuden Co. Ltd. 3 33
Venture Corp. Ltd. 5 47
Yaskawa Electric Corp. (b) 4 24
Yokogawa Electric Corp. 5 61
3,080
Engineering & Construction - 1.3%
ABB Ltd. (b) 46 300
Acciona SA 1 61
ACS Actividades Construccion Y Servicios SA 6 165
Amec Plc 7 42
Auckland International Airport Ltd. 21 35
BAA Plc 25 273
Balfour Beatty Plc 9 54
Bouygues SA 5 193
Cheung Kong Infrastructure Holdings Ltd. 10 30
Chiyoda Corp. (b) 3 37
COMSYS Holdings Corp. 3 28
Downer Edi Ltd. (b) 6 25
Flughafen Wien AG - 15
Fomento de Construcciones y Contratas SA 1 63
Grupo Ferrovial SA 1 96
Hellenic Technodomiki Tev SA 4 18
Hochtief AG (b) 1 48
JGC Corp. 5 61
Kajima Corp. 21 77
Kinden Corp. 3 22
Kobenhavns Lufthavne - 27
Leighton Holdings Ltd. 3 25
Linde AG 2 126
New World Development Co. Ltd. 48 58
Nishimatsu Construction Co. Ltd. 5 18
Obayashi Corp. 15 80
Okumura Corp. 4 23
Sacyr Vallermoso SA 2 54
Sanef (b) 1 28
SembCorp. Industries Ltd. 18 28
Shimizu Corp. 13 60
Singapore Technologies Engineering Ltd. 28 40
Skanska AB 9 110
Taisei Corp. 21 71
Takuma Co. Ltd. 2 14
Technical Olympic SA 2 14
Toda Corp. 4 17
Vinci SA (b) 3 280
2,716
Entertainment - 0.4%
Aristocrat Leisure Ltd. 7 58
EMI Group Plc 19 85
Hilton Group Plc 37 189
Lottomatica SpA (b) 1 23
OPAP SA 4 107
Oriental Land Co. Ltd. 1 65
Paddy Power Plc (b) 1 17
Tabcorp. Holdings Ltd. 12 145
Toho Co. Ltd. 3 49
Unitab Ltd. (b) 3 30
William Hill Plc 9 89
857
Environmental Control - 0.0%
Kurita Water Industries Ltd. 3 42
Tomra Systems ASA 4 16
Waste Management NZ Ltd. 2 11
69
Food - 4.3%
Ahold Koninklijke NV (b) 36 294
Ajinomoto Co. Inc. 14 156
Ariake Japan Co. Ltd. - 10
Axfood AB 1 16
Cadbury Schweppes Plc 48 457
Carrefour SA 13 629
Casino Guichard Perrachon SA 1 59
Colruyt SA - 52
Compass Group Plc 50 211
Danisco A/S 1 77
Delhaize Group 2 97
East Asiatic Co. Ltd. A/S - 30
Ebro Puleva SA (b) 2 35
Fyffes Plc 7 20
Greencore Group Plc 3 14
Groupe Danone 6 488
House Foods Corp. 2 22
Iaws Group Plc (b) 2 34
Jeronimo Martins (b) 1 18
Katokichi Co. Ltd. 3 18
Kerry Group Plc 3 76
Kesko Oyj 2 40
Kikkoman Corp. 3 26
Meiji Dairies Corp. 5 28
Meiji Seika Kaisha Ltd. 8 39
Metro AG 3 169
Nestle SA 9 2,376
Nichirei Corp. 5 19
Nippon Meat Packers Inc. 4 46
Nisshin Seifun Group Inc. 4 41
Nissin Food Products Co. Ltd. 2 54
Olam International Ltd. (b) 16 8
Orkla ASA 4 157
Qp Corp. 2 19
Royal Numico NV (b) 3 134
Sainsbury Plc 31 157
Sodexho Alliance SA 2 71
Suedzucker AG 2 31
Tate & Lyle Plc 11 94
Tesco Plc 178 1,019
Toyo Suisan Kaisha Ltd. 2 31
Unilever NV 13 854
Unilever Plc 64 614
Want Holdings Ltd. (b) 9 11
Woolworths Ltd. 24 300
Yakult Honsha Co. Ltd. 2 43
Yamazaki Baking Co. Ltd. 3 26
9,220
Forest Products & Paper - 0.4%
Billerud AB 2 20
Carter Holt Harvey Ltd. 14 22
Holmen AB 1 30
Mayr-Melnhof Karton AG - 19
Nippon Paper Group Inc. - 84
Norske Skogindustrier ASA 3 46
Oji Paper Co. Ltd. 18 94
Paperlinx Ltd. 10 22
Stora Enso Oyj - R Shares 15 186
Svenska Cellulosa AB 4 141
UPM-Kymmene Oyj 12 231
895
Gas - 0.6%
Alinta Ltd. (b) 6 42
Australian Gas Light Co. Ltd. 10 114
Centrica Plc 85 354
Gas Natural Sdg SA 4 120
Hong Kong & China Gas 85 172
NGC Holdings Ltd. 3 9
Osaka Gas Co. Ltd. 46 145
Snam Rete Gas SpA 22 119
Tokyo Gas Co. Ltd. 51 191
1,266
Hand & Machine Tools - 0.5%
Fuji Electric Holdings Co. Ltd. 13 39
KCI Konecranes Oyj - 17
Makita Corp. 3 59
Nidec Corp. 1 127
Sandvik AB 5 176
Schindler Holding - Part Cert - 46
Schneider Electric SA 5 395
SMC Corp. 1 130
Techtronic Industries Co. Ltd. 23 57
THK Co. Ltd. 3 51
1,097
Healthcare - 0.8%
Capio AB (b) 2 23
Cie Generale d'Optique Essilor International SA 2 157
Cochlear Ltd. 1 35
Coloplast A/S 1 35
Dca Group Ltd. (b) 9 27
Elekta AB - Class B (b) 1 27
Fisher & Paykel Healthcare Corp. 10 22
Fresenius Medical Care AG 1 72
Gambro AB 6 85
Getinge AB 4 53
Hoya Corp. 3 287
Luxottica Group SpA 3 69
Nobel Biocare Holding AG 1 106
Parkway Holdings Ltd. 18 20
Phonak Holding AG 1 34
Smith & Nephew Plc 22 215
Sonic Healthcare Ltd. 5 50
Ssl International Plc 4 21
Strauman Holdings - 35
Synthes Inc. 1 115
Terumo Corp. 4 112
William Demant Holding (b) 1 31
1,631
Holding Companies - Diversified - 0.7%
DCC Plc 2 34
Groupe Bruxelles Lambert SA 2 134
Haw Par Corp. Ltd. 3 10
Hutchison Whampoa Ltd. 49 441
Keppel Corp. Ltd. 12 89
LVMH Moet Hennessy Louis Vuitton SA 6 440
Patrick Corp. Ltd. 15 63
Swire Pacific Ltd. 22 190
Tomkins Plc 18 85
Viohalco 2 15
Wharf Holdings Ltd. 28 98
1,599
Home Builders - 0.3%
Barratt Developments Plc 6 75
Bellway Plc 2 37
Berkeley Group Holdings Plc 2 38
Bovis Homes Group Plc (b) 3 35
Daiwa House Industry Co. Ltd. 12 137
Persimmon Plc 6 90
Sekisui Chemical Co. Ltd. 10 69
Sekisui House Ltd. 11 111
Taylor Woodrow Plc 14 82
Wimpey (George) Plc 9 74
748
Home Furnishings - 0.9%
Bang & Olufsen A/S - 23
Electrolux AB 6 138
Fisher & Paykel Appliances Holdings Ltd. 7 17
Matsushita Electric Industrial Co. Ltd. 48 728
MFI Furniture Plc 13 26
Pioneer Corp. 3 50
Sony Corp. 21 732
Thomson Corp. 6 141
Yamaha Corp. 4 64
1,919
Household Products - 0.3%
Henkel Kgaa 1 121
Pacific Brands Ltd. 11 19
Reckitt Benckiser Plc 14 420
Societe BIC SA 1 41
Toto Ltd. 7 55
Waterford Wedgewood Plc (b) 28 2
658
Insurance - 4.5%
Aegon NV 32 420
Alleanza Assicurazioni SpA 11 116
Allianz AG 8 916
AMP Ltd. 43 212
Assicurazioni Generali 22 687
Aviva Plc 54 607
AXA Asia Pacific Holdings Ltd. 20 66
AXA SA 33 823
Britannic Group Plc (b) 5 41
CNP Assurances 1 48
Friends Provident Plc 42 138
ING Groep NV 43 1,219
Insurance Australia Group Ltd. 37 170
Legal & General Group Plc 149 307
Mapfre Corporacion SA 2 34
Mediolanum SpA 5 34
Millea Holdings Inc. - 470
Mitsui Sumitomo Insurance Co. Ltd. 29 260
Muenchener Rueckversicherungs AG 4 452
Pohjola Group Plc - Class D 1 19
Prudential Plc 55 486
Qbe Insurance Group Ltd. 17 211
Riunione Adriatica Di Sicurta SpA 7 131
Royal & Sun Alliance Insurance Group Plc 68 102
Scor (b) 16 32
Skandia Forsakrings AB 23 129
Sompo Japan Insurance Inc. 19 191
Storebrand 5 48
Swiss RE 7 458
T&D Holdings 5 246
Topdanmark A/S (b) - 30
Zurich Financial Services AG (b) 3 571
9,674
Internet - 0.3%
Eaccess Ltd. (b) - 20
Index Corp. (b) - 27
Rakuten Inc. - 83
Sbi Holdings Inc. (b) - 38
Softbank Corp. (b) 6 218
Trend Micro Inc. 2 71
Yahoo Japan Corp. (b) - 184
641
Investment Companies - 0.1%
Macquarie Airports 14 39
Macquarie Communications Infrastructure Group (b) 7 36
Macquarie Infrastructure Group 49 155
230
Iron & Steel - 0.8%
Acerinox SA 4 61
Arcelor 12 227
BlueScope Steel Ltd. 17 103
Boehler-Uddeholm AG - 22
Corus Group Plc (b) 100 76
Daido Steel Co. Ltd. (b) 8 36
JFE Holdings Inc. 13 312
Kobe Steel Ltd. 61 114
Nippon Steel Corp. 141 326
Nisshin Steel Co. Ltd. 19 48
Onesteel Ltd. 12 24
Rautaruukki Oyj 2 27
Ssab Svenskt Stal AB 2 42
Sumitomo Metal Industries Ltd. 92 156
Thyssenkrupp AG 8 142
Tokyo Steel Manufacturing Co. Ltd. (b) 3 31
Voestalpine AG 1 38
1,785
Leisure Time - 0.3%
Amer Sports Corp. 2 29
Carnival Plc 4 224
First Choice Holidays Plc (b) 10 35
Kuoni Reisen Holding - 24
Namco Ltd. 2 20
Sankyo Co. Ltd. Gunma 1 56
Sega Sammy Holdings Inc. 1 90
Shimano Inc. 2 51
TUI AG 4 89
Yamaha Motor Co. Ltd. 4 75
693
Lodging - 0.2%
Accor SA 5 214
Hyatt Regency SA 1 10
InterContinental Hotels Group Plc (b) 10 130
NH Hoteles SA 2 23
Overseas Union Enterprise Ltd. 1 5
Shangri-la Asia Ltd. 28 43
Sky City Entertainment Group Ltd. 9 28
453
Machinery - 0.6%
Alstom (b) 103 102
Amada Co. Ltd. 8 54
Andritz AG (b) - 20
Atlas Copco AB - Class A (b) 8 124
Atlas Copco AB - Class B (b) 5 65
Cookson Group Plc (b) 4 22
Ebara Corp. 7 27
Heidelberger Druckmaschinen (b) 1 35
Hitachi Construction Machinery Co. Ltd. 2 25
Komatsu Ltd. 21 162
Komori Corp. 2 30
Kubota Corp. 24 131
MAN AG 3 131
Metso Oyj 2 48
Noble Group Ltd. (b) 20 17
Reiter Holding AG - 25
Sig Holding AG (b) - 33
Sumitomo Heavy Industries Ltd. 13 62
Tele2 AB (b) 7 67
Toyota Industries Corp. 5 122
1,302
Manufacturing - 1.5%
AGFA-Gevaert NV 2 65
Alfa Laval AB 2 34
Amano Corp. 2 24
Ansell Ltd. 3 23
BBA Group Plc 10 53
FKI Plc 12 22
Fuji Photo Film Co. Ltd. 11 369
Futuris Corp. Ltd. 11 16
Glory Ltd. (b) 1 21
IMI Plc 9 65
Invensys Plc (b) 122 23
Ishikawajima-harima Heavy Industries Co. Ltd. (b) 24 35
Kawasaki Heavy Industries Ltd. 26 50
Konica Minolta Holdings Inc. 11 98
Mitsubishi Heavy Industries Ltd. 69 180
Nikon Corp. 6 68
Nkt Holding A/S - 15
Olympus Corp. 5 96
Orica Ltd. 6 87
Rhi AG (b) - 11
Siemens AG 18 1,347
Smiths Group Plc 13 214
Sulzer AG - 33
Trelleborg AB 2 25
Uponor Oyj 1 25
Wartsila Oyj 1 38
Wesfarmers Ltd. 9 263
3,300
Media - 1.8%
Antena 3 De Television SA (b) 2 33
APN News & Media Ltd. (b) 7 26
British Sky Broadcasting Plc 28 264
Daily Mail & General Trust 7 83
Emap Plc 6 84
Eniro AB 3 38
Fuji Television Network Inc. - 12
Grupo Promotora De Informaciones SA 2 32
Gruppo Editoriale L'Espresso SpA 4 20
Independent News & Media Plc 12 37
ITV Plc 7 16
John Fairfax Holdings Ltd. 22 73
Lagardere S.c.a. 3 209
Mediaset SpA 19 224
Modern Times Group AB (b) 1 34
Mondadori Amoldo Editore SpA 3 24
Pearson Plc 19 219
Premiere AG (b) 1 36
Prosieben Sat.1 Media AG 2 30
Publishing & Broadcasting Ltd. 3 32
Reed Elsevier NV 16 226
Reed Elsevier Plc 29 280
Reuters Group Plc 33 234
Schibsted ASA 1 28
Scmp Group Ltd. 20 9
Seat Pagine Gialle SpA (b) 87 36
Singapore Press Holdings 36 92
Sky Network Television (b) 5 21
Societe Television Francaise 1 3 75
Sogecable 1 36
Telecom Italia Media SpA (b) 31 15
Television Broadcasts Ltd. 6 34
Tokyo Broadcasting System Inc. 1 15
Trinity Mirror Plc 7 78
United Business Media Plc (b) 7 59
Vivendi Universal SA (b) 25 778
VNU NV 6 159
Wolters Kluwer NV 6 124
Yell Group Plc 16 122
3,947
Metal Fabrication & Hardware - 0.1%
Assa Abloy AB 7 89
Hoganas AB 1 16
NSK Ltd. 11 56
NTN Corp. 9 48
SKF AB - Class B (b) 9 89
298
Mining - 2.0%
Alumina Ltd. 27 112
Anglo American Plc 33 766
BHP Billiton - Broken Hill Propreitary Co. Ltd. 82 1,126
BHP Billiton Plc 57 724
Dowa Mining Co. Ltd. 6 40
Iluka Resources Ltd. 5 28
Mitsubishi Materials Corp. 23 54
Mitsui Mining & Smelting Co. Ltd. 14 65
Newcrest Mining Ltd. 8 102
Nippon Light Metal Co. 12 28
Outokumpu Oyj 3 33
Rio Tinto Ltd. 7 236
Rio Tinto Plc 25 752
Solomon Systech Ltd. (b) 43 15
Sumitomo Metal Mining Co. Ltd. 12 82
Umicore 1 42
4,205
Office & Business Equipment - 0.6%
Canon Inc. 18 918
Neopost SA (b) 1 65
OCE NV 2 25
Ricoh Co. Ltd. 16 249
Seiko Epson Corp. 2 80
1,337
Office Furnishings - 0.0%
Kokuyo Co. Ltd. 2 20
Oil & Gas Producers - 8.4%
BG Group Plc 81 669
BP Plc 492 5,128
Caltex Australia Ltd. (b) 3 37
ENI SpA 60 1,544
Hellenic Petroleum SA (b) 2 25
INPEX Corp. - 56
Lundin Petroleum AB (b) 4 30
Nippon Mining Holdings Inc. 18 102
Nippon Oil Corp. 29 196
Norsk Hydro ASA 3 303
OMV AG - 166
Origin Energy Ltd. 18 105
Repsol Ypf SA 21 539
Royal Dutch Petroleum Co. - NYS 48 3,114
Santos Ltd. 14 116
Shell Transport & Trading Co. 221 2,150
Showa Shell Sekiyu Kk 4 40
Singapore Petroleum Co. Ltd. (b) 3 9
Statoil ASA 15 306
Teikoku Oil Co. Ltd. 4 30
TonenGeneral Sekiyu KK 7 76
Total SA 13 3,092
Woodside Petroleum Ltd. 11 241
18,074
Oil & Gas Services - 0.2%
IHC Caland NV 1 55
Neste Oil (b) 3 75
Petroleum Geo-Services ASA (b) 2 36
Prosafe ASA (b) 1 23
Smedvig A/S 1 16
Stolt Offshore (b) 4 37
Technip-coflexip SA 2 91
333
Packaging & Containers - 0.1%
Amcor Ltd. 20 103
Rexam Plc 13 109
Toyo Seikan Kaisha Ltd. 4 58
270
Pharmaceuticals - 7.1%
Alfresa Holdings Corp. 1 22
Alliance Unichem Plc 6 89
Altana AG 2 93
Astellas Pharma Inc. 12 421
Astrazeneca Plc 38 1,555
Celesio AG 1 68
Chugai Pharmaceutical Co. Ltd. 6 98
CSL Ltd. 5 117
Daiichi Pharmaceutical Co. Ltd. 6 124
Eisai Co. Ltd. 6 194
Elan Corp. Plc (b) 9 64
GlaxoSmithKline Plc 135 3,265
H Lundbeck A/S (b) 2 38
Kaken Pharmaceutical Co. Ltd. 2 14
Kyowa Hakko Kogyo Co. Ltd. 8 52
Mayne Group Ltd. 14 49
MEDICEO Holdings Co. Ltd. 3 40
Merck KGaA 1 94
Novartis AG 54 2,587
Novo-Nordisk A/S 6 282
Omega Pharma SA - 23
Orion Oyj 2 37
Roche Holding AG 16 2,045
Sankyo Co. Ltd. 9 172
Sanofi-synthelabo SA 24 2,001
Santen Pharmaceutical Co. Ltd. (b) 2 39
Schering AG 4 235
Serono SA - Class B - 94
Shionogi & Co. Ltd. 7 90
Suzuken Co. Ltd. 1 34
Taisho Pharmaceutical Co. Ltd. 4 78
Takeda Pharmaceutical Co. 20 1,010
Tanabe Seiyaku Co. Ltd. (b) 5 48
UCB SA 2 99
15,271
Real Estate - 2.3%
Allgreen Properties Ltd. 11 8
Ascendas Real Estate Investment Trust 19 25
British Land Co. Plc 12 189
Brixton Plc (b) 6 38
CapitaLand Ltd. 22 31
Capitamall Trust 14 20
Castellum AB 1 37
Centro Properties Group 18 82
CFS Gandel Retail Trust 32 40
Cheung Kong Holdings Ltd. 35 339
City Developments Ltd. 12 53
Cofinimmo - 17
Commonwealth Property Office Fund 29 27
Corio NV 1 52
Daito Trust Construction Co. Ltd. 2 75
DB Rreef Trust 60 62
Fabege AB (b) 2 39
Gecina SA - 19
General Property Trust 46 128
Great Portland Estates Plc 4 24
Hammerson Plc 6 102
Hang Lung Properties Ltd. 45 66
Henderson Land Development Co. Ltd. 16 76
Hopewell Holdings 13 33
Hysan Development Co. Ltd. 13 27
IMMOFINANZ Immobilien Anlagen AG (b) 8 71
ING Industrial Fund 15 23
Inmobiliaria Colonial (b) 1 38
Investa Property Group 36 54
Ivg Immobilien AG (b) 2 30
Japan Prime Realty Investment Corp. (b) - 30
Japan Real Estate Investment Corp. - 60
Japan Retail Fund Investment Corp. - 43
Keppel Land Ltd. 9 13
Kerry Properties Ltd. 10 22
Kiwi Income Property Trust (b) 16 12
Klepierre - 48
Land Securities Group Plc 11 267
Lend Lease Corp. Ltd. 9 84
Leopalace21 Corp. 3 43
Liberty International Plc 6 97
Macquarie Goodman Group (b) 27 85
Meinl European Land Ltd. (b) 2 31
Metrovacesa SA 1 56
Mirvac Group 21 57
Mitsubishi Estate Co. Ltd. 25 274
Mitsui Fudosan Co. Ltd. 18 201
Multiplex Group (b) 14 32
Nippon Building Fund Inc. - 63
Nomura Real Estate Office Fund Inc. (b) - 30
NTT Urban Development Corp. (b) - 20
PSP Swiss Property AG (b) 1 38
Rodamco Europe NV 1 87
Singapore Land Ltd. 3 10
Sino Land Co. 34 36
Slough Estates Plc 10 92
Stockland 29 121
Sumitomo Realty & Development 9 100
Sun Hung Kai Properties Ltd. 30 295
Suntec 18 13
Tokyo Tatemono Co. Ltd. (b) 5 33
Tokyu Land Corp. 9 42
Unibail Co. 1 133
United Overseas Land Ltd. 15 20
Wereldhave NV - 47
Westfield Group 33 448
Wihlborgs Fastigheter AB (b) - 9
Wing Tai Holdings Ltd. 14 8
4,925
Retail - 2.5%
Aeon Co. Ltd. 15 225
Aoyama Trading Co. Ltd. 1 30
Autobacs Seven Co. Ltd. 1 27
Autogrill SpA (b) 2 32
Boots Group Plc 17 180
Bulgari SpA 4 40
Circle K Sunkus Co. Ltd. 1 20
Citizen Watch Co. Ltd. 7 60
Coles Myer Ltd. 27 192
Cycle & Carriage Ltd. (b) 3 23
Daimaru Inc. 5 44
D'ieteren SA - 16
Dixons Group Plc 44 124
Douglas Holding AG 1 26
Enterprise Inns Plc 8 120
Familymart 1 40
Fast Retailing Co. Ltd. 1 62
Folli - Follie SA - 9
Germanos SA 1 26
Giordano International Ltd. 30 21
Grafton Group Plc (b) 5 62
Gus Plc 23 366
Hankyu Department Stores 3 19
Harvey Norman Holdings Ltd. 11 21
Hellenic Duty Free Shops SA 1 9
Hesses & Mauritz AB - Class B 11 386
HMV Group Plc 10 43
Industria De Diseno Textil SA 5 125
Isetan Co. Ltd. 4 53
Ito-Yokado Co. Ltd. 8 254
KarstadtQuelle AG 2 25
Kesa Electrical Plc 11 57
Kingfisher Plc 54 238
Lawson Inc. 1 49
Marks & Spencer Group Plc 38 246
Marui Co. Ltd. 7 98
Matsumotokiyoshi Co. Ltd. 1 22
Mitchells & Butlers Plc 11 67
Mitsukoshi Ltd. 10 45
Next Plc 6 158
Nitori Co. Ltd. 1 36
Pinault-printemps-redoute SA 2 163
Punch Taverns Plc 6 79
Richemont-uts A Cie Finance 12 392
Ryohin Keikaku Co. Ltd. 1 25
Seven-Eleven Japan Co. Ltd. 9 238
Shimachu Co. Ltd. 1 25
Shimamura Co. Ltd. 1 42
Signet Group Plc 41 80
Skylark Co. Ltd. 2 30
Sonae Sgps SA 19 27
Swatch Group AG 2 147
Takashimaya Co. Ltd. 6 54
UNY Co. Ltd. 4 45
USS Co. Ltd. 1 32
Valora Holding AG - 17
Warehouse Group Ltd. 6 16
Whitbread Plc (b) 6 101
Yamada Denki Co. Ltd. 2 98
5,307
Semiconductors - 0.6%
ARM Holdings Plc 33 67
ASM Pacific Technology 4 16
ASML Holding NV (b) 11 178
Chartered Semiconductor Manufacturing Ltd. (b) 21 16
Elpida Memory Inc. (b) 1 26
Infineon Technologies AG (b) 14 134
Micronas Semiconductor Holdings (b) 1 26
NEC Electronics Corp. 1 36
Rohm Co. Ltd. 3 240
Sanken Electric Co. Ltd. 3 39
St. Assembly Test Services Ltd. (b) 26 19
Stmicroelectronics NV 14 230
Tokyo Electron Ltd. 4 195
Unaxis Holding AG - 33
1,255
Shipbuilding - 0.0%
Mitsui Engineering & Shipbuilding 18 35
Sembcorp. Marine Ltd. 11 17
52
Software - 0.6%
Business Objects SA (b) 1 38
Dassault Systemes SA 1 67
Fuji Soft ABC Inc. 1 29
Hitachi Software Engineering Co. Ltd. 1 17
Isoft Group Plc (b) 5 37
Konami Corp. 2 40
Misys Plc 11 48
Nomura Research Institute Ltd. 1 50
Oracle Corp. Japan 1 26
Sage Group Plc 29 118
SAP AG 5 884
Telelogic AB (b) 5 10
1,364
Storage/Warehousing - 0.0%
Mitsubishi Logistics Corp. 3 31
Telecommunications - 4.3%
Belgacom SA (b) 4 124
BT Group Plc 196 808
Cable & Wireless Plc 54 144
Deutsche Telekom AG (b) 63 1,162
Eircom Group Plc 14 30
Elisa Corp. 3 47
France Telecom SA 34 996
Hellenic Telecommunications Organization SA 6 110
KDDI Corp. - 259
Nippon Telegraph & Telephone Corp. - 514
PCCW Ltd. 79 49
Portugal Telecom SGPS SA 18 168
Pt Multimedia Servicos (b) 2 21
Royal KPN NV 48 406
Singapore Telecommunications Ltd. 153 250
Swisscom AG 1 183
Tandberg Television ASA (b) 1 17
Telcom Corp. Ltd. 45 190
Tele Danmark A/S (b) 4 189
Telecom Italia Rnc 132 343
Telecom Italia SpA 245 765
Telefonica SA 107 1,748
Telekom Austria AG 8 160
Telenor ASA 18 148
TeliaSonera AB 45 215
Telstra Corp. Ltd. 49 190
Tiscali SpA (b) 5 13
9,249
Telecommunications Equipment - 0.3%
Alcatel SA (b) 29 316
Datacraft Asia Ltd. (b) 5 6
GN Store Nord 5 56
Intracom SA 3 14
Kudelski SA (b) 1 34
Marconi Corp. Plc (b) 4 24
NTT Data Corp. - 99
Oki Electric Industry Co. Ltd. 11 39
Tandberg ASA 3 31
619
Textiles - 0.2%
Kuraray Co. Ltd. 8 76
Mitsubishi Rayon Co. Ltd. 12 50
Nisshinbo Industries 4 33
Teijin Ltd. 19 88
Texwinca Holdings Ltd. 16 13
Toray Industries Inc. 30 142
Toyobo Co. Ltd. 16 37
439
Tobacco - 0.9%
Altadis SA 6 260
British American Tobacco Plc 37 712
Gallaher Group Plc (b) 15 224
Imperial Tobacco Group Plc 17 454
Japan Tobacco Inc. - 306
Swedish Match AB 7 85
2,041
Toys & Hobbies - 0.1%
Bandai Co. Ltd. 2 40
Nintendo Co. Ltd. 2 240
280
Transportation - 1.6%
Amadeus Global Travel Distribution SA 8 68
AP Moller - Maersk A/S - 267
Arriva Plc 4 41
Associated British Ports Holdings Plc 7 59
Central Japan Railway Co. - 170
ComfortDelgro Corp. Ltd. 37 37
Compagnie Maritime Belge SA 1 20
Cosco Corp. Singapore Ltd. (b) 9 10
Dampskibsselskbet Torm A/S (b) - 18
Deutsche Post AG 11 269
Dsv De Sammenslut Vogn A/S - 41
East Japan Railway Co. - 400
Euronav NV - 13
Exel Plc 7 105
Firstgroup Plc 9 50
Frontline Ltd. 1 48
Kawasaki Kisen Kaisha Ltd. 11 65
Keihin Electric Express Railway Co. Ltd. 10 61
Keio Corp. 12 65
Keisei Electric Railway Co. Ltd. (b) 6 30
Kintetsu Corp. 36 110
Mitsui O.S.K. Lines Ltd. 25 153
MTR Corp. 33 64
National Express Group Plc 3 48
Neptune Orient Lines Ltd. 11 25
Nippon Express Co. Ltd. 19 82
Nippon Yusen Kabushiki Kaisha 24 137
Odakyu Electric Railway Co. 14 74
Orient Overseas International Ltd. 5 21
Peninsular & Oriental Steam 17 99
Seino Transportation Co. Ltd. 3 27
Sembcorp. Logistics Ltd. (b) 9 9
Singapore Post Ltd. 42 25
Smrt Corp. Ltd. 14 10
Stagecoach Group Plc 21 44
Stolt-nielsen SA (b) 1 29
TNT NV 9 225
Tobu Railway Co. Ltd. 17 62
Tokyu Corp. 21 94
Toll Holdings Ltd. 5 52
West Japan Railway Co. - 130
Yamato Transport Co. Ltd. 9 125
3,482
Venture Capital - 0.1%
3i Group Plc 14 174
Jafco Co. Ltd. (b) 1 42
216
Water - 0.6%
Kelda Group Plc 9 109
Severn Trent Water Plc 8 149
Sociedad General de Aguas de Barcelona SA 1 27
Suez SA 19 510
United Utilities Plc 13 155
United Utilities Plc - A Shares 15 89
Veolia Environnement 7 262
1,301
Wireless Telecommunications - 3.4%
Cosmote Mobile Communication 3 55
Hikari Tsushin Inc. (b) 1 36
Hutchison Telecommunications International Ltd. (b) 57 56
Mobistar SA (b) 1 51
Nokia Oyj 107 1,798
NTT DoCoMo Inc. - 612
Smartone Telecommunications 7 8
Telefonaktiebolaget LM Ericsson 340 1,094
Uniden Corp. 2 31
Vodafone Group Plc 1,491 3,635
7,376
Total Common Stocks (cost $193,231) 205,365
Preferred Stocks - 0.1%
Auto Manufacturers - 0.1%
Porsche AG - 132
Healthcare - 0.0%
Fresenius Medical Care AG 1 39
Total Preferred Stocks (cost $145) 171
Rights - 0.0%
Metrovacesa SA, No Strike Price, Expiring 07/05/05 1 5
Sacyr Vallermoso, No Strike Price, Expiring 07/12/05 2 2
Waterford Wedgwood Plc, Strike Price 0.06 EUR,
Expiring 07/18/05 18 -
Total Rights (cost $0) 7
Warrants - 0.0%
Chemicals - 0.0%
Kingboard Chemical Holdings Ltd., Strike Price 20.00 HKD,
Expiring 12/31/06 1 1
Total Warrants (cost $0) 1
Short Term Investments - 16.5%
Money Market Funds - 3.5%
Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 7,583 7,583
Securities Lending Collateral - 12.8%
Mellon GSL Delaware Business Trust Collateral Fund (n) 27,580 27,580
U.S. Treasury Bills - 0.2%
US Treasury Bill, 2.947%, 09/08/05 (m) $435 433
Total Short Term Investments (cost $35,596) 35,596
Total Investments - 111.9% (cost $228,972) 241,140
Other Assets and Liabilities, Net - (11.9%) (25,698)
Total Net Assets - 100% $215,442
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 19.4%
Consumer, Cyclical 17.1%
Financial 16.3%
Industrial 11.2%
Energy 9.2%
Technology 9.0%
Utilities 6.3%
Communications 5.1%
Basic Materials 3.5%
Money Market Investment 2.5%
Diversified 0.3%
Government 0.1%
100.0%
Common Stocks - 97.2%
Advertising - 0.2%
Catalina Marketing Corp. 11 $270
Harte-Hanks Inc. 15 451
721
Aerospace & Defense - 0.5%
Alliant Techsystems Inc. (b) 8 568
Sequa Corp. - Class A (b) 2 122
Titan Corp. (b) 18 413
1,103
Airlines - 0.3%
Airtran Holdings Inc. (b) 18 163
Alaska Air Group Inc. (b) (l) 5 158
JetBlue Airways Corp. (b) (l) 21 425
746
Apparel - 0.2%
Timberland Co. - Class A (b) 13 510
Auto Parts & Equipment - 0.8%
ArvinMeritor Inc. 15 265
Bandag Inc. 3 151
Borg Warner Inc. 12 642
Lear Corp. 14 518
Modine Manufacturing Co. 7 223
1,799
Banks - 4.4%
Associated Bancorp. 27 925
Bank of Hawaii Corp. 11 575
City National Corp. 10 685
Colonial Bancgroup Inc. 33 725
Commerce Bancorp. Inc. (l) 34 1,043
Cullen/Frost Bankers Inc. 10 491
FirstMerit Corp. 18 466
Greater Bay Bancorp. 11 291
Hibernia Corp. - Class A 33 1,093
Investors Financial Services Corp. (l) 14 533
Mercantile Bankshares Corp. 17 865
SVB Financial Group (b) (l) 8 366
TCF Financial Corp. 27 697
Texas Regional Bancshares Inc. 9 262
Webster Financial Corp. 11 531
Westamerica Bancorp. 7 379
Wilmington Trust Corp. 14 513
10,440
Beverages - 0.8%
Constellation Brands Inc. - Class A (b) 44 1,287
PepsiAmericas Inc. 22 577
1,864
Biotechnology - 1.4%
Charles River Laboratories International Inc. (b) 14 676
Invitrogen Corp. (b) 11 912
Martek Biosciences Corp. (b) (l) 7 255
Millennium Pharmaceuticals Inc. (b) 65 603
Protein Design Labs Inc. (b) (l) 22 453
Vertex Pharmaceuticals Inc. (b) 20 333
3,232
Building Materials - 0.4%
Martin Marietta Materials Inc. 10 693
York International Corp. 9 337
1,030
Chemicals - 2.6%
Airgas Inc. 15 372
Albemarle Corp. 10 358
Cabot Corp. 13 441
Cabot Microelectronics Corp. (b) 5 149
Crompton Corp. 25 348
Cytec Industries Inc. 9 369
Ferro Corp. 9 176
FMC Corp. (b) 8 441
Lubrizol Corp. 14 599
Lyondell Chemical Co. 46 1,217
Minerals Technologies Inc. 4 268
Olin Corp. (l) 15 279
RPM International Inc. 25 454
Sensient Technologies Corp. (l) 10 200
Valspar Corp. 11 526
6,197
Commercial Services - 3.5%
Adesa Inc. 19 424
Alliance Data Systems Corp. (b) (l) 14 569
Banta Corp. 5 234
Career Education Corp. (b) 22 797
Choicepoint Inc. 19 755
Corinthian Colleges Inc. (b) (l) 20 249
Deluxe Corp. 11 434
Devry Inc. 14 273
Education Management Corp. (b) 14 486
Gartner Inc. - Class A (b) (l) 18 190
ITT Educational Services Inc. (b) 10 520
Kelly Services Inc. - Class A 6 164
Korn/Ferry International (b) 8 136
Laureate Education Inc. (b) 11 503
Manpower Inc. 19 759
MPS Group Inc. (b) 21 199
Quanta Services Inc. (b) 21 182
Rent-A-Center Inc. (b) 15 352
Rollins Inc. 10 208
Sotheby's Holdings Inc. - Class A (b) 10 144
United Rentals Inc. 15 311
Valassis Communications Inc. (b) 11 404
8,293
Computers - 4.0%
Anteon International Corp. (b) 8 360
Bisys Group Inc. (b) 26 382
Cadence Design Systems Inc. (b) (l) 57 783
Ceridian Corp. (b) 32 617
Cognizant Tech Solutions Corp. (b) 29 1,355
Diebold Inc. 15 686
DST Systems Inc. (b) 16 751
Imation Corp. 7 286
Jack Henry & Associates Inc. 17 315
McData Corp. - Class A (b) (l) 33 133
Mentor Graphics Corp. (b) 16 162
National Instruments Corp. (l) 14 303
Reynolds & Reynolds - Class A 12 333
Sandisk Corp. (b) 38 910
Storage Technology Corp. (b) 23 819
Synopsys Inc. 31 513
Western Digital Corp. (b) (l) 45 608
9,316
Distribution & Wholesale - 1.0%
CDW Corp. (l) 16 897
Fastenal Co. (l) 15 888
Tech Data Corp. 12 452
2,237
Diversified Financial Services - 2.7%
AG Edwards Inc. 16 730
AmeriCredit Corp. (b) (l) 32 823
Eaton Vance Corp. 28 676
IndyMac Bancorp. Inc. 13 535
Jefferies Group Inc. 11 413
Labranche & Co. Inc. (b) (l) 11 71
Legg Mason Inc. (l) 23 2,432
Raymond James Financial Inc. 14 398
Waddell & Reed Financial Inc. - Class A 18 329
6,407
Electric - 5.1%
Alliant Energy Corp. 25 694
Aquila Inc. (b) 50 180
Black Hills Corp. 7 258
DPL Inc. 27 735
Duquesne Light Holdings Inc. (l) 17 309
Energy East Corp. 31 902
Great Plains Energy Inc. (l) 16 503
Hawaiian Electric Industrials 17 458
Idacorp. Inc. 9 273
MDU Resources Group Inc. 25 707
Northeast Utilities 27 569
NSTAR 23 696
OGE Energy Corp. 19 553
Pepco Holdings Inc. 40 955
PNM Resources Inc. 15 422
Puget Energy Inc. 21 495
Scana Corp. (l) 24 1,021
Sierra Pacific Resources (b) (l) 25 315
Westar Energy Inc. 18 438
Wisconsin Energy Corp. 25 968
WPS Resources Corp. 8 454
11,905
Electrical Components & Equipment - 0.9%
Ametek Inc. 15 615
Energizer Holdings Inc. (b) 15 930
Hubbell Inc. - Class B 13 573
2,118
Electronics - 1.7%
Amphenol Corp. - Class A 19 756
Arrow Electronics Inc. (b) 25 668
Avnet Inc. (b) 26 576
Gentex Corp. 33 602
Kemet Corp. (b) 18 113
Plexus Corp. (b) 10 136
Thomas & Betts Corp. (b) 13 356
Varian Inc. (b) 8 288
Vishay Intertechnology Inc. (b) 39 463
3,955
Engineering & Construction - 0.5%
Dycom Industries Inc. (b) 10 199
Granite Construction Inc. 8 222
Jacobs Engineering Group Inc. (b) 12 680
1,101
Entertainment - 0.6%
GTECH Holdings Corp. 25 719
International Speedway Corp. - Class A 9 528
Macrovision Corp. (b) 11 237
1,484
Environmental Control - 0.6%
Republic Services Inc. - Class A 27 987
Stericycle Inc. (b) 10 481
1,468
Food - 2.7%
Dean Foods Co. (b) 32 1,115
Hormel Foods Corp. 22 652
J.M. Smucker Co. 12 582
Ruddick Corp. 9 242
Smithfield Foods Inc. (b) 21 580
Tootsie Roll Industries Inc. 9 268
Tyson Foods Inc. 64 1,147
Whole Foods Market Inc. 14 1,641
6,227
Forest Products & Paper - 0.7%
Bowater Inc. 12 382
Glatfelter 8 96
Longview Fibre Co. 11 227
Potlatch Corp. 6 326
Rayonier Inc. (l) 11 566
1,597
Gas - 0.9%
AGL Resources Inc. 16 632
Oneok Inc. (l) 22 722
Vectron Inc. 16 462
WGL Holdings Inc. 10 353
2,169
Hand & Machine Tools - 0.2%
Kennametal Inc. 8 365
Healthcare - 7.6%
Advanced Medical Optics Inc. (b) 14 550
Apria Healthcare Group Inc. 10 360
Beckman Coulter Inc. 13 835
Community Health Systems Inc. (b) 14 534
Covance Inc. 13 599
Coventry Health Care Inc. (b) (l) 23 1,595
Cytyc Corp. (b) 24 530
Dentsply International Inc. 16 870
Edwards Lifesciences Corp. (b) 13 543
Gen-Probe Inc. (b) 11 384
Health Net Inc. (b) 24 899
Henry Schein Inc. 18 762
Hillenbrand Industries Inc. 12 630
Inamed Corp. (b) 8 506
LifePoint Hospitals Inc. (b) 10 530
Lincare Holdings Inc. (b) 21 868
Pacificare Health Systems Inc. (b) (l) 18 1,314
Patterson Cos. Inc. (b) (l) 29 1,313
Renal Care Group Inc. (b) 14 662
Steris Corp. (b) 15 384
Techne Corp. (b) 8 375
Triad Hospitals Inc. 17 938
Universal Health Services Inc. 12 770
Varian Medical Systems Inc. (b) 28 1,057
17,808
Holding Companies - Diversified - 0.5%
Leucadia National Inc. (l) 20 777
Telephone & Data Special Systems (b) 11 428
1,205
Home Builders - 3.1%
DR Horton Inc. 62 2,337
Hovnanian Enterprises - Class A (b) 10 666
Lennar Corp. 31 1,939
Ryland Group Inc. 10 763
Thor Industries 10 305
Toll Brothers Inc. (b) 13 1,332
7,342
Home Furnishings - 0.6%
Furniture Brands International Inc. (l) 11 243
Harman International Industries Inc. 14 1,112
1,355
Household Products - 0.8%
American Greetings Corp. (l) 15 387
Blyth Inc. 8 214
Church & Dwight Co. Inc. 13 488
Scotts Miracle-Gro Co. (b) 6 415
Tupperware Corp. 12 285
1,789
Insurance - 5.0%
Allmerica Financial Corp. (b) 11 423
American Financial Group Inc. 12 414
AmerUs Group Co. (l) 8 402
Arthur J. Gallagher & Co. 20 530
Brown & Brown Inc. (l) 13 592
Everest Re Group Ltd. 12 1,111
Fidelity National Financial Inc. 37 1,321
First American Corp. 18 732
HCC Insurance Holdings Inc. 14 544
Horace Mann Educators Corp. 9 176
Ohio Casualty Corp. 13 314
Old Republic International Corp. 39 978
PMI Group Inc. 20 779
Protective Life Corp. 15 622
Radian Group Inc. 19 888
Stancorp. Financial Group 6 459
Unitrin Inc. 12 601
WR Berkley Corp. 25 899
11,785
Internet - 1.2%
Avocent Corp. (b) 11 281
Checkfree Corp. (b) (l) 18 607
F5 Networks Inc. (b) 8 368
Macromedia Inc. (b) 16 596
McAfee Inc. (b) 34 888
RSA Security Inc. (b) 14 165
2,905
Iron & Steel - 0.1%
Steel Dynamics Inc. 9 242
Leisure Time - 0.1%
Callaway Golf Co. (l) 15 238
Lodging - 0.3%
Boyd Gaming Corp. 14 716
Machinery - 1.0%
AGCO Corp. (b) 19 371
Flowserve Inc. 12 353
Graco Inc. 15 500
Nordson Corp. 7 239
Tecumseh Products Co. Inc. 4 106
Zebra Technologies Corp. (b) 15 667
2,236
Manufacturing - 2.1%
Brink's Co. 12 432
Carlisle Cos. Inc. 7 449
Crane Co. 12 313
Donaldson Co. Inc. 16 495
Federal Signal Corp. 10 163
Harsco Corp. 9 478
Lancaster Colony Corp. (l) 7 282
Pentair Inc. 21 917
SPX Corp. 16 730
Teleflex Inc. 8 486
Trinity Industries Inc. (l) 9 288
5,033
Media - 1.7%
A H Belo Corp. 23 545
Emmis Communications - Class A (b) (l) 7 124
Entercom Communications Corp. (b) 9 312
Lee Enterprises Inc. (l) 10 386
Media General Inc. 5 324
Reader's Digest Association - Class A 21 352
Scholastic Corp. (b) 8 303
Washington Post Co. 2 1,263
Westwood One Inc. (b) 19 388
3,997
Metal Fabrication & Hardware - 0.6%
Precision Castparts Corp. 14 1,091
Worthington Industries 17 272
1,363
Mining - 0.9%
Arch Coal Inc. (l) 13 727
Peabody Energy Corp. 25 1,299
Treehouse Foods Inc. (b) - -
2,026
Office Furnishings - 0.4%
Herman Miller Inc. 15 456
HNI Corp. 11 564
1,020
Oil & Gas Producers - 4.6%
Ensco International Inc. 32 1,148
Forest Oil Corp. (b) 12 489
Helmerich & Payne Inc. 11 506
Murphy Oil Corp. 37 1,933
Newfield Exploration Co. (b) 27 1,067
Noble Energy Inc. 18 1,393
Patterson-UTI Energy Inc. 36 996
Pioneer Natural Resources Co. 31 1,292
Plains Exploration & Production Co. (b) 16 582
Pogo Producing Co. 13 699
Pride International Inc. (b) 31 800
10,905
Oil & Gas Services - 2.4%
Cooper Cameron Corp. (b) (l) 11 713
FMC Technologies Inc. (b) 14 463
Grant Prideco Inc. (b) 26 693
Hanover Compressor Co. (b) (l) 16 186
Smith International Inc. 23 1,434
Tidewater Inc. (l) 13 489
Weatherford International Ltd. (b) 29 1,699
5,677
Packaging & Containers - 0.4%
Packaging Corp. of America 18 379
Sonoco Products Co. 21 556
935
Pharmaceuticals - 2.6%
Barr Laboratories Inc. 20 955
Cephalon Inc. (b) (l) 12 490
IVAX Corp. (b) (l) 49 1,056
Omnicare Inc. 22 938
Par Pharmaceuticals Cos. Inc. (b) 7 232
Perrigo Co. 19 267
Sepracor Inc. 22 1,337
Valeant Pharmaceutical International (l) 19 342
VCA Antech Inc. (b) 16 396
6,013
Pipelines - 1.3%
Equitable Resources Inc. 13 878
National Fuel Gas Co. (l) 17 480
Questar Corp. 18 1,186
Western Gas Resources Inc. 14 477
3,021
Real Estate - 2.9%
AMB Property Corp. 18 774
Developers Divers Realty Corp. 23 1,049
Highwoods Properties Inc. 12 344
Hospitality Properties Trust 14 632
Liberty Property Trust 18 809
Mack-Cali Realty Corp. 12 542
New Plan Excel Realty Trust 22 594
Regency Centers Corp. 13 761
United Dominion Realty Trust Inc. (l) 29 700
Weingarten Realty Investors 18 703
6,908
Retail - 9.2%
99 Cents Only Stores (b) (l) 13 164
Abercrombie & Fitch Co. - Class A 18 1,268
Advance Auto Parts (b) 16 1,005
Aeropostale Inc. (b) 12 396
American Eagle Outfitters Inc. 29 903
AnnTaylor Stores Corp. (b) 15 364
Applebee's International Inc. 17 456
Barnes & Noble Inc. (b) 13 523
BJ's Wholesale Club Inc. (b) 15 478
Bob Evans Farms Inc. 7 174
Borders Group Inc. 16 403
Brinker International Inc. (b) 19 748
Carmax Inc. (b) (l) 22 589
CBRL Group Inc. 10 390
Cheesecake Factory Inc. (b) 17 573
Chico's FAS Inc. (b) (l) 38 1,297
Claire's Stores Inc. 21 505
Copart Inc. (b) 17 405
Dollar Tree Stores Inc. (b) (l) 24 574
Foot Locker Inc. 33 900
Krispy Kreme Doughnuts Inc. (b) (l) 13 88
Michaels Stores Inc. 29 1,184
Neiman-Marcus Group Inc. - Class A 10 1,011
O'Reilly Automotive Inc. (b) 22 666
Outback Steakhouse Inc. 14 650
Pacific Sunwear of California Inc. (b) 16 368
Payless Shoesource Inc. (b) 15 281
Petsmart Inc. 31 938
Pier 1 Imports Inc. 18 260
Regis Corp. 10 371
Ross Stores Inc. 31 899
Ruby Tuesday Inc. 14 357
Saks Inc. (b) 30 561
Urban Outfitters Inc. (b) 14 784
Williams-Sonoma Inc. (b) 25 983
21,516
Savings & Loans - 1.1%
Astoria Financial Corp. 22 621
Independence Community Bank Corp. 17 614
New York Community Bancorp. Inc. (l) 52 937
Washington Federal Inc. 18 433
2,605
Semiconductors - 2.8%
Atmel Corp. (b) 95 226
Credence Systems Corp. (b) 20 181
Cree Inc. (b) (l) 16 414
Cypress Semiconductor Corp. (b) (l) 28 347
Fairchild Semiconductor International Inc. (b) (l) 26 378
Integrated Circuit Systems Inc. (b) 15 312
Integrated Device Technology Inc. (b) (l) 23 244
International Rectifier Corp. (b) 14 683
Intersil Corp. 32 599
LAM Research Corp. (b) (l) 30 857
Lattice Semiconductor Corp. (b) 25 112
LTX Corp. (b) 14 69
Micrel Inc. (b) 17 193
Microchip Technology Inc. 44 1,303
Semtech Corp. (b) 16 266
Silicon Laboratories Inc. (b) (l) 10 255
Triquint Semiconductor Inc. (b) 28 94
6,533
Software - 2.3%
Activision Inc. (b) 43 708
Acxiom Corp. 18 384
Advent Software Inc. (b) 6 113
Certegy Inc. 13 508
CSG Systems International Inc. (b) 11 210
Dun & Bradstreet Corp. (b) 15 905
Fair Isaac Inc. 14 520
Keane Inc. (b) 12 167
Moneygram International Inc. 18 352
SEI Investments Co. 18 665
Sybase Inc. (b) 20 359
Transactions Systems Architects Inc. (b) 8 192
Wind River Systems Inc. (b) 17 264
5,347
Telecommunications - 0.3%
Cincinnati Bell Inc. (b) 51 218
Telephone & Data Systems Inc. 13 517
735
Telecommunications Equipment - 1.2%
3Com Corp. (b) 81 294
Adtran Inc. (l) 14 354
CommScope Inc. (b) (l) 11 189
Enterasys Networks Inc. (b) (l) - -
Harris Corp. 28 880
Newport Corp. (b) 9 127
Plantronics Inc. 10 380
Polycom Inc. 21 314
Utstarcom Inc. (b) (l) 23 170
2,708
Textiles - 0.4%
Mohawk Industries Inc. (b) 13 1,042
Tobacco - 0.1%
Universal Corp. 5 238
Transportation - 2.4%
Alexander & Baldwin Inc. 9 434
CH Robinson Worldwide Inc. 18 1,053
CNF Inc. 11 494
Expeditors Intl Wash Inc. (l) 23 1,125
GATX Corp. 11 367
JB Hunt Transport Services Inc. 29 563
Overseas Shipholding Group 7 439
Swift Transportation Co. Inc. (b) (l) 13 303
Werner Enterprises Inc. (l) 13 263
Yellow Roadway Corp. (b) 12 618
5,659
Water - 0.3%
Aqua America Inc. 20 588
Wireless Telecommunications - 0.2%
Powerwave Technologies Inc. (b) (l) 21 216
RF Micro Devices Inc. 41 221
437
Total Common Stocks (cost $195,435) 228,213
Short Term Investments - 16.1%
Money Market Funds - 2.5%
Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 6,017 6,017
Securities Lending Collateral - 13.5%
Mellon GSL Delaware Business Trust Collateral Fund (n) 31,629 31,629
U.S. Treasury Bills - 0.1%
US Treasury Bill, 2.947%, 09/08/05 (m) $254 254
Total Short Term Investments (cost $37,900) 37,900
Total Investments - 113.3% (cost $233,335) 266,113
Other Assets and Liabilities, Net - (13.3%) (31,327)
Total Net Assets - 100% $234,786
JNL/Mellon Capital Management S&P 500 Index Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 21.4%
Financial 19.9%
Technology 11.5%
Industrial 11.0%
Communications 10.2%
Consumer, Cyclical 9.3%
Energy 8.6%
Utilities 3.4%
Basic Materials 2.7%
Money Market Investment 1.7%
Government 0.3%
100.0%
Common Stocks - 97.8%
Advertising - 0.1%
Interpublic Group of Cos. Inc. (b) (l) 13 $157
Omnicom Group Inc. 6 485
642
Aerospace & Defense - 1.9%
Boeing Co. 27 1,783
General Dynamics Corp. 7 712
Goodrich Corp. 4 166
L-3 Communicaitons Holdings Inc. 4 276
Lockheed Martin Corp. 13 846
Northrop Grumman Corp. 12 645
Ratheon Co. 15 573
Rockwell Collins 6 279
United Technologies Corp. 33 1,708
6,988
Agriculture - 0.3%
Archer-Daniels-Midland Co. 20 433
Monsanto Co. 9 544
977
Airlines - 0.1%
Delta Air Lines Inc. (b) (l) 4 14
Southwest Airlines Co. 24 333
347
Apparel - 0.4%
Coach Inc. (b) 12 417
Jones Apparel Group Inc. 4 127
Liz Claiborne Inc. 4 150
Nike Inc. - Class B 7 643
Reebok International Ltd. 2 84
VF Corp. 3 175
1,596
Auto Manufacturers - 0.5%
Ford Motor Co. 59 608
General Motors Corp. (l) 18 623
Navistar International Corp. (b) 2 78
Paccar Inc. 5 372
1,681
Auto Parts & Equipment - 0.2%
Cooper Tire & Rubber Co. 2 43
Dana Corp. 6 88
Delphi Corp. 19 90
Goodyear Tire & Rubber Co. (b) (l) 7 106
Johnson Controls Inc. 6 348
Visteon Corp. 3 20
695
Banks - 6.3%
AmSouth Bancorp. 12 306
Bank of America Corp. 131 5,992
Bank of New York Co. Inc. 25 726
BB&T Corp. 18 712
Comerica Inc. 6 319
Compass Bancshares Inc. 4 169
Fifth Third Bancorp. (l) 17 694
First Horizon National Corp. (l) 4 171
Huntington Bancshares Inc. 7 170
KeyCorp. 13 436
M&T Bank Corp. 3 337
Marshall & Ilsley Corp. 7 311
Mellon Financial Corp. 14 393
National City Corp. 19 656
North Fork Bancorp. Inc. 15 420
Northern Trust Corp. 7 302
PNC Financial Services Group Inc. 9 499
Regions Financial Corp. 15 512
State Street Corp. (l) 11 523
Suntrust Bank Inc. 11 796
Synovus Financial Corp. 10 293
US Bancorp. 60 1,754
Wachovia Corp. 51 2,547
Wells Fargo & Co. 55 3,386
Zions Bancorp. 3 217
22,641
Beverages - 2.2%
Anheuser-Busch Cos. Inc. 25 1,153
Brown-Forman Corp. - Class B 3 166
Coca-Cola Co. 73 3,066
Coca-Cola Enterprises Inc. 11 239
Molson Coors Brewing Co. (l) 2 151
Pepsi Bottling Group Inc. 6 172
PepsiCo Inc. 54 2,935
7,882
Biotechnology - 1.0%
Amgen Inc. 41 2,457
Biogen Idec Inc. (b) 11 373
Chiron Corp. 5 174
Genzyme Corp. 8 486
Medimmune Inc. (b) 8 203
Millipore Corp. 2 100
3,793
Building Materials - 0.3%
American Standard Cos. 6 252
Masco Corp. 14 460
Vulcan Materials Co. 3 223
935
Chemicals - 1.5%
Air Products & Chemicals Inc. 7 444
Ashland Inc. 2 144
Dow Chemical Co. 31 1,375
E.I. du Pont de Nemours & Co. 32 1,390
Eastman Chemical Co. (l) 3 145
Ecolab Inc. 7 238
Engelhard Corp. 4 102
Great Lakes Chemical Corp. 1 43
Hercules Inc. (b) 4 50
International Flavors & Fragrances Inc. 3 93
PPG Industries Inc. 6 353
Praxair Inc. 11 489
Rohm And Haas Co. 6 290
Sherwin-Williams Co. 4 181
Sigma-Aldrich Corp. (l) 2 133
5,470
Commercial Services - 0.9%
Apollo Group Inc. - Class A (b) 5 406
Cendant Corp. 34 765
Convergys Corp. (b) 5 72
Equifax Inc. 4 160
H&R Block Inc. 5 319
McKesson Corp. 10 428
Moody's Corp. (l) 9 386
Paychex Inc. 12 375
R.R. Donnelley & Sons Co. 7 248
Robert Half Intl Inc. 5 118
3,277
Computers - 3.8%
Affiliated Computer Services - Class A (b) 4 214
Apple Computer Inc. (b) 26 974
Computer Sciences Corp. 6 278
Dell Inc. (b) 80 3,151
Electronic Data Systems Corp. 17 323
EMC Corp. (b) 78 1,069
Gateway Inc. 10 34
Hewlett-Packard Co. 94 2,207
International Business Machines Corp. 53 3,927
Lexmark International Inc. (b) 4 271
NCR Corp. (b) 6 217
Network Appliance Inc. (b) 12 334
Sun Microsystems Inc. (b) 107 401
Sungard Data Systems Inc. 9 311
Unisys Corp. (b) 9 60
13,771
Cosmetics & Personal Care - 2.0%
Alberto-Culver Co. - Class B 3 111
Avon Products Inc. 15 580
Colgate-Palmolive Co. 17 848
Gillette Co. 32 1,627
Proctor & Gamble Co. 81 4,247
7,413
Distribution & Wholesale - 0.1%
Genuine Parts Co. 6 236
WW Grainger Inc. 3 151
387
Diversified Financial Services - 7.9%
American Express Co. 38 2,027
Bear Stearns Cos. Inc. 4 382
Capital One Financial Corp. (l) 8 645
Charles Schwab Corp. 37 419
CIT Group Inc. 7 299
Citigroup Inc. 169 7,832
Countrywide Financial Corp. 19 726
E*trade Group Inc. (b) 11 157
Fannie Mae 31 1,834
Federated Investors Inc. - Class B 3 82
Franklin Resources Inc. 6 496
Freddie Mac 22 1,457
Goldman Sachs Group Inc. 14 1,477
Janus Capital Group Inc. 8 121
JPMorgan Chase & Co. 115 4,068
Lehman Brothers Holdings Inc. 9 890
MBNA Corp. 41 1,083
Merrill Lynch & Co. Inc. (l) 30 1,659
Morgan Stanley 36 1,894
Providian Financial Corp. (b) 10 173
SLM Corp. 14 708
TRowe Price Group Inc. 4 255
28,684
Electric - 3.2%
AES Corp. (b) 21 344
Allegheny Energy Inc. 5 121
Ameren Corp. (l) 6 348
American Electric Power Co. Inc. 12 459
Calpine Corp. (b) (l) 17 57
Centerpoint Energy Inc. (l) 8 111
Cinergy Corp. 6 284
CMS Energy Corp. (b) (l) 6 93
Consolidated Edison Inc. (l) 8 369
Constellation Energy Group Inc. 6 331
Dominion Resources Inc. 11 812
DTE Energy Co. (l) 6 268
Duke Energy Corp. (l) 30 903
Edison International Inc. 11 430
Entergy Corp. 7 522
Exelon Corp. 22 1,104
Firstenergy Corp. 11 516
FPL Group Inc. 13 535
NiSource Inc. 9 222
PG&E Corp. 12 440
Pinnacle West Capital Corp. 3 140
PPL Corp. 6 364
Progress Energy Inc. (l) 8 364
Public Service Enterprise (l) 7 450
Southern Co. 24 836
Teco Energy Inc. 7 132
TXU Corp. 8 644
Xcel Energy Inc. (l) 13 258
11,457
Electrical Components & Equipment - 0.3%
American Power Conversion Corp. 5 128
Emerson Electric Co. 14 848
Molex Inc. 5 132
1,108
Electronics - 0.5%
Agilent Technologies Inc. (b) 14 323
Applied Biosystems Group - Applera Corp. 7 133
Fisher Scientific International Inc. (b) (l) 4 253
Jabil Circuit Inc. (b) 6 171
PerkinElmer Inc. 4 69
Sanmina-SCI Corp. (b) 20 109
Solectron Corp. (b) 33 125
Symbol Technologies Inc. 8 82
Tektronix Inc. 3 66
Thermo Electron Corp. (b) 6 149
Waters Corp. (b) 4 149
1,629
Engineering & Construction - 0.0%
Fluor Corp. (l) 3 163
Entertainment - 0.1%
International Game Technology 11 315
Environmental Control - 0.2%
Allied Waste Industries Inc. (b) (l) 9 75
Waste Management Inc. 18 522
597
Food - 1.6%
Albertson's Inc. (l) 12 251
Campbell Soup Co. 11 326
ConAgra Foods Inc. 17 386
General Mills Inc. 12 553
H.J. Heinz Co. 11 403
Hershey Foods Corp. 7 440
Kellogg Co. 11 506
Kroger Co. (b) 24 451
McCormick & Co. Inc. 5 148
Safeway Inc. (b) (l) 14 327
Sara Lee Corp. 26 507
Supervalu Inc. 5 149
Sysco Corp. 21 748
WM Wrigley Jr Co. 6 439
5,634
Forest Products & Paper - 0.5%
Georgia-Pacific Corp. 9 272
International Paper Co. 16 481
Louisiana-Pacific Corp. 3 78
MeadWestvaco Corp. 6 173
Plum Creek Timber Co. Inc. 6 217
Temple-Inland Inc. 4 145
Weyerhaeuser Co. 8 498
1,864
Gas - 0.2%
KeySpan Corp. (l) 6 232
Nicor Inc. (l) 2 72
Peoples Energy Corp. (l) 1 58
Sempra Energy 8 318
680
Hand & Machine Tools - 0.1%
Black & Decker Corp. 3 243
Snap-On Inc. (l) 2 77
Stanley Works 3 117
437
Healthcare - 5.4%
Aetna Inc. 10 789
Bausch & Lomb Inc. 2 131
Baxter International Inc. 20 747
Becton Dickinson & Co. 8 432
Biomet Inc. 8 282
Boston Scientific Corp. (b) 25 666
CR Bard Inc. 4 233
Guidant Corp. 10 704
HCA Inc. 13 758
Health Management Associates Inc. (l) 7 195
Humana Inc. 5 214
Johnson & Johnson 96 6,266
Laboratory Corp. of America Holdings (b) 5 226
Manor Care Inc. 3 130
Medtronic Inc. 39 2,030
Quest Diagnostics Inc. 6 328
St. Jude Medical Inc. (b) 12 510
Stryker Corp. 12 576
Tenet Healthcare Corp. (b) (l) 16 192
UnitedHealth Group Inc. 42 2,168
WellPoint Inc. (b) 20 1,380
Zimmer Holdings Inc. (b) 8 606
19,563
Home Builders - 0.2%
Centex Corp. 4 300
KB Home (l) 3 193
Pulte Homes Inc. 4 323
816
Home Furnishings - 0.1%
Maytag Corp. (l) 2 33
Whirlpool Corp. 2 159
192
Household Products - 0.6%
Avery Dennison Corp. 3 164
Clorox Co. 5 284
Fortune Brands Inc. 5 403
Kimberly-Clark Corp. 16 978
Newell Rubbermaid Inc. (l) 8 200
2,029
Insurance - 4.6%
ACE Ltd. 9 397
Aflac Inc. 16 704
Allstate Corp. 22 1,318
AMBAC Financial Group Inc. 4 254
American International Group Inc. 84 4,907
AON Corp. 10 262
Chubb Corp. 6 534
Cigna Corp. (l) 4 458
Cincinnati Financial Corp. 6 221
Hartford Financial Services Group Inc. 10 715
Jefferson-Pilot Corp. 5 230
Lincoln National Corp. 6 269
Loews Corp. 5 395
Marsh & McLennan Cos. Inc. 17 474
MBIA Inc. (l) 5 279
MetLife Inc. 24 1,067
MGIC Investment Corp. 3 192
Principal Financial Group 10 407
Progressive Corp. 7 643
Prudential Financial Inc. 17 1,115
Safeco Corp. 4 227
St. Paul Travelers Cos. Inc. 22 857
Torchmark Corp. 3 172
UnumProvident Corp. (l) 9 165
XL Capital Ltd. - Class A (l) 5 349
16,611
Internet - 0.9%
Ebay Inc. (b) 39 1,295
Monster Worldwide Inc. (b) 4 116
Symantec Corp. 23 499
Yahoo! Inc. (b) 42 1,463
3,373
Iron & Steel - 0.1%
Allegheny Technologies Inc. 2 55
Nucor Corp. 5 241
United States Steel Corp. (l) 4 133
429
Leisure Time - 0.4%
Brunswick Corp. 3 141
Carnival Corp. 17 929
Harley Davidson Inc. (l) 9 469
Sabre Holdings Corp. (l) 4 75
1,614
Lodging - 0.4%
Harrah's Entertainment Inc. 5 366
Hilton Hotels Corp. 13 302
Marriott International Inc. - Class A 6 429
Starwood Hotels & Resorts Worldwide Inc. 7 406
1,503
Machinery - 0.5%
Caterpillar Inc. 11 1,061
Cummins Inc. (l) 2 115
Deere & Co. 8 521
Rockwell Automation Inc. 6 280
1,977
Manufacturing - 5.6%
3M Co. 25 1,811
Cooper Industries Ltd. - Class A 3 198
Danaher Corp. (l) 9 468
Dover Corp. 7 245
Eastman Kodak Co. (l) 9 254
Eaton Corp. 5 305
General Electric Corp. 344 11,905
Honeywell International Inc. 28 1,010
Illinois Tool Works Inc. 9 710
Ingersoll-Rand Co. - Class A 6 398
ITT Industries Inc. 3 295
Leggett & Platt Inc. 6 170
Pall Corp. 4 132
Parker Hannifin Corp. 4 246
Textron Inc. 4 329
Tyco International Ltd. 65 1,904
20,380
Media - 3.4%
Clear Channel Communications Inc. 17 527
Comcast Corp. - Class A (b) 72 2,201
Dow Jones & Co. Inc. (l) 2 71
Gannett Co. 8 583
Knight-Ridder Inc. 3 156
McGraw-Hill Cos. Inc. 12 544
Meredith Corp. 1 72
New York Times Co. - Class A (l) 5 153
News Corp. Inc. 93 1,513
Time Warner Inc. (b) 149 2,490
Tribune Co. 9 326
Univision Communications Inc. - Class A (b) (l) 10 265
Viacom Inc. - Class B 52 1,674
Walt Disney Co. 66 1,671
12,246
Mining - 0.5%
Alcoa Inc. 28 737
Freeport-McMoRan Copper & Gold Inc. (l) 6 223
Newmont Mining Corp. (l) 14 560
Phelps Dodge Corp. 3 292
1,812
Office & Business Equipment - 0.2%
Pitney Bowes Inc. 7 311
Xerox Corp. (b) 31 428
739
Oil & Gas Producers - 7.4%
Amerada Hess Corp. 3 280
Anadarko Petroleum Corp. 8 628
Apache Corp. 11 686
Burlington Resources Inc. 13 696
Chevron Corp. 68 3,816
ConocoPhillips 45 2,596
Devon Energy Corp. 16 789
EOG Resources Inc. 8 440
Exxon Mobil Corp. 207 11,895
Kerr-McGee Corp. 4 286
Marathon Oil Corp. 11 601
Nabors Industries Ltd. (b) 5 299
Noble Corp. 4 273
Occidental Petroleum Corp. 13 990
Rowan Cos. Inc. 3 91
Sunoco Inc. 2 264
Transocean Inc. (b) 10 564
Unocal Corp. 9 572
Valero Energy Corp. 8 661
XTO Energy Inc. 11 383
26,810
Oil & Gas Services - 0.9%
Baker Hughes Inc. 11 562
BJ Services Co. 5 282
Halliburton Co. 16 781
National Oilwell Varco Inc. (b) 6 262
Schlumberger Ltd. 19 1,449
3,336
Packaging & Containers - 0.1%
Ball Corp. 4 136
Bemis Co. 4 95
Pactiv Corp. (b) 5 105
Sealed Air Corp. 3 141
477
Pharmaceuticals - 6.1%
Abbott Laboratories 51 2,477
Allergan Inc. 4 363
AmerisourceBergen Corp. 4 243
Bristol-Myers Squibb Co. 63 1,583
Cardinal Bergen Health Inc. 14 811
Caremark Rx Inc. (b) 15 658
Eli Lilly & Co. 37 2,045
Express Scripts Inc. (b) 5 252
Forest Laboratories Inc. (b) 11 444
Gilead Sciences Inc. 14 617
Hospira Inc. (b) 5 202
King Pharmaceuticals Inc. (b) 9 90
Medco Health Solutions Inc. (b) 9 477
Merck & Co. Inc. 72 2,204
Mylan Laboratories Inc. 9 173
Pfizer Inc. 242 6,669
Schering-Plough Corp. 48 912
Watson Pharmaceuticals Inc. (b) (l) 3 94
Wyeth 43 1,928
22,242
Pipelines - 0.3%
Dynegy Inc. - Class A (b) 12 57
El Paso Corp. (l) 21 244
Kinder Morgan Inc. 3 280
Williams Cos. Inc. 18 351
932
Real Estate - 0.5%
Apartment Investment & Management Co. 3 135
Archstone-Smith Trust 7 255
Equity Office Properties Trust 13 432
Equity Residential Properties Trust 9 338
Prologis 6 246
Simon Property Group Inc. 7 519
1,925
Retail - 6.6%
Autonation Inc. (b) 7 140
Autozone Inc. (b) 2 205
Bed Bath & Beyond Inc. (b) 10 409
Best Buy Co. Inc. 10 662
Big Lots Inc. (b) (l) 5 61
Circuit City Stores Inc. 6 95
Costco Wholesale Corp. 15 688
CVS Corp. 26 753
Darden Restaurants Inc. 5 162
Dillard's Inc. - Class A 3 59
Dollar General Corp. 9 187
Family Dollar Stores Inc. 6 149
Federated Department Stores Inc. 5 402
Gap Inc. 26 507
Home Depot Inc. 71 2,769
J.C. Penney Co. Inc. 9 462
Kohl's Corp. (b) 11 593
Limited Brands Inc. 13 270
Lowe's Cos. Inc. 25 1,459
May Department Stores Co. 9 379
McDonald's Corp. 41 1,145
Nordstrom Inc. 4 282
Office Depot Inc. 10 237
OfficeMax Inc. 3 97
Radioshack Corp. 5 127
Sears Holdings Corp. (b) (l) 3 461
Staples Inc. 24 512
Starbucks Corp. (b) 13 671
Target Corp. 29 1,581
Tiffany & Co. (l) 4 144
TJX Cos. Inc. 16 380
Toys "R" Us Inc. (b) 7 173
Walgreen Co. 33 1,521
Wal-Mart Stores Inc. 110 5,294
Wendy's International Inc. 4 180
Yum! Brands Inc. 9 491
23,707
Savings & Loans - 0.6%
Golden West Financial Corp. 9 590
Sovereign Bancorp. Inc. 12 276
Washington Mutual Inc. (l) 28 1,151
2,017
Semiconductors - 3.2%
Advanced Micro Devices Inc. (b) (l) 13 227
Altera Corp. (b) 12 243
Analog Devices Inc. 12 450
Applied Materials Inc. 54 875
Applied Micro Circuits Corp. (b) 13 34
Broadcom Corp. - Class A (b) 9 334
Freescale Semiconductor Inc. (b) 13 282
Intel Corp. 202 5,261
KLA-Tencor Corp. (b) 7 284
Linear Technology Corp. 10 364
LSI Logic Corp. (b) 12 101
Maxim Integrated Products Inc. 11 403
Micron Technology Inc. (b) (l) 20 208
National Semiconductor Corp. 12 254
Novellus Systems Inc. (b) 5 117
Nvidia Corp. (b) 6 153
PMC - Sierra Inc. (b) 5 49
Qlogic Corp. (b) 3 96
Teradyne Inc. (b) 5 65
Texas Instruments Inc. 56 1,565
Xilinx Inc. 11 293
11,658
Software - 4.3%
Adobe Systems Inc. 16 452
Autodesk Inc. 8 262
Automatic Data Processing Inc. 19 792
BMC Software Inc. (b) 7 133
Citrix Systems Inc. (b) 6 127
Computer Associates International Inc. (b) (l) 17 475
Compuware Corp. (b) 11 78
Electronic Arts Inc. 10 563
First Data Corp. 26 1,042
Fiserv Inc. (b) 6 275
IMS Health Inc. 7 175
Intuit Inc. (b) (l) 6 278
Mercury Interactive Corp. (b) (l) 2 94
Microsoft Corp. 328 8,148
Novell Inc.(b) (l) 11 66
Oracle Corp. (b) 146 1,923
Parametric Technology Corp. 10 63
Siebel Systems Inc. (b) 17 156
Veritas Software Corp. (b) 13 315
15,417
Telecommunications - 2.8%
Alltel Corp. (l) 11 659
AT&T Corp. 26 493
BellSouth Corp. 59 1,578
CenturyTel Inc. (l) 5 160
Citizens Communications Co. (l) 12 155
Qwest Communications International Inc. (b) (l) 51 189
SBC Communications Inc. 107 2,544
Sprint Corp. (l) 48 1,202
Verizon Communications 90 3,102
10,082
Telecommunications Equipment - 1.7%
ADC Telecommunications Inc. (b) 3 75
Andrew Corp. (b) (l) 5 64
Avaya Inc. (b) 16 135
Ciena Corp. (b) 16 34
Cisco Systems Inc. (b) 210 4,004
Comverse Technology Inc. (b) 7 157
Corning Inc. (b) 46 760
JDS Uniphase Corp. (b) (l) 48 73
Lucent Technologies Inc. 144 418
Scientific-Atlanta Inc. 5 170
Tellabs Inc. (b) 16 135
6,025
Textiles - 0.1%
Cintas Corp. 5 197
Tobacco - 1.4%
Altria Group Inc. 67 4,334
Reynolds American Inc. (l) 4 310
UST Inc. (l) 5 249
4,893
Toys & Hobbies - 0.1%
Hasbro Inc. 5 100
Mattel Inc. 14 253
353
Transportation - 1.4%
Burlington Northern Santa Fe Corp. 12 576
CSX Corp. 7 303
FedEx Corp. 10 789
Norfolk Southern Corp. 13 402
Ryder System Inc. 2 66
Union Pacific Corp. 8 550
United Parcel Service - Class B 36 2,511
5,197
Wireless Telecommunications - 1.2%
Motorola Inc. 80 1,452
Nextel Communications Inc. (b) 35 1,129
Qualcomm Inc. 53 1,760
4,341
Total Common Stocks (cost $326,038) 353,957
Short Term Investments - 8.3%
Money Market Funds - 1.7%
Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 6,063 6,063
Securities Lending Collateral - 6.3%
Mellon GSL Delaware Business Trust Collateral Fund (n) 22,888 22,888
U.S. Treasury Bills - 0.3%
US Treasury Bill, 2.947%, 09/08/05 (m) $1,000 994
Total Short Term Investments (cost $29,945) 29,945
Total Investments - 106.1% (cost $355,983) 383,902
Other Assets and Liabilities, Net - (6.1%) (21,963)
Total Net Assets - 100% $361,939
JNL/Mellon Capital Management Small Cap Index Fund
Percentage of Total
Industry Sector Investments (o)
Financial 20.7%
Consumer, Non-cyclical 18.6%
Consumer, Cyclical 13.4%
Industrial 12.8%
Technology 9.7%
Communications 9.0%
Energy 5.0%
Money Market Investment 4.3%
Basic Materials 3.5%
Utilities 2.6%
Government 0.2%
Diversified 0.2%
100.0%
Common Stocks - 95.5%
Advertising - 0.3%
Advo Inc. 5 $169
APAC Customer Services Inc. (b) 2 1
Catalina Marketing Corp. 9 221
Greenfield Online Inc. (b) 1 12
Marchex Inc. - Class B (b) 3 41
R.H. Donnelly Inc. (b) - 20
Sitel Corp. (b) 9 18
Valuevision Media Inc. (b) 3 33
Ventiv Health Inc. (b) 3 66
581
Aerospace & Defense - 1.0%
AAR Corp. (b) 5 84
Argon St. Inc. (b) 1 41
Armor Holdings Inc. (b) 6 223
BE Aerospace Inc. (b) 10 154
Curtiss-Wright Corp. 4 189
DRS Technologies Inc. (b) 5 231
Ducommun Inc. (b) 1 18
EDO Corp. 3 83
Engineered Support Systems Inc. 7 242
Esterline Technologies Inc. (b) 4 172
GenCorp. Inc. 9 172
Heico Corp. (l) 3 75
Heico Corp. - Class A - 2
Herley Industries Inc. (b) 2 34
Innovative Solutions & Support Inc. (b) 1 50
Kaman Corp. - Class A 4 70
Moog Inc. - Class A (b) 7 208
MTC Technologies Inc. (b) 1 55
Orbital Sciences Corp. (b) (l) 10 97
Sequa Corp. - Class A (b) 1 66
Teledyne Technologies Inc. (b) 5 176
Titan Corp. (b) 1 21
Triumph Group Inc. (b) 3 90
United Industrial Corp. 2 57
2,610
Agriculture - 0.2%
Alico Inc. (b) 1 28
Andersons Inc/the (b) 1 30
Delta & Pine Land Co. 6 158
FTD Group Inc. (b) 2 20
Maui Land & Pineapple Co. Inc. (b) 1 22
Tejon Ranch Co. (b) 1 72
330
Airlines - 0.5%
Airtran Holdings Inc. (b) (l) 14 131
Alaska Air Group Inc. (b) 5 136
America West Holdings Corp. - Class B (b) (l) 5 33
Continental Airlines Inc. - Class B (b) (l) 11 153
Delta Air Lines Inc. (b) (l) 22 82
Expressjet Holdings Inc. (b) 6 55
Frontier Airlines Inc. (b) 7 67
MAIR Holdings Inc. (b) (l) 1 9
Mesa Air Group Inc. (b) (l) 6 38
Northwest Airlines Corp. (b) (l) 15 66
Pinnacle Airlines Corp. (b) 4 31
Rebublic Airways Holdings Inc. (b) 1 13
Skywest Inc. 10 178
World Air Holdings Inc. (b) 3 36
1,028
Alternative Energy - 0.4%
Danielson Holdings Corp. (b) 15 187
Evergreen Solar Inc. (b) 5 34
FuelCell Energy Inc. (b) (l) 7 71
Headwaters Inc. (b) (l) 7 237
KFX Inc. (b) (l) 9 124
Pacific Ethanol Inc. (b) (l) 1 8
Plug Power Inc. (b) (l) 8 55
Syntroleum Corp. (b) 6 65
781
Apparel - 0.9%
Carter's Inc. (b) 3 172
Cherokee Inc. 1 39
Deckers Outdoor Corp. (b) (l) 1 37
DHB Industries Inc. (b) (l) 4 30
Guess Inc. (b) 2 39
Gymboree Corp. (b) 5 67
Hampshire Group Ltd. (b) - 8
Hartmarx Corp. (b) 4 37
Kellwood Co. 5 124
K-Swiss Inc. - Class A 4 142
Oshkosh B'gosh Inc. Class A 1 27
Oxford Industries Inc. 2 95
Perry Ellis International Inc. (b) 1 17
Phillips-Van Heusen 5 149
Quicksilver Inc. (b) 1 21
Russell Corp. 5 103
Skechers USA Inc. - Class A (b) 4 52
Steven Madden Ltd. (b) 2 39
Stride Rite Corp. 6 87
Warnaco Group Inc. (b) 8 185
Weyco Group Inc. 1 19
Wolverine World Wide Inc. 10 239
1,728
Auto Manufacturers - 0.1%
ASV Inc. (b) 2 61
Wabash National Corp. 5 123
184
Auto Parts & Equipment - 0.8%
Accuride Corp. (b) 1 10
Aftermarket Technology Corp. (b) 3 51
American Axle & Manufacturing Holdings Inc. (l) 7 174
ArvinMeritor Inc. 12 206
Bandag Inc. 2 85
Commercial Vehicle Group Inc. (b) 2 27
Cooper Tire & Rubber Co. (l) 11 205
Exide Technologies (b) 3 16
Goodyear Tire & Rubber Co. (b) (l) 1 20
Hayes Lemmerz International Inc. (b) 6 41
Keystone Automotive Industries Inc. (b) 3 68
Modine Manufacturing Co. 6 183
Noble International Ltd. 1 21
Quantum Fuel Systems Technologies Worldwide Inc. (b) (l) 6 29
R&B Inc. (b) 1 10
Raytech Corp. (b) 2 3
Sports Resorts Intl Inc. (b) (l) 1 1
Standard Motor Prods 2 23
Strattec Security Corp. (b) 1 36
Superior Industries International Inc. 4 94
Tenneco Automotive Inc. (b) 7 122
Titan International Inc. (b) (l) 2 28
Visteon Corp. 22 131
1,584
Banks - 7.9%
1st Source Corp. 2 39
ABC Bancorp. 2 33
Alabama National Bancorp. 2 152
Amcore Financial Inc. 4 131
Amegy Bancorp. Inc. (b) 11 256
AmericanWest Bancorp. (b) 2 38
Ames National Corp. (b) (l) - 22
Arrow Financial Corp. 1 39
Associated Bancorp. 1 20
Banc Corp. (b) 1 10
Bancfirst Corp. 1 50
Bancorp. Inc. (b) 1 25
Bancorpsouth Inc. (l) 13 314
BancTrust Financial Group Inc. 1 26
Bank Mutual Corp. 12 132
Bank of Granite Corp. 2 37
Bank of the Ozarks Inc. 2 55
Banner Corp. 2 49
Boston Private Financial Holdings 5 120
Bryn Mawr Bank Corp. (l) 1 22
Camden National Corp. 1 44
Capital City Bank Group Inc. 2 70
Capital Corp. of The West (b) 2 43
Capital Crossing Bank (b) 1 24
Capitol Bancorp. Ltd. 2 70
Cardinal Financial Corp. (b) 3 27
Cascade Bancorp. 3 57
Cathay General Bancorp. 7 245
Cavalry Bancorp. Inc. (l) - 7
Center Financial Corp. 2 44
Central Coast Bancorp. (b) 2 32
Central Pacific Financial Corp. 5 185
Chemical Financial Corp. 4 145
Chittenden Corp. 8 210
Citizens & Northern Corp. (b) (l) 1 37
Citizens Banking Corp. 7 218
City Bank Lynnwood Washington 1 41
City Holdings Co. 3 104
Coastal Financial Corp. 2 32
CoBiz Inc. 2 35
Colony Bankcorp. Inc. (b) (l) 1 27
Columbia Bancorp. 1 42
Columbia Banking System Inc. 3 65
Commercial Bankshares Inc. (b) - 8
Community Bancorp. (b) - 9
Community Bank System Inc. 5 115
Community Banks Inc. (l) 2 47
Community Trust Bancorp. Inc. 2 81
Corus Bankshares Inc. 3 171
CVB Financial Corp. 8 156
East West Bancorp. Inc. 1 21
Enterprise Financial Services Corp. (b) 1 29
EuroBancshares Inc. (b) 1 19
Exchange National Bancshares Inc. 1 14
Farmers Capital Bank Corp. 1 31
Financial Institutions Inc. 1 24
First Bancorp. 2 39
First Bancorp/Puerto Rico 6 237
First Busey Corp. 2 40
First Charter Corp. 5 115
First Citizens Banc Corp. (l) - 9
First Citizens Banc Corp. - Class A 1 152
First Commonwealth Financial Corp. 12 160
First Community Bancorp. 2 111
First Community Bancshares 2 51
First Financial Bancorp. 6 115
First Financial Bankshares Inc. 3 104
First Financial Corp. 2 64
First Indiana Corp. 2 55
First Merchants Corp. 3 76
First Midwest Bancorp. Inc. 8 274
First Oakbrook Bancshares Inc. 1 30
First Regional Bancorp. (b) - 25
First Republic Bank 3 116
First South Bancorp. Inc. (b) (l) - 10
First State Bancorp. 3 50
FNB Corp. (l) 11 224
Foothill Independent Bancorp. 1 13
Fremont General Corp. 11 258
Frontier Financial Corp. 4 108
GB&T Bancshares Inc. 2 45
German American Bancorp. (l) 2 22
Glacier Bancorp. Inc. 5 140
Gold Banc Corp. Inc. 7 103
Great Southern Bancorp. Inc. 2 57
Greater Bay Bancorp. 9 226
Greater Community Bancorp. - -
Greene County Bancshares Inc. (l) 1 19
Hancock Holding Co. 5 160
Hanmi Financial Corp. 6 104
Harleysville National Corp. 4 99
Heartland Financial USA Inc. 1 29
Hudson United Bancorp. 7 263
Iberiabank Corp. 1 69
Independent Bank Corp. 3 86
Independent Bank Corp. 2 70
Integra Bank Corp. 3 59
Interchange Financial Services Co. 3 51
International Bancshares Corp. - 2
Irwin Financial Corp. 3 62
Lakeland Bancorp. Inc. 3 41
Lakeland Financial Corp. 1 36
Macatawa Bank Corp. 2 63
Main Street Banks Inc. 3 70
MainSource Financial Group Inc. 1 26
MB Financial Inc. 3 134
MBT Financial Corp. 2 48
Mercantile Bank Corp. 1 53
Mid-State Bancshares 4 111
Midwest Banc Holdings Inc. (l) 2 38
Nara Bancorp. Inc. 3 45
National Bankshares Inc. - 20
National Penn Bancshares Inc. 6 149
NBC Capital Corp. 1 26
NBT Bancorp. Inc. 6 136
Northern Empire Bancshares (b) (l) 1 32
Oak Hill Financial Inc. 1 17
Old National Bancorp. (l) 12 257
Old Second Bancorp. Inc. 2 68
Omega Financial Corp. 2 56
Oriental Financial Group 3 46
Pacific Capital Bancorp. 8 283
Park National Corp. 2 266
Peapack Gladstone Financial Corp. (l) 1 33
Pennrock Financial Services Corp. 1 48
Penns Woods Bancorp. Inc. - 16
Pennsylvania Commerce Bancorp. Inc. (b) - 10
Peoples Bancorp. Inc. 2 41
Pinnacle Financial Partners Inc. (b) 1 28
Placer Sierra Bancshares 1 28
Preferred Bank (b) - 8
Premierwest Bancorp. (b) (l) 1 10
Privatebancorp Inc. 3 103
Prosperity Bancshares Inc. 3 100
Provident Bankshares Corp 5 172
R & G Financial Corp. - Class B 5 83
Renasant Corp. (b) 2 54
Republic Bancorp. 12 177
Republic Bancorp. Inc. - Class A 1 31
Royal Bancshares - Class A 1 14
S&T Bancorp. Inc. 4 152
S.Y. Bancorp. Inc. 2 43
Sandy Spring Bancorp. Inc. 3 89
Santander Bancorp. 1 21
SCBT Financial Corp. 1 38
Seacoast Banking Corp. 2 42
Security Bank Corp. 2 37
Shore Bancshares Inc. 1 21
Sierra Bancorp. (b) 1 18
Signature Bank (b) 2 41
Simmons First National Corp. - Class A 3 68
Smithtown Bancorp. Inc. (l) 1 19
Southern Community Financial Corp. (l) 2 21
Southside Bancshares Inc. 2 32
Southwest Bancorp. Inc. 2 38
State Bancorp. Inc. 1 27
State Financial Services Corp. 1 36
Sterling Bancorp. - NYS 3 55
Sterling Bancshares Inc. 8 118
Sterling Financial Corp. 5 109
Suffolk Bancorp. 2 58
Summit Bancshares Inc. (b) 1 9
Summit Financial Group Inc. (b) (l) - 10
Sun Bancorp. Inc. (b) 2 36
Susquehanna Bancshares Inc. 8 190
SVB Financial Group (b) 6 291
Taylor Capital Group Inc. 1 20
Texas Capital Bancshares Inc. (b) 4 75
Texas Regional Bancshares Inc. 7 217
Tompkins Trustco Inc. 1 58
Trico Bancshares 2 38
Trustco Bank Corp. 12 163
Trustmark Corp. 8 231
UCBH Holdings Inc. 15 242
UMB Financial Corp. 3 148
Umpqua Holdings Corp. 7 172
Union Bankshares Corp. 2 58
United Bankshares Inc. 6 224
United Community Banks Inc. 5 129
United Security Bancshares (b) (l) 1 29
Univest Corp of Pennsylvania 2 54
Unizan Financial Corp. 4 96
USB Holding Co. Inc. 2 42
Vineyard National Bancorp. (b) (l) 1 33
Virginia Commerce Bancorp. (b) 1 32
Virginia Financial Group Inc. 1 37
W Holding Co. Inc. 18 179
Washington Trust Bancorp. Inc. 2 62
WesBanco Inc. 4 110
West Bancorp. Inc. 2 46
West Coast Bancorp. 2 59
Westamerica Bancorp. 6 290
Western Sierra Bancorp. (b) 1 39
Wilshire Bancorp. Inc. 3 37
Wintrust Financial Corp. 4 208
Yardville National Bancorp. 2 55
15,980
Beverages - 0.2%
Boston Beer Co. Inc. - Class A (b) 1 29
Coca-Cola Bottling Co. 1 34
Cogent Inc. (b) 3 99
Farmer Brothers Co. 1 25
Hansen Natural Corp. (b) (l) 1 104
National Beverage Corp. (b) 1 6
Peets Coffee & Tea Inc. (b) 2 75
372
Biotechnology - 2.1%
Aastrom Biosciences Inc. (b) (l) 14 43
Aksys Ltd. (b) (l) 1 2
Alexion Pharmaceuticals Inc. (b) 5 110
Applera Corp. - Celera Genomics Group (b) 12 135
Arena Pharmaceuticals Inc. (b) 5 31
Ariad Pharmaceuticals Inc. (b) 10 64
Arqule Inc. (b) 4 29
Avant Immunotherapeutics Inc. (b) 12 14
Barrier Therapeutics Inc. (b) 1 8
BioCryst Pharmaceuticals Inc. (b) (l) 2 12
Bio-Rad Laboratories Inc. Class A (b) 3 172
Cambrex Corp. 4 84
Cancervax Corp. (b) (l) 2 7
Cell Genesys Inc.(b) (l) 8 44
Corgentech Inc. (b) 1 3
CuraGen Corp. (b) (l) 7 34
Curis Inc. (b) 7 27
Cytogen Corp. (b) (l) 3 14
deCODE genetics Inc. (b) 9 81
Digene Corp. (b) 3 69
Diversa Corp. (b) 4 18
Encysive Pharmaceuticals Inc. (b) 10 108
Enzo Biochem Inc. (b) 4 73
Enzon Pharmaceuticals Inc. (b) 7 45
Exelixis Inc. (b) 12 88
Genaera Corp. (b) (l) 9 15
Gene Logic Inc. (b) 4 12
Genitope Corp. (b) (l) 3 40
Geron Corp. (b) (l) 10 76
GTX Inc. (b) (l) 1 9
Harvard Bioscience Inc. (b) 1 2
Human Genome Sciences Inc. (b) (l) 22 251
ICOS Corp. (b) (l) 10 219
Illumina Inc. (b) 5 64
Immunogen Inc. (b) 6 32
Immunomedics Inc. (b) (l) 7 11
Incyte Corp. (b) 12 87
Integra Lifesciences Holdings Corp. (b) 3 102
Intermune Inc. (b) 5 69
Keryx Biopharmaceuticals Inc. (b) 4 51
Kosan Biosciences Inc. (b) 3 16
Lexicon Genetics Inc. (b) 12 57
Lifecell Corp. (b) 5 81
Marshall Edwards Inc. (b) (l) 1 6
Martek Biosciences Corp. (b) 5 192
Maxygen Inc. (b) 3 23
Meridian Bioscience Inc. (b) 1 28
Momenta Pharmaceuticals Inc. (b) (l) 1 20
Myogen Inc. (b) (l) 3 20
Myriad Genetics Inc. (b) 5 78
Nanogen Inc. (b) (l) 7 28
Nektar Therapeutics (b) 14 238
Neose Technologies Inc. (b) 5 16
Northfield Laboratories Inc. (b) 4 59
Orchid Cellmark Inc. (b) 3 34
Oscient Pharmaceuticals Corp. (b) (l) 9 24
Peregrine Pharmaceuticals Inc. (b) 22 21
Regeneration Technologies (b) 4 22
Regeneron Pharmaceuticals (b) 6 51
Savient Pharmaceuticals Inc. (b) 7 32
Seattle Genetics Inc. (b) 5 25
Serologicals Corp. (b) (l) 6 125
Stemcells Inc. (b) (l) 8 34
Supergen Inc. (b) 9 46
Telik Inc. (b) (l) 9 140
Tercica Inc. (b) 1 7
Third Wave Technologies (b) 5 19
Transkaryotic Therapies Inc. (b) 5 186
Vertex Pharmaceuticals Inc. (b) 15 260
Virologic Inc. (b) (l) 18 45
4,288
Building Materials - 1.0%
Aaon Inc. (b) 1 23
Apogee Enterprises Inc. 5 72
Comfort Systems USA Inc. 7 44
Drew Industries Inc. (b) (l) 1 53
Eagle Materials Inc. 3 299
Elkcorp 3 92
Genlyte Group Inc. (b) 4 200
Huttig Building Products Inc. (b) 2 18
Interline Brands Inc. (b) 2 40
Lennox International Inc. 8 175
LSI Industries Inc. 4 51
Mestek Inc. (b) - 13
NCI Building Systems Inc. (b) 3 113
Simpson Manufacturing Co. Inc. 6 187
Texas Industries Inc. 4 222
Trex Co. Inc. (b) (l) 2 44
U S Concrete Inc. (b) 3 21
Universal Forest Products Inc. 3 107
USG Corp. (b) (l) - 18
York International Corp. 7 264
2,056
Chemicals - 1.7%
Aceto Corp 4 27
Airgas Inc. 1 20
Albemarle Corp. 1 21
American Vanguard Corp. (l) 2 38
Arch Chemicals Inc. 4 98
Balchem Corp. (b) 1 28
Cabot Microelectronics Corp. (b) (l) 4 125
Crompton Corp. 1 19
Cytec Industries Inc. - 19
Ferro Corp. 7 139
FMC Corp. (b) - 21
Georgia Gulf Corp. 6 171
Great Lakes Chemical Corp. 9 276
HB Fuller Co. 5 163
Hercules Inc. (b) 19 268
Kronos Worldwide Inc. - 15
MacDermid Inc. 5 145
Minerals Technologies Inc. 4 216
Mosaic Co. (b) (l) 1 21
NewMarket Corp. (b) 2 32
Nl Industries (b) 1 17
Octel Corp. 2 35
Olin Corp. 12 218
OM Group Inc. (b) 5 117
Omnova Solutions Inc. (b) 6 28
Pioneer Cos. Inc. (b) 1 32
PolyOne Corp. (b) 15 102
Quaker Chemical Corp. 1 20
Schulman Inc. 5 94
Sensient Technologies Corp. (l) 8 168
Solutia Inc. 9 5
Spartech Corp. 4 78
Stepan Co. 1 19
Symyx Technologies Inc. (b) 5 152
Terra Industries Inc. (b) 14 98
UAP Holding Corp (b) 5 83
Valhi Inc. 1 14
Wellman Inc. 5 56
Westlake Chemical Corp. 2 47
WR Grace & Co. (b) 12 90
Zoltek Cos. Inc. (b) (l) 2 19
3,354
Commercial Services - 4.6%
Aaron Rents Inc. 7 163
ABM Industries Inc. 7 129
Ace Cash Express Inc. (b) 1 36
Administaff Inc. 4 91
Advance America Cash Advance Centers Inc. 12 184
Advisory Board Co. (b) 3 156
Albany Molecular Research Inc. (b) 4 50
Alderwoods Group Inc. (b) 7 98
American Healthcare Services Inc. (b) 2 26
Arbitron Inc. 5 221
Banta Corp. 4 196
BearingPoint Inc. (b) 30 219
Bowne & Co.inc. 6 86
Bright Horizons Family Solutions Inc. (b) 5 184
CDI Corp. 2 46
Central Parking Corp. 3 46
Century Business Services (b) 10 41
Chemed Corp. 4 170
Clark Inc. 3 36
Coinstar Inc. (b) 4 100
Consolidated Graphics (b) 2 75
Corinthian Colleges Inc. (b) 14 184
Cornell Cos. Inc. (b) 2 27
Corrections Corp. of America (b) 7 265
Corvel Corp. (b) 1 23
CoStar Group Inc. (b) 3 114
CPI Corp. 1 16
CRA International Inc. (b) 2 90
Cross Country Healthcare Inc. (b) 5 84
Devry Inc. 9 187
Diamondcluster International Inc. - Class A (b) 5 56
Dollar Thrifty Automotive Group (b) 4 163
Educate Inc. (b) 3 47
Electro Rent Corp. (b) 3 42
Euronet Worldwide Inc. (b) 5 146
Exponent Inc. (b) 1 38
First Advantage Corp. - Class A (b) 1 14
First Consulting Group Inc. (b) 2 11
Forrester Research Inc. (b) 3 45
FTI Consulting Inc. (b) 7 155
Gartner Inc. - Class A (b) 10 111
Geo Group Inc. (b) 1 34
Gevity HR Inc. 4 81
Greg Manning Auctions Inc. (b) (l) 1 13
Healthcare Services Group. 4 79
Heidrick & Struggles International Inc. (b) 3 75
Hooper Holmes Inc. 9 36
Hudson Highland Group Inc. (b) 3 54
Huron Consulting Group Inc. (b) 1 24
Interactive Data Corp. (b) 1 21
Intersections Inc. (b) 1 13
iPayment Inc. (b) 2 65
Jackson Hewitt Tax Service Inc. 6 150
Kelly Services Inc. - Class A 3 90
Kforce Inc. (b) 5 44
Korn/Ferry International (b) 6 104
Labor Ready Inc. (b) 7 162
Landauer Inc. 1 76
Learning Tree International Inc. (b) 1 15
LECG Corp. (b) 2 45
Macquarie Infrastructure Co. Trust (b) 1 17
MAXIMUS Inc. 3 116
Mcgrath Rentcorp 3 78
Medical Staffing Network Holdings Inc. (b) 2 10
Midas Inc. (b) 3 58
Monro Muffler Brake Inc. (b) 1 43
Morningstar Inc. (b) 1 31
MPS Group Inc. (b) 18 165
Navigant Consulting Inc. (b) 8 149
NCO Group Inc. (b) 5 116
Odyssey Marine Exploration Inc. (b) 6 28
Parexel International Corp. (b) 5 92
PDI Inc. (b) 1 15
PHH Corp. (b) 8 218
PRA International (b) 2 50
Prepaid Legal Services Inc. (l) 2 70
PRG-Schultz International Inc. (b) 6 17
Princeton Review Inc. (b) 2 14
Providence Services Corp. (b) 1 30
QC Holdings Inc. (b) 1 12
Quanta Services Inc. (b) 19 165
Rent-A-Center Inc. (b) 1 28
Rent-Way Inc. (b) 5 48
Resources Connection Inc. (b) 8 181
Rewards Network Inc. (b) 3 14
Rollins Inc. 5 97
Senomyx Inc. (b) 3 49
SFBC International Inc. (b) 3 114
Sotheby's Holdings Inc. - Class A (b) 8 105
Source Interlink Cos. Inc. (b) 5 58
Sourcecorp Inc. (b) 3 59
Spherion Corp. (b) 10 68
Startek Inc. 2 29
Stewart Enterprises Inc. - Class A (b) 18 119
Strayer Education Inc. 3 218
Teletech Holdings Inc. (b) 6 49
TNS Inc. (b) 2 41
United Rentals Inc. 11 221
Universal Technical Institute Inc. (b) 3 110
Valassis Communications Inc. (b) 9 332
Vertrue Inc. (b) 1 49
Viad Corp. 3 97
Volt Information Sciences Inc. (b) 1 34
Watson Wyatt & Co. Holdings 5 140
Wright Express Corp. (b) 7 131
9,237
Computers - 2.6%
3d Systems Corp. 2 40
Advanced Digital Information Corp. (b) 11 87
Agilysis Inc. 4 69
Ansoft Corp. (b) 1 26
Anteon International Corp. (b) 4 204
Bisys Group Inc. (b) 1 20
Brocade Communications Systems Inc. (b) 43 168
CACI Interantional Inc. - Class A (b) - 19
Carreker Corp. (b) 3 15
Catapult Communications Corp. (b) 1 17
Ciber Inc. (b) 9 70
Comsys It Partners Inc. (b) (l) 1 10
Covansys Corp. (b) 3 44
Cray Inc. (b) (l) 14 18
Cyberguard Corp. (b) (l) 2 13
Digimarc Corp. (b) 2 13
Dot Hill Systems Corp. (b) 8 40
Echelon Corp. (b) 5 37
Electronics For Imaging Inc. 9 190
Factset Research Systems Inc. 6 202
Gateway Inc. 37 123
Hutchinson Technology (b) 4 167
iGate Corp. (b) 3 11
Imation Corp. 6 237
InFocus Corp. (b) 6 25
Integral Systems Inc. 2 39
Intergraph Corp. (b) 6 198
InterVoice Inc. (b) 6 52
Iomega Corp. (b) 9 24
Jack Henry & Associates Inc. 12 216
Kanbay International Inc. (b) 4 87
Komag Inc. (b) 5 138
Kronos Inc. (b) 5 210
Lasercard Corp. (b) (l) 2 9
Lexar Media Inc. (b) (l) 12 59
Magma Design Automation Inc. (b) (l) 4 33
Manhattan Associates Inc. (b) 5 99
Maxtor Corp. (b) 42 219
Maxwell Technologies Inc. (b) (l) 2 20
McData Corp. - Class A (b) (l) 21 84
Mentor Graphics Corp. (b) 13 131
Mercury Computer Systems Inc. (b) 4 101
Micros Systems Inc. (b) 6 280
Mobility Electronics (b) 5 41
MTS Systems Corp. 3 112
Ness Technologies Inc. (b) 2 22
Netscout Systems Inc. (b) 3 23
Overland Storage Inc. (b) 2 22
PalmOne Inc. (b) 8 228
Par Technology Corp. (b) - 10
Perot Systems Corp. (b) 14 194
Pomeroy IT Solutions Inc. (b) 1 9
Quantum Corp. (b) 32 95
Radiant Systems Inc. (b) 3 34
Radisys Corp. (b) 4 59
Rimage Corp. (b) 1 11
SI International Inc. (b) 1 40
Silicon Storage Technology Inc. (b) 13 54
Simpletech Inc. (b) 3 10
SRA International Inc. - Class A (b) 1 19
Stratasys Inc. (b) 1 48
Sykes Enterprises Inc. 4 35
Synaptics Inc. (b) 6 97
Syntel Inc. 1 18
Talx Corp 3 101
Tier Technologies Inc. - Class B (b) 3 21
Transact Technologies Inc. (b) (l) 1 10
Tyler Technologies Inc. (b) 6 47
Virage Logic Corp. (b) 1 8
5,232
Cosmetics & Personal Care - 0.2%
Chattem Inc. (b) 3 121
Elizabeth Arden Inc. (b) 4 99
Inter Parfums Inc. (l) 1 12
Parlux Fragrances Inc. (b) (l) 1 27
Revlon Inc. - Class A (b) 25 77
336
Distribution & Wholesale - 1.0%
Aviall Inc. (b) 5 170
Beacon Roofing Supply Inc. (b) 2 63
Bell Microproducts Inc. (b) 4 36
Bluelinx Holdings Inc. (b) 1 9
Brightpoint Inc. (b) 3 64
Building Material Holding Corp. 2 162
Central Euro Distribution Corp. (b) (l) 2 77
Handleman Co. 4 62
Hughes Supply Inc. 11 306
LKQ Corp. (b) 3 71
Navarre Corp. (b) (l) 3 26
Nuco2 Inc. (b) 1 36
Owens & Minor Inc. 7 214
Scansource Inc. (b) 2 87
SCP Pool Corp. 1 20
United Stationers Inc. (b) 6 287
Watsco Inc. 4 162
WESCO International Inc. (b) 5 161
2,013
Diversified Financial Services - 1.7%
Accredited Home Lenders Holding Co. (b) (l) 3 125
Advanta Corp. - Class B 3 96
Affiliated Managers Group Inc. (b) - 22
Archipelago Holdings Inc. (b) (l) 5 192
Asset Acceptance Capital Corp. (b) 1 31
Asta Funding Inc. 1 39
Bankrate Inc. (b) (l) 1 10
BKF Capital Group Inc. 1 42
Calamos Asset Management Inc. 4 102
CharterMac 7 162
Cohen & Steers Inc. 1 21
Collegiate Funding Services LLC (b) 1 17
Compucredit Corp. (b) 4 124
Credit Acceptance Corp. (b) 2 23
Doral Financial Corp. 14 230
E-loan Inc. (b) 3 11
Encore Capital Group Inc. (b) 2 31
Espeed Inc. - Class A (b) 4 37
Federal Agricultural Mortgage Corp. - Class C (l) 2 40
Financial Federal Corp. 3 109
First Defiance Finl Corp. (b) 1 26
Gabelli Asset Management Inc. - Class A 1 53
GFI Group Inc. (b) 1 35
Greenhill & Co. Inc. 2 72
International Securities Exchange Inc. - Class A (b) (l) 2 39
Investment Technology Group Inc. (b) 7 154
Knight Capital Group Inc. (b) 19 148
Labranche & Co. Inc. (b) (l) 9 57
Ladenburg Thalmann Financial Services Inc. (b) (l) 1 1
MarketAxess Holdings Inc. (b) 3 35
Marlin Business Services Inc. (b) 1 16
Metris Cos. Inc. (b) 9 133
Nasdaq Stock Market Inc. (b) 7 133
National Financial Partners Corp. 6 218
Nelnet Inc. - Class A (b) 1 25
optionsXpress Holdings Inc. (b) 3 52
Piper Jaffray Cos. (b) 3 98
Portfolio Recovery Associates Inc. (b) 2 103
Sanders Morris Harris Group Inc. 2 31
Sound Federal Bancorp. Inc. (b) 2 29
Stifel Financial Corp. (b) 1 27
SWS Group Inc. 3 48
TradeStation Group Inc. (b) 3 25
United Panam Financial Corp. (b) 1 21
Waddell & Reed Financial Inc. - Class A 12 229
World Acceptance Corp. (b) 3 86
3,358
Electric - 1.5%
Allete Inc. (b) 4 204
Aquila Inc. (b) 41 148
Avista Corp. 8 151
Black Hills Corp. 5 200
Calpine Corp. (b) (l) 88 301
Central Vermont Public Service Corp. 2 35
CH Energy Group Inc. 3 134
Cleco Corp. 8 172
Duquesne Light Holdings Inc. (l) 13 238
El Paso Electric Co. (b) 8 163
Empire District Electric Co. 4 100
Idacorp Inc. 7 213
MGE Energy Inc. 3 121
Northwestern Corp. 6 179
Ormat Technologies Inc. 1 23
Otter Tail Corp. 5 137
PNM Resources Inc. 1 20
Sierra Pacific Resources (b) (l) 20 244
UIL Holdings Corp 2 120
Unisource Energy Corp. 6 176
3,079
Electrical Components & Equipment - 0.7%
Advanced Energy Industries (b) 4 32
American Superconductor Corp. (b) 5 41
Artesyn Technologies Inc. 6 51
Belden CDT Inc. (l) 8 167
C&D Technologies Inc. 4 37
Capstone Turbine Corp. (b) 15 19
Cherokee International Corp. (b) (l) 1 4
Color Kinetics Inc. (b) 1 16
Encore Wire Corp. (b) 3 32
Energy Conversion Devices Inc. (b) 3 73
Enersys (b) (l) 7 96
General Cable Corp (b) 6 96
GrafTech International Ltd. (b) 16 70
Intermagnetics General Corp. (b) 5 145
Littelfuse Inc. (b) 4 105
Medis Technologies Ltd. (b) (l) 2 33
Powell Industries Inc. (b) 1 22
Power-One Inc. (b) 12 78
Research Frontiers Inc. (b) (l) 1 4
Superior Essex Inc. (b) 2 41
Ultralife Batteries Inc. (b) 3 42
Universal Display Corp. (b) (l) 4 40
Valence Technology Inc. (b) (l) 10 27
Vicor Corp. 4 48
Wilson Greatbatch Technologies Inc. (b) 4 87
1,406
Electronics - 2.1%
American Science & Engineering Inc. (b) 1 51
Analogic Corp. 2 98
Badger Meter Inc. (b) 1 30
BEI Technologies Inc. 2 48
Bel Fuse Inc. - Class B 2 59
Benchmark Electronics Inc. (b) 7 208
Brady Corp. - Class A 7 209
Checkpoint Systems Inc. (b) 7 117
Coherent Inc. (b) 5 183
CTS Corp. 6 76
Cubic Corp. 3 51
Cyberoptics Corp. (b) 1 14
Cymer Inc. (b) 6 162
Daktronics Inc. (b) 2 48
Dionex Corp. (b) 3 135
Electro Scientific Industries Inc. (b) 5 89
Excel Technology Inc. (b) 2 54
Fargo Electronics (b) 2 30
Faro Technologies Inc. (b) 2 52
FEI Co. (b) (l) 4 93
Identix Inc. (b) 16 79
II-VI Inc. (b) 4 69
International Displayworks Inc. (b) (l) 4 33
Ionatron Inc. (b) (l) 3 28
Itron Inc. (b) 4 160
Keithley Instruments Inc. 2 28
Kemet Corp. (b) 15 92
Labarge Inc. (b) 1 21
LeCroy Corp (b) 1 17
Lojack Corp. (b) 2 40
Measurement Specialties Inc. (b) 2 46
Merix Corp. (b) (l) 3 19
Methode Electronics Inc. 6 75
Metrologic Instruments Inc. (b) 2 24
Molecular Devices Corp. (b) 3 56
Multi-Fineline Electronix Inc. (b) 1 17
OSI Systems Inc. (b) 2 35
Park Electrochemical Corp. 3 73
Paxar Corp. (b) 6 103
Photon Dynamics Inc. (b) 3 57
Planar Systems Inc. (b) 2 16
Plexus Corp. (b) 8 108
Rae Systems (b) 5 17
Rofin-sinar Technologies Inc. (b) 3 88
Rogers Corp. (b) 3 119
SBS Technologies Inc. (b) 2 21
Sonic Solutions (b) (l) 3 64
Spatialight Inc. (b) (l) 4 20
Stoneridge Inc. (b) 3 20
Sypris Solutions Inc. 1 13
Taser International Inc. (b) (l) 9 91
Technitrol Inc. 7 100
Thomas & Betts Corp. (b) 1 20
Trimble Navigation Ltd. (b) 1 20
TTM Technologies Inc. (b) 7 51
Varian Inc. (b) 6 220
Viisage Technology Inc. (b) (l) 5 20
Vishay Intertechnology Inc. (b) 3 31
Watts Water Technologies Inc. 4 134
Woodhead Industries Inc. 2 27
Woodward Governor Co. 2 136
X-Rite Inc. 3 37
Zygo Corp. (b) 3 30
4,282
Engineering & Construction - 0.7%
Dycom Industries Inc. (b) 8 167
EMCOR Group Inc. (b) 3 130
Granite Construction Inc. (b) 6 163
Infrasource Services Inc. (b) 1 14
Insituform Technologies Inc. - Class A (b) 4 71
Layne Christensen Co. (b) 2 30
Perini Corp. (b) 3 44
Shaw Group Inc. (b) (l) 13 288
URS Corp. (b) 7 249
Washington Group International Inc. (b) 4 223
1,379
Entertainment - 0.9%
Alliance Gaming Corp. (b) (l) 8 118
Argosy Gaming Co. (b) 5 211
Bluegreen Corp. (b) 4 61
Carmike Cinemas Inc. 2 56
Championship Auto Racing Teams Inc. (b) 1 -
Churchill Downs Inc. 1 54
Dover Downs Gaming & Entertainment Inc. 2 21
Dover Motorsports Inc. 3 15
Empire Resorts Inc. (b) (l) 1 5
Great Wolf Resorts Inc. (b) 4 80
Isle of Capri Casinos Inc. (b) 2 57
Lakes Entertainment Inc. (b) 2 37
Macrovision Corp. (b) 8 185
Magna Entertainment Corp. (b) 6 36
Mikohn Gaming Corp. (b) 3 48
Neveda Gold & Casinos Inc. (b) 1 13
Penn National Gaming Inc. (b) 1 22
Pinnacle Entertainment Inc. (b) 7 127
Scientific Games Corp. - Class B (b) 1 20
Shuffle Master Inc. (b) (l) 6 165
Six Flags Inc. (b) 17 78
Speedway Motorsports Inc. 2 91
Steinway Musical Instruments (b) 1 32
Sunterra Corp. (b) 3 49
Vail Resorts Inc. (b) 5 137
1,718
Environmental Control - 0.6%
Aleris International Inc. (b) 4 99
American Ecology Corp. (b) 2 31
Calgon Carbon Corp. 6 51
Casella Waste Systems Inc. (b) 4 44
Clean Harbors Inc. (b) 2 47
Darling International Inc. (b) 12 44
Duratek Inc. (b) 2 38
Metal Management 3 58
Mine Safety Appliances Co. 5 217
Tetra Tech Inc. (b) 10 133
TRC Cos. Inc. (b) 1 15
Waste Connections Inc. (b) 8 300
Waste Industries USA Inc. (b) 1 8
Waste Services Inc. (b) 8 32
1,117
Food - 1.4%
American Italian Pasta Co. (l) 3 58
Arden Group Inc. - Class A - 20
Cal-Maine Foods Inc. (l) 2 13
Chiquita Brands International Inc. (l) 7 187
Corn Products International Inc. 13 299
Flowers Foods Inc. 6 210
Gold Kist Inc. (b) 9 185
Green Mountain Coffee Inc. (b) - 10
Great Atlantic & Pacific Tea Co. 3 87
Hain Celestial Group Inc. (b) 5 89
Ingles Markets Inc. - Class A 1 19
J & J Snack Foods Corp. 1 54
John B. Sanfilippo & SON (b) 1 22
Lance Inc. 5 79
M&F Worldwide Corp. (b) 1 19
MGP Ingredients Inc. 1 10
Monterey Gourmet Foods Inc. (b) 1 4
Nash Finch Co. 2 76
Nutri/system Inc. (b) 3 45
Pathmark Stores Inc. (b) 5 41
Performance Food Group Co. (b) 8 236
Ralcorp Holdings Inc. 5 201
Ruddick Corp. 6 147
Sanderson Farms Inc. 3 128
Seaboard Corp. - 95
Spartan Stores Inc. (b) 3 41
Tootsie Roll Industries Inc. 4 115
United Natural Foods Inc. (b) 7 209
Weis Markets Inc. 2 89
Wild Oats Markets Inc. (b) (l) 5 58
2,846
Forest Products & Paper - 0.7%
Bowater Inc. 9 299
Buckeye Technologies Inc. (b) 5 37
Caraustar Industries Inc. (b) 5 50
Cenveo Inc. (b) 7 54
Deltic Timber Corp. 2 65
Glatfelter 7 83
Longview Fibre Co. 9 183
Mercer International Inc. (b) 4 29
Neenah Paper Inc. (b) 2 68
Pope & Talbot Inc. 3 30
Potlatch Corp. 5 259
Rock-Tenn Co. - Class A 5 59
Schweitzer-mauduit International Inc. 2 77
Wausau-Mosinee Paper Corp. 8 93
Xerium Technologies Inc. (b) 1 9
1,395
Gas - 0.9%
Atmos Energy Corp. (l) 1 21
Cascade Natural Gas Corp. 2 42
Energen Corp. 1 20
Energysouth Inc. 1 27
Laclede Group Inc. 4 114
New Jersey Resources Corp. 5 224
Nicor Inc. (l) 8 313
Northwest Natural Gas Co. 5 177
Peoples Energy Corp. 6 274
Piedmont Natural Gas Co. 1 21
South Jersey Industries 2 144
Southern Union Co. (b) 1 21
Southwest Gas Corp. 6 164
WGL Holdings Inc. 8 283
1,845
Hand & Machine Tools - 0.4%
Baldor Electric Co. 6 135
Franklin Electric Co. Inc. 4 136
Kennametal Inc. 6 286
Lincoln Electric Holdings Inc. 6 203
Milacron Inc. (b) 6 12
Regal Beloit Corp. 4 125
897
Healthcare - 5.3%
Abaxis Inc. (b) 3 29
Abiomed Inc. (b) 2 21
Advanced Medical Optics Inc. (b) 1 22
Advanced Neuromodulation Sys (b) (l) 3 137
Align Technology Inc. (b) (l) 9 68
Alliance Imaging Inc. (b) 2 21
Allied Healthcare International Inc. (b) 3 18
Amedisys Inc.(b) (l) 2 85
America Service Group Inc. (b) 2 27
American Dental Partners Inc. (b) - 10
American Healthways Inc. (b) 5 226
American Medical Systems Holdings Inc. (b) 11 232
American Retirement Corp. (b) 4 58
AMERIGROUP Corp. (b) - 20
Amsurg Corp. (b) 5 142
Animas Corp. (b) (l) 2 32
Apria Healthcare Group Inc. 9 298
Arrow International Inc. 3 106
Arthrocare Corp. (b) 4 146
Aspect Medical Systems Inc. (b) 2 62
Beverly Enterprises Inc. (b) (l) 18 228
Biolase Technology Inc. 3 18
Bio-Reference Labs Inc. (b) 1 18
Biosite Inc. (b) 3 153
BioVeris Corp. (b) 3 14
Bruker Biosciences Corp. (b) 3 11
Caliper Life Sciences Inc. (b) 2 10
Candela Corp. (b) 3 31
Cantel Medical Corp. (b) 1 10
Cardiodynamics International Corp. (b) 5 8
Centene Corp. (b) 7 236
Cepheid Inc. (b) 7 49
Cerus Corp. (b) 2 8
Conceptus Inc. (b) 5 26
Conmed Corp. (b) 5 153
Cyberonics Inc. (b) 4 154
Datascope Corp. 2 63
Diagnostic Products Corp. 4 187
DJ Orthopedics Inc. (b) 3 81
Encore Medical Corp. (b) 6 34
EPIX Pharmaceuticals Inc. (b) (l) 3 30
Exactech Inc. (b) 1 12
E-Z-Em-Inc. (b) 1 14
Foxhollow Technologies Inc. (b) (l) 2 81
Genesis Healthcare Corp. (b) 3 154
Gentiva Health Services Inc. (b) 4 75
Haemonetics Corp. (b) 4 170
Hanger Orthopedic Group Inc. (b) 3 17
Healthtronics Surgical Services (b) 5 65
Hologic Inc. (b) 4 140
Horizon Health Corp. (b) 1 32
ICU Medical Inc. (b) 2 74
Immucor Inc. (b) 8 224
Immunicon Corp. (b) 1 5
Intralase Corp. (b) 1 24
Intuitive Surgical Inc. (b) 6 268
Invacare Corp. 5 220
Inverness Medical Innovations Inc. (b) 3 76
Iris International Inc. (b) 2 39
IVAX Diagnostics Inc. (b) 1 5
Kensey Nash Corp. (b) (l) 2 47
Kindred Healthcare Inc. (b) 5 189
Kyphon Inc. (b) 5 159
Labone Inc. (b) 3 120
Laserscope (b) 3 138
LCA-Vision Inc. 3 158
Lifeline Systems Inc. (b) 2 62
LifePoint Hospitals Inc. (b) - 22
Luminex Corp. (b) 5 49
Magellan Health Services Inc. (b) 5 165
Matria Healthcare Inc. (b) 3 82
Medcath Corp. (b) 1 25
Medical Action Industries Inc. (b) 1 22
Mentor Corp. 6 247
Merge Technologies Inc. (b) 2 32
Merit Medical Systems Inc. (b) 4 65
Micro Therapeutics Inc. (b) 2 9
Microtek Medical Holdings Inc. (b) 6 22
Microvision Inc. (b) (l) 3 14
Molina Healthcare Inc. (b) 2 76
Nastech Pharmaceutical Co. (b) (l) 3 43
National Healthcare Corp. 1 39
Novoste Corp. (b) 1 1
NuVasive Inc. (b) 2 34
Oakley Inc. 4 63
OCA Inc. (b) (l) 6 12
Odyssey Healthcare Inc. (b) 6 87
Option Care Inc. (l) 3 44
OraSure Technologies Inc. (b) 7 67
Orthologic Corp. (b) 6 22
Orthovita Inc. (b) 7 28
Paincare Holdings Inc. (b) 7 29
Palatin Technologies Inc. (b) 8 14
Palomar Medical Technologies Inc. (b) 2 55
Pediatrix Medical Group Inc. (b) 4 286
PolyMedica Corp. 5 167
Possis Medical Inc. (b) 2 25
PSS World Medical Inc. (b) 11 141
Psychiatric Solutions Inc. (b) 3 159
Quest Diagnostics Inc. - 2
Quidel Corp. (b) 5 24
Radiation Therapy Services Inc. (b) 2 40
Radiologix Inc. (b) 1 3
Rehabcare Group Inc. (b) 3 75
Res-Care Inc. (b) 3 40
Sierra Health Services Inc. - 22
Somanetics Corp. (b) 1 29
Sonosite Inc. (b) 3 78
Specialty Laboratories Inc. (b) 1 11
Stereotaxis Inc. (b) 1 7
Steris Corp. (b) 12 309
Sunrise Senior Living Inc. (b) 3 151
Surmodics Inc. (b) 2 102
Sybron Dental Specialties Inc. (b) 7 248
Symbion Inc. (b) 3 60
Symmetry Medical Inc. (b) 1 23
Techne Corp. (b) - 21
Theravance Inc. (b) 1 19
ThermoGenesis Corp. (b) 7 30
Thoratec Corp. (b) 8 120
TriPath Imaging Inc. (b) 5 40
U.S. Physical Therapy Inc. (b) 2 29
United Surgical Partners International Inc. (b) 5 252
Ventana Medical Systems Inc. (b) 5 200
Viasys Healthcare Inc. (b) 5 114
Vistacare Inc. - Class A (b) 2 33
Vital Images Inc. (b) (l) 2 31
Vital Signs Inc. 1 37
Vnus Medical Technologies (b) 1 11
WellCare Health Plans Inc. (b) 3 102
West Pharmaceutical Services Inc. 5 140
Wright Medical Group Inc. (b) 4 119
Young Innovations Inc. 1 32
Zila Inc. (b) (l) 8 23
Zoll Medical Corp. (b) 1 38
10,611
Holding Companies - Diversified - 0.2%
Heritage Commerce Corp. (b) 2 28
Resource America Inc. - Class A 3 103
Walter Industries Inc. 6 239
370
Home Builders - 0.7%
Brookfield Homes Corp. 3 119
Champion Enterprises Inc. (b) 13 131
Coachmen Industries Inc. 2 28
Comstock Homebuilding Cos. Inc. (b) 1 19
Dominion Homes Inc. (b) (l) 1 9
Fleetwood Enterprises Inc. (b) (l) 10 97
Levitt Corp - Class A 3 81
M/I Homes Inc. 2 108
Meritage Homes Corp. (b) - 19
Modtech Holdings Inc. (b) (l) 1 5
Monaco Coach Corp. (l) 4 77
Orleans Homebuilders Inc. - 9
Palm Harbor Homes Inc. (b) (l) 1 27
Skyline Corp. 1 46
Technical Olympic USA Inc. 2 43
Thor Industries 6 190
WCI Communities Inc. (b) (l) 6 188
William Lyon Homes Inc. (b) 1 74
Winnebago Industries (l) 5 176
1,446
Home Furnishings - 0.5%
American Woodmark Corp. 2 53
Bassett Furniture Industries Inc. 2 32
DTS Inc. (b) 3 48
Ethan Allen Interiors Inc. 6 184
Furniture Brands International Inc. 8 179
Hooker Furniture Corp. 2 30
Kimball International - Class B 3 44
La-Z-Boy Inc. (l) 9 134
Maytag Corp. 13 202
Salton Inc. (b) (l) - -
Stanley Furniture Co. Inc. 2 51
Tempur-Pedic International Inc. (b) 1 18
Tivo Inc. (b) (l) 8 56
Universal Electronics Inc. (b) 2 36
1,067
Household Products - 1.0%
American Greetings Corp. (l) 1 20
Blyth Inc. 5 135
Central Garden & Pet Co. (b) 3 158
CNS Inc. (b) 2 45
CSS Industries Inc. 1 38
Ennis Inc. 4 76
Fossil Inc. (b) 8 176
Jarden Corp. (b) 5 269
John H. Harland Co. 5 180
Libbey Inc. 2 37
Lifetime Hoan Corp. 1 25
National Presto Industries Inc. 1 39
Playtex Products Inc. (b) 6 63
Russ Berrie & Co. Inc. 1 15
Spectrum Brands Inc. (b) 1 19
Standard Register Co. 2 29
Toro Co. - 18
Tupperware Corp. 9 205
Water Pik Technologies Inc. (b) 2 36
WD-40 Co. 3 82
Yankee Candle Co. Inc. (b) (l) 8 266
1,931
Insurance - 2.1%
21st Century Insurance Group 5 79
Affirmative Insurance Holdings Inc. 1 22
Alfa Corp. 6 86
American Equity Investment Life Holding Co. (l) 4 48
American Physicians Capital Inc. (b) 1 53
AmerUs Group Co. - 20
Argonaut Group Inc. (b) 4 88
Baldwin & Lyons Inc. - Class B 1 32
Bristol West Holdings Inc. 3 51
Ceres Group Inc. (b) 5 28
Citizens Inc. (b) (l) 5 29
CNA Surety Corp. (b) 3 43
Commerce Group Inc. - 20
Crawford & Co. - Class B 2 13
Delphi Financial Group Inc. 5 201
Direct General Corp. 3 54
Donegal Group Inc. 1 27
EMC Insurance Group Inc. 1 16
Enstar Group Inc. (b) (l) 1 37
FBL Financial Group Inc. 2 57
Fidelity National Financial Inc. - 2
First Acceptance Corp. (b) (l) 3 29
FPIC Insurance Group Inc. (b) 1 38
Great American Financial Resource Inc. 1 21
Harleysville Group Inc. 2 46
Hilb Rogal & Hobbs Co. 5 181
Horace Mann Educators Corp. 7 136
Independence Holding Co. 1 10
Infinity Property & Casualty Corp. 4 128
Kansas City Life Insurance Co. 1 29
KMG America Corp. (b) 3 29
LandAmerica Financial Group Inc. 3 178
Midland Co. 1 53
National Western Life Insurance Co. (b) - 72
Navigators Group Inc. (b) 1 48
Odyssey Re Holdings Corp. (b) (l) 2 49
Ohio Casualty Corp. 11 256
Philadelphia Consolidated Holding Co. (b) - 20
Phoenix Cos. Inc. (l) 16 189
PMA Capital Corp. (b) 4 39
Presidential Life 4 61
Proassurance Corp. (b) 4 182
RLI Corp. 4 167
Safety Insurance Group Inc. 2 63
Seabright Insurance Holdings Inc. (b) 1 15
Selective Insurance Group 5 230
State Auto Financial Corp. 2 76
Stewart Information Services Corp. 3 126
Tower Group Inc. 2 36
Triad Guaranty Inc. (b) 2 76
UICI 6 190
United America Indemnity Ltd. (b) 1 18
United Fire & Casualty Co. 2 106
Universal American Financial Corp. (b) 5 102
USI Holdings Corp. (b) 7 94
Vesta Insurance Group Inc. 5 13
Zenith National Insurance Corp. 3 174
4,286
Internet - 3.2%
@ Road Inc. (b) 5 14
1-800 Contacts Inc. (b) 1 22
1-800-Flowers.com Inc. (b) 3 24
24/7 Real Media Inc. (b) 4 18
Agile Software Corp. (b) 9 55
Alloy Inc. (b) (l) 5 26
answerthink Inc. (b) 6 23
Applied Digital Solutions Inc. (b) (l) 8 27
aQuantive Inc. (b) 9 163
Ariba Inc. (b) 11 66
Asiainfo Holdings Inc. (b) 5 27
Audible Inc. (b) 4 61
Autobytel Inc. (b) 8 38
Avocent Corp. (b) 8 212
Blue Coat Systems Inc. (b) 2 48
Blue Nile Inc. (b) (l) 2 72
Click Commerce Inc. (b) (l) 1 30
CMGI Inc. (b) 78 147
CNET Networks Inc. (b) (l) 21 250
Corillian Corp. (b) 5 15
Cybersource Corp. (b) 4 30
Digital Insight Corp. (b) 6 147
Digital River Inc. (b) 6 179
Digitas Inc. (b) 14 163
DoubleClick Inc. (b) 19 159
Drugstore.com Inc. (b) 11 45
E.piphany Inc. (b) 12 40
EarthLink Inc. (b) 22 191
eCollege.com Inc. (b) 2 29
Entrust Inc. (b) 11 52
Equinix Inc. (b) 2 96
Eresearch Technology Inc. (b) (l) 8 105
F5 Networks Inc. (b) - 20
GSI Commerce Inc. (b) 5 78
Harris Interactive Inc. (b) 8 40
Homestore.com Inc. (b) (l) 17 35
InfoSpace Inc. (b) 5 176
Intermix Media Inc. (b) 4 31
Internet Capital Group Inc. (b) 6 47
Internet Security Systems (b) 7 137
Interwoven Inc. (b) 7 55
Ipass Inc. (b) 7 45
iVillage Inc. (b) 5 29
J2 Global Communications (b) 4 131
Jupitermedia Corp. (b) 3 55
Keynote Systems Inc. (b) 2 28
Kintera Inc. (b) (l) 1 3
Lionbridge Technologies Inc. (b) 7 48
Matrixone Inc. (b) 8 39
Motive Inc. (b) 3 26
Neoforma Inc. (b) (l) 2 11
Net B@nk Inc. 8 77
Net2Phone Inc. (b) 5 9
Netflex Inc. (b) (l) 6 92
Netratings Inc. (b) 2 27
NIC Inc. (b) 6 26
Online Resources Corp. (b) 3 30
Openwave Systems Inc. (b) 11 187
Opsware Inc. (b) 11 55
Overstock.com Inc. (b) (l) 2 73
PC-Tel Inc. (b) 3 25
Planetout Inc. (b) 1 8
Portal Software Inc. (b) 5 9
Priceline.com Inc. (b) (l) 4 91
Proquest Co. (b) 4 138
Provide Commerce Inc. (b) 1 29
Realnetworks Inc. (b) 20 97
Redback Networks Inc. (b) 5 33
Register.com (b) 2 18
Rightnow Technologies Inc. (b) 1 11
RSA Security Inc. (b) 12 134
S1 Corp. (b) 13 59
Sapient Corp. (b) 14 110
Secure Computing Corp. (b) 6 70
Seebeyond Technology Corp. (b) 10 41
Sohu.com Inc. (b) 4 80
Sonicwall Inc. (b) 10 55
Stamps.com Inc. (b) 3 53
Stellent Inc. (b) 3 22
Supportsoft Inc. (b) 6 29
Terremark Worldwide Inc. (b) (l) 7 51
TIBCO Software Inc. (b) 35 230
Travelzoo Inc. (b) (l) - 10
Trizetto Group Inc. (b) 6 91
Tumbleweed Communications Corp. (b) 7 18
United Online Inc. (b) 10 104
Valueclick Inc. (b) 13 163
Vasco Data Security International (b) (l) 3 30
Verity Inc. (b) 6 55
Vignette Corp. (b) 5 54
Vitria Technology Inc. (b) 2 6
WatchGuard Technologies Inc. (b) 5 18
WebEx Communications Inc. (b) 5 140
Webmethods Inc. (b) 8 44
Websense Inc. (b) 4 184
WebSideStory Inc. (b) 1 13
Zixit Corp. (b) (l) 3 9
6,516
Investment Companies - 0.3%
Apollo Investment Corp. 10 192
Ares Capital Corp. 4 71
Capital Southwest Corp. - 36
Gladstone Capital Corp. (l) 2 38
Harris & Harris Group Inc. (b) (l) 3 33
MCG Capital Corp. 7 126
NGP Capital Resources Co. 3 42
Technology Investment Capital Corp. (b) 2 24
562
Iron & Steel - 0.6%
AK Steel Holding Corp. 18 116
Allegheny Technologies Inc. 1 19
Carpenter Technology Corp. 4 215
Cleveland-Cliffs Inc. (l) 4 216
Gibraltar Industries Inc. 4 71
Oregon Stell Mills Inc. (b) 6 104
Reliance Steel & Aluminum Co. 5 175
Roanoke Electric Steel Corp. (b) 2 27
Ryerson Tull Inc. (l) 4 54
Schnitzer Steel Industries Inc. - Class A 3 79
Steel Dynamics Inc. 7 177
Steel Technologies Inc. 2 27
Wheeling-Pittsburgh Corp. (b) 2 23
1,303
Leisure Time - 0.5%
Ambassadors Group Inc. 1 50
Ambassadors Internaitonal - 7
Arctic Cat Inc. 2 45
Callaway Golf Co. 12 193
Escalade Inc. 1 17
K2 Inc. (b) 7 87
Life Time Fitness Inc. (b) 4 120
Marine Products Corp. 2 31
Multimedia Games Inc. (b) (l) 4 49
Nautilus Group Inc. (l) 5 142
Navigant International Inc. (b) (l) 2 29
Pegasus Solutions Inc. (b) 4 45
WMS Industries Inc. (b) 3 107
922
Lodging - 0.6%
Ameristar Casinos Inc. 4 98
Aztar Corp. (b) 6 199
Boyd Gaming Corp. - 19
Gaylord Entertainment Co. (b) 7 307
La Quinta Corp. (b) 32 301
Lodgian Inc. (b) 3 33
Marcus Corp. 3 69
Monarch Casino & Resort Inc. (b) 1 29
MTR Gaming Group Inc. (b) 4 50
Riviera Holdings Corp. (b) 1 11
1,116
Machinery - 1.8%
AGCO Corp. (b) 15 284
Alamo Group Inc. (b) 1 9
Albany International Corp. 4 143
Applied Industrial Tech Inc. (b) 5 150
Astec Industries Inc. 2 51
Briggs & Stratton Corp. 8 293
Bucyrus International Inc. - Class A 3 121
Cascade Corp. 2 88
Cognex Corp. 7 174
Flowserve Inc. 9 275
Gardner Denver Inc. (b) 4 140
Gehl Co. (b) 1 36
Global Power Equipment Group Inc. (b) 6 47
Gorman-Rupp Co. 2 37
IDEX Corp. (l) 1 20
Intevac Inc. (b) 3 29
JLG Industries Inc. 9 237
Joy Global Inc. 1 37
Kadant Inc. (b) 3 57
Lindsay Manufacturing Co. 2 51
Manitowoc Co. Inc. 5 202
Middleby Corp. 1 37
NACCO Industries Inc. 1 90
Nordson Corp. 4 154
Presstek Inc. (b) (l) 4 44
Robbins & Myers Inc. 2 40
Sauer-danfoss Inc. 2 28
Stewart & Stevenson Services 5 115
Tecumseh Products Co. Inc. 3 73
Tennant Co. 1 45
Terex Corp. (b) - 19
Thomas Industries (b) 3 103
Turbochef Technologies Inc. (b) (l) 2 30
UNOVA Inc. (b) 8 215
Westinghouse Air Brake Technologies Corp. 8 162
3,636
Manufacturing - 1.6%
Actuant Corp. - Class A (b) 5 218
Acuity Brands Inc. 7 183
Ameron International Corp. 1 50
Applied Films Corp. (b) 2 63
Aptargroup Inc. - 21
Barnes Group Inc. 3 86
Blount International Inc. (b) 4 75
Ceradyne Inc. (b) 4 94
Clarcor Inc. 9 250
Crane Co. 8 221
CUNO Inc. (b) 3 207
Enpro Industries Inc. (b) 3 100
Esco Technologies Inc. (b) 2 217
Federal Signal Corp. 8 131
Flanders Corp. (b) 2 17
Freightcar America Inc. (b) 1 19
Griffon Corp. (b) (l) 4 97
Hexcel Corp. (b) 7 125
Jacuzzi Brands Inc. (b) 13 136
Lancaster Colony Corp 5 200
Matthews International Corp. - Class A 5 212
Myers Industries Inc. 4 49
Quixote Corp. 1 22
Raven Industries Inc. 2 58
Smith Corp. 3 77
Standex International Corp. 2 58
Sturm Ruger & Co. Inc. 3 26
Tredegar Corp. 5 71
Trinity Industries Inc. (l) 7 215
3,298
Media - 1.6%
4kids Entertainment Inc. (b) 3 50
Beasley Broadcasting Group Inc. - Class A (b) 1 13
Charter Communications Inc. - Class A (b) (l) 44 52
Citadel Broadcasting Corp. (b) 7 76
Courier Corp. 2 69
Cox Radio Inc. - Class A (b) 6 93
Crown Media Holdings Inc. (b) 2 21
Cumulus Media Inc. - Class B (b) 9 101
Emmis Communications - Class A (b) (l) 4 79
Entercom Communications Corp. (b) 6 194
Entravision Communications Corp. (b) 12 91
Fisher Communications Inc. (b) 1 51
Gemstar-TV Guide International Inc. (b) 39 140
Gray Television Inc. 8 95
Hollinger International Inc. (l) 10 97
Insight Communications Co. Inc. (b) 7 81
Journal Communications Inc. 4 60
Journal Register Co. (b) 7 128
Liberty Corp. 3 94
Lin TV Corp. (b) 5 66
Lodgenet Entertainment Corp. (b) 2 34
Martha Stewart Living (b) (l) 3 102
Media General Inc. 3 226
Mediacom Communications Corp. (b) 11 76
Miva Inc. (b) 4 20
Nexstar Broadcasting Group - Class A (b) 2 10
Outdoor Channel Holdings Inc. (b) 1 13
Playboy Enterprises - Class B (b) 4 46
Primedia Inc. (b) 23 94
Radio One Inc. (b) 13 171
Reader's Digest Association - Class A 17 280
Regent Communications Inc. (b) 5 31
Saga Communications Inc. (b) 2 35
Salem Communications - Class A (b) 1 29
Scholastic Corp. (b) 5 203
Sinclair Broadcast Group - Class A 7 68
Spanish Broadcasting System - Class A (b) 6 59
Thomas Nelson Inc. 2 38
Value Line Inc. - 8
World Wrestling Entertainment Inc. 2 21
Young Broadcasting Inc. (b) 2 10
3,225
Metal Fabrication & Hardware - 0.7%
Cazstle & Co. (b) 1 9
CIRCOR International Inc. 3 65
Commercial Metals Co. (b) 10 231
Dynamic Materials Corp. (b) - 12
Earle M Jorgensen Co. 3 24
Kaydon Corp. 5 138
Lawson Productions Inc. 1 35
Metals USA Inc. (b) 3 64
Mueller Industries Inc. 6 160
NN Inc. 3 36
NS Group Inc. (b) 3 112
Quanex Corp. (l) 4 228
Sun Hydraulics Corp. (b) (l) - 11
Valmont Industries Inc. 3 68
Worthington Industries 11 177
1,370
Mining - 0.7%
Alpha Natural Resources Inc. (b) 5 122
AMCOL International Corp. 4 67
Brush Engineered Materials Inc. (b) 3 44
Century Aluminum Co. (b) 4 77
Charles & Colvard Ltd. (b) (l) 2 37
Coeur D'alene Mines Corp. (b) 41 151
Compass Minerals International 3 61
Foundation Coal Holdings Inc. 4 101
Hecla Mining Co. (b) 20 91
James River Coal Co. (b) 2 67
Royal Gold Inc. 3 57
RTI International Metals Inc. (b) 4 114
Stillwater Mining Co. (b) 7 51
Titanium Metals Corp. (b) (l) 1 68
USEC Inc. 14 205
1,313
Office & Business Equipment - 0.2%
General Binding Corp. (b) 1 16
Global Imaging System Inc. (b) 4 129
IKON Office Solutions Inc. 19 178
Imagistics International Inc. (b) 3 75
TRM Corp. (b) (l) 2 29
427
Office Furnishings - 0.1%
Compx International Inc. - 7
Interface Inc. 8 61
Knoll Inc. 2 36
Virco Manufacturing (b) 1 4
108
Oil & Gas Producers - 2.9%
Atlas America Inc. (b) (l) - 11
ATP Oil & Gas Corp. (b) 3 62
Atwood Oceanics Inc. (b) 2 128
Berry Petroleum Co. - Class A 3 160
Bill Barrett Corp. (b) 2 62
Bois D'arc Energy Inc. (b) 2 30
Brigham Exploration Co. (b) 5 41
Cabot Oil & Gas Corp. - Class A 8 294
Callon Petroleum Co. (b) 2 32
Carrizo Oil & Gas Inc. (b) 3 45
Cheniere Energy Inc. (b) 9 286
Cimarex Energy Co. (b) 13 519
Clayton Williams Energy Inc. 1 22
Comstock Resources Inc. (b) 6 162
Crosstex Energy Inc. (b) (l) 1 40
Delta Petroleum Corp. (b) 5 65
Denbury Resources Inc. (b) (l) 1 22
Edge Petroleum Corp. (b) 3 42
Encore Acquisition Co. (b) 5 219
Endeavour International Corp. (b) (l) 8 28
Energy Partners Ltd. (b) 5 141
Frontier Oil Corp. 9 263
FX Energy Inc. (b) (l) 5 58
Gasco Energy Inc. (b) 8 30
Giant Industries Inc. (b) 2 76
Goodrich Petroleum Corp. (b) 1 26
Grey Wolf Inc. (b) (l) 31 231
Harvest Natural Resources Inc. (b) (l) 6 71
Helmerich & Payne Inc. - 22
Holly Corp. 4 164
Houston Exploration Co. (b) 5 254
KCS Energy Inc. (b) 8 143
McMoRan Exploration Co. (b) (l) 3 57
Meridian Resource Corp. (b) 13 62
Mission Resources (b) 7 60
Parallel Petroleum Corp. (b) 4 36
Parker Drilling Co. (b) 17 117
Penn Virginia Corp. 3 141
Petrohawk Energy Corp. (b) (l) 3 31
Petroleum Development Corp. (b) 3 84
Pioneer Drilling Co. (b) 3 41
Quicksilver Resources Inc. (b) (l) - 23
Remington Oil & Gas Corp. (b) 4 136
Southwestern Energy Co. (b) - 21
Spinnaker Exploration Co. (b) 4 149
St. Mary Land & Exploration (l) 10 278
Stone Energy Corp. (b) 4 196
Swift Energy Co. (b) 5 172
Tesoro Corp. (b) - 20
Tipperary Corp. (b) 2 10
Todco - Class A (b) 7 186
Toreador Resources Corp. (b) 2 49
Tri-valley Corp. (b) (l) 3 42
Unit Corp. (b) 1 24
Vintage Petroleum Inc. 1 22
W&T Offshore Inc. (b) 2 51
Warren Resources Inc. (b) 2 23
Whiting Petroleum Corp. (b) 5 172
5,952
Oil & Gas Services - 1.5%
Cal Dive International Inc. (b) 7 342
Carbo Ceramics Inc. 2 178
Dril-Quip Inc. (b) 1 32
Global Industries Ltd. (b) 14 116
Gulf Island Fabrication Inc. 1 28
Hanover Compressor Co. (b) (l) 13 149
Hornbeck Offshore Services Inc. (b) 2 56
Hydril Co. (b) 3 169
Input/Output Inc. (b) 11 66
Lone Star Technologies Inc. (b) 5 220
Lufkin Industries Inc. 2 86
Markwest Hydrocarbon Inc. (b) 1 22
Matrix Service Co. (b) (l) 3 12
Maverick Tube Corp. (b) 7 218
Newpark Resources Inc. (b) 15 111
Oceaneering International Inc. (b) 4 167
Oil States International Inc. (b) 7 164
RPC Inc. 2 38
Seacor Holdings Inc. (b) (l) 3 199
Superior Energy Services Inc. (b) 13 225
Tetra Technologies Inc. (b) 4 126
Universal Compression Holdings Inc. (b) 3 102
Veritas DGC Inc. (b) 6 159
W-H Energy Services Inc. (b) 4 100
3,085
Packaging & Containers - 0.2%
Chesapeake Corp 3 68
Crown Holdings Inc. (b) 1 20
Graphic Packaging Corp. (b) 11 40
Grief Inc. 2 147
Silgan Holdings Inc. 2 103
378
Pharmaceuticals - 3.7%
Abgenix Inc. (b) (l) 15 128
Able Laboratories Inc. (b) (l) 3 10
Acadia Pharmaceuticals Inc. (b) 1 9
Accelrys Inc. (b) 4 18
Adolor Corp. (b) 6 58
Advancis Pharmaceutical Corp (b) (l) 1 2
Alkermes Inc. (b) 15 199
Alpharma Inc. Class A 7 102
Amylin Pharmaceuticals Inc. (b) (l) 17 358
Andrx Group (b) 12 242
Antigenics Inc. (b) 4 21
Array Biopharma Inc. (b) 5 31
Atherogenics Inc. (b) (l) 6 96
Avanir Pharmaceuticals - Class A (b) 15 41
Bentley Pharmaceuticals Inc. (b) 2 24
Bioenvision Inc. (b) (l) 5 39
BioMarin Pharmaceuticals Inc. (b) 11 84
BioScrip Inc. (b) 5 28
Bone Care International Inc. (b) 3 93
Bradley Pharmaceuticals Inc. (b) (l) 2 21
Caraco Pharmaceutical Laboratories Inc. (b) 2 13
Cell Therapeutics Inc. (b) (l) 12 32
Connetics Corp. (b) 6 97
Conor Medsystems Inc. (b) (l) 1 20
Corcept Therapeutics Inc. (b) (l) 1 3
Corixa Corp. (b) 9 40
Cubist Pharmaceuticals Inc. (b) 9 123
CV Therapeutics Inc. (b) (l) 6 136
Cypress Bioscience Inc. (b) 5 70
Dendreon Corp. (b) (l) 10 54
Depomed Inc. (b) (l) 3 14
Discovery Laboratories Inc. (b) 10 71
Dov Pharmaceutical Inc. (b) 3 53
Durect Corp. (b) (l) 5 25
Dusa Pharmaceuticals Inc. (b) 3 24
Dyax Corp. (b) 4 19
Dynavax Technologies Inc. (b) (l) 1 3
Eyetech Pharmaceuticals Inc. (b) (l) 5 63
First Horizon Pharmaceutical Corp. (b) 5 88
Genta Inc. (b) 8 10
Guilford Pharmaceuticals Inc. (b) 7 15
HealthExtras Inc. (b) 3 65
Hi-tech Pharmacal Co. Inc. (b) - 10
Hollis-Eden Pharmaceuticals (b) (l) 2 15
Idenix Pharmaceuticals Inc. (b) (l) 2 40
Idevus Pharmaceuticals Inc.(b) (l) 6 16
I-Flow Corp. (b) 3 53
Impax Laboratories Inc. (b) 8 128
Inkine Pharmaceutical Co. Inc. (b) 7 23
Inspire Pharmaceuticals Inc. (b) 6 54
Isis Pharmaceuticals Inc. (b) 8 30
Isolagen Inc. (b) (l) 3 12
Ista Pharmaceuticals Inc. (b) 2 15
Kos Pharmaceuticals Inc. (b) - 21
Kv Pharmaceutical Co. - Class A (b) (l) 6 104
Lannett Co. Inc. (b) 1 4
Ligand Pharmaceuticals - Class B (b) 12 84
Mannatech Inc. (l) 2 44
Mannkind Corp. (b) (l) 3 25
Medarex Inc. (b) 18 151
Medicines Co. (b) 8 188
Medics Pharmaceutical Corp. (b) (l) 9 281
MGI Pharma Inc. (b) 12 253
Nabi Biopharmaceuticals (b) 10 153
Natures Sunshine Products Inc. 2 28
NBTY Inc. (b) 9 235
NeighborCare Inc. (b) 7 217
Neopharm Inc. (b) 3 25
Neurocrine Biosciences Inc. (b) 6 252
Neurogen Corp. (b) 4 25
New River Pharmaceuticals Inc. (b) (l) 1 28
Nitromed Inc. (b) 2 33
Noven Pharmaceuticals Inc. (b) 4 73
NPS Pharmaceuticals Inc. (b) 6 69
Nutraceutical International Corp. (b) 1 16
Nuvelo Corp. (b) 6 49
Omega Protein Corp. (b) 1 4
Onyx Pharmaceuticals Inc. (b) 6 139
Pain Therapeutics Inc. (b) 5 37
Par Pharmaceuticals Cos. Inc. (b) 6 181
Penwest Pharmaceuticals Co. (b) 3 41
Perrigo Co. 14 198
PetMed Express Inc. (b) 2 12
Pharmacyclics Inc. (b) (l) 3 20
Pharmion Corp. (b) 4 87
Pozen Inc. (b) 4 32
Prestige Brands Holdings Inc. (b) 5 90
Priority Healthcare Corp. - Class B (b) 6 145
Progenics Pharmaceuticals (b) 3 61
Renovis Inc. (b) (l) 3 40
Rigel Pharmaceuticals Inc. (b) 3 60
Salix Pharmaceuticals Ltd. (b) 6 104
Santarus (b) 1 5
Sciclone Pharmaceuticals Inc. (b) (l) 6 28
Star Scientific Inc. (b) (l) 4 18
Tanox Inc. (b) 4 49
Trimeris Inc. (b) 3 27
United Therapeutics Corp. (b) 4 174
USANA Health Sciences Inc. (b) 2 77
Valeant Pharmaceutical International (l) 1 18
Viacell Inc. (b) 1 14
Vicuron Pharmaceuticals Inc. (b) 9 261
Vion Pharmaceuticals Inc. (b) (l) 12 27
Virbac Corp. (b) 1 2
Vivus Inc. (b) 4 16
Zymogenetrics Inc. (b) 3 61
7,424
Pipelines - 0.0%
Transmontaigne Inc. (b) 5 53
Real Estate - 6.9%
Aames Investment Corp. 7 70
Acadia Realty Trust 4 81
Affordable Residential Communities 5 60
Agree Realty Corp. (b) 1 28
Alexander's Inc. (b) - 77
Alexandria Real Estate Equites Inc. 4 259
American Campus Communities Inc. 2 48
American Financial Realty Trust 1 20
American Hom Mortgage Investment Corp. (l) 6 203
AMLI Residential Properties Trust 4 132
Anthracite Capital Inc. 9 103
Anworth Mortgage Asset Corp. 8 76
Arbor Realty Trust Inc. 2 54
Ashford Hospitality Trust 6 63
Avatar Holdings Inc. (b) (l) 1 37
Bedford Property Investors 3 61
Bimini Mortgage Management Inc. 4 51
BioMed Realty Trust Inc. 6 132
Boykin Lodging Co. (b) 2 28
Brandywine Realty Trust 9 282
California Coastal Communities Inc. (b) 1 36
Capital Automotive Reit 6 238
Capital Lease Funding Inc. 4 46
Capital Trust Inc. - Class A 2 63
Capstead Mortgage Corp. (l) 3 22
Carramerica Realty Corp. 1 20
CB Richard Ellis Group Inc. (b) 1 24
Cedar Shopping Centers Inc. 4 55
Colonial Properties Trust 6 286
Commercial Net Lease Realty 9 177
Cons Tomoka Land Co. 1 84
Corporate Office Properties Trust SBI MD 6 182
Correctional Properties Trust 2 56
Cousins Properties Inc. 6 177
Criimi Mae Inc. (b) (l) 2 48
CRT Properties Inc. 5 150
Diamondrock Hospitality Co. (b) 3 37
Digital Realty Trust Inc. 3 59
Eastgroup Properties 4 152
ECC Capital Corp. (b) 9 62
Education Realty Trust Inc. (b) 4 71
Entertainment Properties Trust 4 203
Equity Inns Inc. 9 126
Equity Lifestyle Properties Inc. 3 130
Equity One Inc. 6 141
Essex Property Trust Inc. - 20
Extra Space Storage Inc. (l) 5 71
Felcor Suite Hotels Inc. (b) 8 121
Fieldstone Investment Corp. 8 115
First Industrial Realty Trust 7 276
First Potomac Realty Trust (b) 2 60
Gables Residential Trust 5 217
Getty Realty Corp. 3 80
Glenborough Realty Trust Inc. 5 111
Glimcher Realty Trust 6 167
Global Signal Inc. - 17
GMH Communities Trust 5 72
Government Properties Trust Inc. (l) 4 34
Gramercy Capital Corp. 2 59
Healthcare Realty Trust Inc. 1 20
Heritage Property Investment Trust (l) 5 164
Hersha Hospitality Trust (b) 3 28
Highland Hospitality Corp. 6 65
Highwoods Properties Inc. 9 274
Home Properties Inc. 6 242
Homebanc Corp. 9 84
IMPAC Mortgage Holdings Inc. (l) 12 232
Inland Real Estate Corp. 11 173
Innkeepers USA Trust 7 107
Investors Real Estate Trust 8 73
Jones Lang Lasalle Inc. (b) 6 258
Kilroy Realty Corp. 5 227
Kite Realty Group Trust 3 48
Lasalle Hotel Properties 5 171
Lexington Corporate Properties Trust 8 196
LTC Properties Inc. 4 74
Luminent Mortgage Capital Inc. 6 68
Maguire Properties Inc. 6 162
MeriStar Hospitality Corp. (b) (l) 15 131
MFA Mortgage Investments Inc. 14 102
Mid-America Apartment Communities Inc. 3 138
Mision West Properties 3 29
Mortgageit Holdings Inc. 2 44
National Health Investors Inc. 4 113
National Health Realty (b) 1 22
Nationwide Health Properties Inc. 11 271
New Century Financial Corp. (l) - 21
Newcastle Investment Corp. 7 220
Northstar Realty Finance Corp. (b) 3 28
Novastar Financial Inc. (l) 5 182
Omega Healthcare Investors Inc. 8 106
One Liberty Properties Inc. (b) 1 10
Origen Financial Inc. 1 7
Parkway Properties Inc. 2 120
Penn Real Estate Investment Trust 6 284
Post Properties Inc. 7 239
Prentiss Properties Trust 8 280
PS Business Parks Inc. 3 121
Rait Investment Trust 4 134
Ramco-Gershenson Properties 3 75
Reading International Inc. - Class A (b) 2 14
Realty Income Corp. 1 20
Redwood Trust Inc. (l) 3 167
Saul Centers Inc. 2 68
Saxon Capital Inc. 8 143
Senior Housing Prop Trust 10 190
Sirva Inc. (b) 3 27
Sizeler Property Investors Inc. (b) 2 30
Sovran Self Storage Inc. 3 124
Spirit Finance Corp. (b) 11 133
Strategic Hotel Capital Inc. 5 82
Sun Communities Inc. 3 98
Sunstone Hotel Investors Inc. 4 99
Tanger Factory Outlet Center 5 127
Tarragon Corp. (l) 2 41
Taubman Centeres Inc. 9 292
Town & Country Trust 3 88
Trammell Crow Co. (b) 6 134
Trustreet Properties Inc. 12 195
United Capital Corp. (b) - 13
Universal Health Realty Income Trust 2 78
Urstadt Biddle Properties Inc. - Class A 4 61
U-Store-It Trust 5 93
Washington Real Estate Investment Trust 7 218
Winston Hotels Inc. 4 40
ZipRealty Inc. (b) 1 9
13,857
Retail - 6.6%
99 Cents Only Stores (b) (l) 8 101
AC Moore Arts & Crafts Inc. (b) 2 70
Aeropostale Inc. (b) 9 319
AFC Enterprises (b) 3 35
America's Car-Mart Inc. (b) 1 33
Asbury Automotive Group Inc. (b) 2 26
Bebe Stores Inc. 1 19
Big 5 Sporting Goods Corp. 3 97
Big Lots Inc. (b) 19 246
BJ's Restaurants Inc. (b) 2 49
Blair Corp. 1 51
Blockbuster Inc. - Class A (b) (l) 31 285
Bob Evans Farms Inc. 6 137
Bombay Co. Inc. (b) 6 36
Bon-Ton Stores Inc. 1 15
Brookstone Inc. (b) 3 61
Brown Shoe Co. Inc. 3 116
Buckle Inc. 1 61
Buffalo Wild Wings Inc. (b) 1 31
Build-A-Bear Workshop Inc. (b) (l) 1 33
Burlington Coat Factory Warehouse Corp. 3 128
Cabela's Inc. - Class A (b) (l) 5 102
Cache Inc. (b) 1 22
California Pizza Kitchen Inc. (b) 3 92
Casey's General Stores Inc. 8 166
Cash America International Inc. 5 101
Casual Male Retail Group Inc. (b) (l) 4 31
Cato Corp. - Class A 5 99
CBRL Group Inc. - 19
CEC Entertainment Inc. (b) 6 269
Charlotte Russe Holding Inc. (b) 2 30
Charming Shoppes (b) 19 180
Children's Place Retail Stores Inc. (b) 3 158
Christopher & Banks Corp. 7 119
CKE Restaurants Inc. (b) 10 137
Coldwater Creek Inc. (b) 6 148
Conn's Inc. (b) 1 24
Cosi Inc. (b) 3 21
Cost Plus Inc. (b) 4 96
CSK Auto Inc. (b) 8 130
Dave & Buster's Inc. (b) 2 32
DEB Shops Inc. 1 16
Denny's Corp. (b) 13 66
Design Within Reach Inc. (b) 2 32
Dick's Sporting Goods Inc. (b) (l) 1 23
Domino's Pizza Inc. 5 110
Dress Barn Inc. (b) 4 81
Electronics Boutique Holdings Corp. (b) 2 125
Factory 2-U Stores Inc. (b) (l) - -
Finish Line - Class A 7 133
First Cash Financial Services Inc. (b) 2 41
Footstar Inc. (b) (l) 2 8
Fred's Inc. 7 110
GameStop Corp. (b) 8 240
Gander Mountain Co. (b) (l) 1 10
Genesco Inc. (b) 4 132
Goody's Family Clothing Inc. 3 24
Group 1 Automotive Inc. (b) 3 80
Guitar Center Inc. (b) 4 259
Hancock Fabrics Inc. (l) 3 18
Haverty Furniture 3 45
Hibbett Sporting Goods Inc. (b) 4 150
HOT Topic Inc. (b) (l) 8 150
Ihop Corp. 3 150
Insight Enterprises Inc. (b) 8 164
J. Jill Group Inc. (b) 3 42
Jack In The Box Inc. (b) 6 232
Jo-Ann Stores Inc. (b) 4 101
JOS A Bank Clothiers Inc. (b) (l) 2 90
Kenneth Cole Productions Inc. 2 48
Kirkland's Inc. (b) 2 15
Krispy Kreme Doughnuts Inc. (b) (l) 9 61
Landry's Restaurants Inc. 4 111
Linens `N Things Inc. (b) 8 180
Lithia Motors Inc. - Class A 2 68
Lone Star Steakhouse & Saloon Inc. 3 85
Longs Drug Stores Corp. 5 217
Luby's Inc. (b) 3 35
MarineMax Inc. (b) 2 61
Men's Wearhouse Inc. (b) 1 20
Movado Group Inc. 2 47
Movie Gallery Inc. (l) 4 110
New York & Co. Inc. (b) 2 34
Nu Skin Enterprises Inc. 9 219
O'Charleys Inc. (b) 3 60
Pacific Sunwear of California Inc. 12 285
Panera Bread Co. - Class A (b) (l) - 19
Pantry Inc. (b) 3 102
Papa John's International Inc. (b) 2 80
Park City Corp. (b) 2 20
Payless Shoesource Inc. (b) 12 227
PEP Boys-Manny Moe & Jack 10 131
Petco Animal Supplies Inc. (b) 9 278
PF Chang's China Bistro Inc. (b) (l) 4 254
Pier 1 Imports Inc. 14 198
Rare Hospitality International Inc. (b) 6 175
Red Robin Gourmet Burgers (b) 2 141
Regis Corp. 7 288
Restoration Hardware Inc. (b) 4 30
Retail Ventures Inc. (b) 2 27
Ruby Tuesday Inc. 11 274
Rush Enterprises Class A (b) 1 19
Rush Enterprises Inc. (b) 1 17
Ryan's Restaurant Group (b) 7 104
School Specialty Inc. (b) 4 177
Select Comfort Corp. (b) 6 136
Sharper Image Corp. (b) (l) 2 29
Shoe Carnival Inc. (b) 1 24
Shopko Stores Inc. 5 117
Smart & Final Inc. (b) 2 24
Sonic Automotive Inc. 5 96
Sonic Corp. (b) 1 21
Sports Authority Inc. (b) 4 137
Stage Stores Inc. (b) 3 143
Steak N Shake Co. (b) 4 77
Stein Mart Inc. (b) 4 92
Systemax Inc. (b) 2 10
Talbots Inc. 4 116
TBC Corp (b) 4 102
Texas Roadhouse Inc. - Class A (b) 3 114
Too Inc. (b) 6 134
Tractor Supply Co. (b) 5 269
Trans World Entertainment Corp. (b) 4 42
Triarc Cos. Inc. (l) 6 87
Tuesday Morning Corp. (b) 4 135
United Auto Group Inc. 4 126
West Marine Inc. (b) 2 37
Wet Seal Inc. (b) 6 38
Wilsons The Leather Experts (b) 3 18
World Fuel Services Corp. 4 93
Zale Corp. (b) 9 289
13,280
Savings & Loans - 1.9%
Anchor Bancorp. Wisconsin Inc. 3 104
Atlantic Coast Federal (b) 1 10
BankAtlantic Bancorp. Inc. 7 136
BankUnited Financial Corp. (b) 5 125
Berkshire Hills Bancorp. Inc. 1 27
Beverly Hills Bancorp. Inc. 2 21
BFC Financial Corp. (b) (l) 1 10
Brookline Bancorp. Inc. 10 161
CFS Bancorp. Inc. 1 18
Charter Financial Corp. 1 20
Citizens First Bancorp. Inc. 1 26
Clifton Savings Bancorp. Inc. 2 22
Commercial Capital Bancorp. Inc. 7 113
Commercial Federal Corp. 7 238
Dime Community Bancshares 5 81
Downey Financial Corp. - 19
Fidelity Bankshares Inc. 3 92
First Financial Holdings Inc. 2 62
First Niagara Financial Group Inc. 20 297
First Place Financial 2 46
FirstFed Financial Corp. (b) 3 168
Flagstar Bancorp. Inc. (l) 5 98
Flushing Financial Corp. 3 54
Franklin Bank Corp. (b) 3 54
Harbor Florida Bancshares 4 132
Horizon Financial Corp. 2 40
ITLA Capital Corp. (b) 1 42
Kearny Financial Corp. (b) 4 44
K-Fed Bancorp. (l) 1 10
KNBT Bancorp. Inc. 5 81
MAF Bancorp. Inc. 5 224
MASSBANK Corp. - 13
NASB Financial Inc. - 17
Newalliance Bancshares Inc. 19 262
Northwest Bancorp. Inc. 3 73
OceanFirst Financial Corp. 1 29
Ocwen Financial Corp. 6 44
Parkvale Financial Corp. 1 15
Partners Trust Financial Group Inc. 7 77
Pennfed Financial Services Inc. 1 24
PFF Bancorp. Inc. 3 101
Provident Financial Holdings Inc. 1 26
Provident Financial Services 12 215
Provident New York Bancorp. (b) 8 99
Sterling Financial Corp. (b) 4 148
TierOne Corp. 3 82
United Community Financial 4 44
Westfield Financial Inc. 1 14
WSFS Financial Corp. 1 60
3,918
Semiconductors - 3.8%
Actel Corp. (b) 5 64
ADE Corp. (b) 2 47
AMIS Holdings Inc. (b) 7 95
Amkor Technology Inc. (b) 15 67
Applied Micro Circuits Corp. (b) 49 125
Asyst Technologies Inc. (b) 8 37
Atmel Corp. (b) 68 161
ATMI Inc. (b) 6 188
August Technology Corp. (b) 3 31
Axcelis Technologies Inc. (b) 17 115
Brooks Automation Inc. (b) 7 111
Ceva Inc. (b) 2 10
Cirrus Logic Inc. (b) 14 74
Cohu Inc. 4 71
Conexant Systems Inc. 75 120
Credence Systems Corp. (b) 16 145
Cypress Semiconductor Corp. (b) (l) 22 273
Diodes Inc. (b) 1 44
DSP Group Inc. (b) 5 121
Emcore Corp. (b) 2 9
Emulex Corp. (b) (l) 14 250
Entegris Inc. (b) 9 93
ESS Technology (b) 6 24
Exar Corp. (b) 7 103
Fairchild Semiconductor International Inc. (b) 20 291
Formfactor Inc. (b) 6 146
Genesis Microchip Inc. (b) 5 101
Helix Technology Corp. 4 59
Integrated Circuit Systems Inc. (b) 11 235
Integrated Device Technology Inc. (b) 18 189
Integrated Silicon Solutions Inc. (b) 5 40
IXYS Corp. (b) 3 47
Kopin Corp. (b) 11 58
Kulicke & Soffa Industries Inc. (b) (l) 9 69
Lattice Semiconductor Corp. (b) 20 89
Leadis Technology Inc. (b) 1 7
LTX Corp. (b) 10 48
Mattson Technology Inc. (b) 7 47
Micrel Inc. (b) 12 137
Microsemi Corp. (b) 10 194
Microtune Inc. (b) 9 44
Mindspeed Technologies Inc. (b) (l) 15 19
MIPS Technologies Inc. - Class A (b) 7 50
MKS Instruments Inc. (b) 6 94
Monolithic Power Systems Inc. (b) (l) 1 8
Monolithic System Technology Inc. (b) 4 18
Mykrolis Corp. (b) 7 103
Netlogic Microsystems Inc. (b) (l) 2 30
Omnivision Technologies Inc. (b) (l) 9 126
ON Semiconductor Corp. (b) 24 109
Pericom Semiconductor Corp. (b) 4 30
Photroncis Inc. (b) 6 133
Pixelworks Inc. (b) 7 63
PLX Technology Inc. (b) 3 34
PMC - Sierra Inc. (b) 30 280
Portalplayer Inc. (b) (l) 2 44
Power Integrations Inc. (b) 5 102
Rambus Inc. 17 222
Rudolph Technologies Inc. (b) 2 31
Semitool Inc. (b) 2 23
Semtech Corp. (b) 12 199
Sigmatel Inc. (b) 6 96
Silicon Image Inc. (b) 14 140
Silicon Laboratories Inc. (b) (l) 7 181
Sirf Technology Holdings Inc. (b) 5 95
Skyworks Solutions Inc. (b) (l) 27 202
Staktek Holdings Inc. (b) 1 3
Standard Microsystems Corp. (b) 3 72
Supertex Inc. (b) 1 25
Tessera Technologies Inc. (b) 7 240
Transwitch Corp. (b) (l) 13 27
Triquint Semiconductor Inc. (b) 24 81
Ultratech Inc. (b) 4 65
Varian Semiconductor Equipment Associates Inc. (b) 6 230
Veeco Instruments Inc. (b) (l) 4 73
Vitesse Semiconductor Corp. (b) 35 74
Volterra Semiconductor Corp. (b) (l) 2 29
Zoran Corp. (b) 7 97
7,627
Software - 3.1%
Actuate Corp. (b) 8 15
Acxiom Corp. 14 301
Advent Software Inc. (b) 4 81
Allscripts Healthcare Solutions Inc. (b) (l) 5 76
Altiris Inc. (b) 3 50
American Reprographics Co. (b) 2 26
AMICAS Inc. (b) 7 32
Ansys Inc. (b) 5 190
Aspen Technology Inc. (b) 6 33
Atari Inc. 2 5
Authentidate Holding Corp. (b) (l) 4 10
Blackbaud Inc. (b) 1 16
Blackboard Inc. (b) 3 63
Borland Software Corp. (b) 13 90
Bottomline Technologies Inc. (b) 1 10
Callwave Inc. (b) (l) 1 4
Captaris Inc. (b) 5 19
CCC Information Services Group (b) 2 41
Cerner Corp. (b) (l) - 22
Computer Programs & Systems Inc. 1 42
Concur Technologies Inc. (b) (l) 4 43
CSG Systems International Inc. (b) 9 164
Datastream Systems Inc. (b) 2 16
Dendrite International Inc. (b) 6 88
Digi International Inc. (b) 4 43
Eclipsys Corp. (b) 6 87
Efunds Corp. (b) 8 144
Emageon Inc. (b) 2 31
Embarcado Technologies Inc. (b) 3 16
Epicor Software Corp. (b) 8 108
EPIQ Systems Inc. (b) 2 34
FalconStor Software Inc. (b) (l) 4 27
Filenet Corp. (b) 7 181
Hyperion Solutions Corp. (b) - 19
IDX Systems Corp. (b) 4 116
Infocrossing Inc. (b) (l) 3 34
Informatica Corp. (b) 15 126
infoUSA Inc. (b) 5 59
InPhonic Inc. (b) (l) 2 38
Intelidata Technologies Corp. (b) 1 -
Inter-Tel Inc. 4 68
Intervideo Inc. (b) 1 20
JDA Software Group Inc. (b) (l) 4 49
Keane Inc. (b) 9 121
Lawson Software Inc. (b) (l) 9 46
Majesco Entertainment Co. (b) (l) 1 8
Mantech International Corp. - Class A (b) 3 92
Manugistics Group Inc. (b) 8 15
Mapinfo Corp. (b) 4 40
Micromuse Inc. (b) 14 79
MicroStrategy Inc. - Class A (b) 3 137
Midway Games Inc. (b) (l) 5 53
Moneygram International Inc. 14 271
MRO Software Inc. (b) 3 49
NDCHealth Corp. 6 115
NetIQ Corp. (b) 10 114
Omnicell Inc. (b) 3 27
Onyx Software Corp. (b) - 1
Open Solutions Inc. (b) 3 64
Opnet Technologies Inc. (b) 2 15
Packeteer Inc. (b) 6 79
PalmSource Inc. (b) 2 21
Parametric Technology Corp. 45 286
PDF Solutions Inc. (b) 2 29
Pegasystems Inc. (b) 2 10
Per-Se Technologies Inc. (b) (l) 4 77
Petroquest Energy Inc. (b) 5 36
Phase Forward Inc. (b) 4 24
Phoenix Technologies Ltd. (b) 3 27
Pinnacle Systems Inc. (b) 12 68
PLATO Learning Inc. (b) 4 27
Progress Software Corp. (b) 6 180
QAD Inc. 2 15
Quality Systems Inc. (b) 1 56
Quest Software Inc. (b) (l) 10 138
Renaissance Learning Inc. (l) 1 20
Salesforce.com Inc. (b) 1 16
Scansoft Inc. (b) 15 55
Schawk Inc. 2 48
Seachange International Inc. (b) 4 29
Serena Software Inc. (b) 4 82
SPSS Inc. (b) 3 51
SS&C Technologies Inc. 2 79
Synnex Corp. (b) 1 18
Take-Two Interactive Software Inc. (b) 1 17
THQ Inc. (b) 6 188
Transactions Systems Architects Inc. (b) 7 164
Trident Microsystems Inc. (b) 4 92
Ulticom Inc. (b) 2 19
Ultimate Software Group Inc. (b) 4 62
Verifone Holdings Inc. (b) 4 58
Verint Systems Inc. (b) 2 62
Wind River Systems Inc. (b) 12 186
Witness Systems Inc. (b) 4 78
6,281
Storage/Warehousing - 0.0%
Mobile Mini Inc. (b) 3 86
Telecommunications - 1.0%
Allaska Communications Systems Group (l) 3 25
Aspect Communications Inc. (b) 7 78
Cincinnati Bell Inc. (b) 41 177
Commonwealth Telephone Enterprises Inc. (b) 4 154
CT Communications Inc. 3 42
Essex Corp. (b) 2 57
Fairpoint Communications Inc. 4 66
General Communication - Class A (b) 8 74
Globetel Communications (b) (l) 9 26
Golden Telecom Inc. (b) (l) 3 102
Hickory Technology Corp. 1 10
IDT Corp. - Class B (b) 9 119
Intrado Inc. (b) 3 38
Iowa Telecommunicatoins Services Inc. 3 59
Level 3 Communications Inc. (b) (l) 113 230
Mastec Inc. (b) 4 32
Premiere Global Services Inc. (b) 11 124
RCN Corp. (b) 3 80
Shenandoah Telecommunications Co. 1 39
Surewest Communications 2 62
Talk America Holdings Inc. (b) 4 41
Telkonet Inc. (b) (l) 2 10
Time Warner Telecom - Class A (b) 9 55
US Unwired Inc. (b) 20 118
USA Mobility Inc. (b) 4 131
Valor Communications Group Inc. 5 73
2,022
Telecommunications Equipment - 2.0%
3Com Corp. (b) 64 233
Adaptec Inc. (b) 20 76
Adtran Inc. 11 267
Aeroflex Inc. (b) 11 94
Anaren Inc. (b) 3 44
Anixter International Inc. (b) 5 184
Applied Signal Technology 2 31
Arris Group Inc. (b) 14 124
Atheros Communications Inc. (b) (l) 5 38
Avanex Corp. (b) (l) 12 10
Black Box Corp. 3 93
Broadwing Corp. (b) (l) 11 51
C-COR Inc. (b) 8 52
Ciena Corp. (b) 95 199
CommScope Inc. (b) 9 163
Comtech Telecommunications Corp. (b) 4 116
Ditech Communications Corp. (b) 5 30
Extreme Networks (b) 18 72
Finsar Corp. (b) 25 27
Foundry Networks Inc. (b) 20 171
Harmonic Inc. (b) 12 56
Hypercom Corp. (b) 8 53
Ixia (b) 5 97
KVH Industries Inc. (b) (l) 2 20
MRV Communications Inc. (b) (l) 19 41
Netgear Inc. (b) 5 91
Network Equipment Technologies Inc. (b) 4 22
Newport Corp. (b) 7 100
NMS Communications Corp. (b) 8 21
North Pittsburgh Systems Inc. 3 50
Oplink Communications Inc. 16 27
Optical Communication Products Inc. (b) 2 5
Paradyne Networks Inc. (b) 5 10
Parkervision Inc. (b) (l) 1 4
Plantronics Inc. 8 294
Polycom Inc. 16 244
Safenet Inc. (b) 4 142
Sonus Networks Inc. (b) (l) 38 182
Stratos Lightwave Inc. (b) (l) - 1
Sycamore Networks Inc. (b) 29 98
Symmetricom Inc. (b) 7 77
Tekelec (b) 9 154
Terayon Communication Systems Inc. (b) (l) 13 39
Utstarcom Inc. (b) (l) 16 118
Westell Technologies Inc. (b) 8 45
WJ Communications (b) 5 8
Zhone Technologies Inc. (b) (l) 10 32
4,106
Textiles - 0.1%
Angelica Corp. (l) 2 37
Dixie Group Inc. (b) 2 30
G&K Services Inc. - Class A 3 115
Innovo Group Inc. (b) (l) 2 3
Unifirst Corp. 2 65
250
Tobacco - 0.2%
Alliance One International Inc. (b) 13 77
Universal Corp. 4 186
Vector Group Ltd. (l) 4 77
340
Toys & Hobbies - 0.2%
Action Performance Cos. Inc. 2 20
Department 56 Inc. (b) 2 21
Jakks Pacific Inc. (b) 4 82
Leapfrog Enterprises Inc. (b) (l) 5 58
Rc2 Corp. (b) 3 104
Topps Co. Inc. 6 65
350
Transportation - 1.6%
ABX Air Inc. (b) 9 71
Alexander & Baldwin Inc. - 21
Amerco Inc. (b) 2 86
Arkansas Best Corp. 4 123
Covenant Transport Inc. (b) 1 17
Dynamex Inc. (b) 2 27
EGL Inc. (b) 7 147
Florida East Coast Industrials - Class A 5 228
Forward Air Corp. 6 159
Frozen Food Express Industries Inc. (b) 1 10
GATX Corp 8 284
Genesee & Wyoming Inc. - Class A (b) 4 98
Greenbrier Cos. Inc. 1 23
Gulfmark Offshore Inc. (b) 2 65
Heartland Express Inc. 8 148
Hub Group Inc. - Class A (b) 3 80
Interpool Inc. 1 29
Kansas City Southern Industries Inc. (b) 14 280
Kirby Corp. (b) 4 165
Knight Transportation Inc. 6 154
Laidlaw International (b) 1 20
Landstar System Inc. (b) 1 19
Maritrans Inc. (b) 1 31
Marten Transport Ltd. (b) 2 34
Offshore Logistics (b) 3 111
Old Dominion Freight Line Inc. (b) 3 76
Overnite Corp. 5 202
Overseas Shipholding Group - 21
Pacer International Inc. (b) 6 129
PAM Transportation Services (b) 1 16
Petroleum Helicopters Inc. (b) (l) - 5
Quality Distribution Inc. (b) 1 10
Railamerica Inc. (b) 6 72
SCS Transportation Inc. (b) 3 45
Seabulk International Inc. (b) 1 29
Swift Transportation Co. Inc. (b) 1 19
Universal Truckload Services Inc. (b) 1 16
US Xpress Enterprises Inc. (b) 1 12
USA Truck Inc. (b) 1 20
Werner Enterprises Inc. 8 157
3,259
Water - 0.2%
American States Water Co. 3 84
California Water Service Group 3 109
Connecticut Water Services Inc. 1 33
Middlesex Water Co. 2 37
Pico Holdings Inc. (b) 1 43
SJW Corp. 1 52
Southwest Water Co. (l) 3 35
393
Wireless Telecommunications - 0.8%
Airspan Networks Inc. (b) (l) 5 25
Alamosa Holdings Inc. (b) 2 22
Audiovox Corp. (b) 3 45
Carrier Access Corp. (b) 3 15
Centennial Communications Corp. (b) 4 49
Dobson Communications Corp. (b) (l) 19 80
EMS Technologies Inc. (b) 2 23
Endwave Corp. (b) (l) 1 45
Glenayre Technologies Inc. (b) 9 33
Interdigital Communication Corp. (b) 9 163
Jamdat Mobile Inc. (b) (l) 2 47
Novatel Wireless Inc. (b) 4 44
Powerwave Technologies Inc. (b) (l) 18 185
Price Communications Corp. (b) 8 132
Remec Inc. (b) 5 29
RF Micro Devices Inc. 31 169
SBA Communications Corp. (b) 12 158
Spectralink Corp. 3 31
Stratex Networks Inc. (b) 14 24
Suncom Wireless Holdings - Class A (b) 6 12
Syniverse Holdings Inc. (b) 3 41
Ubiquitel Inc. (b) 12 98
Viasat Inc. (b) 4 72
Wireless Facilities Inc. (b) 8 50
1,592
Total Common Stocks (cost $175,802) 192,780
Short Term Investments - 15.0%
Money Market Funds - 4.3%
Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 8,529 8,529
Securities Lending Collateral - 10.5%
Mellon GSL Delaware Business Trust Collateral Fund (n) 21,289 21,289
U.S. Treasury Bills - 0.2%
US Treasury Bill, 2.947%, 09/08/05 (m) $410 408
Total Short Term Investments (cost $30,226) 30,226
Total Investments - 110.5% (cost $206,028) 223,006
Other Assets and Liabilities, Net - (10.5%) (21,214)
Total Net Assets - 100% $201,792
JNL/Oppenheimer Global Growth Fund
Percentage of Total
Industry Sector Investments (o)
Communications 21.4%
Consumer, Non-cyclical 18.7%
Financial 16.4%
Technology 11.0%
Industrial 9.6%
Energy 8.9%
Consumer, Cyclical 8.6%
Money Market Investment 2.8%
Diversified 1.5%
Utilities 1.1%
100.0%
Common Stocks - 96.6%
Advertising - 0.5%
JC Decaux SA (b) 37 $935
WPP Group Plc 82 841
1,776
Aerospace & Defense - 4.2%
Boeing Co. 21 1,379
Empresa Brasileira de Aeronautica SA - ADR 71 2,358
European Aeronautic Defense and Space Co. 78 2,488
Lockheed Martin Corp. 18 1,148
Northrop Grumman Corp. 19 1,033
Ratheon Co. 44 1,702
10,108
Apparel - 0.6%
Coach Inc. (b) 44 1,470
Auto Manufacturers - 0.7%
Toyota Motor Corp. 49 1,761
Banks - 7.3%
Anglo Irish Bank Corp. Plc (b) 111 1,379
Australia And New Zealand Banking Group Ltd. 34 569
Bayerische Hypo-und Vereinsbank AG (b) 33 861
Credit Suisse Group (b) 28 1,109
HSBC Holdings Plc 149 2,374
ICICI Bank Ltd. - ADR 88 1,933
Northern Trust Corp. 52 2,352
Resona Holdings Inc. 453 839
Royal Bank of Scotland Group Plc 136 4,117
Societe Generale - Class A 21 2,132
17,665
Beverages - 1.5%
Cia De Bebidas Das Americas (b) 8 212
Companhia De Bebidas Das Americas - ADR 42 1,288
Fomento Economico Mexicano SA de CV 214 1,274
Grupo Modelo SA 293 912
3,685
Biotechnology - 2.9%
Affymetrix Inc. (b) (l) 31 1,683
Amgen Inc. (b) 34 2,056
Genentech Inc. (b) (l) 19 1,557
Genzyme Corp. 19 1,118
Human Genome Sciences Inc. (b) 23 261
Millennium Pharmaceuticals Inc. (b) 21 191
Nektar Therapeutics (b) 10 168
7,034
Commercial Services - 0.1%
Nektar Therapeutics (b) (e) 11 150
Computers - 1.5%
Cadence Design Systems Inc. (b) (l) 66 904
International Business Machines Corp. 25 1,880
Sun Microsystems Inc. (b) 260 968
3,752
Cosmetics & Personal Care - 1.1%
Gillette Co. 38 1,944
Shiseido Co. Ltd. 54 680
2,624
Diversified Financial Services - 4.6%
American Express Co. 44 2,326
Charles Schwab Corp. 66 748
Citigroup Inc. 15 698
Credit Saison Co. Ltd. 36 1,186
JPMorgan Chase & Co. 57 2,012
MBNA Corp. 57 1,490
Morgan Stanley 52 2,739
11,199
Electric - 0.6%
Energias De Portugal SA 266 671
Fortum Oyj 46 736
1,407
Electrical Components & Equipment - 0.9%
Samsung Electronics Co. Ltd. 5 2,201
Electronics - 2.3%
Applied Biosystems Group - Applera Corp 37 724
Keyence Corp. 5 1,109
Koninklijke Philips Electronics NV 102 2,586
Murata Manufacturing Co. Ltd. 17 847
Omron Corp. 10 220
5,486
Engineering & Construction - 0.2%
JGC Corp. 36 441
Entertainment - 0.7%
International Game Technology 56 1,585
Food - 1.0%
Cadbury Schweppes Plc 249 2,378
Gas - 0.5%
GAIL India Ltd. 18 94
Hong Kong & China Gas 596 1,210
1,304
Hand & Machine Tools - 0.2%
Nidec Corp. 4 401
Healthcare - 2.8%
Cie Generale d'Optique Essilor International SA 13 906
Hoya Corp. 11 1,299
Medtronic Inc. 11 559
Quest Diagnostics Inc. 41 2,173
Smith & Nephew Plc 199 1,967
6,904
Holding Companies - Diversified - 1.5%
Hutchison Whampoa Ltd. 105 945
LVMH Moet Hennessy Louis Vuitton SA 36 2,769
3,714
Home Furnishings - 1.0%
Sony Corp. 74 2,549
Household Products - 2.4%
Hindustan Lever Ltd. 394 1,482
Reckitt Benckiser Plc 149 4,401
5,883
Insurance - 3.4%
ACE Ltd. 48 2,167
Allianz AG 20 2,346
Berkshire Hathaway Inc. (b) 1 1,503
Everest Re Group Ltd. 9 865
Manulife Financial Corp. 28 1,341
8,222
Internet - 2.0%
Amazon.Com Inc. (b) (l) 21 698
Ebay Inc. (b) 86 2,822
Trend Micro Inc. 26 906
Yahoo Japan Corp. (b) - 489
4,915
Investment Companies - 0.7%
Investor AB - Class B (b) 58 791
Macquarie Airports 331 900
1,691
Leisure Time - 0.4%
Carnival Corp. 19 1,031
Manufacturing - 1.3%
Nikon Corp. 89 1,000
Siemens AG 30 2,160
3,160
Media - 5.7%
Grupo Televisa SA - ADR 33 2,036
Pearson Plc 126 1,484
Reed Elsevier Plc 107 1,021
Singapore Press Holdings 439 1,117
Sirius Satellite Radio (b) (l) 824 5,336
Television Broadcasts Ltd. 311 1,754
ZEE Telefilms Ltd. 340 1,216
13,964
Office & Business Equipment - 0.3%
Canon Inc. 16 839
Oil & Gas Producers - 7.8%
BP Plc - ADR 30 1,885
Burlington Resources Inc. 24 1,348
Chevron Corp. 35 1,952
Encana Corp. 53 2,084
ENI SpA 40 1,042
GlobalSantaFe Corp. 66 2,709
Husky Energy Inc. 75 2,976
Oil & Natural Gas Corp. Ltd. 13 310
Total SA 4 1,014
Transocean Inc. (b) 68 3,665
18,985
Oil & Gas Services - 1.1%
Neste Oil (b) 8 207
Technip-coflexip SA 52 2,398
2,605
Pharmaceuticals - 7.0%
Chugai Pharmaceutical Co. Ltd. 57 875
Eli Lilly & Co. 12 663
Express Scripts Inc. (b) 25 1,230
Eyetech Pharmaceuticals Inc. (b) (l) 20 246
Gilead Sciences Inc. 52 2,292
Novartis AG 30 1,414
Pfizer Inc. 49 1,358
Roche Holding AG 23 2,924
Sanofi-synthelabo SA 52 4,240
Shionogi & Co. Ltd. 94 1,209
Wyeth 13 565
17,016
Retail - 4.6%
Circuit City Stores Inc. 61 1,055
Dixons Group Plc 568 1,597
Gap Inc. 39 776
Gus Plc 37 587
Hesses & Mauritz AB - Class B 137 4,811
Industria De Diseno Textil SA 23 593
Starbucks Corp. (b) 25 1,292
Tiffany & Co. 18 593
11,304
Semiconductors - 3.2%
Advanced Micro Devices Inc. (b) (l) 143 2,480
Altera Corp. (b) 31 618
Cree Inc. (b) (l) 20 520
International Rectifier Corp. (b) 13 630
National Semiconductor Corp. 58 1,271
Silicon Laboratories Inc. (b) (l) 12 307
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 215 1,960
7,786
Shipbuilding - 0.5%
Hyundai Heavy Industries 25 1,272
Software - 5.0%
Electronic Arts Inc. 6 357
IMS Health Inc. 40 981
Infosys Technologies Ltd. 58 3,133
Intuit Inc. (b) 22 997
Microsoft Corp. 97 2,417
Novell Inc. (b) 201 1,246
SAP AG 16 2,744
Square Enix Co. Ltd. (b) 9 258
12,133
Telecommunications - 2.7%
France Telecom SA 67 1,971
KDDI Corp. 1 2,966
Tele Norte Leste Participacoes SA (b) 104 1,712
6,649
Telecommunications Equipment - 2.5%
Cisco Systems Inc. (b) 68 1,301
Corning Inc. (b) 168 2,790
Enterasys Networks Inc. (b) (l) 1 1
Juniper Networks Inc. (b) 32 801
Tandberg ASA 105 1,125
6,018
Tobacco - 0.4%
Altria Group Inc. 10 647
ITC Ltd. 9 326
973
Transportation - 0.4%
Peninsular & Oriental Steam 188 1,068
Venture Capital - 0.4%
3i Group Plc 87 1,060
Wireless Telecommunications - 7.7%
Qualcomm Inc. 51 1,690
SK Telecom Co. Ltd. - ADR (e) (l) 117 2,381
Telefonaktiebolaget LM Ericsson 2,176 6,994
Vodafone Group Plc 3,158 7,698
18,763
Total Common Stocks (cost $197,406) 234,932
Preferred Stocks - 0.5%
Auto Manufacturers - 0.5%
Porsche AG 2 1,263
Total Preferred Stocks (cost $906) 1,263
Short Term Investments - 13.9%
Money Market Funds - 2.8%
Dreyfus Cash Management Plus Fund, 3.05% (a) 6,800 6,800
Securities Lending Collateral - 11.1%
Mellon GSL Delaware Business Trust Collateral Fund 26,931 26,931
Total Short Term Investments (cost $33,731) 33,731
Total Investments - 111.0% (cost $232,043) 269,926
Other Assets and Liabilities, Net - (11.0%) (26,766)
Total Net Assets - 100% $243,160
JNL/Oppenheimer Growth Fund
Percentage of Total
Industry Sector Investments (o)
Technology 22.1%
Communications 19.8%
Consumer, Non-cyclical 18.5%
Consumer, Cyclical 16.9%
Energy 7.5%
Financial 7.3%
Industrial 7.2%
Money Market Investment 0.7%
100.0%
Common Stocks - 99.1%
Apparel - 1.0%
Polo Ralph Lauren Corp. 6 $267
Auto Parts & Equipment - 1.1%
Autoliv Inc. 6 276
Beverages - 1.7%
PepsiCo Inc. 8 431
Biotechnology - 4.6%
Amgen Inc. (b) 4 254
Genentech Inc. (b) 8 658
Genzyme Corp. 4 240
1,152
Commercial Services - 0.9%
Apollo Group Inc. - Class A (l) 3 219
Computers - 6.0%
Apple Computer Inc. (b) 10 372
Cognizant Tech Solutions Corp. (b) 5 250
EMC Corp. (b) 60 823
Sun Microsystems Inc. (b) 19 70
1,515
Cosmetics & Personal Care - 2.0%
Colgate-Palmolive Co. 4 210
Gillette Co. 1 25
Proctor & Gamble Co. 5 280
515
Diversified Financial Services - 3.6%
American Express Co. 7 351
Goldman Sachs Group Inc. 2 245
Legg Mason Inc. 3 312
908
Healthcare - 5.1%
Guidant Corp. 1 67
Johnson & Johnson 5 306
Kinetic Concepts Inc. (b) 4 246
Varian Medical Systems Inc. (b) 18 656
1,275
Insurance - 3.7%
Aflac Inc. 5 229
AMBAC Financial Group Inc. 2 126
American International Group Inc. 10 581
936
Internet - 5.9%
Ebay Inc. (b) 12 399
Google Inc. - Class A (b) 2 471
Opsware Inc. (b) 7 34
VeriSign Inc. (b) 9 267
Yahoo! Inc. (b) 9 319
1,490
Leisure Time - 0.9%
Carnival Corp. 4 224
Manufacturing - 5.5%
3M Co. 4 268
General Electric Corp. 27 918
Tyco International Ltd. 7 199
1,385
Media - 2.4%
Comcast Corp. - Class A (b) 11 350
Walt Disney Co. 10 262
612
Oil & Gas Producers - 5.5%
Amerada Hess Corp. 4 373
Apache Corp. (l) 6 381
Noble Energy Inc. 5 356
Transocean Inc. (b) 5 264
1,374
Oil & Gas Services - 2.0%
Schlumberger Ltd. 7 501
Pharmaceuticals - 4.2%
Abbott Laboratories 7 319
Eli Lilly & Co. 5 251
Gilead Sciences Inc. 11 479
1,049
Retail - 13.9%
Abercrombie & Fitch Co. - Class A 2 131
Best Buy Co. Inc. 4 260
Chico's FAS Inc. (b) (l) 10 350
Home Depot Inc. 15 599
Kohl's Corp. (b) 7 375
Staples Inc. 27 584
Starbucks Corp. (b) 4 227
Target Corp. 11 582
Urban Outfitters Inc. (b) 2 125
Williams-Sonoma Inc. (b) 7 257
3,490
Semiconductors - 6.2%
Broadcom Corp. - Class A (b) 11 380
Intel Corp. 15 401
International Rectifier Corp. (b) 6 277
Maxim Integrated Products Inc. 6 237
Texas Instruments Inc. 9 264
1,559
Software - 9.8%
Adobe Systems Inc. 9 246
Autodesk Inc. 6 217
Mercury Interactive Corp. (b) (l) 9 330
Microsoft Corp. 49 1,205
NAVTEQ Corp. (b) 4 138
SAP AG - ADR 8 325
2,461
Telecommunications - 2.4%
Amdocs Ltd. (b) 7 188
Neustar Inc. - Class A (b) 4 110
Sprint Corp. (l) 12 304
602
Telecommunications Equipment - 6.2%
Avaya Inc. (b) 16 131
Cisco Systems Inc. (b) 42 801
Comverse Technology Inc. (b) 4 99
Corning Inc. (b) 33 540
1,571
Transportation - 1.7%
FedEx Corp. 3 211
UTI Worldwide Inc. 3 216
427
Wireless Telecommunications - 2.8%
Motorola Inc. 16 299
Nokia Corp. - Class A - ADR 13 208
Qualcomm Inc. 6 191
698
Total Common Stocks (cost $23,260) 24,936
Short Term Investments - 4.5%
Money Market Funds - 0.7%
Dreyfus Cash Management Plus Fund, 3.05% (a) 187 187
Securities Lending Collateral - 3.8%
Mellon GSL Delaware Business Trust Collateral Fund 945 945
Total Short Term Investments (cost $1,132) 1,132
Total Investments - 103.6% (cost $24,392) 26,068
Other Assets and Liabilities, Net - (3.6%) (899)
Total Net Assets - 100% $25,169
JNL/PIMCO Total Return Bond Fund
Percentage of Total
Industry Sector Investments (o)
Mortgage Securities 46.2%
Financial 23.0%
Government 20.5%
Asset Backed Securities 3.1%
Energy 3.0%
Money Market Investment 1.5%
Consumer, Cyclical 0.9%
Technology 0.6%
Communications 0.6%
Industrial 0.5%
Utilities 0.1%
100.0%
Preferred Stocks - 0.5%
Banks - 0.4%
DG Funding Trust, 4.80% (b) (e) - $2,136
Sovereign - 0.1%
Fannie Mae, 7.00% (b) 9 483
Total Preferred Stocks (cost $2,537) 2,619
Options - 0.0%
Eurodollar Future Put Option, Expiration
September 2005, Strike Price $94.50 EUR 1 -
Eurodollar Future Put Option, Expiration
September 2005, Strike Price $94.87 EUR - -
Total Options (cost $6) -
Corporate Bonds - 11.9%
Apparel - 0.1%
Bank of America Mortgage Securities,
6.50%, 10/25/31$434 448
Asset Backed Securities - 6.2%
aaiPharma Inc., 3.414%, 11/26/35 (e) 2,094 2,098
Aames Mortgage Investments Trust, 3.394%, 07/25/35 196 196
Ameriquest Mortgage Securities Inc., 3.584%,
08/25/32 (g) 4 4
Amortizing Residential Collateral Trust,
3.604%, 07/25/32 (g) 15 15
Banc of America Funding Corp., 4.118%, 05/25/35 1,200 1,186
Bank of America Mortgage Securities, 6.50%, 09/25/33 161 163
Bear Stearns Adjustable Rate Mortgage Trust
4.314%, 11/25/30 (g) 18 18
5.259%, 10/25/32 (g) 24 24
5.345%, 02/25/33 (g) 161 163
5.63%, 02/25/33 (g) 90 91
5.081%, 04/25/33 369 366
4.72%, 01/25/34 (g) 999 982
Bear Stearns Alternate Trust, 05/25/35, 5.448% (g) 2,035 2,073
Capital Auto Receivables Asset Trust,
3.23%, 06/15/06 (e) (g) 253 253
Carrington Mortgage Loan Trust, 3.24%, 06/25/35 500 500
Centex Home Equity, 3.414%, 03/25/34 147 147
Citibank Omni Master Trust
3.5181%, 08/18/09 4,000 4,001
3.7681%, 11/17/09 3,700 3,705
Countrywide Home Loan Servicing LP
3.46%, 12/25/22 903 903
3.58%, 05/25/34 850 848
Credit Based Asset Servicing And Securitization LLC
3.44%, 09/25/21 142 142
3.63%, 06/25/32 (g) 42 42
Equity One Inc.
3.594%, 11/25/32 (g) 220 220
3.424%, 07/25/34 (g) 451 451
First Nationwide Trust, 3.91%, 09/25/31 (g) 1 1
Home Equity Mortgage Trust, 3.46%, 12/25/34 512 512
Household Home Equity Loan Trust, 3.78%, 10/20/32 (g) 623 624
IMPAC Medical Systems Inc., 3.564%, 04/25/34 645 644
IndyMac Bancorp. Inc., 6.65%, 01/25/32 (g) 4 4
Irwin Financial Corp., 3.689%, 06/25/21 (e) (g) 12 12
Mellon Residential Funding Corp., 3.92%, 10/20/29 (g) 695 698
Mellon Residual Funding Corp., 3.46%, 06/15/30 1,400 1,399
Mid-State Trust, 8.33%, 04/01/30 (g) 26 28
Nelnet Student Loan Trust, 3.151%, 04/25/11 (g) 321 321
Park Place Securities Inc., 3.514%, 10/25/34 400 400
Prime Mortgage Trust
3.714%, 02/25/19 (g) 82 82
3.714%, 02/25/34 (g) 327 328
Residential Asset Mortgage Products, 3.56%, 02/25/34 1,750 1,753
Small Business Administration Particification Certificates,
5.13%, 09/01/23 92 95
5.52%, 06/01/24 1,805 1,893
Sequenom Inc., 3.77%, 10/19/26 (g) 441 441
Structured Asset Securities Corp.
3.76%, 06/25/17 (g) 48 49
3.79%, 03/25/31 (g) 14 14
6.13%, 02/25/32 (g) 9 9
3.75%, 09/19/32 (g) 545 546
3.60%, 01/25/33 (g) 13 13
Torrens Trust, 3.48%, 07/15/31 (e) (g) 71 71
Washington Mutual Financial Corp., 3.75%, 08/25/42 (g) 1,790 1,798
Washington Mutual Inc.
5.38%, 02/25/31 (g) 89 90
5.13%, 10/25/32 (g) 139 140
Wells Fargo Mortgage Backed Securities Trust,
3.474%, 06/25/19 157 157
30,713
Auto Manufacturers - 0.2%
DaimlerChrysler NA Holdings Inc., 3.89%, 05/24/06 (l) 900 902
Banks - 0.5%
Banque Cent De Tunisie, 7.50%, 08/06/09 (e) 300 424
Citigroup Global Markets Holding Inc., 3.41%, 03/07/08 1,700 1,699
Fifth Third Bank, 7.75%, 08/15/10 500 502
2,625
Chemicals - 0.0%
Dow Chemical Co., 8.04%, 07/02/05 8 8
Diversified Financial Services - 4.0%
American General Finance Corp., 3.4919%, 03/23/07 300 300
BNP Paribas SA, 5.186%, 06/29/49 (e) 1,500 1,517
Credit Suisse First Boston Corp., 3.72%,
03/25/32 (e) (g) 329 330
Ford Motor Credit Co.
3.5725%, 07/07/05 1,800 1,799
7.60%, 08/01/05 (l) 3,100 3,108
6.875%, 02/01/06 2,300 2,323
5.80%, 01/12/09 4,100 3,892
General Motors Acceptance Corp.
7.50%, 07/15/05 1,300 1,301
4.39%, 10/20/05 2,100 2,102
GSAMP Trust, 3.50%, 10/25/33 1,152 1,153
UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 335
Vendee Mortgage Trust Co., 6.50%, 09/15/24 1,204 1,289
19,449
Electric - 0.1%
Pacific Gas & Electric Co., 3.82%, 04/03/06 (l) 400 400
Electronics - 0.0%
Parker Hannifin Employee Stock Ownership Trust,
6.34%, 07/15/08 (e) 96 99
Pipelines - 0.5%
El Paso Corp.
8.05%, 10/15/30 (l) 1,000 990
7.80%, 08/01/31 1,500 1,459
2,449
Telecommunications - 0.2%
Qwest Services Corp., 7.625%, 06/15/15 (e) 900 919
Sprint Capital Corp., 6.00%, 01/15/07 100 102
1,022
Total Corporate Bonds (cost $56,732) 58,114
Government Securities - 60.8%
Asset Backed Securities - 0.0%
Freddie Mac, 3.838%, 11/15/30 (g) 16 16
Small Business Administration Participants
7.45%, 08/01/10 32 35
6.29%, 01/01/21 69 73
124
Sovereign - 7.6%
Bonos Y Oblig Del Estado, 4.20%, 01/31/37 (b) 300 397
Bundesrepublic Deutschland
5.625%, 01/04/28 400 631
5.50%, 01/04/31 1,400 2,213
Canadian Government Bond
5.75%, 06/01/33 400 404
3.00%, 12/01/36 207 211
Federal Republic of Brazil
10.50%, 07/14/14 400 473
8.875%, 10/14/19 100 106
11.00%, 08/17/40 350 421
France Government Bond, 4.00%, 04/25/55 300 387
Republic of Brazil
4.25%, 04/15/06 (g) 32 32
9.23%, 06/29/09 (g) 100 116
4.31%, 04/15/12 (g) 741 713
8.00%, 04/15/14 2,480 2,541
Republic of Panama
9.375%, 07/23/12 200 242
9.375%, 01/16/23 200 247
8.875%, 09/30/27 200 239
Republic of Peru
9.125%, 02/21/12 600 702
9.875%, 02/06/15 600 743
Republic of South Africa, 9.125%, 05/19/09 100 116
Russian Federation,
(Step-Up Bond), 5.00%, 03/31/30 (d) (h) 3,100 3,461
Spanish Government Bond, 5.75%, 07/30/32 500 818
United Mexican States
0.00%, 06/30/06 (g) 6,886 177
0.00%, 06/30/07 (g) 4,850 116
8.375%, 01/14/11 200 233
6.375%, 01/16/13 250 268
8.125%, 12/30/19 500 614
8.00%, 09/24/22 800 980
8.30%, 08/15/31 1,400 1,743
36,931
Treasury Inflation Index Securities - 1.9%
US Treasury Inflation Indexed Note
3.375%, 01/15/07 100 127
1.625%, 01/15/15 (l) 700 711
2.375%, 01/15/25 (l) 5,400 6,103
3.625%, 04/15/28 (l) 1,300 2,102
9,043
U.S. Government Agencies - 47.1%
Fannie Mae, 3.319%, 09/22/06 1,700 1,699
Fannie Mae Grantor Trust, 3.34%, 11/28/35 565 564
Fannie Mae Whole Loan, 6.50%, 12/25/42 210 219
Federal Home Loan Mortgage Corp.
6.00%, 03/01/16 147 151
6.00%, 08/01/16 60 62
5.00%, 11/01/18 803 813
6.25%, 08/25/22 4 4
7.00%, 05/15/23 796 844
6.00%, 10/01/32 378 379
6.00%, 03/01/33 479 491
6.00%, 08/01/33 206 211
Federal National Mortgage Association
5.00%, TBA (c) 14,000 13,969
5.50%, TBA (c) 43,000 43,578
4.50%, TBA (c) 500 498
5.00%, TBA (c) 1,000 1,011
5.50%, 11/01/13 16 17
5.50%, 03/01/16 188 193
6.00%, 04/01/16 264 273
6.00%, 05/01/16 90 93
6.00%, 08/01/16 42 43
6.00%, 09/01/16 36 38
6.00%, 11/01/16 173 179
5.50%, 12/01/16 440 452
5.50%, 01/01/17 163 168
6.00%, 02/01/17 33 34
5.50%, 03/01/17 144 148
6.00%, 03/01/17 195 202
6.00%, 04/01/17 147 152
6.00%, 05/01/17 41 42
5.50%, 10/01/17 119 122
6.00%, 10/01/17 129 134
5.50%, 11/01/17 82 85
5.00%, 05/01/18 24 24
5.00%, 06/01/18 457 462
5.00%, 08/01/18 2,190 2,216
5.00%, 09/01/18 1,126 1,139
5.00%, 10/01/18 646 653
5.00%, 01/01/19 724 733
5.00%, 02/01/19 292 295
5.00%, 04/01/19 652 660
5.00%, 06/01/19 1,865 1,887
5.00%, 10/01/19 2,261 2,287
5.00%, 12/01/19 2,421 2,449
4.50%, 02/01/20 479 477
5.50%, 11/01/32 2,894 2,936
5.50%, 01/01/33 876 889
6.00%, 03/01/33 80 82
5.00%, 04/25/33 1,564 1,544
5.50%, 11/01/33 872 885
5.50%, 01/01/34 127 129
5.50%, 02/01/34 2,015 2,044
5.50%, 03/01/34 715 725
5.50%, 04/01/34 7,999 8,116
5.50%, 05/01/34 1,794 1,821
5.50%, 06/01/34 3,501 3,551
5.50%, 09/01/34 3,913 3,969
5.50%, 11/01/34 2,121 2,152
6.50%, 11/01/34 411 425
5.50%, 12/01/34 10,348 10,494
5.50%, 01/01/35 9,362 9,495
5.50%, 02/01/35 56,587 57,393
5.50%, 03/01/35 15,741 15,965
5.50%, 04/01/35 8,010 8,123
5.50%, 05/01/35 1,680 1,702
5.50%, 06/01/35 499 506
3.904%, 09/01/40 (g) 79 81
3.664%, 03/25/44 2,031 2,032
FHA St. Regis Nursing Home, 7.50%, 03/01/32 194 196
Freddie Mac
5.367%, 07/01/27 (g) 6 6
4.50%, 03/15/34 6,558 5,951
4.50%, 04/15/34 6,534 5,938
Government National Mortgage Association
3.375%, 05/20/26 (g) 191 194
4.38%, 02/20/27 (g) 20 20
3.375%, 04/20/30 (g) 48 49
3.375%, 05/20/30 (g) (l) 40 41
3.75%, 02/20/32 (g) 473 476
4.00%, 02/20/32 (g) 285 289
RFCSP Strip Principal Only, 10/15/20 (k) 400 202
228,581
U.S. Treasury Securities - 4.2% U.S. Treasury Bond
7.875%, 02/15/21 1,400 1,982
6.00%, 02/15/26 6,600 8,132
5.50%, 08/15/28 (l) 2,000 2,355
U.S. Treasury Note
4.875%, 02/15/12 5,600 5,947
4.75%, 05/15/14 1,900 2,016
20,432
Total Government Securities (cost $291,166) 295,111
Municipals - 1.5%
Illinois State Series A Municipal, 5.00%, 03/01/34 200 210
New York City Series J Municipal, 5.00%, 03/01/30 300 317
New York City Water & Sewer - Class C, 5.00%, 06/15/31 3,200 3,409
State of Texas, 6.90%, 04/01/35 300 317
Tobacco Settlement Funding Corp.
6.125%, 06/01/24 500 534
6.75%, 06/01/39 2,400 2,680
Total Municipals (cost $6,996) 7,467
Short Term Investments - 42.4%
Banks - 0.3%
Rabobank USA Corp., 3.105%, 08/09/05 1,300 1,296
Commercial Paper - 3.4%
Swedbank Inc., 3.12%, 08/03/05 3,700 3,689
Westpac Capital Corp., 3.33%, 10/03/05 (f) 12,900 12,788
16,477
Diversified Financial Services - 19.9%
Bank of Ireland
3.18%, 08/22/05 12,500 12,443
3.19%, 08/22/05 1,300 1,294
Danske Corp.
3.02%, 07/15/05 8,000 7,991
3.11%, 08/05/05 600 598
3.18%, 08/24/05 (f) 5,000 4,976
Dexia Delaware Inc., 3.235%, 08/12/05 2,400 2,391
Fortis Funding LLC, 3.27%, 09/23/05 11,700 11,611
General Electric Corp.
3.09%, 07/25/05 1,300 1,297
3.29%, 09/09/05 (f) 1,500 1,490
Ixis Corp., 3.08%, 07/19/05 3,300 3,295
Rabobank USA Corp.
3.36%, 07/01/05 1,000 1,000
3.105%, 08/08/05 (f) 12,200 12,160
Skandi Ensk Bank
3.04%, 07/14/05 1,000 999
3.07%, 07/14/05 300 300
3.17%, 08/18/05 5,200 5,178
3.18%, 08/19/05 300 299
3.31%, 09/15/05 (f) 6,300 6,256
Spintab AB
3.08%, 08/11/05 300 299
3.18%, 09/01/05 1,800 1,790
Stadshypotek AB, 3.115%, 07/25/05 3,800 3,792
Svenska Handelsbank, 3.16%, 08/03/05 2,500 2,486
UBS Finance LLC
3.39%, 07/01/05 800 800
3.02%, 07/22/05 5,900 5,890
3.115%, 07/25/05 500 499
3.185%, 09/06/05 (f) 6,300 6,263
3.255%, 09/26/05 1,000 992
96,389
Money Market Funds - 1.5%
Dreyfus Cash Management Plus Fund, 3.05% (a) 7,132 7,132
Oil & Gas Producers - 2.7%
Total Fina Elf, 3.37%, 07/01/05 $13,200 13,200
Securities Lending Collateral - 3.8%
Mellon GSL Delaware Business Trust Collateral Fund 18,327 18,327
U.S. Government Agencies - 10.3% Federal Home Loan Bank Discount Note,
2.60%, 07/01/05 $10,700 10,700
Federal Home Loan Mortgage Corp.
3.07%, 08/01/05 3,000 2,992
3.225%, 09/09/05 2,300 2,286
Federal National Mortgage Association
2.65%, 07/01/05 13,200 13,200
3.14%, 08/24/05 (f) 12,600 12,541
3.175%, 08/31/05 3,800 3,780
3.36%, 11/30/05 4,600 4,535
50,034
U.S. Treasury Bills - 0.5% U.S. Treasury Bill
2.92%, 09/01/05 (m) 550 547
2.93%, 09/15/05 (m) 1,665 1,655
2,202
Total Short Term Investments (cost $205,057) 205,057
Total Investments - 117.1% (cost $562,494) 568,368
Other Assets and Liabilities, Net - (17.1%) (82,939)
Total Net Assets - 100% $485,429
JNL/Putnam Equity Fund
Percentage of Total
Industry Sector Investments (o)
Financial 29.6%
Consumer, Non-cyclical 19.5%
Consumer, Cyclical 14.5%
Energy 10.2%
Technology 9.4%
Communications 9.3%
Industrial 5.4%
Basic Materials 1.3%
Utilities 0.8%
100.0%
Common Stocks - 99.0%
Advertising - 0.3%
Omnicom Group Inc. 11 $870
Aerospace & Defense - 0.0%
Boeing Co. - 13
Lockheed Martin Corp. 1 31
United Technologies Corp. - 10
54
Airlines - 0.8%
JetBlue Airways Corp. (b) 25 505
Southwest Airlines Co. 60 832
1,337
Apparel - 0.9%
Coach Inc. (b) 13 443
Nike Inc. - Class B 12 1,005
1,448
Auto Parts & Equipment - 0.3%
Autoliv Inc. 12 530
Banks - 6.3%
Bank of America Corp. 35 1,605
Commerce Bancorp. Inc. (l) 129 3,922
Investors Financial Services Corp. (l) 43 1,634
US Bancorp. 94 2,751
9,912
Biotechnology - 1.7%
Amgen Inc. (b) 45 2,697
Biogen Idec Inc. (b) - 9
Genzyme Corp. - 18
2,724
Building Materials - 1.1%
Masco Corp. 53 1,671
Chemicals - 0.3%
E.I. du Pont de Nemours & Co. 1 43
PPG Industries Inc. 8 496
539
Commercial Services - 3.1%
Accenture Ltd. 18 408
Alliance Data Systems Corp. (b) (l) 24 961
Apollo Group Inc. - Class A (b) 21 1,674
Cendant Corp. 63 1,414
Equifax Inc. 10 350
R.R. Donnelley & Sons Co. 1 17
4,824
Computers - 5.0%
Apple Computer Inc. (b) 60 2,191
Dell Inc. (b) 92 3,647
EMC Corp. (b) 44 606
Hewlett-Packard Co. 35 825
Lexmark International Inc. (b) - 19
Sandisk Corp. (b) 25 593
7,881
Cosmetics & Personal Care - 0.4%
Avon Products Inc. 17 643
Estee Lauder Cos. Inc. 1 27
670
Diversified Financial Services - 14.4%
Bear Stearns Cos. Inc. 19 1,953
Capital One Financial Corp. (l) 47 3,765
Chicago Mercantile Exchange Holdings Inc. 4 1,093
Countrywide Financial Corp. 89 3,421
Doral Financial Corp. 21 351
Fannie Mae 60 3,498
Freddie Mac 31 2,042
Goldman Sachs Group Inc. 18 1,847
Lehman Brothers Holdings Inc. 27 2,710
Morgan Stanley 22 1,139
Providian Financial Corp. (b) 45 788
22,607
Electric - 0.8%
AES Corp. (b) 70 1,150
Dominion Resources Inc. - 29
Entergy Corp. - 38
PG&E Corp 1 49
Sierra Pacific Resources (b) (l) 2 20
Wisconsin Energy Corp. - 15
1,301
Electronics - 0.4%
Amphenol Corp. - Class A 15 603
Flextronics International Ltd. (b) 1 15
618
Food - 0.3%
Safeway Inc. 20 445
Supervalu Inc. 1 33
478
Healthcare - 5.6%
Aetna Inc. 7 551
Becton Dickinson & Co. 9 449
HCA Inc. 22 1,218
Humana Inc. 12 489
Johnson & Johnson 59 3,849
Medtronic Inc. 1 31
Pacificare Health Systems Inc. (b) 6 400
St. Jude Medical Inc. (b) - 17
Triad Hospitals Inc. - 11
UnitedHealth Group Inc. 36 1,851
WellPoint Inc. (b) - 14
8,880
Home Builders - 1.2%
Lennar Corp. (l) 7 431
NVR Inc. (l) 2 1,378
1,809
Home Furnishings - 0.4%
Whirlpool Corp. 8 561
Insurance - 7.9%
ACE Ltd. 25 1,142
American International Group Inc. 125 7,273
Everest Re Group Ltd. 30 2,799
PMI Group Inc. 33 1,286
12,500
Internet - 3.8%
Ebay Inc. (b) 49 1,611
Google Inc. - Class A (b) 2 500
IAC/InterActiveCorp (b) (l) 17 402
Symantec Corp. 84 1,834
Yahoo! Inc. (b) 46 1,590
5,937
Iron & Steel - 0.4%
United States Steel Corp. (b) (l) 17 584
Leisure Time - 2.4%
Harley Davidson Inc. (l) 40 2,004
Royal Caribbean Cruises Ltd. (l) 27 1,286
Sabre Holdings Corp. 21 421
3,711
Lodging - 0.5%
Las Vegas Sands Corp. (b) (l) 23 836
Machinery - 1.0%
Caterpillar Inc. 9 867
Cummins Inc. (l) 9 671
1,538
Manufacturing - 2.5%
3M Co. - 14
Eastman Kodak Co. (l) 37 991
Parker Hannifin Corp. 13 806
Tyco International Ltd. 73 2,128
3,939
Media - 1.2%
Comcast Corp. - Class A (b) 23 697
McGraw-Hill Cos. Inc. 28 1,221
Walt Disney Co. 1 25
1,943
Mining - 0.6%
Alcoa Inc. 15 402
BHP Billiton Plc 43 550
952
Office & Business Equipment - 0.7%
Xerox Corp. (b) 79 1,084
Oil & Gas Producers - 10.1%
Amerada Hess Corp. 16 1,704
Apache Corp. 1 37
Chevron Corp. 34 1,918
Devon Energy Corp. 23 1,176
Exxon Mobil Corp. 108 6,200
GlobalSantaFe Corp. 1 53
Marathon Oil Corp. 34 1,831
Occidental Petroleum Corp. 8 577
Suncor Energy Inc. 5 237
Valero Energy Corp. 20 1,590
XTO Energy Inc. 15 510
15,833
Packaging & Containers - 0.0%
Sealed Air Corp. 1 30
Pharmaceuticals - 5.7%
AmerisourceBergen Corp. - 21
Cardinal Bergen Health Inc. 22 1,244
Eli Lilly & Co. - 11
Express Scripts Inc. (b) 13 650
Medco Health Solutions Inc. (b) 26 1,409
Merck & Co. Inc. 40 1,229
Pfizer Inc. 131 3,620
Teva Pharmaceutical Industries Ltd. - ADR 27 830
Wyeth 1 27
9,041
Retail - 7.8%
Abercrombie & Fitch Co. - Class A - 14
Autozone Inc. (b) 5 508
Best Buy Co. Inc. 27 1,851
Borders Group Inc. 13 323
Dillard's Inc. - Class A 15 342
Home Depot Inc. 63 2,431
Kohl's Corp. (b) 1 34
Lowe's Cos. Inc. 29 1,691
McDonald's Corp. 38 1,055
Michaels Stores Inc. 7 306
Office Depot Inc. 54 1,222
Outback Steakhouse Inc. - 18
Sears Holdings Corp. (b) 1 165
Staples Inc. 53 1,122
Yum! Brands Inc. 24 1,266
12,348
Savings & Loans - 0.6%
Washington Mutual Inc. 25 1,005
Semiconductors - 0.1%
Applied Materials Inc. 2 29
Freescale Semiconductor Inc. (b) 2 50
Intel Corp. 3 70
149
Software - 3.5%
Adobe Systems Inc. 37 1,059
Autodesk Inc. 19 663
Automatic Data Processing Inc. - 13
Citrix Systems Inc. (b) 43 925
Fair Isaac Inc. 25 909
Mercury Interactive Corp. (b) (l) 10 395
Microsoft Corp. 3 62
Oracle Corp. (b) 116 1,528
Red Hat Inc. (b) (l) 1 16
5,570
Telecommunications - 0.9%
BellSouth Corp. - 8
SBC Communications Inc. 1 27
Sprint Corp. (l) 1 35
Verizon Communications 37 1,270
1,340
Telecommunications Equipment - 2.7%
Cisco Systems Inc. (b) 225 4,292
Tobacco - 2.4%
Altria Group Inc. 51 3,301
Loews Corp. 16 526
3,827
Transportation - 0.3%
Yellow Roadway Corp. (b) 10 493
Wireless Telecommunications - 0.0%
Nextel Communications Inc. (b) 1 32
Qualcomm Inc. 1 26
58
Total Common Stocks (cost $143,484) 155,724
Short Term Investments - 13.5%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1
Repurchase Agreement - 0.5%
Repurchase Agreement with Bank of America Securities,
3.35%, (Collateralized by $775 Federal National Mortgage
Association Discount Note, 0.00%, due 07/12/05 market value
$754) acquired on 06/30/05, due 07/01/05 at $739 $739 739
Securities Lending Collateral - 13.0%
Mellon GSL Delaware Business Trust Collateral Fund 20,460 20,460
Total Short Term Investments (cost $21,200) 21,200
Total Investments - 112.5% (cost $164,684) 176,924
Other Assets and Liabilities, Net - (12.5%) (19,625)
Total Net Assets - 100% $157,299
JNL/Putnam Midcap Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 26.8%
Technology 19.1%
Consumer, Cyclical 17.9%
Industrial 12.6%
Energy 8.3%
Communications 7.6%
Financial 6.2%
Basic Materials 1.5%
100.0%
Common Stocks - 100.5%
Advertising - 1.6%
Getty Images Inc. (b) 6 $438
Aerospace & Defense - 1.1%
L-3 Communicaitons Holdings Inc. 5 352
Apparel - 1.8%
Coach Inc. (b) 11 363
Timberland Co. - Class A (b) 3 116
VF Corp. 2 97
576
Auto Parts & Equipment - 1.2%
Autoliv Inc. 9 399
Banks - 0.6%
Commerce Bancorp. Inc. (l) 7 203
Biotechnology - 3.2%
Charles River Laboratories International Inc. (b) 7 352
Clegene Corp. (b) 2 98
Genzyme Corp. 10 595
1,045
Building Materials - 1.4%
Vulcan Materials Co. 7 448
Chemicals - 0.1%
Georgia Gulf Corp. 1 43
Commercial Services - 5.1%
Alliance Data Systems Corp. (b) 5 195
Apollo Group Inc. - Class A (b) 3 219
Career Education Corp. (b) 1 48
Corporate Executive Board Co. 4 345
Equifax Inc. 11 386
Moody's Corp. 8 364
Strayer Education Inc. 1 95
1,652
Computers - 4.5%
Apple Computer Inc. (b) 14 519
Logitech International SA (b) 1 83
Network Appliance Inc. (b) 14 387
Sandisk Corp. (b) 20 482
1,471
Diversified Financial Services - 4.1%
Bear Stearns Cos. Inc. 6 572
Capital One Financial Corp. (l) 1 112
Nelnet Inc. - Class A (b) 13 419
Providian Financial Corp. (b) 14 240
1,343
Electrical Components & Equipment - 0.3%
Ametek Inc. 2 88
Electronics - 1.0%
Amphenol Corp. - Class A 6 253
Dolby Laboratories Inc. - Class A (b) 3 60
313
Food - 0.4%
Whole Foods Market Inc. 1 130
Forest Products & Paper - 0.8%
Louisiana-Pacific Corp. 11 263
Hand & Machine Tools - 2.0%
Black & Decker Corp. 7 638
Healthcare - 14.1%
Advanced Medical Optics Inc. (b) - -
Coventry Health Care Inc. (b) 5 347
CR Bard Inc. 8 499
Dade Behring Holdings Inc. (b) 4 260
Edwards Lifesciences Corp. (b) 12 503
Idexx Laboratories Inc. (b) 1 81
Kindred Healthcare Inc. (b) 5 194
Kinetic Concepts Inc. (b) 3 162
Laboratory Corp. of America Holdings (b) 10 509
Pacificare Health Systems Inc. (b) 6 393
Quest Diagnostics Inc. 3 181
Respironics Inc. (b) 10 354
Sierra Health Services Inc. 1 50
St. Jude Medical Inc. (b) 6 257
Varian Medical Systems Inc. (b) 15 575
WellPoint Inc. (b) 3 216
4,581
Home Builders - 2.0%
NVR Inc. (b) (l) 1 486
Toll Brothers Inc. (b) 2 173
659
Home Furnishings - 1.0%
Harman International Industries Inc. 4 317
Household Products - 2.0%
Scotts Miracle-Gro Co. (b) 1 100
Toro Co. 7 286
Yankee Candle Co. Inc. (b) 8 270
656
Insurance - 1.5%
Everest Re Group Ltd. 2 167
WR Berkley Corp. 9 313
480
Internet - 3.4%
McAfee Inc. (b) 13 331
Symantec Corp. 20 443
VeriSign Inc. (b) 8 232
Websense Inc. (b) 2 91
1,097
Machinery - 3.6%
Cummins Inc. 4 284
Graco Inc. 7 238
IDEX Corp. (l) 7 274
Terex Corp. (b) 9 370
1,166
Media - 1.0%
XM Satellite Radio Holdings - Class A (b) (l) 10 330
Mining - 0.5%
Phelps Dodge Corp. 2 167
Oil & Gas Producers - 6.8%
Amerada Hess Corp. 5 490
Burlington Resources Inc. 12 652
Newfield Exploration Co. (b) 11 435
Sunoco Inc. 6 625
2,202
Oil & Gas Services - 1.5%
BJ Services Co. 10 499
Packaging & Containers - 0.5%
Ball Corp. 4 158
Pharmaceuticals - 1.8%
Allergan Inc. 1 119
Barr Laboratories Inc. 4 210
Cephalon Inc. (b) (l) 1 56
Kos Pharmaceuticals Inc. (b) 3 183
568
Retail - 10.3%
Abercrombie & Fitch Co. - Class A 5 357
Aeropostale Inc. (b) 4 136
American Eagle Outfitters Inc. 18 539
Autozone Inc. (b) 2 222
Claire's Stores Inc. 23 563
Darden Restaurants Inc. 10 313
Michaels Stores Inc. 13 554
Staples Inc. 31 656
3,340
Semiconductors - 4.0%
Altera Corp. (b) 7 133
ATI Technologies Inc. (b) 11 132
LAM Research Corp. (b) 5 156
Linear Technology Corp. (b) 17 613
Sigmatel Inc. (b) 10 170
Silicon Laboratories Inc. (b) (l) 4 107
1,311
Software - 10.6%
Acxiom Corp. 4 91
Adobe Systems Inc. 14 401
BMC Software Inc. (b) 21 382
Citrix Systems Inc. (b) 30 658
Fair Isaac Inc. 14 504
Mercury Interactive Corp. (b) (l) 6 211
NAVTEQ Corp. (b) 5 187
Pixar Inc. (b) 5 250
Take-Two Interactive Software Inc. (b) 7 174
Veritas Software Corp. (b) 24 586
3,444
Telecommunications - 0.3%
West Corp. (b) 3 96
Telecommunications Equipment - 1.6%
Harris Corp. 7 215
Scientific-Atlanta Inc. 7 223
Tellabs Inc. (b) 9 81
519
Tobacco - 1.1%
UST Inc. 8 365
Toys & Hobbies - 0.8%
Marvel Enterprises Inc. 13 254
Transportation - 2.9%
CNF Inc. 9 386
Overseas Shipholding Group 9 543
929
Total Common Stocks (cost $29,187) 32,541
Short Term Investments - 5.1%
Securities Lending Collateral - 5.1%
Mellon GSL Delaware Business Trust Collateral Fund 1,657 1,657
Total Short Term Investments (cost $1,657) 1,657
Total Investments - 105.6% (cost $30,844) 34,198
Other Assets and Liabilities, Net - (5.6%) (1,817)
Total Net Assets - 100% $32,381
JNL/Putnam Value Equity Fund
Percentage of Total
Industry Sector Investments (o)
Financial 26.3%
Consumer, Non-cyclical 20.5%
Energy 11.1%
Technology 10.5%
Industrial 9.8%
Consumer, Cyclical 7.8%
Communications 7.3%
Utilities 4.1%
Basic Materials 2.6%
100.0%
Common Stocks - 99.2%
Aerospace & Defense - 1.9%
Boeing Co. 21 $1,379
Lockheed Martin Corp. 37 2,388
3,767
Auto Manufacturers - 0.3%
Magna International Inc. (b) 7 499
Banks - 4.0%
Bank of America Corp. 82 3,731
US Bancorp. 86 2,497
Wells Fargo & Co. 24 1,447
7,675
Beverages - 0.5%
Coca-Cola Co. 23 977
Biotechnology - 0.6%
Amgen Inc. (b) 20 1,179
Building Materials - 1.7%
Masco Corp. 68 2,163
Vulcan Materials Co. 15 975
3,138
Chemicals - 0.9%
Dow Chemical Co. 21 940
PPG Industries Inc. 12 759
1,699
Commercial Services - 2.0%
Cendant Corp. 122 2,727
R.R. Donnelley & Sons Co. 30 1,046
3,773
Computers - 4.6%
Dell Inc. (b) 31 1,229
Hewlett-Packard Co. 130 3,045
International Business Machines Corp. 59 4,400
8,674
Cosmetics & Personal Care - 1.1%
Estee Lauder Cos. Inc. 27 1,045
Proctor & Gamble Co. 18 965
2,010
Diversified Financial Services - 14.1%
Capital One Financial Corp. 22 1,760
Citigroup Inc. 155 7,152
Countrywide Financial Corp. 61 2,347
Fannie Mae 60 3,486
Freddie Mac 52 3,372
Goldman Sachs Group Inc. 8 796
JPMorgan Chase & Co. 89 3,147
Lehman Brothers Holdings Inc. 21 2,095
Merrill Lynch & Co. Inc. (l) 26 1,430
Providian Financial Corp. (b) 66 1,155
26,740
Electric - 3.2%
Alliant Energy Corp. 30 853
American Electric Power Co. Inc. 16 601
Constellation Energy Group Inc. 18 1,033
PG&E Corp. 59 2,207
PPL Corp. 24 1,413
6,107
Food - 1.6%
General Mills Inc. 23 1,090
Pilgrims Pride Corp. - Class B (b) 25 846
Supervalu Inc. 36 1,164
3,100
Forest Products & Paper - 0.9%
Weyerhaeuser Co. 27 1,731
Gas - 0.9%
Sempra Energy 40 1,632
Healthcare - 4.8%
Becton Dickinson & Co. 23 1,207
Boston Scientific Corp. (b) 70 1,877
Johnson & Johnson 68 4,414
Medtronic Inc. 33 1,704
9,202
Home Builders - 0.9%
Lennar Corp. 13 799
NVR Inc. (b) (l) 1 972
1,771
Home Furnishings - 0.6%
Whirlpool Corp. 17 1,192
Insurance - 7.7%
ACE Ltd. 60 2,695
Chubb Corp. 26 2,243
Cigna Corp. (l) 15 1,573
Hartford Financial Services Group Inc. 25 1,877
MetLife Inc. 38 1,694
St. Paul Travelers Cos. Inc. 22 866
WR Berkley Corp. 59 2,093
XL Capital Ltd. - Class A 21 1,585
14,626
Investment Companies - 0.3%
S & P 500 Depository Receipt 5 572
Iron & Steel - 0.4%
United States Steel Corp (l) 23 784
Leisure Time - 1.5%
Brunswick Corp. (l) 39 1,668
Royal Caribbean Cruises Ltd. 24 1,175
2,843
Machinery - 0.4%
Cummins Inc. (l) 9 679
Manufacturing - 4.0%
General Electric Corp. 74 2,561
Ingersoll-Rand Co. - Class A 15 1,035
Parker Hannifin Corp. 26 1,618
Tyco International Ltd. 84 2,464
7,678
Media - 2.0%
Comcast Corp. - Class A (b) 32 995
McGraw-Hill Cos. Inc. 23 1,009
Time Warner Inc. (b) 32 541
Viacom Inc. - Class B 18 570
Walt Disney Co. 28 695
3,810
Mining - 0.4%
Alcoa Inc. 26 682
Office & Business Equipment - 0.9%
Xerox Corp. (b) (l) 124 1,709
Oil & Gas Producers - 10.7%
Amerada Hess Corp. 22 2,333
Chevron Corp. 107 5,972
Exxon Mobil Corp. 147 8,437
Marathon Oil Corp. 52 2,770
Sunoco Inc. 7 784
20,296
Oil & Gas Services - 0.3%
Cooper Cameron Corp. (b) 9 552
Packaging & Containers - 0.7%
Ball Corp. 36 1,291
Pharmaceuticals - 6.5%
AmerisourceBergen Corp. 25 1,756
Barr Laboratories Inc. 13 653
Cardinal Bergen Health Inc. 39 2,223
Eli Lilly & Co. 11 607
Pfizer Inc. 225 6,208
Wyeth 23 1,001
12,448
Retail - 4.4%
Best Buy Co. Inc. 16 1,069
Gap Inc. 39 774
Lowe's Cos. Inc. 32 1,851
McDonald's Corp. 90 2,498
Office Depot Inc. 46 1,055
Rite Aid Corp. (b) (l) 272 1,139
8,386
Semiconductors - 2.5%
Intel Corp. 181 4,709
Software - 2.4%
Fiserv Inc. (b) 23 1,001
Microsoft Corp. 80 1,977
Oracle Corp. (b) 123 1,629
4,607
Telecommunications - 2.6%
Verizon Communications 141 4,882
Telecommunications Equipment - 1.2%
Cisco Systems Inc. (b) 122 2,337
Tobacco - 3.3%
Altria Group Inc. 96 6,181
Transportation - 1.0%
Norfolk Southern Corp. 30 938
Yellow Roadway Corp. (b) 19 965
1,903
Wireless Telecommunications - 1.4%
Motorola Inc. 145 2,650
Total Common Stocks (cost $172,147) 188,491
Short Term Investments - 5.8%
Repurchase Agreement - 0.7%
Repurchase Agreement with Bank of America Securities,
3.35%, (Collateralized by $1,360 Federal National Mortgage
Association Discount Note, 0.00%, due 07/12/05, market value
$1,359) acquired on 06/30/05, due 07/01/05 at $1,329 $ 1,329 1,329
Securities Lending Collateral - 5.1%
Mellon GSL Delaware Business Trust Collateral Fund 9,774 9,774
Total Short Term Investments (cost $11,103) 11,103
Total Investments - 105.0% (cost $183,250) 199,594
Other Assets and Liabilities, Net - (5.0%) (9,468)
Total Net Assets - 100% $190,126
JNL/S&P Managed Aggressive Growth Fund
Mutual Funds - 100.0%
Equity Funds - 99.2%
JNL/AIM Large Cap Growth Fund (n) 6,143 $71,018
JNL/AIM Real Estate Fund (n) 1,416 15,265
JNL/Alger Growth Fund (n) 2,053 32,230
JNL/Eagle Smallcap Equity Fund (n) 1,348 26,462
JNL/Eagle Core Equity Fund (n) 3,320 48,475
JNL/FMR Capital Growth Fund (n) 1,749 26,525
JNL/Franklin Templeton Small Cap Value Fund (n) 1,898 19,929
JNL/Goldman Sachs Mid Cap Value Fund (n) 1,933 20,756
JNL/JPMorgan International Equity Fund (n) 1,827 19,681
JNL/JPMorgan International Value Fund (n) 3,753 34,676
JNL/Lazard Mid Cap Value Fund (n) 780 11,640
JNL/Lazard Small Cap Value Fund (n) 1,193 16,494
JNL/Oppenheimer Global Growth Fund (n) 3,275 38,874
JNL/Putnam Equity Fund (n) 526 9,887
JNL/Select Global Growth Fund (n) 1,482 26,660
JNL/Select Large Cap Growth Fund (n) 514 9,965
JNL/Select Value Fund (n) 2,124 36,018
JNL/T.Rowe Price Established Growth Fund (n) 4,125 74,713
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,375 38,846
JNL/T.Rowe Price Value Fund (n) 4,638 63,261
641,375
Money Market Fund - 0.8%
JNL/Select Money Market Fund (n) 5,076 5,076
Total Mutual Funds (cost $584,837) 646,451
Total Investments - 100.0% (cost $584,837) 646,451
Other Assets and Liabilities, Net - 0.0% (194)
Total Net Assets - 100% $646,257
JNL/S&P Managed Conservative Fund
Mutual Funds - 98.8%
Equity Funds - 30.0%
JNL/AIM Large Cap Growth Fund (n) 263 $3,035
JNL/AIM Real Estate Fund (n) 139 1,498
JNL/Eagle Core Equity Fund (n) 125 1,822
JNL/Putnam Equity Fund (n) 78 1,475
JNL/Select Value Fund (n) 154 2,609
JNL/T.Rowe Price Established Growth Fund (n) 152 2,750
JNL/T.Rowe Price Value Fund (n) 189 2,576
15,765
Fixed Income Funds - 49.4%
JNL/PIMCO Total Return Bond Fund (n) 1,058 13,007
JNL/Salomon Brothers High Yield Bond Fund (n) 302 2,579
JNL/Salomon Brothers Strategic Bond Fund (n) 666 7,802
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (n) 224 2,603
25,991
Money Market Fund - 19.4%
JNL/Select Money Market Fund (n) 10,171 10,171
Total Mutual Funds (cost $51,214) 51,927
Total Investments - 98.8% (cost $51,214) 51,927
Other Assets and Liabilities, Net - 1.2% 625
Total Net Assets - 100% $52,552
JNL/S&P Managed Growth Fund
Mutual Funds - 100.0%
Equity Funds - 88.2%
JNL/AIM Large Cap Growth Fund (n) 8,265 $95,541
JNL/AIM Real Estate Fund (n) 1,474 15,891
JNL/Alger Growth Fund (n) 2,163 33,959
JNL/Eagle Smallcap Equity Fund (n) 1,616 31,723
JNL/Eagle Core Equity Fund (n) 5,195 75,849
JNL/FMR Capital Growth Fund (n) 1,979 30,017
JNL/Franklin Templeton Small Cap Value Fund (n) 1,984 20,835
JNL/Goldman Sachs Mid Cap Value Fund (n) 1,984 21,312
JNL/JPMorgan International Equity Fund (n) 2,799 30,147
JNL/JPMorgan International Value Fund (n) 3,297 30,465
JNL/Lazard Mid Cap Value Fund (n) 829 12,372
JNL/Lazard Small Cap Value Fund (n) 1,656 22,902
JNL/Oppenheimer Global Growth Fund (n) 5,156 61,203
JNL/Putnam Equity Fund (n) 552 10,383
JNL/Select Global Growth Fund (n) 1,672 30,074
JNL/Select Large Cap Growth Fund (n) 931 18,060
JNL/Select Value Fund (n) 3,475 58,937
JNL/T.Rowe Price Established Growth Fund (n) 6,683 121,022
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 2,223 62,824
JNL/T.Rowe Price Value Fund (n) 7,236 98,697
882,213
Fixed Income Funds - 10.2%
JNL/PIMCO Total Return Bond Fund (n) 4,128 50,736
JNL/Salomon Brothers Strategic Bond Fund (n) 4,384 51,339
102,075
Money Market Fund - 1.6%
JNL/Select Money Market Fund (n) 16,347 16,347
Total Mutual Funds (cost $920,504) 1,000,635
Total Investments - 100.0% (cost $920,504) 1,000,635
Other Assets and Liabilities, Net - 0.0% (407)
Total Net Assets - 100% $1,000,228
JNL/S&P Managed Moderate Fund
Mutual Funds - 99.2%
Equity Funds - 49.2%
JNL/AIM Large Cap Growth Fund (n) 473 $5,462
JNL/AIM Real Estate Fund (n) 227 2,452
JNL/Eagle Core Equity Fund (n) 238 3,473
JNL/FMR Capital Growth Fund (n) 165 2,506
JNL/Franklin Templeton Small Cap Value Fund (n) 112 1,180
JNL/Goldman Sachs Mid Cap Value Fund (n) 60 644
JNL/JPMorgan International Equity Fund (n) 144 1,551
JNL/JPMorgan International Value Fund (n) 169 1,566
JNL/Lazard Small Cap Value Fund (n) 43 599
JNL/Oppenheimer Global Growth Fund (n) 83 990
JNL/Putnam Equity Fund (n) 100 1,888
JNL/Select Value Fund (n) 246 4,167
JNL/T.Rowe Price Established Growth Fund (n) 324 5,876
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 90 2,555
JNL/T.Rowe Price Value Fund (n) 465 6,345
41,254
Fixed Income Funds - 34.7%
JNL/PIMCO Total Return Bond Fund (n) 1,017 12,503
JNL/Salomon Brothers High Yield Bond Fund (n) 485 4,138
JNL/Salomon Brothers Strategic Bond Fund (n) 711 8,331
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (n) 358 4,169
29,141
Money Market Fund - 15.3%
JNL/Select Money Market Fund (n) 12,837 12,837
Total Mutual Funds (cost $81,961) 83,232
Total Investments - 99.2% (cost $81,961) 83,232
Other Assets and Liabilities, Net - 0.8% 683
Total Net Assets - 100% $83,915
JNL/S&P Managed Moderate Growth Fund
Mutual Funds - 99.9%
Equity Funds - 70.2%
JNL/AIM Large Cap Growth Fund (n) 6,381 $73,764
JNL/AIM Real Estate Fund (n) 1,122 12,097
JNL/Alger Growth Fund (n) 710 11,154
JNL/Eagle Smallcap Equity Fund (n) 651 12,775
JNL/Eagle Core Equity Fund (n) 3,444 50,283
JNL/FMR Capital Growth Fund (n) 1,460 22,156
JNL/Franklin Templeton Small Cap Value Fund (n) 893 9,376
JNL/Goldman Sachs Mid Cap Value Fund (n) 800 8,592
JNL/JPMorgan International Equity Fund (n) 1,965 21,164
JNL/JPMorgan International Value Fund (n) 2,314 21,385
JNL/Lazard Mid Cap Value Fund (n) 489 7,308
JNL/Lazard Small Cap Value Fund (n) 543 7,503
JNL/Oppenheimer Global Growth Fund (n) 2,506 29,745
JNL/Putnam Equity Fund (n) 334 6,280
JNL/Select Value Fund (n) 2,141 36,303
JNL/T.Rowe Price Established Growth Fund (n) 4,134 74,866
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,320 37,308
JNL/T.Rowe Price Value Fund (n) 5,296 72,235
514,295
Fixed Income Funds - 23.4%
JNL/PIMCO Total Return Bond Fund (n) 6,571 80,758
JNL/Salomon Brothers High Yield Bond Fund (n) 2,426 20,690
JNL/Salomon Brothers Strategic Bond Fund (n) 4,235 49,591
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (n) 1,740 20,259
171,298
Money Market Fund - 6.4%
JNL/Select Money Market Fund (n) 46,972 46,972
Total Mutual Funds (cost $683,434) 732,565
Total Investments - 99.9% (cost $683,434) 732,565
Other Assets and Liabilities, Net - 0.1% 371
Total Net Assets - 100% $732,936
JNL/Salomon Brothers High Yield Bond Fund
Percentage of Total
Industry Sector Investments (o)
Communications 21.6%
Consumer, Cyclical 20.0%
Industrial 11.6%
Consumer, Non-cyclical 10.7%
Energy 10.1%
Basic Materials 9.9%
Financial 7.0%
Utilities 5.7%
Technology 3.4%
100.0%
Common Stocks - 0.4%
Beverages - 0.0%
Applied Extrusion Private Placement (b) (e) (l) 3 $60
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 -
Food - 0.0%
VFB LLC (b) 79 3
Home Furnishings - 0.0%
Mattress Disounter Restricted Equity Received AS (b) 1 -
Household Products - 0.0%
Continental AFA Dispensing Co. (b) 4 24
Machinery - 0.0%
Terex Corp. (b) - 10
Telecommunications - 0.3%
Manitoba Telecom Services Inc. (b) 1 20
NTL Inc. (b) 3 237
Telewest Global Inc. (b) (l) 10 225
482
Telecommunications Equipment - 0.0%
Liberty Global Inc. Class A (b) 2 99
Wireless Telecommunications - 0.1%
Spectrasite Inc. (b) 4 329
Total Common Stocks (cost $1,052) 1,007
Preferred Stocks - 0.1%
Wireless Telecommunications - 0.1%
Alamosa Holdings Inc., 7.50% (b) - 132
Total Preferred Stocks (cost $38) 132
Warrants - 0.0%
Retail - 0.0%
Mattress Discounters Corp., Strike Price $0.01,
Expiring 07/15/07 (e) - -
Telecommunications - 0.0%
Minorplanet Systems USA Inc., Strike Price $240.625,
Expiring 09/15/05 2 -
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 1 -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01,
Expiring 08/01/08 (e) - 10
Total Warrants (cost $7) 10
Corporate Bonds - 92.0%
Advertising - 1.5%
RH Donnelley Finance Corp. I
8.875%, 12/15/10 (e) $550 601
10.875%, 12/15/12 (e) 1,075 1,250
Sitel Corp., 9.25%, 03/15/06 135 133
Vertis Inc., 9.75%, 04/01/09 500 520
2,504
Aerospace & Defense - 1.6%
Alliant Techsystems Inc., 8.50%, 05/15/11 500 534
L-3 Communications Corp., 7.625%, 06/15/12 650 692
Moog Inc., 6.25%, 01/15/15 (l) 1,100 1,097
Sequa Corp.
8.875%, 04/01/08 196 212
9.00%, 08/01/09 75 83
Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 -
Titan Corp., 8.00%, 05/15/11 1,375 1,474
4,092
Agriculture - 0.2%
IMC Global Inc., 10.875%, 06/01/08 500 563
Airlines - 0.7%
Continental Airlines Inc.
7.25%, 11/01/05 25 24
8.00%, 12/15/05 (l) 950 950
6.541%, 09/15/08 22 20
United AirLines Inc., 6.201%, 09/01/08 (i) 968 921
1,915
Alternative Energy - 1.0%
NRG Energy Inc., 8.00%, 12/15/13 (e) 2,476 2,612
Apparel - 0.8%
Levi Strauss & Co.
7.73%, 04/01/12 225 213
12.25%, 12/15/12 230 251
9.75%, 01/15/15 975 968
Oxford Industries Inc., 8.875%, 06/01/11 550 588
2,020
Auto Manufacturers - 1.2%
Ford Motor Co.
6.625%, 10/01/28 200 157
7.45%, 07/16/31 (l) 3,050 2,546
General Motors Corp., 8.375%, 07/15/33 (l) 600 501
3,204
Auto Parts & Equipment - 1.3%
CSK Auto Inc., 7.00%, 01/15/14 925 883
Keystone Automotive Operations Inc., 9.75%, 11/01/13 50 50
TRW Automotive Inc.
9.375%, 02/15/13 491 544
11.00%, 02/15/13 (l) 1,650 1,897
3,374
Banks - 0.6%
Riddell Bell Holdings Inc., 8.375%, 10/01/12 1,450 1,454
Building Materials - 0.3%
Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 775 756
Brand Services Inc., 12.00%, 10/15/12 75 80
836
Chemicals - 6.7%
Borden Chemicals & Plastics, 9.50%, 05/01/10 (i) 85 1
Equistar Chemicals LP
10.125%, 09/01/08 1,000 1,083
10.625%, 05/01/11 2,075 2,290
FMC Corp.
10.25%, 11/01/09 500 563
7.75%, 07/01/11 75 83
Huntsman International LLC, 9.875%, 03/01/09 2,500 2,675
Innophos Inc., 8.875%, 08/15/14 (e) 1,125 1,148
ISP Chemco Inc., 10.25%, 07/01/11 100 109
JohnsonDiversey Holdings Inc.,
(Step-Up Bond), 10.67%, 05/15/13 (d) 2,000 1,423
Lyondell Chemical Co.
9.50%, 12/15/08 600 638
11.125%, 07/15/12 100 114
10.50%, 06/01/13 1,700 1,944
Millennium America Inc.
7.00%, 11/15/06 750 767
9.25%, 06/15/08 565 612
Nalco Co., 8.875%, 11/15/13 (l) 2,000 2,145
NewMarket Corp., 8.875%, 05/01/10 95 98
Rhodia SA
7.625%, 06/01/10 (l) 100 97
10.25%, 06/01/10 (l) 750 804
8.875%, 06/01/11 (l) 750 722
Union Carbide Chemical & Plastics Co. Inc.,
7.875%, 04/01/23 (l) 200 226
Union Carbide Corp., 6.70%, 04/01/09 (l) 100 104
Westlake Chemical Corp., 8.75%, 07/15/11 48 52
17,698
Commercial Services - 2.1%
Allied Waste North America
9.25%, 09/01/12 67 72
6.125%, 02/15/14 (l) 800 743
7.375%, 04/15/14 (l) 75 69
Cenveo Corp., 9.625%, 03/15/12 550 594
Imco Recycling Inc., 10.375%, 10/15/10 75 82
Iron Mountain Inc.
8.25%, 07/01/11 750 761
8.625%, 04/01/13 1,225 1,268
7.75%, 01/15/15 625 628
Resolution Performance Products LLC
9.50%, 04/15/10 350 361
13.50%, 11/15/10 975 1,048
5,626
Computers - 1.0%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 1,500 1,596
Unisys Corp.
8.125%, 06/01/06 (l) 630 644
6.875%, 03/15/10 (l) 525 516
2,756
Cosmetics & Personal Care - 0.7%
Del Monte Corp., 8.00%, 02/01/12 1,000 860
Jafra Cosmetics International Inc., 10.75%, 05/15/11 65 73
JohnsonDiversey Holdings Inc., 9.625%, 05/15/12 1,000 1,015
1,948
Diversified Financial Services - 4.1%
Airplane Pass-Thru Trust, 10.875%, 03/15/12 (i) 123 -
Alamosa Delaware Inc.
(Step-Up Bond), 12.00%, 07/31/09 (d) (l) 1,427 1,573
8.50%, 01/31/12 1,500 1,573
Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/10 115 -
Ford Motor Credit Co.
7.875%, 06/15/10 800 791
7.25%, 10/25/11 (l) 675 650
7.00%, 10/01/13 425 408
General Motors Acceptance Corp.
6.00%, 07/03/08 450 532
6.75%, 12/01/14 (l) 1,575 1,409
8.00%, 11/01/31 3,725 3,324
Orion Power Holdings Inc., 12.00%, 05/01/10 500 598
10,858
Electric - 2.8%
AES Corp.
8.75%, 06/15/08 (l) 50 54
9.50%, 06/01/09 (l) 2,700 3,011
9.375%, 09/15/10 50 57
8.875%, 02/15/11 25 28
Allegheny Energy Supply Statutory Trust,
10.25%, 11/15/07 (e) 75 83
Calpine Corp., 8.75%, 07/15/07 25 20
Edison Mission Energy
7.73%, 06/15/09 125 132
9.875%, 04/15/11 250 293
Homer City Funding LLC, 8.734%, 10/01/26 99 116
Midwest Generation LLC, 8.56%, 01/02/16 350 386
Mirant Americas Generation LLC
7.625%, 05/01/06 (i) 50 57
9.125%, 05/01/31 (i) 100 107
Reliant Energy Inc., 9.50%, 07/15/13 2,650 2,941
7,285
Electrical Components & Equipment - 0.3%
Edison Mission Energy, 10.00%, 08/15/08 200 225
Mission Energy Holding Co., 13.50%, 07/15/08 300 356
Motors and Gears Inc., 10.75%, 11/15/06 100 91
672
Electronics - 1.0%
Amkor Technology Inc., 9.25%, 02/15/08 (l) 1,000 960
L-3 Communications Corp., 6.125%, 07/15/13 1,000 1,005
Scientific Games Corp., 6.25%, 12/15/12 (e) 700 707
2,672
Engineering & Construction - 0.7%
Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,255
Terex Corp., 7.375%, 01/15/14 625 647
1,902
Entertainment - 4.8%
Argosy Gaming Co.
9.00%, 09/01/11 1,000 1,094
7.00%, 01/15/14 50 55
Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,069
Herbst Gaming Inc., 8.125%, 06/01/12 1,400 1,484
Houghton Mifflin Co.
8.25%, 02/01/11 270 280
9.875%, 02/01/13 (l) 1,340 1,430
Isle of Capri Casinos Inc., 7.00%, 03/01/14 1,300 1,307
Kerzner International Ltd., 8.875%, 08/15/11 275 294
Lodgenet Entertainment Corp., 9.50%, 06/15/13 75 82
MGM Mirage Inc., 8.50%, 09/15/10 500 555
Pinnacle Entertainment Inc.
8.25%, 03/15/12 1,500 1,560
8.75%, 10/01/13 75 80
Six Flags Inc.
8.875%, 02/01/10 (l) 200 195
9.75%, 04/15/13 (l) 800 755
9.625%, 06/01/14 25 23
Station Casinos Inc., 6.50%, 02/01/14 (l) 1,000 1,020
Turning Stone Casino Resort Enterprise,
9.125%, 12/15/10 (e) 1,250 1,321
12,604
Environmental Control - 0.6%
Allied Waste North America, 7.875%, 04/15/13 1,500 1,533
Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 1
1,534
Food - 1.4%
Del Monte Corp., 8.625%, 12/15/12 2,000 2,200
Doane Pet Care Co., 10.75%, 03/01/10 100 106
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (l) 1,500 1,342
3,648
Forest Products & Paper - 2.0%
Abitibi-Consolidated Inc., 8.55%, 08/01/10 1,150 1,199
Appleton Papers Inc., 8.125%, 06/15/11 1,000 975
Buckeye Technologies Inc., 8.00%, 10/15/10 (l) 25 24
Cenveo Corp., 7.875%, 12/01/13 (l) 825 784
Newark Group Inc., 9.75%, 03/15/14 700 644
Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,521
Smurfit-Stone Container Enterprises Inc.,
9.75%, 02/01/11 125 132
5,279
Healthcare - 6.6%
Ameripath Inc., 10.50%, 04/01/13 75 76
Community Health Systems Inc., 6.50%, 12/15/12 700 712
Extendicare Health Services Inc., 9.50%, 07/01/10 75 81
HCA Inc.
6.25%, 02/15/13 1,700 1,738
7.69%, 06/15/25 1,350 1,446
Host Marriott LP, 7.125%, 11/01/13 (l) 2,075 2,163
IASIS Healthcare LLC, 8.75%, 06/15/14 (l) 2,300 2,496
Insight Health Services Corp., 9.875%, 11/01/11 50 39
National Mentor Inc., 9.625%, 12/01/12 (e) 1,250 1,316
Psychiatric Solutions Inc., 10.625%, 06/15/13 800 888
Tenet Healthcare Corp.
6.50%, 06/01/12 (l) 1,300 1,235
7.375%, 02/01/13 (l) 175 173
9.875%, 07/01/14 900 965
Triad Hospitals Inc., 7.00%, 11/15/13 (l) 1,600 1,644
Vanguard Health Systems Inc., 9.00%, 10/01/14 1,150 1,242
Warner Chilcott Corp., 8.75%, 02/01/15 (e) 1,300 1,264
17,478
Holding Companies - Diversified - 1.8%
Applied Extrusion Technologies Inc.,
12.00%, 03/15/12 (e) (l) 27 27
Crystal US Holdings 3 LLC, 9.625%, 06/15/14 1,170 1,310
DRS Technologies Inc., 6.875%, 11/01/13 1,150 1,190
KI Holdings, (Step-Up Bond), 9.875%, 11/15/14 (d) 2,150 1,247
United Agri Products, 8.25%, 12/15/11 1,040 1,076
4,850
Home Builders - 1.1%
Associated Materials Inc.,
(Step-Up Bond), 11.25%, 03/01/14 (d) 2,025 1,286
Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,083
Toll Corp., 8.25%, 02/01/11 500 530
2,899
Home Furnishings - 0.7%
Sealy Mattress Co., 8.25%, 06/15/14 (l) 1,300 1,313
Simmons Bedding Co.,
(Step-Up Bond), 10.00%, 12/15/14 (d) (e) (l) 1,350 608
1,921
Household Products - 0.0%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 -
Resolution Performance Products LLC, 8.00%, 12/15/09 100 104
104
Internet - 0.6%
FTD Inc., 7.75%, 02/15/14 1,531 1,500
Investment Companies - 0.2%
Global Cash Access LLC, 8.75%, 03/15/12 500 544
Iron & Steel - 0.0%
AK Steel Corp., 7.875%, 02/15/09 (l) 75 68
Leisure Time - 0.8%
AMF Bowling Worldwide Inc., 10.00%, 03/01/10 100 101
Cinemark USA Inc., 9.00%, 02/01/13 1,000 1,028
Icon Health & Fitness, 11.25%, 04/01/12 (l) 750 574
Mandalay Resort Group, 6.375%, 12/15/11 500 507
2,210
Lodging - 3.6%
Caesars Entertainment Inc.
8.875%, 09/15/08 1,100 1,228
8.125%, 05/15/11 (l) 1,000 1,150
Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,160
Host Marriott LP, 6.375%, 03/15/15 (e) 75 74
John Q Hamons Hotels, 8.875%, 05/15/12 100 109
Las Vegas Sands Corp., 6.375%, 02/15/15 (e) (l) 1,125 1,100
Mandalay Resort Group, 10.25%, 08/01/07 750 825
MeriStar Hospitality Finance Corp., 10.50%, 06/15/09 (l) 50 54
MGM Mirage Inc., 9.75%, 06/01/07 2,000 2,168
Starwood Hotels & Resorts Worldwide Inc.,
7.875%, 05/01/12 1,500 1,690
9,558
Machinery - 0.4%
Case Credit Corp., 6.75%, 10/21/07 250 244
Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 250 260
NMHG Holding Co., 10.00%, 05/15/09 75 79
Terex Corp., 10.375%, 04/01/11 500 542
1,125
Manufacturing - 0.6%
Blount Inc., 8.875%, 08/01/12 650 696
Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 48
Park-Ohio Industries Inc., 8.375%, 11/15/14 (e) 725 647
Sensus Metering Systems Inc., 8.625%, 12/15/13 75 70
Tekni-Plex Inc., 12.75%, 06/15/10 (l) 100 68
1,529
Media - 6.7%
Charter Communications Holdings LLC
8.625%, 04/01/09 (l) 1,850 1,374
10.00%, 04/01/09 2,000 1,545
10.00%, 05/15/11 350 256
8.00%, 04/30/12 (e) 1,000 995
CSC Holdings Inc.
7.625%, 04/01/11 2,500 2,469
10.50%, 05/15/16 (l) 125 134
7.875%, 02/15/18 1,000 985
Dex Media East LLC, 12.125%, 11/15/12 1,494 1,789
Dex Media Inc.
9.875%, 08/15/13 1,074 1,224
(Step-Up Bond), 9.00%, 11/15/13 (d) 200 161
DirecTV Holdings LLC, 6.375%, 06/15/15 (e) 425 423
EchoStar DBS Corp., 6.375%, 10/01/11 2,000 1,983
Mediacom Broadband LLC, 11.00%, 07/15/13 50 54
Mediacom LLC/Mediacom Capital Corp.,
9.50%, 01/15/13 (l) 1,982 1,977
Muzak Finance Corp., 10.00%, 02/15/09 50 42
Nextmedia Operating Inc., 10.75%, 07/01/11 125 136
Radio One Inc., 8.875%, 07/01/11 25 27
Rogers Cable Inc., 8.75%, 05/01/32 25 28
Sinclair Broadcast Group, 8.00%, 03/15/12 575 589
Yell Finance BV, (Step-Up Bond), 13.50%,
08/01/11 (d) (l) 33 33
Young Broadcasting Inc., 10.00%, 03/01/11 (l) 1,425 1,353
17,577
Metal Fabrication & Hardware - 1.1%
Mueller Group Inc., 10.00%, 05/01/12 90 95
Mueller Holdings Inc.,
(Step-Up Bond), 14.75%, 04/15/14 (d) 2,000 1,460
Wolverine Tube Inc., 10.50%, 04/01/09 (l) 1,300 1,235
2,790
Mining - 0.3%
Compass Minerals Group Inc., 10.00%, 08/15/11 75 82
Peabody Energy Corp., 6.875%, 03/15/13 750 795
877
Office & Business Equipment - 1.4%
General Binding Corp., 9.375%, 06/01/08 2,000 2,020
Xerox Corp.
9.75%, 01/15/09 (g) 1,000 1,136
7.625%, 06/15/13 500 538
3,694
Oil & Gas Producers - 5.3%
Calpine Corp.
8.50%, 07/15/10 (e) (l) 3,600 2,772
8.75%, 07/15/13 (e) 40 30
Chesapeake Energy Corp.
7.00%, 08/15/14 (l) 500 530
6.625%, 01/15/16 (e) 200 207
Dynegy Holdings Inc., 10.125%, 07/15/13 1,500 1,695
Exco Resources Inc., 7.25%, 01/15/11 1,275 1,275
Kerr-McGee Corp., 7.00%, 11/01/11 1,375 1,372
Magnum Hunter Resources Inc., 9.60%, 03/15/12 81 90
Pioneer Natural Resources Co., 5.875%, 07/15/16 1,000 1,008
Pride International Inc., 7.375%, 07/15/14 (l) 2,000 2,195
Stone Energy Corp., 8.25%, 12/15/11 635 665
Universal Compression Inc., 7.25%, 05/15/10 200 209
Vintage Petroleum Inc.
7.875%, 05/15/11 (l) 850 897
8.25%, 05/01/12 500 542
Williams Cos. Inc., 8.125%, 03/15/12 (l) 500 567
14,054
Oil & Gas Services - 0.2%
Key Energy Services Inc., 6.375%, 05/01/13 500 503
Packaging & Containers - 3.6%
Anchor Glass Container Corp., 11.00%, 02/15/13 1,150 897
Berry Plastics Corp., 10.75%, 07/15/12 1,425 1,555
Graphic Packaging International Corp., 9.50%,
08/15/13 (l) 2,250 2,267
Jefferson Smurfit Corp., 8.25%, 10/01/12 1,000 1,005
Owens-Brockway, 8.875%, 02/15/09 1,000 1,063
Owens-Illinois Inc., 8.10%, 05/15/07 1,000 1,040
Plastipak Holdings Inc., 10.75%, 09/01/11 100 110
Pliant Corp.
11.125%, 09/01/09 (l) 175 171
13.00%, 06/01/10 (l) 400 324
Radnor Holdings Corp., 11.00%, 03/15/10 (l) 100 68
Smurfit-Stone Container Enterprises Inc.,
8.375%, 07/01/12 1,000 1,010
9,510
Pharmaceuticals - 0.0%
aaiPharma Inc., 11.50%, 04/01/10 (i) (l) 75 39
Qwest Services Corp., 14.00%, 12/15/14 50 61
100
Pipelines - 4.6%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 550 608
6.875%, 04/01/11 (l) 2,100 2,074
7.125%, 05/15/18 25 24
7.625%, 10/15/26 125 119
El Paso Corp.
7.875%, 06/15/12 (l) 2,000 2,060
7.75%, 01/15/32 (l) 1,850 1,804
El Paso Production Holding Co., 7.75%, 06/01/13 1,000 1,068
Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,785
Williams Cos. Inc.
7.125%, 09/01/11 1,000 1,080
7.625%, 07/15/19 50 56
7.875%, 09/01/21 200 228
8.75%, 03/15/32 1,000 1,200
12,106
Real Estate - 1.4%
Choctaw Resort Development Enterprise,
7.25%, 11/15/19 (e) 975 973
MeriStar Hospitality Corp., 9.125%, 01/15/11 (l) 1,100 1,155
Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,653
3,781
Retail - 2.3%
Buffets Inc., 11.25%, 07/15/10 75 76
Carrols Corp., 9.00%, 01/15/13 (e) 700 709
Finlay Fine Jewelry Corp., 8.375%, 06/01/12 525 473
General Nutrition Centers Inc., 8.50%, 12/01/10 1,350 1,080
Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 113
J.C. Penney Co. Inc.
7.125%, 11/15/23 500 543
7.40%, 04/01/37 1,000 1,080
Rite Aid Corp.
11.25%, 07/01/08 75 79
7.50%, 01/15/15 950 912
Saks Inc.
7.50%, 12/01/10 630 630
7.00%, 12/01/13 294 294
7.375%, 02/15/19 75 74
6,063
Semiconductors - 0.3%
Amkor Technology Inc., 7.75%, 05/15/13 (l) 1,000 860
Telecommunications - 8.2%
AT&T Corp., 9.75%, 11/15/31 (g) 1,175 1,529
Charter Communications Holdings LLC
10.75%, 10/01/09 75 58
10.25%, 09/15/10 1,000 1,011
DirecTV Holdings LLC, 8.375%, 03/15/13 1,365 1,512
Emmis Communications, 9.30%, 06/15/12 (e) 600 611
Insight Midwest LP
9.75%, 10/01/09 (l) 575 596
10.50%, 11/01/10 525 557
Intelsat Bermuda Ltd., 7.81%, 01/15/12 (e) 475 483
MCI Inc., 8.735%, 05/01/14 1,150 1,289
Nextel Communications Inc., 7.375%, 08/01/15 2,550 2,754
NTL Cable Plc, 8.75%, 04/15/14 (l) 600 625
Qwest Corp., 5.625%, 11/15/08 (l) 1,500 1,474
Qwest Services Corp., 13.50%, 12/15/10 2,725 3,147
Rogers Cable Inc., 6.25%, 06/15/13 (l) 1,000 998
SBA Telecommunications Inc.,
(Step-Up Bond), 9.75%, 12/15/11 (d) 3,300 3,036
UbiquiTel Operating Co., 9.875%, 03/01/11 1,425 1,564
Zeus Special Subsidiary Ltd.,
(Step-Up Bond), 9.25%, 02/01/15 (d) (e) (l) 675 451
21,695
Telecommunications Equipment - 0.0%
Spectrasite Inc., 8.25%, 05/15/10 (l) 50 53
Transportation - 0.0%
Holt Group Inc., 9.75%, 01/15/06 (i) 125 -
Venture Capital - 0.0%
JSG Funding Plc, 9.625%, 10/01/12 75 75
Water - 0.4%
National Waterworks Inc., 10.50%, 12/01/12 1,000 1,125
Wireless Telecommunications - 2.4%
American Tower Corp.
9.375%, 02/01/09 28 29
7.50%, 05/01/12 (l) 2,750 2,936
Lucent Technologies Inc., 6.45%, 03/15/29 (l) 3,675 3,289
6,254
Total Corporate Bonds (cost $238,638) 241,958
Short Term Investments - 28.3%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1
Repurchase Agreement - 6.3%
Repurchase Agreement with Bank of America Securities, 3.34%,
(Collateralized by $16,330 Federal Home Loan Mortgage Corporation, 4.30%,
due 05/05/08, market value $16,820)
acquired on 06/30/05 due 07/01/05 at $16,480 $16,480 16,480
Securities Lending Collateral - 22.0%
Mellon GSL Delaware Business Trust Collateral Fund 57,873 57,873
Total Short Term Investments (cost $74,354) 74,354
Total Investments - 120.7% (cost $314,089) 317,462
Other Assets and Liabilities, Net - (20.7%) (54,445)
Total Net Assets - 100% $263,017
JNL/Salomon Brothers Strategic Bond Fund
Percentage of Total
Industry Sector Investments (o)
Mortgage Securities 32.3%
Government 25.4%
Financial 14.3%
Consumer, Non-cyclical 6.2%
Communications 5.3%
Consumer, Cyclical 4.4%
Asset Backed Securities 3.3%
Industrial 2.4%
Energy 2.0%
Utilities 2.0%
Basic Materials 1.9%
Diversified 0.3%
Technology 0.2%
100.0%
Common Stocks - 0.6%
Beverages - 0.0%
Applied Extrusion Private Placement (b) (e) (l) 2 $40
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 -
Food - 0.0%
VFB LLC (b) 79 3
Household Products - 0.0%
Continental AFA Dispensing Co. (b) 9 47
Telecommunications - 0.3%
NTL Inc. (b) 8 575
Telewest Global Inc. (b) 12 271
846
Telecommunications Equipment - 0.1%
Liberty Global Inc. Class A (b) 6 289
Wireless Telecommunications - 0.2%
Spectrasite Inc. (b) 6 445
Total Common Stocks (cost $1,327) 1,670
Preferred Stocks - 0.1%
Holding Companies - Diversified - 0.0%
TCR Holding Corp. - Class B (b) - -
TCR Holding Corp. - Class C (b) - -
TCR Holding Corp. - Class D (b) 1 -
TCR Holding Corp. - Class E (b) 1 -
-
Wireless Telecommunications - 0.1%
Alamosa Holdings Inc., 7.50% - 325
Total Preferred Stocks (cost $99) 325
Rights - 0.0%
Sovereign - 0.0%
Venezuela Par Rights, No Strike Price, 04/15/20 4 83
Total Rights (cost $0) 83
Warrants - 0.0%
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 - -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01,
Expiring 08/01/08 (e) - 43
Total Warrants (cost $9) 43
Corporate Bonds - 31.1%
Advertising - 0.3%
Advanstar Communications Inc., 10.75%, 08/15/10 $175 191
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%, 03/15/06 135 134
Vertis Inc., 9.75%, 04/01/09 (l) 175 182
793
Aerospace & Defense - 0.4%
Alliant Techsystems Inc., 8.50%, 05/15/11 125 133
Argo-Tech Corp., 9.25%, 06/01/11 175 190
L-3 Communications Corp., 7.625%, 06/15/12 200 213
Moog Inc., 6.25%, 01/15/15 (l) 150 150
Sequa Corp.
8.875%, 04/01/08 250 270
9.00%, 08/01/09 125 138
1,094
Agriculture - 0.1%
Hines Nurseries Inc., 10.25%, 10/01/11 200 206
Airlines - 0.1%
Continental Airlines Inc.
7.25%, 11/01/05 100 97
6.541%, 09/15/08 58 52
149
Alternative Energy - 0.2%
NRG Energy Inc., 8.00%, 12/15/13 (e) 421 444
Apparel - 0.1%
Levi Strauss & Co.
7.73%, 04/01/12 50 47
12.25%, 12/15/12 125 137
9.75%, 01/15/15 (l) 75 74
258
Asset Backed Securities - 3.6%
Amortizing Residential Collateral Trust,
4.514%, 08/25/32 (f) (g) 750 756
Argent NIM Trust, 4.70%, 07/25/34 (e) 248 248
Asset Backed Securities Corp. Home Equity Loan,
5.288%, 04/15/33 (f) (g) 500 505
Bayview Financial Acquisition Trust,
4.564%, 08/25/36 (e) (f) (g) 1,000 998
Bear Stearns Adjustable Rate Mortgage Trust
5.00%, 05/25/34 (e) 164 163
5.25%, 08/25/34 (e) 235 234
Commercial Mortgage Acceptance Corp.
4.3881%, 11/15/15 (e) (g) 320 321
7.35%, 01/17/32 (f) 400 473
Countrywide Home Loan Servicing LP
4.564%, 06/25/34 (f) 640 650
5.50%, 10/25/35 (e) 233 232
First Consumers Master Trust, 2.7125%, 09/15/08 (g) 400 397
Green Tree Financial Corp., 7.07%, 01/15/29 (f) 751 794
Merit Securities Corp., 4.82%, 09/28/32 (e) (f) (g) 1,100 1,090
Mid-State Trust, 7.34%, 07/01/35 (f) 401 429
Novastar Home Equity Loan
4.939%, 02/25/34 220 225
4.289%, 06/25/34 (f) 450 451
6.30%, 10/25/35 (f) 480 478
Option One Mortgage Loan Trust, 6.80%, 05/25/34 (g) 380 367
Residential Asset Securitization Trust, 4.41%,
04/25/32 (g) 166 167
Sail Net Interest Margin Notes
6.75%, 11/27/33 (e) 29 29
5.50%, 03/27/34 (e) (f) 300 300
5.00%, 04/27/34 (e) 198 198
5.00%, 12/27/34 (e) 302 302
4.75%, 01/27/35 (e) 249 249
7.50%, 01/27/35 (e) 166 163
10,219
Auto Manufacturers - 0.5%
DaimlerChrysler NA Holdings Inc., 4.05%, 06/04/08 (f) 925 911
Ford Motor Co.
7.45%, 6.625%, 10/01/28 100 78
07/16/31 (l) 600 501
1,490
Auto Parts & Equipment - 0.2%
CSK Auto Inc., 7.00%, 01/15/14 225 215
Tenneco Automotive Inc., 10.25%, 07/15/13 100 113
TRW Automotive Inc., 9.375%, 02/15/13 179 198
526
Banks - 2.6%
Bank of America Corp., 7.40%, 01/15/11 (f) 1,375 1,574
Borden US Finance Corp., 9.00%, 07/15/14 (e) (l) 75 76
Capital One Bank, 4.875%, 05/15/08 (f) 800 812
Corporacion Andina de Fomento, 6.875%, 03/15/12 (f) 1,050 1,176
Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 1,475 1,423
Goodrich Corp., 7.50%, 04/15/08 375 404
Independence Community Bank Corp., 3.50%, 06/20/13 (f) 475 459
Riddell Bell Holdings Inc., 8.375%, 10/01/12 125 125
Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 955 1,301
7,350
Beverages - 0.1%
Constellation Brands Inc., 8.125%, 01/15/12 200 214
Building Materials - 0.1%
Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 75 73
Brand Services Inc., 12.00%, 10/15/12 100 107
Texas Industries Inc., 7.25%, 07/15/13 (e) 100 103
283
Chemicals - 0.9%
Borden Chemicals & Plastics, 9.50%, 05/01/10 (i) 140 2
Equistar Chemicals LP, 10.625%, 05/01/11 175 193
Huntsman International LLC
10.125%, 07/01/09 152 156
7.375%, 01/01/15 (e) 50 49
ISP Chemco Inc., 10.25%, 07/01/11 225 245
Lyondell Chemical Co., 11.125%, 07/15/12 225 255
Methanex Corp., 8.75%, 08/15/12 (l) 175 200
Millennium America Inc., 9.25%, 06/15/08 250 271
NewMarket Corp., 8.875%, 05/01/10 225 233
OM Group Inc., 9.25%, 12/15/11 175 175
Pq Corp., 7.50%, 02/15/13 (e) (f) 425 418
Rhodia SA, 7.625%, 06/01/10 (l) 225 217
Westlake Chemical Corp., 8.75%, 07/15/11 131 141
2,557
Commercial Services - 0.4%
Allied Waste North America
9.25%, 09/01/12 100 108
7.375%, 04/15/14 (l) 100 93
7.25%, 03/15/15 (e) 75 73
Cadmus Communications Corp., 8.375%, 06/15/14 175 180
Cenveo Corp., 9.625%, 03/15/12 75 81
Imco Recycling Inc., 10.375%, 10/15/10 150 165
Iron Mountain Inc., 7.75%, 01/15/15 350 352
Resolution Performance Products LLC
9.50%, 04/15/10 100 103
13.50%, 11/15/10 125 133
1,288
Computers - 0.0%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 133
Cosmetics & Personal Care - 0.1%
Del Monte Corp., 8.00%, 02/01/12 150 129
Jafra Cosmetics International Inc., 10.75%, 05/15/11 131 147
Playtex Products Inc., 9.375%, 06/01/11 100 105
381
Distribution & Wholesale - 0.0%
Buhrmann US Inc., 7.875%, 03/01/15 (e) 100 98
Diversified Financial Services - 4.0%
Airplane Pass-Thru Trust, 10.875%, 03/15/12 (i) 247 -
Alamosa Delaware Inc., 11.00%, 07/31/10 161 181
CanWest Media Inc., 8.00%, 09/15/12 (f) 279 294
CIT Group Inc., 7.75%, 04/02/12 (f) 1,150 1,349
CMO Holdings Ltd., 6.50%, 08/25/05 (e) 71 71
Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/10 230 -
Corrections Corp., 6.25%, 03/15/13 100 99
Credit Suisse First Boston Mortgage Securities,
4.53%, 09/25/31 (g) 108 108
Encana Holdings Financial Corp., 5.80%, 05/01/14 (f) 850 912
Ford Motor Credit Co., 7.875%, 06/15/10 (f) 825 815
General Motors Acceptance Corp.
7.25%, 03/02/11 25 23
6.875%, 09/15/11 (f) 1,025 946
6.75%, 12/01/14 (l) 465 416
8.00%, 11/01/31 75 67
HSBC Finance Corp., 5.25%, 04/15/15 (f) 975 1,001
Huntsman Advanced Materials LLC, 11.00%, 07/15/10 200 226
International Finance Corp., 4.375%, 11/01/09 325 326
JPMorgan Chase & Co., 6.625%, 03/15/12 (f) 700 779
MBNA Corp.
6.25%, 01/17/07 275 284
4.625%, 09/15/08 (f) 675 684
Merrill Lynch Mortgage Investors Inc.,
5.00%, 09/25/35 (e) (f) 616 611
Metris Master Trust, 4.34%, 11/20/09 (f) (g) 700 702
Morgan Stanley, 6.60%, 04/01/12 (f) 1,325 1,473
Sail Net Interest Margin Notes, 7.75%, 04/27/33 (e) 10 10
11,377
Electric - 1.6%
AES Corp.
9.375%, 09/15/10 125 142
8.875%, 02/15/11 50 56
7.75%, 03/01/14 (l) 200 217
Allegheny Energy Supply Statutory Trust,
10.25%, 11/15/07 (e) 250 275
Appalachian Power Co., 5.95%, 05/15/33 (f) 850 914
Calpine Generating Co. LLC, 12.39%, 04/01/11 (g) (l) 125 114
Duke Energy Corp., 4.20%, 10/01/08 (f) 800 797
Edison Mission Energy, 9.875%, 04/15/11 (f) 350 410
Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 627
Mirant Americas Generation LLC
8.30%, 05/01/11 (i) 300 344
9.125%, 05/01/31 (i) 250 271
Reliant Energy Inc., 9.50%, 07/15/13 (f) 375 416
Texas Genco LLC, 6.875%, 12/15/14 (e) 75 79
4,662
Electrical Components & Equipment - 0.1%
Amkor Technology Inc.
7.125%, 03/15/11 (l) 350 303
9.25%, 02/15/08 (l) 25 24
327
Engineering & Construction - 0.0%
Nortek Inc., 8.50%, 09/01/14 (e) 100 93
Terex Corp., 7.375%, 01/15/14 25 26
119
Entertainment - 1.0%
Boyd Gaming Corp., 8.75%, 04/15/12 (l) 225 244
Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 81
Cinemark Inc., (Step-Up Bond), 9.75%, 03/15/14 (d) 325 216
Herbst Gaming Inc., 8.125%, 06/01/12 175 186
Isle of Capri Casinos Inc., 7.00%, 03/01/14 250 251
Kerzner International Ltd., 8.875%, 08/15/11 150 161
LB Commercial Conduit Mortgage Trust, 9.00%, 08/01/14 (e)25 24
Lodgenet Entertainment Corp., 9.50%, 06/15/13 300 327
MGM Mirage Inc., 6.75%, 09/01/12 375 386
Mohegan Tribal Gaming Authority, 6.875%, 02/15/15 (e) 100 102
Penn National Gaming Inc., 6.75%, 03/01/15 (e) (l) 225 223
Pinnacle Entertainment Inc., 8.75%, 10/01/13 175 186
Six Flags Inc.
9.75%, 04/15/13 75 71
9.625%, 06/01/14 75 70
Station Casinos Inc., 6.875%, 03/01/16 175 180
Turning Stone Casino Resort Enterprise,
9.125%, 12/15/10 (e) 175 185
VICORP Restaurants Inc., 10.50%, 04/15/11 125 126
3,019
Environmental Control - 0.0%
Aleris Intl Inc., 9.00%, 11/15/14 25 26
Allied Waste North America, 8.50%, 12/01/08 100 104
Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 2
132
Food - 1.1%
Ahold Finance USA Inc., 7.82%, 01/02/20 47 50
Doane Pet Care Co., 10.75%, 03/01/10 25 26
Dole Food Co., 8.75%, 07/15/13 75 81
Friendly Ice Cream Corp., 8.375%, 06/15/12 (l) 100 97
Kraft Foods Inc., 5.625%, 11/01/11 (f) 1,400 1,485
Nutritional Sourcing Corp., 10.125%, 08/01/09 5 3
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 175 157
Safeway Inc., 7.25%, 02/01/31 (f) 850 984
Sbarro Inc., 11.00%, 09/15/09 (l) 175 176
Swift & Co., 10.125%, 10/01/09 100 109
3,168
Forest Products & Paper - 0.3%
Abitibi-Consolidated Inc., 8.55%, 08/01/10 125 130
Blue Ridge Paper Products Inc., 9.50%, 12/15/08 (l) 100 96
Bowater Canada Finance, 7.95%, 11/15/11 150 159
Buckeye Technologies Inc.
9.25%, 09/15/08 (e) (l) 145 145
8.00%, 10/15/10 75 72
Cenveo Corp., 7.875%, 12/01/13 (l) 150 143
Smurfit Capital Funding Plc, 7.50%, 11/20/25 225 211
956
Healthcare - 1.5%
Ameripath Inc., 10.50%, 04/01/13 (l) 225 228
DaVita Inc., 7.25%, 03/15/15 (e) (l) 100 103
Extendicare Health Services Inc.
9.50%, 07/01/10 150 162
6.875%, 05/01/14 25 25
Genesis Healthcare Corp., 8.00%, 10/15/13 225 244
Host Marriott LP, 7.125%, 11/01/13 (l) 50 52
Humana Inc., 6.30%, 08/01/18 (f) 775 847
IASIS Healthcare LLC, 8.75%, 06/15/14 200 217
Insight Health Services Corp., 9.875%, 11/01/11 100 78
Medical Device Manufacturing Inc., 10.00%, 07/15/12 175 188
National Mentor Inc., 9.625%, 12/01/12 (e) 175 184
Psychiatric Solutions Inc., 10.625%, 06/15/13 100 111
Sybron Dental Specialties Inc., 8.125%, 06/15/12 275 294
Tenet Healthcare Corp.
7.375%, 02/01/13 (l) 275 272
9.875%, 07/01/14 25 27
Vanguard Health Systems Inc., 9.00%, 10/01/14 200 216
Warner Chilcott Corp., 8.75%, 02/01/15 (e) 175 170
WellPoint Health Networks, 6.375%, 01/15/12 (f) 800 882
4,300
Holding Companies - Diversified - 0.2%
Applied Extrusion Technologies Inc., 12.00%,
03/15/12 (e) (l) 18 18
CBD Media Holdings LLC, 9.25%, 07/15/12 100 101
Crystal US Holdings 3 LLC, 9.625%, 06/15/14 97 109
DRS Technologies Inc., 6.875%, 11/01/13 150 155
Jean Coutu Group Inc., 8.50%, 08/01/14 (l) 100 99
Nebco Evans Holding Co.,
(Step-Up Bond), 12.375%, 07/15/07 (d) (i) 350 -
United Agri Products, 8.25%, 12/15/11 199 206
688
Home Builders - 0.1%
Associated Materials Inc.,
(Step-Up Bond), 11.25%, 03/01/14 (d) 350 222
Home Furnishings - 0.1%
Applica Inc., 10.00%, 07/31/08 (l) 64 58
Sealy Mattress Co., 8.25%, 06/15/14 (l) 175 177
235
Household Products - 0.0%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 -
Insurance - 0.2%
UnitedHealth Group Inc., 4.125%, 08/15/09 475 473
Internet - 0.1%
FTD Inc., 7.75%, 02/15/14 170 167
Iron & Steel - 0.0%
AK Steel Corp., 7.875%, 02/15/09 (l) 50 46
IPSCO Inc., 8.75%, 06/01/13 75 84
130
Leisure Time - 0.2%
Equinox Holdings Inc., 9.00%, 12/15/09 175 181
Icon Health & Fitness, 11.25%, 04/01/12 (l) 100 77
Leslie's Poolmart Inc., 7.75%, 02/01/13 100 101
Mohegan Tribal Gaming Authority, 7.125%, 08/15/14 75 79
438
Lodging - 0.4%
Caesars Entertainment Inc., 8.125%, 05/15/11 (l) 125 144
Gaylord Entertainment Co., 6.75%, 11/15/14 200 196
HMH Properties Inc., 7.875%, 08/01/08 34 35
Host Marriott LP, 6.375%, 03/15/15 (e) 250 248
John Q Hamons Hotels, 8.875%, 05/15/12 200 218
Las Vegas Sands Corp., 6.375%, 02/15/15 (e) 225 220
MeriStar Hospitality Finance Corp., 10.50%, 06/15/09 (l) 100 107
1,168
Machinery - 0.2%
Case New Holland Inc., 9.25%, 08/01/11 (e) 25 26
Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 100 104
Flowserve Corp., 12.25%, 08/15/10 125 135
Terex Corp., 10.375%, 04/01/11 175 190
455
Manufacturing - 0.2%
Blount Inc., 8.875%, 08/01/12 75 80
Invensys Plc, 9.875%, 03/15/11 (e) 100 96
Koppers Inc., 9.875%, 10/15/13 125 135
Park-Ohio Industries Inc., 8.375%, 11/15/14 (e) 100 89
Sensus Metering Systems Inc., 8.625%, 12/15/13 180 167
567
Media - 1.3%
Cablevision Systems Corp., 7.88%, 04/01/09 175 175
Charter Communications Holdings LLC
8.625%, 04/01/09 (l) 50 37
10.25%, 01/15/10 125 93
(Step-Up Bond), 11.75%, 01/15/10 (d) 75 59
10.00%, 05/15/11 (f) 550 402
(Step-Up Bond), 12.125%, 01/15/12 (d) 75 43
CSC Holdings Inc.
8.125%, 08/15/09 50 51
10.50%, 05/15/16 (l) 75 81
Dex Media Inc.
9.875%, 08/15/13 196 223
(Step-Up Bond), 9.00%, 11/15/13 (d) 275 221
DirecTV Holdings LLC, 6.375%, 06/15/15 (e) 300 299
Houghton Mifflin Co.,
(Step-Up Bond), 11.50%, 10/15/13 (d) (l) 125 91
Mediacom Broadband LLC, 11.00%, 07/15/13 135 146
Mediacom LLC/Mediacom Capital Corp., 9.50%, 01/15/13 (l) 25 25
Muzak Finance Corp.
10.00%, 02/15/09 75 62
9.875%, 03/15/09 (l) 125 60
Nexstar Finance Holdings Inc.,
(Step-Up Bond), 11.375%, 04/01/13 (d) 75 56
Nextmedia Operating Inc., 10.75%, 07/01/11 175 190
Radio One Inc., 8.875%, 07/01/11 150 161
Sinclair Broadcast Group, 8.00%, 03/15/12 200 205
Time Warner Inc., 7.625%, 04/15/31 (f) 725 905
Yell Finance BV, 10.75%, 08/01/11 50 55
Young Broadcasting Inc., 8.75%, 01/15/14 (l) 150 133
3,773
Metal Fabrication & Hardware - 0.3%
Mueller Group Inc., 10.00%, 05/01/12 150 158
Mueller Holdings Inc., (Step-Up Bond), 14.75%,
04/15/14 (d) 50 37
Novelis Inc., 7.25%, 02/15/15 (e) 200 201
Owens-Brockway, 8.25%, 05/15/13 (f) 375 407
803
Mining - 0.1%
Compass Minerals Group Inc., 10.00%, 08/15/11 195 213
Office Furnishings - 0.1%
Interface Inc.
7.30%, 04/01/08 125 128
9.50%, 02/01/14 50 51
Tempur-Pedic Inc., 10.25%, 08/15/10 (e) 130 143
322
Oil & Gas Producers - 1.2%
Calpine Corp., 8.50%, 07/15/10 (e) (l) 300 231
Chesapeake Energy Corp., 6.625%, 01/15/16 (e) 275 284
Devon Financing Corp. ULC, 6.875%, 09/30/11 (f) 650 727
Exco Resources Inc., 7.25%, 01/15/11 200 200
Forest Oil Corp., 8.00%, 12/15/11 250 276
Magnum Hunter Resources Inc., 9.60%, 03/15/12 195 216
Stone Energy Corp., 8.25%, 12/15/11 175 183
Swift Energy Co., 9.375%, 05/01/12 50 54
Valero Energy Corp., 4.75%, 06/15/13 (f) 1,010 1,000
Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 175 185
3,356
Oil & Gas Services - 0.5%
Hanover Compressor Co., 0.00%, 03/31/07 (k) 175 154
Key Energy Services Inc., 8.375%, 03/01/08 175 181
Petronas Capital Ltd., 7.00%, 05/22/12 (e) 275 314
Precision Drilling Corp., 5.625%, 06/01/14 (f) 675 698
1,347
Packaging & Containers - 0.6%
Anchor Glass Container Corp., 11.00%, 02/15/13 150 117
Berry Plastics Corp., 10.75%, 07/15/12 250 273
Graphic Packaging International Corp., 9.50%,
08/15/13 (l) 200 202
Jefferson Smurfit Corp., 8.25%, 10/01/12 (f) 425 427
Plastipak Holdings Inc., 10.75%, 09/01/11 310 342
Pliant Corp., 11.125%, 09/01/09 100 98
Radnor Holdings Corp., 11.00%, 03/15/10 (l) 225 154
Tekni-Plex Inc., 8.75%, 11/15/13 (e) (l) 225 200
1,813
Pharmaceuticals - 0.7%
aaiPharma Inc., 11.50%, 04/01/10 (i) (l) 175 92
Qwest Services Corp., 14.00%, 12/15/14 (f) 400 485
Wyeth, 5.50%, 03/15/13 (f) 1,400 1,473
2,050
Pipelines - 0.6%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 100 111
7.625%, 10/15/26 450 429
El Paso Corp.
7.875%, 06/15/12 100 103
7.80%, 08/01/31 75 73
7.75%, 01/15/32 (f) 425 414
Williams Cos. Inc.
7.125%, 09/01/11 50 54
7.625%, 07/15/19 75 84
7.875%, 09/01/21 100 114
8.75%, 03/15/32 (f) 250 300
1,682
Real Estate - 0.6%
Boston Properties LP, 6.25%, 01/15/13 (f) 700 763
Host Marriott LP, 9.50%, 01/15/07 75 80
iStar Financial Inc., 5.15%, 03/01/12 (f) 800 791
MeriStar Hospitality Corp., 9.125%, 01/15/11 75 79
1,713
Retail - 0.7%
Carrols Corp., 9.00%, 01/15/13 (e) 175 177
Doane Pet Care Co., 9.75%, 05/15/07 225 219
Finlay Fine Jewelry Corp., 8.375%, 06/01/12 100 90
Home Interiors & Gifts Inc., 10.125%, 06/01/08 250 161
Limited Brands Inc., 6.95%, 03/01/33 (f) 875 911
Petco Animal Supplies Inc., 10.75%, 11/01/11 150 167
Rite Aid Corp.
11.25%, 07/01/08 125 132
7.50%, 01/15/15 150 144
2,002
Storage/Warehousing - 0.1%
OMI Corp., 7.625%, 12/01/13 175 174
Telecommunications - 2.1%
AT&T Broadband Corp., 8.375%, 03/15/13 (f) 725 884
Charter Communications Holdings LLC, 10.75%, 10/01/09 50 39
DirecTV Holdings LLC, 8.375%, 03/15/13 130 144
Emmis Communications, 9.30%, 06/15/12 (e) 100 102
Insight Midwest LP, 10.50%, 11/01/10 200 212
Intelsat Bermuda Ltd., 7.81%, 01/15/12 (e) 75 76
MCI Inc., 8.735%, 05/01/14 270 303
Nextel Communications Inc.
6.875%, 10/31/13 100 107
7.375%, 08/01/15 (f) 450 486
Qwest Corp., 8.875%, 03/15/12 (e) 125 136
Qwest Services Corp., 13.50%, 12/15/10 200 231
SBA Telecommunications Inc.,
(Step-Up Bond), 9.75%, 12/15/11 (d) 250 230
Sprint Capital Corp., 8.375%, 03/15/12 (l) 650 782
Telecom Italia Capital SA, 4.00%, 01/15/10 (e) (f) 725 704
US Unwired Inc., 10.00%, 06/15/12 175 195
Verizon Florida Inc., 6.125%, 01/15/13 (f) 1,370 1,469
Zeus Special Subsidiary Ltd.,
(Step-Up Bond), 9.25%, 02/01/15 (d) (e) (l) 100 67
6,167
Telecommunications Equipment - 0.2%
American Tower Escrow Corp., 7.50%, 08/01/08 (k) 145 111
Centennial Cellular Operating Co., 10.125%, 06/15/13 200 226
PanAmSat Corp., 9.00%, 08/15/14 (e) 65 71
Spectrasite Inc., 8.25%, 05/15/10 100 106
Western Wireless Corp., 9.25%, 07/15/13 75 85
599
Transportation - 0.3%
Holt Group Inc., 9.75%, 01/15/06 (i) 200 -
Union Pacific Corp., 3.625%, 06/01/10 (l) 925 889
889
Venture Capital - 0.0%
Rainbow National Services LLC, 10.375%, 09/01/14 (e) 125 144
Water - 0.2%
United Utilities Plc, 4.55%, 06/19/18 (f) 700 658
Wireless Telecommunications - 0.5%
American Tower Corp., 7.50%, 05/01/12 (l) 125 133
Lucent Technologies Inc., 6.45%, 03/15/29 (l) 475 425
New Cingular Wireless Services Inc., 8.75%, 03/01/31 (f) 650 911
1,469
Total Corporate Bonds (cost $88,444) 89,263
Government Securities - 58.8%
Asset Backed Securities - 0.1%
First Union National Bank Commercial Mortgage,
0.536%, 05/17/32 11,486 319
Sovereign - 9.4%
Federal Republic of Brazil
10.50%, 07/14/14 175 207
8.875%, 10/14/19 150 159
12.25%, 03/06/30 585 784
11.00%, 08/17/40 425 511
Quebec Province Co., 4.60%, 05/26/15 (f) 1,475 1,492
Republic of Argentina
3.01%, 08/03/12 275 249
3.97%, 12/31/33 278 255
Republic of Brazil
4.31%, 04/15/12 (g) 2,281 2,194
8.00%, 04/15/14 1,863 1,908
10.125%, 05/15/27 625 724
Republic of Bulgaria, 8.25%, 01/15/15 150 188
Republic of Colombia
10.00%, 01/23/12 250 291
10.75%, 01/15/13 50 61
8.125%, 05/21/24 250 249
8.375%, 02/15/27 50 51
10.375%, 01/28/33 250 298
Republic of Ecuador
12.00%, 11/15/12 370 348
(Step-Up Bond), 8.00%, 08/15/30 (d) 25 21
Republic of Panama
9.625%, 02/08/11 205 245
9.375%, 01/16/23 315 389
Republic of Peru
9.125%, 02/21/12 500 585
9.875%, 02/06/15 190 235
0.00%, 03/07/17 (h) 319 304
Republic of Philippines
8.375%, 03/12/09 525 556
8.875%, 03/17/15 150 156
9.875%, 01/15/19 275 297
10.625%, 03/16/25 425 475
Republic of South Africa, 6.50%, 06/02/14 200 223
Republic of the Ukraine
6.875%, 03/04/11 125 132
7.65%, 06/11/13 100 110
Republic of Turkey
9.00%, 06/30/11 400 454
11.50%, 01/23/12 (f) 425 543
11.00%, 01/14/13 150 189
11.875%, 01/15/30 175 253
Republic of Venezuela
10.75%, 09/19/13 625 732
8.50%, 10/08/14 250 260
9.25%, 09/15/27 100 105
Russian Federation
11.00%, 07/24/18 725 1,081
(Step-Up Bond), 5.00%, 03/31/30 (d) 3,620 4,041
United Mexican States
6.375%, 01/16/13 575 617
5.875%, 01/15/14 (f) 1,675 1,748
6.625%, 03/03/15 1,475 1,623
11.375%, 09/15/16 325 482
8.00%, 09/24/22 150 183
8.30%, 08/15/31 400 497
7.50%, 04/08/33 475 544
27,052
U.S. Government Agencies - 33.0% Federal Home Loan Mortgage Corp.
5.00%, TBA (c) 11,500 11,515
6.50%, TBA (c) 2,000 2,069
Federal National Mortgage Association
4.00%, TBA (c) 8,000 7,841
4.50%, TBA (c) 7,000 6,850
5.00%, TBA (c) 39,625 39,625
5.50%, TBA (c) 20,500 20,775
6.00%, TBA (c) 3,000 3,075
6.50%, TBA (c) 2,000 2,069
6.00%, 04/01/18 152 157
10.40%, 04/25/19 6 6
6.50%, 02/01/26 13 14
7.50%, 08/01/29 22 24
8.00%, 08/01/29 2 3
7.50%, 09/01/29 46 50
7.50%, 03/01/30 14 15
8.00%, 04/01/30 22 24
7.50%, 05/01/30 9 9
7.50%, 06/01/30 13 15
7.50%, 07/01/30 17 17
8.00%, 07/01/30 33 36
8.00%, 08/01/30 10 11
7.50%, 09/01/30 9 9
8.00%, 10/01/30 151 162
7.50%, 11/01/30 9 9
7.50%, 12/01/30 10 11
7.50%, 01/01/31 8 9
8.00%, 01/01/31 93 101
7.50%, 02/01/31 67 71
8.00%, 02/01/31 6 7
7.50%, 03/01/31 18 19
6.00%, 07/01/32 28 29
7.00%, 07/01/32 42 45
6.00%, 09/01/32 150 154
7.50%, 09/01/32 30 33
94,859
U.S. Treasury Securities - 16.4% U.S. Treasury Bond
6.125%, 11/15/27 (l) 100 126
5.50%, 08/15/28 (l) 70 82
5.25%, 11/15/28 (l) 1,500 1,713
5.25%, 02/15/29 (l) 500 572
6.125%, 08/15/29 (l) 1,500 1,915
5.375%, 02/15/31 (l) 750 885
U.S. Treasury Note
3.625%, 01/15/10 (l) 3,350 3,334
6.50%, 02/15/10 (l) 5,400 6,026
4.00%, 03/15/10 425 430
4.00%, 04/15/10 (l) 15,900 16,074
3.875%, 05/15/10 (l) 5,600 5,632
5.00%, 02/15/11 (l) 5,900 6,269
4.00%, 02/15/14 (l) 2,350 2,364
4.25%, 11/15/14 (l) 1,660 1,699
47,121
Total Government Securities (cost $166,340) 169,351
Municipals - 0.3%
Sovereign - 0.3%
Region of Lombardy, 5.804%, 10/25/32 750 855
Total Municipals (cost $750) 855
Short Term Investments - 62.5%
Commercial Paper - 19.4%
Barton Capital Corp., 3.13%, 07/13/05 (f) 7,475 7,467
Blue Ridge Asset Funding Corp., 3.13%, 07/14/05 (f) 1,620 1,618
Chesham Finance LLC, 3.16%, 07/13/05 7,475 7,467
Concord Minutemen Capital Co., 3.14%, 07/14/05 7,475 7,467
Credit Suisse Corp., 3.15%, 07/13/05 7,475 7,467
DaimlerChrysler NA Holdings Inc., 3.31%, 07/14/05 (f) 3,735 3,731
Four Winds Funding Corp., 3.22%, 07/14/05 (f) 3,735 3,731
Market Street Funding, 3.135%, 07/14/05 7,475 7,467
Mica Funding LLC, 3.16%, 07/13/05 2,040 2,037
Narco Corp., 3.14%, 07/13/05 (f) 7,475 7,466
55,918
Money Market Funds - 0.0%
Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1
Repurchase Agreement - 21.6%
Repurchase Agreement with Bank of America Securities, 3.34%,
(Collateralized by $58,570 Federal Home Loan Mortgage Corporation, 4.30%,
due 05/05/08, market value $60,327 and $2,970 Federal
Home Loan Mortgage Corporation, 5.25%, due 11/05/12, market
value $3,047) acquired on 06/30/05, due 07/01/05 at
$62,161 $62,161 62,161
Securities Lending Collateral - 21.5%
Mellon GSL Delaware Business Trust Collateral Fund 61,753 61,753
Total Short Term Investments (cost $179,835) 179,835
Total Investments - 153.4% (cost $436,804) 441,417
Other Assets and Liabilities, Net - (53.4%) (153,574)
Total Net Assets - 100% $287,843
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
Percentage of Total
Industry Sector Investments (o)
Mortgage Securities 46.3%
Government 45.8%
Financial 7.5%
Asset Backed Securities 0.4%
100.0%
Corporate Bonds - 3.2%
Asset Backed Securities - 3.2%
Commercial Mortgage Acceptance Corp.,
5.447%, 07/16/34 (e) $5,625 $5,849
Green Tree Financial Corp., 7.07%, 01/15/29 704 745
Total Corporate Bonds (cost $6,504) 6,594
Government Securities - 95.6%
U.S. Government Agencies - 52.8%
Federal Home Loan Mortgage Corp.
4.50%, TBA (c) 1,000 995
5.00%, TBA (c) 24,500 24,531
6.00%, TBA (c) 3,000 3,077
3.016%, 07/08/05 (f) 20,000 19,988
5.80%, 09/02/08 (l) 3,500 3,697
7.00%, 07/01/11 5 5
6.50%, 08/01/13 37 38
8.25%, 04/01/17 3 3
8.00%, 07/01/20 75 80
6.00%, 11/01/28 699 718
7.00%, 04/01/29 175 185
7.00%, 10/01/31 9 10
7.00%, 11/01/31 16 17
7.00%, 02/01/32 221 232
7.00%, 03/01/32 209 220
7.00%, 04/01/32 200 211
4.50%, 04/15/32 183 176
7.00%, 06/01/32 27 28
6.00%, 08/01/32 11 11
5.00%, 08/01/33 (f) 2,218 2,221
Federal National Mortgage Association
5.00%, TBA (c) 7,000 7,008
5.50%, TBA (c) 25,000 25,390
6.00%, TBA (c) 3,000 3,075
6.50%, TBA (c) 8,000 8,275
4.29%, 02/17/09 (g) (l) 2,000 1,985
12.50%, 09/20/15 2 2
12.00%, 01/01/16 89 99
12.00%, 01/15/16 3 3
12.50%, 01/15/16 41 46
5.00%, 02/01/19 1,306 1,321
11.50%, 09/01/19 - 1
10.50%, 08/01/20 9 10
6.50%, 03/01/26 14 15
7.00%, 05/01/26 18 19
7.00%, 11/01/28 20 21
7.00%, 12/01/28 13 14
7917.50%, 12/28/28 (g) - -
7.00%, 03/01/29 70 74
8.00%, 07/01/29 1 1
8.00%, 11/01/29 28 30
8.00%, 12/01/29 47 51
7.00%, 01/01/30 76 80
8.00%, 01/01/30 66 71
8.00%, 02/01/30 12 12
8.00%, 05/01/30 4 4
6.527%, 05/25/30 1,508 1,590
8.00%, 09/01/30 3 3
8.00%, 10/01/30 64 68
8.00%, 11/01/30 3 3
8.00%, 01/01/31 145 155
7.50%, 02/01/31 131 140
8.00%, 02/01/31 57 62
8.00%, 03/01/31 92 98
8.00%, 04/01/31 3 4
6.00%, 01/01/33 2,432 2,495
Freddie Mac, 5.50%, 01/15/23 9,136 517
Government National Mortgage Association,
13.50%, 07/15/10 41 47
109,231
U.S. Treasury Securities - 42.6% U.S. Treasury Bond
6.625%, 02/15/27 (f) 2,350 3,119
6.375%, 08/15/27 1,000 1,297
5.25%, 02/15/29 (f) 2,000 2,287
6.125%, 08/15/29 1,250 1,596
5.375%, 02/15/31 (f) 17,000 20,060
U.S. Treasury Note
5.75%, 11/15/05 8,500 8,575
2.875%, 11/30/06 (l) 11,000 10,888
3.375%, 11/15/08 (f) 1,300 1,287
3.375%, 10/15/09 (l) 15,000 14,789
4.25%, 08/15/13 (l) 8,700 8,918
4.25%, 08/15/14 (l) 5,000 5,120
4.00%, 02/15/15 (l) 10,000 10,036
87,972
Total Government Securities (cost $192,400) 197,203
Short Term Investments - 62.4%
Commercial Paper - 18.5%
Atlantic Asset Securities Corp., 3.16%, 07/14/05 (f) 1,368 1,366
Barton Capital Corp., 3.13%, 07/13/05 (f) 4,540 4,535
Chesham Finance LLC, 3.16%, 07/13/05 (f) 5,475 5,469
Concord Minutemen Capital Co., 3.14%, 07/14/05 (f) 5,475 5,469
Credit Suisse Corp., 3.15%, 07/13/05 (f) 5,475 5,469
DaimlerChrysler NA Holdings Inc., 3.31%, 07/14/05 (f) 2,735 2,732
Four Winds Funding Corp., 3.22%, 07/14/05 (f) 2,735 2,732
Market Street Funding, 3.135%, 07/14/05 (f) 5,475 5,469
Mica Funding LLC, 3.16%, 07/13/05 (f) 5,000 4,995
38,236
Money Market Funds - 0.0%
Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1
Repurchase Agreement - 11.8%
Repurchase Agreement with Bank of America Securities, 3.34%,
(Collateralized by $24,100 Federal Home Loan Mortgage Corporation, 4.30%,
due 05/05/08, market value $24,823)
acquired on 06/30/05, due 07/01/05 at $24,324 $24,324 24,324
Securities Lending Collateral - 26.8%
Mellon GSL Delaware Business Trust Collateral Fund 55,215 55,215
U.S. Government Agencies - 2.4% Federal National Mortgage Association,
3.017%, 07/08/05 $5,000 4,997
U.S. Treasury Bills - 2.9%
US Treasury Bill, 2.82%, 07/07/05 (m) 6,000 5,997
Total Short Term Investments (cost $128,770) 128,770
Total Investments - 161.2% (cost $327,674) 332,567
Other Assets and Liabilities, Net - (61.2%) (126,268)
Total Net Assets - 100% $206,299
JNL/Select Balanced Fund
Percentage of Total
Industry Sector Investments (o)
Financial 16.1%
Government 11.9%
Consumer, Non-cyclical 11.7%
Mortgage Securities 11.4%
Energy 10.3%
Industrial 8.4%
Communications 7.6%
Basic Materials 6.2%
Money Market Investment 3.9%
Technology 3.6%
Consumer, Cyclical 3.4%
Utilities 3.3%
Asset Backed Securities 2.2%
100.0%
Common Stocks - 63.3%
Aerospace & Defense - 1.4%
General Dynamics Corp. 33 $3,593
United Technologies Corp. 36 1,869
5,462
Auto Parts & Equipment - 0.4%
Borg Warner Inc. 16 837
Banks - 3.4%
Bank of America Corp. 134 6,098
PNC Financial Services Group Inc. 29 1,552
State Street Corp. 57 2,770
Synovus Financial Corp. 84 2,397
12,817
Beverages - 1.2%
Coca-Cola Co. 66 2,735
Coca-Cola Enterprises Inc. 90 1,981
4,716
Chemicals - 1.9%
E.I. du Pont de Nemours & Co. 124 5,325
Rohm and Haas Co. 38 1,747
7,072
Computers - 1.1%
International Business Machines Corp. 59 4,370
Cosmetics & Personal Care - 1.2%
Colgate-Palmolive Co. (b) 25 1,248
Proctor & Gamble Co. 64 3,381
4,629
Diversified Financial Services - 4.5%
Citigroup Inc. 161 7,452
Freddie Mac 39 2,537
JPMorgan Chase & Co. 64 2,243
MBNA Corp. 87 2,281
Merrill Lynch & Co. Inc. (l) 45 2,492
17,005
Electric - 3.3%
Dominion Resources Inc. 16 1,196
Exelon Corp. 96 4,943
Pinnacle West Capital Corp. 52 2,311
PPL Corp. 33 1,960
Progress Energy Inc. (l) 51 2,285
12,695
Electrical Components & Equipment - 0.5%
Emerson Electric Co. 33 2,035
Environmental Control - 0.9%
Waste Management Inc. 127 3,591
Food - 0.8%
General Mills Inc. 43 2,017
Tyson Foods Inc. 51 908
2,925
Forest Products & Paper - 2.0%
International Paper Co. 61 1,855
Weyerhaeuser Co. 87 5,563
7,418
Healthcare - 0.3%
Baxter International Inc. 34 1,243
Home Furnishings - 1.0%
Sony Corp. - ADR 28 978
Whirlpool Corp. (l) 41 2,882
3,860
Household Products - 1.2%
Avery Dennison Corp. 43 2,288
Kimberly-Clark Corp 39 2,454
4,742
Insurance - 4.2%
ACE Ltd. 90 4,054
American International Group Inc. 52 3,010
Hartford Financial Services Group Inc. 60 4,509
Marsh & McLennan Cos. Inc. 51 1,415
MBIA Inc. (l) 24 1,400
MetLife Inc. 34 1,510
15,898
Machinery - 1.2%
Caterpillar Inc. 20 1,868
Deere & Co. 44 2,862
4,730
Manufacturing - 1.9%
General Electric Corp. 111 3,839
Parker Hannifin Corp. 55 3,386
7,225
Media - 2.5%
Comcast Corp. - Class A (b) (l) 100 3,070
Gannett Co. 30 2,113
New York Times Co. - Class A 9 293
Time Warner Inc. (b) 162 2,702
Viacom Inc. - Class B 47 1,511
9,689
Mining - 2.1%
Alcoa Inc. 118 3,081
Cameco Corp. 42 1,880
Rio Tinto Plc - ADR 25 2,987
7,948
Office & Business Equipment - 0.6%
Pitney Bowes Inc. 52 2,278
Oil & Gas Producers - 9.5%
BP Plc - ADR 68 4,217
Burlington Resources Inc. 56 3,071
Chevron Corp. 109 6,067
ConocoPhillips 14 828
Encana Corp. 155 6,118
Exxon Mobil Corp. 182 10,465
Total SA - ADR (l) 45 5,235
36,001
Oil & Gas Services - 0.6%
Schlumberger Ltd. 32 2,422
Pharmaceuticals - 5.1%
Abbott Laboratories 119 5,808
Eli Lilly & Co. 62 3,426
Novartis AG - ADR 39 1,831
Pfizer Inc. 68 1,864
Schering-Plough Corp. (l) 197 3,757
Wyeth 57 2,545
19,231
Retail - 1.9%
Family Dollar Stores Inc. 72 1,882
McDonald's Corp. 121 3,369
TJX Cos. Inc. 52 1,264
Wal-Mart Stores Inc. 12 588
7,103
Semiconductors - 0.7%
Texas Instruments Inc. 98 2,759
Software - 0.9%
Microsoft Corp. 144 3,572
Telecommunications - 2.7%
SBC Communications Inc. 176 4,178
Sprint Corp. 110 2,752
Verizon Communications 99 3,427
10,357
Tobacco - 1.1%
Altria Group Inc. 67 4,332
Transportation - 2.3%
CSX Corp. 98 4,159
Union Pacific Corp. 69 4,445
8,604
Wireless Telecommunications - 0.9%
Motorola Inc. 185 3,378
Total Common Stocks (cost $222,550) 240,944
Corporate Bonds - 11.7%
Aerospace & Defense - 0.0%
Raytheon Co., 6.75%, 08/15/07 $146 153
Asset Backed Securities - 4.1%
Americredit Automobile Receivables Trust, 3.10%, 11/06/09500 496
Banc of America Commercial Mortgage Inc.
5.676%, 06/11/35 500 517
5.118%, 07/11/43 750 779
Bank One Corp., 4.77%, 02/16/16 500 503
BK of America First Union, 5.464%, 04/11/37 (g) 500 527
BMW Vehicle Owners Trust, 3.52%, 10/25/10 1,000 990
Capital One Master Trust
3.40%, 11/16/09 480 474
4.50%, 06/15/11 500 505
Commercial Mortgage Acceptance Corp.,
7.63%, 06/15/31 (g) 500 558
CS First Boston Mortgage Securities Corp.,
6.133%, 04/15/37 500 546
Discover Card Master Trust I, 3.45%, 04/16/09 1,000 992
GE Capital Commercial Mortgage, 6.03%, 08/11/33 (g) 964 1,003
Harley Davidson Motorcycle Trust, 1.89%, 02/15/11 431 420
JPMorgan Chase Commercial Mortgage Security Corp.
6.613%, 01/15/30 1,000 1,048
6.507%, 10/15/35 (g) 1,000 1,064
MBNA Corp.
6.55%, 12/15/08 500 513
6.65%, 08/15/11 (e) 500 537
Morgan Stanley Dean Witter Capital I, 5.98%, 01/15/39 560 610
PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,096
Wells Fargo Mortgage Backed Securities Trust
4.57%, 03/25/35 392 391
4.543%, 04/25/35 434 431
WFS Financial Inc., 2.73%, 05/20/11 475 468
Woart, 2.20%, 01/15/08 470 466
14,934
Auto Manufacturers - 0.2%
DaimlerChrysler NA Holdings Inc., 4.75%, 01/15/08 500 502
Harley Davidson Motorcycle Trust, 2.00%, 11/15/11 280 271
773
Banks - 1.0%
Bank of America Corp., 7.40%, 01/15/11 750 858
BB&T Corp., 4.90%, 06/30/17 190 190
HSBC Bank USA NA, 5.875%, 11/01/34 250 272
HSBC Holdings Plc, 7.35%, 11/27/32 (e) 500 643
US Bank NA, 4.95%, 10/30/14 450 462
Wachovia Corp.
3.625%, 02/17/09 750 737
5.25%, 08/01/14 500 522
3,684
Beverages - 0.3%
Diageo Capital Plc, 3.50%, 11/19/07 1,000 986
Commercial Services - 0.3%
Aramark Services Inc., 7.00%, 07/15/06 1,000 1,023
Computers - 0.1%
Hewlett-Packard Co., 5.50%, 07/01/07 500 512
Cosmetics & Personal Care - 0.1%
Procter & Gamble Co., 5.80%, 08/15/34 500 562
Diversified Financial Services - 2.2%
Americredit Automobile Receivables Trust, 4.46%,
04/12/09 479 480
Boeing Capital Corp., 6.50%, 02/15/12 (l) 500 559
Centex Home Equity, 4.72%, 10/25/31 115 115
CIT Group Inc., 7.375%, 04/02/07 500 527
Citigroup Inc.
3.50%, 02/01/08 250 246
6.00%, 02/21/12 (l) 500 546
Credit Suisse First Boston USA Inc., 4.875%, 01/15/15 345 349
General Electric Corp.
5.875%, 02/15/12 1,000 1,081
6.75%, 03/15/32 500 617
HSBC Finance Corp., 6.375%, 11/27/12 500 553
JPMorgan Chase & Co.
6.625%, 03/15/12 500 557
5.125%, 09/15/14 500 511
Morgan Stanley Dean Witter Capital I, 5.80%, 04/01/07 500 514
Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,026
Verizon Global Funding Corp., 7.75%, 12/01/30 500 646
8,327
Forest Products & Paper - 0.1%
Weyerhaeuser Co., 7.125%, 07/15/23 350 392
Holding Companies - Diversified - 0.1%
Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 522
Insurance - 1.6%
Ace Capital Trust, 9.70%, 04/01/30 525 725
Ace INA Holdings Inc., 5.875%, 06/15/14 600 629
ASIF Global Financing, 4.90%, 01/17/13 (e) 500 507
AXA SA, 8.60%, 12/15/30 775 1,055
Berkshire Hathaway Finance Corp., 4.85%, 01/15/15 (e) 670 676
Hartford Life Inc., 7.375%, 03/01/31 700 895
Liberty Mutual Insurance, 7.875%, 10/15/26 (e) 475 564
Marsh & McLennan Cos. Inc., 5.375%, 07/15/14 675 672
MetLife Inc., 6.50%, 12/15/32 350 402
Willis Group Holdings Ltd., 5.625%, 07/15/15 105 106
6,231
Media - 0.3%
Comcast Corp.
5.85%, 01/15/10 200 212
5.65%, 06/15/35 600 597
Walt Disney Co., 5.375%, 06/01/07 400 409
1,218
Metal Fabrication & Hardware - 0.1%
Corp. Nacional del Cobre de Chile, 5.50%, 10/15/13 (e) 500 522
Oil & Gas Services - 0.2%
Valero Energy Corp., 6.875%, 04/15/12 675 753
Retail - 0.1%
Target Corp., 5.375%, 06/15/09 500 523
Telecommunications - 0.9%
COX Communications Inc., 5.45%, 12/15/14 500 510
Deutsche Telekom International Finance BV,
8.75%, 06/15/30 275 372
New Cingular Wireless Services Inc., 7.875%, 03/01/11 750 872
Sprint Capital Corp.
6.125%, 11/15/08 125 132
8.375%, 03/15/12 450 541
Verizon Global Funding Corp., 6.125%, 06/15/07 500 518
Vodafone Group Plc, 5.375%, 01/30/15 500 528
3,473
Total Corporate Bonds (cost $44,117) 44,588
Government Securities - 20.6%
Sovereign - 1.1%
Financing Corp.
0.00%, 12/06/13 (k) 275 190
0.00%, 12/27/13 (f) (k) 220 152
Residential Funding Mortgage Securities Corp.,
0.00%, 04/15/15 (k) 2,550 1,757
Tennessee Valley Authority, 4.375%, 06/15/15 2,400 2,417
4,516
Treasury Inflation Index Securities - 2.4%
US Treasury Inflation Indexed Note, 2.375%, 08/15/06 (l) 9,117 9,000
U.S. Government Agencies - 9.0% Federal Home Loan Mortgage Corp.
5.50%, 10/01/16 476 489
6.00%, 04/01/17 337 348
6.50%, 11/01/17 143 149
5.00%, 01/01/18 137 139
5.50%, 01/01/18 2 2
4.50%, 05/01/18 215 214
5.00%, 05/01/18 318 321
4.50%, 09/01/18 243 242
4.50%, 11/01/18 502 501
5.50%, 01/01/19 591 607
4.50%, 03/01/19 1,575 1,569
5.50%, 08/01/19 647 664
7.00%, 11/01/30 304 321
7.00%, 02/01/31 111 117
7.00%, 06/01/31 99 105
7.00%, 10/01/32 341 359
5.50%, 03/01/33 1,245 1,263
4.50%, 06/01/33 225 220
5.50%, 06/01/33 280 284
5.00%, 08/01/33 1,377 1,380
6.50%, 09/01/33 172 179
6.00%, 10/01/33 1,811 1,858
5.00%, 05/01/34 1,419 1,421
5.50%, 05/01/34 177 180
5.00%, 09/01/34 558 559
Federal National Mortgage Association
5.00%, 10/01/17 359 364
5.00%, 11/01/17 163 165
6.00%, 01/01/18 81 84
5.00%, 02/01/18 708 716
5.00%, 04/01/18 195 197
4.50%, 07/01/18 1,533 1,527
5.50%, 11/01/18 203 209
5.00%, 12/01/18 1,066 1,078
6.50%, 08/01/28 37 39
6.50%, 11/01/28 79 82
6.50%, 12/01/28 47 49
6.00%, 03/01/29 399 410
7.50%, 09/01/29 111 118
6.50%, 01/01/32 625 649
6.50%, 07/01/32 704 730
6.50%, 09/01/32 457 473
6.50%, 09/01/32 358 371
6.00%, 10/01/32 422 432
6.50%, 03/01/33 331 343
5.00%, 09/01/33 1,039 1,040
7.00%, 10/01/33 757 798
4.50%, 11/01/33 258 253
5.50%, 11/01/33 1,911 1,938
4.50%, 12/01/33 468 458
5.50%, 12/01/33 1,053 1,068
6.00%, 12/01/33 206 211
5.50%, 03/01/34 652 661
5.50%, 04/01/34 2,126 2,156
5.50%, 05/01/34 224 227
6.00%, 06/01/34 487 499
Government National Mortgage Assocation
6.50%, 04/15/26 114 119
7.00%, 06/15/28 (f) 88 94
7.50%, 04/15/29 59 63
7.00%, 07/15/29 59 62
5.50%, 11/15/32 290 296
6.00%, 11/15/32 129 134
6.00%, 02/15/33 363 375
6.00%, 03/15/33 124 128
5.50%, 05/15/33 264 270
5.50%, 05/20/33 390 397
5.00%, 06/20/33 180 181
5.00%, 10/15/33 434 438
6.00%, 10/20/33 405 417
6.00%, 04/15/34 218 225
34,035
U.S. Treasury Securities - 8.1%
U.S. Treasury Bond, 5.375%, 02/15/31 (l) 6,575 7,759
U.S. Treasury Note
1.50%, 03/31/06 (l) 14,850 14,635
2.25%, 02/15/07 (l) 2,000 1,957
3.50%, 12/15/09 (l) 6,375 6,315
30,666
Total Government Securities (cost $77,440) 78,217
Municipals - 0.2%
Illinois State Taxable Pension, 5.10%, 06/01/33 375 391
Oregon School Board Association, 4.759%, 06/30/28 420 421
Total Municipals (cost $791) 812
Short Term Investments - 18.7%
Money Market Funds - 3.9%
Dreyfus Cash Management Plus Fund, 3.05% (a) 14,887 14,887
Securities Lending Collateral - 14.8%
Mellon GSL Delaware Business Trust Collateral Fund 56,098 56,098
Total Short Term Investments (cost $70,985) 70,985
Total Investments - 114.5% (cost $415,883) 435,546
Other Assets and Liabilities, Net - (14.5%) (55,245)
Total Net Assets - 100% $380,301
JNL/Select Global Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 28.7%
Communications 17.9%
Consumer, Cyclical 15.1%
Financial 14.4%
Industrial 7.7%
Energy 6.7%
Technology 6.2%
Money Market Investment 2.3%
Diversified 0.5%
Basic Materials 0.5%
100.0%
Common Stocks - 98.2%
Advertising - 0.4%
Getty Images Inc. (b) 10 $720
Aerospace & Defense - 0.7%
Boeing Co. 15 997
Airlines - 0.9%
British Airways Plc (b) 37 172
Ryanair Holdings Plc 33 1,480
1,652
Apparel - 1.3%
Adidas-Salomon AG 15 2,460
Banks - 8.2%
Banco Bilbao Vizcaya Argentaria SA 106 1,630
Bayerische Hypo-und Vereinsbank AG (b) 94 2,443
Credit Suisse Group (b) 77 3,019
Mitsubishi Tokyo Financial Group Inc. - 1,645
Standard Chartered Plc (b) 193 3,528
UBS AG 37 2,915
15,180
Beverages - 1.6%
Pernod-Ricard 19 3,009
Biotechnology - 1.3%
Genentech Inc. (b) 31 2,497
Commercial Services - 1.8%
Capita Group Plc 510 3,366
Computers - 0.8%
Dell Inc. (b) 37 1,462
Cosmetics & Personal Care - 2.0%
Proctor & Gamble Co. 72 3,782
Distribution & Wholesale - 1.6%
Esprit Holdings Ltd. 407 2,934
Diversified Financial Services - 3.4%
Chicago Mercantile Exchange Holdings Inc. 4 1,064
Citigroup Inc. 27 1,271
Countrywide Financial Corp. 67 2,575
Goldman Sachs Group Inc. 6 592
ORIX Corp. 5 762
6,264
Electronics - 6.7%
AU Optronics Corp. 305 5,170
Chi Mei Optoelectronics Corp. (b) 1,769 2,747
LG.Philips LCD Co. Ltd. (b) 61 2,805
Nippon Electric Glass Co. Ltd. 112 1,682
12,404
Entertainment - 3.3%
EMI Group Plc 993 4,520
Warner Music Group (b) 94 1,521
6,041
Food - 3.3%
Ahold Koninklijke NV (b) 681 5,610
Groupe Danone 6 524
6,134
Healthcare - 4.4%
Aetna Inc. 41 3,387
Baxter International Inc. 87 3,213
HCA Inc. 28 1,575
8,175
Holding Companies - Diversified - 0.5%
LVMH Moet Hennessy Louis Vuitton SA 12 938
Home Builders - 1.9%
DR Horton Inc. 95 3,554
Home Furnishings - 0.5%
Matsushita Electric Industrial Co. Ltd. 61 923
Insurance - 2.9%
American International Group Inc. 16 935
AXA SA 72 1,800
Zurich Financial Services AG (b) 15 2,636
5,371
Internet - 3.1%
Google Inc. - Class A (b) (l) 10 3,030
Yahoo! Inc. (b) 77 2,682
5,712
Lodging - 1.2%
Starwood Hotels & Resorts Worldwide Inc. 38 2,232
Manufacturing - 0.5%
General Electric Corp. 26 915
Media - 4.8%
Grupo Televisa SA - ADR 41 2,533
Sirius Satellite Radio (b) (l) 403 2,612
Vivendi Universal SA (b) 118 3,738
8,883
Mining - 0.5%
Cia Vale Do Rio Doce - ADR (b) 31 905
Oil & Gas Producers - 5.7%
ConocoPhillips 33 1,920
Encana Corp. 54 2,111
ENI SpA 60 1,542
Petro-Canada 46 2,982
Valero Energy Corp. 25 1,994
10,549
Oil & Gas Services - 1.1%
Halliburton Co. 42 1,989
Pharmaceuticals - 11.9%
Abbott Laboratories 74 3,632
Astrazeneca Plc 56 2,337
Eisai Co. Ltd. 54 1,794
Gilead Sciences Inc. 30 1,333
IVAX Corp. (b) (l) 161 3,452
Merck KGaA 33 2,612
Roche Holding AG 32 4,027
Schering-Plough Corp. 146 2,775
21,962
Retail - 4.5%
Best Buy Co. Inc. 50 3,434
Carphone Warehouse Group Plc 925 3,056
Swatch Group AG 13 1,874
8,364
Semiconductors - 0.9%
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (l) 181 1,651
Software - 4.6%
Electronic Arts Inc. 55 3,102
Pixar Inc. (b) 68 3,393
SAP AG 11 1,934
8,429
Telecommunications - 0.8%
SES Global (b) 100 1,511
Telecommunications Equipment - 4.4%
Cisco Systems Inc. (b) 170 3,249
Corning Inc. (b) 295 4,900
8,149
Tobacco - 2.3%
Altria Group Inc. 40 2,593
Japan Tobacco Inc. - 1,717
4,310
Wireless Telecommunications - 4.5%
Motorola Inc. 82 1,505
Nokia Corp. - Class A - ADR 190 3,153
Telefonaktiebolaget LM Ericsson 748 2,404
Vodafone Group Plc 490 1,194
8,256
Total Common Stocks (cost $171,473) 181,680
Short Term Investments - 13.8%
Money Market Funds - 2.3%
Dreyfus Cash Management Plus Fund, 3.05% (a) 4,272 4,272
Securities Lending Collateral - 11.5%
Mellon GSL Delaware Business Trust Collateral Fund 21,360 21,360
Total Short Term Investments (cost $25,632) 25,632
Total Investments - 112.0% (cost $197,105) 207,312
Other Assets and Liabilities, Net - (12.0%) (22,147)
Total Net Assets - 100% $185,165
JNL/Select Large Cap Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 28.7%
Communications 19.5%
Financial 13.6%
Technology 13.2%
Industrial 10.2%
Consumer, Cyclical 6.6%
Energy 5.5%
Money Market Investment 2.7%
100.0%
Common Stocks - 98.5%
Advertising - 1.6%
Omnicom Group Inc. 43 $3,402
Aerospace & Defense - 4.3%
Boeing Co. 90 5,963
General Dynamics Corp. 31 3,373
9,336
Biotechnology - 0.9%
Genzyme Corp. 32 1,896
Commercial Services - 5.0%
Apollo Group Inc. - Class A (b) 106 8,273
Moody's Corp. (l) 55 2,486
10,759
Computers - 5.6%
Dell Inc. (b) 233 9,210
Research In Motion Ltd. (b) (l) 40 2,916
12,126
Cosmetics & Personal Care - 2.0%
Proctor & Gamble Co. 84 4,416
Distribution & Wholesale - 1.4%
CDW Corp. (l) 52 2,944
Diversified Financial Services - 11.5%
Capital One Financial Corp. (l) 57 4,532
Chicago Mercantile Exchange Holdings Inc. 20 5,886
Countrywide Financial Corp. 302 11,651
Franklin Resources Inc. 9 677
Legg Mason Inc. 21 2,228
24,974
Healthcare - 8.3%
Aetna Inc. 53 4,380
Coventry Health Care Inc. (b) 29 2,066
Medtronic Inc. 174 9,036
WellPoint Inc. (b) 36 2,510
17,992
Home Builders - 1.1%
Lennar Corp. (l) 37 2,343
Insurance - 1.2%
Progressive Corp. 26 2,554
Internet - 8.6%
Ebay Inc. (b) 66 2,183
Google Inc. - Class A (b) 25 7,413
Yahoo! Inc. (b) 264 9,131
18,727
Lodging - 1.5%
Starwood Hotels & Resorts Worldwide Inc. 57 3,350
Manufacturing - 6.0%
Danaher Corp. (l) 107 5,575
General Electric Corp. 212 7,360
12,935
Media - 5.4%
Comcast Corp - Special Class A (b) (l) 75 2,234
XM Satellite Radio Holdings - Class A (b) (l) 280 9,430
11,664
Oil & Gas Producers - 3.7%
Petro - Canada (b) 88 5,745
Petroleo Brasileiro SA - ADR 43 2,224
7,969
Oil & Gas Services - 1.9%
Halliburton Co. 86 4,106
Pharmaceuticals - 12.9%
Abbott Laboratories 109 5,359
AstraZeneca Plc - ADR 223 9,186
Forest Laboratories Inc. (b) 71 2,743
Gilead Sciences Inc. 64 2,825
Sanofi-synthelabo SA - ADR 74 3,043
Schering-Plough Corp. 252 4,800
27,956
Retail - 2.7%
Abercrombie & Fitch Co. - Class A 38 2,624
Petsmart Inc. 107 3,244
5,868
Savings & Loans - 1.1%
Golden West Financial Corp. 36 2,319
Software - 7.7%
Electronic Arts Inc. 179 10,137
Microsoft Corp. 195 4,851
Pixar Inc. (b) 35 1,754
16,742
Telecommunications Equipment - 3.1%
Cisco Systems Inc. (b) 356 6,797
Wireless Telecommunications - 1.0%
America Movil SA de CV 37 2,188
Total Common Stocks (cost $199,292) 213,363
Short Term Investments - 11.6%
Money Market Funds - 2.7%
Dreyfus Cash Management Plus Fund, 3.05% (a) 5,841 5,841
Securities Lending Collateral - 8.9%
Mellon GSL Delaware Business Trust Collateral Fund 19,304 19,304
Total Short Term Investments (cost $25,145) 25,145
Total Investments - 110.1% (cost $224,437) 238,508
Other Assets and Liabilities, Net - (10.1%) (21,907)
Total Net Assets - 100% $216,601
JNL/Select Money Market Fund
Percentage of Total
Industry Sector Investments (o)
Financial 54.4%
Mortgage Securities 30.8%
Consumer, Non-cyclical 12.1%
Asset Backed Securities 2.6%
Money Market Investment 0.1%
100.0%
Corporate Bonds - 9.4%
Asset Backed Securities - 3.0%
GE Commercial Equipment Financing LLC
3.22%, 11/20/05 (g) $616 $616
2.59%, 12/22/05 (e) (g) 465 465
Lothian Mortgages, 3.29%, 01/24/06 (e) 1,950 1,950
Permanent Financing Plc
3.31%, 03/10/06 1,540 1,540
3.201%, 06/10/06 2,210 2,210
6,781
Banks - 4.1%
Credit Suisse First Boston USA Inc., 3.38%, 12/08/05 3,500 3,501
Northern Rock, 3.17%, 07/13/05 (e) 2,000 2,000
US Bancorp., 3.564%, 09/16/05 3,500 3,501
9,002
Certificates of Deposit - 2.3%
Barclays Bank Plc, 3.124%, 05/09/06 5,000 4,999
Total Corporate Bonds (cost $20,782) 20,782
Government Securities - 3.2%
U.S. Government Agencies - 3.2%
Federal National Mortgage Association,
7.00%, 07/15/05 (l) $7,000 7,012
Total Government Securities (cost $7,012) 7,012
Short Term Investments - 28.9%
Certificates of Deposit - 24.1%
ABN-AMRO Bank, 3.455%, 12/09/05 4,000 4,000
American Express Bank, 3.28%, 02/28/06 2,500 2,500
American Express Credit Corp., 3.12%, 07/12/05 4,000 4,000
Caylon N. America, 3.455%, 12/30/05 4,200 4,200
Citibank, 3.435%, 09/29/05 5,000 5,000
Depfa Bank Plc, 3.065%, 07/14/05 5,000 5,000
Deutsche Bank AG, 3.53%, 12/12/05 5,500 5,500
Fortis Bank, 3.54%, 12/19/05 5,000 5,000
HBOS Treasury Services Plc, 2.46%, 12/09/05 4,000 4,000
Regions Bank, 3.12%, 08/09/05 4,500 4,500
Wells Fargo, 3.20%, 07/19/05 5,400 5,400
Wilmington Trust Corp., 3.14%, 08/04/05 4,525 4,525
53,625
Insurance - 2.7%
MetLife Inc., 3.29%, 05/01/06 6,000 6,000
Money Market Funds - 0.0%
Dreyfus Cash Management Plus Fund, 3.05% (a) 40 40
Repurchase Agreement - 1.6%
Repurchase Agreement with Bank of America Securities, 3.43%,
(Collateralized by $3,640 Federal National Mortgage Securities , 5.00%, due
03/01/35, market value $3,639)
acquired on 06/30/05, due 07/01/05 at $3,500 $3,500 3,500
Securities Lending Collateral - 0.5%
Mellon GSL Delaware Business Trust Collateral Fund 1,055 1,055
Total Short Term Investments (cost $64,220) 64,220
Commercial Paper - 58.4%
Diversified Financial Services - 58.4%
Aorcco Corp., 3.08%, 07/07/05 1,755 1,754
Cafco LLC, 3.08%, 07/12/05 4,700 4,696
Chariot Funding LLC, 3.16%, 07/15/05 4,000 3,995
Clipper Receivables
3.05%, 07/05/05 3,395 3,394
3.11%, 07/11/05 955 954
Coca-Cola Co., 3.25%, 08/03/05 5,000 4,985
CRC Funding, 3.07%, 07/08/05 4,500 4,497
Eureka Securities Plc, 3.07%, 07/07/05 4,055 4,053
General Electric Corp., 3.05%, 07/18/05 5,000 4,993
GlaxoSmithKline Finance Plc, 3.05%, 07/08/05 5,000 4,997
Goldman Sachs Group Inc., 3.09%, 07/08/05 4,800 4,797
Greyhawk Funding, 3.18%, 08/18/05 4,500 4,481
HBOS Treasury Services Plc, 3.05%, 07/18/05 3,000 2,996
International Business Machines Corp., 3.02%, 07/13/05 2,986 2,983
International Lease Finance Corp.
3.25%, 08/08/05 2,630 2,621
3.26%, 08/09/05 3,000 2,989
KFW International Finance, 3.05%, 07/25/05 2,500 2,495
Merrill Lynch & Co. Inc., 3.24%, 07/15/05 4,300 4,295
Morgan Stanley Capital I, 3.08%, 07/18/05 5,000 4,993
Nestle Capital, 3.00%, 07/01/05 5,000 5,000
New York Life Cap, 3.13%, 07/18/05 6,000 5,991
New York Times Co., 3.31%, 08/23/05 5,710 5,682
Pitney Bowes Inc., 3.25%, 07/12/05 4,700 4,695
Proctor & Gamble Co., 3.03%, 07/05/05 3,150 3,149
Sheffield Receivables, 3.26%, 07/25/05 4,000 3,991
Total Capital Corp., 3.03%, 07/05/05 6,000 5,998
Variable Funding Capital Corp., 3.06%, 07/08/05 4,500 4,497
Wal-Mart Stores Inc., 3.12%, 07/19/05 6,020 6,011
Windmill Funding Co., 3.14%, 08/10/05 4,700 4,684
Yale University, 3.17%, 08/04/05 4,800 4,786
Yorktown Capital, 3.14%, 07/13/05 4,300 4,295
Total Commercial Paper (cost $129,747) 129,747
Total Investments - 99.9% (cost $221,761) 221,761
Other Assets and Liabilities, Net - 0.1% 198
Total Net Assets - 100% $221,959
JNL/Select Value Fund
Percentage of Total
Industry Sector Investments (o)
Financial 24.4%
Consumer, Non-cyclical 14.6%
Industrial 13.0%
Energy 10.3%
Utilities 9.6%
Communications 8.2%
Consumer, Cyclical 7.6%
Basic Materials 7.2%
Technology 3.5%
Money Market Investment 1.6%
100.0%
Common Stocks - 98.8%
Aerospace & Defense - 1.7%
General Dynamics Corp. 38 $4,108
Airlines - 1.6%
Southwest Airlines Co. 265 3,696
Apparel - 1.4%
Nike Inc. - Class B 36 3,118
Banks - 9.5%
Bank of America Corp. 207 9,460
National City Corp. 138 4,695
PNC Financial Services Group Inc. 34 1,835
Suntrust Bank Inc. 31 2,254
Wells Fargo & Co. 55 3,368
21,612
Beverages - 1.7%
PepsiCo Inc. 72 3,894
Chemicals - 3.9%
Dow Chemical Co. 76 3,366
E.I. du Pont de Nemours & Co. 94 4,039
Huntsman Corp. (b) (l) 69 1,403
8,808
Commercial Services - 0.4%
Manpower Inc. 26 1,014
Diversified Financial Services - 7.8%
Citigroup Inc. 213 9,828
Goldman Sachs Group Inc. 45 4,560
JPMorgan Chase & Co. 93 3,275
17,663
Electric - 9.6%
Consolidated Edison Inc. (l) 50 2,356
Dominion Resources Inc. 52 3,809
Entergy Corp. 43 3,264
Exelon Corp. 132 6,770
PPL Corp. 36 2,132
Scana Corp. (l) 44 1,896
TXU Corp 20 1,654
21,881
Electrical Components & Equipment - 1.6%
Emerson Electric Co. 57 3,576
Food - 1.6%
Kellogg Co. 83 3,697
Healthcare - 4.9%
Baxter International Inc. 94 3,473
Beckman Coulter Inc. 30 1,913
WellPoint Inc. (b) 82 5,683
11,069
Household Products - 1.1%
Kimberly-Clark Corp 39 2,466
Insurance - 4.9%
ACE Ltd. 51 2,278
American International Group Inc. 51 2,957
Chubb Corp. 41 3,484
Principal Financial Group 56 2,331
11,050
Machinery - 4.5%
Caterpillar Inc. 83 7,930
Rockwell Automation Inc. 47 2,299
10,229
Manufacturing - 2.1%
Illinois Tool Works Inc. 23 1,849
Parker Hannifin Corp. 18 1,085
Tyco International Ltd. 63 1,851
4,785
Media - 2.9%
Comcast Corp. - Class A (b) 129 3,948
Time Warner Inc. (b) 159 2,655
6,603
Metal Fabrication & Hardware - 1.1%
Precision Castparts Corp. 33 2,555
Mining - 3.3%
Alcoa Inc. 176 4,588
Cameco Corp. 65 2,922
7,510
Oil & Gas Producers - 10.4%
ConocoPhillips 100 5,755
Exxon Mobil Corp. 189 10,850
GlobalSantaFe Corp. 144 5,863
Occidental Petroleum Corp. 15 1,115
23,583
Pharmaceuticals - 4.9%
Pfizer Inc. 153 4,228
Watson Pharmaceuticals Inc. (b) 83 2,462
Wyeth 100 4,450
11,140
Real Estate - 0.2%
CB Richard Ellis Group Inc. (b) 11 491
Retail - 4.7%
CVS Corp. 199 5,791
Dollar General Corp. 116 2,370
McDonald's Corp. 87 2,411
10,572
Savings & Loans - 2.0%
Golden West Financial Corp. (l) 55 3,567
Washington Mutual Inc. 26 1,066
4,633
Semiconductors - 3.5%
Applied Materials Inc. 109 1,770
Intel Corp. 106 2,752
LAM Research Corp (b) (l) 59 1,713
Teradyne Inc. (b) 148 1,772
8,007
Telecommunications - 4.3%
AT&T Corp. 58 1,104
BellSouth Corp. 103 2,737
SBC Communications Inc. 109 2,582
Sprint Corp. (l) 129 3,224
9,647
Transportation - 2.0%
CSX Corp. 104 4,428
Wireless Telecommunications - 1.0%
Nokia Corp. - Class A - ADR 141 2,343
Total Common Stocks (cost $211,739) 224,178
Short Term Investments - 5.1%
Money Market Funds - 1.6%
Dreyfus Cash Management Plus Fund, 3.05% (a) 3,730 3,730
Securities Lending Collateral - 3.4%
Mellon GSL Delaware Business Trust Collateral Fund 7,746 7,746
Total Short Term Investments (cost $11,476) 11,476
Total Investments - 103.9% (cost $223,215) 235,654
Other Assets and Liabilities, Net - (3.9%) (8,798)
Total Net Assets - 100% $226,856
JNL/T. Rowe Price Established Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 19.8%
Financial 18.7%
Communications 17.5%
Technology 16.4%
Consumer, Cyclical 12.9%
Industrial 6.8%
Energy 5.0%
Money Market Investment 2.3%
Basic Materials 0.6%
100.0%
Common Stocks - 97.8%
Agriculture - 0.5%
Monsanto Co. 50 $3,156
Banks - 5.5%
Anglo Irish Bank Corp. Plc - ADR (b) 371 4,608
Northern Trust Corp. 138 6,301
State Street Corp. 235 11,329
UBS AG 133 10,397
US Bancorp. 176 5,145
37,780
Beverages - 0.7%
Coca-Cola Co. 61 2,534
PepsiCo Inc. 49 2,632
5,166
Biotechnology - 2.4%
Amgen Inc. (b) 143 8,640
Biogen Idec Inc. (b) 41 1,416
Genentech Inc. (b) 82 6,599
16,655
Commercial Services - 3.8%
Accenture Ltd. (b) 453 10,260
Apollo Group Inc. - Class A (b) 98 7,673
Cendant Corp. (b) (l) 373 8,351
26,284
Computers - 4.0%
Affiliated Computer Services - Class A (b) (l) 122 6,209
Dell Inc. (b) 352 13,904
EMC Corp. (b) 336 4,605
Research In Motion Ltd. (b) 38 2,817
27,535
Cosmetics & Personal Care - 0.9%
Gillette Co. 128 6,460
Diversified Financial Services - 8.8%
American Express Co. 174 9,235
Ameritrade Holding Corp. (b) 185 3,441
Charles Schwab Corp. 386 4,352
Citigroup Inc. 449 20,746
Countrywide Financial Corp. 75 2,903
Franklin Resources Inc. 52 3,980
Goldman Sachs Group Inc. 29 2,959
Merrill Lynch & Co. Inc. 106 5,837
SLM Corp. (l) 146 7,437
60,890
Electrical Components & Equipment - 0.4%
Samsung Electronics Co. Ltd. 6 3,034
Entertainment - 0.8%
International Game Technology 198 5,577
Food - 0.7%
Sysco Corp. 134 4,839
Healthcare - 7.6%
Biomet Inc. 118 4,074
Johnson & Johnson 97 6,305
Medtronic Inc. 112 5,785
St. Jude Medical Inc. (b) 34 1,487
Stryker Corp. 93 4,399
UnitedHealth Group Inc. 312 16,252
WellPoint Inc. 183 12,709
Zimmer Holdings Inc. (b) 18 1,371
52,382
Home Furnishings - 0.4%
Harman International Industries Inc. 33 2,669
Insurance - 4.4%
ACE Ltd. 63 2,835
American International Group Inc. 275 15,948
Genworth Financial Inc. - Class A 102 3,074
Hartford Financial Services Group Inc. 97 7,216
Marsh & McLennan Cos. Inc. 61 1,690
30,763
Internet - 3.2%
Ebay Inc. (b) 74 2,426
Google Inc. - Class A (b) 14 4,236
IAC/InterActiveCorp (b) (l) 110 2,638
Symantec Corp. (b) 168 3,648
VeriSign Inc. (b) 68 1,961
Yahoo! Inc. (b) 205 7,117
22,026
Leisure Time - 1.3%
Carnival Corp. 171 9,334
Lodging - 0.7%
MGM Mirage Inc. (b) 40 1,567
Wynn Resorts Ltd. (l) 75 3,564
5,131
Machinery - 0.6%
Deere & Co. 60 3,929
Manufacturing - 5.9%
Danaher Corp. (l) 232 12,138
General Electric Corp. 555 19,238
Tyco International Ltd. 334 9,747
41,123
Media - 7.4%
Comcast Corp - Special Class A (b) (l) 248 7,413
EchoStar Communications Corp. 78 2,343
EW Scripps Co. 73 3,558
Liberty Media Corp. (b) 970 9,885
News Corp. Inc. (l) 517 8,357
Rogers Communications Inc. 101 3,311
Time Warner Inc. (b) 420 7,025
Univision Communications Inc. - Class A (b) (l) 213 5,876
Viacom Inc. - Class B (b) 110 3,516
51,284
Mining - 0.6%
BHP Billiton - Broken Hill Propreitary Co. Ltd. 320 4,373
Oil & Gas Producers - 2.5%
Exxon Mobil Corp. 138 7,926
Total SA 39 9,244
17,170
Oil & Gas Services - 2.5%
Baker Hughes Inc. 158 8,094
Schlumberger Ltd. 125 9,515
17,609
Pharmaceuticals - 3.2%
Caremark Rx Inc. (b) 66 2,956
Gilead Sciences Inc. 137 6,031
Pfizer Inc. 210 5,798
Teva Pharmaceutical Industries Ltd. - ADR (l) 120 3,743
Wyeth 76 3,400
21,928
Retail - 9.7%
Best Buy Co. Inc. 99 6,790
Family Dollar Stores Inc. 82 2,130
Home Depot Inc. 192 7,486
Industria De Diseno Textil SA 91 2,342
Kohl's Corp. (b) 161 8,985
Petsmart Inc. 146 4,428
Target Corp. 187 10,169
Walgreen Co. 121 5,556
Wal-Mart de Mexico SA de CV 210 853
Wal-Mart de Mexico SA de CV - ADR 46 1,879
Wal-Mart Stores Inc. 340 16,369
66,987
Semiconductors - 5.0%
Analog Devices Inc. 202 7,522
ASML Holding NV (b) 240 3,778
Intel Corp. 439 11,448
Marvell Technology Group Ltd. (l) 112 4,253
Maxim Integrated Products Inc. 82 3,122
Xilinx Inc. 170 4,325
34,448
Software - 7.1%
Automatic Data Processing Inc. 136 5,687
Electronic Arts Inc. 25 1,415
First Data Corp. 144 5,768
Fiserv Inc. (b) 116 4,999
Intuit Inc. (b) 36 1,628
Mercury Interactive Corp. (b) (l) 60 2,313
Microsoft Corp. 798 19,812
Oracle Corp. (b) 450 5,937
Red Hat Inc. (b) (l) 117 1,529
49,088
Telecommunications - 0.9%
Sprint Corp. 128 3,219
TELUS Corp. 94 3,242
6,461
Telecommunications Equipment - 2.3%
Cisco Systems Inc. (b) 150 2,874
Corning Inc. (b) 630 10,462
Juniper Networks Inc. (b) (l) 101 2,546
15,882
Transportation - 0.3%
United Parcel Service - Class B 28 1,916
Wireless Telecommunications - 3.7%
America Movil SA de CV 82 4,900
Crown Castle International Corp. 205 4,174
Nextel Communications Inc. (b) 165 5,344
Nokia Oyj 277 4,650
Qualcomm Inc. 101 3,337
Vodafone Group Plc 1,354 3,301
25,706
Total Common Stocks (cost $608,331) 677,585
Short Term Investments - 10.4%
Money Market Funds - 2.3%
Dreyfus Cash Management Plus Fund, 3.05% (a) 3,499 3,499
T. Rowe Price Reserves Investment Fund, 3.23% (a) (n) 12,693 12,693
16,192
Securities Lending Collateral - 8.1%
Mellon GSL Delaware Business Trust Collateral Fund 56,097 56,097
Total Short Term Investments (cost $72,289) 72,289
Total Investments - 108.2% (cost $680,620) 749,874
Other Assets and Liabilities, Net - (8.2%) (56,896)
Total Net Assets - 100% $692,978
JNL/T. Rowe Price Mid-Cap Growth Fund
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 23.7%
Consumer, Cyclical 14.3%
Communications 14.2%
Technology 14.2%
Industrial 12.9%
Financial 9.0%
Energy 7.0%
Money Market Investment 4.1%
Basic Materials 0.6%
100.0%
Common Stocks - 96.0%
Advertising - 1.1%
Catalina Marketing Corp. 106 $2,693
Getty Images Inc. (b) (l) 22 1,619
Harte-Hanks Inc. 2 65
Lamar Advertising Co. (b) (l) 2 77
Omnicom Group Inc. 3 208
WPP Group Plc 3 143
4,805
Aerospace & Defense - 3.0%
Alliant Techsystems Inc. (b) 83 5,860
Empresa Brasileira de Aeronautica SA - ADR 6 202
Goodrich Corp. 65 2,662
Rockwell Collins 160 7,638
16,362
Agriculture - 0.0%
Delta & Pine Land Co. 3 70
Monsanto Co. 2 145
215
Airlines - 1.2%
JetBlue Airways Corp. (b) (l) 118 2,412
Skywest Inc. 7 120
Southwest Airlines Co. 309 4,308
6,840
Apparel - 0.0%
Coach Inc. (b) 5 164
Auto Manufacturers - 0.8%
Oshkosh Truck Corp. 60 4,697
Auto Parts & Equipment - 0.6%
TRW Automotive Holdings Corp. (b) 126 3,088
Banks - 0.7%
Boston Private Financial Holdings 4 88
City National Corp. 1 86
East West Bancorp. Inc. 3 111
First Horizon National Corp. (l) 2 80
Investors Financial Services Corp. (l) 25 953
Mellon Financial Corp. 7 204
North Fork Bancorp. Inc. 4 105
Northern Trust Corp. 8 351
State Street Corp. (l) 9 444
SVB Financial Group (b) (l) 22 1,049
Synovus Financial Corp. 6 181
UCBH Holdings Inc. 7 110
3,762
Beverages - 0.8%
Cogent Inc. (b) 37 1,068
Cott Corp. (b) 151 3,290
4,358
Biotechnology - 2.6%
Charles River Laboratories International Inc. (b) 2 116
Clegene Corp. (b) (l) 50 2,051
deCODE genetics Inc. (b) 9 80
Diversa Corp. (b) 18 94
Genzyme Corp. 1 84
Human Genome Sciences Inc. (b) (l) 101 1,168
Integra Lifesciences Holdings Corp. (b) 1 38
Invitrogen Corp. (b) (l) 2 125
Martek Biosciences Corp. (b) (l) 2 72
Medimmune Inc. (b) 266 7,102
Millennium Pharmaceuticals Inc. (b) 11 103
Millipore Corp. 3 142
Nektar Therapeutics (b) 5 83
Protein Design Labs Inc. (b) (l) 71 1,441
Qiagen NV (b) 11 128
Vertex Pharmaceuticals Inc. (b) 95 1,596
14,423
Building Materials - 0.7%
American Standard Cos. 89 3,731
Trex Co. Inc. (b) (l) 2 49
3,780
Chemicals - 0.1%
Ecolab Inc. 2 71
Engelhard Corp. 3 83
Praxair Inc. 1 51
Sigma-Aldrich Corp. (l) 1 56
Symyx Technologies Inc. (b) 2 67
Valspar Corp. 3 130
458
Commercial Services - 4.7%
Apollo Group Inc. - Class A (b) 32 2,497
Aramark Corp. (b) 3 79
Career Education Corp. (b) (l) 3 121
Choicepoint Inc. 145 5,795
Corporate Executive Board Co. 2 180
Devry Inc. 3 62
Education Management Corp. (b) 97 3,285
Equifax Inc. 3 96
H&R Block Inc. 2 88
Iron Mountain Inc. (b) (l) 153 4,757
ITT Educational Services Inc. 3 134
LECG Corp. (b) 4 81
Manpower Inc. 115 4,579
Moody's Corp. 9 409
Paychex Inc. 8 247
Robert Half Intl Inc. (l) 95 2,377
Universal Technical Institute Inc. (b) 3 86
Viad Corp. 49 1,389
26,262
Computers - 4.1%
Affiliated Computer Services - Class A (b) 2 123
CACI Interantional Inc. - Class A (b) (l) 59 3,726
Cadence Design Systems Inc. (b) (l) 278 3,792
Cognizant Tech Solutions Corp. (b) 5 240
Diebold Inc. (l) 68 3,067
DST Systems Inc. (b) 112 5,246
Factset Research Systems Inc. (l) 4 140
Jack Henry & Associates Inc. 112 2,054
Lexmark International Inc. (b) 4 227
Mercury Computer Systems Inc. (b) 2 60
National Instruments Corp. 3 70
Network Appliance Inc. (b) 2 62
Research In Motion Ltd. (b) 22 1,586
Sungard Data Systems Inc. 60 2,110
Synopsys Inc. 5 82
22,585
Distribution & Wholesale - 0.7%
CDW Corp. (l) 68 3,899
Diversified Financial Services - 5.3%
AG Edwards Inc. 2 95
Ameritrade Holding Corp. (b) 326 6,057
Amvescap Plc - ADR 4 48
CapitalSource Inc. (b) (l) 133 2,611
Charles Schwab Corp. 17 185
E*trade Group Inc. (b) 219 3,064
Eaton Vance Corp. 160 3,833
Federated Investors Inc. - Class B 62 1,867
First Marblehead Corp. (b) (l) 1 49
Franklin Resources Inc. 5 408
Lazard Ltd. - Class A (b) 6 140
Legg Mason Inc. 50 5,200
Nuveen Investments - Class A (b) 78 2,919
Raymond James Financial Inc. 3 88
Waddell & Reed Financial Inc. - Class A (l) 156 2,885
29,449
Electrical Components & Equipment - 0.0%
Ametek Inc. 2 84
Littelfuse Inc. (b) 3 81
Molex Inc. - Class A 4 100
265
Electronics - 4.5%
Applied Biosystems Group - Applera Corp. 4 73
Cymer Inc. (b) (l) 3 79
Dolby Laboratories Inc. - Class A (b) 101 2,230
Flextronics International Ltd. (b) 331 4,373
Flir Systems Inc. 115 3,426
Garmin Ltd. (l) 68 2,907
Gentex Corp. 255 4,637
II-VI Inc. (b) 5 94
Jabil Circuit Inc. (b) 159 4,883
Mettler Toledo International Inc. (b) 2 84
Symbol Technologies Inc. 11 105
Waters Corp. (b) 60 2,214
25,105
Entertainment - 0.4%
Dreamworks Animation SKG Inc. (b) 71 1,868
International Game Technology 8 211
Shuffle Master Inc. (b) (l) 4 122
2,201
Environmental Control - 0.0%
Stericycle Inc. 2 116
Food - 0.5%
Hershey Foods Corp. 2 93
McCormick & Co. Inc. 3 88
Tootsie Roll Industries Inc. 3 81
Whole Foods Market Inc. 19 2,248
WM Wrigley Jr Co. 1 76
2,586
Healthcare - 7.4%
Arthrocare Corp. (b) (l) 3 108
Bausch & Lomb Inc. 21 1,743
Beckman Coulter Inc. 2 108
Becton Dickinson & Co. 2 126
Biomet Inc. 8 260
Community Health Systems Inc. (b) (l) 84 3,174
Cooper Cos. Inc. 2 146
Coventry Health Care Inc. (b) (l) 40 2,816
CR Bard Inc. 3 226
DaVita Inc. (b) 43 1,937
Dentsply International Inc. 3 140
Edwards Lifesciences Corp. (b) 79 3,381
Gen-Probe Inc. (b) 46 1,670
Health Management Associates Inc. (l) 179 4,686
Henry Schein Inc. 4 174
Inamed Corp. (b) 21 1,426
Kinetic Concepts Inc. (b) 56 3,360
Kyphon Inc. (b) (l) 5 188
Laboratory Corp. (b) 105 5,244
Lincare Holdings Inc. (b) (l) 4 143
Manor Care Inc. 158 6,289
Patterson Cos. Inc. (b) (l) 2 99
Quest Diagnostics Inc. 6 341
Resmed Inc. (b) 2 132
Respironics Inc. (b) 3 123
Smith & Nephew Plc - ADR 2 119
St. Jude Medical Inc. (b) 3 135
Sybron Dental Specialties Inc. (b) 2 79
Techne Corp. (b) 3 115
Varian Medical Systems Inc. (b) (l) 40 1,508
WellChoice Inc. (b) 6 424
WellPoint Inc. (b) 4 265
Wright Medical Group Inc. (b) 5 125
Zimmer Holdings Inc. (b) (l) 1 69
40,879
Home Builders - 0.1%
Centex Corp. 1 71
KB Home 1 107
Lennar Corp. 2 95
Pulte Homes Inc. 1 67
Thor Industries 4 123
Toll Brothers Inc. (b) (l) 1 112
Winnebago Industries (l) 4 117
692
Home Furnishings - 0.6%
Harman International Industries Inc. 43 3,466
Household Products - 0.0%
Avery Dennison Corp. 2 79
Insurance - 3.0%
AMBAC Financial Group Inc. 2 119
Arch Capital Group Ltd. (b) 1 63
Arthur J. Gallagher & Co. 3 90
Assurant Inc. (l) 148 5,343
Axis Capital Holdings Ltd. 76 2,148
Brown & Brown Inc. (l) 2 85
Markel Corp. (b) (l) - 68
Marsh & McLennan Cos. Inc. 3 78
MBIA Inc. (l) 2 113
MGIC Investment Corp. 1 91
Principal Financial Group (l) 84 3,520
Protective Life Corp. 38 1,604
Radian Group Inc. 2 94
Renaissancere Holdings Ltd. 2 94
Triad Guaranty Inc. (b) 2 81
Willis Group Holdings Ltd. 92 3,013
16,604
Internet - 4.3%
Amazon.Com Inc. (b) (l) 87 2,861
Check Point Software Technologies Ltd. 7 141
Checkfree Corp. (b) (l) 77 2,623
CNET Networks Inc. (b) (l) 215 2,524
F5 Networks Inc. (b) 2 80
Internet Security Systems (b) (l) 3 55
Macromedia Inc. (b) 27 1,032
Matrixone Inc. (b) 10 51
McAfee Inc. (b) 190 4,979
Monster Worldwide Inc. (b) (l) 123 3,522
Sina Corp. (b) 3 89
VeriSign Inc. (b) (l) 202 5,810
Websense Inc. (b) 1 62
23,829
Leisure Time - 1.1%
Brunswick Corp. 124 5,363
Harley Davidson Inc. 2 79
Royal Caribbean Cruises Ltd. 6 285
Sabre Holdings Corp. (l) 4 74
WMS Industries Inc. (b) 3 95
5,896
Lodging - 1.4%
Boyd Gaming Corp. 5 245
Choice Hotels International Inc. 5 315
Fairmont Hotels & Resorts Inc. 171 5,952
Harrah's Entertainment Inc. 4 310
Hilton Hotels Corp. 4 98
Marriott International Inc. - Class A 6 423
Station Casinos Inc. (l) 7 432
Wynn Resorts Ltd. (b) (l) 4 203
7,978
Machinery - 0.0%
IDEX Corp. 2 81
Zebra Technologies Corp. 3 114
195
Manufacturing - 3.6%
Danaher Corp. (b) (l) 68 3,570
ITT Industries Inc. 50 4,891
Pall Corp. 4 121
Roper Industries Inc. 105 7,472
Teleflex Inc. 67 3,978
20,032
Media - 3.7%
Citadel Broadcasting Corp. (b) 309 3,533
Cox Radio Inc. - Class A (b) (l) 111 1,747
Cumulus Media Inc. - Class B (b) 6 65
Entercom Communications Corp. (b) (l) 35 1,152
EW Scripps Co. 2 88
McGraw-Hill Cos. Inc. 2 80
Meredith Corp. (l) 2 103
New York Times Co. - Class A (l) 3 97
Radio One Inc. (b) (l) 8 105
Regent Communications Inc. (b) 17 97
Rogers Communications Inc. 174 5,711
Salem Communications - Class A (b) 7 143
Scholastic Corp. (b) 41 1,581
Spanish Broadcasting System - Class A (b) 12 116
Univision Communications Inc. - Class A (b) (l) 136 3,758
Washington Post Co. - 84
Westwood One Inc. (b) (l) 5 96
XM Satellite Radio Holdings - Class A (b) (l) 55 1,851
20,407
Metal Fabrication & Hardware - 0.0%
Precision Castparts Corp. 2 164
Mining - 0.6%
Newmont Mining Corp. 79 3,083
Office Furnishings - 0.0%
HNI Corp. 2 118
Oil & Gas Producers - 3.4%
EOG Resources Inc. 111 6,305
Murphy Oil Corp. 134 7,009
XTO Energy Inc. 170 5,765
19,079
Oil & Gas Services - 3.0%
Baker Hughes Inc. 3 169
BJ Services Co. (l) 128 6,723
Cooper Cameron Corp. (b) (l) 5 298
FMC Technologies Inc. (b) 105 3,357
Smith International Inc. 87 5,523
Weatherford International Ltd. (b) 6 319
16,389
Packaging & Containers - 0.0%
Sealed Air Corp. 2 80
Pharmaceuticals - 7.8%
Abgenix Inc. (b) (l) 90 770
Alkermes Inc. (b) 120 1,586
Allergan Inc. 1 111
Amylin Pharmaceuticals Inc. (b) (l) 65 1,363
Andrx Group (b) 92 1,869
Atherogenics Inc. (b) 6 101
Barr Laboratories Inc. 94 4,582
Caremark Rx Inc. (b) 5 200
Cephalon Inc. (b) (l) 88 3,487
Elan Corp. Plc - ADR (b) (l) 236 1,610
Express Scripts Inc. (b) (l) 4 220
Gilead Sciences Inc. 131 5,745
IVAX Corp. (b) (l) 239 5,128
Medco Health Solutions Inc. (b) 4 219
Medicines Co. (b) (l) 2 47
Neurocrine Biosciences Inc. (b) 52 2,196
Omnicare Inc. 187 7,913
OSI Pharmaceuticals Inc. (b) 22 879
Sepracor Inc. 48 2,892
Taro Pharmaceutical Industries Ltd. (b) 48 1,395
Valeant Pharmaceutical International (l) 68 1,199
43,512
Pipelines - 0.6%
Western Gas Resources Inc. 94 3,281
Retail - 7.3%
Bed Bath & Beyond Inc. (b) 6 242
Best Buy Co. Inc. 92 6,307
Carmax Inc. (b) (l) 73 1,945
Cheesecake Factory Inc. (b) (l) 109 3,773
Dollar General Corp. 140 2,846
Dollar Tree Stores Inc. (b) (l) 2 58
Family Dollar Stores Inc. 159 4,137
Fred's Inc. (l) 3 56
Men's Wearhouse Inc. (b) (l) 3 114
MSC Industrial Direct Co. - Class A 17 574
O'Reilly Automotive Inc. (b) 123 3,673
Outback Steakhouse Inc. 2 77
Petsmart Inc. 151 4,574
PF Chang's China Bistro Inc. (b) (l) 35 2,064
Ross Stores Inc. 124 3,573
Ruby Tuesday Inc. 2 44
Shoppers Drug Mart Corp. 66 2,290
Staples Inc. 8 160
Tiffany & Co. (l) 7 216
TJX Cos. Inc. 9 219
Williams-Sonoma Inc. (b) (l) 83 3,276
40,218
Semiconductors - 4.8%
Altera Corp. (b) 19 377
AMIS Holdings Inc. (b) 117 1,559
Analog Devices Inc. 11 392
Broadcom Corp. - Class A (b) 4 124
Integrated Circuit Systems Inc. (b) 100 2,068
Intersil Corp. 209 3,925
KLA-Tencor Corp. (b) (l) 2 101
LAM Research Corp. (b) 3 90
Linear Technology Corp. (l) 11 404
Marvell Technology Group Ltd. (b) 28 1,077
Maxim Integrated Products Inc. 12 439
Microchip Technology Inc. 166 4,914
National Semiconductor Corp. (l) 20 441
Novellus Systems Inc. (b) 150 3,716
PMC - Sierra Inc. (b) 154 1,437
Qlogic Corp. (b) 3 99
Semtech Corp. (b) 95 1,587
Silicon Laboratories Inc. (b) (l) 7 186
Xilinx Inc. (l) 149 3,800
26,736
Software - 5.3%
Activision Inc. (b) 131 2,170
Adobe Systems Inc. 83 2,364
Certegy Inc. 155 5,936
Citrix Systems Inc. (b) 4 89
Cognos Inc. (b) 3 85
Dun & Bradstreet Corp. (b) 3 179
Electronic Arts Inc. 2 130
Fair Isaac Inc. 3 117
Filenet Corp. (b) 3 80
Fiserv Inc. (b) (l) 3 146
Global Payments Inc. (l) 51 3,478
Hyperion Solutions Corp. (b) 2 76
IMS Health Inc. 6 149
Intuit Inc. (b) (l) 35 1,592
Mercury Interactive Corp. (b) (l) 69 2,655
Moneygram International Inc. 178 3,400
NAVTEQ Corp. (b) 108 4,027
Novell Inc. (b) 14 84
Red Hat Inc. (b) (l) 155 2,027
Salesforce.com Inc. (b) 6 131
SEI Investments Co. 2 82
THQ Inc. (b) (l) 3 73
Veritas Software Corp. (b) 14 337
29,407
Telecommunications - 0.7%
Neustar Inc. - Class A (b) 2 59
TELUS Corp. 103 3,621
3,680
Telecommunications Equipment - 2.7%
Adtran Inc. (l) 152 3,776
Comverse Technology Inc. (b) (l) 77 1,821
Corning Inc. (b) 7 116
Harris Corp. 214 6,679
Juniper Networks Inc. (b) 89 2,228
Plantronics Inc. 2 80
14,700
Textiles - 0.0%
Cintas Corp. 6 212
Toys & Hobbies - 0.0%
Mattel Inc. 4 75
Transportation - 0.8%
CH Robinson Worldwide Inc. 53 3,108
Expeditors Intl Wash Inc. (l) 23 1,166
Landstar System Inc. (b) 3 87
UTI Worldwide Inc. 1 84
4,445
Wireless Telecommunications - 2.1%
American Tower Corp. (b) (l) 30 628
Crown Castle International Corp. 251 5,104
Nextel Partners Inc. (b) (l) 225 5,673
11,405
Total Common Stocks (cost $411,847) 532,061
Short Term Investments - 22.6%
Money Market Funds - 4.1%
Dreyfus Cash Management Plus Fund, 3.05% (a) 3,745 3,745
T. Rowe Price Reserves Investment Fund, 3.23% (a) (n) 19,013 19,013
22,758
Securities Lending Collateral - 18.5%
Mellon GSL Delaware Business Trust Collateral Fund 102,659 102,659
Total Short Term Investments (cost $125,417) 125,417
Total Investments - 118.6% (cost $537,264) 657,478
Other Assets and Liabilities, Net - (18.6%) (103,144)
Total Net Assets - 100% $554,334
JNL/T. Rowe Price Value Fund
Percentage of Total
Industry Sector Investments (o)
Financial 23.0%
Consumer, Non-cyclical 14.2%
Communications 13.9%
Industrial 11.8%
Consumer, Cyclical 10.1%
Energy 8.5%
Technology 6.4%
Basic Materials 5.9%
Money Market Investment 3.3%
Utilities 2.9%
100.0%
Common Stocks - 95.1%
Aerospace & Defense - 2.5%
Lockheed Martin Corp. 81 $5,241
Ratheon Co. 103 4,014
Rockwell Collins 60 2,861
12,116
Auto Manufacturers - 1.0%
General Motors Corp. (l) 143 4,876
Auto Parts & Equipment - 0.4%
TRW Automotive Holdings Corp. (b) 87 2,130
Banks - 5.8%
Bank of America Corp. 137 6,248
Comerica Inc. 51 2,936
Mellon Financial Corp. 112 3,219
Royal Bank of Scotland Group Plc 165 4,999
State Street Corp. 139 6,702
US Bancorp. 157 4,576
28,680
Beverages - 2.7%
Coca-Cola Co. 158 6,613
Coca-Cola Enterprises Inc. 106 2,340
Heineken NV 143 4,425
13,378
Biotechnology - 1.2%
Chiron Corp. 36 1,246
Medimmune Inc. (b) 170 4,534
5,780
Chemicals - 1.8%
E.I. du Pont de Nemours & Co. 117 5,011
Great Lakes Chemical Corp. 78 2,442
Hercules Inc. (b) 88 1,245
8,698
Computers - 2.5%
Hewlett-Packard Co. 224 5,276
International Business Machines Corp. 63 4,697
Synopsys Inc. 143 2,379
12,352
Diversified Financial Services - 7.3%
American Express Co. 78 4,147
Charles Schwab Corp. 275 3,096
Citigroup Inc. 105 4,862
Fannie Mae 73 4,257
Franklin Resources Inc. 45 3,449
JPMorgan Chase & Co. 193 6,812
Lazard Ltd. - Class A (b) 56 1,297
Merrill Lynch & Co. Inc. 45 2,497
Morgan Stanley 79 4,150
Nuveen Investments - Class A (b) 46 1,734
36,302
Electric - 2.9%
Duke Energy Corp. (l) 119 3,538
Firstenergy Corp. 79 3,791
NiSource Inc. 234 5,782
Pinnacle West Capital Corp. 27 1,205
14,316
Entertainment - 1.1%
International Game Technology 194 5,467
Environmental Control - 1.0%
Waste Management Inc. 172 4,872
Food - 1.8%
Campbell Soup Co. 105 3,240
General Mills Inc. 93 4,351
Safeway Inc. (b) 65 1,471
9,062
Forest Products & Paper - 2.8%
Bowater Inc. 159 5,160
International Paper Co. (l) 193 5,818
MeadWestvaco Corp. 108 3,031
14,009
Healthcare - 3.0%
Boston Scientific Corp. (b) 188 5,071
Johnson & Johnson 79 5,129
Medtronic Inc. 90 4,661
14,861
Home Furnishings - 0.8%
Sony Corp. - ADR 113 3,892
Household Products - 1.8%
Clorox Co. 21 1,192
Fortune Brands Inc. 26 2,335
Newell Rubbermaid Inc. 222 5,288
8,815
Insurance - 8.8%
Berkshire Hathaway Inc. (b) - 4,175
Cigna Corp. 32 3,393
Genworth Financial Inc. - Class A 165 4,979
Hartford Financial Services Group Inc. (l) 80 5,967
Marsh & McLennan Cos. Inc. 254 7,033
Principal Financial Group (l) 100 4,207
Prudential Financial Inc. 27 1,793
Radian Group Inc. 80 3,773
Safeco Corp. 48 2,608
St. Paul Travelers Cos. Inc. 148 5,836
43,764
Iron & Steel - 0.5%
Nucor Corp. 53 2,422
Leisure Time - 0.5%
Harley Davidson Inc. (l) 48 2,376
Lodging - 1.0%
Fairmont Hotels & Resorts Inc. 139 4,845
Manufacturing - 6.0%
Cooper Industries Ltd. - Class A 37 2,383
Eastman Kodak Co. 53 1,428
Eaton Corp. 33 1,953
General Electric Corp. 339 11,739
Honeywell International Inc. 189 6,923
Pall Corp. 34 1,032
Tyco International Ltd. 152 4,438
29,896
Media - 9.2%
Cablevision Systems Corp. - Class A (b) 172 5,538
Comcast Corp. - Special Class A (b) (l) 187 5,595
Comcast Corp. - Class A (b) 27 832
Dow Jones & Co. Inc. (l) 106 3,768
Liberty Media Corp. (b) 703 7,165
New York Times Co. - Class A (l) 143 4,448
Pearson Plc 103 1,213
Reuters Group Plc 205 1,449
Time Warner Inc. (b) 402 6,711
Viacom Inc. - Class B 167 5,357
Walt Disney Co. 137 3,452
45,528
Mining - 0.8%
Alcoa Inc. 160 4,173
Oil & Gas Producers - 6.4%
Amerada Hess Corp. (l) 19 1,970
ConocoPhillips 76 4,342
Exxon Mobil Corp. 91 5,230
Royal Dutch Petroleum Co. - NYS 95 6,166
Statoil ASA 285 5,809
Total SA - ADR (l) 71 8,320
31,837
Oil & Gas Services - 2.0%
Baker Hughes Inc. 83 4,241
Schlumberger Ltd. 76 5,787
10,028
Pharmaceuticals - 4.1%
Bristol-Myers Squibb Co. 83 2,078
Cardinal Bergen Health Inc. 79 4,520
Merck & Co. Inc. 170 5,230
Schering-Plough Corp. 195 3,719
Wyeth 112 4,962
20,509
Retail - 3.7%
Family Dollar Stores Inc. 189 4,922
Kohl's Corp. 57 3,192
May Department Stores Co. 78 3,141
McDonald's Corp. 77 2,142
RadioShack Corp. 211 4,896
18,293
Semiconductors - 1.4%
Intel Corp. 93 2,424
Texas Instruments Inc. 156 4,370
6,794
Software - 2.5%
First Data Corp. 126 5,070
Microsoft Corp. 290 7,204
12,274
Telecommunications - 3.0%
Alltel Corp. (l) 56 3,469
Qwest Communications International Inc. (b) (l) 826 3,063
Sprint Corp. (l) 274 6,885
TELUS Corp. 44 1,543
14,960
Tobacco - 0.6%
Altria Group Inc. 45 2,890
Toys & Hobbies - 0.4%
Hasbro Inc. 103 2,139
Transportation - 2.2%
CSX Corp. 86 3,686
Union Pacific Corp. 113 7,335
11,021
Wireless Telecommunications - 1.6%
Motorola Inc. 155 2,823
Nokia Corp. - Class A - ADR 306 5,085
7,908
Total Common Stocks (cost $411,710) 471,262
Preferred Stocks - 0.6%
Diversified Financial Services - 0.4%
Morgan Stanley (b) 55 1,998
Insurance - 0.2%
Genworth Financial Inc., 6.00% (b) 24 808
Total Preferred Stocks (cost $2,458) 2,806
Corporate Bonds - 0.5%
Airlines - 0.1%
Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) $1,030 342
Insurance - 0.4%
Fortis Insurance, 7.75%, 01/26/08 (e) (j) 1,700 1,859
Total Corporate Bonds (cost $2,689) 2,201
Short Term Investments - 13.8%
Money Market Funds - 3.3%
Dreyfus Cash Management Plus Fund, 3.05% (a) 3,233 3,233
T. Rowe Price Reserves Investment Fund, 3.23% (a) (n) 13,134 13,134
16,367
Securities Lending Collateral - 10.5%
Mellon GSL Delaware Business Trust Collateral Fund 52,051 52,051
Total Short Term Investments (cost $68,418) 68,418
Total Investments - 110.0% (cost $485,275) 544,687
Other Assets and Liabilities, Net - (10.0%) (49,298)
Total Net Assets - 100% $495,389
See Notes to the Schedule of Investments.
JNL Series Trust (Unaudited)
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
JUNE 30, 2005
- --------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2005.
(b) Non-income producing security.
(c) Investment purchased on a when-issued basis. As of June 30, 2005, the total
cost of investments purchased on a when-issued basis, in thousands, for the
JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total Return Bond
Fund, JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers
U.S. Government & Quality Bond Fund are: $31,698; $58,889; $93,538 and
$72,049, 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, 2005, the market value, in thousands, of 144A or other restricted
securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International Equity
Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management
Bond Index Fund, JNL/Oppenheimer Global Growth Fund, JNL/PIMCO Total Return
Bond 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 Balanced Fund, JNL/Select Money Market Fund and JNL/T.Rowe
Price Value Fund are: $45; $598; $407; $256; $2,531; $7,857; $23,433;
$13,982; $5,849; $3,449; $4,415 and $2,202, 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, 2005.
(h) Coupon payment periodically increases over the life of the security. Rate
is in effect as of June 30, 2005.
(i) Security is in default.
(j) Convertible security.
(k) Zero coupon security. Rate stated is the effective yield as of June 30,
2005.
(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.
(o) Sector weightings excluding securities lending collateral.
Abbreviations:
ADR - American Depository Receipt KRW - Korean Won
AUD - Australian Dollar MXN - Mexican Peso
BRL - Brazilian Real NOK - Norwegian Krone
BZD - Belize Dollar NYS - New York Shares
CAD - Canadian Dollar NZD - New Zealand Dollar
CHF - Swiss Franc PEN - New Sol
CLP - Chilean Peso RUB - Russian Ruble
DKK - Danish Krone SEK - Swedish Krona
EUR - European Currency Unit (Euro) SGD - Singapore Dollar
GBP - British Pound SKK - Slovak Koruna
GDR - Global Depository Receipt TWD - New Taiwan Dollar
HKD - Hong Kong Dollar USD - United States Dollar
INR - Indian Rupee ZAR - Rand
JPY - Japanese Yen
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
JUNE 30, 2005
SCHEDULE OF OPTIONS WRITTEN:
- ---------------------------------------------------------------------------------------------------------------------------------
Expiration Date Exercise Price Contracts Market Value (000's)
JNL/PIMCO Total Return Bond Fund
U.S. 10-Year Treasury Note Future Call Option 7/22/2005 $ 116.00 58 $ (2)
U.S. 10-Year Treasury Note Future Put Option 7/22/2005 110.00 58 (1)
U.S. 10-Year Treasury Note Future Call Option 8/26/2005 115.00 148 (48)
U.S. 10-Year Treasury Note Future Call Option 8/26/2005 116.00 152 (21)
U.S. 10-Year Treasury Note Future Call Option 8/26/2005 121.00 38 (24)
U.S. 10-Year Treasury Note Future Put Option 8/26/2005 110.00 189 (18)
U.S. 10-Year Treasury Note Future Put Option 8/26/2005 111.00 20 (4)
U.S. 10-Year Treasury Note Future Put Option 8/26/2005 115.00 39 (14)
------------
$ (132)
============
Summary of Written Call Options (in thousands except contracts):
- ---------------------------------------------------------------------------------------------------------------------------------
Number of Contracts Premiums
JNL/PIMCO Total Return Bond Fund
Options outstanding at December 31, 2004 466 $ 192
Options written during the period 1,322 484
Options closed during the period (6) (12)
Options exercised during the period (27) (7)
Options expired during the period (1,053) (449)
------------ ------------
Options outstanding at June 30, 2005 702 $ 208
============ ============
JNL/Putnam Equity Fund
Options outstanding at December 31, 2004 2,273 $ 3
Options written during the period 46,239 32
Options closed during the period (1,912) (1)
Options exercised during the period (5,060) (4)
Options expired during the period (41,540) (30)
------------ ------------
Options outstanding at June 30, 2005 - $ -
============ ============
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
JUNE 30, 2005
SUMMARY OF SWAP AGREEMENTS :
- ------------------------------------------------------------------------------------------------------------------------
Unrealized
Notional Amount Appreciation/(Depreciation)
JNL/PIMCO Total Return Bond Fund
Barclay's Capital
Receive fixed rate equal to 5.00% and pay floating
rate based on 6 month LIBOR, 06/16/11 $ 5,400 $ 232
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 400 16
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 400 (17)
Goldman Sachs Capital Markets, L.P.
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 2.00%, 06/15/12 129,100 (63)
JPMorgan Chase Bank
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 600 84
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 300 (16)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 06/18/34 1,300 200
Merrill Lynch Capital Services, Inc.
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 06/18/34 400 50
Morgan Stanley Capital Services Inc.
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 2.00%, 06/15/12 130,000 (75)
UBS Warburg AG
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 2.00%, 06/15/12 380,000 (245)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 300 40
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 200 (12)
------------
$ 194
============
SUMMARY OF SECURITIES SOLD SHORT :
- ------------------------------------------------------------------------------------------------------------------------
Par Amount Market Value
JNL/PIMCO Total Return Bond Fund
U.S. Treasury Note, 4.75%, 05/15/14 $ (1,900) $ (2,016)
============
Total (proceeds $2,016)
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
JUNE 30, 2005
Summary of Investments by Country:
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/Mellon
JNL/FMR Capital JNL/ JNL/Select JNL/Select JNL/T.Rowe JNL/T.Rowe
Capital JNL/JPMorgan JNL/JPMorgan Management Oppenheimer Global Large Cap Price Price
Growth International International International Global Growth Growth Growth Established Value
Fund Equity Fund Value Fund Index Fund Fund Fund Fund Growth Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Australia - % 1.1 % 1.6 % 5.2 % 0.6 % - % - % 0.6 % - %
Austria - - - 0.4 - - - - -
Belgium - 2.1 - 1.4 - - - - -
Bermuda 0.5 - - - - - - 1.5 0.3
Brazil 1.1 1.4 2.4 - 2.3 0.5 1.0 - -
Canada 7.2 - - - 2.6 2.7 4.0 1.4 1.3
China 0.3 - - - - - - - -
Denmark - - - 0.8 - - - - -
Egypt 0.1 - - - - - - - -
Finland 2.2 1.3 1.0 1.5 0.4 1.7 - 0.7 1.0
France 1.4 11.4 12.0 8.9 6.7 5.4 1.4 1.3 1.7
Germany - 6.2 11.5 6.5 3.9 5.1 - - -
Greece 0.3 - 2.1 0.6 - - - - -
Hong Kong 1.7 0.5 1.5 1.7 1.6 1.6 - - -
India - - 0.2 - 3.5 - - - -
Ireland - 0.9 - 0.8 0.6 0.8 - 0.7 -
Israel - - - - - - - 0.6 -
Italy - 4.0 5.5 3.8 0.4 0.8 - - -
Japan - 19.4 17.9 21.0 8.2 4.6 - - 0.8
Luxembourg - - - 0.1 - 0.8 - - -
Mexico 0.3 0.7 - - 1.7 1.4 1.0 1.1 -
Netherlands - 5.2 5.8 4.8 2.1 3.0 - 0.5 2.1
New Zealand - - - 0.2 - - - - -
Norway - - - 0.7 0.5 - - - 1.2
Philippines 0.9 - - - - - - - -
Portugal - - - 0.3 0.3 - - - -
Russia - - 1.0 - - - - - -
Singapore - - - 0.8 0.5 - - - -
South Korea - 0.9 1.1 - 2.4 1.5 - 0.4 -
Spain - 2.5 3.3 3.9 0.2 0.9 - 0.3 -
Sweden - 1.1 1.3 2.3 5.2 1.3 - - -
Switzerland - 11.6 3.8 6.5 2.2 7.8 - 1.5 -
Taiwan - - 1.2 - 0.8 5.1 - - -
United Kingdom 0.3 27.0 25.5 24.0 13.4 9.8 4.2 0.5 1.6
United States 83.7 2.7 1.3 3.8 39.9 45.2 88.4 88.9 90.0
-------------------------------------------------------------------------------------------------------------------
Total
Investments 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
===================================================================================================================
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
JUNE 30, 2005
SUMMARY OF OPEN CURRENCY CONTRACTS:
- ------------------------------------------------------------------------------------------------
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/FMR Balanced Fund
CAD/USD 7/1/2005 1 CAD $ - $ -
GBP/USD 7/1/2005 6 GBP 12 -
GBP/USD 7/5/2005 3 GBP 5 -
USD/AUD 7/5/2005 (10)AUD (8) -
USD/CAD 7/5/2005 (2)CAD (1) -
---------------- ---------------
$ 8 $ -
================ ===============
JNL/JPMorgan International Value Fund
AUD/GBP 8/23/2005 1,189 AUD $ 903 $ 9
AUD/USD 8/23/2005 1,203 AUD 914 (3)
AUD/USD 8/23/2005 6,948 AUD 5,278 54
CHF/AUD 8/23/2005 (970) CHF (737) 3
CHF/GBP 8/23/2005 948 CHF 743 (18)
CHF/USD 8/23/2005 2,861 CHF 2,242 (116)
EUR/SEK 8/23/2005 740 EUR 897 1
EUR/USD 8/23/2005 7,883 EUR 9,561 (175)
GBP/AUD 8/23/2005 (1,208) GBP (917) (26)
GBP/CHF 8/23/2005 (744) GBP (583) 9
GBP/SEK 8/23/2005 401 GBP 717 24
GBP/USD 8/23/2005 4,633 GBP 8,289 (174)
JPY/CHF 8/23/2005 (528) JPY (414) (2)
JPY/EUR 8/23/2005 (1,035) JPY (1,256) (1)
JPY/USD 8/23/2005 703,689 JPY 6,383 (197)
NOK/USD 8/23/2005 8,255 NOK 1,266 (25)
SEK/GBP 8/23/2005 (242) SEK (432) (19)
SEK/USD 8/23/2005 42,886 SEK 5,509 (302)
SGD/USD 8/23/2005 4,211 SGD 2,501 (51)
USD/AUD 8/23/2005 (610) AUD (463) 3
USD/CHF 8/23/2005 (700) CHF (549) 3
USD/EUR 8/23/2005 (17,819) EUR (21,610) 919
USD/EUR 8/23/2005 (6,095) EUR (7,392) (16)
USD/GBP 8/23/2005 (3,286) GBP (5,879) 113
USD/JPY 8/23/2005 (366,720) JPY (3,326) 74
USD/NOK 8/23/2005 (8,048) NOK (1,234) 26
USD/SEK 8/23/2005 (5,135) SEK (660) 50
USD/SGD 8/23/2005 (3,122) SGD (1,855) 26
---------------- ---------------
$ (2,104) $ 189
================ ===============
JNL/Mellon Capital Management International Index Fund
EUR/USD 9/15/2005 852 EUR $ 1,034 $ 4
EUR/USD 9/15/2005 1,412 EUR 1,714 (14)
GBP/USD 9/15/2005 1,463 GBP 2,615 (41)
JPY/USD 9/15/2005 164,043 JPY 1,491 (29)
JPY/USD 9/15/2005 23,480 JPY 214 -
---------------- ---------------
$ 7,068 $ (80)
================ ===============
JNL/Oppenheimer Global Growth Fund
JPY/USD 7/1/2005 35,169 JPY $ 317 $ (3)
================ ===============
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/PIMCO Total Return Bond Fund
BRL/USD 7/20/2005 107 BRL $ 45 $ 6
BRL/USD 8/23/2005 225 BRL 93 5
BRL/USD 9/8/2005 1,400 BRL 577 84
BRL/USD 9/9/2005 856 BRL 353 53
BRL/USD 9/13/2005 301 BRL 124 5
CLP/USD 8/2/2005 11,372 CLP 20 -
CLP/USD 8/16/2005 49,650 CLP 86 -
CLP/USD 9/13/2005 60,602 CLP 104 2
EUR/USD 7/26/2005 421 EUR 510 2
EUR/USD 7/26/2005 26,000 EUR 31,498 (364)
INR/USD 9/21/2005 6,446 INR 148 -
JPY/USD 7/13/2005 634,621 JPY 5,732 (229)
KRW/USD 7/27/2005 160,014 KRW 155 (5)
KRW/USD 8/24/2005 88,000 KRW 85 (2)
KRW/USD 9/21/2005 118,000 KRW 114 (2)
MXN/USD 8/31/2005 405 MXN 37 1
MXN/USD 9/23/2005 1,123 MXN 103 -
PEN/USD 8/23/2005 260 PEN 80 -
PEN/USD 9/14/2005 350 PEN 107 -
PEN/USD 9/14/2005 350 PEN 107 -
RUB/USD 7/28/2008 2,119 RUB 74 (2)
RUB/USD 8/23/2005 2,153 RUB 75 (2)
RUB/USD 9/23/2005 3,058 RUB 107 -
SGD/USD 7/26/2005 125 SGD 74 (2)
SGD/USD 8/24/2005 129 SGD 77 (1)
SGD/USD 9/20/2005 171 SGD 102 (1)
SKK/USD 8/31/2005 2,459 SKK 78 (1)
SKK/USD 9/26/2005 3,350 SKK 106 -
TWD/USD 8/24/2005 2,510 TWD 80 (1)
TWD/USD 9/21/2005 3,331 TWD 106 (1)
USD/BRL 7/20/2005 (107) BRL (45) (2)
USD/BRL 8/23/2005 (225) BRL (93) (5)
USD/BRL 9/8/2005 (1,400) BRL (577) (40)
USD/BRL 9/9/2005 (856) BRL (353) (21)
USD/BRL 9/13/2005 (301) BRL (124) (7)
USD/CAD 7/19/2005 (709) CAD (579) (9)
USD/EUR 7/26/2005 (30,780) EUR (37,289) (6)
USD/EUR 7/26/2005 (15,824) EUR (19,170) 66
---------------- -------------
$ (17,273) $ (482)
================ =============
JNL/Salomon Brothers Strategic Bond Fund
EUR/USD 7/22/2005 18,558 EUR $ 22,479 $ (341)
USD/EUR 7/22/2005 (18,480) EUR (22,385) 1,020
---------------- -------------
$ 94 $ 679
================ =============
JNL/Select Global Growth Fund
CHF/USD 7/1/2005 2,894 CHF $ 2,259 $ (2)
EUR/USD 7/1/2005 705 EUR 854 1
USD/EUR 7/1/2005 (289) EUR (350) (1)
USD/EUR 7/5/2005 (246) EUR (298) -
USD/GBP 7/1/2005 (73) GBP (130) 2
USD/GBP 7/5/2005 (24) GBP (44) -
USD/GBP 7/5/2005 (37) GBP (66) -
USD/JPY 7/1/2005 (2,387) JPY (22) -
---------------- -------------
$ 2,203 $ -
================ =============
JNL/T.Rowe Price Value Fund
USD/GBP 7/5/2005 (159) GBP $ (284) $ (1)
================ =============
JNL SERIES TRUST (UNAUDITED)
NOTES TO THE SCHEDULE OF INVESTMENTS
JUNE 30, 2005
SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS):
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
CONTRACTS UNREALIZED
LONG/ APPRECIATION/
(SHORT) (DEPRECIATION)
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
S&P 500 Index Future
Expiration September 2005 4 $ (10)
=================
=================
JNL/Mellon Capital Management International Index Fund
Dow Jones Euro Stoxx 50 Future
Expiration September 2005 98 $ 37
FTSE 100 Index Future
Expiration September 2005 35 32
Topix Japanese Yen Future
Expiration September 2005 21 38
-----------------
-----------------
$ 107
=================
=================
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
S&P MidCap 400 E-Mini Future
Expiration September 2005 90 $ 23
=================
=================
JNL/Mellon Capital Management S&P 500 Index Fund
S&P 500 E-Mini Future
Expiration September 2005 122 $ (93)
=================
=================
JNL/Mellon Capital Management Small Cap Index Fund
Russell 2000 Mini Index Future
Expiration September 2005 138 $ 170
=================
=================
- --------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION/
AMOUNT (DEPRECIATION)
JNL/PIMCO Total Return Fund
Euro Bobl Government Note Future, 5-Year, 6.00%
Expiration September 2005 2,000 EUR $ 26
Eurodollar Future
Expiration September 2005 149,000 USD (128)
Eurodollar Future
Expiration December 2005 439,000 USD (410)
Eurodollar Future
Expiration March 2006 288,000 USD 34
Eurodollar Future
Expiration June 2006 100,000 USD (2)
Eurodollar Future
Expiration September 2006 3,000 USD 1
Japanese Government Bond, 10-Year, 6.00%,
Expiration September 2005 500,000 JPY 40
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration September 2005 29,000 USD 111
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2005 (2,000)USD (6)
-----------------
-----------------
$ (334)
=================
=================
JNL/Salomon Brothers Strategic Bond Fund
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2005 $ (6,400) $ (1)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2005 (15,900) (9)
-----------------
-----------------
$ (10)
=================
=================
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
U.S. Treasury Note Future, 2-Year, 6.00%,
Expiration September 2005 $ (46,800) $ 12
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2005 12,100 (6)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration September 2005 (5,000) 8
-----------------
-----------------
$ 14
=================
=================
JNL/Select Balanced Fund
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration September 2005 $ (9,100) $ (15)
=================
=================
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
JUNE 30, 2005
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Real Estate Small Cap Growth
ASSETS Growth Fund Fund Growth Fund Fund
------------------ ------------------ ----------------- -------------------
Investments - unaffiliated, at value (a) (b) $ 341,028 $ 64,981 $ 50,659 $ 261,094
Investments - affiliated, at value and cost - - - -
Cash - - - -
Foreign currency (c) - 5 - -
Receivables:
Dividends and interest 156 207 11 168
Forward currency contracts - - - -
Foreign taxes recoverable 16 - - -
Fund shares sold 370 209 36 15
Investment securities sold 3,416 50 1,664 -
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - -
------------------ ------------------ ----------------- -------------------
TOTAL ASSETS 344,986 65,452 52,370 261,277
------------------ ------------------ ----------------- -------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 27 4 4 20
Advisory fees 187 31 33 135
Investment securities purchased 5,502 1,699 1,138 -
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 526 78 29 372
Unrealized appreciation on swap agreements (f) - - - -
Managers fees 2 - - 2
Other expenses 4 1 1 3
12b-1 service fee (Class A) 53 8 8 39
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 15,313 8,029 4,520 29,375
------------------
------------------ ----------------- -------------------
TOTAL LIABILITIES 21,614 9,850 5,733 29,946
------------------ ------------------ ----------------- -------------------
NET ASSETS $ 323,372 $ 55,602 $ 46,637 $ 231,331
================== ================== ================= ===================
NET ASSETS CONSIST OF:
Paid-in capital $ 300,831 $ 52,070 $ 38,799 $ 315,129
Undistributed (accumulated) net
investment income (loss) 321 278 (170) 436
Accumulated net realized gain (loss) (4,901) 83 1,470 (97,882)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 27,121 3,171 6,538 13,648
------------------ ------------------ ----------------- -------------------
$ 323,372 $ 55,602 $ 46,637 $ 231,331
================== ================== ================= ===================
CLASS A
Net assets $ 323,211 $ 55,494 $ 46,503 $ 231,218
Shares outstanding (no par value),
unlimited shares authorized 27,971 5,141 3,658 14,725
Net asset value per share $ 11.56 $ 10.78 $ 12.71 $ 15.70
================== ================== ================= ===================
CLASS B
Net assets $ 161 $ 108 $ 134 $ 113
Shares outstanding (no par value),
unlimited shares authorized 13 10 11 7
Net asset value per share $ 11.59 $ 10.78 $ 12.75 $ 15.72
================== ================== ================= ===================
- ---------------------------------------------------
(a) Including securities on loan of: $ 14,868 $ 7,786 $ 4,365 $ 28,430
(b) Investments - unaffiliated, at cost 313,907 61,810 44,121 247,446
(c) Foreign currency cost - 6 - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
JNL/Eagle JNL/Eagle
Core Equity SmallCap
Fund Equity Fund
ASSETS ----------------- ----------------
$ 280,445 $ 184,500
Investments - unaffiliated, at value (a) (b) - -
Investments - affiliated, at value and cost - -
Cash - -
Foreign currency (c)
Receivables: 285 30
Dividends and interest - -
Forward currency contracts 1 -
Foreign taxes recoverable 129 582
Fund shares sold 7,177 3,737
Investment securities sold - -
Unrealized appreciation on swap agreements (f) - -
Variation margin ----------------- ----------------
288,037 188,849
TOTAL ASSETS ----------------- ----------------
.
LIABILITIES - -
Cash overdraft
Payables: 22 13
Administrative fees 150 97
Advisory fees 3,661 5,847
Investment securities purchased - -
Dividends payable - -
Forward currency contracts 193 179
Fund shares redeemed - -
Unrealized appreciation on swap agreements (f) 2 1
Managers fees 3 2
Other expenses 45 26
12b-1 service fee (Class A) - -
Variation margin - -
Investment securities sold short, at value (d) - -
Options written, at value (e) 9,486 23,398
Return of collateral for securities loaned
----------------- ----------------
13,562 29,563
TOTAL LIABILITIES ----------------- ----------------
$ 274,475 $ 159,286
NET ASSETS ================= ================
NET ASSETS CONSIST OF: $ 282,622 $ 131,484
Paid-in capital
Undistributed (accumulated) net 1,222 (569)
investment income (loss) (22,492) (4,705)
Accumulated net realized gain (loss)
Net unrealized appreciation (depreciation) on
investments, foreign currency related 13,123 33,076
transactions and futures ----------------- ----------------
$ 274,475 $ 159,286
================= ================
CLASS A $ 274,352 $ 159,171
Net assets
Shares outstanding (no par value), 18,796 8,110
unlimited shares authorized $ 14.60 $ 19.63
Net asset value per share ================= ================
CLASS B $ 123 $ 115
Net assets
Shares outstanding (no par value), 8 6
unlimited shares authorized $ 14.67 $ 19.70
Net asset value per share ================= ================
- ---------------------------------------------------
$ 9,110 $ 22,414
(a) Including securities on loan of: 267,322 151,424
(b) Investments - unaffiliated, at cost - -
(c) Foreign currency cost - -
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
(f) Including cash payment of:
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, 2005
JNL/FMR JNL/FMR JNL/Franklin JNL/Goldman
Balanced Capital Templeton Small Sachs Mid Cap
ASSETS Fund Growth Fund Cap Value Fund Value Fund
---------------- ---------------- -------------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 148,940 $ 253,055 $ 60,316 $ 67,891
Investments - affiliated, at value and cost - - - -
Cash 1 - 1 -
Foreign currency (c) 1 1 - -
Receivables:
Dividends and interest 311 137 42 83
Forward currency contracts - - - -
Foreign taxes recoverable 1 - - -
Fund shares sold 122 86 144 329
Investment securities sold 467 3,481 - 689
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - -
---------------- ---------------- -------------------- -----------------
TOTAL ASSETS 149,843 256,760 60,503 68,992
---------------- ---------------- -------------------- -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 9 17 4 4
Advisory fees 65 118 36 32
Investment securities purchased 755 4,033 790 2,609
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 63 177 64 43
Unrealized appreciation on swap agreements (f) - - - -
Managers fees 1 2 - -
Other expenses 1 2 1 1
12b-1 service fee (Class A) 19 34 9 9
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 34,769 46,649 6,457 11,699
---------------- ---------------- -------------------- -----------------
TOTAL LIABILITIES 35,682 51,032 7,361 14,397
---------------- ---------------- -------------------- -----------------
NET ASSETS $ 114,161 $ 205,728 $ 53,142 $ 54,595
================ ================ ==================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 106,155 $ 527,362 $ 50,697 $ 51,001
Undistributed (accumulated) net
investment income (loss) 639 509 22 112
Accumulated net realized gain (loss) (1,378) (331,621) 94 317
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 8,745 9,478 2,329 3,165
---------------- ---------------- -------------------- -----------------
$ 114,161 $ 205,728 $ 53,142 $ 54,595
================ ================ ==================== =================
CLASS A
Net assets $ 114,048 $ 205,621 $ 53,037 $ 54,488
Shares outstanding (no par value),
unlimited shares authorized 11,125 13,556 5,052 5,074
Net asset value per share $ 10.25 $ 15.17 $ 10.50 $ 10.74
================ ================ ==================== =================
CLASS B
Net assets $ 113 $ 107 $ 105 $ 107
Shares outstanding (no par value),
unlimited shares authorized 11 7 10 10
Net asset value per share $ 10.34 $ 15.21 $ 10.50 $ 10.74
================ ================ ==================== =================
- ------------------------------------------
(a) Including securities on loan of: $ 33,703 $ 45,056 $ 6,228 $ 11,341
(b) Investments - unaffiliated, at cost 140,195 243,577 57,987 64,726
(c) Foreign currency cost 1 1 - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
JNL/JPMorgan JNL/JPMorgan
International International
ASSETS Equity Fund Value Fund
------------------ ----------------
Investments - unaffiliated, at value (a) (b) $ 183,084 $ 204,531
Investments - affiliated, at value and cost - -
Cash 20 -
Foreign currency (c) 219 344
Receivables:
Dividends and interest 360 352
Forward currency contracts - 1,383
Foreign taxes recoverable 120 12
Fund shares sold 116 188
Investment securities sold - 236
Unrealized appreciation on swap agreements (f) - -
Variation margin - -
------------------ ----------------
TOTAL ASSETS 183,919 207,046
------------------ ----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 22 23
Advisory fees 102 107
Investment securities purchased - 233
Dividends payable - -
Forward currency contracts - 1,194
Fund shares redeemed 132 154
Unrealized appreciation on swap agreements(f) - -
Managers fees 1 1
Other expenses 2 2
12b-1 service fee (Class A) 29 30
Variation margin - -
Investment securities sold short, at value(d) - -
Options written, at value (e) - -
Return of collateral for securities loaned 9,832 27,199
------------------ ----------------
TOTAL LIABILITIES 10,120 28,943
------------------ ----------------
NET ASSETS $ 173,799 $ 178,103
================== ================
NET ASSETS CONSIST OF:
Paid-in capital $ 188,891 $ 164,628
Undistributed (accumulated) net
investment income (loss) 1,712 2,014
Accumulated net realized gain (loss) (20,012) 5,579
Net unrealized appreciation (depreciation)
investments, foreign currency related
transactions and futures 3,208 5,882
------------------ ----------------
$ 173,799 $ 178,103
================== ================
CLASS A
Net assets $ 173,695 $ 177,992
Shares outstanding (no par value),
unlimited shares authorized 16,123 19,266
Net asset value per share $ 10.77 $ 9.24
================== ================
CLASS B
Net assets $ 104 $ 111
Shares outstanding (no par value),
unlimited shares authorized 9 13
Net asset value per share $ 10.81 $ 9.34
================== ================
- ------------------------------------------
(a) Including securities on loan of: $ 9,354 $ 25,872
(b) Investments - unaffiliated, at cost 179,862 198,833
(c) Foreign currency cost 225 349
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
(f) Including cash payment of: - -
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, 2005
JNL/Mellon
JNL/Mellon Capital
Capital Management
JNL/Lazard JNL/Lazard Management Enhanced
Mid Cap Small Cap Bond Index S&P 500 Stock
ASSETS Value Fund Value Fund Fund Index Fund
---------------- ----------------- ----------------- ------------------
Investments - unaffiliated, at value (a) (b) $ 236,454 $ 203,311 $ 180,559 $ 57,038
Investments - affiliated, at value and cost - - 40,115 3,509
Cash 16 - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 175 161 1,332 66
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 114 372 626 82
Investment securities sold 1,542 908 8,413 1,293
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - -
---------------- ----------------- ----------------- ------------------
TOTAL ASSETS 238,301 204,752 231,045 61,988
---------------- ----------------- ----------------- ------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 17 16 12 5
Advisory fees 124 117 35 24
Investment securities purchased 1,441 2,866 48,702 1,201
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 391 316 111 24
Unrealized appreciation on swap agreements (f) - - - -
Managers fees 1 1 1 1
Other expenses 2 2 2 1
12b-1 service fee (Class A) 34 31 23 10
Variation margin - - - 7
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 24,940 13,232 35,197 2,469
---------------- ----------------- ----------------- ------------------
TOTAL LIABILITIES 26,950 16,581 84,083 3,742
---------------- ----------------- ----------------- ------------------
NET ASSETS $ 211,351 $ 188,171 $ 146,962 $ 58,246
================ ================= ================= ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 175,505 $ 158,496 $ 138,711 $ 43,445
Undistributed (accumulated) net
investment income (loss) 347 53 5,670 2,423
Accumulated net realized gain (loss) 22,562 12,752 1,079 9,733
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 12,937 16,870 1,502 2,645
---------------- ----------------- ----------------- ------------------
$ 211,351 $ 188,171 $ 146,962 $ 58,246
================ ================= ================= ==================
CLASS A
Net assets $ 211,188 $ 188,005 $ 146,833 $ 58,134
Shares outstanding (no par value),
unlimited shares authorized 14,149 13,598 13,255 6,642
Net asset value per share $ 14.93 $ 13.83 $ 11.08 $ 8.75
================ ================= ================= ==================
CLASS B
Net assets $ 163 $ 166 $ 129 $ 112
Shares outstanding (no par value),
unlimited shares authorized 11 12 12 13
Net asset value per share $ 14.98 $ 13.87 $ 11.02 $ 8.70
================ ================= ================= ==================
- -------------------------------------------------
(a) Including securities on loan of: $ 23,904 $ 12,694 $ 34,556 $ 2,394
(b) Investments - unaffiliated, at cost 223,517 186,441 179,057 54,383
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
JNL/Mellon JNL/Mellon
Capital Capital
Management Management
International S&P 400 MidCap
ASSETS Index Fund Index Fund
--------------- --------------------
Investments - unaffiliated, at value (a) (b) $ 205,977 $ 228,467
Investments - affiliated, at value and cost 35,163 37,646
Cash 19 -
Foreign currency (c) 1,164 -
Receivables:
Dividends and interest 397 149
Forward currency contracts 4 -
Foreign taxes recoverable 60 -
Fund shares sold 626 301
Investment securities sold 39 187
Unrealized appreciation on swap agreements (f) - -
Variation margin 28 -
--------------- --------------------
TOTAL ASSETS 243,477 266,750
--------------- --------------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 26 19
Advisory fees 52 55
Investment securities purchased 14 -
Dividends payable - -
Forward currency contracts 84 -
Fund shares redeemed 242 198
Unrealized appreciation on swap agreements (f) - -
Managers fees 1 1
Other expenses 1 4
12b-1 service fee (Class A) 35 38
Variation margin - 20
Investment securities sold short, at value (d) - -
Options written, at value (e) - -
Return of collateral for securities loaned 27,580 31,629
--------------- --------------------
TOTAL LIABILITIES 28,035 31,964
--------------- --------------------
NET ASSETS $ 215,442 $ 234,786
=============== ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 165,110 $ 192,833
Undistributed (accumulated) net
investment income (loss) 7,858 1,794
Accumulated net realized gain (loss) 30,304 7,358
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 12,170 32,801
--------------- --------------------
$ 215,442 $ 234,786
=============== ====================
CLASS A
Net assets $ 215,295 $ 234,597
Shares outstanding (no par value),
unlimited shares authorized 15,974 17,041
Net asset value per share $ 13.48 $ 13.77
=============== ====================
CLASS B
Net assets $ 147 $ 189
Shares outstanding (no par value),
unlimited shares authorized 11 14
Net asset value per share $ 13.48 $ 13.77
=============== ====================
- -------------------------------------------------
(a) Including securities on loan of: $ 26,275 $ 30,468
(b) Investments - unaffiliated, at cost 193,809 195,689
(c) Foreign currency cost 1,178 -
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
(f) Including cash payment of: - -
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, 2005
JNL/Mellon JNL/Mellon
Capital Capital JNL/
Management Management Oppenheimer JNL/
S&P 500 Index Small Cap Global Oppenheimer
ASSETS Fund Index Fund Growth Fund Growth Fund
---------------- ---------------- ---------------- ----------------
Investments - unaffiliated, at value (a) (b) $ 367,077 $ 201,051 $ 269,926 $ 26,068
Investments - affiliated, at value and cost 16,825 21,955 - -
Cash - - - -
Foreign currency (c) - - 485 -
Receivables:
Dividends and interest 440 214 406 12
Forward currency contracts - - - -
Foreign taxes recoverable - - 7 -
Fund shares sold 962 199 502 44
Investment securities sold - 1,663 317 520
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - -
---------------- ---------------- ---------------- ----------------
TOTAL ASSETS 385,304 225,082 271,643 26,644
---------------- ---------------- ---------------- ----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 29 16 30 2
Advisory fees 86 47 139 15
Investment securities purchased - 1,693 706 478
Dividends payable - - - -
Forward currency contracts - - 3 -
Fund shares redeemed 250 194 631 31
Unrealized appreciation on swap agreements (f) - - - -
Managers fees 2 1 1 -
Other expenses 6 2 2 -
12b-1 service fee (Class A) 59 32 40 4
Variation margin 45 16 - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 22,888 21,289 26,931 945
---------------- ---------------- ---------------- ----------------
TOTAL LIABILITIES 23,365 23,290 28,483 1,475
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 361,939 $ 201,792 $ 243,160 $ 25,169
================ ================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital $ 322,237 $ 170,201 $ 205,224 $ 25,449
Undistributed (accumulated) net
investment income (loss) 2,252 1,691 1,979 8
Accumulated net realized gain (loss) 9,624 12,752 (1,925) (1,964)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 27,826 17,148 37,882 1,676
---------------- ---------------- ---------------- ----------------
$ 361,939 $ 201,792 $ 243,160 $ 25,169
================ ================ ================ ================
CLASS A
Net assets $ 361,570 $ 201,591 $ 242,997 $ 25,050
Shares outstanding (no par value),
unlimited shares authorized 34,275 15,225 20,464 2,922
Net asset value per share $ 10.55 $ 13.24 $ 11.87 $ 8.57
================ ================ ================ ================
CLASS B
Net assets $ 369 $ 201 $ 163 $ 119
Shares outstanding (no par value),
unlimited shares authorized 34 15 14 14
Net asset value per share $ 10.61 $ 13.21 $ 11.90 $ 8.59
================ ================ ================ ================
- --------------------------------------------------
(a) Including securities on loan of: $ 21,941 $ 19,817 $ 25,732 $ 916
(b) Investments - unaffiliated, at cost 339,158 184,073 232,043 24,392
(c) Foreign currency cost - - 485 -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
JNL/PIMCO JNL/Putnam
Total Return Equity
ASSETS Bond Fund Fund
----------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 568,368 $ 176,924
Investments - affiliated, at value and cost - -
Cash - 1
Foreign currency (c) 429 -
Receivables:
Dividends and interest 1,900 136
Forward currency contracts 224 -
Foreign taxes recoverable - -
Fund shares sold 2,811 93
Investment securities sold 26,692 2,223
Unrealized appreciation on swap agreements (f) 819 -
Variation margin 186 -
----------------- -----------------
TOTAL ASSETS 601,429 179,377
----------------- -----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 39 13
Advisory fees 194 87
Investment securities purchased 93,661 1,359
Dividends payable - -
Forward currency contracts 706 -
Fund shares redeemed 234 129
Unrealized appreciation on swap agreements (f) 554 -
Managers fees 3 2
Other expenses 5 2
12b-1 service fee (Class A) 78 26
Variation margin 51 -
Investment securities sold short, at value (d) 2,016 -
Options written, at value (e) 132 -
Return of collateral for securities loaned 18,327 20,460
----------------- -----------------
TOTAL LIABILITIES 116,000 22,078
----------------- -----------------
NET ASSETS $ 485,429 $ 157,299
================= =================
NET ASSETS CONSIST OF:
Paid-in capital $ 453,090 $ 259,913
Undistributed (accumulated) net
investment income (loss) 10,823 1,532
Accumulated net realized gain (loss) 16,196 (116,386)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 5,320 12,240
----------------- -----------------
$ 485,429 $ 157,299
================= =================
CLASS A
Net assets $ 485,277 $ 157,184
Shares outstanding (no par value),
unlimited shares authorized 39,492 8,363
Net asset value per share $ 12.29 $ 18.80
================= =================
CLASS B
Net assets $ 152 $ 115
Shares outstanding (no par value),
unlimited shares authorized 13 6
Net asset value per share $ 12.49 $ 18.82
================= =================
- --------------------------------------------------
(a) Including securities on loan of: $ 17,688 $ 19,845
(b) Investments - unaffiliated, at cost 562,494 164,684
(c) Foreign currency cost 433 -
(d) Proceeds from securities sold short 2,016 -
(e) Premiums from options written 208 -
(f) Including cash payment of: 71 -
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, 2005
JNL/S&P JNL/S&P
JNL/Putnam JNL/Putnam Managed Managed
Midcap Value Aggressive Conservative
ASSETS Growth Fund Equity Fund Growth Fund Fund
----------------- ----------------- ------------------ -----------------
Investments - unaffiliated, at value (a) (b) $ 34,198 $ 199,594 $ - $ -
Investments - affiliated, at value (g) - - 646,451 51,927
Cash - 9 - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 5 246 11 20
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 18 9 489 620
Investment securities sold 1,081 906 - -
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - -
----------------- ----------------- ------------------ -----------------
TOTAL ASSETS 35,302 200,764 646,951 52,567
----------------- ----------------- ------------------ -----------------
LIABILITIES
Cash overdraft 116 - - -
Payables:
Administrative fees 3 16 27 2
Advisory fees 20 105 63 5
Investment securities purchased 1,089 536 - -
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 29 170 592 8
Unrealized appreciation on swap agreements (f) - - - -
Managers fees - 2 4 -
Other expenses - 3 8 -
12b-1 service fee (Class A) 6 32 - -
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 1,657 9,774 - -
----------------- ----------------- ------------------ -----------------
TOTAL LIABILITIES 2,920 10,638 694 15
----------------- ----------------- ------------------ -----------------
NET ASSETS $ 32,382 $ 190,126 $ 646,257 $ 52,552
================= ================= ================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 47,902 $ 205,973 $ 705,049 $ 51,542
Undistributed (accumulated) net
investment income (loss) (82) 946 2,588 238
Accumulated net realized gain (loss) (18,792) (33,137) (122,994) 59
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 3,354 16,344 61,614 713
----------------- ----------------- ------------------ -----------------
$ 32,382 $ 190,126 $ 646,257 $ 52,552
================= ================= ================== =================
CLASS A
Net assets $ 32,268 $ 190,023 $ 646,257 $ 52,552
Shares outstanding (no par value),
unlimited shares authorized 3,991 10,851 54,464 5,010
Net asset value per share $ 8.09 $ 17.51 $ 11.87 $ 10.49
================= ================= ================== =================
CLASS B
Net assets $ 114 $ 103 n/a n/a
Shares outstanding (no par value),
unlimited shares authorized 14 6 n/a n/a
Net asset value per share $ 8.11 $ 17.60 n/a n/a
================= ================= ================== =================
- --------------------------------------------------
(a) Including securities on loan of: $ 1,612 $ 9,425 $ - $ -
(b) Investments - unaffiliated, at cost 30,844 183,250 - -
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
(g) Investments - affiliated, at cost - - 584,837 51,214
JNL/S&P
JNL/S&P Managed
Managed Moderate
ASSETS Growth Fund Fund
---------------- --------------
Investments - unaffiliated, at value (a) (b) $ - $ -
Investments - affiliated, at value (g) 1,000,635 83,232
Cash - -
Foreign currency (c) - -
Receivables:
Dividends and interest 34 24
Forward currency contracts - -
Foreign taxes recoverable - -
Fund shares sold 322 713
Investment securities sold - -
Unrealized appreciation on swap agreements (f) - -
Variation margin - -
---------------- --------------
TOTAL ASSETS 1,000,991 83,969
---------------- --------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 41 3
Advisory fees 86 8
Investment securities purchased - -
Dividends payable - -
Forward currency contracts - -
Fund shares redeemed 618 43
Unrealized appreciation on swap agreements (f) - -
Managers fees 6 -
Other expenses 12 -
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 763 54
---------------- --------------
NET ASSETS $ 1,000,228 $ 83,915
================ ==============
NET ASSETS CONSIST OF:
Paid-in capital $ 928,475 $ 82,379
Undistributed (accumulated) net
investment income (loss) 3,423 294
Accumulated net realized gain (loss) (11,801) (29)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 80,131 1,271
---------------- --------------
$ 1,000,228 $ 83,915
================ ==============
CLASS A
Net assets $ 1,000,228 $ 83,915
Shares outstanding (no par value),
unlimited shares authorized 81,866 7,912
Net asset value per share $ 12.22 $ 10.61
================ ==============
CLASS B
Net assets n/a n/a
Shares outstanding (no par value),
unlimited shares authorized n/a n/a
Net asset value per share n/a n/a
================ ==============
- --------------------------------------------------
(a) Including securities on loan of: $ - $ -
(b) Investments - unaffiliated, at cost - -
(c) Foreign currency cost - -
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
(f) Including cash payment of: - -
(g) Investments - affiliated, at cost 920,504 81,961
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, 2005
JNL/Salomon
JNL/S&P JNL/Salomon JNL/Salomon Brothers
Managed Brothers Brothers U.S. Government
Moderate High Yield Strategic Bond & Quality
ASSETS Growth Fund Bond Fund Fund Bond Fund
---------------- ---------------- ----------------- -----------------
Investments - unaffiliated, at value (a) (b) $ - $ 317,462 $ 441,417 $ 332,567
Investments - affiliated, at value (g) 732,565 - - -
Cash - - 119 -
Foreign currency (c) - - 58 -
Receivables:
Dividends and interest 96 4,800 2,684 1,313
Forward currency contracts - - 1,020 -
Foreign taxes recoverable - - - -
Fund shares sold 687 760 396 194
Investment securities sold - - 11,489 14,443
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - 25
---------------- ---------------- ----------------- -----------------
TOTAL ASSETS 733,348 323,022 457,183 348,542
---------------- ---------------- ----------------- -----------------
LIABILITIES
Cash overdraft - 627 - -
Payables:
Administrative fees 30 22 23 17
Advisory fees 68 107 145 81
Investment securities purchased - - 106,881 86,750
Dividends payable - - - -
Forward currency contracts - - 341 -
Fund shares redeemed 303 1,327 104 117
Unrealized appreciation on swap agreements (f) - - - -
Managers fees 3 2 2 2
Other expenses 8 4 3 3
12b-1 service fee (Class A) - 43 46 34
Variation margin - - 42 24
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned - 57,873 61,753 55,215
---------------- ---------------- ----------------- -----------------
TOTAL LIABILITIES 412 60,005 169,340 142,243
---------------- ---------------- ----------------- -----------------
NET ASSETS $ 732,936 $ 263,017 $ 287,843 $ 206,299
================ ================ ================= =================
NET ASSETS CONSIST OF:
Paid-in capital $ 693,209 $ 297,988 $ 272,330 $ 196,118
Undistributed (accumulated) net
investment income (loss) 1,775 9,910 6,055 3,944
Accumulated net realized gain (loss) (11,179) (48,252) 4,183 1,330
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 49,131 3,371 5,275 4,907
---------------- ---------------- ----------------- -----------------
$ 732,936 $ 263,017 $ 287,843 $ 206,299
================ ================ ================= =================
CLASS A
Net assets $ 732,936 $ 262,885 $ 287,721 $ 206,182
Shares outstanding (no par value),
unlimited shares authorized 62,612 30,814 24,576 17,706
Net asset value per share $ 11.71 $ 8.53 $ 11.71 $ 11.64
================ ================ ================= =================
CLASS B
Net assets n/a $ 132 $ 122 $ 117
Shares outstanding (no par value),
unlimited shares authorized n/a 15 10 10
Net asset value per share n/a $ 8.69 $ 12.10 $ 12.06
================ ================= =================
- ------------------------------------------------
(a) Including securities on loan of: $ - $ 56,517 $ 60,558 $ 54,253
(b) Investments - unaffiliated, at cost - 314,089 436,804 327,674
(c) Foreign currency cost - - 66 -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
(g) Investments - affiliated, at cost 683,434 - - -
JNL/Select JNL/Select
Balanced Global Growth
ASSETS Fund Fund
---------------- ----------------
Investments - unaffiliated, at value (a) (b) $ 435,546 $ 207,312
Investments - affiliated, at value (g) - -
Cash 10 -
Foreign currency (c) - 73
Receivables:
Dividends and interest 1,285 162
Forward currency contracts - 2
Foreign taxes recoverable - 4
Fund shares sold 1,023 25
Investment securities sold 571 6,649
Unrealized appreciation on swap agreements (f) - -
Variation margin - -
---------------- ----------------
TOTAL ASSETS 438,435 214,227
---------------- ----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 31 23
Advisory fees 152 114
Investment securities purchased 1,486 7,401
Dividends payable - -
Forward currency contracts - 2
Fund shares redeemed 282 128
Unrealized appreciation on swap agreements (f) - -
Managers fees 3 -
Other expenses 5 3
12b-1 service fee (Class A) 63 31
Variation margin 14 -
Investment securities sold short, at value (d) - -
Options written, at value (e) - -
Return of collateral for securities loaned 56,098 21,360
---------------- ----------------
TOTAL LIABILITIES 58,134 29,062
---------------- ----------------
NET ASSETS $ 380,301 $ 185,165
================ ================
NET ASSETS CONSIST OF:
Paid-in capital $ 308,861 $ 334,266
Undistributed (accumulated) net
investment income (loss) 11,756 1,603
Accumulated net realized gain (loss) 40,036 (160,910)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 19,648 10,206
---------------- ----------------
$ 380,301 $ 185,165
================ ================
CLASS A
Net assets $ 380,159 $ 185,059
Shares outstanding (no par value),
unlimited shares authorized 22,131 10,285
Net asset value per share $ 17.18 $ 17.99
================ ================
CLASS B
Net assets $ 142 $ 106
Shares outstanding (no par value),
unlimited shares authorized 8 6
Net asset value per share $ 17.06 $ 18.05
================ ================
- ------------------------------------------------
(a) Including securities on loan of: $ 54,911 $ 20,412
(b) Investments - unaffiliated, at cost 415,883 197,105
(c) Foreign currency cost - 74
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
(f) Including cash payment of: - -
(g) Investments - affiliated, at cost - -
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, 2005
JNL/T.Rowe
JNL/Select JNL/Select Price
Large Cap Money JNL/Select Established
ASSETS Growth Fund Market Fund Value Fund Growth Fund
------------------ --------------- --------------- ------------------
Investments - unaffiliated, at value (a) (b) $ 238,508 $ 221,761 $ 235,654 $ 737,181
Investments - affiliated, at value and cost - - - 12,693
Cash - 22 - 1
Foreign currency (c) - - - -
Receivables:
Dividends and interest 148 430 192 628
Forward currency contracts - - - -
Foreign taxes recoverable - - - 12
Fund shares sold 49 1,694 205 1,295
Investment securities sold 2,550 - - 863
Unrealized appreciation on swap agreements (f) - - - -
Variation margin - - - -
------------------ --------------- --------------- ------------------
TOTAL ASSETS 241,255 223,907 236,051 752,673
------------------ --------------- --------------- ------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 19 18 19 57
Advisory fees 132 54 103 342
Investment securities purchased 5,055 - 1,140 2,695
Dividends payable - 457 - -
Forward currency contracts - - - -
Fund shares redeemed 99 325 146 376
Unrealized appreciation on swap agreements (f) - - - -
Managers fees 3 1 1 5
Other expenses 3 2 3 8
12b-1 service fee (Class A) 39 36 37 115
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 19,304 1,055 7,746 56,097
------------------ --------------- --------------- ------------------
TOTAL LIABILITIES 24,654 1,948 9,195 59,695
------------------ --------------- --------------- ------------------
NET ASSETS $ 216,601 $ 221,959 $ 226,856 $ 692,978
================== =============== =============== ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 507,052 $ 221,959 $ 195,221 $ 687,370
Undistributed (accumulated) net
investment income (loss) (201) - 3,087 1,613
Accumulated net realized gain (loss) (304,321) - 16,109 (65,257)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 14,071 - 12,439 69,252
------------------ --------------- --------------- ------------------
$ 216,601 $ 221,959 $ 226,856 $ 692,978
================== =============== =============== ==================
CLASS A
Net assets $ 216,488 $ 221,616 $ 226,725 $ 692,815
Shares outstanding (no par value),
unlimited shares authorized 11,161 221,616 13,366 38,266
Net asset value per share $ 19.40 $ 1.00 $ 16.96 $ 18.11
================== =============== =============== ==================
CLASS B
Net assets $ 113 $ 343 $ 131 $ 163
Shares outstanding (no par value),
unlimited shares authorized 6 343 8 9
Net asset value per share $ 19.46 $ 1.00 $ 16.95 $ 18.15
================== =============== =============== ==================
- ----------------------------------------------------
(a) Including securities on loan of: $ 18,712 $ 1,033 $ 7,504 $ 54,236
(b) Investments - unaffiliated, at cost 224,437 221,761 223,215 667,927
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Including cash payment of: - - - -
JNL/T.Rowe JNL/T.Rowe
Price Price
Mid-Cap Value
ASSETS Growth Fund Fund
---------------- ----------------
Investments - unaffiliated, at value (a) (b) $ 638,465 $ 531,553
Investments - affiliated, at value and cost 19,013 13,134
Cash - 111
Foreign currency (c) - -
Receivables:
Dividends and interest 267 740
Forward currency contracts - -
Foreign taxes recoverable - -
Fund shares sold 728 853
Investment securities sold 1,389 5,099
Unrealized appreciation on swap agreements (f) - -
Variation margin - -
---------------- ----------------
TOTAL ASSETS 659,862 551,490
---------------- ----------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 46 42
Advisory fees 326 278
Investment securities purchased 1,981 3,193
Dividends payable - -
Forward currency contracts - 1
Fund shares redeemed 414 443
Unrealized appreciation on swap agreements (f) - -
Managers fees 4 4
Other expenses 7 5
12b-1 service fee (Class A) 91 84
Variation margin - -
Investment securities sold short, at value (d) - -
Options written, at value (e) - -
Return of collateral for securities loaned 102,659 52,051
---------------- ----------------
TOTAL LIABILITIES 105,528 56,101
---------------- ----------------
NET ASSETS $ 554,334 $ 495,389
================ ================
NET ASSETS CONSIST OF:
Paid-in capital $ 411,040 $ 399,034
Undistributed (accumulated) net
investment income (loss) (1,100) 7,067
Accumulated net realized gain (loss) 24,180 29,877
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 120,214 59,411
---------------- ----------------
$ 554,334 $ 495,389
================ ================
CLASS A
Net assets $ 554,165 $ 495,248
Shares outstanding (no par value),
unlimited shares authorized 19,607 36,302
Net asset value per share $ 28.26 $ 13.64
================ ================
CLASS B
Net assets $ 169 $ 141
Shares outstanding (no par value),
unlimited shares authorized 6 10
Net asset value per share $ 28.34 $ 13.71
================ ================
- ----------------------------------------------------
(a) Including securities on loan of: $ 99,025 $ 50,331
(b) Investments - unaffiliated, at cost 518,251 472,141
(c) Foreign currency cost - -
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
(f) Including cash payment of: - -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Real Estate Small Cap Growth
Growth Fund Fund (b) Growth Fund Fund
----------------- ---------------- ----------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 1,348 $ 362 $ 70 $ 1,373
Interest 15 1 - 4
Foreign taxes withheld (20) (4) - (18)
Securities lending 25 - 15 135
----------------- ---------------- ----------------- ----------------
TOTAL INVESTMENT INCOME 1,368 359 85 1,494
----------------- ---------------- ----------------- ----------------
EXPENSES
Administrative fees 114 8 22 130
Advisory fees 809 57 187 908
Trustees fees 3 - 1 4
Other expenses 9 1 1 9
12b-1 service fee (Class A) 228 15 44 259
----------------- ---------------- ----------------- ----------------
TOTAL EXPENSES 1,163 81 255 1,310
----------------- ---------------- ----------------- ----------------
----------------- ---------------- ----------------- ----------------
NET INVESTMENT INCOME (LOSS) 205 278 (170) 184
----------------- ---------------- ----------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments (93) 126 2,424 15,772
Foreign currency related items - (47) - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commissions recaptured 41 4 1 155
Net change in unrealized appreciation
(depreciation) on:
Investments 4,719 3,171 (1,343) (15,647)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ---------------- ----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 4,667 3,254 1,082 280
----------------- ---------------- ----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 4,872 $ 3,532 $ 912 $ 464
- ----------------------------------------------- ================= ================ ================= ================
(a) Dividends from affiliated investments $ - $ - $ - $ -
(b) Period from May 2, 2005 (commencement of operations)
JNL/Eagle JNL/Eagle
Core Equity SmallCap
Fund Equity Fund
--------------- -------------------
INVESTMENT INCOME
Dividends (a) $ 2,656 $ 210
Interest 52 -
Foreign taxes withheld (18) (1)
Securities lending 20 38
--------------- -------------------
TOTAL INVESTMENT INCOME 2,710 247
--------------- -------------------
EXPENSES
Administrative fees 162 77
Advisory fees 1,047 577
Trustees fees 4 2
Other expenses 11 6
12b-1 service fee (Class A) 324 154
--------------- -------------------
TOTAL EXPENSES 1,548 816
--------------- -------------------
--------------- -------------------
NET INVESTMENT INCOME (LOSS) 1,162 (569)
--------------- -------------------
--------------- -------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 9,693 8,087
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Brokerage commissions recaptured 113 87
Net change in unrealized appreciation
(depreciation) on:
Investments (21,495) (9,956)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
--------------- -------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (11,689) (1,782)
--------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (10,527) $ (2,351)
- ----------------------------------------------- =============== ===================
(a) Dividends from affiliated investments $ - $ -
(b) Period from May 2, 2005 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Franklin
JNL/FMR JNL/FMR Templeton Small JNL/Goldman
Balanced Capital Cap Value Sachs Mid
Fund Growth Fund Fund (b) Cap Value Fund (b)
------------------ ----------------- ------------------ -------------------
INVESTMENT INCOME
Dividends (a) $ 509 $ 863 $ 111 $ 198
Interest 632 - 5 -
Foreign taxes withheld (5) (35) - -
Securities lending 30 69 - -
------------------ ----------------- ------------------ -------------------
TOTAL INVESTMENT INCOME 1,166 897 116 198
------------------ ----------------- ------------------ -------------------
EXPENSES
Administrative fees 53 97 8 8
Advisory fees 373 683 69 61
Trustees fees 1 3 - -
Other expenses 4 7 1 1
12b-1 service fee (Class A) 107 195 16 16
------------------ ----------------- ------------------ -------------------
TOTAL EXPENSES 538 985 94 86
------------------ ----------------- ------------------ -------------------
------------------ ----------------- ------------------ -------------------
NET INVESTMENT INCOME (LOSS) 628 (88) 22 112
------------------ ----------------- ------------------ -------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 1,645 6,745 94 316
Foreign currency related items (1) (2) - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commissions recaptured 9 74 - 1
Net change in unrealized appreciation
(depreciation) on:
Investments 308 (12,114) 2,329 3,165
Foreign currency related items (1) - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ ----------------- ------------------ -------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 1,960 (5,297) 2,423 3,482
------------------ ----------------- ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 2,588 $ (5,385) $ 2,445 $ 3,594
- -------------------------------------------------- ================== ================= ================== ===================
(a) Dividends from affiliated investments $ - $ - $ - $ -
(b) Period from May 2, 2005 (commencement of operations)
JNL/JPMorgan JNL/JPMorgan
International International
Equity Fund Value Fund
----------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 2,485 $ 2,758
Interest 22 40
Foreign taxes withheld (292) (337)
Securities lending 19 64
----------------- ----------------
TOTAL INVESTMENT INCOME 2,234 2,525
----------------- ----------------
EXPENSES
Administrative fees 91 89
Advisory fees 455 437
Trustees fees 2 2
Other expenses 5 4
12b-1 service fee (Class A) 122 118
----------------- ----------------
TOTAL EXPENSES 675 650
----------------- ----------------
----------------- ----------------
NET INVESTMENT INCOME (LOSS) 1,559 1,875
----------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 11,114 3,637
Foreign currency related items 965 (205)
Futures contracts and options written - 816
Investment securities sold short - -
Brokerage commissions recaptured 15 5
Net change in unrealized appreciation
(depreciation) on:
Investments (15,154) (4,739)
Foreign currency related items (239) 68
Futures contracts and options written - (21)
Investment securities sold short - -
----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (3,299) (439)
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (1,740) $ 1,436
- -------------------------------------------------- ================= ================
(a) Dividends from affiliated investments $ - $ -
(b) Period from May 2, 2005 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Mellon
JNL/Mellon Capital
Capital Management
JNL/Lazard JNL/Lazard Management Enhanced
Mid Cap Small Cap Bond Index S&P 500 Stock
Value Fund Value Fund Fund Index Fund
------------------- ----------------- ----------------- ------------------
INVESTMENT INCOME
Dividends (a) $ 1,401 $ 1,024 $ 33 $ 1,136
Interest - - 2,446 6
Foreign taxes withheld - (1) - -
Securities lending 14 33 30 2
------------------- ----------------- ----------------- ------------------
TOTAL INVESTMENT INCOME 1,415 1,056 2,509 1,144
------------------- ----------------- ----------------- ------------------
EXPENSES
Administrative fees 108 102 64 69
Advisory fees 779 765 194 322
Trustees fees 3 3 2 2
Other expenses 7 7 4 11
12b-1 service fee (Class A) 215 204 129 138
------------------- ----------------- ----------------- ------------------
TOTAL EXPENSES 1,112 1,081 393 542
------------------- ----------------- ----------------- ------------------
------------------- ----------------- ----------------- ------------------
NET INVESTMENT INCOME (LOSS) 303 (25) 2,116 602
------------------- ----------------- ----------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 17,533 8,055 118 6,647
Foreign currency related items - - - -
Futures contracts and options written - - - (19)
Investment securities sold short - - - -
Brokerage commissions recaptured 26 57 - -
Net change in unrealized appreciation
(depreciation) on:
Investments (15,308) (10,093) 829 (11,490)
Foreign currency related items - - - -
Futures contracts and options written - - - (120)
Investment securities sold short - - - -
------------------- ----------------- ----------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 2,251 (1,981) 947 (4,982)
------------------- ----------------- ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 2,554 $ (2,006) $ 3,063 $ (4,380)
- ---------------------------------------------------- =================== ================= ================= ==================
(a) Dividends from affiliated investments $ - $ - $ 32 $ 45
JNL/Mellon JNL/Mellon
Capital Capital
Management Management
International S&P 400 MidCap
Index Fund Index Fund
---------------- ------------------
INVESTMENT INCOME
Dividends (a) $ 5,615 $ 1,571
Interest 12 4
Foreign taxes withheld (655) -
Securities lending 108 16
---------------- ------------------
TOTAL INVESTMENT INCOME 5,080 1,591
---------------- ------------------
EXPENSES
Administrative fees 208 104
Advisory fees 415 302
Trustees fees 3 3
Other expenses 8 17
12b-1 service fee (Class A) 277 208
---------------- ------------------
TOTAL EXPENSES 911 634
---------------- ------------------
---------------- ------------------
NET INVESTMENT INCOME (LOSS) 4,169 957
---------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 28,943 3,172
Foreign currency related items (428) -
Futures contracts and options written 590 173
Investment securities sold short - -
Brokerage commissions recaptured - -
Net change in unrealized appreciation
(depreciation) on:
Investments (39,348) 4,077
Foreign currency related items (225) -
Futures contracts and options written (27) (91)
Investment securities sold short - -
---------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (10,495) 7,331
---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (6,326) $ 8,288
- ---------------------------------------------------- ================ ==================
(a) Dividends from affiliated investments $ 96 $ 57
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Mellon JNL/Mellon
Capital Capital JNL/ JNL/
Management Management Oppenheimer Oppenheimer
S&P 500 Index Small Cap Global Growth
Fund Index Fund Growth Fund Fund
------------------ ---------------- ---------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 3,333 $ 1,184 $ 2,950 $ 94
Interest 11 5 1 -
Foreign taxes withheld - (1) (282) (1)
Securities lending 10 83 66 2
------------------ ---------------- ---------------- ----------------
TOTAL INVESTMENT INCOME 3,354 1,271 2,735 95
------------------ ---------------- ---------------- ----------------
EXPENSES
Administrative fees 182 89 172 12
Advisory fees 527 259 803 83
Trustees fees 5 3 3 -
Other expenses 30 6 8 1
12b-1 service fee (Class A) 363 178 229 24
------------------ ---------------- ---------------- ----------------
TOTAL EXPENSES 1,107 535 1,215 120
------------------ ---------------- ---------------- ----------------
------------------ ---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS) 2,247 736 1,520 (25)
------------------ ---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 8,897 7,751 2,979 61
Foreign currency related items - - (142) -
Futures contracts and options written 75 (48) - -
Investment securities sold short - - - -
Brokerage commissions recaptured - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (15,986) (10,108) (4,987) (249)
Foreign currency related items - - (5) -
Futures contracts and options written (183) 166 - -
Investment securities sold short - - - -
------------------ ---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (7,197) (2,239) (2,155) (188)
------------------ ---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (4,950) $ (1,503) $ (635) $ (213)
- --------------------------------------------------- ================== ================ ================ ================
(a) Dividends from affiliated investments $ 110 $ 66 $ - $ -
JNL/PIMCO JNL/Putnam
Total Return Equity
Bond Fund Fund
---------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 122 $ 960
Interest 6,817 5
Foreign taxes withheld - (1)
Securities lending 28 9
---------------- ----------------
TOTAL INVESTMENT INCOME 6,967 973
---------------- ----------------
EXPENSES
Administrative fees 213 72
Advisory fees 1,063 482
Trustees fees 5 2
Other expenses 15 5
12b-1 service fee (Class A) 425 143
---------------- ----------------
TOTAL EXPENSES 1,721 704
---------------- ----------------
---------------- ----------------
NET INVESTMENT INCOME (LOSS) 5,246 269
---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 431 9,490
Foreign currency related items 2,083 -
Futures contracts and options written 2,418 31
Investment securities sold short 338 -
Brokerage commissions recaptured - 32
Net change in unrealized appreciation
(depreciation) on:
Investments 1,290 (7,127)
Foreign currency related items (357) -
Futures contracts and options written 461 (2)
Investment securities sold short 27 -
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 6,691 2,424
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 11,937 $ 2,693
- --------------------------------------------------- ================ ================
(a) Dividends from affiliated investments $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/S&P JNL/S&P
JNL/Putnam JNL/Putnam Managed Managed
Midcap Value Aggressive Conservative
Growth Fund Equity Fund Growth Fund Fund
------------------ ------------------ ---------------- -----------------
INVESTMENT INCOME
Dividends (a) $ 86 $ 1,884 $ 271 $ 69
Interest 2 15 - -
Foreign taxes withheld - - - -
Securities lending 2 3 - -
------------------ ------------------ ---------------- -----------------
TOTAL INVESTMENT INCOME 90 1,902 271 69
------------------ ------------------ ---------------- -----------------
EXPENSES
Administrative fees 16 99 161 8
Advisory fees 122 652 381 20
Trustees fees - 4 7 -
Other expenses 1 7 23 1
12b-1 service fee (Class A) 33 199 - -
------------------ ------------------ ---------------- -----------------
TOTAL EXPENSES 172 961 572 29
------------------ ------------------ ---------------- -----------------
------------------ ------------------ ---------------- -----------------
NET INVESTMENT INCOME (LOSS) (82) 941 (301) 40
------------------ ------------------ ---------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 2,124 12,082 15,671 (12)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commissions recaptured 3 20 - -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,174) (12,331) (17,493) 734
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ ------------------ ---------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (47) (229) (1,822) 722
------------------ ------------------ ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (129) $ 712 $ (2,123) $ 762
- -------------------------------------------------- ================== ================== ================ =================
(a) Dividends from affiliated investments $ - $ - $ 271 $ 69
JNL/S&P
JNL/S&P Managed
Managed Moderate
Growth Fund Fund
----------------- -----------------
INVESTMENT INCOME
Dividends (a) $ 424 $ 80
Interest - -
Foreign taxes withheld - -
Securities lending - -
----------------- -----------------
TOTAL INVESTMENT INCOME 424 80
----------------- -----------------
EXPENSES
Administrative fees 244 12
Advisory fees 515 30
Trustees fees 11 -
Other expenses 34 1
12b-1 service fee (Class A) - -
----------------- -----------------
TOTAL EXPENSES 804 43
----------------- -----------------
----------------- -----------------
NET INVESTMENT INCOME (LOSS) (380) 37
----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 21,785 (140)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Brokerage commissions recaptured - -
Net change in unrealized appreciation
(depreciation) on:
Investments (22,269) 1,174
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (484) 1,034
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (864) $ 1,071
- -------------------------------------------------- ================= =================
(a) Dividends from affiliated investments $ 424 $ 80
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Salomon
JNL/S&P JNL/Salomon JNL/Salomon Brothers
Managed Brothers Brothers U.S. Government
Moderate High Yield Strategic Bond & Quality
Growth Fund Bond Fund Fund Bond Fund
---------------- ---------------- ---------------- --------------------
INVESTMENT INCOME
Dividends (a) $ 404 $ - $ - $ -
Interest - 10,785 6,793 4,424
Foreign taxes withheld - - - -
Securities lending - 196 60 46
---------------- ---------------- ---------------- --------------------
TOTAL INVESTMENT INCOME 404 10,981 6,853 4,470
---------------- ---------------- ---------------- --------------------
EXPENSES
Administrative fees 165 133 129 99
Advisory fees 388 661 813 482
Trustees fees 7 4 3 3
Other expenses 23 9 9 7
12b-1 service fee (Class A) - 265 259 197
---------------- ---------------- ---------------- --------------------
TOTAL EXPENSES 583 1,072 1,213 788
---------------- ---------------- ---------------- --------------------
---------------- ---------------- ---------------- --------------------
NET INVESTMENT INCOME (LOSS) (179) 9,909 5,640 3,682
---------------- ---------------- ---------------- --------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 9,037 959 2,573 189
Foreign currency related items - (7) 424 -
Futures contracts and options written - - (228) 140
Investment securities sold short - - - -
Brokerage commissions recaptured - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (5,068) (10,498) (3,484) 1,971
Foreign currency related items - (2) 992 -
Futures contracts and options written - - (212) (236)
Investment securities sold short - - - -
---------------- ---------------- ---------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 3,969 (9,548) 65 2,064
---------------- ---------------- ---------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 3,790 $ 361 $ 5,705 $ 5,746
- ---------------------------------------------------- ================ ================ ================ ====================
(a) Dividends from affiliated investments $ 404 $ - $ - $ -
JNL/Select JNL/Select
Balanced Global Growth
Fund Fund
----------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 2,893 $ 1,758
Interest 2,655 1
Foreign taxes withheld (22) (158)
Securities lending 40 77
----------------- ----------------
TOTAL INVESTMENT INCOME 5,566 1,678
----------------- ----------------
EXPENSES
Administrative fees 187 143
Advisory fees 911 703
Trustees fees 5 3
Other expenses 13 7
12b-1 service fee (Class A) 374 190
----------------- ----------------
TOTAL EXPENSES 1,490 1,046
----------------- ----------------
----------------- ----------------
NET INVESTMENT INCOME (LOSS) 4,076 632
----------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 2,493 2,095
Foreign currency related items - (85)
Futures contracts and options written (54) -
Investment securities sold short - -
Brokerage commissions recaptured 8 100
Net change in unrealized appreciation
(depreciation) on:
Investments (5,307) (18,130)
Foreign currency related items - (4)
Futures contracts and options written (15) -
Investment securities sold short - -
----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (2,875) (16,024)
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 1,201 $ (15,392)
- ---------------------------------------------------- ================= ================
(a) Dividends from affiliated investments $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/T.Rowe
JNL/Select JNL/Select Price
Large Cap Money JNL/Select Established
Growth Fund Market Fund Value Fund Growth Fund
------------------ ----------------- --------------- -----------------
INVESTMENT INCOME
Dividends (a) $ 1,044 $ 149 $ 1,994 $ 3,948
Interest - 3,246 1 -
Foreign taxes withheld (14) - (8) (118)
Securities lending 12 - 7 48
------------------ ----------------- --------------- -----------------
TOTAL INVESTMENT INCOME 1,042 3,395 1,994 3,878
------------------ ----------------- --------------- -----------------
EXPENSES
Administrative fees 126 123 92 314
Advisory fees 854 369 503 1,888
Trustees fees 3 3 2 8
Other expenses 9 9 7 22
12b-1 service fee (Class A) 251 246 183 628
------------------ ----------------- --------------- -----------------
TOTAL EXPENSES 1,243 750 787 2,860
------------------ ----------------- --------------- -----------------
------------------ ----------------- --------------- -----------------
NET INVESTMENT INCOME (LOSS) (201) 2,645 1,207 1,018
------------------ ----------------- --------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 5,238 - 1,414 10,417
Foreign currency related items - - - (141)
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commissions recaptured 26 - 6 10
Net change in unrealized appreciation
(depreciation) on:
Investments (11,945) - 772 (16,482)
Foreign currency related items - - - (4)
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ ----------------- --------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (6,681) - 2,192 (6,200)
------------------ ----------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (6,882) $ 2,645 $ 3,399 $ (5,182)
- ---------------------------------------------------- ================== ================= =============== =================
(a) Dividends from affiliated investments $ - $ - $ - $ 48
JNL/T.Rowe JNL/T.Rowe
Price Price
Mid-Cap Value
Growth Fund Fund
---------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 1,539 $ 5,256
Interest - 73
Foreign taxes withheld (10) (136)
Securities lending 78 82
---------------- ----------------
TOTAL INVESTMENT INCOME 1,607 5,275
---------------- ----------------
EXPENSES
Administrative fees 264 246
Advisory fees 1,889 1,633
Trustees fees 7 6
Other expenses 19 17
12b-1 service fee (Class A) 529 491
---------------- ----------------
TOTAL EXPENSES 2,708 2,393
---------------- ----------------
---------------- ----------------
NET INVESTMENT INCOME (LOSS) (1,101) 2,882
---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - -
Investments 23,383 17,040
Foreign currency related items - (18)
Futures contracts and options written - -
Investment securities sold short - -
Brokerage commissions recaptured 15 3
Net change in unrealized appreciation
(depreciation) on:
Investments (13,979) (18,988)
Foreign currency related items - (1)
Futures contracts and options written - -
Investment securities sold short - -
---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 9,419 (1,964)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 8,318 $ 918
- ---------------------------------------------------- ================ ================
(a) Dividends from affiliated investments $ 57 $ 33
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/AIM JNL/AIM JNL/AIM JNL/Alger
Large Cap Real Estate Small Cap Growth
OPERATIONS Growth Fund Fund (a) Growth Fund Fund
---------------- --------------- --------------- -----------------
Net investment income (loss) $ 205 $ 278 $ (170) $ 184
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (93) 126 2,424 15,772
Foreign currency related items - (47) - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commission recapture 41 4 1 155
Net change in unrealized appreciation
(depreciation) on:
Investments 4,719 3,171 (1,343) (15,647)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
---------------- --------------- --------------- -----------------
---------------- --------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 4,872 3,532 912 464
---------------- --------------- --------------- -----------------
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 162,773 56,392 9,083 29,950
Class B 138 100 122 102
Proceeds in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Cost of shares redeemed
Class A (35,435) (4,422) (7,844) (91,830)
Class B (3) - (1) -
---------------- --------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 127,473 52,070 1,360 (61,778)
---------------- --------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 132,345 55,602 2,272 (61,314)
NET ASSETS BEGINNING OF PERIOD 191,027 - 44,365 292,645
---------------- --------------- --------------- -----------------
NET ASSETS END OF PERIOD $ 323,372 $ 55,602 $ 46,637 $ 231,331
================ =============== =============== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 321 $ 278 $ (170) $ 436
================ =============== =============== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 14,735 5,565 740 1,976
Class B 12 10 10 7
Shares issued in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Shares redeemed
Class A (3,126) (424) (640) (6,126)
Class B - - - -
---------------- --------------- --------------- -----------------
Net increase (decrease) 11,621 5,151 110 (4,143)
- ------------------------------------------------ ================ =============== =============== =================
================ =============== =============== =================
JNL/Eagle JNL/Eagle
Core Equity SmallCap
OPERATIONS Fund Equity Fund
---------------- ----------------
Net investment income (loss) $ 1,162 $ (569)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 9,693 8,087
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Brokerage commission recapture 113 87
Net change in unrealized appreciation
(depreciation) on:
Investments (21,495) (9,956)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
---------------- ----------------
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (10,527) (2,351)
---------------- ----------------
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 49,417 30,035
Class B 106 105
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (122,516) (38,255)
Class B (3) (1)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (72,996) (8,116)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS (83,523) (10,467)
NET ASSETS BEGINNING OF PERIOD 357,998 169,753
---------------- ----------------
NET ASSETS END OF PERIOD $ 274,475 $ 159,286
================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,222 $ (569)
================ ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 3,386 1,612
Class B 7 6
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (8,513) (2,001)
Class B - -
---------------- ----------------
Net increase (decrease) (5,120) (383)
- ------------------------------------------------ ================ ================
================ ================
(a) Period from May 2, 2005 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/FMR JNL/FMR JNL/Franklin JNL/Goldman
Balanced Capital Templeton Small Sachs Mid
OPERATIONS Fund Growth Fund Cap Value Fund (a) Cap Value Fund (a)
----------------- ------------------ ----------------------- ----------------------
Net investment income (loss) $ 628 $ (88) $ 22 $ 112
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 1,645 6,745 94 316
Foreign currency related items (1) (2) - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commission recapture 9 74 - 1
Net change in unrealized appreciation
(depreciation) on:
Investments 308 (12,114) 2,329 3,165
Foreign currency related items (1) - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ------------------ ----------------------- ----------------------
----------------- ------------------ ----------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,588 (5,385) 2,445 3,594
----------------- ------------------ ----------------------- ----------------------
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 18,318 41,761 54,348 53,450
Class B 107 103 100 100
Proceeds in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Cost of shares redeemed
Class A (11,418) (41,155) (3,751) (2,549)
Class B - (1) - -
----------------- ------------------ ----------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 7,007 708 50,697 51,001
----------------- ------------------ ----------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS 9,595 (4,677) 53,142 54,595
NET ASSETS BEGINNING OF PERIOD 104,566 210,405 - -
----------------- ------------------ ----------------------- ----------------------
NET ASSETS END OF PERIOD $ 114,161 $ 205,728 $ 53,142 $ 54,595
================= ================== ======================= ======================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 639 $ 509 $ 22 $ 112
================= ================== ======================= ======================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,833 2,884 5,416 5,319
Class B 11 7 10 10
Shares issued in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Shares redeemed
Class A (1,143) (2,751) (364) (245)
Class B - - - -
----------------- ------------------ ----------------------- ----------------------
Net increase (decrease) 701 140 5,062 5,084
- ------------------------------------------- ================= ================== ======================= ======================
JNL/JPMorgan JNL/JPMorgan
International International
OPERATIONS Equity Fund Value Fund
---------------- -----------------
Net investment income (loss) $ 1,559 $ 1,875
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 11,114 3,637
Foreign currency related items 965 (205)
Futures contracts and options written - 816
Investment securities sold short - -
Brokerage commission recapture 15 5
Net change in unrealized appreciation
(depreciation) on:
Investments (15,154) (4,739)
Foreign currency related items (239) 68
Futures contracts and options written - (21)
Investment securities sold short - -
---------------- -----------------
---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (1,740) 1,436
---------------- -----------------
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 98,974 121,558
Class B 104 107
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (18,538) (27,083)
Class B - (1)
---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 80,540 94,581
---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 78,800 96,017
NET ASSETS BEGINNING OF PERIOD 94,999 82,086
---------------- -----------------
NET ASSETS END OF PERIOD $ 173,799 $ 178,103
================ =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,712 $ 2,014
================ =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 9,220 13,357
Class B 9 12
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (1,706) (2,926)
Class B - -
---------------- -----------------
Net increase (decrease) 7,523 10,443
- ------------------------------------------- ================ =================
(a) Period from May 2, 2005 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Mellon
JNL/Mellon Capital
Capital Management
JNL/Lazard JNL/Lazard Management Enhanced
Mid Cap Small Cap Bond Index S&P 500 Stock
OPERATIONS Value Fund Value Fund Fund Index Fund
------------------- ------------------ ------------------- -------------------
Net investment income (loss) $ 303 $ (25) $ 2,116 $ 602
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 17,533 8,055 118 6,647
Foreign currency related items - - - -
Futures contracts and options written - - - (19)
Investment securities sold short - - - -
Brokerage commission recapture 26 57 - -
Net change in unrealized appreciation
(depreciation) on:
Investments (15,308) (10,093) 829 (11,490)
Foreign currency related items - - - -
Futures contracts and options written - - - (120)
Investment securities sold short - - - -
------------------- ------------------ ------------------- -------------------
------------------- ------------------ ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 2,554 (2,006) 3,063 (4,380)
------------------- ------------------ ------------------- -------------------
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 54,112 39,405 46,966 10,469
Class B 132 138 110 112
Proceeds in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Cost of shares redeemed
Class A (68,014) (68,241) (19,632) (129,398)
Class B (4) (3) (2) (5)
------------------- ------------------ ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (13,774) (28,701) 27,442 (118,822)
------------------- ------------------ ------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS (11,220) (30,707) 30,505 (123,202)
NET ASSETS BEGINNING OF PERIOD 222,571 218,878 116,457 181,448
------------------- ------------------ ------------------- -------------------
NET ASSETS END OF PERIOD $ 211,351 $ 188,171 $ 146,962 $ 58,246
=================== ================== =================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 347 $ 53 $ 5,670 $ 2,423
=================== ================== =================== ===================
(1)SHARE TRANSACTIONS
Shares sold
Class A 3,746 2,931 4,312 1,204
Class B 9 10 10 13
Shares issued in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Shares redeemed
Class A (4,773) (5,179) (1,806) (15,176)
Class B - - - (1)
------------------- ------------------ ------------------- -------------------
Net increase (decrease) (1,018) (2,238) 2,516 (13,960)
- --------------------------------------------------- =================== ================== =================== ===================
JNL/Mellon JNL/Mellon
Capital Capital
Management Management
International S&P 400 MidCap
OPERATIONS Index Fund Index Fund
------------------ -----------------
Net investment income (loss) $ 4,169 $ 957
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 28,943 3,172
Foreign currency related items (428) -
Futures contracts and options written 590 173
Investment securities sold short - -
Brokerage commission recapture - -
Net change in unrealized appreciation
(depreciation) on:
Investments (39,348) 4,077
Foreign currency related items (225) -
Futures contracts and options written (27) (91)
Investment securities sold short - -
------------------ -----------------
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (6,326) 8,288
------------------ -----------------
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 92,603 60,982
Class B 122 123
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (169,081) (33,416)
Class B (24) (32)
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (76,380) 27,657
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS (82,706) 35,945
NET ASSETS BEGINNING OF PERIOD 298,148 198,841
------------------ -----------------
NET ASSETS END OF PERIOD $ 215,442 $ 234,786
================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 7,858 $ 1,794
================== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 6,828 4,628
Class B 9 9
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (12,663) (2,553)
Class B (2) (2)
------------------ -----------------
Net increase (decrease) (5,828) 2,082
- --------------------------------------------------- ================== =================
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Mellon JNL/Mellon
Capital Capital JNL/ JNL/
Management Management Oppenheimer Oppenheimer
S&P 500 Index Small Cap Global Growth
OPERATIONS Fund Index Fund Growth Fund Fund
------------------ ---------------- ---------------- ----------------
Net investment income (loss) $ 2,247 $ 736 $ 1,520 $ (25)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 8,897 7,751 2,979 61
Foreign currency related items - - (142) -
Futures contracts and options written 75 (48) - -
Investment securities sold short - - - -
Brokerage commission recapture - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (15,986) (10,108) (4,987) (249)
Foreign currency related items - - (5) -
Futures contracts and options written (183) 166 - -
Investment securities sold short - - - -
------------------ ---------------- ---------------- ----------------
------------------ ---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (4,950) (1,503) (635) (213)
------------------ ---------------- ---------------- ----------------
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 98,917 58,390 49,248 6,131
Class B 179 149 139 112
Proceeds in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Cost of shares redeemed
Class A (94,243) (29,114) (40,659) (5,341)
Class B (48) (37) (4) -
------------------ ---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 4,805 29,388 8,724 902
------------------ ---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS (145) 27,885 8,089 689
NET ASSETS BEGINNING OF PERIOD 362,084 173,907 235,071 24,480
------------------ ---------------- ---------------- ----------------
NET ASSETS END OF PERIOD $ 361,939 $ 201,792 $ 243,160 $ 25,169
================== ================ ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 2,252 $ 1,691 $ 1,979 $ 8
================== ================ ================ ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 9,439 4,575 4,266 733
Class B 17 12 12 14
Shares issued in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Shares redeemed
Class A (9,093) (2,289) (3,523) (646)
Class B (5) (3) - -
------------------ ---------------- ---------------- ----------------
Net increase (decrease) 358 2,295 755 101
- ------------------------------------------------- ================== ================ ================ ================
JNL/PIMCO JNL/Putnam
Total Return Equity
OPERATIONS Bond Fund Fund
--------------- ---------------
Net investment income (loss) $ 5,246 $ 269
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 431 9,490
Foreign currency related items 2,083 -
Futures contracts and options written 2,418 31
Investment securities sold short 338 -
Brokerage commission recapture - 32
Net change in unrealized appreciation
(depreciation) on:
Investments 1,290 (7,127)
Foreign currency related items (357) -
Futures contracts and options written 461 (2)
Investment securities sold short 27 -
--------------- ---------------
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 11,937 2,693
--------------- ---------------
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 138,984 35,819
Class B 122 101
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (55,763) (30,994)
Class B (5) -
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 83,338 4,926
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 95,275 7,619
NET ASSETS BEGINNING OF PERIOD 390,154 149,680
--------------- ---------------
NET ASSETS END OF PERIOD $ 485,429 $ 157,299
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 10,823 $ 1,532
=============== ===============
(1)SHARE TRANSACTIONS
Shares sold
Class A 11,514 2,005
Class B 10 5
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (4,628) (1,693)
Class B - -
--------------- ---------------
Net increase (decrease) 6,896 317
- ------------------------------------------------- =============== ===============
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/S&P JNL/S&P
JNL/Putnam JNL/Putnam Managed Managed
Midcap Value Aggressive Conservative
OPERATIONS Growth Fund Equity Fund Growth Fund Fund
----------------- ----------------- ------------------- -----------------
Net investment income (loss) $ (82) $ 941 $ (301) $ 40
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 2,124 12,082 15,671 (12)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commission recapture 3 20 - -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,174) (12,331) (17,493) 734
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ----------------- ------------------- -----------------
----------------- ----------------- ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (129) 712 (2,123) 762
----------------- ----------------- ------------------- -----------------
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 6,885 8,656 61,492 41,227
Class B 114 100 - -
Proceeds in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Cost of shares redeemed
Class A (8,316) (34,958) (83,823) (3,346)
Class B (2) - - -
----------------- ----------------- ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,319) (26,202) (22,331) 37,881
----------------- ----------------- ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS (1,448) (25,490) (24,454) 38,643
NET ASSETS BEGINNING OF PERIOD 33,830 215,616 670,711 13,909
----------------- ----------------- ------------------- -----------------
NET ASSETS END OF PERIOD $ 32,382 $ 190,126 $ 646,257 $ 52,552
================= ================= =================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (82) $ 946 $ 2,588 $ 238
================= ================= =================== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 857 502 5,298 3,991
Class B 14 6 - -
Shares issued in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Shares redeemed
Class A (1,045) (2,027) (7,227) (324)
Class B - - - -
----------------- ----------------- ------------------- -----------------
Net increase (decrease) (174) (1,519) (1,929) 3,667
- ---------------------------------------------------- ================= ================= =================== =================
JNL/S&P
JNL/S&P Managed
Managed Moderate
OPERATIONS Growth Fund Fund
--------------- ---------------
Net investment income (loss) $ (380) $ 37
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 21,785 (140)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Brokerage commission recapture - -
Net change in unrealized appreciation
(depreciation) on:
Investments (22,269) 1,174
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
--------------- ---------------
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (864) 1,071
--------------- ---------------
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 108,011 69,333
Class B - -
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (108,481) (6,362)
Class B - -
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (470) 62,971
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS (1,334) 64,042
NET ASSETS BEGINNING OF PERIOD 1,001,562 19,873
--------------- ---------------
NET ASSETS END OF PERIOD $ 1,000,228 $ 83,915
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 3,423 $ 294
=============== ===============
(1)SHARE TRANSACTIONS
Shares sold
Class A 9,013 6,633
Class B - -
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (9,056) (607)
Class B - -
--------------- ---------------
Net increase (decrease) (43) 6,026
- ---------------------------------------------------- =============== ===============
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/Salomon
JNL/S&P JNL/Salomon JNL/Salomon Brothers
Managed Brothers Brothers U.S. Government
Moderate High Yield Strategic Bond & Quality
OPERATIONS Growth Fund Bond Fund Fund Bond Fund
----------------- ---------------- ---------------- -----------------
Net investment income (loss) $ (179) $ 9,909 $ 5,640 $ 3,682
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 9,037 959 2,573 189
Foreign currency related items - (7) 424 -
Futures contracts and options written - - (228) 140
Investment securities sold short - - - -
Brokerage commission recapture - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (5,068) (10,498) (3,484) 1,971
Foreign currency related items - (2) 992 -
Futures contracts and options written - - (212) (236)
Investment securities sold short - - - -
----------------- ---------------- ---------------- -----------------
----------------- ---------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 3,790 361 5,705 5,746
----------------- ---------------- ---------------- -----------------
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 178,144 69,496 94,107 39,371
Class B - 119 112 101
Proceeds in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Cost of shares redeemed
Class A (68,104) (91,919) (48,794) (36,794)
Class B - (2) (1) (1)
----------------- ---------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 110,040 (22,306) 45,424 2,677
----------------- ---------------- ---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 113,830 (21,945) 51,129 8,423
NET ASSETS BEGINNING OF PERIOD 619,106 284,962 236,714 197,876
----------------- ---------------- ---------------- -----------------
NET ASSETS END OF PERIOD $ 732,936 $ 263,017 $ 287,843 $ 206,299
================= ================ ================ =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,775 $ 9,910 $ 6,055 $ 3,944
================= ================ ================ =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 15,494 8,245 8,179 3,444
Class B - 13 9 9
Shares issued in connection with acquisition
Class A - - - -
Class B - - - -
Reinvestment of distributions
Class A - - - -
Class B - - - -
Shares redeemed
Class A (5,922) (10,926) (4,244) (3,225)
Class B - - - -
----------------- ---------------- ---------------- -----------------
Net increase (decrease) 9,572 (2,668) 3,944 228
- --------------------------------------------------- ================= ================ ================ =================
JNL/Select JNL/Select
Balanced Global Growth
OPERATIONS Fund Fund
--------------- ----------------
Net investment income (loss) $ 4,076 $ 632
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 2,493 2,095
Foreign currency related items - (85)
Futures contracts and options written (54) -
Investment securities sold short - -
Brokerage commission recapture 8 100
Net change in unrealized appreciation
(depreciation) on:
Investments (5,307) (18,130)
Foreign currency related items - (4)
Futures contracts and options written (15) -
Investment securities sold short - -
--------------- ----------------
--------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 1,201 (15,392)
--------------- ----------------
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 48,264 22,553
Class B 119 102
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (50,620) (40,051)
Class B (1) -
--------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (2,238) (17,396)
--------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS (1,037) (32,788)
NET ASSETS BEGINNING OF PERIOD 381,338 217,953
--------------- ----------------
NET ASSETS END OF PERIOD $ 380,301 $ 185,165
=============== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 11,756 $ 1,603
=============== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 2,832 1,270
Class B 7 6
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (2,968) (2,216)
Class B - -
--------------- ----------------
Net increase (decrease) (129) (940)
- --------------------------------------------------- =============== ================
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE PERIOD ENDED JUNE 30, 2005
JNL/T.Rowe
JNL/Select JNL/Select Price
Large Cap Money JNL/Select Established
OPERATIONS Growth Fund Market Fund Value Fund Growth Fund
----------------- ------------------ ---------------- ------------------
Net investment income (loss) $ (201) $ 2,645 $ 1,207 $ 1,018
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 5,238 - 1,414 10,417
Foreign currency related items - - - (141)
Futures contracts and options written - - - -
Investment securities sold short - - - -
Brokerage commission recapture 26 - 6 10
Net change in unrealized appreciation
(depreciation) on:
Investments (11,945) - 772 (16,482)
Foreign currency related items - - - (4)
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ------------------ ---------------- ------------------
----------------- ------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS (6,882) 2,645 3,399 (5,182)
----------------- ------------------ ---------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - (2,643) - -
Class B - (2) - -
From net realized gains on
investment transactions
Class A - - - -
Class B - - - -
----------------- ------------------ ---------------- ------------------
----------------- ------------------ ---------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,645) - -
----------------- ------------------ ---------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 25,275 188,554 96,877 134,138
Class B 104 318 105 139
Proceeds in connection with acquisition
Class A - - - 36,921
Class B - - - 2
Reinvestment of distributions
Class A - 2,643 - -
Class B - 2 - -
Cost of shares redeemed
Class A (97,389) (207,396) (27,832) (79,943)
Class B - (15) (3) (6)
----------------- ------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (72,010) (15,894) 69,147 91,251
----------------- ------------------ ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS (78,892) (15,894) 72,546 86,069
NET ASSETS BEGINNING OF PERIOD 295,493 237,853 154,310 606,909
----------------- ------------------ ---------------- ------------------
NET ASSETS END OF PERIOD $ 216,601 $ 221,959 $ 226,856 $ 692,978
================= ================== ================ ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (201) $ - $ 3,087 $ 1,613
================= ================== ================ ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,347 188,554 5,793 7,558
Class B 6 318 6 8
Shares issued in connection with acquisition
Class A - - - 2,153
Class B - - - -
Reinvestment of distributions
Class A - 2,643 - -
Class B - 2 - -
Shares redeemed
Class A (5,182) (207,396) (1,660) (4,507)
Class B - (15) - -
----------------- ------------------ ---------------- ------------------
Net increase (decrease) (3,829) (15,894) 4,139 5,212
- ----------------------------------------------------- ================= ================== ================ ==================
JNL/T.Rowe JNL/T.Rowe
Price Price
Mid-Cap Value
OPERATIONS Growth Fund Fund
---------------- ---------------
Net investment income (loss) $ (1,101) $ 2,882
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 23,383 17,040
Foreign currency related items - (18)
Futures contracts and options written - -
Investment securities sold short - -
Brokerage commission recapture 15 3
Net change in unrealized appreciation
(depreciation) on:
Investments (13,979) (18,988)
Foreign currency related items - (1)
Futures contracts and options written - -
Investment securities sold short - -
---------------- ---------------
---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 8,318 918
---------------- ---------------
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 83,783 95,917
Class B 134 113
Proceeds in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Cost of shares redeemed
Class A (79,669) (86,712)
Class B (4) (7)
---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 4,244 9,311
---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 12,562 10,229
NET ASSETS BEGINNING OF PERIOD 541,772 485,160
---------------- ---------------
NET ASSETS END OF PERIOD $ 554,334 $ 495,389
================ ===============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (1,100) $ 7,067
================ ===============
(1)SHARE TRANSACTIONS
Shares sold
Class A 3,090 7,107
Class B 5 8
Shares issued in connection with acquisition
Class A - -
Class B - -
Reinvestment of distributions
Class A - -
Class B - -
Shares redeemed
Class A (2,923) (6,383)
Class B - (1)
---------------- ---------------
Net increase (decrease) 172 731
- ----------------------------------------------------- ================ ===============
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/AIM JNL/AIM JNL/Alger
Large Cap Small Cap Growth
OPERATIONS Growth Fund Growth Fund Fund
---------------- ---------------- ----------------
Net investment income (loss) $ 116 $ (413) $ 280
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (3,624) 1,195 22,738
Foreign currency related items - - -
Futures contracts and options written - 130 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 18,229 1,253 (9,659)
Foreign currency related items - - -
Futures contracts and options written - (15) -
Investment securities sold short - - -
---------------- ---------------- ----------------
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 14,721 2,150 13,359
---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - (28)
Class B (a) - - -
From net realized gains on
investment transactions
Class A - - -
Class B (a) - - -
---------------- ---------------- ----------------
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (28)
---------------- ---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 170,328 29,532 122,987
Class B (a) 24 7 7
Proceeds in connection with acquisition
Class A 11,871 - -
Class B (a) - - -
Reinvestment of distributions
Class A - - 28
Class B (a) - - -
Cost of shares redeemed
Class A (42,337) (31,264) (88,375)
Class B (a) (1) - -
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 139,885 (1,725) 34,647
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 154,606 425 47,978
NET ASSETS BEGINNING OF PERIOD 36,421 43,940 244,667
---------------- ---------------- ----------------
NET ASSETS END OF PERIOD $ 191,027 $ 44,365 $ 292,645
================ ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 116 $ - $ 252
================ ================ ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 15,712 2,517 8,328
Class B (a) 2 1 -
Shares issued in connection with acquisition
Class A 1,110 - -
Class B (a) - - -
Reinvestment of distributions
Class A - - 2
Class B (a) - - -
Shares redeemed
Class A (3,893) (2,723) (6,030)
Class B (a) (1) - -
---------------- ---------------- ----------------
Net increase (decrease) 12,930 (205) 2,300
- ------------------------------------------------------ ================ ================ ================
JNL/Eagle JNL/Eagle
Core Equity SmallCap
OPERATIONS Fund Equity Fund
---------------- ----------------
Net investment income (loss) $ 2,532 $ (1,024)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 14,843 7,093
Foreign currency related items (3) -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 4,014 17,961
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
---------------- ----------------
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 21,386 24,030
---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (2,504) -
Class B (a) - -
From net realized gains on
investment transactions
Class A - -
Class B (a) - -
---------------- ----------------
---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,504) -
---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 150,677 83,436
Class B (a) 19 7
Proceeds in connection with acquisition
Class A 13,508 -
Class B (a) - -
Reinvestment of distributions
Class A 2,504 -
Class B (a) - -
Cost of shares redeemed
Class A (73,504) (47,691)
Class B (a) (1) (1)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 93,203 35,751
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 112,085 59,781
NET ASSETS BEGINNING OF PERIOD 245,913 109,972
---------------- ----------------
NET ASSETS END OF PERIOD $ 357,998 $ 169,753
================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 60 $ -
================ ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 10,672 4,660
Class B (a) 1 -
Shares issued in connection with acquisition
Class A 973 -
Class B (a) - -
Reinvestment of distributions
Class A 168 -
Class B (a) - -
Shares redeemed
Class A (5,242) (2,701)
Class B (a) - -
---------------- ----------------
Net increase (decrease) 6,572 1,959
- ------------------------------------------------------ ================ ================
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/FMR JNL/FMR JNL/JPMorgan JNL/JPMorgan
Balanced Capital International International
OPERATIONS Fund Growth Fund Equity Fund Value Fund
------------------ ---------------- ------------------ ------------------
Net investment income (loss) $ 1,249 $ 620 $ 878 $ 585
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 9,555 33,057 10,146 4,102
Foreign currency related items (23) (23) 391 147
Futures contracts and options written - 303 - 207
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,505) (4,986) 1,662 7,544
Foreign currency related items 1 - 144 (65)
Futures contracts and options written - - - (85)
Investment securities sold short - - - -
------------------ ---------------- ------------------ ------------------
------------------ ---------------- ------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 9,277 28,971 13,221 12,435
------------------ ---------------- ------------------ ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (1,265) - (1,170) (713)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A - - - (5)
Class B (a) - - - -
------------------ ---------------- ------------------ ------------------
------------------ ---------------- ------------------ ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,265) - (1,170) (718)
------------------ ---------------- ------------------ ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 32,843 72,402 28,336 63,170
Class B (a) 2 3 1 5
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 1,265 - 1,170 718
Class B (a) - - - -
Cost of shares redeemed
Class A (51,818) (48,984) (43,370) (23,133)
Class B (a) - - - -
------------------ ---------------- ------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (17,708) 23,421 (13,863) 40,760
------------------ ---------------- ------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS (9,696) 52,392 (1,812) 52,477
NET ASSETS BEGINNING OF PERIOD 114,262 158,013 96,811 29,609
------------------ ---------------- ------------------ ------------------
NET ASSETS END OF PERIOD $ 104,566 $ 210,405 $ 94,999 $ 82,086
================== ================ ================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 11 $ 597 $ 153 $ 139
================== ================ ================== ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 3,493 5,085 2,863 7,739
Class B (a) - - - 1
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 127 - 108 78
Class B (a) - - - -
Shares redeemed
Class A (5,517) (3,560) (4,437) (2,853)
Class B (a) - - - -
------------------ ---------------- ------------------ ------------------
Net increase (decrease) (1,897) 1,525 (1,466) 4,965
- --------------------------------------------------- ================== ================ ================== ==================
JNL/Lazard JNL/Lazard
Mid Cap Small Cap
OPERATIONS Value Fund Value Fund
----------------- ----------------
Net investment income (loss) $ 336 $ (339)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 28,927 25,739
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 9,700 1,450
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
----------------- ----------------
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 38,963 26,850
----------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (281) (90)
Class B (a) - -
From net realized gains on
investment transactions
Class A (23,036) (17,961)
Class B (a) (3) (2)
----------------- ----------------
----------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (23,320) (18,053)
----------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 128,729 109,731
Class B (a) 39 34
Proceeds in connection with acquisition
Class A - -
Class B (a) - -
Reinvestment of distributions
Class A 23,317 18,051
Class B (a) 3 2
Cost of shares redeemed
Class A (87,946) (72,919)
Class B (a) (12) (9)
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 64,130 54,890
----------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 79,773 63,687
NET ASSETS BEGINNING OF PERIOD 142,798 155,191
----------------- ----------------
NET ASSETS END OF PERIOD $ 222,571 $ 218,878
================= ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 44 $ 78
================= ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 8,914 8,047
Class B (a) 3 3
Shares issued in connection with acquisition
Class A - -
Class B (a) - -
Reinvestment of distributions
Class A 1,609 1,311
Class B (a) - -
Shares redeemed
Class A (6,201) (5,408)
Class B (a) (1) (1)
----------------- ----------------
Net increase (decrease) 4,324 3,952
- --------------------------------------------------- ================= ================
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/Mellon
JNL/Mellon Capital JNL/Mellon JNL/Mellon
Capital Management Capital Capital
Management Enhanced Management Management
Bond Index S&P 500 Stock International S&P 400 MidCap
OPERATIONS Fund Index Fund Index Fund Index Fund
----------------- ------------------ ----------------- -----------------
Net investment income (loss) $ 3,850 $ 1,825 $ 3,608 $ 838
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 973 8,335 1,067 3,458
Foreign currency related items - - 208 -
Futures contracts and options written 12 542 1,340 991
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 50 7,695 36,881 18,174
Foreign currency related items - - 22 -
Futures contracts and options written (4) 42 (39) 116
Investment securities sold short - - - -
----------------- ------------------ ----------------- -----------------
----------------- ------------------ ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 4,881 18,439 43,087 23,577
----------------- ------------------ ----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (326) (485) (245) (10)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A (9) - - -
Class B (a) - - - -
----------------- ------------------ ----------------- -----------------
----------------- ------------------ ----------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (335) (485) (245) (10)
----------------- ------------------ ----------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 107,284 142,564 211,498 136,125
Class B (a) 33 30 80 140
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 335 485 245 10
Class B (a) - - - -
Cost of shares redeemed
Class A (79,272) (68,626) (53,605) (42,016)
Class B (a) (16) (27) (38) (62)
----------------- ------------------ ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 28,364 74,426 158,180 94,197
----------------- ------------------ ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 32,910 92,380 201,022 117,764
NET ASSETS BEGINNING OF PERIOD 83,547 89,068 97,126 81,077
----------------- ------------------ ----------------- -----------------
NET ASSETS END OF PERIOD $ 116,457 $ 181,448 $ 298,148 $ 198,841
================= ================== ================= =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 3,554 $ 1,821 $ 3,689 $ 837
================= ================== ================= =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 10,111 17,692 17,736 11,403
Class B (a) 3 4 7 12
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 31 55 18 1
Class B (a) - - - -
Shares redeemed
Class A (7,369) (8,367) (4,424) (3,506)
Class B (a) (1) (3) (3) (5)
----------------- ------------------ ----------------- -----------------
Net increase (decrease) 2,775 9,381 13,334 7,905
- ---------------------------------------------------- ================= ================== ================= =================
JNL/Mellon JNL/Mellon
Capital Capital
Management Management
S&P 500 Index Small Cap
OPERATIONS Fund Index Fund
---------------- -------------
Net investment income (loss) $ 4,046 $ 957
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 1,245 4,377
Foreign currency related items - -
Futures contracts and options written 776 797
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 24,421 16,683
Foreign currency related items - -
Futures contracts and options written 66 (65)
Investment securities sold short - -
---------------- -------------
---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 30,554 22,749
---------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (4,035) (6)
Class B (a) (2) -
From net realized gains on
investment transactions
Class A (1,593) (333)
Class B (a) (1) -
---------------- -------------
---------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,631) (339)
---------------- -------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 237,627 117,624
Class B (a) 368 119
Proceeds in connection with acquisition
Class A - -
Class B (a) - -
Reinvestment of distributions
Class A 5,628 339
Class B (a) 3 -
Cost of shares redeemed
Class A (96,656) (42,669)
Class B (a) (147) (46)
---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 146,823 75,367
---------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS 171,746 97,777
NET ASSETS BEGINNING OF PERIOD 190,338 76,130
---------------- -------------
NET ASSETS END OF PERIOD $ 362,084 $ 173,907
================ =============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 5 $ 955
================ =============
(1)SHARE TRANSACTIONS
Shares sold
Class A 23,634 9,830
Class B (a) 37 10
Shares issued in connection with acquisition
Class A - -
Class B (a) - -
Reinvestment of distributions
Class A 528 25
Class B (a) - -
Shares redeemed
Class A (9,586) (3,562)
Class B (a) (15) (4)
---------------- -------------
Net increase (decrease) 14,598 6,299
- ---------------------------------------------------- ================ =============
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/ JNL/
Oppenheimer Oppenheimer JNL/PIMCO JNL/Putnam
Global Growth Total Return Equity
OPERATIONS Growth Fund Fund Bond Fund Fund
---------------- ----------------- ---------------- ----------------
Net investment income (loss) $ 909 $ 33 $ 6,399 $ 1,436
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 6,780 2,602 4,919 15,766
Foreign currency related items (422) - (359) 1
Futures contracts and options written - (26) 7,007 30
Investment securities sold short - - (131) -
Net change in unrealized appreciation
(depreciation) on:
Investments 24,160 (1,646) 1,074 847
Foreign currency related items 17 - (100) -
Futures contracts and options written - - (1,935) 2
Investment securities sold short - - 23 -
---------------- ----------------- ---------------- ----------------
---------------- ----------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 31,444 963 16,897 18,082
---------------- ----------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (288) - (6,169) (860)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A - - (4,007) -
Class B (a) - - - -
---------------- ----------------- ---------------- ----------------
---------------- ----------------- ---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (288) - (10,176) (860)
---------------- ----------------- ---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 143,594 16,812 224,183 12,647
Class B (a) 30 1 34 10
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 288 - 10,176 860
Class B (a) - - - -
Cost of shares redeemed
Class A (44,613) (26,289) (168,257) (45,986)
Class B (a) (9) - (4) -
---------------- ----------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 99,290 (9,476) 66,132 (32,469)
---------------- ----------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 130,446 (8,513) 72,853 (15,247)
NET ASSETS BEGINNING OF PERIOD 104,625 32,993 317,301 164,927
---------------- ----------------- ---------------- ----------------
NET ASSETS END OF PERIOD $ 235,071 $ 24,480 $ 390,154 $ 149,680
================ ================= ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 459 $ 33 $ 5,577 $ 1,263
================ ================= ================ ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 13,623 2,019 18,764 747
Class B (a) 3 - 3 1
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 24 - 851 46
Class B (a) - - - -
Shares redeemed
Class A (4,264) (3,169) (13,992) (2,712)
Class B (a) (1) - - -
---------------- ----------------- ---------------- ----------------
Net increase (decrease) 9,385 (1,150) 5,626 (1,918)
- ---------------------------------------------------- ================ ================= ================ ================
JNL/S&P
JNL/Putnam JNL/Putnam Managed
Midcap Value Aggressive
OPERATIONS Growth Fund Equity Fund Growth Fund
--------------- -------------- -------------
Net investment income (loss) $ (188) $ 2,941 $ 1,244
Net realized gain (loss) on:
Distributions from investment companies - - 6,492
Investments 4,145 22,541 16,138
Foreign currency related items - 1 -
Futures contracts and options written - 13 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,351 (4,851) 38,808
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
--------------- -------------- -------------
--------------- -------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 5,308 20,645 62,682
--------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - (2,931) (698)
Class B (a) - - -
From net realized gains on
investment transactions
Class A - - -
Class B (a) - - -
--------------- -------------- -------------
--------------- -------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,931) (698)
--------------- -------------- -------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 12,922 39,785 97,900
Class B (a) 1 1 -
Proceeds in connection with acquisition
Class A - - 411,703
Class B (a) - - -
Reinvestment of distributions
Class A - 2,931 698
Class B (a) - - -
Cost of shares redeemed
Class A (13,310) (154,547) (65,590)
Class B (a) - - -
--------------- -------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (387) (111,830) 444,711
--------------- -------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS 4,921 (94,116) 506,695
NET ASSETS BEGINNING OF PERIOD 28,909 309,732 164,016
--------------- -------------- -------------
NET ASSETS END OF PERIOD $ 33,830 $ 215,616 $ 670,711
=============== ============== =============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ 5 $ 2,889
=============== ============== =============
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,812 2,421 8,941
Class B (a) - - -
Shares issued in connection with acquisition
Class A - - 37,808
Class B (a) - - -
Reinvestment of distributions
Class A - 168 59
Class B (a) - - -
Shares redeemed
Class A (1,873) (9,466) (5,934)
Class B (a) - - -
--------------- -------------- -------------
Net increase (decrease) (61) (6,877) 40,874
- ---------------------------------------------------- =============== ============== =============
(a) Period from March 5, 2004 (commencement of operations)
(b) Period from October 4, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/S&P JNL/S&P JNL/S&P
Managed JNL/S&P Managed Managed
Conservative Managed Moderate Moderate
OPERATIONS Fund (b) Growth Fund Fund (b) Growth Fund
----------------- ---------------- --------------- -----------------
Net investment income (loss) $ 184 $ 5,403 $ 206 $ 6,116
Net realized gain (loss) on:
Distributions from investment companies 66 10,089 160 5,424
Investments 19 25,661 2 8,859
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (21) 56,336 97 31,922
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ---------------- --------------- -----------------
----------------- ---------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 248 97,489 465 52,321
----------------- ---------------- --------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - (5,127) - (5,827)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A - (3,197) - (8,768)
Class B (a) - - - -
----------------- ---------------- --------------- -----------------
----------------- ---------------- --------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (8,324) - (14,595)
----------------- ---------------- --------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 16,695 345,735 21,057 236,773
Class B (a) - - - -
Proceeds in connection with acquisition
Class A - 94,807 - 30,405
Class B (a) - - - -
Reinvestment of distributions
Class A - 8,324 - 14,595
Class B (a) - - - -
Cost of shares redeemed
Class A (3,034) (146,356) (1,649) (102,715)
Class B (a) - - - -
----------------- ---------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 13,661 302,510 19,408 179,058
----------------- ---------------- --------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 13,909 391,675 19,873 216,784
NET ASSETS BEGINNING OF PERIOD - 609,887 - 402,322
----------------- ---------------- --------------- -----------------
NET ASSETS END OF PERIOD $ 13,909 $ 1,001,562 $ 19,873 $ 619,106
================= ================ =============== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 198 $ 3,803 $ 257 $ 1,954
================= ================ =============== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 1,640 30,585 2,046 21,305
Class B (a) - - - -
Shares issued in connection with acquisition
Class A - 8,435 - 2,792
Class B (a) - - - -
Reinvestment of distributions
Class A - 684 - 1,256
Class B (a) - - - -
Shares redeemed
Class A (297) (12,896) (160) (9,204)
Class B (a) - - - -
----------------- ---------------- --------------- -----------------
Net increase (decrease) 1,343 26,808 1,886 16,149
- --------------------------------------------------- ================= ================ =============== =================
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) $ 5,777 $ 10,694 $ 8,732
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,241 6,073 2,585
Foreign currency related items - (1,127) -
Futures contracts and options written - (808) (131)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,150) 473 (2,189)
Foreign currency related items - 265 -
Futures contracts and options written - 336 (34)
Investment securities sold short - - -
---------------- --------------- ----------------
---------------- --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 9,868 15,906 8,963
---------------- --------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (5,803) (10,205) (8,854)
Class B (a) - - -
From net realized gains on
investment transactions
Class A (67) (3,552) (1,100)
Class B (a) - - -
---------------- --------------- ----------------
---------------- --------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,870) (13,757) (9,954)
---------------- --------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 58,220 121,437 67,434
Class B (a) 9 8 17
Proceeds in connection with acquisition
Class A 287,129 - -
Class B (a) 4 - -
Reinvestment of distributions
Class A 5,870 13,757 9,954
Class B (a) - - -
Cost of shares redeemed
Class A (89,732) (98,560) (135,808)
Class B (a) - - (4)
---------------- --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 261,500 36,642 (58,407)
---------------- --------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 265,498 38,791 (59,398)
NET ASSETS BEGINNING OF PERIOD 19,464 197,923 257,274
---------------- --------------- ----------------
NET ASSETS END OF PERIOD $ 284,962 $ 236,714 $ 197,876
================ =============== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1 $ 415 $ 262
================ =============== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 6,860 10,471 5,809
Class B (a) 1 1 1
Shares issued in connection with acquisition
Class A 34,108 - -
Class B (a) 1 - -
Reinvestment of distributions
Class A 691 1,201 881
Class B (a) - - -
Shares redeemed
Class A (10,588) (8,394) (11,625)
Class B (a) - - -
---------------- --------------- ----------------
Net increase (decrease) 31,073 3,279 (4,934)
- --------------------------------------------------- ================ =============== ================
(a) Period from March 5, 2004 (commencement of operations)
(b) Period from October 4, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/Select JNL/Select JNL/Select JNL/Select
Balanced Global Growth Large Cap Money JNL/Select
OPERATIONS Fund Fund Growth Fund Market Fund Value Fund
-------------- --------------- -------------- ------------- --------------
Net investment income (loss) $ 8,003 $ 1,121 $ (244) $ 1,600 $ 1,880
Net realized gain (loss) on:
Distributions from investment companies - - - - -
Investments 40,347 22,281 55,795 - 14,763
Foreign currency related items - (134) 23 - -
Futures contracts and options written - - - - -
Investment securities sold short - - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (12,607) (1,509) (26,108) - 2,121
Foreign currency related items - (4) - - -
Futures contracts and options written - - - - -
Investment securities sold short - - - - -
-------------- --------------- -------------- ------------- --------------
-------------- --------------- -------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 35,743 21,755 29,466 1,600 18,764
-------------- --------------- -------------- ------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (375) - - (1,600) (523)
Class B (a) - - - - -
From net realized gains on
investment transactions
Class A (2,289) - - - (945)
Class B (a) - - - - -
-------------- --------------- -------------- ------------- --------------
-------------- --------------- -------------- ------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,664) - - (1,600) (1,468)
-------------- --------------- -------------- ------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 115,366 55,430 96,877 358,200 136,824
Class B (a) 24 1 2 223 26
Proceeds in connection with acquisition
Class A 12,867 - - - -
Class B (a) - - - - -
Reinvestment of distributions
Class A 2,664 - - 1,600 1,468
Class B (a) - - - - -
Cost of shares redeemed
Class A (86,551) (56,521) (88,704) (306,425) (55,834)
Class B (a) (3) - - (185) (2)
-------------- --------------- -------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 44,367 (1,090) 8,175 53,413 82,482
-------------- --------------- -------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 77,446 20,665 37,641 53,413 99,778
NET ASSETS BEGINNING OF PERIOD 303,892 197,288 257,852 184,440 54,532
-------------- --------------- -------------- ------------- --------------
NET ASSETS END OF PERIOD $ 381,338 $ 217,953 $ 295,493 $ 237,853 $ 154,310
============== =============== ============== ============= ==============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 7,680 $ 971 $ - $ - $ 1,880
============== =============== ============== ============= ==============
(1)SHARE TRANSACTIONS
Shares sold
Class A 7,193 3,079 5,224 358,200 9,004
Class B (a) 1 - - 223 2
Shares issued in connection with acquisition
Class A 785 - - - -
Class B (a) - - - - -
Reinvestment of distributions
Class A 156 - - 1,600 88
Class B (a) - - - - -
Shares redeemed
Class A (5,405) (3,169) (4,834) (306,425) (3,569)
Class B (a) - - - (185) -
-------------- --------------- -------------- ------------- --------------
Net increase (decrease) 2,730 (90) 390 53,413 5,525
- ---------------------------------------------------- ============== =============== ============== ============= ==============
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) $ 2,749 $ (2,539) $ 4,234
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 25,585 29,158 16,880
Foreign currency related items (308) (4) (50)
Futures contracts and options written (73) (126) -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 25,569 53,310 40,958
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------- -------------- -------------
------------- -------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 53,522 79,799 62,022
------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (2,214) - (2,908)
Class B (a) - - -
From net realized gains on
investment transactions
Class A - (27,626) -
Class B (a) - (2) -
------------- -------------- -------------
------------- -------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,214) (27,628) (2,908)
------------- -------------- -------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 210,635 207,599 217,772
Class B (a) 24 30 42
Proceeds in connection with acquisition
Class A - - -
Class B (a) - - -
Reinvestment of distributions
Class A 2,214 27,626 2,908
Class B (a) - 2 -
Cost of shares redeemed
Class A (131,316) (125,195) (199,137)
Class B (a) (2) (2) (9)
------------- -------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 81,555 110,060 21,576
------------- -------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS 132,863 162,231 80,690
NET ASSETS BEGINNING OF PERIOD 474,046 379,541 404,470
------------- -------------- -------------
NET ASSETS END OF PERIOD $ 606,909 $ 541,772 $ 485,160
============= ============== =============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 595 $ 1 $ 4,185
============= ============== =============
(1)SHARE TRANSACTIONS
Shares sold
Class A 12,401 8,018 17,614
Class B (a) 1 1 3
Shares issued in connection with acquisition
Class A - - -
Class B (a) - - -
Reinvestment of distributions
Class A 121 998 214
Class B (a) - - -
Shares redeemed
Class A (7,725) (4,827) (16,196)
Class B (a) - - -
------------- -------------- -------------
Net increase (decrease) 4,798 4,190 1,635
- ---------------------------------------------------- ============= ============== =============
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
-------------------------------------------- Distributions from
Net Asset -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
6/30/2005 $ 11.67 $ - $ (0.11) $ - $ - $ - $ 11.56
12/31/2004 10.61 0.01 1.05 1.06 - - 11.67
12/31/2003 8.16 (0.02) 2.47 2.45 - - 10.61
12/31/2002 10.97 (0.03) (2.76) (2.79) - (0.02) 8.16
10/29(a)-12/31/01 10.00 - 0.97 0.97 - - 10.97
Class B
6/30/2005 11.69 (0.03) (0.07) (0.10) - - 11.59
03/05(a)-12/31/04 10.99 0.02 0.68 0.70 - - 11.69
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM REAL ESTATE FUND
Class A
05/02(a)-06/30/05 10.00 0.05 0.73 0.78 - - 10.78
Class B
05/02(a)-06/30/05 10.00 0.05 0.73 0.78 - - 10.78
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
6/30/2005 12.47 (0.05) 0.29 0.24 - - 12.71
12/31/2004 11.67 (0.12) 0.92 0.80 - - 12.47
12/31/2003 8.43 (0.05) 3.29 3.24 - - 11.67
12/31/2002 11.60 (0.07) (3.10) (3.17) - - 8.43
10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - - 11.60
Class B
06/30/05 12.48 0.01 0.26 0.27 - - 12.75
03/05(a)-12/31/04 12.21 (0.02) 0.29 0.27 - - 12.48
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
6/30/2005 15.50 0.02 0.18 0.20 - - 15.70
12/31/2004 14.76 0.01 0.73 0.74 - - 15.50
12/31/2003 10.91 (0.03) 3.88 3.85 - - 14.76
12/31/2002 16.33 (0.04) (5.38) (5.42) - - 10.91
12/31/2001 18.58 (0.04) (2.18) (2.22) - (0.03) 16.33
12/31/2000 22.91 (0.01) (3.08) (3.09) - (1.24) 18.58
Class B
6/30/2005 15.50 0.01 0.21 0.22 - - 15.72
03/05(a)-12/31/04 15.41 0.04 0.09 0.13 (0.04) - 15.50
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
-------------------------------
Supplemental Data -------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
6/30/2005 (0.94)% $ 323,211 48.10% 1.02 % 0.18 % n/a % n/a %
12/31/2004 9.99 191,003 96.49 1.07 0.09 1.10 0.06
12/31/2003 30.02 36,421 140.00 1.10 (0.41) 1.18 (0.49)
12/31/2002 (25.47) 6,857 180.06 1.10 (0.33) 1.15 (0.38)
10/29(a)-12/31/01 9.70 6,058 14.93 1.10 (0.26) 1.32 (0.48)
Class B
6/30/2005 (0.86) 161 48.10 0.82 0.41 n/a n/a
03/05(a)-12/31/04 6.37 24 96.49 0.86 0.55 0.90 0.52
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM REAL ESTATE FUND
Class A
05/02(a)-06/30/05 7.80 55,494 7.12 1.04 3.64 n/a n/a
Class B
05/02(a)-06/30/05 7.80 108 7.12 0.85 3.70 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
6/30/2005 1.92 46,503 35.70 1.16 (0.77) n/a n/a
12/31/2004 6.86 44,358 92.65 1.16 (0.92) 1.18 (0.94)
12/31/2003 38.43 43,940 30.17 1.15 (0.89) 1.19 (0.93)
12/31/2002 (27.32) 12,915 46.22 1.15 (0.83) 1.17 (0.85)
10/29(a)-12/31/01 16.00 7,665 3.86 1.15 (0.74) 1.24 (0.83)
Class B
06/30/05 2.16 134 35.70 0.96 (0.56) n/a n/a
03/05(a)-12/31/04 2.21 7 92.65 0.96 (0.68) 0.98 (0.70)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
6/30/2005 1.29 231,218 137.54 1.01 0.14 n/a n/a
12/31/2004 5.02 292,638 195.33 1.04 0.11 1.11 0.04
12/31/2003 35.29 244,667 168.09 1.08 (0.27) 1.15 (0.34)
12/31/2002 (33.19) 175,439 236.63 1.08 (0.25) n/a n/a
12/31/2001 (11.97) 341,162 86.80 1.07 (0.23) n/a n/a
12/31/2000 (13.44) 459,577 88.34 1.07 (0.03) n/a n/a
Class B
6/30/2005 1.42 113 137.54 0.82 0.43 n/a n/a
03/05(a)-12/31/04 0.82 7 195.33 0.79 0.88 0.86 0.81
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
(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 -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
6/30/2005 $ 14.96 $ 0.06 $ (0.42) $ (0.36) $ - $ - $ 14.60
12/31/2004 14.17 0.11 0.79 0.90 (0.11) - 14.96
12/31/2003 11.45 0.09 2.72 2.81 (0.09) - 14.17
12/31/2002 14.53 0.10 (3.08) (2.98) (0.10) - 11.45
12/31/2001 16.21 0.07 (1.67) (1.60) (0.07) (0.01) 14.53
12/31/2000 18.47 0.08 (0.08) - (0.09) (2.17) 16.21
Class B
6/30/2005 15.02 - (0.35) (0.35) - - 14.67
03/05(a)-12/31/04 14.68 0.07 0.34 0.41 (0.07) - 15.02
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
6/30/2005 19.97 (0.07) (0.27) (0.34) - - 19.63
12/31/2004 16.81 (0.12) 3.28 3.16 - - 19.97
12/31/2003 12.01 (0.10) 4.90 4.80 - - 16.81
12/31/2002 15.55 (0.08) (3.46) (3.54) - - 12.01
12/31/2001 14.20 (0.41) 1.97 1.56 - (0.21) 15.55
12/31/2000 16.97 (0.04) (2.23) (2.27) - (0.50) 14.20
Class B
6/30/2005 20.02 0.04 (0.36) (0.32) - - 19.70
03/05(a)-12/31/04 18.33 (0.04) 1.73 1.69 - - 20.02
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
6/30/2005 10.02 0.06 0.17 0.23 - - 10.25
12/31/2004 9.27 0.12 0.75 0.87 (0.12) - 10.02
12/31/2003 8.26 0.12 1.01 1.13 (0.12) - 9.27
12/31/2002 9.05 0.20 (0.80) (0.60) (0.19) - 8.26
12/31/2001 9.69 0.21 (0.65) (0.44) (0.20) - 9.05
05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11) - 9.69
Class B
6/30/2005 10.10 0.03 0.21 0.24 - - 10.34
03/05(a)-12/31/04 9.52 0.06 0.58 0.64 (0.06) - 10.10
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
6/30/2005 15.67 (0.01) (0.49) (0.50) - - 15.17
12/31/2004 13.28 0.05 2.34 2.39 - - 15.67
12/31/2003 9.79 (0.06) 3.55 3.49 - - 13.28
12/31/2002 13.83 (0.07) (3.97) (4.04) - - 9.79
12/31/2001 23.55 (0.11) (9.35) (9.46) - (0.26) 13.83
12/31/2000 43.62 (0.20) (14.90) (15.10) - (4.97) 23.55
Class B
6/30/2005 15.70 (0.10) (0.39) (0.49) - - 15.21
03/05(a)-12/31/04 13.97 0.05 1.68 1.73 - - 15.70
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
6/30/2005 (2.41)% $ 274,352 53.37% 0.96 % 0.72 % n/a % n/a %
12/31/2004 6.32 357,978 100.79 0.96 0.85 1.00 0.81
12/31/2003 24.54 245,913 80.50 0.97 0.83 1.01 0.79
12/31/2002 (20.53) 149,242 94.37 0.97 0.78 1.00 0.75
12/31/2001 (9.83) 174,813 102.56 0.97 0.58 0.99 0.56
12/31/2000 0.28 146,888 192.40 0.97 0.57 n/a n/a
Class B
6/30/2005 (2.33) 123 53.37 0.77 0.85 n/a n/a
03/05(a)-12/31/04 2.81 20 100.79 0.76 1.33 0.80 1.29
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
6/30/2005 (1.70) 159,171 32.72 1.06 (0.74) n/a n/a
12/31/2004 18.80 169,746 53.14 1.06 (0.76) 1.07 (0.77)
12/31/2003 39.97 109,972 70.06 1.05 (0.75) 1.10 (0.80)
12/31/2002 (22.77) 76,198 71.45 1.05 (0.49) 1.08 (0.52)
12/31/2001 11.00 112,967 65.36 1.05 (0.31) 1.07 (0.33)
12/31/2000 (13.25) 77,200 89.43 1.05 (0.30) n/a n/a
Class B
6/30/2005 (1.60) 115 32.72 0.86 (0.69) n/a n/a
03/05(a)-12/31/04 9.22 7 53.14 0.84 (0.53) 0.86 (0.55)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
6/30/2005 2.30 114,048 46.19 1.01 1.18 n/a n/a
12/31/2004 9.42 104,564 163.88 1.03 1.25 1.04 1.24
12/31/2003 13.73 114,262 60.48 1.05 1.64 1.07 1.62
12/31/2002 (6.57) 75,591 90.71 1.05 2.11 1.07 2.09
12/31/2001 (4.49) 72,281 105.66 1.05 2.48 1.06 2.47
05/01(a)-12/31/00 (2.00) 44,294 41.10 1.05 2.42 n/a n/a
Class B
6/30/2005 2.38 113 46.19 0.81 1.41 n/a n/a
03/05(a)-12/31/04 6.78 2 163.88 0.77 1.38 0.78 1.37
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
6/30/2005 (3.19) 205,621 77.98 1.01 (0.09) n/a n/a
12/31/2004 18.00 210,402 231.52 1.02 0.39 1.04 0.37
12/31/2003 35.65 158,013 31.95 1.05 (0.51) 1.07 (0.53)
12/31/2002 (29.21) 135,669 56.03 1.04 (0.51) 1.09 (0.56)
12/31/2001 (40.19) 260,726 96.69 1.01 (0.61) 1.03 (0.63)
12/31/2000 (34.74) 496,830 110.81 0.99 (0.67) n/a n/a
Class B
6/30/2005 (3.12) 107 77.98 0.81 0.17 n/a n/a
03/05(a)-12/31/04 12.38 3 231.52 0.78 0.97 0.80 0.95
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
(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 -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/FRANKLIN TEMPLETON SMALL CAP VALUE FUND
Class A
05/02(a)-06/30/05 $ 10.00 $ - $ 0.50 $ 0.50 $ - $ - $ 10.50
Class B
05/02(a)-06/30/05 10.00 0.01 0.49 0.50 - - 10.50
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/GOLDMAN SACHS MID CAP VALUE FUND
Class A
05/02(a)-06/30/05 10.00 0.02 0.72 0.74 - - 10.74
Class B
05/02(a)-06/30/05 10.00 0.03 0.71 0.74 - - 10.74
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL EQUITY FUND
Class A
6/30/2005 11.04 0.09 (0.36) (0.27) - - 10.77
12/31/2004 9.61 0.10 1.47 1.57 (0.14) - 11.04
12/31/2003 7.59 0.10 2.06 2.16 (0.14) - 9.61
12/31/2002 9.66 0.08 (2.07) (1.99) (0.08) - 7.59
12/31/2001 12.23 0.08 (2.56) (2.48) (0.07) (0.02) 9.66
12/31/2000 16.79 0.08 (2.49) (2.41) (0.01) (2.14) 12.23
Class B
6/30/2005 11.06 0.17 (0.42) (0.25) - - 10.81
03/05(a)-12/31/04 10.11 0.09 0.99 1.08 (0.13) - 11.06
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
6/30/2005 9.29 0.09 (0.14) (0.05) - - 9.24
12/31/2004 7.65 0.07 1.65 1.72 (0.08) - 9.29
12/31/2003 5.56 - 2.19 2.19 (0.10) - 7.65
12/31/2002 7.75 0.07 (2.13) (2.06) (0.13) - 5.56
12/31/2001 9.79 0.09 (2.08) (1.99) (0.04) (0.01) 7.75
12/31/2000 13.15 0.04 (2.10) (2.06) (0.06) (1.24) 9.79
Class B
6/30/2005 9.37 0.09 (0.12) (0.03) - - 9.34
03/05(a)-12/31/04 8.17 0.03 1.18 1.21 (0.01) - 9.37
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
6/30/2005 14.66 (3.91) 4.18 0.27 - - 14.93
12/31/2004 13.16 0.02 3.21 3.23 (0.02) (1.71) 14.66
12/31/2003 10.23 0.04 2.92 2.96 (0.03) - 13.16
12/31/2002 11.97 0.03 (1.72) (1.69) (0.03) (0.02) 10.23
12/31/2001 11.75 0.06 1.50 1.56 (0.06) (1.28) 11.97
12/31/2000 9.63 0.03 2.40 2.43 (0.03) (0.28) 11.75
Class B
6/30/2005 14.70 0.02 0.26 0.28 - - 14.98
03/05(a)-12/31/04 14.28 0.02 2.13 2.15 (0.02) (1.71) 14.70
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/FRANKLIN TEMPLETON SMALL CAP VALUE FUND
Class A
05/02(a)-06/30/05 5.00 % $ 53,037 1.77% 1.15 % 0.27 % n/a % n/a %
Class B
05/02(a)-06/30/05 5.00 105 1.77 0.95 0.47 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/GOLDMAN SACHS MID CAP VALUE FUND
Class A
05/02(a)-06/30/05 7.40 54,488 13.80 1.05 1.36 n/a n/a
Class B
05/02(a)-06/30/05 7.40 107 13.80 0.85 1.56 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL EQUITY FUND
Class A
6/30/2005 (2.45) 173,695 86.51 1.11 2.56 n/a n/a
12/31/2004 16.34 94,998 75.17 1.17 0.96 1.19 0.94
12/31/2003 28.53 96,811 113.94 1.23 1.17 1.26 1.14
12/31/2002 (20.58) 78,272 134.52 1.18 0.83 1.21 0.80
12/31/2001 (20.29) 103,972 66.42 1.17 0.76 1.18 0.75
12/31/2000 (13.99) 126,816 138.12 1.17 0.44 n/a n/a
Class B
6/30/2005 (2.26) 104 86.51 0.90 3.54 n/a n/a
03/05(a)-12/31/04 10.72 1 75.17 0.92 1.30 0.94 1.28
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
6/30/2005 (0.54) 177,992 41.15 1.10 3.17 n/a n/a
12/31/2004 22.54 82,081 90.31 1.13 1.14 n/a n/a
12/31/2003 39.43 29,609 131.90 1.12 0.75 n/a n/a
12/31/2002 (26.59) 5,642 146.48 1.08 0.95 n/a n/a
12/31/2001 (20.33) 7,304 82.18 1.07 1.07 n/a n/a
12/31/2000 (15.45) 9,264 120.75 1.07 0.40 n/a n/a
Class B
6/30/2005 (0.32) 111 41.15 0.89 4.69 n/a n/a
03/05(a)-12/31/04 14.85 5 90.31 0.93 1.36 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
6/30/2005 1.84 211,188 46.32 1.03 0.28 n/a n/a
12/31/2004 24.72 222,542 100.95 1.08 0.20 1.13 0.15
12/31/2003 28.89 142,798 88.62 1.08 0.40 1.17 0.31
12/31/2002 (14.08) 76,890 98.18 1.08 0.41 1.12 0.37
12/31/2001 13.24 26,886 143.12 1.07 0.65 1.20 0.52
12/31/2000 25.37 15,478 134.53 1.07 0.37 n/a n/a
Class B
6/30/2005 1.90 163 46.32 0.84 0.63 n/a n/a
03/05(a)-12/31/04 15.20 29 100.95 0.88 0.45 0.93 0.40
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
(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 -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
6/30/2005 $ 13.81 $ - $ 0.02 $ 0.02 $ - $ - $ 13.83
12/31/2004 13.05 (0.02) 2.03 2.01 (0.01) (1.24) 13.81
12/31/2003 9.40 0.01 3.64 3.65 - - 13.05
12/31/2002 11.40 - (1.96) (1.96) - (0.04) 9.40
12/31/2001 10.28 0.02 1.77 1.79 (0.02) (0.65) 11.40
12/31/2000 8.84 0.02 1.45 1.47 (0.03) - 10.28
Class B
6/30/2005 13.84 0.01 0.02 0.03 - - 13.87
03/05(a)-12/31/04 13.92 - 1.16 1.16 - (1.24) 13.84
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Class A
6/30/2005 10.83 0.10 0.15 0.25 - - 11.08
12/31/2004 10.47 0.35 0.04 0.39 (0.03) - 10.83
12/31/2003 10.48 0.23 0.07 0.30 (0.19) (0.12) 10.47
01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36) (0.02) 10.48
Class B
6/30/2005 10.76 0.10 0.16 0.26 - - 11.02
03/05(a)-12/31/04 10.73 0.12 0.02 0.14 (0.11) - 10.76
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
6/30/2005 8.80 0.28 (0.33) (0.05) - - 8.75
12/31/2004 7.93 0.07 0.82 0.89 (0.02) - 8.80
12/31/2003 6.16 0.03 1.76 1.79 (0.02) - 7.93
12/31/2002 8.21 0.04 (2.09) (2.05) - - 6.16
12/31/2001 9.34 0.03 (1.13) (1.10) (0.03) - 8.21
12/31/2000 10.58 0.04 (1.24) (1.20) (0.03) (0.01) 9.34
Class B
6/30/2005 8.73 0.02 (0.05) (0.03) - - 8.70
03/05(a)-12/31/04 8.24 0.08 0.48 0.56 (0.07) - 8.73
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
6/30/2005 13.67 0.32 (0.51) (0.19) - - 13.48
12/31/2004 11.45 0.16 2.07 2.23 (0.01) - 13.67
12/31/2003 8.44 0.10 3.04 3.14 (0.13) - 11.45
01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20) - 8.44
Class B
6/30/2005 13.66 0.15 (0.33) (0.18) - - 13.48
03/05(a)-12/31/04 12.05 0.05 1.62 1.67 (0.06) - 13.66
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
6/30/2005 0.14 % $ 188,005 44.69% 1.06 % (0.02)% n/a % n/a %
12/31/2004 15.38 218,851 105.06 1.12 (0.20) 1.18 (0.26)
12/31/2003 38.83 155,191 70.95 1.13 0.17 1.20 0.10
12/31/2002 (17.22) 74,559 94.87 1.14 (0.03) 1.17 (0.06)
12/31/2001 17.34 35,164 78.01 1.15 0.32 1.21 0.26
12/31/2000 16.60 14,614 58.07 1.15 0.36 n/a n/a
Class B
6/30/2005 0.22 166 44.69 0.86 0.07 n/a n/a
03/05(a)-12/31/04 8.34 27 105.06 0.92 (0.10) 0.98 (0.16)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Class A
6/30/2005 2.31 146,833 29.23 (e) 0.61 3.28 n/a n/a
12/31/2004 3.74 116,440 155.71 (e) 0.61 3.31 n/a n/a
12/31/2003 2.87 83,547 70.57 0.60 3.29 n/a n/a
01/15(a)-12/31/02 8.55 34,286 77.16 0.60 4.12 n/a n/a
Class B
6/30/2005 2.42 129 29.23 (e) 0.41 3.49 n/a n/a
03/05(a)-12/31/04 1.35 17 155.71 (e) 0.41 3.38 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
6/30/2005 (0.57) 58,134 24.98 0.79 0.88 n/a n/a
12/31/2004 11.27 181,444 66.90 0.78 1.17 0.78 1.17
12/31/2003 29.09 89,068 123.94 0.87 0.87 0.89 0.85
12/31/2002 (24.94) 42,071 63.08 0.89 0.69 0.90 0.68
12/31/2001 (11.78) 31,415 55.97 0.90 0.44 n/a n/a
12/31/2000 (11.38) 22,622 57.14 0.90 0.56 n/a n/a
Class B
6/30/2005 (0.34) 112 24.98 0.61 1.15 n/a n/a
03/05(a)-12/31/04 6.85 4 66.90 0.58 1.55 0.58 1.55
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
6/30/2005 (1.39) 215,295 24.22 0.66 3.01 n/a n/a
12/31/2004 19.49 298,098 2.77 0.66 1.83 n/a n/a
12/31/2003 37.31 97,126 1.66 0.65 1.59 n/a n/a
01/15(a)-12/31/02 (13.60) 26,518 32.40 0.65 1.56 n/a n/a
Class B
6/30/2005 (1.32) 147 24.22 0.46 3.77 n/a n/a
03/05(a)-12/31/04 13.85 50 2.77 0.46 1.19 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 Portfolio Turnover including dollar roll transactions for JNL/Mellon
Capital Management Bond Index Fund on 06/30/05 and 12/31/04 is 173.77% and
215.24%, respectively.
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
-------------------------------------------- Distributions from
Net Asset -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Class A
6/30/2005 $ 13.28 $ 0.05 $ 0.44 $ 0.49 $ - $ - $ 13.77
12/31/2004 11.47 0.06 1.75 1.81 - - 13.28
12/31/2003 8.55 0.03 2.92 2.95 (0.03) - 11.47
01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06) - 8.55
Class B
6/30/2005 13.27 0.05 0.45 0.50 - - 13.77
03/05(a)-12/31/04 12.28 0.05 0.98 1.03 (0.04) - 13.27
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
6/30/2005 10.66 0.07 (0.18) (0.11) - - 10.55
12/31/2004 9.84 0.12 0.87 0.99 (0.12) (0.05) 10.66
12/31/2003 7.79 0.03 2.13 2.16 (0.08) (0.03) 9.84
01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) - - 7.79
Class B
6/30/2005 10.72 0.06 (0.17) (0.11) - - 10.61
03/05(a)-12/31/04 10.25 0.09 0.52 0.61 (0.09) (0.05) 10.72
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
6/30/2005 13.43 0.04 (0.23) (0.19) - - 13.24
12/31/2004 11.46 0.07 1.93 2.00 - (0.03) 13.43
12/31/2003 7.94 0.05 3.59 3.64 (0.04) (0.08) 11.46
01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08) - 7.94
Class B
6/30/2005 13.39 0.04 (0.22) (0.18) - - 13.21
03/05(a)-12/31/04 12.33 0.06 1.08 1.14 (0.05) (0.03) 13.39
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
6/30/2005 11.92 0.07 (0.12) (0.05) - - 11.87
12/31/2004 10.12 0.03 1.78 1.81 (0.01) - 11.92
12/31/2003 7.20 0.03 2.89 2.92 - - 10.12
12/31/2002 9.27 0.03 (2.10) (2.07) - - 7.20
05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - - 9.27
Class B
6/30/2005 11.93 0.05 (0.08) (0.03) - - 11.90
03/05(a)-12/31/04 10.71 0.03 1.21 1.24 (0.02) - 11.93
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Class A
6/30/2005 3.69 % $ 234,597 4.16% 0.61 % 0.92 % n/a % n/a %
12/31/2004 15.79 198,751 13.75 0.60 0.62 n/a n/a
12/31/2003 34.55 81,077 18.34 0.60 0.65 0.61 0.64
01/15(a)-12/31/02 (13.94) 12,728 60.00 0.60 0.60 0.61 0.59
Class B
6/30/2005 3.77 189 4.16 0.41 1.02 n/a n/a
03/05(a)-12/31/04 8.42 90 13.75 0.40 0.84 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
6/30/2005 (1.03) 361,570 13.43 0.61 1.24 n/a n/a
12/31/2004 10.06 361,845 6.74 0.60 1.49 n/a n/a
12/31/2003 27.79 190,338 8.90 0.60 1.22 0.61 1.21
01/15(a)-12/31/02 (22.10) 46,776 1.89 0.60 1.15 0.61 1.14
Class B
6/30/2005 (1.03) 369 13.43 0.41 1.45 n/a n/a
03/05(a)-12/31/04 5.91 239 6.74 0.40 2.07 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
6/30/2005 (1.41) 201,591 15.33 0.60 0.83 n/a n/a
12/31/2004 17.42 173,822 17.66 0.60 0.81 n/a n/a
12/31/2003 45.88 76,130 38.17 0.60 0.75 0.61 0.74
01/15(a)-12/31/02 (19.79) 20,027 49.44 0.60 0.96 0.62 0.94
Class B
6/30/2005 (1.34) 201 15.33 0.40 1.06 n/a n/a
03/05(a)-12/31/04 9.24 85 17.66 0.40 1.25 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
6/30/2005 (0.42) 242,997 11.70 1.06 1.33 n/a n/a
12/31/2004 17.93 235,047 17.59 1.06 0.56 n/a n/a
12/31/2003 40.56 104,625 38.02 1.05 0.57 n/a n/a
12/31/2002 (22.33) 50,522 64.05 1.05 0.44 n/a n/a
05/01(a)-12/31/01 (7.30) 59,841 44.80 1.05 0.54 n/a n/a
Class B
6/30/2005 (0.25) 163 11.70 0.86 2.24 n/a n/a
03/05(a)-12/31/04 11.60 24 17.59 0.86 0.59 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 -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
6/30/2005 $ 8.63 $ (0.01) $ (0.05) $ (0.06) $ - $ - $ 8.57
12/31/2004 8.28 0.01 0.34 0.35 - - 8.63
12/31/2003 7.03 (0.03) 1.28 1.25 - - 8.28
12/31/2002 9.41 (0.03) (2.35) (2.38) - - 7.03
05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) - 9.41
Class B
6/30/2005 8.64 (0.07) 0.02 (0.05) - - 8.59
03/05(a)-12/31/04 8.57 0.03 0.04 0.07 - - 8.64
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
6/30/2005 11.96 0.10 0.23 0.33 - - 12.29
12/31/2004 11.76 0.17 0.36 0.53 (0.20) (0.13) 11.96
12/31/2003 11.60 0.13 0.42 0.55 (0.17) (0.22) 11.76
12/31/2002 10.66 0.24 0.70 0.94 - - 11.60
12/31/2001 10.29 0.30 0.68 0.98 (0.28) (0.33) 10.66
12/31/2000 9.64 0.45 0.68 1.13 (0.47) (0.01) 10.29
Class B
6/30/2005 12.15 0.04 0.30 0.34 - - 12.49
03/05(a)-12/31/04 12.02 0.08 0.22 0.30 (0.04) (0.13) 12.15
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
6/30/2005 18.59 0.03 0.18 0.21 - - 18.80
12/31/2004 16.54 0.20 1.96 2.16 (0.11) - 18.59
12/31/2003 13.04 0.08 3.47 3.55 (0.05) - 16.54
12/31/2002 17.18 - (4.14) (4.14) - - 13.04
12/31/2001 22.91 (0.01) (5.72) (5.73) - - 17.18
12/31/2000 28.45 (0.05) (5.03) (5.08) - (0.46) 22.91
Class B
6/30/2005 18.59 0.02 0.21 0.23 - - 18.82
03/05(a)-12/31/04 17.26 0.15 1.32 1.47 (0.14) - 18.59
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
6/30/2005 8.09 (0.02) 0.02 - - - 8.09
12/31/2004 6.82 (0.04) 1.31 1.27 - - 8.09
12/31/2003 5.11 (0.03) 1.74 1.71 - - 6.82
12/31/2002 7.23 (0.04) (2.08) (2.12) - - 5.11
12/31/2001 9.90 (0.05) (2.62) (2.67) - - 7.23
05/01(a)-12/31/00 10.00 - (0.10) (0.10) - - 9.90
Class B
6/30/2005 8.11 0.04 (0.04) - - - 8.11
03/05(a)-12/31/04 7.32 (0.02) 0.81 0.79 - - 8.11
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
6/30/2005 (0.70)% $ 25,050 41.37% 1.01 % (0.21)% n/a % n/a %
12/31/2004 4.23 24,479 124.90 1.01 0.12 n/a n/a
12/31/2003 17.78 32,993 94.02 1.00 (0.49) n/a n/a
12/31/2002 (25.29) 17,846 55.58 1.00 (0.49) n/a n/a
05/01(a)-12/31/01 (5.82) 13,557 58.88 1.00 0.17 n/a n/a
Class B
6/30/2005 (0.58) 119 41.37 0.81 0.02 n/a n/a
03/05(a)-12/31/04 0.82 1 124.90 0.82 0.61 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
6/30/2005 2.76 485,277 135.83 (f) 0.81 2.47 n/a n/a
12/31/2004 4.45 390,124 162.80 (f) 0.81 1.72 n/a n/a
12/31/2003 4.78 317,301 146.76 0.80 2.02 n/a n/a
12/31/2002 8.85 211,362 116.05 0.80 3.23 n/a n/a
12/31/2001 9.52 54,851 112.25 0.80 4.35 n/a n/a
12/31/2000 11.75 21,715 221.61 0.93 (e) 5.98 n/a n/a
Class B
6/30/2005 2.80 152 135.83 (f) 0.61 3.16 n/a n/a
03/05(a)-12/31/04 2.46 30 162.80 (f) 0.61 3.09 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
6/30/2005 1.13 157,184 68.44 0.98 0.38 n/a n/a
12/31/2004 13.04 149,669 91.21 0.99 0.95 1.06 0.88
12/31/2003 27.23 164,927 74.82 1.00 0.45 1.07 0.38
12/31/2002 (24.10) 153,303 123.47 0.99 0.23 1.05 0.17
12/31/2001 (25.01) 282,049 91.77 0.96 (0.07) 0.99 (0.10)
12/31/2000 (17.85) 497,299 77.67 0.94 (0.22) 0.95 (0.23)
Class B
6/30/2005 1.24 115 68.44 0.79 0.46 n/a n/a
03/05(a)-12/31/04 8.55 11 191.21 0.78 2.15 0.85 2.08
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
6/30/2005 0.00 32,268 43.36 1.06 (0.50) n/a n/a
12/31/2004 18.62 33,829 111.57 1.06 (0.62) 1.14 (0.70)
12/31/2003 33.46 28,909 116.81 1.05 (0.52) 1.11 (0.58)
12/31/2002 (29.32) 18,647 116.70 1.05 (0.62) 1.10 (0.67)
12/31/2001 (26.97) 29,541 211.61 1.05 (0.46) 1.09 (0.50)
05/01(a)-12/31/00 (1.00) 46,122 58.67 1.05 (0.09) 1.06 (0.10)
Class B
6/30/2005 0.00 114 43.36 0.86 (0.34) n/a n/a
03/05(a)-12/31/04 10.79 1 111.57 0.78 (0.34) 0.87 (0.43)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
(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%.
(f) The Portfolio Turnover including dollar roll transactions for JNL/PIMCO
Total Return Bond Fund on 06/30/05 and 12/31/04 was 259.93% and 352.28%,
respectively.
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
-------------------------------------------- Distributions from
Net Asset -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
6/30/2005 $ 17.42 $ 0.09 $ - $ 0.09 $ - $ - $ 17.51
12/31/2004 16.09 0.24 1.33 1.57 (0.24) - 17.42
12/31/2003 13.06 0.16 3.04 3.20 (0.17) - 16.09
12/31/2002 16.50 0.16 (3.44) (3.28) (0.16) - 13.06
12/31/2001 17.78 0.15 (1.27) (1.12) (0.16) - 16.50
12/31/2000 16.78 0.16 1.00 1.16 (0.16) - 17.78
Class B
6/30/2005 17.48 0.04 0.08 0.12 - - 17.60
03/05(a)-12/31/04 16.82 0.21 0.66 0.87 (0.21) - 17.48
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
Class A
6/30/2005 11.89 - (0.02) (0.02) - - 11.87
12/31/2004 10.57 0.02 1.31 1.33 (0.01) - 11.89
12/31/2003 8.44 0.06 2.20 2.26 (0.13) - 10.57
12/31/2002 10.45 0.06 (1.97) (1.91) (0.10) - 8.44
12/31/2001 12.86 0.02 (1.38) (1.36) (0.35) (0.70) 10.45
12/31/2000 14.69 (0.10) (1.28) (1.38) (0.17) (0.28) 12.86
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED CONSERVATIVE FUND
Class A
6/30/2005 10.35 (0.10) 0.24 0.14 - - 10.49
10/04(a)-12/31/04 10.00 0.14 0.21 0.35 - - 10.35
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED GROWTH FUND
Class A
6/30/2005 12.23 - (0.01) (0.01) - - 12.22
12/31/2004 11.07 0.07 1.19 1.26 (0.06) (0.04) 12.23
12/31/2003 9.25 0.08 1.93 2.01 (0.19) - 11.07
12/31/2002 10.70 0.08 (1.41) (1.33) (0.12) - 9.25
12/31/2001 12.37 0.01 (0.92) (0.91) (0.32) (0.44) 10.70
12/31/2000 13.42 0.03 (0.62) (0.59) (0.21) (0.25) 12.37
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE FUND
Class A
6/30/2005 10.54 0.24 (0.17) 0.07 - - 10.61
10/04(a)-12/31/04 10.00 0.11 0.43 0.54 - - 10.54
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE GROWTH FUND
Class A
6/30/2005 11.67 (0.01) 0.05 0.04 - - 11.71
12/31/2004 10.91 0.12 0.92 1.04 (0.11) (0.17) 11.67
12/31/2003 9.48 0.10 1.58 1.68 (0.25) - 10.91
12/31/2002 10.54 0.10 (0.99) (0.89) (0.17) - 9.48
12/31/2001 11.83 0.08 (0.65) (0.57) (0.34) (0.38) 10.54
12/31/2000 12.45 0.11 (0.31) (0.20) (0.23) (0.19) 11.83
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
6/30/2005 0.52 % $ 190,023 38.33% 0.97 % 0.95 % n/a % n/a %
12/31/2004 9.76 215,615 46.27 0.97 1.24 1.01 1.20
12/31/2003 24.55 309,732 67.86 0.98 1.16 1.03 1.11
12/31/2002 (19.87) 256,100 62.19 0.98 1.06 1.01 1.03
12/31/2001 (6.32) 347,246 82.54 0.96 0.89 0.99 0.86
12/31/2000 6.96 422,750 86.43 0.96 1.05 0.97 1.04
Class B
6/30/2005 0.69 103 38.33 0.77 1.12 n/a n/a
03/05(a)-12/31/04 5.17 1 46.27 0.75 1.58 0.79 1.54
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
Class A
6/30/2005 (0.17) 646,257 30.40 0.18 (0.09) n/a n/a
12/31/2004 12.61 670,711 62.01 0.18 0.41 n/a n/a
12/31/2003 26.80 164,016 3.87 0.20 0.97 n/a n/a
12/31/2002 (18.26) 97,110 37.53 0.20 0.77 n/a n/a
12/31/2001 (10.58) 107,519 67.65 0.20 1.16 n/a n/a
12/31/2000 (9.37) 95,075 24.94 0.20 1.62 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED CONSERVATIVE FUND
Class A
6/30/2005 1.35 52,552 10.59 0.19 0.26 n/a n/a
10/04(a)-12/31/04 3.50 13,909 13.03 0.18 12.94 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED GROWTH FUND
Class A
6/30/2005 (0.08) 1,000,228 27.39 0.16 (0.08) n/a n/a
12/31/2004 11.41 1,001,562 46.80 0.17 0.67 n/a n/a
12/31/2003 21.73 609,887 3.33 0.20 1.40 n/a n/a
12/31/2002 (12.40) 331,543 32.67 0.20 1.26 n/a n/a
12/31/2001 (7.34) 298,741 59.64 0.20 1.66 n/a n/a
12/31/2000 (4.35) 222,052 19.23 0.20 2.61 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE FUND
Class A
6/30/2005 0.66 83,915 16.59 0.19 0.16 n/a n/a
10/04(a)-12/31/04 5.40 19,873 0.39 0.18 11.25 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE GROWTH FUND
Class A
6/30/2005 0.34 732,936 19.68 0.18 (0.05) n/a n/a
12/31/2004 9.58 619,106 38.10 0.18 1.20 n/a n/a
12/31/2003 17.75 402,322 2.24 0.20 1.79 n/a n/a
12/31/2002 (8.48) 227,833 31.43 0.20 1.75 n/a n/a
12/31/2001 (4.78) 187,495 49.46 0.20 2.42 n/a n/a
12/31/2000 (1.55) 139,701 25.30 0.20 3.53 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 -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
6/30/2005 $ 8.51 $ 0.32 $ (0.30) $ 0.02 $ - $ - $ 8.53
12/31/2004 8.03 0.17 0.49 0.66 (0.18) - 8.51
12/31/2003 6.98 0.75 1.05 1.80 (0.75) - 8.03
12/31/2002 7.42 0.87 (0.44) 0.43 (0.87) - 6.98
12/31/2001 7.67 0.65 (0.24) 0.41 (0.66) - 7.42
12/31/2000 8.71 0.64 (1.05) (0.41) (0.63) - 7.67
Class B
6/30/2005 8.66 (0.01) 0.04 0.03 - - 8.69
03/05(a)-12/31/04 8.15 0.14 0.41 0.55 (0.04) - 8.66
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
6/30/2005 11.47 0.23 0.01 0.24 - - 11.71
12/31/2004 11.40 0.56 0.23 0.79 (0.53) (0.19) 11.47
12/31/2003 10.63 0.49 0.95 1.44 (0.52) (0.15) 11.40
12/31/2002 10.41 0.65 0.22 0.87 (0.65) - 10.63
12/31/2001 10.37 0.68 0.01 0.69 (0.65) - 10.41
12/31/2000 10.25 0.68 0.06 0.74 (0.62) - 10.37
Class B
6/30/2005 11.84 0.10 0.16 0.26 - - 12.10
03/05(a)-12/31/04 11.60 0.20 0.41 0.61 (0.18) (0.19) 11.84
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
6/30/2005 11.31 0.21 0.12 0.33 - - 11.64
12/31/2004 11.47 0.54 (0.10) 0.44 (0.53) (0.07) 11.31
12/31/2003 11.89 0.45 (0.31) 0.14 (0.42) (0.14) 11.47
12/31/2002 11.17 0.42 0.86 1.28 (0.42) (0.14) 11.89
12/31/2001 10.96 0.50 0.25 0.75 (0.49) (0.05) 11.17
12/31/2000 10.36 0.60 0.59 1.19 (0.59) - 10.96
Class B
6/30/2005 11.71 0.11 0.24 0.35 - - 12.06
03/05(a)-12/31/04 11.75 0.16 0.02 0.18 (0.15) (0.07) 11.71
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
6/30/2005 0.24 % $ 262,885 13.99% 0.81 % 7.47 % n/a % n/a %
12/31/2004 8.22 284,949 149.00 0.83 6.97 n/a n/a
12/31/2003 25.79 19,464 71.74 0.90 8.47 n/a n/a
12/31/2002 5.76 17,079 77.04 0.90 8.88 n/a n/a
12/31/2001 5.33 20,220 48.73 0.90 8.54 n/a n/a
12/31/2000 (4.67) 16,437 35.52 0.90 9.17 n/a n/a
Class B
6/30/2005 0.35 132 13.99 0.61 8.05 n/a n/a
03/05(a)-12/31/04 6.84 13 149.00 0.63 7.20 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
6/30/2005 2.09 287,721 63.79 (f) 0.94 4.36 n/a n/a
12/31/2004 6.91 236,706 74.16 (f) 0.94 4.63 n/a n/a
12/31/2003 13.53 197,923 61.03 0.95 5.03 n/a n/a
12/31/2002 8.38 125,881 83.34 0.95 6.22 n/a n/a
12/31/2001 6.71 123,310 86.36 0.98 (e) 6.46 n/a n/a
12/31/2000 7.28 116,654 93.13 0.95 7.42 n/a n/a
Class B
6/30/2005 2.20 122 63.79 (f) 0.74 4.50 n/a n/a
03/05(a)-12/31/04 5.20 8 74.16 (f) 0.72 4.87 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
6/30/2005 2.92 206,182 30.81 (f) 0.80 3.73 n/a n/a
12/31/2004 3.85 197,863 64.93 (f) 0.79 3.92 n/a n/a
12/31/2003 1.18 257,274 43.56 0.78 3.26 n/a n/a
12/31/2002 11.47 304,265 35.72 0.78 4.26 n/a n/a
12/31/2001 6.92 226,275 69.10 0.82 (e) 5.09 n/a n/a
12/31/2000 11.50 138,122 49.09 0.80 6.06 n/a n/a
Class B
6/30/2005 2.99 117 30.81 (f) 0.60 3.97 n/a n/a
03/05(a)-12/31/04 1.54 13 164.93 (f) 0.61 4.22 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 for JNL/Salomon Brothers Strategic Bond
Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund was 0.95%
and 0.79%, respectively.
(f) The Portfolio Turnover including dollar roll transactions for JNL/Salomon
Brothers Stratigic Bond Fund and JNL/Salomon Brothers U.S. Government &
Quality Bond Fund on 06/30/05 was 254.18% and 253.29%, and 422.85% and
643.06% on 12/30/04, respectively.
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
-------------------------------------------- Distributions from
Net Asset -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT BALANCED FUND
Class A
6/30/2005 $ 17.12 $ 0.19 $ (0.13) $ 0.06 $ - $ - $ 17.18
12/31/2004 15.55 0.36 1.33 1.69 (0.02) (0.10) 17.12
12/31/2003 13.14 0.32 2.51 2.83 (0.30) (0.12) 15.55
12/31/2002 14.00 0.42 (0.69) (0.27) (0.42) (0.17) 13.14
12/31/2001 13.13 0.41 0.98 1.39 (0.44) (0.08) 14.00
12/31/2000 12.60 0.50 0.52 1.02 (0.46) (0.03) 13.13
Class B
6/30/2005 16.98 0.10 (0.02) 0.08 - - 17.06
03/05(a)-12/31/04 16.19 0.17 0.89 1.06 (0.17) (0.10) 16.98
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
6/30/2005 19.41 0.07 (1.49) (1.42) - - 17.99
12/31/2004 17.43 0.10 1.88 1.98 - - 19.41
12/31/2003 14.06 0.13 3.24 3.37 - - 17.43
12/31/2002 19.48 0.10 (5.38) (5.28) (0.14) - 14.06
12/31/2001 25.97 0.08 (6.19) (6.11) (0.35) (0.03) 19.48
12/31/2000 35.69 0.07 (6.55) (6.48) (0.59) (2.65) 25.97
Class B
6/30/2005 19.45 (0.16) (1.24) (1.40) - - 18.05
03/05(a)-12/31/04 18.37 0.11 0.97 1.08 - - 19.45
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
6/30/2005 19.71 0.02 (0.33) (0.31) - - 19.40
12/31/2004 17.65 (0.02) 2.08 2.06 - - 19.71
12/31/2003 13.03 (0.04) 4.66 4.62 - - 17.65
12/31/2002 18.55 (0.04) (5.48) (5.52) - - 13.03
12/31/2001 26.65 - (8.04) (8.04) (0.01) (0.05) 18.55
12/31/2000 39.97 0.16 (8.45) (8.29) (0.51) (4.52) 26.65
Class B
6/30/2005 19.75 (0.07) (0.22) (0.29) - - 19.46
03/05(a)-12/31/04 18.67 0.04 1.04 1.08 - - 19.75
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT MONEY MARKET FUND
Class A
6/30/2005 1.00 0.01 - 0.01 (0.01) - 1.00
12/31/2004 1.00 0.01 - 0.01 (0.01) - 1.00
12/31/2003 1.00 0.01 - 0.01 (0.01) - 1.00
12/31/2002 1.00 0.01 - 0.01 (0.01) - 1.00
12/31/2001 1.00 0.03 - 0.03 (0.03) - 1.00
12/31/2000 1.00 0.06 - 0.06 (0.06) - 1.00
Class B
6/30/2005 1.00 0.01 - 0.01 (0.01) - 1.00
03/05(a)-12/31/04 1.00 0.01 - 0.01 (0.01) - 1.00
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT BALANCED FUND
Class A
6/30/2005 0.35 % $ 380,159 15.19 %(e) 0.80 % 2.18 % n/a % n/a %
12/31/2004 10.88 381,316 120.61 0.80 2.42 n/a n/a
12/31/2003 21.57 303,892 54.21 0.80 2.49 0.81 2.48
12/31/2002 (1.93) 217,013 68.30 0.81 2.98 0.81 2.98
12/31/2001 10.57 212,196 42.38 0.81 3.28 n/a n/a
12/31/2000 8.25 155,270 25.76 0.82 4.02 n/a n/a
Class B
6/30/2005 0.47 142 15.19 (e) 0.60 2.39 n/a n/a
03/05(a)-12/31/04 6.54 22 120.61 0.60 2.68 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
6/30/2005 (7.32) 185,059 160.39 1.10 0.66 n/a % n/a %
12/31/2004 11.36 217,952 296.09 1.11 0.58 1.21 0.48
12/31/2003 23.97 197,288 120.39 1.13 0.70 1.18 0.65
12/31/2002 (27.12) 206,070 65.19 1.07 0.45 1.10 0.42
12/31/2001 (23.50) 389,796 93.37 1.05 0.42 1.06 0.41
12/31/2000 (18.28) 665,187 65.56 1.03 0.03 n/a n/a
Class B
6/30/2005 (7.20) 106 160.39 0.91 1.21 n/a n/a
03/05(a)-12/31/04 5.88 1 296.09 0.84 1.02 0.94 0.92
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
6/30/2005 (1.57) 216,488 36.71 0.99 0.16 n/a n/a
12/31/2004 11.67 295,491 154.46 1.00 (0.09) 1.02 (0.11)
12/31/2003 35.46 257,852 78.47 1.04 (0.28) 1.08 (0.32)
12/31/2002 (29.76) 215,884 117.19 1.02 (0.18) 1.10 (0.26)
12/31/2001 (30.18) 436,946 100.02 0.99 0.05 1.02 0.02
12/31/2000 (20.97) 744,972 61.65 0.98 0.25 n/a n/a
Class B
6/30/2005 (1.47) 113 36.71 0.80 (0.02) n/a n/a
03/05(a)-12/31/04 5.78 2 154.46 0.76 0.40 0.77 0.39
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT MONEY MARKET FUND
Class A
6/30/2005 1.06 221,616 n/a 0.61 2.15 n/a n/a
12/31/2004 0.78 237,815 n/a 0.61 0.81 n/a n/a
12/31/2003 0.46 184,440 n/a 0.69 0.47 n/a n/a
12/31/2002 1.07 214,520 n/a 0.69 1.07 n/a n/a
12/31/2001 3.45 242,518 n/a 0.69 3.28 n/a n/a
12/31/2000 5.83 185,012 n/a 0.70 5.73 n/a n/a
Class B
6/30/2005 1.16 343 n/a 0.41 2.57 n/a n/a
03/05(a)-12/31/04 0.91 38 n/a 0.40 1.57 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 Portfolio Turnover including dollar roll transactions for JNL/Select
Balanced Fund is 15.19%.
See Notes to the Financial Statements.
JNL SERIES TRUST (UNAUDITED)
FINANCIAL HIGHLIGHTS
Increase (Decrease) from
Investment Operations
-------------------------------------------- Distributions from
Net Asset -------------------------------------------- Distributions Net Realized
Value Net Net Realized Total from from Gains on Net Asset
Beginning Investment & Unrealized Investment Net Investment Investment Value, End
Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT VALUE FUND
Class A
6/30/2005 $ 16.71 $ 0.03 $ 0.22 $ 0.25 $ - $ - $ 16.96
12/31/2004 14.70 0.12 2.05 2.17 (0.06) (0.10) 16.71
12/31/2003 10.97 0.11 3.71 3.82 (0.03) (0.06) 14.70
09/30(a)-12/31/02 10.00 0.06 0.91 0.97 - - 10.97
Class B
6/30/2005 16.68 0.07 0.20 0.27 - - 16.95
03/05(a)-12/31/04 15.47 0.11 1.31 1.42 (0.11) (0.10) 16.68
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
6/30/2005 18.36 0.02 (0.27) (0.25) - - 18.11
12/31/2004 16.77 0.08 1.58 1.66 (0.07) - 18.36
12/31/2003 12.85 0.02 3.90 3.92 - - 16.77
12/31/2002 16.78 0.01 (3.92) (3.91) (0.02) - 12.85
12/31/2001 18.74 0.02 (1.94) (1.92) - (0.04) 16.78
12/31/2000 21.70 - (0.11) (0.11) (0.01) (2.84) 18.74
Class B
6/30/2005 18.38 0.02 (0.25) (0.23) - - 18.15
03/05(a)-12/31/04 17.44 0.08 0.93 1.01 (0.07) - 18.38
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
6/30/2005 27.87 (0.06) 0.45 0.39 - - 28.26
12/31/2004 24.89 (0.13) 4.61 4.48 - (1.50) 27.87
12/31/2003 18.05 (0.12) 7.08 6.96 - (0.12) 24.89
12/31/2002 23.12 (0.15) (4.92) (5.07) - - 18.05
12/31/2001 23.47 (0.13) (0.22) (0.35) - - 23.12
12/31/2000 23.71 (0.04) 1.67 1.63 - (1.87) 23.47
Class B
6/30/2005 27.92 0.03 0.39 0.42 - - 28.34
03/05(a)-12/31/04 26.20 (0.03) 3.25 3.22 - (1.50) 27.92
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
6/30/2005 13.64 0.08 (0.08) - - - 13.64
12/31/2004 11.92 0.12 1.68 1.80 (0.08) - 13.64
12/31/2003 9.22 0.06 2.70 2.76 (0.06) - 11.92
12/31/2002 11.11 0.09 (1.96) (1.87) - (0.02) 9.22
12/31/2001 11.14 0.08 0.01 0.09 (0.08) (0.04) 11.11
05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09) (0.02) 11.14
Class B
6/30/2005 13.69 0.05 (0.03) 0.02 - - 13.71
03/05(a)-12/31/04 12.50 0.05 1.18 1.23 (0.04) - 13.69
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
---------------------------------
Supplemental Data ---------------------------------
---------------------------------------- Ratio of Net Ratio of Net
---------------------------------------- Ratio of Investment Ratio of Investment
Net Assets, Expenses to Income (Loss) Expenses to Income (Loss)
Total End of Period Portfolio Average Net to Average Average Net to Average
Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT VALUE FUND
Class A
6/30/2005 1.50 % $ 226,725 12.10% 0.86 % 1.32 % n/a % n/a %
12/31/2004 14.77 154,283 136.31 0.86 1.50 n/a n/a
12/31/2003 34.80 54,532 16.19 0.85 1.81 0.88 1.78
09/30(a)-12/31/02 9.70 18,004 8.64 0.85 2.24 0.98 2.11
Class B
6/30/2005 1.62 131 12.10 0.66 1.50 n/a n/a
03/05(a)-12/31/04 9.22 27 136.31 0.66 1.73 n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
6/30/2005 (7.32) 692,815 18.66 0.91 0.32 n/a n/a
12/31/2004 9.89 606,885 36.69 0.92 0.51 0.93 0.50
12/31/2003 30.54 474,046 36.37 0.92 0.14 0.95 0.11
12/31/2002 (23.33) 316,367 46.16 0.92 0.06 0.94 0.04
12/31/2001 (10.23) 474,105 63.38 0.92 0.12 0.92 0.12
12/31/2000 (0.34) 411,855 77.19 0.92 0.03 0.92 0.03
Class B
6/30/2005 (1.25) 163 18.66 0.71 0.55 n/a n/a
03/05(a)-12/31/04 5.81 24 36.69 0.73 1.21 0.74 1.20
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
6/30/2005 1.40 554,165 14.60 1.02 (0.42) n/a n/a
12/31/2004 18.03 541,739 34.02 1.02 (0.55) 1.04 (0.57)
12/31/2003 38.60 379,541 42.89 1.03 (0.60) 1.04 (0.61)
12/31/2002 (21.93) 248,327 42.22 1.03 (0.67) 1.04 (0.68)
12/31/2001 (1.49) 366,028 44.26 1.02 (0.56) 1.03 (0.57)
12/31/2000 7.16 419,796 47.90 1.02 (0.20) n/a n/a
Class B
6/30/2005 1.50 169 14.60 0.83 (0.19) n/a n/a
03/05(a)-12/31/04 12.32 33 34.02 0.81 (0.24) 0.82 (0.25)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
6/30/2005 0.00 495,248 13.82 0.97 1.17 n/a n/a
12/31/2004 15.12 485,126 42.10 0.99 1.01 1.01 0.99
12/31/2003 29.97 404,470 28.06 1.00 1.05 1.02 1.03
12/31/2002 (16.84) 220,106 38.21 1.00 0.97 1.02 0.95
12/31/2001 0.78 216,408 42.29 1.00 0.93 1.02 0.91
05/01(a)-12/31/00 12.54 26,446 44.84 1.00 1.47 1.01 1.46
Class B
6/30/2005 0.15 141 13.82 0.78 1.40 n/a n/a
03/05(a)-12/31/04 9.87 34 42.10 0.79 1.51 0.80 1.50
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
(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 (the "Trust") is an open-end management investment company
organized under the laws of the state 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 as amended, and the securities Act of
1933, as amended. The Trust currently offers shares in forty-two (42) separate
funds (the "Funds"), each with its own investment objective. JNL/AIM Large Cap
Growth Fund, JNL/AIM Real Estate 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/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/Franklin Templeton Small Cap Value Fund for which Franklin
Advisory Services, LLC serves as the sub-adviser; JNL/Goldman Sachs Mid Cap
Value Fund for which Goldman Sachs Asset Management, L.P. serves as the
sub-adviser; JNL/JPMorgan International Equity Fund and 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/Putnam 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 Managed Aggressive Growth Fund, JNL/S&P Managed
Conservative Fund, JNL/S&P Managed Growth Fund, JNL/S&P Managed Moderate Fund,
and JNL/S&P Managed Moderate Growth Fund, (collectively the "JNL/S&P Funds") for
which Standard & Poor's Investment Advisory Services, Inc. serves as the
sub-adviser; 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 Balanced Fund, JNL/Select Global Growth Fund, JNL/Select
Large Cap Growth Fund, JNL/Select Money Market Fund and JNL/Select Value Fund,
for which Wellington Management Company, 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 May 2, 2005, JNL/Putnam International Equity Fund became the
JNL/JPMorgan International Equity Fund and is managed by JPMorgan Investment
Management Inc. Prior to May 2, 2005, this Fund was managed by Putnam Investment
Management LLC.
Effective April 28, 2005, JNL/T. Rowe Established Growth Fund acquired the
JNL/Alliance Capital Growth Fund. See Note 7 for additional information
regarding this Fund acquisition.
Each Fund, except the JNL/S&P Funds, offers Class A and Class B shares. The two
classes differ principally in applicable 12b-1 Service Fees. Shareholders of
each class also bear certain expenses that pertain to that particular class. All
shareholders bear the common expenses of the Fund and earn income and realized
gains/losses from the Fund pro rata based on the average daily net assets of
each class, without discrimination between share classes. No class has
preferential dividend rights. Differences in per share dividend rates generally
result from the relative weighting of pro rata income and realized gain
allocations and from differences in separate class expenses, including
distribution, and shareholder servicing fees.
Jackson National Asset Management, LLC ("JNAM"), a wholly-owned subsidiary of
Jackson National Life Insurance Company ("Jackson National"), serves as
investment adviser ("Adviser") for all the Funds of the Trust. 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/Select 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 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.
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 as amended, 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 Adviser). 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/Select 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 whereby JNAM provides
investment management services. Each Fund pays JNAM 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 by JNAM to sub-advisers
as compensation for their services. The following is a schedule of the fees each
Fund is currently obligated to pay JNAM.
$0 TO $50 TO $100 TO $150 TO $200 TO $250 TO
(M - MILLIONS; B - BILLIONS) $50 M $100 M $150 M $200 M $250 M $300 M
JNL/AIM Large Cap Growth Fund (a) 0.75 % 0.70 % 0.70 % 0.70 % 0.70 % 0.70 %
JNL/AIM Real Estate Fund 0.75 0.70 0.70 0.70 0.70 0.70
JNL/AIM Small Cap Growth Fund 0.85 0.85 0.85 0.85 0.85 0.85
JNL/Alger Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70
JNL/Eagle Core Equity Fund 0.70 0.65 0.65 0.65 0.65 0.65
JNL/Eagle SmallCap Equity Fund 0.75 0.75 0.75 0.70 0.70 0.70
JNL/FMR Balanced Fund 0.70 0.70 0.70 0.70 0.70 0.70
JNL/FMR Capital Growth Fund 0.70 0.70 0.70 0.70 0.70 0.65
JNL/Franklin Templeton Small Cap Value Fund 0.85 0.85 0.85 0.85 0.77 0.77
JNL/Goldman Sachs Mid Cap Value Fund 0.75 0.75 0.70 0.70 0.70 0.70
JNL/JPMorgan International Equity Fund (b) 0.75 0.70 0.70 0.70 0.65 0.65
JNL/JPMorgan International Value Fund (c) 0.75 0.70 0.70 0.70 0.65 0.65
JNL/Lazard Mid Cap Value Fund (d) 0.75 0.75 0.70 0.70 0.70 0.65
JNL/Lazard Small Cap Value Fund (e) 0.75 0.75 0.75 0.75 0.75 0.75
JNL/Mellon Capital Management Bond Index Fund 0.30 0.30 0.30 0.30 0.30 0.30
JNL/Mellon Capital Management Enhanced
S&P 500 Stock Index Fund 0.50 0.45 0.45 0.45 0.45 0.45
JNL/Mellon Capital Management
International Index Fund 0.30 0.30 0.30 0.30 0.30 0.30
JNL/Mellon Capital Management S&P 400 MidCap Index Fund 0.29 0.29 0.29 0.29 0.29 0.29
JNL/Mellon Capital Management S&P 500 Index Fund 0.29 0.29 0.29 0.29 0.29 0.29
JNL/Mellon Capital Management Small Cap Index Fund 0.29 0.29 0.29 0.29 0.29 0.29
JNL/Oppenheimer Global Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70
JNL/Oppenheimer Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70
JNL/PIMCO Total Return Bond Fund 0.50 0.50 0.50 0.50 0.50 0.50
JNL/Putnam Equity Fund 0.675 0.675 0.675 0.60 0.60 0.60
JNL/Putnam Midcap Growth Fund 0.75 0.75 0.75 0.75 0.75 0.75
JNL/Putnam Value Equity Fund 0.675 0.675 0.675 0.60 0.60 0.60
JNL/S&P Funds 0.13 0.13 0.13 0.13 0.13 0.13
JNL/Salomon Brothers High Yield Bond Fund 0.55 0.50 0.50 0.475 0.475 0.475
JNL/Salomon Brothers Strategic Bond Fund 0.65 0.65 0.65 0.60 0.60 0.60
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 0.50 0.50 0.50 0.45 0.45 0.45
JNL/Select Balanced Fund 0.55 0.50 0.50 0.475 0.475 0.475
JNL/Select Global Growth Fund 0.75 0.75 0.75 0.70 0.70 0.70
JNL/Select Large Cap Growth Fund 0.70 0.70 0.70 0.65 0.65 0.65
JNL/Select Money Market Fund 0.30 0.30 0.30 0.30 0.30 0.30
JNL/Select Value Fund 0.55 0.55 0.55 0.55 0.55 0.55
JNL/T.Rowe Price Established Growth Fund (f) 0.65 0.65 0.65 0.60 0.60 0.60
JNL/T.Rowe Price Mid-Cap Growth Fund 0.75 0.75 0.75 0.70 0.70 0.70
JNL/T.Rowe Price Value Fund (g) 0.70 0.70 0.70 0.65 0.65 0.65
$300 TO $350 TO $500 TO $750 TO TO OVER
(M - MILLIONS; B - BILLIONS) $350 M $500 M $750 M $1.5 B $1.5 B
JNL/AIM Large Cap Growth Fund (a) 0.65 % 0.65 % 0.65 % 0.65 % 0.65 %
JNL/AIM Real Estate Fund 0.70 0.70 0.70 0.70 0.70
JNL/AIM Small Cap Growth Fund 0.80 0.80 0.80 0.80 0.80
JNL/Alger Growth Fund 0.65 0.65 0.60 0.60 0.60
JNL/Eagle Core Equity Fund 0.55 0.55 0.55 0.55 0.55
JNL/Eagle SmallCap Equity Fund 0.70 0.70 0.65 0.65 0.65
JNL/FMR Balanced Fund 0.70 0.70 0.65 0.60 0.60
JNL/FMR Capital Growth Fund 0.65 0.65 0.65 0.60 0.55
JNL/Franklin Templeton Small Cap Value Fund 0.77 0.77 0.75 0.75 0.75
JNL/Goldman Sachs Mid Cap Value Fund 0.70 0.70 0.70 0.70 0.70
JNL/JPMorgan International Equity Fund (b) 0.65 0.65 0.60 0.60 0.60
JNL/JPMorgan International Value Fund (c) 0.65 0.65 0.60 0.60 0.60
JNL/Lazard Mid Cap Value Fund (d) 0.65 0.65 0.65 0.65 0.65
JNL/Lazard Small Cap Value Fund (e) 0.75 0.75 0.70 0.70 0.70
JNL/Mellon Capital Management Bond Index Fund 0.30 0.30 0.25 0.25 0.25
JNL/Mellon Capital Management Enhanced
S&P 500 Stock Index Fund 0.45 0.45 0.45 0.45 0.45
JNL/Mellon Capital Management
International Index Fund 0.30 0.30 0.25 0.25 0.25
JNL/Mellon Capital Management S&P 400 MidCap Index Fund 0.29 0.29 0.24 0.24 0.24
JNL/Mellon Capital Management S&P 500 Index Fund 0.29 0.29 0.24 0.24 0.24
JNL/Mellon Capital Management Small Cap Index Fund 0.29 0.29 0.24 0.24 0.24
JNL/Oppenheimer Global Growth Fund 0.60 0.60 0.60 0.60 0.60
JNL/Oppenheimer Growth Fund 0.60 0.60 0.60 0.60 0.60
JNL/PIMCO Total Return Bond Fund 0.50 0.50 0.50 0.50 0.50
JNL/Putnam Equity Fund 0.575 0.575 0.575 0.575 0.575
JNL/Putnam Midcap Growth Fund 0.70 0.70 0.70 0.70 0.70
JNL/Putnam Value Equity Fund 0.575 0.575 0.575 0.575 0.575
JNL/S&P Funds 0.13 0.13 0.08 0.08 0.08
JNL/Salomon Brothers High Yield Bond Fund 0.45 0.45 0.425 0.425 0.425
JNL/Salomon Brothers Strategic Bond Fund 0.60 0.60 0.55 0.55 0.55
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 0.40 0.40 0.35 0.35 0.35
JNL/Select Balanced Fund 0.45 0.45 0.425 0.425 0.425
JNL/Select Global Growth Fund 0.70 0.70 0.65 0.60 0.60
JNL/Select Large Cap Growth Fund 0.65 0.65 0.60 0.55 0.55
JNL/Select Money Market Fund 0.30 0.30 0.25 0.25 0.25
JNL/Select Value Fund 0.50 0.50 0.45 0.45 0.45
JNL/T.Rowe Price Established Growth Fund (f) 0.60 0.60 0.55 0.55 0.55
JNL/T.Rowe Price Mid-Cap Growth Fund 0.70 0.70 0.70 0.70 0.70
JNL/T.Rowe Price Value Fund (g) 0.65 0.65 0.60 0.60 0.60
(a) Prior to January 1, 2005, the fees were 0.75% on assets up to $300 million
and 0.70% over $300 million.
(b) Prior to May 2, 2005, the fees were 0.80% on assets up to $50 million,
0.75% between $50 and $500, and 0.70% over $500 million.
(c) Prior to May 2, 2005, the fees were 0.775% on assets up to $50 million,
0.75% between $50 million and $200 million, 0.70% between $200 million and
$350 million, and 0.65% over $350 million.
(d) Prior to January 1, 2005, the fees were 0.775% on assets up to $150
million, 0.725% between $150 million and $300 million, and 0.70% over $300
million.
(e) Prior to January 1, 2005, the fees were 0.85% on assets up to $50 million,
0.80% between $50 million and $150 million, 0.775% between $150 million and
$300 million, and 0.725% over $300 million.
(f) Prior to January 1, 2005, the fees were 0.65% on assets up to $150 million
and 0.60% over $150 million.
(g) Prior to January 1, 2005, the fees were 0.70% on asssets up to $300 million
and 0.65% over $300 million.
ADMINISTRATIVE FEE - The JNL/S&P Funds pay JNAM an annual Administrative Fee of
0.05% of the average daily net assets of each Fund. The JNL/JPMorgan
International Equity Fund, JNL/JPMorgan International Value Fund, the JNL/Mellon
Capital Management International Index Fund, the JNL/Oppenheimer Global Growth
Fund, and the JNL/Select Global Growth Fund pay JNAM an annual Administration
Fee of 0.15% of the average daily net assets of the Funds. All other Funds pay
JNAM an annual Administration Fee of 0.10% of the average daily net assets of
the Funds. In return for the Administrative Fee, JNAM provides or procures all
necessary administrative functions and services for the operation of the Funds.
In addition, JNAM, 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, licensing costs, directors and officers insurance, the fees and
expenses of the disinterested Managers and independent legal counsel to the
disinterested Managers, and a majority of the cost associated with the Chief
Compliance Officer.
TRANSFER AGENCY SERVICES - The Trust has an agreement with JNAM whereby JNAM
provides transfer agency services for the Funds at no additional cost.
BROKERAGE FEES - During the period ended June 30, 2005, JNL/Alger Growth Fund,
JNL/FMR Capital Growth Fund, JNL/JPMorgan International Equity Fund,
JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Small Cap
Index Fund and JNL/Oppenheimer Global Growth Fund paid $447,283; $11,302;
$3,538; $1,289; $437 and $193, in thousands respectively, to affiliates of the
Funds for brokerage fees on the execution of purchases and sales of portfolio
investments.
12b-1 SERVICE FEE - The 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% 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)".
BROKERAGE COMMISSIONS - The sub-advisers may use their best efforts (subject to
obtaining best execution of each transaction) to allocate a portion of a Fund's
equity security transactions through certain designated broker-dealers which
will rebate a portion of the brokerage commissions to that Fund. Any amount
credited to the Fund is reflected as brokerage commissions recaptured in the
Statement of Operations.
DEFERRED COMPENSATION PLAN - The Funds have adopted a Deferred Compensation Plan
whereby non-interested Trustees may defer the receipt of their compensation.
Deferred amounts are treated as though equivalent dollar amounts had been
invested in shares of the designated Fund(s). The Fund's liability for these
amounts is adjusted for market value changes and remains in the Fund until
distributed under the terms of the Deferred Compensation Plan.
INVESTMENTS IN AFFILIATES - During the six months ended June 30, 2005, certain
Funds invested in a money market fund for temporary purposes, which were managed
by an affiliate to the sub-adviser. The JNL/S&P Funds invested solely in other
affiliated Funds of the Trust and JNL Variable Funds. 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 including dollar rolls for the period ended June 30, 2005, is as
follows (in thousands):
Investment Securities U.S. Government Obligations
Purchases Sales Purchases Sales
--------------- ---------------- ----------------- ------------
--------------- ---------------- ----------------- ------------
JNL/AIM Large Cap Growth Fund 234,245 $ 107,172 $ - $ -
JNL/AIM Real Estate Fund 52,307 2,296 - -
JNL/AIM Small Cap Growth Fund 16,665 15,315 - -
JNL/Alger Growth Fund 347,358 406,414 - -
JNL/Eagle Core Equity Fund 159,241 202,196 - -
JNL/Eagle SmallCap Equity Fund 49,668 60,733 - -
JNL/FMR Balanced Fund 25,845 19,769 30,659 29,010
JNL/FMR Capital Growth Fund 154,269 152,477 - -
JNL/Franklin Templeton Small Cap Value Fund 40,577 480 - -
JNL/Goldman Sachs Mid Cap Value Fund 54,253 4,676 - -
JNL/JPMorgan International Equity Fund 180,162 100,769 - -
JNL/JPMorgan International Value Fund 144,580 45,747 - -
JNL/Lazard Mid Cap Value Fund 96,059 105,823 - -
JNL/Lazard Small Cap Value Fund 88,157 112,259 - -
JNL/Mellon Capital Management Bond Index Fund 218,972 200,489 37,002 24,683
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 34,366 148,865 - -
JNL/Mellon Capital Management International Index Fund 65,396 135,176 - -
JNL/Mellon Capital Management S&P 400 MidCap Index Fund 40,003 8,516 - -
JNL/Mellon Capital Management S&P 500 Index Fund 58,514 48,140 - -
JNL/Mellon Capital Management Small Cap Index Fund 53,220 26,953 - -
JNL/Oppenheimer Global Growth Fund 46,420 26,319 - -
JNL/Oppenheimer Growth Fund 10,597 9,839 - -
JNL/PIMCO Total Return Bond Fund 490,746 495,072 368,349 254,148
JNL/Putnam Equity Fund 102,083 98,002 - -
JNL/Putnam Midcap Growth Fund 14,235 14,903 - -
JNL/Putnam Value Equity Fund 76,071 100,917 - -
JNL/S&P Managed Aggressive Growth Fund 197,824 220,350 - -
JNL/S&P Managed Conservative Fund 40,657 3,288 - -
JNL/S&P Managed Growth Fund 270,362 270,881 - -
JNL/S&P Managed Moderate Fund 70,633 7,779 - -
JNL/S&P Managed Moderate Growth Fund 240,750 130,703 - -
JNL/Salomon Brothers High Yield Bond Fund 35,260 48,079 - -
JNL/Salomon Brothers Strategic Bond Fund 538,649 487,475 54,490 55,739
JNL/Salomon Brothers U.S. Government & Quality Bond Fund 416,473 408,544 33,570 34,133
JNL/Select Balanced Fund 37,469 40,459 18,063 14,997
JNL/Select Global Growth Fund 304,115 322,061 - -
JNL/Select Large Cap Growth Fund 91,408 164,296 - -
JNL/Select Money Market Fund 22,475 14,900 - -
JNL/Select Value Fund 91,806 21,784 - -
JNL/T.Rowe Price Established Growth Fund 204,777 115,242 - -
JNL/T.Rowe Price Mid-Cap Growth Fund 77,182 74,795 - -
JNL/T.Rowe Price Value Fund 81,359 65,566 - -
NOTE 5. FEDERAL INCOME TAX MATTERS
At December 31, 2004, 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 YEAR(S) OF
AMOUNT EXPIRATION AMOUNT EXPIRATION
- ------------------------------------------------------------------ ----------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 4,597 2010-2012 JNL/Putnam Midcap Growth Fund $ 20,871 2009-2011
JNL/AIM Small Cap Growth Fund 884 2010-2011 JNL/Putnam Value Equity Fund 41,085 2010-2011
JNL/Alger Growth Fund 111,621 2009-2011 JNL/Salomon Brothers High Yield Bond Fund 51,880 2007-2010
JNL/Eagle Core Equity Fund 28,737 2009-2011 JNL/Select Global Growth Fund 162,220 2009-2011
JNL/Eagle SmallCap Equity Fund 12,761 2010-2011 JNL/Select Large Cap Growth Fund 308,609 2009-2011
JNL/FMR Balanced Fund 2,357 2010-2011 JNL/Select Money Market Fund 2 2010-2012
JNL/FMR Capital Growth Fund 336,978 2009-2011 JNL/T.Rowe Price Established Growth Fund 70,286 2009-2011
JNL/JPMorgan International Equity Fund 30,209 2009-2011 JNL/S&P Managed Aggressive Growth Fund 46,840 2009-2012
JNL/Oppenheimer Global Growth Fund 3,744 2010-2011 JNL/S&P Managed Growth Fund 2,177 2009-2012
JNL/Oppenheimer Growth Fund 1,880 2010-2011 JNL/S&P Managed Moderate Growth Fund 339 2009-2012
JNL/Putnam Equity Fund 123,916 2009-2011
The following represents capital and/or currency losses (in thousands) realized
after October 31, 2004, which were deferred for tax purposes to the first of the
following fiscal year:
AMOUNT
- -------------------------------------------------------------------
- -------------------------------------------------------------------
JNL/Eagle Core Equity Fund $ 30
JNL/FMR Capital Growth Fund 11
JNL/T.Rowe Price Established Growth Fund 48
JNL/S&P Managed Aggressive Growth Fund 8,515
JNL/S&P Managed Moderate Growth Fund 8,178
Permanent differences between book and tax basis reporting for the 2004 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
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAIN/LOSS PAID IN CAPITAL
------------------ ----------------- ----------------
------------------ ----------------- ----------------
JNL/AIM Small Cap Growth Fund $ 413 $ $ (413)
JNL/Eagle Core Equity Fund (29) 29 -
JNL/Eagle SmallCap Equity Fund 1,024 - (1,024)
JNL/FMR Balanced Fund (23) 23 -
JNL/FMR Capital Growth Fund (23) 23 -
JNL/JPMorgan International Equity Fund 458 (458) -
JNL/JPMorgan International Value Fund 297 (297) -
JNL/Lazard Mid Cap Value Fund (130) 130 -
JNL/Lazard Small Cap Value Fund 363 (363) -
JNL/Mellon Capital Management Bond Index Fund (297) 297 -
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund (5) 5 -
JNL/Mellon Capital Management International Index Fund 211 (211) -
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (3) 3 -
JNL/Mellon Capital Management S&P 500 Index Fund (9) 9 -
JNL/Mellon Capital Management Small Cap Index Fund (23) 23 -
JNL/Oppenheimer Global Growth Fund (422) 422 -
JNL/PIMCO Total Return Bond Fund (449) 449 -
JNL/Putnam Equity Fund (8) 8 -
JNL/Putnam Midcap Growth Fund 188 - (188)
JNL/Putnam Value Equity Fund (5) 5 -
JNL/S&P Managed Aggressive Growth Fund 2,332 (2,332) -
JNL/S&P Managed Conservative Fund 14 (14) -
JNL/S&P Managed Growth Fund 3,443 (3,443) -
JNL/S&P Managed Moderate Fund 51 (51) -
JNL/S&P Managed Moderate Growth Fund 1,590 (1,590) -
JNL/Salomon Brothers Strategic Bond Fund 11 (11) -
JNL/Salomon Brothers U.S. Government & Quality Bond Fund (219) 219 -
JNL/Select Balanced Fund (324) 324 -
JNL/Select Global Growth Fund (134) 134 -
JNL/Select Large Cap Growth Fund 244 (24) (220)
JNL/T.Rowe Price Established Growth Fund (308) 308 -
JNL/T.Rowe Price Mid-Cap Growth Fund 2,546 (2,546) -
JNL/T.Rowe Price Value Fund (50) 50 -
As of June 30, 2005, 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.
Gross Gross Net Unrealized
Cost of Unrealized Unrealized Appreciation/
nvestments Appreciation Depreciation (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 298,594 $ 30,188 $ (3,067) $ 27,121
JNL/AIM Real Estate Fund 53,781 3,259 (161) 3,098
JNL/AIM Small Cap Growth Fund 39,601 7,759 (1,221) 6,538
JNL/Alger Growth Fund 218,071 17,099 (3,451) 13,648
JNL/Eagle Core Equity Fund 257,836 20,609 (7,486) 13,123
JNL/Eagle SmallCap Equity Fund 128,026 37,595 (4,519) 33,076
JNL/FMR Balanced Fund 105,426 11,959 (3,214) 8,745
JNL/FMR Capital Growth Fund 196,928 18,247 (8,769) 9,478
JNL/Franklin Templeton Small Cap Value Fund 51,530 2,802 (473) 2,329
JNL/Goldman Sachs Mid Cap Value Fund 53,027 3,556 (391) 3,165
JNL/JPMorgan International Equity Fund 170,030 6,574 (3,352) 3,222
JNL/JPMorgan International Value Fund 171,634 8,614 (2,916) 5,698
JNL/Lazard Mid Cap Value Fund 198,577 19,363 (6,426) 12,937
JNL/Lazard Small Cap Value Fund 173,209 23,006 (6,136) 16,870
JNL/Mellon Capital Management Bond Index Fund 183,975 2,043 (541) 1,502
JNL/Mellon Capital Management Enhanced S&P 500 Index Fund 55,423 4,694 (2,039) 2,655
JNL/Mellon Capital Management International Index Fund 201,392 18,197 (6,029) 12,168
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund 201,706 42,999 (10,221) 32,778
JNL/Mellon Capital Management S&P 500 Index Fund 333,095 43,490 (15,571) 27,919
JNL/Mellon Capital Management Small Cap Index Fund 184,739 30,942 (13,964) 16,978
JNL/Oppenheimer Global Growth Fund 205,112 44,208 (6,325) 37,883
JNL/Oppenheimer Growth Fund 23,447 2,441 (765) 1,676
JNL/PIMCO Total Return Bond Fund 544,167 6,135 (261) 5,874
JNL/Putnam Equity Fund 144,224 15,869 (3,629) 12,240
JNL/Putnam Midcap Growth Fund 29,187 4,118 (764) 3,354
JNL/Putnam Value Equity Fund 173,476 23,017 (6,673) 16,344
JNL/S&P Managed Aggressive Growth Fund 584,837 62,186 (572) 61,614
JNL/S&P Managed Conservative Fund 51,214 803 (90) 713
JNL/S&P Managed Growth Fund 920,504 81,339 (1,208) 80,131
JNL/S&P Managed Moderate Fund 81,961 1,424 (153) 1,271
JNL/S&P Managed Moderate Growth Fund 683,434 50,285 (1,154) 49,131
JNL/Salomon Brothers High Yield Bond Fund 256,216 10,046 (6,673) 3,373
JNL/Salomon Brothers Strategic Bond Fund 375,051 7,782 (3,169) 4,613
JNL/Salomon Brothers U.S. Government & Quality Bond Fund 272,459 5,342 (449) 4,893
JNL/Select Balanced Fund 359,785 27,193 (7,530) 19,663
JNL/Select Global Growth Fund 175,745 12,826 (2,619) 10,207
JNL/Select Large Cap Growth Fund 205,133 20,300 (6,229) 14,071
JNL/Select Money Market Fund 220,706 - - -
JNL/Select Value Fund 215,469 17,302 (4,863) 12,439
JNL/T. Rowe Price Established Growth Fund 624,523 92,755 (23,501) 69,254
JNL/T. Rowe Price Mid-Cap Growth Fund 434,605 140,609 (20,395) 120,214
JNL/T. Rowe Price Value Fund 433,224 77,197 (17,785) 59,412
The tax character of distributions paid during the period ended December 31,
2004, were as follows (in thousands):
ORDINARY LONG-TERM
INCOME CAPITAL GAIN
------------------------------
JNL/Alger Growth Fund $ 28 $ -
JNL/Eagle Core Equity Fund 2,505 -
JNL/FMR Balanced Fund 1,265 -
JNL/JPMorgan International Equity Fund 1,170 -
JNL/JPMorgan International Value Fund 713 5
JNL/Lazard Mid Cap Value Fund 13,855 9,465
JNL/Lazard Small Cap Value Fund 7,300 10,754
JNL/Mellon Capital Management Bond Index Fund 333 2
JNL/Mellon Capital Management Enhanced
S&P 500 Stock Index Fund 485 -
JNL/Mellon Capital Management
International Index Fund 245 -
JNL/Mellon Capital Management S&P 400
MidCap Index Fund 10 -
JNL/Mellon Capital Management S&P 500 Index Fund 4,356 1,275
JNL/Mellon Capital Management Small Cap Index Fund 6 333
JNL/Oppenheimer Global Growth Fund 288 -
JNL/PIMCO Total Return Bond Fund 7,429 2,747
JNL/Putnam Equity Fund 860 -
JNL/Putnam Value Equity Fund 2,931 -
JNL/S&P Managed Aggressive Growth Fund 698 -
JNL/S&P Managed Growth Fund 5,127 3,197
JNL/S&P Managed Moderate Growth Fund 5,828 8,768
JNL/Salomon Brothers High Yield Bond Fund 5,803 67
JNL/Salomon Brothers Strategic Bond Fund 10,250 3,507
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 9,399 555
JNL/Select Balanced Fund 375 2,289
JNL/Select Money Market Fund 1,600 -
JNL/Select Value Fund 1,045 423
JNL/T.Rowe Price Established Growth Fund 2,214 -
JNL/T.Rowe Price Mid-Cap Growth Fund 1,741 25,887
JNL/T.Rowe Price Value Fund 2,908 -
The tax character of distributions paid during the period ended December 31,
2003, were as follows (in thousands):
ORDINARY LONG-TERM
INCOME CAPITAL GAIN
-----------------------------
JNL/Eagle Core Equity Fund $ 1,494 $ -
JNL/FMR Balanced Fund 1,480 -
JNL/JPMorgan International Equity Fund 1,395 -
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 Enhanced
S&P 500 Stock Index Fund 236 -
JNL/Mellon Capital Management
International Index Fund 1,094 -
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/PIMCO Total Return Bond Fund 8,768 1,422
JNL/Putnam Equity Fund 486 -
JNL/Putnam Value Equity Fund 3,168 -
JNL/S&P Managed Aggressive Growth Fund 1,956 -
JNL/S&P Managed Growth Fund 9,969 -
JNL/S&P Managed Moderate Growth Fund 8,874 -
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/Select Balanced Fund 7,530 401
JNL/Select Money Market Fund 924 -
JNL/Select Value Fund 303 -
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 6. SUBSEQUENT EVENT
Effective July 1, 2005, the advisory fee for the JNL/Oppenheimer Growth Fund is
0.65% on assets up to $300 million and 0.60% on assets over $300 million
pursuant to an amendment to the Investment Advisory and Management Agreement
between the Trust and JNAM.
NOTE 7. FUND ACQUISITION
On May 2, 2005, the following acquisition was accomplished by a taxable exchange
of shares (in thousands) pursuant to a plan of reorganization approved by the
Board of Trustees on February 9, 2005:
OF ACQUIRED FUND ON ACQUISITION DATE:
-----------------------------------------
SHARES OF -----------------------------------------
ACQUIRING ACCUMULATED UNREALIZED
FUND ISSUED MERGER SHARES REALIZED APPRECIATION/
ACQUIRING FUND IN EXCHANGE TAX STATUS ACQUIRED FUND OUTSTANDING GAIN/(LOSS) (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/T.Rowe Established Growth Fund 2,154 Taxable JNL/Alliance Capital Growth Fund 3,809 $ (62,113) $ -
The aggregate net assets (in thousands) of the acquiring and acquired funds
immediately before the acquisition were as follows:
ACQUIRING FUND NET ASSETS ACQUIRED FUND NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
JNL/T.Rowe Established Growth Fund$ 606,447 JNL/Alliance Capital Growth Fund $ 36,924
DISCLOSURE OF FUND EXPENSES (UNAUDITED)
All Mutual Funds are affected by ongoing costs, which include (among others)
costs for portfolio management, administrative services, and the operating
expenses.
Operating expenses such as these are deducted from the Fund's gross income and
directly reduce the final investment return. These expenses are expressed as a
percentage of the Fund's average net assets; this percentage is known as the
Fund's expense ratio.
The examples below use the expense ratio and are intended to help the investor
understand the ongoing costs (in dollars) of investing in a Fund and to compare
these costs with the ongoing costs of investing in other Mutual Funds. The
examples are based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period.
Actual Fund Return. This section provides information about the actual account
values and actual expenses incurred by the Fund. Use the information in this
section, together with the amount invested, to estimate the expenses the
shareholder paid over the period. Simply divide the account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first section under the heading entitled "Expenses
paid During Period" to estimate the expenses paid during this period.
Hypothetical 5% Return. The information in this section can be used to compare
each Fund's costs with those of other mutual funds. It assumes that the Fund had
an annual 5% return before expenses during the year, but that the expense ratio
for the period is unchanged. This example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual funds to make
the 5% calculation.
ACTUAL FUND RETURN
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BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/31/2004 6/30/2005 RATIOS PERIOD
---------------- ----------------- --------------- ---------------
---------------- ----------------- --------------- ---------------
JNL/AIM Large Cap Growth Fund
Class A $ 1,000.00 $ 990.60 1.02 % $ 5.03
Class B 1,000.00 991.40 0.82 4.05
JNL/AIM Real Estate Fund (a)
Class A 1,000.00 1,078.30 1.04 5.36
Class B 1,000.00 1,078.00 0.85 4.38
JNL/AIM Small Cap Growth Fund
Class A 1,000.00 1,019.20 1.16 5.81
Class B 1,000.00 1,021.60 0.96 4.81
JNL/Alger Growth Fund
Class A 1,000.00 1,012.90 1.01 5.04
Class B 1,000.00 1,014.20 0.82 4.10
JNL/Eagle Core Equity Fund
Class A 1,000.00 975.90 0.96 4.70
Class B 1,000.00 976.70 0.77 3.77
JNL/Eagle SmallCap Equity Fund
Class A 1,000.00 983.00 1.06 5.21
Class B 1,000.00 984.00 0.86 4.23
JNL/FMR Balanced Fund
Class A 1,000.00 1,033.30 1.01 5.09
Class B 1,000.00 1,023.80 0.81 4.06
JNL/FMR Capital Growth Fund
Class A 1,000.00 968.10 1.01 4.93
Class B 1,000.00 968.80 0.81 3.95
JNL/Franklin Templeton Small Cap Value Fund (a)
Class A 1,000.00 1,050.00 1.15 5.85
Class B 1,000.00 1,050.00 0.95 4.83
JNL/Goldmn Sachs Mid Cap Value Fund (a)
Class A 1,000.00 1,074.00 1.05 5.40
Class B 1,000.00 1,074.00 0.85 4.37
JNL/JPMorgan International Equity Fund
Class A 1,000.00 975.50 1.11 5.44
Class B 1,000.00 977.40 0.90 4.41
JNL/JPMorgan International Value Fund
Class A 1,000.00 1,005.40 1.10 5.47
Class B 1,000.00 996.80 0.89 4.41
JNL/Lazard Mid Cap Value Fund
Class A 1,000.00 1,018.40 1.03 5.15
Class B 1,000.00 1,019.00 0.84 4.21
JNL/Lazard Small Cap Value Fund
Class A 1,000.00 1,001.40 1.06 5.26
Class B 1,000.00 1,002.20 0.86 4.27
JNL/Mellon Capital Management Bond Index Fund
Class A 1,000.00 1,062.40 0.61 3.12
Class B 1,000.00 1,024.20 0.41 2.06
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
Class A $ 1,000.00 $ 994.30 0.79 % $ 3.91
Class B 1,000.00 996.60 0.61 3.02
JNL/Mellon Capital Management International Index Fund
Class A 1,000.00 986.10 0.66 3.25
Class B 1,000.00 986.80 0.46 2.27
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
Class A 1,000.00 1,036.90 0.61 3.08
Class B 1,000.00 1,037.70 0.41 2.07
JNL/Mellon Capital Mangement S&P 500 Index Fund
Class A 1,000.00 989.70 0.61 3.01
Class B 1,000.00 989.70 0.41 2.02
JNL/Mellon Capital Management Small Cap Index Fund
Class A 1,000.00 985.90 0.60 2.95
Class B 1,000.00 986.60 0.40 1.97
JNL/Oppenheimer Global Growth Fund
Class A 1,000.00 995.80 1.06 5.25
Class B 1,000.00 997.50 0.86 4.26
JNL/Oppenheimer Growth Fund
Class A 1,000.00 993.00 1.01 4.99
Class B 1,000.00 994.20 0.81 4.01
JNL/PIMCO Total Return Bond Fund
Class A 1,000.00 1,027.60 0.81 4.07
Class B 1,000.00 1,028.00 0.61 3.07
JNL/Putnam Equity Fund
Class A 1,000.00 1,011.30 0.98 4.89
Class B 1,000.00 1,012.40 0.79 3.94
JNL/Putnam Midcap Growth Fund
Class A 1,000.00 1,000.00 1.06 5.26
Class B 1,000.00 1,000.00 0.86 4.26
JNL/Putnam Value Equity Fund
Class A 1,000.00 1,005.20 0.97 4.82
Class B 1,000.00 1,006.90 0.77 3.83
JNL/S&P Managed Aggressive Growth Fund
Class A 1,000.00 998.30 0.18 0.89
JNL/S&P Managed Conservative Fund
Class A 1,000.00 1,013.50 0.19 0.95
JNL/S&P Managed Growth Fund
Class A 1,000.00 999.20 0.16 0.79
JNL/S&P Managed Moderate Fund
Class A 1,000.00 1,006.60 0.19 0.95
JNL/S&P Managed Moderate Growth Fund
Class A 1,000.00 1,003.40 0.18 0.89
JNL/Salomon Brothers High Yield Bond Fund
Class A 1,000.00 1,002.40 0.81 4.02
Class B 1,000.00 1,003.50 0.61 3.03
JNL/Salomon Brothers Strategic Bond Fund
Class A 1,000.00 1,020.90 0.94 4.71
Class B 1,000.00 1,022.00 0.74 3.71
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
Class A 1,000.00 1,029.20 0.80 4.03
Class B 1,000.00 1,029.90 0.60 3.02
JNL/Select Balanced Fund
Class A 1,000.00 1,003.50 0.80 3.97
Class B 1,000.00 1,004.70 0.60 2.98
JNL/Select Global Growth Fund
Class A $ 1,000.00 $ 926.80 1.10 % $ 5.26
Class B 1,000.00 928.00 0.91 4.35
JNL/Select Large Cap Growth Fund
Class A 1,000.00 984.30 0.99 4.87
Class B 1,000.00 985.30 0.80 3.94
JNL/Select Money Market Fund
Class A 1,000.00 1,010.60 0.61 3.04
Class B 1,000.00 1,011.60 0.41 2.04
JNL/Select Value Fund
Class A 1,000.00 1,015.00 0.86 4.30
Class B 1,000.00 1,016.20 0.66 3.30
JNL/T.Rowe Price Established Growth Fund
Class A 1,000.00 986.40 0.91 4.48
Class B 1,000.00 987.50 0.71 3.50
JNL/T.Rowe Price Mid-Cap Growth Fund
Class A 1,000.00 1,014.00 1.02 5.09
Class B 1,000.00 1,015.00 0.83 4.15
JNL/T.Rowe Price Value Fund
Class A 1,000.00 1,000.00 0.97 4.81
Class B 1,000.00 1,001.50 0.78 3.87
- ---------------------------------------------------
- ---------------------------------------------------
(a) Period from May 2, 2005 (commencement of operations).
HYPOTHETICAL 5% RETURN
------------------------------------------------------------------
------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/31/2004 6/30/2005 RATIOS PERIOD
---------------- ---------------- --------------- ---------------
---------------- ---------------- --------------- ---------------
JNL/AIM Large Cap Growth Fund
Class A $ 1,000.00 $ 1,019.82 1.02 % $ 5.11
Class B 1,000.00 1,020.80 0.82 4.11
JNL/AIM Real Estate Fund (a)
Class A 1,000.00 1,019.31 1.04 5.21
Class B 1,000.00 1,020.26 0.85 4.26
JNL/AIM Small Cap Growth Fund
Class A 1,000.00 1,019.31 1.16 5.81
Class B 1,000.00 1,020.26 0.96 4.81
JNL/Alger Growth Fund
Class A 1,000.00 1,020.06 1.01 5.06
Class B 1,000.00 1,021.11 0.82 4.11
JNL/Eagle Core Equity Fund
Class A 1,000.00 1,020.30 0.96 4.81
Class B 1,000.00 1,021.28 0.77 3.86
JNL/Eagle SmallCap Equity Fund
Class A 1,000.00 1,019.82 1.06 5.31
Class B 1,000.00 1,020.85 0.86 4.31
JNL/FMR Balanced Fund
Class A 1,000.00 1,020.07 1.01 5.06
Class B 1,000.00 1,021.26 0.81 4.06
JNL/FMR Capital Growth Fund
Class A 1,000.00 1,020.07 1.01 5.06
Class B 1,000.00 1,021.17 0.81 4.06
JNL/Franklin Templeton Small Cap Value Fund (a)
Class A 1,000.00 1,020.07 1.15 5.76
Class B 1,000.00 1,021.17 0.95 4.76
JNL/Goldmn Sachs Mid Cap Value Fund (a)
Class A 1,000.00 1,020.07 1.05 5.26
Class B 1,000.00 1,021.17 0.85 4.26
JNL/JPMorgan International Equity Fund
Class A 1,000.00 1,019.42 1.11 5.56
Class B 1,000.00 1,020.61 0.90 4.51
JNL/JPMorgan International Value Fund
Class A 1,000.00 1,019.47 1.10 5.51
Class B 1,000.00 1,020.37 0.89 4.46
JNL/Lazard Mid Cap Value Fund
Class A 1,000.00 1,019.73 1.03 5.16
Class B 1,000.00 1,020.72 0.84 4.21
JNL/Lazard Small Cap Value Fund
Class A 1,000.00 1,019.52 1.06 5.31
Class B 1,000.00 1,020.62 0.86 4.31
JNL/Mellon Capital Management Bond Index Fund
Class A 1,000.00 1,022.08 0.61 3.06
Class B 1,000.00 1,023.08 0.41 2.06
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
Class A $ 1,000.00 $ 1,021.25 0.79 % $ 3.96
Class B 1,000.00 1,022.29 0.61 3.06
JNL/Mellon Capital Management International Index Fund
Class A 1,000.00 1,021.83 0.66 3.31
Class B 1,000.00 1,022.82 0.46 2.31
JNL/Mellon Capital Management S&P 400 MidCap Index
Class A 1,000.00 1,022.13 0.61 3.06
Class B 1,000.00 1,023.14 0.41 2.06
JNL/Mellon Capital Mangement S&P 500 Index Fund
Class A 1,000.00 1,022.13 0.61 3.06
Class B 1,000.00 1,023.13 0.41 2.06
JNL/Mellon Capital Management Small Cap Index Fund
Class A 1,000.00 1,022.13 0.60 3.01
Class B 1,000.00 1,023.13 0.40 2.01
JNL/Oppenheimer Global Growth Fund
Class A 1,000.00 1,019.82 1.06 5.31
Class B 1,000.00 1,020.82 0.86 4.31
JNL/Oppenheimer Growth Fund
Class A 1,000.00 1,020.06 1.01 5.06
Class B 1,000.00 1,020.84 0.81 4.06
JNL/PIMCO Total Return Bond Fund
Class A 1,000.00 1,021.07 0.81 4.06
Class B 1,000.00 1,022.09 0.61 3.06
JNL/Putnam Equity Fund
Class A 1,000.00 1,020.19 0.98 4.91
Class B 1,000.00 1,021.22 0.79 3.96
JNL/Putnam Midcap Growth Fund
Class A 1,000.00 1,019.81 1.06 5.31
Class B 1,000.00 1,020.74 0.86 4.31
JNL/Putnam Value Equity Fund
Class A 1,000.00 1,020.30 0.97 4.86
Class B 1,000.00 1,021.40 0.77 3.86
JNL/S&P Managed Aggressive Growth Fund
Class A 1,000.00 1,024.23 0.18 0.90
JNL/S&P Managed Conservative Fund
Class A 1,000.00 1,024.23 0.19 0.95
JNL/S&P Managed Growth Fund
Class A 1,000.00 1,024.30 0.16 0.80
JNL/S&P Managed Moderate Fund
Class A 1,000.00 1,024.23 0.19 0.95
JNL/S&P Managed Moderate Growth Fund
Class A 1,000.00 1,024.22 0.18 0.90
JNL/Salomon Brothers High Yield Bond Fund
Class A 1,000.00 1,021.04 0.81 4.06
Class B 1,000.00 1,022.05 0.61 3.06
JNL/Salomon Brothers Strategic Bond Fund
Class A 1,000.00 1,020.41 0.94 4.71
Class B 1,000.00 1,019.82 0.74 3.71
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
Class A 1,000.00 1,021.14 0.80 4.01
Class B 1,000.00 1,022.12 0.60 3.01
JNL/Select Balanced Fund
Class A 1,000.00 1,021.12 0.80 4.01
Class B 1,000.00 1,022.30 0.60 3.01
JNL/Select Global Growth Fund
Class A $ 1,000.00 $ 1,019.62 1.10 % $ 5.51
Class B 1,000.00 1,021.01 0.91 4.56
JNL/Select Large Cap Growth Fund
Class A 1,000.00 1,020.17 0.99 4.96
Class B 1,000.00 1,021.29 0.80 4.01
JNL/Select Money Market Fund
Class A 1,000.00 1,022.08 0.61 3.06
Class B 1,000.00 1,023.14 0.41 2.06
JNL/Select Value Fund
Class A 1,000.00 1,020.82 0.86 4.31
Class B 1,000.00 1,021.82 0.66 3.31
JNL/T.Rowe Price Established Growth Fund
Class A 1,000.00 1,020.50 0.91 4.56
Class B 1,000.00 1,021.48 0.71 3.56
JNL/T.Rowe Price Mid-Cap Growth Fund
Class A 1,000.00 1,019.99 1.02 5.11
Class B 1,000.00 1,021.07 0.83 4.16
JNL/T.Rowe Price Value Fund
Class A 1,000.00 1,020.15 0.97 4.86
Class B 1,000.00 1,021.16 0.78 3.91
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- ---------------------------------------------------
(a) Period from May 2, 2005 (commencement of operations).
ADDITIONAL DISCLOSURE
QUARTERLY PORTFOLIO HOLDINGS
The Registrants file their complete schedule of portfolio holdings with the SEC
for the first and third quarters of each fiscal year on Form N-Q. The
Registrants' Forms N-Q are available on the SEC's website at www.sec.gov. The
Registrant's Forms N-Q may be reviewed and copied at the SEC's Public Reference
Room in Washington, DC, and information on the operation of the Public Reference
Room may be obtained by calling 800-SEC-0330; and is available upon request from
the Registrants by calling Shareholder Services toll-free at 800-644-4563.
TRUSTEES AND OFFICERS OF THE 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* (56) Trustee 8/97 to Senior Vice President (9/03 to 65 None
1 Corporate Way present present) and Controller of
Lansing, MI 48951 Jackson National Life Insurance
President 12/02 to Company (9/82 to present); Vice
and Chief present President and Controller of
Executive Jackson National Life Insurance
Officer 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 (49) Trustee 12/03 to Sheriff, Oakland County, Michigan 65 None
1 Corporate Way present (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 (67) Chairman of 2/04 to Acting Commissioner of Insurance 65 None
1 Corporate Way the Board present for the State of Michigan (1/90
Lansing, MI 48951 to 5/90) (8/97 to 5/98)
Trustee 2/02 to
present
- --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------
- --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------
Michelle Engler (47) Trustee 12/03 to Attorney (1983 to present); 65 Director of
1 Corporate Way present 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 (71) Trustee 12/94 to Consultant (Banking) 65 None
1 Corporate Way present
Lansing, MI 48951
- --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------
- --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------
Richard McLellan (63) Trustee 12/94 to Member, Dykema Gossett PLLC (Law 65 None
1 Corporate Way present Firm)
Lansing, MI 48951
- --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
NUMBER OF
CURRENT PORTFOLIOS IN THE OTHER
POSITION LENGTH OF PRINCIPAL FUND COMPLEX TRUSTEESHIPS
TRUSTEE/OFFICER (AGE) & WITH THE TIME OCCUPATION OVERSEEN BY THE HELD BY THE
ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE TRUSTEE
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
OFFICERS
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
Mark D. Nerud (39) Vice 8/97 to Chief Financial Officer of the Not Applicable Not Applicable
225 West Wacker Drive, President present Adviser (11/00 to present) and
Chicago, IL 60606 Managing Board Member of the
Treasurer 12/02 to Adviser (11/00 to 11/03); Vice
and Chief present President, Treasurer, Chief
Financial Financial Officer of other
Officer Investment Companies advised by
the Adviser; Vice President -
Fund Accounting & Administration
of Jackson National Life
Insurance Company (1/00 to
present)
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
Susan S. Rhee (33) Vice 2/04 to Secretary of the Adviser (11/00 Not Applicable Not Applicable
1 Corporate Way President, present to present); Assistant Vice
Lansing, MI 48951 Counsel and President of Jackson National
Secretary 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)
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
Steven J. Fredricks (35) Chief 1/05 to present Attorney of Jackson National Not Applicable Not Applicable
1 Corporate Way Compliance Life Insurance Company (2/02 to
Lansing, MI 48951 Officer Present); Contract Attorney,
Godfrey & Kahn, S.C. (2001 -
2002); Assistant General
Counsel, Aid Association for
Lutherans (1997 to 2001)
- -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
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 and Life Service Center), 1-800-599-5651 (NY Annuity and Life Service
Center), 1-800-777-7779 (for contracts purchased through a bank or financial
institution) or 1-888-464-7779 (for NY contracts purchased through a bank or
financial institution), by writing JNL Series Trust, P.O. Box 378002, Denver,
Colorado 80237-8002 or by visiting WWW.JNL.COM or WWW.JNLNY.COM.
- --------
* Mr. Fritts is an "interested persons" of the Trust due to his position with
Jackson National Life Insurance Company(R), which is the parent company of the
Adviser and Distributor.
TRUSTEES OF THE JNL SERIES TRUST
The 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 for the six month period ended June 30, 2005.
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
PENSION OR RETIREMENT
AGGREGATE BENEFITS ACCRUED AS PART ESTIMATED ANNUAL
COMPENSATION OF BENEFITS UPON TOTAL COMPENSATION FROM
TRUSTEE FROM TRUST* TRUST EXPENSES RETIREMENT TRUST AND FROM FUND COMPLEX
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
Michael Bouchard $32,500 $0 $0 $32,500
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
Michelle Engler $32,500 $0 $0 $32,500
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
Dominic D'Annunzio $40,000 $0 $0 $40,000**
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
Joeph Frauenheim $40,000 $0 $0 $40,000
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
Richard McLellan $37,500 $0 $0 $37,500
- ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
* 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.
** Mr. D'Annunzio deferred $20,000.
PROXY VOTING GUIDELINES
JNAM, the Funds' 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 used by the Funds to vote proxies relating to the
portfolio securities and information on how the Funds voted proxies relating to
portfolio securities during the 12 month period ended June 30 are available (1)
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), (2) on Jackson National Life
Insurance Company's website at WWW.JNL.COM or Jackson National Life Insurance
Company of New York's website at WWW.JNLNY.COM, and (3) on the SEC's website at
WWW.SEC.GOV.
SUB-ADVISORY AGREEMENT WITH ALLIANCE CAPITAL MANAGEMENT LLP(JNL/ALLIANCE
CAPITAL GROWTH FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Alliance Capital Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with Alliance Capital Management LLP (the "Sub-adviser") through April
29, 2005 (the "Agreement"). In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund as well as the
time that investment personnel devote to the Fund. The Board also considered the
Sub-adviser's duties under the Agreement in serving as the Fund's investment
Sub-adviser, including duties for investment research and stock selection,
adherence to the Fund's investment restrictions and monitoring compliance with
various Fund policies and procedures. The Board concluded that the Fund benefits
from the services provided by the Sub-adviser under the Agreement as a result of
the Sub-adviser's experience, reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc, which ranked the Fund in the 71st, 90th, and 61st
percentile for total return for the one-, three, and five-year periods ended
December 31, 2004. The Board considered the below average performance of the
Fund and possible merger with the JNL/T. Rowe Price Established Growth Fund,
which was ranked in the 27th, 15th and 6th percentile for the same time periods.
The Board considered the fact that JNAM could not implement the merger prior to
April 29, 2005 because of significant system and administrative changes required
for fund mergers. Given these necessary and essential changes and the fact that
JNAM does not have the capability to manage this Fund itself, the Board
concluded that it would not be prudent to replace Alliance at the February
meeting. The Board, therefore, concluded, that it would be reasonable to approve
the Agreement despite the Sub-adviser's performance, given JNAM's merger
proposal.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund. The Board also considered the
profitability of the Sub-adviser from its relationship with the Fund. The Board
examined the sub-adviser fee for the Fund as compared to that of comparable
funds managed by other advisers, in addition to its Lipper average. The Board
noted that as of 12/31/03, the Fund's sub-adviser fee of 0.35% versus 0.41%.
However, based on current asset level of approximately $45 million, the Fund's
sub-adviser fee is 0.69%. The Board also noted that the information provided by
Lipper reflected that the Fund's management fee was below the median of
management fees for other mutual funds similar in size, character and investment
strategy. The Board considered the low expense ratio compared to its Lipper
average against the Fund's poor performance. The Board also considered JNAM's
representation that a lower fee could not be negotiated for the remainder of
Alliance's tenure as sub-adviser.
The Board also considered the possible merger with the JNL/T. Rowe Price
Established Growth Fund and noted its sub-adviser fee was 0.38%, versus the
Fund's current sub-adviser fee 0.69%. The Board decided that the 2 basis point
increase in the advisory fee due to the merger is reasonable in light of the
performance of the JNL/T. Rowe Price Established Growth Fund and concluded that,
it is in the best interest of the Fund and its shareholders to merge the Fund
into the JNL/T. Rowe Price Established Fund effective April 29, 2005. Due to the
2 basis point increase, the shareholders of the Fund would have to approve the
merger.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders to be a
relevant factor regardless of the proposed duration of the contract. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase, notwithstanding that no breakpoint
was likely to take effect prior to April 29, 2005. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board concluded that
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser receives research results from the Funds' soft dollar
trades.
In evaluating the benefits that accrue to the Sub-Adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-Advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT FOR JNL/AIM REAL ESTATE FUND
At its meeting on February 9, 2005, the Board of Trustees (the "Board"),
including a majority of the Independent Trustees, considered and approved an
amendment to the Fund's investment sub-advisory agreement with AIM Capital
Management Inc. (the "Sub-adviser") through May 1, 2007 (the "Agreement") in
order to add the JNL/AIM Real Estate Fund, with Fund operations commencing May
2, 2005. In considering the Agreement, the Board reviewed and analyzed the
factors it deemed relevant, including: (1) the nature, quality and extent of the
Sub-adviser's services, (2) the investment performance of the Sub-adviser for
funds, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index and (3) comparative fund expense
information and (4) the extent to which economies of scale are realized as the
Fund grows and whether fee levels reflect these economies of scale for Fund
investors.
SUB-SUB-ADVISORY AGREEMENT FOR JNL/AIM REAL ESTATE FUND
At a special meeting held on April 29, 2005, the Board of Trustees (the
"Board") approved an agreement between INVESCO Institutional (N.A), Inc.
("IINA") and A I M Capital Management, Inc. ("AIM") whereby AIM designates IINA
as Sub-sub-adviser to the JNL/AIM Real Estate Fund through May 1, 2007 (the
"Agreement"). In considering the Agreement, the Board relied on the information
provided at the February 9, 2005 Board of Trustees meeting.
The Board of Trustees also periodically considers other material facts such
as the allocation of each Fund's brokerage commissions and each Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services that
would be provided by the Sub-adviser to the Fund. The Board reviewed the
Sub-adviser's key personnel in providing investment management services to the
Fund. The Board also considered the Sub-adviser's duties under the Agreement in
serving as the Fund's investment Sub-adviser, including duties for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with various Fund policies and procedures. While
recent legal and regulatory issues at the Sub-Adviser are cause for concern, and
require increased scrutiny by JNAM and the Board, the Board concluded that the
Fund benefits from the services provided by the Sub-adviser under the Agreement
as a result of the Sub-adviser's experience, reputation, personnel, operations
and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board reviewed information provided by the Sub-adviser, which showed
the AIM Real Estate Fund, the Fund's "patterned after" fund, outperformed its
benchmark by 213, 275 and 197 basis points for total return for the year to
date, three-, and five-year periods ended September 30, 2004. The fund also
ranked in the top quintile against its Lipper average for the one-, three- and
five-year periods ended November 30, 2004. The Board concluded that it is in the
best interest of its shareholders to enter into an Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the sub-advisory fee and expense information for the
Fund as compared to comparable funds managed by other advisers, in addition to
its Lipper average. The Board noted that the Fund's expense ratio of 1.10% was
below the Lipper average of 1.17%. The sub-adviser fee of 0.50% was slightly
above the Lipper average of 0.45%. The Board concluded that the Fund's expense
ratio and sub-advisory fee are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that although
the real estate portfolio being proposed will be seeded with the minimum
investment required in order for the Sub-Adviser to effectively commence
operations, the breakpoints shared with JNAM and that JNAM in turn, through the
breakpoints in its contract with the Fund, shared with shareholders the benefits
of economies of scale as the Fund's assets grow. In light of this, the Board
noted that it would be reasonable to conclude that under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser enjoys benefits from the other JNL Funds it sub-advises.
In evaluating the benefits that would accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser may pay part of the costs of various meetings organized and run by
the distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. After full consideration of these and other factors, the Board,
including a majority of the Independent Trustees, concluded that approval of the
Agreement was in the best interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH FRED ALGER MANAGEMENT INC. (JNL/ALGER GROWTH
FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Alger Growth Fund (the "Fund"), including a majority of the Independent
Trustees, considered and approved the Fund's investment sub-advisory agreement
with Fred Alger Management Inc. (the "Sub-adviser") through February 28, 2006
(the "Agreement"). In considering the Agreement, the Board reviewed and analyzed
the factors it deemed relevant, including: (1) the nature, quality and extent of
the Sub-adviser's services, (2) the investment performance of the Fund,
including information comparing the performance of the Fund with a peer group of
funds and an appropriate index, (3) the profitability of the Sub-adviser,
including an analysis of the Sub-adviser's cost of providing services and
comparative expense information, and (4) the extent to which economies of scale
are realized as the Fund grows and whether fee levels reflect these economies of
scale for Fund investors. At its meeting on May 17, 2005, the Board considered
and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with various Fund policies and procedures. The Board
concluded that the Fund benefits from the services provided by the Sub-adviser
under the Agreement as a result of the Sub-adviser's experience, reputation,
personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc, which ranked the Fund in the bottom quartile versus its
peers for total return for the one-year period and the third quartile for the
three-year period ended December 31, 2004. For the five-year period, the Fund
ranked in the second quartile versus its peers and outperformed its Lipper
benchmark. The Sub-adviser recently replaced the portfolio manager in September
2004 and subsequently, the Fund has outperformed its benchmark every month
through December 31, 2004. The Board considered the recent portfolio manager
change, the strong 5-year track record, and recent improvement in performance
compared to its benchmark and concluded that, it will continue to closely
monitor the Fund's performance for improvement with the new management, but at
this time, it is in the best interest of the Fund and its shareholders to renew
the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund as compared to that of other
funds and accounts managed by the Sub-adviser and of comparable funds managed by
other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.55% from inception to July 2004 was higher than the
Lipper average of 0.41%. In July 2004, the Fund's sub-adviser fees were reduced
resulting in a sub-adviser fee of 0.45%, which was closer to the Fund's Lipper
average. The Board also noted that the information provided by Lipper reflected
that the Fund's sub-advisory fee was competitive with the median of management
fees for other mutual funds similar in size, character and investment strategy.
The Board concluded that the Fund's management fee and expense ratio are
reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser uses its affiliated broker-dealer for many of the Fund's
trades and therefore, the commissions paid by the Fund are paid to an affiliate
of the Sub-adviser.
In evaluating the benefits that accrue to the Sub-Adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-Advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH FRANKLIN TEMPLETON ASSET MANAGEMENT
(JNL/FRANKLIN TEMPLETON SMALL CAP VALUE FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board"),
including a majority of the Independent Trustees, considered and approved the
investment sub-advisory agreement with Franklin Templeton Asset Management (the
"Sub-adviser") for the JNL/Franklin Templeton Small Cap Value Fund (the "Fund")
through May 1, 2007 (the "Agreement"), with Fund operations commencing May 2,
2005. In considering the Agreement, the Board reviewed and analyzed the factors
it deemed relevant, including: (1) the nature, quality and extent of the
Sub-adviser's services, (2) the investment performance of the Fund "patterned
after" fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) comparative fund expense
information, and (4) the extent to which economies of scale are realized as the
Fund grows and whether fee levels reflect these economies of scale for Fund
investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of each Fund's brokerage commissions and each Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
The Board also met with a representative from the Sub-adviser who answered
several questions, including questions regarding the Sub-adviser's
legal/regulatory issues. The Adviser and the Board would continue to monitor
these issues.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services that
would be provided by the Sub-adviser to the Fund. The Board reviewed the
Sub-adviser's key personnel in providing investment management services to the
Fund. The Board also considered the Sub-adviser's duties under the Agreement in
serving as the Fund's investment Sub-adviser, including duties for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with various Fund policies and procedures. The Board
concluded that the Fund benefits from the services provided by the Sub-adviser
under the Agreement as a result of the Sub-adviser's experience, reputation,
personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board reviewed information provided by the Sub-adviser, which showed
the Franklin Templeton Small Cap Value Fund, the Fund's "patterned after" fund,
outperformed its benchmark by 293 basis points for total return for the year to
date period, and was in line for the three- and five-year periods ended
September 30, 2004. The fund also ranked in the 4th, 48th and 37th percentile
for the one-, three- and five-year periods ended November 30, 2004. The Board
concluded that it is in the best interest of its shareholders to enter into an
Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the sub-advisory fee and expense information for the
Fund as compared to comparable funds managed by other advisers, in addition to
its Lipper average. The Board noted that the Fund's expense ratio of 1.15% was
equal to its Lipper average. The sub-adviser fee of 0.60% was above the Lipper
average of 0.52%. The Board concluded that the Fund's expense ratio and
sub-advisory fee are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's management fee reflects
economies of scale for the benefit of Fund shareholders. The Board reviewed the
Fund's fee arrangements, which include breakpoints that decrease the fee rate as
the Fund's assets increase. The Board concluded that although the small cap
value portfolio being proposed will be seeded with the minimum investment in
order for the Sub-Adviser to effectively commence operations, the breakpoints
shared with JNAM and that JNAM in turn, through the breakpoints in its contract
with the Fund, shared with shareholders the benefits of economies of scale as
the Fund's assets grow.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-Adviser does not realize any other benefits at this time.
SUB-ADVISORY AGREEMENT WITH GOLDMAN SACHS MANAGEMENT (JNL/GOLDMAN SACHS MID
CAP VALUE FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board"),
including a majority of the Independent Trustees, considered and approved the
investment sub-advisory agreement with Goldman Sachs Management (the
"Sub-adviser") for the JNL/Goldman Sachs Mid Cap Value Fund's (the "Fund")
through May 1, 2007 (the "Agreement"), with Fund operations commencing May 2,
2005. In considering the Agreement, the Board reviewed and analyzed the factors
it deemed relevant, including: (1) the nature, quality and extent of the
Sub-adviser's services, (2) the investment performance of the Sub-adviser for
funds with similar investment objectives and strategies, including information
comparing the performance of the Fund with a peer group of funds and an
appropriate index, (3) comparative fund expense information, and (4) the extent
to which economies of scale are realized as the Fund grows and whether fee
levels reflect these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of each Fund's brokerage commissions and each Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management LLC ("Adviser") and the
Sub-adviser and the terms of the Agreement.
The Board also met with a representative and a portfolio manager from the
Sub-Adviser who answered several questions
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services that
would be provided by the Sub-adviser to the Fund. The Board reviewed the
Sub-adviser's key personnel in providing investment management services to the
Fund. The Board also considered the Sub-adviser's duties under the Agreement in
serving as the Fund's investment Sub-adviser, including duties for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with various Fund policies and procedures. The Board
concluded that the Fund benefits from the services provided by the Sub-adviser
under the Agreement as a result of the Sub-adviser's experience, reputation,
personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board reviewed information provided by Lipper, which showed the Goldman
Sachs Mid Cap Value Fund, the Fund's "patterned-after" fund, considerably
outperformed its Lipper average by 73, 775, and 291 basis points for total
return for the year to date, one-, and three-year periods, respectively. The
Goldman Sachs retail fund underperformed for the five-year period by 660 basis
points. All figures are based on performance as of January 18, 2005. The Board
concluded that it is in the best interest of its shareholders to enter into an
Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the sub-advisory fee and expense information for the
Fund as compared to comparable funds managed by other advisers, in addition to
its Lipper average. The Board noted that the Fund's expense ratio of 1.05% was
below the Lipper average of 1.08%. The sub-adviser fee of 0.50% was slightly
above the Lipper average of 0.46%. The Board concluded that the Fund's
sub-advisory fee and expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's management fee reflects
economies of scale for the benefit of Fund shareholders. The Board reviewed the
Fund's fee arrangements, which include breakpoints that decrease the fee rate as
the Fund's assets increase. The Board concluded that although the mid cap value
portfolio being proposed will be seeded with the minimum investment in order for
the Sub-Adviser to effectively commence operations, the breakpoints shared with
JNAM and that JNAM in turn, through the breakpoints in its contract with the
Fund, shared with shareholders the benefits of economies of scale as the Fund's
assets grow.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-Adviser does not realize any other benefits at this time.
SUB-ADVISORY AGREEMENT WITH OPPENHEIMERFUNDS (JNL/OPPENHEIMER GLOBAL GROWTH
FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Oppenheimer Global Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with OppenheimerFunds (the "Sub-adviser") through February 28, 2006
(the "Agreement"). In considering the Agreement, the Board reviewed and analyzed
the factors it deemed relevant, including: (1) the nature, quality and extent of
the Sub-adviser's services, (2) the investment performance of the Fund,
including information comparing the performance of the Fund with a peer group of
funds and an appropriate index, (3) the profitability of the Sub-adviser,
including an analysis of the Sub-adviser's cost of providing services and
comparative expense information, and (4) the extent to which economies of scale
are realized as the Fund grows and whether fee levels reflect these economies of
scale for Fund investors. At its meeting on May 17, 2005, the Board considered
and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund as well as the
time that investment personnel devote to the Fund. The Board also considered the
Sub-adviser's duties under the Agreement in serving as the Fund's investment
Sub-adviser, including duties for investment research and stock selection,
adherence to the Fund's investment restrictions and monitoring compliance with
various Fund policies and procedures. The Board concluded that the Fund benefits
from the services provided by the Sub-adviser under the Agreement as a result of
the Sub-adviser's experience, reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which ranked the Fund in the second quartile versus
its peers for total return for the one- and three-year periods ended December
31, 2004. The Fund also outperformed its benchmark and respective Lipper
benchmark. The Board reviewed the strong Fund performance record achieved by the
Sub-adviser relative to the Fund's peers and concluded that, while past
performance is no guarantee of future performance, it was in the best interest
of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2003. The Board examined the
sub-adviser fee for the Fund as compared to that of other funds and accounts
managed by the Sub-adviser and of comparable funds managed by other advisers, in
addition to its Lipper average. The Board noted that the Sub-adviser fee of
0.35% is 9 basis points lower than the Lipper average of 0.44%. The Board also
noted that the information provided by Lipper reflected that the Fund's
sub-adviser fee was lower than the median for other mutual funds similar in
size, character and investment strategy. The Board concluded that the Fund's
sub-adviser fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
Other than acting as Sub-adviser to another JNL Fund, the Sub-adviser does
not realize any other benefits at this time.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH OPPENHEIMERFUNDS (JNL/OPPENHEIMER GROWTH FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Oppenheimer Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with OppenheimerFunds (the "Sub-adviser") through February 28, 2006
(the "Agreement"). In considering the Agreement, the Board reviewed and analyzed
the factors it deemed relevant, including: (1) the nature, quality and extent of
the Sub-adviser's services, (2) the investment performance of the Fund,
including information comparing the performance of the Fund with a peer group of
funds and an appropriate index, (3) the profitability of the Sub-adviser,
including an analysis of the Sub-adviser's cost of providing services and
comparative expense information, and (4) the extent to which economies of scale
are realized as the Fund grows and whether fee levels reflect these economies of
scale for Fund investors. At its meeting on May 17, 2005, the Board considered
and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with various Fund policies and procedures. The Board
concluded that the Fund benefits from the services provided by the Sub-adviser
under the Agreement as a result of the Sub-adviser's experience, reputation,
personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which ranked the Fund in the bottom quartile versus
its peers for total return for the one- and three-year periods ended December
31, 2004. The Sub-adviser recently replaced the portfolio manager in June 2004.
Since this personnel change the Fund has outperformed its benchmark over the
last four months of 2004. In light of the more recent performance trend and the
change in portfolio manager for the Fund, the Board concluded that it was
reasonable to allow the Fund's new portfolio manager to create a performance
record in which the Sub-adviser should be evaluated. The Board considered the
recent portfolio manager change and concluded that, it will continue to closely
monitor the Fund's performance for improvement with the new management, but at
this time, it is in the best interest of the Fund and its shareholders to renew
the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund. The Board examined the sub-adviser fee for
the Fund as compared to that of other funds and accounts managed by the
Sub-adviser and of comparable funds managed by other advisers, in addition to
its Lipper average. The Board noted that the sub-adviser fee of 0.45% is above
the Lipper average of 0.41% due primarily to the Fund's small size. The
pro-forma sub-adviser fee using the Lipper average assets is 0.38%. The Board
also noted, however, that the information provided by Lipper reflected that the
Fund's sub-adviser fee was below the median of sub-adviser fees for other mutual
funds similar in size, character and investment strategy. The Board concluded
that the Fund's sub-adviser fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
Other than acting as Sub-adviser to another JNL Fund, the Sub-adviser does
not realize any other benefits at this time.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH PACIFIC INVESTMENT MANAGEMENT COMPANY
(JNL/PIMCO TOTAL RETURN BOND FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/PIMCO Total Return Bond Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with Pacific Investment Management Company (the "Sub-adviser") through
February 28, 2006 (the "Agreement"). In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub- Adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund as well as the
time that investment personnel devote to the Fund. The Board also considered the
Sub-adviser's duties under the Agreement in serving as the Fund's investment
Sub-adviser, including duties for investment research and stock selection,
adherence to the Fund's investment restrictions and monitoring compliance with
various Fund policies and procedures. The Board concluded that the Fund benefits
from the services provided by the Sub-adviser under the Agreement as a result of
the Sub-adviser's experience, reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which ranked the Fund in the top half versus its peers
for total return for the one- and three-year periods and the top quartile for
the five-year period ended December 31, 2004. The Fund also outperformed its
benchmark and corresponding Lipper benchmark for the same time periods. The
Board reviewed the strong Fund performance record achieved by the Sub-adviser
relative to the Fund's peers and concluded that, while past performance is no
guarantee of future performance, it was in the best interest of the Fund and its
shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund as compared to that of other
funds and accounts managed by the Sub-adviser and of comparable funds managed by
other advisers, in addition to its Lipper average. The Board noted that the
sub-adviser fee of 0.25% just above the Lipper average of 0.23%. The Board also
noted that the information provided by Lipper reflected that the Fund's
sub-adviser fee is lower than the median for other mutual funds similar in size,
character and investment strategy. The Board concluded that while the Fund's
sub-advisory fee is slightly higher than the Lipper average, the Sub-Adviser's
positive performance record made it reasonable to conclude that the Fund's
sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's management fee reflects
economies of scale for the benefit of Fund shareholders. The sub-adviser fee
currently has no breakpoints. The Fund's sub-advisory fee is the same as that of
other funds managed by the Sub-adviser. The Board reviewed the Fund's fee
arrangements and considered them reasonable due to the strong short and long
term performance record. The Board concluded that the current fee schedule was
competitive with comparable funds managed by other advisers.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser does not realize any other benefits at this time.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM
EQUITY FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board) of
the JNL/Putnam Equity Fund (the "Fund"), including a majority of the Independent
Trustees, considered and approved the Fund's investment sub-advisory agreement
with Putnam Investment Management Inc. (the "Sub-adviser") through February 28,
2006 (the "Agreement"). In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. While recent legal and
regulatory issues at the Sub-Adviser are a cause for concern, and require
increased scrutiny by JNAM and the Board, the Board concluded that the Fund
benefits from the services provided by the Sub-adviser under the Agreement as a
result of the Sub-adviser's experience, reputation, personnel, operations and
resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, which ranked the Fund in the 6th, 29th, and 93rd percentile
versus its peers for total return for the one-, three-, and five-year period,
respectively, ended December 31, 2004. The Fund also outperformed its Lipper
benchmark for the same time periods except the five-year period. The Board
considered the solid performance record, and concluded that, it is in the best
interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2003. The Board examined the
sub-adviser fee for the Fund as compared to that of other funds and accounts
managed by the Sub-adviser and of comparable funds managed by other advisers, in
addition to its Lipper average. The Board noted that the Fund's sub-adviser fee
of 0.50% is above the Lipper average of 0.38%. In May 2004, the Fund's
Sub-adviser fee was reduced to 0.47%, resulting in the Fund's sub-adviser fee to
be more in line, though still above, its respective Lipper average. The Board
concluded that the Fund's sub-adviser fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser receives research results from the Funds' soft dollar
trades and is sub-adviser to other Funds advised by JNAM.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM
INTERNATIONAL EQUITY FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Putnam International Equity Fund (the "Fund"), including a majority of
the Independent Trustees, considered and approved the Fund's investment
sub-advisory agreement with Putnam Investment Management LLC ("Putnam" or the
"Sub-adviser") through May 2, 2005 (the "Agreement"). In considering the
Agreement, the Board reviewed and analyzed the factors it deemed relevant,
including: (1) the nature, quality and extent of the Sub-adviser's services, (2)
the investment performance of the Fund, including information comparing the
performance of the Fund with a peer group of funds and an appropriate index, (3)
the profitability of the Sub-adviser, including an analysis of the Sub-adviser's
cost of providing services and comparative expense information, and (4) the
extent to which economies of scale are realized as the Fund grows and whether
fee levels reflect these economies of scale for Fund investors. At its meeting
on May 17, 2005, the Board considered and approved the agreement through June
30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. While recent legal and
regulatory issues at the Sub-Adviser are a cause for concern, and require
increased scrutiny by JNAM and the Board, the Board concluded that the Fund
benefits from the services provided by the Sub-adviser under the Agreement as a
result of the Sub-adviser's experience, reputation, personnel, operations and
resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which ranked the Fund in the 70th, 87th and 66th
percentile for total return for the one-, three, and five-year periods ended
December 31, 2004. The Board considered the below average performance of the
Fund and possible sub-adviser change to JP Morgan Investment Management, Inc
("JPMorgan"). JPMorgan offers an International Equity product, which fits within
the current investment objectives of the JNL/Putnam International Equity Fund
and has ranked in the 17th, 8th and 9th percentile for the same time periods.
The Board considered the fact that JNAM could not implement the sub-advisory
change prior to May 2, 2005 because of significant system and administrative
changes required for sub-adviser replacements. Given these necessary and
customary changes and the fact that JNAM does not have the capability to manage
this Fund itself, the Board concluded that it would not be prudent to replace
Putnam at the February meeting. The Board concluded that it is in the best
interest of the Fund and its shareholders to replace Putnam with JPMorgan
effective May 2, 2005.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2003. The Board examined the
sub-adviser fee for the Fund as compared to that of comparable funds managed by
other advisers, in addition to its Lipper average. The Board noted that the
Fund's advisory fee of 0.78% (with the May 2004 pro-forma reduction) is below
the Lipper average of 0.84%, but the sub-adviser fee of 0.55% is above the
Lipper average of 0.45%. The Board considered the sub-advisory reduction of 7
basis points to 0.48% if JPMorgan is approved as described above. The Board also
considered JNAM's belief that a lower fee could not be negotiated for the
remainder of Putnam's tenure as sub-adviser to the Fund. Given this fact and
more importantly, the challenges noted above of replacing Putnam with JPMorgan
prior to May 2, 2005, the Board concluded that, it is in the best interest of
the Fund and its shareholders to replace Putnam with JPMorgan effective May 2,
2005.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders to be a
relevant factor regardless of the proposed duration of the contract. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase, notwithstanding that no breakpoint
was likely to take effect prior to May 2, 2005. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-advisor receives research results from the Funds' soft dollar
trades and is sub-adviser to other Funds advised by JNAM.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM
MIDCAP GROWTH FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Putnam Midcap Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with Putnam Investment Management Inc. (the "Sub-adviser") through
February 28, 2006 (the "Agreement"). In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. While recent legal and
regulatory issues at the Sub-Adviser are a cause for concern, and require
increased scrutiny by JNAM and the Board, the Board concluded that the Fund
benefits from the services provided by the Sub-adviser under the Agreement as a
result of the Sub-adviser's experience, reputation, personnel, operations and
resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, which ranked the Fund in the top quartile versus its peers
for total return for the one-year period and ranked in the 51st percentile for
the three-year period ended December 31, 2004. The Fund also outperformed its
benchmark for the one-year period and corresponding Lipper benchmark for both
periods. The Board reviewed the strong Fund performance record achieved by the
Sub-adviser relative to the Fund's peers and concluded that, while past
performance is no guarantee of future performance, it was in the best interest
of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2003. The Board examined the
sub-adviser fee for the Fund as compared to that of other funds and accounts
managed by the Sub-adviser and of comparable funds managed by other advisers, in
addition to its Lipper average. The Board noted that the sub-adviser fee of
0.50% was slightly above the Lipper average of 0.44%. The Board also noted that
the information provided by Lipper reflected that the Fund's sub-adviser fee was
lower than the median for other mutual funds similar in size, character and
investment strategy. The Board noted that the Fund's management fee and expense
ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser receives research results from the Funds' soft dollar
trades and is sub-adviser to other Funds advised by JNAM.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM
VALUE EQUITY FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/Putnam Value Equity Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with Putnam Investment Management Inc. (the "Sub-adviser") through
February 28, 2006 (the "Agreement"). In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. While recent legal and
regulatory issues at the Sub-Adviser are a cause for concern, and require
increased scrutiny by JNAM and the Board, the Board concluded that the Fund
benefits from the services provided by the Sub-adviser under the Agreement as a
result of the Sub-adviser's experience, reputation, personnel, operations and
resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which ranked the Fund in the bottom quartile versus
its peers for total return for the one- and three-year period and the third
quartile for the five-year period ended December 31, 2004. The Fund slightly
lagged its benchmark and Lipper benchmark for the same time periods except the
five-year period, where the fund strongly outperformed both benchmarks. The
Sub-adviser has recently had a change in the portfolio manager. Since this
personnel change in December 2004, the Fund has outperformed its benchmark. In
light of the more recent performance trend and the change in portfolio manager
for the Fund, the Board concluded that it was reasonable to allow the Fund's new
portfolio manager to create a performance record in which he and the Sub-adviser
should be evaluated. The Board considered the recent portfolio manager change
and concluded that it will continue to closely monitor the Fund's performance
for improvement with the new management, but at this time, it is in the best
interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2003. The Board examined the
sub-adviser fee for the Fund as compared to that of other funds and accounts
managed by the Sub-adviser and of comparable funds managed by other advisers, in
addition to its Lipper average. The Board noted that the Fund's sub-adviser fee
of 0.48% was higher than the Lipper average of 0.40%. In May 2004, the Fund's
sub-adviser fees was reduced to 0.45% resulting in the Fund's sub-adviser fee to
be in line with its Lipper average. The Board also noted that the information
provided by Lipper reflected that the Fund's management fee was below the median
of management fees for other mutual funds similar in size, character and
investment strategy. The Board concluded that the Fund's management fee and
expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
The Sub-adviser receives research results from the Funds' soft dollar
trades and is sub-adviser to other funds advised by JNAM.
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P
MANAGED AGGRESSIVE GROWTH FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/S&P Managed Aggressive Growth Fund (the "Fund"), including a majority of
the Independent Trustees, considered and approved the Fund's investment
sub-advisory agreement with S&P Investment Advisory Services Inc. (the
"Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the
Agreement, the Board reviewed and analyzed the factors it deemed relevant,
including: (1) the nature, quality and extent of the Sub-adviser's services, (2)
the investment performance of the Fund, including information comparing the
performance of the Fund with a peer group of funds and an appropriate index, (3)
the profitability of the Sub-adviser, including an analysis of the Sub-adviser's
cost of providing services and comparative expense information, and (4) the
extent to which economies of scale are realized as the Fund grows and whether
fee levels reflect these economies of scale for Fund investors. At its meeting
on May 17, 2005, the Board considered and approved the agreement through June
30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. The Board concluded that
the Fund benefits from the services provided by the Sub-adviser under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, which ranked the Fund in the second quartile versus its
peers for total return for the one- and three-year periods ended December 31,
2004 and ranked in the 59th percentile for the five-year period. The Fund also
outperformed its Lipper benchmark for the all periods except the five-year. The
Board reviewed the strong Fund performance record achieved by the Sub-adviser
relative to the Fund's peers and concluded that, while past performance is no
guarantee of future performance, it was in the best interest of the Fund and its
shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager. The Board examined the sub-adviser fee for the Fund as
compared to that of other funds and accounts managed by the Sub-adviser and of
comparable funds managed by other advisers, in addition to its Lipper average.
The Board noted that the Fund's sub-adviser fee of 0.06% is considerably lower
than the Lipper average of 0.37%. The Lipper category includes fund of funds and
actively managed funds in calculating averages. The current Fund expense ratio
is 0.17%, and including the underlying funds, the ratio is 1.128%. The Board
also noted that the information provided by Lipper reflected that the Fund's
sub-adviser fee was equal to the median for other fund of funds similar in size,
character and investment strategy. The Board concluded that the Fund's
management fee and expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER
Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does
not realize any other benefits at this time.
SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P
MANAGED CONSERVATIVE FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/S&P Managed Conservative Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with S&P Investment Advisory Services Inc. (the "Sub-adviser") through
February 28, 2006 (the "Agreement"). In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. The Board concluded that
the Fund benefits from the services provided by the Sub-adviser under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser and
the performance of the other funds managed by the Sub-adviser, including
comparative performance information. The Fund operations commenced October 4,
2004. Returns for month-end and since inception as of December 31, 2004 were
1.57% and 3.50%, respectively. The Board reviewed the Fund performance record
achieved by the Sub-adviser relative to the Fund's peers and concluded that,
while past performance is no guarantee of future performance, it was in the best
interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager. The Board examined the sub-adviser fee for the Fund as
compared to that of other funds and accounts managed by the Sub-adviser and of
comparable funds managed by other advisers, in addition to its Lipper average.
The Board noted that the Fund's sub-adviser fee of 0.06% is considerably lower
than the Lipper average of 0.37%. The Lipper category includes fund of funds and
actively managed funds in calculating averages. The Fund expense ratio including
the underlying funds is 1.002%. The Board also noted that while the information
provided by Lipper reflected that the Fund's sub-adviser fee was higher than the
median for other fund of funds similar in character and investment strategy, the
asset size of the other fund of funds was considerably higher than the Fund. The
Board concluded that the Fund's management fee and expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER
Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does
not realize any other benefits at this time.
SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P
MANAGED GROWTH FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/S&P Managed Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with S&P Investment Advisory Services Inc. (the "Sub-adviser") through
February 28, 2006 (the "Agreement"). In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. The Board concluded that
the Fund benefits from the services provided by the Sub-adviser under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which placed the Fund in the 59th percentile versus
its peers for total return for the one-year period and the second quartile for
the three- and five-year periods, ended December 31, 2004. The Fund was also in
line with its Lipper benchmark. The Board reviewed the strong Fund performance
record achieved by the Sub-adviser relative to the Fund's peers and concluded
that, while past performance is no guarantee of future performance, it was in
the best interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager. The Board examined the sub-adviser fee for the Fund as
compared to that of other funds and accounts managed by the Sub-adviser and of
comparable funds managed by other advisers, in addition to its Lipper average.
The Board noted that the Fund's sub-adviser fee of 0.06% was considerably lower
than the Lipper average of 0.37%. The Lipper category includes fund of funds and
actively managed funds in calculating averages. The current Fund expense ratio
is 0.16%. and including the underlying funds, the ratio is 1.111%. The Board
also noted that the information provided by an independent data service
reflected that the Fund's management fee and expense ratio were below the median
for other fund of funds similar in size, character and investment strategy. The
Board concluded that the Fund's management fee and expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER
Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does
not realize any other benefits at this time.
SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P
MANAGED MODERATE FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/S&P Managed Moderate Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement with S&P Investment Advisory Services, Inc. (the "Sub-adviser")
through February 28, 2006 (the "Agreement"). In considering the Agreement, the
Board reviewed and analyzed the factors it deemed relevant, including: (1) the
nature, quality and extent of the Sub-adviser's services, (2) the investment
performance of the Fund, including information comparing the performance of the
Fund with a peer group of funds and an appropriate index, (3) the profitability
of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors. At its meeting on May 17, 2005, the
Board considered and approved the agreement through June 30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment manager, including duties for investment research and stock
selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. The Board concluded that
the Fund benefits from the services provided by the Sub-adviser under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser and
the performance of the other funds managed by the Sub-adviser, including
comparative performance information. Fund operations commenced October 4, 2004.
Returns for month-end and since inception as of December 31, 2004 were 2.33% and
5.40%, respectively. The Board reviewed the solid Fund performance record
achieved by the Sub-adviser relative to the Fund's peers and concluded that,
while past performance is no guarantee of future performance, it was in the best
interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager. The Board examined the sub-adviser fee for the Fund as
compared to that of other funds and accounts managed by the Sub-adviser and of
comparable funds managed by other advisers, in addition to its Lipper average.
The Board noted that the Fund's sub-adviser fee of 0.06% was considerably lower
than the Lipper average of 0.37%. The Lipper category includes fund of funds and
actively managed funds in calculating averages. The Fund expense ratio including
the underlying funds is 1.035%. The Board also noted that the information
provided by an independent data service reflected that the Fund's expense ratio
was equal to the median for other fund of funds similar in size, character and
investment strategy. The Board concluded that the Fund's management fee and
expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER
Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does
not realize any other benefits at this time.
SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P
MANAGED MODERATE GROWTH FUND)
At its meeting on February 9, 2005, the Board of Trustees (the "Board") of
the JNL/S&P Managed Moderate Growth Fund (the "Fund"), including a majority of
the Independent Trustees, considered and approved the Fund's investment
sub-advisory agreement with S&P Investment Advisory Services Inc. (the
"Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the
Agreement, the Board reviewed and analyzed the factors it deemed relevant,
including: (1) the nature, quality and extent of the Sub-adviser's services, (2)
the investment performance of the Fund, including information comparing the
performance of the Fund with a peer group of funds and an appropriate index, (3)
the profitability of the Sub-adviser, including an analysis of the Sub-adviser's
cost of providing services and comparative expense information, and (4) the
extent to which economies of scale are realized as the Fund grows and whether
fee levels reflect these economies of scale for Fund investors. At its meeting
on May 17, 2005, the Board considered and approved the agreement through June
30, 2006.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel to consider the materials
provided by Jackson National Asset Management, LLC (the "Adviser") and the
Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel in providing investment management services to the Fund. The Board
also considered the Sub-adviser's duties under the Agreement in serving as the
Fund's investment Sub-adviser, including duties for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with various Fund policies and procedures. The Board concluded that
the Fund benefits from the services provided by the Sub-adviser under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
provided by Lipper, Inc., which placed the Fund in the 78th percentile versus
its peers for total return for the one-year period and the second quartile for
the three- and five-year periods, ended December 31, 2004. The Fund also
outperformed its Lipper benchmark for the three- and five-year periods. Prior to
October 4, 2004, this Fund was the JNL/S&P Conservative Growth Fund I and
maintained an allocation of approximately 60% equity fund investments and 40%
fixed income fund investments. With the overall equity market up 10.81% as
measured by the S&P 500 Index and the bond markets up only 4.31% (Lehman
Aggregate Bond Index), the more conservatively managed Fund would expect to
underperform its peers in the Lipper Multi-cap Core index. After the changes to
the S&P Fund line-up in October, the Fund currently has a equity and fixed
income weighting of 75%/25%. JNAM was comfortable with the Fund's overall
performance as it outperformed its 50/50 benchmark index and also outperformed
both of JNL's Balanced Funds for the 1-year period. The Board reviewed the above
average Fund performance record achieved by the Sub-adviser relative to the
Fund's peers and concluded that, while past performance is no guarantee of
future performance, it was in the best interest of the Fund and its shareholders
to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager. The Board examined the sub-adviser fee for the Fund as
compared to that of other funds and accounts managed by the Sub-adviser and of
comparable funds managed by other advisers, in addition to its Lipper average.
The Board noted that the Fund's sub-adviser fee 0.06% was considerably lower
than the Lipper average of 0.37%. The Lipper category includes fund of funds and
actively managed funds in calculating averages. The current Fund expense ratio
is 0.17%, and including the underlying funds, the ratio is 1.070%. The Board
also noted that the information provided by Lipper reflected that the Fund's
management fee was below the median for other fund of funds similar in size,
character and investment strategy. The Board concluded that the Fund's
management fee and expense ratio are reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shares with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable to conclude that under the Agreement, shareholders share in
the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER
Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does
not realize any other benefits at this time.
INVESTMENT ADVISORY AGREEMENT WITH JACKSON NATIONAL ASSET MANAGEMENT, LLC
At its meeting on May 17, 2005, the Board of Trustees/Managers (the
"Board") of the JNL Series Trust, JNL and JNLNY Variable Funds (collectively,
the "Funds"), including a majority of the Independent Trustees/Managers,
considered and approved the investment advisory agreements (the "Agreements")
with Jackson National Asset Management, LLC ("JNAM") through June 30, 2006. In
considering the Agreement, the Board reviewed and analyzed the factors it deemed
relevant, including: (1) the nature, quality and extent of its services, (2) the
investment performance of the Funds, including information comparing the
performance of the Fund with a peer group of funds and an appropriate index, (3)
its profitability, including an analysis of the cost of providing services and
comparative expense information, (4) the extent to which economies of scale are
realized as the Funds grow and whether fee levels reflect these economies of
scale for the Funds' investors, and (5) other "fall-out" benefits realized by
JNAM (i.e. ancillary benefits derived by JNAM or its affiliates from JNAM's
relationship with the Funds).
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by them to the Funds. The Board also examined information on JNAM's key
personnel that will be providing investment advisory services to the Funds,
including responsibilities for serving as the Funds' administrator and transfer
agent, overseeing the Funds' sub-advisers, monitoring adherence to the Funds'
investment restrictions and monitoring compliance with various policies and
procedures of the Funds. In light of the foregoing, the Board concluded it was
reasonable to expect that the Funds would continue to benefit from the services
provided by JNAM under their Agreements as a result of their experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISERS AND THE FUNDS
The Board reviewed information on the performance of the Funds, including
comparative performance information. The Board also reviewed the information
prepared by Lipper. JNAM provided the following information to the Board:
The JNL/AIM Large Cap Growth Fund ranked in the top quartile versus its
peers for total return for the one- and three-year periods ended December 31,
2004. The Fund also outperformed its benchmark and corresponding Lipper
benchmark for the same time periods. JNAM recommends that the Board approve the
Agreement.
The JNL/AIM Small Cap Growth Fund ranked in the bottom quartile versus its
peers for total return for the one-year period and the third quartile for the
three-year period ended December 31, 2004. The Fund underperformed its benchmark
and corresponding Lipper benchmark for the same time periods. Despite their
performance, JNAM believes it reasonable to continue to retain AIM as the Fund's
Sub-Adviser because in September 2004 AIM replaced the portfolio manager
responsible for the Fund and its performance. Since this personnel change, the
Fund has out-performed by 305 and 393 basis points against the Russell 2000
Index and the Russell 2000 Growth Index, respectively. JNAM believes it is
reasonable to allow the Fund's new portfolio manager to create a performance
record in which she and AIM should be evaluated. JNAM will continue to closely
monitor for improvement and recommends that the Board approve the Agreement.
The JNL/Alger Growth Fund ranked in the bottom quartile versus its peers
for total return for the one-year period, the third quartile for the three-year
period and the second quartile for the five-year period ended December 31, 2004.
The Fund underperformed its benchmark and corresponding Lipper benchmark for the
one- and three-year periods, and outperformed in the five-year period. Alger
replaced the portfolio manager in September 2004 and subsequently, the Fund has
outperformed its benchmark. JNAM notes the recent portfolio manager change, the
strong 5-year track record, and recent uptick in performance compared to its
benchmark and concludes that, it will continue to monitor closely the Fund's
performance for improvement with the new management and recommends that the
Board approve the Agreement.
The JNL/Eagle Core Equity Fund ranked in the bottom quartile versus its
peers for total return for the one-year period the third quartile for the
three-year period and the top quartile for the five-year period ended December
31, 2004. The Fund underperformed its benchmark and corresponding Lipper
benchmark for the one- and three-year periods, and outperformed in the five-year
period. The Fund's underperformance was attributable to the growth portion of
the portfolio and its positioning of the portfolio last year while the economy
was recovering from the recession. The value and equity income portions
performed consistent with their benchmarks. There have been no significant
changes to Eagle's overall investment process and no material changes in
portfolio management personnel on the growth side. JNAM will continue to closely
monitor performance for improvement and recommends that the Board approve the
Agreement.
The JNL/Eagle SmallCap Equity Fund ranked in the second quartile versus its
peers for total return for the one-year period the third quartile for the three-
and five-year periods ended December 31, 2004. The Fund outperformed its Lipper
benchmark for the one-year period and underperformed in the three- and five-year
periods. The Fund out-performed the Russell 2000 Growth Index over all periods.
JNAM will continue to closely monitor performance for improvement and recommends
that the Board approve the Agreement.
The JNL/FMR Balanced Fund ranked in the second quartile versus its peers
for total return for the one-year period the third quartile for the three-year
period ended December 31, 2004. The Fund outperformed its benchmark and
corresponding Lipper benchmark for the one- and three-year periods. JNAM notes
the sub-adviser change during mid-2004 and the subsequent improvement in
performance. JNAM will continue to closely monitor performance for improvement
and recommends that the Board approve the Agreement.
The JNL/FMR Capital Growth Fund ranked in the second quartile versus its
peers for total return for the one- and three-year periods and the bottom
quartile for the five-year period ended December 31, 2004. The Fund outperformed
its benchmark and corresponding Lipper benchmark for the one-year period and
underperformed for the three- and five-year periods. JNAM notes the sub-adviser
change during mid-2004 and the subsequent improvement in performance. JNAM
recommends that the Board approve the Agreement.
The JNL/JPMorgan International Equity Fund ranked in the third quartile
versus its peers for total return for the one- and five-year periods and the
bottom quartile for the three-year period ended December 31, 2004. The Fund
underperformed its benchmark and corresponding Lipper benchmark for the one-,
three- and five-year periods. JPMorgan replaced Putnam as the Fund's subadvisor
on May 2, 2005. JNAM recommends that the Board approve the Agreement.
The JNL/JPMorgan International Value Fund ranked in thetop quartile for the
one-year period and the bottom quartile for the three- and five-year periods
ended December 31, 2004. The Fund outperformed its benchmark and corresponding
Lipper benchmark for the one-year period. Even though the long-term performance
has lagged its peers, JNAM notes the Fund changed its investment style
approximately two years ago from emerging markets to a value focus in more
developed countries. Since this style change and subsequent growth in assets,
the Fund has performed very well. JNAM will continue to closely monitor
performance and recommends that the Board approve the Agreement.
The JNL/Lazard Mid Cap Value Fund ranked in the top quartile versus its
peers for total return for the one-, three- and five-year periods ended December
31, 2004. The Fund also outperformed its benchmark and corresponding Lipper
benchmark for the same time periods. JNAM recommends that the Board approve the
Agreement.
The JNL/Lazard Small Cap Value Fund ranked in the third quartile versus its
peers for total return for the one-, three-year periods and the second quartile
for the five-year period ended December 31, 2004. The Fund also outperformed its
benchmark and corresponding Lipper benchmark for the same time periods. The
Fund's recent underperformance is due to an underweight in areas the sub-adviser
believed were over priced such as the financial industry and REITs, which have
performed well. There have been no significant changes to Lazard's investment
process and no material changes in portfolio management personnel. JNAM will
continue to closely monitor performance and notes the Fund's strong 5-year track
record. JNAM recommends that the Board approve the Agreement.
The JNL/Mellon Capital Management Bond Index Fund ranked in the bottom
quartile versus its peers for total return for the one-year period ended
December 31, 2004. The Fund underperformed its benchmark and corresponding
Lipper benchmark for the same time period. The Lipper category was not comprised
of funds utilizing the same strategies as the Mellon funds. JNAM compared the
Fund's performance to its benchmark and the Fund's underperformance compared to
the Lipper peers did not concern JNAM. JNAM recommends that the Board approve
the Agreement.
The JNL/Mellon Capital Management Enhanced S&P 500 Index Fund ranked in the
top quartile versus its peers for total return for the one-year period, second
quartile for the three-year period and the third quartile for the five-year
period ended December 31, 2004. The Fund outperformed its benchmark and
corresponding Lipper benchmark for the one-year period and underperformed for
the three- and five-year periods. JNAM recommends that the Board approve the
Agreement.
The JNL/Mellon Capital Management International Index Fund ranked in the
second quartile versus its peers for total return for the one-year period ended
December 31, 2004. The Fund was in-line with its benchmark and corresponding
Lipper benchmark for the same time period. JNAM recommends that the Board
approve the Agreement.
The JNL/Mellon Capital Management S&P 400 MidCap Index Fund ranked in the
52nd percentile for total return for the one-year period ended December 31,
2004. The Fund slightly underperformed its benchmark and corresponding Lipper
benchmark for the same time period. JNAM recommends that the Board approve the
Agreement.
The JNL/Mellon Capital Management S&P 500 Stock Index Fund ranked in the
bottom quartile versus its peers for total return for the one-year period ended
December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper
benchmark for the same time period. The Lipper category was not comprised of
funds utilizing the same strategies as the Mellon funds. JNAM compared the
Fund's performance to its benchmark and the Fund's underperformance compared to
the Lipper peers did not concern JNAM. JNAM recommends that the Board approve
the Agreement.
The JNL/Mellon Capital Management Small Cap Index Fund ranked in the 54th
percentile for total return for the one-year period ended December 31, 2004. The
Fund slightly underperformed its benchmark and corresponding Lipper benchmark
for the same time period. JNAM recommends that the Board approve the Agreement.
The JNL/Oppenheimer Global Growth Fund ranked in the second quartile versus
its peers for total return for the one- and three-year periods ended December
31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark
for the same time periods. JNAM recommends that the Board approve the Agreement.
The JNL/Oppenheimer Growth Fund ranked in the bottom quartile versus its
peers for total return for the one- and three-year periods ended December 31,
2004. The Fund underperformed its benchmark and corresponding Lipper benchmark
for the same time periods. Despite this performance, JNAM believes it is
reasonable to continue to retain Oppenheimer as the Fund's Sub-adviser because
in June 2004 Oppenheimer replaced the portfolio manager that was responsible for
the Fund's performance. Since this personnel change, the Fund has outperformed
its benchmark. In light of the more recent performance trend and the change in
portfolio manager for the Fund, JNAM believes it is reasonable to allow the
Fund's new portfolio manager to create a performance record in which he and
Oppenheimer should be evaluated. JNAM will continue to closely monitor the
Fund's performance for improvement with the new management and recommends that
the Board approve the Agreement.
The JNL/Putnam Equity Fund ranked in the top quartile versus its peers for
total return for the one-year period, the second quartile for the three-year
period and the bottom quartile for the five-year period ended December 31, 2004.
The Fund outperformed its benchmark and corresponding Lipper benchmark for the
one-year period and underperformed for the three- and five-year periods. JNAM
recommends that the Board approve the Agreement.
The JNL/Putnam Mid-Cap Growth Fund ranked in the top quartile versus its
peers for total return for the one-year period and the 51st percentile for the
three-year period ended December 31, 2004. The Fund outperformed its benchmark
and corresponding Lipper benchmark for the one-year period and underperformed
for the three-year period. JNAM recommends that the Board approve the Agreement.
The JNL/Putnam Value Equity Fund ranked in the bottom quartile versus its
peers for total return for the one- and three-year periods and the third
quartile for the five-year period ended December 31, 2004. The Fund
underperformed its benchmark and corresponding Lipper benchmark for the one- and
three-year periods and outperformed for the five-year period. Despite this
performance, JNAM believes it is reasonable to continue to retain Putnam as the
Fund's Sub-adviser at this time because in December 2004, the portfolio manager
and chief investment officer ("CIO") of Putnam's Large Cap Value team
responsible for the Fund's performance decided to leave Putnam. The portfolio
manager and CIO was replaced as CIO by Josh Brooks, and two current members of
the portfolio management team will assume a co-portfolio manager role. Since
this personnel change at the end of December 2004, the Fund has outperformed its
benchmark. In light of the more recent performance trend and the change in
portfolio manager for the Fund, JNAM believes it is reasonable to allow the
Fund's new portfolio managers to create a performance record in which they and
Putnam should be evaluated. JNAM recommends that the Board approve the
Agreement.
The JNL/S&P Managed Aggressive Growth Fund ranked in the second quartile
versus its peers for total return for the one- and three-year periods and the
third quartile for the five-year period ended December 31, 2004. The Fund
outperformed its benchmark and corresponding Lipper benchmark for the one- and
three-year periods and underperformed for the five-year period. JNAM recommends
that the Board approve the Agreement.
The JNL/S&P Managed Conservative Fund was launched in October 2004. No
performance information has been provided due to the short time period since the
Fund's inception. JNAM recommends that the Board approve the Agreement.
The JNL/S&P Managed Growth Fund ranked in the third quartile versus its
peers for total return for the one-year period and the second quartile for the
three- and five-year periods ended December 31, 2004. The Fund outperformed its
benchmark and corresponding Lipper benchmark for the one- and three-year periods
and underperformed for the five-year period. JNAM recommends that the Board
approve the Agreement.
The JNL/S&P Managed Moderate Fund was launched in October 2004. No
performance information has been provided due to the short time period since the
Fund's inception. JNAM recommends that the Board approve the Agreement.
The JNL/S&P Managed Moderate Growth Fund ranked in the bottom quartile
versus its peers for total return for the one-year period and the second
quartile for the three- and five-year periods ended December 31, 2004. The Fund
underperformed its benchmark and corresponding Lipper benchmark for the one-year
period and outperformed for the three- and five-year periods. JNAM notes the
strong long-term track record, and will continue to closely monitor the Fund's
short-term performance for improvement. However, at this time, believes that it
is in the best interest of the Fund and its shareholders to renew the Agreement.
JNAM recommends that the Board approve the Agreement.
The JNL/Salomon Brothers High Yield Bond Fund ranked in the bottom quartile
versus its peers for total return for the one-year period and the top quartile
for the three- and five-year periods ended December 31, 2004. The Fund
underperformed its benchmark and corresponding Lipper benchmark for the one-year
period and outperformed for the three- and five-year periods. JNAM notes the
strong long-term track record, and will continue to closely monitor the Fund's
short-term performance for improvement. However, at this time, JNAM recommends
that the Board approve the Agreement.
The JNL/Salomon Brothers Strategic Bond Fund ranked in the third quartile
versus its peers for total return for the one- and three-year periods and the
second quartile for the five-year period ended December 31, 2004. The Fund
outperformed its benchmark and corresponding Lipper benchmark for the one-,
three- and five-year periods. Subsequent to 2004, performance has improved.
There have been no significant changes to Salomon's investment process and no
material changes in portfolio management personnel. The Fund has significantly
outperformed its benchmark in all periods. JNAM notes the Fund's solid long-term
track record, and will closely monitor performance for improvement in the short
term. However, at this time, JNAM recommends that the Board approve the
Agreement.
The JNL/Salomon Brothers U.S. Government & Quality Bond Fund ranked in the
second quartile versus its peers for total return for the one-, three- and
five-year periods ended December 31, 2004. The Fund outperformed its benchmark
and corresponding Lipper benchmark for the one- and three-year periods and
underperformed for the five-year period. JNAM recommends that the Board approve
the Agreement.
The JNL/Select Balanced Fund ranked in the top quartile versus its peers
for total return for the one-, three- and five-year periods ended December 31,
2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for
the same time periods. JNAM recommends that the Board approve the Agreement.
The JNL/Select Global Growth Fund ranked in the bottom quartile versus its
peers for total return for the one-, three- and five-year periods ended December
31, 2004. The Fund underperformed its benchmark and corresponding Lipper
benchmark for the same time periods. The Fund had a subadviser replacement in
May 2004. JNAM recommends that the Board approve the Agreement.
The JNL/Select Large Cap Growth Fund ranked in the top quartile versus its
peers for total return for the one- and three-year periods and the bottom
quartile for the five-year period ended December 31, 2004. The Fund
underperformed its benchmark and corresponding Lipper benchmark for the one- and
three-year periods and underperformed for the five-year period. JNAM recommends
that the Board approve the Agreement.
The JNL/Select Money Market Fund ranked in the third quartile versus its
peers for total return for the one-year period and the bottom quartile for the
three- and five-year periods ended December 31, 2004. The Fund was in-line with
its benchmark and corresponding Lipper benchmark for the one-year period and
underperformed for the three- and five-year periods. The Fund had a subadivser
replacement in October 2004 and an adviser fee cut of 10 bps in January 2004.
JNAM recommends that the Board approve the Agreement.
The JNL/Select Value Fund ranked in the second quartile versus its peers
for total return for the one-year period ended December 31, 2004. The Fund
outperformed its benchmark and corresponding Lipper benchmark for the same time
period. JNAM recommends that the Board approve the Agreement.
The JNL/T.Rowe Price Established Growth Fund ranked in the second quartile
versus its peers for total return for the one-year period and the top quartile
in the three- and five-year periods ended December 31, 2004. The Fund
outperformed its benchmark and corresponding Lipper benchmark for the one-,
three- and five-year periods. JNAM recommends that the Board approve the
Agreement.
The JNL/T.Rowe Price Mid-Cap Growth Fund ranked in the top quartile versus
its peers for total return for the one-, three and five-year periods ended
December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper
benchmark for the same time periods. JNAM recommends that the Board approve the
Agreement.
The JNL/T.Rowe Price Value Fund ranked in the second quartile versus its
peers for total return for the one- and three-year periods ended December 31,
2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for
the same time periods. JNAM recommends that the Board approve the Agreement.
The Board considered the performance of the Funds and concluded that it was
in the best interest of the Funds and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE ADVISER
The Board reviewed information on JNAM's costs in serving as the Funds
investment manager, including the costs associated with the personnel and
systems necessary to manage the Funds for 2004. In addition, the Board reviewed
information on JNAM's profitability from their relationship with the Funds. The
Board examined the advisory fees for the Funds as compared to that of other
funds and accounts managed by other advisers, in addition to its Lipper average.
The Board concluded that the Funds' advisory fees were reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Funds' advisory fees reflect
economies of scale for the benefit of Funds' shareholders. The Board reviewed
the Funds' fee arrangements, which include breakpoints that decrease the fee
rate as the Funds' assets increase. The Board concluded that the breakpoints in
its contracts with the Funds, shared with shareholders the benefits of economies
of scale as the Funds' assets grow. JNAM provided the following information:
The JNL/AIM Large Cap Growth Fund's current Advisory Fee of 0.71% is below
the Lipper average of 0.74%.
The JNL/AIM Real Estate Fund's Advisory Fee of 0.75% is slightly above the
Lipper average of 0.72%. JNAM notes that this Fund is a recent start-up (May
2005) and has not grown its assets to exceed the Fund's fee breakpoints.
The JNL/AIM Small Cap Growth Fund's Advisory Fee of 0.85% is slightly above
the Lipper average of 0.82% due to the Fund's small size compared to the Lipper
peer group average.
The JNL/Alger Growth Fund's current Advisory Fee of 0.70% is below the
Lipper average of 0.74%.
The JNL/Eagle Core Equity Fund's Advisory Fee of 0.65% is the same as the
Lipper average of 0.65%.
The JNL/Eagle SmallCap Equity Fund's Advisory Fee of 0.75% is the same as
the Lipper average of 0.75%.
The JNL/FMR Balanced Fund's current Advisory Fee of 0.70% is above the
Lipper average of 0.58%.
The JNL/FMR Capital Growth Fund's Advisory Fee of 0.70% is below the
Lipper average of 0.76%.
The JNL/Franklin Templeton Small Cap Value Fund's Advisory Fee of 0.85% is
above the Lipper average of 0.80%. JNAM notes that this Fund is a recent
start-up (May 2005) and has not grown its assets to exceed the Fund's fee
breakpoints. The JNL/Goldman Sachs Mid Cap Value Fund's Advisory Fee of 0.75% is
below the Lipper average of 0.77%. JNAM notes that this Fund is a recent
start-up (May 2005) and has not grown its assets to exceed the Fund's fee
breakpoints.
The JNL/JPMorgan International Equity Fund's current Advisory Fee of 0.71%
is below the Lipper average of 0.79%.
The JNL/JPMorgan International Value Fund's current Advisory Fee of 0.71%
is slightly above the Lipper average of 0.69%. The Fund's fee schedule includes
breakpoints that will decrease the Fund's effective fee as its assets increase.
The JNL/Lazard Mid Cap Value Fund's current Advisory Fee of 0.72% is above
the Lipper average of 0.66%. The Fund's fee schedule includes breakpoints that
will decrease the Fund's effective fee as its assets increase.
The JNL/Lazard Small Cap Value Fund's current Advisory Fee of 0.75% is the
same as the Lipper average of 0.75%.
The JNL/Mellon Capital Management Bond Index Fund's Advisory Fee of 0.30%
is below the Lipper average of 0.54%.
The JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund's
current Advisory Fee of 0.49% is below the Lipper average of 0.65%.
The JNL/Mellon Capital Management International Index Fund's Advisory Fee
of 0.30% is below the Lipper average of 0.79%.
The JNL/Mellon Capital Management S&P 400 MidCap Index Fund's Advisory Fee
of 0.29% is below the Lipper average of 0.66%.
The JNL/Mellon Capital Management S&P 500 Index Fund's Advisory Fee of
0.29% is slightly above the Lipper average of 0.26% due the Fund's smaller asset
base than the Lipper average.
The JNL/Oppenheimer Global Growth Fund's Advisory Fee of 0.70% is below the
Lipper average of 0.79%.
The JNL/Oppenheimer Growth Fund's Advisory Fee of 0.70% is below the Lipper
average of 0.74%. Effective July 1, 2005, this fee will be reduced to 0.65%.
The JNL/PIMCO Total Return Bond Fund's Advisory Fee of 0.50% is below the
Lipper average of 0.54%.
The JNL/Putnam Equity Fund's current Advisory Fee of 0.67% is slightly
above the Lipper average of 0.65% due to the Fund's smaller asset base than the
Lipper average.
The JNL/Putnam Midcap Growth Fund's Advisory Fee of 0.75% is below the
Lipper average of 0.76%.
The JNL/Putnam Value Equity Fund's Advisory Fee of 0.66% is the same as the
Lipper average of 0.66%.
The JNL/S&P Managed Aggressive Growth Fund's current Advisory Fee of 0.12%
is below the Lipper average of 0.62%.
The JNL/S&P Managed Conservative Fund's Advisory Fee of 0.13% is below the
Lipper average of 0.62%.
The JNL/S&P Managed Growth Fund's Advisory Fee of 0.11% is below the Lipper
average of 0.62%.
The JNL/S&P Managed Moderate Fund's Advisory Fee of 0.13% is below the
Lipper average of 0.62%.
The JNL/S&P Managed Moderate Growth Fund's current Advisory Fee of 0.11% is
below the Lipper average of 0.62%.
The JNL/Salomon Brothers High Yield Bond Fund's current Advisory Fee of
0.50% is below the Lipper average of 0.62%.
The JNL/Salomon Brothers Strategic Bond Fund's Advisory Fee of 0.63% is
below the Lipper average of 0.72%.
The JNL/Salomon Brothers U.S. Government & Quality Bond Fund's current
Advisory Fee of 0.49% is below the Lipper average of 0.55%.
The JNL/Select Balanced Fund's Advisory Fee of 0.49% is below the Lipper
average of 0.58%.
The JNL/Select Global Growth Fund's current Advisory Fee of 0.74% is below
the Lipper average of 0.79%.
The JNL/Select Large Cap Growth Fund's current Advisory Fee of 0.68% is
below the Lipper average of 0.74%.
The JNL/Select Money Market Fund's Advisory Fee of 0.30% is below the
Lipper average of 0.41%.
The JNL/Select Value Fund's Advisory Fee of 0.55% is below the Lipper
average of 0.68%.
The JNL/T.Rowe Established Growth Fund's current Advisory Fee of 0.60% is
below the Lipper average of 0.74%.
The JNL/T.Rowe Mid-Cap Growth Fund's Advisory Fee of 0.71% is below the
Lipper average of 0.76%.
The JNL/T.Rowe Value Fund's current Advisory Fee of 0.67% is below the
Lipper average of 0.68%.
In light of this, the Board believed it would be reasonable to conclude
that, under the Agreements, shareholders shared in the benefits to be achieved
through economies of scale. The Board noted that the JNL/PIMCO Total Return Bond
Fund does not have any breakpoints in its fees. However, the Board concluded
that the current fee schedule was competitive with comparable funds managed by
other advisers.
OTHER BENEFITS TO THE ADVISER AND ITS AFFILIATES
In evaluating the benefits that accrue to the Adviser, the Board reviewed
the Funds as a whole. Through its relationship with the Funds, JNAM, and its
affiliate, Jackson National Life Distributors, Inc. ("JNLD"), recognize that
they serve the Funds in various capacities, including as Adviser, administrator,
transfer agent and distributor, and receive compensation from the Funds in
connection with providing certain of these services to the Funds. As
administrator, JNAM receives a fee for providing fund accounting and
administration services to the Funds. This fee also is used by JNAM to cover
most of the Funds' operating expenses. The Board reviews this Administrative Fee
annually. JNAM does not receive a fee for its transfer agent services. As
distributor, JNLD receives a 0.20% 12b-1 fee from the Funds. During 2004, JNLD
also received 12b-1 fees from the Funds as part of a commission recapture
program. This fee was discontinued in December 2004 with any ongoing commissions
recaptured accruing to the benefit of the Funds. In addition, certain
sub-advisers pay part of the costs of various meetings organized and run by JNLD
for its variable insurance product wholesalers. The meetings are arranged by
JNLD and provide an opportunity for the sub-advisers to educate the wholesalers
and, in the case of the due diligence meetings, certain agents. After full
consideration of these, and other factors, the Board, including a majority of
the Independent Trustees, concluded that approval of the Agreement was in the
best interest of the Funds and its shareholders.
SUB-ADVISORY AGREEMENT WITH AIM CAPITAL MANAGEMENT INC. (JNL/AIM LARGE CAP
GROWTH FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/AIM Large Cap Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with AIM Capital Management Inc. (the "Sub-adviser")
through June 30, 2006. In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel providing investment management services to the Fund. The Board also
considered the Sub-adviser's duties under the Agreement in serving as the Fund's
investment Sub-adviser, including responsibilities for investment research and
stock selection, adherence to the Fund's investment restrictions, and monitoring
compliance with applicable Fund policies and procedures. The Board concluded
that the Fund benefits from the services provided by the Sub-adviser under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the top quartile versus its peers
for total return for the one- and three-year periods ended December 31, 2004.
The Fund also outperformed its benchmark and corresponding Lipper benchmark for
the same time periods. The Board considered the strong Fund performance record
achieved by the Sub-adviser relative to the Fund's peers, and concluded that,
while past performance is no guarantee of future performance, it is in the best
interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel, and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund as compared to that of other
funds and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.52% is above the Lipper average of 0.42%. Effective
January 1, 2005, the sub-adviser fee was reduced to 0.45%. The Board concluded
that, while the Sub-adviser's fee under the Agreement is slightly higher than
the Lipper average, the Sub-Adviser's positive performance record supports the
conclusion that the Fund's sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these, and other factors, the Board, including a majority of
the Independent Trustees, concluded that approval of the Agreement was in the
best interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH AIM CAPITAL MANAGEMENT INC. (JNL/AIM SMALL CAP
GROWTH FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/AIM Small Cap Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with AIM Capital Management Inc. (the "Sub-adviser")
through June 30, 2006. In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows, and whether fee levels
reflect these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel providing investment management services to the Fund. The Board also
considered the Sub-adviser's duties under the Agreement in serving as the Fund's
investment Sub-adviser, including responsibilities for investment research and
stock selection, adherence to the Fund's investment restrictions and monitoring
compliance with applicable Fund policies and procedures. The Board concluded
that the Fund benefits from the services provided by the Sub-adviser, under the
Agreement as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-Adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 80th and 58th percentile for
total return for the one and three-year period ended December 31, 2004. The Fund
also underperformed its benchmark and corresponding Lipper benchmark for the
same time periods. Despite their performance, the Board concluded that it would
be reasonable to continue to retain AIM as the Fund's Sub-Adviser because in
September 2004 the Sub-adviser replaced the portfolio manager responsible for
the Fund and its performance. Since this personnel change, performance has
improved by 305 and 393 basis points against the Russell 2000 Index and the
Russell 2000 Growth Index, respectively. The Board concluded that it would be
reasonable to allow the Fund's new portfolio manager to create a performance
record in which she and the Sub-adviser should be evaluated. The Board requested
that JNAM continue to closely monitor for improvement, but at this time,
believed that it was in the best interest of the Fund and its shareholders to
renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund as compared to that of other
funds and accounts managed by the Sub-adviser and of comparable funds managed by
other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.65% is above the Lipper average of 0.51%. However,
the Fund's sub-advisory fee is in line with the three funds in the Lipper peer
group analysis with sub-advisory fees of 50, 61.5, and 60 bps. In addition, due
to capacity constraints in the small cap mandates, many sub-advisory firms are
no longer accepting new accounts and those that are, have higher fees. The Board
concluded that, while the Sub-adviser's fee under the Agreement was higher than
the Lipper average, the Sub-adviser's recent positive performance record and the
fee comparisons above, supported the conclusion that the Fund's sub-advisory fee
is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that these
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH EAGLE ASSET MANAGEMENT INC. (JNL/EAGLE CORE
EQUITY FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Eagle Core Equity Fund (the "Fund"), including a majority of the Independent
Trustees, considered and approved the Fund's investment sub-advisory agreement
(the "Agreement") with Eagle Asset Management Inc. (the "Sub-adviser") through
June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the
factors it deemed relevant, including: (1) the nature, quality and extent of the
Sub-adviser's services, (2) the investment performance of the Fund, including
information comparing the performance of the Fund with a peer group of funds and
an appropriate index, (3) the profitability of the Sub-adviser, including an
analysis of the Sub-adviser's cost of providing services and comparative expense
information, and (4) the extent to which economies of scale are realized as the
Fund grows and whether fee levels reflect these economies of scale for Fund
investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties under the Agreement in serving as
the Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions,
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser as a result of the Sub-adviser's experience, reputation, personnel,
operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-Adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 76th, 61st, and 22nd percentile
for total return for the one-, three- and five-year periods ended December 31,
2004, respectively. The Fund also underperformed its benchmark and corresponding
Lipper benchmark for the same time periods except the five-year period. JNAM
noted that the under performance was attributable to the growth portion of the
portfolio and that the value and equity income portions performed consistent
with their benchmarks. JNAM also noted that there have been no significant
changes to Eagle's investment process and no material changes in portfolio
management personnel on the growth side and that the underperformance was due to
the positioning of the portfolio last year while the economy was recovering from
the recession. Overall, the Fund has a solid long-term performance record. The
Board requested that JNAM continue to closely monitor the Fund's recent
performance for improvement, but at this time, believes that it is in the best
interest of the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.41% is just above the Lipper average of 0.38%. The
Board noted that, while the Sub-adviser's fee under the Agreement is slightly
higher than the Lipper average, the Sub-adviser's positive long-term performance
record makes it reasonable to conclude that the Fund's sub-advisory fee is
reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH EAGLE ASSET MANAGEMENT INC. (JNL/EAGLE SMALL
CAP EQUITY FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Eagle SmallCap Equity Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with Eagle Asset Management Inc. (the "Sub-adviser")
through June 30, 2006. In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties under the Agreement in serving as
the Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the second quartile versus its
peers for total return for the one-year period, and the third quartile for the
three- and five-year period ended December 31, 2004. The Fund outperformed its
benchmark for all periods, and was inline with its corresponding Lipper
benchmark for the one- and three-year periods. The Board noted the solid Fund
performance record relative to the Fund's peers and believes that, while past
performance is no guarantee of future performance, it is in the best interest of
the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.50% is just below the Lipper average of 0.51%. The
Board concluded that it would be reasonable for the Board to conclude that the
Fund's sub-adviser fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH J.P. MORGAN INVESTMENT MANAGEMENT INC.
(JNL/JPMORGAN INTERNATIONAL VALUE FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/JPMorgan International Value Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with J.P. Morgan Investment Management Inc. (the
"Sub-adviser") through June 30, 2006. In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties under the Agreement in serving as
the Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser under the Agreement as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-Adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the top quartile versus its peers
for total return for the one-year period and the bottom quartile for the three-
and five-year periods ended December 31, 2004. The Fund outperformed its
benchmark and corresponding Lipper benchmark for the one-year time period and
underperformed for the three- and five-year periods. Even though the long-term
performance has lagged its peers, the Board noted the Fund changed its
investment style approximately two years ago from emerging markets to a value
focus in more developed countries. Since this style change and subsequent growth
in assets, the Fund has performed very well. The Board requested that JNAM
continue to closely monitor performance, but at this time the Board believed
that it was in the best interest of the Fund and its shareholders to renew the
Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.55% is above the Lipper average of 0.47%. Effective
May 1, 2005, the sub-adviser fee was reduced to an effective annual rate of
0.47%. The Board concluded that it would be reasonable for the Board to conclude
that the Fund's sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that these
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH LAZARD ASSET MANAGEMENT (JNL/LAZARD MID CAP
VALUE FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Lazard Mid Cap Value Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with Lazard Asset Management (the "Sub-adviser")
through June 30, 2006. In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties, under the Agreement, in serving
as the Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions,
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed the
information prepared by Lipper, which ranked the Fund in the top quartile versus
its peers for total return for the one-, three- and five-year periods ended
December 31, 2004. The Fund also outperformed its benchmark and corresponding
Lipper benchmark for the same time periods. The Board considered the strong Fund
performance record relative to the Fund's peers and believes that, while past
performance is no guarantee of future performance, it is in the best interest of
the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Board noted that the
Fund's sub-adviser fee of 0.53% is above the Lipper average of 0.40%. Effective
January 1, 2005, the sub-adviser fee was reduced to 0.47%. The Board also noted
that the information provided by Lipper reflected that the Fund's sub-adviser
fee was in line with other mutual funds similar in size, character, and
investment strategy. The Board believed that, while the Sub-adviser's fee, under
the Agreement, is higher than the Lipper average, the Sub-adviser's positive
performance record supports the conclusion that the Fund's sub-advisory fee is
reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that these
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board believed that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH LAZARD ASSET MANAGEMENT (JNL/LAZARD SMALL CAP
VALUE FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Lazard Small Cap Value Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with Lazard Asset Management (the "Sub-adviser")
through June 30, 2006. In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, including information comparing the performance of the Fund with a peer
group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties, under the Agreement, in serving
as the Fund's investment Sub-adviser including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions,
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 62nd percentile for total
return for the one- and three-year periods and the 30th percentile for the
five-year period ended December 31, 2004. The Fund underperformed its benchmark
and corresponding Lipper benchmark for the same time periods except the
five-year period, where the Fund outperformed both benchmarks by 598 and 483
basis points, respectively. The Board requested that JNAM continue to closely
monitor performance and noted the Fund's strong 5-year track record. JNAM stated
the Fund had a value focus and that the Sub-adviser is conservative and
therefore underweight in areas they believed were over priced such as the
financial industry and REITs, which have performed well. JNAM informed the Board
that there have been no significant changes to the Sub-adviser's investment
process and no material changes in portfolio management personnel. The Board
believed that it was in the best interest of the Fund and its shareholders to
renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.58% is just above the Lipper average of 0.51%. Effective January 1, 2005,
the sub-adviser fee was reduced to 0.50%. The Board believed it would be
reasonable for the Board to conclude that the Fund's sub-adviser fee is
reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH SALOMON BROTHERS ASSET MANAGEMENT INC
(JNL/SALOMON BROTHERS HIGH YIELD BOND FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Salomon Brothers High Yield Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with Salomon Brothers Asset Management (the
"Sub-adviser") through June 30, 2006. In considering the Agreement, the Board
reviewed and analyzed the factors it deemed relevant, including: (1) the nature,
quality and extent of the Sub-adviser's services, (2) the investment performance
of the Fund, including information comparing the performance of the Fund with a
peer group of funds and an appropriate index, (3) the profitability of the
Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties, under the Agreement, in serving
as the Fund's investment Sub-adviser including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions,
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-Adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 81st percentile for total
return for the one-year period and in the top quartile for the three- and
five-year periods ended December 31, 2004. The Fund also underperformed its
benchmark and corresponding Lipper benchmark for the one-year period and
outperformed all benchmarks in the three- and five-year periods. The Board
considered the strong long-term track record, and requested that JNAM continue
to closely monitor the Fund's short-term performance for improvement. However,
at this time, the Board concluded that given that long-term performance record
it was in the best interest of the Fund and its shareholders to renew the
Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.33% is below the Lipper average of 0.38%. The Board believed it would be
reasonable for the Board to conclude that the Fund's sub-adviser fee is
reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH SALOMON BROTHERS ASSET MANAGEMENT INC
(JNL/SALOMON BROTHERS STRATEGIC BOND FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Salomon Brothers Strategic Bond Fund (the "Fund"), including a majority of
the Independent Trustees, considered and approved the Fund's investment
sub-advisory agreement (the "Agreement") with Salomon Brothers Asset Management
(the "Sub-adviser") through June 30, 2006. In considering the Agreement, the
Board reviewed and analyzed the factors it deemed relevant, including: (1) the
nature, quality and extent of the Sub-adviser's services, (2) the investment
performance of the Fund, including information comparing the performance of the
Fund with a peer group of funds and an appropriate index, (3) the profitability
of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing
services and comparative expense information, and (4) the extent to which
economies of scale are realized as the Fund grows and whether fee levels reflect
these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties, under the Agreement, in serving
as the Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions,
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 69th percentile versus its
peers for total return for the one- and three-year period and in the 47th
percentile for the five-year period ended December 31, 2004. The Fund
outperformed its benchmark for all periods but underperformed its corresponding
Lipper benchmark for all periods. The Board considered the Fund's solid
five-year track record, and requested that JNAM closely monitor performance for
improvement in the short term. Subsequent to 2004, performance has improved.
JNAM informed the Board that there have been no significant changes to the
Sub-adviser's investment process and no material changes in portfolio management
personnel. The Fund had significantly outperformed its benchmark in all periods.
Mr. Nerud stated that JNAM noted it was reviewing the Fund's Lipper
classificationand that the Fund was currently classified as global income even
though the Fund did not invest in international bonds.
However, at this time the Board believed that it is in the best interest of
the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.34% is below the Lipper average of 0.39%. The Board believed it would be
reasonable for the Board to conclude that the Fund's sub-adviser fee is
reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board believed it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH SALOMON BROTHERS ASSET MANAGEMENT INC
(JNL/SALOMON U.S. GOVERNMENT BOND FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/Salomon Brothers U.S. Government & Quality Bond Fund (the "Fund"), including
a majority of the Independent Trustees, considered and approved the Fund's
investment sub-advisory agreement (the "Agreement") with Salomon Brothers Asset
Management (the "Sub-adviser") through June 30, 2006. In considering the
Agreement, the Board reviewed and analyzed the factors it deemed relevant,
including: (1) the nature, quality and extent of the Sub-adviser's services, (2)
the investment performance of the Fund, including information comparing the
performance of the Fund with a peer group of funds and an appropriate index, (3)
the profitability of the Sub-adviser, including an analysis of the Sub-adviser's
cost of providing services and comparative expense information, and (4) the
extent to which economies of scale are realized as the Fund grows and whether
fee levels reflect these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board the nature, quality and extent of the services provided by the
Sub- adviser to the Fund. The Board reviewed the Sub-adviser's key personnel
that will be providing investment management services to the Fund. The Board
also considered information on the Sub-adviser's duties, including
responsibilities for investment research and stock selection, adherence to the
Fund's investment restrictions, and monitoring compliance with applicable Fund
policies and procedures. The Board concluded that the Fund benefits from the
services provided by the Sub-adviser, under the Agreement, as a result of the
Sub-adviser's experience, reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund, including comparative
performance information. The Board reviewed information prepared by Lipper,
which ranked the Fund in the second quartile versus its peers for total return
for the one-, three- and five-year periods ended December 31, 2004. The Fund
also outperformed its benchmark and corresponding Lipper benchmark for the
one-year period and was in line for the three- and five-year time period. The
Board considered the solid Fund performance record relative to the Fund's peers
and believes that, while past performance is no guarantee of future performance,
it is in the best interest of the Fund and its shareholders to renew the
Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.21% is just above the Lipper average of 0.16%. The Board concluded that,
while the Sub-adviser's fee under the Agreement is slightly higher than the
Lipper average, the Sub-adviser's positive performance record makes it
reasonable to conclude that the Fund's sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that these
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted it would
be reasonable for the Board to conclude that, under the Agreement, shareholders
share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, The Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH T. ROWE PRICE (JNL/T. ROWE PRICE ESTABLISHED
GROWTH FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/T. Rowe Price Established Growth Fund (the "Fund"), including a majority of
the Independent Trustees, considered and approved the Fund's investment
sub-advisory agreement (the "Agreement") with T. Rowe Price (the "Sub-adviser")
through June 30, 2006. In considering the Agreement, the Board reviewed and
analyzed the factors it deemed relevant, including: (1) the nature, quality and
extent of the Sub-adviser's services, (2) the investment performance of the
Fund, (3) the profitability of the Sub-adviser, including an analysis of the
Sub-adviser's cost of providing services and comparative expense information,
and (4) the extent to which economies of scale are realized as the Fund grows
and whether fee levels reflect these economies of scale for Fund investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered the Sub-adviser's duties, under the Agreement, in serving
as the Fund's investment Sub-adviser, including responsibilities for investment
research and stock selection, adherence to the Fund's investment restrictions,
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 27th percentile versus its
peers for total return for the one-year period, and in the top quartile for the
three- and five-year periods ended December 31, 2004. The Fund was inline with
its benchmark for the one-year period and outperformed its benchmark for three-
and five-year periods and its corresponding Lipper benchmark for all periods.
The Board noted the strong Fund performance record achieved by the Sub-adviser,
relative to the Fund's peers, and believes that, while past performance is no
guarantee of future performance, it is in the best interest of the Fund and its
shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.40% is below the Lipper average of 0.42%. The Board concluded that the
Sub-adviser's positive performance record makes it reasonable to conclude that
the Fund's sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that these
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH T. ROWE PRICE (JNL/T. ROWE PRICE MID-CAP GROWTH
FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/T. Rowe Price Mid-Cap Growth Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with T. Rowe Price (the "Sub-adviser") through June
30, 2006. In considering the Agreement, the Board reviewed and analyzed the
factors it deemed relevant, including: (1) the nature, quality and extent of the
Sub-adviser's services, (2) the investment performance of the Fund, including
information comparing the performance of the Fund with a peer group of funds and
an appropriate index, (3) the profitability of the Sub-adviser, including an
analysis of the Sub-adviser's cost of providing services and comparative expense
information, and (4) the extent to which economies of scale are realized as the
Fund grows and whether fee levels reflect these economies of scale for Fund
investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board reviewed the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel that will be providing investment management services to the Fund. The
Board also considered information on the Sub-adviser's duties, under the
Agreement, in serving as the Fund's investment Sub-adviser, including investment
research and stock selection, adherence to the Fund's investment restrictions
and monitoring compliance with applicable Fund policies and procedures. The
Board concluded that the Fund benefits from the services provided by the
Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience,
reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered the performance of the Fund and the Sub-adviser,
including comparative performance information. The Board reviewed information
prepared by Lipper, which ranked the Fund in the 27th percentile versus its
peers for total return for the one-year period, and in the top quartile for the
three- and five-year periods ended December 31, 2004. The Fund outperformed its
benchmark for the one-year period and was inline with its benchmark for the
three- and five-year periods. The Fund outperformed the Lipper benchmark for all
periods. The Board noted the strong Fund performance record achieved by the
Sub-adviser, relative to the Fund's peers, and believes that, while past
performance is no guarantee of future performance, it is in the best interest of
the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined information on the Sub-adviser's costs in serving as the
Fund's investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.50% is just above the Lipper average of 0.46%. The Board concluded that,
while the Sub-adviser's fee, under the Agreement, is slightly higher than the
Lipper average, the Sub-adviser's positive performance record makes it
reasonable to conclude that the Fund's sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted it would
be reasonable for the Board to conclude that, under the Agreement, shareholders
share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
SUB-ADVISORY AGREEMENT WITH T. ROWE PRICE (JNL/T. ROWE PRICE VALUE FUND)
At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the
JNL/T. Rowe Price Value Fund (the "Fund"), including a majority of the
Independent Trustees, considered and approved the Fund's investment sub-advisory
agreement (the "Agreement") with T. Rowe Price (the "Sub-adviser") through June
30, 2006. In considering the Agreement, the Board reviewed and analyzed the
factors it deemed relevant, including: (1) the nature, quality and extent of the
Sub-adviser's services, (2) the investment performance of the Fund, including
information comparing the performance of the Fund with a peer group of funds and
an appropriate index, (3) the profitability of the Sub-adviser, including an
analysis of the Sub-adviser's cost of providing services and comparative expense
information, and (4) the extent to which economies of scale are realized as the
Fund grows and whether fee levels reflect these economies of scale for Fund
investors.
The Board of Trustees also periodically considers other material facts such
as the allocation of the Fund's brokerage commissions and the Fund's record of
compliance with its investment policies and restrictions on personal securities
transactions.
Before approving the Agreement, the Board's Independent Trustees met in
executive session with their independent counsel on numerous occasions to
consider the materials provided by Jackson National Asset Management, LLC (the
"Adviser") and the Sub-adviser and the terms of the Agreement.
Based on its evaluation of all material factors, the Board, including a
majority of the Independent Trustees, concluded that the Agreement is fair and
in the best interests of shareholders. During its deliberations, the Board
balanced the various factors based on all the facts and circumstances applicable
to each sub-advisory relationship. The following summaries do not detail every
matter considered. In reaching its conclusion, the Board considered the
following:
NATURE, QUALITY AND EXTENT OF SERVICES
The Board examined the nature, quality and extent of the services provided
by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key
personnel providing investment management services to the Fund. The Board also
considered information on the Sub-adviser's duties, under the Agreement, in
serving as the Fund's investment Sub-adviser, including responsibilities
investment research and stock selection, adherence to the Fund's investment
restrictions and monitoring compliance with applicable Fund policies and
procedures. The Board concluded that the Fund benefits from the services
provided by the Sub-adviser, under the Agreement, as a result of the
Sub-adviser's experience, reputation, personnel, operations and resources.
INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND
The Board considered information on the performance of the Fund and the
Sub-adviser, including comparative performance information. The Board reviewed
information prepared by Lipper, which ranked the Fund in the second quartile
versus its peers for total return for the one- and three-year periods ended
December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper
benchmark for the one-year period and was inline with its benchmarks for the
three-year period. The Board noted the strong Fund performance record achieved
by the Sub-adviser, relative to the Fund's peers, and believed that, while past
performance is no guarantee of future performance, it is in the best interest of
the Fund and its shareholders to renew the Agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER
The Board examined the Sub-adviser's costs in serving as the Fund's
investment manager, including the costs associated with the personnel and
systems necessary to manage the Fund for 2004. The Board also considered the
profitability of the Sub-adviser from their relationship with the Fund. The
Board examined the sub-adviser fee for the Fund, as compared to that of other
funds, and accounts managed by the Sub-adviser, and of comparable funds managed
by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee
of 0.41% is just below the Lipper average of 0.43%. Effective January 1, 2005,
the sub-adviser fee was reduced to 0.39%. The Board concluded that the
Sub-adviser's positive performance record makes it reasonable to conclude that
the Fund's sub-advisory fee is reasonable.
ECONOMIES OF SCALE
The Board considered the extent to which the Fund's sub-advisory fee
reflects economies of scale for the benefit of Fund shareholders. The Board has
reviewed the Fund's fee arrangements, which include breakpoints that decrease
the fee rate as the Fund's assets increase. The Board concluded that the
breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in
its contract with the Fund, shared with shareholders the benefits of economies
of scale as the Fund's assets grow. In light of this, the Board noted that it
would be reasonable for the Board to conclude that, under the Agreement,
shareholders share in the benefits to be achieved through economies of scale.
OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER
In evaluating the benefits that accrue to the Sub-adviser, the Board
reviewed the Fund as a whole, including the benefits accruing to the Adviser who
identifies and recommends the Sub-advisers to the JNL Funds. Through its
relationship with the Fund, the Board recognized that the Adviser and its
affiliate serve the Fund in various capacities, including as distributor. The
Sub-adviser pays part of the costs of various meetings organized and run by the
distributor for its variable insurance product wholesalers. The meetings are
arranged by the distributor, and provide an opportunity for the Sub-adviser to
educate the wholesalers and, in the case of the due diligence meetings, certain
agents. The Board considered the payments made by the Sub-adviser. After full
consideration of these and other factors, the Board, including a majority of the
Independent Trustees, concluded that approval of the Agreement was in the best
interest of the Fund and its shareholders.
JNL SERIES TRUST
A Special Meeting of the Shareholders of the JNL Series Trust held April 20,
2005.
The following proposal was voted upon at the meeting:
1. To approve or disapprove the Plan by and among the JNL/Alliance Capital
Growth Fund and JNL/T. Rowe Price Established Growth Fund, providing for
the reorganization of the JNL/Alliance Capital Growth Fund with and into
the JNL/T. Rowe Price Established Growth Fund.
AFFIRMATIVE AGAINST WITHHOLD
JNL/Alliance Capital Growth Fund 1,087,308.833 14,296.591 72,993.805
(Class A)
Item 2. Code of Ethics.
Not applicable to the semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to the semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to the semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable as this is not a listed issuer as defined in Rule 10A-3 under the
Exchange Act.
Item 6. 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. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable as this is an Open-End Management Investment Company.
Item 9. Purchases of Equity Securties by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable as this is an Open-End Management Investment Company.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes have been made.
Item 11. Controls and Procedures.
(a) 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 22, 2005, and have concluded
that our disclosure controls and procedures are effective.
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's first and second fiscal
quarters of the period covered by this report that has materially affected, or
is reasonably likely to materially affect, the registrant's internal control
over financial reporting.
Item 12. Exhibits
a. (1) 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. (1)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 1st day of September 2005.
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 1, 2005
- ---------------------- ----------------
Robert A. Fritts
President, Chief Executive Officer & Trustee
/s/ Mark D. Nerud September 1, 2005
- ----------------------- ----------------
Mark D. Nerud
Chief Financial Officer
EXHIBIT LIST
Exhibit 12(a)(2) Certification of the Principal Executive Officer
required by Rule 30a-2(a) under the Act.
Certification of the Principal Financial Officer
required by Rule 30a-2(a) under the Act.
Exhibit 12(b)(1) Certification required by Rule 30a-2(b) under the Act.