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, 2004
-----------------
Date of reporting period: June 30, 2004
-----------------
ITEM 1. REPORTS TO STOCKHOLDERS.
THE DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
DIVERSIFIED INVESTORS VARIABLE FUNDS
DIVERSIFIED INVESTORS
STRATEGIC VARIABLE FUNDS
SEMI-ANNUAL REPORT
June 30, 2004
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, 2004........ 6
Statements of Changes in Net Assets -- December 31, 2003.... 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, 2004........ 22
Statements of Changes in Net Assets -- December 31, 2003.... 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 Review............................................. 34
Statements of Assets and Liabilities........................ 40
Statements of Operations.................................... 42
Statements of Changes in Net Assets -- June 30, 2004........ 44
Statements of Changes in Net Assets -- December 31, 2003.... 46
PORTFOLIO OF INVESTMENTS:
Money Market Portfolio...................................... 48
High Quality Bond Portfolio................................. 50
Intermediate Government Bond Portfolio...................... 58
Core Bond Portfolio......................................... 61
Balanced Portfolio.......................................... 74
Value & Income Portfolio.................................... 90
Growth & Income Portfolio................................... 94
Equity Growth Portfolio..................................... 100
Mid-Cap Value Portfolio..................................... 104
Mid-Cap Growth Portfolio.................................... 107
Small-Cap Value Portfolio................................... 110
Special Equity Portfolio.................................... 113
Small-Cap Growth Portfolio.................................. 124
Aggressive Equity Portfolio................................. 127
High Yield Bond Portfolio................................... 130
International Equity Portfolio.............................. 140
Notes to Financial Statements............................... 147
CALVERT SOCIAL BALANCED PORTFOLIO SEMI-ANNUAL REPORT........ I
</Table>
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
MONEY HIGH INTERMEDIATE
MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ------------ --------------- ----------- -----------
ASSETS:
Investment in the Funds, at value (Notes 1 and
2)............................................. $39,880,601 $25,097,143 $30,558,178 $61,647,495 $87,016,952
Investment in Calvert Social Balanced Portfolio
(Cost $41,171,736)............................. -- -- -- -- --
Receivable for securities sold................... -- -- -- -- --
Receivable for units purchased................... 247,034 45,830 17,183 73,500 47,348
----------- ----------- ----------- ----------- -----------
Total assets..................................... 40,127,635 25,142,973 30,575,361 61,720,995 87,064,300
----------- ----------- ----------- ----------- -----------
LIABILITIES:
Payable for units redeemed....................... 858,205 51,001 135,782 246,964 323,576
Accrued mortality and expense risk............... 30,954 24,488 30,192 60,177 85,517
----------- ----------- ----------- ----------- -----------
Total liabilities................................ 889,159 75,489 165,974 307,141 409,093
----------- ----------- ----------- ----------- -----------
NET ASSETS ATTRIBUTABLE TO ANNUITY
CONTRACTHOLDERS................................ $39,238,476 $25,067,484 $30,409,387 $61,413,854 $86,655,207
=========== =========== =========== =========== ===========
Accumulation units............................... 2,081,649 1,758,849 1,541,748 2,098,141 2,535,484
=========== =========== =========== =========== ===========
Unit value....................................... $ 18.85 $ 14.25 $ 19.72 $ 29.27 $ 34.18
=========== =========== =========== =========== ===========
</Table>
See notes to financial statements.
2
<Table>
<Caption>
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL
INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ------------ ------------ ------------ ----------- ---------- ------------- -----------
$325,402,380 $131,206,395 $217,582,856 $111,522,022 $57,399,606 $4,260,520 $63,377,247 $ --
-- -- -- -- -- -- -- 37,833,333
-- -- -- -- -- -- -- 4,353
131,659 85,708 172,912 110,910 94,758 74 38,408 15,853
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
325,534,039 131,292,103 217,755,768 111,632,932 57,494,364 4,260,594 63,415,655 37,853,539
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
306,807 323,680 326,192 227,971 209,893 -- 175,255 20,207
318,367 128,054 213,138 107,612 54,429 4,113 61,320 37,159
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
625,174 451,734 539,330 335,583 264,322 4,113 236,575 57,366
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
$324,908,865 $130,840,369 $217,216,438 $111,297,349 $57,230,042 $4,256,481 $63,179,080 $37,796,173
============ ============ ============ ============ =========== ========== =========== ===========
6,961,214 5,819,694 4,923,565 3,672,924 4,217,644 277,667 3,757,592 1,423,499
============ ============ ============ ============ =========== ========== =========== ===========
$ 46.67 $ 22.48 $ 44.12 $ 30.30 $ 13.57 $ 15.33 $ 16.81 $ 26.55
============ ============ ============ ============ =========== ========== =========== ===========
</Table>
3
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
MONEY HIGH INTERMEDIATE
MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
---------- ------------ --------------- ----------- -----------
INVESTMENT INCOME (LOSS):
Net investment income (loss) allocated from
Diversified Investors Portfolios (Note 2):
Interest income................................. $241,667 $ 352,566 $ 413,704 $ 1,161,014 $ 585,926
Income from loaned securities -- net............ -- 639 8,752 8,628 4,970
Dividend income................................. -- -- -- -- 460,885
Expenses........................................ (56,584) (46,255) (61,386) (118,343) (217,771)
-------- --------- --------- ----------- -----------
Net investment income (loss) from Portfolios and
Calvert....................................... 185,083 306,950 361,070 1,051,299 834,010
-------- --------- --------- ----------- -----------
EXPENSES (NOTE 4):
Mortality and expense risk...................... 225,889 135,313 175,029 338,714 482,426
Less expenses reimbursed by TFLIC............... (54,530) -- -- -- --
-------- --------- --------- ----------- -----------
Net expenses.................................... 171,359 135,313 175,029 338,714 482,426
-------- --------- --------- ----------- -----------
NET INVESTMENT INCOME (LOSS).................... 13,724 171,637 186,041 712,585 351,584
-------- --------- --------- ----------- -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
SECURITIES, FUTURES, WRITTEN OPTIONS, SHORT
SALES AND FOREIGN CURRENCIES (NOTE 2):
Net realized gains (losses) on securities....... (3,081) 46,453 (283,384) (63,448) 2,792,335
Net realized gains (losses) on futures, written
options and short sales....................... -- -- -- 44,053 (1,743)
Net realized gains (losses) on foreign currency
transactions.................................. -- -- -- (34,894) (53,878)
Net change in unrealized appreciation
(depreciation) on securities.................. -- (337,229) (222,965) (1,189,898) (2,117,234)
Net change in unrealized appreciation
(depreciation) on futures, written options and
short sales................................... -- -- -- 44,431 47,175
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign
currencies.................................... -- -- -- 341,229 160,824
-------- --------- --------- ----------- -----------
Net realized and unrealized gains (losses) on
securities, futures, written options, short
sales and foreign currencies.................. (3,081) (290,776) (506,349) (858,527) 827,479
-------- --------- --------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................... $ 10,643 $(119,139) $(320,308) $ (145,942) $ 1,179,063
======== ========= ========= =========== ===========
</Table>
See notes to financial statements.
4
<Table>
<Caption>
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL
INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ------------ ---------- ----------- ---------- ---------- ------------- ----------
$ 34,833 $ 27,979 $ 18,122 $ 9,181 $ 3,259 $ 178,819 $ 6,845 $ --
9,831 3,342 5,894 19,268 14,597 -- 28,334 --
3,238,088 939,433 949,247 482,309 117,858 1,613 923,789 --
(759,100) (404,656) (705,767) (454,757) (279,329) (12,172) (261,395) --
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
2,523,652 566,098 267,496 56,001 (143,615) 168,260 697,573 --
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
1,772,355 711,084 1,207,714 602,784 307,327 22,702 340,617 203,523
-- -- -- -- -- -- -- --
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
1,772,355 711,084 1,207,714 602,784 307,327 22,702 340,617 203,523
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
751,297 (144,986) (940,218) (546,783) (450,942) 145,558 356,956 (203,523)
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
12,640,372 14,542,354 2,139,184 7,131,183 2,460,778 7,878 5,682,043 (208,906)
-- 18,242 -- 4,956 -- -- -- --
-- -- (16,573) (7) -- 420 (75,739) --
(2,063,832) (11,944,194) 184,706 (2,346,755) 65,378 (111,811) (3,941,773) 1,151,924
-- (1,402) -- 6,719 -- -- -- --
-- -- 23,816 (75) -- (13) 69,508 --
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
10,576,540 2,615,000 2,331,133 4,796,021 2,526,156 (103,526) 1,734,039 943,018
----------- ------------ ---------- ----------- ---------- --------- ----------- ----------
$11,327,837 $ 2,470,014 $1,390,915 $ 4,249,238 $2,075,214 $ 42,032 $ 2,090,995 $ 739,495
=========== ============ ========== =========== ========== ========= =========== ==========
</Table>
5
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
MONEY HIGH INTERMEDIATE
MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ------------ --------------- ----------- ------------
FROM OPERATIONS:
Net investment income (loss) from Portfolios
and Calvert.................................. $ 13,724 $ 171,637 $ 186,041 $ 712,585 $ 351,584
Net realized gains (losses) on securities...... (3,081) 46,453 (283,384) (63,448) 2,792,335
Net realized gains (losses) on futures, written
options and short sales...................... -- -- -- 44,053 (1,743)
Net realized gains (losses) on foreign currency
transactions................................. -- -- -- (34,894) (53,878)
Net change in unrealized appreciation
(depreciation) on securities................. -- (337,229) (222,965) (1,189,898) (2,117,234)
Net change in unrealized appreciation
(depreciation) on futures, written options
and short sales.............................. -- -- -- 44,431 47,175
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign
currencies................................... -- -- -- 341,229 160,824
------------ ----------- ----------- ----------- ------------
Net increase (decrease) in net assets resulting
from operations.............................. 10,643 (119,139) (320,308) (145,942) 1,179,063
------------ ----------- ----------- ----------- ------------
FROM UNIT TRANSACTIONS (NOTE 5):
Net proceeds from units issued................. 34,670,892 4,002,878 3,911,380 6,393,027 8,652,843
Net asset value of units redeemed.............. (40,295,907) (4,494,024) (7,712,174) (8,379,177) (12,876,158)
------------ ----------- ----------- ----------- ------------
Net increase (decrease) in net assets from unit
transactions................................. (5,625,015) (491,146) (3,800,794) (1,986,150) (4,223,315)
------------ ----------- ----------- ----------- ------------
Net increase (decrease) in net assets.......... (5,614,372) (610,285) (4,121,102) (2,132,092) (3,044,252)
NET ASSETS:
Beginning of period............................ 44,852,848 25,677,769 34,530,489 63,545,946 89,699,459
------------ ----------- ----------- ----------- ------------
End of period.................................. $ 39,238,476 $25,067,484 $30,409,387 $61,413,854 $ 86,655,207
============ =========== =========== =========== ============
Units outstanding beginning of period.......... 2,380,101 1,792,768 1,731,895 2,165,116 2,659,711
Units issued during period..................... 1,839,491 279,128 195,667 216,851 253,157
Units redeemed during period................... (2,137,943) (313,047) (385,814) (283,826) (377,384)
------------ ----------- ----------- ----------- ------------
Units outstanding end of period................ 2,081,649 1,758,849 1,541,748 2,098,141 2,535,484
============ =========== =========== =========== ============
</Table>
See notes to financial statements.
6
<Table>
<Caption>
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL
INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ------------ ------------ ------------ ----------- ---------- ------------- -----------
$ 751,297 $ (144,986) $ (940,218) $ (546,783) $ (450,942) $ 145,558 $ 356,956 $ (203,523)
12,640,372 14,542,354 2,139,184 7,131,183 2,460,778 7,878 5,682,043 (208,906)
-- 18,242 -- 4,956 -- -- -- --
-- -- (16,573) (7) -- 420 (75,739) --
(2,063,832) (11,944,194) 184,706 (2,346,755) 65,378 (111,811) (3,941,773) 1,151,924
-- (1,402) -- 6,719 -- -- -- --
-- -- 23,816 (75) -- (13) 69,508 --
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
11,327,837 2,470,014 1,390,915 4,249,238 2,075,214 42,032 2,090,995 739,495
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
27,447,854 15,780,087 17,097,305 18,497,332 8,422,213 701,338 7,806,692 3,526,501
(31,769,564) (18,046,022) (24,400,151) (17,230,405) (9,094,508) (578,627) (7,442,205) (3,015,289)
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
(4,321,710) (2,265,935) (7,302,846) 1,266,927 (672,295) 122,711 364,487 511,212
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
7,006,127 204,079 (5,911,931) 5,516,165 1,402,919 164,743 2,455,482 1,250,707
317,902,738 130,636,290 223,128,369 105,781,184 55,827,123 4,091,738 60,723,598 36,545,466
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
$324,908,865 $130,840,369 $217,216,438 $111,297,349 $57,230,042 $4,256,481 $63,179,080 $37,796,173
============ ============ ============ ============ =========== ========== =========== ===========
7,055,567 5,922,680 5,092,408 3,633,570 4,268,033 269,658 3,737,216 1,403,970
592,608 711,572 387,313 611,203 631,586 45,539 470,580 133,679
(686,961) (814,558) (556,156) (571,849) (681,975) (37,530) (450,204) (114,150)
------------ ------------ ------------ ------------ ----------- ---------- ----------- -----------
6,961,214 5,819,694 4,923,565 3,672,924 4,217,644 277,667 3,757,592 1,423,499
============ ============ ============ ============ =========== ========== =========== ===========
</Table>
7
DIVERSIFIED INVESTORS VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
MONEY HIGH INTERMEDIATE
MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------- ------------ --------------- ------------ ------------
FROM OPERATIONS:
Net investment income (loss) from Portfolios
and Calvert............................... $ 81,450 $ 508,130 $ 724,849 $ 1,453,422 $ 878,824
Net realized gains (losses) on securities... 154 51,940 1,185,030 1,660,815 (526,325)
Net realized gains (losses) on futures,
written options and short sales........... -- -- -- (386,815) (80,596)
Net realized gains (losses) on foreign
currency transactions..................... -- -- -- (468,351) (287,151)
Net change in unrealized appreciation
(depreciation) on securities.............. -- (308,680) (1,684,576) (288,960) 12,815,747
Net change in unrealized appreciation
(depreciation) on futures, written options
and short sales........................... -- -- -- 225,280 67,959
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies................................ -- -- -- (365,095) (140,105)
------------- ----------- ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations................. 81,604 251,390 225,303 1,830,296 12,728,353
------------- ----------- ------------ ------------ ------------
FROM UNIT TRANSACTIONS (NOTE 5):
Net proceeds from units issued.............. 122,511,759 10,838,913 10,816,688 22,554,098 15,052,461
Net asset value of units redeemed........... (126,304,275) (7,258,587) (19,786,134) (15,662,931) (17,655,121)
------------- ----------- ------------ ------------ ------------
Net increase (decrease) in net assets from
unit transactions......................... (3,792,516) 3,580,326 (8,969,446) 6,891,167 (2,602,660)
------------- ----------- ------------ ------------ ------------
Net increase (decrease) in net assets....... (3,710,912) 3,831,716 (8,744,143) 8,721,463 10,125,693
NET ASSETS:
Beginning of year........................... 48,563,760 21,846,053 43,274,632 54,824,483 79,573,766
------------- ----------- ------------ ------------ ------------
End of year................................. $ 44,852,848 $25,677,769 $ 34,530,489 $ 63,545,946 $ 89,699,459
============= =========== ============ ============ ============
Units outstanding beginning of year......... 2,581,398 1,543,946 2,181,036 1,933,347 2,746,878
Units issued during year.................... 6,504,045 757,650 542,800 774,067 487,099
Units redeemed during year.................. (6,705,342) (508,828) (991,941) (542,298) (574,266)
------------- ----------- ------------ ------------ ------------
Units outstanding end of year............... 2,380,101 1,792,768 1,731,895 2,165,116 2,659,711
============= =========== ============ ============ ============
</Table>
See notes to financial statements.
8
<Table>
<Caption>
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL
INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------ ------------ ------------ ------------ ------------ ----------- ------------- -----------
$ 2,248,079 $ (89,658) $ (1,352,741) $ (912,993) $ (809,948) $ 363,444 $ 14,466 $ 284,989
(2,733,678) (2,315,051) (7,249,282) 7,939,862 4,454,796 271,377 (2,056,190) (366,181)
-- 48,881 -- 152,423 -- -- -- --
-- -- (52,468) -- -- -- 288,602 --
64,337,402 25,851,061 51,462,665 22,261,561 7,742,125 462,104 17,223,862 5,658,606
-- 22,244 -- 13,430 -- -- -- --
-- -- (28,944) -- -- -- (173,796) --
------------ ------------ ------------ ------------ ------------ ----------- ------------ -----------
63,851,803 23,517,477 42,779,230 29,454,283 11,386,973 1,096,925 15,296,944 5,577,414
------------ ------------ ------------ ------------ ------------ ----------- ------------ -----------
45,691,539 28,474,589 46,113,086 25,358,358 13,453,776 635,808 63,431,708 7,253,821
(51,086,300) (21,544,926) (31,248,041) (18,638,471) (11,362,699) (2,862,804) (65,530,260) (7,166,551)
------------ ------------ ------------ ------------ ------------ ----------- ------------ -----------
(5,394,761) 6,929,663 14,865,045 6,719,887 2,091,077 (2,226,996) (2,098,552) 87,270
------------ ------------ ------------ ------------ ------------ ----------- ------------ -----------
58,457,042 30,447,140 57,644,275 36,174,170 13,478,050 (1,130,071) 13,198,392 5,664,684
259,445,696 100,189,150 165,484,094 69,607,014 42,349,073 5,221,809 47,525,206 30,880,782
------------ ------------ ------------ ------------ ------------ ----------- ------------ -----------
$317,902,738 $130,636,290 $223,128,369 $105,781,184 $ 55,827,123 $ 4,091,738 $ 60,723,598 $36,545,466
============ ============ ============ ============ ============ =========== ============ ===========
7,207,058 5,579,094 4,727,738 3,405,431 4,103,500 435,401 3,862,561 1,400,341
1,168,198 1,461,839 1,173,248 1,022,300 1,165,293 46,609 5,099,198 305,625
(1,319,689) (1,118,253) (808,578) (794,161) (1,000,760) (212,352) (5,224,543) (301,996)
------------ ------------ ------------ ------------ ------------ ----------- ------------ -----------
7,055,567 5,922,680 5,092,408 3,633,570 4,268,033 269,658 3,737,216 1,403,970
============ ============ ============ ============ ============ =========== ============ ===========
</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"), 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. 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, 2004, each of the DIVF subaccounts' investment in the corresponding
Portfolios was as follows:
<Table>
<Caption>
PERCENTAGE INVESTMENT
SUBACCOUNT IN PORTFOLIO
- ---------- ---------------------
Money Market................................................ 4.72
High Quality Bond........................................... 3.73
Intermediate Government Bond................................ 11.07
Core Bond................................................... 4.09
Balanced.................................................... 20.67
Value & Income.............................................. 13.49
Growth & Income............................................. 12.13
Equity Growth............................................... 10.42
Special Equity.............................................. 8.31
Aggressive Equity........................................... 14.83
High Yield Bond............................................. 1.40
International Equity........................................ 5.39
</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 Calvert's
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.
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.
10
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 income and expenses during the reporting period. Actual
results could differ from those estimates.
3. INVESTMENT TRANSACTIONS
Purchases and sales of shares in Calvert were $1,735,331 and $1,426,228
respectively.
The U.S. federal income tax basis of DIVF's investment in the Calvert Subaccount
at June 30, 2004, was $41,171,736 and net unrealized depreciation for U.S.
federal income tax purposes was $3,338,403 (gross unrealized depreciation
$3,338,403).
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. ("Diversified") (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, a financial services holding company whose primary emphasis is life
and health insurance and annuity and investment products. AEGON is an indirect,
wholly-owned subsidiary of AEGON N.V., a Netherlands corporation which is a
publicly traded international insurance group.
TFLIC reserves the right to deduct an annual contract charge from a
Participant's Accumulation Account to reimburse TFLIC for administrative
expenses relating to the maintenance of the Variable Annuity Contracts. TFLIC
has no present intention to impose such a charge but may do so in the future.
Any such annual charge will not exceed $50.
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.
Due to the current interest rate environment, TFLIC has elected to waive a
portion of its fees to maintain a positive yield in the Money Market Subaccount.
TFLIC reserves the right to terminate this waiver without 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. There were
11
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. GROUP PLAN ASSUMPTIONS (CONTINUED)
no assets transferred to TFLIC pursuant to this assumption reinsurance agreement
for the six months ended June 30, 2004 or for the year ended December 31, 2003.
The amounts related to assumptions, if any, would be 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 (LOSS) FROM
INVESTMENT OPERATIONS
----------------------------
NET NET REALIZED TOTAL INCOME
FOR THE UNIT VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM UNIT VALUE,
PERIOD/YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
----------- ------------ ---------- -------------- ------------- -----------
MONEY MARKET SUBACCOUNT
06/30/2004* $18.84 $0.01 $(0.00)(a) $ 0.01 $18.85
12/31/2003 18.81 0.03 (0.00)(a) 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 (0.00)(a) 0.93 18.11
12/31/1999 16.45 0.73 (0.00)(a) 0.73 17.18
HIGH QUALITY BOND SUBACCOUNT
06/30/2004* 14.32 0.10 (0.17) (0.07) 14.25
12/31/2003 14.15 0.30 (0.13) 0.17 14.32
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
INTERMEDIATE GOVERNMENT BOND
SUBACCOUNT
06/30/2004* 19.94 0.12 (0.34) (0.22) 19.72
12/31/2003 19.84 0.36 (0.26) 0.10 19.94
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
CORE BOND SUBACCOUNT
06/30/2004* 29.35 0.34 (0.42) (0.08) 29.27
12/31/2003 28.36 0.70 0.29 0.99 29.35
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
BALANCED SUBACCOUNT
06/30/2004* 33.73 0.14 0.31 0.45 34.18
12/31/2003 28.97 0.33 4.43 4.76 33.73
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
</Table>
- ---------------
* Unaudited.
(a) Less than one penny per share.
14
<Table>
<Caption>
RATIOS TO AVERAGE NET ASSETS
----------------------------------------------------------------------
EXPENSES, EXPENSES, INCLUDING
NET INVESTMENT INCLUDING EXPENSES OF THE
NET ASSETS, NET INCOME (LOSS) EXPENSES OF PORTFOLIO OR CALVERT
END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO (NET OF PORTFOLIO
PERIOD/YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1)
------------ ------ ------------- --------------- ------------- -------------------- -----------
$ 39,238,476 0.05% (0.20)%** 0.07%** 1.38%** 1.11%** N/A
44,852,848 0.16 0.03 0.17 1.36 1.22 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
25,067,484 (0.49) 1.40** 1.40** 1.48** 1.48** 23%
25,677,769 1.20 2.10 2.10 1.48 1.48 50
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
30,409,387 (1.10) 1.17** 1.17** 1.49** 1.49**(2) 251
34,530,489 0.50 1.79 1.79 1.49 1.49 392
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
61,413,854 (0.27) 2.31** 2.31** 1.48** 1.48** 412
63,545,946 3.49 2.43 2.43 1.49 1.49(2) 922
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
86,655,207 1.33 0.80** 0.80** 1.60** 1.60**(2) 157
89,699,459 16.43 1.05 1.06 1.61 1.60(2) 377
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
</Table>
- ---------------
** Annualized.
(1) Portfolio turnover of the Series Portfolio or Calvert Social Balanced
Portfolio.
(2) Reimbursement of fees occurs at the underlying fund level.
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 (LOSS) FROM
INVESTMENT OPERATIONS
-----------------------------
NET REALIZED TOTAL
UNIT NET AND INCOME (LOSS) UNIT
FOR THE VALUE, INVESTMENT UNREALIZED FROM VALUE,
PERIOD/YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
----------- ------------ ---------- -------------- ------------- -----------
VALUE & INCOME SUBACCOUNT
06/30/2004* $45.06 $0.11 $ 1.50 $ 1.61 $46.67
12/31/2003 36.00 0.32 8.74 9.06 45.06
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
GROWTH & INCOME
SUBACCOUNT
06/30/2004* 22.06 (0.02) 0.44 0.42 22.48
12/31/2003 17.96 (0.02) 4.12 4.10 22.06
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
EQUITY GROWTH SUBACCOUNT
06/30/2004* 43.82 (0.19) 0.49 0.30 44.12
12/31/2003 35.00 (0.28) 9.10 8.82 43.82
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
SPECIAL EQUITY SUBACCOUNT
06/30/2004* 29.11 (0.15) 1.34 1.19 30.30
12/31/2003 20.44 (0.27) 8.94 8.67 29.11
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
</Table>
- ---------------
* Unaudited.
** Annualized.
(a) Less than one penny per share.
(1) Portfolio turnover of the Series Portfolio or Calvert Social Balanced
Portfolio.
(2) Reimbursement of fees occurs at the underlying fund level.
16
<Table>
<Caption>
RATIOS 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)
------------ ------ ------------- --------------- ------------- ------------------- -----------
$324,908,865 3.57% 0.47%** 0.47%** 1.57%** 1.57%** 24%
317,902,738 25.17 0.82 0.82 1.57 1.57 70
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
130,840,369 1.90 (0.22)** (0.22)** 1.73** 1.73** 142
130,636,290 22.83 (0.08) (0.08) 1.73 1.73(2) 100
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
217,216,438 0.68 (0.86)** (0.86)** 1.74** 1.74** 52
223,128,369 25.20 (0.76) (0.71) 1.75 1.70 61
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
111,297,349 4.09 (1.00)** (1.00)** 1.93** 1.93** 49
105,781,184 42.42 (1.13) (1.13) 1.95 1.95(2) 103
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
108,142,601 N/A (0.77) (0.77) 1.74 1.74 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 (LOSS) FROM
INVESTMENT OPERATIONS
-----------------------------
NET REALIZED TOTAL
UNIT NET AND INCOME (LOSS) UNIT
FOR THE VALUE, INVESTMENT UNREALIZED FROM VALUE,
PERIOD/YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
----------- ------------ ---------- -------------- ------------- -----------
AGGRESSIVE EQUITY
SUBACCOUNT
06/30/2004* $13.08 $(0.11) $ 0.60 $ 0.49 $13.57
12/31/2003 10.32 (0.20) 2.96 2.76 13.08
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
HIGH YIELD BOND
SUBACCOUNT
06/30/2004* 15.17 0.54 (0.38) 0.16 15.33
12/31/2003 11.99 1.07 2.11 3.18 15.17
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
INTERNATIONAL EQUITY
SUBACCOUNT
06/30/2004* 16.25 0.09 0.47 0.56 16.81
12/31/2003 12.30 0.00(a) 3.95 3.95 16.25
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
CALVERT SERIES SUBACCOUNT
06/30/2004* 26.03 (0.14) 0.66 0.52 26.55
12/31/2003 22.05 0.20 3.78 3.98 26.03
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
</Table>
- ---------------
* Unaudited.
** Annualized.
(1) Portfolio turnover of the Portfolio or Calvert Social Balanced Portfolio.
(2) Reimbursement of fees occurs at the underlying Portfolio level.
(a) Less than one penny per share.
18
<Table>
<Caption>
RATIOS 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)
----------- ------ ------------- --------------- ------------- ------------------- -----------
$57,230,042 3.75% (1.61)%** (1.61)%** 2.10%** 2.10%**(2) 82%
55,827,123 26.74 (1.72) (1.71) 2.11 2.10(2) 165
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
4,256,481 1.05 7.05** 7.05** 1.69** 1.69**(2) 42
4,091,738 26.52 8.02 8.03 1.71 1.70(2) 136
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
63,179,080 3.45 1.15** 1.15** 1.94** 1.94** 124
60,723,598 32.11 0.03 0.03 1.97 1.97(2) 23
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
37,796,173 2.00 (1.10)** (1.10)** 1.99** 1.99** 87
36,545,466 18.05 0.86 0.86 2.03 2.03 374
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
</Table>
19
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
ASSETS:
Investments, at value (cost $9,376,188, $24,710,147 and
$34,447,596, respectively) (Notes 1 and 2)............. $10,359,948 $26,311,756 $36,996,155
Receivable for securities sold........................... 61,958 70,762 367,485
Receivable for units purchased........................... 9,142 16,535 26,047
----------- ----------- -----------
Total assets............................................. 10,431,048 26,399,053 37,389,687
----------- ----------- -----------
LIABILITIES:
Payable for securities purchased......................... -- -- 163,843
Payable for units redeemed............................... 71,100 87,297 229,689
Accrued investment advisory fees......................... 1,879 4,709 6,547
----------- ----------- -----------
Total liabilities........................................ 72,979 92,006 400,079
----------- ----------- -----------
NET ASSETS............................................... $10,358,069 $26,307,047 $36,989,608
=========== =========== ===========
Accumulation units....................................... 732,237 1,793,391 2,453,621
=========== =========== ===========
Unit value............................................... $ 14.15 $ 14.67 $ 15.08
=========== =========== ===========
NET ASSETS CONSIST OF:
Cost of accumulation units............................... $ 9,011,878 $23,013,872 $33,487,170
Accumulated (undistributed) net realized gains
(losses)............................................... 432,029 1,918,724 1,244,047
Accumulated (undistributed) net investment income
(loss)................................................. (69,598) (227,158) (290,168)
Unrealized appreciation (depreciation) on investments.... 983,760 1,601,609 2,548,559
----------- ----------- -----------
NET ASSETS............................................... $10,358,069 $26,307,047 $36,989,608
=========== =========== ===========
</Table>
See notes to financial statements.
20
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
INVESTMENT ADVISORY FEES (NOTE 4)..................... $(10,646) $(25,962) $(35,679)
-------- -------- --------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS:
Net realized gains (losses) on investments............ 13,673 25,952 33,926
Net change in unrealized appreciation (depreciation)
on investments...................................... (6,695) 273,539 558,177
-------- -------- --------
Net realized and unrealized gains (losses) on
investments......................................... 6,978 299,491 592,103
-------- -------- --------
Net increase (decrease) in net assets resulting from
operations.......................................... $ (3,668) $273,529 $556,424
======== ======== ========
</Table>
See notes to financial statements.
21
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
FROM OPERATIONS:
Investment advisory fees................................. $ (10,646) $ (25,962) $ (35,679)
Net realized gains (losses) on investments............... 13,673 25,952 33,926
Net change in unrealized appreciation (depreciation) on
investments............................................ (6,695) 273,539 558,177
----------- ----------- -----------
Net increase (decrease) in net assets resulting from
operations............................................. (3,668) 273,529 556,424
----------- ----------- -----------
FROM UNIT TRANSACTIONS:
Proceeds from units issued............................... 2,822,037 4,672,686 6,902,632
Value of units redeemed.................................. (2,965,427) (4,409,539) (5,186,440)
----------- ----------- -----------
Net increase (decrease) in net assets from unit
transactions........................................... (143,390) 263,147 1,716,192
----------- ----------- -----------
Total increase (decrease) in net assets.................. (147,058) 536,676 2,272,616
NET ASSETS:
Beginning of period...................................... 10,505,127 25,770,371 34,716,992
----------- ----------- -----------
End of period............................................ $10,358,069 $26,307,047 $36,989,608
=========== =========== ===========
Units outstanding beginning of period.................... 742,956 1,775,258 2,340,332
Units issued during period............................... 197,999 318,569 459,256
Units redeemed during period............................. (208,718) (300,436) (345,967)
----------- ----------- -----------
Units outstanding end of period.......................... 732,237 1,793,391 2,453,621
=========== =========== ===========
</Table>
See notes to financial statements.
22
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
FROM OPERATIONS:
Investment advisory fees................................. $ (19,428) $ (43,954) $ (55,749)
Net realized gains (losses) on investments............... 252,006 (519,806) (403,627)
Net change in unrealized appreciation (depreciation) on
investments............................................ 327,167 3,789,465 5,706,874
----------- ----------- -----------
Net increase (decrease) in net assets resulting from
operations............................................. 559,745 3,225,705 5,247,498
----------- ----------- -----------
FROM UNIT TRANSACTIONS:
Proceeds from units issued............................... 4,194,952 6,755,492 11,219,203
Value of units redeemed.................................. (3,335,181) (4,345,206) (5,372,554)
----------- ----------- -----------
Net increase (decrease) in net assets from unit
transactions........................................... 859,771 2,410,286 5,846,649
----------- ----------- -----------
Total increase (decrease) in net assets.................. 1,419,516 5,635,991 11,094,147
NET ASSETS:
Beginning of year........................................ 9,085,611 20,134,380 23,622,845
----------- ----------- -----------
End of year.............................................. $10,505,127 $25,770,371 $34,716,992
=========== =========== ===========
Units outstanding beginning of year...................... 680,929 1,600,072 1,906,765
Units issued during year................................. 305,372 505,206 836,726
Units redeemed during year............................... (243,345) (330,020) (403,159)
----------- ----------- -----------
Units outstanding end of year............................ 742,956 1,775,258 2,340,332
=========== =========== ===========
</Table>
See notes to financial statements.
23
SHORT HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
- ------ -----------
INVESTMENTS
188,562 Diversified Investors Variable Funds -- Core Bond
Subaccount................................................ $ 5,519,384
7,863 Diversified Investors Variable Funds -- Equity Growth
Subaccount................................................ 346,953
6,147 Diversified Investors Variable Funds -- Growth & Income
Subaccount................................................ 138,198
195,396 Diversified Investors Variable Funds -- High Quality Bond
Subaccount................................................ 2,784,822
62,438 Diversified Investors Variable Funds -- High Yield Bond
Subaccount................................................ 957,136
9,981 Diversified Investors Variable Funds -- International Equity
Subaccount................................................ 167,811
127 Diversified Investors Variable Funds -- Money Market
Subaccount................................................ 2,390
2,821 Diversified Investors Variable Funds -- Special Equity
Subaccount................................................ 85,495
7,665 Diversified Investors Variable Funds -- Value & Income
Subaccount................................................ 357,759
-----------
Total Investments -- 100.0% (Cost $9,376,188)............... 10,359,948
Liabilities less other assets -- (0.0%)..................... (1,879)
-----------
NET ASSETS -- 100.0%........................................ $10,358,069
===========
The aggregate cost of investments for federal income tax purposes at June 30, 2004
is $9,376,188.
The following amount is based on cost for federal income tax purposes:
Net unrealized appreciation................................. $ 983,760
===========
</Table>
See notes to financial statements.
24
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
- ------ -----------
INVESTMENTS
250,822 Diversified Investors Variable Funds -- Core Bond
Subaccount................................................ $ 7,341,797
95,670 Diversified Investors Variable Funds -- Equity Growth
Subaccount................................................ 4,221,157
75,024 Diversified Investors Variable Funds -- Growth & Income
Subaccount................................................ 1,686,650
262,167 Diversified Investors Variable Funds -- High Quality Bond
Subaccount................................................ 3,736,460
84,405 Diversified Investors Variable Funds -- High Yield Bond
Subaccount................................................ 1,293,876
121,428 Diversified Investors Variable Funds -- International Equity
Subaccount................................................ 2,041,637
31,983 Diversified Investors Variable Funds -- Money Market
Subaccount................................................ 602,871
34,148 Diversified Investors Variable Funds -- Special Equity
Subaccount................................................ 1,034,743
93,255 Diversified Investors Variable Funds -- Value & Income
Subaccount................................................ 4,352,565
-----------
Total Investments -- 100.0% (Cost $24,710,147).............. 26,311,756
Liabilities less other assets -- (0.0%)..................... (4,709)
-----------
NET ASSETS -- 100.0%........................................ $26,307,047
===========
The aggregate cost of investments for federal income tax purposes at June 30, 2004
is $24,710,147.
The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation............................... $ 1,841,347
Gross unrealized depreciation............................... (239,738)
-----------
Net unrealized appreciation................................. $ 1,601,609
===========
</Table>
See notes to financial statements.
25
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
- ------ -----------
INVESTMENTS
222,321 Diversified Investors Variable Funds -- Core Bond
Subaccount................................................ $ 6,507,528
190,778 Diversified Investors Variable Funds -- Equity Growth
Subaccount................................................ 8,417,516
147,623 Diversified Investors Variable Funds -- Growth & Income
Subaccount................................................ 3,318,781
227,193 Diversified Investors Variable Funds -- High Quality Bond
Subaccount................................................ 3,237,998
72,418 Diversified Investors Variable Funds -- High Yield Bond
Subaccount................................................ 1,110,125
231,858 Diversified Investors Variable Funds -- International Equity
Subaccount................................................ 3,898,366
4,907 Diversified Investors Variable Funds -- Money Market
Subaccount................................................ 92,491
65,871 Diversified Investors Variable Funds -- Special Equity
Subaccount................................................ 1,996,033
180,344 Diversified Investors Variable Funds -- Value & Income
Subaccount................................................ 8,417,317
-----------
Total Investments -- 100.0% (Cost $34,447,596).............. 36,996,155
Liabilities less other assets -- (0.0%)..................... (6,547)
-----------
NET ASSETS -- 100.0%........................................ $36,989,608
===========
The aggregate cost of investments for federal income tax purposes at June 30, 2004
is $34,447,596.
The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation............................... $ 2,940,455
Gross unrealized depreciation............................... (391,896)
-----------
Net unrealized appreciation................................. $ 2,548,559
===========
</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 1940 Act. 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"), 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, under which the Advisor provides general investment advice to each
Fund. AEGON, is a financial services holding company whose primary emphasis is
life and health insurance and annuity and investment products. AEGON 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, 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.
27
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
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. TFLIC reserves the right to deduct an annual
contract charge from a Participant's Accumulation Account to reimburse TFLIC for
administrative expense relating to the maintenance of the Variable Annuity
Contracts. TFLIC has no present intention to impose such a charge but may do so
in the future. Any such annual charge will not exceed $50.
Certain trustees and officers of the Trust are also directors, officers or
employees of the Advisor or its affiliates. None of the non-independent trustees
so affiliated receive compensation for services as trustees of the Trust.
Similarly, none of the Trust's officers receive compensation from the Funds. The
independent trustees are also trustees/directors of the affiliated funds for
which they receive fees.
4. PURCHASES AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales for the
period ended June 30, 2004 were as follows:
<Table>
<Caption>
COST OF PROCEEDS
PURCHASES FROM SALES
---------- ----------
Short Horizon Strategic Variable Fund....................... $2,058,242 $2,212,269
Intermediate Horizon Strategic Variable Fund................ 2,969,733 2,732,383
Intermediate Long Horizon Strategic Variable Fund........... 9,545,581 7,864,633
</Table>
5. 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.
28
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS
For an accumulation unit outstanding throughout the period/year:
<Table>
<Caption>
INCOME (LOSS) FROM
INVESTMENT OPERATIONS
---------------------------
NET NET REALIZED TOTAL INCOME
FOR THE UNIT VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM UNIT VALUE,
PERIOD/YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF
ENDED PERIOD/YEAR (LOSS) ON INVESTMENTS OPERATIONS PERIOD/YEAR
----------- ------------ ---------- -------------- ------------ -----------
SHORT HORIZON STRATEGIC VARIABLE FUND
06/30/2004* $14.14 $(0.01) $ 0.02 $ 0.01 $14.15
12/31/2003 13.34 (0.03) 0.83 0.80 14.14
12/31/2002 12.95 (0.03) 0.42 0.39 13.34
12/31/2001 12.38 (0.03) 0.60 0.57 12.95
12/31/2000 11.63 (0.02) 0.77 0.75 12.38
12/31/1999 11.50 (0.02) 0.15 0.13 11.63
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
06/30/2004* 14.52 (0.01) 0.16 0.15 14.67
12/31/2003 12.58 (0.03) 1.97 1.94 14.52
12/31/2002 13.67 (0.03) (1.06) (1.09) 12.58
12/31/2001 14.16 (0.03) (0.46) (0.49) 13.67
12/31/2000 14.35 (0.03) (0.16) (0.19) 14.16
12/31/1999 12.68 (0.03) 1.70 1.67 14.35
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
06/30/2004* 14.83 (0.01) 0.26 0.25 15.08
12/31/2003 12.39 (0.03) 2.47 2.44 14.83
12/31/2002 14.28 (0.03) (1.86) (1.89) 12.39
12/31/2001 15.34 (0.03) (1.03) (1.06) 14.28
12/31/2000 15.99 (0.03) (0.62) (0.65) 15.34
12/31/1999 13.48 (0.03) 2.54 2.51 15.99
<Caption>
RATIOS TO AVERAGE
NET ASSETS
---------------------
NET
FOR THE NET ASSETS, INVESTMENT PORTFOLIO
PERIOD/YEAR TOTAL END OF INCOME TURNOVER
ENDED RETURN PERIOD/YEAR EXPENSES (LOSS) RATE
----------- ------ ----------- -------- ---------- ---------
SHORT HORIZON STRATEGIC VARIABLE FUND
06/30/2004* 0.07% $10,358,069 0.20%** (0.20)%** 19%
12/31/2003 6.00 10,505,127 0.20 (0.20) 109
12/31/2002 3.01 9,085,611 0.20 (0.20) 55
12/31/2001 4.60 7,013,073 0.20 (0.20) 68
12/31/2000 6.45 3,498,791 0.20 (0.20) 87
12/31/1999 1.13 2,523,200 0.20 (0.20) 84
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
06/30/2004* 1.03 26,307,047 0.20** (0.20)** 10
12/31/2003 15.42 25,770,371 0.20 (0.20) 87
12/31/2002 (7.97) 20,134,380 0.20 (0.20) 53
12/31/2001 (3.46) 21,693,802 0.20 (0.20) 92
12/31/2000 (1.32) 18,239,055 0.20 (0.20) 98
12/31/1999 13.17 15,953,762 0.20 (0.20) 81
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
06/30/2004* 1.69 36,989,608 0.20** (0.20)** 22
12/31/2003 19.69 34,716,992 0.20 (0.20) 98
12/31/2002 (13.24) 23,622,845 0.20 (0.20) 49
12/31/2001 (6.91) 26,767,935 0.20 (0.20) 44
12/31/2000 (4.07) 25,424,342 0.20 (0.20) 59
12/31/1999 18.62 20,592,888 0.20 (0.20) 72
</Table>
- ---------------
* Unaudited.
** Annualized.
29
DIVERSIFIED INVESTORS VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. INVESTMENTS IN AFFILIATES
The market value of investments in affiliates (as defined in the 1940 Act,
"Affiliated Companies" are those in which the Trust is under common control with
an affiliated entity) at June 30, 2004 totaled $10,359,948, $26,311,756 and
$36,996,155, for the Short Horizon Strategic Variable Fund, Intermediate Horizon
Strategic Variable Fund, and Intermediate Long Horizon Strategic Variable Fund,
respectively.
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........................ 190,431 -- 1,869 188,562 $ -- $ 40,772 $13,580
Diversified Investors Variable Funds --
Equity Growth Subaccount.................... 7,863 -- -- 7,863 -- -- --
Diversified Investors Variable Funds --
Growth & Income Subaccount.................. 6,147 -- -- 6,147 -- -- --
Diversified Investors Variable Funds --
High Quality Bond Subaccount................ 195,396 -- -- 195,396 -- -- --
Diversified Investors Variable Funds --
High Yield Bond Subaccount.................. 62,438 -- -- 62,438 -- -- --
Diversified Investors Variable Funds --
International Equity Subaccount............. 9,981 -- -- 9,981 -- -- --
Diversified Investors Variable Funds --
Money Market Subaccount..................... 5,411 109,204 114,488 127 2,058,242 2,157,824 93
Diversified Investors Variable Funds --
Special Equity Subaccount................... 2,821 -- -- 2,821 -- -- --
Diversified Investors Variable Funds --
Value & Income Subaccount................... 7,665 -- -- 7,665 -- -- --
---------- ---------- -------
$2,058,242 $2,198,596 $13,673
========== ========== =======
</Table>
30
DIVERSIFIED INVESTORS 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 HORIZON STRATEGIC VARIABLE FUND
- --------------------------
INVESTMENTS:
Diversified Investors Variable Funds --
Core Bond Subaccount........................ 256,127 -- 5,305 250,822 $ -- $ 133,365 $25,852
Diversified Investors Variable Funds --
Equity Growth Subaccount.................... 95,670 -- -- 95,670 -- -- --
Diversified Investors Variable Funds --
Growth & Income Subaccount.................. 75,024 -- -- 75,024 -- -- --
Diversified Investors Variable Funds --
High Quality Bond Subaccount................ 262,167 -- -- 262,167 -- -- --
Diversified Investors Variable Funds --
High Yield Bond Subaccount.................. 84,405 -- -- 84,405 -- -- --
Diversified Investors Variable Funds --
International Equity Subaccount............. 121,428 -- -- 121,428 -- -- --
Diversified Investors Variable Funds --
Money Market Subaccount..................... 10,944 157,563 136,524 31,983 2,969,733 2,573,066 100
Diversified Investors Variable Funds --
Special Equity Subaccount................... 34,148 -- -- 34,148 -- -- --
Diversified Investors Variable Funds --
Value & Income Subaccount................... 93,255 -- -- 93,255 -- -- --
---------- ---------- -------
$2,969,733 $2,706,431 $25,952
========== ========== =======
</Table>
31
DIVERSIFIED INVESTORS 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 --
Core Bond Subaccount........................ 207,829 20,089 5,597 222,321 $ 584,385 $ 130,322 $33,521
Diversified Investors Variable Funds --
Equity Growth Subaccount.................... 178,692 12,086 -- 190,778 528,579 -- --
Diversified Investors Variable Funds --
Growth & Income Subaccount.................. 140,160 7,463 -- 147,623 166,589 -- --
Diversified Investors Variable Funds --
High Quality Bond Subaccount................ 207,490 19,703 -- 227,193 280,198 -- --
Diversified Investors Variable Funds --
High Yield Bond Subaccount.................. 67,565 4,853 -- 72,418 74,385 -- --
Diversified Investors Variable Funds --
International Equity Subaccount............. 226,800 5,058 -- 231,858 85,462 -- --
Diversified Investors Variable Funds --
Money Market Subaccount..................... 16,766 396,672 408,531 4,907 7,476,921 7,700,385 405
Diversified Investors Variable Funds --
Special Equity Subaccount................... 63,756 2,115 -- 65,871 63,418 -- --
Diversified Investors Variable Funds --
Value & Income Subaccount................... 174,179 6,165 -- 180,344 285,644 -- --
---------- ---------- -------
$9,545,581 $7,830,707 $33,926
========== ========== =======
</Table>
32
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33
SIX MONTHS ENDED JUNE 30, 2004
ECONOMIC OVERVIEW
After a spectacular 2003, especially during the fourth quarter when the strength
of the third quarter 8.2% GDP growth caught many by surprise, we entered the New
Year on a very optimistic note. Yet, economic reports during the first six
months of 2004 have been mixed. Of particular concern during the first quarter
was the steady decline of jobless claims and weaker than expected creation of
new jobs. Talk of "jobless recovery" eroded consumer confidence to such an
extent that positive economic news -- when there was any to be had -- could not
overcome the general malaise.
All of that changed almost from the start of the second quarter, when employment
numbers reported on April 2nd came in much higher than expected. Concerns turned
instead to the prospect of an overheated economy, rising inflation and most
importantly higher interest rates. Interest rates, which began the year at 4.25%
(as measured by the ten-year Treasury bond) continued to fall during the first
quarter, much to everyone's amazement. They turned sharply higher during the
second quarter, however, finishing at 4.59% and were the preoccupation of most
investors during the second quarter. The uncertainty surrounding interest rates
affected both the stock and bond markets with much anticipation regarding the
timing and magnitude of a Federal Reserve increase, which finally came on June
30.
While job growth showed strong numbers each month during the second quarter,
other economic data were somewhat mixed. Industrial production, for instance,
was weak in April, but strong in May and June. Durable goods orders, which were
strong in April, fell off in May and June. Adding to the tenuous investor
sentiment during the first half of the year was the precarious Iraqi situation
and the continued global threat of terrorism of which the March 11 Madrid
bombings were a grim reminder. In addition, higher energy costs have meant
higher prices at the gas pumps, which only served to threaten consumer
confidence still further.
FIXED INCOME MARKET
The fact that rates fell during the first quarter was a surprise to most with
bonds posting impressive returns over the three-month period. At the time, it
appeared that interest rates were being kept at bay and that the Federal Reserve
would not move to raise rates until significant job growth materialized. This
complacency ended with the strong employment report at the beginning of the
second quarter. Interest rates moved sharply higher during the second quarter,
causing bonds to experience their worst decline in nearly a decade.
The relatively flat returns across most bond sectors for the first six months of
2004, therefore, belies the significant volatility bond investors experienced.
For example, after turning in a 2.7% increase for the first quarter, the Lehman
Aggregate Bond Index (a measure of the broad bond market) fell 2.4% during the
second quarter, thereby erasing most of their gains. All bond sectors showed
similar patterns. Reversals were also seen in terms of quality and duration:
what was up the most during the first quarter was also down the most during the
second quarter. High yield bonds have had the best showing so far in 2004,
returning 1.4% for the year-to-date as measured by the Merrill Lynch High Yield
Master II Index.
EQUITY MARKET
Coming off a very strong 2003, the stock market began the year similarly before
pulling back in February. And despite a brief rally in late March, most major
indices fell sharply in April. For the first six months of 2004, the broad stock
market as measured by the S&P 500 Index posted a return of 3.44%, after last
year's 28.7% finish. Among capitalization segments, small-capitalization stocks
led, with the Russell 2000 Index up 6.3%. While investors favored growth over
value for most of 2003, during the last quarter value regained its upper hand,
and this trend continued in 2004. Still, many believe that the style rotation
from value to growth is now well underway. International stocks have been
tracking the domestic markets and were also muted this quarter, although they
did fare better than their domestic counterparts, with the MSCI EAFE ex-US Index
returning 4.3% year-to-date through March.
34
Although the fastest pace of corporate earnings growth appeared to have taken
place in 2003, earnings reports continued to be robust during the first half of
2004. This represents a turn-around from most of 2003, when speculative stocks
with little or no earnings posted the highest returns.
LOOKING AHEAD
Most investment professionals do not expect a repeat of last year's exuberance,
but a return to a more normal environment. Earnings should play an increasingly
important role in stock prices as investors shift their focus to more
traditional fundamentals. Bonds appear to have less potential given the probable
increase in interest rates, but still play an important role in reducing the
risk of any well-diversified portfolio.
MONEY MARKET FUND
The fund underwent a sub-advisory change during the second quarter, with GE
Asset Management appointed in June 2004. The new sub-advisor's positioning along
the yield curve was the primary driver behind the second quarter performance.
The view that the Federal Reserve would begin raising the Federal funds target
in mid-year pointed the manager towards a shorter average maturity of the
portfolio. This approach enables reinvestments in higher rates as the Fed
continues to raise rates. The consensus is that the Federal Reserve will follow
a measured pace in raising its Federal funds target throughout the rest of 2004,
and market pricing implies a 2% Federal funds rate by the end of 2004. The
sub-advisor's portfolio management team believes that an increase in the Federal
funds target of 25 to 50 basis points from the June 30 level of 1.25% is more
likely. With this fundamental view as a backdrop, the portfolio duration was
shortened by selling longer dated fixed rate notes and increased quality by
eliminating Tier 2 credits (split-rated). Also, certain securities where there
were concerns about liquidity were sold. The portfolio will opportunistically
extend durations if market expectations rise for an increase in the Federal
funds target and drive short rates significantly higher.
HIGH QUALITY BOND FUND
During the first quarter, the High Quality Bond Fund performed in line with the
Merrill Lynch 1-3 Year Treasury Index. On a dollar-weighted basis, the best
performing sector in the portfolio was the residential mortgage sector followed
by the commercial mortgage, asset backed, domestic corporate/international, U.S.
Treasury and Agency, and money market sectors. On a relative basis, the
sub-advisor's sector/security selection and portfolio shape contributed
positively to return, while the duration, which was slightly shorter than that
of the index, detracted from performance. During the second quarter, the fund's
return fell short of that of the Index. Treasury yields rose by 32 to 114 basis
points across the curve during the quarter, with the 3 year area rising most, to
3.07%. Merrill Lynch reported that the Treasury Index suffered its worst quarter
in almost 25 years and its third worst quarter on record. On a dollar-weighted
basis, the best performing sector in the portfolio was the money market sector
followed by the U.S. government, residential mortgage-backed, commercial
mortgage-backed, domestic corporate/international, and asset-backed sectors.
From a performance attribution standpoint, the sub-advisor has identified three
key components of return: security/sector selection, shift (duration of the
portfolio) and shape (portfolio cash flows). On a relative basis,
sector/security selection contributed positively to return while duration and
shape subtracted from return.
INTERMEDIATE GOVERNMENT BOND FUND
The fund invests primarily in intermediate-term U.S. Government and Agency fixed
income securities. The fund is managed by two sub-advisors with complementary
investment approaches: duration management and yield curve management with
opportunistic exposure to out-of-index sectors, such as asset-backed, mortgage-
backed and high quality corporate securities. During the first half of 2004, the
fund maintained a short duration position in a rising interest rate environment.
The portfolio maintains its short duration position with expectations of
additional higher interest rates ahead.
35
CORE BOND FUND
The fund's investment strategy expands on the traditional investable fixed
income sectors (Treasuries, U.S. Government agencies, corporate bonds, MBS, ABS
and CMBS) creating a diversified portfolio that includes some exposure to high
yield, non-dollar and emerging market securities on an opportunistic basis. The
yield curve played an important role in the fund's performance in the first half
of the year. Many bond managers have anticipated a flattening yield curve
environment as the Fed began raising short-term rates. The fund was positioned
to take advantage of rising short-term rates through its short duration position
and barbelled exposure (overweighting shorter and longer duration securities)
across the yield curve. Non-dollar securities also benefited from this interest
rate environment and performed well. Security selection in U.S. Government
agencies and corporates also added to performance.
BALANCED FUND
The fund is managed by two sub-advisors: Aeltus Investment Management oversees
the fund's equity portion and BlackRock Advisors oversees the fund's fixed
income portion. Aeltus uses a quantitative model that is designed to track the
S&P 500 Index closely. The index has posted a steady 3.44% year-to-date by
beginning the year strong, then incurring negative returns during March and
April, but ended the 2nd quarter with positive returns. Overweighting the
Industrial sector as well as security selection within the sector were both
additive in the recent months. Microsoft and General Electric added to
performance while market volatility has hampered the quantitative approach of
the equity portion of the fund. BlackRock uses an investment strategy that
expands on the more traditional investable fixed income universe, creating a
more diversified portfolio that includes some exposure to below-investment grade
("high yield"), non-dollar, and emerging market securities on an opportunistic
basis. A shorter duration position relative to the benchmark has been additive
while high yield exposure has detracted from performance. The fixed income
portion of the fund has outperformed the Lehman Aggregate Bond Index year to
date.
VALUE & INCOME FUND
The fund is managed by two sub-advisors with unique and complementary investment
approaches to value investing: deep value and relative value. Year to date, the
fund has performed in line with its Russell 1000 Value benchmark. Both sector
selection and stock selection helped relative returns. Energy, the best
performing sector year to date, contributed to returns. Companies with exposure
to refining benefited as refining margins remained extremely strong. An
underweight to the Financial sector during the second quarter was also positive
due to concerns over rising interest rates. Insurance companies, including
ManuLife and Hartford Financial reaped the benefits as refinancing activity
picked up. The portfolio characteristics remain attractively valued. The fund
maintained low price to book and price to earnings ratios and an earnings per
share growth rate greater than its benchmark.
GROWTH & INCOME FUND
The fund was restructured in May to utilize three sub-advisors, each with a
specific role. The structured core component, sub-advised by Goldman Sachs Asset
Management, applies a quantitative model and tracks the benchmark risk closely,
while the active value and growth components seek to add more value through
fundamental stock selection. The complementary sub-advisors are Ark Asset
Management and Aronson+ Johnson+Ortiz, LP. Year-to-date, the fund's performance
lagged the S&P 500 Index primarily due to trends in January, when low quality
and low price stocks continued to be rewarded. The fund has had a higher quality
bias. Subsequently, as the market normalized, relative performance has improved,
especially since the Fund's May restructure. Stock selection since January was
strong in a majority of the sectors while sector allocations had less of an
impact on relative performance. Top holdings year to date included YAHOO! and
Nucor. Specific stocks that detracted from performance included King
Pharmaceuticals and BEA Systems.
36
EQUITY GROWTH FUND
The fund is managed by three sub-advisors, each of whom has a specific role in
the fund. The fund has a core growth component, sub-advised by RCM, which
strives to outperform consistently while the other 2 components strive to add
more value through security selection. The fund trailed the Russell 1000 Growth
Index year to date. Security selection in Consumer Discretionary and Technology
names was the main driver of the fund's underperformance. Many of these names
have been impacted by concerns over rising oil prices, which have an adverse
effect on both business and consumer spending. Amazon.com was down 12% prior to
being sold and Tiffany & Co. was down 15% and is being held due to the company's
long-term positive growth prospects. Top performing names in the first half of
the year included YAHOO!, Genentech and eBay, Inc.
MID-CAP VALUE FUND
The fund outperformed the Russell Mid Cap Value Index year to date. A large
portion of the excess return was generated from stock selection in the
Healthcare, Consumer Discretionary and Industrial sectors. The portfolio
returned 17% vs. the index return of 1% in Healthcare, 7% vs. 5% in Consumer
Discretionary and 12% vs. 8% in Industrials. In addition to strong stock
selection in Industrials, an overweighting of 11% was also additive. A recent
contributor, Charter One Financial, a holding in the portfolio which was
acquired by Royal Bank of Scotland, supplied 50 basis points of performance for
the second quarter. Other names contributing to outperformance year to date were
TXU Corporation, Genuine Parts and Goodrich Corporation. The portfolio remains
poised for economic recovery and the sub-advisor expects companies to continue
to post strong earnings for the upcoming quarters.
MID-CAP GROWTH FUND
The sub-advisor's investment philosophy is to seek high quality growth companies
at attractive valuations. For the first half of 2004, the fund posted positive
absolute returns, and performed in line with the Russell Mid Cap Growth Index.
Both sector selection and stock selection contributed to relative returns,
particularly within the Healthcare, Information Technology and Energy sectors.
Healthcare equipment and suppliers, Cytyc Corp. and Kinetic Concepts, along with
healthcare provider and service company, Caremark RX Inc., boosted the
Healthcare performance. Stock selection within Information Technology and an
overweight to the top performing Energy sector benefited portfolio returns year
to date. The sub-advisor maintains a relatively positive outlook for equities
and finds many attractive companies that have quality management teams and
earnings growth prospects that are not fully discounted into current prices.
SMALL-CAP VALUE FUND
The fund posted strong returns against its benchmark year to date. Given the
more normal economic and investment environment, the sub-advisor's "normalized"
free cash flow methodology has been rewarded year to date. Stock selection was
strong in almost all major economic sectors except for the Consumer and Energy
holdings. For example, the fund gained 24.7% and 33.5%, respectively, in the
Technology and Materials sectors while the index only returned 3.7% and 12.9%
for the same two sectors. In addition, an 8% underweight to the interest rate
sensitive Financials sector benefited performance, as Financials were among the
weakest performing stocks for the benchmark.
A couple of recent transactions are worth noting. The sub-advisor established a
position in Exide Technologies, a leading global battery manufacturer serving
the Transportation, Industrial, and Telecommunications markets. Exide recently
exited bankruptcy with a much-improved capital structure and the bulk of its
restructuring activities behind them. The sub-advisor expects global battery
growth to remain steady with the potential for acceleration in hybrid
automobiles that are increasingly entering the market.
Another company that has faced a difficult few years and now appears to be
emerging from its challenges is Horace Mann. Horace Mann sells
property/casualty, life and annuities products, primarily targeting the educator
marketplace. Its long-term entrenchment in this market is solid, but reserve
miscues in the
37
2001-2003 timeframe eroded profitability and confidence in the company. New
management appears to be righting the ship and earnings have responded
accordingly.
SPECIAL EQUITY FUND
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 trailed the
Russell 2000 Index year-to-date. Holdings that detracted from performance were
primarily Consumer Discretionary names, such as Alliance Gaming, which lost
ground on lower earnings guidance and a delay in regulatory approvals. The
sub-advisor subsequently sold this stock. Cashe Inc. was another holding weak on
reduced guidance. But with long-term fundamentals intact, the sub-advisor has
maintained this position. Stock selection in the Consumer Discretionary sector
cost the Fund 1.1% in the relative performance, as the Fund returned 3.4% in
this sector compared to the benchmark's 9.1%. Additionally, underweighted
positions in the top-performing sectors such as Energy and Materials, which
returned 27.0% and 10.7%, respectively, further detracted performance. Positive
contributors to performance included Advanced Medical Optics, EGL, Inc. and
Thomas & Betts. Strong stock selection in the Financial sector also added to
performance.
SMALL-CAP GROWTH FUND
The Fund's year-to-date performance trailed that of the Russell 2000 Growth
Index benchmark. Sector allocations had a negative impact on performance, as the
Fund did not have any holdings in the top-performing Energy sector, which gained
27.0% for the six month period for the benchmark. Having no exposure to the
Energy sector cost the Fund 74 basis points year to date. Overall stock
selection was relatively strong and offset most of the underperformance. On an
individual stock basis, Urban Outfitters was up substantially as a result of
strong sales and earnings growth. Ask Jeeves was another strong performer as
investors paid more attention to search engine stocks on news of Google's
proposed initial public offering. Holdings in Pharmaceutical and Technology
companies, however, were challenged during the same time period. Pozen declined
after an FDA non-approval letter for one of its experimental migraine drugs.
Asyst Technology, Cymer and O2 Micro International were all down due to concerns
of slower than anticipated recovery.
AGGRESSIVE EQUITY FUND
The fund uses a quantitative growth strategy to identify companies with strong
risk adjusted returns and accelerating earnings growth. In the first half of the
year, the fund delivered strong absolute returns but trailed the Russell 2000
Growth Index due to the dominance of small caps in the first quarter. This trend
reversed in the second quarter, but not enough to rebound from the first
quarter's relative performance. Securities within the fund exhibit momentum
characteristics the sub-advisor seeks, but several of the names quickly reversed
course within the Industrials and Telecom sectors. The fund returned -8.26% and
- -10.15% to these sectors respectively compared to the returns of the index of
11.61% and 10.21%. AMR Corp and International Steel Group were impacted by this
type of price reversal. Top performing names in the first half of the year
included Elan Corp. PLC, PalmOne, and Ask Jeeves.
HIGH YIELD BOND FUND
Risk taking continued to be rewarded during the first half of 2004 in the high
yield space, as lower rated issues, such as B and CCC, benefited from improving
credit ratings and better earnings fundamentals. In addition, such issues tend
to be less sensitive to rising interest rates compared to higher rated credit
sectors, such as BB. The Fund's overweight to the B sector at the expense of BB
contributed significantly to performance year to date. Sector allocation
decisions also added to performance, including an overweight to the strong
performing Chemicals sector and an underweight to the lagging Utilities and
Energy sectors.
38
INTERNATIONAL EQUITY FUND
The fund underwent a sub-advisory change in March as the incumbent sub-advisor
was replaced with two style specific portfolio management teams from Wellington
Management Company LLP and LSV Asset Management. The new structure pairs a
growth manager, Wellington, with a value manager, LSV. This coupling achieves
the fund objective which is an overall core approach in the international space.
The fund underperformed in the first quarter prior to the change due to poor
stock selection primarily in the Information Technology sector which trailed the
index returns for the sector by 10%. Although relative performance improved
during the second quarter, year to date the fund return still lags its
benchmark. The largest exposure over the first six months of the year was
Financials, which represented 20% of the portfolio. This sector underperformed
the benchmark sector return by 2% year to date. Securities in the Industrials
and Consumer Staples sectors added 1% over the benchmark through June. Specific
names contributing to outperformance in the past few months were Research In
Motion, Elan Corp. PLC and Euro Aero Defense. The value space outperformed
growth in the second quarter with both styles maintaining a positive outlook for
the upcoming quarters.
39
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
------------ ------------ ------------ -------------- ------------ --------------
ASSETS:
Securities, at cost................. $770,828,447 $697,321,153 $324,076,612 $1,904,154,755 $415,172,316 $2,157,326,432
============ ============ ============ ============== ============ ==============
Securities, at value, including
securities loaned (Note 4)......... $770,828,447 $691,446,402 $323,424,959 $1,894,088,345 $443,970,453 $2,456,142,904
Repurchase agreements (cost equals
market)............................ 73,370,516 4,127,121 15,865,420 10,592,077 22,095,743 76,578,761
Cash................................ 3,000 -- -- 140,028 935 --
Cash segregated as collateral for
futures contracts.................. -- -- -- -- -- --
Receivable for securities sold...... -- -- 427,500 196,186,828 21,196,014 7,180,238
Unrealized appreciation on foreign
currency forward contracts......... -- -- -- 2,148,462 144,543 --
Variation margin.................... -- -- -- 215,861 34,431 --
Interest receivable................. 1,179,136 4,304,657 2,024,909 12,304,619 1,182,729 4,036
Dividends receivable................ -- -- -- -- 340,341 4,162,197
Foreign tax reclaim receivable...... -- -- -- -- -- 13,848
Receivable from Advisor............. -- -- 1,214 -- 3,520 --
Receivable from securities
lending............................ -- 2,518 -- 35,147 4,429 15,975
------------ ------------ ------------ -------------- ------------ --------------
Total assets........................ 845,381,099 699,880,698 341,744,002 2,115,711,367 488,973,138 2,544,097,959
------------ ------------ ------------ -------------- ------------ --------------
LIABILITIES:
Due to custodian.................... -- -- 10,729 -- -- --
Collateral for securities loaned.... -- 24,997,500 45,646,702 156,127,635 20,635,702 111,318,106
Payable for securities purchased.... -- 1,999,934 20,048,185 430,776,786 42,572,636 19,622,935
Securities sold short, at value
(proceeds $15,107,048 and
$4,262,938, respectively).......... -- -- -- 15,211,976 4,295,157 --
Written options, at value (premium
$147,923 and $4,744,
respectively)...................... -- -- -- 156,938 5,062 --
Unrealized depreciation on foreign
currency forward contracts......... -- -- -- 3,297,065 253,128 --
Investment advisory fees............ 193,922 211,953 87,342 470,930 169,374 963,592
Accrued expenses.................... 59,052 35,965 2,853 57,963 18,562 27,233
Contingent Liability (Note 6)....... -- -- -- -- -- --
------------ ------------ ------------ -------------- ------------ --------------
Total liabilities................... 252,974 27,245,352 65,795,811 606,099,293 67,949,621 131,931,866
------------ ------------ ------------ -------------- ------------ --------------
NET ASSETS.......................... $845,128,125 $672,635,346 $275,948,191 $1,509,612,074 $421,023,517 $2,412,166,093
============ ============ ============ ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-in capital..................... $845,128,125 $678,510,097 $276,599,844 $1,520,966,654 $392,296,034 $2,113,349,621
Net unrealized appreciation
(depreciation) on securities....... -- (5,874,751) (651,653) (10,066,410) 28,798,137 298,816,472
Net unrealized appreciation
(depreciation) on futures, written
options and short sales............ -- -- -- (206,447) 36,398 --
Net unrealized appreciation
(depreciation) on translation of
assets and liabilities in foreign
currencies......................... -- -- -- (1,081,723) (107,052) --
------------ ------------ ------------ -------------- ------------ --------------
NET ASSETS.......................... $845,128,125 $672,635,346 $275,948,191 $1,509,612,074 $421,023,517 $2,412,166,093
============ ============ ============ ============== ============ ==============
</Table>
See notes to financial statements.
40
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH
-------------- -------------- ------------ ------------ ------------ -------------- ------------
$1,104,183,835 $1,884,207,104 $280,497,576 $208,828,532 $141,802,859 $1,198,971,455 $110,573,181
============== ============== ============ ============ ============ ============== ============
$1,134,319,520 $2,088,139,890 $308,025,071 $222,181,935 $162,251,244 $1,449,761,925 $122,590,674
20,052,829 71,707,881 20,419,580 7,201,699 7,795,810 43,954,894 4,660,255
-- 38,500 -- -- -- -- --
150,000 -- -- -- -- -- --
12,649,531 24,563,342 6,128,727 1,681,856 -- 13,507,327 272,242
-- 520 -- -- -- 1,224 --
7,431 -- -- -- -- 26,950 --
2,128 3,063 899 865 602 4,631 669
1,106,385 1,259,801 269,138 101,560 261,423 846,195 45,384
-- 6,975 1,046 -- -- 1,106 77
-- -- 3,130 1,701 4,706 -- 5,932
35,476 16,545 5,433 4,397 1,706 35,096 2,242
-------------- -------------- ------------ ------------ ------------ -------------- ------------
1,168,323,300 2,185,736,517 334,853,024 231,174,013 170,315,491 1,508,139,348 127,577,475
-------------- -------------- ------------ ------------ ------------ -------------- ------------
526,585 -- -- -- -- -- --
68,700,182 77,777,988 23,156,725 28,391,591 18,382,475 149,341,341 22,389,826
17,334,531 18,258,485 10,942,619 2,709,782 186,206 14,695,070 924,539
-- -- -- -- -- -- --
-- -- -- -- -- -- --
-- 21,226 -- -- -- 1,583 --
579,740 1,150,017 174,396 126,887 107,867 949,337 77,920
46,727 71,266 36,656 37,427 23,746 66,893 25,472
-- -- -- -- -- -- --
-------------- -------------- ------------ ------------ ------------ -------------- ------------
87,187,765 97,278,982 34,310,396 31,265,687 18,700,294 165,054,224 23,417,757
-------------- -------------- ------------ ------------ ------------ -------------- ------------
$1,081,135,535 $2,088,457,535 $300,542,628 $199,908,326 $151,615,197 $1,343,085,124 $104,159,718
============== ============== ============ ============ ============ ============== ============
$1,050,978,618 $1,884,563,623 $273,015,133 $186,554,923 $131,166,812 $1,092,111,852 $ 92,142,225
30,135,685 203,932,786 27,527,495 13,353,403 20,448,385 250,790,470 12,017,493
21,232 -- -- -- -- 183,330 --
-- (38,874) -- -- -- (528) --
-------------- -------------- ------------ ------------ ------------ -------------- ------------
$1,081,135,535 $2,088,457,535 $300,542,628 $199,908,326 $151,615,197 $1,343,085,124 $104,159,718
============== ============== ============ ============ ============ ============== ============
<Caption>
AGGRESSIVE HIGH YIELD INTERNATIONAL
EQUITY BOND EQUITY
------------ ------------ --------------
$415,076,950 $279,451,780 $1,212,029,298
============ ============ ==============
$476,678,515 $287,624,701 $1,282,239,822
12,574,922 14,583,578 35,896,640
85,596 22,267 --
-- -- --
19,042,030 1,759,917 6,193,567
-- 86 21,459
-- -- --
2,983 6,155,853 4,515
170,230 -- 3,080,413
-- -- 901,780
9,403 586 --
15,180 -- 162,353
------------ ------------ --------------
508,578,859 310,146,988 1,328,500,549
------------ ------------ --------------
-- -- 2,004,055
103,920,054 -- 149,021,635
17,281,090 4,744,323 1,809,781
-- -- --
-- -- --
-- -- 34,351
323,124 149,275 775,221
59,982 30,605 20,561
-- -- --
------------ ------------ --------------
121,584,250 4,924,203 153,665,604
------------ ------------ --------------
$386,994,609 $305,222,785 $1,174,834,945
============ ============ ==============
$325,393,044 $297,051,311 $1,104,581,850
61,601,565 8,172,921 70,210,524
-- -- --
-- (1,447) 42,571
------------ ------------ --------------
$386,994,609 $305,222,785 $1,174,834,945
============ ============ ==============
</Table>
41
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
---------- ----------- ------------ ------------ ------------ ------------
INVESTMENT INCOME (LOSS):
Interest income............................ $4,766,132 $ 9,289,558 $ 3,549,168 $ 27,832,213 $ 2,816,469 $ 253,414
Securities lending income (net)............ -- 16,993 75,805 208,867 23,969 71,204
Dividend income............................ -- -- -- -- 2,215,018 23,432,364
Less: withholding taxes.................... -- -- -- -- -- (87,331)
---------- ----------- ----------- ------------ ------------ ------------
Total income............................... 4,766,132 9,306,551 3,624,973 28,041,080 5,055,456 23,669,651
---------- ----------- ----------- ------------ ------------ ------------
EXPENSES:
Investment advisory fees................... 1,012,928 1,136,638 477,255 2,588,272 950,503 5,227,557
Custody fees............................... 81,493 66,071 31,588 224,628 83,545 203,677
Audit fees................................. 12,804 12,997 12,380 15,298 13,467 17,463
Legal fees................................. 3,180 2,011 2,376 4,638 1,342 9,840
Reports to shareholders.................... 2,896 1,374 3,267 3,118 741 4,752
Miscellaneous fees......................... 2,678 2,118 907 4,846 1,411 7,331
---------- ----------- ----------- ------------ ------------ ------------
Total expenses............................. 1,115,979 1,221,209 527,773 2,840,800 1,051,009 5,470,620
Expenses reimbursed by the Advisor......... -- -- (1,214) -- (3,520) --
---------- ----------- ----------- ------------ ------------ ------------
NET EXPENSES............................... 1,115,979 1,221,209 526,559 2,840,800 1,047,489 5,470,620
---------- ----------- ----------- ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS)............... 3,650,153 8,085,342 3,098,414 25,200,280 4,007,967 18,199,031
---------- ----------- ----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON SECURITIES, FUTURES, WRITTEN OPTIONS,
SHORT SALES AND FOREIGN CURRENCIES:
Net realized gains (losses) on
securities................................ (68,909) 1,231,254 (2,709,348) (1,885,020) 13,373,670 90,411,030
Net realized gains (losses) on futures,
written options and short sales........... -- -- -- 1,172,113 (726) --
Net realized gains (losses) on foreign
currency transactions..................... -- -- -- (616,282) (254,334) --
Net change in unrealized appreciation
(depreciation) on securities.............. -- (8,960,000) (1,997,755) (29,058,751) (10,163,983) (15,507,326)
Net change in unrealized appreciation
(depreciation) on futures, written options
and short sales........................... -- -- -- 1,239,943 231,487 --
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities in foreign currencies..... -- -- -- 7,940,491 762,686 --
---------- ----------- ----------- ------------ ------------ ------------
Net realized and unrealized gains (losses)
on securities, futures, written options,
short sales and foreign currencies........ (68,909) (7,728,746) (4,707,103) (21,207,506) 3,948,800 74,903,704
---------- ----------- ----------- ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. $3,581,244 $ 356,596 $(1,608,689) $ 3,992,774 $ 7,956,767 $ 93,102,735
========== =========== =========== ============ ============ ============
</Table>
See notes to financial statements.
42
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
$ 230,607 $ 168,507 $ 36,015 $ 12,962 $ 13,743 $ 110,503 $ 7,969 $ 21,649
27,349 54,490 27,382 16,775 9,536 232,019 15,196 96,965
7,687,326 8,815,377 1,360,242 398,454 674,332 5,841,543 212,807 795,751
(3,603) (43,815) (20,975) (1,445) -- (3,855) (1,486) (13,124)
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
7,941,679 8,994,559 1,402,664 426,746 697,611 6,180,210 234,486 901,241
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
3,180,338 6,287,896 866,861 674,284 523,645 5,290,810 419,676 1,799,072
108,181 196,097 43,161 28,362 26,321 165,241 27,526 36,002
14,290 16,420 10,883 10,807 9,485 15,724 9,448 12,123
4,831 6,243 670 484 351 4,021 273 2,668
3,380 4,180 533 375 260 2,693 189 1,935
3,477 6,521 778 568 417 4,203 333 1,224
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
3,314,497 6,517,357 922,886 714,880 560,479 5,482,692 457,445 1,853,024
-- -- (16,556) (11,988) (17,242) -- (23,297) (325)
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
3,314,497 6,517,357 906,330 702,892 543,237 5,482,692 434,148 1,852,699
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
4,627,182 2,477,202 496,334 (276,146) 154,374 697,518 (199,662) (951,458)
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
119,468,561 18,731,674 22,745,860 15,111,102 6,971,768 85,823,821 5,015,582 16,139,926
150,461 -- -- -- -- 56,025 -- --
-- (150,638) -- -- -- (85) -- --
(97,805,090) 3,747,927 2,476,029 (2,848,605) 5,100,682 (29,330,197) (1,192,971) 836,808
(8,896) -- -- -- -- 80,270 -- --
-- 213,883 -- -- -- (528) -- --
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
21,805,036 22,542,846 25,221,889 12,262,497 12,072,450 56,629,306 3,822,611 16,976,734
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
$ 26,432,218 $25,020,048 $25,718,223 $11,986,351 $12,226,824 $ 57,326,824 $ 3,622,949 $16,025,276
============ =========== =========== =========== =========== ============ =========== ===========
<Caption>
HIGH YIELD INTERNATIONAL
BOND EQUITY
----------- -------------
$12,580,436 $ 119,764
-- 520,055
112,696 19,099,975
-- (2,313,327)
----------- ------------
12,693,132 17,426,467
----------- ------------
798,923 4,186,963
41,960 497,006
12,274 15,973
2,307 4,779
605 3,370
946 3,435
----------- ------------
857,015 4,711,526
(586) --
----------- ------------
856,429 4,711,526
----------- ------------
11,836,703 12,714,941
----------- ------------
554,115 101,904,670
-- --
29,113 (1,364,281)
(8,101,423) (70,424,330)
-- --
(1,447) 1,235,860
----------- ------------
(7,519,642) 31,351,919
----------- ------------
$ 4,317,061 $ 44,066,860
=========== ============
</Table>
43
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
--------------- ------------- ------------ -------------- ------------ --------------
FROM OPERATIONS:
Net investment income (loss).... $ 3,650,153 $ 8,085,342 $ 3,098,414 $ 25,200,280 $ 4,007,967 $ 18,199,031
Net realized gains (losses) on
securities..................... (68,909) 1,231,254 (2,709,348) (1,885,020) 13,373,670 90,411,030
Net realized gains (losses) on
futures, written options and
short sales.................... -- -- -- 1,172,113 (726) --
Net realized gains (losses) on
foreign currency
transactions................... -- -- -- (616,282) (254,334) --
Net change in unrealized
appreciation (depreciation) on
securities..................... -- (8,960,000) (1,997,755) (29,058,751) (10,163,983) (15,507,326)
Net change in unrealized
appreciation (depreciation) on
futures, written options and
short sales.................... -- -- -- 1,239,943 231,487 --
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign
currencies..................... -- -- -- 7,940,491 762,686 --
--------------- ------------- ------------ -------------- ------------ --------------
Net increase (decrease) in net
assets resulting from
operations..................... 3,581,244 356,596 (1,608,689) 3,992,774 7,956,767 93,102,735
--------------- ------------- ------------ -------------- ------------ --------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital
invested....................... 1,192,333,849 172,595,010 73,035,822 255,045,326 44,852,163 376,880,139
Value of capital withdrawn...... (1,150,359,566) (123,064,594) (60,998,930) (218,213,033) (65,871,245) (255,902,516)
--------------- ------------- ------------ -------------- ------------ --------------
Net increase (decrease) in net
assets resulting from capital
transactions................... 41,974,283 49,530,416 12,036,892 36,832,293 (21,019,082) 120,977,623
--------------- ------------- ------------ -------------- ------------ --------------
Net increase (decrease) in net
assets......................... 45,555,527 49,887,012 10,428,203 40,825,067 (13,062,315) 214,080,358
NET ASSETS:
Beginning of period............. 799,572,598 622,748,334 265,519,988 1,468,787,007 434,085,832 2,198,085,735
--------------- ------------- ------------ -------------- ------------ --------------
End of period................... $ 845,128,125 $ 672,635,346 $275,948,191 $1,509,612,074 $421,023,517 $2,412,166,093
=============== ============= ============ ============== ============ ==============
</Table>
See notes to financial statements.
44
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH
-------------- -------------- ------------ ------------ ------------ -------------- ------------
$ 4,627,182 $ 2,477,202 $ 496,334 $ (276,146) $ 154,374 $ 697,518 $ (199,662)
119,468,561 18,731,674 22,745,860 15,111,102 6,971,768 85,823,821 5,015,582
150,461 -- -- -- -- 56,025 --
-- (150,638) -- -- -- (85) --
(97,805,090) 3,747,927 2,476,029 (2,848,605) 5,100,682 (29,330,197) (1,192,971)
(8,896) -- -- -- -- 80,270 --
-- 213,883 -- -- -- (528) --
-------------- -------------- ------------ ------------ ------------ -------------- ------------
26,432,218 25,020,048 25,718,223 11,986,351 12,226,824 57,326,824 3,622,949
-------------- -------------- ------------ ------------ ------------ -------------- ------------
141,899,754 317,065,640 88,560,214 43,118,632 52,441,847 260,010,999 31,504,434
(150,585,769) (229,264,853) (29,928,928) (20,944,531) (13,940,932) (244,853,824) (14,557,308)
-------------- -------------- ------------ ------------ ------------ -------------- ------------
(8,686,015) 87,800,787 58,631,286 22,174,101 38,500,915 15,157,175 16,947,126
-------------- -------------- ------------ ------------ ------------ -------------- ------------
17,746,203 112,820,835 84,349,509 34,160,452 50,727,739 72,483,999 20,570,075
1,063,389,332 1,975,636,700 216,193,119 165,747,874 100,887,458 1,270,601,125 83,589,643
-------------- -------------- ------------ ------------ ------------ -------------- ------------
$1,081,135,535 $2,088,457,535 $300,542,628 $199,908,326 $151,615,197 $1,343,085,124 $104,159,718
============== ============== ============ ============ ============ ============== ============
<Caption>
AGGRESSIVE HIGH YIELD INTERNATIONAL
EQUITY BOND EQUITY
------------ ------------ --------------
$ (951,458) $ 11,836,703 $ 12,714,941
16,139,926 554,115 101,904,670
-- -- --
-- 29,113 (1,364,281)
836,808 (8,101,423) (70,424,330)
-- -- --
-- (1,447) 1,235,860
------------ ------------ --------------
16,025,276 4,317,061 44,066,860
------------ ------------ --------------
81,872,511 66,381,875 209,369,141
(82,236,188) (48,176,925) (127,634,952)
------------ ------------ --------------
(363,677) 18,204,950 81,734,189
------------ ------------ --------------
15,661,599 22,522,011 125,801,049
371,333,010 282,700,774 1,049,033,896
------------ ------------ --------------
$386,994,609 $305,222,785 $1,174,834,945
============ ============ ==============
</Table>
45
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
HIGH INTERMEDIATE
MONEY QUALITY GOVERNMENT CORE VALUE &
MARKET BOND BOND BOND BALANCED INCOME
--------------- ------------- ------------- -------------- ------------ --------------
FROM OPERATIONS:
Net investment income (loss)... $ 9,979,725 $ 17,159,281 $ 9,450,274 $ 44,628,727 $ 8,599,312 $ 34,499,497
Net realized gains (losses) on
securities.................... 2,502 1,053,699 9,090,837 33,834,691 (2,378,526) (14,947,882)
Net realized gains (losses) on
futures, written options and
short sales................... -- -- -- (7,377,329) (381,773) --
Net realized gains (losses) on
foreign currency
transactions.................. -- -- -- (9,734,134) (1,376,703) --
Net change in unrealized
appreciation (depreciation) on
securities.................... -- (6,996,509) (12,217,945) (7,048,140) 61,359,689 432,326,774
Net change in unrealized
appreciation (depreciation) on
futures, written options and
short sales................... -- -- -- 4,245,398 320,215 --
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign
currencies.................... -- -- -- (8,285,094) (677,257) --
--------------- ------------- ------------- -------------- ------------ --------------
Net increase (decrease) in net
assets resulting from
operations.................... 9,982,227 11,216,471 6,323,166 50,264,119 65,464,957 451,878,389
--------------- ------------- ------------- -------------- ------------ --------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital
invested...................... 4,895,275,949 443,551,095 136,326,640 1,006,604,253 87,161,756 787,647,945
Value of capital withdrawn..... (4,970,458,524) (271,034,250) (235,135,208) (587,705,969) (94,286,493) (594,600,404)
--------------- ------------- ------------- -------------- ------------ --------------
Net increase (decrease) in net
assets resulting from capital
transactions.................. (75,182,575) 172,516,845 (98,808,568) 418,898,284 (7,124,737) 193,047,541
--------------- ------------- ------------- -------------- ------------ --------------
Net increase (decrease) in net
assets........................ (65,200,348) 183,733,316 (92,485,402) 469,162,403 58,340,220 644,925,930
NET ASSETS:
Beginning of year.............. 864,772,946 439,015,018 358,005,390 999,624,604 375,745,612 1,553,159,805
--------------- ------------- ------------- -------------- ------------ --------------
End of year.................... $ 799,572,598 $ 622,748,334 $265,519,988 $1,468,787,007 $434,085,832 $2,198,085,735
=============== ============= ============= ============== ============ ==============
</Table>
See notes to financial statements.
46
<Table>
<Caption>
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP
INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH
-------------- -------------- ------------ ------------ ------------ -------------- -----------
$ 9,209,845 $ 5,160,875 $ 630,628 $ (295,799) $ 661,360 $ (259,523) $ (78,423)
(18,757,982) (53,877,311) 16,382,379 7,924,068 3,460,669 93,446,698 3,962,414
393,990 -- -- -- -- 1,993,411 --
-- (448,279) 12 -- -- -- --
212,270,922 409,432,264 26,563,475 16,015,678 16,155,804 300,788,244 12,202,135
183,859 -- -- -- -- 229,855 --
-- (253,185) -- -- -- -- --
-------------- -------------- ------------ ------------ ------------ -------------- -----------
203,300,634 360,014,364 43,576,494 23,643,947 20,277,833 396,198,685 16,086,126
-------------- -------------- ------------ ------------ ------------ -------------- -----------
426,163,342 842,583,806 152,858,411 117,035,920 74,205,600 619,304,338 60,627,113
(365,696,147) (373,850,553) (27,871,166) (19,202,750) (11,516,201) (750,860,756) (9,645,051)
-------------- -------------- ------------ ------------ ------------ -------------- -----------
60,467,195 468,733,253 124,987,245 97,833,170 62,689,399 (131,556,418) 50,982,062
-------------- -------------- ------------ ------------ ------------ -------------- -----------
263,767,829 828,747,617 168,563,739 121,477,117 82,967,232 264,642,267 67,068,188
799,621,503 1,146,889,083 47,629,380 44,270,757 17,920,226 1,005,958,858 16,521,455
-------------- -------------- ------------ ------------ ------------ -------------- -----------
$1,063,389,332 $1,975,636,700 $216,193,119 $165,747,874 $100,887,458 $1,270,601,125 $83,589,643
============== ============== ============ ============ ============ ============== ===========
<Caption>
AGGRESSIVE HIGH YIELD INTERNATIONAL
EQUITY BOND EQUITY
------------- ------------- ---------------
$ (1,976,889) $ 21,480,918 $ 8,873,734
28,566,283 14,222,810 (29,216,895)
-- -- --
-- -- 4,292,233
56,018,993 23,379,451 279,190,953
-- -- --
-- -- (2,877,612)
------------- ------------- ---------------
82,608,387 59,083,179 260,262,413
------------- ------------- ---------------
219,225,766 164,492,103 1,663,422,826
(242,800,742) (148,960,043) (1,531,539,691)
------------- ------------- ---------------
(23,574,976) 15,532,060 131,883,135
------------- ------------- ---------------
59,033,411 74,615,239 392,145,548
312,299,599 208,085,535 656,888,348
------------- ------------- ---------------
$ 371,333,010 $ 282,700,774 $ 1,049,033,896
============= ============= ===============
</Table>
47
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
COMMERCIAL PAPER -- 54.3%
$34,260,000 Barclays U.S. Funding LLC,
1.21%, 07/22/04.............. $ 34,235,818
8,100,000 Canadian Imperial Bank,
1.03%, 07/01/04.............. 8,100,000
23,000,000 CIT Group, Inc. -- 144A,
1.17%, 07/06/04.............. 22,996,262
33,985,000 Citigroup, Inc.,
1.27%, 07/26/04.............. 33,988,029
10,000,000 Coca-Cola, Inc. -- 144A,
1.11%, 07/13/04.............. 9,996,300
25,000,000 Credit Suisse First Boston USA,
Inc.,
1.10%, 07/14/04.............. 24,990,069
4,422,000 Credit Suisse First Boston USA,
Inc.,
1.07%, 07/16/04.............. 4,420,028
25,000,000 Edison Asset Securitization
LLC -- 144A,
1.05%, 07/07/04.............. 24,995,625
8,000,000 General Motors Acceptance
Corp.,
1.29%, 07/09/04.............. 7,997,707
18,872,000 Household Finance Corp.,
1.06%, 07/06/04.............. 18,869,222
15,000,000 HSBC USA, Inc.,
1.30%, 08/03/04.............. 14,982,125
20,302,000 International Lease Finance
Corp.,
1.05%, 07/08/04.............. 20,297,855
19,000,000 J.P. Morgan Chase &
Company -- 144A,
1.05%, 07/12/04.............. 18,993,904
7,400,000 Kellogg Company -- 144A,
1.15%, 07/09/04.............. 7,398,109
28,958,000 Lockhart Funding LLC -- 144A,
1.17%, 07/19/04.............. 28,941,060
17,000,000 Marshall & Ilsley Corp.,
1.09%, 07/06/04.............. 16,997,426
29,383,000 Morgan Stanley,
1.06%, 07/01/04.............. 29,383,000
22,811,000 National Rural Utilities
Cooperative Finance Corp.,
1.23%, 07/20/04.............. 22,796,192
15,000,000 Procter & Gamble Company,
1.06%, 07/06/04.............. 14,997,792
15,000,000 Procter & Gamble Company,
1.28%, 08/10/04.............. 14,978,667
1,097,000 Progress Energy, Inc. -- 144A,
1.25%, 07/06/04.............. 1,096,810
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
COMMERCIAL PAPER (CONTINUED)
$ 5,428,000 Progress Energy, Inc. -- 144A,
1.25%, 07/12/04.............. $ 5,425,927
25,000,000 Rabobank USA Financial Corp.,
1.18%, 07/21/04.............. 24,983,611
6,119,000 Starbird Funding Corp. -- 144A,
1.12%, 07/07/04.............. 6,117,858
23,758,000 Three Pillars Funding
Company -- 144A,
1.06%, 07/01/04.............. 23,758,000
17,358,000 Thunder Bay Funding,
Inc. -- 144A,
1.15%, 07/20/04.............. 17,347,465
------------
TOTAL COMMERCIAL PAPER (Cost
$459,084,861)................ 459,084,861
------------
DOMESTIC CERTIFICATES OF DEPOSIT -- 7.0%
25,000,000 Toronto Dominion Holdings,
1.10%, 09/01/04.............. 25,000,000
34,390,000 Wells Fargo Bank NA,
1.30%, 07/28/04.............. 34,390,000
------------
TOTAL DOMESTIC CERTIFICATES OF
DEPOSIT (Cost $59,390,000)... 59,390,000
------------
FOREIGN CERTIFICATE OF DEPOSIT -- 1.8%
15,000,000 Canadian Imperial Bank,
1.46%, 11/17/04 (Cost
$14,999,506)................. 14,999,506
------------
MEDIUM TERM CORPORATE NOTE -- 1.5%
13,000,000 Caterpillar Financial Service
Corp., Floating Rate,
1.24% (**), 07/09/04 (Cost
$13,000,000)................. 13,000,000
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 21.8%
FANNIE MAE -- 12.5%
16,500,000 6.50%, 08/15/04................ 16,555,572
8,900,000 1.24%, 11/03/04................ 8,861,681
21,100,000 1.60%, 12/29/04................ 21,100,000
25,000,000 2.07%, 04/29/05................ 24,566,924
20,200,000 Floating Rate,
1.31% (**), 02/14/05......... 20,200,000
14,100,000 Floating Rate,
1.09% (**), 06/09/05......... 14,100,734
------------
105,384,911
------------
</Table>
See notes to financial statements.
48
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FEDERAL HOME LOAN BANK -- 5.2%
$ 7,650,000 1.47%, 02/01/05................ $ 7,650,000
20,200,000 1.40%, 03/01/05................ 20,199,588
16,500,000 1.66%, 05/16/05................ 16,519,551
------------
44,369,139
------------
FREDDIE MAC -- 4.1%
20,200,000 Floating Rate,
1.22% (**), 02/14/05......... 20,200,000
14,100,000 Floating Rate,
1.10% (**), 10/07/05......... 14,100,000
------------
34,300,000
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$184,054,050)................ 184,054,050
------------
SHORT TERM CORPORATE NOTES -- 4.8%
8,000,000 American Express Credit
Company, Floating Rate,
1.20% (**), 04/05/05......... 8,000,000
18,300,000 Bank of America Corp., Floating
Rate,
1.26% (**), 07/02/04......... 18,300,030
14,000,000 Merrill Lynch & Company,
Floating Rate,
1.23% (**), 03/11/05......... 14,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $40,300,030)..... 40,300,030
------------
TOTAL SECURITIES (Cost
$770,828,447)................ 770,828,447
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 8.7%
$73,370,000 With Goldman Sachs, dated
06/30/04, 1.44%, due
07/01/04, repurchase proceeds
at maturity $73,372,935
(Collateralized by Fannie
Mae, 5.27%, due 07/01/32,
with a value of
$74,838,139)................. $ 73,370,000
516 With Investors Bank & Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $516
(Collateralized by Fannie
Mae, 5.27%, due 07/01/32,
with a value of $542)........ 516
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $73,370,516)........... 73,370,516
------------
Total Investments -- 99.9%
(Cost $844,198,963).......... 844,198,963
Other assets less
liabilities -- 0.1%.......... 929,162
------------
NET ASSETS -- 100.0%........... $845,128,125
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $844,198,963.
- ---------------
** Variable rate security. The rate shown was in effect at June 30, 2004.
See notes to financial statements.
49
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES -- 79.2%
BANKS -- 17.6%
$ 1,000,000 Abbey National PLC, Series
EMTN,
6.69%, 10/17/05.............. $ 1,049,543
6,490,000 ABN AMRO Bank NV,
7.25%, 05/31/05.............. 6,758,537
5,000,000 Amsouth Bank NA, Series BKNT,
Floating Rate,
1.20%, 01/20/06(a)........... 5,003,090
3,000,000 Bank of America Corp.,
7.75%, 08/15/04.............. 3,019,875
1,000,000 Bank of America Corp.,
6.20%, 02/15/06.............. 1,055,390
2,000,000 Bank of America Corp.,
5.25%, 02/01/07.............. 2,087,822
2,000,000 Bank of America Corp.,
7.13%, 03/01/09.............. 2,219,620
1,500,000 Bank of America Corp., Series
MTN1, Floating Rate,
1.54%, 08/26/05(a)........... 1,503,938
4,100,000 Bank of Montreal-Chicago,
6.10%, 09/15/05.............. 4,257,038
3,000,000 Bank of Montreal-Chicago,
7.80%, 04/01/07.............. 3,312,984
2,000,000 Bank Boston NA, Series BKNT,
6.38%, 04/15/08.............. 2,159,892
1,000,000 Bayerische Landesbank,
4.13%, 01/14/05.............. 1,010,429
2,500,000 Deutsche Bank Financial,
6.70%, 12/13/06.............. 2,695,523
7,000,000 Fifth Third Bank,
6.75%, 07/15/05.............. 7,291,913
5,000,000 HBOS Treasury Services PLC --
144A, Floating Rate,
1.22%, 01/12/07(a)........... 5,007,385
2,280,000 HSBC Bank PLC,
8.63%, 12/15/04.............. 2,345,949
500,000 Inter-American Development
Bank,
8.40%, 09/01/09.............. 595,955
5,000,000 KFW International Finance,
Series DTC,
5.25%, 06/28/06.............. 5,240,680
2,000,000 KFW International Finance,
Series DTC,
4.75%, 01/24/07.............. 2,082,460
5,000,000 National City Bank, Series
BKNT,
2.70%, 08/24/09.............. 4,862,965
1,000,000 National Westminster Bank,
7.38%, 10/01/09.............. 1,133,982
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 5,000,000 National Westminster Bank,
Series EMTN, Floating Rate,
1.74%, 10/14/09(a)........... $ 5,003,810
6,115,000 Nordea Bank (Finland),
6.50%, 01/15/06.............. 6,453,331
5,000,000 SouthTrust NA, Series BKNT,
Floating Rate,
1.42%, 12/14/05(a)........... 4,999,825
4,000,000 SunTrust Banks, Inc., Series
BKNT, Floating Rate,
1.11%, 10/03/05(a)........... 4,003,280
3,000,000 Svenska Handelsbanken,
8.13%, 08/15/07.............. 3,372,717
3,000,000 Swiss Bank Corp.,
7.25%, 09/01/06.............. 3,254,004
1,500,000 U.S. Bancorp,
7.63%, 05/01/05.............. 1,562,307
3,000,000 U.S. Bancorp, Series MTNN,
5.10%, 07/15/07.............. 3,129,279
2,145,000 U.S. Bank NA Minnesota, Series
BKNT,
7.30%, 08/15/05.............. 2,246,160
3,500,000 U.S. Central Credit Union,
2.75%, 05/30/08.............. 3,344,978
3,000,000 US Bank NA, Floating Rate,
1.36%, 12/05/05(b)........... 3,002,637
6,000,000 Wachovia Corp.,
7.55%, 08/18/05.............. 6,323,616
2,000,000 Wells Fargo & Company,
Floating Rate,
1.56%, 06/12/06(a)........... 2,003,260
4,000,000 Wells Fargo & Company,
Floating Rate,
1.61%, 09/15/06(a)........... 4,006,744
1,000,000 Wells Fargo & Company, Series
MTNH,
6.75%, 10/01/06.............. 1,079,168
------------
118,480,086
------------
BUSINESS SERVICES AND SUPPLIES -- 0.4%
2,500,000 First Data Corp.,
6.75%, 07/15/05.............. 2,604,535
------------
FINANCIAL SERVICES -- 9.8%
4,000,000 Associates Corp. NA, Series
MTNH,
7.63%, 04/27/05.............. 4,169,640
6,000,000 Bear Stearns Companies, Inc.,
Series MTNB, Floating Rate,
1.80%, 06/19/06(a)........... 6,024,012
</Table>
See notes to financial statements.
50
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 5,000,000 Citigroup, Inc.,
3.50%, 02/01/08.............. $ 4,935,315
4,500,000 Citigroup, Inc., Floating Rate,
1.40%, 06/04/07(a)........... 4,499,789
1,370,000 General Electric Capital Corp.,
8.30%, 09/20/09.............. 1,606,709
1,000,000 General Electric Capital Corp.,
Series MTNA,
8.70%, 03/01/07.............. 1,131,336
6,000,000 Goldman Sachs Group, Inc.,
Series MTN1, Floating Rate,
1.28%, 01/09/07(a)........... 6,008,676
8,000,000 Heller Financial, Inc.,
8.00%, 06/15/05.............. 8,404,095
1,000,000 Heller Financial, Inc.,
6.38%, 03/15/06.............. 1,058,081
2,000,000 Lehman Brothers Holdings, Inc.,
6.25%, 05/15/06.............. 2,111,190
7,000,000 Lehman Brothers Holdings, Inc.,
8.25%, 06/15/07.............. 7,876,589
4,500,000 Morgan Stanley,
6.10%, 04/15/06.............. 4,736,403
3,000,000 Morgan Stanley, Floating Rate,
1.28%, 01/12/07(a)........... 3,005,088
3,000,000 Toyota Motor Credit Corp.,
Series MTN,
2.75%, 08/06/09.............. 2,937,420
2,500,000 Toyota Motor Credit Corp.,
Series MTN, Floating Rate,
1.23%, 09/09/05(b)........... 2,502,408
5,000,000 Wells Fargo Financial,
6.75%, 06/01/05.............. 5,193,465
------------
66,200,216
------------
OIL, COAL AND GAS -- 1.3%
3,500,000 ConocoPhillips,
8.75%, 05/25/10.............. 4,235,259
3,760,000 Tosco Corp.,
7.25%, 01/01/07.............. 4,081,991
------------
8,317,250
------------
PHARMACEUTICALS -- 1.1%
3,000,000 Abbott Laboratories,
5.63%, 07/01/06.............. 3,150,393
4,000,000 Merck & Company, Inc.,
5.25%, 07/01/06.............. 4,179,684
------------
7,330,077
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR
VEHICLES -- 11.2%
$ 4,846,925 Capital One Auto Finance Trust,
Series 2001-A, Class A4,
5.40%, 05/15/08.............. $ 4,957,930
2,000,000 Capital One Auto Finance Trust,
Series 2003-A, Class A3A,
1.83%, 10/15/07.............. 1,988,359
4,500,000 Carmax Auto Owner Trust, Series
2004-1, Class A3,
2.66%, 05/15/08.............. 4,464,185
7,500,000 Fifth Third Auto Trust, Series
2004-A, Class A4,
3.70%, 10/20/11.............. 7,532,813
2,000,000 Franklin Auto Trust, Series
2004-1, Class A2,
3.57%, 03/16/09.............. 1,999,934
3,000,000 Harley-Davidson Motorcycle
Trust, Series 2004-1, Class
A2,
2.53%, 11/15/11.............. 2,935,103
52,005 Household Automotive Trust,
Series 2001-2, Class A3,
4.83%, 03/17/06.............. 52,122
1,978,572 Household Automotive Trust,
Series 2002-1, Class A3,
3.75%, 09/18/06.............. 1,993,017
2,000,000 Household Automotive Trust,
Series 2003-1, Class A3,
1.73%, 12/17/07.............. 1,989,953
3,250,000 Onyx Acceptance Auto Trust,
Series 2002-D, Class A4,
3.10%, 07/15/09.............. 3,254,096
1,500,000 Onyx Acceptance Auto Trust,
Series 2004-A, Class A3,
2.19%, 03/17/08.............. 1,482,543
2,966,685 Provident Auto Lease ABS Trust,
Series 1999-1, Class A2,
7.03%, 01/14/12.............. 3,109,456
524,211 Ryder Vehicle Lease Trust,
Series 2001-A, Class A4,
5.81%, 08/15/06.............. 530,461
2,200,000 Ryder Vehicle Lease Trust,
Series 2001-A, Class A5,
6.17%, 11/15/07.............. 2,290,142
4,000,000 SSB Auto Loan Trust, Series
2002-1, Class A3,
2.37%, 09/15/06.............. 4,011,644
4,250,000 Susquehanna Auto Lease Trust,
Series 2003-1, Class A3,
2.46%, 01/14/07.............. 4,243,377
</Table>
See notes to financial statements.
51
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR
VEHICLES (CONTINUED)
$ 8,000,000 Volkswagen Auto Loan Enhanced
Trust, Series 2003-2, Class
A3,
2.27%, 10/22/07.............. $ 7,950,082
8,500,000 Wachovia Auto Owner Trust,
Series 2004-A, Class A4,
3.66%, 07/20/10.............. 8,521,249
4,500,000 WFS Financial Owner Trust,
Series 2004-1, Class A4,
2.81%, 08/22/11.............. 4,396,516
4,725,000 Whole Auto Loan Trust, Series
2002-1, Class A3,
2.60%, 08/15/06.............. 4,743,785
3,000,000 Whole Auto Loan Trust, Series
2003-1, Class A3B,
1.99%, 05/15/07.............. 2,978,946
------------
75,425,713
------------
PRIVATE ASSET BACKED: BANKS -- 0.3%
2,000,000 HBOS Treasury Services PLC --
144A,
3.75%, 09/30/08.............. 1,971,884
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 5.1%
1,500,000 Chemical Master Credit Card
Trust 1, Series 1996-2, Class
A,
5.98%, 09/15/08.............. 1,564,524
5,000,000 Citibank Credit Card Issuance
Trust, Series 2000-A3, Class
A3,
6.88%, 11/16/09.............. 5,487,551
2,000,000 Citibank Credit Card Issuance
Trust, Series 2003-A6, Class
A6,
2.90%, 05/17/10.............. 1,923,945
5,375,000 Citibank Omni-S Master Trust,
Series 2000-2, Class A,
6.75%, 09/16/09.............. 5,633,624
3,000,000 Fleet Credit Card Master Trust
II, Series 2001-B, Class A,
5.60%, 12/15/08.............. 3,139,418
1,700,000 Household Private Label Credit
Card Master Note Trust,
Series 2002-2, Class A,
Floating Rate,
1.41%, 01/18/11(a)........... 1,703,318
6,000,000 Nordstrom Private Label Credit
Card, Series 2001-1A, Class
A,
4.82%, 04/15/10.............. 6,196,692
5,500,000 Prime Credit Card Master Trust,
Series 2000-1, Class A,
6.70%, 10/15/09.............. 5,792,583
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: CREDIT CARDS
(CONTINUED)
$ 69,583 Sears Credit Account Master
Trust, Series 1996-3, Class
A,
7.00%, 07/15/08.............. $ 69,783
2,570,000 Standard Credit Card Master
Trust, Series 1994-2, Class
A,
7.25%, 04/07/08.............. 2,758,305
------------
34,269,743
------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 7.8%
1,878,090 Caterpillar Financial Asset
Trust, Series 2002-A, Class
A3,
3.15%, 02/25/08.............. 1,890,309
3,000,000 Caterpillar Financial Asset
Trust, Series 2003-A, Class
A3,
1.66%, 12/26/07.............. 2,975,066
4,500,000 Caterpillar Financial Asset
Trust, Series 2004-A, Class
A3,
3.13%, 01/26/09.............. 4,490,155
4,237,341 Community Program Loan Trust,
Series 1987-A, Class A4,
4.50%, 10/01/18.............. 4,233,202
2,245,130 Distribution Financial Services
Trust, Series 2001-1, Class
A4,
5.67%, 01/17/17.............. 2,293,732
3,000,000 First National Master Note
Trust, Series 2003-1, Class
A,
Floating Rate,
1.34%, 08/15/08(b)........... 3,005,888
4,525,000 Franklin Auto Trust, Series
2003-1, Class A4,
2.27%, 05/20/11.............. 4,411,886
1,903,518 Marshall & Ilsley Auto Loan
Trust, Series 2002-1, Class
A3,
2.49%, 10/22/07.............. 1,909,964
1,825,707 Morgan Stanley Capital I,
Series 2003-T11, Class A1,
3.26%, 06/13/41.............. 1,796,919
1,912,912 Morgan Stanley Capital I,
Series 2004-T13, Class A1,
2.85%, 09/13/45.............. 1,865,349
626,027 Morgan Stanley Capital, Series
1999-RM1, Class A1,
6.37%, 12/15/31.............. 656,905
1,550,000 Morgan Stanley Dean Witter
Capital I, Series 2001-IQA,
Class A2,
5.33%, 12/18/32.............. 1,612,244
303,175 Morgan Stanley Dean Witter
Capital I, Series 2002-HQ,
Class A1,
4.59%, 04/15/34.............. 309,190
</Table>
See notes to financial statements.
52
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCIAL SERVICES
(CONTINUED)
$ 1,392,543 Morgan Stanley Dean Witter
Capital I, Series 2002-IQ2,
Class A1,
4.09%, 12/15/35.............. $ 1,409,777
1,113,465 Morgan Stanley Dean Witter
Capital, Series 2001-TOP3,
Class A1,
5.31%, 07/15/33.............. 1,144,526
599,206 Nations Credit Grantor Trust,
Series 1997, Class A,
6.75%, 08/15/13.............. 618,951
4,000,000 Navistar Financial Corp. Owner
Trust, Series 2001-B, Class
A4,
4.37%, 11/17/08.............. 4,048,896
3,000,000 Nelnet Student Loan Trust,
Series 2002-2, Class A3,
Floating Rate,
1.21%, 09/25/13(a)........... 2,998,415
2,150,000 PSE&G Transition Funding LLC,
Series 2001-1, Class A3,
5.98%, 06/15/08.............. 2,249,169
3,550,000 PSE&G Transition Funding LLC,
Series 2001-1, Class A5,
6.45%, 03/15/13.............. 3,887,226
4,206,635 Public Service New Hampshire
Funding, LLC, Series 2001-1,
Class A2,
5.73%, 11/01/10.............. 4,411,092
------------
52,218,861
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 8.6%
4,525,230 Banc of America Commercial
Mortgage, Inc., Series
2002-2, Class A1,
3.37%, 07/11/43.............. 4,527,718
346,480 Bank Boston Home Equity Loan
Trust, Series 1998-1, Class
A4,
6.42%, 01/25/21.............. 349,320
2,431,442 Bear Stearns Commercial
Mortgage Securities, Inc.,
Series 1998-C1, Class A1,
6.34%, 06/16/30.............. 2,545,821
1,100,392 Bear Stearns Commercial
Mortgage Securities, Inc.,
Series 1999-C1, Class A1,
5.91%, 02/14/31.............. 1,152,065
1,763,882 Bear Stearns Commercial
Mortgage Securities, Inc.,
Series 2001-TOP4, Class A1,
5.06%, 11/15/16.............. 1,813,430
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 957,789 Bear Stearns Commercial
Mortgage Securities, Inc.,
Series 2002-PBW1, Class A1,
3.97%, 11/11/35.............. $ 943,187
2,913,325 Commercial Mortgage Pass-
Through Certificates, Series
2004-LB2A, Class A1,
2.96%, 03/10/39.............. 2,828,594
2,835,122 Contimortgage Home Equity Loan
Trust, Series 1998-2, Class
A7,
6.57%, 03/15/23.............. 2,854,529
825,821 Credit Suisse First Boston
Mortgage Securities Corp.,
Series 2001-CF2, Class A1,
5.26%, 02/15/34.............. 834,981
4,381,000 Credit Suisse First Boston
Mortgage Securities Corp.,
Series 2003-C3, Class A1,
2.08%, 05/15/38.............. 4,232,003
4,739,933 Credit Suisse First Boston
Mortgage Securities Corp.,
Series 2004-C1, Class A1,
2.25%, 01/15/37.............. 4,640,257
483,678 DLJ Commercial Mortgage Corp.,
Series 1998-CG1, Class A1A,
6.11%, 06/10/31.............. 490,000
25,991 EQCC Home Equity Loan Trust,
Series 1998-1, Class A6F,
6.25%, 12/15/07.............. 25,995
1,221,827 General Electric Capital
Commercial Mortgage Corp.,
Series 2001-2, Class A1,
5.26%, 08/11/33.............. 1,258,146
901,347 General Electric Capital
Commercial Mortgage Corp.,
Series 2001-3, Class A1,
5.56%, 06/10/38.............. 941,123
679,241 General Electric Capital
Commercial Mortgage Corp.,
Series 2002-1, Class A1,
5.03%, 12/10/35.............. 698,039
3,810,199 General Electric Capital
Commercial Mortgage Corp.,
Series 2002-3A, Class A1,
4.23%, 12/10/37.............. 3,784,685
1,089,936 IMC Home Equity Loan Trust,
Series 1997-3, Class A7,
7.08%, 08/20/28.............. 1,089,864
</Table>
See notes to financial statements.
53
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 1,653,694 Interstar Millennium Trust,
Series 2003-3G, Class A2,
Floating Rate,
1.84%, 09/27/35(a)........... $ 1,655,347
2,456,574 Interstar Millennium Trust,
Series 2004-2G, Class A,
Floating Rate,
1.72%, 03/14/36(a)........... 2,456,574
893,017 JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2002-C2, Class A1,
4.33%, 12/12/34.............. 887,552
1,303,501 LB-UBS Commercial Mortgage
Trust, Series 2003-C1, Class
A1,
2.72%, 03/15/27.............. 1,276,778
3,122,049 LB-UBS Commercial Mortgage
Trust, Series 2003-C3, Class
A1,
2.60%, 05/15/27.............. 3,024,145
3,000,000 LB-UBS Commercial Mortgage
Trust, Series 2003-C5, Class
A2,
3.48%, 07/15/27.............. 2,910,707
3,400,000 Residential Asset Mortgage
Products, Inc., Series
2003-RS11, Class AI4,
4.26%, 06/25/29.............. 3,351,127
1,251,218 Residential Asset Mortgage
Products, Inc., Series
2003-RZ1, Class AI2,
2.81%, 10/25/25.............. 1,252,078
155,425 Residential Funding Mortgage
Securities II, Series
2001-HI3, Class AI1,
6.63%, 07/25/26.............. 157,377
404,128 Travelers Mortgage Securities
Corp., Series 1, Class Z2,
12.00%, 03/01/14............. 414,143
3,500,000 Vendee Mortgage Trust, Series
1996-1, Class 1K,
6.75%, 11/15/12.............. 3,611,001
1,975,000 Wachovia Bank Commercial
Mortgage Trust, Series
2003-4, Class A1,
3.00%, 04/15/35.............. 1,938,046
------------
57,944,632
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: OTHER -- 7.7%
$ 3,049,559 Bear Stearns Asset Backed
Securities, Inc., Series
2003-AC3, Class A1,
4.00%, 07/25/33.............. $ 3,000,194
4,672,000 California Infrastructure PG&E
Corp., Series 1997-1, Class
A8,
6.48%, 12/26/09.............. 5,036,402
4,047,973 California Infrastructure
SCE-1, Series 1997-1, Class
A6,
6.38%, 09/25/08.............. 4,231,793
1,934,728 CIT Equipment Collateral,
Series 2002-VT1, Class A3,
4.03%, 01/20/06.............. 1,950,966
2,500,000 CIT Equipment Collateral,
Series 2003-VT1, Class A3B,
1.63%, 04/20/07.............. 2,479,035
2,000,000 CIT Equipment Collateral,
Series 2004-VT1, Class A3,
2.20%, 03/20/08.............. 1,974,569
3,000,000 CIT RV Trust, Series 1998-A,
Class A5,
6.12%, 11/15/13.............. 3,119,954
5,000,000 CNH Equipment Trust, Series
2003-A, Class A3B,
1.89%, 07/16/07.............. 4,981,020
2,000,000 CNH Wholesale Master Note
Trust, Series 2003-1, Class
A,
Floating Rate,
1.44%, 08/15/08(b)........... 1,999,936
6,665,000 Connecticut RRB Special Purpose
Trust CL&P1, Series 2001-1,
Class A3,
5.73%, 03/30/09.............. 6,989,083
2,100,000 Illinois Power Special Purpose
Trust, Series 1998-1, Class
A6,
5.54%, 06/25/09.............. 2,198,775
201,459 John Deere Owner Trust, Series
2001-A, Class A3,
3.26%, 10/17/05.............. 201,882
5,460,292 Nelnet Student Loan Corp.,
Series 2001-A, Class A1,
5.76%, 07/01/12.............. 5,695,280
2,990,709 PBG Equipment Trust, Series 1A,
Class A,
6.27%, 01/20/12.............. 3,085,425
5,000,000 Student Loan Marketing
Association Student Loan
Trust, Series 2003-4, Class
A5B,
3.39%, 03/15/33.............. 4,906,275
------------
51,850,589
------------
</Table>
See notes to financial statements.
54
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: RECEIVABLES -- 4.7%
$ 5,981,233 Alter Moneta Receivables, LLC,
Series 2003-1,
2.56%, 03/15/11.............. $ 5,938,107
6,250,000 AmeriCredit Automobile
Receivables Trust, Series
2002-C, Class A4,
3.55%, 02/12/09.............. 6,284,428
3,354,832 Chevy Chase Auto Receivables
Trust, Series 2001-2, Class
A4,
4.44%, 04/16/07.............. 3,396,213
2,652,222 Hyundai Auto Receivables Trust,
Series 2002-A, Class A3,
2.80%, 02/15/07.............. 2,664,245
844,013 National City Auto Receivables
Trust, Series 2002-A, Class
A3,
4.04%, 07/15/06.............. 848,507
3,500,000 National City Auto Receivables
Trust, Series 2004-A, Class
A3,
2.11%, 07/15/08.............. 3,450,981
4,000,000 Regions Auto Receivables Trust,
Series 2003-2, Class A3,
2.31%, 01/15/08.............. 3,976,070
5,000,000 Triad Auto Receivables Owner
Trust, Series 2002-A, Class
A4,
3.24%, 08/12/09.............. 5,021,337
254,209 World Omni Auto Receivables
Trust, Series 2001-B, Class
A3,
3.79%, 11/21/05.............. 254,707
------------
31,834,595
------------
PRIVATE ASSET BACKED: TRANSPORTATION -- 1.1%
1,880,553 Railcar Leasing, LLC, Series 1,
Class A1,
6.75%, 07/15/06.............. 1,959,583
5,000,000 Railcar Leasing, LLC, Series 1,
Class A2,
7.13%, 01/15/13.............. 5,474,875
------------
7,434,458
------------
PRIVATE ASSET BACKED: UTILITIES -- 1.1%
5,000,000 PECO Energy Transition Trust,
Series 1999-A, Class A6,
6.05%, 03/01/09.............. 5,277,378
2,000,000 PECO Energy Transition Trust,
Series 2001-A, Class A1,
6.52%, 12/31/10.............. 2,193,738
------------
7,471,116
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
$ 875,000 AvalonBay Communities,
6.63%, 01/15/05.............. $ 894,423
1,000,000 Kimco Realty Corp., Series
MTNB,
7.62%, 10/20/04.............. 1,016,620
------------
1,911,043
------------
SPECIAL PURPOSE ENTITY -- 0.7%
5,000,000 New York Life Global Funding --
144A, Floating Rate,
1.35%, 02/26/07(a)........... 4,999,125
------------
UTILITIES: ELECTRIC -- 0.4%
2,500,000 Atlantic City Electric, Series
AMBC,
6.67%, 03/23/05.............. 2,584,860
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $537,924,330).......... 532,848,783
------------
US TREASURY SECURITIES -- 3.7%
US TREASURY NOTES
9,000,000 1.63%, 10/31/05(c)............. 8,922,663
10,000,000 1.88%, 11/30/05(c)............. 9,933,990
6,000,000 2.25%, 04/30/06(c)............. 5,960,862
------------
TOTAL US TREASURY SECURITIES
(Cost $24,926,566)........... 24,817,515
------------
US GOVERNMENT AGENCY SECURITIES -- 10.1%
FANNIE MAE -- 4.3%
1,889,019 PL# 254062, 6.00%, 10/01/11.... 1,975,949
3,431,261 PL# 254754, 4.50%, 05/01/10.... 3,422,312
4,438,389 PL# 254758, 4.50%, 06/01/13.... 4,441,055
2,308,602 PL# 254805, 5.00%, 06/01/13.... 2,360,341
4,573,969 PL# 254807, 5.00%, 07/01/13.... 4,676,478
1,166,746 PL# 323743, 5.00%, 04/01/14.... 1,177,627
791,062 PL# 429168, 6.00%, 05/01/13.... 826,982
778,509 PL# 50903, 6.00%, 09/01/08..... 815,060
962,815 PL# 50973, 6.00%, 01/01/09..... 1,008,019
780,847 PL# 517699, 6.00%, 07/01/14.... 815,639
2,600,766 PL# 545038, 6.00%, 09/01/14.... 2,719,370
4,144,016 PL# 555154, 5.50%, 12/01/22.... 4,201,551
863,951 PL# 609771, 6.00%, 09/01/08.... 900,717
------------
29,341,100
------------
FEDERAL FARM CREDIT BANK -- 1.3%
8,500,000 2.50%, 11/15/05................ 8,499,107
------------
</Table>
See notes to financial statements.
55
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FREDDIE MAC GOLD -- 0.9%
$ 10,064 PL# D06777, 7.50%, 03/01/08.... $ 10,534
312,829 PL# E00532, 6.50%, 02/01/13.... 331,253
539,680 PL# E00542, 6.50%, 04/01/13.... 571,182
1,206,949 PL# E00676, 5.50%, 06/01/14.... 1,239,903
1,855,598 PL# E89557, 5.50%, 04/01/17.... 1,901,269
1,868,578 PL# M90802, 4.00%, 03/01/08.... 1,868,941
------------
5,923,082
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 0.4%
2,440,336 PL# 436708, 5.75%, 12/15/22.... 2,498,388
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 3.2%
4,110,677 Fannie Mae -- ACES, Series
1998-M1, Class A2, 6.25%,
01/25/08..................... 4,361,423
2,967,436 Fannie Mae, Series 1993-234,
Class PC,
5.50%, 12/25/08.............. 3,048,943
4,087,000 Fannie Mae, Series 2004-21,
Class QA,
4.00%, 11/25/17.............. 4,132,851
1,928,942 Freddie Mac, Series 2557, Class
MA,
4.50%, 07/15/16.............. 1,955,122
2,363,626 Freddie Mac, Series 2640, Class
PA,
5.00%, 02/15/11.............. 2,386,869
5,000,000 Freddie Mac, Series 2760, Class
EA, 4.50%, 04/15/13.......... 5,082,584
854,577 Freddie Mac, Series T-52, Class
AF2, 3.63%, 11/25/32......... 856,599
------------
21,824,391
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $68,918,522)........... 68,086,068
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 3.7%
3,000,000 Hydro Quebec, Series MTNB,
7.00%, 04/12/05.............. 3,105,921
5,000,000 Hydro Quebec, Series MTNB,
6.52%, 02/23/06.............. 5,308,085
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
$ 3,500,000 Province of British Columbia,
4.63%, 10/03/06.............. $ 3,607,440
5,000,000 Province of Manitoba,
4.25%, 11/20/06.............. 5,129,805
3,000,000 Province of Ontario,
7.00%, 08/04/05.............. 3,151,317
4,000,000 Province of Ontario,
6.00%, 02/21/06.............. 4,198,348
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS
(Cost $24,358,615)........... 24,500,916
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 2.6%
FANNIE MAE -- 0.7%
4,500,000 0.98%, 07/01/04................ 4,500,000
------------
FEDERAL FARM CREDIT BANK -- 0.3%
2,000,000 1.20%, 07/16/04................ 1,999,000
------------
FEDERAL HOME LOAN BANK -- 1.6%
6,000,000 1.02%, 07/09/04................ 5,998,640
5,000,000 1.18%, 07/21/04................ 4,996,722
------------
10,995,362
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES
(Cost $17,494,362)........... 17,494,362
------------
SECURITIES LENDING COLLATERAL -- 3.5%
23,698,758 Securities Lending Collateral
Investment (Note 4)
(Cost $23,698,758)........... 23,698,758
------------
TOTAL SECURITIES
(Cost $697,321,153).......... 691,446,402
------------
</Table>
See notes to financial statements.
56
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 0.6%
$ 2,828,379 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $2,828,417
(Collateralized by Small
Business Administration,
4.88%, due 09/25/16, with a
value of $2,969,798)......... $ 2,828,379
1,298,742 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $1,298,799
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $186,716,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$13,007, American General
Corp., 7.50%, due 07/15/25,
with a value of $748, various
ASIF Global Finance
XIX-XXIII, 1.44% -- 4.90%,
due 05/30/06 to 01/17/13,
with a total value of
$561,703, Berkshire Hathaway,
Inc., 4.625%, due 10/15/13,
with a value of $61,696,
Citigroup, Inc., 6.875%, due
02/15/98, with a value of
$2,643, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$55,086, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$13,545, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $31,938, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $19,323,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $14,646, John
Hancock Global Funding II,
1.66%, due 09/06/05, with a
value of $25,400, Johnson &
Johnson,
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
6.95%, due 09/01/29, with a
value of $46,163, Morgan
Stanley Capital I, 0.55%, due
12/15/31, with a value of
$11,315, Saturns-AIG, 1.539%,
due 12/01/45, with a value of
$194,811, various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$80,554, Wal-Mart Stores,
7.55%, due 02/15/30, with a
value of $170, and Wal-Mart
Canada, 5.58%, due 05/01/06,
with a value of $6,785)(d)... $ 1,298,742
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $4,127,121)............ 4,127,121
------------
Total Investments -- 103.4%
(Cost $701,448,274).......... 695,573,523
Liabilities less other
assets -- (3.4)%............. (22,938,177)
------------
NET ASSETS -- 100.0%........... $672,635,346
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $701,448,274.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $ 2,341,290
Gross unrealized depreciation........... (8,216,041)
-----------
Net unrealized depreciation............. $(5,874,751)
===========
</Table>
- ---------------
(a) Quarterly reset provision. The rate shown was in effect at June 30, 2004.
(b) Monthly reset provision. The rate shown was in effect at June 30, 2004.
(c) All or part of this security is on loan.
(d) Short term security purchased with cash collateral received for securities
loaned.
See notes to financial statements.
57
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US TREASURY SECURITIES -- 70.5%
US TREASURY NOTES
$ 1,200,000 5.88%, 11/15/04................ $ 1,219,313
3,260,000 1.50%, 02/28/05................ 3,254,526
4,780,000 1.63%, 03/31/05................ 4,772,161
4,250,000 1.63%, 04/30/05................ 4,239,379
17,364,000 6.50%, 05/15/05................ 18,034,146
4,715,000 1.50%, 07/31/05................ 4,684,980
28,407,000 6.50%, 08/15/05(a)............. 29,776,330
27,470,000 1.88%, 12/31/05................ 27,250,047
4,575,000 5.63%, 02/15/06(a)............. 4,805,004
4,760,000 2.00%, 05/15/06(a)............. 4,705,151
3,135,000 4.63%, 05/15/06................ 3,247,054
16,600,000 2.75%, 06/30/06................ 16,615,571
4,315,000 2.38%, 08/15/06................ 4,279,436
2,300,000 6.50%, 10/15/06................ 2,483,552
1,875,000 3.25%, 08/15/07................ 1,877,271
1,615,000 3.00%, 11/15/07................ 1,600,239
2,075,000 3.00%, 02/15/08(a)............. 2,047,037
2,855,000 2.63%, 05/15/08................ 2,766,341
11,450,000 5.63%, 05/15/08................ 12,328,433
2,000,000 3.13%, 09/15/08................ 1,963,204
1,700,000 4.75%, 11/15/08................ 1,775,970
2,142,000 3.38%, 12/15/08................ 2,115,394
2,000,000 3.25%, 01/15/09................ 1,962,188
2,250,000 3.00%, 02/15/09(a)............. 2,180,918
5,637,000 3.88%, 02/15/13(a)............. 5,390,607
5,120,000 4.25%, 08/15/13................ 4,999,603
668,000 4.25%, 11/15/13................ 650,387
3,309,000 4.00%, 02/15/14................ 3,154,668
20,136,000 4.75%, 05/15/14(a)............. 20,352,320
------------
TOTAL US TREASURY SECURITIES
(Cost $194,883,067).......... 194,531,230
------------
US GOVERNMENT AGENCY SECURITIES -- 15.2%
FANNIE MAE -- 12.0%
4,100,000 6.13%, 03/15/12................ 4,427,934
2,920,000 4.13%, 04/15/14(a)............. 2,690,637
4,143,259 PL# 648688, 6.50%, 07/01/32.... 4,329,274
8,779,153 PL# 778980, 5.00%, 06/01/34.... 8,493,388
13,590,000 TBA, 5.00%, 07/01/34........... 13,127,098
------------
33,068,331
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FREDDIE MAC -- 3.2%
$ 6,790,000 2.13%, 11/15/05................ $ 6,749,505
2,300,000 4.50%, 07/15/13................ 2,204,244
------------
8,953,749
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $41,972,129)........... 42,022,080
------------
CORPORATE BONDS AND NOTES -- 15.8%
PRIVATE ASSET BACKED: AUTOMOBILES/
MOTOR VEHICLES -- 5.6%
3,117,000 Carmax Auto Owner Trust,
Series 2003-2, Class A4,
3.07%, 10/15/10.............. 3,070,074
2,173,000 Wells Fargo Financial Auto
Owner Trust, Series 2004-A,
Class A4,
2.67%, 08/16/10.............. 2,126,520
6,403,000 WFS Financial Owner Trust,
Series 2003-1, Class A4,
2.74%, 09/20/10.............. 6,334,271
3,854,000 World Omni Auto Receivables
Trust, Series 2004-A, Class
A2,
2.58%, 07/12/07.............. 3,854,000
------------
15,384,865
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 1.8%
5,000,000 Chase Credit Card Master Trust,
Series 2002-6, Class A,
Floating Rate,
1.30%, 01/15/08(c)........... 5,005,989
------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 3.4%
1,794,000 Navistar Financial Corp. Owner
Trust, Series 2004-A, Class
A4,
2.59%, 03/15/11.............. 1,742,540
1,500,000 PSE&G Transition Funding LLC,
Series 2001-1, Class A8,
6.89%, 12/15/17.............. 1,689,143
6,109,568 Saxon Asset Securities Trust,
Series 2004-1, Class A,
Floating Rate,
1.57%, 03/25/35(c)........... 6,110,545
------------
9,542,228
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 2.9%
4,006,000 Chase Funding Mortgage Loan
Asset Backed, Series 2004-2,
Class 1A1, Floating Rate,
1.44%, 01/25/20(c)........... 4,006,000
</Table>
See notes to financial statements.
58
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME EQ-
UITY (CONTINUED)
$ 4,014,000 Chase Funding Mortgage Loan
Asset-Backed, Series 2004-2,
Class 2A2, Floating Rate,
1.54%, 02/25/34(c)........... $ 4,014,000
------------
8,020,000
------------
PRIVATE ASSET BACKED: OTHER -- 1.4%
3,837,000 CNH Equipment Trust, Series
2003-B, Class A4B,
3.38%, 02/15/11.............. 3,810,592
------------
PRIVATE ASSET BACKED: UTILITIES -- 0.7%
1,698,000 Detroit Edison Securitization
Funding LLC, Series 2001-1,
Class A4,
6.19%, 03/01/13.............. 1,832,842
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $43,946,283)........... 43,596,516
------------
SECURITIES LENDING COLLATERAL -- 15.7%
43,275,133 Securities Lending Collateral
Investment (Note 4) (Cost
$43,275,133)................. 43,275,133
------------
TOTAL SECURITIES
(Cost $324,076,612).......... 323,424,959
------------
REPURCHASE AGREEMENTS -- 5.7%
13,493,851 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $13,494,031
(Collateralized by Freddie
Mac Adjustable Rate Mortgage,
4.20%, due 03/01/34, with a
value of $14,168,544)........ 13,493,851
2,371,569 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $2,371,673
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $340,953,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$23,752, American General
Corp., 7.50%, due 07/15/25,
with a value of $1,365,
various ASIF Global
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
Finance XIX-XXIII,
1.44% -- 4.90%, due 05/30/06
to 01/17/13, with a total
value of $1,025,699,
Berkshire Hathaway, Inc.,
4.625%, due 10/15/13, with a
value of $112,660, Citigroup,
Inc., 6.875%, due 02/15/98,
with a value of $4,825,
Citizens Communications,
7.00%, due 11/01/25, with a
value of $100,590, Citizens
Property Insurance, 6.70%,
due 08/25/04, with a value of
$24,733, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $58,320, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $35,285,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $26,744, John
Hancock Global Funding II,
1.66%, due 09/06/05, with a
value of $46,381, Johnson &
Johnson, 6.95%, due 09/01/29,
with a value of $84,296,
Morgan Stanley Capital I,
0.55%, due 12/15/31, with a
value of $20,662,
Saturns-AIG, 1.539%, due
12/01/45, with a value of
$355,736, various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$147,096, Wal-Mart Stores,
7.55%, due 02/15/30, with a
value of $311, and Wal-Mart
Canada, 5.58%, due 05/01/06,
with a value of
$12,389)(b).................. $ 2,371,569
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $15,865,420)........... 15,865,420
------------
Total Investments -- 122.9%
(Cost $339,942,032).......... 339,290,379
Liabilities less other
assets -- (22.9)%............ (63,342,188)
------------
NET ASSETS -- 100.0%........... $275,948,191
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $339,942,032.
See notes to financial statements.
59
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $ 985,053
Gross unrealized depreciation........... (1,636,706)
-----------
Net unrealized depreciation............. $ (651,653)
===========
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for securities
loaned.
(c) Monthly reset provision. The rate shown was in effect at June 30, 2004.
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.
See notes to financial statements.
60
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US TREASURY SECURITIES -- 22.3%
US TREASURY BONDS -- 6.8%
$ 6,130,000 10.38%, 11/15/12(a)......... $ 7,487,225
15,585,000 8.13%, 08/15/19(a).......... 20,416,350
16,280,000 8.50%, 02/15/20(a).......... 22,033,971
19,330,000 8.00%, 11/15/21(a).......... 25,341,939
7,850,000 6.25%, 08/15/23(a).......... 8,695,107
2,250,000 6.00%, 02/15/26(a).......... 2,425,167
13,975,000 6.75%, 08/15/26(a).......... 16,429,918
25,000 5.38%, 02/15/31............. 25,222
--------------
102,854,899
--------------
US TREASURY NOTES -- 15.5%
33,020,000 1.50%, 03/31/06(a).......... 32,430,560
21,670,000 2.25%, 04/30/06(a).......... 21,528,647
84,875,000 2.50%, 05/31/06............. 84,616,471
15,595,000 2.75%, 06/30/06............. 15,609,628
44,220,000 3.13%, 05/15/07(a).......... 44,233,841
270,000 3.88%, 05/15/09............. 270,991
6,455,000 4.00%, 06/15/09............. 6,512,243
6,440,000 4.00%, 11/15/12(a).......... 6,236,992
21,505,000 4.75%, 05/15/14(a).......... 21,736,028
--------------
233,175,401
--------------
TOTAL US TREASURY SECURITIES
(Cost $338,781,828)....... 336,030,300
--------------
US GOVERNMENT AGENCY SECURITIES -- 41.5%
FANNIE MAE -- 24.8%
2,760,000 1.75%, 06/16/06(a).......... 2,695,664
4,215,000 7.13%, 03/15/07............. 4,619,855
14,090,000 2.35%, 04/05/07............. 13,701,651
32,575,000 6.00%, 05/15/08............. 35,116,469
10,060,000 5.50%, 07/18/12............. 10,143,397
744,254 PL# 252571, 7.00%,
07/01/29.................. 788,131
12,979 PL# 252716, 7.00%,
09/01/29.................. 13,744
2,586 PL# 253264, 7.00%,
05/01/30.................. 2,737
3,427 PL# 253346, 7.50%,
06/01/30.................. 3,674
41,425 PL# 253479, 7.00%,
10/01/30.................. 43,854
21,153 PL# 253698, 6.00%,
02/01/16.................. 22,087
95,504 PL# 253990, 7.00%,
09/01/16.................. 101,502
74,621 PL# 254008, 7.00%,
10/01/31.................. 78,935
312,981 PL# 254804, 5.50%,
07/01/18.................. 320,989
5,180 PL# 259141, 7.50%,
12/01/30.................. 5,555
12,718 PL# 323250, 6.00%,
08/01/13.................. 13,298
1,929,054 PL# 323842, 5.50%,
07/01/14.................. 1,986,296
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 135,580 PL# 323967, 7.00%,
10/01/29.................. $ 143,573
51,734 PL# 357513, 5.50%,
02/01/34.................. 51,570
12,882 PL# 492742, 7.00%,
05/01/29.................. 13,641
8,797 PL# 503916, 7.50%,
06/01/29.................. 9,436
5,868 PL# 508415, 7.00%,
08/01/29.................. 6,214
37,037 PL# 515946, 7.00%,
10/01/29.................. 39,220
632 PL# 524164, 7.00%,
11/01/29.................. 669
120,929 PL# 524657, 7.00%,
01/01/30.................. 128,021
106,979 PL# 526053, 7.00%,
12/01/29.................. 113,285
2,165 PL# 527717, 7.50%,
01/01/30.................. 2,323
9,330 PL# 528107, 7.00%,
02/01/30.................. 9,880
3,037 PL# 531092, 7.50%,
10/01/29.................. 3,257
37,747 PL# 531497, 7.00%,
02/01/30.................. 39,961
22,937 PL# 531735, 7.00%,
02/01/30.................. 24,283
4,633 PL# 533841, 7.50%,
12/01/30.................. 4,968
64,276 PL# 535030, 7.00%,
12/01/29.................. 68,066
82,546 PL# 535103, 7.00%,
01/01/15.................. 87,729
26,559 PL# 535159, 7.00%,
02/01/30.................. 28,124
108,514 PL# 535195, 7.00%,
03/01/30.................. 114,911
46,383 PL# 535277, 7.00%,
04/01/30.................. 49,118
1,167,716 PL# 535675, 7.00%,
01/01/16.................. 1,241,063
2,775 PL# 535722, 7.00%,
02/01/31.................. 2,938
17,630 PL# 535723, 7.00%,
02/01/31.................. 18,664
4,116 PL# 535811, 6.50%,
04/01/31.................. 4,294
308,834 PL# 535880, 7.00%,
02/01/31.................. 326,948
757 PL# 538314, 7.50%,
05/01/30.................. 812
4,048 PL# 540211, 7.50%,
06/01/30.................. 4,341
7,401 PL# 542999, 7.50%,
08/01/30.................. 7,937
288,052 PL# 545194, 7.00%,
08/01/31.................. 304,704
103,394 PL# 545477, 7.00%,
03/01/32.................. 109,156
101,302 PL# 545815, 7.00%,
07/01/32.................. 107,158
116,822 PL# 548822, 7.00%,
08/01/30.................. 123,674
64,153 PL# 549659, 7.00%,
02/01/16.................. 68,182
46,992 PL# 549962, 7.00%,
10/01/30.................. 49,748
81,893 PL# 549975, 7.00%,
10/01/30.................. 86,696
37,138 PL# 550440, 7.00%,
02/01/16.................. 39,470
1,740 PL# 550544, 7.50%,
09/01/30.................. 1,866
8,124 PL# 552603, 7.00%,
10/01/30.................. 8,600
109,468 PL# 554493, 7.00%,
10/01/30.................. 115,889
95,768 PL# 555144, 7.00%,
10/01/32.................. 101,385
3,900,000 PL# 555281, 6.00%,
03/01/33(e)............... 3,989,736
470,362 PL# 555919, 5.50%,
10/01/18.................. 482,398
</Table>
See notes to financial statements.
61
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 2,546 PL# 558362, 7.50%,
11/01/30.................. $ 2,730
1,199 PL# 558519, 7.50%,
11/01/30.................. 1,286
15,766 PL# 559277, 7.00%,
10/01/30.................. 16,691
115,649 PL# 559313, 7.00%,
12/01/30.................. 122,432
4,873 PL# 559741, 7.50%,
01/01/31.................. 5,224
41,012 PL# 560384, 7.00%,
11/01/30.................. 43,417
1,512 PL# 560596, 7.50%,
01/01/31.................. 1,621
6,701 PL# 561678, 7.50%,
12/01/30.................. 7,186
3,782 PL# 564080, 7.50%,
12/01/30.................. 4,056
47,100 PL# 564183, 7.00%,
12/01/30.................. 49,862
4,403 PL# 564529, 7.50%,
12/01/30.................. 4,721
26,131 PL# 566658, 7.00%,
02/01/31.................. 27,641
6,630 PL# 575285, 7.50%,
03/01/31.................. 7,108
18,943 PL# 577525, 6.00%,
05/01/16.................. 19,772
304,625 PL# 579224, 6.00%,
04/01/16.................. 317,960
638,525 PL# 580055, 5.50%,
07/01/16.................. 655,515
48,111 PL# 580179, 7.00%,
10/01/16.................. 51,133
5,714 PL# 580377, 7.50%,
04/01/31.................. 6,128
48,949 PL# 584811, 7.00%,
05/01/31.................. 51,779
351,204 PL# 585248, 7.00%,
06/01/31.................. 371,802
9,177 PL# 589405, 7.50%,
06/01/31.................. 9,839
39,101 PL# 589893, 7.00%,
06/01/31.................. 41,362
4,841 PL# 592129, 7.50%,
06/01/31.................. 5,190
39,171 PL# 598125, 7.00%,
09/01/16.................. 41,631
9,945 PL# 606600, 7.00%,
10/01/31.................. 10,520
97,529 PL# 607386, 5.50%,
11/01/16.................. 100,124
47,888 PL# 610128, 7.00%,
10/01/31.................. 50,656
379,720 PL# 610579, 5.50%,
12/01/16.................. 389,824
79,172 PL# 610599, 5.50%,
02/01/17.................. 81,231
53,128 PL# 611323, 7.00%,
10/01/16.................. 56,465
37,273 PL# 611695, 5.50%,
12/01/16.................. 38,265
22,744 PL# 617705,
6.00%, 04/01/32(e)........ 23,268
102,848 PL# 629603, 5.50%,
02/01/17.................. 105,585
1,303,529 PL# 631321, 5.50%,
02/01/17.................. 1,337,420
106,517 PL# 631606, 5.50%,
03/01/17.................. 109,286
125,107 PL# 632269, 7.00%,
05/01/32.................. 132,339
229,075 PL# 634949, 7.00%,
05/01/32.................. 241,840
13,861 PL# 647556, 7.00%,
01/01/30.................. 14,678
291,193 PL# 650206, 5.50%,
01/01/18.................. 298,763
37,376 PL# 650872, 7.00%,
07/01/32.................. 39,459
125,450 PL# 664194, 5.50%,
09/01/17.................. 128,712
682,866 PL# 676800, 5.50%,
01/01/18.................. 700,620
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 325,914 PL# 679430, 5.50%,
01/01/18.................. $ 334,387
777,169 PL# 683199, 5.50%,
02/01/18.................. 797,055
252,243 PL# 688000, 5.50%,
03/01/18.................. 258,698
1,342,931 PL# 694200, 4.50%,
05/01/18.................. 1,316,711
170,022 PL# 695925, 5.50%,
05/01/18.................. 174,372
468,783 PL# 698853, 5.50%,
03/01/18.................. 480,971
2,722,518 PL# 701161, 4.50%,
04/01/18.................. 2,668,532
84,520 PL# 704387, 5.50%,
05/01/18.................. 86,683
491,185 PL# 710105,
6.00%, 05/01/33(e)........ 502,188
317,011 PL# 711582, 5.50%,
04/01/18.................. 325,446
796,288 PL# 711636, 4.50%,
05/01/18.................. 780,498
3,866,231 PL# 720317, 5.00%,
07/01/18.................. 3,881,200
53,584 PL# 721897, 5.50%,
05/01/18.................. 54,977
34,932,167 PL# 725232, 5.00%,
03/01/34.................. 33,865,583
948,000 PL# 726747, 4.50%,
03/01/19.................. 928,349
908,064 PL# 731682, 4.50%,
03/01/19.................. 889,241
292,407 PL# 738632, 5.00%,
11/01/18.................. 293,539
97,050 PL# 743877,
6.00%, 11/01/33(e)........ 99,224
924,819 PL# 744238,
6.00%, 10/01/33(e)........ 945,535
97,166 PL# 744728, 4.00%,
10/01/18.................. 92,807
883,730 PL# 748257, 4.50%,
10/01/18.................. 866,207
284,248 PL# 748917, 5.50%,
12/01/18.................. 291,522
79,455 PL# 750045, 5.50%,
12/01/18.................. 81,488
293,261 PL# 753961, 5.50%,
12/01/18.................. 300,765
2,115,509 PL# 761173, 4.50%,
04/01/19.................. 2,071,657
4,808,354 PL# 761175, 4.50%,
04/01/19.................. 4,708,681
337,256 PL# 761256, 5.50%,
01/01/19.................. 345,885
27,879 PL# 761758, 5.50%,
01/01/19.................. 28,592
177,639 PL# 763249, 5.50%,
02/01/34.................. 177,075
992,127 PL# 764800, 4.50%,
04/01/19.................. 971,561
914,207 PL# 766419, 4.50%,
03/01/19.................. 895,256
979,529 PL# 767073, 4.50%,
04/01/19.................. 959,224
101,295 PL# 767075, 4.50%,
04/01/19.................. 99,196
250,309 PL# 767172, 5.50%,
01/01/34.................. 249,913
137,921 PL# 767392, 5.50%,
04/01/34.................. 137,483
991,601 PL# 769006, 4.50%,
03/01/19.................. 971,045
1,863,299 PL# 772651, 5.50%,
03/01/34.................. 1,857,383
1,997,655 PL# 773073, 5.50%,
04/01/34.................. 1,991,311
783,814 PL# 773532, 4.50%,
04/01/19.................. 767,566
985,946 PL# 774258, 4.50%,
03/01/19.................. 965,509
</Table>
See notes to financial statements.
62
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 941,341 PL# 775316, 4.50%,
05/01/19.................. $ 921,827
816,990 PL# 776715, 5.50%,
05/01/34.................. 814,396
96,492 PL# 777251, 4.50%,
04/01/19.................. 94,491
998,764 PL# 777677, 5.50%,
05/01/34.................. 995,593
199,771 PL# 778219, 5.50%,
05/01/34.................. 199,136
99,904 PL# 778287, 5.50%,
05/01/34.................. 99,587
1,174,619 PL# 780901, 5.50%,
05/01/34.................. 1,170,889
7,600,000 TBA, 4.00%, 07/01/19........ 7,239,000
12,300,000 TBA, 4.50%, 07/01/19........ 12,019,412
58,400,000 TBA, 5.00%, 07/01/19........ 58,473,000
10,000,000 TBA, 5.50%, 07/01/19........ 10,228,120
25,700,000 TBA, 6.00%, 07/01/19(e)..... 26,771,899
18,200,000 TBA, 5.00%, 07/01/34........ 17,580,072
72,000,000 TBA, 5.50%, 07/01/34........ 71,662,463
9,500,000 TBA, 6.00%, 07/01/34(e)..... 9,698,911
6,600,000 TBA, 6.50%, 07/01/34........ 6,872,250
--------------
375,871,248
--------------
FANNIE MAE GOLD -- 1.0%
816,951 PL# E89913, 6.00%,
05/01/17.................. 852,725
10,400,000 TBA, 4.50%, 07/01/19........ 10,156,245
3,800,000 TBA, 5.50%, 07/01/19........ 3,883,125
--------------
14,892,095
--------------
FEDERAL HOUSING ADMINISTRATION -- 0.7%
10,975,917 PL# 80916, 3.75%,
05/20/34.................. 10,975,693
--------------
FREDDIE MAC -- 3.6%
15,350,000 2.85%, 02/23/07............. 15,164,066
5,350,000 3.50%, 04/01/08(a).......... 5,272,072
13,080,000 3.88%, 11/10/08............. 13,000,042
7,140,000 3.88%, 01/12/09............. 7,026,260
1,560,000 4.75%, 12/08/10............. 1,549,674
12,080,000 4.13%, 02/24/11............. 11,611,501
--------------
53,623,615
--------------
FREDDIE MAC GOLD -- 7.9%
12,275,000 7.00%, 03/15/10............. 13,845,390
11,345,000 4.50%, 12/16/10............. 11,069,975
9,500,000 6.00%, 06/15/11............. 10,215,236
1,192,485 PL# A10807, 5.50%,
07/01/33.................. 1,191,310
244,952 PL# A12350, 5.50%,
08/01/33.................. 244,710
137,063 PL# A12533, 5.50%,
08/11/33.................. 136,928
406,398 PL# A12800, 5.50%,
08/01/33.................. 405,997
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FREDDIE MAC GOLD (CONTINUED)
$ 846,565 PL# A13289, 5.50%,
09/01/33.................. $ 845,731
159,122 PL# A13331, 5.50%,
09/01/33.................. 158,965
8,322,216 PL# A13669, 5.50%,
09/01/33.................. 8,314,013
6,755,219 PL# A16148, 6.00%,
11/01/33.................. 6,910,151
1,186,325 PL# A16728, 5.50%,
12/01/33.................. 1,185,155
6,790,565 PL# A17438, 6.00%,
01/01/34.................. 6,946,159
693,194 PL# A20149, 5.00%,
03/01/34.................. 670,092
199,196 PL# B14156, 4.00%,
05/01/19.................. 190,049
2,332,449 PL# C01271, 6.50%,
12/01/31.................. 2,435,514
4,925,013 PL# C01623, 5.50%,
09/01/33.................. 4,920,158
6,434,373 PL# C57150, 6.00%,
05/01/31.................. 6,594,015
9,857 PL# C67653, 7.00%,
06/01/32.................. 10,406
269,381 PL# C67868, 7.00%,
06/01/32.................. 284,408
48,537 PL# C67999, 7.00%,
06/01/32.................. 51,244
324,297 PL# C68001, 7.00%,
06/01/32.................. 342,387
310,669 PL# C90229, 7.00%,
08/01/18.................. 329,778
3,977,218 PL# E01638, 4.00%,
04/01/19.................. 3,794,590
8,500 PL# E84758, 5.50%,
07/01/16.................. 8,715
493,993 PL# E86502, 5.50%,
12/01/16.................. 506,515
9,968 PL# E86565, 5.50%,
12/01/16.................. 10,220
614,384 PL# E88749, 6.00%,
03/01/17.................. 641,508
1,165,020 PL# E88789, 6.00%,
04/01/17.................. 1,216,036
269,051 PL# E88979, 5.50%,
04/01/17.................. 275,673
1,408,146 PL# E89336, 6.00%,
05/01/17.................. 1,469,809
1,556,929 PL# E91644, 5.50%,
10/01/17.................. 1,595,250
438,391 PL# E91754, 5.50%,
10/01/17.................. 449,181
663,038 PL# E91774, 5.50%,
10/01/17.................. 679,357
281,718 PL# E91968, 5.50%,
10/01/17.................. 288,652
588,123 PL# E92113, 5.50%,
10/01/17.................. 602,598
3,989,186 PL# G01391, 7.00%,
04/01/32.................. 4,223,112
5,355,000 PL# M80813, 4.00%,
04/01/10.................. 5,244,765
16,600,000 TBA, 5.00%, 07/01/34........ 16,024,178
2,100,000 TBA, 6.00%, 07/01/34........ 2,144,625
3,200,000 TBA, 6.50%, 07/01/34........ 3,335,002
--------------
119,807,557
--------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 2.6%
380,168 PL# 03173, 6.50%,
12/20/31.................. 396,949
250,826 PL# 421352, 6.00%,
11/15/33.................. 257,548
4,618 PL# 434615, 7.00%,
11/15/29.................. 4,913
</Table>
See notes to financial statements.
63
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 564,949 PL# 435071, 7.00%,
03/15/31.................. $ 600,694
124,113 PL# 462559, 7.00%,
02/15/28.................. 132,129
67,472 PL# 483482, 6.50%,
09/15/28.................. 70,705
47,933 PL# 493966, 7.00%,
06/15/29.................. 50,991
117,678 PL# 494742, 7.00%,
04/15/29.................. 125,188
3,836 PL# 530260, 7.00%,
02/15/31.................. 4,078
242,121 PL# 531025, 6.00%,
04/15/32.................. 248,691
369,632 PL# 535464, 6.00%,
10/15/32.................. 379,661
3,291 PL# 538271, 7.00%,
11/15/31.................. 3,499
182,441 PL# 538312, 6.00%,
02/15/32.................. 187,391
526,143 PL# 543989, 7.00%,
03/15/31.................. 559,433
3,936 PL# 547545, 7.00%,
04/15/31.................. 4,185
1,003,096 PL# 550985, 7.00%,
10/15/31.................. 1,066,563
2,483 PL# 551549, 7.00%,
07/15/31.................. 2,640
160,819 PL# 552413, 7.00%,
02/15/32.................. 170,941
129,886 PL# 552952, 6.00%,
12/15/32.................. 133,411
355,537 PL# 553320, 6.00%,
06/15/33.................. 365,065
198,982 PL# 554808, 6.00%,
05/15/31.................. 204,447
198,818 PL# 555360, 6.00%,
06/15/31.................. 204,278
202,844 PL# 555733, 6.00%,
03/15/32.................. 208,348
3,179 PL# 557664, 7.00%,
08/15/31.................. 3,380
446,380 PL# 557678, 7.00%,
08/15/31.................. 474,623
6,588 PL# 561050, 7.00%,
05/15/31.................. 7,005
3,268 PL# 561996, 7.00%,
07/15/31.................. 3,475
48,576 PL# 563346, 7.00%,
09/15/31.................. 51,650
328,870 PL# 563599, 7.00%,
06/15/32.................. 349,569
475,184 PL# 564086, 7.00%,
07/15/31.................. 505,250
70,176 PL# 564300, 6.00%,
08/15/31.................. 72,104
459,245 PL# 564603, 6.50%,
08/15/31.................. 480,665
27,926 PL# 564706, 7.00%,
07/15/31.................. 29,693
191,617 PL# 565808, 6.00%,
11/15/31.................. 196,880
275,629 PL# 567622, 6.00%,
04/15/32.................. 283,108
197,987 PL# 567668, 6.00%,
05/15/32.................. 203,359
259,308 PL# 569567, 7.00%,
01/15/32.................. 275,629
466,809 PL# 569839, 6.50%,
06/15/32.................. 488,478
189,809 PL# 570517, 6.00%,
01/15/32.................. 194,959
204,264 PL# 572821, 6.00%,
12/15/31.................. 209,874
171,023 PL# 574873, 6.00%,
12/15/31.................. 175,720
184,814 PL# 575906, 6.00%,
01/15/32.................. 189,828
83,000 PL# 576323, 6.00%,
12/15/31.................. 85,279
3,227 PL# 579377, 7.00%,
04/15/32.................. 3,431
1,077,327 PL# 581015, 7.00%,
02/15/32.................. 1,145,133
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 199,922 PL# 581070, 6.00%,
02/15/32.................. $ 205,347
100,580 PL# 581084, 7.00%,
02/15/32.................. 106,911
79,007 PL# 581970, 6.50%,
04/15/32.................. 82,675
64,085 PL# 582457, 6.00%,
10/15/32.................. 65,823
363,150 PL# 582956, 7.00%,
02/15/32.................. 386,007
234,807 PL# 585116, 6.00%,
01/15/33.................. 241,100
430,170 PL# 585210, 6.00%,
03/15/33.................. 441,698
770,864 PL# 587122, 7.00%,
06/15/32.................. 819,381
193,535 PL# 587390, 6.00%,
11/15/32.................. 198,786
59,223 PL# 587494, 7.00%,
06/15/32.................. 62,951
2,639 PL# 589696, 7.00%,
05/15/32.................. 2,805
192,011 PL# 590403, 6.00%,
08/15/32.................. 197,220
325,435 PL# 592030, 6.00%,
02/15/32.................. 334,264
199,444 PL# 592116, 6.00%,
10/15/32.................. 204,855
201,871 PL# 592130, 6.00%,
11/15/32.................. 207,349
440,895 PL# 592218, 6.00%,
12/15/32.................. 452,857
459,491 PL# 592668, 6.50%,
04/15/33.................. 481,093
1,162,010 PL# 593248, 6.00%,
10/15/32.................. 1,193,537
15,763 PL# 593823, 6.00%,
10/15/32.................. 16,191
109,052 PL# 595411, 6.00%,
09/15/32.................. 112,011
332,543 PL# 596673, 6.00%,
10/15/32.................. 341,566
355,791 PL# 596818, 6.00%,
12/15/32.................. 365,444
222,255 PL# 598119, 6.50%,
02/15/33.................. 232,704
485,403 PL# 598205, 6.00%,
05/15/33.................. 498,411
284,599 PL# 598459, 6.00%,
11/15/32.................. 292,320
193,371 PL# 599144, 6.00%,
02/15/33.................. 198,553
18,000 PL# 599742, 6.00%,
10/15/32.................. 18,488
146,419 PL# 603341, 6.00%,
12/15/32.................. 150,392
165,343 PL# 603498, 6.00%,
03/15/33.................. 169,774
609,165 PL# 603674, 6.00%,
05/15/33.................. 625,490
420,778 PL# 603922, 6.50%,
01/15/33.................. 440,559
473,285 PL# 607812, 6.00%,
03/15/33.................. 485,968
725,871 PL# 610913, 6.50%,
06/15/33.................. 759,995
265,346 PL# 611085, 6.00%,
05/15/33.................. 272,457
360,947 PL# 611537, 6.00%,
05/15/33.................. 370,620
224,804 PL# 611880, 6.00%,
05/15/33.................. 230,828
348,414 PL# 615382, 6.00%,
07/15/33.................. 357,751
5,783,625 PL# 618874, 5.50%,
08/15/33.................. 5,791,009
976,288 PL# 625651, 5.50%,
01/15/34.................. 976,999
42,913 PL# 780802, 6.50%,
05/15/28.................. 44,989
84,421 PL# 781113, 7.00%,
11/15/29.................. 89,809
376,235 PL# 781148, 6.00%,
07/15/29.................. 387,028
</Table>
See notes to financial statements.
64
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 241,406 PL# 781276, 6.50%,
04/15/31.................. $ 252,770
79,702 PL# 781287, 7.00%,
05/15/31.................. 84,792
132,904 PL# 781324, 7.00%,
07/15/31.................. 141,352
684,526 PL# 781328, 7.00%,
09/15/31.................. 728,237
339,778 PL# 781330, 6.00%,
09/15/31.................. 349,432
220,375 PL# 781548, 7.00%,
11/15/32.................. 234,361
442,542 PL# 781561, 6.50%,
11/15/32.................. 463,184
321,517 PL# 781566, 6.00%,
02/15/33.................. 330,237
474,868 PL# 781577, 6.50%,
03/15/33.................. 497,017
127,803 PL# 781584, 7.00%,
05/15/32.................. 135,933
6,637,637 PL# 781690, 6.00%,
12/15/33.................. 6,817,102
--------------
39,759,272
--------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.8%
4,150,000 Fannie Mae, Series 1999-7,
Class AB,
6.00%, 03/25/29........... 4,260,716
3,780,000 Fannie Mae, Series 2002-81,
Class BR,
5.25%, 04/25/25........... 3,896,565
3,325,000 Freddie Mac, Series 2550,
Class QP,
5.00%, 03/15/26........... 3,353,857
--------------
11,511,138
--------------
RESOLUTION FUNDING STRIPS -- 0.1%
1,200,000 Zero coupon, 07/15/18....... 550,694
1,200,000 Zero coupon, 10/15/18....... 540,887
--------------
1,091,581
--------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$626,913,838)............. 627,532,199
--------------
CORPORATE BONDS AND NOTES -- 29.1%
AEROSPACE AND DEFENSE -- 0.4%
320,000 BE Aerospace,
8.50%, 10/01/10........... 338,400
1,545,000 Lockheed Martin Corp.,
8.50%, 12/01/29........... 1,943,716
545,000 Lockheed Martin Corp.,
7.20%, 05/01/36........... 626,205
35,000 Northrop Grumman Corp.,
7.13%, 02/15/11........... 39,384
940,000 Northrop Grumman Corp.,
7.75%, 02/15/31........... 1,096,724
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
AEROSPACE AND DEFENSE (CONTINUED)
$ 1,530,000 Raytheon Company,
4.85%, 01/15/11........... $ 1,520,630
790,000 RC Trust I,
7.00%, 05/15/06........... 425,119
--------------
5,990,178
--------------
AUTOMOBILES/MOTOR VEHICLES -- 0.3%
765,000 Daimler Chrysler AG Corp.,
7.45%, 03/01/27........... 787,406
3,250,000 Daimler Chrysler NA Holding,
4.05%, 06/04/08........... 3,189,553
70,000 Daimler Chrysler NA Holding,
6.50%, 11/15/13........... 71,892
--------------
4,048,851
--------------
BANKS -- 3.2%
2,050,000 ANZ Capital Trust I -- 144A,
4.48%, perpetual.......... 1,994,088
1,404,000 Bank of America Corp.,
5.25%, 02/01/07........... 1,465,651
3,550,000 Bank of America Corp.,
3.88%, 01/15/08(j)........ 3,547,160
2,000,000 Bank of America Corp.,
3.38%, 02/17/09........... 1,922,932
1,805,000 Bank of America Corp.,
4.38%, 12/01/10........... 1,761,682
535,000 Bank of America Corp.,
7.40%, 01/15/11........... 607,121
3,665,000 Bank of America Corp.,
5.38%, 06/15/14........... 3,639,313
2,805,000 Barclays Bank PLC -- 144A,
Variable Rate,
8.55%, perpetual(j)(l).... 3,326,494
3,620,000 HSBC Bank USA,
4.63%, 04/01/14........... 3,376,142
2,600,000 JP Morgan Chase & Company,
5.35%, 03/01/07........... 2,726,664
475,000 JP Morgan Chase & Company,
5.25%, 05/30/07........... 496,078
2,735,000 JP Morgan Chase & Company,
3.50%, 03/15/09........... 2,627,211
1,100,000 JP Morgan Chase & Company,
7.00%, 11/15/09........... 1,222,679
935,000 JP Morgan Chase & Company,
6.75%, 02/01/11........... 1,020,422
800,000 Rabobank Capital Funding
II -- 144A, Variable Rate,
5.26%, perpetual(l)....... 775,569
</Table>
See notes to financial statements.
65
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 500,000 Sovereign Bancorp,
10.50%, 11/15/06.......... $ 573,143
1,535,000 Suntrust Bank,
4.42%, 06/15/09........... 1,533,005
2,275,000 Swedish Export Credit,
2.88%, 01/26/07........... 2,245,809
490,000 U.S. Bancorp, Series MTNN,
3.95%, 08/23/07........... 493,645
980,000 UBS Preferred Funding Trust
I, Variable Rate,
8.62%, perpetual(l)....... 1,164,922
3,225,000 US Bank NA,
2.87%, 02/01/07........... 3,171,681
3,040,000 US Bank NA,
2.40%, 03/12/07........... 2,954,868
1,140,000 Wachovia Corp.,
3.63%, 02/17/09........... 1,106,899
960,000 Wells Fargo & Company,
3.13%, 04/01/09........... 912,248
2,150,000 Wells Fargo Bank NA, Series
BKNT, Variable Rate,
7.80%, 06/15/10(l)........ 2,252,766
1,135,000 Westpac Capital Trust III --
144A, Variable Rate,
5.82%, perpetual(l)....... 1,129,602
--------------
48,047,794
--------------
BROADCAST SERVICES/MEDIA -- 1.5%
1,720,000 Charter Communications
Holdings LLC,
10.75%, 10/01/09.......... 1,453,400
2,810,000 Comcast Cable Communications
Holdings,
8.38%, 03/15/13........... 3,304,040
250,000 Comcast Cable
Communications, Inc.,
6.38%, 01/30/06........... 261,860
1,800,000 Comcast Cable
Communications, Inc.,
6.75%, 01/30/11........... 1,944,936
2,020,000 Continental Cablevision,
8.30%, 05/15/06........... 2,193,869
370,000 Cox Communications, Inc.,
4.63%, 06/01/13........... 342,143
355,000 CSC Holdings, Inc.,
7.88%, 02/15/18........... 339,913
710,000 CSC Holdings, Inc. -- 144A,
6.75%, 04/15/12........... 685,150
550,000 News America Holdings,
8.88%, 04/26/23........... 688,843
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
$ 1,070,000 News America Holdings,
7.63%, 11/30/28........... $ 1,206,936
475,000 News America, Inc.,
7.30%, 04/30/28........... 516,595
725,000 TCI Communications, Inc.,
7.88%, 02/15/26........... 820,439
1,575,000 TCI Communications, Inc.,
7.13%, 02/15/28........... 1,643,135
700,000 Time Warner, Inc.,
8.18%, 08/15/07........... 782,748
865,000 Time Warner, Inc.,
9.15%, 02/01/23........... 1,071,257
610,000 Time Warner, Inc.,
6.95%, 01/15/28........... 614,997
1,610,000 Time Warner, Inc.,
6.63%, 05/15/29........... 1,567,034
2,330,000 Time Warner, Inc.,
7.70%, 05/01/32........... 2,553,011
675,000 Walt Disney Company, Series
MTNB,
6.20%, 06/20/14........... 708,456
--------------
22,698,762
--------------
CHEMICALS -- 0.1%
555,000 Crown Euro Holdings SA,
9.50%, 03/01/11........... 607,725
500,000 Crown Euro Holdings SA,
10.88%, 03/01/13.......... 572,500
420,000 Nalco Company -- 144A,
7.75%, 11/15/11........... 442,050
--------------
1,622,275
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.0%
600,000 D.R. Horton, Inc.,
7.88%, 08/15/11........... 658,500
--------------
CONSUMER GOODS AND SERVICES -- 0.1%
1,680,000 General Electric Company,
5.00%, 02/01/13........... 1,656,258
--------------
FINANCIAL SERVICES -- 5.8%
1,000,000 Bear Stearns Companies,
Inc.,
2.88%, 07/02/08........... 948,754
9,050,000 Citigroup, Inc.,
3.50%, 02/01/08........... 8,932,920
820,000 Citigroup, Inc.,
6.20%, 03/15/09........... 881,538
2,445,000 Citigroup, Inc.,
7.25%, 10/01/10........... 2,757,070
</Table>
See notes to financial statements.
66
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 1,690,000 Citigroup, Inc.,
5.88%, 02/22/33........... $ 1,598,356
2,880,000 Citigroup, Inc.,
6.00%, 10/31/33........... 2,762,948
1,385,000 Credit Suisse First Boston
USA, Inc.,
4.70%, 06/01/09........... 1,390,575
810,000 Credit Suisse First Boston
USA, Inc.,
6.13%, 11/15/11........... 853,809
600,000 E*TRADE Financial Corp. --
144A,
8.00%, 06/15/11........... 600,000
2,170,000 EnCana Holdings Financial
Corp.,
5.80%, 05/01/14........... 2,211,764
9,680,000 General Electric Capital
Corp., Series MTN,
2.80%, 01/15/07........... 9,539,796
2,000,000 General Electric Capital
Corp., Series MTNA,
6.50%, 12/10/07........... 2,175,572
3,250,000 General Electric Capital
Corp., Series MTNA,
5.88%, 02/15/12........... 3,413,686
2,030,000 General Electric Capital
Corp., Series MTNA,
6.00%, 06/15/12........... 2,145,623
8,885,000 General Motors Acceptance
Corp.,
5.63%, 05/15/09........... 8,876,506
4,060,000 General Motors Acceptance
Corp.,
6.88%, 09/15/11........... 4,168,573
25,000 General Motors Acceptance
Corp.,
8.00%, 11/01/31........... 25,687
270,000 Goldman Sachs Group, Inc.,
7.35%, 10/01/09........... 303,560
700,000 Goldman Sachs Group, Inc.,
6.13%, 02/15/33........... 662,777
450,000 Household Finance Corp.,
7.20%, 07/15/06........... 484,019
2,925,000 Household Finance Corp.,
6.50%, 11/15/08........... 3,163,335
1,500,000 Household Finance Corp.,
4.13%, 12/15/08........... 1,480,062
1,200,000 Household Finance Corp.,
6.75%, 05/15/11........... 1,313,176
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 2,915,000 Household Finance Corp.,
6.38%, 10/15/11........... $ 3,116,033
1,590,000 Household Finance Corp.,
7.00%, 05/15/12........... 1,759,055
1,495,000 JP Morgan Chase & Company,
3.63%, 05/01/08........... 1,479,755
1,583,000 Lehman Brothers Holdings,
Inc.,
7.00%, 02/01/08........... 1,736,158
500,000 Lehman Brothers Holdings,
Inc.,
3.60%, 03/13/09........... 480,916
725,000 Morgan Stanley,
5.80%, 04/01/07........... 767,125
2,725,000 Morgan Stanley,
3.88%, 01/15/09........... 2,655,804
790,000 Morgan Stanley,
6.75%, 04/15/11........... 866,922
3,430,000 Morgan Stanley,
5.30%, 03/01/13........... 3,381,047
2,075,000 SLM Corp., Series MTNA,
3.50%, 09/30/06........... 2,086,769
545,000 SLM Corp., Series MTNA,
3.63%, 03/17/08........... 537,934
2,345,000 SLM Corp., Series MTNA,
5.00%, 10/01/13........... 2,268,583
1,920,000 SLM Corp., Series MTNA,
5.38%, 05/15/14........... 1,894,383
2,979,688 Small Business
Administration, Series
P10A,
4.50%, 02/10/14........... 2,824,406
--------------
86,544,996
--------------
FOOD AND BEVERAGE -- 0.4%
1,915,000 Diageo Capital PLC,
3.38%, 03/20/08........... 1,877,031
1,100,000 General Mills, Inc.,
5.13%, 02/15/07........... 1,142,723
3,515,000 Kraft Foods, Inc.,
5.63%, 11/01/11........... 3,581,114
--------------
6,600,868
--------------
INSURANCE -- 0.8%
540,000 American General Capital II,
8.50%, 07/01/30........... 686,886
6,430,000 ASIF Global Financial
XXIII -- 144A,
3.90%, 10/22/08........... 6,357,907
1,150,000 ASIF Global Financing --
144A,
3.85%, 11/26/07........... 1,155,683
</Table>
See notes to financial statements.
67
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
INSURANCE (CONTINUED)
$ 1,980,000 Protective Life Secured
Trust, Series MTN,
3.70%, 11/24/08........... $ 1,945,221
2,000,000 UnumProvident Corp.,
7.63%, 03/01/11........... 2,072,690
--------------
12,218,387
--------------
MANUFACTURING -- 0.2%
395,000 Briggs & Stratton Corp.,
8.88%, 03/15/11........... 463,138
110,000 Dresser, Inc.,
9.38%, 04/15/11........... 118,250
2,390,000 Tyco International Group SA,
6.13%, 11/01/08........... 2,545,079
--------------
3,126,467
--------------
METALS AND MINING -- 0.1%
1,275,000 Alcan, Inc.,
6.13%, 12/15/33........... 1,237,757
710,000 International Steel Group --
144A,
6.50%, 04/15/14........... 669,175
--------------
1,906,932
--------------
OIL AND GAS: PIPELINES -- 0.2%
1,425,000 Consolidated Natural Gas,
Series A,
5.00%, 03/01/14........... 1,367,753
365,000 El Paso Natural Gas,
8.63%, 01/15/22........... 357,700
370,000 Williams Companies, Inc.,
7.13%, 09/01/11........... 377,400
615,000 Williams Companies, Inc.,
8.13%, 03/15/12........... 659,588
570,000 Williams Companies, Inc.,
7.63%, 07/15/19........... 551,475
--------------
3,313,916
--------------
OIL, COAL AND GAS -- 1.4%
840,000 Amerada Hess Corp.,
7.30%, 08/15/31........... 855,413
2,480,000 Amerada Hess Corp.,
7.13%, 03/15/33........... 2,479,633
1,970,000 Anadarko Finance Company,
Series B,
7.50%, 05/01/31........... 2,249,996
1,710,000 Anadarko Petroleum Corp.,
5.38%, 03/01/07........... 1,787,157
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$ 2,500,000 Conoco Funding Company,
6.35%, 10/15/11........... $ 2,724,137
1,625,000 Devon Energy Corp.,
7.95%, 04/15/32........... 1,882,732
435,000 Devon Financing Corp. ULC,
7.88%, 09/30/31........... 500,658
810,000 El Paso Production Holding,
7.75%, 06/01/13........... 747,225
2,160,000 EnCana Corp.,
4.75%, 10/15/13........... 2,046,062
950,000 Gazprom OAO,
9.63%, 03/01/13........... 980,887
1,240,000 Gazprom OAO -- 144A,
9.63%, 03/01/13........... 1,281,850
600,000 Hanover Equipment Trust,
Series B,
8.75%, 09/01/11........... 645,000
505,000 Occidental Petroleum,
8.45%, 02/15/29........... 644,751
700,000 Suncor Energy, Inc.,
5.95%, 12/01/34........... 679,019
1,380,000 XTO Energy, Inc.,
4.90%, 02/01/14........... 1,301,797
--------------
20,806,317
--------------
PAPER AND FOREST PRODUCTS -- 0.1%
1,265,000 Georgia-Pacific
Corp. -- 144A,
8.00%, 01/15/24........... 1,271,325
--------------
PHARMACEUTICALS -- 0.3%
1,100,000 Bristol-Myers Squibb,
6.88%, 08/01/97........... 1,164,117
1,480,000 GlaxoSmithKline Capital,
Inc.,
4.38%, 04/15/14........... 1,386,687
2,680,000 Wyeth,
6.50%, 02/01/34........... 2,534,007
--------------
5,084,811
--------------
PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR
VEHICLES -- 0.5%
7,065,403 Daimler Chrysler Auto Trust,
Series 01-C, Class A4,
4.63%, 12/06/06........... 7,167,848
--------------
PRIVATE ASSET BACKED: BANKS -- 0.1%
804,406 Washington Mutual MSC,
Series 2002-MS12, Class A,
6.50%, 05/25/32........... 819,757
--------------
</Table>
See notes to financial statements.
68
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: CREDIT CARDS -- 1.7%
$ 14,950,000 Citibank Credit Card
Issuance Trust, Series
2004-A1, Class A1,
2.55%, 01/20/09........... $ 14,651,816
11,500,000 MBNA Credit Card Master Note
Trust, Series 2003-A6,
Class A6,
2.75%, 10/15/10........... 11,010,914
--------------
25,662,730
--------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 1.6%
9,219,974 Countrywide Alternative Loan
Trust, Series 2004-2CB,
Class 4A1,
5.00%, 03/25/19........... 9,135,619
7,480,000 Greenwich Capital Commercial
Funding Corp., Series
2004-GG1, Class A4,
4.76%, 06/10/36........... 7,459,394
2,980,000 Morgan Stanley Capital I,
Series 1999-FNV1, Class
A2,
6.53%, 03/15/31........... 3,228,134
3,554,146 Small Business
Administration, Series
2002-P10B, Class 1,
5.20%, 08/01/12........... 3,577,657
--------------
23,400,804
--------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 5.4%
1,820,171 Bear Stearns Commercial
Mortgage Securities,
Series 2001, Class A1,
6.08%, 02/15/35........... 1,917,082
4,875,000 DLJ Commercial Mortgage
Corp., Series 2000-CKP1,
Class A1B,
7.18%, 08/10/10........... 5,449,023
6,150,000 GMAC Commercial Mortgage
Securities, Inc., Series
1999-C2, Class A2,
6.95%, 09/15/33........... 6,774,784
13,625,212 GSR Mortgage Loan Trust,
Series 2003-13, Class 1A1,
4.53%, 10/25/33........... 13,304,337
6,650,000 JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2001-CIB2, Class
A3,
6.43%, 04/15/35........... 7,206,912
9,475,000 JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2001-CIBC, Class
A3,
6.26%, 03/15/33........... 10,151,165
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 8,665,000 JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2004-CB9, Class A4,
5.38%, 06/12/41........... $ 8,707,805
7,425,000 LB Commercial Conduit
Mortgage Trust, Series
1998-C4, Class A1B,
6.21%, 10/15/35........... 7,955,625
6,900,000 LB-UBS Commercial Mortgage
Trust, Series 2000-C3,
Class A2,
7.95%, 01/15/10........... 7,959,276
7,395,000 LB-UBS Commercial Mortgage
Trust, Series 2003-C7,
Class A3,
4.56%, 09/15/27........... 7,277,017
5,500,000 Master Alternative Loans
Trust, Series 2004-6,
Class A1,
6.28%, 06/25/34........... 5,534,375
--------------
82,237,401
--------------
PRIVATE ASSET BACKED: OTHER -- 0.7%
3,519,449 Impac Secured Assets Common
Owner Trust, Series
2003-2, Class A2,
6.00%, 08/25/33........... 3,567,834
7,073,277 Structured Asset Securities
Corp., Series 2003-AL2,
Class A,
3.36%, 01/25/31........... 6,719,613
--------------
10,287,447
--------------
PRIVATE ASSET BACKED: UTILITIES -- 0.6%
8,000,000 Peco Energy Transition
Trust, Series 2000-A,
Class A4,
7.65%, 03/01/10........... 9,168,122
--------------
REAL ESTATE -- 0.2%
2,130,000 EOP Operating LP,
4.75%, 03/15/14........... 1,966,128
1,400,000 EOP Operating LP,
7.50%, 04/19/29........... 1,494,521
--------------
3,460,649
--------------
</Table>
See notes to financial statements.
69
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
$ 910,000 AvalonBay Communities,
Series MTN,
6.63%, 09/15/11........... $ 979,123
2,300,000 Developers Diversified
Realty Corp.,
3.88%, 01/30/09........... 2,199,865
2,000,000 Rouse Company,
5.38%, 11/26/13........... 1,935,480
--------------
5,114,468
--------------
SPECIAL PURPOSE ENTITY -- 0.2%
1,525,000 Allstate Life Global Funding
Trust, Series 04-1,
4.50%, 05/29/09........... 1,535,931
1,000,000 California Preferred Fund
Trust,
7.00%, perpetual.......... 1,008,384
--------------
2,544,315
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.5%
2,150,000 America Movil SA de CV-144A,
5.50%, 03/01/14........... 1,985,929
1,390,000 British Telecom PLC,
Variable Rate,
8.88%, 12/15/30........... 1,719,783
550,000 Cincinnati Bell, Inc.,
8.38%, 01/15/14(a)........ 492,250
875,000 Deutsche Telekom
International Corp.,
Variable Rate,
8.25%, 06/15/05........... 920,209
2,620,000 Deutsche Telekom
International Finance,
Variable Rate,
8.75%, 06/15/30........... 3,198,071
345,000 Deutsche Telekom, Variable
Rate,
8.50%, 06/15/10........... 403,633
358,000 MCI, Inc.,
5.91%, 05/01/07........... 348,155
358,000 MCI, Inc.,
6.69%, 05/01/09........... 332,045
307,000 MCI, Inc.,
7.74%, 05/01/14(a)........ 275,533
2,290,000 MCI, Inc., zero coupon,
04/01/34(f)............... --
2,350,000 New England Telephone &
Telegraph,
7.88%, 11/15/29........... 2,687,803
970,000 New Jersey Bell Telephone,
7.85%, 11/15/29........... 1,106,493
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
$ 1,010,000 Qwest Communications
International -- 144A,
7.50%, 02/15/14........... $ 916,575
375,000 Sprint Capital Corp.,
8.75%, 03/15/32........... 438,233
850,000 Telefonica Europe BV,
7.75%, 09/15/10........... 973,406
815,000 Verizon New Jersey, Inc.,
Series A,
5.88%, 01/17/12........... 838,068
550,000 Verizon Pennsylvania, Series
A,
5.65%, 11/15/11........... 558,818
5,930,000 Vodafone Group PLC,
5.00%, 12/16/13........... 5,738,229
--------------
22,933,233
--------------
TRANSPORTATION -- 0.2%
1,350,000 Burlington Northern Santa Fe
Corp.,
7.29%, 06/01/36........... 1,559,788
765,000 Canadian National Railway
Company,
6.90%, 07/15/28........... 830,524
540,000 OMI Corp.,
7.63%, 12/01/13........... 531,900
810,000 Overseas Shipholding Group,
7.50%, 02/15/24........... 753,300
--------------
3,675,512
--------------
UTILITIES -- 0.1%
325,000 National Waterworks, Inc.,
Series B,
10.50%, 12/01/12.......... 362,375
470,000 Orion Power Holdings, Inc.,
12.00%, 05/01/10.......... 575,750
--------------
938,125
--------------
UTILITIES: ELECTRIC -- 1.1%
835,000 AES Corp. -- 144A,
8.75%, 05/15/13........... 898,669
790,000 Calpine Corp. -- 144A,
8.50%, 07/15/10........... 657,675
1,035,000 Dominion Resources Capital
Trust III,
8.40%, 01/15/31........... 1,203,141
885,000 Dominion Resources, Inc.,
6.30%, 03/15/33........... 843,379
3,065,000 First Energy Corp., Series
C,
7.38%, 11/15/31........... 3,204,190
</Table>
See notes to financial statements.
70
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
$ 1,575,000 Midwest Generation LLC --
144A,
8.75%, 05/01/34........... $ 1,598,625
835,000 NRG Energy, Inc. -- 144A,
8.00%, 12/15/13........... 847,525
2,725,000 Ohio Edison,
5.45%, 05/01/15........... 2,597,966
1,482,000 Ontario Electricity Finance,
6.10%, 01/30/08........... 1,593,420
900,000 Southern Cal Edison,
5.75%, 04/01/35........... 834,265
2,345,000 SP PowerAssets,
Ltd. -- 144A,
5.00%, 10/22/13........... 2,287,496
--------------
16,566,351
--------------
TOTAL CORPORATE BONDS AND
NOTES (Cost
$449,222,536)............. 439,573,399
--------------
<Caption>
SHARES
------
COMMON STOCKS -- 0.0%
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
3,720,000 MCI, Inc.(f) (Cost $0)...... --
--------------
<Caption>
PRINCIPAL
---------
MUNICIPAL BONDS -- 0.1%
CALIFORNIA
$ 1,575,000 California State Department
of Water Powersupply
Revenue Bond, Series E,
3.98%, 05/01/05
(Cost $1,574,925)......... 1,587,663
--------------
FOREIGN GOVERNMENT OBLIGATIONS -- 5.3%
9,700,000 AID-Israel,
5.50%, 09/18/23........... 9,564,578
2,475,000 Bonos Y Obligation Del
Estado,
3.60%, 01/31/09(h)........ 3,021,246
10,010,000 Bundesobligation, Series
143,
3.50%, 10/10/08(h)........ 12,182,212
7,850,000 Bundesobligation, Series
144,
3.25%, 04/17/09(h)........ 9,400,665
13,000,000 French Treasury Note,
3.50%, 01/12/09(h)........ 15,793,675
51,780,000 Government of Sweden,
5.00%, 01/28/09(i)........ 7,154,299
32,255,000 Government of Sweden, Series
1037,
8.00%, 08/15/07(i)........ 4,831,079
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
$ 1,450,000 Province of Ontario,
3.50%, 09/17/07........... $ 1,443,481
625,000 Province of Quebec, Series
A,
7.37%, 03/06/26........... 740,466
1,120,000 Province of Quebec, Series
MTNA,
7.38%, 04/09/26........... 1,326,295
3,372,457 Republic of Colombia,
9.75%, 04/09/11........... 3,743,428
1,000,000 United Mexican States,
4.63%, 10/08/08........... 987,250
2,295,000 United Mexican States,
8.38%, 01/14/11........... 2,599,088
4,045,000 United Mexican States,
8.13%, 12/30/19........... 4,338,263
2,385,000 United Mexican States,
8.00%, 09/24/22........... 2,482,785
--------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost
$78,116,320).............. 79,608,810
--------------
PREFERRED CORPORATE BONDS & NOTES -- 0.2%
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
2,000,000 TCI Communications Financing
III,
9.65%, 03/31/27 (Cost
$2,152,354)............... 2,363,020
--------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 17.2%
FANNIE MAE -- 0.6%
9,500,000 1.22%, 07/09/04............. 9,497,746
--------------
FEDERAL HOME LOAN BANK -- 16.6%
250,000,000 1.16%, 07/16/04............. 249,879,167
--------------
TOTAL SHORT TERM US
GOVERNMENT AGENCY
SECURITIES (Cost
$259,376,913)............. 259,376,913
--------------
SECURITIES LENDING COLLATERAL -- 9.8%
148,016,041 Securities Lending
Collateral Investment
(Note 4) (Cost
$148,016,041)............. 148,016,041
--------------
TOTAL SECURITIES (Cost
$1,904,154,755)........... 1,894,088,345
--------------
</Table>
See notes to financial statements.
71
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 0.7%
$ 2,480,483 With Investors Bank and
Trust, dated 06/30/04,
0.48%, due 07/01/04,
repurchase proceeds at
maturity $2,480,516
(Collateralized by Federal
Home Loan Bank, 6.00%, due
02/13/24,with a value of
$2,532,509)............... $ 2,480,483
8,111,594 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase
proceeds at maturity
$8,111,950 (Collateralized
by various AIG SunAmerica
Global Finance, 5.85% --
7.60%, due 06/15/05 to
03/15/32, with a total
value of $1,166,179,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$81,241, American General
Corp., 7.50%, due
07/15/25, with a value of
$4,670, various ASIF
Global Finance XIX-XXIII,
1.44% -- 4.90%, due
05/30/06 to 01/17/13, with
a total value of
$3,508,250, Berkshire
Hathaway, Inc., 4.625%,
due 10/15/13, with a value
of $385,337, Citigroup,
Inc.,
6.875%, due 02/15/98, with
a value of $16,504,
Citizens Communications,
7.00%, due 11/01/25, with
a value of $344,052,
Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$84,597, Eli Lilly &
Company, 7.125%, due
06/01/25, with a value of
$199,475, General Electric
Capital Corp., 6.75%, due
03/15/32, with a value of
$120,688, GlaxoSmithKline
Capital, Inc., 5.375%, due
04/15/34, with a value of
$91,472, John Hancock
Global Funding II, 1.66%,
due 09/06/05, with a value
of $158,639, Johnson &
Johnson,
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
6.95%, due 09/01/29, with
a value of $288,321,
Morgan Stanley Capital I,
0.55%, due 12/15/31, with
a value of $70,670,
Saturns-AIG, 1.539%, due
12/01/45, with a value of
$1,216,739, various TIAA
Global Markets,
3.875% -- 4.125%, due
11/15/07 to 01/22/08, with
a total value of $503,119,
Wal-Mart Stores, 7.55%,
due 02/15/30, with a value
of $1,063, and Wal-Mart
Canada, 5.58%, due
05/01/06, with a value of
$42,375) (b).............. $ 8,111,594
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $10,592,077)........ 10,592,077
--------------
SECURITIES SOLD SHORT -- (1.0)%
$ 14,900,000 Fannie Mae TBA,
6.00%, 07/15/04 (Proceeds
$15,107,048).............. (15,211,976)
--------------
<Caption>
CONTRACTS
---------
CALL OPTIONS WRITTEN -- 0.0%
62 US Treasury Bond (20 Year)
September Future, Expiring
August 2004 @ 108, zero
coupon, 08/27/04 (Premium
$147,923)................. (156,938)
--------------
Total Investments -- 125.2%
(Cost $1,899,491,861)..... 1,889,311,508
Liabilities less other
assets -- (25.2)%......... (379,699,434)
--------------
NET ASSETS -- 100.0%........ $1,509,612,074
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $1,899,491,861.
See notes to financial statements.
72
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $ 10,334,899
Gross unrealized depreciation.......... (20,515,252)
------------
Net unrealized depreciation............ $(10,180,353)
============
</Table>
- ---------------
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for securities
loaned.
(c) Quarterly reset provision. The rate shown was in effect at June 30, 2004.
(d) Monthly reset provision. The rate shown was in effect at June 30, 2004.
(e) Security is segregated as collateral for written options and short sales.
(f) Securities received as a result of a class action suit involving WorldCom,
Inc. bonds. The securities had no value at June 30, 2004.
(g) Step bond. The rate shown was in effect at June 30, 2004.
(h) Principal amount shown for this debt security is denominated in Euros.
(i) Principal amount shown for this debt security is denominated in Swedish
Krona.
(j) Security is segregated as initial margin for futures contracts.
(k) Variable Rate Security. Interest rate based on the credit rating of the
issuer. The rate shown was in effect at June 30, 2004.
(l) Variable Rate Security. The rate shown was in effect at June 30, 2004.
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.
See notes to financial statements.
73
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 65.5%
ADVERTISING -- 0.1%
12,900 Interpublic Group of Companies,
Inc.*........................ $ 177,117
4,600 Omnicom Group, Inc. ........... 349,094
------------
526,211
------------
AEROSPACE AND DEFENSE -- 1.3%
33,100 Boeing Company................. 1,691,079
11,700 General Dynamics Corp. ........ 1,161,810
2,800 Goodrich Corp. ................ 90,524
11,000 Lockheed Martin Corp. ......... 572,880
9,100 Northrop Grumman Corp. ........ 488,670
10,600 Raytheon Company............... 379,162
12,700 United Technologies Corp. ..... 1,161,796
------------
5,545,921
------------
AGRICULTURE -- 0.1%
7,150 Monsanto Company............... 275,275
------------
AIRLINES -- 0.0%
7,650 Southwest Airlines Company..... 128,291
------------
APPAREL: MANUFACTURING -- 0.4%
5,650 Jones Apparel Group, Inc. ..... 223,062
2,750 Liz Claiborne, Inc. ........... 98,945
15,250 Nike, Inc. -- Class B.......... 1,155,188
2,200 Reebok International,
Ltd.(a)...................... 79,156
6,350 V. F. Corp. ................... 309,245
------------
1,865,596
------------
APPAREL: RETAIL -- 0.4%
29,250 Limited Brands................. 546,975
51,300 The Gap, Inc.(a)............... 1,244,025
------------
1,791,000
------------
AUTOMOBILE: RETAIL -- 0.0%
6,100 AutoNation, Inc.*(a)........... 104,310
------------
AUTOMOBILES/MOTOR VEHICLES -- 0.8%
107,650 Ford Motor Company(a).......... 1,684,722
13,650 General Motors Corp.(a)........ 635,954
7,750 Harley-Davidson, Inc. ......... 480,035
9,900 PACCAR, Inc. .................. 574,101
------------
3,374,812
------------
AUTOMOTIVE EQUIPMENT -- 0.1%
2,000 AutoZone, Inc.*................ 160,200
6,250 Dana Corp. .................... 122,500
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
AUTOMOTIVE EQUIPMENT (CONTINUED)
4,100 Genuine Parts Company.......... $ 162,688
1,900 Johnson Controls, Inc. ........ 101,422
------------
546,810
------------
BANKS -- 5.2%
9,500 AmSouth Bancorp................ 241,965
48,681 Bank of America Corp. ......... 4,119,385
19,950 Bank of New York Company,
Inc. ........................ 588,126
27,150 Bank One Corp. ................ 1,384,650
5,300 BB&T Corp. .................... 195,941
6,048 Charter One Financial, Inc. ... 267,261
4,300 Comerica, Inc. ................ 235,984
13,350 Fifth Third Bancorp............ 717,963
1,300 First Horizon National
Corp. ....................... 59,111
4,300 Golden West Financial Corp. ... 457,305
5,650 Huntington Bancshares, Inc. ... 129,385
50,550 J.P. Morgan Chase & Company.... 1,959,824
17,000 KeyCorp........................ 508,130
5,700 Marshall & Ilsley Corp. ....... 222,813
10,900 Mellon Financial Corp. ........ 319,697
14,500 National City Corp. ........... 507,645
3,850 North Fork Bancorp, Inc. ...... 146,493
5,550 Northern Trust Corp. .......... 234,654
7,400 PNC Financial Services Group... 392,792
5,900 Regions Financial Corp.(a)..... 215,645
8,150 SouthTrust Corp. .............. 316,302
8,450 State Street Corp. ............ 414,388
7,400 SunTrust Banks, Inc.(a)........ 480,926
5,500 Synovus Financial Corp. ....... 139,260
47,682 U.S. Bancorp................... 1,314,116
1,700 Union Planters Corp. .......... 50,677
64,350 Wachovia Corp. ................ 2,863,574
21,750 Washington Mutual, Inc. ....... 840,420
40,950 Wells Fargo & Company.......... 2,343,568
2,850 Zions Bancorp.................. 175,133
------------
21,843,133
------------
BROADCAST SERVICES/MEDIA -- 1.7%
14,850 Clear Channel Communications,
Inc. ........................ 548,708
6,950 Gannett Company, Inc. ......... 589,708
11,400 McGraw-Hill Companies, Inc. ... 872,898
1,050 Meredith Corp. ................ 57,708
110,400 Time Warner, Inc.*............. 1,940,831
</Table>
See notes to financial statements.
74
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
7,900 Tribune Company................ $ 359,766
42,500 Viacom, Inc. -- Class B........ 1,518,100
49,000 Walt Disney Company............ 1,249,010
------------
7,136,729
------------
BUSINESS SERVICES AND SUPPLIES -- 0.6%
4,100 Cintas Corp. .................. 195,447
3,450 Ecolab, Inc.(a)................ 109,365
22,380 First Data Corp. .............. 996,357
5,100 Fiserv, Inc.*.................. 198,339
3,600 Moody's Corp. ................. 232,776
15,300 Paychex, Inc. ................. 518,364
5,050 Robert Half International,
Inc. ........................ 150,339
------------
2,400,987
------------
CHEMICALS -- 0.9%
5,600 Air Products and Chemicals,
Inc. ........................ 293,720
23,800 Dow Chemical Company........... 968,660
24,000 E. I. du Pont de Nemours and
Company...................... 1,066,079
5,750 Engelhard Corp. ............... 185,783
2,500 International Flavors &
Fragrances, Inc. ............ 93,500
10,250 PPG Industries, Inc. .......... 640,523
6,500 Rohm and Haas Company.......... 270,270
2,300 Sigma-Aldrich Corp. ........... 137,103
------------
3,655,638
------------
COMMERCIAL SERVICES -- 0.4%
60,000 Cendant Corp. ................. 1,468,800
------------
COMPUTER SOFTWARE AND SERVICES -- 3.1%
5,900 Adobe Systems, Inc. ........... 274,350
7,450 Autodesk, Inc. ................ 318,935
14,000 Automatic Data Processing,
Inc. ........................ 586,320
12,200 BMC Software, Inc.*............ 225,700
3,600 Citrix Systems, Inc.*.......... 73,296
13,700 Computer Associates
International, Inc. ......... 384,422
4,700 Computer Sciences Corp.*....... 218,221
22,800 Compuware Corp.*............... 150,480
7,500 Electronic Arts, Inc.*......... 409,125
4,600 Intuit, Inc.*.................. 177,468
1,900 Mercury Interactive Corp.*..... 94,677
271,950 Microsoft Corp. ............... 7,766,891
2,200 NCR Corp.*..................... 109,098
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
128,950 Oracle Corp.*.................. $ 1,538,374
3,400 PeopleSoft, Inc.*.............. 62,900
12,000 Siebel Systems, Inc.*.......... 128,160
7,400 SunGard Data Systems, Inc.*.... 192,400
9,950 Unisys Corp.*.................. 138,106
10,600 VERITAS Software Corp.*........ 293,620
------------
13,142,543
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.5%
9,150 Apple Computer, Inc.*.......... 297,741
2,500 Avery Dennison Corp. .......... 160,025
83,750 Dell, Inc.*.................... 2,999,925
57,800 EMC Corp.*..................... 658,920
19,350 Gateway, Inc.*................. 87,075
74,587 Hewlett-Packard Company........ 1,573,786
40,950 International Business Machines
Corp. ....................... 3,609,742
3,000 Lexmark International Group,
Inc.*........................ 289,590
8,300 Network Appliance, Inc.*....... 178,699
5,750 Pitney Bowes, Inc. ............ 254,438
32,600 Sun Microsystems, Inc.*........ 141,484
20,500 Xerox Corp.*(a)................ 297,250
------------
10,548,675
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.3%
5,550 American Standard Companies,
Inc.*........................ 223,721
3,050 Centex Corp. .................. 139,538
1,400 KB Home........................ 96,082
26,200 Masco Corp.(a)................. 816,915
2,200 Vulcan Materials Company(a).... 104,610
------------
1,380,866
------------
CONSUMER GOODS AND SERVICES -- 5.2%
2,400 Alberto-Culver Company -- Class
B............................ 120,336
49,850 Altria Group, Inc. ............ 2,494,992
11,400 Avon Products, Inc.(a)......... 525,996
5,350 Clorox Company................. 287,723
12,750 Colgate-Palmolive Company...... 745,238
2,800 Eastman Kodak Company(a)....... 75,544
7,300 FedEx Corp. ................... 596,337
3,350 Fortune Brands, Inc. .......... 252,691
252,300 General Electric Company....... 8,174,519
</Table>
See notes to financial statements.
75
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
55,900 Gillette Company............... $ 2,370,160
20,200 Kimberly-Clark Corp. .......... 1,330,776
1,900 Leggett & Platt, Inc. ......... 50,749
79,200 Procter & Gamble Company....... 4,311,647
2,150 R.J. Reynolds Tobacco Holdings,
Inc. ........................ 145,319
5,450 The Sherwin-Williams Company... 226,448
1,900 Whirlpool Corp.(a)............. 130,340
------------
21,838,815
------------
CONTAINERS AND PACKAGING -- 0.1%
1,300 Ball Corp. .................... 93,665
900 Bemis Company, Inc. ........... 25,425
3,650 Pactiv Corp.*.................. 91,031
2,350 Sealed Air Corp.*.............. 125,185
------------
335,306
------------
DISTRIBUTION -- 0.1%
5,600 W.W. Grainger, Inc. ........... 322,000
------------
EDUCATION -- 0.1%
4,550 Apollo Group, Inc. -- Class
A*........................... 401,720
------------
ELECTRONICS -- 0.4%
8,450 Advanced Micro Devices*(a)..... 134,355
10,600 Emerson Electric Company....... 673,630
4,750 Jabil Circuit, Inc.*........... 119,605
4,950 Rockwell Collins, Inc. ........ 164,934
19,900 Sanmina-SCI Corp.*............. 181,090
20,550 Solectron Corp.*............... 132,959
2,900 Tektronix, Inc. ............... 98,658
------------
1,505,231
------------
ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING
SERVICES -- 0.1%
10,800 Allied Waste Industries,
Inc.*........................ 142,344
13,750 Waste Management, Inc. ........ 421,438
------------
563,782
------------
FINANCIAL SERVICES -- 4.7%
31,300 American Express Company....... 1,608,194
2,500 Bear Stearns Companies,
Inc.(a)...................... 210,775
5,350 Capital One Financial Corp. ... 365,833
12,500 Charles Schwab Corp. .......... 120,125
124,249 Citigroup, Inc. ............... 5,777,578
15,300 Countrywide Financial Corp. ... 1,074,825
1,950 Deluxe Corp. .................. 84,825
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
9,200 E*TRADE Financial Corp.*....... $ 102,580
5,400 Equifax, Inc. ................. 133,650
23,600 Fannie Mae..................... 1,684,095
6,350 Franklin Resources, Inc. ...... 318,008
16,500 Freddie Mac.................... 1,044,450
18,100 Goldman Sachs Group, Inc. ..... 1,704,295
4,500 H&R Block, Inc. ............... 214,560
6,600 Lehman Brothers Holdings,
Inc. ........................ 496,650
33,050 MBNA Corp. .................... 852,360
22,900 Merrill Lynch & Company,
Inc. ........................ 1,236,142
27,850 Morgan Stanley................. 1,469,645
7,500 Providian Financial Corp.*..... 110,025
14,000 Prudential Financial, Inc. .... 650,580
11,850 SLM Corp. ..................... 479,333
3,600 T. Rowe Price Group, Inc. ..... 181,440
------------
19,919,968
------------
FOOD AND BEVERAGE -- 2.5%
15,100 Archer-Daniels-Midland
Company...................... 253,378
1,200 Brown-Forman Corp. -- Class
B............................ 57,924
76,850 Coca-Cola Company.............. 3,879,388
11,000 Coca-Cola Enterprises, Inc. ... 318,890
13,850 ConAgra Foods, Inc. ........... 375,058
3,500 General Mills, Inc. ........... 166,355
9,050 H.J. Heinz Company............. 354,760
6,300 Hershey Foods Corp. ........... 291,501
10,050 Kellogg Company................ 420,593
3,700 McCormick & Company, Inc. ..... 125,800
6,700 Pepsi Bottling Group, Inc. .... 204,618
41,600 PepsiCo, Inc. ................. 2,241,408
32,000 Sara Lee Corp. ................ 735,680
15,500 Sysco Corp. ................... 555,985
4,100 UST, Inc. ..................... 147,600
5,900 Wm. Wrigley Jr. Company........ 371,995
------------
10,500,933
------------
INSURANCE -- 3.7%
15,850 Ace, Ltd. ..................... 670,138
6,500 Aetna, Inc. ................... 552,500
13,350 AFLAC, Inc. ................... 544,814
17,450 Allstate Corp. ................ 812,297
3,100 Ambac Financial Group, Inc. ... 227,664
62,703 American International Group,
Inc. ........................ 4,469,469
</Table>
See notes to financial statements.
76
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
8,000 Aon Corp. ..................... $ 227,760
7,500 Chubb Corp. ................... 511,350
8,150 CIGNA Corp. ................... 560,802
4,305 Cincinnati Financial Corp. .... 187,354
11,750 Hartford Financial Services
Group, Inc. ................. 807,695
8,650 Humana, Inc.*.................. 146,185
1,400 Jefferson-Pilot Corp.(a)....... 71,120
4,300 Lincoln National Corp.(a)...... 203,175
7,200 Loews Corp. ................... 431,712
4,950 Marsh & McLennan Companies,
Inc.(a)...................... 224,631
4,300 MBIA, Inc. .................... 245,616
20,050 MetLife, Inc. ................. 718,793
2,750 MGIC Investment Corp.(a)....... 208,615
8,650 Principal Financial Group,
Inc. ........................ 300,847
12,850 Progressive Corp. ............. 1,096,104
3,850 SAFECO Corp. .................. 169,400
38,283 The St. Paul Travelers
Companies, Inc. ............. 1,551,992
3,600 Torchmark Corp. ............... 193,680
3,300 XL Capital, Ltd. -- Class A.... 249,018
------------
15,382,731
------------
INTERNET SERVICES -- 1.6%
164,800 Cisco Systems, Inc.*........... 3,905,760
15,600 eBay, Inc.*.................... 1,434,420
4,450 Monster Worldwide, Inc.*(a).... 114,454
8,300 Novell, Inc.*.................. 69,637
12,600 Symantec Corp.*................ 551,628
12,700 YAHOO!, Inc.*.................. 461,391
------------
6,537,290
------------
LEISURE AND RECREATION -- 0.5%
2,450 Brunswick Corp. ............... 99,960
15,450 Carnival Corp. ................ 726,150
2,450 Harrah's Entertainment,
Inc. ........................ 132,545
4,150 Hilton Hotels Corp. ........... 77,439
9,200 International Game
Technology................... 355,120
5,750 Marriott International, Inc. --
Class A(a)................... 286,810
5,100 Starwood Hotels & Resorts
Worldwide, Inc. ............. 228,735
------------
1,906,759
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 0.5%
8,800 Caterpillar, Inc. ............. $ 699,072
9,950 Deere & Company................ 697,893
4,650 Dover Corp. ................... 195,765
4,100 Ingersoll-Rand Company, Ltd. --
Class A...................... 280,071
4,400 Rockwell Automation, Inc. ..... 165,044
------------
2,037,845
------------
MANUFACTURING -- 2.2%
36,350 3M Company..................... 3,271,863
2,800 Cooper Industries,
Ltd. -- Class A.............. 166,348
7,700 Danaher Corp. ................. 399,245
3,900 Eaton Corp. ................... 252,486
22,100 Honeywell International,
Inc. ........................ 809,523
7,700 Illinois Tool Works, Inc. ..... 738,353
2,350 ITT Industries, Inc. .......... 195,050
4,450 Parker-Hannifin Corp. ......... 264,597
4,150 Textron, Inc. ................. 246,303
94,100 Tyco International, Ltd.(a).... 3,118,474
------------
9,462,242
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.0%
5,400 Anthem, Inc.*(a)............... 483,624
700 Express Scripts, Inc.*......... 55,461
16,350 IMS Health, Inc. .............. 383,244
3,650 Manor Care, Inc. .............. 119,282
6,758 Medco Health Solutions,
Inc.*........................ 253,425
2,450 Quest Diagnostics, Inc. ....... 208,128
24,950 UnitedHealth Group, Inc. ...... 1,553,137
8,900 WellPoint Health Networks,
Inc.*........................ 996,889
------------
4,053,190
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 2.4%
1,250 Allergan, Inc. ................ 111,900
1,600 Bausch & Lomb, Inc. ........... 104,112
14,550 Baxter International, Inc. .... 502,121
10,350 Becton, Dickinson and
Company(a)................... 536,130
7,450 Biomet, Inc.*.................. 331,078
20,150 Boston Scientific Corp.*....... 862,420
2,600 C. R. Bard, Inc. .............. 147,290
3,050 Guidant Corp. ................. 170,434
71,150 Johnson & Johnson.............. 3,963,054
29,650 Medtronic, Inc. ............... 1,444,548
4,250 St. Jude Medical, Inc.*........ 321,513
</Table>
See notes to financial statements.
77
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED)
10,400 Stryker Corp. ................. $ 572,000
13,900 Zimmer Holdings, Inc.*......... 1,225,980
------------
10,292,580
------------
METALS AND MINING -- 0.4%
22,100 Alcoa, Inc. ................... 729,963
4,100 Newmont Mining Corp. .......... 158,916
2,000 Nucor Corp. ................... 153,520
6,100 Phelps Dodge Corp.*............ 472,811
3,200 United States Steel Corp.(a)... 112,384
------------
1,627,594
------------
OIL AND GAS: PIPELINES -- 0.1%
3,700 Kinder Morgan, Inc. ........... 219,373
17,700 Williams Companies, Inc. ...... 210,630
------------
430,003
------------
OIL, COAL AND GAS -- 4.9%
2,000 Amerada Hess Corp. ............ 158,380
6,650 Anadarko Petroleum Corp. ...... 389,690
7,714 Apache Corp. .................. 335,945
3,250 Baker Hughes, Inc. ............ 122,363
1,550 BJ Services Company*........... 71,052
23,500 Burlington Resources, Inc. .... 850,230
42,500 ChevronTexaco Corp. ........... 3,999,674
25,113 ConocoPhillips................. 1,915,870
14,100 Devon Energy Corp. ............ 930,600
1,200 EOG Resources, Inc. ........... 71,652
179,650 Exxon Mobil Corp. ............. 7,978,256
2,400 Kerr-McGee Corp. .............. 129,048
14,100 Marathon Oil Corp. ............ 533,544
1,350 Nabors Industries, Ltd.*....... 61,047
3,450 Noble Corp.*................... 130,721
21,750 Occidental Petroleum Corp. .... 1,052,917
9,200 Praxair, Inc. ................. 367,172
5,700 Schlumberger, Ltd. ............ 362,007
2,700 Sunoco, Inc. .................. 171,774
3,100 Transocean, Inc.*.............. 89,714
6,800 Unocal Corp. .................. 258,400
7,000 Valero Energy Corp. ........... 516,320
------------
20,496,376
------------
PAPER AND FOREST PRODUCTS -- 0.5%
1,600 Boise Cascade Corp. ........... 60,224
6,400 Georgia-Pacific Corp. ......... 236,672
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
PAPER AND FOREST PRODUCTS (CONTINUED)
12,200 International Paper
Company(a)................... $ 545,340
6,450 Louisiana-Pacific Corp. ....... 152,543
4,600 MeadWestvaco Corp. ............ 135,194
4,200 Plum Creek Timber Company,
Inc. ........................ 136,836
2,400 Temple-Inland, Inc. ........... 166,200
10,050 Weyerhauser Company............ 634,356
------------
2,067,365
------------
PHARMACEUTICALS -- 3.6%
2,700 AmerisourceBergen Corp. ....... 161,406
47,500 Bristol-Myers Squibb Company... 1,163,750
10,150 Cardinal Health, Inc. ......... 711,008
10,900 Caremark Rx, Inc.*............. 359,046
27,350 Eli Lilly and Company.......... 1,912,038
8,850 Forest Laboratories, Inc.*..... 501,176
3,815 Hospira, Inc.*................. 105,294
10,350 King Pharmaceuticals, Inc.*.... 118,508
54,200 Merck & Company, Inc. ......... 2,574,499
6,550 Mylan Laboratories, Inc. ...... 132,638
182,410 Pfizer, Inc. .................. 6,253,014
2,600 Watson Pharmaceuticals,
Inc.*(a)..................... 69,940
32,200 Wyeth.......................... 1,164,352
------------
15,226,669
------------
PRINTING AND PUBLISHING -- 0.1%
2,150 Dow Jones & Company, Inc.(a)... 96,965
800 Knight-Ridder, Inc. ........... 57,600
6,450 New York Times Company -- Class
A............................ 288,380
3,300 R.R. Donnelley & Sons Company.. 108,966
------------
551,911
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
1,950 Simon Property Group,
Inc.(a)...................... 100,269
------------
RESEARCH AND DEVELOPMENT -- 0.5%
31,284 Amgen, Inc.*................... 1,707,167
3,250 Biogen Idec, Inc.*............. 205,563
4,550 Chiron Corp.*.................. 203,112
2,400 Millipore Corp.*............... 135,288
------------
2,251,130
------------
RETAIL -- 3.9%
7,000 Bed Bath & Beyond, Inc.*....... 269,150
18,700 Best Buy Company, Inc. ........ 948,838
</Table>
See notes to financial statements.
78
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
18,800 Costco Wholesale Corp. ........ $ 772,116
9,800 CVS Corp. ..................... 411,796
7,900 Dollar General Corp. .......... 154,524
1,550 Family Dollar Stores,
Inc.(a)...................... 47,151
7,150 Federated Department Stores,
Inc. ........................ 351,065
55,400 Home Depot, Inc. .............. 1,950,079
15,050 J. C. Penney Company, Inc.
(Holding Company)(a)......... 568,288
3,350 Kohl's Corp.*.................. 141,638
20,350 Lowe's Companies, Inc. ........ 1,069,393
7,050 May Department Stores Company.. 193,805
7,800 Nordstrom, Inc. ............... 332,358
8,300 Office Depot, Inc.*(a)......... 148,653
9,500 RadioShack Corp. .............. 271,985
5,400 Sears, Roebuck & Company....... 203,904
28,900 Staples, Inc. ................. 847,059
21,750 Target Corp. .................. 923,723
12,200 TJX Companies, Inc. ........... 294,508
9,800 Toys "R" Us, Inc.*............. 156,604
104,070 Wal-Mart Stores, Inc. ......... 5,490,732
25,000 Walgreen Company............... 905,250
------------
16,452,619
------------
RETAIL: RESTAURANTS -- 0.6%
52,850 McDonald's Corp. .............. 1,374,100
16,000 Starbucks Corp.*............... 695,680
4,250 Wendy's International, Inc. ... 148,070
7,500 YUM! Brands, Inc.*............. 279,150
------------
2,497,000
------------
RETAIL: SUPERMARKETS -- 0.1%
8,600 Albertson's, Inc. ............. 228,244
4,400 Safeway, Inc.*................. 111,496
5,350 SUPERVALU, Inc. ............... 163,764
------------
503,504
------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2%
12,000 Agilent Technologies, Inc.*.... 351,360
6,900 Applera Corp.-Applied
Biosystems Group............. 150,075
3,800 Pall Corp.(a).................. 99,522
2,550 PerkinElmer, Inc. ............. 51,102
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SCIENTIFIC AND TECHNICAL INSTRUMENTS
(CONTINUED)
5,200 Thermo Electron Corp.*......... $ 159,848
2,750 Waters Corp.*.................. 131,395
------------
943,302
------------
SEMICONDUCTORS -- 2.1%
9,500 Altera Corp.*.................. 211,090
8,700 Analog Devices, Inc. .......... 409,596
39,800 Applied Materials, Inc.*....... 780,876
3,050 Broadcom Corp. -- Class A*..... 142,649
155,600 Intel Corp. ................... 4,294,559
4,900 KLA-Tencor Corp.*(a)........... 241,962
8,050 Linear Technology Corp. ....... 317,734
9,850 LSI Logic Corp.*............... 75,057
8,050 Maxim Integrated Products,
Inc. ........................ 421,981
15,850 Micron Technology, Inc.*....... 242,664
6,100 National Semiconductor
Corp.*....................... 134,139
1,300 Novellus Systems, Inc.*........ 40,872
5,200 Teradyne, Inc.*(a)............. 118,040
42,000 Texas Instruments, Inc. ....... 1,015,559
8,350 Xilinx, Inc. .................. 278,139
------------
8,724,917
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.1%
12,750 ALLTEL Corp. .................. 645,405
17,010 AT&T Corp.(a).................. 248,856
27,650 AT&T Wireless Services,
Inc.*........................ 395,948
9,700 Avaya, Inc.*................... 153,163
46,050 BellSouth Corp. ............... 1,207,431
4,050 CenturyTel, Inc. .............. 121,662
8,400 Comverse Technology, Inc.*..... 167,496
30,000 Corning, Inc.*................. 391,800
102,900 Lucent Technologies,
Inc.*(a)..................... 388,962
430,000 MCI, Inc.(f)................... --
260,000 MCI, Inc.(f)................... --
125,000 Motorola, Inc. ................ 2,281,250
27,600 Nextel Communications, Inc. --
Class A*..................... 735,816
19,450 QUALCOMM, Inc. ................ 1,419,461
79,100 SBC Communications, Inc. ...... 1,918,175
9,550 Scientific-Atlanta, Inc. ...... 329,475
13,850 Sprint Corp. (FON Group)....... 243,760
</Table>
See notes to financial statements.
79
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
10,400 Tellabs, Inc.*(a).............. $ 90,896
66,050 Verizon Communications,
Inc. ........................ 2,390,350
------------
13,129,906
------------
TOOLS -- 0.1%
4,250 Black & Decker Corp. .......... 264,053
1,700 Snap-on, Inc. ................. 57,035
2,650 Stanley Works.................. 120,787
------------
441,875
------------
TOYS -- 0.0%
6,700 Hasbro, Inc. .................. 127,300
------------
TRANSPORTATION -- 0.7%
9,400 Burlington Northern Santa Fe
Corp. ....................... 329,658
9,950 Norfolk Southern Corp. ........ 263,874
3,000 Ryder System, Inc.(a).......... 120,210
27,400 United Parcel Service, Inc. --
Class B...................... 2,059,658
------------
2,773,400
------------
UTILITIES: ELECTRIC -- 1.5%
27,550 AES Corp.*..................... 273,572
4,200 Ameren Corp.(a)................ 180,432
9,840 American Electric Power
Company, Inc. ............... 314,880
14,600 CenterPoint Energy, Inc.(a).... 167,900
4,150 Cinergy Corp. ................. 157,700
2,200 Consolidated Edison, Inc. ..... 87,472
4,100 Constellation Energy Group,
Inc. ........................ 155,390
9,050 Duke Energy Corp. ............. 183,625
19,600 Edison International........... 501,172
5,650 Entergy Corp. ................. 316,457
16,900 Exelon Corp. .................. 562,600
8,850 FirstEnergy Corp. ............. 331,079
4,350 FPL Group, Inc. ............... 278,183
12,250 PG&E Corp.*.................... 342,265
4,700 PPL Corp. ..................... 215,730
5,800 Progress Energy, Inc.(a)....... 255,490
6,800 Public Service Enterprise
Group, Inc.(a)............... 272,204
18,450 Southern Company(a)............ 537,817
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
20,400 TXU Corp. ..................... $ 826,403
10,350 Xcel Energy, Inc.(a)........... 172,949
------------
6,133,320
------------
UTILITIES: GAS -- 0.1%
4,750 KeySpan Corp. ................. 174,325
6,100 NiSource, Inc. ................ 125,782
6,000 Sempra Energy.................. 206,580
------------
506,687
------------
TOTAL COMMON STOCKS (Cost
$245,829,871)................ 275,781,136
------------
<Caption>
PRINCIPAL
---------
US TREASURY SECURITIES -- 7.1%
US TREASURY BONDS -- 1.8%
$ 1,580,000 10.38%, 11/15/12(a)............ 1,929,823
1,100,000 8.13%, 08/15/19(a)............. 1,441,000
1,145,000 8.50%, 02/15/20................ 1,549,687
1,530,000 8.00%, 11/15/21................ 2,005,854
405,000 6.75%, 08/15/26(a)............. 476,144
15,000 5.38%, 02/15/31................ 15,133
------------
7,417,641
------------
US TREASURY NOTES -- 5.3%
4,540,000 1.50%, 03/31/06................ 4,458,956
1,845,000 2.25%, 04/30/06(a)............. 1,832,965
8,210,000 2.50%, 05/31/06................ 8,184,993
1,265,000 2.75%, 06/30/06................ 1,266,187
1,250,000 3.13%, 05/15/07(a)............. 1,250,391
220,000 3.25%, 08/15/07................ 220,266
1,920,000 2.63%, 03/15/09(a)............. 1,827,450
550,000 3.88%, 05/15/09................ 552,020
225,000 4.00%, 06/15/09................ 226,995
620,000 4.00%, 11/15/12(a)............. 600,456
2,000,000 4.75%, 05/15/14................ 2,021,486
------------
22,442,165
------------
TOTAL US TREASURY SECURITIES
(Cost $30,164,109)........... 29,859,806
------------
US GOVERNMENT AGENCY SECURITIES -- 15.3%
FANNIE MAE -- 9.6%
300,000 1.75%, 06/16/06(a)............. 293,007
325,000 7.13%, 03/15/07................ 356,217
1,355,000 2.35%, 04/05/07................ 1,317,653
</Table>
See notes to financial statements.
80
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 1,795,000 5.75%, 02/15/08................ $ 1,914,299
1,730,000 6.00%, 05/15/08................ 1,864,973
520,000 3.13%, 03/16/09................ 495,616
400,000 6.63%, 09/15/09................ 442,980
1,160,000 5.50%, 07/18/12................ 1,169,616
423,580 PL# 252345, 6.00%, 03/01/14.... 442,813
193,638 PL# 255069, 5.00%, 01/01/34.... 187,725
398,457 PL# 255225, 5.50%, 06/01/34.... 397,192
276,687 PL# 323842, 5.50%, 07/01/14.... 284,898
303,923 PL# 406815, 7.00%, 07/01/28.... 322,033
351,131 PL# 535675, 7.00%, 01/01/16.... 373,187
3,716 PL# 549906, 7.50%, 09/01/30.... 3,984
6,071 PL# 552549, 7.50%, 09/01/30.... 6,510
529,271 PL# 555531, 5.50%, 06/01/33.... 528,433
2,224 PL# 558384, 7.50%, 01/01/31.... 2,385
17,622 PL# 564462, 6.50%, 03/01/32.... 18,368
100,017 PL# 566031, 6.00%, 03/01/16.... 104,395
4,822 PL# 568677, 7.50%, 01/01/31.... 5,171
3,673 PL# 572762, 7.50%, 03/01/31.... 3,937
26,361 PL# 575334, 6.00%, 04/01/16.... 27,515
63,281 PL# 577523, 6.00%, 05/01/16.... 66,051
13,759 PL# 578769, 6.00%, 05/01/16.... 14,361
191,250 PL# 579234, 6.00%, 04/01/16.... 199,622
27,363 PL# 582178, 7.50%, 06/01/31.... 29,335
108,153 PL# 582491, 6.00%, 05/01/16.... 112,887
24,890 PL# 594316, 6.50%, 07/01/31.... 25,965
4,320 PL# 602859, 6.50%, 10/01/31.... 4,507
87,760 PL# 614924, 7.00%, 12/01/16.... 93,272
33,580 PL# 618454, 5.50%, 12/01/16.... 34,474
7,830 PL# 620174, 6.50%, 12/01/31.... 8,168
173,179 PL# 627256, 6.50%, 03/01/32.... 180,504
37,353 PL# 649576, 6.00%, 12/01/32.... 38,213
393,913 PL# 721724, 6.00%,
06/01/33(e).................. 402,736
3,560,579 PL# 725232, 5.00%, 03/01/34.... 3,451,864
392,374 PL# 727361, 5.00%, 08/01/18.... 393,893
48,263 PL# 744714, 4.50%, 10/01/18.... 47,306
96,987 PL# 748975, 4.00%, 10/01/18.... 92,636
540,461 PL# 749105, 4.50%, 10/01/18.... 529,745
678,974 PL# 770052, 4.50%, 03/01/19.... 664,899
99,990 PL# 773100, 5.50%, 04/01/34.... 99,673
498,564 PL# 773385, 5.50%, 05/01/34.... 496,980
787,261 PL# 777336, 4.50%, 04/01/19.... 770,942
700,000 TBA, 4.00%, 07/01/19........... 666,750
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FANNIE MAE (CONTINUED)
$ 1,100,000 TBA, 4.50%, 07/01/19........... $ 1,074,907
5,300,000 TBA, 5.00%, 07/01/19........... 5,306,624
1,200,000 TBA, 5.50%, 07/01/19(e)........ 1,227,374
2,700,000 TBA, 6.00%, 07/01/19........... 2,812,217
1,600,000 TBA, 5.00%, 07/01/34........... 1,545,501
7,500,000 TBA, 5.50%, 07/01/34........... 7,464,839
1,100,000 TBA, 6.00%, 07/01/34(e)........ 1,123,032
700,000 TBA, 6.50%, 07/01/34........... 728,875
------------
40,271,059
------------
FANNIE MAE GOLD -- 0.2%
1,000,000 TBA, 5.50%, 07/01/19........... 1,021,875
------------
FREDDIE MAC -- 0.9%
1,525,000 2.85%, 02/23/07................ 1,506,527
695,000 3.50%, 04/01/08(a)............. 684,877
60,000 3.88%, 11/10/08................ 59,633
410,000 3.88%, 01/12/09................ 403,469
1,230,000 4.13%, 02/24/11................ 1,182,297
------------
3,836,803
------------
FREDDIE MAC GOLD -- 3.1%
790,000 7.00%, 03/15/10................ 891,068
2,700,000 4.50%, 12/16/10................ 2,634,547
1,142,712 PL# A12447, 6.00%, 08/01/33.... 1,168,920
256,009 PL# A12800, 5.50%, 08/01/33.... 255,757
502,080 PL# B13607, 4.50%, 04/01/19.... 491,359
497,989 PL# B14156, 4.00%, 05/01/19.... 475,122
498,019 PL# B14794, 4.50%, 06/01/19.... 487,384
584,716 PL# C01623, 5.50%,
09/01/33(e).................. 584,140
70,031 PL# C64741, 7.00%, 03/01/32.... 73,937
559,045 PL# C75655, 6.00%,
01/01/33(e).................. 572,188
73,330 PL# E00513, 6.00%, 09/01/12.... 76,717
78,823 PL# E01172, 6.00%,
07/01/17(e).................. 82,274
42,556 PL# E84467, 6.00%,
07/01/16(e).................. 44,435
87,164 PL# E89080, 6.00%, 04/01/17.... 90,981
104,473 PL# E89874, 6.00%,
05/01/17(e).................. 109,085
368,010 PL# E89913, 6.00%, 05/01/17.... 384,125
88,428 PL# E90603, 6.00%,
07/01/17(e).................. 92,301
221,819 PL# E90827, 5.50%, 08/01/17.... 227,278
66,457 PL# E91210, 6.00%, 09/01/17.... 69,367
13,252 PL# G01309, 7.00%, 08/01/31.... 14,018
129,851 PL# G01315, 7.00%, 09/01/31.... 137,466
327,305 PL# G01391, 7.00%, 04/01/32.... 346,498
</Table>
See notes to financial statements.
81
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
FREDDIE MAC GOLD (CONTINUED)
$ 411,923 PL# M80813, 4.00%, 04/01/10.... $ 403,443
1,700,000 TBA, 5.00%, 07/01/34........... 1,641,030
800,000 TBA, 6.00%, 07/01/34........... 817,000
700,000 TBA, 6.50%, 07/01/34........... 729,532
------------
12,899,972
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 1.0%
395,622 PL# 003161, 6.50%, 11/20/31.... 413,085
16,929 PL# 461836, 7.00%, 01/15/28.... 18,023
36,952 PL# 480112, 6.00%, 04/15/29.... 37,988
35,094 PL# 499445, 6.00%, 04/15/29.... 36,078
55,266 PL# 552851, 6.00%, 10/15/32.... 56,766
41,992 PL# 555283, 6.50%, 04/15/32.... 43,941
147,442 PL# 555581, 7.00%, 10/15/31.... 156,771
24,027 PL# 569839, 6.50%, 06/15/32.... 25,142
114,329 PL# 578249, 6.00%, 10/15/32.... 117,431
47,564 PL# 587784, 6.50%, 12/15/32.... 49,772
339,562 PL# 590257, 6.00%, 10/15/32.... 348,775
8,958 PL# 596647, 7.00%, 09/15/32.... 9,521
198,299 PL# 607183, 6.00%, 11/15/33.... 203,613
488,692 PL# 609510, 6.00%, 11/15/33.... 501,788
501,229 PL# 616026, 6.00%, 10/15/33.... 514,661
976,288 PL# 625651, 5.50%, 01/15/34.... 976,999
198,625 PL# 629348, 5.50%, 02/15/34.... 198,770
106,982 PL# 780914, 6.00%, 11/15/28.... 110,051
409,698 PL# 781328, 7.00%, 09/15/31.... 435,859
------------
4,255,034
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.4%
600,000 Fannie Mae Grantor Trust,
Series 2001-T2, Class B,
6.02%, 11/25/10.............. 638,388
400,000 Fannie Mae, Series 1999-7,
Class AB,
6.00%, 03/25/29.............. 410,671
365,000 Fannie Mae, Series 2002-81,
Class BR,
5.25%, 04/25/25.............. 376,256
325,000 Freddie Mac, Series 2550, Class
QP,
5.00%, 03/15/26.............. 327,821
------------
1,753,136
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
RESOLUTION FUNDING STRIPS -- 0.1%
$ 250,000 Zero coupon, 07/15/18.......... $ 114,728
250,000 Zero coupon, 10/15/18.......... 112,685
------------
227,413
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$64,257,425)................. 64,265,292
------------
CORPORATE BONDS AND NOTES -- 10.4%
AEROSPACE AND DEFENSE -- 0.3%
35,000 BE Aerospace,
8.50%, 10/01/10.............. 37,013
250,000 Lockheed Martin Corp.,
8.50%, 12/01/29.............. 314,517
110,000 Lockheed Martin Corp.,
7.20%, 05/01/36.............. 126,390
90,000 Northrop Grumman Corp.,
7.13%, 02/15/11.............. 101,274
20,000 Northrop Grumman Corp.,
7.75%, 02/15/31.............. 23,335
120,000 Raytheon Company,
4.85%, 01/15/11.............. 119,265
720,000 RC Trust I,
7.00%, 05/15/06.............. 387,449
------------
1,109,243
------------
AUTOMOBILES/MOTOR VEHICLES -- 0.1%
60,000 Daimler Chrysler AG Corp.,
7.45%, 03/01/27.............. 61,757
375,000 Daimler Chrysler N.A. Holding,
4.05%, 06/04/08.............. 368,026
------------
429,783
------------
BANKS -- 1.2%
220,000 ANZ Capital Trust I -- 144A,
4.48%, perpetual............. 214,000
155,000 Bank of America Corp.,
3.88%, 01/15/08(j)........... 154,876
5,000 Bank of America Corp.,
7.80%, 02/15/10.............. 5,753
315,000 Bank of America Corp.,
4.38%, 12/01/10.............. 307,440
130,000 Bank of America Corp.,
7.40%, 01/15/11.............. 147,525
285,000 Bank of America Corp.,
5.38%, 06/15/14.............. 283,002
275,000 Barclays Bank PLC -- 144A,
Variable Rate,
8.55%, perpetual(j)(l)....... 326,127
175,000 Chase Manhattan Corp.,
7.13%, 06/15/09.............. 195,299
</Table>
See notes to financial statements.
82
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 600,000 DEPFA ACS Bank,
3.63%, 10/29/08.............. $ 589,473
190,000 Fleetboston Financial Corp.,
3.85%, 02/15/08.............. 189,415
150,000 HSBC Bank USA,
4.63%, 04/01/14.............. 139,895
175,000 JP Morgan Chase & Company,
5.35%, 03/01/07.............. 183,525
50,000 JP Morgan Chase & Company,
5.25%, 05/30/07.............. 52,219
75,000 JP Morgan Chase & Company,
3.63%, 05/01/08.............. 74,235
275,000 JP Morgan Chase & Company,
3.50%, 03/15/09.............. 264,162
110,000 JP Morgan Chase & Company,
6.75%, 02/01/11.............. 120,050
75,000 Sovereign Bancorp,
10.50%, 11/15/06............. 85,971
215,000 Suntrust Bank,
4.42%, 06/15/09(a)........... 214,721
250,000 Swedish Export Credit,
2.88%, 01/26/07.............. 246,792
50,000 U.S. Bancorp, Series MTNN,
3.95%, 08/23/07.............. 50,372
100,000 UBS Preferred Funding Trust I,
Variable Rate,
8.62%, perpetual(l).......... 118,870
475,000 US Bank NA,
2.87%, 02/01/07.............. 467,146
275,000 US Bank NA,
2.40%, 03/12/07.............. 267,299
115,000 Wachovia Corp.,
3.63%, 02/17/09.............. 111,661
160,000 Wells Fargo & Company,
3.13%, 04/01/09.............. 152,041
100,000 Wells Fargo Bank NA, Series
BKNT, Variable Rate,
7.80%, 06/15/10(l)........... 104,780
115,000 Westpac Capital Trust
III -- 144A, Variable Rate,
5.82%, perpetual(l).......... 114,453
------------
5,181,102
------------
BROADCAST SERVICES/MEDIA -- 0.5%
235,000 Charter Communications Holdings
LLC,
10.75%, 10/01/09............. 198,575
180,000 Comcast Cable Communications
Holdings,
8.38%, 03/15/13.............. 211,647
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
$ 465,000 Comcast Cable Communications,
Inc.,
6.75%, 01/30/11.............. $ 502,442
30,000 Comcast Corp.,
5.50%, 03/15/11.............. 30,328
40,000 CSC Holdings, Inc.,
7.88%, 02/15/18.............. 38,300
70,000 CSC Holdings, Inc. -- 144A,
6.75%, 04/15/12.............. 67,550
75,000 News America Holdings,
8.88%, 04/26/23.............. 93,933
20,000 News America Holdings,
7.63%, 11/30/28.............. 22,560
100,000 News America, Inc.,
7.28%, 06/30/28.............. 108,576
83,000 TCI Communications, Inc.,
7.88%, 08/01/13.............. 94,715
155,000 TCI Communications, Inc.,
7.88%, 02/15/26.............. 175,404
110,000 Time Warner, Inc.,
6.95%, 01/15/28.............. 110,901
380,000 Time Warner, Inc.,
6.63%, 05/15/29.............. 369,859
60,000 Time Warner, Inc.,
7.63%, 04/15/31.............. 65,122
50,000 Walt Disney Company, Series
MTNB,
6.20%, 06/20/14.............. 52,478
------------
2,142,390
------------
CHEMICALS -- 0.0%
85,000 Crown Euro Holdings SA,
9.50%, 03/01/11.............. 93,075
45,000 Nalco Company -- 144A,
7.75%, 11/15/11.............. 47,363
------------
140,438
------------
CONSUMER GOODS AND SERVICES -- 0.1%
210,000 General Electric Company,
5.00%, 02/01/13.............. 207,032
------------
FINANCIAL SERVICES -- 2.1%
140,000 Citigroup, Inc.,
5.75%, 05/10/06.............. 146,735
300,000 Citigroup, Inc.,
3.50%, 02/01/08.............. 296,119
100,000 Citigroup, Inc.,
6.20%, 03/15/09.............. 107,505
685,000 Citigroup, Inc.,
7.25%, 10/01/10.............. 772,431
</Table>
See notes to financial statements.
83
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 80,000 Citigroup, Inc.,
5.13%, 05/05/14.............. $ 78,520
330,000 Citigroup, Inc.,
5.88%, 02/22/33.............. 312,105
135,000 Citigroup, Inc.,
6.00%, 10/31/33.............. 129,513
60,000 Credit Suisse First Boston USA,
Inc.,
6.13%, 11/15/11.............. 63,245
55,000 E*TRADE Financial Corp. --
144A,
8.00%, 06/15/11.............. 55,000
210,000 EnCana Holdings Financial
Corp.,
5.80%, 05/01/14.............. 214,042
1,130,000 General Electric Capital Corp.,
Series MTN,
2.80%, 01/15/07.............. 1,113,632
175,000 General Electric Capital Corp.,
Series MTNA,
6.50%, 12/10/07.............. 190,363
335,000 General Electric Capital Corp.,
Series MTNA,
5.88%, 02/15/12.............. 351,872
890,000 General Motors Acceptance
Corp.,
5.63%, 05/15/09.............. 889,148
295,000 General Motors Acceptance
Corp.,
6.88%, 09/15/11.............. 302,889
45,000 General Motors Acceptance
Corp.,
8.00%, 11/01/31.............. 46,236
40,000 Goldman Sachs Group, Inc.,
7.35%, 10/01/09.............. 44,972
120,000 Goldman Sachs Group, Inc.,
6.13%, 02/15/33.............. 113,619
50,000 Household Finance Corp.,
7.20%, 07/15/06.............. 53,780
325,000 Household Finance Corp.,
6.50%, 11/15/08.............. 351,482
125,000 Household Finance Corp.,
4.13%, 12/15/08.............. 123,339
275,000 Household Finance Corp.,
6.75%, 05/15/11.............. 300,936
50,000 Household Finance Corp.,
7.00%, 05/15/12.............. 55,316
390,000 Household Finance Corp.,
6.38%, 11/27/12.............. 414,184
55,000 Lehman Brothers Holdings, Inc.,
7.00%, 02/01/08.............. 60,321
90,000 Morgan Stanley,
5.80%, 04/01/07.............. 95,229
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 315,000 Morgan Stanley,
3.88%, 01/15/09.............. $ 307,001
100,000 Morgan Stanley,
6.75%, 04/15/11.............. 109,737
265,000 Morgan Stanley,
5.30%, 03/01/13.............. 261,218
200,000 SLM Corp., Series MTNA,
3.50%, 09/30/06.............. 201,134
60,000 SLM Corp., Series MTNA,
3.63%, 03/17/08.............. 59,222
230,000 SLM Corp., Series MTNA,
5.00%, 10/01/13.............. 222,505
315,000 SLM Corp., Series MTNA,
5.38%, 05/15/14.............. 310,797
645,599 Small Business Administration,
Series P10A,
4.50%, 02/10/14.............. 611,955
------------
8,766,102
------------
FOOD AND BEVERAGE -- 0.2%
195,000 Diageo Capital PLC,
3.38%, 03/20/08.............. 191,134
125,000 General Mills, Inc.,
5.13%, 02/15/07.............. 129,855
355,000 Kraft Foods, Inc.,
5.63%, 11/01/11.............. 361,677
------------
682,666
------------
INSURANCE -- 0.3%
40,000 American General Capital II,
8.50%, 07/01/30.............. 50,880
610,000 ASIF Global Financial XXIII --
144A,
3.90%, 10/22/08.............. 603,162
125,000 ASIF Global Financing -- 144A,
3.85%, 11/26/07.............. 125,618
100,000 New York Life
Insurance -- 144A,
5.88%, 05/15/33.............. 95,408
210,000 Protective Life Secured Trust,
Series MTN,
3.70%, 11/24/08.............. 206,311
15,000 Western & Southern Finance --
144A,
5.75%, 07/15/33.............. 13,602
------------
1,094,981
------------
</Table>
See notes to financial statements.
84
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
MANUFACTURING -- 0.0%
$ 50,000 Briggs & Stratton Corp.,
8.88%, 03/15/11.............. $ 58,625
35,000 Dresser, Inc.,
9.38%, 04/15/11.............. 37,625
------------
96,250
------------
METALS AND MINING -- 0.0%
125,000 Alcan, Inc.,
6.13%, 12/15/33.............. 121,349
70,000 International Steel
Group -- 144A,
6.50%, 04/15/14.............. 65,975
------------
187,324
------------
OIL AND GAS: PIPELINES -- 0.1%
275,000 Consolidated Natural Gas,
Series A,
5.00%, 03/01/14.............. 263,952
100,000 El Paso Natural Gas,
8.63%, 01/15/22.............. 98,000
40,000 Williams Companies, Inc.,
7.13%, 09/01/11.............. 40,800
65,000 Williams Companies, Inc.,
8.13%, 03/15/12.............. 69,713
60,000 Williams Companies, Inc.,
7.63%, 07/15/19.............. 58,050
------------
530,515
------------
OIL, COAL AND GAS -- 0.4%
80,000 Amerada Hess Corp.,
7.30%, 08/15/31.............. 81,468
235,000 Amerada Hess Corp.,
7.13%, 03/15/33.............. 234,965
130,000 Anadarko Finance Company,
Series B,
7.50%, 05/01/31.............. 148,477
230,000 Anadarko Petroleum Corp.,
5.38%, 03/01/07.............. 240,378
140,000 Conoco Funding Company,
6.35%, 10/15/11.............. 152,552
100,000 Devon Energy Corp.,
7.95%, 04/15/32.............. 115,860
50,000 Devon Financing Corp. ULC,
7.88%, 09/30/31.............. 57,547
50,000 El Paso Production Holding,
7.75%, 06/01/13.............. 46,125
230,000 EnCana Corp.,
6.30%, 11/01/11.............. 244,614
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$ 75,000 Hanover Equipment Trust, Series
B,
8.75%, 09/01/11.............. $ 80,625
75,000 Suncor Energy, Inc.,
5.95%, 12/01/34.............. 72,752
280,000 XTO Energy, Inc.,
4.90%, 02/01/14.............. 264,133
------------
1,739,496
------------
PAPER AND FOREST PRODUCTS -- 0.1%
140,000 Georgia-Pacific Corp. -- 144A,
8.00%, 01/15/24.............. 140,700
70,000 Weyerhaeuser Company,
7.13%, 07/15/23.............. 74,143
------------
214,843
------------
PHARMACEUTICALS -- 0.1%
125,000 Bristol-Myers Squibb,
6.88%, 08/01/97.............. 132,286
145,000 GlaxoSmithKline Capital, Inc.,
4.38%, 04/15/14.............. 135,858
165,000 Wyeth,
6.50%, 02/01/34.............. 156,012
------------
424,156
------------
PRIVATE ASSET BACKED: AUTOMOBILES -- 0.3%
1,413,081 Daimler Chrysler Auto Trust,
Series 01-C, Class A4,
4.63%, 12/06/06.............. 1,433,570
------------
PRIVATE ASSET BACKED: BANKS -- 0.0%
76,610 Washington Mutual MSC, Series
2002-MS12, Class A,
6.50%, 05/25/32.............. 78,072
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 0.9%
1,250,000 Citibank Credit Card Issuance
Trust, Series 2003-A6, Class
A6,
2.90%, 05/17/10.............. 1,202,466
1,475,000 Citibank Credit Card Issuance
Trust, Series 2004-A1, Class
A1,
2.55%, 01/20/09.............. 1,445,580
1,200,000 MBNA Credit Card Master Note
Trust, Series 2004-A4, Class
A4,
2.70%, 09/15/09.............. 1,174,623
------------
3,822,669
------------
</Table>
See notes to financial statements.
85
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 0.6%
$ 752,651 Countrywide Alternative Loan
Trust, Series 2004-2CB, Class
4A1,
5.00%, 03/25/19.............. $ 745,765
740,000 Greenwich Capital Commercial
Funding Corp., Series
2004-GG1, Class A4,
4.76%, 06/10/36.............. 737,961
510,000 Morgan Stanley Capital I,
Series 1999-FNV1, Class A2,
6.53%, 03/15/31.............. 552,466
491,033 Small Business Administration,
Series 2002-P10B, Class 1,
5.20%, 08/01/12.............. 494,282
------------
2,530,474
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 1.3%
346,699 Bear Stearns Commercial
Mortgage Securities, Series
2001, Class A1,
6.08%, 02/15/35.............. 365,158
260,000 Commercial Mortgage Pass-
Through Certificate, Series
2004-LB2A, Class A4,
4.72%, 03/10/39.............. 248,551
900,000 GMAC Commercial Mortgage
Securities, Inc., Series
1999-C2, Class A2,
6.95%, 09/15/33.............. 991,432
1,090,000 GMAC Commercial Mortgage
Securities, Inc., Series
2000-C3, Class A2,
6.96%, 09/15/35.............. 1,210,048
623,766 GS Mortgage Securities Corp.,
Series 1998-C1, Class A3,
6.14%, 10/18/30.............. 661,802
680,000 JP Morgan Chase Commercial
Mortgage Securities Corp.,
Series 2001-CIB2, Class A3,
6.43%, 04/15/35.............. 736,947
605,000 LB-UBS Commercial Mortgage
Trust, Series 2000-C4, Class
A2,
7.37%, 08/15/26.............. 683,896
500,000 Master Alternative Loans Trust,
Series 2004-6, Class A1,
6.28%, 06/25/34.............. 503,125
------------
5,400,959
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: OTHER -- 0.1%
$ 319,950 Impac Secured Assets Common
Owner Trust, Series 2003-2,
Class A2,
6.00%, 08/25/33.............. $ 324,349
------------
PRIVATE ASSET BACKED: UTILITIES -- 0.5%
2,000,000 Peco Energy Transition Trust,
Series 2000-A, Class A4,
7.65%, 03/01/10.............. 2,292,031
------------
REAL ESTATE -- 0.1%
210,000 EOP Operating LP,
4.75%, 03/15/14.............. 193,844
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
225,000 Developers Diversified Realty
Corp.,
3.88%, 01/30/09.............. 215,204
------------
SPECIAL PURPOSE ENTITY -- 0.0%
150,000 Allstate Life Global Funding
Trust, Series 04-1,
4.50%, 05/29/09.............. 151,075
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.6%
175,000 America Movil SA de CV -- 144A,
5.50%, 03/01/14.............. 161,645
135,000 British Telecom PLC, Variable
Rate,
8.88%, 12/15/30.............. 167,029
50,000 Cincinnati Bell, Inc.,
8.38%, 01/15/14.............. 44,750
75,000 Deutsche Telekom International
Corp., Variable Rate,
8.25%, 06/15/05.............. 78,875
250,000 Deutsche Telekom International
Finance, Variable Rate,
8.75%, 06/15/30.............. 305,159
45,000 Deutsche Telekom, Variable
Rate,
8.50%, 06/15/10.............. 52,648
25,000 France Telecom,
9.50%, 03/01/31.............. 31,465
20,000 MCI, Inc., zero coupon,(f)..... --
80,000 MCI, Inc.,
5.91%, 05/01/07.............. 77,800
80,000 MCI, Inc.,
6.69%, 05/01/09.............. 74,200
68,000 MCI, Inc.,
7.74%, 05/01/14(a)........... 61,030
630,000 MCI, Inc., zero coupon,
04/01/34(f).................. --
</Table>
See notes to financial statements.
86
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
$ 250,000 New England Telephone &
Telegraph,
7.88%, 11/15/29.............. $ 285,937
210,000 New Jersey Bell Telephone,
7.85%, 11/15/29.............. 239,550
60,000 Qwest Communications
International -- 144A,
7.50%, 02/15/14.............. 54,450
25,000 Sprint Capital Corp.,
8.75%, 03/15/32.............. 29,216
75,000 Telefonica Europe BV,
7.75%, 09/15/10.............. 85,889
50,000 Verizon New Jersey, Inc.,
Series A,
5.88%, 01/17/12.............. 51,415
80,000 Verizon Pennsylvania, Series A,
5.65%, 11/15/11.............. 81,283
570,000 Vodafone Group PLC,
5.00%, 12/16/13.............. 551,566
------------
2,433,907
------------
TRANSPORTATION -- 0.1%
230,000 Burlington Northern Santa Fe
Corp.,
7.29%, 06/01/36.............. 265,742
75,000 Canadian National Railway
Company,
6.90%, 07/15/28.............. 81,424
55,000 OMI Corp.,
7.63%, 12/01/13.............. 54,175
80,000 Overseas Shipholding Group,
7.50%, 02/15/24.............. 74,400
------------
475,741
------------
UTILITIES -- 0.0%
35,000 National Waterworks, Inc.,
Series B,
10.50%, 12/01/12............. 39,025
35,000 Orion Power Holdings, Inc.,
12.00%, 05/01/10............. 42,875
------------
81,900
------------
UTILITIES: ELECTRIC -- 0.3%
90,000 AES Corp. -- 144A,
8.75%, 05/15/13.............. 96,863
80,000 Calpine Corp. -- 144A,
8.50%, 07/15/10.............. 66,600
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
$ 45,000 Dominion Resources Capital
Trust III,
8.40%, 01/15/31.............. $ 52,310
285,000 First Energy Corp., Series C,
7.38%, 11/15/31.............. 297,943
160,000 Midwest Generation LLC -- 144A,
8.75%, 05/01/34.............. 162,400
90,000 NRG Energy, Inc. -- 144A,
8.00%, 12/15/13.............. 91,350
275,000 Ohio Edison,
5.45%, 05/01/15.............. 262,180
140,000 Ontario Electricity Finance,
6.10%, 01/30/08.............. 150,525
230,000 SP PowerAssets, Ltd. -- 144A,
5.00%, 10/22/13.............. 224,360
------------
1,404,531
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $44,845,107)........... 43,784,647
------------
MUNICIPAL BONDS -- 0.1%
CALIFORNIA
250,000 California State Department of
Water Powersupply Revenue
Bond, Series E,
3.98%, 05/01/05 (Cost
$249,988).................... 252,010
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 1.8%
300,000 AID-Israel,
5.50%, 04/26/24.............. 295,036
315,000 AID-Israel,
5.50%, 09/18/33.............. 308,296
850,000 Bonos Y Obligation Del Estado,
3.60%, 01/31/09(h)........... 1,037,600
1,285,000 Bundesobligation, Series 143,
3.50%, 10/10/08(h)........... 1,563,850
1,325,000 French Treasury Note,
3.50%, 01/12/09(h)........... 1,609,739
7,695,000 Government of Sweden,
5.00%, 01/28/09(i)........... 1,063,197
75,000 Province of Quebec, Series A,
7.37%, 03/06/26.............. 88,856
145,000 Province of Quebec, Series
MTNA,
7.38%, 04/09/26.............. 171,708
560,096 Republic of Colombia,
9.75%, 04/09/11.............. 621,706
250,000 United Mexican States,
11.38%, 09/15/16............. 350,000
</Table>
See notes to financial statements.
87
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
$ 367,000 United Mexican States,
8.13%, 12/30/19.............. $ 393,608
150,000 United Mexican States,
8.00%, 09/24/22.............. 156,150
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost
$7,458,000).................. 7,659,746
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 0.7%
FANNIE MAE
2,805,000 1.22%, 07/09/04 (Cost
$2,804,240).................. 2,804,240
------------
SECURITIES LENDING COLLATERAL -- 4.6%
19,563,576 Securities Lending Collateral
Investment (Note 4) (Cost
$19,563,576)................. 19,563,576
------------
TOTAL SECURITIES
(Cost $415,172,316).......... 443,970,453
------------
REPURCHASE AGREEMENTS -- 5.2%
21,023,617 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $21,023,897
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
4.502%, due 01/01/34, with a
value of $20,282,516 and
Small Business
Administration, 4.375%, due
06/25/27, with a value of
$1,792,282).................. 21,023,617
1,072,126 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $1,072,173
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $154,136,
Allstate Financial Global
Funding,
1.675%, due 12/20/05, with a
value of $10,738, American
General Corp., 7.50%, due
07/15/25, with a value of
$617, various ASIF Global
Finance XIX-XXIII,
1.44% -- 4.90%, due 05/30/06
to 01/17/13, with a total
value of $463,692,
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
Berkshire Hathaway, Inc.,
4.625%, due 10/15/13, with a
value of $50,931, Citigroup,
Inc., 6.875%, due 02/15/98,
with a value of $2,181,
Citizens Communications,
7.00%, due 11/01/25, with a
value of $45,474, Citizens
Property Insurance, 6.70%,
due 08/25/04, with a value of
$11,181, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $26,365, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $15,952,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $12,090, John
Hancock Global Funding II,
1.66%, due 09/06/05, with a
value of $20,968, Johnson &
Johnson, 6.95%, due 09/01/29,
with a value of $38,108,
Morgan Stanley Capital I,
0.55%, due 12/15/31, with a
value of $9,341, Saturns-AIG,
1.539%,
due 12/01/45, with a value of
$160,819, various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$66,498, Wal-Mart Stores,
Inc., 7.55%, due 02/15/30,
with a value of $140, and
Wal-Mart Canada, 5.58%, due
05/01/06, with a value of
$5,601)(b)................... $ 1,072,126
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $22,095,743)........... 22,095,743
------------
SECURITIES SOLD SHORT -- (1.0)%
$ 1,500,000 Fannie Mae TBA, 6.00%,
07/15/04..................... (1,531,407)
400,000 Fannie Mae TBA, 5.50%,
07/20/04..................... (409,126)
500,000 Freddie Mac Gold TBA, 5.50%,
07/15/04..................... (497,812)
900,000 Freddie Mac Gold TBA, 6.00%,
07/15/04..................... (919,125)
900,000 Freddie Mac Gold TBA, 6.00%,
07/20/04..................... (937,687)
------------
TOTAL SECURITIES SOLD SHORT
(Proceeds $4,262,938)........ (4,295,157)
------------
</Table>
See notes to financial statements.
88
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
CONTRACTS VALUE
--------- ------------
CALL OPTIONS WRITTEN -- 0.0%
2 US Treasury Bond (20 Year)
Sept. Future, Expiring August
2004 @ 108, zero coupon,
08/27/04 (Premium $4,744).... $ (5,062)
------------
Total Investments -- 109.7%
(Cost $433,000,377).......... 461,765,977
Liabilities less other
assets -- (9.7)%............. (40,742,460)
------------
NET ASSETS -- 100.0%........... $421,023,517
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $433,000,377.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $34,528,786
Gross unrealized depreciation........... (5,763,186)
-----------
Net unrealized appreciation............. $28,765,600
===========
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for securities
loaned.
(c) Quarterly reset provision. The rate shown was in effect at June 30, 2004.
(d) Monthly reset provision. The rate shown was in effect at June 30, 2004.
(e) Security is segregated as collateral for written options and short sales.
(f) Securities received as a result of a class action suit involving WorldCom,
Inc. bonds. The securities had no value at June 30, 2004.
(g) Step bond. The rate shown was in effect at June 30, 2004.
(h) Principal amount shown for this debt security is denominated in Euros.
(i) Principal amount shown for this debt security is denominated in Swedish
Krona.
(j) Security is segregated as initial margin for futures contracts.
(k) Variable Rate Security. Interest rate based on the credit rating of the
issuer. The rate shown was in effect at June 30, 2004.
(l) Variable Rate Security. The rate shown was in effect at June 30, 2004.
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.
See notes to financial statements.
89
VALUE AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 97.4%
ADVERTISING -- 0.4%
720,000 Interpublic Group of
Companies, Inc.*(a)....... $ 9,885,600
--------------
AEROSPACE AND DEFENSE -- 1.0%
40,000 General Dynamics Corp. ..... 3,972,000
180,000 Northrop Grumman Corp. ..... 9,666,000
115,000 United Technologies
Corp. .................... 10,520,200
--------------
24,158,200
--------------
APPAREL: MANUFACTURING -- 1.2%
233,000 Jones Apparel Group,
Inc. ..................... 9,198,840
150,000 Liz Claiborne, Inc.(a)...... 5,397,000
293,100 V. F. Corp. ................ 14,273,970
--------------
28,869,810
--------------
AUTOMOBILES/MOTOR VEHICLES -- 0.4%
175,000 Harley-Davidson, Inc.(a).... 10,839,500
--------------
AUTOMOTIVE EQUIPMENT -- 1.5%
104,000 BorgWarner, Inc. ........... 4,552,080
175,000 Johnson Controls, Inc. ..... 9,341,500
142,725 Lear Corp. ................. 8,419,348
153,900 Magna International, Inc. --
Class A................... 13,107,663
--------------
35,420,591
--------------
BANKS -- 10.4%
1,103,041 Bank of America Corp. ...... 93,339,329
875,000 Bank One Corp. ............. 44,625,000
126,000 Fifth Third Bancorp......... 6,776,280
574,840 J.P. Morgan Chase &
Company(a)................ 22,286,547
397,300 National City Corp. ........ 13,909,473
354,800 Regions Financial
Corp.(a).................. 12,967,940
220,000 SunTrust Banks, Inc. ....... 14,297,800
785,000 Wachovia Corp. ............. 34,932,500
132,800 Wells Fargo & Company....... 7,600,144
--------------
250,735,013
--------------
BROADCAST SERVICES/MEDIA -- 6.1%
586,700 Clear Channel
Communications, Inc. ..... 21,678,565
808,165 Comcast Corp. -- Class A*... 22,652,865
715,000 Comcast Corp. -- Special
Class A*.................. 19,741,150
1,969,900 Time Warner, Inc.*.......... 34,630,842
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
1,100,000 Viacom, Inc. -- Class B..... $ 39,292,000
400,000 Westwood One, Inc.*......... 9,520,000
--------------
147,515,422
--------------
BUSINESS SERVICES AND SUPPLIES -- 0.6%
400,000 Fiserv, Inc.*............... 15,556,000
--------------
CHEMICALS -- 0.5%
175,565 Air Products and Chemicals,
Inc. ..................... 9,208,384
3,500 Cabot Corp. ................ 142,450
82,500 Lubrizol Corp. ............. 3,021,150
--------------
12,371,984
--------------
COMPUTER SOFTWARE AND SERVICES -- 2.1%
1,805,000 Microsoft Corp.............. 51,550,800
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.3%
717,500 EMC Corp.*.................. 8,179,500
2,232,400 Hewlett-Packard Company..... 47,103,640
12,460 International Business
Machines Corp. ........... 1,098,349
--------------
56,381,489
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.4%
250,100 American Standard Companies,
Inc.*..................... 10,081,531
--------------
CONSUMER GOODS AND SERVICES -- 8.4%
1,219,900 Altria Group, Inc. ......... 61,055,995
400,000 Avon Products, Inc. ........ 18,456,000
1,842,800 General Electric Company.... 59,706,720
364,800 Loews Corp.-Carolina
Group..................... 8,955,840
578,000 Procter & Gamble Company.... 31,466,320
172,000 Unilever NV................. 11,783,720
166,100 Whirlpool Corp.(a).......... 11,394,460
--------------
202,819,055
--------------
DISTRIBUTION -- 0.4%
624,105 Ingram Micro, Inc. -- Class
A*........................ 9,030,799
--------------
ELECTRONICS -- 1.6%
272,200 Avnet, Inc.*................ 6,178,940
641,400 Flextronics International,
Ltd.*..................... 10,230,330
1,200,000 Sanmina-SCI Corp.*.......... 10,920,000
1,638,375 Solectron Corp.*............ 10,600,286
--------------
37,929,556
--------------
</Table>
See notes to financial statements.
90
VALUE AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES -- 9.1%
2,060,500 Citigroup, Inc. ............ $ 95,813,250
419,800 Fannie Mae.................. 29,956,928
192,900 Freddie Mac................. 12,210,570
58,000 Goldman Sachs Group,
Inc. ..................... 5,461,280
344,800 Lehman Brothers Holdings,
Inc. ..................... 25,946,200
750,000 MBNA Corp. ................. 19,342,500
200,000 Merrill Lynch & Company,
Inc. ..................... 10,796,000
361,400 Morgan Stanley.............. 19,071,078
--------------
218,597,806
--------------
FOOD AND BEVERAGE -- 1.2%
215,000 Coca-Cola Company........... 10,853,200
115,000 Dean Foods Company*......... 4,290,650
255,000 PepsiCo, Inc. .............. 13,739,400
--------------
28,883,250
--------------
INSURANCE -- 9.9%
500,000 Ace, Ltd. .................. 21,140,000
601,300 Allstate Corp. ............. 27,990,515
707,700 American International
Group, Inc. .............. 50,444,855
343,600 Axis Capital Holdings,
Ltd. ..................... 9,620,800
198,700 Chubb Corp. ................ 13,547,366
240,000 Hartford Financial Services
Group, Inc. .............. 16,497,600
178,400 Jefferson-Pilot Corp.(a).... 9,062,720
185,000 Manulife Financial
Corp.(a).................. 7,492,500
692,900 MetLife, Inc. .............. 24,840,465
61,566 PartnerRE, Ltd. ............ 3,492,639
130,510 RenaissanceRe Holdings,
Ltd. ..................... 7,041,015
268,438 The St. Paul Travelers
Companies, Inc. .......... 10,882,477
270,300 Torchmark Corp. ............ 14,542,140
288,000 XL Capital, Ltd. -- Class
A......................... 21,732,480
--------------
238,327,572
--------------
LEISURE AND RECREATION -- 0.4%
140,000 Carnival Corp. ............. 6,580,000
52,200 Royal Caribbean Cruises,
Ltd.(a)................... 2,266,002
--------------
8,846,002
--------------
MACHINERY -- 0.5%
165,000 Ingersoll-Rand Company,
Ltd. -- Class A........... 11,271,150
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MANUFACTURING -- 2.3%
60,000 3M Company.................. $ 5,400,600
229,000 Cooper Industries, Ltd. --
Class A................... 13,604,890
182,100 Parker-Hannifin Corp. ...... 10,827,666
592,950 Smurfit-Stone Container
Corp.*.................... 11,829,353
240,000 Textron, Inc. .............. 14,244,000
--------------
55,906,509
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.2%
200,000 Anthem, Inc.*(a)............ 17,912,000
250,000 HCA, Inc. .................. 10,397,500
252,100 Health Management
Associates, Inc. -- Class
A(a)...................... 5,652,082
175,000 WellPoint Health Networks,
Inc.*..................... 19,601,750
--------------
53,563,332
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 0.4%
250,000 Boston Scientific Corp.*.... 10,700,000
--------------
METALS AND MINING -- 0.4%
285,000 Alcoa, Inc. ................ 9,413,550
--------------
OIL, COAL AND GAS -- 11.2%
206,500 Baker Hughes, Inc. ......... 7,774,725
615,100 BP PLC (ADR)................ 32,950,907
319,000 ChevronTexaco Corp. ........ 30,021,090
774,400 ConocoPhillips.............. 59,078,976
155,100 EnCana Corp. ............... 6,694,116
1,384,800 Exxon Mobil Corp. .......... 61,498,968
185,000 Kerr-McGee Corp. ........... 9,947,450
260,000 Nabors Industries, Ltd.*.... 11,757,200
125,000 Noble Energy, Inc. ......... 6,375,000
624,000 Occidental Petroleum
Corp. .................... 30,207,840
220,000 Valero Energy Corp.(a)...... 16,227,200
--------------
272,533,472
--------------
PAPER AND FOREST PRODUCTS -- 1.0%
146,800 International Paper
Company................... 6,561,960
319,702 MeadWestvaco Corp. ......... 9,396,041
119,350 Temple-Inland, Inc. ........ 8,264,988
--------------
24,222,989
--------------
</Table>
See notes to financial statements.
91
VALUE AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS -- 4.2%
191,900 Caremark Rx, Inc.*.......... $ 6,321,186
175,000 Forest Laboratories,
Inc.*..................... 9,910,250
265,400 GlaxoSmithKline PLC (ADR)... 11,003,484
255,000 Merck & Company, Inc. ...... 12,112,500
1,305,400 Pfizer, Inc. ............... 44,749,112
471,400 Wyeth....................... 17,045,824
--------------
101,142,356
--------------
RETAIL -- 2.6%
150,000 Bed Bath & Beyond, Inc.*.... 5,767,500
215,700 Federated Department Stores,
Inc. ..................... 10,590,870
625,000 Home Depot, Inc. ........... 22,000,000
200,000 Lowe's Companies, Inc. ..... 10,510,000
755,000 Office Depot, Inc.*(a)...... 13,522,050
--------------
62,390,420
--------------
RETAIL: SUPERMARKETS -- 1.7%
779,350 Kroger Company*............. 14,184,170
619,925 Safeway, Inc.*(a)........... 15,708,900
355,700 SUPERVALU, Inc. ............ 10,887,977
--------------
40,781,047
--------------
RUBBER PRODUCTS -- 0.2%
193,100 Cooper Tire & Rubber
Company................... 4,441,300
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.4%
425,000 Applera Corp. -- Applied
Biosystems Group.......... 9,243,750
--------------
SEMICONDUCTORS -- 0.3%
350,000 Applied Materials, Inc.*.... 6,867,000
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.6%
300,000 BellSouth Corp. ............ 7,866,000
740,300 Corning, Inc.*.............. 9,668,318
1,707,566 Nortel Networks Corp.*...... 8,520,754
1,132,200 Qwest Communications
International, Inc.*(a)... 4,064,598
237,800 SBC Communications, Inc. ... 5,766,650
805,700 Sprint Corp. (FON Group).... 14,180,320
964,950 Tellabs, Inc.*(a)........... 8,433,663
800,652 Verizon Communications,
Inc. ..................... 28,975,596
--------------
87,475,899
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
TRANSPORTATION -- 4.0%
1,039,400 Burlington Northern Santa Fe
Corp. .................... $ 36,451,758
398,100 CSX Corp. .................. 13,045,737
525,300 Norfolk Southern Corp. ..... 13,930,956
546,800 Union Pacific Corp. ........ 32,507,260
--------------
95,935,711
--------------
UTILITIES: ELECTRIC -- 4.2%
430,780 American Electric Power
Company, Inc.(a).......... 13,784,960
374,800 Constellation Energy Group,
Inc. ..................... 14,204,920
50,000 Dominion Resources, Inc. ... 3,154,000
390,000 Entergy Corp. .............. 21,843,900
300,000 Exelon Corp. ............... 9,987,000
249,450 Northeast Utilities......... 4,856,792
497,500 PPL Corp. .................. 22,835,250
305,800 Wisconsin Energy Corp. ..... 9,972,138
--------------
100,638,960
--------------
UTILITIES: GAS -- 0.3%
182,425 Sempra Energy............... 6,280,893
--------------
TOTAL COMMON STOCKS
(Cost $2,051,791,846)..... 2,350,608,318
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 4.4%
$105,534,586 Securities Lending
Collateral Investment
(Note 4) (Cost
$105,534,586)............. 105,534,586
--------------
TOTAL SECURITIES
(Cost $2,157,326,432)..... 2,456,142,904
--------------
</Table>
See notes to financial statements.
92
VALUE AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 3.2%
$ 70,795,241 With Investors Bank & Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase
proceeds at maturity
$70,796,185
(Collateralized by
Structured Asset
Securities Corp., Series
2003-35, Class 3A1, 1.80%,
due 12/25/33, with a value
of $45,496,078, Fannie Mae
Adjustable Rate Mortgage,
5.32%, due 01/01/32, with
a value of $7,003,922,
Fannie Mae Adjustable Rate
Mortgage, 4.12%, due
02/01/33, with a value of
$12,617,508, and
Structured Asset Mortgage
Investments, Inc., Series
2002-AR3, Class A2, 1.78%,
due 09/19/32, with a value
of $9,217,495)............ $ 70,795,241
5,783,520 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase
proceeds at maturity
$5,783,774 (Collateralized
by various AIG SunAmerica
Global Finance, 5.85% --
7.60%, due 06/15/05 to
03/15/32, with a total
value of $831,480,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$57,924, American General
Corp., 7.50%, due
07/15/25, with a value of
$3,330,
various ASIF Global
Finance XIX-XXIII,
1.44% -- 4.90%, due
05/30/06 to 01/17/13, with
a total value of
$2,501,362, Berkshire
Hathaway, Inc., 4.625%,
due 10/15/13, with a value
of $274,743, Citigroup,
Inc., 6.875%, due
02/15/98, with a value of
$11,768, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$245,307, Citizens
Property Insurance, 6.70%,
due 08/25/04, with a value
of $60,317, Eli Lilly &
Company, 7.125%, due
06/01/25, with a value of
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
$142,224, General Electric
Capital Corp., 6.75%, due
03/15/32, with a value of
$86,050, GlaxoSmithKline
Capital, Inc., 5.375%, due
04/15/34, with a value of
$65,219, John Hancock
Global Funding II, 1.66%,
due 09/06/05, with a value
of $113,109, Johnson &
Johnson, 6.95%, due
09/01/29, with a value of
$205,571, Morgan Stanley
Capital I, 0.55%, due
12/15/31, with a value of
$50,387, Saturns-AIG,
1.539%, due 12/01/45, with
a value of $867,528,
various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$358,720, Wal-Mart Stores,
7.55%, due 02/15/30, with
a value of $758, and
Wal-Mart Canada, 5.58%,
due 05/01/06, with a value
of $30,213)(b)............ $ 5,783,520
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $76,578,761)........ 76,578,761
--------------
Total Investments -- 105.0%
(Cost $2,233,905,193)..... 2,532,721,665
Liabilities less other
assets -- (5.0)%.......... (120,555,572)
--------------
NET ASSETS -- 100.0%........ $2,412,166,093
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $2,233,905,193.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $355,109,660
Gross unrealized depreciation.......... (56,293,188)
------------
Net unrealized appreciation............ $298,816,472
============
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
See notes to financial statements.
93
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 98.9%
AEROSPACE AND DEFENSE -- 1.4%
100,900 Boeing Company............... $ 5,154,981
139,000 Northrop Grumman Corp. ...... 7,464,300
75,700 Raytheon Company............. 2,707,789
--------------
15,327,070
--------------
AGRICULTURE -- 0.5%
136,000 Monsanto Company............. 5,236,000
--------------
AIRLINES -- 0.6%
407,000 Southwest Airlines Company... 6,825,390
--------------
APPAREL: MANUFACTURING -- 0.6%
86,800 Jones Apparel Group, Inc. ... 3,426,864
33,400 Nike, Inc. -- Class B........ 2,530,050
--------------
5,956,914
--------------
APPAREL: RETAIL -- 0.8%
93,100 Abercrombie & Fitch
Company -- Class A......... 3,607,625
21,300 Coach, Inc.*................. 962,547
45,100 Payless ShoeSource, Inc.*.... 672,441
45,200 The Timberland Company --
Class A*................... 2,919,468
--------------
8,162,081
--------------
ASSET MANAGEMENT -- 0.2%
86,100 Brascan Corp. -- Class
A(a)....................... 2,431,464
--------------
AUTOMOBILE: RETAIL -- 0.2%
49,700 AutoNation, Inc.*(a)......... 849,870
59,000 Copart, Inc.*................ 1,575,300
--------------
2,425,170
--------------
AUTOMOBILES/MOTOR VEHICLES -- 1.2%
545,100 Ford Motor Company(a)........ 8,530,815
56,100 General Motors Corp. ........ 2,613,699
44,500 Polaris Industries, Inc. .... 2,136,000
--------------
13,280,514
--------------
AUTOMOTIVE EQUIPMENT -- 0.6%
93,800 Advance Auto Parts, Inc.*.... 4,144,084
4,600 AutoZone, Inc.*(a)........... 368,460
59,100 Delphi Corp. ................ 631,188
20,400 Magna International, Inc. --
Class A.................... 1,737,468
--------------
6,881,200
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BANKS -- 6.9%
105,150 Associated Banc-Corp. ....... $ 3,115,595
76,100 Bank of America Corp. ....... 6,439,582
27,200 Bank of Hawaii Corp. ........ 1,229,984
123,800 Fremont General Corp. ....... 2,185,070
13,400 Golden West Financial
Corp. ..................... 1,425,090
155,400 Huntington Bancshares,
Inc. ...................... 3,558,660
46,900 IndyMac Bancorp, Inc. ....... 1,482,040
125,800 J.P. Morgan Chase & Company.. 4,877,266
136,300 KeyCorp...................... 4,074,007
95,900 Marshall & Ilsley Corp. ..... 3,748,731
176,400 National City Corp. ......... 6,175,764
9,500 North Fork Bancorp., Inc. ... 361,475
80,800 PNC Financial Services
Group...................... 4,288,864
269,600 U.S. Bancorp................. 7,430,176
85,500 UnionBanCal Corp.(a)......... 4,822,200
254,700 Wachovia Corp. .............. 11,334,150
47,900 Washington Mutual, Inc. ..... 1,850,856
70,700 Wells Fargo & Company........ 4,046,161
41,400 Zions Bancorp................ 2,544,030
--------------
74,989,701
--------------
BROADCAST SERVICES/MEDIA -- 2.9%
75,600 Comcast Corp. -- Class A*.... 2,119,068
17,000 Cox Radio, Inc. -- Class
A*......................... 295,460
26,300 Fox Entertainment Group,
Inc. -- Class A*........... 702,210
18,100 Hearst-Argyle Television,
Inc. -- Class A............ 466,618
77,300 McGraw-Hill Companies,
Inc. ...................... 5,918,861
215,500 The DIRECTV Group, Inc.*..... 3,685,050
357,400 Time Warner, Inc.*........... 6,283,092
81,900 Viacom, Inc. -- Class B...... 2,925,468
269,300 Walt Disney Company.......... 6,864,457
81,300 XM Satellite Radio Holdings,
Inc. -- Class A*........... 2,218,677
--------------
31,478,961
--------------
BUSINESS SERVICES AND SUPPLIES -- 1.1%
59,100 Accenture, Ltd. -- Class
A*......................... 1,624,068
24,200 Convergys Corp.*............. 372,680
37,400 Dun & Bradstreet Corp.*...... 2,016,234
77,500 First Data Corp. ............ 3,450,300
</Table>
See notes to financial statements.
94
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES AND SUPPLIES (CONTINUED)
28,500 GTECH Holdings Corp. ........ $ 1,319,835
23,900 Hewitt Associates, Inc. --
Class A*................... 657,250
37,500 Moody's Corp. ............... 2,424,750
--------------
11,865,117
--------------
CHEMICALS -- 0.5%
13,200 Dow Chemical Company......... 537,240
109,200 Engelhard Corp. ............. 3,528,252
9,700 PPG Industries, Inc. ........ 606,153
30,000 Rohm and Haas Company........ 1,247,400
--------------
5,919,045
--------------
COMMERCIAL SERVICES -- 0.6%
275,500 Cendant Corp. ............... 6,744,240
--------------
COMPUTER SOFTWARE AND SERVICES -- 4.8%
93,500 Activision, Inc.*............ 1,486,650
25,300 Adobe Systems, Inc. ......... 1,176,450
174,900 Autodesk, Inc. .............. 7,487,469
213,800 BEA Systems, Inc.*........... 1,757,436
122,800 BMC Software, Inc.*.......... 2,271,800
7,900 Computer Sciences Corp.*..... 366,797
1,057,600 Microsoft Corp. ............. 30,205,056
7,900 NCR Corp.*................... 391,761
566,000 Oracle Corp.*................ 6,752,380
13,400 Storage Technology Corp.*.... 388,600
--------------
52,284,399
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.6%
338,500 Dell, Inc.*.................. 12,125,070
46,600 EMC Corp.*................... 531,240
316,700 Hewlett-Packard Company...... 6,682,370
55,600 HNI Corp. ................... 2,353,548
60,200 International Business
Machines Corp. ............ 5,306,630
10,100 Lexmark International Group,
Inc.*...................... 974,953
--------------
27,973,811
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.5%
39,400 Centex Corp. ................ 1,802,550
49,200 D.R. Horton, Inc. ........... 1,397,280
44,500 KB Home...................... 3,054,035
39,200 M.D.C. Holdings, Inc. ....... 2,493,512
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES
(CONTINUED)
46,000 Masco Corp. ................. $ 1,434,280
7,200 NVR, Inc.*(a)................ 3,486,240
37,200 The Ryland Group, Inc. ...... 2,909,040
--------------
16,576,937
--------------
CONSUMER GOODS AND SERVICES -- 6.0%
108,500 Altria Group, Inc. .......... 5,430,425
48,200 Avon Products, Inc.(a)....... 2,223,948
39,200 Clorox Company............... 2,108,176
30,900 Energizer Holdings, Inc.*.... 1,390,500
94,600 Estee Lauder Companies,
Inc. -- Class A............ 4,614,588
36,500 FedEx Corp. ................. 2,981,685
710,000 General Electric Company..... 23,004,000
84,400 Gillette Company............. 3,578,560
72,800 Kimberly-Clark Corp. ........ 4,796,064
234,400 Procter & Gamble Company..... 12,760,736
34,600 R.J. Reynolds Tobacco
Holdings, Inc.(a).......... 2,338,614
--------------
65,227,296
--------------
CONTAINERS AND PACKAGING -- 0.2%
101,000 Owens-Illinois, Inc.*........ 1,692,760
--------------
DISTRIBUTION -- 0.4%
16,100 Tech Data Corp.*............. 629,993
61,400 W.W. Grainger, Inc. ......... 3,530,500
--------------
4,160,493
--------------
ELECTRONICS -- 0.9%
105,900 Arrow Electronics, Inc.*..... 2,840,238
47,400 Avnet, Inc.*................. 1,075,980
114,100 Celestica, Inc.*............. 2,276,295
7,200 Harman International
Industries, Inc. .......... 655,200
91,600 Sanmina-SCI Corp.*........... 833,560
128,700 Vishay Intertechnology,
Inc.*(a)................... 2,391,246
--------------
10,072,519
--------------
ENGINEERING -- 0.2%
39,900 Harsco Corp. ................ 1,875,300
--------------
ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING
SERVICES -- 0.1%
17,900 Waste Management, Inc. ...... 548,635
--------------
</Table>
See notes to financial statements.
95
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES -- 8.6%
117,800 American Express Company..... $ 6,052,564
153,800 Ameritrade Holding Corp.*.... 1,745,630
120,900 Capital One Financial
Corp. ..................... 8,267,142
56,200 CIT Group, Inc. ............. 2,151,898
564,400 Citigroup, Inc. ............. 26,244,599
77,100 Countrywide Financial
Corp. ..................... 5,416,275
89,100 Doral Financial Corp. ....... 3,073,950
114,600 Fannie Mae................... 8,177,856
34,200 Federated Investors, Inc. --
Class B.................... 1,037,628
56,800 Franklin Resources, Inc. .... 2,844,544
45,800 Freddie Mac.................. 2,899,140
23,900 Goldman Sachs Group, Inc. ... 2,250,424
205,900 MBNA Corp. .................. 5,310,161
136,300 Merrill Lynch & Company,
Inc. ...................... 7,357,474
20,600 Morgan Stanley............... 1,087,062
116,600 Providian Financial
Corp.*(a).................. 1,710,522
63,100 Prudential Financial,
Inc. ...................... 2,932,257
112,900 Raymond James Financial,
Inc. ...................... 2,986,205
41,600 Westcorp..................... 1,890,720
--------------
93,436,051
--------------
FOOD AND BEVERAGE -- 3.4%
57,400 Adolph Coors Company -- Class
B(a)....................... 4,152,316
67,500 Anheuser-Busch Companies,
Inc. ...................... 3,645,000
92,600 Archer-Daniels-Midland
Company.................... 1,553,828
111,300 Coca-Cola Company............ 5,618,424
17,100 Dean Foods Company*.......... 638,001
68,500 Kraft Foods, Inc. -- Class
A(a)....................... 2,170,080
186,200 PepsiCo, Inc. ............... 10,032,456
137,600 Sara Lee Corp. .............. 3,163,424
27,600 Sysco Corp. ................. 990,012
204,100 Tyson Foods, Inc. -- Class
A.......................... 4,275,895
--------------
36,239,436
--------------
INSURANCE -- 4.9%
9,700 Ace, Ltd. ................... 410,116
43,700 Aetna, Inc. ................. 3,714,500
122,500 Allstate Corp. .............. 5,702,375
207,000 American International Group,
Inc. ...................... 14,754,960
9,100 AmerUs Group Company......... 376,740
8,600 Cincinnati Financial
Corp. ..................... 374,272
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
48,500 Humana, Inc.*................ $ 819,650
73,000 IPC Holdings, Ltd. .......... 2,695,890
125,400 Lincoln National Corp. ...... 5,925,150
41,900 Loews Corp. ................. 2,512,324
40,700 MBIA, Inc. .................. 2,324,784
10,200 MetLife, Inc. ............... 365,670
11,900 Nationwide Financial
Services, Inc. -- Class
A.......................... 447,559
70,300 Principal Financial Group,
Inc.(a).................... 2,445,034
21,400 Progressive Corp. ........... 1,825,420
34,200 Radian Group, Inc. .......... 1,638,180
55,700 RenaissanceRe Holdings,
Ltd. ...................... 3,005,015
77,300 SAFECO Corp. ................ 3,401,200
--------------
52,738,839
--------------
INTERNET SERVICES -- 4.3%
835,600 Cisco Systems, Inc.*......... 19,803,720
88,500 eBay, Inc.*.................. 8,137,575
185,500 Juniper Networks, Inc.*...... 4,557,735
59,500 Symantec Corp.*.............. 2,604,910
196,700 VeriSign, Inc.*.............. 3,914,330
202,600 YAHOO!, Inc.*................ 7,360,458
--------------
46,378,728
--------------
LEISURE AND RECREATION -- 1.8%
30,800 Brunswick Corp. ............. 1,256,640
26,500 Caesars Entertainment,
Inc.*...................... 397,500
101,700 Marriott International,
Inc. -- Class A(a)......... 5,072,796
71,200 MGM MIRAGE*.................. 3,342,128
23,600 Royal Caribbean Cruises,
Ltd.(a).................... 1,024,476
139,600 Starwood Hotels & Resorts
Worldwide, Inc. ........... 6,261,060
50,700 Wynn Resorts, Ltd.*(a)....... 1,958,541
--------------
19,313,141
--------------
MACHINERY -- 0.3%
34,600 Caterpillar, Inc. ........... 2,748,624
18,100 Graco, Inc. ................. 562,005
--------------
3,310,629
--------------
MANUFACTURING -- 1.8%
91,900 3M Company................... 8,271,919
32,000 Briggs & Stratton Corp. ..... 2,827,200
</Table>
See notes to financial statements.
96
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MANUFACTURING (CONTINUED)
106,300 Honeywell International,
Inc. ...................... $ 3,893,769
124,900 Tyco International,
Ltd.(a).................... 4,139,186
--------------
19,132,074
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.7%
10,350 DaVita, Inc.*................ 319,091
95,700 IMS Health, Inc. ............ 2,243,208
31,200 Manor Care, Inc. ............ 1,019,616
52,900 McKesson Corp. .............. 1,816,057
36,900 Medco Health Solutions,
Inc.*...................... 1,383,750
14,700 UnitedHealth Group, Inc...... 915,075
--------------
7,696,797
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 3.9%
28,100 Allergan, Inc. .............. 2,515,512
49,200 Bausch & Lomb, Inc. ......... 3,201,444
28,200 Boston Scientific Corp.*..... 1,206,960
36,300 Gen-Probe, Inc.*............. 1,717,716
57,600 Guidant Corp. ............... 3,218,688
286,900 Johnson & Johnson............ 15,980,330
48,800 Kinetic Concepts, Inc.*...... 2,435,120
6,700 Medtronic, Inc. ............. 326,424
6,400 Respironics, Inc.*(a)........ 376,000
62,800 St. Jude Medical, Inc.*...... 4,750,820
71,800 Zimmer Holdings, Inc.*....... 6,332,760
--------------
42,061,774
--------------
METALS AND MINING -- 0.9%
9,100 Newmont Mining Corp. ........ 352,716
60,400 Nucor Corp.(a)............... 4,636,304
36,300 Phelps Dodge Corp.*.......... 2,813,613
35,100 Southern Peru Copper
Corp. ..................... 1,450,683
--------------
9,253,316
--------------
OIL, COAL AND GAS -- 6.8%
48,800 Amerada Hess Corp. .......... 3,864,472
11,500 Apache Corp. ................ 500,825
143,700 Burlington Resources,
Inc. ...................... 5,199,066
145,200 ChevronTexaco Corp. ......... 13,664,772
101,000 ConocoPhillips............... 7,705,290
5,700 Devon Energy Corp. .......... 376,200
33,400 ENSCO International, Inc. ... 971,940
83,800 EOG Resources, Inc. ......... 5,003,698
344,000 Exxon Mobil Corp. ........... 15,277,040
155,600 Marathon Oil Corp. .......... 5,887,904
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
54,500 Occidental Petroleum
Corp. ..................... $ 2,638,345
52,200 Praxair, Inc. ............... 2,083,302
53,900 Schlumberger, Ltd. .......... 3,423,189
64,400 Sunoco, Inc.(a).............. 4,097,128
31,700 Valero Energy Corp. ......... 2,338,192
--------------
73,031,363
--------------
PAPER AND FOREST PRODUCTS -- 0.4%
39,600 Georgia-Pacific Corp. ....... 1,464,408
137,700 Louisiana-Pacific Corp. ..... 3,256,605
--------------
4,721,013
--------------
PHARMACEUTICALS -- 5.4%
8,000 Abbott Laboratories.......... 326,080
39,000 AmerisourceBergen Corp. ..... 2,331,420
80,700 Cardinal Health, Inc.(a)..... 5,653,035
150,000 Caremark Rx, Inc.*(a)........ 4,941,000
94,900 Eli Lilly and Company........ 6,634,459
57,200 Forest Laboratories, Inc.*... 3,239,236
129,300 King Pharmaceuticals,
Inc.*...................... 1,480,485
35,900 Merck & Company, Inc. ....... 1,705,250
869,300 Pfizer, Inc. ................ 29,799,604
27,600 Teva Pharmaceutical
Industries, Ltd. (ADR)..... 1,857,204
--------------
57,967,773
--------------
REAL ESTATE DEVELOPMENT AND SERVICES -- 0.0%
9,500 LNR Property Corp.(a)........ 515,375
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
35,700 Equity Office Properties
Trust...................... 971,040
8,400 Public Storage, Inc. ........ 386,484
--------------
1,357,524
--------------
RESEARCH AND DEVELOPMENT -- 1.8%
85,800 Amgen, Inc.*................. 4,682,106
26,400 Biogen Idec, Inc.*........... 1,669,800
145,700 Genentech, Inc.*............. 8,188,340
13,100 Gilead Sciences, Inc.*....... 877,700
7,700 ImClone Systems, Inc.*....... 660,583
151,700 IVAX Corp.*.................. 3,639,283
--------------
19,717,812
--------------
RETAIL -- 5.2%
31,500 Barnes & Noble, Inc.*........ 1,070,370
81,900 Dillard's, Inc. -- Class A... 1,826,370
</Table>
See notes to financial statements.
97
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
125,300 Federated Department Stores,
Inc.(a).................... $ 6,152,230
487,200 Home Depot, Inc. ............ 17,149,440
130,500 J. C. Penney Company, Inc.
(Holding Company)(a)....... 4,927,680
11,200 Kmart Holding Corp.*(a)...... 804,160
17,900 Longs Drug Stores Corp. ..... 427,273
12,600 May Department Stores
Company.................... 346,374
34,500 Nordstrom, Inc. ............. 1,470,045
11,400 PETsMART, Inc.(a)............ 369,930
62,000 RadioShack Corp. ............ 1,775,060
87,300 Saks, Inc.*.................. 1,309,500
165,900 Staples, Inc. ............... 4,862,529
44,000 Target Corp. ................ 1,868,680
219,000 Wal-Mart Stores, Inc. ....... 11,554,440
--------------
55,914,081
--------------
RETAIL: RESTAURANTS -- 0.8%
231,000 McDonald's Corp. ............ 6,006,000
18,700 Starbucks Corp.*............. 813,076
37,000 YUM! Brands, Inc.*........... 1,377,140
--------------
8,196,216
--------------
RETAIL: SUPERMARKETS -- 0.8%
76,900 Albertson's, Inc.(a)......... 2,040,926
122,900 Kroger Company*.............. 2,236,780
154,100 SUPERVALU, Inc. ............. 4,717,001
--------------
8,994,707
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.3%
40,400 Agilent Technologies,
Inc.*...................... 1,182,912
32,500 Fisher Scientific
International, Inc.*(a).... 1,876,875
--------------
3,059,787
--------------
SEMICONDUCTORS -- 3.4%
985,000 Intel Corp. ................. 27,186,000
64,500 Micron Technology, Inc.*..... 987,495
34,600 National Semiconductor
Corp.*(a).................. 760,854
252,200 PMC-Sierra, Inc.*............ 3,619,070
161,600 Texas Instruments, Inc. ..... 3,907,488
--------------
36,460,907
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 4.7%
74,200 AT&T Corp.(a)................ $ 1,085,546
90,400 AT&T Wireless Services,
Inc.*...................... 1,294,528
202,100 Avaya, Inc.*................. 3,191,159
106,300 BellSouth Corp. ............. 2,787,186
47,000 CenturyTel, Inc. ............ 1,411,880
100,900 Comverse Technology, Inc.*... 2,011,946
197,100 Motorola, Inc. .............. 3,597,075
112,100 Nextel Communications,
Inc. -- Class A*........... 2,988,586
9,300 Plantronics, Inc.*........... 391,530
47,300 QUALCOMM, Inc. .............. 3,451,954
96,500 SBC Communications, Inc. .... 2,340,125
170,000 Sprint Corp. (FON
Group)(a).................. 2,992,000
60,200 Telephone and Data Systems,
Inc. ...................... 4,286,240
351,400 Tellabs, Inc.*(a)............ 3,071,236
426,400 Verizon Communications,
Inc. ...................... 15,431,416
--------------
50,332,407
--------------
TOOLS -- 0.1%
16,800 Stanley Works................ 765,744
--------------
TRANSPORTATION -- 1.3%
39,900 Burlington Northern Santa Fe
Corp. ..................... 1,399,293
39,800 CNF, Inc. ................... 1,654,088
44,600 J.B. Hunt Transport Services,
Inc.(a).................... 1,720,668
56,500 Norfolk Southern Corp. ...... 1,498,380
9,200 Ryder System, Inc.(a)........ 368,644
96,000 Teekay Shipping Corp.(a)..... 3,588,480
55,900 United Parcel Service,
Inc. -- Class B............ 4,202,003
--------------
14,431,556
--------------
UTILITIES: ELECTRIC -- 2.4%
26,500 Alliant Energy Corp. ........ 691,120
60,700 American Electric Power
Company, Inc. ............. 1,942,400
172,400 CenterPoint Energy,
Inc.(a).................... 1,982,600
75,300 Constellation Energy Group,
Inc. ...................... 2,853,870
244,500 Edison International......... 6,251,865
46,100 Entergy Corp. ............... 2,582,061
42,300 Exelon Corp. ................ 1,408,167
93,300 SCANA Corp. ................. 3,393,321
</Table>
See notes to financial statements.
98
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
17,300 Southern Company(a).......... $ 504,295
27,600 TECO Energy, Inc. ........... 330,924
105,800 TXU Corp. ................... 4,285,958
--------------
26,226,581
--------------
TOTAL COMMON STOCKS (Cost
$1,039,052,963)............ 1,069,188,648
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 6.0%
$65,130,872 Securities Lending Collateral
Investment (Note 4) (Cost
$65,130,872)............... 65,130,872
--------------
TOTAL SECURITIES (Cost
$1,104,183,835)............ 1,134,319,520
--------------
REPURCHASE AGREEMENTS -- 1.9%
16,483,519 With Investors Bank and
Trust, dated 06/30/04,
0.48%, due 07/01/04,
repurchase proceeds at
maturity $16,483,739
(Collateralized by various
Fannie Mae Adjustable Rate
Mortgages, 4.14% -- 4.546%,
due 02/01/33, with a total
value of $17,307,695)...... 16,483,519
3,569,310 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase
proceeds at maturity
$3,569,467 (Collateralized
by various AIG SunAmerica
Global Finance,
5.85% -- 7.60%, due
06/15/05 to 03/15/32, with
a total value of $513,149,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$35,748, American General
Corp., 7.50%, due 07/15/25,
with a value of $2,055,
various ASIF Global Finance
XIX-XXIII, 1.44% -- 4.90%,
due 05/30/06 to 01/17/13,
with a total value of
$1,543,720, Berkshire
Hathaway, Inc., 4.625%, due
10/15/13, with a value of
$169,558, Citigroup, Inc.,
6.875%, due 02/15/98, with
a value of $7,262, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$151,392, Citizens Property
Insurance, 6.70%, due
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
08/25/04, with a value of
$37,225, Eli Lilly &
Company, 7.125%, due
06/01/25, with a value of
$87,774, General Electric
Capital Corp., 6.75%, due
03/15/32, with a value of
$53,106, GlaxoSmithKline
Capital, Inc., 5.375%, due
04/15/34, with a value of
$40,250, John Hancock
Global Funding II, 1.66%,
due 09/06/05, with a value
of $69,805, Johnson &
Johnson, 6.95%, due
09/01/29, with a value of
$126,869, Morgan Stanley
Capital I, 0.55%, due
12/15/31, with a value of
$31,097, Saturns-AIG,
1.539%, due 12/01/45, with
a value of $535,397,
various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$221,385, Wal-Mart Stores,
Inc., 7.55%, due 02/15/30,
with a value of $468, and
Wal-Mart Canada, 5.58%, due
05/01/06, with a value of
$18,646)(b)................ $ 3,569,310
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $20,052,829)......... 20,052,829
--------------
Total Investments -- 106.8%
(Cost $1,124,236,664)...... 1,154,372,349
Liabilities less other
assets -- (6.8)%........... (73,236,814)
--------------
NET ASSETS -- 100.0%......... $1,081,135,535
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $1,124,236,664.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $ 45,838,309
Gross unrealized depreciation.......... (15,702,624)
------------
Net unrealized appreciation............ $ 30,135,685
============
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
See notes to financial statements.
99
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 96.5%
AEROSPACE AND DEFENSE -- 0.9%
137,200 Boeing Company............... $ 7,009,548
124,305 United Technologies Corp. ... 11,371,421
--------------
18,380,969
--------------
AGRICULTURE -- 0.5%
248,100 Monsanto Company............. 9,551,850
--------------
AIRLINES -- 0.6%
778,300 Southwest Airlines Company... 13,052,091
--------------
APPAREL: MANUFACTURING -- 1.1%
314,897 Nike, Inc. -- Class B........ 23,853,448
--------------
APPAREL: RETAIL -- 0.7%
190,100 Abercrombie & Fitch
Company -- Class A(a)...... 7,366,375
140,000 Coach, Inc.*................. 6,326,600
--------------
13,692,975
--------------
AUTOMOTIVE EQUIPMENT -- 0.4%
189,800 Advance Auto Parts, Inc.*.... 8,385,364
--------------
BANKS -- 0.4%
73,097 Fifth Third Bancorp(a)....... 3,931,157
84,281 Wachovia Corp. .............. 3,750,504
--------------
7,681,661
--------------
BROADCAST SERVICES/MEDIA -- 2.5%
691,986 News Corp., Ltd. ............ 6,094,686
215,000 News Corp., Ltd. (ADR)....... 7,069,200
436,229 The DIRECTV Group, Inc.*..... 7,459,516
387,300 Time Warner, Inc.*........... 6,808,734
160,174 Tribune Company.............. 7,294,324
392,245 Viacom, Inc. -- Class B...... 14,010,991
164,700 XM Satellite Radio Holdings,
Inc. -- Class A*........... 4,494,663
--------------
53,232,114
--------------
BUSINESS SERVICES AND SUPPLIES -- 1.0%
317,500 Accenture, Ltd. -- Class
A*......................... 8,724,900
156,900 First Data Corp. ............ 6,985,188
159,774 Paychex, Inc. ............... 5,413,143
--------------
21,123,231
--------------
COMPUTER SOFTWARE AND SERVICES -- 7.8%
158,500 Autodesk, Inc. .............. 6,785,385
432,800 BEA Systems, Inc.*........... 3,557,616
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
189,054 Electronic Arts, Inc.*....... $ 10,312,896
3,026,424 Microsoft Corp. ............. 86,434,669
2,686,200 Oracle Corp.*................ 32,046,366
107,688 Red Hat, Inc.*(a)............ 2,473,593
218,500 SAP AG (ADR)(a).............. 9,135,485
464,144 VERITAS Software Corp.*(a)... 12,856,789
--------------
163,602,799
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.7%
1,558,692 Dell, Inc.*.................. 55,832,347
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.4%
186,627 Lennar Corp. -- Class A(a)... 8,345,959
8,306 Lennar Corp. -- Class B...... 344,118
--------------
8,690,077
--------------
CONSUMER GOODS AND SERVICES -- 8.3%
189,000 Avon Products, Inc. ......... 8,720,460
197,000 Colgate-Palmolive Company.... 11,514,650
191,500 Estee Lauder Companies,
Inc. -- Class A............ 9,341,370
198,249 FedEx Corp. ................. 16,194,961
2,102,884 General Electric Company..... 68,133,443
84,400 Kimberly-Clark Corp. ........ 5,560,272
985,876 Procter & Gamble Company..... 53,671,089
--------------
173,136,245
--------------
EDUCATION -- 0.6%
81,485 Apollo Group, Inc. -- Class
A*......................... 7,194,311
124,000 Career Education Corp.*...... 5,649,440
--------------
12,843,751
--------------
FINANCIAL SERVICES -- 8.7%
224,400 American Express Company..... 11,529,672
311,300 Ameritrade Holding Corp.*.... 3,533,255
244,700 Capital One Financial
Corp. ..................... 16,732,586
628,977 Citigroup, Inc. ............. 29,247,432
359,233 Countrywide Financial
Corp. ..................... 25,236,118
389,463 Fannie Mae................... 27,792,080
86,278 Franklin Resources, Inc. .... 4,320,802
177,921 Goldman Sachs Group, Inc. ... 16,753,041
417,840 Merrill Lynch & Company,
Inc. ...................... 22,555,003
581,836 SLM Corp. ................... 23,535,266
--------------
181,235,255
--------------
</Table>
See notes to financial statements.
100
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE -- 3.4%
136,700 Anheuser-Busch Companies,
Inc. ...................... $ 7,381,800
140,900 Coca-Cola Company............ 7,112,632
843,374 PepsiCo, Inc. ............... 45,440,991
308,763 Sysco Corp. ................. 11,075,329
--------------
71,010,752
--------------
INSURANCE -- 1.8%
108,246 AFLAC, Inc. ................. 4,417,519
241,100 American International Group,
Inc. ...................... 17,185,608
134,210 SAFECO Corp. ................ 5,905,240
163,939 The St. Paul Travelers
Companies, Inc. ........... 6,646,087
111,203 Willis Group Holdings,
Ltd. ...................... 4,164,552
--------------
38,319,006
--------------
INTERNET SERVICES -- 7.7%
2,587,974 Cisco Systems, Inc.*......... 61,334,985
284,976 eBay, Inc.*.................. 26,203,543
570,185 Juniper Networks, Inc.*...... 14,009,445
414,614 Novell, Inc.*................ 3,478,611
183,740 Symantec Corp.*.............. 8,044,137
398,200 VeriSign, Inc.*.............. 7,924,180
1,072,540 YAHOO!, Inc.*(a)............. 38,965,378
--------------
159,960,279
--------------
LEISURE AND RECREATION -- 2.8%
142,558 Four Seasons Hotels,
Inc.(a).................... 8,583,417
291,000 International Game
Technology................. 11,232,600
147,311 Mandalay Resort Group........ 10,111,427
206,900 Marriott International,
Inc. -- Class A............ 10,320,172
282,700 Starwood Hotels & Resorts
Worldwide, Inc. ........... 12,679,095
138,424 Wynn Resorts, Ltd.*(a)....... 5,347,319
--------------
58,274,030
--------------
MACHINERY -- 1.4%
221,553 Caterpillar, Inc. ........... 17,600,170
173,500 Ingersoll-Rand Company,
Ltd. -- Class A............ 11,851,785
--------------
29,451,955
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MANUFACTURING -- 2.9%
400,400 3M Company................... $ 36,040,004
232,738 Danaher Corp. ............... 12,067,465
325,200 Honeywell International,
Inc. ...................... 11,912,076
--------------
60,019,545
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.5%
63,000 Anthem, Inc.*(a)............. 5,642,280
107,200 McKesson Corp. .............. 3,680,176
75,100 Medco Health Solutions,
Inc.*...................... 2,816,250
645,207 UnitedHealth Group, Inc. .... 40,164,136
--------------
52,302,842
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 6.3%
450,644 Boston Scientific Corp.*..... 19,287,563
103,800 Guidant Corp. ............... 5,800,344
420,631 Johnson & Johnson............ 23,429,147
98,700 Kinetic Concepts, Inc.*...... 4,925,130
599,566 Medtronic, Inc. ............. 29,210,855
309,900 St. Jude Medical, Inc.*...... 23,443,935
71,000 Stryker Corp. ............... 3,905,000
250,914 Zimmer Holdings, Inc.*....... 22,130,615
--------------
132,132,589
--------------
OIL AND GAS: EQUIPMENT -- 0.2%
83,500 Smith International,
Inc.*(a)................... 4,655,960
--------------
OIL, COAL AND GAS -- 1.7%
152,000 Baker Hughes, Inc.(a)........ 5,722,800
274,800 BJ Services Company*......... 12,596,832
68,100 ENSCO International, Inc. ... 1,981,710
169,600 EOG Resources, Inc. ......... 10,126,816
191,211 XTO Energy, Inc. ............ 5,696,176
--------------
36,124,334
--------------
PHARMACEUTICALS -- 8.0%
79,500 AmerisourceBergen Corp. ..... 4,752,510
67,500 Cardinal Health, Inc. ....... 4,728,375
203,300 Caremark Rx, Inc.*(a)........ 6,696,702
175,131 Eli Lilly and Company........ 12,243,408
116,900 Forest Laboratories, Inc.*... 6,620,047
142,500 Novartis AG (ADR)............ 6,341,250
2,776,190 Pfizer, Inc. ................ 95,167,794
22,951 Roche Holding AG (ADR)*...... 2,270,201
</Table>
See notes to financial statements.
101
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
254,000 Teva Pharmaceutical
Industries, Ltd.
(ADR)(a)................... $ 17,091,660
282,000 Wyeth........................ 10,197,120
--------------
166,109,067
--------------
RESEARCH AND DEVELOPMENT -- 5.1%
325,169 Amgen, Inc.*................. 17,744,472
140,000 Biogen Idec, Inc.*........... 8,855,000
1,026,650 Genentech, Inc.*............. 57,697,730
207,307 Gilead Sciences, Inc.*....... 13,889,569
307,100 IVAX Corp.*.................. 7,367,329
--------------
105,554,100
--------------
RETAIL -- 6.7%
92,600 Dollar General Corp. ........ 1,811,256
712,100 Home Depot, Inc. ............ 25,065,920
264,100 J. C. Penney Company, Inc.
(Holding Company)(a)....... 9,972,416
282,284 Lowe's Companies, Inc. ...... 14,834,024
335,800 Staples, Inc. ............... 9,842,298
88,900 Target Corp. ................ 3,775,583
405,204 Tiffany & Company............ 14,931,767
916,778 Wal-Mart Stores, Inc. ....... 48,369,207
270,700 Walgreen Company............. 9,802,047
10,890 Whole Foods Market, Inc. .... 1,039,451
--------------
139,443,969
--------------
RETAIL: RESTAURANTS -- 0.8%
363,100 McDonald's Corp. ............ 9,440,600
190,500 Starbucks Corp.*............. 8,282,940
--------------
17,723,540
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2%
65,800 Fisher Scientific
International, Inc.*(a).... 3,799,950
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS -- 4.6%
299,177 ASML Holding NV*(a).......... $ 5,118,918
2,430,870 Intel Corp. ................. 67,092,012
187,735 Maxim Integrated Products,
Inc. ...................... 9,841,069
510,500 PMC-Sierra, Inc.*............ 7,325,675
260,700 Texas Instruments, Inc. ..... 6,303,726
--------------
95,681,400
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.1%
409,200 Avaya, Inc.*................. 6,461,268
204,200 Comverse Technology, Inc.*... 4,071,748
473,000 Corning, Inc.*............... 6,177,380
777,384 Motorola, Inc. .............. 14,187,258
370,273 QUALCOMM, Inc. .............. 27,022,524
181,400 Verizon Communications,
Inc. ...................... 6,564,866
--------------
64,485,044
--------------
TRANSPORTATION -- 0.7%
200,350 United Parcel Service,
Inc. -- Class B............ 15,060,310
--------------
TOTAL COMMON STOCKS
(Cost $1,810,470,063)...... 2,014,402,849
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 3.5%
$73,737,041 Securities Lending Collateral
Investment (Note 4) (Cost
$73,737,041)............... 73,737,041
--------------
TOTAL SECURITIES
(Cost $1,884,207,104)...... 2,088,139,890
--------------
</Table>
See notes to financial statements.
102
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 3.4%
$67,666,934 With Investors Bank and
Trust, dated 06/30/04,
0.48%, due 07/01/04,
repurchase proceeds at
maturity $67,667,837
(Collateralized by various
Fannie Mae Adjustable Rate
Mortgage, 3.581% -- 4.306%,
due 07/01/33, with a total
value of $45,927,647,
Freddie Mac Adjustable Rate
Mortgage, 4.656%, due
12/01/22, with a value of
$1,981,961 Cendant Mortgage
Corp., Series 2004-3, class
A2, 5.52%, due 06/25/34,
with a value of
$23,140,850)............... $ 67,666,934
4,040,947 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase
proceeds at maturity
$4,041,124 (Collateralized
by various AIG SunAmerica
Global Finance,
5.85% -- 7.60%, due
06/15/05 to 03/15/32, with
a total value of $580,954,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$40,472, American General
Corp., 7.50%, due 07/15/25,
with a value of $2,327,
various ASIF Global Finance
XIX-XXIII, 1.44% -- 4.90%,
due 05/30/06 to 01/17/13,
with a total value of
$1,747,702, Berkshire
Hathaway, Inc., 4.625%, due
10/15/13, with a value of
$191,963, Citigroup, Inc.,
6.875%, due 02/15/98, with
a value of $8,222, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$171,396, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$42,143, Eli Lilly &
Company, 7.125%, due
06/01/25, with a value of
$99,372, General Electric
Capital Corp., 6.75%, due
03/15/32, with a value of
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
$60,123, GlaxoSmithKline
Capital, Inc., 5.375%, due
04/15/34, with a value of
$45,569, John Hancock
Global Funding II, 1.66%,
due 09/06/05, with a value
of $79,029, Johnson &
Johnson, 6.95%, due
09/01/29, with a value of
$143,633, Morgan Stanley
Capital I, 0.55%, due
12/15/31, with a value of
$35,206, Saturns-AIG,
1.539%, due 12/01/45, with
a value of $606,142,
various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$250,638, Wal-Mart Stores,
7.55%, due 02/15/30, with a
value of $529, and Wal-Mart
Canada, 5.58%, due
05/01/06, with a value of
$21,110)(b)................ $ 4,040,947
--------------
Total Repurchase Agreements
(Cost $71,707,881)......... 71,707,881
--------------
Total Investments -- 103.4%
(Cost $1,955,914,985)...... 2,159,847,771
Liabilities less other
assets -- (3.4)%........... (71,390,236)
--------------
NET ASSETS -- 100.0%......... $2,088,457,535
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $1,955,914,985.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $240,892,022
Gross unrealized depreciation.......... (36,959,236)
------------
Net unrealized appreciation............ $203,932,786
============
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
See notes to financial statements.
103
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 95.2%
AEROSPACE AND DEFENSE -- 4.7%
218,200 Goodrich Corp. ................ $ 7,054,406
203,300 United Defense Industries,
Inc.*........................ 7,115,500
------------
14,169,906
------------
AGRICULTURE -- 1.3%
103,400 Bunge, Ltd. ................... 4,026,396
------------
ASSET MANAGEMENT -- 1.8%
195,700 Brascan Corp. -- Class A(a).... 5,526,568
------------
AUTOMOTIVE EQUIPMENT -- 2.1%
73,900 Advance Auto Parts, Inc.*...... 3,264,902
73,300 Genuine Parts Company.......... 2,908,544
------------
6,173,446
------------
BANKS -- 4.1%
66,000 M&T Bank Corp. ................ 5,761,800
174,400 North Fork Bancorp., Inc.(a)... 6,635,920
------------
12,397,720
------------
BROADCAST SERVICES/MEDIA -- 4.0%
151,840 Cablevision Systems New York
Group -- Class A*(a)......... 2,983,656
80,300 Entercom Communications
Corp.*....................... 2,995,190
131,300 Tribune Company................ 5,979,402
------------
11,958,248
------------
BUSINESS SERVICES AND SUPPLIES -- 3.7%
89,100 Diebold, Inc. ................. 4,710,717
128,700 Manpower, Inc. ................ 6,534,099
------------
11,244,816
------------
CHEMICALS -- 2.0%
162,100 International Flavors &
Fragrances, Inc. ............ 6,062,540
------------
COMMERCIAL SERVICES -- 2.0%
211,500 ARAMARK Corp. -- Class B....... 6,082,740
------------
COMPUTER SOFTWARE AND SERVICES -- 3.1%
86,200 CACI International,
Inc. -- Class A*............. 3,485,928
51,700 Cognos, Inc.*.................. 1,869,472
40,000 Hyperion Solutions Corp.*...... 1,748,800
310,300 SkillSoft PLC (ADR)*........... 2,358,280
------------
9,462,480
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES -- 4.9%
118,000 American Standard Companies,
Inc.*........................ $ 4,756,580
80,300 Lafarge North America, Inc. ... 3,476,990
158,600 York International Corp. ...... 6,513,702
------------
14,747,272
------------
CONSUMER GOODS AND SERVICES -- 3.2%
40,700 Fortune Brands, Inc. .......... 3,070,001
154,700 The Sherwin-Williams Company... 6,427,785
------------
9,497,786
------------
CONTAINERS AND PACKAGING -- 3.7%
270,800 Pactiv Corp.*.................. 6,753,752
79,400 Sealed Air Corp.*.............. 4,229,638
------------
10,983,390
------------
ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING
SERVICES -- 1.7%
169,700 Waste Management, Inc. ........ 5,201,305
------------
FINANCIAL SERVICES -- 2.2%
168,800 CIT Group, Inc. ............... 6,463,352
------------
INSURANCE -- 7.4%
154,100 Assurant, Inc. ................ 4,065,158
98,900 Everest Re Group, Ltd. ........ 7,947,604
103,700 MBIA, Inc. .................... 5,923,344
113,800 Willis Group Holdings, Ltd. ... 4,261,810
------------
22,197,916
------------
INTERNET SERVICES -- 1.0%
167,600 McAfee, Inc.*.................. 3,038,588
------------
LEISURE AND RECREATION -- 3.7%
408,400 Caesars Entertainment, Inc.*... 6,126,000
116,700 Royal Caribbean Cruises,
Ltd.(a)...................... 5,065,947
------------
11,191,947
------------
MEDICAL AND OTHER HEALTH SERVICES -- 4.0%
46,600 Anthem, Inc.*(a)............... 4,173,496
105,900 Omnicare, Inc. ................ 4,533,579
30,800 WellPoint Health Networks,
Inc.*........................ 3,449,908
------------
12,156,983
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.9%
103,100 C. R. Bard, Inc. .............. 5,840,615
------------
</Table>
See notes to financial statements.
104
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
OIL, COAL AND GAS -- 4.3%
106,500 EnCana Corp. .................. $ 4,596,540
125,300 Praxair, Inc. ................. 5,000,723
72,000 Weatherford International,
Ltd.*........................ 3,238,560
------------
12,835,823
------------
PAPER AND FOREST PRODUCTS -- 1.2%
92,500 Boise Cascade Corp. ........... 3,481,700
------------
PHARMACEUTICALS -- 1.2%
60,300 Schering AG (ADR)(a)........... 3,570,363
------------
PRINTING AND PUBLISHING -- 2.0%
181,669 R.R. Donnelley & Sons Company.. 5,998,710
------------
RETAIL -- 5.4%
264,800 CSK Auto Corp.*................ 4,538,672
139,800 CVS Corp. ..................... 5,874,396
209,300 Dollar Tree Stores, Inc.*...... 5,741,099
------------
16,154,167
------------
RETAIL: RESTAURANTS -- 1.3%
102,700 YUM! Brands, Inc.*............. 3,822,494
------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 1.3%
67,700 Fisher Scientific
International, Inc.*(a)...... 3,909,675
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.7%
255,600 UNOVA, Inc.*................... 5,175,900
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
TOOLS -- 1.6%
103,100 Stanley Works(a)............... $ 4,699,298
------------
TOYS -- 1.4%
222,900 Mattel, Inc.(a)................ 4,067,925
------------
TRANSPORTATION -- 6.2%
192,500 CSX Corp. ..................... 6,308,225
146,200 Florida East Coast Industries,
Inc. ........................ 5,650,630
248,400 Norfolk Southern Corp. ........ 6,587,568
------------
18,546,423
------------
UTILITIES: ELECTRIC -- 5.1%
78,000 Entergy Corp. ................. 4,368,780
189,700 PG&E Corp.*.................... 5,300,218
141,100 TXU Corp. ..................... 5,715,961
------------
15,384,959
------------
TOTAL COMMON STOCKS (Cost
$258,543,956)................ 286,071,451
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 7.3%
$21,953,620 Securities Lending Collateral
Investment (Note 4) (Cost
$21,953,620)................. 21,953,620
------------
TOTAL SECURITIES (Cost
$280,497,576)................ 308,025,071
------------
</Table>
See notes to financial statements.
105
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 6.8%
$19,216,475 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $19,216,731
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
3.502%, due 01/01/34, with a
value of $20,177,298)........ $ 19,216,475
1,203,105 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $1,203,158
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $172,967,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$12,050, American General
Corp., 7.50%, due 07/15/25,
with a value of $693, various
ASIF Global Finance
XIX-XXIII, 1.44% -- 4.90%,
due 05/30/06 to 01/17/13,
with a total value of
$520,341, Berkshire Hathaway,
Inc., 4.625%, due 10/15/13,
with a value of $57,153,
Citigroup, Inc., 6.875%, due
02/15/98, with a value of
$2,448, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$51,029, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$12,547, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $29,586, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $17,900,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $13,567, John
Hancock Global Funding II,
1.66%, due 09/06/05, with a
value of
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
$23,529, Johnson & Johnson,
6.95%, due 09/01/29, with a
value of $42,764, Morgan
Stanley Capital I, 0.55%, due
12/15/31, with a value of
$10,482, Saturns-AIG, 1.539%,
due 12/01/45, with a value of
$180,466, various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$74,622, Wal-Mart Stores,
7.55%, due 02/15/30, with a
value of $158, and Wal-Mart
Canada, 5.58%, due 05/01/06,
with a value of $6,285)(b)... $ 1,203,105
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $20,419,580)........... 20,419,580
------------
Total Investments -- 109.3%
(Cost $300,917,156).......... 328,444,651
Liabilities less other
assets -- (9.3)%............. (27,902,023)
------------
NET ASSETS -- 100.0%........... $300,542,628
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $300,917,156.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $29,706,512
Gross unrealized depreciation........... (2,179,017)
-----------
Net unrealized appreciation............. $27,527,495
===========
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
See notes to financial statements.
106
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 97.7%
AEROSPACE AND DEFENSE -- 2.5%
15,000 Alliant Techsystems,
Inc.*(a)..................... $ 950,100
125,000 Goodrich Corp. ................ 4,041,250
------------
4,991,350
------------
BANKS -- 4.5%
32,500 City National Corp. ........... 2,135,250
21,000 M&T Bank Corp. ................ 1,833,300
100,000 Mellon Financial Corp. ........ 2,933,000
32,500 Zions Bancorp.................. 1,997,125
------------
8,898,675
------------
BROADCAST SERVICES/MEDIA -- 4.1%
150,000 Cox Radio, Inc. -- Class A*.... 2,607,000
15,000 E.W. Scripps Company -- Class
A(a)......................... 1,575,000
73,000 Entercom Communications
Corp.*....................... 2,722,900
55,000 Westwood One, Inc.*............ 1,309,000
------------
8,213,900
------------
BUSINESS SERVICES AND SUPPLIES -- 2.8%
62,500 Cintas Corp. .................. 2,979,375
85,000 Robert Half International,
Inc. ........................ 2,530,450
------------
5,509,825
------------
CHEMICALS -- 2.8%
80,000 Air Products and Chemicals,
Inc. ........................ 4,196,000
27,500 Valspar Corp. ................. 1,387,100
------------
5,583,100
------------
COMPUTER SOFTWARE AND SERVICES -- 9.7%
46,000 Affiliated Computer Services,
Inc. -- Class A*(a).......... 2,435,240
100,000 Amdocs, Ltd.*.................. 2,343,000
150,000 Citrix Systems, Inc.*.......... 3,054,000
20,300 Diebold, Inc. ................. 1,073,261
45,000 Macromedia, Inc.*.............. 1,104,750
50,000 Mercury Interactive
Corp.*(a).................... 2,491,500
65,000 Perot Systems Corp. -- Class
A*........................... 862,550
75,000 SunGard Data Systems, Inc.*.... 1,950,000
145,000 VERITAS Software Corp.*(a)..... 4,016,500
------------
19,330,801
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.0%
50,000 American Standard Companies,
Inc.*........................ 2,015,500
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSUMER GOODS AND SERVICES -- 2.0%
50,500 Estee Lauder Companies, Inc. --
Class A...................... $ 2,463,390
35,000 Regis Corp. ................... 1,560,650
------------
4,024,040
------------
DISTRIBUTION -- 0.9%
30,000 CDW Corp. ..................... 1,912,800
------------
EDUCATION -- 0.6%
27,000 Career Education Corp.*........ 1,230,120
------------
ELECTRONICS -- 0.6%
47,000 Molex, Inc. -- Class A......... 1,282,160
------------
FINANCIAL SERVICES -- 3.4%
85,000 Ameritrade Holding Corp.*...... 964,750
120,000 CapitalSource, Inc.*(a)........ 2,934,000
100,000 SEI Investments Company(a)..... 2,904,000
------------
6,802,750
------------
FOOD AND BEVERAGE -- 1.5%
52,500 Performance Food Group
Company*(a).................. 1,393,350
52,300 Smithfield Foods, Inc.*........ 1,537,620
------------
2,930,970
------------
INSURANCE -- 6.0%
42,500 Aetna, Inc. ................... 3,612,500
110,000 Pacificare Health Systems,
Inc.*........................ 4,252,600
62,200 Willis Group Holdings, Ltd. ... 2,329,390
25,000 XL Capital, Ltd. -- Class A.... 1,886,500
------------
12,080,990
------------
INTERNET SERVICES -- 1.6%
25,000 Ask Jeeves, Inc.*(a)........... 975,750
260,000 Novell, Inc.*.................. 2,181,400
------------
3,157,150
------------
LEISURE AND RECREATION -- 3.8%
165,000 Hilton Hotels Corp. ........... 3,078,900
100,000 Starwood Hotels & Resorts
Worldwide, Inc. ............. 4,485,000
------------
7,563,900
------------
MACHINERY -- 1.5%
45,000 Ingersoll-Rand Company, Ltd. --
Class A...................... 3,073,950
------------
</Table>
See notes to financial statements.
107
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MANUFACTURING -- 1.1%
41,500 Danaher Corp. ................. $ 2,151,775
------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.0%
115,000 McKesson Corp. ................ 3,947,950
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 4.1%
22,500 Allergan, Inc. ................ 2,014,200
6,000 Biomet, Inc.................... 266,640
70,000 Kinetic Concepts, Inc.*........ 3,493,000
31,500 St. Jude Medical, Inc.*........ 2,382,975
------------
8,156,815
------------
OIL AND GAS: EQUIPMENT -- 1.3%
45,000 Smith International, Inc.*..... 2,509,200
------------
OIL, COAL AND GAS -- 5.4%
70,000 BJ Services Company*........... 3,208,800
65,000 Nabors Industries, Ltd.*....... 2,939,300
38,000 Noble Corp.*................... 1,439,820
70,000 Weatherford International,
Ltd.*(a)..................... 3,148,600
------------
10,736,520
------------
PHARMACEUTICALS -- 6.8%
85,000 Amylin Pharmaceuticals,
Inc.*(a)..................... 1,938,000
41,300 Barr Pharmaceuticals, Inc.*.... 1,391,810
75,000 Caremark Rx, Inc.*............. 2,470,500
155,000 Elan Corp. PLC (ADR)*(a)....... 3,834,700
125,000 Nektar Therapeutics*........... 2,495,000
20,000 OSI Pharmaceuticals, Inc.*..... 1,408,800
------------
13,538,810
------------
RESEARCH AND DEVELOPMENT -- 3.9%
120,000 Cytyc Corp.*(a)................ 3,044,400
65,000 IVAX Corp.*.................... 1,559,350
32,500 Neurocrine Biosciences,
Inc.*........................ 1,685,125
28,500 Sepracor, Inc.*(a)............. 1,507,650
------------
7,796,525
------------
RETAIL -- 6.0%
65,000 J. C. Penney Company, Inc.
(Holding Company)............ 2,454,400
130,000 Staples, Inc. ................. 3,810,300
150,000 TJX Companies, Inc. ........... 3,621,000
62,500 Williams-Sonoma, Inc.*(a)...... 2,060,000
------------
11,945,700
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 1.8%
77,500 Agilent Technologies, Inc.*.... $ 2,269,200
25,000 Fisher Scientific
International, Inc.*......... 1,443,750
------------
3,712,950
------------
SEMICONDUCTORS -- 6.5%
175,000 Emulex Corp.*.................. 2,504,250
70,000 Intersil Corp. -- Class A...... 1,516,200
30,000 KLA-Tencor Corp.*.............. 1,481,400
40,000 Linear Technology Corp. ....... 1,578,800
125,000 Microchip Technology, Inc. .... 3,942,500
90,000 National Semiconductor
Corp.*....................... 1,979,100
------------
13,002,250
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 6.5%
105,000 Adtran, Inc.(a)................ 3,503,850
135,000 Comverse Technology, Inc.*..... 2,691,900
375,000 Corning, Inc.*................. 4,897,500
125,000 Nextel Partners, Inc. -- Class
A*........................... 1,990,000
------------
13,083,250
------------
TOYS -- 1.8%
185,000 Marvel Enterprises, Inc.*(a) 3,611,200
------------
TRANSPORTATION -- 1.2%
50,000 Expeditors International of
Washington, Inc. ............ 2,470,500
------------
TOTAL COMMON STOCKS
(Cost $181,912,023).......... 195,265,426
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 13.4%
$26,916,509 Securities Lending Collateral
Investment (Note 4) (Cost
$26,916,509)................. 26,916,509
------------
TOTAL SECURITIES
(Cost $208,828,532).......... 222,181,935
------------
</Table>
See notes to financial statements.
108
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 3.6%
$ 5,726,617 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $5,726,694
(Collateralized by Freddie
Mac, Series 2471, Class FI,
1.79%, due 03/15/32, with a
value of $6,014,870)......... $ 5,726,617
1,475,082 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $1,475,147
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $212,068,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$14,774, American General
Corp., 7.50%, due 07/15/25,
with a value of $849, various
ASIF Global Finance
XIX-XXIII, 1.44% -- 4.90%,
due 05/30/06 to 01/17/13,
with a total value of
$637,971, Berkshire Hathaway,
Inc., 4.625%, due 10/15/13,
with a value of $70,073,
Citigroup, Inc., 6.875%, due
02/15/98, with a value of
$3,001, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$62,565, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$15,384, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $36,274, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $21,947,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $16,634, John
Hancock Global Funding II,
1.66%, due 09/06/05, with a
value of
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
$28,848, Johnson & Johnson,
6.95%, due 09/01/29, with a
value of $52,431, Morgan
Stanley Capital I, 0.55%, due
12/15/31, with a value of
$12,851, Saturns-AIG, 1.539%,
due 12/01/45, with a value of
$221,262, various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$91,492, Wal-Mart Stores,
7.55%, due 02/15/30, with a
value of $193, and Wal-Mart
Canada, 5.58%, due 05/01/06,
with a value of $7,706)(b)... $ 1,475,082
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,201,699)............ 7,201,699
------------
Total Investments -- 114.7%
(Cost $216,030,231).......... 229,383,634
Liabilities less other
assets -- (14.7)%............ (29,475,308)
------------
NET ASSETS -- 100.0%........... $199,908,326
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $216,030,231.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $19,927,795
Gross unrealized depreciation........... (6,574,392)
-----------
Net unrealized appreciation............. $13,353,403
===========
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
See notes to financial statements.
109
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 95.5%
ADVERTISING -- 3.6%
297,650 Catalina Marketing Corp.*(a)... $ 5,444,019
------------
AGRICULTURE -- 3.6%
248,650 Delta and Pine Land Company.... 5,457,868
------------
APPAREL: RETAIL -- 4.1%
417,425 Payless ShoeSource, Inc.*...... 6,223,807
------------
AUTOMOTIVE EQUIPMENT -- 1.4%
107,250 Exide Technologies*(a)......... 2,193,263
------------
BANKS -- 5.1%
124,825 Commercial Federal Corp. ...... 3,382,757
51,675 First Financial Bancorp. ...... 915,681
73,200 Provident Financial Services,
Inc. ........................ 1,284,660
41,425 UMB Financial Corp. ........... 2,138,359
------------
7,721,457
------------
BUSINESS SERVICES AND SUPPLIES -- 8.5%
259,950 CSG Systems International,
Inc.*........................ 5,380,965
321,200 Dendrite International,
Inc.*........................ 5,967,895
95,900 FTI Consulting, Inc.*.......... 1,582,350
------------
12,931,210
------------
CHEMICALS -- 5.7%
40,650 Cytec Industries, Inc. ........ 1,847,543
389,674 Millennium Chemicals, Inc.*.... 6,749,153
------------
8,596,696
------------
COMPUTER SOFTWARE AND SERVICES -- 2.7%
255,325 Gartner, Inc. -- Class A*...... 3,375,397
59,325 Gartner, Inc. -- Class B*...... 764,699
------------
4,140,096
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.0%
31,250 Black Box Corp. ............... 1,476,875
------------
CONSUMER GOODS AND SERVICES -- 1.8%
78,825 Blyth, Inc. ................... 2,718,674
------------
EDUCATION -- 1.0%
38,800 ITT Educational Services,
Inc.*........................ 1,475,176
------------
FINANCIAL SERVICES -- 5.4%
149,750 Investment Technology Group,
Inc.*........................ 1,915,303
126,862 Raymond James Financial,
Inc. ........................ 3,355,499
135,400 Waddell & Reed Financial,
Inc. -- Class A.............. 2,993,694
------------
8,264,496
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE -- 0.8%
39,600 American Italian Pasta
Company -- Class A(a)........ $ 1,207,008
------------
INSURANCE -- 5.8%
142,500 Horace Mann Educators Corp. ... 2,490,900
76,325 Infinity Property & Casualty
Corp. ....................... 2,518,725
302,825 Phoenix Companies, Inc.(a)..... 3,709,606
------------
8,719,231
------------
INTERNET SERVICES -- 2.6%
377,675 EarthLink, Inc.*............... 3,908,936
------------
LEISURE AND RECREATION -- 3.9%
178,050 Speedway Motorsports, Inc. .... 5,953,992
------------
MANUFACTURING -- 8.5%
228,500 Acuity Brands, Inc. ........... 6,169,499
132,550 Crane Company.................. 4,160,744
157,175 Tredegar Corp. ................ 2,535,233
------------
12,865,476
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.7%
69,225 LifePoint Hospitals, Inc.*..... 2,576,555
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.5%
75,175 Haemonetics Corp.*............. 2,228,939
------------
OIL, COAL AND GAS -- 6.3%
118,000 Forest Oil Corp.*(a)........... 3,223,760
104,125 Oceaneering International,
Inc.*........................ 3,566,281
94,950 Tidewater, Inc. ............... 2,829,510
------------
9,619,551
------------
PAPER AND FOREST PRODUCTS -- 4.0%
136,362 Rayonier, Inc.(a).............. 6,061,291
------------
PRINTING AND PUBLISHING -- 1.5%
135,975 Hollinger International,
Inc. ........................ 2,283,020
------------
REAL ESTATE DEVELOPMENT AND SERVICES -- 0.1%
2,525 Avatar Holdings, Inc.*(a)...... 105,040
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
70,050 Post Properties, Inc. ......... 2,041,958
------------
</Table>
See notes to financial statements.
110
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RUBBER PRODUCTS -- 1.6%
13,450 Bandag, Inc.(a)................ $ 598,929
42,250 Bandag, Inc. -- Class A........ 1,757,600
------------
2,356,529
------------
SECURITY SERVICES -- 1.8%
81,425 The Brink's Company............ 2,788,806
------------
SEMICONDUCTORS -- 2.1%
251,950 Axcelis Technologies, Inc.*.... 3,134,258
------------
SPORTING GOODS AND EQUIPMENT -- 2.0%
266,075 Callaway Golf Company(a)....... 3,017,291
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 6.1%
133,450 Belden, Inc. .................. 2,859,834
144,125 Commonwealth Telephone
Enterprises, Inc.*........... 6,452,476
------------
9,312,310
------------
TOTAL COMMON STOCKS (Cost
$124,375,443)................ 144,823,828
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 11.5%
$17,427,416 Securities Lending Collateral
Investment (Note 4) (Cost
$17,427,416)................. 17,427,416
------------
TOTAL SECURITIES (Cost
$141,802,859)................ 162,251,244
------------
</Table>
<Table>
REPURCHASE AGREEMENTS -- 5.2%
6,840,751 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $6,840,843
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
Series 2002-68, Class FB,
1.80%, due 10/25/32, with a
value of $7,182,970)......... 6,840,751
955,059 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $955,101
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $137,306,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$9,565, American
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
General Corp., 7.50%, due
07/15/25, with a value of
$550, various ASIF Global
Finance XIX-XXIII,
1.44% -- 4.90%, due 05/30/06
to 01/17/13, with a total
value of $413,061, Berkshire
Hathaway, Inc., 4.625%, due
10/15/13, with a value of
$45,370, Citigroup, Inc.,
6.875%, due 02/15/98, with a
value of $1,943, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$40,509, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$9,960, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $23,486, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $14,210,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $10,770, John
Hancock Global Funding II,
1.66%, due 09/06/05, with a
value of $18,678, Johnson &
Johnson, 6.95%, due 09/01/29,
with a value of $33,947,
Morgan Stanley Capital I,
0.55%, due 12/15/31, with a
value of $8,321, Saturns-AIG,
1.539%, due 12/01/45, with a
value of $143,259, various
TIAA Global Markets,
3.875% -- 4.125%, due
11/15/07 to 01/22/08, with a
total value of $59,237,
Wal-Mart Stores, 7.55%, due
02/15/30, with a value of
$125, and Wal-Mart Canada,
5.58%, due 05/01/06, with a
value of $4,989)(b).......... $ 955,059
------------
</Table>
<Table>
TOTAL REPURCHASE AGREEMENTS
(Cost $7,795,810)............ 7,795,810
------------
Total Investments -- 112.2%
(Cost $149,598,669).......... 170,047,054
Liabilities less other as-
sets -- (12.2)%.............. (18,431,857)
------------
NET ASSETS -- 100.0%........... $151,615,197
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $149,598,669.
See notes to financial statements.
111
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $22,207,376
Gross unrealized depreciation........... (1,758,991)
-----------
Net unrealized appreciation............. $20,448,385
===========
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for securities
loaned.
See notes to financial statements.
112
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 97.3%
ADVERTISING -- 0.3%
42,000 ADVO, Inc. ................. $ 1,382,640
49,200 aQuantive, Inc.*............ 486,096
17,300 R.H. Donnelley Corp.*(a).... 756,702
62,400 Ventiv Health, Inc.*(a)..... 965,952
--------------
3,591,390
--------------
AEROSPACE AND DEFENSE -- 0.6%
219,900 AAR Corp.*.................. 2,495,865
94,200 Curtiss-Wright
Corp. -- Class B.......... 5,065,134
9,200 Ducommun, Inc.*............. 196,696
--------------
7,757,695
--------------
AIRLINES -- 0.3%
68,800 America West Holdings
Corp. -- Class B*(a)...... 624,704
219,500 ExpressJet Holdings,
Inc.*(a).................. 2,664,730
10,600 Mair Holdings, Inc.*........ 86,496
11,100 Mesa Air Group, Inc.*(a).... 89,799
16,600 Pinnacle Airlines Corp.*.... 187,580
--------------
3,653,309
--------------
APPAREL: MANUFACTURING -- 0.7%
267,950 Ashworth, Inc.*............. 2,226,665
92,400 Gildan Activewear, Inc. --
Class A*.................. 2,651,879
17,400 Kellwood Company............ 757,770
44,830 Oxford Industries, Inc. .... 1,952,795
101,200 The Warnaco Group, Inc.*.... 2,152,524
--------------
9,741,633
--------------
APPAREL: RETAIL -- 3.5%
29,100 Aeropostale, Inc.*.......... 783,081
21,900 AnnTaylor Stores Corp.*..... 634,662
56,700 Brown Shoe Company, Inc. ... 2,320,731
268,875 Cache, Inc.*................ 3,632,501
337,750 Casual Male Retail Group,
Inc.*(a).................. 2,465,575
70,900 Cato Corp. -- Class A....... 1,591,705
317,770 Charlotte Russe Holding,
Inc.*..................... 6,793,923
103,500 Claire's Stores, Inc. ...... 2,245,950
3,500 Genesco, Inc.*.............. 82,705
262,015 Jos. A. Bank Clothiers,
Inc.*(a).................. 8,224,651
356,000 Ross Stores, Inc.(a)........ 9,526,560
101,300 Shoe Carnival, Inc.*........ 1,520,513
129,900 Stage Stores, Inc.*(a)...... 4,892,034
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
APPAREL: RETAIL (CONTINUED)
16,000 Stein Mart, Inc.*........... $ 260,160
75,000 The Men's Wearhouse,
Inc.*..................... 1,979,250
--------------
46,954,001
--------------
AUTOMOBILES/MOTOR VEHICLES -- 0.3%
5,200 American Axle &
Manufacturing Holdings,
Inc.*..................... 189,072
3,800 Arctic Cat, Inc. ........... 104,614
47,100 Monaco Coach Corp. ......... 1,326,807
97,700 Wabash National Corp.*...... 2,691,635
--------------
4,312,128
--------------
AUTOMOTIVE EQUIPMENT -- 1.2%
71,900 Modine Manufacturing
Company................... 2,290,015
195,400 O'Reilly Automotive,
Inc.*(a).................. 8,832,080
211,600 Spartan Motors, Inc. ....... 2,592,100
70,900 TBC Corp.*.................. 1,687,420
66,100 Tenneco Automotive, Inc.*... 874,503
29,800 Titan International,
Inc. ..................... 306,642
--------------
16,582,760
--------------
BANKS -- 7.0%
7,000 ABC Bancorp................. 142,380
94,000 AMCORE Financial, Inc. ..... 2,835,040
4,290 AmericanWest Bancorp*....... 82,154
1,400 BancFirst Corp. ............ 83,650
19,500 BancorpSouth, Inc. ......... 439,335
151,976 Banner Corp. ............... 4,416,423
5,400 Camden National Corp. ...... 178,578
81,200 Cathay General Bancorp...... 5,416,040
19,200 City Holding Company........ 606,336
18,690 Columbia Banking System,
Inc. ..................... 414,918
34,000 Commercial Federal Corp. ... 921,400
8,600 Community Trust Bancorp,
Inc. ..................... 262,300
23,900 Corus Bankshares, Inc. ..... 982,529
26,500 First BanCorp............... 1,079,875
9,100 First Charter Corp. ........ 198,289
2,800 First Citizens Bancshares,
Inc. -- Class A........... 341,600
77,900 First Midwest Bancorp,
Inc. ..................... 2,742,859
9,600 First Place Financial
Corp. .................... 178,272
7,400 First Republic Bank......... 318,792
25,000 FirstFed Financial Corp.*... 1,040,000
</Table>
See notes to financial statements.
113
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
18,600 Flushing Financial Corp. ... $ 328,290
102,600 Fremont General Corp. ...... 1,810,890
7,100 Frontier Financial Corp. ... 248,074
22,600 Hancock Holding Company..... 656,756
291,911 Hudson United Bancorp....... 10,882,441
3,200 Independent Bank Corp.
(Massachusetts)........... 92,640
11,000 Independent Bank Corp.
(Michigan)................ 279,400
32,700 IndyMac Bancorp, Inc. ...... 1,033,320
28,200 Irwin Financial Corp. ...... 744,480
6,300 ITLA Capital Corp.*......... 255,591
74,880 Laurentian Bank of Canada... 1,566,296
5,900 MainSource Financial Group,
Inc. ..................... 119,770
4,400 Mid-State Bancshares........ 103,444
205,500 Nara Bancorp, Inc. ......... 3,520,215
5,300 NBC Capital Corp. .......... 143,047
238,900 NewAlliance Bancshares,
Inc.*..................... 3,335,044
3,700 OceanFirst Financial
Corp. .................... 88,615
2,300 Old Second Bancorp, Inc. ... 121,325
16,170 Oriental Financial Group,
Inc. ..................... 437,722
487,500 People's Bank............... 15,185,624
4,200 People's Holding Company.... 145,152
9,900 PFF Bancorp, Inc. .......... 368,676
92,080 PrivateBancorp, Inc.(a)..... 2,528,517
57,500 Provident Bankshares
Corp. .................... 1,658,300
4,200 Provident Financial
Holdings, Inc. ........... 99,330
57,800 R & G Financial Corp. --
Class B................... 1,910,868
2,800 S&T Bancorp, Inc. .......... 89,544
3,700 Sandy Spring Bancorp,
Inc. ..................... 128,575
7,100 Santander BanCorp........... 175,512
4,000 SCBT Financial Corp. ....... 120,600
32,000 Silicon Valley
Bancshares*............... 1,268,800
7,000 Simmons First National
Corp. -- Class A.......... 182,210
155,100 Sky Financial Group,
Inc. ..................... 3,835,623
4,600 Southside Bancshares,
Inc. ..................... 96,600
3,465 State Bancorp, Inc. ........ 84,650
3,600 State Financial Services
Corp. -- Class A.......... 106,776
6,625 Sterling Bancorp............ 182,983
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
5,800 Sterling Financial Corp.
(Pennsylvania)............ $ 150,974
6,100 Suffolk Bancorp............. 198,860
30,800 Susquehanna Bancshares,
Inc. ..................... 774,928
276,150 Texas Capital Bancshares,
Inc.*..................... 4,584,090
53,800 Texas Regional Bancshares,
Inc. -- Class A........... 2,469,958
16,900 Trustmark Corp. ............ 488,748
9,800 U.S.B. Holding Company,
Inc. ..................... 224,616
2,800 Union Bankshares Corp. ..... 88,480
24,900 United Community Financial
Corp. .................... 323,700
15,700 WesBanco, Inc. ............. 457,341
6,800 West Coast Bancorp.......... 145,792
117,030 Westamerica Bancorp......... 6,138,223
5,250 Western Sierra Bancorp*..... 162,593
9,300 WSFS Financial Corp. ....... 452,631
--------------
93,277,404
--------------
BROADCAST SERVICES/MEDIA -- 1.6%
388,200 Cox Radio, Inc. -- Class
A*........................ 6,746,916
449,400 Emmis Communications
Corp. -- Class A*......... 9,428,412
76,700 Insight Communications
Company, Inc. -- Class
A*........................ 710,242
21,500 Journal Communications,
Inc. -- Class A(a)........ 404,845
636,700 NTN Communications, Inc.*... 1,999,238
83,100 Sinclair Broadcast Group --
Class A................... 853,437
55,900 Spanish Broadcasting System,
Inc. -- Class A*.......... 520,429
10,100 The Liberty Corp. .......... 474,195
13,200 World Wrestling
Entertainment, Inc. ...... 168,300
42,300 Young Broadcasting, Inc. --
Class A*.................. 556,245
--------------
21,862,259
--------------
BUSINESS SERVICES AND SUPPLIES -- 3.2%
50,700 Administaff, Inc.*(a)....... 841,620
26,300 Advisory Board Company*..... 936,280
16,600 Angelica Corp. ............. 416,826
8,500 Blue Coat Systems, Inc.*.... 284,665
417,620 Dendrite International,
Inc.*..................... 7,759,379
60,900 Gevity HR, Inc. ............ 1,594,971
</Table>
See notes to financial statements.
114
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES AND SUPPLIES (CONTINUED)
152,590 Global Payments, Inc.(a).... $ 6,869,602
528,000 Image Entertainment,
Inc.*..................... 1,900,800
23,000 John H. Harland Company..... 675,050
319,400 Kforce, Inc.*............... 3,015,136
130,040 Korn/Ferry International*... 2,518,875
176,300 Labor Ready, Inc.*.......... 2,732,650
132,100 MAXIMUS, Inc.*.............. 4,684,266
36,400 MemberWorks, Inc.*(a)....... 1,078,168
67,100 MPS Group, Inc.*............ 813,252
133,600 Navigant Consulting,
Inc.*..................... 2,864,384
14,700 Pomeroy IT Solutions,
Inc.*..................... 175,224
23,000 SOURCECORP, Inc.*........... 632,960
160,850 Sypris Solutions, Inc. ..... 3,086,712
7,200 UniFirst Corp. ............. 209,448
--------------
43,090,268
--------------
CHEMICALS -- 0.4%
6,900 Aceto Corp. ................ 121,440
40,500 FMC Corp.*.................. 1,745,955
46,600 MacDermid, Inc. ............ 1,577,410
15,600 NewMarket Corp.*............ 334,932
13,300 Octel Corp. ................ 350,189
46,600 Trex Company, Inc.*(a)...... 1,759,150
--------------
5,889,076
--------------
COLLECTIBLES -- 0.0%
10,200 Department 56, Inc.*........ 157,080
--------------
COMMERCIAL SERVICES -- 0.2%
134,900 Providence Service Corp.*... 2,534,771
--------------
COMPUTER SOFTWARE AND SERVICES -- 5.7%
408,270 Activision, Inc.*........... 6,491,493
62,400 ANSYS, Inc.*................ 2,932,800
376,800 Checkpoint Systems, Inc.*... 6,756,024
401,500 Citadel Security Software,
Inc.*(a).................. 1,236,620
44,200 Covansys Corp.*............. 456,586
534,260 Embarcadero Technologies,
Inc.*(a).................. 6,603,454
45,000 FileNET Corp.*.............. 1,420,650
158,460 Hyperion Solutions Corp.*... 6,927,870
45,900 Intergraph Corp.*........... 1,186,974
135,100 Keane, Inc.*................ 1,849,519
135,350 M-Systems Flash Disk
Pioneers, Ltd.*(a)........ 2,018,069
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
138,050 Merge Technologies, Inc.*... $ 2,019,672
52,200 Micromuse, Inc.*............ 349,218
171,900 MRO Software, Inc.*......... 2,339,559
53,400 MTS Systems Corp. .......... 1,252,230
173,600 NetSolve, Inc.*............. 1,718,640
112,800 Open Solutions, Inc.*....... 2,817,744
788,700 Parametric Technology
Corp.*.................... 3,943,500
5,400 Progress Software Corp.*.... 117,018
454,100 Quest Software, Inc.*(a).... 5,857,890
18,100 Renaissance Learning,
Inc.(a)................... 405,802
11,200 Salesforce.com, Inc.*....... 179,984
6,700 SERENA Software, Inc.*(a)... 127,903
70,300 SS&C Technologies, Inc. .... 1,314,610
113,200 Sybase, Inc.*............... 2,037,600
100,000 Synopsys, Inc.*............. 2,843,000
280,900 Synplicity, Inc.*........... 1,685,119
79,400 Transaction Systems
Architects, Inc. -- Class
A*........................ 1,709,482
115,600 Trident Microsystems,
Inc.*..................... 1,295,876
57,000 Tyler Technologies, Inc.*... 539,220
522,140 Wind River Systems, Inc.*... 6,140,366
--------------
76,574,492
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.6%
71,300 Adaptec, Inc.*.............. 603,198
94,500 Black Box Corp.(a).......... 4,466,070
11,400 Electronics For Imaging,
Inc.*..................... 322,164
42,500 InFocus Corp.*.............. 361,250
27,700 Komag, Inc.*(a)............. 386,969
34,300 Mercury Computer Systems,
Inc.*..................... 850,640
34,700 RadiSys Corp.*.............. 644,379
91,000 Silicon Storage Technology,
Inc.*..................... 937,300
--------------
8,571,970
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.9%
62,700 Brookfield Homes Corp. ..... 1,642,113
6,200 Drew Industries, Inc.*...... 252,340
236,600 Dycom Industries, Inc.*..... 6,624,800
9,400 Eagle Materials, Inc. ...... 667,588
53,250 Florida Rock Industries,
Inc. ..................... 2,245,553
10,500 Genlyte Group, Inc.*........ 660,240
28,000 Integrated Electrical
Services, Inc.*........... 225,400
</Table>
See notes to financial statements.
115
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES
(CONTINUED)
41,000 Meritage Corp.*............. $ 2,820,800
92,000 Simpson Manufacturing
Company, Inc. ............ 5,163,040
15,500 Universal Forest Products,
Inc. ..................... 499,875
5,400 USG Corp.*.................. 94,932
24,800 Walter Industries, Inc. .... 337,776
15,100 Washington Group
International, Inc.*...... 541,939
158,200 WCI Communities, Inc.*(a)... 3,529,442
--------------
25,305,838
--------------
CONSUMER GOODS AND SERVICES -- 1.4%
38,600 Chattem, Inc.*.............. 1,114,382
6,000 CSS Industries, Inc. ....... 210,240
139,020 Fossil, Inc.*............... 3,788,295
106,300 NBTY, Inc.*................. 3,124,157
85,790 Toro Company................ 6,011,305
159,300 Yankee Candle Company,
Inc.*..................... 4,659,525
--------------
18,907,904
--------------
CONTAINERS AND PACKAGING -- 0.1%
11,600 Chesapeake Corp. ........... 309,488
9,000 Greif, Inc. -- Class A...... 380,250
26,400 Silgan Holdings, Inc. ...... 1,064,184
--------------
1,753,922
--------------
CORRECTIONAL FACILITIES -- 0.0%
17,100 The Geo Group, Inc.*........ 348,840
--------------
DISTRIBUTION -- 1.6%
8,000 Building Materials Holding
Corp. .................... 151,440
100,020 Hughes Supply, Inc. ........ 5,894,179
20,600 Nu Skin Enterprises, Inc. --
Class A................... 521,592
195,100 United Stationers, Inc.*.... 7,749,372
127,500 Universal Corp. ............ 6,494,850
41,000 Watsco, Inc. ............... 1,150,870
--------------
21,962,303
--------------
DIVERSIFIED SERVICES -- 0.0%
23,700 Resource America, Inc. --
Class A................... 559,320
--------------
EDUCATION -- 2.0%
354,800 DeVry, Inc.*................ 9,728,616
390,330 ITT Educational Services,
Inc.*..................... 14,840,347
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
EDUCATION (CONTINUED)
69,910 Laureate Education, Inc.*... $ 2,673,358
--------------
27,242,321
--------------
ELECTRONICS -- 2.2%
73,300 Artesyn Technologies,
Inc.*..................... 659,700
82,200 BEI Technologies, Inc. ..... 2,327,082
10,600 Bel Fuse, Inc. -- Class B... 442,020
16,500 CyberOptics Corp.*.......... 428,670
2,700 Excel Technology, Inc.*..... 89,775
26,000 KEMET Corp.*................ 317,720
4,600 LeCroy Corp.*............... 82,846
45,400 Methode Electronics, Inc. --
Class A................... 588,838
48,100 Park Electrochemical
Corp. .................... 1,214,525
12,400 Planar Systems, Inc.*....... 166,036
374,500 SRS Labs, Inc.*............. 2,055,631
15,000 Stoneridge, Inc.*........... 255,000
108,900 Technitrol, Inc.*........... 2,384,910
430,200 Thomas & Betts Corp.(a)..... 11,714,345
238,920 Trimble Navigation, Ltd.*... 6,639,587
--------------
29,366,685
--------------
ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING
SERVICES -- 0.2%
16,500 Duratek, Inc.*.............. 249,315
22,900 Metal Management, Inc.*..... 453,649
74,250 Waste Connections, Inc.*.... 2,202,255
--------------
2,905,219
--------------
EQUIPMENT RENTAL AND LEASING -- 0.6%
128,250 Aaron Rents, Inc. .......... 4,250,205
9,700 Electro Rent Corp.*......... 101,559
176,900 Marlin Business Services,
Inc.*(a).................. 2,658,807
30,700 United Rentals, Inc.*(a).... 549,223
--------------
7,559,794
--------------
FINANCIAL SERVICES -- 1.0%
126,500 American Capital Strategies,
Ltd.(a)................... 3,544,530
52,100 CompuCredit Corp.*.......... 901,330
93,700 Financial Federal
Corp.*(a)................. 3,303,862
160,400 Knight Trading Group,
Inc.*..................... 1,607,208
33,500 New Century Financial
Corp.(a).................. 1,568,470
</Table>
See notes to financial statements.
116
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
94,500 Saxon Capital, Inc.*........ $ 2,157,435
12,700 World Acceptance Corp.*..... 232,791
--------------
13,315,626
--------------
FOOD AND BEVERAGE -- 1.0%
4,800 Boston Beer Company, Inc. --
Class A*.................. 96,672
111,600 Chiquita Brands
International, Inc.*...... 2,334,672
46,600 Interstate Bakeries
Corp. .................... 505,610
105,300 John B. Sanfilippo & Son,
Inc.*..................... 2,813,615
10,300 M&F Worldwide Corp.*........ 141,110
64,250 Peet's Coffee & Tea,
Inc.*..................... 1,605,608
59,087 Riviana Foods, Inc. ........ 1,546,307
38,700 Robert Mondavi Corp. --
Class A*.................. 1,432,674
8,700 Sanderson Farms, Inc. ...... 466,494
123,000 Sensient Technologies
Corp. .................... 2,642,040
--------------
13,584,802
--------------
FUNERAL SERVICES -- 0.2%
96,900 Alderwoods Group, Inc.*..... 1,182,180
175,800 Service Corp.
International*............ 1,295,646
--------------
2,477,826
--------------
INSURANCE -- 3.7%
2,900 AmerUs Group Company........ 120,060
177,300 Assured Guaranty, Ltd.*..... 3,005,235
11,900 Commerce Group, Inc. ....... 587,503
116,400 Delphi Financial Group,
Inc. -- Class A........... 5,179,800
10,100 FPIC Insurance Group,
Inc.*(a).................. 249,369
103,650 Infinity Property & Casualty
Corp. .................... 3,420,450
131,800 IPC Holdings, Ltd. ......... 4,867,374
69,400 LandAmerica Financial Group,
Inc. ..................... 2,701,742
38,600 National Western Life
Insurance Company -- Class
A*........................ 5,927,030
161,800 Platinum Underwriters
Holdings, Inc. ........... 4,923,574
73,900 ProAssurance Corp.*(a)...... 2,520,729
161,800 Reinsurance Group of
America, Inc. ............ 6,577,170
109,250 Scottish Re Group,
Ltd.(a)................... 2,540,063
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
3,500 StanCorp Financial Group,
Inc. ..................... $ 234,500
48,800 Stewart Information Services
Corp. .................... 1,647,976
74,500 UICI*....................... 1,773,845
6,800 United Fire & Casualty
Company................... 392,700
329,900 Universal American Financial
Corp.*.................... 3,622,302
--------------
50,291,422
--------------
INTERNET SERVICES -- 5.2%
82,600 Akamai Technologies,
Inc.*(a).................. 1,482,670
15,700 Answerthink, Inc.*.......... 89,961
5,600 Ask Jeeves, Inc.*(a)........ 218,568
995,330 CNET Networks, Inc.*........ 11,018,303
297,850 Digitas, Inc.*.............. 3,285,286
64,700 EarthLink, Inc.*............ 669,645
15,500 eCollege.com, Inc.*......... 248,000
47,200 eResearch Technology,
Inc.*(a).................. 1,321,600
6,800 F5 Networks, Inc.*.......... 180,064
97,900 FindWhat.com*............... 2,265,406
167,550 InfoSpace, Inc.*............ 6,373,602
5,100 Internet Security Systems,
Inc.*(a).................. 78,234
246,400 Ixia*....................... 2,424,576
45,700 Jupitermedia Corp.*......... 647,112
284,100 Keynote Systems, Inc.*...... 3,906,375
189,600 Lionbridge Technologies,
Inc.*..................... 1,450,440
363,100 NETGEAR, Inc.*(a)........... 3,899,694
127,300 RADWARE, Ltd.*.............. 2,170,465
312,020 RSA Security, Inc.*......... 6,387,049
72,000 SafeNet, Inc.*.............. 1,992,960
327,240 Secure Computing Corp.*..... 3,812,346
85,600 Shanda Interactive
Entertainment, Ltd.
(ADR)*(a)................. 1,319,952
793,720 SonicWALL, Inc.*............ 6,825,992
442,150 Tumbleweed Communications
Corp.*.................... 1,883,559
96,074 United Online, Inc.*(a)..... 1,691,863
264,800 ValueClick, Inc.*........... 3,172,304
19,600 Websense, Inc.*............. 729,708
--------------
69,545,734
--------------
</Table>
See notes to financial statements.
117
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
LEISURE AND RECREATION -- 1.1%
48,900 Choice Hotels International,
Inc. ..................... $ 2,452,824
237,700 Interstate Hotels & Resorts,
Inc.*..................... 1,281,203
66,500 La Quinta
Corp. -- Paired*.......... 558,600
103,400 Multimedia Games,
Inc.*(a).................. 2,773,188
33,600 Polaris Industries, Inc. ... 1,612,800
211,250 Scientific Games Corp. --
Class A*.................. 4,043,325
41,250 Shuffle Master, Inc.*(a).... 1,497,788
--------------
14,219,728
--------------
MACHINERY -- 0.9%
122,500 Albany International
Corp. -- Class A.......... 4,111,100
38,400 Applied Industrial
Technologies, Inc. ....... 1,156,608
29,900 Gardner Denver, Inc.*....... 834,210
185,100 Kadant, Inc.*............... 4,281,363
15,000 Middleby Corp.(a)........... 819,300
35,500 Terex Corp.*................ 1,211,615
--------------
12,414,196
--------------
MANUFACTURING -- 3.9%
64,000 AptarGroup, Inc. ........... 2,796,160
34,000 Briggs & Stratton Corp. .... 3,003,900
48,100 C&D Technologies, Inc. ..... 857,623
96,700 Carlisle Companies, Inc. ... 6,019,575
55,100 Ceradyne, Inc.*(a).......... 1,970,927
8,700 CIRCOR International,
Inc. ..................... 177,393
13,500 Cognex Corp. ............... 519,480
38,400 Coherent, Inc.*............. 1,146,240
171,700 Crane Company............... 5,389,663
110,500 Deswell Industries, Inc. ... 2,663,050
49,200 Engineered Support Systems,
Inc. ..................... 2,878,692
18,600 Griffon Corp.*.............. 414,408
17,000 II-VI, Inc.*................ 521,220
68,400 Jacuzzi Brands, Inc.*....... 551,988
4,800 Kaydon Corp. ............... 148,464
20,300 Lincoln Electric Holdings,
Inc. ..................... 692,027
229,600 Rayovac Corp.*.............. 6,451,760
16,400 Rofin-Sinar Technologies,
Inc.*..................... 416,396
210,000 Rogers Corp.*(a)............ 14,679,000
10,800 Steinway Musical
Instruments, Inc.*........ 378,972
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MANUFACTURING (CONTINUED)
17,000 TTM Technologies, Inc.*..... $ 201,450
22,100 Valmont Industries, Inc. ... 506,090
--------------
52,384,478
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 5.5%
104,750 America Service Group,
Inc.*..................... 3,640,063
152,850 American Medical Security
Group, Inc.*.............. 4,165,163
123,600 AMERIGROUP Corp.*........... 6,081,120
30,300 AMN Healthcare Services,
Inc.*(a).................. 463,287
116,700 AmSurg Corp.*............... 2,932,671
20,300 Cambrex Corp. .............. 512,169
57,400 CorVel Corp.*............... 1,627,290
106,700 Cypress Bioscience, Inc.*... 1,464,991
65,000 Inveresk Research Group,
Inc.*..................... 2,004,600
127,900 Kindred Healthcare, Inc.*... 3,370,165
102,050 LabOne, Inc.*............... 3,243,149
130,410 LifePoint Hospitals,
Inc.*..................... 4,853,860
238,935 Lincare Holdings, Inc.*..... 7,851,404
35,800 PDI, Inc.*.................. 1,085,814
21,900 Per-Se Technologies,
Inc.*..................... 318,426
9,800 Quality Systems, Inc.*...... 481,082
51,100 RehabCare Group, Inc.*...... 1,360,793
18,600 Res-Care, Inc.*............. 236,220
19,100 Sierra Health Services,
Inc.*(a).................. 853,770
263,960 Triad Hospitals, Inc.*...... 9,827,231
362,800 Universal Health Services,
Inc. -- Class B(a)........ 16,648,891
5,750 WellCare Health Plans,
Inc.*..................... 97,750
--------------
73,119,909
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 6.1%
53,500 Abaxis, Inc.*............... 1,015,430
170,200 Advanced Medical Optics,
Inc.*(a).................. 7,245,414
90,700 Align Technology, Inc.*..... 1,723,300
256,710 ArthroCare Corp.*........... 7,465,126
102,200 Candela Corp.*.............. 1,001,560
88,500 CardioDynamics International
Corp.*.................... 446,925
119,650 Closure Medical Corp.*...... 3,004,412
115,040 Cooper Companies, Inc.(a)... 7,267,077
</Table>
See notes to financial statements.
118
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED)
39,600 Dade Behring Holdings,
Inc.*..................... $ 1,881,792
323,070 DJ Orthopedics, Inc.*....... 7,430,609
89,700 Endocardial Solutions,
Inc.*..................... 928,395
148,390 Gen-Probe, Inc.*............ 7,021,815
28,200 Haemonetics Corp.*.......... 836,130
102,700 Hologic, Inc.*.............. 2,387,775
49,350 I-Flow Corp.*(a)............ 585,291
20,300 Illumina, Inc.*............. 128,905
144,150 Intuitive Surgical, Inc.*... 2,738,850
24,700 Kensey Nash Corp.*.......... 852,150
49,400 Luminex Corp.*.............. 496,964
61,400 North American Scientific,
Inc.*..................... 515,760
399,600 Orthovita, Inc.*............ 2,053,944
285,000 Owens & Minor, Inc. ........ 7,381,499
149,800 PolyMedica Corp.(a)......... 4,649,792
15,500 Possis Medical, Inc.*....... 529,325
46,000 PSS World Medical, Inc.*.... 515,200
99,300 Quidel Corp.*............... 584,877
83,200 Techne Corp.*............... 3,615,040
346,800 The Spectranetics Corp.*.... 1,942,080
398,600 ThermoGenesis Corp.*........ 1,885,378
241,650 TriPath Imaging, Inc.*...... 2,273,927
48,700 Urologix, Inc.*............. 751,928
1,900 Ventana Medical Systems,
Inc.*..................... 90,307
23,100 VISX, Inc.*................. 617,232
--------------
81,864,209
--------------
METALS AND MINING -- 1.1%
51,500 Aber Diamond Corp.*......... 1,528,005
35,100 Brush Engineered Materials,
Inc.*..................... 663,390
57,300 Carpenter Technology
Corp. .................... 1,951,065
82,200 Century Aluminum Company*... 2,037,738
250,500 Meridian Gold, Inc.*........ 3,248,985
76,700 Reliance Steel & Aluminum
Company................... 3,092,544
28,300 RTI International Metals,
Inc.*..................... 451,385
6,500 Southern Peru Copper
Corp. .................... 268,645
1,700 Titanium Metals Corp.*...... 157,335
175,200 Wolverine Tube, Inc. ....... 1,718,712
--------------
15,117,804
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
OIL AND GAS: EQUIPMENT -- 1.2%
13,400 Dril-Quip, Inc.*............ $ 250,580
53,600 Energy Partners, Ltd.*...... 820,080
320,470 Grant Prideco, Inc.*........ 5,915,876
12,500 Gulf Island Fabrication,
Inc. ..................... 270,375
108,300 Maverick Tube Corp.*........ 2,843,958
192,950 Oil States International,
Inc.*..................... 2,952,135
298,750 Superior Energy Services,
Inc.*..................... 3,002,438
7,800 Veritas DGC, Inc.*.......... 180,570
--------------
16,236,012
--------------
OIL, COAL AND GAS -- 3.2%
81,900 Cabot Oil & Gas Corp. ...... 3,464,370
87,850 Cal Dive International,
Inc.*(a).................. 2,663,612
5,100 Clayton Williams Energy,
Inc.*..................... 121,890
94,200 Comstock Resources, Inc.*... 1,833,132
103,400 Encore Acquisition
Company*.................. 2,884,860
19,100 Giant Industries, Inc.*..... 420,200
574,450 Grey Wolf, Inc.*............ 2,435,668
125,000 Houston Exploration
Company*.................. 6,480,000
254,600 Magnum Hunter Resources,
Inc.*..................... 2,642,748
6,200 Oceaneering International,
Inc.*..................... 212,350
82,300 Patterson-UTI Energy,
Inc.(a)................... 2,749,643
209,000 Plains Exploration &
Production Company*....... 3,835,150
60,600 St. Mary Land & Exploration
Company................... 2,160,390
92,300 Tesoro Petroleum
Corp.*(a)................. 2,547,480
89,200 Unit Corp.*................. 2,805,340
285,800 Vintage Petroleum, Inc. .... 4,850,026
11,400 World Fuel Services
Corp. .................... 513,912
--------------
42,620,771
--------------
PAPER AND FOREST PRODUCTS -- 0.3%
21,100 Pope & Talbot, Inc. ........ 417,147
81,500 Potlatch Corp. ............. 3,393,660
--------------
3,810,807
--------------
PHARMACEUTICALS -- 3.3%
100,550 Alexion Pharmaceuticals,
Inc.*(a).................. 1,870,230
54,500 AtheroGenics, Inc.*(a)...... 1,037,135
48,700 Atrix Laboratories, Inc.*... 1,669,436
261,070 Axcan Pharma, Inc.*......... 5,508,577
</Table>
See notes to financial statements.
119
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
89,900 Bradley Pharmaceuticals,
Inc.*(a).................. $ 2,508,210
118,400 Connetics Corp.*............ 2,391,680
165,300 Discovery Laboratories,
Inc.*..................... 1,585,227
450,800 Durect Corp.*(a)............ 1,573,292
61,300 Kos Pharmaceuticals,
Inc.*(a).................. 2,021,061
86,900 Ligand Pharmaceuticals,
Inc. -- Class B*(a)....... 1,510,322
228,220 MGI Pharma, Inc.*(a)........ 6,164,222
19,700 Noven Pharmaceuticals,
Inc.*..................... 433,794
323,100 Oscient Pharmaceuticals
Corp.*(a)................. 1,651,041
135,300 Perrigo Company............. 2,566,641
67,100 QLT, Inc.*.................. 1,343,342
68,300 Rigel Pharmaceuticals,
Inc.*..................... 970,543
159,480 Salix Pharmaceuticals,
Ltd.*..................... 5,254,866
193,100 Serologicals Corp.*(a)...... 3,860,069
31,200 Tanox, Inc.*................ 594,984
--------------
44,514,672
--------------
PRINTING AND PUBLISHING -- 0.2%
14,100 Consolidated Graphics,
Inc.*..................... 621,105
52,000 Courier Corp. .............. 2,170,480
17,400 Thomas Nelson, Inc. ........ 395,676
--------------
3,187,261
--------------
REAL ESTATE DEVELOPMENT AND SERVICES -- 0.6%
71,400 Getty Realty Corp. ......... 1,796,424
157,700 The St. Joe Company......... 6,260,690
--------------
8,057,114
--------------
REAL ESTATE INVESTMENT TRUSTS -- 2.4%
230,200 Acadia Realty Trust......... 3,162,948
8,900 BRT Realty Trust............ 173,550
2,300 Camden Property Trust....... 105,340
33,000 Chelsea Property Group,
Inc. ..................... 2,152,260
62,100 Cornerstone Realty Income
Trust, Inc. .............. 544,617
62,600 Cousins Properties, Inc. ... 2,062,670
31,000 Entertainment Properties
Trust..................... 1,107,940
104,200 Equity Inns, Inc. .......... 968,018
27,100 Kilroy Realty Corp. ........ 924,110
45,000 Koger Equity................ 1,040,400
47,300 LTC Properties, Inc. ....... 785,180
74,500 Maguire Properties, Inc. ... 1,845,365
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
39,900 Mid-America Apartment
Communities, Inc. ........ $ 1,511,811
26,200 Mission West Properties,
Inc. ..................... 317,282
25,800 National Health Realty,
Inc. ..................... 701,502
88,600 Newcastle Investment
Corp.(a).................. 2,653,570
145,500 OMEGA Healthcare Investors,
Inc. ..................... 1,460,820
55,700 PS Business Parks, Inc. .... 2,241,368
85,200 RAIT Investment Trust....... 2,100,180
187,000 Senior Housing Properties
Trust..................... 3,139,730
23,000 Sovran Self Storage......... 878,140
5,300 Urstadt Biddle Properties --
Class A................... 78,493
90,800 Ventas, Inc. ............... 2,120,180
20,100 Winston Hotels, Inc. ....... 208,035
--------------
32,283,509
--------------
REGISTERED INVESTMENT COMPANIES -- 0.6%
120,000 iShares Russell 2000 Growth
Index Fund(a)............. 7,508,400
--------------
RESEARCH AND DEVELOPMENT -- 0.3%
59,000 Albany Molecular Research,
Inc.*..................... 762,870
11,500 Array BioPharma, Inc.*...... 91,425
36,100 Covance, Inc.*.............. 1,392,738
20,400 Digene Corp.*............... 745,212
55,900 Encysive Pharmaceuticals,
Inc.*..................... 475,150
22,700 Enzo Biochem, Inc.*(a)...... 340,500
17,900 Genencor International,
Inc.*..................... 293,023
20,200 Valeant Pharmaceuticals
International............. 404,000
--------------
4,504,918
--------------
RETAIL -- 4.3%
537,050 Big Lots, Inc.*(a).......... 7,765,743
326,370 BJ'S Wholesale Club,
Inc.*..................... 8,159,249
25,650 Brookstone, Inc.*........... 514,283
230,000 Casey's General Stores,
Inc. ..................... 4,209,000
69,820 Cost Plus, Inc.*............ 2,265,659
7,600 Design Within Reach,
Inc.*..................... 124,868
27,400 Dillard's, Inc. -- Class
A......................... 611,020
133,000 Duane Reade, Inc.*.......... 2,171,890
236,000 EZCORP, Inc.*(a)............ 2,341,120
6,700 Finlay Enterprises, Inc.*... 126,094
51,550 Guitar Center, Inc.*........ 2,292,429
</Table>
See notes to financial statements.
120
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
10,300 Pantry, Inc.*............... $ 224,540
452,300 Saks, Inc.*................. 6,784,500
104,900 Shopko Stores, Inc.*(a)..... 1,483,286
16,200 Sonic Automotive, Inc. ..... 358,830
6,600 The Bon-Ton Stores, Inc. ... 96,756
276,800 The Pep Boys -- Manny, Moe &
Jack...................... 7,016,880
171,700 Tractor Supply Company*..... 7,180,494
58,400 Trans World Entertainment
Corp.*.................... 585,168
111,000 Zale Corp.*................. 3,025,860
--------------
57,337,669
--------------
RETAIL: RESTAURANTS -- 2.8%
402,000 Applebee's International,
Inc. ..................... 9,254,040
69,150 CEC Entertainment, Inc.*.... 2,040,617
33,500 Dave & Buster's, Inc.*...... 629,465
41,900 Lone Star Steakhouse &
Saloon, Inc. ............. 1,139,261
100,000 Outback Steakhouse, Inc. ... 4,136,000
64,700 Papa John's International,
Inc.*(a).................. 1,911,238
95,700 RARE Hospitality
International, Inc.*...... 2,382,930
432,200 Ruby Tuesday, Inc. ......... 11,863,890
53,200 Ryan's Restaurant Group,
Inc.*..................... 840,560
103,516 Sonic Corp.*................ 2,354,989
19,700 The Steak n Shake Company*.. 358,934
--------------
36,911,924
--------------
RETAIL: SUPERMARKETS -- 0.1%
25,900 Pathmark Stores, Inc.*...... 197,358
82,800 Winn-Dixie Stores,
Inc.(a)................... 596,160
--------------
793,518
--------------
RUBBER PRODUCTS -- 0.1%
33,200 Bandag, Inc.(a)............. 1,478,396
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.7%
2,200 Dionex Corp.*............... 121,374
30,600 Hexcel Corp.*............... 354,348
382,170 PerkinElmer, Inc. .......... 7,658,687
13,800 Woodward Governor Company... 995,118
--------------
9,129,527
--------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
SECURITY SERVICES -- 0.1%
55,900 The Brink's Company......... $ 1,914,575
--------------
SEMICONDUCTORS -- 3.7%
87,500 Artisan Components, Inc.*... 2,257,500
198,100 Axcelis Technologies,
Inc.*..................... 2,464,364
194,700 Cirrus Logic, Inc.*......... 1,170,147
22,300 DSP Group, Inc.*............ 607,452
151,000 Dupont Photomasks,
Inc.*(a).................. 3,069,830
349,900 ESS Technology, Inc.*....... 3,747,429
200,000 Fairchild Semiconductor
International, Inc.*...... 3,274,000
37,500 FormFactor, Inc.*........... 841,875
477,250 Genus, Inc.*(a)............. 1,632,195
169,400 Integrated Device
Technology, Inc.*......... 2,344,496
50,400 Kulicke and Soffa
Industries, Inc.*......... 552,384
494,500 LogicVision, Inc.*.......... 1,384,600
130,500 Micrel, Inc.*............... 1,585,575
128,500 Microsemi Corp.*(a)......... 1,825,985
132,350 Mykrolis Corp.*............. 2,305,537
192,300 O2Micro International,
Ltd.*..................... 3,274,869
238,900 Pericom Semiconductor
Corp.*.................... 2,558,619
67,400 Photronics, Inc.*........... 1,276,556
22,200 PLX Technology, Inc.*....... 383,172
82,250 Power Integrations,
Inc.*(a).................. 2,048,025
111,400 Semtech Corp.*.............. 2,622,356
86,000 Sigmatel, Inc.*............. 2,499,160
165,200 Silicon Image, Inc.*........ 2,169,076
24,200 Varian Semiconductor
Equipment Associates,
Inc.*..................... 933,152
31,500 Veeco Instruments,
Inc.*(a).................. 813,015
133,100 Zoran Corp.*................ 2,442,385
--------------
50,083,754
--------------
SPORTING GOODS AND EQUIPMENT -- 1.0%
143,800 Hibbett Sporting Goods,
Inc.*..................... 3,932,930
177,300 K2, Inc.*................... 2,783,610
177,360 The Sports Authority,
Inc.*..................... 6,367,224
--------------
13,083,764
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 2.5%
58,700 Alamosa Holdings,
Inc.*(a).................. 431,445
13,600 Alaska Communications
Systems Group, Inc.*...... 82,960
</Table>
See notes to financial statements.
121
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
51,200 Anaren, Inc.*............... $ 836,608
8,800 Anixter International,
Inc.*..................... 299,464
79,200 Applied Signal Technology,
Inc. ..................... 2,775,960
28,400 Arris Group, Inc.*.......... 168,696
46,500 Aspect Communications
Corp.*.................... 660,300
30,600 Brightpoint, Inc.*.......... 420,750
111,200 C-COR.net Corp.*............ 1,144,248
535,500 Cable Design Technologies
Corp.*(a)................. 5,676,300
208,100 Carrier Access Corp.*....... 2,480,552
62,900 Commonwealth Telephone
Enterprises, Inc.*........ 2,816,033
237,130 CommScope, Inc.*............ 5,086,439
38,100 Comtech Telecommunications
Corp.*.................... 859,536
18,800 CT Communications, Inc. .... 282,940
62,600 Digi International, Inc.*... 671,072
62,400 Ditech Communications
Corp.*.................... 1,456,416
33,400 General Communication,
Inc. -- Class A*.......... 265,196
22,800 Inet Technologies, Inc.*.... 284,316
49,000 Intervoice, Inc.*........... 562,030
7,800 North Pittsburgh Systems,
Inc. ..................... 156,390
10,000 Plantronics, Inc.*.......... 421,000
7,100 SureWest Communications..... 224,360
168,300 TALK America Holdings,
Inc.*(a).................. 1,290,861
162,280 TNS, Inc.*.................. 3,537,704
--------------
32,891,576
--------------
TRANSPORTATION -- 2.7%
144,300 Dynamex, Inc.*.............. 2,007,213
217,000 EGL, Inc.*(a)............... 5,772,199
69,950 Forward Air Corp.*.......... 2,616,130
218,850 Genesee & Wyoming, Inc. --
Class A*.................. 5,186,745
16,900 Hub Group, Inc. -- Class
A*........................ 576,290
3,200 Landstar System, Inc.*...... 169,184
80,250 Old Dominion Freight Line,
Inc.*..................... 2,365,770
58,600 Overnite Corp. ............. 1,722,840
48,200 Overseas Shipholding Group,
Inc. ..................... 2,127,066
</Table>
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
TRANSPORTATION (CONTINUED)
78,070 Petroleum Helicopters,
Inc.*..................... $ 1,515,339
111,100 USF Corp. .................. 3,902,943
96,880 UTI Worldwide, Inc. ........ 5,104,607
133,800 Vitran Corp., Inc. -- Class
A*........................ 2,201,010
62,375 Werner Enterprises, Inc. ... 1,316,113
--------------
36,583,449
--------------
UTILITIES: ELECTRIC -- 1.1%
96,300 Avista Corp. ............... 1,773,846
99,400 Black Hills Corp. .......... 3,131,100
99,200 Cleco Corp. ................ 1,783,616
13,000 CMS Energy Corp.*(a)........ 118,690
18,400 El Paso Electric Company*... 284,096
31,700 IDACORP, Inc. .............. 855,900
223,200 PNM Resources, Inc. ........ 4,635,864
1,700 UIL Holdings Corp. ......... 82,773
107,700 Westar Energy, Inc. ........ 2,144,307
--------------
14,810,192
--------------
UTILITIES: GAS -- 0.8%
98,300 Atmos Energy Corp. ......... 2,515,497
22,500 Cascade Natural Gas
Corp. .................... 496,575
69,600 New Jersey Resources
Corp. .................... 2,893,968
7,200 Nicor, Inc. ................ 244,584
156,400 WGL Holdings, Inc. ......... 4,491,808
--------------
10,642,432
--------------
TOTAL COMMON STOCKS (Cost
$1,056,391,886)........... 1,307,182,356
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 10.5%
$141,582,328 Securities Lending
Collateral Investment
(Note 4) (Cost
$141,582,328)............. 141,582,328
--------------
SHORT TERM US TREASURY SECURITY -- 0.1%
1,000,000 US Treasury Bill,
1.29%, 09/16/04(c) (Cost
$997,241)................. 997,241
--------------
TOTAL SECURITIES (Cost
$1,198,971,455)........... 1,449,761,925
--------------
</Table>
See notes to financial statements.
122
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 3.3%
$ 5,584,449 With Goldman Sachs &
Company, dated 06/30/04,
0.48%, due 07/01/04,
repurchase proceeds at
maturity $5,584,524
(Collateralized by Federal
Home Loan Bank, 6.00%, due
08/20/21, with a value of
$5,699,118)............... $ 5,584,449
30,611,432 With Investors Bank and
Trust, dated 06/30/04,
0.48%, due 07/01/04,
repurchase proceeds at
maturity $30,611,840
(Collateralized by various
Fannie Mae Adjustable Rate
Mortgage, 3.98 -- 4.45%,
due 01/01/33 to 03/01/33,
with a total value of
$24,286,331, and various
Small Business
Administration,
4.38 -- 4.88%, due
09/25/15 to 01/25/28, with
a total value of
$7,855,672)............... 30,611,432
7,759,013 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase
proceeds at maturity
$7,759,354 (Collateralized
by various AIG SunAmerica
Global Finance, 5.85% --
7.60%, due 06/15/05 to
03/15/32, with a total
value of $1,115,489,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$77,710, American General
Corp., 7.50%, due
07/15/25, with a value of
$4,467, various ASIF
Global Finance XIX-XXIII,
1.44% -- 4.90%, due
05/30/06 to 01/17/13, with
a total value of
$3,355,759, Berkshire
Hathaway, Inc., 4.625%,
due 10/15/13, with a value
of $368,588, Citigroup,
Inc., 6.875%, due
02/15/98, with a value of
$15,787, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$329,097, Citizens
Property Insurance, 6.70%,
due 08/25/04, with a value
of $80,920, Eli Lilly &
Company, 7.125%, due
06/01/25, with a value of
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
$190,804, General Electric
Capital Corp., 6.75%, due
03/15/32, with a value of
$115,442, GlaxoSmithKline
Capital, Inc., 5.375%, due
04/15/34, with a value of
$87,496, John Hancock
Global Funding II, 1.66%,
due 09/06/05, with a value
of $151,744, Johnson &
Johnson, 6.95%, due
09/01/29, with a value of
$275,789, Morgan Stanley
Capital I, 0.55%, due
12/15/31, with a value of
$67,598, Saturns-AIG,
1.539%, due 12/01/45, with
a value of $1,163,852,
various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$481,250, Wal-Mart Stores,
7.55%, due 02/15/30, with
a value of $1,017, and
Wal-Mart Canada, 5.58%,
due 05/01/06, with a value
of $40,533)(b)............ $ 7,759,013
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $43,954,894)........ 43,954,894
--------------
Total Investments -- 111.2%
(Cost $1,242,926,349)..... 1,493,716,819
Liabilities less other
assets -- (11.2)%......... (150,631,695)
--------------
NET ASSETS -- 100.0%........ $1,343,085,124
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $1,242,926,349.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.......... $290,517,909
Gross unrealized depreciation.......... (39,727,439)
------------
Net unrealized appreciation............ $250,790,470
============
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(c) Security is segregated as initial margin for futures contracts.
(ADR) American Depositary Receipt.
See notes to financial statements.
123
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 97.3%
AIRLINES -- 0.5%
36,200 Republic Airways Holdings,
Inc.*(a)..................... $ 515,850
------------
APPAREL: RETAIL -- 2.2%
49,800 Coach, Inc.*................... 2,250,462
------------
AUTOMOBILES/MOTOR VEHICLES -- 1.3%
35,400 Winnebago Industries, Inc. .... 1,319,712
------------
BANKS -- 8.0%
60,900 Brookline Bancorp, Inc. ....... 893,403
50,200 Downey Financial Corp. ........ 2,673,150
71,150 R & G Financial Corp. -- Class
B............................ 2,352,219
34,600 Silicon Valley Bancshares*..... 1,371,890
20,900 Westamerica Bancorp............ 1,096,205
------------
8,386,867
------------
BROADCAST SERVICES/MEDIA -- 2.3%
42,500 Lin TV Corp. -- Class A*....... 901,000
189,200 Mediacom Communications
Corp.*....................... 1,479,544
------------
2,380,544
------------
BUSINESS SERVICES AND SUPPLIES -- 5.0%
71,600 Advisory Board Company*........ 2,548,960
25,800 Charles River Associates,
Inc.*........................ 798,510
46,400 Gevity HR, Inc. ............... 1,215,216
22,000 Portfolio Recovery Associates,
Inc.*........................ 606,540
------------
5,169,226
------------
COMPUTER SOFTWARE AND SERVICES -- 5.0%
175,600 Agile Software Corp.*.......... 1,536,500
37,600 Manhattan Associates, Inc.*.... 1,161,088
206,900 MatrixOne, Inc.*............... 1,429,679
126,900 Netegrity, Inc.*............... 1,073,574
------------
5,200,841
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.2%
10,000 WCI Communities, Inc.*......... 223,100
------------
ELECTRICAL EQUIPMENT -- 1.0%
38,300 Wilson Greatbatch Technologies,
Inc.*........................ 1,070,485
------------
ELECTRONICS -- 1.9%
35,300 Gentex Corp.(a)................ 1,400,704
45,800 Integrated Silicon Solution,
Inc.*........................ 559,218
------------
1,959,922
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES -- 5.4%
110,100 CapitalSource, Inc.*(a)........ $ 2,691,945
63,900 Westcorp....................... 2,904,255
------------
5,596,200
------------
INSURANCE -- 2.2%
52,600 Delphi Financial Group, Inc. --
Class A...................... 2,340,700
------------
INTERNET SERVICES -- 6.2%
70,100 Akamai Technologies,
Inc.*(a)..................... 1,258,295
37,900 Ask Jeeves, Inc.*(a)........... 1,479,237
239,800 Corillian Corp.*............... 1,208,592
86,500 eSPEED, Inc. -- Class A*....... 1,526,725
162,300 iVillage, Inc.*................ 1,030,605
------------
6,503,454
------------
LEISURE AND RECREATION -- 1.1%
18,900 Four Seasons Hotels, Inc.(a)... 1,137,969
------------
MANUFACTURING -- 1.9%
20,600 Engineered Support Systems,
Inc. ........................ 1,205,306
31,800 Rofin-Sinar Technologies,
Inc.*........................ 807,402
------------
2,012,708
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 5.4%
118,600 Align Technology, Inc.*........ 2,253,400
82,100 Conceptus, Inc.*(a)............ 923,625
46,100 Immucor, Inc.*................. 1,500,555
118,000 North American Scientific,
Inc.*........................ 991,200
------------
5,668,780
------------
PHARMACEUTICALS -- 10.5%
90,700 Abgenix, Inc.*(a).............. 1,063,004
24,200 Adolor Corp.*.................. 306,856
64,000 CV Therapeutics, Inc.*(a)...... 1,072,640
106,500 Isolagen, Inc.*(a)............. 1,094,820
34,300 Medicis Pharmaceuticals
Corp. -- Class A............. 1,370,285
33,700 MGI Pharma, Inc.*.............. 910,237
166,500 Nektar Therapeutics*........... 3,323,340
97,100 POZEN, Inc.*................... 664,164
44,600 United Therapeutics
Corp.*(a).................... 1,143,990
------------
10,949,336
------------
</Table>
See notes to financial statements.
124
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
40,800 RAIT Investment Trust.......... $ 1,005,720
28,500 Redwood Trust, Inc.(a)......... 1,586,880
------------
2,592,600
------------
RESEARCH AND DEVELOPMENT -- 6.7%
166,300 Axonyx, Inc.*(a)............... 871,412
40,300 Digene Corp.*.................. 1,472,159
100,500 Neurochem, Inc.*(a)............ 2,096,430
151,100 Pain Therapeutics, Inc.*....... 1,217,866
69,600 Protein Design Labs,
Inc.*(a)..................... 1,331,448
------------
6,989,315
------------
RETAIL -- 10.5%
22,900 America's Car-Mart, Inc.*...... 687,687
29,400 Cost Plus, Inc.*............... 954,030
66,500 First Cash Financial Services,
Inc.*........................ 1,415,120
35,300 Guitar Center, Inc.*........... 1,569,791
43,800 PC Mall, Inc.*................. 826,944
33,900 Tractor Supply Company*........ 1,417,698
67,400 Urban Outfitters, Inc.*(a)..... 4,105,334
------------
10,976,604
------------
RETAIL: RESTAURANTS -- 3.6%
35,700 RARE Hospitality International,
Inc.*........................ 888,930
64,400 Sonic Corp.*................... 1,465,100
33,800 The Cheesecake Factory,
Inc.*(a)..................... 1,344,902
------------
3,698,932
------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 3.0%
42,600 Cymer, Inc.*................... 1,594,944
36,000 Varian, Inc.*.................. 1,517,400
------------
3,112,344
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS -- 6.6%
128,700 O2Micro International, Ltd.*... $ 2,191,761
39,800 Power Integrations, Inc.*(a)... 991,020
213,900 Skyworks Solutions, Inc.*...... 1,867,347
57,700 Tessera Technologies, Inc.*.... 1,039,754
19,400 Varian Semiconductor Equipment
Associates, Inc.*............ 748,064
------------
6,837,946
------------
SPORTING GOODS AND EQUIPMENT -- 2.8%
7,900 Cabela's, Inc. -- Class A*..... 212,905
97,675 Hibbett Sporting Goods,
Inc.*........................ 2,671,411
------------
2,884,316
------------
TRANSPORTATION -- 1.5%
55,200 Knight Transportation, Inc.*... 1,585,896
------------
TOTAL COMMON STOCKS (Cost
$89,346,616)................. 101,364,109
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 20.4%
$21,226,565 Securities Lending Collateral
Investment (Note 4) (Cost
$21,226,565)................. 21,226,565
------------
TOTAL SECURITIES (Cost
$110,573,181)................ 122,590,674
------------
</Table>
See notes to financial statements.
125
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 4.5%
$ 3,496,994 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $3,497,041
(Collateralized by Small
Business Administration,
4.13%, due 06/25/28, with a
value of $3,671,844)......... $ 3,496,994
1,163,261 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase proceeds
at maturity $1,163,312
(Collateralized by various
AIG SunAmerica Global
Finance, 5.85% -- 7.60%, due
06/15/05 to 03/15/32, with a
total value of $167,238,
Allstate Financial Global
Funding, 1.675%, due
12/20/05, with a value of
$11,651, American General
Corp., 7.50%, due 07/15/25,
with a value of $670, various
ASIF Global Finance
XIX-XXIII, 1.44% -- 4.90%,
due 05/30/06 to 01/17/13,
with a total value of
$503,108, Berkshire Hathaway,
Inc., 4.625%, due 10/15/13,
with a value of $55,260,
Citigroup, Inc., 6.875%, due
02/15/98, with a value of
$2,367, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$49,339, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$12,132, Eli Lilly & Company,
7.125%, due 06/01/25, with a
value of $28,606, General
Electric Capital Corp.,
6.75%, due 03/15/32, with a
value of $17,308,
GlaxoSmithKline Capital,
Inc., 5.375%, due 04/15/34,
with a value of $13,118, John
Hancock Global Funding II,
1.66%, due
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS (CONTINUED)
09/06/05, with a value of
$22,750, Johnson & Johnson,
6.95%, due 09/01/29, with a
value of $41,347, Morgan
Stanley Capital I, 0.55%, due
12/15/31, with a value of
$10,135, Saturns-AIG, 1.539%,
due 12/01/45, with a value of
$174,489, various TIAA Global
Markets, 3.875% -- 4.125%,
due 11/15/07 to 01/22/08,
with a total value of
$72,151, Wal-Mart Stores,
7.55%, due 02/15/30, with a
value of $153, and Wal-Mart
Canada, 5.58%, due 05/01/06,
with a value of $6,077)(b)... $ 1,163,261
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $4,660,255)............ 4,660,255
------------
Total Investments -- 122.2%
(Cost $115,233,436).......... 127,250,929
Liabilities less other
assets -- (22.2)%............ (23,091,211)
------------
NET ASSETS -- 100.0%........... $104,159,718
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $115,233,436.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $15,431,067
Gross unrealized depreciation........... (3,413,574)
-----------
Net unrealized appreciation............. $12,017,493
===========
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for securities
loaned.
See notes to financial statements.
126
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -------------
COMMON STOCKS -- 97.7%
AUTOMOBILES/MOTOR VEHICLES -- 1.4%
200,000 Wabash National Corp.*(a)..... $ 5,510,000
-------------
AUTOMOTIVE EQUIPMENT -- 1.8%
158,000 Advance Auto Parts, Inc.*..... 6,980,440
-------------
BANKS -- 1.8%
98,000 UBS AG........................ 6,963,880
-------------
BROADCAST SERVICES/MEDIA -- 1.6%
233,000 XM Satellite Radio Holdings,
Inc. -- Class A*(a)......... 6,358,570
-------------
BUSINESS SERVICES AND SUPPLIES -- 5.4%
276,000 Accenture, Ltd. -- Class A*... 7,584,480
172,000 First Data Corp. ............. 7,657,440
113,000 Manpower, Inc. ............... 5,737,010
-------------
20,978,930
-------------
COMPUTER SOFTWARE AND SERVICES -- 3.3%
451,000 Activision, Inc.*............. 7,170,900
202,000 Microsoft Corp. .............. 5,769,120
-------------
12,940,020
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.1%
192,150 AU Optronics Corp. (ADR)(a)... 3,139,731
370,000 PalmOne, Inc.*(a)............. 12,864,900
-------------
16,004,631
-------------
ELECTRONICS -- 2.2%
127,000 L-3 Communications Holdings,
Inc.(a)..................... 8,483,600
-------------
FINANCIAL SERVICES -- 2.9%
161,305 Capital One Financial
Corp. ...................... 11,030,036
-------------
FOOD AND BEVERAGE -- 3.1%
324,000 Dean Foods Company*........... 12,088,440
-------------
INFORMATION SERVICES -- 2.2%
308,000 Check Point Software
Technologies, Ltd.*......... 8,312,920
-------------
INSURANCE -- 4.8%
149,000 American International Group,
Inc. ....................... 10,620,720
51,000 Arch Capital Group, Ltd.*..... 2,033,880
140,900 W.R. Berkley Corp. ........... 6,051,655
-------------
18,706,255
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ -------------
COMMON STOCKS (CONTINUED)
INTERNET SERVICES -- 3.0%
187,000 Ask Jeeves, Inc.*(a).......... $ 7,298,610
151,499 eResearch Technology,
Inc.*(a).................... 4,241,972
-------------
11,540,582
-------------
LEISURE AND RECREATION -- 3.6%
129,000 Station Casinos, Inc. ........ 6,243,600
251,000 WMS Industries, Inc.*(a)...... 7,479,800
-------------
13,723,400
-------------
MACHINERY -- 2.2%
252,000 Terex Corp.*.................. 8,600,760
-------------
MANUFACTURING -- 3.6%
98,000 Cooper Industries,
Ltd. -- Class A............. 5,822,180
282,000 Rayovac Corp.*................ 7,924,200
-------------
13,746,380
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.1%
142,000 Amedisys, Inc.*(a)............ 4,691,680
117,000 DaVita, Inc.*................. 3,607,110
-------------
8,298,790
-------------
MEDICAL EQUIPMENT AND SUPPLIES -- 5.5%
256,000 Cooper Companies, Inc.(a)..... 16,171,520
62,000 Varian Medical Systems,
Inc.*....................... 4,919,700
-------------
21,091,220
-------------
OIL, COAL AND GAS -- 5.8%
234,000 Occidental Petroleum Corp. ... 11,327,940
173,000 Southwestern Energy
Company*(a)................. 4,959,910
199,250 XTO Energy, Inc. ............. 5,935,658
-------------
22,223,508
-------------
PHARMACEUTICALS -- 5.6%
312,000 Elan Corp. PLC (ADR)*(a)...... 7,718,880
223,000 Pfizer, Inc. ................. 7,644,440
122,000 Sepracor, Inc.*(a)............ 6,453,800
-------------
21,817,120
-------------
RESEARCH AND DEVELOPMENT -- 9.5%
119,000 Genentech, Inc.*.............. 6,687,800
153,000 Invitrogen Corp.*............. 11,014,470
124,500 Martek Biosciences
Corp.*(a)................... 6,993,165
212,000 Millipore Corp.*.............. 11,950,440
-------------
36,645,875
-------------
</Table>
See notes to financial statements.
127
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -------------
COMMON STOCKS (CONTINUED)
RETAIL -- 4.5%
238,000 Foot Locker, Inc. ............ $ 5,792,920
87,000 Kmart Holding Corp.*(a)....... 6,246,600
86,000 Urban Outfitters, Inc.*....... 5,238,260
-------------
17,277,780
-------------
SEMICONDUCTORS -- 2.0%
287,000 Intel Corp. .................. 7,921,200
-------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 13.3%
570,000 Alvarion, Ltd.*(a)............ 7,569,600
129,000 America Movil S.A. de C.V. --
Series L (ADR).............. 4,691,730
490,000 Andrew Corp.*(a).............. 9,804,900
307,000 Avaya, Inc.*.................. 4,847,530
295,000 Ditech Communications
Corp.*...................... 6,885,300
544,000 Motorola, Inc. ............... 9,927,999
291,000 Nextel Communications, Inc. --
Class A*.................... 7,758,060
-------------
51,485,119
-------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ -------------
COMMON STOCKS (CONTINUED)
TOYS -- 2.4%
483,000 Marvel Enterprises,
Inc.*(a).................... $ 9,428,160
-------------
TOTAL COMMON STOCKS (Cost
$316,556,051)............... 378,157,616
-------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 25.5%
$98,520,899 Securities Lending Collateral
Investment (Note 4) (Cost
$98,520,899)................ 98,520,899
-------------
TOTAL SECURITIES (Cost
$415,076,950)............... 476,678,515
-------------
</Table>
See notes to financial statements.
128
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
REPURCHASE AGREEMENTS -- 3.2%
$ 7,175,767 With Investors Bank and Trust,
dated 06/30/04, 0.48%, due
07/01/04, repurchase
proceeds at maturity
$7,175,862 (Collateralized
by Freddie Mac Adjustable
Rate Mortgage, Series 1695,
Class EF, 2.30%, due
12/15/23, with a value of
$7,538,140)................. $ 7,175,767
5,399,155 With Morgan Stanley, dated
06/30/04, 1.58%, due
07/01/04, repurchase
proceeds at maturity
$5,399,392 (Collateralized
by various AIG SunAmerica
Global Finance,
5.85% -- 7.60%, due 06/15/05
to 03/15/32, with a total
value of $776,220, Allstate
Financial Global Funding,
1.675%, due 12/20/05, with a
value of $54,075, American
General Corp., 7.50%, due
07/15/25, with a value of
$3,109, various ASIF Global
Finance XIX-XXIII,
1.44% -- 4.90%, due 05/30/06
to 01/17/13, with a total
value of $2,335,125,
Berkshire Hathaway, Inc.,
4.625%, due 10/15/13, with a
value of $256,484,
Citigroup, Inc., 6.875%, due
02/15/98, with a value of
$10,985, Citizens
Communications, 7.00%, due
11/01/25, with a value of
$229,004, Citizens Property
Insurance, 6.70%, due
08/25/04, with a value of
$56,308, Eli Lilly &
Company, 7.125%, due
06/01/25, with a value of
$132,772, General Electric
Capital Corp., 6.75%, due
03/15/32, with a value of
$80,331, GlaxoSmithKline
Capital, Inc., 5.375%, due
04/15/34, with a value of
$60,885, John Hancock Global
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
REPURCHASE AGREEMENTS (CONTINUED)
Funding II, 1.66%, due
09/06/05, with a value of
$105,592, Johnson & Johnson,
6.95%, due 09/01/29, with a
value of $191,909, Morgan
Stanley Capital I, 0.55%,
due 12/15/31, with a value
of $47,039, Saturns-AIG,
1.539%, due 12/01/45, with a
value of $809,873, various
TIAA Global Markets,
3.875% -- 4.125%, due
11/15/07 to 01/22/08, with a
total value of $334,880,
Wal-Mart Stores, Inc.,
7.55%, due 02/15/30, with a
value of $707, and Wal-Mart
Canada, 5.58%, due 05/01/06,
with a value of
$28,205)(b)................. $ 5,399,155
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $12,574,922).......... 12,574,922
-------------
Total Investments -- 126.4%
(Cost $427,651,872)......... 489,253,437
Liabilities less other
assets -- (26.4)%........... (102,258,828)
-------------
NET ASSETS -- 100.0%.......... $ 386,994,609
=============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $427,651,872.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $66,531,774
Gross unrealized depreciation........... (4,930,209)
-----------
Net unrealized appreciation............. $61,601,565
===========
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
See notes to financial statements.
129
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES -- 91.8%
ADVERTISING -- 1.0%
$ 1,370,000 Advanstar Communications, Inc.,
10.75%, 08/15/10............. $ 1,522,413
875,000 Affinity Group, Inc. -- 144A,
9.00%, 02/15/12.............. 901,250
585,000 Vertis, Inc. -- 144A,
13.50%, 12/07/09............. 587,925
------------
3,011,588
------------
AEROSPACE AND DEFENSE -- 0.9%
270,000 Argo-Tech Corp. -- 144A,
9.25%, 06/01/11.............. 279,450
415,000 Armor Holdings, Inc.,
8.25%, 08/15/13.............. 446,125
450,000 Dunlop Standard Aerospace
Holdings PLC -- 144A,
11.88%, 05/15/09............. 480,375
1,280,000 Dunlop Standard Aerospace
Holdings PLC,
11.88%, 05/15/09............. 1,366,400
140,000 K&F Industries, Series B,
9.63%, 12/15/10.............. 154,175
------------
2,726,525
------------
AGRICULTURAL EQUIPMENT -- 0.3%
755,000 Case New Holland, Inc. -- 144A,
9.25%, 08/01/11.............. 796,525
------------
AIRLINES -- 3.1%
920,000 American Airlines, Inc.,
8.61%, 04/01/11.............. 837,249
1,500,000 American Airlines, Inc., Series
2001-2,
7.80%, 10/01/06.............. 1,372,408
295,000 American Airlines, Inc., Series
2001-2,
7.86%, 10/01/11.............. 293,652
1,505,000 AMR Corp.,
9.00%, 08/01/12.............. 1,196,475
125,000 Continental Airlines, Inc.,
8.00%, 12/15/05.............. 110,938
13,818 Continental Airlines, Inc.,
Series 1998-3,
7.08%, 11/01/04.............. 13,353
460,000 Continental Airlines, Inc.,
Series 1999-2,
7.43%, 09/15/04.............. 451,633
1,740,321 Continental Airlines, Inc.,
Series 2001-1,
7.03%, 06/15/11.............. 1,411,252
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
AIRLINES (CONTINUED)
$ 1,900,000 Delta Air Lines,
7.70%, 12/15/05.............. $ 1,282,500
500,000 Delta Air Lines,
7.90%, 12/15/09.............. 257,500
890,000 Delta Air Lines, Series 2000-1,
7.78%, 11/18/05.............. 571,897
146,097 Delta Air Lines, Series 2002-1,
7.78%, 01/02/12.............. 87,266
1,950,000 Northwest Airlines, Inc.,
9.88%, 03/15/07.............. 1,550,250
------------
9,436,373
------------
APPAREL: MANUFACTURING -- 2.6%
1,245,000 GFSI, Inc., Series B,
9.63%, 03/01/07.............. 1,201,425
920,000 J. Crew Operating Corp.,
10.38%, 10/15/07............. 938,400
1,325,000 Oxford Industries,
Inc. -- 144A,
8.88%, 06/01/11.............. 1,404,500
2,300,000 Perry Ellis International,
Inc., Series B,
8.88%, 09/15/13.............. 2,386,250
620,000 Phillips Van-Heusen Corp.,
8.13%, 05/01/13.............. 649,450
310,000 Phillips Van-Heusen Corp. --
144A,
7.25%, 02/15/11.............. 313,100
875,000 William Carter, Series B,
10.88%, 08/15/11............. 995,313
------------
7,888,438
------------
APPAREL: RETAIL -- 0.3%
790,000 Mothers Work, Inc.,
11.25%, 08/01/10............. 807,775
------------
AUTOMOBILE: RENTAL -- 0.7%
1,810,000 Williams Scotsman, Inc.,
9.88%, 06/01/07.............. 1,805,475
285,000 Williams Scotsman, Inc.,
10.00%, 08/15/08............. 312,075
------------
2,117,550
------------
AUTOMOTIVE EQUIPMENT -- 3.8%
2,175,000 Collins & Aikman Products
Company,
10.75%, 12/31/11............. 2,196,750
1,580,000 Collins & Aikman Products
Company, Series B,
9.75%, 02/15/10.............. 1,611,600
</Table>
See notes to financial statements.
130
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
AUTOMOTIVE EQUIPMENT (CONTINUED)
$ 1,620,000 Dana Corp.,
10.13%, 03/15/10............. $ 1,842,750
700,000 Dura Operating Corp., Series D,
9.00%, 05/01/09.............. 689,500
235,000 Keystone Automotive
Operations -- 144A,
9.75%, 11/01/13.............. 252,625
940,000 Metaldyne Corp.,
11.00%, 06/15/12............. 803,700
670,000 Metaldyne Corp. -- 144A,
10.00%, 11/01/13............. 659,950
365,000 Rexnord Corp.,
10.13%, 12/15/12............. 403,325
810,000 Tenneco Automotive,
Inc. -- 144A,
10.25%, 07/15/13............. 919,350
1,610,000 Tenneco Automotive, Inc.,
Series B,
11.63%, 10/15/09............. 1,738,800
354,000 TRW Automotive, Inc.,
11.00%, 02/15/13............. 419,490
------------
11,537,840
------------
BROADCAST SERVICES/MEDIA -- 6.4%
1,595,000 Adelphia Communications,
10.25%, 11/01/06(2).......... 1,587,025
305,000 Adelphia Communications, Series
B,
9.25%, 10/01/02(2)(5)........ 299,663
405,000 Cablevision Systems Corp. --
144A,
8.00%, 04/15/12.............. 400,950
810,000 Charter Communications Holdings
LLC,
10.00%, 04/01/09............. 680,400
425,000 Charter Communications Holdings
LLC,
10.75%, 10/01/09............. 359,125
1,975,000 Charter Communications Holdings
LLC,
10.25%, 01/15/10............. 1,639,250
1,980,000 Charter Communications Holdings
LLC,
zero coupon, 01/15/11(1)..... 1,460,250
1,495,000 Charter Communications Holdings
LLC,
10.00%, 05/15/11............. 1,192,263
2,595,000 Charter Communications
Operating Capital Corp.
LLC -- 144A,
8.38%, 04/30/14.............. 2,523,637
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
$ 2,175,000 CSC Holdings, Inc.,
10.50%, 05/15/16............. $ 2,452,312
3,470,000 Insight Communications Company,
Inc.,
zero coupon, 02/15/11(1)..... 3,140,349
570,000 LBI Media, Inc.,
zero coupon, 10/15/13(1)..... 405,413
100,000 Nexstar Financial Holdings LLC,
Inc.,
12.00%, 04/01/08............. 111,000
1,655,000 Nexstar Financial Holdings LLC,
Inc.,
zero coupon, 04/01/13(1)..... 1,191,600
360,000 Nextmedia Operating, Inc.,
10.75%, 07/01/11............. 403,650
430,000 ONO Finance PLC,
14.00%, 02/15/11............. 565,035
900,000 ONO Finance PLC, Series Eur,
14.00%, 02/15/11............. 1,046,250
190,000 Paxson Communications,
zero coupon, 01/15/09(1)..... 166,250
------------
19,624,422
------------
BUSINESS SERVICES AND SUPPLIES -- 0.6%
2,010,000 Quintiles Transnational Corp.,
10.00%, 10/01/13............. 1,999,950
------------
CHEMICALS -- 7.5%
260,000 Acetex Corp.,
10.88%, 08/01/09............. 286,000
1,275,000 Avecia Group PLC,
11.00%, 07/01/09............. 975,375
365,000 Crown Euro Holdings SA,
9.50%, 03/01/11.............. 399,675
1,990,000 Crown Euro Holdings SA,
10.88%, 03/01/13............. 2,278,550
655,000 Equistar Chemical/Funding,
10.63%, 05/01/11............. 730,325
720,000 Hercules, Inc.,
11.13%, 11/15/07............. 846,000
140,000 Huntsman Advanced Materials --
144A,
11.00%, 07/15/10............. 158,550
1,685,000 Huntsman LLC,
11.63%, 10/15/10............. 1,870,350
760,000 IMC Global, Inc.,
10.88%, 08/01/13............. 910,100
1,675,000 IMC Global, Inc., Series B,
11.25%, 06/01/11............. 1,938,813
</Table>
See notes to financial statements.
131
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
CHEMICALS (CONTINUED)
$ 85,000 Lyondell Chemical Company,
9.50%, 12/15/08.............. $ 89,038
695,000 Lyondell Chemical Company,
Series A,
9.63%, 05/01/07.............. 729,750
1,845,000 Lyondell Chemical Company,
Series B,
9.88%, 05/01/07.............. 1,937,250
2,408,000 Nalco Company -- 144A,
8.88%, 11/15/13.............. 2,534,419
2,100,000 OM Group Inc.,
9.25%, 12/15/11.............. 2,163,000
2,300,000 Rhodia SA -- 144A,
10.25%, 06/01/10............. 2,334,499
1,515,000 Rockwood Specialties Corp.,
10.63%, 05/15/11............. 1,621,050
1,455,000 UAP Holding Corp.,
zero coupon, 07/15/12(1)..... 1,169,820
------------
22,972,564
------------
COMPUTER SOFTWARE AND SERVICES -- 0.8%
610,000 Danka Business Systems,
11.00%, 06/15/10............. 637,450
443,000 Digitalnet, Inc.,
9.00%, 07/15/10.............. 475,118
1,230,000 Stratus Technologies,
Inc. -- 144A,
10.38%, 12/01/08............. 1,268,437
------------
2,381,005
------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.8%
1,800,000 Interface, Inc.,
10.38%, 02/01/10............. 2,016,000
170,000 Interface, Inc. -- 144A,
9.50%, 02/01/14.............. 170,000
325,000 Xerox Corp.,
9.75%, 01/15/09.............. 371,313
10,000 Xerox Corp.,
7.13%, 06/15/10.............. 10,250
------------
2,567,563
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.5%
1,085,000 Dayton Superior Corp.,
10.75%, 09/15/08............. 1,095,850
520,000 Owens Corning,
7.70%, 05/01/08(2)........... 236,600
560,000 Owens Corning,
7.50%, 08/01/18(2)........... 254,800
------------
1,587,250
------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
CONSUMER GOODS AND SERVICES -- 1.1%
$ 850,000 Amscan Holdings, Inc. -- 144A,
8.75%, 05/01/14.............. $ 839,375
625,000 Fedders North America -- 144A,
9.88%, 03/01/14.............. 575,000
440,000 Home Interiors & Gifts,
10.13%, 06/01/08............. 437,800
295,000 Jostens Holding Corp,
zero coupon, 12/01/13(1)..... 202,075
215,000 Mobile Mini, Inc.,
9.50%, 07/01/13.............. 236,500
525,000 North Atlantic Trading Company,
Inc. -- 144A,
9.25%, 03/01/12.............. 510,563
435,000 WH Holdings, Ltd./WH Capital
Corp. -- 144A,
9.50%, 04/01/11.............. 454,575
------------
3,255,888
------------
CONTAINERS AND PACKAGING -- 1.9%
320,000 Graham Packaging, Series B,
10.75%, 01/15/09............. 330,800
240,000 Hexcel Corp.,
9.88%, 10/01/08.............. 264,600
155,000 Hexcel Corp.,
9.75%, 01/15/09.............. 163,331
300,000 Kappa Beheer BV,
10.63%, 07/15/09............. 315,000
950,000 Pliant Corp.,
zero coupon, 06/15/09(1)..... 805,125
1,650,000 Pliant Corp.,
11.13%, 09/01/09............. 1,773,750
640,000 Smurfit-Stone Container Corp.,
8.25%, 10/01/12.............. 668,800
720,000 Solo Cup Company -- 144A,
8.50%, 02/15/14.............. 673,200
415,000 Tekni-Plex, Inc. -- 144A,
8.75%, 11/15/13.............. 398,400
60,000 Tekni-Plex, Inc., Series B,
12.75%, 06/15/10............. 57,900
355,000 US Can Corp,
10.88%, 07/15/10............. 365,650
------------
5,816,556
------------
DISTRIBUTION -- 0.2%
485,000 Jafra Cosmetics International,
10.75%, 05/15/11............. 543,200
------------
</Table>
See notes to financial statements.
132
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRONICS -- 0.4%
$ 775,000 Muzak LLC,
10.00%, 02/15/09............. $ 685,875
530,000 Muzak LLC,
9.88%, 03/15/09.............. 410,750
------------
1,096,625
------------
ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING
SERVICES -- 1.5%
455,000 Allied Waste North America
Industries, Inc., Series B,
9.25%, 09/01/12.............. 511,875
1,855,000 Synagro Technologies, Inc.,
9.50%, 04/01/09.............. 1,947,750
2,050,000 Waste Services, Inc. -- 144A,
9.50%, 04/15/14.............. 2,111,500
------------
4,571,125
------------
EQUIPMENT RENTAL AND LEASING -- 0.2%
730,000 Amerco,
9.00%, 03/15/09.............. 755,550
------------
FINANCIAL SERVICES -- 1.9%
925,000 Alamosa Delaware, Inc. -- 144A,
8.50%, 01/31/12.............. 911,125
2,000,000 BCP Caylux Holdings Luxembourg
S.C.A. -- 144A,
9.63%, 06/15/14.............. 2,082,500
850,000 E*TRADE Financial Corp. --
144A,
8.00%, 06/15/11.............. 850,000
1,920,000 Trump Holdings & Funding,
11.63%, 03/15/10............. 1,977,600
------------
5,821,225
------------
FOOD AND BEVERAGE -- 2.5%
1,130,000 American Seafood Group LLC,
10.13%, 04/15/10............. 1,356,000
590,000 Burns Philp Capital Pty, Ltd.,
9.50%, 11/15/10.............. 631,300
365,000 Merisant Company -- 144A,
9.50%, 07/15/13.............. 390,550
710,000 Michael Foods, Inc.,
8.00%, 11/15/13.............. 736,625
845,000 Pierre Foods, Inc. -- 144A,
9.88%, 07/15/12.............. 860,844
60,000 Pinnacle Foods Holding Corp. --
144A,
8.25%, 12/01/13.............. 58,200
1,235,000 Pinnacle Foods Holding Corp. --
144A,
8.25%, 12/01/13.............. 1,197,950
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
$ 1,000,000 Premier International Foods
PLC,
12.00%, 09/01/09............. $ 1,072,500
975,000 Stater Brothers Holdings,
Inc. -- 144A,
8.13%, 06/15/12.............. 983,531
395,000 United Agriculture Products --
144A,
8.25%, 12/15/11.............. 442,400
------------
7,729,900
------------
LEISURE AND RECREATION -- 7.4%
350,000 Ameristar Casinos, Inc.,
10.75%, 02/15/09............. 400,750
495,000 AMF Bowling Worldwide -- 144A,
10.00%, 03/01/10............. 509,850
285,000 Hockey Company,
11.25%, 04/15/09............. 340,575
215,000 Hollywood Casino Shreveport,
13.00%, 08/01/06(2).......... 173,075
2,025,000 Inn of the Mountain Gods --
144A,
12.00%, 11/15/10............. 2,257,874
1,685,000 Kabel Deutschland GMBH -- 144A,
10.63%, 07/01/14............. 1,739,763
1,890,000 Kerzner International,
8.88%, 08/15/11.............. 2,027,025
1,570,000 Majestic Star Casino LLC,
9.50%, 10/15/10.............. 1,585,700
335,000 MGM MIRAGE,
6.88%, 02/06/08.............. 356,775
1,030,000 OED Corp./Diamond JO -- 144A,
8.75%, 04/15/12.............. 1,011,975
960,000 Penn National Gaming, Inc.,
Series B,
11.13%, 03/01/08............. 1,060,800
120,000 Premier Entertainment Biloxi
LLC -- 144A,
10.75%, 02/01/12............. 126,600
1,805,000 Royal Caribbean Cruises, Ltd.,
8.75%, 02/02/11.............. 2,008,063
390,000 Royal Caribbean Cruises, Ltd.,
7.25%, 03/15/18.............. 378,300
730,000 Royal Caribbean Cruises, Ltd.,
7.50%, 10/15/27.............. 686,200
680,000 Seneca Gaming Corp. -- 144A,
7.25%, 05/01/12.............. 682,550
470,000 Six Flags, Inc.,
9.50%, 02/01/09.............. 485,275
</Table>
See notes to financial statements.
133
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
LEISURE AND RECREATION (CONTINUED)
$ 150,000 Six Flags, Inc.,
8.88%, 02/01/10.............. $ 149,250
640,000 Six Flags, Inc.,
9.75%, 04/15/13.............. 646,400
1,930,000 Six Flags, Inc. -- 144A,
9.63%, 06/01/14.............. 1,930,000
1,785,000 Venetian Casino Resort/Las
Vegas Sands,
11.00%, 06/15/10............. 2,070,600
1,948,000 Waterford Gaming LLC -- 144A,
8.63%, 09/15/12.............. 2,079,489
------------
22,706,889
------------
MACHINERY -- 1.7%
365,000 Erico International
Corp. -- 144A,
8.88%, 03/01/12.............. 374,125
725,000 Flowserve Corp.,
12.25%, 08/15/10............. 824,688
695,000 Ply Gem Industries
Inc. -- 144A,
9.00%, 02/15/12.............. 712,375
1,225,000 Terex Corp., Series B,
10.38%, 04/01/11............. 1,372,000
470,000 The Manitowoc Company, Inc.,
10.50%, 08/01/12............. 540,500
1,570,000 Thermadyne Holdings Corp.,
9.25%, 02/01/14.............. 1,558,225
------------
5,381,913
------------
MANUFACTURING -- 1.8%
455,000 Aearo Company I -- 144A,
8.25%, 04/15/12.............. 466,375
800,000 Amsted Industries,
Inc. -- 144A,
10.25%, 10/15/11............. 872,000
420,000 Avondale Mills, Inc.,
10.25%, 07/01/13............. 254,100
2,310,000 Dresser, Inc.,
9.38%, 04/15/11.............. 2,483,250
15,000 Koppers, Inc.,
9.88%, 10/15/13.............. 16,500
340,000 MAAX Corp. -- 144A,
9.75%, 06/15/12.............. 351,900
180,000 Rayovac Corp.,
8.50%, 10/01/13.............. 189,900
335,000 Reddy Ice Group, Inc.,
8.88%, 08/01/11.............. 355,100
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
MANUFACTURING (CONTINUED)
$ 405,000 Samsonite Corp. -- 144A,
8.88%, 06/01/11.............. $ 421,200
720,000 Venture Holdings Trust, Series
B,
9.50%, 07/01/05(2)........... 21,600
------------
5,431,925
------------
MEDICAL AND OTHER HEALTH SERVICES -- 3.0%
870,000 Ardent Health Services,
10.00%, 08/15/13............. 935,250
270,000 Concentra Operating Corp.,
9.50%, 08/15/10.............. 288,900
1,465,000 HEALTHSOUTH Corp.,
8.38%, 10/01/11.............. 1,424,713
405,000 HEALTHSOUTH Corp.,
7.63%, 06/01/12.............. 383,738
527,609 Magellan Health Services, Inc.,
Series A,
9.38%, 11/15/08.............. 568,499
455,000 National Nephrology
Association -- 144A,
9.00%, 11/01/11.............. 523,250
670,000 Pacificare Health Systems,
Inc.,
10.75%, 06/01/09............. 767,150
3,070,000 Tenet Healthcare Corp. -- 144A,
9.88%, 07/01/14.............. 3,139,074
1,100,000 Vanguard Health Systems,
9.75%, 08/01/11.............. 1,196,250
------------
9,226,824
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.7%
665,000 Inverness Medical Innovations,
Inc. -- 144A,
8.75%, 02/15/12.............. 683,288
565,000 Medical Device Manufacture,
Inc. -- 144A,
10.00%, 07/15/12............. 579,125
1,375,000 Medquest, Inc., Series B,
11.88%, 08/15/12............. 1,567,499
1,010,000 Norcross Safety Products LLC --
Series B,
9.88%, 08/15/11.............. 1,095,850
335,000 Rotech Healthcare, Inc.,
9.50%, 04/01/12.............. 359,288
885,000 VWR International,
Inc. -- 144A,
8.00%, 04/15/14.............. 911,550
------------
5,196,600
------------
</Table>
See notes to financial statements.
134
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
METALS AND MINING -- 1.1%
$ 2,075,000 Ispat Inland ULC -- 144A,
9.75%, 04/01/14.............. $ 2,147,625
635,000 Mueller Group, Inc. -- 144A,
10.00%, 05/01/12............. 663,575
750,000 Mueller Holdings Inc,
zero coupon, 04/15/14(1)..... 453,750
------------
3,264,950
------------
OIL AND GAS: PIPELINES -- 2.9%
365,000 ANR Pipeline Company,
8.88%, 03/15/10.............. 400,588
2,570,000 Dynegy Holdings, Inc.,
6.88%, 04/01/11.............. 2,226,262
195,000 Dynegy Holdings, Inc.,
8.75%, 02/15/12.............. 186,225
190,000 Dynegy Holdings, Inc.,
7.63%, 10/15/26.............. 148,200
2,915,000 Dynegy Holdings, Inc. -- 144A,
10.13%, 07/15/13............. 3,170,062
215,000 Gulfterra Energy
Partner -- 144A,
10.63%, 12/01/12............. 256,925
543,000 Gulfterra Energy Partner,
Series B,
8.50%, 06/01/10.............. 593,228
380,000 Northwest Pipeline Corp.,
8.13%, 03/01/10.............. 411,350
275,000 Southern Natural Gas Company,
8.88%, 03/15/10.............. 301,813
1,100,000 Transmontaigne, Inc.,
9.13%, 06/01/10.............. 1,138,500
------------
8,833,153
------------
OIL, COAL AND GAS -- 2.8%
785,000 Continental Resources,
10.25%, 08/01/08............. 814,438
425,000 Giant Industries, Inc.,
8.00%, 05/15/14.............. 427,125
1,855,000 Hanover Compressor Company,
zero coupon, 03/31/07(1)..... 1,474,724
355,000 Hanover Compressor Company,
8.63%, 12/15/10.............. 369,200
200,000 Parker Drilling Company,
9.63%, 10/01/13.............. 208,500
1,125,000 Petrobras International
Finance,
9.13%, 07/02/13.............. 1,146,094
1,701,700 Port Arthur Finance Corp.,
12.50%, 01/15/09............. 1,973,971
295,000 Premcor Refining Group,
7.75%, 02/01/12.............. 307,538
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$ 440,000 Ram Energy, Inc.,
11.50%, 02/15/08............. $ 420,200
1,295,000 Sesi LLC,
8.88%, 05/15/11.............. 1,401,838
------------
8,543,628
------------
PAPER AND FOREST PRODUCTS -- 2.6%
470,000 Abitibi-Consolidated,
Inc. -- 144A,
7.75%, 06/15/11.............. 471,644
735,000 Caraustar Industries, Inc.,
9.88%, 04/01/11.............. 735,000
1,185,000 Georgia-Pacific Corp.,
9.50%, 12/01/11.............. 1,398,300
1,385,000 Georgia-Pacific Corp.,
9.38%, 02/01/13.............. 1,592,750
525,000 Longview Fibre Company,
10.00%, 01/15/09............. 569,625
750,000 Newark Group, Inc. -- 144A,
9.75%, 03/15/14.............. 721,875
550,000 Tembec Industries, Inc.,
8.63%, 06/30/09.............. 559,625
2,000,000 Tembec Industries, Inc.,
8.50%, 02/01/11.............. 2,030,000
------------
8,078,819
------------
PHARMACEUTICALS -- 0.2%
775,000 Curative Health Services,
Inc. -- 144A,
10.75%, 05/01/11............. 747,875
------------
PRINTING AND PUBLISHING -- 4.3%
530,000 American Color Graphics,
10.00%, 06/15/10............. 475,675
3,130,000 American Media Operation,
Series B,
10.25%, 05/01/09............. 3,263,024
1,195,000 Canwest Media, Inc.,
10.63%, 05/15/11............. 1,345,869
245,000 Dex Media East LLC,
9.88%, 11/15/09.............. 276,238
2,080,000 Dex Media West Finance Company,
Series B,
9.88%, 08/15/13.............. 2,293,200
1,850,000 Houghton Mifflin Company,
8.25%, 02/01/11.............. 1,859,250
1,510,000 Houghton Mifflin Company,
9.88%, 02/01/13.............. 1,517,550
835,000 Liberty Group Operating,
9.38%, 02/01/08.............. 835,000
</Table>
See notes to financial statements.
135
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRINTING AND PUBLISHING (CONTINUED)
$ 101,310 Merrill Corp., Series A,
Variable Rate
12.00%, 05/01/09(3).......... $ 97,764
185,000 Merrill Corp., Series B,
Variable Rate,
12.00%, 05/01/09(3).......... 178,525
1,000,000 Primedia, Inc. -- 144A,
Floating Rate,
6.62%, 05/15/10(6)........... 1,018,750
------------
13,160,845
------------
REAL ESTATE DEVELOPMENT AND MANAGEMENT
SERVICES -- 0.4%
485,000 CB Richard Ellis Services,
Inc.,
9.75%, 05/15/10.............. 535,925
500,000 CB Richard Ellis Services,
Inc.,
11.25%, 06/15/11............. 572,500
------------
1,108,425
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
350,000 Felcor Lodging LP -- 144A,
Floating Rate,
5.84%, 06/01/11(4)........... 353,500
150,000 Host Marriott LP, Series I,
9.50%, 01/15/07.............. 164,625
310,000 Omega Healthcare Investors,
Inc. -- 144A,
7.00%, 04/01/14.............. 294,500
------------
812,625
------------
RETAIL -- 0.3%
340,000 Finlay Fine Jewelry
Corp. -- 144A,
8.38%, 06/01/12.............. 354,450
295,000 General Nutrition
Center -- 144A,
8.50%, 12/01/10.............. 307,538
125,000 Shopko Stores,
9.25%, 03/15/22.............. 118,125
------------
780,113
------------
SEMICONDUCTORS -- 1.6%
644,000 AMI Semiconductor, Inc.,
10.75%, 02/01/13............. 755,090
65,000 Amkor Technologies, Inc.,
9.25%, 02/15/08.............. 68,250
305,000 Amkor Technologies, Inc.,
10.50%, 05/01/09............. 321,775
1,850,000 Amkor Technologies, Inc.,
7.75%, 05/15/13.............. 1,762,125
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
SEMICONDUCTORS (CONTINUED)
$ 845,000 Chippac International, Ltd.,
Series B,
12.75%, 08/01/09............. $ 906,263
916,000 On Semiconductor Corp.,
13.00%, 05/15/08............. 1,055,690
------------
4,869,193
------------
SPECIAL PURPOSE ENTITY -- 4.8%
1,034,328 Caithness Coso Funding Corp.,
Series B,
9.05%, 12/15/09.............. 1,132,589
1,375,000 Chukchansi Economic Development
Authority -- 144A,
14.50%, 06/15/09............. 1,711,875
1,058,487 Hollinger
Participation -- 144A,
12.13%, 11/15/10............. 1,238,430
1,035,000 Interline Brands, Inc.,
11.50%, 05/15/11............. 1,148,850
1,350,000 MDP Acquisitions PLC,
9.63%, 10/01/12.............. 1,485,000
1,310,000 Milacron Escrow Corp. -- 144A,
11.50%, 05/15/11............. 1,310,000
650,000 New ASAT (Finance), Ltd. --
144A,
9.25%, 02/01/11.............. 646,750
1,525,000 PCA LLC/PCA Finance Corp.,
11.88%, 08/01/09............. 1,647,000
2,280,000 UGS Corp. -- 144A,
10.00%, 06/01/12............. 2,439,600
1,575,000 Universal City Development
Partners, Ltd.,
11.75%, 04/01/10............. 1,830,938
------------
14,591,032
------------
SPORTING GOODS AND EQUIPMENT -- 0.1%
185,000 True Temper Sports, Inc.,
8.38%, 09/15/11.............. 185,925
------------
SYNDICATED BANK LOANS -- 0.4%
973,615 IPCS, Term Loan,
6.75%, 06/30/08.............. 968,746
500,000 Mirant Corp.,
8.63%, 07/17/49(2)........... 269,063
------------
1,237,809
------------
</Table>
See notes to financial statements.
136
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 8.9%
$ 340,000 American Tower Corp.,
9.38%, 02/01/09.............. $ 364,650
2,400,000 Centennial Cellular/
Communications,
10.13%, 06/15/13............. 2,489,999
295,000 Centennial Communications,
10.75%, 12/15/08............. 306,800
440,000 Cincinnati Bell, Inc.,
8.38%, 01/15/14.............. 393,800
190,000 Crown Castle International
Corp.,
10.75%, 08/01/11............. 213,750
355,000 General Cable Corp.,
9.50%, 11/15/10.............. 383,400
385,000 Insight Midwest, L.P./Insight
Capital, Inc.,
10.50%, 11/01/10............. 421,575
1,000,000 IWO Holdings, Inc.,
14.00%, 01/15/11............. 465,000
2,620,000 LCI International, Inc.,
7.25%, 06/15/07.............. 2,384,199
919,278 Marconi Corp. PLC,
8.00%, 04/30/08.............. 995,458
450,000 Nextel Communications,
7.38%, 08/01/15.............. 456,750
875,000 Nextel Partners, Inc.,
12.50%, 11/15/09............. 1,023,750
2,300,000 Nortel Networks Corp.,
4.25%, 09/01/08.............. 2,185,000
2,025,000 Nortel Networks, Ltd.,
6.13%, 02/15/06.............. 2,045,250
1,315,000 NTL Cable PLC -- 144A,
8.75%, 04/15/14.............. 1,354,450
290,000 Qwest Capital Funding, Inc.,
7.00%, 08/03/09.............. 255,925
1,370,000 Qwest Capital Funding, Inc.,
7.90%, 08/15/10.............. 1,219,300
650,000 Qwest Capital Funding, Inc.,
7.75%, 02/15/31.............. 513,500
110,000 Qwest Corp.,
7.20%, 11/10/26.............. 95,150
2,025,000 Qwest Services Corp. -- 144A,
13.50%, 12/15/10............. 2,364,188
1,375,000 Qwest Services Corp. -- 144A,
14.00%, 12/15/14............. 1,646,563
60,000 SBA Telecommunications, Inc.,
zero coupon, 12/15/11(1)..... 44,700
450,000 Telemig Celular Participacoes
SA,
8.75%, 01/20/09.............. 411,750
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
$ 350,000 Telewest Communications PLC,
11.00%, 10/01/07(2).......... $ 207,375
1,165,000 Telewest Communications PLC,
9.25%, 04/15/09(2)........... 565,025
1,475,000 Ubiquitel Operating Company --
144A,
9.88%, 03/01/11.............. 1,482,375
670,000 US Unwired, Inc. -- 144A,
10.00%, 06/15/12............. 680,050
2,145,000 Western Wireless Corp.,
9.25%, 07/15/13.............. 2,220,075
------------
27,189,807
------------
TRANSPORTATION -- 0.5%
715,000 Horizon Lines LLC -- 144A,
9.00%, 11/01/12.............. 715,000
600,000 OMI Corp.,
7.63%, 12/01/13.............. 591,000
115,000 Petroleum Helicopters,
9.38%, 05/01/09.............. 121,325
245,000 Quality Distribution Capital --
144A,
9.00%, 11/15/10.............. 233,975
------------
1,661,300
------------
UTILITIES -- 0.8%
635,000 National Waterworks, Inc.,
Series B,
10.50%, 12/01/12............. 708,025
1,325,000 Orion Power Holdings, Inc.,
12.00%, 05/01/10............. 1,623,125
------------
2,331,150
------------
UTILITIES: ELECTRIC -- 5.2%
750,000 AES Corp.,
8.50%, 11/01/07.............. 772,500
553,000 AES Corp.,
9.38%, 09/15/10.............. 592,401
41,436 AES Corp. -- 144A,
10.00%, 07/15/05............. 42,576
700,000 AES Corp. -- 144A,
8.75%, 05/15/13.............. 753,375
310,000 AES Corp. -- 144A,
9.00%, 05/15/15.............. 333,638
507,235 AES Eastern Energy, Series
99-A,
9.00%, 01/02/17.............. 545,595
2,200,000 Calpine Corp.,
8.25%, 08/15/05.............. 2,079,000
</Table>
See notes to financial statements.
137
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES: ELECTRIC (CONTINUED)
$ 730,000 Calpine Corp.,
7.63%, 04/15/06.............. $ 646,050
530,000 Calpine Corp.,
10.50%, 05/15/06............. 479,650
125,000 Calpine Corp.,
8.75%, 07/15/07.............. 89,375
165,000 Calpine Corp.,
7.88%, 04/01/08.............. 108,075
1,340,000 Calpine Corp. -- 144A,
8.50%, 07/15/10.............. 1,115,550
1,130,000 Calpine Corp. -- 144A,
8.75%, 07/15/13.............. 932,250
540,000 Illinova Corp.,
7.50%, 06/15/09.............. 592,650
2,620,000 Mission Energy Holding Company,
13.50%, 07/15/08............. 2,944,224
750,000 Nevada Power Company,
9.00%, 08/15/13.............. 819,375
2,685,000 NRG Energy, Inc. -- 144A,
8.00%, 12/15/13.............. 2,725,274
255,000 Reliant Energy, Inc.,
9.25%, 07/15/10.............. 273,488
------------
15,845,046
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $272,793,705).......... 280,231,283
------------
<Caption>
SHARES
------
COMMON STOCKS -- 0.6%
COMPUTER SOFTWARE AND SERVICES -- 0.2%
23,950 DigitalNet Holdings, Inc.*..... 486,904
------------
OIL, COAL AND GAS -- 0.0%
6,905 Texas Petrochemicals, Inc.*.... 62,577
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.4%
3,737 Crown Castle International
Corp.*....................... 55,121
20,340 NTL, Inc.*..................... 1,171,990
------------
1,227,111
------------
TOTAL COMMON STOCKS (Cost
$1,514,008).................. 1,776,592
------------
</Table>
<Table>
<Caption>
SHARES VALUE
------ ------------
CONVERTIBLE PREFERRED STOCKS -- 0.8%
OIL AND GAS: PIPELINES -- 0.2%
11,465 Williams Companies,
Inc. -- 144A,
5.50%........................ $ 809,716
------------
OIL, COAL AND GAS -- 0.1%
2,400 Chesapeake Energy Corp.,
5.00%........................ 266,400
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.5%
33,235 Crown Castle International
Corp.,
6.25%........................ 1,503,883
------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $2,281,431)............ 2,579,999
------------
WARRANTS -- 0.1%
1,125 American Tower Corp.,
Expires 08/01/08*............ 214,312
1,000 IPCS, Inc. -- 144A,
Expires 07/15/10*............ --
1,000 IWO Holdings, Inc.,
Expires 01/15/11*............ --
84 New World Coffee,
Expires 6/20/06*............. 1
1,000 ONO Finance,
Expires 03/16/11*............ --
250 Ubiquitel, Inc. -- 144A,
Expires 04/15/10*............ --
------------
TOTAL WARRANTS (Cost
$75,402)..................... 214,313
------------
<Caption>
PRINCIPAL
---------
CONVERTIBLE BONDS -- 0.9%
BROADCAST SERVICES/MEDIA -- 0.6%
$ 1,715,000 Charter Communications Holdings
LLC,
5.75%, 10/15/05.............. 1,644,256
320,000 Sinclair Broadcasting Group,
4.88%, 07/15/18.............. 297,600
------------
1,941,856
------------
LEISURE AND RECREATION -- 0.2%
645,000 Kerzner International -- 144A,
2.38%, 04/15/24.............. 659,513
------------
OIL, COAL AND GAS -- 0.0%
29,000 Texas Petrochemicals LP,
7.25%, 04/30/09.............. 34,945
------------
</Table>
See notes to financial statements.
138
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CONVERTIBLE BONDS (CONTINUED)
SEMICONDUCTORS -- 0.1%
$ 190,000 Amkor Technologies, Inc.,
5.75%, 06/01/06.............. $ 186,200
------------
TOTAL CONVERTIBLE BONDS
(Cost $2,787,234)............ 2,822,514
------------
TOTAL SECURITIES (Cost
$279,451,780)................ 287,624,701
------------
REPURCHASE AGREEMENT -- 4.8%
14,583,578 With Morgan Stanley, dated
06/30/04, 0.48%, due
07/01/04, repurchase proceeds
at maturity $14,583,772
(Collateralized by Federal
Home Loan Bank, Series S223,
6.00%, due 02/14/23, with a
value of $14,876,890) (Cost
$14,583,578)................. 14,583,578
------------
Total Investments -- 99.0%
(Cost $294,035,358).......... 302,208,279
Assets less other
liabilities -- 1.0%.......... 3,014,506
------------
NET ASSETS -- 100.0%........... $305,222,785
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $294,035,358.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation........... $13,669,692
Gross unrealized depreciation........... (5,496,771)
-----------
Net unrealized appreciation............. $ 8,172,921
===========
</Table>
- ---------------
* Non-income producing security.
(1) Represents a zero coupon bond which will convert to an interest bearing
security at a later date.
(2) Bond is in default.
(3) Variable Rate Security. Interest rate based on the credit rating of the
issuer. The rate shown was in effect at June 30, 2004.
(4) The interest rate is subject to change semi-annually based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was effect at June 30,
2004.
(5) Security was in bankruptcy reorganization at the time of maturity. Recovery
will be determined at the conclusion of the bankruptcy proceedings.
(6) Quarterly reset provision. The rate shown was in effect at June 30, 2004.
See notes to financial statements.
139
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS -- 97.1%
AEROSPACE AND DEFENSE -- 3.0%
1,565,500 Bae Systems PLC...... $ 6,219,434 BRI
448,005 European Aeronautic
Defense and Space
Company............ 12,471,607 NET
8,900,491 Finmeccanica
SpA*(a)............ 7,071,485 ITA
2,156,850 Rolls-Royce Group
PLC................ 9,838,924 BRI
--------------
35,601,450
--------------
AIRLINES -- 0.4%
1,710,200 Qantas Airways,
Ltd. .............. 4,181,425 AUS
--------------
AUTOMOBILES/MOTOR VEHICLES -- 5.4%
226,300 DaimlerChrysler
AG(a).............. 10,651,941 GER
147,200 DaimlerChrysler AG... 6,877,372 GER
51,700 Honda Motor Company,
Ltd. .............. 2,487,805 JAP
822,160 Kia Motors Corp. .... 7,025,731 KOR
645,300 Nissan Motor Company,
Ltd. .............. 7,160,817 JAP
110,600 PSA Peugeot
Citroen*(a)........ 6,159,133 FRA
554,800 Toyota Motor
Corp. ............. 22,433,593 JAP
--------------
62,796,392
--------------
AUTOMOTIVE EQUIPMENT -- 1.6%
252,900 Aisin Seiki Company,
Ltd. .............. 5,263,447 JAP
127,500 Alpine Electronics,
Inc.(a)............ 1,716,952 JAP
10,200 Georg Fischer AG*.... 2,355,536 SWI
1,128,000 GKN PLC.............. 5,120,060 BRI
115,700 Valeo SA............. 4,821,448 FRA
--------------
19,277,443
--------------
BANKS -- 13.1%
522,700 ABN AMRO Holding
NV................. 11,434,724 NET
228,200 Banco Bilbao Vizcaya
Argentaria SA...... 3,048,607 SPA
709,400 Banco Comercial
Portugues, SA --
Class R............ 1,657,204 POR
240,100 Banco Santander
Central Hispano
SA................. 2,491,866 SPA
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
834,200 Bank of East Asia,
Ltd. .............. $ 2,385,201 HNG
985,000 Barclays PLC......... 8,384,192 BRI
142,500 BNP Paribas SA....... 8,764,346 FRA
157,600 Canadian Imperial
Bank of
Commerce(a)........ 7,651,739 CDA
158,600 Commonwealth Bank of
Australia.......... 3,589,129 AUS
116,400 Danske Bank A/S...... 2,758,316 DEN
19,400 Deutsche Bank AG..... 1,524,345 GER
246,300 Dexia................ 4,087,543 BEL
250,800 DNB NOR ASA(a)....... 1,708,162 NOR
176,500 EFG Eurobank
Ergasias........... 3,848,276 GRC
89,200 ForeningsSparbanken
AB................. 1,704,798 SWE
126,100 HBOS PLC............. 1,559,466 BRI
135,700 IKB Deutsche
Industriebank
AG(a).............. 3,203,060 GER
1,238,200 Joyo Bank, Ltd. ..... 5,493,797 JAP
77,400 Laurentian Bank of
Canada............. 1,619,008 CDA
1,636,000 Lloyds TSB Group
PLC................ 12,798,936 BRI
70,200 National Australia
Bank, Ltd.(a)...... 1,455,026 AUS
177,700 National Bank of
Canada(a).......... 5,689,999 CDA
1,154,000 Nordea Bank AB....... 8,309,045 SWE
234,700 SanPaolo IMI
SpA*(a)............ 2,827,039 ITA
125,100 Societe Generale*.... 10,631,811 FRA
517,700 Standard Chartered
PLC................ 8,423,890 BRI
1,143,000 Sumitomo Trust and
Banking Company,
Ltd. .............. 8,124,700 JAP
490,100 Suncorp-Metway,
Ltd. .............. 4,834,013 AUS
180,900 UBS AG............... 12,734,864 SWI
--------------
152,743,102
--------------
BROADCAST SERVICES/MEDIA -- 1.9%
883,200 Seven Network,
Ltd. .............. 3,159,374 AUS
673,741 Vivendi Universal
SA*................ 18,690,088 FRA
--------------
21,849,462
--------------
</Table>
See notes to financial statements.
140
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES AND SUPPLIES -- 1.0%
1,243,429 Capita Group PLC..... $ 7,176,102 BRI
1,914,700 Marubeni Corp. ...... 4,694,352 JAP
--------------
11,870,454
--------------
CHEMICALS -- 1.5%
45,100 Akzo Nobel NV........ 1,658,816 NET
318,300 Bayer AG............. 9,178,432 GER
52,300 K+S AG............... 1,776,008 GER
1,680,600 Mitsubishi Chemical
Corp. ............. 4,458,641 JAP
--------------
17,071,897
--------------
COMPUTER SOFTWARE AND SERVICES -- 1.7%
25,223 OBIC Company, Ltd. .. 5,364,877 JAP
337,985 Trend Micro, Inc. ... 14,965,213 JAP
--------------
20,330,090
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.4%
163,900 Creative Technology,
Ltd. .............. 1,722,658 SIN
203,900 Oce NV............... 3,299,533 NET
--------------
5,022,191
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 2.8%
353,700 Barratt Developments
PLC................ 3,778,131 BRI
211,200 Berkeley Group PLC... 4,735,843 BRI
159,300 Compagnie de Saint-
Gobain............. 7,940,818 FRA
644,700 George Wimpey PLC.... 4,310,645 BRI
43,500 Lafarge SA*.......... 3,879,509 FRA
2,189,400 Pilkington PLC....... 3,868,013 BRI
438,000 RMC Group PLC........ 4,817,492 BRI
--------------
33,330,451
--------------
CONSUMER GOODS AND SERVICES -- 2.5%
169,000 ADERANS Company,
Ltd. .............. 3,633,245 JAP
500,106 Imperial Tobacco
Group PLC.......... 10,765,562 BRI
1,423 Japan Tobacco,
Inc. .............. 11,039,283 JAP
184,000 Kao Corp. ........... 4,427,042 JAP
--------------
29,865,132
--------------
DIVERSIFIED SERVICES -- 0.3%
1,473,300 Citic Pacific,
Ltd. .............. 3,608,066 HNG
--------------
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 4.8%
56,100 Bang & Olufsen
A/S -- Class B..... $ 3,085,849 DEN
209,000 Hosiden Corp.(a)..... 2,558,247 JAP
102,660 LG Electronics,
Inc. .............. 4,870,795 KOR
470,000 Research In Motion,
Ltd.*(a)........... 32,166,800 CDA
17,100 Samsung Electronics
Company, Ltd. --
144A (GDR)*........ 3,529,512 KOR
684,901 Sumitomo Electric
Industries,
Ltd. .............. 6,973,697 JAP
810,100..... Toshiba Tec Corp. ... 3,675,872 JAP
--------------
56,860,772
--------------
ENGINEERING -- 0.7%
452,700 Altran Technologies
SA*................ 5,607,145 FRA
80,171 SNC-Lavalin Group,
Inc. .............. 2,925,295 CDA
--------------
8,532,440
--------------
ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING
SERVICES -- 0.3%
224,700 Pennon Group PLC..... 3,226,714 BRI
--------------
FINANCIAL SERVICES -- 3.7%
280,200 Alliance & Leicester
PLC................ 4,292,793 BRI
800,900 Bradford & Bingley
PLC................ 4,041,678 BRI
226,900 Hitachi Capital
Corp. ............. 4,213,768 JAP
155,500 Irish Life &
Permanent PLC...... 2,393,340 IRE
156,640 Muenchener
Rueckversicherungs-
Gesellschaft AG.... 16,981,025 GER
96,700 Promise Company,
Ltd. .............. 6,440,179 JAP
38,300 Sanyo Shinpan Finance
Company, Ltd. ..... 2,182,865 JAP
119,100 Sun Life Financial,
Inc.(a)............ 3,406,531 CDA
--------------
43,952,179
--------------
</Table>
See notes to financial statements.
141
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE -- 4.3%
464,700 Asahi Breweries,
Ltd. .............. $ 5,114,208 JAP
146,800 Coca-Cola West Japan
Company, Ltd. ..... 3,626,018 JAP
429,200 Fraser and Neave,
Ltd. .............. 3,489,228 SIN
345,300 Geest PLC............ 3,566,397 BRI
155,200 Groupe Danone*....... 13,539,244 FRA
241,862 Koninklijke Numico
NV*................ 7,771,763 NET
1,151,800 Northern Foods PLC... 3,527,134 BRI
64,500 Pernod Ricard SA..... 8,247,948 FRA
106,400 Wolverhampton &
Dudley Breweries
PLC................ 1,671,548 BRI
--------------
50,553,488
--------------
INSURANCE -- 5.9%
999,300 Aioi Insurance
Company, Ltd. ..... 4,415,533 JAP
147,000 Allianz AG........... 15,923,451 GER
989,700 Aviva PLC............ 10,204,084 BRI
449,890 Axa*................. 9,907,599 FRA
516,700 Britannic Group PLC.. 3,457,141 BRI
105,800 CNP Assurances....... 6,138,984 FRA
1,939,300 Friends Provident
PLC................ 5,156,812 BRI
212,400 ING Groep NV......... 5,013,485 NET
358,800 Pohjola Group PLC --
Class D............ 3,693,230 FIN
31,400 Zurich Financial
Services AG*....... 4,953,215 SWI
--------------
68,863,534
--------------
INTERNET SERVICES -- 0.4%
58,621 Freenet.de AG*(a).... 5,028,354 GER
--------------
LEISURE AND RECREATION -- 1.7%
132,028 Club Mediterranee
SA*................ 6,221,528 FRA
130,500 NAMCO, Ltd. ......... 3,653,188 JAP
107,192 Rodriguez Group...... 5,608,082 FRA
227,400 TUI AG(a)............ 4,343,838 GER
--------------
19,826,636
--------------
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
MACHINERY -- 1.5%
148,400 MAN AG............... $ 5,413,137 GER
15,900 Rieter Holding AG.... 4,210,913 SWI
82,500 Saurer AG*........... 4,215,160 SWI
162,400 Stork NV............. 3,793,768 NET
--------------
17,632,978
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.3%
237,430 Essilor International
SA CIE Generale
D'Optique.......... 15,498,470 FRA
--------------
METALS AND MINING -- 1.2%
1,060,900 BlueScope Steel,
Ltd. .............. 4,966,714 AUS
308,300 Sims Group, Ltd. .... 2,454,104 AUS
359,600 ThyssenKrupp AG...... 6,129,729 GER
--------------
13,550,547
--------------
OIL, COAL AND GAS -- 8.9%
1,227,000 BP PLC............... 10,827,588 BRI
144,000 CNOOC, Ltd.
(ADR)(a)........... 6,156,000 HNG
2,182,200 Cosmo Oil Company,
Ltd. .............. 6,308,437 JAP
559,200 Eni SpA*(a).......... 11,103,779 ITA
83,300 Fording Canadian Coal
Trust.............. 3,501,590 CDA
175,900 Hellenic Petroleum
SA................. 1,468,160 GRC
287,100 Husky Energy,
Inc.(a)............ 5,483,740 CDA
45,100 LUKOIL (ADR)......... 4,744,520 SUR
9,400 OMV AG............... 1,830,031 AST
272,500 Repsol YPF SA*(a).... 5,967,914 SPA
2,189,200 Shell Transport &
Trading Company
PLC................ 16,045,829 BRI
722,700 Snam Rete Gas SpA.... 3,103,961 ITA
134,523 Total SA -- Class
B.................. 25,647,737 FRA
55,700 YUKOS (ADR).......... 1,771,260 SUR
--------------
103,960,546
--------------
PAPER AND FOREST PRODUCTS -- 0.6%
231,000 Billerud............. 3,771,054 SWE
301,800 Nexfor, Inc. ........ 3,411,515 CDA
--------------
7,182,569
--------------
</Table>
See notes to financial statements.
142
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS -- 5.2%
208,900 Dainippon
Pharmaceutical
Company, Ltd. ..... $ 1,719,971 JAP
1,321,363 Elan Corp. PLC
(ADR)*(a).......... 32,690,521 IRE
160,800 GlaxoSmithKline PLC.. 3,251,685 BRI
140,330 Roche Holding AG
(ADR)*............. 13,880,759 SWI
218,200 Santen Pharmaceutical
Company, Ltd. ..... 3,405,445 JAP
280,700 Taisho Pharmaceutical
Company, Ltd. ..... 6,214,381 JAP
--------------
61,162,762
--------------
PRINTING AND PUBLISHING -- 0.5%
1,772,900 C.I.R. SpA........... 3,731,761 ITA
88,300 Quebecor World,
Inc. .............. 1,933,145 CDA
--------------
5,664,906
--------------
REAL ESTATE DEVELOPMENT AND MANAGEMENT
SERVICES -- 0.6%
72,365 Unibail.............. 7,483,952 FRA
--------------
RETAIL -- 7.0%
1,246,400 Big Food Group PLC... 2,326,231 BRI
4,936,033 Carphone Warehouse
PLC................ 13,237,256 BRI
4,709,800 Dixons Group PLC..... 14,102,694 BRI
597,701 GUS PLC.............. 9,157,054 BRI
168,300 Hudson's Bay
Company(a)......... 1,752,055 CDA
1,246,700 J Sainsbury PLC...... 6,432,561 BRI
590,900 JJB Sports PLC....... 2,848,091 BRI
817,975 Kesa Electricals
PLC................ 4,287,179 BRI
1,130,019 Kingfisher PLC....... 5,861,239 BRI
122,439 Pinault-Printemps-
Redoute SA*........ 12,580,646 FRA
285,550 Swatch Group AG*..... 7,607,985 SWI
10,300 Valora Holding AG.... 2,370,413 SWI
--------------
82,563,404
--------------
RUBBER PRODUCTS -- 0.6%
393,000 Bridgestone Corp. ... 7,370,323 JAP
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 7.7%
1,562,480 Alcatel SA*.......... 24,105,559 FRA
582,000 BT Group PLC......... 2,093,349 BRI
</Table>
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
(CONTINUED)
159,600 Elcoteq Network
Corp. -- Class A... $ 3,108,907 FIN
2,100 Nippon Telegraph and
Telephone Corp. ... 11,200,256 JAP
678,955 Societe Europeenne
des Satellites
(FDR).............. 5,741,288 LUX
20,800 Swisscom AG*(a)...... 6,869,177 SWI
533,538 Tandberg ASA(a)...... 5,627,471 NOR
599,356 Telefonaktiebolaget
LM Ericsson
(ADR)*(a).......... 17,932,732 SWE
684,200 Telefonica SA........ 10,114,464 SPA
1,636,733 Vodafone Group PLC... 3,581,155 BRI
--------------
90,374,358
--------------
TOYS -- 1.7%
169,854 Nintendo Company,
Ltd. .............. 19,656,510 JAP
--------------
TRANSPORTATION -- 0.5%
134,000 Canadian National
Railway Company.... 5,763,527 CDA
--------------
UTILITIES -- 0.4%
548,800 United Utilities
PLC................ 5,156,097 BRI
--------------
UTILITIES: ELECTRIC -- 1.7%
78,200 Chubu Electric Power
Company, Inc. ..... 1,648,989 JAP
309,200 Endesa, SA(a)........ 5,959,066 SPA
256,700 Fortum Oyj........... 3,279,432 FIN
245,100 Shikoku Electric
Power Company,
Inc. .............. 4,311,841 JAP
239,900 Union Fenosa SA*(a).. 5,116,767 SPA
--------------
20,316,095
--------------
UTILITIES: GAS -- 0.3%
954,800 Toho Gas Company,
Ltd. .............. 3,231,873 JAP
--------------
TOTAL COMMON STOCKS
(Cost
$1,070,750,065).... 1,140,960,589
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 12.0%
$141,279,233 Securities Lending
Collateral
Investment (Note 4)
(Cost
$141,279,233)...... 141,279,233 USA
--------------
</Table>
See notes to financial statements.
143
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
RIGHTS -- 0.0%
AUTOMOTIVE EQUIPMENT
390,900 TI Automotive,
Ltd. -- Class A,
zero coupon,* (Cost
$0)................ $ -- BRI
--------------
TOTAL SECURITIES
(Cost
$1,212,029,298).... 1,282,239,822
--------------
<Caption>
PRINCIPAL
---------
REPURCHASE AGREEMENTS -- 3.1%
$ 28,154,238 With Investors Bank
and Trust, dated
06/30/04, 0.48%,
due 07/01/04,
repurchase proceeds
at maturity
$28,154,614
(Collateralized by
Fannie Mae
Adjustable Rate
Mortgage, 5.151%,
due 11/01/32, with
a value of
$24,732,813, and
Freddie Mac
Adjustable Rate
Mortgage, 3.43%,
due 05/01/28, with
a value of
$4,829,377)........ 28,154,238 USA
7,742,402 With Morgan Stanley,
dated 06/30/04,
1.58%, due
07/01/04,
repurchase proceeds
at maturity
$7,742,742
(Collateralized by
various AIG
SunAmerica Global
Finance, 5.85% --
7.60%, due 06/15/05
to 03/15/32, with a
total value of
$1,113,101,
Allstate Financial
Global
</Table>
<Table>
<Caption>
PRINCIPAL VALUE COUNTRY
--------- -------------- -------
REPURCHASE AGREEMENTS (CONTINUED)
Funding, 1.675%,
due 12/20/05, with
a value of $77,543,
American General
Corp., 7.50%, due
07/15/25, with a
value of $4,458,
various ASIF Global
Finance XIX-XXIII,
1.44% -- 4.90%, due
05/30/06 to
01/17/13, with a
total value of
$3,348,575,
Berkshire Hathaway,
Inc., 4.625%, due
10/15/13, with a
value of
$367,799,
Citigroup, Inc.,
6.875%, due
02/15/98, with a
value of $15,753,
Citizens
Communications,
7.00%, due
11/01/25, with a
value of $328,392,
Citizens Property
Insurance, 6.70%,
due 08/25/04, with
a value of $80,746,
Eli Lilly &
Company, 7.125%,
due 06/01/25, with
a value of
$190,396, General
Electric Capital
Corp., 6.75%, due
03/15/32, with a
value of $115,195,
GlaxoSmithKline
Capital, Inc.,
5.375%, due
04/15/34, with a
value of $87,309,
John Hancock Global
</Table>
See notes to financial statements.
144
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE COUNTRY
--------- -------------- -------
REPURCHASE AGREEMENTS (CONTINUED)
Funding II, 1.66%,
due 09/06/05, with
a value of
$151,419, Johnson &
Johnson, 6.95%, due
09/01/29, with a
value of $275,198,
Morgan Stanley
Capital I, 0.55%,
due 12/15/31, with
a value of $67,454,
Saturns-AIG,
1.539%, due
12/01/45, with a
value of
$1,161,360, various
TIAA Global
Markets, 3.875% --
4.125%, due
11/15/07 to
01/22/08, with a
total value of
$480,219, Wal-Mart
Stores, 7.55%, due
02/15/30, with a
value of $1,014,
and Wal-Mart
Canada, 5.58%, due
05/01/06, with a
value of
$40,446)(b)........ $ 7,742,402 USA
--------------
TOTAL REPURCHASE
AGREEMENTS
(Cost
$35,896,640)....... 35,896,640
--------------
Total Investments --
112.2%
(Cost
$1,247,925,938).... 1,318,136,462
Liabilities less
other
assets -- (12.2)%... (143,301,517)
--------------
NET ASSETS --100.0%.. $1,174,834,945
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2004 is $1,247,925,938.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation......... $ 88,300,214
Gross unrealized depreciation......... (18,089,690)
------------
Net unrealized appreciation........... $ 70,210,524
============
</Table>
- ---------------
* Non-income producing security.
(a) All or part of this security is on loan.
(b) Short term security purchased with cash collateral received for
securities loaned.
(ADR) American Depositary Receipt.
(FDR) Foreign Depositary Receipt.
(GDR) Global Depositary Receipt.
See notes to financial statements.
145
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
PERCENT OF TOTAL
COUNTRY COMPOSITION INVESTMENTS AT VALUE
------------------- --------------------
Austria (AST)........................ 0.14%
Australia (AUS)...................... 1.87
Belgium (BEL)........................ 0.31
Canada (CDA)......................... 5.71
Denmark (DEN)........................ 0.44
Finland (FIN)........................ 0.77
France (FRA)......................... 15.28
Germany (GER)........................ 6.60
Great Britain (BRI).................. 17.46
Greece (GRC)......................... 0.40
Hong Kong (HNG)...................... 0.92
Ireland (IRE)........................ 2.66
Italy (ITA).......................... 2.11
Japan (JPN).......................... 15.87
Korea (KOR).......................... 1.17
Luxembourg (LUX)..................... 0.44
Netherlands (NET).................... 3.45
Norway (NOR)......................... 0.56
Portugal (POR)....................... 0.13
Singapore (SIN)...................... 0.40
Spain (SPA).......................... 2.48
Russia (SUR)......................... 0.49
Sweden (SWE)......................... 2.41
Switzerland (SWI).................... 4.49
United States (USA).................. 13.44
------
TOTAL PERCENTAGE..................... 100.00%
======
</Table>
See notes to financial statements.
146
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. Futures and option contracts that are traded on
commodities or securities exchanges are normally valued at the last settlement
price on the exchange on which they are traded. All other securities, futures,
and option contracts, if necessary, will be valued at their fair value as
determined by the Board of Trustees.
Events or circumstances affecting the values of portfolio securities that occur
between the closing of their principal markets and the time the net asset value
is determined may be reflected in the Trust's calculation of net asset value for
each applicable Portfolio when the Trust's Manager deems that the particular
event or circumstance would materially affect such Portfolio's net asset value.
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
147
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 foreign withholding taxes
payable 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.
148
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Transactions in options written for the period ended June 30, 2004 were as
follows:
<Table>
<Caption>
CORE BOND BALANCED
------------------------- ----------------------
NUMBER OF NUMBER OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
----------- ----------- ---------- ---------
Options outstanding at December 31, 2003....... 9,625,278 $ 444,723 1,050,030 $ 48,164
Options written................................ 11,600,618 867,273 1,200,062 85,045
Options terminated in closing purchase
transactions................................. (21,225,834) (1,164,073) (2,250,090) (128,465)
Options expired................................ -- -- -- --
----------- ----------- ---------- ---------
Options outstanding at June 30, 2004........... 62 $ 147,923 2 $ 4,744
=========== =========== ========== =========
</Table>
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. These contracts may involve market risk in excess of the unrealized
gains or loss reflected in the Series' Statement of Assets and Liabilities.
149
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Open futures contracts as of June 30, 2004:
<Table>
<Caption>
NUMBER OF COST AT VALUE AS OF
SERIES CONTRACTS DESCRIPTION EXPIRATION DATE TRADE DATE JUNE 30, 2004
- ------ ---------- -------------------------------- --------------- ------------ -------------
Core Bond............ 286 Long US Long Bond Future September 2004 $ 29,949,106 $ 30,423,250
782 Long US Treasury Notes 10 Year Future September 2004 84,875,432 85,494,594
78 Long 90 Day Euro Dollar Future September 2005 18,738,949 18,778,500
78 Long 90 Day Euro Dollar Future December 2005 18,682,399 18,721,950
78 Long 90 Day Euro Dollar Future March 2006 18,640,859 18,680,025
78 Long 90 Day Euro Dollar Future June 2006 18,604,784 18,643,950
1337 Short US Treasury Notes 5 Year Future September 2004 143,971,943 145,315,188
Balanced............. 70 Long US Long Bond Future September 2004 $ 7,314,628 $ 7,446,250
64 Long US Treasury Notes 10 Year Future September 2004 6,948,838 6,997,000
7 Long 90 Day Euro Dollar Future September 2005 1,681,701 1,685,250
7 Long 90 Day Euro Dollar Future December 2005 1,676,626 1,680,175
7 Long 90 Day Euro Dollar Future March 2006 1,672,898 1,676,413
7 Long 90 Day Euro Dollar Future June 2006 1,669,660 1,673,175
164 Short US Treasury Notes 5 Year Future September 2004 17,699,748 17,824,750
Growth & Income...... 36 Long S&P 500 Future September 2004 $ 2,029,697 $ 2,052,900
Special Equity....... 14 Long Russell 2000 Future September 2004 $ 3,963,120 $ 4,146,450
<Caption>
UNREALIZED
APPRECIATION
SERIES (DEPRECIATION)
- ------ --------------
Core Bond............ $ 474,144
619,162
39,551
39,551
39,166
39,166
(1,343,245)
-----------
$ (92,505)
===========
Balanced............. $ 131,622
48,162
3,549
3,549
3,515
3,515
(125,002)
-----------
$ 68,910
===========
Growth & Income...... $ 23,203
===========
Special Equity....... $ 183,330
===========
</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 Investment Company Act of 1940, as amended (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, 2004, Core Bond Series and the
Balanced Series had short sales.
H. DOLLAR ROLLS:
Each Series, with the exception of the Money Market Series, may enter into
dollar rolls (principally using TBA's) in which the Series sell mortgage
securities for delivery in the current month and simultaneously contract to
repurchase similar, but not identical, securities at an agreed-upon price on a
fixed date. The Series account for such dollar rolls as purchases and sales and
receive compensation as consideration for entering into the commitment to
repurchase. The Series must maintain liquid securities having a value not less
than the
150
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
repurchase price (including accrued interest) for such dollar rolls. The market
value of the securities that the Series are required to purchase may decline
below the agreed upon repurchase price of those securities.
I. 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.
J. 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.
K. 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 their relative net assets, or another methodology that
is appropriate based on the circumstances.
L. 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.
151
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES
Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), 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, a financial services holding company whose
primary emphasis is life and health insurance and annuity and investment
products. AEGON is an indirect, wholly-owned subsidiary of AEGON N.V., a
Netherlands corporation which is a publicly traded international insurance
group. TFLIC has sub-accounts which invest in the corresponding Series
Portfolios as follows:
<Table>
<Caption>
TFLIC SUB-ACCOUNT INVESTMENT IN PORTFOLIO
- ----------------- -----------------------
Money Market................................................ 10.31%
High Quality Bond........................................... 16.02
Intermediate Government Bond................................ 23.69
Core Bond................................................... 12.27
Balanced.................................................... 35.95
Value & Income.............................................. 27.66
Growth & Income............................................. 27.16
Equity Growth............................................... 21.98
Mid-Cap Value............................................... 03.24
Mid-Cap Growth.............................................. 00.19
Small-Cap Value............................................. 00.01
Special Equity.............................................. 26.69
Small-Cap Growth............................................ 00.00
Aggressive Equity........................................... 24.41
High Yield Bond............................................. 09.09
International Equity........................................ 14.41
</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 each 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.
152
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
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 portion of the corresponding
Series' average daily net assets which they subadvise.
<Table>
<Caption>
ADVISOR SUBADVISOR
PORTFOLIO SERIES PORTFOLIO SUBADVISOR FEE (%) FEE (%)
- ---------------- ---------------------------------- ------- ----------
Money Market Series..................... GE Asset Management* 0.25 0.05
High Quality Bond Series................ Merganser Capital Management
Limited Partnership 0.35 (2)
Intermediate Government Bond Series..... (3) 0.35(1) (4)
Core Bond Series........................ BlackRock Advisors, Inc. 0.35 (5)
Balanced Series......................... (6) 0.45(1) (7)
Value & Income Series................... (8) 0.45 (9)
Growth & Income Series.................. (10) 0.60 (11)
Equity Growth Series.................... (12) 0.62 (13)
Mid-Cap Value Series.................... Cramer, Rosenthal, McGlynn, LLC 0.67(1) (14)
Mid-Cap Growth Series................... Dresdner RCM Global Investors, LLC 0.72(1) (15)
Small-Cap Value Series.................. Sterling Capital Management, LLC 0.82(1) 0.50
Special Equity Series................... (16) 0.80 (17)
Small-Cap Growth Series................. Delaware Management Company 0.87(1) 0.50
Aggressive Equity Series................ McKinley Capital Management, Inc. 0.97(1) (18)
High-Yield Bond Series.................. Eaton Vance Management 0.55(1) (19)
International Equity Series............. (20) 0.75 (21)
</Table>
- ---------------
* Effective June 18, 2004, GE Asset Management replaced Capital Management
Group.
(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 Intermediate Government Bond Series has two subadvisors: Allegiance
Investment Management, LLC and Stephens Capital Management.
During the period ended June 30, 2004, the Intermediate Government Bond
Series executed $350,000 of purchase transactions and $1,650,000 of sales
transactions through Stephen's Inc., an affiliate of the Portfolio's
subadvisor. Commissions paid for such transactions amounted to $625.
(4) Allegiance Investment Management, LLC received 0.35% on the first
$20,000,000 in average daily net assets, 0.25% on the next $30,000,000 in
average daily net assets, 0.20% on the next $50,000,000 in average daily
net assets and 0.05% on all average daily net assets in excess of
$100,000,000. Stephens Capital Management received 0.10% on all average
daily net assets.
(5) 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.
(6) The Balanced Series has two subadvisors: Aeltus Investment Management, Inc.
and BlackRock Advisors, Inc. for equity and fixed income securities,
respectively.
(7) 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
153
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
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.
(8) The Value & Income Series has two subadvisors: Alliance Capital Management
LP and AllianceBernstein.
During the period ended June 30, 2004, the Value & Income Series executed
$8,331,050 of purchase transactions and $8,778,880 of sales transactions
through AllianceBernstein, an affiliate of Alliance Capital Management LP
and AllianceBernstein. Commissions paid for such transactions amounted to
$769,867.
(9) Alliance Capital Management LP received 0.27% on the 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.
AllianceBernstein 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.
(10) The Growth & Income Series has three subadvisors: Effective May 4, 2004,
Ark Asset Management, Inc., Goldman Sachs Asset Management, L.P. and
Aronson & Johnson & Ortiz, L.P. replaced Aeltus Investment Management, Inc.
and Credit Suisse Asset Management.
During the period ended June 30, 2004, the Growth & Income Series executed
$668,800 of purchase transactions and $578,000 of sales transactions
through Goldman Sachs Company, an affiliate of Goldman Sachs Asset
Management, L.P. Commissions paid for such transactions amounted to
$30,232.
(11) For the period January 1, 2004 to May 4, 2004, 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. For the
period January 1, 2004 to May 4, 2004, 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. For the period May 5, 2004 to June 30,
2004, Ark Asset Management, Inc. received 0.20% on the first $750,000,000
in average daily net assets, 0.18% on the next $250,000,000 in average
daily net assets and 0.15% on all average daily net assets in excess of
$1,000,000,000. For the period May 5, 2004 to June 30, 2004, Goldman Sachs
Asset Management, L.P. received 0.20% on the first $750,000,000 in average
daily net assets, 0.18% on the next $250,000,000 in average daily net
assets and 0.15% on all average daily net assets in excess of
$1,000,000,000. For the period May 5, 2004 to June 30, 2004, Aronson &
Johnson & Ortiz, L.P. received 0.30% on the first $250,000,000 in average
daily net assets, 0.20% on the next $250,000,000 in average daily net
assets and 0.15% on all average daily net assets in excess of $500,000,000.
If assets are less than $100,000,000, then Aronson & Johnson & Ortiz, L. P.
will receive 0.55% on the first $50,000,000 in average daily net assets and
0.35% on all average daily net assets in excess of $50,000,000.
(12) The Equity Growth Series has three subadvisors, Ark Asset Management
Company, Inc., Marsico Capital Management LLC, and Dresdner RCM Global
Investors LLC.
During the period ended June 30, 2004, the Equity Growth Series executed
$48,300 of purchase transactions and $45,000 of sales transactions through
Bank of America International, an affiliate of the Portfolio's subadvisor.
Commissions paid for such transactions amounted to $3,895.
(13) Dresdner RCM Global Investors, LLC. 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 LLC received 0.30% on
the
154
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
first $1,000,000,000 in average daily net assets and 0.25% on all average
daily net assets in excess of $1,000,000,000. If assets are greater than
$2,000,000,000, then Marsico Capital Management LLC will receive 0.27% on
all average daily net assets.
(14) 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.
(15) 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.
(16) The Special Equity Series has five subadvisors: Wellington Management
Company LLP, Westport Asset Management, Inc., Robertson, Stephens, Seneca
Capital Management, LLC and INVESCO, Inc.
(17) Wellington Management Company LLP received 0.45% on the first $200,000,000
of average daily net assets, and 0.375% on average daily net assets in
excess of $200,000,000. 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. Seneca Capital Management, LLC 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.
(18) 0.45% on the first $100,000,000 in average daily net assets, 0.35% on the
next $200,000,000 in average daily net assets and 0.25% on all average
daily net assets in excess of $300,000,000.
(19) 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.
(20) The International Equity Series has two subadvisors: LSV Asset Management
and Wellington Management Company LLP. Effective March 18, 2004, LSV Asset
Management and Wellington Management Company LLP replaced Capital Guardian
Trust Company.
(21) For the period January 1, 2004 to March 17, 2004, Capital Guardian Trust
Company received 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. The following fee
discount was applied on the total eligible equity, convertible and balanced
assets managed: Assets between $500,000,000 and $750,000,000 have a 5% fee
reduction; assets between $750,000,000 and $1,000,000,000 have a 7.5% fee
reduction and assets above $1,000,000,000 have a 10% fee reduction. For the
period March 18, 2004 to June 30, 2004, LSV Asset Management received 0.45%
on the first $100,000,000 in average daily net assets, 0.40% on the next
$100,000,000 in average daily net assets, 0.37% on the next $400,000,000 in
average daily net assets, 0.35% on the next $200,000,000 in average daily
net assets and 0.33% on all average daily net assets in excess of
$800,000,000. For the period March 18, 2004 to June 30, 2004, Wellington
Management Company LLP received 0.375% on the first $400,000,000 in average
daily net assets, 0.35% on the next $600,000,000 in average daily net
assets and 0.325% on all average daily net assets in excess of
$1,000,000,000.
155
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For the period ended June 30, 2004, the Advisor has voluntarily undertaken to
waive fees to the extent the expenses of a Series exceed 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 the funds that
invest in the Series Portfolio are also directors, officers or employees of the
Advisor or its affiliates. None of the non-independent trustees so affiliated
receive compensation for services as trustees of the Series Portfolio or the
funds that invest in 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, 2004 amounted to $20,819.
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.
156
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. SECURITIES LENDING (CONTINUED)
Each 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, 2004, the Series loaned securities having
market values as follows:
<Table>
<Caption>
CASH COLLATERAL
MARKET VALUE RECEIVED
------------ ---------------
High Quality Bond Series................................... $ 24,443,316 $ 24,997,500
Intermediate Government Bond Series........................ 44,578,846 45,646,702
Core Bond Series........................................... 152,975,138 156,127,635
Balanced Series............................................ 20,014,583 20,635,702
Value & Income Series...................................... 107,928,623 111,318,106
Growth & Income Series..................................... 66,409,169 68,700,182
Equity Growth Series....................................... 75,160,962 77,777,988
Mid-Cap Value Series....................................... 22,453,235 23,156,725
Mid-Cap Growth Series...................................... 27,405,622 28,391,591
Small-Cap Value Series..................................... 17,490,374 18,382,475
Special Equity Series...................................... 142,768,248 149,341,341
Small-Cap Growth Series.................................... 21,484,225 22,389,826
Aggressive Equity Series................................... 100,802,190 103,920,054
International Equity Series................................ 141,385,699 149,021,635
</Table>
157
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. SECURITIES LENDING (CONTINUED)
Each Series has invested a portion of the cash collateral received from
securities loaned in the following short term securities:
<Table>
<Caption>
INTERMEDIATE
HIGH QUALITY GOVERNMENT VALUE & GROWTH &
DESCRIPTION OF SECURITY BOND BOND CORE BOND BALANCED INCOME INCOME
- ----------------------- ------------ ------------ ------------ ----------- ------------ -----------
Bank of America Corp., Floating Rate Note,
1.08%(1), 07/19/04....................... $ 236,135 $ 431,194 $ 1,474,835 $ 194,932 $ 1,051,549 $ 648,966
Bank of America Corp., Floating Rate Note,
1.50%(1), 07/21/04....................... 472,270 862,389 2,949,671 389,864 2,103,098 1,297,931
Bank of Montreal, Time Deposit, 1.20%,
07/23/04................................. 695,602 1,270,204 4,344,541 574,227 3,097,633 1,911,710
Bank of Nova Scotia, Time Deposit, 1.04%,
07/06/04................................. 236,135 431,194 1,474,835 194,932 1,051,549 648,965
Bank of Nova Scotia, Time Deposit, 1.20%,
07/14/04................................. 1,298,742 2,371,569 8,111,594 1,072,125 5,783,520 3,569,310
Bank of Nova Scotia, Time Deposit, 1.24%,
07/23/04................................. 1,180,675 2,155,972 7,374,176 974,660 5,257,745 3,244,828
Bear Stearns Companies, Inc., Floating
Rate Note, 1.64%(1), 09/08/04............ 236,135 431,194 1,474,835 194,932 1,051,549 648,966
Bear Stearns Companies, Inc., Floating
Rate Note, 1.64%(1), 12/15/04............ 236,135 431,194 1,474,835 194,932 1,051,549 648,965
Branch Banker & Trust, Floating Rate Note,
1.08%(1), 07/14/04....................... 118,068 215,597 737,418 97,466 525,775 324,483
Canadian Imperial Bank of Commerce,
Floating Rate Note, 1.45%(1), 11/04/04... 590,337 1,077,986 3,687,088 487,330 2,628,873 1,622,414
Caylon, Floating Rate Note, 1.17%(1),
08/04/04................................. 118,068 215,597 737,418 97,466 525,774 324,483
Den Danske Bank, Time Deposit, 1.03%,
07/02/04................................. 118,068 1,077,986 3,687,088 487,330 2,628,873 1,622,414
Den Danske Bank, Time Deposit, 1.08%,
07/02/04................................. 590,337 215,597 737,418 97,466 525,775 324,483
Deutsche Bank, Floating Rate Note,
1.16%(1), 10/12/04....................... 708,405 1,293,583 4,424,506 584,796 3,154,647 1,946,896
Fannie Mae, U.S. Government Agency
Discount Note, 1.13%(2), 07/14/04........ 236,135 431,194 1,474,835 194,932 1,051,549 648,965
Federal Home Loan Bank, U.S. Government
Agency Discount Note, 0.99%(2),
07/01/04................................. 590,337 1,077,986 3,687,088 487,330 2,628,873 1,622,414
Fortis Bank, Floating Rate Note, 1.09%(1),
07/08/04................................. 354,202 646,792 2,212,253 292,398 1,577,323 973,448
Fortis Bank, Floating Rate Note, 1.19%(1),
07/14/04................................. 118,068 215,597 737,418 97,466 525,775 324,483
Fortis Bank, Floating Rate Note, 1.29%(1),
09/03/04................................. 118,068 215,597 737,418 97,466 525,775 324,483
General Electric Capital Corp., Commercial
Paper, 1.21%(2), 07/21/04................ 588,464 1,074,565 3,675,388 485,783 2,620,530 1,617,265
General Electric Capital Corp., Commercial
Paper, 1.21%(2), 07/22/04................ 354,202 646,792 2,212,253 292,398 1,577,324 973,448
General Electric Capital Corp., Commercial
Paper, 1.22%(2), 07/23/04................ 354,202 646,792 2,212,253 292,398 1,577,324 973,448
Goldman Sachs Group, Inc., Floating Rate
Note, 1.23%(1), 07/29/04................. 944,540 1,724,778 5,899,341 779,727 4,206,196 2,595,862
Goldman Sachs Group, Inc., Floating Rate
Note, 1.24%(1), 07/02/04................. 708,405 1,293,583 4,424,506 584,796 3,154,647 1,946,896
HBOS (Halifax Bank of Scotland), Floating
Rate Note, 1.05%(1), 07/14/04............ 472,270 862,389 2,949,670 389,864 2,103,098 1,297,931
HBOS (Halifax Bank of Scotland), Floating
Rate Note, 1.30%(1), 09/03/04............ 118,068 215,597 737,418 97,466 525,774 324,483
Merrill Lynch Premier Institutional
Fund..................................... 524,980 958,641 3,278,885 433,377 2,337,826 1,442,794
Merrimac Cash Fund -- Premium Class....... 779,245 1,422,942 4,866,956 643,275 3,470,112 2,141,586
Morgan Stanley, Floating Rate Note,
1.55%(1), 09/10/04....................... 1,180,675 2,155,972 7,374,176 974,659 5,257,745 3,244,828
Royal Bank of Canada, Time Deposit, 1.06%,
07/01/04................................. 2,361,350 4,311,944 14,748,352 1,949,319 10,515,490 6,489,655
Royal Bank of Scotland, Time Deposit,
1.05%, 07/07/04.......................... 1,157,061 2,112,853 7,226,693 955,166 5,152,590 3,179,931
Royal Bank of Scotland, Time Deposit,
1.05%, 07/15/04.......................... 590,337 1,077,986 3,687,088 487,330 2,628,873 1,622,414
Royal Bank of Scotland, Time Deposit,
1.06%, 07/30/04.......................... 472,270 862,389 2,949,670 389,864 2,103,098 1,297,931
Royal Bank of Scotland, Time Deposit,
1.15%, 08/10/04.......................... 1,416,810 2,587,167 8,849,011 1,169,591 6,309,294 3,893,793
Toronto Dominion Bank, Time Deposit,
1.09%, 08/02/04.......................... 1,771,012 3,233,960 11,061,264 1,461,989 7,886,618 4,867,241
Wells Fargo Bank, NA, Time Deposit, 1.19%,
07/14/04................................. 944,540 1,724,778 5,899,341 779,728 4,206,196 2,595,862
Wells Fargo Bank, NA, Time Deposit, 1.25%,
07/23/04................................. 708,405 1,293,583 4,424,506 584,796 3,154,647 1,946,897
----------- ----------- ------------ ----------- ------------ -----------
$23,698,758 $43,275,133 $148,016,041 $19,563,576 $105,534,586 $65,130,872
=========== =========== ============ =========== ============ ===========
</Table>
- ---------------
(1) Variable rate security. The rate shown was in effect at June 30, 2004.
(2) Represents yield to maturity at time of purchase.
In addition to the securities noted in the chart above, each Series has taken a
portion of the cash collateral received from securities lending activities and
entered into a repurchase agreement with Morgan Stanley. The details of each
repurchase agreement are shown in each Series' Portfolio of Investments.
158
<Table>
<Caption>
EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE INTERNATIONAL
GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY EQUITY
----------- ----------- ----------- ----------- ------------ ----------- ----------- -------------
$ 734,718 $ 218,747 $ 268,197 $ 173,647 $ 1,410,730 $ 211,502 $ 981,664 $ 1,407,709
1,469,435 437,493 536,394 347,294 2,821,459 423,004 1,963,329 2,815,419
2,164,317 644,379 790,049 511,526 4,155,700 623,038 2,891,768 4,146,804
734,717 218,746 268,197 173,647 1,410,730 211,502 981,665 1,407,710
4,040,947 1,203,105 1,475,082 955,059 7,759,013 1,163,261 5,399,155 7,742,402
3,673,588 1,093,732 1,340,984 868,236 7,053,648 1,057,510 4,908,323 7,038,548
734,717 218,746 268,197 173,647 1,410,729 211,502 981,665 1,407,709
734,717 218,746 268,197 173,647 1,410,729 211,502 981,665 1,407,709
367,359 109,373 134,098 86,824 705,365 105,751 490,832 703,855
1,836,794 546,866 670,492 434,118 3,526,824 528,755 2,454,161 3,519,274
367,359 109,373 134,098 86,823 705,365 105,751 490,832 703,855
1,836,794 546,866 670,492 434,118 3,526,824 528,755 2,454,161 3,519,274
367,359 109,373 134,098 86,823 705,365 105,751 490,832 703,855
2,204,153 656,239 804,590 520,942 4,232,189 634,506 2,944,994 4,223,128
734,718 218,746 268,197 173,647 1,410,729 211,502 981,665 1,407,710
1,836,794 546,866 670,492 434,118 3,526,824 528,755 2,454,161 3,519,274
1,102,076 328,120 402,295 260,471 2,116,094 317,253 1,472,497 2,111,564
367,359 109,373 134,098 86,824 705,365 105,751 490,832 703,855
367,359 109,373 134,098 86,824 705,365 105,751 490,832 703,855
1,830,965 545,131 668,364 432,740 3,515,632 527,077 2,446,373 3,508,106
1,102,076 328,120 402,295 260,471 2,116,094 317,253 1,472,497 2,111,564
1,102,076 328,120 402,295 260,471 2,116,094 317,253 1,472,497 2,111,564
2,938,870 874,985 1,072,787 694,589 5,642,918 846,008 3,926,658 5,630,838
2,204,153 656,239 804,590 520,941 4,232,189 634,506 2,944,993 4,223,129
1,469,435 437,493 536,393 347,294 2,821,459 423,004 1,963,329 2,815,419
367,359 109,373 134,098 86,824 705,365 105,751 490,832 703,855
1,633,440 486,322 596,261 386,056 3,136,364 470,216 2,182,457 3,129,650
2,424,568 721,863 885,049 573,036 4,655,408 697,956 3,239,493 4,645,441
3,673,588 1,093,732 1,340,984 868,236 7,053,648 1,057,510 4,908,323 7,038,548
7,347,176 2,187,464 2,681,967 1,736,472 14,107,296 2,115,020 9,816,645 14,077,095
3,600,116 1,071,857 1,314,164 850,871 6,912,575 1,036,360 4,810,156 6,897,777
1,836,794 546,866 670,492 434,118 3,526,824 528,755 2,454,161 3,519,274
1,469,435 437,493 536,393 347,294 2,821,459 423,004 1,963,329 2,815,419
4,408,305 1,312,478 1,609,180 1,041,883 8,464,377 1,269,012 5,889,987 8,446,257
5,510,382 1,640,598 2,011,475 1,302,354 10,580,472 1,586,265 7,362,484 10,557,821
2,938,870 874,985 1,072,787 694,589 5,642,918 846,008 3,926,658 5,630,838
2,204,153 656,239 804,590 520,942 4,232,189 634,505 2,944,994 4,223,129
----------- ----------- ----------- ----------- ------------ ----------- ----------- ------------
$73,737,041 $21,953,620 $26,916,509 $17,427,416 $141,582,328 $21,226,565 $98,520,899 $141,279,233
=========== =========== =========== =========== ============ =========== =========== ============
</Table>
159
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
(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, 2004
were as follows:
<Table>
<Caption>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
High Quality Bond Series................. Government Obligations $ 29,711,027 $ 32,672,199
Other 190,125,133 112,431,451
Intermediate Government Bond Series...... Government Obligations 679,792,019 677,061,659
Other 27,825,874 24,067,887
Core Bond Series......................... Government Obligations 5,536,909,112 5,361,408,002
Other 495,835,629 612,683,138
Balanced Series.......................... Government Obligations 523,803,606 513,803,573
Other 136,584,778 160,521,813
Value & Income Series.................... Other 677,145,655 536,719,470
Growth & Income Series................... Other 1,486,563,899 1,487,975,842
Equity Growth Series..................... Other 1,079,290,593 1,019,770,894
Mid-Cap Value Series..................... Other 244,292,202 186,855,284
Mid-Cap Growth Series.................... Other 133,046,975 107,121,115
Small-Cap Value Series................... Other 61,792,050 26,800,512
Special Equity Series.................... Other 665,664,177 628,982,824
Small-Cap Growth Series.................. Other 51,896,112 34,874,555
Aggressive Equity Series................. Other 297,307,912 305,435,388
High Yield Bond Series................... Other 148,718,611 114,456,414
International Equity Series.............. Other 1,464,249,361 1,335,626,902
</Table>
6. LEGAL AND REGULATORY MATTERS
On December 12, 2003, the Series Portfolio received a copy of a complaint (the
"Complaint") filed in the United States Bankruptcy Court for the Southern
District of New York styled Enron Corp. v. J. P. Morgan Securities, Inc. et al.
The Complaint names as defendants the Intermediate Government Bond Portfolio and
the Value & Income Portfolio (the "Subject Portfolios") and alleges that Enron
Corp. ("Enron") transferred to the defendants, including the Subject Portfolios,
over $1 billion in the aggregate for the purpose of prepaying certain commercial
paper issued by Enron (the "Notes") and held by the defendants prior to the
filing by Enron for bankruptcy protection under Chapter 11 of Title 11 of the
Bankruptcy Code (the "Bankruptcy Code"). The Complaint seeks to hold the
defendants, including the Subject Portfolios, liable for these transfers as
preferential transfers or as fraudulent transfers under the Bankruptcy Code.
Although the Complaint does not specify the amount of each transfer in dispute,
it appears that the sale by the Intermediate Government Bond Portfolio of
approximately $2.4 million of the Notes on or about October 30, 2001 and the
sale by the Value & Income Portfolio of approximately $10.3 million of the Notes
on or about October 30, 2001 are in dispute. The Subject Portfolios have filed
motions to dismiss, as have numerous other defendants. Oppositions to the
motions were filed and reply papers were filed in July, 2004. The Series
Portfolio and its counsel continue to investigate the factual background of the
allegations in the Complaint, defenses to the allegations in the Complaint and
whether third parties might be partially or wholly liable to the Subject
Portfolios for any loss sustained in connection with the Complaint. This inquiry
remains too preliminary to predict whether Enron will prevail, in whole or in
part, in its claims against the Subject Portfolios and whether, in such event,
any third party might be liable to the Subject Portfolios.
The Advisor and mutual funds that the Advisor advises have received requests for
information from various governmental authorities and regulatory bodies
regarding market timing, late trading, operations, fees,
160
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. LEGAL AND REGULATORY MATTERS (CONTINUED)
expenses, and other matters. The Advisor and the funds it advises are
cooperating fully in responding to the requests.
7. PROXY VOTING POLICIES AND PROCEDURES
A description of the Series Portfolio's Voting Policies and Procedures is
included in the Statement of Additional Information (SAI), which is available
without charge, upon request, (i) by calling 1-800-755-5803, (ii) on the Series
Portfolio's website at www. divinvest.com, or (iii) on the SEC's website at
www.sec.gov. In addition, the Series will be required to file Form N-PX, with
its complete proxy voting record for the twelve months ended June 30th, no later
than August 31st of each year. The first such filing is due no later than August
31, 2004, for the twelve months ended June 30, 2004. Once filed, the Series
Portfolio's Form N-PX filing will be available without charge, upon request, (i)
by calling 1-800-755-5803 (ii) on the Series Portfolio's website at
www.divinvest.com, or (iii) on the SEC's website at www.sec.gov.
8. GENERAL INDEMNIFICATION
In the normal course of business, the Series enter into contracts that contain a
variety of representations and warranties which provide general
indemnifications. The Series' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Series
that have not yet occurred. However, based on experience, the Series expects the
risk of loss to be remote.
9. FOREIGN CURRENCY FORWARD CONTRACTS
At June 30, 2004, the Core Bond Series, Balanced Series, Equity Growth Series,
Special Equity Series, High Yield Series and 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.................. 7,448,000 $ 5,463,415 07/28/04 $ 5,539,767 $ 76,352
Canadian Dollar.................. 6,467,005 4,712,187 07/28/04 4,810,110 97,923
Canadian Dollar.................. 96,019 69,907 07/28/04 71,419 1,512
Euro............................. 11,525,001 13,703,341 07/23/04 14,014,895 311,554
Euro............................. 42,816,000 51,032,390 07/23/04 52,066,093 1,033,703
Euro............................. 6,402,479 7,625,352 07/23/04 7,785,689 160,337
Euro............................. 13,720,360 16,217,466 07/23/04 16,684,547 467,081
Euro............................. 2,716,000 3,329,816 07/23/04 3,302,773 (27,043)
Great British Pound.............. 11,263,130 20,510,160 07/21/04 20,383,044 (127,116)
--------------
TOTAL............................ $ 1,994,303
==============
SALE CONTRACTS:
Canadian Dollar.................. 14,011,024 $ 10,393,935 07/28/04 $ 10,421,296 $ (27,361)
Euro............................. 1,112,000 1,345,186 07/23/04 1,352,240 (7,054)
Euro............................. 13,152,710 15,771,415 07/23/04 15,994,260 (222,845)
Euro............................. 97,302,221 115,884,026 07/23/04 118,323,675 (2,439,649)
Great British Pound.............. 11,263,130 20,063,014 07/21/04 20,383,044 (320,030)
Swedish Krona.................... 91,393,271 11,992,797 07/22/04 12,118,764 (125,967)
--------------
TOTAL............................ $(3,142,906)
==============
</Table>
161
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
9. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION
CURRENCY FOR DATE VALUE (DEPRECIATION)
---------- ------------ ---------- ------------ --------------
BALANCED
PURCHASE CONTRACTS:
Canadian Dollar.................. 736,000 $ 539,886 07/28/04 $ 547,431 $ 7,545
Canadian Dollar.................. 10,633 7,741 07/28/04 7,908 167
Canadian Dollar.................. 440,960 321,306 07/28/04 327,983 6,677
Euro............................. 1,691,000 2,015,503 07/23/04 2,056,329 40,826
Euro............................. 344,180 409,919 07/23/04 418,538 8,619
Euro............................. 1,345,345 1,590,198 07/23/04 1,635,997 45,799
Euro............................. 1,291,374 1,535,456 07/23/04 1,570,366 34,910
Great British Pound.............. 1,136,646 2,069,833 07/21/04 2,057,005 (12,828)
--------------
TOTAL............................ $ 131,715
==============
SALE CONTRACTS:
Canadian Dollar.................. 1,187,593 $ 881,004 07/28/04 $ 883,323 $ (2,319)
Euro............................. 6,332,112 7,528,944 07/23/04 7,700,120 (171,176)
Euro............................. 388,000 469,364 07/23/04 471,825 (2,461)
Euro............................. 1,340,573 1,607,481 07/23/04 1,630,194 (22,713)
Great British Pound.............. 1,136,646 2,024,708 07/21/04 2,057,005 (32,297)
Swedish Krona.................... 6,772,401 888,687 07/22/04 898,021 (9,334)
--------------
TOTAL............................ $ (240,300)
==============
EQUITY GROWTH
SALE CONTRACTS:
Swiss Franc...................... 4,297,580 $ 3,406,965 07/02/04 $ 3,428,191 $ (21,226)
Swiss Franc...................... 2,056,807 1,641,414 07/06/04 1,640,894 520
--------------
TOTAL............................ $ (20,706)
==============
SPECIAL EQUITY
PURCHASES CONTRACT:
Canadian Dollar.................. 260,300 $ 192,916 07/02/04 $ 193,826 $ 910
Canadian Dollar.................. 383,423 285,192 07/02/04 285,506 314
Canadian Dollar.................. 281,008 210,793 07/06/04 209,210 (1,583)
--------------
TOTAL............................ $ (359)
==============
HIGH YIELD
SALE CONTRACTS:
Euro............................. 486,306 $ 591,348 07/30/04 $ 591,262 $ 86
--------------
TOTAL............................ $ 86
==============
INTERNATIONAL EQUITY
PURCHASE CONTRACTS:
Japanese Yen..................... 48,238,950 $ 447,166 07/01/04 $ 441,304 $ (5,862)
Japanese Yen..................... 58,873,939 545,786 07/01/04 538,596 (7,190)
Japanese Yen..................... 90,714,317 837,033 07/02/04 829,881 (7,152)
--------------
TOTAL............................ $ (20,204)
==============
</Table>
162
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
9. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION
CURRENCY FOR DATE VALUE (DEPRECIATION)
---------- ------------ ---------- ------------ --------------
SALE CONTRACTS:
Euro............................. 205,366 $ 250,581 07/06/04 $ 249,843 $ 738
Euro............................. 112,829 124,056 12/30/04 136,627 (12,571)
Great British Pound.............. 283,565 512,243 07/02/04 513,819 (1,576)
Great British Pound.............. 1,450,232 2,637,001 07/06/04 2,627,123 9,878
Norwegian Krona.................. 4,484,150 656,528 07/01/04 645,685 10,843
--------------
TOTAL............................ $ 7,312
==============
</Table>
163
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. FINANCIAL HIGHLIGHTS
<Table>
<Caption>
RATIOS 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
06/30/2004(a) 0.28%* 0.28%* 0.90%* 0.90%* N/A $ 845,128,125 0.44%
12/31/2003 0.28 0.28 1.11 1.11 N/A 799,572,598 1.11
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
HIGH QUALITY BOND
06/30/2004(a) 0.38* 0.38* 2.49* 2.49* 23% 672,635,346 0.07
12/31/2003 0.38 0.38 3.19 3.19 50 622,748,334 2.34
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
INTERMEDIATE GOVERNMENT BOND
06/30/2004(a) 0.39* 0.39* 2.27* 2.27* 251 275,948,191 (0.53)
12/31/2003 0.38 0.38 2.91 2.91 392 265,519,988 1.60
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
CORE BOND
06/30/2004(a) 0.38* 0.38* 3.41* 3.41* 412 1,509,612,074 0.28
12/31/2003 0.39 0.39 3.52 3.52 922 1,468,787,007 4.64
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
BALANCED
06/30/2004(a) 0.50* 0.50* 1.90* 1.90* 157 421,023,517 1.90
12/31/2003 0.51 0.50 2.15 2.16 377 434,085,832 17.69
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
</Table>
- ---------------
* Annualized
(a) Unaudited
(1) Commencement of Operations, April 27, 2001.
(2) Commencement of Operations, April 15, 2002.
164
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIOS 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
- ----------- -------- --------------- ---------- --------------- --------- -------------- ------
VALUE & INCOME
06/30/2004(a) 0.47%* 0.47%* 1.57%* 1.57%* 24% $2,412,166,093 4.15%
12/31/2003 0.47 0.47 1.91 1.91 70 2,198,085,735 26.52
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
GROWTH & INCOME
06/30/2004(a) 0.63* 0.63* 0.87* 0.87* 142 1,081,135,535 2.47
12/31/2003 0.63 0.63 1.02 1.02 100 1,063,389,332 24.16
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
EQUITY GROWTH
06/30/2004(a) 0.64* 0.64* 0.24* 0.24* 52 2,088,457,535 1.23
12/31/2003 0.65 0.65 0.34 0.34 61 1,975,636,700 26.48
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
MID-CAP VALUE
06/30/2004(a) 0.71* 0.70* 0.37* 0.38* 76 300,542,628 10.58
12/31/2003 0.75 0.70 0.51 0.56 156 216,193,119 41.63
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
06/30/2004(a) 0.76* 0.75* (0.31)* (0.30)* 59 199,908,326 6.93
12/31/2003 0.81 0.75 (0.37) (0.31) 100 165,747,874 26.91
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
06/30/2004(a) 0.88* 0.85* 0.21* 0.24* 22 151,615,197 10.06
12/31/2003 0.94 0.85 1.19 1.28 40 100,887,458 41.10
12/31/2002(2) 1.39* 0.85* (0.17)* 0.37* 26 17,920,226 (21.90)
</Table>
- ---------------
* Annualized
(a) Unaudited
(1) Commencement of Operations, April 27, 2001.
(2) Commencement of Operations, April 15, 2002.
165
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIOS 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
06/30/2004(a) 0.83%* 0.83%* 0.11%* 0.11%* 49% $1,343,085,124 4.66%
12/31/2003 0.85 0.85 (0.02) (0.02) 103 1,270,601,125 43.96
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
SMALL-CAP GROWTH
06/30/2004(a) 0.95* 0.90* (0.46)* (0.41)* 37 104,159,718 4.87
12/31/2003 1.02 0.90 (0.29) (0.17) 81 83,589,643 39.31
12/31/2002(2) 1.48* 0.90* (1.03)* (0.45)* 68 16,521,455 (15.98)
AGGRESSIVE EQUITY
06/30/2004(a) 1.00* 1.00* (0.51)* (0.51)* 82 386,994,609 4.36
12/31/2003 1.01 1.00 (0.61) (0.60) 165 371,333,010 28.12
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
HIGH YIELD BOND
06/30/2004(a) 0.59* 0.59* 8.15* 8.15* 42 305,222,785 1.45
12/31/2003 0.61 0.60 9.07 9.08 136 282,700,774 27.91
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
INTERNATIONAL EQUITY
06/30/2004(a) 0.84* 0.84* 2.28* 2.28* 124 1,174,834,945 4.05
12/31/2003 0.86 0.86 1.11 1.11 23 1,049,033,896 33.52
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
</Table>
- ---------------
* Annualized
(a) Unaudited
(1) Commencement of Operations, April 27, 2001.
(2) Commencement of Operations, April 15, 2002.
166
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 (8/04)
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 applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES
FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END
MANAGEMENT INVESTMENT COMPANY AND AFFILIATED
PURCHASERS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the Registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the Registrant in this Form N-CSR was recorded,
processed, summarized, and reported timely.
(b) The Registrant's principal executive officer and principal financial officer
are aware of no changes in the Registrant's internal control over financial
reporting that occurred during the Registrant's most recent fiscal six-month
period that has materially affected, or is likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 11. Exhibits.
(a) (1) Not applicable.
(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.
(a) (3) Not applicable.
(b) A certification by the Registrant's principal executive officer and
principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940,
is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the Registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Diversified Investors Strategic Variable Funds
By /s/ Mark Mullin
---------------------------
Mark Mullin
Principal Executive Officer
Date September 1, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By /s/ Mark Mullin
---------------------------
Mark Mullin
Principal Executive officer
Date September 1, 2004
By /s/ Joseph Carusone
---------------------------
Joseph Carusone
Principal Financial Officer
Date September 1, 2004