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 - 07717
The Diversified Investors Strategic
Variable Funds
(Exact name of registrant as specified
in charter)
Address of Registrant: 4 Manhattanville Road
Purchase, NY
Name and address of agent for service: Joseph Carusone
4 Manhattanville Road
Purchase, NY 10577
Registrant's telephone number, including area code: (914) 697-8586
Date of fiscal year end: December 31, 2003
Date of reporting period: June 30, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
DIVERSIFIED INVESTORS VARIABLE FUNDS
DIVERSIFIED INVESTORS
STRATEGIC VARIABLE FUNDS
SEMI-ANNUAL REPORT
June 30, 2003
Calvert |
|
International Equity |
|
High Yield Bond |
|
Aggressive Equity |
|-- Intermediate/Long
Special Equity | Horizon
| --------------------------
Equity Growth |
|
Growth & Income |-- Intermediate Horizon
| --------------------------
Value & Income |
|
Balanced |
|-- Short Horizon
Core Bond | --------------------------
|
Intermediate Govt. Bond |
|
High Quality Bond |
|
Money Market |
[DIVERSIFIED INVESTMENT ADVISORS Logo]
_________________________________________________
This report is not to be construed as an offering for sale of any contracts
participating in the Subaccounts (Series) of the Diversified Investors Variable
Funds or the Diversified Investors Strategic Variable Funds, or as a
solicitation of an offer to buy contracts unless preceded by or accompanied by a
current prospectus which contains complete information about charges and
expenses.
This is a combined annual report for the subaccounts of the Diversified
Investors Variable Funds and the Diversified Investors Strategic Variable Funds.
THE DIVERSIFIED INVESTORS VARIABLE FUNDS AND STRATEGIC VARIABLE FUNDS
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIVERSIFIED INVESTORS VARIABLE GROUP:
Statements of Assets and Liabilities........................ 2
Statements of Operations.................................... 4
Statements of Changes in Net Assets -- June 30, 2003........ 6
Statements of Changes in Net Assets -- December 31, 2002.... 8
Notes to Financial Statements............................... 10
Financial Highlights........................................ 14
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS:
Statements of Assets and Liabilities........................ 20
Statements of Operations.................................... 21
Statements of Changes in Net Assets -- June 30, 2003........ 22
Statements of Changes in Net Assets -- December 31, 2002.... 23
PORTFOLIO OF INVESTMENTS:
Short Horizon Strategic Variable Fund....................... 24
Intermediate Horizon Strategic Variable Fund................ 25
Intermediate Long Horizon Strategic Variable Fund........... 26
Notes to Financial Statements............................... 27
DIVERSIFIED INVESTORS PORTFOLIOS:
Economic and Market Review.................................. 32
Statements of Assets and Liabilities........................ 36
Statements of Operations.................................... 38
Statements of Changes in Net Assets -- June 30, 2003........ 40
Statements of Changes in Net Assets -- December 31, 2002.... 42
PORTFOLIO OF INVESTMENTS:
Money Market Portfolio...................................... 44
High Quality Bond Portfolio................................. 47
Intermediate Government Bond Portfolio...................... 55
Core Bond Portfolio......................................... 59
Balanced Portfolio.......................................... 72
Value & Income Portfolio.................................... 89
Growth & Income Portfolio................................... 94
Equity Growth Portfolio..................................... 103
Mid-Cap Value Portfolio..................................... 107
Mid-Cap Growth Portfolio.................................... 110
Small-Cap Value Portfolio................................... 114
Special Equity Portfolio.................................... 117
Small-Cap Growth Portfolio.................................. 130
Aggressive Equity Portfolio................................. 133
High Yield Bond Portfolio................................... 136
International Equity Portfolio.............................. 145
Notes to Financial Statements............................... 152
CALVERT SOCIAL BALANCED PORTFOLIO SEMI-ANNUAL REPORT........ I
</Table>
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ------------ ----------- ----------- ------------
ASSETS:
Investment in the Funds, at value (Notes 1
and 2).................................. $46,744,304 $26,206,509 $40,852,858 $65,316,730 $83,384,839 $277,482,770
Investment in Calvert Social Balanced
Portfolio (Cost $40,787,234)............ -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ------------
Total assets.............................. 46,744,304 26,206,509 40,852,858 65,316,730 83,384,839 277,482,770
----------- ----------- ----------- ----------- ----------- ------------
LIABILITIES:
Accrued mortality and expense risk........ 42,056 23,716 39,057 59,696 78,889 263,441
----------- ----------- ----------- ----------- ----------- ------------
NET ASSETS ATTRIBUTABLE TO ANNUITY
CONTRACTHOLDERS......................... $46,702,248 $26,182,793 $40,813,801 $65,257,034 $83,305,950 $277,219,329
=========== =========== =========== =========== =========== ============
Accumulation units........................ 2,478,854 1,824,359 2,033,920 2,217,569 2,675,414 7,105,033
=========== =========== =========== =========== =========== ============
Unit value................................ $ 18.84 $ 14.35 $ 20.07 $ 29.43 $ 31.14 $ 39.02
=========== =========== =========== =========== =========== ============
</Table>
See notes to financial statements.
2
<Table>
<Caption>
HIGH
GROWTH & EQUITY SPECIAL AGGRESSIVE YIELD INTERNATIONAL
INCOME GROWTH EQUITY EQUITY BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ------------ ----------- ----------- ----------- ------------- -----------
110,227,671
$ $190,785,882 $75,809,552 $46,335,501 $3,542,435 $51,106,547 $ --
-- -- -- -- -- -- 33,661,811
------------ ------------ ----------- ----------- ---------- ----------- -----------
110,227,671 190,785,882 75,809,552 46,335,501 3,542,435 51,106,547 33,661,811
------------ ------------ ----------- ----------- ---------- ----------- -----------
103,843 178,528 70,732 42,965 3,836 49,108 31,634
------------ ------------ ----------- ----------- ---------- ----------- -----------
110,123,828
$ $190,607,354 $75,738,820 $46,292,536 $3,538,599 $51,057,439 $33,630,177
============ ============ =========== =========== ========== =========== ===========
5,630,373 4,870,945 3,241,006 4,062,889 257,079 3,897,120 1,406,668
============ ============ =========== =========== ========== =========== ===========
$ 19.56 $ 39.13 $ 23.37 $ 11.39 $ 13.76 $ 13.10 $ 23.91
============ ============ =========== =========== ========== =========== ===========
</Table>
3
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
---------- ---------- ------------ ---------- ----------- -----------
INVESTMENT INCOME (LOSS):
Net investment income (loss) allocated from
Diversified Investors Portfolios (Note
2):
Interest income............................ $369,306 $431,333 $ 758,161 $1,141,753 $ 646,670 $ 68,623
Income from loaned securities-net.......... -- 196 1,154 5,131 2,432 7,174
Dividend income............................ -- -- -- -- 443,575 3,360,661
Expenses................................... (65,731) (42,909) (82,965) (109,048) (198,121) (611,334)
-------- -------- --------- ---------- ----------- -----------
Net investment income (loss) from
Portfolios and Calvert................... 303,575 388,620 676,350 1,037,836 894,556 2,825,124
-------- -------- --------- ---------- ----------- -----------
EXPENSES (NOTE 4):
Mortality and expense risk................. 261,394 123,997 238,784 311,968 435,452 1,417,394
Less expenses reimbursed by TFLIC.......... (27,895) -- -- -- -- --
-------- -------- --------- ---------- ----------- -----------
Net expenses............................... 233,499 123,997 238,784 311,968 435,452 1,417,394
-------- -------- --------- ---------- ----------- -----------
Net investment income (loss)............... 70,076 264,623 437,566 725,868 459,104 1,407,730
-------- -------- --------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
SECURITIES, FUTURES, OPTIONS, SHORT SALES
AND FOREIGN CURRENCIES (NOTE 2):
Net realized gains (losses) on
securities............................... 116 49,499 403,516 1,568,145 (1,806,810) (7,224,290)
Net realized gains (losses) on futures,
options and short sales.................. -- -- -- (661,738) (163,718) --
Net realized gains (losses) on foreign
currency transactions.................... -- -- -- (358,463) (233,074) --
Net change in unrealized appreciation
(depreciation) on securities............. (2) (4,292) (329,252) 457,408 7,466,462 27,221,022
Net change in unrealized appreciation on
futures, options and short sales......... -- -- -- 343,437 133,450 --
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies............................... -- -- -- (7,495) 14,569 --
-------- -------- --------- ---------- ----------- -----------
Net realized and unrealized gains on
securities, futures, options, short sales
and foreign currencies................... 114 45,207 74,264 1,341,294 5,410,879 19,996,732
-------- -------- --------- ---------- ----------- -----------
Net increase in net assets resulting from
operations............................... $ 70,190 $309,830 $ 511,830 $2,067,162 $ 5,869,983 $21,404,462
======== ======== ========= ========== =========== ===========
</Table>
See notes to financial statements.
4
<Table>
<Caption>
HIGH
GROWTH & EQUITY SPECIAL AGGRESSIVE YIELD INTERNATIONAL
INCOME GROWTH EQUITY EQUITY BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ----------- ----------- ---------- ------------- ----------
$ 5,440 $ 7,057 $ 34,812 $ 723 $ 259,217 $ 5,564 $ --
1,887 6,609 15,380 4,448 -- 13,973 --
804,513 864,698 286,237 113,394 2,859 681,212 --
(324,334) (549,234) (291,240) (212,831) (15,838) (206,473) --
----------- ----------- ----------- ----------- --------- ----------- ----------
487,506 329,130 45,189 (94,266) 246,238 494,276 --
----------- ----------- ----------- ----------- --------- ----------- ----------
558,137 933,959 379,920 233,538 29,067 259,056 171,461
-- (80,474) -- -- -- -- --
----------- ----------- ----------- ----------- --------- ----------- ----------
558,137 853,485 379,920 233,538 29,067 259,056 171,461
----------- ----------- ----------- ----------- --------- ----------- ----------
(70,631) (524,355) (334,731) (327,804) 217,171 235,220 (171,461)
----------- ----------- ----------- ----------- --------- ----------- ----------
(5,001,561) (6,758,242) (429,613) (1,019,732) 179,281 (2,435,511) (247,126)
3,232 -- 83,835 -- -- -- --
-- (29,824) -- -- -- 220,147 --
14,083,610 26,743,388 10,607,736 5,847,701 330,882 5,338,284 3,023,510
22,396 -- 1,839 -- -- -- --
-- (1,633) -- -- -- 37,351 --
----------- ----------- ----------- ----------- --------- ----------- ----------
9,107,677 19,953,689 10,263,797 4,827,969 510,163 3,160,271 2,776,384
----------- ----------- ----------- ----------- --------- ----------- ----------
9,037,046
$ $19,429,334 $ 9,929,066 $ 4,500,165 $ 727,334 $ 3,395,491 $2,604,923
=========== =========== =========== =========== ========= =========== ==========
</Table>
5
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ----------- ------------ ----------- ------------ ------------
FROM OPERATIONS:
Net investment income (loss) from
Portfolios and Calvert............... $ 70,076 $ 264,623 $ 437,566 $ 725,868 $ 459,104 $ 1,407,730
Net realized gains (losses) on
securities........................... 116 49,499 403,516 1,568,145 (1,806,810) (7,224,290)
Net realized gains (losses) on futures,
options and short sales.............. -- -- -- (661,738) (163,718) --
Net realized gains (losses) on foreign
currency transactions................ -- -- -- (358,463) (233,074) --
Net change in unrealized appreciation
(depreciation) on securities......... (2) (4,292) (329,252) 457,408 7,466,462 27,221,022
Net change in unrealized appreciation
on futures, options and short
sales................................ -- -- -- 343,437 133,450 --
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated in
foreign currencies................... -- -- -- (7,495) 14,569 --
------------ ----------- ------------ ----------- ------------ ------------
Net increase in net assets resulting
from operations...................... 70,190 309,830 511,830 2,067,162 5,869,983 21,404,462
------------ ----------- ------------ ----------- ------------ ------------
FROM UNIT TRANSACTIONS (NOTE 5):
Net proceeds from units issued......... 84,852,115 7,155,768 7,322,363 15,276,111 8,896,109 26,596,682
Net asset value of units redeemed...... (86,783,817) (3,128,858) (10,295,024) (6,910,722) (11,033,908) (30,227,511)
------------ ----------- ------------ ----------- ------------ ------------
Net increase (decrease) in net assets
from unit transactions............... (1,931,702) 4,026,910 (2,972,661) 8,365,389 (2,137,799) (3,630,829)
------------ ----------- ------------ ----------- ------------ ------------
Net increase (decrease) in net
assets............................... (1,861,512) 4,336,740 (2,460,831) 10,432,551 3,732,184 17,773,633
NET ASSETS:
Beginning of period.................... 48,563,760 21,846,053 43,274,632 54,824,483 79,573,766 259,445,696
------------ ----------- ------------ ----------- ------------ ------------
End of period.......................... $ 46,702,248 $26,182,793 $ 40,813,801 $65,257,034 $ 83,305,950 $277,219,329
============ =========== ============ =========== ============ ============
Units outstanding beginning of
period............................... 2,581,398 1,543,946 2,181,036 1,933,347 2,746,878 7,207,058
Units issued during period............. 4,505,389 499,889 367,088 524,009 294,384 707,428
Units redeemed during period........... (4,607,933) (219,476) (514,204) (239,787) (365,848) (809,453)
------------ ----------- ------------ ----------- ------------ ------------
Units outstanding end of period........ 2,478,854 1,824,359 2,033,920 2,217,569 2,675,414 7,105,033
============ =========== ============ =========== ============ ============
</Table>
See notes to financial statements.
6
<Table>
<Caption>
HIGH
GROWTH & EQUITY SPECIAL AGGRESSIVE YIELD INTERNATIONAL
INCOME GROWTH EQUITY EQUITY BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ------------ ------------ ----------- ----------- ------------- -----------
(70,631)
$ $ (524,355) $ (334,731) $ (327,804) $ 217,171 $ 235,220 $ (171,461)
(5,001,561) (6,758,242) (429,613) (1,019,732) 179,281 (2,435,511) (247,126)
3,232 -- 83,835 -- -- -- --
-- (29,824) -- -- -- 220,147 --
14,083,610 26,743,388 10,607,736 5,847,701 330,882 5,338,284 3,023,510
22,396 -- 1,839 -- -- -- --
-- (1,633) -- -- -- 37,351 --
------------ ------------ ------------ ----------- ----------- ------------ -----------
9,037,046 19,429,334 9,929,066 4,500,165 727,334 3,395,491 2,604,923
------------ ------------ ------------ ----------- ----------- ------------ -----------
13,539,945 23,183,798 7,380,223 6,104,718 299,293 52,339,793 4,214,780
(12,642,313) (17,489,872) (11,177,483) (6,661,420) (2,709,837) (52,203,051) (4,070,308)
------------ ------------ ------------ ----------- ----------- ------------ -----------
897,632 5,693,926 (3,797,260) (556,702) (2,410,544) 136,742 144,472
------------ ------------ ------------ ----------- ----------- ------------ -----------
9,934,678 25,123,260 6,131,806 3,943,463 (1,683,210) 3,532,233 2,749,395
100,189,150 165,484,094 69,607,014 42,349,073 5,221,809 47,525,206 30,880,782
------------ ------------ ------------ ----------- ----------- ------------ -----------
$110,123,828 $190,607,354 $ 75,738,820 $46,292,536 $ 3,538,599 $ 51,057,439 $33,630,177
============ ============ ============ =========== =========== ============ ===========
5,579,094 4,727,738 3,405,431 4,103,500 435,401 3,862,561 1,400,341
732,782 617,194 347,595 582,667 23,238 4,304,672 182,577
(681,503) (473,987) (512,020) (623,268) (201,560) (4,270,113) (176,250)
------------ ------------ ------------ ----------- ----------- ------------ -----------
5,630,373 4,870,945 3,241,006 4,062,899 257,079 3,897,120 1,406,668
============ ============ ============ =========== =========== ============ ===========
</Table>
7
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------- ----------- ------------ ------------ ------------ ------------
FROM OPERATIONS:
Net investment income (loss) from
Portfolios and Calvert............. $ 358,950 $ 630,889 $ 999,495 $ 1,944,356 $ 1,395,069 $ 2,595,306
Net realized gains (losses) on
securities......................... 1,010 65,656 381,918 1,597,844 (7,101,871) (8,671,972)
Net realized losses on futures,
options and short sales............ -- -- -- (688,448) (314,826) --
Net realized gains (losses) on
foreign currency transactions...... -- -- -- (2,272) (4,816) --
Net change in unrealized appreciation
(depreciation) on securities....... -- 247,265 1,040,974 1,548,644 (4,662,517) (48,145,176)
Net change in unrealized depreciation
on futures......................... -- -- -- (299,558) (129,474) --
Net change in unrealized depreciation
on translation of assets and
liabilities denominated in foreign
currencies......................... -- -- -- (40,534) (40,741) --
------------- ----------- ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations.......... 359,960 943,810 2,422,387 4,060,032 (10,859,176) (54,221,842)
------------- ----------- ------------ ------------ ------------ ------------
FROM UNIT TRANSACTIONS (NOTE 5):
Net proceeds from units issued....... 116,181,033 10,394,949 18,892,520 18,226,715 14,612,644 46,244,911
Net asset value of units redeemed.... (115,617,562) (6,648,181) (11,046,051) (19,941,562) (29,622,715) (81,136,100)
------------- ----------- ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
from unit transactions............. 563,471 3,746,768 7,846,469 (1,714,847) (15,010,071) (34,891,189)
------------- ----------- ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets............................. 923,431 4,690,578 10,268,856 2,345,185 (25,869,247) (89,113,031)
NET ASSETS:
Beginning of year.................... 47,640,329 17,155,475 33,005,776 52,479,298 105,443,013 348,558,727
------------- ----------- ------------ ------------ ------------ ------------
End of year.......................... $ 48,563,760 $21,846,053 $ 43,274,632 $ 54,824,483 $ 79,573,766 $259,445,696
============= =========== ============ ============ ============ ============
Units outstanding beginning of
year............................... 2,552,095 1,273,673 1,782,182 1,999,667 3,239,258 8,115,057
Units issued during year............. 6,198,010 752,463 979,079 675,629 476,939 1,153,227
Units redeemed during year........... (6,168,707) (482,190) (580,225) (741,949) (969,319) (2,061,226)
------------- ----------- ------------ ------------ ------------ ------------
Units outstanding end of year........ 2,581,398 1,543,946 2,181,036 1,933,347 2,746,878 7,207,058
============= =========== ============ ============ ============ ============
</Table>
See notes to financial statements.
8
<Table>
<Caption>
HIGH
GROWTH & EQUITY SPECIAL AGGRESSIVE YIELD INTERNATIONAL
INCOME GROWTH EQUITY EQUITY BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
-------------------- ------------ ------------ ------------ ---------- ------------- -----------
(382,540)
$ $ (1,489,342) $ (899,735) $ (840,177) $ 423,748 $ (145,008) $ 538,617
(21,126,836) (33,539,759) (8,555,095) (12,940,085) (231,607) (3,709,030) (395,288)
(109,236) -- (80,866) -- -- -- --
-- 832 (265) -- -- 662,288 --
(11,093,629) (22,650,515) (15,308,088) (2,768,037) (129,430) (6,814,416) (5,006,165)
(22,464) -- (8,500) -- -- -- --
-- (58) (30) -- -- (196,689) --
------------ ------------ ------------ ------------ ---------- ------------ -----------
(32,734,705) (57,678,842) (24,852,579) (16,548,299) 62,711 (10,202,855) (4,862,836)
------------ ------------ ------------ ------------ ---------- ------------ -----------
29,660,713 37,588,624 20,252,097 15,952,215 596,325 75,150,787 7,028,564
(42,912,350) (69,340,895) (29,697,789) (19,209,802) (839,650) (80,913,667) (8,416,474)
------------ ------------ ------------ ------------ ---------- ------------ -----------
(13,251,637) (31,752,271) (9,445,692) (3,257,587) (243,325) (5,762,880) (1,387,910)
------------ ------------ ------------ ------------ ---------- ------------ -----------
(45,986,342) (89,431,113) (34,298,271) (19,805,886) (180,614) (15,965,735) (6,250,746)
146,175,492 254,915,207 103,905,285 62,154,959 5,402,423 63,490,941 37,131,528
------------ ------------ ------------ ------------ ---------- ------------ -----------
$100,189,150 $165,484,094 $ 69,607,014 $ 42,349,073 $5,221,809 $ 47,525,206 $30,880,782
============ ============ ============ ============ ========== ============ ===========
6,231,973 5,510,385 3,803,719 4,373,710 455,313 4,240,159 1,462,817
1,443,062 927,034 838,176 1,332,883 51,779 5,689,246 298,508
(2,095,941) (1,709,681) (1,236,464) (1,603,093) (71,691) (6,066,844) (360,984)
------------ ------------ ------------ ------------ ---------- ------------ -----------
5,579,094 4,727,738 3,405,431 4,103,500 435,401 3,862,561 1,400,341
============ ============ ============ ============ ========== ============ ===========
</Table>
9
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION AND BUSINESS
Diversified Investors Variable Funds ("DIVF") is a separate investment account
established on November 30, 1993, by Transamerica Financial Life Insurance
Company, Inc. ("TFLIC") (formerly AUSA Life Insurance Company, Inc. ("AUSA")), a
wholly owned subsidiary of AEGON USA, Inc. ("AEGON"), under the laws of the
State of New York.
DIVF operates as a unit investment trust under the Investment Company Act of
1940, as amended (the "1940 Act"). DIVF holds assets that are segregated from
all of TFLIC's other assets and, at present, is used as an investment vehicle
under certain tax-deferred annuity contracts issued by TFLIC to fund retirement
plans maintained by certain not-for-profit and other organizations ("Group
Plans"). TFLIC is the legal holder of the assets in DIVF.
DIVF had no assets or operations until August 18, 1994 (commencement of
operations). There are currently thirteen subaccounts within DIVF which are
available to contractholders of Group Plans, and each invests only in a
corresponding portfolio of Diversified Investors Portfolios (the "Portfolios")
or the Calvert Social Balanced Portfolio, a series of Calvert Variable Series,
Inc. ("Calvert") (collectively, the "Funds"). The respective financial
statements of the Portfolios and Calvert are contained elsewhere in this report.
At June 30, 2003, each of the DIVF subaccounts' investment in the corresponding
Portfolios was as follows:
<Table>
<Caption>
PERCENTAGE INVESTMENT
SUBACCOUNT IN PORTFOLIO
- ---------- ---------------------
Money Market................................................ 5.06
High Quality Bond........................................... 4.43
Intermediate Government Bond................................ 13.79
Core Bond................................................... 4.52
Balanced.................................................... 20.68
Value & Income.............................................. 15.35
Growth & Income............................................. 12.28
Equity Growth............................................... 12.25
Special Equity.............................................. 7.84
Aggressive Equity........................................... 15.16
High Yield Bond............................................. 1.67
International Equity........................................ 6.63
</Table>
2. SIGNIFICANT ACCOUNTING POLICIES
A. INVESTMENTS:
The investment by DIVF in the Portfolios reflects DIVF's proportionate interest
in the net assets of the Portfolios. The investment in shares of Calvert is
stated at net asset value. Valuation of securities held in each of the
Portfolios is discussed in Note 2A of the Portfolios' Notes to Financial
Statements which are included elsewhere in this report. A description of the
portfolio valuation policy for Calvert can be found in Note A of the Notes to
Financial Statements contained elsewhere in this report.
B. INVESTMENT INCOME:
Each DIVF subaccount is allocated its pro rata share of income and expenses of
the corresponding Portfolio. All of the investment income and expenses and
realized and unrealized gains and losses from the security transactions of the
corresponding Portfolios are allocated pro rata among the investors and are
recorded by the subaccounts on a daily basis.
10
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
For the Calvert subaccount, dividend income is recorded on the ex-dividend date
and realized gains and losses from the sale of investments are determined on the
basis of identified cost.
C. FEDERAL INCOME TAXES:
The operations of DIVF form a part of, and are taxed with, the operations of
TFLIC. TFLIC does not expect, based upon current tax law, to incur any income
tax upon the earnings or realized capital gains attributable to DIVF. Based upon
this expectation, no charges are currently being deducted from DIVF for federal
income tax purposes.
D. OTHER:
The preparation of financial statements in conformity with generally accepted
accounting principles 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 revenues and expenses during the reporting period.
Actual results could differ from those estimates.
3. INVESTMENT TRANSACTIONS
Purchases and sales of shares in Calvert were $1,214,036 and $1,228,959
respectively.
The U.S. federal income tax basis of DIVF's investment in Calvert at June 30,
2003, was $40,787,234 and net unrealized depreciation for U.S. federal income
tax purposes was $7,125,423.
4. FEES AND TRANSACTIONS WITH AFFILIATES
Because certain subaccounts of DIVF purchase interests in the Portfolios, the
net assets of those DIVF subaccounts reflect the investment management fee
charged by Diversified Investment Advisors, Inc. (an affiliate of TFLIC), the
investment advisor, which provides investment advice and related services to the
Portfolios. Diversified is an indirect, wholly-owned subsidiary of AEGON USA,
Inc., a financial services holding company whose primary emphasis is life and
health insurance and annuity and investment products. AEGON USA is an indirect,
wholly-owned subsidiary of AEGON N.V., a Netherlands corporation which is a
publicly traded international insurance group.
Daily charges to DIVF for mortality and expense risks assumed by TFLIC were
computed at an annual rate of 1.10%; however, TFLIC reserves the right to charge
maximum fees of 1.25% upon written notice.
For the period January 1, 2003 through April 30, 2003, TFLIC had voluntarily
undertaken to reimburse fees of the Money Market and Equity Growth subaccounts
to the extent necessary, to limit all expenses (other than mortality and expense
risk charges) to 0.10% and 0.50%, respectively, of average net assets. Effective
May 1, 2003, TFLIC terminated the waiver of expenses. TFLIC reserves the right
to raise these limits upon written notice.
5. GROUP PLAN ASSUMPTIONS
On December 31, 1993, TFLIC entered into an agreement with MONY Life Insurance
Company ("MONY") pursuant to which certain contracts issued by MONY to Group
Plans may be transferred through assumption reinsurance to TFLIC subject to
receipt of any necessary state insurance department approvals and
authorizations. The assumption reinsurance of any Group Plan to TFLIC will
result in the transfer of the applicable assets out of a corresponding MONY
separate account and into DIVF. Assets
11
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. GROUP PLAN ASSUMPTIONS (CONTINUED)
transferred from MONY pursuant to this assumption reinsurance transaction for
the year ended December 31, 2002 were as follows:
<Table>
<Caption>
SUBACCOUNTS 2002 AMOUNT
- ----------- -----------
Money Market................................................ $ 2,339
Intermediate Government Bond................................ 52,633
Core........................................................ --
Balanced.................................................... 83,566
Value & Income.............................................. 202,625
Equity Growth............................................... 271,149
Calvert..................................................... 1,916
--------
$614,228
========
</Table>
The amounts related to these assumptions are reflected in the proceeds from
units issued in the Statements of Changes in Net Assets.
6. GENERAL INDEMNIFICATION
In the normal course of business, the Funds enter into contracts that contain a
variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Funds
that have not yet occurred. However, based on experience, the Funds expect the
risk of loss to be remote.
12
(This page intentionally left blank)
13
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. FINANCIAL HIGHLIGHTS
For an accumulation unit outstanding throughout the period/year:
<Table>
<Caption>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET REALIZED TOTAL
UNIT NET AND INCOME (LOSS) UNIT
VALUE, INVESTMENT UNREALIZED FROM VALUE,
BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
FOR THE PERIOD/YEAR ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
------------------------- ------------ ---------- -------------- ------------- -----------
MONEY MARKET SUBACCOUNT
06/30/2003*............................... $18.81 $0.03 $ -- $ 0.03 $18.84
12/31/2002................................ 18.67 0.15 (0.01) 0.14 18.81
12/31/2001................................ 18.11 0.55 0.01 0.56 18.67
12/31/2000................................ 17.18 0.93 -- 0.93 18.11
12/31/1999................................ 16.45 0.73 -- 0.73 17.18
12/31/1998................................ 15.71 0.74 -- 0.74 16.45
HIGH QUALITY BOND SUBACCOUNT
06/30/2003*............................... 14.15 0.17 0.03 0.20 14.35
12/31/2002................................ 13.47 0.45 0.23 0.68 14.15
12/31/2001................................ 12.58 0.61 0.28 0.89 13.47
12/31/2000................................ 11.72 0.62 0.24 0.86 12.58
12/31/1999................................ 11.45 0.57 (0.30) 0.27 11.72
12/31/1998................................ 10.83 0.56 0.06 0.62 11.45
INTERMEDIATE GOVERNMENT BOND SUBACCOUNT
06/30/2003*............................... 19.84 0.20 0.03 0.23 20.07
12/31/2002................................ 18.52 0.54 0.78 1.32 19.84
12/31/2001................................ 17.53 0.76 0.23 0.99 18.52
12/31/2000................................ 16.18 0.79 0.56 1.35 17.53
12/31/1999................................ 16.06 0.73 (0.61) 0.12 16.18
12/31/1998................................ 15.13 0.71 0.22 0.93 16.06
CORE BOND SUBACCOUNT
06/30/2003*............................... 28.36 0.37 0.70 1.07 29.43
12/31/2002................................ 26.24 1.02 1.10 2.12 28.36
12/31/2001................................ 24.80 1.09 0.35 1.44 26.24
12/31/2000................................ 22.75 1.22 0.83 2.05 24.80
12/31/1999................................ 23.16 1.14 (1.55) (0.41) 22.75
12/31/1998................................ 21.67 1.14 0.35 1.49 23.16
BALANCED SUBACCOUNT
06/30/2003*............................... 28.97 0.17 2.00 2.17 31.14
12/31/2002................................ 32.55 0.47 (4.05) (3.58) 28.97
12/31/2001................................ 34.75 0.57 (2.77) (2.20) 32.55
12/31/2000................................ 35.90 0.67 (1.82) (1.15) 34.75
12/31/1999................................ 32.46 0.52 2.92 3.44 35.90
12/31/1998................................ 29.12 0.72 2.62 3.34 32.46
</Table>
- ---------------
* Unaudited.
** Annualized.
(1) Portfolio turnover of the Series Portfolio and Calvert Social Balanced
Portfolio.
(2) Reimbursement of fees occurs at the underlying fund level.
14
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<Table>
<Caption>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------------------
EXPENSES
NET EXPENSES INCLUDING
NET INVESTMENT INCLUDING EXPENSES
ASSETS, NET INCOME (LOSS) EXPENSES OF OF THE PORTFOLIO OR
END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO CALVERT (NET OF PORTFOLIO
PERIOD/YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1)
------------ ------ ------------- --------------- ------------- ------------------- -----------
$ 46,702,248 0.16% 0.17%** 0.29%** 1.37%** 1.25%** N/A
48,563,760 0.75 0.60 0.78 1.38 1.20 N/A
47,640,329 3.09 2.80 2.97 1.37 1.20 N/A
39,923,021 N/A 5.12 5.30 1.31 1.13 N/A
36,438,704 N/A 4.17 4.35 1.18 1.00 N/A
29,256,209 N/A 4.43 4.61 1.18 1.00 N/A
26,182,793 1.41 2.35** 2.35** 1.48** 1.48** 29%
21,846,053 5.05 3.27 3.27 1.48 1.48 54
17,155,475 7.07 4.60 4.60 1.48 1.48 53
8,372,604 N/A 5.16 5.16 1.41 1.41 N/A
6,792,871 N/A 4.89 4.89 1.28 1.28 N/A
4,511,028 N/A 4.98 4.98 1.29 1.29 N/A
40,813,801 1.16 2.02** 2.02** 1.48** 1.48** 67
43,274,632 7.13 2.81 2.81 1.49 1.49 134
33,005,776 5.65 4.17 4.17 1.48 1.48 40
25,498,701 N/A 4.76 4.76 1.40 1.40 N/A
24,307,081 N/A 4.57 4.57 1.29 1.29 N/A
26,079,962 N/A 4.56 4.56 1.29 1.29 N/A
65,257,034 3.77 2.56** 2.56** 1.48** 1.48** 537
54,824,483 8.08 3.78 3.78 1.49 1.49 462
52,479,298 5.81 4.22 4.22 1.48 1.48 547
40,806,446 N/A 5.21 5.21 1.41 1.41 N/A
38,929,480 N/A 4.96 4.96 1.27 1.27 N/A
36,410,304 N/A 5.08 5.08 1.28 1.28 N/A
83,305,950 7.49 1.14** 1.16** 1.62** 1.60**(2) 205
79,573,766 (11.00) 1.53 1.55 1.62 1.60 (2) 289
105,443,013 (6.33) 1.72 1.72 1.59 1.59 312
123,166,730 N/A 1.88 1.88 1.52 1.52 N/A
139,222,045 N/A 1.56 1.58 1.42 1.40 N/A
135,827,779 N/A 2.33 2.33 1.38 1.38 N/A
</Table>
15
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
For an accumulation unit outstanding throughout the period/year:
<Table>
<Caption>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET REALIZED TOTAL
UNIT NET AND INCOME (LOSS) UNIT
VALUE, INVESTMENT UNREALIZED FROM VALUE,
BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
FOR THE PERIOD/YEAR ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
------------------------- ------------ ---------- -------------- ------------- -----------
VALUE & INCOME SUBACCOUNT
06/30/2003*............................... $36.00 $ 0.20 $ 2.82 $ 3.02 $39.02
12/31/2002................................ 42.95 0.34 (7.29) (6.95) 36.00
12/31/2001................................ 44.31 0.42 (1.78) (1.36) 42.95
12/31/2000................................ 40.87 0.48 2.96 3.44 44.31
12/31/1999................................ 38.07 0.35 2.45 2.80 40.87
12/31/1998................................ 33.98 0.48 3.61 4.09 38.07
GROWTH & INCOME SUBACCOUNT
06/30/2003*............................... 17.96 (0.01) 1.61 1.60 19.56
12/31/2002................................ 23.46 (0.07) (5.43) (5.50) 17.96
12/31/2001................................ 30.54 (0.15) (6.93) (7.08) 23.46
12/31/2000................................ 37.40 (0.34) (6.52) (6.86) 30.54
12/31/1999................................ 28.83 (0.25) 8.82 8.57 37.40
12/31/1998................................ 21.50 (0.15) 7.48 7.33 28.83
EQUITY GROWTH SUBACCOUNT
06/30/2003*............................... 35.00 (0.11) 4.24 4.13 39.13
12/31/2002................................ 46.26 (0.29) (10.97) (11.26) 35.00
12/31/2001................................ 58.57 (0.43) (11.88) (12.31) 46.26
12/31/2000................................ 70.56 (0.57) (11.42) (11.99) 58.57
12/31/1999................................ 51.55 (0.37) 19.38 19.01 70.56
12/31/1998................................ 37.98 (0.23) 13.80 13.57 51.55
SPECIAL EQUITY SUBACCOUNT
06/30/2003*............................... 20.44 (0.10) 3.03 2.93 23.37
12/31/2002................................ 27.32 (0.25) (6.63) (6.88) 20.44
12/31/2001................................ 28.51 (0.30) (0.89) (1.19) 27.32
12/31/2000................................ 30.04 (0.28) (1.25) (1.53) 28.51
12/31/1999................................ 24.05 (0.19) 6.18 5.99 30.04
12/31/1998................................ 23.40 (0.18) 0.83 0.65 24.05
</Table>
- ---------------
* Unaudited.
** Annualized.
(1) Portfolio turnover of the Series Portfolio and Calvert Social Balanced
Portfolio.
(2) Reimbursement of fees occurs at the underlying fund level.
16
<Table>
<Caption>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------------------
EXPENSES
NET EXPENSES INCLUDING
NET INVESTMENT INCLUDING EXPENSES
ASSETS, NET INCOME (LOSS) EXPENSES OF OF THE PORTFOLIO OR
END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO CALVERT (NET OF PORTFOLIO
PERIOD/YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1)
----------- ------ ------------- --------------- ------------- ------------------- -----------
$277,219,329 8.39% 1.09%** 1.09%** 1.57%** 1.57%** 56%
259,445,696 (16.18) 0.86 0.86 1.58 1.58 31
348,558,727 (3.07) 0.97 0.97 1.58 1.58 32
355,485,672 N/A 1.20 1.20 1.49 1.49 N/A
358,947,875 N/A 0.87 0.87 1.37 1.37 N/A
370,989,427 N/A 1.34 1.34 1.37 1.37 N/A
110,123,828 8.91 (0.14)** (0.14)** 1.74** 1.74** 50
100,189,150 (23.44) (0.33) (0.32) 1.76 1.75(2) 115
146,175,492 (23.18) (0.61) (0.61) 1.73 1.73 153
199,091,314 N/A (0.96) (0.96) 1.64 1.64 N/A
227,107,875 N/A (0.83) (0.83) 1.52 1.52 N/A
150,549,401 N/A (0.60) (0.60) 1.52 1.52 N/A
190,607,354 11.80 (0.71)** (0.62)** 1.74** 1.65** 28
165,484,094 (24.34) (0.89) (0.74) 1.75 1.60 75
254,915,207 (21.02) (1.02) (0.87) 1.75 1.60 63
341,907,923 N/A (0.98) (0.84) 1.67 1.53 N/A
412,349,995 N/A (0.78) (0.64) 1.54 1.40 N/A
277,951,858 N/A (0.68) (0.54) 1.54 1.40 N/A
75,738,820 14.33 (0.97)** (0.97)** 1.94** 1.94** 51
69,607,014 (25.18) (1.06) (1.06) 1.95 1.95 109
103,905,285 (4.17) (1.12) (1.12) 1.93 1.93 88
111,365,978 N/A (0.93) (0.93) 1.84 1.84 N/A
108,142,801 N/A (0.77) (0.77) 1.74 1.74 N/A
91,893,461 N/A (0.76) (0.76) 1.73 1.73 N/A
</Table>
17
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
For an accumulation unit outstanding throughout the period/year:
<Table>
<Caption>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET REALIZED TOTAL
UNIT NET AND INCOME (LOSS) UNIT
VALUE, INVESTMENT UNREALIZED FROM VALUE,
BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
FOR THE PERIOD/YEAR ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
------------------------- ------------ ---------- -------------- ------------- -----------
AGGRESSIVE EQUITY SUBACCOUNT
06/30/2003*............................... $10.32 $(0.08) $ 1.15 $ 1.07 $11.39
12/31/2002................................ 14.21 (0.20) (3.69) (3.89) 10.32
12/31/2001................................ 20.88 (0.29) (6.38) (6.67) 14.21
12/31/2000................................ 24.36 (0.42) (3.06) (3.48) 20.88
12/31/1999................................ 14.92 (0.24) 9.68 9.44 24.36
12/31/1998................................ 10.57 (0.14) 4.49 4.35 14.92
HIGH YIELD BOND SUBACCOUNT
06/30/2003*............................... 11.99 0.52 1.25 1.77 13.76
12/31/2002................................ 11.87 0.95 (0.83) 0.12 11.99
12/31/2001................................ 11.41 0.98 (0.52) 0.46 11.87
12/31/2000................................ 12.00 0.96 (1.55) (0.59) 11.41
12/31/1999................................ 12.04 0.90 (0.94) (0.04) 12.00
12/31/1998................................ 11.84 0.94 (0.74) 0.20 12.04
INTERNATIONAL EQUITY SUBACCOUNT
06/30/2003*............................... 12.30 0.06 0.74 0.80 13.10
12/31/2002................................ 14.97 (0.04) (2.63) (2.67) 12.30
12/31/2001................................ 18.60 (0.07) (3.56) (3.63) 14.97
12/31/2000................................ 23.11 (0.05) (4.46) (4.51) 18.60
12/31/1999................................ 14.15 (0.03) 8.99 8.96 23.11
12/31/1998................................ 12.87 0.02 1.26 1.28 14.15
CALVERT SERIES SUBACCOUNT
06/30/2003*............................... 22.05 (0.12) 1.98 1.86 23.91
12/31/2002................................ 25.38 0.37 (3.70) (3.33) 22.05
12/31/2001................................ 27.58 1.14 (3.34) (2.20) 25.38
12/31/2000................................ 28.73 1.04 (2.19) (1.15) 27.58
12/31/1999................................ 25.81 2.54 0.38 2.92 28.73
12/31/1998................................ 22.40 1.70 1.71 3.41 25.81
</Table>
- ---------------
* Unaudited.
** Annualized.
(1) Portfolio turnover of the Series Portfolio and Calvert Social Balanced
Portfolio.
(2) Reimbursement of fees occurs at the underlying fund level.
18
<Table>
<Caption>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------------------
EXPENSES
NET EXPENSES INCLUDING
NET INVESTMENT INCLUDING EXPENSES
ASSETS, NET INCOME (LOSS) EXPENSES OF OF THE PORTFOLIO OR
END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO CALVERT (NET OF PORTFOLIO
PERIOD/YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1)
----------- ------ ------------- --------------- ------------- ------------------- -----------
$46,292,536 10.37% (1.56)%** (1.54)%** 2.12%** 2.10%**(2) 81%
42,349,073 (27.38) (1.70) (1.69) 2.11 2.10(2) 87
62,154,959 (31.94) (1.82) (1.82) 2.10 2.10 98
92,859,052 N/A (1.65) (1.65) 2.02 2.02 N/A
64,560,754 N/A (1.37) (1.36) 1.90 1.89 N/A
17,413,508 N/A (1.31) (1.20) 2.00 1.89 N/A
3,538,599 14.76 8.23** 8.23** 1.70** 1.70** 84
5,221,809 1.01 8.04 8.05 1.71 1.70(2) 95
5,402,423 4.03 8.31 8.31 1.69 1.69 90
4,461,511 N/A 8.09 8.14 1.68 1.63 N/A
3,768,089 N/A 7.54 7.55 1.51 1.50 N/A
2,454,883 N/A 7.75 7.79 1.53 1.49 N/A
51,057,439 6.50 1.00** 1.00** 1.98** 1.98** 10
47,525,206 (17.84) (0.26) (0.26) 1.98 1.98 25
63,490,941 (19.52) (0.45) (0.45) 1.99 1.99 28
69,227,248 N/A (0.25) (0.25) 1.86 1.86 N/A
72,858,064 N/A (0.18) (0.18) 1.76 1.76 N/A
34,092,371 N/A 0.17 0.18 1.78 1.77 N/A
33,630,177 8.44 (2.04)** (2.04)** 2.04** 2.04** 256
30,880,782 (13.12) 0.69 0.69 2.01 2.01 552
37,131,528 (7.98) 4.35 4.35 1.97 1.97 751
41,131,100 N/A 3.64 3.64 1.89 1.89 N/A
41,671,897 N/A 9.49 9.49 1.67 1.67 N/A
35,649,202 N/A 7.14 7.14 1.67 1.67 N/A
</Table>
19
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC VARIABLE STRATEGIC VARIABLE STRATEGIC VARIABLE
FUND FUND FUND
------------------ ------------------ ------------------
ASSETS:
Investments, at value (cost $8,980,870,
$22,555,395 and $28,577,677 respectively)...... $9,774,148 $22,068,426 $27,329,335
---------- ----------- -----------
LIABILITIES:
Accrued investment advisory fees................. 1,664 3,755 4,675
---------- ----------- -----------
NET ASSETS....................................... $9,772,484 $22,064,671 $27,324,660
========== =========== ===========
Accumulation units............................... 706,036 1,641,425 2,044,552
========== =========== ===========
UNIT VALUE....................................... $ 13.84 $ 13.44 $ 13.36
========== =========== ===========
NET ASSETS CONSIST OF:
Cost of accumulation units....................... $8,636,023 $20,872,475 $27,629,380
Undistributed net realized gains................. 392,000 1,856,655 1,167,017
Accumulated net investment losses................ (48,817) (177,490) (223,395)
Unrealized appreciation (depreciation) on
investments.................................... 793,278 (486,969) (1,248,342)
---------- ----------- -----------
NET ASSETS....................................... $9,772,484 $22,064,671 $27,324,660
========== =========== ===========
</Table>
See notes to financial statements.
20
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC VARIABLE STRATEGIC VARIABLE STRATEGIC VARIABLE
FUND FUND FUND
------------------ ------------------ ------------------
INVESTMENT ADVISORY FEES (NOTE 3)................ $ (9,293) $ (20,248) $ (24,655)
-------- ---------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS:
Net realized gains (losses) on investments....... 225,650 (555,923) (446,731)
Net change in unrealized appreciation on
investments.................................... 129,990 1,974,426 2,468,150
-------- ---------- ----------
Net realized and unrealized gains on
investments.................................... 355,640 1,418,503 2,021,419
-------- ---------- ----------
Net increase in net assets resulting from
operations..................................... $346,347 $1,398,255 $1,996,764
======== ========== ==========
</Table>
See notes to financial statements.
21
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC VARIABLE STRATEGIC VARIABLE STRATEGIC VARIABLE
FUND FUND FUND
------------------ ------------------ ------------------
FROM OPERATIONS:
Investment advisory fees......................... $ (9,293) $ (20,248) $ (24,655)
Net realized gains (losses) on investments....... 225,650 (555,923) (446,731)
Net change in unrealized appreciation on
investments.................................... 129,990 1,974,426 2,468,150
----------- ----------- -----------
Net increase in net assets resulting from
operations..................................... 346,347 1,398,255 1,996,764
----------- ----------- -----------
FROM UNIT TRANSACTIONS:
Proceeds from units issued....................... 2,239,819 3,098,667 4,641,979
Value of units redeemed.......................... (1,899,293) (2,566,631) (2,936,928)
----------- ----------- -----------
Net increase in net assets from unit
transactions................................... 340,526 532,036 1,705,051
----------- ----------- -----------
Total increase in net assets..................... 686,873 1,930,291 3,701,815
NET ASSETS:
Beginning of period.............................. 9,085,611 20,134,380 23,622,845
----------- ----------- -----------
End of period.................................... $ 9,772,484 $22,064,671 $27,324,660
=========== =========== ===========
Units outstanding beginning of period............ 680,929 1,600,072 1,906,765
Units issued during period....................... 164,284 242,047 366,381
Units redeemed during period..................... (139,177) (200,694) (228,594)
----------- ----------- -----------
Units outstanding end of period.................. 706,036 1,641,425 2,044,552
=========== =========== ===========
</Table>
See notes to financial statements.
22
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC VARIABLE STRATEGIC VARIABLE STRATEGIC VARIABLE
FUND FUND FUND
------------------ ------------------ ------------------
FROM OPERATIONS:
Investment advisory fees......................... $ (15,282) $ (40,905) $ (49,698)
Net realized gains on investments................ 20,863 308,516 338,375
Net change in unrealized appreciation
(depreciation) on investments.................. 245,826 (2,000,733) (3,899,189)
----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations................................ 251,407 (1,733,122) (3,610,512)
----------- ----------- -----------
FROM UNIT TRANSACTIONS:
Proceeds from units issued....................... 5,681,476 6,287,461 8,392,723
Value of units redeemed.......................... (3,860,345) (6,113,761) (7,927,301)
----------- ----------- -----------
Net increase in net assets from unit
transactions................................... 1,821,131 173,700 465,422
----------- ----------- -----------
Total increase (decrease) in net assets.......... 2,072,538 (1,559,422) (3,145,090)
NET ASSETS:
Beginning of year................................ 7,013,073 21,693,802 26,767,935
----------- ----------- -----------
End of year...................................... $ 9,085,611 $20,134,380 $23,622,845
=========== =========== ===========
Units outstanding beginning of year.............. 541,638 1,586,623 1,873,995
Units issued during year......................... 435,133 483,470 629,181
Units redeemed during year....................... (295,842) (470,021) (596,411)
----------- ----------- -----------
Units outstanding end of year.................... 680,929 1,600,072 1,906,765
=========== =========== ===========
</Table>
See notes to financial statements.
23
SHORT HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
- ------ ----------
INVESTMENTS
178,917 Diversified Investors Variable Funds -- Core Bond
Subaccount................................................ $5,265,038
8,273 Diversified Investors Variable Funds -- Equity Growth
Subaccount................................................ 323,737
6,264 Diversified Investors Variable Funds -- Growth & Income
Subaccount................................................ 122,509
182,422 Diversified Investors Variable Funds -- High Quality Bond
Subaccount................................................ 2,618,086
64,385 Diversified Investors Variable Funds -- High Yield Bond
Subaccount................................................ 886,237
1 Diversified Investors Variable Funds -- Intermediate
Government Bond Subaccount................................ 1
11,179 Diversified Investors Variable Funds -- International Equity
Subaccount................................................ 146,453
1,547 Diversified Investors Variable Funds -- Money Market
Subaccount................................................ 29,145
2,565 Diversified Investors Variable Funds -- Special Equity
Subaccount................................................ 59,933
8,279 Diversified Investors Variable Funds -- Value & Income
Subaccount................................................ 323,009
----------
Total Investments -- 100.02% (Cost $8,980,870).............. 9,774,148
Liabilities less other assets -- (0.02%).................... (1,664)
----------
NET ASSETS -- 100.00%....................................... $9,772,484
==========
The aggregate cost of investments for federal income tax purposes at June 30, 2003
is $8,980,870.
The following amount is based on cost for federal income tax purposes:
Gross unrealized appreciation............................... $ 794,681
Gross unrealized depreciation............................... (1,403)
----------
Net unrealized appreciation................................. $ 793,278
==========
</Table>
See notes to financial statements.
24
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
- ------ -----------
INVESTMENTS
1 Diversified Investors Variable Funds -- Aggressive Equity
Subaccount................................................ $ 7
223,938 Diversified Investors Variable Funds -- Core Bond
Subaccount................................................ 6,589,890
93,082 Diversified Investors Variable Funds -- Equity Growth
Subaccount................................................ 3,642,428
71,230 Diversified Investors Variable Funds -- Growth & Income
Subaccount................................................ 1,393,174
226,618 Diversified Investors Variable Funds -- High Quality Bond
Subaccount................................................ 3,252,375
80,585 Diversified Investors Variable Funds -- High Yield Bond
Subaccount................................................ 1,109,235
1 Diversified Investors Variable Funds -- Intermediate
Government Bond Subaccount................................ 1
125,921 Diversified Investors Variable Funds -- International Equity
Subaccount................................................ 1,649,723
6,723 Diversified Investors Variable Funds -- Money Market
Subaccount................................................ 126,666
28,698 Diversified Investors Variable Funds -- Special Equity
Subaccount................................................ 670,630
93,146 Diversified Investors Variable Funds -- Value & Income
Subaccount................................................ 3,634,297
-----------
Total Investments -- 100.02% (Cost $22,555,395)............. 22,068,426
Liabilities less other assets -- (0.02%).................... (3,755)
-----------
NET ASSETS -- 100.00%....................................... $22,064,671
===========
The aggregate cost of investments for federal income tax purposes at June 30, 2003
is $22,555,395.
The following amount is based on cost for federal income tax purposes:
Gross unrealized appreciation............................... $ 954,126
Gross unrealized depreciation............................... (1,441,095)
-----------
Net unrealized depreciation................................. $ (486,969)
===========
</Table>
See notes to financial statements.
25
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
- ------ -----------
INVESTMENTS
1 Diversified Investors Variable Funds -- Aggressive Equity
Subaccount................................................ $ 13
166,560 Diversified Investors Variable Funds -- Core Bond
Subaccount................................................ 4,901,416
161,523 Diversified Investors Variable Funds -- Equity Growth
Subaccount................................................ 6,320,630
123,698 Diversified Investors Variable Funds -- Growth & Income
Subaccount................................................ 2,419,389
166,649 Diversified Investors Variable Funds -- High Quality Bond
Subaccount................................................ 2,391,719
59,939 Diversified Investors Variable Funds -- High Yield Bond
Subaccount................................................ 825,041
1 Diversified Investors Variable Funds -- Intermediate
Government Bond Subaccount................................ 1
218,543 Diversified Investors Variable Funds -- International Equity
Subaccount................................................ 2,863,193
7,325 Diversified Investors Variable Funds -- Money Market
Subaccount................................................ 138,010
49,783 Diversified Investors Variable Funds -- Special Equity
Subaccount................................................ 1,163,363
161,635 Diversified Investors Variable Funds -- Value & Income
Subaccount................................................ 6,306,560
-----------
Total Investments -- 100.02% (Cost $28,577,677)............. 27,329,335
Liabilities less other assets -- (0.02%).................... (4,675)
-----------
NET ASSETS -- 100.00%....................................... $27,324,660
===========
The aggregate cost of investments for federal income tax purposes at June 30, 2003
is $28,577,677.
The following amount is based on cost for federal income tax purposes:
Gross unrealized appreciation............................... $ 769,312
Gross unrealized depreciation............................... (2,017,654)
-----------
Net unrealized depreciation................................. $(1,248,342)
===========
</Table>
See notes to financial statements.
26
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION
The Diversified Investors Strategic Variable Funds (the "Trust"), a New York
business trust, is registered under the Investment Company Act of 1940 (the
"1940 Act"), as amended, as an open-end management investment company. The Trust
is composed of three different series that are, in effect, separate investment
funds: Short Horizon Strategic Variable Fund, Intermediate Horizon Strategic
Variable Fund, and Intermediate Long Horizon Strategic Variable Fund
(collectively, the "Funds"). The Trust established and designated each of the
Funds as separate series on April 15, 1996. Each Fund seeks to achieve its
investment objective by investing all of its investable assets among the
Diversified Investors Variable Funds ("DIVF"). DIVF is a separate investment
account offering thirteen subaccounts, each with a different investment
objective. DIVF operates as a unit investment trust under the Investment Company
Act of 1940, as amended. The Trust had no assets or operations until January 2,
1997 (commencement of operations).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements.
A. INVESTMENT VALUATION:
The value of each Fund's investment in a corresponding subaccount of DIVF is
valued at the unit value per share of each subaccount determined as of the close
of the New York Stock Exchange on the valuation date.
B. FEDERAL INCOME TAXES:
The operations of the Trust form a part of, and are taxed with, the operations
of Transamerica Financial Life Insurance Company ("TFLIC") (formerly AUSA Life
Insurance Company, Inc. ("AUSA")), a wholly-owned subsidiary of AEGON USA, Inc.
("AEGON"). TFLIC does not expect, based upon current tax law, to incur any
income tax upon the earnings or realized capital gains attributable to the
Trust. Based upon this expectation, no charges are currently being deducted from
the Trust for federal income tax purposes.
C. OPERATING EXPENSES:
The Trust accounts separately for the assets, liabilities and operations of each
Fund. Each Fund will indirectly bear its pro rata share of fees and expenses
incurred by DIVF.
D. OTHER:
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses during the
reporting period. Actual results could differ from those estimates.
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Investment Advisory Agreement with Diversified
Investment Advisors, Inc. (the "Advisor"), an indirect, wholly-owned subsidiary
of AEGON USA, Inc., under which the Advisor provides general investment advice
to each Fund. AEGON USA, Inc., is a financial services holding company whose
primary emphasis is life and health insurance and annuity and investment
products. AEGON USA is an indirect, wholly-owned subsidiary of AEGON N.V., a
Netherlands corporation which is a publicly traded international insurance
group. For providing these services and facilities and for bearing the related
expenses,
27
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
the Advisor receives a monthly fee from each Fund at an annual rate equal to
0.20% of the average daily net assets of each Fund.
The Advisor is also advisor to the DIVF's. In addition, TFLIC deducts a
mortality and expense risk charge at an annual rate equivalent to 1.10%, of the
average daily net assets from the DIVF's. (TFLIC reserves the right to charge
maximum fees of 1.25% upon notice.) Accordingly, the net assets and unit values
of the DIVF's will reflect the management fee and other expenses paid to the
Advisor, as well as the mortality and expense risk charge deducted by TFLIC.
TFLIC bears sales distribution expenses and any other expenses in excess of the
mortality and expense risk charge.
Certain trustees and officers of the Trust are also directors, officers or
employees of the Advisor or its affiliates. None of the trustees so affiliated
receive compensation for services as trustees of the Trust. Similarly, none of
the Trust's officers receive compensation from the Funds.
4. PURCHASES AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales for the
period ended June 30, 2003, were as follows:
<Table>
<Caption>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
Short Horizon Strategic Variable Fund....................... $ 8,821,608 $ 8,490,272
Intermediate Horizon Strategic Variable Fund................ 14,131,098 13,619,109
Intermediate Long Horizon Strategic Variable Fund........... 19,447,065 17,766,191
</Table>
5. GENERAL INDEMNIFICATION
In the normal course of business, the Separate Accounts enter into contracts
that contain a variety of representations and warranties which provide general
indemnifications. The Separate Accounts' maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Separate Accounts that have not yet occurred. However, based on
experience, the Separate Accounts expect the risk of loss to be remote.
6. FINANCIAL HIGHLIGHTS
For an accumulation unit outstanding throughout the period/year:
<Table>
<Caption>
INCOME (LOSS) FROM
INVESTMENT OPERATIONS
---------------------------
NET TOTAL
UNIT REALIZED AND INCOME UNIT NET
FOR THE VALUE, NET UNREALIZED (LOSS) FROM VALUE, ASSETS,
PERIOD/YEAR BEGINNING OF INVESTMENT GAINS (LOSSES) INVESTMENT END OF TOTAL END OF
ENDED PERIOD/YEAR LOSS ON INVESTMENTS OPERATIONS PERIOD/YEAR RETURN PERIOD/YEAR
- ----------- ------------ ---------- -------------- ----------- ----------- ------ -----------
SHORT HORIZON STRATEGIC
VARIABLE FUND
06/30/2003.......................... $13.34 $(0.01) $ 0.51 $ 0.50 $13.84 3.75% $ 9,772,484
12/31/2002.......................... 12.95 (0.03) 0.42 0.39 13.34 3.01 9,085,611
12/31/2001.......................... 12.38 (0.03) 0.60 0.57 12.95 4.60 7,013,073
12/31/2000.......................... 11.63 (0.02) 0.77 0.75 12.38 6.45 3,498,791
12/31/1999.......................... 11.50 (0.02) 0.15 0.13 11.63 1.13 2,523,200
12/31/1998.......................... 10.85 (0.02) 0.67 0.65 11.50 5.99 1,785,312
<Caption>
RATIOS TO AVERAGE
NET ASSETS(B)
---------------------
FOR THE NET PORTFOLIO
PERIOD/YEAR INVESTMENT TURNOVER
ENDED EXPENSES LOSS RATE
- ----------- -------- ---------- ---------
SHORT HORIZON STRATEGIC
VARIABLE FUND
06/30/2003.......................... 0.20%* (0.20)%* 91%
12/31/2002.......................... 0.20 (0.20) 55
12/31/2001.......................... 0.20 (0.20) 68
12/31/2000.......................... 0.20 (0.20) 87
12/31/1999.......................... 0.20 (0.20) 84
12/31/1998.......................... 0.20 (0.20) 223
</Table>
28
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
INCOME (LOSS) FROM
INVESTMENT OPERATIONS
---------------------------
NET TOTAL
UNIT REALIZED AND INCOME UNIT NET
FOR THE VALUE, NET UNREALIZED (LOSS) FROM VALUE, ASSETS,
PERIOD/YEAR BEGINNING OF INVESTMENT GAINS (LOSSES) INVESTMENT END OF TOTAL END OF
ENDED PERIOD/YEAR LOSS ON INVESTMENTS OPERATIONS PERIOD/YEAR RETURN PERIOD/YEAR
- ----------- ------------ ---------- -------------- ----------- ----------- ------ -----------
INTERMEDIATE HORIZON
STRATEGIC VARIABLE FUND
06/30/2003 $12.58 $(0.01) $ 0.87 $ 0.86 $13.44 6.84% $22,064,071
12/31/2002 13.67 (0.03) (1.06) (1.09) 12.58 (7.97) 20,134,380
12/31/2001 14.16 (0.03) (0.46) (0.49) 13.67 (3.46) 21,693,802
12/31/2000 14.35 (0.03) (0.16) (0.19) 14.16 (1.32) 18,239,055
12/31/1999 12.68 (0.03) 1.70 1.67 14.35 13.17 15,953,762
12/31/1998 11.41 (0.02) 1.29 1.27 12.68 11.13 8,820,613
INTERMEDIATE LONG HORIZON
STRATEGIC VARIABLE FUND
06/30/2003 12.39 (0.01) 0.98 0.97 13.36 7.83 27,324,660
12/31/2002 14.28 (0.03) (1.86) (1.89) 12.39 (13.24) 23,622,845
12/31/2001 15.34 (0.03) (1.03) (1.06) 14.28 (6.91) 26,797,935
12/31/2000 15.99 (0.03) (0.62) (0.65) 15.34 (4.07) 25,424,342
12/31/1999 13.48 (0.03) 2.54 2.51 15.99 18.62 20,592,888
12/31/1998 11.88 (0.02) 1.62 1.60 13.48 13.47 11,296,845
<Caption>
RATIOS TO AVERAGE
NET ASSETS(B)
---------------------
FOR THE NET PORTFOLIO
PERIOD/YEAR INVESTMENT TURNOVER
ENDED EXPENSES LOSS RATE
- ----------- -------- ---------- ---------
INTERMEDIATE HORIZON
STRATEGIC VARIABLE FUND
06/30/2003 0.20%* (0.20)%* 67%
12/31/2002 0.20 (0.20) 53
12/31/2001 0.20 (0.20) 92
12/31/2000 0.20 (0.20) 98
12/31/1999 0.20 (0.20) 81
12/31/1998 0.20 (0.20) 129
INTERMEDIATE LONG HORIZON
STRATEGIC VARIABLE FUND
06/30/2003 0.20%* (0.20)%* 71
12/31/2002 0.20 (0.20) 49
12/31/2001 0.20 (0.20) 44
12/31/2000 0.20 (0.20) 59
12/31/1999 0.20 (0.20) 72
12/31/1998 0.20 (0.20) 143
</Table>
- ---------------
* Annualized.
(b) Ratios exclude expenses incurring by the underlying Fund.
7. INVESTMENTS IN AFFILIATES
The market value of investments in affiliates (as defined in the Investment
Company Act of 1940, "Affiliated Companies" are those in which the Trust is
under common control with an affiliated entity) at June 30, 2003 totaled
$9,774,148, $22,068,426 and $27,329,335, for the Short Horizon Strategic
Variable Fund, Intermediate Horizon Strategic Variable Fund, and Intermediate
Long Horizon Strategic Variable Fund, respectively.
29
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. INVESTMENTS IN AFFILIATES (CONTINUED)
Affiliates and the gain/(loss) from sales of affiliates are as follows:
<Table>
<Caption>
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN/(LOSS)
SHARES PURCHASED SOLD SHARES COST COST ON SALES
--------- --------- ------- ------- ----------- ----------- -----------
SHORT HORIZON STRATEGIC VARIABLE FUND INVESTMENTS:
- -------------------------------------------------
Diversified Investors Variable Funds -- Core
Bond Subaccount........................... 95,555 83,362 -- 178,917 $ 2,462,524 $ -- $ --
Diversified Investors Variable
Funds -- Equity Growth Subaccount......... -- 8,273 -- 8,273 324,218 -- --
Diversified Investors Variable
Funds -- Growth & Income Subaccount....... -- 6,264 -- 6,264 122,924 -- --
Diversified Investors Variable Funds -- High
Quality Bond Subaccount................... 127,443 55,088 109 182,422 792,127 1,222 345
Diversified Investors Variable Funds -- High
Yield Bond Subaccount..................... 75,194 -- 10,809 64,385 -- 129,082 16,676
Diversified Investors Variable
Funds -- Intermediate Government Bond
Subaccount................................ 90,906 -- 90,905 1 1 1,607,157 221,171
Diversified Investors Variable
Funds -- International Equity
Subaccount................................ -- 11,179 -- 11,179 146,960 -- --
Diversified Investors Variable
Funds -- Money Market Subaccount.......... 52,242 260,783 311,478 1,547 4,912,524 5,865,148 2,560
Diversified Investors Variable
Funds -- Special Equity Subaccount........ -- 2,565 -- 2,565 58,701 -- --
Diversified Investors Variable
Funds -- Value & Income Subaccount........ 24,611 42 16,374 8,279 1,629 662,013 (15,102)
----------- ----------- ---------
$ 8,821,608 $ 8,264,622 $ 225,650
=========== =========== =========
<Caption>
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN/(LOSS)
SHARES PURCHASED SOLD SHARES COST COST ON SALES
--------- --------- ------- ------- ----------- ----------- -----------
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
- --------------------------------------------
INVESTMENTS:
Diversified Investors Variable
Funds -- Aggressive Equity Subaccount..... 58,379 -- 58,378 1 $ -- $ 966,248 $(320,413)
Diversified Investors Variable Funds -- Core
Bond Subaccount........................... 176,521 68,001 20,584 223,938 2,008,723 479,864 104,784
Diversified Investors Variable
Funds -- Equity Growth Subaccount......... 39,805 53,277 -- 93,082 2,087,761 -- --
Diversified Investors Variable
Funds -- Growth & Income Subaccount....... 88,819 85 17,674 71,230 1,665 600,136 (253,161)
Diversified Investors Variable Funds -- High
Quality Bond Subaccount................... 140,310 86,308 -- 226,618 1,241,017 -- --
Diversified Investors Variable Funds -- High
Yield Bond Subaccount..................... 169,818 -- 89,233 80,585 -- 1,071,713 129,796
Diversified Investors Variable
Funds -- Intermediate Government Bond
Subaccount................................ 51,325 -- 51,324 1 1 902,499 129,769
Diversified Investors Variable
Funds -- International Equity
Subaccount................................ 116,220 9,701 -- 125,921 127,549 -- --
Diversified Investors Variable
Funds -- Money Market Subaccount.......... 2,676 439,515 435,468 6,723 8,278,791 8,202,470 403
Diversified Investors Variable
Funds -- Special Equity Subaccount........ 98,812 -- 70,114 28,698 -- 1,952,102 (347,101)
Diversified Investors Variable
Funds -- Value & Income Subaccount........ 83,370 9,776 -- 93,146 385,591 -- --
----------- ----------- ---------
$14,131,098 $14,175,032 $(555,923)
=========== =========== =========
</Table>
30
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. INVESTMENTS IN AFFILIATES (CONTINUED)
Affiliates and the gain/(loss) from sales of affiliates are as follows:
<Table>
<Caption>
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN/(LOSS)
SHARES PURCHASED SOLD SHARES COST COST ON SALES
--------- --------- ------- ------- ----------- ----------- -----------
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
- -------------------------------------------------
INVESTMENTS:
Diversified Investors Variable
Funds -- Aggressive Equity Subaccount..... 91,185 5,923 97,107 1 $ 60,696 $ 1,463,468 $(389,179)
Diversified Investors Variable Funds -- Core
Bond Subaccount........................... 101,120 72,941 7,501 166,560 2,146,661 174,006 38,841
Diversified Investors Variable
Funds -- Equity Growth Subaccount......... 66,614 95,057 148 161,523 3,719,572 5,781 1
Diversified Investors Variable
Funds -- Growth & Income Subaccount....... 143,065 7,297 26,664 123,698 132,782 642,071 (118,750)
Diversified Investors Variable Funds -- High
Quality Bond Subaccount................... 80,076 87,161 588 166,649 1,252,832 6,686 1,770
Diversified Investors Variable Funds -- High
Yield Bond Subaccount..................... 159,148 -- 99,209 59,939 -- 1,185,725 147,278
Diversified Investors Variable
Funds -- Intermediate Government Bond
Subaccount................................ 60,126 2,393 62,518 1 47,602 1,063,974 193,410
Diversified Investors Variable
Funds -- International Equity
Subaccount................................ 194,496 24,214 167 218,543 299,519 2,397 (191)
Diversified Investors Variable
Funds -- Money Market Subaccount.......... 2,943 564,813 560,431 7,325 10,639,055 10,556,401 815
Diversified Investors Variable
Funds -- Special Equity Subaccount........ 162,056 9,681 121,954 49,783 196,332 3,112,413 (320,726)
Diversified Investors Variable
Funds -- Value & Income Subaccount........ 136,731 24,904 -- 161,635 952,014 -- --
----------- ----------- ---------
$19,447,065 $18,212,922 $(446,731)
=========== =========== =========
</Table>
31
SIX MONTHS ENDED JUNE 30, 2003
ECONOMIC OVERVIEW
During the first six months of 2003, the economy seemed to be struggling toward
recovery, but it was unsteady going by most counts. The picture was clouded at
the beginning of the year due to the Iraqi situation, but became somewhat
clearer as it appeared the conflict would not be prolonged. Signals of true
economic recovery remained elusive, however, as unemployment continued to climb,
corporations continued to cut spending and consumer confidence lagged. Economic
stimulus came in the form of a growing budget deficit and a falling U.S. dollar,
capped off by a 25 basis point, end-of-quarter interest rate cut by the Federal
Reserve.
The stock market rally that began in late March continued through most of the
second quarter. By June 30, the broad U.S. market was strongly positive, with
most major indices posting double-digit gains for the second quarter, more than
compensating for the losses from the first three months. Small capitalization
stocks outperformed large cap stocks, with small growth in particular being the
best performing market segment. International stock indices were also strongly
positive.
The second quarter rally was fueled by investors' risk-taking. Stocks that
posted the biggest gains were speculative in nature, often with little or no
earnings. The highest returning sectors were those that had been beaten down the
most by the recent bear market, coming from very deep lows.
The bond market also had favorable results, continuing its upward trend. Yields
on bonds continued to fall as the Federal Reserve announced an interest rate cut
at the end of the period. While investors sought the safety of government bonds
during the first quarter, given the uncertainty that prevailed at that time, by
the second quarter, riskier issues were rewarded, with corporate and high yield
bonds posting impressive returns.
MONEY MARKET FUND
The portfolio's performance largely tracks the movement in the Federal Reserve's
U.S. federal-funds target rate with a lagged effect. Thus, the average portfolio
yield declined modestly since the end of 2002 due to the portfolio reinvesting
the proceeds of maturing higher yielding investments at successively lower
yields as money market rates have fallen. In that a money market fund's
opportunities and rewards for deviating much from the norm are usually limited,
there were not many ways to generate superior performance over the six-month
period. The portfolio manager emphasized extending the Fund's weighted-average
maturity before the market priced in the Fed's June 25 quarter-point ease and
increased the Fund's exposure to high-quality, liquid U.S. Government Agency
securities.
HIGH QUALITY BOND FUND
The fund invests in debt issued by the U.S. Government and its agencies as well
as asset-backed and corporate fixed income securities. The fund posted strong
returns for the first six months of 2003, was helped by tightening corporate
bond spreads and, during the second quarter, the portfolio's slightly
longer-than-index duration. Sector selection was a positive contributor to
returns. The portfolio manager increased the fund's allocation to asset-backed
securities, as spreads were near all time highs, particularly for top tier
"on-the-run" issuers. Allocations to the mortgage sector were also increased,
despite fast prepayments of residential mortgages. Internationally, certain
highly rated issuers provided the portfolio with added liquidity, representing a
good source of diversification from domestic issuers at attractive spreads.
INTERMEDIATE GOVERNMENT BOND FUND
The fund, which invests almost exclusively in U.S. Government and Agency fixed
income securities as well as money market instruments, had strong absolute
performance. Returns were aided primarily by declining interest rates. Relative
to its 100% Government benchmark, however, the fund's underweight to Treasury
securities hindered performance.
32
CORE BOND FUND
The fund's investment strategy expands on the more traditional investable fixed
income universe, creating a diversified portfolio that includes some exposure to
below-investment grade ("high yield"), non-dollar and emerging market securities
on an opportunistic basis. For the first six months of 2003, the fund was buoyed
by the health of the bond markets generally. In particular, positive effects on
performance included allocations to emerging markets and high yield sectors,
along with the substitution of Treasuries for selected non-U.S. sovereign debt.
In high yield markets, declining default rates and spreads, which are still wide
by historical standards, should continue to support valuations. The emerging
sector has already benefited from the tremendous performance of Russia and Latin
America, and emerging markets have outperformed all other fixed income sectors
over the last two years. While the manager's duration positioning aided returns
during the first quarter, the second quarter's shorter-than-benchmark duration
positioning adversely affected performance.
HIGH YIELD BOND FUND
In a reversal from recent years, the high yield market posted significant gains
for the first six months of 2003. High yield bonds, which tend to perform like
equities, benefited from the same factors. Because risk was rewarded during the
second quarter, the fund's slightly conservative positioning versus the index
caused some underperformance, although the portfolio manager increased the
fund's exposure to lower rated issues given expectations for continued
improvement in the capital markets and better earnings fundamentals which should
lead to improved credit ratings. An underweighting to distressed securities hurt
relative performance, particularly during the second quarter.
BALANCED
This fund uses one equity manager and one fixed income manager. The fixed income
portion of the fund's investment strategy expands on the more traditional
investable fixed income universe, creating a diversified portfolio that includes
some exposure to below-investment grade ("high yield"), non-dollar and emerging
market securities on an opportunistic basis. For the first six months of 2003,
the fund was buoyed by the health of the bond markets, generally. In particular,
positive effects on performance included allocations to emerging markets and
high yield sectors, along with the substitution of Treasuries for selected
non-U.S. sovereign debt. In high yield markets, declining default rates and
spreads, which are still wide by historical standards, should continue to
support valuations. The emerging sector has already benefited from the
tremendous performance of Russia and Latin America, and emerging markets have
outperformed all other fixed income sectors over the last two years. While the
manager's duration positioning aided returns during the first quarter, the
second quarter's shorter-than-benchmark duration positioning adversely affected
performance.
The equity portion of the fund is managed using a quantitative model that is
designed to track the S&P 500 Index. The sub-advisor's investment process is
based on the historical relationship between individual stock fundamentals and
relative performance. Portfolios are built to maximize exposure to companies
with strong business momentum and a high quality of earnings; companies that are
attractive based on their valuation; and companies that are being recognized in
the marketplace for their attractive qualities as evidenced by such factors as
strong relative performance, positive earnings revisions by analysts, and low
levels of short interest. Conversely, the model is designed exposure to stocks
that score poorly in these areas. For the first six months of 2003, this portion
of the portfolio was negatively impacted by the volatility of the market and the
surprising turnaround in investor sentiment.
VALUE & INCOME FUND
The fund is managed by two sub-advisors with unique and complementary investment
approaches to value investing. There was one sub-advisory change during the
period, as a result of a portfolio manager's pending retirement. Certain
holdings that did well during the first quarter detracted from performance
during the second quarter. In the financial services sector, for instance, Cigna
lagged the market, reflecting investors'
33
anxiety over management's ability to successfully negotiate new contracts with
HMO customers. Meanwhile, stock selection in the consumer staples sector, which
detracted from relative returns during the first quarter, contributed to
performance during the second. The turnaround was most pronounced with the
portfolio's position in Altria. This stock, which rose almost 54% for the three
months ended June, benefited from the dismissal of the Engle class action suit
in Florida, which has far-reaching implications for future tobacco class action
lawsuits. Also in the second quarter, holdings to securities such as Freddie Mac
detracted from performance as the company and others in the industry came under
scrutiny for overstatement of past years' earnings.
GROWTH & INCOME FUND
Two sub-advisors, each of whom has a specific role, manage the fund. The
structured core component is managed using a quantitative model that is designed
to track the S&P 500 Index closely, while the enhanced component is designed to
add value over the benchmark. The Fund's discipline of investing in companies
with positive or improving economic profit (achieving a return on invested
capital in excess of the cost of capital) resulted in an underweight to the
second quarter's best performing technology and telecom sectors. Additionally,
the fund's model-driven core component was negatively impacted by the volatility
of the market and the surprising turnaround in investor sentiment.
EQUITY GROWTH FUND
The fund is managed by three sub-advisors, each of whom has a specific role in
the fund. Stock selection was additive during the first quarter, but detracted
from performance during the second quarter. Additionally, the relative
conservative positioning of the core sub-advisor, who oversees approximately 50%
of portfolio assets, hurt returns during the three-month period ended June 30.
More specifically, relative performance was negatively impacted by an overweight
in Consumer Staples and underweights in Technology and Consumer Discretionary.
The fund benefited somewhat from holdings in certain biotechnology holdings,
including Genentech, which was up significantly in the second quarter on strong
earnings and a friendlier FDA position.
MID-CAP VALUE
The fund's sub-advisor invests in neglected, inefficiently priced stocks that
possess strong fundamentals. In-depth research resulted in several strong stock
selections during the first six months of 2003, including Everest Re Group,
whose share price not only rebounded from its recent weakness, but moved to new
highs after reporting very strong first quarter earnings. These results
reflected the benefits of both the favorable pricing environment as well as
effective cost control. Pacific Gas & Electric Corporation, California's largest
electric utility, was also a top contributor to the fund's performance, as the
company announced a settlement with the California Public Utility Commission.
Selections that detracted from performance included those that reported earnings
shortfalls, including Avery Dennison, a manufacturer of pressure-sensitive
materials and specialty adhesives. Additionally, the portfolio's relative
overweighting to the consumer staple and industrial sectors detracted from
performance.
MID-CAP GROWTH
The sub-advisor's investment philosophy is to seek quality growth companies,
sensitive to valuations. Stock selection added to performance during the first
quarter, but detracted from returns during the second quarter, as the market
favored riskier stocks. Sector allocations were a negative factor as the
sub-advisor continues to underweight the high beta technology sector and
overweights the energy sector, on the belief that projected natural gas
shortages will lead to higher prices in the near future.
34
SMALL-CAP VALUE
The fund posted high absolute returns for the first six months of 2003, which
was the result of a very strong second quarter for small capitalization stocks.
The fund's sub-advisor uses normalized earnings to derive a stock's intrinsic
value, and then compares it to current market price to make portfolio decisions.
This strong earnings focus meant that the fund did not participate to the
fullest extent possible in the market rally, particularly in the healthcare and
technology sectors where the most speculative companies drove index returns.
SPECIAL EQUITY
The fund is managed by five sub-advisors: two small-cap growth managers, two
small-cap value managers, and one small-cap core manager. The fund produced high
absolute returns for the quarter and the six months ended June 30, During the
first three months, stock selection was beneficial to returns. The fund's
holding in Healthsouth, however, was detrimental to returns. The fund entered
the second quarter positioned for a slow economic recovery. Despite positive
sector allocations, the fund did not fully participate in the rally of the
second quarter, which was speculative in nature, with the smallest and lowest
quality securities leading the market. The fund's sub-advisors typically invest
in liquid, profitable and higher quality stocks.
SMALL-CAP GROWTH
Small capitalization growth stocks were the strongest performing market segment
for the first six months of 2003. While the fund had strong absolute returns, it
did not participate fully in the market rally. The fund's sub-advisor seeks
sustainable growth with reasonable valuations. The portfolio had been positioned
to take advantage of improving consumer, rather than corporate, spending and was
underweighted to technology stocks going into the second quarter. This detracted
from returns significantly. And while stock selection aided performance during
the first three months of 2003, the sub-advisor's more conservative positioning,
focusing on earnings and liquidity, detracted from returns.
AGGRESSIVE EQUITY
The fund's sub-advisor uses a quantitative model that benefits from market
trends, favoring companies with strong relative risk adjusted returns and
accelerating earnings growth. Given the market's gyrations, however, the fund
did not participate fully in the stock market rally. The portfolio manager's
investment process attempts to be sector balanced, in that any over or under
weight positions are modest and are within risk control guidelines. Sector
selection remained positive, with overweights to healthcare, information
technology and consumer discretionary stocks. Negative relative performance was
the result of stock selection in the Industrials and Basic Materials sectors,
which included 3M Company.
INTERNATIONAL EQUITY
Many of the stocks that hurt the portfolio in the first quarter came back and
contributed to returns in the second. Improved investor sentiment and renewed
access to the capital markets aided large holdings in insurance and other
financials, media, and technology. Research convictions in European retail
banking continued to be additive, and stock selection in pharmaceuticals and
energy was helpful. The impact of the strong euro and the sluggish economy hurt
several of the fund's holdings in the global consumer staples and consumer
discretionary groups. Additionally, in such an indiscriminate rally, not owning
some of the lower-quality companies whose stock prices surged during the quarter
modestly hindered relative returns.
35
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
------------ ------------ ------------ -------------- ------------ --------------
ASSETS:
Securities, at cost............... $921,257,325 $575,296,726 $314,056,986 $1,422,152,443 $402,608,290 $1,782,360,415
============ ============ ============ ============== ============ ==============
Securities, at value, including
securities loaned (Note 4)...... $921,257,325 $585,286,928 $325,249,996 $1,457,358,038 $415,663,496 $1,842,357,051
Repurchase agreements (cost equals
market)......................... 347 7,476,408 197,846 413,963,485 41,064,301 38,435,540
Cash.............................. 355 1,039 515,278 15,530 1,721 8,386
Receivable for securities sold.... -- -- -- 226,796,606 43,679,297 17,146,969
Receivable for principal
paydowns........................ -- 948 -- -- -- --
Unrealized appreciation on foreign
currency forward contracts...... -- -- -- 420,788 72,951 --
Variation margin.................. -- -- -- -- -- --
Interest receivable............... 2,865,046 4,573,672 2,800,634 15,170,514 1,550,515 2,721
Dividends receivable.............. -- -- -- -- 362,556 3,802,651
Receivable from Advisor........... -- -- -- -- 866 --
Receivable from securities
lending......................... -- 288 -- 23,605 5,437 8,679
------------ ------------ ------------ -------------- ------------ --------------
Total assets...................... 924,123,073 597,339,283 328,763,754 2,113,748,566 502,401,140 1,901,761,997
------------ ------------ ------------ -------------- ------------ --------------
LIABILITIES:
Due to custodian.................. -- -- 12,811 -- -- --
Collateral for securities
loaned.......................... -- 5,105,000 11,427,000 142,707,860 22,256,252 69,844,222
Payable for securities
purchased....................... -- 250,462 20,827,708 502,713,752 67,113,641 23,605,570
Securities sold short and options,
at value (proceeds/premium
$21,298,428 and $9,364,018,
respectively)................... -- -- -- 21,221,159 9,341,703 --
Unrealized depreciation on foreign
currency forward contracts...... -- -- -- 1,488,322 227,880 --
Variation margin.................. -- -- -- 749,625 53,828 --
Investment advisory fees.......... 195,605 168,204 97,080 412,418 157,593 701,063
Accrued expenses.................. 71,257 54,493 49,264 93,129 107,139 116,839
------------ ------------ ------------ -------------- ------------ --------------
Total liabilities................. 266,862 5,578,159 32,413,863 669,386,265 99,258,036 94,267,694
------------ ------------ ------------ -------------- ------------ --------------
NET ASSETS........................ $923,856,211 $591,761,124 $296,349,891 $1,444,362,301 $403,143,104 $1,807,494,303
============ ============ ============ ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-in capital................... $923,856,211 $581,770,922 $285,156,881 $1,408,935,400 $390,088,095 $1,747,497,667
Net unrealized appreciation
(depreciation) on securities.... -- 9,990,202 11,193,010 35,205,595 13,055,206 59,996,636
Net unrealized appreciation
(depreciation) on futures,
options and short sales......... -- -- -- 1,005,531 119,800 --
Net unrealized appreciation
(depreciation) on translation of
assets and liabilities in
foreign currencies.............. -- -- -- (784,225) (119,997) --
------------ ------------ ------------ -------------- ------------ --------------
NET ASSETS........................ $923,856,211 $591,761,124 $296,349,891 $1,444,362,301 $403,143,104 $1,807,494,303
============ ============ ============ ============== ============ ==============
</Table>
See notes to financial statements.
36
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY
------------ -------------- ------------ ------------ ----------- -------------- ----------- ------------
$872,215,453 $1,587,473,723 $112,648,025 $119,080,382 $58,054,458 $ 934,454,500 $54,706,308 $332,339,913
============ ============== ============ ============ =========== ============== =========== ============
903,876,633
$ $1,574,927,356 $122,326,314 $125,646,407 $61,745,953 $1,069,555,370 $60,445,623 $380,256,681
22,998,278 55,167,531 5,883,588 3,276,276 2,639,648 24,537,801 3,245,394 2,850,893
1,274 11,178 637 1,128 367 56,637 545 7,180
9,391,312 8,802,544 1,451,643 1,029,785 -- 12,451,833 -- --
-- -- -- -- -- -- -- --
-- 14,068 -- -- -- -- -- --
-- -- -- -- -- 13,200 -- --
1,138 3,213 357 611 197 3,858 291 2,147
948,536 1,083,251 99,366 26,913 87,727 568,075 26,070 24,125
-- -- 23,010 27,241 4,636 -- 3,503 16,720
27,450 15,991 1,572 823 478 51,384 1,218 8,587
------------ -------------- ------------ ------------ ----------- -------------- ----------- ------------
937,244,621 1,640,025,132 129,786,487 130,009,184 64,479,006 1,107,238,158 63,722,644 383,166,333
------------ -------------- ------------ ------------ ----------- -------------- ----------- ------------
-- -- -- -- -- -- -- --
23,978,009 75,046,493 8,515,776 19,738,867 5,182,110 121,727,013 8,115,911 75,913,164
14,810,991 6,703,868 1,829,681 993,298 -- 18,238,664 131,170 1,261,632
-- -- -- -- -- -- -- --
-- 3,849 -- -- -- -- -- --
-- -- -- -- -- -- -- --
464,392 803,973 62,417 62,055 37,332 679,448 37,292 259,868
105,171 110,762 40,686 41,933 35,221 89,615 34,776 72,321
------------ -------------- ------------ ------------ ----------- -------------- ----------- ------------
39,358,563 82,668,945 10,448,560 20,836,153 5,254,663 140,734,740 8,319,149 77,506,985
------------ -------------- ------------ ------------ ----------- -------------- ----------- ------------
$897,886,058 $1,557,356,187 $119,337,927 $109,173,031 $59,224,343 $ 966,503,418 $55,403,495 $305,659,348
============ ============== ============ ============ =========== ============== =========== ============
$866,224,878 $1,569,891,691 $109,659,638 $102,607,006 $55,532,848 $ 831,443,737 $49,664,180 $257,742,580
31,661,180 (12,546,367) 9,678,289 6,566,025 3,691,495 135,100,870 5,739,315 47,916,768
-- -- -- -- -- (41,189) -- --
-- 10,863 -- -- -- -- -- --
------------ -------------- ------------ ------------ ----------- -------------- ----------- ------------
$897,886,058 $1,557,356,187 $119,337,927 $109,173,031 $59,224,343 $ 966,503,418 $55,403,495 $305,659,348
============ ============== ============ ============ =========== ============== =========== ============
<Caption>
HIGH YIELD INTERNATIONAL
BOND EQUITY
------------ -------------
$205,368,949 $881,975,968
============ ============
$212,925,845 $827,932,697
2,144,014 23,573,457
-- 113,739
1,784,265 400,071
-- --
-- 2,247,491
-- --
4,627,617 169,068
61,637 1,811,036
1,376 --
115 35,391
------------ ------------
221,544,869 856,282,950
------------ ------------
-- --
-- 84,256,399
9,434,908 1,018,652
-- --
-- 6,277
-- --
105,389 509,799
43,664 144,608
------------ ------------
9,583,961 85,935,735
------------ ------------
$211,960,908 $770,347,215
============ ============
$204,404,012 $822,102,281
7,556,896 (54,043,271)
-- --
-- 2,288,205
------------ ------------
$211,960,908 $770,347,215
============ ============
</Table>
37
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE &
MARKET QUALITY BOND BOND BOND BALANCED INCOME
---------- ------------ ------------ ------------ ----------- ------------
INVESTMENT INCOME:
Interest income......................... $7,083,159 $9,058,371 $ 6,504,503 $ 22,664,296 $ 3,087,518 $ 435,771
Securities lending income (net)......... -- 4,161 9,847 103,057 11,632 45,161
Dividend income......................... -- -- -- -- 2,119,046 21,218,393
Less: withholding taxes................. -- -- -- -- -- (46,593)
---------- ---------- ----------- ------------ ----------- ------------
Total income............................ 7,083,159 9,062,532 6,514,350 22,767,353 5,218,196 21,652,732
---------- ---------- ----------- ------------ ----------- ------------
EXPENSES:
Investment advisory fees................ 1,147,044 829,939 652,855 1,975,500 851,292 3,656,882
Custody fees............................ 94,329 56,731 42,832 175,361 118,182 169,144
Professional fees....................... 14,587 13,235 12,911 15,910 13,825 19,818
Reports to shareholders................. 4,071 2,058 1,876 2,040 676 5,088
Miscellaneous fees...................... 2,172 1,039 883 2,471 898 3,813
---------- ---------- ----------- ------------ ----------- ------------
Total expenses.......................... 1,262,203 903,002 711,357 2,171,282 984,873 3,854,745
Expenses reimbursed by the advisor...... -- -- -- -- (38,461) --
---------- ---------- ----------- ------------ ----------- ------------
Net expenses............................ 1,262,203 903,002 711,357 2,171,282 946,412 3,854,745
---------- ---------- ----------- ------------ ----------- ------------
Net investment income (loss)............ 5,820,956 8,159,530 5,802,993 20,596,071 4,271,784 17,797,987
---------- ---------- ----------- ------------ ----------- ------------
NET REALIZED AND UNREALIZED GAINS
(LOSSES) ON SECURITIES, FUTURES,
OPTIONS, SHORT SALES AND FOREIGN
CURRENCIES:
Net realized gains (losses) on
securities............................ 1,764 1,000,124 3,362,995 31,777,652 (8,604,087) (45,413,882)
Net realized gains (losses) on futures,
options and short sales............... -- -- -- (13,243,718) (783,578) --
Net realized gains (losses) on foreign
currency transactions................. -- -- -- (7,266,858) (1,113,543) --
Net change in unrealized appreciation
(depreciation) on securities.......... -- (91,556) (2,371,037) 9,165,114 35,452,775 177,999,612
Net change in unrealized appreciation on
futures, options and short sales...... -- -- -- 6,697,319 635,104 --
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities in foreign
currencies............................ -- -- -- (47,105) 72,484 --
---------- ---------- ----------- ------------ ----------- ------------
Net realized and unrealized gains on
securities, futures, options, short
sales and foreign currencies.......... 1,764 908,568 991,958 27,082,404 25,659,155 132,585,730
---------- ---------- ----------- ------------ ----------- ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $5,822,720 $9,068,098 $ 6,794,951 $ 47,678,475 $29,930,939 $150,383,717
========== ========== =========== ============ =========== ============
</Table>
See notes to financial statements.
38
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
$ 44,673 $ 52,646 $ 8,702 $ 5,760 $ 2,576 $ 496,899 $ 4,618 $ 5,703
15,439 49,016 4,014 4,377 1,251 216,998 2,626 31,740
6,601,587 6,469,585 410,732 101,067 197,995 4,119,186 62,761 843,736
-- (79,364) (769) (498) -- (3,084) (944) --
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
6,661,699 6,491,883 422,679 110,706 201,822 4,829,999 69,061 881,179
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
2,498,133 3,904,823 226,608 231,809 120,816 3,980,717 119,087 1,516,973
122,235 146,547 30,063 33,894 25,698 176,534 26,607 55,179
15,584 17,207 10,510 10,519 8,252 20,068 8,250 12,391
21,763 4,178 384 342 52 6,773 58 997
1,972 2,921 93 98 73 2,422 78 758
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
2,659,687 4,075,676 267,658 276,662 154,891 4,186,514 154,080 1,586,298
-- -- (29,520) (33,820) (28,709) -- (29,916) (21,534)
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
2,659,687 4,075,676 238,138 242,842 126,182 4,186,514 124,164 1,564,764
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
4,002,012 2,416,207 184,541 (132,136) 75,640 643,485 (55,103) (683,585)
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
(40,819,189) (49,446,433) (478,647) 987,394 917,035 (9,828,561) 123,438 (7,872,482)
21,824 -- -- -- -- 1,144,200 -- --
-- (242,297) -- -- -- -- -- --
115,991,327 196,701,038 11,190,298 6,379,695 4,499,596 155,768,447 4,730,986 43,171,004
153,731 -- -- -- -- 85,605 -- --
-- 10,435 -- -- -- -- -- --
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
75,347,693 147,022,743 10,711,651 7,367,089 5,416,631 147,169,691 4,854,424 35,298,522
------------ ------------ ----------- ---------- ---------- ------------ ---------- -----------
$ 79,349,705 $149,438,950 $10,896,192 $7,234,953 $5,492,271 $147,813,176 $4,799,321 $34,614,937
============ ============ =========== ========== ========== ============ ========== ===========
<Caption>
HIGH YIELD INTERNATIONAL
BOND EQUITY
----------- -------------
$11,424,652 $ 83,191
-- 204,946
138,032 11,555,869
-- (1,471,053)
----------- ------------
11,562,684 10,372,953
----------- ------------
640,342 2,586,212
47,698 413,912
12,199 16,953
1,005 2,701
574 1,644
----------- ------------
701,818 3,021,422
(2,490) --
----------- ------------
699,328 3,021,422
----------- ------------
10,863,356 7,351,531
----------- ------------
8,394,617 (35,797,081)
-- --
-- 3,172,475
14,662,003 84,512,828
-- --
-- 603,882
----------- ------------
23,056,620 52,492,104
----------- ------------
$33,919,976 $ 59,843,635
=========== ============
</Table>
39
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE &
MARKET QUALITY BOND BOND BOND BALANCED INCOME
--------------- ------------- ------------- -------------- ------------ --------------
FROM OPERATIONS:
Net investment income (loss)... $ 5,820,956 $ 8,159,530 $ 5,802,993 $ 20,596,071 $ 4,271,784 $ 17,797,987
Net realized gains (losses) on
securities................... 1,764 1,000,124 3,362,995 31,777,652 (8,604,087) (45,413,882)
Net realized gains (losses) on
futures, options and short
sales........................ -- -- -- (13,243,718) (783,578) --
Net realized gains (losses) on
foreign currency
transactions................. -- -- -- (7,266,858) (1,113,543) --
Net change in unrealized
appreciation (depreciation)
on securities................ -- (91,556) (2,371,037) 9,165,114 35,452,775 177,999,612
Net change in unrealized
appreciation on futures,
options and short sales...... -- -- -- 6,697,319 635,104 --
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign
currencies................... -- -- -- (47,105) 72,484 --
--------------- ------------- ------------- -------------- ------------ --------------
Net increase in net assets
resulting from operations.... 5,822,720 9,068,098 6,794,951 47,678,475 29,930,939 150,383,717
--------------- ------------- ------------- -------------- ------------ --------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital
invested..................... 2,958,409,792 278,220,991 86,305,588 578,215,012 42,004,823 401,602,481
Value of capital withdrawn..... (2,905,149,247) (134,542,983) (154,756,038) (181,155,790) (44,538,270) (297,651,700)
--------------- ------------- ------------- -------------- ------------ --------------
Net increase (decrease) in net
assets resulting from capital
transactions................. 53,260,545 143,678,008 (68,450,450) 397,059,222 (2,533,447) 103,950,781
--------------- ------------- ------------- -------------- ------------ --------------
Net increase (decrease) in net
assets....................... 59,083,265 152,746,106 (61,655,499) 444,737,697 27,397,492 254,334,498
NET ASSETS:
Beginning of period............ 864,772,946 439,015,018 358,005,390 999,624,604 375,745,612 1,553,159,805
--------------- ------------- ------------- -------------- ------------ --------------
End of period.................. $ 923,856,211 $ 591,761,124 $ 296,349,891 $1,444,362,301 $403,143,104 $1,807,494,303
=============== ============= ============= ============== ============ ==============
</Table>
See notes to financial statements.
40
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY
------------- -------------- ------------ ------------ ----------- -------------- ----------- -------------
$ 4,002,012 $ 2,416,207 $ 184,541 $ (132,136) $ 75,640 $ 643,485 $ (55,103) $ (683,585)
(40,819,189) (49,446,433) (478,647) 987,394 917,035 (9,828,561) 123,438 (7,872,482)
21,824 -- -- -- -- 1,144,200 -- --
-- (242,297) -- -- -- -- -- --
115,991,327 196,701,038 11,190,298 6,379,695 4,499,596 155,768,447 4,730,986 43,171,004
153,731 -- -- -- -- 85,605 -- --
-- 10,435 -- -- -- -- -- --
------------- -------------- ------------ ------------ ----------- -------------- ----------- -------------
79,349,705 149,438,950 10,896,192 7,234,953 5,492,271 147,813,176 4,799,321 34,614,937
------------- -------------- ------------ ------------ ----------- -------------- ----------- -------------
224,196,942 431,697,039 73,404,694 64,141,366 37,257,601 328,089,646 35,303,406 107,461,205
(205,282,092) (170,668,885) (12,592,339) (6,474,045) (1,445,755) (515,358,262) (1,220,687) (148,716,393)
------------- -------------- ------------ ------------ ----------- -------------- ----------- -------------
18,914,850 261,028,154 60,812,355 57,667,321 35,811,846 (187,268,616) 34,082,719 (41,255,188)
------------- -------------- ------------ ------------ ----------- -------------- ----------- -------------
98,264,555 410,467,104 71,708,547 64,902,274 41,304,117 (39,455,440) 38,882,040 (6,640,251)
799,621,503 1,146,889,083 47,629,380 44,270,757 17,920,226 1,005,958,858 16,521,455 312,299,599
------------- -------------- ------------ ------------ ----------- -------------- ----------- -------------
$ 897,886,058 $1,557,356,187 $119,337,927 $109,173,031 $59,224,343 $ 966,503,418 $55,403,495 $ 305,659,348
============= ============== ============ ============ =========== ============== =========== =============
<Caption>
HIGH YIELD INTERNATIONAL
BOND EQUITY
------------- ---------------
$ 10,863,356 $ 7,351,531
8,394,617 (35,797,081)
-- --
-- 3,172,475
14,662,003 84,512,828
-- --
-- 603,882
------------- ---------------
33,919,976 59,843,635
------------- ---------------
78,544,126 1,221,183,833
(108,588,729) (1,167,568,601)
------------- ---------------
(30,044,603) 53,615,232
------------- ---------------
3,875,373 113,458,867
208,085,535 656,888,348
------------- ---------------
$ 211,960,908 $ 770,347,215
============= ===============
</Table>
41
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE &
MARKET QUALITY BOND BOND BOND BALANCED INCOME
--------------- ------------- ------------ ------------- ------------- --------------
FROM OPERATIONS:
Net investment income (loss).... $ 13,605,046 $ 16,268,846 $ 12,019,762 $ 43,145,000 $ 11,093,817 $ 32,404,566
Net realized gains (losses) on
securities.................... 17,391 1,328,948 3,260,207 29,137,981 (32,851,562) (49,366,130)
Net realized losses on futures,
options and short sales....... -- -- -- (12,591,733) (1,438,214) --
Net realized gains (losses) on
foreign currency
transactions.................. -- -- -- 3,328 (16,980) --
Net change in unrealized
appreciation (depreciation) on
securities.................... -- 4,727,239 9,226,645 27,277,439 (20,750,290) (255,253,221)
Net change in unrealized
depreciation on futures....... -- -- -- (5,691,788) (596,810) --
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign
currencies.................... -- -- -- (744,806) (194,408) --
--------------- ------------- ------------ ------------- ------------- --------------
Net increase (decrease) in net
assets resulting from
operations.................... 13,622,437 22,325,033 24,506,614 80,535,421 (44,754,447) (272,214,785)
--------------- ------------- ------------ ------------- ------------- --------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital
invested...................... 4,912,006,709 316,504,911 169,225,450 587,510,246 98,930,216 821,338,693
Value of capital withdrawn...... (4,765,433,391) (230,317,882) (96,521,791) (429,894,202) (176,266,754) (649,666,149)
--------------- ------------- ------------ ------------- ------------- --------------
Net increase (decrease) in net
assets resulting from capital
transactions.................. 146,573,318 86,187,029 72,703,659 157,616,044 (77,336,538) 171,672,544
--------------- ------------- ------------ ------------- ------------- --------------
Net increase (decrease) in net
assets........................ 160,195,755 108,512,062 97,210,273 238,151,465 (122,090,985) (100,542,241)
NET ASSETS:
Beginning of year............... 704,577,191 330,502,956 260,795,117 761,473,139 497,836,597 1,653,702,046
--------------- ------------- ------------ ------------- ------------- --------------
End of year..................... $ 864,772,946 $ 439,015,018 $358,005,390 $ 999,624,604 $ 375,745,612 $1,553,159,805
=============== ============= ============ ============= ============= ==============
</Table>
- ---------------
(1) Commencement of Operations, April 15, 2002.
See notes to financial statements.
42
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP
INCOME GROWTH VALUE GROWTH VALUE(1) EQUITY GROWTH(1)
------------- -------------- ------------ ------------ ----------- --------------- -----------
$ 6,917,502 $ 2,771,887 $ 165,808 $ (157,349) $ 30,765 $ 576,113 $ (39,083)
(158,046,430) (203,992,761) (2,203,548) (8,542,151) (635,185) (121,857,230) (1,198,826)
(827,873) -- -- -- -- (1,145,022) --
-- 4,214 -- -- -- (3,662) --
(77,626,470) (133,263,844) (2,836,730) (272,411) (808,101) (202,240,665) 1,008,329
(153,731) -- -- -- -- (478,227) --
-- 428 -- -- -- -- --
------------- -------------- ------------ ------------ ----------- --------------- -----------
(229,737,002) (334,480,076) (4,874,470) (8,971,911) (1,412,521) (325,148,693) (229,580)
------------- -------------- ------------ ------------ ----------- --------------- -----------
463,944,648 724,003,183 54,535,136 61,442,314 20,836,788 1,257,299,651 18,976,732
(403,351,910) (473,578,357) (15,663,580) (23,762,594) (1,504,041) (1,249,415,940) (2,225,697)
------------- -------------- ------------ ------------ ----------- --------------- -----------
60,592,738 250,424,826 38,871,556 37,679,720 19,332,747 7,883,711 16,751,035
------------- -------------- ------------ ------------ ----------- --------------- -----------
(169,144,264) (84,055,250) 33,997,086 28,707,809 17,920,226 (317,264,982) 16,521,455
968,765,767 1,230,944,333 13,632,294 15,562,948 -- 1,323,223,840 --
------------- -------------- ------------ ------------ ----------- --------------- -----------
$ 799,621,503 $1,146,889,083 $ 47,629,380 $ 44,270,757 $17,920,226 $ 1,005,958,858 $16,521,455
============= ============== ============ ============ =========== =============== ===========
<Caption>
AGGRESSIVE HIGH YIELD INTERNATIONAL
EQUITY BOND EQUITY
------------- ------------ ---------------
$ (2,002,779) $ 18,084,908 $ 5,546,189
(86,973,699) (8,656,105) (47,748,953)
-- -- --
-- -- 8,106,486
(18,621,085) (5,025,540) (68,130,187)
-- -- --
-- -- (2,378,692)
------------- ------------ ---------------
(107,597,563) 4,403,263 (104,605,157)
------------- ------------ ---------------
285,800,072 88,710,848 2,216,447,729
(238,482,043) (59,048,041) (2,087,842,949)
------------- ------------ ---------------
47,318,029 29,662,807 128,604,780
------------- ------------ ---------------
(60,279,534) 34,066,070 23,999,623
372,579,133 174,019,465 632,888,725
------------- ------------ ---------------
$ 312,299,599 $208,085,535 $ 656,888,348
============= ============ ===============
</Table>
43
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
COMMERCIAL PAPER -- 35.7%
$ 1,103,000 CIT Group, Inc.,
1.25%, 07/01/03.............. $ 1,103,000
28,000,000 CIT Group, Inc.,
1.07%, 08/20/03.............. 27,958,389
20,000,000 Coca-Cola Company,
0.96%, 07/29/03.............. 19,985,067
6,430,000 DaimlerChrysler,
1.45%, 07/10/03.............. 6,427,669
45,000,000 Emerson Electric
Company -- 144A,
1.30%, 07/01/03.............. 45,000,000
8,000,000 Ford Motor Credit Company,
1.32%, 07/17/03.............. 7,995,307
25,000,000 General Electric Capital
International Funding,
Inc. -- 144A,
1.25%, 07/23/03.............. 24,980,903
5,975,000 General Motors Acceptance
Corp.,
1.45%, 07/01/03.............. 5,975,000
17,801,000 Golden Funding Corp. -- 144A,
1.28%, 07/22/03.............. 17,787,708
5,100,000 Golden Funding Corp. -- 144A,
1.24%, 08/13/03.............. 5,092,446
12,384,000 HBOS Treasury Services PLC,
1.25%, 07/29/03.............. 12,371,960
21,245,000 Household Finance Corp.,
1.04%, 09/04/03.............. 21,205,107
5,000,000 John Deere Capital Company,
1.25%, 07/23/03.............. 4,996,181
27,892,000 Lockhart Funding LLC -- 144A,
1.34%, 08/22/03.............. 27,838,013
11,000,000 Marshall & Isley,
5.263%, 12/15/03............. 11,167,608
6,759,000 Morgan Stanley,
1.25%, 07/25/03.............. 6,753,368
29,308,000 Schlumberger Technology
Corp. -- 144A,
0.93%, 08/29/03.............. 29,263,329
7,243,000 Sears Roebuck Acceptance Corp.,
1.35%, 07/18/03.............. 7,238,383
1,802,000 Three Pillars Funding
Company -- 144A,
1.03%, 07/17/03.............. 1,801,175
27,276,000 Three Pillars Funding
Company -- 144A,
1.08%, 07/29/03.............. 27,253,088
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
COMMERCIAL PAPER (CONTINUED)
$12,340,000 Thunder Bay Funding,
Inc. -- 144A,
1.10%, 07/02/03.............. $ 12,339,623
4,989,000 Westdeutsche Landesbank
AG -- 144A,
0.93%, 08/15/03.............. 4,983,200
------------
TOTAL COMMERCIAL PAPER (Cost
$329,516,524)................ 329,516,524
------------
CERTIFICATES OF DEPOSIT -- 8.6%
11,750,000 First Tennessee Bank N.A.,
1.25%, 07/22/03.............. 11,750,000
25,000,000 Landesbank Hessen-Thuringen,
1.31%, 07/15/03.............. 25,000,096
20,000,000 Tannehill Capital Company
LLC -- 144A, Floating Rate,
1.038%(+), 07/23/03.......... 19,999,763
9,205,656 Union BanCal Corp.,
0.96%, 07/14/03.............. 9,202,465
14,000,000 Wilmington Trust Company,
3.65%, 10/17/03.............. 14,097,929
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $80,050,253)........... 80,050,253
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 11.9%
FANNIE MAE -- 4.9%
45,000,000 1.25%, 07/07/04................ 45,000,000
------------
FEDERAL HOME LOAN BANK -- 5.6%
20,000,000 1.425%, 03/08/04............... 20,000,000
13,000,000 1.375%, 05/12/04............... 13,000,000
19,000,000 1.45%, 05/14/04................ 19,000,000
------------
52,000,000
------------
FREDDIE MAC -- 1.4%
12,700,000 6.375%, 11/15/03............... 12,950,321
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$109,950,321)................ 109,950,321
------------
SHORT TERM CORPORATE NOTES -- 43.5%
28,360,000 Associates Corp. of North
America,
5.75%, 11/01/03.............. 28,684,858
8,000,000 American Express Credit
Company, Floating Rate,
1.35%(+), 03/05/04........... 8,000,000
22,000,000 American Express Credit
Company, Floating Rate,
1.028%(+), 05/13/04.......... 22,000,000
</Table>
See notes to financial statements.
44
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$10,000,000 Bayerische Landesbank
Girozentrale, Floating Rate,
1.225%(+), 03/08/04.......... $ 10,001,806
17,200,000 Bristol-Myers Squibb Company --
144A, Floating Rate,
1.39%(+), 07/08/03........... 17,200,000
13,000,000 Caterpillar Financial Service
Corp., Floating Rate,
1.37%(+), 07/09/03........... 13,000,000
10,000,000 Citigroup, Inc., Floating Rate,
1.41%(+), 07/17/03........... 10,000,705
5,000,000 Coca-Cola Enterprises, Inc. --
144A, Floating Rate,
1.57%(+), 04/26/04........... 5,010,396
2,500,000 Credit Suisse First Boston USA,
Inc., Floating Rate,
1.48%(+), 08/25/03........... 2,500,000
25,000,000 Credit Suisse First Boston USA,
Inc., Floating Rate,
1.068%(+), 01/21/04.......... 25,000,000
3,500,000 FleetBoston Financial Corp.,
6.875%, 07/15/03............. 3,506,373
24,000,000 FleetBoston Financial Corp.,
Floating Rate,
1.57%(+), 02/20/04........... 24,031,519
10,300,000 General Electric Capital, Corp.
Inc., Floating Rate,
1.17%(+), 02/17/04........... 10,300,000
9,000,000 Goldman Sachs Group, Inc.,
Floating Rate,
1.369%(+), 04/13/04.......... 9,000,000
18,000,000 Goldman Sachs Group, Inc.,
Floating Rate,
1.39%(+), 05/03/04........... 18,000,000
5,255,000 Household Finance Corp.,
7.25%, 07/15/03.............. 5,260,652
3,500,000 Household Finance Corp.,
Floating Rate,
1.64%(+), 08/07/03........... 3,494,148
12,000,000 International Lease Finance,
Floating Rate,
1.54%(+), 04/08/04........... 12,000,000
12,500,000 International Lease Finance,
5.35%, 05/03/04.............. 12,884,726
5,700,000 J.P. Morgan Chase & Company,
Inc., Floating Rate,
4.35%(+), 07/15/03........... 5,704,650
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 9,500,000 J.P. Morgan Chase & Company,
Inc.,
8.50%, 08/15/03.............. $ 9,573,243
5,000,000 Johnson Controls, Inc.
Floating Rate,
1.89%(+), 11/13/03........... 5,009,942
8,750,000 Keybank N.A., Floating Rate,
1.499%(+), 01/26/04.......... 8,759,494
8,280,000 Lehman Brothers Holdings,
Inc. -- 144A, Floating Rate,
7.36%(+), 12/15/03........... 8,488,121
2,200,000 Merrill Lynch & Company,
Floating Rate,
1.37%(+), 08/13/03........... 2,200,125
12,800,000 Merrill Lynch & Company,
Floating Rate,
1.50%(+), 12/08/03........... 12,806,196
14,000,000 Merrill Lynch & Company,
Floating Rate,
1.313%(+), 03/11/04.......... 14,000,000
9,500,000 National Rural Utilities,
Floating Rate,
1.31%(+), 07/17/03........... 9,498,838
15,000,000 National Rural Utilities,
Floating Rate,
1.357%(+), 03/10/04.......... 15,000,000
8,000,000 New York Telephone Company,
Floating Rate,
5.875%(+), 09/01/03.......... 8,057,175
25,000,000 Paccar Financial Corp.,
Floating Rate,
1.38%(+), 03/04/04........... 25,016,118
9,500,000 SBS Communications, Inc. --
144A,
4.18%, 06/05/04.............. 9,757,782
15,000,000 SLM Corp. -- 144A,
Floating Rate,
1.32%(+), 05/28/04........... 14,993,360
13,000,000 Syndicated Loan Fund Trust,
Floating Rate,
1.365%(+), 12/09/03.......... 13,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $401,740,227).... 401,740,227
------------
TOTAL SECURITIES (Cost
$921,257,325)................ 921,257,325
------------
</Table>
See notes to financial statements.
45
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENT -- 0.00%
$ 347 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $347
(Collateralized by Small
Business Administration,
4.125%, due 11/25/22, with a
value of $364) (Cost $347)... $ 347
------------
Total Investments -- 99.7%
(Cost $921,257,672).......... 921,257,672
Other assets less
liabilities -- 0.3%.......... 2,598,539
------------
NET ASSETS -- 100.00%.......... $923,856,211
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $921,257,672.
- ---------------
(+) Variable rate security. Interest rate is subject to change weekly. The rate
shown was in effect at June 30, 2003.
See notes to financial statements.
46
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES -- 76.7%
BANKS -- 15.1%
$1,520,000 Abbey National First Capital,
8.20%, 10/15/04............... $ 1,649,581
1,000,000 Abbey National PLC, Series EMTN,
6.69%, 10/17/05............... 1,108,303
6,490,000 ABN AMRO Bank NV,
7.25%, 05/31/05............... 7,155,730
3,000,000 Bank of America Corp.,
7.75%, 08/15/04............... 3,210,954
3,000,000 Bank of America Corp.,
7.88%, 05/16/05............... 3,349,452
1,000,000 Bank of America Corp.,
6.20%, 02/15/06............... 1,106,500
2,000,000 Bank of America Corp.,
5.25%, 02/01/07............... 2,199,378
1,500,000 Bank of America Corp., Series
MTN1, Floating Rate,
1.53%, 08/26/05(a)............ 1,505,682
1,500,000 Bank of Montreal-Chicago,
6.10%, 09/15/05............... 1,631,873
3,000,000 Bank of Montreal-Chicago,
7.80%, 04/01/07............... 3,541,818
3,000,000 Bank One Corp.,
7.63%, 08/01/05............... 3,363,165
4,000,000 Bayersiche Landesbank, Series
MTN,
2.50%, 03/30/06............... 4,085,800
2,500,000 Deutsche Bank Financial,
6.70%, 12/13/06............... 2,844,953
3,430,000 HSBC Bank PLC,
8.63%, 12/15/04............... 3,768,013
5,000,000 KFW International Finance,
Series DTC,
5.25%, 06/28/06............... 5,503,449
2,000,000 KFW International Finance,
Series DTC,
4.75%, 01/24/07(c)............ 2,172,562
5,000,000 LB Baden-Wuerttemberg,
7.88%, 04/15/04............... 5,273,305
1,500,000 National Bank of Canada, Series
B,
8.13%, 08/15/04............... 1,606,355
5,000,000 RBSG Capital Corp.,
10.13%, 03/01/04.............. 5,281,365
3,000,000 Svenska Handelsbanken,
8.13%, 08/15/07............... 3,617,583
3,000,000 Swiss Bank Corp.,
7.25%, 09/01/06............... 3,496,812
1,500,000 U.S. Bancorp,
7.63%, 05/01/05............... 1,657,233
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$3,000,000 U.S. Bancorp, Series MTNN,
Floating Rate,
1.27%, 09/16/05(a)............ $ 3,003,420
1,000,000 U.S. Bank NA Minnesota,
7.55%, 06/15/04............... 1,052,048
2,145,000 U.S. Bank NA Minnesota, Series
BKNT,
7.30%, 08/15/05............... 2,385,877
3,250,000 U.S. Central Credit Union,
2.75%, 05/30/08............... 3,232,463
6,000,000 Wachovia Corp.,
7.55%, 08/18/05............... 6,733,361
2,500,000 Wells Fargo & Company, Floating
Rate,
1.27%, 06/12/06(a)............ 2,500,338
1,000,000 Wells Fargo & Company, Series
MTNH,
6.75%, 10/01/06............... 1,135,169
------------
89,172,542
------------
FINANCIAL SERVICES -- 10.6%
4,000,000 Associates Corp. N.A., Series
MTNH,
7.63%, 04/27/05............... 4,427,324
3,000,000 Bear Stearns Company, Inc.,
Floating Rate,
1.84%, 07/15/05(a)............ 3,024,609
5,000,000 Bear Stearns Company, Inc.,
Series MTNB, Floating Rate,
1.31%, 06/19/06(a)............ 4,999,865
1,000,000 Citigroup, Inc.,
3.50%, 02/01/08............... 1,029,680
2,500,000 Citigroup, Inc., Floating Rate,
1.42%, 05/19/06(a)............ 2,503,275
1,000,000 General Electric Capital Corp.,
Series MTNA,
8.70%, 03/01/07............... 1,201,733
8,000,000 Heller Financial, Inc.,
8.00%, 06/15/05............... 8,973,959
1,000,000 Heller Financial, Inc.,
6.38%, 03/15/06............... 1,115,990
1,000,000 International Lease Finance
Corp.,
2.95%, 05/23/06............... 1,005,724
5,000,000 International Lease Finance
Corp., Floating Rate,
2.53%, 01/13/05(a)............ 5,051,795
3,300,000 Lehman Brothers Holdings, Inc.,
7.75%, 01/15/05............... 3,624,024
2,000,000 Morgan Stanley,
7.75%, 06/15/05............... 2,229,452
</Table>
See notes to financial statements.
47
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$3,000,000 Morgan Stanley,
6.10%, 04/15/06............... $ 3,304,812
3,000,000 Morgan Stanley, Series MTNE,
Floating Rate,
1.28%, 03/27/06(a)............ 3,006,999
5,000,000 Railcar Leasing, Series LLC- 1,
Class A2,
7.13%, 01/15/13............... 5,800,425
5,000,000 Wells Fargo Financial,
6.75%, 06/01/05............... 5,489,235
2,000,000 Wells Fargo Financial,
6.13%, 02/15/06(c)............ 2,203,692
4,000,000 Wells Fargo Financial, Series
MTND, Floating Rate,
1.28%, 09/12/05(a)............ 4,006,060
------------
62,998,653
------------
FOOD AND BEVERAGE -- 0.4%
500,000 General Mills, Inc.,
5.13%, 02/15/07(c)............ 545,116
2,000,000 General Mills, Inc.,
3.88%, 11/30/07............... 2,097,438
------------
2,642,554
------------
LEISURE AND RECREATION -- 0.6%
3,145,000 International Game Technology,
7.88%, 05/15/04............... 3,307,452
------------
MACHINERY -- 0.3%
1,500,000 Ingersoll-Rand Company,
5.80%, 06/01/04............... 1,560,701
------------
OIL, COAL AND GAS -- 0.9%
4,590,000 Tosco Corp.,
7.25%, 01/01/07............... 5,252,153
------------
PHARMACEUTICALS -- 0.9%
4,000,000 Merck & Company, Inc.,
5.25%, 07/01/06............... 4,398,356
767,127 Upjohn Company, Series A,
9.79%, 02/01/04............... 804,723
------------
5,203,079
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 5.9%
5,000,000 Citibank Credit Card Issuance
Trust, Series 2000-A3, Class
A3,
6.88%, 11/16/09............... 5,871,533
2,000,000 Citibank Credit Card Issuance
Trust, Series 2003-A6, Class
A6,
2.90%, 05/17/10............... 2,009,218
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: CREDIT CARDS (CONTINUED)
$5,250,000 Fleet Credit Card Master Trust
II, Series 2001-C, Class A,
3.86%, 03/15/07............... $ 5,412,989
1,700,000 Household Private Label Credit
Card Master Note Trust, Series
2002-2, Class A,
Floating Rate,
1.35%, 01/18/11(a)............ 1,702,977
5,500,000 J.C. Penney Master Credit Card
Trust, Series E, Class A,
5.50%, 06/15/07............... 5,593,533
4,818,000 MBNA Master Credit Card Trust,
Series 1999-M, Class A,
6.60%, 04/16/07............... 5,167,571
5,000,000 Nordstrom Private Label Credit
Card, Series 2001-1A, Class A,
4.82%, 04/15/10............... 5,360,832
904,583 Sears Credit Account Master
Trust, Series 1996-3, Class A,
7.00%, 07/15/08............... 931,901
2,570,000 Standard Credit Card Master
Trust, Series 1994-2, Class A,
7.25%, 04/07/08............... 2,932,868
------------
34,983,422
------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 14.9%
2,825,887 ANRC Auto Owner Trust, Series
2000-A, Class A4,
7.15%, 02/15/07............... 2,847,042
548,069 BMW Vehicle Lease Trust, Series
2000-A, Class A4,
6.67%, 10/25/03............... 550,480
5,000,000 Capital One Auto Finance Trust,
Series 2001-A, Class A4,
5.40%, 05/15/08............... 5,292,655
2,000,000 Capital One Auto Finance Trust,
Series 2003-A , Class A3A,
1.83%, 10/15/07............... 2,010,228
1,554,741 Caterpillar Financial Asset
Trust, Series 2001-A, Class
A3,
4.85%, 04/25/07............... 1,588,024
3,500,000 Caterpillar Financial Asset
Trust, Series 2002-A , Class
A3,
3.15%, 02/25/08............... 3,557,543
3,000,000 Caterpillar Financial Asset
Trust, Series 2003-A , Class
A3,
1.66%, 12/26/07............... 2,973,281
4,181,566 Community Program Loan Trust,
Series 1987-A, Class A4,
4.50%, 10/01/18............... 4,291,444
</Table>
See notes to financial statements.
48
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCIAL SERVICES
(CONTINUED)
$1,901,364 Copelco Capital Funding Corp.,
Series 1999-B, Class A4,
6.90%, 12/18/04............... $ 1,921,552
2,750,000 Distribution Financial Services
Trust, Series 2001-1, Class
A4,
5.67%, 01/17/17............... 2,888,947
3,000,000 First National Master Note
Trust, Series 2003-1, Class A,
Floating Rate,
1.28%, 08/15/08(b)............ 3,007,625
2,000,000 Franklin Auto Trust, Series
2003-1, Class A4,
2.27%, 05/20/11............... 2,005,313
3,000,000 Marshall & Isley Auto Loan
Trust, Series 2002-1, Class
A3,
2.49%, 10/22/07............... 3,048,030
164,125 Morgan Stanley Capital, Series
1999-CAM1, Class A1,
6.54%, 03/15/32............... 165,361
935,752 Morgan Stanley Capital, Series
1999-RM1, Class A1,
6.37%, 12/15/31............... 1,025,078
1,456,573 Morgan Stanley Dean Witter
Capital, Series 2001-TOP3,
Class A1,
5.31%, 07/15/33............... 1,546,623
777,205 Morgan Stanley Dean Witter
Capital, Series 2002-HQ, Class
A1,
4.59%, 04/15/34............... 803,392
2,150,538 Morgan Stanley Dean Witter
Capital, Series 2002-IQ2,
Class A1,
4.09%, 12/15/35............... 2,246,312
957,821 Nations Credit Grantor Trust,
Series 1997, Class A,
6.75%, 08/15/13............... 1,029,947
531,044 Navistar Financial Corp. Owner
Trust, Series 2001-A, Class
A3,
4.99%, 08/15/05............... 534,781
4,000,000 Navistar Financial Corp. Owner
Trust, Series 2001-B, Class
A4,
4.37%, 11/17/08............... 4,162,298
3,000,000 Nelnet Student Loan Trust,
Series 2002-2, Class A3,
Floating Rate,
1.39%, 09/25/13(a)............ 2,979,158
3,250,000 Onyx Acceptance Auto Trust,
Series 2002-D, Class A4,
3.10%, 07/15/09............... 3,350,082
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCIAL SERVICES
(CONTINUED)
$4,106,623 Provident Auto Lease ABS Trust,
Series 1999-1, Class A2,
7.03%, 01/14/12............... $ 4,320,927
2,150,000 PSE&G Transition Funding LLC,
Series 2001-1, Class A3,
5.98%, 06/15/08............... 2,368,898
3,550,000 PSE&G Transition Funding LLC,
Series 2001-1, Class A5,
6.45%, 03/15/13............... 4,192,179
5,000,000 Public Service New Hampshire
Funding LLC, Series 2001-1,
Class A2,
5.73%, 11/01/10............... 5,515,691
1,000,000 Ryder Vehicle Lease Trust,
Series 2001-A, Class A4,
5.81%, 08/15/06............... 1,034,664
4,000,000 SSB Auto Loan Trust, Series
2002-1, Class A3,
2.37%, 09/15/06............... 4,058,608
8,000,000 Volkswagen Auto Loan Enhanced
Trust, Series 2003-1, Class
A3,
1.49%, 05/21/07............... 7,986,250
4,725,000 Whole Auto Loan Trust, Series
2002-1, Class A3,
2.60%, 08/15/06............... 4,813,855
------------
88,116,268
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 7.8%
1,325,822 Bank Boston Home Equity Loan
Trust, Series 1998-1, Class
A4,
6.42%, 01/25/21............... 1,359,814
1,737,685 Bear Stearns Commercial Mortgage
Securities, Inc., Series
1998-C1, Class A1,
6.34%, 06/16/30............... 1,899,842
1,293,674 Bear Stearns Commercial Mortgage
Securities, Inc., Series
1999-C1, Class A1,
5.91%, 02/14/31............... 1,406,098
949,507 Bear Stearns Commercial Mortgage
Securities, Inc., Series
2001-TOP4, Class A1,
5.06%, 11/15/16............... 1,020,859
983,482 Bear Stearns Commercial Mortgage
Securities, Inc., Series
2002-PBW1, Class A1,
3.97%, 11/11/35............... 1,017,896
2,000,000 Centex Home Equity, Series
2003-B, Class AF1,
1.64%, 02/25/18............... 1,997,813
</Table>
See notes to financial statements.
49
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY
(CONTINUED)
$3,000,000 Contimortgage Home Equity Loan
Trust, Series 1998-2, Class
A7,
6.57%, 03/15/23............... $ 3,139,338
1,638,917 Credit Suisse First Boston
Mortgage Securities Corp.,
Series 2001-CF2, Class A1,
5.26%, 02/15/34............... 1,697,190
5,000,000 Credit Suisse First Boston
Mortgage Securities Corp.,
Series 2003-C3, Class A1,
2.08%, 05/15/38............... 4,970,499
902,474 DLJ Commercial Mortgage Corp.,
Series 1998-CG1, Class A1A,
6.11%, 06/10/31............... 940,316
828,493 EQCC Home Equity Loan Trust,
Series 1998-1, Class A6F,
6.25%, 12/15/07............... 853,586
117,713 Fleet Mortgage Securities,
Series 2001-1, Class A1,
6.00%, 07/28/29............... 120,148
1,468,665 General Electric Capital
Commercial Mortgage Corp.,
Series 2001-2, Class A1,
5.26%, 08/11/33............... 1,565,323
941,212 General Electric Capital
Commercial Mortgage Corp.,
Series 2001-3, Class A1,
5.56%, 06/10/38............... 1,025,123
833,627 General Electric Capital
Commercial Mortgage Corp.,
Series 2002-1, Class A1,
5.03%, 12/10/35............... 887,173
3,938,237 General Electric Capital
Commercial Mortgage Corp.,
Series 2002-3A, Class A1,
4.23%, 12/10/37............... 4,115,219
1,895,528 IMC Home Equity Loan Trust,
Series 1997-3, Class A7,
7.08%, 08/20/28............... 1,961,809
973,781 JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2002-C2, Class A1,
4.33%, 12/12/34............... 1,020,107
2,485,918 LB-UBS Commercial Mortgage
Trust, Series 2003-C3, Class
A1,
2.60%, 05/15/27............... 2,496,499
3,500,000 Residential Asset Mortgage
Products, Inc., Series
2002-RZ3, Class A2,
3.08%, 07/25/26............... 3,541,267
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY
(CONTINUED)
$2,000,000 Residential Asset Mortgage
Products, Inc., Series
2003-RZ1, Class AI2,
2.81%, 10/25/25............... $ 2,024,081
681,173 Residential Funding Mortgage
Securities II, Series
2001-HI3, Class AI1,
6.63%, 07/25/26............... 710,541
570,798 Travelers Mortgage Securities
Corp., Series 1, Class Z2,
12.00%, 03/01/14.............. 603,290
3,500,000 Vendee Mortgage Trust, Series
1996-1, Class 1K,
6.75%, 11/15/12............... 3,783,169
2,212,579 Wachovia Bank Commercial
Mortgage Trust, Series 2003-4,
Class A1,
3.00%, 04/15/35............... 2,252,107
------------
46,409,107
------------
PRIVATE ASSET BACKED: OTHER -- 9.8%
2,000,000 Asset Securitization Corp.,
Series 1997-D4, Class A1C,
7.42%, 04/14/29............... 2,146,799
5,000,000 Bear Stearns Asset Backed
Securities, Inc., Series
2003-AC3, Class A1,
4.00%, 07/25/33............... 5,001,950
4,672,000 California Infrastructure PG&E
Corp., Series 1997-1, Class
A8,
6.48%, 12/26/09............... 5,360,750
5,400,000 California Infrastructure,
Series 1997-1, Class A6,
6.38%, 09/25/08............... 5,859,513
5,000,000 CIT Equipment Collateral, Series
2002-VT1, Class A3,
4.03%, 01/20/06............... 5,124,808
2,500,000 CIT Equipment Collateral, Series
2003-VT1, Class A3B,
1.63%, 04/20/07............... 2,482,031
3,000,000 CIT RV Trust, Series 1998-A,
Class A5,
6.12%, 11/15/13............... 3,163,220
1,353,397 CNH Equipment Trust, Series
2000-A, Class A4,
7.34%, 02/15/07............... 1,385,020
5,000,000 CNH Equipment Trust, Series
2003-A, Class A3B,
1.89%, 07/16/07............... 5,010,798
</Table>
See notes to financial statements.
50
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: OTHER (CONTINUED)
$6,665,000 Connecticut RRB Special Purpose
Trust CL&P, Series 2001-1,
Class A3,
5.73%, 03/30/09............... $ 7,373,462
994,282 Household Automotive Trust,
Series 2001-2, Class A3,
4.83%, 03/17/06............... 1,008,289
3,500,000 Household Automotive Trust,
Series 2002-1, Class A3,
3.75%, 09/18/06............... 3,589,781
2,000,000 Household Automotive Trust,
Series 2003-1, Class A3,
1.73%, 12/17/07............... 2,004,182
2,000,000 Illinois Power Special Purpose
Trust, Series 1998-1, Class
A6,
5.54%, 06/25/09............... 2,201,733
2,097,291 John Deere Owner Trust, Series
2001-A, Class A3,
3.26%, 10/17/05............... 2,121,520
4,138,660 PBG Equipment Trust, Series 1A,
Class A,
6.27%, 01/20/12............... 4,355,067
------------
58,188,923
------------
PRIVATE ASSET BACKED: RECEIVABLES -- 4.5%
4,571,912 Alter Moneta Receivables, LLC,
Series 2003-1,
2.56%, 03/15/11............... 4,589,195
237,249 Associates Automobile
Receivables Trust, Series
2000-1, Class A3,
7.30%, 01/15/04............... 238,014
1,118,271 Chevy Chase Auto Receivables
Trust, Series 2001-2 , Class
A3,
3.80%, 11/15/05............... 1,128,837
4,000,000 Chevy Chase Auto Receivables
Trust, Series 2001-2, Class
A4,
4.44%, 04/16/07............... 4,153,069
3,000,000 Hyundai Auto Receivables Trust,
Series 2002-A, Class A3,
2.80%, 02/15/07............... 3,054,380
3,250,000 National City Auto Receivables
Trust, Series 2002-A, Class
A3,
4.04%, 07/15/06............... 3,314,841
997,116 PFC Tax Receivables Trust,
Series 2002-A, Class A,
3.01%, 12/15/15............... 1,002,142
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: RECEIVABLES (CONTINUED)
$4,000,000 Regions Auto Receivables Trust,
Series 2002-1, Class A3,
2.63%, 01/15/07............... $ 4,075,135
4,771,698 World Omni Auto Receivables
Trust, Series 2001-B, Class
A3,
3.79%, 11/21/05............... 4,833,567
------------
26,389,180
------------
PRIVATE ASSET BACKED: TRANSPORTATION -- 0.8%
4,741,513 Railcar Trust, Series 1992-1,
Class A,
7.75%, 06/01/04............... 4,915,550
------------
PRIVATE ASSET BACKED: UTILITIES -- 1.3%
5,000,000 PECO Energy Transition Trust,
Series 1999-A, Class A6,
6.05%, 03/01/09............... 5,571,915
2,000,000 PECO Energy Transition Trust,
Series 2001-A, Class A1,
6.52%, 12/31/10............... 2,367,758
------------
7,939,673
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.2%
1,000,000 Archstone-Smith Trust,
7.15%, 10/15/03............... 1,014,622
875,000 AvalonBay Communities,
6.63%, 01/15/05............... 938,258
3,000,000 AvalonBay Communities, Series
MTN,
6.58%, 02/15/04............... 3,093,858
1,000,000 Equity Residential Properties,
7.50%, 04/15/04............... 1,044,982
1,000,000 Kimco Realty Corp., Series MTNB,
7.62%, 10/20/04............... 1,075,135
------------
7,166,855
------------
UTILITIES: ELECTRIC -- 1.7%
2,500,000 Atlantic City Electric, Series
AMBC,
6.67%, 03/23/05............... 2,707,333
7,000,000 Central Maine Power Company,
Series MBIA,
7.43%, 08/25/03............... 7,059,395
------------
9,766,728
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $445,463,448)........... 454,012,840
------------
US TREASURY SECURITY -- 0.8%
5,000,000 US Treasury Note,
1.25%, 05/31/05(c) (Cost
$5,011,603)................... 4,998,635
------------
</Table>
See notes to financial statements.
51
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
US GOVERNMENT AGENCY SECURITIES -- 11.8%
FANNIE MAE -- 5.9%
$3,341,837 PL# 254062, 6.00%, 10/01/11..... $ 3,507,211
1,770,015 PL# 323743, 5.00%, 04/01/14..... 1,833,798
1,617,206 PL# 429168, 6.00%, 05/01/13..... 1,692,286
1,297,519 PL# 50903, 6.00%, 09/01/08...... 1,362,915
1,625,217 PL# 50973, 6.00%, 01/01/09...... 1,707,129
1,607,698 PL# 517699, 6.00%, 07/01/14..... 1,681,488
5,083,756 PL# 545038, 6.00%, 09/01/14..... 5,321,596
6,227,820 PL# 555154, 5.50%, 12/01/22..... 6,463,075
1,654,049 PL# 609771, 6.00%, 09/01/08..... 1,728,998
4,731,868 Series 1993-234, Class PC,
5.50%, 12/25/08............... 4,967,924
4,684,713 Series 2003-28, Class PA,
5.50%, 05/25/06............... 4,727,513
------------
34,993,933
------------
FEDERAL FARM CREDIT BANK -- 1.5%
8,500,000 2.50%, 11/15/05................. 8,687,468
------------
FREDDIE MAC -- 2.7%
7,000,000 3.25%, 11/15/04................. 7,194,026
4,757 PL# 306816, 7.00%, 01/01/18..... 4,821
2,500,000 Series 2557, Class MA,
4.50%, 07/15/16............... 2,544,615
4,162,000 Series H003, Class A2,
1.88%, 11/15/07............... 4,200,969
2,000,000 Series T-52, Class AF2,
3.63%, 11/25/32............... 2,049,332
------------
15,993,763
------------
FREDDIE MAC GOLD -- 1.3%
16,726 PL# D06777, 7.50%, 03/01/08..... 17,597
659,810 PL# E00532, 6.50%, 02/01/13..... 694,614
1,081,379 PL# E00542, 6.50%, 04/01/13..... 1,137,044
2,098,097 PL# E00676, 5.50%, 06/01/14..... 2,184,194
3,354,296 PL# E89557, 5.50%, 04/01/17..... 3,480,076
------------
7,513,525
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 0.4%
2,665,323 PL# 436708, 5.75%, 12/15/22..... 2,786,684
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $69,452,146)............ 69,975,373
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 7.3%
3,000,000 Hydro Quebec, Series MTNB,
7.49%, 07/30/03............... 3,014,121
3,000,000 Hydro Quebec, Series MTNB,
7.00%, 04/12/05............... 3,285,264
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
$5,000,000 Hydro Quebec, Series MTNB,
6.52%, 02/23/06............... $ 5,599,955
8,938,000 Province of Alberta,
4.88%, 10/29/03............... 9,044,425
3,500,000 Province of British Columbia,
4.63%, 10/03/06............... 3,785,306
5,000,000 Province of Manitoba,
4.25%, 11/20/06............... 5,348,945
3,000,000 Province of Ontario,
7.00%, 08/04/05............... 3,336,525
4,000,000 Province of Ontario,
6.00%, 02/21/06............... 4,433,360
4,000,000 Republic of Italy,
7.25%, 02/07/05............... 4,349,916
1,000,000 Republic of Italy,
4.38%, 10/25/06............... 1,072,707
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS
(Cost $42,339,973)............ 43,270,524
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 1.4%
FANNIE MAE -- 0.7%
4,000,000 1.15%, 07/23/03................. 3,997,189
------------
FREDDIE MAC -- 0.7%
4,000,000 0.97%, 07/30/03................. 3,996,874
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES
(Cost $7,994,063)............. 7,994,063
------------
<Caption>
SHARES
------
REGULATED INVESTMENT COMPANIES -- 0.4%
1,216,374 BlackRock Tempcash Fund (d)..... 1,216,374
521,303 Dreyfus Cash Management Plus
Fund (d)...................... 521,303
176,064 Merrill Lynch Premier
Institutional Fund (d)........ 176,064
229,373 Merrimac Cash Fund -- Premium
Class (d)..................... 229,373
------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $2,143,114)............. 2,143,114
------------
</Table>
See notes to financial statements.
52
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
SHORT TERM CORPORATE NOTES -- 0.3%
$ 69,507 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(d)......... $ 69,507
173,768 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(d)......... 173,768
278,028 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(d)......... 278,028
111,211 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(d)......... 111,211
34,754 Merrill Lynch & Company,
Floating Rate, 1.62%,
11/26/03(+)(d)................ 34,754
139,014 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(d)......... 139,014
868,839 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(d)......... 868,839
------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $1,675,121)............. 1,675,121
------------
TIME DEPOSITS -- 0.2%
173,768 American Express Centurion Bank,
1.26%, 07/07/03(d)............ 173,768
139,014 Bank of Montreal,
1.08%, 07/02/03(d)............ 139,014
28,687 Bank of Montreal,
1.15%, 07/09/03(d)............ 28,687
347,536 Bank of Novia Scotia,
1.03%, 07/08/03(d)............ 347,536
208,521 Credit Agricole Indosuez,
0.94%, 07/01/03(d)............ 208,521
111,211 Credit Agricole Indosuez,
1.05%, 08/26/03(d)............ 111,211
69,507 Den Danske Bank,
1.04%, 07/24/03(d)............ 69,507
69,507 Royal Bank of Scotland,
1.05%, 07/28/03(d)............ 69,507
------------
TOTAL TIME DEPOSITS
(Cost $1,147,751)............. 1,147,751
------------
COMMERCIAL PAPER -- 0.0%
69,507 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(d)
(Cost $69,507)................ 69,507
------------
TOTAL SECURITIES
(Cost $575,296,726)........... 585,286,928
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
REPURCHASE AGREEMENTS -- 1.3%
$7,406,901 With Investors Bank and Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $7,406,901
(Collateralized by Fannie Mae,
1.59%, due 01/25/32, with a
value of $7,777,622).......... $ 7,406,901
69,507 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03,
repurchase proceeds at
maturity $1,021,837
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$345, Verizon Global Funding
Corp., 6.875%, due 06/15/12,
with a value of $40,
Prudential Funding LLC, 6.60%,
due 05/15/08, with a value of
$23,663, Jersey Central Power
& Lighting Company, 4.80%, due
06/15/18, with a value of
$1,331, Corporation Andina de
Fomento, 7.375%, due 01/18/11,
with a value of $33,150, Abbey
National Capital Trust,
8.963%, due 06/30/30, with a
value of $68,993 and Vodafone
Group PLC, 7.875%, due
02/15/30, with a value of
$12,460)(d)................... 69,507
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,476,408)............. 7,476,408
------------
Total Investments -- 100.2%
(Cost $582,773,134)........... 592,763,336
Liabilities less other
assets -- (0.2)%.............. (1,002,212)
------------
NET ASSETS -- 100.0%............ $591,761,124
------------
</Table>
See notes to financial statements.
53
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $582,773,134.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $11,157,688
Gross unrealized depreciation.......... (1,167,486)
-----------
Net unrealized appreciation............ $ 9,990,202
===========
</Table>
- ---------------
(a) Quarterly reset provision. The rate shown was in effect at June 30, 2003.
(b) Monthly reset provision. The rate shown was in effect at June 30, 2003.
(c) All or part of this security is on loan.
(d) Collateral for securities on loan.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
54
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US TREASURY SECURITIES -- 22.3%
US TREASURY BOND -- 1.2%
$ 3,000,000 6.13%, 08/15/29................ $ 3,666,681
------------
US TREASURY INFLATION INDEX -- 4.3%
11,377,800 3.63%, 01/15/08................ 12,768,031
------------
US TREASURY NOTES -- 16.8%
5,000,000 3.63%, 08/31/03................ 5,023,635
20,000,000 3.00%, 01/31/04................ 20,239,860
13,000,000 2.13%, 08/31/04(c)............. 13,163,020
6,000,000 6.50%, 10/15/06................ 6,895,314
2,000,000 4.75%, 11/15/08(c)............. 2,217,736
2,000,000 3.88%, 02/15/13(c)............. 2,058,672
------------
49,598,237
------------
TOTAL US TREASURY SECURITIES
(Cost $62,986,020)........... 66,032,949
------------
US GOVERNMENT AGENCY SECURITIES -- 47.1%
FANNIE MAE -- 26.9%
10,000,000 5.13%, 02/13/04................ 10,250,340
4,000,000 5.50%, 05/02/06................ 4,394,408
10,000,000 5.00%, 01/20/07................ 10,194,870
5,000,000 5.00%, 05/14/07................ 5,136,715
5,000,000 3.50%, 10/15/07................ 5,104,565
4,000,000 6.25%, 07/19/11................ 4,184,912
10,000,000 6.00%, 01/18/12................ 10,630,390
8,963,886 PL# 702319, 4.66%, 05/01/33.... 9,153,865
20,000,000 TBA, 6.00%, 07/01/33........... 20,787,501
------------
79,837,566
------------
FEDERAL FARM CREDIT BANK -- 1.8%
5,000,000 4.38%, 04/15/05(c)............. 5,275,585
------------
FREDDIE MAC -- 11.1%
3,000,000 5.75%, 04/15/08................ 3,431,742
6,000,000 6.88%, 09/15/10................ 7,349,532
5,000,000 6.38%, 08/01/11................ 5,560,480
722,000 6.75%, 03/15/31................ 902,041
304,000 6.25%, 07/15/32................ 358,994
3,726,084 Series 1500, Class K,
7.00%, 06/15/22.............. 3,761,871
296,913 Series 1574, Class PG,
6.50%, 02/15/21.............. 296,943
11,000,000 Series 2281, Class E,
6.00%, 07/15/28.............. 11,166,270
------------
32,827,873
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 2.6%
$ 991,921 PL# 2483, 7.00%, 09/20/27...... $ 1,046,010
3,095,617 PL# 2631, 7.00%, 08/20/28...... 3,261,849
2,197,975 PL# 2645, 7.00%, 09/20/28...... 2,316,004
65,115 PL# 297619, 7.50%, 09/15/07.... 69,573
11,363 PL# 322072, 7.50%, 08/15/07.... 12,141
18,940 PL# 323189, 7.50%, 08/15/07.... 20,237
7,403 PL# 328000, 7.50%, 06/15/07.... 7,910
1,697 PL# 328084, 7.50%, 07/15/07.... 1,813
35,049 PL# 328188, 7.50%, 08/15/07.... 37,448
47,438 PL# 328192, 7.50%, 08/15/07.... 50,685
19,227 PL# 328200, 7.50%, 08/15/07.... 20,543
59,751 PL# 329060, 7.50%, 08/15/07.... 63,842
49,493 PL# 332267, 7.50%, 08/15/07.... 52,882
45,765 PL# 332704, 7.50%, 09/15/07.... 48,897
15,547 PL# 333320, 7.50%, 09/15/07.... 16,612
16,671 PL# 333709, 7.50%, 09/15/07.... 17,812
1,684 PL# 335542, 7.50%, 08/15/07.... 1,799
31,774 PL# 335995, 7.50%, 08/15/07.... 33,950
53,654 PL# 345973, 6.50%, 11/15/08.... 57,081
57,891 PL# 345975, 6.50%, 10/15/08.... 61,589
25,171 PL# 363874, 6.50%, 11/15/08.... 26,778
76,450 PL# 366531, 6.50%, 11/15/08.... 81,332
54,305 PL# 369749, 6.50%, 09/15/08.... 57,774
85,449 PL# 370448, 6.50%, 11/15/08.... 90,906
114,561 PL# 371094, 6.50%, 11/15/08.... 121,877
205,435 PL# 374726, 6.50%, 10/15/08.... 218,555
------------
7,795,899
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 3.3%
9,650,304 Fannie Mae Grantor Trust,
Series 2003-T2, Class A1,
Floating Rate,
1.18%, 03/25/33(a)........... 9,657,702
13,471 Freddie Mac -- Government
National Mortgage
Association, Series 31, Class
F, Floating Rate,
1.78%, 08/25/23(a)........... 13,483
------------
9,671,185
------------
SMALL BUSINESS ADMINISTRATION -- 1.4%
4,000,000 5.89%, 09/01/11................ 4,258,168
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$135,044,037)................ 139,666,276
------------
</Table>
See notes to financial statements.
55
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
'-CORPORATE BONDS AND NOTES -- 14.5%
CONSUMER GOODS AND SERVICES -- 0.4%
$ 1,000,000 Eastman Kodak Company, Series
MTNA,
6.38%, 06/15/06.............. $ 1,105,577
------------
FINANCIAL SERVICES -- 1.4%
2,000,000 Ford Motor Credit Company,
7.50%, 03/15/05.............. 2,126,186
2,000,000 General Electric Capital Corp.,
Series MTNA,
6.75%, 09/11/03.............. 2,021,372
------------
4,147,558
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.6%
1,751,090 Bank of America Mortgage
Securities, Series 2003-B,
Class 2A2,
4.41%, 03/25/33.............. 1,781,304
------------
PUBLIC ADMINISTRATION -- 1.0%
2,665,984 Attransco, Inc.,
6.12%, 04/01/08.............. 2,953,158
------------
SHIPBUILDING -- 0.5%
1,358,000 Sulphur Carriers, Inc., Series
2009,
8.30%, 10/15/09.............. 1,503,659
------------
SOVEREIGN AGENCIES -- 4.5%
7,000,000 Private Export Funding,
3.40%, 02/15/08.............. 7,272,342
2,500,000 Tennessee Valley Authority,
Series A,
6.38%, 06/15/05.............. 2,736,575
3,000,000 Tennessee Valley Authority,
Series G,
5.38%, 11/13/08.............. 3,382,770
------------
13,391,687
------------
SPECIAL PURPOSE ENTITY -- 6.1%
5,379,108 Overseas Private Investment
Corp., Floating Rate,
5.14%, 08/15/07(b)........... 5,822,991
3,409,090 Overseas Private Investment
Corp.,
7.45%, 12/15/10.............. 3,981,909
7,500,001 Overseas Private Investment
Corp., Series 1997,
7.05%, 11/15/13.............. 8,488,614
------------
18,293,514
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $39,829,501)........... 43,176,457
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
FOREIGN GOVERNMENT OBLIGATIONS -- 0.7%
$ 2,000,000 Republic of Italy, Series DTC,
5.25%, 04/05/06 (Cost
$1,994,226).................. $ 2,171,112
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 21.2%
FANNIE MAE -- 3.8%
11,200,000 0.98%, 08/13/03................ 11,186,957
------------
FEDERAL HOME LOAN BANK -- 5.8%
17,400,000 0.90%, 07/02/03................ 17,399,565
------------
FREDDIE MAC -- 11.6%
600,000 0.99%, 08/14/03................ 599,274
33,800,000 0.98%, 08/29/03................ 33,745,990
------------
34,345,264
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$62,931,786)................. 62,931,786
------------
TIME DEPOSITS -- 0.9%
388,960 American Express Centurion
Bank,
1.26%, 07/07/03(d)........... 388,960
311,168 Bank of Montreal,
1.08%, 07/02/03(d)........... 311,168
64,214 Bank of Montreal,
1.15%, 07/09/03(d)........... 64,214
777,921 Bank of Novia Scotia,
1.03%, 07/08/03(d)........... 777,921
466,753 Credit Agricole Indosuez,
0.94%, 07/01/03(d)........... 466,753
248,935 Credit Agricole Indosuez,
1.05%, 08/26/03(d)........... 248,935
155,584 Den Danske Bank,
1.04%, 07/24/03(d)........... 155,584
155,584 Royal Bank of Scotland,
1.05%, 07/28/03(d)........... 155,584
------------
TOTAL TIME DEPOSITS (Cost
$2,569,119).................. 2,569,119
------------
SHORT TERM CORPORATE NOTES -- 1.3%
155,584 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(d)........ 155,584
388,961 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(d)........ 388,961
622,337 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(d)........ 622,337
</Table>
See notes to financial statements.
56
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 248,935 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(d)........ $ 248,935
77,792 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(d)........ 77,792
311,168 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(d)........ 311,168
1,944,803 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(d)........ 1,944,803
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $3,749,580)...... 3,749,580
------------
<Caption>
SHARES
------
REGULATED INVESTMENT COMPANIES -- 1.6%
2,722,724 BlackRock Tempcash Fund(d)..... 2,722,724
1,166,882 Dreyfus Cash Management Plus
Fund(d)...................... 1,166,882
394,099 Merrill Lynch Premier
Institutional Fund(d)........ 394,099
513,428 Merrimac Cash Fund -- Premium
Class(d)..................... 513,428
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$4,797,133).................. 4,797,133
------------
COMMERCIAL PAPER -- 0.1%
155,584 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(d) (Cost
$155,584).................... 155,584
------------
TOTAL SECURITIES (Cost
$314,056,986)................ 325,249,996
------------
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 0.1%
$ 42,262 With Investors Bank and Trust,
dated 6/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $42,263
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
4.895%, due 01/01/38, with a
value of $44,760)............ $ 42,262
155,584 With Morgan Stanley, dated
6/30/03, 1.48%, due 07/01/03,
repurchase proceeds at
maturity $155,590
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$386, Verizon Global Funding
Corp., 6.875%, due 06/15/12,
with a value of $45,
Prudential Funding LLC,
6.60%, due 05/15/08, with a
value of $26,497, Jersey
Central Power & Lighting
Company, 4.80%, due 06/15/18,
with a value of $1,490,
Corporation Andina de
Fomento, 7.375%, due
01/18/11, with a value of
$37,120, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$77,254 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$13,952)(d).................. 155,584
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $197,846).............. 197,846
------------
Total Investments -- 109.8%
(Cost $314,254,832).......... 325,447,842
Liabilities less other
assets -- (9.8)%............. (29,097,951)
------------
NET ASSETS -- 100.0%........... $296,349,891
============
</Table>
See notes to financial statements.
57
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $314,254,832.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $11,509,920
Gross unrealized depreciation.......... (316,910)
-----------
Net unrealized appreciation............ $11,193,010
===========
</Table>
- ---------------
(a) Monthly reset provision. The rate shown was in effect at June 30, 2003.
(b) Quarterly reset provision. The rate shown was in effect at June 30, 2003.
(c) All or part of this security is on loan.
(d) Collateral for securities on loan.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
58
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US TREASURY SECURITIES -- 18.9%
US TREASURY BONDS -- 11.7%
$ 6,130,000 10.38%, 11/15/12(a)........... $ 8,167,508
8,670,000 12.00%, 08/15/13(a)........... 12,602,322
2,455,000 9.25%, 02/15/16............... 3,759,700
23,280,000 8.13%, 08/15/19(a)............ 33,676,894
12,530,000 8.50%, 02/15/20............... 18,769,063
14,485,000 8.00%, 11/15/21............... 20,989,113
19,225,000 6.00%, 02/15/26(a)............ 22,986,659
14,465,000 6.75%, 08/15/26............... 18,853,667
6,250,000 6.50%, 11/15/26............... 7,930,913
19,575,000 5.38%, 02/15/31(a)............ 22,048,653
--------------
169,784,492
--------------
US TREASURY NOTES -- 6.4%
12,150,000 1.63%, 04/30/05(a)............ 12,233,543
2,385,000 2.00%, 05/15/06............... 2,411,087
8,690,000 2.63%, 05/15/08(a)............ 8,772,155
7,015,000 6.50%, 02/15/10............... 8,512,541
9,350,000 5.00%, 08/15/11............... 10,490,999
5,325,000 4.00%, 11/15/12............... 5,542,787
44,190,000 3.63%, 05/15/13(a)............ 44,549,089
--------------
92,512,201
--------------
US TREASURY STRIPS -- 0.8%
13,685,000 Zero coupon, 05/15/17......... 7,431,694
3,950,000 Zero coupon, 11/15/21......... 1,614,377
6,000,000 Zero coupon, 11/15/22......... 2,318,052
--------------
11,364,123
--------------
TOTAL US TREASURY SECURITIES
(Cost $266,014,874)......... 273,660,816
--------------
US GOVERNMENT AGENCY SECURITIES -- 31.6%
FANNIE MAE -- 20.2%
7,375,000 1.75%, 06/16/06............... 7,354,756
4,565,000 7.25%, 01/15/10............... 5,669,620
14,515,000 7.13%, 06/15/10(a)............ 17,967,755
13,355,000 6.00%, 05/15/11............... 15,638,370
9,145,000 4.75%, 02/21/13............... 9,448,934
1,582,598 PL# 252571, 7.00%, 07/01/29... 1,667,933
28,897 PL# 252716, 7.00%, 09/01/29... 30,455
6,360 PL# 253264, 7.00%, 05/01/30... 6,702
8,628 PL# 253346, 7.50%, 06/01/30... 9,170
106,496 PL# 253479, 7.00%, 10/01/30... 112,215
60,722 PL# 253698, 6.00%, 02/01/16... 63,412
173,981 PL# 253990, 7.00%, 09/01/16... 185,116
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 175,985 PL# 254008, 7.00%, 10/01/31... $ 185,384
5,362 PL# 259141, 7.50%, 12/01/30... 5,698
25,090 PL# 323250, 6.00%, 08/01/13... 26,261
304,567 PL# 323967, 7.00%, 10/01/29... 320,990
25,030 PL# 492742, 7.00%, 05/01/29... 26,380
17,235 PL# 503916, 7.50%, 06/01/29... 18,325
16,089 PL# 508415, 7.00%, 08/01/29... 16,957
78,080 PL# 515946, 7.00%, 10/01/29... 82,290
57,446 PL# 524164, 7.00%, 11/01/29... 60,544
268,694 PL# 524657, 7.00%, 01/01/30... 283,122
213,117 PL# 526053, 7.00%, 12/01/29... 224,608
3,955 PL# 527717, 7.50%, 01/01/30... 4,205
61,102 PL# 528107, 7.00%, 02/01/30... 64,396
6,803 PL# 531092, 7.50%, 10/01/29... 7,233
63,176 PL# 531497, 7.00%, 02/01/30... 66,568
58,707 PL# 531735, 7.00%, 02/01/30... 61,859
11,523 PL# 533841, 7.50%, 12/01/30... 12,246
147,107 PL# 535030, 7.00%, 12/01/29... 155,039
166,856 PL# 535103, 7.00%, 01/01/15... 177,585
65,944 PL# 535159, 7.00%, 02/01/30... 69,500
259,565 PL# 535195, 7.00%, 03/01/30... 273,561
122,030 PL# 535277, 7.00%, 04/01/30... 128,610
2,387,720 PL# 535675, 7.00%, 01/01/16... 2,541,049
7,268 PL# 535722, 7.00%, 02/01/31... 7,658
42,876 PL# 535723, 7.00%, 02/01/31... 45,178
11,223 PL# 535811, 6.50%, 04/01/31... 11,707
841,147 PL# 535880, 7.00%, 02/01/31... 886,315
6,261 PL# 538314, 7.50%, 05/01/30... 6,657
12,326 PL# 540211, 7.50%, 06/01/30... 13,099
3,330 PL# 541401, 7.50%, 07/01/30... 3,539
13,148 PL# 542999, 7.50%, 08/01/30... 13,974
244,047 PL# 548822, 7.00%, 08/01/30... 257,151
124,831 PL# 549659, 7.00%, 02/01/16... 132,820
104,720 PL# 549962, 7.00%, 10/01/30... 110,343
317,087 PL# 549975, 7.00%, 10/01/30... 334,114
107,886 PL# 550440, 7.00%, 02/01/16... 114,791
5,377 PL# 550544, 7.50%, 09/01/30... 5,714
25,297 PL# 552603, 7.00%, 10/01/30... 26,656
333,689 PL# 554493, 7.00%, 10/01/30... 351,608
8,532 PL# 558362, 7.50%, 11/01/30... 9,068
4,236 PL# 558519, 7.50%, 11/01/30... 4,502
73,144 PL# 559277, 7.00%, 10/01/30... 77,071
207,463 PL# 559313, 7.00%, 12/01/30... 218,603
</Table>
See notes to financial statements.
59
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 14,923 PL# 559741, 7.50%, 01/01/31... $ 15,860
71,935 PL# 560384, 7.00%, 11/01/30... 75,797
18,689 PL# 560596, 7.50%, 01/01/31... 19,862
11,172 PL# 561678, 7.50%, 12/01/30... 11,873
11,081 PL# 564080, 7.50%, 12/01/30... 11,777
91,228 PL# 564183, 7.00%, 12/01/30... 96,127
12,233 PL# 564529, 7.50%, 12/01/30... 13,001
67,957 PL# 566658, 7.00%, 02/01/31... 71,587
4,271 PL# 569361, 7.50%, 02/01/31... 4,539
6,700 PL# 575285, 7.50%, 03/01/31... 7,121
39,469 PL# 577525, 6.00%, 05/01/16... 41,207
868,266 PL# 579224, 6.00%, 04/01/16... 906,511
104,466 PL# 580179, 7.00%, 10/01/16... 111,152
18,171 PL# 580377, 7.50%, 04/01/31... 19,312
20,397 PL# 589405, 7.50%, 06/01/31... 21,678
131,875 PL# 589893, 7.00%, 06/01/31... 138,918
15,367 PL# 592129, 7.50%, 06/01/31... 16,332
10,793 PL# 593988, 7.50%, 07/01/31... 11,471
139,048 PL# 598125, 7.00%, 09/01/16... 147,947
31,119 PL# 606600, 7.00%, 10/01/31... 32,782
118,233 PL# 610128, 7.00%, 10/01/31... 124,548
109,214 PL# 611323, 7.00%, 10/01/16... 116,203
77,805 PL# 611695, 5.50%, 12/01/16... 80,859
37,291 PL# 617705, 6.00%, 04/01/32... 38,780
39,522 PL# 647556, 7.00%, 01/01/30... 41,653
3,406,184 PL# 658906, 4.65%, 01/01/33... 3,527,018
14,100,000 TBA, 4.50%, 07/01/18.......... 14,386,399
22,500,000 TBA, 5.00%, 07/01/18.......... 23,245,312
2,700,000 TBA, 5.50%, 07/01/18.......... 2,804,625
10,900,000 TBA, 6.00%, 07/01/18.......... 11,339,401
6,300,000 TBA, 6.00%, 07/01/18.......... 6,577,591
9,300,000 TBA, 6.50%, 07/01/18.......... 9,814,402
13,700,000 TBA, 5.00%, 07/01/33.......... 13,922,625
1,800,000 TBA, 5.50%, 07/01/33.......... 1,860,750
71,200,000 TBA, 6.00%, 07/01/33.......... 74,003,500
48,200,000 TBA, 6.50%, 07/01/33.......... 50,278,624
3,000,000 TBA, 7.00%, 07/01/33.......... 3,160,314
8,700,000 TBA, 5.00%, 08/01/33.......... 8,806,036
--------------
291,500,910
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE GOLD -- 0.3%
$ 2,779,931 PL# E89561, 6.00%, 04/01/17... $ 2,891,802
1,796,823 PL# E89913, 6.00%, 05/01/17... 1,869,132
--------------
4,760,934
--------------
FREDDIE MAC -- 4.0%
5,350,000 3.50%, 04/01/08............... 5,469,792
10,250,000 6.63%, 09/15/09............... 12,317,856
2,425,000 7.00%, 03/15/10............... 2,976,763
1,673,138 6.00%, 02/01/32............... 1,735,319
5,900,000 TBA, 5.00%, 07/01/18.......... 6,093,591
19,900,000 TBA, 5.50%, 07/01/33.......... 20,534,312
8,700,000 TBA, 7.00%, 07/01/33.......... 9,124,125
--------------
58,251,758
--------------
FREDDIE MAC GOLD -- 2.1%
302,973 PL# C63423, 6.00%, 02/01/32... 314,230
18,468 PL# C67653, 7.00%, 06/01/32... 19,368
999,900 PL# C68001, 7.00%, 06/01/32... 1,048,612
681,462 PL# C90229, 7.00%, 08/01/18... 720,414
17,578 PL# E84758, 5.50%, 07/01/16... 18,240
828,355 PL# E86502, 5.50%, 12/01/16... 859,538
17,273 PL# E86565, 5.50%, 12/01/16... 17,923
1,571,203 PL# E88749, 6.00%, 03/01/17... 1,634,568
2,005,828 PL# E88789, 6.00%, 04/01/17... 2,086,547
406,945 PL# E88979, 5.50%, 04/01/17... 422,205
2,422,107 PL# E90194, 6.00%, 06/01/17... 2,519,578
4,367,979 PL# E90195, 6.00%, 06/01/17... 4,543,757
15,009 PL# E91320, 5.50%, 09/01/17... 15,572
497,636 PL# E91602, 5.50%, 10/01/17... 516,296
4,912,466 PL# E91644, 5.50%, 10/01/17... 5,096,674
677,080 PL# E91754, 5.50%, 10/01/17... 702,469
3,326,936 PL# E91774, 5.50%, 10/01/17... 3,451,691
354,187 PL# E91776, 5.50%, 10/01/17... 367,469
21,009 PL# E91807, 5.50%, 10/01/17... 21,797
748,321 PL# E91860, 5.50%, 10/01/17... 776,382
199,972 PL# E91952, 5.50%, 10/01/17... 207,471
724,776 PL# E91967, 5.50%, 10/01/17... 751,954
632,594 PL# E91968, 5.50%, 10/01/17... 656,315
1,553,187 PL# E92007, 5.50%, 10/01/17... 1,611,429
1,867,099 PL# E92113, 5.50%, 10/01/17... 1,937,112
204,890 PL# G01391, 7.00%, 04/01/32... 214,914
--------------
30,532,525
--------------
</Table>
See notes to financial statements.
60
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION --
4.9%
$ 922,863 PL# 03173, 6.50%, 12/20/31.... $ 964,473
14,157 PL# 471588, 6.00%, 10/15/28... 14,870
124,705 PL# 493966, 7.00%, 06/15/29... 131,848
541,296 PL# 498467, 6.00%, 03/15/29... 568,353
442,905 PL# 522506, 7.00%, 04/15/32... 467,942
22,296 PL# 538228, 6.00%, 08/15/31... 23,390
333,030 PL# 538312, 6.00%, 02/15/32... 349,365
529,578 PL# 538328, 7.00%, 03/15/32... 559,514
25,700 PL# 542798, 6.00%, 05/15/31... 26,961
173,428 PL# 542876, 6.00%, 05/15/31... 181,937
347,699 PL# 552413, 7.00%, 02/15/32... 367,354
121,833 PL# 563346, 7.00%, 09/15/31... 128,716
389,330 PL# 563599, 7.00%, 06/15/32... 411,339
85,653 PL# 564300, 6.00%, 08/15/31... 89,855
685,913 PL# 564647, 6.00%, 06/15/31... 719,565
82,603 PL# 564706, 7.00%, 07/15/31... 87,269
460,763 PL# 567088, 7.00%, 08/15/31... 486,793
150,955 PL# 567217, 7.00%, 10/15/31... 159,483
37,702 PL# 568737, 6.00%, 05/15/32... 39,551
537,172 PL# 575523, 7.00%, 02/15/32... 567,538
26,479 PL# 577605, 6.00%, 07/15/32... 27,778
659,190 PL# 582008, 7.00%, 06/15/32... 696,454
526,674 PL# 582303, 7.00%, 08/15/32... 556,447
128,081 PL# 582956, 7.00%, 02/15/32... 135,322
109,366 PL# 585009, 6.00%, 07/15/32... 114,731
54,181 PL# 587174, 6.00%, 07/15/32... 56,838
329,176 PL# 587494, 7.00%, 06/15/32... 347,784
485,360 PL# 587698, 7.00%, 06/15/32... 512,797
24,227 PL# 593823, 6.00%, 10/15/32... 25,415
116,733 PL# 595411, 6.00%, 09/15/32... 122,459
34,352 PL# 599742, 6.00%, 10/15/32... 36,037
2,978,872 PL# 780914, 6.00%, 11/15/28... 3,128,844
124,916 PL# 781148, 6.00%, 07/15/29... 131,205
1,647,137 PL# 781328, 7.00%, 09/15/31... 1,740,977
13,106,459 PL# 781330, 6.00%, 09/15/31... 13,764,289
10,999,995 PL# 781539, 7.00%, 07/15/32... 11,626,456
588,222 PL# 781548, 7.00%, 11/15/32... 621,711
348,621 PL# 781584, 7.00%, 05/15/32... 368,496
20,400,000 TBA, 6.50%, 07/01/33.......... 21,426,366
8,000,000 TBA, 5.50%, 07/01/33.......... 8,330,000
--------------
70,116,522
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
RESOLUTION FUNDING STRIPS -- 0.1%
$ 1,200,000 Zero coupon, 07/15/18......... $ 581,195
1,200,000 Zero coupon, 10/15/18......... 571,346
--------------
1,152,541
--------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $452,949,532)......... 456,315,190
--------------
CORPORATE BONDS AND NOTES -- 30.7%
AEROSPACE AND DEFENSE -- 0.8%
800,000 General Dynamics Corp.,
4.25%, 05/15/13............. 805,422
840,000 Lockheed Martin Corp.,
7.25%, 05/15/06............. 957,257
1,550,000 Lockheed Martin Corp.,
7.75%, 05/01/26............. 1,939,605
550,000 Lockheed Martin Corp.,
8.50%, 12/01/29............. 749,898
2,120,000 Lockheed Martin Corp.,
7.20%, 05/01/36............. 2,586,135
35,000 Northrop Grumman Corp.,
7.13%, 02/15/11............. 41,991
940,000 Northrop Grumman Corp.,
7.75%, 02/15/31............. 1,209,740
2,825,000 Raytheon Company,
6.15%, 11/01/08............. 3,197,975
--------------
11,488,023
--------------
AIRLINES -- 0.2%
725,000 American Airlines, Inc.,
Series 99-1,
7.02%, 10/15/09............. 692,569
1,188,403 Continental Airlines, Inc.,
Series 974A,
6.90%, 01/02/18............. 1,154,835
715,000 Offshore Logistic,
6.13%, 06/15/13............. 720,363
--------------
2,567,767
--------------
AUTOMOBILES -- 0.9%
280,000 Asbury Automotive Group,
9.00%, 06/15/12............. 271,600
765,000 AutoNation, Inc.,
9.00%, 08/01/08............. 852,975
1,605,000 Daimler Chrysler AG Corp.,
7.45%, 03/01/27............. 1,686,739
</Table>
See notes to financial statements.
61
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
AUTOMOBILES (CONTINUED)
$ 2,095,000 Daimler Chrysler NA Holding,
4.75%, 01/15/08............. $ 2,151,221
4,200,000 Daimler Chrysler NA Holding,
4.05%, 06/04/08............. 4,163,910
965,000 General Motors,
8.25%, 07/15/23............. 970,327
3,400,000 General Motors,
8.38%, 07/15/33............. 3,327,750
--------------
13,424,522
--------------
AUTOMOTIVE EQUIPMENT -- 0.1%
760,000 Dura Operating Corp., Series
B,
8.63%, 04/15/12............. 782,800
--------------
BANKS -- 1.7%
1,350,000 Bank of America Corp.,
3.88%, 01/15/08............. 1,417,226
645,000 Bank of America Corp.,
7.80%, 02/15/10............. 796,299
1,630,000 Bank of America Corp.,
4.88%, 09/15/12............. 1,723,443
2,295,000 Barclays Bank PLC - 144A,
8.55%, perpetual
bond(c)(h).................. 2,945,862
5,050,000 European Investment Bank,
Series DTC,
5.63%, 01/24/06(a).......... 5,532,654
1,525,000 FleetBoston Financial Corp.,
Series MTNT,
4.20%, 11/30/07............. 1,605,631
350,000 HSBC Holdings PLC,
5.25%, 12/12/12............. 373,979
2,000,000 JP Morgan Chase & Company,
5.25%, 05/30/07............. 2,195,788
1,100,000 JP Morgan Chase & Company,
7.00%, 11/15/09............. 1,306,456
935,000 JP Morgan Chase & Company,
6.75%, 02/01/11............. 1,099,073
500,000 Sovereign Bancorp,
10.50%, 11/15/06............ 601,199
1,740,000 U.S. Bancorp, Series MTNN,
3.95%, 08/23/07............. 1,827,416
425,000 Wells Fargo Company,
5.90%, 05/21/06............. 470,090
2,210,000 Wells Fargo Company,
3.50%, 04/04/08............. 2,282,229
--------------
24,177,345
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA -- 1.9%
$ 1,245,000 AOL Time Warner, Inc.,
5.63%, 05/01/05............. $ 1,322,418
995,000 AOL Time Warner, Inc.,
7.63%, 04/15/31............. 1,152,649
1,600,000 British Sky Broadcasting,
6.88%, 02/23/09............. 1,810,570
2,395,000 Charter Communication Holdings
LLC,
10.75%, 10/01/09............ 1,868,099
600,000 Charter Communication Holdings
LLC,
11.13%, 01/15/11............ 468,000
250,000 Comcast Cable Communications,
Inc.,
6.38%, 01/30/06............. 273,007
1,055,000 Comcast Cable Communications,
Inc.,
6.88%, 06/15/09............. 1,221,539
1,100,000 Comcast Corp.,
5.85%, 01/15/10,(a)......... 1,212,316
2,910,000 Comcast Corp.,
7.05%, 03/15/33............. 3,244,792
2,020,000 Continental Cablevision,
8.30%, 05/15/06............. 2,326,300
1,120,000 Cox Enterprises - 144A,
4.38%, 05/01/08............. 1,165,895
240,000 CSC Holdings, Inc.,
7.88%, 12/15/07............. 246,600
305,000 CSC Holdings, Inc., Series B,
7.63%, 04/01/11............. 309,575
645,000 DirecTV Holdings - 144A,
8.38%, 03/15/13............. 722,400
1,800,000 Echostar Broadband Corp.,
10.38%, 10/01/07............ 2,002,499
825,000 News America, Inc.,
7.63%, 11/30/28............. 975,453
725,000 TCI Communications, Inc.,
7.88%, 02/15/26............. 852,300
620,000 Time Warner, Inc.,
6.88%, 06/15/18............. 699,315
865,000 Time Warner, Inc.,
9.15%, 02/01/23............. 1,096,734
610,000 Time Warner, Inc.,
6.95%, 01/15/28............. 655,421
2,420,000 Time Warner, Inc.,
6.63%, 05/15/29............. 2,504,697
500,000 Turner Broadcasting,
8.38%, 07/01/13............. 615,916
--------------
26,746,495
--------------
</Table>
See notes to financial statements.
62
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
CHEMICALS -- 0.3%
$ 2,490,000 Dow Chemical Company,
7.38%, 11/01/29............. $ 2,915,964
580,000 Lyondell Chemical Company,
11.13%, 07/15/12............ 597,400
560,000 Lyondell Chemical Company -
144A,
9.50%, 12/15/08............. 534,800
650,000 Methanex Corp.,
7.75%, 08/15/05............. 685,750
--------------
4,733,914
--------------
COMPUTER SOFTWARE AND SERVICES -- 0.0%
320,000 Unisys Corp.,
6.88%, 03/15/10............. 334,400
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.0%
270,000 Seagate Technology Holdings,
8.00%, 05/15/09............. 293,625
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.6%
415,000 Ainsworth Lumber Company,
Ltd.,
13.88%, 07/15/07............ 473,100
730,000 D.R. Horton, Inc.,
10.50%, 04/01/05............ 813,950
445,000 D.R. Horton, Inc.,
7.50%, 12/01/07............. 483,938
265,000 D.R. Horton, Inc.,
8.00%, 02/01/09............. 296,138
600,000 D.R. Horton, Inc.,
6.88%, 05/01/13............. 634,500
890,000 D.R. Horton, Inc.,
5.88%, 07/01/13............. 876,650
1,020,000 NVR, Inc.,
5.00%, 06/15/10............. 1,027,649
1,800,000 Ryland Group,
8.00%, 08/15/06............. 1,979,999
165,000 Ryland Group,
5.38%, 06/01/08............. 171,188
375,000 Ryland Group,
9.13%, 06/15/11............. 430,313
765,000 Standard Pacific Corp. - 144A,
6.88%, 05/15/11............. 805,163
305,000 Toll Corp.,
8.25%, 12/01/11............. 343,125
--------------
8,335,713
--------------
CONSUMER GOODS AND SERVICES -- 0.2%
2,355,000 General Electric Company,
5.00%, 02/01/13............. 2,492,233
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
CONTAINERS AND PACKAGING -- 0.2%
$ 1,300,000 Crown Euro Holdings SA - 144A,
9.50%, 03/01/11............. $ 1,410,500
500,000 Crown Euro Holdings SA - 144A,
10.88%, 03/01/13(a)......... 547,500
1,060,000 Owens-Brockway Glass
Containers,
8.75%, 11/15/12(a).......... 1,155,400
415,000 Smurfit-Stone Container Corp.,
8.25%, 10/01/12............. 447,163
--------------
3,560,563
--------------
ELECTRONICS -- 0.1%
945,000 Flextronics International,
Ltd. - 144A,
6.50%, 05/15/13............. 914,288
300,000 L-3 Communications
Corp - 144A,
6.13%, 07/15/13............. 304,500
400,000 L-3 Communications Corp.,
7.63%, 06/15/12............. 442,000
--------------
1,660,788
--------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1%
235,000 Allied Waste North America
Industries, Inc.,
7.88%, 04/15/13............. 247,044
400,000 Allied Waste North America
Industries, Inc.,
7.40%, 09/15/35............. 370,000
300,000 Allied Waste North America
Industries, Inc. - 144A,
9.25%, 09/01/12............. 332,250
425,000 Allied Waste North America
Industries, Inc., Series B,
8.88%, 04/01/08............. 463,250
525,000 Allied Waste North America
Industries, Inc., Series B,
10.00%, 08/01/09(a)......... 560,437
--------------
1,972,981
--------------
FINANCIAL SERVICES -- 5.8%
2,825,000 Bear Stearns Company, Inc.,
2.88%, 07/02/08............. 2,801,086
1,995,000 Citigroup, Inc.,
6.75%, 12/01/05............. 2,225,576
2,370,000 Citigroup, Inc.,
5.75%, 05/10/06............. 2,618,160
6,975,000 Citigroup, Inc.,
3.50%, 02/01/08............. 7,182,019
3,095,000 Citigroup, Inc.,
7.25%, 10/01/10............. 3,755,402
</Table>
See notes to financial statements.
63
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 865,000 Citigroup, Inc.,
5.88%, 02/22/33............. $ 912,748
940,000 Credit Suisse First Boston
USA, Inc.,
6.13%, 11/15/11............. 1,054,768
60,000 Ford Motor Credit Company,
7.50%, 03/15/05............. 63,786
3,700,000 Ford Motor Credit Company,
6.88%, 02/01/06............. 3,926,540
250,000 Ford Motor Credit Company,
5.80%, 01/12/09............. 248,754
4,920,000 Ford Motor Credit Company,
7.38%, 10/28/09............. 5,165,498
2,000,000 General Electric Capital
Corp., Series MTNA,
6.50%, 12/10/07............. 2,304,440
5,435,000 General Electric Capital
Corp., Series MTNA,
6.13%, 02/22/11............. 6,207,107
3,560,000 General Electric Capital
Corp., Series MTNA,
5.88%, 02/15/12............. 3,989,069
1,870,000 General Electric Capital
Corp., Series MTNA,
6.00%, 06/15/12............. 2,114,512
710,000 General Motors Acceptance
Corp.,
7.25%, 03/02/11............. 729,597
5,905,000 General Motors Acceptance
Corp.,
6.88%, 09/15/11............. 5,933,893
745,000 General Motors Acceptance
Corp.,
8.00%, 11/01/31............. 732,985
270,000 Goldman Sachs Group, Inc.,
7.35%, 10/01/09............. 328,972
1,195,000 Goldman Sachs Group, Inc.,
6.88%, 01/15/11............. 1,412,163
1,615,000 Goldman Sachs Group, Inc.,
6.13%, 02/15/33............. 1,738,013
450,000 Household Finance Corp.,
7.20%, 07/15/06............. 514,053
1,400,000 Household Finance Corp.,
4.63%, 01/15/08............. 1,495,390
750,000 Household Finance Corp.,
6.75%, 05/15/11............. 872,386
2,915,000 Household Finance Corp.,
6.38%, 10/15/11............. 3,319,966
1,525,000 Household Finance Corp.,
7.00%, 05/15/12............. 1,808,138
850,000 Household Finance Corp.,
7.63%, 05/17/32............. 1,081,041
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 280,000 LaBranche & Company,
9.50%, 08/15/04............. $ 295,400
2,895,000 Lehman Brothers Holdings,
Inc.,
6.25%, 05/15/06............. 3,236,483
4,475,000 Lehman Brothers Holdings,
Inc.,
4.00%, 01/22/08............. 4,668,705
1,300,000 Morgan Stanley,
6.10%, 04/15/06............. 1,432,085
1,125,000 Morgan Stanley,
5.80%, 04/01/07............. 1,243,478
775,000 Morgan Stanley,
4.25%, 05/15/10............. 798,884
1,395,000 Morgan Stanley,
6.75%, 04/15/11............. 1,634,233
3,630,000 SLM Corp, Series MTN1,
Floating Rate,
1.39%, 07/25/07(c).......... 3,642,792
1,300,000 Wells Fargo Financial,
6.13%, 04/18/12............. 1,494,754
--------------
82,982,876
--------------
FOOD AND BEVERAGE -- 1.3%
265,000 Del Monte Corp. - 144A,
8.63%, 12/15/12............. 282,225
860,000 Delhaize America, Inc.,
8.13%, 04/15/11............. 946,000
1,675,000 General Mills, Inc.,
5.13%, 02/15/07(a).......... 1,826,137
2,305,000 General Mills, Inc.,
6.00%, 02/15/12............. 2,606,699
2,950,000 Kellogg Company, Series B,
6.60%, 04/01/11............. 3,464,923
4,765,000 Kraft Foods, Inc.,
5.63%, 11/01/11............. 5,200,978
550,000 Kraft Foods, Inc.,
6.50%, 11/01/31............. 609,350
3,050,000 Unilever Capital Corp.,
7.13%, 11/01/10............. 3,701,822
--------------
18,638,134
--------------
INSURANCE -- 0.7%
540,000 American General Capital II,
8.50%, 07/01/30............. 751,182
510,000 Americo Life, Inc. - 144A,
7.88%, 05/01/13............. 520,200
4,000,000 ASIF Global Financing - 144A,
3.85%, 11/26/07............. 4,137,411
800,000 Fund American Companies, Inc.,
5.88%, 05/15/13............. 838,073
</Table>
See notes to financial statements.
64
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
INSURANCE (CONTINUED)
$ 1,460,000 Marsh & McLennan Companies,
Inc.,
6.25%, 03/15/12............. $ 1,667,078
625,000 MetLife, Inc.,
6.50%, 12/15/32............. 715,735
900,000 New York Life
Insurance - 144A,
5.88%, 05/15/33............. 947,938
1,100,000 Prudential Insurance Company -
144A,
6.38%, 07/23/06............. 1,231,152
--------------
10,808,769
--------------
LEISURE AND RECREATION -- 0.3%
855,000 Boyd Gaming Corp. - 144A,
7.75%, 12/15/12............. 911,643
420,000 MGM MIRAGE, Inc.,
9.75%, 06/01/07............. 478,800
750,000 Mohegan Tribal Gaming,
8.75%, 01/01/09............. 811,875
825,000 Park Place Entertainment,
8.88%, 09/15/08............. 911,625
825,000 Starwood Hotels & Resorts
Worldwide, Inc. - 144A,
7.38%, 05/01/07............. 872,438
--------------
3,986,381
--------------
MACHINERY -- 0.0%
450,000 Terex Corp., 9.25%,
07/15/11.................... 486,000
--------------
MANUFACTURING -- 0.5%
1,680,000 Briggs & Stratton Corp.,
8.88%, 03/15/11............. 1,948,800
765,000 Dresser, Inc.,
9.38%, 04/15/11............. 791,775
530,000 SPX Corp.,
6.25%, 06/15/11............. 543,250
420,000 Tyco International Group SA,
6.38%, 06/15/05............. 439,950
1,025,000 Tyco International Group SA,
6.38%, 02/15/06,(a)......... 1,073,688
526,000 Tyco International Group SA,
5.80%, 08/01/06............. 545,725
2,140,000 Tyco International Group SA,
6.13%, 01/15/09............. 2,236,300
255,000 Tyco International Group SA,
6.75%, 02/15/11............. 271,575
--------------
7,851,063
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
MEDICAL AND OTHER HEALTH SERVICES -- 0.0%
$ 50,000 HealthSouth Corp.,
7.00%, 06/15/08............. $ 39,500
350,000 United Surgical Partners,
Inc.,
10.00%, 12/15/11............ 379,750
--------------
419,250
--------------
OIL AND GAS: PIPELINES -- 0.5%
365,000 El Paso Natural Gas - 144A,
8.38%, 06/15/32............. 388,725
1,190,000 El Paso Production Holdings -
144A,
7.75%, 06/01/13............. 1,192,975
965,000 Gulfterra Energy
Partner - 144A,
6.25%, 06/01/10............. 967,413
200,000 Gulfterra Energy
Partner - 144A,
10.63%, 12/01/12............ 232,000
200,000 Gulfterra Energy Partner,
Series B,
8.50%, 06/01/11............. 215,000
1,765,000 Kinder Morgan Energy Partners,
7.30%, 08/15/33............. 2,126,695
110,000 Kinder Morgan, Inc.,
7.25%, 03/01/28............. 127,753
1,425,000 Tennessee Gas Pipeline,
7.50%, 04/01/17............. 1,471,313
280,000 Tennessee Gas Pipeline,
8.38%, 06/15/32............. 305,900
--------------
7,027,774
--------------
OIL, COAL AND GAS -- 1.3%
1,825,000 Amerada Hess Corp.,
7.13%, 03/15/33............. 2,084,095
1,710,000 Anadarko Petroleum Corp,
5.38%, 03/01/07............. 1,872,754
425,000 Chesapeake Energy Corp.,
9.00%, 08/15/12............. 476,000
250,000 Chesapeake Energy Corp.,
7.75%, 01/15/15............. 268,125
2,085,000 Conoco, Inc.,
6.95%, 04/15/29............. 2,516,814
1,865,000 ConocoPhillips,
5.90%, 10/15/32............. 2,008,443
605,000 Devon Energy Corp.,
7.95%, 04/15/32............. 781,298
1,400,000 Devon Financing Corp. ULC,
6.88%, 09/30/11............. 1,644,898
950,000 Gazprom OAO,
9.63%, 03/01/13............. 1,053,123
3,070,000 Gazprom OAO - 144A,
9.63%, 03/01/13............. 3,392,349
</Table>
See notes to financial statements.
65
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$ 1,075,000 Occidental Petroleum,
6.75%, 01/15/12............. $ 1,280,498
705,000 Swift Energy Company,
9.38%, 05/01/12............. 770,213
--------------
18,148,610
--------------
PAPER AND FOREST PRODUCTS -- 0.5%
1,375,000 Georgia-Pacific Corp. - 144A,
8.88%, 02/01/10............. 1,498,750
515,000 International Paper Company,
5.85%, 10/30/12............. 562,310
725,000 Tembec Industries, Inc.,
8.50%, 02/01/11............. 721,375
1,700,000 Weyerhaeuser Company,
6.00%, 08/01/06............. 1,866,138
1,375,000 Weyerhaeuser Company,
6.95%, 10/01/27............. 1,503,747
1,125,000 Weyerhaeuser Company,
6.88%, 12/15/33............. 1,232,462
--------------
7,384,782
--------------
PHARMACEUTICALS -- 0.2%
790,000 AmerisourceBergen Corp.,
8.13%, 09/01/08............. 872,950
445,000 Omnicare, Inc.,
6.13%, 06/01/13............. 456,125
1,025,000 Pharmacia Corp.,
6.50%, 12/01/18............. 1,279,231
--------------
2,608,306
--------------
PRIVATE ASSET BACKED: AUTOMOBILES -- 0.6%
8,000,000 Daimler Chrysler Auto Trust,
Series 01-C, Class A4,
4.63%, 12/06/06............. 8,370,305
--------------
PRIVATE ASSET BACKED: BANKS -- 0.8%
8,867,616 Banc of America Funding Corp.,
Series 2003-1, Class A1,
6.00%, 05/20/33............. 9,047,970
1,975,182 Washington Mutual MSC, Series
2002-MS12, Class A,
6.50%, 05/25/32............. 2,025,964
345,751 Washington Mutual, Series
2000-1, Class A1, Floating
Rate,
1.33%, 06/25/24(d).......... 345,986
--------------
11,419,920
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: CREDIT CARDS -- 0.4%
$ 6,050,000 Sears Credit Account Master
Trust, Series 2002-5, Class
A, Floating Rate,
1.56%, 11/17/09(d).......... $ 6,061,101
--------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 0.2%
2,980,000 Morgan Stanley Capital I,
Series 1999-FNV1, Class A2,
6.53%, 03/15/31............. 3,451,147
--------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 4.9%
1,947,895 Bear Stearns Commercial
Mortgage Securities, Series
01, Class A1,
6.08%, 02/15/35............. 2,162,663
4,875,000 DLJ Commercial Mortgage Corp.,
Series 2000-CKP1, Class A1B,
7.18%, 08/10/10............. 5,759,254
12,300,000 FNMA, Series 1999-51, Class
LG,
6.50%, 12/25/28............. 12,588,487
6,150,000 GMAC Commercial Mortgage
Securities, Inc., Series
1999-C2, Class A2,
6.95%, 09/15/33............. 7,237,771
12,200,000 Government National Mortgage
Association, Series 2003-58,
Class ZM,
3.50%, 07/25/33............. 12,188,532
6,590,000 LB Commercial Conduit Mortgage
Trust, Series 1998-C1, Class
A3,
6.48%, 02/18/30............. 7,525,105
7,425,000 LB Commercial Conduit Mortgage
Trust, Series 1998-C4, Class
A1B,
6.21%, 10/15/35............. 8,418,321
6,900,000 LB-UBS Commercial Mortgage
Trust, Series 2000-C3, Class
A2,
7.95%, 01/15/10............. 8,589,685
5,330,000 NationsLink Funding Corp.,
Series 1998-2, Class A2,
6.48%, 08/20/30............. 6,142,170
--------------
70,611,988
--------------
PRIVATE ASSET BACKED: OTHER -- 1.5%
4,400,000 Impac Secured Assets CMN Owner
Trust, Series 2003-2, Class
A2,
6.00%, 08/25/33............. 4,591,125
4,508,591 SLM Student Loan Trust, Series
2002-1, Class A1, Floating
Rate,
1.35%, 10/25/10(c).......... 4,511,499
</Table>
See notes to financial statements.
66
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: OTHER (CONTINUED)
$ 3,712,493 Small Business Administration,
Series 2002-P10B, Class 1,
5.20%, 08/01/12............. $ 3,833,579
8,785,465 Structured Asset Securities
Corp., Series 2003-AL2,
Class A,
3.36%, 01/25/31............. 8,707,999
--------------
21,644,202
--------------
PRIVATE ASSET BACKED: UTILITIES -- 0.7%
8,000,000 Peco Energy Transition Trust,
Series 2000-A, Class A4,
7.65%, 03/01/10............. 9,827,566
--------------
REAL ESTATE -- 0.2%
2,250,000 EOP Operating LP,
7.50%, 04/19/29............. 2,599,688
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
910,000 AvalonBay Communities,
Series MTN,
6.63%, 09/15/11............. 1,038,252
--------------
RETAIL -- 0.3%
1,575,000 Sears Roebuck Acceptance
Corp.,
6.75%, 08/15/11............. 1,780,500
290,000 Sears Roebuck Acceptance
Corp.,
6.70%, 04/15/12............. 327,837
780,000 Sears Roebuck Acceptance
Corp.,
7.00%, 06/01/32............. 875,343
850,000 Wal-Mart Stores,
6.88%, 08/10/09............. 1,024,332
--------------
4,008,012
--------------
RETAIL: RESTAURANT -- 0.1%
885,000 Yum! Brands, Inc.,
8.88%, 04/15/11............. 1,053,150
--------------
RETAIL: SUPERMARKET -- 0.0%
400,000 Kroger Company, Series B,
7.70%, 06/01/29............. 483,069
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.0%
290,000 PerkinElmer Inc. - 144A,
8.88%, 01/15/13............. 320,479
--------------
SPECIAL PURPOSE ENTITY -- 0.1%
1,825,000 Principal Life Global - 144A,
5.25%, 01/15/13............. 1,941,043
--------------
TELECOMMUNICATIONS EQUIPMENT AND SERVICES --
1.5%
1,150,000 Ameritech Capital Funding,
6.25%, 05/18/09............. 1,303,484
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
$ 520,000 AT&T Corp.,
8.50%, 11/15/31(i).......... $ 591,673
1,000,000 British Telecom PLC,
8.88%, 12/15/30............. 1,369,646
345,000 Deutsche Telekom,
8.50%, 06/15/10............. 424,483
1,975,000 Deutsche Telekom International
Finance,
8.75%, 06/15/30**........... 2,525,367
2,350,000 New England Telephone &
Telegraph,
7.88%, 11/15/29............. 3,045,595
970,000 New Jersey Bell Telephone,
7.85%, 11/15/29............. 1,249,039
635,000 Nextel Communications,
9.95%, 02/15/08(a).......... 666,750
240,000 Panamsat Corp.,
8.50%, 02/01/12............. 261,000
585,000 Panamsat Corp.,
6.88%, 01/15/28............. 576,225
980,000 Qwest Capital Funding Corp.,
7.75%, 08/15/06............. 916,300
795,000 Qwest Capital Funding Corp.,
7.00%, 08/03/09(a).......... 657,863
500,000 Qwest Corp - 144A,
8.88%, 03/15/12............. 561,250
990,000 SBC Communications, Inc.,
6.25%, 03/15/11............. 1,137,714
875,000 Verizon Maryland, Inc., Series
A,
6.13%, 03/01/12............. 994,142
2,300,000 Verizon New Jersey, Inc.,
Series A,
5.88%, 01/17/12............. 2,579,259
845,000 Vodafone Group PLC,
6.25%, 11/30/32............. 918,918
2,290,000 WorldCom, Inc.,
6.40%, 08/15/05*............ 681,275
1,620,000 WorldCom, Inc.,
8.00%, 05/15/06*(a)......... 481,950
140,000 WorldCom, Inc.,
7.50%, 05/15/11*............ 41,650
1,960,000 WorldCom, Inc.,
8.25%, 05/15/31*............ 583,100
--------------
21,566,683
--------------
TRANSPORTATION: FREIGHT -- 0.3%
1,350,000 Burlington Northern Santa Fe
Corp.,
7.29%, 06/01/36............. 1,656,199
</Table>
See notes to financial statements.
67
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
TRANSPORTATION: FREIGHT (CONTINUED)
$ 1,640,000 Canadian National Railway
Company,
6.90%, 07/15/28............. $ 1,953,351
825,000 Norfolk Southern Corp.,
7.05%, 05/01/37............. 964,991
--------------
4,574,541
--------------
TRANSPORTATION: SERVICES -- 0.1%
300,000 Overseas Shipholding Group,
8.75%, 12/01/13............. 322,500
605,000 Overseas Shipholding Group -
144A,
8.25%, 03/15/13............. 632,225
--------------
954,725
--------------
UTILITIES: ELECTRIC -- 0.7%
675,000 AES Corp. - 144A,
8.75%, 05/15/13............. 705,375
25,000 Centerpoint Energy Houston -
144A,
6.95%, 03/15/33............. 28,752
840,000 Dominion Resources, Inc.,
6.30%, 03/15/33............. 890,773
425,000 Dominion Resources, Inc.,
Series E,
6.75%, 12/15/32............. 477,295
1,970,000 DTE Energy Corp.,
6.45%, 06/01/06............. 2,193,579
1,575,000 Duke Energy Corp. - 144A,
3.75%, 03/05/08............. 1,622,929
985,000 First Energy Corp., Series C,
7.38%, 11/15/31............. 1,107,430
795,000 Midwest Generation LLC, Series
B,
8.56%, 01/02/16............. 781,433
825,000 Oncor Electric Corp. - 144A,
6.38%, 01/15/15............. 937,859
925,000 Oncor Electric Corp. - 144A,
7.25%, 01/15/33............. 1,094,940
--------------
9,840,365
--------------
TOTAL CORPORATE BONDS AND
NOTES
(Cost $429,360,749)......... 442,679,350
--------------
MUNICIPAL BONDS -- 1.0%
CALIFORNIA -- 0.1%
1,575,000 California State Department of
Water Powersupply, Revenue
Bond, Series E,
3.98%, 05/01/05............. 1,614,501
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
MUNICIPAL BONDS (CONTINUED)
ILLINOIS -- 0.9%
$ 13,000,000 Illinois State Pension,
General Obligation,
5.10%, 06/01/33............. $ 12,783,810
--------------
TOTAL MUNICIPAL BONDS
(Cost $14,574,863).......... 14,398,311
--------------
FOREIGN GOVERNMENT OBLIGATIONS -- 8.8%
35,542,753 Bundes Republic of
Deutscheland Obligation,
Series 140,
4.50%, 08/17/07(e).......... 43,491,329
12,240,000 French Treasury Note,
3.50%, 01/12/08............. 14,364,712
20,825,000 Government of Canada,
4.50%, 09/01/07(f).......... 15,921,746
8,415,000 Government of Canada,
5.25%, 06/01/12(f).......... 6,582,657
12,890,000 Government of Canada,
5.25%, 06/01/13(f).......... 10,071,828
51,780,000 Government of Sweden,
5.00%, 01/28/09(g).......... 6,875,513
32,255,000 Government of Sweden, Series
1037,
8.00%, 08/15/07(g).......... 4,727,810
800,000 Province of Quebec, Series
MTNA,
7.38%, 04/09/26 **.......... 1,046,906
625,000 Province of Quebec, Series A,
7.37%, 03/06/26 **.......... 811,187
1,225,000 Province of Quebec, Series NJ,
7.50%, 07/15/23............. 1,606,562
3,131,469 Republic of Colombia,
9.75%, 04/09/11............. 3,569,875
1,910,000 Republic of Panama,
8.25%, 04/22/08............. 2,115,325
1,280,000 Republic of Panama,
9.63%, 02/08/11............. 1,488,000
2,150,000 Republic of Panama,
9.63%, 02/08/11............. 2,499,375
1,255,000 Republic of Panama,
8.88%, 09/30/27............. 1,371,088
1,000,000 United Mexican States,
4.63%, 10/08/08............. 1,023,500
2,295,000 United Mexican States,
8.38%, 01/14/11............. 2,755,148
</Table>
See notes to financial statements.
68
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
$ 4,880,000 United Mexican States,
8.13%, 12/30/19............. $ 5,575,400
1,115,000 United Mexican States,
8.00%, 09/24/22............. 1,251,588
--------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS
(Cost $116,333,223)......... 127,149,549
--------------
PREFERRED CORPORATE BONDS & NOTES -- 0.2%
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
2,000,000 TCI Communications Financing
III,
9.65%, 03/31/27 (Cost
$2,154,380)................. 2,390,000
--------------
TIME DEPOSITS -- 2.2%
4,857,594 American Express Centurion
Bank,
1.26%, 07/07/03(b).......... 4,857,594
3,886,075 Bank of Montreal,
1.08%, 07/02/03(b).......... 3,886,075
801,941 Bank of Montreal,
1.15%, 07/09/03(b).......... 801,941
9,715,188 Bank of Novia Scotia,
1.03%, 07/08/03(b).......... 9,715,188
5,829,113 Credit Agricole Indosuez,
0.94%, 07/01/03(b).......... 5,829,113
3,108,860 Credit Agricole Indosuez,
1.05%, 08/26/03(b).......... 3,108,860
1,943,037 Den Danske Bank,
1.04%, 07/24/03(b).......... 1,943,037
1,943,037 Royal Bank of Scotland,
1.05%, 07/28/03(b).......... 1,943,037
--------------
TOTAL TIME DEPOSITS
(Cost $32,084,845).......... 32,084,845
--------------
SHORT TERM CORPORATE NOTES -- 3.2%
1,943,037 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)....... 1,943,037
4,857,594 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)....... 4,857,594
7,772,150 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)....... 7,772,150
3,108,860 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)....... 3,108,860
971,519 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)....... 971,519
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 3,886,075 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)....... $ 3,886,075
24,287,970 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)....... 24,287,970
--------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $46,827,205).......... 46,827,205
--------------
COMMERCIAL PAPER -- 0.1%
1,943,038 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b)
(Cost $1,943,038)........... 1,943,038
--------------
<Caption>
SHARES
------
REGULATED INVESTMENT COMPANIES -- 4.2%
34,003,158 BlackRock Tempcash Fund(b).... 34,003,158
14,572,782 Dreyfus Cash Management Plus
Fund(b)..................... 14,572,782
4,921,770 Merrill Lynch Premier
Institutional Fund(b)....... 4,921,770
6,412,024 Merrimac Cash Fund - Premium
Class(b).................... 6,412,024
--------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $59,909,734).......... 59,909,734
--------------
TOTAL SECURITIES
(Cost $1,422,152,443)....... 1,457,358,038
--------------
<Caption>
PRINCIPAL
---------
REPURCHASE AGREEMENTS -- 28.7%
$ 73,534,250 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$73,535,782 (Collateralized
by Fannie Mae 1.585%, due
01/25/33, with a value of
$37,248,361 and Fannie Mae,
1.535%, due 02/25/33, with a
value of $39,964,490)....... 73,534,250
99,000,000 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$99,002,063 (Collateralized
by Freddie Mac, 1.69%, due
03/15/32, with a value of
$8,788,652, Freddie Mac,
1.535%, due 03/25/33, with a
value of $47,445,026 and
Freddie Mac, 1.68%, due
01/15/33, with a value of
$47,717,757)................ 99,000,000
</Table>
See notes to financial statements.
69
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
$ 99,000,000 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$99,002,063 (Collateralized
by Cendant, 4.93%, due
07/25/33, with a value of
$41,059,801, Fannie Mae,
5.18%, due 11/01/32, with a
value of $43,726,528 and
Government National Mortgage
Association, 4.00%, due
08/20/31, with a value of
$19,163,671)................ $ 99,000,000
140,486,197 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$140,489,123 (Collateralized
by U.S. Treasury Bonds,
6.00%, due 02/15/26, with a
value of $4,978,257, U.S.
Treasury Bonds, 6.75%, due
08/15/26, with a value of
$122,616,696 and U.S.
Treasury Bonds, 6.625%, due
02/15/27, with a value of
$15,711,136)................ 140,486,197
1,943,038 With Morgan Stanley, dated
06/30/03, 1.48%, due
07/01/03, repurchase
proceeds at maturity
$1,943,118 (Collateralized
by Vodafone Group PLC,
7.75%, due 02/15/10, with a
value of $4,820, Verizon
Global Funding Corp.,
6.875%, due 06/15/12, with a
value of $561, Prudential
Funding LLC, 6.60%, due
05/15/08, with a value of
$330,906, Jersey Central
Power & Lighting Company,
4.80%, due 06/15/18, with a
value of $18,609,
Corporation Andina de
Fomento, 7.375%, due
01/18/11, with a value of
$463,575, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$964,799 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$174,235)(b)................ 1,943,038
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $413,963,485)......... 413,963,485
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
SECURITIES SOLD SHORT -- (1.5)%
$ 2,900,000 TBA, 5.50%, 07/01/18 (Proceeds
$3,015,386)................. $ (3,007,845)
7,400,000 TBA, 6.00%, 07/01/33 (Proceeds
$7,772,775)................. (7,753,809)
10,200,000 TBA, 5.00%, 08/01/33 (Proceeds
$10,389,922)................ (10,324,318)
--------------
TOTAL SECURITIES SOLD SHORT... (21,085,972)
--------------
<Caption>
CONTRACTS
---------
CALL OPTIONS WRITTEN -- 0.0%
84 US Treasury Note (10 Year)
December Future, Expiring
November 2003 @115 (Premium
$120,345)................... (135,188)
--------------
Total Investments -- 128.1%
(Cost $1,814,817,500)....... 1,850,100,363
Liabilities less other
assets -- (28.1)%........... (405,738,062)
--------------
NET ASSETS -- 100.0%.......... $1,444,362,301
--------------
</Table>
See notes to financial statements.
70
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $1,814,817,500.
The following amount is based on costs for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $42,516,104
Gross unrealized depreciation.......... (7,233,241)
-----------
Net unrealized appreciation............ $35,282,863
===========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Quarterly reset provision. The rate shown was in effect at June 30, 2003.
(d) Monthly reset provision. The rate shown was in effect at June 30, 2003.
(e) Principal amount shown for this debt security is denominated in Euro
dollars.
(f) Principal amount shown for this debt security is denominated in Canadian
dollars.
(g) Principal amount shown for this debt security is denominated in Swedish
Krona.
(h) Security is segregated as initial margin for futures contracts.
(i) Variable Rate Security. Interest rate based on the credit rating of the
issuer. The rate shown was in effect at June 30, 2003.
(+) Variable Rate Security. Interest rate based on the Federal Funds Rate. The
rate shown was in effect at June 30, 2003.
TBA To be assigned. Securities are purchased on a forward commitment basis with
approximate principal amount (generally +/- 1.0%) and general stated
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
* Bond is in default.
** Step bond. The rate shown was in effect at June 30, 2003.
See notes to financial statements.
71
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 61.6%
ADVERTISING -- 0.1%
12,900 Interpublic Group of Companies,
Inc. ........................ $ 172,602
4,900 Omnicom Group, Inc. ........... 351,330
------------
523,932
------------
AEROSPACE AND DEFENSE -- 0.8%
22,400 Boeing Company................. 768,768
5,950 General Dynamics Corp.(a)...... 431,375
2,800 Goodrich Corp. ................ 58,800
19,700 Lockheed Martin Corp. ......... 937,129
4,050 Raytheon Company............... 133,002
13,100 United Technologies Corp. ..... 927,873
------------
3,256,947
------------
AGRICULTURE -- 0.0%
8,800 Monsanto Company............... 190,432
------------
AIRLINES -- 0.1%
19,700 Southwest Airlines Company..... 338,840
------------
APPAREL: MANUFACTURING -- 0.2%
5,450 Jones Apparel Group, Inc.(c)... 159,467
5,700 Liz Claiborne, Inc. ........... 200,925
6,900 Nike, Inc. -- Class B.......... 369,081
2,200 Reebok International,
Ltd.(c)...................... 73,986
2,800 V. F. Corp. ................... 95,340
------------
898,799
------------
APPAREL: RETAIL -- 0.2%
16,950 Limited Brands................. 262,725
22,550 The Gap, Inc. ................. 423,038
------------
685,763
------------
AUTOMOBILE: RETAIL -- 0.0%
9,500 AutoNation, Inc.(c)............ 149,340
------------
AUTOMOTIVE EQUIPMENT -- 0.1%
1,050 AutoZone, Inc.(c).............. 79,769
7,800 Dana Corp. .................... 90,168
2,400 Johnson Controls, Inc. ........ 205,440
------------
375,377
------------
BANKS -- 5.1%
9,500 AmSouth Bancorp................ 207,480
49,950 Bank of America Corp. ......... 3,947,548
8,000 Bank of New York Company,
Inc. ........................ 230,000
30,250 Bank One Corp. ................ 1,124,695
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
12,150 BB&T Corp. .................... $ 416,745
6,048 Charter One Financial, Inc. ... 188,577
5,100 Comerica, Inc. ................ 237,150
4,500 First Tennessee National
Corp. ....................... 197,595
28,700 FleetBoston Financial Corp. ... 852,677
4,300 Golden West Financial Corp. ... 344,043
5,650 Huntington Bancshares, Inc. ... 110,288
52,650 J.P. Morgan Chase & Company.... 1,799,577
13,450 KeyCorp........................ 339,882
5,700 Marshall & Ilsley Corp. ....... 174,306
10,900 Mellon Financial Corp. ........ 302,475
38,900 National City Corp. ........... 1,272,419
1,600 North Fork Bancorp, Inc. ...... 54,496
2,800 PNC Financial Services Group... 136,668
5,900 Regions Financial Corp. ....... 199,302
9,900 SouthTrust Corp. .............. 269,280
8,900 State Street Corp. ............ 350,660
7,300 SunTrust Banks, Inc. .......... 433,182
49,282 U.S. Bancorp................... 1,207,409
5,400 Union Planters Corp. .......... 167,562
52,950 Wachovia Corp. ................ 2,115,881
39,000 Washington Mutual, Inc. ....... 1,610,700
44,250 Wells Fargo & Company.......... 2,230,199
2,850 Zions Bancorp.................. 144,239
------------
20,665,035
------------
BROADCAST SERVICES/MEDIA -- 2.2%
116,650 AOL Time Warner, Inc.(c)....... 1,876,899
15,500 Clear Channel Communications,
Inc.(c)...................... 657,045
60,550 Comcast Corp. -- Class A(c).... 1,827,399
14,250 Delphi Corp. .................. 122,978
7,400 Gannett Company, Inc. ......... 568,394
5,000 McGraw-Hill Companies, Inc. ... 310,000
3,100 Meredith Corp. ................ 136,400
8,050 Tribune Company................ 388,815
46,100 Viacom, Inc. -- Class B(c)..... 2,012,725
53,400 Walt Disney Company............ 1,054,650
------------
8,955,305
------------
BUSINESS SERVICES -- 0.5%
13,500 Concord EFS, Inc.(c)........... 198,720
4,000 Convergys Corp.(c)............. 64,000
7,400 Ecolab, Inc. .................. 189,440
</Table>
See notes to financial statements.
72
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES (CONTINUED)
19,100 First Data Corp. .............. $ 791,504
5,100 Fiserv, Inc.(c)................ 181,611
4,000 Moody's Corp. ................. 210,840
9,600 Paychex, Inc. ................. 281,376
5,050 Robert Half International,
Inc.(a)(c)................... 95,647
------------
2,013,138
------------
CHEMICALS -- 0.8%
6,250 Air Products and Chemicals,
Inc. ........................ 260,000
24,000 Dow Chemical Company........... 743,040
28,950 E. I. du Pont de Nemours and
Company...................... 1,205,478
2,100 Eastman Chemical Company....... 66,507
1,700 Great Lakes Chemical Corp. .... 34,680
2,200 Hercules, Inc. ................ 21,780
2,500 International Flavors &
Fragrances, Inc. ............ 79,825
4,850 PPG Industries, Inc. .......... 246,089
4,600 Praxair, Inc. ................. 276,460
6,500 Rohm and Haas Company.......... 201,695
2,300 Sigma-Aldrich Corp. ........... 124,614
------------
3,260,168
------------
COMPUTER SOFTWARE AND SERVICES -- 3.8%
7,100 Adobe Systems, Inc. ........... 227,697
3,200 Autodesk, Inc. ................ 51,712
15,850 Automatic Data Processing,
Inc. ........................ 536,681
9,950 BMC Software, Inc.(c).......... 162,484
10,550 Citrix Systems, Inc.(c)........ 214,798
24,450 Computer Associates
International, Inc. ......... 544,746
4,950 Computer Sciences
Corp.(a)(c).................. 188,694
28,200 Compuware Corp.(c)............. 162,714
3,600 Electronic Arts, Inc.(c)....... 266,364
6,500 Intuit, Inc.(c)................ 289,445
1,900 Mercury Interactive Corp.(c)... 73,359
320,500 Microsoft Corp. ............... 8,208,004
3,450 NVIDIA Corp.(a)(c)............. 79,385
242,100 Oracle Corp.(c)................ 2,910,041
23,400 Siebel Systems, Inc.(c)........ 223,236
6,800 SunGard Data Systems,
Inc.(c)...................... 176,188
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
9,950 Unisys Corp.(c)................ $ 122,186
26,950 VERITAS Software Corp.(c)...... 772,657
------------
15,210,391
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.9%
10,550 Apple Computer, Inc.(c)........ 201,716
1,200 Avery Dennison Corp. .......... 60,240
113,600 Dell Computer Corp.(c)......... 3,630,656
93,650 EMC Corp.(c)................... 980,516
79,387 Hewlett-Packard Company........ 1,690,943
42,950 International Business Machines
Corp. ....................... 3,543,375
7,000 Lexmark International Group,
Inc.(c)...................... 495,390
4,200 Network Appliance, Inc.(c)..... 68,082
6,300 Pitney Bowes, Inc. ............ 241,983
79,750 Sun Microsystems, Inc.(c)...... 366,850
20,500 Xerox Corp.(a)(c).............. 217,095
------------
11,496,846
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.2%
2,100 American Standard Companies,
Inc.(c)...................... 155,253
1,700 Centex Corp. .................. 132,243
1,400 KB Home........................ 86,772
12,250 Masco Corp. ................... 292,163
1,700 Pulte Homes, Inc. ............. 104,822
------------
771,253
------------
CONSUMER GOODS AND SERVICES -- 5.7%
1,600 Alberto-Culver Company -- Class
B............................ 81,760
53,000 Altria Group, Inc. ............ 2,408,320
1,900 American Greetings Corp. --
Class A(a)(c)................ 37,316
2,800 Avon Products, Inc. ........... 174,160
4,750 Cintas Corp.(a)................ 168,340
5,850 Clorox Company................. 249,503
13,850 Colgate-Palmolive Company...... 802,608
16,250 Eastman Kodak Company(a)....... 444,438
7,400 FedEx Corp. ................... 459,022
4,450 Fortune Brands, Inc. .......... 232,290
331,250 General Electric Company....... 9,500,249
62,100 Gillette Company............... 1,978,506
14,400 Kimberly-Clark Corp. .......... 750,816
</Table>
See notes to financial statements.
73
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
7,800 Leggett & Platt, Inc. ......... $ 159,900
6,700 Newell Rubbermaid, Inc. ....... 187,600
52,350 Procter & Gamble Company....... 4,668,572
4,150 Sherwin-Williams Company....... 111,552
1,800 Whirlpool Corp. ............... 114,660
------------
22,529,612
------------
CONTAINERS AND PACKAGING -- 0.1%
3,000 Ball Corp. .................... 136,530
2,200 Bemis Company, Inc. ........... 102,960
7,800 Pactiv Corp.(c)................ 153,738
2,350 Sealed Air Corp.(c)............ 112,001
------------
505,229
------------
EDUCATION -- 0.1%
4,900 Apollo Group, Inc. -- Class
A(c)......................... 302,624
------------
ELECTRONICS -- 0.3%
11,000 Emerson Electric Company....... 562,099
4,750 Jabil Circuit, Inc.(c)......... 104,975
5,050 Molex, Inc. ................... 136,300
4,950 Rockwell Collins, Inc. ........ 121,919
16,700 Sanmina-SCI Corp.(c)........... 105,377
2,900 Tektronix, Inc.(c)............. 62,640
500 Thomas & Betts Corp.(c)........ 7,225
------------
1,100,535
------------
ENGINEERING -- 0.0%
3,600 Fluor Corp. ................... 121,104
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1%
10,800 Allied Waste Industries,
Inc.(a)(c)................... 108,540
17,600 Waste Management, Inc. ........ 423,984
------------
532,524
------------
FINANCIAL SERVICES -- 5.3%
34,100 American Express Company....... 1,425,720
6,200 Bear Stearns Companies,
Inc.(a)...................... 449,004
9,100 Capital One Financial Corp. ... 447,538
13,950 Charles Schwab Corp. .......... 140,756
131,949 Citigroup, Inc. ............... 5,647,416
8,150 Countrywide Financial Corp. ... 566,996
1,950 Deluxe Corp. .................. 87,360
5,400 Equifax, Inc. ................. 140,400
47,000 Fannie Mae..................... 3,169,679
2,800 Franklin Resources, Inc. ...... 109,396
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
28,050 Freddie Mac.................... $ 1,424,099
12,200 Goldman Sachs Group, Inc. ..... 1,021,750
7,550 H&R Block, Inc. ............... 326,538
15,150 Lehman Brothers Holdings,
Inc. ........................ 1,007,172
41,300 MBNA Corp. .................... 860,692
37,000 Merrill Lynch & Company,
Inc. ........................ 1,727,159
28,450 Morgan Stanley................. 1,216,238
7,500 Providian Financial Corp.(c)... 69,450
14,650 Prudential Financial, Inc. .... 492,973
11,850 SLM Corp. ..................... 464,165
3,600 T. Rowe Price Group, Inc.(a)... 135,900
------------
20,930,401
------------
FOOD AND BEVERAGE -- 2.7%
1,500 Adolph Coors Company -- Class
B............................ 73,470
22,300 Anheuser-Busch Companies,
Inc. ........................ 1,138,415
17,350 Archer-Daniels-Midland
Company...................... 223,295
2,000 Brown-Forman Corp. -- Class
B............................ 157,240
10,750 Campbell Soup Company.......... 263,375
64,400 Coca-Cola Company.............. 2,988,803
11,700 Coca-Cola Enterprises, Inc. ... 212,355
15,100 ConAgra Foods, Inc. ........... 356,360
10,400 General Mills, Inc.(a)......... 493,064
21,900 H.J. Heinz Company............. 722,262
3,600 Hershey Foods Corp. ........... 250,776
10,050 Kellogg Company................ 345,419
3,700 McCormick & Company, Inc. ..... 100,640
10,700 Pepsi Bottling Group, Inc. .... 214,214
44,400 PepsiCo, Inc. ................. 1,975,800
22,250 Sara Lee Corp. ................ 418,523
17,000 Sysco Corp. ................... 510,680
5,900 Wm. Wrigley Jr. Company........ 331,757
------------
10,776,448
------------
INSURANCE -- 3.1%
7,600 Ace, Ltd. ..................... 260,604
6,750 Aetna, Inc. ................... 406,350
22,300 AFLAC, Inc. ................... 685,725
30,000 Allstate Corp. ................ 1,069,499
3,100 Ambac Financial Group, Inc. ... 205,375
66,853 American International Group,
Inc. ........................ 3,688,948
9,950 Aon Corp. ..................... 239,596
4,950 Chubb Corp.(a)................. 297,000
</Table>
See notes to financial statements.
74
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
3,850 CIGNA Corp. ................... $ 180,719
1,700 Cincinnati Financial Corp. .... 63,053
8,650 Humana, Inc.(c)................ 130,615
4,400 Jefferson-Pilot Corp. ......... 182,424
7,950 John Hancock Financial
Services, Inc. .............. 244,304
4,750 Loews Corp. ................... 224,628
14,050 Marsh & McLennan Companies,
Inc. ........................ 717,534
4,300 MBIA, Inc. .................... 209,625
18,700 MetLife, Inc. ................. 529,584
2,950 MGIC Investment Corp. ......... 137,588
20,150 Financial Group, Inc. ......... 649,838
14,000 Progressive Corp. ............. 1,023,400
7,100 SAFECO Corp. .................. 250,488
3,600 Torchmark Corp. ............... 134,100
28,546 Travelers Property Casualty
Corp. -- Class B............. 450,170
6,300 UnumProvident Corp. ........... 84,483
3,450 XL Capital, Ltd. -- Class A.... 286,350
------------
12,352,000
------------
INTERNET SERVICES -- 1.2%
181,400 Cisco Systems, Inc.(c)......... 3,009,426
8,650 eBay, Inc.(c).................. 901,157
9,600 Symantec Corp.(a)(c)........... 421,056
15,050 YAHOO!, Inc.(c)................ 493,038
------------
4,824,677
------------
LEISURE AND RECREATION -- 0.2%
2,050 Brunswick Corp. ............... 51,291
4,100 Harrah's Entertainment,
Inc.(c)...................... 164,984
4,150 Hilton Hotels Corp. ........... 53,079
2,300 International Game
Technology(c)................ 235,359
6,100 Marriott International, Inc. --
Class A...................... 234,362
------------
739,075
------------
MACHINERY -- 0.4%
8,800 Caterpillar, Inc. ............. 489,808
10,250 Deere & Company................ 468,425
5,300 Dover Corp. ................... 158,788
5,000 Ingersoll-Rand Company -- Class
A............................ 236,600
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
8,200 Rockwell Automation, Inc. ..... $ 195,488
------------
1,549,109
------------
MANUFACTURING -- 1.0%
9,850 3M Company..................... 1,270,452
2,800 Cooper Industries,
Ltd. -- Class A.............. 115,640
2,200 Crane Company.................. 49,786
4,400 Danaher Corp.(a)............... 299,420
1,950 Eaton Corp.(a)................. 153,290
8,550 Honeywell International,
Inc. ........................ 229,568
8,900 Illinois Tool Works, Inc.(a)... 586,065
2,350 ITT Industries, Inc. .......... 153,831
4,150 Textron, Inc. ................. 161,933
50,550 Tyco International, Ltd. ...... 959,439
------------
3,979,424
------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.8%
8,700 Anthem, Inc.(c)................ 671,205
8,800 IMS Health, Inc. .............. 158,312
8,150 McKesson Corp. ................ 291,281
26,500 UnitedHealth Group, Inc. ...... 1,331,625
10,000 WellPoint Health Networks,
Inc.(c)...................... 843,000
------------
3,295,423
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 2.2%
1,600 Bausch & Lomb, Inc. ........... 60,000
7,900 Becton, Dickinson and
Company...................... 306,915
7,450 Biomet, Inc. .................. 213,517
10,650 Boston Scientific Corp.(c)..... 650,715
2,700 C. R. Bard, Inc. .............. 192,537
5,550 Genzyme Corp.(c)............... 231,990
20,600 Guidant Corp. ................. 914,434
76,334 Johnson & Johnson.............. 3,946,467
32,000 Medtronic, Inc. ............... 1,535,040
5,600 St. Jude Medical, Inc.(c)...... 322,000
5,200 Stryker Corp.(a)............... 360,724
4,850 Zimmer Holdings, Inc.(c)....... 218,493
------------
8,952,832
------------
METALS AND MINING -- 0.2%
9,300 Alcoa, Inc. ................... 237,150
3,500 Freeport-McMoRan Copper & Gold,
Inc. -- Class B(a)........... 85,750
12,050 Newmont Mining Corp.(a)........ 391,143
</Table>
See notes to financial statements.
75
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
METALS AND MINING (CONTINUED)
2,100 Phelps Dodge Corp.(c).......... $ 80,514
4,400 Worthington Industries,
Inc. ........................ 58,960
------------
853,517
------------
MOTOR VEHICLES -- 0.5%
121,150 Ford Motor Company(a).......... 1,331,439
7,500 Harley-Davidson, Inc. ......... 298,950
7,550 PACCAR, Inc. .................. 509,021
------------
2,139,410
------------
OIL AND GAS: PIPELINES -- 0.1%
3,700 Kinder Morgan, Inc. ........... 202,205
17,700 Williams Companies, Inc. ...... 139,830
------------
342,035
------------
OIL, COAL AND GAS -- 3.3%
3,500 Amerada Hess Corp. ............ 172,130
10,900 Anadarko Petroleum Corp. ...... 484,723
4,282 Apache Corp. .................. 278,587
5,800 Burlington Resources, Inc. .... 313,606
28,050 ChevronTexaco Corp. ........... 2,025,209
17,713 ConocoPhillips................. 970,671
5,900 Devon Energy Corp. ............ 315,060
1,200 EOG Resources, Inc. ........... 50,208
170,750 Exxon Mobil Corp. ............. 6,131,632
12,500 Halliburton Company............ 287,500
2,400 Kerr-McGee Corp. .............. 107,520
18,850 Marathon Oil Corp. ............ 496,698
3,900 Nabors Industries, Ltd.(c)..... 154,245
1,650 Noble Corp.(c)................. 56,595
22,000 Occidental Petroleum Corp. .... 738,100
3,300 Rowan Companies, Inc.(c)....... 73,920
2,000 Sunoco, Inc. .................. 75,480
9,250 Transocean, Inc.(c)............ 203,223
11,750 Unocal Corp. .................. 337,108
------------
13,272,215
------------
PAPER AND FOREST PRODUCTS -- 0.1%
1,600 Boise Cascade Corp. ........... 38,240
12,350 International Paper Company.... 441,266
------------
479,506
------------
PHARMACEUTICALS -- 4.8%
41,000 Abbott Laboratories............ 1,794,160
19,900 Bristol-Myers Squibb Company... 540,285
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
11,750 Cardinal Health, Inc. ......... $ 755,525
29,000 Eli Lilly and Company.......... 2,000,130
9,350 Forest Laboratories, Inc.(c)... 511,913
10,350 King Pharmaceuticals,
Inc.(c)...................... 152,766
72,500 Merck & Company, Inc. ......... 4,389,874
202,510 Pfizer, Inc. .................. 6,915,716
38,400 Schering-Plough Corp. ......... 714,240
4,700 Watson Pharmaceuticals,
Inc.(c)...................... 189,739
34,700 Wyeth.......................... 1,580,585
------------
19,544,933
------------
PRINTING AND PUBLISHING -- 0.1%
2,300 Knight-Ridder, Inc. ........... 158,539
3,850 New York Times Company -- Class
A............................ 175,175
3,300 R.R. Donnelley & Sons Company.. 86,262
------------
419,976
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
10,250 Equity Office Properties
Trust........................ 276,853
7,300 Equity Residential............. 189,435
6,100 Simon Property Group, Inc. .... 238,083
------------
704,371
------------
RESEARCH AND DEVELOPMENT -- 0.7%
31,984 Amgen, Inc.(c)................. 2,142,288
3,900 Biogen, Inc.(c)................ 148,200
8,450 Chiron Corp.(c)................ 369,434
7,500 MedImmune, Inc.(c)............. 272,775
3,400 Quintiles Transnational
Corp.(c)..................... 48,246
------------
2,980,943
------------
RETAIL -- 3.4%
8,300 Bed Bath & Beyond, Inc.(c)..... 322,123
3,400 Best Buy Company, Inc.(c)...... 149,328
4,000 Big Lots, Inc.(c).............. 60,160
11,800 Costco Wholesale Corp.(c)...... 431,880
12,250 CVS Corp. ..................... 343,368
3,150 Dillard's, Inc. -- Class A..... 42,431
8,700 Dollar General Corp.(a)........ 158,862
5,500 Family Dollar Stores, Inc. .... 209,825
12,300 Federated Department Stores,
Inc. ........................ 453,255
61,150 Home Depot, Inc. .............. 2,025,287
9,600 J.C. Penney Company, Inc. ..... 161,760
20,350 Lowe's Companies, Inc. ........ 874,033
</Table>
See notes to financial statements.
76
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
3,650 May Department Stores Company.. $ 81,249
7,900 Office Depot, Inc.(c).......... 114,629
4,700 RadioShack Corp. .............. 123,657
20,400 Staples, Inc.(c)............... 374,340
13,750 TJX Companies, Inc. ........... 259,050
111,870 Wal-Mart Stores, Inc. ......... 6,004,062
44,150 Walgreen Company............... 1,328,914
------------
13,518,213
------------
RETAIL: RESTAURANTS -- 0.4%
7,950 Darden Restaurants, Inc. ...... 150,891
35,900 McDonald's Corp. .............. 791,954
10,100 Starbucks Corp.(c)............. 247,652
2,900 Wendy's International, Inc. ... 84,013
8,050 YUM! Brands, Inc.(c)........... 237,958
------------
1,512,468
------------
RETAIL: SUPERMARKETS -- 0.1%
3,750 Albertson's, Inc. ............. 72,000
19,100 Kroger Company(c).............. 318,588
3,300 SUPERVALU, Inc. ............... 70,356
4,400 Winn-Dixie Stores, Inc.(a)..... 54,164
------------
515,108
------------
RUBBER PRODUCTS -- 0.0%
2,250 Cooper Tire & Rubber Company... 39,578
------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.1%
6,900 Applera Corp. -- Applied
Biosystems Group............. 131,307
3,800 Pall Corp. .................... 85,500
5,200 Thermo Electron Corp.(c)....... 109,304
8,250 Waters Corp.(c)................ 240,323
------------
566,434
------------
SEMICONDUCTORS -- 1.5%
9,600 Altera Corp.(a)(c)............. 157,440
10,600 Analog Devices, Inc.(c)........ 369,092
42,000 Applied Materials, Inc.(c)..... 666,120
169,200 Intel Corp. ................... 3,516,653
8,800 Linear Technology Corp. ....... 283,448
9,850 LSI Logic Corp.(c)............. 69,738
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS (CONTINUED)
8,200 Maxim Integrated Products,
Inc. ........................ $ 280,358
6,000 Novellus Systems, Inc.(c)...... 219,726
2,800 QLogic Corp.(c)................ 135,324
9,900 Xilinx, Inc.(c)................ 250,569
------------
5,948,468
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.1%
7,700 ALLTEL Corp. .................. 371,294
2,700 Andrew Corp.(c)................ 24,840
17,010 AT&T Corp. .................... 327,443
68,100 AT&T Wireless Services,
Inc.(c)...................... 559,101
26,650 Avaya, Inc.(c)................. 172,159
42,050 BellSouth Corp. ............... 1,119,792
4,050 CenturyTel, Inc. .............. 141,143
18,700 CIENA Corp.(c)................. 97,053
9,500 Citizens Communications
Company(a)(c)................ 122,455
8,400 Comverse Technology,
Inc.(a)(c)................... 126,252
30,000 Corning, Inc.(c)............... 221,700
35,100 JDS Uniphase Corp.(c).......... 123,201
23,650 Motorola, Inc. ................ 223,020
61,450 Nextel Communications, Inc. --
Class A(a)(c)................ 1,111,016
20,900 QUALCOMM, Inc. ................ 747,175
100,400 SBC Communications, Inc. ...... 2,565,219
4,950 Scientific-Atlanta, Inc.(a).... 118,008
34,300 Sprint Corp. (FON Group)....... 493,921
6,500 Symbol Technologies, Inc. ..... 84,565
10,400 Tellabs, Inc.(c)............... 68,328
95,950 Verizon Communications,
Inc. ........................ 3,785,227
------------
12,602,912
------------
TOOLS -- 0.1%
2,200 Black & Decker Corp. .......... 95,590
1,700 Snap-on, Inc. ................. 49,351
2,650 Stanley Works.................. 73,140
------------
218,081
------------
TOYS -- 0.1%
5,500 Hasbro, Inc. .................. 96,195
</Table>
See notes to financial statements.
77
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
TOYS (CONTINUED)
25,500 Mattel, Inc. .................. $ 482,460
------------
578,655
------------
TRANSPORTATION -- 0.8%
3,000 Ryder System, Inc. ............ 76,860
52,200 United Parcel Service, Inc. --
Class B...................... 3,325,140
------------
3,402,000
------------
TRANSPORTATION: FREIGHT -- 0.2%
10,600 Burlington Northern Santa Fe
Corp. ....................... 301,464
9,600 Norfolk Southern Corp. ........ 184,320
2,600 Union Pacific Corp. ........... 150,852
------------
636,636
------------
UTILITIES: ELECTRIC -- 1.5%
2,000 Aes Corp.(c)................... 12,700
4,500 Ameren Corp. .................. 198,450
4,490 American Electric Power
Company, Inc. ............... 133,937
10,200 American Power Conversion
Corp.(c)..................... 159,018
14,600 CenterPoint Energy, Inc.(a).... 118,990
4,300 Cinergy Corp. ................. 158,197
6,200 Consolidated Edison, Inc. ..... 268,336
4,300 Constellation Energy Group,
Inc. ........................ 147,490
7,800 Dominion Resources, Inc. ...... 501,306
1,650 DTE Energy Company............. 63,756
23,250 Duke Energy Corp. ............. 463,838
8,700 Edison International(c)........ 142,941
5,650 Entergy Corp. ................. 298,207
13,950 Exelon Corp. .................. 834,349
8,600 FirstEnergy Corp. ............. 330,670
4,800 FPL Group, Inc. ............... 320,880
12,150 PG&E Corp.(c).................. 256,973
7,200 PPL Corp. ..................... 309,600
7,600 Progress Energy, Inc.(a)....... 333,640
6,800 Public Service Enterprise
Group, Inc. ................. 287,300
18,450 Southern Company............... 574,901
8,100 TXU Corp. ..................... 181,845
7,900 Xcel Energy, Inc. ............. 118,816
------------
6,216,140
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
UTILITIES: GAS -- 0.1%
4,000 KeySpan Corp. ................. $ 141,800
1,300 NICOR, Inc. ................... 48,243
6,100 NiSource, Inc. ................ 115,900
650 Peoples Energy Corp. .......... 27,879
5,300 Sempra Energy.................. 151,209
------------
485,031
------------
TOTAL COMMON STOCKS
(Cost $239,598,935).......... 248,259,213
------------
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES -- 12.6%
AEROSPACE AND DEFENSE -- 0.3%
$ 95,000 General Dynamics Corp.,
4.25%, 05/15/13.............. $ 95,644
175,000 Lockheed Martin Corp.,
7.25%, 05/15/06.............. 199,429
50,000 Lockheed Martin Corp.,
8.50%, 12/01/29.............. 68,173
430,000 Lockheed Martin Corp.,
7.20%, 05/01/36.............. 524,545
90,000 Northrop Grumman Corp.,
7.13%, 02/15/11.............. 107,976
20,000 Northrop Grumman Corp.,
7.75%, 02/15/31.............. 25,739
------------
1,021,506
------------
AIRLINES -- 0.1%
100,000 American Airlines, Inc., Series
99-1,
7.02%, 10/15/09.............. 95,527
169,772 Continental Airlines, Inc.,
Series 974A,
6.90%, 01/02/18.............. 164,976
75,000 Offshore Logistic,
6.13%, 06/15/13.............. 75,563
------------
336,066
------------
AUTOMOBILES -- 0.4%
40,000 Asbury Automotive Group,
9.00%, 06/15/12.............. 38,800
135,000 Autonation, Inc.,
9.00%, 08/01/08.............. 150,525
150,000 Daimler Chrysler AG Corp.,
7.45%, 03/01/27.............. 157,639
215,000 Daimler Chrysler NA Holding,
4.75%, 01/15/08.............. 220,770
500,000 Daimler Chrysler NA Holding,
4.05%, 06/04/08.............. 495,703
</Table>
See notes to financial statements.
78
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
AUTOMOBILES (CONTINUED)
$ 100,000 General Motors,
8.25%, 07/15/23.............. $ 100,552
360,000 General Motors,
8.38%, 07/15/33.............. 352,350
------------
1,516,339
------------
AUTOMOTIVE EQUIPMENT -- 0.0%
120,000 Dura Operating Corp., Series B,
8.63%, 04/15/12.............. 123,600
------------
BANKS -- 0.8%
75,000 Bank of America Corp.,
7.40%, 01/15/11(a)........... 92,284
155,000 Bank of America Corp.,
3.88%, 01/15/08.............. 162,719
55,000 Bank of America Corp.,
7.80%, 02/15/10.............. 67,901
185,000 Bank of America Corp.,
4.88%, 09/15/12.............. 195,606
275,000 Barclays Bank PLC -- 144A,
8.55%, perpetual bond(d)..... 352,989
175,000 Chase Manhattan Corp.,
7.13%, 06/15/09.............. 208,950
1,170,000 European Investment Bank,
Series DTC,
5.63%, 01/24/06.............. 1,281,822
200,000 FleetBoston Financial Corp.,
Series MTNT,
4.20%, 11/30/07.............. 210,575
100,000 HSBC Holdings PLC,
5.25%, 12/12/12.............. 106,851
110,000 JP Morgan Chase & Company,
6.75%, 02/01/11.............. 129,303
75,000 Sovereign Bancorp,
10.50%, 11/15/06............. 90,180
255,000 U.S. Bancorp, Series MTNN,
3.95%, 08/23/07.............. 267,810
50,000 Wells Fargo Company,
5.90%, 05/21/06.............. 55,305
155,000 Wells Fargo Company,
3.50%, 04/04/08.............. 160,066
------------
3,382,361
------------
BROADCAST SERVICES/MEDIA -- 0.9%
130,000 AOL Time Warner, Inc.,
5.63%, 05/01/05.............. 138,084
75,000 AOL Time Warner, Inc.,
7.63%, 04/15/31.............. 86,883
83,000 AT&T Broadband Corp.,
8.38%, 03/15/13.............. 104,168
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
$ 175,000 British Sky Broadcasting,
6.88%, 02/23/09.............. $ 198,031
325,000 Charter Communication Holdings
LLC,
10.75%, 10/01/09............. 253,500
95,000 Charter Communication Holdings
LLC,
11.13%, 01/15/11............. 74,100
570,000 Comcast Cable Communications,
Inc.,
6.88%, 06/15/09.............. 659,977
105,000 Comcast Corp.,
5.50%, 03/15/11.............. 112,467
175,000 Comcast Corp.,
7.05%, 03/15/33.............. 195,134
125,000 Cox Enterprises -- 144A,
4.38%, 05/01/08.............. 130,122
40,000 CSC Holdings, Inc.,
7.88%, 12/15/07.............. 41,100
45,000 CSC Holdings, Inc., Series B,
7.63%, 04/01/11.............. 45,675
60,000 DirecTV Holdings -- 144A,
8.38%, 03/15/13.............. 67,200
400,000 Echostar Broadband Corp.,
10.38%, 10/01/07............. 445,000
75,000 News America, Inc.,
7.63%, 11/30/28.............. 88,678
75,000 TCI Communications, Inc.,
7.88%, 02/15/26.............. 88,169
30,000 Time Warner, Inc.,
7.25%, 10/15/17.............. 34,819
35,000 Time Warner, Inc.,
6.88%, 06/15/18.............. 39,477
110,000 Time Warner, Inc.,
6.95%, 01/15/28.............. 118,191
380,000 Time Warner, Inc.,
6.63%, 05/15/29.............. 393,300
100,000 Turner Broadcasting,
8.38%, 07/01/13.............. 123,183
------------
3,437,258
------------
CHEMICALS -- 0.2%
325,000 Dow Chemical Company,
7.38%, 11/01/29.............. 380,598
115,000 Lyondell Chemical Company,
11.13%, 07/15/12............. 118,450
90,000 Lyondell Chemical Company --
144A,
9.50%, 12/15/08.............. 85,950
</Table>
See notes to financial statements.
79
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
CHEMICALS (CONTINUED)
$ 95,000 Methanex Corp.,
7.75%, 08/15/05.............. $ 100,225
------------
685,223
------------
COMPUTER SOFTWARE AND SERVICES -- 0.0%
35,000 Unisys Corp.,
6.88%, 03/15/10.............. 36,575
------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.0%
60,000 Seagate Technology Holdings,
8.00%, 05/15/09.............. 65,250
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.3%
65,000 Ainsworth Lumber Company, Ltd.,
13.88%, 07/15/07............. 74,100
130,000 D.R. Horton, Inc.,
10.50%, 04/01/05............. 144,950
70,000 D.R. Horton, Inc.,
7.50%, 12/01/07.............. 76,125
45,000 D.R. Horton, Inc.,
8.00%, 02/01/09.............. 50,288
90,000 D.R. Horton, Inc.,
5.88%, 07/01/13.............. 88,650
110,000 NVR, Inc.,
5.00%, 06/15/10.............. 110,825
500,000 Ryland Group,
8.00%, 08/15/06.............. 549,999
20,000 Ryland Group,
5.38%, 06/01/08.............. 20,750
40,000 Ryland Group,
9.13%, 06/15/11.............. 45,900
95,000 Standard Pacific Corp. -- 144A,
6.88%, 05/15/11.............. 99,988
55,000 Toll Corp.,
8.25%, 12/01/11.............. 61,875
------------
1,323,450
------------
CONSUMER GOODS AND SERVICES -- 0.1%
315,000 General Electric Company,
5.00%, 02/01/13.............. 333,356
------------
CONTAINERS AND PACKAGING -- 0.1%
195,000 Crown Euro Holdings SA -- 144A,
9.50%, 03/01/11.............. 211,575
180,000 Owens-Brockway Glass
Containers,
8.75%, 11/15/12(a)........... 196,200
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
CONTAINERS AND PACKAGING (CONTINUED)
$ 65,000 Smurfit-Stone Container Corp.,
8.25%, 10/01/12.............. $ 70,038
------------
477,813
------------
ELECTRONICS -- 0.1%
115,000 Flextronics International,
Ltd. -- 144A,
6.50%, 05/15/13.............. 111,263
35,000 L-3 Communications Corp. --
144A,
6.13%, 07/15/13.............. 35,525
80,000 L-3 Communications Corp.,
7.63%, 06/15/12.............. 88,400
------------
235,188
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1%
40,000 Allied Waste North America
Industries, Inc.,
7.88%, 04/15/13.............. 42,050
75,000 Allied Waste North America
Industries, Inc.,
7.40%, 09/15/35.............. 69,375
45,000 Allied Waste North America
Industries, Inc. -- 144A,
9.25%, 09/01/12.............. 49,838
80,000 Allied Waste North America
Industries, Inc., Series B,
8.88%, 04/01/08.............. 87,200
95,000 Allied Waste North America
Industries, Inc., Series B,
10.00%, 08/01/09(a).......... 101,412
------------
349,875
------------
FINANCIAL SERVICES -- 2.2%
300,000 Bear Stearns Company, Inc.,
2.88%, 07/02/08.............. 297,461
500,000 Citigroup, Inc.,
6.75%, 12/01/05.............. 557,788
375,000 Citigroup, Inc.,
5.75%, 05/10/06.............. 414,266
435,000 Citigroup, Inc.,
7.25%, 10/01/10.............. 527,819
205,000 Citigroup, Inc.,
5.88%, 02/22/33.............. 216,316
140,000 Credit Suisse First Boston USA,
Inc.,
6.13%, 11/15/11.............. 157,093
305,000 Ford Motor Credit Company,
6.88%, 02/01/06.............. 323,674
</Table>
See notes to financial statements.
80
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 20,000 Ford Motor Credit Company,
5.80%, 01/12/09.............. $ 19,900
590,000 Ford Motor Credit Company,
7.38%, 10/28/09.............. 619,439
175,000 General Electric Capital Corp.,
Series MTNA,
6.50%, 12/10/07.............. 201,639
620,000 General Electric Capital Corp.,
Series MTNA,
6.13%, 02/22/11.............. 708,077
420,000 General Electric Capital Corp.,
Series MTNA,
5.88%, 02/15/12.............. 470,621
250,000 General Electric Capital Corp.,
Series MTNA,
6.00%, 06/15/12(a)........... 282,689
165,000 General Motors Acceptance
Corp.,
7.25%, 03/02/11.............. 169,554
565,000 General Motors Acceptance
Corp.,
6.88%, 09/15/11.............. 567,764
40,000 General Motors Acceptance
Corp.,
8.00%, 11/01/31.............. 39,355
40,000 Goldman Sachs Group, Inc.,
7.35%, 10/01/09.............. 48,737
105,000 Goldman Sachs Group, Inc.,
6.60%, 01/15/12.............. 122,212
190,000 Goldman Sachs Group, Inc.,
6.13%, 02/15/33.............. 204,472
50,000 Household Finance Corp.,
7.20%, 07/15/06.............. 57,117
20,000 Household Finance Corp.,
4.63%, 01/15/08.............. 21,363
150,000 Household Finance Corp.,
6.75%, 05/15/11.............. 174,477
390,000 Household Finance Corp.,
6.38%, 11/27/12.............. 445,061
75,000 Household Finance Corp.,
7.63%, 05/17/32.............. 95,386
45,000 LaBranche & Company,
9.50%, 08/15/04.............. 47,475
460,000 Lehman Brothers Holdings, Inc.,
6.25%, 05/15/06.............. 514,260
75,000 Morgan Stanley,
6.10%, 04/15/06.............. 82,620
150,000 Morgan Stanley,
5.80%, 04/01/07.............. 165,797
175,000 Morgan Stanley,
4.25%, 05/15/10.............. 180,393
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 180,000 Morgan Stanley,
6.75%, 04/15/11.............. $ 210,869
400,000 SLM Corp, Series MTN1, Floating
Rate,
1.39%, 07/25/07(d)........... 401,410
150,000 Wells Fargo Financial,
5.50%, 08/01/12.............. 166,878
------------
8,511,982
------------
FOOD AND BEVERAGE -- 0.5%
40,000 Del Monte Corp. -- 144A,
8.63%, 12/15/12.............. 42,600
150,000 Delhaize America, Inc.,
8.13%, 04/15/11(a)........... 165,000
185,000 General Mills, Inc.,
5.13%, 02/15/07(a)........... 201,693
260,000 General Mills, Inc.,
6.00%, 02/15/12.............. 294,031
445,000 Kellogg Company, Series B,
6.60%, 04/01/11.............. 522,675
520,000 Kraft Foods, Inc.,
5.63%, 11/01/11.............. 567,577
25,000 Kraft Foods, Inc.,
6.50%, 11/01/31.............. 27,698
------------
1,821,274
------------
INSURANCE -- 0.4%
40,000 American General Capital II,
8.50%, 07/01/30.............. 55,643
65,000 Americo Life, Inc. -- 144A,
7.88%, 05/01/13.............. 66,300
675,000 ASIF Global Financing -- 144A,
3.85%, 11/26/07.............. 698,188
115,000 Fund American Companies, Inc.,
5.88%, 05/15/13.............. 120,473
340,000 Marsh & McLennan Companies,
Inc.,
6.25%, 03/15/12.............. 388,224
50,000 MetLife, Inc.,
6.50%, 12/15/32.............. 57,259
100,000 New York Life
Insurance -- 144A,
5.88%, 05/15/33.............. 105,326
100,000 Prudential Insurance Company --
144A,
6.38%, 07/23/06.............. 111,923
------------
1,603,336
------------
LEISURE AND RECREATION -- 0.1%
130,000 Boyd Gaming Corp. -- 144A,
7.75%, 12/15/12.............. 138,613
</Table>
See notes to financial statements.
81
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
LEISURE AND RECREATION (CONTINUED)
$ 80,000 MGM MIRAGE, Inc.,
9.75%, 06/01/07.............. $ 91,200
65,000 Mohegan Tribal Gaming,
8.75%, 01/01/09.............. 70,363
50,000 Park Place Entertainment,
8.88%, 09/15/08.............. 55,250
145,000 Starwood Hotels & Resorts
Worldwide, Inc. -- 144A,
7.38%, 05/01/07.............. 153,337
------------
508,763
------------
MACHINERY -- 0.0%
80,000 Terex Corp.,
9.25%, 07/15/11.............. 86,400
------------
MANUFACTURING -- 0.3%
200,000 Briggs & Stratton Corp.,
8.88%, 03/15/11.............. 232,000
165,000 Dresser, Inc.,
9.38%, 04/15/11.............. 170,775
60,000 SPX Corp.,
6.25%, 06/15/11.............. 61,500
135,000 Tyco International Group SA,
6.38%, 06/15/05.............. 141,413
110,000 Tyco International Group SA,
6.38%, 02/15/06(a)........... 115,225
274,000 Tyco International Group SA,
5.80%, 08/01/06.............. 284,275
35,000 Tyco International Group SA,
6.75%, 02/15/11.............. 37,275
------------
1,042,463
------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.0%
55,000 United Surgical Partners, Inc.,
10.00%, 12/15/11............. 59,675
------------
OIL AND GAS: PIPELINES -- 0.2%
135,000 El Paso Natural Gas -- 144A,
8.38%, 06/15/32.............. 143,775
145,000 El Paso Production Holdings --
144A,
7.75%, 06/01/13.............. 145,363
60,000 Gulfterra Energy
Partner -- 144A,
6.25%, 06/01/10.............. 60,150
70,000 Gulfterra Energy
Partner -- 144A,
10.63%, 12/01/12............. 81,200
30,000 Gulfterra Energy Partner,
Series B,
8.50%, 06/01/11.............. 32,250
215,000 Kinder Morgan Energy Partners,
7.30%, 08/15/33.............. 259,058
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL AND GAS: PIPELINES (CONTINUED)
$ 80,000 Tennessee Gas Pipeline,
7.50%, 04/01/17.............. $ 82,600
35,000 Tennessee Gas Pipeline,
8.38%, 06/15/32.............. 38,238
------------
842,634
------------
OIL, COAL AND GAS -- 0.5%
175,000 Amerada Hess Corp.,
7.13%, 03/15/33(a)........... 199,845
230,000 Anadarko Petroleum Corp,
5.38%, 03/01/07.............. 251,891
75,000 Chesapeake Energy Corp.,
9.00%, 08/15/12.............. 84,000
40,000 Chesapeake Energy Corp.,
7.75%, 01/15/15.............. 42,900
115,000 Conoco, Inc.,
6.95%, 04/15/29.............. 138,817
305,000 ConocoPhillips,
5.90%, 10/15/32.............. 328,458
75,000 Devon Energy Corp.,
7.95%, 04/15/32.............. 96,855
125,000 Devon Financing Corp. ULC,
6.88%, 09/30/11.............. 146,866
450,000 Gazprom OAO -- 144A,
9.63%, 03/01/13.............. 497,250
125,000 Swift Energy Company,
9.38%, 05/01/12.............. 136,563
------------
1,923,445
------------
PAPER AND FOREST PRODUCTS -- 0.3%
155,000 Georgia-Pacific Corp. -- 144A,
8.88%, 02/01/10.............. 168,950
85,000 International Paper Company,
5.85%, 10/30/12.............. 92,809
135,000 Tembec Industries, Inc.,
8.50%, 02/01/11.............. 134,325
350,000 Weyerhaeuser Company,
6.00%, 08/01/06.............. 384,204
115,000 Weyerhaeuser Company,
7.13%, 07/15/23.............. 127,592
120,000 Weyerhaeuser Company,
6.88%, 12/15/33.............. 131,463
------------
1,039,343
------------
PHARMACEUTICALS -- 0.1%
135,000 AmerisourceBergen Corp.,
8.13%, 09/01/08.............. 149,175
50,000 Omnicare, Inc.,
6.13%, 06/01/13.............. 51,250
</Table>
See notes to financial statements.
82
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PHARMACEUTICALS (CONTINUED)
$ 200,000 Pharmacia Corp.,
6.50%, 12/01/18.............. $ 249,606
------------
450,031
------------
PRIVATE ASSET BACKED: AUTOMOBILES -- 0.4%
1,600,000 Daimler Chrysler Auto Trust,
Series 01-C, Class A4,
4.63%, 12/06/06.............. 1,674,061
------------
PRIVATE ASSET BACKED: BANKS -- 0.4%
1,099,291 Banc of America Funding Corp.,
Series 2003-1, Class A1,
6.00%, 05/20/33.............. 1,121,649
275,607 Washington Mutual MSC, Series
2002-MS12, Class A,
6.50%, 05/25/32.............. 282,693
132,014 Washington Mutual, Series
2000-1, Class A1, Floating
Rate,
1.33%, 06/25/24(e)........... 132,104
------------
1,536,446
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 0.2%
975,000 Sears Credit Account Master
Trust, Series 02-5, Class A,
Floating Rate,
1.56%, 11/17/09(e)........... 976,789
------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 0.3%
510,000 Morgan Stanley Capital I,
Series 1999-FNV1, Class A2,
6.53%, 03/15/31.............. 590,632
483,457 SLM, Series 2001-3, Class A1L,
Floating Rate,
1.36%, 04/25/10(d)........... 484,034
------------
1,074,666
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.9%
551,544 BA Mortgage Securities, Inc.,
Series 1998-6, Class A4,
6.25%, 12/26/28.............. 553,213
371,028 Bear Stearns Commercial
Mortgage Securities, Series
01, Class A1,
6.08%, 02/15/35.............. 411,936
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 625,000 DLJ Commercial Mortgage Corp.,
Series 2000-CKP1, Class A1B,
7.18%, 08/10/10.............. $ 738,366
900,000 GMAC Commercial Mortgage
Securities, Inc., Series
1999-C2, Class A2,
6.95%, 09/15/33.............. 1,059,186
920,000 NationsLink Funding Corp.,
Series 1998-2, Class A2,
6.48%, 08/20/30.............. 1,060,186
------------
3,822,887
------------
PRIVATE ASSET BACKED: OTHER -- 0.5%
400,000 Impac Secured Assets CMN Owner
Trust, Series 2003-2,
Class A2,
6.00%, 08/25/33.............. 417,375
937,179 SLM Student Loan Trust, Series
2002-1, Class A1, Floating
Rate,
1.35%, 10/25/10(d)........... 937,784
512,910 Small Business Administration,
Series 2002-P10B, Class 1,
5.20%, 08/01/12.............. 529,639
------------
1,884,798
------------
PRIVATE ASSET BACKED: UTILITIES -- 0.6%
2,000,000 Peco Energy Transition Trust,
Series 00-A, Class A4,
7.65%, 03/01/10.............. 2,456,892
------------
REAL ESTATE -- 0.1%
280,000 EOP Operating LP,
7.50%, 04/19/29.............. 323,517
------------
RETAIL -- 0.1%
125,000 Sears Roebuck Acceptance Corp.,
6.25%, 05/01/09.............. 139,840
100,000 Sears Roebuck Acceptance Corp.,
6.75%, 08/15/11.............. 113,048
5,000 Sears Roebuck Acceptance Corp.,
6.70%, 04/15/12.............. 5,652
70,000 Sears Roebuck Acceptance Corp.,
7.00%, 06/01/32.............. 78,556
</Table>
See notes to financial statements.
83
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
RETAIL (CONTINUED)
$ 100,000 Wal-Mart Stores,
6.88%, 08/10/09.............. $ 120,510
------------
457,606
------------
RETAIL: RESTAURANTS -- 0.0%
135,000 Yum! Brands, Inc.,
8.88%, 04/15/11.............. 160,650
------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.0%
45,000 PerkinElmer Inc. -- 144A,
8.88%, 01/15/13.............. 49,050
------------
SPECIAL PURPOSE ENTITY -- 0.0%
175,000 Principal Life Global -- 144A,
5.25%, 01/15/13.............. 186,127
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.6%
190,000 Ameritech Capital Funding,
6.25%, 05/18/09.............. 215,358
135,000 AT&T Corp., 8.50%,
11/15/31(j).................. 153,607
175,000 British Telecom PLC,
8.88%, 12/15/30.............. 239,688
45,000 Deutsche Telekom,
8.50%, 06/15/10.............. 55,367
250,000 New England Telephone &
Telegraph,
7.88%, 11/15/29.............. 324,001
210,000 New Jersey Bell Telephone,
7.85%, 11/15/29.............. 270,410
50,000 Nextel Communications,
9.95%, 02/15/08(a)........... 52,500
70,000 Panamsat Corp.,
8.50%, 02/01/12.............. 76,125
85,000 Panamsat Corp.,
6.88%, 01/15/28.............. 83,725
245,000 Qwest Capital Funding Corp.,
7.75%, 08/15/06.............. 229,075
145,000 Qwest Capital Funding Corp.,
7.00%, 08/03/09(a)........... 119,988
80,000 SBC Communications, Inc.,
6.25%, 03/15/11.............. 91,936
125,000 Verizon Maryland, Inc., Series
A,
6.13%, 03/01/12.............. 142,020
140,000 Vodafone Group PLC,
6.25%, 11/30/32.............. 152,247
630,000 WorldCom, Inc.,
6.40%, 08/15/05*............. 187,425
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
$ 430,000 WorldCom, Inc.,
8.00%, 05/15/06*(a).......... $ 127,925
20,000 WorldCom, Inc.,
8.25%, 05/15/10*............. 5,950
260,000 WorldCom, Inc.,
8.25%, 05/15/31*............. 77,350
------------
2,604,697
------------
TRANSPORTATION: FREIGHT -- 0.2%
230,000 Burlington Northern Santa Fe
Corp.,
7.29%, 06/01/36.............. 282,167
400,000 Canadian National Railway
Company,
6.90%, 07/15/28(i)........... 476,428
200,000 Norfolk Southern Corp.,
7.05%, 05/01/37.............. 233,937
------------
992,532
------------
TRANSPORTATION: SERVICES -- 0.0%
45,000 Overseas Shipholding Group,
8.75%, 12/01/13.............. 48,375
90,000 Overseas Shipholding Group --
144A,
8.25%, 03/15/13.............. 94,050
------------
142,425
------------
UTILITIES: ELECTRIC -- 0.3%
85,000 Aes Corp. -- 144A,
8.75%, 05/15/13.............. 88,825
25,000 Centerpoint Energy Houston --
144A,
6.95%, 03/15/33.............. 28,752
50,000 Dominion Resources, Inc.,
6.30%, 03/15/33.............. 53,022
290,000 DTE Energy Corp.,
6.45%, 06/01/06.............. 322,913
110,000 First Energy Corp., Series C,
7.38%, 11/15/31.............. 123,672
250,000 Florida Power Corp.,
4.80%, 03/01/13.............. 261,089
80,000 Midwest Generation LLC, Series
B,
8.56%, 01/02/16.............. 78,635
25,000 Oncor Electric Corp. -- 144A,
6.38%, 01/15/15.............. 28,420
</Table>
See notes to financial statements.
84
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
$ 150,000 Oncor Electric Corp. -- 144A,
7.25%, 01/15/33.............. $ 177,558
------------
1,162,886
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $48,858,468)........... 50,719,235
------------
US TREASURY SECURITIES -- 4.8%
US TREASURY BONDS -- 2.7%
1,580,000 10.38%, 11/15/12(a)............ 2,105,166
1,275,000 12.00%, 08/15/13(a)............ 1,853,283
180,000 9.25%, 02/15/16................ 275,660
1,200,000 8.50%, 02/15/20................ 1,797,516
420,000 8.00%, 11/15/21................ 608,590
785,000 6.00%, 02/15/26................ 938,597
895,000 6.75%, 08/15/26................ 1,166,542
610,000 6.50%, 11/15/26................ 774,057
1,280,000 5.38%, 02/15/31(a)............. 1,441,751
------------
10,961,162
------------
US TREASURY NOTES -- 1.4%
245,000 2.00%, 05/15/06................ 247,680
2,155,000 2.63%, 05/15/08(a)............. 2,175,373
650,000 6.50%, 02/15/10................ 788,760
815,000 4.00%, 11/15/12................ 848,333
1,445,000 3.63%, 05/15/13(a)............. 1,456,742
------------
5,516,888
------------
US TREASURY STRIPS -- 0.7%
4,895,000 Zero coupon, 05/15/17.......... 2,658,249
------------
TOTAL US TREASURY SECURITIES
(Cost $18,475,012)........... 19,136,299
------------
US GOVERNMENT AGENCY SECURITIES -- 14.8%
FANNIE MAE -- 9.4%
775,000 1.75%, 06/16/06................ 772,873
1,765,000 7.13%, 06/15/10(a)............. 2,184,849
1,305,000 6.00%, 05/15/11................ 1,528,122
935,000 4.75%, 02/21/13................ 966,075
1,568,895 PL# 406815, 7.00%, 07/01/28.... 1,655,420
899,210 PL# 428865, 7.00%, 06/01/28.... 948,801
30,154 PL# 535041, 7.00%, 12/01/29.... 31,780
717,986 PL# 535675, 7.00%, 01/01/16.... 764,091
303,247 PL# 545139, 7.00%, 08/01/31.... 319,531
13,452 PL# 549906, 7.50%, 09/01/30.... 14,296
11,061 PL# 552549, 7.50%, 09/01/30.... 11,755
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 15,743 PL# 558083, 7.50%, 10/01/30.... $ 16,731
9,866 PL# 558384, 7.50%, 01/01/31.... 10,486
22,260 PL# 561844, 7.50%, 11/01/30.... 23,658
69,337 PL# 564462, 6.50%, 03/01/32.... 72,329
145,130 PL# 566031, 6.00%, 03/01/16.... 151,522
15,668 PL# 568677, 7.50%, 01/01/31.... 16,652
16,009 PL# 572762, 7.50%, 03/01/31.... 17,015
63,689 PL# 575334, 6.00%, 04/01/16.... 66,495
172,638 PL# 577523, 6.00%, 05/01/16.... 180,242
47,561 PL# 578769, 6.00%, 05/01/16.... 49,656
431,855 PL# 579234, 6.00%, 04/01/16.... 450,877
46,871 PL# 582178, 7.50%, 06/01/31.... 49,815
228,368 PL# 582491, 6.00%, 05/01/16.... 238,427
25,212 PL# 594316, 6.50%, 07/01/31.... 26,300
14,866 PL# 602859, 6.50%, 10/01/31.... 15,507
248,142 PL# 614924, 7.00%, 12/01/16.... 264,022
55,348 PL# 618454, 5.50%, 12/01/16.... 57,520
15,331 PL# 620174, 6.50%, 12/01/31.... 15,992
367,529 PL# 627256, 6.50%, 03/01/32.... 383,386
76,118 PL# 649576, 6.00%, 12/01/32.... 79,156
486,598 PL# 658906, 4.65%, 01/01/33.... 503,860
200,000 TBA, 4.50%, 07/01/18........... 204,062
2,700,000 TBA, 5.00%, 07/01/18........... 2,789,438
1,900,000 TBA, 5.50%, 07/01/18........... 1,973,625
500,000 TBA, 6.00%, 07/01/18........... 520,156
1,500,000 TBA, 6.00%, 07/01/18........... 1,566,093
1,200,000 TBA, 6.50%, 07/01/18........... 1,266,374
1,600,000 TBA, 5.00%, 07/01/33........... 1,626,000
1,200,000 TBA, 5.50%, 07/01/33........... 1,240,500
7,700,000 TBA, 6.00%, 07/01/33........... 8,003,189
4,900,000 TBA, 6.50%, 07/01/33........... 5,111,314
1,900,000 TBA, 7.00%, 07/01/33........... 2,001,532
------------
38,189,524
------------
FANNIE MAE GOLD -- 1.3%
324,625 PL# E01172, 6.00%, 07/01/17.... 337,689
371,062 PL# E88749, 6.00%, 03/01/17.... 386,027
1,108,066 PL# E89531, 6.00%, 05/01/17.... 1,152,657
214,312 PL# E89874, 6.00%, 05/01/17.... 222,955
809,411 PL# E89913, 6.00%, 05/01/17.... 841,984
169,513 PL# E90227, 6.00%, 06/01/17.... 176,334
160,833 PL# E90603, 6.00%, 07/01/17.... 167,305
444,251 PL# E90827, 5.50%, 08/01/17.... 460,910
</Table>
See notes to financial statements.
85
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE GOLD (CONTINUED)
$ 344,675 PL# G01315, 7.00%, 09/01/31.... $ 361,538
1,300,000 TBA, 4.50%, 07/01/18........... 1,327,219
------------
5,434,618
------------
FREDDIE MAC -- 1.3%
695,000 3.50%, 04/01/08................ 710,562
1,075,000 6.63%, 09/15/09................ 1,291,872
250,000 7.00%, 03/15/10................ 306,883
401,553 6.00%, 02/01/32................ 416,477
700,000 TBA, 5.00%, 07/01/18........... 722,968
1,000,000 TBA, 5.50%, 07/01/33........... 1,031,875
700,000 TBA, 7.00%, 07/01/33........... 734,125
------------
5,214,762
------------
FREDDIE MAC GOLD -- 0.1%
199,980 PL# C64741, 7.00%, 03/01/32.... 209,723
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 2.4%
977,116 PL# 3161, 6.50%, 11/20/31...... 1,021,173
460,025 PL# 256840, 6.00%, 12/15/31.... 482,595
25,783 PL# 461836, 7.00%, 01/15/28.... 27,281
28,705 PL# 471343, 6.00%, 10/15/32.... 30,113
49,795 PL# 480112, 6.00%, 04/15/29.... 52,284
66,705 PL# 499445, 6.00%, 04/15/29.... 70,039
104,988 PL# 552851, 6.00%, 10/15/32.... 110,138
300,030 PL# 555581, 7.00%, 10/15/31.... 316,979
478,989 PL# 578249, 6.00%, 10/15/32.... 502,484
452,944 PL# 587527, 6.00%, 10/15/32.... 475,161
1,645,361 PL# 590257, 6.00%, 10/15/32.... 1,726,067
41,286 PL# 590403, 6.00%, 08/15/32.... 43,311
26,731 PL# 596647, 7.00%, 09/15/32.... 28,242
198,591 PL# 780914, 6.00%, 11/15/28.... 208,590
1,747,586 PL# 781328, 7.00%, 09/15/31.... 1,847,148
1,200,000 TBA, 5.50%, 07/01/33........... 1,249,500
1,300,000 TBA, 6.50%, 07/01/33........... 1,365,405
------------
9,556,510
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.2%
600,000 Fannie Mae Grantor Trust,
Series 2001-T2, Class B,
6.02%, 11/25/10.............. 694,310
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
RESOLUTION FUNDING STRIPS -- 0.1%
$ 250,000 Zero coupon, 07/15/18.......... $ 121,082
250,000 Zero coupon, 10/15/18.......... 119,031
------------
240,113
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$58,986,947)................. 59,539,560
------------
MUNICIPAL BONDS -- 0.4%
CALIFORNIA -- 0.1%
250,000 California State Department of
Water Powersupply, Revenue
Bond, Series E,
3.98%, 05/01/05.............. 256,270
------------
ILLINOIS -- 0.3%
1,475,000 Illinois State Pension, General
Obligation,
5.10%, 06/01/33.............. 1,450,471
------------
TOTAL MUNICIPAL BONDS (Cost
$1,724,979).................. 1,706,741
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 3.5%
3,809,277 Bundes Republic of Deutscheland
Obligation, Series 140,
4.50%, 08/17/07(e)........... 4,661,163
1,475,000 French Treasury Note,
3.50%, 01/12/08.............. 1,731,043
715,000 Government of Canada,
4.50%, 09/01/07(f)........... 546,653
1,260,000 Government of Canada,
5.25%, 06/01/12(f)........... 985,638
1,935,000 Government of Canada,
5.25%, 06/01/13(f)........... 1,511,946
7,695,000 Government of Sweden,
5.00%, 01/28/09(g)........... 1,021,767
75,000 Province of Quebec, Series A,
7.37%, 03/06/26**............ 97,342
100,000 Province of Quebec, Series
MTNA,
7.38%, 04/09/26**............ 130,863
120,000 Province of Quebec, Series NJ,
7.50%, 07/15/23.............. 157,377
557,362 Republic of Colombia,
9.75%, 04/09/11.............. 635,392
472,000 Republic of Panama,
8.25%, 04/22/08.............. 522,740
538,000 Republic of Panama,
9.63%, 02/08/11.............. 625,425
250,000 United Mexican States,
9.88%, 02/01/10.............. 321,250
</Table>
See notes to financial statements.
86
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
$ 250,000 United Mexican States,
11.38%, 09/15/16............. $ 364,375
802,000 United Mexican States,
8.13%, 12/30/19.............. 916,285
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost
$12,890,760)................. 14,229,259
------------
SHORT TERM US TREASURY OBLIGATION -- 0.0%
120,000 US Treasury Bill,
1.11%, 07/10/03
(Cost $119,967)................ 119,967
------------
TIME DEPOSITS -- 1.2%
757,575 American Express Centurion
Bank,
1.26%, 07/07/03(b)........... 757,575
606,060 Bank of Montreal,
1.08%, 07/02/03(b)........... 606,060
125,068 Bank of Montreal,
1.15%, 07/09/03(b)........... 125,068
1,515,149 Bank of Novia Scotia,
1.03%, 07/08/03(b)........... 1,515,149
909,089 Credit Agricole Indosuez,
0.94%, 07/01/03(b)........... 909,089
484,848 Credit Agricole Indosuez,
1.05%, 08/26/03(b)........... 484,848
303,030 Den Danske Bank,
1.04%, 07/24/03(b)........... 303,030
303,030 Royal Bank of Scotland,
1.05%, 07/28/03(b)........... 303,030
------------
TOTAL TIME DEPOSITS (Cost
$5,003,849).................. 5,003,849
------------
SHORT TERM CORPORATE NOTES -- 1.8%
303,030 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)........ 303,030
757,574 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)........ 757,574
1,212,119 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)........ 1,212,119
484,848 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)........ 484,848
151,515 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)........ 151,515
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 606,060 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)........ $ 606,060
3,787,872 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)........ 3,787,872
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $7,303,018)...... 7,303,018
------------
COMMERCIAL PAPER -- 0.1%
303,030 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b)
(Cost $303,030)................ 303,030
------------
<Caption>
SHARES
------
REGULATED INVESTMENT COMPANIES -- 2.3%
5,303,021 BlackRock Tempcash Fund(b)..... $ 5,303,021
2,272,723 Dreyfus Cash Management Plus
Fund(b)...................... 2,272,723
767,583 Merrill Lynch Premier
Institutional Fund(b)........ 767,583
999,998 Merrimac Cash Fund -- Premium
Class(b)..................... 999,998
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$9,343,325).................. 9,343,325
------------
TOTAL SECURITIES
(Cost $402,608,290).......... 415,663,496
------------
<Caption>
PRINCIPAL
---------
REPURCHASE AGREEMENTS -- 10.2%
$ 2,723,790 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $2,723,846
(Collateralized by Freddie
Mac, 6.373%, due 07/01/08,
with a value of
$2,859,979).................. $ 2,723,790
38,037,481 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $38,038,274
(Collateralized by Fannie
Mae, 5.52%, due 08/01/32,
with a value of $31,574,160
and Fannie Mae, 1.535%, due
03/25/33, with a value of
$8,366,403).................. 38,037,481
</Table>
See notes to financial statements.
87
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
$ 303,030 With Morgan Stanley, dated
06/30/03, 1.48%, due
07/01/03, repurchase proceeds
at maturity $303,042
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$752, Verizon Global Funding
Corp., 6.875%, due 06/15/12,
with a value of $88,
Prudential Funding LLC,
6.60%, due 05/15/08, with a
value of $51,654, Jersey
Central Power & Lighting
Company, 4.80%, due 06/15/18,
with a value of $2,905,
Corporation Andina de
Fomento, 7.375%, due
01/18/11, with a value of
$72,364, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$150,604 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$27,198)(b).................. $ 303,030
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $41,064,301)........... 41,064,301
------------
SECURITIES SOLD SHORT -- (2.3)%
3,900,000 Fannie Mae, TBA,
7.00%, 07/01/23 (Proceeds
$4,122,530).................. (4,108,408)
2,700,000 Fannie Mae Gold, TBA,
6.00%, 07/01/18 (Proceeds
$2,812,013).................. (2,808,843)
2,300,000 Government National Mortgage
Association, TBA,
6.00%, 07/01/33 (Proceeds
$2,416,581).................. (2,409,968)
------------
TOTAL SECURITIES SOLD SHORT.... (9,327,219)
------------
<Caption>
CONTRACTS
---------
CALL OPTIONS WRITTEN -- 0.0%
9 US Treasury Note (10 Year)
December Future, Expiring
November 2003 @115
(Cost $12,894)............... (14,484)
------------
Total Investments -- 111.0%
(Cost $434,308,573).......... 447,386,094
Liabilities less other
assets -- (11.0)%............ (44,242,990)
------------
NET ASSETS -- 100.0%........... $403,143,104
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $434,308,573.
The following amount is based on costs for federal income tax purposes:
<Table>
Gross unrealized appreciation......... $ 23,421,183
Gross unrealized depreciation......... (10,343,662)
------------
Net unrealized appreciation........... $ 13,077,521
============
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(d) Quarterly reset provision. The rate shown was in effect at June 30, 2003.
(e) Monthly reset provision. The rate shown was in effect at June 30, 2003.
(f) Principal amount shown for this debt security is denominated in Euro
dollars.
(g) Principal amount shown for this debt security is denominated in Canadian
dollars.
(h) Principal amount shown for this debt security is denominated in Swedish
Krona.
(i) Security is segregated as initial margin for futures contracts.
(j) Variable Rate Security. Interest rate based on the credit rating of the
issuer. The rate shown was in effect at June 30, 2003.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
TBA To be assigned. Securities are purchased on a forward commitment basis with
approximate principal amount (generally +/- 1.0%) and general stated
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
* Bond is in default.
** Step bond. The rate shown was in effect at June 30, 2003.
See notes to financial statements.
88
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 98.1%
AEROSPACE AND DEFENSE -- 0.6%
200,000 Goodrich Corp. ............... $ 4,200,000
95,500 United Technologies Corp. .... 6,764,265
--------------
10,964,265
--------------
APPAREL: MANUFACTURING -- 0.5%
293,100 V. F. Corp. .................. 9,980,055
--------------
APPAREL: RETAIL -- 0.3%
110,000 Ross Stores, Inc. ............ 4,701,400
--------------
AUTOMOTIVE EQUIPMENT -- 1.5%
50,000 AutoZone, Inc.(c)............. 3,798,500
75,000 Johnson Controls, Inc. ....... 6,420,000
142,725 Lear Corp.(c)................. 6,568,205
153,900 Magna International,
Inc. -- Class A(a).......... 10,352,853
--------------
27,139,558
--------------
BANKS -- 13.4%
856,400 Bank of America Corp. ........ 67,681,291
1,000,000 Bank One Corp. ............... 37,180,000
411,700 FleetBoston Financial
Corp. ...................... 12,231,607
93,600 Golden West Financial
Corp. ...................... 7,488,936
153,800 Huntington Bancshares,
Inc.(a)..................... 3,002,176
1,084,840 J.P. Morgan Chase & Company... 37,079,831
397,300 National City Corp.(a)........ 12,995,683
386,900 Regions Financial Corp. ...... 13,069,482
560,000 Wachovia Corp. ............... 22,377,600
540,150 Washington Mutual, Inc. ...... 22,308,195
132,800 Wells Fargo & Company......... 6,693,120
--------------
242,107,921
--------------
BROADCAST SERVICES/MEDIA -- 4.2%
528,000 AOL Time Warner, Inc.(c)...... 8,495,520
808,165 Comcast Corp. -- Class A(c)... 24,390,420
175,000 Comcast Corp. -- Special Class
A(c)........................ 5,045,250
275,000 Cox Communications,
Inc. -- Class A(c).......... 8,772,500
500,000 Viacom, Inc. -- Class B(c).... 21,830,000
200,000 Westwood One, Inc.(c)......... 6,786,000
--------------
75,319,690
--------------
BUSINESS SERVICES -- 1.0%
450,000 First Data Corp.(a)........... 18,648,000
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES (CONTINUED)
2 Hudson Highland Group,
Inc.(c)..................... $ 38
--------------
18,648,038
--------------
CHEMICALS -- 1.4%
329,695 Dow Chemical Company.......... 10,207,357
175,000 E. I. du Pont de Nemours and
Company..................... 7,287,000
186,600 Eastman Chemical Company...... 5,909,622
82,500 Lubrizol Corp. ............... 2,556,675
--------------
25,960,654
--------------
COMPUTER SOFTWARE AND SERVICES -- 1.9%
75,000 Affiliated Computer Services,
Inc. -- Class A(a)(c)....... 3,429,750
650,000 Microsoft Corp. .............. 16,646,500
500,000 VERITAS Software Corp.(c)..... 14,335,000
--------------
34,411,250
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.3%
1,732,400 Hewlett-Packard Company....... 36,900,120
61,000 International Business
Machines Corp. ............. 5,032,500
--------------
41,932,620
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.1%
100,000 American Standard Companies,
Inc.(c)..................... 7,393,000
98,200 Martin Marietta Materials,
Inc. ....................... 3,300,502
141,200 Pulte Homes, Inc. ............ 8,706,392
--------------
19,399,894
--------------
CONSUMER GOODS AND SERVICES -- 5.7%
914,400 Altria Group, Inc. ........... 41,550,336
275,000 Avon Products, Inc. .......... 17,105,000
140,000 Colgate-Palmolive Company..... 8,113,000
350,000 Loews Corp. -- Carolina
Group....................... 9,450,000
175,000 Procter & Gamble Company...... 15,606,500
166,100 Whirlpool Corp. .............. 10,580,570
--------------
102,405,406
--------------
CONTAINERS AND PACKAGING -- 0.0%
9,200 Ball Corp. ................... 418,692
--------------
DISTRIBUTION -- 0.4%
272,200 Avnet, Inc.(c)................ 3,451,496
324,105 Ingram Micro, Inc. -- Class
A(c)........................ 3,565,155
--------------
7,016,651
--------------
</Table>
See notes to financial statements.
89
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 0.5%
1,638,375 Solectron Corp.(c)............ $ 6,127,523
147,600 Thomas & Betts Corp.(c)....... 2,132,820
--------------
8,260,343
--------------
FINANCIAL SERVICES -- 8.8%
1,670,500 Citigroup, Inc. .............. 71,497,400
369,800 Fannie Mae.................... 24,939,312
192,900 Freddie Mac................... 9,793,533
209,800 Lehman Brothers Holdings,
Inc. ....................... 13,947,504
750,000 MBNA Corp. ................... 15,630,000
165,700 Merrill Lynch & Company,
Inc. ....................... 7,734,876
374,400 Morgan Stanley................ 16,005,600
--------------
159,548,225
--------------
FOOD AND BEVERAGE -- 0.9%
310,000 Anheuser-Busch Companies,
Inc. ....................... 15,825,500
--------------
INSURANCE -- 9.5%
425,000 Ace, Ltd. .................... 14,573,250
89,400 Aetna, Inc. .................. 5,381,880
431,300 Allstate Corp. ............... 15,375,845
733,700 American International Group,
Inc. ....................... 40,485,566
190,700 Chubb Corp.(a)................ 11,442,000
267,600 CIGNA Corp. .................. 12,561,144
950,200 MetLife, Inc. ................ 26,909,664
97,000 PartnerRE, Ltd. .............. 4,957,670
153,110 RenaissanceRe Holdings,
Ltd. ....................... 6,969,567
353,500 St. Paul Companies, Inc.(a)... 12,906,285
270,300 Torchmark Corp. .............. 10,068,675
564,300 Travelers Property Casualty
Corp. -- Class A............ 8,972,370
55,079 Travelers Property Casualty
Corp. -- Class B............ 868,596
--------------
171,472,512
--------------
INTERNET SERVICES -- 0.7%
998,100 Juniper Networks,
Inc.(a)(c).................. 12,346,497
--------------
LEISURE AND RECREATION -- 0.4%
225,000 Carnival Corp.(a)............. 7,314,750
--------------
MANUFACTURING -- 1.5%
229,000 Cooper Industries,
Ltd. -- Class A............. 9,457,700
228,300 Owens-Illinois, Inc.(c)....... 3,143,691
182,100 Parker-Hannifin Corp. ........ 7,646,379
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MANUFACTURING (CONTINUED)
592,950 Smurfit-Stone Container
Corp.(a)(c)................. $ 7,726,139
--------------
27,973,909
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.8%
700,000 HCA, Inc.(a).................. 22,428,000
75,400 Health Management Associates,
Inc. -- Class A............. 1,391,130
750,000 Tenet Healthcare Corp.(c)..... 8,737,500
215,000 WellPoint Health Networks,
Inc.(c)..................... 18,124,500
--------------
50,681,130
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 0.9%
140,200 Alcon, Inc. .................. 6,407,140
125,000 Johnson & Johnson............. 6,462,500
86,100 Zimmer Holdings, Inc.(c)...... 3,878,805
--------------
16,748,445
--------------
METALS AND MINING -- 0.2%
150,000 Alcoa, Inc. .................. 3,825,000
--------------
MOTOR VEHICLES -- 0.8%
350,000 Harley-Davidson, Inc. ........ 13,951,000
--------------
OIL, COAL AND GAS -- 11.7%
375,000 BP PLC (ADR).................. 15,757,500
494,000 ChevronTexaco Corp. .......... 35,666,800
874,400 ConocoPhillips................ 47,917,120
1,534,800 Exxon Mobil Corp. ............ 55,114,667
350,000 Kerr-McGee Corp. ............. 15,680,000
210,000 Nabors Industries, Ltd.(c).... 8,305,500
774,000 Occidental Petroleum Corp. ... 25,967,700
220,000 Valero Energy Corp. .......... 7,992,600
--------------
212,401,887
--------------
PAPER AND FOREST PRODUCTS -- 0.8%
41,800 International Paper Company... 1,493,514
319,702 MeadWestvaco Corp. ........... 7,896,640
119,350 Temple-Inland, Inc.(a)........ 5,121,309
--------------
14,511,463
--------------
PHARMACEUTICALS -- 4.0%
49,000 Aventis S.A. (ADR)(a)......... 2,680,300
265,400 GlaxoSmithKline PLC (ADR)..... 10,759,316
45,000 Merck & Company, Inc. ........ 2,724,750
1,205,400 Pfizer, Inc. ................. 41,164,410
</Table>
See notes to financial statements.
90
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
340,000 Wyeth......................... $ 15,487,000
--------------
72,815,776
--------------
RETAIL -- 2.1%
315,700 Federated Department Stores,
Inc. ....................... 11,633,545
200,000 Home Depot, Inc. ............. 6,624,000
275,000 J.C. Penney Company,
Inc.(a)..................... 4,633,750
429,678 Sears, Roebuck & Company(a)... 14,454,368
--------------
37,345,663
--------------
RETAIL: SUPERMARKETS -- 1.0%
519,925 Safeway, Inc.(c).............. 10,637,666
355,700 SUPERVALU, Inc. .............. 7,583,524
--------------
18,221,190
--------------
RUBBER PRODUCTS -- 0.2%
193,100 Cooper Tire & Rubber Company.. 3,396,629
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.4%
385,000 Applera Corp. -- Applied
Biosystems Group............ 7,326,550
--------------
SEMICONDUCTORS -- 0.5%
350,000 Intersil Corp. -- Class
A(c)........................ 9,313,500
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 5.5%
35,960 AT&T Corp. ................... 692,230
1,690,300 Corning, Inc.(c).............. 12,491,317
5,564,866 Nortel Networks Corp.(c)...... 15,025,138
1,132,200 Qwest Communications
International, Inc.(c)...... 5,411,916
854,900 SBC Communications, Inc. ..... 21,842,695
1,679,800 Sprint Corp. (FON Group)...... 24,189,120
140,700 Sprint Corp. (PCS Group)(c)... 809,025
964,950 Tellabs, Inc.(c).............. 6,339,722
320,652 Verizon Communications,
Inc. ....................... 12,649,721
--------------
99,450,884
--------------
TRANSPORTATION: FREIGHT -- 4.8%
974,900 Burlington Northern Santa Fe
Corp. ...................... 27,726,156
398,100 CSX Corp. .................... 11,978,829
609,900 Norfolk Southern Corp. ....... 11,710,080
600,000 Union Pacific Corp. .......... 34,812,000
--------------
86,227,065
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
UTILITIES: ELECTRIC -- 5.1%
384,180 American Electric Power
Company, Inc. .............. $ 11,460,089
46,400 Cinergy Corp. ................ 1,707,056
509,600 Constellation Energy Group,
Inc. ....................... 17,479,280
500,000 Edison International(a)(c).... 8,215,000
429,000 Entergy Corp. ................ 22,642,620
487,500 PPL Corp. .................... 20,962,500
305,800 Wisconsin Energy Corp. ....... 8,868,200
--------------
91,334,745
--------------
UTILITIES: GAS -- 0.7%
447,425 Sempra Energy................. 12,765,035
--------------
TOTAL COMMON STOCKS
(Cost $1,713,467,156)....... 1,773,463,792
--------------
REGULATED INVESTMENT COMPANIES -- 1.6%
16,641,859 BlackRock Tempcash Fund(b).... 16,641,859
7,132,225 Dreyfus Cash Management Plus
Fund(b)..................... 7,132,225
2,408,817 Merrill Lynch Premier
Institutional Fund(b)....... 2,408,817
3,138,179 Merrimac Cash Fund -- Premium
Class(b).................... 3,138,179
--------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $29,321,080).......... 29,321,080
--------------
<Caption>
PRINCIPAL
---------
SHORT TERM CORPORATE NOTES -- 1.3%
$ 950,963 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)....... 950,963
2,377,408 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)....... 2,377,408
3,803,854 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)....... 3,803,854
1,521,541 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)....... 1,521,541
475,482 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)....... 475,482
1,901,927 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)....... 1,901,927
</Table>
See notes to financial statements.
91
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$11,887,042 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)....... $ 11,887,042
--------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $22,918,217).......... 22,918,217
--------------
TIME DEPOSITS -- 0.9%
2,377,408 American Express Centurion
Bank,
1.26%, 07/07/03(b).......... 2,377,408
1,901,927 Bank of Montreal,
1.08%, 07/02/03(b).......... 1,901,927
392,487 Bank of Montreal,
1.15%, 07/09/03(b).......... 392,487
4,754,817 Bank of Novia Scotia,
1.03%, 07/08/03(b).......... 4,754,817
2,852,890 Credit Agricole Indosuez,
0.94%, 07/01/03(b).......... 2,852,890
1,521,541 Credit Agricole Indosuez,
1.05%, 08/26/03(b).......... 1,521,541
950,964 Den Danske Bank,
1.04%, 07/24/03(b).......... 950,964
950,964 Royal Bank of Scotland,
1.05%, 07/28/03(b).......... 950,964
--------------
TOTAL TIME DEPOSITS
(Cost $15,702,998).......... 15,702,998
--------------
COMMERCIAL PAPER -- 0.1%
950,964 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b) (Cost
$950,964)................... 950,964
--------------
TOTAL SECURITIES
(Cost $1,782,360,415)....... 1,842,357,051
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 2.1%
$37,484,577 With Investors Bank and Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$37,485,358 (Collateralized
by Government National
Mortgage Association, 1.68%,
due 05/16/32, with a value
of $9,349,781 and
Residential Accredit Loans,
Inc., 1.81%, due 06/25/33,
with a value of
$30,009,024)................ $ 37,484,577
950,963 With Morgan Stanley, dated
06/30/03, 1.48%, due
07/01/03, repurchase
proceeds at maturity
$951,002 (Collateralized by
Vodafone Group PLC, 7.75%,
due 02/15/10, with a value
of $2,367, Verizon Global
Funding Corp., 6.875%, due
06/15/12, with a value of
$275, Prudential Funding
LLC, 6.60%, due 05/15/08,
with a value of $162,462,
Jersey Central Power &
Lighting Company, 4.80%, due
06/15/18, with a value of
$9,136, Corporation Andina
de Fomento, 7.375%, due
01/18/11, with a value of
$227,598, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$473,680 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$85,543)(b)................. 950,963
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $38,435,540).......... 38,435,540
--------------
Total Investments -- 104.1%
(Cost $1,820,795,955)....... 1,880,792,591
Liabilities less other
assets -- (4.1)%............ (73,298,288)
--------------
NET ASSETS -- 100.0%.......... $1,807,494,303
==============
</Table>
See notes to financial statements.
92
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $1,820,795,955.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation......... $147,882,332
Gross unrealized depreciation......... (87,885,696)
------------
Net unrealized appreciation........... $ 59,996,636
============
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) American Depository Receipt.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
93
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 98.0%
ADVERTISING -- 0.1%
23,100 Interpublic Group of Companies,
Inc. ........................ $ 309,078
8,950 Omnicom Group, Inc. ........... 641,715
------------
950,793
------------
AEROSPACE AND DEFENSE -- 3.0%
40,600 Boeing Company................. 1,393,392
9,150 General Dynamics Corp. ........ 663,375
4,100 Goodrich Corp. ................ 86,100
318,650 Lockheed Martin Corp. ......... 15,158,180
3,240 Northrop Grumman Corp. ........ 279,580
7,200 Raytheon Company............... 236,448
124,400 United Technologies Corp. ..... 8,811,252
------------
26,628,327
------------
AGRICULTURE -- 0.0%
13,850 Monsanto Company............... 299,714
------------
AIRLINES -- 0.1%
35,700 Southwest Airlines Company..... 614,040
------------
APPAREL: MANUFACTURING -- 0.2%
10,350 Jones Apparel Group, Inc.(c)... 302,841
10,400 Liz Claiborne, Inc. ........... 366,600
13,750 Nike, Inc. -- Class B.......... 735,487
3,200 Reebok International,
Ltd.(a)(c)................... 107,616
5,050 V. F. Corp. ................... 171,953
------------
1,684,497
------------
APPAREL: RETAIL -- 0.1%
30,700 Limited Brands................. 475,850
40,100 The Gap, Inc. ................. 752,276
------------
1,228,126
------------
AUTOMOBILE: RETAIL -- 0.0%
17,500 AutoNation, Inc.(a)(c)......... 275,100
------------
AUTOMOTIVE EQUIPMENT -- 0.1%
1,900 AutoZone, Inc.(c).............. 144,343
4,900 Dana Corp. .................... 56,644
4,100 Johnson Controls, Inc. ........ 350,960
------------
551,947
------------
BANKS -- 6.6%
22,650 AmSouth Bancorp. .............. 494,676
172,541 Bank of America Corp. ......... 13,635,914
14,500 Bank of New York Company,
Inc. ........................ 416,875
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
54,800 Bank One Corp. ................ $ 2,037,464
24,750 BB&T Corp. .................... 848,925
10,808 Charter One Financial, Inc. ... 336,993
9,100 Comerica, Inc. ................ 423,150
5,500 First Tennessee National
Corp. ....................... 241,505
49,750 FleetBoston Financial Corp. ... 1,478,073
7,850 Golden West Financial Corp. ... 628,079
10,200 Huntington Bancshares,
Inc.(a)...................... 199,104
89,900 J.P. Morgan Chase & Company.... 3,072,782
21,300 KeyCorp........................ 538,251
9,500 Marshall & Ilsley Corp. ....... 290,510
19,850 Mellon Financial Corp. ........ 550,838
70,750 National City Corp. ........... 2,314,233
2,950 North Fork Bancorp, Inc. ...... 100,477
5,100 PNC Financial Services Group... 248,931
10,700 Regions Financial Corp. ....... 361,446
16,050 SouthTrust Corp. .............. 436,560
17,950 State Street Corp. ............ 707,230
13,050 SunTrust Banks, Inc. .......... 774,387
87,200 U.S. Bancorp................... 2,136,400
10,950 Union Planters Corp. .......... 339,779
91,550 Wachovia Corp. ................ 3,658,337
70,800 Washington Mutual, Inc. ....... 2,924,040
395,350 Wells Fargo & Company.......... 19,925,639
5,300 Zions Bancorp.................. 268,233
------------
59,388,831
------------
BROADCAST SERVICES/MEDIA -- 3.3%
211,700 AOL Time Warner, Inc.(c)....... 3,406,253
158,500 Clear Channel Communications,
Inc.(c)...................... 6,718,815
109,950 Comcast Corp. -- Class A(c).... 3,318,291
27,850 Delphi Corp. .................. 240,346
12,700 Gannett Company, Inc. ......... 975,487
10,700 McGraw-Hill Companies, Inc. ... 663,400
5,700 Meredith Corp.(a).............. 250,800
14,000 Tribune Company................ 676,200
265,000 Viacom, Inc. -- Class B(c)..... 11,569,899
96,850 Walt Disney Company............ 1,912,788
------------
29,732,279
------------
BUSINESS SERVICES -- 0.4%
19,900 Concord EFS, Inc.(c)........... 292,928
9,000 Convergys Corp.(c)............. 144,000
</Table>
See notes to financial statements.
94
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES (CONTINUED)
12,600 Ecolab, Inc. .................. $ 322,560
34,700 First Data Corp. .............. 1,437,967
8,550 Fiserv, Inc.(c)................ 304,466
4,800 Moody's Corp. ................. 253,008
17,450 Paychex, Inc. ................. 511,460
3,100 Robert Half International,
Inc.(a)(c)................... 58,714
------------
3,325,103
------------
CHEMICALS -- 2.5%
11,100 Air Products and Chemicals,
Inc. ........................ 461,760
43,650 Dow Chemical Company........... 1,351,404
338,850 E. I. du Pont de Nemours and
Company...................... 14,109,714
3,900 Eastman Chemical Company....... 123,513
4,700 Great Lakes Chemical
Corp.(a)..................... 95,880
8,100 International Flavors &
Fragrances, Inc. ............ 258,633
100,150 PPG Industries, Inc. .......... 5,081,611
8,400 Praxair, Inc. ................. 504,840
11,650 Rohm And Haas Company.......... 361,500
4,050 Sigma-Aldrich Corp. ........... 219,429
------------
22,568,284
------------
COMMERCIAL SERVICES -- 1.5%
712,240 Cendant Corp.(c)............... 13,048,237
------------
COMPUTER SOFTWARE AND SERVICES -- 6.0%
12,750 Adobe Systems, Inc. ........... 408,893
2,200 Autodesk, Inc. ................ 35,552
28,700 Automatic Data Processing,
Inc. ........................ 971,782
10,650 BMC Software, Inc.(c).......... 173,915
19,300 Citrix Systems, Inc.(c)........ 392,948
67,150 Computer Associates
International, Inc. ......... 1,496,102
8,400 Computer Sciences
Corp.(a)(c).................. 320,208
45,400 Compuware Corp.(c)............. 261,958
6,550 Electronic Arts, Inc.(c)....... 484,635
11,700 Intuit, Inc.(c)................ 521,001
3,550 Mercury Interactive Corp.(c)... 137,066
1,403,000 Microsoft Corp. ............... 35,930,829
6,250 NVIDIA Corp.(a)(c)............. 143,813
438,300 Oracle Corp.(c)................ 5,268,365
14,800 PeopleSoft, Inc.(c)............ 260,332
39,250 Siebel Systems, Inc.(c)........ 374,445
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
12,650 SunGard Data Systems,
Inc.(c)...................... $ 327,762
18,250 Unisys Corp.(c)................ 224,110
209,750 VERITAS Software Corp.(c)...... 6,013,532
------------
53,747,248
------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.6%
19,100 Apple Computer, Inc.(c)........ 365,192
17,300 Avery Dennison Corp. .......... 868,460
350,400 Dell Computer Corp.(c)......... 11,198,783
166,950 EMC Corp.(c)................... 1,747,967
413,361 Hewlett-Packard Company........ 8,804,589
76,550 International Business Machines
Corp. ....................... 6,315,375
12,500 Lexmark International Group,
Inc.(c)...................... 884,625
14,800 Network Appliance, Inc.(c)..... 239,908
12,000 Pitney Bowes, Inc. ............ 460,920
142,250 Sun Microsystems, Inc.(c)...... 654,350
33,250 Xerox Corp.(a)(c).............. 352,118
------------
31,892,287
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.2%
3,800 American Standard Companies,
Inc.(c)...................... 280,934
3,050 Centex Corp. .................. 237,260
3,800 KB Home........................ 235,524
21,850 Masco Corp. ................... 521,122
3,100 Pulte Homes, Inc. ............. 191,146
5,100 Vulcan Materials Company....... 189,057
------------
1,655,043
------------
CONSUMER GOODS AND SERVICES -- 8.8%
2,300 Alberto-Culver Company -- Class
B............................ 117,530
201,500 Altria Group, Inc. ............ 9,156,160
4,750 Avon Products, Inc. ........... 295,450
8,350 Cintas Corp.(a)................ 295,924
143,350 Clorox Company................. 6,113,878
25,050 Colgate-Palmolive Company...... 1,451,648
29,900 Eastman Kodak Company(a)....... 817,765
184,100 Estee Lauder Companies, Inc. --
Class A...................... 6,172,873
32,950 FedEx Corp. ................... 2,043,889
7,900 Fortune Brands, Inc. .......... 412,380
590,750 General Electric Company....... 16,942,709
</Table>
See notes to financial statements.
95
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
510,120 Gillette Company............... $ 16,252,422
23,900 Kimberly-Clark Corp. .......... 1,246,146
9,350 Leggett & Platt, Inc. ......... 191,675
304,800 Newell Rubbermaid, Inc. ....... 8,534,400
92,400 Procter & Gamble Company....... 8,240,232
7,700 Sherwin-Williams Company....... 206,976
4,500 Whirlpool Corp. ............... 286,650
------------
78,778,707
------------
CONTAINERS AND PACKAGING -- 0.1%
5,600 Ball Corp.(a).................. 254,856
5,100 Bemis Company, Inc. ........... 238,680
18,200 Pactiv Corp.(c)................ 358,722
4,250 Sealed Air Corp.(c)............ 202,555
------------
1,054,813
------------
EDUCATION -- 0.1%
8,500 Apollo Group, Inc. -- Class
A(c)......................... 524,960
------------
ELECTRONICS -- 1.4%
228,132 Emerson Electric Company....... 11,657,545
12,200 Jabil Circuit, Inc.(c)......... 269,620
7,900 Molex, Inc. ................... 213,221
14,600 Rockwell Collins, Inc.(a)...... 359,598
30,600 Sanmina-SCI Corp.(c)........... 193,086
------------
12,693,070
------------
ENGINEERING -- 0.0%
3,800 Fluor Corp. ................... 127,832
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1%
15,900 Allied Waste Industries,
Inc.(a)(c)................... 159,795
27,050 Waste Management, Inc. ........ 651,635
------------
811,430
------------
FINANCIAL SERVICES -- 5.8%
63,000 American Express Company....... 2,634,030
10,900 Bear Stearns Companies,
Inc.(a)...................... 789,378
16,600 Capital One Financial
Corp.(a)..................... 816,388
25,350 Charles Schwab Corp.(a)........ 255,782
498,459 Citigroup, Inc. ............... 21,334,044
14,500 Countrywide Financial Corp. ... 1,008,765
3,300 Deluxe Corp. .................. 147,840
6,400 Equifax, Inc. ................. 166,400
83,850 Fannie Mae..................... 5,654,843
5,050 Franklin Resources, Inc. ...... 197,304
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
50,950 Freddie Mac.................... $ 2,586,732
61,734 Goldman Sachs Group, Inc. ..... 5,170,223
13,500 H&R Block, Inc. ............... 583,875
27,450 Lehman Brothers Holdings,
Inc. ........................ 1,824,876
68,325 MBNA Corp. .................... 1,423,893
65,900 Merrill Lynch & Company,
Inc. ........................ 3,076,212
51,700 Morgan Stanley................. 2,210,175
14,450 Providian Financial Corp.(c)... 133,807
29,700 Prudential Financial, Inc. .... 999,405
21,300 SLM Corp. ..................... 834,321
6,550 T. Rowe Price Group, Inc.(a)... 247,263
------------
52,095,556
------------
FOOD AND BEVERAGE -- 5.4%
2,000 Adolph Coors Company -- Class
B............................ 97,960
214,150 Anheuser-Busch Companies,
Inc. ........................ 10,932,358
29,755 Archer-Daniels-Midland
Company...................... 382,947
3,000 Brown-Forman Corp. -- Class
B............................ 235,860
20,200 Campbell Soup Company.......... 494,900
339,309 Coca-Cola Company.............. 15,747,330
19,750 Coca-Cola Enterprises, Inc. ... 358,463
25,750 ConAgra Foods, Inc. ........... 607,700
19,100 General Mills, Inc.(a)......... 905,531
38,500 H.J. Heinz Company............. 1,269,730
6,600 Hershey Foods Corp. ........... 459,756
17,900 Kellogg Company................ 615,223
6,500 McCormick & Company, Inc. ..... 176,800
18,600 Pepsi Bottling Group, Inc. .... 372,372
309,454 PepsiCo, Inc. ................. 13,770,702
35,800 Sara Lee Corp. ................ 673,398
30,900 Sysco Corp. ................... 928,236
7,950 UST, Inc. ..................... 278,489
10,700 Wm. Wrigley Jr. Company........ 601,661
------------
48,909,416
------------
INSURANCE -- 6.6%
20,350 Ace, Ltd. ..................... 697,802
12,200 Aetna, Inc. ................... 734,440
395,350 AFLAC, Inc. ................... 12,157,012
80,650 Allstate Corp. ................ 2,875,173
5,100 Ambac Financial Group, Inc. ... 337,875
367,150 American International Group,
Inc. ........................ 20,259,336
17,750 Aon Corp. ..................... 427,420
</Table>
See notes to financial statements.
96
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
55,200 Chubb Corp.(a)................. $ 3,311,999
6,950 CIGNA Corp. ................... 326,233
3,050 Cincinnati Financial Corp. .... 113,125
162,400 Hartford Financial Services
Group, Inc. ................. 8,178,463
15,650 Humana, Inc.(c)................ 236,315
7,700 Jefferson-Pilot Corp. ......... 319,242
14,600 John Hancock Financial
Services, Inc. .............. 448,658
8,600 Loews Corp. ................... 406,694
25,450 Marsh & McLennan Companies,
Inc. ........................ 1,299,732
7,050 MBIA, Inc. .................... 343,688
33,900 MetLife, Inc. ................. 960,048
6,950 MGIC Investment Corp. ......... 324,148
36,550 Principal Financial Group,
Inc. ........................ 1,178,738
25,000 Progressive Corp. ............. 1,827,500
16,000 SAFECO Corp. .................. 564,480
5,650 Torchmark Corp. ............... 210,463
52,123 Travelers Property Casualty
Corp. -- Class B............. 821,980
13,000 UnumProvident Corp. ........... 174,330
6,200 XL Capital, Ltd. -- Class A.... 514,600
------------
59,049,494
------------
INTERNET SERVICES -- 1.4%
514,450 Cisco Systems, Inc.(c)......... 8,534,726
15,450 eBay, Inc.(c).................. 1,609,581
24,900 Monster Worldwide, Inc.(c)..... 491,277
16,950 Symantec Corp.(c).............. 743,427
26,800 YAHOO!, Inc.(a)(c)............. 877,968
------------
12,256,979
------------
LEISURE AND RECREATION -- 0.1%
5,600 Brunswick Corp. ............... 140,112
4,800 Harrah's Entertainment,
Inc.(a)(c)................... 193,152
7,000 Hilton Hotels Corp. ........... 89,530
4,350 International Game
Technology(c)................ 445,136
10,850 Marriott International, Inc. --
Class A...................... 416,857
------------
1,284,787
------------
MACHINERY -- 0.4%
16,100 Caterpillar, Inc. ............. 896,126
26,550 Deere & Company................ 1,213,335
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
9,600 Dover Corp. ................... $ 287,616
8,100 Ingersoll-Rand Company -- Class
A............................ 383,292
16,650 Rockwell Automation, Inc. ..... 396,936
------------
3,177,305
------------
MANUFACTURING -- 2.3%
17,600 3M Company..................... 2,270,048
7,050 Cooper Industries,
Ltd. -- Class A.............. 291,165
3,300 Crane Company.................. 74,679
7,900 Danaher Corp.(a)............... 537,595
3,000 Eaton Corp. ................... 235,830
15,450 Honeywell International,
Inc. ........................ 414,833
220,450 Illinois Tool Works, Inc.(a)... 14,516,632
4,250 ITT Industries, Inc. .......... 278,205
7,550 Textron, Inc. ................. 294,601
91,900 Tyco International, Ltd. ...... 1,744,262
------------
20,657,850
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.3%
17,750 Anthem, Inc.(c)................ 1,369,413
16,000 IMS Health, Inc. .............. 287,840
1,700 Manor Care, Inc.(c)............ 42,517
15,100 McKesson Corp. ................ 539,674
163,500 UnitedHealth Group, Inc. ...... 8,215,875
17,550 WellPoint Health Networks,
Inc.(c)...................... 1,479,465
------------
11,934,784
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 5.0%
13,750 Becton, Dickinson and
Company...................... 534,188
427,300 Biomet, Inc. .................. 12,246,417
19,400 Boston Scientific Corp.(c)..... 1,185,340
5,000 C. R. Bard, Inc. .............. 356,550
9,850 Genzyme Corp.(c)............... 411,730
36,150 Guidant Corp. ................. 1,604,699
135,600 Johnson & Johnson.............. 7,010,520
420,607 Medtronic, Inc. ............... 20,176,517
10,050 St. Jude Medical, Inc.(c)...... 577,875
9,000 Stryker Corp.(a)............... 624,330
9,450 Zimmer Holdings, Inc.(c)....... 425,723
------------
45,153,889
------------
</Table>
See notes to financial statements.
97
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
METALS AND MINING -- 0.2%
16,800 Alcoa, Inc. ................... $ 428,400
8,000 Freeport-McMoRan Copper & Gold,
Inc. -- Class B(a)........... 196,000
21,500 Newmont Mining Corp.(a)........ 697,890
5,150 Phelps Dodge Corp.(c).......... 197,451
4,700 United States Steel Corp. ..... 76,939
8,000 Worthington Industries,
Inc. ........................ 107,200
------------
1,703,880
------------
MOTOR VEHICLES -- 1.0%
212,750 Ford Motor Company(a).......... 2,338,123
161,350 Harley-Davidson, Inc. ......... 6,431,410
6,425 PACCAR, Inc. .................. 433,174
------------
9,202,707
------------
OIL AND GAS: PIPELINES -- 0.1%
6,500 Kinder Morgan, Inc. ........... 355,225
31,800 Williams Companies, Inc. ...... 251,220
------------
606,445
------------
OIL, COAL AND GAS -- 6.8%
6,350 Amerada Hess Corp. ............ 312,293
19,750 Anadarko Petroleum Corp. ...... 878,283
7,800 Apache Corp. .................. 507,468
98,100 Burlington Resources, Inc. .... 5,304,267
48,150 ChevronTexaco Corp. ........... 3,476,430
183,514 ConocoPhillips................. 10,056,566
94,600 Devon Energy Corp. ............ 5,051,640
2,150 EOG Resources, Inc. ........... 89,956
704,000 Exxon Mobil Corp. ............. 25,280,639
22,600 Halliburton Company............ 519,800
4,500 Kerr-McGee Corp. .............. 201,600
34,200 Marathon Oil Corp. ............ 901,170
7,200 Nabors Industries, Ltd.(c)..... 284,760
2,900 Noble Corp.(c)................. 99,470
42,700 Occidental Petroleum Corp. .... 1,432,585
5,100 Rowan Companies, Inc.(c)....... 114,240
3,600 Sunoco, Inc. .................. 135,864
264,550 Transocean, Inc.(c)............ 5,812,164
16,000 Unocal Corp. .................. 459,040
------------
60,918,235
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
PAPER AND FOREST PRODUCTS -- 0.7%
2,800 Boise Cascade Corp. ........... $ 66,920
174,750 International Paper Company.... 6,243,818
------------
6,310,738
------------
PHARMACEUTICALS -- 8.4%
327,250 Abbott Laboratories............ 14,320,459
36,200 Bristol-Myers Squibb Company... 982,830
21,200 Cardinal Health, Inc. ......... 1,363,160
185,100 Eli Lilly and Company.......... 12,766,347
28,800 Forest Laboratories, Inc.(c)... 1,576,800
18,700 King Pharmaceuticals,
Inc.(c)...................... 276,012
129,150 Merck & Company, Inc. ......... 7,820,033
933,843 Pfizer, Inc. .................. 31,890,737
69,550 Schering-Plough Corp. ......... 1,293,630
5,900 Watson Pharmaceuticals,
Inc.(c)...................... 238,183
63,050 Wyeth.......................... 2,871,928
------------
75,400,119
------------
PRINTING AND PUBLISHING -- 0.1%
4,300 Knight-Ridder, Inc. ........... 296,399
7,000 New York Times Company -- Class
A............................ 318,500
5,900 R.R. Donnelley & Sons Company.. 154,226
------------
769,125
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
18,500 Equity Office Properties
Trust........................ 499,685
13,300 Equity Residential............. 345,135
8,700 Simon Property Group, Inc. .... 339,561
------------
1,184,381
------------
REGULATED INVESTMENT COMPANIES -- 0.8%
70,400 SPDR Trust Series 1............ 6,866,816
------------
RESEARCH AND DEVELOPMENT -- 1.1%
127,594 Amgen, Inc.(c)................. 8,546,246
7,350 Biogen, Inc.(c)................ 279,300
15,100 Chiron Corp.(c)................ 660,172
13,150 MedImmune, Inc.(c)............. 478,266
5,300 Quintiles Transnational
Corp.(c)..................... 75,207
------------
10,039,191
------------
RETAIL -- 4.1%
14,300 Bed Bath & Beyond, Inc.(c)..... 554,983
6,050 Best Buy Company, Inc.(c)...... 265,716
6,400 Big Lots, Inc.(c).............. 96,256
</Table>
See notes to financial statements.
98
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
21,350 Costco Wholesale Corp.(c)...... $ 781,410
21,850 CVS Corp. ..................... 612,456
6,800 Dillard's, Inc. -- Class A..... 91,596
26,800 Dollar General Corp(a)......... 489,368
9,650 Family Dollar Stores, Inc. .... 368,148
22,250 Federated Department Stores,
Inc. ........................ 819,913
111,050 Home Depot, Inc. .............. 3,677,976
17,450 J.C. Penney Company, Inc. ..... 294,033
36,950 Lowe's Companies, Inc. ........ 1,587,003
6,450 May Department Stores Company.. 143,577
14,400 Office Depot, Inc.(c).......... 208,944
8,500 RadioShack Corp. .............. 223,635
210,300 Staples, Inc.(c)............... 3,859,004
25,000 TJX Companies, Inc. ........... 471,000
362,499 Wal-Mart Stores, Inc. ......... 19,455,320
78,750 Walgreen Company............... 2,370,375
------------
36,370,713
------------
RETAIL: RESTAURANTS -- 0.3%
8,400 Darden Restaurants, Inc. ...... 159,432
64,150 McDonald's Corp. .............. 1,415,149
18,300 Starbucks Corp.(c)............. 448,716
5,800 Wendy's International, Inc. ... 168,026
14,650 YUM! Brands, Inc.(c)........... 433,054
------------
2,624,377
------------
RETAIL: SUPERMARKETS -- 0.1%
17,750 Albertson's, Inc.(a)........... 340,800
34,550 Kroger Company(a)(c)........... 576,294
2,700 SUPERVALU, Inc. ............... 57,564
7,900 Winn-Dixie Stores, Inc.(a)..... 97,249
------------
1,071,907
------------
RUBBER PRODUCTS -- 0.0%
4,750 Cooper Tire & Rubber Company... 83,553
------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.1%
11,150 Applera Corp.-Applied
Biosystems Group............. 212,185
6,600 Pall Corp. .................... 148,500
8,800 Thermo Electron Corp.(c)....... 184,976
15,550 Waters Corp.(c)................ 452,971
------------
998,632
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS -- 2.1%
16,800 Altera Corp.(a)(c)............. $ 275,520
19,450 Analog Devices, Inc.(c)........ 677,249
74,850 Applied Materials, Inc.(c)..... 1,187,121
706,975 Intel Corp. ................... 14,693,768
16,150 Linear Technology Corp. ....... 520,192
10,300 LSI Logic Corp.(c)............. 72,924
15,900 Maxim Integrated Products,
Inc. ........................ 543,621
7,100 Novellus Systems, Inc.(c)...... 260,009
4,500 QLogic Corp.(c)................ 217,485
17,900 Xilinx, Inc.(c)................ 453,049
------------
18,900,938
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 2.6%
14,000 ALLTEL Corp. .................. 675,080
5,000 Andrew Corp.(c)................ 46,000
30,330 AT&T Corp. .................... 583,853
123,700 AT&T Wireless Services,
Inc.(c)...................... 1,015,577
36,100 Avaya, Inc.(c)................. 233,206
112,250 BellSouth Corp. ............... 2,989,217
7,350 CenturyTel, Inc. .............. 256,148
33,800 CIENA Corp.(c)................. 175,422
14,700 Citizens Communications
Company(a)(c)................ 189,483
24,050 Comverse Technology,
Inc.(a)(c)................... 361,472
53,500 Corning, Inc.(c)............... 395,365
62,600 JDS Uniphase Corp.(c).......... 219,726
42,750 Motorola, Inc. ................ 403,133
107,950 Nextel Communications, Inc. --
Class A(a)(c)................ 1,951,736
36,900 QUALCOMM, Inc. ................ 1,319,175
179,100 SBC Communications, Inc. ...... 4,576,004
10,650 Scientific-Atlanta, Inc.(a).... 253,896
62,000 Sprint Corp.(FON Group)........ 892,800
12,000 Symbol Technologies, Inc. ..... 156,120
20,950 Tellabs, Inc.(c)............... 137,642
172,600 Verizon Communications,
Inc. ........................ 6,809,069
------------
23,640,124
------------
TOOLS -- 0.0%
6,300 Black & Decker Corp. .......... 273,735
1,800 Snap-on, Inc. ................. 52,254
3,650 Stanley Works.................. 100,740
------------
426,729
------------
</Table>
See notes to financial statements.
99
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
TOYS -- 0.1%
11,300 Hasbro, Inc. .................. $ 197,637
52,550 Mattel, Inc. .................. 994,246
------------
1,191,883
------------
TRANSPORTATION -- 0.7%
3,400 Ryder System, Inc. ............ 87,108
91,850 United Parcel Service, Inc. --
Class B...................... 5,850,845
------------
5,937,953
------------
TRANSPORTATION: FREIGHT -- 0.1%
18,400 Burlington Northern Santa Fe
Corp. ....................... 523,296
19,350 Norfolk Southern Corp. ........ 371,520
4,650 Union Pacific Corp. ........... 269,793
------------
1,164,609
------------
UTILITIES: ELECTRIC -- 1.9%
25,650 Aes Corp.(c)................... 162,878
8,250 Ameren Corp. .................. 363,825
17,350 American Electric Power
Company, Inc. ............... 517,551
20,800 American Power Conversion
Corp.(c)..................... 324,272
14,900 CenterPoint Energy, Inc.(a).... 121,435
13,100 Cinergy Corp. ................. 481,949
31,450 Consolidated Edison, Inc. ..... 1,361,156
8,300 Constellation Energy Group,
Inc. ........................ 284,690
42,100 Dominion Resources, Inc. ...... 2,705,766
8,950 DTE Energy Company............. 345,828
32,900 Duke Energy Corp. ............. 656,355
15,850 Edison International(c)........ 260,416
10,250 Entergy Corp. ................. 540,995
25,350 Exelon Corp. .................. 1,516,183
15,750 FirstEnergy Corp. ............. 605,588
14,700 FPL Group, Inc. ............... 982,695
19,550 PG&E Corp.(c).................. 413,483
12,100 PPL Corp. ..................... 520,300
11,050 Progress Energy, Inc.(a)....... 485,095
10,400 Public Service Enterprise
Group, Inc. ................. 439,400
120,900 Southern Company............... 3,767,243
14,600 TXU Corp. ..................... 327,770
17,200 Xcel Energy, Inc. ............. 258,688
------------
17,443,561
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
UTILITIES: GAS -- 0.1%
7,100 KeySpan Corp. ................. $ 251,695
3,650 NICOR, Inc. ................... 135,452
10,100 NiSource, Inc. ................ 191,900
1,700 Peoples Energy Corp. .......... 72,913
9,600 Sempra Energy.................. 273,888
------------
925,848
------------
TOTAL COMMON STOCKS
(Cost $848,222,012).......... 879,883,192
------------
REGULATED INVESTMENT COMPANIES -- 1.1%
5,713,266 BlackRock Tempcash Fund(b)..... 5,713,266
2,448,543 Dreyfus Cash Management Plus
Fund(b)...................... 2,448,543
826,964 Merrill Lynch Premier
Institutional Fund(b)........ 826,964
1,077,359 Merrimac Cash Fund -- Premium
Class(b)..................... 1,077,359
------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $10,066,132)........... 10,066,132
------------
<Caption>
PRINCIPAL
---------
SHORT TERM US TREASURY SECURITY -- 0.0%
$ 342,000 US Treasury Bill,
1.12%, 07/10/03 (Cost
$341,904).................... 341,904
------------
SHORT TERM CORPORATE NOTES -- 0.9%
326,472 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/14/03(+)(b)........ 326,472
816,181 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)........ 816,181
1,305,890 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)........ 1,305,890
522,356 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)........ 522,356
163,236 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)........ 163,236
652,945 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)........ 652,945
4,080,905 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)........ 4,080,905
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $7,867,985)............ 7,867,985
------------
</Table>
See notes to financial statements.
100
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
TIME DEPOSITS -- 0.6%
$ 816,181 American Express Centurion
Bank,
1.26%, 07/07/03(b)........... $ 816,181
652,945 Bank of Montreal,
1.08%, 07/02/03(b)........... 652,945
134,743 Bank of Montreal,
1.15%, 07/09/03(b)........... 134,743
1,632,362 Bank of Novia Scotia,
1.03%, 07/08/03(b)........... 1,632,362
979,417 Credit Agricole Indosuez,
0.94%, 07/01/03(b)........... 979,417
522,356 Credit Agricole Indosuez,
1.05%, 08/26/03(b)........... 522,356
326,472 Den Danske Bank,
1.04%, 07/24/03(b)........... 326,472
326,472 Royal Bank of Scotland,
1.05%, 07/28/03(b)........... 326,472
------------
TOTAL TIME DEPOSITS
(Cost $5,390,948)............ 5,390,948
------------
COMMERCIAL PAPER -- 0.0%
326,472 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b) (Cost
$326,472).................... 326,472
------------
TOTAL SECURITIES (Cost
$872,215,453)................ 903,876,633
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 2.6%
$22,671,806 With Investors Bank and Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $22,672,278
(Collateralized by Fannie
Mae, 2.84%, due 03/25/22,
with a value of $806,339 and
Freddie Mac, 5.00%, due
04/15/30, with a value of
$22,999,057)................. $ 22,671,806
326,472 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03
repurchase proceeds at
maturity $326,485
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$8,111, Verizon Global
Funding Corp., 6.875%, due
06/15/12, with a value of
$944, Prudential Funding LLC,
6.60%, due 05/15/08, with a
value of $556,779, Jersey
Central Power & Lighting
Company, 4.80%, due 06/15/18,
with a value of $31,312,
Corporation Andina de
Fomento, 7.375%, due
01/18/11, with a value of
$780,006, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$1,623,360 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$293,166)(b)................. 326,472
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $22,998,278)........... 22,998,278
------------
Total Investments -- 103.2%
(Cost $895,213,731).......... 926,874,911
Liabilities less other
assets -- (3.2)%............. (28,988,853)
------------
NET ASSETS -- 100.0%........... $897,886,058
============
</Table>
See notes to financial statements.
101
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $895,213,731.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $ 58,240,946
Gross unrealized depreciation.......... (26,579,766)
------------
Net unrealized appreciation............ $ 31,661,180
============
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
102
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 96.4%
AEROSPACE AND DEFENSE -- 1.4%
54,800 Boeing Company............... $ 1,880,736
151,500 Lockheed Martin Corp. ....... 7,206,855
180,000 United Technologies Corp. ... 12,749,400
--------------
21,836,991
--------------
AIRLINES -- 0.4%
350,600 Southwest Airlines Company... 6,030,320
--------------
APPAREL: MANUFACTURING -- 0.3%
98,500 Nike, Inc. -- Class B........ 5,268,765
--------------
AUTOMOBILE -- 0.8%
326,714 Bayerische Motoren Werke
AG......................... 12,582,279
--------------
BANKS -- 0.3%
103,700 Washington Mutual, Inc. ..... 4,282,810
--------------
BROADCAST SERVICES/MEDIA -- 3.1%
136,060 Clear Channel Communications,
Inc.(c).................... 5,767,583
135,500 Fox Entertainment Group,
Inc. -- Class A(c)......... 3,899,690
70,900 Tribune Company.............. 3,424,470
605,974 Viacom, Inc. -- Class B(c)... 26,456,825
403,943 Walt Disney Company.......... 7,977,874
--------------
47,526,442
--------------
BUSINESS SERVICES -- 0.6%
90,600 First Data Corp. ............ 3,754,464
186,300 Paychex, Inc. ............... 5,460,453
--------------
9,214,917
--------------
COMMERCIAL SERVICES -- 0.3%
279,500 Accenture, Ltd. -- Class
A(c)....................... 5,056,155
--------------
COMPUTER SOFTWARE AND SERVICES -- 7.9%
120,500 Automatic Data Processing,
Inc.(a).................... 4,080,130
291,908 Electronic Arts, Inc.(c)..... 21,598,273
2,667,270 Microsoft Corp. ............. 68,308,785
1,248,200 Oracle Corp.(c).............. 15,003,364
67,000 SAP AG (ADR)................. 1,957,740
203,100 Siebel Systems, Inc.(c)...... 1,937,574
336,500 VERITAS Software Corp.(c).... 9,647,455
--------------
122,533,321
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.1%
1,317,508 Dell Computer Corp.(c)....... 42,107,556
759,000 EMC Corp.(c)................. 7,946,730
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT (CONTINUED)
124,100 International Business
Machines Corp. ............ $ 10,238,250
212,600 Network Appliance, Inc.(c)... 3,446,246
--------------
63,738,782
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.3%
52,552 Lennar Corp. -- Class A(a)... 3,757,468
4,153 Lennar Corp. -- Class B...... 285,311
--------------
4,042,779
--------------
CONSUMER GOODS AND SERVICES -- 10.1%
71,600 Clorox Company............... 3,053,740
402,300 Colgate-Palmolive
Company(a)................. 23,313,285
76,300 Estee Lauder Companies,
Inc. -- Class A............ 2,558,339
206,975 FedEx Corp. ................. 12,838,659
2,737,601 General Electric Company..... 78,514,397
102,500 Gillette Company............. 3,265,650
68,900 Kimberly-Clark Corp. ........ 3,592,446
335,200 Procter & Gamble Company..... 29,893,136
--------------
157,029,652
--------------
ELECTRONICS -- 0.2%
296,600 General Motors Corp. -- Class
H(c)....................... 3,799,446
--------------
FINANCIAL SERVICES -- 8.4%
134,400 American Express Company..... 5,619,264
666,167 Citigroup, Inc. ............. 28,511,948
591,522 Fannie Mae(a)................ 39,892,243
213,500 Franklin Resources, Inc. .... 8,341,445
80,413 Goldman Sachs Group, Inc. ... 6,734,589
150,600 Lehman Brothers Holdings,
Inc. ...................... 10,011,888
72,500 Merrill Lynch & Company,
Inc. ...................... 3,384,300
106,700 Prudential Financial,
Inc. ...................... 3,590,455
610,605 SLM Corp. ................... 23,917,398
--------------
130,003,530
--------------
FOOD AND BEVERAGE -- 5.3%
542,549 Anheuser-Busch Companies,
Inc. ...................... 27,697,126
353,000 Coca-Cola Company............ 16,382,730
176,500 Coca-Cola Enterprises,
Inc. ...................... 3,203,475
640,386 PepsiCo, Inc. ............... 28,497,177
204,100 Sysco Corp. ................. 6,131,164
--------------
81,911,672
--------------
</Table>
See notes to financial statements.
103
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 1.3%
81,000 AFLAC, Inc. ................. $ 2,490,750
139,200 American International Group,
Inc. ...................... 7,681,056
87,500 Hartford Financial Services
Group, Inc. ............... 4,406,500
98,000 Marsh & McLennan Companies,
Inc. ...................... 5,004,860
8,350 SAFECO Corp. ................ 294,588
--------------
19,877,754
--------------
INTERNET SERVICES -- 4.6%
83,300 Amazon.com, Inc.(a)(c)....... 3,039,617
2,738,589 Cisco Systems, Inc.(c)....... 45,433,191
183,255 eBay, Inc.(c)................ 19,091,506
98,600 InterActive Corp.(a)(c)...... 3,901,602
--------------
71,465,916
--------------
LEISURE AND RECREATION -- 0.4%
142,558 Four Seasons Hotels,
Inc.(a).................... 6,167,059
--------------
MANUFACTURING -- 0.8%
84,200 3M Company................... 10,860,116
31,500 Danaher Corp.(a)............. 2,143,575
--------------
13,003,691
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 3.8%
70,900 Anthem, Inc.(c).............. 5,469,935
97,200 Caremark Rx, Inc.(c)......... 2,496,096
202,597 Quest Diagnostics,
Inc.(a)(c)................. 12,925,689
602,685 UnitedHealth Group, Inc. .... 30,284,921
95,000 WellPoint Health Networks,
Inc.(c).................... 8,008,500
--------------
59,185,141
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 5.3%
76,650 Boston Scientific
Corp.(a)(c)................ 4,683,315
44,600 Genzyme Corp.(a)(c).......... 1,864,280
48,900 Guidant Corp. ............... 2,170,671
721,855 Johnson & Johnson............ 37,319,904
433,954 Medtronic, Inc. ............. 20,816,773
44,950 St. Jude Medical, Inc.(c).... 2,584,625
71,000 Stryker Corp.(a)............. 4,925,270
171,614 Zimmer Holdings, Inc.(c)..... 7,731,211
--------------
82,096,049
--------------
METALS AND MINING -- 0.1%
40,900 Nucor Corp. ................. 1,997,965
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MOTOR VEHICLES -- 0.2%
93,500 Harley-Davidson, Inc. ....... $ 3,726,910
--------------
OIL, COAL AND GAS -- 1.8%
310,500 Baker Hughes, Inc. .......... 10,423,485
152,600 BJ Services Company(c)....... 5,701,136
84,300 BP PLC (ADR)................. 3,542,286
101,500 EOG Resources, Inc. ......... 4,246,760
101,500 Noble Corp.(c)............... 3,481,450
--------------
27,395,117
--------------
PHARMACEUTICALS -- 13.2%
234,500 Abbott Laboratories.......... 10,261,720
52,000 AmerisourceBergen Corp.(a)... 3,606,200
76,700 Bristol-Myers Squibb
Company.................... 2,082,405
246,500 Cardinal Health, Inc. ....... 15,849,950
155,154 Eli Lilly and Company........ 10,700,971
323,000 Merck & Company, Inc. ....... 19,557,650
84,750 Mylan Laboratories, Inc. .... 2,946,758
2,548,777 Pfizer, Inc. ................ 87,040,734
344,200 Teva Pharmaceutical
Industries, Ltd.
(ADR)(a)................... 19,595,306
62,100 Watson Pharmaceuticals,
Inc.(a)(c)................. 2,506,977
687,400 Wyeth........................ 31,311,070
--------------
205,459,741
--------------
RESEARCH AND DEVELOPMENT -- 5.6%
713,875 Amgen, Inc.(c)............... 47,815,347
53,100 Biogen, Inc.(c).............. 2,017,800
442,399 Genentech, Inc.(c)........... 31,905,816
74,200 Gilead Sciences, Inc.(c)..... 4,124,036
28,674 IDEC Pharmaceuticals
Corp.(a)(c)................ 974,916
--------------
86,837,915
--------------
RETAIL -- 8.2%
109,600 Best Buy Company, Inc.(c).... 4,813,632
107,000 Costco Wholesale Corp.(c).... 3,916,200
437,700 Home Depot, Inc. ............ 14,496,624
61,000 Kohl's Corp.(c).............. 3,134,180
413,416 Lowe's Companies, Inc. ...... 17,756,217
78,600 Target Corp.(a).............. 2,974,224
486,853 Tiffany & Company............ 15,910,356
</Table>
See notes to financial statements.
104
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
945,478 Wal-Mart Stores, Inc.(a)..... $ 50,743,805
489,000 Walgreen Company............. 14,718,900
--------------
128,464,138
--------------
RETAIL: RESTAURANTS -- 0.5%
329,500 Starbucks Corp.(c)........... 8,079,340
--------------
SEMICONDUCTORS -- 4.8%
138,800 Analog Devices, Inc.(c)...... 4,833,016
208,200 Applied Materials, Inc.(c)... 3,302,052
2,510,842 Intel Corp. ................. 52,185,340
43,100 KLA-Tencor Corp.(a)(c)....... 2,003,719
202,500 Maxim Integrated Products,
Inc. ...................... 6,923,475
76,700 QLogic Corp.(a)(c)........... 3,706,911
78,900 Xilinx, Inc.(c).............. 1,996,959
--------------
74,951,472
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.6%
121,300 Nextel Communications,
Inc. -- Class A(a)(c)...... 2,193,104
585,839 Nokia Oyj (ADR).............. 9,625,335
151,500 QUALCOMM, Inc. .............. 5,416,125
423,500 Vodafone Group PLC (ADR)(a).. 8,321,775
--------------
25,556,339
--------------
TOYS -- 0.2%
190,000 Mattel, Inc. ................ 3,594,800
--------------
TRANSPORTATION -- 0.5%
128,500 United Parcel Service,
Inc. -- Class B............ 8,185,450
--------------
TOTAL COMMON STOCKS
(Cost $1,513,449,025)........ 1,500,902,658
--------------
REGULATED INVESTMENT COMPANIES -- 2.0%
17,881,410 BlackRock Tempcash Fund(b)... 17,881,410
7,663,461 Dreyfus Cash Management Plus
Fund(b).................... 7,663,461
2,588,236 Merrill Lynch Premier
Institutional Fund(b)...... 2,588,236
3,371,923 Merrimac Cash Fund --
Premium Class(b)........... 3,371,923
--------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $31,505,030)........... 31,505,030
--------------
<Caption>
PRINCIPAL VALUE
--------- --------------
SHORT TERM CORPORATE NOTES -- 1.6%
$ 1,021,795 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)...... $ 1,021,795
2,554,487 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)...... 2,554,487
4,087,179 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)...... 4,087,179
1,634,872 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)...... 1,634,872
510,897 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)...... 510,897
2,043,590 Morgan Stanley, Floating
Rate,
1.43%, 09/26/03(+)(b)...... 2,043,590
12,772,436 Morgan Stanley, Floating
Rate,
1.43%, 12/16/03(+)(b)...... 12,772,436
--------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $24,625,256)........... 24,625,256
--------------
TIME DEPOSITS -- 1.1%
2,554,487 American Express Centurion
Bank,
1.26%, 07/07/03(b)......... 2,554,487
2,043,590 Bank of Montreal,
1.08%, 07/02/03(b)......... 2,043,590
421,720 Bank of Montreal,
1.15%, 07/09/03(b)......... 421,720
5,108,974 Bank of Novia Scotia,
1.03%, 08/17/03(b)......... 5,108,974
3,065,384 Credit Agricole Indosuez,
0.94%, 07/01/03(b)......... 3,065,384
1,634,872 Credit Agricole Indosuez,
1.05%, 08/26/03(b)......... 1,634,872
1,021,795 Den Danske Bank,
1.04%, 07/24/03(b)......... 1,021,795
1,021,795 Royal Bank of Scotland,
1.05%, 07/28/03(b)......... 1,021,795
--------------
TOTAL TIME DEPOSITS
(Cost $16,872,617)........... 16,872,617
--------------
COMMERCIAL PAPER -- 0.1%
1,021,795 Morgan Stanley, Floating
Rate, 1.46%, 01/29/04(+)(b)
(Cost $1,021,795).......... 1,021,795
--------------
TOTAL SECURITIES
(Cost $1,587,473,723)........ 1,574,927,356
--------------
</Table>
See notes to financial statements.
105
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 3.5%
$10,263,518 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$10,263,731 (Collat-
eralized by Government Na-
tional Mortgage
Association, 1.58%, due
03/16/32, with a value of
$10,776,693)............... $ 10,263,518
15,337,546 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$15,337,866 (Collat-
eralized by Fannie Mae,
5.358%, due 01/01/32, with
a value of $16,104,424).... 15,337,546
28,544,672 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$28,545,266 (Collat-
eralized by Freddie Mac,
2.76%, due 12/15/08, with a
value of $6,388,418 and
Fannie Mae, 4.128%, due
02/01/33, with a value
$23,583,487)............... 28,544,672
1,021,795 With Morgan Stanley, dated
06/30/03, 1.48%, due
07/01/03, repurchase
proceeds at maturity
$1,021,837 (Collateralized
by Vodafone Group PLC,
7.75%, due 02/15/10, with a
value of $2,531, Verizon
Global Funding Corp.,
6.875%, due 06/15/12, with
a value of $294, Prudential
Funding LLC, 6.60%, due
05/15/08, with a value of
$173,717, Jersey Central
Power & Lighting Company,
4.80%, due 06/15/18, with a
value of $9,769,
Corporation Andina de
Fomento, 7.375%, due
01/18/11, with a value of
$243,365, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$506,495 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$91,469)(b)................ 1,021,795
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $55,167,531)........... 55,167,531
--------------
Total Investments -- 104.7%
(Cost $1,642,641,254)........ 1,630,094,887
Liabilities less other
assets -- (4.7)%........... (72,738,700)
--------------
NET ASSETS -- 100.0%......... $1,557,356,187
==============
</Table>
<Table>
<Caption>
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $1,642,641,254.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........ $ 104,520,942
Gross unrealized depreciation........ (117,067,309)
-------------
Net unrealized depreciation.......... $ (12,546,367)
=============
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipt.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
106
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 95.5%
APPAREL: MANUFACTURING -- 1.6%
146,700 The Warnaco Group, Inc.(c)...... $ 1,973,115
------------
AUTOMOTIVE EQUIPMENT -- 3.8%
36,500 Advanced Auto Parts, Inc.(c).... 2,222,850
72,100 Genuine Parts Company........... 2,307,921
------------
4,530,771
------------
BANKS -- 6.4%
70,056 Charter One Financial, Inc. .... 2,184,346
21,700 M&T Bank Corp.(a)............... 1,827,574
65,100 North Fork Bancorp, Inc. ....... 2,217,306
34,700 State Street Corp.(a)........... 1,367,180
------------
7,596,406
------------
BROADCAST SERVICES/MEDIA -- 1.9%
62,040 Cablevision Systems New York
Group -- Class A(a)(c)........ 1,287,950
30,200 Cox Communications, Inc. --
Class A(c).................... 963,380
------------
2,251,330
------------
BUSINESS SERVICES AND SUPPLIES -- 3.8%
5,300 Certegy, Inc.(c)................ 147,075
55,300 Manpower, Inc. ................. 2,051,077
160,600 Moore Wallace, Inc.(c).......... 2,357,608
------------
4,555,760
------------
CHEMICALS -- 1.9%
28,200 Air Products and Chemicals,
Inc. ......................... 1,173,120
21,300 PPG Industries, Inc. ........... 1,080,762
------------
2,253,882
------------
COMMERCIAL SERVICES -- 7.5%
139,400 Accenture, Ltd. -- Class A(c)... 2,521,746
121,200 ARAMARK Corp. -- Class B(c)..... 2,717,304
115,700 Cendant Corp.(c)................ 2,119,624
74,500 Viad Corp. ..................... 1,668,055
------------
9,026,729
------------
COMPUTER SOFTWARE AND SERVICES -- 0.3%
79,400 SkillSoft PLC (ADR)(c).......... 400,970
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.5%
200,300 IKON Office Solutions, Inc. .... 1,782,670
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.7%
27,100 American Standard Companies,
Inc.(c)....................... 2,003,503
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES -- 6.7%
41,500 Avon Products, Inc. ............ $ 2,581,300
61,300 Clorox Company.................. 2,614,445
52,800 Fortune Brands, Inc. ........... 2,756,160
------------
7,951,905
------------
DISTRIBUTION -- 1.7%
44,000 W.W. Grainger, Inc. ............ 2,057,440
------------
FOOD AND BEVERAGE -- 1.5%
76,000 Hormel Foods Corp. ............. 1,801,200
------------
INSURANCE -- 9.8%
19,900 Chubb Corp.(a).................. 1,194,000
68,700 Everest Re Group, Ltd.(a)....... 5,255,551
32,900 MBIA, Inc. ..................... 1,603,875
120,200 Willis Group Holdings, Ltd. .... 3,696,150
------------
11,749,576
------------
LEISURE AND RECREATION -- 1.5%
51,900 MGM MIRAGE(c)................... 1,773,942
------------
MANUFACTURING -- 1.1%
19,400 ITT Industries, Inc. ........... 1,269,924
------------
MEDICAL AND OTHER HEALTH SERVICES -- 4.0%
62,600 Omnicare, Inc. ................. 2,115,254
62,100 Oxford Health Plans, Inc.(c).... 2,610,063
------------
4,725,317
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 4.1%
60,500 Amersham PLC (ADR)(a)........... 2,323,200
17,400 Becton, Dickinson and Company... 675,990
26,500 C. R. Bard, Inc. ............... 1,889,715
------------
4,888,905
------------
METALS AND MINING -- 2.7%
197,100 United States Steel Corp. ...... 3,226,527
------------
OIL AND GAS: PIPELINES -- 1.0%
31,842 Kinder Morgan Management,
LLC(c)........................ 1,192,801
------------
OIL, COAL AND GAS -- 5.4%
42,500 EnCana Corp. ................... 1,630,725
27,900 EOG Resources, Inc. ............ 1,167,336
105,100 Halliburton Company............. 2,417,300
28,900 Weatherford International,
Ltd.(c)....................... 1,210,910
------------
6,426,271
------------
</Table>
See notes to financial statements.
107
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
PAPER AND FOREST PRODUCTS -- 1.0%
47,200 MeadWestvaco Corp. ............. $ 1,165,840
------------
PRINTING AND PUBLISHING -- 1.7%
77,000 John Wiley & Sons, Inc. -- Class
A............................. 2,017,400
------------
REAL ESTATE INVESTMENT TRUST -- 3.5%
115,500 Istar Financial, Inc. .......... 4,215,750
------------
RETAIL -- 3.0%
60,200 Dollar Tree Stores,
Inc.(a)(c).................... 1,910,146
99,500 J.C. Penney Company, Inc.(a).... 1,676,575
------------
3,586,721
------------
RETAIL: RESTAURANTS -- 3.8%
93,600 Darden Restaurants, Inc. ....... 1,776,528
92,800 YUM! Brands, Inc.(c)............ 2,743,168
------------
4,519,696
------------
SEMICONDUCTORS -- 1.5%
776,100 Agere Systems, Inc. -- Class
B(c).......................... 1,785,030
------------
TOOLS -- 1.5%
64,400 Stanley Works................... 1,777,440
------------
TRANSPORTATION: FREIGHT -- 3.6%
148,300 CP Ships, Ltd.(a)............... 2,481,059
31,300 Union Pacific Corp. ............ 1,816,026
------------
4,297,085
------------
UTILITIES: ELECTRIC -- 6.0%
156,600 PG&E Corp.(c)................... 3,312,090
62,200 PPL Corp. ...................... 2,674,600
185,300 Reliant Resources, Inc.(c)...... 1,135,889
------------
7,122,579
------------
TOTAL COMMON STOCKS
(Cost $104,248,196)............. 113,926,485
------------
REGULATED INVESTMENT COMPANIES -- 3.0%
2,029,063 BlackRock Tempcash Fund(b)...... 2,029,063
869,599 Dreyfus Cash Management Plus
Fund(b)....................... 869,599
293,696 Merrill Lynch Premier
Institutional Fund(b)......... 293,696
382,623 Merrimac Cash Fund -- Premium
Class(b)...................... 382,623
------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $3,574,981)............... 3,574,981
------------
<Caption>
PRINCIPAL VALUE
- --------- ------------
SHORT TERM CORPORATE NOTES -- 2.3%
$ 115,947 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)......... $ 115,947
289,866 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)......... 289,866
463,786 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)......... 463,786
185,514 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)......... 185,514
57,973 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)......... 57,973
231,893 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)......... 231,893
1,449,331 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)......... 1,449,331
------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $2,794,310)............... 2,794,310
------------
TIME DEPOSITS -- 1.6%
289,866 American Express Centurion Bank,
1.26%, 07/07/03(b)............ 289,866
231,893 Bank of Montreal,
1.08%, 07/02/03(b)............ 231,893
47,854 Bank of Montreal,
1.15%, 07/09/03(b)............ 47,854
579,732 Bank of Novia Scotia,
1.03%, 07/08/03(b)............ 579,732
347,839 Credit Agricole Indosuez,
0.94%, 07/01/03(b)............ 347,839
185,514 Credit Agricole Indosuez,
1.05%, 08/26/03(b)............ 185,514
115,947 Den Danske Bank,
1.04%, 07/24/03(b)............ 115,947
115,947 Royal Bank of Scotland,
1.05%, 07/28/03(b)............ 115,947
------------
TOTAL TIME DEPOSITS............. 1,914,592
------------
(Cost $1,914,592)
COMMERCIAL PAPER -- 0.1%
115,946 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b) (Cost
$115,946)..................... 115,946
------------
TOTAL SECURITIES
(Cost $112,648,025)........... 122,326,314
------------
</Table>
See notes to financial statements.
108
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
REPURCHASE AGREEMENTS -- 4.9%
$5,767,641 With Investors Bank & Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $5,767,762
(Collateralized by Freddie
Mac, 1.68%, due 07/15/31, with
a value of $6,056,405)........ $ 5,767,641
115,947 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03,
repurchase proceeds at
maturity $115,952
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$285, Verizon Global Funding
Corp., 6.875%, due 06/15/12,
with a value of $33,
Prudential Funding LLC, 6.60%,
due 05/15/08, with a value of
$19,536, Jersey Central Power
& Lighting Company, 4.80%, due
06/15/18, with a value of
$1,099, Corporation Andina de
Fomento, 7.375%, due 01/18/11,
with a value of $27,369, Abbey
National Capital Trust,
8.963%, due 06/30/30, with a
value of $56,960 and Vodafone
Group PLC, 7.875%, due
02/15/30, with a value of
$10,286)(b)................... 115,947
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $5,883,588)............. 5,883,588
------------
Total Investments -- 107.4%
(Cost $118,531,613)........... 128,209,902
Liabilities less other
assets -- (7.4)%.............. (8,871,975)
------------
NET ASSETS -- 100.0%............ $119,337,927
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $118,531,613.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $10,128,137
Gross unrealized depreciation.......... (449,848)
-----------
Net unrealized appreciation............ $ 9,678,289
===========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipt.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
109
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 97.3%
ADVERTISING -- 1.3%
40,000 Lamar Advertising Company(c).... $ 1,408,400
------------
AEROSPACE AND DEFENSE -- 1.5%
31,200 Alliant Techsystems,
Inc.(a)(c).................... 1,619,592
------------
AGRICULTURAL EQUIPMENT -- 0.6%
40,000 AGCO Corp.(c)................... 683,200
------------
APPAREL: MANUFACTURING -- 1.5%
30,000 Nike, Inc. -- Class B(a)........ 1,604,700
------------
BANKS -- 2.8%
65,000 Charter One Financial, Inc. .... 2,026,700
27,000 TCF Financial Corp. ............ 1,075,680
------------
3,102,380
------------
BROADCAST SERVICES/MEDIA -- 3.9%
60,000 Cox Radio, Inc. -- Class A(c)... 1,386,600
15,000 E.W. Scripps Company -- Class
A............................. 1,330,800
30,000 Entercom Communications
Corp.(c)...................... 1,470,300
------------
4,187,700
------------
BUSINESS SERVICES -- 2.8%
110,000 BISYS Group, Inc.(c)............ 2,020,700
30,000 Fiserv, Inc.(c)................. 1,068,300
------------
3,089,000
------------
CHEMICALS -- 0.9%
22,500 Air Products and Chemicals,
Inc. ......................... 936,000
------------
COMMERCIAL SERVICES -- 2.9%
64,000 ARAMARK Corp. -- Class B(c)..... 1,434,880
50,000 Choicepoint, Inc.(c)............ 1,726,000
------------
3,160,880
------------
COMPUTER SOFTWARE AND SERVICES -- 11.0%
32,500 Affiliated Computer Services,
Inc. -- Class A(a)(c)......... 1,486,225
90,000 Amdocs, Ltd.(c)................. 2,160,000
67,000 BEA Systems, Inc.(a)(c)......... 727,620
41,000 Computer Sciences Corp.(a)(c)... 1,562,920
10,900 Electronic Arts, Inc.(c)........ 806,491
30,000 Mercury Interactive
Corp.(a)(c)................... 1,158,300
75,000 Perot Systems Corp. -- Class
A(c).......................... 852,000
85,000 SunGard Data Systems, Inc.(c)... 2,202,350
55,000 THQ, Inc.(a)(c)................. 990,000
------------
11,945,906
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
DISTRIBUTION -- 0.9%
30,500 Fastenal Company................ $ 1,035,170
------------
EDUCATION -- 1.1%
17,000 Career Education Corp.(c)....... 1,163,140
------------
ELECTRONICS -- 2.5%
46,000 Jabil Circuit, Inc.(c).......... 1,016,600
40,000 L-3 Communications Holdings,
Inc.(c)....................... 1,739,600
------------
2,756,200
------------
FOOD AND BEVERAGE -- 5.9%
75,000 Coca-Cola Enterprises, Inc. .... 1,361,250
50,000 Dean Foods Company(c)........... 1,575,000
23,000 Hershey Foods Corp. ............ 1,602,180
50,000 Performance Food Group
Company(a)(c)................. 1,850,000
------------
6,388,430
------------
INSURANCE -- 4.1%
25,000 Aetna, Inc. .................... 1,505,000
17,000 Hartford Financial Services
Group, Inc. .................. 856,120
70,000 Willis Group Holdings, Ltd. .... 2,152,500
------------
4,513,620
------------
INTERNET SERVICES -- 1.4%
35,000 Symantec Corp.(c)............... 1,535,100
------------
LEISURE AND RECREATION -- 2.7%
100,000 Hilton Hotels Corp. ............ 1,279,000
57,000 Starwood Hotels & Resorts....... 1,629,630
------------
2,908,630
------------
MANUFACTURING -- 3.7%
27,500 Danaher Corp.(a)................ 1,871,375
50,000 SPX Corp.(c).................... 2,203,000
------------
4,074,375
------------
MEDICAL AND OTHER HEALTH SERVICES -- 8.4%
65,000 AdvancePCS(a)(c)................ 2,484,950
30,000 Anthem, Inc.(c)................. 2,314,500
45,000 Caremark Rx, Inc.(c)............ 1,155,600
28,500 Universal Health Services,
Inc. -- Class B(c)............ 1,129,170
25,000 WellPoint Health Networks,
Inc.(c)....................... 2,107,500
------------
9,191,720
------------
</Table>
See notes to financial statements.
110
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MEDICAL EQUIPMENT AND SUPPLIES -- 6.0%
50,000 Biomet, Inc. ................... $ 1,433,000
15,000 Boston Scientific Corp.(c)...... 916,500
20,000 St. Jude Medical, Inc.(c)....... 1,150,000
28,000 Stryker Corp.(a)................ 1,942,360
20,000 Varian Medical Systems,
Inc.(c)....................... 1,151,400
------------
6,593,260
------------
MOTOR VEHICLES -- 0.7%
20,000 Harley-Davidson, Inc. .......... 797,200
------------
OIL, COAL AND GAS -- 9.9%
25,900 Anadarko Petroleum Corp. ....... 1,151,773
45,000 BJ Services Company(c).......... 1,681,200
42,500 Nabors Industries, Ltd.(c)...... 1,680,875
35,000 Patterson-UTI Energy, Inc.(c)... 1,134,000
27,500 Smith International, Inc.(c).... 1,010,350
52,000 Weatherford International,
Ltd.(a)(c).................... 2,178,800
95,000 XTO Energy, Inc. ............... 1,910,450
------------
10,747,448
------------
PHARMACEUTICALS -- 5.5%
35,400 AmerisourceBergen Corp.(a)...... 2,454,990
15,000 Barr Laboratories, Inc.(c)...... 982,500
35,500 Biovail Corp.(c)................ 1,670,630
15,000 Teva Pharmaceutical Industries,
Ltd.(ADR)..................... 853,950
------------
5,962,070
------------
PRINTING AND PUBLISHING -- 1.1%
39,300 Scholastic Corp.(c)............. 1,170,354
------------
RESEARCH AND DEVELOPMENT -- 2.2%
17,500 Gilead Sciences, Inc.(c)........ 972,650
20,000 IDEC Pharmaceuticals
Corp.(a)(c)................... 680,000
20,000 MedImmune, Inc.(c).............. 727,400
------------
2,380,050
------------
RETAIL -- 2.3%
65,000 Linens 'n Things, Inc.(c)....... 1,534,650
35,000 Williams-Sonoma, Inc.(c)........ 1,022,000
------------
2,556,650
------------
RETAIL: RESTAURANTS -- 1.8%
32,500 Outback Steakhouse, Inc. ....... 1,267,500
26,500 Starbucks Corp.(c).............. 649,780
------------
1,917,280
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS -- 5.3%
46,400 Cypress Semiconductor
Corp.(c)...................... $ 556,800
52,500 Emulex Corp.(c)................. 1,195,425
40,000 Marvell Technology Group,
Ltd.(c)....................... 1,374,800
65,000 Microchip Technology, Inc. ..... 1,592,500
22,000 QLogic Corp.(a)(c).............. 1,063,260
------------
5,782,785
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.1%
35,000 UTStarcom, Inc.(a)(c)........... 1,244,950
------------
TOYS -- 1.3%
77,000 Mattel, Inc. ................... 1,456,840
------------
TRANSPORTATION -- 0.2%
7,600 Expeditors International of
Washington, Inc. ............. 263,264
------------
TOTAL COMMON STOCKS
(Cost $99,610,269)............ 106,176,294
------------
REGULATED INVESTMENT COMPANIES -- 7.6%
4,703,201 BlackRock Tempcash Fund(b)...... 4,703,201
2,015,658 Dreyfus Cash Management Plus
Fund(b)....................... 2,015,658
680,763 Merrill Lynch Premier
Institutional Fund(b)......... 680,763
886,890 Merrimac Cash Fund -- Premium
Class(b)...................... 886,890
------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $8,286,512)............. 8,286,512
------------
<Caption>
PRINCIPAL
- ---------
SHORT TERM CORPORATE NOTES -- 5.9%
$ 268,754 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)......... 268,754
671,886 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)......... 671,886
1,075,017 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)......... 1,075,017
430,007 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)......... 430,007
134,377 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)......... 134,377
</Table>
See notes to financial statements.
111
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 537,509 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)......... $ 537,509
3,359,430 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)......... 3,359,430
------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $6,476,980)............. 6,476,980
------------
TIME DEPOSITS -- 4.1%
671,886 American Express Centurion Bank,
1.26%, 07/07/03(b)............ 671,886
537,509 Bank of Montreal,
1.08%, 07/02/03(b)............ 537,509
110,922 Bank of Montreal,
1.15%, 07/09/03(b)............ 110,922
1,343,772 Bank of Novia Scotia,
1.03%, 07/08/03(b)............ 1,343,772
806,263 Credit Agricole Indosuez,
0.94%, 07/01/03(b)............ 806,263
430,007 Credit Agricole Indosuez,
1.05%, 08/26/03(b)............ 430,007
268,754 Den Danske Bank,
1.04%, 07/24/03(b)............ 268,754
268,754 Royal Bank of Scotland,
1.05%, 07/28/03(b)............ 268,754
------------
TOTAL TIME DEPOSITS (Cost
$4,437,867)................... 4,437,867
------------
COMMERCIAL PAPER -- 0.2%
268,754 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b) (Cost
$268,754)..................... 268,754
------------
TOTAL SECURITIES (Cost
$119,080,382)................. 125,646,407
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
REPURCHASE AGREEMENTS -- 3.0%
$3,007,522 With Investors Bank and Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $3,007,584
(Collateralized by Government
National Mortgage Association,
5.75%, due 07/20/23, with a
value of $3,157,898).......... $ 3,007,522
268,754 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03
repurchase proceeds at
maturity $268,765
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$665, Verizon Global Funding
Corp., 6.875%, due 06/15/12,
with a value of $77,
Prudential Funding LLC, 6.60%,
due 05/15/08, with a value of
$45,632, Jersey Central Power
& Lighting Company, 4.80%, due
06/15/18, with a value of
$2,566, Corporation Andina de
Fomento, 7.375%, due 01/18/11,
with a value of $63,927, Abbey
National Capital Trust,
8.963%, due 06/30/30, with a
value of $133,045 and Vodafone
Group PLC, 7.875%, due
02/15/30, with a value of
$24,027(b).................... 268,754
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $3,276,276)............. 3,276,276
------------
Total Investments -- 118.1%
(Cost $122,356,658)........... 128,922,683
Liabilities less other
assets -- (18.1)%............. (19,749,652)
------------
NET ASSETS -- 100.0%............ $109,173,031
============
</Table>
See notes to financial statements.
112
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $122,356,658.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $ 7,788,368
Gross unrealized depreciation.......... (1,222,343)
-----------
Net unrealized appreciation............ $ 6,566,025
===========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipt.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
113
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS -- 95.6%
AGRICULTURE -- 3.8%
101,775 Delta and Pine Land Company...... $ 2,237,015
-----------
APPAREL: MANUFACTURING -- 1.8%
33,350 Kellwood Company................. 1,054,860
-----------
APPAREL: RETAIL -- 5.3%
123,725 Footstar, Inc.(a)(c)............. 1,608,425
120,625 Payless ShoeSource, Inc.(c)...... 1,507,813
-----------
3,116,238
-----------
BANKS -- 5.9%
71,400 Commercial Federal Corp. ........ 1,513,680
29,900 First Financial Bancorp.......... 478,400
23,475 Provident Financial Services,
Inc. .......................... 447,199
38,600 Silicon Valley Bancshares(c)..... 919,066
3,600 UMB Financial Corp. ............. 152,640
-----------
3,510,985
-----------
BUSINESS SERVICES AND SUPPLIES -- 6.4%
125,600 CSG Systems International,
Inc.(c)........................ 1,774,728
155,150 Dendrite International,
Inc.(c)........................ 1,998,332
-----------
3,773,060
-----------
CHEMICALS -- 3.3%
18,825 Cytec Industries, Inc.(c)........ 636,285
139,825 Millennium Chemicals, Inc. ...... 1,329,736
-----------
1,966,021
-----------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.9%
47,725 Texas Industries, Inc. .......... 1,135,855
-----------
CONSUMER GOODS AND SERVICES -- 6.8%
156,325 American Greetings Corp. -- Class
A(a)(c)........................ 3,070,222
35,925 Blyth, Inc. ..................... 977,160
-----------
4,047,382
-----------
FINANCIAL SERVICES -- 5.0%
35,450 Raymond James Financial, Inc. ... 1,171,623
68,750 Waddell & Reed Financial, Inc. --
Class A........................ 1,764,812
-----------
2,936,435
-----------
INSURANCE -- 2.7%
174,375 Phoenix Companies, Inc.(a)....... 1,574,606
-----------
</Table>
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS (CONTINUED)
INTERNET SERVICES -- 4.0%
212,625 Earthlink, Inc.(c)............... $ 1,677,611
27,750 ProQuest Company(a)(c)........... 715,950
-----------
2,393,561
-----------
LEISURE AND RECREATION -- 3.8%
25,825 Gaylord Entertainment
Company(c)..................... 505,395
65,925 Speedway Motorsports, Inc. ...... 1,766,790
-----------
2,272,185
-----------
MANUFACTURING -- 13.8%
150,550 Acuity Brands, Inc. ............. 2,735,493
27,600 Brady Corp. -- Class A........... 920,459
78,225 Crane Company.................... 1,770,231
31,275 Furniture Brands International,
Inc.(c)........................ 816,278
52,400 Paxar Corp.(c)................... 576,400
17,800 SPS Technologies, Inc.(c)........ 481,312
58,350 Tredegar Corp. .................. 874,667
-----------
8,174,840
-----------
MEDICAL AND OTHER HEALTH SERVICES -- 2.2%
61,800 LifePoint Hospitals, Inc.(c)..... 1,294,092
-----------
MEDICAL EQUIPMENT AND SUPPLIES -- 2.6%
48,925 Haemonetics Corp.(c)............. 914,898
30,300 Ocular Sciences, Inc.(a)(c)...... 601,455
-----------
1,516,353
-----------
OIL, COAL AND GAS -- 1.3%
31,000 Forest Oil Corp.(c).............. 778,720
-----------
PAPER AND FOREST PRODUCTS -- 3.9%
70,437 Rayonier, Inc. .................. 2,324,421
-----------
PRINTING AND PUBLISHING -- 5.1%
79,775 Bowne & Company, Inc. ........... 1,039,468
185,975 Hollinger International, Inc. ... 2,002,951
-----------
3,042,419
-----------
REAL ESTATE DEVELOPMENT AND SERVICES -- 0.1%
2,525 Avatar Holdings, Inc.(c)......... 76,255
-----------
RETAIL -- 1.5%
22,450 Zale Corp.(c).................... 898,000
-----------
SECURITY SERVICES -- 3.3%
134,275 The Brink's Company.............. 1,956,387
-----------
</Table>
See notes to financial statements.
114
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS -- 4.6%
206,525 Axcelis Technologies, Inc.(c).... $ 1,263,933
113,225 Fairchild Semiconductor
International, Inc.(c)......... 1,448,148
-----------
2,712,081
-----------
SPORTING GOODS AND EQUIPMENT -- 2.7%
122,225 Callaway Golf Company............ 1,615,815
-----------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.8%
47,075 Andrew Corp.(c).................. 433,090
77,625 Belden, Inc. .................... 1,233,461
58,975 CommScope, Inc.(c)............... 560,263
-----------
2,226,814
-----------
TOTAL COMMON STOCKS
(Cost $52,942,905)............. 56,634,400
-----------
REGULATED INVESTMENT COMPANIES -- 3.7%
1,234,747 BlackRockTempcash Fund(b)........ 1,234,747
529,177 Dreyfus Cash Management Plus
Fund(b)........................ 529,177
178,723 Merrill Lynch Premier
Institutional Fund(b).......... 178,723
232,838 Merrimac Cash Fund -- Premium
Class(b)....................... 232,838
-----------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $2,175,485).............. 2,175,485
-----------
<Caption>
PRINCIPAL
- ---------
SHORT TERM CORPORATE NOTES -- 2.9%
$ 70,557 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/14/03(+)(b).......... 70,557
176,392 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b).......... 176,392
282,228 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b).......... 282,228
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- -----------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 112,891 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b).......... $ 112,891
35,279 Merrill Lynch & Company, Floating
Rate,
1.62%, 11/26/03(+)(b).......... 35,279
141,114 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b).......... 141,114
881,962 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b).......... 881,962
-----------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $1,700,423).............. 1,700,423
-----------
TIME DEPOSITS -- 2.0%
176,392 American Express Centurion Bank,
1.26%, 07/07/03(b)............. 176,392
141,114 Bank of Montreal,
1.08%, 07/02/03(b)............. 141,114
29,121 Bank of Montreal,
1.15%, 07/09/03(b)............. 29,121
352,785 Bank of Novia Scotia,
1.03%, 07/08/03(b)............. 352,785
211,671 Credit Agricole Indosuez,
0.94%, 07/01/03(b)............. 211,671
112,891 Credit Agricole Indosuez,
1.05%, 08/26/03(b)............. 112,891
70,557 Den Danske Bank,
1.04%, 07/24/03(b)............. 70,557
70,557 Royal Bank of Scotland,
1.05%, 07/28/03(b)............. 70,557
-----------
TOTAL TIME DEPOSITS
(Cost $1,165,088).............. 1,165,088
-----------
COMMERCIAL PAPER -- 0.1%
70,557 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b)
(Cost $70,557)................. 70,557
-----------
TOTAL SECURITIES
(Cost $58,054,458)............. 61,745,953
-----------
</Table>
See notes to financial statements.
115
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- -----------
REPURCHASE AGREEMENTS -- 4.4%
$2,569,091 With Investors Bank and Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $2,569,145
(Collateralized by Freddie Mac
Adjustable Rate Mortgage,
3.85%, due 02/01/26, with a
value of $2,697,864)........... $ 2,569,091
70,557 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03
repurchase proceeds at maturity
$70,560 (Collateralized by
Vodafone Group PLC, 7.75%, due
02/15/10, with a value of $176,
Verizon Global Funding Corp.,
6.875%, due 06/15/12, with a
value of $21, Prudential
Funding LLC, 6.60%, due
05/15/08, with a value of
$12,125, Jersey Central Power &
Lighting Company, 4.80%, due
06/15/18, with a value of $682,
Corporation Andina de Fomento,
7.375%, due 01/18/11, with a
value of $16,986, Abbey
National Capital Trust, 8.963%,
due 06/30/30, with a value of
$35,352 and Vodafone Group PLC,
7.875%, due 02/15/30, with a
value of $6,384)(b)............ 70,557
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,639,648).............. 2,639,648
-----------
Total Investments -- 108.7%
(Cost $60,694,106)............. 64,385,601
Liabilities less other
assets -- (8.7)%............... (5,161,258)
-----------
NET ASSETS -- 100.0%............. $59,224,343
===========
</Table>
<Table>
<Caption>
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $60,694,106.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $ 5,053,697
Gross unrealized depreciation.......... (1,362,202)
-----------
Net unrealized appreciation............ $ 3,691,495
===========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
116
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 98.1%
ADVERTISING -- 0.6%
313,221 aQuantive, Inc.(c)........... $ 3,288,821
102,100 Catalina Marketing
Corp.(c)................... 1,802,065
16,600 R.H. Donnelley Corp.(c)...... 605,402
--------------
5,696,288
--------------
AEROSPACE AND DEFENSE -- 0.5%
219,900 AAR Corp.(a)................. 1,552,494
47,100 Curtiss-Wright Corp. -- Class
B.......................... 2,934,330
9,900 Ducommun, Inc.(c)............ 139,590
4,900 Moog, Inc. -- Class A(c)..... 170,275
--------------
4,796,689
--------------
AGRICULTURAL EQUIPMENT -- 0.4%
253,600 AGCO Corp.(c)................ 4,331,488
--------------
AIRLINES -- 0.6%
99,900 AirTran Holdings, Inc.(c).... 1,045,953
16,800 Alaska Air Group, Inc.(c).... 360,360
153,800 Atlantic Coast Airlines
Holdings, Inc.(c).......... 2,074,762
109,800 ExpressJet Holdings,
Inc.(c).................... 1,657,980
74,300 MesaAir Group, Inc.(c)....... 594,400
--------------
5,733,455
--------------
APPAREL: MANUFACTURING -- 0.7%
291,600 Ashworth, Inc.(c)............ 2,067,444
12,200 K-Swiss, Inc. -- Class A..... 421,144
47,600 Kellwood Company............. 1,505,588
34,400 Phillips-Van Heusen Corp. ... 468,872
78,100 Quiksilver, Inc.(c).......... 1,287,869
34,000 Russell Corp. ............... 646,000
--------------
6,396,917
--------------
APPAREL: RETAIL -- 4.4%
292,910 Aeropostale, Inc.(c)......... 6,291,707
63,300 Brown Shoe Company, Inc. .... 1,886,340
48,800 Claire's Stores, Inc. ....... 1,237,568
59,800 Footstar, Inc.(a)(c)......... 777,400
423,400 J. Jill Group, Inc.(c)....... 7,130,056
34,600 Jos. A. Bank Clothiers,
Inc.(c).................... 1,156,678
12,400 Mothers Work, Inc.(c)........ 331,948
178,000 Ross Stores, Inc. ........... 7,607,719
7,100 Shoe Carnival, Inc.(c)....... 104,796
24,400 Stage Stores, Inc.(c)........ 573,400
293,000 The Men's Wearhouse,
Inc.(c).................... 6,402,050
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
APPAREL: RETAIL (CONTINUED)
371,130 Too, Inc.(a)(c).............. $ 7,515,383
147,400 Wilsons The Leather Experts,
Inc.(c).................... 1,062,754
--------------
42,077,799
--------------
AUTOMOTIVE EQUIPMENT -- 1.3%
38,500 Dura Automotive Systems,
Inc. -- Class A(c)......... 364,210
10,100 Keystone Automotive
Industries, Inc.(c)........ 184,426
191,100 O'Reilly Automotive,
Inc.(c).................... 6,380,829
211,600 Spartan Motors, Inc. ........ 1,749,932
11,400 Standard Motor Products,
Inc. ...................... 126,540
137,900 TBC Corp.(c)................. 2,626,995
66,100 Tenneco Automotive,
Inc.(c).................... 237,960
108,400 Visteon Corp. ............... 744,708
--------------
12,415,600
--------------
BANKS -- 7.5%
3,000 ABC Bancorp.................. 42,990
16,900 AMCORE Financial, Inc. ...... 393,432
1,400 BancFirst Corp. ............. 72,604
19,500 BancorpSouth, Inc. .......... 406,575
136,300 Bank of Bermuda, Ltd. ....... 4,769,137
2,600 Bank of Granite Corp. ....... 44,330
1,500 Bank of the Ozarks, Inc. .... 58,140
153,176 Banner Corp. ................ 3,138,576
1,900 Capital Corp. of the
West(c).................... 48,184
2,000 Capitol Bancorp, Ltd. ....... 54,200
2,100 CCBT Financial Companies,
Inc. ...................... 50,169
225,880 Chittenden Corp.(a).......... 6,177,818
8,600 Citizens Banking Corp. ...... 230,222
12,800 City Holding Company......... 374,656
12,300 Columbia Banking System,
Inc. ...................... 220,293
104,700 Commercial Federal Corp. .... 2,219,640
48,900 Community First Bankshares,
Inc. ...................... 1,334,970
1,700 Community Trust Bancorp,
Inc. ...................... 44,438
9,100 Connecticut Bancshares,
Inc. ...................... 357,175
7,600 Corus Bankshares, Inc. ...... 368,068
2,900 Dime Community Bancshares.... 73,805
62,490 F.N.B. Corp. ................ 1,890,947
4,000 Financial Institutions,
Inc. ...................... 94,000
39,000 First BanCorp................ 1,070,550
</Table>
See notes to financial statements.
117
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
6,700 First Commonwealth Financial
Corp. ..................... $ 86,832
54,200 First Community Bancorp...... 1,700,796
1,900 First Essex Bancorp, Inc. ... 89,566
14,900 First Midwest Bancorp,
Inc. ...................... 429,269
3,600 First National Corp. ........ 88,776
2,400 FirstFed America Bancorp,
Inc. ...................... 82,800
23,700 FirstFed Financial
Corp.(c)................... 836,373
40,300 Flagstar Bancorp, Inc. ...... 985,335
16,200 Flushing Financial Corp. .... 359,154
3,900 Frontier Financial Corp. .... 110,799
2,600 Home Federal Bancorp......... 63,128
263,011 Hudson United Bancorp........ 8,981,826
6,400 Independent Bank Corp. ...... 164,416
31,400 IndyMac Bancorp, Inc. ....... 798,188
2,600 Interchange Financial
Services Corp. ............ 51,532
28,100 Irwin Financial Corp. ....... 727,790
4,300 ITLA Capital Corp.(c)........ 173,849
16,900 Local Financial Corp.(c)..... 244,036
1,500 MASSBANK Corp. .............. 54,255
2,700 MB Financial, Inc. .......... 108,108
6,100 Nara Bancorp, Inc. .......... 115,900
135,600 NetBank, Inc. ............... 1,784,496
11,000 OceanFirst Financial
Corp. ..................... 276,100
14,700 Oriental Financial Group,
Inc. ...................... 377,643
21,500 Pacific Capital Bancorp...... 753,575
2,600 Patriot Bank Corp. .......... 46,774
2,000 People's Bancorp, Inc. ...... 50,540
325,000 People's Bank................ 9,421,750
1,500 People's Holding Company..... 66,375
3,600 PFF Bancorp, Inc. ........... 139,140
2,600 PrivateBancorp, Inc.(a)...... 70,902
2,700 Prosperity Bancshares,
Inc. ...................... 51,975
36,800 Provident Bankshares
Corp. ..................... 935,088
30,700 Provident Financial Group,
Inc. ...................... 786,841
1,900 Provident Financial Holdings,
Inc. ...................... 55,746
27,500 R & G Financial Corp. --
Class B.................... 816,750
2,800 S&T Bancorp, Inc. ........... 76,804
1,900 Second Bancorp, Inc. ........ 49,020
5,400 Simmons First National
Corp. -- Class A........... 108,054
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
125,700 Sky Financial Group, Inc. ... $ 2,730,204
2,785 State Bancorp, Inc. ......... 54,502
3,600 State Financial Services
Corp. -- Class A........... 79,704
118,600 Staten Island Bancorp,
Inc. ...................... 2,310,328
5,600 Sterling Bancorp............. 156,184
1,500 Suffolk Bancorp.............. 48,300
29,900 Susquehanna Bancshares,
Inc. ...................... 698,165
14,600 Trustmark Corp. ............. 371,862
2,800 U.S.B. Holding Company,
Inc. ...................... 49,700
135,710 UCBH Holdings, Inc. ......... 3,892,163
800 UMB Financial Corp. ......... 33,920
1,800 Union Bankshares Corp. ...... 50,886
5,000 United Community Financial
Corp. ..................... 46,200
6,200 Washington Federal, Inc. .... 143,406
6,800 West Coast Bancorp........... 123,760
147,340 Westamerica Bancorp.......... 6,347,407
1,400 Western Sierra Bancorp(c).... 46,578
--------------
72,838,489
--------------
BROADCAST SERVICES/MEDIA -- 2.8%
388,200 Cox Radio, Inc. -- Class
A(a)(c).................... 8,971,302
708,600 Emmis Communications Corp. --
Class A(c)................. 16,262,370
20,700 Regent Communications,
Inc.(c).................... 122,130
53,400 Sinclair Broadcast Group --
Class A(c)................. 619,974
53,000 Spanish Broadcasting System,
Inc. -- Class A(c)......... 431,950
13,200 World Wrestling
Entertainment, Inc. ....... 135,828
15,800 Young Broadcasting , Inc. --
Class A(c)................. 333,854
--------------
26,877,408
--------------
BUSINESS SERVICES AND SUPPLIES -- 2.5%
55,400 Advisory Board Company(c).... 2,244,808
417,000 American Management Systems,
Inc.(c).................... 5,954,760
21,300 Angelica Corp. .............. 361,035
19,900 CDI Corp.(c)................. 516,604
10,800 Corporate Executive Board
Company(c)................. 440,856
55,300 Dendrite International,
Inc. ...................... 712,264
</Table>
See notes to financial statements.
118
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES AND SUPPLIES (CONTINUED)
30,000 Exult, Inc.(c)............... $ 257,100
56,100 Gartner, Inc. -- Class
B(c)....................... 420,750
59,500 Gevity HR, Inc. ............. 703,290
178,400 Global Payments, Inc. ....... 6,333,200
15,600 John H. Harland Company...... 408,096
69,600 Labor Ready, Inc.(c)......... 499,032
132,100 MAXIMUS, Inc.(a)(c).......... 3,649,923
19,800 MemberWorks, Inc.(a)(c)...... 391,050
12,300 New England Business Service,
Inc. ...................... 369,000
39,700 Right Management Consultants,
Inc.(c).................... 502,205
3,000 SOURCECORP, Inc.(c).......... 64,800
12,700 Spherion Corp.(c)............ 88,265
7,200 UniFirst Corp. .............. 157,680
7,300 Volt Information Sciences,
Inc.(c).................... 99,645
--------------
24,174,363
--------------
CHEMICALS -- 0.8%
34,400 Airgas, Inc. ................ 576,200
19,500 Albemarle Corp. ............. 545,415
25,900 Arch Chemicals, Inc. ........ 494,690
6,100 Cabot Microelectronics
Corp.(a)(c)................ 307,867
18,000 Cytec Industries, Inc. ...... 608,400
15,600 Ethyl Corp.(c)............... 155,220
12,200 Octel Corp. ................. 169,580
29,200 OMNOVA Solutions, Inc.(c).... 117,968
248,130 Tetra Technologies,
Inc.(c).................... 4,250,467
9,000 Tetra Technologies,
Inc.(c).................... 266,850
32,600 Wellman, Inc. ............... 365,120
--------------
7,857,777
--------------
COLLECTIBLES -- 0.1%
21,300 Department 56, Inc.(c)....... 326,529
21,600 RC2 Corp.(c)................. 367,416
--------------
693,945
--------------
COMPUTER SOFTWARE AND SERVICES -- 4.6%
35,700 Advanced Digital Information
Corp.(c)................... 356,643
90,400 Altiris, Inc.(a)(c).......... 1,812,520
89,900 ANSYS, Inc.(c)............... 2,795,890
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
288,900 Autodesk, Inc. .............. $ 4,668,624
39,200 Avid Technology, Inc.(c)..... 1,374,744
7,500 Catapult Communications
Corp.(c)................... 79,650
228,800 Checkpoint Systems,
Inc.(c).................... 3,237,520
2,900 Citrix Systems, Inc.(c)...... 59,044
169,190 Cognizant Technology
Solutions Corp.(c)......... 4,121,468
33,200 CompuCom Systems, Inc.(c).... 150,064
164,550 Concur Technologies,
Inc.(a)(c)................. 1,657,019
21,500 Datastream Systems,
Inc.(c).................... 227,685
194,300 Embarcadero Technologies,
Inc.(c).................... 1,360,100
22,800 Epicor Software Corp.(c)..... 136,572
14,700 EPIQ Systems, Inc.(a)(c)..... 252,399
36,600 Foundry Networks, Inc.(c).... 527,040
38,700 Hyperion Solutions
Corp.(c)................... 1,306,512
29,400 Inter-Tel, Inc. ............. 623,868
77,300 Keane, Inc.(c)............... 1,053,599
4,000 ManTech International
Corp. -- Class A(c)........ 76,720
10,700 MAPICS, Inc.(c).............. 87,740
50,100 McDATA Corp. -- Class A(c)... 734,967
88,700 Merge Technologies,
Inc.(a)(c)................. 1,157,535
122,300 Micromuse, Inc.(c)........... 977,177
171,900 MRO Software, Inc.(c)........ 1,483,497
14,800 MTS Systems Corp. ........... 218,152
10,400 NetScreen Technologies,
Inc.(c).................... 234,520
8,500 Omnicell, Inc.(c)............ 87,040
157,200 OPNET Technologies,
Inc.(c).................... 1,916,268
788,700 Parametric Technology
Corp.(c)................... 2,405,535
170,000 Pinnacle Systems, Inc.(c).... 1,819,000
51,600 Rainbow Technologies,
Inc.(c).................... 433,956
8,100 Renaissance Learning,
Inc.(a)(c)................. 177,390
6,700 SERENA Software, Inc.(c)..... 139,896
13,600 SRA International, Inc. --
Class A(c)................. 435,200
11,600 SS&C Technologies, Inc.(c)... 185,020
22,000 Stratasys, Inc.(c)........... 773,740
35,500 Sykes Enterprises, Inc.(c)... 173,595
50,000 Synopsys, Inc.(a)(c)......... 3,092,500
14,100 Tradestation Group,
Inc.(c).................... 144,666
</Table>
See notes to financial statements.
119
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
38,600 Transaction Systems
Architects, Inc. -- Class
A(c)....................... $ 345,856
130,500 Verisity, Ltd.(c)............ 1,558,170
--------------
44,459,101
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.2%
70,000 Black Box Corp.(a)........... 2,534,000
237,100 Cray, Inc.(c)................ 1,873,090
91,900 Dot Hill Systems
Corp.(a)(c)................ 1,203,890
31,700 Hutchinson Technology,
Inc.(c).................... 1,042,613
84,300 IKON Office Solutions,
Inc. ...................... 750,270
36,500 Komag, Inc.(c)............... 431,795
255,600 Maxtor Corp.(c).............. 1,919,556
33,300 Mercury Computer Systems,
Inc.(c).................... 604,728
10,800 Overland Storage, Inc.(c).... 219,672
18,500 Radiant Systems, Inc.(c)..... 124,690
17,600 RadiSys Corp.(c)............. 232,320
15,400 SanDisk Corp.(a)(c).......... 621,390
6,100 Western Digital Corp.(c)..... 62,830
--------------
11,620,844
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 2.2%
8,900 Centex Construction Products,
Inc. ...................... 356,801
35,500 Florida Rock Industries,
Inc. ...................... 1,465,440
6,700 Genlyte Group, Inc.(c)....... 234,299
195,100 Granite Construction,
Inc. ...................... 3,738,116
28,000 Integrated Electrical
Services, Inc.(c).......... 203,000
55,300 Lennox International,
Inc. ...................... 711,711
28,200 M/I Schottenstein Homes,
Inc. ...................... 1,203,576
34,300 Meritage Corp.(c)............ 1,689,618
1,800 Ryland Group, Inc. .......... 124,920
116,200 Simpson Manufacturing
Company, Inc.(c)........... 4,252,920
19,000 Universal Forest Products,
Inc. ...................... 397,860
65,400 USG Corp.(a)(c).............. 1,242,600
46,200 Walter Industries, Inc. ..... 542,850
207,000 WCI Communities, Inc.(c)..... 3,980,610
39,400 York International Corp. .... 921,960
--------------
21,066,281
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES -- 1.5%
22,600 Applica, Inc.(c)............. $ 192,100
4,200 Central Garden & Pet
Company(c)................. 100,170
37,000 Chattem, Inc.(c)............. 695,600
79,300 Coinstar, Inc.(c)............ 1,495,598
4,000 CSS Industries, Inc. ........ 154,200
37,100 DIMON, Inc. ................. 265,636
87,000 Jarden Corp.(c).............. 2,407,290
185,700 NBTY, Inc.(c)................ 3,910,842
8,300 Playtex Products, Inc.(c).... 53,286
58,994 Regis Corp. ................. 1,713,776
54,800 Toro Company................. 2,178,300
59,900 Yankee Candle Company,
Inc.(c).................... 1,390,878
--------------
14,557,676
--------------
CONTAINERS AND PACKAGING -- 0.1%
11,600 Chesapeake Corp. ............ 253,460
36,400 Crown Holdings, Inc.(c)...... 259,896
5,800 Greif, Inc. -- Class A....... 133,400
15,900 Silgan Holdings, Inc.(c)..... 497,352
--------------
1,144,108
--------------
CORRECTIONAL FACILITIES -- 0.0%
6,100 Wackenhut Corrections
Corp.(c)................... 83,631
--------------
DISTRIBUTION -- 1.6%
4,700 Building Materials Holding
Corp. ..................... 69,607
97,700 Handleman Company(c)......... 1,563,200
71,500 Hughes Supply, Inc. ......... 2,481,050
24,200 Nu Skin Enterprises, Inc. --
Class A.................... 252,890
163,700 United Stationers, Inc.(c)... 5,921,029
108,100 Universal Corp.(a)........... 4,572,630
26,600 Watsco, Inc. ................ 440,496
--------------
15,300,902
--------------
EDUCATION -- 2.0%
56,085 Bright Horizons Family
Solutions, Inc.(c)......... 1,882,213
513,530 ITT Educational Services,
Inc.(c).................... 15,020,752
88,500 Sylvan Learning Systems,
Inc.(c).................... 2,021,340
--------------
18,924,305
--------------
</Table>
See notes to financial statements.
120
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 1.8%
47,800 Artesyn Technologies,
Inc.(c).................... $ 268,158
232,440 Benchmark Electronics,
Inc.(a)(c)................. 7,149,854
25,000 Daktronics, Inc.(c).......... 408,750
7,200 Excel Technology, Inc.(c).... 164,376
39,800 Innovex, Inc.(c)............. 401,980
22,800 Manufacturers Services,
Ltd.(c).................... 110,580
43,100 Methode Electronics, Inc. --
Class A.................... 463,325
12,400 Planar Systems, Inc.(c)...... 242,544
15,000 Stoneridge, Inc.(c).......... 204,750
108,900 Technitrol, Inc.(c).......... 1,638,945
407,300 Thomas & Betts Corp.(c)...... 5,885,485
--------------
16,938,747
--------------
EQUIPMENT RENTAL AND LEASING -- 0.3%
101,600 Aaron Rents, Inc. ........... 2,625,344
5,600 AMERCO(a)(c)................. 39,872
17,200 DVI, Inc.(c)................. 80,324
--------------
2,745,540
--------------
FINANCIAL SERVICES -- 1.1%
105,200 American Capital Strategies,
Ltd.(a).................... 2,623,688
49,100 Bankrate, Inc.(c)............ 595,092
16,400 CompuCredit Corp.(c)......... 199,260
93,700 Financial Federal Corp.(c)... 2,286,280
97,800 Investment Technology Group,
Inc.(c).................... 1,819,080
28,500 New Century Financial
Corp. ..................... 1,244,025
102,700 Saxon Capital, Inc.(a)(c).... 1,784,926
12,700 World Acceptance Corp.(c).... 206,756
--------------
10,759,107
--------------
FOOD AND BEVERAGE -- 1.9%
2,800 Boston Beer Company, Inc. --
Class A(c)................. 40,320
46,900 Chiquita Brands
International, Inc.(c)..... 680,050
242,940 Cott Corp.(a)(c)............. 5,026,429
136,700 Interstate Bakeries Corp. ... 1,736,090
109,800 Peet's Coffee & Tea,
Inc.(c).................... 1,917,108
57,500 Ralcorp Holdings, Inc.(c).... 1,435,200
72,387 Riviana Foods, Inc. ......... 1,947,934
5,800 Sanderson Farms, Inc. ....... 162,980
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
80,700 Sensient Technologies
Corp. ..................... $ 1,855,293
142,710 United Natural Foods,
Inc.(c).................... 4,015,859
--------------
18,817,263
--------------
FUNERAL SERVICES -- 0.1%
219,900 Service Corp.
International(c)........... 851,013
77,400 Stewart Enterprises, Inc. --
Class A(c)................. 332,820
--------------
1,183,833
--------------
INSURANCE -- 3.7%
3,800 Argonaut Group, Inc. ........ 46,854
77,600 Delphi Financial Group,
Inc. -- Class A............ 3,631,680
83,300 Fremont General Corp.(a)..... 1,141,210
86,400 Infinity Property & Casualty
Corp. ..................... 2,042,496
131,800 IPC Holdings, Ltd. .......... 4,415,300
47,400 LandAmerica Financial Group,
Inc. ...................... 2,251,500
38,600 National Western Life
Insurance Company -- Class
A(c)....................... 4,262,598
102,000 Platinum Underwriters
Holdings, Inc.(a).......... 2,768,280
47,750 ProAssurance Corp.(c)........ 1,288,773
161,800 Reinsurance Group of America,
Inc.(a).................... 5,193,780
53,500 RLI Corp. ................... 1,760,150
98,700 Scottish Annuity & Life
Holdings, Ltd. ............ 1,994,727
25,200 StanCorp Financial Group,
Inc. ...................... 1,315,944
47,000 Stewart Information Services
Corp.(c)................... 1,308,950
374,800 Universal American Financial
Corp.(c)................... 2,387,476
--------------
35,809,718
--------------
INTERNET SERVICES -- 3.6%
75,500 Akamai Technologies,
Inc.(c).................... 366,930
36,600 Ask Jeeves, Inc.(c).......... 503,250
6,300 CheckFree Corp.(a)(c)........ 175,392
285,700 CNET Networks, Inc.(c)....... 1,779,911
465,900 Digitas, Inc.(c)............. 2,310,864
133,600 DoubleClick, Inc.(a)(c)...... 1,235,800
105,600 ebookers PLC (ADR)(a)(c)..... 1,695,091
56,600 eResearch Technology,
Inc.(a)(c)................. 1,254,256
</Table>
See notes to financial statements.
121
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INTERNET SERVICES (CONTINUED)
60,100 eSpeed, Inc. -- Class A(c)... $ 1,187,576
116,058 FindWhat.com(a)(c)........... 2,183,051
134,500 InfoSpace, Inc.(c)........... 1,825,165
18,300 j2 Global Communications,
Inc.(a)(c)................. 841,434
16,600 Keynote Systems, Inc.(c)..... 173,968
174,442 Lionbridge Technologies,
Inc. ...................... 710,328
234,158 Lionbridge Technologies,
Inc.(c).................... 1,191,864
263,140 Macromedia, Inc.(c).......... 5,536,466
8,000 Netflix, Inc.(a)(c).......... 204,400
59,200 Packeteer, Inc.(c)........... 921,744
79,400 RADWARE, Ltd.(c)............. 1,360,122
20,400 RSA Security, Inc.(c)........ 219,300
17,800 SafeNet, Inc.(a)(c).......... 498,044
234,300 Secure Computing Corp.(c).... 2,045,439
761,400 Tumbleweed Communications
Corp.(c)................... 1,964,412
49,700 United Online, Inc.(c)....... 1,259,398
119,800 Verity, Inc.(c).............. 1,516,668
142,000 webMethods, Inc.(c).......... 1,154,460
21,300 Websense, Inc.(a)(c)......... 333,558
--------------
34,448,891
--------------
INVESTMENT COMPANY -- 0.0%
20,200 MCG Capital Corp.(a)......... 292,900
--------------
LEISURE AND RECREATION -- 1.5%
381,190 Alliance Gaming Corp.(c)..... 7,208,303
77,600 Aztar Corp.(c)............... 1,250,136
61,800 Choice Hotels International,
Inc.(c).................... 1,687,758
66,500 La Quinta Corp.(c)........... 286,615
12,200 Navigant International,
Inc.(c).................... 157,380
16,100 Polaris Industries,
Inc.(a).................... 988,540
269,600 Scientific Games Corp. --
Class A(c)................. 2,534,240
13,900 Shuffle Master, Inc.(c)...... 408,521
--------------
14,521,493
--------------
MACHINERY -- 0.7%
88,200 Albany International Corp. --
Class A.................... 2,416,680
19,000 Applied Industrial
Technologies, Inc. ........ 400,900
16,800 Cascade Corp. ............... 292,320
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
22,900 Global Power Equipment Group,
Inc.(c).................... $ 106,485
160,200 Kadant, Inc.(c).............. 3,003,750
28,200 Milacron, Inc. .............. 137,898
13,700 Tecumseh Products Company --
Class A.................... 524,847
--------------
6,882,880
--------------
MANUFACTURING -- 2.2%
35,000 A.O. Smith Corp. ............ 985,250
71,000 Applied Films Corp.(c)....... 1,837,480
2,100 BHA Group Holdings, Inc. .... 41,601
40,300 Briggs & Stratton Corp. ..... 2,035,150
50,000 C&D Technologies, Inc. ...... 718,000
34,000 Carlisle Companies, Inc. .... 1,433,440
33,700 Ceradyne, Inc.(c)............ 631,201
9,600 Cognex Corp.(c).............. 214,560
110,500 Deswell Industries, Inc. .... 2,241,935
2,300 Donaldson Company, Inc. ..... 102,235
34,200 ESCO Technologies, Inc.(c)... 1,504,800
18,600 Griffon Corp.(c)............. 297,600
18,200 II-VI, Inc.(c)............... 420,056
3,900 Intermet Corp. .............. 13,143
68,400 Jacuzzi Brands, Inc.(c)...... 361,836
4,800 Kaydon Corp. ................ 99,840
26,300 Lincoln Electric Holdings,
Inc. ...................... 536,783
9,200 NN, Inc. .................... 116,472
5,500 Powell Industries, Inc.(c)... 80,520
5,100 Quanex Corp. ................ 151,572
8,400 Quixote Corp. ............... 214,452
6,500 Rofin-Sinar Technologies,
Inc.(c).................... 91,390
210,000 Rogers Corp.(c).............. 6,993,000
20,600 Valmont Industries, Inc. .... 403,966
--------------
21,526,282
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 6.6%
161,300 American Medical Security
Group, Inc.(c)............. 3,080,830
140,900 AMERIGROUP Corp.(a)(c)....... 5,241,480
17,100 AMN Healthcare Services,
Inc.(c).................... 217,170
39,700 AmSurg Corp.(c).............. 1,210,850
103,750 Computer Programs and
Systems, Inc.(c)........... 2,076,038
47,500 CorVel Corp.(c).............. 1,710,000
</Table>
See notes to financial statements.
122
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MEDICAL AND OTHER HEALTH SERVICES (CONTINUED)
17,200 Hanger Orthopedic Group,
Inc.(c).................... $ 196,940
69,600 ICON PLC (ADR)(c)............ 2,214,672
68,600 IMPAC Medical Systems,
Inc.(c).................... 1,432,368
91,000 Inveresk Research Group,
Inc.(c).................... 1,647,100
1,300 Kindred Healthcare,
Inc.(c).................... 23,192
238,935 Lincare Holdings, Inc.(c).... 7,528,842
6,400 Mid Atlantic Medical
Services, Inc.(c).......... 334,720
60,600 Odyssey Healthcare,
Inc.(a)(c)................. 2,242,200
160,700 Option Care, Inc.(c)......... 1,852,871
345,837 Orthodontic Centers of
America, Inc.(a)(c)........ 2,770,154
285,000 Owens & Minor, Inc. ......... 6,369,750
7,100 PDI, Inc.(c)................. 72,136
154,700 Per-Se Technologies,
Inc.(c).................... 1,737,281
7,500 Quality Systems, Inc.(c)..... 207,150
263,960 Triad Hospitals, Inc.(c)..... 6,551,487
362,800 Universal Health Services,
Inc. -- Class B(c)......... 14,374,136
153,000 US Oncology, Inc.(c)......... 1,130,670
--------------
64,222,037
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 3.1%
9,300 Advanced Medical Optics,
Inc.(c).................... 158,565
7,400 Advanced Neuromodulation
Systems, Inc.(c)........... 383,098
277,460 ALARIS Medical Systems,
Inc.(c).................... 3,593,107
6,100 American Medical Systems
Holdings, Inc.(c).......... 102,907
10,000 Candela Corp.(c)............. 115,200
85,000 Conceptus, Inc.(c)........... 1,194,250
20,900 Cyberonics, Inc.(c).......... 449,559
3,900 Cytyc Corp.(c)............... 41,028
63,200 Dade Behring Holdings,
Inc.(c).................... 1,465,608
1,100 Diagnostic Products Corp. ... 45,155
10,400 DJ Orthopedics, Inc.(c)...... 113,984
23,000 Gen-Probe, Inc.(c)........... 940,010
58,300 IDEXX Laboratories,
Inc.(a)(c)................. 1,963,544
34,000 Immucor, Inc.(c)............. 740,860
39,700 INAMED Corp.(c).............. 2,131,493
23,400 Kensey Nash Corp.(a)(c)...... 612,144
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED)
126,200 Laserscope(c)................ $ 1,008,338
24,100 Luminex Corp.(a)(c).......... 124,356
1,900 Medical Action Industries,
Inc.(c).................... 31,027
66,600 Mentor Corp. ................ 1,290,708
8,500 Merit Medical Systems,
Inc.(c).................... 169,830
96,900 Osteotech, Inc.(c)........... 1,316,871
122,300 PolyMedica Corp.(a).......... 5,600,117
14,600 Possis Medical, Inc.(c)...... 200,312
46,000 PSS World Medical, Inc.(c)... 264,500
18,400 Synovis Life Technologies,
Inc.(c).................... 366,160
78,300 Techne Corp.(c).............. 2,375,622
44,600 Theragenics Corp.(c)......... 191,780
18,400 Ventana Medical Systems,
Inc.(c).................... 500,112
68,500 Zoll Medical Corp.(c)........ 2,298,860
--------------
29,789,105
--------------
METALS AND MINING -- 0.4%
44,600 Allegheny Technologies,
Inc. ...................... 294,360
7,600 AMCOL International Corp. ... 58,520
12,800 Brush Engineered Materials,
Inc.(c).................... 106,880
6,800 Century Aluminum Company..... 47,804
17,200 Cleveland-Cliffs, Inc.(c).... 307,020
101,200 Hecla Mining Company(c)...... 428,076
8,500 Material Sciences Corp.(c)... 82,450
104,600 Meridian Gold, Inc.(c)....... 1,201,854
28,300 RTI International Metals,
Inc.(c).................... 306,489
4,400 Schnitzer Steel Industries,
Inc. -- Class A............ 194,128
17,000 Southern Peru Copper
Corp. ..................... 260,100
3,700 Steel Technologies, Inc. .... 37,407
18,100 USEC, Inc. .................. 127,062
48,500 Worthington Industries,
Inc. ...................... 649,900
--------------
4,102,050
--------------
OIL AND GAS: EQUIPMENT -- 1.4%
41,300 CARBO Ceramics, Inc. ........ 1,538,425
13,100 Gulf Island Fabrication,
Inc.(c).................... 221,652
22,100 Hydril Company(c)............ 602,225
147,300 Key Energy Services,
Inc.(c).................... 1,579,056
261,260 National-Oilwell, Inc.(c).... 5,747,720
179,900 Oil States International,
Inc.(c).................... 2,176,790
</Table>
See notes to financial statements.
123
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
OIL AND GAS: EQUIPMENT (CONTINUED)
186,100 Superior Energy Services,
Inc.(c).................... $ 1,764,228
15,200 Superior Energy Services,
Inc.(c).................... 175,560
--------------
13,805,656
--------------
OIL, COAL AND GAS -- 2.3%
15,700 Berry Petroleum Company --
Class A.................... 281,815
17,700 Cabot Oil & Gas Corp. ....... 488,697
86,700 Cal Dive International,
Inc.(c).................... 1,890,060
81,500 Comstock Resources,
Inc.(c).................... 1,114,920
403,300 Grey Wolf, Inc.(c)........... 1,629,332
18,300 Headwaters, Inc.(c).......... 268,827
177,000 Helmerich & Payne, Inc. ..... 5,168,400
33,400 KCS Energy, Inc.(c).......... 180,026
8,800 McMoRan Exploration
Company(a)(c).............. 98,032
26,400 Nuevo Energy Company(c)...... 460,680
6,200 Oceaneering International,
Inc.(c).................... 158,410
73,925 Patina Oil & Gas Corp. ...... 2,376,689
7,000 Petroleum Development
Corp.(c)................... 64,330
93,700 St. Mary Land & Exploration
Company.................... 2,558,010
90,000 Unit Corp.(c)................ 1,881,900
133,600 Vintage Petroleum, Inc. ..... 1,507,008
5,800 Westmoreland Coal
Company(c)................. 104,284
58,500 Westport Resources
Corp.(c)................... 1,330,875
11,400 World Fuel Services Corp. ... 280,326
--------------
21,842,621
--------------
PAPER AND FOREST PRODUCTS -- 0.1%
24,800 Caraustar Industries,
Inc.(c).................... 198,648
35,100 Longview Fibre Company....... 287,820
21,600 Schweitzer-Mauduit
International, Inc. ....... 521,424
--------------
1,007,892
--------------
PHARMACEUTICALS -- 2.8%
59,500 aaiPharma, Inc.(a)(c)........ 1,182,860
100,000 Able Laboratories,
Inc.(a)(c)................. 1,980,000
73,100 Adolor Corp.(a)(c)........... 896,937
33,700 Angiotech Pharmaceuticals,
Inc.(a)(c)................. 1,372,938
3,100 Arena Pharmaceuticals,
Inc.(c).................... 20,584
154,100 AtheroGenics, Inc.(c)........ 2,300,713
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
110,600 Bradley Pharmaceuticals,
Inc.(a)(c)................. $ 1,824,900
65,000 CIMA Laboratories, Inc.(c)... 1,747,850
156,000 CollaGenex Pharmaceuticals,
Inc.(a)(c)................. 2,123,160
317,990 Connetics Corp.(c)........... 4,760,310
32,600 CV Therapeutics,
Inc.(a)(c)................. 966,916
45,400 Kos Pharmaceuticals,
Inc.(a)(c)................. 1,065,538
91,400 Ligand Pharmaceuticals,
Inc. -- Class B(a)(c)...... 1,242,126
8,700 Medicis Pharmaceuticals
Corp. -- Class A........... 493,290
31,900 Nabi Biopharmaceuticals(c)... 218,834
21,100 Penwest Pharmaceuticals
Company(c)................. 514,207
35,400 Perrigo Company.............. 553,656
1,700 Pharmaceutical Resources,
Inc.(c).................... 82,722
170,900 Pozen, Inc.(c)............... 1,876,482
55,800 Savient Pharmaceuticals,
Inc.(c).................... 258,912
29,600 Tanox, Inc.(c)............... 475,080
91,600 Vicuron Pharmaceuticals,
Inc.(c).................... 1,298,888
32,100 VIVUS, Inc.(c)............... 164,994
--------------
27,421,897
--------------
PRINTING AND PUBLISHING -- 0.0%
14,100 Consolidated Graphics,
Inc.(c).................... 322,608
4,200 Thomas Nelson, Inc. ......... 52,500
--------------
375,108
--------------
REAL ESTATE DEVELOPMENT AND SERVICES -- 0.7%
71,400 Getty Realty Corp. .......... 1,593,648
157,700 The St. Joe Company.......... 4,920,240
--------------
6,513,888
--------------
REAL ESTATE INVESTMENT TRUSTS -- 2.2%
5,200 American Land Lease, Inc. ... 87,360
35,100 Apex Mortgage Capital,
Inc. ...................... 191,997
87,700 Arden Realty, Inc. .......... 2,275,815
20,300 Associated Estates Realty
Corp. ..................... 133,371
18,100 Bedford Property Investors,
Inc. ...................... 514,040
22,800 Boykin Lodging Company....... 177,840
2,300 Camden Property Trust........ 80,385
22,900 Capital Automotive REIT...... 640,971
9,200 Cornerstone Realty Income
Trust, Inc. ............... 67,252
</Table>
See notes to financial statements.
124
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
3,000 Correctional Properties
Trust...................... $ 84,000
53,100 Equity Inns, Inc. ........... 366,390
9,000 Essex Property Trust,
Inc. ...................... 515,250
27,000 Gables Residential Trust..... 816,210
9,600 Great Lakes REIT............. 153,600
12,900 Highwoods Properties,
Inc. ...................... 287,670
70,300 HRPT Properties Trust........ 646,760
32,200 Innkeepers USA Trust......... 218,960
22,100 Keystone Property Trust...... 409,071
25,400 Kilroy Realty Corp. ......... 698,500
27,200 Koger Equity................. 468,656
18,000 LTC Properties, Inc. ........ 171,900
77,300 Maguire Properties,
Inc.(a)(c)................. 1,488,025
151,200 MeriStar Hospitality
Corp. ..................... 777,168
153,400 Mid-Atlantic Realty Trust.... 3,212,196
18,400 Mission West Properties,
Inc. ...................... 209,208
24,500 National Health Investors,
Inc. ...................... 451,780
9,600 Post Properties, Inc. ....... 254,400
85,200 RAIT Investment Trust........ 2,257,800
25,500 Shurgard Storage Centers,
Inc. -- Class A............ 843,540
19,500 Sizeler Property Investors,
Inc. ...................... 199,875
33,000 SL Green Realty Corp. ....... 1,151,370
22,100 Sovran Self Storage.......... 696,150
5,300 Urstadt Biddle Properties --
Class A.................... 68,158
21,100 Winston Hotels, Inc. ........ 172,387
--------------
20,788,055
--------------
REGISTERED INVESTMENT COMPANY -- 0.4%
83,100 iShares Russell 2000 Growth
Index Fund(a).............. 3,955,560
--------------
RESEARCH AND DEVELOPMENT -- 1.5%
55,500 Albany Molecular Research,
Inc.(c).................... 838,050
7,800 BioReliance Corp.(c)......... 165,360
24,500 Biosite, Inc.(a)(c).......... 1,178,450
21,200 Digene Corp.(c).............. 577,276
21,400 Diversa Corp.(c)............. 210,362
17,850 Enzo Biochem, Inc.(a)(c)..... 384,132
8,400 Exact Sciences Corp.(c)...... 92,064
15,800 Genencor International,
Inc.(c).................... 260,226
72,100 Incyte, Inc.(c).............. 334,544
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RESEARCH AND DEVELOPMENT (CONTINUED)
206,230 Integra LifeSciences
Holdings(a)(c)............. $ 5,440,347
21,200 Lexicon Genetics, Inc.(c).... 142,252
79,400 Martek Biosciences
Corp.(a)(c)................ 3,409,436
18,800 Maxygen, Inc.(c)............. 206,236
1,900 Neose Technologies,
Inc.(c).................... 19,019
89,900 Telik, Inc.(a)(c)............ 1,444,693
--------------
14,702,447
--------------
RETAIL -- 4.3%
537,050 Big Lots, Inc.(c)............ 8,077,232
2,800 BJ'S Wholesale Club,
Inc.(c).................... 42,168
11,400 Brookstone, Inc.(c).......... 230,850
83,700 Casey's General Stores,
Inc. ...................... 1,183,518
50,400 Cost Plus, Inc.(c)........... 1,797,264
133,000 Duane Reade, Inc.(a)(c)...... 1,961,750
6,700 Finlay Enterprises,
Inc.(c).................... 110,885
139,900 Guitar Center, Inc.(c)....... 4,057,100
66,500 Hot Topic, Inc.(c)........... 1,789,515
153,100 Kirkland's, Inc.(c).......... 2,472,565
93,900 Movie Gallery, Inc.(c)....... 1,732,455
5,400 Pantry, Inc.(c).............. 42,606
105,140 PETsMART, Inc.(c)............ 1,752,684
6,400 REX Stores Corp.(c).......... 77,504
452,300 Saks, Inc.(c)................ 4,387,310
51,700 School Specialty,
Inc.(a)(c)................. 1,471,382
101,400 Shopko Stores, Inc.(a)(c).... 1,318,200
110,900 The Bombay Company, Inc.(c).. 1,178,867
81,400 The Pep Boys -- Manny, Moe &
Jack....................... 1,099,714
208,750 Tuesday Morning Corp.(c)..... 5,490,125
100,200 Ultimate Electronics,
Inc.(c).................... 1,284,564
8,800 Whitehall Jewellers,
Inc.(c).................... 79,816
9,800 Zale Corp.(a)(c)............. 392,000
--------------
42,030,074
--------------
RETAIL: RESTAURANTS -- 4.0%
421,600 Applebee's International,
Inc. ...................... 13,250,888
98,400 CEC Entertainment, Inc.(c)... 3,633,912
95,900 Chicago Pizza & Brewery,
Inc.(a)(c)................. 959,000
3,500 Landry's Restaurants,
Inc. ...................... 82,600
30,500 Lone Star Steakhouse &
Saloon, Inc. .............. 663,985
100,000 Outback Steakhouse, Inc. .... 3,900,000
</Table>
See notes to financial statements.
125
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RETAIL: RESTAURANTS (CONTINUED)
57,800 Papa John's International,
Inc.(a)(c)................. $ 1,621,290
70,500 RARE Hospitality
International, Inc.(c)..... 2,303,940
432,200 Ruby Tuesday, Inc. .......... 10,688,306
51,000 Ryan's Family Steak Houses,
Inc.(c).................... 714,000
50,100 Sonic Corp.(c)............... 1,274,043
--------------
39,091,964
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 1.2%
46,500 Analogic Corp. .............. 2,267,340
100,300 FEI Company(c)............... 1,881,628
52,700 Input/Output, Inc.(c)........ 283,526
2,500 Metrologic Instruments,
Inc.(c).................... 83,125
445,170 PerkinElmer, Inc. ........... 6,147,798
11,100 Woodward Governor Company.... 477,300
--------------
11,140,717
--------------
SECURITY SERVICES -- 0.5%
159,550 Kroll, Inc.(c)............... 4,317,423
34,900 The Brink's Company.......... 508,493
--------------
4,825,916
--------------
SEMICONDUCTORS -- 8.0%
347,262 Actel Corp.(c)............... 7,118,870
31,000 Artisan Components,
Inc.(c).................... 700,910
939,620 ASE Test, Ltd.(c)............ 5,167,910
5,200 Cohu, Inc. .................. 81,120
268,960 Cree, Inc.(a)(c)............. 4,378,669
93,100 DSP Group, Inc.(c)........... 2,004,443
151,000 Dupont Photomasks,
Inc.(a)(c)................. 2,843,330
253,500 Emulex Corp.(c).............. 5,772,195
408,690 Entegris, Inc.(c)............ 5,492,794
195,700 ESS Technology, Inc.(c)...... 1,908,075
364,635 Exar Corp.(c)................ 5,772,172
633,977 Genus, Inc.(a)(c)............ 1,711,738
224,000 International Rectifier
Corp.(c)................... 6,007,680
286,100 Kopin Corp.(c)............... 1,750,932
493,600 LogicVision, Inc.(c)......... 1,475,864
6,600 Micrel, Inc.(c).............. 68,574
57,200 Microsemi Corp.(c)........... 915,200
158,800 Monolithic System Technology,
Inc.(a)(c)................. 1,438,728
177,200 Mykrolis Corp.(c)............ 1,798,580
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS (CONTINUED)
38,200 OmniVision Technologies,
Inc.(a)(c)................. $ 1,191,840
17,300 ParthusCeva, Inc.(c)......... 140,995
238,900 Pericom Semiconductor
Corp.(c)................... 2,221,770
49,600 Photronics, Inc.(c).......... 865,520
109,300 Power Integrations,
Inc.(c).................... 2,658,176
35,400 Silicon Laboratories,
Inc.(c).................... 943,056
190,000 Skyworks Solutions,
Inc.(a)(c)................. 1,286,300
14,800 Standard Microsystems
Corp.(c)................... 224,516
43,400 Three-Five Systems,
Inc.(c).................... 299,460
351,245 Ultratech, Inc.(c)........... 6,494,519
83,700 Varian Semiconductor
Equipment Associates,
Inc.(a)(c)................. 2,490,912
119,650 Zoran Corp.(a)(c)............ 2,298,477
--------------
77,523,325
--------------
SPORTING GOODS AND EQUIPMENT -- 1.0%
5,600 Callaway Golf Company........ 74,032
225,200 Hibbett Sporting Goods,
Inc.(c).................... 7,418,088
160,000 K2, Inc.(c).................. 1,960,000
14,100 Nautilus Group, Inc.(a)...... 174,840
--------------
9,626,960
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.7%
9,000 ADTRAN, Inc.(a)(c)........... 459,180
4,400 Anaren, Inc.(c).............. 41,228
8,800 Anixter International,
Inc.(c).................... 206,184
13,900 Applied Signal Technology,
Inc. ...................... 234,493
28,900 Audiovox Corp. -- Class
A(c)....................... 323,391
11,100 Belden, Inc. ................ 176,379
6,000 Boston Communications Group,
Inc.(a)(c)................. 102,780
590,500 Cable Design Technologies
Corp.(c)................... 4,222,075
56,700 Centillium Communications,
Inc.(c).................... 561,897
291,800 Cincinnati Bell, Inc.(c)..... 1,955,060
22,000 Commonwealth Telephone
Enterprises, Inc.(a)(c).... 967,340
10,100 Comtech Telecommunications
Corp.(c)................... 285,224
35,600 General Cable Corp.(c)....... 192,240
33,400 General Communication,
Inc. -- Class A(c)......... 289,244
21,000 Inet Technologies, Inc.(c)... 209,370
</Table>
See notes to financial statements.
126
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
10,100 InterDigital Communications
Corp.(c)................... $ 236,037
130,900 Intrado, Inc.(c)............. 2,066,911
7,000 Price Communications
Corp.(c)................... 90,370
18,900 SpectraLink Corp.(c)......... 186,732
11,000 SureWest Communications...... 332,750
1,400 Tekelec(c)................... 15,820
16,000 Ulticom, Inc.(c)............. 152,000
41,600 UNOVA, Inc.(c)............... 461,760
70,200 Western Wireless Corp., --
Class A(a)................. 809,406
127,900 Wireless Facilities,
Inc.(c).................... 1,522,010
--------------
16,099,881
--------------
TRANSPORTATION: FREIGHT -- 1.3%
217,000 EGL, Inc.(a)(c).............. 3,298,400
72,900 Forward Air Corp.(c)......... 1,849,473
226,800 Genesee & Wyoming, Inc. --
Class A(c)................. 4,665,276
15,100 Landstar System, Inc.(c)..... 949,035
84,100 Old Dominion Freight Line,
Inc.(c).................... 1,818,242
--------------
12,580,426
--------------
TRANSPORTATION: SERVICES -- 0.7%
3,100 Covenant Transport, Inc. --
Class A(c)................. 52,700
81,870 Petroleum Helicopters,
Inc. ...................... 2,468,380
4,200 SCS Transportation,
Inc.(c).................... 53,046
71,000 USF Corp. ................... 1,914,870
46,650 UTI Worldwide, Inc. ......... 1,455,014
59,700 Werner Enterprises, Inc. .... 1,265,640
--------------
7,209,650
--------------
UTILITIES: ELECTRIC -- 0.9%
63,400 Black Hills Corp. ........... 1,946,380
111,800 Cleco Corp. ................. 1,936,376
18,400 El Paso Electric
Company(c)................. 226,872
148,800 PNM Resources, Inc. ......... 3,980,400
14,500 Unisource Energy Corp. ...... 272,600
--------------
8,362,628
--------------
UTILITIES: GAS -- 0.7%
7,800 AGL Resources, Inc. ......... 198,432
3,600 Cascade Natural Gas Corp. ... 68,760
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
UTILITIES: GAS (CONTINUED)
5,800 Energen Corp. ............... $ 193,140
35,500 Peoples Energy Corp. ........ 1,522,595
6,300 SEMCO Energy, Inc.(a)........ 36,666
63,900 Southern Union Company(c).... 1,071,603
127,000 WGL Holdings, Inc. .......... 3,390,900
--------------
6,482,096
--------------
WASTE MANAGEMENT AND RECYCLING -- 0.0%
2,100 IMCO Recycling, Inc.(c)...... 13,944
--------------
TOTAL COMMON STOCKS (Cost
$813,386,747).............. 948,487,617
--------------
REGULATED INVESTMENT COMPANIES -- 5.3%
29,004,028 BlackRock Tempcash Fund(b)... 29,004,028
12,430,298 Dreyfus Cash Management Plus
Fund(b).................... 12,430,298
4,198,173 Merrill Lynch Premier
Institutional Fund(b)...... 4,198,173
5,469,331 Merrimac Cash Fund -- Premium
Class(b)................... 5,469,331
--------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $51,101,830)......... 51,101,830
--------------
<Caption>
PRINCIPAL
---------
SHORT TERM US TREASURY SECURITY -- 0.1%
$ 1,000,000 US Treasury Bill,
0.86%, 09/18/03(d) (Cost
$998,113).................. 998,113
--------------
SHORT TERM CORPORATE NOTES -- 4.1%
1,657,373 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)...... 1,657,373
4,143,433 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)...... 4,143,433
6,629,492 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)...... 6,629,492
2,651,797 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)...... 2,651,797
828,687 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)...... 828,687
3,314,746 Morgan Stanley, Floating
Rate,
1.43%, 09/26/03(+)(b)...... 3,314,746
</Table>
See notes to financial statements.
127
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$20,717,163 Morgan Stanley, Floating
Rate,
1.43%, 12/16/03(+)(b)...... $ 20,717,163
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $39,942,691)... 39,942,691
--------------
TIME DEPOSITS -- 2.8%
4,143,433 American Express Centurion
Bank,
1.26%, 07/07/03(b)......... 4,143,433
3,314,746 Bank of Montreal,
1.08%, 07/02/03(b)......... 3,314,746
684,040 Bank of Montreal,
1.15%, 07/09/03(b)......... 684,040
8,286,865 Bank of Novia Scotia,
1.03%, 07/08/03(b)......... 8,286,865
4,972,119 Credit Agricole Indosuez,
0.94%, 07/01/03(b)......... 4,972,119
2,651,797 Credit Agricole Indosuez,
1.05%, 08/26/03(b)......... 2,651,797
1,657,373 Den Danske Bank,
1.04%, 07/24/03(b)......... 1,657,373
1,657,373 Royal Bank of Scotland,
1.05%, 07/28/03(b)......... 1,657,373
--------------
TOTAL TIME DEPOSITS
(Cost $27,367,746)......... 27,367,746
--------------
COMMERCIAL PAPER -- 0.2%
1,657,373 Morgan Stanley, Floating
Rate,
1.46%, 01/29/04(+)(b) (Cost
$1,657,373)................ 1,657,373
--------------
TOTAL SECURITIES
(Cost $934,454,500)........ 1,069,555,370
--------------
REPURCHASE AGREEMENTS -- 2.6%
954,975 With Investors Bank and
Trust, dated 06/30/03,
0.75%, due 07/01/03,
repurchase proceeds at
maturity $954,995
(Collateralized by Freddie
Mac Adjustable Rate
Mortgage, 6.949%, due
12/01/25, with a value of
$1,002,797)................ 954,975
2,936,326 With Investors Bank and
Trust, dated 06/30/03,
0.75%, due 07/01/03,
repurchase proceeds at
maturity $2,936,387
(Collateralized by Small
Business Administration,
4.125%, due 11/25/26, with
a value of $3,083,142)..... 2,936,326
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
$ 3,417,954 With Investors Bank and
Trust, dated 06/30/03,
0.75%, due 07/01/03,
repurchase proceeds at
maturity $3,418,025
(Collateralized by Small
Business Administration,
5.375%, due 12/25/26, with
a value of $3,588,852)..... $ 3,417,954
6,318,280 With Investors Bank and
Trust, dated 06/30/03,
0.75%, due 07/01/03,
repurchase proceeds at
maturity $6,318,412
(Collateralized by Freddie
Mac Adjustable Rate
Mortgage, 4.138%, due
05/01/28, with a value of
$6,634,260)................ 6,318,280
9,252,893 With Investors Bank and
Trust, dated 06/30/03,
0.75%, due 07/01/03,
repurchase proceeds at
maturity $9,253,086
(Collateralized by Freddie
Mac, 6.00%, due 12/15/30,
with a value of
$9,715,538)................ 9,252,893
1,657,373 With Morgan Stanley, dated
06/30/03, 1.48%, due
07/01/03, repurchase
proceeds at maturity
$1,657,441 (Collateralized
by Vodafone Group PLC,
7.75%, due 02/15/10, with a
value of $4,106, Verizon
Global Funding Corp.,
6.875%, due 06/15/12, with
a value of $478, Prudential
Funding LLC, 6.60%, due
05/15/08, with a value of
$281,834, Jersey Central
Power & Lighting Company,
4.80%, due 06/15/18, with a
value of $15,850,
Corporation Andina de
Fomento, 7.375%, due
01/18/11, with a value of
$394,828, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$821,722 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$148,397)(b)............... 1,657,373
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $24,537,801)......... 24,537,801
--------------
Total Investments -- 113.2%
(Cost $958,992,301)........ 1,094,093,171
Liabilities less other
assets -- (13.2)%.......... (127,589,753)
--------------
NET ASSETS -- 100.0%......... $ 966,503,418
==============
</Table>
See notes to financial statements.
128
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $958,992,301.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation......... $189,718,363
Gross unrealized depreciation......... (54,617,493)
------------
Net unrealized appreciation........... $135,100,870
============
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(d) Security is segregated as initial margin for futures contracts.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
(ADR) American Depository Receipt.
See notes to financial statements.
129
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS -- 94.7%
ADVERTISING -- 1.7%
22,400 Getty Images, Inc.(c)............ $ 925,120
-----------
AEROSPACE AND DEFENSE -- 1.3%
20,800 Veridian Corp.(c)................ 725,712
-----------
APPAREL: RETAIL -- 1.6%
24,700 Urban Outfitters, Inc.(a)(c)..... 886,730
-----------
BANKS -- 9.4%
42,000 Allegiant Bancorp, Inc. ......... 850,500
28,900 BankAtlantic Bancorp, Inc. --
Class A........................ 343,621
39,800 Brookline Bancorp, Inc. ......... 557,200
10,700 Downey Financial Corp. .......... 441,910
10,700 Partners Trust Financial Group,
Inc. .......................... 204,156
59,200 R & G Financial Corp. -- Class
B.............................. 1,758,240
25,900 South Financial Group, Inc. ..... 604,247
14,500 Wintrust Financial Corp. ........ 429,200
-----------
5,189,074
-----------
BROADCAST SERVICES/MEDIA -- 6.3%
67,700 Cumulus Media, Inc. -- Class
A(c)........................... 1,281,561
50,400 Gray Television, Inc. ........... 624,960
31,000 Lin TV Corp. -- Class A(c)....... 730,050
86,000 Mediacom Communications
Corp.(c)....................... 848,820
-----------
3,485,391
-----------
BUSINESS SERVICES AND SUPPLIES -- 3.1%
31,300 Advisory Board Company(c)........ 1,268,276
37,500 Gevity HR, Inc. ................. 443,250
-----------
1,711,526
-----------
COMMERCIAL SERVICES -- 0.2%
6,600 iDine Rewards Network, Inc.(c)... 90,684
-----------
COMPUTER SOFTWARE AND SERVICES -- 2.4%
138,300 Agile Software Corp.(c).......... 1,334,595
-----------
COMPUTERS AND OFFICE EQUIPMENT -- 1.6%
43,600 Integral Systems, Inc.(c)........ 866,768
-----------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.0%
28,000 WCI Communities, Inc.(c)......... 538,440
-----------
ELECTRONICS -- 1.4%
26,000 Gentex Corp.(c).................. 795,860
-----------
</Table>
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES -- 1.9%
33,700 American Home Mortgage Holdings,
Inc. .......................... $ 659,846
8,800 Doral Financial Corp. ........... 392,920
-----------
1,052,766
-----------
FOOD AND BEVERAGE -- 1.0%
13,100 American Italian Pasta Company --
Class A(a)(c).................. 545,615
-----------
INSURANCE -- 5.3%
3,900 Baldwin & Lyons, Inc. -- Class
B.............................. 92,625
32,300 Delphi Financial Group, Inc. --
Class A........................ 1,511,640
27,000 RLI Corp. ....................... 888,300
15,100 Stewart Information Services
Corp.(c)....................... 420,535
-----------
2,913,100
-----------
LEISURE AND RECREATION -- 1.3%
13,300 Extended Stay America, Inc.(c)... 179,417
12,900 Four Seasons Hotels, Inc.(a)..... 558,054
-----------
737,471
-----------
MEDICAL EQUIPMENT AND SUPPLIES -- 4.2%
88,200 Align Technology, Inc.(a)(c)..... 1,106,910
66,600 Conceptus, Inc.(a)(c)............ 935,730
14,600 Viasys Healthcare, Inc.(c)....... 302,220
-----------
2,344,860
-----------
OIL, COAL AND GAS -- 4.0%
41,700 Cal Dive International,
Inc.(c)........................ 909,060
47,100 Denbury Resources, Inc.(c)....... 632,553
35,000 Pride International,
Inc.(a)(c)..................... 658,700
-----------
2,200,313
-----------
PHARMACEUTICALS -- 10.5%
26,900 CIMA Laboratories, Inc.(c)....... 723,341
63,300 Connetics Corp.(c)............... 947,601
30,900 CV Therapeutics, Inc.(a)(c)...... 916,494
21,200 Medicines Company(c)............. 417,428
20,100 Medicis Pharmaceuticals Corp. --
Class A........................ 1,139,670
135,800 Nektar Therapeutics(c)........... 1,253,434
25,400 Tanox, Inc.(c)................... 407,670
-----------
5,805,638
-----------
</Table>
See notes to financial statements.
130
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUST -- 1.7%
24,300 Redwood Trust, Inc.(a)........... $ 969,813
-----------
RESEARCH AND DEVELOPMENT -- 5.4%
51,100 Inspire Pharmaceuticals,
Inc.(c)........................ 551,880
10,608 IntraBiotics Pharmaceuticals,
Inc.(c)........................ 42,433
10,400 Neurocrine Biosciences,
Inc.(c)........................ 519,376
32,900 NPS Pharmaceuticals,
Inc.(a)(c)..................... 800,786
29,500 Pain Therapeutics, Inc.(c)....... 190,570
5,300 Trimeris, Inc.(a)(c)............. 242,104
125,500 XOMA, Ltd.(c).................... 668,915
-----------
3,016,064
-----------
RETAIL -- 7.3%
23,900 Coach, Inc.(c)................... 1,188,786
39,800 Cost Plus, Inc.(c)............... 1,419,268
60,200 First Cash Financial Services,
Inc.(c)........................ 855,442
19,800 Guitar Center, Inc.(c)........... 574,200
-----------
4,037,696
-----------
RETAIL: RESTAURANTS -- 7.9%
11,700 Krispy Kreme Doughnuts,
Inc.(a)(c)..................... 481,806
29,800 Landry's Restaurants, Inc. ...... 703,280
21,900 RARE Hospitality International,
Inc.(c)........................ 715,692
27,900 Ruby Tuesday, Inc. .............. 689,967
33,300 Sonic Corp.(c)................... 846,819
26,500 The Cheesecake Factory,
Inc.(c)........................ 951,085
-----------
4,388,649
-----------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 3.4%
31,200 Cymer, Inc.(a)(c)................ 984,672
26,400 Varian, Inc.(c).................. 915,288
-----------
1,899,960
-----------
SECURITY SERVICES -- 1.0%
21,400 Kroll, Inc.(c)................... 579,084
-----------
SEMICONDUCTORS -- 3.5%
94,200 O2Micro International,
Ltd.(a)(c)..................... 1,517,562
58,400 Skyworks Solutions, Inc.(a)(c)... 395,368
-----------
1,912,930
-----------
SPORTING GOODS AND EQUIPMENT -- 2.2%
37,300 Hibbett Sporting Goods,
Inc.(c)........................ 1,228,662
-----------
</Table>
<Table>
<Caption>
SHARES VALUE
------ -----------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.1%
41,647 CIENA Corp.(c)................... $ 216,148
35,500 Tekelec(c)....................... 401,150
-----------
617,298
-----------
TRANSPORTATION: FREIGHT -- 3.0%
35,900 Heartland Express, Inc.(c)....... 798,775
33,800 Knight Transportation, Inc.(c)... 841,620
-----------
1,640,395
-----------
TOTAL COMMON STOCKS
(Cost $46,700,899)............. 52,440,214
-----------
REGULATED INVESTMENT COMPANIES -- 6.1%
1,933,787 BlackRock Tempcash Fund(b)....... 1,933,787
828,766 Dreyfus Cash Management Plus
Fund(b)........................ 828,766
279,905 Merrill Lynch Premier
Institutional Fund(b).......... 279,905
364,657 Merrimac Cash Fund -- Premium
Class(b)....................... 364,657
-----------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $3,407,115).............. 3,407,115
-----------
<Caption>
PRINCIPAL
- ---------
SHORT TERM CORPORATE NOTES -- 4.8%
$ 110,502 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b).......... 110,502
276,255 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b).......... 276,255
442,009 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b).......... 442,009
176,804 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b).......... 176,804
55,251 Merrill Lynch & Company, Floating
Rate,
1.62%, 11/26/03(+)(b).......... 55,251
221,004 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b).......... 221,004
1,381,277 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b).......... 1,381,277
-----------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $2,663,102).............. 2,663,102
-----------
</Table>
See notes to financial statements.
131
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- -----------
TIME DEPOSITS -- 3.3%
$ 276,255 American Express Centurion Bank,
1.26%, 07/07/03(b)............. $ 276,255
221,004 Bank of Montreal,
1.08%, 07/02/03(b)............. 221,004
45,607 Bank of Montreal,
1.15%, 07/09/03(b)............. 45,607
552,511 Bank of Novia Scotia,
1.03%, 07/08/03(b)............. 552,511
331,506 Credit Agricole Indosuez,
0.94%, 07/01/03(b)............. 331,506
176,803 Credit Agricole Indosuez,
1.05%, 08/26/03(b)............. 176,803
110,502 Den Danske Bank,
1.04%, 07/24/03(b)............. 110,502
110,502 Royal Bank of Scotland,
1.05%, 07/28/03(b)............. 110,502
-----------
TOTAL TIME DEPOSITS
(Cost $1,824,690).............. 1,824,690
-----------
COMMERCIAL PAPER -- 0.2%
110,502 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b) (Cost
$110,502)...................... 110,502
-----------
TOTAL SECURITIES
(Cost $54,706,308)............. 60,445,623
-----------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- -----------
REPURCHASE AGREEMENTS -- 5.9%
$3,134,892 With Investors Bank and Trust,
dated 06/30/03, 0.75%, due
07/01/03, repurchase proceeds
at maturity $3,134,957
(Collateralized by Small
Business Administration,
4.125%, due 07/25/26, with a
value of $3,291,636)........... $ 3,134,892
110,502 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03
repurchase proceeds at maturity
$110,507 (Collateralized by
Vodafone Group PLC, 7.75%, due
02/15/10, with a value of $273,
Verizon Global Funding Corp.,
6.875%, due 06/15/12, with a
value of $32, Prudential
Funding LLC, 6.60%, due
05/15/08, with a value of
$18,764, Jersey Central Power &
Lighting Company, 4.80%, due
06/15/18, with a value of
$1,055, Corporation Andina de
Fomento, 7.375%, due 01/18/11,
with a value of $26,287, Abbey
National Capital Trust, 8.963%,
due 06/30/30, with a value of
$54,708 and Vodafone Group PLC,
7.875%, due 02/15/30, with a
value of $9,880)(b) 110,502
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $3,245,394).............. 3,245,394
-----------
Total Investments -- 115.0%
(Cost $57,951,702)............. 63,691,017
Liabilities less other
assets -- (15.0)%.............. (8,287,522)
-----------
NET ASSETS -- 100.0%............. $55,403,495
===========
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $57,951,702.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation............ $5,999,639
Gross unrealized depreciation............ (260,324)
----------
Net unrealized appreciation.............. $5,739,315
==========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
132
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 99.9%
APPAREL: RETAIL -- 2.5%
410,000 The Gap, Inc.(a)............... $ 7,691,600
------------
AUTOMOTIVE EQUIPMENT -- 2.7%
138,000 Advanced Auto Parts, Inc.(c)... 8,404,200
------------
BANKS -- 2.4%
250,001 New York Community Bancorp,
Inc.(a)...................... 7,272,529
------------
BROADCAST SERVICES/MEDIA -- 4.6%
181,000 Comcast Corp. -- Class A(c).... 5,462,580
247,090 EchoStar Communications --
Class A(c)................... 8,554,256
------------
14,016,836
------------
COMPUTER SOFTWARE AND SERVICES -- 14.7%
468,035 Amdocs, Ltd.(c)................ 11,232,839
300,000 Computer Associates
International, Inc.(a)....... 6,684,000
68,000 Electronic Arts, Inc.(c)....... 5,031,320
490,000 Foundry Networks, Inc.(c)...... 7,056,000
190,000 Hyperion Solutions Corp.(c).... 6,414,400
130,000 Mercury Interactive
Corp.(a)(c).................. 5,019,300
57,000 Synopsys, Inc.(a)(c)........... 3,525,450
------------
44,963,309
------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.4%
175,000 Dell Computer Corp.(c)......... 5,593,000
67,000 Lexmark International Group,
Inc.(c)...................... 4,741,590
------------
10,334,590
------------
ELECTRONICS -- 2.4%
128,000 FLIR Systems, Inc.(a)(c)....... 3,859,200
45,000 Harman International
Industries, Inc. ............ 3,561,300
------------
7,420,500
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.1%
90,000 Stericycle, Inc.(a)(c)......... 3,463,200
------------
FINANCIAL SERVICES -- 7.0%
190,000 American Express Company....... 7,943,900
151,305 Capital One Financial Corp. ... 7,441,180
139,000 Citigroup, Inc. ............... 5,949,200
------------
21,334,280
------------
FOOD AND BEVERAGE -- 2.5%
240,000 Dean Foods Company(c).......... 7,560,000
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 3.9%
125,000 Arch Capital Group, Ltd.(c).... $ 4,341,250
146,600 W.R. Berkley Corp. ............ 7,725,820
------------
12,067,070
------------
INTERNET SERVICES -- 12.0%
562,460 Ask Jeeves, Inc.(c)............ 7,733,825
300,000 Cisco Systems, Inc.(c)......... 4,977,000
150,000 j2 Global Communications,
Inc.(a)(c) .................. 6,897,000
195,000 RADWARE, Ltd.(c)............... 3,340,350
77,775 Symantec Corp.(a)(c)........... 3,411,212
410,000 United Online, Inc.(a)(c)...... 10,389,400
------------
36,748,787
------------
MANUFACTURING -- 2.3%
105,000 Danaher Corp.(a)............... 7,145,250
------------
MEDICAL AND OTHER HEALTH SERVICES -- 8.2%
108,000 Anthem, Inc.(c)................ 8,332,200
360,000 Caremark Rx, Inc.(c)........... 9,244,800
225,000 Health Net, Inc.(c)............ 7,413,750
------------
24,990,750
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 8.9%
108,000 Advanced Neuromodulation
Systems, Inc.(c)............. 5,591,160
250,000 Cooper Companies, Inc.(a)...... 8,692,500
132,000 St. Jude Medical, Inc.(c)...... 7,590,000
92,000 Varian Medical Systems,
Inc.(c)...................... 5,296,440
------------
27,170,100
------------
OIL, COAL AND GAS -- 2.2%
65,000 Pogo Producing Company......... 2,778,750
200,001 XTO Energy, Inc. .............. 4,022,020
------------
6,800,770
------------
PHARMACEUTICALS -- 4.7%
160,000 Pharmaceutical Resources,
Inc.(a)(c) .................. 7,785,600
164,110 Watson Pharmaceuticals,
Inc.(a)(c) .................. 6,625,121
------------
14,410,721
------------
RESEARCH AND DEVELOPMENT -- 3.8%
80,000 Amgen, Inc.(c)................. 5,358,400
110,000 Gilead Sciences, Inc.(c)....... 6,113,800
------------
11,472,200
------------
</Table>
See notes to financial statements.
133
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RETAIL -- 3.6%
92,000 Coach, Inc.(c)................. $ 4,576,080
344,000 Staples, Inc.(c)............... 6,312,400
------------
10,888,480
------------
RETAIL: RESTAURANTS -- 1.1%
90,000 Brinker International,
Inc.(c)...................... 3,241,800
------------
SEMICONDUCTORS -- 3.9%
476,375 Entegris, Inc.(c).............. 6,402,480
158,000 Marvell Technology Group,
Ltd.(c) ..................... 5,430,460
------------
11,832,940
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 2.0%
340,000 Nextel Communications,
Inc. -- Class A(a)(c)........ 6,147,200
------------
TOTAL COMMON STOCKS
(Cost $257,460,344).......... 305,377,112
------------
REGULATED INVESTMENT COMPANIES -- 10.4%
18,087,912 BlackRockTempcash Fund(b)...... 18,087,912
7,751,963 Dreyfus Cash Management Plus
Fund(b)...................... 7,751,963
2,618,126 Merrill Lynch Premier
Institutional Fund(b)........ 2,618,126
3,410,864 Merrimac Cash Fund -- Premium
Class(b)..................... 3,410,864
------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $31,868,865)........... 31,868,865
------------
<Caption>
PRINCIPAL
---------
SHORT TERM CORPORATE NOTES -- 8.2%
$ 1,033,595 Canadian Imperial Bank of
Commerce, Floating Rate,
1.54%, 11/04/03(+)(b)........ 1,033,595
2,583,987 Goldman Sachs Group, Inc.,
Floating Rate,
1.53%, 07/02/03(+)(b)........ 2,583,987
4,134,380 Goldman Sachs Group, Inc.,
Floating Rate,
1.21%, 08/04/03(+)(b)........ 4,134,380
1,653,752 Goldman Sachs Group, Inc.,
Floating Rate,
1.13%, 09/17/03(+)(b)........ 1,653,752
516,797 Merrill Lynch & Company,
Floating Rate,
1.62%, 11/26/03(+)(b)........ 516,797
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 2,067,190 Morgan Stanley, Floating Rate,
1.43%, 09/26/03(+)(b)........ $ 2,067,190
12,919,938 Morgan Stanley, Floating Rate,
1.43%, 12/16/03(+)(b)........ 12,919,938
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $24,909,639)........... 24,909,639
------------
TIME DEPOSITS -- 5.6%
2,583,987 American Express Centurion
Bank, 1.26%, 07/07/03(b)..... 2,583,987
2,067,190 Bank of Montreal,
1.08%, 07/02/03(b)........... 2,067,190
426,591 Bank of Montreal,
1.15%, 07/09/03(b)........... 426,591
5,167,975 Bank of Novia Scotia,
1.03%, 07/08/03(b)........... 5,167,975
3,100,785 Credit Agricole Indosuez,
0.94%, 07/01/03(b)........... 3,100,785
1,653,752 Credit Agricole Indosuez,
1.05%, 08/26/03(b)........... 1,653,752
1,033,595 Den Danske Bank,
1.04%, 07/24/03(b)........... 1,033,595
1,033,595 Royal Bank of Scotland,
1.05%, 07/28/03(b)........... 1,033,595
------------
TOTAL TIME DEPOSITS
(Cost $17,067,470)........... 17,067,470
------------
COMMERCIAL PAPER -- 0.3%
1,033,595 Morgan Stanley, Floating Rate,
1.46%, 01/29/04(+)(b)
(Cost $1,033,595)............ 1,033,595
------------
TOTAL SECURITIES
(Cost $332,339,913).......... 380,256,681
------------
</Table>
See notes to financial statements.
134
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 0.9%
$ 1,817,298 With Investors Bank and Trust,
dated 06/30/03, 0.75%,
07/01/03, repurchase proceeds
at maturity $1,817,336
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
5.455%, due 09/01/18, with a
value of $1,908,458)......... $ 1,817,298
1,033,595 With Morgan Stanley, dated
06/30/03, 1.48%, due 07/01/03
repurchase proceeds at
maturity $1,033,637
(Collateralized by Vodafone
Group PLC, 7.75%, due
02/15/10, with a value of
$25,631, Verizon Global
Funding Corp., 6.875%, due
06/15/12, with a value of
$2,982, Prudential Funding
LLC, 6.60%, due 05/15/08,
with a value of $1,759,514,
Jersey Central Power &
Lighting Company, 4.80%, due
06/15/18, with a value of
$98,951, Corporation Andina
de Fomento, 7.375%, due
01/18/11, with a value of
$2,464,950, Abbey National
Capital Trust, 8.963%, due
06/30/30, with a value of
$5,130,089 and Vodafone Group
PLC, 7.875%, due 02/15/30,
with a value of
$926,455)(b)................. 1,033,595
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,850,893)............ 2,850,893
------------
Total Investments -- 125.3%
(Cost $335,190,806).......... 383,107,574
Liabilities less other
assets -- (25.3)%............ (77,448,226)
------------
NET ASSETS -- 100.00%.......... $305,659,348
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $335,190,806.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $49,136,948
Gross unrealized depreciation.......... (1,220,180)
-----------
Net unrealized appreciation............ $47,916,768
===========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
135
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES -- 96.7%
ADVERTISING -- 0.7%
$ 165,000 R.H. Donnelley Finance Corp.
I -- 144A,
8.88%, 12/15/10............... $ 183,150
1,045,000 R.H. Donnelley Finance Corp.
I -- 144A,
10.88%, 12/15/12.............. 1,222,650
------------
1,405,800
------------
AEROSPACE AND DEFENSE -- 0.7%
310,000 K&F Industries, Series B,
9.63%, 12/15/10............... 345,650
680,000 Titan Corp. -- 144A,
8.00%, 05/15/11............... 724,200
355,000 Vought Aircraft
Industries, Inc. -- 144A,
8.00%, 07/15/11............... 358,550
------------
1,428,400
------------
AGRICULTURAL EQUIPMENT -- 0.1%
250,000 AGCO Corp.,
9.50%, 05/01/08............... 271,250
------------
AIRLINES -- 2.8%
1,080,000 American Airlines, Series 01-2,
7.80%, 10/01/06............... 747,521
295,000 American Airlines, Series 01-2,
7.86%, 10/01/11............... 290,091
830,317 Continental Airlines, Inc.,
Series 01-1,
7.03%, 06/15/11............... 658,396
91,557 Continental Airlines, Inc.,
Series 98-3,
7.08%, 11/01/04............... 82,928
460,000 Continental Airlines, Inc.,
Series 99-2,
7.43%, 09/15/04............... 406,154
1,615,000 Delta Air Lines,
7.70%, 12/15/05............... 1,421,200
1,280,000 Dunlop Standard Aerospace
Holdings,
11.88%, 05/15/09.............. 1,382,400
175,000 Northwest Airlines, Inc.,
8.52%, 04/07/04............... 164,500
455,000 Northwest Airlines, Inc.,
9.88%, 03/15/07............... 361,725
430,000 Offshore Logistic,
6.13%, 06/15/13............... 433,225
------------
5,948,140
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
APPAREL: MANUFACTURING -- 2.7%
$1,245,000 GFSI, Inc., Series B,
9.63%, 03/01/07............... $ 1,064,475
1,325,000 Oxford Industries, Inc. -- 144A,
8.88%, 06/01/11............... 1,397,875
620,000 Phillips Van-Heusen -- 144A,
8.13%, 05/01/13............... 639,375
970,000 Tropical Sportswear
International, Series A,
11.00%, 06/15/08.............. 1,003,950
1,345,000 William Carter, Series B,
10.88%, 08/15/11.............. 1,526,575
------------
5,632,250
------------
APPAREL: RETAIL -- 0.7%
1,295,000 Mothers Work, Inc.,
11.25%, 08/01/10.............. 1,405,075
------------
AUTOMOBILE -- 0.1%
300,000 General Motors,
7.13%, 07/15/13............... 298,188
------------
AUTOMOBILE: RENTAL -- 0.1%
310,000 Williams Scotsman, Inc.,
9.88%, 06/01/07............... 305,350
------------
AUTOMOTIVE EQUIPMENT -- 2.4%
1,580,000 Collins & Aikman, Series B,
9.75%, 02/15/10............... 1,659,000
900,000 Dana Corp.,
10.13%, 03/15/10.............. 996,750
790,000 Dura Operating Corp., Series B,
8.63%, 04/15/12............... 813,700
365,000 Rexnord Corp. -- 144A,
10.13%, 12/15/12.............. 403,325
510,000 Tenneco Automotive,
Inc. -- 144A,
10.25%, 07/15/13.............. 518,925
545,000 TRW Automotive, Inc. -- 144A,
11.00%, 02/15/13.............. 596,775
------------
4,988,475
------------
BROADCAST SERVICES/MEDIA -- 7.4%
1,160,000 Charter Communication Holdings,
10.00%, 04/01/09.............. 893,200
1,650,000 Charter Communication Holdings,
10.25%, 01/15/10.............. 1,254,000
1,305,000 Charter Communication Holdings,
zero coupon, 01/15/11(1)...... 685,125
800,000 Charter Communication Holdings,
10.00%, 05/15/11.............. 580,000
425,000 Charter Communications LLC,
10.75%, 10/01/09.............. 331,500
</Table>
See notes to financial statements.
136
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
$ 285,000 Charter Communications LLC,
zero coupon, 04/01/11(1)...... $ 188,813
1,265,000 Corus Entertainment, Inc.,
8.75%, 03/01/12............... 1,366,200
95,000 CSC Holdings, Inc.,
7.88%, 12/15/07............... 97,613
400,000 CSC Holdings, Inc.,
10.50%, 05/15/16.............. 438,000
350,000 DirecTV Holdings -- 144A,
8.38%, 03/15/13............... 392,000
70,000 Echostar DBS Corp.,
9.13%, 01/15/09............... 78,575
325,000 Entravision Communication Corp.,
8.13%, 03/15/09............... 339,625
70,000 Granite Broadcasting Corp.,
9.38%, 12/01/05............... 69,650
1,855,000 Insight Communications,
zero coupon, 02/15/11(1)...... 1,548,924
305,000 Lodgenet Entertainment,
9.50%, 06/15/13............... 314,150
120,000 Mediacom Broadband LLC,
11.00%, 07/15/13.............. 134,100
1,015,000 Nexstar Financial Holdings LLC,
Inc. -- 144A,
zero coupon, 04/01/13(1)...... 681,319
360,000 Nextmedia Operating, Inc.,
10.75%, 07/01/11.............. 405,000
580,000 ONO Finance PLC,
13.00%, 05/01/09.............. 456,025
900,000 ONO Finance PLC,
14.00%, 02/15/11.............. 707,625
1,165,000 Paxson Communications,
zero coupon, 01/15/09(1)...... 978,600
1,000,000 Pegasus Communications Corp.,
Series B,
9.63%, 10/15/05............... 920,000
250,000 Pegasus Communications Corp.,
Series B,
9.75%, 12/01/06............... 228,750
765,000 Pegasus Satellite,
12.38%, 08/01/06.............. 719,100
1,940,000 Pegasus Satellite -- 144A,
11.25%, 01/15/10.............. 1,823,599
------------
15,631,493
------------
CHEMICALS -- 4.9%
1,290,000 Avecia Group PLC,
11.00%, 07/01/09.............. 1,173,900
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
CHEMICALS (CONTINUED)
$ 655,000 Equistar Chemical -- 144A,
10.63%, 05/01/11.............. $ 674,650
720,000 Hercules, Inc.,
11.13%, 11/15/07.............. 842,400
1,050,000 HMP Equity Holdings Corp.,
zero coupon, 05/15/08......... 535,500
1,095,000 IMC Global, Inc.,
7.63%, 11/01/05............... 1,166,175
675,000 IMC Global, Inc., Series B,
11.25%, 06/01/11.............. 705,375
230,000 Lyondell Chemical Company,
9.50%, 12/15/08............... 219,650
900,000 Lyondell Chemical Company,
11.13%, 07/15/12.............. 927,000
550,000 Lyondell Chemical Company,
Series A,
9.63%, 05/01/07............... 541,750
360,000 Macdermid, Inc.,
9.13%, 07/15/11............... 404,100
530,000 Methanex Corp.,
8.75%, 08/15/12............... 596,250
225,000 Noveon, Inc., Series B,
11.00%, 02/28/11.............. 256,500
1,870,000 OM Group Inc.,
9.25%, 12/15/11............... 1,832,600
210,000 Texas Petrochemical Corp.,
11.13%, 07/01/06(b)........... 57,750
460,000 United Industries Corp. -- 144A,
9.88%, 04/01/09............... 487,600
------------
10,421,200
------------
COMMERCIAL SERVICES -- 0.4%
840,000 Coinmach Corp.,
9.00%, 02/01/10............... 903,000
------------
COMPUTER SOFTWARE AND SERVICES -- 0.5%
365,000 Cooperative Computing -- 144A,
10.50%, 06/15/11.............. 375,950
680,000 Digitalnet, Inc. -- 144A,
9.00%, 07/15/10............... 680,000
------------
1,055,950
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.6%
440,000 Danka Business Systems -- 144A,
11.00%, 06/15/10.............. 435,600
1,940,000 Xerox Capital Trust I,
8.00%, 02/01/27............... 1,648,999
610,000 Xerox Corp.,
7.13%, 06/15/10............... 612,288
</Table>
See notes to financial statements.
137
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT (CONTINUED)
$ 610,000 Xerox Corp.,
7.63%, 06/15/13............... $ 613,813
------------
3,310,700
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.3%
1,405,000 Associated Materials, Inc.,
9.75%, 04/15/12............... 1,540,231
1,085,000 Dayton Superior Corp. -- 144A,
10.75%, 09/15/08.............. 1,079,575
70,000 Ryland Group, Inc.,
9.75%, 09/01/10............... 80,850
------------
2,700,656
------------
CONSUMER GOODS AND SERVICES -- 2.2%
520,000 Amscan Holdings, Inc.,
9.88%, 12/15/07............... 530,400
1,520,000 Fedders North America,
9.38%, 08/15/07............... 1,269,200
245,000 Fedders North America, Series B,
9.38%, 08/15/07............... 204,575
300,000 Mobile Mini, Inc. -- 144A,
9.50%, 07/01/13............... 312,000
780,000 Resolution Performance,
9.50%, 04/15/10............... 815,100
1,125,000 Resolution Performance,
13.50%, 11/15/10.............. 1,130,625
285,000 Weight Watchers International,
Inc.,
13.00%, 10/01/09.............. 329,175
------------
4,591,075
------------
CONTAINERS AND PACKAGING -- 3.6%
455,000 Bway Corp. -- 144A,
10.00%, 10/15/10.............. 464,100
390,000 Consolidated Container Company,
10.13%, 07/15/09.............. 236,925
365,000 Crown Euro Holdings SA -- 144A,
9.50%, 03/01/11............... 396,025
1,990,000 Crown Euro Holdings SA 144A,
10.88%, 03/01/13.............. 2,179,050
190,000 Graham Packaging, Series B,
8.75%, 01/15/08............... 190,000
320,000 Graham Packaging, Series B,
10.75%, 01/15/09.............. 331,200
125,000 Graphic Packaging Corp.,
8.63%, 02/15/12............... 128,125
180,000 Hexcel Corp. -- 144A,
9.88%, 10/01/08............... 198,900
300,000 Kappa Beheer BV,
10.63%, 07/15/09.............. 322,875
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
CONTAINERS AND PACKAGING (CONTINUED)
$1,150,000 Owens-Brockway Glass
Containers -- 144A,
8.25%, 05/15/13............... $ 1,207,500
870,000 Riverwood International,
10.88%, 04/01/08.............. 896,100
640,000 Smurfit-Stone Container Corp.,
8.25%, 10/01/12............... 689,600
270,000 Stone Container Corp.,
8.38%, 07/01/12............... 290,925
------------
7,531,325
------------
DISTRIBUTION -- 0.1%
300,000 Aviall, Inc. -- 144A,
7.63%, 07/01/11............... 305,625
------------
ELECTRONICS -- 1.7%
775,000 Muzak LLC,
10.00%, 02/15/09.............. 815,688
1,380,000 Muzak LLC,
9.88%, 03/15/09............... 1,317,900
650,000 Muzak LLC,
zero coupon, 03/15/10(1)...... 523,250
905,000 Sanmina-Sci Corp. -- 144A,
10.38%, 01/15/10.............. 1,013,600
------------
3,670,438
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.9%
760,000 Allied Waste North America
Industries, Inc., -- 144A,
9.25%, 09/01/12............... 841,700
1,380,000 Allied Waste North America
Industries, Inc., Series B,
10.00%, 08/01/09.............. 1,473,150
1,550,000 Synagro Technologies, Inc.,
9.50%, 04/01/09............... 1,666,250
------------
3,981,100
------------
FINANCIAL SERVICES -- 2.0%
745,000 Arch Western Finance -- 144A,
6.75%, 07/01/13............... 767,350
405,000 IOS Capital LLC,
7.25%, 06/30/08............... 397,913
1,350,000 MDP Acquisitions PLC,
9.63%, 10/01/12............... 1,498,500
1,325,000 Orion Power Holdings Inc.,
12.00%, 05/01/10.............. 1,543,625
------------
4,207,388
------------
</Table>
See notes to financial statements.
138
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FOOD AND BEVERAGE -- 4.6%
$1,130,000 American Seafood Group LLC,
10.13%, 04/15/10.............. $ 1,288,200
590,000 Burns, Philp and Company,
Ltd. -- 144A,
9.50%, 11/15/10............... 622,450
815,000 Burns, Philp and Company,
Ltd. -- 144A,
9.75%, 07/15/12............... 798,700
1,365,000 Doane Pet Care Company,
10.75%, 03/01/10.............. 1,494,675
485,000 Dominos, Inc. -- 144A,
8.25%, 07/01/11............... 503,188
305,000 Le-Natures, Inc. -- 144A,
9.00%, 06/15/13............... 315,675
795,000 Luigino's, Inc.,
10.00%, 02/01/06.............. 830,775
295,000 Merisant Company -- 144A,
9.50%, 07/15/13............... 306,800
1,700,000 Michael Foods, Series B,
11.75%, 04/01/11.............. 1,963,500
1,589,000 New World Pasta Company,
9.25%, 02/15/09............... 508,480
1,000,000 Premier International Foods PLC,
12.00%, 09/01/09.............. 1,125,000
------------
9,757,443
------------
LEISURE AND RECREATION -- 9.0%
350,000 Ameristar Casinos, Inc.,
10.75%, 02/15/09.............. 398,563
420,000 AMF Bowling Worldwide,
13.00%, 02/28/08.............. 459,900
625,000 Bally Total Fitness
Holding -- 144A,
10.50%, 07/15/11.............. 628,125
1,080,000 Carmike Cinemas,
10.38%, 02/01/09.............. 1,139,400
400,000 Extended Stay America, Inc.,
9.88%, 06/15/11............... 432,000
145,000 Hard Rock Hotel, Inc. -- 144A,
8.88%, 06/01/13............... 152,250
185,000 HMH Properties, Inc., Series B,
7.88%, 08/01/08............... 188,700
1,040,000 Hockey Company,
11.25%, 04/15/09.............. 1,149,200
640,000 Hollywood Casino Shreveport,
13.00%, 08/01/06(a)........... 438,400
275,000 John Q. Hamons Hotels, Series B,
8.88%, 05/15/12............... 290,125
1,000,000 Kerzner International,
8.88%, 08/15/11............... 1,087,500
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
LEISURE AND RECREATION (CONTINUED)
$1,000,000 Majestic Star LLC, Series B,
10.88%, 07/01/06.............. $ 1,051,250
300,000 Mandalay Resort Group,
9.50%, 08/01/08............... 345,000
1,085,000 Mandalay Resort Group, Series B,
10.25%, 08/01/07.............. 1,231,475
805,000 MGM Mirage, Inc.,
9.75%, 06/01/07............... 917,700
1,125,000 Penn National Gaming, Inc.,
Series B,
11.13%, 03/01/08.............. 1,251,563
190,000 Royal Caribbean Cruises,
7.25%, 08/15/06............... 194,750
125,000 Royal Caribbean Cruises,
8.00%, 05/15/10............... 130,625
2,000,000 Royal Caribbean Cruises,
8.75%, 02/02/11............... 2,129,999
390,000 Royal Caribbean Cruises,
7.25%, 03/15/18............... 353,925
470,000 Six Flags, Inc.,
9.50%, 02/01/09............... 465,300
605,000 Six Flags, Inc. -- 144A,
9.75%, 06/15/07............... 601,975
1,785,000 Venetian Casino Resort/Las Vegas
Sands,
11.00%, 06/15/10.............. 2,021,512
1,800,000 Waterford Gaming LLC -- 144A,
8.63%, 09/15/12............... 1,899,000
300,000 Worldspan LP/WS Financial
Corp. -- 144A,
9.63%, 06/15/11............... 310,500
------------
19,268,737
------------
MACHINERY -- 2.0%
725,000 Flowserve Corp.,
12.25%, 08/15/10.............. 848,250
1,350,000 Terex Corp.,
9.25%, 07/15/11............... 1,458,000
1,345,000 Terex Corp., Series B,
10.38%, 04/01/11.............. 1,492,950
470,000 The Manitowoc Company, Inc.,
10.50%, 08/01/12.............. 524,050
------------
4,323,250
------------
MANUFACTURING -- 1.7%
465,000 Avondale Mills, Inc. -- 144A,
10.25%, 07/01/13.............. 466,163
885,000 Dresser, Inc.,
9.38%, 04/15/11............... 915,974
</Table>
See notes to financial statements.
139
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
MANUFACTURING (CONTINUED)
$ 95,000 Fastentech, Inc. -- 144A,
11.50%, 05/01/11.............. $ 95,950
490,000 Foamex LP,
10.75%, 04/01/09.............. 394,450
445,000 Louisiana Pacific Corp.,
10.88%, 11/15/08.............. 509,525
340,000 Tekni-Plex, Inc. -- 144A,
12.75%, 06/15/10.............. 333,200
545,000 Transdigm, Inc.,
10.38%, 12/01/08.............. 593,467
720,000 Venture Holdings Trust, Series
B,
9.50%, 07/01/05(b)............ 203,400
------------
3,512,129
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.9%
565,000 Magellan Health
Services -- 144A,
9.38%, 11/15/07(b)............ 567,825
1,030,000 Pacificare Health System,
10.75%, 06/01/09.............. 1,187,075
450,000 Rotech Healthcare, Inc.,
9.50%, 04/01/12............... 464,625
660,000 Select Medical Corp.,
9.50%, 06/15/09............... 720,225
1,100,000 Vanguard Health Systems,
9.75%, 08/01/11............... 1,100,000
------------
4,039,750
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.4%
1,060,000 Advanced Medical Optics,
9.25%, 07/15/10............... 1,155,400
120,000 Alliance Imaging,
10.38%, 04/15/11.............. 126,000
175,000 Hanger Orthopedic Group, Inc.,
10.38%, 02/15/09.............. 194,250
1,375,000 Medquest, Inc., Series B,
11.88%, 08/15/12.............. 1,436,875
------------
2,912,525
------------
METALS AND MINING -- 0.7%
275,000 AK Steel Corp.,
7.88%, 02/15/09............... 235,125
190,000 AK Steel Corp.,
7.75%, 06/15/12............... 158,650
495,000 United States Steel LLC,
10.75%, 08/01/08.............. 522,225
485,000 United States Steel LLC,
9.75%, 05/15/10............... 494,700
------------
1,410,700
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL AND GAS: PIPELINES -- 6.2%
$ 365,000 ANR Pipeline Company -- 144A,
8.88%, 03/15/10............... $ 400,588
925,000 Dynegy Holdings, Inc.,
8.13%, 03/15/05............... 904,188
440,000 Dynegy Holdings, Inc.,
7.45%, 07/15/06............... 421,300
1,900,000 Dynegy Holdings, Inc.,
6.88%, 04/01/11............... 1,605,500
195,000 Dynegy Holdings, Inc.,
7.63%, 10/15/26............... 159,900
2,610,000 El Paso Corp.,
7.00%, 05/15/11............... 2,388,149
690,000 Gulfterra Energy
Partner -- 144A,
8.50%, 06/01/10............... 741,750
685,000 Gulfterra Energy
Partner -- 144A,
10.63%, 12/01/12.............. 794,600
630,000 Gulfterra Energy Partner, Series
B,
8.50%, 06/01/11............... 677,250
380,000 Northwest Pipeline Corp.,
8.13%, 03/01/10............... 410,400
780,000 Southern Natural Gas,
8.00%, 03/01/32............... 847,275
275,000 Southern Natural Gas -- 144A,
8.88%, 03/15/10............... 301,125
1,100,000 Transmontaigne, Inc. -- 144A,
9.13%, 06/01/10............... 1,164,625
1,030,000 Williams Companies, Inc.,
8.63%, 06/01/10............... 1,081,500
1,235,000 Williams Companies, Inc., Series
A,
6.75%, 01/15/06(c)............ 1,222,650
------------
13,120,800
------------
OIL, COAL AND GAS -- 5.1%
630,000 AmeriGas Partners, Series B,
8.88%, 05/20/11............... 689,850
210,000 Chesapeake Energy Corp., Series
B,
8.50%, 03/15/12............... 223,125
590,000 Clark R&M, Inc.,
8.88%, 11/15/07............... 604,750
1,840,000 Comstock Resources, Inc.,
11.25%, 05/01/07.............. 2,014,800
600,000 Continental Resources,
10.25%, 08/01/08.............. 606,000
115,000 Grey Wolf, Inc.,
8.88%, 07/01/07............... 119,025
100,000 Grey Wolf, Inc., Series C,
8.88%, 07/01/07............... 103,250
1,900,000 Petrobras International Finance,
9.13%, 07/02/13............... 1,907,125
</Table>
See notes to financial statements.
140
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$1,859,550 Port Arthur Finance Corp.,
12.50%, 01/15/09.............. $ 2,184,971
440,000 Ram Energy, Inc.,
11.50%, 02/15/08.............. 156,750
1,295,000 Sesi LLC,
8.88%, 05/15/11............... 1,398,600
1,015,000 Trico Marine Services, Inc.,
8.88%, 05/15/12............... 877,975
------------
10,886,221
------------
PAPER AND FOREST PRODUCTS -- 1.7%
1,295,000 Georgia-Pacific Corp.,
9.50%, 12/01/11............... 1,432,594
1,385,000 Georgia-Pacific Corp. -- 144A,
9.38%, 02/01/13............... 1,533,887
525,000 Longview Fibre Company,
10.00%, 01/15/09.............. 585,375
------------
3,551,856
------------
PRINTING AND PUBLISHING -- 2.1%
435,000 American Color Graphics -- 144A,
10.00%, 06/15/10.............. 435,000
300,000 American Media Operation, Series
B,
10.25%, 05/01/09.............. 325,500
1,195,000 Canwest Media, Inc.,
10.63%, 05/15/11.............. 1,368,275
405,000 CBD Media/CBD Finance -- 144A,
8.63%, 06/01/11............... 419,175
245,000 Dex Media East LLC,
9.88%, 11/15/09............... 274,400
835,000 Liberty Group Operating,
9.38%, 02/01/08............... 847,525
695,000 Vertis, Inc., Series B,
10.88%, 06/15/09.............. 698,475
------------
4,368,350
------------
REAL ESTATE DEVELOPMENT AND MANAGEMENT -- 0.2%
485,000 CBRE Escrow, Inc. -- 144A,
9.75%, 05/15/10............... 512,281
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
530,000 Host Marriott LP, Series G,
9.25%, 10/01/07............... 572,400
300,000 Host Marriott LP, Series I,
9.50%, 01/15/07............... 324,000
------------
896,400
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
RESEARCH AND DEVELOPMENT -- 0.2%
$ 210,000 Alaris Medical Systems, Inc.,
7.25%, 07/01/11............... $ 213,675
210,000 Alaris Medical Systems, Inc.,
Series B,
11.63%, 12/01/06.............. 256,200
------------
469,875
------------
RETAIL -- 1.0%
1,070,000 Hollywood Entertainment,
9.63%, 03/15/11............... 1,175,663
485,000 Jafra Cosmetics/
Distributors -- 144A,
10.75%, 05/15/11.............. 509,250
190,000 Shopko Stores,
9.25%, 03/15/22............... 175,750
215,000 Sonic Automotive, Inc., Series
D,
11.00%, 08/01/08.............. 228,975
------------
2,089,638
------------
SEMICONDUCTORS -- 2.9%
990,000 AMI Semiconductor, Inc. -- 144A,
10.75%, 02/01/13.............. 1,123,650
960,000 Amkor Technology, Inc.,
9.25%, 02/15/08............... 1,003,200
150,000 Amkor Technology, Inc.,
10.50%, 05/01/09.............. 152,250
700,000 Amkor Technology, Inc. -- 144A,
7.75%, 05/15/13............... 668,500
730,000 Chippac International, Ltd.,
Series B,
12.75%, 08/01/09.............. 824,900
1,825,000 On Semiconductor Corp.,
13.00%, 05/15/08.............. 1,852,375
645,000 SCG Holding & Semiconductor
Company,
12.00%, 08/01/09.............. 557,925
------------
6,182,800
------------
SPECIAL PURPOSE ENTITY -- 3.1%
1,159,059 Caithness Coso Funding Corp.,
Series B,
9.05%, 12/15/09............... 1,240,193
1,375,000 Chukchansi Economic Development
Authority -- 144A,
14.50%, 06/15/09.............. 1,522,813
554,271 Hollinger Participation -- 144A,
12.13%, 11/15/10.............. 624,941
590,000 Huntsman Adv. Materials -- 144A,
11.00%, 07/15/10.............. 616,550
</Table>
See notes to financial statements.
141
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
SPECIAL PURPOSE ENTITY (CONTINUED)
$ 675,000 Interline Brands, Inc. -- 144A,
11.50%, 05/15/11.............. $ 715,500
150,000 PCA LLC/PCA Finance Corp.,
11.88%, 08/01/09.............. 164,250
1,575,000 Universal City
Development -- 144A,
11.75%, 04/01/10.............. 1,736,437
------------
6,620,684
------------
SYNDICATED BANK LOANS -- 1.7%
800,000 Century Cable Holdings, Term
loan,
6.75%, 06/30/09............... 681,143
1,689,521 Huntsman Company, LLC, Term A,
6.05%, 03/31/07............... 1,564,013
826,689 Huntsman International, LLC,
Term B,
8.44%, 03/31/07............... 765,278
982,394 IPCS, Term loan,
zero coupon, 06/30/08 (b)..... 635,609
------------
3,646,043
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 7.0%
1,235,000 American Tower Corp.,
9.38%, 02/01/09............... 1,247,350
1,125,000 American Tower Escrow,
zero coupon, 08/01/08......... 731,250
620,000 Centennial Cellular/
Communications -- 144A,
10.13%, 06/15/13.............. 616,900
280,000 Centennial Communications,
10.75%, 12/15/08.............. 259,000
2,000,000 Colt Telecommunications Group
PLC,
12.00%, 12/15/06.............. 2,029,999
190,000 Crown Castle International
Corp.,
10.75%, 08/01/11.............. 208,050
610,000 Insight Midwest, L.P./Insight
Capital, Inc.,
10.50%, 11/01/10.............. 672,525
1,000,000 IWO Holdings, Inc.,
14.00%, 01/15/11.............. 185,000
535,000 LCI International, Inc.,
7.25%, 06/15/07............... 409,275
240,000 Nextel Communications,
9.95%, 02/15/08............... 252,000
580,000 Nextel Communications,
12.00%, 11/01/08.............. 626,400
1,325,000 Nextel Partners, Inc.,
12.50%, 11/15/09.............. 1,497,250
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
$ 460,000 Nextel Partners, Inc.,
11.00%, 03/15/10.............. $ 499,100
295,000 Nextel Partners, Inc.,
11.00%, 03/15/10.............. 320,075
680,000 Nextel Partners, Inc.,
8.13%, 07/01/11............... 681,700
89,717 NII Holdings, Ltd.,
zero coupon, 11/01/09(1)...... 67,548
1,455,000 Nortel Networks Corp.,
4.25%, 09/01/08............... 1,233,113
485,000 Qwest Capital Funding Corp.,
7.00%, 08/03/09............... 401,338
110,000 Qwest Corp.,
7.20%, 11/10/26............... 103,675
1,640,000 Qwest Services Corp. -- 144A,
13.50%, 12/15/10.............. 1,861,400
465,000 Rural Cellular Corp.,
9.75%, 01/15/10............... 413,850
155,000 Rural Cellular Corp., Series B,
9.63%, 05/15/08............... 137,950
335,000 Triton PCS, Inc. -- 144A,
8.50%, 06/01/13............... 361,800
202,000 Ubiquitel Operating
Company -- 144A,
zero coupon, 05/15/10(1)...... 102,010
------------
14,918,558
------------
TRANSPORTATION: SERVICES -- 0.8%
380,000 Hornbeck Offshore Services,
10.63%, 08/01/08.............. 420,850
1,115,000 Petroleum Helicopters,
9.38%, 05/01/09............... 1,255,769
------------
1,676,619
------------
UTILITIES -- 0.3%
635,000 National Waterworks, Inc.,
Series B, 10.50%, 12/01/12.... 705,644
------------
UTILITIES: ELECTRIC -- 4.8%
490,000 AES Corp.,
10.25%, 07/15/06.............. 487,550
1,160,000 AES Corp.,
8.50%, 11/01/07............... 1,107,800
143,000 AES Corp.,
9.38%, 09/15/10............... 144,430
500,000 AES Corp.,
8.88%, 11/01/27............... 412,500
70,000 AES Corp. -- 144A,
10.00%, 07/15/05.............. 72,975
</Table>
See notes to financial statements.
142
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
$ 520,000 AES Eastern Energy, Series 99-A,
9.00%, 01/02/17............... $ 552,825
1,460,000 Calpine Canada Energy Financial,
8.50%, 05/01/08............... 1,146,100
1,635,000 Calpine Corp.,
8.25%, 08/15/05............... 1,528,725
2,265,000 Calpine Corp.,
8.50%, 02/15/11............... 1,710,074
585,000 PG&E Corp. -- 144A,
6.88%, 07/15/08............... 609,131
735,000 Reliant Resources, Inc. -- 144A,
9.50%, 07/15/13............... 744,188
1,605,000 Sierra Pacific Resources,
8.75%, 05/15/05............... 1,673,213
------------
10,189,511
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $196,749,042)........... 205,052,692
------------
<Caption>
SHARES
------
COMMON STOCKS -- 0.6%
OIL AND GAS: PIPELINES -- 0.4%
120,000 Williams Companies, Inc. ....... 948,000
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.2%
1,752 FLAG Telecom Group, Ltd.(a)..... 60,454
9,710 NII Holdings, Inc. -- Class
B(a).......................... 371,613
------------
432,067
------------
TOTAL COMMON STOCKS
(Cost $2,412,283)............. 1,380,067
------------
PREFERRED STOCKS -- 1.1%
BROADCAST SERVICES/MEDIA -- 1.1%
21,730 CSC Holdings, Inc., Series M,
11.13%........................ 2,232,757
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.0%
38 Nextel Communications, Inc.,
Series D,
13.00%........................ 40,423
------------
TOTAL PREFERRED STOCKS
(Cost $2,233,145)............. 2,273,180
------------
CONVERTIBLE PREFERRED STOCKS -- 1.3%
AUTOMOTIVE EQUIPMENT -- 0.7%
58,460 General Motors Corp., Series C,
6.25%......................... 1,455,654
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ -----
CONVERTIBLE PREFERRED STOCKS (CONTINUED)
MANUFACTURING -- 0.3%
20,315 Owens-Illinois, Inc.,
4.75%......................... $ 609,450
------------
OIL AND GAS: PIPELINES -- 0.3%
11,465 Williams Companies,
Inc. -- 144A,
5.50%......................... 621,976
------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $2,571,211)............. 2,687,080
------------
WARRANTS -- 0.1%
1,125 American Tower Corp., Expires
08/01/08...................... 115,875
1,000 IPCS, Inc. -- 144A, Expires
07/15/10...................... --
1,000 IWO Holdings, Inc., Expires
01/15/11...................... --
84 New World Coffee, Expires
06/20/06...................... 1
1,000 ONO Finance, Expires 03/16/11... --
250 Ubiquitel, Inc. -- 144A, Expires
04/15/10...................... --
------------
TOTAL WARRANTS
(Cost $75,402)................ 115,876
------------
<Caption>
PRINCIPAL
- ---------
CONVERTIBLE CORPORATE BONDS AND NOTES -- 0.7%
SEMICONDUCTORS -- 0.2%
$ 190,000 Amkor Technologies, Inc.,
5.75%, 06/01/06............... 174,325
190,000 Amkor Technologies, Inc.,
5.00%, 03/15/07............... 159,838
------------
334,163
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.5%
1,030,000 Nextel Communications,
6.00%, 06/01/11............... 1,082,787
------------
TOTAL CONVERTIBLE CORPORATE
BONDS AND NOTES
(Cost $1,327,866)............. 1,416,950
------------
TOTAL SECURITIES
(Cost $205,368,949)........... 212,925,845
------------
</Table>
See notes to financial statements.
143
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
- --------- -----
REPURCHASE AGREEMENT -- 1.0%
$2,144,014 Investors Bank and Trust, dated
06/30/03, 0.75%, due 07/01/03,
repurchase proceeds at
maturity $2,144,059
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
5.42%, due 12/01/30, with a
value of $2,251,377) (Cost
$2,144,014)................... $ 2,144,014
------------
Total Investments -- 101.5%
(Cost $207,512,963)........... 215,069,859
Liabilities less other
assets -- (1.5)%.............. (3,108,951)
------------
NET ASSETS -- 100.0%............ $211,960,908
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $207,512,963.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $14,710,883
Gross unrealized....................... (7,153,987)
-----------
Net unrealized appreciation............ $ 7,556,896
===========
</Table>
- ---------------
(a) Non-income producing security.
(b) Bond is in default.
(c) Variable rate security. The rate shown was in effect at June 30, 2003.
(1) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date.
See notes to financial statements.
144
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS -- 96.2%
AEROSPACE AND DEFENSE -- 0.5%
1,627,244 Bae Systems PLC....... $ 3,833,478 BRI
------------
AIRLINES -- 0.4%
573,000 Japan Airlines System
Corp.(a)............ 1,251,571 JAP
317,000 Singapore Airlines,
Ltd. ............... 1,872,119 SIN
------------
3,123,690
------------
AUTOMOBILES -- 4.1%
65,300 Bayerische Motoren
Werke AG............ 2,514,807 GER
97,900 DaimlerChrysler
AG(a)............... 3,421,394 GER
40,000 Honda Motor Company,
Ltd. ............... 1,517,299 JAP
612,000 Mitsubishi Motors
Corp.(a)(c)......... 1,382,676 JAP
903,000 Nissan Motor Company,
Ltd. ............... 8,642,300 JAP
139,600 Renault SA............ 7,388,691 FRA
491,000 Suzuki Motor
Corp.(a)............ 6,393,848 JAP
------------
31,261,015
------------
BANKS -- 12.4%
651,883 ABN AMRO Holding
NV(a)............... 12,477,588 NET
253,690 Australia & New
Zealand Banking
Group, Ltd. ........ 3,169,322 AUS
843,200 Banco Bilbao Vizcaya
Argentaria SA....... 8,869,486 SPA
504,600 Barclays PLC.......... 3,753,921 BRI
266,600 BNP Paribas, SA....... 13,561,889 FRA
106,483 Credit Suisse
Group(c)............ 2,807,365 SWI
74,100 Deutsche Bank AG...... 4,811,269 GER
353,250 ForeningsSparbanken
AB.................. 4,881,340 SWE
292,300 Hang Seng Bank,
Ltd. ............... 3,092,507 HNG
260,700 HBOS PLC.............. 3,381,111 BRI
583,600 HSBC Holdings PLC..... 6,908,022 BRI
115,900 National Australia
Bank, Ltd. ......... 2,606,423 AUS
449,900 Royal Bank of Scotland
Group PLC........... 12,644,170 BRI
400,800 Standard Chartered
PLC................. 4,876,755 BRI
100,000 Svenska Handelsanken
AB -- Class A....... 1,638,196 SWE
103,500 UBS AG................ 5,767,435 SWI
------------
95,246,799
------------
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
BROADCAST SERVICES/MEDIA -- 1.6%
222,001 News Corp., Ltd. ..... $ 1,669,128 AUS
495,606 Reuters Group PLC..... 1,439,983 BRI
177,207 Singapore Press
Holdings, Ltd. ..... 1,841,504 SIN
394,452 Vivendi Universal
SA(c)............... 7,187,372 FRA
------------
12,137,987
------------
CHEMICALS -- 1.8%
128,900 BOC Group PLC......... 1,656,833 BRI
31,350 L'Air Liquide SA...... 4,652,759 FRA
73,600 Nitto Denko Corp. .... 2,411,405 JAP
109,800 Norsk Hydro ASA(a).... 5,398,828 NOR
200 Norsk Hydro ASA
(ADR)............... 9,830 NOR
------------
14,129,655
------------
COMMERCIAL SERVICES -- 0.2%
338,300 Brambles Industries
PLC................. 917,215 BRI
145,000 Brambles Industries,
Ltd. ............... 444,837 AUS
------------
1,362,052
------------
COMPUTER SOFTWARE AND SERVICES -- 0.5%
28,300 SAP AG................ 3,341,209 GER
16,300 SAP AG (ADR)(a)....... 476,286 GER
------------
3,817,495
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.0%
96,000 Canon, Inc.(a)........ 4,409,837 JAP
59,000 TDK Corp. ............ 2,916,799 JAP
------------
7,326,636
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 3.3%
216,200 Bouygues SA(a)........ 5,974,985 FRA
75,300 CRH PLC............... 1,181,611 IRE
254,600 CRH PLC............... 4,012,755 IRE
151,849 Holcim, Ltd. ......... 5,620,502 SWI
46,000 Rohm Company, Ltd. ... 5,019,925 JAP
351,000 Sekisui House,
Ltd.(a)............. 2,662,859 JAP
78,000 Tostem Inax Holding
Corp. .............. 1,124,969 JAP
------------
25,597,606
------------
CONSUMER GOODS AND SERVICES -- 2.8%
49,300 Altadis SA............ 1,264,992 SPA
57,700 Hoya Corp. ........... 3,978,150 JAP
53,000 L'Oreal SA............ 3,741,028 FRA
</Table>
See notes to financial statements.
145
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
194,000 Nikon Corp.(c)........ $ 1,599,550 JAP
77,000 Reckitt Benckiser
PLC................. 1,415,536 BRI
115,350 Sony Corp.(a)......... 3,250,379 JAP
313,000 Swire Pacific, Ltd. --
Class A............. 1,368,758 HNG
46,000 Unilever NV........... 2,470,628 NET
323,400 Unilever PLC.......... 2,579,662 BRI
------------
21,668,683
------------
DISTRIBUTION -- 0.4%
2,232,000 Li & Fung, Ltd. ...... 2,876,657 HNG
------------
DIVERSIFIED SERVICES -- 1.2%
1,371,600 Bombardier, Inc. --
Class B(a).......... 4,623,597 CDA
456,800 Hutchison Whampoa,
Ltd. ............... 2,782,580 HNG
237,000 Mitsubishi Corp. ..... 1,645,861 JAP
36,300 TUI AG(a)............. 540,410 GER
------------
9,592,448
------------
ELECTRONICS -- 4.4%
74,222 Advantest Corp. ...... 3,291,880 JAP
44,100 Epcos AG(a)(c)........ 568,824 GER
37,300 Hirose Electric
Company, Ltd. ...... 3,087,862 JAP
353,000 Hitachi, Ltd. ........ 1,497,932 JAP
1,939,000 Johnson Electric
Holdings, Ltd. ..... 2,399,568 HNG
10,989 Keyence Corp. ........ 2,015,490 JAP
153,800 Koninklijke (Royal)
Philips Electronics
NV.................. 2,927,948 NET
13,000 Koninklijke (Royal)
Philips Electronics
NV (ADR)............ 248,430 NET
45,500 Murata Manufacturing
Company, Ltd. ...... 1,790,413 JAP
733,000 NEC Corp.(a)(c)....... 3,666,528 JAP
69,803 Samsung Electronics
(GDR)(a)............ 10,372,566 KOR
190,000 Venture Corp.,
Ltd. ............... 1,737,081 SIN
------------
33,604,522
------------
ENGINEERING -- 0.2%
1,580,000 Singapore Technologies
Engineering,
Ltd. ............... 1,561,158 SIN
------------
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES -- 2.9%
49,300 ACOM Company, Ltd. ... $ 1,783,760 JAP
29,660 AIFUL Corp. .......... 1,266,021 JAP
459,000 Daiwa Securities
Group, Inc. ........ 2,640,350 JAP
470,000 DBS Group Holdings,
Ltd. ............... 2,749,006 SIN
36,300 Muenchener
Rueckversicherungs-
Gesellschaft
AG(a)............... 3,704,832 GER
941,000 Nikko Cordial
Corp. .............. 3,781,259 JAP
251,000 Nomura Holdings,
Inc. ............... 3,189,029 JAP
62,080 Orix Corp. ........... 3,436,525 JAP
------------
22,550,782
------------
FOOD AND BEVERAGE -- 3.9%
275,000 Compass Group PLC..... 1,485,504 BRI
802,205 Foster's Group,
Ltd. ............... 2,267,170 AUS
39,200 Groupe Danone......... 5,430,251 FRA
61,500 Heineken Holding
NV -- Class A....... 1,770,338 NET
259,943 Heineken NV........... 9,233,861 NET
50,900 Koninklijke Numico
NV(c)............... 784,096 NET
42,248 Nestle SA............. 8,732,670 SWI
------------
29,703,890
------------
INSURANCE -- 3.3%
26,400 Allianz AG(a)......... 2,196,692 GER
61,300 Assicurazioni Generali
Spa(a)(c)........... 1,422,094 ITA
348,404 ING Groep NV.......... 6,059,947 NET
329,000 Mitsui Sumitomo
Insurance Company,
Ltd. ............... 1,527,745 JAP
412,700 Prudential PLC........ 2,503,952 BRI
349,440 QBE Insurance Group,
Ltd.(a)............. 2,186,277 AUS
176,303 Swiss Re.............. 9,785,195 SWI
------------
25,681,902
------------
INTERNET SERVICES -- 1.4%
157,024 Thomson Corp.(a)...... 4,910,982 CDA
100,000 Thomson Corp.(a)...... 3,145,000 CDA
154 Yahoo Japan Corp. .... 2,503,543 JAP
------------
10,559,525
------------
</Table>
See notes to financial statements.
146
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
LEISURE AND RECREATION -- 0.2%
48,100 Accor SA.............. $ 1,741,816 FRA
------------
MANUFACTURING -- 4.5%
308,500 Assa Abloy AB......... 2,989,864 SWE
402,524 Compagnie Financiere
Richemont AG........ 6,519,210 SWI
641,000 Mitsubishi Heavy
Industries, Ltd. ... 1,661,951 JAP
1,300 NIDEC Corp. .......... 85,944 JAP
131,400 Schneider Electric
SA.................. 6,184,292 FRA
192,500 Siemens AG............ 9,453,850 GER
12,700 SMC Corp. ............ 1,070,421 JAP
607,214 Smiths Group PLC...... 7,057,039 BRI
------------
35,022,571
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 0.3%
54,600 Essilor International
SA CIE Generale
D'Optique(a)........ 2,201,907 FRA
------------
METALS AND MINING -- 2.2%
682,500 Alumina, Ltd. ........ 1,864,720 AUS
1,096,409 BHP Billiton PLC...... 5,782,141 BRI
203,975 BHP Billiton, Ltd. ... 1,183,062 AUS
59,000 Companhia Vale do Rio
Doce (CVRD) (ADR)... 1,749,940 BRA
65,000 Companhia Vale do Rio
Doce (CVRD) (ADR)... 1,803,750 BRA
63,563 Pechiney SA........... 2,284,232 FRA
407,500 WMC Resources, Ltd. .. 960,177 AUS
255,000 Xstrata PLC........... 1,696,803 BRI
------------
17,324,825
------------
OIL, COAL AND GAS -- 6.1%
1,340,000 BG Group PLC.......... 5,948,048 BRI
617,900 Eni Spa(a)............ 9,355,149 ITA
134,500 Repsol YPF SA......... 2,183,251 SPA
455,100 Royal Dutch Petroleum
Company............. 21,147,056 NET
34,000 Royal Dutch Petroleum
Company............. 1,585,080 NET
518,300 Statoil ASA(a)........ 4,414,943 NOR
112,200 Suncor Energy,
Inc. ............... 2,097,181 CDA
------------
46,730,708
------------
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
PAPER AND FOREST PRODUCTS -- 0.7%
301,500 Abitibi -- Consolidated,
Inc.(a)............. $ 1,912,591 CDA
189,000 Sumitomo Forestry
Company, Ltd. ...... 980,058 JAP
196,000 UPM -- Kymmene
Oyj(a).............. 2,863,838 FIN
------------
5,756,487
------------
PHARMACEUTICALS -- 11.0%
167,100 AstraZeneca PLC....... 6,712,868 BRI
549,728 AstraZeneca PLC....... 22,307,823 BRI
40,062 AstraZeneca PLC
(ADR)............... 1,633,328 BRI
211,500 Chugai Pharmaceutical
Company, Ltd. ...... 2,405,052 JAP
70,000 GlaxoSmithKline
PLC(c).............. 1,415,305 BRI
350,423 Novartis AG........... 13,890,455 SWI
58,800 Novo Nordisk A/S --
Class B............. 2,061,386 DEN
58,412 Roche Holding AG...... 4,589,761 SWI
150,000 Sankyo Company,
Ltd. ............... 1,793,247 JAP
388,380 Sanofi-Synthelabo
SA.................. 22,770,563 FRA
256,000 Shionogi & Company,
Ltd. ............... 3,472,380 JAP
59,000 Yamanouchi
Pharmaceutical
Company, Ltd. ...... 1,539,558 JAP
------------
84,591,726
------------
PRINTING AND PUBLISHING -- 1.6%
115,000 DAI Nippon Printing
Company, Ltd. ...... 1,217,591 JAP
689,100 Pearson PLC........... 6,447,986 BRI
57,800 Reed Elsevier NV...... 682,409 NET
220,900 Reed Elsevier PLC..... 1,841,480 BRI
63,724 VNU NV................ 1,965,488 NET
------------
12,154,954
------------
REAL ESTATE -- 1.6%
488,000 Cheung Kong Holdings,
Ltd. ............... 2,935,085 HNG
2,374,000 Hang Lung Properties,
Ltd. ............... 2,146,336 HNG
746,000 Hong Kong Land
Holdings, Ltd. ..... 932,500 HNG
426,000 Mitsubishi Estate
Company, Ltd.(a).... 2,887,353 JAP
</Table>
See notes to financial statements.
147
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
REAL ESTATE (CONTINUED)
444,000 Mitsui Fudosan
Company, Ltd.(a).... $ 2,839,083 JAP
183,000 Sun Hung Kai
Properties, Ltd. ... 924,645 HNG
------------
12,665,002
------------
RETAIL -- 3.1%
248,000 Aeon Company, Ltd. ... 5,685,702 JAP
276,600 Industria de Diseno
Textil SA........... 6,963,748 SPA
396,666 Marks & Spencer Group
PLC................. 2,070,588 BRI
76,800 Metro AG(a)........... 2,485,343 GER
19,500 SHIMAMURA Company,
Ltd. ............... 1,077,824 JAP
630,400 Woolworths, Ltd. ..... 5,298,308 AUS
------------
23,581,513
------------
SEMICONDUCTORS -- 2.6%
512,400 Arm Holdings PLC(c)... 567,557 BRI
140,000 ASML Holding NV(c).... 1,338,400 NET
29,800 ASML Holding NV(c).... 283,314 NET
129,700 Infineon Technologies
AG(c)............... 1,255,448 GER
83,200 STMicroelectronics
NV.................. 1,729,728 NET
163,900 STMicroelectronics
NV(a)............... 3,440,539 NET
373,259 Taiwan Semiconductor
Manufacturing
Company, Ltd.
(ADR)(a)............ 3,762,451 TWN
157,400 Tokyo Electron,
Ltd. ............... 7,466,494 JAP
------------
19,843,931
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 14.3%
228,500 America Movil SA de
CV -- Series L
(ADR)............... 4,284,375 MEX
272,300 BCE, Inc.(a).......... 6,238,576 CDA
434,600 Deutsche Telekom
AG(c)............... 6,639,899 GER
164,200 France Telecom
SA(a)(c)............ 4,032,006 FRA
364 Japan Telecom Holdings
Company, Ltd. ...... 1,107,628 JAP
1,113,400 Koninklijke (Royal)
KPN NV(c)........... 7,897,382 NET
2,222,000 mm02 PLC(c)........... 2,084,660 BRI
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ ------------ -------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
251 Nippon Telegraph and
Telephone Corp. .... $ 985,586 JAP
573,900 Nokia Oyj............. 9,460,894 FIN
841 NTT DoCoMo, Inc. ..... 1,822,926 JAP
187,300 Portugal Telecom SGPS
SA.................. 1,343,597 POR
7,285,000 Singapore
Telecommunications,
Ltd. ............... 6,246,650 SIN
193,100 Societe Europeenne des
Satellites (FDR).... 1,254,231 LUX
32,158 Swisscom AG........... 9,156,064 SWI
742,990 Telecom Corp. of New
Zealand, Ltd. ...... 2,285,737 NZE
235,000 Telecom Italia
Spa(a).............. 1,288,644 ITA
483,660 Telefonica SA......... 5,621,317 SPA
151,900 Telefonos de Mexico SA
de CV, Series L
(ADR)............... 4,772,698 MEX
208,300 Telus Corp. .......... 3,434,023 CDA
15,096,140 Vodafone Group PLC.... 29,573,973 BRI
31,000 Vodafone Group PLC
(ADR)(a)............ 609,150 BRI
------------
110,140,016
------------
TEXTILES -- 0.3%
1,102,000 Toray Industries,
Inc. ............... 2,563,218 JAP
------------
TOOLS -- 0.2%
53,000 Sandvik AB............ 1,388,528 SWE
------------
TRANSPORTATION -- 0.2%
487,000 Tokyu Corp. .......... 1,571,230 JAP
------------
TRANSPORTATION: SERVICES -- 0.1%
80,000 Yamato Transport
Company, Ltd. ...... 886,369 JAP
------------
UTILITIES: ELECTRIC -- 0.7%
110,800 Kansai Electric Power
Company, Inc. ...... 1,749,522 JAP
587,200 National Grid Transco
PLC................. 3,989,820 BRI
------------
5,739,342
------------
UTILITIES: GAS -- 0.2%
577,000 Centrica PLC.......... 1,676,473 BRI
------------
TOTAL COMMON STOCKS
(Cost
$795,388,672)....... 741,216,596
------------
</Table>
See notes to financial statements.
148
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
CORPORATE BONDS AND NOTES -- 0.5%
BANKS -- 0.5%
$ 1,050,000 Credit Suisse Group,
6.00%, 12/23/05..... $ 896,483 SWI
351,000,000 SMFG Finance -- 144A,
2.25%,
07/11/05(d)......... 2,710,411 JAP
------------
TOTAL CORPORATE BONDS
AND NOTES (Cost
$3,478,089)......... 3,606,894
------------
<Caption>
SHARES
------
RIGHTS -- 0.0%
AUTOMOTIVE EQUIPMENT
390,900 TI Automotive, Ltd. --
Class A(c) (Cost
$0)................. -- BRI
------------
REGULATED INVESTMENT COMPANIES -- 4.6%
20,075,864 BlackRock Tempcash
Fund(b)............. 20,075,864 USA
8,603,942 Dreyfus Cash
Management Plus
Fund(b)............. 8,603,942 USA
2,905,871 Merrill Lynch Premier
Institutional
Fund(b)............. 2,905,871 USA
3,785,734 Merrimac Cash Fund --
Premium Class(b).... 3,785,734 USA
------------
TOTAL REGULATED
INVESTMENT COMPANIES
(Cost
$35,371,411)........ 35,371,411
------------
<Caption>
PRINCIPAL
---------
SHORT TERM CORPORATE NOTES -- 3.6%
$ 1,147,192 Canadian Imperial Bank
of Commerce,
Floating Rate,
1.54%,
11/04/03(+)(b)...... 1,147,192 USA
2,867,981 Goldman Sachs Group,
Inc., Floating Rate,
1.53%,
07/02/03(+)(b)...... 2,867,981 USA
4,588,769 Goldman Sachs Group,
Inc., Floating Rate,
1.21%,
08/04/03(+)(b)...... 4,588,769 USA
1,835,508 Goldman Sachs Group,
Inc., Floating Rate,
1.13%,
09/17/03(+)(b)...... 1,835,508 USA
</Table>
<Table>
<Caption>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 573,596 Merrill Lynch &
Company, Floating
Rate, 1.62%,
11/26/03(+)(b)...... $ 573,596 USA
2,294,385 Morgan Stanley,
Floating Rate,
1.43%,
09/26/03(+)(b)...... 2,294,385 USA
14,339,903 Morgan Stanley,
Floating Rate,
1.43%,
12/16/03(+)(b)...... 14,339,903 USA
------------
TOTAL SHORT TERM
CORPORATE NOTES
(Cost
$27,647,334)........ 27,647,334
------------
TIME DEPOSITS -- 2.4%
2,867,981 American Express
Centurion Bank,
1.26%,
07/07/03(b)......... 2,867,981 USA
2,294,385 Bank of Montreal,
1.08%,
07/02/03(b)......... 2,294,385 USA
473,475 Bank of Montreal,
1.15%,
07/09/03(b)......... 473,475 USA
5,735,961 Bank of Novia Scotia,
1.03%,
07/08/03(b)......... 5,735,961 USA
3,441,577 Credit Agricole
Indosuez,
0.94%,
07/01/03(b)......... 3,441,577 USA
1,835,508 Credit Agricole
Indosuez,
1.05%,
08/26/03(b)......... 1,835,508 USA
1,147,192 Den Danske Bank,
1.04%,
07/24/03(b)......... 1,147,192 USA
1,147,192 Royal Bank of
Scotland, 1.05%,
07/28/03(b)......... 1,147,192 USA
------------
TOTAL TIME DEPOSITS
(Cost
$18,943,271)........ 18,943,271
------------
COMMERCIAL PAPER -- 0.1%
1,147,191 Morgan Stanley,
Floating Rate,
1.46%,
01/29/03(+)(b) (Cost
$1,147,191)......... 1,147,191 USA
------------
TOTAL SECURITIES (Cost
$881,975,968)....... 827,932,697
------------
</Table>
See notes to financial statements.
149
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
REPURCHASE AGREEMENTS -- 3.1%
$ 22,426,265 With Investors Bank
and Trust, dated
06/30/03, 0.75%, due
07/01/03, repurchase
proceeds at maturity
$22,426,733
(Collateralized by
Fannie Mae
Adjustable Rate
Mortgage, 3.20%, due
01/01/31, with a
value of $1,018,724
and by Fannie Mae,
5.56%, due 07/01/32,
with a value of
$22,528,856)........ $ 22,426,265 USA
1,147,192 With Morgan Stanley,
dated 06/30/03,
1.48%, due 07/01/03,
repurchase proceeds
at maturity
$1,147,239
(Collateralized by
Vodafone Group PLC,
7.75%, due 02/15/10,
with a value of
$2,846, Verizon
Global Funding
Corp., 6.875%, due
06/15/12, with a
value of $331,
Prudential Funding
LLC, 6.60%, due
05/15/08, with a
value of $195,377,
Jersey Central Power
& Lighting Company,
4.80%, due 06/15/18,
with a value of
$10,988, Corporation
Andina de Fomento,
7.375%, due
01/18/11, with a
value of $273,708,
Abbey National
Capital Trust,
8.963%, due
06/30/30, with a
value of $569,645
and Vodafone Group
PLC, 7.875%, due
02/15/30, with a
value of
$102,874)(b)........ 1,147,192 USA
------------
TOTAL REPURCHASE
AGREEMENTS (Cost
$23,573,457)........ 23,573,457
------------
Total
Investments -- 110.5%
(Cost
$905,549,425)....... 851,506,154
Liabilities less other
assets -- (10.5)%... (81,158,939)
------------
NET ASSETS --100.0%... $770,347,215
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2003 is $905,549,425.
The following amount is based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........ $ 61,576,569
Gross unrealized depreciation........ (115,619,840)
-------------
Net unrealized depreciation.......... $ (54,043,271)
=============
</Table>
- ---------------
(a) All or part of the security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(d) Principal amount shown for this debt security is denominated in Japanese
yen.
(ADR) American Depository Receipt.
(FDR) Foreign Depository Receipt.
(GDR) Global Depository Receipt.
(+) Variable rate security. Interest rate is based on the Federal Funds Rate.
The rate shown was in effect at June 30, 2003.
See notes to financial statements.
150
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2003
(UNAUDITED)
<Table>
<Caption>
PERCENT OF TOTAL
COUNTRY COMPOSITION INVESTMENTS AT VALUE
- ------------------- --------------------
Australia (AUS)...................... 2.54%
Berlin (BER)......................... 0.11%
Brazil (BRA)......................... 0.42%
Canada (CDA)......................... 3.10%
China (CHI).......................... 0.10%
Denmark (DEN)........................ 0.24%
Finland (FIN)........................ 1.45%
France (FRA)......................... 10.23%
Germany (GER)........................ 4.86%
Great Britain (BRI).................. 17.48%
Hong Kong (HNG)...................... 2.18%
Ireland (IRE)........................ 0.61%
Italy (ITA).......................... 1.42%
Japan (JAP).......................... 15.42%
Korea (KOR).......................... 1.22%
Luxembourg (LUX)..................... 0.15%
Mexico (MEX)......................... 1.06%
Netherlands (NET).................... 8.93%
New Zealand (NZE).................... 0.27%
Norway (NOR)......................... 1.15%
Portugal (POR)....................... 0.16%
Singapore (SIN)...................... 1.88%
Spain (SPA).......................... 2.92%
Sweden (SWE)......................... 1.28%
Switzerland (SWI).................... 7.85%
Taiwan (TWN)......................... 0.44%
United States (USA).................. 12.53%
------
TOTAL PERCENTAGE..................... 100.00%
======
</Table>
See notes to financial statements.
151
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION AND BUSINESS
Diversified Investors Portfolios (the "Series Portfolio"), a series trust
organized on September 1, 1993, under the laws of the State of New York, is
composed of sixteen different series that are, in effect, separate investment
funds: the Money Market Portfolio, the High Quality Bond Portfolio, the
Intermediate Government Bond Portfolio, the Core Bond Portfolio, the Balanced
Portfolio, the Value & Income Portfolio, the Growth & Income Portfolio, the
Equity Growth Portfolio, the Mid-Cap Value Portfolio, the Mid-Cap Growth
Portfolio, the Small-Cap Value Portfolio, the Special Equity Portfolio, the
Small-Cap Growth Portfolio, the Aggressive Equity Portfolio, the High-Yield Bond
Portfolio, and the International Equity Portfolio (each a "Series"). The
Declaration of Trust permits the Board of Trustees to issue an unlimited number
of beneficial interests in each Series. Investors in a Series (e.g., investment
companies, insurance company separate accounts and common and commingled trust
funds) will each be liable for all obligations of that Series (and of no other
Series).
2. SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Short-term securities having remaining maturities of 60 days or less are valued
at amortized cost, which approximates value. The amortized cost of a security is
determined by valuing it at original cost and thereafter amortizing any discount
or premium at a constant rate until maturity. Equity securities are valued at
the last sale price on the exchange on which they are primarily traded or at the
bid price on the Nasdaq system for unlisted national market issues, or at the
last quoted bid price for securities not reported on the Nasdaq system. Bonds
are valued at the mean of the last available bid and asked prices by an
independent pricing service. All other securities will be valued at their fair
value as determined by the Board of Trustees.
B. REPURCHASE AGREEMENTS
Each Series, along with other affiliated entities of the investment advisor, may
enter into repurchase agreements with financial institutions deemed to be
creditworthy by the Series investment advisor, subject to the seller's agreement
to repurchase and the Series agreement to resell such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
segregated at the custodian and, pursuant to the terms of the repurchase
agreements, must have an aggregate market value greater than or equal to 102%
for domestic securities and 105% for international securities of the repurchase
price at all times. If the value of the underlying securities falls below the
value of the repurchase price, the Series will require the seller to deposit
additional collateral by the next business day. If the request for additional
collateral is not met or the seller defaults on its repurchase obligation, the
Series maintains the right to sell the underlying securities at market value and
may claim any resulting loss against the seller. However, in the event of
default or bankruptcy by the seller, realization and/or retention of the
collateral may be subject to legal proceedings.
C. FOREIGN CURRENCY TRANSLATION
The accounting records of each Series are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and liabilities
denominated in a foreign currency are translated to U.S. dollars based on the
prevailing exchange rates each business day. Income and expenses denominated in
foreign currencies are translated at prevailing exchange rates when accrued or
incurred.
The Series does not isolate realized gains and losses attributable to changes in
exchange rates from gains and losses that arise from changes in the market value
of investments. Such fluctuations are included with net realized and unrealized
gains or losses on securities. Net realized gains and losses on foreign currency
transactions represent net foreign exchange gains and losses on disposition of
foreign currencies and foreign currency forward contracts, and the difference
between the amount of investment income receivable and
152
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
foreign withholding taxes receivable recorded on the Series' books and the U.S.
dollar equivalent of amounts actually received or paid. Net unrealized foreign
exchange gains and losses arise from changes in the value of assets and
liabilities (other than investments in securities) and foreign currency forward
contracts, resulting from changes in the prevailing exchange rates.
D. FOREIGN CURRENCY FORWARD CONTRACTS
Each Series, with the exception of the Money Market Series, may enter into
foreign currency forward contracts and forward cross currency contracts in
connection with settling planned purchases or sales of securities or to hedge
the currency exposure associated with some or all of the Series' portfolio
securities. A foreign currency forward contract is an agreement between two
parties to buy and sell a currency at a set price on a future date. The market
value of a foreign currency forward contract fluctuates with changes in forward
currency exchange rates. Foreign currency forward contracts are marked to market
daily and the change in value is recorded by the Series as an unrealized foreign
exchange gain or loss. When a foreign currency forward contract is extinguished,
through delivery or by entering into another offsetting foreign currency forward
contract, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value of the
contract at the time it was extinguished. These contracts may involve market
risk in excess of the unrealized gain or loss reflected in the Series' Statement
of Assets and Liabilities and Statement of Operations. In addition, the Series
could be exposed to risk if the counterparties are unable to meet the terms of
the contracts or if the value of the currency changes unfavorably to the U.S.
dollar.
E. OPTIONS
Each Series, with the exception of the Money Market Series, may purchase and
write (sell) call and put options on securities indices for the purpose of
protecting against an anticipated decline in the value of the securities held by
that Series. Index options are marked to market daily and the change in value is
recorded by the Series as an unrealized gain or loss. A realized gain or loss
equal to the difference between the exercise price and the value of the index is
recorded by the Series upon cash settlement of the option. The use of index
options may expose the Series to the risk that trading in such options may be
interrupted if trading in certain securities included in the index is
interrupted or the value of the securities in the index may not move in direct
correlation with the movements of the Series portfolio. In addition, there is
the risk the Series may not be able to enter into a closing transaction because
of an illiquid secondary market.
Transactions in options written for the period ended June 30, 2003 were as
follows:
<Table>
<Caption>
CORE BOND BALANCED
-------------------- --------------------
NUMBER OF NUMBER OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
--------- -------- --------- --------
Options outstanding at beginning of period............. -- $ -- -- $ --
Options written........................................ 156 181,950 24 25,416
Options terminated in closing purchase transactions.... (72) (61,605) (15) (12,522)
Options expired........................................ -- -- -- --
--- -------- --- --------
Options outstanding at June 30, 2003................... 84 $120,345 9 $ 12,894
=== ======== === ========
</Table>
153
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
F. FUTURES CONTRACTS
Each Series may invest in futures contracts solely for the purpose of hedging
its existing portfolio securities, or securities that the Series intends to
purchase, against fluctuations in fair value caused by changes in prevailing
market or interest rates.
Initial margin deposits made in cash upon entering into futures contracts are
recognized as assets due from the broker (the Series agent in acquiring the
futures position). During the period the futures contract is open, changes in
the value of the contract are recognized as unrealized gains or losses by
"marking to market" on a daily basis to reflect the daily market value of the
contract.
Variation margin payments are received or made by each Series each day,
depending upon the daily fluctuations in the fair value of the underlying
instrument. Each Series recognizes an unrealized gain or loss equal to the daily
variation margin. When the contract is closed, the Series records a realized
gain or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the basis in the contract.
Should market conditions move unexpectedly, the Series may not achieve the
anticipated benefits of the futures contracts and may realize a loss. The use of
futures transactions involves the risk of imperfect correlation in movements in
the price of futures contracts, interest rates, and the underlying hedged
assets.
Open futures contracts as of June 30, 2003:
<Table>
<Caption>
VALUE AS OF UNREALIZED
NUMBER OF EXPIRATION VALUE AT JUNE 30, APPRECIATION
SERIES CONTRACTS DESCRIPTION DATE TRADE DATE 2003 (DEPRECIATION)
- ------ --------- -------------------------------- -------------- ------------ ------------ --------------
Core Bond............ 998 Short US Treasury Notes 5 Year Future September 2003 $114,561,560 $114,894,750 $333,190
932 Short US Treasury Notes 10 Year Future September 2003 109,035,569 109,451,750 416,181
18 Short US Treasury Notes 10 Year Future December 2003 2,081,874 2,088,844 6,970
187 Short US Long Bond Future September 2003 21,771,368 21,943,281 171,913
--------
$928,254
========
Balanced............. 5 Long US Long Bond Future September 2003 $ 3,188,051 $ 3,168,281 $(19,770)
99 Short US Treasury Notes 5 Year Future September 2003 11,342,239 11,397,375 55,136
121 Short US Treasury Notes 10 Year Future September 2003 14,148,594 14,209,938 61,344
2 Short US Treasury Notes 10 Year Future December 2003 231,323 232,097 774
--------
$ 97,484
========
Special Equity....... 16 Long Russell 2000 Future September 2003 $ 3,628,387 $ 3,587,200 $(41,187)
========
</Table>
G. SHORT SALES
The Series, with the exception of the Money Market Series, may sell securities
short. A short sale is a transaction in which the Series sells securities it
does not own, but has borrowed, in anticipation of a decline in the market price
of the securities. The Series is obligated to replace the borrowed securities at
the market price at the time of replacement. The Series' obligation to replace
the securities borrowed in connection with a short sale will be fully secured by
collateral deposited with the custodian. In addition, the Series will consider
the short sale to be a borrowing by the Series that is subject to the asset
coverage requirements of the 1940 Act. Short sales by the Series involve certain
risks and special considerations. Possible losses from short sales differ from
losses that could be incurred from a purchase of a security because losses from
short sales may be unlimited, whereas losses from purchases can not exceed the
total amount invested. During the period ended June 30, 2003 the Core Bond
Series and the Balanced Series had short sales.
154
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
H. FEDERAL INCOME TAXES
It is the Series' policy to comply with the applicable provisions of the
Internal Revenue Code. Therefore, no federal income tax provision is required.
I. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis (the date the
order to buy or sell is executed). Dividend income is recorded on the
ex-dividend date. Interest income is recorded on the accrual basis and includes
amortization of premiums and accretion of discounts on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
All of the net investment income and realized and unrealized gains and losses
from security transactions are determined on each valuation day and allocated
pro rata among the investors in a Series at the time of such determination.
J. OPERATING EXPENSES
The Series Portfolio accounts separately for the assets, liabilities and
operations of each Series. Expenses directly attributable to a Series are
charged to that Series, while expenses attributable to all Series are allocated
among the series based on the relative net assets or another methodology that is
appropriate based on the circumstances.
K. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses during the
reporting period. Actual results could differ from those estimates.
155
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES
Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), formerly AUSA
Life Insurance Company, Inc. ("AUSA"), a wholly-owned subsidiary of AEGON USA,
Inc. ("AEGON"), is an affiliate of Diversified Investment Advisors, Inc. (the
"Advisor"). The Advisor is an indirect, wholly-owned subsidiary of AEGON USA,
Inc., a financial services holding company whose primary emphasis is life and
health insurance and annuity and investment products. AEGON USA is an indirect,
wholly-owned subsidiary of AEGON N.V., a Netherlands corporation which is a
publicly traded international insurance group. AUSA has sub-accounts which
invest in the corresponding Series Portfolios as follows:
<Table>
<Caption>
AUSA SUB-ACCOUNT INVESTMENT IN PORTFOLIO
- ---------------- -----------------------
Money Market................................................ 11.18%
High Quality Bond........................................... 19.98
Intermediate Government Bond................................ 28.72
Core Bond................................................... 15.79
Balanced.................................................... 36.46
Value & Income.............................................. 33.43
Growth & Income............................................. 29.07
Equity Growth............................................... 26.76
Mid-Cap Value............................................... 01.49
Mid-Cap Growth.............................................. 00.26
Small-Cap Value............................................. 00.01
Special Equity.............................................. 27.93
Small-Cap Growth............................................ 00.00
Aggressive Equity........................................... 24.85
High Yield Bond............................................. 10.87
International Equity........................................ 17.71
</Table>
The Advisor manages the assets of each Series of the Series Portfolio pursuant
to an Investment Advisory Agreement with the Series Portfolio. Subject to such
further policies as the Board of Trustees may determine, the Advisor provides
general investment advice to each Series. For its services, the Advisor receives
from each Series fees, accrued daily and payable monthly, at an annual rate
equal to the percentages specified in the table below of the corresponding
Series' average daily net assets. The Advisor is currently waiving a portion of
its investment advisory fees for certain Series.
For each Series, the Advisor has entered into Investment Subadvisory Agreements
with the subadvisors listed in the table below (each a "Subadvisor",
collectively the "Subadvisors"). It is the responsibility of a Subadvisor to
make the day-to-day investment decisions of the Series and to place the purchase
and sales orders for securities transactions of such Series, subject in all
cases to the general supervision of the Advisor. Payment of fees to the
Subadvisors is the responsibility of the Advisor, and is not an additional
expense of a Series.
For its services, the Advisor receives a fee from each Series, and the
Subadvisors receive a fee from the Advisor, at an annual rate equal to the
percentages specified in the table below of the corresponding Series' average
daily net assets.
156
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
<Table>
<Caption>
ADVISOR SUBADVISOR
PORTFOLIO SERIES PORTFOLIO SUBADVISOR FEE (%) FEE (%)
- ---------------- ---------------------------------------------- ------- ----------
Money Market Series............ Capital Management Group 0.25 0.05
High Quality Bond Series....... Merganser Capital Management Corporation 0.35 (2)
Intermediate Government Bond
Series....................... Capital Management Group 0.35 0.15
Core Bond Series............... Black Rock Advisors, Inc. 0.35 (3)
Balanced Series................ (4) 0.45(1) (5)
Value & Income Series.......... (6) 0.45 (7)
Growth & Income Series......... (8) 0.60 (9)
Equity Growth Series........... (10) 0.62 (11)
Mid-Cap Value Series........... Cramer Rosenthal McGlynn, LLC 0.67(1) (12)
Mid-Cap Growth Series.......... Dresdner RCM 0.72(1) (13)
Small-Cap Value Series......... Sterling Capital Management Investment Counsel 0.82(1) 0.50
Special Equity Series.......... (14) 0.80 (15)
Small-Cap Growth Series........ Delaware Investments 0.87(1) 0.50
Aggressive Equity Series....... McKinley Capital Management 0.97(1) (16)
High-Yield Bond Series......... Eaton Vance 0.55(1) (17)
International Equity Series.... Capital Guardian Trust Company 0.75 (18)
</Table>
- ---------------
(1) The Advisor is currently waiving a portion of its fee.
(2) 0.20% on the first $100,000,000 in average daily net assets, 0.15% on the
next $100,000,000 in average daily net assets, 0.10% on the next
$100,000,000 in average daily net assets, and 0.05% on all average daily
net assets in excess of $300,000,000.
(3) The market values of the fixed income securities of the Core Bond Series
and Balanced Series were combined to determine the fee at the rate of 0.12%
on the first $1,000,000,000 in average daily net assets and 0.05% on all
average daily net assets in excess of $1,000,000,000.
(4) Balanced Series has two subadvisors: Aeltus Investment Management, Inc. and
Black Rock Advisors, Inc. for equity and fixed income securities,
respectively.
(5) Aeltus Investment Management, Inc. received 0.20% on the first $200,000,000
in average daily net assets, 0.15% on the next $300,000,000 in average
daily net assets, 0.125% on the next $500,000,000 in average daily net
assets, and 0.10% on all average daily net assets in excess of
$1,000,000,000. Black Rock Advisors, Inc. received 0.12% on the first
$1,000,000,000 in average daily net assets, and 0.05% on all average daily
net assets in excess of $1,000,000,000 on the combined market values of the
fixed income securities of the Core Bond Series and Balanced Series.
(6) The Value & Income Series has two subadvisors: Alliance Capital Management
LP and Asset Management Group.
During the period ended June 30, 2003, the Value & Income Series executed
trades through Sanford Bernstein and Company, Inc., an affiliate of the
Subadvisor. Commissions paid for such transactions Amounted to $243,112.
(7) Asset Management Group received 0.27% on the first $300,000,000 in average
daily net assets, 0.16% on the next $700,000,000 in average daily net
assets, and 0.13% on all average daily net assets in excess of
$1,000,000,000. For the period January 1, 2003 through May 27, 2003,
Alliance Capital Management LP received 0.27% on the first $300,000,000 in
average daily net assets, 0.16% on the next $700,000,000 in average daily
net assets, and 0.13% on all average daily net assets in excess of
$1,000,000,000. For the period May 28, 2003 through June 30, 2003, Alliance
Capital Management LP received 0.27% on the
157
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
first $300,000,000 in average daily net assets, 0.15% on the next
$700,000,000 in average daily net assets, 0.12% on the next $1,000,000,000
in average daily net assets, and 0.11% on all average daily net assets in
excess of $2,000,000,000.
(8) The Growth & Income Series has two subadvisors: Aeltus Investment
Management, Inc. and Credit Suisse Asset Management.
(9) Aeltus Investment Management, Inc. received 0.15% on the first $300,000,000
in average daily net assets, 0.125% on the next $700,000,000 in average
daily net assets and 0.10% on all average daily net assets in excess of
$1,000,000,000. Credit Suisse Asset Management received 0.30% on the first
$100,000,000 in average daily net assets, 0.20% on the next $200,000,000 in
average daily net assets, 0.15% on the next $200,000,000 in average daily
net assets and 0.10% on all average daily net assets in excess of
$500,000,000.
(10) The Equity Growth Series has three subadvisors, Ark Asset Management,
Marsico Capital Management, and Dresdner RCM Global Investors.
During the period ended June 30, 2003, the Equity Growth Series executed
trades through Bank of America Securities LLC, an affiliate of the
Subadvisor. Commissions paid for such transactions Amounted to $10,703.
(11) Dresdner RCM Global Investors, Inc. received 0.22% on the first
$700,000,000 in average daily net assets, and 0.15% on all average daily
net assets in excess of $700,000,000. Ark Asset Management received 0.20%
of average daily net assets. Marsico Capital Management received 0.30% on
the first $1,000,000,000 in average daily net assets, 0.25% on the next
$1,000,000,000 in average daily net assets, and 0.27% on all average daily
net assets in excess of $2,000,000,000.
(12) 0.70% on the first $25,000,000 in average daily net assets, 0.40% on the
next $25,000,000 in average daily net assets, 0.35% on the next $50,000,000
in average daily net assets, 0.25% on the next $200,000,000 in average
daily net assets, and 0.20% on all average daily net assets in excess of
$300,000,000.
(13) 0.82% on the first $25,000,000 in average daily net assets, 0.46% on the
next $25,000,000 in average daily net assets, 0.35% on the next $50,000,000
in average daily net assets, and 0.23% on all average daily net assets in
excess of $100,000,000.
(14) The Special Equity Series has five subadvisors: Liberty Investment
Management, Inc.; Westport Asset Management, Inc.; Robertson, Stephens;
Seneca Equities Corporation; and INVESCO, Inc. Effective December 1, 2002,
Seneca Equities Corporation replaced Husic Capital.
(15) Liberty Investment Management received 0.40% on the first $250,000,000 in
average daily net assets, 0.25% on the next $250,000,000 in average daily
net assets, and 0.20% on all daily average net assets in excess of
$350,000,000. Westport Asset Management, Inc. received 0.50% of average
daily net assets. Robertson, Stephens received 0.50% on the first
$100,000,000 in average daily net assets, and 0.40% on all average daily
net assets in excess of $100,000,000. For the period January 1, 2002
through November 30, 2002, Husic Capital received 0.40% on the first
$250,000,000 in average daily net assets, 0.25% on the next $100,000,000 in
average daily net assets, and 0.20% on all average daily net assets in
excess of $350,000,000. For the period December 1, 2002 through December
31, 2002, Seneca Equity Corporation received 0.43% on the first
$200,000,000 in average daily net assets, and 0.33% on all average daily
net assets in excess of $200,000,000. INVESCO, Inc. received 0.55% on the
first $100,000,000 in average daily net assets, 0.45% on the next
$100,000,000 in average daily net assets, 0.30% on the next $100,000,000 in
average daily net assets and 0.20% on all average daily net assets in
excess of $300,000,000.
158
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
(16) 0.90% on the first $10,000,000 in average daily net assets, 0.80% on the
next $15,000,000 in average daily net assets, 0.60% on the next $25,000,000
in average daily net assets, 0.40% on the next $50,000,000 in average daily
net assets, and 0.35% on all average daily net assets in excess of
$100,000,000.
(17) 0.35% on the first $20,000,000 in average daily net assets, 0.25% on the
next $20,000,000 in average daily net assets, 0.20% on the next $85,000,000
in average daily net assets, and 0.15% on all average daily net assets in
excess of $125,000,000.
(18) 0.75% on the first $25,000,000 in average daily net assets, 0.60% on the
next $25,000,000 in average daily net assets, 0.425% on the next
$200,000,000 in average daily net assets and 0.375% on all average daily
net assets in excess of $250,000,000.
For the period ended June 30, 2003, the Advisor has voluntarily undertaken to
waive fees to the extent the expenses of a Series exceeds the following expense
caps (as a proportion of average daily net assets):
<Table>
<Caption>
FUND EXPENSE CAP
- ---- ----------------------
Money Market Series......................................... 30 basis points (b.p.)
High Quality Bond Series.................................... 40 b.p.
Intermediate Government Bond Series......................... 40 b.p.
Core Bond Series............................................ 40 b.p.
Balanced Series............................................. 50 b.p.
Value & Income Series....................................... 50 b.p.
Growth & Income Series...................................... 65 b.p.
Equity Growth Series........................................ 65 b.p.
Mid-Cap Value Series........................................ 70 b.p.
Mid-Cap Growth Series....................................... 75 b.p.
Small-Cap Value Series...................................... 85 b.p.
Special Equity Series....................................... 85 b.p.
Small-Cap Growth Series..................................... 90 b.p.
Aggressive Equity Series.................................... 100 b.p.
High-Yield Bond Series...................................... 60 b.p.
International Equity Series................................. 90 b.p.
</Table>
Certain trustees and officers of the Series Portfolio, and of Spokes that invest
in the Series Portfolio, are also directors, officers or employees of the
Advisor or its affiliates. None of the trustees so affiliated receive
compensation for services as trustees of the Series Portfolio. Similarly, none
of the Series Portfolio officers receive compensation from the Series Portfolio.
Aggregate remuneration earned by non-affiliated trustees of the Series Portfolio
from the Series Portfolio for the period ended June 30, 2003, amounted to
$21,574.
159
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. SECURITIES LENDING
All Series may lend its securities to certain member firms of the New York Stock
Exchange. The loans are collateralized at all times with cash or securities with
a market value at least 102% of the market value of the securities on loan. Any
deficiencies or excess of collateral must be delivered or transferred by the
member firms no later than the close of business on the next business day. As
with other extensions of credit, the Series may bear the risk of delay in
recovery or even loss of rights in the collateral should the borrower of the
securities fail financially.
The Series receives compensation, net of related expenses, for lending its
securities which is reported on the Statements of Operations. The reported
compensation includes interest income on short term investments purchased with
cash collateral received. At June 30, 2003, the Series loaned securities having
market values as follows:
<Table>
<Caption>
CASH COLLATERAL
MARKET VALUE RECEIVED
------------ ---------------
High Quality Bond Series.................................... $ 4,876,609 $ 5,105,000
Intermediate Government Bond Series......................... 11,204,808 11,427,000
Core Bond Series............................................ 139,102,799 142,707,860
Balanced Series............................................. 21,421,334 22,276,583
Value & Income Series....................................... 67,653,919 70,064,114
Growth & Income Series...................................... 22,919,013 24,011,854
Equity Growth Series........................................ 72,946,051 74,917,963
Mid-Cap Value Series........................................ 8,222,852 8,425,176
Mid-Cap Growth Series....................................... 19,019,073 19,679,265
Small-Cap Value Series...................................... 4,919,529 5,229,028
Special Equity Series....................................... 116,036,481 121,544,634
Small-Cap Growth Series..................................... 7,736,349 8,092,118
Aggressive Equity Series.................................... 73,217,074 75,881,490
International Equity Series................................. 79,055,510 84,258,853
</Table>
160
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. PURCHASES AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities (excluding short-term securities) for the period ended June 30, 2003,
were as follows:
<Table>
<Caption>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
High Quality Bond Series................. Government Obligations $ 28,426,464 $ 6,334,510
Other 260,297,155 123,762,002
Intermediate Government Bond Series...... Government Obligations 160,058,281 191,922,382
Other 19,154,262 20,325,662
Core Bond Series......................... Government Obligations 5,998,574,090 5,788,837,378
Other 432,511,008 321,966,742
Balanced Series.......................... Government Obligations 606,103,169 620,466,491
Other 172,165,000 155,446,843
Value & Income Series.................... Other 1,033,705,310 865,183,189
Growth & Income Series................... Other 426,889,978 406,897,106
Equity Growth Series..................... Other 582,993,911 343,335,486
Mid-Cap Value Series..................... Other 101,256,239 42,873,027
Mid-Cap Growth Series.................... Other 82,733,481 26,144,965
Small-Cap Value Series................... Other 39,496,859 5,713,750
Special Equity Series.................... Other 499,546,919 680,642,183
Small-Cap Growth Series.................. Other 38,457,976 7,125,682
Aggressive Equity Series................. Other 254,795,102 292,829,239
High Yield Bond Series................... Other 184,289,658 195,354,252
International Equity Series.............. Other 130,947,975 65,813,509
</Table>
161
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. FOREIGN CURRENCY FORWARD CONTRACTS
At June 30, 2003, the Core Bond Series, the Balanced Series and the
International Equity Series had entered into foreign currency forward contracts
which contractually obligate each Series to deliver/receive currency at
specified future dates. The open contracts were as follows:
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION/
CURRENCY FOR DATE VALUE (DEPRECIATION)
---------- ----------- ---------- ----------- --------------
CORE BOND
PURCHASE CONTRACTS:
Canadian Dollar................... 6,413,160 $ 4,604,988 07/14/03 $ 4,727,092 $ 122,104
Canadian Dollar................... 7,734,519 5,553,794 07/14/03 5,701,056 147,262
Canadian Dollar................... 6,948,338 4,989,275 07/14/03 5,121,568 132,293
Swedish Krona..................... 11,240,379 1,423,842 07/16/03 1,404,616 (19,226)
-----------
TOTAL............................. $ 382,433
===========
SALE CONTRACTS:
Canadian Dollar................... 7,139,697 $ 5,126,680 07/14/03 $ 5,262,617 $ (135,937)
Canadian Dollar................... 43,828,677 31,217,006 07/14/03 32,305,789 (1,088,783)
Euro.............................. 38,942,820 44,550,586 07/15/03 44,752,096 (201,510)
Euro.............................. 12,637,532 14,520,524 07/15/03 14,522,729 (2,205)
Swedish Krona..................... 91,449,988 11,387,081 07/16/03 11,427,742 (40,661)
Swedish Krona..................... 11,183,662 1,416,658 07/16/03 1,397,529 19,129
-----------
TOTAL............................. $(1,449,967)
===========
BALANCED
PURCHASE CONTRACTS:
Canadian Dollar................... 1,160,705 $ 833,448 07/14/03 $ 855,547 $ 22,099
Canadian Dollar................... 1,043,041 748,959 07/14/03 768,818 19,859
Canadian Dollar................... 2,085,492 1,512,102 07/14/03 1,537,200 25,098
Swedish Krona..................... 7,970,336 992,397 07/16/03 995,987 3,590
Swedish Krona..................... 2,236,953 283,359 07/16/03 279,533 (3,826)
-----------
TOTAL............................. $ 66,820
===========
SALE CONTRACTS:
Canadian Dollar................... 961,186 $ 690,183 07/14/03 $ 708,483 $ (18,300)
Canadian Dollar................... 1,073,322 770,702 07/14/03 791,138 (20,436)
Canadian Dollar................... 6,161,704 4,388,678 07/14/03 4,541,746 (153,068)
Euro.............................. 4,156,159 4,754,646 07/15/03 4,776,152 (21,506)
Euro.............................. 1,522,905 1,749,818 07/15/03 1,750,084 (266)
Swedish Krona..................... 7,970,336 993,188 07/01/03 996,715 (3,527)
Swedish Krona..................... 1,347,429 170,682 07/16/03 168,377 2,305
Swedish Krona..................... 15,632,262 1,946,483 07/16/03 1,953,434 (6,951)
-----------
TOTAL............................. $ (221,749)
===========
EQUITY GROWTH
SALE CONTRACTS:
Euro.............................. 496,605 $ 567,049 09/17/03 $ 570,898 $ (3,849)
Euro.............................. 9,907,275 11,403,472 09/17/03 11,389,404 14,068
-----------
TOTAL............................. $ 10,219
===========
</Table>
162
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION/
CURRENCY FOR DATE VALUE (DEPRECIATION)
---------- ----------- ---------- ----------- --------------
INTERNATIONAL EQUITY
PURCHASES:
Swiss Franc....................... 156,112 $ 115,758 07/01/03 $ 115,450 $ (308)
Euro.............................. 186,504 213,622 07/01/03 214,405 783
Japanese Yen...................... 4,722,051 39,997 07/01/03 39,784 (213)
Japanese Yen...................... 4,158,464 34,854 07/01/03 34,668 (186)
Japanese Yen...................... 5,015,489 42,037 07/01/03 41,813 (224)
Japanese Yen...................... 6,992,244 58,606 07/01/03 58,293 (313)
-----------
TOTAL............................. $ (461)
===========
SALE CONTRACTS:
Euro.............................. 112,829 $ 124,056 12/31/03 $ 129,089 $ (5,033)
===========
</Table>
FOREIGN CURRENCY CROSS CONTRACTS:
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT PURCHASE SALE APPRECIATION/
PURCHASE/SALE DATE CURRENT VALUE CURRENT VALUE (DEPRECIATION)
- ------------- ---------- ------------- ------------- --------------
Australian Dollar/Japanese Yen............... 09/05/03 $ 3,089,992 $ 3,005,039 $ 84,953
Canadian Dollar/Swiss Franc.................. 07/14/03 4,326,970 4,110,679 216,291
Canadian Dollar/Japanese Yen................. 07/17/03 5,763,148 5,324,103 439,045
Euro/Japanese Yen............................ 09/12/03 959,789 891,760 68,029
Euro/Japanese Yen............................ 09/30/03 13,713,552 12,654,793 1,058,759
Euro/Hong Kong Dollar........................ 10/16/03 4,466,401 4,086,770 379,631
----------
TOTAL........................................ $2,246,708
==========
</Table>
163
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. FINANCIAL HIGHLIGHTS
<Table>
<Caption>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------
INVESTMENT
FOR THE EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
----------- -------- --------------- ---------- --------------- --------- -------------- ------
MONEY MARKET
06/30/2003* 0.28%** 0.28%** 1.27%** 1.27%** N/A $ 923,856,211 0.63%
12/31/2002 0.28 0.28 1.70 1.70 N/A 864,772,946 1.72
12/31/2001 0.27 0.27 3.85 3.85 N/A 704,577,191 4.04(+)
12/31/2000 0.28 0.28 6.18 6.18 N/A 492,136,376 N/A
12/31/1999 0.28 0.28 5.06 5.06 N/A 416,768,827 N/A
12/31/1998 0.28 0.28 5.32 5.32 N/A 292,437,753 N/A
HIGH QUALITY BOND
06/30/2003* 0.38** 0.38** 3.43** 3.43** 29% 591,761,124 1.98
12/31/2002 0.38 0.38 4.36 4.36 54 439,015,018 6.21
12/31/2001 0.38 0.38 5.74 5.74 53 330,502,956 8.26(+)
12/31/2000 0.38 0.38 6.21 6.21 73 228,391,465 N/A
12/31/1999 0.38 0.38 5.78 5.78 56 199,906,097 N/A
12/31/1998 0.39 0.39 5.90 5.90 68 227,463,134 N/A
INTERMEDIATE GOVERNMENT BOND
06/30/2003* 0.38** 0.38** 3.11** 3.11** 67 296,349,891 1.69
12/31/2002 0.39 0.39 3.93 3.93 134 358,005,390 8.31
12/31/2001 0.38 0.38 5.25 5.25 40 260,795,117 6.83(+)
12/31/2000 0.37 0.37 5.82 5.82 48 208,106,902 N/A
12/31/1999 0.39 0.39 5.46 5.46 25 174,804,385 N/A
12/31/1998 0.39 0.39 5.46 5.46 70 158,574,467 N/A
CORE BOND
06/30/2003* 0.38** 0.38** 3.64** 3.64** 537 1,444,362,301 4.34
12/31/2002 0.39 0.39 4.85 4.85 462 999,624,604 9.24
12/31/2001 0.38 0.38 5.32 5.32 547 761,473,139 6.97(+)
12/31/2000 0.38 0.38 6.28 6.28 521 641,903,354 N/A
12/31/1999 0.37 0.37 5.86 5.86 307 515,721,444 N/A
12/31/1998 0.38 0.38 5.98 5.98 102 551,935,530 N/A
</Table>
- ---------------
* Unaudited.
** Annualized.
(1) Commencement of Operations, April 27, 2001.
(2) Commencement of Operations, April 15, 2002.
(+) 2001's Total Return was originally presented gross of expenses. Amounts as
previously reported of 4.37%, 8.70%, 7.24%, 7.38%, (4.75)%, (1.46)%,
(21.84)%, (19.12)%, 9.29%, (12.05)%, (1.92)%, (30.23)%, 5.94% and (16.82)%
for the Money Market, High Quality Bond, Intermediate Government Bond, Core
Bond, Balanced, Value & Income, Growth & Income, Equity Growth, Mid-Cap
Value, Mid-Cap Growth, Special Equity, Aggressive Equity, High Yield Bond,
and International Equity Portfolios, respectively, have been restated to
present them net of expenses.
164
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------
INVESTMENT
FOR THE EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
----------- -------- --------------- ---------- --------------- --------- -------------- ------
BALANCED
06/30/2003* 0.52%** 0.50%** 2.24%** 2.26%** 205% $ 403,143,104 8.07%
12/31/2002 0.52 0.50 2.63 2.65 289 375,745,612 (10.01)
12/31/2001 0.49 0.49 2.82 2.82 312 497,836,597 (5.27)(+)
12/31/2000 0.49 0.49 2.93 2.93 286 512,675,482 N/A
12/31/1999 0.52 0.50 2.46 2.48 256 525,583,903 N/A
12/31/1998 0.48 0.48 3.22 3.22 91 505,995,739 N/A
VALUE & INCOME
06/30/2003* 0.47** 0.47** 2.19** 2.19** 56 1,807,494,303 8.97
12/31/2002 0.48 0.48 1.97 1.97 31 1,553,159,805 (15.25)
12/31/2001 0.48 0.48 2.07 2.07 32 1,653,702,046 (1.98)(+)
12/31/2000 0.46 0.46 2.23 2.23 76 1,530,760,024 N/A
12/31/1999 0.46 0.46 1.75 1.75 43 1,414,634,230 N/A
12/31/1998 0.47 0.47 2.23 2.23 31 1,367,107,496 N/A
GROWTH & INCOME
06/30/2003* 0.64** 0.64** 0.96** 0.96** 50 897,886,058 9.50
12/31/2002 0.66 0.65 0.77 0.78 115 799,621,503 (22.57)
12/31/2001 0.63 0.63 0.50 0.50 153 968,765,767 (22.31)(+)
12/31/2000 0.62 0.62 0.07 0.07 80 1,172,093,970 N/A
12/31/1999 0.62 0.62 0.07 0.07 86 1,242,236,443 N/A
12/31/1998 0.63 0.63 0.30 0.30 75 771,268,461 N/A
EQUITY GROWTH
06/30/2003* 0.65** 0.65** 0.38** 0.38** 28 1,557,356,187 12.34
12/31/2002 0.65 0.65 0.22 0.22 75 1,146,889,083 (23.60)
12/31/2001 0.64 0.64 0.09 0.09 63 1,230,944,333 (20.22)(+)
12/31/2000 0.64 0.64 0.05 0.05 97 1,226,091,994 N/A
12/31/1999 0.64 0.64 0.12 0.12 44 1,266,869,154 N/A
12/31/1998 0.64 0.64 0.22 0.22 104 688,448,565 N/A
MID-CAP VALUE
06/30/2003* 0.79** 0.70** 0.45** 0.54** 67 119,337,927 15.35
12/31/2002 1.02 0.70 0.20 0.52 156 47,629,380 (15.09)
12/31/2001(1) 1.91** 0.70** (0.48)** 0.73** 87 13,632,294 8.28(+)
MID-CAP GROWTH
06/30/2003* 0.85** 0.75** (0.51)** (0.41)** 42 109,173,031 11.72
12/31/2002 0.96 0.75 (0.62) (0.41) 138 44,270,757 (25.29)
12/31/2001(1) 1.93** 0.75** (1.50)** (0.32)** 63 15,562,948 (13.27)(+)
SMALL-CAP VALUE
06/30/2003* 1.04** 0.85** 0.32** 0.51** 20 59,224,343 15.03
12/31/2002(2) 1.39** 0.85** (0.17)** 0.37** 26 17,920,226 (21.90)
</Table>
165
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------
INVESTMENT
FOR THE EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
----------- -------- --------------- ---------- --------------- --------- -------------- ------
SPECIAL EQUITY
06/30/2003* 0.84%** 0.84%** 0.13%** 0.13%** 51% $ 966,503,418 14.94%
12/31/2002 0.84 0.84 0.05 0.05 109 1,005,958,858 (24.33)
12/31/2001 0.83 0.83 (0.02) (0.02) 88 1,323,223,840 (3.09)(+)
12/31/2000 0.82 0.82 0.10 0.10 77 1,311,523,517 N/A
12/31/1999 0.84 0.84 0.13 0.13 171 1,171,034,281 N/A
12/31/1998 0.83 0.83 0.14 0.14 173 924,089,884 N/A
SMALL-CAP GROWTH
06/30/2003* 1.12** 0.90** (0.62)** (0.40)** 27 55,403,495 16.67
12/31/2002(2) 1.48** 0.90** (1.03)** (0.45)** 68 16,521,455 (15.98)
AGGRESSIVE EQUITY
06/30/2003* 1.01** 1.00** (0.45)** (0.44)** 81 305,659,348 11.00
12/31/2002 1.01 1.00 (0.60) (0.59) 87 312,299,599 (26.56)
12/31/2001 1.00 1.00 (0.72) (0.72) 98 372,579,133 (31.15)(+)
12/31/2000 0.98 0.98 (0.62) (0.62) 62 435,760,615 N/A
12/31/1999 1.01 1.00 (0.47) (0.46) 132 259,974,422 N/A
12/31/1998 1.10 1.00 (0.41) (0.31) 121 81,327,707 N/A
HIGH YIELD BOND
06/30/2003* 0.60** 0.60** 9.33** 9.33** 84 211,960,908 15.39
12/31/2002 0.61 0.60 9.15 9.16 95 208,085,535 2.19
12/31/2001 0.59 0.59 9.41 9.41 90 174,019,465 5.15(+)
12/31/2000 0.65 0.60 9.17 9.22 105 139,986,593 N/A
12/31/1999 0.61 0.60 8.45 8.46 145 124,990,408 N/A
12/31/1998 0.63 0.60 8.64 8.67 83 94,870,981 N/A
INTERNATIONAL EQUITY
06/30/2003* 0.88** 0.88** 2.13** 2.13** 10 770,347,215 7.06
12/31/2002 0.87 0.87 0.83 0.83 25 656,888,348 (16.90)
12/31/2001 0.88 0.88 0.67 0.67 28 632,888,725 (18.57)(+)
12/31/2000 0.84 0.84 0.77 0.77 46 650,534,093 N/A
12/31/1999 0.86 0.86 0.74 0.74 35 592,713,641 N/A
12/31/1998 0.88 0.87 1.05 1.06 33 320,218,173 N/A
</Table>
- ---------------
* Unaudited.
** Annualized.
(1) Commencement of Operations, April 27, 2001.
(2) Commencement of Operations, April 15, 2002.
(+) 2001's Total Return was originally presented gross of expenses. Amounts as
previously reported of 4.37%, 8.70%, 7.24%, 7.38%, (4.75)%, (1.46)%,
(21.84)%, (19.12)%, 9.29%, (12.05)%, (1.92)%, (30.23)%, 5.94% and (16.82)%
for the Money Market, High Quality Bond, Intermediate Government Bond, Core
Bond, Balanced, Value & Income, Growth & Income, Equity Growth, Mid-Cap
Value, Mid-Cap Growth, Special Equity, Aggressive Equity, High Yield Bond,
and International Equity Portfolios, respectively, have been restated to
present them net of expenses.
166
DIVERSIFIED INVESTORS PORTFOLIOS
TRUSTEES INFORMATION
(UNAUDITED)
Each portfolio is supervised by the Board of Trustees of Diversified Investors
Portfolios. The respective Trustees and officers of each Portfolio Trust and
their principal occupations during the past five years are set forth below.
Their titles may have varied during that period. Unless otherwise indicated, the
address of each Trustee and officer of Diversified Investors Portfolios is Four
Manhattanville Road, Purchase, New York 10577. Additional information about
Diversified Investors Portfolios' Trustees may be found in Diversified Investors
Portfolios' Statement of Additional Information, which is available without
charge upon request by calling 1-800-755-5801.
OFFICERS AND INTERESTED TRUSTEES:
<Table>
<Caption>
POSITION(S), LENGTH OF PRINCIPAL OCCUPATIONS DURING
NAME, ADDRESS AND AGE TIME SERVED PAST 5 YEARS, DIRECTORSHIPS HELD
- --------------------- ---------------------- -----------------------------------
Joseph P. Carusone, 37................. Treasurer since 2001 Vice President and Director,
Diversified Investment Advisors,
Inc.; Vice President, Assistant
Vice President and Assistant
Treasurer, The Bank of New York.
Robert F. Colby, 47.................... Secretary since 1993 Senior Vice President and General
Counsel, Diversified Investment
Advisors, Inc.; Vice President,
Diversified Investors Securities
Corp.; Vice President and Assistant
Secretary, of AUSA Life Insurance
Company, Inc.
John F. Hughes, 61..................... Assistant Secretary Assistant Secretary, Vice President
since 1993 and Senior Counsel, Diversified
Investment Advisors, Inc.; Vice
President, AUSA Life Insurance
Company, Inc.; Assistant Secretary,
Diversified Investors Securities
Corp.
Peter G. Kunkel, 52.................... Trustee since 2002 Senior Vice President, Chief
Operating Officer, Diversified
Investment Advisors, Inc.
Suzanne Montemurro, 38................. Assistant Treasurer Director, Diversified Investment
since 2002 Advisors, Inc.; Assistant Vice
President, The Bank of New York.
Mark Mullin, 40........................ President since 2002 President, Chairman of the Board,
Trustee since 1995 Chief Executive Officer, Vice
President, Chief Investment
Officer, Diversified Investment
Advisors, Inc.
</Table>
167
DIVERSIFIED INVESTORS PORTFOLIOS
TRUSTEES INFORMATION (CONTINUED)
(UNAUDITED)
DISINTERESTED TRUSTEES:
<Table>
<Caption>
POSITION(S), LENGTH OF PRINCIPAL OCCUPATIONS DURING
NAME, ADDRESS AND AGE TIME SERVED PAST 5 YEARS, DIRECTORSHIPS HELD
- --------------------- ---------------------- -----------------------------------
Neal M. Jewell, 68..................... Trustee since 1993 Consultant; Independent Trustee,
355 Thornridge Drive EAI Select (a registered investment
Stamford, CT 06903 company)
Robert Lester Lindsay, 68.............. Trustee since 1993 Retired
2 Huguenot Center
Tenafly, NJ 07670
Eugene M. Mannella, 49................. Trustee since 1993 Executive Vice President,
2 Orchard Neck Road Investment Management Services,
Center Moriches, NY 11934 Inc.
Joyce Galpern Norden, 63............... Trustee since 1993 Vice President, Institutional
505 Redleaf Road Advancement, Reconstructionist
Wynnewood, PA 19096 Rabbinical College
Patricia L. Sawyer, 52................. Trustee since 1993 President and Executive search
Smith & Sawyer LLP Consultant, Smith & Sawyer LLC
P.O. Box 8063
Vero Beach, FL 32963
</Table>
168
TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY, INC.
4 Manhattanville Road, Purchase, New York 10577
(914) 697-8000
DISTRIBUTOR:
Diversified Investors Securities Corp. (DISC)
4 Manhattanville Road, Purchase, New York 10577
914-697-8000
2875 (rev. 8/03)
ITEM 2. CODE OF ETHICS.
Item not applicable to semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Item not applicable to semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Item not applicable to semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required at this time.
ITEM 6. Reserved
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. Reserved
ITEM 9. CONTROLS AND PROCEDURES
(a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-CSR was recorded,
processed, summarized, and reported timely.
(b) The registrant's principal executive officer and principal financial officer
are aware of no changes in the registrant's internal control over financial
reporting that occurred during the registrant's most recent fiscal six-month
period that has materially affected, or is likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 10. Exhibits.
(a) (1) Not required at this time.
(a) (2) Separate certifications by the registrant's principal executive officer
and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley
Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of
1940, are attached.
(c) A certification by the registrant's principal executive officer and
principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940,
is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Diversified Investors Strategic Variable Funds
By /s/ Mark Mullin
Mark Mullin
Principal Executive Officer
Date August 28, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By /s/ Mark Mullin
Mark Mullin
Principal Executive officer
Date August 28, 2003
By /s/ Joseph Carusone
Joseph Carusone
Principal Financial Officer
Date August 28, 2003